SA Funds Investment Trust – ‘N-CSR’ for 6/30/04

On:  Monday, 8/30/04, at 4:53pm ET   ·   Effective:  8/30/04   ·   For:  6/30/04   ·   Accession #:  1047469-4-27550   ·   File #:  811-09195

in

this entire Filing. an “Entity” Search.

Show

Documents searched

and

each “hit”. the 1st “hit”.

↓↑Hints

Certified Annual Shareholder Report of a Management Investment Company   —   Form N-CSR
Filing Table of Contents

Document/Exhibit                   Description                      Pages   Size 

 1: N-CSR       Certified Annual Shareholder Report of a             384±  1.56M 
                          Management Investment Company                          
 3: EX-99.302CERT  Miscellaneous Exhibit                               4     14K 
 4: EX-99.906CERT  Miscellaneous Exhibit                               1      7K 
 2: EX-99.CODEETH  Miscellaneous Exhibit                               7     18K 

N-CSR   —   Certified Annual Shareholder Report of a Management Investment Company
Document Table of Contents

N-CSR
1st “Page” of 201
TOC
↑Top
Previous
Next
↓Bottom
Just 1st
 
 UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
 MANAGEMENT INVESTMENT COMPANIES

 Investment Company Act file number: 811-09195
                                     ---------

 SA FUNDS - INVESTMENT TRUST
--------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)

 1190 Saratoga Avenue, Suite 200, San Jose, California 95129
--------------------------------------------------------------------------------
 (Address of principal executive offices) (zip code)

 Jennifer S. Fromm, Esq.
Senior Legal Counsel
Loring Ward Group Inc.
10100 Santa Monica Boulevard, Suite 1050
 Los Angeles, California 90067
 (Name and address of agent for service)

Copy to:

 R. Darrell Mounts, Esq.
Kirkpatrick & Lockhart LLP
1800 Massachusetts Avenue, NW, 2nd Floor
Washington, D.C. 20036

Karen Jacoppo-Wood, Esq.
 State Street Bank and Trust Company
 One Federal Street, 9th Floor
 Boston, Massachusetts 02110

Registrant's telephone number, including area code: 310-229-4464

Date of fiscal year end: June 30                                                

Date of reporting period: June 30, 2004                                         

N-CSR
2nd “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 2nd
ITEM 1.  REPORTS TO SHAREHOLDERS.                                               

N-CSR
3rd “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 3rd
[SA FUNDS LOGO]                                                                 
[GRAPHIC]                                                                       
A WORLD OF INVESTMENT POSSIBILITIES                                             

ANNUAL REPORT                                                                   

JUNE 30, 2004                                                                   

N-CSR
4th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 4th
TABLE OF CONTENTS                                                               

                                                                [Download Table]
                                                                            PAGE
                                                                                
MANAGEMENT DISCUSSION AND ANALYSIS                                            1 
PORTFOLIOS OF INVESTMENTS                                                       
  SA Fixed Income Fund                                                        8 
  SA U.S. Market Fund                                                        10 
  SA U.S. HBtM Fund                                                          26 
  SA U.S. Small Company Fund                                                 29 
  SA International HBtM Fund                                                 50 
  SA International Small Company Fund                                        58 
STATEMENTS OF ASSETS AND LIABILITIES                                         60 
STATEMENTS OF OPERATIONS                                                     62 
STATEMENTS OF CHANGES IN NET ASSETS                                          64 
FINANCIAL HIGHLIGHTS                                                         68 
NOTES TO FINANCIAL STATEMENTS                                                74 
REPORT OF INDEPENDENT AUDITORS                                               81 
PROXY VOTING POLICIES AND PROCEDURES                                         82 
TRUSTEES AND OFFICERS' INFORMATION                                           82 
FINANCIAL STATEMENTS OF DFA INVESTMENT DIMENSIONS GROUP INC & DFA               
  INVESTMENT TRUST COMPANY                                                   85 

Any information in this shareholder report regarding market or economic trends  
or the factors influencing the Trust's performance are statements of the opinion
of Trust management as of the date of this report. These statements should not  
be relied upon for any other purposes. Past performance is no guarantee of      
future results, and there is no guarantee that Fund objectives will be achieved.

N-CSR
5th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 5th
SA Fixed Income Fund                                                            

   The inclination that the Federal Reserve Board would raise interest rates
some time this year was realized at the end of the year at its June meeting.    
Although the anticipation of rate increases had already affected bond prices,   
many feel that further increases may continue to impact bond returns.           

Following the trend of fiscal 2003, fund average maturity continued to
extend. At the end of fiscal 2004, the average maturity of the portfolio was    
4.31 years.                                                                     

During the year, the allocation to global bonds varied greatly. At one
point the portfolio had roughly 80% in U.S. bonds because the U.S. yield curve  
was fairly normal while global markets had inverted characteristics. At the end 
of the fiscal year, approximately 65% of the portfolio was invested in U.S.     
bonds.                                                                          

[CHART]                                                                         

 Comparison of Change in Value of a $10,000 Investment in SA Fixed Income Fund
vs. the Lehman Brothers Aggregate Bond Index

                                                                [Download Table]

                              SA FIXED INCOME FUND   LEHMAN AGGREGATE BOND INDEX
                                                                                
7/29/99                                $ 10,000.00                   $ 10,000.00
9/30/99                                $ 10,073.00                   $ 10,111.00
12/31/99                               $ 10,147.00                   $ 10,099.00
3/31/2000                              $ 10,268.00                   $ 10,322.00
6/30/2000                              $ 10,390.00                   $ 10,500.00
9/30/2000                              $ 10,559.28                   $ 10,817.35
12/31/2000                             $ 10,746.21                   $ 11,273.17
3/31/2001                              $ 10,922.30                   $ 11,614.38
6/30/2001                              $ 11,001.21                   $ 11,679.20
9/30/2001                              $ 11,296.27                   $ 12,218.24
12/31/2001                             $ 11,310.91                   $ 12,222.73
3/31/2002                              $ 11,262.64                   $ 12,234.73
6/30/2002                              $ 11,725.88                   $ 12,687.52
9/30/2002                              $ 12,355.73                   $ 13,269.59
12/31/2002                             $ 12,509.83                   $ 13,477.93
3/31/2003                              $ 12,627.61                   $ 13,665.28
6/30/2003                              $ 12,921.85                   $ 14,006.91
9/30/2003                              $ 12,845.84                   $ 13,986.70
12/31/2003                             $ 12,762.39                   $ 14,031.56
3/31/2004                              $ 13,130.22                   $ 14,403.78
6/30/2004                              $ 12,679.43                   $ 14,390.42

The Lehman Brothers Aggregate Bond Index is a market capitalization   
weighted broad index of U.S. investment-grade fixed income securities with      
maturities of over one year.                                                    

PERFORMANCE INFORMATION                                               

                                                                [Download Table]

                                                           ANNUALIZED 
                                         YEAR ENDED       INCEPTION TO
                                       JUNE 30, 2004     JUNE 30, 2004
----------------------------------------------------------------------
                                                                      
SA Fixed Income Fund                       (1.88)%          4.94%(a)  
Lehman Aggregate Bond Index                 2.74%           7.68%(b)  

(a)  From commencement of operations (July 29, 1999)                            
(b)  Performance for the benchmark is not available from July 29, 1999          
  (commencement of operations). For that reason, performance is shown from
July 31, 1999.                                                        

"TOTAL RETURN" IS CALCULATED INCLUDING REINVESTMENT OF ALL INCOME DIVIDENDS AND 
DISTRIBUTIONS. RESULTS REPRESENT PAST PERFORMANCE AND DO NOT INDICATE FUTURE    
RESULTS. THE VALUE OF AN INVESTMENT IN A FUND AND THE RETURN ON INVESTMENT BOTH 
WILL FLUCTUATE, SO THAT REDEMPTION PROCEEDS MAY BE HIGHER OR LOWER THAN AN      
INVESTOR'S ORIGINAL COST. THE RETURNS SHOWN DO NOT REFLECT THE DEDUCTION OF     
TAXES THAT AN INVESTOR WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND
SHARES.                                                                         

 1

N-CSR
6th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 6th
SA U.S. Market Fund                                                             

The Fund invests in a sampling of common stocks that are traded on a  
principal U.S. exchange or on the over-the-counter market in the U.S. The Fund's
returns in fiscal 2004 generally reflected the performance of the U.S.          
marketplace. The overall U.S. equity market, measured by broad market indices   
such as the S&P 500 Index and the Wilshire 5000 Total Market Index, showed      
positive gains for the first part of fiscal 2004, with many of the broad-market 
indexes earning double-digit returns for the year. Market returns were pushed up
by strong corporate profits, low inflation, and an overall robust economy.      
However, returns showed signs of leveling off toward the latter part of the     
fiscal year due to the threat of higher interest rates, higher oil prices and   
uncertainty in Iraq.                                                            

[CHART]                                                                         

Comparison of Change in Value of a $10,000 Investment in SA U.S. Market Fund
vs. the Wilshire 5000 Total Market Index

                                                                [Download Table]

                                        SA U.S. MARKET FUND  WILSHIRE 5000 INDEX
                                                                                
8/5/99                                          $ 10,000.00          $ 10,000.00
9/30/99                                         $  9,740.00          $  9,648.00
12/31/99                                        $ 11,150.00          $ 11,410.00
3/31/2000                                       $ 11,830.00          $ 11,846.00
6/30/2000                                       $ 11,590.00          $ 11,314.00
9/30/2000                                       $ 11,949.98          $ 11,334.02
12/31/2000                                      $ 10,931.01          $ 10,163.22
3/31/2001                                       $  9,754.06          $  8,915.15
6/30/2001                                       $ 10,327.43          $  9,581.64
9/30/2001                                       $  8,756.83          $  8,059.20
12/31/2001                                      $  9,796.15          $  9,056.22
3/31/2002                                       $  9,887.00          $  9,143.35
6/30/2002                                       $  8,655.12          $  7,990.33
9/30/2002                                       $  7,180.38          $  6,647.01
12/31/2002                                      $  7,704.63          $  7,167.41
3/31/2003                                       $  7,460.98          $  6,946.33
6/30/2003                                       $  8,668.73          $  8,093.18
9/30/2003                                       $  8,942.63          $  8,392.94
12/31/2003                                      $ 10,010.02          $  9,434.12
3/31/2004                                       $ 10,203.89          $  9,680.61
6/30/2004                                       $ 10,326.34          $  9,804.95

  The Wilshire 5000 Total Market Index is a market capitalization weighted
broad index of all U.S.-headquartered equity securities.                        

PERFORMANCE INFORMATION                                               

                                                                [Download Table]

                                                           ANNUALIZED  
                                         YEAR ENDED       INCEPTION TO 
                                       JUNE 30, 2004     JUNE 30, 2004 
-----------------------------------------------------------------------
                                                                       
SA U.S. Market Fund                        19.12%            0.66%(a)  
Wilshire 5000 Index                        21.15%           (0.40)%(b) 

(a)  From commencement of operations (August 5, 1999)                           
(b)  Performance for the benchmark is not available from August 5, 1999         
  (commencement of operations). For that reason, performance is shown from
July 31, 1999.                                                        

"TOTAL RETURN" IS CALCULATED INCLUDING REINVESTMENT OF ALL INCOME DIVIDENDS AND 
DISTRIBUTIONS. RESULTS REPRESENT PAST PERFORMANCE AND DO NOT INDICATE FUTURE    
RESULTS. THE VALUE OF AN INVESTMENT IN A FUND AND THE RETURN ON INVESTMENT BOTH 
WILL FLUCTUATE, SO THAT REDEMPTION PROCEEDS MAY BE HIGHER OR LOWER THAN AN      
INVESTOR'S ORIGINAL COST. THE RETURNS SHOWN DO NOT REFLECT THE DEDUCTION OF     
TAXES THAT AN INVESTOR WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND
SHARES.                                                                         

 2

N-CSR
7th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 7th
SA U.S. HBtM Fund                                                               

The Fund invests in common stocks of large U.S. companies, traded on a
principal U.S. exchange or on the over-the-counter market in the U.S., that the 
Fund's investment sub-adviser believes are value stocks. The Fund also seeks to 
minimize the impact of federal taxes on returns by deferring net capital gains  
and minimizing dividend income. The Fund's returns in fiscal 2004 closely       
tracked the performance of large U.S. value companies. The sustained economic   
recovery was a key contributing factor to the large performance increase over   
the year. Returns for the U.S. value asset class continued on their upward trend
in the early part of the fiscal year due to the improved economic outlook.      
Strong corporate profits and low inflation helped to boost returns. However,    
returns showed signs of leveling off toward the latter part of the fiscal year  
due to the threat of higher interest rates, higher oil prices and uncertainty in
Iraq.                                                                           

[CHART]                                                                         

 Comparison of Change in Value of a $10,000 Investment in U.S. HBtM Fund
vs. the Russell 1000 Value Index

                                                                [Download Table]

                                    SA U.S. HBtM FUND   RUSSELL 1000 VALUE INDEX
                                                                                
8/5/99                                    $ 10,000.00                $ 10,000.00
9/30/99                                   $  9,270.00                $  9,334.28
12/31/99                                  $  9,410.00                $  9,788.30
3/31/2000                                 $  9,010.00                $  9,768.87
6/30/2000                                 $  8,620.00                $  9,259.30
9/30/2000                                 $  9,410.56                $ 10,121.60
12/31/2000                                $ 10,216.65                $ 10,486.13
3/31/2001                                 $ 10,450.84                $  9,872.12
6/30/2001                                 $ 11,179.08                $ 10,353.79
9/30/2001                                 $  9,199.78                $  9,219.52
12/31/2001                                $ 10,302.65                $  9,899.52
3/31/2002                                 $ 10,476.96                $ 10,304.40
6/30/2002                                 $  8,909.59                $  9,426.67
9/30/2002                                 $  7,128.32                $  7,656.22
12/31/2002                                $  7,783.28                $  8,362.24
3/31/2003                                 $  7,364.67                $  7,955.50
6/30/2003                                 $  8,884.79                $  9,329.91
9/30/2003                                 $  9,171.36                $  9,522.41
12/31/2003                                $ 10,616.35                $ 10,873.55
3/31/2004                                 $ 10,903.28                $ 11,202.25
6/30/2004                                 $ 11,056.99                $ 11,300.94

The Russell 1000 Value Index is comprised of companies with the lowest
price-to-book ratios within the Russell 1000 Index. The Russell 1000 Index is a 
market capitalization weighted broad index of 1000 large capitalization U.S.    
companies.                                                                      

PERFORMANCE INFORMATION                                               

                                                                [Download Table]

                                                           ANNUALIZED 
                                         YEAR ENDED       INCEPTION TO
                                       JUNE 30, 2004     JUNE 30, 2004
----------------------------------------------------------------------
                                                                      
SA U.S. HBtM Fund                          24.46%           2.07%(a)  
Russell 1000 Value Index                   21.13%           2.52%(b)  

(a)  From commencement of operations (August 5, 1999)                           
(b)  Performance for the benchmark is not available from August 5, 1999         
  (commencement of operations). For that reason, performance is shown from
July 31, 1999.                                                        

"TOTAL RETURN" IS CALCULATED INCLUDING REINVESTMENT OF ALL INCOME DIVIDENDS AND 
DISTRIBUTIONS. RESULTS REPRESENT PAST PERFORMANCE AND DO NOT INDICATE FUTURE    
RESULTS. THE VALUE OF AN INVESTMENT IN A FUND AND THE RETURN ON INVESTMENT BOTH 
WILL FLUCTUATE, SO THAT REDEMPTION PROCEEDS MAY BE HIGHER OR LOWER THAN AN      
INVESTOR'S ORIGINAL COST. THE RETURNS SHOWN DO NOT REFLECT THE DEDUCTION OF     
TAXES THAT AN INVESTOR WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND
SHARES.                                                                         

 3

N-CSR
8th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 8th
SA U.S. Small Company Fund                                                      

  The Fund invests in equity securities of small cap companies traded on a
principal U.S. exchange or on the over-the-counter market in the U.S. The Fund  
also seeks to minimize the impact of federal taxes on returns by deferring net  
capital gains and minimizing dividend income. The Fund's returns in fiscal 2004 
compared well with the performance of small U.S. companies. The U.S. small asset
class in fiscal 2004 was one of the highest performing asset classes. The U.S.  
small asset class continued its ascent through the first three quarters of      
fiscal 2004, due to the strong economic outlook, positive corporate profits, and
low expected inflation. However, returns showed signs of leveling off toward the
latter part of the fiscal year due to the threat of higher interest rates,      
higher oil prices and uncertainty in Iraq.                                      

[CHART]                                                                         

Comparison of Change in Value of a $10,000 Investment in SA U.S. Small Company
 Fund vs. the Russell 2000 Index

                                                                [Download Table]

                                     SA U.S. SMALL CO. FUND  RUSSELL 2000 INDEX
                                                                               
8/5/99                                             $ 10,000            $ 10,000
9/30/99                                            $ 10,030            $  9,943
12/31/99                                           $ 11,460            $ 11,745
3/31/2000                                          $ 12,430            $ 12,544
6/30/2000                                          $ 12,580            $ 12,036
9/30/2000                                          $ 13,271            $ 12,709
12/31/2000                                         $ 12,202            $ 11,831
3/31/2001                                          $ 11,540            $ 11,062
6/30/2001                                          $ 13,714            $ 12,643
9/30/2001                                          $ 10,757            $ 10,015
12/31/2001                                         $ 13,284            $ 12,126
3/31/2002                                          $ 13,705            $ 12,609
6/30/2002                                          $ 12,271            $ 11,556
9/30/2002                                          $  9,674            $  9,083
12/31/2002                                         $ 10,255            $  9,642
3/31/2003                                          $  9,744            $  9,209
6/30/2003                                          $ 12,180            $ 11,366
9/30/2003                                          $ 13,372            $ 12,397
12/31/2003                                         $ 15,327            $ 14,198
3/31/2004                                          $ 16,179            $ 15,086
6/30/2004                                          $ 16,279            $ 15,157

   The Russell 2000 Index is a market capitalization weighted broad index of
2000 small capitalization U.S. companies.                                       

PERFORMANCE INFORMATION                                               

                                                                [Download Table]

                                                           ANNUALIZED 
                                         YEAR ENDED       INCEPTION TO
                                       JUNE 30, 2004     JUNE 30, 2004
----------------------------------------------------------------------
                                                                      
SA U.S. Small Company Fund                 33.66%           10.45%(a) 
Russell 2000 Index                         33.35%            8.82%(b) 

(a)  From commencement of operations (August 5, 1999)                           
(b)  Performance for the benchmark is not available from August 5, 1999         
  (commencement of operations). For that reason, performance is shown from
July 31, 1999.                                                        

"TOTAL RETURN" IS CALCULATED INCLUDING REINVESTMENT OF ALL INCOME DIVIDENDS AND 
DISTRIBUTIONS. RESULTS REPRESENT PAST PERFORMANCE AND DO NOT INDICATE FUTURE    
RESULTS. THE VALUE OF AN INVESTMENT IN A FUND AND THE RETURN ON INVESTMENT BOTH 
WILL FLUCTUATE, SO THAT REDEMPTION PROCEEDS MAY BE HIGHER OR LOWER THAN AN      
INVESTOR'S ORIGINAL COST. THE RETURNS SHOWN DO NOT REFLECT THE DEDUCTION OF     
TAXES THAT AN INVESTOR WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND
SHARES.                                                                         

 4

N-CSR
9th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 9th
SA International HBtM Fund                                                      

The Fund invests in common stocks of large non-U.S. companies that the
Fund's investment sub-adviser believes are value stocks at the time of purchase.
The Fund also seeks to minimize the impact of federal taxes on returns by       
deferring net capital gains and minimizing dividend income. International large 
value company performance in fiscal 2004 was robust throughout the countries    
represented within the Fund. Strong global economic growth and earnings coupled 
with a weakening dollar propelled the returns of the Fund past 35% for the      
fiscal year. The returns from international value markets outpaced the          
performance of the U.S. market during the 12 months. However, returns showed    
signs of leveling off toward the latter part of the fiscal year due to the      
threat of higher interest rates, higher oil prices and uncertainty in Iraq.     

[CHART]                                                                         

Comparison of Change in Value of a $10,000 Investment in SA International HBtM
Fund vs. the MSCI EAFE Value Index

                                                                [Download Table]

                              SA INTERNATIONAL HBTM FUND   MSCI EAFE VALUE INDEX
                                                                                
8/5/99                                          $ 10,000                $ 10,000
9/30/99                                         $  9,910                $  9,919
12/31/99                                        $ 10,036                $ 10,803
3/31/2000                                       $  9,594                $ 10,598
6/30/2000                                       $ 10,036                $ 10,747
9/30/2000                                       $  9,554                $ 10,265
12/31/2000                                      $ 10,024                $ 10,484
3/31/2001                                       $  9,237                $  9,339
6/30/2001                                       $  9,519                $  9,387
9/30/2001                                       $  8,133                $  8,224
12/31/2001                                      $  8,739                $  8,574
3/31/2002                                       $  8,831                $  8,703
6/30/2002                                       $  8,750                $  8,512
9/30/2002                                       $  6,967                $  6,782
12/31/2002                                      $  7,443                $  7,236
3/31/2003                                       $  6,917                $  6,647
6/30/2003                                       $  8,443                $  8,148
9/30/2003                                       $  9,309                $  8,934
12/31/2003                                      $ 10,862                $ 10,588
3/31/2004                                       $ 11,517                $ 11,095
6/30/2004                                       $ 11,632                $ 11,119

  The Morgan Stanley Capital International (MSCI) Europe, Australasia, Far
East (EAFE) Value Index is comprised of companies within the MSCI EAFE Index    
having characteristics such as low market-to-book ratios. The MSCI EAFE Index is
an index of securities listed on the stock exchanges of 21 developed market     
countries other than the United States.                                         

PERFORMANCE INFORMATION                                               

                                                                [Download Table]

                                                           ANNUALIZED 
                                         YEAR ENDED       INCEPTION TO
                                       JUNE 30, 2004     JUNE 30, 2004
----------------------------------------------------------------------
                                                                      
SA International HBtM Fund                 37.76%           3.13%(a)  
MSCI EAFE Value Index                      36.47%           2.18%(b)  

(a)  From commencement of operations (August 5, 1999)                           
(b)  Performance for the benchmark is not available from August 5, 1999         
  (commencement of operations). For that reason, performance is shown from
July 31, 1999.                                                        

"TOTAL RETURN" IS CALCULATED INCLUDING REINVESTMENT OF ALL INCOME DIVIDENDS AND 
DISTRIBUTIONS. RESULTS REPRESENT PAST PERFORMANCE AND DO NOT INDICATE FUTURE    
RESULTS. THE VALUE OF AN INVESTMENT IN A FUND AND THE RETURN ON INVESTMENT BOTH 
WILL FLUCTUATE, SO THAT REDEMPTION PROCEEDS MAY BE HIGHER OR LOWER THAN AN      
INVESTOR'S ORIGINAL COST. THE RETURNS SHOWN DO NOT REFLECT THE DEDUCTION OF     
TAXES THAT AN INVESTOR WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND
SHARES.                                                                         

 5

N-CSR
10th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 10th
SA International Small Company Fund                                             

  International small company performance in fiscal 2004 was robust across
all of the regions represented within the Fund. Strong global economic growth   
and earnings coupled with a weakening dollar propelled the returns of the Fund  
past 40% for the fiscal year. The returns from international small markets      
outpaced the performance of the U.S market during the 12 months. However,       
returns showed signs of leveling off toward the latter part of the fiscal year  
due to the threat of higher interest rates, higher oil prices and uncertainty in
Iraq.                                                                           

   The Fund is a feeder fund that invests in the International Small Company
Portfolio of DFA Investment Dimensions Group (the "Portfolio"). The Portfolio   
invests in the following four international series of DFA Investment Trust      
Company:                                                                        

THE JAPANESE SMALL COMPANY SERIES: The series seeks to capture premium
returns and diversification benefits by investing in a broad cross-section of   
small companies on a market cap-weighted basis. The series provides access to a 
broad and diverse group of readily marketable stocks of Japanese small companies
that are traded in the Japanese securities markets.                             

   THE PACIFIC RIM SMALL COMPANY SERIES: The series seeks to capture premium
returns and diversification benefits by investing in a broad cross-section of   
small companies on a market cap-weighted basis. The series provides access to a 
broad and diverse group of readily marketable stocks of small companies located 
in Australia, New Zealand and Pacific Rim Asian countries, whose shares are     
traded principally in securities markets located in those countries.            

THE UNITED KINGDOM SMALL COMPANY SERIES: The series seeks to capture  
premium returns and diversification benefits by investing in a broad            
cross-section of small companies on a market cap-weighted basis. The series     
provides access to a broad and diverse group of readily marketable stocks of    
United Kingdom small companies that are traded principally on the London Stock  
Exchange.                                                                       

   THE CONTINENTAL SMALL COMPANY SERIES: The series seeks to capture premium
returns and diversification benefits by investing in a broad cross-section of   
small companies on a market cap-weighted basis. The series provides access to a 
broad and diverse group of readily marketable stocks of small companies         
organized in certain European countries, whose shares are traded principally in 
securities markets located in those countries. During fiscal 2004, the series   
was authorized to invest in Austria, Belgium, Denmark, Finland, France, Germany,
Greece, Ireland, Italy, Netherlands, Norway, Portugal, Spain, Sweden and        
Switzerland.                                                                    

 6

N-CSR
11th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 11th
[CHART]                                                                         

Comparison of Change in Value of a $10,000 Investment in SA International Small 
 Company Fund vs. the Salomon Smith Barney Extended Market Index -- EPAC (EMI)

                                                                [Download Table]

                                                            SALOMON SMITH BARNEY
                         SA INTERNATIONAL SMALL CO. FUND   EXTENDED MARKET INDEX
                                                                                
8/5/99                                          $ 10,000                $ 10,000
9/30/99                                         $ 10,278                $ 10,145
12/31/99                                        $ 10,259                $ 10,024
3/31/2000                                       $ 10,635                $ 11,166
6/30/2000                                       $ 10,584                $ 11,019
9/30/2000                                       $  9,975                $ 10,385
12/31/2000                                      $  9,500                $  9,829
3/31/2001                                       $  8,981                $  8,779
6/30/2001                                       $  9,576                $  8,995
9/30/2001                                       $  8,303                $  7,619
12/31/2001                                      $  8,468                $  8,217
3/31/2002                                       $  9,047                $  8,698
6/30/2002                                       $  9,624                $  8,880
9/30/2002                                       $  8,363                $  7,234
12/31/2002                                      $  8,507                $  7,515
3/31/2003                                       $  8,465                $  7,153
6/30/2003                                       $ 10,409                $  8,814
9/30/2003                                       $ 11,921                $  9,977
12/31/2003                                      $ 13,309                $ 11,495
3/31/2004                                       $ 15,001                $ 12,496
6/30/2004                                       $ 15,012                $ 12,608

 Salomon Smith Barney Extended Market Index -- EPAC (EMI) is compiled by
Salomon Smith Barney. The EMI defines the small-capitalization equity universe, 
representing the bottom 20% of the available capitalization, and 75% of the     
number of issues, of each country in the Salomon Smith Barney Broad Market Index
(SB BMI). The index is calculated gross of withholding taxes and is             
capitalization weighted.                                                        

  For comparative purposes, the SA International Small Company Fund uses a
blended return which is calculated using the Fund's respective target weightings
against corresponding EMI regions. For the period prior to April 1, 2002, the   
blended return was calculated using 35%, 35%, 15% and 15% of the Europe ex UK,  
Japan, United Kingdom and Asia Pacific ex Japan EMI Indexes, respectively. For  
the period subsequent to April 1, 2002, the blended return was calculated using 
42%, 29%, 15% and 14% of the Europe ex UK, Japan, United Kingdom and Asia       
Pacific ex Japan EMI Indexes, respectively.                                     

PERFORMANCE INFORMATION                                               

                                                                [Download Table]

                                                                   ANNUALIZED 
                                                YEAR ENDED        INCEPTION TO
                                              JUNE 30, 2004      JUNE 30, 2004
------------------------------------------------------------------------------
                                                                              
SA International Small Company Fund                44.21%           8.63%(a)  
Salomon Smith Barney Extended Market Index         43.03%           4.82%(b)  

(a)  From commencement of operations (August 5, 1999)                           
(b)  Performance for the benchmark is not available from August 5, 1999         
  (commencement of operations). For that reason, performance is shown from
July 31, 1999.                                                        

"TOTAL RETURN" IS CALCULATED INCLUDING REINVESTMENT OF ALL INCOME DIVIDENDS AND 
DISTRIBUTIONS. RESULTS REPRESENT PAST PERFORMANCE AND DO NOT INDICATE FUTURE    
RESULTS. THE VALUE OF AN INVESTMENT IN A FUND AND THE RETURN ON INVESTMENT BOTH 
WILL FLUCTUATE, SO THAT REDEMPTION PROCEEDS MAY BE HIGHER OR LOWER THAN AN      
INVESTOR'S ORIGINAL COST. THE RETURNS SHOWN DO NOT REFLECT THE DEDUCTION OF     
TAXES THAT AN INVESTOR WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND
SHARES.                                                                         

 7

N-CSR
12th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 12th
SA Fixed Income Fund                                                            

PORTFOLIO OF INVESTMENTS -- AS OF JUNE 30, 2004                                 

                                                        [Enlarge/Download Table]

                                                              FACE                       
                                                             AMOUNT           VALUE+     
-----------------------------------------------------------------------------------------
                                                                                         
BONDS AND NOTES -- 97.7%                                                                 
AUSTRIA -- 1.3%                                                                          
  Republic of Austria, 6.250%,                                                           
   5/19/08                                               USD  3,300,000   $     3,582,770
                                                                          ---------------

CANADA -- 8.2%                                                                           
  BP Canada Finance Co., 3.625%,                                                         
   1/15/09                                               USD  4,525,000         4,430,790
  Canada Mortgage & Housing Corp.,                                                       
   3.375%, 12/01/08                                      USD  3,450,000         3,391,395
  Government of Canada, 5.250%,                                                          
   11/05/08                                              USD  5,500,000         5,812,235
  Province of British Columbia, 5.375%,                                                  
   10/29/08                                              USD  1,300,000         1,369,892
  Province of Ontario, 5.500%,                                                           
   10/01/08                                              USD  7,550,000         7,982,562
                                                                          ---------------
                                                                               22,986,874
                                                                          ---------------

FINLAND -- 2.8%                                                                          
  Republic of Finland, 3.250%,                                                           
   5/15/09                                               USD  8,000,000         7,703,600
                                                                          ---------------

FRANCE -- 4.2%                                                                           
  Dexia Credit Local, 5.500%, 1/21/09                    USD  4,600,000         4,821,945
  Total Capital SA, 3.500%, 1/05/09                      USD  7,200,000         7,012,800
                                                                          ---------------
                                                                               11,834,745
                                                                          ---------------

GERMANY -- 7.7%                                                                          
  DSL Bank AG, 5.500%, 2/17/09                           USD  1,700,000         1,782,413
  KfW Group, 3.250%, 3/30/09                             USD  7,200,000         6,991,668
  Landeskreditbank Baden                                                                 
   Wuerttemberg -- Foerderbank,                                                          
   3.000%, 9/30/08                                       USD  5,000,000         4,773,635
  Landwirtschaftliche Rentenbank,                                                        
   3.750%, 6/15/09                                       USD  8,100,000         7,937,279
                                                                          ---------------
                                                                               21,484,995
                                                                          ---------------

JAPAN -- 1.5%                                                                            
  Nippon Telegraph & Telephone Corp.,                                                    
   6.000%, 3/25/08                                       USD  4,000,000         4,275,936
                                                                          ---------------

NETHERLANDS -- 3.7%                                                                      
  Nederlandse Waterschapsbank,                                                           
   2.750%, 12/30/08                                      USD  5,000,000         4,717,020
  Rabobank Nederland --                                                                  
   Cooperatieve Centrale                                                                 
   Raiffeisen -- Boerenleenbank                                                          
   BA, 5.500%, 9/17/08                                   USD  5,200,000         5,477,758
                                                                          ---------------
                                                                               10,194,778
                                                                          ---------------

SPAIN -- 1.3%                                                                            
  Kingdom of Spain, 5.875%, 7/28/08                      USD  3,500,000         3,754,111
                                                                          ---------------

SWEDEN -- 2.9%                                                                           
  Government of Sweden, 5.000%,                                                          
   1/28/09 Series 1043                                   SEK 58,000,000         8,022,750
                                                                          ---------------

UNITED STATES -- 64.1%                                                                   
  African Development Bank, 3.250%,                                                      
   8/01/08                                               USD  4,800,000   $     4,668,754
  Bayerische Landesbank Girozentrale,                                                    
   2.875%, 10/15/08                                      USD  1,700,000         1,608,271
  Bayerische Landesbank Girozentrale,                                                    
   5.875%, 12/01/08                                      USD  2,100,000         2,241,349
  Citigroup, Inc., 3.625%, 2/09/09                       USD  2,470,000         2,402,846
  European Coal & Steel, 6.375%,                                                         
   3/26/08                                               USD  1,355,000         1,463,517
  European Investment Bank, 5.375%,                                                      
   9/16/08                                               USD  5,000,000         5,297,140
  Federal Farm Credit Bank, 3.625%,                                                      
   10/24/08                                              USD 13,000,000        12,805,169
  Federal Home Loan Bank, 3.000%,                                                        
   4/15/09                                               USD  5,700,000         5,417,274
  Federal Home Loan Bank, 3.500%,                                                        
   2/13/09                                               USD  4,000,000         3,900,912
  Federal Home Loan Bank, 3.625%,                                                        
   11/14/08                                              USD  4,000,000         3,939,284
  Federal Home Loan Bank, 5.500%,                                                        
   8/15/08                                               USD  4,000,000         4,229,004
  Federal Home Loan Mortgage Corp.,                                                      
   3.375%, 4/15/09                                       USD  3,000,000         2,891,925
  Federal Home Loan Mortgage Corp.,                                                      
   3.625%, 9/15/08                                       USD  3,000,000         2,960,220
  Federal Home Loan Mortgage Corp.,                                                      
   5.125%, 10/15/08                                      USD 11,500,000        12,012,774
  Federal Home Loan Mortgage Corp.,                                                      
   5.750%, 3/15/09                                       USD  4,000,000         4,271,184
  Federal National Mortgage                                                              
   Association, 3.250%, 8/15/08                          USD  8,500,000         8,280,453
  Federal National Mortgage                                                              
   Association, 3.250%, 2/15/09                          USD 12,000,000        11,573,688
  Federal National Mortgage                                                              
   Association, 5.250%, 1/15/09                          USD  4,600,000         4,823,298
  Fifth Third Bank, 3.375%, 8/15/08                      USD  4,000,000         3,887,004
  General Electric Capital Corp.,                                                        
   4.250%, 1/15/08                                       USD  4,000,000         4,053,384
  Interamerican Development Bank,                                                        
   3.375%, 3/17/08                                       USD  2,800,000         2,778,193
  Interamerican Development Bank,                                                        
   5.375%, 11/18/08                                      USD  3,200,000         3,406,573
  International Bank of                                                                  
   Reconstruction & Development,                                                         
   5.000%, 10/29/08                                      USD  6,000,000         6,236,058
  Procter & Gamble Co., 4.300%,                                                          
   8/15/08                                               USD  1,800,000         1,826,591
  Procter & Gamble Co., 6.125%,                                                          
   5/08/08                                               USD  6,000,000         6,435,474
  Siemens Capital Corp., 6.000%,                                                         
   2/11/08                                               USD  5,000,000         5,309,415
  Tennessee Valley Authority, 5.375%,                                                    
   11/13/08 Series G                                     USD 11,140,000        11,739,399
  The Gillette Co., 2.500%, 6/01/08                      USD  1,600,000         1,524,310
  The Gillette Co., 2.875%, 3/15/08                      USD  4,550,000         4,430,317

 8

N-CSR
13th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 13th
                                                        [Enlarge/Download Table]

                                                              FACE                       
                                                             AMOUNT           VALUE+     
-----------------------------------------------------------------------------------------
                                                                                         
BONDS AND NOTES (CONTINUED)                                                              
UNITED STATES (CONTINUED)                                                                
  Toyota Motor Credit Corp., 2.875%,                                                     
   8/01/08                                               USD  6,350,000   $     6,075,344
  US Bank N.A., 3.400%, 3/02/09                          USD  6,800,000         6,523,335
  Wal-Mart Stores, Inc., 3.375%,                                                         
   10/01/08                                              USD  5,200,000         5,059,142
  Wells Fargo & Co., 3.125%,                                                             
   4/01/09                                               USD  7,500,000         7,126,935
  Westdeutsche Landesbank,                                                               
   6.050%, 1/15/09                                       USD  7,500,000         7,993,290
                                                                          ---------------
                                                                              179,191,826
                                                                          ---------------
  TOTAL BONDS AND NOTES                                                                  
   (Identified Cost $278,277,112)                                             273,032,385
                                                                          ---------------


                                                             SHARES                      
                                                         --------------                  
                                                                                         
SHORT-TERM INVESTMENTS -- 0.7%                                                           
UNITED STATES -- 0.7%                                                                    
  SSgA Government Money Market                                                           
   Fund                                                             511               511
  SSgA Money Market Fund                                      1,876,699         1,876,699
                                                                          ---------------
                                                                                1,877,210
                                                                          ---------------

  TOTAL SHORT-TERM INVESTMENTS                                                           
   (Identified Cost $1,877,210)                                                 1,877,210
                                                                          ---------------

TOTAL INVESTMENTS -- 98.4%                                                               
  (IDENTIFIED COST $280,154,322)#                                             274,909,595
  Cash and Other Assets,                                                                 
   Less Liabilities -- 1.6%                                                     4,564,736
                                                                          ---------------
NET ASSETS -- 100%                                                        $   279,474,331
                                                                          ===============

+  See Note 1.                                                            
 #  At June 30, 2004, the aggregate cost of investment securities for income
 tax purposes was $280,154,322. Net unrealized depreciation aggregated
    $5,244,727 of which $93,833 related to appreciated investment securities
and $5,338,560 related to depreciated investment securities.        
Key to abbreviations:                                                           
SEK -- Swedish Krona                                                            
USD -- U.S. Dollar                                                              

Ten Largest Sector Holdings at June 30, 2004                                    
(As a percentage of Net Assets):                                                

                                                                [Download Table]

INDUSTRY                             PERCENTAGE
--------                             ----------
                                               
Government Agency                       31.8%  
Banks                                   22.7%  
Foreign Government/Agency               14.9%  
Financial Services                       7.2%  
Supranational Organizations              6.9%  
Diversified Operations                   5.6%  
Cosmetics & Toiletries                   2.8%  
Oil & Gas                                2.5%  
Retail -- General                        1.8%  
Telephone                                1.5%  

SEE NOTES TO FINANCIAL STATEMENTS.

 9

N-CSR
14th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 14th
SA U.S. Market Fund                                                             

PORTFOLIO OF INVESTMENTS -- AS OF JUNE 30, 2004                                 

                                                                [Download Table]

                                                        SHARES          VALUE+     
-----------------------------------------------------------------------------------
                                                                                   
COMMON STOCKS -- 98.8%                                                             
ADVERTISING -- 0.2%                                                                
  Getty Images, Inc.*                                       1,300   $        78,000
  Interpublic Group of Cos., Inc.                          10,070           138,261
  Lamar Advertising Co. Class A*                            1,700            73,695
  Omnicom Group, Inc.                                       4,500           341,505
                                                                    ---------------
                                                                            631,461
                                                                    ---------------

AEROSPACE/DEFENSE -- 1.5%                                                          
  Alliant Techsystems, Inc.*                                  675            42,754
  Armor Holdings, Inc.*                                       400            13,600
  Boeing Co.                                               18,500           945,165
  DRS Technologies, Inc.*                                     500            15,950
  Engineered Support Systems, Inc.                            300            17,553
  General Dynamics Corp.                                    4,400           436,920
  Goodrich Corp.                                            2,600            84,058
  Honeywell International, Inc.                            20,600           754,578
  Northrop Grumman Corp.                                    8,044           431,963
  Raytheon Co.                                             10,100           361,277
  Rockwell Collins                                          4,300           143,276
  Teledyne Technologies, Inc.*                                500            10,010
  The Titan Corp.*                                          1,000            12,980
  United Defense Industries, Inc.*                          1,200            42,000
  United Technologies Corp.                                11,300         1,033,724
                                                                    ---------------
                                                                          4,345,808
                                                                    ---------------

AGRICULTURAL OPERATIONS -- 0.1%                                                    
  AGCO Corp.*                                               1,900            38,703
  Delta & Pine Land Co.                                       500            10,975
  Monsanto Co.                                              5,817           223,955
                                                                    ---------------
                                                                            273,633
                                                                    ---------------

AIRLINES -- 0.2%                                                                   
  AirTran Holdings, Inc.*                                     800            11,312
  Alaska Air Group, Inc.*                                     700            16,709
  AMR Corp.*                                                2,800            33,908
  Continental Airlines, Inc. Class B*                         700             7,959
  Delta Air Lines, Inc.                                     1,500            10,680
  JetBlue Airways Corp.*                                    2,500            73,450
  Northwest Airlines Corp. Class A*                         1,200            13,344
  SkyWest, Inc.                                               600            10,446
  Southwest Airlines Co.                                   17,400           291,798
                                                                    ---------------
                                                                            469,606
                                                                    ---------------

APPLIANCES -- 0.0%                                                                 
  Maytag Corp.                                              1,400            34,314
  Whirlpool Corp.                                           1,400            96,040
                                                                    ---------------
                                                                            130,354
                                                                    ---------------

AUTO & RELATED -- 1.1%                                                             
  Advance Auto Parts, Inc.*                                 1,800            79,524
  American Axle & Manufacturing                                                    
   Holdings, Inc.                                           1,100            39,996
  Asbury Automotive Group, Inc.*                              900            13,500
  AutoZone, Inc.*                                           2,000           160,200
  BorgWarner, Inc.                                          1,000            43,770
  CarMax, Inc.*                                             2,273            49,711
  CSK Auto Corp.*                                             500   $         8,570
  Cummins Engine Co., Inc.                                    800            50,000
  Dana Corp.                                                1,500            29,400
  Delphi Automotive Systems Corp.                          13,400           143,112
  Dollar Thrifty Automotive Group, Inc.*                      500            13,720
  Ford Motor Co.                                           42,200           660,430
  General Motors Corp.                                     12,300           573,057
  Harley-Davidson, Inc.                                     7,100           439,774
  Johnson Controls, Inc.                                    4,600           245,548
  Lear Corp.                                                1,700           100,283
  Monaco Coach Corp.                                          200             5,634
  Navistar International Corp.*                             1,500            58,140
  O'Reilly Automotive, Inc.*                                1,000            45,200
  Oshkosh Truck Corp.                                         600            34,386
  PACCAR, Inc.                                              3,825           221,812
  Rent-A-Center, Inc.*                                      1,650            49,384
  Superior Industries International, Inc.                     300            10,035
  Thor Industries, Inc.                                     1,600            53,536
  United Auto Group, Inc.                                     600            18,390
  United Rentals, Inc.*                                     1,200            21,468
  Visteon Corp.                                             1,800            21,006
  Winnebago Industries, Inc.                                  400            14,912
                                                                    ---------------
                                                                          3,204,498
                                                                    ---------------

BANKS/SAVINGS & LOANS -- 5.7%                                                      
  Alabama National BanCorp.                                   300            16,641
  AMCORE Financial, Inc.                                      500            15,080
  Associated Banc-Corp.                                     2,419            71,675
  Astoria Financial Corp.                                   1,600            58,528
  BancorpSouth, Inc.                                        1,400            31,542
  Bank of America Corp.                                    48,933         4,140,710
  Bank of New York Co., Inc.                               18,700           551,276
  Bank One Corp.                                           22,400         1,142,400
  Banknorth Group, Inc.                                     3,900           126,672
  BankUnited Financial Corp. Class A*                         500            12,900
  BB&T Corp.                                               13,179           487,228
  BOK Financial Corp.                                       1,086            42,647
  Brookline Bancorp, Inc.                                     800            11,736
  Capitol Federal Financial                                 1,500            44,850
  Cathay Bancorp, Inc.                                        300            20,010
  Charter One Financial, Inc.                               4,862           214,852
  Chemical Financial Corp.                                    100             3,689
  Chittenden Corp.                                            500            17,575
  City National Corp.                                       1,000            65,700
  Comerica, Inc.                                            4,200           230,496
  Commerce Bancshares, Inc.                                 1,512            69,469
  Commercial Federal Corp.                                    600            16,260
  Community First Bankshares, Inc.                            500            16,095
  Compass Bancshares, Inc.                                  2,700           116,100
  Corus Bankshares, Inc.                                      800            32,888
  CVB Financial Corp.                                         687            14,963
  Dime Community Bancshares                                   600            10,488
  Downey Financial Corp.                                      300            15,975
  East West Bancorp, Inc.                                     600            18,420
  Fifth Third Bancorp.                                     12,450           669,561
  First Charter Corp.                                         600            13,074
  First Financial Bancorp.                                    630            11,164

10

N-CSR
15th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 15th
                                                                [Download Table]

                                                        SHARES          VALUE+     
-----------------------------------------------------------------------------------
                                                                                   
COMMON STOCKS (CONTINUED)                                                          
BANKS/SAVINGS & LOANS (CONTINUED)                                                  
  First Horizon National Corp.                              2,800   $       127,316
  First National Bankshares of Florida                        568            10,755
  First Niagara Financial Group, Inc.                       1,000            12,000
  FirstFed Financial Corp.*                                   300            12,480
  Flagstar Bancorp, Inc.                                      600            11,928
  FNB Corp.                                                   551            11,240
  Fulton Financial Corp.                                    2,291            46,164
  Golden West Financial Corp.                               3,700           393,495
  Greater Bay Bancorp.                                        900            26,010
  GreenPoint Financial Corp.                                2,750           109,175
  Hancock Holding Co.                                         200             5,812
  Harleysville National Corp.                                 400            10,240
  Hibernia Corp. Class A                                    3,700            89,910
  Hudson City Bancorp, Inc.                                 4,500           150,480
  Hudson United Bancorp.                                      900            33,552
  Huntington Bancshares, Inc.                               5,500           125,950
  Independence Community Bank Corp.                         1,984            72,218
  M&T Bank Corp.                                            2,800           244,440
  MAF Bancorp, Inc.                                           400            17,072
  Marshall & Ilsley Corp.                                   4,900           191,541
  MB Financial, Inc.                                          450            16,565
  Mercantile Bankshares Corp.                               1,800            84,276
  National Commerce Financial Corp.                         4,900           159,250
  National Penn Bancshares, Inc.                              400            11,896
  NBT Bancorp, Inc.                                           600            13,404
  New York Community Bancorp, Inc.                          6,265           122,982
  North Fork Bancorp., Inc.                                 3,600           136,980
  Northern Trust Corp.                                      5,300           224,084
  Northwest Bancorp, Inc.                                     900            20,610
  Ocwen Financial Corp.*                                      200             2,408
  Old National Bancorp.                                     1,245            30,913
  Pacific Capital Bancorp.                                    667            18,753
  People's Bank                                             2,100            65,415
  PFF Bancorp, Inc.                                           300            11,172
  PNC Bank Corp.                                            6,800           360,944
  Provident Bankshares Corp.                                  200             5,768
  Provident Financial Group, Inc.                             800            31,568
  Republic Bancorp, Inc.                                    1,331            18,501
  Riggs National Corp.                                        500            10,560
  S&T Bancorp, Inc.                                           415            13,272
  Silicon Valley Bancshares*                                  500            19,825
  SouthTrust Corp.                                          7,900           306,599
  Sovereign Bancorp, Inc.                                   7,400           163,540
  Sterling Financial Corp.                                    440            14,023
  Sun Trust Banks, Inc.                                     6,800           441,932
  TCF Financial Corp.                                       1,600            92,880
  Texas Regional Bancshares, Inc. Class A                     550            25,250
  The Colonial BancGroup, Inc.                              2,200            39,974
  TrustCo Bank Corp. NY                                     1,380            18,078
  Trustmark Corp.                                           1,100            31,812
  U.S. Bancorp.                                            46,115         1,270,929
  UCBH Holdings, Inc.                                         700            27,664
  UMB Financial Corp.                                         300            15,486
  UnionBanCal Corp.                                         3,500           197,400
  United Bankshares, Inc.                                     500            16,250
  United Community Banks, Inc.                                150   $         3,777
  Valley National Bancorp.                                  1,791            45,276
  Wachovia Corp.                                           29,200         1,299,400
  Washington Federal, Inc.                                  1,770            42,480
  Washington Mutual, Inc.                                  19,750           763,140
  Waypoint Financial Corp.                                    600            16,554
  Webster Financial Corp.                                     800            37,616
  Westamerica Bancorp.                                        500            26,225
  Westcorp.                                                   900            40,905
  Wintrust Financial Corp.                                    300            15,153
  Zions Bancorp.                                            2,700           165,915
                                                                    ---------------
                                                                         16,509,846
                                                                    ---------------

BROADCASTING -- 0.9%                                                               
  Charter Communications, Inc. Class A*                     2,900            11,368
  Clear Channel Communications, Inc.                       14,700           543,165
  Comcast Corp. Class A*                                   32,525           911,676
  Comcast Corp. Class A Special*                           10,000           276,100
  Cumulus Media, Inc. Class A*                                800            13,448
  Fox Entertainment Group, Inc. Class A*                   10,200           272,340
  Gray Television, Inc.                                       200             2,778
  Hearst-Argyle Television, Inc.                            1,000            25,780
  Liberty Media International, Inc. Series A*               3,210           119,091
  Mediacom Communications Corp.*                            1,500            11,730
  Sinclair Broadcast Group, Inc. Class A                    2,200            22,594
  The DIRECTV Group, Inc.*                                  1,399            23,923
  TiVo, Inc.*                                               1,100             7,799
  UnitedGlobalCom, Inc. Class A*                            7,800            56,628
  Univision Communications, Inc. Class A*                   6,050           193,176
                                                                    ---------------
                                                                          2,491,596
                                                                    ---------------

BUILDING & CONSTRUCTION -- 0.6%                                                    
  Beazer Homes USA, Inc.                                      200            20,062
  Cavco Industries, Inc.*                                      50             1,985
  Centex Corp.                                              2,800           128,100
  D.R. Horton, Inc.                                         5,625           159,750
  Dycom Industries, Inc.*                                     700            19,600
  Emcor Group, Inc.*                                          300            13,194
  Florida Rock Industries, Inc.                               750            31,627
  Granite Construction, Inc.                                  500             9,115
  Hovnanian Enterprises, Inc. Class A*                        800            27,768
  Jacobs Engineering Group, Inc.*                           1,200            47,256
  KB HOME                                                   1,100            75,493
  Lafarge Corp.                                             1,700            73,610
  Lennar Corp.                                              2,800           125,216
  Lennar Corp. Class B                                        100             4,143
  M.D.C. Holdings, Inc.                                       583            37,085
  Martin Marietta Materials, Inc.                           1,200            53,196
  Masco Corp.                                              10,700           333,626
  Meritage Corp.*                                             200            13,760
  Modine Manufacturing Co.                                    400            12,740
  NVR, Inc.*                                                  100            48,420
  Pulte Corp.                                               2,800           145,684
  Ryland Group, Inc.                                          500            39,100
  Simpson Manufacturing Co., Inc.                             400            22,448
  Standard Pacific Corp.                                      500            24,650
  Texas Industries, Inc.                                      300            12,351

11

N-CSR
16th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 16th
                                                                [Download Table]

                                                        SHARES          VALUE+     
-----------------------------------------------------------------------------------
                                                                                   
COMMON STOCKS (CONTINUED)                                                          
BUILDING & CONSTRUCTION (CONTINUED)                                                
  The Shaw Group, Inc.*                                     1,000   $        10,130
  Toll Brothers, Inc.*                                      1,600            67,712
  URS Corp.*                                                  600            16,440
  Vulcan Materials Co.                                      2,400           114,120
  WCI Communities, Inc.*                                      600            13,386
  William Lyon Homes, Inc.*                                   200            18,430
  York International Corp.                                    500            20,535
                                                                    ---------------
                                                                          1,740,732
                                                                    ---------------

BUSINESS SERVICES -- 1.4%                                                          
  Acxiom Corp.                                              1,700            42,211
  ADVO, Inc.                                                  400            13,168
  Ariba, Inc.*                                              3,200             6,336
  Aspect Communications Corp.*                                800            11,360
  Automatic Data Processing, Inc.                          13,000           544,440
  Banta Corp.                                                 500            22,205
  BEA Systems, Inc.*                                        9,800            80,556
  BearingPoint, Inc.*                                       4,700            41,689
  Brady Corp. Class A                                         300            13,830
  Catalina Marketing Corp.*                                   800            14,632
  CDI Corp.                                                   300            10,380
  Ceridian Corp.*                                           3,600            81,000
  Certegy, Inc.                                               300            11,640
  ChoicePoint, Inc.*                                        1,966            89,768
  Cintas Corp.                                              4,100           195,447
  CSG Systems International, Inc.*                            800            16,560
  Ecolab, Inc.                                              6,200           196,540
  Electronic Data Systems Corp.                            10,600           202,990
  Expeditors International of Washington, Inc.              2,500           123,525
  Exult, Inc.*                                              1,900            10,222
  Fair, Issac & Co., Inc.                                   1,600            53,408
  First Data Corp.                                         21,191           943,423
  Fiserv, Inc.*                                             4,650           180,838
  Foundry Networks, Inc.*                                   2,900            40,803
  FTI Consulting, Inc.*                                     1,100            18,150
  Gartner, Inc. Class A*                                      600             7,932
  Global Payments, Inc.                                       240            10,805
  Harte-Hanks, Inc.                                         2,550            62,246
  Hudson Highland Group, Inc.*                                135             4,139
  Iron Mountain, Inc.*                                      2,100           101,346
  John H. Harland Co.                                         500            14,675
  Keane, Inc.*                                              1,100            15,059
  Kelly Services, Inc. Class A                                500            14,900
  Manpower, Inc.                                            1,900            96,463
  MAXIMUS, Inc.*                                              400            14,184
  MPS Group, Inc.*                                          1,400            16,968
  NCO Group, Inc.*                                            500            13,345
  Paychex, Inc.                                             9,050           306,614
  Resources Connection, Inc.*                                 300            11,733
  Robert Half International, Inc.                           4,100           122,057
  SEI Investments Co.                                       2,500            72,600
  TeleTech Holdings, Inc.*                                    500             4,385
  Tetra Tech, Inc.*                                         1,000            16,320
  The Corporate Executive Board Co.                           800            46,232
  The Reynolds & Reynolds Co. Class A                       1,500   $        34,695
  Watson Wyatt & Co. Holdings                                 500            13,325
  Westwood One, Inc.*                                       2,200            52,360
                                                                    ---------------
                                                                          4,017,504
                                                                    ---------------

CHEMICALS -- 1.3%                                                                  
  Air Products & Chemicals, Inc.                            5,500           288,475
  Airgas, Inc.                                              1,500            35,865
  Albemarle Corp.                                             500            15,825
  Ashland, Inc.                                             1,500            79,215
  Cabot Corp.                                               1,400            56,980
  Cabot Microelectronics Corp.*                               300             9,183
  Crompton Corp.                                            1,800            11,340
  Cytec Industries, Inc.                                      500            22,725
  Dionex Corp.*                                               300            16,551
  Dow Chemical Co.                                         22,500           915,750
  E.I. du Pont de Nemours & Co.                            21,900           972,798
  Eastman Chemical Co.                                      1,700            78,591
  Engelhard Corp.                                           2,700            87,237
  Ferro Corp.                                                 500            13,340
  FMC Corp.*                                                  500            21,555
  Georgia Gulf Corp.                                          600            21,516
  Great Lakes Chemical Corp.                                  800            21,648
  H.B. Fuller Co.                                             500            14,200
  Hercules, Inc.*                                           1,300            15,847
  IMC Global, Inc.                                          1,800            24,120
  Kronos Worldwide Inc.                                       710            24,282
  Lubrizol Corp.                                              900            32,958
  Lyondell Chemical Co.                                     3,900            67,821
  MacDermid, Inc.                                             600            20,310
  Millennium Chemicals, Inc.                                  900            15,588
  Minerals Technologies, Inc.                                 300            17,400
  NL Industries, Inc.                                         800            11,600
  Olin Corp.                                                  700            12,334
  OM Group, Inc.*                                             400            13,204
  Praxair, Inc.                                             7,800           311,298
  Rohm & Haas Co.                                           5,400           224,532
  RPM, Inc.                                                 2,100            31,920
  Sigma-Aldrich Corp.                                       1,700           101,337
  Spartech Corp.                                              500            12,970
  The Valspar Corp.                                         1,000            50,390
  Valhi, Inc.                                               1,960            22,285
                                                                    ---------------
                                                                          3,692,990
                                                                    ---------------

COMMERCIAL SERVICES -- 0.2%                                                        
  Alliance Data Systems Corp.*                              1,800            76,050
  Aramark Corp. Class B                                     2,300            66,148
  Arbitron, Inc.*                                             300            10,956
  Central Parking Corp.                                       200             3,738
  Convergys Corp.*                                          2,900            44,660
  Deluxe Corp.                                                900            39,150
  Plexus Corp.*                                               800            10,800
  Polycom, Inc.*                                            1,800            40,338
  Quanta Services, Inc.*                                    1,400             8,708
  R.H. Donnelley Corp.*                                       500            21,870
  Veritas DGC, Inc.*                                          700            16,205
  Weight Watchers International, Inc.*                      2,400            93,936
                                                                    ---------------
                                                                            432,559
                                                                    ---------------

12

N-CSR
17th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 17th
                                                                [Download Table]

                                                        SHARES          VALUE+     
-----------------------------------------------------------------------------------
                                                                                   
COMMON STOCKS (CONTINUED)                                                          
COMMUNICATION SERVICES -- 0.0%                                                     
  West Corp.*                                               1,100   $        28,765
                                                                    ---------------

COMMUNICATIONS EQUIPMENT -- 0.1%                                                   
  Andrew Corp.*                                             3,200            64,032
  Arris Group, Inc.*                                        1,200             7,128
  Finisar Corp.*                                              900             1,782
  L-3 Communications Holdings, Inc.                         2,300           153,640
  Sonus Networks, Inc.*                                     3,600            17,208
  Tekelec*                                                    900            16,353
                                                                    ---------------
                                                                            260,143
                                                                    ---------------

COMPUTER EQUIPMENT -- 2.0%                                                         
  Adaptec, Inc.*                                            1,100             9,306
  Advanced Digital Information Corp.*                         800             7,760
  Brocade Communications Systems, Inc.*                     5,700            34,086
  Electronics for Imaging, Inc.*                              600            16,956
  EMC Corp.*                                               57,932           660,425
  Emulex Corp.*                                             1,500            21,465
  Hutchinson Technology, Inc.*                                400             9,836
  Imation Corp.                                               500            21,305
  Ingram Micro, Inc. Class A*                               2,800            40,516
  Insight Enterprises, Inc.*                                  800            14,208
  Intel Corp.                                             150,600         4,156,560
  Kronos, Inc.*                                               500            20,600
  Maxtor Corp.*                                             4,400            29,172
  McDATA Corp. Class A*                                     1,500             8,070
  MEMC Electronic Materials, Inc.*                          3,700            36,556
  Mentor Graphics Corp.*                                      800            12,376
  PalmOne, Inc.*                                              500            17,385
  SanDisk Corp.*                                            3,200            69,408
  Semtech Corp.*                                            1,200            28,248
  Silicon Storage Technology, Inc.*                         1,300            13,390
  Storage Technology Corp.*                                 2,500            72,500
  Varian Semiconductor Equipment                                                   
   Associates, Inc.*                                          500            19,280
  VERITAS Software Corp.*                                   9,400           260,380
  Western Digital Corp.*                                    3,700            32,042
  Whitney Holding Corp.                                       750            33,502
                                                                    ---------------
                                                                          5,645,332
                                                                    ---------------

COMPUTER SERVICES -- 2.0%                                                          
  Affiliated Computer Services, Inc.                                               
   Class A*                                                 2,800           148,232
  Anteon International Corp.*                                 400            13,048
  Avocent Corp.*                                            1,100            40,414
  Black Box Corp.                                             300            14,178
  Cadence Design Systems, Inc.*                             5,800            84,854
  Cisco Systems, Inc.*                                    156,200         3,701,940
  Cognizant Technology Solutions Corp.*                     2,800            71,148
  Computer Sciences Corp.*                                  4,500           208,935
  Compuware Corp.*                                          7,700            50,820
  Diebold, Inc.                                             1,700            89,879
  DST Systems, Inc.*                                        2,500           120,225
  Extreme Networks, Inc.*                                   1,400             7,728
  FactSet Research Systems, Inc.                              500            23,635
  GTECH Holdings Corp.                                      1,200   $        55,572
  Intergraph Corp.*                                           700            18,102
  Jack Henry & Associates, Inc.                             1,800            36,180
  MICROS Systems, Inc.*                                       300            14,391
  NCR Corp.*                                                2,300           114,057
  Network Appliance, Inc.*                                  8,300           178,699
  Perot Systems Corp. Class A*                              1,700            22,559
  Sun Microsystems, Inc.*                                  72,300           313,782
  SunGard Data Systems, Inc.*                               6,300           163,800
  Sybase, Inc.*                                             1,700            30,600
  Syntel, Inc.                                                600             9,930
  The BISYS Group, Inc.*                                    2,400            33,744
  Unisys Corp.*                                             7,300           101,324
  Wind River Systems, Inc.*                                 1,300            15,288
                                                                    ---------------
                                                                          5,683,064
                                                                    ---------------

COMPUTER SOFTWARE -- 3.8%                                                          
  3Com Corp.*                                               8,200            51,250
  Activision, Inc.*                                         2,325            36,968
  Adobe Systems, Inc.                                       5,700           265,050
  Ascential Software Corp.*                                   471             7,531
  Autodesk, Inc.                                            2,500           107,025
  BMC Software, Inc.*                                       5,400            99,900
  Borland Software Corp.*                                     800             6,792
  CheckFree Corp.*                                          1,800            54,000
  Citrix Systems, Inc.*                                     3,700            75,332
  Computer Associates International, Inc.                  12,700           356,362
  Electronic Arts, Inc.*                                    7,200           392,760
  Enterasys Networks, Inc.*                                 1,700             3,587
  eResearch Technology, Inc.*                                 600            16,800
  FileNET Corp.*                                              500            15,785
  Hyperion Solutions Corp.*                                   500            21,860
  Informatica Corp.*                                        1,300             9,919
  Internet Security Systems, Inc.*                            600             9,204
  Intuit, Inc.*                                             4,300           165,894
  Lawson Software, Inc.*                                      900             6,372
  Macromedia, Inc.*                                         1,000            24,550
  Mercury Interactive Corp.*                                1,800            89,694
  Microsoft Corp.                                         235,300         6,720,168
  Midway Games, Inc.*                                       1,000            11,520
  National Instruments Corp.                                1,350            41,377
  NetIQ Corp.*                                                500             6,600
  Network Associates, Inc.                                  3,600            65,268
  Novell, Inc.*                                             8,200            68,798
  NVIDIA Corp.*                                             3,600            73,800
  Openwave Systems, Inc.*                                     900            11,430
  Oracle Corp.*                                           122,000         1,455,460
  PalmSource, Inc.*                                           154             2,640
  Parametric Technology Corp.*                              4,200            21,000
  PeopleSoft, Inc.*                                         4,664            86,284
  Progress Software Corp.*                                    600            13,002
  Quest Software, Inc.*                                     1,100            14,190
  Red Hat, Inc.*                                            3,800            87,286
  SERENA Software, Inc.*                                    1,000            19,090
  Siebel Systems, Inc.*                                    12,100           129,228
  Symantec Corp.*                                           6,800           297,704
  Take-Two Interactive Software, Inc.*                        500            15,320

13

N-CSR
18th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 18th
                                                                [Download Table]

                                                        SHARES          VALUE+     
-----------------------------------------------------------------------------------
                                                                                   
COMMON STOCKS (CONTINUED)                                                          
COMPUTER SOFTWARE (CONTINUED)                                                      
  THQ, Inc.*                                                  500   $        11,450
  TIBCO Software, Inc.*                                     4,400            37,180
  WebMD Corp.*                                              6,800            63,376
                                                                    ---------------
                                                                         11,068,806
                                                                    ---------------

COMPUTERS -- 2.5%                                                                  
  Apple Computer, Inc.*                                     8,900           289,606
  Dell, Inc.*                                              56,300         2,016,666
  Gateway, Inc.*                                            4,900            22,050
  Hewlett-Packard Co.                                      68,101         1,436,931
  International Business Machines Corp.                    37,800         3,332,070
                                                                    ---------------
                                                                          7,097,323
                                                                    ---------------

CONSUMER PRODUCTS -- 2.4%                                                          
  Avon Products, Inc.                                      11,400           525,996
  Blyth, Inc.                                                 500            17,245
  Clorox Co.                                                5,000           268,900
  Colgate-Palmolive Co.                                    11,600           678,020
  Energizer Holdings, Inc.*                                   800            36,000
  Estee Lauder Companies, Inc. Class A                      3,000           146,340
  Fortune Brands, Inc.                                      3,200           241,376
  Fossil, Inc.*                                               900            24,525
  Gillette Co.                                             24,100         1,021,840
  Hasbro, Inc.                                              3,500            66,500
  IDEXX Laboratories, Inc.*                                   800            50,352
  International Flavors & Fragrances, Inc.                  2,000            74,800
  Jarden Corp.*                                               400            14,396
  Mattel, Inc.                                             10,300           187,975
  Newell Rubbermaid, Inc.                                   6,600           155,100
  Playtex Products, Inc.*                                   1,000             7,820
  Procter & Gamble Co.                                     62,000         3,375,280
  Russ Berrie & Co., Inc.                                     400             7,772
  The Scotts Co. Class A*                                     600            38,328
  The Yankee Candle Co., Inc.*                              1,100            32,175
  Tupperware Corp.                                            600            11,658
                                                                    ---------------
                                                                          6,982,398
                                                                    ---------------

CONTAINERS & GLASS -- 0.0%                                                         
  Crown Holdings, Inc.*                                     3,000            29,910
  Owens-Illinois, Inc.*                                     3,000            50,280
  Silgan Holdings, Inc.                                       300            12,093
                                                                    ---------------
                                                                             92,283
                                                                    ---------------

CONTAINERS -- PAPER/PLASTIC -- 0.1%                                                
  Bemis Co., Inc.                                           2,600            73,450
  Graphic Packaging Corp.*                                  3,600            31,140
  Longview Fibre Co.                                          900            13,257
  Sealed Air Corp.*                                         1,900           101,213
  Sonoco Products Co.                                       1,700            43,350
                                                                    ---------------
                                                                            262,410
                                                                    ---------------

CONSTRUCTION MATERIALS -- 0.0%                                                     
  Eagle Materials, Inc.                                       353            25,070
  Eagle Materials, Inc. Class B                               178            12,327
                                                                    ---------------
                                                                             37,397
                                                                    ---------------

DISTRIBUTION/WHOLESALE -- 0.2%                                                     
  CDW Corp.                                                 1,900   $       121,144
  Fastenal Co.                                              1,700            96,611
  Genuine Parts Co.                                         4,200           166,656
  Grainger, Inc.                                            2,000           115,000
  Hughes Supply, Inc.                                         700            41,251
  Owens & Minor, Inc.                                         500            12,950
  SCP Pool Corp.                                              400            18,000
  United Natural Foods, Inc.*                                 600            17,346
  United Stationers, Inc.*                                    500            19,860
                                                                    ---------------
                                                                            608,818
                                                                    ---------------

DIVERSIFIED OPERATIONS -- 2.0%                                                     
  3M Co.                                                   17,300         1,557,173
  Barnes Group, Inc.                                          400            11,592
  Carlisle Cos., Inc.                                         600            37,350
  Cendant Corp.                                            24,448           598,487
  Chemed Corp.                                                200             9,700
  Corning, Inc.*                                           32,900           429,674
  Crane Co.                                                 1,100            34,529
  Danaher Corp.                                             7,400           383,690
  Federal Signal Corp.                                        600            11,166
  Fidelity National Financial, Inc.                         4,115           153,654
  Florida East Coast Industries, Inc.                         500            19,325
  Harsco Corp.                                                800            37,600
  Hawaiian Electric Industries, Inc.                        1,800            46,980
  Hillenbrand Industries, Inc.                              1,500            90,675
  Illinois Tool Works, Inc.                                 6,800           652,052
  ITT Industries, Inc.                                      2,200           182,600
  Jefferson-Pilot Corp.                                     3,100           157,480
  Kroll, Inc.*                                                700            25,816
  Lancaster Colony Corp.                                      500            20,820
  Lockheed Martin Corp.                                     9,800           510,384
  Mathews International Corp. Class A                         500            16,470
  Pentair, Inc.                                             2,200            74,008
  PerkinElmer, Inc.                                         4,500            90,180
  PPG Industries, Inc.                                      4,100           256,209
  Roper Industries, Inc.                                      800            45,520
  Sensient Technologies Corp.                                 600            12,888
  Teleflex, Inc.                                              700            35,105
  Textron, Inc.                                             2,900           172,115
  Trinity Industries, Inc.                                    600            19,074
  Universal Corp.                                             500            25,470
  UNOVA, Inc.*                                                800            16,200
  Viad Corp.                                                1,600            43,216
                                                                    ---------------
                                                                          5,777,202
                                                                    ---------------

EDUCATION -- 0.2%                                                                  
  Apollo Group, Inc. Class A*                               4,150           366,404
  Career Education Corp.*                                   2,200           100,232
  Corinthian Colleges, Inc.*                                1,800            44,532
  DeVry, Inc.*                                              1,100            30,162
  Education Management Corp.*                               1,400            46,004
  ITT Educational Services, Inc.*                             900            34,218
  Laureate Education, Inc.*                                 1,000            38,240
  Renaissance Learning, Inc.                                  500            11,210
  Strayer Education, Inc.                                     200            22,314
                                                                    ---------------
                                                                            693,316
                                                                    ---------------

14

N-CSR
19th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 19th
                                                                [Download Table]

                                                        SHARES          VALUE+     
-----------------------------------------------------------------------------------
                                                                                   
COMMON STOCKS (CONTINUED)                                                          
ELECTRIC UTILITIES -- 0.1%                                                         
  Duquesne Light Holdings, Inc.                             1,000   $        19,310
  Great Plains Energy, Inc.                                 1,700            50,490
  NSTAR                                                     1,100            52,668
  Texas Genco Holdings, Inc.                                1,955            88,151
  Weststar Energy, Inc.                                     1,100            21,901
                                                                    ---------------
                                                                            232,520
                                                                    ---------------

ELECTRICAL EQUIPMENT -- 2.8%                                                       
  Avid Technology, Inc.*                                      300            16,371
  Axcelis Technologies, Inc.*                               1,400            17,416
  Belden, Inc.                                                500            10,715
  Checkpoint Systems, Inc.*                                   600            10,758
  Credence Systems Corp.*                                     900            12,420
  Fairchild Semiconductor Corp. Class A*                    2,100            34,377
  FLIR Systems, Inc.*                                         700            38,430
  General Electric Co.                                    229,300         7,429,320
  GrafTech International Ltd.*                              1,100            11,506
  Lincoln Electric Holdings, Inc.                             900            30,681
  Littelfuse, Inc.*                                           400            16,964
  Microchip Technology, Inc.                                4,950           156,123
  Molex, Inc.                                               2,000            64,160
  Paxar Corp.*                                                700            13,664
  Power Integrations, Inc.*                                   400             9,960
  Power-One, Inc.*                                          1,200            13,176
  Rogers Corp.*                                               300            20,970
  Veeco Instruments, Inc.*                                    400            10,324
  Xilinx, Inc.                                              8,300           276,473
                                                                    ---------------
                                                                          8,193,808
                                                                    ---------------

ELECTRONICS -- 2.7%                                                                
  Advanced Micro Devices, Inc.*                             8,500           135,150
  Aeroflex, Inc.*                                           1,100            15,763
  Agere Systems, Inc. Class A*                                368               847
  Agere Systems, Inc. Class B*                              9,048            19,453
  Agilent Technologies, Inc.*                              11,500           336,720
  Altera Corp.*                                             9,000           199,980
  AMETEK, Inc.                                              1,500            46,350
  Amkor Technology, Inc.*                                   3,800            31,084
  Amphenol Corp. Class A*                                   2,000            66,640
  Analog Devices, Inc.                                      9,000           423,720
  Anixter International, Inc.                                 600            20,418
  Applied Materials, Inc.*                                 37,100           727,902
  Applied Micro Circuits Corp.*                             5,500            29,260
  Arrow Electronics, Inc.*                                  2,300            61,686
  Atmel Corp.*                                             10,400            61,568
  ATMI, Inc.*                                                 500            13,655
  Avnet, Inc.*                                              2,922            66,329
  AVX Corp.                                                 3,500            50,575
  Benchmark Electronics, Inc.*                                700            20,370
  Broadcom Corp. Class A*                                   5,400           252,558
  Brooks Automation, Inc.*                                    500            10,075
  Coherent, Inc.*                                             400            11,940
  Conexant Systems, Inc.                                    9,217            39,910
  Cree, Inc.*                                               1,300            30,264
  Cubic Corp.                                                 500            10,465
  Curtiss-Wright Corp. Class B                                 38   $         2,043
  Cymer, Inc.*                                                500            18,720
  Cypress Semiconductor Corp.*                              2,700            38,313
  DSP Group, Inc.*                                            500            13,620
  Emerson Electric Co.                                      9,300           591,015
  Entegris, Inc.*                                           1,000            11,570
  Exar Corp.*                                                 600             8,796
  Gentex Corp.                                              1,500            59,520
  Harman International Industries, Inc.                     1,600           145,600
  Hubbell, Inc. Class B                                       900            42,039
  Integrated Circuit Systems, Inc.*                         1,300            35,308
  Integrated Device Technology, Inc.*                       2,100            29,064
  International Rectifier Corp.*                            1,200            49,704
  Intersil Corp. Class A                                    2,800            60,648
  Jabil Circuit, Inc.*                                      4,800           120,864
  KEMET Corp.*                                              1,500            18,330
  KLA-Tencor Corp.*                                         4,700           232,086
  Lam Research Corp.*                                       2,700            72,360
  Lattice Semiconductor Corp.*                              1,600            11,216
  Linear Technology Corp.                                   7,400           292,078
  LSI Logic Corp.*                                          8,300            63,246
  Maxim Integrated Products, Inc.                           7,136           374,069
  Micrel, Inc.*                                             1,800            21,870
  Micron Technology, Inc.*                                 13,400           205,154
  Microsemi Corp.*                                            800            11,368
  MKS Instruments, Inc.*                                      800            18,256
  National Semiconductor Corp.*                             8,200           180,318
  Newport Corp.*                                              600             9,702
  Novellus Systems, Inc.*                                   3,056            96,081
  OmniVision Technologies, Inc.*                            1,000            15,950
  ON Semiconductor Corp.*                                   4,300            21,586
  PMC-Sierra, Inc.*                                         3,400            48,790
  QLogic Corp.*                                             2,300            61,157
  Rambus, Inc.*                                             4,400            78,188
  Rockwell International Corp.                              4,500           168,795
  Sanmina Corp.*                                           10,520            95,732
  Silicon Image, Inc.*                                      1,000            13,130
  Silicon Laboratories, Inc.*                               1,100            50,985
  Siliconix, Inc.*                                            400            19,848
  Skyworks Solutions, Inc.*                                 3,000            26,190
  Solectron Corp.*                                         20,500           132,635
  Synopsys, Inc.*                                           3,700           105,191
  Tech Data Corp.*                                          1,300            50,869
  Technitrol, Inc.*                                           500            10,950
  Tektronix, Inc.                                           2,000            68,040
  Teradyne, Inc.*                                           4,200            95,340
  Texas Instruments, Inc.                                  41,500         1,003,470
  Thermo Electron Corp.*                                    3,995           122,806
  Thomas & Betts Corp.*                                     1,100            29,953
  Trimble Navigation Ltd.*                                    750            20,842
  TriQuint Semiconductor, Inc.*                             1,900            10,374
  Vishay Intertechnology, Inc.*                             3,200            59,456
  Vitesse Semiconductor Corp.*                              4,300            20,984
  Wilson Greatbatch Technologies, Inc.*                       300             8,385
  Zoran Corp.*                                                700            12,845
                                                                    ---------------
                                                                          7,868,131
                                                                    ---------------

15

N-CSR
20th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 20th
                                                                [Download Table]

                                                        SHARES          VALUE+     
-----------------------------------------------------------------------------------
                                                                                   
COMMON STOCKS (CONTINUED)                                                          
ENERGY -- 1.3%                                                                     
  Centerpoint Energy, Inc.                                  6,100   $        70,150
  ChevronTexaco Corp.                                      25,656         2,414,486
  CONSOL Energy, Inc.                                       1,800            64,800
  DTE Energy Co.                                            3,700           149,998
  Energy East Corp.                                         2,700            65,475
  Entergy Corp.                                             5,500           308,055
  Kinder Morgan, Inc.                                       3,000           177,870
  Peabody Energy Corp.                                      1,400            78,386
  Progress Energy, Inc.                                     5,900           259,895
  Sempra Energy                                             5,500           189,365
                                                                    ---------------
                                                                          3,778,480
                                                                    ---------------

ENVIROMENTAL SERVICES -- 0.0%                                                      
  Headwaters, Inc.*                                           500            12,965
  Mine Safety Appliances Co.                                  600            20,220
  Rollins, Inc.                                               900            20,709
                                                                    ---------------
                                                                             53,894
                                                                    ---------------

FACILITY SERVICES -- 0.0%                                                          
  ABM Industries, Inc.                                        800            15,576
                                                                    ---------------

FINANCIAL SERVICES -- 8.1%                                                         
  A.G. Edwards, Inc.                                        1,700            57,851
  Affiliated Managers Group, Inc.*                            600            30,222
  Ambac Financial Group, Inc.                               2,550           187,272
  American Capital Strategies Ltd.                          1,200            33,624
  American Express Co.                                     31,000         1,592,780
  AmeriCredit Corp.*                                        3,500            68,355
  Ameritrade Holding Corp.*                                 9,300           105,555
  AmSouth Bancorporation                                    7,700           196,119
  Bank of Hawaii Corp.                                      2,500           113,050
  BlackRock, Inc.                                             300            19,149
  Capital One Financial Corp.                               5,200           355,576
  Charles Schwab Corp.                                     32,800           315,208
  Citigroup, Inc.                                         118,465         5,508,622
  Citizens Banking Corp.                                      500            15,525
  Commerce Bancorp, Inc.                                    1,700            93,517
  CompuCredit Corp.*                                          700            12,110
  Countrywide Credit Industries, Inc.                       6,700           470,675
  Credit Acceptance Corp.*                                    800            12,056
  Cullen/Frost Bankers, Inc.                                  900            40,275
  Digital Insight Corp.*                                      600            12,438
  Dun & Bradstreet Corp.*                                   1,600            86,256
  E*Trade Group, Inc.*                                      8,100            90,315
  Eaton Vance Corp.                                         1,500            57,315
  eFunds Corp.*                                               800            14,000
  Equifax, Inc.                                             2,800            69,300
  First Commonwealth Financial Corp.                        1,200            15,564
  First Midwest Bancorp, Inc.                                 500            17,605
  FirstMerit Corp.                                          1,500            39,555
  Franklin Resources, Inc.                                  5,500           275,440
  Fremont General Corp.                                     1,500            26,475
  H&R Block, Inc.                                           4,300           205,024
  IndyMac Bancorp, Inc.                                     1,100            34,760
  Instinet Group, Inc.*                                     7,300            38,544
  Interactive Data Corp.*                                   1,400   $        24,388
  Investment Technology Group, Inc.*                          500             6,395
  Investors Financial Services Corp.                        1,300            56,654
  Irwin Financial Corp.                                       400            10,560
  J.P. Morgan Chase & Co.                                  49,940         1,936,174
  Janus Capital Group, Inc.                                 5,300            87,397
  Jefferies Group, Inc.                                     1,000            30,920
  KeyCorp                                                  10,000           298,900
  Knight Trading Group, Inc.*                               1,800            18,036
  LaBranche & Co., Inc.                                       500             4,210
  Legg Mason, Inc.                                          1,500           136,515
  Lehman Brothers Holdings, Inc.                            6,600           496,650
  MBIA, Inc.                                                3,500           199,920
  MBNA Corp.                                               30,650           790,463
  MCG Capital Corp.                                           300             4,614
  Mellon Financial Corp.                                   10,200           299,166
  Merrill Lynch & Co., Inc.                                21,300         1,149,774
  Morgan Stanley Dean Witter & Co.                         24,100         1,271,757
  National City Corp.                                      13,400           469,134
  National Processing, Inc.*                                  600            17,250
  New Century Financial Corp.                                 550            25,751
  Piper Jaffray Cos., Inc.*                                   360            16,283
  PRG-Schultz International, Inc.*                          1,000             5,470
  Protective Life Corp.                                     1,400            54,138
  Providian Financial Corp.*                                5,800            85,086
  Raymond James Financial, Inc.                             1,500            39,675
  Regions Financial Corp.                                   4,900           179,095
  Sky Financial Group, Inc.                                 1,900            46,987
  SLM Corp.                                                12,200           493,490
  South Financial Group, Inc.                                 800            22,672
  Southwest Bancorporation of Texas, Inc.                     500            22,060
  State Street Corp.                                        7,400           362,896
  Susquehanna Bancshares, Inc.                                800            20,128
  Synovus Financial Corp.                                   6,300           159,516
  T. Rowe Price Group, Inc.                                 3,000           151,200
  The Bear Stearns Cos., Inc.                               2,500           210,775
  The Goldman Sachs Group, Inc.                            11,200         1,054,592
  The Student Loan Corp.                                      400            54,600
  UICI*                                                       700            16,667
  Union Planters Corp.                                      4,050           120,731
  Waddell & Reed Financial, Inc. Class A                   15,600           344,916
  Wells Fargo & Co.                                        40,740         2,331,550
  WFS Financial, Inc.                                         900            44,559
  Wilmington Trust Corp.                                    1,500            55,830
                                                                    ---------------
                                                                         23,437,676
                                                                    ---------------

FOOD & BEVERAGES -- 4.0%                                                           
  Adolph Coors Co. Class B                                    800            57,872
  American Italian Pasta Co. Class A                          300             9,144
  Anheuser-Busch Cos., Inc.                                17,900           966,600
  Archer-Daniels-Midland Co.                               15,577           261,382
  Brown Forman Corp. Class B                                1,000            48,270
  Campbell Soup Co.                                         9,900           266,112
  Chiquita Brands International, Inc.*                        300             6,276
  Coca-Cola Co.                                            58,500         2,953,080
  Coca-Cola Enterprises, Inc.                              11,000           318,890
  ConAgra, Inc.                                            11,800           319,544

16

N-CSR
21st “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 21st
                                                                [Download Table]

                                                        SHARES          VALUE+     
-----------------------------------------------------------------------------------
                                                                                   
COMMON STOCKS (CONTINUED)                                                          
FOOD & BEVERAGES (CONTINUED)                                                       
  Constellation Brands, Inc. Class A*                       1,800   $        66,834
  Corn Products International, Inc.                           700            32,585
  Dean Foods Co.*                                           3,784           141,181
  Del Monte Foods Co.*                                      3,788            38,486
  Dreyer's Grand Ice Cream Holdings, Inc.                     700            55,363
  Flowers Foods, Inc.                                         750            19,613
  General Mills, Inc.                                       9,100           432,523
  H.J. Heinz Co.                                            8,500           333,200
  Hain Celestial Group, Inc.*                                 100             1,810
  Hershey Foods Corp.                                       4,800           222,096
  Hormel Foods Corp.                                        3,300           102,630
  Interstate Bakeries Corp.                                 1,300            14,105
  Kellogg Co.                                               9,900           414,315
  Kraft Foods, Inc. Class A                                13,300           421,344
  McCormick & Co., Inc.                                     2,700            91,800
  Panera Bread Co. Class A*                                   300            10,764
  PepsiAmericas, Inc.                                       3,400            72,216
  PepsiCo, Inc.                                            40,990         2,208,541
  Performance Food Group Co.*                                 800            21,232
  Pilgrim's Pride Corp.                                     1,500            43,410
  Ralcorp Holdings, Inc.*                                     500            17,600
  Sanderson Farms, Inc.                                       400            21,448
  Sara Lee Corp.                                           19,000           436,810
  Smithfield Foods, Inc.*                                   2,700            79,380
  SYSCO Corp.                                              14,200           509,354
  The J.M. Smucker Co.                                      1,329            61,027
  Tootsie Roll Industries, Inc.                               530            17,225
  Tyson Foods, Inc. Class A                                 5,502           115,267
  Wm. Wrigley Jr. Co.                                       4,400           277,420
                                                                    ---------------
                                                                         11,486,749
                                                                    ---------------

FOREST & PAPER PRODUCTS -- 0.7%                                                    
  Georgia-Pacific Group                                     6,105           225,763
  International Paper Co.                                  11,624           519,593
  Kimberly-Clark Corp.                                     11,000           724,680
  P.H. Glatfelter Co.                                         700             9,856
  Smurfit-Stone Container Corp.                             5,600           111,720
  Wausau-Mosinee Paper Corp.                                  800            13,840
  Weyerhaeuser Co.                                          5,300           334,536
                                                                    ---------------
                                                                          1,939,988
                                                                    ---------------

FUNERAL SERVICES -- 0.0%                                                           
  Service Corp. International*                              5,200            38,324
  Stewart Enterprises, Inc. Class A*                        1,900            15,466
                                                                    ---------------
                                                                             53,790
                                                                    ---------------

HEALTH CARE -- 0.0%                                                                
  Inveresk Research Group, Inc.*                              600            18,504
                                                                    ---------------

HEALTH CARE -- BIOTECHNOLOGY -- 2.2%                                               
  Affymetrix, Inc.*                                         1,100            36,003
  Amgen, Inc.*                                             30,552         1,667,223
  AtheroGenics, Inc.*                                         600            11,418
  Biogen Idec, Inc.*                                        7,505           474,691
  Cambrex Corp.                                               500            12,615
  Charles River Laboratories International, Inc.*             800   $        39,096
  Chiron Corp.*                                             4,500           200,880
  CUNO, Inc.*                                                 300            16,005
  Enzon, Inc.*                                                500             6,380
  Genencor International, Inc.*                               900            14,733
  Genentech, Inc.*                                         25,500         1,433,100
  Genta, Inc.*                                                800             2,000
  Genzyme Corp.*                                            4,900           231,917
  Gilead Sciences, Inc.*                                    5,100           341,700
  ICOS Corp.*                                               1,300            38,792
  ImClone Systems, Inc.*                                      900            77,211
  Integra LifeSciences Holdings*                              400            14,108
  Martek Biosciences Corp.*                                   600            33,702
  Medarex, Inc.*                                            1,300             9,477
  Medtronic, Inc.                                          29,100         1,417,752
  Nabi Biopharmaceuticals*                                    600             8,532
  Pharmaceutical Product Development, Inc.*                 1,000            31,770
  Protein Design Labs, Inc.*                                1,900            36,347
  Tanox, Inc.*                                                800            15,256
  Techne Corp.*                                               800            34,760
  Telik, Inc.*                                                500            11,935
  The Medicines Co.*                                          600            18,306
  Trimeris, Inc.*                                             300             4,329
  Vicuron Phamaceuticals, Inc.*                               400             5,024
  VISX, Inc.*                                                 700            18,704
                                                                    ---------------
                                                                          6,263,766
                                                                    ---------------

HEALTH CARE -- DRUGS -- 4.7%                                                       
  Abbott Laboratories                                      34,900         1,422,524
  Accredo Health, Inc.*                                     1,100            42,845
  Alkermes, Inc.*                                             900            12,240
  Alpharma, Inc. Class A                                      700            14,336
  American Pharmaceutical Partners, Inc.*                   1,450            44,051
  AmerisourceBergen Corp.                                   2,459           146,999
  Amylin Pharmaceuticals, Inc.*                             1,700            38,760
  Andrx Group*                                              1,400            39,102
  Barr Laboratories, Inc.*                                  2,425            81,723
  Bristol-Myers Squibb Co.                                 42,700         1,046,150
  Celgene Corp.*                                            1,800           103,068
  Cephalon, Inc.*                                           1,300            70,200
  Connetics Corp.*                                            600            12,120
  Eli Lilly & Co.                                          27,100         1,894,561
  Eon Labs, Inc.*                                           2,000            81,860
  Forest Laboratories, Inc.*                                8,100           458,703
  Impax Laboratories, Inc.*                                   300             5,814
  IVAX Corp.*                                               4,350           104,356
  K-V Pharmaceutical Co. Class A*                             500            11,545
  King Pharmaceuticals, Inc.*                               4,949            56,666
  Kos Pharmaceuticals, Inc.*                                  300             9,891
  Ligand Pharmaceuticals, Inc. Class B*                       900            15,642
  Medicis Pharmaceutical Corp. Class A                      1,000            39,950
  MedImmune, Inc.*                                          5,930           138,762
  Millennium Pharmaceuticals, Inc.*                         7,200            99,360
  Mylan Laboratories, Inc.                                  6,425           130,106
  Neurocrine Biosciences, Inc.*                               800            41,480

17

N-CSR
22nd “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 22nd
                                                                [Download Table]

                                                         SHARES         VALUE+     
-----------------------------------------------------------------------------------
                                                                                   
COMMON STOCKS (CONTINUED)                                                          
HEALTH CARE -- DRUGS (CONTINUED)                                                   
  NPS Pharmaceuticals, Inc.*                                  500   $        10,500
  Onyx Pharmaceuticals, Inc.*                                 700            29,652
  OSI Pharmaceuticals, Inc.*                                1,000            70,440
  Par Pharmaceutical Cos., Inc.*                              700            24,647
  Pfizer, Inc.                                            172,775         5,922,727
  Priority Healthcare Corp. Class B*                          500            11,475
  Sepracor, Inc.*                                           1,900           100,510
  Tularik, Inc.*                                              600            14,880
  Valeant Pharmaceuticals International                     1,500            30,000
  Vertex Pharmaceuticals, Inc.*                             1,500            16,260
  Watson Pharmaceuticals, Inc.*                             2,600            69,940
  Wyeth                                                    32,000         1,157,120
  Zymogenetics, Inc.*                                         400             7,600
                                                                    ---------------
                                                                         13,628,565
                                                                    ---------------

HEALTH CARE -- PRODUCTS -- 4.1%                                                    
  Abgenix, Inc.*                                            1,200            14,064
  Advanced Medical Optics, Inc.*                              288            12,260
  Align Technology, Inc.*                                     700            13,300
  Allergan, Inc.                                            3,200           286,464
  American Medical Systems Holdings, Inc.*                    500            16,850
  Apogent Technologies, Inc.*                               1,900            60,800
  Arrow International, Inc.                                   800            23,936
  Bausch & Lomb, Inc.                                       1,100            71,577
  Beckman Coulter, Inc.                                     2,500           152,500
  Becton, Dickinson & Co.                                   5,600           290,080
  Biomet, Inc.                                              6,100           271,084
  Boston Scientific Corp.*                                 18,400           787,520
  C.R. Bard, Inc.                                           2,400           135,960
  CONMED, Corp.*                                              500            13,700
  Cooper Cos., Inc.                                           600            37,902
  Cyberonics, Inc.*                                           400            13,344
  Cytyc Corp.*                                              2,200            55,814
  Datascope Corp.                                             300            11,907
  DENTSPLY International, Inc.                              1,800            93,780
  Diagnostic Products Corp.                                   500            21,970
  Guidant Corp.                                             6,900           385,572
  Haemonetics Corp.*                                          500            14,825
  Henry Schein, Inc.*                                       1,000            63,140
  Hospira, Inc.*                                            3,440            94,944
  Human Genome Sciences, Inc.*                              2,100            24,423
  Invacare Corp.                                              500            22,360
  Invitrogen Corp.*                                         1,300            93,587
  Johnson & Johnson                                        70,312         3,916,379
  Mentor Corp.                                                700            24,003
  Merck & Co., Inc.                                        53,300         2,531,750
  MGI Pharma, Inc.*                                         1,400            37,814
  NeighborCare, Inc.*                                         800            25,064
  Nektar Therapeutics*                                      1,700            33,932
  Ocular Sciences, Inc.*                                      400            15,200
  Perrigo Co.                                               1,100            20,867
  PolyMedica Corp.                                            500            15,520
  PSS World Medical, Inc.*                                  1,100            12,320
  ResMed, Inc.*                                               500   $        25,480
  Respironics, Inc.*                                          800            47,000
  Schering-Plough Corp.                                    35,300           652,344
  Sola International, Inc.*                                   300             5,169
  St. Jude Medical, Inc.*                                   4,200           317,730
  Stryker Corp.                                             8,800           484,000
  Sybron Dental Specialties, Inc.*                            500            14,925
  Thoratec Corp.*                                             800             8,584
  Varian Medical Systems, Inc.*                             1,600           126,960
  Wright Medical Group, Inc.*                                 400            14,240
  Zimmer Holdings, Inc.*                                    5,880           518,616
                                                                    ---------------
                                                                         11,931,560
                                                                    ---------------

HEALTH CARE -- SERVICES -- 2.2%                                                    
  American Healthways, Inc.*                                  500            13,310
  Amerigroup Corp.*                                           400            19,680
  Anthem, Inc.*                                             3,018           270,292
  Apria Healthcare Group, Inc.*                               800            22,960
  Baxter International, Inc.                               14,700           507,297
  Beverly Enterprises, Inc.*                                1,700            14,620
  Cardinal Health, Inc.                                    10,400           728,520
  Caremark Rx, Inc.*                                       10,100           332,694
  Centene Corp.*                                              400            15,420
  Cerner Corp.*                                               400            17,832
  Community Health Care*                                    2,200            58,894
  Covance, Inc.*                                            1,100            42,438
  Coventry Health Care, Inc.*                               1,400            68,460
  DaVita, Inc.*                                             2,100            64,743
  Express Scripts, Inc.*                                    1,900           150,537
  First Health Group Corp.*                                 6,600           103,026
  Genesis HealthCare Corp.*                                   150             4,356
  HCA-The Healthcare Corp.                                 11,200           465,808
  Health Management Associates, Inc.                                               
    Class A                                                 6,000           134,520
  Health Net, Inc.*                                         2,500            66,250
  Humana, Inc.*                                             3,100            52,390
  IDX Systems Corp.*                                          400            12,756
  IMS Health, Inc.                                          5,600           131,264
  Kindred Healthcare, Inc.*                                   600            15,810
  Laboratory Corporation of America                                                
    Holdings*                                               3,300           131,010
  Lincare Holdings, Inc.*                                   2,200            72,292
  Manor Care, Inc.                                          2,000            65,360
  McKesson HBOC, Inc.                                       7,000           240,310
  Medco Health Solutions, Inc.*                             6,529           244,837
  MedQuist, Inc.*                                             500             5,725
  NDCHealth Corp.                                             600            13,920
  Odyssey Healthcare, Inc.*                                   400             7,528
  Omnicare, Inc.                                            2,200            94,182
  Oxford Health Plans, Inc.                                 2,000           110,080
  PacifiCare Health Systems, Inc.*                          2,100            81,186
  Patterson Dental Co.                                      1,600           122,384
  Pediatrix Medical Group, Inc.*                              600            41,910
  Province Healthcare Co.*                                    800            13,720
  Quest Diagnostics, Inc.                                   2,500           212,375
  Renal Care Group, Inc.*                                   1,350            44,726
  Select Medical Corp.                                      1,200            16,104

18

N-CSR
23rd “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 23rd
                                                                [Download Table]

                                                        SHARES          VALUE+     
-----------------------------------------------------------------------------------
                                                                                   
COMMON STOCKS (CONTINUED)                                                          
HEALTH CARE -- SERVICES (CONTINUED)                                                
  Sierra Health Services, Inc.*                               400   $        17,880
  STERIS Corp.*                                             1,100            24,816
  Sunrise Assisted Living, Inc.                               200             7,828
  Tenet Healthcare Corp.*                                  11,150           149,522
  Triad Hospitals, Inc.*                                    1,787            66,530
  United Surgical Partners International, Inc.*               400            15,788
  UnitedHealth Group, Inc.                                 13,756           856,311
  Universal Health Services, Inc. Class B                   1,300            59,657
  US Oncology, Inc.*                                        1,500            22,080
  VCA Antech, Inc.*                                           800            35,856
  WellChoice, Inc.*                                         1,700            70,380
  Wellpoint Health Networks, Inc.*                          2,300           257,623
                                                                    ---------------
                                                                          6,415,797
                                                                    ---------------

HOUSEHOLD PRODUCTS -- 0.1%                                                         
  Alberto-Culver Co. Class B                                2,200           110,308
  Black & Decker Corp.                                      1,900           118,047
  Church & Dwight Co., Inc.                                   800            36,624
  Ethan Allen Interiors, Inc.                                 800            28,728
  Furniture Brands International, Inc.                      1,000            25,050
                                                                    ---------------
                                                                            318,757
                                                                    ---------------

INSTRUMENTS -- SCIENTIFIC -- 0.1%                                                  
  Advanced Neuromodulation Systems, Inc.*                     300             9,840
  Applera Corp. -- Applied Biosystems Group                 2,600            56,550
  FEI Co.*                                                  1,400            33,474
  Fisher Scientific International, Inc.*                    1,300            75,075
  Kyphon, Inc.*                                               500            14,090
  Millipore Corp.*                                          1,000            56,370
  Waters Corp.*                                             2,700           129,006
                                                                    ---------------
                                                                            374,405
                                                                    ---------------

INSURANCE -- 4.6%                                                                  
  21st Century Insurance Group                                700             9,058
  Aetna, Inc.                                               1,400           119,000
  AFLAC, Inc.                                              12,200           497,882
  Alfa Corp.                                                1,200            16,800
  Allmerica Financial Corp.*                                1,100            37,180
  Allstate Corp.                                           16,900           786,695
  American Financial Group, Inc.                            1,600            48,912
  American International Group, Inc.                       62,345         4,443,952
  American National Insurance Co.                             400            36,932
  AmerUs Group Co.                                            400            16,560
  Aon Corp.                                                 7,600           216,372
  Arthur J. Gallagher & Co.                                 2,000            60,900
  Brown & Brown, Inc.                                       1,400            60,340
  Chubb Corp.                                               4,100           279,538
  CIGNA Corp.                                               3,400           233,954
  Cincinnati Financial Corp.                                4,095           178,214
  CNA Financial Corp.*                                      6,100           180,499
  CNA Surety Corp.*                                           900             9,855
  Delphi Financial Group, Inc. Class A                        450            20,025
  Erie Indemnity Co. Class A                                1,200            56,136
  Harleysville Group, Inc.                                    600   $        11,310
  Hartford Financial Services Group, Inc.                   7,000           481,180
  HCC Insurance Holdings, Inc.                              1,400            46,774
  Hilb, Rogal & Hamilton Co.                                  300            10,704
  Horace Mann Educators Corp.                                 700            12,236
  Infinity Property & Casualty Corp.                          400            13,200
  LandAmerica Financial Group, Inc.                           300            11,679
  Lincoln National Corp.                                    4,300           203,175
  Loews Corp.                                               4,500           269,820
  Manulife Financial Corp.                                  6,163           249,601
  Markel Corp.*                                               100            27,750
  Marsh & McLennan Cos., Inc.                              12,600           571,788
  Mercury General Corp.                                     1,000            49,650
  MetLife, Inc.                                            18,200           652,470
  MGIC Investment Corp.                                     2,400           182,064
  MONY Group, Inc.*                                           400            12,520
  Nationwide Financial Services, Inc.                                              
    Class A                                                 1,100            41,371
  Odyssey Re Holdings Corp.                                 1,000            24,000
  Ohio Casualty Corp.*                                        700            14,091
  Old Republic International Corp.                          4,000            94,880
  Philadelphia Consolidated Holding Corp.*                    300            18,021
  Principal Financial Group, Inc.                           7,700           267,806
  ProAssurance Corp.*                                         500            17,055
  Prudential Financial, Inc.                               13,300           618,051
  Radian Group, Inc.                                        2,100           100,590
  Reinsurance Group of America, Inc.                        1,200            48,780
  RLI Corp.                                                   500            18,250
  Safeco Corp.                                              3,300           145,200
  Selective Insurance Group, Inc.                             500            19,940
  St. Paul Cos., Inc.                                      16,041           650,302
  StanCorp Financial Group, Inc.                              500            33,500
  State Auto Financial Corp.                                  600            18,432
  Stewart Information Services Corp.                          300            10,131
  The Commerce Group, Inc.                                    500            24,685
  The First American Corp.                                  2,000            51,780
  The Phoenix Companies, Inc.                               1,300            15,925
  The PMI Group, Inc.                                       2,300           100,096
  The Progressive Corp.                                     5,200           443,560
  Torchmark, Inc.                                           2,700           145,260
  Transatlantic Holdings, Inc.                              1,200            97,188
  Triad Guaranty, Inc.*                                       200            11,640
  Unitrin, Inc.                                             1,500            63,900
  UnumProvident Corp.                                       5,900            93,810
  W.R. Berkley Corp.                                        1,825            78,384
                                                                    ---------------
                                                                         13,381,353
                                                                    ---------------

INTERNET SERVICES -- 0.9%                                                          
  Akamai Technologies, Inc.*                                2,200            39,490
  Ask Jeeves, Inc.*                                         1,000            39,030
  CACI International, Inc. Class A*                           300            12,132
  CMGI, Inc.*                                               2,700             5,265
  CNET Networks, Inc.*                                      2,900            32,103
  Digital River, Inc.*                                        400            13,052
  DoubleClick, Inc.*                                        2,000            15,540
  EarthLink, Inc.*                                          2,300            23,805

19

N-CSR
24th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 24th
                                                                [Download Table]

                                                        SHARES          VALUE+     
-----------------------------------------------------------------------------------
                                                                                   
COMMON STOCKS (CONTINUED)                                                          
INTERNET SERVICES (CONTINUED)                                                      
  F5 Networks, Inc.*                                          400   $        10,592
  InterActiveCorp*                                         15,296           461,021
  Juniper Networks, Inc.*                                  12,706           312,186
  Monster Worldwide, Inc.*                                  2,400            61,728
  Netflix, Inc.*                                              800            28,760
  Priceline.com, Inc.*                                        100             2,693
  Qwest Communications International, Inc.*                42,429           152,320
  Real Networks, Inc.*                                      1,900            12,996
  RSA Security, Inc.*                                         900            18,423
  S1 Corp.*                                                 1,300            12,922
  Total System Services, Inc.                               4,300            94,170
  United Online, Inc.*                                      1,050            18,491
  ValueClick, Inc.*                                         1,100            13,178
  VeriSign, Inc.*                                           5,815           115,719
  WebEx Communications, Inc.*                                 600            13,056
  Yahoo!, Inc.*                                            32,310         1,173,822
                                                                    ---------------
                                                                          2,682,494
                                                                    ---------------

LEISURE -- 0.7%                                                                    
  Alliance Gaming Corp.*                                      600            10,296
  Ameristar Casinos, Inc.                                     400            13,432
  Argosy Gaming Co.*                                          500            18,800
  Aztar Corp.*                                                600            16,800
  Boca Resorts, Inc. Class A*                                 100             1,982
  Boyd Gaming Corp.                                         1,000            26,570
  Brunswick Corp.                                           2,000            81,600
  Caesars Entertainment, Inc.*                              6,000            90,000
  Choice Hotels International, Inc.                           800            40,128
  Gaylord Entertainment Co.*                                  700            21,973
  Harrah's Entertainment, Inc.                              2,500           135,250
  Hilton Hotels Corp.                                       9,200           171,672
  International Game Technology                             8,300           320,380
  International Speedway Corp. Class A                        500            24,320
  Mandalay Resort Group                                     1,300            89,232
  Marriott International, Inc. Class A                      5,100           254,388
  Marvel Enterprises, Inc.*                                 1,800            35,136
  MGM Mirage, Inc.*                                         3,000           140,820
  Multimedia Games, Inc.*                                     700            18,774
  Penn National Gaming, Inc.*                                 600            19,920
  Sabre Holdings Corp. Class A                              2,916            80,802
  Scientific Games Corp. Class A*                             900            17,226
  Shuffle Master, Inc.*                                       400            14,524
  Six Flags, Inc.*                                          1,800            13,068
  Speedway Motorsports, Inc.                                  500            16,720
  Starwood Hotels & Resorts Worldwide,                                             
    Inc. Class B                                            5,000           224,250
  Station Casinos, Inc.                                     1,850            89,540
  Topps Co., Inc.                                             900             8,730
  WMS Industries, Inc.*                                       500            14,900
                                                                    ---------------
                                                                          2,011,233
                                                                    ---------------

MACHINERY -- 0.6%                                                                  
  Albany International Corp. Class A                          400            13,424
  Baldor Electric Co.                                         400             9,340
  CARBO Ceramics, Inc.                                        200   $        13,650
  Caterpillar, Inc.                                         8,200           651,408
  Deere & Co.                                               5,500           385,770
  Dover Corp.                                               4,900           206,290
  Flowserve Corp.*                                            800            19,952
  Graco, Inc.                                               1,350            41,918
  IDEX Corp.                                                  600            20,610
  Joy Global, Inc.                                            700            20,958
  Kennametal, Inc.                                            700            32,060
  National-Oilwell, Inc.*                                   1,900            59,831
  SPX Corp.                                                 1,600            74,304
  Tecumseh Products Co. Class A                               700            28,833
  Terex Corp.*                                                800            27,304
  The Manitowoc Co., Inc.                                     400            13,540
  Universal Compression Holdings, Inc.*                       300             9,204
  Woodward Governor Co.                                       200            14,422
                                                                    ---------------
                                                                          1,642,818
                                                                    ---------------

MANUFACTURING -- 0.5%                                                              
  American Standard Cos., Inc.*                             5,200           209,612
  AptarGroup, Inc.                                            500            21,845
  Ball Corp.                                                1,400           100,870
  Briggs & Stratton Corp.                                     500            44,175
  CLARCOR, Inc.                                               400            18,320
  Cognex Corp.                                                500            19,240
  Donaldson Co., Inc.                                       6,600           193,380
  Eaton Corp.                                               4,300           278,382
  Leggett & Platt, Inc.                                     4,600           122,866
  Lennox International, Inc.                                1,100            19,910
  Nordson Corp.                                               400            17,348
  Packaging Corp. of America                                2,100            50,190
  Pall Corp.                                                2,500            65,475
  Polaris Industries, Inc.                                    800            38,400
  Quanex Corp.                                                200             9,740
  Rayovac Corp.*                                              500            14,050
  The Brink's Co.                                           1,000            34,250
  Varco International, Inc.*                                1,800            39,402
  Varian, Inc.*                                               500            21,075
  Wabtec Corp.                                                800            14,432
  Zebra Technologies Corp. Class A*                         1,050            91,350
                                                                    ---------------
                                                                          1,424,312
                                                                    ---------------

METALS & MINING -- 0.6%                                                            
  Alcoa, Inc.                                              20,900           690,327
  Arch Coal, Inc.                                           1,200            43,908
  Cleveland-Cliffs, Inc.*                                     200            11,278
  Coeur d'Alene Mines Corp.*                                3,000            12,240
  Commercial Metals Co.                                       400            12,980
  Freeport-McMoran Copper & Gold, Inc.                                             
    Class B                                                 4,100           135,915
  Hecla Mining Co.*                                         1,600             9,120
  Kaiser Aluminum Corp.*(a)                                 2,200                88
  Kaydon Corp.                                                500            15,465
  Massey Energy Co.                                         1,400            39,494
  MSC Industrial Direct Co., Inc. Class A                     500            16,420
  Mueller Industries, Inc.                                    300            10,740
  Newmont Mining Corp.                                      9,600           372,096

20

N-CSR
25th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 25th
                                                                [Download Table]

                                                        SHARES          VALUE+     
-----------------------------------------------------------------------------------
                                                                                   
COMMON STOCKS (CONTINUED)                                                          
METALS & MINING (CONTINUED)                                                        
  Phelps Dodge Corp.                                        2,000   $       155,020
  Precision Castparts Corp.                                 1,512            82,691
  Stillwater Mining Co.*                                    1,200            18,012
                                                                    ---------------
                                                                          1,625,794
                                                                    ---------------

MULTIMEDIA -- 2.3%                                                                 
  A.H. Belo Corp. Series A                                  1,900            51,015
  Cox Radio, Inc. Class A*                                    500             8,690
  Emmis Communications Corp. Class A*                         500            10,490
  Entercom Communications Corp.*                              700            26,110
  Gannett Co., Inc.                                         6,000           509,100
  Gemstar-TV Guide International, Inc.*                     8,961            43,013
  Liberty Media Corp. Class A                              64,200           577,158
  Macrovision Corp.*                                          600            15,018
  McGraw-Hill Cos, Inc.                                     4,600           352,222
  Media General, Inc. Class A                                 400            25,688
  Meredith Corp.                                              700            38,472
  Metro-Goldwyn-Mayer, Inc. *                               5,400            65,340
  Pixar, Inc.*                                              1,200            83,412
  The E.W. Scripps Co. Class A                              1,400           147,000
  The Liberty Corp.                                           100             4,695
  Time Warner, Inc.*                                      101,000         1,775,580
  Tribune Co.                                               7,900           359,766
  Viacom, Inc. Class A                                      1,400            50,890
  Viacom, Inc. Class B                                     38,415         1,372,184
  Walt Disney Co.                                          45,000         1,147,050
  XM Satellite Radio Holdings, Inc. Class A*                4,200           114,618
                                                                    ---------------
                                                                          6,777,511
                                                                    ---------------

OFFICE EQUIPMENT -- 0.3%                                                           
  Global Imaging Systems, Inc.*                               400            14,664
  IKON Office Solutions, Inc.                               2,900            33,263
  Lexmark International Group, Inc.                                                
    Class A*                                                3,100           299,243
  Pitney Bowes, Inc.                                        5,600           247,800
  Xerox Corp.*                                             17,400           252,300
                                                                    ---------------
                                                                            847,270
                                                                    ---------------

OFFICE FURNISHINGS & SUPPLIES -- 0.1%                                              
  Avery Dennison Corp.                                      2,700           172,827
  Herman Miller, Inc.                                       1,200            34,728
  HNI Corp.                                                   500            21,165
  Steelcase, Inc. Class A                                     100             1,400
                                                                    ---------------
                                                                            230,120
                                                                    ---------------

OIL & GAS -- 5.1%                                                                  
  AGL Resources, Inc.                                       4,300           124,915
  Amerada Hess Corp.                                        2,200           174,218
  Anadarko Petroleum Corp.                                  6,000           351,600
  Apache Corp.                                              7,784           338,993
  Aquila, Inc.*                                             2,600             9,256
  Atmos Energy Corp.                                          500            12,800
  Baker Hughes, Inc.                                        8,000           301,200
  BJ Services Co.*                                          3,800           174,192
  Burlington Resources, Inc.                                9,400           340,092
  Cabot Oil & Gas Corp. Class A                               500   $        21,150
  Cal Dive International, Inc.*                               400            12,128
  Chesapeake Energy Corp.                                   5,200            76,544
  Cimarex Energy Co.*                                         212             6,409
  Comstock Resources, Inc.*                                   600            11,676
  ConocoPhillips                                           16,400         1,251,156
  Cooper Cameron Corp.*                                     1,300            63,310
  Denbury Resources, Inc.*                                    600            12,570
  Devon Energy Corp.                                        2,870           189,420
  Diamond Offshore Drilling, Inc.                           2,600            61,958
  El Paso Corp.                                            14,053           110,738
  Encore Aquisition Co.*                                      500            13,950
  Energen Corp.                                               500            23,995
  ENSCO International, Inc.                                 3,300            96,030
  EOG Resources, Inc.                                       2,800           167,188
  Equitable Resources, Inc.                                 1,400            72,394
  Evergreen Resources, Inc.*                                  600            24,240
  Exxon Mobil Corp.                                       156,964         6,970,771
  FMC Technologies, Inc.*                                   1,500            43,200
  Forest Oil Corp.*                                         1,000            27,320
  Grey Wolf, Inc.*                                          2,900            12,296
  Halliburton Co.                                          10,600           320,756
  Hanover Compressor Co.*                                   1,200            14,280
  Helmerich & Payne, Inc.                                     900            23,535
  Houston Exploration Co.*                                    500            25,920
  Kerr-McGee Corp.                                          3,252           174,860
  Key Energy Services, Inc.*                                2,900            27,376
  Marathon Oil Corp.                                        8,200           310,288
  Murphy Oil Corp.                                          2,200           162,140
  National Fuel Gas Co.                                     1,800            45,000
  New Jersey Resources Corp.                                  500            20,790
  Newfield Exploration Co.*                                 1,100            61,314
  Nicor, Inc.                                                 500            16,985
  Noble Energy, Inc.                                        1,200            61,200
  Occidental Petroleum Corp.                                8,500           411,485
  Oceaneering International, Inc.*                            400            13,700
  Oil States International, Inc.*                             600             9,180
  ONEOK, Inc.                                               2,200            48,378
  Patina Oil & Gas Corp.                                    2,050            61,233
  Patterson-UTI Energy, Inc.                                1,600            53,456
  Piedmont Natural Gas Co., Inc.                            1,600            68,320
  Pioneer Natural Resources Co.                             2,900           101,732
  Pogo Producing Co.                                        1,400            69,160
  Premcor, Inc.*                                            1,900            71,250
  Pride International, Inc.*                                2,400            41,064
  Range Resources Corp.                                     1,000            14,600
  Rowan Cos., Inc.*                                         2,300            55,959
  SEACOR SMIT, Inc.*                                          300            13,179
  Smith International, Inc.*                                2,300           128,248
  Southern Union Co.                                        1,278            26,940
  Southwestern Energy Co.*                                    600            17,202
  Spinnaker Exploration Co.*                                  300            11,814
  St. Mary Land & Exploration Co.                           3,400           121,210
  Stone Energy Corp.*                                       1,400            63,952
  Sunoco, Inc.                                              1,900           120,878
  Superior Energy Services, Inc.*                           1,200            12,060
  Tesoro Petroleum Corp.*                                   1,000            27,600

21

N-CSR
26th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 26th
                                                                [Download Table]

                                                        SHARES          VALUE+     
-----------------------------------------------------------------------------------
                                                                                   
COMMON STOCKS (CONTINUED)                                                          
OIL & GAS (CONTINUED)                                                              
  Tidewater, Inc.                                           1,100   $        32,780
  UGI Corp.                                                   750            24,075
  Unit Corp.*                                                 700            22,015
  Unocal Corp.                                              6,300           239,400
  Valero Energy Corp.                                       3,100           228,656
  Vintage Petroleum, Inc.                                     600            10,182
  Western Gas Resources, Inc.                               1,600            51,968
  Williams Cos., Inc.                                      12,500           148,750
  XTO Energy, Inc.                                          6,182           184,162
                                                                    ---------------
                                                                         14,864,741
                                                                    ---------------

PAPER & RELATED PRODUCTS -- 0.1%                                                   
  American Greetings Corp. Class A*                           700            16,226
  Boise Cascade Corp.                                       2,100            79,044
  Bowater, Inc.                                             1,000            41,590
  Louisiana-Pacific Corp.                                   2,100            49,665
  MeadWestvaco Corp.                                        4,440           130,492
  Potlatch Corp.                                              400            16,656
  Temple-Inland, Inc.                                       1,100            76,175
                                                                    ---------------
                                                                            409,848
                                                                    ---------------

PERSONAL CARE -- 0.0%                                                              
  Nu Skin Enterprises, Inc. Class A                         1,100            27,852
  Revlon, Inc. Class A*                                     2,000             5,900
                                                                    ---------------
                                                                             33,752
                                                                    ---------------

PHOTO EQUIPMENT & SUPPLIES -- 0.1%                                                 
  Eastman Kodak Co.                                         6,900           186,162
  Lexar Media, Inc.*                                          700             4,676
                                                                    ---------------
                                                                            190,838
                                                                    ---------------

PRINTING -- 0.1%                                                                   
  R. R. Donnelley & Sons Co.                                5,300           175,006
  Valassis Communications, Inc.*                              800            24,376
                                                                    ---------------
                                                                            199,382
                                                                    ---------------

PUBLISHING -- 0.2%                                                                 
  Dow Jones & Co., Inc.                                     1,300            58,630
  Hollinger International, Inc. Class A                       900            15,111
  John Wiley & Sons, Inc. Class A                           1,000            32,000
  Journal Register Co.*                                       600            12,000
  Knight-Ridder, Inc.                                       1,800           129,600
  Lee Enterprises, Inc.                                       800            38,408
  ProQuest Co.*                                               500            13,625
  Scholastic Corp.*                                           300             8,985
  The McClatchy Co. Class A                                   400            28,060
  The New York Times Co. Class A                            3,600           160,956
  The Reader's Digest Association, Inc.                     1,000            15,990
                                                                    ---------------
                                                                            513,365
                                                                    ---------------

REAL ESTATE -- 0.1%                                                                
  Catellus Development Corp.                                1,859            45,824
  Corrections Corp. of America*                               600            23,694
  Jones Lang LaSalle, Inc.*                                   600            16,260
  LNR Property Corp.                                          300            16,275
  The St. Joe Co.                                           1,400            55,580
                                                                    ---------------
                                                                            157,633
                                                                    ---------------

RESTAURANTS -- 0.7%                                                                
  Applebee's International, Inc.                            4,388   $       101,000
  Bob Evans Farms, Inc.                                       700            19,166
  Brinker International, Inc.*                              2,100            71,652
  CBRL Group, Inc.                                            900            27,765
  CEC Entertainment, Inc.*                                    600            17,706
  Darden Restaurants, Inc.                                  3,600            73,980
  IHOP Corp.                                                  400            14,304
  Jack in the Box, Inc.*                                      500            14,850
  Krispy Kreme Doughnuts, Inc.*                             1,000            19,090
  Landry's Seafood Restaurants, Inc.                          100             2,989
  McDonald's Corp.                                         30,200           785,200
  Outback Steakhouse, Inc.                                  1,800            74,448
  P.F. Chang's China Bistro, Inc.*                            300            12,345
  RARE Hospitality International, Inc.*                       500            12,450
  Ruby Tuesday, Inc.                                        1,200            32,940
  Ryan's Restaurant Group, Inc.*                              800            12,640
  Sonic Corp.*                                              1,350            30,713
  Starbucks Corp.*                                          9,500           413,060
  The Cheesecake Factory*                                     900            35,811
  Wendy's International, Inc.                               2,500            87,100
  Yum! Brands, Inc.*                                        6,900           256,818
                                                                    ---------------
                                                                          2,116,027
                                                                    ---------------

RETAIL -- FOOD -- 0.4%                                                             
  Albertson's, Inc.                                         8,800           233,552
  Kroger Co.*                                              17,900           325,780
  Ruddick Corp.                                               900            20,205
  Safeway, Inc.*                                           10,700           271,138
  SUPERVALU, Inc.                                           3,200            97,952
  Weis Markets, Inc.                                          400            14,020
  Whole Foods Market, Inc.                                  1,500           143,175
  Winn-Dixie Stores, Inc.                                   2,500            18,000
                                                                    ---------------
                                                                          1,123,822
                                                                    ---------------

RETAIL -- GENERAL -- 2.9%                                                          
  7-Eleven, Inc.*                                           2,400            42,840
  99 Cents Only Stores*                                     1,166            17,781
  Bebe stores, Inc.*                                          600            12,000
  Big Lots, Inc.*                                           2,200            31,812
  BJ's Wholesale Club, Inc.*                                1,300            32,500
  Casey's General Stores, Inc.                                800            14,640
  CVS Corp.                                                 9,500           399,190
  Dillards, Inc. Class A                                    1,800            40,140
  Dollar General Corp.                                      7,425           145,233
  Family Dollar Stores, Inc.                                3,800           115,596
  Federated Department Stores, Inc.                         4,300           211,130
  Fred's, Inc.                                                500            11,045
  J.C. Penney Co., Inc.                                     6,700           252,992
  Kmart Holding Corp.*                                      2,200           157,960
  Longs Drug Stores Corp.                                     600            14,322
  May Department Stores Co.                                 6,400           175,936
  Sears, Roebuck & Co.                                      5,800           219,008
  Target Corp.                                             20,100           853,647
  TJX Cos., Inc.                                           12,100           292,094
  Wal-Mart Stores, Inc.                                   102,900         5,429,004
                                                                    ---------------
                                                                          8,468,870
                                                                    ---------------

22

N-CSR
27th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 27th
                                                                [Download Table]

                                                        SHARES          VALUE+     
-----------------------------------------------------------------------------------
                                                                                   
COMMON STOCKS (CONTINUED)                                                          
RETAIL -- SPECIALTY -- 3.7%                                                        
  Abercrombie & Fitch Co. Class A                           2,100   $        81,375
  Aeropostale, Inc.*                                          600            16,146
  Amazon.com, Inc.*                                         9,700           527,680
  American Eagle Outfitters, Inc.*                          1,400            40,474
  AnnTaylor Stores Corp.*                                   1,350            39,123
  AutoNation, Inc.*                                         5,500            94,050
  Barnes & Noble, Inc.*                                     1,500            50,970
  Bed Bath & Beyond, Inc.*                                  7,200           276,840
  Best Buy Co., Inc.                                        7,750           393,235
  Blockbuster, Inc. Class A                                   600             9,108
  Borders Group, Inc.                                       1,200            28,128
  Burlington Coat Factory Warehouse Corp.                     600            11,580
  Callaway Golf Co.                                           800             9,072
  Chico's FAS, Inc.*                                        1,900            85,804
  Children's Place Retail Stores, Inc.*                     2,200            51,744
  Christopher & Banks Corp.                                   200             3,542
  Circuit City Stores-Circuit City Group                    4,200            54,390
  Claire's Stores, Inc.                                     2,000            43,400
  Copart, Inc.*                                             1,850            49,395
  Cost Plus, Inc.*                                            300             9,735
  Costco Wholesale Corp.                                   10,000           410,700
  Dollar Tree Stores, Inc.*                                 2,500            68,575
  eBay, Inc.*                                              15,800         1,452,810
  Foot Locker, Inc.                                         3,500            85,190
  Group 1 Automotive, Inc.*                                   400            13,284
  Guitar Center, Inc.*                                        300            13,341
  Hollywood Entertainment Corp.*                              700             9,352
  Home Depot, Inc.                                         53,850         1,895,520
  Hot Topic, Inc.*                                            600            12,294
  Kohl's Corp.*                                             7,500           317,100
  La-Z-Boy, Inc.                                              600            10,788
  Linens 'n Things, Inc.*                                     500            14,655
  Liz Claiborne, Inc.                                       2,200            79,156
  Lowe's Cos., Inc.                                        17,300           909,115
  Michaels Stores, Inc.                                     1,400            77,000
  NBTY, Inc.*                                               1,500            44,085
  Nordstrom, Inc.                                           3,000           127,830
  Office Depot, Inc.*                                       7,500           134,325
  Pacific Sunwear of California, Inc.*                      2,050            40,118
  Payless ShoeSource, Inc.*                                 1,100            16,401
  Pep Boys -- Manny, Moe & Jack                               700            17,745
  PETCO Animal Supplies, Inc.*                              1,000            32,210
  PETsMART, Inc.                                            3,500           113,575
  Pier 1 Imports, Inc.                                      1,700            30,073
  RadioShack Corp.                                          3,900           111,657
  Regis Corp.                                                 900            40,131
  Rite Aid Corp.*                                           9,300            48,546
  Ross Stores, Inc.                                         3,300            88,308
  Saks, Inc.                                                5,000            75,000
  Select Comfort Corp.*                                       500            14,200
  Sonic Automotive, Inc. Class A                              200             4,430
  Staples, Inc.                                            10,900           319,479
  Talbots, Inc.                                             1,300            50,895
  The Gap, Inc.                                            19,700           477,725
  The Limited, Inc.                                        11,380   $       212,806
  The Men's Wearhouse, Inc.*                                  500            13,195
  The Nautilus Group, Inc.                                    500             9,755
  The Neiman Marcus Group, Inc. Class A                       500            27,825
  The Sherwin Williams Co.                                  3,400           141,270
  The Sports Authority, Inc.*                                 300            10,770
  Tiffany & Co.                                             3,500           128,975
  Too, Inc.*                                                  500             8,350
  Toys "R" Us, Inc.*                                        5,100            81,243
  Tractor Supply Co.*                                         400            16,728
  Tuesday Morning Corp.*                                      600            17,400
  Urban Outfitters, Inc.*                                     700            42,637
  V.F. Corp.                                                2,400           116,880
  Walgreen Co.                                             24,600           890,766
  Williams-Sonoma, Inc.*                                    2,800            92,288
                                                                    ---------------
                                                                         10,842,292
                                                                    ---------------

STEEL -- 0.2%                                                                      
  Allegheny Technologies, Inc.                              1,300            23,465
  Carpenter Technology Corp.                                  300            10,215
  Maverick Tube Corp.*                                        700            18,382
  Nucor Corp.                                               1,600           122,816
  Reliance Steel & Aluminum Co.                             2,500           100,800
  Schnitzer Steel Industries, Inc. Class A                    500            16,980
  Steel Dynamics, Inc.*                                       800            22,904
  The Timken Co.                                            1,500            39,735
  United States Steel Corp.                                 2,700            94,824
  Worthington Industries, Inc.                              1,900            39,007
                                                                    ---------------
                                                                            489,128
                                                                    ---------------

TELECOMMUNICATIONS -- 4.4%                                                         
  ADC Telecommunications, Inc.*                            14,600            41,464
  Adtran, Inc.                                              3,100           103,447
  Advanced Fibre Communications, Inc.*                      1,500            30,300
  ALLTEL Corp.                                              6,900           349,278
  American Tower Corp. Class A*                             5,000            76,000
  AT&T Corp.                                               17,420           254,855
  AT&T Wireless Services, Inc.*                            53,813           770,602
  BellSouth Corp.                                          44,000         1,153,680
  Cablevision Systems Corp. Class A*                        5,600           110,040
  CenturyTel, Inc.                                            700            21,028
  CIENA Corp.*                                             10,500            39,060
  Cincinnati Bell, Inc.*                                    3,000            13,320
  Citizens Communications Co.                               5,700            68,970
  Commonwealth Telephone Enterprises, Inc.*                   300            13,431
  CommScope, Inc.*                                            800            17,160
  Comverse Technology, Inc.*                                4,200            83,748
  Cox Communications, Inc. Class A*                        14,200           394,618
  Crown Castle International Corp.*                         4,917            72,526
  EchoStar Communications Corp. Class A*                    5,500           169,125
  Harris Corp.                                              1,500            76,125
  InfoSpace, Inc.*                                            500            19,020
  InterDigital Communications Corp.*                          900            16,929
  JDS Uniphase Corp.*                                      34,490           130,717
  Level 3 Communications, Inc.*                            13,100            46,505
  Lucent Technologies, Inc.*                               82,300           311,094

23

N-CSR
28th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 28th
                                                                [Download Table]

                                                        SHARES          VALUE+     
-----------------------------------------------------------------------------------
                                                                                   
COMMON STOCKS (CONTINUED)                                                          
TELECOMMUNICATIONS (CONTINUED)                                                     
  Motorola, Inc.                                           51,500   $       939,875
  Nextel Communications, Inc. Class A*                     25,500           679,830
  Nextel Partners, Inc. Class A*                            3,700            58,904
  NII Holdings, Inc. Class B*                               1,500            50,535
  PanAmSat Corp.*                                           3,000            69,660
  Plantronics, Inc.*                                          900            37,890
  Price Communications Corp.                                  525             7,749
  QUALCOMM, Inc.                                           17,700         1,291,746
  RF Micro Devices, Inc.*                                   3,300            24,750
  SBC Communications, Inc.                                 72,800         1,765,400
  Scientific-Atlanta, Inc.                                  3,700           127,650
  Sprint Corp.                                             32,000           563,200
  Sycamore Networks, Inc.*                                  3,300            13,959
  Symbol Technologies, Inc.                                 5,650            83,281
  Telephone & Data Systems, Inc.                            1,200            85,440
  Tellabs, Inc.*                                           10,000            87,400
  United States Cellular Corp.*                             1,100            42,405
  Verizon Communications                                   66,500         2,406,635
  Western Wireless Corp. Class A*                           1,900            54,929
  Wireless Facilities, Inc.*                                  700             6,881
                                                                    ---------------
                                                                         12,781,161
                                                                    ---------------

TEXTILE & APPAREL -- 0.4%                                                          
  Charming Shoppes, Inc.                                    2,100            18,753
  Coach, Inc.*                                              4,500           203,355
  Columbia Sportswear Co.*                                    800            43,696
  Jones Apparel Group, Inc.                                 3,000           118,440
  Kellwood Co.                                                400            17,420
  Mohawk Industries, Inc.*                                  1,643           120,481
  NIKE, Inc. Class B                                        4,000           303,000
  Oakley, Inc.                                              1,100            14,234
  Oxford Industries, Inc.                                     300            13,068
  Polo Ralph Lauren Corp.                                   1,100            37,895
  Quiksilver, Inc.*                                         1,000            23,810
  Reebok International Ltd.                                 1,300            46,774
  The Warnaco Group, Inc.*                                    300             6,381
  Timberland Co. Class A*                                     500            32,295
  Wolverine World Wide, Inc.                                  800            21,000
                                                                    ---------------
                                                                          1,020,602
                                                                    ---------------

TIRES & RUBBER -- 0.0%                                                             
  Cooper Tire & Rubber Co.                                    900            20,700
  Goodyear Tire & Rubber Co.*                               2,300            20,907
                                                                    ---------------
                                                                             41,607
                                                                    ---------------

TOBACCO -- 0.9%                                                                    
  Altria Group, Inc.                                       49,200         2,462,460
  R.J. Reynolds Tobacco Holdings, Inc.                      1,900           128,421
  UST, Inc.                                                 4,000           144,000
                                                                    ---------------
                                                                          2,734,881
                                                                    ---------------

TOOLS -- HAND HELD -- 0.1%                                                         
  Snap-on, Inc.                                             1,200            40,260
  Stanley Works                                             1,800            82,044
  Toro Co.                                                    300            21,021
                                                                    ---------------
                                                                            143,325
                                                                    ---------------

TRANSPORTATION -- 1.1%                                                             
  ABX Air, Inc.*                                              600   $         4,098
  Alexander & Baldwin, Inc.                                   500            16,725
  Arkansas Best Corp.                                         400            13,168
  Burlington Northern Santa Fe Corp.                        4,600           161,322
  C.H. Robinson Worldwide, Inc.                             1,900            87,096
  CNF Transportation, Inc.                                  1,000            41,560
  CSX Corp.                                                 5,200           170,404
  EGL, Inc.*                                                  800            21,280
  FedEx Corp.                                               7,200           588,168
  Forward Air Corp.*                                          300            11,220
  GATX Corp.                                                  500            13,600
  Heartland Express, Inc.                                     600            16,416
  J.B. Hunt Transport Services, Inc.                        1,600            61,728
  Kansas City Southern Industries, Inc.*                    1,000            15,500
  Kirby Corp.*                                                500            19,450
  Knight Transportation, Inc.*                                500            14,365
  Landstar Systems, Inc.*                                     800            42,296
  Norfolk Southern Corp.                                    8,400           222,768
  Overseas Shipholding Group, Inc.                            900            39,717
  Ryder System, Inc.                                        1,600            64,112
  Swift Transportation Co., Inc.*                           1,500            26,925
  Union Pacific Corp.                                       6,200           368,590
  United Parcel Service, Inc. Class B                      12,000           902,040
  USF Corp.                                                 2,400            84,312
  Werner Enterprises, Inc.                                  1,000            21,100
  Yellow Roadway Corp.*                                     1,000            39,860
                                                                    ---------------
                                                                          3,067,820
                                                                    ---------------

UTILITIES -- 2.4%                                                                  
  AES Corp.*                                               15,100           149,943
  Allegheny Energy, Inc.*                                   2,500            38,525
  ALLETE                                                    5,400           179,820
  Alliant Energy Corp.                                      2,100            54,768
  Ameren Corp.                                              4,000           171,840
  American Electric Power Co., Inc.                         9,500           304,000
  American Power Conversion Corp.                           4,800            94,320
  Aqua America, Inc.                                        1,876            37,614
  Avista Corp.                                                800            14,736
  Black Hills Corp.                                           500            15,750
  Calpine Corp.*                                            8,300            35,856
  CH Energy Group, Inc.                                       300            13,932
  Cinergy Corp.                                             4,300           163,400
  Cleco Corp.                                                 600            10,788
  CMS Energy Corp.                                          1,900            17,347
  Consolidated Edison, Inc.                                 5,000           198,800
  Constellation Energy Group                                4,000           151,600
  Dominion Resources, Inc.                                  7,100           447,868
  DPL, Inc.                                                 2,800            54,376
  Duke Energy Corp.                                        22,000           446,380
  Dynegy, Inc. Class A*                                     3,200            13,632
  Edison International                                      7,800           199,446
  El Paso Electric Co.*                                     1,200            18,528
  Exelon Corp.                                             14,500           482,705
  FirstEnergy Corp.                                         7,200           269,352
  FPL Group, Inc.                                           4,400           281,380
  FuelCell Energy, Inc.*                                      900            10,512

24

N-CSR
29th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 29th
                                                                [Download Table]

                                                        SHARES          VALUE+     
-----------------------------------------------------------------------------------
                                                                                   
COMMON STOCKS (CONTINUED)                                                          
UTILITIES (CONTINUED)                                                              
  IDACORP, Inc.                                               600   $        16,200
  KeySpan Corp.                                             3,500           128,450
  MDU Resources Group, Inc.                                 6,450           154,993
  NiSource, Inc.                                            5,737           118,297
  Northeast Utilities                                       2,300            44,781
  Northwest Natural Gas Co.                                   500            15,250
  OGE Energy Corp.                                          1,700            43,299
  Otter Tail Power Co.                                        500            13,430
  Parker-Hannifin Corp.                                     2,900           172,434
  Peoples Energy Corp.                                        700            29,505
  Pepco Holdings, Inc.                                      3,800            69,464
  PG&E Corp.*                                               9,200           257,048
  Pinnacle West Capital Corp.                               2,200            88,858
  PNM Resources, Inc.                                         750            15,577
  PPL Corp.                                                 4,300           197,370
  Public Service Enterprise Group, Inc.                     5,700           228,171
  Puget Energy, Inc.                                        1,900            41,629
  Questar Corp.                                             1,700            65,688
  Reliant Resources, Inc.*                                  5,944            64,374
  SCANA Corp.                                               2,400            87,288
  Sierra Pacific Resources                                  1,900            14,649
  Southern Co.                                             16,100           469,315
  Southwest Gas Corp.                                         500            12,065
  TECO Energy, Inc.                                         3,500            41,965
  TXU Corp.                                                 7,100           287,621
  UIL Holdings Corp.                                          200             9,738
  Unisource Energy Corp.                                      600            14,910
  Vectren Corp.                                             1,700            42,653
  WGL Holdings, Inc.                                          900            25,848
  Wisconsin Energy Corp.                                    2,400            78,264
  WPS Resources Corp.                                         800            37,080
  Xcel Energy, Inc.                                         9,600           160,416
                                                                    ---------------
                                                                          6,923,848
                                                                    ---------------

WASTE MANAGEMENT -- 0.2%                                                           
  Allied Waste Industries, Inc.*                            7,100            93,578
  Republic Services, Inc. Class A                           3,900           112,866
  Stericycle, Inc.*                                           900            46,566
  Waste Connections, Inc.*                                    750            22,245
  Waste Management, Inc.                                   13,900           426,035
                                                                    ---------------
                                                                            701,290
                                                                    ---------------

OTHER -- 3.5%                                                                      
  DFA U.S. MicroCap Portfolio                             722,362        10,250,314
                                                                    ---------------
  TOTAL COMMON STOCKS                                                              
    (Identified Cost $258,484,780)                                      285,887,261
                                                                    ---------------

SHORT-TERM INVESTMENTS -- 1.0%                                                     
OTHER -- 1.0%                                                                      
  SSgA Government Money Market Fund                           821   $           821
  SSgA Money Market Fund                                2,909,974         2,909,974
                                                                    ---------------
  TOTAL SHORT-TERM INVESTMENTS                                                     
     (Identified Cost $2,910,795)                                         2,910,795
                                                                    ---------------
TOTAL INVESTMENTS -- 99.8%                                                         
 (IDENTIFIED COST $261,395,575)#                                        288,798,056
 Cash and Other Assets,                                                            
   Less Liabilities -- 0.2%                                                 675,202
                                                                    ---------------
NET ASSETS -- 100%                                                  $   289,473,258
                                                                    ===============

+  See Note 1.                                                              
*  Non-income producing security                                            
#  At June 30, 2004, the aggregate cost of investment securities for income 
tax purposes was $261,395,736. Net unrealized appreciation aggregated 
$27,402,320, of which $39,985,000 related to appreciated investment   
  securities and $12,582,680 related to depreciated investment securities.
(a)  Bankrupt security/delisted.                                                

SEE NOTES TO FINANCIAL STATEMENTS.

25

N-CSR
30th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 30th
SA U.S. HBtM Fund                                                               
PORTFOLIO OF INVESTMENTS -- AS OF JUNE 30, 2004                                 

                                                                [Download Table]

                                                        SHARES          VALUE+     
-----------------------------------------------------------------------------------
                                                                                   
COMMON STOCKS -- 98.8%                                                             
AEROSPACE/DEFENSE -- 2.9%                                                          
  Northrop Grumman Corp.                                   51,000   $     2,738,700
  Raytheon Co.                                             55,700         1,992,389
                                                                    ---------------
                                                                          4,731,089
                                                                    ---------------

AGRICULTURAL OPERATIONS -- 0.5%                                                    
  Monsanto Co.                                             22,300           858,550
                                                                    ---------------

AIRLINES -- 0.0%                                                                   
  Delta Air Lines, Inc.                                    10,000            71,200
                                                                    ---------------

AUTO & RELATED -- 4.9%                                                             
  Dana Corp.                                               11,300           221,480
  Ford Motor Co.                                          248,600         3,890,590
  General Motors Corp.                                     79,200         3,689,928
  Navistar International Corp.*                               700            27,132
  United Rentals, Inc.*                                     6,300           112,707
  Visteon Corp.                                            11,391           132,933
                                                                    ---------------
                                                                          8,074,770
                                                                    ---------------

BANKS/SAVINGS & LOANS -- 0.3%                                                      
  Astoria Financial Corp.                                   5,800           212,164
  Commercial Federal Corp.                                  2,000            54,200
  Sovereign Bancorp, Inc.                                   9,800           216,580
                                                                    ---------------
                                                                            482,944
                                                                    ---------------

BROADCASTING -- 5.8%                                                               
  Clear Channel Communications, Inc.                       87,072         3,217,310
  Comcast Corp. Class A*                                  124,962         3,502,685
  Comcast Corp. Class A Special*                           56,300         1,554,443
  Fox Entertainment Group, Inc. Class A*                    7,700           205,590
  Hearst-Argyle Television, Inc.                            7,000           180,460
  Liberty Media International, Inc. Series A*              18,605           690,245
  Radio One, Inc. Class A*                                  2,800            45,108
  The DIRECTV Group, Inc.*                                 13,006           222,403
                                                                    ---------------
                                                                          9,618,244
                                                                    ---------------

BUILDING & CONSTRUCTION -- 0.7%                                                    
  Lafarge Corp.                                            11,800           510,940
  Pulte Corp.                                              10,800           561,924
                                                                    ---------------
                                                                          1,072,864
                                                                    ---------------

BUSINESS SERVICES -- 0.7%                                                          
  Electronic Data Systems Corp.                            61,900         1,185,385
                                                                    ---------------

CHEMICALS -- 0.9%                                                                  
  Ashland, Inc.                                            10,400           549,224
  Eastman Chemical Co.                                      8,400           388,332
  Lubrizol Corp.                                            1,800            65,916
  Lyondell Chemical Co.                                    22,500           391,275
  Valhi, Inc.                                               1,800            20,466
                                                                    ---------------
                                                                          1,415,213
                                                                    ---------------

COMPUTER EQUIPMENT -- 0.2%                                                         
  Ingram Micro, Inc. Class A*                              22,500           325,575
                                                                    ---------------

COMPUTER SERVICES -- 0.5%                                                          
  Compuware Corp.*                                         24,800           163,680
  Sun Microsystems, Inc.*                                  97,600           423,584
  Unisys Corp.*                                            14,000           194,320
                                                                    ---------------
                                                                            781,584
                                                                    ---------------

COMPUTER SOFTWARE -- 0.3%                                                          
  3Com Corp.*                                              36,100   $       225,625
  CheckFree Corp.*                                          9,100           273,000
  WebMD Corp.*                                              8,100            75,492
                                                                    ---------------
                                                                            574,117
                                                                    ---------------

CONTAINERS & GLASS -- 0.2%                                                         
  Owens-Illinois, Inc.*                                    19,000           318,440
                                                                    ---------------

DIVERSIFIED OPERATIONS -- 1.4%                                                     
  Cendant Corp.                                            57,900         1,417,392
  PerkinElmer, Inc.                                         5,800           116,232
  Textron, Inc.                                            12,300           730,005
                                                                    ---------------
                                                                          2,263,629
                                                                    ---------------

ELECTRONICS -- 3.4%                                                                
  Advanced Micro Devices, Inc.*                            32,500           516,750
  Agere Systems, Inc. Class A*                                674             1,550
  Agere Systems, Inc. Class B*                             16,561            35,606
  Applied Micro Circuits Corp.*                            22,500           119,700
  Arrow Electronics, Inc.*                                  8,800           236,016
  Avnet, Inc.*                                             16,500           374,550
  AVX Corp.                                                12,900           186,405
  Curtiss-Wright Corp. Class B                                258            13,873
  Intersil Corp. Class A                                    9,500           205,770
  LSI Logic Corp.*                                         38,200           291,084
  Micron Technology, Inc.*                                 83,200         1,273,792
  Rockwell International Corp.                              3,700           138,787
  Sanmina Corp.*                                           43,000           391,300
  Solectron Corp.*                                         74,900           484,603
  Tech Data Corp.*                                          8,200           320,866
  Thermo Electron Corp.*                                    9,000           276,660
  Thomas & Betts Corp.*                                     5,000           136,150
  Vishay Intertechnology, Inc.*                            33,900           629,862
                                                                    ---------------
                                                                          5,633,324
                                                                    ---------------

ENERGY -- 0.3%                                                                     
  Peabody Energy Corp.                                      8,400           470,316
                                                                    ---------------

FINANCIAL SERVICES -- 5.1%                                                         
  A.G. Edwards, Inc.                                        2,700            91,881
  AmeriCredit Corp.*                                       21,800           425,754
  Instinet Group, Inc.*                                     3,100            16,368
  J.P. Morgan Chase & Co.                                 101,200         3,923,524
  Janus Capital Group, Inc.                                15,500           255,595
  KeyCorp                                                   9,700           289,933
  LaBranche & Co., Inc.                                     3,500            29,470
  MBIA, Inc.                                               20,200         1,153,824
  Protective Life Corp.                                     9,600           371,232
  Providian Financial Corp.*                               38,700           567,729
  The Bear Stearns Cos., Inc.                              14,860         1,252,847
                                                                    ---------------
                                                                          8,378,157
                                                                    ---------------

FOOD & BEVERAGES -- 3.4%                                                           
  Archer-Daniels-Midland Co.                               91,996         1,543,693
  Coca-Cola Enterprises, Inc.                              65,900         1,910,441
  Kraft Foods, Inc. Class A                                23,700           750,816
  PepsiAmericas, Inc.                                      15,300           324,972
  Smithfield Foods, Inc.*                                  13,500           396,900
  Tyson Foods, Inc. Class A                                33,107           693,591
                                                                    ---------------
                                                                          5,620,413
                                                                    ---------------

26

N-CSR
31st “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 31st
                                                                [Download Table]

                                                        SHARES          VALUE+     
-----------------------------------------------------------------------------------
                                                                                   
COMMON STOCKS (CONTINUED)                                                          
FOREST & PAPER PRODUCTS -- 3.2%                                                    
  Georgia-Pacific Group                                    36,200   $     1,338,676
  International Paper Co.                                  29,000         1,296,300
  Smurfit-Stone Container Corp.                            33,900           676,305
  Weyerhaeuser Co.                                         31,600         1,994,592
                                                                    ---------------
                                                                          5,305,873
                                                                    ---------------

FUNERAL SERVICES -- 0.2%                                                           
  Service Corp. International*                             39,200           288,904
                                                                    ---------------

HEALTH CARE -- DRUGS -- 0.2%                                                       
  Millennium Pharmaceuticals, Inc.*                        26,600           367,080
                                                                    ---------------

HEALTH CARE -- PRODUCTS -- 0.3%                                                    
  Bausch & Lomb, Inc.                                       1,500            97,605
  Human Genome Sciences, Inc.*                              4,900            56,987
  Invitrogen Corp.*                                         4,100           295,159
                                                                    ---------------
                                                                            449,751
                                                                    ---------------

HEALTH CARE -- SERVICES -- 1.3%                                                    
  Humana, Inc.*                                            22,900           387,010
  PacifiCare Health Systems, Inc.*                          7,400           286,084
  Tenet Healthcare Corp.*                                  63,800           855,558
  Triad Hospitals, Inc.*                                   16,700           621,741
                                                                    ---------------
                                                                          2,150,393
                                                                    ---------------

INSURANCE -- 18.6%                                                                 
  Allmerica Financial Corp.*                                8,100           273,780
  Allstate Corp.                                           99,900         4,650,345
  American Financial Group, Inc.                           13,400           409,638
  American National Insurance Co.                           3,500           323,155
  Chubb Corp.                                              25,600         1,745,408
  CIGNA Corp.                                               7,300           502,313
  Cincinnati Financial Corp.                               23,565         1,025,549
  CNA Financial Corp.*                                     36,300         1,074,117
  Hartford Financial Services Group, Inc.                  37,300         2,564,002
  Lincoln National Corp.                                   25,400         1,200,150
  Loews Corp.                                              26,600         1,594,936
  Manulife Financial Corp.                                 33,306         1,348,893
  MetLife, Inc.                                           107,300         3,846,705
  MGIC Investment Corp.                                     9,400           713,084
  MONY Group, Inc.*                                         4,200           131,460
  Nationwide Financial Services, Inc. Class A               7,600           285,836
  Odyssey Re Holdings Corp.                                 8,700           208,800
  Old Republic International Corp.                         26,300           623,836
  Principal Financial Group, Inc.                          45,100         1,568,578
  Radian Group, Inc.                                       13,300           637,070
  Reinsurance Group of America, Inc.                        8,400           341,460
  Safeco Corp.                                             20,400           897,600
  St. Paul Cos., Inc.                                      29,800         1,208,092
  StanCorp Financial Group, Inc.                            4,700           314,900
  The First American Corp.                                 17,800           460,842
  The PMI Group, Inc.                                      16,900           735,488
  Torchmark, Inc.                                          13,900           747,820
  Unitrin, Inc.                                            10,100           430,260
  UnumProvident Corp.                                      42,700           678,930
                                                                    ---------------
                                                                         30,543,047
                                                                    ---------------

INTERNET SERVICES -- 1.9%                                                          
  InterActiveCorp*                                         90,398   $     2,724,596
  Qwest Communications International, Inc.*               131,900           473,521
                                                                    ---------------
                                                                          3,198,117
                                                                    ---------------

LEISURE -- 1.5%                                                                    
  Caesars Entertainment, Inc.*                             35,000           525,000
  MGM Mirage, Inc.*                                        19,200           901,248
  Starwood Hotels & Resorts Worldwide, Inc.                                        
   Class B                                                 24,200         1,085,370
                                                                    ---------------
                                                                          2,511,618
                                                                    ---------------

MACHINERY -- 0.2%                                                                  
  SPX Corp.                                                 7,600           352,944
                                                                    ---------------

METALS & MINING -- 0.3%                                                            
  Phelps Dodge Corp.                                        7,200           558,072
                                                                    ---------------

MULTIMEDIA -- 11.0%                                                                
  A.H. Belo Corp. Series A                                 14,100           378,585
  Cox Radio, Inc. Class A*                                  2,200            38,236
  Liberty Media Corp. Class A                             379,200         3,409,008
  Metro-Goldwyn-Mayer, Inc. *                              20,400           246,840
  Time Warner, Inc.*                                      348,300         6,123,114
  Viacom, Inc. Class A                                     17,400           632,490
  Viacom, Inc. Class B                                    153,100         5,468,732
  Walt Disney Co.                                          71,300         1,817,437
                                                                    ---------------
                                                                         18,114,442
                                                                    ---------------

OFFICE EQUIPMENT -- 0.2%                                                           
  IKON Office Solutions, Inc.                              23,300           267,251
                                                                    ---------------

OFFICE FURNISHINGS & SUPPLIES -- 0.1%                                              
  Steelcase, Inc. Class A                                   6,100            85,400
                                                                    ---------------

OIL & GAS -- 7.8%                                                                  
  Amerada Hess Corp.                                       12,518           991,300
  Anadarko Petroleum Corp.                                 35,726         2,093,544
  Apache Corp.                                             21,482           935,541
  ConocoPhillips                                           18,800         1,434,252
  Devon Energy Corp.                                        1,200            79,200
  Diamond Offshore Drilling, Inc.                          24,798           590,936
  Helmerich & Payne, Inc.                                   3,900           101,985
  Kerr-McGee Corp.                                         14,967           804,776
  Marathon Oil Corp.                                       49,000         1,854,160
  Occidental Petroleum Corp.                               16,300           789,083
  Pogo Producing Co.                                       10,700           528,580
  Pride International, Inc.*                               25,900           443,149
  Rowan Cos., Inc.*                                         2,500            60,825
  Sunoco, Inc.                                              6,500           413,530
  Tidewater, Inc.                                           7,800           232,440
  Valero Energy Corp.                                      20,100         1,482,576
                                                                    ---------------
                                                                         12,835,877
                                                                    ---------------

PAPER & RELATED PRODUCTS -- 1.5%                                                   
  Boise Cascade Corp.                                      12,400           466,736
  Bowater, Inc.                                            10,900           453,331
  Louisiana-Pacific Corp.                                  14,200           335,830
  MeadWestvaco Corp.                                       28,813           846,814
  Temple-Inland, Inc.                                       5,400           373,950
                                                                    ---------------
                                                                          2,476,661
                                                                    ---------------

27

N-CSR
32nd “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 32nd
                                                                [Download Table]

                                                        SHARES          VALUE+      
----------------------------------------------------------------------------------- 
                                                                                    
COMMON STOCKS (CONTINUED)                                                           
PUBLISHING -- 0.0%                                                                  
  Hollinger International, Inc. Class A                     2,600   $        43,654 
                                                                    --------------- 

RETAIL -- FOOD -- 0.8%                                                              
  Albertson's, Inc.                                        36,600           971,364 
  SUPERVALU, Inc.                                          11,700           358,137 
                                                                    --------------- 
                                                                          1,329,501 
                                                                    --------------- 

RETAIL -- GENERAL -- 3.0%                                                           
  Dillards, Inc. Class A                                   10,300           229,690 
  Federated Department Stores, Inc.                        25,900         1,271,690 
  J.C. Penney Co., Inc.                                    35,700         1,348,032 
  May Department Stores Co.                                22,500           618,525 
  Sears, Roebuck & Co.                                     37,000         1,397,120 
                                                                    --------------- 
                                                                          4,865,057 
                                                                    --------------- 

RETAIL -- SPECIALTY -- 1.3%                                                         
  AutoNation, Inc.*                                        36,600           625,860 
  Barnes & Noble, Inc.*                                     4,300           146,114 
  Blockbuster, Inc. Class A                                 4,500            68,310 
  Borders Group, Inc.                                       5,700           133,608 
  Circuit City Stores-Circuit City Group                   28,600           370,370 
  Rite Aid Corp.*                                           8,500            44,370 
  Saks, Inc.                                               18,900           283,500 
  Toys "R" Us, Inc.*                                       31,800           506,574 
                                                                    --------------- 
                                                                          2,178,706 
                                                                    --------------- 

STEEL -- 0.5%                                                                       
  Nucor Corp.                                               3,600           276,336 
  The Timken Co.                                            6,300           166,887 
  United States Steel Corp.                                 9,300           326,616 
  Worthington Industries, Inc.                              3,000            61,590 
                                                                    --------------- 
                                                                            831,429 
                                                                    --------------- 

TELECOMMUNICATIONS -- 8.7%                                                          
  American Tower Corp. Class A*                            29,400           446,880 
  AT&T Corp.                                              112,740         1,649,386 
  AT&T Wireless Services, Inc.*                           301,909         4,323,337 
  CIENA Corp.*                                             24,700            91,884 
  Cincinnati Bell, Inc.*                                   13,200            58,608 
  Comverse Technology, Inc.*                               14,000           279,160 
  Cox Communications, Inc. Class A*                        84,100         2,337,139 
  Crown Castle International Corp.*                        28,400           418,900 
  Harris Corp.                                              2,000           101,500 
  Level 3 Communications, Inc.*                            15,000            53,250 
  Lucent Technologies, Inc.*                               36,600           138,348 
  PanAmSat Corp.*                                          19,300           448,146 
  SBC Communications, Inc.                                 17,400           421,950 
  Sprint Corp.                                            125,100         2,201,760 
  Telephone & Data Systems, Inc.                            7,700           548,240 
  Tellabs, Inc.*                                           54,911           479,922 
  United States Cellular Corp.*                             7,200           277,560 
                                                                    --------------- 
                                                                         14,275,970 
                                                                    --------------- 

TIRES & RUBBER -- 0.1%                                                              
  Cooper Tire & Rubber Co.                                  2,300            52,900 
  Goodyear Tire & Rubber Co.*                              12,400           112,716 
                                                                    --------------- 
                                                                            165,616 
                                                                    --------------- 

TOBACCO -- 0.5%                                                                     
  R.J. Reynolds Tobacco Holdings, Inc.                     12,100   $       817,839 
                                                                    --------------- 

TRANSPORTATION -- 3.8%                                                              
  Alexander & Baldwin, Inc.                                 3,700           123,765 
  Burlington Northern Santa Fe Corp.                       22,800           799,596 
  CSX Corp.                                                31,100         1,019,147 
  Norfolk Southern Corp.                                   55,900         1,482,468 
  Ryder System, Inc.                                       13,900           556,973 
  Union Pacific Corp.                                      36,800         2,187,760 
                                                                    --------------- 
                                                                          6,169,709 
                                                                    --------------- 

UTILITIES -- 0.1%                                                                   
  Alliant Energy Corp.                                      4,500           117,360 
                                                                    --------------- 

WASTE MANAGEMENT -- 0.2%                                                            
  Allied Waste Industries, Inc.*                           25,800           340,044 
                                                                    --------------- 

  TOTAL COMMON STOCKS                                                               
    (Identified Cost $139,913,890)                                      162,516,129 
                                                                    --------------- 

SHORT-TERM INVESTMENTS -- 1.5%                                                      
OTHER -- 1.5%                                                                       
  SSgA Government Money Market Fund                           714               714 
  SSgA Money Market Fund                                2,566,074         2,566,074 
                                                                    --------------- 

  TOTAL SHORT-TERM INVESTMENTS                                                      
    (Identified Cost $2,566,788)                                          2,566,788 
                                                                    --------------- 

TOTAL INVESTMENTS -- 100.3%                                                         
  (IDENTIFIED COST $142,480,678)#                                       165,082,917 
  Liabilities, Less Cash and                                                        
    Other Assets -- (0.3%)                                                 (527,763)
                                                                    --------------- 
NET ASSETS -- 100%                                                  $   164,555,154 
                                                                    =============== 

+  See Note 1.                                                              
*  Non-income producing security                                            
#  At June 30, 2004, the aggregate cost of investment securities for income 
tax purposes was $142,480,678. Net unrealized appreciation aggregated 
$22,602,239, of which $28,872,215 related to appreciated investment   
 securities and $6,269,976 related to depreciated investment securities.

SEE NOTES TO FINANCIAL STATEMENTS.

28

N-CSR
33rd “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 33rd
SA U.S. Small Company Fund                                                      
PORTFOLIO OF INVESTMENTS -- AS OF JUNE 30, 2004                                 

                                                                [Download Table]

                                                        SHARES          VALUE+     
-----------------------------------------------------------------------------------
                                                                                   
COMMON STOCKS -- 98.6%                                                             
ADVERTISING -- 0.1%                                                                
  Equity Marketing, Inc.*                                     800   $         9,960
  Traffix, Inc.                                               200             1,316
  ValueVision International, Inc. Class A*                  5,000            65,100
                                                                    ---------------
                                                                             76,376
                                                                    ---------------

AEROSPACE/DEFENSE -- 1.0%                                                          
  AAR Corp.                                                 3,800            43,130
  Armor Holdings, Inc.*                                     4,300           146,200
  BE Aerospace, Inc.*                                       3,300            25,014
  DRS Technologies, Inc.*                                   3,500           111,650
  Ducommun, Inc.*                                             855            18,280
  EDO Corp.                                                 2,800            67,536
  Engineered Support Systems, Inc.                          3,350           196,008
  GenCorp, Inc.                                             6,700            89,713
  HEICO Corp.                                               1,200            21,900
  HEICO Corp. Class A                                         120             1,674
  Herley Industries, Inc.*                                  1,800            35,172
  Hexcel Corp.*                                             5,900            68,322
  Innovative Solutions and Support, Inc.*                   1,300            25,376
  Kaman Corp. Class A                                       3,200            44,768
  Ladish Co., Inc.*                                         1,200            10,200
  MTC Technologies, Inc.*                                   1,000            25,820
  Orbital Sciences Corp. Class A*                           7,800           107,718
  REMEC, Inc.*                                              7,400            46,768
  Sensytech, Inc.*                                            700            16,268
  Teledyne Technologies, Inc.*                              4,900            98,098
  The Allied Defense Group, Inc.*                             600            10,782
  The Fairchild Corp. Class A*                              2,900            12,412
  The Titan Corp.*                                          5,600            72,688
  Triumph Group, Inc.*                                      2,200            70,246
  United Industrial Corp.                                   1,600            37,360
                                                                    ---------------
                                                                          1,403,103
                                                                    ---------------

AGRICULTURAL OPERATIONS -- 0.2%                                                    
  AGCO Corp.*                                               3,000            61,110
  Delta & Pine Land Co.                                     6,100           133,895
  Embrex, Inc.*                                             1,100            14,894
  LESCO, Inc.*                                              1,300            17,654
                                                                    ---------------
                                                                            227,553
                                                                    ---------------

AIRLINES -- 0.7%                                                                   
  AirTran Holdings, Inc.*                                  11,800           166,852
  Alaska Air Group, Inc.*                                   5,000           119,350
  America West Holding Corp. Class B*                       4,700            42,676
  Atlantic Coast Airlines Holdings, Inc.*                   5,400            30,996
  Continental Airlines, Inc. Class B*                       9,300           105,741
  Delta Air Lines, Inc.                                    18,600           132,432
  ExpressJet Holdings, Inc.*                                8,100            98,334
  Frontier Airlines, Inc.*                                  4,350            47,328
  MAIR Holdings, Inc.*                                      2,000            16,320
  Mesa Air Group, Inc.*                                     3,500            28,315
  Northwest Airlines Corp. Class A*                        13,800           153,456
  SkyWest, Inc.                                             6,900           120,129
  US Airways Group, Inc. Class A*                             800             1,880
                                                                    ---------------
                                                                          1,063,809
                                                                    ---------------

AUTO & RELATED -- 1.7%                                                             
  A.S.V., Inc.*                                             1,500   $        46,965
  Aftermarket Technology Corp.*                             3,100            51,150
  American Axle & Manufacturing Holdings, Inc.                300            10,908
  Arctic Cat, Inc.                                          2,100            57,813
  ArvinMeritor, Inc.                                          500             9,785
  Asbury Automotive Group, Inc.*                            8,200           123,000
  Bandag, Inc.                                              1,200            53,436
  Coachmen Industries, Inc.                                 1,600            25,584
  Collins & Aikman Corp.*                                  10,440            58,360
  CSK Auto Corp.*                                           7,000           119,980
  Dollar Thrifty Automotive Group, Inc.*                    3,800           104,272
  Dura Automotive Systems, Inc.*                            1,400            12,810
  IMPCO Technologies, Inc.*                                 2,000            12,660
  Insurance Auto Auctions, Inc.*                            1,200            20,400
  Lithia Motors, Inc. Class A                               1,797            44,530
  LoJack Corp.*                                             1,600            14,064
  Midas, Inc.*                                              3,000            52,200
  Monaco Coach Corp.                                        4,650           130,990
  National R.V. Holdings, Inc.*                             1,100            16,225
  Noble International Ltd.                                  1,200            29,724
  Oshkosh Truck Corp.                                       2,600           149,006
  Raytech Corp.*                                            1,400             2,324
  Rent-Way, Inc.*                                           3,200            28,800
  Skyline Corp.                                               500            20,325
  Spartan Motors, Inc.                                      2,400            29,400
  Standard Motor Products, Inc.                             2,100            30,933
  Strattec Security Corp.*                                    300            20,529
  Superior Industries International, Inc.                   3,700           123,765
  Tenneco Automotive, Inc.*                                 5,800            76,734
  Thor Industries, Inc.                                     6,800           227,528
  Tower Automotive, Inc.*                                   5,900            21,476
  United Auto Group, Inc.                                   4,700           144,055
  United Rentals, Inc.*                                     7,600           135,964
  Visteon Corp.                                            12,900           150,543
  Wabash National Corp.*                                    3,800           104,690
  Winnebago Industries, Inc.                                4,700           175,216
                                                                    ---------------
                                                                          2,436,144
                                                                    ---------------

BANKS/SAVINGS & LOANS -- 6.8%                                                      
  1st Source Corp.                                          2,561            63,974
  ACE Cash Express, Inc.*                                   1,700            43,673
  Alabama National Bancorp.                                 2,358           130,798
  AMCORE Financial, Inc.                                    3,500           105,560
  Anchor Bancorp Wisconsin, Inc.                            3,400            89,896
  BancorpSouth, Inc.                                        1,600            36,048
  BankUnited Financial Corp. Class A*                       4,000           103,200
  Banner Corp.                                              1,260            36,616
  Bay View Capital Corp.*                                   5,600            11,536
  Boston Private Financial Holdings, Inc.                   3,700            85,692
  Brookline Bancorp, Inc.                                   7,648           112,196
  BSB Bancorp, Inc.                                         1,200            42,660
  Cathay Bancorp, Inc.                                      2,909           194,030
  Center Financial Corp.                                    1,200            18,180
  Central Pacific Financial Corp.                           2,400            66,000
  CFS Bancorp, Inc.                                         1,100            14,575

29

N-CSR
34th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 34th
                                                                [Download Table]

                                                        SHARES          VALUE+     
-----------------------------------------------------------------------------------
                                                                                   
COMMON STOCKS (CONTINUED)                                                          
BANKS/SAVINGS & LOANS (CONTINUED)                                                  
  Charter Financial Corp.                                   2,228   $        75,752
  Chemical Financial Corp.                                  3,372           124,393
  Chittenden Corp.                                          3,850           135,328
  Columbia Banking System, Inc.                             1,583            35,143
  Commercial Capital Bancorp, Inc.*                         2,319            40,281
  Commercial Federal Corp.                                  4,496           121,842
  Community Bank Systems, Inc.                              3,800            86,602
  Community First Bankshares, Inc.                          4,900           157,731
  Community Trust Bancorp, Inc.                               726            22,143
  Corus Bankshares, Inc.                                    3,400           139,774
  CVB Financial Corp.                                       7,292           158,820
  Dime Community Bancshares                                 5,950           104,006
  Downey Financial Corp.                                      700            37,275
  East West Bancorp, Inc.                                   6,400           196,480
  Fidelity Bankshares, Inc.                                 2,000            70,900
  First Charter Corp.                                       4,300            93,697
  First Citizens BancShares, Inc.                             200            24,400
  First Community Bancorp.                                  2,200            84,568
  First Community Bancshares, Inc.                          1,361            45,594
  First Federal Capital Corp.                               2,800            77,924
  First Financial Bancorp.                                  6,165           109,244
  First Financial Holdings, Inc.                            1,800            51,858
  First Indiana Corp.                                       1,600            30,480
  First Merchants Corp.                                     2,577            66,873
  First National Bankshares of Florida                      3,173            60,137
  First Niagara Financial Group, Inc.                      10,593           127,116
  First PacTrust Bancorp, Inc.                                200             4,448
  First Place Financial Corp.                               1,600            29,712
  First Republic Bank                                       2,150            92,622
  First Sentinel Bancorp, Inc.                              3,300            67,815
  First State Bancorp.                                        900            27,648
  FirstFed Financial Corp.*                                 2,400            99,840
  Flagstar Bancorp, Inc.                                    6,050           120,274
  Flushing Financial Corp.                                  2,900            51,185
  FNB Corp.                                                 5,981           122,012
  Glacier Bancorp, Inc.                                     3,512            98,933
  Gold Banc Corp., Inc.                                     5,100            79,050
  Greater Bay Bancorp.                                      5,700           164,730
  Hancock Holding Co.                                       5,200           151,112
  Harbor Florida Bancshares, Inc.                           3,544            97,495
  Harleysville National Corp.                               3,940           100,864
  Heartland Financial USA, Inc.                             1,100            20,185
  Horizon Financial Corp.                                   1,300            25,870
  Hudson River Bancorp, Inc.                                4,200            71,694
  Hudson United Bancorp.                                      500            18,640
  Humboldt Bancorp.                                         1,320            27,601
  IBERIABANK Corp.                                          1,100            65,098
  Independent Bank Corp.-MA                                 1,782            51,589
  Independent Bank Corp.-MI                                 2,696            68,478
  Integra Bank Corp.                                        2,200            48,466
  Lakeland Bancorp, Inc.                                    1,653            26,679
  MAF Bancorp, Inc.                                         2,795           119,291
  Main Street Banks, Inc.                                   2,700            75,870
  MB Financial, Inc.                                        4,000           147,240
  MBT Financial Corp.                                       2,100   $        38,262
  Mid-State Bancshares                                      3,300            77,583
  Midwest Banc Holdings, Inc.                               2,300            51,290
  Nara Bancorp, Inc.                                        3,000            51,390
  National Penn Bancshares, Inc.                            3,615           107,510
  NBT Bancorp, Inc.                                         4,560           101,870
  Northwest Bancorp, Inc.                                   6,200           141,980
  OceanFirst Financial Corp.                                1,478            35,398
  Ocwen Financial Corp.*                                   10,200           122,808
  Online Resources Corp.*                                   1,600            10,848
  Pacific Capital Bancorp.                                  5,467           153,777
  People's Bank                                             1,800            56,070
  PFF Bancorp, Inc.                                         2,480            92,355
  Prosperity Bancshares, Inc.                               2,900            70,615
  Provident Bankshares Corp.                                5,040           145,354
  Provident Financial Group, Inc.                           2,000            78,920
  Republic Bancorp, Inc.                                    8,928           124,099
  Riggs National Corp.                                      4,100            86,592
  S&T Bancorp, Inc.                                         4,000           127,920
  Sandy Spring Bancorp, Inc.                                2,100            72,975
  Seacoast Banking Corp. of Florida                         1,600            33,488
  Second Bancorp, Inc.                                        600            18,774
  Silicon Valley Bancshares*                                4,500           178,425
  Simmons First National Corp. Class A                      2,000            52,060
  Sound Federal Bancorp, Inc.                               1,100            14,762
  Southwest Bancorp, Inc.                                   1,200            21,900
  State Financial Services Corp. Class A                    1,100            32,626
  Sterling Bancorp.                                         1,875            51,788
  Sterling Bancshares, Inc.                                 6,300            89,397
  Sterling Financial Corp.                                  3,085            98,319
  Sun Bancorp, Inc.                                         1,470            31,252
  Texas Regional Bancshares, Inc. Class A                   3,646           167,388
  The Banc Corp.*                                           2,500            16,275
  TierOne Corp.                                             2,600            55,926
  TrustCo Bank Corp. NY                                    10,434           136,685
  UCBH Holdings, Inc.                                       3,000           118,560
  UMB Financial Corp.                                       2,600           134,212
  Umpqua Holdings Corp.                                     4,012            84,212
  United Bankshares, Inc.                                   4,400           143,000
  United Community Banks, Inc.                              5,647           142,191
  United Community Financial Corp.                          4,000            52,000
  Washington Trust Bancorp, Inc.                            1,500            38,955
  Waypoint Financial Corp.                                  4,170           115,050
  Webster Financial Corp.                                     456            21,441
  WesBanco, Inc.                                            2,800            81,564
  West Coast Bancorp.                                       1,747            37,456
  Westcorp.                                                 5,360           243,612
  Willow Grove Bancorp, Inc.                                  800            12,728
  Wintrust Financial Corp.                                  3,050           154,056
  Yardville National Bancorp.                                 900            22,500
                                                                    ---------------
                                                                          9,655,654
                                                                    ---------------

BROADCASTING -- 0.9%                                                               
  4Kids Entertainment, Inc.*                                1,800            43,056
  Acacia Research-Acacia Technologies*                      2,200            14,190

30

N-CSR
35th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 35th
                                                                [Download Table]

                                                        SHARES          VALUE+     
-----------------------------------------------------------------------------------
                                                                                   
COMMON STOCKS (CONTINUED)                                                          
BROADCASTING (CONTINUED)                                                           
  Acme Communications, Inc.*                                1,700   $        11,730
  Beasley Broadcast Group, Inc. Class A*                      900            13,464
  Charter Communications, Inc. Class A*                    40,300           157,976
  Crown Media Holdings, Inc. Class A*                      11,800           100,536
  Cumulus Media, Inc. Class A*                              5,700            95,817
  Digital Generation Systems, Inc.*                         7,500            11,100
  Entravision Communications Corp.*                         7,400            56,832
  Gray Television, Inc.                                     5,700            79,173
  Insight Communications Co., Inc.*                         6,700            62,042
  Lin Tv Corp. Class A*                                     3,100            65,720
  Mediacom Communications Corp.*                           12,700            99,314
  NTN Communications, Inc.*                                 3,700            11,618
  Paxson Communications Corp.*                              5,000            16,250
  Regent Communications, Inc.*                              5,600            34,664
  Saga Communications, Inc. Class A*                        2,200            40,150
  Salem Communications Corp. Class A*                       2,500            67,825
  Sinclair Broadcast Group, Inc. Class A                    6,000            61,620
  Spanish Broadcasting System, Inc. Class A*                4,800            44,688
  TiVo, Inc.*                                              12,800            90,752
  UnitedGlobalCom, Inc. Class A*                            4,600            33,396
  World Wrestling Federation                                                       
    Entertainment, Inc.                                     3,200            40,800
                                                                    ---------------
                                                                          1,252,713
                                                                    ---------------

BUILDING & CONSTRUCTION -- 2.4%                                                    
  Ampco-Pittsburgh Corp.                                    1,000            12,860
  Apogee Enterprises, Inc.                                  2,800            29,120
  Beazer Homes USA, Inc.                                    1,825           183,066
  Cavalier Homes, Inc.*                                       800             4,280
  Champion Enterprises, Inc.*                              11,100           101,898
  Comfort Systems USA, Inc.*                                5,300            33,867
  Drew Industries, Inc.                                     1,500            61,050
  Dycom Industries, Inc.*                                   6,300           176,400
  ElkCorp                                                   2,900            69,426
  Emcor Group, Inc.*                                        2,100            92,358
  Fleetwood Enterprises, Inc.*                              8,000           116,400
  Florida Rock Industries, Inc.                             8,325           351,065
  Foster Wheeler Ltd.*                                      1,200             1,680
  Granite Construction, Inc.                                6,250           113,937
  Hovnanian Enterprises, Inc. Class A*                      2,800            97,188
  Insituform Technologies, Inc. Class A*                    3,700            60,199
  Integrated Electrical Services, Inc.*                     5,100            41,055
  M.D.C. Holdings, Inc.                                     1,629           103,621
  M/I Schottenstein Homes, Inc.                             2,000            81,200
  Meritage Corp.*                                           1,800           123,840
  Modine Manufacturing Co.                                  4,500           143,325
  Modtech Holdings, Inc.*                                   1,200             9,264
  NCI Building Systems, Inc.*                               2,900            94,395
  Orleans Homebuilders, Inc.*                               2,500            48,175
  Palm Harbor Homes, Inc.*                                  2,900            51,417
  Perini Corp.*                                             3,100            33,077
  Ryland Group, Inc.                                        2,300           179,860
  Simpson Manufacturing Co., Inc.                           3,200           179,584
  Standard Pacific Corp.                                    2,100           103,530
  Texas Industries, Inc.                                    2,700   $       111,159
  The Shaw Group, Inc.*                                     8,500            86,105
  Trex Co., Inc.*                                           2,100            79,275
  URS Corp.*                                                4,800           131,520
  WCI Communities, Inc.*                                    5,200           116,012
  William Lyon Homes, Inc.*                                 1,600           147,440
  York International Corp.                                  3,100           127,317
                                                                    ---------------
                                                                          3,495,965
                                                                    ---------------

BUSINESS SERVICES -- 3.2%                                                          
  Acxiom Corp.                                              1,700            42,211
  Administaff, Inc.*                                        3,300            54,780
  ADVO, Inc.                                                4,600           151,432
  Ambassadors International, Inc.                           1,000            12,790
  AMN Healthcare Services, Inc.*                            4,200            64,218
  aQuantive, Inc.*                                          8,400            82,992
  Ariba, Inc.*                                             35,100            69,498
  Aspect Communications Corp.*                              8,800           124,960
  Banta Corp.                                               3,700           164,317
  Bowne & Co., Inc.                                         5,600            88,760
  Brady Corp. Class A                                       3,100           142,910
  Catalina Marketing Corp.*                                 7,500           137,175
  CDI Corp.                                                 2,800            96,880
  Century Business Services, Inc.*                         11,000            47,960
  Charles River Associates, Inc.*                           1,000            30,950
  CIBER, Inc.*                                              8,200            67,404
  Clark, Inc.*                                              2,000            37,100
  Concur Technologies, Inc.*                                3,700            39,590
  Consolidated Graphics, Inc.*                              2,000            88,100
  CorVel Corp.*                                               300             8,505
  Cross Country Healthcare, Inc.*                           4,500            81,675
  CSG Systems International, Inc.*                          7,900           163,530
  DiamondCluster International, Inc.*                       4,500            39,105
  DocuCorp International, Inc.*                             1,600            14,016
  Electro Rent Corp.                                        3,500            36,645
  ePlus, Inc.*                                              1,200            12,780
  Exult, Inc.*                                             15,100            81,238
  First Consulting Group, Inc.*                             1,900            10,488
  Forrester Research, Inc.*                                 3,000            55,950
  FTI Consulting, Inc.*                                     6,375           105,187
  Gartner, Inc. Class A*                                    7,000            92,540
  Gevity HR, Inc.                                           4,000           104,760
  Heidrick & Struggles International, Inc.*                 2,600            77,168
  infoUSA, Inc.*                                            7,600            77,064
  John H. Harland Co.                                       4,200           123,270
  Keane, Inc.*                                              8,300           113,627
  Kelly Services, Inc. Class A                              4,100           122,180
  Kforce, Inc.*                                             2,900            27,376
  Korn/Ferry International*                                 5,700           110,409
  Labor Ready, Inc.*                                        6,200            96,100
  MAXIMUS, Inc.*                                            3,000           106,380
  Microstrategy, Inc. Class A*                                800            34,160
  MPS Group, Inc.*                                         11,500           139,380
  Navigant Consulting, Inc.*                                6,400           137,216
  Navigant International, Inc.*                             2,000            35,580
  NCO Group, Inc.*                                          4,036           107,721
  On Assignment, Inc.*                                      3,200            18,880

31

N-CSR
36th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 36th
                                                                [Download Table]

                                                        SHARES          VALUE+     
-----------------------------------------------------------------------------------
                                                                                   
COMMON STOCKS (CONTINUED)                                                          
BUSINESS SERVICES (CONTINUED)                                                      
  PDI, Inc.*                                                2,100   $        63,693
  QRS Corp.*                                                1,900            12,445
  Resources Connection, Inc.*                               3,500           136,885
  SITEL Corp.*                                              6,700            28,274
  SM&A*                                                     1,500            12,975
  Spherion Corp.*                                           9,000            91,260
  TeamStaff, Inc.*                                          2,100             5,080
  TeleTech Holdings, Inc.*                                 11,700           102,609
  Tetra Tech, Inc.*                                         8,400           137,088
  The Corporate Executive Board Co.                         1,400            80,906
  The Keith Cos., Inc.*                                       800            11,520
  TRC Cos., Inc.*                                           1,650            27,522
  Watson Wyatt & Co. Holdings                               5,200           138,580
                                                                    ---------------
                                                                          4,525,794
                                                                    ---------------

CHEMICALS -- 2.5%                                                                  
  A. Schulman, Inc.                                         5,900           126,791
  Aceto Corp.                                               1,950            34,320
  Airgas, Inc.                                              2,700            64,557
  Albemarle Corp.                                           4,100           129,765
  Arch Chemicals, Inc.                                      3,200            92,224
  Cabot Microelectronics Corp.*                             4,000           122,440
  Crompton Corp.                                           16,000           100,800
  Cytec Industries, Inc.                                    3,400           154,530
  Dionex Corp.*                                             3,000           165,510
  Ferro Corp.                                               6,000           160,080
  FMC Corp.*                                                3,500           150,885
  Georgia Gulf Corp.                                        5,000           179,300
  Great Lakes Chemical Corp.                                5,600           151,536
  H.B. Fuller Co.                                           3,700           105,080
  Hawkins, Inc.                                             1,200            14,376
  Hercules, Inc.*                                          14,000           170,660
  IMC Global, Inc.                                         11,500           154,100
  Kronos Worldwide Inc.                                     2,734            93,503
  Landec Corp.*                                             1,900            12,977
  MacDermid, Inc.                                           4,500           152,325
  Millennium Chemicals, Inc.                                8,900           154,148
  Minerals Technologies, Inc.                               2,000           116,000
  NewMarket Corp.*                                          5,000           107,350
  NL Industries, Inc.                                       6,800            98,600
  Olin Corp.                                                8,300           146,246
  OM Group, Inc.*                                           3,700           122,137
  PolyOne Corp.                                             2,000            14,880
  Quaker Chemical Corp.                                     1,100            30,382
  RPM, Inc.                                                 2,000            30,400
  Solutia, Inc.*(a)                                         5,000             1,150
  Spartech Corp.                                            4,400           114,136
  Symyx Technologies*                                       4,700           113,364
  Terra Industries, Inc.*                                   9,100            51,233
  TETRA Technologies, Inc.*                                 3,050            81,892
  Valhi, Inc.                                                 700             7,959
  WD-40 Co.                                                 2,600            77,844
  Wellman, Inc.                                             3,500            28,455
                                                                    ---------------
                                                                          3,631,935
                                                                    ---------------

COMMERCIAL SERVICES -- 1.0%                                                        
  Central Parking Corp.                                     4,800   $        89,712
  Cenveo, Inc.*                                             4,100            12,013
  CoStar Group, Inc.*                                       2,700           124,011
  Euronet Worldwide, Inc.*                                  4,900           113,337
  ICT Group, Inc.*                                            900             8,226
  McGrath Rentcorp                                          1,500            55,425
  Medifast, Inc.*                                             900             4,779
  Memberworks, Inc.*                                        1,500            44,430
  Mobile Mini, Inc.*                                        1,900            53,979
  Newtek Business Services, Inc.*                           2,800            10,500
  Plexus Corp.*                                             5,500            74,250
  Polycom, Inc.*                                            7,000           156,870
  Pre-Paid Legal Services, Inc.*                            2,300            54,809
  Protection One, Inc.*                                     9,400             2,726
  Quanta Services, Inc.*                                   16,000            99,520
  R.H. Donnelley Corp.*                                     3,600           157,464
  Rewards Network, Inc.*                                    2,200            19,800
  Source Information Management Co.*                        2,000            22,240
  SOURCECORP, Inc.*                                         2,100            57,792
  StarTek, Inc.                                             2,100            75,180
  The Management Network Group, Inc.*                       3,800             9,462
  UniFirst Corp.                                            1,300            37,817
  Veritas DGC, Inc.*                                        5,100           118,065
  Viisage Technology, Inc.*                                 3,800            33,136
                                                                    ---------------
                                                                          1,435,543
                                                                    ---------------

COMMUNICATION SERVICES -- 0.1%                                                     
  West Corp.*                                               3,300            86,295
                                                                    ---------------

COMMUNICATIONS EQUIPMENT -- 1.2%                                                   
  Aether Systems, Inc.*                                     6,200            21,328
  ANADIGICS, Inc.*                                          4,000            20,636
  Andrew Corp.*                                            10,450           209,104
  Applied Signal Technology, Inc.                           1,200            42,060
  Arris Group, Inc.*                                       12,100            71,874
  Avanex Corp.*                                            19,200            74,688
  Avici Systems, Inc.*                                      1,900            24,707
  Brooktrout, Inc.*                                           900             9,729
  Captaris, Inc.*                                           3,500            22,610
  Centillium Communications, Inc.*                          4,200            16,086
  Ceradyne, Inc.*                                           2,550            91,214
  Digi International, Inc.*                                 2,600            27,872
  Ditech Communications Corp.*                              4,900           114,366
  Finisar Corp.*                                           27,100            53,658
  Inter-Tel, Inc.                                           3,800            94,886
  InterVoice-Brite, Inc.*                                   4,800            55,056
  Ixia*                                                     8,300            81,672
  KVH Industries, Inc.*                                     1,200            15,276
  MasTec, Inc.*                                             5,800            31,494
  Network Equipment Technologies, Inc.*                     3,300            26,928
  North Pittsburgh Systems, Inc.                            1,700            34,085
  Optical Communication Products, Inc.*                     3,400             8,296
  Paradyne Networks, Inc.*                                  3,900            21,450
  Performance Technologies, Inc.*                           1,600            15,056
  Proxim Corp. Class A*                                     2,456             2,908
  SBA Communications Corp.*                                 4,700            20,915

32

N-CSR
37th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 37th
                                                                [Download Table]

                                                        SHARES          VALUE+     
-----------------------------------------------------------------------------------
                                                                                   
COMMON STOCKS (CONTINUED)                                                          
COMMUNICATIONS EQUIPMENT (CONTINUED)                                               
  SeaChange International, Inc.*                            3,800   $        64,144
  Sirenza Microdevices, Inc.*                               2,100             8,820
  Somera Communications, Inc.*                              1,900             3,059
  Sonus Networks, Inc.*                                    14,500            69,310
  SpectraLink Corp.                                         2,700            40,230
  Tekelec*                                                  8,600           156,262
  Terayon Communication Systems, Inc.*                      7,400            17,316
  ViaSat, Inc.*                                             3,700            92,315
  Vyyo, Inc.*                                               1,200             7,764
  Zhone Technologies, Inc.*                                10,100            39,390
                                                                    ---------------
                                                                          1,706,564
                                                                    ---------------

COMPUTER EQUIPMENT -- 2.1%                                                         
  Adaptec, Inc.*                                           12,900           109,134
  Advanced Digital Information Corp.*                       8,800            85,360
  Agilysys, Inc.                                            3,776            52,071
  Airspan Networks, Inc.*                                   2,700            14,958
  California Micro Devices Corp.*                           2,000            23,060
  Computer Network Technology Corp.*                        3,300            19,767
  Concurrent Computer Corp.*                                4,300             8,514
  Cray, Inc.*                                              12,100            80,102
  Dot Hill Systems Corp.*                                   6,100            68,381
  Drexler Technology Corp.*                                 1,000            13,330
  Electronics for Imaging, Inc.*                            4,300           121,518
  Hutchinson Technology, Inc.*                              3,600            88,524
  Imation Corp.                                             3,500           149,135
  Immersion Corp.*                                            900             4,293
  Insight Enterprises, Inc.*                                6,350           112,776
  Iomega Corp.                                              7,200            40,176
  Komag, Inc.*                                              3,800            53,086
  Kronos, Inc.*                                             4,000           164,800
  Maxwell Technologies, Inc.*                               2,100            27,090
  McDATA Corp. Class A*                                    10,900            58,642
  Mentor Graphics Corp.*                                   10,500           162,435
  Mercury Computer Systems, Inc.*                           3,000            74,400
  Mobility Electronics, Inc.*                               3,000            25,260
  MTS Systems Corp.                                         2,700            63,315
  NeoMagic Corp.*                                           2,500             7,250
  NYFIX, Inc.*                                              5,600            27,384
  PalmOne, Inc.*                                            5,948           206,812
  RadiSys Corp.*                                            2,200            40,854
  Rimage Corp.*                                             1,200            18,012
  Riverstone Networks, Inc.*                                5,000             6,550
  SCM Microsystems, Inc.*                                   2,000            13,000
  Semtech Corp.*                                            6,600           155,364
  Sigma Designs, Inc.*                                      1,700            13,566
  Silicon Graphics, Inc.*                                  28,700            63,140
  Silicon Storage Technology, Inc.*                        14,400           148,320
  Standard Microsystems Corp.*                              2,200            51,304
  Stratasys, Inc.*                                          1,050            25,998
  Stratex Networks, Inc.*                                  10,700            31,565
  Synaptics, Inc.*                                          3,700            70,855
  TALX Corp.                                                1,789            43,705
  Trident Microsystems, Inc.*                               2,700   $        30,267
  Varian Semiconductor Equipment Associates, Inc.*          3,400           131,104
  Verity, Inc.*                                             5,900            79,709
  Virage Logic Corp.*                                       2,300            20,930
  Western Digital Corp.*                                   17,000           147,220
  Whitney Holding Corp.                                       450            20,102
                                                                    ---------------
                                                                          2,973,138
                                                                    ---------------

COMPUTER SERVICES -- 1.7%                                                          
  3D Systems Corp.*                                           800             9,152
  Analysts International Corp.*                             4,500            13,860
  Anteon International Corp.*                               4,600           150,052
  Aspen Technology, Inc.*                                   5,800            42,108
  Avocent Corp.*                                              836            30,715
  BindView Development Corp.*                               2,500             8,750
  Black Box Corp.                                           2,300           108,698
  Catapult Communications Corp.*                            1,211            27,853
  CompuCom Systems, Inc.*                                   4,800            21,792
  Computer Horizons Corp.*                                  3,800            15,162
  Computer Programs & Systems, Inc.                           900            18,342
  Computer Task Group, Inc.*                                  400             1,580
  Covansys Corp.*                                           3,300            34,089
  CyberGuard Corp.*                                         2,600            21,216
  Dynamics Research Corp.*                                  1,100            19,790
  Extreme Networks, Inc.*                                  15,900            87,768
  FactSet Research Systems, Inc.                            4,400           207,988
  Infocrossing, Inc.*                                       1,700            22,950
  Inforte Corp.*                                            1,100            11,109
  Intelligroup, Inc.*                                       1,500             7,770
  Intergraph Corp.*                                         5,500           142,230
  Jack Henry & Associates, Inc.                             9,600           192,960
  Manhattan Associates, Inc.*                               4,800           148,224
  MICROS Systems, Inc.*                                     3,000           143,910
  NetScout Systems, Inc.*                                   3,600            23,724
  NetSolve, Inc.*                                           1,200            11,880
  Overland Storage, Inc.*                                   1,500            19,935
  PEC Solutions, Inc.*                                      3,000            35,790
  Pegasus Solutions, Inc.*                                  3,200            42,016
  Perot Systems Corp. Class A*                              6,600            87,582
  Pomeroy Computer Resources, Inc.                          1,000            11,920
  Radiant Systems, Inc.*                                    2,800            13,132
  Safeguard Scientifics, Inc.*                             15,500            35,650
  Sapient Corp.*                                           17,700           106,377
  SimpleTech, Inc.*                                         4,600            15,686
  SRA International, Inc. Class A*                          2,300            97,336
  Sykes Enterprises, Inc.*                                  5,200            39,312
  Syntel, Inc.                                              6,400           105,920
  TechTeam Global, Inc.*                                    1,700            15,334
  Tier Technologies, Inc. Class B*                          1,800            17,532
  Tyler Technologies, Inc.*                                 6,900            65,274
  Viewpoint Corp.*                                          4,500             8,865
  Wind River Systems, Inc.*                                13,100           154,056
  Zomax, Inc.*                                              6,000            22,620
                                                                    ---------------
                                                                          2,418,009
                                                                    ---------------

33

N-CSR
38th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 38th
                                                                [Download Table]

                                                        SHARES          VALUE+     
-----------------------------------------------------------------------------------
                                                                                   
COMMON STOCKS (CONTINUED)                                                          
COMPUTER SOFTWARE -- 4.1%                                                          
  @Road, Inc.*                                              7,000   $        53,550
  Acclaim Entertainment, Inc.*                                300               102
  ActivCard Corp.*                                          5,100            37,026
  Activision, Inc.*                                        10,612           168,731
  Actuate Corp.*                                            5,000            19,750
  Advent Software, Inc.*                                    5,000            90,350
  Agile Software Corp.*                                     7,800            68,250
  Altiris, Inc.*                                            3,900           107,679
  American Software, Inc. Class A                           1,600             9,744
  Ansoft Corp.*                                             1,100            16,786
  ANSYS, Inc.*                                              2,300           108,100
  Ascential Software Corp.*                                 2,325            37,177
  Authentidate Holding Corp.*                               4,600            50,278
  Borland Software Corp.*                                  12,100           102,729
  Bottomline Technologies, Inc.*                            2,200            23,210
  Callidus Software, Inc.*                                  2,200            11,440
  Chordiant Software, Inc.*                                 7,437            33,913
  Clarus Corp.*                                             1,900            21,983
  Concord Communications, Inc.*                             2,400            27,384
  Convera Corp.*                                            4,100             9,471
  Corio, Inc.*                                              5,500            11,935
  Datastream Systems, Inc.*                                 6,200            40,176
  Dendrite International, Inc.*                             6,600           122,628
  Digitas, Inc.*                                           10,244           112,991
  Echelon Corp.*                                            5,600            62,664
  Embarcadero Technologies, Inc.*                           2,900            35,844
  Enterasys Networks, Inc.*                                29,000            61,190
  Epicor Software Corp.*                                    7,000            98,350
  EPIQ Systems, Inc.*                                       2,000            29,000
  eResearch Technology, Inc.*                               6,750           189,000
  FalconStor Software, Inc.*                                5,600            43,232
  FileNET Corp.*                                            5,800           183,106
  Hypercom Corp.*                                           7,600            64,220
  Hyperion Solutions Corp.*                                 4,000           174,880
  Identix, Inc.*                                           12,084            90,267
  Informatica Corp.*                                       11,800            90,034
  Intellisync Corp.*                                        4,200            12,054
  Interactive Intelligence, Inc.*                           2,000            11,960
  Internet Security Systems, Inc.*                          7,300           111,982
  Interwoven, Inc.*                                         5,619            56,752
  JDA Software Group, Inc.*                                 3,500            46,095
  Lawson Software, Inc.*                                   14,800           104,784
  Macromedia, Inc.*                                         7,780           190,999
  Magma Design Automation, Inc.*                            5,300           101,919
  Manugistics Group, Inc.*                                  9,400            30,738
  MAPICS, Inc.*                                             3,300            34,848
  MapInfo Corp.*                                            2,400            25,440
  MatrixOne, Inc.*                                          6,800            46,988
  MetaSolv, Inc.*                                           2,800             7,952
  Micromuse, Inc.*                                          8,200            54,858
  Midway Games, Inc.*                                      10,900           125,568
  Moldflow Corp.*                                             900             9,828
  MRO Software, Inc.*                                       3,048            41,483
  MSC Software Corp.*                                       3,600            32,220
  Neoware Systems, Inc.*                                    1,000             8,270
  Netegrity, Inc.*                                          4,800   $        40,608
  NetIQ Corp.*                                              7,400            97,680
  Netopia, Inc.*                                            2,600            17,160
  Omnicell, Inc.*                                           3,300            48,213
  On2 Technologies, Inc.*                                   3,800             2,622
  Openwave Systems, Inc.*                                   9,533           121,069
  OPNET Technologies, Inc.*                                 2,900            37,990
  Opsware, Inc.*                                           12,500            99,000
  Packeteer, Inc.*                                          4,900            79,135
  PalmSource, Inc.*                                         1,768            30,304
  Parametric Technology Corp.*                             33,200           166,000
  PDF Solutions, Inc.*                                      3,200            27,104
  Pegasystems, Inc.*                                        4,100            35,875
  Per-Se Technologies, Inc.*                                4,200            61,068
  Pervasive Software, Inc.*                                 2,300            14,375
  Phoenix Technology Ltd.*                                  5,700            39,843
  Pinnacle Systems, Inc.*                                   8,600            61,490
  PLATO Learning, Inc.*                                     2,800            27,748
  Portal Software, Inc.*                                    4,540            16,480
  Progress Software Corp.*                                  5,400           117,018
  QAD, Inc.*                                                4,300            45,623
  Quest Software, Inc.*                                    11,400           147,060
  Raindance Communications, Inc.                            3,100             6,448
  ScanSoft, Inc.*                                          14,952            74,012
  Secure Computing Corp.*                                   5,000            58,250
  SERENA Software, Inc.*                                    5,800           110,722
  SPSS, Inc.*                                               1,832            32,921
  SS&C Technologies, Inc.                                   3,600            67,320
  SupportSoft, Inc.*                                        4,900            42,532
  Synplicity, Inc.*                                         3,300            19,797
  Take-Two Interactive Software, Inc.*                      3,800           116,432
  TeleCommunication Systems, Inc. Class A                   1,500             8,520
  The InterCept Group, Inc.*                                2,800            45,864
  THQ, Inc.*                                                4,900           112,210
  TIBCO Software, Inc.*                                    10,500            88,725
  Tradestation Group, Inc.*                                 4,900            35,231
  Transaction Systems Architects, Inc. Class A*             5,300           114,109
  Ulticom, Inc.*                                            5,940            69,498
  Ultimate Software Group, Inc.*                            2,100            21,210
  VA Software Corp.*                                        3,600             8,820
  Vastera, Inc.*                                            4,800            14,400
  Vitria Technology, Inc.*                                  3,238             9,944
  Witness Systems, Inc.*                                    5,000            60,750
                                                                    ---------------
                                                                          5,913,088
                                                                    ---------------

COMPUTERS -- 0.0%                                                                  
  Gateway, Inc.*                                            5,000            22,500
  Merge Technologies, Inc.*                                 1,500            21,945
                                                                    ---------------
                                                                             44,445
                                                                    ---------------

CONSUMER PRODUCTS -- 0.8%                                                          
  Blyth, Inc.                                               2,800            96,572
  Central Garden & Pet Co.*                                 2,200            78,694
  CNS, Inc.                                                 1,900            19,059
  Department 56, Inc.*                                      1,500            23,100

34

N-CSR
39th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 39th
                                                                [Download Table]

                                                        SHARES          VALUE+     
-----------------------------------------------------------------------------------
                                                                                   
COMMON STOCKS (CONTINUED)                                                          
CONSUMER PRODUCTS (CONTINUED)                                                      
  Fossil, Inc.*                                             6,975   $       190,069
  IDEXX Laboratories, Inc.*                                 2,400           151,056
  Jarden Corp.*                                             3,850           138,561
  Maxwell Shoe Co., Inc. Class A*                           1,100            25,564
  Playtex Products, Inc.*                                   8,600            67,252
  Russ Berrie & Co., Inc.                                   2,700            52,461
  The Scotts Co. Class A*                                     600            38,328
  The Yankee Candle Co., Inc.*                              3,300            96,525
  Tupperware Corp.                                          8,200           159,326
                                                                    ---------------
                                                                          1,136,567
                                                                    ---------------

CONTAINERS & GLASS -- 0.3%                                                         
  Crown Holdings, Inc.*                                    14,800           147,556
  Owens-Illinois, Inc.*                                     7,300           122,348
  Silgan Holdings, Inc.                                     2,600           104,806
                                                                    ---------------
                                                                            374,710
                                                                    ---------------

CONTAINERS -- PAPER/PLASTIC -- 0.3%                                                
  Graphic Packaging Corp.*                                 25,500           220,575
  Longview Fibre Co.                                        7,700           113,421
  Packaging Dynamics Corp.                                    320             4,432
  Rock-Tenn Co. Class A                                     4,900            83,055
                                                                    ---------------
                                                                            421,483
                                                                    ---------------
CONSTRUCTION MATERIALS -- 0.1%                                                     
  Eagle Materials, Inc.                                     2,100           149,142
  U.S. Concrete, Inc.*                                      3,800            26,790
                                                                    ---------------
                                                                            175,932
                                                                    ---------------

DISTRIBUTION/WHOLESALE -- 1.1%                                                     
  Advanced Marketing Services, Inc.                         2,700            34,857
  Aviall, Inc.*                                             4,500            85,545
  Bell Microproducts, Inc.*                                 3,200            25,888
  Brightpoint, Inc.*                                        3,150            43,313
  Building Materials Holding Corp.                          1,800            34,074
  Central European Distribution Corp.*                      1,950            50,524
  Handleman Co.                                             3,300            76,428
  Hughes Supply, Inc.                                       2,300           135,539
  Keystone Automotive Industries, Inc.*                     1,700            47,413
  Nash-Finch Co.                                            1,700            42,551
  Navarre Corp.*                                            3,600            51,804
  NuCo2, Inc.*                                              1,800            35,460
  Owens & Minor, Inc.                                       5,500           142,450
  Reliv' International, Inc.                                1,400            13,160
  ScanSource, Inc.*                                         1,900           112,898
  SCP Pool Corp.                                            4,275           192,375
  United Natural Foods, Inc.*                               5,400           156,114
  United Stationers, Inc.*                                  3,400           135,048
  Watsco, Inc.                                              2,900            81,403
  WESCO International, Inc.*                                6,400           117,760
                                                                    ---------------
                                                                          1,614,604
                                                                    ---------------

DIVERSIFIED OPERATIONS -- 2.3%                                                     
  Actuant Corp. Class A*                                    3,600           140,364
  Acuity Brands, Inc.                                         800            21,600
  AMERCO*                                                   2,500   $        59,375
  Ameron International Corp.                                  800            27,304
  Barnes Group, Inc.                                        3,200            92,736
  Blount International, Inc.*                               2,300            29,279
  Carlisle Cos., Inc.                                       1,200            74,700
  Chemed Corp.                                              1,600            77,600
  Cornell Corrections, Inc.*                                1,700            23,120
  Digimarc Corp.*                                           2,100            28,035
  EnPro Industries, Inc.*                                   3,100            71,238
  ESCO Technologies, Inc.*                                  2,100           112,056
  Esterline Technologies Corp.*                             3,200            94,496
  Federal Signal Corp.                                      6,700           124,687
  Florida East Coast Industries, Inc.                       3,700           143,005
  Griffon Corp.*                                            4,450            99,146
  Kroll, Inc.*                                              5,132           189,268
  Lancaster Colony Corp.                                    1,100            45,804
  Lydall, Inc.*                                             1,800            17,586
  Mathews International Corp. Class A                       4,500           148,230
  Myers Industries, Inc.                                    3,707            52,269
  NACCO Industries, Inc. Class A                            1,000            95,000
  PerkinElmer, Inc.                                        10,033           201,061
  Raven Industries, Inc.                                    1,000            35,530
  Roper Industries, Inc.                                    2,200           125,180
  Sensient Technologies Corp.                               6,900           148,212
  Standex International Corp.                               1,700            46,240
  Sturm, Ruger & Co., Inc.                                  3,800            46,018
  Tredegar Corp.                                            4,900            79,037
  Trinity Industries, Inc.                                  4,300           136,697
  Universal Corp.                                           2,800           142,632
  UNOVA, Inc.*                                              8,500           172,125
  Vector Group Ltd.                                         6,304            99,288
  Volt Information Sciences, Inc.*                          2,200            69,322
  Walter Industries, Inc.                                   5,500            74,910
  World Fuel Services Corp.                                 1,600            72,128
  Zoltek Cos., Inc.*                                        1,800            12,870
                                                                    ---------------
                                                                          3,228,148
                                                                    ---------------

EDUCATION -- 0.5%                                                                  
  Corinthian Colleges, Inc.*                                1,400            34,636
  Education Management Corp.*                               1,800            59,148
  ITT Educational Services, Inc.*                           3,200           121,664
  Laureate Education, Inc.*                                 3,600           137,664
  Learning Tree International, Inc.*                        2,400            34,824
  Renaissance Learning, Inc.                                4,922           110,351
  Strayer Education, Inc.                                   1,600           178,512
  The Geo Group, Inc.*                                      2,800            57,120
                                                                    ---------------
                                                                            733,919
                                                                    ---------------

ELECTRIC UTILITIES -- 0.1%                                                         
  Duquesne Light Holdings, Inc.                             4,500            86,895
  Weststar Energy, Inc.                                     1,400            27,874
                                                                    ---------------
                                                                            114,769
                                                                    ---------------

ELECTRICAL EQUIPMENT -- 2.3%                                                       
  Active Power, Inc.*                                       6,300            20,097
  Advanced Energy Industries, Inc.*                         4,200            66,024
  Advanced Power Technology, Inc.*                            900            11,205

35

N-CSR
40th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 40th
                                                                [Download Table]

                                                        SHARES          VALUE+     
-----------------------------------------------------------------------------------
                                                                                   
COMMON STOCKS (CONTINUED)                                                          
ELECTRICAL EQUIPMENT (CONTINUED)                                                   
  Artesyn Technologies, Inc.*                               5,000   $        45,000
  August Technology Corp.*                                  1,700            21,318
  Avid Technology, Inc.*                                    3,300           180,081
  Axcelis Technologies, Inc.*                              14,900           185,356
  Belden, Inc.                                              2,800            60,004
  C&D Technologies, Inc.                                    3,500            62,405
  Cable Design Technologies Corp.*                          6,300            66,780
  Celeritek, Inc.                                           1,200             4,608
  Checkpoint Systems, Inc.*                                 5,600           100,408
  Cohu, Inc.                                                3,200            60,928
  Credence Systems Corp.*                                   8,980           123,924
  CyberOptics Corp.*                                          700            18,186
  Distributed Energy Systems Corp.*                         4,700            12,784
  FLIR Systems, Inc.*                                       4,400           241,560
  Genlyte Group, Inc.*                                      1,800           113,184
  GrafTech International Ltd.*                             14,300           149,578
  Helix Technology Corp.                                    3,400            72,522
  Ibis Technology Corp.*                                      400             2,432
  Input/Output, Inc.*                                       6,100            50,569
  Intermagnetics General Corp.*                             2,410            82,012
  Invision Technologies, Inc.*                              2,000            99,800
  Lincoln Electric Holdings, Inc.                           5,700           194,313
  Littelfuse, Inc.*                                         3,100           131,471
  LTX Corp.*                                                9,700           104,857
  Meade Instruments Corp.*                                  3,300            10,527
  Measurement Specialties, Inc.*                              800            17,280
  Paxar Corp.*                                              5,500           107,360
  Photon Dynamics, Inc.*                                    2,300            80,661
  Power Integrations, Inc.*                                 4,600           114,540
  Power-One, Inc.*                                         13,362           146,715
  Rogers Corp.*                                             2,600           181,740
  SBS Technologies, Inc.*                                   1,700            27,319
  SIPEX Corp.*                                              3,600            20,520
  Veeco Instruments, Inc.*                                  4,700           121,307
  Vicor Corp.*                                              4,600            84,042
  Woodhead Industries, Inc.                                 1,700            26,282
                                                                    ---------------
                                                                          3,219,699
                                                                    ---------------

ELECTRONICS -- 5.3%                                                                
  Actel Corp.*                                              3,500            64,750
  Aeroflex, Inc.*                                          10,300           147,599
  Alliance Semiconductor Corp.*                             3,300            19,635
  American Superconductor Corp.*                            3,300            43,164
  AMETEK, Inc.                                              6,000           185,400
  Analogic Corp.                                            2,000            84,860
  Anixter International, Inc.                               4,800           163,344
  Apogee Technology, Inc.*                                    700             5,915
  Artisan Components, Inc.*                                 3,700            95,460
  Asyst Technologies, Inc.*                                 6,000            62,040
  ATMI, Inc.*                                               5,000           136,550
  Audiovox Corp. Class A*                                   2,600            43,888
  Avnet, Inc.*                                              1,799            40,837
  Benchmark Electronics, Inc.*                              4,950           144,045
  Bookham Technology Plc ADR*                              12,556            12,054
  Brillian Corp.*                                             375   $         3,022
  Brooks Automation, Inc.*                                  7,124           143,549
  California Amplifier, Inc.*                                 825             5,833
  Capstone Turbine Corp.*                                   8,800            19,152
  Catalyst Semiconductor, Inc.*                             1,700            11,558
  CEVA, Inc.*                                                 800             6,328
  ChipPAC, Inc.*                                           11,600            72,732
  Cirrus Logic, Inc.*                                      11,700            70,317
  Coherent, Inc.*                                           4,100           122,385
  CompuDyne Corp.*                                          1,100            12,595
  Conexant Systems, Inc.                                   15,933            68,990
  Cree, Inc.*                                               5,100           118,728
  CTS Corp.                                                 4,700            56,682
  Cubic Corp.                                               3,700            77,441
  Cymer, Inc.*                                              4,100           153,504
  Cypress Semiconductor Corp.*                              4,000            56,760
  Daktronics, Inc.*                                         2,600            64,870
  DSP Group, Inc.*                                          4,700           128,028
  DuPont Photomasks, Inc.*                                  2,600            52,858
  Electro Scientific Industries, Inc.*                      2,800            79,268
  Electroglas, Inc.*                                        2,400            12,840
  EMCORE Corp.*                                             4,100            13,366
  Emerson Radio Corp.*                                      3,200            10,016
  Energy Conversion Devices, Inc.*                          3,000            33,780
  Entegris, Inc.*                                          10,900           126,113
  ESS Technology, Inc.*                                     5,100            54,621
  Exar Corp.*                                               5,500            80,630
  Excel Technology, Inc.*                                   1,600            53,200
  Fargo Electronics, Inc.*                                  1,700            18,887
  FARO Technologies, Inc.                                   1,600            41,072
  Genesis Microchip, Inc.*                                  3,100            42,687
  Genus, Inc.*                                              2,300             7,866
  II-VI, Inc.*                                              2,200            67,452
  InFocus Corp.*                                            5,000            42,500
  Innovex, Inc.*                                            1,400             6,398
  Integrated Device Technology, Inc.*                       5,800            80,272
  Integrated Silicon Solution, Inc.*                        4,800            58,608
  Itron, Inc.*                                              2,700            61,938
  IXYS Corp.*                                               4,400            34,672
  Keithley Instruments, Inc.                                1,800            39,870
  KEMET Corp.*                                             10,500           128,310
  Kopin Corp.*                                              8,300            42,413
  LaBarge, Inc.*                                            1,600            12,080
  Lamson & Sessions Co.*                                    1,300            10,452
  Lattice Semiconductor Corp.*                             13,359            93,647
  LeCroy Corp.*                                             1,300            23,413
  Lifeline Systems, Inc.*                                   1,800            42,588
  Lowrance Electronics, Inc.                                  500            15,479
  LSI Industries, Inc.                                      2,000            23,000
  MagneTek, Inc.*                                           2,700            22,518
  Mattson Technology, Inc.*                                 6,500            78,130
  Merix Corp.*                                              2,100            23,814
  Methode Electronics, Inc. Class A                         3,100            40,207
  Micrel, Inc.*                                            13,800           167,670
  Microsemi Corp.*                                          8,900           126,469
  Mindspeed Technologies, Inc.*                            13,800            68,448

36

N-CSR
41st “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 41st
                                                                [Download Table]

                                                        SHARES          VALUE+     
-----------------------------------------------------------------------------------
                                                                                   
COMMON STOCKS (CONTINUED)                                                          
ELECTRONICS (CONTINUED)                                                            
  MIPS Technologies, Inc. Class A*                          4,500   $        27,540
  MKS Instruments, Inc.*                                    6,400           146,048
  Molecular Devices Corp.*                                  2,370            42,139
  Monolithic System Technology, Inc.*                       3,700            27,861
  Nanometrics, Inc.*                                        1,100            12,518
  Nassda Corp.*                                             3,600            14,904
  Newport Corp.*                                            5,300            85,701
  Nu Horizons Electronics Corp.*                            2,200            19,800
  OmniVision Technologies, Inc.*                            6,600           105,270
  ON Semiconductor Corp.*                                  27,200           136,544
  OSI Systems, Inc.*                                        1,900            37,867
  Park Electrochemical Corp.                                2,600            65,650
  Parlex Corp.*                                               800             5,200
  Pemstar, Inc.*                                            5,000            11,600
  Pericom Semiconductor Corp.*                              2,800            29,988
  Photronics, Inc.*                                         4,800            90,912
  Pixelworks, Inc.*                                         3,400            52,088
  Planar Systems, Inc.*                                     1,700            22,763
  PLX Technology, Inc.*                                     3,100            53,506
  PMC-Sierra, Inc.*                                         8,000           114,800
  QuickLogic Corp.*                                         2,200             7,678
  Rambus, Inc.*                                             8,900           158,153
  Ramtron International Corp.*                              2,000             9,060
  Richardson Electronics, Ltd.                              1,100            12,188
  Rudolph Technologies, Inc.*                               2,300            41,837
  Silicon Image, Inc.*                                     11,800           154,934
  Siliconix, Inc.*                                          3,300           163,746
  Skyworks Solutions, Inc.*                                12,400           108,252
  Sonic Solutions*                                          3,200            68,000
  Spectrum Control, Inc.*                                   1,200             9,564
  Stoneridge, Inc.*                                         2,600            44,200
  Superconductor Technologies, Inc.*                        5,800             7,134
  Supertex, Inc.*                                           1,400            22,876
  Sypris Solutions, Inc.                                    1,900            36,461
  Technitrol, Inc.*                                         5,600           122,640
  Thomas & Betts Corp.*                                     5,600           152,488
  Three-Five Systems, Inc.                                  1,500             7,650
  Transmeta Corp.*                                         22,000            48,180
  TranSwitch Corp.*                                         7,500            13,275
  Trimble Navigation Ltd.*                                  6,900           191,751
  Tripath Technology, Inc.*                                 3,500            11,375
  TriQuint Semiconductor, Inc.*                            18,700           102,102
  Ultimate Electronics, Inc.*                               1,600             7,904
  Ultratech Stepper, Inc.*                                  3,200            52,096
  Universal Display Corp.*                                  3,100            33,294
  Universal Electronics, Inc.*                              2,100            36,813
  Vialta, Inc.*                                             1,952               703
  Vitesse Semiconductor Corp.*                             32,200           157,136
  White Electronic Designs Corp.*                           2,700            14,148
  Wilson Greatbatch Technologies, Inc.*                     3,400            95,030
  Xicor, Inc.*                                              3,700            55,981
  Zoran Corp.*                                              5,761           105,714
  Zygo Corp.*                                               1,900            21,261
                                                                    ---------------
                                                                          7,555,890
                                                                    ---------------

ENERGY -- 0.3%                                                                     
  Arotech Corp.*                                            5,000   $        10,450
  BayCorp Holdings Ltd.*                                       68               850
  KFx, Inc.*                                                6,800            51,816
  Plug Power, Inc.*                                        11,663            87,239
  Quantum Fuel Systems Technologies Worldwide, Inc.*        2,800            17,024
  South Jersey Industries, Inc.                             2,000            88,000
  Syntroleum Corp.*                                         3,500            23,170
  Watts Industries, Inc. Class A                            3,100            83,545
                                                                    ---------------
                                                                            362,094
                                                                    ---------------

ENVIROMENTAL SERVICES -- 0.4%                                                      
  Calgon Carbon Corp.                                       5,100            34,170
  Duratek, Inc.*                                            1,900            28,709
  Flanders Corp.*                                           3,100            25,637
  Headwaters, Inc.*                                         5,000           129,650
  Mine Safety Appliances Co.                                5,200           175,240
  Rollins, Inc.                                             6,400           147,264
                                                                    ---------------
                                                                            540,670
                                                                    ---------------

FACILITY SERVICES -- 0.1%                                                          
  ABM Industries, Inc.                                      6,800           132,396
                                                                    ---------------

FINANCIAL SERVICES -- 2.8%                                                         
  Advanta Corp. Class A                                     1,600            35,088
  Advanta Corp. Class B                                     2,600            59,592
  Affiliated Managers Group, Inc.*                          1,050            52,889
  American Capital Strategies Ltd.                          3,300            92,466
  AmeriServ Financial, Inc.                                 2,700            14,985
  Cash America International, Inc.                          4,300            98,900
  Citizens Banking Corp.                                    2,600            80,730
  Citizens South Banking Corp.                              1,200            15,816
  City Holding Co.                                          2,300            72,634
  CoBiz, Inc.                                               1,575            21,782
  Coinstar, Inc.*                                           2,800            61,516
  CompuCredit Corp.*                                        6,600           114,180
  Credit Acceptance Corp.*                                  5,500            82,885
  Delta Financial Corp.                                     1,500            11,925
  Digital Insight Corp.*                                    5,600           116,088
  E-Loan, Inc.*                                             6,936            18,727
  eFunds Corp.*                                             7,200           126,000
  Encore Capital Group, Inc.*                               3,100            40,951
  eSPEED, Inc. Class A*                                     4,100            72,365
  Financial Federal Corp.*                                  3,000           105,780
  First Albany Cos., Inc.                                   1,147            11,516
  First Commonwealth Financial Corp.                        9,700           125,809
  Fremont General Corp.                                     7,700           135,905
  Gabelli Asset Management, Inc. Class A                      800            34,000
  IndyMac Bancorp, Inc.                                     2,800            88,480
  Interactive Data Corp.*                                   5,000            87,100
  Investment Technology Group, Inc.*                        6,100            78,019
  Irwin Financial Corp.                                     4,000           105,600
  Jefferies Group, Inc.                                     4,800           148,416
  Knight Trading Group, Inc.*                               9,200            92,184
  LaBranche & Co., Inc.                                     8,400            70,728
  MCG Capital Corp.                                         5,800            89,204

37

N-CSR
42nd “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 42nd
                                                                [Download Table]

                                                        SHARES          VALUE+     
-----------------------------------------------------------------------------------
                                                                                   
COMMON STOCKS (CONTINUED)                                                          
FINANCIAL SERVICES (CONTINUED)                                                     
  Metris Cos., Inc.                                         8,700   $        75,603
  National Processing, Inc.*                                7,600           218,500
  Netbank, Inc.                                             1,700            18,581
  New Century Financial Corp.                               3,600           168,552
  Piper Jaffray Cos., Inc.*                                 2,500           114,001
  PRG-Schultz International, Inc.*                          7,200            39,384
  Resource America, Inc.                                    2,300            54,280
  Sanders Morris Harris Group, Inc.                         2,500            36,875
  Sky Financial Group, Inc.                                   601            14,863
  South Financial Group, Inc.                               4,000           113,360
  Southwest Bancorporation of Texas, Inc.                   4,500           198,540
  Stifel Financial Corp.                                    1,100            29,920
  Susquehanna Bancshares, Inc.                              5,200           130,832
  SWS Group, Inc.                                           2,434            37,240
  UICI*                                                     5,600           133,336
  Unizan Financial Corp.                                    2,600            67,860
  Westwood Holdings Group, Inc.                               258             4,644
  WFS Financial, Inc.                                       2,400           118,824
  World Acceptance Corp.*                                   3,800            69,654
                                                                    ---------------
                                                                          4,007,109
                                                                    ---------------

FOOD & BEVERAGES -- 1.4%                                                           
  American Italian Pasta Co. Class A                        2,700            82,296
  American States Water Co.                                 1,950            45,318
  Cal-Maine Foods, Inc.                                     2,400            33,600
  Chiquita Brands International, Inc.*                      5,200           108,784
  Corn Products International, Inc.                         2,500           116,375
  Del Monte Foods Co.*                                      5,800            58,928
  Flowers Foods, Inc.                                       5,350           139,902
  Green Mountian Coffee, Inc.*                                600            11,142
  Hain Celestial Group, Inc.*                               4,879            88,310
  Imperial Sugar Co.*                                         900            12,069
  Interstate Bakeries Corp.                                 5,800            62,930
  J & J Snack Foods Corp.*                                  1,000            40,830
  John B. Sanfilippo & Son, Inc.*                           1,300            34,736
  Lance, Inc.                                               4,900            75,460
  M&F Worldwide Corp.*                                      1,700            23,290
  Panera Bread Co. Class A*                                 4,000           143,520
  Peet's Coffee & Tea, Inc.*                                1,700            42,483
  Performance Food Group Co.*                               2,800            74,312
  Pilgrim's Pride Corp.                                     6,700           193,898
  Ralcorp Holdings, Inc.*                                   3,800           133,760
  Sanderson Farms, Inc.                                     2,800           150,136
  Scheid Vineyards, Inc. Class A*                             100               512
  Tasty Baking Co.                                            800             7,552
  The Boston Beer Co., Inc. Class A*                          900            18,126
  The J.M. Smucker Co.                                      2,670           122,560
  The Robert Mondavi Corp. Class A*                         1,100            40,722
  Triarc Cos., Inc.                                         2,700            27,891
  Triarc Cos., Inc. Class B                                 4,000            40,680
                                                                    ---------------
                                                                          1,930,122
                                                                    ---------------

FOREST & PAPER PRODUCTS -- 0.4%                                                    
  Buckeye Technologies, Inc.*                               4,600            52,900
  Caraustar Industries, Inc.*                               4,300            60,673
  Chesapeake Corp.                                          2,700   $        72,036
  Deltic Timber Corp.                                       1,400            53,760
  P.H. Glatfelter Co.                                       6,100            85,888
  Pope & Talbot, Inc.                                       2,800            55,356
  Schweitzer-Mauduit International, Inc.                    2,100            64,323
  Universal Forest Products, Inc.                           2,500            80,625
  Wausau-Mosinee Paper Corp.                                6,700           115,910
                                                                    ---------------
                                                                            641,471
                                                                    ---------------

FUNERAL SERVICES -- 0.1%                                                           
  Carriage Services, Inc.*                                    100               504
  Service Corp. International*                                800             5,896
  Stewart Enterprises, Inc. Class A*                       13,700           111,518
                                                                    ---------------
                                                                            117,918
                                                                    ---------------

HEALTH CARE -- 0.1%                                                                
  Inveresk Research Group, Inc.*                            5,300           163,452
                                                                    ---------------

HEALTH CARE -- BIOTECHNOLOGY -- 3.2%                                               
  Acacia Research-CombiMatrix*                              1,228             5,342
  Aclara Biosciences, Inc.*                                 3,600            16,200
  Affymetrix, Inc.*                                         3,500           114,555
  Alexion Pharmaceuticals, Inc.*                            2,800            52,080
  Antigenics, Inc.*                                         6,800            58,208
  Arena Pharmaceuticals, Inc.*                              3,600            19,656
  ArQule, Inc.*                                             3,300            17,391
  AtheroGenics, Inc.*                                       5,500           104,665
  AVANT Immunotherapeutics, Inc.*                           7,100            18,886
  Avigen, Inc.*                                             1,600             5,392
  BioCryst Pharmaceuticals, Inc.*                           2,800            19,320
  Bioenvision, Inc.*                                          100               871
  BioMarin Pharmaceutical, Inc.*                            7,700            46,200
  BioSante Pharmaceuticals, Inc.*                             500             3,845
  BioSource International, Inc.*                            1,500            10,590
  BioSphere Medical, Inc.*                                  2,500             8,000
  Cambrex Corp.                                             3,600            90,828
  Cell Genesys, Inc.*                                       6,700            69,613
  Ciphergen Biosystems, Inc.*                               2,400            17,568
  Conceptus, Inc.*                                          3,200            36,000
  Cryolife, Inc.*                                           2,300            12,121
  CUNO, Inc.*                                               2,700           144,045
  CuraGen Corp.*                                            5,900            35,459
  Curis, Inc.*                                              5,400            23,868
  CYTOGEN Corp.*                                            2,000            31,800
  Digene Corp.*                                             3,100           113,243
  Diversa Corp.*                                            5,400            54,702
  Dyax Corp.*                                               4,000            47,000
  Emisphere Technologies, Inc.*                             2,500            10,250
  Encysive Pharmaceuticals, Inc.*                           7,400            62,900
  EntreMed, Inc.*                                           3,300             6,633
  Enzo Biochem, Inc.                                        4,150            62,250
  Enzon, Inc.*                                              4,700            59,972
  Exact Sciences Corp.*                                     2,100            12,915
  Exelixis, Inc.*                                          11,500           116,035
  Genaissance Pharmaceuticals, Inc.*                        1,600             6,672
  Gene Logic, Inc.*                                         4,300            17,415
  Genelabs Technologies, Inc.*                              7,000            16,170

38

N-CSR
43rd “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 43rd
                                                                [Download Table]

                                                        SHARES          VALUE+     
-----------------------------------------------------------------------------------
                                                                                   
COMMON STOCKS (CONTINUED)                                                          
HEALTH CARE -- BIOTECHNOLOGY (CONTINUED)                                           
  Genencor International, Inc.*                             8,900   $       145,693
  Genta, Inc.*                                              8,600            21,500
  GenVec, Inc.*                                             4,000            12,280
  Geron Corp.*                                              5,100            41,259
  GTC Biotherapeutics, Inc.*                                3,000             4,710
  Guilford Pharmaceuticals, Inc.*                           3,000            14,250
  Harvard Bioscience, Inc.*                                 3,900            17,472
  Hemispherx Biopharma, Inc.*                               3,200            11,008
  ICOS Corp.*                                                 500            14,920
  Immunomedics, Inc.*                                       5,500            26,785
  Incyte Genomics, Inc.*                                   10,900            83,276
  Integra LifeSciences Holdings*                            4,300           151,661
  InterMune, Inc.*                                          4,826            74,417
  Introgen Therapeutics, Inc.*                              1,400             5,978
  Isolagen, Inc.*                                           2,700            27,756
  Kosan Biosciences, Inc.*                                  3,300            26,070
  Lexicon Genetics, Inc.*                                  10,100            79,184
  LifeCell Corp.*                                           3,200            36,128
  Lipid Sciences, Inc.*                                     1,700             7,446
  Martek Biosciences Corp.*                                 1,700            95,489
  Matritech, Inc.*                                          3,100             3,999
  Maxygen, Inc.*                                            4,166            44,034
  Medarex, Inc.*                                           11,000            80,190
  Myriad Genetics, Inc.*                                    3,500            52,220
  Nabi Biopharmaceuticals*                                  9,200           130,824
  Nanogen, Inc.*                                            3,400            22,848
  Neose Technologies, Inc.*                                 1,800            14,994
  Northfield Laboratories, Inc.*                            2,400            34,224
  Novavax, Inc.*                                            3,300            17,787
  Nuvelo, Inc.*                                             2,766            26,609
  Orchid Biosciences, Inc.*                                 1,400            10,780
  Oscient Pharmaceutical Corp.*                            10,300            52,633
  Pharmaceutical Product Development, Inc.*                 4,800           152,496
  PRAECIS Pharmaceuticals, Inc.*                            6,800            25,840
  Progenics Pharmaceuticals, Inc.*                          1,900            31,996
  Protein Design Labs, Inc.*                                9,400           179,822
  Regeneration Technologies, Inc.*                          3,700            39,701
  Regeneron Pharmaceuticals, Inc.*                          7,000            73,710
  Repligen Corp.*                                           2,400             5,904
  Sangamo BioSciences, Inc.*                                2,100            12,642
  Savient Pharmaceuticals, Inc.*                            5,800            14,384
  Seattle Genetics, Inc.*                                   5,900            41,477
  Sequenom, Inc.*                                           2,500             3,650
  Serologicals Corp.*                                       4,000            79,960
  Sirna Therapeutics, Inc.*                                   200               588
  Tanox, Inc.*                                              7,000           133,490
  Techne Corp.*                                             1,700            73,865
  Telik, Inc.*                                              6,600           157,542
  The Medicines Co.*                                        4,800           146,448
  Third Wave Technologies, Inc.*                            4,700            21,103
  Titan Pharmaceuticals, Inc.*                              1,300             3,497
  Transkaryotic Therapies, Inc.*                            4,500            67,320
  Trimeris, Inc.*                                           2,400            34,632
  Vical, Inc.*                                              2,600   $        15,158
  Vicuron Phamaceuticals, Inc.*                             8,100           101,736
  Virologic, Inc.*                                          4,000             9,800
  VISX, Inc.*                                               6,800           181,696
                                                                    ---------------
                                                                          4,545,541
                                                                    ---------------

HEALTH CARE -- DRUGS -- 3.3%                                                       
  aaiPharma, Inc.*                                          3,600            19,512
  Able Laboratories, Inc.*                                  2,500            51,400
  Accelrys, Inc.*                                           3,600            35,496
  Access Pharmaceuticals, Inc.                                300             1,896
  Accredo Health, Inc.*                                     3,150           122,692
  Adolor Corp.*                                             5,800            73,544
  Alkermes, Inc.*                                          11,600           157,760
  Alpharma, Inc. Class A                                    5,100           104,448
  Alteon, Inc.*                                             4,500             5,310
  American Pharmaceutical Partners, Inc.*                   6,150           186,837
  Andrx Group*                                              2,800            78,204
  Aphton Corp.*                                             1,500             6,000
  ARIAD Pharmaceuticals, Inc.*                              7,200            53,928
  Array BioPharma, Inc.*                                    3,000            23,850
  Atrix Laboratories, Inc.*                                 2,900            99,412
  Bradley Pharmaceuticals, Inc. Class A*                    1,700            47,430
  Cell Therapeutics, Inc.*                                  6,000            44,220
  Cellegy Pharmaceuticals, Inc.*                            2,200             8,470
  CIMA Labs, Inc.*                                          1,700            57,341
  CollaGenex Pharmaceuticals, Inc.*                         1,500            14,130
  Connetics Corp.*                                          5,300           107,060
  Corixa Corp.*                                             7,201            33,629
  Cubist Pharmaceuticals, Inc.*                             5,000            55,500
  CV Therapeutics, Inc.*                                    4,700            78,772
  D & K Healthcare Resources, Inc.                          1,200            14,400
  Dendreon Corp.*                                           8,300           101,675
  DOV Pharmaceutical, Inc.*                                 1,700            23,732
  Durect Corp.*                                             3,500            12,215
  DUSA Pharmaceuticals, Inc.*                               1,500            14,250
  First Horizon Pharmaceutical Corp.*                       5,400           102,060
  Hi-Tech Pharmacal Co., Inc.*                                600             9,804
  ILEX Oncology, Inc.*                                      5,100           127,449
  Immtech International, Inc.*                                900            11,106
  ImmunoGen, Inc.*                                          5,000            30,550
  Impax Laboratories, Inc.*                                 8,700           168,606
  Indevus Pharmaceuticals, Inc.*                            7,200            44,280
  Integrated Biopharma, Inc.*                                 600             4,896
  IntraBiotics Pharmaceuticals, Inc.                          500             1,950
  Isis Pharmaceuticals, Inc.*                               6,700            38,458
  K-V Pharmaceutical Co. Class A*                           4,200            96,978
  K-V Pharmaceutical Co. Class B*                             700            17,675
  Kos Pharmaceuticals, Inc.*                                4,100           135,177
  Lannett Co., Inc.*                                        3,650            54,823
  Ligand Pharmaceuticals, Inc. Class B*                     9,700           168,586
  Maxim Pharmaceuticals, Inc.*                              3,300            31,845
  Medicis Pharmaceutical Corp. Class A                      1,600            63,920
  NeoPharm, Inc.                                            2,949            30,463
  Neurocrine Biosciences, Inc.*                             1,500            77,775
  Neurogen Corp.*                                           5,100            38,148
  NPS Pharmaceuticals, Inc.*                                5,600           117,600

39

N-CSR
44th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 44th
                                                                [Download Table]

                                                        SHARES          VALUE+     
-----------------------------------------------------------------------------------
                                                                                   
COMMON STOCKS (CONTINUED)                                                          
HEALTH CARE -- DRUGS (CONTINUED)                                                   
  Omega Protein Corp.*                                      2,700   $        26,190
  Onyx Pharmaceuticals, Inc.*                               4,100           173,676
  OSI Pharmaceuticals, Inc.*                                5,100           359,244
  Pain Therapeutics, Inc.*                                  4,100            33,046
  Par Pharmaceutical Cos., Inc.*                            1,500            52,815
  Penwest Pharmaceuticals Co.*                              1,400            17,934
  PetMed Express, Inc.*                                     2,200            17,642
  Pharmacopeia Drug Discovery, Inc.*                        1,800            10,224
  Pharmacyclics, Inc.*                                      2,300            23,391
  POZEN, Inc.*                                              3,700            25,308
  Priority Healthcare Corp. Class B*                        5,900           135,405
  SciClone Pharmaceuticals, Inc.*                           5,500            28,105
  Star Scientific, Inc.*                                    5,400            21,384
  Super-Gen, Inc.*                                          4,400            28,380
  The Quigley Corp.*                                        2,100            20,937
  Tularik, Inc.*                                            8,500           210,800
  United Therapeutics Corp.*                                2,800            71,820
  Valeant Pharmaceuticals International                     7,500           150,000
  VaxGen, Inc.*                                             3,300            46,728
  Vertex Pharmaceuticals, Inc.*                            12,558           136,129
  ViroPharma, Inc.*                                         2,400             4,296
  VIVUS, Inc.*                                              3,200            11,648
  Zymogenetics, Inc.*                                       8,200           155,800
                                                                    ---------------
                                                                          4,766,164
                                                                    ---------------

HEALTH CARE -- PRODUCTS -- 4.7%                                                    
  1-800 CONTACTS, Inc.*                                     1,300            19,286
  Abaxis, Inc.*                                             2,800            53,144
  Abgenix, Inc.*                                           13,300           155,876
  ABIOMED, Inc.*                                            2,700            33,966
  Advanced Medical Optics, Inc.*                            4,100           174,537
  Aksys Ltd.*                                               3,300            19,239
  Align Technology, Inc.*                                   8,900           169,100
  American Medical Systems Holdings, Inc.*                  5,600           188,720
  Arrow International, Inc.                                 5,200           155,584
  ArthroCare Corp.*                                         3,000            87,240
  Aspect Medical Systems, Inc.*                             3,200            59,104
  AVI BioPharma, Inc.*                                      1,800             4,392
  Bentley Pharmaceuticals, Inc.*                            2,500            34,350
  BioLase Technology, Inc.*                                 2,600            34,996
  Biosite Diagnostics, Inc.*                                2,300           103,316
  Bioveris Corp.*                                           1,800            14,976
  Bone Care International, Inc.*                            2,600            60,892
  Caliper Life Sciences, Inc.                               2,200            10,230
  Candela Corp.*                                            2,700            26,460
  Cantel Medical Corp.*                                       900            19,395
  Cardiac Science, Inc.*                                    8,900            21,805
  CardioDynamics International Corp.*                       4,900            24,745
  Cerus Corp.*                                              1,700             4,080
  Cholestech Corp.*                                         1,700            13,855
  Closure Medical Corp.*                                    1,800            45,198
  Columbia Laboratories, Inc.*                              4,300            14,878
  Compex Technologies, Inc.*                                1,500             9,225
  CONMED, Corp.*                                            3,850   $       105,490
  Cooper Cos., Inc.                                         5,600           353,752
  Cyberonics, Inc.*                                         3,500           116,760
  Cypress Bioscience, Inc.*                                   200             2,664
  Cytyc Corp.*                                              3,700            93,869
  Datascope Corp.                                           1,900            75,411
  DepoMed, Inc.*                                            5,300            26,235
  Diagnostic Products Corp.                                 3,800           166,972
  Digital Angel Corp.*                                        800             2,640
  DJ Orthopedics, Inc.*                                     3,800            87,400
  Encore Medical Corp.*                                     4,300            27,090
  Endocare, Inc.*                                           2,000             5,000
  Endologix, Inc.*                                          1,800             8,802
  EPIX Medical, Inc.*                                       3,600            75,960
  Haemonetics Corp.*                                        4,000           118,600
  Hanger Orthopedic Group, Inc.*                            3,000            35,160
  Hollis-Eden Pharmaceuticals, Inc.*                        2,500            30,125
  I Trax, Inc.*                                               300             1,317
  I-Flow Corp.                                              2,797            33,172
  ICU Medical, Inc.*                                        1,950            65,384
  Illumina, Inc.*                                           3,300            20,955
  Immucor, Inc.*                                            3,275           106,601
  IMPAC Medical Systems, Inc.*                                700            10,241
  Inspire Pharmaceuticals, Inc.*                            5,100            85,272
  Invacare Corp.                                            2,900           129,688
  Kensey Nash Corp.*                                        1,700            58,650
  La Jolla Pharmaceutical Co.*                              5,800            14,094
  Landauer, Inc.                                            1,100            49,126
  Laserscope*                                               3,100            85,405
  Lifecore Biomedical, Inc.*                                1,800            10,980
  Luminex Corp.*                                            3,200            32,192
  Matrixx Initiatives, Inc.*                                1,400            14,266
  Medical Action Industries, Inc.*                            900            16,560
  Mentor Corp.                                              5,600           192,024
  Meridian Bioscience, Inc.                                 2,000            22,158
  Merit Medical Systems, Inc.*                              4,444            70,793
  MGI Pharma, Inc.*                                         7,000           189,070
  Micro Therapeutics, Inc.*                                 2,897            12,254
  Microtek Medical Holdings, Inc.*                          4,200            21,504
  Nastech Pharmaceutical Co., Inc.*                           900             9,180
  NeighborCare, Inc.*                                       5,700           178,581
  Nektar Therapeutics*                                      7,300           145,708
  North American Scientific, Inc.*                            900             7,560
  Noven Pharmaceuticals, Inc.*                              3,500            77,070
  Nutraceutical International Corp.*                        1,300            27,703
  Ocular Sciences, Inc.*                                    3,378           128,364
  OraSure Technologies, Inc.*                               6,100            59,353
  OrthoLogic Corp.*                                         4,500            39,015
  Osteotech, Inc.*                                          1,400             9,086
  Perrigo Co.                                               8,400           159,348
  PolyMedica Corp.                                          4,200           130,368
  Possis Medical, Inc.*                                     2,500            85,375
  PSS World Medical, Inc.*                                  9,400           105,280
  Quidel Corp.*                                             3,900            22,971
  Quinton Cardiology Systmems, Inc.*                        1,200            12,156

40

N-CSR
45th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 45th
                                                                [Download Table]

                                                        SHARES          VALUE+     
-----------------------------------------------------------------------------------
                                                                                   
COMMON STOCKS (CONTINUED)                                                          
HEALTH CARE -- PRODUCTS (CONTINUED)                                                
  ResMed, Inc.*                                             2,600   $       132,496
  Respironics, Inc.*                                        3,000           176,250
  Sola International, Inc.*                                 4,500            77,535
  Sonic Innovations, Inc.*                                  2,200            12,496
  SONUS Pharmaceuticals, Inc.*                              1,600             7,442
  STAAR Surgical Co.*                                       1,900            14,820
  Sybron Dental Specialties, Inc.*                          5,800           173,130
  Synovis Life Technologies, Inc.*                          1,300            13,975
  The Spectranetics Corp.*                                  2,400            13,440
  Theragenics Corp.*                                        1,800             8,316
  Thoratec Corp.*                                           7,302            78,350
  TriPath Imaging, Inc.*                                    4,900            46,109
  Urologix, Inc.*                                           1,400            21,616
  USANA Health Sciences, Inc.*                              2,900            90,132
  Vascular Solutions, Inc.                                  1,400            14,518
  Ventana Medical Systems, Inc.*                            2,400           114,072
  Vital Signs, Inc.                                         1,900            55,176
  West Pharmaceutical Services, Inc.                        2,000            84,600
  Wright Medical Group, Inc.*                               5,000           178,000
  Zila, Inc.*                                               4,000            19,640
  Zoll Medical Corp.*                                       1,300            45,604
                                                                    ---------------
                                                                          6,707,060
                                                                    ---------------

HEALTH CARE -- SERVICES -- 2.9%                                                    
  Air Methods Corp.*                                          100               855
  Albany Molecular Research, Inc.*                          3,900            50,427
  Alliance Imaging, Inc.*                                   5,000            22,850
  Allied Healthcare International, Inc.*                    3,400            16,728
  Allscripts Heathcare Solutions, Inc.*                     4,700            36,848
  Amedisys, Inc.*                                           1,500            49,560
  America Service Group, Inc.*                                600            20,850
  American Healthways, Inc.*                                4,900           130,438
  American Medical Security Group, Inc.*                    1,900            51,775
  American Retirement Corp.*                                1,600             8,064
  Amerigroup Corp.*                                         3,500           172,200
  AmSurg Corp.*                                             4,350           109,315
  Angelica Corp.                                              800            20,088
  Beverly Enterprises, Inc.*                               16,000           137,600
  Bio-Reference Laboratories, Inc.*                           800            10,608
  Capital Senior Living Corp.*                              2,000             9,620
  Celera Genomics Group -- Applera Corp.*                     501             5,767
  Centene Corp.*                                            2,750           106,012
  Cerner Corp.*                                             3,200           142,656
  CHRONIMED, Inc.*                                          1,500            12,225
  Covance, Inc.*                                            3,300           127,314
  Curative Health Services, Inc.*                           1,300            11,258
  Discovery Partners International*                         5,000            25,500
  Dynacq Healthcare, Inc.*                                  1,300             7,670
  Genesis HealthCare Corp.*                                 2,600            75,504
  HMS Holdings Corp.*                                       2,500            14,875
  Hooper Holmes, Inc.                                       7,800            44,772
  IDX Systems Corp.*                                        4,500           143,505
  IMPATH, Inc.*                                             1,700             9,350
  Kendle International, Inc.*                               2,300            17,825
  Kindred Healthcare, Inc.*                                 5,500   $       144,925
  LabOne, Inc.*                                             2,600            82,628
  LCA-Vision, Inc.*                                         2,000            58,260
  Matria Healthcare, Inc.*                                  1,000            25,070
  MedCath Corp.*                                            1,500            30,000
  Medical Staffing Network Holdings, Inc.*                  3,300            21,252
  MedQuist, Inc.*                                           4,200            48,090
  MIM Corp.*                                                2,600            22,620
  National Medical Health Card Systems, Inc.*                 907            24,344
  NDCHealth Corp.                                           5,500           127,600
  NovaMed Eyecare, Inc.*                                    1,000             3,450
  Odyssey Healthcare, Inc.*                                 5,450           102,569
  Option Care, Inc.                                         2,350            35,861
  Orthodontic Centers of America, Inc.*                     5,600            45,864
  PAREXEL International Corp.*                              3,900            77,220
  Pediatric Services of America, Inc.*                        200             2,538
  Pediatrix Medical Group, Inc.*                            2,800           195,580
  Prime Medical Services, Inc.*                             1,600            12,704
  Province Healthcare Co.*                                  6,850           117,477
  Psychiatric Solutions, Inc.*                              2,000            49,860
  Quality Systems, Inc.*                                      800            39,272
  RehabCare Group, Inc.*                                    2,100            55,923
  Res-Care, Inc.*                                           2,400            30,480
  Select Medical Corp.                                      9,200           123,464
  SFBC International, Inc.*                                 1,850            57,961
  Sierra Health Services, Inc.*                             3,800           169,860
  Specialty Laboratories, Inc.*                             2,600            23,296
  STERIS Corp.*                                             1,300            29,328
  Sunrise Assisted Living, Inc.                             3,100           121,334
  The TriZetto Group, Inc.*                                 5,100            34,170
  U.S. Physical Therapy, Inc.*                              1,800            24,678
  United Surgical Partners International, Inc.*             3,900           153,933
  US Oncology, Inc.*                                        9,600           141,312
  VCA Antech, Inc.*                                         5,300           237,546
  VitalWorks, Inc.*                                         4,300            14,878
                                                                    ---------------
                                                                          4,077,406
                                                                    ---------------

HOUSEHOLD PRODUCTS -- 0.3%                                                         
  American Woodmark Corp.                                   1,000            59,850
  Applica, Inc.                                             2,800            24,920
  Bassett Furniture Industries, Inc.                        1,500            32,640
  Church & Dwight Co., Inc.                                 1,600            73,248
  Craftmade International, Inc.                               200             3,960
  Enesco Group, Inc.*                                       1,500            13,440
  Ethan Allen Interiors, Inc.                                 100             3,552
  Kimball International, Inc. Class B                       3,000            44,250
  Libbey, Inc.                                              1,600            44,416
  Lifetime Hoan Corp.                                       1,000            22,790
  Oneida Ltd.                                               1,500             2,430
  Quaker Fabric Corp.                                       2,400            18,502
  Restoration Hardware, Inc.*                               3,000            21,930
  Salton, Inc.*                                             1,900            10,184
                                                                    ---------------
                                                                            376,112
                                                                    ---------------

41

N-CSR
46th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 46th
                                                                [Download Table]

                                                        SHARES          VALUE+     
-----------------------------------------------------------------------------------
                                                                                   
COMMON STOCKS (CONTINUED)                                                          
INSTRUMENTS -- SCIENTIFIC -- 0.6%                                                  
  Advanced Neuromodulation Systems, Inc.*                   3,200   $       104,960
  Bruker BioSciences Corp.*                                11,938            58,138
  Cepheid, Inc.*                                            5,900            68,086
  Endocardial Solutions, Inc.*                              3,100            32,085
  FEI Co.*                                                  5,300           126,723
  Intuitive Surgical, Inc.*                                 5,400           102,600
  IRIS International, Inc.*                                   600             4,530
  Kyphon, Inc.*                                             6,000           169,080
  Metrologic Instruments, Inc.*                             2,500            49,850
  Microvision, Inc.*                                        1,800            15,120
  SurModics, Inc.*                                          2,600            64,064
  Therma-Wave, Inc.*                                        2,400            11,832
  Vital Images, Inc.*                                         100             1,240
  X-Rite, Inc.                                              2,300            33,442
                                                                    ---------------
                                                                            841,750
                                                                    ---------------

INSURANCE -- 2.2%                                                                  
  21St Century Insurance Group                             11,100           143,634
  Alfa Corp.                                               10,395           145,530
  Allmerica Financial Corp.*                                5,000           169,000
  American Physicians Capital, Inc.*                        1,300            30,095
  AmerUs Group Co.                                          1,600            66,240
  Argonaut Group, Inc.*                                     3,700            68,191
  Ceres Group, Inc.*                                        4,500            27,630
  Citizens, Inc. Class A                                    4,247            34,825
  CNA Surety Corp.*                                         5,000            54,750
  Crawford & Co. Class A                                      800             3,776
  Crawford & Co. Class B                                    1,300             6,409
  Delphi Financial Group, Inc. Class A                      2,550           113,475
  FBL Financial Group, Inc. Class A                         3,200            90,432
  Financial Industries Corp.*                                 900             8,352
  FPIC Insurance Group, Inc.*                               1,400            34,566
  Harleysville Group, Inc.                                  4,000            75,400
  HCC Insurance Holdings, Inc.                              1,000            33,410
  HealthExtras, Inc.*                                       4,400            72,908
  Hilb, Rogal & Hamilton Co.                                4,300           153,424
  Horace Mann Educators Corp.                               5,700            99,636
  Infinity Property & Casualty Corp.                        3,100           102,300
  LandAmerica Financial Group, Inc.                         2,400            93,432
  Meadowbrook Insurance Group, Inc.*                        1,900            10,070
  Ohio Casualty Corp.*                                      6,100           122,793
  Penn-America Group, Inc.                                  1,400            19,600
  Philadelphia Consolidated Holding Corp.*                  2,900           174,203
  PMA Capital Corp. Class A                                 3,100            27,900
  Presidential Life Corp.                                   4,200            75,684
  ProAssurance Corp.*                                       3,500           119,385
  Reinsurance Group of America, Inc.                          500            20,325
  RLI Corp.                                                 3,200           116,800
  RTW, Inc.*                                                  250             1,610
  Selective Insurance Group, Inc.                           3,300           131,604
  State Auto Financial Corp.                                5,100           156,672
  Stewart Information Services Corp.                        2,500            84,425
  The Commerce Group, Inc.                                  1,400            69,118
  The Navigators Group, Inc.*                               1,500   $        43,335
  The Phoenix Companies, Inc.                              11,300           138,425
  Triad Guaranty, Inc.*                                     1,900           110,580
  Universal American Financial Corp.*                       7,600            83,448
  Vesta Insurance Group, Inc.                               4,700            30,409
  Zenith National Insurance Corp.                             500            24,300
                                                                    ---------------
                                                                          3,188,101
                                                                    ---------------

INTERNET SERVICES -- 3.1%                                                          
  1-800-FLOWERS.COM, Inc. Class A*                          3,300            26,862
  Akamai Technologies, Inc.*                                8,900           159,755
  Alloy Online, Inc.*                                       4,300            26,445
  Answerthink, Inc.*                                        4,100            23,493
  Ask Jeeves, Inc.*                                         6,000           234,180
  Autobytel, Inc.*                                          5,100            46,308
  Blue Coat Systems, Inc.*                                  1,400            46,886
  BroadVision, Inc.*                                        3,000            12,606
  CACI International, Inc. Class A*                         4,400           177,936
  CMGI, Inc.*                                               3,200             6,240
  CNET Networks, Inc.*                                     17,500           193,725
  Corillian Corp.*                                          2,200            11,088
  CyberSource Corp.*                                        3,600            30,096
  Digital River, Inc.*                                      4,800           156,624
  DoubleClick, Inc.*                                       15,100           117,327
  Drugstore.com, Inc.*                                      9,600            33,504
  E. piphany, Inc.*                                         9,200            44,436
  Earthlink, Inc.*                                         12,600           130,410
  eCollege.Com*                                             2,200            35,200
  Entrust Technologies, Inc.*                               6,300            28,350
  Equinix, Inc.*                                            2,600            88,244
  F5 Networks, Inc.*                                        5,500           145,640
  FindWhat.com*                                             3,200            74,048
  FreeMarkets, Inc.*                                        7,200            46,944
  GoRemote Internet Communications, Inc.                    1,800             3,312
  GSI Commerce, Inc.*                                       4,900            47,187
  Harris Interactive, Inc.*                                 6,700            45,024
  iGATE Capital Corp.*                                      5,100            20,298
  Interland, Inc.*                                            500             1,405
  iVillage, Inc.*                                           7,300            46,355
  j2 Global Communications, Inc.*                           3,500            97,300
  Jupitermedia Corp.*                                       3,100            43,896
  LookSmart Ltd.*                                          12,100            26,257
  Marimba, Inc.*                                              900             7,317
  MarketWatch.com, Inc.*                                    3,242            38,029
  Modem Media, Inc.*                                        1,200             6,312
  Neoforma, Inc.*                                           2,100            25,494
  Net2Phone, Inc.*                                          4,800            21,744
  Netflix, Inc.*                                            4,800           172,560
  NetRatings, Inc.*                                         4,400            71,676
  Network Engines, Inc.*                                    3,400             9,248
  NIC, Inc.*                                                7,700            55,209
  Overstock.com, Inc.*                                      2,900           113,332
  PC-Tel, Inc.*                                             2,300            27,140
  Priceline.com, Inc.*                                      5,300           142,729
  Quovadx, Inc.*                                            2,000             2,400
  Real Networks, Inc.*                                     25,300           173,052

42

N-CSR
47th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 47th
                                                                [Download Table]

                                                        SHARES          VALUE+     
-----------------------------------------------------------------------------------
                                                                                   
COMMON STOCKS (CONTINUED)                                                          
INTERNET SERVICES (CONTINUED)                                                      
  Register.com, Inc.*                                       4,400   $        26,224
  Retek, Inc.*                                              6,600            40,524
  RSA Security, Inc.*                                       8,600           176,042
  S1 Corp.*                                                10,200           101,388
  SafeNet, Inc.*                                            3,372            93,337
  SeeBeyond Technology Corp.*                               9,900            37,323
  Selectica, Inc.*                                          3,600            17,100
  SonicWALL, Inc.*                                         10,700            92,020
  Stamps.com, Inc.*                                         3,650            37,194
  Stellent, Inc.*                                           3,100            26,474
  TheStreet.com, Inc.*                                      2,300             8,556
  Tumbleweed Communications Corp.*                          3,800            16,188
  United Online, Inc.*                                      8,950           157,609
  ValueClick, Inc.*                                        11,900           142,562
  Vignette Corp.*                                          16,100            26,726
  WatchGuard Technologies, Inc.*                            3,900            28,158
  WebEx Communications, Inc.*                               6,500           141,440
  webMethods, Inc.*                                         6,200            53,134
  Websense, Inc.*                                           3,500           130,305
  ZixIt Corp.*                                              4,000            31,760
                                                                    ---------------
                                                                          4,477,687
                                                                    ---------------

LEISURE -- 2.1%                                                                    
  Alliance Gaming Corp.*                                    7,600           130,416
  Ambassadors Group, Inc.                                   1,000            23,510
  AMC Entertainment, Inc.*                                  4,400            67,628
  Ameristar Casinos, Inc.                                   4,000           134,320
  Argosy Gaming Co.*                                        4,100           154,160
  Atari, Inc.*                                             15,400            37,114
  Aztar Corp.*                                              5,200           145,600
  Bally Total Fitness Holding Corp.*                        2,600            13,000
  Bluegreen Corp.*                                          4,100            56,580
  Boca Resorts, Inc. Class A*                               5,400           107,028
  Boyd Gaming Corp.                                         8,400           223,188
  Carmike Cinemas, Inc.                                     1,600            63,120
  Choice Hotels International, Inc.                         4,100           205,656
  Churchill Downs, Inc.                                     1,000            40,700
  Dover Downs Gaming & Entertainment, Inc.                    700             7,875
  Gaylord Entertainment Co.*                                3,922           123,112
  Interstate Hotels & Resorts, Inc.*                        2,700            14,553
  Isle of Capri Casinos, Inc.*                              4,100            71,545
  K2, Inc.*                                                 4,700            73,790
  Magna Entertainment Corp. Class A*                        2,000            11,800
  Mikohn Gaming Corp.*                                      2,400            11,592
  MTR Gaming Group, Inc.*                                   4,000            43,800
  Multimedia Games, Inc.*                                   5,200           139,464
  Nevada Gold & Casinos, Inc.*                              2,000            26,900
  Penn National Gaming, Inc.*                               5,200           172,640
  Pinnacle Entertainment, Inc.*                             5,000            63,050
  Prime Hospitality Corp.*                                  6,300            66,906
  Scientific Games Corp. Class A*                           8,000           153,120
  Shuffle Master, Inc.*                                     3,475           126,177
  Six Flags, Inc.*                                         13,000            94,380
  Speedway Motorsports, Inc.                                3,400   $       113,696
  The Marcus Corp.                                          2,900            50,025
  Topps Co., Inc.                                           4,500            43,650
  Vail Resorts, Inc.*                                       3,900            74,724
  WMS Industries, Inc.*                                     4,500           134,100
                                                                    ---------------
                                                                          3,018,919
                                                                    ---------------

MACHINERY -- 2.2%                                                                  
  A.O. Smith Corp.                                          2,500            79,475
  Alamo Group, Inc.                                         1,000            15,900
  Albany International Corp. Class A                        3,600           120,816
  Applied Industrial Technologies, Inc.                     2,700            81,324
  Astec Industries, Inc.*                                   2,400            45,192
  Baldor Electric Co.                                       4,900           114,415
  BEI Technologies, Inc.                                    2,100            59,451
  CARBO Ceramics, Inc.                                      2,400           163,800
  Cascade Corp.                                             1,700            53,125
  Columbus McKinnon Corp.*                                  1,600            11,312
  Dril-Quip, Inc.*                                          2,400            44,880
  Flowserve Corp.*                                          6,100           152,134
  FSI International, Inc.*                                  3,500            27,335
  Gardner Denver, Inc.*                                     2,700            75,330
  Gehl Co.*                                                   800            16,200
  Gerber Scientific, Inc.*                                  2,900            20,474
  Global Power Equipment Group, Inc.*                       6,300            50,526
  Graco, Inc.                                               2,775            86,164
  Gulf Islands Fabrication, Inc.                            1,300            28,119
  IDEX Corp.                                                3,900           133,965
  JLG Industries, Inc.                                      6,100            84,729
  Joy Global, Inc.                                          5,900           176,646
  Kadant, Inc.*                                             1,800            41,634
  Kennametal, Inc.                                          1,200            54,960
  Kulicke and Soffa Industries, Inc.*                       7,100            77,816
  Lindsay Manufacturing Co.                                 1,200            28,824
  Lone Star Technologies, Inc.*                             4,000           110,240
  Lufkin Industries, Inc.                                     700            22,386
  Milacron, Inc.                                            3,500            14,000
  National-Oilwell, Inc.*                                     541            17,036
  Powell Industries, Inc.*                                  1,200            20,496
  Presstek, Inc.*                                           4,000            42,040
  Regal-Beloit Corp.                                        3,300            73,458
  Robbins & Myers, Inc.                                     1,700            38,165
  Rofin-Sinar Technologies, Inc.*                           1,700            43,163
  Sauer, Inc.                                               2,700            46,089
  Semitool, Inc.*                                           2,800            31,696
  Stewart & Stevenson Services, Inc.                        4,500            80,640
  Tecumseh Products Co. Class A                             1,700            70,023
  Tennant Co.                                               1,200            49,740
  Terex Corp.*                                              4,400           150,172
  The Manitowoc Co., Inc.                                   4,300           145,555
  The Middleby Corp.                                        1,300            71,006
  Thomas Industries, Inc.                                   2,300            76,360
  Universal Compression Holdings, Inc.*                     4,300           131,924
  Woodward Governor Co.                                     1,800           129,798
                                                                    ---------------
                                                                          3,208,533
                                                                    ---------------

43

N-CSR
48th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 48th
                                                                [Download Table]

                                                        SHARES          VALUE+     
-----------------------------------------------------------------------------------
                                                                                   
COMMON STOCKS (CONTINUED)                                                          
MANUFACTURING -- 1.7%                                                              
  Applied Films Corp.*                                      1,900   $        55,138
  AptarGroup, Inc.                                          1,800            78,642
  Briggs & Stratton Corp.                                   2,600           229,710
  CLARCOR, Inc.                                             3,600           164,880
  Cognex Corp.                                              5,300           203,944
  Encore Wire Corp.*                                        2,000            55,140
  Fedders Corp.                                             4,200            18,270
  Foamex International, Inc.*                               2,900            14,123
  Hologic, Inc.*                                            2,600            60,450
  Huffy Corp.*                                              1,700             1,955
  Jacuzzi Brands, Inc.*                                    10,500            84,630
  JAKKS Pacific, Inc.*                                      3,800            79,002
  Lennox International, Inc.                                7,100           128,510
  Mykrolis Corp.*                                           6,600           114,972
  Nanophase Technologies Corp.*                             1,300             9,711
  Nordson Corp.                                             4,500           195,165
  Polaris Industries, Inc.                                  1,000            48,000
  Quanex Corp.                                              2,500           121,750
  Quixote Corp.                                               900            18,045
  Rayovac Corp.*                                            5,500           154,550
  SonoSite, Inc.*                                           2,000            47,820
  Steinway Musical Instruments, Inc.*                         900            31,581
  The Brink's Co.                                           6,000           205,500
  TTM Technologies, Inc.*                                   5,700            67,545
  Varco International, Inc.*                                1,000            21,890
  Varian, Inc.*                                             3,900           164,385
  Wabtec Corp.                                              6,500           117,260
                                                                    ---------------
                                                                          2,492,568
                                                                    ---------------

METALS & MINING -- 1.2%                                                            
  AMCOL International Corp.                                 3,900            73,905
  Arch Coal, Inc.                                           1,900            69,521
  Brush Engineered Materials, Inc.*                         2,200            41,580
  Canyon Resources Corp.*                                   3,400            13,226
  Century Aluminum Co.                                      4,700           116,513
  CIRCOR International, Inc.                                1,700            34,663
  Cleveland-Cliffs, Inc.*                                   1,400            78,946
  Coeur d'Alene Mines Corp.*                               32,100           130,968
  Commercial Metals Co.                                     4,100           133,045
  Commonwealth Industries, Inc.                             2,100            21,714
  Generale Cable Corp.*                                     5,100            43,605
  Hecla Mining Co.*                                        17,300            98,610
  Intermet Corp.                                            2,300             9,890
  Kaydon Corp.                                              4,200           129,906
  Liquidmetal Technologies, Inc.*                             500               710
  Massey Energy Co.                                         6,400           180,544
  Metals USA, Inc.*                                         2,200            39,336
  MSC Industrial Direct Co., Inc. Class A                   2,000            65,680
  Mueller Industries, Inc.                                  3,500           125,300
  Royal Gold, Inc.                                          2,100            29,757
  RTI International Metals, Inc.*                           2,900            46,255
  Stillwater Mining Co.*                                   10,800           162,108
  USEC, Inc.                                               11,200            98,224
  Wolverine Tube, Inc.*                                     1,500            16,350
                                                                    ---------------
                                                                          1,760,356
                                                                    ---------------

MULTIMEDIA -- 0.3%                                                                 
  Emmis Communications Corp. Class A*                       5,100   $       106,998
  LodgeNet Entertainment Corp.*                             1,500            24,750
  Macrovision Corp.*                                        6,900           172,707
  Martha Stewart Living Omnimedia, Inc.                                            
    Class A*                                                1,900            17,100
  Media General, Inc. Class A                                 400            25,688
  Pegasus Communications Corp.*                               500            12,230
  The Liberty Corp.                                         2,200           103,290
  Young Broadcasting, Inc. Class A*                         2,300            30,245
                                                                    ---------------
                                                                            493,008
                                                                    ---------------

OFFICE EQUIPMENT -- 0.1%                                                           
  Global Imaging Systems, Inc.*                             3,500           128,310
  IKON Office Solutions, Inc.                               6,800            77,996
                                                                    ---------------
                                                                            206,306
                                                                    ---------------

OFFICE FURNISHINGS & SUPPLIES -- 0.1%                                              
  Ennis Business Forms, Inc.                                1,600            31,200
  Interface, Inc.*                                          6,000            52,380
  Standard Register Co.                                     2,800            33,320
                                                                    ---------------
                                                                            116,900
                                                                    ---------------

OIL & GAS -- 4.4%                                                                  
  AGL Resources, Inc.                                       1,100            31,955
  Aquila, Inc.*                                            27,400            97,544
  Atmos Energy Corp.                                        5,700           145,920
  ATP Oil & Gas Corp.*                                      2,800            21,476
  Atwood Oceanics, Inc.*                                    1,900            79,325
  Berry Petroleum Co. Class A                               3,000            88,230
  Brigham Exploration Co.*                                  5,200            47,736
  Cabot Oil & Gas Corp. Class A                             4,200           177,660
  Cal Dive International, Inc.*                             5,700           172,824
  Callon Petroleum Co.*                                     1,800            25,668
  Carrizo Oil & Gas, Inc.*                                  2,000            20,420
  Cheniere Energy, Inc.*                                    2,300            45,011
  Cimarex Energy Co.*                                       1,200            36,276
  Clayton Williams Energy, Inc.*                              900            21,510
  Comstock Resources, Inc.*                                 4,900            95,354
  Denbury Resources, Inc.*                                  6,600           138,270
  Edge Petroleum Corp.*                                     1,400            23,800
  Encore Aquisition Co.*                                    3,900           108,810
  Energen Corp.                                             2,400           115,176
  Energy Partners Ltd.*                                     4,900            74,970
  EnergySouth, Inc.                                           400            16,008
  Evergreen Resources, Inc.*                                3,900           157,560
  Forest Oil Corp.*                                         2,850            77,862
  Frontier Oil Corp.                                        3,500            74,165
  Giant Industries, Inc.*                                   1,200            26,400
  Goodrich Petroleum Corp.*                                 2,500            20,725
  Grey Wolf, Inc.*                                         27,900           118,296
  Hanover Compressor Co.*                                  12,000           142,800
  Harvest Natural Resources, Inc.*                          4,600            68,586
  Helmerich & Payne, Inc.                                   4,600           120,290
  Holly Corp.                                               1,600            59,840
  Horizon Offshore, Inc.*                                   1,900             1,881
  Houston Exploration Co.*                                  2,700           139,968

44

N-CSR
49th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 49th
                                                                [Download Table]

                                                        SHARES          VALUE+     
-----------------------------------------------------------------------------------
                                                                                   
COMMON STOCKS (CONTINUED)                                                          
OIL & GAS (CONTINUED)                                                              
  Hydril Co.*                                               2,200   $        69,300
  KCS Energy, Inc.*                                         7,800           103,896
  Kerr-McGee Corp.                                            381            20,463
  Key Energy Services, Inc.*                               14,400           135,936
  Magnum Hunter Resources, Inc.*                            9,600            99,648
  Matrix Service Co.*                                       1,400            12,810
  McMoRan Exploration Co.*                                  2,100            32,718
  Mission Resources Corp.*                                  5,300            30,210
  NATCO Group, Inc. Class A*                                2,200            16,962
  New Jersey Resources Corp.                                3,250           135,135
  Newpark Resources, Inc.*                                 11,200            69,440
  Oceaneering International, Inc.*                          3,200           109,600
  Oil States International, Inc.*                           6,800           104,040
  ONEOK, Inc.                                               3,000            65,970
  Parallel Petroleum Corp.*                                 2,800            14,199
  Parker Drilling Co.*                                     11,200            42,784
  Patina Oil & Gas Corp.                                    5,312           158,669
  Penn Virginia Corp.                                       2,600            93,886
  Petroleum Development Corp.*                              1,900            52,098
  Piedmont Natural Gas Co., Inc.                            1,300            55,510
  Plains Exploration & Production Co.*                      7,757           142,341
  Plains Resources, Inc.*                                   3,400            57,630
  Prima Energy Corp.*                                       1,950            77,161
  Range Resources Corp.                                     9,100           132,860
  Remington Oil & Gas Corp.*                                3,800            89,680
  SEACOR SMIT, Inc.*                                        2,500           109,825
  SEMCO Energy, Inc.                                        2,800            16,296
  Southern Union Co.                                        4,572            96,378
  Southwestern Energy Co.*                                  4,300           123,281
  Spinnaker Exploration Co.*                                3,700           145,706
  St. Mary Land & Exploration Co.                           3,800           135,470
  Stone Energy Corp.*                                       2,937           134,162
  Superior Energy Services, Inc.*                          10,400           104,520
  Swift Energy Co.*                                         4,200            92,652
  Tesoro Petroleum Corp.*                                   7,100           195,960
  The Meridian Resource Corp.*                             10,200            70,788
  TransMontaigne, Inc.*                                     3,600            19,368
  Trico Marine Services, Inc.*                              3,100             1,395
  UGI Corp.                                                 2,400            77,040
  Unit Corp.*                                               4,800           150,960
  Vintage Petroleum, Inc.                                   9,700           164,609
  W-H Energy Services, Inc.*                                3,800            74,480
  Western Gas Resources, Inc.                               2,600            84,448
                                                                    ---------------
                                                                          6,312,600
                                                                    ---------------

PAPER & RELATED PRODUCTS -- 0.3%                                                   
  American Greetings Corp. Class A*                         3,600            83,448
  Louisiana-Pacific Corp.                                   8,400           198,660
  Potlatch Corp.                                            3,500           145,740
                                                                    ---------------
                                                                            427,848
                                                                    ---------------

PERSONAL CARE -- 0.3%                                                              
  Chattem, Inc.*                                            2,900            83,723
  Elizabeth Arden, Inc.*                                    3,800            79,952
  Nature's Sunshine Products, Inc.                          1,700            24,208
  Nu Skin Enterprises, Inc. Class A                         8,400   $       212,688
  Revlon, Inc. Class A*                                    26,300            77,585
                                                                    ---------------
                                                                            478,156
                                                                    ---------------

PHOTO EQUIPMENT & SUPPLIES -- 0.1%                                                 
  American Science & Engineering, Inc.*                       800            16,736
  Concord Camera Corp.*                                     2,700             8,910
  Lexar Media, Inc.*                                       11,800            78,824
                                                                    ---------------
                                                                            104,470
                                                                    ---------------

PUBLISHING -- 0.6%                                                                 
  Cadmus Communications Corp.                               1,000            14,750
  Hollinger International, Inc. Class A                     8,700           146,073
  Information Holdings, Inc.*                               2,700            73,899
  Journal Register Co.*                                     6,700           134,000
  Playboy Enterprises, Inc. Class B*                        4,200            48,762
  PRIMEDIA, Inc.*                                          41,200           114,536
  ProQuest Co.*                                             4,000           109,000
  Pulitzer, Inc.                                              900            44,010
  Scholastic Corp.*                                         5,600           167,720
  Thomas Nelson, Inc.                                       1,400            31,836
                                                                    ---------------
                                                                            884,586
                                                                    ---------------

REAL ESTATE -- 0.4%                                                                
  Avatar Holdings, Inc.*                                      500            20,800
  Corrections Corp. of America*                             4,600           181,654
  HomeStore.com, Inc.*                                     15,800            63,042
  Jones Lang LaSalle, Inc.*                                 4,100           111,110
  LNR Property Corp.                                        2,400           130,200
  Trammell Crow Co.*                                        4,500            63,450
                                                                    ---------------
                                                                            570,256
                                                                    ---------------

RESTAURANTS -- 1.4%                                                                
  AFC Enterprises, Inc.*                                    2,800            60,200
  Applebee's International, Inc.                            2,475            56,975
  Bob Evans Farms, Inc.                                     3,700           101,306
  Buca, Inc.*                                               1,500             7,995
  California Pizza Kitchen, Inc.*                           2,600            49,816
  CBRL Group, Inc.                                          1,200            37,020
  CEC Entertainment, Inc.*                                  5,650           166,731
  Champps Entertainment, Inc.*                                500             4,130
  Checkers Drive-In Restaurants, Inc.*                      1,000            11,550
  Chicago Pizza & Brewery, Inc.*                            2,300            34,983
  CKE Restaurants, Inc.*                                    8,700           115,971
  Dave & Buster's, Inc.*                                    1,400            26,306
  Famous Dave's of America, Inc.*                           1,145             8,794
  IHOP Corp.                                                2,700            96,552
  Jack in the Box, Inc.*                                    4,700           139,590
  Landry's Seafood Restaurants, Inc.                        3,900           116,571
  Lone Star Steakhouse & Saloon, Inc.                       3,200            87,008
  Luby's, Inc.*                                             3,000            20,730
  O' Charley's, Inc.*                                       3,000            51,570
  P.F. Chang's China Bistro, Inc.*                          4,100           168,715
  Papa John's International, Inc.*                          2,500            73,850
  RARE Hospitality International, Inc.*                     5,409           134,684
  Ruby Tuesday, Inc.                                        1,200            32,940
  Ryan's Restaurant Group, Inc.*                            6,300            99,540

45

N-CSR
50th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 50th
                                                                [Download Table]

                                                        SHARES          VALUE+     
-----------------------------------------------------------------------------------
                                                                                   
COMMON STOCKS (CONTINUED)                                                          
RESTAURANTS (CONTINUED)                                                            
  Sonic Corp.*                                              7,650   $       174,037
  The Steak n Shake Co.*                                    4,100            74,702
  Total Entertainment Restaurant Corp.*                       900            12,177
  Worldwide Restaurant Concepts, Inc.                         900             3,141
                                                                    ---------------
                                                                          1,967,584
                                                                    ---------------

RETAIL -- FOOD -- 0.4%                                                             
  Calavo Growers, Inc.                                        900            11,653
  Ingles Markets, Inc.                                      1,100            12,287
  Pathmark Stores, Inc.*                                    3,700            28,194
  Ruddick Corp.                                             5,600           125,720
  Smart & Final, Inc.*                                      3,600            43,272
  The Great Atlantic & Pacific Tea Co., Inc.*               4,100            31,406
  Weis Markets, Inc.                                        3,100           108,655
  Wild Oats Markets, Inc.*                                  3,900            54,873
  Winn-Dixie Stores, Inc.                                  19,800           142,560
                                                                    ---------------
                                                                            558,620
                                                                    ---------------

RETAIL -- GENERAL -- 0.6%                                                          
  7-Eleven, Inc.*                                           8,400           149,940
  Bebe stores, Inc.*                                        6,200           124,000
  Casey's General Stores, Inc.                              6,974           127,624
  Duane Reade, Inc.*                                        2,400            39,192
  Electronics Boutique Holdings Corp.*                      3,600            94,824
  Fred's, Inc.                                              6,287           138,880
  Longs Drug Stores Corp.                                   4,900           116,963
  ShopKo Stores, Inc.*                                      4,400            62,216
  The Pantry, Inc.*                                         3,000            65,400
                                                                    ---------------
                                                                            919,039
                                                                    ---------------

RETAIL -- SPECIALTY -- 4.6%                                                        
  A.C. Moore Arts & Crafts, Inc.*                           3,000            82,530
  Action Performance Cos., Inc.                             2,000            30,140
  Aeropostale, Inc.*                                        7,350           197,788
  America's Car-Mart, Inc.*                                   700            21,021
  American Eagle Outfitters, Inc.*                          4,300           124,313
  AnnTaylor Stores Corp.*                                   4,275           123,889
  Blair Corp.                                               1,000            28,900
  Brookstone, Inc.*                                         2,550            51,128
  Burlington Coat Factory Warehouse Corp.                   5,800           111,940
  Cache, Inc.*                                              1,800            24,318
  Callaway Golf Co.                                        10,500           119,070
  Casual Male Retail Group, Inc.*                           4,100            29,930
  Charlotte Russe Holding, Inc.*                            3,200            68,416
  Children's Place Retail Stores, Inc.*                     3,500            82,320
  Christopher & Banks Corp.                                 5,437            96,289
  Claire's Stores, Inc.                                     6,600           143,220
  Coldwater Creek, Inc.*                                    2,475            65,513
  Copart, Inc.*                                             8,050           214,935
  Cost Plus, Inc.*                                          3,297           106,988
  Deb Shops, Inc.                                           1,900            45,714
  Finlay Enterprises, Inc.*                                 1,200            22,584
  First Cash Financial Services, Inc.*                      1,950            41,496
  Footstar, Inc.*                                           1,400             8,400
  Friedman's, Inc. Class A                                  1,600             5,072
  Galyan's Trading Co.*                                     1,900   $        31,692
  GameStop Corp.*                                           2,500            38,050
  Genesco, Inc.*                                            3,000            70,890
  Goody's Family Clothing, Inc.                             3,300            34,221
  Group 1 Automotive, Inc.*                                 3,000            99,630
  GTSI Corp.*                                               2,500            28,625
  Guitar Center, Inc.*                                      4,400           195,668
  Hancock Fabrics, Inc.                                     1,700            21,675
  Hibbett Sporting Goods, Inc.*                             3,900           106,665
  Hollywood Entertainment Corp.*                            9,700           129,592
  Hot Topic, Inc.*                                          6,775           138,820
  J. Jill Group, Inc.*                                      2,750            64,872
  Jo-Ann Stores, Inc.*                                      3,000            88,200
  Jos. A. Bank Clothiers, Inc.*                             1,200            37,668
  K-Swiss, Inc. Class A                                     4,300            86,903
  Kenneth Cole Productions, Inc. Class A                    1,700            58,259
  La-Z-Boy, Inc.                                            6,800           122,264
  Linens 'n Things, Inc.*                                   3,100            90,861
  MarineMax, Inc.*                                          2,300            65,964
  Mothers Work, Inc.*                                         400             8,228
  Movado Group, Inc.                                        2,000            34,500
  Movie Gallery, Inc.                                       4,396            85,942
  NBTY, Inc.*                                               2,100            61,719
  Pacific Sunwear of California, Inc.*                      6,675           130,630
  Party City Corp.*                                         1,700            21,233
  Payless ShoeSource, Inc.*                                 9,500           141,645
  PC Connection, Inc.*                                      2,000            13,160
  PC Mall, Inc.*                                            1,200            22,656
  Pep Boys -- Manny, Moe & Jack                             5,400           136,890
  Pier 1 Imports, Inc.                                      1,900            33,611
  RC2 Corp.*                                                2,800            99,400
  Regis Corp.                                               3,900           173,901
  Retail Ventures, Inc.*                                    3,700            28,638
  Rex Stores Corp.*                                         1,575            19,294
  Select Comfort Corp.*                                     5,500           156,200
  Sharper Image Corp.*                                      2,400            75,336
  Shoe Carnival, Inc.*                                      1,200            18,012
  Sonic Automotive, Inc. Class A                            4,000            88,600
  Sotheby's Holdings, Inc. Class A*                         6,700           106,932
  Stage Stores, Inc.*                                       1,900            71,554
  Stein Mart, Inc.*                                         6,730           109,430
  Systemax, Inc.*                                           4,400            29,480
  TBC Corp.*                                                3,300            78,540
  The Bombay Co., Inc.*                                     3,600            22,068
  The Bon-Ton Stores, Inc.                                  1,600            23,456
  The Boyds Collection Ltd.*                                7,400            24,568
  The Buckle, Inc.                                          1,700            48,025
  The Cato Corp. Class A                                    2,900            65,105
  The Dress Barn, Inc.*                                     4,100            70,192
  The Gymboree Corp.*                                       3,900            59,904
  The Men's Wearhouse, Inc.*                                4,400           116,116
  The Nautilus Group, Inc.                                  4,600            89,746
  The Sports Authority, Inc.*                               3,521           126,404
  Too, Inc.*                                                4,800            80,160
  Tractor Supply Co.*                                       3,600           150,552
  Transport World Entertainment Corp.*                      5,400            54,108

46

N-CSR
51st “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 51st
                                                                [Download Table]

                                                        SHARES          VALUE+     
-----------------------------------------------------------------------------------
                                                                                   
COMMON STOCKS (CONTINUED)                                                          
RETAIL -- SPECIALTY (CONTINUED)                                                    
  Tuesday Morning Corp.*                                    5,300   $       153,700
  Tweeter Home Entertainment Group, Inc.*                   1,900            10,260
  Urban Outfitters, Inc.*                                   4,600           280,186
  West Marine, Inc.*                                        2,900            77,865
  Wet Seal, Inc.*                                           2,475            12,944
  Whitehall Jewellers, Inc.*                                1,700            12,716
  Wilsons The Leather Experts, Inc.*                        1,900             7,391
                                                                    ---------------
                                                                          6,587,430
                                                                    ---------------

STEEL -- 1.1%                                                                      
  AK Steel Holding Corp.*                                  16,300            85,901
  Allegheny Technologies, Inc.                             11,300           203,965
  Carpenter Technology Corp.                                3,400           115,770
  Material Sciences Corp.                                     900             9,585
  Maverick Tube Corp.*                                      6,400           168,064
  NS Group, Inc.*                                           2,300            37,812
  Oregon Steel Mills, Inc.*                                 3,500            51,590
  Reliance Steel & Aluminum Co.                             3,900           157,248
  Ryerson Tull, Inc.                                        3,200            50,816
  Schnitzer Steel Industries, Inc. Class A                  4,750           161,310
  Steel Dynamics, Inc.*                                     5,400           154,602
  Steel Technologies, Inc.                                  1,900            41,952
  The Timken Co.                                            2,400            63,576
  Valmont Industries, Inc.                                  3,600            82,440
  Worthington Industries, Inc.                              6,000           123,180
                                                                    ---------------
                                                                          1,507,811
                                                                    ---------------

TELECOMMUNICATIONS -- 2.2%                                                         
  Anaren Microwave, Inc.*                                   2,900            47,386
  APAC Telecommunications Corp.*                            6,900            11,937
  Arch Wireless, Inc. Class A*                              2,700            76,923
  Aware, Inc.*                                              2,700            10,665
  Boston Communications Group, Inc.*                        2,100            21,525
  C-Cor.net Corp.*                                          5,200            53,508
  Carrier Access Corp.*                                     4,700            56,024
  CellStar Corp.*                                           2,400            17,664
  Centennial Communications Corp. Class A*                  9,500            67,925
  Cincinnati Bell, Inc.*                                   36,800           163,392
  Commonwealth Telephone Enterprises, Inc.*                 3,200           143,264
  CommScope, Inc.*                                          8,000           171,600
  Comtech Telecommunications Corp.*                         1,650            37,224
  CT Communications, Inc.                                   1,900            28,595
  D&E Communications, Inc.                                  1,700            22,814
  EMS Technologies, Inc.*                                   1,300            25,259
  General Communication, Inc. Class A*                      6,700            53,198
  Glenayre Technologies, Inc.*                              5,000            11,500
  GulfMark Offshore, Inc.*                                  2,200            34,716
  Harmonic, Inc.*                                          10,000            85,200
  Hickory Tech Corp.                                          700             7,077
  IDT Corp.*                                                2,500            45,075
  IDT Corp. Class B*                                        1,600            29,504
  Inet Technologies, Inc.*                                  5,600            69,832
  Infonet Services Corp. Class B*                           5,000   $         8,750
  InfoSpace, Inc.*                                          4,800           182,592
  InterDigital Communications Corp.*                        8,600           161,766
  Intrado, Inc.*                                            2,400            38,616
  LCC International, Inc. Class A*                          1,200             5,880
  Lightbridge, Inc.*                                        3,100            17,360
  Metro One Telecommunications, Inc.*                       4,100             6,027
  MRV Communications, Inc.*                                10,900            29,866
  NMS Communications Corp.*                                 6,300            46,494
  Plantronics, Inc.*                                        5,000           210,500
  Powerwave Technologies, Inc.*                             8,900            68,530
  Price Communications Corp.                                7,925           116,973
  Primus Telecommunications Group, Inc.*                   13,500            68,580
  PTEK Holdings, Inc.*                                      9,300           107,229
  RCN Corp.*(a)                                             5,000               650
  RF Micro Devices, Inc.*                                   5,000            37,500
  Spherix, Inc.*                                            1,400             7,140
  SR Telecom, Inc.*                                           255               933
  SureWest Communications                                   1,908            60,293
  Sycamore Networks, Inc.*                                 27,100           114,633
  SymmetriCom, Inc.*                                        5,684            50,588
  Talk America Holdings, Inc.*                              3,066            23,516
  Telular Corp.*                                              500             3,595
  Time Warner Telecom, Inc. Class A*                        5,400            22,626
  Tollgrade Communications, Inc.*                           1,200            12,744
  Triton PCS Holdings, Inc. Class A*                        7,300            31,828
  UbiquiTel, Inc.*                                         11,300            47,686
  US LEC Corp. Class A*                                     4,200            17,052
  Westell Technologies, Inc. Class A*                       6,900            35,190
  Western Wireless Corp. Class A*                           9,800           283,318
  Wireless Facilities, Inc.*                               10,900           107,147
                                                                    ---------------
                                                                          3,217,409
                                                                    ---------------

TEXTILE & APPAREL -- 1.4%                                                          
  Ashworth, Inc.*                                           2,000            16,620
  Brown Shoe Co., Inc.                                      2,700           110,511
  Charming Shoppes, Inc.*                                  13,600           121,448
  Cherokee, Inc.                                              700            17,563
  Columbia Sportswear Co.*                                    750            40,965
  Culp, Inc.*                                               1,500            11,670
  Cutter & Buck, Inc.                                       1,200            12,360
  DHB Industries, Inc.*                                     6,500            98,670
  G & K Services, Inc. Class A                              2,500           100,475
  Guess?, Inc.*                                             6,600           106,260
  Haggar Corp.                                                800            16,120
  Kellwood Co.                                              3,300           143,715
  Oakley, Inc.                                             11,000           142,340
  Oshkosh B' Gosh, Inc. Class A                             1,400            34,958
  Oxford Industries, Inc.                                   2,600           113,256
  Perry Ellis International, Inc.*                            800            20,208
  Phillips-Van Heusen Corp.                                 4,000            77,000
  Quiksilver, Inc.*                                         6,700           159,527
  Reebok International Ltd.                                 1,100            39,578
  Russell Corp.                                             4,400            79,024
  Skechers U.S.A., Inc. Class A*                            1,900            24,700
  Steven Madden Ltd.*                                       1,400            27,958
  Stride Rite Corp.                                         5,100            56,253

47

N-CSR
52nd “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 52nd
                                                                [Download Table]

                                                        SHARES          VALUE+     
-----------------------------------------------------------------------------------
                                                                                   
COMMON STOCKS (CONTINUED)                                                          
TEXTILE & APPAREL (CONTINUED)                                                      
  The Dixie Group, Inc.*                                    1,200   $        14,208
  The Finish Line, Inc. Class A*                            2,800            84,476
  The Warnaco Group, Inc.*                                  6,400           136,128
  Unifi, Inc.*                                              4,300            12,599
  Vans, Inc.*                                               1,800            36,990
  Wolverine World Wide, Inc.                                5,900           154,875
                                                                    ---------------
                                                                          2,010,455
                                                                    ---------------

TIRES & RUBBER -- 0.1%                                                             
  Cooper Tire & Rubber Co.                                  1,800            41,400
  Goodyear Tire & Rubber Co.*                              12,100           109,989
                                                                    ---------------
                                                                            151,389
                                                                    ---------------

TOBACCO -- 0.0%                                                                    
  DIMON, Inc.                                               4,300            24,596
  Standard Commercial Corp.                                 1,500            27,075
                                                                    ---------------
                                                                             51,671
                                                                    ---------------

TOOLS -- HAND HELD -- 0.2%                                                         
  Toro Co.                                                  3,200           224,224
                                                                    ---------------
TRANSPORTATION -- 2.0%                                                             
  ABX Air, Inc.*                                            4,300            29,369
  Alexander & Baldwin, Inc.                                 2,500            83,625
  Arkansas Best Corp.                                       3,100           102,052
  Celadon Group, Inc.*                                      1,200            21,120
  Covenant Transport, Inc. Class A*                         1,300            22,217
  Dynamex, Inc.*                                            1,100            15,301
  EGL, Inc.*                                                6,600           175,560
  Forward Air Corp.*                                        3,200           119,680
  Frozen Food Express Industries, Inc.*                     1,900            13,034
  GATX Corp.                                                6,000           163,200
  Genesee & Wyoming, Inc. Class A*                          2,550            60,435
  Heartland Express, Inc.                                   6,962           190,480
  Interpool, Inc.                                           2,700            44,685
  J.B. Hunt Transport Services, Inc.                        7,000           270,060
  Kansas City Southern Industries, Inc.*                    8,715           135,083
  Kirby Corp.*                                              3,400           132,260
  Knight Transportation, Inc.*                              5,200           149,396
  Landstar Systems, Inc.*                                   3,900           206,193
  Maritrans, Inc.                                           1,100            16,555
  Offshore Logistics, Inc.*                                 3,200            89,984
  Old Dominion Freight Line, Inc.*                          3,435           101,264
  Overseas Shipholding Group, Inc.                          3,800           167,694
  P.A.M. Transportation Services, Inc.*                     1,100            21,010
  RailAmerica, Inc.*                                        4,600            67,160
  Ryder System, Inc.                                          600            24,042
  SCS Transportation, Inc.*                                 1,800            47,502
  Seabulk International, Inc.*                              2,500            20,625
  Stonepath Group, Inc.*                                    3,500             7,490
  Swift Transportation Co., Inc.*                             680            12,206
  USA Truck, Inc.*                                          1,000            12,090
  USF Corp.                                                 3,850   $       135,250
  Werner Enterprises, Inc.                                  2,375            50,113
  Yellow Roadway Corp.*                                     5,392           214,925
                                                                    ---------------
                                                                          2,921,660
                                                                    ---------------

UTILITIES -- 1.8%                                                                  
  Allegheny Energy, Inc.*                                   5,000            77,050
  Avista Corp.                                              6,300           116,046
  Black Hills Corp.                                         3,900           122,850
  California Water Service Group                            2,400            66,120
  Cascade Natural Gas Corp.                                 1,200            26,484
  Central Vermont Public Service Corp.                      1,500            30,735
  CH Energy Group, Inc.                                     2,200           102,168
  Chesapeake Utilities Corp.                                  600            13,620
  Cleco Corp.                                               6,200           111,476
  CMS Energy Corp.                                         10,300            94,039
  Dynegy, Inc. Class A*                                    13,900            59,214
  El Paso Electric Co.*                                     7,400           114,256
  Empire District Electric Co.                              3,300            66,363
  FuelCell Energy, Inc.*                                    7,600            88,768
  Green Mountain Power Corp.                                  800            20,880
  IDACORP, Inc.                                             4,600           124,200
  Ionics, Inc.*                                             3,100            87,575
  MGE Energy, Inc.                                          2,800            91,364
  Middlesex Water Co.                                         999            19,361
  Northwest Natural Gas Co.                                 4,100           125,050
  NUI Corp.                                                 2,900            42,340
  Otter Tail Power Co.                                      3,614            97,072
  Peoples Energy Corp.                                        700            29,505
  PNM Resources, Inc.                                       6,150           127,735
  Reliant Resources, Inc.*                                  5,000            54,150
  Sierra Pacific Resources                                 16,400           126,444
  Southwest Gas Corp.                                       4,700           113,411
  Southwest Water Co.                                       1,836            22,987
  The Laclede Group, Inc.                                   2,900            79,489
  UIL Holdings Corp.                                        2,200           107,118
  Unisource Energy Corp.                                    5,000           124,250
  Unitil Corp.                                                500            13,175
  WGL Holdings, Inc.                                        1,000            28,720
  WPS Resources Corp.                                       1,200            55,620
                                                                    ---------------
                                                                          2,579,635
                                                                    ---------------

WASTE MANAGEMENT -- 0.3%                                                           
  Casella Waste Systems, Inc. Class A*                      3,400            44,710
  Clean Harbors, Inc.*                                      1,200            11,376
  Darling International, Inc.*                              6,200            26,040
  IMCO Recycling, Inc.*                                     1,700            22,474
  Stericycle, Inc.*                                         3,200           165,568
  Waste Connections, Inc.*                                  4,650           137,919
                                                                    ---------------
                                                                            408,087
                                                                    ---------------

  TOTAL COMMON STOCKS                                                              
    (Identified Cost $106,570,474)                                      140,976,422
                                                                    ---------------

48

N-CSR
53rd “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 53rd
                                                                [Download Table]

                                                        SHARES          VALUE+      
----------------------------------------------------------------------------------- 
                                                                                    
WARRANTS -- 0.0%                                                                    
OIL & GAS -- 0.0%                                                                   
  Magnum Hunter Resources, Inc. expires 03/21/05*             580   $           290 
                                                                    --------------- 
  TOTAL WARRANTS                                                                    
   (Identified Cost $586)                                                       290 
                                                                    --------------- 

SHORT-TERM INVESTMENTS -- 2.0%                                                      
OTHER -- 2.0%                                                                       
  SSgA Government Money Market Fund                           691               691 
  SSgA Money Market Fund                                2,922,301         2,922,301 
                                                                    --------------- 
  TOTAL SHORT-TERM INVESTMENTS                                                      
   (Identified Cost $2,922,992)                                           2,922,992 
                                                                    --------------- 

TOTAL INVESTMENTS -- 100.6%                                                         
  (IDENTIFIED COST $109,494,052)#                                       143,899,704 
  Liabilities, Less Cash and                                                        
    Other Assets -- (0.6%)                                                 (867,517)
                                                                    --------------- 
NET ASSETS -- 100%                                                  $   143,032,187 
                                                                    =============== 

+  See Note 1.                                                              
*  Non-income producing security                                            
#  At June 30, 2004, the aggregate cost of investment securities for income 
tax purposes was $109,647,489. Net unrealized appreciation aggregated 
$34,252,215 of which $40,813,053 related to appreciated investment    
 securities and $6,560,838 related to depreciated investment securities.
(a)  Bankrupt security/delisted.                                                

SEE NOTES TO FINANCIAL STATEMENTS.

49

N-CSR
54th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 54th
SA INTERNATIONAL HBTM FUND                                                      
PORTFOLIO OF INVESTMENTS -- AS OF JUNE 30, 2004                                 

                                                                [Download Table]

                                                         FACE                      
                                                        AMOUNT          VALUE+     
-----------------------------------------------------------------------------------
                                                                                   
BONDS AND NOTES -- 0.0%                                                            
UNITED KINGDOM -- 0.0%                                                             
  Duelguide Plc, 1.000%, 4/30/14(b)                  $     15,202   $        27,560
                                                                    ---------------

  TOTAL BONDS AND NOTES                                                            
   (Identified Cost $27,799)                                                 27,560
                                                                    ---------------


                                                        SHARES                     
                                                     ------------                  
                                                                                   
COMMON STOCKS -- 97.9%                                                             
AUSTRALIA -- 4.3%                                                                  
  Amcor Ltd.                                               72,749           352,458
  AMP Ltd.                                                237,052         1,043,025
  Ansell Ltd.                                              31,286           168,321
  APN News & Media Ltd.                                    32,743            96,046
  AWB Ltd.                                                 45,306           145,494
  AXA Asia Pacific Holdings Ltd.                          323,615           755,814
  BHP Steel Ltd.                                          140,605           658,731
  Boral Ltd.                                              108,608           487,687
  Brambles Industries Ltd.                                 97,659           407,297
  Caltex Australia Ltd.                                    60,104           385,614
  Commonwealth Bank of Australia                           23,743           537,692
  CSR Ltd.                                                177,338           273,654
  Downer EDI Ltd.                                          52,169           116,041
  Insurance Australia Group Ltd.                           97,011           337,162
  Lend Lease Corp. Ltd.                                    76,320           545,354
  Lion Nathan Ltd.                                         99,368           468,299
  Mayne Nickless Ltd.                                     123,429           292,563
  Mirvac Group                                            129,565           387,261
  National Australia Bank Ltd.                             10,187           211,296
  OneSteel Ltd.                                            68,123           117,907
  Orica Ltd.                                               33,866           355,458
  Origin Energy Ltd.                                       75,939           297,708
  PaperlinX Ltd.                                           82,826           279,226
  Qantas Airways Ltd.                                     354,147           866,510
  QBE Insurance Group Ltd.                                 13,770           122,515
  Rinker Group Ltd.                                       104,850           586,694
  Rio Tinto Ltd.                                            6,531           163,202
  Santos Ltd.                                             108,707           523,646
  Seven Network Ltd.                                       42,091           150,676
  Southcorp Ltd.                                          138,478           302,244
  St. George Bank Ltd.                                     10,859           166,209
  Wesfarmers Ltd.                                           2,761            56,424
  WMC Resources Ltd.                                      222,293           760,218
                                                                    ---------------
                                                                         12,418,446
                                                                    ---------------

AUSTRIA -- 0.3%                                                                    
  Bank Austria Creditanstalt                                1,801           105,741
  Boehler-Uddeholm AG                                         803            66,709
  Flughafen Wien AG                                           630            36,375
  OMV AG                                                      958           186,722
  Telekom Austria AG                                        9,800           149,814
  Voest-Alpine Stahl AG                                     5,900           291,065
                                                                    ---------------
                                                                            836,426
                                                                    ---------------

BELGIUM -- 1.3%                                                                    
  Ackermans & van Haaren NV                                   937            24,539
  Algemene Maatschappij voor                                                       
    Nijverheidskredit NV (Almanij)                         18,400   $     1,099,359
  Banque Nationale de Belgique (BNB)                           90           292,490
  Bekaert NV                                                3,700           213,405
  Cofinimmo                                                   248            33,562
  Delhaize Group                                            9,463           484,705
  Dexia                                                     9,049           150,348
  Fortis                                                   22,000           487,727
  S.A. D'Ieteren NV                                           154            32,528
  Solvay SA                                                 4,700           384,152
  Tessenderlo Chemie NV                                     6,100           217,340
  Umicore                                                     210                33
  Union Miniere SA                                          4,410           277,992
                                                                    ---------------
                                                                          3,698,180
                                                                    ---------------

CANADA -- 0.0%                                                                     
  Alcan, Inc.                                               1,469            60,487
                                                                    ---------------

DENMARK -- 1.3%                                                                    
  Carlsberg A/S                                             6,925           366,576
  Codan A/S                                                 6,170           264,929
  Danisco A/S                                               5,730           295,806
  Danske Bank                                              55,903         1,326,160
  Jyske Bank A/S                                            4,170           238,850
  Rockwool International AS                                 1,850            81,861
  Sydbank AS                                                  580            85,073
  TDC A/S                                                  29,380           955,772
                                                                    ---------------
                                                                          3,615,027
                                                                    ---------------

FINLAND -- 1.8%                                                                    
  Fortum Corp.                                            135,757         1,736,338
  Huhtamaki Van Leer Oyj, Series 1                         11,200           143,931
  Kemira Oyj                                               24,100           324,386
  Kesko Oyj                                                19,100           379,231
  Metra Oyj, Class B                                        9,500           212,924
  Metsa-Serla Oyj, Series B                                32,800           297,655
  Metso Oyj                                                26,690           338,115
  Oko Bank (OKO Osuuspankkien Keskuspankki Oyj)             6,400            68,759
  Outokumpu Oyj                                            35,000           560,630
  Rautaruukki Oyj                                          22,100           178,480
  Stora Enso Oyj                                           43,000           584,018
  UPM-Kymmene Oyj                                          20,900           398,167
                                                                    ---------------
                                                                          5,222,634
                                                                    ---------------

FRANCE -- 10.8%                                                                    
  Accor SA                                                  9,300           392,980
  Air France                                               38,596           658,663
  Alstom                                                   94,360           105,745
  Assurances Generales de France                           19,004         1,155,818
  Axa                                                     122,689         2,704,998
  BNP Paribas SA                                           47,998         2,955,473
  Bongrain SA                                               1,018            70,619
  Cap Gemini SA*                                           15,114           607,358
  Ciments Francais                                          2,280           178,023
  Club Mediterranee*                                        1,200            56,612
  Compagnie de Saint-Gobain                                35,588         1,776,038

50

N-CSR
55th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 55th
                                                                [Download Table]

                                                        SHARES          VALUE+     
-----------------------------------------------------------------------------------
                                                                                   
COMMON STOCKS (CONTINUED)                                                          
FRANCE (CONTINUED)                                                                 
  Compagnie Generele des                                                           
    Etablissements Michelin, Class B                        9,463   $       523,896
  Credit Agricole SA                                       73,976         1,802,203
  Credit Industriel et Commercial                             500            91,845
  Eiffage SA                                                1,444           118,992
  Euler Hermes SA                                           1,453            78,583
  Eurazeo                                                   1,170            76,104
  Faurecia                                                  2,942           202,476
  Financiere Marc de Lacharriere SA                         3,894           155,627
  France Telecom SA                                         8,300           216,561
  Galeries Lafayette SA                                       700           137,962
  Gecina                                                    1,600           125,903
  Havas SA                                                 30,007           156,440
  Imerys SA                                                 2,400           140,033
  Lafarge SA                                               14,046         1,254,121
  Lagardere S.C.A.                                          6,500           406,571
  Nexans SA                                                 1,400            52,013
  Pinault-Printemps-Redoute SA                             12,024         1,236,891
  PSA Peugoet Citroen                                      30,890         1,722,192
  Rallye SA                                                 1,100            61,448
  Remy Cointreau SA                                         6,788           222,008
  Renault SA                                               22,840         1,741,619
  Rexel SA                                                  2,713           115,004
  Schneider Electric SA                                    15,997         1,093,161
  SCOR*                                                    45,000            70,163
  SEB SA                                                      550            65,656
  Societe BIC SA                                            5,416           241,327
  Societe Generale                                         20,200         1,718,702
  Sodexho Alliance SA                                       9,350           246,691
  Suez SA                                                  69,300         1,444,329
  Technip-Coflexip SA                                       1,566           212,691
  Thomson                                                  25,175           497,090
  Valeo SA                                                  9,506           396,589
  Vallourec SA                                                580            56,979
  Vivendi Environnement                                    17,000           480,211
  Vivendi Universal SA*                                   110,876         3,079,322
                                                                    ---------------
                                                                         30,903,730
                                                                    ---------------

GERMANY -- 7.6%                                                                    
  Aareal Bank AG                                            2,000            71,015
  Allianz AG                                                3,813           413,510
  AMB Generali Holding AG                                   3,501           264,275
  BASF AG                                                  15,750           843,951
  Bayer AG                                                 46,011         1,328,290
  Bayerische Hypo-und Vereinsbank AG*                      69,308         1,234,279
  Bilfinger Berger AG                                       2,054            71,056
  Commerzbank AG                                           52,793           931,167
  Continental AG                                            2,000            96,571
  DaimlerChrysler AG                                       83,253         3,894,161
  Deutsche Bank AG                                         36,656         2,883,539
  Deutsche Lufthansa AG                                    39,180           533,567
  Deutsche Telekom AG                                      50,300           884,745
  Fraport AG                                                9,166           256,127
  Hannover Rueckversicherungs-AG                            2,700            90,214
  Heidelberg Zement                                        10,358   $       516,669
  Heidelberger Druckmaschinen AG*                           9,086           300,376
  Hochtief AG                                               4,410           104,750
  Hypo Real Estate Holding AG*                              6,500           190,894
  Infineon Technologies AG*                                11,500           154,510
  IVG Immobilen AG                                          7,308            87,861
  KarstadtQuelle AG                                        11,843           258,080
  Linde AG                                                  7,513           414,018
  MAN AG                                                    5,050           184,419
  Merck KGaA                                                3,959           238,712
  MG Technologies AG                                       19,825           250,665
  Muenchener Rueckversicherungs-Gesellschaft AG             4,700           510,104
  Preussag AG                                              17,334           331,498
  T-Online International AG*                                9,700           110,712
  Thyssen Krupp AG                                         54,631           932,309
  Veba AG                                                  28,100         2,029,756
  Vereins-und Westbank AG                                     750            24,009
  Volkswagen AG                                            30,787         1,302,057
                                                                    ---------------
                                                                         21,737,866
                                                                    ---------------

GREECE -- 0.5%                                                                     
  Agricultural Bank of Greece*                              8,900            54,639
  Alpha Bank A.E.                                           6,840           174,301
  Bank of Greece                                            1,810           191,594
  Commercial Bank of Greece                                11,200           294,137
  Hellenic Petroleum SA                                    24,460           203,796
  Hellenic Telecommunications Organization SA              26,360           341,641
  Intracom SA                                              19,640            84,689
                                                                    ---------------
                                                                          1,344,797
                                                                    ---------------

HONG KONG -- 2.3%                                                                  
  Cheung Kong (Holdings) Ltd.                             100,000           737,208
  Cheung Kong Infrastructure Holdings Ltd.                 87,000           209,700
  China Overseas Land & Investment Ltd.                   544,000            94,158
  China Travel International Investment                                            
    Hong Kong Ltd.                                        110,000            18,898
  Citic Pacific Ltd.                                       32,000            78,362
  Great Eagle Holdings Ltd.                                22,401            34,608
  Hang Lung Development Co., Ltd.                         174,000           234,240
  Henderson Land Development Co., Ltd.                    232,000           999,423
  Hongkong and Shanghai Hotels Ltd.                        40,500            24,535
  Hopewell Holdings Ltd.                                  107,000           216,066
  Hutchison Whampoa Ltd.                                  179,000         1,222,066
  Hysan Development Co., Ltd.                             138,640           206,190
  i-CABLE Communications Ltd.                              20,300             7,743
  Kerry Properties Ltd.                                   175,109           267,164
  New Asia Realty & Trust Co. Ltd.                         50,000            18,590
  New World Development Co., Ltd.                         450,858           332,376
  Shanghai Industrial Holdings Ltd.                        57,000           104,869
  Shangri-La Asia Ltd.                                    226,090           220,301
  Sino Land Co., Ltd.                                     655,879           365,793
  Tsim Sha Tsui Properties Ltd.                            58,253            70,205
  Wharf (Holdings) Ltd.                                   289,000           822,570
  Wheelock and Co., Ltd.                                  320,000           385,656
                                                                    ---------------
                                                                          6,670,721
                                                                    ---------------

51

N-CSR
56th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 56th
                                                                [Download Table]

                                                        SHARES          VALUE+     
-----------------------------------------------------------------------------------
                                                                                   
COMMON STOCKS (CONTINUED)                                                          
IRELAND -- 1.7%                                                                    
  Allied Irish Banks Plc                                   23,598   $       365,920
  Bank of Ireland                                          67,929           906,878
  CRH Plc                                                  77,782         1,648,584
  Elan Corp. Plc*                                          58,575         1,446,268
  Irish Life & Permanent Plc                               34,224           527,356
                                                                    ---------------
                                                                          4,895,006
                                                                    ---------------

ITALY -- 3.2%                                                                      
  Alitalia SpA*                                           720,000           205,664
  Banca Antonveneta SpA                                    14,000           288,032
  Banca Monte dei Paschi di Siena SpA                     283,375           907,821
  Banca Nazionale del Lavoro SpA                          256,953           597,819
  Banca Popolare di Lodi                                   35,500           348,102
  Banca Popolare di Milano                                 71,760           461,529
  Benetton Group SpA                                       21,000           240,453
  Buzzi Unicem SpA                                         13,000           167,062
  C.I.R.-Compagnie Industriali Riunite SpA                 66,251           139,612
  Caltagirone Editore SpA                                  20,702           163,659
  Capitalia SpA                                           270,000           845,239
  Compagnia Assicuratrice Unipol SpA                       31,000           118,947
  e.Biscom SpA*                                             2,000           109,507
  Edison SpA*                                             143,555           248,657
  ERG SpA                                                  18,000           118,838
  Fiat SpA*                                                92,800           777,713
  Ifil (Finanziiaria di partecipazioni) SpA               173,000           630,086
  Italcementi SpA                                          19,180           256,995
  Italmobiliare SpA                                         4,000           190,998
  Milano Assicurazioni                                     33,000           131,043
  Pirelli & Co. SpA                                       106,664           110,308
  SAI SpA                                                  23,500           524,130
  SanPaolo IMI SpA                                         50,709           611,509
  Societa' Cattolica di Assicurazioni SpA                   3,300           133,656
  Telecom Italia SpA                                      183,809           572,059
  Tiscali SpA*                                             35,000           157,318
                                                                    ---------------
                                                                          9,056,756
                                                                    ---------------

JAPAN -- 18.8%                                                                     
  Aichi Steel Corp.                                        15,000            68,590
  Aisin Seiki Co., Ltd.                                    24,200           503,498
  Amada Co., Ltd.                                          34,000           223,879
  Anritsu Corp.                                            10,000            65,298
  Aomori Bank Ltd.                                          6,000            24,253
  Aoyama Trading Co., Ltd.                                  6,000           162,147
  Asahi Breweries Ltd.                                     45,000           495,084
  Asahi Kasei Corp.                                       112,000           578,719
  Asahi National Broadcasting Co., Ltd.                        35            65,938
  ASATSU-DK, Inc.                                           4,600           119,054
  Ashikaga Financial Group, Inc.*(a)(b)                     8,000                73
  Autobacs Seven Co., Ltd.                                  3,300           107,742
  Awa Bank Ltd.                                            20,000           124,560
  Bank of Kyoto Ltd.                                       27,000           189,638
  Bank of Nagoya Ltd.                                      18,000            94,984
  Benesse Corp.                                             7,100           232,457
  Canon Sales Co., Inc.                                     8,000           110,769
  Casio Computer Co., Ltd.                                 16,000           241,730
  Chiba Bank Ltd.                                          76,000   $       464,292
  Chudenko Corp.                                            5,700            93,049
  Chugoku Bank Ltd.                                        20,000           218,574
  Citizen Watch Co.                                        18,000           203,466
  Coca-Cola West Japan Co., Ltd.                            6,700           165,440
  COMSYS Holdings Corp.                                     9,000            72,925
  Cosmo Oil Co., Ltd.                                      56,000           161,836
  Dai Nippon Printing Co., Ltd.                            44,000           701,376
  Dai-Tokyo Fire and Marine Insurance Co., Ltd.            68,000           300,370
  Daicel Chemical Industries Ltd.                          30,000           157,209
  Daido Steel Co., Ltd.                                    35,000            94,426
  Daihatsu Motor Co., Ltd.                                 38,000           274,196
  Dainippon Ink and Chemicals, Inc.                        64,000           163,885
  Dainippon Pharmaceutical Co., Ltd.                       14,000           115,232
  Daishi Bank Ltd.                                         29,000            99,986
  Daiwa House Industry Co., Ltd.                           49,000           567,324
  Denso Corp.                                              30,300           703,846
  Dowa Fire & Marine Insurance Co., Ltd.                   33,000           182,285
  Ebara Corp.                                              20,000            97,490
  Ezaki Glico Co., Ltd.                                    13,000            94,280
  Fuji Electric Co., Ltd.                                  60,000           161,873
  Fuji Heavy Industries Ltd.                               70,000           391,787
  Fuji Photo Film                                          46,000         1,438,749
  Fujikura Ltd.                                            37,000           207,764
  Fukuyama Transporting Co., Ltd.                          25,000           131,236
  Futaba Industrial Co., Ltd.                               6,000           103,160
  Futuba Corp.                                              1,000            27,345
  General Sekiyu K.K                                        2,000            17,102
  Glory Ltd.                                                6,000            88,673
  Gunma Bank Ltd.                                          43,000           216,288
  GUNZE Ltd.                                               20,000           103,526
  Hachijuni Bank Ltd.                                      49,000           324,441
  Hankyu Corp.*                                            59,000           233,097
  Hankyu Department Stores, Inc.                            4,000            34,826
  Hanshin Electric Railway Co., Ltd.                       30,000            95,478
  Heiwa Corp.                                               9,300           147,140
  Higo Bank Ltd.                                           22,000           136,211
  Hino Motors Ltd.                                          8,000            57,799
  Hiroshima Bank Ltd.                                      40,000           214,002
  Hitachi Cable Ltd.                                       31,000           147,140
  Hitachi Kokusai Electric, Inc.                            9,000            69,304
  Hitachi Ltd.                                            279,000         1,916,219
  Hitachi Maxell Ltd.                                       8,000           123,279
  Hitachi Metals Ltd.                                      28,000           152,362
  Hokkoku Bank Ltd.                                        31,000           152,810
  Hokuetsu Paper Mills, Ltd.                               13,000            72,761
  Hokugin Financial Group, Inc.                            79,000           202,295
  House Foods Corp.                                         8,000           112,817
  Hyakugo Bank Ltd.                                        23,000           146,399
  Hyakujushi Bank Ltd.                                     21,000           128,291
  Ishikawajima-Harima Heavy Industries Co., Ltd.          109,000           179,432
  Itochu Corp.                                             71,000           318,167
  Itoham Foods, Inc.                                       13,000            66,222
  Iyo Bank Ltd.                                            27,000           187,663

52

N-CSR
57th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 57th
                                                                [Download Table]

                                                        SHARES          VALUE+     
-----------------------------------------------------------------------------------
                                                                                   
COMMON STOCKS (CONTINUED)                                                          
JAPAN (CONTINUED)                                                                  
  Japan Airport Terminal Co., Ltd.                          2,000   $        21,217
  JFE Holdings, Inc.                                       32,000           782,843
  Joyo Bank Ltd.                                           72,000           319,356
  Juroku Bank Ltd.                                         33,000           138,827
  Kagoshima Bank Co., Ltd.                                 17,000           102,611
  Kamigumi Co., Ltd.                                       24,000           174,055
  Kandenko Co., Ltd.                                       10,000            55,329
  Kansai Paint Co., Inc.                                   12,000            73,090
  Katokichi Co., Ltd.                                       4,500            89,716
  Kawasaki Heavy Industries Ltd.                          122,000           196,369
  Kikkoman Corp.                                           16,000           136,961
  Kinden Corp.                                             23,000           143,454
  Kirin Brewery Co., Ltd.                                  77,000           759,824
  Kissei Pharmaceutical Co., Ltd.                           4,000            89,807
  Kobe Steel Ltd.                                         249,000           371,183
  Koito Manufacturing Co., Ltd.                            14,000           102,684
  Kokusai Securities Co., Ltd.                             22,000           288,317
  Kokuyo Co., Ltd.                                         11,000           138,424
  Komatsu Ltd.                                             67,000           405,021
  Komori Corp.                                              6,000            98,935
  Koyo Seiko Co., Ltd.                                     10,000           118,432
  Kubota Corp.                                             73,000           387,215
  Kuraray Co., Ltd.                                        32,000           261,338
  Kuraya Sanseido, Inc.                                    11,900           179,352
  Kureha Chemical Industry Co., Ltd.                       17,000            70,739
  Kyorin Pharmaceutical Co., Ltd.                           7,000           102,236
  Kyowa Hakko Kogyo Co., Ltd.                              13,000            93,566
  Lion Corp.                                               11,000            64,283
  Makita Corp.                                             13,000           194,504
  Marubeni Corp.                                          132,000           323,526
  Marui Co., Ltd.                                          30,000           403,311
  Maruichi Steel Tube Ltd.                                  8,000           128,035
  Matsushita Electric Industrial Co., Ltd.                161,000         2,280,754
  Matsushita Electric Works Ltd.                           20,000           181,078
  Meiji Seika Kaisha Ltd.                                  32,000           142,229
  Michinoku Bank Ltd.                                      13,000            74,306
  Millea Holdings, Inc.                                       105         1,555,627
  Mitsubishi Gas Chemical Co., Inc.                        39,000           161,214
  Mitsubishi Heavy Industries Ltd.                        300,000           812,108
  Mitsubishi Logistics Corp.*                              14,000           132,388
  Mitsubishi Material Corp.                                89,000           199,415
  Mitsubishi Motor Corp.*                                 124,000           201,856
  Mitsubishi Rayon Co., Ltd.                                9,000            34,899
  Mitsui Chemicals, Inc.                                   46,000           229,695
  Mitsui Engineering & Shipbuilding Co., Ltd.              73,000           127,514
  Mitsui Trust Holdings, Inc.                              50,000           365,815
  Mitsumi Electric Co., Ltd.                                5,800            66,940
  Mizuho Asset Trust & Banking Co., Ltd.                  192,000           379,277
  Mori Seiki Co., Ltd.                                      3,000            26,147
  Musashino Bank Ltd.                                       2,800           104,221
  Nagase & Co., Ltd.                                       11,000           100,498
  National House Industrial Co., Ltd.                      15,000            88,481
  NGK Insulators, Ltd.                                     28,000           225,598
  NGK Spark Plug Co., Ltd.                                 19,000   $       181,929
  NHK Spring Co., Ltd.                                      5,000            31,460
  Nichicon Corp.                                            7,300            98,473
  Nichirei Corp.                                           26,000            91,307
  Nihon Unisys Ltd.                                         9,800            82,813
  Nikko Cordial Corp.                                      86,000           416,059
  Nippon Broadcasting System, Inc.                          2,700           136,056
  Nippon Electric Glass Co., Ltd.                           9,000           188,486
  Nippon Kayaku Co., Ltd.                                  14,000            76,565
  Nippon Meat Packers, Inc.                                20,000           245,827
  Nippon Mining Holdings, Inc.                             66,500           327,802
  Nippon Mitsubishi Oil Corp.                             134,000           841,904
  Nippon Paint Co., Ltd.                                   22,000            83,698
  Nippon Sanso Corp.                                        9,000            48,068
  Nippon Sheet Glass Co., Ltd.                             37,000           146,179
  Nippon Shinpan Co., Ltd.                                 20,000            80,113
  Nippon Shokubai Co., Ltd.                                 9,000            71,690
  Nippon Steel Corp.                                      274,000           573,835
  Nippon Television Network Corp.                           2,280           373,241
  Nipponkoa Insurance Co., Ltd.                             6,000            38,411
  Nishi-Nippon Bank Ltd.                                   38,000           174,457
  Nishimatsu Construction Co., Ltd.                        24,000            83,625
  Nisshin Flour Milling Co., Ltd.                          19,000           192,528
  Nisshin Steel Co., Ltd.                                  98,000           198,070
  Nisshinbo Industries, Inc.                               23,000           172,692
  Nissho Iwai-Nichimen Holdings Corp.*                     13,600            69,029
  NSK Ltd.                                                 46,000           228,433
  NTN Corp.                                                15,000            75,724
  Obayashi Corp.                                           60,000           322,100
  Oki Electric Industry Co., Ltd.*                         25,000           100,370
  Okumura Corp.                                            18,000            94,490
  Onward Kashiyama Co., Ltd.                               15,000           240,066
  Pioneer Corp.                                             6,300           162,477
  Q.P. Corp.                                               13,000           112,351
  Rengo Co., Ltd.                                          20,000           104,257
  Rinnai Corp.                                              1,100            33,399
  San-In Godo Bank Ltd.                                    15,000           120,993
  Santen Pharmaceutical Co., Ltd.                           2,000            31,204
  Sanwa Shutter Corp.                                      17,000            90,640
  Sapporo Breweries Ltd.                                   32,000           117,061
  Sapporo Hokuyo Holdings, Inc.                                32           202,808
  Seino Transportation Co., Ltd.                           14,000           144,296
  Sekisui Chemical Co., Ltd.                               45,000           379,030
  Sekisui House Ltd.                                       62,000           686,652
  Shiga Bank Ltd.                                          19,000           103,041
  Shikoku Bank Ltd.                                         6,000            37,807
  Shima Seiki Mfg., Ltd.                                    1,000            33,929
  Shimachu Co., Ltd.                                        4,600           124,734
  Shimadzu Corp.                                            9,000            45,928
  Shinko Electric Industries Co., Ltd.                      2,000            68,956
  Shinko Securities Co., Ltd.                              64,000           235,877
  Shohkoh Fund & Co., Ltd.                                    920           184,261
  Showa Shell Sekiyu K.K.                                  13,000           116,631
  Sumitomo Bakelite Co. Ltd.                               18,000           125,767
  Sumitomo Corp.                                           84,000           608,423
  Sumitomo Electric Industries Ltd.                        67,000           681,979

53

N-CSR
58th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 58th
                                                                [Download Table]

                                                        SHARES          VALUE+     
-----------------------------------------------------------------------------------
                                                                                   
COMMON STOCKS (CONTINUED)                                                          
JAPAN (CONTINUED)                                                                  
  Sumitomo Forestry Co., Ltd.                              15,000   $       172,024
  Sumitomo Metal Industries Ltd.                          239,000           281,961
  Sumitomo Metal Mining Co.                                18,000           117,207
  Sumitomo Osaka Cement Co., Ltd.                          38,000           104,257
  Sumitomo Realty & Development Co., Ltd.                  15,000           185,468
  Sumitomo Rubber Industries Ltd.                           5,000            44,767
  Suzuken Co., Ltd.                                         7,200           223,220
  Suzuki Motor Corp.                                        8,000           140,619
  Taiheiyo Cement Corp.                                    93,000           231,341
  Taisei Corp.                                             63,000           237,377
  Taiyo Yuden Co., Ltd.                                     9,000           126,508
  Takara Standard Co., Ltd.                                 9,000            53,830
  Takashimaya Co., Ltd.                                    26,000           300,078
  Takefuji Corp.                                           13,250           958,503
  Teijin Ltd.                                              77,000           287,311
  Teikoku Oil Co., Ltd.                                    27,000           144,945
  The 77 Bank Ltd.                                         34,000           231,341
  The Bank of Fukuoka Ltd.                                 53,000           313,604
  The Bank of Iwate Ltd.                                    1,200            58,384
  The Fuji Fire & Marine Insurance Co.                     41,000           112,488
  The Fukui Bank Ltd.                                      11,000            46,779
  The Fukuoka City Bank Ltd.                                9,000            28,726
  The Furukawa Electric Co., Ltd.                          59,000           251,443
  The Nanto Bank Ltd.                                      21,000            97,947
  The Shizuoka Bank Ltd.                                   67,000           590,681
  The Sumitomo Trust and Banking Co., Ltd.                 81,000           575,582
  The Suruga Bank, Ltd.                                    17,000           129,974
  The Yamanashi Chuo Bank Ltd.                             17,000           103,388
  The Yasuda Fire & Marine Insurance Co., Ltd.             69,000           703,599
  The Yokohama Rubber Co., Ltd.                            30,000           120,444
  Toda Corp.                                               26,000           106,287
  Toho Bank Ltd.                                           18,000            69,468
  Tokuyama Corp.                                           22,000           104,422
  Tokyo Broadcasting System, Inc.                          16,000           280,946
  Tokyo Steel Manufacturing Co., Ltd.                      12,200           210,874
  Tokyo Style Co., Ltd.                                     9,000           102,556
  Tokyo Tatemono Co., Ltd.                                 18,000           102,227
  Toppan Printing Co., Ltd.                                62,000           700,261
  Toray Industries, Inc.                                  110,000           517,079
  Toshiba Tec Corp.                                        24,000           108,866
  Tostem Corp.                                             26,000           559,971
  Toto Ltd.                                                15,000           157,483
  Toyo Ink Manufacturing Co., Ltd.                         23,000            90,658
  Toyo Seikan Kaisha Ltd.                                  18,000           308,491
  Toyo Suisan Kaisha Ltd.                                   9,000           118,112
  Toyota Auto Body Co., Ltd.                                7,000           111,711
  Toyota Tsusho Corp.                                      23,000           233,481
  UFJ Tsubasa Securities Co., Ltd.                         40,000           168,641
  Uny Co., Ltd.                                            16,000           204,417
  Victor Company of Japan Ltd.                              9,000           101,733
  Wacoal Corp.                                             12,000           127,303
  Yamagata Bank Ltd.                                       15,000   $        68,590
  Yamaguchi Bank Ltd.                                      18,000           193,424
  Yamaha Corp.                                             12,000           196,442
  Yamatake Corp.                                            2,000            20,358
  Yamazaki Baking Co., Ltd.                                19,000           186,273
  Yokogawa Electric Corp.                                   8,000           106,452
  York-Benimaru Co., Ltd.                                   4,200           124,450
                                                                    ---------------
                                                                         53,742,951
                                                                    ---------------

LUXEMBOURG -- 0.2%                                                                 
  Arcelor                                                  21,800           366,453
  Arcelor, New                                              6,266           104,719
                                                                    ---------------
                                                                            471,172
                                                                    ---------------
NETHERLANDS -- 4.9%                                                                
  ABN AMRO Holding NV                                      43,289           948,091
  Aegon NV                                                276,388         3,336,381
  AM NV                                                    16,739           157,001
  Buhrmann NV                                              24,467           243,492
  DSM NV                                                   19,339           950,047
  Hagemeyer NV                                             88,169           186,874
  Hunter Douglas NV                                         8,935           435,349
  IHC Caland NV                                             2,855           132,951
  ING Groep NV                                             56,066         1,324,903
  Koninklijke (Royal) KPN NV                              224,511         1,711,964
  Koninklijke Ahold NV*                                   249,832         1,962,865
  Koninklijke Vopak NV                                      4,566            75,363
  N.V. Holdingmaatschappij De Telegraaf                       800            17,882
  New Skies Satellites NV                                  20,300           158,750
  Nutreco Holding NV                                        6,081           200,737
  Oce NV                                                   15,619           253,039
  Royal Nedlloyd NV                                         4,855           166,180
  Univar NV                                                 2,200            38,321
  Vedior NV                                                14,459           210,998
  Versatel Telecom International*                          83,108           161,974
  VNU NV                                                   45,636         1,326,914
                                                                    ---------------
                                                                         14,000,076
                                                                    ---------------

NEW ZEALAND -- 0.2%                                                                
  Auckland International Airport Ltd.                      24,915           106,214
  Carter Holt Harvey Ltd.                                 292,800           383,355
                                                                    ---------------
                                                                            489,569
                                                                    ---------------

NORWAY -- 0.8%                                                                     
  Aker Kvaerner ASA                                         3,773            69,680
  Aker Yards ASA*                                           2,326            32,217
  Den Norske Bank ASA                                      77,500           528,900
  Norsk Hydro ASA                                          11,780           765,686
  Norske Skogindustrier ASA                                23,200           413,395
  Storebrand ASA                                           28,100           192,174
  Telenor ASA                                              19,823           137,856
  Yara International ASA*                                   1,800            14,544
                                                                    ---------------
                                                                          2,154,452
                                                                    ---------------

PORTUGAL -- 0.4%                                                                   
  Banco BPI SA                                             44,492           162,587
  Banco Comercial Portugues SA                             44,789           104,750

54

N-CSR
59th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 59th
                                                                [Download Table]

                                                        SHARES          VALUE+     
-----------------------------------------------------------------------------------
                                                                                   
COMMON STOCKS (CONTINUED)                                                          
PORTUGAL (CONTINUED)                                                               
  Banco Espirito Santo SA                                  26,382   $       438,012
  Cimpor- Cimentos de Portugal SGPS SA                     29,000           141,300
  Portucel -- Empresa Produtora de Pasta e Papel SA       143,000           257,799
                                                                    ---------------
                                                                          1,104,448
                                                                    ---------------

SINGAPORE -- 1.0%                                                                  
  DBS Group Holdings Ltd.                                  52,000           435,020
  Fraser & Neave Ltd.                                      30,300           246,442
  Haw Par Corp., Ltd.                                         817             2,421
  Keppel Corporation Ltd.                                 134,000           548,829
  Neptune Orient Lines Ltd.                                97,000           132,993
  Oversea-Chinese Banking Corp., Ltd.                      20,000           140,591
  SembCorp Industries Ltd.                                104,000            80,962
  Singapore Airlines Ltd.                                 153,000           995,527
  Singapore Land Ltd.                                      15,000            38,517
  United Overseas Bank Ltd.                                20,000           155,696
  United Overseas Land Ltd.                                62,000            83,925
                                                                    ---------------
                                                                          2,860,923
                                                                    ---------------

SPAIN -- 3.6%                                                                      
  Acerinox SA                                               7,900           450,259
  ACS, Actividades de Construccion y Servicios SA           2,910            49,094
  Antena 3 Television SA*                                      34             1,802
  Autopistas, Concesionaria Espanola SA                    38,049           663,696
  Azucarera Ebro Agricolas SA                              18,600           223,168
  Banco Bilbao Vizcaya Argentaria SA                       15,900           212,658
  Banco de Andalucia                                        1,700           145,368
  Banco De Sabadell SA                                     30,438           659,962
  Banco Pastor SA                                           5,642           171,057
  Banco Santander Central Hispano SA                       24,715           256,798
  Cementos Portland SA                                      5,187           306,753
  Corporacion Mapfre                                       27,950           342,842
  Endesa SA                                                51,974         1,002,822
  Fomento de Construcciones y Contratas SA                  6,200           230,041
  Gas Natural SDG SA                                       15,200           364,563
  Iberia Lineas Aereas de Espana SA                       179,152           515,011
  Inmobiliaria Colonial SA                                  6,100           156,039
  Inmobiliaria Urbis SA                                    13,900           153,569
  Metrovacesa SA                                            2,430            93,121
  Red Electrica de Espana                                   2,800            47,681
  Repsol-YPF SA                                           148,945         3,265,737
  Sociedad General de Aguas de Barcelona SA,                                       
   Class A                                                 26,580           453,279
  Sol Melia SA                                             22,542           202,918
  Telefonica SA                                            10,091           149,346
  Vallehermoso SA                                          14,200           194,591
                                                                    ---------------
                                                                         10,312,175
                                                                    ---------------

SWEDEN -- 3.1%                                                                     
  Ainax AB*                                                 3,670           120,692
  Billerud                                                  3,781            61,794
  Bostadssktiebolaget Drott                                 1,675            33,496
  Castellum AB                                              1,400            33,670
  Drott AB, Series B                                       12,300   $       160,165
  Electrolux AB, Series B                                  21,200           407,042
  Gambro AB, Series A                                      42,500           412,237
  Gambro AB, Series B                                      12,100           116,563
  Industriforvaltnings AB Kinnevik, Series B                4,500           147,389
  Mo Och Domsjoe AB (MoDo), Series B                       11,600           336,008
  NCC AB                                                    6,900            64,636
  Nordea AB                                               152,100         1,096,389
  Nordic Baltic Holding AB                                  5,716            41,124
  Skandia Forsakrings AB                                   94,100           390,104
  Skandinaviska Enskilda Banken AB, Series A               23,800           344,698
  SKF AB, Series A                                          1,600            58,889
  SKF AB, Series B                                          2,900           106,544
  SSAB Svenskt Stal AB, Series A                           11,400           192,373
  SSAB Svenskt Stal AB, Series B                            3,500            56,969
  Svenska Cellulosa AB (SCA), Series B                     31,200         1,185,650
  Tele2 AB, Series B                                        2,300           100,850
  TeliaSonera AB                                          271,500         1,150,791
  Trelleborg AB, Series B                                  11,300           195,190
  Volvo AB, Series A                                       17,900           600,552
  Volvo AB, Series B                                       39,000         1,357,693
  Wihlborgs Fastigheter AB                                  1,700            22,419
                                                                    ---------------
                                                                          8,793,927
                                                                    ---------------

SWITZERLAND -- 7.6%                                                                
  Baloise Holdings Ltd.                                    16,000           695,263
  Bank Sarasin & Cie AG                                        70           107,357
  Banque Cantonale Vaudoise                                 1,400           128,605
  Berner Kantonalbank                                       3,000           357,656
  Ciba Specialty Chemicals AG*                             11,800           850,196
  Compagnie Financiere Richemont AG                       101,600         2,653,822
  Compagnie vaudoise d'electricite (CVE)                      180           150,970
  Converium Holding AG                                      5,900           307,041
  Credit Suisse Group                                      78,980         2,807,421
  Ems-Chemie Holding AG                                     1,900           158,978
  Georg Fischer AG*                                           120            27,750
  Givaudan SA                                               1,380           799,185
  Helvetia Patria Holding                                   1,240           219,394
  Holcim Ltd.                                              33,577         1,826,499
  Kuoni Reisen Holding AG, Series B                           200            86,109
  Lonza Group AG                                            2,100           106,434
  Luzerner Kantonalbank                                       700           111,830
  PSP Swiss Property AG                                    10,400           377,985
  Rieter Holding AG                                           430           114,035
  SIG Holding AG                                            3,300           597,052
  Sika AG                                                     310           170,613
  St. Galler Kantonalbank                                   1,700           355,779
  Swatch Group AG, Series B                                 1,700           221,344
  Swiss Life Holding*                                       7,093           990,096
  Swiss Re                                                 21,200         1,377,602
  Syngenta AG                                              20,200         1,694,225
  Unaxis Holding AG                                         1,800           202,732
  Valiant Holding                                           2,700           223,221
  Valora Holding AG                                         1,420           327,239
  Zurich Financial Services*                               23,900         3,775,242
                                                                    ---------------
                                                                         21,821,675
                                                                    ---------------

55

N-CSR
60th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 60th
                                                                [Download Table]

                                                        SHARES          VALUE+     
-----------------------------------------------------------------------------------
                                                                                   
COMMON STOCKS (CONTINUED)                                                          
UNITED KINGDOM -- 22.1%                                                            
  Abbey National Plc                                      224,451   $     2,088,453
  Aggregate Industries Plc                                187,114           278,160
  Alliance & Leicester Group Treasury Plc                  20,000           306,562
  Allied Domecq Plc                                        12,800           109,180
  Amvescap Plc                                            104,200           710,280
  Arriva Plc                                               19,049           142,280
  Associated British Foods Plc                            115,460         1,323,934
  Associates British Ports Holdings Plc                    43,400           318,064
  BAA Plc                                                 156,215         1,567,525
  BAE Systems Plc                                         458,443         1,822,213
  Barratt Developments Plc                                 34,875           372,711
  BBA Group Plc                                            54,587           269,668
  Bellway Plc                                              12,000           165,337
  Berkeley Group Plc                                       18,840           422,669
  Big Food Group Plc                                       50,094            93,540
  Bodycote International Plc                                5,475            15,633
  Bovis Homes Group Plc                                    16,000           152,864
  BPB Plc                                                  14,200           105,225
  Brambles Industries Plc                                  81,000           312,780
  Britannic Plc                                            27,300           182,750
  British Airways Plc*                                    158,000           789,138
  British Land Company Plc                                 73,240           920,808
  British Vita Plc                                         28,386           132,255
  Brixton Estate Plc                                       32,600           171,392
  BT Group Plc                                            520,439         1,872,857
  Cable & Wireless Plc                                    329,112           774,150
  Caradon Plc                                               8,651            19,291
  Carnival Plc                                              7,285           353,683
  Celltech Group Plc*                                      23,000           228,915
  CGU Plc                                                 322,649         3,328,256
  COLT Telecom Group Plc*                                 220,000           320,068
  Corus Group Plc*                                        616,366           444,171
  De Vere Group Plc                                        16,674           133,005
  Derwent Valley Holdings Plc                               7,337           115,322
  Dixons Group Plc                                        151,546           454,004
  DS Smith Plc                                             56,526           166,011
  Duelguide Plc*(b)                                         2,832                26
  easyJet Plc*                                             57,000           164,820
  F.I. Group Plc                                           18,565            27,430
  FKI Plc                                                  76,668           170,612
  Friends Provident Plc                                   251,489           669,070
  Galen Holdings Plc                                       14,000           176,395
  George Wimpey Plc                                        51,822           346,669
  GKN Plc                                                  97,483           442,701
  Glynwed International Plc                                 5,000            20,304
  Great Portland Estates Plc                               29,651           138,686
  Great Universal Stores Plc                               30,861           473,040
  Greene King Plc                                          10,413           191,609
  Hammerson Plc                                            40,357           509,582
  Hanson Plc                                              107,597           739,775
  HBOS Plc                                                 68,503           847,592
  HHG Plc*                                                194,598           160,965
  Hilton Group Plc                                        239,113         1,196,429
  IMI Plc                                                  10,000            67,349
  InterContinental Hotels Group Plc                       107,829   $     1,138,690
  International Power Plc*                                163,100           415,436
  Invensys Plc*                                           125,716            41,024
  ITV Plc                                                 392,293           821,423
  ITV Plc, Convertible*                                    11,165            12,549
  J Sainsbury Plc                                         303,420         1,566,326
  Kesa Electricals Plc                                     25,883           135,726
  Kingfisher Plc                                          296,423         1,538,266
  Land Securities Group Plc                                17,966           377,493
  Lex Service Plc                                           8,500           109,409
  Liberty International Plc                                48,304           666,411
  Logica Plc                                               30,030            99,628
  London Merchant Securities Plc                           35,567           111,549
  Luminar Plc                                               6,000            44,869
  Marks & Spencer Group Plc                               140,715           925,384
  Mersey Docks & Harbour Co.                               11,402           141,388
  Millennium & Copthorne Hotels Plc                        41,726           257,193
  Mitchells & Butlers Plc                                  69,152           349,144
  mm02 Plc*                                             1,265,000         2,127,054
  National Express Group Plc                               13,000           158,846
  Northern Foods Plc                                       10,000            30,638
  Northern Rock Plc                                         5,000            65,582
  Pearson Plc                                             106,479         1,293,341
  Peninsular and Oriental Steam Navigation Co.            108,322           432,030
  Persimmon Plc                                            37,740           432,407
  Pilkington Plc                                          154,477           273,050
  Pillar Property Plc                                      15,850           166,947
  Premier Oil Plc*                                         11,224           112,524
  Quintain Estates & Development Plc                       17,000           137,762
  Rank Group Plc                                           27,850           151,468
  RMC Group Plc                                            38,000           418,164
  Rolls-Royce Group Plc                                   237,042         1,081,855
  Royal & Sun Alliance Insurance Group Plc                429,888           642,959
  Royal Bank of Scotland Group Plc                          2,843            81,847
  SABMiller Plc                                           145,942         1,887,767
  Schroders Plc                                            28,000           311,166
  Scottish & Newcastle Plc                                134,688         1,060,335
  Scottish Power Plc                                      274,587         1,984,974
  Shire Pharmaceuticals Group Plc*                         69,702           608,437
  Signet Group Plc                                         23,865            49,538
  Singer & Friedlander Group Plc                           25,157           106,265
  Slough Estates Plc                                       61,006           496,308
  Smith W.H. Plc                                           33,000           189,049
  Somerfield Plc                                           72,374           203,699
  Stagecoach Holdings Plc                                 195,352           316,968
  Stanley Leisure Plc                                      18,593           141,149
  Tate & Lyle Plc                                          70,423           421,311
  Taylor Woodrow Plc                                       85,291           397,384
  Thus Group Plc*                                         196,897            92,808
  Trinity Mirror Plc                                       42,590           501,875
  Uniq Plc                                                  2,050             6,021
  United Business Media Plc                                24,000           220,594
  Vodafone Group Plc                                    3,974,639         8,700,796
  Westbury Plc                                             16,666           130,448

56

N-CSR
61st “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 61st
                                                                [Download Table]

                                                        SHARES          VALUE+     
-----------------------------------------------------------------------------------
                                                                                   
COMMON STOCKS (CONTINUED)                                                          
UNITED KINGDOM (CONTINUED)                                                         
  Whitbread Plc                                            44,115   $       657,804
  William Morrison Supermarkets Plc                       116,366           488,900
  Wilson Bowden Plc                                        13,000           246,990
  Wincanton Plc                                             2,050             8,827
  Wolverhampton & Dudley Breweries Plc                      9,700           152,463
  Woolworths Group Plc                                    186,497           155,526
                                                                    ---------------
                                                                         63,221,992
                                                                    ---------------

UNITED STATES -- 0.1%                                                              
  Zimmer Holdings, Inc.*                                    4,232           373,262
                                                                    ---------------

  TOTAL COMMON STOCKS                                                              
   (Identified Cost $219,080,706)                                       279,806,698
                                                                    ---------------

WARRANTS -- 0.0%                                                                   
FRANCE -- 0.0%                                                                     
  Air France, expires 06/11/07*                             7,600             9,998
  Rallye SA, expires 11/30/05*                              1,100               295
                                                                    ---------------
                                                                             10,293
                                                                    ---------------

HONG KONG -- 0.0%                                                                  
  China Travel International Investment,                                           
    expires 05/31/06*                                      22,000               649
                                                                    ---------------

ITALY -- 0.0%                                                                      
  Fiat SpA, expires 01/31/07*                               4,800             1,111
                                                                    ---------------
  TOTAL WARRANTS                                                                   
   (Identified Cost $9,435)                                                  12,053
                                                                    ---------------

SHORT-TERM INVESTMENTS -- 1.4%                                                     
UNITED STATES -- 1.4%                                                              
  SSgA Government Money Market Fund                         1,586             1,586
  SSgA Money Market Fund                                4,048,941         4,048,941
                                                                    ---------------
                                                                          4,050,527
                                                                    ---------------

  TOTAL SHORT-TERM INVESTMENTS                                                     
   (Identified Cost $4,050,527)                                           4,050,527
                                                                    ---------------

TOTAL INVESTMENTS -- 99.3%                                                         
  (IDENTIFIED COST $223,168,467)#                                       283,896,838
  Cash and Other Assets,                                                           
    Less Liabilities -- 0.7%                                              2,005,513
                                                                    ---------------
NET ASSETS -- 100%                                                  $   285,902,351
                                                                    ===============

+   See Note 1.                                                           
*   Non-income producing security                                         
  #   At June 30, 2004, the aggregate cost of investment securities for income
   tax purposes was $223,213,328. Net unrealized appreciation aggregated
$60,683,510 of which $63,402,295 related to appreciated investment
     securities and $2,718,785 related to depreciated investment securities.
(a)   Bankrupt/delisted security.                                             
 (b)   Securities were valued at fair value. See Note 1 to Financial Statements.
Total market value of such investments amounted to $27,659, which 
represented 0.01% of net assets.                                  

Ten Largest Sector Holdings at June 30, 2004                                    
(As a percentage of Net Assets):                                                

                                                                [Download Table]

INDUSTRY                          PERCENTAGE
--------                          ----------
                                            
Banks/Savings & Loans                10.5%  
Insurance                             9.2%  
Telecommunications                    7.3%  
Financial Services                    7.2%  
Building & Construction               6.6%  
Diversified Operations                4.0%  
Auto & Related                        3.3%  
Chemicals                             3.1%  
Oil & Gas                             3.0%  
Food & Beverages                      2.9%  

SEE NOTES TO FINANCIAL STATEMENTS.

57

N-CSR
62nd “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 62nd
SA International Small Company Fund                                             

PORTFOLIO OF INVESTMENTS -- AS OF JUNE 30, 2004                                 

                                                                [Download Table]

                                                        SHARES          VALUE+     
-----------------------------------------------------------------------------------
                                                                                   
MUTUAL FUNDS -- 99.9%                                                              
OTHER -- 99.9%                                                                     
  DFA International Small Company                                                  
    Portfolio                                           7,911,675   $   101,823,258
                                                                    ---------------
  TOTAL MUTUAL FUNDS                                                               
   (Identified Cost $69,403,451)                                        101,823,258
                                                                    ---------------

SHORT-TERM INVESTMENTS -- 0.0%                                                     
OTHER -- 0.0%                                                                      
  SSgA Government Money Market Fund                             2                 2
  SSgA Money Market Fund                                        2                 2
                                                                    ---------------
  TOTAL SHORT-TERM INVESTMENTS                                                     
   (Identified Cost $4)                                                           4
                                                                    ---------------
TOTAL INVESTMENTS -- 99.9%                                                         
  (IDENTIFIED COST $69,403,455)#                                        101,823,262
   Cash and Other Assets,                                                          
     Less Liabilities -- 0.1%                                                65,738
                                                                    ---------------
NET ASSETS-- 100%                                                   $   101,889,000
                                                                    ===============

+ See Note 1.                                                             
# At June 30, 2004, the aggregate cost of investment securities for income
tax purposes was $70,610,865. Net unrealized appreciation aggregated  
 $31,212,397, which related solely to appreciated investment securities.

SEE NOTES TO FINANCIAL STATEMENTS.

58

N-CSR
63rd “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 63rd
(This page has been left blank intentionally.)

N-CSR
64th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 64th
STATEMENTS OF ASSETS & LIABILITIES -- JUNE 30, 2004                             

                                                        [Enlarge/Download Table]

                                                              SA                SA         
                                                         FIXED INCOME       U.S. MARKET    
                                                             FUND              FUND        
------------------------------------------------------------------------------------------ 
                                                                                           
ASSETS                                                                                     
  Investments in securities, at market                 $    273,032,385   $    285,887,261 
  Short-term investments (at amortized cost)                  1,877,210          2,910,795 
  Cash                                                              307                335 
  Foreign currency                                                    7                 -- 
  Receivable for investments sold                             7,941,671                 -- 
  Dividends and interest receivable                           3,944,154            282,726 
  Receivable for fund shares sold                               938,884            844,724 
  Receivable due from the Manager (Note 2)                       77,846             23,202 
  Receivable for tax reclaims                                        --                 -- 
  Prepaid expenses                                                  113                227 
                                                       ----------------   ---------------- 
    TOTAL ASSETS                                            287,812,577        289,949,270 
                                                       ----------------   ---------------- 

LIABILITIES                                                                                
  Payable for investments purchased                           7,900,099                 -- 
  Payable for fund shares redeemed                               13,320            143,060 
  Unrealized depreciation on forward foreign                                               
    currency exchange contract (Note 1)                          69,725                 -- 
  Advisory fees payable (Note 2)                                146,633            150,470 
  Sub-Advisory fees payable (Note 2)                             42,862             11,575 
  Administration fee payable (Note 2)                            46,682             47,305 
  Trustees' fees payable (Note 2)                                 1,639              1,639 
  Shareholder servicing fee payable (Note 2)                      7,529              7,872 
  Accrued expenses and other liabilities                        109,757            114,091 
                                                       ----------------   ---------------- 
    TOTAL LIABILITIES                                         8,338,246            476,012 
                                                       ----------------   ---------------- 

NET ASSETS                                             $    279,474,331   $    289,473,258 
                                                       ================   ================ 
NET ASSETS CONSIST OF:                                                                     
  Capital paid in                                      $    285,225,110   $    269,361,718 
  Undistributed net investment income                            33,522            432,561 
  Accumulated net realized gain/(loss)                         (470,246)        (7,723,502)
  Net unrealized appreciation/(depreciation) on:                                           
    Investments                                              (5,244,727)        27,402,481 
    Foreign currency translations                               (69,328)                -- 
                                                       ----------------   ---------------- 

NET ASSETS                                             $    279,474,331   $    289,473,258 
                                                       ================   ================ 

SHARES OF BENEFICIAL INTEREST OUTSTANDING                    27,682,657         28,602,241 
NET ASSET VALUE PER SHARE                              $          10.10   $          10.12 

IDENTIFIED COST OF INVESTMENTS                         $    280,154,322   $    261,395,575 
COST OF FOREIGN CURRENCY                               $              7                 -- 

SEE NOTES TO FINANCIAL STATEMENTS.

60

N-CSR
65th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 65th
                                                        [Enlarge/Download Table]

                                                             SA                SA U.S.                          SA INTERNATIONAL 
                                                          U.S. HBtM        SMALL COMPANY     SA INTERNATIONAL     SMALL COMPANY  
                                                             FUND               FUND             HBtM FUND            FUND       
-------------------------------------------------------------------------------------------------------------------------------- 
                                                                                                                                 
ASSETS                                                                                                                           
  Investments in securities, at market                 $    162,516,129   $    140,976,712   $    279,846,311   $    101,823,258 
  Short-term investments (at amortized cost)                  2,566,788          2,922,992          4,050,527                  4 
  Cash                                                              107             98,269                988                  1 
  Foreign currency                                                   --                 --          2,302,982                 -- 
  Receivable for investments sold                                    --            167,413            921,188                 -- 
  Dividends and interest receivable                             180,620             66,136            467,993                 -- 
  Receivable for fund shares sold                               351,014            362,403            791,493            241,244 
  Receivable due from the Manager (Note 2)                       34,786             38,463             16,498                 -- 
  Receivable for tax reclaims                                        --                 --            150,142                 -- 
  Prepaid expenses                                                  227                227                227                227 
                                                       ----------------   ----------------   ----------------   ---------------- 
    TOTAL ASSETS                                            165,649,671        144,632,615        288,548,349        102,064,734 
                                                       ----------------   ----------------   ----------------   ---------------- 

LIABILITIES                                                                                                                      
  Payable for investments purchased                             820,578          1,299,343          2,135,634                 -- 
  Payable for fund shares redeemed                               40,672             72,268            104,337             28,021 
  Unrealized depreciation on forward foreign                                                                                     
    currency exchange contract (Note 1)                              --                 --                 --                 -- 
  Advisory fees payable (Note 2)                                 85,087             72,624            147,545             63,100 
  Sub-Advisory fees payable (Note 2)                             35,343             42,457             86,257                 -- 
  Administration fee payable (Note 2)                            26,836             23,061             46,385             16,661 
  Trustees' fees payable (Note 2)                                 1,639              1,639              1,639              1,640 
  Shareholder servicing fee payable (Note 2)                      7,572              7,548              7,961              7,506 
  Accrued expenses and other liabilities                         76,790             81,488            116,240             58,806 
                                                       ----------------   ----------------   ----------------   ---------------- 
    TOTAL LIABILITIES                                         1,094,517          1,600,428          2,645,998            175,734 
                                                       ----------------   ----------------   ----------------   ---------------- 

NET ASSETS                                             $    164,555,154   $    143,032,187   $    285,902,351   $    101,889,000 
                                                       ================   ================   ================   ================ 
NET ASSETS CONSIST OF:                                                                                                           
  Capital paid in                                      $    142,744,356   $    110,835,949   $    230,316,993   $     69,942,684 
  Undistributed net investment income                           187,289                 --          1,968,766            587,466 
  Accumulated net realized gain/(loss)                         (978,730)        (2,209,414)        (7,132,617)        (1,060,957)
  Net unrealized appreciation/(depreciation) on:                                                                                 
    Investments                                              22,602,239         34,405,652         60,728,371         32,419,807 
    Foreign currency translations                                    --                 --             20,838                 -- 
                                                       ----------------   ----------------   ----------------   ---------------- 

NET ASSETS                                             $    164,555,154   $    143,032,187   $    285,902,351   $    101,889,000 
                                                       ================   ================   ================   ================ 

SHARES OF BENEFICIAL INTEREST OUTSTANDING                    15,254,549          8,804,916         25,579,980          7,222,177 
NET ASSET VALUE PER SHARE                              $          10.79   $          16.24   $          11.18   $          14.11 

IDENTIFIED COST OF INVESTMENTS                         $    142,480,678   $    109,494,052   $    223,168,467   $     69,403,455 
COST OF FOREIGN CURRENCY                                             --                 --   $      2,282,176                 -- 

61

N-CSR
66th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 66th
STATEMENTS OF OPERATIONS -- YEAR ENDED JUNE 30, 2004                            

                                                        [Enlarge/Download Table]

                                                              SA                SA         
                                                         FIXED INCOME       U.S. MARKET    
                                                             FUND              FUND        
------------------------------------------------------------------------------------------ 
                                                                                           
INVESTMENT INCOME                                                                          
  INCOME:                                                                                  
    Dividends                                          $             --   $      3,585,868 
    Interest                                                  7,470,071             22,356 
    Less: Taxes witheld                                              --               (157)
                                                       ----------------   ---------------- 

  TOTAL INCOME                                                7,470,071          3,608,067 
                                                       ----------------   ---------------- 
  EXPENSES:                                                                                
    Advisory fees (Note 2)                                    1,459,860          1,461,337 
    Sub-Advisory fee (Note 2)                                   426,728            112,410 
    Shareholder servicing fees (Note 2)                         561,485            562,053 
    Administration fees (Note 2)                                224,594            224,821 
    Deferred expense reimbursement (Note 2)                          --                 -- 
    Sub-Administration fees (Note 2)                             93,434             93,428 
    Trustees' fees and expenses (Note 2)                         10,879             10,879 
    Custody and accounting fees (Note 2)                         90,975            179,807 
    Transfer agent fees                                          42,612             43,962 
    Professional fees                                            48,550             48,614 
    Registration fees                                            36,464             30,253 
    Other expenses                                               21,436             19,996 
                                                       ----------------   ---------------- 

  TOTAL EXPENSES BEFORE WAIVERS AND REIMBURSEMENTS:           3,017,017          2,787,560 
    Less: Fee waiver by Advisor                                (559,158)          (288,310)
          Fee waiver by Sub-Advisor                            (191,088)           (50,349)
          Expense offsets and other waivers                     (20,833)           (20,833)
                                                       ----------------   ---------------- 

    NET EXPENSES                                              2,245,938          2,428,068 
                                                       ----------------   ---------------- 

  NET INVESTMENT INCOME (LOSS)                                5,224,133          1,179,999 
                                                       ----------------   ---------------- 
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS                                     
    REALIZED GAIN (LOSS) ON:                                                               
      Investments                                             1,580,302            333,009 
      Foreign currency transactions                             203,637                 17 
      Distributions from other Registered Investment                                       
       Companies                                                     --            110,936 
    INCREASE (DECREASE) IN UNREALIZED APPRECIATION/                                        
      DEPRECIATION ON:                                                                     
      Investments                                           (11,033,826)        34,191,245 
      Foreign currency translations                             (88,081)                -- 
                                                       ----------------   ---------------- 
    Net realized and unrealized gain (loss) on                                             
      investments and change in unrealized                                                 
      appreciation (depreciation)                            (9,337,968)        34,635,207 
                                                       ----------------   ---------------- 

  NET INCREASE (DECREASE) IN NET ASSETS RESULTING                                          
    FROM OPERATIONS                                    $     (4,113,835)  $     35,815,206 
                                                       ================   ================ 

SEE NOTES TO FINANCIAL STATEMENTS.

62

N-CSR
67th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 67th
                                                        [Enlarge/Download Table]

                                                             SA                SA U.S.                            SA INTERNATIONAL 
                                                          U.S. HBtM        SMALL COMPANY      SA INTERNATIONAL     SMALL COMPANY   
                                                             FUND               FUND              HBtM FUND             FUND       
---------------------------------------------------------------------------------------------------------------------------------- 
                                                                                                                                   
INVESTMENT INCOME                                                                                                                  
  INCOME:                                                                                                                          
    Dividends                                          $      1,835,058   $        922,811    $      6,098,255    $      2,080,936 
    Interest                                                     15,160             12,705              43,781                  -- 
    Less: Taxes witheld                                            (751)               (14)           (665,862)                 -- 
                                                       ----------------   ----------------    ----------------    ---------------- 

  TOTAL INCOME                                                1,849,467            935,502           5,476,174           2,080,936 
                                                       ----------------   ----------------    ----------------    ---------------- 
  EXPENSES:                                                                                                                        
    Advisory fees (Note 2)                                      811,656            719,893           1,441,607             514,299 
    Sub-Advisory fee (Note 2)                                   337,149            420,860             842,785                  -- 
    Shareholder servicing fees (Note 2)                         312,175            276,882             554,464             197,807 
    Administration fees (Note 2)                                124,870            110,753             221,786              79,123 
    Deferred expense reimbursement (Note 2)                          --                 --             265,139               3,766 
    Sub-Administration fees (Note 2)                             72,463             68,895              92,592              62,556 
    Trustees' fees and expenses (Note 2)                         10,879             10,879              10,879              10,879 
    Custody and accounting fees (Note 2)                         78,020            190,479             225,877              39,794 
    Transfer agent fees                                          43,128             43,103              44,150              42,688 
    Professional fees                                            48,551             48,550              46,134              46,279 
    Registration fees                                            25,669             22,928              26,539              19,682 
    Other expenses                                               17,895             15,583              19,700              16,733 
                                                       ----------------   ----------------    ----------------    ---------------- 

  TOTAL EXPENSES BEFORE WAIVERS AND REIMBURSEMENTS:           1,882,455          1,928,805           3,791,652           1,033,606 
    Less: Fee waiver by Advisor                                (299,575)          (301,827)                 --                  -- 
          Fee waiver by Sub-Advisor                            (151,015)          (188,511)           (377,499)                 -- 
          Expense offsets and other waivers                     (20,833)           (20,833)            (20,833)            (20,833)
                                                       ----------------   ----------------    ----------------    ---------------- 

    NET EXPENSES                                              1,411,032          1,417,634           3,393,320           1,012,773 
                                                       ----------------   ----------------    ----------------    ---------------- 

  NET INVESTMENT INCOME (LOSS)                                  438,435           (482,132)          2,082,854           1,068,163 
                                                       ----------------   ----------------    ----------------    ---------------- 
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS                                                                             
    REALIZED GAIN (LOSS) ON:                                                                                                       
      Investments                                             2,493,283          4,457,130           9,565,817           1,486,114 
      Foreign currency transactions                                  92                 --             (10,052)                 -- 
      Distributions from other Registered Investment                                                                               
        Companies                                                    --                 --                  --                  -- 
    INCREASE (DECREASE) IN UNREALIZED                                                                                              
      APPRECIATION/DEPRECIATION ON:                                                                                                
      Investments                                            21,983,739         24,643,939          53,299,376          24,358,504 
      Foreign currency translations                                  --                 --              19,534                  -- 
                                                       ----------------   ----------------    ----------------    ---------------- 
    Net realized and unrealized gain (loss) on                                                                                     
      investments and change in unrealized                                                                                         
      appreciation (depreciation)                            24,477,114         29,101,069          62,874,675          25,844,618 
                                                       ----------------   ----------------    ----------------    ---------------- 

  NET INCREASE (DECREASE) IN NET ASSETS RESULTING                                                                                  
    FROM OPERATIONS                                    $     24,915,549   $     28,618,937    $     64,957,529    $     26,912,781 
                                                       ================   ================    ================    ================ 

63

N-CSR
68th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 68th
STATEMENTS OF CHANGES IN NET ASSETS                                             

                                                        [Enlarge/Download Table]

                                                              SA FIXED INCOME FUND         
                                                       ----------------------------------- 
                                                          YEAR ENDED         YEAR ENDED    
                                                          6/30/2004          6/30/2003     
------------------------------------------------------------------------------------------ 
                                                                                           
INCREASE (DECREASE) IN NET ASSETS                                                          
  OPERATIONS:                                                                              
    Net investment income                              $      5,224,133   $      4,460,597 
    Net realized gain (loss) on investments and                                            
      foreign currency transactions                           1,783,939          5,751,630 
    Net increase (decrease) in unrealized                                                  
      appreciation (depreciation)                           (11,121,907)         3,552,001 
                                                       ----------------   ---------------- 
    Net increase (decrease) from operations                  (4,113,835)        13,764,228 
                                                       ----------------   ---------------- 
  DISTRIBUTIONS TO SHAREHOLDERS FROM:                                                      
    Net investment income                                    (6,002,605)        (3,694,430)
    Net realized gains                                       (7,016,590)          (884,410)
                                                       ----------------   ---------------- 
  TOTAL DISTRIBUTIONS                                       (13,019,195)        (4,578,840)
                                                       ----------------   ---------------- 
  SHARE TRANSACTIONS                                                                       
    Proceeds from sales of shares                           152,836,926         96,600,299 
    Value of distributions reinvested                         8,817,716          3,354,989 
    Cost of shares redeemed                                 (44,106,666)       (46,103,702)
                                                       ----------------   ---------------- 
  TOTAL SHARE TRANSACTIONS                                  117,547,976         53,851,586 
                                                       ----------------   ---------------- 
  TOTAL INCREASE IN NET ASSETS                              100,414,946         63,036,974 

NET ASSETS                                                                                 
  Beginning of Period                                       179,059,385        116,022,411 
                                                       ----------------   ---------------- 
  End of Period                                        $    279,474,331   $    179,059,385 
                                                       ================   ================ 

UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT                                             
 INCOME, END OF PERIOD                                 $         33,522   $            (35)

CAPITAL SHARE TRANSACTIONS                                                                 
  Shares sold by subscription                                14,621,743          9,055,986 
  Issued for distributions reinvested                           857,120            313,715 
  Shares redeemed                                            (4,214,362)        (4,311,516)
                                                       ----------------   ---------------- 
  Net increase in fund shares                                11,264,501          5,058,185 
                                                       ================   ================ 

SEE NOTES TO FINANCIAL STATEMENTS.

64

N-CSR
69th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 69th
                                                        [Enlarge/Download Table]

                                                                SA U.S. MARKET FUND                     SA U.S. HBtM FUND          
                                                       -----------------------------------    ------------------------------------ 
                                                          YEAR ENDED         YEAR ENDED          YEAR ENDED          YEAR ENDED    
                                                          6/30/2004          6/30/2003           6/30/2004           6/30/2003     
---------------------------------------------------------------------------------------------------------------------------------- 
                                                                                                                                   
INCREASE (DECREASE) IN NET ASSETS                                                                                                  
  OPERATIONS:                                                                                                                      
    Net investment income                              $      1,179,999   $        810,125    $        438,435    $        305,142 
    Net realized gain (loss) on investments and                                                                                    
      foreign currency transactions                             443,962         (2,046,904)          2,493,375          (2,053,293)
    Net increase (decrease) in unrealized                                                                                          
      appreciation (depreciation)                            34,191,245          6,194,276          21,983,739           5,346,832 
                                                       ----------------   ----------------    ----------------    ---------------- 
    Net increase (decrease) from operations                  35,815,206          4,957,497          24,915,549           3,598,681 
                                                       ----------------   ----------------    ----------------    ---------------- 
  DISTRIBUTIONS TO SHAREHOLDERS FROM:                                                                                              
    Net investment income                                    (1,153,538)          (590,344)           (413,852)           (181,441)
    Net realized gains                                               --                 --                  --                  -- 
                                                       ----------------   ----------------    ----------------    ---------------- 
  TOTAL DISTRIBUTIONS                                        (1,153,538)          (590,344)           (413,852)           (181,441)
                                                       ----------------   ----------------    ----------------    ---------------- 
  SHARE TRANSACTIONS                                                                                                               
    Proceeds from sales of shares                           124,197,121         78,478,697          70,539,416          46,140,184 
    Value of distributions reinvested                           794,363            445,631             296,345             143,792 
    Cost of shares redeemed                                 (30,749,207)       (30,774,853)        (19,334,268)        (18,813,453)
                                                       ----------------   ----------------    ----------------    ---------------- 
  TOTAL SHARE TRANSACTIONS                                   94,242,277         48,149,475          51,501,493          27,470,523 
                                                       ----------------   ----------------    ----------------    ---------------- 
  TOTAL INCREASE IN NET ASSETS                              128,903,945         52,516,628          76,003,190          30,887,763 

NET ASSETS                                                                                                                         
  Beginning of Period                                       160,569,313        108,052,685          88,551,964          57,664,201 
                                                       ----------------   ----------------    ----------------    ---------------- 
  End of Period                                        $    289,473,258   $    160,569,313    $    164,555,154    $     88,551,964 
                                                       ================   ================    ================    ================ 
UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT                                                                                     
 INCOME, END OF PERIOD                                 $        432,561   $        406,083    $        187,289    $        162,614 

CAPITAL SHARE TRANSACTIONS                                                                                                         
  Shares sold by subscription                                12,910,840         10,148,251           6,990,572           6,031,389 
  Issued for distributions reinvested                            82,062             58,559              29,111              18,870 
  Shares redeemed                                            (3,200,815)        (4,003,582)         (1,940,365)         (2,461,777)
                                                       ----------------   ----------------    ----------------    ---------------- 
  Net increase in fund shares                                 9,792,087          6,203,228           5,079,318           3,588,482 
                                                       ================   ================    ================    ================ 

65

N-CSR
70th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 70th
                                                        [Enlarge/Download Table]

                                                              SA U.S. SMALL COMPANY        
                                                       ----------------------------------- 
                                                          YEAR ENDED         YEAR ENDED    
                                                          6/30/2004          6/30/2003     
------------------------------------------------------------------------------------------ 
                                                                                           
INCREASE (DECREASE) IN NET ASSETS                                                          
  OPERATIONS:                                                                              
    Net investment income (loss)                       $       (482,132)  $       (212,839)
    Net realized gain (loss) on investments and                                            
     foreign currency transactions                            4,457,130         (2,489,047)
    Net increase (decrease) in unrealized                                                  
     appreciation (depreciation)                             24,643,939          5,288,388 
                                                       ----------------   ---------------- 
    Net increase (decrease) from operations                  28,618,937          2,586,502 
                                                       ----------------   ---------------- 
  DISTRIBUTIONS TO SHAREHOLDERS FROM:                                                      
    Net investment income                                            --                 -- 
    Net realized gains                                               --                 -- 
                                                       ----------------   ---------------- 
  TOTAL DISTRIBUTIONS                                                --                 -- 
                                                       ----------------   ---------------- 
  SHARE TRANSACTIONS                                                                       
    Proceeds from sales of shares                            55,183,019         32,029,600 
    Value of distributions reinvested                                --                 -- 
    Cost of shares redeemed                                 (16,919,753)       (12,320,336)
                                                       ----------------   ---------------- 
  TOTAL SHARE TRANSACTIONS                                   38,263,266         19,709,264 
                                                       ----------------   ---------------- 
  TOTAL INCREASE IN NET ASSETS                               66,882,203         22,295,766 

NET ASSETS                                                                                 
  Beginning of Period                                        76,149,984         53,854,218 
                                                       ----------------   ---------------- 
  End of Period                                        $    143,032,187   $     76,149,984 
                                                       ================   ================ 

UNDISTRIBUTED NET INVESTMENT INCOME, END OF PERIOD     $             --   $             -- 

CAPITAL SHARE TRANSACTIONS                                                                 
  Shares sold by subscription                                 3,665,977          3,071,518 
  Issued for distributions reinvested                                --                 -- 
  Shares redeemed                                            (1,130,095)        (1,201,512)
                                                       ----------------   ---------------- 
  Net increase in fund shares                                 2,535,882          1,870,006 
                                                       ================   ================ 

 SEE NOTE TO FINANCIAL STATEMENTS.

66

N-CSR
71st “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 71st
                                                        [Enlarge/Download Table]

                                                            SA INTERNATIONAL HBtM FUND         SA INTERNATIONAL SMALL COMPANY FUND 
                                                       -----------------------------------    ------------------------------------ 
                                                          YEAR ENDED         YEAR ENDED          YEAR ENDED          YEAR ENDED    
                                                          6/30/2004          6/30/2003           6/30/2004           6/30/2003     
---------------------------------------------------------------------------------------------------------------------------------- 
                                                                                                                                   
INCREASE (DECREASE) IN NET ASSETS                                                                                                  
  OPERATIONS:                                                                                                                      
    Net investment income (loss)                       $      2,082,854   $      1,479,685    $      1,068,163    $        195,122 
    Net realized gain (loss) on investments and                                                                                    
     foreign currency transactions                            9,555,765        (13,381,688)          1,486,114          (1,116,898)
    Net increase (decrease) in unrealized                                                                                          
     appreciation (depreciation)                             53,318,910         11,565,147          24,358,504           6,414,067 
                                                       ----------------   ----------------    ----------------    ---------------- 
    Net increase (decrease) from operations                  64,957,529           (336,856)         26,912,781           5,492,291 
                                                       ----------------   ----------------    ----------------    ---------------- 
  DISTRIBUTIONS TO SHAREHOLDERS FROM:                                                                                              
    Net investment income                                    (1,980,137)          (718,941)           (506,706)           (223,401)
    Net realized gains                                               --                 --                  --                  -- 
                                                       ----------------   ----------------    ----------------    ---------------- 
  TOTAL DISTRIBUTIONS                                        (1,980,137)          (718,941)           (506,706)           (223,401)
                                                       ----------------   ----------------    ----------------    ---------------- 
  SHARE TRANSACTIONS                                                                                                               
    Proceeds from sales of shares                           113,736,865         94,511,358          41,578,850          42,332,764 
    Value of distributions reinvested                         1,387,833            569,260             367,109             180,162 
    Cost of shares redeemed                                 (47,091,570)       (63,348,445)        (20,929,059)        (32,609,260)
                                                       ----------------   ----------------    ----------------    ---------------- 
  TOTAL SHARE TRANSACTIONS                                   68,033,128         31,732,173          21,016,900           9,903,666 
                                                       ----------------   ----------------    ----------------    ---------------- 
  TOTAL INCREASE IN NET ASSETS                              131,010,520         30,676,376          47,422,975          15,172,556 

NET ASSETS                                                                                                                         
  Beginning of Period                                       154,891,831        124,215,455          54,466,025          39,293,469 
                                                       ----------------   ----------------    ----------------    ---------------- 
  End of Period                                        $    285,902,351   $    154,891,831    $    101,889,000    $     54,466,025 
                                                       ================   ================    ================    ================ 

UNDISTRIBUTED NET INVESTMENT INCOME, END OF PERIOD     $      1,968,766   $      1,606,295    $        587,466    $         26,009 

CAPITAL SHARE TRANSACTIONS                                                                                                         
  Shares sold by subscription                                11,253,001         12,976,779           3,399,455           5,094,689 
  Issued for distributions reinvested                           136,463             80,746              30,239              23,068 
  Shares redeemed                                            (4,720,210)        (8,697,369)         (1,735,358)         (3,880,114)
                                                       ----------------   ----------------    ----------------    ---------------- 
  Net increase in fund shares                                 6,669,254          4,360,156           1,694,336           1,237,643 
                                                       ================   ================    ================    ================ 

67

N-CSR
72nd “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 72nd
FINANCIAL HIGHLIGHTS                                                            

                                                        [Enlarge/Download Table]

                                                                              SA FIXED                      
                                                                             INCOME FUND                    
                                                          ------------------------------------------------- 
                                                            YEAR ENDED       YEAR ENDED        YEAR ENDED   
                                                          JUNE 30, 2004     JUNE 30, 2003     JUNE 30, 2002 
----------------------------------------------------------------------------------------------------------- 
                                                                                                            
Net Asset Value, Beginning of Period                      $       10.91     $       10.21     $        9.87 
                                                          -------------     -------------     ------------- 

INCOME FROM INVESTMENT OPERATIONS:                                                                          
  Net investment income                                            0.24              0.31              0.30 
  Net realized and unrealized gain (loss)                                                                   
   on investments                                                 (0.44)             0.72              0.34 
                                                          -------------     -------------     ------------- 
Total from investment operations                                  (0.20)             1.03              0.64 
                                                          -------------     -------------     ------------- 

LESS DISTRIBUTIONS:                                                                                         
  Dividends from net investment income                            (0.27)            (0.26)            (0.28)
  Distributions from capital gains                                (0.34)            (0.07)            (0.02)
                                                          -------------     -------------     ------------- 
Total distributions                                               (0.61)            (0.33)            (0.30)
                                                          -------------     -------------     ------------- 

Net asset value, end of period                            $       10.10     $       10.91     $       10.21 
                                                          =============     =============     ============= 

Total return (1)                                                  (1.88)%           10.19%             6.59%
Net assets, end of period (000s)                          $     279,474     $     179,059     $     116,022 
Ratio of net expenses to average net assets (2)                    1.00%             0.89%             0.85%
Ratio of gross expenses to average net assets (2)(3)               1.34%             1.40%             1.59%
Ratio of net investment income to average                                                                   
  net assets (2)                                                   2.33%             3.00%             3.59%
Portfolio turnover rate (1)                                          83%               85%               77%

Without giving effect to the voluntary expense                                                              
  limitations described in Note 2 to the                                                                    
  Financial Statements, net investment                                                                      
  income per share would have been (3)                    $        0.20     $        0.27     $        0.24 


                                                                      SA FIXED                              
                                                                     INCOME FUND                            
                                                          --------------------------------                  
                                                           YEAR ENDED       PERIOD ENDED                    
                                                          JUNE 30, 2001     JUNE 30, 2000*                  
                                                          --------------------------------                  
                                                            (I CLASS)         (I CLASS)                     
                                                                                                            
Net Asset Value, Beginning of Period                      $       10.04     $        10.00                  
                                                          -------------     --------------                  

INCOME FROM INVESTMENT OPERATIONS:                                                                          
  Net investment income                                            0.44               0.35                  
  Net realized and unrealized gain (loss)                                                                   
   on investments                                                  0.13               0.03                  
                                                          -------------     --------------                  
Total from investment operations                                   0.57               0.38                  
                                                          -------------     --------------                  

LESS DISTRIBUTIONS:                                                                                         
  Dividends from net investment income                            (0.74)             (0.34)                 
  Distributions from capital gains                                   --                 --                  
                                                          -------------     --------------                  
Total distributions                                               (0.74)             (0.34)                 
                                                          -------------     --------------                  

Net asset value, end of period                            $        9.87     $        10.04                  
                                                          =============     =============                   

Total return (1)                                                   5.88%              3.90%                 
Net assets, end of period (000s)                          $      45,455     $       15,165                  
Ratio of net expenses to average net assets (2)                    0.87%              1.00%                 
Ratio of gross expenses to average net assets (2)(3)               2.06%              3.08%                 
Ratio of net investment income to average                                                                   
  net assets (2)                                                   4.20%              4.35%                 
Portfolio turnover rate (1)                                         135%                20%                 
Without giving effect to the voluntary expense                                                              
  limitations described in Note 2 to the                                                                    
  Financial Statements, net investment                                                                      
  income per share would have been (3)                    $        0.31     $         0.18                  

*  From commencement of operations, July 29, 1999.                          
(1)  Periods less than one year are not annualized.                             
(2)  Annualized for periods less than one year.                                 
(3)  Gross expenses before waivers and reimbursement of expenses.               

SEE NOTES TO FINANCIAL STATEMENTS.

68

N-CSR
73rd “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 73rd
                                                        [Enlarge/Download Table]

                                                                                SA U.S.                      
                                                                             MARKET FUND                     
                                                          -------------------------------------------------  
                                                           YEAR ENDED         YEAR ENDED       YEAR ENDED    
                                                          JUNE 30, 2004     JUNE 30, 2003     JUNE 30, 2002  
-----------------------------------------------------------------------------------------------------------  
                                                                                                             
Net Asset Value, Beginning of Period                      $        8.54     $        8.57     $       10.26  
                                                          -------------     -------------     -------------  
INCOME FROM INVESTMENT OPERATIONS:                                                                           
  Net investment income                                            0.04              0.05              0.03  
  Net realized and unrealized gain (loss)                                                                    
    on investments                                                 1.59             (0.04)            (1.69) 
                                                          -------------     -------------     -------------  
Total from investment operations                                   1.63              0.01             (1.66) 
                                                          -------------     -------------     -------------  

LESS DISTRIBUTIONS:                                                                                          
  Dividends from net investment income                            (0.05)            (0.04)            (0.03) 
  Distributions from capital gains                                   --                --                --  
                                                          -------------     -------------     -------------  
Total distributions                                               (0.05)            (0.04)            (0.03) 
                                                          -------------     -------------     -------------  

Net asset value, end of period                            $       10.12     $        8.54     $        8.57  
                                                          =============     =============     =============  

Total return (1)                                                  19.12%             0.17%           (16.20)%
Net assets, end of period (000s)                          $     289,473     $     160,569     $     108,053  
Ratio of net expenses to average net assets (2)                    1.08%             0.97%             0.92% 
Ratio of gross expenses to average net assets (2)(3)               1.24%             1.38%             1.52% 
Ratio of net investment income to average                                                                    
  net assets (2)                                                   0.52%             0.67%             0.43% 
Portfolio turnover rate (1)                                           1%                2%                1% 
Without giving effect to the voluntary expense                                                               
  limitations described in Note 2 to the                                                                     
  Financial Statements, net investment                                                                       
  income (loss) per share would have been (3)             $        0.03     $        0.02     $       (0.01) 


                                                                      SA U.S.                                
                                                                    MARKET FUND                              
                                                        ----------------------------------                   
                                                            YEAR ENDED       PERIOD ENDED                    
                                                          JUNE 30, 2001     JUNE 30, 2000*                   
------------------------------------------------------------------------------------------                   
                                                            (I CLASS)         (I CLASS)                      
                                                                                                             
Net Asset Value, Beginning of Period                      $       11.59     $        10.00                   
                                                          -------------     --------------                   

INCOME FROM INVESTMENT OPERATIONS:                                                                           
  Net investment income                                            0.04               0.02                   
  Net realized and unrealized gain (loss)                                                                    
    on investments                                                (1.30)              1.57                   
                                                          -------------     --------------                   
Total from investment operations                                  (1.26)              1.59                   
                                                          -------------     --------------                   

LESS DISTRIBUTIONS:                                                                                          
  Dividends from net investment income                            (0.04)                --                   
  Distributions from capital gains                                (0.03)                --                   
                                                          -------------     --------------                   
Total distributions                                               (0.07)                --                   
                                                          -------------     --------------                   

Net asset value, end of period                            $       10.26     $        11.59                   
                                                          =============     ==============                   

Total return (1)                                                 (10.89)%            15.90%                  
Net assets, end of period (000s)                          $      55,605     $       16,188                   
Ratio of net expenses to average net assets (2)                    0.95%              1.08%                  
Ratio of gross expenses to average net assets (2)(3)               1.87%              3.33%                  
Ratio of net investment income to average                                                                    
  net assets (2)                                                   0.44%              0.43%                  
Portfolio turnover rate (1)                                          16%                 1%                  
Without giving effect to the voluntary expense                                                               
  limitations described in Note 2 to the                                                                     
  Financial Statements, net investment                                                                       
  income (loss) per share would have been (3)             $       (0.04)    $        (0.09)                  

*  From commencement of operations, August 5, 1999.                         
(1)  Periods less than one year are not annualized.                             
(2)  Annualized for periods less than one year.                                 
(3)  Gross expenses before waivers and reimbursement of expenses.               

SEE NOTES TO FINANCIAL STATEMENTS.

69

N-CSR
74th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 74th
                                                        [Enlarge/Download Table]

                                                                                SA U.S.                       
                                                                               HBtM FUND                      
                                                          --------------------------------------------------  
                                                            YEAR ENDED         YEAR ENDED       YEAR ENDED    
                                                          JUNE 30, 2004      JUNE 30, 2003     JUNE 30, 2002  
------------------------------------------------------------------------------------------------------------  
                                                                                                              
Net Asset Value, Beginning of Period                      $        8.70     $         8.75    $        11.02  
                                                          -------------     --------------    --------------  

INCOME FROM INVESTMENT OPERATIONS:                                                                            
  Net investment income                                            0.03               0.03              0.01  
  Net realized and unrealized gain (loss)                                                                     
   on investments                                                  2.09              (0.06)            (2.24) 
                                                          -------------     --------------    --------------  
Total from investment operations                                   2.12              (0.03)            (2.23) 
                                                          -------------     --------------    --------------  

LESS DISTRIBUTIONS:                                                                                           
  Dividends from net investment income                            (0.03)             (0.02)            (0.04) 
  Distributions from capital gains                                   --                 --                --  
                                                          -------------     --------------    --------------  
Total distributions                                               (0.03)             (0.02)            (0.04) 
                                                          -------------     --------------    --------------  

Net asset value, end of period                            $       10.79     $         8.70    $         8.75  
                                                          =============     ==============    ==============  

Total return (1)                                                  24.46%             (0.27)%          (20.31)%
Net assets, end of period (000s)                          $     164,555     $       88,552    $       57,664  
Ratio of net expenses to average net assets (2)                    1.13%              1.08%             1.05% 
Ratio of gross expenses to average net assets (2)(3)               1.51%              1.75%             1.92% 
Ratio of net investment income to average                                                                     
  net assets (2)                                                   0.35%              0.47%             0.23% 
Portfolio turnover rate (1)                                           9%                 7%                3% 
Without giving effect to the voluntary expense                                                                
  limitations described in Note 2 to the                                                                      
  Financial Statements, net investment                                                                        
  loss per share would have been (3)                      $       (0.00)**  $        (0.02)   $        (0.04) 


                                                                      SA U.S.                                 
                                                                     HBtM FUND                                
                                                          --------------------------------                    
                                                           YEAR ENDED        PERIOD ENDED                     
                                                          JUNE 30, 2001     JUNE 30, 2000*                    
------------------------------------------------------------------------------------------                    
                                                            (I CLASS)         (I CLASS)                       
                                                                                                              
Net Asset Value, Beginning of Period                      $        8.62     $        10.00                    
                                                          -------------     --------------                    

INCOME FROM INVESTMENT OPERATIONS:                                                                            
  Net investment income                                            0.08               0.06                    
  Net realized and unrealized gain (loss)                                                                     
   on investments                                                  2.46              (1.44)                   
                                                          -------------     --------------                    
Total from investment operations                                   2.54              (1.38)                   
                                                          -------------     --------------                    

LESS DISTRIBUTIONS:                                                                                           
  Dividends from net investment income                            (0.11)                --                    
  Distributions from capital gains                                (0.03)                --                    
                                                          -------------     --------------                    
Total distributions                                               (0.14)                --                    
                                                          -------------     --------------                    

Net asset value, end of period                            $       11.02     $         8.62                    
                                                          =============     ==============                    

Total return (1)                                                  29.69%            (13.80)%                  
Net assets, end of period (000s)                          $      29,578     $        6,987                    
Ratio of net expenses to average net assets (2)                    1.07%              1.13%                   
Ratio of gross expenses to average net assets (2)(3)               2.61%              5.67%                   
Ratio of net investment income to average                                                                     
  net assets (2)                                                   1.03%              1.57%                   
Portfolio turnover rate (1)                                          26%                 3%                   
Without giving effect to the voluntary expense                                                                
  limitations described in Note 2 to the                                                                      
  Financial Statements, net investment                                                                        
  loss per share would have been (3)                      $       (0.04)    $        (0.12)                   

*  From commencement of operations, August 5, 1999.                         
**  Amount rounds to less than $0.01 per share.                               
(1)  Periods less than one year are not annualized.                             
(2)  Annualized for periods less than one year.                                 
(3)  Gross expenses before waivers and reimbursement of expenses.               

SEE NOTES TO FINANCIAL STATEMENTS.

70

N-CSR
75th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 75th
                                                        [Enlarge/Download Table]

                                                                                SA U.S.                      
                                                                          SMALL COMPANY FUND                 
                                                          -------------------------------------------------  
                                                           YEAR ENDED        YEAR ENDED        YEAR ENDED    
                                                          JUNE 30, 2004     JUNE 30, 2003     JUNE 30, 2002  
-----------------------------------------------------------------------------------------------------------  
                                                                                                             
Net Asset Value, Beginning of Period                      $       12.15     $       12.24     $       13.68  
                                                          -------------     -------------     -------------  

INCOME FROM INVESTMENT OPERATIONS:                                                                           
  Net investment loss                                             (0.05)            (0.03)            (0.05) 
  Net realized and unrealized gain (loss)                                                                    
   on investments                                                  4.14             (0.06)            (1.39) 
                                                          -------------     -------------     -------------  
Total from investment operations                                   4.09             (0.09)            (1.44) 
                                                          -------------     -------------     -------------  

LESS DISTRIBUTIONS:                                                                                          
  Distributions from capital gains                                   --                --                --  
                                                          -------------     -------------     -------------  
Total distributions                                                  --                --                --  
                                                          -------------     -------------     -------------  

Net asset value, end of period                            $       16.24     $       12.15     $       12.24  
                                                          =============     =============     =============  

Total return (1)                                                  33.66%            (0.74)%          (10.52)%
Net assets, end of period (000s)                          $     143,032     $      76,150     $      53,854  
Ratio of net expenses to average net assets (2)                    1.28%             1.26%             1.25% 
Ratio of gross expenses to average net assets (2)(3)               1.74%             2.11%             2.38% 
Ratio of net investment loss to average net assets (2)            (0.44)%           (0.38)%           (0.51)%
Portfolio turnover rate (1)                                           6%                7%                5% 
Without giving effect to the voluntary expense                                                               
  limitations described in Note 2 to the                                                                     
  Financial Statements, net investment loss                                                                  
  per share would have been (3)                           $       (0.11)    $       (0.11)    $       (0.15) 


                                                                      SA U.S.                                
                                                                SMALL COMPANY FUND                           
                                                          --------------------------------                   
                                                            YEAR ENDED       PERIOD ENDED                    
                                                          JUNE 30, 2001     JUNE 30, 2000*                   
------------------------------------------------------------------------------------------                   
                                                            (I CLASS)          (I CLASS)                     
                                                                                                             
Net Asset Value, Beginning of Period                      $       12.58     $        10.00                   
                                                          -------------     --------------                   

INCOME FROM INVESTMENT OPERATIONS:                                                                           
  Net investment loss                                             (0.03)             (0.01)                  
  Net realized and unrealized gain (loss)                                                                    
   on investments                                                  1.16               2.59                   
                                                          -------------     --------------                   
Total from investment operations                                   1.13               2.58                   
                                                          -------------     --------------                   

LESS DISTRIBUTIONS:                                                                                          
  Distributions from capital gains                                (0.03)                --                   
                                                          -------------     --------------                   
Total distributions                                               (0.03)                --                   
                                                          -------------     --------------                   

Net asset value, end of period                            $       13.68     $        12.58                   
                                                          =============     ==============                   

Total return (1)                                                   9.02%             25.80%                  
Net assets, end of period (000s)                          $      29,252     $        6,836                   
Ratio of net expenses to average net assets (2)                    1.26%              1.28%                  
Ratio of gross expenses to average net assets (2)(3)               3.32%              6.62%                  
Ratio of net investment loss to average net assets (2)            (0.28)%            (0.18)%                 
Portfolio turnover rate (1)                                          17%                 4%                  
Without giving effect to the voluntary expense                                                               
  limitations described in Note 2 to the                                                                     
  Financial Statements, net investment loss                                                                  
  per share would have been (3)                           $       (0.22)    $        (0.30)                  

*  From commencement of operations, August 5, 1999.                         
(1)  Periods less than one year are not annualized.                             
(2)  Annualized for periods less than one year.                                 
(3)  Gross expenses before waivers and reimbursement of expenses.               

SEE NOTES TO FINANCIAL STATEMENTS.

71

N-CSR
76th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 76th
                                                        [Enlarge/Download Table]

                                                                                  SA INTERNATIONAL                         
                                                                                     HBtM FUND                             
                                                            -----------------------------------------------------------    
                                                              YEAR ENDED             YEAR ENDED             YEAR ENDED     
                                                            JUNE 30, 2004          JUNE 30, 2003          JUNE 30, 2002    
-----------------------------------------------------------------------------------------------------------------------    
                                                                                                                           
Net Asset Value, Beginning of Period                        $        8.19          $        8.54          $        9.41    
                                                            -------------          -------------          -------------    

INCOME FROM INVESTMENT OPERATIONS:                                                                                         
  Net investment income                                              0.08                   0.07                   0.03    
  Net realized and unrealized gain (loss)                                                                                  
    on investments                                                   3.00                  (0.38)                 (0.79)   
                                                            -------------          -------------          -------------    
Total from investment operations                                     3.08                  (0.31)                 (0.76)   
                                                            -------------          -------------          -------------    

LESS DISTRIBUTIONS:                                                                                                        
  Dividends from net investment income                              (0.09)                 (0.04)                 (0.07)   
  Distributions from capital gains                                     --                     --                  (0.04)   
                                                            -------------          -------------          -------------    
Total distributions                                                 (0.09)                 (0.04)                 (0.11)   
                                                            -------------          -------------          -------------    

Net asset value, end of period                              $       11.18          $        8.19          $        8.54    
                                                            =============          =============          =============    

Total return (1)                                                    37.76%                 (3.51)%                (8.08)%  
Net assets, end of period (000s)                            $     285,902          $     154,892          $     124,215    
Ratio of net expenses to average net assets (2)                      1.53%                  1.47%                  1.45%   
Ratio of gross expenses to average net assets (2)                    1.71%(4)               1.71%(3)               1.80%(3)
Ratio of net investment income to average                                                                                  
  net assets (2)                                                     0.94%                  1.18%                  0.91%   
Portfolio turnover rate (1)                                            12%                    13%                     3%   
Without giving effect to the voluntary expense                                                                             
  limitations described in Note 2 to the                                                                                   
  Financial Statements, net investment                                                                                     
  income per share would have been (3)                      $        0.07          $        0.07          $        0.02    


                                                                      SA INTERNATIONAL                                     
                                                                          HBtM FUND                                        
                                                            -------------------------------------                          
                                                              YEAR ENDED            PERIOD ENDED                           
                                                            JUNE 30, 2001          JUNE 30, 2000*                          
-------------------------------------------------------------------------------------------------                          
                                                              (I CLASS)              (I CLASS)                             
                                                                                                                           
Net Asset Value, Beginning of Period                        $        9.99          $        10.00                          
                                                            -------------          --------------                          

INCOME FROM INVESTMENT OPERATIONS:                                                                                         
  Net investment income                                              0.09                    0.11                          
  Net realized and unrealized gain (loss)                                                                                  
    on investments                                                  (0.60)                  (0.08)                         
                                                            -------------          --------------                          
Total from investment operations                                    (0.51)                   0.03                          
                                                            -------------          --------------                          

LESS DISTRIBUTIONS:                                                                                                        
  Dividends from net investment income                              (0.06)                  (0.04)                         
  Distributions from capital gains                                  (0.01)                     --                          
                                                            -------------          --------------                          
Total distributions                                                 (0.07)                  (0.04)                         
                                                            -------------          --------------                          

Net asset value, end of period                              $        9.41          $         9.99                          
                                                            =============          =============                           

Total return (1)                                                    (5.15)%                  0.36%                         
Net assets, end of period (000s)                            $      60,642          $       21,192                          
Ratio of net expenses to average net assets (2)                      1.47%                   1.53%                         
Ratio of gross expenses to average net assets (2)                    2.10%(3)                3.66%(3)                      
Ratio of net investment income to average                                                                                  
  net assets (2)                                                     1.27%                   2.22%                         
Portfolio turnover rate (1)                                            12%                      2%                         
Without giving effect to the voluntary expense                                                                             
  limitations described in Note 2 to the                                                                                   
  Financial Statements, net investment                                                                                     
  income per share would have been (3)                      $        0.05          $         0.00**                        

*  From commencement of operations, August 5, 1999.                         
**  Amount rounds to less than $0.01 per share.                               
(1)  Periods less than one year are not annualized.                             
(2)  Annualized for periods less than one year.                                 
(3)  Gross expenses before waivers and reimbursement of expenses.               
(4)  Gross expenses include effect of $265,139 of expense recapture by manager, 
an increase of 0.12% on an annualized basis.                          

SEE NOTES TO FINANCIAL STATEMENTS.

72

N-CSR
77th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 77th
                                                        [Enlarge/Download Table]

                                                                               SA INTERNATIONAL SMALL                      
                                                                                    COMPANY FUND                           
                                                            -----------------------------------------------------------    
                                                              YEAR ENDED             YEAR ENDED             YEAR ENDED     
                                                            JUNE 30, 2004          JUNE 30, 2003          JUNE 30, 2002    
-----------------------------------------------------------------------------------------------------------------------    
                                                                                                                           
Net Asset Value, Beginning of Period                        $        9.85          $        9.16          $        9.18    
                                                            -------------          -------------          -------------    

INCOME FROM INVESTMENT OPERATIONS:                                                                                         
  Net investment income                                              0.16                   0.04                   0.01    
  Net realized and unrealized gain (loss)                                                                                  
   on investments                                                    4.18                   0.70                   0.03    
                                                            -------------          -------------          -------------    
Total from investment operations                                     4.34                   0.74                   0.04    
                                                            -------------          -------------          -------------    

LESS DISTRIBUTIONS:                                                                                                        
  Dividends from net investment income                              (0.08)                 (0.05)                 (0.06)   
  Distributions from capital gains                                     --                     --                     --    
                                                            -------------          -------------          -------------    
Total distributions                                                 (0.08)                 (0.05)                 (0.06)   
                                                            -------------          -------------          -------------    

Net asset value, end of period                              $       14.11          $        9.85          $        9.16    
                                                            =============          =============          =============    

Total return (1)                                                    44.21%                  8.16%                  0.47%   
Net assets, end of period (000s)                            $     101,889          $      54,466          $      39,293    
Ratio of net expenses to average net assets (2)                      1.28%                  1.28%                  1.28%   
Ratio of gross expenses to average net assets (2)                    1.31%(4)               1.62%(3)               1.92%(3)
Ratio of net investment income to average                                                                                  
  net assets (2)                                                     1.35%                  0.47%                  0.39%   
Portfolio turnover rate (1)                                           N/A                    N/A                    N/A    
Without giving effect to the voluntary expense                                                                             
  limitations described in Note 2 to the                                                                                   
  Financial Statements, net investment                                                                                     
  income (loss) per share would have been (3)               $        0.16          $        0.01          $       (0.01)   


                                                                   SA INTERNATIONAL SMALL                                  
                                                                       COMPANY FUND                                        
                                                            -------------------------------------                          
                                                             YEAR ENDED             PERIOD ENDED                           
                                                            JUNE 30, 2001          JUNE 30, 2000*                          
-------------------------------------------------------------------------------------------------                          
                                                              (I CLASS)              (I CLASS)                             
                                                                                                                           
Net Asset Value, Beginning of Period                        $       10.42          $        10.00                          
                                                            -------------          --------------                          

INCOME FROM INVESTMENT OPERATIONS:                                                                                         
  Net investment income                                              0.05                    0.17                          
  Net realized and unrealized gain (loss)                                                                                  
   on investments                                                   (1.11)                   0.47                          
                                                            -------------          --------------                          
Total from investment operations                                    (1.06)                   0.64                          
                                                            -------------          --------------                          

LESS DISTRIBUTIONS:                                                                                                        
  Dividends from net investment income                                 --                   (0.22)                         
  Distributions from capital gains                                  (0.18)                     --                          
                                                            -------------          --------------                          
Total distributions                                                 (0.18)                  (0.22)                         
                                                            -------------          --------------                          

Net asset value, end of period                              $        9.18          $        10.42                          
                                                            =============          ==============                          

Total return (1)                                                   (10.15)%                  5.84%                         
Net assets, end of period (000s)                            $      17,850          $        5,613                          
Ratio of net expenses to average net assets (2)                      1.29%                   1.28%                         
Ratio of gross expenses to average net assets (2)                    3.04%(3)                7.08%(3)                      
Ratio of net investment income to average                                                                                  
  net assets (2)                                                     0.68%                   0.95%                         
Portfolio turnover rate (1)                                           N/A                      25%                         
Without giving effect to the voluntary expense                                                                             
  limitations described in Note 2 to the                                                                                   
  Financial Statements, net investment                                                                                     
  income (loss) per share would have been (3)               $       (0.08)         $        (0.86)                         

*  From commencement of operations, August 5, 1999.                         
(1)  Periods less than one year are not annualized.                             
(2)  Annualized for periods less than one year.                                 
(3)  Gross expenses before waivers and reimbursement of expenses.               
(4)  Gross expenses include effect of $3,766 expense recapture by manager, an   
increase of less than 0.005% on an annualized basis.                  
N/A  Refer to financial statements of the respective Master Fund, included      
elsewhere in this report.                                             

SEE NOTES TO FINANCIAL STATEMENTS.

73

N-CSR
78th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 78th
SA Funds                                                                        

NOTES TO FINANCIAL STATEMENTS -- JUNE 30, 2004                                  

1.   ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES                           

SA Funds -- Investment Trust (the "Trust") was organized as a Delaware
business trust on June 16, 1998. The Agreement and Declaration of Trust permits 
the Trust to offer separate portfolios ("Funds") of shares of beneficial        
interest and different classes of shares of each Fund. The Trust currently      
offers six Funds, each of which is registered under the Investment Company Act  
of 1940 (the "1940 Act"), and is a diversified mutual fund as defined in the    
1940 Act. The Trust currently offers the following Funds:                       

SA Fixed Income Fund                                                  
SA U.S. Market Fund                                                   
SA U.S. HBtM Fund                                                     
SA U.S. Small Company Fund                                            
SA International HBtM Fund                                            
SA International Small Company Fund                                   

     All of the Funds commenced investment operations on August 5, 1999 with the
exception of SA Fixed Income Fund, which commenced operations on July 29, 1999. 

     Prior to October 30, 2000, the Funds offered two classes of shares -- Class
I and Class S. Effective after the close of business on August 11, 2000, the    
Class S shares of all SA Funds were consolidated into Class I shares, such that 
the Funds no longer had Class S shares outstanding. The Trust's Board of        
Trustees then eliminated the Trust's multi-class plan, effective October 30,    
2000, and all outstanding shares of the Funds are now designated as "shares"    
(without a class denomination).                                                 

  Effective October 30, 2000, SA International Small Company Fund became a
feeder fund in a master/feeder relationship, such that it invests all of its    
investable assets in the International Small Company Portfolio, a series of DFA 
Investment Dimensions Group (the "DFA International Small Company Portfolio" or 
the "Master Fund"). (Prior to the effective date, SA International Small Company
Fund was a fund of funds.) The investment objective and fundamental policies of 
the Master Fund are the same as those of SA International Small Company Fund. As
of June 30, 2004, SA International Small Company Fund held approximately 7.54%  
of the Master Fund. The performance of SA International Small Company Fund is   
directly affected by the performance of the Master Fund. The financial          
statements of the Master Fund are included elsewhere in this report and should  
be read in conjunction with the financial statements of SA International Small  
Company Fund.                                                                   

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   
and disclosures in the financial statements. Actual results could differ from   
those estimates. The following summarizes the significant accounting policies of
the Funds:                                                                      

 SECURITY VALUATION -- Equity securities listed on an exchange for which
market quotations are readily available are valued according to the official    
closing price, if any, or at their last sale price on the exchange where        
primarily traded, or in the absence of such reported sales, at the mean between 
the most recent quoted bid and asked prices. Price information for these listed 
securities is taken from the exchange where the security is principally traded. 
Unlisted equity securities ("over-the-counter" or "OTC") for which market       
quotations are readily available are valued at the mean between the most recent 
quoted bid and asked prices. In the event that market quotations are not readily
available for either exchange listed or OTC securities, such securities will be 
valued at "fair value" as determined in good faith in accordance with the       
Trust's valuation procedures by a pricing and investment committee              

74

N-CSR
79th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 79th
(the "pricing committee") appointed by the Board of Trustees of the Trust.      
Long-term and short-term debt securities are valued based upon prices provided  
by pricing services approved by the Board of Trustees. Debt securities for which
market quotations are not readily available are valued at fair value as         
determined in good faith by the pricing committee. Certain Funds may hold       
securities traded in foreign markets. Foreign securities are valued at the      
market price in the foreign market. However, if events occurring after the close
of the foreign market (but before the close of regular trading on the New York  
Stock Exchange) are believed to materially affect the value of those securities,
such securities are valued at fair value as determined in good faith by the     
pricing committee. Any determinations of fair value made by the pricing         
committee are presented to the Board of Trustees for ratification.              

    The shares of SSgA Government Money Market Fund and SSgA Money Market Fund
held by the Funds, shares of the DFA U.S. MicroCap Portfolio held by SA U.S.    
Market Fund, and shares of the Master Fund held by SA International Small       
Company Fund are valued at the respective daily net asset value of the purchased
fund. Valuation of securities by the Master Fund is discussed in the Master     
Fund's Notes to Financial Statements, which are included elsewhere in this      
report.                                                                         

  REPURCHASE AGREEMENTS -- The Funds may agree to purchase securities from
financial institutions such as member banks of the Federal Reserve System or any
foreign bank or any domestic broker/dealer that is recognized as a reporting    
government securities dealer, subject to the seller's agreement to repurchase   
them at an agreed-upon time and price. Dimensional Fund Advisors, Inc. ("DFA" or
the Funds' "Sub-Adviser"), will review and continuously monitor the             
creditworthiness of the seller under a repurchase agreement, and will require   
the seller to maintain liquid assets segregated on the books of the Fund or the 
Fund's custodian in an amount that is greater than the repurchase price. Default
by, or bankruptcy of, the seller would, however, expose a Fund to possible loss 
because of adverse market action or delays in connection with the disposition of
underlying obligations except with respect to repurchase agreements secured by  
U.S. government securities.                                                     

FOREIGN CURRENCY TRANSLATION AND FOREIGN INVESTMENTS -- The books and 
records of the Funds are maintained in U.S. dollars. The value of securities,   
currencies and other assets and liabilities denominated in currencies other than
U.S. dollars is translated into U.S. dollars based upon foreign currency        
exchange rates prevailing at the end of the period. Purchases and sales of      
investment securities are translated at contractual currency exchange rates     
established at the time of the trade. Income and expenses are translated at     
prevailing exchange rates on the respective dates of such transactions.         

    The results of operations resulting from changes in foreign exchange rates
on investments are not reported separately from fluctuations arising from       
changes in market prices of securities held. All such fluctuations are included 
with net realized and unrealized gain or loss on investments.                   

     SA Fixed Income Fund, SA International HBtM Fund and SA International Small
Company Fund may purchase foreign securities. Investing in foreign securities   
and foreign governments involves special risks and considerations not typically 
associated with investing in U.S. companies and securities of the U.S.          
government. These risks include revaluation of currencies and the risk of       
appropriation. Moreover, the markets for securities of many foreign companies   
and foreign governments may be less liquid and the prices of such securities may
be more volatile than those of securities of comparable U.S. companies and the  
U.S. government.                                                                

     FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS -- Each Fund that may invest in
foreign securities may enter into forward foreign currency exchange contracts. A
forward foreign currency exchange contract is an agreement between two parties  
to buy or sell currency at a set price on a future date. By entering into a     
forward contract for the purchase or sale for a fixed amount of dollars of the  
amount of foreign currency involved in the underlying                           

75

N-CSR
80th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 80th
security transactions, a Fund may be able to protect itself against a possible  
loss resulting from an adverse change in the relationship between the U.S.      
dollar and the applicable foreign currency during the period between the date   
the security is purchased or sold and the date on which payment is made or      
received.                                                                       

  The market value of the contract will fluctuate with changes in currency
exchange rates. The contract is marked-to-market daily using the forward        
currency exchange rate, and the change in market value is recorded as unrealized
appreciation (depreciation) on foreign currency translations in the Funds'      
Statements of Assets and Liabilities. When the contract is closed, realized gain
or loss is recognized, which is 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, and 
recorded as realized gain (loss) on foreign currency transactions in the Funds' 
Statements of Operations.                                                       

Forward foreign currency exchange contracts may involve risks from the
potential inability of counterparties to meet the terms of their contracts and  
from unanticipated movements in the value of a foreign currency relative to the 
U.S. dollar.                                                                    

At June 30, 2004, SA Fixed Income Fund had the following open forward 
foreign currency exchange contract:                                             

                                                        [Enlarge/Download Table]

                                    LOCAL      AGGREGATE                             
                       DELIVERY   CURRENCY       FACE         TOTAL       UNREALIZED 
                         DATE      AMOUNT       AMOUNT        VALUE      DEPRECIATION
                      ---------  ---------   ------------  ------------  ------------
                                                                                     
Swedish Krona (sell)  7/28/2004  61,799,580  $  8,136,877  $  8,206,602  $     69,725

   INVESTMENT TRANSACTIONS, INCOME AND EXPENSES -- Investments in securities
are accounted for as of trade date (the date the buy or sell is executed).      
Dividend income is recorded on the ex-dividend date. Interest income is recorded
on an accrual basis and includes amortization of discounts and premiums based on
the effective interest method. Gains and losses are determined on the identified
cost basis, which is the same as for federal income tax purposes.               

Expenses directly attributable to a specific Fund are charged to the  
respective Fund. Expenses that cannot be attributed to a particular Fund are    
apportioned among the Funds evenly or based on relative net assets.             

     INDEMNIFICATIONS -- Under the Funds' organizational documents, its officers
and trustees are indemnified against certain liability arising out of the       
performance of their duties to the Funds. In addition, in the normal course of  
business the Funds enter into contracts that contain a variety of               
representations and warranties which provide general indemnifications. The      
Funds' maximum exposures under these arrangements are unknown as this would     
involve future claims that may be made against the Funds that have not yet      
occurred. However, the Funds expect the risk of loss to be remote.              

FEDERAL INCOME TAXES -- The Funds' policy is to comply with the       
requirements of the Internal Revenue Code that are applicable to regulated      
investment companies and to distribute all of their taxable income to their     
shareholders. Therefore, no income tax provision is required.                   

76

N-CSR
81st “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 81st
As of June 30, 2004, the following Funds have realized capital loss   
carryforwards, for U.S. federal income tax purposes, available to be used to    
offset future realized capital gains:                                           

                                                                [Download Table]

                                                 EXPIRING        EXPIRING  
FUND                                          JUNE 30, 2010   JUNE 30, 2011
----                                          -------------   -------------
                                                                           
SA U.S. Market Fund                           $   4,768,231   $   2,955,110
SA U.S. HBtM Fund                                        --         978,730
SA U.S. Small Company Fund                               --       2,055,978
SA International HBtM Fund                               --       7,087,756

  As of June 30, 2004, the following Funds have elected for federal income
tax purposes to defer the current year post October 31 capital and currency     
losses as though the losses were incurred on the first day of the next fiscal   
year:                                                                           

                                                                [Download Table]

                                              POST OCTOBER     POST OCTOBER
FUND                                          CAPITAL LOSS    CURRENCY LOSS
----                                          -------------   -------------
                                                                           
SA Fixed Income Fund                          $     470,246   $      36,203

 The tax character of distributions paid to shareholders during 2004 and
2003 were as follows:                                                           

                                                                [Download Table]

                                                       2004                    
                                       ORDINARY     LONG-TERM                  
                                        INCOME     CAPITAL GAIN       TOTAL    
                                     ------------  -------------  -------------
                                                                               
SA Fixed Income Fund                 $  9,260,227  $   3,758,968  $  13,019,195
SA U.S. Market Fund                     1,153,538             --      1,153,538
SA U.S. HBtM Fund                         413,852             --        413,852
SA International HBtM Fund              1,980,137             --      1,980,137
SA International Small Company Fund       506,706             --        506,706

                                                                [Download Table]

                                                      2003                     
                                       ORDINARY     LONG-TERM                  
                                        INCOME     CAPITAL GAIN       TOTAL    
                                     ------------  -------------  -------------
                                                                               
SA Fixed Income Fund                 $  4,480,549  $      98,291  $   4,578,840
SA U.S. Market Fund                       590,344             --        590,344
SA U.S. HBtM Fund                         181,441             --        181,441
SA International HBtM Fund                718,941             --        718,941
SA International Small Company Fund       223,401             --        223,401

 Income and capital gain distributions are determined in accordance with
income tax regulations, which may differ from generally accepted accounting     
principles. These differences are primarily due to differing treatments of      
income and gains on various investment securities held by the Funds, timing     
differences and differing characterizations of distributions made by the Funds. 
Permanent book and tax basis differences relating to shareholder distributions  
will result in reclassifications to paid-in capital.                            

77

N-CSR
82nd “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 82nd
As of June 30, 2004, the components of distributable earnings on a tax
basis were:                                                                     

                                                        [Enlarge/Download Table]

                                                       UNDISTRIBUTED      UNREALIZED      POST OCTOBER                     
                                      UNDISTRIBUTED      LONG-TERM      APPRECIATION/       CAPITAL/        CAPITAL LOSS   
                                     ORDINARY INCOME   CAPITAL GAINS    (DEPRECIATION)    CURRENCY LOSS     CARRYFORWARD   
                                     ---------------  ---------------  ---------------   ---------------   --------------- 
                                                                                                                           
SA Fixed Income Fund                 $            --  $            --  $    (5,244,330)  $      (506,449)  $            -- 
SA U.S. Market Fund                          432,561               --       27,402,320                --        (7,723,341)
SA U.S. HBtM Fund                            187,289               --       22,602,239                --          (978,730)
SA U.S. Small Company Fund                        --               --       34,252,215                --        (2,055,978)
SA International HBtM Fund                 1,977,427               --       60,695,687                --        (7,087,756)
SA International Small Company Fund          587,466          146,453       31,212,397                --                -- 

Undistributed net investment income and accumulated undistributed net 
realized gain (loss) on investments and foreign currency transactions may       
include temporary book and tax differences which will reverse in a subsequent   
period. During any particular year net realized gains from investment           
transactions, in excess of available capital loss carry forwards, would be      
taxable to the Funds if not distributed and, therefore, would be distributed to 
shareholders annually.                                                          

     DISTRIBUTIONS TO SHAREHOLDERS -- Each Fund, excluding SA Fixed Income Fund,
declares and pays its net investment income, if any, annually. SA Fixed Income  
Fund declares and pays its net investment income, if any, quarterly. All of the 
Funds declare and pay distributions from net realized capital gains, if any, at 
least annually. Dividends to shareholders are recorded on the ex-dividend date. 

2.   AGREEMENTS AND TRANSACTIONS WITH AFFILIATES                                

    The Trust has an Investment Advisory and Administrative Services Agreement
with Assante Asset Management Inc. (the "Manager"), under which the Manager     
manages the investments of, and provides administrative services to, each Fund. 
The Manager is an indirect, wholly-owned subsidiary of Loring Ward International
Ltd., which is a publicly traded financial services company located in Winnipeg,
Canada. For the advisory services provided, the Manager is entitled to a fee    
from each Fund computed daily and payable monthly at the rate of 0.65% of each  
Fund's average daily net assets.                                                

The Trust and the Manager have jointly entered into a Sub-Advisory    
Agreement with DFA. For the sub-advisory services provided, DFA is entitled to a
fee computed daily and payable monthly at an annual rate based on each Fund's   
average daily net assets as set forth below. SA International Small Company Fund
will not pay a fee to DFA for sub-advisory services for as long as it remains a 
feeder fund. However, DFA receives an administration fee from the Master Fund   
and also receives advisory fees for providing advisory services to the funds in 
which the Master Fund invests.                                                  

                                                                [Download Table]

                                                         SUB-  
                                                       ADVISORY
FUND                                                     FEES  
----                                                   --------
                                                               
SA Fixed Income Fund                                     0.19% 
SA U.S. Market Fund                                      0.05% 
SA U.S. HBtM Fund                                        0.27% 
SA U.S. Small Company Fund                               0.38% 
SA International HBtM Fund                               0.38% 

78

N-CSR
83rd “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 83rd
  During the year ended June 30, 2004, DFA voluntarily agreed to waive its
sub-advisory fees to the extent that the gross aggregate sub-advisory fees      
exceeded 0.16% of the aggregate average net assets of the Funds, as calculated  
monthly. This waiver was allocated to each of the Funds based on each Fund's pro
rata portion of the gross aggregate sub-advisory fees.                          

   The Trust has a Shareholder Servicing Agreement with the Manager. For the
shareholder services provided the Manager is paid an annual service fee at the  
rate of 0.25% of the value of the average daily net assets of each Fund.        

    For the administrative services provided, the Manager is entitled to a fee
from each Fund computed daily and payable monthly at a rate of 0.10% of the     
average daily net assets of each Fund.                                          

     The Manager has contractually agreed to waive its management fees and/or to
reimburse expenses to the extent necessary to limit each Fund's total operating 
expenses to the amounts shown in the table below. This agreement will remain in 
effect until July 15, 2009, at which time the agreement may be continued,       
modified or eliminated and net expenses will be adjusted as necessary.          

                                                                [Download Table]

                                                       EXPENSE
FUND                                                    LIMIT 
----                                                   -------
                                                              
SA Fixed Income Fund                                    1.00% 
SA U.S. Market Fund                                     1.08% 
SA U.S. HBtM Fund                                       1.13% 
SA U.S. Small Company Fund                              1.28% 
SA International HBtM Fund                              1.53% 
SA International Small Company Fund                     1.28% 

     The Manager may elect to recapture any amounts waived or reimbursed subject
to the following conditions: (1) the Manager must request reimbursement within  
three years from the end of the year in which the waiver/reimbursement is made, 
(2) the Board of Trustees must approve the reimbursement, (3) reimbursement will
be made if, and to the extent that, the relevant fund does not exceed its       
operating expense limitation after giving effect to the reimbursement, and (4)  
the Manager may not request or receive reimbursements for the reductions and    
waivers before payment of the relevant Fund's operating expenses for the current
year. During the year ended June 30, 2004, the Manager recaptured $265,139 from 
SA International HBtM Fund and $3,766 from SA International Small Company Fund  
pursuant to these conditions. As of June 30, 2004, the following amounts are    
subject to this recapture through June 30, 2005, June 30, 2006 and June 30, 2007
respectively.                                                                   

                                                                [Download Table]

                                        EXPIRES        EXPIRES        EXPIRES   
FUND                                 JUNE 30, 2005  JUNE 30, 2006  JUNE 30, 2007
----                                 -------------  -------------  -------------
                                                                                
SA Fixed Income Fund                 $     395,919  $     582,528  $     559,158
SA U.S. Market Fund                        423,018        417,716        288,310
SA U.S. HBtM Fund                          247,032        304,739        299,575
SA U.S. Small Company Fund                 288,110        327,523        301,827
SA International HBtM Fund                      --         34,978             --
SA International Small Company Fund        150,060         90,225             --

     TRUSTEES' FEES AND EXPENSES -- For their services as trustees, the trustees
who are not "interested persons" (as defined in the 1940 Act) receive an annual 
retainer fee of $20,000 per year, as well as reimbursement for expenses incurred
in connection with attendance at such meetings. Interested trustees receive no  
compensation for their services as trustees.                                    

79

N-CSR
84th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 84th
SUB-ADMINISTRATION FEES -- State Street Bank and Trust Company ("State
Street") serves as sub-administrator for the Trust, pursuant to a               
Sub-Administration Agreement with the Trust and the Manager of the Trust.       
Effective January 1, 2004 State Street receives a fee that is calculated daily  
and paid monthly at an annual rate based on the average daily net assets of each
Fund as follows: 0.04% of the first $750 million of net assets, plus 0.03% of   
net assets between $750 million and $1.5 billion, plus 0.02% of net assets over 
$1.5 billion, subject to a minimum fee of $68,700 annually per Fund. Prior to   
December 31, 2003, State Street received a fee that was calculated daily and    
paid monthly at an annual rate based on the average daily net assets of each    
Fund as follows: 0.06% of the first $750 million of net assets, plus 0.04% of   
net assets between $750 million and $1.5 billion, plus 0.02% of net assets over 
$1.5 billion, subject to a minimum fee of $85,000 annually per Fund. State      
Street contractually agreed to waive $250,000 of its fees to the Funds each year
for the calendar years 2002 and 2003.                                           

3.   PURCHASES AND SALES OF SECURITIES                                          

Excluding short-term investments, each Fund's purchases and sales of  
securities for the year ended June 30, 2004 were as follows:                    

                                                                [Download Table]

                                                 PURCHASES            
                                     ---------------------------------
                                     U.S. GOVERNMENT       OTHER      
                                     ---------------   ---------------
                                                                      
SA Fixed Income Fund                 $   117,124,441   $   182,254,189
SA U.S. Market Fund                               --        96,287,541
SA U.S. HBtM Fund                                 --        63,452,666
SA U.S. Small Company Fund                        --        45,467,613
SA International HBtM Fund                        --        95,970,759
SA International Small Company Fund              N/A               N/A

                                                                [Download Table]

                                                   SALES              
                                     ---------------------------------
                                     U.S. GOVERNMENT       OTHER      
                                     ---------------   ---------------
                                                                      
SA Fixed Income Fund                 $    55,012,224   $   124,014,672
SA U.S. Market Fund                               --         1,320,555
SA U.S. HBtM Fund                                 --        11,655,268
SA U.S. Small Company Fund                        --         6,472,822
SA International HBtM Fund                        --        25,582,462
SA International Small Company Fund              N/A               N/A

N/A -- Refer to the Master Fund's financial statements. 

80

N-CSR
85th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 85th
 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

TO THE BOARD OF TRUSTEES AND SHAREHOLDERS OF                                    
SA FUNDS -- INVESTMENT TRUST                                                    

In our opinion, the accompanying statement of assets and liabilities, including 
the portfolios of investments, and the related statements of operations and of  
changes in net assets and the financial highlights present fairly, in all       
material respects, the financial position of SA Fixed Income Fund,              
SAInternational HBtM Fund, SA International Small Company Fund, SA U.S. HBtM    
Fund, SA U.S. Market Fund, and SA U.S. Small Company Fund (constituting SA Funds
-- Investment Trust, hereafter referred to as the "Trust") at June 30, 2004, the
results of each of their operations for the year then ended, the changes in each
of their net assets for each of the two years in the period then ended and the  
financial highlights for each of the periods presented in conformity with       
accounting principles generally accepted in the United States of America. These 
financial statements and financial highlights (hereafter referred to as         
"financial statements") are the responsibility of the Trust's management; our   
responsibility is to express an opinion on these financial statements based on  
our audits. We conducted our audits of these financial statements in accordance 
with the standards of the Public Company Accounting Oversight Board (United     
States), which require that we plan and perform the audits to obtain reasonable 
assurance about whether the financial statements are free of material           
misstatement. An audit includes examining, on a test basis, evidence supporting 
the amounts and disclosures in the financial statements, assessing the          
accounting principles used and significant estimates made by management, and    
evaluating the overall financial statement presentation. We believe that our    
audits, which include confirmation of securities at June 20, 2004 by            
correspondence with the custodian and brokers, provide a reasonable basis for   
our opinion.                                                                    

PricewaterhouseCoopers LLP                                                      

August 12, 2004                                                                 

81

N-CSR
86th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 86th
SA Funds                                                                        

ADDITIONAL INFORMATION (UNAUDITED)                                              

PROXY VOTING POLICIES AND PROCEDURES                                            

  A description of the policies and procedures that are used by the Funds'
Sub-Adviser to vote proxies relating to the Funds' portfolio securities is      
available without charge, upon request, by calling (800) 366-7266. Information  
regarding how the investment sub-adviser votes these proxies will become        
available by calling the same number and on the website of the U.S. Securities  
and Exchange Commission at http://www.sec.gov when the Funds file their first   
report on Form N-PX which is due by August 31, 2004 covering the Funds' proxy   
voting record for the 12-month period ended June 30, 2004.                      

TRUSTEES AND OFFICERS' INFORMATION                                              

     The Trustees and executive officers of the Trust, their respective dates of
birth and their principal occupations during the past five years are listed     
below. The Board of Trustees governs each Fund and is responsible for protecting
the interests of shareholders. The Trustees are experienced executives who meet 
periodically throughout the year to oversee each Fund's activities, review      
contractual arrangements with companies that provide services to each Fund, and 
review each Fund's performance. All of the Trustees are independent of the      
Trust's Manager, Sub-Adviser and Distributor; that is, they have no financial   
interest in the Manager, Sub-Adviser or Distributor.                            

    Those individuals listed in the table below whose names are marked with an
asterisk (*) are interested persons of the Trust (as defined by the 1940 Act) by
virtue of, among other considerations, their relationships with the Trust, the  
Manager, the Sub-Adviser, the Distributor or any entity directly or indirectly  
controlling, controlled by or under common control with any of those companies. 
Each Trustee and executive officer of the Trust oversees all Funds of the Trust.

                                                        [Enlarge/Download Table]

NAME, ADDRESS                                                                                   OTHER TRUSTEESHIPS
AND DATE OF BIRTH      POSITION(S) HELD WITH FUND  PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS   HELD BY TRUSTEE  
-----------------      --------------------------  -------------------------------------------  ------------------
                                                                                                                  
Bryan W.Brown          Trustee (since April 1999)  Self-Employed Management Consultant          None              
c/o Assante Asset                                  (since 1992).                                                  
Management Inc.                                                                                                   
1190 Saratoga Avenue,                                                                                             
Suite 200                                                                                                         
San Jose, CA 95129                                                                                                
DOB: 02/09/45                                                                                                     

Mark A.Schimbor        Trustee (since July 2000)   Senior Vice President, Lee Hecht Harrison    None              
c/o Assante Asset                                  (career consulting company) (since                             
Management Inc.                                    2002); Senior Management Consultant,                           
1190 Saratoga Avenue,                              Lee Hect Harrison (1999-2009); Instructor,                     
Suite 200                                          Finance Department for U.C. Berkeley                           
San Jose, CA 95129                                 Extension (since 1998.                                         
DOB: 11/07/45                                                                                                     

Harold M.Shefrin       Trustee (since April 1999)  Professor of Finance, Santa Clara            None              
c/o Assante Asset                                  University (since 1978).                                       
Management Inc.                                                                                                   
1190 Saratoga Avenue,                                                                                             
Suite 200                                                                                                         
San Jose, CA 95129                                                                                                
DOB: 07/27/48                                                                                                     

82

N-CSR
87th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 87th
                                                        [Enlarge/Download Table]

NAME, ADDRESS                                                                                      OTHER TRUSTEESHIPS
AND DATE OF BIRTH      POSITION(S)HELD WITH FUND     PRINCIPAL OCCUPATION(S)DURING PAST 5 YEARS     HELD BY TRUSTEE  
-----------------      --------------------------    -------------------------------------------   ------------------
                                                                                                                     
Alexander B.Potts*     President and Chief           Executive Vice President and General          N/A               
1190 Saratoga Avenue   Executive Officer (since      Manager, Assante Asset Management Inc.                          
Suite 200              August 2000)                  (since August 2000); President and Chief                        
San Jose, CA 95129                                   Executive Officer, Assante Capital                              
DOB: 06/14/67                                        Management Inc. (since April 2001); Chief                       
                                                     Compliance Officer, Assante Capital                             
                                                     Management Inc. (October 2000 --                                
                                                     May 2001); Vice President of Advisor Services                   
                                                     and Investment Operations, RWB Advisory                         
                                                     Services Inc. (October 1998 --                                  
                                                     September 2000); Vice President of Advisor                      
                                                     Services and Investment Operations,                             
                                                     Reinhardt, Werba, Bowen Inc. (April 1990 --                     
                                                     October 1998).                                                  

Denis E.Taillieu*      Chief Financial and           Chief Financial Officer, Loring Ward          N/A               
360 Main St.           Accounting Officer and        International Ltd. (since November 2003);                       
Suite 1500             Treasurer (since March 2004)  Chief Financial Officer, Assante                                
Winnipeg, Manitoba,                                  Corporation (April 1999 --                                      
R3C 3Z3                                              November 2003).                                                 
DOB: 07/20/52                                                                                                        

Jennifer S.Fromm*      Vice President, Secretary     Associate General Counsel, Loring Ward        N/A               
10100 Santa Monica     and Compliance Officer        Group Inc. (since January 2004); Senior Legal                   
Boulevard Suite 1050   (since September 2000)        Counsel, Loring Ward Capital Management                         
Los Angeles, CA 90067                                Inc. (formerly Assante Global Advisors                          
DOB: 08/24/73                                        Inc.) (June 2002 -- January 2004); Secretary,                   
                                                     Assante Asset Management Inc. and Assante                       
                                                     Capital Management Inc. (since January 2002);                   
                                                     Vice President and Senior Mutual Fund                           
                                                     Counsel, Assante Asset Management Inc.                          
                                                     (September 2000 -- January 2004); Associate                     
                                                     Counsel, State Street Corporation                               
                                                     (financial services company) (August 1999 --                    
                                                     September 2000).                                                

The Trust's Board of Trustees has appointed a standing Audit Committee
consisting of those Trustees who are not "interested persons" (as defined in the
1940 Act). The Audit Committee oversees the audit process and provides          
assistance to the Trustees in fulfilling their responsibilities to the          
shareholders, potential shareholders and investment community relating to fund  
accounting, the reporting practices of the Trust and the quality and integrity  
of the financial reports of the Trust. The Trust's Audit Committee met three    
times during the fiscal year ended June 30, 2004.                               

83

N-CSR
88th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 88th
SA Funds                                                                        

TAX INFORMATION NOTICE (UNAUDITED)                                              

 For Federal income tax purposes, the following information is furnished
with respect to the distributions of the Funds for its fiscal year ended June   
30, 2004:                                                                       

    FOREIGN TAX CREDITS -- The SA International HBtM Fund has made an election
under Internal Revenue Code Section 853 to pass through foreign taxes paid by   
the Fund to its shareholders. For the year ended June 30, 2004, the total amount
that will be passed through to shareholders and the foreign source income for   
information reporting purposes will be $665,862 (all of which represents taxes  
withheld) and $6,098,255, respectively.                                         

CAPITAL GAINS DISTRIBUTIONS -- On December 23, 2003 the following Fund
declared a long term capital gain distribution in the following amount:         

                                                                [Download Table]

                                                     LONG TERM     
                                                   CAPITAL GAIN    
FUND                                            DISTRIBUTION AMOUNT
----                                            -------------------
                                                                   
SA Fixed Income Fund                               $   3,758,968   

CORPORATE DIVIDENDS RECEIVED REDUCTION -- The following Funds paid    
distributions from ordinary income that qualify for the corporate dividends     
received deduction. The percentage that qualifies is noted below:               

                                                                [Download Table]
                                                            
SA U.S. HBtM Fund                                       100%
SA U.S. Market Fund                                     100%

QUALIFIED DIVIDEND INCOME -- For the fiscal year ended June 30, 2004  
certain dividends paid by the Funds may be designated as qualified dividend     
income and subject to a maximum tax rate of 15% as provided by the Jobs and     
Growth Tax Relief Reconciliation Act of 2003. Complete information will be      
reported in conjunction with your 2004 Form 1099-DIV.                           

84

N-CSR
89th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 89th
 SELECTED FINANCIAL STATEMENTS OF DFA INVESTMENT DIMENSIONS GROUP INC.

 INTERNATIONAL SMALL COMPANY PORTFOLIO

 TABLE OF CONTENTS

                                                                [Download Table]

                                                                         PAGE 
                                                                         ---- 
                                                                              
Schedule of Investments -- June 30, 2004 (Unaudited)                       86 

Schedule of Investments -- November 30, 2003                               87 

Statement of Assets and Liabilities -- June 30, 2004 (Unaudited)           88 

Statement of Assets and Liabilities -- November 30, 2003                   89 

Statement of Operations                                                    90 

Statements of Changes in Net Assets                                        91 

Financial Highlights                                                       92 

Notes to Financial Statements                                              93 

Report of Independent Registered Certified Public Accounting Firm          97 

85

N-CSR
90th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 90th
DFA INVESTMENT DIMENSIONS GROUP INC.
 INTERNATIONAL SMALL COMPANY PORTFOLIO

 SCHEDULE OF INVESTMENTS
 JUNE 30, 2004
 (UNAUDITED)

                                                        [Enlarge/Download Table]

                                                                                           VALUE      
                                                                                     -----------------
                                                                                                      
Investment in The Japanese Small Company Series of The DFA Investment Trust                           
  Company (29.7%) (Cost $310,460,537)                                                $     401,252,573
Investment in The Pacific Rim Small Company Series of The DFA Investment Trust                        
  Company (12.1%) (Cost $155,619,190)                                                      164,346,295
Investment in The United Kingdom Small Company Series of The DFA Investment Trust                     
  Company (20.3%) (Cost $210,898,233)                                                      274,370,862
Investment in The Continental Small Company Series of The DFA Investment Trust                        
  Company (37.8%) (Cost $357,377,237)                                                      510,330,627
Temporary Cash Investments (0.1%)                                                                     
  Repurchase Agreement, PNC Capital Markets Inc. 1.28%, 07/01/04 (Collateralized by                   
  $1,285,000 FHLMC Notes 1.85%, 11/17/05, valued at $1,288,213) to be repurchased                     
  at $1,285,046 (Cost $1,285,000)                                                            1,285,000
                                                                                     -----------------
     Total Investments (100%) (Cost $1,035,640,197)++                                $   1,351,585,357
                                                                                     =================

----------                                                                      
++ The cost for federal income tax purposes is $1,036,018,262.                  

 See accompanying Notes to Financial Statements.

86

N-CSR
91st “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 91st
 SCHEDULE OF INVESTMENTS
 NOVEMBER 30, 2003

                                                        [Enlarge/Download Table]

                                                                                          VALUE+      
                                                                                     -----------------
                                                                                                      
Investment in The Japanese Small Company Series of The DFA Investment Trust                           
  Company (26.8%) (Cost $247,518,637)                                                $     244,017,796
Investment in The Pacific Rim Small Company Series of The DFA Investment Trust                        
  Company (14.0%) (Cost $111,457,252)                                                      127,432,216
Investment in The United Kingdom Small Company Series of The DFA Investment Trust                     
  Company (15.3%) (Cost $105,088,482)                                                      138,605,642
Investment in The Continental Small Company Series of The DFA Investment Trust                        
  Company (43.6%) (Cost $292,806,851)                                                      396,264,638
Temporary Cash Investments (0.3%)                                                                     
  Repurchase Agreement, PNC Capital Markets Inc. 0.82%, 12/01/03 (Collateralized by                   
  $2,898,000 FHLB Notes 1.875%, 02/15/05, valued at $2,919,735) to be repurchased                     
  at $2,876,197 (Cost $2,876,000)                                                            2,876,000
                                                                                     -----------------
     Total Investments (100%) (Cost $759,747,222)++                                  $     909,196,292
                                                                                     =================

----------                                                                      
+  See Note B to Financial Statements.                                          
++ The cost for federal income tax purposes is $761,571,637.                    

 See accompanying Notes to Financial Statements.

87

N-CSR
92nd “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 92nd
 STATEMENT OF ASSETS AND LIABILITIES
 JUNE 30, 2004

(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
 (UNAUDITED)

                                                        [Enlarge/Download Table]
                                                                                                    
ASSETS:                                                                                             
Investments at Value (Cost $1,035,640)                                                $   1,351,585 
Cash                                                                                             16 
Prepaid Expenses and Other Assets                                                                38 
                                                                                      ------------- 
     Total Assets                                                                         1,351,639 
                                                                                      ------------- 

LIABILITIES:                                                                                        
Payable to Advisor                                                                              432 
Accrued Expenses and Other Liabilities                                                           62 
                                                                                      ------------- 
     Total Liabilities                                                                          494 
                                                                                      ------------- 

NET ASSETS                                                                            $   1,351,145 
                                                                                      ============= 

SHARES OUTSTANDING $.01 PAR VALUE                                                                   
  (Authorized 100,000,000)                                                              104,976,526 
                                                                                      ============= 

NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE                              $       12.87 
                                                                                      ============= 

NET ASSETS CONSIST OF:                                                                              
Paid-in Capital                                                                       $   1,017,239 
Accumulated Net Investment Income (Loss)                                                        478 
Accumulated Net Realized Gain (Loss)                                                         17,652 
Accumulated Net Realized Foreign Exchange Gain (Loss)                                          (270)
Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency        315,945 
Unrealized Net Foreign Exchange Gain (Loss)                                                     101 
                                                                                      ------------- 
     Total Net Assets                                                                 $   1,351,145 
                                                                                      ============= 

 See accompanying Notes to Financial Statements.

88

N-CSR
93rd “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 93rd
 STATEMENT OF ASSETS AND LIABILITIES
 NOVEMBER 30, 2003

(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)

                                                        [Enlarge/Download Table]
                                                                                                    
ASSETS:                                                                                             
Investments at Value (Cost $759,747)                                                  $     909,196 
Cash                                                                                             16 
Receivable for Fund Shares Sold                                                               1,156 
Prepaid Expenses and Other Assets                                                                20 
                                                                                      ------------- 
     Total Assets                                                                           910,388 
                                                                                      ------------- 

LIABILITIES:                                                                                        
Payables:                                                                                           
     Fund Shares Redeemed                                                                       171 
     Due to Advisor                                                                             298 
Accrued Expenses and Other Liabilities                                                           32 
                                                                                      ------------- 
     Total Liabilities                                                                          501 
                                                                                      ------------- 

NET ASSETS                                                                            $     909,887 
                                                                                      ============= 

SHARES OUTSTANDING $.01 PAR VALUE                                                                   
  (Authorized 100,000,000)                                                               82,731,629 
                                                                                      ============= 

NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE                              $       11.00 
                                                                                      ============= 

NET ASSETS CONSIST OF:                                                                              
Paid-in Capital                                                                       $     749,865 
Accumulated Net Investment Income (Loss)                                                     11,283 
Accumulated Net Realized Gain (Loss)                                                         (1,208)
Accumulated Net Realized Foreign Exchange Gain (Loss)                                           309 
Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency        149,449 
Unrealized Net Foreign Exchange Gain (Loss)                                                     189 
                                                                                      ------------- 
     Total Net Assets                                                                 $     909,887 
                                                                                      ============= 

 See accompanying Notes to Financial Statements.

89

N-CSR
94th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 94th
 STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2003
(AMOUNTS IN THOUSANDS)

                                                        [Enlarge/Download Table]
                                                                                                     
INVESTMENT INCOME                                                                                    
  Dividends (Net of Foreign Taxes Withheld of $1,642)                                  $      15,561 
  Interest                                                                                       299 
  Income from Securities Lending                                                               1,152 
  Expenses Allocated From Master Funds                                                        (1,841)
                                                                                       ------------- 
          Total Investment Income                                                             15,171 
                                                                                       ------------- 

EXPENSES                                                                                             

  Administrative Services                                                                      2,535 
  Accounting & Transfer Agent Fees                                                                35 
  Legal Fees                                                                                      15 
  Audit Fees                                                                                       3 
  Filing Fees                                                                                     34 
  Shareholders' Reports                                                                           32 
  Directors' Fees and Expenses                                                                    11 
                                                                                       ------------- 
          Total Expenses                                                                       2,665 
                                                                                       ------------- 
  NET INVESTMENT INCOME (LOSS)                                                                12,506 
                                                                                       ------------- 

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY                

  Net Realized Gain (Loss) on Investment Securities Sold                                      10,185 
  Net Realized Gain (Loss) on Foreign Currency Transactions                                      309 
  Change in Unrealized Appreciation (Depreciation) of                                                
    Investment Securities and Foreign Currency                                               249,662 
  Translation of Foreign Currency Denominated Amounts                                            102 
                                                                                       ------------- 
     NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY                           260,258 
                                                                                       ------------- 

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS                        $     272,764 
                                                                                       ============= 

 See accompanying Notes to Financial Statements.

90

N-CSR
95th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 95th
 STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)

                                                        [Enlarge/Download Table]

                                                                           YEAR        YEAR    
                                                                          ENDED       ENDED    
                                                                         NOV. 30,    NOV. 30,  
                                                                           2003        2002    
                                                                        ---------   ---------- 
                                                                                               
INCREASE (DECREASE) IN NET ASSETS OPERATIONS:                                                  
  Net Investment Income (Loss)                                          $  12,506   $    7,813 
  Net Realized Gain (Loss) on Investment Securities Sold                   10,185          305 
  Net Realized Gain (Loss) on Foreign Currency Transactions                   309          222 
  Change in Unrealized Appreciation (Depreciation) of                                          
    Investment Securities and Foreign Currency                            249,662      (19,049)
  Translation of Foreign Currency Denominated Amounts                         102          123 
                                                                        ---------   ---------- 
       Net Increase (Decrease) in Net Assets Resulting from Operations    272,764      (10,586)
                                                                        ---------   ---------- 
Distributions From:                                                                            
  Net Investment Income                                                    (8,564)      (6,930)
                                                                        ---------   ---------- 
       Total Distributions                                                 (8,564)      (6,930)
                                                                        ---------   ---------- 
Capital Share Transactions (1):                                                                
  Shares Issued                                                           281,724      218,575 
  Shares Issued in Lieu of Cash Distributions                               8,551        6,917 
  Shares Redeemed                                                        (109,166)     (99,598)
                                                                        ---------   ---------- 
       Net Increase (Decrease) From Capital Shares Transactions           181,109      125,894 
                                                                        ---------   ---------- 
       Total Increase (Decrease)                                          445,309      108,378 
NET ASSETS                                                                                     
  Beginning of Period                                                     464,578      356,200 
                                                                        ---------   ---------- 
  End of Period                                                         $ 909,887   $  464,578 
                                                                        =========   ========== 
(1) SHARES ISSUED AND REDEEMED:                                                                
     Shares Issued                                                         31,592       28,394 
     Shares Issued in Lieu of Cash Distributions                            1,199          948 
     Shares Redeemed                                                      (12,776)     (13,054)
                                                                        ---------   ---------- 
                                                                           20,015      (16,288)
                                                                        =========   ========== 

 See accompanying Notes to Financial Statements.

91

N-CSR
96th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 96th
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)

                                                        [Enlarge/Download Table]

                                                   YEAR           YEAR            YEAR            YEAR            YEAR     
                                                  ENDED          ENDED           ENDED           ENDED           ENDED     
                                                 NOV. 30,       NOV. 30,        NOV. 30,        NOV. 30,        NOV. 30,   
                                                   2003           2002            2001            2000            1999     
                                               ------------   ------------    ------------    ------------    ------------ 
                                                                                                                           
Net Asset Value, Beginning of Period           $       7.41   $       7.67    $       8.49    $       9.13    $       7.82 
                                               ------------   ------------    ------------    ------------    ------------ 
INCOME FROM INVESTMENT OPERATIONS                                                                                          
   Net Investment Income (Loss)                        0.16           0.14            0.15            0.17            0.15 
   Net Gains (Losses) on Securities (Realized                                                                              
     and Unrealized)                                   3.57          (0.25)          (0.67)          (0.62)           1.31 
                                               ------------   ------------    ------------    ------------    ------------ 
   Total From Investment Operations                    3.73          (0.11)          (0.52)          (0.45)           1.46 
                                               ------------   ------------    ------------    ------------    ------------ 

LESS DISTRIBUTIONS                                                                                                         
   Net Investment Income                              (0.14)         (0.15)          (0.17)          (0.19)          (0.15)
   Net Realized Gains                                    --             --           (0.13)             --              -- 
                                               ------------   ------------    ------------    ------------    ------------ 
   Total Distributions                                (0.14)         (0.15)          (0.30)          (0.19)          (0.15)
                                               ------------   ------------    ------------    ------------    ------------ 
Net Asset Value, End of Period                 $      11.00   $       7.41    $       7.67    $       8.49    $       9.13 
                                               ============   ============    ============    ============    ============ 
Total Return                                          51.28%         (1.39)%         (6.36)%         (5.01)%         19.07%

Net Assets, End of Period (thousands)          $    909,887   $    464,578    $    356,200    $    309,060    $    250,442 
Ratio of Expenses to Average Net Assets (1)            0.71%          0.71%           0.72%           0.71%           0.75%
Ratio of Net Investment Income to Average Net                                                                              
   Assets                                              1.97%          1.83%           2.02%           2.10%           1.76%
Portfolio Turnover Rate                                 N/A            N/A             N/A             N/A             N/A 

----------                                                                      
(1) Represents the combined ratios for the portfolio and its respective pro-rata
share of its Master Fund Series.                                        
N/A Refer to the respective Master Fund Series.                                 

See accompanying Notes to Financial Statements. 

92

N-CSR
97th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 97th
 NOTES TO FINANCIAL STATEMENTS
 NOVEMBER 30, 2003

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. One of
the Fund's forty portfolios (the "Portfolio") is included in this report. Of the
remaining thirty-nine portfolios, six portfolios are only available through a   
select group of insurance products and are presented in a separate report,      
twenty-nine are presented in separate reports, and four have not commenced      
operations.                                                                     

The Portfolio (the "Feeder Fund") invests in four series of The DFA   
Investment Trust Company (the "Master Funds"):                                  

                                                        [Enlarge/Download Table]

                                                                                PERCENTAGE  
                                                                                OWNERSHIP   
PORTFOLIO (FEEDER FUND)                SERIES (MASTER FUNDS)                    AT 11/30/03 
-------------------------------------  ---------------------------------------  ----------- 
                                                                                            
International Small Company Portfolio  The Japanese Small Company Series                 86%
                                       The Pacific Rim Small Company Series              81%
                                       The United Kingdom Small Company Series           86%
                                       The Continental Small Company Series              88%

  The Portfolio also invests in short term temporary cash investments from
time to time.                                                                   

     The financial statements of the Master Funds are included elsewhere in this
report and should be read in conjunction with these financial statements.       

In the normal course of business, the Fund enters into contracts that 
contain a variety of representations and warranties and which provide general   
indemnification. The Fund's maximum exposure under these arrangements is unknown
as this would involve future claims that may be made against the Fund and/or its
affiliates that have not yet occurred. However, based on experience, the Fund   
expects the risk of loss to be remote.                                          

B. SIGNIFICANT ACCOUNTING POLICIES:                                             

The following significant accounting policies are in conformity with  
accounting principles generally accepted in the United States of America for    
investment companies. Such policies are consistently followed by the Fund in    
preparation of its financial statements. The preparation of financial statements
in accordance with accounting principles generally accepted in the United States
of America may require management to make estimates and assumptions that affect 
the reported amounts and disclosures in the financial statements. Actual results
could differ from those estimates and those differences could be material.      

   1. SECURITY VALUATION: Master Fund shares held by the Feeder Fund reflect
its proportionate interest in the net assets of the corresponding Master Funds. 

 2. FOREIGN CURRENCY: Securities and other assets and liabilities of the
Portfolio whose values are initially expressed in foreign currencies are        
translated to U.S. dollars using the mean between the most recently quoted bid  
and asked prices for the U.S. dollar. 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 Portfolio does not isolate the effect of fluctuations in foreign  
exchange rates from the effect of fluctuations in the market prices of          
securities whether realized or unrealized.                                      

 Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,    
currency gains or losses realized between the trade and settlement dates on     

93

N-CSR
98th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 98th
securities transactions, and the difference between amounts of interest,        
dividends and foreign withholding taxes recorded on the books of the Portfolio  
and the U.S. dollar equivalent amounts actually received or paid.               

     3. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,   
effective January 1, 2002, such Directors may defer payment of a percentage of  
their total fees earned as a Director. These deferred amounts may be treated as 
though such amounts had been invested in shares of the following funds: U.S.    
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value    
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income   
Portfolio. Contributions made under the Plan and the change in unrealized       
appreciation (depreciation) and income, are included in Directors' Fees and     
Expenses. At November 30, 2003, the total liability for deferred compensation to
Directors is included in Accrued Expenses and Other Liabilities in the amount of
$9,228.                                                                         

    4. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment         
securities are on the basis of identified cost. Dividend income and             
distributions to shareholders are recorded on the ex-dividend date. Interest    
income is recorded on an accrual basis. Expenses directly attributable to the   
Portfolio are directly charged. Common expenses are allocated using methods     
approved by the Board of Directors, generally based on average net assets.      

    The Portfolio accrues its respective share of income and expenses daily on
its investment in its corresponding Master Funds, 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 Portfolio may be subject to taxes imposed by countries in which the
Master Funds invest, with respect to its investments in issuers existing or     
operating in such countries. Such taxes are generally based on income earned or 
repatriated and capital gains realized on the sale of such investments. The     
Portfolio accrues such taxes when the related income or capital gains are       
earned. Some countries require governmental approval for the repatriation of    
investment income, capital or the proceeds of sales earned by foreign investors.
In addition, if there is a deterioration in a country's balance of payments or  
for other reasons, a country may impose temporary restrictions on foreign       
capital remittances abroad.                                                     

C. INVESTMENT ADVISOR AND ADMINISTRATOR:                                        

Dimensional Fund Advisors Inc. ("DFA" or the "Advisor") provides      
administrative services to the Portfolio, including supervision of services     
provided by others, providing information to shareholders and the Board of      
Directors, and other administrative services. For the year ended November 30,   
2003, 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 average daily net
assets.                                                                         

  The Advisor has agreed to waive its administration fee and to assume the
Portfolio's other direct expenses to the extent necessary to limit the direct   
expenses of the Portfolio to 0.45% of its average net assets on an annualized   
basis. This fee waiver and expense assumption arrangement does not include the  
indirect expenses the Portfolio bears as a shareholder of the International     
Master Funds. At any time that the direct expenses of the Portfolio are less    
than 0.45% of its average net assets on an annualized basis, the Advisor retains
the right to seek reimbursement for any fees previously waived and/or expenses  
previously assumed to the extent that such reimbursement will not cause the     
Portfolio's direct expenses to exceed 0.45% of average net assets on an         
annualized basis. The Portfolio is not obligated to reimburse the Advisor for   
fees waived or expenses previously assumed by the Advisor more than thirty-six  
months prior to the date of such reimbursement. The expense waiver will remain  
in effect for a period of one year from April 1, 2003 to April 1, 2004, and     
shall continue to remain in effect from year to year thereafter unless          
terminated by the Fund or the Advisor. At November 30, 2003, there were no      
waivers or fees subject to future reimbursement to the Advisor.                 

  Certain officers of the Portfolio are also officers, and shareholders of
the Advisor.                                                                    

94

N-CSR
99th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 99th
D. FEDERAL INCOME TAX:                                                          

No provision for federal income taxes is required since it is the     
Portfolio's intention to continue to qualify as a regulated investment company  
under Subchapter M of the Internal Revenue Code and distribute substantially all
of its taxable income and capital gains to shareholders. Because income tax     
regulations differ from accounting principles generally accepted in the United  
States of America, the timing and character of income and capital gain          
distributions determined in accordance with tax regulations can differ from     
income and capital gains recognized for financial reporting purposes.           
Accordingly, the character of distributions and the composition of net assets   
for tax purposes can differ from those reflected in the financial statements.   
These book/tax differences may be temporary or permanent in nature. To the      
extent these differences are permanent, they are charged or credited to paid in 
capital, accumulated net realized gain (loss) or undistributed net investment   
income as appropriate, in the period the differences arise. These               
reclassifications have no effect on net assets or net value per share.          

Short-term gain distributions to shareholders are treated as ordinary 
income for tax purposes.                                                        

The components of distributed earnings on a tax basis do not differ   
materially from book basis distributable earnings, which are disclosed in the   
Statement of Assets and Liabilities.                                            

  At November 30, 2003, gross unrealized appreciation and depreciation for
federal income tax purposes of investment securities was as follows (amounts in 
thousands):                                                                     

                                                                [Download Table]
                                                                           
Gross Unrealized Appreciation                                  $   151,739 
Gross Unrealized Depreciation                                       (4,114)
                                                               ----------- 
   Net                                                         $   147,625 
                                                               =========== 

At November 30, 2003, the Portfolio had capital loss carryforwards for
federal income tax purposes of approximately $2,088,000 of which $1,816,000 and 
$272,000 will expire on November 30, 2009 and November 30, 2010, respectively.  

 During the year ended November 30, 2003, the Portfolio utilized capital
loss carryforwards to offset realized capital gains for federal income tax      
purposes in the approximate amount of $10,052,000.                              

     During the year ended November 30, 2003, the Portfolio realized net foreign
currency gains, which increased distributable net income for tax purposes;      
accordingly gains in the amount of $309,404 have been reclassified from         
accumulated net realized gains to accumulated net investment income.            

   Certain of the Portfolios' investments are in securities considered to be
"passive foreign investment companies", for which any unrealized appreciation   
(depreciation) (mark to market) and/or realized gains are required to be        
included in distributable net investment income for tax purposes. The Portfolio 
had unrealized appreciation (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.                                                                         

                                                                [Download Table]

                                           MARK TO MARKET   REALIZED GAINS
                                           --------------   --------------
                                                                          
International Small Company Portfolio       $  1,824,415    $   1,016,120 

E. FINANCIAL INSTRUMENTS:                                                       

    In accordance with the Portfolio's Investment Objectives and Policies, the
Portfolio may invest, either directly or through its 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 Portfolio may purchase money market     
instruments subject to the counterparty's agreement to repurchase them at an    
agreed upon date and price. The counterparty will be required on a daily basis  
to maintain the value of the collateral subject to the agreement at not less    
than the repurchase price (including accrued interest). The agreements are      
conditioned upon the collateral being deposited under the Federal Reserve       
book-entry system with the Fund's custodian or a third party sub-custodian. In  
the event of default or bankruptcy by the other party to the agreement,         
retention of the collateral may be subject to legal proceedings.                

All open repurchase agreements were entered into on November 28, 2003.

95

N-CSR
100th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 100th
2. FOREIGN MARKETS RISKS: Investments in foreign markets may involve  
certain considerations and risks not typically associated with investments in   
the United States, including the possibility of future political and economic   
developments and the level of foreign governmental supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid and
more volatile than the major securities markets in the United States.           
Consequently, acquisition and disposition of securities by the Fund may be      
inhibited.                                                                      

F. LINE OF CREDIT:                                                              

   The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit with its domestic     
custodian bank. Each portfolio is permitted to borrow, subject to its investment
limitations, up to a maximum of $50 million, as long as total borrowings under  
the line of credit do not exceed $50 million in the aggregate. Borrowings under 
the line are charged interest at the then current federal funds rate plus 1%.   
Each portfolio is individually, and not jointly liable for its particular       
advances under the line of credit. There is no commitment fee on the unused     
portion of the line of credit, since this is not a committed facility. The      
agreement for the discretionary line of credit may be terminated at any time.   
There were no borrowings under the line of credit during the year ended November
30, 2003.                                                                       

The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit with its       
international custodian bank. Each portfolio is permitted to borrow, subject to 
investment limitations, up to a maximum of $150 million, as long as total       
borrowings under the line of credit do not exceed $150 million in the aggregate.
Borrowings under the line of credit are charged interest at rates agreed to by  
the parties at the time of borrowing. There is no commitment fee on the unused  
line of credit. The agreement of the line of credit expires in April 2004. There
were no borrowings by the Portfolio under the line of credit during the year    
ended November 30, 2003.                                                        

G. REIMBURSEMENT FEES:                                                          

Until March 30, 2002, shares of the Portfolio were sold at a public   
offering price equal to the current net asset value of such shares plus a       
reimbursement fee. Reimbursement fees are recorded as an addition to paid in    
capital. The reimbursement fee for the Portfolio was 0.675% of the net asset    
value of its shares and were recorded as an addition to paid-in capital.        
Effective March 30, 2002, the Portfolio no longer charges reimbursement fees.   

96

N-CSR
101st “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 101st
 REPORT OF INDEPENDENT REGISTERED CERTIFIED PUBLIC ACCOUNTING FIRM

TO THE SHAREHOLDERS OF INTERNATIONAL SMALL COMPANY PORTFOLIO AND                
BOARD OF DIRECTORS OF DFA INVESTMENT DIMENSIONS GROUP INC.                      

In our opinion, the accompanying statement of assets and liabilities, including 
the schedule of investments, and the related statements of operations and of    
changes in net assets and the financial highlights present fairly, in all       
material respects, the financial position of International Small Company        
Portfolio (constituting a portfolio within DFA Investment Dimensions Group Inc.,
hereafter referred to as the "Portfolio") at November 30, 2003, the results of  
its operations for the year then ended, the changes in its net assets for each  
of the two years in the period then ended and the financial highlights for each 
of the five years in the period then ended, in conformity with accounting       
principles generally accepted in the United States of America. These financial  
statements and financial highlights (hereafter referred to as "financial        
statements") are the responsibility of the Portfolio's management; our          
responsibility is to express an opinion on these financial statements based on  
our audits. We conducted our audits of these financial statements in accordance 
with the standards of the Public Company Accounting Oversight Board (United     
States), which require that we plan and perform the audit to obtain reasonable  
assurance about whether the financial statements are free of material           
misstatement. An audit includes examining, on a test basis, evidence supporting 
the amounts and disclosures in the financial statements, assessing the          
accounting principles used and significant estimates made by management, and    
evaluating the overall financial statement presentation. We believe that our    
audits, which included confirmation of securities at November 30, 2003 by       
correspondence with the transfer agent of the investee funds, provide a         
reasonable basis for our opinion.                                               

PricewaterhouseCoopers LLP                                                      

Fort Lauderdale, Florida                                                        
January 15, 2004                                                                

97

N-CSR
102nd “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 102nd
 SELECTED FINANCIAL STATEMENTS OF THE DFA INVESTMENT TRUST COMPANY

 THE JAPANESE SMALL COMPANY SERIES

THE PACIFIC RIM SMALL COMPANY SERIES

 THE UNITED KINGDOM SMALL COMPANY SERIES

THE CONTINENTAL SMALL COMPANY SERIES

 TABLE OF CONTENTS

                                                                [Download Table]

                                                                            PAGE
                                                                            ----
                                                                                
Schedules of Investments -- June 30, 2004 (Unaudited)                           
   The Japanese Small Company Series                                          99
   The Pacific Rim Small Company Series                                      110
   The United Kingdom Small Company Series                                   120
   The Continental Small Company Series                                      126

Schedules of Investments -- November 30, 2003                                   
   The Japanese Small Company Series                                         141
   The Pacific Rim Small Company Series                                      151
   The United Kingdom Small Company Series                                   159
   The Continental Small Company Series                                      165

Statements of Assets and Liabilities -- June 30, 2004 (Unaudited)            179

Statements of Assets and Liabilities -- November 30, 2003                    180

Statements of Operations                                                     181

Statements of Changes in Net Assets                                          182

Financial Highlights                                                         183

Notes to Financial Statements                                                185

Report of Independent Registered Certified Public Accounting Firm            189

Voting Proxies on Fund Portfolio Securities                                  190

98

N-CSR
103rd “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 103rd
 THE JAPANESE SMALL COMPANY SERIES

 SCHEDULE OF INVESTMENTS

 JUNE 30, 2004
 (UNAUDITED)

                                                                [Download Table]

                                              SHARES           VALUE+
                                     ---------------  ---------------
                                                                     
JAPAN -- (78.9%)                                                     
COMMON STOCKS -- (78.7%)                                             
 *A&A Material Corp.                         123,000  $       124,468
 *ABILIT Corp.                                22,000          120,395
  Achilles Corp.                             549,000        1,068,311
  Aderans Co., Ltd.                            2,850           61,415
 #Advan Co., Ltd.                             36,000          477,840
  ADVANEX, Inc.                               78,000          425,762
 *Aeon Fantasy Co., Ltd.                      11,500          274,472
  Ahresty Corp.                               28,300          274,994
  Aichi Bank, Ltd.                            13,200          904,251
 #Aichi Corp.                                119,900          563,983
 *Aichi Machine Industry Co., Ltd.           153,000          553,016
  Aichi Tokei Denki Co., Ltd.                 67,000          199,852
  Aida Engineering, Ltd.                     113,000          534,326
  Aigan Co., Ltd.                             33,500          218,176
  Aiphone Co., Ltd.                           32,000          568,922
  Airport Facilities Co., Ltd.                79,970          428,703
 #Airtech Japan, Ltd.                         12,100          112,094
  Aisan Industry Co., Ltd.                    80,500          840,232
 *Akai Electric Co., Ltd.                    363,000            3,327
  Akebono Brake Industry Co., Ltd.           141,000          740,608
  Akita Bank, Ltd.                            42,000          169,203
  Allied Material Corp.                       37,700          602,727
 *Allied Telesis Holdings KK                  92,700          433,277
 #Allied Telesis KK                           10,300           77,241
  Aloka Co., Ltd.                             43,000          354,301
 #Alpha Systems Inc.                          19,600          318,626
 #Alpine Electronics, Inc.                     9,100          123,131
  Alps Logistics Co., Ltd.                    21,000          540,231
  Altech Co., Ltd.                            14,000           65,966
 *Altech Corp.                                 5,800          102,883
  Amano Corp.                                154,000        1,375,761
  Amatsuji Steel Ball Manufacturing                                  
    Co., Ltd.                                 42,000          418,290
  Ando Corp.                                 120,000          296,529
  Anest Iwata Corp.                           74,000          184,942
  Anrakutei Co., Ltd.                         24,000          169,559
 *AOC Holdings, Inc.                         111,100          677,858
  AOI Advertising Promotion, Inc.             21,000          148,767
  AOI Electronics Co., Ltd.                   14,500          264,234
  Aoki International Co., Ltd.                78,100        1,084,610
  Aomori Bank, Ltd.                          163,000          661,186
 *Apic Yamada Corp.                           20,000          125,708
 *Arai-Gumi, Ltd.                             34,450           66,046
  Arakawa Chemical Industries, Ltd.           23,800          306,587
  Araya Industrial Co., Ltd.                  84,000          161,106
 *Argo 21 Corp.                               13,200          100,890
  Ariake Japan Co., Ltd.                       5,300          158,216
  Aronkasei Co., Ltd.                         53,000          214,463
  As One Corp.                                22,500          618,395
 #Asahi Denka Kogyo KK                       169,000        1,691,774
  Asahi Diamond Industrial Co., Ltd.         112,000          681,056
  Asahi Kogyosha Co., Ltd.                    48,000          146,118
 #Asahi Organic Chemicals Industry                                   
    Co., Ltd.                                157,000          462,026
 #Asahi Pretec Corp.                          30,800          402,130
*#Asahi Soft Drinks Co., Ltd.                 81,500  $       767,077
*#Asahi Tec Corp.                             86,000          174,751
*#Asahi Techno Glass Corp.                    95,000          646,699
  Asanuma Corp.                              123,000          230,560
 #Ashimori Industry Co., Ltd.                 84,000          180,916
  Asia Air Survey Co., Ltd.                    6,000           15,969
  Asia Securities Printing Co., Ltd.          29,000          261,347
  Asics Corp.                                333,000        1,105,365
 *Asics Trading Co., Ltd.                      7,000           98,895
  Asunaro Construction., Ltd.                 29,000          215,868
  Ataka Constuction & Engineering                                    
    Co., Ltd.                                 38,000          142,358
  Atom Corp.                                  16,600          195,625
 #Atsugi Co., Ltd.                           322,000          388,212
  Aucnet, Inc.                                15,000          248,069
 #Avex Inc.                                   14,600          268,199
 *Azel Corp., Tokyo                           89,000          103,511
  Bando Chemical Industries, Ltd.            213,000          726,299
  Bank of Okinawa, Ltd.                       33,900          766,550
  Bank of Saga, Ltd.                         113,000          429,840
  Bank of the Ryukyus, Ltd.                   45,880          805,287
 *Banpresto Co., Ltd.                         11,700          165,375
 #Best Denki Co., Ltd.                       214,000        1,001,411
 #BSL Corp.                                  210,950          432,493
  Bull Dog Sauce Co., Ltd.                    26,000          280,718
  Bunka Shutter Co., Ltd.                    134,000          644,762
  Cabin Co., Ltd.                             67,000          162,183
 #CAC Corp.                                   31,100          218,957
  Calpis Co., Ltd.                           125,000          904,994
  Canon Electronics, Inc.                     43,000          994,650
 #Canon Finetech, Inc.                        67,070        1,218,159
  Capcom Co., Ltd.                            55,300          612,994
 *Catena Corp.                                46,000          143,412
 *Cats, Inc.                                  15,400              423
 #Cecile Co., Ltd.                            64,100          586,579
  Central Finance Co., Ltd.                  180,000          670,461
  Central Security Patrols Co., Ltd.          31,400          255,587
 #CFS Corp.                                   47,500          340,416
 *Chiba Kogyo Bank, Ltd.                      80,600          558,281
 #Chino Corp.                                 70,000          239,942
  Chiyoda Co., Ltd.                           64,400        1,078,559
  Chofu Seisakusho Co., Ltd.                  54,500        1,077,481
 *Chori Co., Ltd.                            256,000          372,998
  Chuetsu Pulp and Paper Co., Ltd.           176,000          441,587
*#Chugai Mining Co., Ltd.                    188,600          159,320
 #Chugai Ro Co., Ltd.                        139,000          366,233
 #Chugoku Marine Paints, Ltd.                111,000          616,089
 #Chugokukogyo Co., Ltd.                      45,000          173,154
  Chukyo Bank, Ltd.                           44,000          164,054
  Chuo Denki Kogyo co., Ltd.                  30,000          163,581
  Chuo Gyorui Co., Ltd.                       61,000          118,505
  Chuo Spring Co., Ltd., Nagoya               91,000          365,757
  CKD Corp.                                  113,000          784,478
*#Clarion Co., Ltd.                          587,000        1,018,964
  Cleanup Corp.                               71,000          812,466
 #CMK Corp.                                   62,000          981,110
  Coca Cola Central Japan Co., Ltd.              139          993,539

99

N-CSR
104th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 104th
                                                                [Download Table]

                                                   SHARES           VALUE+
                                          ---------------  ---------------
                                                                          
 #Colowide Co., Ltd.                               29,000  $       330,576
*#Columbia Music Entertainment, Inc.              212,000          230,626
  Commuture Corp.                                  71,202          574,427
  Computer Engineering & Consulting, Ltd.          29,800          352,897
 *Co-Op Chemical Co., Ltd.                         80,000           90,722
 *Core Corp.                                        8,200          196,274
 #Corona Corp.                                     44,300          646,775
 #Cosel Co., Ltd.                                  33,400        1,044,058
  Create Medic Co., Ltd.                            7,000           64,849
  Credia Co., Ltd.                                 14,000          282,499
  Cresco, Ltd.                                     11,600          125,585
  CTI Engineering Co., Ltd.                        19,000          113,394
*#Culture Convenience Club Co., Ltd.               53,200          690,893
 *Cybozu, Inc.                                         28           64,327
 *D&M Holdings, Inc.                              134,000          480,975
 #Dai Nippon Toryo, Ltd.                          193,000          294,553
  Daibiru Corp.                                    60,000          414,886
  Dai-Dan Co., Ltd.                                65,000          332,167
  Daido Kogyo Co., Ltd.                            60,000          119,769
  Daidoh, Ltd.                                     54,000          468,637
  Daifuku Co., Ltd.                               176,000          902,628
  Daihen Corp.                                    215,000          471,222
 #Daiho Corp.                                      96,000          215,571
  Dai-Ichi Jitsugyo Co., Ltd.                      80,000          231,773
  Dai-Ichi Kogyo Seiyaku Co., Ltd.                 47,000          139,720
 #Daiken Corp.                                    208,000        1,030,965
  Daiki Co., Ltd.                                  41,300          437,963
  Daiko Clearing Services Corp.                    25,000          161,015
 *Daikoku Denki Co., Ltd.                          15,400          337,060
*#Daikyo, Inc.                                    444,000          997,878
  Daimei Telecom Engineering Corp.                 65,000          435,867
  Dainichi Co., Ltd.                               27,200          131,130
 #Dainichiseika Colour & Chemicals                                        
    Manufacturing Co., Ltd.                       163,000          890,725
 #Dainippon Shigyo Co., Ltd.                       25,000          116,922
  Daisan Bank, Ltd.                               156,000          598,551
 #Daiseki Co., Ltd.                                35,400          590,568
 #Daiso Co., Ltd.                                 112,000          327,526
 *Daisue Construction Co., Ltd.                   151,500          170,418
  Daisyo Corp.                                     32,000          397,402
  Daito Seiki Co., Ltd.                            18,000           54,395
 *Daito Woolen Spinning & Weaving                                         
    Co., Ltd., Tokyo                               42,000           45,208
  Daiwa Industries, Ltd.                           82,000          250,658
  Daiwa Kosho Lease Co., Ltd.                     225,000        1,277,805
*#Daiwa Seiko, Inc.                               145,000          169,518
  Daiwabo Co., Ltd.                               217,000          284,217
  Daiwabo Information System Co.,                                         
    Ltd.                                           22,000          307,601
  Danto Corp.                                      42,000          175,941
  DC Co., Ltd.                                     33,000           76,575
  Denki Kogyo Co., Ltd.                           111,000          432,459
 #Denny's Japan Co., Ltd.                          51,000        1,033,921
  Densei-Lambda KK                                 34,584          305,465
 #Denyo Co., Ltd.                                  38,000          245,424
 #Descente, Ltd.                                  119,000          477,629
 *Dia Kensetsu Co., Ltd.                          141,200          202,514
  Diamond Computer Service Co.,                                           
    Ltd.                                           37,700          478,594
 *Dijet Industrial Co., Ltd.                       34,000           58,519
  Doshisha Co., Ltd.                               15,000          662,718
 #Doutor Coffee Co., Ltd.                          34,200  $       608,839
  DTS Corp.                                        21,200          497,603
 *Dydo Drinco Inc.                                 17,600          560,699
*#Dynic Corp.                                      52,000          159,776
  Eagle Industry Co., Ltd.                         78,000          438,158
 *Echo Trading Co., Ltd.                            4,000           53,362
 *Econach Co., Ltd.                                26,000           12,664
 *Eco-Tech Construction Co., Ltd.                 241,000                0
  Edion Corp.                                     112,316        1,527,330
  Ehime Bank, Ltd.                                232,000          805,106
 #Eiken Chemical Co., Ltd.                         54,000          506,530
  Eikoh, Inc.                                       8,000           59,266
 *Eizo Nanao Corp.                                 20,900          615,780
  Elna Co., Ltd.                                   22,000           57,962
  Enplas Corp.                                     29,800          974,298
*#Enshu, Ltd.                                      69,000          124,646
  Ensuiko Sugar Refining Co., Ltd.                 51,000          102,934
  Exedy Corp.                                      71,000        1,259,826
 *F.D.C. Products, Inc.                             7,200          117,804
 *Fancl Corp.                                       5,900          194,575
*#FDK Corp.                                       178,000          607,785
  Fine Sinter Co., Ltd.                            31,000           97,424
 *First Baking Co., Ltd.                           67,000          123,242
  Foster Electric Co., Ltd.                        32,000          295,816
  FP Corp.                                         38,800          802,358
 #France Bed Holdings Co., Ltd.                   193,000          668,597
*#Fudo Construction Co., Ltd.                      40,200          202,377
*#Fuji Co.,Ltd.                                    29,900          579,429
 *Fuji Corp, Ltd.                                  21,000          229,633
  Fuji Kiko Co., Ltd.                              71,000          243,150
*#Fuji Kosan Co., Ltd.                            130,000          158,976
  Fuji Kyuko Co., Ltd.                            170,000          609,869
*#Fuji Spinning Co., Ltd., Tokyo                  163,000          216,615
  Fujicco Co., Ltd.                                46,000          586,721
 *Fujii & Co., Ltd.                                44,000              403
 *Fujiko Co., Ltd.                                 55,000            1,008
  Fujikura Kasei Co., Ltd.                         43,000          361,417
  Fujikura Rubber, Ltd.                            34,000          209,004
 #Fujirebio, Inc.                                  75,000        1,031,304
*#Fujita Corp.                                    200,500          252,151
 #Fujita Kanko, Inc.                              194,000          763,124
  Fujitec Co., Ltd.                               145,000          738,784
 *Fujitsu Access, Ltd.                             36,000          198,956
  Fujitsu Business Systems, Ltd.                   45,300          614,017
  Fujitsu Devices, Inc.                            38,000          487,845
  Fujitsu Fronttec, Ltd.                           41,500          395,286
*#Fujitsu General, Ltd.                           161,000          843,896
*#Fujiya Co., Ltd.                                190,000          331,327
  Fukuda Corp.                                     65,000          296,796
  Fukushima Bank, Ltd.                            271,000          461,513
 *Fukusima Industries Corp.                        10,500          127,228
 *Fukusuke Corp.                                   95,000                0
  Fumakilla, Ltd.                                  24,000           47,730
 *Furukawa Battery Co., Ltd.                       45,000           81,909
*#Furukawa Co., Ltd.                              643,000          722,861
  Fuso Lexel Inc.                                  17,000          136,839
  Fuso Pharmaceutical                                                     
    Industries, Ltd.                              157,000          538,337
 *Ga-jo-en Kanko KK                                37,000                0
  Gakken Co., Ltd.                                168,000          391,266
 *Generas Corp.                                    64,000              587
 #Genki Sushi Co., Ltd.                            17,200          226,042

 100

N-CSR
105th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 105th
                                                                [Download Table]

                                                SHARES           VALUE+
                                       ---------------  ---------------
                                                                       
  Geostar Corp.                                 10,000  $        31,061
  Global-Dining, Inc.                            6,200           41,348
  Godo Steel, Ltd.                             242,000        1,120,249
 *Goldwin, Inc.                                 76,000          144,116
 #Gourmet Kineya Co., Ltd.                      31,000          279,594
 *Graphtec Corp.                                39,000           66,818
 #Gro-BeLS Co., Ltd.                            84,000          117,365
 *GSI Creoss Corp.                              90,000          204,498
  Gun-Ei Chemical Industry Co., Ltd.           127,000          377,412
  Hagoromo Foods Corp.                          29,000          302,797
  Hakuto Co., Ltd.                              36,400          498,482
  Hakuyosha Co., Ltd.                           57,000          167,865
  Haltec Corp.                                  32,000           53,112
 *Hamai Co., Ltd.                               22,000           31,690
  Hanshin Sogo Bank, Ltd.                       78,000          164,787
  Hanwa Co., Ltd.                              405,000        1,459,465
  Happinet Corp.                                15,000          184,463
  Harashin Co., Ltd.                            24,300          192,100
  Harima Chemicals, Inc.                        37,000          270,572
  Haruyama Trading Co., Ltd.                    21,600          313,667
*#Hayashikane Sangyo Co., Ltd.                 128,000          156,036
 *Hazama Corp.                                  48,000          123,913
  Heiwado Co., Ltd.                             15,000          208,330
  Hibiya Engineering, Ltd.                      63,000          512,201
  Higashi-Nippon Bank, Ltd.                    288,000          793,950
  Hisaka Works, Ltd.                            41,000          331,224
  Hitachi Business Solution Co., Ltd.           22,700          171,693
  Hitachi Kiden Kogyo, Ltd.                     20,000           82,496
  Hitachi Koki Co., Ltd.                       153,000          981,902
 #Hitachi Kokusai Electric, Inc.                76,000          590,473
  Hitachi Medical Corp.                         59,000          826,330
  Hitachi Metals Techno, Ltd.                   12,000           32,697
 *Hitachi Mobile Co., Ltd.                      23,000          167,863
  Hitachi Plant Engineering &                                          
    Construction Co., Ltd.                     177,000          718,471
  Hitachi Powdered Metal Co., Ltd.              46,000          313,759
  Hitachi Tool Engineering, Ltd.                39,000          332,916
 #Hochiki Corp.                                 42,000          200,515
 *Hodogaya Chemical Co., Ltd.                  100,000          363,413
 *Hohsui Corp.                                  56,000           69,792
  Hokkai Can Co., Ltd., Tokyo                  106,000          262,236
 #Hokkaido Bank, Ltd.                          580,000        1,204,977
  Hokkaido Coca Cola Bottling Co.,                                     
    Ltd.                                        64,000          398,913
  Hokkaido Gas Co., Ltd.                        87,000          214,048
  Hokko Chemical Industry Co., Ltd.             41,000          143,955
 #Hokuetsu Bank, Ltd.                          350,000          724,530
  Hokuriku Electric Industry Co., Ltd.         112,000          222,229
  Hokuriku Electrical Construction                                     
    Co., Ltd.                                   36,000          104,621
  Hokuriku Gas Co., Ltd.                        64,000          185,388
 *Hokushin Co., Ltd.                            39,900           63,342
 #Hokuto Corp.                                  51,700          910,224
 #Homac Corp.                                   66,500          484,944
  Honshu Chemical Industry Co., Ltd.             7,000           36,440
 #Horiba, Ltd.                                  54,000          800,859
  Horipro, Inc.                                 23,400          196,942
*#Hosokawa Micron Corp.                         40,000          288,721
*#Howa Machinery, Ltd.                         181,000          228,594
*#Ichida and Co., Ltd.                          23,400           46,326
  Ichikawa Co., Ltd.                            49,000          161,808
  Ichiken Co., Ltd.                             48,000           77,143
 #Ichikoh Industries, Ltd.                     141,000  $       403,127
  Ichiyoshi Securities Co., Ltd.                87,000          726,640
 #Icom, Inc.                                    23,600          539,661
  Idec Izumi Corp.                              54,500          500,144
  Ihara Chemical Industry Co., Ltd.             80,000          192,960
 #Iino Kaiun Kaisha, Ltd.                      161,000          701,680
*#Ikegami Tsushinki Co., Ltd.                  102,000          204,714
  i-Logistics Corp.                             35,000           68,457
 *Imasen Electric Industrial Co., Ltd.          15,800          139,702
  Impact 21 Co., Ltd.                           30,600          752,414
*#Impress Corp.                                    178          258,766
  Inaba Denki Sangyo Co., Ltd.                  40,500          924,782
 #Inaba Seisa Kusho Co., Ltd.                   28,400          475,660
  Inabata and Co., Ltd., Osaka                  95,000          768,282
  Inageya Co., Ltd.                             83,000          789,242
  Ines Corp.                                    80,400          916,446
  I-Net Corp.                                   12,000           68,113
 #Information Services International-                                  
    Dentsu, Ltd.                                51,800          705,342
  Intec, Inc.                                   65,000          474,775
 #Inui Steamship Co., Ltd.                      31,000          107,974
  ISE Chemicals Corp.                           38,000          139,149
 #Iseki & Co., Ltd.                            348,000          952,082
  Ishihara Sangyo Kaisha, Ltd.                 133,000          295,222
  Ishii Hyoki Co., Ltd.                          8,600           99,204
*#Ishii Iron Works Co., Ltd.                    52,000           72,057
*#Ishikawa Seisakusho, Ltd.                     75,000          108,452
  Ishikawajima Construction Materials                                  
    Co., Ltd.                                   18,000           50,767
  Ishikawajima Transport Machinery                                     
    Co., Ltd.                                   16,000           40,081
  Ishizuka Glass Co., Ltd.                      49,000          112,698
  Itochu Enex Co., Ltd.                        149,300          833,164
 #Itochu Shokuh Co., Ltd.                       20,700          777,823
  Itoki Crebio Corp.                            56,000          175,042
  Iwaki & Co., Ltd.                             38,000          105,601
 #Iwasaki Electric Co., Ltd.                   110,000          455,010
  Iwatani International Corp.                  389,000          984,439
 *Iwatsu Electric Co., Ltd.                    145,000          346,151
 *Izuhakone Railway Co., Ltd.                      300           37,117
*#Izukyu Corp.                                  11,700           87,688
  Izumiya Co., Ltd.                            135,000          913,174
*#Izutsuya Co., Ltd.                           123,000          252,870
  Jac Holdings Co., Ltd.                        11,000           81,118
  Jaccs Co., Ltd.                              207,000        1,339,855
 *Jalux, Inc.                                   14,400          302,016
  Jamco Corp.                                   18,000           82,446
*#Janome Sewing Machine Co., Ltd.              224,000          378,275
  Japan Business Computer Co., Ltd.             34,000          245,626
 #Japan Carlit Co., Ltd.                        28,000          179,671
  Japan Cash Machine Co., Ltd.                  29,810        1,059,535
  Japan Digital Laboratory Co., Ltd.            53,900          689,942
  Japan Foundation Engineering Co.,                                    
    Ltd.                                        49,200          215,508
  Japan Information Processing                                         
    Service Co., Ltd.                           31,800          236,556
 #Japan Kenzai Co., Ltd.                        33,440          276,152
  Japan Maintenance Co., Ltd.                   27,000          218,015
  Japan Medical Dynamic Marketing                                      
    Inc.                                        26,100          336,918
  Japan Oil Transportation Co., Ltd.            45,000          103,607
 #Japan Pulp and Paper Co., Ltd.               229,000          763,132

 101

N-CSR
106th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 106th
                                                                [Download Table]

                                                SHARES           VALUE+
                                       ---------------  ---------------
                                                                       
 *Japan Radio Co., Ltd.                        124,000  $       578,881
  Japan Servo Co., Ltd.                         51,000          169,339
  Japan Steel Tower Co., Ltd.                   19,000           42,239
 #Japan Steel Works, Ltd.                      590,000          936,306
 #Japan Storage Battery Co., Ltd.              529,000        1,294,442
 #Japan Transcity Corp.                         94,000          270,625
  Japan Vilene Co., Ltd.                       101,000          341,878
  Japan Wool Textile Co., Ltd.                 138,000          769,020
  Jastec Co., Ltd.                              11,600          212,178
  Jeans Mate Corp.                              12,740          169,473
 #Jeol, Ltd.                                   119,000          893,872
*#Jidosha Denki Kogyo Co., Ltd.                 34,000           60,173
 *Jiec Co., Ltd.                                    59           74,321
  JMS Co., Ltd.                                 49,000          159,001
  Joban Kosan Co., Ltd.                        101,000          158,665
  J-Oil Mills, Inc.                            274,000        1,113,339
  Joint Corp.                                   24,900          541,194
 #Joshin Denki Co., Ltd.                        98,000          350,649
  Jsp Corp.                                     42,300          561,591
  Juel Verite Ohkubo Co., Ltd.                  24,000           66,059
*#Jujiya Co., Ltd.                             321,000          375,835
*#Juki Corp.                                   153,000          542,543
 *Jyomo Co., Ltd.                               48,000          119,140
  K.R.S. Corp.                                  17,000          287,518
  Kabuki-Za Co., Ltd.                           15,000          570,558
 #Kadokawa Holdings, Inc.                       27,000          972,263
 #Kaga Electronics Co., Ltd.                    38,400          755,299
  Kagawa Bank, Ltd.                            126,350          703,672
 #Kagome Co., Ltd.                              68,900          659,779
  Kahma Co., Ltd.                               51,400          706,471
 #Kaken Pharmaceutical Co., Ltd.               146,000          857,440
 *Kakuei (L.) Corp.                            100,000              916
*#Kamagai Gumi Co., Ltd.                        87,800          221,980
  Kameda Seika Co., Ltd.                        33,000          250,260
  Kamei Corp.                                   59,000          466,030
  Kanaden Corp.                                 55,000          300,885
  Kanagawa Chuo Kotsu Co., Ltd.                100,000          586,211
  Kanamoto Co., Ltd.                            43,000          224,701
*#Kanebo, Ltd.                                 723,000          679,871
*#Kanematsu Corp.                              534,500          883,900
  Kanematsu Electronics, Ltd.                   45,500          552,423
*#Kanematsu-NNK Corp.                           60,000          154,671
  Kanto Auto Works, Ltd., Yokosuka              87,100          972,496
 #Kanto Denka Kogyo Co., Ltd.                   83,000          470,533
  Kanto Natural Gas Development                                        
    Co., Ltd.                                  104,000          575,306
 #Kanto Tsukuba Bank, Ltd.                      45,500          372,334
  Kasai Kogyo Co., Ltd.                         59,000          192,678
  Kasei (C.I.) Co., Ltd.                        46,000          170,757
 #Kasumi Co., Ltd.                             132,000          819,240
  Katakura Chikkarin Co., Ltd.                  17,000           51,827
  Katakura Industries Co., Ltd.                 55,000          577,651
 #Kato Sangyo Co., Ltd.                         60,300          848,186
 #Kato Works Co., Ltd.                          82,000          156,878
  Katsumura Construction Co., Ltd.              48,600           55,316
  Kawada Industries, Inc.                       76,000          250,308
*#Kawai Musical Instruments                                            
    Manufacturing Co., Ltd.                     99,000          151,234
 *Kawasaki Kasei Chemicals, Ltd.                36,000           41,410
  Kawashima Textile Manufacturers,                                     
    Ltd.                                       126,000          172,593
 *Kawasho Corp.                                549,000        1,612,797
  Kawasho Gecoss Corp.                          57,900  $       252,429
  Kawasumi Laboratories, Inc.                   26,000          186,309
  Kawatetsu Systems, Inc.                          112          170,927
  Kayaba Industry Co., Ltd.                     40,000          143,150
 *Keihanshin Real Estate Co., Ltd.              48,000          236,932
 #Keihin Co., Ltd.                             100,000          187,933
  Keiiyu Co., Ltd.                              15,000          183,286
  Keiyo Co., Ltd.                              139,900          730,074
 #Kentucky Fried Chicken Japan, Ltd.            55,000        1,035,772
*#Kenwood Corp.                                382,000          997,930
 #Key Coffee, Inc.                              33,000          449,907
  Kibun Food Chemifa Co., Ltd.                  42,000          771,697
 *Kimmon Manufacturing Co., Ltd.                41,000           53,523
 *Kimura Chemical Plants Co., Ltd.              27,000           41,016
  Kinki Coca-Cola Bottling Co., Ltd.            97,000          907,792
*#Kinki Nippon Tourist Co., Ltd.               133,000          424,672
 #Kinki Sharyo Co., Ltd., Nagaokakyo           101,000          285,230
 *Kinsho Corp.                                  21,000           68,609
 #Kinugawa Rubber Industrial Co.,                                      
    Ltd.                                       107,000          248,784
  Kioritz Corp.                                 96,000          234,125
 *Kirindo Co., Ltd.                              7,100           82,363
 #Kishu Paper Co., Ltd.                        125,000          216,875
  Kisoji Co., Ltd.                              34,400          477,300
 #Kitagawa Iron Works Co., Ltd.                124,000          237,527
  Kita-Nippon Bank, Ltd.                        13,006          617,062
  Kitano Construction Corp.                    124,000          252,199
  Kitazawa Sangyo Co., Ltd.                     17,500           43,706
  Kitz Corp.                                   234,000        1,037,203
  Koa Corp.                                     67,300          610,306
  Koatsu Gas Kogyo Co., Ltd.                    78,000          270,657
  Kobayashi Yoko Co., Ltd.                      16,900          356,976
  Kodensha Co., Ltd.                            14,000           41,322
  Koekisha Co., Ltd.                             9,600          236,129
 #Kohnan Shoji Co., Ltd.                        29,500          685,693
  Kohsoku Corp.                                 24,000          283,872
  Koike Sanso Kogyo Co., Ltd.                   71,000          161,511
  Koito Industries, Ltd.                        66,000          282,270
 #Kojima Co., Ltd.                              61,800          880,991
 *Kokune Corp.                                  42,000              385
 *Kokusai Kogyo Co., Ltd.                       60,000          195,657
  Komai Tekko, Inc.                             53,000          134,438
 #Komatsu Electronics Metals Co.,                                      
    Ltd.                                        46,800          620,141
  Komatsu Seiren Co., Ltd.                      53,000          261,580
  Komatsu Wall Industry Co., Ltd.               17,300          319,654
  Konaka Co., Ltd.                              29,700          418,475
 #Konami Sports Corp.                           43,800          849,540
  Kondotec, Inc.                                12,500           70,587
  Konishi Co., Ltd.                             28,000          265,081
  Kosaido Co., Ltd.                             34,000          295,428
 #Kosei Securities Co., Ltd.                   137,000          317,962
*#Kubotek Corp.                                    147          245,256
  Kumiai Chemical Industry Co., Ltd.,                                  
    Tokyo                                      108,000          253,597
  Kurabo Industries, Ltd.                      372,000          721,957
  Kureha Chemical Industry Co., Ltd.            36,000          150,666
 #Kurimoto, Ltd.                               202,000          447,214
 #Kuroda Electric Co., Ltd.                     31,200        1,354,321
  Kurosaki Harima Corp.                        125,000          220,962
  Kyoden Co., Ltd.                              79,000          932,805
  Kyodo Printing Co., Ltd.                     152,000          602,989

 102

N-CSR
107th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 107th
                                                                [Download Table]

                                               SHARES           VALUE+
                                      ---------------  ---------------
                                                                      
 #Kyodo Shiryo Co., Ltd.                      145,000  $       176,197
  Kyoei Sangyo Co., Ltd.                       44,000          168,346
 #Kyoei Tanker Co., Ltd.                       53,000          124,449
  Kyokuto Boeki Kaisha, Ltd.                   36,000          105,361
  Kyokuto Kaihatsu Kogyo Co., Ltd.             44,800          591,981
  Kyokuyo Co., Ltd.                           167,000          313,659
  Kyoritsu Maintenance Co., Ltd.               15,400          385,986
  Kyosan Electric Manufacturing Co.,                                  
    Ltd.                                       97,000          348,579
  Kyoto Kimono Yuzen Co., Ltd.                    128          297,391
  Kyowa Electronic Instruments Co.,                                   
    Ltd.                                       30,000           90,895
  Kyowa Exeo Corp.                             22,000          165,159
  Kyowa Leather Cloth Co., Ltd.                32,000          206,959
  Kyudenko Corp.                              140,000          702,409
  Kyushu-Shinwa Holdings, Inc.                487,000        1,022,258
 #Laox Co., Ltd.                               54,000          138,776
  Life Corp.                                   49,400          558,217
 *Link Consulting Associates - Japan                                  
    Corp.                                      18,800          189,623
 *Lonseal Corp.                                69,000           66,031
 *Look, Inc.                                   50,000          262,734
  Macnica, Inc.                                28,400          917,193
  Maeda Corp.                                  38,000          178,973
  Maeda Road Construction Co., Ltd.           155,000        1,092,978
  Maezawa Industries, Inc.                     27,700          147,216
  Maezawa Kaisei Industries Co.,                                      
    Ltd.                                       20,600          324,905
  Maezawa Kyuso Industries Co.,                                       
    Ltd.                                       25,400          286,862
 *Magara Construction Co., Ltd.                61,000           70,082
 #Makino Milling Machine Co., Ltd.            141,000          947,494
 *Mamiya-Op Co., Ltd.                          58,000           91,860
  Marche Corp.                                 10,700          112,529
 #Mars Engineering Corp.                       22,200        1,636,231
  Marubeni Construction Material                                      
    Lease Co., Ltd.                            54,000           97,845
 *Marubeni Telecom Co., Ltd.                       80          102,910
  Marubun Corp.                                44,600          360,779
  Marudai Food Co., Ltd.                      189,000          379,240
 *Maruei Department Store Co., Ltd.            72,000          184,101
 #Maruetsu, Inc.                               27,000          170,141
  Maruha Group, Inc.                          477,000          918,022
  Maruishi Cycle Industries, Ltd.             214,000           17,651
  Marusan Securities Co., Ltd.                106,000          665,583
  Maruwa Co., Ltd.                             17,500          289,865
  Maruwn Corp.                                 44,000          126,476
  Maruya Co., Ltd.                             14,000          107,730
  Maruyama Manufacturing Co., Inc.             73,000          134,941
*#Maruzen Co., Ltd.                           179,000          500,259
  Maruzen Co., Ltd. - General                                         
    Commercial Kitchen Appliances &                                   
    Equipment                                  30,000          187,023
  Maruzen Showa Unyu Co., Ltd.                156,000          486,237
  Maspro Denkoh Corp.                          32,300          362,681
  Matsuda Sangyo Co., Ltd.                     34,500          296,728
  Matsui Construction Co., Ltd.                40,000          140,265
 *Matsuo Bridge Co., Ltd.                      37,000          106,555
 #Matsuya Co., Ltd.                            84,000          382,091
  Matsuya Foods Co., Ltd.                      30,300          670,033
 #Matsuzakaya Co., Ltd.                       189,077          899,656
  Max Co., Ltd.                                84,000          968,304
 *Maxvalu Tohok Co., Ltd.                      12,900  $       110,562
 #Megachips Corp.                              39,100          405,843
  Meidensha Corp.                             378,050          866,765
*#Meiji Machine Co., Ltd.                      90,000          121,897
 #Meiji Shipping Co., Ltd.                     47,000          169,025
  Meisei Industrial Co., Ltd.                  29,000          116,493
  Meito Sangyo Co., Ltd.                       41,700          709,881
  Meito Transportation Co., Ltd.               22,000          193,984
 #Meiwa Estate Co., Ltd.                       34,000          374,523
  Meiwa Industry Co., Ltd.                     15,000           43,645
 *Meiwa Trading Co., Ltd.                      55,000          129,639
  Melco Holdings, Inc.                          9,000          229,690
  Mercian Corp.                               212,000          578,747
  Mikuni Coca-Cola Bottling Co., Ltd.          76,000          724,397
 #Milbon Co., Ltd.                             14,900          444,442
 #Mimasu Semiconductor Industry                                       
    Co., Ltd.                                  33,200          507,093
  Ministop Co., Ltd.                           45,500          826,406
  Mirai Group Co., Ltd.                        49,000           92,038
  Miroku Jyoho Service Co., Ltd.               22,500          208,966
 *Misawa Homes Holdings, Inc.                 262,900          828,919
 #Misawa Resort Co., Ltd.                      90,000          259,461
  Mito Securities Co., Ltd.                   113,000          399,395
  Mitsuba Corp.                                60,000          377,664
 *Mitsubishi Cable Industries, Ltd.           277,000          372,935
 *Mitsubishi Kakoki Kaisha, Ltd.              117,000          205,448
 #Mitsubishi Paper Mills, Ltd.                505,000          786,434
  Mitsubishi Pencil Co., Ltd.                  61,000          498,138
 #Mitsubishi Plastics, Inc.                   333,000          916,138
  Mitsubishi Shindoh Co., Ltd.                 82,000          199,444
 #Mitsubishi Steel Manufacturing                                      
    Co., Ltd.                                 253,000          360,038
  Mitsuboshi Belting, Ltd.                    153,000          676,880
  Mitsui High-Tec, Inc.                        68,400          826,384
  Mitsui Home Co., Ltd.                        97,000          534,102
 #Mitsui Knowledge Industry Co., Ltd.          20,100          229,195
*#Mitsui Matsushima Co., Ltd.                  90,000          127,711
 *Mitsui Mining Co., Ltd.                     177,500          240,755
  Mitsui Sugar Co., Ltd.                      145,000          360,816
  Mitsui-Soko Co., Ltd.                       221,000          711,479
  Mitsumi Electric Co., Ltd.                   34,800          406,508
 #Mitsumura Printing Co., Ltd.                 49,000          342,509
  Mitsuuroko Co., Ltd.                        107,000          696,140
  Miura Co., Ltd.                              66,400        1,120,321
  Miura Printing Corp.                         16,000           54,960
  Miyaji Engineering Group                     90,000          161,777
  Miyazaki Bank, Ltd.                         275,000        1,056,766
 #Miyoshi Oil & Fat Co., Ltd.                 120,000          241,418
 #Miyuki Keori Co., Ltd.                       50,000          179,909
  Mizuno Corp.                                205,000        1,012,327
 *Momiji Holdings, Inc.                           340          734,678
  Mori Seiki Co., Ltd.                         19,900          175,037
  Morinaga & Co., Ltd.                        419,000          979,538
*#Morishita Jinton Co., Ltd.                   32,800          159,972
  Morita Corp.                                 74,000          405,650
 #Moritex Corp.                                15,000          144,665
  Morozoff, Ltd., Osaka                        50,000           98,946
  Mory Industries, Inc.                        66,000          174,541
  Mos Food Services, Inc.                      47,000          571,579
  Moshi Moshi Hotline, Inc.                     8,700          673,234
 #MR Max Corp.                                 56,300          191,982
 *Mutoh Industries, Ltd.                       78,000          195,243

 103

N-CSR
108th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 108th
                                                                [Download Table]

                                                 SHARES           VALUE+
                                        ---------------  ---------------
                                                                        
  Mutow Co., Ltd.                                38,000  $       205,907
  Myojo Foods Co., Ltd.                          67,000          434,261
  Nabtesco Corp.                                210,000        1,115,778
 #NAC Co., Ltd.                                  13,000          119,885
 #Nachi-Fujikoshi Corp.                         433,000        1,573,266
  Nagano Bank, Ltd.                             122,000          375,511
 *Nagano Japan Radio Co., Ltd.                   27,000           45,655
 #Nagatanien Co., Ltd.                           56,000          436,843
*#Naigai Co., Ltd.                              109,000          108,549
  Nakabayashi Co., Ltd.                          76,000          141,686
 #Nakamuraya Co., Ltd.                           85,000          266,717
 *Nakano Corp.                                   49,000          139,109
 #Nakayama Steel Works, Ltd.                    186,000          774,300
  Nakayo Telecommunications, Inc.                36,000          163,280
 #NEC Infrontia Corp.                           196,000          641,810
 *NEC Mobiling, Ltd.                             15,800          462,845
 #NEC System Integration &                                              
    Construction, Ltd.                           65,000          648,568
 #NEC Tokin Corp.                               180,000          898,898
  Neturen Co., Ltd., Tokyo                       66,000          367,147
  New Japan Radio Co., Ltd.                      62,000          767,199
 *New Real Property KK                           43,900                0
 #Nichia Steel Works, Ltd.                       67,900          249,362
 #Nichias Corp.                                 237,000          880,285
 #Nichiban Co., Ltd.                             58,000          176,081
 *Nichiboshin, Ltd.                               1,190            1,091
  Nichiha Corp.                                  64,980        1,055,537
  Nichimo Co., Ltd.                              54,000          110,153
 *Nichimo Corp.                                  85,000           99,538
  Nichireki Co., Ltd.                            44,000          165,785
  Nichiro Corp.                                 289,000          448,745
  Nidec Tosok Corp.                              24,500          412,239
  Nihon Dempa Kogyo Co., Ltd.                    32,100          785,547
  Nihon Eslead Corp.                             19,440          485,241
 #Nihon Inter Electronics Corp.                  54,000          626,577
  Nihon Kagaku Sangyo Co., Ltd.                  32,000          146,173
 *Nihon Kentetsu Co., Ltd.                       27,000           66,713
  Nihon Kohden Corp.                             85,000        1,194,598
  Nihon Matai Co., Ltd.                          50,000          107,062
  Nihon Nohyaku Co., Ltd.                       103,000          191,018
 #Nihon Parkerizing Co., Ltd.                   105,000          778,677
  Nihon Seiko Co., Ltd.                          11,000           35,900
  Nihon Shokuh Kako Co., Ltd.                    26,000           58,242
 *Nihon Spindle Manufacturing Co.,                                      
    Ltd.                                         56,000          104,948
  Nihon Tokushu Toryo Co., Ltd.                  35,000          203,208
  Nikken Chemicals Co., Ltd.                     81,000          267,912
  Nikkiso Co., Ltd.                             107,000          465,051
  Nikko Co., Ltd., Akashi                        52,000          174,199
 *Nippei Toyama Corp.                            80,000          170,093
  Nippo Corp.                                   111,000          647,218
 *Nippon Avionics Co., Ltd.                      40,000          160,376
  Nippon Beet Sugar Manufacturing                                       
    Co., Ltd.                                   243,000          441,603
*#Nippon Carbide Industries Co., Inc.,                                  
    Tokyo                                       101,000          178,970
 #Nippon Carbon Co., Ltd.                       177,000          298,802
 #Nippon Ceramic Co., Ltd.                       37,000          509,370
  Nippon Chemical Industrial Co.,                                       
    Ltd.                                        131,000          498,579
  Nippon Chemi-Con Corp.                        197,000        1,023,101
 *Nippon Chemiphar Co., Ltd.                     49,000          200,037
  Nippon Chutetsukan KK                          44,000  $        89,603
  Nippon Concrete Industries Co.,                                       
    Ltd.                                         65,000          118,398
 *Nippon Conlux Co., Ltd.                        30,000          191,083
 *Nippon Conveyor Co., Ltd.                      43,000           45,873
 #Nippon Denko Co., Ltd.                        159,000          647,569
  Nippon Densetsu Kogyo Co., Ltd.                93,000          435,601
  Nippon Denwa Shisetu Co., Ltd.                104,000          376,841
  Nippon Felt Co., Ltd.                          28,000          100,934
 #Nippon Fine Chemical Co., Ltd.                 40,000          161,525
  Nippon Flour Mills Co., Ltd.                  186,000          915,376
 *Nippon Foil Mfg., Co., Ltd.                    21,000           44,440
 #Nippon Formula Feed Manufacturing                                     
    Co., Ltd.                                   100,000          182,280
  Nippon Gas Co., Ltd.                           62,000          441,548
  Nippon Hume Corp.                              43,000          103,632
 #Nippon Kanzai Co., Ltd.                        32,700          532,850
*#Nippon Kasei Chemical Co., Ltd.               154,000          209,062
 *Nippon Kinzoku Co., Ltd.                       93,000          169,023
 #Nippon Koei Co., Ltd., Tokyo                  137,000          339,615
  Nippon Konpo Unyu Soko Co., Ltd.              115,000        1,129,136
*#Nippon Koshuha Steel Co., Ltd.                221,000          299,883
*#Nippon Metal Industry Co., Ltd.               230,000          369,465
  Nippon Pigment Co., Ltd.                       11,000           32,252
  Nippon Pillar Packing Co., Ltd.                33,000          225,208
  Nippon Piston Ring Co., Ltd.                  133,000          259,009
  Nippon Road Co., Ltd.                         147,000          288,055
 #Nippon Seiki Co., Ltd.                         85,000          723,118
  Nippon Seisen Co., Ltd.                        39,000          167,326
  Nippon Sharyo, Ltd.                           233,000          691,340
  Nippon Shinyaku Co., Ltd.                     111,000          770,671
  Nippon Signal Co., Ltd.                       109,000          659,453
  Nippon Soda Co., Ltd.                         215,000          633,184
  Nippon Suisan Kaisha, Ltd.                    238,000          634,804
 #Nippon Synthetic Chemical Industry                                    
    Co., Ltd.                                   152,000          358,811
  Nippon System Development Co.,                                        
    Ltd.                                         40,600          893,200
  Nippon Systemware Co., Ltd.                    20,000          169,194
  Nippon Thompson Co., Ltd.                     117,000          941,158
  Nippon Tungsten Co., Ltd.                      44,000          107,413
  Nippon Valqua Industries, Ltd.                119,000          304,787
*#Nippon Yakin Kogyo Co., Ltd.                  117,500          387,320
  Nippon Yusoki Co., Ltd.                        49,000          153,115
  Nishishiba Electric Co., Ltd.                  28,000           49,301
*#Nissan Diesel Motor Co., Ltd.                 378,000        1,180,034
 *Nissei Corp.                                   31,700          377,956
  Nissei Plastic Industrial Co., Ltd.            35,000          262,613
 *Nisseki House Industry Co., Ltd.              260,000            2,383
 #Nissha Printing Co., Ltd.                      81,000        1,295,287
 #Nisshin Fire & Marine Insurance Co.,                                  
    Ltd.                                        293,000        1,041,177
  Nisshin Fudosan Co., Ltd.                      22,400          247,678
  Nissho Electronics Corp.                       49,900          427,357
 #Nissin Co., Ltd.                              413,200        1,706,282
  Nissin Corp.                                  150,000          362,484
  Nissin Electric Co., Ltd.                     162,000          578,266
  Nissin Kogyo Co., Ltd.                         33,800          959,069
  Nissin Sugar Manufacturing Co.,                                       
    Ltd.                                         74,000          136,013
  Nissui Pharmaceutical Co., Ltd.                34,000          204,448
  Nitchitsu Co., Ltd.                            14,000           26,363

 104

N-CSR
109th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 109th
                                                                [Download Table]

                                                  SHARES           VALUE+
                                         ---------------  ---------------
                                                                         
  Nitta Corp.                                     46,400  $       776,651
  Nittan Valve Co., Ltd.                          58,000          301,986
  Nittetsu Mining Co., Ltd.                      132,000          509,802
 #Nittetsu Steel Sheet Corp.                     117,000          268,330
  Nitto Boseki Co., Ltd.                         364,000          795,452
  Nitto Electric Works, Ltd.                      72,100          640,169
 #Nitto Flour Milling Co., Ltd.                   54,000          137,195
  Nitto Kohki Co., Ltd.                           36,000          735,936
  Nitto Seiko Co., Ltd.                           56,000          112,588
 #Nitto Seimo Co., Ltd.                           32,000           92,630
*#Nittoc Construction Co., Ltd.                   61,000          139,789
*#NIWS Co., Ltd.                                      58          174,810
  Noda Corp.                                       2,800           18,780
  NOF Corp.                                       39,000          154,433
  Nohmi Bosai, Ltd.                               59,000          318,413
 #Nomura Co., Ltd.                                61,000          456,259
  Noritake Co., Ltd.                             320,000        1,394,027
  Noritz Corp.                                    11,200          180,081
  Nosan Corp.                                    201,000          400,725
  Obayashi Road Corp.                             65,000          131,458
  Odakyu Construction Co., Ltd.                   29,000           84,204
  Odakyu Real Estate Co., Ltd.                    58,000          155,251
  Oenon Holdings, Inc.                            74,000          211,419
 *Ohki Corp.                                      73,000              669
 *Ohmori Co., Ltd.                                18,400            9,530
  Oie Sangyo Co., Ltd.                            13,200          108,350
  Oiles Corp.                                     32,500          739,695
  Oita Bank, Ltd.                                 87,000          437,469
  Okabe Co., Ltd.                                 29,000           99,293
 #Okamoto Industries, Inc.                       212,000          568,445
 *Okamoto Machine Tool Works, Ltd.                75,000          224,831
  Okamura Corp.                                   24,000          196,248
  Okaya Electric Industries Co., Ltd.             32,000          104,250
  Oki Electric Cable Co., Ltd.                    56,000          117,568
  Okinawa Electric Power Co., Ltd.                22,900          914,473
 *OKK Corp.                                      101,000          176,318
 *Okuma and Howa Machinery, Ltd.                  69,000          136,291
*#Okuma Corp.                                    193,000          766,144
 #Okura Industrial Co., Ltd.                      96,000          602,469
  Okuwa Co., Ltd.                                 73,000        1,028,394
  Olympic Corp.                                   36,100          477,948
 #O-M, Ltd.                                       46,000           76,106
 *Omikenshi Co., Ltd.                             53,000           59,321
  Ono Sokki Co., Ltd.                             43,000          296,899
 *Onoken Co., Ltd.                                11,000          131,724
  Organo Corp.                                   101,000          530,389
 *Orient Watch Co., Ltd.                          12,000            4,509
 #Oriental Construction Co., Ltd.                 39,000          202,289
  Oriental Yeast Co., Ltd.                        52,000          467,112
 #Origin Electric Co., Ltd.                       54,000          313,354
  Osaka Securities Finance Co., Ltd.              54,000          169,674
  Osaka Steel Co., Ltd.                           72,200          942,609
 #Osaki Electric Co., Ltd.                        56,000          279,611
  Oyo Corp.                                       45,800          499,588
 #P.S. Mitsubishi Construction Co., Ltd.          46,500          198,932
  Pacific Industrial Co., Ltd.                    86,000          387,975
 *Pacific Metals Co., Ltd.                        44,000          208,916
  Parco Co., Ltd.                                124,000          863,468
 *Pasco Corp.                                    111,500          335,835
  Patlite Corp.                                   13,440          281,061
  PCA Corp.                                       12,000          155,327
 *Penta-Ocean Construction Co., Ltd.             574,000        1,097,600
 #Pentax Corp.                                   180,000  $       934,674
  Petrolub International Co., Ltd.                24,800          110,659
*#PIA Corp.                                        8,800          203,297
  Pigeon Corp.                                    37,000          616,735
  Pilot Corp.                                         65          204,575
  Piolax, Inc.                                    19,600          373,775
  Pocket Card Co., Ltd.                           41,000          550,221
 #Pokka Corp.                                     48,000          224,894
  Poplar Co., Ltd.                                13,560          192,522
  Posful Corp.                                    36,900          235,928
*#Press Kogyo Co., Ltd.                          162,000          430,954
*#Prima Meat Packers, Ltd.                       355,000          425,457
  Pulstec Industrial Co., Ltd.                    21,200          138,601
 #Q'Sai Co., Ltd.                                 51,600          525,326
  Raito Kogyo Co., Ltd.                           84,900          389,585
  Rasa Industries, Ltd.                          119,000          325,249
*#Renown D'urban Holdings, Inc.                   53,880          903,144
 #Resorttrust Inc.                                42,600        1,219,691
  Rheon Automatic Machinery Co.,                                         
    Ltd.                                          40,000          123,252
  Rhythm Watch Co., Ltd.                         344,000          724,300
  Ricoh Elemex Corp.                              35,000          169,545
  Ricoh Leasing Co., Ltd.                         10,000          293,139
  Right On Co., Ltd.                              25,200        1,070,919
  Rikei Corp.                                     22,500           61,619
  Riken Corp.                                    193,000          739,907
  Riken Keiki Co., Ltd.                           33,000          185,323
  Riken Technos Corp.                             93,000          345,885
  Riken Vitamin Co., Ltd.                         37,000          705,048
  Ringer Hut Co., Ltd.                            38,300          406,504
  Rion Co., Ltd.                                   5,000           23,864
 #Rock Field Co., Ltd.                            25,300          413,872
  Rohto Pharmaceutical Co., Ltd.                  83,000          948,390
  Roland Corp.                                    40,600          707,349
 #Roland DG Corp.                                  8,200          400,044
  Royal Co., Ltd.                                 71,000        1,059,379
  Ryobi, Ltd.                                    265,000        1,085,731
  Ryoden Trading Co., Ltd.                        70,000          418,359
  Ryosan Co., Ltd.                                10,300          236,084
  Ryoyo Electro Corp.                             48,400          683,185
  S Foods, Inc.                                   28,000          188,557
*#S Science Co., Ltd.                            285,000          110,190
 #S.T. Chemical Co., Ltd.                         48,000          618,183
*#Saeki Kensetsu Kogyo Co., Ltd.                  71,000           82,381
 #Sagami Chain Co., Ltd.                          37,000          328,727
  Sagami Co., Ltd.                                51,000          191,473
  Sagami Rubber Industries Co., Ltd.              15,000           41,497
*#Saibu Gas Co., Ltd.                            280,000          544,166
 *Sailor Pen Co., Ltd.                            74,000          240,864
 #Saizeriya Co., Ltd.                             78,100        1,076,097
  Sakai Chemical Industry Co., Ltd.              162,000          690,917
  Sakai Heavy Industries, Ltd.                    60,000          149,607
 *Sakai Ovex Co., Ltd.                            85,000          179,220
  Sakata Inx Corp.                                92,000          533,233
  Sakata Seed Corp.                               78,900        1,047,891
 *Sakurada Co., Ltd.                              38,000           55,238
  Sala Corp.                                      56,000          248,336
  San-Ai Oil Co., Ltd.                           134,000          492,563
 #Sanix, Inc.                                     65,000          447,893
  Sankei Building Co., Ltd.                       69,000          402,138
  Sanki Engineering Co., Ltd.                    120,000          875,352
  Sanko Co., Ltd.                                 12,000           80,802

 105

N-CSR
110th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 110th
                                                                [Download Table]

                                               SHARES           VALUE+
                                      ---------------  ---------------
                                                                      
  Sanko Metal Industrial Co., Ltd.,                                   
    Tokyo                                      54,000  $       108,273
  Sankyo Seiko Co., Ltd.                       86,000          410,140
 #Sankyu, Inc., Tokyo                         415,000          871,026
  Sanoh Industrial Co., Ltd.                   53,000          337,459
 #Sanrio Co., Ltd.                             58,600          693,603
  Sanshin Electronics Co., Ltd.                57,000          453,274
  Sanyo Denki Co., Ltd.                        95,000          577,597
 #Sanyo Electric Credit Co., Ltd.              48,600        1,084,914
  Sanyo Engineering & Construction,                                   
    Inc.                                       34,000          134,008
  Sanyo Industries, Ltd., Tokyo                48,000          124,422
 #Sanyo Special Steel Co., Ltd.               283,000          544,144
*#Sasebo Heavy Industries Co., Ltd.,                                  
    Tokyo                                     201,000          238,848
 *Sata Construction Co., Ltd.,                                        
    Gumma                                      61,000           62,282
 *Sato Corp.                                    7,000          181,117
  Sato Shoji Corp.                             31,000          207,925
  Satori Electric Co., Ltd.                    24,480          342,301
  Sawafugji Electric Co., Ltd.                 31,000           79,211
 *Secom Joshinetsu Co., Ltd.                   14,100          263,060
  Secom Techno Service Co., Ltd.               19,500          716,599
 *Seibu Electric Industry Co., Ltd.            24,000          101,792
 #Seijo Corp.                                  17,400          258,224
  Seika Corp.                                 145,000          251,952
 *Seikitokyu Kogyo Co., Ltd.                   86,000           98,156
  Seiko Corp.                                 180,407        1,463,670
 #Seiren Co., Ltd.                             92,000          705,340
 #Sekisui Jushi Co., Ltd.                      73,000          453,662
  Sekisui Plastics Co., Ltd.                  145,000          438,525
  Sekiwa Real Eastate, Ltd.                    36,000          429,197
  Sekiwa Real Estate Chubu, Ltd.                7,000           42,052
  Senko Co., Ltd.                             205,000          785,182
 *Senshu Electric Co., Ltd.                    13,500          214,546
  Senshukai Co., Ltd.                          75,000          813,501
  Shaddy Co., Ltd.                             32,200          387,354
 #Shibaura Mechatronics Corp.                  79,000          553,501
  Shibusawa Warehouse Co., Ltd.               115,000          281,668
 #Shibuya Kogyo Co., Ltd.                      54,000          444,566
 *Shikibo, Ltd.                               155,000          205,919
  Shikoku Chemicals Corp.                      89,000          331,946
  Shikoku Coca-Cola Bottling Co.,                                     
    Ltd.                                       37,000          455,577
  Shimizu Bank, Ltd.                           15,500          762,964
  Shin Nippon Air Technologies Co.,                                   
    Ltd.                                       31,180          214,269
  Shinagawa Refractories Co., Ltd.            104,000          240,682
 *Shindengen Electric Manufacturing                                   
    Co., Ltd.                                 129,000          490,802
  Shin-Etsu Polymer Co., Ltd.                 124,000          734,618
 #Shinkawa, Ltd.                               30,200          651,620
  Shin-Keisei Electric Railway Co.,                                   
    Ltd.                                       97,000          336,410
  Shinki Co., Ltd.                             61,000          498,328
 #Shinko Electric Co., Ltd.                   257,000          779,487
  Shinko Plantech Co., Ltd.                    27,000           29,881
  Shinko Shoji Co., Ltd.                       29,000          227,035
  Shin-Kobe Electric Machinery Co.,                                   
    Ltd.                                       71,000          292,728
  Shinmaywa Industries, Ltd.                  203,000          871,506
 #Shinsho Corp.                               110,000          219,871
 #Shinwa Kaiun Kaisha, Ltd.                   257,000  $       678,733
  Shinyei Kaisha                               54,000          138,398
  Shiraishi Corp.                              25,000           41,289
  Shiroki Co., Ltd.                           132,000          328,001
  Shizuki Electric Co., Inc.                   47,000          127,668
  Shizuokagas Co., Ltd.                        70,000          277,573
*#Sho-Bond Corp.                               46,200          295,453
  Shobunsha Publications, Inc.                 25,000          344,493
*#Shochiku Co., Ltd.                          165,000          975,856
 #Shoei Co., Ltd.                              28,800          390,250
  Shoei Foods Corp.                            14,000           77,811
  Shoko Co., Ltd.                             156,000          249,210
  Shokusan Bank, Ltd.                          98,000          333,540
  Showa Aircraft Industry Co., Ltd.            47,000          265,046
  Showa Corp.                                  18,400          211,284
  Showa Electric Wire & Cable Co.,                                    
    Ltd., Kawasaki                            329,000          512,773
 #Showa Highpolymer Co., Ltd.                  86,000          254,490
  Showa Mining Co., Ltd.                       66,000          101,915
 #Showa Sangyo Co., Ltd.                      282,000          668,333
  Showa Tansan Co., Ltd.                       21,000           70,446
 #Siix Corp.                                    9,000          175,724
  Silver Ox Inc.                               30,000           69,838
*#Silver Seiko, Ltd.                          228,000          111,227
  Sinanen Co., Ltd.                           160,000          817,691
  Sintokogio, Ltd., Nagoya                     89,000          454,757
  SMK Corp.                                   127,000          578,978
  Snow Brand Seed Co., Ltd.                    16,000           63,896
  SNT Corp.                                    31,000          151,477
  Soda Nikka Co., Ltd.                         35,000           89,517
 #Sodick Co., Ltd.                             69,000          580,955
 *Sofmap Co., Ltd.                              9,300           54,767
  Software Research Associates, Inc.            6,200           67,310
  Sogo Medical Co., Ltd.                        8,800          135,225
 *Sokkisha Co., Ltd.                           40,000          118,699
  Sonton Food Industry Co., Ltd.               27,000          236,139
 #Sorun Corp.                                  41,000          242,124
 #Sotetsu Rosen Co., Ltd.                      44,000          255,728
  Sotoh Co., Ltd.                              12,000          194,861
  Space Co., Ltd.                              19,180          184,279
 *SPC Electronics Corp.                        29,000          121,786
  SPK Corp.                                     7,800          117,007
  SRL, Inc.                                    66,900          719,992
  SS Pharmaceutical Co., Ltd., Tokyo           25,000          163,023
  Star Micronics Co., Ltd.                     89,000          785,478
  Starzen Corp.                               126,000          274,177
 #Stella Chemifa Corp.                         17,500          317,773
  Subaru Enterprise Co., Ltd.                  36,000          117,310
 #Sumida Corp.                                 26,290          853,624
  Suminoe Textile Co., Ltd.                   122,000          233,344
*#Sumitomo Coal Mining Co., Ltd.              200,000          247,695
  Sumitomo Densetsu Co., Ltd.                  50,700          179,032
 #Sumitomo Light Metal Industries,                                    
    Ltd.                                      493,000          863,542
*#Sumitomo Mitsui Construction Co.,                                   
    Ltd.                                      413,600          506,504
  Sumitomo Pipe & Tube Co., Ltd.               52,000          149,111
  Sumitomo Precision Products Co.,                                    
    Ltd., Amagasaki City                       84,000          280,046
 #Sumitomo Seika Chemicals Co.,                                       
    Ltd.                                      102,000          291,416
  Sumitomo Tita                                 7,800          248,118

 106

N-CSR
111th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 111th
                                                                [Download Table]

                                                SHARES           VALUE+
                                       ---------------  ---------------
                                                                       
 #Sumitomo Warehouse Co., Ltd.                 235,000  $       998,812
  Sun Wave Corp.                                80,000          331,281
  Sundrug Co., Ltd.                              3,200          181,178
  SunTelephone Co., Ltd.                        55,000          341,864
 #Suruga Corp.                                  15,400          245,932
 *Suzutan Co., Ltd.                             13,200          152,309
  SXL Corp.                                    129,000          274,574
  Sysmex Corp.                                  39,800        1,233,120
 #T.Hasegawa Co., Ltd.                          63,700        1,016,934
 #Tabai Espec Corp.                             34,000          478,225
  Tachihi Enterprise Co., Ltd.                  17,000          826,581
  Tachikawa Corp.                               25,100          153,969
  Tachi-S Co., Ltd.                             42,100          519,672
  Tadano, Ltd.                                 201,000          782,207
  Taihei Dengyo Kaisha, Ltd.                    70,000          293,782
 *Taihei Kogyo Co., Ltd.                       114,000          178,006
*#Taiheiyo Kouhatsu, Inc.                       90,000           99,558
  Taiho Kogyo Co., Ltd.                         35,600          330,539
  Taikisha, Ltd.                                97,000        1,430,143
 *Taisei Lamick Co., Ltd.                        6,700          165,286
  Taisei Rotec Corp.                           140,000          266,753
 #Taito Co., Ltd.                               70,000          180,052
  Taito Corp.                                      573          899,534
 #Taiyo Toyo Sanso Co., Ltd.                   232,000        1,002,453
  Takada Kiko Co., Ltd.                         31,000          197,496
  Takagi Securities Co., Ltd.                   94,000          287,911
  Takamatsu Corp.                               29,300          832,542
  Takano Co., Ltd.                              22,100          406,320
 *Takaoka Electric Manufacturing Co.,                                  
    Ltd., Tokyo                                156,000          232,842
 *Taka-Q Co., Ltd.                              34,500           81,851
 #Takara Co., Ltd.                             224,000        1,207,471
  Takara Printing Co., Ltd.                     17,050          168,124
  Takara Standard Co., Ltd.                     30,000          180,176
 *Takarabune Corp.                              26,000              238
 #Takasago International Corp.                 156,000          787,156
  Takasago Thermal Engineering Co.,                                    
    Ltd.                                       132,000          874,377
 #Takashima & Co., Ltd.                         60,000          125,325
  Takigami Steel Construction Co.,                                     
    Ltd.                                        42,000          261,003
 #Takiron Co., Ltd.                            118,000          481,699
  Takuma Co., Ltd.                             136,000          979,632
 #Tamura Corp.                                 113,000          596,000
 *Tamura Taiko Holdings, Inc.                   74,000          359,437
  Tanseisha Co., Ltd.                           26,000          110,551
 #Tasaki Shinju Co., Ltd.                       53,000          221,699
 #Tateho Chemical Industries Co., Ltd.          26,500          118,035
  Tatsuta Electric Wire & Cable Co.,                                   
    Ltd.                                       106,000          217,265
  Taya Co., Ltd.                                 5,000           42,062
  Tayca Corp.                                   74,000          270,794
*#TC Properties Co., Ltd.                      579,000                0
  TCM Corp.                                    146,000          321,085
 *TDF Corp.                                     11,000           41,430
 *Teac Corp.                                   113,000          189,483
  Techno Ryowa, Ltd.                            32,200          177,465
  Tecmo, Ltd.                                   27,000          302,638
  Teikoku Hormone Manufacturing                                        
    Co., Ltd.                                   38,000          348,673
  Teikoku Piston Ring Co., Ltd.                 42,000          287,604
  Teikoku Sen-I Co., Ltd.                       39,000          200,320
  Teikoku Tsushin Kogyo Co., Ltd.               73,000  $       286,416
  Tekken Corp.                                 224,000          355,422
  Ten Allied Co., Ltd.                          37,000          140,181
  Tenma Corp.                                   56,400          998,430
  Teraoka Seisakusho Co., Ltd.                  29,000          307,514
  Tetra Co., Ltd., Tokyo                        41,000          151,463
  The Daito Bank, Ltd.                         155,000          232,474
 #The Nisshin Oillio Group, Ltd.               346,000        1,584,891
  Three F Co., Ltd.                             12,200           94,731
  Tigers Polymer Corp.                          27,000          139,710
*#Titan Kogyo KK                                36,000           94,411
 #TKC Corp.                                     48,300          820,239
 #Toa Corp.                                    301,000          494,583
  Toa Doro Kogyo Co., Ltd.                      65,000          149,902
  Toa Oil Co., Ltd.                            145,000          265,052
 *Toabo Corp.                                   73,000           80,823
  Toagosei Co., Ltd.                           544,719        1,425,098
*#Tobu Store Co., Ltd.                          71,000          169,419
  TOC Co., Ltd.                                 94,000          809,476
 *Tocalo Co., Ltd.                               8,000          241,947
  Tochigi Bank, Ltd.                           126,000          710,232
  Tochigi Fuji Industrial Co., Ltd.             51,000          155,989
  Toda Kogyo Corp.                              68,000          284,313
 #Todentu Corp.                                 57,000          140,171
  Toei Co., Ltd.                               228,000          996,835
  Toenec Corp.                                 157,000          592,528
  Tohcello Co., Ltd.                            47,000          147,308
  Toho Co., Ltd.                                43,000          363,403
 *Toho Rayon Co., Ltd.                         203,000          420,597
  Toho Real Estate Co., Ltd.                    98,000          380,444
 #Toho Titanium Co., Ltd.                       44,000          732,682
 #Toho Zinc Co., Ltd.                          189,000          459,891
  Tohoku Bank, Ltd.                             92,000          183,115
  Tohoku Misawa Homes Co., Ltd.                 24,000           93,687
  Tohoku Pioneer Corp.                          34,000          746,602
  Tohoku Telecommunications                                            
    Construction Co., Ltd.                      17,000          109,463
 *Tohpe Corp.                                   36,000           42,322
 #Tohto Suisan Co., Ltd.                        54,000          102,698
 #Tokai Carbon Co., Ltd.                       316,000        1,171,239
 #Tokai Corp.                                  120,000          490,829
*#Tokai Kanko Co., Ltd.                        333,000          103,829
  Tokai Konetsu Kogyo Co., Ltd.                 15,000           66,927
 #Tokai Pulp & Paper Co., Ltd.                  88,000          321,792
  Tokai Senko KK, Nagoya                        47,000           89,489
  Tokai Tokyo Securities Co., Ltd.             366,250        1,159,099
  Tokico, Ltd.                                 189,000          673,963
  Tokimec, Inc.                                119,000          266,917
  Toko Electric Corp.                           39,000          127,762
  Toko, Inc.                                   151,000          606,124
  Tokushima Bank, Ltd.                         111,200          751,233
  Tokushu Paper Manufacturing                                          
    Co., Ltd.                                   80,000          370,903
  Tokyo Biso Kogyo Corp.                        13,000           79,657
  Tokyo Denpa Co., Ltd.                         11,000          165,293
  Tokyo Dome Corp.                             251,000        1,105,567
 *Tokyo Electron Device, Ltd.                       48          363,833
  Tokyo Energy & Systems, Inc.                  49,000          213,773
  Tokyo Kikai Seisakusho, Ltd.                 132,000          393,867
  Tokyo Leasing Co., Ltd.                       96,900        1,423,995
  Tokyo Nissan Auto Sales Co., Ltd.             97,000          256,997
  Tokyo Rakutenchi Co., Ltd.                    92,000          361,942

 107

N-CSR
112th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 112th
                                                                [Download Table]

                                                 SHARES           VALUE+
                                        ---------------  ---------------
                                                                        
 *Tokyo Rope Manufacturing Co.,                                         
    Ltd.                                        232,000  $       393,168
  Tokyo Sangyo Co., Ltd.                         36,500          108,912
  Tokyo Soir Co., Ltd.                           34,000           95,305
*#Tokyo Tekko Co., Ltd.                          67,000          323,532
  Tokyo Theatres Co., Inc., Tokyo               116,000          140,554
 #Tokyotokeiba Co., Ltd.                        422,000          736,473
 #Tokyu Community Corp.                          22,800          336,893
*#Tokyu Department Store Co., Ltd.              406,000          678,692
  Tokyu Livable Inc.                             22,200          528,621
  Tokyu Recreation Corp.                         48,000          248,157
  Tokyu Store Chain Corp.                       175,000          912,557
  Toli Corp.                                    106,000          268,729
  Tomato Bank, Ltd.                             189,000          433,177
  Tomen Electronics Corp.                        13,700          764,404
  Tomoe Corp.                                    56,000           98,674
 #Tomoegawa Paper Co., Ltd.                      55,000          193,551
  Tomoku Co., Ltd.                              136,000          388,415
 #Tomy Co., Ltd.                                 32,400          531,595
  Tonami Transportation Co., Ltd.               165,000          552,887
  Topcon Corp.                                   78,000          871,431
  Topre Corp.                                    81,000          553,318
 #Topy Industries, Ltd.                         351,000        1,292,032
 #Torigoe Co., Ltd.                              35,000          157,319
  Torii Pharmaceutical Co., Ltd.                 44,600          930,023
  Torishima Pump Manufacturing Co.,                                     
    Ltd., Osaka                                  47,000          309,836
  Tose Co., Ltd.                                  9,800          160,244
 #Toshiba Ceramics Co., Ltd.                    350,000        1,292,161
  Toshiba Machine Co., Ltd.                     294,000        1,278,063
 #Toshiba Plant Kensetsu Co., Ltd.              139,000          712,272
  Tosho Printing Co., Ltd.                      103,000          365,281
 *Totenko Co., Ltd.                              35,000           67,522
  Totetsu Kogyo Co., Ltd.                        53,000          234,772
 *Totoku Electric Co., Ltd., Tokyo               62,000          106,246
  Tottori Bank, Ltd.                            148,000          549,752
 #Touei Housing Corp.                            37,800        1,797,454
 *Toukei Computer Co., Ltd.                      10,010          111,683
 #Towa Bank, Ltd.                               340,000          789,364
 *Towa Corp.                                     33,000          373,054
  Towa Meccs Corp.                               75,000          103,602
*#Towa Real Estate Development Co.,                                     
    Ltd.                                         80,000          215,811
  Toyo Bussan Co., Ltd.                          24,200          219,719
 *Toyo Communication Equipment                                          
    Co., Ltd.                                    89,000          555,258
*#Toyo Construction Co., Ltd.                   398,000          396,613
 #Toyo Corp.                                     49,200          583,222
 #Toyo Electric Co., Ltd.                        67,000          221,848
*#Toyo Engineering Corp.                        473,000        1,258,895
*#Toyo Kanetsu KK                               220,000          353,110
  Toyo Kohan Co., Ltd.                          152,000          562,736
 #Toyo Radiator Co., Ltd.                       118,000          593,354
  Toyo Securities Co., Ltd.                     113,000          434,927
 *Toyo Shutter Co., Ltd.                         77,000           94,370
 *Toyo Sugar Refining Co., Ltd.                  60,000           74,108
  Toyo Tire & Rubber Co., Ltd.                  332,000        1,018,360
  Toyo Wharf & Warehouse Co., Ltd.              118,000          222,134
 #Trans Cosmos, Inc.                             34,800        1,123,821
  Trusco Nakayama Corp.                          52,800          946,598
  Tsubaki Nakashima Co., Ltd.                    61,000          791,388
  Tsubakimoto Chain Co.                         174,000          597,726
  Tsubakimoto Kogyo Co., Ltd.                    44,000  $        99,433
  Tsudakoma Corp.                               101,000          245,889
 *Tsugami Corp.                                 124,000          328,912
  Tsukamoto Co., Ltd.                            44,000           93,944
  Tsukishima Kikai Co., Ltd.                     70,000          470,892
  Tsurumi Manufacturing Co., Ltd.                44,000          254,541
 #Tsutsumi Jewelry Co., Ltd.                     31,100        1,036,138
  Tsutsunaka Plastic Industry Co., Ltd.          52,000          221,934
  Tsuzuki Denki Co., Ltd.                        36,000          161,993
  Tsuzuki Densan Co., Ltd.                       14,200           69,838
  TYK Corp.                                      67,000          178,518
  U.Store Co., Ltd.                              37,300          331,228
  Ube Material Industries, Ltd.                 116,000          279,422
  Uchida Yoko Co., Ltd.                          85,000          354,037
  Ueki Corp.                                     47,000           81,412
 #Unicafe, Inc.                                  10,360          150,508
  Unimat Offisco Corp.                           32,600          409,457
 *Unitika, Ltd.                                 756,000        1,005,498
  U-Shin, Ltd.                                   32,000          201,801
  Utoc Corp.                                     68,000          112,524
 *Valor Co., Ltd.                                12,000          337,752
  Vital-Net, Inc.                                64,800          517,214
  Wakachiku Construction Co., Ltd.              206,000          331,963
 #Wakamoto Pharmaceutical Co.,                                          
    Ltd.                                         48,000          146,811
  Wakodo Co., Ltd.                                4,600          156,555
  Warabeya Nichiyo Co., Ltd.                     21,160          293,832
  Watabe Wedding Corp.                           11,400          293,656
 #Watami Food Service Co., Ltd.                  64,200          611,292
  Weathernews, Inc.                              11,900          128,860
 *Wondertable, Ltd.                               8,000           10,156
  Wood One Co., Ltd.                             86,000          807,366
  Xebio Co., Ltd.                                12,000          368,991
*#XNET Corp.                                         45          233,319
  Yachiyo Musen Denki Co., Ltd.                  16,800          149,607
  Yahagi Construction Co., Ltd.                  59,000          206,949
 #Yaizu Suisankagaku Industry Co.,                                      
    Ltd.                                         20,100          190,297
  Yamagata Bank, Ltd.                            68,000          312,359
  Yamaichi Electronics Co., Ltd.                 24,700          274,994
  Yamamura Glass Co., Ltd.                      189,000          444,959
  Yamatake Corp.                                 51,400          527,603
 *Yamatane Corp.                                131,000          205,285
  Yamato Corp.                                   36,000          202,502
  Yamato International, Inc.                     43,000          299,723
  Yamato Kogyo Co., Ltd.                        118,000        1,589,690
  Yamaura Corp.                                  19,000           51,968
  Yamazen Co., Ltd.                             140,000          371,475
  Yaoko Co., Ltd.                                29,000          629,379
 *Yaskawa Information Systems                                           
    Corp.                                         8,000           90,473
  Yasuda Warehouse Co., Ltd.                     61,000          339,187
  Yellow Hat, Ltd., Tokyo                        39,600          343,235
  Yodogawa Steel Works, Ltd.                    285,000        1,219,563
  Yokogawa Bridge Corp.                          55,400          315,419
 #Yokohama Reito Co., Ltd.                       63,000          453,949
  Yokowo Co., Ltd.                               32,300          464,704
 #Yomeishu Seizo Co., Ltd.                       52,000          382,274
  Yomiuri Land Co., Ltd.                        157,000          525,916
  Yondenko Corp.                                 63,800          289,280
 #Yonekyu Corp.                                  41,500          446,627
  Yonex Co., Ltd.                                33,000          276,301

 108

N-CSR
113th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 113th
                                                        [Enlarge/Download Table]

                                                                                    SHARES           VALUE+
                                                                           ---------------  ---------------
                                                                                                           
  Yorozu Corp.                                                                      34,100  $       341,046
  Yoshimoto Kogyo Co., Ltd.                                                         60,000          558,942
  Yuasa Funashoku Co., Ltd.                                                         69,000          152,732
*#Yuasa Trading Co., Ltd.                                                          237,000          412,904
*#Yuken Kogyo Co., Ltd.                                                             60,000          145,648
  Yuki Gosei Kogyo Co., Ltd.                                                        31,000          109,434
  Yukiguni Maitake Co., Ltd.                                                        35,600          183,062
  Yuraku Real Estate Co., Ltd.                                                      69,000          281,563
  Yurtec Corp.                                                                     122,000          591,932
 #Yushin Precision Equipment Co.,                                                                          
    Ltd.                                                                            25,740          524,652
  Yushiro Chemical Industry Co., Ltd.                                               10,000          144,386
 #Zenrin Co., Ltd.                                                                  57,200          667,909
  Zensho Co., Ltd.                                                                  19,300          411,198
 #Zeria Pharmacetical Co., Ltd.                                                     74,000          760,473
  Z-Plus Co., Ltd.                                                                  39,000          198,178
 *Zuken, Inc.                                                                       27,700          335,126
                                                                                            ---------------
TOTAL COMMON STOCKS                                                                                        
    (Cost $494,727,122)                                                                         475,975,149
                                                                                            ---------------
INVESTMENT IN CURRENCY -- (0.2%)                                                                           
 *Japanese Yen                                                                                             
    (Cost $1,483,525)                                                                             1,472,341
                                                                                            ---------------
RIGHTS/WARRANTS -- (0.0%)                                                                                  
 *BSL Corp. Rights                                                                  42,190                0
 *Kanematsu Corp. Warrants 03/31/06                                                 20,125                0
                                                                                            ---------------
TOTAL RIGHTS/WARRANTS                                                                                      
    (Cost $0)                                                                                             0
                                                                                            ---------------
TOTAL -- JAPAN                                                                                             
    (Cost $496,210,647)                                                                         477,447,490
                                                                                            ---------------


                                                                                FACE                       
                                                                               AMOUNT                VALUE+
                                                                           ---------------  ---------------
                                                                                (000)                      
                                                                                                           
TEMPORARY CASH                                                                                             
  INVESTMENTS -- (21.1%)                                                                                   
 Repurchase Agreement, PNC Capital Markets, Inc. 1.28%, 07/01/04                                           
   (Collateralized by $5.328,000 FHLMC Notes 1.85%, 11/17/05, valued at                                    
   $5,341,320) to be repurchased at $5,262,187                                                             
   (Cost $5,262,000)                                                       $         5,262  $     5,262,000
 Repurchase Agreement, Mizuho Securities USA 1.30%, 07/01/04                                               
    (Collateralized by $284,802,588 U.S. Treasury Obligations, maturities                                  
    ranging from 8/15/06 to 11/15/28, valued at $124,721,695) to be                                        
    repurchased at $122,180,585 (Cost $122,176,173)@                               122,176      122,176,173
                                                                                            ---------------
TOTAL TEMPORARY CASH                                                                                       
  INVESTMENTS                                                                                              
  (Cost $127,438,173)                                                                           127,438,173
                                                                                            ---------------
TOTAL INVESTMENTS -- (100.0%)                                                                              
  (Cost $623,648,820)++                                                                     $   604,885,663
                                                                                            ===============

----------                                                                      
+    See Note B to Financial Statements.                                        
@    Security purchased with cash proceeds from securities on loan.             
*    Non-Income Producing Securities.                                           
#    Total or Partial Securities on Loan.                                       
++   The cost for federal income tax purposes is $626,708,790.                  

 See accompanying Notes to Financial Statements.

 109

N-CSR
114th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 114th
THE PACIFIC RIM SMALL COMPANY SERIES

 SCHEDULE OF INVESTMENTS

 JUNE 30, 2004
 (UNAUDITED)

                                                                [Download Table]

                                               SHARES           VALUE+
                                      ---------------  ---------------
                                                                      
AUSTRALIA -- (34.6%)                                                  
COMMON STOCKS -- (33.8%)                                              
 *A.I., Ltd.                                  129,195  $        10,834
  A.P. Eagers, Ltd.                            25,977          130,516
  AAV, Ltd.                                   111,200          177,793
  ABB Grain, Ltd.                              13,743           65,698
 #ABC Learning Centres, Ltd.                  197,376          510,204
 *Acclaim Exploration NL                      435,905           16,877
 *Adacel Technologies, Ltd.                   113,249           36,339
  ADCorp Australia, Ltd.                      119,617           92,227
  Adelaide Bank, Ltd.                         121,149          704,089
  Adsteam Marine, Ltd.                        402,319          408,762
  Adtrans Group, Ltd.                          29,000           75,203
 *Agenix, Ltd.                                267,186          123,385
 *AGT Biosciences, Ltd.                        31,650           12,467
  AJ Lucas Group, Ltd.                         62,800           68,949
  Alesco Corp., Ltd.                          106,190          490,792
 *Alkane Exploration, Ltd.                    185,165           28,594
 *Allegiance Mining NL                        274,272           27,850
  Altium, Ltd.                                162,100           40,975
  Amalgamated Holdings, Ltd.                  213,820          504,451
 *Amcom Telecommunications, Ltd.              596,711           62,852
 *Amity Oil NL                                222,481           98,311
 *Amrad Corp., Ltd.                           135,523           60,739
 *Anateus Energy, Ltd.                        193,687           12,548
  Anvil Mining NL                             343,284          107,610
  APN News & Media, Ltd.                            1                3
  ARB Corporation, Ltd.                       116,670          288,002
 *Arc Energy NL                               321,280          191,099
  Ariadne Australia, Ltd.                     270,353           58,796
 *Arrow Pharmaceuticals, Ltd.                  67,458          367,536
  Aspen Group, Ltd.                            16,183            1,697
 *Atlas Pacific, Ltd.                          82,585            8,694
 *AuIron Energy, Ltd.                         709,175           59,555
  Ausdrill, Ltd.                              118,742           53,281
 *Ausmelt, Ltd.                                36,118           10,618
  Auspine, Ltd.                                73,367          202,093
 *Austal, Ltd.                                356,800          312,503
 *Austar United                                                       
    Communications, Ltd.                    1,020,744          586,693
  Austereo Group, Ltd.                        526,966          535,040
  Austin Group, Ltd.                           70,265           32,887
 *Austral Coal, Ltd.                          373,084          177,846
  Australian Agricultural Co., Ltd.           344,519          305,893
*#Australian Magnesium Corp., Ltd.            332,383            4,438
  Australian Pharmaceutical                                           
    Industries, Ltd.                          235,609          422,537
  Australian Pipeline Trust                   310,614          578,160
 *Australian Worldwide                                                
    Exploration, Ltd.                         465,421          494,648
 *Auto Group, Ltd.                             41,309           16,463
 #Autron Corporation, Ltd.                    989,247          181,116
 #AV Jennings Homes, Ltd.                     350,188          480,672
  Bank of Queensland, Ltd.                    216,517        1,471,175
 *BayCorp Advantage, Ltd.                     244,068          499,742
 *Baxter Group, Ltd.                           18,589           60,968
  Beach Petroleum NL                        1,898,119          358,869
 *Beaconsfield Gold NL                         89,078  $        31,026
*#Bendigo Mining NL                           171,212          105,208
 *Beyond International, Ltd.                   61,256           12,169
 *Biota Holdings, Ltd.                         97,808           38,412
  Blackmores, Ltd.                             27,894          195,490
 *Blina Diamonds, Ltd.                         13,703                0
  Bolnisi Gold NL                             228,822           41,871
  Brazin, Ltd.                                159,875          165,086
 *BreakFree, Ltd.                              40,510           60,518
  Bridgestone Australia, Ltd.                  49,000           91,795
 *Broadcast Services Australia, Ltd.          205,703           37,906
 #Burswood, Ltd.                              110,988          104,309
 #Cabcharge Austalia, Ltd.                    196,800          473,597
  Campbell Brothers, Ltd.                      88,210          407,347
  Candle Australia, Ltd.                       65,879           74,161
 *Cape Range Wireless, Ltd.                 1,698,199           47,466
  Capral Aluminium, Ltd.                      167,379          263,578
  Casinos Austria International, Ltd.         258,299          177,257
 *CDS Technologies, Ltd.                       35,200           49,013
  Cedar Woods Properties, Ltd.                 50,913           60,397
 *Cellestis, Ltd.                             128,411          215,890
  Cellnet Telecommunications                                          
    Group, Ltd.                                91,100           75,972
 *Centamin Egypt, Ltd.                        996,437          133,160
  Centennial Coal, Ltd.                       456,316        1,026,333
 #Central Equity, Ltd.                        129,405          189,955
 *Charter Pacific Corp., Ltd.                  72,823           20,392
 *Charters Towers Gold Mines, Ltd.            258,700           22,742
*#Chemeq, Ltd.                                120,000          405,008
 *Child Care Centres Australia, Ltd.           62,315           61,045
 *Chiquita Brands South Pacific, Ltd.         162,390           72,516
 *Circadian Technologies, Ltd.                 40,370           56,050
  Citect Corp., Ltd.                          109,822           94,709
 *Climax Mining, Ltd.                         870,299           48,055
 *Clough, Ltd.                                817,737          251,521
 *Clover Corp., Ltd.                          159,500           33,604
 *Cluff Resources Pacific NL                  911,746           15,404
  CMI, Ltd.                                    32,784           46,007
  Coates Hire, Ltd.                           249,075          588,626
  Cochlear, Ltd.                               15,767          250,720
  Coffey International, Ltd.                   13,768           53,134
  Collection House, Ltd.                      176,200          176,014
  Colorado Group, Ltd.                        156,248          559,550
  Commander Communications, Ltd.              197,200          201,366
  Consolidated Minerals, Ltd.                 258,222          215,178
 *Coplex Resources NL                         231,400           14,507
 *Corporate Express Australia, Ltd.           189,544          664,628
  Count Financial, Ltd.                       299,500          196,573
  Coventry Group, Ltd.                         60,180          240,659
 *CPI, Ltd.                                    68,585           27,862
  Crane Group, Ltd.                            96,182          605,483
  Croesus Mining NL                           798,235          247,160
  Danks Holdings, Ltd.                         10,425           90,582
*#DCA Group, Ltd.                             313,931          573,617
  Devine, Ltd.                                168,183           77,636
 *Dioro Exploraration NL                      297,142           16,751
 *Dominion Mining, Ltd.                       168,015           51,832

 110

N-CSR
115th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 115th
                                                                [Download Table]

                                              SHARES           VALUE+
                                     ---------------  ---------------
                                                                     
  Downer Group, Ltd.                         245,549  $       550,812
 *Dragon Mining NL                           275,761           62,887
 *Emporer Mines, Ltd.                        120,600           68,764
 *Energy Developments, Ltd.                  230,514          456,913
 *Energy World Corp., Ltd.                   325,630            4,109
 *Environmental Solutions                                            
    International, Ltd.                       67,364            4,933
  Equigold NL                                225,700          229,639
  Equinox Resources, Ltd.                     67,716           33,491
  Evans & Tate, Ltd.                         157,591          120,106
  Fantastic Holdings, Ltd.                   133,100          390,767
  FKP, Ltd.                                  197,911          390,640
  Fleetwood Corp., Ltd.                       77,785          415,657
 *Forest Enterprises Australia, Ltd.         211,476           57,876
 *Fortescue Metals Group, Ltd.               107,508           38,423
  Funtastic, Ltd.                            188,261          285,911
  Futuris Corp., Ltd.                        738,371          816,827
  Gale Pacific, Ltd.                          60,756          122,353
  Gazal Corp., Ltd.                           71,177          129,179
 *Giants Reef Mining, Ltd.                   819,928           44,359
 *Globe International, Ltd.                  712,348          242,499
 *Gold Aura                                    2,635              249
 *Golden West Refining Corp., Ltd.            17,330            4,346
 *Goldstream Mining NL                       105,681           28,942
  Gowing Bros., Ltd.                          59,479          104,019
 *Gradipore, Ltd.                             86,855           38,498
  Graincorp, Ltd. Series A                    78,059          654,136
 *Grand Hotel Group                          383,087          185,281
  GRD NL                                     379,594          457,670
 #Great Southern Plantations, Ltd.           373,144          760,490
  Green's Foods, Ltd.                        129,747           85,258
  GUD Holdings, Ltd.                         114,428          716,602
  Gunns, Ltd.                                 13,201          121,243
 *Gutnick Resources NL                        17,866            2,378
  GWA International, Ltd.                    348,105          717,976
 *Gympie Gold, Ltd.                          302,445          117,983
*#Hardman Resources NL                       497,372          668,494
  Harvey World Travel, Ltd.                   52,100           52,522
  Health Communication                                               
    Network, Ltd.                            106,000           87,828
  Healthscope, Ltd.                          133,652          341,059
 *Henry Walker Eltin Group, Ltd.             287,948          174,591
 *Herald Resources, Ltd.                      69,910           33,385
  HGL, Ltd.                                   67,969           82,579
 #Hills Industries, Ltd.                     271,884          734,264
 *Horizon Oil NL                             752,832           30,091
 #Housewares International, Ltd.             289,080          435,327
  HPAL, Ltd.                                 193,847          216,998
 *Hutchison Telecommunications                                       
    (Australia), Ltd.                      1,065,400          265,587
  IInet, Ltd.                                136,659          276,359
  Iluka Resources, Ltd.                      226,628          717,918
 *Imdex, Ltd.                                135,662           10,962
  Incitec Pivot, Ltd.                         33,588          442,750
 *Independent Practioner                                             
    Network, Ltd.                          1,372,241           67,598
 #Infomedia, Ltd.                            598,900          309,557
  Institute of Drug Technology                                       
    Australia, Ltd.                           44,372           56,041
  Integrated Group, Ltd.                      94,900          121,548
 *Intellect Holdings, Ltd.                   403,028           24,872
 *International All Sports, Ltd.              58,815           13,170
  Investor Group, Ltd.                       110,445  $       233,266
  ION, Ltd.                                  342,085          418,587
  Iress Market Technology, Ltd.              176,883          397,107
  IWL, Ltd.                                  295,600           62,895
 *Ixla, Ltd.                                  89,921            1,441
 *JDV, Ltd.                                   84,981           42,501
 #Jones (David), Ltd.                        658,594          759,941
  Jubilee Mines NL                           224,549          632,319
  K&S Corp., Ltd.                             86,000          150,649
 *Kagara Zinc, Ltd.                          208,900          134,752
  Kaz Group, Ltd.                          1,324,705          366,736
 *Keycorp, Ltd.                              156,412          156,896
 *Kimberley Diamond Co. NL                   274,068          247,730
  Kingsgate Consolidated NL                  136,284          336,328
  Kresta Holdings, Ltd.                      185,695           64,857
 *Lakes Oil NL                             1,183,489           39,054
  Lemarne Corp., Ltd.                         20,790           32,149
 *Leyshon Resources, Ltd.                    103,357           22,498
  Lighting Corp., Ltd.                       112,500           60,716
 *LionOre Mining International, Ltd.          25,843          118,280
 *Lynas Gold NL                              433,768          121,417
 #MacArthur Coal, Ltd.                       265,423          374,101
 *MacMahon Holdings, Ltd.                    593,580          112,238
 *Macmin Silver, Ltd.                        305,531           28,084
 *Macquarie Corporate                                                
    Telecommunications, Ltd.                 350,192           55,084
 *Macquarie Goodman                                                  
    Management, Ltd.                         315,172          791,829
  Magellan Petroleum Australia, Ltd.          32,760           30,243
 *Magnesium International, Ltd.              656,061           27,565
  Maryborough Sugar Factory, Ltd.                600            2,163
 *Matrix Oil NL                              557,000           17,072
  MaxiTRANS Industries, Ltd.                 266,414          140,301
 #McGuigan Simeon Wines, Ltd.                258,538          847,559
  McPherson's, Ltd.                           69,231          218,978
 *Medica Holdings, Ltd.                       31,587           11,714
  Melbourne IT, Ltd.                          33,350           19,325
 *Metabolic Pharmaceuticals, Ltd.            700,000          466,213
*#Metal Storm, Ltd.                          791,640          210,270
  Mia Group, Ltd.                            237,000          161,650
 #Miller's Retail, Ltd.                      478,989          452,109
 *Mincor Resources NL                        333,960          166,792
  Monadelphous Group, Ltd.                    18,988           75,584
*#Mosaic Oil NL                              387,324           54,221
 *MPI Mines, Ltd.                            128,416          144,213
 *MXL, Ltd.                                  512,804           43,179
 #MYOB, Ltd.                                 477,320          460,764
  Namoi Cotton Cooperative, Ltd.             142,585           40,505
  National Can Industries, Ltd.               97,017          100,736
 *Norwood Abbey, Ltd.                        245,896          157,406
 *Novogen, Ltd.                              117,933          435,569
 *Novus Petroleum, Ltd.                      288,634          380,313
  Nufarm, Ltd.                               170,495          741,586
*#Nylex, Ltd.                              1,110,199          205,296
  Oakton, Ltd.                                90,396           74,713
 #Oamps, Ltd.                                176,480          373,099
*#Orbital Engine Corp., Ltd.                 537,358           52,136
  OrotonGroup, Ltd.                           76,854          145,673
 *Oxiana, Ltd.                             1,240,871          723,533
  Pacific Group, Ltd.                        175,645          503,162
  Pacific Hydro, Ltd.                        375,596          715,590
 *Palm Springs, Ltd.                         222,804           23,561

 111

N-CSR
116th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 116th
                                                                [Download Table]

                                             SHARES           VALUE+
                                    ---------------  ---------------
                                                                    
 *Pan Pacific Petroleum NL                  327,800  $        29,677
 *Pan Pharmaceuticals, Ltd.                 322,766          269,807
 *Panbio, Ltd.                               58,078           16,677
 *Payce Consolidated, Ltd.                   18,000           31,974
 *Peppercorn Management                                             
    Group, Ltd.                              12,267           75,160
 *Peptech, Ltd.                             281,015          260,390
 *Perilya Mines NL                          263,500          160,472
 *Perseverance Corp., Ltd.                  917,246          180,970
 *Petsec Energy, Ltd.                       203,974          159,973
 *Plantcorp NL                                4,329                0
  Plaspak Group, Ltd.                        99,965           66,390
 *PMP, Ltd.                                 455,871          523,258
 *Polartechnics, Ltd.                        43,405           16,141
  Port Bouvard, Ltd.                        108,200           90,952
 *Port Douglas Reef Resorts, Ltd.           251,655           14,200
  Portman, Ltd.                             343,890          424,733
*#PowerTel, Ltd. Series B                   110,422           71,981
 *Prana Biotechnology, Ltd.                  96,941           45,717
 *Precious Metals Australia, Ltd.            10,606              369
 *Preston Resources NL                       64,000              446
  Primary Health Care, Ltd.                 193,456          769,225
  Prime Television, Ltd.                    210,595          378,957
 *Primelife Corp., Ltd.                      85,867           77,652
*#Progen Industries, Ltd.                    24,788           61,763
  Programmed Maintenance                                            
    Service, Ltd.                           121,686          265,911
  Queensland Cotton Holdings, Ltd.           39,866          100,338
 *Quiktrak Networks P.L.C.                                          
    Entitlement Shares                       23,875                0
 *Quiktrak Networks, Ltd.                     7,401              516
  Ramsay Health Care, Ltd.                  151,355          577,677
  Raptis Group, Ltd.                         12,000            4,616
  Rebel Sport, Ltd.                         132,283          250,004
 *Redfire Resources NL                      859,797          105,953
  Reece Australia, Ltd.                     159,501          918,633
 *Reinsurance Australia Corp., Ltd.         399,993          140,636
 *Reliance Mining, Ltd.                      91,651           28,886
 *Resolute Mining, Ltd.                     287,264          251,325
 *Resonance Health, Ltd.                     29,264            2,142
  RG Capital Radio, Ltd.                     45,370           94,618
 #Ridley Corp., Ltd.                        593,143          528,193
  Roberts, Ltd.                              10,418           50,906
 *Roc Oil Co., Ltd.                         273,120          291,718
  Rock Building Society, Ltd.                11,373           27,629
  Ross Human Directions, Ltd.                42,066           22,437
 *Rural Press, Ltd.                          38,633          209,092
  S8, Ltd.                                   80,476           57,224
  Salmat, Ltd.                              125,225          324,844
  Schaffer Corp., Ltd.                       33,766          337,718
  SDI, Ltd.                                  40,163          245,383
 *Sedimentary Holdings, Ltd.                264,237           35,924
  Select Harvests, Ltd.                      45,548          212,718
 *Senetas Corp., Ltd.                       240,406            8,894
  Servcorp, Ltd.                            156,000          224,093
  Seven Network, Ltd.                        89,971          324,331
 *SFE Corp., Ltd.                           171,270          770,888
  Sigma Co., Ltd.                            43,694          250,616
 *Silex System, Ltd.                        235,100          135,609
  Sims Group, Ltd.                           77,055          620,490
 *Sino Gold, Ltd.                           148,713          226,486
 *Sirtex Medical, Ltd.                       43,309           69,645
  Skilled Engineering, Ltd.                 147,971  $       299,800
  Smorgon Steel Group, Ltd.                 859,647          656,944
 *SMS Management &                                                  
    Technology, Ltd.                        329,600           79,843
 *Solution 6 Holdings, Ltd.                 402,138          259,583
 *Sons of Gwalia, Ltd.                      195,425          378,720
  Southern Cross Broadcasting                                       
    (Australia), Ltd.                        59,938          495,559
*#Southern Pacific Petroleum NL             698,740          116,818
  SP Telecommunications, Ltd.               318,303          300,118
  SPC Ardmona, Ltd.                         345,724          329,129
  Spotless Group, Ltd.                      211,501          700,037
 *St. Barbara Mines, Ltd.                   375,500           12,682
  Star Games, Ltd.                          132,410           98,175
 *Starpharma Holdings, Ltd.                 107,300           56,388
 *Straits Resources, Ltd.                   212,913          172,020
 *Strategic Minerals Corp. NL               358,100           52,741
 *Strathfield Group, Ltd.                   336,916           36,544
 *Striker Resources NL                      435,484           17,997
 #STW Communications Group, Ltd.            238,716          543,926
  Sunland Group, Ltd.                       349,278          254,203
  Sydney Aquarium, Ltd.                      49,135          182,491
*#Sydney Gas, Ltd.                          351,119          216,116
  Symex Holdings, Ltd.                      163,000          137,913
  Tandou, Ltd.                                3,410            3,887
 *Tap Oil, Ltd.                             269,296          286,963
  Technology One, Ltd.                      587,800          230,516
  Tectonic Resources NL                     155,738           32,268
 *Television & Media Services, Ltd.       2,000,584           44,936
 #Tempo Service, Ltd.                       184,359          128,901
  Thakral Holdings Group                    948,383          425,478
  The Gribbles Group, Ltd.                  780,300          232,146
  Ticor, Ltd.                               455,148          418,496
 #Timbercorp, Ltd.                          369,115          400,164
 *Titan Resources NL                        188,493           38,213
 *Tooth & Co., Ltd.                         153,000           15,017
  Transfield Services, Ltd.                 169,962          609,870
  Triako Resources, Ltd.                     25,400           28,682
  Troy Resources NL                          72,048          138,999
  Trust Company of Australia, Ltd.           41,099          230,882
 *Uecomm, Ltd.                              845,897          234,045
 #United Group, Ltd.                        170,233          608,657
 *Unitract, Ltd.                             52,133           66,034
  UXC, Ltd.                                 181,293           86,322
 *VeCommerce, Ltd.                           13,680           12,877
*#Ventracor, Ltd.                           331,714          324,752
 *Victoria Petroleum NL                     463,964            6,525
 #Villa World, Ltd.                         185,574          169,166
*#Village Roadshow, Ltd.                    591,536          747,300
 *Virotec International NL                  298,151          153,817
  Vision Systems, Ltd.                      274,105          170,374
 *Voicenet (Australia), Ltd.                495,284           13,190
  Volante Group, Ltd.                       125,700          112,068
  Waterco, Ltd.                              22,304           39,840
  Watpac, Ltd.                              133,333           74,469
  Wattyl, Ltd.                              136,317          318,258
 *Webster, Ltd.                              33,551           17,416
  Wide Bay Capricorn                                                
    Building Society, Ltd.                   26,958          124,424
 *Worley Group, Ltd.                        200,135          406,134

 112

N-CSR
117th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 117th
                                                                [Download Table]

                                                SHARES           VALUE+
                                       ---------------  ---------------
                                                                       
 *Yates, Ltd.                                   60,281  $         2,277
                                                        ---------------
TOTAL COMMON STOCKS                                                    
   (Cost $68,895,030)                                        73,088,988
                                                        ---------------
INVESTMENT IN CURRENCY -- (0.7%)                                       
 *Australian Dollar                                                    
   (Cost $1,485,536)                                          1,506,352
                                                        ---------------
PREFERRED STOCKS -- (0.1%)                                             
 *Southern Cross Broadcasting                                          
   (Australia), Ltd.                            11,744          100,870
 *Village Roadshow, Ltd. 2% Class A             55,477           53,283
                                                        ---------------
TOTAL PREFERRED STOCKS                                                 
   (Cost $203,292)                                              154,153
                                                        ---------------
RIGHTS/WARRANTS -- (0.0%)                                              
 *Amity Oil, Ltd. Options 09/04/04                   1                0
 *Axon Instruments, Inc.                                               
    Options 01/02/07                            16,148                0
 *Gradipore, Ltd. Options 09/01/04              17,371            2,178
 *Metal Storm, Ltd.                                                    
    Options 08/06/04                                 1                0
  Mosaic Oil Rights                             48,416                0
 *SP Telecommunications,                                               
    Ltd. Rights 07/15/04                       141,468           24,637
                                                        ---------------
TOTAL RIGHTS/WARRANTS                                                  
   (Cost $98)                                                    26,815
                                                        ---------------
TOTAL -- AUSTRALIA                                                     
   (Cost $70,583,955)                                        74,776,308
                                                        ---------------
SINGAPORE -- (23.9%)                                                   
COMMON STOCKS -- (23.9%)                                               
 *Acma, Ltd.                                 3,040,700          115,097
 *Airocean Group, Ltd.                       1,649,000          311,939
 *Alliance Technology &                                                
    Development, Ltd.                          156,000            9,510
  Amtek Engineering, Ltd.                      799,625          531,424
 *Apollo Enterprises, Ltd.                     193,000           51,543
  Armstrong Industrial Corp.                 1,460,000          136,625
  ASA Group Holdings, Ltd.                     586,000           97,068
  Ascott Group, Ltd.                         1,807,250          458,296
  Aussino Group, Ltd.                          967,000          315,075
  Benjamin (F.J.) Holdings, Ltd.             1,095,000          143,438
 #Beyonics Technology, Ltd.                  1,556,640          391,314
 *Blu Inc. Group, Ltd.                         729,000          104,161
  Bonvests Holdings, Ltd.                      825,000          237,205
 #Brilliant Manufacturing, Ltd.              1,855,000          748,367
 *Broadway Industrial Group, Ltd.              461,000           65,876
  Bukit Sembawang Estates, Ltd.                 71,334          539,472
  Central Properties, Ltd.                      66,000        1,417,754
  Ch Offshore, Ltd.                            823,200          177,308
 *Chemical Industries (Far East), Ltd.         105,910           49,278
 *China Merchants Holdings                                             
    Pacific, Ltd.                              652,000          194,065
 #Chip Eng Seng Corp., Ltd.                  1,775,000          134,555
  Chosen Holdings, Ltd.                      1,284,000          183,940
  Chuan Hup Holdings, Ltd.                   4,385,000        1,302,787
  Chuan Soon Huat Industrial                                           
    Group, Ltd.                                614,000          109,037
  CIH, Ltd.                                    475,542          797,724
 *CK Tang, Ltd.                                614,000          129,920
 *Compact Metal Industries, Ltd.               643,000           13,093
  Courts Singapore, Ltd.                       495,000          202,016
 *CSC Holdings, Ltd.                           672,000  $        11,330
  CSE Global, Ltd.                           1,262,000          420,738
  CWT Distribution, Ltd.                       461,500          131,978
 *Eagle Brand Holdings, Ltd.                 5,158,000          255,413
 #Eastern Asia Technology, Ltd.              1,844,260          338,316
  Eastgate Technology, Ltd.                    870,000           73,675
 *Econ International, Ltd.                   2,267,000           59,227
  ECS Holdings, Ltd.                         1,375,000          268,535
  Eng Wah Organisation, Ltd.                   265,000           48,115
 *Firstlink Investments Corp., Ltd.            995,000          145,252
 *Freight Links Express                                                
    Holdings, Ltd.                           3,368,000          207,687
  Frontline Technologies Corp., Ltd.         3,170,000          269,000
  Fu Yu Manufacturing, Ltd.                  1,819,000          977,699
  Fuji Offset Plates                                                   
    Manufacturing, Ltd.                         33,750            6,094
  GB Holdings, Ltd.                            200,000          102,294
 #Ges International, Ltd.                    2,909,000        1,120,245
  GK Goh Holdings, Ltd.                      1,494,000          678,889
  Goodpack, Ltd.                             1,592,000          872,535
 *Goodwood Park Hotel, Ltd.                     24,307                0
  GP Industries, Ltd.                        1,516,000          908,366
  Guocoland, Ltd.                            1,215,000          734,639
  Hiap Moh Corp., Ltd.                          34,874            6,177
  Ho Bee Investment, Ltd.                      761,000          119,728
  Hong Fok Corp., Ltd.                       1,796,000          252,422
  Hong Leong Asia, Ltd.                      1,048,000          988,735
 *Horizon Education &                                                  
    Technologies, Ltd.                       2,054,000          156,052
  Hotel Grand Central, Ltd.                    875,280          185,687
  Hotel Plaza, Ltd.                          1,189,000          405,532
  Hotel Properties, Ltd.                     1,675,000          994,735
  Hour Glass, Ltd.                             298,000          114,385
 #HTL International Holdings, Ltd.           1,471,875          881,587
  Huan Hsin Holdings, Ltd.                   1,138,400          617,790
  Hup Seng Huat, Ltd.                          900,200           99,180
  Hwa Hong Corp., Ltd.                       2,488,000          665,909
 #IDT Holdings, Ltd.                           718,000          940,771
 *Inno-Pacific Holdings, Ltd.                  680,000           10,049
  Innovalues Precision, LTd.                   520,000          193,745
  International Factors                                                
    (Singapore), Ltd.                          290,000           90,289
 *Internet Technology Group, Ltd.              874,408           23,033
 *Interra Resources, Ltd.                      185,430           19,516
 *Intraco, Ltd.                                292,500           61,381
  Isetan (Singapore), Ltd.                     122,500          203,915
 #Jaya Holdings, Ltd.                        2,733,000        1,322,205
  JK Yaming International, Ltd.                907,000          205,938
  Jurong Cement, Ltd.                          132,500           63,908
  Jurong Engineering, Ltd.                     137,000          189,859
 #Jurong Technologies                                                  
    Industrial Corp., Ltd.                   1,446,000        1,050,099
 *K1 Ventures, Ltd.                          5,340,500          842,855
  Keppel Telecommunications and                                        
    Transportation, Ltd.                     2,058,000        1,001,705
  Khong Guan Flour Milling, Ltd.                19,000           18,201
  Kian Ann Engineering, Ltd.                   868,000           95,821
  Kian Ho Bearings, Ltd.                       521,000           50,234
  Koh Brothers, Ltd.                         1,494,000           74,049
 *L & M Group Investments, Ltd.              7,107,100           61,892
  Labroy Marine, Ltd.                        3,343,000          946,590
 *Lantrovision (S), Ltd.                     1,117,500           65,530

 113

N-CSR
118th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 118th
                                                                [Download Table]

                                                SHARES           VALUE+
                                       ---------------  ---------------
                                                                       
  Lee Kim Tah Holdings, Ltd.                 1,600,000  $       233,694
 *Leong Hin Holdings, Ltd.                     526,000           35,271
 *Liang Huat Aluminum, Ltd.                  1,477,000           43,427
 *Lion Asiapac, Ltd.                           473,000           33,420
  Low Keng Huat Singapore, Ltd.                372,000           90,047
  Lum Chang Holdings, Ltd.                   1,134,030          136,031
 #Magnecomp International, Ltd.                931,000          294,493
 *Manufacturing Integration                                            
    Technology, Ltd.                           588,000           63,063
  MCL Land, Ltd.                             1,427,000        1,147,030
 *Mediaring.Com, Ltd.                        3,410,000          317,832
  Metro Holdings, Ltd.                       2,256,960          624,852
  MMI Holdings, Ltd.                         1,994,000          361,664
  Multi-Chem, Ltd.                           1,263,000          217,452
  Nera Telecommunications, Ltd.              1,450,000          478,121
  New Toyo Intenational                                                
    Holdings, Ltd.                           1,043,000          359,122
  Norelco Centreline Holdings, Ltd.            941,000          620,755
 *Orchard Parade Holdings, Ltd.              1,084,022          252,837
 #Osim International, Ltd.                   1,638,000        1,013,043
  Ossia International, Ltd.                    708,000           84,932
  Pan-United Corp., Ltd.                     2,193,000          485,003
 *Pan-United Marine, Ltd.                    1,096,500          183,021
  PCI, Ltd.                                    734,000          334,744
  Pentex-Schweizer Circuits, Ltd.            1,240,000          238,694
  Pertama Holdings, Ltd.                       459,750           75,077
  Popular Holdings, Ltd.                     1,813,000          505,775
 #PSC Corp., Ltd.                            4,088,000          250,204
  Qian Hu Corp., Ltd.                          408,200          142,357
  Robinson & Co., Ltd.                         284,832          951,571
  Rotary Engineering, Ltd.                   1,624,000          569,068
  San Teh, Ltd.                                838,406          231,829
  SBS Transit, Ltd.                          1,011,000          940,982
  Sea View Hotel, Ltd.                          66,000          159,761
 *Seatown Corp., Ltd.                          101,000            1,759
  Sembawang Kimtrans, Ltd.                   1,295,000          113,522
  Sin Soon Huat, Ltd.                        1,307,000           53,481
  Sing Investments & Finance, Ltd.              94,500           92,312
 #Singapore Food Industries, Ltd.            1,707,000          803,169
  Singapore Reinsurance Corp., Ltd.          1,540,935          228,487
 *Singapore Shipping Corp., Ltd.             1,930,000          337,634
  Singapura Finance, Ltd.                      139,250          111,710
  SMB United, Ltd.                           2,010,000          223,495
  SNP Corp., Ltd.                              466,495          247,326
 *SP Corp., Ltd.                               454,000           17,094
  Ssangyong Cement                                                     
    (Singapore), Ltd.                          236,000          137,215
  Stamford Land Corp., Ltd.                  3,229,000          442,016
  Straits Trading Co., Ltd.                  1,117,200        1,370,031
 *Sunright, Ltd.                               378,000           81,634
  Superbowl Holdings, Ltd.                     490,000           76,809
  Superior Metal Printing, Ltd.                490,500           53,079
 *Thakral Corp., Ltd.                        6,028,000          494,613
  Tiong Woon Corp. Holding, Ltd.               906,000          198,596
 *Transmarco, Ltd.                             106,500           56,678
  Trek 2000 International, Ltd.              1,004,000          360,752
  TSM Resources, Ltd.                        1,502,000          319,738
*#TT International, Ltd.                     1,758,000          323,130
 *Tuan Sing Holdings, Ltd.                   3,362,000          175,667
 *Ultro Technologies, Ltd.                     530,000           43,541
  Unisteel Technology, Ltd.                    974,000          754,853
  United Engineers, Ltd.                       846,666          820,938
  United Overseas Insurance, Ltd.              125,500  $       261,311
  United Pulp & Paper Co., Ltd.              1,602,000          904,896
  UOB-Kay Hian Holdings, Ltd.                  354,000           94,874
  Vicom, Ltd.                                  120,000           66,313
  WBL Corp., Ltd.                              647,000        1,198,328
 *Xpress Holdings, Ltd.                      1,392,000           56,469
 *Yongnam Holdi                              1,004,000           14,656
                                                        ---------------
TOTAL COMMON STOCKS                                                    
    (Cost $56,992,506)                                       51,628,709
                                                        ---------------
INVESTMENT IN CURRENCY -- (0.0%)                                       
  *Singapore Dollars                                                   
    (Cost $32,850)                                               32,671
                                                        ---------------
RIGHTS/WARRANTS -- (0.0%)                                              
  *Acma, Ltd. Warrants 11/16/04                                        
    (Cost $0)                                  236,300              686
                                                        ---------------
TOTAL -- SINGAPORE                                                     
    (Cost $57,025,356)                                       51,662,066
                                                        ---------------
HONG KONG -- (23.7%)                                                   
COMMON STOCKS -- (23.6%)                                               
 *139 Holdings, Ltd.                         21,659.53           19,835
  ABC Communications                                                   
    (Holdings), Ltd.                        252,521.23           79,121
  Aeon Credit Service (Asia) Co., Ltd.      381,918.84          437,078
  ALCO Holdings, Ltd.                       162,868.71          209,430
 *Allan International Holdings, Ltd.        115,174.10          106,457
 *Allied Group, Ltd.                        456,999.54          466,654
 *Allied Properties, Ltd.                   392,955.28          299,485
 *Anex International Holdings, Ltd.          22,333.69            2,113
 *Applied International Holdings, Ltd.      622,795.14           11,302
 *APT Satellite Holdings, Ltd.              217,372.14          141,959
 *Artel Solutions Group Holdings, Ltd.      136,073.64           83,608
  Arts Optical International                                           
    Holdings, Ltd.                          121,763.06          150,478
  Asia Aluminum Holdings, Ltd.               82,905.23           73,633
 *Asia Commercial Holdings, Ltd.            361,009.28            4,559
  Asia Financial Holdings, Ltd.             708,958.25          389,606
 *Asia Logistics Technologies, Ltd.          33,240.12            4,893
  Asia Satellite Telecommunications                                    
    Holdings, Ltd.                          140,483.31          142,764
 *Asia Standard International                                          
    Group, Ltd.                             546,987.03          218,809
 *Asia Tele-Net &                                                      
    Technology Corp., Ltd.                   84,849.52           16,673
  Associated International                                             
    Hotels, Ltd.                            494,247.27          679,632
  Automated Systems Holdings, Ltd.           66,119.50           53,731
  Baltrans Holdings, Ltd.                   140,424.00          114,858
 *Beijing Development                                                  
    (Hong Kong), Ltd.                       131,136.84           23,393
 *Bossini International Holdings, Ltd.      101,452.10          197,679
  Bright International Group, Ltd.          100,592.80           72,820
  Cafe de Coral Holdings, Ltd.              148,262.73          153,247
 *Capital Prosper, Ltd.                      25,826.05            3,644
 *Capital Strategic Investment, Ltd.         10,623.67            3,424
 *Cash Financial                                                       
    Services Group, Ltd.                        758.37              994
 *Casil Telecommunications                                             
    Holdings, Ltd.                           89,142.43           72,945
 *Catic International Holdings, Ltd.        133,523.93           90,083
  CCT Telecom Holdings, Ltd.                397,271.02           57,285

 114

N-CSR
119th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 119th
                                                                [Download Table]

                                               SHARES           VALUE+
                                      ---------------  ---------------
                                                                      
*CEC International Holdings, Ltd.           13,360.67  $         4,271
*Celestial Asia Securities                                            
   Holdings, Ltd.                          113,321.54           24,345
 Central China Enterprises, Ltd.           284,073.23            9,303
#Champion Technology                                                  
   Holdings, Ltd.                          698,637.63          214,246
 Chaoda Modern Agriculture                                            
   (Holdings), Ltd.                        203,983.81          189,206
 Chen Hsong Holdings, Ltd.                 588,525.54          684,842
 Cheuk Nang (Holdings), Ltd.               171,573.35           29,567
*Cheung Tai Hong Holdings, Ltd.            136,969.43            3,379
 Chevalier International                                              
   Holdings, Ltd.                          201,040.35          276,142
 Chevalier Itech Holdings, Ltd.            125,422.49           38,886
*China Aerospace International                                        
   Holdings, Ltd.                          360,642.76          180,960
*China Bio-Medical Group Limited           145,558.76            7,981
*China City Natural Gas                                               
   Holdings, Ltd.                           90,989.52           26,979
*China Digicontent Co., Ltd.                42,375.36            3,474
*China Everbright International, Ltd.      324,700.28          193,040
*China Everbright Technology, Ltd.         521,141.85          119,061
*China Gas Holdings, Ltd.                  219,681.37          190,333
 China Hong-Kong Photo Products                                       
   Holdings, Ltd.                          390,548.98          121,386
#China Insurance International                                        
   Holdings Co., Ltd.                      159,125.73          145,176
*China Investments Holdings, Ltd.           34,686.83            4,523
*China Motion Telecom                                                 
   International, Ltd.                      22,909.41           13,163
 China Motor Bus Co., Ltd.                 328,776.07          466,003
*China Nan Feng Group, Ltd.                 26,465.98              218
 China National Aviation Co., Ltd.          43,935.08           46,121
 China Online (Bermuda), Ltd.              371,714.53           58,965
 China Pharmaceutical Enterprise                                      
   and Investment Corp., Ltd.              117,819.53          113,609
 China Rare Earth Holdings, Ltd.           250,207.83          132,062
 China Resources Land, Ltd.                450,023.10          331,229
 China Resources Logic, Ltd.               352,730.10          406,066
*China Rich Holdings, Ltd.                  30,911.31           18,774
*China Sci-Tech Holdings, Ltd.              31,038.81            6,126
*China Star Entertainment, Ltd.            261,986.26           42,517
*China Strategic Holdings, Ltd.            273,332.15           66,672
#China Travel International                                           
   Investment, Ltd.                        123,334.18          107,614
 Chinney Investments, Ltd.                 176,216.30           76,190
 Chow Sang Sang Holdings                                              
   International, Ltd.                     293,684.75          241,581
 Chuangs China Investments, Ltd.           293,825.26           60,588
*Chuang's Consortium                                                  
   International, Ltd.                     218,546.94          104,502
 Chun Wo Holdings, Ltd.                    120,993.64          172,417
 Chung Tai Printing Holdings, Ltd.         102,105.22           90,052
*CITIC 21CN Co., Ltd.                       21,102.94           17,166
*CITIC Resources Holdings, Ltd.             78,218.06           59,437
 City e Solutions, Ltd.                     21,818.04           20,219
#City Telecom (H.K.), Ltd.                 393,106.77          198,918
*Clear Media, Ltd.                          69,365.30           59,614
*Climax International Co., Ltd.             43,243.86            1,028
 CNPC (Hong Kong), Ltd.                    136,990.42          126,892
*CNT Group, Ltd.                           209,578.42           79,994
*Coastal Greenland, Ltd.                    76,069.93           45,673
*Compass Pacific Holdings, Ltd.             41,338.05  $        25,530
*Computer & Technologies                                              
   Holdings, Ltd.                          119,243.28           71,244
 Continental Holdings, Ltd.                 11,387.73           10,366
 Continental Mariner                                                  
   Investment Co., Ltd.                    233,935.56          218,936
*COSCO International Holdings, Ltd.        254,478.49          319,254
#Coslight Technology International                                    
   Group, Ltd.                             170,805.16          239,103
*Cosmos Machinery                                                     
   Enterprises, Ltd.                       204,209.05           38,849
*Crocodile Garments, Ltd.                  233,171.34           54,560
 Cross Harbour Tunnel Co., Ltd.            809,675.41          196,053
*Culturecom Holdings, Ltd.                 402,894.33          218,554
*Dah Hwa International                                                
   Holdings, Ltd.                           26,689.20           16,355
*Dan Form Holdings Co., Ltd.               369,604.56           85,881
 Daqing Petroleum &                                                   
   Chemical Group, Ltd.                     97,446.24           71,762
 Dickson Concepts                                                     
   International, Ltd.                     425,800.47          472,987
 Digital China Holdings, Ltd.              482,065.52          386,607
*DVN Holdings, Ltd.                        155,673.82          167,244
*Dynamic Global Holdings, Ltd.             171,836.19           30,402
 Dynamic Holdings, Ltd.                     73,697.63           28,942
*Easyknit International                                               
   Holdings, Ltd.                          240,844.46            3,581
*Eforce Holdings, Ltd.                      58,657.47           42,246
 Egana Jewelry and Pearls                   36,135.19           56,354
#Eganagoldfeil Holdings Ltd.               516,480.32          366,220
 Elec & Eltek International                                           
   Holdings, Ltd.                          220,630.60          574,886
*Emperor International                                                
   Holdings, Ltd.                          170,108.75           47,679
*e-New Media Co., Ltd.                      53,368.97            8,335
*eSun Holdings, Ltd.                       307,898.66           25,053
*Extrawell Pharmaceutical                                             
   Holdings, Ltd.                          107,587.42           99,660
*Ezcom Holdings, Ltd.                      147,989.83            2,791
*Fairwood Holdings, Ltd.                    53,958.43           10,413
#Far East Consortium                                                  
   International, Ltd.                     381,830.80          346,160
*Far East Hotels &                                                    
   Entertainment, Ltd.                     296,334.25           76,364
 Far East Pharmaceutical                                              
   Technology Co., Ltd.                    179,832.19           28,038
 First Sign International                                             
   Holdings, Ltd.                           66,965.40           57,078
 Fong's Industries Co., Ltd.               119,924.81          109,793
*Forefront International                                              
   Holdings, Ltd.                          235,946.57           48,086
*Fortuna International                                                
   Holdings, Ltd.                           28,545.93           13,349
*Foundation Group, Ltd.                     73,561.44              854
*Founder Holdings, Ltd.                    317,714.83          188,722
 Fountain Set Holdings, Ltd.               158,964.13          150,998
 Four Seas Frozen Food                                                
   Holdings, Ltd.                           47,195.77           57,667
 Four Seas Mercantile                                                 
   Holdings, Ltd.                          204,725.86          227,698
*Fujian Holdings, Ltd.                     414,647.11            6,717
 Fujikon Industrial Holdings, Ltd.         102,553.19           60,276

 115

N-CSR
120th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 120th
                                                                [Download Table]

                                              SHARES           VALUE+
                                     ---------------  ---------------
                                                                     
*Fushan Holdings, Ltd.                    151,016.35  $        92,283
*GeoMaxima Energy                                                    
   Holdings, Ltd.                         476,277.24           82,527
*Global China Group Holdings, Ltd.        270,990.06          155,181
 Global Green Tech Group, Ltd.            237,080.03          120,492
*Global Tech (Holdings), Ltd.             318,169.07           42,407
 Glorious Sun Enterprises, Ltd.           594,834.63          504,882
 Gold Peak Industries                                                
   (Holdings), Ltd.                       383,593.09          299,689
*Goldbond Group Holdings,                                            
   Ltd. New                               224,288.63           41,928
 Golden Resources Development                                        
   International, Ltd.                    251,172.36           63,594
*Gold-Face Holdings, Ltd.                 253,673.76          138,714
 Goldlion Holdings, Ltd.                  277,707.35          114,701
 Golik Holdings, Ltd.                      36,697.63           35,914
 Good Fellow Group, Ltd.                  174,648.84          170,359
*Gorient Holdings, Ltd.                   324,283.33               57
*Great Wall Cybertech, Ltd.               523,578.15           20,251
 Group Sense (International), Ltd.        187,147.36          231,237
 Guangdong Brewery                                                   
   Holdings, Ltd.                         216,480.80          573,296
*Guangnan Holdings, Ltd.                  379,363.44          212,193
 Guangzhou Investment Co., Ltd.           227,871.68          218,883
*Guo Xin Group, Ltd.                       43,829.59           37,562
*Guorun Holdings Ltd.                      91,909.80           65,802
 GZI Transport, Ltd.                      484,433.13          497,862
 Hang Fung Gold Technology, Ltd.          133,973.77          136,184
 Hang Ten Group Holdings, Ltd.            843,926.05              833
 Hanny Holdings, Ltd.                     341,137.09           80,716
*Hansom Eastern Holdings, Ltd.            157,892.27           29,433
 Harbour Centre Development, Ltd.         327,054.05          522,190
 Harbour Ring International                                          
   Holdings, Ltd.                         170,236.19          168,197
*Hen Fung Holdings, Ltd.                   56,737.43           33,967
 Henderson China Holdings, Ltd.           241,333.55          393,280
 Hengan International                                                
   Group Co., Ltd.                        125,188.58          135,998
 High Fashion International, Ltd.          46,841.60           38,519
*HKR International, Ltd.                  421,687.91          590,459
*Hon Kwok Land                                                       
   Investment Co., Ltd.                   391,518.66           93,608
 Hong Kong Catering                                                  
   Management, Ltd.                       146,228.26           64,378
*Hong Kong Construction                                              
   Holdings, Ltd.                         895,471.68           55,875
 Hong Kong Ferry                                                     
   (Holdings) Co., Ltd.                   611,598.39          654,764
*Hong Kong Parkview Group, Ltd.           447,940.46           72,438
*Hong Kong Pharmaceuticals                                           
   Holdings, Ltd.                         234,877.69           54,844
 Hongkong Chinese, Ltd.                   474,698.46          254,513
*Hop Hing Holdings, Ltd.                   89,342.79           31,744
 Hopson Development                                                  
   Holdings, Ltd.                         218,657.77          295,923
*Hsin Chong Construction                                             
   Group, Ltd.                            185,793.91           76,528
*Huabao International                                                
   Holdings, Ltd.                          71,251.96            2,986
*Hualing Holdings, Ltd.                   126,091.24           42,397
 Hung Hing Printing Group, Ltd.           145,376.72          145,804
*Hycomm Wireless, Ltd.                     79,885.62           44,358
 I-Cable Communications, Ltd.              73,240.12  $        72,873
*I-China Holdings, Ltd.                   214,112.41            8,672
 IDT International, Ltd.                  196,524.30          967,949
*Imagi International Holdings, Ltd.        69,849.15           27,427
*Innomaxx Biotechnology Group, Ltd.       190,351.23           51,205
*Interchina Holdings Co., Ltd.            589,636.12          175,399
*Inworld Group, Ltd.                      331,259.05           18,358
*ITC Corp., Ltd.                          141,326.41          141,491
 JCG Holdings, Ltd.                        37,544.14            3,472
*Junefield Department                                                
   Store Group, Ltd.                      253,551.98          519,888
 K Wah International Holdings, Ltd.       260,097.81          242,702
 K. Wah Construction Materials, Ltd.       40,694.90            9,210
*Kader Holdings Co., Ltd.                 144,251.99          141,251
 Karrie International Holdings, Ltd.      226,923.25          133,732
 Keck Seng Investments                                               
   (Hong Kong), Ltd.                      254,372.88           72,699
 Kee-Shing Holdings Co., Ltd.             130,828.61           88,101
 Kin Yat Hldgs                            118,251.57           62,176
*King Fook Holdings, Ltd.                 181,677.24           21,964
*King Pacific International                                          
   Holdings, Ltd.                         216,178.12          217,361
 Kingdee International Software                                      
   Group Co., Ltd.                         63,901.00          408,250
 Kingmaker Footwear Holdings, Ltd.          2,966.89               11
*Kong Sun Holdings, Ltd.                  124,921.81            7,045
 Kowloon Development Co., Ltd.            298,891.91          470,145
*KPI Co., Ltd.                             32,578.02            5,580
 KTP Holdings, Ltd.                       101,965.88           57,553
*Kwong Sang Hong                                                     
   International, Ltd.                    330,113.80          118,654
 Kwoon Chung Bus Holdings, Ltd.            59,614.66           80,207
*Lai Sun Development Co., Ltd.            523,572.27          130,464
*Lai Sun Garment                                                     
   (International), Ltd.                1,048,801.01           75,092
 Lam Soon (Hong Kong), Ltd.               605,979.72           99,965
*Le Saunda Holdings, Ltd.                  30,395.27           20,298
*Leadership Publishing Group, Ltd.         33,506.81            1,612
*Leading Spirit High-Tech                                            
   Holdings Co., Ltd.                      47,644.76            2,962
 Lerado Group (Holding) Co., Ltd.         197,113.26          185,917
*LifeTec Group, Ltd.                       41,153.99           32,918
 Lippo, Ltd.                              753,982.10          251,708
 Liu Chong Hing Bank, Ltd.                175,565.46          172,445
 Liu Chong Hing Investment, Ltd.          700,929.98          404,375
 Luk Fook Holdings                                                   
   (International), Ltd.                  124,723.90          112,766
 Luks Industrial Group, Ltd.              484,411.62          102,093
 Lung Kee (Bermuda)                                                  
   Holdings, Ltd.                         186,566.33          488,254
*MACRO-LINK International                                            
   Holdings, Ltd.                          59,198.54           30,561
*Mae Holdings, Ltd.                        71,123.38            4,016
*Magnificent Estates, Ltd.                 73,715.93           48,703
*Magnum International                                                
   Holdings, Ltd.                          27,697.54            3,615
 Mainland Headwear                                                   
   Holdings, Ltd.                         141,753.55          132,722
*Mansion House Group, Ltd.                 64,301.98           57,550
 Matrix Holdings, Ltd.                     98,064.03           85,490
*Mei Ah Entertainment Group, Ltd.          24,937.54           35,896
 Melbourne Enterprises, Ltd.              380,497.73          162,128

 116

N-CSR
121st “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 121st
                                                                [Download Table]

                                               SHARES           VALUE+
                                      ---------------  ---------------
                                                                      
  Midas International Holdings, Ltd.        69,528.06  $        52,703
  Midland Realty (Holding), Ltd.           218,971.43          238,827
 *Millennium Group, Ltd.                   205,164.09           21,393
  Min Xin Holdings, Ltd.                   173,248.98          129,399
  Miramar Hotel &                                                     
    Investment Co., Ltd.                    98,564.64          101,172
 *Morning Star Resources, Ltd.              94,458.90           12,300
  Moulin International Holdings, Ltd.      411,504.72          429,253
  Nanyang Holdings, Ltd.                   134,217.92          129,755
 *National Electronics Holdings, Ltd.      127,876.48           68,575
 *New China Merchants Dichain              182,764.60           86,745
  New Island Printing Holdings, Ltd.        17,004.76           13,539
 *New World China Land, Ltd.                56,023.03           58,465
 *New World Cyberbase, Ltd.                         0               82
 *New World TMT, Ltd.                       81,457.68          148,484
  Newocean Green Energy                                               
    Holdings, Ltd.                          94,660.04           68,805
 *Next Media, Ltd.                         129,971.82          111,582
  Ngai Lik Industrial Holdings, Ltd.       301,331.44          600,518
*#Onfem Holdings, Ltd.                      82,208.74           79,618
  Orient Power Holdings, Ltd.              121,088.30          105,679
 *Oriental Metals, Ltd.                    381,923.10          207,282
  Oriental Press Group, Ltd.                80,229.55           82,901
  Oriental Watch Holdings, Ltd.             93,858.21           76,265
  Pacific Andes International                                         
    Holdings, Ltd.                         193,751.88          188,394
  Pacific Century Insurance                                           
    Holdings, Ltd.                         362,856.91          524,253
 *Pacific Plywood Holdings, Ltd.           116,839.29           18,211
  Paul Y. ITC Construction                                            
    Holdings, Ltd.                         195,097.22          210,051
  Peace Mark Holdings, Ltd.                163,972.74          214,804
  Pegasus International                                               
    Holdings, Ltd.                          27,204.68           34,225
  Perfectech International                                            
    Holdings, Ltd.                          60,347.19           58,859
  Pico Far East Holdings, Ltd.             219,189.20           81,243
  Playmates Holdings, Ltd.                 405,947.62          280,649
  Pokfulam Development Co., Ltd.           125,499.54           73,713
 *Poly Investments Holdings, Ltd.          373,920.72           60,730
  Prime Success International                                         
    Group, Ltd.                            100,862.43          148,089
  Proview International                                               
    Holdings, Ltd.                          76,521.20          220,169
*#QPL International Holdings, Ltd.         389,337.95          277,518
  Quality Healthcare Asia, Ltd.            118,231.61           29,450
 *Rainbow International                                               
    Holdings, Ltd.                           2,966.89                7
  Raymond Industrial, Ltd.                 107,946.37          203,966
*#Regal Hotels International                                          
    Holdings, Ltd.                         417,868.49          383,826
 *Rexcapital International                                            
    Holdings, Ltd.                         500,586.88           10,768
 *Riche Multi-Media Holdings, Ltd.         307,436.34          287,336
 *Rivera Holdings, Ltd.                    109,017.03          118,189
 *Riverhill Holdings, Ltd.                   4,153.63               28
  Road King Infrastructure, Ltd.           297,361.31          322,907
 *Roadshow Holdings, Ltd.                  229,622.44          149,805
  S.A.S.Dragon Holdings, Ltd.               92,780.61          196,356
  SA SA International Holdings, Ltd.       310,362.89          733,872
  Safety Godown Co., Ltd.                  350,230.82          134,448
  Saint Honore Holdings, Ltd.               34,300.46           27,896
 *San Miguel Brewery                                                  
    Hong Kong, Ltd.                        294,823.95  $       133,754
  SCMP Group, Ltd.                         164,314.61          162,602
  Sea Holdings, Ltd.                       327,831.89          190,329
 *Seapower Resources                                                  
    International, Ltd.                    409,962.65            1,770
 *SEEC Media Group, Ltd.                   151,478.63          171,314
  Shanghai Allied Cement, Ltd.             228,069.56           69,705
 *Shanghai Century Holdings, Ltd.          219,780.39          110,130
 *Shanghai Land Holdings, Ltd.             125,256.32           64,756
 #Shanghai Real Estates, Ltd.              240,236.66          163,680
  Shaw Brothers Hong Kong, Ltd.            111,170.88          134,315
  Shell Electric Manufacturing                                        
    (Holdings) Co., Ltd.                   177,634.62          126,940
  Shenyin Wanguo                                                      
    (Hong Kong), Ltd.                      118,130.56           83,177
  Shenzhen International                                              
    Holdings, Ltd.                         184,029.93          186,161
  Shougang Concord Century                                            
    Holdings, Ltd.                         171,999.34          157,523
 *Shougang Concord Grand                                              
    (Group), Ltd.                          115,584.40          122,042
 *Shougang Concord International                                      
    Enterprises Co., Ltd.                  558,617.98          207,394
 *Shougang Concord Technology                                         
    Holdings, Ltd.                         468,788.21          172,694
 *Shui On Construction &                                              
    Materials, Ltd.                        544,963.71          436,724
 *Shun Ho Resources                                                   
    Holdings, Ltd.                          65,344.62           20,435
 *Shun Ho Technology                                                  
    Holdings, Ltd.                         251,854.88           43,562
  Silver Grant International                                          
    Industries, Ltd.                       276,771.19          452,448
 *Sincere Co., Ltd.                        107,881.82           22,633
 #Singamas Container                                                  
    Holdings, Ltd.                         166,731.25          436,088
  Sino Golf Holdings, Ltd.                  90,155.10           81,585
 *Sinocan Holdings, Ltd.                     8,124.78            1,750
 *Sino-I.com, Ltd.                         254,835.42          452,792
 #Sinolink Worldwide Holdings, Ltd.        366,057.09          450,619
  Sinopec Kantons Holdings, Ltd.           224,412.65          227,915
 *Skynet (International Group)                                        
    Holdings, Ltd.                             130.47              313
  SNP Leefung Holdings, Ltd.                22,861.13           21,461
 *Softbank Investment International                                   
    (Strategic), Ltd.                      255,551.15           90,838
 *Solartech International                                             
    Holdings, Ltd.                          90,479.01            1,853
  South China Brokerage Co., Ltd.           67,010.38           29,914
  South China Industries, Ltd.             207,590.82           61,966
  Southeast Asia Properties &                                         
    Finance, Ltd.                           74,979.78           37,842
  Starlight International                                             
    Holdings, Ltd. (New)                   177,529.58          180,032
  Starlite Holdings, Ltd.                   87,556.60           73,160
 *Stelux Holdings International, Ltd.      394,714.69           48,144
 *Styland Holdings, Ltd.                    49,250.27              326
  Sun Hing Vision Group                                               
    Holdings, Ltd.                         129,389.63          169,872
  Sun Hung Kai & Co., Ltd.                 304,866.55          458,057
 *Sun Innovation Holdings, Ltd.             43,489.16            3,247

 117

N-CSR
122nd “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 122nd
                                                                [Download Table]

                                                   SHARES           VALUE+
                                          ---------------  ---------------
                                                                          
 *Sun Media Group Holdings, Ltd.               118,796.87  $        35,351
 *Sunday Communications, Ltd.                   62,744.57          275,097
  Sunway International Holdings, Ltd.           39,964.77           32,127
 *Suwa International Holdings, Ltd.             92,722.75           27,524
 *Tack Hsin Holdings, Ltd.                      77,870.03            8,341
  Tai Cheung Holdings, Ltd.                    290,047.67          339,579
  Tai Fook Securities Group, Ltd.               87,488.38           85,849
  Tai Sang Land Development, Ltd.              154,106.55          118,553
  Tak Shun Technology Group, Ltd.               76,942.87           87,372
  Tak Sing Alliance Holdings, Ltd.             199,501.93          102,580
 #Tan Chong International, Ltd.                 99,232.33          127,409
  TCC International Holdings, Ltd.             160,411.04          197,392
 *Technology Venture Holdings, Ltd.             28,246.88           16,780
 *Termbray Industries International                                       
    (Holdings), Ltd.                           186,934.99          125,591
  Tern Properties Co., Ltd.                     12,227.29           12,554
 *The Sun's Group, Ltd.                        265,399.44           21,801
 *Tian An China                                                           
    Investments Co., Ltd.                    1,174,519.33          274,866
  Tian Teck Land, Ltd.                         253,019.62          325,029
 #Tianjin Development                                                     
    Holdings, Ltd.                             396,394.96          381,969
 *Titan Petrochemicals                                                    
    Group, Ltd.                                 46,456.68           42,876
 *Tomorrow International                                                  
    Holdings, Ltd. New                          15,714.32           18,288
  Tonic Industries Holdings., Ltd.              68,429.43           49,081
  Top Form International, Ltd.                  75,578.90          237,955
 *Tristate Holdings, Ltd.                       90,655.79           23,054
  Truly International Holdings, Ltd.           143,492.04          141,684
  Tungtex (Holdings) Co., Ltd.                 120,389.27          296,193
 *Tysan Holdings, Ltd.                         124,796.17           38,489
 *U-Cyber Technology Holdings, Ltd.             66,985.93            6,337
 *United Power Investment, Ltd.                182,286.15           34,274
 *Universal Holdings Ltd.                      107,230.04           20,382
 *Universe International                                                  
    Holdings, Ltd.                              24,176.77            4,456
  U-Right International                                                   
    Holdings, Ltd.                              99,021.50          110,336
  USI Holdings, Ltd.                           291,463.41          116,935
  Van Shung Chong Holdings, Ltd.                31,302.05           52,238
 *Vanda Systems & Communications                                          
    Holdings, Ltd.                             269,666.02          139,874
 #Varitronix International, Ltd.               481,824.90          502,747
  Veeko International Holdings, Ltd.            32,829.94           38,385
  Victory City International                                              
    Holdings, Ltd.                             207,984.12          306,152
  Vitasoy International Holdings, Ltd.         309,855.37          332,417
 *Wah Ha Realty Co., Ltd.                       58,916.14           42,505
 *Wah Nam International                         80,252.55              745
  Wai Kee Holdings, Ltd.                       176,173.77          226,746
  Wang ON Group Ltd New                         46,310.87            5,550
 *Wellnet Holdings, Ltd.                        83,045.76           28,715
 *Winfoong International, Ltd.                 729,748.15          583,708
  Wing On Co. International, Ltd.              257,410.03           99,260
  Wing Shan International, Ltd.                134,213.35           46,242
 *Winsan China Investment                                                 
    Group, Ltd.                                 18,395.61           63,839
  Wong's International                                                    
    (Holdings), Ltd.                           203,523.90           80,295
 *Wonson International                                                    
    Holdings, Ltd.                              42,953.17            7,779
  World Houseware (Holdings), Ltd.             127,775.14  $        22,557
*#Xinao Gas Holdings, Ltd.                     232,803.29          488,041
  Y. T. Realty Group, Ltd.                     393,834.27           56,553
  Yangtzekiang Garment                                                    
    Manufacturing Co., Ltd.                    123,327.61           78,492
 *Yanion International Holdings, Ltd.           21,610.57            8,934
 *Yaohan International                                                    
    Holdings, Ltd.                             231,484.47                0
 *Yau Lee Holdings, Ltd.                        68,224.18           25,968
  YGM Trading, Ltd.                            113,778.83          134,656
  Yip's Chemical Holdings, Ltd.                153,513.59          139,370
  Yugang International, Ltd.                   350,896.98          104,427
 *Yunnan Enterprises Holdings, Ltd.             44,743.21           12,341
 *Zhu Kuan Development Co., Ltd.                35,290.30           27,489
                                                           ---------------
TOTAL COMMON STOCKS                                                       
    (Cost $76,465,512)                                          51,046,119
                                                           ---------------
INVESTMENT IN CURRENCY -- (0.1%)                                          
 *Hong Kong Dollars                                                       
    (Cost $108,641)                                                108,629
                                                           ---------------
RIGHTS/WARRANTS -- (0.0%)                                                 
  China Travel International Investment,                                  
    Ltd. Warrants 05/31/06                        124,800            3,760
 *Easyknit International                                                  
    Holdings, Ltd. Rights 06/07/04                141,430                0
 *Quality Healthcare Asia,                                                
    Ltd. Warrants 01/12/04                         26,760              755
                                                           ---------------
TOTAL RIGHTS/WARRANTS                                                     
    (Cost $0)                                                        4,515
                                                           ---------------
TOTAL -- HONG KONG                                                        
    (Cost $76,574,153)                                          51,159,263
                                                           ---------------
NEW ZEALAND -- (9.0%)                                                     
COMMON STOCKS -- (8.9%)                                                   
 *AFFCO Holdings, Ltd.                          1,935,950          444,740
  Cavalier Corp., Ltd.                            283,674          876,085
  CDL Hotels NZ, Ltd.                           1,387,344          389,891
  CDL Investments NZ, Ltd.                        306,025           51,047
  Colonial Motor Co., Ltd.                        126,795          239,163
 *Cue Energy Resources NL                         452,354           20,928
  DB Breweries, Ltd.                              312,589        1,596,895
  Ebos Group, Ltd.                                112,108          270,628
 *Evergreen Forests, Ltd.                         323,301           76,521
  Hallenstein Glassons                                                    
    Holdings, Ltd.                                241,638          449,517
  Hellaby Holdings, Ltd.                          201,679          649,082
  Horizon Energy Distribution, Ltd.                40,420           99,247
  Met Lifecare, Ltd.                              270,895          414,798
  Michael Hill International, Ltd.                156,746          600,313
 *New Zealand Oil & Gas, Ltd.                     584,872          257,305
  New Zealand Refining Co., Ltd.                   38,372                0
 *New Zealand Rural                                                       
    Properties, Ltd.                              219,997          376,878
  Northland Port Corp.                                                    
    (New Zealand), Ltd.                           271,267          915,455
  Nuplex Industries, Ltd.                         194,156          270,166
 *Pacific Retail Group, Ltd.                      541,952        1,790,345
  Port of Tauranga, Ltd.                          804,832        1,064,343
  Powerco, Ltd.                                   281,600          116,560
 *Provenco Group, Ltd.                            229,634          259,111
  Pyne Gould Guinness, Ltd.                       369,175          297,321

 118

N-CSR
123rd “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 123rd
                                                                [Download Table]

                                           SHARES           VALUE+
                                  ---------------  ---------------
                                                                  
  Restaurant Brand                                                
    New Zealand, Ltd.                     309,644  $        88,877
 *Richina Pacific, Ltd.                   995,760          526,899
 *Rubicon, Ltd.                           415,999          721,215
  Ryman Healthcare Group, Ltd.            418,047        1,252,330
  Sanford, Ltd.                            60,843          122,789
  Scott Technology, Ltd.                   80,520            1,432
 *Seafresh Fisheries                       30,744           26,448
  South Port New Zealand, Ltd.            379,638        1,006,623
  Steel & Tube Holdings, Ltd.             157,056                0
 *Tasman Farms                             29,646           51,854
  Taylors Group, Ltd.                      84,779        1,053,121
  Tourism Holdings, Ltd.                  402,452          456,213
 *Trans Tasman Properties, Ltd.         2,311,308          530,041
  Waste Management NZ, Ltd.               430,471        1,303,996
  Williams & Kettle, Ltd.                  57,558          108,308
  Wrightson, Ltd.                         597,701          533,844
                                                   ---------------
TOTAL COMMON STOCKS                                               
    (Cost $13,683,313)                                  19,310,331
                                                   ---------------
INVESTMENT IN CURRENCY -- (0.1%)                                  
 *New Zealand Dollar                                              
    (Cost $122,643)                                        123,291
                                                   ---------------
TOTAL -- NEW ZEALAND                                              
    (Cost $13,805,956)                                  19,433,622
                                                   ---------------
UNITED STATES -- (0.0%)                                           
COMMON STOCKS -- (0.0%)                                           
 *Exergy, Inc.                              7,260                0
                                                   ---------------
MALAYSIA -- (0.1%)                                                
COMMON STOCKS --(0.1%)                                            
 *Autoways Holdings Berhad                 10,000            3,395
 *Promet Berhad                         1,143,000           87,229
 *Rekapacific Berhad                      473,000                0
 *RNC Corp. Berhad                         33,000            3,560
 *Saship Holdings Berhad                  223,520           52,351
 *Wing Tiek Holdings Berhad                95,800           22,437
                                                   ---------------
TOTAL MALAYSIA                                                    
    (Cost $1,212,987)                                      168,972
                                                   ---------------

                                                        [Enlarge/Download Table]

                                                                               FACE                      
                                                                              AMOUNT               VALUE+
                                                                         ---------------  ---------------
                                                                              (000)                      
                                                                                                         
TEMPORARY CASH                                                                                           
  INVESTMENTS -- (8.7%)                                                                                  
   Repurchase Agreement,                                                                                 
   Mizuho Securities USA 1.30%, 06/01/04 (Collateralized by $15,806,000                                  
   U.S. Treasury Obligations, 10.375%, maturities ranging from                                           
   11/26/04 to 11/15/12, valued at $17,119,249) to be repurchased at                                     
   $16,784,183 Cost $16,784,183@                                         $        16,784  $    16,784,183
 Repurchase Agreement, PNC Capital Markets, Inc. 1.28%, 07/01/04                                         
   (Collateralized by $2,128,000 FHLMC Notes 1.85%, 11/17/05, valued at                                  
   $2,133,320) to be repurchased at $2,101,075                                                           
   (Cost $2,101,000)                                                               2,101        2,101,000
                                                                                          ---------------
TOTAL TEMPORARY CASH INVESTMENTS                                                                         
   (Cost $18,885,183)                                                                          18,885,183
                                                                                          ---------------
TOTAL INVESTMENTS - (100.0%)                                                                             
   (Cost $238,087,590)++                                                                  $   216,085,414
                                                                                          ===============

----------                                                                      
+    See Note B to Financial Statements.                                        
@    Security purchased with cash proceeds from securities on loan.             
*    Non-Income Producing Securities.                                           
#    Total or Partial Securities on Loan.                                       
++   The cost for federal income tax purposes is $238,139,601.                  

 See accompanying Notes to Financial Statements.

 119

N-CSR
124th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 124th
 THE UNITED KINGDOM SMALL COMPANY SERIES

 SCHEDULE OF INVESTMENTS

 JUNE 30, 2004
 (UNAUDITED)

                                                                [Download Table]

                                               SHARES           VALUE+
                                      ---------------  ---------------
                                                                      
UNITED KINGDOM -- (95.8%)                                             
COMMON STOCKS -- (92.0%)                                              
  4imprint P.L.C.                              50,375  $       120,039
  600 Group P.L.C.                            100,910          142,725
  Abacus Group P.L.C.                          75,000          408,215
  Abbeycrest P.L.C.                            42,590           53,729
  Abbot Group P.L.C.                          239,595          776,014
  Aberdeen Asset Management P.L.C.            352,266          518,775
  Acal P.L.C.                                  33,999          298,543
 *Acambis P.L.C.                              137,000          864,762
 *Advanced Medical Solutions P.L.C.            29,802            4,592
 *Advanced Power Components, Ltd.              47,871           10,275
  AEA Technology P.L.C.                        87,065          334,235
  AGA Food Service Group P.L.C.               174,500          710,985
  Aggreko P.L.C.                              354,341        1,060,357
 *AIM Group P.L.C.                             32,063           49,424
 *Air Partner P.L.C.                           11,763           87,542
 *Airflow Streamlines P.L.C.                   20,500           21,748
  Airsprung Furniture Group P.L.C.             58,000           71,524
  Alba P.L.C.                                 105,025        1,543,142
  Alexandra P.L.C.                             86,243          151,892
  Alexon Group P.L.C.                         116,632          747,604
 *Alizyme P.L.C.                              182,900          435,672
  Alpha Airports Group P.L.C.                 392,541          624,584
  Alphameric P.L.C.                           172,688          267,021
 *Alterian P.L.C.                              39,937           57,286
  Alumasc Group P.L.C.                        100,245          259,824
  Alvis P.L.C.                                191,010        1,102,178
  Amberley Group P.L.C.                       200,000           42,257
  Amec P.L.C.                                  49,000          243,697
  Amstrad P.L.C.                              149,652          593,000
 *Anglesey Mining P.L.C.                       55,000            3,865
  Anglo Eastern Plantations P.L.C.             57,166          171,526
  Anglo Pacific Group P.L.C.                   98,309          110,960
 *Anite Group P.L.C.                          467,715          451,078
 *Antisoma P.L.C.                             389,246          119,660
 *API Group P.L.C.                             51,500           62,246
 *Applied Optical Technologies P.L.C.          75,383           33,082
 *Arena Leisure P.L.C.                        711,974          588,081
 *Argonaut Games, Ltd.                        100,000           12,708
  Arla Foods UK P.L.C.                      1,167,454        1,234,052
  Arm Holdings P.L.C.                         127,000          278,567
  Arriva P.L.C.                               129,697          971,878
 *Ashtead Group P.L.C.                        435,651          218,589
  Ashtenne Holdings P.L.C.                     93,880          674,334
  Atkins Ws P.L.C.                            139,007        1,531,404
  Atrium Underwriting P.L.C.                   77,002          275,835
  Austin Reed Group P.L.C.                     68,999          181,704
  Autologic Holdings P.L.C.                    58,180          293,135
 *Autonomy Corp. P.L.C.                       160,350          734,966
  Avesco P.L.C.                                29,998           51,305
  Aveva Group P.L.C.                           28,257          286,920
  Avis Europe P.L.C.                        1,184,768        2,256,886
  Avon Rubber P.L.C.                           36,672          153,042
 *AWG P.L.C.                                   16,000          170,480
 *AWG P.L.C. Redeemable Shares              5,312,000            9,392
 *Axis-Shield P.L.C.                           58,284          188,437
  Axon Group P.L.C.                            76,340  $       177,115
  Babcock International Group P.L.C.          310,464          722,487
  Baggeridge Brick P.L.C.                      98,000          283,166
 *Bailey (C.H.) P.L.C.                        109,500           15,390
 *Bailey (C.H.) P.L.C. Class                   10,000            6,619
 *Baltimore Technologies P.L.C.                60,656           48,425
  Barr (A.G.) P.L.C.                           43,000          539,632
  Beattie (James) P.L.C.                      132,247          303,702
  Belhaven Brewery Group P.L.C.                39,070          334,336
  Bellway P.L.C.                              127,364        1,762,575
  Ben Bailey P.L.C.                            26,000          190,863
  Benchmark Group P.L.C.                      138,813          693,674
  Bespak P.L.C.                                55,918          514,062
 *Biocompatibles International P.L.C.          45,777          162,990
 *Bioquell P.L.C.                              50,194          144,899
  Biotrace International P.L.C.                75,000          170,360
  Birse Group P.L.C.                          421,901           99,713
  Black Arrow Group P.L.C.                     56,500           64,039
  Blacks Leisure Group P.L.C.                  60,959          480,563
  Bloomsbury Publishing P.L.C.                 94,003          418,967
 *BNB Resources P.L.C.                         89,395           28,776
  Body Shop International P.L.C.              389,367        1,152,713
  Bodycote International P.L.C.               413,815        1,189,316
 *Bookham Technology P.L.C.                   397,825          393,191
  Boot (Henry) P.L.C.                          51,423          346,238
  Bovis Homes Group P.L.C.                    157,801        1,514,427
  BPP Holdings P.L.C.                         106,500          580,525
 *Bradstock Group P.L.C.                        5,200            4,149
  Brammer (H.) P.L.C.                         119,123          298,617
 *Brandon Hire P.L.C.                          37,654           86,591
  Brewin Dolphin Holdings P.L.C.              260,332          350,471
 *Bristol Water Group P.L.C.                   31,800          229,778
  Britannic P.L.C.                            253,592        1,705,497
  British Polythene Industries P.L.C.          56,740          300,620
  British Vita P.L.C.                         247,486        1,158,453
  Brixton P.L.C.                              296,900        1,565,851
 *Broadcastle P.L.C.                           42,033           59,565
 *Brown & Jackson P.L.C.                      445,542          536,249
  Brown (N) Group P.L.C.                      468,107          901,003
  BSS Group P.L.C.                             47,905          637,614
 *BTG P.L.C.                                  220,220          434,352
  Burtonwood Brewery P.L.C.                    38,000          266,487
  Business Post Group P.L.C.                  105,019          938,531
  BWD Securities P.L.C.                        29,403          252,221
  Caffyns P.L.C.                                6,000           78,438
 *Cairn Energy P.L.C.                         183,836        4,723,079
 *Cambridge Antibody Technology                                       
    Group P.L.C.                               58,733          549,471
 *Cammell Laird Holdings P.L.C.               256,158           27,873
  Capital & Regional P.L.C.                    83,991          820,482
  Capital Radio P.L.C.                        110,198          883,255
  Carclo P.L.C.                               100,463           90,393
  Care UK P.L.C.                               64,835          340,287
  Carillion P.L.C.                            286,809          965,506
 *Carlisle Holdings, Ltd.                       8,709           52,992
  Carpetright P.L.C.                          125,839        2,408,503
  Carr's Milling Industries P.L.C.             19,000          115,417

 120

N-CSR
125th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 125th
                                                                [Download Table]

                                             SHARES           VALUE+
                                    ---------------  ---------------
                                                                    
 Castings P.L.C.                             79,000  $       265,470
*Celtic P.L.C.                               10,000           10,707
*Cenes Pharmaceuticals P.L.C.               298,612           49,000
 Chamberlin & Hill P.L.C.                    18,000           53,662
 Chapelthorpe P.L.C.                        627,680          252,195
 Character Group P.L.C.                      59,041           89,677
 Charles Taylor Consulting P.L.C.            67,918          312,512
*Charter P.L.C.                             216,904          657,802
*Che Group P.L.C.                            51,533           41,227
 Chemring Group P.L.C.                       49,000          386,820
*Chesnara P.L.C.                             92,900          171,844
*Chime Communications P.L.C.                230,438          154,637
 Chloride Group P.L.C.                      485,500          428,071
 Christie Group P.L.C.                       53,263          109,439
 Chrysalis Group P.L.C.                     286,082        1,024,746
 Churchill China P.L.C.                      30,000          121,704
*City North Group P.L.C.                     21,389           84,365
 City Restaurant Group P.L.C.               275,712          411,308
 Clarkson (Horace) P.L.C.                    44,733          398,854
*Clinical Computing P.L.C.                   46,666           21,141
 Clinton Cards P.L.C.                       433,380          686,615
*CLS Holdings P.L.C.                        152,907          883,867
 CML Microsystems P.L.C.                     28,361          202,485
 Colefax Group P.L.C.                        60,000          110,442
 Collins Stewart Tullett P.L.C.              31,538          242,144
*Colt Telecom Group P.L.C.                  257,000          376,769
 Comino Group P.L.C.                         11,100           38,206
 Communisis P.L.C.                          237,134          498,558
 Compel Group P.L.C.                         36,601           57,214
 Computacenter P.L.C.                        51,000          348,642
*Cookson Group P.L.C.                     2,289,168        1,756,224
 Coral Products P.L.C.                       50,000           39,563
*Corin Group P.L.C.                          50,497          285,291
*Corporate Services Group P.L.C.          1,535,192          300,598
 Cosalt P.L.C.                               30,700          173,028
*Costain Group P.L.C.                       606,344          458,570
*Country & Metropolitan P.L.C.               24,413           79,738
 Countryside Property P.L.C.                111,482          446,607
*Countrywide P.L.C.                         185,800        1,111,929
 Courts P.L.C.                              110,722          305,233
 Cox Insurance Holdings P.L.C.              452,393          587,808
 Cranswick P.L.C.                            54,941          375,699
 Crest Nicholson P.L.C.                     267,250        1,702,870
 Creston P.L.C.                              28,278           67,397
 Croda International P.L.C.                 176,035          915,613
 Cropper (James) P.L.C.                      22,000           62,392
*Culver Holdings P.L.C.                         338               80
 Daejan Holdings P.L.C.                      25,000          999,607
 Dairy Crest Group P.L.C.                   165,769        1,293,192
*Dana Petroleum P.L.C.                       98,651          533,132
*Danka Business Systems P.L.C.              277,731          311,875
 Dart Group P.L.C.                           74,000          204,813
 Davis Service Group P.L.C.                 227,016        1,591,031
 Dawson Holdings P.L.C.                      83,245          238,286
*Dawson International P.L.C.                100,688           14,699
*DCS Group P.L.C.                            10,000            2,915
 De la Rue P.L.C.                           236,201        1,486,821
 Dechra Pharmaceiticals P.L.C.               67,432          183,671
 Dee Valley Group P.L.C.                      4,214           54,282
 Delta P.L.C.                               234,235          347,070
 Deltron Electronics P.L.C.                  45,452           57,819
*Densitron International P.L.C.              74,175           22,978
 Derwent Valley Holdings P.L.C.              90,000  $     1,420,034
 Detica Group P.L.C.                         29,314          307,739
 Development Securities P.L.C.               50,000          340,793
 DeVere Group P.L.C.                        132,501        1,060,502
 Devro P.L.C.                               213,653          418,136
 Dewhurst P.L.C.                              9,000           23,421
 Dewhurst P.L.C. Class A                                            
   Non-Voting                                15,500           33,731
 DFS Furniture Co. P.L.C.                   135,600        1,066,542
 Diagonal P.L.C.                            104,323           87,737
 Dickinson Legg Group P.L.C.                 11,935            4,714
 Dicom Group P.L.C.                          30,000          425,845
*Dimension Data Holdings P.L.C.             939,000          540,502
 Diploma P.L.C.                              30,191          308,437
 Domestic & General Group P.L.C.             47,868          503,958
 Domino Printing Sciences P.L.C.            355,935        1,526,113
 Domnick Hunter Group P.L.C.                 47,242          325,091
*Dowding & Mills P.L.C.                     336,440           67,085
 DRS Data Research Services P.L.C.           26,825           29,499
 DTZ Holdings P.L.C.                        114,500          329,970
*Duelguide Units P.L.C.                       3,971           38,729
*Durlacher Corp. P.L.C.                      15,272           33,049
 Dyson Group P.L.C.                          42,750          232,842
 East Surrey Holdings P.L.C.                164,541          927,582
*Easyjet P.L.C.                             335,116          970,861
*Easynet Group P.L.C.                       158,575          329,127
*Easyscreen P.L.C.                           72,275           39,340
*Ebookers P.L.C.                            102,112          505,403
*Edinburgh Oil & Gas P.L.C.                  47,564          140,599
*Eidos P.L.C.                               183,310          357,113
 Eldridge Pope & Co. P.L.C.                  25,000           69,207
 Eleco P.L.C.                               104,685           57,146
 Electronic Data Processing P.L.C.           55,200           58,931
*Elementis P.L.C.                           573,383          391,652
*Emerald Energy P.L.C.                    6,178,398          148,657
*Emess P.L.C.                               288,250           42,923
 Ennstone P.L.C.                            295,323          200,733
*Enodis P.L.C.                              524,429          969,795
*Entertainment Rights P.L.C.                343,617           64,398
 Estates & General P.L.C.                    10,000           46,125
 Eurocopy P.L.C.                             41,051           28,674
*Eurodis Electron P.L.C.                  1,230,802          103,315
 Euromoney Institutional Investors                                  
   P.L.C.                                   146,258        1,003,243
 European Colour P.L.C.                      82,090           27,709
 European Motor Holdings P.L.C.             118,325          479,781
*European Telecom P.L.C.                      7,000                0
*Evans of Leeds Contingent Units                                    
   P.L.C.                                    80,000                0
 Expro International Group P.L.C.            88,349          442,145
 Fenner P.L.C.                              144,722          294,977
*Ferguson International Holdings                                    
   P.L.C.                                    89,105           43,630
 Ferraris Group P.L.C.                       63,540          131,202
*Fibernet Group P.L.C.                       70,153          156,746
*FII Group P.L.C.                            41,166            5,039
 Filtronic P.L.C.                            98,438          378,651
 Financial Objects P.L.C.                     7,000            5,317
 Findel P.L.C.                              142,288        1,083,131
 First Choice Holidays P.L.C.               797,150        1,814,334
 First Technology P.L.C.                    128,111          709,586
 Fisher (James) & Sons P.L.C.                76,000          386,282

 121

N-CSR
126th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 126th
                                                                [Download Table]

                                            SHARES           VALUE+
                                   ---------------  ---------------
                                                                   
 FKI P.L.C.                                750,350  $     1,683,084
 Forminster P.L.C.                          43,333           16,306
 Forth Ports P.L.C.                        142,983        3,031,357
 Fortress Holdings P.L.C.                  120,728           60,756
*Fortune Oil P.L.C.                      1,905,243          237,541
 Freeport P.L.C.                            48,808          296,494
 French Connection Group P.L.C.            186,807        1,411,673
 Fuller, Smith & Turner P.L.C.                                     
   Series A                                 20,000          237,571
 Fulmar P.L.C.                             107,500          143,111
 Future Network P.L.C.                     430,444          475,272
 Galliford Try P.L.C.                      517,870          459,644
 Game Group P.L.C.                         534,000          515,969
 Games Workshop Group P.L.C.                41,013          504,582
 Gaming International P.L.C.                14,000           13,329
*Garton Engineering P.L.C.                  10,248                0
*Gaskell P.L.C.                             36,000           10,436
 GB Group P.L.C.                           250,000           77,095
 Geest P.L.C.                               97,588        1,012,198
 Get Group P.L.C.                           13,200           51,360
 Gibbs & Dandy P.L.C.                        9,000           52,488
 Gleeson (M.J.) Group P.L.C.                22,471          409,681
*Global Natural Energy P.L.C.               11,004           40,291
*Glotel P.L.C.                              49,741          116,742
 Go-Ahead Group P.L.C.                      74,825        1,561,210
 Goldshield Group P.L.C.                    42,212          202,464
 Gowrings P.L.C.                             5,000            5,577
 Grainger Trust, Ltd.                       39,359        1,174,957
 Great Portland Estates P.L.C.             309,799        1,453,807
 Greene King P.L.C.                         92,950        1,715,972
*Greenwich Resources P.L.C.                438,664           18,894
 Greggs P.L.C.                              26,000        1,608,153
*Gresham Computing P.L.C.                   65,768          415,860
 Guiness Peat Group P.L.C.               1,025,981        1,223,261
 GWR Group P.L.C.                          206,864          991,768
*Gyrus Group P.L.C.                        110,664          399,834
 Halma P.L.C.                              489,564        1,430,212
 Halstead (James) Group P.L.C.              52,208          458,889
*Hampson Industries P.L.C.                 250,757           97,365
*Hampton Trust P.L.C.                      232,050            7,364
 Hardy Underwriting Group P.L.C.            40,318          174,501
 Hardys & Hansons P.L.C.                    48,000          459,161
*Hartstone Group P.L.C.                    240,263            8,396
*Harvey Nash Group P.L.C.                  183,750          249,280
 Havelock Europa P.L.C.                     27,660           51,798
*Hawtin P.L.C.                             196,500           46,452
 Haynes Publishing Group P.L.C.             14,703           83,908
 Headlam Group P.L.C.                      152,974        1,156,347
 Heath (Samuel) & Sons P.L.C.                7,500           54,065
 Helical Bar P.L.C.                         46,000          780,084
 Helphire Group P.L.C.                     159,600          639,427
 Hercules Property Services P.L.C.          25,132          128,125
 Heywood Williams Group P.L.C.             140,400          218,842
 Highbury House Communications                                     
   P.L.C.                                  439,166          135,619
 Highway Insurance Holdings P.L.C.         467,933          286,396
 Hill & Smith Holdings P.L.C.               86,850          151,607
 Hiscox P.L.C.                             387,778        1,156,281
 Hit Entertainment P.L.C.                  228,773          953,534
 Hitachi Capital (UK) P.L.C.                82,134          295,254
 Holidaybreak P.L.C.                        92,974          864,076
 Homeserve P.L.C.                           86,400        1,048,700
 Homestyle Group P.L.C.                     76,141  $       141,524
 Hornby P.L.C.                              10,000          212,444
 House of Fraser P.L.C.                    395,650          819,984
 Hunting P.L.C.                            223,174          541,120
 Huntleigh Technology P.L.C.                79,938          543,864
 Huntsworth P.L.C.                         399,368          139,432
*Hyder Consulting P.L.C.                    16,308           41,592
*IAF Group P.L.C.                           30,000           13,057
*ICM Computer Group P.L.C.                  27,265          143,863
 IFX Group P.L.C.                           34,486           65,982
*Imagination Technologies Group                                    
   P.L.C.                                  239,934          387,713
*IMS Group P.L.C.                           75,000            6,121
 Incepta Group P.L.C.                      280,643          434,293
 Inchcape P.L.C.                            20,000          639,003
*Incisive Media P.L.C.                     119,677          295,868
*Independent Media Distribution                                    
   P.L.C.                                   21,621           29,866
*Industrial & Commercial Holdings                                  
   P.L.C.                                    5,000              136
 Infast Group P.L.C.                       301,224          121,617
*Intec Telecom Systems P.L.C.              371,865          434,134
 Intelek P.L.C.                             99,880           20,309
 Intertek Group P.L.C.                      70,100          730,274
 Intserve P.L.C.                           179,459          878,396
*Invensys P.L.C.                         5,864,457        1,926,245
 Inveresk P.L.C.                           150,000           40,454
*IQE P.L.C.                                132,400           21,192
 ISIS Asset Management P.L.C.              268,751        1,002,466
 Isoft Group P.L.C.                        210,764        1,660,576
 Isotron P.L.C.                             50,325          423,903
 Ite Group P.L.C.                          374,735          445,429
 Itnet P.L.C.                               98,785          346,118
*Itouch International P.L.C.               120,000           61,749
 Jarvis P.L.C.                             230,379          326,605
*Jarvis Porter Group P.L.C.                 99,894           33,514
 JJB Sports P.L.C.                         366,085        1,770,342
 JKX Oil and Gas P.L.C.                    234,386          521,278
 John David Group P.L.C.                   114,500          438,158
 Johnson Service Group P.L.C.              125,535          917,367
 Johnston Group P.L.C.                      26,000          136,738
*Kalamazoo Computer Group P.L.C.            56,120            1,781
 KBC Advanced Technologies P.L.C.           25,000           15,461
 Keller Group P.L.C.                       123,128          483,553
 Kensington Group P.L.C.                    84,884          681,300
*Kewill Systems P.L.C.                      88,409          106,511
 Kidde P.L.C.                              232,000          504,359
 Kier Group P.L.C.                          51,293          591,875
 Kiln P.L.C.                               316,219          466,285
*Kingston Communications P.L.C.            639,901          804,743
 Kleeneze P.L.C.                            84,300          183,454
*Knowledge Support Systems Group                                   
   P.L.C.                                   25,000              363
*La Fitness P.L.C.                          53,738          189,364
 Laing (John) P.L.C.                       301,961        1,272,165
 Laird Group P.L.C.                        184,690        1,016,615
 Lambert Howarth Group P.L.C.               38,049          186,781
*Lastminute.com P.L.C.                     392,251        1,290,085
*Laura Ashley Holdings P.L.C.            1,178,470          284,116
 Lavendon Group P.L.C.                      50,092          114,165
*Leeds United P.L.C.                        66,000              180
 Lincat Group P.L.C.                        19,000          134,800

 122

N-CSR
127th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 127th
                                                                [Download Table]

                                               SHARES           VALUE+
                                      ---------------  ---------------
                                                                      
 Linton Park P.L.C.                            39,000  $       279,988
 Linx Printing Technologies P.L.C.             27,000          141,753
 Litho Supplies P.L.C.                         20,000           18,380
*London Clubs International P.L.C.            293,962          695,611
 London Industrial P.L.C.                      22,308          741,992
 London Merchant Securities P.L.C.            324,905        1,021,465
 London Scottish Bank P.L.C.                  263,000          559,847
 Lookers P.L.C.                                53,160          296,069
*Lorien P.L.C.                                 60,000           93,926
 Low & Bonar P.L.C.                           132,598          285,927
 Luminar P.L.C.                                99,500          746,611
 Lupus Capital P.L.C.                         191,787           68,954
*M.L. Laboratories P.L.C.                     298,631          105,726
 Macfarlane Group P.L.C.                      228,287          109,463
 Macro 4 P.L.C.                                42,500          135,131
 Maiden Group P.L.C.                           16,800           67,175
 Mallett P.L.C.                                24,837          119,811
 Management Consulting Group                                          
   P.L.C.                                     310,972          257,606
 Manchester United P.L.C.                     510,356        2,403,900
 Manganese Bronze Holdings P.L.C.              32,184           94,790
*Marchpole Holdings P.L.C.                    134,904           43,000
 Marlborough Stirling P.L.C.                  349,767          406,173
 Marshalls P.L.C.                             225,800        1,150,739
*Martin International Holdings P.L.C.         135,800           58,247
*Marylebone Warwick Balfour Group                                     
   P.L.C.                                     186,660          186,588
 Matalan P.L.C.                                84,701          330,843
 Mayflower Corp. P.L.C.                       550,636           67,404
 McAlpine (Alfred) P.L.C.                     196,111        1,114,565
 McBride P.L.C.                               229,159          619,747
 McCarthy & Stone P.L.C.                      194,968        2,061,737
 McKay Securities P.L.C.                       77,266          308,906
*Medical Solutions P.L.C.                     126,658           89,527
*Medisys P.L.C.                               659,558          780,906
 Meggitt P.L.C.                               513,463           71,432
*Melrose Resouces P.L.C.                      360,317        1,714,028
 Mentmore P.L.C.                               30,000          150,516
 Menzies (John) P.L.C.                         90,835          772,896
*Merant P.L.C.                                172,500          531,809
 Merchant Retail Group P.L.C.                 185,666          518,026
 Merrydown P.L.C.                              59,927           98,586
 Mersey Docks & Harbour Co. P.L.C.            104,554        1,302,060
 Metal Bulletin P.L.C.                         95,500          386,450
 Metalrax Group P.L.C.                        358,740          532,449
 MFI Furniture Group P.L.C.                    60,855          167,646
 Mice Group P.L.C.                            139,909          182,055
 Michael Page International P.L.C.            498,237        1,624,340
*Microgen P.L.C.                               98,405          108,367
 Millennium and Copthorne Hotels                                      
   P.L.C.                                      80,633          499,066
 Minerva P.L.C.                               266,135        1,185,258
 Mitie Group P.L.C.                           500,000        1,273,742
 Molins P.L.C.                                 68,000          216,426
 Monsoon P.L.C.                                71,000          232,754
*Morgan Crucible Company P.L.C.               374,238          938,411
 Morgan Sindall P.L.C.                         69,599          537,705
 Morse P.L.C.                                 196,986          480,072
 Moss Brothers Group P.L.C.                   163,400          227,518
 Mothercare P.L.C.                             91,481          591,571
*Mouchel Parkman P.L.C.                       138,761          521,140
 Mowlem (John) & Co. P.L.C.                   341,969        1,098,923
 MS International P.L.C.                       71,500  $        65,247
 MSB International P.L.C.                      16,000           20,125
 Mtl Instruments Group P.L.C.                  14,748           58,908
 Mucklow (A & J) Group P.L.C.                 175,000        1,008,555
*Music Choice Europe P.L.C.                   125,172           38,071
*My Travel Group P.L.C.                       628,934           91,223
 National Express Group P.L.C.                 25,000          307,006
*Ncipher P.L.C.                                26,695           77,638
 Nestor Healthcare Group P.L.C.               180,200          468,943
*Netstore P.L.C.                               96,618           68,651
*New Avesco P.L.C.                             29,998           28,561
 Newcastle United P.L.C.                      148,923          110,729
 NHP P.L.C.                                   281,875        1,003,638
 Nichols P.L.C.                                66,550          160,176
 Nord Anglia Education P.L.C.                  32,586          137,561
 Northamber P.L.C.                             75,888          114,915
 Northern Foods P.L.C.                        527,042        1,618,415
 Northgate P.L.C.                             118,200        1,496,331
 Novar P.L.C.                                 555,943        1,244,339
*NSB Retail P.L.C.                            461,606          206,048
*NXT P.L.C.                                   101,922          166,886
 Ocean Wilsons Holdings, Ltd.                  84,250          238,163
*OEM P.L.C.                                    12,000            8,161
*Orbis P.L.C.                                  11,428            3,047
*Osmetech P.L.C.                              669,354           51,652
 Ottakar's P.L.C.                              30,000          218,783
 Owen (H.R.) P.L.C.                            34,000          136,950
*Oxford Biomedica, Ltd.                       412,582          138,972
 Oxford Instruments P.L.C.                     63,163          263,165
*Pace Micro Technology P.L.C.                 359,299          342,033
 Paladin Resources P.L.C.                     427,630        1,032,596
*Palmaris Capital P.L.C.                       42,500           11,699
 Paragon Group of Companies                                           
   P.L.C.                                     153,200          959,666
 Parity Group P.L.C.                          241,406           50,157
 Park Group P.L.C.                            291,600          157,279
 Partridge Fine Arts P.L.C.                    58,000           64,688
 Pendragon P.L.C.                             239,375        1,518,572
 Penna Consulting P.L.C.                       33,000           82,650
 Peterhouse Group P.L.C.                       85,427          328,190
*Pharmagene P.L.C.                            160,000          119,651
*Photo-Me International P.L.C.                662,586        1,185,693
 PHS Group P.L.C.                             692,231        1,032,627
*Phytopharm P.L.C.                             56,696          169,741
 Pillar Property P.L.C.                       173,398        1,832,306
 Pittards P.L.C.                               60,985           61,109
 Planit Holdings P.L.C.                       235,000          122,299
*Plantation & General P.L.C.                   70,623           23,053
*Plasmon P.L.C.                               100,000          381,512
 Portmeirion Group P.L.C.                      22,856           66,319
 Porvair P.L.C.                                62,000          128,460
*PPL Therapeutics P.L.C.                       43,529            4,736
 Premier Farnell P.L.C.                        18,000           80,603
*Premier Oil P.L.C.                           105,748        1,063,639
*Pressac P.L.C.                                78,129           14,821
 Primary Health Properties P.L.C.              23,784          106,117
*Probus Estates P.L.C.                         83,333            1,247
*Protherics P.L.C.                            506,828          498,239
*Provalis P.L.C.                              375,538           50,612
 PSD Group P.L.C.                              43,500          218,368
*Psion P.L.C.                                 587,351          663,266
 PZ Cuzzons P.L.C.                             30,398          613,382

 123

N-CSR
128th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 128th
                                                                [Download Table]

                                              SHARES           VALUE+
                                     ---------------  ---------------
                                                                     
*QA P.L.C.                                   158,950  $        10,855
*Quantica P.L.C.                              50,736           51,700
*Queens Moat Houses P.L.C.                   159,000           24,509
 Quintain Estates & Development                                      
   P.L.C.                                    158,650        1,290,979
*QXL Ricardo P.L.C.                              130              790
 RAC P.L.C.                                  142,900        1,845,050
 Radamec Group P.L.C.                         35,000           22,691
 Radstone Technology P.L.C.                   40,384          236,507
 Ransom (William) & Son P.L.C.                30,000           26,716
*Redbus Imterhouse P.L.C.                    206,250           34,275
 Redrow P.L.C.                               212,951        1,394,811
*Redstone P.L.C.                             257,485           41,000
 Reed Health Group P.L.C.                    155,333          193,789
 Reg Vardy P.L.C.                            103,597        1,049,405
 Regent Inns P.L.C.                          162,667          129,427
*Regus Group P.L.C.                          369,979          421,025
 Reliance Security Group P.L.C.               42,469          416,022
 Renishaw P.L.C.                             150,501        1,414,095
 Renold P.L.C.                               144,000          220,302
*Retail Decisions P.L.C.                     381,092          119,962
 Ricardo P.L.C.                              114,409          386,318
 Richmond Foods P.L.C.                        30,683          282,559
*Richmond Oil & Gas P.L.C.                   220,000                0
 RM P.L.C.                                   119,174          273,658
*RMS Communications P.L.C.                    15,000                0
*Robert Walters P.L.C.                       111,051          251,541
 Robert Wiseman Dairies P.L.C.               151,416          630,108
 ROK property solutions P.L.C.                58,166          370,505
 Rotork P.L.C.                               185,440        1,330,308
 Roxboro Group P.L.C.                         55,682          339,784
*Royal Doulton P.L.C.                        428,749           55,913
 Royalblue Group P.L.C.                       47,200          441,331
 RPC Group P.L.C.                            116,100          402,976
 RPS Group P.L.C.                            257,158          609,429
 Rugby Estates P.L.C.                          9,100           45,891
 Rutland Trust P.L.C.                        174,255          112,974
 S & U P.L.C.                                 21,140          195,069
*Safeland P.L.C.                              25,000           23,802
 Salvesen (Christian) P.L.C.                 334,415          350,852
 Sanctuary Group P.L.C.                      444,589          398,156
 Savills P.L.C.                              104,000          864,094
*Scapa Group P.L.C.                          163,581           93,025
*Scipher P.L.C.                               34,563            1,348
 Scottish & Newcastle P.L.C.                  58,467          462,594
 Scottish Radio Holdings P.L.C.               61,989        1,023,070
 SCS Upholstery P.L.C.                        29,000          128,258
*SDL P.L.C.                                   84,032          186,354
 Secure Trust Group P.L.C.                    27,118          184,786
 Securicor P.L.C.                            664,050        1,542,572
 Senior P.L.C.                               396,524          281,977
 Serco Group P.L.C.                          233,359          905,662
*Servicepower Technologies P.L.C.            150,000           99,731
 Severfield-Rowan P.L.C.                      26,211          186,050
*SFI Group P.L.C.                             26,713           15,018
 Shaftesbury P.L.C.                          171,500          819,984
 Shanks & McEwan Group P.L.C.                311,671          668,066
 Shiloh P.L.C.                                14,500           41,687
 SHL Group P.L.C.                             61,310          130,495
*ShopRite Group P.L.C.                       204,780           45,493
*Shore Capital Group P.L.C.                  344,465          178,036
 SIG P.L.C.                                  157,030        1,173,303
*Simon Group P.L.C.                          348,089  $       307,619
 Sinclair (William) Holdings P.L.C.           53,000           71,075
 Singer & Friedlander Group P.L.C.           222,438          945,017
 Sirdar P.L.C.                                41,600           29,517
*Skyepharma P.L.C.                           877,889        1,028,483
 Smart (J.) & Co. (Contractors)                                      
   P.L.C.                                     22,500          193,818
*Smart Approach Group P.L.C.                 251,985            4,570
 SMG P.L.C.                                  477,407        1,019,327
 Smith (David S.) Holdings P.L.C.            499,595        1,470,623
 Smith (James) Estates P.L.C.                 17,524          118,380
 Smith (W.H.) P.L.C.                         125,843          723,640
*Soco International P.L.C.                    95,932          529,166
 Somerfield P.L.C.                           601,400        1,699,809
*Sondex P.L.C.                                89,293          309,648
 South Staffordshire Group P.L.C.             21,600          283,994
 Southampton Leisure Holdings                                        
   P.L.C.                                     19,615           19,097
 Spectris P.L.C.                             166,081        1,509,998
 Speedy Hire P.L.C.                           56,892          439,807
 Spirax-Sarco Engineering P.L.C.             106,811        1,096,140
*Spirent P.L.C.                            1,320,275        1,661,130
*Sportech P.L.C.                             435,000           98,670
 Spring Group P.L.C.                         299,583          633,829
*Springwood P.L.C.                            37,500            2,380
 SSL International P.L.C.                    244,270        1,240,702
 St. Ives P.L.C.                             133,269          900,229
 St. Modwen Properties P.L.C.                170,893          898,787
 Staffware P.L.C.                             16,613          245,064
 Stanelco P.L.C.                           1,012,741           82,876
 Stanley (Charles) Group P.L.C.               86,800          332,926
 Stanley Leisure Organisation P.L.C.         226,209        1,717,828
*Sterling Publishing Group P.L.C.             75,298           15,159
 Stylo P.L.C.                                 64,096           57,607
*Superscape P.L.C.                           162,101          101,208
*Surfcontrol P.L.C.                           42,400          472,822
 Swallowfield P.L.C.                          15,000           21,116
 Sygen International P.L.C.                  492,975          338,985
 Synstar P.L.C.                              216,206          290,109
 T&F Informa Group P.L.C.                    355,029        2,611,638
*T. Clarke P.L.C.                             16,213          150,144
*Tadpole Technology P.L.C.                   314,463           89,743
*Tandem Group P.L.C.                         327,365                0
 Tarsus Group P.L.C.                          52,677           88,016
 Taylor Nelson AGB P.L.C.                    109,000          415,267
 TBI P.L.C.                                  957,475        1,160,288
 Ted Baker P.L.C.                             65,455          495,868
*Telecity P.L.C.                             277,126           56,645
 Telecom Plus P.L.C.                          80,656          404,014
*Telecommunications Group P.L.C.              45,958              621
 Telemetrix P.L.C.                           165,708          496,183
*Telspec P.L.C.                               25,000            5,702
*Terence Chapman Group P.L.C.                 62,500              360
 Tex Holdings P.L.C.                          14,000           42,617
 The Big Food Group P.L.C.                   522,159          977,864
*The Innovation Group P.L.C.                 940,000          560,894
 The Malcolm Group P.L.C.                    109,377          174,422
*The Peacock Group P.L.C.                    148,732          701,594
*The Television Corp. P.L.C.                  81,937          127,277
*The Wireless Group P.L.C.                   136,530          227,635
*Theratase P.L.C.                             46,347           34,657
 Thorntons P.L.C.                            158,000          474,887

 124

N-CSR
129th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 129th
                                                        [Enlarge/Download Table]

                                                                                   SHARES           VALUE+
                                                                          ---------------  ---------------
                                                                                                          
  Thorpe (F.W.) P.L.C.                                                             24,000  $       102,522
 *Thus Group P.L.C.                                                             1,697,000          805,346
  Tibbett & Britten Group P.L.C.                                                   86,123        1,060,885
  Tinsley (Eliza) Group P.L.C.                                                     19,844            9,370
 *Toad Group P.L.C.                                                                85,507           28,168
  Topps Tiles P.L.C.                                                              348,450        1,142,023
  Tops Estates P.L.C.                                                              78,906          476,543
 *Torotrak P.L.C.                                                                 134,282          151,496
 *Tottenham Hotspur P.L.C.                                                        150,000           79,763
  Town Centre Securities (New) P.L.C.                                             142,137          658,194
  Trace Computers P.L.C.                                                           33,552           48,501
 *Trafficmaster P.L.C.                                                            180,062          295,169
  Transport Development Group P.L.C.                                              108,182          411,806
  Treatt P.L.C.                                                                     9,957           36,114
  Trifast P.L.C.                                                                  135,388          191,437
  Trio Holdings P.L.C.                                                             50,000           21,537
  TT Electronics P.L.C.                                                           214,820          668,424
 *TTP Communications P.L.C.                                                       295,493          359,570
  Tullow Oil P.L.C.                                                               500,218        1,117,710
  U.K. Coal P.L.C.                                                                194,549          550,799
  UCM Group P.L.C.                                                                 41,980           59,386
  Ulster Television, Ltd.                                                         115,602          886,797
  Ultra Electronics Holdings P.L.C.                                                86,645          980,947
  Ultraframe P.L.C.                                                               150,958          347,094
  Umeco P.L.C.                                                                     43,150          282,279
  Uniq P.L.C.                                                                     152,986          450,847
  Unite Group P.L.C.                                                              144,289          519,553
  Universal Salvage P.L.C.                                                         14,255           16,475
 *Vanco P.L.C.                                                                    102,919          463,010
 *Vega Group P.L.C.                                                                32,300           96,295
 *Venture Production P.L.C.                                                       141,335          516,674
 *Vernalis P.L.C.                                                                 225,579          227,752
 *Vert (Jacques) P.L.C.                                                            45,000           13,962
  Victoria P.L.C.                                                                  12,000           74,342
  Victrex P.L.C.                                                                  136,254          886,035
  Vislink P.L.C.                                                                  103,960           50,579
  Vitec Group P.L.C.                                                               56,752          358,556
 *Volex Group P.L.C.                                                               58,801          159,461
  VP P.L.C.                                                                        83,100          204,255
  VT Group P.L.C.                                                                 229,432        1,104,377
  Wagon P.L.C.                                                                     65,292          230,974
 *Walker Greenbank P.L.C.                                                          53,105           12,761
  Warner Estate Holdings P.L.C.                                                    81,254          741,884
 *Waterdorm P.L.C.                                                                105,000                0
  Waterman P.L.C.                                                                  74,473          101,344
  Watermark Group P.L.C.                                                           68,660          171,791
  Weir Group P.L.C.                                                               264,251        1,389,674
  Wellington Holdings P.L.C.                                                       22,566           52,177
  Wembley P.L.C.                                                                   36,926          568,115
  Westbury P.L.C.                                                                 202,522        1,591,077
 *Weston Medical Group P.L.C.                                                      50,200            2,276
  Wetherspoon (J.D.) P.L.C.                                                       264,451        1,379,069
  Whatman P.L.C.                                                                  241,935          893,787
  White Young Green P.L.C.                                                         74,666          273,421
  Whitehead Mann Group P.L.C.                                                      95,000          431,132
  Whittard of Chelsea P.L.C.                                                       30,000          114,721
 *Wiggins Group P.L.C.                                                          1,148,266          136,916
  Wilmington Group P.L.C.                                                          98,523          189,897
  Wilshaw P.L.C.                                                                  198,409           44,077
  Wilson Bowden P.L.C.                                                              7,000          133,506
  Wincanton P.L.C.                                                                147,600          638,129
  Windsor P.L.C.                                                                   50,000           37,364
  Wintrust P.L.C.                                                                  22,500  $       212,432
  Wolverhampton & Dudley Breweries                                                                        
    P.L.C.                                                                         94,028        1,484,447
  Wood Group (John) P.L.C.                                                        739,316        1,747,102
  Woolworths Group P.L.C.                                                       1,865,047        1,560,814
 *Workplace Systems International                                                                         
    P.L.C.                                                                        129,945           30,688
 *Worthington Group P.L.C.                                                        102,653            5,352
  WSP Group P.L.C.                                                                 90,000          353,161
  Wyevale Garden Centres P.L.C.                                                    74,407          475,311
  Wyndeham Press Group P.L.C.                                                      73,066          173,716
 *XAAR P.L.C.                                                                      66,357          112,732
  XANSA P.L.C.                                                                    481,962          717,664
 *Xenova Group P.L.C.                                                             436,931           87,529
 *XKO Group P.L.C.                                                                 30,304           47,141
  Yates Group P.L.C.                                                               76,263          194,756
 *Yorkshire Group P.L.C.                                                           82,504            8,603
  Young & Co's Brewery P.L.C.                                                      10,000          159,438
  Young & Co's Brewery P.L.C. Class A                                               5,234          106,544
  Yule Catto & Co. P.L.C.                                                         229,986        1,156,361
  Zotefoams P.L.C.                                                                 62,000           79,044
                                                                                           ---------------
TOTAL COMMON STOCKS                                                                                       
    (Cost $227,946,287)                                                                        301,837,260
                                                                                           ---------------
INVESTMENT IN CURRENCY -- (3.8%)                                                                          
 *British Pound Sterling                                                                                  
    (Cost $12,502,814)                                                                          12,525,263
                                                                                           ---------------
RIGHTS/WARRANTS -- (0.0%)                                                                                 
 *Creston P.L.C. Warrants 09/30/04                                                  1,000                0
 *Letter of Entitlements -                                                                                
    Audemars Piguet                                                                90,242                0
 *Planestation Group P.L.C.                                                                               
    Warrants 01/13/11                                                             229,653            5,831
 *Xenova Group P.L.C. Contingent                                                                          
    Rights 08/14/11                                                                94,500                0
 *Xenova Group P.L.C.                                                                                     
    Warrants 12/31/08                                                              56,991            4,263
                                                                                           ---------------
TOTAL RIGHTS/WARRANTS                                                                                     
    (Cost $4,781)                                                                                   10,094
                                                                                           ---------------
TOTAL -- UNITED KINGDOM                                                                                   
    (Cost $240,453,882)                                                                        314,372,617
                                                                                           ---------------


                                                                                FACE                      
                                                                               AMOUNT                     
                                                                          ---------------                 
                                                                               (000)                      
                                                                                                          
TEMPORARY CASH                                                                                            
  INVESTMENTS -- (4.2%)                                                                                   
 Repurchase Agreement, PNC Capital Markets, Inc. 1.28%, 07/01/04                                          
   (Collateralized by $13,927,000 FHLMC Notes 1.85%, 11/17/05, valued at                                  
   $13,961,818) to be repurchased at $13,755,489                                                          
     (Cost $13,755,000)                                                   $        13,755       13,755,000
                                                                                           ---------------
TOTAL INVESTMENTS -- (100.0%)                                                                             
     (Cost $254,208,882)++                                                                 $   328,127,617
                                                                                           ===============

----------                                                                      
+    See Note B to Financial Statements.                                        
*    Non-Income Producing Securities.                                           
++   The cost for federal income tax purposes is $254,220,015.                  

 See accompanying Notes to Financial Statements.

 125

N-CSR
130th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 130th
THE CONTINENTAL SMALL COMPANY SERIES

 SCHEDULE OF INVESTMENTS

 JUNE 30, 2004
 (UNAUDITED)

                                                                [Download Table]

                                               SHARES           VALUE+
                                      ---------------  ---------------
                                                                      
FRANCE -- (12.9%)                                                     
COMMON STOCKS -- (12.9%)                                              
  Affine                                        1,400  $       110,663
  Ales Groupe SA                                2,216          104,829
  Algeco SA                                     3,326          384,965
*#Alstom SA                                   177,212          199,370
  Altedia SA                                    2,800           56,321
 *Alten SA                                     21,372          392,778
 *Altran Technologies SA                       82,633        1,034,701
  Apem SA                                       1,000           62,104
  April Group SA                               31,201          618,279
  Ares (Groupe) SA                              5,500           33,313
  Arkopharma                                    6,240          379,601
 *Assystem Brime SA                             7,580          147,277
  Aubay SA                                      5,774           25,492
  Audika SA                                     1,900          122,579
 *Baccarat SA                                   1,090          114,504
  Bacou-Dalloz                                  6,287          467,317
  Bains de Mer et du Cercle des                                       
    Etrangers a Monaco                          4,615        1,502,961
  Banque Tarneaud SA                            1,000          174,237
 #Beneteau SA                                  13,527          870,758
 *Bigben Interactive                            2,100            9,997
  Boiron SA                                    16,659          447,015
  Boizel Chanoine Champagne SA                    600           32,924
 #Bonduelle SA                                  6,723          639,246
  Bongrain SA                                  13,083          909,180
  Bricorama SA                                  3,379          196,363
  Brioche Pasquier SA                           2,888          192,059
  Buffalo Grill SA                              1,028           15,055
*#Bull SA                                     379,800          167,063
  Burelle SA                                    4,030          449,146
 *Business Objects SA                          16,500          373,774
 *BVRP SA                                       2,900           39,540
  Camaieu SA                                    4,988          445,988
 *Cap Gemini SA                                 3,066          124,057
 *Carbone Lorraine                             33,245        1,379,714
  Cegedim SA                                    6,902          532,521
  CEGID SA                                     18,000          592,380
  CFCAL-Banque                                    840          293,616
  CFF Recycling                                84,608        1,363,931
  Cie Financiere Pour La Location                                     
    D'Immeubles Industriels &                                         
    Commerciaux Sa                              6,400          319,527
  Clarins SA                                    7,332          478,321
*#Club Mediterranee SA                         15,665          741,573
  Consortium International de                                         
    Diffusion et de Representation                                    
    Sante                                         600            8,240
  Crometal SA                                   1,100           64,364
 *CS Communication et Systemes                  4,983          136,672
 *Damartex SA                                  22,900          665,983
 *Dane-Elec Memory SA                          11,400           39,790
  Delachaux SA                                  1,300          163,471
  Deveaux SA                                    1,040          103,999
  Didot-Bottin                                  1,620          195,225
 *DMC (Dollfus Mieg et Cie)                     9,630           64,861
  Dynaction SA                                 10,660  $       216,281
  Eiffage SA                                    7,650          631,429
  Electricite de Strasbourg                    23,784        3,074,877
  Elior                                       104,108          985,476
  Esso SA                                       3,200          437,502
  Etam Developpement SA                         7,300          329,335
  Euler-Hermes SA                              12,758          691,280
 *Eurafrance                                   43,296        2,821,656
 *Euraltech SA                                 11,700           22,761
*#Euro Disney SCA                             797,643          390,151
  Evialis SA                                    1,200           43,896
  Exel Industries SA                            1,800          115,989
 *Explosifs et de Produits Chimiques              524          145,295
 #Faurecia SA                                   6,500          448,491
  Fimalac SA                                  111,143        4,455,143
  Fininfo SA                                    9,760          268,656
  Fleury Michon SA                              3,100          153,377
  Fonciere Lyonnaise SA                         9,596          444,267
  France-Africaine de Recherches                                      
    Petrolieres (Francarep)                     4,250          559,164
  Francois Freres (Tonnellerie) SA              3,150           79,733
 *Gantois Series A                                647           34,611
  Gascogne SA                                   6,472          558,031
 #Gaumont                                      14,607          960,691
 *GCI (Groupe Chatellier                                              
    Industrie SA)                               7,258              883
*#Generale de Geophysique SA                   20,770        1,273,993
  Generale de Sante                            32,259          463,808
  Generale Location SA                          9,000          220,679
 *Geodis SA                                     4,379          339,026
  Gespac System                                 1,100           18,603
  Gevelot                                       3,584          228,699
  GFI Informatique SA                          26,700          186,967
 #Gifi                                          4,678          288,554
 *Ginger (Groupe Ingenierie Europe)             2,600           51,292
  Grands Moulins de Strasbourg                    110           56,343
  Groupe Bourbon SA                             6,347          696,713
  Groupe Crit                                   6,900          162,445
 *Groupe Flo SA                                11,900           66,395
 *Groupe Focal SA                               1,400           12,341
  Groupe Go Sport SA                            2,207          155,867
  Groupe Guillin SA                             1,200           97,817
  Groupe Open SA                                6,000           73,478
  Groupe Steria                                14,365          501,620
  Guerbet SA                                    1,700          122,295
 *Guitel                                          116              550
  Guyenne et Gascogne SA                       26,000        3,001,994
  Havas SA                                     62,300          325,893
 *Hotels et Casinos de Deauville                2,055        1,062,747
 #Hyparlo SA                                    5,514          282,198
  IDSUD                                           614           18,306
 *IMS International Metal Service SA           12,630           99,619
  Industrielle et Financiere                                          
    d'Entreprise SA                               300           50,752
*#Infogrames Entertainment SA                  83,638          232,041
 #Ingenico SA                                  61,820        1,140,103
 *Ioltech SA                                      500           47,709

 126

N-CSR
131st “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 131st
                                                                [Download Table]

                                                SHARES           VALUE+
                                       ---------------  ---------------
                                                                       
  Ipsos SA                                       5,776  $       651,004
  Kaufman et Broad SA                            7,722          307,146
  Lafuma SA                                        810           59,210
  Laurent-Perrier                                3,100          107,945
  Lectra Systemes SA                            23,092          181,075
  Lisi SA                                        7,827          397,979
  Manitou SA                                    11,092        1,231,232
  Manutan International SA                       4,700          220,129
  Marionnaud Parfumeries                                               
    Retails Perfumes                            11,209          381,940
 *Matussiere et Forest SA                       13,600           47,985
 *Metaleurop SA                                 35,449           23,290
  MGI Coutier SA                                 1,400           52,825
 *Montupet SA                                   32,450          721,853
  Mr. Bricolage SA                               6,600          217,321
 *MRM                                            1,424           16,005
  Neopost SA                                     7,200          426,957
  Nexans                                        15,136          564,719
  Norbert Dentressangle                          8,372          439,961
  Nord Est SA                                   21,507        1,046,867
*#Oberthur Card Systems SA                      53,640          429,120
 *Oeneo                                         31,265          131,547
 *Otor SA                                       13,700           59,224
  Parcours SA                                    5,300           32,058
  Passat SA                                      2,400           46,469
 *Penauille Polyservices SA                     10,200          136,341
  Petit Forestier SA                             3,043          114,901
 #Pierre & Vacances                              6,635          591,296
  Pinguely-Haulotte SA                          25,000          187,341
  Plastic Omnium SA                             15,423          768,907
  Plastivaloire SA                               1,700           46,927
  Prosodie SA                                    4,500          125,030
  PSB Industries SA                              1,240          158,563
 *Radiall SA                                     1,340          106,887
  Robertet SA                                    1,076          132,594
  Rodriguez Group SA                             9,687          507,861
  Rougier SA                                     2,040          151,638
 *S.T. Dupont SA                                 3,800           19,432
  Sabeton                                       13,500          190,124
  Samse SA                                       4,400          506,684
  Sasa Industries SA                             1,000           25,572
 *Saveurs de France-Brossard                       900           22,998
*#Scor SA                                      524,279          819,243
  SDR de Bretagne SA                             1,314           39,995
  SEB SA Prime Fidelite 2002                     3,300          394,681
  Sechilienne-Sidec                              2,200          388,912
  Securidev SA                                   1,500           21,517
  Selectibail                                   29,286          966,831
  Signaux Girod SA                                 600           31,405
  SILIC (Societe Immobiliere de                                        
    Location pour L'industrie et                                       
    le Commerce)                                15,009        1,038,766
  Skis Rossignol SA                             41,668          683,889
  Smoby SA                                         500           50,677
  Societe du Louvre SA                          14,513        1,383,560
 *Societe Francais des Papiers Peints              400            4,597
  Societe Industrielle D'Aviations                                     
    Latecoere SA                                 3,700          124,284
  Societe Pour L'Informatique                                          
    Industrielle SA                              1,800           68,337
  Solving International SA                       2,100           19,789
  Somfy Interational SA                         22,900        4,271,243
  Sopra SA                                       7,618  $       357,610
 #SR Teleperformance                            90,928        2,161,212
  Stallergenes SA                                1,949          107,265
  Ste Virbac SA                                  7,637          262,997
  Stef-Tfe SA                                    2,032          199,911
  Sucriere de Pithiviers-le-Vieil                1,825        1,215,964
 *Sylis SA                                       4,700           34,877
  Synergie SA                                    8,000          220,652
  Taittinger SA                                 12,700        2,706,244
 *Teisseire France SA                              700           66,456
 *Tessi SA                                       1,700           68,154
  Touax (Touage Investissement SA)              10,378          214,846
  Toupargel-Agrigel SA                           6,200          170,146
  Trigano SA                                     7,953          426,452
*#Ubi Soft Entertainment SA                     10,800          262,081
  Unilog SA                                      9,747          522,923
 #Vallourec (Usines a Tubes de                                         
    Lorraine Escaut et Vallourec                                       
    Reunies)                                    31,700        3,115,948
 *Valtech, La Defense                           48,000           52,320
  Viel et Compagnie                             44,339          222,596
 #Vilmorin et Cie SA                             2,349          399,850
  VM Materiaux SA                                  300           38,787
  Vranken Monopole                               2,800          108,275
  ZODIAC SA                                     14,964          510,694
                                                        ---------------
TOTAL COMMON STOCKS                                                    
    (Cost $48,590,319)                                       82,476,409
                                                        ---------------
  RIGHTS/WARRANTS -- (0.0%)                                            
 *Ales Groupe SA Warrants                                              
    03/23/09                                       316            2,115
 *Ginger (Groupe Ingenierie Europe)                                    
    Warrants 09/30/05                            2,600                0
 *Groupe Open Warrants 10/21/06                  1,000              718
 *Oeneo Warrants 08/26/06                       14,365            6,309
 *Prosodie SA Warrants 10/28/06                    900              675
 *Ubi Soft Entertainment SA Warrants                                   
    05/14/06                                     4,100            1,700
 *Valtech, La Defense Warrants                                         
    07/29/05                                    20,000              973
                                                        ---------------
TOTAL RIGHTS/WARRANTS                                                  
    (Cost $1,815)                                                12,489
                                                        ---------------
TOTAL -- FRANCE                                                        
    (Cost $48,592,134)                                       82,488,898
                                                        ---------------
GERMANY -- (11.6%)                                                     
COMMON STOCKS -- (11.6%)                                               
  A.S. Creation Tapeton AG                       2,900           66,037
 #Aareal Bank AG                                46,391        1,645,156
 *Acg AG Fuer Chipkarten und                                           
    Informationssysteme                         15,400           33,185
  Ackermann-Goeggingen AG                        8,100          171,930
  AC-Service AG                                  4,300           31,270
 *Adva AG Optical Networking                    39,883          267,835
 *Agrob AG                                       5,800           58,753
 *Aigner (Etienne) AG                              600          102,794
*#Aixtron AG                                    74,124          551,656
  Amadeus Fire AG                                4,900           30,898
  Andreae-Noris Zahn AG, Anzag                  27,200          963,180
 *Articon Integralis AG                          7,900           34,580
  Atoss Software AG                              3,700           46,565
 *Augusta Technologie AG                        11,750           18,777

 127

N-CSR
132nd “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 132nd
                                                                [Download Table]

                                               SHARES           VALUE+
                                      ---------------  ---------------
                                                                      
 #Ava Allgemeine Handelsgesellschaft                                  
  der Verbraucher AG                           35,814  $     1,441,098
 #AWD Holding AG                               52,932        1,811,349
 *Baader Wertpapier                                                   
    Handelsbank AG                             19,026          118,373
  Balda AG                                     40,277          345,518
 *Basler AG                                     3,200           56,247
 #Beate Uhse AG                                56,241          754,216
  Bechtle AG                                   25,498          428,412
 *Berliner Elektro Holding AG                  17,611          163,392
  Bertrandt AG                                  9,850          160,602
  Beru AG                                      14,051        1,082,418
  Beta Systems Software AG                      2,850           54,042
  Bien-Haus AG                                  2,400           33,536
 #Bilfinger & Berger Bau AG                    44,787        1,551,976
 *Biolitec AG                                   8,000           35,187
 *Biotest AG                                    2,400           37,138
 *BKN International AG                         17,600           84,025
 *BMP AG                                       10,600           34,820
  Boewe Systec AG                               7,866          393,716
 *Borussia Dortmund GMBH &                                            
    Co. KGAA                                   21,650           75,760
 *Bremer Energiekonto AG                       14,700           28,876
 *CBB Holding AG                              102,602            6,117
 *Ce Consumer Electrnic AG                     21,600           45,636
 *Ceag AG                                      20,670          208,281
 *Cenit AG Systemhaus                           3,500           51,842
 *Centrotec                                                           
    Hochleistungskunststoffe AG                 7,500          136,186
  Cewe Color Holding AG                         7,073          152,329
  Comdirect Bank AG                           120,666        1,052,687
 *Computec Media AG                             4,650           30,887
  Computerlinks AG                              5,700           84,809
 *Condomi AG                                    1,800            3,917
 *CTS Eventim AG                               14,800          251,239
  Curanum AG                                   21,500           49,212
 *D. Logistics AG                              37,750           76,121
*#DAB Bank AG                                  70,271          506,853
 *Data Modul AG                                 3,194           61,042
 *DEAG Deutsche Entertainment AG               10,500           33,070
 #Deutsche Euroshop AG                         18,927          831,633
 *Deutsche Steinzeug Cremer &                                         
    Breuer AG                                  87,200           88,611
 *Deutz AG                                     96,790          417,085
 *Dierig Holding AG                            10,500          158,607
  Dis Deutscher Industrie Service AG           18,524          555,217
 *Dom-Braugerei AG                              1,100           43,276
  Douglas Holding AG                           43,825        1,268,293
 *Dr. Scheller Cosmetics AG                     4,000           16,102
 *Drillisch AG                                 28,287           97,505
*#Duerr Beteiligungs AG                        17,593          419,202
  DVB Bank AG                                   7,124          879,082
 *Eckert and Ziegler Strahlen - und                                   
    Medizintechnik AG                           3,000           32,271
 *Elexis AG                                     8,600           61,602
  Elmos Semiconductor AG                       23,218          368,950
  ElreingKlinger AG                             1,500          182,270
*#Em.TV AG                                     18,773           54,588
 *Emprise Management                                                  
    Consulting AG                               8,950           18,110
 *Epcos AG                                     55,500        1,169,311
  Erlus Baustoffwerke AG                          297          128,787
 *Escada AG                                    20,520  $       363,972
 *Eurobike AG                                   1,700              345
 *Evotec Biosystems AG                         42,707          206,100
  Feilmann AG                                  29,181        1,881,277
 #FJA AG                                        9,889          117,822
  Fortec Elektronik AG                          1,400           40,006
 *Freenet.De AG                                16,800        1,454,459
  Fuchs Petrolub AG Oel & Chemie                6,693          480,928
  GFK AG                                       37,903        1,312,199
 *Gft Technologies AG                          22,600           51,085
 *GPC Biotech AG                               23,900          346,502
  Grenkeleasing AG                             15,958          639,948
  Gwag Bayerische Wohnungs-                                           
    Aktiengesellschaft AG                       3,383          152,652
  Hamborner AG                                 21,000          591,185
  Hawesko Holdings AG                           4,300          120,213
 *Herlitz AG                                    6,962           26,495
  Hochtief AG                                  34,000          809,815
 *Hoeft & Wessel AG                             6,100           24,216
  Hucke AG                                      8,300           36,536
 #Hugo Boss AG                                 25,100          544,742
  Hutschenreuther AG                            2,800           32,613
 *I-D Media AG                                  9,700           20,700
 *IFA Hotel & Touristik AG                      7,000           60,819
 *IM International Media AG                    19,800           18,188
*#Innovation in Traffic Systems AG             12,300           48,907
  Interseroh AG                                11,845          175,441
*#Intershop Deutschland AG                      7,955           15,075
 *Intertainment AG                              8,500           43,895
 *Isra Vision Systems AG                        3,650           57,250
 #IVG Immobilien AG                           143,237        1,722,945
 #Iwka AG                                      26,613          631,810
*#Jenoptik AG                                  67,265          731,872
  K & S Aktiengesellschaft AG                 129,500        4,417,723
  Kampa-Haus AG                                10,375           79,613
  Keramag Keramische Werke AG                  13,000          761,907
 *Kloeckner-Werke AG                           53,211          649,513
 *Kontron AG                                   53,965          453,406
  Krones AG                                    10,180        1,052,396
  KSB AG                                        2,387          506,884
  KWS Kleinwanzlebener                                                
    Saatzucht AG                                1,650        1,211,891
 *Leica Camera AG                               4,400           27,982
 #Leifheit AG                                  12,500          393,736
 #Leoni AG                                     25,000        1,295,869
 *Loewe AG                                      7,100           52,109
  LPKF Laser & Electronics AG                   9,000           45,178
  Masterflex AG                                 4,400          160,102
 *Maternus-Kliniken AG, Bad                                           
    Oyenhausen                                  2,400            2,466
 *Maxdata AG                                   32,897          151,624
 *Mediclin AG                                  30,850           52,565
 *Medigene AG                                   8,600           77,608
 *Mensch und Maschine                                                 
    Software AG                                10,700           52,097
 *Morphosys AG                                  4,800          137,562
 *Mosaic Software AG                            5,200           14,917
  Muehlabauer Holdings AG &                                           
    Co. KGAA                                    7,423          247,021
 *MVS Miete Vertrieb Service AG                13,050           27,465
  MVV Energie AG                               58,291          953,148
 *MWG Biotech AG                               30,700           47,684

 128

N-CSR
133rd “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 133rd
                                                                [Download Table]

                                               SHARES           VALUE+
                                      ---------------  ---------------
                                                                      
 *Nemetschek AG                                 7,400  $        62,502
 *Neschen AG                                    5,800           32,143
 *Norddeutsche Affinerie AG                    37,449          515,543
  Norddeutsche Steingutfabrik AG                5,960           37,706
  Novasoft AG                                  18,550           63,580
 *November AG                                   5,400           31,047
 *Ohb Teledata                                 12,650          108,110
 *Pandatel AG                                   5,700           20,105
 *Parsytec AG                                  11,900           48,878
  PC-Ware Information                                                 
    Technologies AG                             5,100           53,834
 *Personal & Informatik AG                      5,900           53,831
  Pfeiffer Vacuum Technology AG                 8,250          336,005
 *Pfleiderer AG                                51,351          480,199
 *Phoenix AG, Hamburg                          37,500          718,634
 *Plambeck Neue Energien AG                    19,350           51,518
 *Plenum AG                                     9,300           26,112
 *Primacom AG                                  15,200           27,130
 *Produkte und Syteme der                                             
    Informationstechnologie AG                 10,300           43,355
  Progress-Werk Oberkirch AG                    5,000          189,521
  Puma AG                                       5,700        1,454,878
 *PVATepla AG                                  15,550           36,300
*#Qs Communications AG                        124,164          588,576
  Rational AG                                  15,083          983,770
 *Realtech AG                                   3,650           23,066
  Renk AG                                      19,400          694,245
  Repower Systems AG                            5,000          110,715
  Rheinmetall Berlin AG                        45,000        1,866,623
  Rhoen Klinikum AG                            24,107        1,341,014
 *Rinol AG                                      5,900           16,708
 *Rohwedder AG                                  4,860           36,226
 *Ruecker AG                                    7,800           35,491
 #Salzgitter AG                                85,948        1,033,668
  Sartorius AG                                 11,252          195,443
  Schlott Sebaldus AG                           7,440          190,633
  Schwarz Pharma AG                            30,101          930,978
  Sektkellerei Schloss                                                
    Wachenheim AG                              15,120          137,356
 *Senator Entertainment AG                      9,800            3,148
 *SGL Carbon AG                                57,758          541,354
*#Singulus Technologies AG                     36,100          726,144
  Sinner AG, Karlsruhe                          4,160           66,041
 #Sixt AG                                      19,433          321,293
 *Sm Wirtschaftsberatungs AG                    3,350           32,438
 *Software AG                                  34,296          964,346
 #Stada Arzneimittel AG                        25,093        1,053,931
  Stahl (R.) AG                                 6,300           58,077
 *Steag Hamtech AG                             35,473          143,978
 *Stoehr & Co. AG                              16,000           65,596
 *Strabag AG                                    4,840          331,175
  Stratec Biomedical Systems AG                 3,200           55,611
  Stuttgarter Hofbraeu AG                      18,000          610,376
  Sued-Chemie AG                               29,146        1,030,516
*#Suess Microtec AG                            17,785          166,437
  Syskoplan AG                                  3,300           26,300
 *Syzygy AG                                    18,000           96,800
  Takkt AG                                     87,707          719,665
 *Techem AG                                    29,076          748,928
  Technotrans AG                                6,450           98,711
 *Telegate AG                                  20,500          284,049
 *Teles AG Informationstechnologien            26,657          315,230
  Textilgruppe Hof AG                          12,170  $        80,139
 *TFG Venture Capital AG &                                            
    Co. KGAA                                    8,800           25,860
*#Tomorrow Focus AG                            42,650          143,941
 *TTL Information Technology AG                 6,400           29,576
 *TV Loonland AG                                7,000           17,205
 *Umweltkontor Renewable                                              
    Energy AG                                  14,100           14,158
  United Internet AG                           79,458        2,235,965
 *USU Software AG                              16,850           70,358
 *Utimaco Safeware AG                          12,200           53,567
 *Value Management &                                                  
    Research AG                                 7,650           21,536
 *VBH (Vereinigter Baubeschlag-                                       
    Handel) AG                                  9,415           32,415
 *Vereinigte Deutsche Nickel-                                         
    Werke AG                                   12,150           13,389
  VK Muehlen AG                                 1,312          121,173
  Vossloh AG                                   21,469        1,033,145
  Wanderer-Werke AG                             7,903          235,152
 *WCM Beteiligungs AG                         346,726          483,322
 *Westag and Getalit AG, Rheda-                                       
    Wiedenbrueck                                7,000           67,313
  Wuerttembergische                                                   
    Lebensversicherung AG                      11,330          223,833
  Wuerttembergische                                                   
    Metallwarenfabrik AG                       30,330          518,090
  Wuerzburger Hofbraeu AG                         133           63,707
  Zapf Creation AG                              7,500          176,555
                                                       ---------------
TOTAL COMMON STOCKS                                                   
    (Cost $58,656,709)                                      74,582,507
                                                       ---------------
RIGHTS/WARRANTS -- (0.0%)                                             
*#Em.TV AG Options 04/18/06                    18,773            6,167
*#Em.TV AG Options 04/18/08                    18,773            7,994
  Leoni AG Rights 07/09/04                     25,000           72,999
 *Mensch und Maschine Software AG                                     
    Rights 07/08/04                             5,350                0
 *VBH Holdings AG Rights                        9,415                0
                                                       ---------------
TOTAL RIGHTS/WARRANTS                                                 
    (Cost $61,194)                                              87,160
                                                       ---------------
TOTAL -- GERMANY                                                      
    (Cost $58,717,903)                                      74,669,667
                                                       ---------------
SWITZERLAND -- (8.9%)                                                 
COMMON STOCKS -- (8.8%)                                               
 *A. Hiestad Holding AG                           190          108,454
 *Accu Holding AG Registered Shares                60            6,707
 *Actelion, Ltd.                                4,400          506,480
  AFG Arbonia-Forster Holding AG                2,610          402,735
 *Agie Charmilles Holding AG                    3,000          233,150
  Allreal Holding AG                            4,357          358,333
  Also Holding AG                                 268           73,430
 *Amazys Holding AG                             1,183           43,472
 *Ascom Holding AG                             22,120          265,900
  Bachem AG                                     3,659          209,310
  Bank Coop AG                                 29,405        1,220,904
 #Bank Sarasin & Cie Series B, Basel              304          466,760
 *Banque Cantonale de Geneve                    1,344          197,684
  Banque Cantonale du Jura                        450           86,854
  Banque Cantonale Vaudoise                       600           55,145

 129

N-CSR
134th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 134th
                                                                [Download Table]

                                                 SHARES           VALUE+
                                        ---------------  ---------------
                                                                        
  Banque Privee Edmond de                                               
    Rothschild SA, Geneve                           120  $     1,342,602
  Barry Callebaut AG                              3,526          829,336
  Basellandschaftliche Kantonalbank                 600          386,634
  Basler Kantonalbank                             5,250          385,823
  Batigroup Holding AG                            2,902           30,166
  Belimo Holdings                                   330          159,706
 *Berna Biotech                                  18,727          154,134
  Berner Kantonalbank                             4,815          573,865
  BHB Beteiligungs und                                                  
    Finanzgesellschaft                              150            5,259
  Bobst Group SA                                 18,200          588,082
  Bossard Holding AG                              6,350          381,424
  Bucher Industries AG,                                                 
    Niederweningen                                3,355          594,381
  BVZ (Brig Visp Zermatt)                                               
    Holding AG                                      370           73,858
 #Caisse d'Epargne Cantonale                                            
    Vaudoise, Lausanne                              697          584,592
  Calida Holding AG                                 396          100,622
 *Carlo Gavazzi Holding AG                          910           66,802
  Charles Voegele Holding AG                      3,960          164,314
  Cie Financiere Tradition                        5,202          457,087
 *Clair Finanz Holding AG                         1,320          526,988
 #Conzzeta Holdings AG                            1,415        1,273,301
 *Crossair AG, Basel                             13,517          106,045
  Daetwyler Holding AG, Atldorf                     348          711,803
 #Edipresse SA, Lausanne                            694          377,559
  EGL (Elektrizitaets-Gesellschaft                                      
    Laufenberg) AG, Laufenberg                    6,141        4,087,978
  Eichhof Holding AG                                188          146,461
  Energie Electrique du Simplon SA                  350           43,150
  Energiedienst Holding AG                        8,265        2,571,346
  Escor Casino & Entertainment AG                   744           16,975
 *Feintol International Holding AG                  254           50,739
 *Fischer (Georg) AG, Schaffhausen                1,822          422,682
 *Flughafen Zuerich AG                            2,810          242,560
 *Forbo Holding AG, Eglisau                       1,100          284,988
  Fuchs Petrolub AG Oel & Chemie                                        
    Non-Voting                                    6,003          411,393
 #Galenica Holding, Ltd. AG, Bern                 4,290          645,846
  Geberit AG                                        870          581,516
 *Generale d'Affichage, Geneve                      337          193,619
  Generali (Switzerland) Holdings,                                      
    Adliswil                                      1,670          281,993
 *Golay-Buchel Holding SA,                                              
    Lausanne                                         40           30,342
  Gornergrat Monte Rasa-Bahnen                                          
    Zermatt                                          70           46,484
 #Gurit-Heberlein AG                              1,125        1,005,918
  Helvetia Patria Holding                         4,331          766,596
 *HPI Holding SA                                  6,000            7,684
  Industrieholding Cham AG, Cham                    864          183,378
 *Interroll-Holding SA                              320           37,985
 #Jelmoli Holding AG                              1,521        2,060,670
 #Jelmoli Holding AG, Zuerich (Namen)             2,835          772,568
  Kaba Holding AG                                 2,040          422,175
  Kardex AG, Zuerich                              8,245          217,732
 *Komax Holding AG                                1,411          107,243
 *Kudelski SA                                    13,000          375,357
  Kuoni Reisen Holding AG                         1,470          632,907
 *Leica Geosystems Holdings AG                    1,057          220,224
 *Lem Holdings AG, Lyss                             270  $        45,270
 #Luzerner Kantonalbank AG                        5,000          798,125
 *Maag Holding AG, Zuerich                          922          118,472
 *Micronas Semi                                  12,202          556,740
 *Mikron Holding AG, Biel                         2,652           31,867
 *Mobilezone Holding AG                          13,349           44,719
 *Moevenpick-Holding, Zuerich                     1,320          302,914
  Nobel Biocare Holding AG                       45,460        7,123,630
  Orell Fussli Graphische Betriebe Ag,                                  
    Zuerich                                       2,400          270,805
  Oz Holding AG                                   4,400          284,306
 *Parco Industriale e Immobiliare SA                600            1,677
  Phoenix Mecano AG, Stein                                              
    am Rhein                                      2,749          827,301
 #Phonak Holding AG                              29,137          907,882
  PSP Swiss Property AG                          35,198        1,278,018
  Publicitas Holding SA, Lausanne                 1,535          486,099
 #Rieters Holdings AG                             2,626          697,786
  Roche Holding AG Genusschein                      800           79,381
  SAIA-Burgess Electronics AG                       274          131,329
  Sarna Kunststoff Holding AG                     1,760          170,179
 *Saurer AG                                       7,843          401,912
 *Schaffner Holding AG                              300           46,303
 *Schweiter Technology AG                           649          126,947
  Schweizerhall Holding AG, Basel                   140          211,595
 #Schweizerische National                                               
    Versicherungs Gesellschaft                      692          345,092
  Scintilla AG                                      170          142,638
  SIA Abrasives Holding AG                          337           63,291
 #Siegfried Holding AG                            8,560        1,066,820
  Sig Holding AG                                  3,300          598,169
 *Sihl                                              150              359
*#Sika Finanz AG, Baar                            1,185          652,678
 #Sopracenerina                                   2,409          384,984
 #St. Galler Kantonalbank                         3,636          760,757
  Sulzer AG, Winterthur                           1,637          466,465
 *Swiss Prime Site AG                             2,212          466,122
 *Swisslog Holding AG                            17,025           17,586
 *Tamedia AG                                      5,300          475,024
 #Tecan Group AG                                  5,859          250,601
 *Temenos Group AG                               35,359          324,546
 *UMS Schweizerische Metallwerke                                        
    Holding AG, Bern                              2,560           36,236
 #Unaxis Holding AG                               2,013          227,514
  Unilabs SA                                      2,700           56,980
*#Valiant Holding AG                              9,978          824,378
  Valora Holding AG                               2,097          483,161
  Vaudoise Assurances Holding,                                          
    Lausanne                                         45           75,541
  Villars Holding SA, Fribourg                      150           35,942
*#Von Roll Holding AG, Gerlafingen               46,048           46,027
  Vontobel Holdings AG                           44,250          890,148
  Walliser Kantonalbank                             150           38,083
 *Wmh Walter Meier Holding Ag,                                          
    Zuerich                                       1,000           49,610
  Zehnder Holding AG                                193          202,239
  Zschokke Holding SA, Geneve                       230          105,393
 *Zueblin Holding AG                             13,393          100,856
 #Zuger Kantonalbank                                590        1,342,680
                                                         ---------------
TOTAL COMMON STOCKS                                                     
    (Cost $30,890,769)                                        56,451,391
                                                         ---------------

 130

N-CSR
135th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 135th
                                                                [Download Table]

                                                 SHARES           VALUE+
                                        ---------------  ---------------
                                                                        
PREFERRED STOCKS -- (0.1%)                                              
Fuchs Petrolub AG Oel & Chemie                                          
    (Cost $252,505)                               6,003  $       427,433
                                                         ---------------
INVESTMENT IN CURRENCY -- (0.0%)                                        
 *Swiss Francs                                                          
    (Cost $4,775)                                                  4,769
                                                         ---------------
RIGHTS/WARRANTS -- (0.0%)                                               
 *Accu Holding AG Rights 05/28/04                                       
    (Cost $7,757)                                    60            1,916
                                                         ---------------
TOTAL -- SWITZERLAND                                                    
    (Cost $31,155,806)                                        56,885,509
                                                         ---------------
ITALY -- (7.7%)                                                         
COMMON STOCKS -- (7.7%)                                                 
  Acea SpA                                      163,000        1,325,560
  Acegas SpA                                     31,875          244,983
 *Actelios SpA                                   25,801          203,521
  Aem Torino SpA                                450,627          864,885
  Aeroporto de Firenze SpA                        6,000           68,423
*#Alitalia Linee Aeree Italiane                                         
    SpA Series A                              3,706,002        1,061,773
  Amplifon SpA                                   18,242          651,013
 *Auschem SpA (In Liquidation)                   82,000                0
  Azienda Mediterranea Gas e                                            
    Acqua SpA                                   360,014          564,345
 #Banca Ifis SpA                                 19,351          219,203
 #Banca Intermobiliare di                                               
    Investimenti e Gestoni SpA                  132,998          936,602
  Banca Monte Dei Paschi di                                             
    Siena SpA                                   229,515          736,294
  Banca Popolare Dell'etruria e                                         
    Del Lazio Scrl                               23,918          518,258
  Banca Profilo SpA                             114,243          253,292
  Banco di Desio e della Brianza SpA            109,105          635,922
  Banco Piccolo Valellinese                                             
    Scarl SpA                                    56,071          576,282
 *Bastogi SpA                                 1,183,000          189,362
 *Beghelli SpA                                  142,000          107,748
  Beni Stabili SpA, Roma                      1,309,500          988,542
  Biesse SpA                                     17,100           47,434
 *Binda SpA                                   1,299,375                0
  Bonifica dei Terreni Ferraresi e per                                  
    Imprese Agricole Roma                         9,675          179,448
  Bremba SpA                                     74,782          537,354
 *Brioschi Finanziaria SpA, Milano              373,400          114,451
  Buzzi Unicem SpA                               94,100        1,211,494
  Caltagirone Editore SpA                       132,868        1,051,464
 #Caltagirone SpA                               178,399        1,134,434
  CAMFIN (Cam Finanziaria)                       36,527           84,007
  Carraro SpA                                    34,400          127,747
  Cementir Cementerie del                                               
    Tirreno SpA                                 249,704          876,889
  CIR SpA (Cie Industriale Riunite),                                    
    Torino                                      591,100        1,247,915
 *Cirio Finanziaria SpA                         175,000           37,047
  Class Editore SpA                              83,868          188,609
*#CMI SpA                                        64,502          270,910
 *Coats Cucirini SpA                             30,000           35,122
 *Compagnia Immobiliare Azionaria                44,000            7,238
  Credito Artigiano SpA                         114,446          426,358
 #Cremonini SpA                                 135,428          262,957
 *CSP International Industria                                           
    Calze SpA                                    10,000  $        16,326
  Danieli & C.Officine                                                  
    Meccaniche SpA                               66,500          305,532
 *Dataconsyst C.G.S. SpA, Monza                     220                0
  Davide Campari - Milano SpA                    27,599        1,365,983
  De Longhi SpA                                 139,386          606,801
 *Del Favero SpA                                 86,000                0
*#Ducati Motor Holding SpA                      129,900          182,299
  Emak SpA                                       27,000          133,225
  Erg SpA                                       173,330        1,144,269
  Ergo Previdenza SpA                            95,165          487,443
  Esprinet SpA                                    3,700          110,639
 *Finarte Casa d'Aste SpA (Milano)               56,266           63,726
 *Finarte Partecipazioni Pro                                            
    Arte SpA                                    242,693           35,773
*#Finmatica SpA                                  35,900          120,496
 *FMC (Fabbrica Milanese                                                
    Condutorri SpA)                              25,000                0
 *Fochi (Filippo) SpA                           216,000                0
 *Fornara Societa Finanziaria e                                         
    di Partecipazioni SpA                       310,000                0
  Gabetti Holding SpA                            55,000          123,966
  Gefran SpA                                     11,000           51,344
  Gemina SpA                                    331,283          351,345
 *Gerolimich SpA (In Liquidation)               297,400                0
  Gewiss SpA                                    221,700        1,141,012
 *Giovanni Crespi SpA                            49,200           37,710
  Grandi Navi Veloci SpA                         53,833          148,094
 #Granitifiandre SpA                             33,237          268,730
 *Grassetto SpA                                 279,125                0
 *Gruppo Ceramiche Ricchetti SpA                164,000           60,366
  I Grandi Viaggi SpA                            28,100           26,738
*#Immobiliare Lombardia SpA                     425,000           82,924
 #Immsi SpA                                     287,000          523,265
 #Impregilo SpA                                 592,300          336,049
  Industria Macchine                                                    
    Automatique SpA                              33,671          451,475
 *Industria Romagnola Conduttori                                        
    Elettrici SpA                                17,500           56,906
  Industrie Zignago S                                                   
    Margherita SpA                               52,000          849,992
  Interpump Group SpA                            75,402          411,395
  ITALJOLLY (Cia Italiana dei                                           
    Jolly Hotels SpA)                            34,500          218,995
  Italmobiliare SpA, Milano                      20,975        1,002,173
 *Juventus Footbal Club SpA                      98,000          188,010
  La Doria SpA                                   22,000           62,003
 *Lavorwash SpA                                  10,000           21,635
  Linificio and Canapificio                                             
    Nazionale SpA                                22,000           69,970
  Maffei SpA                                     52,500          104,291
 *Mandelli SpA                                   41,000                0
  Manifattura Lane Gaetano Marzotto &                                   
    Figli SpA                                   138,000        1,748,653
 *Marcolin SpA                                   35,100           48,990
  Mariella Burani Fashion Group SpA              26,077          238,342
  Meliorbanca SpA                                90,667          387,619
  Merloni Elettrodomestici SpA                  155,000        2,762,571
  Milano Assicurazioni SpA                      266,700        1,060,596
  Mirato SpA                                     12,000           89,299
 *Monrif SpA                                    150,000          132,694

 131

N-CSR
136th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 136th
                                                                [Download Table]

                                              SHARES           VALUE+
                                     ---------------  ---------------
                                                                     
 *Montefibre SpA                             143,130  $        38,329
  Navigazione Montanari SpA                  110,917          251,515
 *Necchi SpA                                 164,250           14,188
 *Negri Bossi SpA                             13,700           38,215
 *NGP SpA                                     17,891            7,618
  Olidata SpA                                 20,000           25,440
 *Opengate Group SpA                           4,000            9,295
 *Pagnossin SpA                                9,000            8,563
 *Perlier SpA                                100,700           23,875
  Permasteelisa SpA                           24,470          422,353
  Pininfarina SpA                             31,285          864,274
  Pirelli & C.Real Estate SpA                  9,600          360,026
  Poligrafici Editoriale SpA                 132,000          266,351
 *Premafin Finanziaria SpA Holding                                   
    di Partecipazioni, Roma                  342,051          437,986
  Premuda SpA                                 50,800          108,111
 *Ratti SpA                                   31,768           19,027
  Recordati Industria Chimica e                                      
    Farmaceutica SpA                          58,644        1,112,203
*#Reno de Medici SpA, Milano                 332,210          276,669
 *Richard-Ginori 1735 SpA                    128,000           86,376
  Risanamento Napoli SpA                     255,850          464,214
 *Rodriquez SpA                               41,250                0
 *Roncadin SpA                                81,400           47,646
  Sabaf SpA                                    9,200          176,452
  SAES Getters SpA                            14,750          256,130
  SAI SpA (Sta Assicuratrice                                         
    Industriale), Torino                      32,500          725,534
 *Schiapparelli 1824 SpA, Milano             166,200           30,149
 *Sirti SpA                                   29,967           70,228
  SISA (Societa Imballaggi Speciali                                  
    Asti SpA)                                 65,000          160,620
  SMI STA Metallurgica Italiana SpA          565,280          113,636
*#SNIA SpA                                   227,590           70,027
 #Societe Cattolica di Assicurazoni                                  
    Scarl SpA                                 27,170        1,100,819
  Sogefi SpA                                 182,500          761,002
  Sol SpA                                     81,830          360,992
 *SOPAF (Societa Partecipazioni                                      
    Finanziarie SpA)                          85,000           17,249
 *Sorin SpA                                  341,385          880,533
  Stefanel SpA                                54,400          116,819
  Targetti Sankey SpA                         14,500           60,830
 *Tecnodiffusione Italia SpA                   3,332            8,108
  Terme Demaniali di Acqui SpA               532,000          296,271
  Tod's Group SpA                             30,476        1,033,010
 *Trevi-Finanziaria Industriale SpA           52,400           67,401
 *Tripcovich (D.) & Co. SpA                                          
    Navigazione Rimorchi e                                           
    Salvataggi Trieste                       113,898                0
 *Unione Manifatture SpA                                             
    (In Liquidation)                         156,000                0
 *Unipar (Unione Nazionale di                                        
    Participazione SpA)                                              
    (In Liquidation)                         539,000                0
 *Vemer Siber Group SpA                       46,000           38,286
 *Viaggi del Ventaglio SpA                    23,000           33,931
  Vianini Industria SpA                       52,520          162,787
  Vianini Lavori SpA                         180,752        1,176,810
  Vittoria Assicurazioni SpA                  51,500          343,015
  Zucchi (Vincenzo) SpA                      144,350          670,041
TOTAL COMMON STOCKS                                                  
    (Cost $41,532,842)                                $    49,229,496
                                                      ---------------
RIGHTS/WARRANTS -- (0.0%)                                            
 *Tecnodiffusione Italia SpA                                         
  Warrants 11/15/04                                                  
    (Cost $0)                                  1,332              129
                                                      ---------------
TOTAL -- ITALY                                                       
    (Cost $41,532,842)                                     49,229,625
                                                      ---------------
SWEDEN -- (6.8%)                                                     
COMMON STOCKS -- (6.8%)                                              
 *Active Biotech AB                           38,640          236,981
  Addtech AB Series B                         22,300          124,583
  Alfa Laval AB                               18,600          296,651
 *Alfaskop AB                                  3,200              340
  Angpannefoereningen AB Series B             10,800          196,322
*#Anoto Group AB                             134,833          260,980
  Axfood AB                                   73,400        1,893,871
*#Axis AB                                     76,994          149,056
 *B & N Bylock & Nordsjoefrakt AB                                    
    Series B                                  41,800           89,709
  Beiger Electronics AB                       11,700          105,174
  Beijer AB Series B                          11,700          153,095
  Beijer Alma AB Series B                     10,400          148,567
  Bergman & Beving AB Series B                36,200          272,771
  Biacore International AB                    11,150          252,166
  Bilia AB Series A                          116,725        1,454,923
  Billerud AB                                 58,700          962,569
 *Boliden AB                                 197,400          719,595
 *Bong Ljungdahl AB                            9,000           41,975
 *Boras Waefveri AB Series B                   8,600           38,439
 *Boss Media AB                               63,200          171,740
*#Bostads AB Drott                            21,350          426,549
 *Capio AB                                    78,700          765,036
  Capona AB                                   25,400          226,508
  Carbo AB                                    37,100          927,691
  Castellum AB                                43,600        1,050,138
  Cloetta AB Series B                         22,250          518,776
  Concordia Maritime AB Series B              37,300           91,091
 *Connecta AB                                    250              209
 *Consilium AB Series B                        4,300           17,495
 *Consilum AB Series B Issue 04                  946            3,849
  D. Carnegie & Co. AB                        74,000          706,022
  Digital Illusions AB Series A                7,800           77,989
 *Doro Telefoni AB Series A                    2,900            3,551
 *Drott Series AB                             89,700        1,170,435
 *Duroc AB Series B                            2,700            5,899
 *Elekta AB                                   28,600          634,640
*#Enea Data AB Series B                      440,000          178,230
  Eniro AB                                   154,000        1,180,377
 *Expanda AB                                   6,547           30,564
  Fagerhult AB                                14,100          169,307
 *Fagerlid Industrier AB                       8,600                0
 *Finnveden AB                                57,000          507,692
 #Framfab AB Issue 04                        966,000           73,886
 *Frontec AB Series B                         50,800           42,433
  Getinge AB                                 176,604        2,094,156
  Geveko AB Series B                           8,300          182,436
 *Glocalnet AB                               187,500           67,024
  Gorthon Lines AB Series B                   41,800          100,210
  Gunnebo AB                                  50,000          566,923
  Haldex AB                                   39,000          619,451

 132

N-CSR
137th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 137th
                                                                [Download Table]

                                               SHARES           VALUE+
                                      ---------------  ---------------
                                                                      
  Heba Fastighets AB Series B                  13,500  $       165,474
  Hexagon AB Series B                           3,572          120,406
 #Hiq International AB                         41,889           87,325
  HL Display AB Series B                        6,000           95,193
  Hoganas AB Series B                          38,200          939,699
*#IBS AB Series B                              83,200          147,509
 *Industrial & Financial Systems AB                                   
    Series B                                   59,300           85,707
 *Industrifoervaltnings AB Skandigen           63,975          191,095
 *Intentia International AB Series B          149,420          181,459
 *Intrum Justitia AB                          115,700          678,978
  Karlshamns AB                                23,800          275,292
  Kinnevik Industrifoervaltnings AB                                   
    Series B                                   44,400        1,458,705
 *Klippans Finpappersbruk AB                    5,800           15,575
  Klovern AB                                   53,276          111,037
  Kungsleden AB                                17,600          485,242
  Lagercrantz Group AB Series B                23,800           69,609
 *LB Icon AB                                   14,530           73,022
  Lindex AB                                    16,100          418,061
  Ljungberg Gruppen AB Series B                 3,800           52,867
*#Lundin Petroleum AB                         322,400        1,722,075
 *Mandator AB                                  20,520            2,414
  Meda AB Series A                              9,725          271,757
 *Medivir Series B                             10,650          150,440
 *Micronic Laser Systems AB                    42,600          313,558
 *Modern Times Group AB Series B               48,700          943,880
  Naerkes Elektriska AB Series B                4,250           50,184
 #NCC AB Series B                             118,100        1,109,153
  Nefab AB Series B                             5,100          107,591
 *Net Insight AB Series B                     199,000           50,571
  New Wave Group AB Series B                   10,400          275,812
 #Nibe Industrier AB                           22,800          426,211
  Nolato AB Series B                           42,840          309,095
  Observer AB                                 137,856          519,075
  OEM International AB Series B                 7,100           90,471
 *OMHEX AB                                     78,100          942,462
  Orc Software AB                              16,500          148,711
 *Ortivus AB                                   11,507           43,680
 *Partnertech AB                                9,800           68,028
  PEAB AB Series B                            105,200          663,596
 *Pergo AB                                     43,300           97,324
  Poolia AB Series B                           18,150           69,805
 *Prevas AB Series B                           16,000           32,611
*#Pricer AB Series B                          431,500           75,804
 *Proact It Group AB                           15,000           46,124
 *Proffice AB                                  72,800          183,065
  Profilgruppen AB                              4,000           31,710
  Protect Data AB                               6,500           47,339
 *PyroSequencing AB                            51,940           65,892
  Q-Med AB                                     34,000          825,983
 *Readsoft AB Series B                         17,800           26,207
  Rottneros Bruk AB                           366,600          486,261
  Salus Ansvar AB Series B                     12,900           33,015
  Sardus AB                                    11,200          170,792
 *Scribona AB Series A                         40,100           74,526
 *Scribona AB Series B                         46,300           92,622
 *Semcon AB                                    18,300           69,405
 *Sigma AB Series B                            25,800           16,631
  Skistar AB                                   21,000          260,152
 *Song Networks Holding AB                     43,845          310,836
  SSAB Swedish Steel Series A                  60,300        1,021,751
  SSAB Swedish Steel Series B                  17,100  $       279,274
  Sweco AB Series B                            23,450          313,228
*#Switchcore AB                               154,820           74,796
 *Teleca AB Series B                           69,200          374,088
*#Telelogic AB                                196,200          341,675
 *Ticket Travel Group AB                       15,152           25,109
  Trelleborg AB Series B                       75,400        1,307,032
  TV 4 AB Series A                             22,200          368,279
 *VBG AB Series B                                 271            3,809
 #Wallenstam Byggnads AB Series B              16,700          465,021
 *Wedins Norden AB Series B                   280,000           65,442
 *Westergyllen AB Series B                      4,300           41,764
  Whilborg Fastigheter AB Class B              69,960          924,995
  Wilh. Sonesson AB Series A                    4,160           12,702
  Wilh. Sonesson AB Series B                    4,160           13,466
  WM-Data AB Series B                         437,600          988,674
  Xponcard Group AB                             2,800           48,164
                                                       ---------------
TOTAL COMMON STOCKS                                                   
TOTAL -- SWEDEN                                                       
    (Cost $31,380,694)                                      43,554,469
                                                       ---------------
NETHERLANDS -- (5.5%)                                                 
COMMON STOCKS -- (5.5%)                                               
  Aalberts Industries NV                       25,910          776,812
  Accell Group NV                               5,260          182,542
 *AFC Ajax NV                                  10,787          110,492
 *Air France                                   27,280          466,322
  Airspray NV                                   3,800           92,976
  AM NV                                        75,747          710,565
  Arcadis NV                                   14,000          191,825
 *ASM International NV                         40,484          841,692
 *Atag Group NV                                 4,630            1,634
  Athlon Groep NV                              34,250          710,066
  Batenburg Beheer NV                           3,000          116,466
 *Begemann Groep NV                            11,909           45,271
 *Begemann Groep NV Series B                   13,451            9,325
  Beter Bed Holding NV                          4,900           65,509
  Boskalis Westminster NV                      51,300        1,328,963
  Brunel International NV                      12,000          105,605
  Buhrmann NV                                 110,719        1,103,954
  Copaco NV                                     7,000           30,280
 *Crucell NV                                   26,050          216,523
 #Draka Holding NV                             14,287          271,114
 *Econosto NV                                  17,305           32,165
  Eriks Group NV                                9,483          401,218
  Exact Holding NV                             19,764          513,799
 #Fornix Biosciences NV                         2,611           40,080
 *Fox Kids Europe NV                           66,840          835,319
  Gamma Holding NV                             15,705          648,783
  Gemeenschappeljk Bezit Crown                                        
    van Gelder NV                              12,000          209,520
*#Getronics NV                                331,423          915,061
  Grolsche NV                                  32,100          957,390
  Grontmij NV                                   2,053           79,370
*#Hagemeyer NV                                339,750          724,532
  Heijmans NV                                  18,173          428,283
  ICT Automatisering NV                         5,800           74,598
 #Imtech NV                                    28,645          785,645
 *Ispat International NV                       84,322        1,259,522
  Kas Bank NV                                  42,888          794,213
 *Kendrion NV                                  21,454           56,596
  Koninklijke Bam NV                           25,037          730,320

 133

N-CSR
138th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 138th
                                                                [Download Table]

                                                SHARES           VALUE+
                                       ---------------  ---------------
                                                                       
  Koninklijke Frans Maas Groep NV               12,349  $       501,252
  Koninklijke Nedlloyd NV                       33,528        1,148,280
  Koninklijke Ten Cate NV                       11,531          631,635
  Koninklijke Vendex KBB NV                     76,204        1,425,728
  Koninklijke Vopak NV                          50,371          831,258
 *Laurus NV                                    464,928          617,541
  MacIntosh NV                                  15,590          455,782
 *Maverix Capital NV                             1,500           69,349
  Nederlandsche Apparatenfabriek                14,000          384,980
  New Skies Satellites NV                       94,650          740,163
  NH Hoteles                                    21,703          232,632
  Nutreco Holding NV                            27,519          909,191
  NV Holdingsmij de Telegraaf                   42,524          950,386
  Oce NV                                        60,200          976,758
  Opg Groep NV Series A                         10,100          541,335
*#Petroplus International NV                    22,363          213,629
  Pinkroccade NV                                16,914          200,308
  Randstad Holdings NV                          42,700        1,175,088
  Reesink NV                                     2,050          137,108
  Roto Smeets de Boer NV                         2,640          110,645
  Rubber Cultuur Maatschappij                                          
    Amsterdam NV                                40,800          146,197
 *Samas-Groep NV, Zaandam                       24,184          168,375
 *Semiconductor Industries NV                   21,900          120,270
  Sligro Food Group Beheer                      15,046          479,718
  Smit Internationale NV                        20,578          682,838
 *SNT Groep NV                                   9,400          147,853
  Stern Groep NV                                 1,236           44,123
  Stork NV                                      26,745          625,755
 *Textielgroep Twenthe NV                        1,000            3,042
 *Tulip Computers NV                            53,860           15,768
  Twentsche Kabel Holding NV                    18,244          540,226
  United Services Group NV                      18,374          300,384
  Univar NV                                      7,050          122,951
*#Van Der Mollen Holding NV                     57,660          423,450
  Vedior NV                                     74,880        1,095,304
 *Versatel Telecom International NV            376,079          736,070
 *Wegener Arcade NV                             70,830          680,217
                                                        ---------------
TOTAL COMMON STOCKS                                                    
    (Cost $21,760,378)                                       35,449,939
                                                        ---------------
RIGHTS/WARRANTS -- (0.0%)                                              
 *Air France Warrants 11/06/07                                         
    (Cost $19,048)                              24,800           30,776
                                                        ---------------
TOTAL -- NETHERLANDS                                                   
    (Cost $21,779,426)                                       35,480,715
                                                        ---------------
GREECE -- (5.1%)                                                       
COMMON STOCKS -- (5.1%)                                                
 *A. Cambas Holding &                                                  
    Real Estate S.A.                            36,750          106,072
 *Aegek S.A.                                    99,835          102,630
 *Agrotiki Insurance S.A.                       34,455           97,804
  Aktor Technical Co. S.A.                     163,650          750,677
  Alco Hellas ABEE S.A.                         38,730           61,579
 *Alfa Alfa Energy S.A.                          3,810           18,646
  Alfa-Beta Vassilopoulos S.A.                  15,172          282,995
 *Alisida S.A.                                   2,160            6,253
 *Allatini Industrial & Commercial Co.          15,370           23,055
 *Alte Technological Co. S.A.                   85,048           44,823
 *Altec Information & Communication                                    
    Systems S.A.                                80,278           45,224
  Alumil Milonas S.A.                           27,516           86,314
 *Aluminum of Attica S.A.                      104,982           57,997
  Anek Lines S.A.                               60,821  $        86,066
  Arcadia Metal Industry                                               
    C. Rokas S.A.                               22,389          124,761
  AS Co. S.A.                                   25,370           40,290
 *Aspis Bank                                    45,604          142,397
 *Aspis Pronia General                                                 
    Insurance S.A.                              48,640           45,193
 *Astir Palace Vouliagmenis S.A.                58,560          356,867
  Athens Medical Center S.A.                   104,974          160,431
  Athens Water Supply &                                                
    Sewage Co. S.A.                             53,245          341,794
  Atlantic Super Market S.A.                    13,640           22,466
  Attica Enterprises S.A. Holdings             138,964          481,649
  Attica Publications S.A.                      16,674           94,532
 *Atti-Kat S.A.                                 88,984           58,812
  Autohellas S.A.                               44,980          154,514
  Babis Vovos S.A.                              50,982          997,099
 *Balafas Construction Holdings S.A.            15,200            8,928
  Bank of Attica S.A.                          115,721          545,540
  Bank of Greece                                 7,296          774,707
  Bank of Piraeus S.A.                         163,829        1,917,395
  Benrubi S.A.                                  11,121          180,070
  Betanet S.A.                                  11,220           55,002
 *Bitros Holdings S.A.                          19,302           64,549
 *Byte Computers S.A.                           17,230           45,181
  Chipita S.A.                                  46,325          126,160
  Commercial Bank of Greece                      1,960           51,180
 *Compucon Computer                                                    
    Applications S.A.                           11,260            9,226
  Computer Peripherals                                                 
    International S.A.                           9,110           13,919
  Cyclon Hellas S.A.                            18,131           20,869
 *Daios Plastics S.A.                           16,350          105,238
 *Delta Holdings S.A.                           33,747          236,421
 *Dionic S.A.                                   12,948           11,237
 *Domiki Krittis S.A.                           17,730           36,950
  Edrasi Psalllidas Technical Co. S.A.          31,108           31,867
  Egnatia Bank S.A.                            117,107          348,541
  El. D. Mouzakis S.A.                          31,653           41,336
  Elais Oleaginous Production S.A.              16,707          336,066
 *Elbisco Holding S.A.                          56,000          248,273
  Elektrak S.A.                                 14,040           35,725
  Elektroniki of Athens S.A.                    21,560           64,800
  Elgeka S.A.                                   18,590           96,064
  Elmec Sport S.A.                              64,256          193,992
 *Elton S.A.                                    18,640           94,952
  Ethniki General Insurance Co. S.A.           118,768          430,941
 *Etma Rayon S.A.                               11,242            9,746
 *Euro Reliance General Insurance               14,830           29,411
  Eurodrip S.A.                                 11,620           75,279
  Euromedica S.A.                               33,300           77,995
 *Europaiki Techniki                            32,750            9,221
  Everest S.A.                                  30,730           81,650
  Evrofarma S.A.                                 9,500           17,177
  F.G. Europe SA Common                                                
    Registered Shares                            4,536           21,344
 *Fanco S.A.                                    10,110            8,668
 *Forthnet S.A.                                 17,510          117,017
  Fourlis S.A.                                  64,420          377,839
  Frigoglass S.A.                               49,990          213,701
  G.Polyhronos S.A.                             10,580           18,989
  Galaxidi Fish S.A.                            12,940            9,973

 134

N-CSR
139th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 139th
                                                                [Download Table]

                                                 SHARES           VALUE+
                                        ---------------  ---------------
                                                                        
  General Construction Co. S.A.                  34,649  $       220,679
  General Commercial & Industry                  24,060           22,058
 *General Hellenic Bank                          35,139          291,496
  Germanos S.A.                                  61,810        1,788,195
  Gnomon Construction S.A.                       39,937           10,735
  Goody's S.A.                                   17,740          291,858
  Halkor S.A.                                   121,226          272,297
  Hatziioannou S.A.                              44,200          125,339
  Hellas Can Packaging                                                  
    Manufacturers S.A.                           27,902          277,438
 *Hellenic Cables S.A.                           26,908           33,842
  Hellenic Duty Free Shops S.A.                  80,020        1,527,335
  Hellenic Fabrics S.A.                          17,110           39,442
  Hellenic Sugar Industry S.A.                   35,750          155,571
  Hellenic Technodomiki S.A.                    136,556          583,279
  Heracles General Cement Co.                    93,293          819,549
  Hermes Real Estate S.A.                        23,136           76,381
 *Hippotour S.A.                                 12,155           16,469
  Hyatt Regency S.A.                            130,260        1,341,300
 *Iaso S.A.                                      49,300          259,682
 *Iktinos Hellas S.A.                             6,500           18,825
  Inform P. Lykos S.A.                           20,610           66,394
 *Informatics S.A.                               18,890            9,003
 *Intersat S.A.                                  19,392            8,258
  Intertech S.A.                                 12,236           38,726
  Intracom Constructions S.A.                    30,520           35,401
  Intracom S.A.                                 172,366          753,513
 *Ionian Hotel Enterprises                       16,754          191,478
 *J Boutaris & Son Holding S.A.                  28,150           34,812
  J&P-Avax S.A.                                 100,626          466,295
  Kalpinis Simos Steel Service Center            12,432           42,503
 *Karelia Tobacco Co., Inc. S.A.                  2,160          157,703
  Kathimerini S.A.                               21,240          125,906
  Katselis Sons S.A.                             18,000           43,929
  Kego S.A.                                      21,670           32,332
 *Kekrops S.A.                                    2,244           40,349
 *Keramia-Allatini S.A. Industrielle                                    
    Commerciale & Technique                      10,368            7,589
 *Klonatex Group S.A. Bearer Shares              20,351           34,340
  Kordellou Brothers S.A.                        12,300           15,359
  Kotsovolos S.A.                                 2,872           18,054
 *Lambrakis Press S.A.                          107,586          382,719
 *Lampsa Hotel Co.                               19,051          136,078
 *Lan-Net S.A.                                   19,045           33,830
 *Lavipharm S.A.                                 39,294           62,840
 *Lazarides Vineyards S.A.                       18,326           35,101
  Light Metals Industry                          37,502           95,694
 *Logic Dis S.A.                                 77,230           42,542
 *Loulis Mills S.A.                              15,382           41,325
 *Mailis (M.J.) S.A.                            101,594          353,629
 *Maritime Company of Lesvos S.A.                30,753           17,685
 *Maxim Knitwear Factory C.M                     16,360           10,016
 *Medicon Hellas S.A.                             2,600           18,103
  Mesochoritis Bros. Construction Co.            23,700           11,886
  Metka S.A.                                     59,820          311,338
  Michaniki S.A.                                 98,065          207,360
  Minerva Knitwear                                5,140           17,812
  Minoan Lines S.A.                              77,309          199,667
 *MLS Multimedia S.A.                             8,300           13,585
  Mochlos S.A.                                  101,679           49,660
  Motor Oil (Hellas) Corinth                                            
    Refineries S.A.                             152,870        1,402,159
  Mytilineos Holdings S.A.                       47,000          250,178
 *N. Levederis S.A.                               8,355  $         5,734
  N.B.G. Real Estate Development Co.            134,960          487,557
 *Naoussa Spinning Mills S.A.                    21,832           37,421
  Naytemporiki S.A.                              26,080           50,453
 *Neorion-Syro's Shipyards S.A.                  27,210           64,134
  Nexans Hellas S.A.                              3,003            9,611
  Nikas S.A.                                     25,287          150,034
  Notos Com.Holdings S.A.                        94,554          390,340
 *O. Daring Sain                                  7,760            1,990
  Pantechniki S.A.                               50,460           84,486
 *Pegasus Publishing & Printing S.A.             58,590          117,701
 *Persefs S.A. Health Care                       23,592           32,828
  Petros Petropoulos S.A.                         7,360           47,331
 *Petzetakis S.A.                                22,560           50,793
 *Pilias S.A.                                   103,584           26,576
 *Pipeworks L. Girakian Profil S.A.              11,730           15,097
  Piraeus Leasing                                 5,765           48,102
 *Prodeftiki Technical Co.                       32,257           16,996
 *Promota Hellas S.A.                            26,580           21,494
  Rilken S.A.                                     1,982           19,404
 *Sanyo Hellas S.A.                              59,251           73,073
  Sarantis S.A.                                  43,940          225,488
 *Sato S.A.                                      28,850           25,740
  Selected Textile Industry Assoc. S.A.          44,649           29,457
  Sfakianakis S.A.                               13,390           51,860
 *Sheet Steel S.A.                               25,850           11,376
 *Shelman Hellenic-Swiss Wood S.A.               38,042           43,705
  Silver and Baryte Ores                                                
    Mining Co. S.A.                              34,961          218,546
 *Singular S.A.                                  54,600          136,131
  Spyroy Agricultural House S.A.                 22,258           24,262
 *Stabilton S.A.                                 27,530            2,680
  Strintzis Shipping Lines S.A.                 131,240          158,855
  Technical Olympic S.A.                        180,370          758,496
 *Technodomi M.Travlos Br. Com. &                                       
    Constr. Co. S.A.                             13,910            3,568
  Teletypos S.A. Mega Channel                    36,227          168,365
  Terna Tourist Technical &                                             
    Maritime S.A.                                63,180          463,617
  Themeliodomi S.A.                              37,422           62,213
  Thrace Plastics Co. S.A.                       45,500           64,510
  Uncle Stathis S.A.                             10,999           76,974
 *Unisystems S.A.                                41,820           82,222
  Vardas S.A.                                    13,780           41,589
 *Varvaressos S.A. European                                             
    Spinning Mills                                7,200            9,748
  Veterin S.A.                                   18,984           39,574
  Viohalco S.A.                                 296,585        2,137,195
  Vioter S.A.                                    61,470           80,453
 *Vis Container Manufacturing Co.                 4,259           15,403
  Zampa S.A.                                        830           10,195
                                                         ---------------
TOTAL COMMON STOCKS                                                     
    (Cost $33,864,979)                                        32,664,376
                                                         ---------------
RIGHTS/WARRANTS -- (0.0%)                                               
  F.G. Europe SA Rights 07/29/04                                        
    (Cost $0)                                     4,536               55
                                                         ---------------
PREFERRED STOCKS -- (0.0%)                                              
 *Egnatia Bank S.A.                                                     
    (Cost $8,591)                                 3,196            8,270
                                                         ---------------
TOTAL -- GREECE                                                         
    (Cost $33,873,570)                                        32,672,701
                                                         ---------------

 135

N-CSR
140th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 140th
                                                                [Download Table]

                                              SHARES           VALUE+
                                     ---------------  ---------------
                                                                     
FINLAND -- (5.0%)                                                    
COMMON STOCKS -- (5.0%)                                              
  Alandsbanken AB Series B                     4,890  $       104,986
 *Aldata Solutions Oyj                        64,735          130,317
  Alma Media Oyj                              34,388          293,159
 *Amanda Capital Oyj                         180,700           37,438
  Amer-Yhtymae Oyj Series A                   25,370        1,323,041
  Aspo P.L.C.                                  8,200          128,032
 #Aspocomp Group P.L.C.                       12,738          198,630
  Basware Oyj                                  7,050           69,593
 *Benefon Oy                                   1,900              487
 *Biotie Therapies Oyj                        39,754           55,711
  Capman Oyj Series B                         12,485           24,169
  Chips Corp. Series B                        17,750          395,817
 #Comptel Oyj                                149,541          359,733
  Efore Oy                                    12,920          108,604
  Elcoteq Network Corp.                       21,260          414,906
  Elektrobit Group Oyj                       663,597          388,707
 *Elisa Communications Corp.                  74,525          998,860
 *Eq Online Oyj                               23,900           61,199
 *Evox Rifa Group Oyj                         51,210            7,557
  Finnair Oyj                                118,150          806,787
  Finnlines Oyj                               30,280          876,331
  Fiskars Oy AB Series A                      41,270          511,060
*#F-Secure Oyj                               140,928          255,921
  HK Ruokatalo Oy Series A                    19,620          154,972
  Honkarakenne Oy Series B                     3,030           25,536
  Huhtamaki Van Leer Oyj                     125,650        1,614,560
  Ilkka-Yhtyma Oyj                             7,560           61,492
 *Incap Oyj                                   11,000           29,403
  J.W. Suominen Yhtyma Oy                     17,955          110,757
  Jaakko Poyry Group Oyj                      14,610          368,368
  KCI Konecranes International Oyj            13,800          513,281
  Kemira Oyj                                 118,400        1,593,938
  Kesko Oyj                                   32,060          635,999
  Laennen Tehtaat Oy                           5,870           97,572
  Lassila & Tikanoja Oyj                      16,990          548,362
 #Lemminkainen Oy                             16,600          308,111
  Leo Longlife Oy                              2,920           26,500
  Martela Oy                                     530            7,565
  Metsaemarkka Oyj Series B                      700            5,850
 #New Kyro Corp. Oyj                          45,670          419,899
  Nokian Renkaat Oyj                          12,180        1,188,200
  Nordic Aluminium Oy                          1,900           20,860
 *Okmetic Oyj                                 16,204           50,494
  Okobank Class A                            101,080        1,085,845
  Olvi Oyj Series A                            3,320           51,000
  Orion-Yhtyma Oyj Series A                   20,590          532,726
  Orion-Yhtyma Oyj Series B                   30,460          782,517
  Outokumpu Oyj Series A                      21,100          337,978
 #Oy Stockmann AB Series B                    30,200          717,290
  Perlos P.L.C. Warrants 04/04/04             72,311          754,726
  PK Cables Oyj                                5,530          178,520
 *Pmj Automec Oyj                             23,910           16,670
  Pohjola Group P.L.C. Series D              146,205        1,505,285
  Ponsse Oyj                                   6,300          163,237
 *Proha Oyj                                   51,232           36,784
  Raisio Group P.L.C. Series V               118,423          265,471
  Rakentajain Koneuvokrammo Oy                10,260           76,919
  Ramirent Oyj                                12,270          254,460
  Rapala VMC Oyj                              36,040          272,292
  Rautaruukki Oyj Series K                   188,780        1,525,031
 Raute Oy Series A                             2,390  $        23,597
  Rocla Oy                                     1,300           11,458
*#Saunalahti Group Oyj                       124,754          179,503
  Scanfil Oyj                                 63,879          393,234
  Sponda Oyj                                 109,111          928,859
  Stockmann Oyj AB                            35,240          823,590
 *Stonesoft Corp.                             49,279           46,331
  Sysopen P.L.C.                               7,720           34,383
  Talentum Oyj                                18,300          133,689
 *Tecnomen Holding Oyj                        49,370           81,404
  Teleste Corp. Oyi                           14,699          114,821
  Tulikivi Oyj                                 5,710           48,674
  Turkistuottajat Oy                           2,590           25,025
  Uponor Oyj Series A                         44,400        1,461,614
  Vacon Oyj                                   14,537          195,490
  Vaisala Oy Series A                         19,050          452,544
  Viking Line AB                              10,360          265,378
  Wartsila Corp. Oyj Series B                 66,460        1,489,070
  Yit-Yhtymae Oyj                             67,708        1,380,053
  Yomi Oyj                                    15,450          115,945
                                                      ---------------
TOTAL -- FINLAND                                                     
    (Cost $21,901,896)                                     32,094,178
                                                      ---------------
SPAIN -- (4.9%)                                                      
COMMON STOCKS -- (4.9%)                                              
 #Abengoa SA                                  66,042          580,397
  Adolfo Dominguez SA                          3,700           76,505
  Aldeasa SA                                  15,329          457,173
*#Amper SA                                    56,800          274,238
 *Avanzit SA                                  17,275           49,391
*#Azkoyen SA                                  52,500          367,424
  Banco de Andalucia                           9,800          817,748
  Banco de Credito Balear SA                  35,424          832,520
 #Banco de Valencia SA                       188,053        3,907,815
 *Banco de Valencia SA                         3,761           78,155
  Banco Guipuzcoano SA                        21,194          559,959
 #Banco Pastor SA                             34,300        1,037,976
*#Baron de Ley SA                              5,642          227,157
  CAF (Construcciones y Auxiliar de                                  
    Ferrocarriles SA)                          7,500          534,883
  Campofrio Alimentacion SA                   92,800        1,330,052
  Cementos Portland SA                        16,881          996,570
  Compania de Distribucion Integral                                  
    Logista SA                                29,600          955,457
  Cortefiel SA                                57,093          614,741
 *Dogi International Fabrics SA                4,000           23,190
 *Duro Felguera SA                            10,860           73,868
  Elecnor SA                                  18,300          780,106
 *Ercros SA                                  100,518           40,315
 *Espanola del Zinc SA                        29,250           65,207
 *Estacionamientos Urbanos SA                  4,200                0
 #Europistas Concesionaria                                           
    Espanola SA                              174,940        1,012,704
 #Faes Farma SA                               32,498          491,338
 *Faes Farma SA Issue 04                       3,609           54,565
  Funespana SA                                 4,500           37,282
 #Grupo Empresarial Ence SA                   18,593          511,987
*#Grupo Picking Pack SA                      145,775           78,154
  Hullas del Coto Cortes                       8,666          108,176
  Iberpapel Gestion SA                         6,700          123,916
  Inbesos SA                                   8,050           42,007
  Indo Internacional SA                       33,600          305,358

 136

N-CSR
141st “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 141st
                                                                [Download Table]

                                               SHARES           VALUE+
                                      ---------------  ---------------
                                                                      
  Indra Sistemas SA                            75,200  $       960,254
  Inmobiliaria Colonial SA ICSA                35,200          898,455
  Inmobiliaria del Sur SA                         331           54,753
  Inmobiliaria del Sur SA Issue 2003               47            6,255
  Inmobiliaria Urbis SA                        80,282          886,427
  Lingotes Especiales SA                       22,080          133,185
 *LSB (La Seda de Barcelona SA)                                       
    Series B                                   25,200           61,641
 *Mecalux SA                                    9,500           64,217
 #Metrovacesa SA                               14,895          570,131
  Miquel y Costas y Miquel SA                   4,891          243,562
  Natra SA                                     14,979           70,470
 *Nicolas Correa SA                            15,750           56,200
  Obrascon Huarte Lain SA                      65,366          509,368
  Pescanova SA                                 26,443          540,800
  Prosegur Cia de Seguridad SA                 45,049          693,015
 #Recoletos Grupo de                                                  
    Comunicacion SA                            95,420          672,774
 *Sogecable SA                                 34,600        1,400,795
 #Sol Melia SA                                112,700        1,015,606
 #SOS Cuetara SA                               20,902          616,104
  Tavex Algodonera SA                          31,944          128,305
 *Tecnocom Telecomunicaciones y                                       
    Energia SA                                  6,300           50,352
*#Tele Pizza SA                               163,225          321,993
 #Transportes Azkar, SA                        35,477          254,487
  Tubacex SA                                   73,130          145,960
  Tubos Reunidos SA                            12,466           95,393
  Unipapel SA                                  41,935          792,137
  Uralita SA                                  338,493        1,286,403
  Vidrala SA, Alava                            47,040          660,889
  Viscofan Industria Navarra de                                       
    Envolturas Celulosicas SA                  97,492          922,665
                                                       ---------------
TOTAL COMMON STOCKS                                                   
    (Cost $16,570,613)                                      31,558,928
                                                       ---------------
TOTAL -- SPAIN                                                        
    (Cost $16,570.613)                                      31,558,928
                                                       ---------------
DENMARK --(4.4%)                                                      
COMMON STOCKS -- (4.4%)                                               
  Aarhus Oliefabrik A.S. Aeries A               4,950          276,809
 *Alm. Brand A.S                               28,360          721,927
 #Amagerbanken A.S                              2,734          276,923
  Ambu International A.S. Series B              1,500           24,103
  Amtssparekassen Fyn A.S                       2,243          270,286
 #AS Dampskibsselsk Torm                       49,460        1,227,555
  Bang & Olufsen Holding A.S                                          
    Series B                                   13,387          738,730
 *Bavarian Nordic A.S                           4,930          376,190
 *Brodrene Hartmann A.S. Series B               5,865          100,619
  Bryggerigruppen A.S                           8,515          552,463
  Christian Hansen Holding A.S                                        
    Series B                                   10,855          704,968
 #Codan A.S                                    43,400        1,864,814
  Dalhoff, Larsen & Hornemann A.S                                     
    Series B                                    1,370           70,896
  Danware A.S                                   4,185           70,143
  DFDS A.S., Copenhagen                        11,760          450,795
  DiskontoBanken A.S                              713          127,246
  DSV, De Sammensluttede                                              
    Vognmaend A.S                              22,630        1,085,556
  East Asiatic Co., Ltd.                       22,723        1,056,471
  Edb Gruppen A.S                               3,230  $        85,399
 *Fimiston Resources &                                                
    Technology Ltd.                               400            3,678
 *FLS Industries                               73,180        1,032,202
  Fluegger A.S. Series B                        2,913          186,942
  Foras Holding A.S. Series A                  13,292          143,883
 #Forstaedernes Bank                            4,322          246,725
 *Genmab A.S                                   28,629          428,516
 *Glunz & Jensen A.S                            1,470            9,312
  GN Great Nordic A.S                         210,980        1,872,410
  H&H International A.S. Series B               1,140          295,151
*#Harboes Bryggeri A.S                            575          139,635
  Hedegaard (Peder P.) A.S                        660           45,849
  Hojgaard Holding A.S. Series B                2,500           68,589
 *IC Co. A.S                                    3,510           24,452
 *Incentive A.S                                 3,575           10,826
 *Jyske Bank A.S                               37,760        2,164,679
  Kjobenhavns Sommer Tivoli A.S                   580          188,463
  Koebenhavns Lufthavne                         9,910        1,446,764
  Kompan A.S                                      230           34,743
  Lan & Spar Bank A.S                           2,250          102,935
  Lollands Bank                                   150           24,597
*#Neurosearch A.S                               9,160          337,241
  NKT Holding A.S                              30,245          616,591
  Nordjyske Bank A.S                              920          151,247
 *NTR Holdings A.S                              1,130            8,778
  Oestjydsk Bank                                  400           45,214
  Ove Arkil Series B                              270           28,341
  Per Aarsleff A.S. Series B                    1,545           61,680
 *Pharmexa A.S                                 12,940           39,343
  Ringkjobing Bank                              1,670          103,484
  Ringkjobing Landbobank                        1,620          480,624
  Rockwool, Ltd.                               24,520        1,087,982
*#RTX Telecom A.S                               8,400           78,615
  Salling Bank                                    250           21,981
  Sanistal A.S. Series B                        1,786          114,734
*#SAS Danmark A.S                              34,300          268,112
  Satair A.S                                    1,350           25,940
  Schouw & Co. A.S                             15,485          346,218
  Simcorp A.S                                   5,240          232,619
  Sjaelso Gruppen A.S                           2,388          190,285
  Skjern Bank A.S                                 725           51,182
 *Sondagsavisen A.S                            21,165           83,357
  Spar Nord Holding                             6,823          600,275
  Sparbank Vest A.S                             6,600          228,858
  Sparekassen Faaborg A.S                         481          112,618
  Sydbank A.S                                   8,172        1,199,052
  Thrane & Thrane A.S                           5,258          203,195
*#TK Development                               12,478           35,288
 *Topdanmark A.S                               28,300        1,676,377
 *Treka A.S                                     8,498          105,476
*#Vestas Wind Systems A.S                      36,500          539,269
*#Vestas Wind Systems A.S. Issue 04                 2               30
  Vestfyns Bank                                   200           20,025
  Vestjysk Bank A.S                            10,800          282,954
  VT Holdings Shares B                          3,130          157,205
 *Wessel & Vett Magasin du Nord A.S                                   
    Series C                                    2,102           34,400
                                                       ---------------
TOTAL COMMON STOCKS                                                   
    (Cost $17,484,484)                                      28,120,831
                                                       ---------------

 137

N-CSR
142nd “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 142nd
                                                                [Download Table]

                                               SHARES           VALUE+
                                      ---------------  ---------------
                                                                      
INVESTMENT IN CURRENCY -- (0.0%)                                      
 *Danish Krone                                                        
    (Cost $818)                                        $           824
                                                       ---------------
TOTAL -- DENMARK                                                      
    (Cost $17,485,302)                                      28,121,655
                                                       ---------------
NORWAY -- (4.0%)                                                      
COMMON STOCKS -- (4.0%)                                               
  Aker Kvaerner ASA                            45,609          842,235
 *Aker Yards AS                                28,121          389,471
  Aktiv Kapital ASA                            57,017          732,866
  Arendals Fosse Kompani ASA                      100            8,350
 *Blom ASA                                     18,367           12,881
  Bonheur ASA                                  16,850          451,177
 *Choice Hotel Scandinavia ASA                 27,740           74,838
 *Corrocean ASA                                19,321            7,206
 #Det Norske Oljeselskap ASA                                          
    Series A                                   85,320          341,923
*#DOF ASA                                      97,006          243,981
 *EDB Elektronisk Data                                                
    Behandling ASA                            149,417          994,764
  Ekornes ASA                                  56,490        1,109,385
*#Eltek ASA                                    40,842          376,670
  Expert ASA                                   48,758          309,643
  Farstad Shipping ASA                         60,790          584,063
 *Fjord Seafood ASA                           783,483          395,510
*#Fred Olsen Energy ASA                        91,600          729,712
  Ganger Rolf ASA                               6,690          166,968
  Gresvig ASA                                   4,590           22,561
  Hafslund ASA                                 58,700          289,476
 *Home Invest ASA                              15,077           10,876
 *Industrifinans Naeringseiendom ASA            7,582           16,425
 #Kongsberg Gruppen ASA                        49,500          584,154
  Kverneland ASA                               16,160          233,366
 *Merkantildata ASA                           320,521          242,701
  Natural ASA                                  10,143           54,158
 #Nera ASA                                    187,753          467,763
 *Nordic Semiconductor ASA                     25,000          123,200
 *Northern Offshore, Ltd.                     214,000           99,131
*#Ocean Rig ASA                               105,531          286,026
  Odfjell ASA Series A                         24,910          856,323
  Olav Thon Eiendomsselskap ASA                 8,320          372,867
 *P4 Radio Hele Norge ASA                      32,200           48,491
*#Photocure ASA                                26,690          209,021
  Prosafe ASA                                  55,980        1,270,681
  Rieber and Son ASA Series A                  63,654          515,191
  Schibsted ASA                               112,960        2,028,520
 *Sinvest ASA                                   6,220           11,957
  Smedvig ASA Series A                         83,580          924,415
 *Software Innovation ASA                      13,423           60,007
  Solstad Offshore ASA                         54,100          452,495
  Steen and Stroem ASA                         19,512          339,152
 #Storebrand ASA                              183,330        1,257,129
  Tandberg ASA Series A                       217,280        2,308,195
*#Tandberg Data ASA                            58,950          131,169
 *Tandberg Storage ASA                         48,450           17,970
 *Tandberg Television ASA                      90,430          656,402
 *Telecomputing ASA                            44,963           61,490
*#Tgs-Nopec Geophysical Co. ASA                40,910          663,110
  Tomra Systems ASA                           294,480        1,402,384
 *Tybring-Gjed ASA                            145,146           59,320
 *Unit 4 Agresso NV                             4,620           45,990
  Veidekke ASA                                 21,846  $       209,972
 #Visma ASA                                    47,393          465,870
  Wilhelmshaven (Wilhelm), Ltd. ASA            30,400          858,597
                                                       ---------------
TOTAL COMMON STOCKS                                                   
    (Cost $19,143,084)                                      25,428,200
                                                       ---------------
INVESTMENT IN CURRENCY -- (0.0%)                                      
 *Norwegian Krone                                                     
    (Cost $5,109)                                                5,101
                                                       ---------------
TOTAL -- NORWAY                                                       
    (Cost $19,148,193)                                      25,433,301
                                                       ---------------
BELGIUM -- (3.6%)                                                     
COMMON STOCKS -- (3.6%)                                               
 *Abfin SA                                      2,560                0
  Ackermans & Van Haaren SA                    32,186          843,758
 *Arinso International NV                      14,739          225,925
  Banque Nationale de Belgique                    710        2,306,601
  Barco (New) NV                               12,051        1,088,870
  Bekaert SA                                   23,290        1,344,839
  BMT NV                                        2,040          292,598
  Brantano NV                                   2,060           76,883
  Brederode SA                                 12,180          248,329
  Carrieres Unies Porphyre                         20           29,970
  CFE (Compagnie Francois                                             
    d'Entreprises)                              2,080          526,810
  Cie Martime Belge SA                          8,237          999,777
  Cofinimmo SA                                  9,778        1,324,033
  Commerciale de Brasserie SA                                         
    COBRHA                                        115          119,633
  Deceuninck SA                                63,700        2,058,428
  D'Ieteren SA                                  5,831        1,233,347
  Distrigaz                                        57          117,850
 *Docpharma SA NV                               4,489          196,715
  Duvel Moorgat NV                              5,019          147,726
  EVS Broadcast Equipment SA                    1,100           58,650
 #Exmar NV                                      3,080          182,089
  Floridienne NV                                2,033          117,666
  Glaces de Moustier-sur-Sambre SA             13,370          469,527
 #Immobel (Cie Immobiliere de                                         
    Belgique SA)                                4,600          184,875
 *Integrated Production & Test                                        
    Engineering NV                              4,380           25,476
*#Ion Beam Application SA                      23,058          188,637
 *Ipso-Ilg SA                                   5,990           46,350
  Keytrade Bank SA                              2,800           73,237
  Kinepolis Group NV                            5,020          132,331
  Lotus Bakeries NV                               650           60,585
 #Melexis NV                                   47,001          544,369
  Metiers Automatiques Picanol                 16,120          359,639
 *Neuhaus NV                                      670           25,865
  Nord-Sumatra Investissements SA                 650          164,492
  Omega Pharma SA                              26,708        1,355,875
  Papeteries de Catala SA                         315           42,119
  Quick Restaurants SA                         19,501          330,612
*#Real Software SA                             10,280            6,020
  Recticel SA                                  22,870          186,649
  Resilux NV                                    1,754          133,455
  Rosier SA                                       655           88,639
  Roularta Media Groep                          9,837          539,782
 *Sait Radioholland                             7,313           45,881
  Sapec SA                                      3,635          287,966

 138

N-CSR
143rd “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 143rd
                                                                [Download Table]

                                                SHARES           VALUE+
                                       ---------------  ---------------
                                                                       
 *Sapec SA VVPR                                     75  $           123
  Sioen Industries                              21,502          248,224
 *SIPEF (Societe Internationale de                                     
    Plantations & de Finance),                                         
    Anvers                                       1,545          207,085
*#Solvus SA                                     38,344          632,344
 *Solvus SA Interim Strip VVPR                  18,176              221
  Spector Photo Group SA                         5,408           65,896
 *Systemat SA                                    6,330           39,023
  Telindus Group SA                             39,392          351,561
  Ter Beke NV                                    2,281          155,977
  Tessenderlo Chemie                            28,984        1,033,043
  UNIBRA                                         1,600          134,415
  Union Miniere SA                               9,586          604,971
  Van de Velde NV                                2,683          311,901
  VPK Packaging Group SA                         7,185          223,329
  Warehouses de Pauw Sicafi                      6,608          263,638
                                                        ---------------
TOTAL COMMON STOCKS                                                    
    (Cost $16,115,845)                                       23,104,629
                                                        ---------------
RIGHTS/WARRANTS -- (0.0%)                                              
 *Belge des Betons Contingent Rights             8,500                0
 *SIPEF Rights                                   1,545                0
                                                        ---------------
TOTAL RIGHTS/WARRANTS                                                  
    (Cost $0)                                                         0
                                                        ---------------
TOTAL -- BELGIUM                                                       
    (Cost $16,115,845)                                       23,104,629
                                                        ---------------
IRELAND -- (2.8%)                                                      
COMMON STOCKS -- (2.8%)                                                
  Abbey P.L.C.                                  25,557          260,277
 *Arcon International Resources P.L.C.         143,750            6,145
 *Ardagh P.L.C.                                 14,262           22,037
  DCC P.L.C.                                    91,965        1,681,771
 *Dragon Oil P.L.C.                            104,167           81,399
 *Elan Corp. P.L.C.                            154,046        3,809,044
  Fyffes P.L.C.                                380,502          800,534
  Glanbia P.L.C.                               321,765        1,044,551
  Grafton Group P.L.C.                         253,939        2,026,742
  Greencore Group P.L.C.                       218,422          842,405
  Heiton Holdings P.L.C.                        51,677          415,825
  IAWS Group P.L.C.                            105,879        1,260,882
  IFG Group P.L.C.                              37,599           52,606
  Independent News & Media P.L.C.              635,584        1,516,667
 *Iona Technologies P.L.C.                      21,281           91,851
 *Irish Intercontental Group P.L.C.             18,872          233,453
  IWP International P.L.C.                      39,611           13,494
  Jurys Hotel Group P.L.C.                      69,061          873,672
  Kingspan Group P.L.C.                        183,188        1,092,090
  McInerney Holdings P.L.C.                     33,991          216,236
  Paddy Power P.L.C.                            49,663          572,815
  Readymix P.L.C.                              109,762          210,743
 *Ryan Hotels P.L.C.                            68,061          108,027
  United Drug P.L.C.                           190,860          652,078
 *Waterford Wedgwood P.L.C.                  1,026,650          221,753
                                                        ---------------
TOTAL -- IRELAND                                                       
    (Cost $9,455,117)                                        18,107,097
                                                        ---------------
AUSTRIA -- (2.8%)                                                      
COMMON STOCKS -- (2.8%)                                                
  Andritz AG                                    13,609          667,767
 *Austria Email AG                                 715            2,741
 *Austrian Airlines/Oesterreichische                                   
    Luftverkehrs-Aktiengesellschaft             42,784  $       636,468
  Bank Fuer Kaernten und                                               
    Steiermark AG                                  520           59,527
 *Betandwin.com Interactive                                            
    Entertainment AG                            12,749          344,600
  Bohler Uddeholm AG                            11,195          930,122
  BWT AG                                        21,819          570,864
 *Ca Immobilien Invest AG                       28,791          688,939
 *Constantia-Iso Holding AG                     15,000          158,049
  Constantia-Verpackungen AG                    19,123          437,827
  Flughafen Wien AG                             25,698        1,483,894
 *Immofinanz Immobilien                                                
    Anlagen AG                                 165,130        1,337,111
  Lenzing AG                                     3,948          795,481
 *Manner (Josef) & Co. AG                          870           37,841
  Mayr-Melnhof Karton AG                        11,760        1,518,734
  Oberbank AG                                    5,384          497,938
  Palfinger AG                                  10,383          360,538
 *Readymix Kies-Union AG                           500           55,236
*#RHI AG, Wien                                  19,649          443,397
  Rosenbauer International AG                    1,530           87,703
 *Sparkassen Immobilien                         29,760          283,432
  Ubm Realitaetenentwicklung AG                    360           43,540
  Uniqa Versicherungen AG                      128,555        1,658,643
 *VA Technologie AG                             17,392          980,851
  Voestalpine AG                                30,095        1,483,975
  Wienerberger AG                               63,642        2,220,097
 *Wolford AG                                     4,900          165,233
                                                        ---------------
TOTAL COMMON STOCKS                                                    
    (Cost $12,179,338)                                       17,950,548
                                                        ---------------
RIGHTS/WARRANTS -- (0.0%)                                              
 *Jenbacher AG Rights 03/31/08                   7,860                0
 *Josef Manner & Co. AG Rights                                         
    07/05/04                                       870            1,117
 *Wienerberger AG Rights                                               
    06/02/04                                    63,642                0
                                                        ---------------
TOTAL RIGHTS/WARRANTS                                                  
    (Cost $0)                                                     1,117
                                                        ---------------
TOTAL -- AUSTRIA                                                       
    (Cost $12,179,338)                                       17,951,665
                                                        ---------------
PORTUGAL -- (1.5%)                                                     
COMMON STOCKS -- (1.5%)                                                
 *Corticeira Amorim Sociedad Gestora                                   
    Participacoes Sociais SA                   194,100          282,917
  Efacec Capital SGPS SA                        60,600          157,145
  Ibersol SGPS SA                               14,462           79,130
 *Impresa Sociedade Gestora de                                         
    Participacoes Socias SA                    190,166          921,772
 *Investimentos Participacoes e                                        
    Gestao SA Inapa                             43,702          164,996
 *Jeronimo Martins (Estabelecimentos                                   
    Jeronimo Martins & Filho                                           
    Administracao e Participacoes                                      
    Financeiros SA)                            130,000        1,454,505
 *Jeronimo Martins SGPS SA                      40,757          456,010
  Mota-Engil SGPS SA                           250,900          501,302
 *Novabase SGPS                                 56,005          381,748
  Portucel-Empresa Produtora de                                        
    Pasta de Papel SA                          466,977          840,536

 139

N-CSR
144th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 144th
                                                        [Enlarge/Download Table]

                                                                                       SHARES           VALUE+
                                                                              ---------------  ---------------
                                                                                                              
  Sag Gest - Solucoes Automovel                                                                               
    Globais SGPS SA                                                                   235,500  $       349,811
  Salvador Caetano - Industrias                                                                               
    Metalurgicas e Veiculos de                                                                                
    Transporte SA                                                                      54,900          247,116
 *Sociedad Construcoes Soares da                                                                              
    Costa SA                                                                           19,200           68,985
  Sociedade de Investimento e                                                                                 
    Gestao SGPS SA                                                                    160,396          752,379
  Sonae SGPS SA                                                                     1,079,900        1,185,316
 *Sonaecom SGPS SA                                                                    321,175        1,249,080
  Teixeira Duarte Engenharia e                                                                                
    Construcoes SA                                                                    609,000          888,883
                                                                                               ---------------
TOTAL -- PORTUGAL                                                                                             
    (Cost $6,586,517)                                                                                9,981,629
                                                                                               ---------------
UNITED STATES -- (0.1%)                                                                                       
COMMON STOCKS -- (0.1%)                                                                                       
 *Epicor Software Corp.                                                                 2,172           30,516
 *InFocus Corp.                                                                        10,455           88,867
 *Powerwave Technologies, Inc.                                                         45,408          349,642
                                                                                               ---------------
TOTAL -- UNITED STATES                                                                                        
    (Cost $570,415)                                                                                    469,025
                                                                                               ---------------
EMU -- (0.0%)                                                                                                 
INVESTMENT IN CURRENCY -- (0.0%)                                                                              
 *Euro Currency                                                                                               
    (Cost $59,153)                                                                                      60,679
                                                                                               ---------------
UNITED KINGDOM -- (0.0%)                                                                                      
INVESTMENT IN CURRENCY -- (0.0%)                                                                              
 *British Pound Sterling                                                                                      
    (Cost $7,687)                                                                                        8,817
                                                                                               ---------------


                                                                                    FACE                      
                                                                                   AMOUNT               VALUE+
                                                                               --------------  ---------------
                                                                                   (000)                      
                                                                                                              
TEMPORARY CASH                                                                                                
  INVESTMENTS -- (12.4%)                                                                                      
 Repurchase Agreement, Mizuho Securities USA 1.30%,                                                           
   07/01/04, (Collateralized by $68,093,000 U.S. Treasury Obligations, 4.625%,                                
   08/15/06) to be repurchased at $69,378,521                                                                 
     (Cost $69,376,016)@                                                       $       69,376  $    69,376,016
 Repurchase Agreement, PNC Capital Markets, Inc. 1.28%, 07/01/04                                              
   (Collateralized by $10,134,000 FHLMC Notes 1.85%, 11/17/05, valued at                                      
   $10,159,335) to be repurchased at $10,009,356                                                              
     (Cost $10,900,000)                                                                10,009       10,009,000
                                                                                               ---------------
TOTAL TEMPORARY CASH INVESTMENTS                                                                              
    (Cost $79,385,016)                                                                              79,385,016
                                                                                               ---------------
TOTAL INVESTMENTS - (100.0%)                                                                                  
    (Cost $466,497,467)++                                                                      $   641,258,203
                                                                                               ===============

----------                                                                      
+   See Note B to Financial Statements.                                       
@   Security purchased with cash proceeds from securities on loan.            
*   Non-Income Producing Securities.                                          
#   Total or Partial Securities on Loan.                                      
++   The cost for federal income tax purposes is $466,497,498.                  

 See accompanying Notes to Financial Statements.

 140

N-CSR
145th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 145th
 THE JAPANESE SMALL COMPANY SERIES

 SCHEDULE OF INVESTMENTS

 NOVEMBER 30, 2003

                                                                [Download Table]

                                               SHARES           VALUE+
                                      ---------------  ---------------
                                                                      
JAPAN -- (77.4%)                                                      
COMMON STOCKS -- (77.1%)                                              
 *A&A Material Corp.                           64,000  $        41,490
  ABILIT Corp.                                 22,000          144,430
  ADVANEX, Inc.                                78,000          313,367
 *AOC Holdings, Inc.                           90,300          431,217
  AOI Electronics Co., Ltd.                     8,400          110,446
  Achilles Corp.                              549,000          671,713
  Advan Co., Ltd.                              36,000          308,985
  Aichi Bank, Ltd.                             11,500          579,620
*#Aichi Corp.                                 100,100          350,058
 *Aichi Machine Industry Co., Ltd.            112,000          322,133
  Aichi Tokei Denki Co., Ltd.                  67,000          159,058
  Aida Engineering, Ltd.                       98,000          300,657
  Aigan Co., Ltd.                              15,000           82,451
  Aiphone Co., Ltd.                            27,400          421,558
  Airport Facilities Co., Ltd.                 79,970          287,693
 *Airtech Japan, Ltd.                           6,000           32,871
  Aisan Industry Co., Ltd.                     64,000          533,528
 *Akai Electric Co., Ltd.                     363,000            3,314
*#Akebono Brake Industry Co., Ltd.            141,000          536,861
  Allied Material Corp.                        32,200          396,914
 #Allied Telesis KK                             8,000          146,092
  Aloka Co., Ltd.                              43,000          329,803
  Alpha Systems Inc.                           16,300          342,312
  Alps Logistics Co., Ltd.                     21,000          335,555
  Altech Co., Ltd.                             14,000           56,118
  Amano Corp.                                  22,000          150,657
  Amatsuji Steel Ball Manufacturing                                   
    Co., Ltd.                                  24,000          249,817
  Ando Corp.                                  120,000          166,545
  Anest Iwata Corp.                            74,000          124,324
 #Anrakutei Co., Ltd.                          13,000           82,496
  Aoi Advertising Promotion, Inc.              14,000           89,354
  Aoki International Co., Ltd.                 61,200          388,926
 *Apic Yamada Corp.                             7,000           22,051
 *Arai-Gumi, Ltd.                              34,450           42,150
  Arakawa Chemical Industries, Ltd.            17,500          177,365
 *Araya Industrial Co., Ltd.                   84,000           87,436
  Argo 21 Corp.                                13,200          107,991
  Aronkasei Co., Ltd.                          53,000          153,406
  As One Corp.                                 18,700          315,195
 #Asahi Denka Kogyo KK                        169,000        1,172,754
 #Asahi Diamond Industrial Co., Ltd.           99,000          469,147
  Asahi Kogyosha Co., Ltd.                     48,000          131,921
  Asahi Organic Chemicals Industry                                    
    Co., Ltd.                                 123,000          285,263
  Asahi Pretec Corp.                           19,200          142,001
*#Asahi Soft Drinks Co., Ltd.                  69,000          371,713
 *Asahi Tec Corp.                              86,000          138,988
 *Asahi Techno Glass Corp.                     79,000          244,531
  Asanuma Corp.                                96,000          135,866
 #Ashimori Industry Co., Ltd.                  84,000          147,261
  Asia Air Survey Co., Ltd.                     6,000           12,874
  Asia Securities Printing Co., Ltd.           16,000           74,799
  Asics Corp.                                 333,000          617,230
  Asunaro Construction., Ltd.                  29,000           90,294
  Ataka Constuction & Engineering                                     
    Co., Ltd.                                  18,000  $        60,811
  Atom Corp.                                    8,500          103,301
  Atsugi Co., Ltd.                            258,000          200,237
  Aucnet, Inc.                                 15,000          180,652
 *Azel Corp., Tokyo                            89,000           84,514
*#BSL Corp.                                   118,000           74,343
  Bando Chemical Industries, Ltd.             213,000          624,297
  Bank of Okinawa, Ltd.                        24,300          431,551
  Bank of the Ryukyus, Ltd.                    30,280          373,523
  Best Denki Co., Ltd.                        132,000          476,078
  Bull Dog Sauce Co., Ltd.                     15,000          104,912
  Bunka Shutter Co., Ltd.                     134,000          512,655
 #CAC Corp.                                    31,100          216,098
 #CFS Corp.                                    41,000          269,914
  CKD Corp.                                   113,000          572,635
  CMK Corp.                                    62,000          625,548
  CTI Engineering Co., Ltd.                    19,000           86,742
  Cabin Co., Ltd.                              67,000           86,870
 #Calpis Co., Ltd.                            115,000          547,069
  Canon Electronics, Inc.                      40,000          496,713
  Canon Finetech, Inc.                         45,070          530,865
 *Catena Corp.                                 18,000           39,938
 #Cats, Inc.                                   15,400           38,669
  Cecile Co., Ltd.                             35,900          373,357
  Central Finance Co., Ltd.                   180,000          599,891
 #Central Security Patrols Co., Ltd.           12,000           76,041
  Cesar Co.                                    79,000              721
 *Chiba Kogyo Bank, Ltd.                       53,200          288,053
 #Chino Corp.                                  70,000          225,621
 *Chinon Industries, Inc.                      16,000           40,906
  Chiyoda Co., Ltd.                            58,000          627,027
  Chofu Seisakusho Co., Ltd.                   39,900          568,335
 *Chori Co., Ltd.                             175,000          185,354
  Chuetsu Pulp and Paper Co., Ltd.            145,000          311,130
 *Chugai Mining Co., Ltd.                     117,000           72,644
 #Chugai Ro Co., Ltd.                         139,000          298,256
 #Chugoku Marine Paints, Ltd.                 111,000          502,703
 #Chugokukogyo Co., Ltd.                       45,000           57,524
  Chuo Denki Kogyo co., Ltd.                   19,000           29,319
  Chuo Gyorui Co., Ltd.                        35,000           52,091
  Chuo Spring Co., Ltd., Nagoya                80,000          290,723
*#Clarion Co., Ltd.                           313,000          500,137
  Cleanup Corp.                                71,000          875,183
 *Co-Op Chemical Co., Ltd.                     80,000           57,706
  Coca Cola Central Japan Co., Ltd.               112          663,696
 #Colowide Co., Ltd.                           14,000          110,701
*#Columbia Music Entertainment, Inc.          134,000          138,258
  Commuture Corp.                              45,202          245,573
  Computer Engineering & Consulting,                                  
    Ltd.                                       25,000          239,911
  Comsys Holdings Corp.                         4,350           22,521
  Corona Corp.                                 38,600          532,195
 #Cosel Co., Ltd.                              27,000          590,440
 *Create Medic Co., Ltd.                        7,000           41,545
  Credia Co., Ltd.                             14,000          153,524
  Cresco, Ltd.                                  7,000           74,781
 *D&M Holdings, Inc.                          114,000          482,980

 141

N-CSR
146th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 146th
                                                                [Download Table]

                                                SHARES           VALUE+
                                       ---------------  ---------------
                                                                       
 *D'urban, Inc.                                114,000  $       126,991
  DC Co., Ltd.                                  33,000           70,809
  DTS Corp.                                     15,800          295,024
 #Dai Nippon Toryo, Ltd.                       193,000          236,140
  Dai-Dan Co., Ltd.                             57,000          256,063
  Daido Kogyo Co., Ltd.                         60,000           98,064
  Daidoh, Ltd.                                  54,000          335,774
  Daifuku Co., Ltd.                            141,000          566,472
  Daihen Corp.                                 168,000          262,308
 #Daiho Corp.                                   96,000          142,001
  Dai-Ichi Jitsugyo Co., Ltd.                   80,000          198,685
 *Dai-Ichi Katei Denki Co., Ltd.                91,000              831
  Dai-Ichi Kogyo Seiyaku Co., Ltd.              47,000          113,294
  Daiken Corp.                                 195,000          548,393
 #Daiki Co., Ltd.                               31,000          341,645
  Daiko Clearing Services Corp.                  6,000           19,284
*#Daikyo, Inc.                                 444,000          782,433
  Daimei Telecom Engineering Corp.              51,000          204,894
  Dainichi Co., Ltd.                            15,200           68,006
 #Dainichiseika Colour & Chemicals                                     
    Manufacturing Co., Ltd.                    163,000          501,561
  Dainippon Shigyo Co., Ltd.                    16,000           74,507
 #Daiseki Co., Ltd.                             26,400          365,194
 #Daiso Co., Ltd.                              112,000          282,250
 *Daisue Construction Co., Ltd.                 92,500           76,014
  Daisyo Corp.                                  24,000          210,153
 *Daito Woolen Spinning & Weaving                                      
    Co., Ltd., Tokyo                            42,000           28,378
  Daiwa Industries, Ltd.                        64,000          179,401
  Daiwa Kosho Lease Co., Ltd.                  157,000          507,469
*#Daiwa Seiko, Inc.                            145,000          157,551
  Daiwabo Co., Ltd.                            162,000          165,668
  Daiwabo Information System Co., Ltd.          22,000          178,178
  Danto Corp.                                   42,000          144,576
  Denki Kogyo Co., Ltd.                         95,000          272,370
 *Denny's Japan Co., Ltd.                       38,000          621,421
  Densei-Lambda KK                              26,484          200,951
 #Denyo Co., Ltd.                               38,000          165,851
*#Descente, Ltd.                                95,000          163,075
 *Dia Kensetsu Co., Ltd.                        31,000           27,456
  Diamond Computer Service Co., Ltd.            18,000           99,434
 *Dijet Industrial Co., Ltd.                    34,000           42,221
  Doshisha Co., Ltd.                            15,000          335,555
*#Doutor Coffee Co., Ltd.                       28,400          434,091
 *Dynic Corp.                                   52,000           68,846
  Eagle Industry Co., Ltd.                      78,000          371,768
 *Econach Co., Ltd.                             26,000           10,920
 *Eco-Tech Construction Co., Ltd.              138,000           40,321
 #Edion Corp.                                  112,316          777,352
  Ehime Bank, Ltd.                              55,000          204,392
  Eiken Chemical Co., Ltd.                      24,000          300,438
  Eikoh, Inc.                                    8,000           36,888
  Elna Co., Ltd.                                22,000           48,210
  Enplas Corp.                                  18,000          544,010
*#Enshu, Ltd.                                   69,000          112,144
  Ensuiko Sugar Refining Co., Ltd.              51,000           90,805
 #Exedy Corp.                                   71,000          772,754
*#FDK Corp.                                    105,000          232,971
  FP Corp.                                      26,800          400,825
 *Fine Sinter Co., Ltd.                         18,000           48,320
 *First Baking Co., Ltd.                        67,000           84,423
  Fontaine Co., Ltd.                             5,000  $        46,978
  Foster Electric Co., Ltd.                     32,000          126,516
  France Bed Co., Ltd.                         193,000          463,468
*#Fudo Construction Co., Ltd.                  201,000          154,164
  Fuji Kiko Co., Ltd.                           51,000          147,151
 *Fuji Kosan Co., Ltd.                         130,000           94,960
  Fuji Kyuko Co., Ltd.                         107,000          383,957
*#Fuji Spinning Co., Ltd., Tokyo               163,000          150,320
  Fujicco Co., Ltd.                             42,000          396,147
 *Fujii & Co., Ltd.                             44,000              402
 *Fujiko Co., Ltd.                              55,000            1,004
  Fujikura Kasei Co., Ltd.                      43,000          296,037
  Fujikura Rubber, Ltd.                         34,000          200,237
 #Fujirebio, Inc.                               75,000          732,058
 #Fujita Kanko, Inc.                           132,000          472,462
 #Fujitec Co., Ltd.                            126,000          536,121
  Fujitsu Access, Ltd.                          36,000          213,002
  Fujitsu Business Systems, Ltd.                32,500          392,303
  Fujitsu Devices, Inc.                         32,000          262,966
  Fujitsu Fronttec, Ltd.                        21,000          205,168
 *Fujitsu General, Ltd.                        111,000          309,122
*#Fujiya Co., Ltd.                             190,000          235,939
  Fukuda Corp.                                  65,000          244,522
  Fukushima Bank, Ltd.                         213,000          287,838
 *Fukusuke Corp.                                95,000              867
 *Fumakilla, Ltd.                               24,000           27,392
 *Furukawa Battery Co., Ltd.                    45,000           84,642
 *Furukawa Co., Ltd.                           405,000          462,244
  Fuso Lexel Inc.                                8,000           59,898
 #Fuso Pharmaceutical Industries, Ltd.          99,000          324,516
 *GSI Creoss Corp.                              90,000          153,671
 *Ga-jo-en Kanko KK                             37,000                0
 *Gakken Co., Ltd.                             126,000          153,013
 *Generas Corp.                                 64,000           36,231
 #Genki Sushi Co., Ltd.                          7,500          104,844
  Geostar Corp.                                 10,000           31,958
 *Global-Dining, Inc.                            6,200           35,382
*#Godo Steel, Ltd.                             199,000          330,698
 *Goldwin, Inc.                                 47,000           54,072
 #Gourmet Kineya Co., Ltd.                      31,000          232,953
 *Graphtec Corp.                                39,000           37,034
 *Gro-BeLS Co., Ltd.                            40,000           34,697
  Gun-Ei Chemical Industry Co., Ltd.           127,000          255,113
  Hagoromo Foods Corp.                          18,000          161,067
  Hakuto Co., Ltd.                              25,000          305,652
  Hakuyosha Co., Ltd.                           57,000          163,943
  Haltec Corp.                                  32,000           49,671
 *Hamai Co., Ltd.                               22,000           20,489
  Hanwa Co., Ltd.                              405,000          950,375
  Happinet Corp.                                15,000          120,663
  Harashin Co., Ltd.                            14,100          105,570
  Harima Chemicals, Inc.                        37,000          214,865
  Haruyama Trading Co., Ltd.                    16,800          151,249
 *Hayashikane Sangyo Co., Ltd.                 128,000          118,042
  Hibiya Engineering, Ltd.                      56,000          367,129
 *Higashi-Nippon Bank, Ltd.                     40,000          108,108
  Hisaka Works, Ltd.                            41,000          213,386
  Hitachi Business Solution Co., Ltd.           10,000           73,046
  Hitachi Kiden Kogyo, Ltd.                     20,000           68,481
  Hitachi Koki Co., Ltd.                       153,000          655,196
 #Hitachi Kokusai Electric, Inc.                76,000          498,941

 142

N-CSR
147th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 147th
                                                                [Download Table]

                                                 SHARES           VALUE+
                                        ---------------  ---------------
                                                                        
  Hitachi Medical Corp.                          53,000  $       624,270
  Hitachi Metals Techno, Ltd.                    12,000           30,679
  Hitachi Plant Engineering &                                           
    Construction Co., Ltd.                      146,000          435,920
  Hitachi Powdered Metal Co., Ltd.               46,000          274,690
  Hitachi Tool Engineering, Ltd.                 30,000          130,113
  Hochiki Corp.                                  42,000          163,751
*#Hodogaya Chemical Co., Ltd.                   100,000          232,834
 *Hohsui Corp.                                   56,000           44,996
  Hokkai Can Co., Ltd., Tokyo                    83,000          169,759
*#Hokkaido Bank, Ltd.                           505,000          599,434
  Hokkaido Coca Cola Bottling Co., Ltd.          33,000          181,392
  Hokkaido Gas Co., Ltd.                         87,000          206,538
  Hokko Chemical Industry Co., Ltd.              41,000          134,770
  Hokuetsu Bank                                 263,000          547,517
 *Hokuriku Electric Industry Co., Ltd.          112,000          189,189
  Hokuriku Electrical Construction                                      
    Co., Ltd.                                    36,000           93,024
  Hokuriku Gas Co., Ltd.                         64,000          175,895
 *Hokushin Co., Ltd.                             39,900           45,904
 #Hokuto Corp.                                   41,600          576,596
  Homac Corp.                                    60,000          417,458
  Honshu Chemical Industry Co., Ltd.              7,000           31,255
 #Horiba, Ltd.                                   54,000          562,089
  Horipro, Inc.                                  16,000           98,028
 *Hosokawa Micron Corp.                          40,000          176,041
*#Howa Machinery, Ltd.                          181,000          176,835
  I-Net Corp.                                    12,000           44,375
  ISE Chemicals Corp.                            17,000           52,931
 *Ichida and Co., Ltd.                           23,400           19,016
  Ichikawa Co., Ltd.                             49,000          121,247
 *Ichiken Co., Ltd.                              48,000           43,389
  Ichikoh Industries, Ltd.                      141,000          290,961
  Ichiyoshi Securities Co., Ltd.                 54,000          241,600
  Icom, Inc.                                     19,500          356,099
  Idec Izumi Corp.                               47,000          276,799
  Ihara Chemical Industry Co., Ltd.              80,000          134,405
  Iino Kaiun Kaisha, Ltd.                       161,000          421,905
*#Ikegami Tsushinki Co., Ltd.                   102,000          182,542
  Impact 21 Co., Ltd.                            19,000          343,499
*#Impress Corp.                                     178          209,660
  Inaba Denki Sangyo Co., Ltd.                   38,000          539,536
 #Inaba Seisa Kusho Co., Ltd.                    18,700          259,533
  Inabata and Co., Ltd., Osaka                   70,000          367,513
  Inageya Co., Ltd.                              77,000          667,915
  Ines Corp.                                     64,900          513,772
 #Information Services                                                  
    International-Dentsu, Ltd.                   42,900          557,011
  Intec, Inc.                                    51,000          317,120
 *Inui Steamship Co., Ltd.                       31,000           44,439
*#Iseki & Co., Ltd.                             279,000          647,060
  Ishii Hyoki Co., Ltd.                           3,600           29,584
*#Ishii Iron Works Co., Ltd.                     52,000           62,673
*#Ishikawa Seisakusho, Ltd.                      75,000           97,927
  Ishikawajima Construction Materials                                   
    Co., Ltd.                                    18,000           46,841
  Ishikawajima Transport Machinery                                      
    Co., Ltd.                                    16,000           33,601
 *Ishizuka Glass Co., Ltd.                       49,000           77,401
  Itochu Enex Co., Ltd.                         119,000          543,280
  Itochu Shokuh Co., Ltd.                        14,400          464,134
  Itoki Crebio Corp.                             56,000  $       110,446
  Iwaki & Co., Ltd.                              19,000           39,034
 #Iwasaki Electric Co., Ltd.                    110,000          321,403
 *Iwatani International Corp.                   313,000          571,585
*#Iwatsu Electric Co., Ltd.                     145,000          301,863
 *Izuhakone Railway Co., Ltd.                       300           35,610
 *Izukyu Corp.                                    7,700           81,556
  Izumiya Co., Ltd.                             123,000          537,957
*#Izutsuya Co., Ltd.                            123,000          229,109
  J-Oil Mills, Inc.                             173,000          289,071
  JFE Koken Corp.                                32,000          127,392
  JMS Co., Ltd.                                  49,000          130,195
 *Jac Holdings Co., Ltd.                         11,000           26,616
  Jaccs Co., Ltd.                               175,000          591,216
  Jamco Corp.                                    18,000           46,183
*#Janome Sewing Machine Co., Ltd.               224,000          210,665
 #Japan Business Computer Co., Ltd.              34,000          221,969
 #Japan Carlit Co., Ltd.                         28,000          179,985
  Japan Cash Machine Co., Ltd.                   24,000          522,644
  Japan Digital Laboratory Co., Ltd.             35,600          349,109
 #Japan Foundation Engineering                                          
    Co., Ltd.                                    49,200          107,816
  Japan Information Processing                                          
    Service Co., Ltd.                            26,000          205,588
  Japan Kenzai Co., Ltd.                         17,500          100,826
  Japan Maintenance Co., Ltd.                    27,000          115,376
  Japan Medical Dynamic Marketing                                       
    Inc.                                         18,700          243,141
  Japan Oil Transportation Co., Ltd.             45,000           85,875
 #Japan Pulp and Paper Co., Ltd.                179,000          612,902
 *Japan Servo Co., Ltd.                          24,000           39,226
  Japan Steel Tower Co., Ltd.                    19,000           30,533
 *Japan Steel Works, Ltd.                       461,000          488,276
*#Japan Storage Battery Co., Ltd.               187,000          367,102
  Japan Transcity Corp.                          79,000          163,020
  Japan Vilene Co., Ltd.                        101,000          350,438
  Japan Wool Textile Co., Ltd.                  138,000          614,902
  Jastec Co., Ltd.                                8,000          124,105
  Jeans Mate Corp.                               12,740          100,273
*#Jeol, Ltd.                                     97,000          706,775
 *Jidosha Denki Kogyo Co., Ltd.                  34,000           58,364
  Joban Kosan Co., Ltd.                         101,000          128,187
  Joint Corp.                                    24,900          297,836
*#Joshin Denki Co., Ltd.                         98,000          231,757
 #Jsp Corp.                                      29,000          240,961
*#Jujiya Co., Ltd.                              202,000          119,887
*#Juki Corp.                                    153,000          502,922
 *Jyomo Co., Ltd.                                48,000           45,581
  K.R.S. Corp.                                   10,600          109,175
  Kabuki-Za Co., Ltd.                            15,000          542,367
  Kadokawa Holdings, Inc.                        27,000          727,265
 #Kaga Electronics Co., Ltd.                     33,000          561,952
  Kagawa Bank, Ltd.                              83,350          418,577
  Kahma Co., Ltd.                                46,000          419,595
 #Kaken Pharmaceutical Co., Ltd.                118,000          586,121
 *Kakuei (L.) Corp.                             100,000              913
 *Kamagai Gumi Co., Ltd.                         87,800          130,674
  Kameda Seika Co., Ltd.                         19,000          123,174
  Kamei Corp.                                    47,000          235,601
  Kanaden Corp.                                  43,000          184,533
  Kanagawa Chuo Kotsu Co., Ltd.                  90,000          549,763

 143

N-CSR
148th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 148th
                                                                [Download Table]

                                                SHARES           VALUE+
                                       ---------------  ---------------
                                                                       
 #Kanamoto Co., Ltd.                            43,000  $       194,741
 *Kanebo, Ltd.                                 110,000          110,482
*#Kanematsu Corp.                              402,500          602,721
  Kanematsu Electronics, Ltd.                   38,000          409,076
 *Kanematsu-NNK Corp.                           60,000          121,074
  Kanto Auto Works, Ltd., Yokosuka              78,000          626,735
 #Kanto Denka Kogyo Co., Ltd.                   83,000          312,993
  Kanto Natural Gas Development                                        
    Co., Ltd.                                  104,000          471,001
*#Kanto Tsukuba Bank, Ltd.                      19,100          118,590
  Kasai Kogyo Co., Ltd.                         28,000           67,239
  Kasei (C.I.) Co., Ltd.                        46,000          149,525
 #Kasumi Co., Ltd.                             132,000          614,682
  Katakura Chikkarin Co., Ltd.                  17,000           45,480
 #Katakura Industries Co., Ltd.                 49,000          325,712
  Kato Sangyo Co., Ltd.                         51,000          454,027
 #Kato Works Co., Ltd.                          82,000          163,221
 *Katsumura Construction Co., Ltd.              48,600           44,375
  Kawada Industries, Inc.                       76,000          138,787
*#Kawai Musical Instruments                                            
    Manufacturing Co., Ltd.                     99,000          146,439
 *Kawasaki Kasei Chemicals, Ltd.                36,000           23,996
  Kawashima Textile Manufacturers,                                     
    Ltd.                                       126,000          141,508
 *Kawasho Corp.                                549,000          977,493
  Kawasho Gecoss Corp.                          45,000          152,849
  Kawasumi Laboratories, Inc.                   26,000          159,295
 *Kawatetsu Systems, Inc.                          112          153,397
 #Keihin Co., Ltd.                             100,000          146,092
  Keiiyu Co., Ltd.                               7,300           49,791
  Keiyo Co., Ltd.                              139,900          504,570
 *Kenwood Corp.                                 50,000          111,852
 #Key Coffee, Inc.                              33,000          445,946
  Kibun Food Chemifa Co., Ltd.                  35,000          374,224
 *Kimmon Manufacturing Co., Ltd.                41,000           34,441
 *Kimura Chemical Plants Co., Ltd.              27,000           33,775
  Kinki Coca-Cola Bottling Co., Ltd.            86,000          568,517
 *Kinki Nippon Tourist Co., Ltd.               133,000          307,241
  Kinki Sharyo Co., Ltd., Nagaokakyo           101,000          267,440
*#Kinsho Corp.                                  21,000           39,308
*#Kinugawa Rubber Industrial Co., Ltd.          83,000          157,633
  Kioritz Corp.                                 96,000          173,557
 #Kishu Paper Co., Ltd.                        125,000          197,453
  Kisoji Co., Ltd.                              22,000          271,987
*#Kitagawa Iron Works Co., Ltd.                124,000          183,419
  Kita-Nippon Bank, Ltd.                         8,506          358,041
  Kitano Construction Corp.                     97,000          150,566
  Kitazawa Sangyo Co., Ltd.                     17,500           28,123
  Kitz Corp.                                   234,000          303,397
  Koa Corp.                                     58,000          415,723
 #Koatsu Gas Kogyo Co., Ltd.                    78,000          240,011
  Kobayashi Yoko Co., Ltd.                       8,000          138,861
  Kodensha Co., Ltd.                            14,000           36,815
  Koekisha Co., Ltd.                             4,900          107,378
 #Kohnan Shoji Co., Ltd.                        20,590          303,248
  Kohsoku Corp.                                  6,700           45,515
  Koike Sanso Kogyo Co., Ltd.                   30,000           36,980
  Koito Industries, Ltd.                        31,000           97,370
 #Kojima Co., Ltd.                              40,000          238,495
 *Kokune Corp.                                  42,000              383
  Kokusai Kogyo Co., Ltd.                       47,000          144,622
  Komai Tekko, Inc.                             53,000  $       106,465
 *Komatsu Electronics Metals Co., Ltd.          39,600          350,731
  Komatsu Seiren Co., Ltd.                      53,000          136,468
  Komatsu Wall Industry Co., Ltd.               14,000          180,625
  Konaka Co., Ltd.                              29,700          200,947
  Konami Sports Corp.                           35,300          551,482
  Kondotec, Inc.                                12,500           62,774
  Konishi Co., Ltd.                             28,000          220,124
  Kosaido Co., Ltd.                             34,000          305,789
 *Kosei Securities Co., Ltd.                   137,000          283,957
  Kumiai Chemical Industry Co., Ltd.,                                  
    Tokyo                                      108,000          165,668
  Kurabo Industries, Ltd.                      306,000          455,424
 #Kurimoto, Ltd.                               166,000          307,688
  Kuroda Electric Co., Ltd.                     18,000          581,812
  Kurosaki Harima Corp.                         96,000          128,853
  Kyoden Co., Ltd.                              68,000          329,693
  Kyodo Printing Co., Ltd.                     112,000          329,292
 #Kyodo Shiryo Co., Ltd.                       145,000          148,283
  Kyoei Sangyo Co., Ltd.                        44,000          102,447
 #Kyoei Tanker Co., Ltd.                        53,000           81,300
  Kyokuto Boeki Kaisha, Ltd.                    36,000           82,177
  Kyokuto Kaihatsu Kogyo Co., Ltd.              38,300          300,749
  Kyokuyo Co., Ltd.                            167,000          230,250
 #Kyoritsu Maintenance Co., Ltd.                15,400          224,701
  Kyosan Electric Manufacturing                                        
    Co., Ltd.                                   78,000          240,723
  Kyoto Kimono Yuzen Co., Ltd.                      79          152,922
  Kyowa Electronic Instruments                                         
    Co., Ltd.                                   30,000           67,385
  Kyowa Leather Cloth Co., Ltd.                 32,000          146,092
  Kyudenko Corp.                               103,000          411,925
 #Laox Co., Ltd.                                21,000           40,650
 *Lonseal Corp.                                 18,000           13,148
*#Look, Inc.                                    50,000          279,401
 #MR Max Corp.                                  56,300          178,379
 *Macnica, Inc.                                 25,700          667,609
  Maeda Road Construction Co., Ltd.            105,000          525,384
  Maezawa Industries, Inc.                      27,700          123,679
  Maezawa Kaisei Industries Co., Ltd.           20,600          239,443
  Maezawa Kyuso Industries Co., Ltd.            10,000           71,950
 *Magara Construction Co., Ltd.                 61,000           52,356
  Makino Milling Machine Co., Ltd.             114,000          538,148
 *Mamiya-Op Co., Ltd.                           58,000           88,970
  Marche Corp.                                   6,100           52,968
  Mars Engineering Corp.                        13,000          613,678
  Marubeni Construction Material                                       
    Lease Co., Ltd.                             28,000           37,071
  Marubun Corp.                                 37,800          200,183
  Marudai Food Co., Ltd.                       164,000          268,042
 *Maruei Department Store Co., Ltd.             72,000           95,982
  Maruha Corp.                                 434,000          534,971
 *Maruishi Cycle Industries, Ltd.               33,000           13,258
 #Marusan Securities Co., Ltd.                 106,000          544,905
  Maruwa Co., Ltd.                              13,000          141,728
  Maruwn Corp.                                  44,000          108,072
  Maruya Co., Ltd.                              14,000           93,316
  Maruyama Manufacturing Co., Inc.              73,000           89,317
*#Maruzen Co., Ltd.                            179,000          258,236
  Maruzen Co., Ltd.                             13,000           53,771
  Maruzen Showa Unyu Co., Ltd.                 122,000          272,918

 144

N-CSR
149th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 149th
                                                                [Download Table]

                                                 SHARES           VALUE+
                                        ---------------  ---------------
                                                                        
  Maspro Denkoh Corp.                            27,000  $       263,787
  Matsuda Sangyo Co., Ltd.                       27,000          185,637
  Matsui Construction Co., Ltd.                  40,000          111,030
  Matsuo Bridge Co., Ltd.                        37,000          102,027
 #Matsuya Co., Ltd.                              74,000          310,811
  Matsuya Foods Co., Ltd.                        20,000          422,754
  Matsuzakaya Co., Ltd.                         189,077          685,387
*#Max Co., Ltd.                                  69,000          590,961
*#Megachips Corp.                                21,700          202,496
*#Meidensha Corp.                               378,050          780,125
 *Meiji Machine Co., Ltd.                        55,000           32,140
  Meiji Shipping Co., Ltd.                       47,000          128,744
 *Meisei Industrial Co., Ltd.                    29,000           82,615
 #Meito Sangyo Co., Ltd.                         38,000          451,753
  Meito Transportation Co., Ltd.                  9,000           74,123
  Meiwa Estate Co., Ltd.                         34,000          273,192
  Meiwa Industry Co., Ltd.                       15,000           33,966
 *Meiwa Trading Co., Ltd.                        55,000           76,333
  Melco Holdings, Inc.                            9,000          244,065
  Mercian Corp.                                 212,000          425,858
  Mikuni Coca-Cola Bottling Co., Ltd.            60,000          444,302
 #Milbon Co., Ltd.                               13,200          338,075
 #Mimasu Semiconductor Industry                                         
    Co., Ltd.                                    30,000          369,248
  Ministop Co., Ltd.                             36,700          539,844
  Mirai Group Co., Ltd.                          49,000           91,718
  Miroku Jyoho Service Co., Ltd.                 12,000           79,985
 *Misawa Homes Holdings, Inc.                   262,900          355,270
 #Misawa Resort Co., Ltd.                        40,000           81,081
 *Mito Securities Co., Ltd.                      63,000          151,287
  Mitsuba Corp.                                  47,000          191,399
 *Mitsubishi Cable Industries, Ltd.             241,000          235,455
 *Mitsubishi Kakoki Kaisha, Ltd.                117,000          152,767
*#Mitsubishi Paper Mills, Ltd.                  406,000          548,649
  Mitsubishi Pencil Co., Ltd.                    61,000          388,212
 #Mitsubishi Plastics, Inc.                     310,000          761,414
  Mitsubishi Shindoh Co., Ltd.                   82,000          137,016
 #Mitsubishi Steel Manufacturing Co.,                                   
    Ltd.                                        253,000          288,760
  Mitsuboshi Belting, Ltd.                      153,000          444,248
 #Mitsui High-Tec, Inc.                          58,000          690,048
  Mitsui Home Co., Ltd.                          97,000          365,787
 *Mitsui Knowledge Industry Co., Ltd.             8,800           70,146
*#Mitsui Matsushima Co., Ltd.                    90,000          107,652
 *Mitsui Mining Co., Ltd.                       225,000          149,973
 #Mitsui Sugar Co., Ltd.                        116,000          216,070
 #Mitsui-Soko Co., Ltd.                         204,000          454,492
  Mitsumura Printing Co., Ltd.                   49,000          236,678
  Mitsuuroko Co., Ltd.                           76,000          417,750
  Miura Co., Ltd.                                52,100          620,805
  Miura Printing Corp.                           16,000           49,671
  Miyaji Engineering Group                       90,000          138,879
  Miyazaki Bank, Ltd.                            83,000          300,110
 #Miyoshi Oil & Fat Co., Ltd.                   120,000          225,712
 #Miyuki Keori Co., Ltd.                         50,000          137,874
  Mizuno Corp.                                  165,000          567,979
 *Momiji Holdings, Inc.                             190          400,749
  Morinaga & Co., Ltd.                          340,000          589,847
 *Morishita Jinton Co., Ltd.                     19,800           72,316
  Morita Corp.                                   59,000          197,170
 #Moritex Corp.                                  15,000          142,440
  Morozoff, Ltd., Osaka                          50,000  $        89,938
  Mory Industries, Inc.                          66,000          131,373
  Mos Food Services, Inc.                        47,000          392,668
  Moshi Moshi Hotline, Inc.                       7,250          509,724
 *Mutoh Industries, Ltd.                         61,000          128,104
  Mutow Co., Ltd.                                38,000          126,991
  Myojo Foods Co., Ltd.                          25,000           63,002
 #NAC Co., Ltd.                                  13,000           96,859
  NEC Infrontia Corp.                           167,000          419,330
 #NEC System Integration &                                              
    Construction, Ltd.                           53,000          396,339
*#NEC Tokin Corp.                                86,000          467,221
  Nabtesco Corp.                                210,000        1,106,373
 #Nachi-Fujikoshi Corp.                         433,000          933,053
 #Nagano Bank, Ltd.                             122,000          364,262
 *Nagano Japan Radio Co., Ltd.                   27,000           35,007
 #Nagatanien Co., Ltd.                           56,000          406,501
 *Naigai Co., Ltd.                              109,000           84,596
  Nakabayashi Co., Ltd.                          76,000          114,500
 #Nakamuraya Co., Ltd.                           85,000          211,103
*#Nakano Corp.                                   66,000           65,687
 *Nakayama Steel Works, Ltd.                    165,000          335,966
  Nakayo Telecommunications, Inc.                16,000           59,021
  Neturen Co., Ltd., Tokyo                       52,000          206,063
  New Japan Radio Co., Ltd.                      48,000          538,203
  Nichia Steel Works, Ltd.                       52,900          138,143
  Nichias Corp.                                 237,000          627,557
 #Nichiban Co., Ltd.                             58,000          156,227
 *Nichiboshin, Ltd.                               1,190            1,087
  Nichiha Corp.                                  64,980          741,645
 #Nichimo Co., Ltd.                              54,000           90,230
*#Nichimo Corp.                                  85,000           48,119
 #Nichireki Co., Ltd.                            44,000          146,238
 #Nichiro Corp.                                 289,000          337,765
  Nidec Tosok Corp.                              13,000          182,798
  Nihon Dempa Kogyo Co., Ltd.                    28,000          440,248
  Nihon Eslead Corp.                              9,500          166,545
  Nihon Inter Electronics Corp.                  27,000          165,175
  Nihon Kagaku Sangyo Co., Ltd.                  14,000           43,718
 *Nihon Kentetsu Co., Ltd.                       27,000           32,295
  Nihon Kohden Corp.                             85,000          558,026
  Nihon Matai Co., Ltd.                          50,000           90,394
  Nihon Nohyaku Co., Ltd.                       103,000          184,332
  Nihon Parkerizing Co., Ltd.                    92,000          400,694
 *Nihon Seiko Co., Ltd.                          11,000           27,721
  Nihon Shokuh Kako Co., Ltd.                    26,000           48,667
  Nihon Spindle Manufacturing Co., Ltd.          56,000           72,096
  Nihon Tokushu Toryo Co., Ltd.                  35,000          127,831
 #Nikken Chemicals Co., Ltd.                    130,000          377,465
  Nikkiso Co., Ltd.                             107,000          385,911
  Nikko Co., Ltd., Akashi                        52,000          142,440
 *Nippei Toyama Corp.                            34,000           62,400
 *Nippon Avionics Co., Ltd.                      19,000           31,748
  Nippon Beet Sugar Manufacturing                                       
    Co., Ltd.                                   216,000          327,392
*#Nippon Carbide Industries Co., Inc.,                                  
    Tokyo                                       101,000          101,443
*#Nippon Carbon Co., Ltd.                       177,000          226,260
 #Nippon Ceramic Co., Ltd.                       32,000          281,958
  Nippon Chemical Industrial Co., Ltd.          131,000          424,626
  Nippon Chemi-Con Corp.                        159,000          598,137

 145

N-CSR
150th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 150th
                                                                [Download Table]

                                                  SHARES           VALUE+
                                         ---------------  ---------------
                                                                         
 *Nippon Chemiphar Co., Ltd.                      49,000  $       137,801
  Nippon Chutetsukan KK                           44,000           74,726
 *Nippon Concrete Industries Co., Ltd.            65,000           73,594
  Nippon Conlux Co., Ltd.                         30,000          190,376
 *Nippon Conveyor Co., Ltd.                       43,000           31,017
 #Nippon Denko Co., Ltd.                         159,000          251,160
 #Nippon Densetsu Kogyo Co., Ltd.                 81,000          303,232
  Nippon Denwa Shisetu Co., Ltd.                  90,000          262,966
  Nippon Felt Co., Ltd.                           28,000           84,368
 #Nippon Fine Chemical Co., Ltd.                  40,000          147,188
  Nippon Flour Mills Co., Ltd.                   186,000          660,647
 *Nippon Foil Mfg., Co., Ltd.                     21,000           26,844
 *Nippon Formula Feed Manufacturing                                      
    Co., Ltd.                                    100,000          133,309
  Nippon Gas Co., Ltd.                            62,000          524,781
  Nippon Hume Corp.                               43,000           82,843
 #Nippon Kanzai Co., Ltd.                         27,200          396,377
*#Nippon Kasei Chemical Co., Ltd.                154,000          179,985
 *Nippon Kinzoku Co., Ltd.                        93,000          106,145
  Nippon Koei Co., Ltd., Tokyo                   107,000          218,846
  Nippon Konpo Unyu Soko Co., Ltd.                92,000          600,621
 *Nippon Koshuha Steel Co., Ltd.                 151,000          147,526
*#Nippon Metal Industry Co., Ltd.                230,000          201,607
 *Nippon Pigment Co., Ltd.                        11,000           25,612
  Nippon Pillar Packing Co., Ltd.                 15,000           79,711
 *Nippon Piston Ring Co., Ltd.                   104,000          149,087
  Nippon Road Co., Ltd.                          147,000          241,600
 #Nippon Seiki Co., Ltd.                          76,000          507,962
  Nippon Seisen Co., Ltd.                         39,000           85,464
 #Nippon Sharyo, Ltd.                            215,000          437,774
  Nippon Shinpan Co., Ltd.                       213,000          472,599
  Nippon Shinyaku Co., Ltd.                       73,000          407,259
  Nippon Signal Co., Ltd.                        109,000          501,607
  Nippon Soda Co., Ltd.                          177,000          399,187
 #Nippon Synthetic Chemical Industry                                     
    Co., Ltd.                                    152,000          312,272
  Nippon System Development Co.,                                         
    Ltd.                                          32,100          556,592
  Nippon Systemware Co., Ltd.                     20,000          163,440
  Nippon Thompson Co., Ltd.                       77,000          510,427
  Nippon Tungsten Co., Ltd.                       24,000           41,636
  Nippon Valqua Industries, Ltd.                 119,000          235,783
 *Nippon Yakin Kogyo Co., Ltd.                   117,500          171,658
 *Nippon Yusoki Co., Ltd.                         49,000          103,798
  Nishimatsuya Chain Co., Ltd.                    30,600          849,379
 *Nishishiba Electric Co., Ltd.                   28,000           35,793
*#Nissan Diesel Motor Co., Ltd.                  284,000          536,779
  Nissei Plastic Industrial Co., Ltd.             14,000           70,307
 *Nisseki House Industry Co., Ltd.               260,000            2,374
 #Nissha Printing Co., Ltd.                       81,000          959,989
 #Nisshin Fire & Marine Insurance                                        
    Co., Ltd.                                    201,000          477,173
 #Nisshin Fudosan Co., Ltd.                       11,700           96,574
  Nissho Electronics Corp.                        23,000          191,107
 *Nissho Iwai-Nichmen Holdings Corp.              68,000          317,275
  Nissin Co., Ltd.                               149,800          600,458
  Nissin Corp.                                   150,000          291,728
 *Nissin Electric Co., Ltd.                      134,000          349,927
  Nissin Kogyo Co., Ltd.                          22,500          498,197
  Nissin Sugar Manufacturing Co., Ltd.            74,000          120,270
  Nissui Pharmaceutical Co., Ltd.                 20,000          105,004
 *Nitchitsu Co., Ltd.                             14,000  $        17,513
  Nitta Corp.                                     42,000          518,481
  Nittan Valve Co., Ltd.                          18,000           47,663
  Nittetsu Mining Co., Ltd.                      118,000          276,899
 *Nittetsu Steel Sheet Corp.                      84,000          152,630
  Nitto Boseki Co., Ltd.                         364,000          422,096
  Nitto Electric Works, Ltd.                      59,000          426,662
 #Nitto Flour Milling Co., Ltd.                   54,000          114,883
  Nitto Kohki Co., Ltd.                           25,000          380,752
  Nitto Seiko Co., Ltd.                           56,000           70,051
  Nitto Seimo Co., Ltd.                           32,000           94,668
*#Nittoc Construction Co., Ltd.                   61,000          144,814
  Noda Corp.                                       1,300            5,045
  Nohmi Bosai, Ltd.                               59,000          262,893
  Nomura Co., Ltd.                                26,000           99,945
  Noritake Co., Ltd.                             178,000          576,972
 #Nosan Corp.                                    201,000          350,539
  O-M, Ltd.                                       46,000           57,542
 *OKK Corp.                                      101,000           94,065
  OSG Corp.                                       86,000          627,411
 *Obayashi Road Corp.                             65,000          115,139
  Odakyu Construction Co., Ltd.                   29,000           68,846
  Odakyu Real Estate Co., Ltd.                    58,000          126,041
  Oenon Holdings, Inc.                            74,000          150,000
 *Ohki Corp.                                      73,000           83,318
 *Ohmori Co., Ltd.                               184,000           16,801
 *Oie Sangyo Co., Ltd.                               400            2,736
  Oiles Corp.                                     30,000          580,716
  Okabe Co., Ltd.                                 29,000           80,762
  Okamoto Industries, Inc.                       212,000          480,059
 *Okamoto Machine Tool Works, Ltd.                33,000           82,259
 *Okaya Electric Industries Co., Ltd.             16,000           34,332
 *Oki Electric Cable Co., Ltd.                    56,000           95,617
  Okinawa Electric Power Co., Ltd.                20,000          547,845
 *Okuma and Howa Machinery, Ltd.                  69,000           88,833
*#Okuma Corp.                                    163,000          363,148
 #Okura Industrial Co., Ltd.                      96,000          699,489
  Okuwa Co., Ltd.                                 59,000          588,276
  Olympic Corp.                                   31,000          389,198
 *Omikenshi Co., Ltd.                             53,000           26,132
 *Ono Sokki Co., Ltd.                             43,000          133,492
  Organo Corp.                                   101,000          415,915
 *Orient Watch Co., Ltd.                          12,000            4,492
 #Oriental Construction Co., Ltd.                 39,000          159,533
  Oriental Yeast Co., Ltd.                        34,000          219,485
  Origin Electric Co., Ltd.                       54,000          239,628
  Osaka Securities Finance Co., Ltd.              54,000          111,432
  Osaka Steel Co., Ltd.                           52,000          412,126
  Osaki Electric Co., Ltd.                        56,000          267,422
  Oyo Corp.                                       40,000          260,409
 #P.S. Mitsubishi Construction Co., Ltd.          35,000          143,809
  PCA Corp.                                        6,500           57,569
  Pacific Industrial Co., Ltd.                    68,000          197,443
 #Parco Co., Ltd.                                 82,000          414,792
 *Pasco Corp.                                    111,500          335,966
 *Patlite Corp.                                    5,000           87,655
 *Penta-Ocean Construction Co., Ltd.             379,000          352,977
 #Pentax Corp.                                   180,000          747,809
  Petrolub International Co., Ltd.                12,900           53,004
  Pigeon Corp.                                    37,000          422,297
  Pilot Corp.                                         32           92,038

 146

N-CSR
151st “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 151st
                                                                [Download Table]

                                                  SHARES           VALUE+
                                         ---------------  ---------------
                                                                         
  Piolax, Inc.                                     8,800  $       112,089
  Pocket Card Co., Ltd.                           41,000          378,853
 #Pokka Corp.                                     48,000          135,866
  Poplar Co., Ltd.                                 7,260           73,382
  Posful Corp.                                    26,000          170,928
*#Press Kogyo Co., Ltd.                          143,000          301,616
*#Prima Meat Packers, Ltd.                       230,000          201,607
*#Privee Zurich Turnaround Group                                         
    Co., Ltd.                                     21,000          348,786
  Pulstec Industrial Co., Ltd.                    21,200          136,468
  Q'Sai Co., Ltd.                                 42,000          299,124
  Raito Kogyo Co., Ltd.                           84,900          281,398
 #Rasa Industries, Ltd.                          119,000          228,178
 *Real Property                                   43,900                0
*#Renown, Inc.                                   402,000          381,739
 #Resorttrust Inc.                                28,600          620,206
  Rheon Automatic Machinery Co., Ltd.             40,000          112,856
  Rhythm Watch Co., Ltd.                         344,000          502,557
 *Ricoh Elemex Corp.                              20,000           67,568
  Ricoh Leasing Co., Ltd.                         10,000          185,354
  Right On Co., Ltd.                              21,000          619,339
  Riken Corp.                                    193,000          585,062
  Riken Keiki Co., Ltd.                           33,000          141,015
  Riken Technos Corp.                             93,000          264,938
  Riken Vitamin Co., Ltd.                         24,000          306,793
 #Ringer Hut Co., Ltd.                            26,000          250,219
 #Rock Field Co., Ltd.                            14,000          155,442
  Rohto Pharmaceutical Co., Ltd.                  56,000          453,031
  Roland Corp.                                    26,400          320,599
 *Round One Corp.                                     58          104,858
 #Royal Co., Ltd.                                 52,000          465,303
 *Ryobi, Ltd.                                    238,000          628,032
  Ryoden Trading Co., Ltd.                        57,000          244,613
  Ryosan Co., Ltd.                                 1,700           26,093
 #Ryoyo Electro Corp.                             40,000          401,753
 #S Foods, Inc.                                   28,000          191,746
 *S Science Co., Ltd.                            139,000           63,459
  S.T. Chemical Co., Ltd.                         48,000          361,578
  SMK Corp.                                      127,000          424,416
  SNT Corp.                                       15,000           49,306
 *SPC Electronics Corp.                           29,000          103,798
  SPK Corp.                                        3,100           35,410
  SRL, Inc.                                       42,000          321,750
 *SXL Corp.                                      101,000          164,153
  Saeki Kensetsu Kogyo Co., Ltd.                  71,000           64,180
 #Sagami Chain Co., Ltd.                          37,000          305,743
  Sagami Co., Ltd.                                51,000          185,802
 *Sailor Pen Co., Ltd.                            44,000          161,505
 #Saizeriya Co., Ltd.                             78,100          738,071
  Sakai Chemical Industry Co., Ltd.              141,000          503,388
  Sakai Heavy Industries, Ltd.                    60,000          104,638
*#Sakai Ovex Co., Ltd.                            85,000          124,954
  Sakata Inx Corp.                                92,000          299,050
  Sakata Seed                                     17,900          186,322
 *Sakurada Co., Ltd.                              38,000           29,839
  Sala Corp.                                      41,000          163,970
  San-Ai Oil Co., Ltd.                            98,000          284,551
*#Sanix, Inc.                                     28,600          228,497
  Sankei Building Co., Ltd.                       69,000          207,277
  Sanki Engineering Co., Ltd.                    105,000          533,053
  Sanko Co., Ltd.                                  2,000           10,409
  Sanko Metal Industrial Co., Ltd.,                                      
    Tokyo                                         54,000  $        84,806
*#Sankyo Seiki Manufacturing Co., Ltd.            76,000          482,286
  Sankyo Seiko Co., Ltd.                          86,000          261,487
 #Sankyu, Inc., Tokyo                            415,000          439,554
  Sanoh Industrial Co., Ltd.                      53,000          239,545
  Sanshin Electronics Co., Ltd.                   45,000          255,159
  Sanyo Denki Co., Ltd.                           65,000          148,968
 #Sanyo Electric Credit Co., Ltd.                 43,100          639,889
  Sanyo Engineering & Construction,                                      
    Inc.                                          21,000           57,524
  Sanyo Industries, Ltd., Tokyo                   48,000          115,705
 #Sanyo Special Steel Co., Ltd.                  207,000          291,070
 *Sasebo Heavy Industries Co., Ltd.,                                     
    Tokyo                                        201,000          167,011
 *Sata Construction Co., Ltd.,                                           
    Gumma                                         61,000           54,584
  Sato Shoji Corp.                                31,000          117,184
  Satori Electric Co., Ltd.                       10,400          125,347
 *Sawafugji Electric Co., Ltd.                    31,000           58,026
  Secom Techno Service Co., Ltd.                  10,500          278,031
 #Seijo Corp.                                      8,000           89,116
  Seika Corp.                                    145,000          197,270
 *Seikitokyu Kogyo Co., Ltd.                      86,000           83,236
 *Seiko Corp.                                    102,407          532,980
  Seiren Co., Ltd.                                81,000          454,849
 #Sekisui Jushi Co., Ltd.                         59,000          251,580
  Sekisui Plastics Co., Ltd.                     126,000          281,866
  Sekiwa Real Eastate, Ltd.                       16,000          115,267
  Sekiwa Real Estate Chubu, Ltd.                   7,000           29,081
  Senko Co., Ltd.                                205,000          514,746
  Senshukai Co., Ltd.                             70,000          734,387
  Shaddy Co., Ltd.                                27,000          254,912
*#Shibaura Mechatronics Corp.                     71,000          536,130
  Shibusawa Warehouse Co., Ltd.                   94,000          189,682
 #Shibuya Kogyo Co., Ltd.                         54,000          461,998
*#Shikibo, Ltd.                                  155,000          178,324
  Shikoku Chemicals Corp.                         89,000          316,116
  Shikoku Coca-Cola Bottling Co., Ltd.            31,000          307,679
  Shimizu Bank, Ltd.                              12,600          587,893
  Shin Nippon Air Technologies                                           
    Co., Ltd.                                     31,180          119,573
  Shinagawa Refractories Co., Ltd.                82,000          163,970
 *Shindengen Electric Manufacturing                                      
    Co., Ltd.                                    106,000          281,647
  Shin-Etsu Polymer Co., Ltd.                    111,000          687,162
  Shinkawa, Ltd.                                  21,000          396,914
  Shin-Keisei Electric Railway Co., Ltd.          45,000          145,864
  Shinki Co., Ltd.                                61,000          215,550
 #Shinko Electric Co., Ltd.                      257,000          650,009
  Shinko Plantech Co., Ltd.                       27,000           27,365
  Shinko Shoji Co., Ltd.                          29,000          155,962
  Shin-Kobe Electric Machinery                                           
    Co., Ltd.                                     71,000          223,658
  Shinmaywa Industries, Ltd.                     148,000          436,487
*#Shinsho Corp.                                  110,000          168,736
*#Shinwa Kaiun Kaisha, Ltd.                      238,000          339,007
  Shinyei Kaisha                                  54,000           78,890
  Shiroki Co., Ltd.                              132,000          272,389
  Shizuki Electric Co., Inc.                      23,000           48,512
 #Sho-Bond Corp.                                  39,100          193,501

 147

N-CSR
152nd “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 152nd
                                                                [Download Table]

                                                  SHARES           VALUE+
                                         ---------------  ---------------
                                                                         
  Shobunsha Publications, Inc.                    25,000  $       315,011
*#Shochiku Co., Ltd.                              99,000          629,145
 #Shoei Co., Ltd.                                 14,900          166,795
  Shoei Foods Corp.                               14,000           55,606
  Shoko Co., Ltd.                                156,000          199,416
  Shokusan Bank, Ltd.                             52,000          175,676
  Showa Aircraft Industry Co., Ltd.               22,000           72,745
*#Showa Electric Wire & Cable                                            
    Co., Ltd., Kawasaki                          270,000          318,024
 #Showa Highpolymer Co., Ltd.                     67,000          167,011
  Showa Mining Co., Ltd.                          36,000           43,718
 #Showa Sangyo Co., Ltd.                         282,000          584,496
  Showa Tansan Co., Ltd.                          21,000           58,099
 #Siix Corp.                                       6,000           94,777
  Silver Ox Inc.                                  30,000           66,289
*#Silver Seiko, Ltd.                              87,000           36,541
  Sinanen Co., Ltd.                              160,000          672,023
  Sintokogio, Ltd., Nagoya                        70,000          194,942
  Snow Brand Seed Co., Ltd.                       16,000           48,941
  Soda Nikka Co., Ltd.                            35,000           59,441
*#Sodick Co., Ltd.                                64,000          447,042
 *Software Research Associates, Inc.               6,200           40,646
 #Sogo Medical Co., Ltd.                           8,800          239,847
 *Sokkisha Co., Ltd.                              40,000           54,054
  Sonton Food Industry Co., Ltd.                  15,000          114,637
 #Sorun Corp.                                     41,000          223,868
  Sotetsu Rosen Co., Ltd.                         44,000          273,996
  Sotoh Co., Ltd.                                 12,000           98,393
  Space Co., Ltd.                                  9,400           60,681
  Star Micronics Co., Ltd.                        59,000          338,851
  Starzen Corp.                                  126,000          195,581
  Stella Chemifa Corp.                            14,000          178,707
  Subaru Enterprise Co., Ltd.                     36,000          104,200
  Sumida Corp.                                    17,600          509,423
 *Suminoe Textile Co., Ltd.                       95,000          142,257
 *Sumitomo Coal Mining Co., Ltd.                  90,500           49,580
  Sumitomo Densetsu Co., Ltd.                     50,700          134,712
*#Sumitomo Light Metal Industries, Ltd.          493,000          567,184
*#Sumitomo Mitsui Construction Co., Ltd.         413,600          302,118
  Sumitomo Pipe & Tube Co., Ltd.                  35,000           71,905
  Sumitomo Precision Products Co.,                                       
    Ltd., Amagasaki City                          66,000          177,776
 #Sumitomo Seika Chemicals Co., Ltd.             102,000          239,354
 #Sumitomo Special Metals Co., Ltd.               76,000          834,113
  Sumitomo Warehouse Co., Ltd.                   172,000          457,013
 *Sun Wave Corp.                                  62,000          218,517
  SunTelephone Co., Ltd.                          44,000          167,933
 #Suruga Corp.                                    11,000          130,570
 *Suzutan Co., Ltd.                               62,000           72,462
 #Sysmex Corp.                                    23,700          516,111
 #T.Hasegawa Co., Ltd.                            35,900          409,743
*#TC Properties Co., Ltd.                        144,650          843,968
*#TC Properties Co., Ltd.                        579,000                0
 *TCM Corp.                                      146,000          274,617
 *TDF Corp.                                       11,000           39,271
  TKC Corp.                                       39,500          517,554
  TOC Co., Ltd.                                   80,000          431,702
  TYK Corp.                                       67,000          122,964
  Tabai Espec Corp.                               34,000          355,460
  Tachihi Enterprise Co., Ltd.                    17,000          357,789
  Tachikawa Corp.                                 14,000           69,029
  Tachi-S Co., Ltd.                               21,100  $       146,421
  Tadano, Ltd.                                   161,000          495,407
  Taihei Dengyo Kaisha, Ltd.                      55,000          151,662
*#Taihei Kogyo Co., Ltd.                         114,000          118,663
 *Taiheiyo Kouhatsu, Inc.                         90,000           69,850
  Taiho Kogyo Co., Ltd.                           30,000          245,435
  Taikisha, Ltd.                                  97,000        1,078,762
  Taisei Rotec Corp.                             110,000          163,714
 *Taisei U-lec Co., Ltd.                         134,000          196,987
 #Taito Co., Ltd.                                 70,000          171,932
  Taito Corp.                                        410          535,336
 #Taiyo Toyo Sanso Co., Ltd.                     232,000          648,210
  Takada Kiko Co., Ltd.                           31,000          125,393
 *Takagi Securities Co., Ltd.                     94,000          225,731
  Takamatsu Corp.                                 19,500          338,294
  Takano Co., Ltd.                                15,000          186,267
 *Takaoka Electric Manufacturing Co.,                                    
    Ltd., Tokyo                                  156,000          182,323
 *Taka-Q Co., Ltd.                                34,500           34,336
  Takara Printing Co., Ltd.                        6,000           44,047
 *Takarabune Corp.                                26,000              237
  Takasago International Corp.                   136,000          490,504
  Takasago Thermal Engineering Co.,                                      
    Ltd.                                         106,000          582,652
 *Takashima & Co., Ltd.                           60,000           97,516
  Takigami Steel Construction Co., Ltd.           18,000           72,316
  Takiron Co., Ltd.                               98,000          304,237
  Takuma Co., Ltd.                               108,000          565,048
  Tamura Corp.                                    93,000          332,871
 *Tamura Electric Works, Ltd.                     74,000          233,784
  Tanseisha Co., Ltd.                             26,000           81,428
 #Tasaki Shinju Co., Ltd.                         53,000          157,761
  Tateho Chemical Industries Co., Ltd.            26,500           69,928
  Tatsuta Electric Wire & Cable                                          
    Co., Ltd.                                    106,000          141,308
  Taya Co., Ltd.                                   5,000           42,458
  Tayca Corp.                                     74,000          191,216
 *Teac Corp.                                      88,000          123,740
  Techno Ryowa, Ltd.                              16,400           66,636
  Tecmo, Ltd.                                     22,000          226,187
  Teikoku Hormone Manufacturing                                          
    Co., Ltd.                                     33,000          237,135
 #Teikoku Piston Ring Co., Ltd.                   42,000          145,727
  Teikoku Sen-I Co., Ltd.                         39,000          123,567
  Teikoku Tsushin Kogyo Co., Ltd.                 73,000          249,954
  Tekken Corp.                                   194,000          258,619
  Ten Allied Co., Ltd.                            37,000          131,757
  Tenma Corp.                                     41,000          390,084
  Teraoka Seisakusho Co., Ltd.                    29,000          278,031
  Tetra Co., Ltd., Tokyo                          41,000           75,247
 *The Daito Bank, Ltd.                           114,000          236,286
 #The Nisshin Oillio Group, Ltd.                 196,000          486,779
  Three F Co., Ltd.                                5,300           30,004
  Tigers Polymer Corp.                            16,000           56,099
 *Titan Kogyo KK                                  36,000           46,019
 #Toa Corp.                                      247,000          279,657
 #Toa Doro Kogyo Co., Ltd.                        65,000          118,700
  Toa Oil Co., Ltd.                              145,000          206,538
 *Toabo Corp.                                     73,000           34,660
  Toagosei Co., Ltd.                             292,719          553,258
 *Tobu Store Co., Ltd.                            71,000          116,043

 148

N-CSR
153rd “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 153rd
                                                                [Download Table]

                                                 SHARES           VALUE+
                                        ---------------  ---------------
                                                                        
  Tochigi Fuji Industrial Co., Ltd.              51,000  $       128,059
  Toda Kogyo Corp.                               68,000          283,747
 #Todentu Corp.                                  57,000          107,734
  Toei Co., Ltd.                                185,000          554,054
  Toenec Corp.                                  101,000          300,639
  Tohcello Co., Ltd.                             21,000           49,470
  Toho Co., Ltd.                                 35,000          261,733
  Toho Real Estate Co., Ltd.                     98,000          365,979
 #Toho Titanium Co., Ltd.                        44,000          335,464
  Toho Zinc Co., Ltd.                           156,000          253,543
  Tohoku Bank, Ltd.                              63,000          120,225
  Tohoku Misawa Homes Co., Ltd.                  24,000           98,174
  Tohoku Pioneer Corp.                           24,800          396,501
  Tohoku Telecommunications                                             
    Construction Co., Ltd.                       17,000           42,997
 *Tohpe Corp.                                    36,000           31,227
  Tohto Suisan Co., Ltd.                         54,000           84,806
 #Tokai Carbon Co., Ltd.                        253,000          630,652
*#Tokai Corp.                                   108,000          437,838
*#Tokai Kanko Co., Ltd.                         333,000           91,216
 *Tokai Konetsu Kogyo Co., Ltd.                  15,000           31,090
 #Tokai Pulp & Paper Co., Ltd.                   88,000          323,010
 *Tokai Senko KK, Nagoya                         47,000           42,485
 *Tokai Tokyo Securities Co., Ltd.              366,250          792,561
 #Tokico, Ltd.                                  189,000          471,120
 *Tokimec, Inc.                                 119,000          208,619
  Toko Electric Corp.                            39,000          101,488
 #Toko, Inc.                                    129,000          347,471
  Tokushima Bank, Ltd.                           61,200          390,603
  Tokushu Paper Manufacturing                                           
    Co., Ltd.                                    63,000          230,670
  Tokyo Biso Kogyo Corp.                         13,000           64,217
 #Tokyo Denpa Co., Ltd.                          11,000          195,855
  Tokyo Dome Corp.                              233,000          699,936
  Tokyo Energy & Systems, Inc.                   49,000          156,592
  Tokyo Kikai Seisakusho, Ltd.                  132,000          318,189
  Tokyo Leasing Co., Ltd.                        86,000          512,765
  Tokyo Nissan Auto Sales Co., Ltd.              97,000          231,163
  Tokyo Rakutenchi Co., Ltd.                     92,000          331,812
 *Tokyo Rope Manufacturing Co., Ltd.            202,000          191,819
  Tokyo Sangyo Co., Ltd.                         36,500           97,316
  Tokyo Soir Co., Ltd.                           17,000           42,997
 *Tokyo Tekko Co., Ltd.                          67,000          150,493
  Tokyo Theatres Co., Inc., Tokyo               116,000          119,686
  Tokyo Tomin Bank, Ltd.                         45,200          739,989
  Tokyotokeiba Co., Ltd.                        422,000          489,354
 #Tokyu Community Corp.                          19,000          232,469
*#Tokyu Department Store Co., Ltd.              406,000          344,759
  Tokyu Livable Inc.                             22,200          231,689
  Tokyu Recreation Corp.                         32,000          164,792
  Tokyu Store Chain Corp.                       175,000          648,740
*#Tokyu Tourist Corp.                            92,000           71,402
  Toli Corp.                                     83,000          147,781
  Tomato Bank, Ltd.                             128,000          244,266
  Tomen Electronics Corp.                        10,000          407,232
  Tomoe Corp.                                    56,000           76,698
*#Tomoegawa Paper Co., Ltd.                      55,000          185,811
  Tomoku Co., Ltd.                              136,000          253,324
 *Tomy Co., Ltd.                                 27,000          377,685
  Tonami Transportation Co., Ltd.               121,000          329,237
  Topcon Corp.                                   57,000          378,369
  Topre Corp.                                    67,000  $       416,609
  Topy Industries, Ltd.                         325,000          765,614
 #Torigoe Co., Ltd.                              35,000          119,522
  Torii Pharmaceutical Co., Ltd.                 36,000          540,066
  Torishima Pump Manufacturing Co.,                                     
    Ltd., Osaka                                  37,000          173,649
  Tose Co., Ltd.                                  6,100           55,698
*#Toshiba Ceramics Co., Ltd.                    350,000          917,184
 #Toshiba Machine Co., Ltd.                     294,000          883,181
 #Toshiba Plant Kensetsu Co., Ltd.              101,000          272,973
 #Toshiba Tungaloy Co., Ltd.                    124,000          545,727
  Tosho Printing Co., Ltd.                       81,000          227,054
  Totenko Co., Ltd.                              35,000           67,750
  Totetsu Kogyo Co., Ltd.                        53,000          147,599
 *Totoku Electric Co., Ltd., Tokyo               62,000           75,292
  Tottori Bank, Ltd.                            127,000          463,842
  Touei Housing Corp.                            16,700          427,716
  Towa Corp.                                     28,000          192,513
  Towa Meccs Corp.                               75,000           63,002
*#Towa Real Estate Development Co.,                                     
    Ltd.                                         80,000          130,752
  Toyo Bussan Co., Ltd.                          17,600          133,382
*#Toyo Communication Equipment Co.,                                     
    Ltd.                                         79,000          331,090
*#Toyo Construction Co., Ltd.                   290,000          193,298
 #Toyo Corp.                                     43,100          444,302
 #Toyo Electric Co., Ltd.                        67,000          210,446
 #Toyo Engineering Corp.                        473,000          859,450
 *Toyo Kanetsu KK                               172,000          202,593
  Toyo Kohan Co., Ltd.                          125,000          345,827
 #Toyo Radiator Co., Ltd.                       104,000          371,293
 *Toyo Securities Co., Ltd.                     113,000          300,247
 *Toyo Shutter Co., Ltd.                         77,000           70,307
 *Toyo Sugar Refining Co., Ltd.                  60,000           63,550
  Toyo Tire & Rubber Co., Ltd.                  307,000          616,691
  Toyo Wharf & Warehouse Co., Ltd.              118,000          179,931
 *Trans Cosmos, Inc.                              5,000          118,243
 #Trusco Nakayama Corp.                          36,000          426,662
  Tsubaki Nakashima Co., Ltd.                    56,000          614,609
  Tsubakimoto Kogyo Co., Ltd.                    44,000           72,316
  Tsudakoma Corp.                               101,000          275,740
 *Tsugami Corp.                                 124,000          211,724
 *Tsukamoto Co., Ltd.                            44,000           51,826
  Tsukishima Kikai Co., Ltd.                     60,000          340,760
  Tsurumi Manufacturing Co., Ltd.                35,000          178,643
 #Tsutsumi Jewelry Co., Ltd.                     24,800          591,015
 #Tsutsunaka Plastic Industry Co., Ltd.          58,000          186,413
 *Tsuzuki Denki Co., Ltd.                        22,000           61,468
  U-Shin, Ltd.                                   32,000          131,191
  U.Store Co., Ltd.                              27,000          219,412
  Ube Material Industries, Ltd.                 116,000          195,946
  Uchida Yoko Co., Ltd.                          72,000          266,253
  Ueki Corp.                                     47,000           79,821
  Unicafe, Inc.                                   5,460           74,881
  Unimat Offisco Corp.                           27,700          308,059
*#Unitika, Ltd.                                 699,000          644,622
 *Utoc Corp.                                     68,000           85,683
  Vital-Net, Inc.                                56,300          381,434
  Wakachiku Construction Co., Ltd.              161,000          170,526
 #Wakamoto Pharmaceutical Co., Ltd.              48,000          127,977
  Wakodo Co., Ltd.                                2,000           58,802

 149

N-CSR
154th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 154th
                                                        [Enlarge/Download Table]

                                                                                       SHARES           VALUE+
                                                                              ---------------  ---------------
                                                                                                              
 #Warabeya Nichiyo Co., Ltd.                                                            8,500  $       116,417
 *Watabe Wedding Corp.                                                                  4,900           49,125
 #Watami Food Service Co., Ltd.                                                        54,700          341,126
 *Wondertable, Ltd.                                                                     8,000            9,934
  Wood One Co., Ltd.                                                                   86,000          628,981
  Xebio Co., Ltd.                                                                      12,000          239,956
 *Yachiyo Musen Denki Co., Ltd.                                                         9,000           41,499
  Yahagi Construction Co., Ltd.                                                        59,000          206,328
 #Yaizu Suisankagaku Industry Co., Ltd.                                                14,000          104,821
  Yamaichi Electronics Co., Ltd.                                                       21,000          222,425
  Yamamura Glass Co., Ltd.                                                            155,000          254,748
 *Yamatane Corp.                                                                      131,000          156,693
  Yamato Corp.                                                                         36,000          127,210
  Yamato International, Inc.                                                           43,000          164,116
  Yamato Kogyo Co., Ltd.                                                               96,000          679,328
  Yamaura Corp.                                                                        19,000           57,597
  Yamazen Co., Ltd.                                                                   140,000          250,548
  Yaoko Co., Ltd.                                                                      29,000          410,957
  Yasuda Warehouse Co., Ltd.                                                           27,000           96,393
  Yellow Hat, Ltd., Tokyo                                                              32,000          267,641
  Yokogawa Bridge Corp.                                                                55,400          213,972
  Yokohama Reito Co., Ltd.                                                             55,000          274,197
  Yokowo Co., Ltd.                                                                     28,000          351,534
 #Yomeishu Seizo Co., Ltd.                                                             46,000          335,592
  Yomiuri Land Co., Ltd.                                                              157,000          496,001
  Yondenko Corp.                                                                       50,800          199,916
 #Yonekyu Corp.                                                                        41,500          386,884
  Yonex Co., Ltd.                                                                      19,000           93,682
  Yorozu Corp.                                                                         26,800          182,305
  Yoshimoto Kogyo Co., Ltd.                                                            60,000          441,563
 #Yuasa Corp.                                                                         260,000          496,165
  Yuasa Funashoku Co., Ltd.                                                            33,000           60,866
*#Yuasa Trading Co., Ltd.                                                             174,000          182,706
*#Yuken Kogyo Co., Ltd.                                                                60,000           95,325
  Yuki Gosei Kogyo Co., Ltd.                                                           14,000           34,003
  Yukiguni Maitake Co., Ltd.                                                           26,000          124,635
  Yuraku Real Estate Co., Ltd.                                                         39,000           87,244
  Yurtec Corp.                                                                        101,000          364,271
 #Yushin Precision Equipment Co., Ltd.                                                 15,000          365,687
  Yushiro Chemical Industry Co., Ltd.                                                  10,000           77,611
 *Z-Plus Co., Ltd.                                                                     13,000           16,381
  Zenrin Co., Ltd.                                                                     49,600          389,481
  Zensho Co., Ltd.                                                                     17,000          283,126
 #Zeria Pharmacetical Co., Ltd.                                                        60,000          580,716
    i-LOGISTICS Corp.                                                                  35,000           54,328
                                                                                               ---------------
TOTAL COMMON STOCKS                                                                                           
  (Cost $408,723,841)                                                                              275,907,310
                                                                                               ---------------
INVESTMENT IN CURRENCY -- (0.3%)                                                                              
 *Japanese Yen                                                                                                
    (Cost $1,045,277)                                                                                1,046,719
                                                                                               ---------------


                                                                                     FACE                     
                                                                                    AMOUNT              VALUE+
                                                                                    ------              ------
                                                                                     (000)                    
                                                                                                              
RIGHTS/WARRANTS -- (0.0%)                                                                                     
 *BSL Corp. Rights 01/30/04                                                     $       3,950  $             0
 *Kanematsu Corp. Warrants 03/31/06                                                    20,125                0
                                                                                               ---------------
TOTAL RIGHTS/WARRANTS                                                                                         
  (Cost $0)                                                                                                  0
                                                                                               ---------------
TOTAL -- JAPAN                                                                                                
  (Cost $409,769,118)                                                                              276,954,029
                                                                                               ---------------
TEMPORARY CASH                                                                                                
  INVESTMENTS -- (22.6%)                                                                                      
  Repuchase Agreement, PNC Capital                                                                            
    Markets, Inc. 0.82%, 12/01/03                                                                             
    (Collateralized by $7,330,000 FHLB                                                                        
    Notes 1.875%, 02/15/05, valued at                                                                         
    $7,384,975) to be repurchased at                                                                          
    $7,275,497 (Cost $7,275,000)                                                        7,275        7,275,000
  Repurchase agreement, Mizuho                                                                                
    Securities USA, 1.05%, 12/01/03                                                                           
    (Collateralized by $123,762,000 U.S. Treasury Obligations, rates ranging                                  
    from 2.711% to 10.375%, maturities ranging from 08/15/05 to 02/15/29, valued                              
    at $73,726,806)                                                                                           
    to be repurchased at $73,733,257                                                                          
    (Cost $73,726,806)~                                                                73,727       73,726,806
                                                                                               ---------------
  TOTAL TEMPORARY CASH                                                                                        
    INVESTMENTS                                                                                               
    (Cost $81,001,806)                                                                              81,001,806
                                                                                               ---------------
  TOTAL INVESTMENTS -- (100.0%)                                                                               
    (Cost $490,770,924)++                                                                      $   357,955,835
                                                                                               ===============

----------                                                                      
+  See Note B to Financial Statements.                                        
~  Security purchased with cash proceeds from securities on loan              
*  Non-Income Producing Securities                                            
#  Total or Partial Securities on Loan                                        
++  The cost for federal income tax purposes is $493,603,890                    

 See accompanying Notes to Financial Statements.

 150

N-CSR
155th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 155th
THE PACIFIC RIM SMALL COMPANY SERIES

 SCHEDULE OF INVESTMENTS

 NOVEMBER 30, 2003 SHARES VALUE+

                                                                [Download Table]

                                                   SHARES           VALUE+
                                          ---------------  ---------------
                                                                          
AUSTRALIA -- (28.0%)                                                      
COMMON STOCKS -- (28.0%)                                                  
 *A.I., Ltd.                                      129,195  $        14,023
  A.P. Eagers, Ltd.                                25,283          118,916
 *AAV, Ltd.                                        50,200           57,393
  ABC Learning Centres, Ltd.                      133,000          324,325
  ADCorp Australia, Ltd.                          116,497           85,140
  AJ Lucas Group, Ltd.                             35,900           57,150
  APN News & Media, Ltd.                                1                3
  ARB Corporation, Ltd.                           116,670          280,282
 *AV Jennings Homes, Ltd.                         170,028          227,610
  Abigroup, Ltd.                                   73,710          211,746
 *Adsteam Marine, Ltd.                            342,628          414,035
  Adtrans Group, Ltd.                              29,000           77,642
 *Agenix, Ltd.                                    149,379           76,744
  Alesco Corp., Ltd.                               86,411          368,909
  Altium                                          162,100           63,340
  Amalgamated Holdings, Ltd.                      195,483          459,717
 *Amity Oil NL                                    222,481          157,767
 *Amrad Corp., Ltd.                               135,523           64,722
 *Anateus Energy, Ltd.                            193,687           13,034
 *Arc Energy NL                                   129,400           86,143
  Ariadne Australia, Ltd.                         270,353           73,360
  Aspen Group, Ltd.                                15,795            1,714
  Atlas Pacific, Ltd.                              82,585           13,147
 *AuIron Energy, Ltd.                             260,290           11,677
  Ausdrill, Ltd.                                  115,992           62,109
  Ausmelt, Ltd.                                    36,118           24,306
  Auspine, Ltd.                                    42,618           95,599
 *Austal, Ltd.                                    356,800          227,199
 *Austar United Communications, Ltd.              730,792          200,944
 *Austral Coal, Ltd.                              285,300          146,574
  Australian Agricultural Co., Ltd.               155,000          128,982
*#Australian Magnesium Corp., Ltd.                332,383           18,519
 #Australian Pharmaceutical Industries,                                   
    Ltd.                                          287,700          566,248
 *Australian Worldwide Exploration,                                       
    Ltd.                                          308,100          254,153
 *Auto Group, Ltd.                                 41,309           18,533
 *#Autron Corporation, Ltd.                       989,247          218,325
  Bank of Queensland, Ltd.                            506            3,442
  Beach Petroleum NL                            1,814,501          446,410
 *Beaconsfield Gold NL                             89,078           13,214
 *Bendigo Mining NL                             1,712,123          253,973
 *Beyond International, Ltd.                       61,256           14,184
 *Biota Holdings, Ltd.                             97,808           35,387
  Blackmores, Ltd.                                 27,894          160,060
  Brazin, Ltd.                                     98,875          100,164
  Bridgestone Australia, Ltd.                      49,000           89,350
  Burswood, Ltd.                                  784,148          658,195
  CMI, Ltd.                                        32,784           47,919
 *CPI Group, Ltd.                                  68,585           46,650
  Cabcharge Austalia, Ltd.                        196,800          441,454
  Campbell Brothers, Ltd.                          86,099          376,299
 *Cape Range Wireless, Ltd.                       619,912           18,391
  Capral Aluminium, Ltd.                           28,943           50,682
  Casinos Austria International, Ltd.             258,299          130,834
  Cedar Woods Properties, Ltd.                     50,913           51,577
 *Cellestis, Ltd.                                  37,209  $        38,502
  Cellnet Telecommunications Group,                                       
    Ltd.                                           91,100           63,283
 *Centamin Egypt, Ltd.                            996,437          230,727
 #Centennial Coal, Ltd.                           447,647          800,075
  Central Equity, Ltd.                            129,405          180,720
 *Charter Pacific Corp., Ltd.                      72,823           24,240
 *Charters Towers Gold Mines, Ltd.                258,700           42,119
*#Chemeq, Ltd.                                    120,000          465,419
 *Chiquita Brands South Pacific, Ltd.             113,500           72,273
 *Circadian Technologies, Ltd.                     40,370           55,502
  Citect Corp., Ltd.                              109,822          103,307
  Clough, Ltd.                                    817,737          420,117
 #Coates Hire, Ltd.                               472,004          976,810
 #Collection House, Ltd.                          176,200          214,197
  Colorado Group, Ltd.                            135,243          351,324
  Commander Communications, Ltd.                  106,600           84,849
  Consolidated Minerals, Ltd.                     251,658          172,995
 *Coplex Resources NL                             231,400           15,070
 *Count Financial, Ltd.                           171,200           91,671
  Coventry Group, Ltd.                             58,612          235,384
  Crane Group, Ltd.                                83,106          541,219
  Croesus Mining NL                               798,235          392,770
  Danks Holdings, Ltd.                             10,425           86,072
  Devine, Ltd.                                    168,183           76,669
 *Dominion Mining, Ltd.                           168,015           80,240
 *Emporer Mines, Ltd.                             120,600           63,704
 *Energy Developments, Ltd.                       164,549          301,241
 *Energy World Corp., Ltd.                        325,630            6,598
 *Environmental Solutions International,                                  
    Ltd.                                           67,364           12,795
  Equigold NL                                     225,700          251,507
  Evans & Tate, Ltd.                               62,500           54,270
  FKP, Ltd.                                       142,602          242,489
  Fantastic Holdings, Ltd.                        133,100          359,240
  Fleetwood Corp., Ltd.                            47,464          191,645
 *Forest Place Group, Ltd.                         85,192           29,898
  Freedom Group, Ltd.                             201,879          306,767
 *Funtastic, Ltd.                                  94,900          140,773
  GRD NL                                          379,594          521,881
  GUD Holdings, Ltd.                              114,428          509,220
 *Gale Pacific, Ltd.                               34,400           61,483
  Gazal Corp., Ltd.                                71,177          133,909
 *Geo2, Ltd.                                        2,526              356
 *Globe International, Ltd.                       327,400          111,346
 *Gold Aura                                         2,635              343
 *Golden West Refining Corp., Ltd.                 17,330            4,514
 *Goldstream Mining NL                             90,901           35,519
  Gowing Bros., Ltd.                               58,624          104,354
 *Gradipore, Ltd.                                  86,855           28,910
 #Graincorp, Ltd. Series A                         78,059          781,166
 #Grand Hotel Group                               383,087          182,953
 #Great Southern Plantations, Ltd.                366,530          403,136
  Green's Foods, Ltd.                              66,082           45,426
 *Gympie Gold, Ltd.                               302,445          109,425
 *HPAL, Ltd.                                       88,900           91,346
 *Hamilton Island, Ltd.                            52,600          126,364
  Hancock and Gore, Ltd.                           66,108           81,321

 151

N-CSR
156th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 156th
                                                                [Download Table]

                                                    SHARES           VALUE+
                                           ---------------  ---------------
                                                                           
*#Hardman Resources NL                             717,859  $       363,610
 *Health Communication Network, Ltd.               106,000           84,372
  Healthscope, Ltd.                                131,852          287,178
 *Henry Walker Eltin Group, Ltd.                   287,948          191,690
 *Herald Resources, Ltd.                            69,910           35,411
  Hills Industries, Ltd.                           263,845          714,034
 *Horizon Oil NL                                   752,832           49,027
  Housewares International, Ltd.                   280,209          527,174
 *Hutchison Telecommunications                                             
    (Australia), Ltd.                            1,065,400          215,858
  IInet, Ltd.                                       65,200          155,690
  ION, Ltd.                                        342,085          566,849
  Infomedia, Ltd.                                  598,900          368,359
  Institute of Drug Technology Australia,                                  
    Ltd.                                            44,372           61,004
 *Integrated Group, Ltd.                            55,000           61,687
 *Intellect Holdings, Ltd.                         403,028          137,066
  Investor Group, Ltd.                              48,637           95,023
 *Iress Market Technology, Ltd.                     81,000          147,115
 *Ixla, Ltd.                                        89,921            1,497
 *JDV, Ltd.                                         84,981           33,821
 #Jones (David), Ltd.                              658,594          657,650
  Jubilee Mines NL                                 224,549          653,184
  K&S Corp., Ltd.                                   86,000          151,218
 *Kagara Zinc, Ltd.                                120,700           89,959
  Kaz Group, Ltd.                                1,315,977          233,299
 *Keycorp, Ltd.                                     67,609           60,663
 *Kimberley Diamond Co. NL                         182,966          129,746
  Kingsgate Consolidated NL                        132,456          397,757
  Kresta Holdings, Ltd.                             56,700           24,617
  Lemarne Corp., Ltd.                               20,790           34,600
 *LionOre Mining International, Ltd.                25,842          140,250
  MYOB, Ltd.                                       470,141          340,194
  MacArthur Coal, Ltd.                             101,500           85,931
 *MacMahon Holdings, Ltd.                          192,179           42,413
  Magellan Petroleum Australia, Ltd.                32,760           30,817
 *Magnesium International, Ltd.                    656,061           29,908
  Maryborough Sugar Factory, Ltd.                      600            2,605
 *Matrix Oil NL                                    557,000           17,734
  MaxiTRANS Industries, Ltd.                       157,528           90,050
 #McGuigan Simeon Wines, Ltd.                      253,183          881,207
  McPherson's, Ltd.                                 67,828          200,738
 *Metabolic Pharmaceuticals, Ltd.                  700,000          476,128
 *Metal Storm, Ltd.                                406,669          144,190
  Mia Group, Ltd.                                  237,000          114,900
  Miller's Retail, Ltd.                            462,814          602,806
 *Mincor Resources NL                               73,400           39,834
  Monadelphous Group, Ltd.                          18,988           64,577
 *Mosaic Oil NL                                    387,324           60,257
  Namoi Cotton Cooperative, Ltd.                   142,585           38,175
  National Can Industries, Ltd.                     97,017           98,984
 *Norwood Abbey, Ltd.                               99,000           95,993
 *Novogen, Ltd.                                    176,419          920,405
 *Novus Petroleum, Ltd.                            288,634          261,069
 *Oakton, Ltd.                                      62,800           54,530
 #Oamps, Ltd.                                      173,075          403,263
*#Orbital Engine Corp., Ltd.                       537,358           64,157
  OrotonGroup, Ltd.                                 38,427          174,342
 *PMP, Ltd.                                        455,871          395,842
  Pacific Hydro, Ltd.                              370,312          798,514
 *Pan Pacific Petroleum NL                         327,800           22,296
  Pan Pharmaceuticals, Ltd.                        322,766  $       280,264
 *Payce Consolidated, Ltd.                          18,000           26,050
 *#Peptech, Ltd.                                   281,015          325,348
 *Perilya Mines NL                                 263,500          202,109
 *Perseverance Corp., Ltd.                         199,493           48,358
 *Petsec Energy, Ltd.                               97,992           61,689
 *Plantcorp NL                                       4,329                0
  Plaspak Group, Ltd.                               97,158           64,679
 *#Polartechnics, Ltd.                              43,405           25,754
 *Port Douglas Reef Resorts, Ltd.                  251,655           19,120
  Portman, Ltd.                                    343,890          373,258
 *PowerTel, Ltd. Series B                        4,416,871          118,254
 *Precious Metals Australia, Ltd.                   10,606              560
 *Preston Resources NL                              64,000           12,504
  Primary Health Care, Ltd.                        190,663          689,818
  Prime Television, Ltd.                           172,440          305,705
 *Primelife Corp., Ltd.                             85,867          170,245
 *Progen Industries, Ltd.                           24,788           27,622
  Programmed Maintenance Service,                                          
    Ltd.                                           119,230          224,314
  Queensland Cotton Holdings, Ltd.                  39,866           92,599
 *Quiktrak Networks P.L.C.                                                 
    Entitlement Shares                              23,875                0
 *Quiktrak Networks, Ltd.                          740,124            2,678
 *RG Capital Radio, Ltd.                            45,370           91,923
  Ramsay Health Care, Ltd.                         177,900          565,117
 *Raptis Group, Ltd.                                12,000            2,996
  Rebel Sport, Ltd.                                 88,284          201,229
  Reece Australia, Ltd.                            159,501          865,611
 *Reinsurance Australia Corp., Ltd.                399,993          118,668
*#Resolute Mining, Ltd.                            287,264          286,852
  Ridley Corp., Ltd.                               582,631          493,262
 *Roc Oil Co., Ltd.                                170,700          176,631
  Rock Building Society, Ltd.                       11,373           27,322
 *SDI, Ltd.                                         18,432          145,378
 *SP Telecommunications, Ltd.                      136,396          136,201
  SPC Ardmona, Ltd.                                337,984          349,728
  STW Communications Group, Ltd.                   231,843          536,837
  Schaffer Corp., Ltd.                              33,766          345,728
  Select Harvests, Ltd.                             44,886          180,261
 *Senetas Corp., Ltd.                              240,406           11,829
  Servcorp, Ltd.                                   156,000          188,512
 *Silex System, Ltd.                               235,100          151,405
  Skilled Engineering, Ltd.                        144,962          251,747
 *Solution 6 Holdings, Ltd.                        402,138          186,232
  Southern Cross Broadcasting                                              
    (Australia), Ltd.                              149,270        1,177,327
*#Southern Pacific Petroleum NL                    698,740          118,818
  Southern Star Group, Ltd.                        187,907           99,258
 *St. Barbara Mines, Ltd.                          375,500           20,107
  Star Games, Ltd.                                 132,410          129,346
 *Straits Resources, Ltd.                           56,534           40,499
 *Strategic Minerals Corp. NL                      358,100           85,510
 *Striker Resources NL                             435,484           17,646
  Sunland Group, Ltd.                               75,095           59,773
  Sydney Aquarium, Ltd.                             49,135          170,659
 *Sydney Gas, Ltd.                                 153,800           91,257
  Symex Holdings, Ltd.                             163,000          141,536
  Tandou, Ltd.                                       3,410            3,578
 *Tap Oil, Ltd.                                    193,100          202,604
  Technology One, Ltd.                             587,800          208,413

 152

N-CSR
157th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 157th
                                                                [Download Table]

                                                   SHARES           VALUE+
                                          ---------------  ---------------
                                                                          
 #Tempo Service, Ltd.                             184,359  $       192,099
  Thakral Holdings Group                          948,383          432,337
  The Gribbles Group, Ltd.                        780,300          299,251
  Ticor, Ltd.                                     455,148          461,083
 #Timbercorp, Ltd.                                250,258          201,006
 *Titan Resources NL                               50,000           15,196
 *Tooth & Co., Ltd.                               153,000           19,374
  Transfield Services, Ltd.                       238,000          766,364
  Triako Resources, Ltd.                            5,400            6,682
  Troy Resources NL                                72,048           93,841
  Trust Company of Australia, Ltd.                 23,774          129,021
  UXC, Ltd.                                       181,293          102,323
  United Group, Ltd.                              138,399          395,575
 *VeCommerce, Ltd.                                 13,680            9,404
 *Ventracor, Ltd.                                 256,924          362,525
 *Victoria Petroleum NL                           463,964            5,036
  Villa World, Ltd.                               134,700          120,861
*#Village Roadshow, Ltd.                          436,313          584,074
 *Virotec International NL                        142,891           51,698
  Vision Systems, Ltd.                            268,273          190,240
  Volante Group, Ltd.                             125,700          109,148
  Waterco, Ltd.                                    22,304           38,250
  Watpac, Ltd.                                    129,518           53,420
  Wattyl, Ltd.                                    131,342          365,900
 *Webster, Ltd.                                    33,551           16,023
 *Western Metals, Ltd.                            385,787            6,002
  Wide Bay Capricorn Building Society,                                    
    Ltd.                                           26,958          132,646
 *Yates, Ltd.                                      60,281            2,574
                                                           ---------------
  TOTAL COMMON STOCKS                                                     
    (Cost $41,066,672)                                          48,601,616
                                                           ---------------
  PREFERRED STOCKS -- (0.0%)                                              
 *Village Roadshow, Ltd. 2% Class A                                       
    (Cost $59,969)                                 55,477           44,559
                                                           ---------------
  INVESTMENT IN CURRENCY -- (0.0%)                                        
 *Australian Dollar                                                       
    (Cost $30,010)                                                  31,136
                                                           ---------------
  RIGHTS/WARRANTS -- (0.0%)                                               
 *Amity Oil, Ltd. Options 09/04/04                      1                0
 *Axon Instruments, Inc. Options                                          
    Open Pay Date                                  16,148                0
 *Geo2, Ltd. Rights                                 1,684                0
 *Metal Storm, Ltd. Options 09/06/04                    1                0
 *Progen Industries, Ltd. Options                   3,098                0
                                                           ---------------
  TOTAL RIGHTS/WARRANTS                                                   
    (Cost $98)                                                           0
                                                           ---------------
  TOTAL -- AUSTRALIA                                                      
    (Cost $41,156,749)                                          48,677,311
                                                           ---------------
  SINGAPORE -- (26.1%)                                                    
  COMMON STOCKS -- (26.0%)                                                
    ASA Group Holdings, Ltd.                      586,000          103,676
 *Acma, Ltd.                                    3,040,700          167,564
 *Airocean Group, Ltd.                          1,017,000          162,232
 *Alliance Technology & Development,                                      
    Ltd.                                          156,000            9,502
 #Amtek Engineering, Ltd.                         597,625          537,333
  Apollo Enterprises, Ltd.                        193,000           59,056
  Armstrong Industrial Corp.                    1,460,000  $       122,801
  Ascott Group, Ltd.                            1,807,250          440,302
 *Aussino Group, Ltd.                              38,000           12,124
  Benjamin (F.J.) Holdings, Ltd.                1,095,000          161,971
 #Beyonics Technology, Ltd.                     3,272,600          541,029
  Blu Inc. Group, Ltd.                            729,000          109,947
  Bonvests Holdings, Ltd.                         825,000          220,138
  Brilliant Manufacturing, Ltd.                   829,000          319,786
  Bukit Sembawang Estates, Ltd.                    71,334          595,857
 *CK Tang, Ltd.                                   614,000          140,685
 #CSE Global, Ltd.                                984,000          373,869
  CWT Distribution, Ltd.                          461,500          145,899
  Central Properties, Ltd.                         66,000          750,383
  Ch Offshore, Ltd.                               823,200          174,293
  Chemical Industries (Far East), Ltd.            105,910           64,507
 *China Merchants Holdings Pacific,                                       
    Ltd.                                          479,000          144,485
  Chip Eng Seng Corp., Ltd.                     1,775,000          169,889
  Chosen Holdings, Ltd.                           829,000          137,051
  Chuan Hup Holdings, Ltd.                      4,116,000        1,134,101
  Chuan Soon Huat Industrial Group,                                       
    Ltd.                                          614,000          108,630
  Clipsal Industries Holdings, Ltd.               351,542          458,820
 *Compact Metal Industries, Ltd.                  643,000           24,244
  Cosco Corp. Singapore, Ltd.                   2,783,000          960,535
  Courts Singapore, Ltd.                          495,000          157,925
 #ECS Holdings, Ltd.                            1,375,000          315,052
 *Eagle Brand Holdings, Ltd.                    3,390,000          226,142
 #Eastern Asia Technology, Ltd.                 1,368,600          389,005
 *Eastgate Technology, Ltd.                       870,000          105,979
 *Econ International, Ltd.                      2,267,000           59,176
  Eng Wah Organisation, Ltd.                      265,000           35,355
 *Freight Links Express Holdings, Ltd.          1,648,000           95,596
  Frontline Technologies Corp., Ltd.            1,974,000          188,936
 #Fu Yu Manufacturing, Ltd.                     1,291,000          531,701
  Fuji Offset Plates Manufacturing, Ltd.           33,750            7,244
  GB Holdings, Ltd.                               200,000           75,990
  GK Goh Holdings, Ltd.                         1,120,000          581,465
  GP Industries, Ltd.                           1,132,000          584,412
 #Ges International, Ltd.                       2,077,000          765,056
 *Goodpack, Ltd.                                  587,000          275,807
 #Guocoland, Ltd.                               1,215,000          789,364
  HTL International Holdings, Ltd.              1,177,500          659,130
  Ho Bee Investment, Ltd.                         761,000          110,359
  Hong Fok Corp., Ltd.                          1,796,000          302,125
  Hong Leong Asia, Ltd.                         1,048,000        1,124,646
 *Horizon Education & Technologies,                                       
    Ltd.                                          988,000          134,681
  Hotel Grand Central, Ltd.                       875,280          192,936
  Hotel Plaza, Ltd.                             1,189,000          368,993
 #Hotel Properties, Ltd.                        1,393,000          832,283
  Hour Glass, Ltd.                                298,000           91,617
  Huan Hsin Holdings, Ltd.                        964,400          643,336
  Hup Seng Huat, Ltd.                             900,200           88,771
  Hwa Hong Corp., Ltd.                          2,488,000          837,069
 #IDT Holdings, Ltd.                              514,000          596,315
 *Inno-Pacific Holdings, Ltd.                     680,000           17,750
  Innovalues Precision, Ltd.                      165,000          172,282
  International Factors (Singapore), Ltd.         290,000           73,176
 *Internet Technology Group, Ltd.                 874,408           40,578
 *Interra Resources, Ltd.                         185,430           26,353

 153

N-CSR
158th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 158th
                                                                [Download Table]

                                                  SHARES           VALUE+
                                         ---------------  ---------------
                                                                         
 *Intraco, Ltd.                                  292,500  $        87,381
  Isetan (Singapore), Ltd.                       122,500          225,257
  JK Yaming International, Ltd.                  509,000          103,340
 #Jaya Holdings, Ltd.                          2,733,000        1,284,126
  Jurong Cement, Ltd.                            132,500           60,335
  Jurong Engineering, Ltd.                       112,000          184,510
 #Jurong Technologies Industrial Corp.,                                  
    Ltd.                                       1,133,000          736,090
 *K1 Ventures, Ltd.                            4,012,500          512,060
  Keppel Telecommunications and                                          
    Transportation, Ltd.                       1,571,000          770,044
  Khong Guan Flour Milling, Ltd.                  19,000           18,736
  Kian Ann Engineering, Ltd.                     868,000          118,323
  Kim Eng Holdings, Ltd.                       2,281,200        1,376,194
  Koh Brothers, Ltd.                           1,494,000          112,662
 *L & M Group Investments, Ltd.                7,107,100           61,840
  Labroy Marine, Ltd.                          2,943,000          904,793
 *Lantrovision (S), Ltd.                         745,000          159,897
  Lee Kim Tah Holdings, Ltd.                   1,265,000          172,441
 *Leong Hin Holdings, Ltd.                       526,000           36,614
 *Liang Huat Aluminum, Ltd.                    1,477,000           68,541
 *Lion Asiapac, Ltd.                             129,000           12,347
  Low Keng Huat Singapore, Ltd.                  372,000           85,236
 *Lum Chang Holdings, Ltd.                     1,134,030          197,346
 *MCL Land, Ltd.                                  99,000           76,953
 #MMI Holdings, Ltd.                           1,453,000          324,496
 *Magnecomp International, Ltd.                  583,000          300,983
 *Manufacturing Integration Technology,                                  
    Ltd.                                         588,000           95,503
 *Mediaring.Com, Ltd.                          2,094,000          139,687
  Metro Holdings, Ltd.                         2,256,960          929,534
  Multi-Chem, Ltd.                               957,000          149,885
  Nera Telecommunications, Ltd.                1,159,000          366,406
  New Toyo Intenational Holdings, Ltd.           540,000          209,870
*#Norelco Centreline Holdings, Ltd.              586,000          424,904
 *Orchard Parade Holdings, Ltd.                1,084,022          257,813
 #Osim International, Ltd.                       930,000          582,626
  Ossia International, Ltd.                      708,000           82,138
  PCI, Ltd.                                      734,000          253,335
 #PSC Corp., Ltd.                              4,088,000          296,417
  Pan-United Corp., Ltd.                       1,624,000          579,354
 *Pentex-Schweizer Circuits, Ltd.                916,000          140,807
  Pertama Holdings, Ltd.                         459,750           78,673
  Popular Holdings, Ltd.                       1,129,000          294,706
 *Qian Hu Corp., Ltd.                            266,000          115,725
  Robinson & Co., Ltd.                           284,832        1,239,176
  Rotary Engineering, Ltd.                     1,231,000          385,598
  SBS Transit, Ltd.                              857,000          621,404
  SMB United, Ltd.                             1,254,000          167,305
  SNP Corp., Ltd.                                288,995          219,606
 *SP Corp., Ltd.                                 454,000           23,702
  San Teh, Ltd.                                  838,406          221,283
  Sea View Hotel, Ltd.                            66,000          344,564
 *Seatown Corp., Ltd.                            101,000            1,758
 *Sembawang Kimtrans, Ltd.                     1,295,000          146,483
 *Sin Soon Huat, Ltd.                          1,307,000           68,234
  Sing Investments & Finance, Ltd.                94,500           82,774
 #Singapore Food Industries, Ltd.              1,446,000          620,702
  Singapore Reinsurance Corp., Ltd.            1,540,935          223,464
  Singapura Finance, Ltd.                        139,250          107,431
 *Singatronics, Ltd.                             748,000          151,863
  Ssangyong Cement (Singapore), Ltd.             236,000          161,539
  Stamford Land Corp., Ltd.                    3,229,000  $       458,899
  Straits Trading Co., Ltd.                    1,117,200        1,172,985
 *Sunright, Ltd.                                 378,000          130,464
  Superbowl Holdings, Ltd.                       490,000           57,558
  Superior Metal Printing, Ltd.                  490,500           73,977
 *TSM Resources, Ltd.                            688,000          153,650
*#TT International, Ltd.                       1,094,000          218,937
 *Tiong Woon Corp. Holding, Ltd.                 652,000          198,559
 *Transmarco, Ltd.                               106,500           60,233
 *Trek 2000 International, Ltd.                  622,000          198,443
 *Tuan Sing Holdings, Ltd.                     3,362,000          214,523
  UOB-Kay Hian Holdings, Ltd.                  1,602,000          873,521
 *Ultro Technologies, Ltd.                       530,000           61,488
 #Unisteel Technology, Ltd.                      898,000          656,341
  United Engineers, Ltd.                         632,666          590,858
  United Overseas Insurance, Ltd.                125,500          235,869
  United Pulp & Paper Co., Ltd.                  354,000           80,085
  Vicom, Ltd.                                    120,000           60,212
  WBL Corp., Ltd.                                510,000          875,679
  Wing Tai Holdings, Ltd.                      2,332,000        1,068,657
 *Xpress Holdings, Ltd.                        1,392,000           64,597
 *Yongnam Holdi                                1,004,000           23,296
                                                          ---------------
  TOTAL COMMON STOCKS                                                    
    (Cost $48,644,710)                                         45,150,959
                                                          ---------------
  INVESTMENT IN CURRENCY -- (0.1%)                                       
 *Singapore Dollars                                                      
    (Cost $248,027)                                               247,996
                                                          ---------------
  RIGHTS/WARRANTS -- (0.0%)                                              
 *Acma, Ltd. Warrants 11/16/04                                           
    (Cost $0)                                    236,300            1,371
                                                          ---------------
  TOTAL -- SINGAPORE                                                     
    (Cost $48,892,737)                                         45,400,326
                                                          ---------------
  HONG KONG -- (25.2%)                                                   
  COMMON STOCKS -- (25.2%)                                               
  ABC Communications (Holdings),                                         
    Ltd.                                         930,000           35,924
  ALCO Holdings, Ltd.                            602,000          220,916
 *APT Satellite Holdings, Ltd.                   354,000          107,116
  Aeon Credit Service (Asia) Co., Ltd.           522,000          312,542
 *Allied Group, Ltd.                           5,592,000          381,618
 *Allied Properties, Ltd.                        802,600          284,195
 *Anex International Holdings, Ltd.              152,000            2,114
 *Applied China, Ltd.                          1,036,250           18,547
 *Applied International Holdings, Ltd.         1,243,000           19,526
  Arts Optical International Holdings,                                   
    Ltd.                                         468,000          146,131
  Asia Aluminum Holdings, Ltd.                 2,460,000          478,297
 *Asia Commercial Holdings, Ltd.                  72,800            1,781
  Asia Financial Holdings, Ltd.                1,976,908          442,916
 *Asia Logistics Technologies, Ltd.            2,214,000           12,828
 *Asia Standard International Group,                                     
    Ltd.                                       5,136,000          195,089
 *Asia Tele-Net & Technology Corp.,                                      
    Ltd.                                      10,420,000           18,784
  Associated International Hotels, Ltd.          898,000          757,361
 *Automated Systems Holdings, Ltd.               234,000           49,112
 *Baltrans Holdings, Ltd.                        376,000          145,243
 *Beijing Development (Hong Kong),                                       
    Ltd.                                        166,000           24,367 

 154

N-CSR
159th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 159th
                                                                [Download Table]

                                                   SHARES           VALUE+
                                          ---------------  ---------------
                                                                          
 *Bossini International Holdings, Ltd.            228,750  $         9,720
  Bright International Group, Ltd.                302,000           42,774
  CCT Telecom Holdings, Ltd.                      472,970           53,592
 *CEC International Holdings, Ltd.                210,000            4,732
 *CNT Group, Ltd.                               3,078,000           72,528
 *COSCO International Holdings, Ltd.            2,573,600          188,887
 *Capital Prosper, Ltd.                           480,000            4,635
 *Capital Strategic Investment, Ltd.              122,000            2,136
 *Cash Financial Services Group, Ltd.              13,509              774
 *Casil Telecommunications                                                
    Holdings, Ltd.                                428,000           21,217
 *Catic International Holdings, Ltd.            3,290,000           96,163
 *Celestial Asia Securities Holdings,                                     
    Ltd.                                          128,036            8,243
 *Central China Enterprises, Ltd.               2,104,000            5,418
 #Champion Technology Holdings, Ltd.              987,386          212,319
  Chen Hsong Holdings, Ltd.                     1,515,000          970,490
 *Cheuk Nang (Holdings), Ltd.                     112,501           19,266
 *Cheung Tai Hong Holdings, Ltd.                  100,920            3,249
 *Chevalier Construction Holdings, Ltd.           131,203            4,055
  Chevalier International Holdings, Ltd.          431,143          219,282
 *Chevalier Itech Holdings, Ltd.                  355,250           39,338
*#China Aerospace International                                           
    Holdings, Ltd.                              2,430,000          175,218
 *China Bio-Medical Group Limited                 415,000            4,970
 *China City Natural Gas Holdings, Ltd.         5,800,000           31,366
 *China Digicontent Co., Ltd.                   2,710,000            3,489
 *China Everbright International, Ltd.          3,185,000          127,132
 *China Everbright Technology, Ltd.             3,244,000          131,576
 *China Gas Holdings, Ltd.                      1,514,000          157,905
  China Hong-Kong Photo Products                                          
    Holdings, Ltd.                              1,909,000          125,361
 *China Investments Holdings, Ltd.                210,000            4,543
 *China Motion Telecom International,                                     
    Ltd.                                          257,000           21,840
  China Motor Bus Co., Ltd.                        74,000          466,888
 *China Nan Feng Group, Ltd.                       96,000              136
  China Online (Bermuda), Ltd.                    423,200           55,037
  China Rare Earth Holdings, Ltd.                 700,000          101,850
 #China Resources Land, Ltd.                    1,878,000          261,159
  China Resources Logic, Ltd.                   3,272,000          341,259
 *China Rich Holdings, Ltd.                     3,380,000           31,335
 *China Sci-Tech Holdings, Ltd.                 2,786,000            5,740
 *China Star Entertainment, Ltd.                   50,292            7,317
 *China Strategic Holdings, Ltd.                  376,000            8,182
  Chinney Investments, Ltd.                     1,144,000           61,867
  Chow Sang Sang Holdings                                                 
    International, Ltd.                           721,400          218,288
  Chuangs China Investments, Ltd.               1,347,000           57,236
 *Chuang's Consortium International,                                      
    Ltd.                                        1,858,884           76,593
  Chun Wo Holdings, Ltd.                        1,671,917           92,570
 *Chung Tai Printing Holdings, Ltd.               268,000           48,656
  City e Solutions, Ltd.                          186,000           22,034
*#City Telecom (H.K.), Ltd.                       754,000          308,248
 *Climax International Co., Ltd.                  296,000              991
 *Coastal Greenland, Ltd.                         300,000            6,335
 *Compass Pacific Holdings, Ltd.                  624,000           14,462
 *Computer & Technologies Holdings,                                       
    Ltd.                                          220,000           51,273
  Continental Holdings, Ltd.                       98,825            8,907
 *Continental Mariner Investment Co.,                                     
    Ltd.                                        1,328,000  $       196,644
 #Coslight Technology International                                       
    Group, Ltd.                                   466,000          217,510
 *Cosmos Machinery Enterprises, Ltd.            1,024,000           48,785
 *Crocodile Garments, Ltd.                      1,539,000           59,449
  Cross Harbour Tunnel Co., Ltd.                  377,148          194,248
 *Culturecom Holdings, Ltd.                     3,767,000          133,387
 *DVN Holdings, Ltd.                              292,490           31,259
 *Dan Form Holdings Co., Ltd.                   2,386,600           61,460
  Daqing Petroleum &                                                      
    Chemical Group, Ltd.                          735,000           59,623
  Dickson Concepts International, Ltd.            320,000          193,657
 #Digital China Holdings, Ltd.                    639,000          228,323
 *Dynamic Global Holdings, Ltd.                 1,446,000           17,129
  Dynamic Holdings, Ltd.                          244,000           38,330
 *Easyknit International Holdings, Ltd.           282,860            3,861
 *Eforce Holdings, Ltd.                         2,620,000          126,508
  Egana Jewelry and Pearls                        331,789          102,532
 #Eganagoldfeil Holdings Ltd.                   2,017,235          410,392
  Elec & Eltek International                                              
    Holdings, Ltd.                              3,078,790          606,536
 *Emperor International Holdings, Ltd.             64,436           19,912
 *Extrawell Pharmaceutical                                                
    Holdings, Ltd.                              3,220,000          102,409
 *Ezcom Holdings, Ltd.                             72,576            3,224
 *Fairwood Holdings, Ltd.                          42,600            6,802
  Far East Consortium International,                                      
    Ltd.                                        1,672,000          215,289
 *Far East Hotels & Entertainment, Ltd.         1,853,000           81,122
  Far East Pharmaceutical Technology                                      
    Co., Ltd.                                   2,560,000          303,259
  First Sign International Holdings, Ltd.       1,050,000           51,376
 *Forefront International Holdings, Ltd.          658,000          201,222
 *Foundation Group, Ltd.                           83,800            2,913
 *Founder Holdings, Ltd.                        1,374,000          150,380
  Four Seas Frozen Food Holdings, Ltd.            347,184           40,680
  Four Seas Mercantile Holdings, Ltd.             592,000          207,718
 *Fujian Group, Ltd.                            2,378,000           25,108
 *Fushan Holdings, Ltd.                         2,566,000           89,208
  GZI Transport, Ltd.                             850,000          257,201
 *GeoMaxima Energy Holdings, Ltd.               5,810,000          115,208
  Global China Group Holdings, Ltd.             2,288,000          185,602
  Global Green Tech Group, Ltd.                 1,012,000          174,611
*#Global Tech (Holdings), Ltd.                  5,612,000           67,925
  Glorious Sun Enterprises, Ltd.                1,066,000          377,464
  Gold Peak Industries (Holdings), Ltd.         1,059,250          330,747
 *Goldbond Group Holdings, Ltd. New                99,900            2,573
  Golden Resources Development                                            
    International, Ltd.                         1,456,500           65,639
 *Gold-Face Holdings, Ltd.                      2,003,600          139,312
  Goldlion Holdings, Ltd.                       1,438,000          120,353
  Golik Holdings, Ltd.                            930,500           73,086
  Good Fellow Group, Ltd.                       3,488,000          190,876
 *Gorient Holdings, Ltd.                           73,700              209
 *Great Wall Cybertech, Ltd.                   15,795,170           20,338
  Group Sense (International), Ltd.             2,062,000          297,366
  Guangdong Brewery Holdings, Ltd.              1,742,000          430,660
 *Guangnan Holdings, Ltd.                      11,246,000          241,824
 *HKR International, Ltd.                       1,884,860          600,675
 *Hang Fung Gold Technology, Ltd.                 458,000           80,203
  Hang Ten Group Holdings, Ltd.                   585,039            1,281

 155

N-CSR
160th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 160th
                                                                [Download Table]

                                                    SHARES           VALUE+
                                           ---------------  ---------------
                                                                           
  Hanny Holdings, Ltd.                             136,658  $        34,313
 *Hansom Eastern Holdings, Ltd.                  3,473,235           36,225
  Harbour Centre Development, Ltd.                 517,000          532,557
  Henderson China Holdings, Ltd.                   815,000          396,150
 *Heng Fung Holdings, Ltd.                          42,000           34,611
  High Fashion International, Ltd.                 268,000           39,684
 *Hon Kwok Land Investment Co., Ltd.               572,535           94,362
  Hong Kong Catering Management,                                           
    Ltd.                                           512,000           48,785
 *Hong Kong Construction Holdings,                                         
    Ltd.                                           970,000           61,200
  Hong Kong Ferry (Holdings) Co., Ltd.             671,300          674,212
 *Hong Kong Parkview Group, Ltd.                 1,130,000           72,750
 *Hong Kong Pharmaceuticals                                                
    Holdings, Ltd.                               1,834,000           86,194
  Hongkong Chinese, Ltd.                         1,682,000          223,074
 *Hop Hing Holdings, Ltd.                          660,265           29,756
  Hopson Development Holdings, Ltd.                936,000          154,266
 *Hsin Chong Construction Group, Ltd.            1,569,658           66,697
 *Hualing Holdings, Ltd.                         1,344,000           59,704
 *Hudson Holdings, Ltd.                            256,000            4,615
 *Hycomm Wireless, Ltd.                          1,383,000           15,849
 *I-China Holdings, Ltd.                           854,000            3,409
  IDT International, Ltd.                        4,028,486          606,894
 *IMI Global Holdings, Ltd.                         91,600           20,758
 *ITC Corp., Ltd.                                  466,157           23,409
 *Innomaxx Biotechnology Group, Ltd.             1,794,000          102,794
 *Interchina Holdings Co., Ltd.                  2,640,000          186,961
 *Inworld Group, Ltd.                                2,036               12
  K Wah International Holdings, Ltd.             3,009,831          430,180
  K. Wah Construction Materials, Ltd.            2,404,949          185,799
 *KPI Co., Ltd.                                    264,000            4,453
  KTP Holdings, Ltd.                               180,400           25,551
 *Kader Holdings Co., Ltd.                         545,600           11,662
  Karrie International Holdings, Ltd.              488,000          152,376
  Keck Seng Investments (Hong Kong),                                       
    Ltd.                                           858,600           90,655
  Kee-Shing Holdings Co., Ltd.                     886,000           54,189
  Kin Yat Hldgs                                    304,000           59,889
 *King Fook Holdings, Ltd.                       1,000,000           79,832
 *King Pacific International Holdings,                                     
    Ltd.                                         1,404,200           22,058
 #Kingmaker Footwear Holdings, Ltd.              1,058,750          456,692
 *Kong Sun Holdings, Ltd.                        2,198,000            6,792
  Kowloon Development Co., Ltd.                    604,000          443,299
 *Kwong Sang Hong International, Ltd.            1,434,000           77,550
  Kwoon Chung Bus Holdings, Ltd.                   556,000           84,478
 *Lai Sun Development Co., Ltd.                  2,970,000           42,449
 *Lai Sun Garment (International), Ltd.          2,325,000           58,377
 *Lam Soon (Hong Kong), Ltd.                       302,310          104,127
 *Le Saunda Holdings, Ltd.                         236,000            7,020
 *Leading Spirit High-Tech Holdings                                        
    Co., Ltd.                                    2,310,000            2,974
 *Leaptek, Ltd.                                    193,000              994
  Lerado Group (Holding) Co., Ltd.                 580,000          113,516
 *LifeTec Group, Ltd.                            1,383,000           16,561
 *Lippo, Ltd.                                    1,074,760          164,681
  Liu Chong Hing Investment, Ltd.                  635,200          445,751
  Luks Industrial Group, Ltd.                      645,555          101,409
  Lung Kee (Bermuda) Holdings, Ltd.                857,500          449,932
 *Mae Holdings, Ltd.                             2,220,000            5,431
 *Magnificent Estates, Ltd.                      2,368,000           13,721
 *Magnum International Holdings, Ltd.              300,000  $         3,283
  Mainland Headwear Holdings, Ltd.                 226,000           75,660
 *Mansion House Group, Ltd.                        600,000           23,177
 *Matrix Holdings, Ltd.                            402,000           96,277
 *Mei Ah Entertainment Group, Ltd.               1,142,000           36,026
  Melbourne Enterprises, Ltd.                       45,500          176,931
  Midland Realty (Holding), Ltd.                   860,000          189,356
 *Millennium Group, Ltd.                           928,000           21,508
 *Min Xin Holdings, Ltd.                           753,200          116,380
 *Morning Star Resources, Ltd.                   1,845,000           15,917
  Moulin International Holdings, Ltd.              699,274          549,240
  Nanyang Holdings, Ltd.                           137,500          123,933
 *National Electronics Holdings, Ltd.            2,156,000           69,402
 *New China Merchants Dichain                    3,520,000           63,907
  New Island Printing Holdings, Ltd.               176,000           14,957
 *New World China Land, Ltd.                       702,800          157,459
 *New World Cyberbase, Ltd.                         25,220              130
*#New World Infrastructure, Ltd.                 1,065,400          181,081
 *Newocean Green Energy Holdings,                                          
    Ltd.                                         3,931,200           65,298
 #Ngai Lik Industrial Holdings, Ltd.             1,556,000          651,146
 *Onfem Holdings, Ltd.                           1,266,000           81,506
  Orient Power Holdings, Ltd.                      360,000           50,989
 *Oriental Metals Holdings Co., Ltd.             1,237,800           47,814
  Oriental Watch Holdings, Ltd.                    134,000           28,814
  Pacific Andes International Holdings,                                    
    Ltd.                                           888,000          160,076
  Pacific Century Insurance Holdings,                                      
    Ltd.                                         1,026,000          396,327
 *Pacific Plywood Holdings, Ltd.                 4,430,000           11,408
  Paul Y. ITC Construction Holdings,                                       
    Ltd.                                           520,000           48,208
  Peace Mark Holdings, Ltd.                      1,105,315          142,322
  Pegasus International Holdings, Ltd.             226,000           31,719
  Perfectech International Holdings, Ltd.          571,450           49,299
  Pico Far East Holdings, Ltd.                   1,190,000           62,056
  Playmates Holdings, Ltd.                       1,585,000          334,702
  Pokfulam Development Co., Ltd.                   234,000           61,767
 *Poly Investments Holdings, Ltd.                2,670,000           56,726
  Prime Success International Group,                                       
    Ltd.                                           768,000           30,161
 #Proview International Holdings, Ltd.             944,000          249,179
*#QPL International Holdings, Ltd.               1,191,000          467,732
  Quality Healthcare Asia, Ltd.                  1,338,000           38,591
 *Rainbow International Holdings, Ltd.               2,036               20
  Raymond Industrial, Ltd.                         605,400          189,034
 *Regal Hotels International Holdings,                                     
    Ltd.                                         9,400,000          160,977
 *Rexcapital International Holdings, Lt d.       1,272,905           27,863
 *Riche Multi-Media Holdings, Ltd.                 706,000          268,171
 *Rivera Holdings, Ltd.                          3,620,000          107,673
 *Riverhill Holdings, Ltd.                           2,036               28
  Road King Infrastructure, Ltd.                   449,000          323,757
  Roadshow Holdings, Ltd.                        1,456,000          194,975
  S.A.S.Dragon Holdings, Ltd.                    1,696,000          163,784
  SA SA International Holdings, Ltd.             1,614,000          363,686
 *SEEC Media Group, Ltd.                         1,692,000           93,682
  SNP Leefung Holdings, Ltd.                       144,000           24,104
  Safety Godown Co., Ltd.                          408,000          147,097
  Saint Honore Holdings, Ltd.                      128,000           16,811
  San Miguel Brewery Hong Kong, Ltd.               612,800          153,076
  Sea Holdings, Ltd.                               832,000          176,763

 156

N-CSR
161st “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 161st
                                                                [Download Table]

                                                     SHARES           VALUE+
                                            ---------------  ---------------
                                                                            
 *Seapower Resources International,                                         
    Ltd.                                          2,528,000  $         8,789
  Shanghai Allied Cement, Ltd.                      356,080           25,217
 *Shanghai Century Holdings, Ltd.                 5,242,000          127,569
 *Shanghai Land Holdings, Ltd.                    1,464,000           65,035
  Shanghai Real Estates, Ltd.                     1,692,000          124,183
  Shaw Brothers Hong Kong, Ltd.                     237,000          262,441
  Shell Electric Manufacturing                                              
    (Holdings) Co., Ltd.                            553,792          136,909
  Shenyin Wanguo (Hong Kong), Ltd.                  847,500          102,578
 *Shenzhen International Holdings, Ltd.           6,187,500          258,931
  Shougang Concord Century                                                  
    Holdings, Ltd.                                1,292,000          187,986
 *Shougang Concord Grand (Group),                                           
    Ltd.                                          1,701,000          135,794
 *Shougang Concord International                                            
  Enterprises Co., Ltd.                           4,166,000          219,932
 *Shougang Concord Technology                                               
    Holdings, Ltd.                                1,647,914          227,041
 *Shui On Construction & Materials, Ltd.            282,000          397,602
 *Shun Ho Resources Holdings, Ltd.                  483,000           14,864
 *Shun Ho Technology Holdings, Ltd.               1,037,452           29,388
  Silver Grant International Industries,                                    
    Ltd.                                          2,087,000          228,416
 *Sincere Co., Ltd.                                 505,500           18,550
  Singamas Container Holdings, Ltd.                 838,000          445,096
 *Sinocan Holdings, Ltd.                            350,000            1,758
 *Sino-i Technology, Ltd.                        19,383,158          509,143
  Sinolink Worldwide Holdings, Ltd.               2,314,000          274,117
  Sinopec Kantons Holdings, Ltd.                  1,296,000          185,231
 *Skynet (International Group) Holdings,                                    
    Ltd.                                            244,240              314
 *Softbank Investment International                                         
    (Strategic), Ltd.                             1,434,000           16,618
 *Solartech New Shares                               49,600            3,640
 *South China Brokerage Co., Ltd.                 4,872,000           28,230
 *South China Industries, Ltd.                    1,124,000           30,393
  Southeast Asia Properties &                                               
    Finance, Ltd.                                   263,538           39,363
  Starlight International Holdings,                                         
    Ltd. (New)                                    1,311,292          209,366
  Starlite Holdings, Ltd.                           336,000           35,909
 *Stelux Holdings International, Ltd.             1,307,702           45,463
 *Styland Holdings, Ltd.                            101,808              328
  Sun Hing Vision Group Holdings, Ltd.              206,000           78,911
  Sun Hung Kai & Co., Ltd.                        2,048,600          458,978
 *Sun Innovation Holdings, Ltd.                   1,420,360            2,926
 *Sun Media Group Holdings, Ltd.                  9,814,000           37,910
 *Sunday Communications, Ltd.                     4,441,000          174,408
 #Sunway International Holdings, Ltd.               866,000           40,700
 *Suwa International Holdings, Ltd.               1,062,000           42,391
 *TCC International Holdings, Ltd.                  678,000          104,760
 *Tack Hsin Holdings, Ltd.                          542,000           10,468
  Tai Cheung Holdings, Ltd.                       1,013,000          319,566
  Tai Fook Securities Group, Ltd.                   590,000           74,450
  Tai Sang Land Development, Ltd.                   471,984          120,331
  Tak Sing Alliance Holdings, Ltd.                2,909,865          104,910
 #Tan Chong International, Ltd.                     666,000          124,345
 *Termbray Industries International                                         
    (Holdings), Ltd.                              2,304,900          118,713
  Tern Properties Co., Ltd.                          61,200           12,214
 *The Sun's Group, Ltd.                          17,004,000           21,895
 *Tian An China Investments Co., Ltd.             9,795,750  $       237,127
  Tian Teck Land, Ltd.                            1,098,000          328,708
 #Tianjin Development Holdings, Ltd.                846,000          400,325
 *Titan (Holdings), Ltd.                          4,900,000          201,898
 *Tomorrow International Holdings,                                          
    Ltd. New                                        165,000           20,821
 #Top Form International, Ltd.                    1,586,000          238,932
  Tristate Holdings, Ltd.                           138,000           32,873
  Truly International Holdings, Ltd.              1,014,000          940,060
  Tungtex (Holdings) Co., Ltd.                      788,000          306,928
 *Tysan Holdings, Ltd.                            1,040,773           23,050
 *U-Cyber Technology Holdings, Ltd.                 432,800           10,644
  U-Right International Holdings, Ltd.              896,000           48,455
  USI Holdings, Ltd.                                928,999          101,676
 *United Power Investment, Ltd.                   1,664,000           28,925
 *Universal Holdings Ltd.                         2,770,000           11,413
 *Universe International Holdings, Ltd.             573,339           13,879
  Van Shung Chong Holdings, Ltd.                    359,335           84,209
 *Vanda Systems & Communications                                            
    Holdings, Ltd.                                1,920,000          212,611
 #Varitronix International, Ltd.                    276,344          291,776
  Veeko International Holdings, Ltd.              1,420,000           32,546
  Victory City International Holdings, Ltd.         509,613          231,305
  Vitasoy International Holdings, Ltd.            1,033,000          264,691
 *Wah Ha Realty Co., Ltd.                           278,600           47,352
 *Wah Nam International                              38,696            1,246
  Wai Kee Holdings, Ltd.                          1,265,738          161,348
 *Wang ON Group Ltd New                              46,440            5,083
  Wellnet Holdings, Ltd.                          2,059,200          159,087
 *Winfoong International, Ltd.                    1,210,000           26,019
  Wing On Co. International, Ltd.                   565,000          451,051
  Wing Shan International, Ltd.                     896,000           49,032
 *Winsan China Investment Group, Ltd.             1,296,000           10,847
  Wong's International (Holdings), Ltd.             400,641           60,357
 *Wonson International Holdings, Ltd.             4,040,000           12,485
  World Houseware (Holdings), Ltd.                  605,700           25,737
 *Xinao Gas Holdings, Ltd.                        1,094,000          584,589
  Y.T. Realty Group, Ltd.                           965,000           55,915
  YGM Trading, Ltd.                                 228,000          130,641
  Yangtzekiang Garment Manufacturing                                        
    Co., Ltd.                                       405,000           85,523
 *Yanion International Holdings, Ltd.               118,000            6,229
 *Yaohan International Holdings, Ltd.               974,000                0
 *Yau Lee Holdings, Ltd.                            534,000           18,565
 *Yip's Chemical Holdings, Ltd.                     372,000           87,177
 *Yugang International, Ltd.                     11,916,000           90,525
 *Yunnan Enterprises Holdings, Ltd.                 240,000           14,524
 *Zhu Kuan Development Co., Ltd.                    646,000           28,281
 *e-New Media Co., Ltd.                             320,000           10,054
 *eSun Holdings, Ltd.                               653,600           19,777
                                                             ---------------
TOTAL COMMON STOCKS                                                         
   (Cost $65,181,292)                                             43,828,366
                                                             ---------------
RIGHTS/WARRANTS -- (0.0%)                                                   
  *Allied Properties, Ltd. Warrants                                         
     12/06/04                                        80,260                0
  *Applied China, Ltd. Warrants 04/30/04            207,250              267
  *Climax International Co., Ltd.                                           
     Warrants 02/08/04                               11,200               14
  *Goldbond Group Holdings, Ltd.                                            
     Rights 12/15/03                                399,600            5,145
                                                             ---------------

 157

N-CSR
162nd “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 162nd
                                                        [Enlarge/Download Table]

                                                                                    SHARES           VALUE+
                                                                           ---------------  ---------------
                                                                                                           
TOTAL RIGHTS/WARRANTS                                                                                      
  (Cost $100,548)                                                                           $         5,426
                                                                                            ---------------
INVESTMENT IN CURRENCY -- (0.0%)                                                                           
 *Hong Kong Dollars                                                                                        
    (Cost $2,086)                                                                                     2,086
                                                                                            ---------------
  TOTAL -- HONG KONG                                                                                       
    (Cost $65,283,926)                                                                           43,835,878
                                                                                            ---------------
NEW ZEALAND -- (9.3%)                                                                                      
COMMON STOCKS -- (9.3%)                                                                                    
 *AFFCO Holdings, Ltd.                                                           1,640,950          241,168
  CDL Hotels NZ, Ltd.                                                            1,243,344          317,796
  CDL Investments NZ, Ltd.                                                         286,445           53,081
  Cavalier Corp., Ltd.                                                             249,212          883,810
  Colonial Motor Co., Ltd.                                                          93,695          170,032
 *Cue Energy Resources NL                                                          452,354           16,476
  DB Breweries, Ltd.                                                               312,589        1,557,991
  Ebos Group, Ltd.                                                                  82,808          169,324
 *Evergreen Forests, Ltd.                                                          323,301           92,964
 *Fletcher Challenge Forests, Ltd.                                                 475,200          397,781
  Hallenstein Glassons Holdings, Ltd.                                              206,438          397,057
  Hellaby Holdings, Ltd.                                                           179,079          550,410
  Horizon Energy Distribution, Ltd.                                                 40,420           92,465
 *Kingsgate International Corp., Ltd.                                              479,679           73,563
 *Met Lifecare, Ltd.                                                               234,168          329,190
 #Michael Hill International, Ltd.                                                 137,246          403,417
 *New Zealand Oil & Gas, Ltd.                                                      420,122           96,644
  New Zealand Refining Co., Ltd.                                                    72,719          760,200
  Northland Port Corp. (New Zealand),                                                                      
    Ltd.                                                                           219,997          411,890
  Nuplex Industries, Ltd.                                                          229,674          610,523
 *Pacific Retail Group, Ltd.                                                       194,156          303,958
  Port of Tauranga, Ltd.                                                           541,952        1,423,310
  Powerco, Ltd.                                                                    728,453          837,859
 *Provenco Group, Ltd.                                                             281,600           79,174
  Pyne Gould Guinness, Ltd.                                                        146,734          117,203
  Restaurant Brand New Zealand, Ltd.                                               369,175          261,850
 *Richina Pacific, Ltd.                                                           274,6 44           59,669
 *Rubicon, Ltd.                                                                    395,021          194,360
 *Ryman Healthcare Group, Ltd.                                                     300,000          406,400
  Sanford, Ltd.                                                                    340,412        1,161,563
  Scott Technology, Ltd.                                                            54,083          115,772
 *Seafresh Fisheries                                                                80,520            1,441
 *Sky City Leisure, Ltd.                                                            15,236           10,904
  South Port New Zealand, Ltd.                                                      30,744           28,486
  Steel & Tube Holdings, Ltd.                                                      303,825          722,210
 *Tasman Farms                                                                     157,056                0
  Taylors Group, Ltd.                                                               29,646           42,244
  Tourism Holdings, Ltd.                                                           278,652          254,621
 *Trans Tasman Properties, Ltd.                                                  1,921,308          441,973
*#Tranz Rail Holdings, Ltd.                                                        674,271          641,974
  Waste Management NZ, Ltd.                                                        349,572          862,225
  Williams & Kettle, Ltd.                                                           38,372          118,674
  Wrightson, Ltd.                                                                  478,020          415,415
                                                                                            ---------------
TOTAL COMMON STOCKS                                                                                        
  (Cost $12,215,156)                                                                             16,127,067
                                                                                            ---------------
INVESTMENT IN CURRENCY -- (0.0%)                                                                           
 *New Zealand Dollar                                                                                       
    (Cost $17,682)                                                                                   17,615
                                                                                            ---------------
TOTAL -- NEW ZEALAND                                                                                       
  (Cost $12,232,838)                                                                        $    16,144,682
                                                                                            ---------------
UNITED STATES -- (0.0%)                                                                                    
COMMON STOCKS -- (0.0%)                                                                                    
 *Exergy, Inc.                                                                                             
    (Cost $0)                                                                        7,260                0
                                                                                            ---------------
MALAYSIA -- (0.1%)                                                                                         
COMMON STOCKS -- (0.1%)                                                                                    
 *Autoways Holdings Berhad                                                          10,000            3,395
 *Promet Berhad                                                                  1,143,000           87,229
 *RNC Corp. Berhad                                                                  33,000            3,561
 *Rekapacific Berhad                                                               473,000                0
 *Saship Holdings Berhad                                                           223,520           52,351
 *Versatile Creative Berhad                                                          3,000            6,947
 *Wing Tiek Holdings Berhad                                                         95,800           22,437
                                                                                            ---------------
TOTAL COMMON STOCKS                                                                                        
  (Cost $1,278,766)                                                                                 175,920
                                                                                            ---------------
RIGHTS/WARRANTS -- (0.0%)                                                                                  
 *Versatile Creative Rights Pay                                                                            
    Date Open                                                                                              
    (Cost $0)                                                                        6,000                0
                                                                                            ---------------
TOTAL -- MALAYSIA                                                                                          
  (Cost $1,278,766)                                                                                 175,920
                                                                                            ---------------
JAPAN -- (0.0%)                                                                                            
COMMON STOCKS -- (0.0%)                                                                                    
 *Sansui Electric Co., Ltd.                                                                                
    (Cost $25,906)                                                                 252,000           50,621
                                                                                            ---------------


                                                                                 FACE                      
                                                                                 AMOUNT              VALUE+
                                                                           ---------------  ---------------
                                                                                 (000)                     
                                                                                                           
TEMPORARY CASH                                                                                             
  INVESTMENTS -- (11.3%)                                                                                   
  Repurchase Agreement, PNC Capital Markets, Inc. 0.82%, 12/01/03                                          
    (Collateralized by $2,785,000 FHLB Notes 1.875%, 02/15/05, valued at                                   
     $2,805,888) to be repurchased at $2,764,189 (Cost $2,764,000)        $         2,764        2,764,000 
  Repurchase agreement, Mizuho Securities USA, 1.05%, 12/01/03                                             
    (Collateralized by $17,176,000 U.S. Treasury Obligations, rates                                        
    ranging from 2.625% to 4.25%, maturities ranging from 11/15/06 to                                      
    11/15/13, valued at $16,983,984) to be repurchased at $16,985,470                                      
    (Cost $16,983,984)@                                                             16,984       16,983,984
                                                                                            ---------------
TOTAL TEMPORARY                                                                                            
  CASH INVESTMENTS                                                                                         
  (Cost $19,747,984)                                                                             19,747,984
                                                                                            ---------------
TOTAL INVESTMENTS -- (100.0%)                                                                              
  (Cost $188,618,906)++                                                                     $   174,032,722
                                                                                            ===============

+  See Note B to Financial Statements.                                        
@  Security purchased with cash proceeds from securities on loan              
*  Non-Income Producing Securities                                            
#  Total or Partial Securities on Loan                                        
++  The cost for federal income tax purposes is $189,625,204.                   

 158

N-CSR
163rd “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 163rd
 THE UNITED KINGDOM SMALL COMPANY SERIES

 SCHEDULE OF INVESTMENTS

 NOVEMBER 30, 2003

                                                                [Download Table]

                                               SHARES           VALUE+
                                      ---------------  ---------------
                                                                      
UNITED KINGDOM -- (98.0%)                                             
COMMON STOCKS -- (96.7%)                                              
  4imprint P.L.C.                              50,375  $        72,776
  600 Group P.L.C.                            100,910          105,433
  AEA Technology P.L.C.                        31,245          137,567
  AGA Food Service Group P.L.C.                76,000          306,515
  AIM Group P.L.C.                             32,063           51,008
 *API Group P.L.C.                             51,500           62,887
  Abacus Group P.L.C.                          75,000          303,127
  Abbeycrest P.L.C.                            42,590           49,443
  Abbot Group P.L.C.                          103,595          302,889
  Aberdeen Asset Management P.L.C.            100,000          141,029
 *Aberdeen Asset Management P.L.C.            125,050          161,302
  Acal P.L.C.                                  13,671          112,271
 *Acambis P.L.C.                               61,000          323,653
 *Adam & Harvey Group P.L.C.                   10,500              361
 *Advanced Medical Solutions P.L.C.            29,802            4,997
 *Advanced Power Components,                                          
     Ltd.                                      47,871           15,026
  Aggreko P.L.C.                              158,000          379,076
 *Airflow Streamlines P.L.C.                   20,500           20,097
  Airsprung Furniture Group P.L.C.             58,000           69,827
  Alba P.L.C.                                 105,025        1,106,353
  Alexandra P.L.C.                             86,243          128,303
  Alexon Group P.L.C.                         116,632          586,731
  Alpha Airports Group P.L.C.                 392,541          509,715
  Alphameric P.L.C.                           172,688          259,876
  Alumasc Group P.L.C.                        100,245          274,129
  Alvis P.L.C.                                191,010          584,751
  Amberley Group P.L.C.                       200,000           26,658
  Amstrad P.L.C.                              149,652          343,605
 *Anglesey Mining P.L.C.                       55,000            2,483
  Anglo Eastern Plantations P.L.C.             57,166          145,019
 *Anite Group P.L.C.                          250,000          211,759
 *Antisoma P.L.C.                             163,333          110,258
 *Applied Optical Technologies P.L.C.          75,383           34,681
 *Arena Leisure P.L.C.                        350,516          244,151
 *Argonaut Games, Ltd.                        100,000           12,039
  Arla Foods UK P.L.C.                        742,432          549,061
 *Arm Holdings P.L.C.                         127,000          262,108
  Arriva P.L.C.                                37,770          249,769
  Ashtenne Holdings P.L.C.                     50,000          261,850
  Atkins Ws P.L.C.                             63,000          475,664
  Austin Reed Group P.L.C.                     68,999          166,137
  Autologic Holdings P.L.C.                    17,489           96,252
  Avesco P.L.C.                                29,998           72,488
  Aveva Group P.L.C.                           10,000           81,436
  Avis Europe P.L.C.                          362,720          673,737
  Avon Rubber P.L.C.                           25,041           94,963
 *Axis-Shield P.L.C.                           58,284          164,395
  Axon Group P.L.C.                            19,756           45,870
 *BNB Resources P.L.C.                         49,000           19,172
  BPP Holdings P.L.C.                         106,500          523,855
  BSS Group P.L.C.                             47,905          463,445
 *BTG P.L.C.                                   51,000          171,041
  BWD Securities P.L.C.                        10,951           91,346
  Babcock International Group P.L.C.          310,464          688,805
  Baggeridge Brick P.L.C.                      98,000          225,853
 *Bailey (C.H.) P.L.C.                        109,500  $        12,712
 *Bailey (C.H.) P.L.C. Class B                 10,000            4,902
  Barr (A.G.) P.L.C.                           43,000          441,877
  Beattie (James) P.L.C.                      132,247          295,682
  Bellway P.L.C.                               93,000        1,087,645
  Ben Bailey P.L.C.                            26,000          152,484
  Benchmark Group P.L.C.                       36,513          152,598
  Bespak P.L.C.                                55,918          420,751
 *Biocompatibles International P.L.C.          12,430           35,915
  Biotrace International P.L.C.                75,000          179,941
  Birse Group P.L.C.                          421,901          110,656
  Black Arrow Group P.L.C.                     56,500           60,247
  Blacks Leisure Group P.L.C.                  60,959          359,082
 *Blagden Industries P.L.C.                   131,092                0
  Blick P.L.C.                                 68,555          275,899
  Bloomsbury Publishing P.L.C.                 62,525          281,203
  Body Shop International P.L.C.              194,000          407,058
  Bodycote International P.L.C.               159,058          456,843
 *Boosey & Hawkes P.L.C.                       35,500          131,269
  Boot (Henry) P.L.C.                          47,000          270,793
  Bovis Homes Group P.L.C.                     72,000          539,282
 *Bradstock Group P.L.C.                        5,200            3,935
  Brammer (H.) P.L.C.                         119,123          323,704
  Brewin Dolphin Holdings P.L.C.              219,762          326,937
  Bristol Water Holdings P.L.C.                60,000          300,805
 *Britannic P.L.C.                            121,800          557,217
  British Polythene Industries P.L.C.          56,740          291,780
  British Vita P.L.C.                         125,600          561,640
  Brixton P.L.C.                              151,200          652,711
 *Brown & Jackson P.L.C.                      296,819          484,965
  Brown (N) Group P.L.C.                      173,480          325,215
  Burndene Investments P.L.C.                 175,001          230,249
  Burtonwood Brewery P.L.C.                    38,000          216,325
  Business Post Group P.L.C.                   56,000          482,526
  CD Bramall P.L.C.                            68,166          524,633
 *CLS Holdings P.L.C.                         122,907          573,907
  CML Microsystems P.L.C.                      28,361          129,991
  Caffyns P.L.C.                                6,000           60,883
 *Cairn Energy P.L.C.                          92,636          632,507
 *Cammell Laird Holdings P.L.C.               256,158           26,434
  Capital & Regional P.L.C.                    26,432          176,383
  Capital Radio P.L.C.                         48,810          393,710
  Carclo P.L.C.                               100,463           67,385
  Care UK P.L.C.                               64,835          292,708
  Carillion P.L.C.                            125,317          302,818
 *Carlisle Holdings, Ltd.                       8,709           51,675
  Carpetright P.L.C.                          102,500        1,323,911
  Carr's Milling Industries P.L.C.             19,000          100,973
  Castings P.L.C.                              79,000          244,565
 *Cenes Pharmaceuticals P.L.C.                298,612           44,938
  Chamberlin & Hill P.L.C.                     18,000           53,402
  Chapelthorpe P.L.C.                         617,618          172,611
  Charles Taylor Consulting P.L.C.             66,743          324,853
 *Charter P.L.C.                               88,743          158,731
 *Che Group P.L.C.                             51,533           34,566
  Chelsfield P.L.C.                            53,402          290,228
  Chemring Group P.L.C.                        49,000          322,346
 *Chime Communications P.L.C.                  71,838           40,154

 159

N-CSR
164th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 164th
                                                                [Download Table]

                                                  SHARES           VALUE+
                                         ---------------  ---------------
                                                                         
 Chloride Group P.L.C.                           485,500  $       413,323
 Christie Group P.L.C.                            53,263           61,834
 Chrysalis Group P.L.C.                          268,082          987,833
 Churchill China P.L.C.                           30,000           93,389
 City Centre Restaurants P.L.C.                  174,871          221,807
 Clarkson (Horace) P.L.C.                         44,733          326,204
*Clinical Computing P.L.C.                        46,666           34,110
 Clinton Cards P.L.C.                            433,380          682,001
 Colefax Group P.L.C.                             60,000           87,713
 Collins Stewart Tullett P.L.C.                   31,538          244,085
*Colt Telecom Group P.L.C.                       257,000          432,061
 Communisis P.L.C.                               237,134          373,173
 Compel Group P.L.C.                               5,000            6,321
 Computacenter P.L.C.                             51,000          413,568
*Cookson Group P.L.C.                          1,172,068          735,768
 Coral Products P.L.C.                            50,000           47,726
*Corporate Services Group P.L.C.                 246,600           45,063
 Cosalt P.L.C.                                    30,700          193,512
 Countryside Property P.L.C.                      94,086          292,886
 Countrywide Assured Group P.L.C.                202,374          491,630
 Courts P.L.C.                                   110,722          521,771
*Cox Insurance Holdings P.L.C.                   244,666          313,491
 Cranswick P.L.C.                                 19,532          104,976
 Crest Nicholson P.L.C.                          267,250        1,374,308
 Creston P.L.C.                                    6,250           12,308
 Croda International P.L.C.                       79,635          362,948
 Cropper (James) P.L.C.                           22,000           62,431
*Culver Holdings P.L.C.                              338               90
*DCS Group P.L.C.                                 10,000            2,365
 DFS Furniture Co. P.L.C.                         66,300          431,023
 DTZ Holdings P.L.C.                             114,500          243,202
 Daejan Holdings P.L.C.                           25,000          809,413
 Dairy Crest Group P.L.C.                         76,000          612,376
*Dana Petroleum P.L.C.                            33,333          128,702
*Danka Business Systems P.L.C.                    15,000           11,609
 Dart Group P.L.C.                                74,000          164,179
 Davis Service Group P.L.C.                       80,878          497,976
*Dawson International P.L.C.                     100,688           22,512
 De la Rue P.L.C.                                112,000          556,687
 DeVere Group P.L.C.                              69,600          466,841
 Dechra Pharmaceiticals P.L.C.                    50,000          107,062
 Delta P.L.C.                                    200,000          283,778
 Deltron Electronics P.L.C.                        8,621            9,119
*Deltron Electronics P.L.C.                                              
   (Rfd Issue Line)                                  718              759
*Densitron International P.L.C.                   74,175           23,282
 Derwent Valley Holdings P.L.C.                   90,000        1,157,815
 Development Securities P.L.C.                    50,000          306,137
 Devro P.L.C.                                    180,143          281,938
 Dewhurst P.L.C.                                   9,000           17,801
 Dewhurst P.L.C. Class A Non-Voting               15,500           25,458
 Diagonal P.L.C.                                  34,200           27,939
*Dickinson Legg Group P.L.C.                      11,935            6,620
 Dicom Group P.L.C.                               30,000          372,781
*Dimension Data Holdings P.L.C.                  832,000          529,444
 Diploma P.L.C.                                   22,648          176,840
 Domestic & General Group P.L.C.                  17,223          159,214
 Domino Printing Sciences P.L.C.                 355,935        1,049,857
 Domnick Hunter Group P.L.C.                      30,000          210,254
*Dowding & Mills P.L.C.                          336,440           56,417
 Dyson Group P.L.C.                               42,750          197,781
 East Surrey Holdings P.L.C.                      36,800  $       192,405
*Easynet Group P.L.C.                             75,000          154,788
*Ebookers P.L.C.                                  37,800          281,823
*Eidos P.L.C.                                     55,300          137,194
 Eldridge Pope & Co. P.L.C.                       25,000           72,449
 Eleco P.L.C.                                    104,685           57,614
 Electronic Data Processing P.L.C.                55,200           67,880
*Emess P.L.C.                                    288,250           50,195
 Ennstone P.L.C.                                 295,323          198,087
*Enodis P.L.C.                                   275,329          404,868
 Eurocopy P.L.C.                                  41,051           25,770
*Eurodis Electron P.L.C.                         188,125           47,724
 Euromoney Institutional Investors                                       
   P.L.C.                                         65,000          428,161
 European Colour P.L.C.                           82,090           24,707
 European Motor Holdings P.L.C.                  118,325          349,008
*European Telecom P.L.C.                           7,000              361
*Evans of Leeds Contingent Units                                         
   P.L.C.                                         80,000                0
 Expro International Group P.L.C.                 54,966          224,519
*FII Group P.L.C.                                 41,166            4,779
 FKI P.L.C.                                      360,000          681,068
 Fenner P.L.C.                                    92,146          141,046
*Ferguson International Holdings                                         
   P.L.C.                                         89,105           53,637
 Ferraris Group P.L.C.                            10,800           27,119
*Fibernet Group P.L.C.                            45,339           79,147
 Filtronic P.L.C.                                  4,138           31,385
 Financial Objects P.L.C.                          7,000            3,251
 Findel P.L.C.                                   142,288          714,572
 First Choice Holidays P.L.C.                    325,535          750,236
 First Technology P.L.C.                         117,111          596,190
 Fisher (James) & Sons P.L.C.                     76,000          333,310
 Forminster P.L.C.                                43,333           21,613
 Forth Ports P.L.C.                              140,161        2,386,478
 Fortress Holdings P.L.C.                        120,728           54,505
 Freeport Leisure P.L.C.                          25,814          166,932
 French Connection Group P.L.C.                   25,000          723,634
 Fuller, Smith & Turner P.L.C. Series A           20,000          203,804
 Fulmar P.L.C.                                   107,500          146,984
*Future Network P.L.C.                           315,000          342,662
 GB Group P.L.C.                                 250,000          102,117
 GWR Group P.L.C.                                 80,700          371,272
 Galliford Try P.L.C.                            517,870          380,761
 Game Group P.L.C.                               275,000          297,967
 Games Workshop Group P.L.C.                      13,519          167,406
 Gaming International P.L.C.                      14,000            8,789
*Garton Engineering P.L.C.                        10,248                0
*Gaskell P.L.C.                                   36,000           13,931
 Geest P.L.C.                                     75,278          647,341
 Gibbs & Dandy P.L.C.                              4,500           52,628
 Gleeson (M.J.) Group P.L.C.                      22,471          482,123
*Glotel P.L.C.                                    15,300           26,972
 Go-Ahead Group P.L.C.                            40,000          692,419
 Goldshield Group P.L.C.                          14,400           48,294
 Gowrings P.L.C.                                   5,000            5,289
 Grainger Trust, Ltd.                             22,000          565,286
 Great Portland Estates P.L.C.                   125,900          524,006
 Greene King P.L.C.                               44,162          635,345
*Greenwich Resources P.L.C.                      438,664           15,089
 Greggs P.L.C.                                    26,000        1,436,743

 160

N-CSR
165th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 165th
                                                                [Download Table]

                                               SHARES           VALUE+
                                      ---------------  ---------------
                                                                      
 Guiness Peat Group P.L.C.                    176,171  $       198,459
*Gyrus Group P.L.C.                            55,072          156,756
 Halma P.L.C.                                 227,000          530,958
 Halstead (James) Group P.L.C.                 52,208          305,289
*Hampson Industries P.L.C.                    105,886           25,040
*Hampton Trust P.L.C.                         232,050           14,966
 Hardys & Hansons P.L.C.                       48,000          355,806
*Hartstone Group P.L.C.                       240,263            3,926
*Harvey Nash Group P.L.C.                     183,750          252,821
 Havelock Europa P.L.C.                        27,660           38,295
*Hawtin P.L.C.                                196,500           28,726
 Haynes Publishing Group P.L.C.                14,703           82,183
 Headlam Group P.L.C.                         152,974          861,636
 Heath (Samuel) & Sons P.L.C.                   7,500           45,792
 Helical Bar P.L.C.                            35,000          452,970
 Helphire Group P.L.C.                        149,600          536,454
 Henlys Group P.L.C.                          133,303          206,337
 Heywood Williams Group P.L.C.                140,400          201,627
 Highbury House Communications                                        
   P.L.C.                                     439,166          185,050
 Highway Insurance Holdings P.L.C.            204,751          136,456
 Hill & Smith Holdings P.L.C.                  86,850          143,396
 Hiscox P.L.C.                                171,500          418,102
 Hit Entertainment P.L.C.                     119,691          551,171
 Hitachi Capital (UK) P.L.C.                   53,912          192,397
 Holidaybreak P.L.C.                           92,974          879,467
 Homestyle Group P.L.C.                        45,692          100,588
*Hornby P.L.C.                                 10,000          193,055
 House of Fraser P.L.C.                       371,650          624,807
 Hunting P.L.C.                               223,174          376,153
 Huntleigh Technology P.L.C.                   24,925          110,384
*Huntsworth P.L.C.                            108,000           39,007
*Hyder Consulting P.L.C.                       16,308           32,675
*IAF Group P.L.C.                              30,000            3,741
 IFX Group P.L.C.                              34,486           71,767
*IMS Group P.L.C.                              75,000            5,805
*IQE P.L.C.                                   132,400           40,988
 ISIS Asset Management P.L.C.                  88,039          355,826
*Imagination Technologies Group                                       
   P.L.C.                                     189,698          215,329
 Incepta Group P.L.C.                          85,443          159,442
 Inchcape P.L.C.                               20,000          432,031
*Industrial & Commercial Holdings                                     
   P.L.C.                                       5,000              129
 Infast Group P.L.C.                          301,224          129,516
 Informa Group P.L.C.                          81,229          394,661
*Intec Telecom Systems P.L.C.                 100,000          118,671
 Intelek P.L.C.                                99,880           18,896
 Intserve P.L.C.                              144,534          626,420
 Invensys P.L.C.                              489,000          168,203
*Inveresk P.L.C.                              150,000           47,081
 Isoft Group P.L.C.                            76,540          447,572
 Isotron P.L.C.                                50,325          380,830
 Ite Group P.L.C.                             247,186          201,935
 Itnet P.L.C.                                  36,278          190,612
 JJB Sports P.L.C.                            145,000          666,470
 JKX Oil and Gas P.L.C.                       220,533          162,145
 Jarvis Hotels P.L.C.                         215,318          553,626
 Jarvis P.L.C.                                193,379          718,387
*Jarvis Porter Group P.L.C.                    99,894           33,502
 John David Group P.L.C.                      114,500          324,926
 Johnson Service Group P.L.C.                 125,535  $       747,027
 Johnston Group P.L.C.                         26,000          143,764
 Joseph (Leopold) Holdings P.L.C.              14,000          207,072
 KBC Advanced Technologies P.L.C.              25,000           15,909
*Kalamazoo Computer Group P.L.C.               56,120            2,654
 Keller Group P.L.C.                          123,128          489,175
 Kensington Group P.L.C.                       45,000          252,305
*Kewill Systems P.L.C.                         10,000            9,803
 Kidde P.L.C.                                 232,000          415,967
 Kier Group P.L.C.                             21,293          223,389
 Kiln P.L.C.                                  200,000          316,456
*Kleeneze P.L.C.                               84,300          213,128
*Knowledge Support Systems Group                                      
   P.L.C.                                      25,000              344
 Laing (John) P.L.C.                          275,961          835,325
 Laird Group P.L.C.                            84,300          394,359
 Lambert Howarth Group P.L.C.                  25,200          113,119
*Laura Ashley Holdings P.L.C.                 623,937          128,771
 Lavendon Group P.L.C.                         50,092          114,582
*Leeds United P.L.C.                           66,000            2,696
 Lincat Group P.L.C.                           19,000          127,442
 Linton Park P.L.C.                            39,000          271,653
 Linx Printing Technologies P.L.C.             27,000          173,440
 Litho Supplies P.L.C.                         20,000           15,995
 London Bridge Software Holdings                                      
   P.L.C.                                     157,269          131,184
*London Clubs International P.L.C.            144,646          187,823
 London Merchant Securities P.L.C.            151,000          423,311
 London Scottish Bank P.L.C.                  263,000          554,098
 Lookers P.L.C.                                53,160          239,542
*Lorien P.L.C.                                 60,000           89,261
 Low & Bonar P.L.C.                            95,000          123,358
 Luminar P.L.C.                                43,000          294,708
*M.L. Laboratories P.L.C.                      51,042           27,433
 MFI Furniture Group P.L.C.                    60,855          147,574
 MS International P.L.C.                       71,500           45,499
 MSB International P.L.C.                      16,000           22,427
 Macfarlane Group P.L.C.                      228,287           90,303
 Macro 4 P.L.C.                                42,500           89,175
 Maiden Group P.L.C.                           16,800           72,234
 Mallett P.L.C.                                24,837          115,121
 Management Consulting Group P.L.C.           310,972          136,382
 Manchester United P.L.C.                     161,000          728,244
 Manganese Bronze Holdings P.L.C.              32,184          100,464
*Marlborough Stirling P.L.C.                  150,000          124,475
 Marshalls P.L.C.                             225,800          977,662
*Martin International Holdings P.L.C.         135,800           38,537
*Marylebone Warwick Balfour Group                                     
   P.L.C.                                      73,345           68,433
 Mayflower Corp. P.L.C.                       550,636          298,312
 McAlpine (Alfred) P.L.C.                     196,111          951,987
 McBride P.L.C.                                40,000           89,777
 McCarthy & Stone P.L.C.                      194,968        1,679,949
 McKay Securities P.L.C.                       68,500          212,060
 McLeod Russel Holdings P.L.C.                 74,524           24,673
*Medical Solutions P.L.C.                     126,658          106,195
*Medisys P.L.C.                               150,134           32,276
 Meggitt P.L.C.                               160,633          646,466
 Mentmore P.L.C.                              236,561          362,100
 Menzies (John) P.L.C.                         57,314          315,432
*Merant P.L.C.                                172,500          369,363

 161

N-CSR
166th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 166th
                                                                [Download Table]

                                             SHARES           VALUE+
                                    ---------------  ---------------
                                                                    
 Merchant Retail Group P.L.C.               185,666  $       542,846
 Merrydown P.L.C.                            59,927           83,999
 Mersey Docks & Harbour Co. P.L.C.           50,170          547,483
 Metal Bulletin P.L.C.                       95,500          287,433
 Metalrax Group P.L.C.                      358,740          524,438
 Mice Group P.L.C.                          139,909          184,078
 Michael Page International P.L.C.          225,000          726,537
*Microgen P.L.C.                             52,770           38,572
 Millennium and Copthorne Hotels                                    
   P.L.C.                                    80,077          422,462
 Minerva P.L.C.                              94,000          342,735
 Mitie Group P.L.C.                         500,000        1,051,269
 Molins P.L.C.                               68,000          398,803
 Monsoon P.L.C.                              71,000          172,787
*Morgan Crucible Company P.L.C.             136,000          321,031
 Morgan Sindall P.L.C.                       66,000          407,506
 Morse P.L.C.                                36,866           85,279
 Moss Brothers Group P.L.C.                 163,400          158,077
 Mowlem (John) & Co. P.L.C.                 342,030        1,223,553
 Mtl Instruments Group P.L.C.                 4,348           12,339
 Mucklow (A & J) Group P.L.C.               175,000          797,589
*My Travel Group P.L.C.                      24,000            4,747
 NHP P.L.C.                                 171,875          419,016
*NSB Retail P.L.C.                          300,000           79,974
*NXT P.L.C.                                  26,935           45,861
 National Express Group P.L.C.               25,000          262,602
 Nestor Healthcare Group P.L.C.             180,200          976,249
 New Look Group P.L.C.                      107,041          573,000
 Newcastle United P.L.C.                    148,923           89,645
 Nichols P.L.C.                              66,550          156,234
 Nord Anglia Education P.L.C.                 5,000           18,704
*Nord Anglia Education RFD                      454            1,659
 Northamber P.L.C.                           75,888           84,836
 Northern Foods P.L.C.                       41,000           97,310
*Northgate Information Solutions                                    
   P.L.C.                                   342,029          301,475
 Northgate P.L.C.                           118,200        1,135,366
 Novar P.L.C.                               260,465          573,396
*OEM P.L.C.                                  12,000            8,771
*OM2000 P.L.C.                               41,440                0
 Ocean Wilsons Holdings, Ltd.                84,250          189,093
*Orbis P.L.C.                                11,428            2,899
 Ottakar's P.L.C.                            30,000          183,424
 Owen (H.R.) P.L.C.                          34,000          102,332
*Oxford Biomedica, Ltd.                      75,000           24,508
*Oxford Biomedica, Ltd. New Shares           40,500           13,234
 Oxford Instruments P.L.C.                   43,051          134,386
 PHS Group P.L.C.                           320,000          448,542
*PPL Therapeutics P.L.C.                     43,529            3,369
 PSD Group P.L.C.                            43,500          211,350
 PZ Cuzzons P.L.C.                           22,000          411,668
*Pace Micro Technology P.L.C.               292,500          286,745
 Paladin Resources P.L.C.                   342,500          490,388
*Palmaris Capital P.L.C.                     42,500            9,502
 Paragon Group of Companies P.L.C.           70,000          382,542
 Parity Group P.L.C.                        241,406           50,860
 Park Group P.L.C.                          291,600          144,185
*Partridge Fine Arts P.L.C.                  58,000           74,316
 Pendragon P.L.C.                           239,375          792,510
 Penna Consulting P.L.C.                     33,000           64,985
 Peterhouse Group P.L.C.                     85,427          192,469
*Pharmagene P.L.C.                          160,000  $       187,122
*Photo-Me International P.L.C.              235,620          417,392
*Phytopharm P.L.C.                           32,600          126,152
 Pillar Property P.L.C.                      66,800          585,925
 Pittards P.L.C.                             60,985           63,456
 Planit Holdings P.L.C.                     235,000           97,001
*Plantation & General P.L.C.                 70,623           20,041
*Plasmon P.L.C.                             100,000          373,211
 Portmeirion Group P.L.C.                    22,856           70,757
 Porvair P.L.C.                              62,000          177,009
 Premier Farnell P.L.C.                      18,000           80,490
*Premier Oil P.L.C.                          69,648          502,500
*Pressac P.L.C.                              78,129           29,562
*Probus Estates P.L.C.                       83,333            2,042
*Protherics P.L.C.                          506,828          385,717
*Provalis P.L.C.                            375,538           56,514
*Psion P.L.C.                               257,200          343,927
*QA P.L.C.                                   79,475            7,176
*Queens Moat Houses P.L.C.                  159,000           23,244
 Quintain Estates & Development                                     
   P.L.C.                                   108,350          633,582
*Qxl Ricardo P.L.C.                             130              364
 RAC P.L.C.                                  69,500          657,420
 RM P.L.C.                                   45,490          113,835
*RMS Communications P.L.C.                   15,000                0
 ROK property solutions P.L.C.               57,501          234,874
 RPC Group P.L.C.                            43,400          139,581
 RPS Group P.L.C.                           192,594          524,181
 Radamec Group P.L.C.                        35,000           23,175
 Radstone Technology P.L.C.                  40,384          261,499
 Ransom (William) & Son P.L.C.               30,000           19,349
*Redbus Imterhouse P.L.C.                   137,500           18,032
 Redrow P.L.C.                              116,437          626,302
*Redstone P.L.C.                             14,870            2,621
 Reed Health Group P.L.C.                   155,333          281,846
 Reg Vardy P.L.C.                           103,597          807,124
 Regent Inns P.L.C.                         158,468          220,761
 Reliance Security Group P.L.C.               9,000          103,321
 Renishaw P.L.C.                            146,806        1,363,430
 Renold P.L.C.                              144,000          206,797
 Ricardo P.L.C.                             114,409          327,619
*Richmond Oil & Gas P.L.C.                  220,000                0
*Robert Wiseman Dairies P.L.C.               40,000          176,458
 Rotork P.L.C.                              185,440        1,117,060
 Roxboro Group P.L.C.                         9,304           36,804
*Royal Doulton P.L.C.                       240,000           19,607
 Royalblue Group P.L.C.                      47,200          385,594
 Rutland Trust P.L.C.                       174,255          104,144
 S & U P.L.C.                                21,140          176,336
 SCS Upholstery P.L.C.                       29,000           84,790
*SFI Group P.L.C.                            26,713           14,242
 SHL Group P.L.C.                            41,650           64,111
 SIG P.L.C.                                 103,200          532,471
 SMG P.L.C.                                 185,295          345,771
 SSL International P.L.C.                   117,000          641,403
*Safeland P.L.C.                             25,000           21,928
 Salvesen (Christian) P.L.C.                183,157          192,154
 Sanctuary Group P.L.C.                     320,000          273,803
 Savills P.L.C.                             104,000          528,550
 Scapa Group P.L.C.                          44,337           21,351
*Scipher P.L.C.                              34,563            5,350

 162

N-CSR
167th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 167th
                                                                [Download Table]

                                                SHARES           VALUE+
                                       ---------------  ---------------
                                                                       
 Scottish & Newcastle P.L.C.                    56,639  $       357,501
 Scottish Radio Holdings P.L.C.                 19,200          268,299
 Secure Trust Group P.L.C.                      27,118          209,877
 Securicor P.L.C.                              328,750          497,558
 Senior P.L.C.                                 122,900           72,395
 Serco Group P.L.C.                             77,859          236,011
*Servicepower Technologies P.L.C.              150,000           85,133
 Severfield-Rowan P.L.C.                        20,000          114,371
 Shaftesbury P.L.C.                            137,500          595,934
 Shanks & McEwan Group P.L.C.                   92,900          169,362
 Shiloh P.L.C.                                  14,500           36,160
*ShopRite Group P.L.C.                         204,780           47,546
 Simon Group P.L.C.                            348,089          257,427
 Sinclair (William) Holdings P.L.C.             53,000           68,365
 Singer & Friedlander Group P.L.C.             119,400          428,159
 Sirdar P.L.C.                                  41,600           50,083
*Skyepharma P.L.C.                             382,000          496,027
 Smart (J.) & Co. (Contractors) P.L.C.          22,500          191,550
*Smart Approach Group P.L.C.                   251,985            7,476
 Smith (David S.) Holdings P.L.C.              200,000          542,618
*Soco International P.L.C.                      59,000          270,423
 Somerfield P.L.C.                             307,000          658,679
 South Staff Water Holdings P.L.C.             108,000        1,033,675
 Southampton Leisure Holdings P.L.C.            19,615           12,313
 Spectris P.L.C.                                76,760          561,733
 Speedy Hire P.L.C.                             50,000          316,026
 Spirax-Sarco Engineering P.L.C.                91,811          885,045
*Spirent P.L.C.                                584,137          663,061
*Sportech P.L.C.                               435,000          134,666
 Spring Group P.L.C.                           169,495          335,235
*Springwood P.L.C.                              37,500            5,482
 St. Ives P.L.C.                                63,000          429,073
 St. Modwen Properties P.L.C.                   74,800          332,550
 Staffware P.L.C.                               12,000          127,958
 Stanley (Charles) Group P.L.C.                 76,800          307,100
 Stanley Leisure Organisation P.L.C.           224,954        1,528,220
*Sterling Publishing Group P.L.C.               75,298           17,159
 Stylo P.L.C.                                   64,096           40,236
*Superscape P.L.C.                              15,745            8,395
*Surfcontrol P.L.C.                              7,000           98,239
 Swallowfield P.L.C.                            15,000           20,509
 Sygen International P.L.C.                    492,975          415,447
 Syltone P.L.C.                                 50,400          157,760
*Synstar P.L.C.                                143,000          178,307
 TT Electronics P.L.C.                          28,080           55,779
*Tadpole Technology P.L.C.                     109,090           22,280
*Tandem Group P.L.C.                           327,365                0
 Tarsus Group P.L.C.                            34,855           35,368
 Taylor & Francis Group P.L.C.                  52,600          492,130
 Taylor Nelson AGB P.L.C.                      109,000          389,928
 Ted Baker P.L.C.                               38,800          223,548
*Telecommunications Group P.L.C.                45,958            5,632
 Telemetrix P.L.C.                             165,708          404,694
*Telspec P.L.C.                                 25,000            7,309
*Terence Chapman Group P.L.C.                   62,500            2,687
 Tex Holdings P.L.C.                            14,000           39,849
 The Big Food Group P.L.C.                     212,000          492,226
*The Innovation Group P.L.C.                   940,000          335,460
 The Malcolm Group P.L.C.                      109,377          149,551
 The Television Corp. P.L.C.                    66,330           68,447
 Thorntons P.L.C.                              158,000          417,120
 Thorpe (F.W.) P.L.C.                           24,000  $        73,886
*Thus Group P.L.C.                             836,000          463,694
 Tibbett & Britten Group P.L.C.                 86,123          615,439
 Tinsley (Eliza) Group P.L.C.                   19,844           12,628
 Topps Tiles P.L.C.                             69,690          632,249
 Tops Estates P.L.C.                            30,088          126,264
 Torex P.L.C.                                   73,041          741,163
*Torotrak P.L.C.                                99,193          111,742
*Tottenham Hotspur P.L.C.                      150,000           61,915
 Town Centre Securities (New) P.L.C.           142,137          495,025
 Trace Computers P.L.C.                         33,552           42,413
 Transport Development Group P.L.C.             19,782           65,493
 Trifast P.L.C.                                135,388          142,038
 Tullow Oil P.L.C.                             222,863          314,302
 U.K. Coal P.L.C.                               16,000           33,021
 Ulster Television, Ltd.                       115,602          748,558
 Ultra Electronics Holdings P.L.C.              49,745          442,746
 Ultraframe P.L.C.                              60,200          255,216
 Umeco P.L.C.                                   18,250          107,816
 Uniq P.L.C.                                    20,000           70,171
 Unite Group P.L.C.                            103,051          275,599
 Universal Salvage P.L.C.                       14,255           30,278
 VP P.L.C.                                      83,100          190,800
 VT Group P.L.C.                               100,375          390,148
*Vega Group P.L.C.                              32,300           72,495
*Vernalis P.L.C.                                54,179           73,613
*Vert (Jacques) P.L.C.                          45,000           14,511
 Victoria P.L.C.                                12,000           75,537
 Victrex P.L.C.                                116,254          705,294
 Vitec Group P.L.C.                             15,242           89,391
*Volex Group P.L.C.                             58,801          138,042
 WSP Group P.L.C.                               90,000          274,749
 Wagon P.L.C.                                   65,292          192,022
*Walker Greenbank P.L.C.                        53,105           12,558
 Warner Estate Holdings P.L.C.                  70,000          532,729
*Waterdorm P.L.C.                              105,000                0
 Waterman P.L.C.                                74,473           93,501
 Watermark Group P.L.C.                         50,000          129,850
 Weir Group P.L.C.                             126,236          589,452
 Wellington Holdings P.L.C.                      9,000           16,408
 Wembley P.L.C.                                  6,053           58,402
 Westbury P.L.C.                               202,522        1,328,807
*Weston Medical Group P.L.C.                    50,200            2,158
 Wetherspoon (J.D.) P.L.C.                     127,358          590,858
 Whatman P.L.C.                                241,935          638,708
 White Young Green P.L.C.                       64,000          197,578
 Whitehead Mann Group P.L.C.                    95,000          517,121
 Whittard of Chelsea P.L.C.                     30,000           78,168
*Wiggins Group P.L.C.                        1,148,266           93,806
 Wilmington Group P.L.C.                        28,692           48,113
 Wilshaw P.L.C.                                198,409           46,067
 Wilson Bowden P.L.C.                            7,000          117,381
 Wintrust P.L.C.                                22,500          192,518
 Wolverhampton & Dudley Breweries                                      
   P.L.C.                                       78,873        1,020,775
 Woolworths Group P.L.C.                       872,421          648,944
*Worthington Group P.L.C.                      102,653            7,283
 Wyevale Garden Centres P.L.C.                  48,578          277,796
 Wyndeham Press Group P.L.C.                    73,066          122,522
*XAAR P.L.C.                                    18,405           15,352
 XANSA P.L.C.                                  199,718          313,433

 163

N-CSR
168th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 168th
                                                        [Enlarge/Download Table]

                                                                                 SHARES           VALUE+
                                                                        ---------------  ---------------
                                                                                                        
 *Xenova Group P.L.C.                                                           246,961  $        47,783
  Yates Group P.L.C.                                                             24,765           41,102
 *Yorkshire Group P.L.C.                                                         82,504            9,578
  Young & Co's Brewery P.L.C.                                                    10,000          130,280
  Young & Co's Brewery P.L.C. Class A                                             5,234           83,267
  Yule Catto & Co. P.L.C.                                                        86,284          375,445
  Zotefoams P.L.C.                                                               62,000           82,640
                                                                                         ---------------
TOTAL COMMON STOCKS                                                                                     
  (Cost $118,745,192)                                                                        158,950,507
                                                                                         ---------------
INVESTMENT IN CURRENCY -- (1.3%)                                                                        
 *British Pound Sterling                                                                                
    (Cost $2,095,175)                                                                          2,079,361
                                                                                         ---------------
RIGHTS/WARRANTS -- (0.0%)                                                                               
 *Creston P.L.C. Warrants 03/31/04                                               1,000                0 
 *Letter of Entitlements - Audemars Piguet                                      90,242                0 
 *Xenova Group P.L.C. Rights                                                    94,500                0 
                                                                                         ---------------
TOTAL RIGHTS/WARRANTS                                                                                   
  (Cost $0)                                                                                            0
                                                                                         ---------------
TOTAL -- UNITED KINGDOM                                                                                 
  (Cost $120,840,367)                                                                        161,029,868
                                                                                         ---------------

                                                                              FACE                      
                                                                             AMOUNT                     
                                                                        ---------------                 
                                                                              (000)                     
                                                                                                        
TEMPORARY CASH INVESTMENTS -- (2.0%)                                                                    
   Repurchase Agreement, PNC Capital Markets, Inc. 0.82%, 12/01/03                                      
     (Collateralized by $3,360,000 FHLB Notes 1.875%, 02/15/05, valued                                  
      at $3,385,200) to be repurchased at $3,336,228(Cost $3,336,000)   $         3,336        3,336,000
                                                                                         ---------------
TOTAL INVESTMENTS -- (100.0%)                                                                           
   (Cost $124,176,367)++                                                                 $   164,365,868
                                                                                         ===============

----------                                                                      
+  See Note B to Financial Statements.                                        
@  Denominated in local currency or the Euro                                  
*  Non-Income Producing Securities                                            
++  The cost for federal income tax purposes is $124,619,319                    

 See accompanying Notes to Financial Statements.

 164

N-CSR
169th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 169th
THE CONTINENTAL SMALL COMPANY SERIES

 SCHEDULE OF INVESTMENTS

 NOVEMBER 30, 2003

                                                                [Download Table]

                                                   SHARES           VALUE+
                                          ---------------  ---------------
                                                                          
FRANCE -- (13.4%)                                                         
COMMON STOCKS -- (13.4%)                                                  
  Affine                                            1,100  $        67,380
 *Ales Groupe SA                                    1,900           67,234
  Algeco SA                                         2,300          195,614
*#Alstom SA                                        95,700          197,315
 *Altedia SA                                        2,800           44,775
 *Alten SA                                         14,900          212,010
*#Altran Technologies SA                           49,600          612,404
  Apem SA                                           1,000           55,141
  April Group SA                                   19,600          316,243
  Arkopharma                                        4,300          220,356
  Assystem SA                                       2,657          141,733
  Aubay SA                                          5,700           25,759
 *Audika SA                                         1,500           70,845
 *Baccarat SA                                       1,090          104,594
  Bacou-Dalloz                                      3,685          307,002
  Bains de Mer et du Cercle des                                           
    Etrangers a Monaco                              4,615          984,716
  Beneteau SA                                       9,200          473,995
 *Berger Levrault SA                                  476          109,554
  Boiron SA                                        15,200          327,971
  Bonduelle SA                                      4,200          356,956
  Bongrain SA                                       7,500          392,432
 *Bricorama SA                                      2,679          134,878
  Buffalo Grill SA                                  1,028           13,863
*#Bull SA                                          68,000           52,168
  Burelle SA                                        4,030          390,333
 *Business Objects SA                              16,500          559,547
  CEGID SA                                          4,500          360,337
  CFCAL-Banque                                        840          249,215
  CFF Recycling                                    10,576          830,390
 *CS Communication et Systemes                      4,983          125,976
 *Camaieu SA                                        3,200          253,938
  Carbone Lorraine                                 33,245        1,354,954
  Cegedim SA                                        6,400          344,235
  Cie Financiere Pour La Location                                         
    D'Immeubles Industriels &                                             
    Commerciaux SA                                  6,400          279,178
 #Clarins SA                                        7,339          420,430
*#Club Mediterranee SA                             10,200          403,980
  Consortium International de Diffusi on                                  
    et de Representation Sante                        600            9,170
 *DMC (Dollfus Mieg et Cie)                         6,230           44,360
 *Damartex SA                                      22,900          477,369
  Delachaux SA                                      1,000           87,387
  Deveaux SA                                        1,040          105,344
  Didot-Bottin                                      1,620          163,122
  Dynaction SA                                     10,660          231,289
  Eiffage SA                                        3,825          413,578
  Electricite de Strasbourg                        23,784        2,836,791
  Elior                                            70,128          575,839
  Entenial SA                                       2,800          163,458
  Esso SA                                           3,200          355,014
  Etam Developpement SA                             5,600          160,437
  Euler-Hermes SA                                  12,291          558,401
 *Euro Disney SCA                                 517,400          310,110
  Evialis SA                                        1,200           43,787
  Exel Industries SA                                1,800  $        86,308
  Explosifs et de Produits Chimiques                  524          143,842
 *FPEE SA                                           1,100           63,029
  Faurecia SA                                       6,500          440,232
  Fimalac SA                                      111,143        3,703,790
  Fininfo SA                                        9,760          213,517
  Fleury Michon SA                                  2,500          104,739
  Fonciere Lyonnaise SA                             9,596          379,598
  France-Africaine de Recherches                                          
    Petrolieres (Francarep)                         4,250          405,019
  Francois Freres (Tonnellerie) SA                  2,050           41,653
 *GCI (Groupe Chatellier Industrie SA )             7,258              870
  GFI Informatique SA                              23,400          210,376
 *Gantois Series A                                    647           38,003
  Gascogne SA                                       6,472          574,103
*#Gaumont                                          14,607          719,652
*#Generale de Geophysique SA                       20,770          771,823
  Generale de Sante                                19,100          242,007
  Generale Location SA                              9,000          182,002
 *Geodis SA                                         3,010          162,367
  Gespac System                                     1,100           21,757
  Gevelot                                           3,584          171,849
  Gifi                                              3,200          207,907
 *Ginger (Groupe Ingenierie Europe)                 1,400           27,875
  Grands Moulins de Strasbourg                        110           37,580
  Grandvision SA                                    7,000          183,261
 #Groupe Bourbon SA                                 3,700          337,525
  Groupe Crit                                       5,500          108,389
  Groupe Guillin SA                                 1,200           96,737
  Groupe Open SA                                    1,000           31,347
  Groupe Steria                                     8,600          306,178
 *Guitel                                              116            1,111
  Guyenne et Gascogne SA                           26,000        2,882,933
  Havas SA                                         62,300          330,088
  Hoteliere Lutetia Concorde                        2,505          420,693
  Hotels et Casinos de Deauville                    2,055          699,600
  Hyparlo SA                                        3,836          160,941
  IDSUD                                               614           17,267
  IMS International Metal Service SA               12,630           96,895
  Industrielle et Financiere                                              
    d'Entreprise SA                                   300           32,006
*#Infogrames Entertainment SA                      58,300          368,297
  Ingenico SA                                      61,820          944,841
 *Ioltech SA                                          500           41,296
  Ipsos SA                                          3,700          334,864
  Kaufman et Broad SA                               5,300          148,348
 *Lafuma SA                                           793           53,993
  Laurent-Perrier                                   3,100          107,394
 *Lectra Systemes SA                               19,192          157,361
  Legris Industries SA                              9,350          279,081
  Lisi SA                                           6,845          237,543
 *MGI Coutier SA                                    1,400           33,900
 *MRM                                               1,424           18,794
  Manitou SA                                       11,092          997,219
  Manutan International SA                          1,300           54,994
  Marionnaud Parfumeries Retails                                          
    Perfumes                                        8,271          319,747
 *Matussiere et Forest SA                          13,600           68,960

 165

N-CSR
170th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 170th
                                                                [Download Table]

                                                  SHARES           VALUE+
                                         ---------------  ---------------
                                                                         
 *Metaleurop SA                                   35,449  $        22,947
  Montupet SA                                     32,450          564,030
 *Mr. Bricolage SA                                 5,200          151,970
  Neopost SA                                       7,200          362,494
 *Nexans                                          12,200          377,311
  Norbert Dentressangle                            6,320          254,552
  Nord Est SA                                     21,507        1,124,050
 *Oberthur Card Systems SA                        36,000          249,431
 *Oeneo                                           31,265           83,201
  PSB Industries SA                                1,240          144,926
 *Passat SA                                        1,300           26,616
 *Penauille Polyservices SA                       10,200          166,043
 *Petit Forestier SA                               2,243           83,351
  Pierre & Vacances                                4,500          372,743
  Pinguely-Haulotte SA                            25,000          139,352
  Plastic Omnium SA                               15,423          709,936
  Plastivaloire SA                                   900           26,540
  Prosodie SA                                      3,600           82,856
 *Radiall SA                                       1,340           88,989
  Robertet SA                                      1,076          125,049
  Rodriguez Group SA                               6,600          350,483
  Rougier SA                                       2,040          140,977
  Rue Imperiale                                   14,432        2,802,599
  SDR de Bretagne SA                                 714           18,410
  SEB SA Prime Fidelite 2002                       3,000          366,090
  SILIC (Societe Immobiliere de                                          
    Location pour L'industrie et le                                      
    Commerce)                                     12,256          778,653
  SR Teleperformance                              90,928        1,925,988
  Sabeton                                         13,500          169,110
  Samse SA                                         4,400          490,518
 *Sasa Industries SA                               1,000           27,511
 *Saveurs de France-Brossard                         900           25,353
*#Scor SA                                         72,300          276,470
  Sechilienne-Sidec                                2,200          249,347
  Securidev SA                                     1,500           15,643
  Selectibail                                     25,421          704,835
  Signaux Girod SA                                   600           25,173
  Skis Rossignol SA                               41,668          727,749
  Smoby SA                                           500           38,209
  Societe du Louvre SA                             6,305          506,383
 *Societe Francais des Papiers Peints                400            4,416
  Societe Industrielle D'Aviations                                       
    Latecoere SA                                   2,900           73,871
  Societe Pour L'Informatique                                            
    Industrielle SA                                1,000           32,845
 *Solving International SA                         2,100           25,677
  Somfy Interational SA                           22,900        3,686,641
  Sophia SA                                       17,550          871,378
  Sopra SA                                         6,900          313,065
  Stallergenes SA                                  1,249           58,391
  Ste Virbac SA                                    6,852          215,034
  Stef-Tfe SA                                        332           27,062
  Sucriere de Pithiviers-le-Vieil                  1,825        1,093,836
 *Sylis SA                                         4,700           29,635
  Synergie SA                                      8,000          146,724
  Taittinger SA                                   12,700        2,041,512
 *Tessi SA                                           900           33,865
  Touax (Touage Investissement SA)                10,378          202,156
 *Transiciel SA                                    9,200          150,536
  Trigano SA                                       5,500          225,282
 *Ubi Soft Entertainment SA                        8,500  $       263,390
  Unilog SA                                        6,320          340,463
 #Vallourec (Usines a Tubes de Lorraine                                  
    Escaut et Vallourec Reunies)                  31,700        2,449,072
 *Valtech, La Defense                             20,000           23,016
  Viel et Compagnie                               44,339          208,349
  Vilmorin et Cie SA                               2,349          288,338
  Vivarte SA                                       8,299          375,545
  Vranken Monopole                                 2,200           87,687
  Zodiac SA                                       14,627          432,908
                                                          ---------------
TOTAL COMMON STOCKS                                                      
  (Cost $40,538,164)                                           64,910,990
                                                          ---------------
RIGHTS/WARRANTS -- (0.0%)                                                
 *Alstom SA Rights 12/10/03                       95,700           51,623
 *Alstom SA Warrants 01/09/04                     95,700           34,415
 *Altran Technologies SA Rights                                          
    12/10/03                                      49,600           39,241
 *Group Open Warrants 10/21/06                     1,000              851
 *Oeneo Warrants 08/26/06                         14,365            4,649
 *Prosodie SA Warrants 10/28/06                      900              669
 *Ubi Soft Entertainment SA Warrants                                     
    05/14/06                                       4,100            2,654
 *Valtech, La Defense Warrants                                           
    07/29/05                                      20,000            1,199
                                                          ---------------
TOTAL RIGHTS/WARRANTS                                                    
  (Cost $38,786)                                                  135,301
                                                          ---------------
TOTAL -- FRANCE                                                          
  (Cost $40,576,950)                                           65,046,291
                                                          ---------------

GERMANY -- (11.8%)                                                       
COMMON STOCKS -- (11.8%)                                                 
 *AC-Service AG                                    4,300           29,123
  AWD Holding AG                                  35,600        1,078,814
  Aareal Bank AG                                  33,200        1,003,299
*#Acg AG Fuer Chipkarten und                                             
  Informationssysteme                             15,400           63,688
  Ackermann-Goeggingen AG                          8,100          150,500
 *Adva AG Optical Networking                      32,400          174,774
 *Agrob AG                                         5,800           59,792
 *Aigner (Etienne) AG                                600           93,500
 #Aixtron AG                                      61,400          376,105
  Amadeus Fire AG                                  4,900           34,714
  Andreae-Noris Zahn AG, Anzag                    27,200          922,078
 *Articon Integralis AG                            7,900           37,406
 *Atoss Software AG                                3,700           73,049
 *Augusta Technologie AG                           3,200           12,927
 #Ava Allgemeine Handelsgesellschaft                                     
    der Verbraucher AG                            30,800        1,007,566
 *Baader Wertpapier Handelsbank AG                 7,900           61,744
 #Balda AG                                        31,600          251,142
*#Basler AG                                        3,200           42,387
 #Beate Uhse AG                                   44,400          707,871
  Bechtle AG                                      17,100          197,603
 *Berliner Elektro Holding AG                     13,861          111,324
  Bertrandt AG                                     7,650          135,720
 #Beru AG                                          9,400          569,035
 *Beta Systems Software AG                         2,850           30,747
  Bilfinger & Berger Bau AG                       34,600        1,111,553
 *Biolitec AG                                      8,000           38,359

 166

N-CSR
171st “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 171st
                                                                [Download Table]

                                                  SHARES           VALUE+
                                         ---------------  ---------------
                                                                         
 *Biotest AG                                       2,400  $        19,995
  Boewe Systec AG                                  5,700          252,811
 *Borussia Dortmund GMBH & Co.                                           
    KGAA                                          21,650           94,986
 *Brau und Brunnen AG                              4,995          481,405
  Bremer Energiekonto AG                          14,700           37,709
 *Bremer Woll-Kaemmerei AG                        17,128           22,996
 *CBB Holding AG                                 102,602           13,037
 *CTS Eventim AG                                  14,800          145,477
 *Ce Consumer Electrnic AG                        21,600           69,910
 *Ceag AG                                         20,670          218,043
  Celanese AG                                     20,650          717,856
 *Cenit AG Systemhaus                              3,500           29,369
 *Centrotec Hochleistungskunststoffe AG            4,900           58,150
  Cewe Color Holding AG                            5,600          124,859
 *Comdirect Bank AG                               73,000          653,676
 *Computerlinks AG                                 4,600           73,614
 *Condomi AG                                       1,800            4,164
 *Curanum AG                                      21,500           53,607
 *D. Logistics AG                                 28,000           75,520
 *DAB Bank AG                                     39,800          300,568
 *DEAG Deutsche Entertainment AG                  10,500           29,453
  DVB Bank AG                                      7,124          742,101
 *Data Modul AG                                    2,904           64,748
 *Deutsche Euroshop AG                            15,550          637,307
 *Deutsche Steinzeug                                                     
    Cremer & Breuer AG                            87,200           91,985
*#Deutz AG                                        60,400          241,826
 *Deutz AG Issue 03                               20,133           77,953
 *Dierig Holding AG                               10,500          163,500
  Dis Deutscher Industrie Service AG              11,850          250,006
 *Dom-Braugerei AG                                 1,100           47,865
  Douglas Holding AG                              36,650        1,001,678
 *Dr. Scheller Cosmetics AG                        4,000           21,817
 *Drillisch AG                                    22,450           97,957
  Duerr Beteiligungs AG                           14,750          313,841
 *Eckert and Ziegler Strahlen - und                                      
    Medizintechnik AG                              3,000           26,791
 *Elexis AG                                        8,600           31,649
 *Elmos Semiconductor AG                          16,350          259,885
  ElreingKlinger AG                                1,500          128,563
*#Em TV & Merchandising AG                       137,050          162,642
 *Epcos AG                                        55,500        1,267,381
  Erlus Baustoffwerke AG                             297          118,555
  Escada AG                                       20,520          270,576
 *Eurobike AG                                      1,700              469
 *Evotec Biosystems AG                            30,100          212,160
 #FJA AG                                           7,150          175,103
  Feilmann AG                                     17,800          755,340
 *Fortec Elektronik AG                             1,400           45,647
*#Freenet.De AG                                   16,800          993,839
  Fuchs Petrolub AG Oel & Chemie                   6,693          415,194
  GFK AG                                          25,600          721,153
 *GPC Biotech AG                                  17,600          164,561
*#Gft Technologies AG                             22,600           85,879
  Grenkeleasing AG                                12,650          286,597
    Gwag Bayerische Wohnungs-                                            
    Aktiengesellschaft AG                          3,383          150,046
  Hamborner AG                                    21,000          571,432
 *Hawesko Holdings AG                              3,300           79,116
 *Herlitz AG                                       6,962           30,461
 #Hochtief AG                                     34,000  $       921,100
 *Hoeft & Wessel AG                                6,100           23,326
  Holsten-Brauerei AG                             38,462        1,567,582
  Hucke AG                                         8,300           32,833
  Hugo Boss AG                                    25,100          457,337
 *IFA Hotel & Touristik AG                         7,000           62,933
*#IM International Media AG                       19,800           30,380
  IVG Immobilien AG                               98,550        1,106,918
 *Innovation in Traffic Systems AG                12,300           76,965
  Interseroh AG                                    9,650          122,618
*#Intershop Deutschland AG                         7,320           23,604
 *Intertainment AG                                 8,500           20,378
 *Isra Vision Systems AG                           2,100           29,578
  Iwka AG                                         26,613          519,040
*#Ixos Software AG                                18,600          206,463
 #Jenoptik AG                                     40,800          440,661
  K & S Aktiengesellschaft AG                    129,500        3,027,079
  KSB AG                                           2,387          371,976
  KWS Kleinwanzlebener Saatzucht AG                1,650          991,027
 *Kampa-Haus AG                                   10,375           78,352
  Keramag Keramische Werke AG                     13,000          654,504
  Kloeckner-Werke AG                              38,900          364,650
 *Kontron AG                                      42,878          321,243
  Krones AG                                        7,450          520,469
 *LPKF Laser & Electronics AG                      9,000           54,374
  Leifheit AG                                     12,500          353,774
  Leoni AG                                        25,000        1,287,130
  Loewe AG                                         7,100           56,853
 #MVV Energie AG                                  48,000          872,863
 *MWG Biotech AG                                  19,400           23,720
 *Maternus-Kliniken AG, Bad                                              
    Oyenhausen                                     2,400            1,784
  Maxdata AG                                      24,600          166,021
 *Mediclin AG                                     22,050           51,542
 *Medigene AG                                      8,600           65,772
 *Mensch und Maschine Software AG                  1,400           13,946
*#Morphosys AG                                     3,100           36,083
  Muehlabauer Holdings AG & Co.                                          
    KGAA                                           5,900          137,984
 *Nemetschek AG                                    7,400           47,901
  Norddeutsche Affinerie AG                       30,700          328,632
  Norddeutsche Steingutfabrik AG                   5,960           32,150
  Novasoft AG                                     11,800           44,274
 *November AG                                      5,400           35,990
 *Ohb Teledata                                    12,650          103,569
  PC-Ware Information                                                    
    Technologies AG                                5,100           55,266
 *PVATepla AG                                     15,550           36,535
 *Pandatel AG                                      5,700           40,996
*#Parsytec AG                                     11,900           68,186
 *Personal & Informatik AG                         5,900           32,887
  Pfeiffer Vacuum Technology AG                    8,250          273,048
 *Pfleiderer AG                                   36,250          181,637
 *Phoenix AG, Hamburg                             37,500          409,065
 *Plambeck Neue Energien AG                        5,250           14,915
 *Plenum AG                                        9,300           22,854
 *Primacom AG                                     15,200           20,929
 *Produkte und Syteme der                                                
    Informationstechnologie AG                    10,300           53,091
  Progress-Werk Oberkirch AG                       5,000          199,588
  Puma AG                                          5,700          899,871

 167

N-CSR
172nd “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 172nd
                                                                [Download Table]

                                                   SHARES           VALUE+
                                          ---------------  ---------------
                                                                          
*#Qs Communications AG                             98,700  $       333,646
  Rational AG                                      10,612          582,616
 *Realtech AG                                       3,650           38,722
  Renk AG                                          19,400          616,264
 *Repower Systems AG                                5,000          103,390
  Rheinmetall Berlin AG                            45,000        1,478,027
  Rhoen Klinikum AG                                13,750          725,228
  Rinol AG                                          5,900           21,925
 *Rohwedder AG                                        610            6,435
 *Ruecker AG                                        7,800           33,660
*#SAP Systems Integrations AG                      33,650          653,461
 *SGL Carbon AG                                    20,800          307,928
  Salzgitter AG                                    58,650          593,376
  Sartorius AG                                      6,550           69,801
  Schlott Sebaldus AG                               4,400           87,555
  Schwarz Pharma AG                                 8,900          187,021
  Sektkellerei Schloss Wachenheim AG               15,120          132,310
 *Senator Entertainment AG                          9,800           14,214
*#Singulus Technologies AG                         34,600          736,197
  Sinner AG, Karlsruhe                              4,160           50,615
  Sixt AG                                          15,400          212,294
*#Software AG                                      25,300          545,899
  Stada Arzneimittel AG                            20,000        1,174,750
 *Stahl (R.) AG                                     2,000           16,782
 *Steag Hamtech AG                                 28,200          157,189
 *Stoehr & Co. AG                                  16,000           63,293
 *Strabag AG                                        3,332          211,291
  Stuttgarter Hofbraeu AG                          18,000          604,157
  Sued-Chemie AG                                   29,146        1,037,659
 *Suess Microtec AG                                14,000          177,891
 *Syskoplan AG                                      3,300           26,702
 *Syzygy AG                                        18,000          126,226
 *TFG Venture Capital AG & Co. KGAA                 8,800           21,098
  Takkt AG                                         68,450          454,572
 *Techem AG                                        23,150          442,620
  Technotrans AG                                    5,000           74,321
 *Telegate AG                                      10,800          117,552
 *Teles AG Informationstechnologien                21,200          271,919
  Textilgruppe Hof AG                              12,170           93,366
*#Tomorrow Focus AG                                42,650          117,589
 *Umweltkontor Renewable Energy AG                 14,100           21,297
  United Internet AG                               43,050        1,011,460
 *VBH (Vereinigter                                                        
    Baubeschlag-Handel) AG                          9,415           19,412
  VK Muehlen AG                                     1,312          121,886
  Vossloh AG                                       15,900          733,799
*#WCM Beteiligungs AG                             245,466          361,923
 *Walter Bau AG, Augsburg                          33,905           67,061
  Wanderer-Werke AG                                 7,903          202,733
 *Wedeco AG Water Technology                       10,550          224,603
 *Westag and Getalit AG,                                                  
    Rheda-Wiedenbrueck                              7,000           48,500
  Wuerttembergische                                                       
    Lebensversicherung AG                          11,330          177,918
  Wuerttembergische                                                       
    Metallwarenfabrik AG                           30,330          548,995
  Wuerzburger Hofbraeu AG                             134           61,381
  Zapf Creation AG                                  7,500          173,066
                                                           ---------------
TOTAL COMMON STOCKS                                                       
  (Cost $47,674,467)                                            57,045,489
                                                           ---------------
RIGHTS/WARRANTS -- (0.0%)                                                 
 *DEAG Deutsche Entertainment AG                                          
    Bond Rights 12/03/03                            7,000  $             0
 *Fuchs Petrolub AG Oel & Chemie                                          
    Rights 12/09/03                                 6,693            7,221
                                                           ---------------
TOTAL RIGHTS/WARRANTS                                                     
  (Cost $0)                                                          7,221
                                                           ---------------
TOTAL -- GERMANY                                                          
  (Cost $47,674,467)                                            57,052,710
                                                           ---------------

ITALY -- (8.9%)                                                           
COMMON STOCKS -- (8.9%)                                                   
*#Acea SpA                                        163,000          949,606
 *Acegas SpA                                       27,200          164,005
 *Actelios SpA                                     25,801          213,405
  Aem Torino SpA                                  355,000          548,956
 *Aeroporto de Firenze SpA                          6,000           84,510
*#Alitalia Linee Aeree Italiane SpA                                       
    Series A                                    2,712,400          871,381
 *Amplifon SpA                                     15,200          417,252
 *Auschem SpA (In Liquidation)                     82,000                0
  Azienda Mediterranea Gas e Acqua                                        
    SpA                                           267,000          327,421
 *Banca Ifis SpA                                   16,600          210,928
  Banca Intermobiliare di Investimenti e                                  
    Gestoni SpA                                    81,000          565,103
  Banca Monte Dei Paschi di Siena SpA             229,515          753,843
  Banca Popolare Dell'etruria e Del                                       
    Lazio Scrl                                     19,000          416,797
  Banca Profilo SpA                                88,500          231,800
  Banco di Desio e della Brianza SpA               90,000          375,441
  Banco Piccolo Valellinese Scarl SpA              41,600          460,272
 *Bastogi SpA                                   1,183,000          241,785
 *Beghelli SpA                                    142,000          109,791
  Beni Stabili SpA, Roma                        1,309,500          784,865
  Biesse SpA                                       17,100           48,478
 *Binda SpA                                     1,299,375                0
  Bonifica dei Terreni Ferraresi e per                                    
    Imprese Agricole Roma                           9,675          151,349
  Bremba SpA                                       53,375          374,934
  Brioschi Finanziaria SpA, Milano                373,400          116,825
  Buzzi Unicem SpA                                 94,100        1,139,280
  CAMFIN (Cam Finanziaria)                         36,527           88,009
  CIR SpA (Cie Industriale Riunite),                                      
    Torino                                        591,100        1,060,723
*#CMI SpA                                          64,502          327,837
  CSP International Industria Calze SpA            10,000           17,262
 #Caltagirone Editore SpA                          95,800          783,194
 #Caltagirone SpA                                 178,399        1,109,888
 *Carraro SpA                                      26,200           72,863
  Cementir Cementerie del Tirreno SpA             249,704          752,806
 *Cirio Finanziaria SpA                           175,000           36,501
  Class Editore SpA                                70,600          205,228
 *Coats Cucirini SpA                               30,000           33,085
 *Compagnia Immobiliare Azionaria                  44,000            7,331
  Credito Artigiano SpA                            93,900          379,328
  Cremonini SpA                                   102,400          214,811
  Danieli & C.Officine Meccaniche SpA              66,500          275,017
 *Dataconsyst C.G.S. SpA, Monza                       220                0
 *Davide Campari - Milano SpA                      13,400          588,224

 168

N-CSR
173rd “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 173rd
                                                                [Download Table]

                                                     SHARES           VALUE+
                                            ---------------  ---------------
                                                                            
 *De Longhi SpA                                     115,000  $       512,814
 *Del Favero SpA                                     86,000                0
 *Ducati Motor Holding SpA                          112,500          190,822
  Emak                                               27,000          107,130
  Erg SpA                                           124,000          643,619
  Ergo Previdenza SpA                                69,200          348,397
  Ericsson SpA                                       19,800          481,341
  Esprinet                                            3,700           94,693
 *FMC (Fabbrica Milanese                                                    
    Condutorri SpA)                                  25,000                0
 *Finarte Casa d'Aste SpA (Milano)                   56,266          117,359
 *Finarte Partecipazioni Pro Arte SpA               242,693           60,948
*#Finmatica SpA                                      35,900          419,153
 *Fochi (Filippo) SpA                               216,000                0
 *Fornara Societa Finanziaria e di                                          
    Partecipazioni SpA                              310,000                0
  Gabetti Holding SpA                                55,000          126,915
  Gefran                                             11,000           53,139
 *Gemina SpA                                        282,400          280,971
 *Gerolimich SpA (In Liquidation)                   297,400                0
  Gewiss SpA                                        221,700          980,644
  Giovanni Crespi SpA                                21,000           17,797
  Grandi Navi Veloci SpA                             38,000           77,438
*#Granitifiandre SpA                                 28,500          245,978
 *Grassetto SpA                                     279,125                0
  Gruppo Ceramiche Ricchetti SpA                    164,000           70,380
 *I Grandi Viaggi SpA                                28,100           22,366
  ITALJOLLY (Cia Italiana dei Jolly                                         
    Hotels SpA)                                      34,500          200,990
*#Immobiliare Lombardia SpA                         425,000           81,004
  Immsi SpA                                         287,000          323,392
  Impregilo SpA                                     532,000          357,124
  Industria Macchine Automatique SpA                 27,000          349,224
  Industria Romagnola Conduttori                                            
    Elettrici SpA                                    17,500           52,864
 #Industrie Zignago S. Margherita SpA                52,000          771,691
  Interpump Group SpA                                64,700          271,451
  Italmobiliare SpA, Milano                          12,750          583,839
 *Juventus Footbal Club SpA                          98,000          223,790
 *La Doria SpA                                       22,000           60,919
 *Lavorwash SpA                                      10,000           23,495
  Linificio and Canapificio Nazionale SpA            22,000           45,623
  Maffei SpA                                         52,500           95,658
 *Mandelli SpA                                       41,000                0
  Manifattura Lane Gaetano                                                  
    Marzotto & Figli SpA                            138,000        1,511,975
 *Marcolin SpA                                       35,100           50,995
 *Mariella Burani Fashion Group SpA                  20,400          188,540
 *Meliorbanca SpA                                    62,500          319,910
  Merloni Elettrodomestici SpA                      155,000        2,887,368
 #Milano Assicurazioni SpA                          266,700          890,364
  Mirato SpA                                         12,000           87,747
  Monrif SpA                                        150,000          145,645
 *Montefibre SpA                                    143,130           75,492
 *NGP SpA                                            17,891           12,031
  Navigazione Montanari SpA                          95,200          176,884
 *Necchi SpA                                        164,250           13,782
 *Negri Bossi SpA                                    13,700           36,130
 *Olidata SpA                                        20,000           32,174
 *Opengate Group SpA                                  4,000            9,158
 *Pagnossin SpA                                       9,000           19,959
 *Perlier SpA                                       100,700  $        25,820
  Permasteelisa SpA                                  21,300          347,247
  Pininfarina SpA                                    31,285          928,552
 *Pirelli & C.Real Estate SpA                         9,600          276,762
 *Poligrafici Editoriale SpA                        132,000          284,817
 *Premafin Finanziaria SpA Holding di                                       
    Partecipazioni, Roma                            311,330          312,368
  Premuda SpA                                        38,700           60,911
 *Ratti SpA                                          31,768           25,629
 #Recordati Industria                                                       
    Chimica e Farmaceutica SpA                       48,000          922,922
 *Reno de Medici SpA, Milano                        332,210          297,477
 *Richard-Ginori 1735 SpA                           128,000          122,749
  Risanamento Napoli SpA                            212,600          365,708
 *Rodriquez SpA                                      41,250                0
 *Roncadin SpA                                       81,400           47,812
  SAES Getters SpA                                   14,750          170,977
  SAI SpA (Sta Assicuratrice Industriale),                                  
    Torino                                           32,500          568,795
  SISA (Societa Imballaggi Speciali                                         
    Asti SpA)                                        65,000          155,834
  SMI STA Metallurgica Italiana SpA                 565,280          217,514
  SNIA SpA                                          568,977        1,265,197
 *SOPAF (Societa Partecipazioni                                             
    Finanziarie SpA)                                 85,000           27,460
  Sabaf SpA                                           8,000          133,586
  Saeco International Group SpA                     154,000          629,498
 *Schiapparelli 1824 SpA, Milano                    166,200           26,099
 *Sirti SpA                                          29,967           54,602
 #Societe Cattolica di Assicurazoni                                         
    Scarl SpA                                        27,170          925,295
 *Societe Sportiva Lazio SpA                      1,815,000           98,994
  Sogefi SpA                                        182,500          625,674
  Sol SpA                                            70,200          302,100
  Stefanel SpA                                       54,400          118,683
  Targetti Sankey SpA                                 8,000           29,057
 *Tecnodiffusione Italia SpA                          3,332           15,737
  Terme Demaniali di Acqui SpA                      532,000          264,017
 #Tod's Group SpA                                    23,400          971,657
 *Trevi-Finanziaria Industriale SpA                  30,000           41,140
 *Tripcovich (D.) & Co. SpA Navigazione                                     
    Rimorchi e Salvataggi Trieste                   113,898                0
 *Unione Manifatture SpA (In Liquidation)           156,000                0
 *Unipar (Unione Nazionale di                                               
    Participazione SpA) (In Liquidation)            539,000                0
 *Vemer Siber Group SpA                              46,000           50,785
 *Viaggi del Ve                                      23,000           55,968
  Vianini Industria SpA                              52,520          154,245
  Vianini Lavori SpA                                180,752        1,115,860
  Vittoria Assicurazioni SpA                         51,500          305,585
  Zucchi (Vincenzo) SpA                             144,375          756,167
                                                             ---------------
TOTAL COMMON STOCKS                                                         
  (Cost $37,718,211)                                              43,360,556
                                                             ---------------
RIGHTS/WARRANTS -- (0.0%)                                                   
 *Tecnodiffusione Italia SpA                                                
   Warrants 11/15/04                                                        
   (Cost $0)                                          1,332              283
                                                             ---------------

TOTAL -- ITALY                                                              
  (Cost $37,718,211)                                              43,360,839
                                                             ---------------

 169

N-CSR
174th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 174th
                                                                [Download Table]

                                                    SHARES           VALUE+
                                           ---------------  ---------------
                                                                           
SWITZERLAND -- (8.8%)                                                      
COMMON STOCKS -- (8.8%)                                                    
 *A. Hiestad Holding AG                                190  $        66,874
 *AFG Arbonia-Forster Holding AG                     2,610          300,831
 *Accumulatoren-Fabrik Oerlikon,                                           
    Zuerich                                             30           13,344
 *Actelion, Ltd.                                     4,400          421,205
 *Agie Charmilles Holding AG                         3,000          148,524
 *Allreal Holding AG                                 3,657          254,320
  Also Holding AG                                      268           63,024
 *Amazys Holding AG                                  1,183           36,147
 *Ascom Holding AG                                   7,700           72,073
  BHB Beteiligungs und                                                     
    Finanzgesellschaft                                 150            5,095
  BVZ (Brig Visp Zermatt) Holding AG                   370           73,987
  Bachem AG                                          3,059          143,163
  Bank Coop AG                                       5,881        1,046,344
  Bank Sarasin & Cie Series B, Basel                   274          415,434
 *Banque Cantonale de Geneve                         1,344          165,827
  Banque Cantonale du Jura                             450           73,102
 *Banque Cantonale Vaudoise                            600           63,123
  Banque Privee Edmond de                                                  
    Rothschild SA, Geneve                              120        1,141,779
  Barry Callebaut AG                                 2,326          420,588
  Basellandschaftliche Kantonalbank                    600          377,808
  Basler Kantonalbank                                5,250          332,613
 *Batigroup Holding AG                               2,902           25,704
  Belimo Holdings                                      240           91,714
 *Berna Biotech                                     13,727          138,043
 *Berner Kantonalbank                                2,315          266,381
  Bobst Group SA                                    18,200          612,430
  Bossard Holding AG                                 6,350          265,255
  Bucher Industries AG,                                                    
    Niederweningen                                   3,355          456,773
  Caisse d'Epargne Cantonale                                               
    Vaudoise, Lausanne                                 427          278,122
 *Calida Holding AG                                    396           67,699
 *Carlo Gavazzi Holding AG                             910           38,717
 *Charles Voegele Holding AG                         3,960          240,776
  Cie Financiere Tradition                           5,202          482,889
  Conzzeta Holdings AG                               1,415        1,061,753
 *Crossair AG, Basel                                13,517          106,654
  Daetwyler Holding AG, Atldorf                        348          531,400
  EGL (Elektrizitaets-Gesellschaft                                         
    Laufenberg) AG, Laufenberg                       8,390        3,920,075
 *ESEC Holding AG                                      921          138,572
  Edipresse SA, Lausanne                               694          319,427
 *Eichhof Holding AG                                   188          111,835
  Energie Electrique du Simplon SA                     350           33,437
  Energiedienst Holding AG                           8,265        2,141,821
  Escor Casino & Entertainment AG                      744           16,978
  Feintol International Holding AG                     110           18,975
 *Fischer (Georg) AG, Schaffhausen                   1,552          265,326
 *Flughafen Zuerich AG                               1,842           93,972
 *Forbo Holding AG, Eglisau                          1,100          306,331
  Fuchs Petrolub AG Oel & Chemie                                           
    Non-Voting                                       6,003          377,300
  Galenica Holding, Ltd. AG, Bern                    4,290          580,752
  Geberit AG                                           870          379,572
  Generale d'Affichage, Geneve                         290          135,722
 *Generali (Switzerland) Holdings,                                         
    Adliswil                                         1,670  $       213,155
 *Golay-Buchel Holding SA, Lausanne                     40           32,490
  Gornergrat Monte Rasa-Bahnen                                             
    Zermatt                                             70           47,110
  Gurit-Heberlein AG                                 1,125          730,147
 *HPI Holding SA                                     6,000           10,722
  Helvetia Patria Holding                            2,831          431,421
 *Industrieholding Cham AG, Cham                       864          151,049
 *Interroll-Holding SA                                 320           32,180
  Jelmoli Holding AG                                 1,521        1,423,673
 #Jelmoli Holding AG, Zuerich (Namen)                2,835          521,946
  Kaba Holding AG                                    1,340          253,961
 *Kardex AG, Zuerich                                 1,039          122,167
 *Kardex AG, Zuerich (Participating)                   610           72,668
 *Komax Holding AG                                   1,100           75,094
 *Kudelski SA                                       13,000          416,834
  Kuoni Reisen Holding AG                            1,350          438,610
 *Leica Geosystems Holdings AG                       1,057          165,575
 *Lem Holdings AG, Lyss                                270           49,918
  Luzerner Kantonalbank AG                           3,200          465,375
 *Maag Holding AG, Zuerich                             922          123,210
 *Micronas Semi                                     12,202          556,902
 *Mikron Holding AG, Biel                            2,652           36,516
 *Mobilezone Holding AG                             13,349           25,403
 *Moevenpick-Holding, Zuerich                        1,320          714,772
  Nobel Biocare Holding AG                          45,460        4,263,897
  Orell Fuessli Graphische Betriebe AG,                                    
    Zuerich                                            240          258,803
  Oz Holding AG                                      4,400          268,890
  PSP Swiss Property AG                              3,442          477,272
 *Parco Industriale e Immobiliare SA                   600            1,624
 *Phoenix Mecano AG, Stein am Rhein                  2,749          816,585
  Phonak Holding AG                                 29,137          637,862
 *Publicitas Holding SA, Lausanne                    1,115          301,883
*#Reg Real Estate Group                              8,010          481,448
  Rieters Holdings AG                                2,056          439,758
  Roche Holding AG Genusschein                         800           72,096
  SAIA-Burgess Electronics AG                          274           96,440
 *SIA Abrasives Holding AG                             337           59,698
  Sarna Kunststoff Holding AG                        1,760          159,292
 *Saurer AG                                          6,943          308,824
 *Schaffner Holding AG                                 300           44,789
 *Schweiter Technology AG                              500           67,687
  Schweizerhall Holding AG, Basel                      140          178,693
    Schweizerische National Versicherungs                                  
  Gesellschaft                                         472          197,166
  Siegfried Holding AG                               8,560        1,021,397
  Sig Holding AG                                     3,000          404,380
 *Sihl                                                 150              451
  Sika Finanz AG, Baar                                 925          375,661
  Sopracenerina                                      2,409          316,797
 *St. Galler Kantonalbank                            1,596          289,515
  Sulzer AG, Winterthur                              1,637          409,655
 *Swiss Prime Site AG                                1,492          264,302
 *Swisslog Holding AG                                6,810           35,243
  Tamedia AG                                         4,500          310,160
  Tecan Group AG                                     5,859          228,655
 *Temenos Group AG                                  24,359          169,400
 *UMS Schweizerische Metallwerke                                           
    Holding AG, Bern                                 2,560           71,093

 170

N-CSR
175th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 175th
                                                                [Download Table]

                                                   SHARES           VALUE+
                                          ---------------  ---------------
                                                                          
  Unaxis Holding AG                                 1,000  $       137,694
  Unilabs SA                                        2,700           55,348
  Valiant Holding AG                                6,278          433,436
  Valora Holding AG                                 1,857          441,007
 *Vaudoise Assurances Holding,                                            
    Lausanne                                           45           56,741
  Villars Holding SA, Fribourg                        150           30,169
 *Von Roll Holding AG                              23,024           18,167
*#Von Roll Holding AG, Gerlafingen                 23,024           20,482
  Vontobel Holdings AG                             29,250          643,730
  *Walliser Kantonalbank                              150           32,606
  Wmh Walter Meier Holding Ag,                                            
    Zuerich                                         1,000           51,829
  Zehnder Holding AG                                  193          142,430
  Zschokke Holding SA, Geneve                         230           79,886
 *Zueblin Holding AG                               10,093           71,127
  Zuger Kantonalbank                                  545        1,079,275
 *Zuger Kantonalbank New Shares                        45           87,374
                                                           ---------------
TOTAL COMMON STOCKS                                                       
  (Cost $26,142,712)                                            42,661,225
                                                           ---------------
PREFERRED STOCKS -- (0.0%)                                                
   Fuchs Petrolub AG Oel & Chemie                                         
    7.29% Non-Voting                                                      
    (Cost $266,229)                                 6,003          292,553
                                                           ---------------
INVESTMENT IN CURRENCY -- (0.0%)                                          
   *Swiss Francs                                                          
    (Cost $18,285)                                                  18,554
                                                           ---------------
RIGHTS/WARRANTS -- (0.0%)                                                 
   *Fuchs Petrolub AG Oel & Chemie                                        
     Preferred Rights 12/11/03                      6,003                0
   *Fuchs Petrolub AG Oel & Chemie                                        
     Rights 12/15/03                                6,003                0
                                                           ---------------
TOTAL RIGHTS/WARRANTS                                                     
     (Cost $0)                                                           0
                                                           ---------------
TOTAL -- SWITZERLAND                                                      
   (Cost $26,427,226)                                           42,972,332
                                                           ---------------

GREECE -- (6.9%)                                                          
COMMON STOCKS -- (6.9%)                                                   
 *A. Cambas Holding & Real Estate SA               36,750          103,084
 *AS Co. S.A.                                      25,370           50,179
  Aegek                                            99,835          238,153
 *Agrotiki Insurance S.A.                          34,455          235,422
  Aktor Technical Co. S.A.                        130,640          798,667
  Alco Hellas ABEE S.A.                            38,730           75,211
 *Alfa Alfa Energy S.A.                             3,810           33,431
  Alfa-Beta Vassilopoulos S.A.                     12,732          205,429
  Alisida S.A.                                      2,160            8,286
 *Allatini Industrial & Commercial Co.             15,370           35,006
  Alpha Leasing                                    49,481          323,855
 *Alte Technological Co. S.A.                      85,048          114,183
 *Altec Information & Communication                                       
    Systems S.A.                                   80,278           77,947
  Alumil Milonas S.A.                              27,516          136,554
 *Aluminum of Attica S.A.                         104,982          128,361
 *Anek Lines S.A.                                  60,821           96,967
  Arcadia Metal Industry C. Rokas S.A.             22,389          132,044
 *Aspis Bank                                       45,604          164,000
 *Aspis Pronia General Insurance S.A.              48,640  $        87,459
 *Astir Palace Vouliagmenis S.A.                   44,370          405,288
  Athens Medical Center S.A.                      104,974          212,661
  Athens Water Supply & Sewage                                            
    Co.S.A.                                        53,245          404,657
 *Atlantic Super Market S.A.                       13,640           22,237
  Attica Enterprises S.A. Holdings                130,214          540,074
  Attica Publications S.A.                         16,674           87,945
  Atti-Kat S.A.                                    88,984          123,734
  Autohellas S.A.                                  22,490          194,107
  Babis Vovos S.A.                                 42,412          859,201
 *Balafas Construction Holdings S.A.               15,200           24,051
 *Bank of Attica S.A.                             105,221          456,594
 *Bank of Greece                                    2,366          281,349
  Bank of Piraeus S.A.                            163,829        1,673,207
  Benrubi S.A.                                      9,221          112,966
 *Betanet S.A.                                     11,220           57,834
 *Bitros Holdings S.A.                             19,302           69,182
 *Byte Computers S.A.                              17,230           69,398
  Chipita S.A.                                     46,325          207,686
  Commercial Bank of Greece                         1,960           41,304
 *Compucon Computer Applications S.A.              11,260           22,001
 *Computer Peripherals International S.A.           9,110           22,496
 *Cyclon Hellas S.A.                              18,131           25,212 
 *Daios Plastics S.A.                              16,350           64,285
  Delta Holdings S.A.                              33,747          242,720
  Dionic SA                                        12,948           15,987
 *Domiki Krittis S.A.                              11,820           63,193
  Edrassi C. Psallidas S.A.                        15,554           37,849
  Egnatia Bank S.A.                               106,477          351,001
  El. D. Mouzakis S.A.                             31,653           59,191
  Elais Oleaginous Production S.A.                 16,707          303,611
 *Elbisco Holding S.A.                             56,000          441,706
  Elektrak SA                                     14,040           35,680 
 *Elektroniki of Athens S.A.                       21,560           82,702
 *Elgeka S.A.                                      18,590          128,803
  Elmec Sport S.A.                                 64,256          181,009
 *Elton S.A.                                        9,320           94,963
 *Etba Leasing S.A.                                17,297           43,127
 *Ethniki General Insurance Co. S.A.               71,719          476,281
 *Etma Rayon S.A.                                  11,242           19,540
 *Euro Reliance General Insurance                  14,830           40,887
 *Eurodrip S.A.                                    11,620           68,810
 *Euromedica S.A.                                  33,300           83,028
 *Europaiki Techniki                               32,750           34,940
  Everest S.A.                                     30,730          116,404
 *Evrofarma S.A.                                    9,500           26,078
 *F.G. Europe SA Common Registered                                        
    Shares                                          4,536           20,118
 *Fanco S.A.                                       10,110           31,025
 *Forthnet S.A.                                    17,510          107,887
  Fourlis S.A.                                     56,610          166,257
  Frigoglass S.A.                                  49,990          212,132
 *G.Polyhronos S.A.                                10,580           22,321
 *Galaxidi Fish S.A.                               12,940           18,924
  General Construction Co. S.A.                    34,649          297,388
  General Commercial and Industry                  24,060           27,111
 *General Hellenic Bank                            31,139          217,990
  Germanos S.A.                                    49,650        1,176,049
 *Gianoussis S.A.                                  13,604           96,540
  Gnomon Construction S.A.                         23,297           21,504

 171

N-CSR
176th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 176th
                                                                [Download Table]

                                                   SHARES           VALUE+
                                          ---------------  ---------------
                                                                          
  Goody's S.A.                                     17,740  $       266,668
  Halkor S.A.                                     121,226          273,195
  Hatziioannou S.A.                                44,200          115,504
  Hellas Can Packaging Manufacturers S.A.                           27,902
  189,309                                                                 
  Hellenic Cables S.A.                             26,908           46,125
  Hellenic Duty Free Shops S.A.                    65,840        1,163,340
  Hellenic Fabrics S.A.                            17,110           58,659
  Hellenic Sugar Industry S.A.                     35,750          228,843
  Hellenic Technodomiki S.A.                      124,106          731,943
  Heracles General Cement Co.                      71,083          628,842
  Hermes Real Estate S.A.                          23,136          124,247
 *Hippotour S.A.                                   12,155           25,936
  Hyatt Regency S.A.                              105,000          964,134
 *Iaso S.A.                                        49,300          301,395
 *Iktinos Hellas S.A.                               6,500           23,375
  Inform P. Lykos S.A.                             20,610          110,188
 *Informatics SA                                   18,890           43,023
 *Intersat S.A.                                    19,392            7,206
  Intertech S.A.                                   12,236           48,990
 *Intracom Constructions S.A.                      30,520           73,902
  Intracom S.A.                                   161,516        1,041,639
 *Ionian Hotel Enterprises                         16,754          249,436
 *J Boutaris & Son Holding S.A.                    28,150           46,229
  J&P-Avax S.A.                                    91,496          541,812
  Kalpinis Simos Steel Service Center              12,432           45,602
  Karelia Tobacco Co., Inc. S.A.                    2,160          137,282
  Kathimerini S.A.                                 21,240          188,411
  Katselis Sons S.A.                                9,000           80,051
 *Kego S.A.                                        21,670           48,576
 *Kekrops S.A.                                      2,244           69,347
 *Keramia-Allatini S.A. Industrielle                                      
    Commerciale & Technique                        10,368           38,777
 *Klonatex Group S.A. Bearer Shares                20,351           86,847
 *Kordellou Brothers S.A.                          12,300           24,770
 *Kotsovolos SA                                     2,872           12,256
 *Lambrakis Press S.A.                             94,120          595,710
 *Lampsa Hotel Co.                                 19,051          157,575
  Lavipharm S.A.                                   39,294           75,364
 *Lazarides Vineyards S.A.                         16,660           54,720
  Light Metals Industry                            37,502          111,937
 *Logic Dis S.A.                                   77,230           78,691
  Loulis Mills S.A.                                15,382           58,267
 *MLS Multimedia S.A.                               8,300           37,410
  Mailis (M.J.) S.A.                               90,804          333,078
 *Maritime Company of Lesvos S.A.                  30,753           25,436
 *Maxim Knitwear Factory C.M.                      16,360           20,003
 *Medicon Hellas S.A.                               2,600           23,811
  Mesochoritis Bros. Construction Co.              23,700           22,160
  Metka S.A.                                       36,270          195,650
  Michaniki S.A.                                   98,065          315,042
  Minerva Knitwear                                  5,140           19,717
 *Minoan Lines S.A.                                77,309          164,957
  Mochlos S.A.                                     46,265           44,368
 *Motor Oil (Hellas) Corinth                                              
    Refineries S.A.                               138,470        1,161,912
  Mytilineos Holdings S.A.                         47,000          299,729
 *N. Levederis S.A.                                 8,355            7,812
  N.B.G. Real Estate Development Co.              122,710          770,780
 *Naoussa Spinning Mills S.A.                      21,832           91,074
 *Naytemporiki S.A.                                26,080          152,562
 *Neorion-Syro's Shipyards S.A.                    27,210  $       116,770
 *Nexans Hellas S.A.                                3,003           10,475
  Nikas S.A.                                       25,287          203,698
  Notos Com.Holdings S.A.                          85,974          358,646
 *O. Daring Sain                                    7,760            4,093
  Pantechniki S.A.                                 50,460          123,395
 *Pegasus Publishing & Printing S.A.               58,590          176,988
 *Persefs S.A. Health Care                         19,660          102,280
 *Persefs S.A. Health Care New Shares               3,932           20,456
  Petros Petropoulos SA                             7,360           52,936
 *Petzetakis S.A.                                  22,560           67,879
 *Pilias S.A.                                     103,584           52,151
 *Pipeworks L. Girakian Profil S.A.                11,730           18,279
 *Promota Hellas S.A.                              26,580           53,528
 *Proodeftiki Technical Co.                        32,257           32,867
  Rilken S.A.                                       1,982           18,627
 *Sanyo Hellas S.A.                                59,251          128,556
  Sarantis S.A.                                    43,940          166,443
 *Sato S.A.                                        28,850           35,275
  Selected Textile Industry Assoc. S.A.            44,649           63,691
  Sfakianakis S.A.                                 13,390           47,029
 *Sheet Steel S.A.                                 25,850           19,832
 *Shelman                                          38,042           68,403
  Silver and Baryte Ores Mining Co. S.A.           34,961          260,672
  Singular S.A.                                    54,600          149,881
  Spyroy Agricultural House S.A.                   22,258           33,352
 *Stabilton S.A.                                   27,530            2,640
  Strintzis Shipping Lines S.A.                   131,240          209,236
  Technical Olympic S.A.                          165,620          829,867
 *Technodomi M.Travlos Br. Com. &                                         
    Constr. Co. S.A.                               13,910           10,505
  Teletypos S.A. Mega Channel                      36,227          226,685
  Terna Tourist Technical &                                               
    Maritime S.A.                                  57,450          512,368
 *Themeliodomi                                     37,422          106,315
  Thrace Plastics Co. S.A.                         45,500           64,905
  Uncle Stathis S.A.                               10,999           81,482
  Unisystems S.A.                                  41,820           97,755
 *Vardas S.A.                                      13,780           54,511
 *Varvaressos S.A. European                                               
    Spinning Mills                                  7,200           15,535
  Veterin                                          18,984           88,296
  Viohalco                                        249,335        1,309,112
  Vioter S.A.                                      61,470          103,160
 *Vis Container Manufacturing Co.                   4,259           16,235
  Zampa S.A.                                          830           11,740
                                                           ---------------
TOTAL COMMON STOCKS                                                       
   (Cost $30,722,465)                                           33,364,636
                                                           ---------------
PREFERRED STOCKS -- (0.0%)                                                
 Egnatia Bank S.A.                                                        
   (Cost $8,591)                                    3,196            9,961
                                                           ---------------
   TOTAL -- GREECE                                                        
   (Cost $30,731,056)                                           33,374,597
                                                           ---------------

SWEDEN -- (6.3%)                                                          
COMMON STOCKS -- (6.3%)                                                   
  *ADCore AB                                           50              107
  *Active Biotech AB Series A                       4,160           27,803
  *Active Biotech AB Series B                      20,080          150,146

 172

N-CSR
177th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 177th
                                                                [Download Table]

                                                SHARES           VALUE+
                                       ---------------  ---------------
                                                                       
   Addtech AB Series B                          12,800  $        65,219
  *Alfaskop AB                                   3,200              339
   Angpannefoereningen AB Series B              10,800          165,800
 *#Anoto Group AB                               83,833          184,173
   Axfood AB                                    49,500        1,100,569
 *#Axis AB                                      42,700           88,722
  *B & N Bylock & Nordsjoefrakt AB                                     
     Series B                                   41,800           69,150
   Beiger Electronics AB                        11,700          109,938
   Beijer AB Series B                           11,700          120,003
   Beijer Alma AB Series B                      10,400           89,464
   Bergman & Beving AB Series B                 36,200          221,337
  #Biacore International AB                      7,850          180,249
   Bilia AB Series A                           116,725        1,421,198
   Billerud AB                                  38,800          575,112
  *Boliden AB                                   53,200          239,383
  *Bong Ljungdahl AB                             9,000           28,586
  *Boras Waefveri AB Series B                    8,600           40,860
  *Boss Media AB                                25,500           72,557
  *Capio AB                                     48,100          350,115
   Capona AB                                    19,000          143,328
   Carbo AB                                     27,800          702,718
   Castellum AB                                 39,900          844,881
   Cloetta AB Series B                          15,600          355,104
  *Concordia Maritime AB Series B               37,300           72,072
  *Connecta AB                                     250              208
   D. Carnegie & Co. AB                         62,000          562,063
  *Digital Illusions AB Series A                 5,000           30,638
  *Doro Telefoni AB Series A                     2,900            3,493
   Drott Series AB                              85,400        1,497,534
  *Duroc AB Series B                             2,700            4,645
  *Elekta AB                                    24,800          466,061
  *Enea Data AB Series B                       440,000          142,666
   Eniro AB                                     51,300          458,273
   Fagerhult AB                                  2,900           37,612
  *Fagerlid Industrier AB                        8,600                0
 *#Finnveden AB                                 57,000          338,707
  *Frontec AB Series B                          18,200           13,007
   Getinge AB                                  176,604        1,659,441
   Geveko AB Series B                            8,300          157,079
  *Glocalnet AB                                129,100           80,131
   Gorthon Lines AB Series B                    41,800          106,767
   Gunnebo AB                                   17,100          423,195
   HL Display AB Series B                        4,200           58,363
   Haldex AB                                    39,000          505,817
   Heba Fastighets AB Series B                   4,300           51,217
   Hexagon AB Series B                           3,572           92,183
  *Hiq International AB                         21,500           36,990
   Hoganas AB Series B                          31,700          656,563
  *IBS AB Series B                              65,200          114,763
  *Industrial & Financial Systems AB                                   
     Series B                                   29,700           30,462
  *Industrifoervaltnings AB Skandigen           21,400           55,227
  *Intentia International AB Series B           75,420           69,370
  *Intrum Justitia AB                           52,600          263,136
   Karlshamns AB                                14,900          182,403
   Kinnevik Industrifoervaltnings AB                                   
     Series B                                   44,400        1,325,050
   Klippans Finpappersbruk AB                    5,800           13,279
  *Klovern AB B Shares                          23,226           50,410
   Kungsleden AB                                17,600          449,545
  *LGP Allgon Holding AB                        41,280  $       244,749
   Lagercrantz Group AB Series B                12,800           38,962
   Lindex AB                                    16,100          485,807
   Ljungberg Gruppen AB Series B                 3,800           50,291
  *Lundin Petroleum AB                         154,000          468,761
  *Mandator AB                                   6,840            1,530
  *Meda AB Series A                              6,625          114,858
 *#Medivir Series B                              4,900           68,739
 *#Micronic Laser Systems AB                    27,200          269,981
 *#Modern Times Group AB Series B               41,100          824,057
   NCC AB Series B                              38,200          272,998
  *Net Insight AB Series B                     111,400           19,903
   New Wave Group AB Series B                    9,000          172,113
   Nibe Industrier AB                           12,200          196,980
   Nolato AB Series B                           42,840          273,842
   OEM International AB Series B                 7,100           87,386
  #OMHEX AB                                     78,100          878,563
   Observer AB                                 137,856          611,186
   Orc Software AB                              10,500          126,454
  *Ortivus AB                                    5,900           24,596
   PEAB AB Series B                             62,600          339,673
   Pandox Hotelfastigheter AB                   20,100          289,952
  *Partnertech AB                                3,800           17,350
  *Pergo AB                                     43,300           87,103
   Poolia AB Series B                           18,150           55,727
  *Prevas AB Series B                           16,000           19,693
  *Pricer AB Series B                           91,000            6,744
  *Proact It Group AB                           15,000           48,438
   Proffice AB                                  72,800          202,327
  *Protect Data AB                               6,500           23,226
  *PyroSequencing AB                            21,500           33,860
 *#Q-Med AB                                     20,000          423,499
  *Readsoft AB Series B                         17,800           27,797
   Rottneros Bruk AB                           366,600          409,970
   SSAB Swedish Steel Series A                  60,300          993,550
   SSAB Swedish Steel Series B                  17,100          270,437
   Sardus AB                                     5,700           75,813
  *Scribona AB Series A                         40,100           71,113
  *Scribona AB Series B                         31,700           57,056
  *Semcon AB                                    18,300           39,235
  *Sigma AB Series B                            25,800           13,214
  *Skistar AB                                    5,600          138,590
  *Song Network Holding                         43,845          356,860
   Sweco AB Series B                            23,450          204,828
  *Switchcore AB                                72,020           37,363
   TV 4 AB Series A                              7,000          134,329
  #Teleca AB Series B                           41,200          212,104
  *Telelogic AB                                162,400          270,807
  *Ticket Travel Group AB                        4,500            5,777
   Trelleborg AB Series B                       75,400        1,167,509
  *WM-Data AB Series B                         275,800          558,455
   Wallenstam Byggnads AB Series B              16,700          363,568
  *Wedins Norden AB Series B                   280,000           72,260
  *Westergyllen AB Series B                      4,300           29,877
   Whilborg Fastigheter AB Class B              57,960          690,357
  *Wilh. Sonesson AB Series A                    4,160            8,809
  *Wilh. Sonesson AB Series B                    4,160            8,919
                                                        ---------------
TOTAL COMMON STOCKS                                                    
   (Cost $21,256,079)                                        30,353,176
                                                        ---------------

 173

N-CSR
178th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 178th
                                                                [Download Table]

                                                 SHARES           VALUE+
                                        ---------------  ---------------
                                                                        
RIGHTS/WARRANTS -- (0.0%)                                               
*Pricer AB Rights 12/09/03                                              
   (Cost $0)                                     91,000  $           602
                                                         ---------------
TOTAL -- SWEDEN                                                         
   (Cost $21,256,079)                                         30,353,778
                                                         ---------------

NETHERLANDS -- (5.8%)                                                   
COMMON STOCKS -- (5.8%)                                                 
  *AFC Ajax NV                                   10,787           65,300
   AM NV                                         63,300          469,693
 *#ASM International NV                          35,850          678,994
   Aalberts Industries NV                        25,910          661,556
   Accell Group NV                                5,010          135,126
  *Airspray NV                                    3,800           83,815
   Arcadis NV                                    14,000          152,717
  *Atag Group NV                                  4,630            1,609
   Athlon Groep NV                               34,250          574,788
   Batenburg Beheer NV                            3,000          100,333
  *Begemann Groep NV                             11,909           57,102
  *Begemann Groep NV Series B                    13,451            9,352
  *Beter Bed Holding NV                           4,900           48,165
   Boskalis Westminster NV                       51,300        1,271,708
  *Brunel International NV                       12,000           78,397
   Buhrmann NV                                   99,080          752,999
  *Copaco NV                                      7,000           26,432
  *Crucell NV                                    26,050          129,279
   Delft Instruments NV                          13,336          229,402
 *#Draka Holding NV                              14,287          257,920
  *Econosto NV                                   17,305           28,004
   Eriks Group NV                                 9,032          303,044
  *Exact Holding NV                              16,800          427,945
   Fornix Biosciences NV                          2,531           40,534
  *Fox Kids Europe NV                            56,900          402,424
   Gamma Holding NV                              15,705          652,320
   Gemeenschappeljk Bezit Crown van                                     
     Gelder NV                                   12,000          194,193
 *#Getronics NV                                 240,180          495,205
   Grolsche NV                                   32,100          875,399
   Grontmij NV                                    2,053           51,951
  #Hagemeyer NV                                  75,500          208,158
   Heijmans NV                                   15,477          320,033
   ICT Automatisering NV                          5,800           80,094
  #Imtech NV                                     28,645          631,809
  *Ispat International NV                        65,245          453,622
   KLM (Koninklijke Luchtvaart Mij) NV           24,800          392,117
   Kas Bank NV                                   42,888          797,897
  *Kendrion NV                                   21,454          106,213
   Koninklijke Bam NV                            25,037          655,472
   Koninklijke Frans Maas Groep NV               12,349          373,777
   Koninklijke Nedlloyd NV                       23,472          777,973
  #Koninklijke Ten Cate NV                       11,088          470,119
   Koninklijke Vendex KBB NV                     68,200          884,568
  #Koninklijke Vopak NV                          43,400          780,370
 *#Laurus NV                                    416,097          673,361
   MacIntosh NV                                  15,590          271,912
  *Maverix Capital NV                             1,500           68,327
  *NH Hoteles                                    21,703          254,956
  #NV Holdingsmij de Telegraaf                   38,050          812,796
   Nederlandsche Apparatenfabriek                14,000          322,217
  *New Skies Satellites NV                       94,650          654,660
   Nutreco Holding NV                            24,583          670,403
   Oce NV                                        60,200  $       860,186
   Opg Groep NV Series A                         10,100          385,733
 *#Petroplus International NV                    22,363          173,442
  *Pinkroccade NV                                16,700          200,587
   Randstad Holdings NV                          42,700          852,239
   Reesink NV                                     2,050          119,183
   Roto Smeets de Boer NV                         2,640           82,597
   Rubber Cultuur Maatschappij                                          
     Amsterdam NV                                40,800          110,043
  *SNT Groep NV                                   9,400          141,977
  *Samas-Groep NV, Zaandam                       24,184          127,846
  *Scala Business Solutions NV                   12,100           44,674
  *Semiconductor Industries NV                   21,900          161,188
   Sligro Food Group Beheer                      14,528          426,669
   Smit Internationale NV                        20,578          604,103
   Stern Groep NV                                 1,236           43,560
   Stork NV                                      22,700          440,003
  *Textielgroep Twenthe NV                        1,000            2,997
  *Tulip Computers NV                            53,860           17,432
   Twentsche Kabel Holding NV                    18,244          413,334
   United Services Group NV                      15,565          314,390
   Univar NV                                      7,050          111,976
   Van Der Mollen Holding NV                     57,660          411,255
   Vedior NV                                     74,880        1,133,675
  *Versatel Telecom International NV            336,600          685,934
  *Wegener Arcade NV .                           70,830          596,887
                                                         ---------------
TOTAL -- NETHERLANDS                                                    
   (Cost $19,502,763)                                         28,378,470
                                                         ---------------
SPAIN -- (5.4%)                                                         
COMMON STOCKS -- (5.4%)                                                 
  #Abengoa SA                                    56,900          402,424
   Adolfo Dominguez SA                            3,700           64,400
   Aldeasa SA                                    13,200          307,128
  *Amper SA                                      56,800          260,775
  *Avanzit SA                                    17,275           54,669
 *#Azkoyen SA                                    52,500          257,396
   Banco de Andalucia                             9,800          822,325
   Banco de Credito Balear SA                    35,424          721,882
   Banco de Valencia SA                         188,053        3,345,288
   Banco Guipuzcoano SA                          21,194          495,412
   Banco Pastor SA                               34,300        1,008,170
  *Baron de Ley SA                                4,200          188,195
   CAF (Construcciones y Auxiliar de                                    
     Ferrocarriles SA)                            7,500          543,921
   Campofrio Alimentacion SA                     92,800        1,007,849
   Cementos Portland SA                          16,881          910,605
   Compania de Distribucion Integral                                    
     Logista SA                                  29,600          830,285
   Cortefiel SA                                  49,200          415,790
  *Dogi International Fabrics SA                  4,000           17,981
   Elecnor SA                                    18,300          743,653
  *Ercros SA                                    100,518           44,583
  *Espanola del Zinc SA                          29,250           52,945
  *Estacionamientos Urbanos SA                    4,200                0
  #Europistas Concesionaria                                             
     Espanola SA                                174,940        1,042,233
   Faes Farma SA                                 27,111          384,784
   Funespana SA                                   4,500           27,511
   Grupo Empresarial Ence SA                     16,040          324,945
 *#Grupo Picking Pack SA                        145,775           83,877

 174

N-CSR
179th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 179th
                                                                [Download Table]

                                                SHARES           VALUE+
                                       ---------------  ---------------
                                                                       
   Hullas del Coto Cortes                        8,666  $       105,959
   Iberpapel Gestion SA                          6,700          122,881
   Inbesos SA                                    8,050           31,941
  *Indo Internacional SA                        33,600          149,025
   Indra Sistemas SA                            75,200          905,948
   Inmobiliaria Colonial SA ICSA                35,200          754,448
   Inmobiliaria del Sur SA                         331           54,755
  *Inmobiliaria del Sur SA Issue 2003               47            7,775
   Inmobiliaria Urbis SA                        80,282          731,394
  *LSB (La Seda de Barcelona SA)                                       
     Series B                                   25,200           54,676
   Lingotes Especiales SA                       22,080          126,781
  *Mecalux SA                                    9,500           39,288
   Metrovacesa SA                               14,187          432,144
  *Nicolas Correa SA                            15,750           53,808
   Obrascon Huarte Lain SA                      53,992          345,613
  *Parques Reunidos SA                          15,300          114,078
   Pescanova SA                                 26,443          405,416
   Prosegur Cia de Seguridad SA                 38,800          637,194
   Recoletos Grupo de                                                  
     Comunicacion SA                            82,300          695,518
  *SOS Cuetara SA                               10,400          263,671
  *Sogecable SA                                 34,600        1,032,749
  #Sol Melia SA                                112,700          801,121
   Tavex Algodonera SA                          31,944          125,215
  *Tecnocom Telecomunicaciones y                                       
     Energia SA                                  6,300           33,757
 *#Tele Pizza SA                               122,900          206,253
   Transportes Azkar, SA                        26,700          162,910
   Tubacex SA                                   73,130          125,358
   Unipapel SA                                  34,946          627,103
  *Unipapel SA Shares Issue                      6,989          125,417
  #Uralita SA                                  112,831          988,702
   Vidrala SA, Alava                            47,040          670,453
   Viscofan Industria Navarra de                                       
     Envolturas Celulosicas SA                  97,492          816,894
                                                        ---------------
TOTAL -- SPAIN                                                         
     (Cost $14,981,913)                                      26,107,271
                                                        ---------------
FINLAND -- (4.8%)                                                      
COMMON STOCKS -- (4.8%)                                                
   Alandsbanken AB Series B                      1,700           39,534
  *Aldata Solutions Oyj                         56,965          132,474
   Alma Media Oyj                                7,797          261,233
  *Amanda Capital Oyj                           51,210           11,050
   Amer-Yhtymae Oyj Series A                    22,120          925,401
  *Aspo P.L.C.                                   7,050          117,892
   Aspocomp Group P.L.C.                        12,738          157,274
  *Basware Oyj                                   7,050           46,481
  *Benefon Oy                                    1,900              934
  *Biotie Therapies Oyj                         39,754           38,600
   Capman Oyj Series B                          12,485           27,238
 *#Comptel Oyj                                  92,066          257,143
   Elcoteq Network Corp.                        16,210          322,560
  *Elektrobit Group Oyj                        571,957          377,090
  *Elisa Communications Corp.                   74,525        1,022,885
  *Eq Online Oyj                                 7,100           18,384
  *Evox Rifa Group Oyj                          51,210            8,594
 *#F-Secure Oyj                                124,968          212,719
   Finnair Oyj                                  77,910          501,518
   Finnlines Oyj                                30,280        1,041,372
  #Fiskars Oy AB Series A                       32,370  $       422,950
   HK Ruokatalo Oy Series A                     16,370          130,494
  #Huhtamaki Van Leer Oyj                       92,100        1,017,911
   Ilkka-Yhtyma Oyj                              1,890           67,968
  #J.W. Suominen Yhtyma Oy                      11,970           95,419
   Jaakko Poyry Group Oyj                       12,500          329,649
   KCI Konecranes International Oyj             13,800          443,998
   Kemira Oyj                                  118,400        1,298,650
   Kesko Oyj                                    32,060          557,251
   Laennen Tehtaat Oy                            3,930           55,166
   Lassila & Tikanoja Oyj                       14,350          471,671
   Lemminkainen Oy                              14,600          358,778
   Martela Oy                                      530            8,675
   Metsaemarkka Oyj Series B                       700            5,454
   New Kyro Corp. Oyj                           36,470          349,740
   Nokian Renkaat Oyj                            9,700          759,284
   Nordic Aluminium Oy                           1,900           18,335
  *Okmetic Oyj                                   9,794           41,091
   Okobank Class A                              33,440          709,110
   Olvi Oyj Series A                             3,320           57,269
   Orion-Yhtyma Oyj Series A                    20,590          459,080
   Orion-Yhtyma Oyj Series B                    30,460          681,335
   Outokumpu Oyj Series A                       21,100          282,018
   Oy Stockmann AB Series B                     24,300          583,454
   PK Cables Oyj                                 4,760          128,669
  #Perlos P.L.C. Warrants 04/04/04              47,791          361,489
   Pohjola Group P.L.C. Series D                46,185        1,137,158
  *Polar Real Estate Corp. Series K            154,810          142,892
   Ponsse Oyj                                    6,300          136,313
  *Proha Oyj                                    30,082           27,406
   Raisio Group P.L.C. Series V                118,423          191,641
   Rakentajain Koneuvokrammo Oy                 10,260           70,965
  *Ramirent Oyj                                  5,420           93,883
   Rapala VMC Oyj                               30,970          197,502
  *Rautaruukki Oyj Series K                    126,380          931,693
   Rocla Oy                                      1,300           10,753
  *Saunalahti Group Oyj                         92,364          117,362
  *Scanfil Oyj                                  55,249          390,747
   Sponda Oyj                                   71,121          549,891
   Stockmann Oyj AB                             20,480          491,489
  *Stonesoft Corp.                              49,279           40,169
  *Suominen Corp. Issue 2003 Shares              5,985           42,687
  *Sysopen P.L.C.                                7,720           39,330
   Talentum Oyj                                 18,300          103,541
  *Tecnomen Holding Oyj                         36,470           53,773
   Teleste Corp. Oyi                            11,499           81,326
   Uponor Oyj Series A                          34,000          988,348
  *Vacon Oyj                                    12,497          145,310
   Vaisala Oy Series A                          12,650          356,351
   Viking Line AB                                3,240           89,756
  #Wartsila Corp. Oyj Series B                  40,160          746,182
   Yit-Yhtymae Oyj                              26,854          856,269
                                                        ---------------
TOTAL -- FINLAND                                                       
   (Cost $15,188,165)                                        23,248,021
                                                        ---------------
NORWAY -- (4.2%)                                                       
COMMON STOCKS -- (4.2%)                                                
  *Aker Kvaerner ASA                            67,930        1,124,959
   Aktiv Kapital ASA                            48,017          436,298
   Arendals Fosse Kompani ASA                      100            8,354
  *Avantor Financial Corp.                      13,270          115,227

 175

N-CSR
180th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 180th
                                                                [Download Table]

                                                    SHARES           VALUE+
                                           ---------------  ---------------
                                                                           
  *Blom ASA                                         18,367  $         3,311
  #Bonheur ASA                                       9,800          213,998
  *C. Tybring-Gjedde ASA                         1,451,452           53,179
  *Choice Hotel Scandinavia ASA                     27,740           74,803
  *Corrocean ASA                                    19,321            8,070
  *DOF ASA                                          97,006          181,972
   Den Norske Oljeselkapet                          85,320          325,103
 *#EDB Elektronisk Data Behandling ASA             137,617          780,512
   Ekornes ASA                                      52,390          905,998
 *#Eltek ASA                                        40,842          298,080
  *Expert ASA                                       48,758          242,953
   Farstad Shipping ASA                             60,790          512,267
  *Fjord Seafood ASA                               629,483          302,590
 *#Fred Olsen Energy ASA                            91,600          322,184
   Ganger Rolf ASA                                   6,690          127,458
  *Gresvig ASA                                       4,590           16,884
  *Hafslund ASA                                     58,700          302,815
  *Home Invest ASA                                  15,077           11,048
  *Industrifinans Naeringseiendom ASA                7,582           11,112
  *Kenor ASA                                       175,716          157,601
  #Kongsberg Gruppen ASA                            45,600          681,650
  #Kverneland ASA                                   16,160          168,150
  *Merkantildata ASA                               320,521          230,170
  *Natural ASA                                      10,143           63,622
 *#Nera ASA                                        187,753          398,980
  *Nordic VLSI ASA                                   5,000           52,759
 *#Ocean Rig ASA                                    66,031          109,351
  #Odfjell ASA Series A                             24,910          489,187
   Olav Thon Eiendomsselskap ASA                     8,320          347,508
  *P4 Radio Hele Norge ASA                          32,200           17,932
 *#Photocure ASA                                    26,690          176,018
   Prosafe ASA                                      51,530          977,972
  #Rieber and Son ASA Series A                      63,654          471,101
   Schibsted ASA                                    96,160        1,634,741
  *Sinvest ASA                                     270,349            3,566
  #Smedvig ASA Series A                             83,580          563,452
  *Software Innovation ASA                          13,423           40,327
   Solstad Offshore ASA                             54,100          329,035
  *Steen and Stroem ASA                             19,512          353,155
  *Storebrand ASA                                  183,330        1,120,382
  *Tandberg ASA Series A                           200,080        1,451,461
 *#Tandberg Data ASA                                58,950          161,556
  *Tandberg Storage ASA                             48,450           10,367
  *Tandberg Television ASA                          76,230          318,396
  *Telecomputing ASA                                44,963           74,461
 *#Tgs-Nopec Geophysical Co. ASA                    34,410          403,433
   Tomra Systems ASA                               271,280        1,538,599
  *Unit 4 Agresso NV                                 4,620           46,718
   Veidekke ASA                                     21,846          168,085
   Visma ASA                                        47,393          475,775
   Wilhelmshaven (Wilhelm), Ltd. ASA                28,000          718,113
                                                            ---------------
TOTAL COMMON STOCKS                                                        
   (Cost $17,368,700)                                            20,132,798
                                                            ---------------
BONDS -- (0.0%)                                                            
   Aker RGI Holding ASA                                                    
    ***4.660%, 12/05/03                                                    
     (Cost $297,547)                                 2,010          176,761
                                                            ---------------
INVESTMENT IN CURRENCY -- (0.0%)                                           
  *Norwegian Krone                                                         
   (Cost $1,415)                                                      1,423
                                                            ---------------
TOTAL -- NORWAY                                                            
   (Cost $17,667,662)                                       $    20,310,982
                                                            ---------------

DENMARK -- (4.1%)                                                          
COMMON STOCKS -- (4.1%)                                                    
  #AS Dampskibsselsk Torm                           19,830          466,467
   Aarhus Oliefabrik A.S. Aeries A                   4,350          220,072
  *Alm. Brand A.S.                                  24,360          525,930
  #Amagerbanken A.S.                                 2,394          235,288
   Ambu International A.S. Series B                    150           15,709
   Amtssparekassen Fyn A.S.                          1,968          221,640
   Bang & Olufsen Holding A.S. Series B             13,387          506,870
   Brodrene Hartmann A.S. Series B                   5,865          123,790
   Bryggerigruppen A.S.                              6,015          334,349
   Christian Hansen Holding A.S. Series B           10,030          555,911
 *#Codan A.S.                                       43,400        1,363,546
   DFDS A.S., Copenhagen                             8,710          252,602
   DSV, De Sammensluttede                                                  
   Vognmaend A.S.                                   22,630          886,005
   Dalhoff, Larsen & Hornemann A.S                                         
   Series B                                          1,370           54,742
   Danware                                           4,185           65,742
   DiskontoBanken A.S.                                 535           94,387
  #East Asiatic Co., Ltd.                           22,723          867,680
   Edb Gruppen A.S.                                  3,230           62,450
  *FLS Industries                                   54,980          589,077
  *Fimiston Resources & Technology Ltd.                400            3,512
   Fluegger A.S. Series B                            2,338          108,865
  *Foras Holding A.S. Series A                       7,082           65,610
   Forstaedernes Bank                                3,547          169,732
  *GN Great Nordic A.S.                            210,980        1,339,316
  *Genmab A.S.                                      25,029          217,762
  *Glunz & Jensen A.S.                               1,470           11,369
   H&H International A.S. Series B                   1,000          191,731
  *Harboes Bryggeri A.S.                               260           51,107
   Hojgaard Holding A.S. Series B                    2,500           60,419
  *IC Co. A.S.                                       3,510           24,318
  *Incentive A.S.                                    3,575           10,656
  *Junckers (F.) Industrier A.S.                       860            8,175
  *Jyske Bank A.S.                                  37,760        1,794,732
   Kjobenhavns Sommer Tivoli A.S.                      190           41,633
   Koebenhavns Lufthavne                             9,910        1,093,729
   Kompan A.S.                                         230           25,384
   NKT Holding A.S.                                 27,245          502,618
  *NTR Holdings A.S.                                 1,130            6,918
 *#Neg Micon A.S.                                   29,108          314,219
  *Neurosearch A.S.                                  7,710          207,451
   Per Aarsleff A.S. Series B                        1,545           46,301
  *Pharmexa A.S.                                     3,235           16,679
 *#RTX Telecom A.S.                                  8,400           78,497
   Radiometer A.S. Series B                          9,188          618,789
   Ringkjobing Bank                                  1,670          100,362
  *Ringkjobing Landbobank                            1,400          322,559
   Rockwool, Ltd.                                    3,820           93,552
  *SAS Danmark A.S.                                 34,300          339,872
   Sanistal A.S. Series B                            1,786           86,327
   Satair A.S.                                       1,350           23,491
   Schouw & Co. A.S.                                13,585          227,635
   Simcorp A.S.                                      5,240          195,869
   Sjaelso Gruppen A.S.                              2,388          159,672
  *Sondagsavisen A.S.                               21,165           85,252
   Spar Nord Holding                                 4,973          394,211
   Sydbank A.S.                                      8,172          979,596

 176

N-CSR
181st “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 181st
                                                                [Download Table]

                                                 SHARES           VALUE+
                                        ---------------  ---------------
                                                                        
  *TK Development                                12,478  $        34,177
   Thrane & Thrane A.S.                           4,208          113,902
  *Topdanmark A.S.                               28,300        1,431,732
   Treka A.S.                                     8,498          134,180
   VT Holdings Shares B                           3,130          132,631
   Vestas Wind Systems A.S.                      27,377          412,423
   Vestjysk Bank A.S.                             1,080          288,157
  *Wessel & Vett Magasin du Nord A.S.                                   
   Series C                                       2,102           46,398
                                                         ---------------
TOTAL -- DENMARK                                                        
   (Cost $14,772,800)                                         20,053,777
                                                         ---------------

BELGIUM -- (3.7%)                                                       
COMMON STOCKS -- (3.7%)                                                 
  *Abfin SA                                       2,560                0
   Ackermans & Van Haaren SA                     24,280          520,980
  *Arinso International NV                       10,630          152,272
   BMT NV                                         2,040          194,409
   Banque Nationale de Belgique                     710        3,045,216
   Barco (New) NV                                 8,970          711,282
   Bekaert SA                                    14,610          817,874
   Brantano NV                                    2,060           66,920
  *Brederode SA                                  12,180          228,643
   CFE (Compagnie Francois                                              
     d'Entreprises)                               2,080          501,163
   Carrieres Unies Porphyre                          20           29,944
   Cie Martime Belge SA                           5,320          315,034
   Cofinimmo SA                                   6,423          829,996
   Commerciale de Brasserie SA                                          
     COBRHA                                         115           96,497
  #D'Ieteren SA                                   3,830          815,382
   Deceuninck SA                                 63,700        1,947,148
  *Docpharma SA NV                                2,950           94,594
  *Duvel Moorgat NV                               3,870          101,178
  *EVS Broadcast Equipment SA                     1,100           44,832
  *Exmar NV                                       3,080          123,684
   Floridienne NV                                 2,033          118,195
   Glaces de Moustier-sur-Sambre SA              13,370          405,642
   Immobel (Cie Immobiliere de                                          
     Belgique SA)                                 4,600          182,518
  *Ion Beam Application SA                       17,780           86,319
  *Ipso-Ilg SA                                    5,990           43,082
  *Kinepolis Group NV                             5,020           90,264
   Melexis NV                                    33,050          369,238
   Metiers Automatiques Picanol                  16,120          390,333
  *Neuhaus NV                                       544           20,222
   Nord-Sumatra Investissements SA                  650          153,497
   Omega Pharma SA                               20,170          567,948
   Papeteries de Catala SA                          315           35,872
  *Quick Restaurants SA                          14,000          149,361
 *#Real Software SA                              10,280            8,996
   Recticel SA                                   20,220          185,422
   Resilux NV                                     1,350          102,518
   Rosier SA                                        655           72,785
   Roularta Media Groep                           7,160          330,355
  *SIPEF (Societe Internationale de                                     
     Plantations & de Finance), Anvers            1,545          250,024
  *Sait Radioholland                              7,313           45,585
   Sapec SA                                       3,635          196,299
  *Sapec SA VVPR                                     75               70
   Sioen Industries                              15,500          138,423
   Societe Belge Des Betons SA                    8,500  $       311,788
  *Solvus SA                                     38,344          471,590
  *Solvus SA Interim Strip VVPR                  18,176              218
   Spector Photo Group SA                         3,688           52,830
  *Systemat SA                                    2,450           11,131
 *#Telindus Group SA                             28,800          249,258
   Ter Beke NV                                    2,281          139,449
   Tessenderlo Chemie                            19,550          615,405
   UNIBRA                                         1,600          133,298
  *Ubizen                                        14,300           15,256
  *Umicore-Strip VVPR                               456              295
  #Union Miniere SA                               9,586          640,047
   VPK Packaging Group SA                         6,345          197,373
   Van de Velde NV                                1,960          225,552
   Warehouses de Pauw Sicafi                      4,998          188,664
                                                         ---------------
TOTAL -- BELGIUM                                                        
   (Cost $12,202,800)                                         17,832,170
                                                         ---------------

AUSTRIA -- (2.7%)                                                       
COMMON STOCKS -- (2.7%)                                                 
  *Austria Email AG                                 715            2,040
  *Austrian Airlines/Oesterreichische                                   
     Luftverkehrs-Aktiengesellschaft             27,880          217,233
   BBAG Oesterreichische                                                
     Brau-Beteiligungs AG                         7,984        1,181,876
   BWT AG                                        13,530          213,925
   Bank Fuer Kaernten und                                               
     Steiermark AG                                  520           60,059
   Bohler Uddeholm AG                             9,020          583,118
   Brau Union Goess-Reinighaus AG                10,720        1,627,879
  *Ca Immobilien Invest AG                       22,003          501,663
   Constantia-Iso Holding AG                     15,000          152,837
   Constantia-Verpackungen AG                     6,000          100,693
   Flughafen Wien AG                             14,792          629,469
  *Immofinanz Immobilien Anlagen AG             165,130        1,243,097
  #Lenzing AG                                     3,424          491,301
   Manner (Josef) & Co. AG                          870           34,415
   Mayr-Melnhof Karton AG                         9,840        1,054,631
   Oberbank AG                                    3,555          303,416
   Palfinger AG                                   7,610          199,869
  *RHI AG, Wien                                  18,559          292,995
  *Readymix Kies-Union AG                           500           40,157
   Rosenbauer International AG                      850           43,773
  *Sparkassen Immobilien                         24,880          225,770
   Ubm Realitaetenentwicklung AG                    360           31,718
  #Uniqa Versicherungen AG                       79,223          749,286
  *VA Technologie AG                             11,400          316,902
   Voestalpine AG                                30,095        1,188,692
   Wienerberger AG                               63,642        1,611,991
  *Wolford AG                                     4,100           88,466
                                                         ---------------
TOTAL COMMON STOCKS                                                     
   (Cost $8,758,421)                                          13,187,271
                                                         ---------------
RIGHTS/WARRANTS -- (0.0%)                                               
  *  Jenbacher AG Rights 03/31/08                                       
   (Cost $0)                                      7,860                0
                                                         ---------------

TOTAL -- AUSTRIA                                                        
   (Cost $8,758,421)                                          13,187,271
                                                         ---------------

 177

N-CSR
182nd “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 182nd
                                                        [Enlarge/Download Table]

                                                                 SHARES           VALUE+
                                                        ---------------  ---------------
                                                                                        
IRELAND -- (2.7%)                                                                       
COMMON STOCKS -- (2.7%)                                                                 
   Abbey P.L.C.                                                  25,557  $       196,069
  *Arcon International Resources P.L.C.                         143,750            7,237
  *Ardagh P.L.C.                                                 14,262           12,019
  *Barlo Group P.L.C.                                           182,053           82,928
   DCC P.L.C.                                                    91,965        1,207,136
  *Dragon Oil P.L.C.                                            104,167           57,439
  *Elan Corp. P.L.C.                                            154,046          830,964
   Fyffes P.L.C.                                                380,502          702,420
   Glanbia P.L.C.                                               321,765          755,987
  *Grafton Group P.L.C.                                         253,939        1,628,556
   Greencore Group P.L.C.                                       213,126          779,212
   Heiton Holdings P.L.C.                                        51,677          229,202
   IAWS Group P.L.C.                                            105,879        1,186,700
   IFG Group P.L.C.                                              37,599           43,268
   IWP International P.L.C.                                      39,611           14,245
   Independent News & Media P.L.C.                              618,550        1,497,771
  *Iona Technologies P.L.C.                                      21,281           98,214
   Irish Intercontental Group P.L.C.                             18,872          228,485
   Jurys Hotel Group P.L.C.                                      69,061          836,130
   Kingspan Group P.L.C.                                        183,188          878,368
   McInerney Holdings P.L.C.                                     33,991          165,835
   Paddy Power P.L.C.                                            49,663          415,535
   Readymix P.L.C.                                              109,762          243,413
   Ryan Hotels P.L.C.                                            68,061           85,666
   United Drug P.L.C.                                           188,448          535,376
   Waterford Wedgwood P.L.C.                                    806,657          270,749
                                                                         ---------------
TOTAL IRELAND                                                                           
   (Cost $9,498,217)                                                          12,988,924
                                                                         ---------------
PORTUGAL -- (1.6%)                                                                      
COMMON STOCKS -- (1.6%)                                                                 
  *Corticeira Amorim Sociedad Gestora                                                   
     Participacoes Sociais SA                                   194,100          211,732
  *EFACEC (Empresa Fabril de                                                            
     Maquinas Electricas)                                        20,200           77,485
  *Ibersol SGPS SA                                               14,462           67,263
  *Impresa Sociedade Gestora de                                                         
     Participacoes Socias SA                                    163,000          679,964
  *Impresa Sociedade Gestora de                                                         
     Participacoes Socias SA New                                                        
     Shares                                                      27,166          113,325
  *Investimentos Participacoes e Gestao                                                 
     SA Inapa                                                    43,702          137,777
  *Jeronimo Martins (Estabelecimentos                                                   
     Jeronimo Martins & Filho                                                           
     Administracao e Participacoes                                                      
     Financeiros SA)                                            130,000        1,371,341
  *Mota-Engil SGPS SA                                           250,900          448,132
  *Novabase SGPS                                                 56,005          399,451
  *Portucel-Empresa Produtora de                                                        
     Pasta de Papel SA                                          466,977          778,090
  *Sag Gest - Solucoes Automovel                                                        
     Globais SGPS SA                                            235,500          409,334
  *Salvador Caetano - Industrias                                                        
     Metalurgicas e Veiculos de                                                         
     Transporte SA                                               54,900          197,430
  *Sociedad Construcoes Soares da                                                       
     Costa SA                                                    19,200  $        44,190
  *Sociedade de Investimento e Gestao                                                   
     SGPS SA                                                    160,396          721,015
  *Sonae SGPS SA                                              1,079,900          906,152
  *Sonaecom SGPS SA                                             321,175          885,501
  *Teixeira Duarte Engenharia e                                                         
     Construcoes SA                                             609,000          562,118
                                                                         ---------------
TOTAL -- PORTUGAL                                                                       
     (Cost $6,340,397)                                                         8,010,300
                                                                         ---------------

EMU -- (0.1%)                                                                           
INVESTMENT IN CURRENCY -- (0.1%)                                                        
  *Euro Currency                                                                        
     (Cost $463,597)                                                             475,138
                                                                         ---------------

UNITED STATES -- (0.0%)                                                                 
COMMON STOCKS -- (0.0%)                                                                 
  *InFocus Corp.                                                                        
     (Cost $190,357)                                             10,455           82,804
                                                                         ---------------

UNITED KINGDOM -- (0.0%)                                                                
INVESTMENT IN CURRENCY -- (0.0%)                                                        
  *British Pound Sterling                                                               
     (Cost $7,627)                                                                 8,306
                                                                         ---------------


                                                              FACE                      
                                                             AMOUNT                     
                                                             ------                     
                                                             (000)                      
                                                                                        
TEMPORARY CASH                                                                          
  INVESTMENTS -- (8.8%)                                                                 
Repurchase Agreement, PNC Capital                                                       
  Markets, Inc. 0.82%, 12/01/03                                                         
  (Collateralized by $4,625,000 FHLB                                                    
  Notes 1.875%, 02/15/05, valued at                                                     
  $4,659,688) to be repuchased at                                                       
  $4,590,314 (Cost $4,590,000)                          $         4,590        4,590,000
Repurchase agreement, Mizuho                                                            
  Securities USA, 1.05%, 12/01/03 (Collateralized by                                    
  $54,183,000 U.S. Treasury Obligations, rates ranging                                  
  from 2.976% to 5.625%, maturities ranging from                                        
  02/15/06 to 11/15/25, valued at $38,000,919) to be                                    
  repurchased at $38,004,244                                                            
  (Cost $38,000,919)~                                            38,001       38,000,919
                                                                         ---------------
TOTAL TEMPORARY CASH                                                                    
  INVESTMENTS                                                                           
  (Cost $42,590,919)                                                          42,590,919
                                                                         ---------------
TOTAL INVESTMENTS -- (100.0%)                                                           
   (Cost $366,549,627)++                                                 $   485,434,900
                                                                         ===============

----------                                                                      
+  See Note B to Financial Statements.                                      
~  Security purchased with cash proceeds from securities on loan            
*  Non-Income Producing Securities                                          
#  Total or Partial Securities on Loan                                      
***  Rates shown are the rates as of November 30, 2003, and maturities shown are
the next interest readjustment date.                                  
++  The cost for federal income tax purposes is $363,107,669                  

 See accompanying Notes to Financial Statements.

178 

N-CSR
183rd “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 183rd
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
 JUNE 30, 2004
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)       

                                                        [Enlarge/Download Table]

                                                               THE          THE      THE UNITED       THE    
                                                            JAPANESE    PACIFIC RIM    KINGDOM    CONTINENTAL
                                                              SMALL        SMALL        SMALL        SMALL   
                                                             COMPANY      COMPANY      COMPANY      COMPANY  
                                                             SERIES       SERIES       SERIES       SERIES   
                                                           -----------  -----------  -----------  -----------
                                                                                                             
ASSETS:                                                                                                      
Investments at Value (including $115,682, $13,462, $0 and                                                    
   $65,441 of securities on loan, respectively)            $   604,886  $   216,085  $   328,128  $   641,258
Cash                                                                16           15           15           15
Receivables:                                                                                                 
   Dividends, Interest and Tax Reclaims                          2,271          201        1,109        2,046
   Investment Securities Sold                                       --            4          993        1,541
   Securities Lending Income                                       154           22           --           95
Prepaid Expenses and Other Assets                                    2            1            1            2
                                                           -----------  -----------  -----------  -----------
     Total Assets                                              607,329      216,328      330,246      644,957
                                                           -----------  -----------  -----------  -----------
LIABILITIES:                                                                                                 
Payables:                                                                                                    
   Collateral on Securities Loaned                             122,176       16,784           --       69,376
   Investment Securities Purchased                               1,017        1,777       22,942          299
   Due to Advisor                                                   38           16           24           47
Accrued Expenses and Other Liabilities                              81           52           70          102
                                                           -----------  -----------  -----------  -----------
     Total Liabilities                                         123,312       18,629       23,036       69,824
                                                           -----------  -----------  -----------  -----------
NET ASSETS                                                 $   484,017  $   197,699  $   307,210  $   575,133
                                                           ===========  ===========  ===========  ===========
Investments at Cost                                        $   623,649  $   238,088  $   254,209  $   466,497
                                                           ===========  ===========  ===========  ===========

 179

N-CSR
184th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 184th
STATEMENTS OF ASSETS AND LIABILITIES
 NOVEMBER 30, 2003
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)

                                                        [Enlarge/Download Table]

                                                              THE          THE      THE UNITED       THE    
                                                           JAPANESE    PACIFIC RIM    KINGDOM    CONTINENTAL
                                                             SMALL        SMALL        SMALL        SMALL   
                                                            COMPANY      COMPANY      COMPANY      COMPANY  
                                                            SERIES       SERIES       SERIES       SERIES   
                                                          -----------  -----------  -----------  -----------
                                                                                                            
ASSETS:                                                                                                     
Investments at Value (including $70,102, $14,329, $0 and                                                    
   $35,965 of securities on loan, respectively)           $   357,956  $   174,033  $   164,366  $   485,435
Cash                                                               16           15           16           16
Receivables:                                                                                                
   Dividends, Interest, and Tax Reclaims                        1,019          233          338        1,153
   Investment Securities Sold                                     225            2           --           66
   Securities Lending Income                                       --           19           --           --
   Fund Shares Sold                                                --           --          152           --
                                                          -----------  -----------  -----------  -----------
     Total Assets                                             359,216      174,302      164,872      486,670
                                                          -----------  -----------  -----------  -----------
LIABILITIES:                                                                                                
Payables:                                                                                                   
   Collateral on Securities Loaned                             73,727       16,984           --       38,001
   Investment Securities Purchased                              1,714          490        3,908          153
   Due to Advisor                                                  24           13           13           36
Accrued Expenses and Other Liabilities                             52           50           34           73
                                                          -----------  -----------  -----------  -----------
     Total Liabilities                                         75,517       17,537        3,955       38,263
                                                          -----------  -----------  -----------  -----------
NET ASSETS                                                $   283,699  $   156,765  $   160,917  $   448,407
                                                          ===========  ===========  ===========  ===========
Investments at Cost                                       $   490,771  $   188,619  $   124,176  $   366,550
                                                          ===========  ===========  ===========  ===========

 See accompanying Notes to Financial Statements.

 180

N-CSR
185th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 185th
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2003
(AMOUNTS IN THOUSANDS)

                                                        [Enlarge/Download Table]

                                                                  THE           THE       THE UNITED        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 $354, $142, $408                                                       
   and $1,105 respectively)                                   $     3,107   $     4,363   $     4,062   $     7,905
Interest                                                               54            34            28           240
Income from Securities Lending                                        717           133            --           555
                                                              -----------   -----------   -----------   -----------
     Total Investment Income                                        3,878         4,530         4,090         8,700
                                                              -----------   -----------   -----------   -----------
EXPENSES                                                                                                           
   Investment Advisory Services                                       229           124           116           311
   Accounting & Transfer Agent Fees                                   294           159           148           381
   Custodian Fees                                                      98            95            30           236
   Legal Fees                                                           2            --             1             4
   Audit Fees                                                           2             1             2             5
   Shareholders' Reports                                                2             1             2             2
   Trustees' Fees and Expenses                                          3             1             1             4
   Other                                                                3             2             1             4
                                                              -----------   -----------   -----------   -----------
     Total Expenses                                                   633           383           301           947
                                                              -----------   -----------   -----------   -----------
   NET INVESTMENT INCOME (LOSS)                                     3,245         4,147         3,789         7,753
                                                              -----------   -----------   -----------   -----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT                                                              
   SECURITIES AND FOREIGN CURRENCY                                                                                 
   Net Realized Gain (Loss) on Investment Securities Sold         (18,120)         (436)       (1,016)       12,045
   Net Realized Gain (Loss) on Foreign Currency Transactions           54            18            30           315
   Change in Unrealized Appreciation (Depreciation) of                                                             
     Investment Securities and Foreign Currency                   101,101        56,281        42,580       120,867
   Translation of Foreign Currency Denominated Amounts                 16             4             5            69
                                                              -----------   -----------   -----------   -----------
   NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN                                                            
     CURRENCY                                                      83,051        55,867        41,599       133,296
                                                              -----------   -----------   -----------   -----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM                                                               
   OPERATIONS                                                 $    86,296   $    60,014   $    45,388   $   141,049
                                                              ===========   ===========   ===========   ===========

 See accompanying Notes to Financial Statements.

 181

N-CSR
186th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 186th
 STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)

                                                        [Enlarge/Download Table]

                                               THE JAPANESE               THE PACIFIC RIM       
                                                   SMALL                       SMALL            
                                                  COMPANY                     COMPANY           
                                                  SERIES                      SERIES            
                                        --------------------------   -------------------------- 
                                           YEAR           YEAR          YEAR           YEAR     
                                           ENDED          ENDED         ENDED          ENDED    
                                         NOV. 30,       NOV. 30,      NOV. 30,       NOV. 30,   
                                           2003           2002          2003           2002     
                                        -----------    -----------   -----------    ----------- 
                                                                                                
INCREASE (DECREASE) IN NET ASSETS                                                               
Operations:                                                                                     
   Net Investment Income (Loss)         $     3,245    $     2,638   $     4,147    $     5,077 
   Net Realized Gain (Loss) on                                                                  
     Investment Securities Sold             (18,120)        (5,702)         (436)          (624)
   Net Realized Gain (Loss) on Foreign                                                          
     Currency Transactions                       54            140            18            (15)
   Change in Unrealized Appreciation                                                            
     (Depreciation) of Investment                                                               
     Securities and Foreign Currency        101,101        (14,390)       56,281          5,451 
   Translation of Foreign Currency                                                              
     Denominated Amounts                         16             39             4             (3)
                                        -----------    -----------   -----------    ----------- 
Net Increase (Decrease) in Net Assets                                                           
   Resulting from Operations                 86,296        (17,275)       60,014          9,886 
                                        -----------    -----------   -----------    ----------- 
Transactions in Interest:                                                                       
   Contributions                             53,153         46,066        25,155         12,243 
   Withdrawals                              (50,797)       (29,931)      (50,041)       (31,046)
                                        -----------    -----------   -----------    ----------- 
   Net Increase (Decrease) from                                                                 
     Transactions in Interest                 2,356         16,135       (24,886)       (18,803)
                                        -----------    -----------   -----------    ----------- 
     Total Increase (Decrease)               88,652         (1,140)       35,128         (8,917)
NET ASSETS                                                                                      
   Beginning of Period                      195,047        196,187       121,637        130,554 
                                        -----------    -----------   -----------    ----------- 
   End of Period                        $   283,699    $   195,047   $   156,765    $   121,637 
                                        ===========    ===========   ===========    =========== 


                                                THE UNITED                THE CONTINENTAL       
                                                  KINGDOM                      SMALL            
                                               SMALL COMPANY                  COMPANY           
                                                  SERIES                      SERIES            
                                        --------------------------   -------------------------- 
                                           YEAR           YEAR          YEAR           YEAR     
                                           ENDED          ENDED         ENDED          ENDED    
                                         NOV. 30,       NOV. 30,      NOV. 30,       NOV. 30,   
                                           2003           2002          2003           2002     
                                        -----------    -----------   -----------    ----------- 
                                                                                                
INCREASE (DECREASE) IN NET ASSETS                                                               
Operations:                                                                                     
   Net Investment Income (Loss)         $     3,789    $     3,080   $     7,753    $     5,452 
   Net Realized Gain (Loss) on                                                                  
     Investment Securities Sold              (1,016)           (74)       12,045          3,013 
   Net Realized Gain (Loss) on Foreign                                                          
     Currency Transactions                       30             79           315            134 
   Change in Unrealized Appreciation                                                            
     (Depreciation) of Investment                                                               
     Securities and Foreign Currency         42,580         (7,990)      120,867         (4,955)
   Translation of Foreign Currency                                                              
     Denominated Amounts                          5              4            69            147 
                                        -----------    -----------   -----------    ----------- 
Net Increase (Decrease) in Net Assets                                                           
   Resulting from Operations                 45,388         (4,901)      141,049          3,791 
                                        -----------    -----------   -----------    ----------- 
Transactions in Interest:                                                                       
   Contributions                             41,630         19,447        97,585         79,614 
   Withdrawals                              (25,000)       (12,388)      (53,295)       (30,674)
                                        -----------    -----------   -----------    ----------- 
   Net Increase (Decrease) from                                                                 
     Transactions in Interest                16,630          7,059        44,290         48,940 
                                        -----------    -----------   -----------    ----------- 
     Total Increase (Decrease)               62,018          2,158       185,339         52,731 
NET ASSETS                                                                                      
   Beginning of Period                       98,899         96,741       263,068        210,337 
                                        -----------    -----------   -----------    ----------- 
   End of Period                        $   160,917    $    98,899   $   448,407    $   263,068 
                                        ===========    ===========   ===========    =========== 

 See accompanying Notes to Financial Statements.

 182

N-CSR
187th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 187th
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)

                                                        [Enlarge/Download Table]

                                                                         THE JAPANESE SMALL COMPANY SERIES                 
                                                          ---------------------------------------------------------------- 
                                                            YEAR         YEAR          YEAR          YEAR          YEAR    
                                                            ENDED        ENDED         ENDED         ENDED         ENDED   
                                                           NOV. 30,     NOV. 30,      NOV. 30,      NOV. 30,      NOV. 30, 
                                                             2003         2002          2001          2000          1999   
-------------------------------------------------------------------------------------------------------------------------- 
                                                                                                                           
Net Asset Value, Beginning of Period                            N/A+         N/A+          N/A+          N/A+          N/A+
                                                          ---------    ---------     ---------     ---------     --------- 
INCOME FROM INVESTMENT OPERATIONS                                                                                          
   Net Investment Income (Loss)                                  --           --            --            --            -- 
   Net Gains (Losses) on Securities (Realized and                                                                          
     Unrealized)                                                 --           --            --            --            -- 
                                                          ---------    ---------     ---------     ---------     --------- 
     Total From Investment Operations                            --           --            --            --            -- 
-------------------------------------------------------------------------------------------------------------------------- 
LESS DISTRIBUTIONS                                                                                                         
   Net Investment Income                                         --           --            --            --            -- 
   Net Realized Gains                                            --           --            --            --            -- 
                                                          ---------    ---------     ---------     ---------     --------- 
     Total Distributions                                         --           --            --            --            -- 
-------------------------------------------------------------------------------------------------------------------------- 
Net Asset Value, End of Period                                  N/A+         N/A+          N/A+          N/A+          N/A+
========================================================================================================================== 
Total Return                                                  47.87%       (9.62)%      (13.51)%       (9.93)%       33.83%
-------------------------------------------------------------------------------------------------------------------------- 
Net Assets, End of Period (thousands)                     $ 283,699    $ 195,047     $ 196,187     $ 196,118     $ 202,676 
Ratio of Expenses to Average Net Assets                        0.28%        0.27%         0.28%         0.27%         0.28%
Ratio of Net Investment Income to Average Net Assets           1.41%        1.26%         1.41%         1.38%         1.10%
Portfolio Turnover Rate                                          16%           5%            9%            6%            6%


                                                                         THE PACIFIC RIM SMALL COMPANY SERIES              
                                                          ---------------------------------------------------------------- 
                                                            YEAR         YEAR          YEAR          YEAR          YEAR    
                                                            ENDED        ENDED         ENDED         ENDED         ENDED   
                                                           NOV. 30,     NOV. 30,      NOV. 30,      NOV. 30,      NOV. 30, 
                                                             2003         2002          2001          2000          1999   
-------------------------------------------------------------------------------------------------------------------------- 
                                                                                                                           
Net Asset Value, Beginning of Period                            N/A+         N/A+          N/A+          N/A+          N/A+
                                                          ---------    ---------     ---------     ---------     --------- 
INCOME FROM INVESTMENT OPERATIONS                                                                                          
   Net Investment Income (Loss)                                  --           --            --            --            -- 
   Net Gains (Losses) on Securities (Realized and                                                                          
     Unrealized)                                                 --           --            --            --            -- 
                                                          ---------    ---------     ---------     ---------     --------- 
     Total From Investment Operations                            --           --            --            --            -- 
-------------------------------------------------------------------------------------------------------------------------- 
LESS DISTRIBUTIONS                                                                                                         
   Net Investment Income                                         --           --            --            --            -- 
   Net Realized Gains                                            --           --            --            --            -- 
                                                          ---------    ---------     ---------     ---------     --------- 
     Total Distributions                                         --           --            --            --            -- 
-------------------------------------------------------------------------------------------------------------------------- 
Net Asset Value, End of Period                                  N/A+         N/A+          N/A+          N/A+          N/A+
========================================================================================================================== 
Total Return                                                  61.47%        7.28%         2.84%       (10.99)%       54.81%
-------------------------------------------------------------------------------------------------------------------------- 
Net Assets, End of Period (thousands)                     $ 156,765    $ 121,637     $ 130,554     $ 131,888     $ 183,759 
Ratio of Expenses to Average Net Assets                        0.31%        0.32%         0.28%         0.29%         0.48%
Ratio of Net Investment Income to Average Net Assets           3.35%        3.77%         3.69%         4.10%         2.95%
Portfolio Turnover Rate                                          15%          26%           10%            7%           34%

N/A+ Not applicable as The Japanese Small Company Series and The Pacific Rim    
Small Company Series are organized as Partnerships.                             

 See accompanying Notes to Financial Statements.

 183

N-CSR
188th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 188th
                                                        [Enlarge/Download Table]

                                                                      THE UNITED KINGDOM SMALL COMPANY SERIES               
                                                          ----------------------------------------------------------------  
                                                            YEAR         YEAR          YEAR          YEAR          YEAR     
                                                            ENDED        ENDED         ENDED         ENDED         ENDED    
                                                           NOV. 30,     NOV. 30,      NOV. 30,      NOV. 30,      NOV. 30,  
                                                             2003         2002          2001          2000          1999    
--------------------------------------------------------------------------------------------------------------------------  
                                                                                                                            
Net Asset Value, Beginning of Period                            N/A+         N/A+          N/A+          N/A+          N/A+ 
                                                          ---------    ---------     ---------     ---------     ---------  
INCOME FROM INVESTMENT OPERATIONS                                                                                           
   Net Investment Income (Loss)                                  --           --            --            --            --  
   Net Gains (Losses) on Securities (Realized and                                                                           
     Unrealized)                                                 --           --            --            --            --  
                                                          ---------    ---------     ---------     ---------     ---------  
     Total From Investment Operations                            --           --            --            --            --  
--------------------------------------------------------------------------------------------------------------------------  
LESS DISTRIBUTIONS                                                                                                          
   Net Investment Income                                         --           --            --            --            --  
   Net Realized Gains                                            --           --            --            --            --  
                                                          ---------    ---------     ---------     ---------     ---------  
     Total Distributions                                         --           --            --            --            --  
--------------------------------------------------------------------------------------------------------------------------  
Net Asset Value, End of Period                                  N/A+         N/A+          N/A+          N/A+          N/A+ 
==========================================================================================================================  
Total Return                                                  44.65%       (4.67)%       (4.89)%       (6.18)%       36.75% 
--------------------------------------------------------------------------------------------------------------------------  
Net Assets, End of Period (thousands)                     $ 160,917    $  98,899     $  96,741     $ 109,806     $ 132,127  
Ratio of Expenses to Average Net Assets                        0.26%        0.26%         0.27%         0.26%         0.26% 
Ratio of Net Investment Income to Average Net Assets           3.25%        3.03%         2.86%         3.06%         3.55% 
Portfolio Turnover Rate                                           7%           6%           14%           11%            5% 


                                                                        THE CONTINENTAL SMALL COMPANY SERIES                
                                                          ----------------------------------------------------------------  
                                                            YEAR         YEAR          YEAR          YEAR          YEAR     
                                                            ENDED        ENDED         ENDED         ENDED         ENDED    
                                                           NOV. 30,     NOV. 30,      NOV. 30,      NOV. 30,      NOV. 30,  
                                                             2003         2002          2001          2000          1999    
--------------------------------------------------------------------------------------------------------------------------  
                                                                                                                            
Net Asset Value, Beginning of Period                            N/A+         N/A+          N/A+          N/A+          N/A+ 
                                                          ---------    ---------     ---------     ---------     ---------  
INCOME FROM INVESTMENT OPERATIONS                                                                                           
   Net Investment Income (Loss)                                  --           --            --            --            --  
   Net Gains (Losses) on Securities (Realized and                                                                           
     Unrealized)                                                 --           --            --            --            --  
                                                          ---------    ---------     ---------     ---------     ---------  
     Total From Investment Operations                            --           --            --            --            --  
--------------------------------------------------------------------------------------------------------------------------  
LESS DISTRIBUTIONS                                                                                                          
   Net Investment Income                                         --           --            --            --            --  
   Net Realized Gains                                            --           --            --            --            --  
                                                          ---------    ---------     ---------     ---------     ---------  
     Total Distributions                                         --           --            --            --            --  
--------------------------------------------------------------------------------------------------------------------------  
Net Asset Value, End of Period                                  N/A+         N/A+          N/A+          N/A+          N/A+ 
==========================================================================================================================  
Total Return                                                  52.86%        3.22%        (5.43)%        2.67%        (5.89)%
--------------------------------------------------------------------------------------------------------------------------  
Net Assets, End of Period (thousands)                     $ 448,407    $ 263,068     $ 210,337     $ 226,724     $ 252,368  
Ratio of Expenses to Average Net Assets                        0.30%        0.31%         0.30%         0.28%         0.27% 
Ratio of Net Investment Income to Average Net Assets           2.49%        2.22%         2.73%         2.36%         1.92% 
Portfolio Turnover Rate                                          11%          12%           12%            9%           11% 

N/A+ Not applicable as The United Kingdom Small Company Series and The          
Continental Small Company Series are organized as Partnerships.                 

 See accompanying Notes to Financial Statements.

 184

N-CSR
189th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 189th
THE DFA INVESTMENT TRUST COMPANY
 NOTES TO FINANCIAL STATEMENTS
 NOVEMBER 30, 2003
A. ORGANIZATION:                                                                

  The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. At      
November 30, 2003, the Trust consisted of twenty-five investment portfolios, of 
which four are included in this report, (collectively, the "Portfolios")        
(seventeen are presented in separate reports and four have not commenced        
operations):                                                                    

The Japanese Small Company Series                                               
The Pacific Rim Small Company Series                                            
The United Kingdom Small Company Series                                         
The Continental Small Company Series                                            

In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties and which provide general   
indemnification. The Trust's maximum exposure under these arrangements is       
unknown as this would involve future claims that may be made against the Trust  
and/or its affiliates that have not yet occurred. However, based on experience, 
the Trust expects the risk of loss to be remote.                                

B. SIGNIFICANT ACCOUNTING POLICIES:                                             

The following significant accounting policies are in conformity with  
accounting principles generally accepted in the United States of America for    
investment companies. Such policies are consistently followed by the Trust in   
preparation of its financial statements. The preparation of financial statements
in accordance with accounting principles generally accepted in the United States
of America may require management to make estimates and assumptions that affect 
the reported amounts and disclosures in the financial statements. Actual results
could differ from those estimates and those differences could be material.      

   1. SECURITY VALUATION: Securities held by the 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        
available are valued at the mean between the most recent bid and asked prices.  
Securities for which quotations are not readily available are valued in good    
faith at fair value using methods approved by the Board of Trustees.            

   The Portfolios value their investment securities at fair value based upon
procedures approved by the Board on days when significant events occur after the
close of the principal exchange on which the securities are traded, and as a    
result, are expected to materially affect the value of the investments.         

2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and      
liabilities of the 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. 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 Portfolios do not isolate the effect of fluctuations in foreign   
exchange rates from the effect of fluctuations in the market prices of          
securities held whether realized or unrealized.                                 

 Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,    
currency gains or losses realized between the trade and settlement dates on     
securities transactions, and the difference between amounts of interest,        
dividends and foreign withholding taxes recorded on the books of the Portfolios 
and the U.S. dollar equivalent amounts actually received or paid.               

 185

N-CSR
190th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 190th
     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. Expenses   
directly attributable to a Series are directly charged. Common expenses are     
allocated using methods approved by the Board of Trustees, generally based on   
average net assets.                                                             

   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 Funds accrue    
such taxes when the related income or capital gains are earned. Some countries  
require governmental approval for the repatriation of investment income, capital
or the proceeds of sales earned by foreign investors. In addition, if there is a
deterioration in a country's balance of payments or for other reasons, a country
may impose temporary restrictions on foreign capital remittances abroad.        

C. INVESTMENT ADVISOR:                                                          

 Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor")provides
investment advisory services to the Trust. For the year ended November 30, 2003,
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:      

                                                                [Download Table]
                                                                     
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%

Certain officers of the Series are also officers, directors and       
shareholders of the Advisor.                                                    

D. DEFERRED COMPENSATION:                                                       

At November 30, 2003, the total liability for deferred compensation to
Trustees is included in Accrued Expenses and Other Liabilities as follows:      

                                                                [Download Table]
                                                                   
The Japanese Small Company Series                          $  3,387
The Pacific Rim Small Company Series                          1,828
The United Kingdom Small Company Series                       1,709
The Continental Small Company Series                          4,540

E. PURCHASE AND SALES OF SECURITIES:                                            

For the year ended November 30, 2003, the Series made the following   
purchases and sales of investment securities other than short-term securities   
(amounts in thousands):                                                         

                                                                [Download Table]

                                          U.S. GOVERNMENT      OTHER INVESTMENT  
                                             SECURITIES           SECURITIES     
                                         ------------------  --------------------
                                         PURCHASES   SALES   PURCHASES    SALES  
                                         ---------  -------  ---------   --------
                                                                                 
The Japanese Small Company Series               --       --  $  38,938   $ 35,111
The Pacific Rim Small Company Series            --       --     18,448     36,918
The United Kingdom Small Company Series         --       --     30,044      8,326
The Continental Small Company Series            --       --     90,324     33,179

 186

N-CSR
191st “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 191st
F. FEDERAL INCOME TAXES:                                                        

    The Portfolios are treated as partnerships for federal income tax purposes
and therefore, no provision for federal income taxes is required. Any interest, 
dividends, and gains or losses have been deemed to have been "passed down" to   
their Feeder Funds.                                                             

  At November 30, 2003, gross unrealized appreciation and depreciation for
federal income tax purposes of investment securities and foreign currencies was 
as follows (amounts in thousands):                                              

                                                        [Enlarge/Download Table]

                                         GROSS UNREALIZED  GROSS UNREALIZED              
                                           APPRECIATION      DEPRECIATION        NET     
                                         ----------------  ----------------  ----------- 
                                                                                         
The Japanese Small Company Series           $   27,406        $  (163,054)   $  (135,648)
The Pacific Rim Small Company Series            37,402            (52,994)       (15,592)
The United Kingdom Small Company Series         60,761            (21,014)        39,747 
The Continental Small Company Series           152,374            (30,047)       122,327 

G. FINANCIAL INSTRUMENTS:                                                       

    In accordance with the Portfolios' Investment Objectives and Policies, the
Portfolios may invest in certain financial instruments that have off-balance    
sheet risk in excess of the amounts recognized in the financial statements and  
concentrations of credit and market risk. These instruments and their           
significant corresponding risks are described below:                            

1. REPURCHASE AGREEMENTS: The Portfolios may purchase money market    
instruments subject to the counterparty's agreement to repurchase them at an    
agreed upon date and price. The counterparty will be required on a daily basis  
to maintain the value of the collateral subject to the agreement at not less    
than the repurchase price (including accrued interest). The agreements are      
conditioned upon the collateral being deposited under the Federal Reserve       
book-entry system with the Trust's custodian or a third party sub-custodian. In 
the event of default or bankruptcy by the other party to the agreement,         
retention of the collateral may be subject to legal proceedings. All open       
repurchase agreements were entered into on November 28, 2003.                   

     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 Fund may be inhibited.         

H. LINE OF CREDIT:                                                              

    The Trust, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit with its domestic     
custodian bank. Each portfolio is permitted to borrow, subject to its investment
limitations, up to a maximum of $50 million, as long as total borrowings under  
the line of credit do not exceed $50 million in the aggregate. Borrowings under 
the line of credit are charged interest at the then current federal funds rate  
plus 1%. Each portfolio is individually, and not jointly, liable for its        
particular advances under the line of credit. There is no commitment fee on the 
unused portion of the line of credit, since this is not a committed facility.   
The agreement for the discretionary line of credit may be terminated at any     
time. There were no borrowings under the line of credit by the Portfolios during
the year ended November 30, 2003.                                               

 The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit with its       
international custodian bank. Each portfolio is permitted to borrow, subject to 
investment limitations, up to a maximum of $150 million, as long as total       
borrowings under the line of credit do not exceed $150 million in the aggregate.
Borrowings under the line of credit are charged interest at rates agreed to by  
the parties at the time of borrowing. There is no commitment fee on the unused  
line of credit. The agreement for the line of credit expires in April 2004.     
There were no borrowings by the Trust under the line of credit during the year  
ended November 30, 2003.                                                        

 187

N-CSR
192nd “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 192nd
I. SECURITIES LENDING:                                                          

   As of November 30, 2003, some of the Trust's portfolios had securities on
loan to brokers/dealers, for which each portfolio held cash collateral. Each    
portfolio invests the cash collateral, as described below, and records a        
liability for the return of the collateral, during the period the securities are
on loan. Loans of securities are required at all times to be secured by         
collateral at least equal to 100% of the market value of the securities on loan.
However, in the event of default or bankruptcy by the other party to the        
agreement, realization and/or retention of the collateral may be subject to     
legal proceedings. In the event that the borrower fails to return loaned        
securities, and cash collateral being maintained by the borrower is insufficient
to cover the value of loaned securities and provided such collateral            
insufficiency is not the result of investment losses. PNCBank, National         
Association, the lending agent, has agreed to pay the amount of the shortfall   
to the portfolio or, at the option of the lending agent, to replace the         
securities.                                                                     

Cash collateral of each Portfolio received from securities on loan is 
invested along with cash collateral from the other Portfolios of the Series in  
repurchase agreements collateralized by U.S. government securities. These       
investments are accounted for separately for each Portfolio. Securities pledged 
as collateral for the repurchase agreements are held by a custodian bank until  
the agreements mature.                                                          

 188

N-CSR
193rd “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 193rd
 REPORT OF INDEPENDENT REGISTERED CERTIFIED PUBLIC ACCOUNTING FIRM

TO THE SHAREHOLDERS OF THE PORTFOLIOS, AS DEFINED, AND BOARD OF TRUSTEES OF THE 
DFA INVESTMENT TRUST COMPANY                                                    

In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments, and the related statements of operations and of   
changes in net assets and the financial highlights present fairly, in all       
material respects, the financial position of The Japanese Small Company Series, 
The Pacific Rim Small Company Series, The United Kingdom Small Company Series   
and The Continental Small Company Series (constituting portfolios within The DFA
Investment Trust Company, hereafter referred to as the "Portfolios") at November
30, 2003, the results of each of their operations for the year then ended, and  
the changes in each of their net assets for each of the two years in the period 
then ended and the financial highlights for each of the five years in the period
then ended, in conformity with accounting principles generally accepted in the  
United States of America. These financial statements and financial highlights   
(hereafter referred to as "financial statements") are the responsibility of the 
Portfolios' management; our responsibility is to express an opinion on these    
financial statements based on our audits. We conducted our audits of these      
financial statements in accordance with the standards of the Public Company     
Accounting Oversight Board (United States), which require that we plan and      
perform the audit to obtain reasonable assurance about whether the financial    
statements are free of material misstatement. An audit includes examining, on a 
test basis, evidence supporting the amounts and disclosures in the financial    
statements, assessing the accounting principles used and significant estimates  
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at        
November 30, 2003 by correspondence with the custodian and brokers, provide a   
reasonable basis for our opinion.                                               

PricewaterhouseCoopers LLP                                                      

Fort Lauderdale, Florida                                                        
January 15, 2004                                                                

 189

N-CSR
194th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 194th
 VOTING PROXIES ON FUND PORTFOLIO SECURITIES

   A description of the policies and procedures that the Master Funds use in
voting proxies relating to securities held in their portfolio's is available    
without charge, upon request, by calling collect: (310) 395-8005. Information   
regarding how the Advisor votes these proxies will become available from the    
EDGAR database on the SEC's website at http://www.sec.gov no later than August  
31, 2004 when the Funds file their first report on Form N-PX and will reflect   
the twelve-month period beginning July 1, 2003 and ending June 30, 2004.        

190 

N-CSR
195th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 195th
ITEM 2.  CODE OF ETHICS.                                                        

(a)  As of the end of the period, June 30, 2004, the registrant has adopted a   
code of ethics, as defined in Item 2(b) of Form N-CSR, that applies to the      
registrant's principal executive officer and principal financial officer.       

(c)  The registrant has not made any amendment to its code of ethics during the 
covered period.                                                                 

(d)  The registrant has not granted any waivers from any provisions of the code 
of ethics during the covered period.                                            

(f)  A copy of the registrant's code of ethics is filed as Exhibit 11(a)(1) to  
this Form N-CSR.                                                                

ITEM 3.  AUDIT COMMITTEE FINANCIAL EXPERT.                                      

(a)(1)  The registrant's Board of Trustees (the "Board") has determined that the
registrant has at least one member serving on the registrant's Audit Committee  
that possess the attributes identified in Item 3 of Form N-CSR to qualify as an 
"audit committee financial expert."                                             

(a)(2)  The names of the audit committee financial experts are Bryan W. Brown,  
Mark A. Schimbor and Harold M. Shefrin. Each audit committee financial expert   
has been deemed to be "independent" as that term is defined in Item 3(a)(2) of  
Form N-CSR.                                                                     

ITEM 4.  PRINCIPAL ACCOUNTANT FEES AND SERVICES.                                

(a)  AUDIT FEES.                                                                
For the fiscal years ending June 30, 2004 and June 30, 2003, the aggregate audit
fees billed for professional services rendered by the principal accountant were 
$120,745 and $111,452, respectively. The nature of the services are (1) auditing
of the statements of assets and liabilities, related statements of operations   
and changes in net assets, and the financial highlights of each series of the   
registrant; (2) auditing and reporting on the financial statements to be        
included in the amendment to the registrant's registration statement on Form    
N-1A to be filed with the Securities and Exchange Commission; (3) review of the 
amendment to the registration statement; and (4)                                

N-CSR
196th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 196th
issuance of a Report on Internal Control for inclusion in the registrant's Form 
N-SAR.                                                                          

N-CSR
197th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 197th
(b)  AUDIT-RELATED FEES.                                                        
For the fiscal years ending June 30, 2004 and June 30, 2003, the principal      
accountant did not bill the registrant any fees for assurances and related      
services that are reasonably related to the performance of the audit of the     
registrant's financial statements and are not reported under paragraph (a) of   
this Item.                                                                      

(c)  TAX FEES.                                                                  
For the fiscal years ending June 30, 2004 and June 30, 2003, the aggregate tax  
fees billed for professional services rendered by the principal accountant were 
$25,180 and $24,000, respectively. Services included the review of the          
registrant's federal, state and local income, franchise and other tax returns.  

(d)  ALL OTHER FEES.                                                            
There were no other fees billed by the principal accountant for the fiscal years
ending June 30, 2004 and June 30, 2003.                                         

(e)(1)  AUDIT COMMITTEE PRE-APPROVAL POLICIES AND PROCEDURES.                   
The registrant's Audit Committee Charter states the following with respect to   
pre-approval procedures:                                                        

The committee shall pre-approve all auditing services and permissible non-audit 
services (e.g., tax services). The committee may delegate to one or more of its 
members the authority to grant pre-approvals. The decisions of any member to    
whom authority is delegated under this paragraph shall be presented to the full 
committee at each of its scheduled meetings. Pre-approval for permissible       
non-audit services is not required if: (i) the aggregate amount of all such     
non-audit services provided to the Trust constitutes not more than 5% of the    
total amount of revenues paid by the Trust to the auditor during the fiscal year
in which the non-audit services are provided; (ii) such services were not       
recognized by the Trust at the time of the engagement to be non-audit services; 
and (iii) such services are promptly brought to the attention of the committee  
and approved prior to the completion of the audit by the committee or by one or 
more members of the committee to whom authority to grant such approvals has been
delegated by the committee.                                                     

(e)(2)  PERCENTAGE OF SERVICES.                                                 
One hundred percent of the services described in each of paragraphs (b) through 
(d) of this Item were approved by the                                           

N-CSR
198th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 198th
registrant's Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of 
Regulation S-X.                                                                 

(f)  Not applicable.                                                            

(g)  There were no non-audit fees billed by the principal accountant for        
services rendered to the registrant for the fiscal years ending June 30, 2004   
and June 30, 2003.                                                              

(h)  Not applicable.                                                            

ITEM 5.  DISCLOSURE OF AUDIT COMMITTEES FOR LISTED COMPANIES.                   

Not applicable to the registrant.                                               

ITEM 6.  SCHEDULE OF INVESTMENTS.                                               

Item not applicable for periods ending before July 9, 2004.                     

ITEM 7.  DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END      
MANAGEMENT INVESTMENT COMPANIES.                                                

Not applicable to the registrant.                                               

ITEM 8.  PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT     
COMPANY AND AFFILIATED PURCHASERS.                                              

Not applicable to the registrant.                                               

ITEM 9.  SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.                   

Registrant has not adopted any material changes to the procedures by which      
shareholders may recommend nominees to the registrant's Board.                  

ITEM 10. CONTROLS AND PROCEDURES.                                               

(a)  Within 90 days of the filing date of this Form N-CSR, Alexander Potts, the 
registrant's President, Chief Executive Officer and Principal Executive Officer,
and Denis Taillieu, the registrant's Treasurer, Chief Financial and Accounting  
Officer and Principal Financial Officer, reviewed the registrant's disclosure   
controls and procedures and evaluated their effectiveness. Based on their       
review, Messrs. Potts and Taillieu determined that the disclosure controls and  
procedures adequately ensure that information required to be disclosed by the   
registrant in its periodic reports is recorded, processed,                      

N-CSR
199th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 199th
summarized and reported within the time periods required by the Securities and  
Exchange Commission.                                                            

(b)  There were no significant changes in the registrant's internal controls or 
in other factors that could significantly affect these controls subsequent to   
the date of their evaluation, including any corrective actions with regard to   
significant deficiencies and material weaknesses.                               

ITEM 11. EXHIBITS.                                                              

(a)(1)  Code of Ethics referred to in Item 2.                                   

(a)(2)  Separate certifications required by Rule 30a-2(a) under the Investment  
Company Act of 1940 for each principal executive officer and principal financial
officer of the registrant are attached.                                         

(b)  A single certification required by Rule 30a-2(b) under the Investment      
Company Act of 1940, Rule 13a-14(b) or Rule 15d-14(b) under the Securities      
Exchange Act of 1934 and Section 1350 of Chapter 63 of Title 18 of the United   
States Code for the principal executive officer and principal financial officer 
of the registrant is attached.                                                  

N-CSR
200th “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 200th
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.             

SA FUNDS - INVESTMENT TRUST                                                     

By:  /s/ Alexander Potts                                                        
---------------------------                                           
Alexander Potts                                                       
President, Chief Executive Officer and Principal Executive            
Officer                                                               

Date:   August 27, 2004                                                         
----------------------------                                    

Pursuant to the requirements of the Securities Exchange Act of 1934 and the     
Investment Company Act of 1940, this report has been signed below by the        
following persons on behalf of the registrant and in the capacities and on the  
dates indicated.                                                                

By:  /s/ Alexander Potts                                                        
---------------------------                                           
Alexander Potts                                                       
President, Chief Executive Officer and Principal Executive            
Officer                                                               

Date:   August 27, 2004                                                         
----------------------------                                    

By:  /s/ Denis Taillieu                                                         
---------------------------                                           
Denis Taillieu                                                        
   Treasurer, Chief Financial and Accounting Officer and Principal Financial
Officer                                                               

Date:   August 26, 2004                                                         
----------------------------                                    

N-CSR
Last “Page” of 201
TOC
1st
Previous
Next
↓Bottom
Just 201st
 EXHIBIT INDEX

(a)(1)   Code of Ethics referred to in Item 2.                                  

(a2) Certifications of principal executive officer and principal financial      
officer of the registrant as required by Rule 30a-2(a) under the 1940 Act.      
(EX-99.CERT)                                                                    

(b)  Certifications of principal executive officer and principal financial      
officer of the registrant as required by Rule 30a-2(b) under the 1940 Act.      
(EX-99.906CERT)                                                                 

Dates Referenced Herein   and   Documents Incorporated by Reference

				Referenced-On Page
This ‘N-CSR’ Filing		Date		First		Last			Other Filings
		6/30/11		81					24F-2NT,  N-CSR,  N-PX,  NSAR-B,  NSAR-B/A
		11/30/10		99
		6/30/10		81					24F-2NT,  N-CSR,  N-PX,  NSAR-B
		11/30/09		99					N-Q
		7/15/09		83
		6/30/07		83					24F-2NT,  N-CSR,  N-PX,  NSAR-B
		6/30/06		83					24F-2NT,  N-CSR,  N-PX,  NSAR-B
		6/30/05		83					24F-2NT,  N-CSR,  N-PX,  NSAR-B
		8/31/04		86		194			N-PX
Filed on / Effective on:		8/30/04
		8/27/04		200
		8/26/04		200
		8/12/04		85
		7/9/04		198
For Period End:		6/30/04		1		198			24F-2NT,  N-PX,  NSAR-B
		6/20/04		85
		4/1/04		98					497
		1/15/04		101		193
		1/1/04		84
		12/31/03		84					N-CSRS,  N-CSRS/A,  NSAR-A
		12/23/03		88
		11/30/03		91		193
		11/28/03		99		191
		7/1/03		194
		6/30/03		72		198			24F-2NT,  N-CSR,  NSAR-B
		4/1/03		98
		6/30/02		72		77			24F-2NT,  N-30D,  NSAR-B
		4/1/02		11					497
		3/30/02		100
		1/1/02		98		190
		6/30/01		72		77			24F-2NT,  N-30D,  NSAR-B
		10/30/00		78					485BPOS
		8/11/00		78					497J
		6/30/00		72		77			24F-2NT,  N-30D,  NSAR-B
		8/5/99		6		78
		7/31/99		5		11
		7/29/99		5		78
		6/16/98		78
									List all Filings