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Dfa Investment Dimensions Group Inc · N-30D · For 12/31/97

Filed On 2/5/98   ·   Accession Number 1047469-98-3651   ·   SEC File 811-03258

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  As Of                Filer                Filing    For/On/As Docs:Size              Issuer               Agent

 2/05/98  Dfa Inv Dimensions Group Inc      N-30D      12/31/97    1:1.5M                                   Merrill Corp/New/FA

Annual or Semi-Annual Report Mailed to Shareholders   —   Rule 30d-1
Filing Table of Contents

Document/Exhibit                   Description                      Pages   Size 

 1: N-30D       Annual or Semi-Annual Report Mailed to               568±  2.58M 
                          Shareholders                                           


Document Table of Contents

Page (sequential) | (alphabetic) Top
 
11st Page   -   Filing Submission
2Table of Contents
36The U.S. Large Company Portfolio
"The Enhanced U.S. Large Company Portfolio
"The U.S. 6-10 Value Portfolio
"The U.S. Large Cap Value Portfolio
37The DFA Real Estate Securities Portfolio
39The Pacific Rim Small Company Portfolio
"The United Kingdom Small Company Portfolio
"The Continental Small Company Portfolio
40The RWB/DFA International High Book to Market Portfolio
"The Emerging Markets Portfolio
41The Large Cap International Portfolio
46The DFA International Small Cap Value Portfolio
63The DFA Five-Year Government Portfolio
"The DFA Two-Year Global Fixed Income Portfolio
64The DFA Global Fixed Income Portfolio
66Statements of Assets and Liabilities
68The Dfa
69Statements of Operations
75Net Assets
76Statements of Changes in Net Assets
82Financial Highlights
83The U.S. 6-10 Small Company Portfolio
86The Japanese Small Company Portfolio
92The Dfa Intermediate Government Fixed Income Portfolio
93The DFA One-Year Fixed Income Portfolio
103Domestic Equity Portfolios
"International Equity Portfolios
104Report of Independent Accountants
105Performance Charts
110The U.S. 6-10 Small Company Series
142The U.S. Large Company Series
147The Enhanced U.S. Large Company Series
149The U.S. 6-10 Value Series
165The U.S. Large Cap Value Series
167The Japanese Small Company Series
174The Pacific Rim Small Company Series
186The United Kingdom Small Company Series
193The Continental Small Company Series
204The DFA International Value Series
212The Emerging Markets Series
220The Emerging Markets Small Cap Series
226The DFA One-Year Fixed Income Series
229The DFA Two-Year Global Fixed Income Series
235The Enhanced
242Net Asset Value, Beginning of Period
250Other
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-------------------------------------------------------------------------------- DFA Investment Dimensions Group Inc. and The DFA Investment Trust Company ANNUAL REPORT Year Ended November 30, 1997 ---------------------------------------------
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DFA INVESTMENT DIMENSIONS GROUP INC. ANNUAL REPORT  TABLE OF CONTENTS [Download Table] Performance Charts.................................................... 1-7 Schedules of Investments The U.S. 9-10 Small Company Portfolio............................. 8-32 The U.S. 6-10 Small Company Portfolio............................. 33 The U.S. Large Company Portfolio.................................. 33 The Enhanced U.S. Large Company Portfolio......................... 33 The U.S. 6-10 Value Portfolio..................................... 33 The U.S. Large Cap Value Portfolio................................ 33 The DFA Real Estate Securities Portfolio.......................... 34-35 The Japanese Small Company Portfolio.............................. 36 The Pacific Rim Small Company Portfolio........................... 36 The United Kingdom Small Company Portfolio........................ 36 The Continental Small Company Portfolio........................... 36 The International Small Company Portfolio......................... 37 The RWB/DFA International High Book to Market Portfolio........... 37 The Emerging Markets Portfolio.................................... 37 The Large Cap International Portfolio............................. 38-42 The DFA International Small Cap Value Portfolio................... 43-58 The DFA Intermediate Government Fixed Income Portfolio............ 59 The DFA One-Year Fixed Income Portfolio........................... 60 The DFA Five-Year Government Portfolio............................ 60 The DFA Two-Year Global Fixed Income Portfolio.................... 60 The DFA Global Fixed Income Portfolio............................. 61-62 Statements of Assets and Liabilities.................................. 63-65 Statements of Operations.............................................. 66-71 Statements of Changes in Net Assets................................... 72-78 Financial Highlights.................................................. 79-92 Notes to Financial Statements......................................... 93-100 Report of Independent Accountants..................................... 101 This report is submitted for the information of the Fund's shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. i
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THE DFA INVESTMENT TRUST COMPANY ANNUAL REPORT  TABLE OF CONTENTS [Download Table] Performance Charts.................................................... 102-106 Statements of Net Assets The U.S. 6-10 Small Company Series................................ 107-138 The U.S. Large Company Series..................................... 139-143 The Enhanced U.S. Large Company Series............................ 144-145 The U.S. 6-10 Value Series........................................ 146-161 The U.S. Large Cap Value Series................................... 162-163 The Japanese Small Company Series................................. 164-170 The Pacific Rim Small Company Series.............................. 171-182 The United Kingdom Small Company Series........................... 183-189 The Continental Small Company Series.............................. 190-200 The DFA International Value Series................................ 201-208 The Emerging Markets Series....................................... 209-216 The Emerging Markets Small Cap Series............................. 217-222 The DFA One-Year Fixed Income Series.............................. 223-225 The DFA Two-Year Global Fixed Income Series....................... 226-228 Statements of Operations.............................................. 229-231 Statements of Changes in Net Assets................................... 232-238 Financial Highlights.................................................. 239-244 Notes to Financial Statements......................................... 245-251 Report of Independent Accountants..................................... 252 ii
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DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC [Enlarge/Download Table] U.S. 9-10 SMALL COMPANY PORTFOLIO VS. CRSP 9-10 INDEX DECEMBER 1987-NOVEMBER 1997 GROWTH OF $10,000 U.S. 9-10 CRSP 9-10 INDEX SMALL COMPANY PORTFOLIO $10,000 $10,000 Dec-87 $10,520 $10,320 $11,105 $11,102 $11,949 $11,851 $12,436 $12,351 $12,696 $12,526 $12,469 $12,197 $13,107 $12,839 $13,075 $12,818 $12,753 $12,539 $13,043 $12,724 $12,882 $12,520 $12,319 $12,049 Dec-88 $12,805 $12,376 $13,322 $12,969 $13,432 $13,065 $13,913 $13,366 $14,302 $13,706 $14,819 $14,098 $14,523 $13,954 $15,114 $14,381 $15,298 $14,669 $15,298 $14,694 $14,374 $13,749 $14,301 $13,632 Dec-89 $14,109 $13,394 $13,031 $12,539 $13,275 $12,716 $13,764 $12,975 $13,397 $12,572 $14,149 $13,073 $14,353 $13,161 $13,805 $12,588 $12,015 $10,964 $11,019 $9,938 $10,389 $9,279 $10,857 $9,641 Dec-90 $11,067 $9,639 $11,998 $10,630 $13,333 $12,175 $14,240 $13,149 $14,288 $13,331 $14,766 $13,685 $14,050 $13,148 $14,621 $13,611 $15,003 $14,026 $15,051 $14,204 $15,528 $14,533 $15,100 $14,027 Dec-91 $16,007 $14,615 $17,813 $16,642 $18,618 $17,537 $18,154 $17,125 $17,423 $16,322 $17,398 $16,341 $16,495 $15,491 $17,105 $15,986 $16,715 $15,533 $16,934 $15,780 $17,373 $16,214 $18,911 $17,787 Dec-92 $19,745 $18,418 $20,817 $19,485 $20,442 $18,939 $21,033 $19,490 $20,389 $18,892 $21,086 $19,610 $21,006 $19,645 $21,355 $19,950 $22,079 $20,796 $22,777 $21,436 $23,849 $22,437 $23,432 $21,820 Dec-93 $23,887 $22,075 $25,363 $23,173 $25,304 $23,085 $24,176 $21,963 $24,321 $21,747 $24,292 $21,730 $23,655 $21,154 $24,091 $21,260 $24,902 $22,210 $25,164 $22,568 $25,453 $22,701 $24,624 $21,825 Dec-94 $24,628 $21,567 $25,325 $22,173 $25,964 $22,894 $26,340 $23,306 $27,267 $23,949 $28,080 $24,466 $29,675 $25,886 $31,589 $27,527 $32,720 $28,633 $33,358 $29,315 $31,733 $27,799 $32,342 $28,252 Dec-95 $33,115 $28,603 $33,208 $29,003 $34,434 $29,891 $35,219 $30,742 $38,205 $33,343 $41,067 $35,731 $38,677 $33,615 $35,029 $30,694 $36,697 $32,177 $37,765 $33,248 $37,104 $32,513 $38,172 $33,307 Dec-96 $38,951 $33,996 $40,587 $35,784 $39,751 $35,169 $37,803 $33,175 $36,760 $31,848 $40,517 $35,361 $42,534 $37,175 $45,108 $39,271 $47,404 $41,054 $51,405 $44,942 $49,420 $43,639 Nov-97 $48,654 $42,748 Annualized One Five Ten Total Return (%) Year Years Years 27.46 20.80 17.14 The portfolio 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 portfolio provides access to publicly traded U.S. small companies with a market capitalization of approximately $150 million or less. The portfolio's return in fiscal 1997 reflected the performance of decile 9-10 companies in the U.S. Past performance is not predictive of future performance. CRSP 9-10 Index courtesy of the Center for Research in Security Prices, University of Chicago. EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC [Enlarge/Download Table] U.S. 6-10 SMALL COMPANY PORTFOLIO VS. CRSP 6-10 INDEX APRIL 1992-NOVEMBER 1997 GROWTH OF $10,000 U.S. 6-10 CRSP 6-10 INDEX SMALL COMPANY PORTFOLIO $10,000 $10,000 Apr-92 $9,588 $9,606 $9,567 $9,677 $9,103 $9,289 $9,505 $9,649 $9,309 $9,383 $9,464 $9,587 $9,763 $9,892 $10,670 $10,729 $11,079 $11,096 $11,454 $11,511 $11,193 $11,229 $11,454 $11,581 Apr-93 $11,099 $11,231 $11,547 $11,743 $11,495 $11,788 $11,579 $11,928 $11,975 $12,478 $12,288 $12,837 $12,548 $13,234 $12,240 $12,827 $12,592 $13,215 $12,970 $13,671 $12,873 $13,590 $12,247 $12,850 Apr-94 $12,269 $12,798 $12,204 $12,683 $11,848 $12,355 $12,021 $12,568 $12,593 $13,287 $12,657 $13,335 $12,700 $13,322 $12,267 $12,806 $12,423 $12,974 $12,496 $12,996 $12,908 $13,476 $13,151 $13,764 Apr-95 $13,576 $14,123 $13,854 $14,380 $14,557 $15,173 $15,453 $16,141 $15,889 $16,559 $16,180 $16,913 $15,343 $16,050 $15,794 $16,609 $16,172 $17,019 $16,211 $17,132 $16,752 $17,712 $17,114 $18,127 Apr-96 $18,250 $19,490 $19,192 $20,439 $18,315 $19,505 $16,791 $17,703 $17,772 $18,756 $18,326 $19,529 $18,055 $19,158 $18,752 $19,740 $19,029 $20,137 $19,659 $20,864 $19,239 $20,365 $18,329 $19,257 Apr-97 $18,118 $18,938 $20,176 $21,347 $21,213 $22,657 $22,473 $23,897 $23,300 $24,731 $25,092 $26,811 $24,000 $25,762 Nov-97 $23,636 $25,327 Annualized One Five From Total Return (%) Year Years April 1992 26.04 17.24 16.39 The portfolio seeks to capture premium returns and diversification benefits by investing in the U.S. 6-10 Small Company Series of the DFA Investment Trust Company which in turn invests in a broad cross-section of U.S. small companies on a market cap-weighted basis. The portfolio's return in fiscal 1997 reflected the performance of decile 6-10 companies in the U.S. Past performance is not predictive of future performance. CRSP 6-10 Index courtesy of the Center for Research in Security Prices, University of Chicago. EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC [Enlarge/Download Table] U.S. LARGE COMPANY PORTFOLIO VS. S&P 500 INDEX JANUARY 1991-NOVEMBER 1997 GROWTH OF $10,000 U.S. LARGE S&P 500 INDEX COMPANY PORTFOLIO $10,000 $10,000 Jan-91 $10,440 $10,442 $11,180 $11,190 $11,441 $11,456 $11,461 $11,488 $11,954 $11,980 $11,409 $11,432 $11,936 $11,967 $12,220 $12,249 $12,008 $12,048 $12,171 $12,209 $11,680 $11,716 $13,012 $13,055 Jan-92 $12,774 $12,812 $12,939 $12,976 $12,690 $12,722 $13,053 $13,092 $13,126 $13,163 $12,928 $12,972 $13,440 $13,495 $13,168 $13,222 $13,315 $13,374 $13,357 $13,422 $13,810 $13,875 $13,963 $14,056 Jan-93 $14,069 $14,159 $14,250 $14,350 $14,546 $14,659 $14,184 $14,299 $14,557 $14,686 $14,590 $14,734 $14,526 $14,665 $15,064 $15,223 $14,957 $15,111 $15,259 $15,418 $15,117 $15,273 $15,306 $15,460 Jan-94 $15,800 $15,978 $15,372 $15,547 $14,711 $14,871 $14,910 $15,064 $15,141 $15,310 $14,774 $14,931 $15,251 $15,426 $15,872 $16,053 $15,504 $15,667 $15,839 $16,025 $15,275 $15,437 $15,503 $15,663 Jan-95 $15,898 $16,070 $16,518 $16,693 $16,995 $17,187 $17,481 $17,688 $18,184 $18,386 $18,606 $18,818 $19,220 $19,445 $19,255 $19,498 $20,077 $20,314 $19,996 $20,243 $20,856 $21,134 $21,250 $21,525 Jan-96 $21,979 $22,265 $22,164 $22,479 $22,381 $22,695 $22,706 $23,029 $23,273 $23,623 $23,366 $23,720 $22,327 $22,664 $22,804 $23,145 $24,072 $24,445 $24,727 $25,115 $26,587 $27,021 $26,058 $26,492 Jan-97 $27,681 $28,137 $27,894 $28,365 $26,742 $27,185 $28,336 $28,808 $30,047 $30,577 $31,387 $31,940 $33,883 $34,476 $31,995 $32,559 $33,739 $34,344 $32,612 $33,197 Nov-97 $34,096 $34,734 Annualized One Five From Total Return (%) Year Years January 1991 28.25 19.81 19.40 The portfolio provides access to U.S. large companies by investing in the U.S. Large Company Series of the DFA Investment Trust Company which in turn invests primarily in the securities comprising the S&P 500 Index. The portfolio's return in fiscal 1997 reflected the performance of the S&P 500 Index. Past performance is not predictive of future performance. 1
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DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC [Enlarge/Download Table] ENHANCED U.S. LARGE COMPANY PORTFOLIO VS. S&P 500 INDEX AUGUST 1996-NOVEMBER 1997 GROWTH OF $10,000 ENHANCED U.S. S&P 500 INDEX LARGE COMPANY PORTFOLIO $10,000 $10,000 Aug-96 $10,203 $10,212 $10,802 $10,786 $11,167 $11,081 $12,010 $11,923 $11,709 $11,689 $12,455 $12,415 Feb-97 $12,553 $12,515 $11,947 $11,995 $12,697 $12,711 $13,525 $13,491 $14,105 $14,093 $15,242 $15,212 Aug-97 $14,407 $14,366 $15,156 $15,153 $14,730 $14,647 Nov-97 $15,279 $15,325 Annualized One From Total Return (%) Year August 1996 27.22 37.43 The portfolio invests in the Enhanced U.S. Large Company Series of the DFA Investment Trust Company, which in turn seeks to capture return premiums associated with an enhanced cash portfolio in combination with the S&P 500 Index futures and swaps. The portfolio's returns in fiscal 1997 reflected the performance of its strategy. Past performance is not predictive of future performance. EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC [Enlarge/Download Table] U.S. 6-10 VALUE PORTFOLIO VS. FAMA-FRENCH SMALL CAP VALUE INDEX APRIL 1993-NOVEMBER 1997 GROWTH OF $10,000 U.S. 6-10 FAMA-FRENCH VALUE PORTFOLIO SMALL CAP VALUE INDEX $10,000 $10,000 Apr-93 $9,788 $9,687 $10,050 $10,081 $10,050 $10,069 $10,353 $10,209 $10,685 $10,536 $11,058 $10,727 $11,431 $11,156 $11,228 $10,978 $11,453 $11,257 $12,044 $11,791 $12,003 $11,720 $11,606 $11,235 Apr-94 $11,687 $11,317 $11,717 $11,279 $11,503 $11,047 $11,696 $11,320 $12,094 $11,726 $12,053 $11,676 $11,879 $11,477 $11,472 $11,096 $11,591 $11,188 $11,705 $11,370 $12,118 $11,831 $12,262 $11,968 Apr-95 $12,696 $12,344 $13,046 $12,607 $13,563 $13,023 $14,295 $13,547 $14,750 $13,982 $14,936 $14,215 $14,203 $13,581 $14,731 $13,963 $14,986 $14,182 $14,933 $14,382 $15,260 $14,606 $15,682 $15,099 Apr-96 $16,494 $15,619 $17,137 $16,233 $16,779 $15,975 $15,735 $15,124 $16,453 $15,750 $17,001 $16,151 $17,126 $16,105 $17,938 $16,842 $18,331 $17,081 $18,797 $17,686 $18,797 $17,774 $18,299 $17,307 Apr-97 $18,224 $17,184 $19,948 $18,815 $21,194 $19,808 $22,462 $20,842 $23,252 $21,618 $25,040 $23,189 $24,152 $22,716 Nov-97 $23,946 $22,575 Annualized One From Total Return (%) Year April 1993 33.49 20.58 The portfolio seeks to capture return premiums associated with high book-to-market ratios by investing in the U.S. 6-10 Value Series of the DFA Investment Trust Company which in turn invests on a market cap-weighted basis in companies that have market caps of approximately $600 million or less and book-to-market ratios in the upper 30% of publicly traded U.S. companies. The portfolio's returns in fiscal 1997 reflected the performance of small U.S. companies with high book-to-market ratios. Past performance is not predictive of future performance. Fama-French Small Cap Value Index courtesy of Fama-French and CRSP, University of Chicago. EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC [Enlarge/Download Table] U.S. LARGE CAP VALUE PORTFOLIO VS. FAMA-FRENCH LARGE CAP VALUE INDEX MARCH 1993-NOVEMBER 1997 GROWTH OF $10,000 U.S. LARGE CAP FAMA-FRENCH VALUE PORTFOLIO LARGE CAP VALUE INDEX $10,000 $10,000 Mar-93 $10,109 $10,302 $10,080 $10,247 $10,189 $10,333 $10,396 $10,501 $10,545 $10,623 $10,802 $10,980 $10,614 $10,869 $10,743 $10,907 $10,633 $10,742 $10,895 $11,018 $11,198 $11,242 $10,694 $10,748 Mar-94 $10,261 $10,273 $10,422 $10,418 $10,351 $10,291 $10,136 $10,097 $10,575 $10,542 $10,881 $10,821 $10,563 $10,423 $10,769 $10,621 $10,286 $10,372 $10,400 $10,404 $10,639 $10,809 $11,243 $11,312 Mar-95 $11,419 $11,355 $11,827 $11,718 $12,443 $12,346 $12,715 $12,550 $13,272 $12,927 $13,661 $13,163 $14,134 $13,695 $13,553 $13,395 $14,296 $13,887 $14,390 $14,234 $14,800 $14,571 $15,016 $14,568 Mar-96 $15,534 $14,807 $15,794 $14,823 $16,053 $15,047 $15,582 $15,044 $14,886 $14,212 $15,484 $14,676 $15,785 $14,962 $16,298 $15,414 $17,478 $16,281 $17,299 $16,233 $17,919 $16,643 $18,268 $16,926 Mar-97 $17,431 $16,222 $18,007 $16,493 $19,395 $17,535 $19,990 $18,114 $21,995 $19,449 $21,668 $19,171 $22,807 $20,139 $21,637 $19,785 Nov-97 $21,864 $20,574 Annualized One From Total Return (%) Year March 1993 25.10 18.36 The portfolio seeks to capture return premiums associated with high book-to-market ratios by investing in the U.S. Large Cap Value Series of the DFA Investment Trust Company which in turn invests on a market cap-weighted basis in companies that have market caps of approximately $600 million or more and book-to- market ratios in the upper 30% of publicly traded companies. The portfolio's returns in fiscal 1997 reflected the performance of large U.S. companies with high book-to-market ratios. Past performance is not predictive of future performance. Fama-French Large Cap Value Index courtesy of Fama-French and CRSP, University of Chicago. 2
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DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC [Enlarge/Download Table] DFA REAL ESTATE SECURITIES PORTFOLIO VS. S&P 500 INDEX JANUARY 1993-NOVEMBER 1997 GROWTH OF $10,000 DFA REAL ESTATE S&P 500 INDEX SECURITIES PORTFOLIO $10,000 $10,000 Jan-93 $10,370 $10,073 $10,420 $10,209 $10,779 $10,428 $10,339 $10,173 $10,350 $10,448 $10,660 $10,482 $10,941 $10,433 $11,341 $10,830 $11,851 $10,750 $11,691 $10,968 $11,109 $10,865 $11,546 $10,999 Jan-94 $11,801 $11,367 $11,740 $11,061 $11,096 $10,579 $11,065 $10,717 $11,004 $10,892 $10,729 $10,623 $10,760 $10,974 $10,944 $11,421 $10,588 $11,146 $10,148 $11,401 $9,804 $10,982 $10,577 $11,143 Jan-95 $10,278 $11,432 $10,449 $11,876 $10,428 $12,228 $10,375 $12,583 $10,791 $13,080 $11,015 $13,388 $11,143 $13,834 $11,218 $13,871 $11,410 $14,452 $11,047 $14,402 $11,178 $15,035 $11,854 $15,313 Jan-96 $11,967 $15,840 $12,115 $15,992 $12,125 $16,146 $12,115 $16,383 $12,375 $16,806 $12,601 $16,875 $12,658 $16,124 $13,111 $16,466 $13,395 $17,391 $13,723 $17,868 $14,335 $19,224 $15,864 $18,847 Jan-97 $15,959 $20,017 $15,900 $20,179 $15,996 $19,340 $15,484 $20,495 $15,938 $21,753 $16,784 $22,723 $17,225 $24,527 $17,143 $23,164 $18,704 $24,433 $18,181 $23,617 Nov-97 $18,515 $24,710 Annualized One From Total Return (%) Year January 1993 29.16 13.35 The portfolio invests in equity REITs. The portfolio invests on a market cap-weighted basis. The portfolio does not purchase health care REITs. The portfolio's returns in fiscal 1997 reflected the performance of U.S. Equity REITs. Past performance is not predictive of future performance. EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC [Enlarge/Download Table] JAPANESE SMALL COMPANY PORTFOLIO VS. JAPANESE LARGE COMPANY STOCKS DECEMBER 1987-NOVEMBER 1997 GROWTH OF $10,000 JAPANESE SMALL JAPANESE LARGE COMPANY PORTFOLIO COMPANY STOCKS $10,000 $10,000 Dec-87 $10,939 $10,136 $11,324 $10,640 $12,056 $11,479 $12,831 $12,306 $13,639 $12,431 $14,515 $11,883 $13,968 $11,465 $13,131 $11,928 $12,659 $11,077 $12,697 $11,617 $13,368 $12,460 $14,762 $13,681 Dec-88 $14,489 $13,718 $15,535 $13,694 $15,832 $14,000 $15,636 $13,515 $16,536 $13,517 $16,033 $12,825 $15,516 $12,163 $17,201 $13,784 $16,547 $12,764 $18,761 $13,666 $18,354 $13,303 $19,284 $13,980 Dec-89 $20,069 $14,016 $19,710 $13,115 $19,034 $11,776 $16,074 $9,514 $14,653 $9,604 $17,499 $10,974 $17,660 $10,443 $18,492 $10,338 $15,698 $9,298 $13,144 $7,782 $17,229 $9,719 $13,669 $8,506 Dec-90 $13,374 $8,945 $12,769 $9,204 $15,674 $10,298 $15,248 $9,646 $15,791 $9,964 $15,535 $9,885 $14,486 $9,173 $14,447 $9,477 $12,851 $8,947 $14,492 $9,729 $15,546 $10,204 $13,888 $9,437 Dec-91 $14,325 $9,734 $13,822 $9,298 $13,172 $8,515 $11,686 $7,594 $10,528 $7,129 $11,969 $7,710 $10,862 $7,005 $10,026 $6,913 $11,388 $8,146 $11,293 $7,947 $10,631 $7,590 $10,693 $7,788 Dec-92 $10,586 $7,679 $10,359 $7,633 $10,911 $7,966 $12,660 $9,089 $14,868 $10,669 $16,833 $10,973 $15,908 $10,823 $16,518 $11,554 $16,779 $11,809 $15,884 $11,205 $14,583 $11,176 $11,712 $9,340 Dec-93 $12,084 $9,602 $14,495 $11,219 $15,221 $11,698 $15,521 $11,205 $16,133 $11,648 $16,294 $11,920 $17,674 $12,531 $17,038 $12,078 $16,834 $12,162 $16,073 $11,844 $16,499 $12,198 $15,177 $11,580 Dec-94 $15,648 $11,731 $15,114 $10,971 $14,110 $10,500 $14,922 $11,450 $15,455 $12,026 $13,850 $11,264 $13,113 $10,757 $14,186 $11,545 $14,199 $11,155 $13,709 $11,169 $13,225 $10,613 $14,184 $11,236 Dec-95 $15,089 $11,825 $15,412 $11,656 $15,127 $11,452 $15,658 $11,850 $17,295 $12,536 $16,588 $11,898 $16,404 $11,953 $15,121 $11,408 $14,698 $10,900 $14,755 $11,269 $13,718 $10,527 $13,294 $10,732 Dec-96 $11,651 $10,015 $10,521 $8,910 $10,432 $9,112 $9,675 $8,833 $9,512 $9,138 $11,089 $10,161 $11,265 $10,908 $9,980 $10,571 $8,904 $9,630 $7,558 $9,521 $7,754 $8,640 Nov-97 $6,394 $8,105 Annualized One Five Ten Total Return (%) Year Years Years -51.90 -9.77 -4.37 The portfolio's objective is to capture premium returns and diversification benefits by investing in the Japanese Small Company Series of the DFA Investment Trust Company which in turn invests in a broad cross-section of small companies on a market cap-weighted basis. The Japanese Small Company Series provides access to publicly traded small companies listed on the lower half of companies on the First Section of Tokyo Stock Exchange. Prior to August 9, 1996, the portfolio invested directly in Japanese small company stocks. The portfolio's returns in fiscal 1997 reflected the performance of small cap companies in Japan. Past performance is not predictive of future performance. Japanese Large Company Stocks courtesy of Morgan Stanley Capital International. EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC [Enlarge/Download Table] PACIFIC RIM SMALL COMPANY PORTFOLIO VS. PACIFIC RIM LARGE COMPANY STOCKS FEBRUARY 1993-NOVEMBER 1997 GROWTH OF $10,000 PACIFIC RIM PACIFIC RIM SMALL COMPANY PORTFOLIO LARGE COMPANY STOCKS $10,000 $10,000 Feb-93 $10,741 $10,770 $11,294 $10,953 $12,401 $11,512 $13,419 $11,949 $13,043 $11,591 $13,281 $11,996 $13,626 $12,908 $14,179 $13,153 $16,017 $15,284 $16,374 $14,826 $19,035 $17,909 $17,986 $17,426 Feb-94 $18,177 $16,572 $16,257 $14,782 $16,677 $15,462 $16,687 $15,972 $16,226 $15,270 $16,685 $16,079 $17,655 $17,156 $18,255 $16,710 $18,416 $16,977 $17,073 $15,619 $16,739 $15,385 $14,953 $14,062 Feb-95 $15,494 $15,370 $15,548 $15,539 $15,299 $15,741 $15,830 $16,811 $15,895 $16,492 $16,923 $17,168 $16,610 $16,721 $16,752 $16,939 $16,242 $16,634 $16,005 $16,784 $16,260 $17,438 $17,383 $18,589 Feb-96 $17,486 $18,868 $17,760 $19,113 $19,181 $19,648 $18,631 $19,452 $18,115 $19,082 $17,508 $18,128 $18,012 $18,944 $18,288 $19,437 $18,483 $19,961 $19,056 $21,039 $18,595 $21,081 $18,991 $20,828 Feb-97 $20,045 $21,120 $19,153 $20,148 $18,695 $19,745 $19,389 $20,970 $19,550 $21,431 $19,464 $21,388 $18,372 $18,415 $17,554 $19,041 $13,278 $15,005 Nov-97 $11,803 $14,539 Annualized One From Total Return (%) Year Feb-93 -38.06 -3.49 The portfolio's objective is to capture premium returns and diversification benefits by investing in the Pacific Rim Small Company Series of the DFA Investment Trust Company which in turn invests in a broad cross-section of small companies on a market cap-weighted basis. The Pacific Rim Small Company Series provides access to publicly traded small companies listed on the major exchanges of Australia, Hong Kong, Malaysia, New Zealand, and Singapore. Prior to August 9, 1996, the portfolio invested directly in Pacific Rim small company stocks. The portfolio's return in fiscal 1997 reflected the performance of small companies in the Pacific Rim Region. Past performance is not predictive of future performance. Pacific Rim Large Company Stocks courtesy of Morgan Stanley Capital International. 3
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DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC [Enlarge/Download Table] UNITED KINGDOM SMALL COMPANY PORTFOLIO VS. UNITED KINGDOM LARGE COMPANY STOCKS DECEMBER 1987-NOVEMBER 1997 GROWTH OF $10,000 UNITED KINGDOM UNITED KINGDOM SMALL COMPANY PORTFOLIO LARGE COMPANY STOCKS $10,000 $10,000 Dec-87 $10,931 $11,300 $10,852 $11,136 $10,830 $11,007 $11,722 $11,765 $12,015 $12,172 $12,055 $11,901 $11,622 $11,593 $11,840 $11,641 $11,132 $10,902 $11,286 $11,412 $12,113 $12,188 $12,366 $12,410 Dec-88 $11,663 $12,106 $12,359 $13,340 $12,721 $13,184 $12,670 $13,214 $12,679 $13,478 $11,816 $12,613 $11,625 $12,614 $12,762 $14,481 $11,960 $14,073 $12,164 $14,122 $10,527 $12,785 $10,461 $13,430 Dec-89 $10,932 $14,592 $11,499 $14,823 $11,218 $14,396 $10,676 $14,006 $10,014 $13,111 $10,796 $14,920 $11,589 $15,815 $12,225 $16,595 $10,996 $15,531 $9,868 $14,144 $10,365 $15,212 $10,229 $15,805 Dec-90 $10,203 $15,829 $9,912 $16,233 $10,936 $17,548 $10,953 $16,612 $10,920 $16,729 $10,661 $16,595 $9,810 $15,314 $10,268 $17,059 $10,635 $17,503 $11,756 $18,343 $11,648 $17,857 $11,513 $17,100 Dec-91 $11,710 $18,548 $11,554 $18,417 $11,498 $18,150 $10,920 $16,953 $12,138 $19,337 $13,183 $20,424 $12,654 $19,803 $11,387 $18,878 $11,004 $18,839 $10,397 $18,643 $9,214 $17,133 $9,103 $17,342 Dec-92 $10,075 $18,077 $10,708 $17,795 $10,513 $17,444 $11,354 $18,808 $12,131 $19,425 $12,282 $19,577 $12,068 $19,279 $11,860 $19,231 $12,834 $20,600 $12,788 $20,411 $12,829 $21,125 $12,418 $21,043 Dec-93 $13,160 $22,703 $14,945 $23,940 $14,881 $22,830 $14,024 $21,442 $14,529 $22,117 $14,077 $21,024 $13,648 $21,031 $13,982 $22,250 $14,470 $23,414 $14,276 $22,396 $14,546 $23,704 $13,890 $22,646 Dec-94 $13,771 $22,601 $13,729 $22,271 $13,514 $22,436 $14,077 $24,018 $14,438 $24,505 $14,936 $25,093 $14,894 $25,116 $15,536 $26,487 $15,517 $26,026 $15,829 $26,903 $15,614 $27,016 $15,056 $27,008 Dec-95 $15,251 $27,732 $15,318 $27,677 $15,860 $28,106 $16,336 $28,286 $17,113 $29,015 $17,743 $29,532 $17,582 $29,222 $16,993 $29,163 $17,575 $30,706 $17,702 $31,283 $18,553 $32,866 $19,082 $34,490 Dec-96 $19,794 $35,776 $19,549 $34,649 $20,198 $35,682 $20,335 $36,142 $19,995 $36,428 $19,893 $37,863 $19,676 $38,431 $19,027 $39,788 $19,518 $39,195 $20,225 $42,264 $20,939 $40,970 Nov-97 $20,694 $41,151 Annualized One Five Ten Total Return (%) Year Years Years 8.44 17.85 7.54 The portfolio's objective is to capture premium returns and diversification benefits by investing in the U.K. Small Company Series of the DFA Investment Trust Company which in turn invests in a broad cross-section of small companies on a market cap-weighted basis. The United Kingdom Small Company Series provides access to publicly traded small companies in the lower half by market cap of companies traded on the International Stock Exchange of the United Kingdom. Prior to August 9, 1996, the portfolio invested directly in United Kingdom small company stocks. The portfolio's returns in fiscal 1997 reflected the performance of small companies in the United Kingdom. Past performance is not predictive of future performance. United Kingdom Large Company Stocks courtesy of Morgan Stanley Capital International. EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC [Enlarge/Download Table] CONTINENTAL SMALL COMPANY PORTFOLIO VS. CONTINENTAL LARGE COMPANY STOCKS JULY 1988-NOVEMBER 1997 GROWTH OF $10,000 CONTINENTAL CONTINENTAL SMALL COMPANY PORTFOLIO LARGE COMPANY STOCKS $10,000 $10,000 Jul-88 $9,841 $9,978 $9,792 $9,679 $10,437 $10,245 $11,399 $11,289 $11,906 $11,445 $12,046 $11,676 $12,256 $11,570 $12,316 $11,557 $12,476 $11,655 $13,285 $12,090 $13,005 $11,617 $13,465 $12,333 Jul-89 $14,475 $13,557 $14,496 $13,490 $15,755 $13,909 $15,196 $13,236 $16,146 $13,994 $17,429 $15,559 $17,347 $15,447 $17,049 $15,113 $17,832 $15,684 $18,274 $15,576 $18,789 $16,355 $19,437 $16,733 Jul-90 $20,631 $17,439 $18,285 $15,290 $16,371 $13,246 $17,328 $14,401 $16,711 $14,174 $16,720 $13,916 $16,248 $14,357 $17,363 $15,682 $15,950 $14,493 $15,950 $14,374 $16,013 $15,020 $15,081 $13,772 Jul-91 $15,413 $14,323 $15,413 $14,520 $15,874 $14,886 $15,371 $14,627 $15,189 $14,532 $16,031 $15,606 $15,766 $15,710 $15,686 $15,934 $15,490 $15,605 $15,420 $15,857 $16,017 $16,768 $16,086 $16,684 Jul-92 $15,684 $16,119 $15,742 $16,067 $14,833 $15,826 $13,662 $14,829 $13,086 $14,711 $12,851 $14,872 $13,253 $15,140 $13,253 $15,670 $13,962 $16,281 $14,577 $16,574 $14,600 $16,806 $13,832 $16,521 Jul-93 $13,772 $16,653 $15,274 $18,301 $15,309 $18,338 $15,427 $19,145 $15,083 $18,456 $16,102 $19,858 $17,316 $20,950 $17,545 $20,385 $18,110 $20,262 $18,807 $21,174 $18,531 $20,391 $18,351 $20,044 Jul-94 $18,808 $21,086 $19,000 $21,487 $18,580 $20,714 $18,591 $21,459 $17,827 $20,708 $17,875 $20,895 $17,753 $20,832 $18,082 $21,499 $18,349 $22,186 $18,715 $23,118 $19,020 $23,581 $19,276 $23,911 Jul-95 $19,753 $25,130 $18,791 $23,974 $18,802 $24,717 $18,193 $24,569 $17,591 $24,766 $17,879 $25,632 $18,247 $25,914 $19,036 $26,536 $19,338 $27,094 $19,338 $27,148 $19,785 $27,311 $19,955 $27,830 Jul-96 $19,522 $27,245 $19,600 $27,763 $19,338 $28,318 $19,680 $28,658 $20,048 $30,034 $20,441 $30,394 $20,923 $31,002 $20,965 $31,157 $21,705 $32,528 $21,108 $32,007 $21,961 $33,352 $22,714 $35,619 Jul-97 $22,657 $37,294 $22,288 $34,459 $23,866 $37,974 $23,184 $35,924 Nov-97 $22,657 $36,678 Annualized One Five From Total Return (%) Year Years July 1988 13.02 11.60 09.07 The portfolio's objective is to capture premium returns and diversification benefits by investing in the Continental Small Company Series of the DFA Investment Trust Company which in turn invests in a broad cross-section of small companies on a market cap-weighted basis. The Continental Small Company Series provides access to publicly traded small companies listed on the major exchanges of Belgium, Denmark, France, Germany, Italy, the Netherlands, Spain, Sweden, and Switzerland. Prior to August 9, 1996, the portfolio invested directly in Continental small company stocks. The portfolio's returns in fiscal 1997 reflected the performance of small companies in Continental Europe. Past performance is not predictive of future performance. Continental Large Company Stocks courtesy of Morgan Stanley Capital International. EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC [Enlarge/Download Table] INTERNATIONAL SMALL COMPANY PORTFOLIO VS. EAFE INDEX OCTOBER 1996-NOVEMBER 1997 GROWTH OF $10,000 INTERNATIONAL EAFE INDEX SMALL COMPANY PORTFOLIO $10,000 $10,000 Oct-96 $9,910 $9,900 $9,960 $10,296 $9,637 $10,162 $9,416 $9,806 $9,526 $9,973 $9,346 $10,013 Apr-97 $9,146 $10,073 $9,808 $10,728 $9,988 $11,318 $9,578 $11,499 $9,147 $10,648 $8,926 $11,244 $8,525 $10,379 Nov-97 $7,834 $10,275 Annualized One From Total Return (%) Year October-1996 -21.34 -18.88 The portfolio invests in four international series of the DFA Investment Trust Company. The portfolio invests 30% in the Japanese Small Company Series, 20% in the Pacific Rim Small Company Series, 35% in the Continental Small Company Series, and 15% in the United Kingdom Small Company Series. The portfolio's returns in fiscal 1997 reflected the performance of its strategy. Past performance is not predictive of future performance. EAFE Index courtesy of Morgan Stanley Capital International. 4
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DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC [Enlarge/Download Table] RWB/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO VS. EAFE INDEX JULY 1993-NOVEMBER 1997 GROWTH OF $10,000 RWB/DFA EAFE INDEX INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO $10,000 $10,000 Jul-93 $10,383 $10,350 $10,983 $10,909 $10,777 $10,669 $11,046 $11,000 $10,291 $10,043 $11,111 $10,766 $12,045 $11,681 $11,921 $11,646 $11,599 $11,145 $11,983 $11,624 $12,056 $11,555 $12,191 $11,716 Jul-94 $12,430 $11,833 $12,617 $12,117 $12,170 $11,742 $12,679 $12,141 $12,011 $11,558 $12,085 $11,628 $11,602 $11,186 $11,570 $11,152 $12,253 $11,855 $12,632 $12,305 $12,558 $12,158 $12,433 $11,951 Jul-95 $13,126 $12,704 $12,675 $12,221 $12,748 $12,466 $12,506 $12,129 $12,845 $12,469 $13,471 $12,980 $13,599 $13,032 $13,684 $13,084 $13,877 $13,359 $14,413 $13,746 $14,273 $13,499 $14,326 $13,580 Jul-96 $13,941 $13,186 $13,994 $13,212 $14,240 $13,569 $14,100 $13,433 $14,721 $13,970 $14,534 $13,789 $14,038 $13,306 $14,170 $13,532 $14,214 $13,587 $14,137 $13,668 $15,216 $14,557 $15,866 $15,357 Jul-97 $16,086 $15,603 $15,029 $14,448 $15,579 $15,257 $14,765 $14,083 Nov-97 $14,137 $13,942 Annualized One From Total Return (%) Year July 1993 -3.96 8.15 The portfolio invests in the DFA International Value Series of the DFA Investment Trust Company which in turn invests in companies with market capitalization of at least $800 million and book-to-market ratios in the upper 30% of large publicly traded non-U.S. companies. Country weightings reflect the EAFE Index market capitalization weight, with Japan limited to 38%. The portfolio's returns in fiscal 1997 reflected the performance of large, non-U.S. companies with high book-to-market ratios. Past performance is not predictive of future performance. EAFE Index courtesy of Morgan Stanley Capital International. EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC [Enlarge/Download Table] EMERGING MARKETS PORTFOLIO VS. MSCI EMERGING MARKETS FREE EQUAL-WEIGHTED INDEX MAY 1994-NOVEMBER 1997 GROWTH OF $10,000 EMERGING MSCI EMERGING MARKETS MARKETS FREE EQUAL-WEIGHTED INDEX PORTFOLIO $10,000 $10,000 May-94 $10,150 $10,456 $10,200 $10,170 $10,939 $10,928 $11,919 $12,247 $12,040 $12,316 $11,680 $12,126 $11,300 $11,594 $10,480 $10,722 $9,509 $9,530 $9,449 $9,352 $9,860 $9,719 $10,340 $10,340 May-95 $11,070 $11,054 $11,129 $11,012 $11,569 $11,368 $11,129 $10,815 $10,919 $10,637 $10,539 $10,226 $10,399 $10,090 $10,705 $10,517 $11,850 $11,591 $11,599 $11,438 $11,689 $11,510 $12,021 $11,845 May-96 $12,021 $11,941 $12,111 $12,105 $11,076 $11,107 $11,387 $11,456 $11,629 $11,746 $11,367 $11,436 $11,769 $11,940 $11,925 $12,123 $13,130 $13,532 $13,292 $13,705 $12,917 $13,339 $12,421 $12,812 May-97 $13,028 $13,408 $13,565 $13,750 $13,575 $13,777 $11,599 $11,545 $12,075 $12,084 $10,282 $10,151 Nov-97 $9,735 $9,601 Annualized One From Total Return (%) Year May 1994 -17.29 -0.75 The portfolio invests in the Emerging Markets Series of the DFA Investment Trust Company which in turn provides access to non-U.S. large companies in "emerging market" countries including Argentina, Brazil, Indonesia, Israel, Malaysia, Mexico, Philippines, Portugal, South Korea, Thailand, and Turkey. The portfolio invests across all market capitalizations, specifically those deemed to be value stocks. The portfolio's returns in fiscal 1997 reflected the performance of an equally-weighted emerging markets country portfolio. Past performance is not predictive of future performance. MSCI Emerging Markets Free Equal-Weighted Index is created by equal-weighting the MSCI country returns for the 11 countries that Dimensional is currently invested in. Courtesy of Morgan Stanley Capital International. EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC [Enlarge/Download Table] LARGE CAP INTERNATIONAL PORTFOLIO VS. EAFE INDEX AUGUST 1991-NOVEMBER 1997 GROWTH OF $10,000 LARGE CAP EAFE INDEX INTERNATIONAL PORTFOLIO $10,000 $10,000 Aug-91 $9,865 $9,799 $10,338 $10,354 $10,636 $10,503 $10,288 $10,015 $10,880 $10,535 $10,540 $10,313 $10,073 $9,947 $9,402 $9,293 $9,392 $9,340 $9,966 $9,968 $9,539 $9,499 $9,412 $9,258 Aug-92 $10,121 $9,843 $9,868 $9,656 $9,295 $9,154 $9,363 $9,245 $9,451 $9,291 $9,362 $9,291 $9,607 $9,579 $10,364 $10,413 $11,090 $11,402 $11,326 $11,641 $11,130 $11,467 $11,494 $11,868 Aug-93 $12,103 $12,509 $11,819 $12,234 $12,143 $12,613 $11,194 $11,516 $11,894 $12,345 $12,730 $13,394 $12,362 $13,354 $12,004 $12,780 $12,432 $13,329 $12,313 $13,249 $12,503 $13,435 $12,661 $13,569 Aug-94 $12,970 $13,895 $12,502 $13,464 $13,010 $13,922 $12,398 $13,254 $12,525 $13,333 $12,164 $12,827 $12,079 $12,788 $12,886 $13,594 $13,342 $14,110 $13,183 $13,941 $12,981 $13,704 $13,715 $14,567 Aug-95 $13,173 $14,014 $13,396 $14,294 $13,204 $13,908 $13,559 $14,297 $14,159 $14,884 $14,126 $14,943 $14,082 $15,003 $14,374 $15,318 $14,762 $15,762 $14,579 $15,479 $14,665 $15,571 $14,244 $15,120 Aug-96 $14,308 $15,150 $14,729 $15,559 $14,599 $15,404 $15,278 $16,020 $15,057 $15,811 $14,385 $15,258 $14,605 $15,517 $14,804 $15,579 $14,925 $15,673 $15,871 $16,692 $16,971 $17,610 $17,268 $17,891 Aug-97 $16,080 $16,568 $17,125 $17,495 $15,716 $16,148 Nov-97 $15,705 $15,987 Annualized One Five From Total Return (%) Year Years August 1991 2.79 10.90 7.39 The portfolio provides access to non-U.S. large companies in Europe, Australia and the Far East (currently 13 countries). Investment will be approximately market cap weighted, with investments made in the largest 50% of companies in each country. Country weighting is designed to reflect each country's market capitalization relative to the overall index, adjusted to reflect cross-ownership. The portfolio's returns in fiscal 1997 reflected the performance of its strategy. Past performance is not predictive of future performance. EAFE Index courtesy of Morgan Stanley Capital International. 5
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DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC [Enlarge/Download Table] DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO VS. EAFE INDEX JANUARY 1995-NOVEMBER 1997 GROWTH OF $10,000 DFA INTERNATIONAL EAFE INDEX SMALL CAP VALUE PORTFOLIO $10,000 $10,000 Jan-95 $9,930 $9,620 $9,780 $9,591 $10,100 $10,195 $10,359 $10,583 $10,170 $10,456 $9,980 $10,278 $10,370 $10,926 $10,110 $10,510 $9,960 $10,721 $9,640 $10,431 $9,729 $10,723 $10,116 $11,163 Jan-96 $10,317 $11,208 $10,428 $11,252 $10,569 $11,489 $11,121 $11,822 $11,181 $11,609 $11,030 $11,679 $10,578 $11,340 $10,527 $11,363 $10,527 $11,669 $10,397 $11,553 $10,507 $12,015 $10,211 $11,859 Jan-97 $9,959 $11,444 $10,042 $11,638 $9,958 $11,685 $9,727 $11,755 $10,378 $12,519 $10,535 $13,207 $10,127 $13,419 $9,665 $12,426 $9,486 $13,122 $9,108 $12,111 Nov-97 $8,342 $11,990 Annualized One From Total Return (%) Year January 1995 -20.60 -06.02 This portfolio invests in companies with market capitalizations no larger than $800 million and book-to-market ratios in the upper 30% of small publicly traded international companies. Country weightings reflect the EAFE Index market capitalization weight, with Japan limited to 38%. The portfolio's returns in fiscal 1997 reflected the performance of its strategy. Past performance is not predictive of future performance. EAFE Index courtesy of Morgan Stanley Capital International. EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC [Enlarge/Download Table]  DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO VS. LEHMAN TREASURY INDEX NOVEMBER 1990-NOVEMBER 1997 GROWTH OF $10,000 DFA INTERMEDIATE LEHMAN GOVERNMENT TREASURY INDEX FIXED INCOME PORTFOLIO $10,000 $10,000 Nov-90 $10,263 $10,221 $10,450 $10,380 $10,573 $10,492 $10,649 $10,547 $10,680 $10,601 $10,794 $10,718 $10,862 $10,757 $10,828 $10,741 $10,972 $10,867 $11,234 $11,119 $11,509 $11,353 $11,637 $11,454 Nov-91 $11,796 $11,569 $12,214 $11,969 $11,970 $11,778 $11,985 $11,824 $11,901 $11,753 $12,036 $11,827 $12,244 $12,044 $12,486 $12,219 $12,862 $12,531 $13,035 $12,650 $13,256 $12,834 $13,018 $12,646 Nov-92 $12,941 $12,620 $13,143 $12,835 $13,459 $13,111 $13,784 $13,374 $13,869 $13,419 $13,982 $13,523 $13,973 $13,508 $14,293 $13,811 $14,335 $13,892 $14,653 $14,202 $14,773 $14,258 $14,802 $14,310 Nov-93 $14,603 $14,153 $14,671 $14,208 $14,875 $14,404 $14,536 $14,095 $14,183 $13,779 $14,006 $13,671 $13,989 $13,655 $13,944 $13,625 $14,185 $13,873 $14,232 $13,876 $14,004 $13,681 $13,986 $13,673 Nov-94 $13,915 $13,646 $13,976 $13,729 $14,232 $13,983 $14,607 $14,281 $14,683 $14,371 $14,912 $14,559 $15,564 $15,147 $15,692 $15,267 $15,613 $15,211 $15,794 $15,387 $15,929 $15,535 $16,152 $15,775 Nov-95 $16,428 $16,020 $16,643 $16,249 $16,776 $16,351 $16,466 $16,016 $16,270 $15,877 $16,120 $15,775 $16,061 $15,750 $16,277 $15,950 $16,308 $15,988 $16,263 $15,955 $16,555 $16,216 $16,940 $16,573 Nov-96 $17,246 $16,860 $17,037 $16,686 $17,068 $16,703 $17,083 $16,723 $16,873 $16,542 $17,111 $16,781 $17,270 $16,925 $17,457 $17,114 $17,988 $17,606 $17,763 $17,428 $18,052 $17,693 $18,379 $18,001 Nov-97 $18,412 $18,094 Annualized One Five From Total Return (%) Year Years November 1990 6.76 7.31 9.00 The portfolio employs a buy and hold strategy investing in securities with a maturity generally between five and fifteen years and ordinarily maintaining an average weighted maturity of seven to ten years. The investment universe includes obligations of the U.S. Government, U.S. Government Agencies and AAA-rated dollar denominated obligations of foreign securities and supranationals. Performance is expected to match or exceed the returns of the Lehman Brothers Treasury Index without exceeding the volatility of that index. This portfolio's returns in fiscal 1997 reflected the performance of its strategy. Past performance is not predictive of future performance. Lehman Treasury Index courtesy of Lehman Brothers. EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC [Enlarge/Download Table] DFA ONE-YEAR FIXED INCOME PORTFOLIO VS. ONE MONTH CD'S DECEMBER 1987-NOVEMBER 1997 GROWTH OF $10,000 DFA ONE-YEAR ONE MONTH CD'S FIXED INCOME PORTFOLIO $10,000 $10,000 Dec-87 $10,081 $10,054 $10,192 $10,105 $10,273 $10,159 $10,321 $10,214 $10,355 $10,266 $10,384 $10,324 $10,464 $10,384 $10,502 $10,443 $10,552 $10,514 $10,644 $10,582 $10,727 $10,652 $10,761 $10,720 Dec-88 $10,827 $10,792 $10,914 $10,874 $10,958 $10,945 $11,039 $11,034 $11,146 $11,113 $11,264 $11,208 $11,361 $11,293 $11,457 $11,379 $11,534 $11,462 $11,612 $11,539 $11,705 $11,631 $11,787 $11,709 Dec-89 $11,866 $11,782 $11,953 $11,866 $12,026 $11,938 $12,103 $12,014 $12,178 $12,094 $12,283 $12,176 $12,376 $12,252 $12,490 $12,336 $12,565 $12,417 $12,641 $12,491 $12,742 $12,580 $12,833 $12,661 Dec-90 $12,944 $12,743 $13,033 $12,824 $13,114 $12,894 $13,195 $12,960 $13,289 $13,031 $13,371 $13,093 $13,422 $13,151 $13,517 $13,219 $13,627 $13,280 $13,741 $13,341 $13,825 $13,400 $13,938 $13,452 Dec-91 $14,074 $13,503 $14,120 $13,553 $14,167 $13,591 $14,196 $13,635 $14,290 $13,677 $14,363 $13,714 $14,458 $13,755 $14,566 $13,795 $14,636 $13,829 $14,731 $13,863 $14,740 $13,893 $14,724 $13,925 Dec-92 $14,803 $13,963 $14,897 $13,995 $14,958 $14,024 $15,028 $14,058 $15,100 $14,089 $15,111 $14,117 $15,174 $14,148 $15,220 $14,179 $15,291 $14,212 $15,348 $14,242 $15,377 $14,270 $15,405 $14,303 Dec-93 $15,456 $14,334 $15,533 $14,366 $15,502 $14,395 $15,496 $14,429 $15,486 $14,464 $15,519 $14,507 $15,570 $14,552 $15,662 $14,597 $15,721 $14,647 $15,748 $14,695 $15,800 $14,750 $15,789 $14,803 Dec-94 $15,836 $14,863 $15,985 $14,930 $16,137 $14,991 $16,236 $15,060 $16,341 $15,122 $16,514 $15,195 $16,607 $15,262 $16,693 $15,330 $16,777 $15,398 $16,850 $15,461 $16,940 $15,532 $17,019 $15,599 Dec-95 $17,099 $15,663 $17,173 $15,735 $17,240 $15,796 $17,316 $15,856 $17,375 $15,921 $17,432 $15,983 $17,524 $16,041 $17,605 $16,111 $17,689 $16,176 $17,794 $16,241 $17,922 $16,307 $18,026 $16,369 Dec-96 $18,087 $16,438 $18,176 $16,507 $18,250 $16,570 $18,281 $16,641 $18,402 $16,714 $18,490 $16,788 $18,599 $16,863 $18,726 $16,939 $18,780 $17,010 $18,891 $17,088 $19,001 $17,165 Nov-97 $19,058 $17,236 Annualized One Five Ten Total Return (%) Year Years Years 5.72 5.30 6.66 The portfolio maximizes expected returns by investing in the DFA One-Year Fixed Income Series of the DFA Investment Trust Company which uses a strategy of shifting maturities based on changes in the yield curve. Using current prices, the strategy creates a matrix of expected returns from different buy and sell strategies and identifies the optimal maturity range for the highest expected returns. Issues which meet maturity and quality level are further evaluated for business risk. Maturities are shifted if sufficient premiums can be documented. The portfolio's returns in fiscal 1997 reflected the performance of its strategy. Past performance is not predictive of future performance. 6
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DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC [Enlarge/Download Table] DFA FIVE-YEAR GOVERNMENT PORTFOLIO VS. LEHMAN INTERMEDIATE GOVERNMENT INDEX DECEMBER 1987-NOVEMBER 1997 GROWTH OF $10, 000 DFA FIVE-YEAR LEHMAN GOVERNMENT INTERMEDIATE PORTFOLIO GOVERNMENT INDEX $10,000 $10,000 Dec-87 $10,118 $10,105 $10,426 $10,364 $10,534 $10,479 $10,459 $10,439 $10,431 $10,421 $10,384 $10,375 $10,533 $10,540 $10,502 $10,518 $10,497 $10,534 $10,671 $10,717 $10,829 $10,863 $10,713 $10,771 Dec-88 $10,757 $10,780 $10,851 $10,894 $10,893 $10,848 $10,961 $10,893 $11,071 $11,111 $11,182 $11,331 $11,318 $11,617 $11,424 $11,855 $11,454 $11,702 $11,508 $11,757 $11,631 $12,006 $11,713 $12,120 Dec-89 $11,777 $12,154 $11,844 $12,076 $11,911 $12,121 $11,955 $12,137 $11,987 $12,094 $12,157 $12,360 $12,262 $12,526 $12,397 $12,700 $12,337 $12,648 $12,449 $12,746 $12,650 $12,893 $12,851 $13,089 Dec-90 $13,051 $13,269 $13,178 $13,404 $13,245 $13,511 $13,293 $13,603 $13,446 $13,751 $13,514 $13,835 $13,485 $13,845 $13,669 $14,000 $13,945 $14,267 $14,217 $14,513 $14,392 $14,678 $14,578 $14,847 Dec-91 $14,960 $15,209 $14,780 $15,071 $14,813 $15,130 $14,724 $15,071 $14,892 $15,203 $15,124 $15,439 $15,404 $15,667 $15,751 $15,979 $15,951 $16,139 $16,214 $16,359 $15,940 $16,146 $15,830 $16,085 Dec-92 $16,051 $16,300 $16,364 $16,616 $16,616 $16,879 $16,686 $16,946 $16,831 $17,082 $16,757 $17,044 $17,022 $17,312 $17,027 $17,353 $17,351 $17,629 $17,417 $17,702 $17,457 $17,749 $17,329 $17,650 Dec-93 $17,385 $17,731 $17,595 $17,928 $17,278 $17,663 $16,976 $17,371 $16,805 $17,253 $16,830 $17,265 $16,820 $17,227 $17,047 $17,475 $17,096 $17,529 $16,922 $17,368 $16,918 $17,366 $16,788 $17,288 Dec-94 $16,837 $17,349 $17,029 $17,640 $17,209 $18,005 $17,295 $18,108 $17,422 $18,333 $17,746 $18,886 $17,847 $19,013 $17,918 $19,015 $18,051 $19,188 $18,139 $19,326 $18,266 $19,540 $18,357 $19,796 Dec-95 $18,446 $20,004 $18,534 $20,176 $18,608 $19,940 $18,664 $19,839 $18,701 $19,769 $18,756 $19,753 $18,924 $19,963 $18,981 $20,023 $19,019 $20,039 $19,247 $20,317 $19,532 $20,677 $19,741 $20,950 Dec-96 $19,664 $20,816 $19,743 $20,897 $19,763 $20,936 $19,703 $20,792 $19,881 $21,037 $20,018 $21,212 $20,164 $21,405 $20,424 $21,840 $20,424 $21,730 $20,585 $21,982 $20,746 $22,226 Nov-97 $20,806 $22,275 Annualized One Five Ten Total Return (%) Year Years Years 5.39 5.62 7.60 The portfolio maximizes expected returns by shifting maturities based on changes in the yield curve. Using current prices, the strategy creates a matrix of expected returns from different buy and sell strategies and identifies the optimal maturity range for the highest expected returns. Maturities are shifted if sufficient premiums can be documented. Investments are made in U.S. government securities with a maximum maturity of five years. This portfolio's returns in fiscal 1997 reflected the performance of its strategy. Past performance is not predictive of future performance. Lehman Intermediate Government Index courtesy of Lehman Brothers. EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC [Enlarge/Download Table] DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO VS. MERRILL LYNCH GOVERNMENTS, U.S. TREASURY, SHORT TERM (1-2.99 YEARS) MARCH 1996-NOVEMBER 1997 GROWTH OF $10,000 MERRILL LYNCH GOVERNMENTS, DFA TWO-YEAR GLOBAL U.S. TREASURY, SHORT TERM FIXED INCOME PORTFOLIO (1-2.99 YEARS) $10,000 $10,000 Mar-96 $10,046 $9,991 $10,096 $9,999 $10,147 $10,020 $10,184 $10,092 $10,256 $10,131 $10,357 $10,166 Sep-96 $10,429 $10,258 $10,520 $10,374 $10,592 $10,454 $10,635 $10,454 $10,709 $10,503 $10,750 $10,528 Mar-97 $10,747 $10,523 $10,811 $10,610 $10,884 $10,682 $10,962 $10,755 $11,016 $10,874 $11,059 $10,884 Sep-97 $11,128 $10,966 $11,171 $11,047 Nov-97 $11,204 $11,074 Annualized Total Return (%) One Year From March 1996 5.77 6.71 The portfolio invests in the DFA Two-Year Global Fixed Income Series of the DFA Investment Trust Company, which in turn seeks to maximize expected returns by shifting maturities based on changes in the yield curve. Using current prices, the strategy creates a matrix of expected returns from different buy and sell strategies and identifies the optimal maturity range for the highest expected returns. Maturities are shifted if sufficient premiums can be documented. Investments are made in U.S. government securities, high-quality corporate securities and currency hedged global bonds with a maximum maturity of two years. The portfolio's returns in fiscal 1997 reflected the performance of its strategy. Past performance is not predictive of future performance. Merrill Lynch Governments, U.S. Treasury, Short-Term (1-2.99 Years) courtesy of Merrill Lynch. EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC [Enlarge/Download Table] DFA GLOBAL FIXED INCOME PORTFOLIO VS. SALOMON WORLD GOVERNMENT BOND INDEX DECEMBER 1990-NOVEMBER 1997 GROWTH OF $10,000 DFA GLOBAL FIXED SALOMON WORLD FIXED INCOME PORTFOLIO INCOME INDEX $10,000 $10,000 Dec-90 $10,060 $10,126 $10,126 $10,277 $10,185 $10,375 $10,214 $10,405 $10,320 $10,491 $10,427 $10,540 $10,425 $10,508 $10,529 $10,621 $10,706 $10,807 $10,871 $11,012 $10,994 $11,095 $11,100 $11,170 Dec-91 $11,396 $11,461 $11,252 $11,422 $11,278 $11,464 $11,208 $11,396 $11,309 $11,432 $11,481 $11,592 $11,675 $11,700 $11,924 $11,882 $12,066 $11,960 $12,254 $12,143 $12,068 $12,192 $11,988 $12,185 Dec-92 $12,135 $12,340 $12,350 $12,533 $12,537 $12,769 $12,568 $12,762 $12,573 $12,806 $12,565 $12,833 $12,807 $13,092 $12,916 $13,210 $13,156 $13,483 $13,187 $13,561 $13,323 $13,681 $13,358 $13,690 Dec-93 $13,538 $13,871 $13,628 $13,881 $13,314 $13,602 $12,981 $13,429 $12,897 $13,344 $12,796 $13,275 $12,684 $13,174 $12,778 $13,315 $12,876 $13,238 $12,813 $13,194 $12,837 $13,218 $12,969 $13,317 Dec-94 $12,953 $13,353 $13,057 $13,537 $13,249 $13,749 $13,513 $13,973 $13,697 $14,181 $14,032 $14,676 $14,059 $14,698 $14,181 $14,798 $14,282 $14,922 $14,483 $15,128 $14,631 $15,312 $14,947 $15,603 Dec-95 $15,032 $15,764 $15,157 $15,914 $14,998 $15,688 $15,109 $15,741 $15,197 $15,803 $15,344 $15,882 $15,401 $16,034 $15,535 $16,117 $15,773 $16,258 $16,055 $16,567 $16,355 $16,871 $16,610 $17,175 Dec-96 $16,652 $17,136 $16,795 $17,285 $16,955 $17,361 $16,839 $17,260 $16,969 $17,450 $17,098 $17,556 $17,361 $17,818 $17,573 $18,171 $17,606 $18,131 $17,770 $18,424 $17,836 $18,618 Nov-97 $17,918 $18,735 From December Annualized Total Return (%) One Year Five Years 1990 7.87 8.37 8.69 The portfolio invests in U.S. and international government bonds, debt guaranteed by foreign governments, high quality corporate debt, bank obligations, and debt of supranational issuers with maturities of 5 years or less. Eligible countries include the United States, Canada, United Kingdom, Germany, Japan, France, Australia, and the Netherlands. The portfolio is diversified across countries. Using current prices, the strategy creates a matrix of expected horizon returns from different buy and sell strategies and identifies the maturity range with the highest expected returns. Maturities are shifted only if sufficient premiums warrant it. Country weighting is increased or reduced based on expected returns. The portfolio may be concentrated in the U.S. if international curves are inverted. The portfolio's returns in fiscal 1997 reflected the performance of its strategy. Past performance is not predictive of future performance. Salomon World Fixed Income Index courtesy of Salomon Brothers. 7
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DFA INVESTMENT DIMENSIONS GROUP INC. THE U.S. 9-10 SMALL COMPANY PORTFOLIO SCHEDULE OF INVESTMENTS NOVEMBER 30, 1997 [Download Table] SHARES VALUE+ ---------- --------------- COMMON STOCKS -- (97.5%) *3-D Geophysical, Inc................................ 20,800 $ 137,150 *3-D Systems Corp.................................... 83,700 700,988 *3D0 Co.............................................. 120,100 365,930 *4 Health, Inc....................................... 6,700 43,131 *4Front Software International, Inc.................. 26,400 229,350 *7Th Level, Inc...................................... 11,200 22,750 *AAON, Inc........................................... 39,490 296,175 ABC Bancorp.......................................... 26,825 450,995 *ABC Rail Products Corp.............................. 67,000 1,352,563 *ABT Building Products Corp.......................... 3,000 54,000 *ACT Manufacturing, Inc.............................. 8,800 125,125 *ACT Networks, Inc................................... 44,000 360,250 *AEP Industries, Inc................................. 31,850 1,029,153 *AER Energy Resources, Inc........................... 120,200 219,741 *AFC Cable Systems, Inc.............................. 46,625 1,255,961 *AG Associates, Inc.................................. 13,200 79,200 *AG Services America, Inc............................ 23,650 427,178 *#AMBI, Inc.......................................... 124,200 306,619 *AML Communications, Inc............................. 26,600 162,094 *AMX Corp............................................ 34,300 222,950 *APS Holding Corp. Class A........................... 75,900 292,927 *ARI Network Services, Inc........................... 23,875 76,102 *ARV Assisted Living, Inc............................ 66,000 1,010,625 *ASV, Inc............................................ 11,200 296,100 *#ATC Communications Group, Inc...................... 9,100 21,044 *ATC Group Services, Inc............................. 65,800 740,250 *ATMI, Inc........................................... 33,300 1,088,494 *ATS Medical, Inc.................................... 154,900 900,356 Aaron Rents, Inc. Class A............................ 41,500 658,813 Aaron Rents, Inc. Class B............................ 139,800 2,315,438 *#Aasche Transportation Services, Inc...................................... 19,300 59,709 *Aavid Thermal Technologies, Inc..................... 22,400 653,800 *Abaxis, Inc......................................... 74,800 194,013 Abington Bancorp, Inc................................ 18,400 669,300 *Abiomed, Inc........................................ 35,500 600,172 *Able Telcom Holding Corp............................ 45,500 378,219 Abrams Industries, Inc............................... 12,900 99,975 *Abraxas Petroleum Corp.............................. 50,000 818,750 *Acacia Research Corp................................ 2,400 19,500 *Accell International Corp........................... 97,293 367,889 *#Access Beyond, Inc................................. 89,033 481,335 *Acclaim Entertainment, Inc.......................... 42,100 171,689 *Accumed International, Inc.......................... 19,000 37,109 *Ace Cash Express, Inc............................... 35,150 637,094 Aceto Corp........................................... 20,681 411,035 *Acme Electric Corp.................................. 28,784 181,699 *Acme Metals, Inc.................................... 108,500 1,349,469 *Acme United Corp.................................... 28,707 166,859 *Active Apparel Group, Inc........................... 5,600 12,775 *Active Voice Corp................................... 4,500 62,438 *#Activision, Inc.................................... 106,600 1,705,600 *#Actrade International, Ltd......................... 33,200 952,425 *Adage, Inc.......................................... 50,941 316,795 *Adam Software, Inc.................................. 2,000 5,594 Adams Resources & Energy, Inc........................ 74,150 1,102,981 SHARES VALUE+ ---------- --------------- *Adelphia Communications Corp. Class A............... 43,500 $ 628,031 *Adept Technology, Inc............................... 79,000 930,719 *Adflex Solutions, Inc............................... 41,900 807,884 *Advanced Digital Information Corp................... 48,000 885,000 *Advanced Magnetics, Inc............................. 57,550 535,934 *Advanced Marketing Services, Inc.................... 36,900 477,394 *Advanced Photonix, Inc. Class A..................... 90,950 125,056 *Advanced Polymer Systems, Inc....................... 144,000 1,053,000 *Advanced Promotion Technologies, Inc................ 159,451 2,551 Advantage Bancorp, Inc............................... 11,225 705,772 *Advent Software, Inc................................ 24,000 577,500 Advest Group, Inc.................................... 42,800 973,700 *Advocat, Inc........................................ 50,700 430,950 *Aeroflex, Inc....................................... 102,152 874,677 *Aerosonic Corp. DE.................................. 17,100 181,688 *Aerovox, Inc........................................ 41,800 227,288 *Aetrium, Inc........................................ 39,500 733,219 Affiliated Community Bancorp......................... 13,000 371,313 *Affinity Technology Group, Inc...................... 140,300 403,363 *Ag-Chem Equipment Co., Inc.......................... 48,600 807,975 *Agri-Nutrition Group, Ltd........................... 16,800 24,150 *Air & Water Technologies Corp. Class A.............. 272,000 340,000 *Air Methods Corp.................................... 39,700 145,153 *Airtran Holdings, Inc............................... 60,700 310,139 *Akorn, Inc.......................................... 32,100 125,892 Alabama National Bancorporation...................... 11,400 284,288 Alamo Group, Inc..................................... 42,500 871,250 *Alaris Medical, Inc................................. 84,600 452,081 *Alarmguard Holdings, Inc............................ 40,106 431,140 *Alba-Waldensian, Inc................................ 21,000 115,500 *Alcide Corp......................................... 11,100 659,063 *Aldila, Inc......................................... 77,500 356,016 *Alfin, Inc.......................................... 217 115 Alico, Inc........................................... 55,700 1,364,650 *Align-Rite International, Inc....................... 17,700 298,688 *Alkermes, Inc....................................... 7,900 156,519 *All American Semiconductor, Inc..................... 38,400 70,200 *Allcity Insurance Co................................ 200 1,550 Allen Organ Co. Class B.............................. 4,200 179,025 Alliance Bancorp..................................... 40,456 1,061,970 Alliance Bancorp of New England, Inc................. 266 4,672 *Alliance Entertainment Corp......................... 113,000 9,040 *Alliance Gaming Corp................................ 274,189 1,126,745 *Allied Capital Advisers, Inc........................ 58,500 352,828 Allied Capital Lending Corp.......................... 25,100 518,472 *Allied Digital Technologies Corp.................... 3,200 8,400 *Allied Healthcare Products, Inc..................... 54,600 431,681 *Allied Holdings, Inc................................ 66,435 1,307,939 Allied Life Financial Corp........................... 20,000 422,500 Allied Products Corp................................. 79,141 1,909,277 *Allied Research Corp................................ 41,040 507,870 *Allou Health & Beauty Care, Inc. Class A............ 29,200 229,950 8
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THE U.S. 9-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ---------- --------------- *Allstate Financial Corp............................. 11,500 $ 70,438 *Alltrista Corp...................................... 38,874 1,122,487 *Aloette Cosmetics, Inc.............................. 7,200 21,375 *Alpha Beta Technology, Inc.......................... 108,000 320,625 *Alpha Industries, Inc............................... 89,700 1,670,663 *Alpha Microsystems, Inc............................. 48,600 57,713 *Alpha Technologies Group, Inc....................... 107,200 395,300 *Alpine Group, Inc................................... 159,544 3,121,080 *Alpine Lace Brands, Inc............................. 28,500 258,281 *Alrenco, Inc........................................ 15,100 244,431 *Alta Gold Co........................................ 127,043 202,475 *Alteon, Inc......................................... 117,000 676,406 *Alternative Living Services......................... 22,850 608,381 *Altris Software, Inc................................ 52,750 209,352 *Altron, Inc......................................... 93,000 1,482,188 *Amati Communications Corp........................... 214,500 4,256,484 Amcast Industrial Corp............................... 34,600 856,350 *Amedisys, Inc....................................... 12,700 73,819 *America Services Group, Inc......................... 29,000 503,875 American Bancorporation Ohio......................... 400 8,850 American Bank of Connecticut......................... 6,100 287,081 *American Banknote Corp.............................. 100,400 539,650 American Biltrite, Inc............................... 57,850 1,352,244 *American Biogenetic Sciences, Inc. Class A.......... 130,700 269,569 *American Buildings Co............................... 50,000 1,362,500 *American Claims Evaluation, Inc..................... 3,100 6,588 *American Classic Voyages Co......................... 100,200 1,728,450 *American Coin Merchandising, Inc.................... 5,800 99,325 *American Communications Services, Inc............... 9,000 119,813 *American Eagle Group, Inc........................... 54,500 2,507 *American Eagle Outfitters, Inc...................... 38,600 1,305,163 *American Ecology Corp............................... 62,800 92,238 *American Educational Products, Inc.................. 2,760 19,061 *American Healthcorp, Inc............................ 68,700 884,513 *American Homestar Corp.............................. 130,218 1,863,745 American Indemnity Financial Corp.................... 16,700 211,881 *American International Petroleum Corp............... 40,400 222,200 *American Locker Group, Inc.......................... 8,800 204,600 *American Media, Inc. Class A........................ 29,600 229,400 *American Medical Electronics, Inc. (Escrow-Bonus)... 102,100 0 *American Medical Electronics, Inc. (Escrow-Earnings).................................. 102,100 0 *American Mobile Satellite Corp...................... 17,800 140,175 *American Oilfield Divers, Inc....................... 56,900 748,591 *American Pacific Corp............................... 73,500 542,063 *American Paging, Inc................................ 112,200 224,400 *American Physicians Services Group, Inc............. 46,800 339,300 American Precision Industries, Inc................... 160,375 3,508,203 *American Safety Razor Co............................ 48,400 910,525 *American Science & Engineering, Inc................. 75,000 853,125 *American Shared Hospital Services................... 14,800 21,275 *American Software, Inc. Class A..................... 140,800 1,311,200 *American Superconductor Corp........................ 54,500 572,250 *American Technical Ceramics Corp.................... 17,200 276,275 *American Telecasting, Inc........................... 22,000 30,938 *American United Global, Inc......................... 46,900 95,998 SHARES VALUE+ ---------- --------------- *#American Waste Services, Inc. Class A.............. 123,800 $ 185,700 American Woodmark Corp............................... 44,329 969,697 Americana Bancorp, Inc............................... 18,199 359,449 *Amerihost Properties, Inc........................... 63,600 419,363 *AmeriLink Corp...................................... 16,800 423,150 *Ameristar Casinos, Inc.............................. 126,350 665,312 *Ameriwood Industries International Corp............. 52,900 333,931 Ameron, Inc.......................................... 15,500 999,750 *Ames Department Stores, Inc......................... 93,000 1,569,375 *Amistar Corp........................................ 28,300 102,588 Ampco-Pittsburgh Corp................................ 72,100 1,369,900 *Ampex Corp. Class A................................. 90,700 235,253 Amplicon, Inc........................................ 58,000 960,625 *Amrep Corp.......................................... 63,610 349,855 *Amtech Corp......................................... 84,800 394,850 *Amtran, Inc......................................... 88,200 711,113 Amvestors Financial Corp............................. 88,268 1,936,379 Amwest Insurance Group, Inc.......................... 46,850 652,972 *Amylin Pharmaceuticals, Inc......................... 10,500 71,203 *Analogy, Inc........................................ 20,600 113,300 Analysis & Technology, Inc........................... 26,800 633,150 *Analytical Surveys, Inc............................. 19,900 514,913 *#Anaren Microwave, Inc.............................. 41,700 839,213 Anchor Bancorp Wisconsin, Inc........................ 20,200 632,513 *Andersen Group, Inc................................. 15,000 112,500 Andover Bancorp, Inc. DE............................. 25,780 965,944 *Andrea Electronics Corp............................. 34,900 706,725 *Anergen, Inc........................................ 138,300 363,038 *Anesta Corp......................................... 86,700 1,384,491 *Angeion Corp........................................ 109,600 359,625 Angelica Corp........................................ 85,700 1,842,550 *Anicom, Inc......................................... 60,500 1,054,969 *Ansaldo Signal N.V.................................. 56,000 253,750 *Apertus Technologies, Inc........................... 126,300 217,078 *Aphton Corp......................................... 52,600 601,613 *Apogee, Inc......................................... 39,900 97,256 *Appliance Recycling Centers of America, Inc......... 3,500 10,281 *Applied Digital Access, Inc......................... 83,900 608,275 *Applied Extrusion Technologies, Inc................. 70,000 553,438 *Applied Innovation, Inc............................. 89,600 641,200 *Applied Microsystems Corp........................... 32,200 313,950 *Applied Science & Technology, Inc................... 22,300 469,694 *Applied Signal Technologies, Inc.................... 75,000 1,129,688 *Applied Voice Technology, Inc....................... 28,300 787,094 *Applix, Inc......................................... 36,300 200,217 *#Aquagenix, Inc..................................... 22,300 165,159 Aquarion Co.......................................... 27,400 832,275 *Aquila Biopharmaceuticals, Inc...................... 44 206 *Arabian Shield Development Co....................... 66,200 161,363 *Arch Communications Group, Inc...................... 135,800 929,381 *Arch Petroleum, Inc................................. 85,826 240,045 *Argosy Gaming Corp.................................. 199,300 809,656 *Ariad Pharmaceuticals, Inc.......................... 168,500 821,438 *Ariel Corp.......................................... 89,400 645,356 *#Ark Restaurants Corp............................... 17,200 196,725 *Arkansas Best Corp.................................. 151,500 1,675,969 *Aronex Pharmaceuticals, Inc......................... 133,550 671,923 *Arrhythmia Research Technology, Inc................. 11,375 23,461 9
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THE U.S. 9-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ---------- --------------- *#Arris Pharmaceutical Corp.......................... 105,000 $ 1,004,063 *Arrow Automotive Industries, Inc.................... 31,300 101,725 Arrow Financial Corp................................. 26,159 858,365 *Arthrocare Corp..................................... 32,500 375,781 *Artisoft, Inc....................................... 54,400 117,300 *Artistic Greetings, Inc............................. 29,200 138,700 *Artra Group, Inc.................................... 65,200 191,525 *Arts Way Manufacturing Co., Inc..................... 100 1,038 *Asahi/Amer, Inc..................................... 3,300 21,863 *Asante Technologies, Inc............................ 45,000 219,375 *Aseco Corp.......................................... 20,100 201,000 *Ashworth, Inc....................................... 102,200 1,101,844 *#Assisted Living Concepts, Inc...................... 78,800 1,349,450 *Astea International, Inc............................ 15,700 35,816 *Astec Industries, Inc............................... 98,100 1,581,863 Astro-Med, Inc....................................... 58,175 479,944 *Astronics Corp...................................... 22,850 214,219 *Asyst Technologies, Inc............................. 35,800 1,103,088 Atalanta Sosnoff Capital Corp........................ 20,900 246,881 *Atchison Casting Corp............................... 46,900 809,025 *Athey Products Corp................................. 31,085 133,083 *Atkinson (Guy F.) of California..................... 33,200 121,388 *Atlantic American Corp.............................. 112,825 567,651 *Atlantic Bank and Trust Co.......................... 9,200 135,700 *Atlantic Coast Airlines, Inc........................ 65,000 1,523,438 *Atlantic Gulf Communities Corp...................... 74,300 311,131 *Atlantic Premium Brands, Ltd........................ 20,000 65,000 *Atlantic Tele-Network, Inc.......................... 76,100 922,713 *Atlantis Plastics, Inc.............................. 31,400 178,588 Atrion Corp.......................................... 59,850 879,047 *Atrix Labs, Inc..................................... 51,506 753,275 *Au Bon Pain, Inc. Class A........................... 64,900 588,156 *Audiovox Corp. Class A.............................. 72,500 638,906 Audits & Surveys Worldwide, Inc...................... 52,922 145,536 *Ault, Inc........................................... 34,500 238,266 *Aura Systems, Inc................................... 11,200 41,825 Autocam Corp......................................... 58,448 767,130 *Autoimmune, Inc..................................... 70,500 204,891 *Autoinfo, Inc....................................... 73,413 43,589 *Autologic Information International, Inc............ 27,500 206,250 *Automobile Protection Corp.......................... 49,800 298,800 *Autonomous Technologies Corp........................ 10,000 54,063 *Autote Corp. Class A................................ 247,000 663,813 *#Avatex Corp........................................ 26,200 45,850 *Avecor Cardiovascular, Inc.......................... 65,700 542,025 *Avert, Inc.......................................... 17,400 140,288 *Aviall, Inc......................................... 41,700 591,619 *Avigen, Inc......................................... 58,000 192,125 *Aviva Petroleum, Inc. Deposit Shares (Representing 5 Shares)............................................ 5,000 7,500 *Avondale Financial Corp............................. 9,400 150,400 *Avondale Industries, Inc............................ 34,800 985,275 *Axent Technologies, Inc............................. 30,000 630,000 *Axiohm Transaction Solutions, Inc................... 3,136 52,724 *Axsys Technologies, Inc............................. 8,900 176,888 *Aydin Corp.......................................... 43,250 497,375 Aztec Manufacturing Co............................... 55,826 952,531 *BCT International, Inc.............................. 14,200 45,263 *BEC Group, Inc...................................... 58,300 342,513 BEI Electronics, Inc................................. 42,100 168,400 *BEI Technologies, Inc............................... 42,100 505,200 SHARES VALUE+ ---------- --------------- *BFX Hospitality Group, Inc.......................... 33,000 $ 86,625 BGS Systems, Inc..................................... 12,800 426,400 BHA Group Holdings, Inc. Class A..................... 77,231 1,419,120 *BI, Inc............................................. 85,900 606,669 *BPI Packaging Technologies, Inc..................... 19,800 21,347 *BRC Holdings, Inc................................... 8,300 346,006 BSB Bancorp, Inc..................................... 111,562 3,479,340 BT Financial Corp.................................... 13,304 616,973 *BTG, Inc............................................ 21,000 225,750 *BTU International, Inc.............................. 42,700 242,856 *BWAY Corp........................................... 83,550 1,801,547 *Back Bay Restaurant Group, Inc...................... 26,600 171,238 Badger Meter, Inc.................................... 48,100 1,996,150 Badger Meter, Inc. Class B........................... 16,500 684,750 Badger Paper Mills, Inc.............................. 200 1,688 Bairnco Corp......................................... 105,400 1,040,825 Baker (J.), Inc...................................... 114,000 780,188 *Baker (Michael) Corp................................ 72,214 681,520 *Baker (Michael) Corp. Class B....................... 15,400 145,338 Balchem Corp......................................... 5,200 98,150 *Baldwin Piano & Organ Co............................ 37,900 625,350 *Baldwin Technology, Inc. Class A.................... 135,000 675,000 *Ballantyne Omaha, Inc............................... 81,600 1,499,400 *Baltek Corp......................................... 21,562 202,144 Bancfirst Ohio Corp.................................. 8,200 363,875 *Bancinsurance Corp.................................. 30,200 145,338 Bancorp Connecticut, Inc............................. 9,640 383,190 Bangor Hydro-Electric Co............................. 52,600 299,163 Bank of Southington.................................. 210 4,331 *Bank Plus Corp...................................... 100,000 1,106,250 *Bank United Financial Corp. Class A................. 16,700 216,056 BankAtlantic Bancorp, Inc. Class B................... 40,212 569,251 *Banner Aerospace, Inc............................... 178,100 1,691,950 *Banyan System, Inc.................................. 155,000 518,281 *Barnwell Industries, Inc............................ 11,800 210,925 *Barra, Inc.......................................... 113,100 3,110,250 *Barrett Business Services, Inc...................... 49,800 602,269 *#Barringer Technologies, Inc........................ 28,600 310,131 *Barrister Information Systems Corp.................. 7,866 11,307 *Barry (R.G.) Corp................................... 178,235 2,083,122 *Barrys Jewelers, Inc................................ 192 30 *#Base Ten Systems, Inc. Class A..................... 35,800 456,450 *Basin Exploration, Inc.............................. 87,000 1,620,375 *Baycorp Holdings, Ltd............................... 4,200 30,975 *Bayou Steel Corp. Class A........................... 45,150 163,669 *Beard Co............................................ 26,533 142,615 Beauticontrol Cosmetics, Inc......................... 32,200 262,631 *Beazer Homes USA, Inc............................... 61,800 1,102,744 *Bel Fuse, Inc....................................... 86,500 1,692,156 *Bell Industries, Inc................................ 76,472 1,271,347 *Bell Microproducts, Inc............................. 52,200 440,438 *Bell Sports Corp.................................... 119,112 1,001,285 *Bellwether Exploration Co........................... 84,700 884,056 *Belmont Homes, Inc.................................. 10,700 80,919 *Ben & Jerry's Homemade, Inc. Class A................ 29,200 469,025 *Benchmark Electronics, Inc.......................... 42,600 1,198,125 *Benchmarq Microelectron............................. 34,300 623,831 *Benihana, Inc....................................... 9,500 121,125 *Benihana, Inc. Class A.............................. 1,400 15,925 *Bentley Pharmaceuticals, Inc........................ 14,850 40,838 Berkshire Gas Co..................................... 8,300 141,619 10
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THE U.S. 9-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ---------- --------------- *Berlitz International, Inc.......................... 67,100 $ 1,732,019 *Bertuccis, Inc...................................... 51,500 328,313 *Bethlehem Corp...................................... 200 638 Binks Sames Corp..................................... 61,300 2,635,900 *Bio Vascular, Inc................................... 5,000 17,656 *Bio-Logic Systems Corp.............................. 23,400 118,463 *Bio-Plexus, Inc..................................... 13,200 71,363 *Bio-Response, Inc................................... 68,000 3,400 *#Biocircuits Corp................................... 25,250 20,516 *Biocryst Pharmaceuticals, Inc....................... 76,900 557,525 *Biomatrix, Inc...................................... 86,400 2,575,800 *Biomerica, Inc...................................... 26,100 59,541 *Biosepra, Inc....................................... 37,900 85,275 *#Biosource International, Inc....................... 70,000 417,813 *Biospecifics Technologies Corp...................... 21,000 120,750 *#Biospherics, Inc................................... 38,300 222,619 *Bird Corp........................................... 36,400 147,875 *Black Hawk Gaming & Development, Inc................ 10,500 76,125 Blair Corp........................................... 55,300 1,054,156 Blessings Corp....................................... 161,912 2,307,246 Blimpie International................................ 41,450 182,639 *Bluegreen Corp...................................... 89,134 389,961 *Boca Research, Inc.................................. 43,600 307,925 *Bolt Technology Corp................................ 10,350 79,566 *Bombay Co., Inc..................................... 96,800 502,150 *Bon-Ton Stores, Inc................................. 52,100 820,575 *Bonded Motors, Inc.................................. 13,400 110,131 *Bone Care International, Inc........................ 40,500 410,063 *Bontex, Inc......................................... 2,200 12,650 *Books-a-Million, Inc................................ 140,000 949,375 Boston Acoustics, Inc................................ 37,300 1,002,438 *Boston Communications Group, Inc.................... 67,000 626,031 Bostonfed Bancorp, Inc............................... 8,000 164,500 Bowl America, Inc. Class A........................... 56,160 475,605 *Bowmar Instrument Corp.............................. 55,800 115,088 *Box Energy Corp. Class B............................ 129,100 931,941 *Boyds Wheels, Inc................................... 5,300 9,606 *Bradley Pharmaceuticals, Inc. Class A............... 8,400 15,094 Branford Savings Bank CT............................. 610 3,584 *Brauns Fashions Corp................................ 13,500 129,938 *Brazos Sportswear, Inc.............................. 5,570 50,130 Brenton Banks, Inc................................... 242 7,933 *Brewer (C.) Homes, Inc. Class A..................... 39,300 80,442 Bridgford Foods Corp................................. 60,200 903,000 *Brite Voice Systems, Inc............................ 104,000 955,500 Broad National Bancorporation........................ 17,820 365,310 *Broadband Technologies, Inc......................... 57,200 337,838 *Broadway & Seymour, Inc............................. 66,600 649,350 *Brock International, Inc............................ 34,700 143,138 #Brooke Group, Ltd................................... 106,600 959,400 *Brooks Automation, Inc.............................. 22,100 469,625 *Brookstone, Inc..................................... 57,800 700,825 *Brooktrout Technology, Inc.......................... 90,150 1,025,456 *Brothers Gourmet Coffees, Inc....................... 58,600 71,419 *Brown & Sharpe Manufacturing Co. Class A............ 95,675 980,669 Bryn Mawr Bank Corp.................................. 1,000 47,063 *Buckhead America Corp............................... 3,500 28,875 *Builders Transport, Inc............................. 52,100 156,300 *Building Materials Holding Corp..................... 104,900 1,186,681 SHARES VALUE+ ---------- --------------- *Bull Run Corp. GA................................... 171,700 $ 525,831 *Business Resource Group............................. 16,200 59,738 *Butler International, Inc........................... 41,727 704,143 Butler Manufacturing Co.............................. 7,000 237,125 *Buttrey Food & Drug Stores Co....................... 51,000 551,438 C & D Technologies, Inc.............................. 35,800 1,653,513 *C ATS Software, Inc................................. 21,900 124,556 *C-COR Electronics, Inc.............................. 43,700 682,813 *#C-Phone Corp....................................... 36,300 283,594 *C.P. Clare Corp..................................... 37,100 498,531 CB Bancshares, Inc. HI............................... 818 33,947 *CCA Industries, Inc................................. 33,300 81,169 *CE Software Holdings, Inc........................... 2,180 5,450 *CEM Corp............................................ 41,500 448,719 *CET Environmental Services, Inc..................... 7,000 47,688 *CFI Proservices, Inc................................ 35,600 449,450 CFSB Bancorp, Inc.................................... 6,497 230,644 CFW Communications Co................................ 2,500 57,031 CFX Corp............................................. 77,000 2,136,750 *CMC Industries, Inc................................. 40,800 497,250 *CMG Information Services, Inc....................... 41,000 863,563 CMI Corp. Class A.................................... 264,699 1,422,757 *CML Group, Inc...................................... 263,800 923,300 CNA Surety Corp...................................... 35,200 510,400 *CNS Income.......................................... 80,600 639,763 *CPAC, Inc........................................... 37,453 402,620 CPB, Inc............................................. 23,800 494,594 *#CPI Aerostructures, Inc............................ 2,500 8,438 *CSP, Inc............................................ 59,300 459,575 *CTC Communications Corp. Class 1.................... 58,000 859,125 CVB Financial Corp................................... 28,325 814,344 *Cache, Inc.......................................... 80,125 315,492 *Caci International, Inc. Class A.................... 8,100 160,228 *Cade Industries, Inc................................ 22,900 55,819 *Cadiz Land, Inc..................................... 134,400 974,400 Cadmus Communications Corp........................... 58,900 1,258,988 *Caere Corp.......................................... 105,000 920,391 Cagle's, Inc. Class A................................ 104,900 1,226,019 *Cal-Maine Foods, Inc................................ 3,000 18,750 *Calcomp Technology, Inc............................. 27,800 125,100 *California Amplifier, Inc........................... 62,900 208,356 *#California Culinary Academy, Inc................... 17,300 131,913 *California Micro Devices Corp....................... 48,200 298,238 California State Bank................................ 20,459 662,360 *#Callon Petroleum Co................................ 45,900 817,594 *Calumet Bancorp, Inc................................ 5,925 191,081 *Cambex Corp......................................... 82,300 15,431 *Cambridge Heart, Inc................................ 32,000 291,000 *Cambridge Neuroscience, Inc......................... 80,900 170,648 *Cambridge Soundworks, Inc........................... 14,400 152,100 *Cameron Ashley Building Products, Inc............... 23,500 368,656 Cameron Financial Corp............................... 8,200 160,925 *Campo Eletronics, Appliances & Computers, Inc....... 49,700 48,923 *Candela Laser Corp.................................. 28,200 154,219 *Candies, Inc........................................ 57,000 388,313 *Canisco Resources, Inc.............................. 8,600 24,188 *Cannon Express, Inc. Class A........................ 3,250 26,609 *#Cannondale Corp.................................... 73,200 1,512,038 *Cantel Industries, Inc. Class B..................... 26,000 188,500 *Canyon Resources Corp............................... 226,000 268,375 11
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THE U.S. 9-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ---------- --------------- Cape Cod Bank & Trust Co............................. 29,600 $ 1,154,400 *Capital Associates, Inc............................. 21,050 61,834 *Capital Pacific Holdings, Inc....................... 55,700 186,247 Capitol Bancorp, Ltd................................. 13,904 377,146 Capitol Transamerica Corp............................ 19,845 468,838 *Cardiotech International, Inc....................... 12,957 37,251 *Cardiovascular Diagnostics.......................... 28,900 180,625 *Cardiovascular Dynamics, Inc........................ 54,036 293,821 *Care Group, Inc..................................... 77,100 39,755 *Caretenders Healthcorp.............................. 6,500 54,844 *Carlyle Industries, Inc............................. 4,675 7,306 Carnegie Bancorp..................................... 6,160 190,960 *Carnegie Group, Inc................................. 25,000 107,813 Carolina First Corp.................................. 73,861 1,442,615 *Carr-Gottstein Foods Co............................. 71,766 354,345 *Carrington Laboratories, Inc........................ 76,300 379,116 *Carson, Inc......................................... 4,000 32,500 *Carver Corp. WA..................................... 60,803 62,703 Cascade Corp......................................... 50,900 916,200 Cascade Natural Gas Corp............................. 51,300 872,100 *Casco International, Inc............................ 5,022 18,833 Cash America International, Inc...................... 102,700 1,283,750 *Casino America, Inc................................. 200,500 576,438 *Casino Data Systems................................. 90,200 408,719 *Casino Magic Corp................................... 71,300 86,897 *Casino Resource Corp................................ 10,700 15,047 *Castelle............................................ 12,400 48,050 *Catalina Lighting, Inc.............................. 60,600 374,963 *Catalyst International, Inc......................... 18,400 104,650 *Catalyst Semiconductor, Inc......................... 58,300 93,827 *Catalytica, Inc..................................... 173,500 1,794,641 *Catherines Stores Corp.............................. 59,900 376,247 Cato Corp. Class A................................... 194,900 1,827,188 Cavalier Homes, Inc.................................. 81,530 794,918 *Cayenne Software, Inc............................... 91,600 224,706 *Cel-Sci Corp........................................ 23,700 186,638 *Celadon Group, Inc.................................. 69,000 1,043,625 *Celebrity, Inc...................................... 54,000 108,000 *Celeritek, Inc...................................... 43,000 698,750 *Celestial Seasonings, Inc........................... 18,200 561,925 *Celgene Corp........................................ 115,300 1,037,700 *#Cell Genesys, Inc.................................. 216,005 1,849,543 *Cellpro, Inc........................................ 71,400 200,813 *Cellular Technical Services Co., Inc................ 83,300 234,281 *Celtrix Pharmaceuticals, Inc........................ 91,800 219,459 Cenfed Financial Corp................................ 27,695 1,110,396 Cenit Bancorp, Inc................................... 2,500 170,938 *Centennial Bancorp.................................. 34,142 970,913 *Centigram Communications Corp....................... 50,600 830,156 Central Co-Operative Bank Somerville, MA............. 7,500 198,750 Central Reserve Life Corp............................ 33,700 168,500 *Central Sprinkler Corp.............................. 41,600 748,800 Central Vermont Public Service Corp.................. 49,000 679,875 Centris Group, Inc................................... 54,100 1,173,294 *Centura Software Corp............................... 63,100 106,481 Century Bancorp Income Class A....................... 1,000 18,250 *Ceradyne, Inc....................................... 115,100 530,539 Cerberonics, Inc. Class A............................ 3,500 33,250 *Cerion Technologies, Inc............................ 30,000 65,625 *Cerprobe Corp....................................... 33,800 605,231 SHARES VALUE+ ---------- --------------- *Chad Therapeutics................................... 69,458 $ 642,487 #Champion Industries, Inc............................ 42,000 813,750 *Charles, JW Financial Services, Inc................. 5,600 68,600 *Chart House Enterprises, Inc........................ 72,900 510,300 Chart Industries, Inc................................ 104,600 2,418,875 *Charter Federal Savings Bank (Escrow)............... 43,340 0 Charter Financial, Inc............................... 17,700 392,166 *Chartwell Leisure, Inc.............................. 49,600 829,250 *Chase Corp.......................................... 10,500 137,813 *Chase Industries, Inc............................... 60,500 1,474,688 *Chattem, Inc........................................ 39,500 604,844 *Chaus (Bernard), Inc................................ 53,600 50,250 *Check Technology Corp............................... 30,900 122,634 *Checkmate Electronics, Inc.......................... 26,600 196,175 *Chemfab Corp........................................ 141,300 3,241,069 *#Chemtrak, Inc...................................... 31,250 38,086 *Cherry Corp. Class A................................ 3,600 55,013 *Cherry Corp. Class B................................ 9,900 144,788 Chesapeake Utilities Corp............................ 21,575 436,894 Chester Valley Bancorp............................... 957 25,600 *Chic by His, Inc.................................... 80,000 590,000 Chicago Rivet & Machine Co........................... 20,000 595,000 *Chicos Fas, Inc..................................... 66,900 485,025 *Children's Comprehensive Services, Inc.............. 27,000 464,063 *Children's Discovery Centers of America, Inc. Class A.................................................. 52,100 423,313 *Childrens Broadcasting Corp......................... 27,000 102,938 *Childtime Learning Centers, Inc..................... 22,500 310,781 *#Chock Full O' Nuts Corp............................ 92,330 663,622 *Cholestech Corp..................................... 71,000 938,531 *Christiana Companies, Inc........................... 22,100 828,750 *Chromcraft Revington, Inc........................... 56,000 1,771,000 *Chronimed, Inc...................................... 63,800 737,688 *Chrysalis International Corp........................ 90,000 354,375 *Chyron Corp......................................... 14,553 63,669 *Cidco, Inc.......................................... 15,900 324,956 *Cima Laboratories, Inc.............................. 45,500 261,625 *Cinergi Pictures Entertainment, Inc................. 39,200 91,875 *Ciprico, Inc........................................ 41,895 527,615 *Circon Corp......................................... 42,322 648,056 *Circuit Systems, Inc................................ 25,100 111,381 *Citadel Holding Corp................................ 35,000 142,188 *Citation Computer System, Inc....................... 30,000 204,375 *Citation Corp....................................... 12,000 204,750 Citfed Bancorp, Inc.................................. 25,700 1,301,063 *Citizens, Inc. Class A.............................. 60,550 420,066 City Holding Co...................................... 2,142 88,358 *Civic Bancorp....................................... 39,690 642,482 *Claremont Technology Group, Inc..................... 90,000 1,636,875 *Clark (Dick) Productions, Inc....................... 11,600 165,300 *Clean Harbors, Inc.................................. 82,400 160,938 *Clintrials Research, Inc............................ 150,600 1,289,513 *Coast Distribution System........................... 43,600 147,150 Coastal Bancorp, Inc................................. 29,400 856,275 *Coastal Physician Group, Inc........................ 58,400 65,700 *Coastcast Corp...................................... 58,200 818,438 *Cobra Electronic Corp............................... 125,100 992,981 *Cocensys, Inc....................................... 168,700 579,906 *Code-Alarm, Inc..................................... 20,300 48,213 *Coeur d'Alene Mines Corp. ID........................ 20,000 172,500 12
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THE U.S. 9-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ---------- --------------- *Cognitronics Corp................................... 57,450 $ 1,030,509 *Coho Energy, Inc.................................... 139,000 1,416,063 *Cohr, Inc........................................... 28,700 354,266 *Cold Metal Products, Inc............................ 50,400 302,400 *Cole (Kenneth) Productions, Inc. Class A............ 62,400 1,041,300 Collagen Corp........................................ 51,200 1,017,600 *Collagenex Pharmaceuticals, Inc..................... 20,000 273,750 Collins Industries, Inc.............................. 86,325 577,298 Colonial Gas Co...................................... 25,650 642,853 *Columbia Banking System, Inc........................ 23,329 621,135 *Columbus Energy Corp................................ 14,825 127,866 *Comarco, Inc........................................ 47,200 1,126,900 *Comdial Corp........................................ 151,433 1,608,976 *#Comforce Corp...................................... 83,200 629,200 Commercial Bancshares, Inc........................... 18,060 443,599 Commercial Bank of New York.......................... 12,550 284,728 Commercial Intertech Corp............................ 53,400 954,525 *#Commodore Applied Technologies, Inc................ 20,000 33,750 *Commodore Applied Technologies, Inc. (Private Placement)......................................... 157,700 239,507 Commonwealth Industries, Inc......................... 37,800 633,150 *Communications Central, Inc......................... 22,000 221,375 Communications Systems, Inc.......................... 118,500 2,170,031 Community Bank System, Inc........................... 53,600 1,547,700 Community Banks, Inc................................. 231 9,760 *Community Medical Transport, Inc.................... 15,300 26,297 *Comnet Corp......................................... 30,300 234,825 *Compdent Corp....................................... 36,000 744,750 *Competitive Technologies, Inc....................... 109,100 954,625 *#Complete Management, Inc........................... 68,099 1,132,146 *Comprehensive Care Corp............................. 22,820 201,101 *Comptek Research, Inc............................... 59,300 429,925 *Computational Systems, Inc.......................... 12,400 365,800 Computer Data Systems, Inc........................... 104,700 4,246,894 Computer Language Research, Inc...................... 83,800 979,413 *Computer Manangement Sciences, Inc.................. 22,700 373,131 *Computer Network Technology Corp.................... 164,300 662,334 *Computer Outsourcing Services, Inc.................. 16,400 144,525 *Computervision Corp................................. 31,400 115,788 *Computrac, Inc...................................... 59,900 59,900 *Comshare, Inc....................................... 63,150 371,006 *Comstock Resources, Inc............................. 59,400 779,625 *Comtech Telecommunications Corp..................... 9,300 42,286 *Concentra Corp...................................... 30,200 163,269 *Concord Camera Corp................................. 27,700 116,859 *Concord Fabrics, Inc. Class A....................... 45,500 408,078 *Concord Fabrics, Inc. Class B....................... 25,700 229,694 *Concurrent Computer Corp............................ 57,180 162,606 *Conductus, Inc...................................... 34,500 159,563 *Cone Mills Corp. NC................................. 38,000 299,250 *Congoleum Corp. Class A............................. 21,800 222,088 *Conmed Corp......................................... 26,199 618,951 Connecticut Energy Corp.............................. 22,650 586,069 Connecticut Water Services, Inc...................... 42,350 1,286,381 *Connitics Corp...................................... 29,100 83,663 *Consep, Inc......................................... 49,700 94,741 *Consilium, Inc...................................... 68,700 234,009 *Conso Products Co................................... 59,000 468,313 SHARES VALUE+ ---------- --------------- *Consolidated Delivery and Logistics, Inc............ 9,500 $ 26,125 *Consolidated Products, Inc.......................... 5,000 96,250 *Consolidated Stainless, Inc......................... 16,150 7,570 Consolidated Tokoma Land Co.......................... 6,100 114,375 *Consumer Portfolio Services, Inc.................... 112,000 1,162,000 *Consumers Financial Corp............................ 26,000 30,875 Consumers Water Co................................... 37,000 694,906 *Continental Can, Inc. DE............................ 20,500 451,000 *Continental Circuits Corp........................... 31,800 584,325 Continental Homes Holding Corp....................... 70,100 2,282,631 *Continental Materials Corp.......................... 9,700 265,538 *Converse, Inc....................................... 73,800 539,663 Cooker Restaurant Corp............................... 82,600 820,838 *Cooper Development Co............................... 13 5,688 *Cooperative Bankshares, Inc......................... 3,000 51,563 *Copart, Inc......................................... 34,250 597,234 *Copley Pharmaceutical, Inc.......................... 52,400 373,350 *Copytele, Inc....................................... 12,000 42,375 *Cor Therapeutics, Inc............................... 75,600 1,724,625 *Coram Healthcare Corp............................... 155,000 561,875 *Corcom, Inc......................................... 63,400 622,113 *Core Materials Corp................................. 1,200 4,650 *Core, Inc........................................... 31,200 326,625 *Cornerstone Imaging, Inc............................ 54,900 262,491 *Corporate Express, Inc.............................. 5,060 79,537 *Correctional Services Corp.......................... 32,500 360,547 *Corrpro Companies, Inc.............................. 32,700 461,888 *Cortech, Inc........................................ 114,300 71,438 *Corvas International, Inc........................... 95,100 427,950 *Corvel Corp......................................... 6,200 228,625 *Cosmetic Centers, Inc. Class C...................... 8,570 26,781 *Cotelligent Group, Inc.............................. 83,700 1,605,994 Cotton States Life Insurance Co...................... 8,000 148,500 Courier Corp......................................... 31,700 879,675 *Covenant Transport, Inc. Class A.................... 63,000 1,002,094 *Cover-All Technologies, Inc......................... 83,445 325,957 Covest Bancshares, Inc............................... 30,000 795,000 *Coyote Network Systems, Inc......................... 11,930 82,210 Craftmade International, Inc......................... 45,000 457,031 *#Craig (Jenny), Inc................................. 51,050 382,875 *Craig Corp.......................................... 43,900 839,588 *Creative Biomolecules, Inc.......................... 131,100 1,032,413 *Creative Computers, Inc............................. 40,800 492,150 *Cree Research, Inc.................................. 90,600 1,945,069 *Criticare Systems, Inc.............................. 45,400 184,438 Cross (A.T.) Co. Class A............................. 63,200 683,350 *Crossman Communities, Inc........................... 90,000 2,047,500 *Crowley, Milner & Co................................ 12,200 125,050 *Crown Books Corp.................................... 11,900 88,878 *Crown Central Petroleum Corp. Class A............... 21,700 436,713 *Crown Central Petroleum Corp. Class B............... 21,300 404,700 Crown Crafts, Inc.................................... 35,500 576,875 *Crown Resources Corp................................ 117,700 511,259 *Crown Vantage, Inc.................................. 17,800 178,000 *Crown-Andersen, Inc................................. 10,500 70,875 *Cruise America, Inc................................. 37,100 340,856 *Cryolife, Inc....................................... 73,400 1,068,888 *Crystal Oil Co...................................... 5,000 195,000 Cubic Corp........................................... 29,850 958,931 13
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THE U.S. 9-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ---------- --------------- *Cuisine Solutions, Inc.............................. 211,800 $ 284,606 Culp, Inc............................................ 178,580 3,326,053 *Curative Health Services, Inc....................... 44,100 1,259,606 *Cyanotech Corp...................................... 42,050 168,200 *Cyberguard Corp..................................... 34,500 215,625 *Cyberonics, Inc..................................... 84,700 963,463 *Cyberoptics Corp.................................... 29,600 804,750 *Cybex Corp.......................................... 26,600 691,600 *Cybex International, Inc............................ 72,300 786,263 *Cypros Pharmaceutical Corp.......................... 99,900 518,231 *Cyrk, Inc........................................... 100,200 1,171,088 *Cytel Corp.......................................... 170,500 338,336 *Cytogen Corp........................................ 145,700 468,972 *Cytotherapeutics, Inc............................... 131,100 667,791 *Cytrx Corp.......................................... 43,300 179,966 D&N Financial Corp................................... 57,800 1,405,263 *DBA Systems, Inc.................................... 27,500 194,219 *DDL Electronics, Inc................................ 171,500 128,625 *DIY Home Warehouse, Inc............................. 70,000 280,000 *DLB Oil & Gas, Inc.................................. 7,600 85,500 *DM Management Co.................................... 21,100 375,844 *DNAP Holding Corp................................... 5,400 25,313 *#DRS Technologies, Inc.............................. 30,700 377,994 *DSP Group, Inc...................................... 45,700 1,496,675 *DSP Technology, Inc................................. 8,200 88,150 *DVI, Inc............................................ 73,100 1,334,075 *Daily Journal Corp.................................. 200 8,100 *Dakotah, Inc........................................ 8,700 17,672 *Daktronics, Inc..................................... 12,200 78,538 *Damark International, Inc. Class A.................. 32,000 396,000 Dames & Moore, Inc................................... 49,300 610,088 Daniel Industries, Inc............................... 101,369 1,881,662 *Danielson Holding Corp.............................. 153 1,243 *Darling International, Inc.......................... 53,400 513,975 Dart Group Corp. Class A............................. 200 23,350 *Data Broadcasting Corp.............................. 100,336 708,623 *Data Dimensions, Inc................................ 12,000 217,875 *Data I/O Corp....................................... 65,600 483,800 *Data Processing Resources Corp...................... 5,900 134,594 *#Data Race, Inc..................................... 23,300 110,675 Data Research Association, Inc....................... 44,950 592,778 *Data Systems & Software, Inc........................ 46,400 247,950 *Data Systems Network Corp........................... 3,641 42,327 *Data Translation, Inc............................... 20,650 65,822 *Data Transmission Network Corp...................... 21,300 574,434 *Dataflex Corp....................................... 38,325 164,079 *Datakey, Inc........................................ 11,100 44,747 *Datamarine International, Inc....................... 200 838 *Datametrics Corp.................................... 56,000 129,500 *Datapoint Corp...................................... 117,600 338,100 *Dataram Corp........................................ 14,300 123,338 *Datastream Systems, Inc............................. 50,000 1,587,500 *Dataware Technologies, Inc.......................... 46,000 146,625 *Datawatch Corp...................................... 58,600 159,319 *Dataworks Corp...................................... 20,573 392,173 *Datron Systems, Inc................................. 23,200 236,350 *Datum, Inc.......................................... 72,600 1,365,788 *Davco Restaurants, Inc.............................. 56,300 1,104,888 *Dave and Busters, Inc............................... 21,150 549,900 *Davel Communications Group, Inc..................... 27,100 660,563 *Davox Corp.......................................... 40,650 1,341,450 *#Daw Technologies, Inc.............................. 100,600 204,344 SHARES VALUE+ ---------- --------------- *Dawson Geophysical Co............................... 44,700 $ 852,094 Daxor Corp........................................... 46,000 552,000 *Day Runner, Inc..................................... 26,050 1,019,206 *Dayton Superior Corp. Class A....................... 600 10,275 Deb Shops, Inc....................................... 66,400 381,800 *Deckers Outdoor Corp................................ 44,800 373,800 Decorator Industries, Inc............................ 12,050 109,956 *Deeptech International, Inc......................... 89,900 994,519 Defiance, Inc........................................ 65,200 518,544 *Deflecta-Shield Corp................................ 20,200 317,519 *Del Global Technologies Corp........................ 59,016 582,783 Del Laboratories, Inc................................ 123,690 4,506,954 Delta Natural Gas Co., Inc........................... 18,800 340,750 Delta Woodside Industries, Inc....................... 144,000 846,000 *Denamerica Corp..................................... 41,800 109,725 *Dendrite International, Inc......................... 34,500 657,656 *Dense-Pac Microsystems, Inc......................... 48,800 167,750 *Depotech Corp....................................... 56,600 868,456 *Designer Holdings, Ltd.............................. 74,900 702,188 *Designs, Inc........................................ 129,600 443,475 *Desktop Data, Inc................................... 41,500 330,703 *Detection Systems, Inc.............................. 66,186 976,244 *Detrex Corp......................................... 9,500 97,969 *Devcon International Corp........................... 25,100 123,931 *Devlieg-Bullard, Inc................................ 105,000 452,813 *Dewolfe Companies, Inc.............................. 4,400 25,300 *Diagnostic Health Services, Inc..................... 75,000 883,594 *#Diametrics Medical, Inc............................ 129,300 747,516 *Dianon Systems, Inc................................. 33,900 286,031 *Digene Corp......................................... 59,500 542,938 *Digi International, Inc............................. 51,200 1,001,600 *Digital Biometrics, Inc............................. 72,000 147,375 *Digital Communications Technology Corp.............. 3,675 919 *Digital Generation Systems, Inc..................... 24,100 85,856 *Digital Link Corp................................... 72,700 1,658,469 *Digital Power Corp.................................. 11,000 89,375 *Digital Sound Corp.................................. 17,900 20,697 Dime Financial Corp.................................. 22,200 692,363 *Diodes, Inc......................................... 31,400 376,800 *Dixie Group, Inc.................................... 47,119 518,309 *Dixon Ticonderoga Co................................ 27,450 386,016 *#Dominion Bridge Corp............................... 74,600 145,703 *Dominion Homes, Inc................................. 26,500 241,398 Donegal Group, Inc................................... 18,533 384,560 Donnelly Corp. Class A............................... 59,750 1,097,906 *Donnkenny, Inc...................................... 60,500 207,969 *Dorsey Trailers, Inc................................ 39,000 109,688 *Dotronix, Inc....................................... 87,000 82,922 *Dravo Corp.......................................... 63,500 631,031 *Drew Industries, Inc................................ 84,200 1,073,550 *#Drexler Technology Corp............................ 112,550 1,255,636 *Driver-Harris Co.................................... 23,498 261,415 *Drug Emporium, Inc.................................. 90,000 354,375 *#Drypers Corp....................................... 46,300 258,991 *Duckwall-Alco Stores, Inc........................... 37,200 577,763 *Ducommun, Inc....................................... 52,100 1,689,994 Duff & Phelps Credit Rating Co....................... 16,300 585,781 *Durakon Industries, Inc............................. 54,500 495,609 *Duramed Pharmaceuticals, Inc........................ 98,000 422,625 *Dwyer Group, Inc.................................... 14,700 30,319 *Dycom Industries, Inc............................... 100,700 2,265,750 14
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THE U.S. 9-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ---------- --------------- Dyersburg Corp....................................... 94,500 $ 1,172,391 *Dynamic Healthcare Technologies, Inc................ 32,000 132,000 *Dynamic Materials Corp.............................. 2,300 18,688 *Dynamics Research Corp.............................. 59,382 745,986 *E-Z-Em, Inc. Class A................................ 37,000 272,875 *E-Z-Em, Inc. Class B................................ 52,733 362,539 *EA Engineering Science & Technology, Inc............ 78,975 160,418 *#EA Industries, Inc................................. 42,050 244,416 *ECC International Corp.............................. 139,750 550,266 *ECCS, Inc........................................... 6,900 53,044 *EFI Electronics Corp................................ 65,400 157,369 *EFTC Corp........................................... 36,100 539,244 *EIP Microwave, Inc.................................. 3,140 6,379 *EIS International, Inc.............................. 83,300 551,863 *ELXSI Corp.......................................... 8,300 109,975 EMC Insurance Group, Inc............................. 20,300 271,513 *ERLY Industries, Inc................................ 28,834 207,244 *ESCO Electronics Corp. Trust Receipts............... 101,076 1,655,120 *ESSEF Corp.......................................... 107,140 1,727,633 *EXX, Inc. Class A................................... 300 1,313 *EXX, Inc. Class B................................... 100 394 Eagle Bancshares, Inc................................ 37,500 714,844 *Eagle Finance Corp.................................. 24,200 39,325 Eagle Financial Corp................................. 54,527 2,808,141 *Eagle Food Centers, Inc............................. 82,600 413,000 *Eagle Point Software Corp........................... 40,500 140,484 Easco, Inc........................................... 68,800 804,100 Eastern Co........................................... 26,000 468,000 *Eastern Environment Services, Inc................... 36,700 867,038 *Eateries, Inc....................................... 16,600 81,963 *Eclipse Surgical Technologies, Inc.................. 10,000 83,125 *Ecogen, Inc......................................... 35,700 87,019 Ecology & Environment, Inc. Class A.................. 11,400 126,825 *Edelbrock Corp...................................... 47,200 767,000 *#Edison Brothers Stores, Inc........................ 24,300 0 *Edison Control Corp................................. 7,000 32,594 Edo Corp............................................. 51,200 454,400 *Education Alternatives, Inc......................... 49,100 227,088 Educational Development Corp......................... 2,800 15,838 *Educational Insights, Inc........................... 50,900 124,864 *Egghead, Inc........................................ 124,700 907,972 *Ekco Group, Inc..................................... 134,900 944,300 *El Chico Restaurants, Inc........................... 84,400 975,875 *Elantec Semiconductor, Inc.......................... 40,500 243,000 Elcor Corp........................................... 76,250 1,849,063 *Elcotel, Inc........................................ 39,700 258,050 *Electric Fuel Corp.................................. 87,200 569,525 *Electro Rent Corp................................... 99,325 3,718,480 Electro Sensors, Inc................................. 2,300 9,056 *Electromagnetic Sciences, Inc....................... 142,199 2,541,807 *Electronic Retailing System International, Inc...... 16,400 91,225 Electronic Tele Communications, Inc. Class A......... 15,500 35,359 *#Elek-Tek, Inc...................................... 40,000 4,000 Ellett Brothers, Inc................................. 44,000 250,250 *Eltron International, Inc........................... 43,900 1,388,338 *Embrex, Inc......................................... 123,200 716,100 *Emcee Broadcast Products, Inc....................... 30,000 100,313 SHARES VALUE+ ---------- --------------- *Emcon............................................... 71,450 $ 395,208 *Emcor Group, Inc.................................... 31,900 626,038 Emerald Isle Bancorp, Inc............................ 937 30,101 *Emergent Group, Inc................................. 17,200 228,975 *Emerson Radio Corp.................................. 77,100 38,550 *Emisphere Technologies, Inc......................... 46,000 930,063 *Empi, Inc........................................... 34,300 746,025 *#Empire of Carolina, Inc............................ 42,500 85,000 *Employee Solutions, Inc. Class B.................... 195,800 1,083,019 *Emulex Corp......................................... 53,800 857,438 *Encore Computer Corp................................ 318,300 129,389 *Encore Wire Corp.................................... 75,450 2,598,309 *Endosonics Corp..................................... 100,900 1,179,269 *Energy Biosystems Corp.............................. 89,000 342,094 *Energy Conversion Devices, Inc...................... 61,400 959,375 *Energy Research Corp................................ 18,000 263,250 Energynorth, Inc..................................... 32,526 750,131 Engineered Support Systems, Inc...................... 22,000 474,375 *Engineering Measurements Co......................... 28,400 152,206 Engle Homes, Inc..................................... 34,700 508,572 *Enlighten Software Solutions, Inc................... 5,300 13,084 Ennis Business Forms, Inc............................ 139,200 1,383,300 *Enstar, Inc......................................... 9,266 75,286 *Envirogen, Inc...................................... 13,900 31,492 *Environmental Elements Corp......................... 47,800 131,450 *Environmental Technologies Corp..................... 32,600 222,088 *Environmental Tectonics Corp........................ 12,900 117,713 *Envirosource, Inc................................... 345,100 970,594 *Envirotest Systems Corp. Class A.................... 74,100 407,550 *Enzon, Inc.......................................... 128,500 766,984 *#Epitope, Inc....................................... 79,800 486,281 *Equimed, Inc........................................ 6,533 118,002 *Equinox Systems, Inc................................ 14,400 265,050 *Equitex, Inc........................................ 1,300 1,259 *Equitrac Corp....................................... 15,000 252,188 *Equity Marketing, Inc............................... 25,400 735,013 *Equity Oil Co....................................... 109,700 363,381 *Ergo Science Corp................................... 52,700 879,431 Eskimo Pie Corp...................................... 27,000 285,188 Espey Manufacturing & Electronics Corp............... 21,000 362,250 Essex County Gas Co.................................. 1,400 43,925 *Evans & Sutherland Computer Corp.................... 33,100 1,017,825 *Evans Systems, Inc.................................. 10,185 18,142 *Evans, Inc.......................................... 102,900 247,603 Evergreen Bancorp, Inc. DE........................... 43,800 1,037,513 *Evergreen Resources, Inc............................ 39,100 608,494 *Exabyte Corp........................................ 11,500 112,484 *Exar Corp........................................... 59,400 1,488,713 *Excalibur Technologies Corp......................... 115,500 1,263,281 Excel Industries, Inc................................ 91,500 1,778,531 *Excel Technology, Inc............................... 41,822 529,310 *Excite, Inc......................................... 18,500 474,641 *Executive Telecard, Ltd............................. 86,575 224,554 *Executone Information Systems, Inc.................. 190,500 413,742 *Exogen, Inc......................................... 43,900 168,741 *Expert Software, Inc................................ 50,000 328,125 *Ezcorp, Inc. Class A Non-Voting..................... 69,900 792,928 F & M Bancorp (MD)................................... 16,175 578,256 F & M Bancorporation, Inc............................ 10,285 383,116 FCB Financial Corp................................... 17,500 479,063 FCNB Corp............................................ 5,900 172,575 15
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THE U.S. 9-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ---------- --------------- FDP Corp............................................. 84,300 $ 869,344 FFLC Bancorp......................................... 12,733 289,676 FFVA Financial Corp.................................. 2,700 90,788 FFY Financial Corp................................... 19,400 579,575 *FLIR Systems, Inc................................... 32,350 622,738 *FM Properties, Inc.................................. 51,900 257,878 FNB Rochester Corp................................... 17,100 291,769 *FPA Corp............................................ 101,400 117,244 *FRP Properties, Inc................................. 31,700 1,101,575 FSF Financial Corp................................... 5,600 111,650 *FTP Software, Inc................................... 135,800 307,672 Fab Industries, Inc.................................. 29,500 877,625 *Factset Research Systems, Inc....................... 10,000 252,500 *Failure Group, Inc.................................. 73,000 688,938 Falcon Products, Inc................................. 62,290 957,709 *Fansteel, Inc....................................... 73,951 656,315 *Farah, Inc.......................................... 87,100 451,831 *Farr Co............................................. 48,975 768,295 Farrel Corp.......................................... 25,000 88,281 *Fastcomm Communications Corp........................ 50,200 183,544 *Faulding Corp....................................... 63,900 842,681 *Featherlite Manufacturing, Inc...................... 29,200 228,125 Fed One Bancorp...................................... 2,500 61,563 Fedders Corp......................................... 15,000 87,188 Fedders Corp. Class A................................ 23,712 134,862 Federal Screw Works.................................. 21,600 1,298,700 *Female Health Co.................................... 40,900 176,381 *Ferrofluidics Corp.................................. 36,700 227,081 *Fibermark, Inc...................................... 49,275 1,044,014 *Fiberstars, Inc..................................... 14,600 82,125 Fidelity Bancorp, Inc................................ 242 6,353 Fidelity Bancorp, Inc. Delaware...................... 13,300 304,238 Fidelity Federal Bancorp............................. 16,500 160,875 *Fieldcrest Cannon, Inc.............................. 50,000 1,684,375 *Figgie International, Inc. Class A.................. 10,000 138,438 *Filenes Basement Corp............................... 176,050 1,105,814 Financial Bancorp., Inc.............................. 15,000 374,063 *Financial Federal Corp.............................. 110,250 2,349,703 *Finishmaster, Inc................................... 27,600 208,725 First Albany Companies, Inc.......................... 2,794 41,387 *First Alert, Inc.................................... 125,300 352,406 *First American Health Concepts, Inc................. 4,200 16,538 First Bancorp........................................ 400 11,900 *First Banks America, Inc............................ 4,879 86,145 First Bell Bancorp, Inc.............................. 1,200 20,700 *First Cash, Inc..................................... 16,400 133,763 First Central Financial Corp......................... 78,000 43,875 First Charter Corp................................... 6,960 171,825 First Defiance Financial Corp........................ 38,592 595,764 *#First Enterprise Financial Group, Inc.............. 25,000 75,000 First Essex Bancorp.................................. 31,700 624,094 First Federal Capital Corp........................... 74,850 2,077,088 First Federal Savings & Loan Association of East Hartford, CT....................................... 24,100 891,700 First Financial Holdings, Inc........................ 42,200 1,796,138 First Home Bancorp, Inc. NJ.......................... 266 6,185 First Indiana Corp................................... 92,450 2,415,256 *First Investors Financial Services Group, Inc....... 27,800 205,025 First Liberty Financial Corp......................... 48,800 1,338,950 *#First Merchants Acceptance Corp.................... 39,100 1,222 First Merchants Corp................................. 25,550 859,119 SHARES VALUE+ ---------- --------------- First Midwest Financial, Inc......................... 9,400 $ 192,113 First Mutual Bancorp, Inc............................ 6,100 122,000 First Mutual Savings Bank............................ 14,985 270,667 First Northern Capital Corp.......................... 35,400 469,050 First Oak Brook Bancshares, Inc. Class A............. 10,000 412,500 First Palm Beach Bancorp, Inc........................ 21,400 834,600 *First Republic Bank................................. 157,149 4,341,241 First Savings Bancorp, Inc. North Carolina........... 19,400 465,600 First Savings Bank................................... 16,000 403,000 *First Team Sports, Inc.............................. 41,550 158,409 First Western Bancorp, Inc........................... 48,075 1,334,081 First Years, Inc..................................... 34,000 807,500 First Federal Financial Services Corp................ 16,832 744,838 *Fischer Imaging Corp................................ 50,800 292,100 Flag Financial Corp.................................. 4,500 83,813 *Flagstar Companies, Inc............................. 12,500 2,375 Flamemaster Corp..................................... 206 753 *Flanigan's Enterprises, Inc......................... 10,300 93,988 Flexsteel Industries, Inc............................ 61,800 726,150 Florida Public Utilities Co.......................... 5,200 118,300 *Florsheim Group, Inc................................ 41,700 376,603 *Flow International Corp............................. 158,200 1,567,169 *Fluor Daniel/GTI, Inc............................... 4,008 37,325 Flushing Financial Corp.............................. 20,500 451,000 *Foilmark, Inc....................................... 19,700 62,486 *Foodarama Supermarkets, Inc......................... 22,000 486,750 *Foothill Independent Bancorp........................ 18,567 301,714 *Forefront Group, Inc................................ 15,500 123,516 *#Forensic Technologies International Corp........... 27,000 326,531 *Forte Software, Inc................................. 29,000 291,813 *Fortune Natural Resources Corp...................... 49,107 135,044 *Fossil, Inc......................................... 47,500 1,050,938 *Foster (L.B.) Co. Class A........................... 126,600 664,650 *Fountain Oil, Inc................................... 98,300 107,516 *Fountain Powerboat Industries, Inc.................. 22,700 265,306 *Four Kids Entertainment, Inc........................ 19,900 72,138 *Four Media Co....................................... 20,000 153,750 *Fourth Shift Corp................................... 48,500 147,016 Frankfort First Bancorp, Inc......................... 4,300 40,581 Franklin Bank National Associaton Southfield, MI..... 15,876 263,939 *Franklin Electronic Publishers, Inc................. 39,000 555,750 Freds, Inc. Class A.................................. 60,000 1,470,000 *French Fragrances, Inc.............................. 41,500 409,813 Frequency Electronics, Inc........................... 41,693 1,084,018 *Fresh America Corp.................................. 17,800 433,875 *Fresh Choice, Inc................................... 50,000 210,938 Friedman Industries, Inc............................. 135,454 948,178 *Friedmans, Inc. Class A............................. 53,700 782,006 Frisch's Restaurants, Inc............................ 64,568 855,526 Frontier Adjusters of America, Inc................... 1,000 3,125 Frozen Food Express Industries, Inc.................. 100,000 987,500 *#Fuisz Technologies, Ltd............................ 51,200 454,400 *Funco, Inc.......................................... 50,500 953,188 *Fuqua Enterprises, Inc.............................. 40,500 1,230,188 Furon Co............................................. 43,100 1,702,450 *G-III Apparel Group, Ltd............................ 43,470 226,859 GBC Bancorp.......................................... 56,700 3,107,869 16
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THE U.S. 9-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ---------- --------------- *GKN Holding Corp.................................... 12,700 $ 53,181 *GNI Group, Inc...................................... 76,800 446,400 *GRC International, Inc.............................. 131,600 838,950 *GT Bicycles, Inc.................................... 35,600 241,413 *GTI Corp............................................ 53,600 318,250 *GTS Duratek, Inc.................................... 104,800 1,224,850 *GZA Geoenvironmental Technologies, Inc.............. 15,800 80,481 *#Gadzooks, Inc...................................... 28,400 789,875 Gainsco, Inc......................................... 90,300 756,263 *Galey & Lord, Inc................................... 95,000 1,710,000 *Galileo Corp........................................ 69,300 775,294 *Galoob Toys, Inc. DE................................ 17,400 206,625 *Game Financial Corp................................. 22,600 241,538 Gamma Biologicals, Inc............................... 39,200 196,000 *Gantos, Inc......................................... 27,300 32,419 Garan, Inc........................................... 32,900 814,275 *Garden Botanika, Inc................................ 33,200 145,250 *Garden Fresh Restaurant Corp........................ 19,600 278,075 *Garden Ridge Corp................................... 18,000 275,063 *Gardenburger, Inc................................... 55,200 534,750 *Gardner Denver Machinery, Inc....................... 35,200 1,320,000 *Garnet Resources Corp............................... 44,200 10,359 *Gasonics International, Inc......................... 112,000 1,491,000 *Gatefield Corp...................................... 170,800 269,544 *Gateway Industries, Inc............................. 11,120 27,455 *#Geerling & Wade, Inc............................... 18,000 80,438 *Gehl Co............................................. 26,300 599,969 Gencor Industries, Inc............................... 15,200 262,200 *Genelabs Technologies, Inc.......................... 168,600 500,531 *Genemedicine, Inc................................... 131,400 689,850 *General Acceptance Corp............................. 12,500 27,734 *General Communications, Inc. Class A................ 32,400 223,763 *#General Datacomm Industries, Inc................... 90,000 472,500 General Employment Enterprises, Inc.................. 18,471 251,667 *General Host Corp................................... 104,986 557,738 General Housewares Corp.............................. 34,830 326,531 *General Magic, Inc.................................. 7,500 13,359 General Magnaplate Corp.............................. 4,200 64,050 *General Microwave Corp.............................. 8,600 81,700 *General Scanning, Inc............................... 20,200 527,725 *General Surgical Innovations, Inc................... 70,100 324,213 Genesee Corp. Class B................................ 200 8,975 *#Geneva Steel Co. Class A........................... 108,300 270,750 *Genicom Corp........................................ 109,900 1,511,125 *Genlyte Group, Inc.................................. 67,100 1,161,669 *Genome Therapeutics Corp............................ 131,600 1,056,913 Genovese Drug Stores, Inc. Class A................... 116,895 2,133,334 *Gensia Sicor, Inc................................... 205,100 1,031,909 *Gensym Corp......................................... 38,500 208,141 *Genus, Inc.......................................... 104,100 445,678 *Genzyme Transgenics Corp............................ 69,200 702,813 George Mason Bankshares, Inc......................... 30,300 1,166,550 *Geoscience Corp..................................... 25,000 306,250 *#Geotek Communications, Inc......................... 11,200 21,875 *Geoworks............................................ 68,000 871,250 *Getty Petroleum Marketing, Inc...................... 104,500 555,156 Getty Realty Corp.................................... 28,900 559,938 *Giant Cement Holding, Inc........................... 42,000 1,015,875 *Giant Group, Ltd.................................... 53,300 399,750 SHARES VALUE+ ---------- --------------- Giant Industries, Inc................................ 87,500 $ 1,607,813 *Gibraltar Packaging Group, Inc...................... 33,100 88,956 *Gibraltar Steel Corp................................ 8,000 164,500 *Giga-Tronics, Inc................................... 35,000 353,281 *Gish Biomedical, Inc................................ 74,750 364,406 Glacier Bancorp, Inc................................. 15,880 333,480 *Glacier Water Services, Inc......................... 30,600 921,825 Gleason Corp......................................... 233,400 6,053,813 *Gliatech, Inc....................................... 63,100 678,325 *Global Motorsport Group, Inc........................ 36,300 501,394 *Global Payment Technologies, Inc.................... 8,800 88,000 *Global Village Communication, Inc................... 97,000 190,969 *Globalink, Inc...................................... 30,500 95,313 *Globe Business Resources, Inc....................... 15,900 330,919 *Go Video, Inc....................................... 86,400 210,600 *Golden Books Family Entertainment, Inc.............. 12,000 113,250 Golden Enterprises, Inc.............................. 31,600 224,163 *Golden Oil Co. DE................................... 69 32 *Good Guys, Inc...................................... 114,500 944,625 GoodMark Foods, Inc.................................. 90,400 1,525,500 Gorman-Rupp Co....................................... 35,000 656,250 *Gottschalks, Inc.................................... 57,700 494,056 *Government Technology Services, Inc................. 41,000 217,813 *Gradco Systems, Inc................................. 146,411 1,189,589 *Graham Corp......................................... 13,450 282,450 *Graham-Field Health Products, Inc................... 63,500 948,531 Grand Premier Financial, Inc......................... 1,450 20,527 Granite State Bankshares, Inc........................ 14,250 317,953 Gray Communications Systems, Inc..................... 10,700 294,919 Great Southern Bancorp, Inc.......................... 10,700 237,406 *Great Train Store Co., Inc.......................... 6,100 42,700 *Greate Bay Casino Corp.............................. 50,819 52,407 Greater Bay Bancorp.................................. 4,279 221,171 Green (A.P.) Industries, Inc......................... 123,100 1,431,038 *Green Mountain Coffee, Inc.......................... 2,700 21,094 Green Mountain Power Corp............................ 38,500 688,188 *Greenbriar Corp..................................... 5,700 106,163 Greenbrier Companies, Inc............................ 111,000 1,900,875 *Greyhound Lines, Inc................................ 168,900 665,044 *Grist Mill & Co..................................... 60,450 562,941 *Gristede's Sloans, Inc.............................. 33,339 75,013 *Grossmans, Inc...................................... 130,500 1,175 *Group 1 Software, Inc............................... 31,400 266,900 *Group Technologies Corp............................. 106,000 337,875 *Grow Biz International, Inc......................... 53,600 649,900 *Grubb & Ellis Co.................................... 37,352 464,566 *Gryphon Holdings, Inc............................... 54,000 887,625 Guarantee Life Companies, Inc........................ 2,300 57,644 *Guest Supply, Inc................................... 107,100 1,472,625 *Gulfmark Offshore, Inc.............................. 51,600 1,735,050 *Gull Laboratories, Inc.............................. 33,100 341,344 *Gundle/SLT Environmental, Inc....................... 149,600 738,650 *HCIA, Inc........................................... 42,100 506,516 *HD Vest, Inc........................................ 10,500 56,438 *HEI, Inc............................................ 18,700 82,981 HF Financial Corp.................................... 11,900 303,450 *HMI Industries, Inc................................. 84,200 473,625 *HMN Financial, Inc.................................. 18,700 485,031 *HPR, Inc............................................ 82,500 2,193,984 *HPSC, Inc........................................... 74,800 439,450 17
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THE U.S. 9-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ---------- --------------- *HS Resources, Inc................................... 45,528 $ 725,603 Hach Co.............................................. 300 3,188 Hach Co. Class A..................................... 300 2,822 Haggar Corp.......................................... 53,500 849,313 *Hahn Automotive Warehouse, Inc...................... 35,368 225,471 *Hain Food Group, Inc................................ 38,200 384,388 Halifax Corp......................................... 8,450 92,950 *Hallmark Capital Corp............................... 7,000 104,125 *Hallwood Group, Inc................................. 969 34,642 *Halsey Drug Co., Inc................................ 64,422 136,897 *Hammons (John Q.) Hotels, Inc. Class A.............. 55,700 480,413 *Hampshire Group, Ltd................................ 4,900 93,100 *Hampton Industries, Inc............................. 39,440 340,170 Hancock Fabrics, Inc................................. 108,100 1,526,913 *Handleman Co........................................ 257,000 1,718,688 Handy & Harman....................................... 15,900 355,763 *Hanger Orthopedic Group, Inc........................ 46,700 577,913 *Harbor Federal Bancorp, Inc......................... 100 2,138 *Harcor Energy, Inc.................................. 130,500 387,422 *Harding Lawson Associates Group, Inc................ 41,700 398,756 Hardinge Brothers, Inc............................... 9,800 360,150 Harleysville National Corp PA........................ 2,215 81,678 Harmon Industries, Inc............................... 54,300 1,435,556 *Harmonic Lightwaves, Inc............................ 86,000 1,112,625 *Harolds Stores, Inc................................. 37,996 261,223 *Harris & Harris Group, Inc.......................... 31,600 112,575 *#Harry's Farmers Market, Inc. Class A............... 20,200 42,294 *Hartmarx Corp....................................... 159,200 1,293,500 *Harvey Entertainment Co............................. 30,000 423,750 Harvey's Casino Resorts.............................. 67,800 1,343,288 Haskel International, Inc............................ 22,500 272,109 Hastings Manufacturing Co............................ 6,850 280,850 *Hathaway Corp....................................... 34,580 99,418 *Hauser, Inc......................................... 51,800 346,413 Haven Bancorp, Inc................................... 18,700 804,100 Haverty Furniture Co., Inc........................... 74,200 953,006 Haverty Furniture Co., Inc. Class A.................. 13,550 169,375 *Hawaiian Airlines, Inc.............................. 69,800 279,200 Hawkins Chemical, Inc................................ 41,284 425,741 *Hawthorne Financial Corp............................ 14,100 295,219 *Health Management Systems, Inc...................... 73,000 451,688 *Health Power, Inc................................... 13,700 106,175 *Health Professionals, Inc........................... 4,922 3,231 *Health Risk Management, Inc......................... 34,700 373,025 *Health Systems Design Corp.......................... 6,500 80,844 *Health-Chem Corp.................................... 68,645 42,903 *Healthcare Services Group, Inc...................... 78,800 1,002,238 *Healthcor Holdings.................................. 30,000 138,750 *Healthdyne Information Enterprises, Inc............. 16,800 30,450 *Healthdyne Technologies, Inc........................ 95,931 1,846,672 Healthplan Services Corp............................. 874 16,880 *Healthy Planet Products, Inc........................ 6,000 22,125 *#Heartland Wireless Communications, Inc............. 27,700 53,669 *Heartstream, Inc.................................... 45,500 554,531 *Hector Communications Corp.......................... 21,300 193,031 Heico Corp........................................... 113,532 3,831,705 *Hein-Werner Corp.................................... 38,904 274,760 *Heist (C.H.) Corp................................... 10,600 73,206 SHARES VALUE+ ---------- --------------- *Hello Direct, Inc................................... 43,500 $ 315,375 *Hemasure, Inc....................................... 56,400 57,281 Heritage Financial Services, Inc..................... 20,100 515,063 *Herley Industries, Inc.............................. 15,333 211,308 *Hf Bancorp, Inc..................................... 13,750 230,313 *Hi-Lo Automotive, Inc............................... 92,456 254,254 *Hi-Shear Technology Corp............................ 22,500 177,188 *Hi-Tech Pharmacal, Inc.............................. 37,500 189,844 *Hibbett Sporting Goods, Inc......................... 16,000 437,000 *High Plains Corp.................................... 137,576 434,224 *#Highway Master Communications, Inc................. 193,100 1,267,219 Hilb Rogal Hamilton Co............................... 39,435 754,194 Hilite Industries, Inc............................... 11,200 77,000 Hingham Institution for Savings MA................... 1,900 51,656 *Hirsch International Corp. Class A.................. 53,900 1,062,841 Hoenig Group, Inc.................................... 32,900 187,119 *Holiday RV Superstores, Inc......................... 9,600 15,000 Holly Corp........................................... 45,000 1,212,188 *Hollywood Casino Corp. Class A...................... 213,400 526,831 *Hologic, Inc........................................ 21,930 570,180 *Holopak Technologies, Inc........................... 32,000 112,000 *Holophane Corp...................................... 12,800 297,600 Home Federal Bancorp................................. 33,300 899,100 *Home Health Corp. of America........................ 23,800 223,125 Home Port Bancorp, Inc............................... 2,400 56,700 *Home Products International, Inc.................... 32,000 358,000 *Home State Holdings, Inc............................ 60,000 9,360 *Homecorp, Inc....................................... 300 7,538 *Homeowners Group, Inc............................... 47,800 39,602 *Hondo Oil and Gas Co................................ 55,300 435,488 Hooper Holmes, Inc................................... 125,600 1,993,900 Horizon Financial Corp............................... 30,408 507,434 *Hospital Staffing Services, Inc..................... 54,789 51,365 *Housecall Medical Resources, Inc.................... 23,600 76,700 *Hovnanian Enterprises, Inc. Class A................. 109,800 802,913 #Howell Corp......................................... 108,200 2,103,138 *#Howtek, Inc........................................ 37,500 63,281 Hudson Chartered Bancorp, Inc........................ 11,100 238,650 Hudson General Corp.................................. 25,300 1,227,050 *#Hudson Technologies, Inc........................... 21,800 101,506 Huffy Corp........................................... 105,800 1,593,613 *Hugoton Energy Corp................................. 152,900 1,462,106 Hunt Corp............................................ 59,200 1,272,800 Huntco, Inc. Class A................................. 41,200 520,150 *Hurco Companies, Inc................................ 46,900 395,719 *Hycor Biomedical, Inc............................... 69,316 147,297 *Hyde Athletic Industries, Inc. Class A.............. 56,700 260,466 *Hyde Athletic Industries, Inc. Class B.............. 63,800 319,000 Hydron Technologies, Inc............................. 97,500 59,414 *I-Stat Corp......................................... 41,900 776,459 IBS Financial Corp................................... 13,300 231,919 *ICC Technologies, Inc............................... 32,100 103,322 *ICF Kaiser International, Inc....................... 199,000 422,875 ICO, Inc............................................. 171,518 1,045,188 *ICU Medical, Inc.................................... 72,550 793,516 *#IDM Environmental Corp............................. 36,000 222,750 *#IDT Corp........................................... 165,000 3,552,656 *IEC Electronics Corp................................ 59,800 919,425 IFR Systems, Inc..................................... 62,935 1,903,784 18
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THE U.S. 9-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ---------- --------------- *IGEN, Inc........................................... 63,800 $ 929,088 *IGI, Inc............................................ 65,500 282,469 *II-VI, Inc.......................................... 39,200 962,850 *ILC Technology, Inc................................. 54,600 791,700 IMCO Recycling, Inc.................................. 59,800 941,850 *IMP, Inc............................................ 250,800 254,719 *IPC Information Systems, Inc........................ 44,800 820,400 *IQ Software Corp.................................... 23,200 181,250 ISB Financial Corp. LA............................... 23,000 593,688 *ITC Learning Corp................................... 25,300 112,269 *ITEQ, Inc........................................... 99,555 1,172,882 *ITI Technologies, Inc............................... 27,500 685,781 *ITLA Capital Corp................................... 24,400 437,675 *#IVI Publishing, Inc................................ 65,000 197,031 *Ibah, Inc........................................... 190,200 647,869 *Ibis Technology Corp................................ 25,600 236,800 *Identix, Inc........................................ 88,600 886,000 *Ikos Systems, Inc................................... 51,550 414,011 *#Illinois Superconductor Corp....................... 25,800 79,819 *Image Entertainment, Inc............................ 107,600 430,400 *Imagyn Medical Technologies, Inc.................... 107,200 326,625 *Imatron, Inc........................................ 219,200 753,500 *Imclone Systems, Inc................................ 143,000 956,313 *Immucor, Inc........................................ 54,000 529,875 *Immulogic Pharmaceutical Corp....................... 88,900 202,803 *Immune Response Corp. DE............................ 150,100 1,763,675 *Immunogen, Inc...................................... 58,200 57,291 *Immunomedics, Inc................................... 131,700 633,806 *#Imnet Systems, Inc................................. 71,100 1,168,706 *Impact Systems, Inc................................. 192,100 351,183 *Impath, Inc......................................... 22,700 638,438 *Impco Technologies, Inc............................. 28,000 318,500 #Imperial Holly Corp................................. 83,200 899,600 *In Focus Systems, Inc............................... 11,100 365,606 *In Home Health, Inc................................. 27,500 30,508 *Incontrol, Inc...................................... 72,700 577,056 *Indenet, Inc........................................ 150,350 331,240 Independence Holding Co.............................. 10,919 133,758 Independent Bank Corp. MA............................ 118,100 1,926,506 Independent Bank East................................ 11,867 381,969 Independent Bankshares, Inc.......................... 982 16,019 *Individual, Inc..................................... 114,000 407,906 Industrial Acoustics Co., Inc........................ 900 10,013 Industrial Bancorp, Inc.............................. 700 12,600 *#Industrial Holdings, Inc........................... 27,100 364,156 Industrial Scientific Corp........................... 10,000 220,000 *Inference Corp. Class A............................. 60,000 307,500 *Infinium Software, Inc.............................. 30,600 395,888 *Infonautics Corp. Class A........................... 11,400 29,569 *Information Resource Engineering, Inc............... 25,300 205,563 *Information Storage Devices, Inc.................... 64,000 452,000 *Infu-tech, Inc...................................... 12,600 74,025 *Inhale Therapeutic Systems.......................... 60,500 1,883,063 *Innerdyne, Inc...................................... 139,700 475,853 *Innodata Corp....................................... 8,350 6,915 *Innoserv Technologies, Inc.......................... 13,640 32,821 *Innovative Gaming Corp. of America.................. 32,350 98,061 Innovex, Inc......................................... 74,100 1,718,194 *Insight Enterprises, Inc............................ 27,000 1,053,000 *Insite Vision, Inc.................................. 83,300 296,756 Insituform East, Inc................................. 19,600 52,675 SHARES VALUE+ ---------- --------------- *Insituform Technologies, Inc. Class A............... 116,500 $ 1,033,938 *Inso Corp........................................... 69,100 742,825 Insteel Industries, Inc.............................. 59,944 449,580 Instron Corp......................................... 118,200 2,009,400 *Insurance Auto Auctions, Inc........................ 50,000 531,250 *Integra Lifesciences Corp........................... 28,600 92,056 *Integramed America, Inc............................. 62,200 119,541 *Integrated Circuit Systems, Inc..................... 18,800 527,575 *Integrated Measurement System, Inc.................. 33,700 615,025 *Integrated Orthopedics, Inc......................... 45,000 376,875 *Integrated Packaging Assembly Corp.................. 23,500 24,969 *Integrated Silicon Solution, Inc.................... 75,200 742,600 *Integrated Systems Consulting Group, Inc............ 21,000 217,875 *Intellicall, Inc.................................... 68,907 378,989 *Intellicorp, Inc.................................... 6,900 25,444 *Intellidata Technologies Corp....................... 12,000 25,875 *Intelligent Electronics, Inc........................ 110,274 568,600 *Intelligent Systems Corp............................ 21,300 111,825 Intercargo Corp...................................... 36,800 496,800 Interchange Financial Services Corp. Saddle Brook.... 21,420 610,470 *Interdigital Communications Corp.................... 21,700 93,581 *Interface Systems, Inc.............................. 29,800 89,400 *Interferon Sciences, Inc............................ 61,400 573,706 *Interlake Corp...................................... 196,200 895,163 *Interleaf, Inc...................................... 143,100 527,681 *Interlink Electronics............................... 21,700 161,394 *Interlinq Software Corp............................. 34,200 145,350 *Interlott Technologies, Inc......................... 14,400 116,100 *Intermagnetics General Corp......................... 162,119 1,448,939 International Aluminum Corp.......................... 6,800 210,800 *#International Lottery & Totalizer Systems, Inc..... 34,700 53,677 *International Microcomputer Software, Inc........... 4,000 63,250 *International Remote Imaging Systems, Inc........... 34,350 137,400 International Shipholding Corp....................... 53,950 967,728 *International Technology Corp....................... 76,175 628,444 *International Thoroughbred Breeders, Inc............ 56,650 198,275 *Interphase Corp..................................... 33,500 216,703 *Interpore International............................. 50,000 356,250 *Intersolv, Inc...................................... 60,200 961,319 Interstate Johnson Lane, Inc......................... 22,850 591,244 *Interstate National Dealers Services, Inc........... 12,700 118,269 *Intersystems, Inc................................... 52,700 111,988 *Intertan, Inc....................................... 71,900 408,931 *Intervisual Books, Inc. Class A..................... 1,500 3,844 *Intervoice, Inc..................................... 59,500 581,984 Interwest Bancorp.................................... 18,200 706,388 *Intevac, Inc........................................ 61,200 612,000 Investors Title Co................................... 24,000 525,000 *#Invision Technologies, Inc......................... 28,800 216,000 *Invivo Corp......................................... 13,700 119,019 *#Ion Laser Technology, Inc.......................... 26,400 84,150 *Iridex Corp......................................... 32,000 314,000 Iroquois Bancorp..................................... 400 10,100 19
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THE U.S. 9-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ---------- --------------- Isco, Inc............................................ 101,341 $ 931,070 *Isolyser Co., Inc................................... 227,900 683,700 *Iwerks Entertainment, Inc........................... 100,924 372,157 *J & J Snack Foods Corp.............................. 40,000 650,000 *J. Alexander's Corp................................. 120,200 653,588 *#JMAR Industries, Inc............................... 82,400 289,688 *JPE, Inc............................................ 29,500 169,625 *Jackpot Enterprises, Inc............................ 50,775 615,647 Jacksonville Bancorp, Inc............................ 11,300 215,406 *Jaclyn, Inc......................................... 23,227 101,618 *Jaco Electronics, Inc............................... 18,873 127,393 *Jacobson Stores, Inc................................ 49,700 546,700 *Jalate, Ltd......................................... 11,000 21,313 *Jan Bell Marketing, Inc............................. 224,900 632,531 *Jason, Inc.......................................... 97,400 748,763 *Jean Philippe Fragrances, Inc....................... 69,000 534,750 Jeffbanks, Inc....................................... 13,587 525,647 Jefferson Savings Bancorp, Inc....................... 40,000 1,715,000 *Jennifer Convertibles, Inc.......................... 41,000 102,521 *Jerry's Famous Deli, Inc............................ 25,300 69,180 *Johnson Worldwide Associates, Inc. Class A.......... 64,000 1,072,000 Johnston Industries, Inc............................. 197,813 1,026,155 *Johnstown American Industries, Inc.................. 86,700 915,769 *Jos. A. Bank Clothiers, Inc......................... 57,900 405,300 *Joule, Inc.......................................... 42,100 247,338 *Jumbosports, Inc.................................... 174,400 512,300 *Just Toys, Inc...................................... 28,300 30,953 *K & G Men's Center, Inc............................. 56,500 1,077,031 K Swiss, Inc. Class A................................ 31,200 516,750 *K-Tel International, Inc............................ 9,700 70,931 *K-Tron International, Inc........................... 63,400 1,117,425 *K-V Pharmaceutical Co. Class A...................... 29,250 639,844 *K-V Pharmaceutical Co. Class B...................... 19,400 428,013 *KBK Capital Corp.................................... 5,000 49,375 *#KFX, Inc........................................... 38,000 118,750 *KLLM Transport Services, Inc........................ 37,400 474,513 *KTI, Inc............................................ 22,619 361,904 *KVH Industries, Inc................................. 1,100 7,013 *Kaiser Ventures, Inc................................ 78,900 1,065,150 *Kaneb Services, Inc................................. 162,300 821,644 *Karrington Health, Inc.............................. 35,000 406,875 Katy Industries, Inc................................. 48,200 843,500 *Katz Digital Technologies, Inc...................... 14,800 56,888 Kaye Group, Inc...................................... 41,000 276,750 Keithley Instruments, Inc............................ 6,600 70,125 *Kelley Oil & Gas Corp............................... 56,100 166,547 Kenan Transport Co................................... 200 4,975 *Kensey Nash Corp.................................... 10,400 175,500 *Kent Financial Services, Inc........................ 14,278 85,668 *Kentucky Electric Steel, Inc........................ 15,700 111,863 Kentucky First Bancorp, Inc.......................... 2,700 39,150 Kewaunee Scientific Corp............................. 20,400 240,975 *Key Energy Group, Inc............................... 12,658 307,748 *Key Production Co., Inc............................. 48,172 514,838 *Key Technology, Inc................................. 27,000 340,875 *Key Tronic Corp..................................... 129,100 718,119 *Keystone Consolidated Industries, Inc............... 88,600 1,129,650 Keystone Heritage Group, Inc......................... 29,600 1,583,600 *Kimmins Corp........................................ 16,400 77,900 *Kinark Corp......................................... 52,800 171,600 SHARES VALUE+ ---------- --------------- *Kinnard Investment, Inc............................. 26,900 $ 158,878 *Kit Manufacturing Co................................ 12,000 105,000 Klamath First Bancorp, Inc........................... 41,800 901,313 Knape & Vogt Manufacturing Co........................ 54,599 1,078,330 *Knickerbocker (L.L.) Co., Inc....................... 60,000 420,000 *Knight Transportation, Inc.......................... 16,000 439,000 *Koala Corp.......................................... 11,300 178,681 Kollmorgen Corp...................................... 41,800 731,500 *Koo Koo Roo, Inc.................................... 216,111 746,258 *Kopin Corp.......................................... 85,900 1,825,375 *Koss Corp........................................... 52,000 715,000 *Krauses Furniture, Inc.............................. 2,933 8,249 *Kronos, Inc......................................... 29,000 899,000 *Krug International Corp............................. 32,465 204,935 *#L.A. Gear, Inc..................................... 45,600 19,950 LCS Industries, Inc.................................. 21,460 380,915 LSB Bancshares, Inc. NC.............................. 18,472 487,199 LSB Industries, Inc.................................. 108,900 476,438 LSI Industries, Inc.................................. 143,403 2,482,664 *LTX Corp............................................ 93,000 517,313 *LXR Biotechnology, Inc.............................. 63,300 114,731 *La Jolla Pharmceutical Co........................... 139,300 683,441 *LaBarge, Inc........................................ 221,650 997,425 LaCrosse Footwear, Inc............................... 13,300 187,863 Lab Holdings, Inc.................................... 1,800 42,469 Labone, Inc.......................................... 7,400 123,488 *Labor Ready, Inc.................................... 8,750 196,328 *Laclede Steel Co.................................... 25,450 119,297 *Ladd Furniture, Inc................................. 46,333 709,474 *Laidlaw Environmental Services, Inc................. 200 900 *Lakeland Industries, Inc............................ 11,900 89,994 Lakeview Financial Corp.............................. 7,000 172,813 *Lamson & Sessions Co................................ 143,800 934,700 *Lancer Corp......................................... 99,225 1,227,909 *Lancit Media Productions, Ltd....................... 53,200 131,338 *Landair Services, Inc............................... 50,100 1,384,013 Landauer, Inc........................................ 71,000 1,899,250 *Landec Corp......................................... 55,900 265,525 *Lanvision Systems, Inc.............................. 4,700 28,788 *Larson Davis, Inc................................... 5,600 25,725 *Laser Vision Centers, Inc........................... 13,500 108,000 *Lasermaster Technologies, Inc....................... 98,700 428,728 *Laserscope.......................................... 66,600 353,813 *#LaserSight Corporation............................. 41,600 143,000 *Lawrence Savings Bank MA............................ 7,700 105,394 Lawyers Title Corp................................... 57,300 1,819,275 *Layne Christensen Co................................ 41,800 728,888 *Lazare Kaplan International, Inc.................... 72,800 1,041,950 *Leasing Solutions, Inc.............................. 66,100 1,582,269 *Leather Factory, Inc................................ 200 131 *Lechters, Inc....................................... 124,500 708,094 *Lectec Corp......................................... 18,380 96,495 Lesco, Inc........................................... 87,100 1,853,597 *Leslie Building Products, Inc....................... 27,800 53,001 *Level 8 Systems, Inc................................ 29,400 431,813 *Levitz Furniture, Inc............................... 122,200 53,463 *Lexford, Inc........................................ 22,100 678,194 *Lexington Global Asset Managers, Inc................ 7,800 68,738 Liberty Homes, Inc. Class A.......................... 200 2,050 *Liberty Technologies, Inc........................... 21,000 59,063 *Lidak Pharmaceuticals Class A....................... 118,000 252,594 20
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THE U.S. 9-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ---------- --------------- Life Bancorp, Inc.................................... 4,300 $ 133,300 *Life Medical Sciences, Inc.......................... 70,100 357,072 *Life Quest Medical, Inc............................. 8,100 36,956 *Life USA Holdings, Inc.............................. 85,400 1,433,119 *Lifecore Biomedical, Inc............................ 48,900 950,494 *Lifeline Systems, Inc............................... 21,500 481,063 Lifetime Hoan Corp................................... 81,092 826,125 Lillian Vernon Corp.................................. 49,000 682,938 *Lindal Cedar Homes, Inc............................. 40,777 165,657 Lindberg Corp........................................ 53,200 771,400 *Liposome Co., Inc................................... 15,000 89,531 Liqui Box Corp....................................... 12,400 460,350 Litchfield Financial Corp............................ 22,863 452,973 *Littlefield, Adams & Co............................. 16,500 5,676 *Liuski International, Inc........................... 7,700 7,219 *Lodgenet Entertainment Corp......................... 79,500 1,003,688 *Loehmanns, Inc...................................... 54,500 357,656 *Logans Roadhouse, Inc............................... 34,000 608,813 *#Logic Devices, Inc................................. 49,300 138,656 *Logic Works, Inc.................................... 94,000 787,250 *Loronix Information Systems, Inc.................... 17,700 36,506 *Louis Dreyfus Natural Gas Corp...................... 32,472 671,765 Lufkin Industries, Inc............................... 28,400 1,008,200 *Lumisy, Inc......................................... 25,300 156,544 *Lunar Corp.......................................... 83,100 1,885,331 *Lund International Holdings, Inc.................... 15,800 204,413 *#Luria (L.) & Son, Inc.............................. 79,297 1,150 *Lynch Corp.......................................... 29,600 2,545,600 *M-Wave, Inc......................................... 10,600 44,388 *#M.H. Meyerson & Co., Inc........................... 25,150 135,181 M/A/R/C, Inc......................................... 20,757 396,978 *MAI Systems Corp.................................... 42,507 146,118 #MDC Holdings, Inc................................... 141,400 1,564,238 MFB Corp............................................. 3,700 84,638 *MFRI, Inc........................................... 20,000 195,000 *MGI Pharma, Inc..................................... 137,700 589,528 *MHM Services, Inc................................... 75 84 *MI Schottenstein Homes, Inc......................... 43,800 648,788 *MK Gold Corp........................................ 58,500 86,836 *MLX Corp............................................ 22,645 441,578 *MRS Technology, Inc................................. 47,500 48,984 *MS Carriers, Inc.................................... 42,600 1,027,725 MSB Bancorp, Inc..................................... 6,200 179,025 *MTI Technology Corp................................. 18,500 253,219 MTS Systems Corp..................................... 30,400 1,160,900 *#MVSI, Inc.......................................... 25,400 146,844 MYR Group, Inc....................................... 39,200 874,650 *Macheezmo Mouse Restaurants, Inc.................... 10,800 4,223 *MacNeal-Schwendler Corp............................. 123,500 1,258,156 *Madden (Steven), Ltd................................ 3,200 22,400 *Magainin Pharmaceuticals, Inc....................... 135,600 1,097,513 *#Magnum Hunter Resources, Inc....................... 68,000 391,000 *Main Street & Main, Inc............................. 9,850 28,627 Maine Public Service Co.............................. 32,700 412,838 Mainstreet Bankgroup, Inc............................ 20,600 566,500 *Mallon Resources Corp............................... 21,175 211,750 *Managed Care Solutions, Inc......................... 19,700 54,175 *Manatron, Inc....................................... 115 225 *#Manhattan Bagel Co., Inc........................... 33,100 44,995 *Mapics, Inc......................................... 73,900 808,281 *Mapinfo Corp........................................ 46,000 621,000 *Marcam Solutions, Inc............................... 34,550 300,153 SHARES VALUE+ ---------- --------------- *Marisa Christina, Inc............................... 72,200 $ 342,950 Maritrans, Inc....................................... 65,900 593,100 *Mark VII, Inc....................................... 95,600 1,720,800 *Marker International................................ 83,900 393,281 *Marlton Technologies, Inc........................... 62,300 412,738 Marsh Supermarkets, Inc. Class A..................... 15,700 241,388 Marsh Supermarkets, Inc. Class B..................... 18,500 278,656 *Martek Biosciences Corp............................. 60,700 677,184 *Marten Transport, Ltd............................... 35,200 765,600 Maryland Federal Bancorp............................. 34,230 893,189 Mason Dixon Bancshares, Inc.......................... 8,400 236,775 Massbank Corp. Reading, MA........................... 11,000 492,938 *Mastering, Inc...................................... 116,000 1,007,750 *Matec Corp. DE...................................... 23,800 98,175 *Material Sciences Corp.............................. 9,367 137,578 *Mathsoft, Inc....................................... 40,100 131,578 *Matlack Systems, Inc................................ 75,650 657,209 *Matria Healthcare, Inc.............................. 106,000 556,500 *Matrix Pharmaceutical, Inc.......................... 152,000 536,750 *Matrix Service Co................................... 83,600 663,575 *Matthews Studio Equipment Group..................... 30,500 122,000 *Mattson Technology, Inc............................. 123,000 1,203,094 *Maverick Tube Corp.................................. 80,000 2,287,500 *Max & Ermas Restaurants, Inc........................ 15,657 95,899 *Maxco, Inc.......................................... 17,100 197,719 *Maxicare Health Plans, Inc.......................... 12,000 155,250 *Maxim Group, Inc.................................... 76,000 1,168,500 *Maxwell Technologies, Inc........................... 58,492 1,551,866 *Maxxim Medical, Inc................................. 69,479 1,519,853 Mayflower Co-Operative Bank Middleboro............... 200 5,025 *Maynard Oil Co...................................... 103,200 1,264,200 *Mays (J.W.), Inc.................................... 2,100 20,770 *McClain Industries, Inc............................. 91,066 415,489 McGrath Rent Corp.................................... 58,200 1,282,219 *McMoran Oil & Gas Co................................ 57,800 187,850 *McWhorter Technologies, Inc......................... 11,000 261,250 *Meadow Valley Corp.................................. 1,300 7,759 Meadowbrook Insurance Group, Inc..................... 35,800 845,775 *Measurement Specialties, Inc........................ 12,550 50,984 *Mecklermedia Corp................................... 34,100 752,331 *Mecon, Inc.......................................... 58,000 393,313 *Medalliance, Inc. Liquidating Trust Escrow.......... 25,000 0 *Medar, Inc.......................................... 105,500 570,359 *Medarex, Inc........................................ 121,200 712,050 *#Medcath, Inc....................................... 26,700 450,563 *Medco Research, Inc................................. 54,000 877,500 Medford Savings Bank MA.............................. 37,900 1,407,038 *Media 100, Inc...................................... 82,600 384,606 *Media Arts Group, Inc............................... 47,400 524,363 *#Media Logic, Inc................................... 21,800 29,975 *Medical Action Industries, Inc...................... 35,500 127,578 *Medical Graphics Corp............................... 12,700 53,181 *Medical Resources, Inc.............................. 93,600 845,325 *Medicalcontrol, Inc................................. 16,400 88,150 *Medicore, Inc....................................... 47,500 109,844 *Medicus Systems Corp................................ 42,000 307,125 *Mediq, Inc.......................................... 72,000 733,500 *Medplus, Inc........................................ 47,000 447,969 *Medquist Inc........................................ 81,900 2,165,231 *Medstone International, Inc......................... 43,700 434,269 21
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THE U.S. 9-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ---------- --------------- Merchants Bancorp, Inc............................... 20,000 $ 483,750 Merchants Bancshares, Inc............................ 9,600 268,800 Merchants Group, Inc................................. 11,200 218,400 Merchants New York Bancorp, Inc...................... 800 22,875 #Mercury Air Group, Inc.............................. 30,053 173,744 *Mercury Interactive Corp............................ 10,800 263,250 *Meridian Data, Inc.................................. 61,600 259,875 Meridian Diagnostics, Inc............................ 118,854 1,266,538 Meridian Insurance Group, Inc........................ 20,000 368,750 *Meridian Medical Technology, Inc.................... 17,900 156,625 *Meridian Resource Corp.............................. 127,772 1,365,563 *#Merisel, Inc....................................... 240,800 1,136,275 *Merit Medical Systems, Inc.......................... 36,450 230,091 *Merix Corp.......................................... 48,000 717,000 Merrill Corp......................................... 60,200 1,215,288 Merrimac Industries, Inc............................. 12,332 174,190 *Mesa Air Group, Inc................................. 200,500 1,115,281 *Mesa Labs, Inc...................................... 17,800 137,950 *Mesaba Holdings, Inc................................ 104,700 2,303,400 *Mestek, Inc......................................... 118,750 2,115,234 *Met-Coil Systems Corp............................... 27,500 86,804 Met-Pro Corp......................................... 151,665 2,474,035 *#Metal Management, Inc.............................. 106,906 2,238,344 *Metatec Corp. Class A............................... 65,100 325,500 *Metra Biosystems, Inc............................... 71,100 268,847 *#Metricom, Inc...................................... 68,400 912,713 *Metrocall, Inc...................................... 158,399 836,545 *Metrologic Instruments, Inc......................... 57,300 809,363 *Metrotrans Corp..................................... 7,000 78,313 Metrowest Bank MA.................................... 64,700 525,688 *Michael Anthony Jewelers, Inc....................... 74,300 204,325 *Micrion Corp........................................ 19,700 426,628 *#Micro Component Technology, Inc.................... 22,000 54,313 *Micro Linear Corp................................... 93,500 715,859 *Microage, Inc....................................... 86,200 1,740,163 *Microdyne Corp...................................... 64,500 465,609 *Microfluidics International Corp.................... 12,500 37,891 *Micrografx, Inc..................................... 78,500 740,844 *Microlog Corp....................................... 26,000 183,625 *Micronics Computers, Inc............................ 108,600 230,775 *Microprose, Inc..................................... 95,600 457,088 *Micros to Mainframes, Inc........................... 10,100 47,344 *Microsemi Corp...................................... 135,875 2,326,859 *Microtest, Inc...................................... 64,200 384,197 *Microtouch Systems, Inc............................. 71,200 1,486,300 *#Microware Systems Corp............................. 36,900 154,519 *Microwave Power Dynamics, Inc....................... 80,000 600,000 Mid America Banccorp................................. 32,004 968,126 *#Midcom Communications, Inc......................... 129,000 60,469 *Middleby Corp....................................... 65,200 670,338 Middlesex Water Co................................... 15,600 295,425 *#Midisoft Corp...................................... 58,300 71,068 Midland Co........................................... 14,700 888,431 *Midwest Grain Products, Inc......................... 30,100 421,400 Mikasa, Inc.......................................... 1,000 13,313 *Mikohn Gaming Corp.................................. 66,650 551,945 *Miller Building Systems, Inc........................ 72,800 614,250 *Miltope Group, Inc.................................. 50,500 173,594 *Mindspring Enterprises, Inc......................... 31,600 922,325 Minntech Corp........................................ 29,930 347,942 Minuteman International, Inc......................... 15,000 161,250 *Mitcham Industries, Inc............................. 45,100 1,265,619 SHARES VALUE+ ---------- --------------- *Mity-Lite, Inc...................................... 28,100 $ 554,975 *Mobile America Corp................................. 9,200 109,250 Mobile Gas Service Corp.............................. 34,100 1,325,638 *Mobile Mini, Inc.................................... 28,100 149,281 Modern Controls, Inc................................. 84,975 993,145 *Modtech, Inc........................................ 29,000 601,750 *Molecular Biosystems, Inc........................... 121,400 1,236,763 *Molecular Devices Corp.............................. 18,500 379,250 *Molecular Dynamics, Inc............................. 51,100 1,037,969 *#Molten Metal Technology, Inc....................... 103,000 32,188 *Monaco Coach Corp................................... 25,100 633,775 *Monaco Finance, Inc. Class A........................ 16,300 17,319 *Monarch Casino and Resort, Inc...................... 82,100 431,025 Monarch Machine Tool Co.............................. 39,761 332,998 *Moneygram Payment Systems, Inc...................... 33,500 433,406 *Monro Muffler Brake, Inc............................ 33,686 486,342 *Monroc, Inc......................................... 15,500 170,500 Monterey Bay Bancorp, Inc............................ 9,600 186,000 *#Monterey Pasta Co.................................. 32,400 45,563 *Moog, Inc. Class A.................................. 25,250 918,469 *Moog, Inc. Class B.................................. 1,500 55,125 *Moore Handley, Inc.................................. 1,500 4,125 *Moore Medical Corp.................................. 25,100 279,238 *Moore Products Co................................... 21,900 791,138 *Moovies, Inc........................................ 106,500 133,125 *Morgan Products, Ltd................................ 65,300 399,963 *#Morrow Snowboards, Inc............................. 12,000 32,250 *Morton's Restaurant Group, Inc...................... 54,900 1,235,250 *Mosaix, Inc......................................... 96,900 884,213 *Moscom Corp......................................... 36,100 250,444 *#Mossimo, Inc....................................... 128,750 675,938 *Mother's Work, Inc.................................. 33,500 301,500 *Motor Car Parts & Accessories, Inc.................. 40,500 674,578 *Motor Club of America............................... 20,500 279,313 Movado Group, Inc.................................... 18,150 326,700 *Movie Gallery, Inc.................................. 110,000 360,938 *Moviefone, Inc. Class A............................. 28,300 189,256 Mueller (Paul) Co.................................... 26,700 1,034,625 *Multi Color Corp.................................... 9,600 62,400 *Multigraphics, Inc.................................. 3,400 8,925 *Musicland Stores Corp............................... 210,600 1,145,138 *Mutual Savings Bank FSB Bay City, MI................ 19,700 253,638 *Mylex Corp.......................................... 42,000 338,625 *Myriad Genetics, Inc................................ 3,300 90,234 *Mysoftware Co....................................... 14,000 34,125 *N & F Worldwide Corp................................ 80,100 770,963 *NABI, Inc........................................... 160,600 677,531 *NAI Technologies, Inc............................... 82,813 186,329 NBT Bancorp.......................................... 38,655 997,802 NN Ball & Roller, Inc................................ 124,300 1,064,319 *NPS Pharmaceuticals, Inc............................ 75,600 699,300 *NS Group, Inc....................................... 60,000 1,125,000 *NSA International, Inc.............................. 30,500 52,422 NSC Corp............................................. 79,800 187,031 *NTN Communications, Inc............................. 167,500 251,250 NUI Corp............................................. 24,200 595,925 NYMAGIC, Inc......................................... 62,700 1,598,850 *Nanometrics, Inc.................................... 30,300 268,913 *Nantucket Industries, Inc........................... 28,135 12,309 *Napco Security Systems, Inc......................... 64,100 396,619 *#Napro Biotherapeutics, Inc......................... 90,500 576,938 22
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THE U.S. 9-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ---------- --------------- Nash Finch Co........................................ 30,500 $ 571,875 *Nashua Corp......................................... 43,200 564,300 *Nastech Pharmaceutical Co., Inc..................... 6,300 85,444 *Nathans Famous, Inc................................. 17,500 66,719 *National Auto Credit, Inc........................... 35,300 237,172 *National Beverage Corp.............................. 49,200 485,850 *National City Bancorp............................... 26,067 729,876 *National Dentex Corp................................ 32,900 703,238 *National Energy Group, Inc.......................... 185,700 795,028 National Gas & Oil Co................................ 137,489 1,589,727 *National Home Centers, Inc.......................... 60,000 69,375 *National Home Health Care Corp...................... 22,077 117,288 National Insurance Group............................. 45,200 477,425 *National Media Corp................................. 127,000 523,875 *National Patent Development Corp.................... 69,850 942,975 *National Record Mart, Inc........................... 15,200 57,475 *National RV Holdings, Inc........................... 29,100 697,491 National Security Group, Inc......................... 10,500 179,156 *National Standard Co................................ 96,500 566,938 National Technical Systems, Inc...................... 47,184 402,539 *National Techteam, Inc.............................. 88,300 960,263 *National Vision Association, Ltd.................... 123,800 646,081 *Natural Alternatives International, Inc............. 47,000 425,938 *Natural Wonders, Inc................................ 35,900 271,494 *Navarre Corp........................................ 54,200 159,213 *Navigators Group, Inc............................... 20,520 388,598 Nelson (Thomas), Inc................................. 39,400 449,406 *Neogen Corp......................................... 25,800 287,025 *Neopath, Inc........................................ 30,100 500,413 *Neoprobe Corp....................................... 63,000 507,938 *Neorx Corp.......................................... 139,700 772,716 *Neose Technologies, Inc............................. 31,600 548,063 *#Neoware Systems, Inc............................... 27,200 79,900 *Netcom On-Line Communication Services, Inc.......... 38,500 770,000 *Netmanage, Inc...................................... 97,300 276,697 *Netrix Corp......................................... 83,200 111,800 *Netvantage, Inc. Class A............................ 12,200 86,163 *Network Computing Devices, Inc...................... 130,000 1,072,500 *#Network Imaging Corp............................... 85,000 104,922 *Network Peripherals, Inc............................ 56,800 298,200 *Network Six, Inc.................................... 775 2,083 *Neurex Co........................................... 57,100 897,541 *Neurobiological Technologies, Inc................... 14,600 28,288 *Neuromedical Systems, Inc........................... 77,700 288,947 *New Brunswick Scientific Co., Inc................... 37,537 290,912 New England Community Bancorp, Inc. Class A.......... 18,600 434,775 New Hampsire Thrift BancShares, Inc.................. 200 4,125 *New Horizons Worldwide, Inc......................... 57,400 889,700 *New Jersey Steel Corp............................... 29,800 671,431 *New Mexico & Arizona Land Co........................ 33,046 495,690 Newcor, Inc.......................................... 86,126 742,837 Newmil Bancorp, Inc.................................. 44,200 618,800 #Newport Corp........................................ 74,600 1,258,875 *Nexthealth, Inc..................................... 26,700 29,620 *#Niagara Corp....................................... 4,500 41,906 *Nichols Research Corp............................... 55,250 1,277,656 *Nimbus CD International, Inc........................ 17,500 173,906 *Nitches, Inc........................................ 10,194 61,164 SHARES VALUE+ ---------- --------------- *Nobel Education Dynamics, Inc....................... 23,050 $ 137,580 *Nobility Homes...................................... 11,250 175,781 *Noel Group, Inc..................................... 43,600 155,325 Noland Co............................................ 500 11,938 *Noodle Kidoodle, Inc................................ 65,000 186,875 *Nord Resources Corp................................. 138,700 242,725 *Norland Medical System, Inc......................... 31,300 235,728 *Norstan, Inc........................................ 90,400 2,192,200 *Nortek, Inc......................................... 19,700 480,188 North Carolina Natural Gas Corp...................... 14,450 478,656 North Central Bancshares, Inc........................ 9,400 178,306 Northern Technologies International.................. 17,600 198,000 *#Northfield Laboratories, Inc....................... 59,200 669,700 #Northland Cranberries, Inc. Class A................. 56,800 796,975 Northrim Bank........................................ 8,300 115,163 *Northwest Pipe Co................................... 11,000 250,938 *Northwest Teleproductions, Inc...................... 15,800 37,525 *Northwestern Steel & Wire Co........................ 159,100 596,625 *Norton McNaughton, Inc.............................. 62,500 378,906 Norwich Financial Corp............................... 23,800 709,538 *Norwood Promotional Products, Inc................... 31,200 473,850 *Novadigm, Inc....................................... 26,100 129,684 *Novametrix Medical Systems, Inc..................... 59,700 453,347 *Novavax, Inc........................................ 65,500 286,563 *Noven Pharmaceuticals, Inc.......................... 85,900 614,722 *Novitron International, Inc......................... 4,283 12,046 *Nu Horizons Electronics Corp........................ 71,054 501,819 *Nu-Kote Holding, Inc. Class A....................... 101,700 55,617 *#Nuko Information Systems, Inc...................... 29,200 13,987 *Numerex Corp. Class A............................... 11,500 84,094 *Nutramax Products, Inc.............................. 44,000 514,250 *Nview Corp.......................................... 20,650 25,167 *O'Charleys, Inc..................................... 60,650 1,080,328 O'Sullivan Corp...................................... 78,600 781,088 *O'Sullivan Industries Holdings, Inc................. 133,400 1,700,850 *O.I. Corp........................................... 13,800 60,375 *ODS Networks, Inc................................... 47,900 405,653 *OEC Medical Systems, Inc............................ 62,100 1,335,150 *OHM Corp............................................ 43,600 370,600 *OSI Pharmaceutical, Inc............................. 132,400 947,488 *#OTR Express, Inc................................... 16,600 98,563 *Oacis Healthcare Holdings Corp...................... 33,000 158,813 *Oak Hill Sportswear Corp............................ 21,600 83,700 *Objectshare, Inc.................................... 40,300 28,336 *Ocal, Inc........................................... 11,000 33,000 *#Odwalla, Inc....................................... 21,100 166,163 Oglebay Norton Co.................................... 50,000 1,531,250 Ohio Art Co.......................................... 1,000 15,000 Oil-Dri Corp. of America............................. 60,900 1,020,075 *Old America Stores, Inc............................. 14,700 4,138 *Old Dominion Freight Lines, Inc..................... 71,600 1,132,175 *Olympic Steel, Inc.................................. 94,000 1,318,938 *Omega Environmental, Inc............................ 88,600 5,538 *Omni Multimedia Group, Inc.......................... 6,700 2,513 *On Assignment, Inc.................................. 40,800 923,100 *On Technology Corp.................................. 25,000 49,219 *On-Point Technology Systems, Inc.................... 2,200 5,981 *Oncor, Inc.......................................... 185,800 812,875 *Oncormed, Inc....................................... 32,300 213,988 *One Price Clothing Stores, Inc...................... 65,600 135,300 *Oneita Industries, Inc.............................. 59,020 20,288 *Onyx Acceptance Corp................................ 8,500 65,875 23
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THE U.S. 9-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ---------- --------------- *Opinion Research Corp............................... 15,500 $ 77,500 *Opta Food Ingredients, Inc.......................... 93,600 479,700 *Optek Technology, Inc............................... 300 5,738 *Opti, Inc........................................... 60,000 371,250 Optical Coating Laboratory, Inc...................... 67,092 1,031,540 *Option Care, Inc.................................... 44,900 193,631 Orange Co., Inc...................................... 91,747 733,976 *Oravax, Inc......................................... 27,400 82,200 *Orbit International Corp............................ 27,600 68,138 *Orcad, Inc.......................................... 6,000 50,063 *Oriole Homes Corp. Class A Convertible.............. 66,300 314,925 *Oriole Homes Corp. Class B.......................... 23,000 109,250 *Orion Network Systems, Inc.......................... 25,700 440,916 *Oroamerica, Inc..................................... 45,200 251,425 *Orphan Medical, Inc................................. 40,500 222,750 *Ortel Corp.......................................... 38,100 678,656 *Orthologic Corp..................................... 128,200 661,031 Oshkosh Truck Corp. Class B.......................... 43,200 761,400 *Oshman's Sporting Goods, Inc........................ 50,200 288,650 *Osmonics, Inc....................................... 9,600 139,200 *Osteotech, Inc...................................... 54,100 1,633,144 *Ostex International, Inc............................ 104,500 329,828 Ottawa Financial Corp................................ 3,140 86,939 *Outlook Group Corp.................................. 37,900 253,456 Owosso Corp.......................................... 29,500 229,547 Oxford Industries, Inc............................... 53,100 1,865,138 *#Oxigene, Inc....................................... 19,800 358,875 *Oxis International, Inc............................. 89,800 56,125 *P&F Industries, Inc. Class A........................ 600 3,956 *PAM Transportation Services, Inc.................... 33,650 331,242 *PC Quote, Inc....................................... 54,100 74,388 *PC Service Source, Inc.............................. 24,200 136,125 PCA International, Inc............................... 32,900 806,050 *#PHP Healthcare Corp................................ 39,490 636,776 *PICO Holdings, Inc.................................. 48,559 295,906 PLM International, Inc............................... 41,900 235,688 *PMR Corp............................................ 29,400 663,338 *PPT Vision, Inc..................................... 46,200 363,825 PS Group Holdings, Inc............................... 2,000 28,500 *PSC, Inc............................................ 53,600 619,750 *PST Vans, Inc....................................... 17,800 77,875 *Pacific Aerospace and Electroncis, Inc.............. 7,700 48,727 *Pacific Pharmaceuticals, Inc........................ 28,200 42,300 Pacific Scientific Co................................ 71,900 1,141,413 *Pacific Sunwear of California, Inc.................. 1,750 57,203 *Pagemart Wireless, Inc. Class A..................... 22,600 224,588 *Pages, Inc.......................................... 31,000 60,063 *Palatin Technologies, Inc........................... 875 6,234 Palfed, Inc.......................................... 22,350 596,466 *Palmer (Arnold) Golf Co............................. 33,700 91,622 *Pamida Holdings Corp................................ 52,000 279,500 Pamrapo Bancorp, Inc................................. 12,200 298,138 *Panaco, Inc......................................... 9,800 44,713 Pancho's Mexican Buffet, Inc......................... 47,600 105,613 *#Panda Project, Inc................................. 19,000 122,906 *Par Technology Corp................................. 81,800 874,238 *Paragon Trade Brands, Inc........................... 40,800 918,000 *Parallel Petroleum Corp............................. 79,800 451,369 *Paris Corp.......................................... 200 338 *Park-Ohio Industries, Inc........................... 141,225 2,533,223 SHARES VALUE+ ---------- --------------- *#Parkervision, Inc.................................. 44,800 $ 856,800 Parkvale Financial Corp.............................. 55,356 1,622,623 *Parlex Corp......................................... 29,850 452,414 *Parlux Fragrances, Inc.............................. 108,200 246,831 *Patina Oil & Gas Corp............................... 53,989 438,661 Patrick Industries, Inc.............................. 46,050 661,969 *Paul Harris Stores, Inc............................. 79,175 1,667,623 *#Paul-Son Gaming Corp............................... 32,500 540,313 *Paxar Corp.......................................... 17,900 268,500 *Payless Cashways, Inc............................... 212,000 10,812 *Pediatric Services of America, Inc.................. 51,200 998,400 Peerless Manufacturing Co............................ 9,250 108,688 *Penederm, Inc....................................... 70,000 796,250 Penn Engineering & Manufacturing Corp. Class A....... 33,600 866,250 Penn Engineering & Manufacturing Corp. Non-voting.... 100,800 2,646,000 *Penn National Gaming, Inc........................... 85,000 969,531 *#Penn Traffic Co.................................... 87,800 768,250 *Penn Treaty American Corp........................... 44,400 1,434,675 Penn Virginia Corp................................... 74,200 2,008,038 Penn-America Group, Inc.............................. 36,500 670,688 Pennfed Financial Services, Inc...................... 20,300 670,534 Pennfirst Bancorp, Inc............................... 220 4,098 Pennsylvania Enterprises, Inc........................ 800 20,150 Penobscot Shoe Co.................................... 32,000 193,000 *Pentech International, Inc.......................... 28,900 83,991 Penwest, Ltd......................................... 26,200 971,038 Peoples Bancorp...................................... 300 6,975 Peoples Bancshares, Inc. Massachusetts............... 24,545 486,298 *Peoples Choice TV Corp.............................. 110,596 252,297 *Peoples Telephone Co., Inc.......................... 64,800 234,900 *Perceptron, Inc..................................... 32,050 713,113 *Performance Food Group Co........................... 107,150 2,276,938 *Performance Technologies, Inc....................... 20,400 304,725 *Perfumania, Inc..................................... 43,700 145,439 *Perini Corp......................................... 40,000 352,500 *Periphonics Corp.................................... 59,900 582,153 *Perseptive Biosystems, Inc.......................... 108,300 1,299,600 *Personnel Management, Inc........................... 9,000 110,250 *Pete's Brewing Co................................... 23,000 114,281 *Petrocorp, Inc...................................... 36,100 327,156 *Petroleum Development Corp.......................... 44,000 269,500 Petroleum Heat & Power Co., Inc. Class A............. 148,300 424,045 *Phar-Mor, Inc....................................... 8,500 71,984 *#Pharmaceutical Marketing Services, Inc............. 117,600 1,205,400 *Pharmaceutical Resources, Inc....................... 84,055 131,336 *Pharmacopeia, Inc................................... 33,800 640,088 *Pharmchem Laboratories, Inc......................... 47,800 143,400 *#Pharmos Corp....................................... 88,000 199,375 *Phildelphia Consolidated Holding Corp............... 54,000 901,125 *Phillips (R.H.), Inc................................ 2,300 8,194 *Phoenix Gold International, Inc..................... 13,000 63,375 *Phoenix Network, Inc................................ 89,200 61,325 *Phoenix Technologies, Ltd........................... 24,000 354,750 *Photo Control Corp.................................. 1,000 2,813 *Photon Dynamics, Inc................................ 26,800 115,575 *Photran Corp........................................ 3,300 15,263 24
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THE U.S. 9-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ---------- --------------- *Physician Support Systems, Inc...................... 16,800 $ 250,950 *Physicians Health Services, Inc. Class A............ 21,000 580,125 *Physicians Resource Group, Inc...................... 17,000 96,688 *Physiometrix, Inc................................... 31,500 80,719 Piccadilly Cafeterias, Inc........................... 60,100 755,006 *Pico Products, Inc.................................. 34,400 53,750 #Piedmont Bancorp, Inc............................... 250 2,594 *Piercing Pagoda, Inc................................ 41,400 1,076,400 *Pilgrim America Capital Corp........................ 42,000 805,875 Pillowtex Corp....................................... 66,700 1,767,550 *Pinkertons, Inc..................................... 19,350 442,631 Pinnacle Bancshares, Inc............................. 400 6,550 Pinnacle Financial Services, Inc..................... 29,449 1,229,496 *#Pinnacle Micro, Inc................................ 32,700 8,175 *Pinnacle Systems, Inc............................... 65,900 1,598,075 Pitt-Des Moines, Inc................................. 36,450 1,262,081 Pittston Co. Minerals Group.......................... 72,200 658,825 *Plains Resources, Inc............................... 70,700 1,166,550 *Planar Systems, Inc................................. 86,100 1,017,056 *Plasma-Therm, Inc................................... 27,900 235,406 Plasti-Line, Inc..................................... 10,000 136,875 *Platinum Software Corp.............................. 179,400 1,401,563 *Play By Play Toys and Novelties, Inc................ 16,300 269,969 *Playboy Enterprises, Inc. Class A................... 1,500 18,281 *Playboy Enterprises, Inc. Class B................... 136,400 1,866,975 *Players International, Inc.......................... 217,900 701,366 Plenum Publishing Corp............................... 14,800 711,325 *Plexus Corp......................................... 9,800 260,925 *Plymouth Rubber, Inc. Class A....................... 100 575 *Plymouth Rubber, Inc. Class B non-voting............ 5 21 *Polk Audio, Inc..................................... 5,000 45,313 *Pollo Tropical, Inc................................. 69,300 459,113 *Polycom, Inc........................................ 92,600 555,600 *Polymedica Industries, Inc.......................... 41,950 388,038 *Polyphase Corp...................................... 46,000 48,875 *Pomeroy Computer Resource, Inc...................... 39,442 986,050 Pope & Talbot, Inc................................... 9,000 148,500 *Porta Systems Corp.................................. 12,640 42,660 Portec, Inc.......................................... 37,237 516,663 *Positive Response Television, Inc. Escrow........... 9,750 0 *Positron Corp....................................... 12,600 7,875 *Possis Medical, Inc................................. 97,800 1,369,200 Poughkeepsie Financial Corp.......................... 61,400 610,163 *Powell Industries, Inc.............................. 44,000 616,000 *Powercerv Corp...................................... 100,000 293,750 *Praegitzer Industries, Inc.......................... 86,500 1,097,469 *Precision Standard, Inc............................. 1,000 719 *Premenos Technology Corp............................ 73,600 970,600 Premier Bancshares, Inc.............................. 19,700 398,925 *#Premier Laser Systems, Inc. Class A................ 45,200 435,050 Premiumwear, Inc..................................... 6,145 28,805 *President Casinos, Inc.............................. 16,666 64,581 *Presley Companies Class A........................... 8,900 7,788 *Price Communications Corp........................... 71,257 783,827 *Prima Energy Corp................................... 23,500 475,875 Prime Bancorp, Inc................................... 19,042 643,858 *Prime Medical Services, Inc......................... 93,200 1,240,725 Primesource Corp..................................... 24,843 301,221 SHARES VALUE+ ---------- --------------- *Primus Telecommunications Group, Inc................ 130,000 $ 1,787,500 *Printrak International, Inc......................... 50,000 493,750 *Printronix, Inc..................................... 67,050 1,198,519 *Prism Solutions, Inc................................ 11,400 60,563 *Procept, Inc........................................ 10,114 18,332 *Procyte Corp........................................ 45,700 49,984 *Professional Bancorp, Inc........................... 10,720 163,480 *Profit Recovery Group International, Inc............ 77,000 1,179,063 *Programmers Paradise, Inc........................... 20,200 198,213 Progress Financial Corp.............................. 11,080 168,278 *Progress Software Corp.............................. 56,000 1,162,000 Progressive Bank, Inc................................ 43,650 1,489,556 *Project Software & Development, Inc................. 95,700 1,860,169 *Pronet, Inc......................................... 47,300 209,894 #Protection One, Inc................................. 23,300 270,134 *Proteon, Inc........................................ 58,150 94,494 *Protocol Systems, Inc............................... 71,600 738,375 Provena Foods, Inc................................... 200 563 Providence & Worcester Railroad Co................... 5,000 77,500 Providence Energy Corp............................... 61,950 1,173,178 *Provident American Corp............................. 83,600 224,675 *Proxim, Inc......................................... 42,200 501,125 *Proxima Corp........................................ 62,100 457,988 *Proxymed, Inc....................................... 27,300 246,553 Psychemedics Corp.................................... 105,577 620,265 Pulaski Furniture Corp............................... 15,400 296,450 *Pure World, Inc..................................... 66,300 430,950 *Pyramid Breweries, Inc.............................. 23,600 63,425 *Q Logic Corp........................................ 53,800 1,765,313 *QMS, Inc............................................ 72,300 230,456 *Quad Systems Corp................................... 35,700 228,703 Quaker Chemical Corp................................. 30,300 570,019 *Quaker City Bancorp, Inc............................ 18,125 369,297 *Quaker Fabric Corp.................................. 72,300 1,432,444 *Quality Dining, Inc................................. 98,400 408,975 *Quality Semiconductor, Inc.......................... 43,400 250,906 *Quality Systems, Inc................................ 44,500 328,188 *Quarterdeck Office Systems, Inc..................... 298,000 628,594 *Quest Medical, Inc.................................. 98,928 689,405 *Quickresponse Services, Inc......................... 10,000 351,875 *Quickturn Design Systems, Inc....................... 114,650 1,339,972 *Quidel Corp......................................... 110,100 421,477 *Quiksilver, Inc..................................... 63,400 1,672,175 *Quintel Entertainment, Inc.......................... 36,700 211,025 *Quipp, Inc.......................................... 13,800 236,325 Quixote Corp......................................... 67,600 587,275 *R & B, Inc.......................................... 68,600 660,275 *RCM Technologies, Inc............................... 13,500 211,781 *RDM Sports Group, Inc............................... 301,000 2,408 *RF Monolithics, Inc................................. 26,000 321,750 RPC, Inc............................................. 52,100 1,393,675 *RTI, Inc............................................ 5,890 48,224 *RTW, Inc............................................ 27,200 181,050 *Racotek, Inc........................................ 130,500 173,320 *Rag Shops, Inc...................................... 32,000 99,500 *Ragan (Brad), Inc................................... 40,900 1,390,600 *#Railamerica, Inc................................... 20,400 123,675 *Railtex, Inc........................................ 40,500 599,906 25
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THE U.S. 9-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ---------- --------------- *Rainbow Technologies, Inc........................... 48,800 $ 1,177,300 *Rally's Hamburgers, Inc............................. 171,800 590,563 Ramapo Financial Corp................................ 34,800 319,725 *Ramsay Health Care, Inc............................. 51,366 223,121 *Ramtron International Corp.......................... 75,650 491,725 *Rare Hospitality International, Inc................. 66,562 715,542 Raritan Bancorp, Inc. DE............................. 1,125 30,656 *Raster Graphics, Inc................................ 9,000 52,313 Raven Industries, Inc................................ 99,150 2,048,067 *Rawlings Sporting Goods, Inc........................ 64,700 727,875 *Raytech Corp. DE.................................... 27,795 149,398 *Reading Entertainment, Inc.......................... 16,300 205,788 *Recoton Corp........................................ 91,916 1,252,356 *Recovery Engineering, Inc........................... 19,100 496,600 *Recycling Industries, Inc........................... 37,100 288,684 *#Redhook Ale Brewery, Inc........................... 45,000 298,125 *#Redwood Empire Bancorp............................. 9,900 155,306 *Reeds Jewelers, Inc................................. 11,495 79,028 Refac Technology Development Corp.................... 45,597 632,658 *Regeneron Pharmaceuticals, Inc...................... 37,400 366,988 *Rehabcare Group, Inc................................ 27,900 754,172 *Rehabilicare, Inc................................... 17,700 69,694 *Reliability, Inc.................................... 120,000 2,561,250 Reliv International, Inc............................. 45,960 175,223 *#Reno Air, Inc...................................... 79,700 465,747 *#Rent-Way, Inc...................................... 57,000 985,031 *Rentrak Corp........................................ 56,500 280,734 *Repligen Corp....................................... 54,000 54,844 *#Reptron Electronics, Inc........................... 25,500 381,703 *Republic Automotive Parts, Inc...................... 39,200 588,000 Republic Bancorp, Inc................................ 51,152 882,375 *Republic Bankshares, Inc............................ 1,740 43,826 *Republic Engineered Steels, Inc..................... 173,000 254,094 *Republic First Bancorp, Inc......................... 5,900 77,069 Republic Group, Inc.................................. 111,804 2,131,264 Republic Security Financial Corp..................... 45,932 467,932 *#Res-Care, Inc...................................... 67,800 1,584,825 Research, Inc........................................ 20,200 220,938 *Resound Corp........................................ 123,900 762,759 Resource America, Inc................................ 15,060 714,409 *Response Oncology, Inc.............................. 92,740 904,215 *Retirement Care Association, Inc.................... 43,035 373,867 *Retix, Inc.......................................... 95,200 458,150 *Rex Stores Corp..................................... 72,600 825,825 *Rexhall Industries, Inc............................. 11,025 54,436 *Rexworks, Inc....................................... 6,000 28,875 *Rheometric Scientific, Inc.......................... 110 124 *Ribi Immunochem Research, Inc....................... 158,200 622,913 Richardson Electronics, Ltd.......................... 41,700 484,763 *Richton International Corp.......................... 1,500 9,563 *Riddell Sports, Inc................................. 38,582 155,534 *Ride, Inc........................................... 46,700 119,669 *Right Management Consultants, Inc................... 49,450 547,041 *Right Start, Inc.................................... 48,200 97,906 *Rightchoice Managed Care, Inc. Class A.............. 25,100 271,394 *Rimage Corp......................................... 29,000 184,875 *Ringer Corp......................................... 76,600 113,703 Rival Co............................................. 33,700 499,181 *River Oaks Furniture, Inc........................... 41,500 72,625 *Riverside Group, Inc................................ 1,300 1,788 SHARES VALUE+ ---------- --------------- *Riviera Holdings Corporation........................ 6,200 $ 84,863 Roanoke Electric Steel Corp.......................... 41,500 923,375 *Roberds, Inc........................................ 31,400 123,638 *Robertson-Ceco Corp................................. 46,957 428,483 Robinson Nugent, Inc................................. 42,100 226,288 *Robotic Vision Systems, Inc......................... 11,235 154,832 *Rochester Medical Corp.............................. 19,100 261,431 *Rock Bottom Restaurants, Inc........................ 45,700 491,275 *Rockford Industries, Inc............................ 33,500 285,797 *Rocky Mountain Chocolate Factory.................... 25,000 121,875 *Rocky Shoes & Boots, Inc............................ 21,500 366,844 *Rodman & Renshaw Capital Group, Inc................. 19,000 7,125 *Rogers Corp......................................... 122,100 4,983,206 *Ross Systems, Inc................................... 116,437 433,000 Rotonics Manufacturing, Inc.......................... 11,300 16,244 *Rottlund, Inc....................................... 18,150 72,600 Rouge Industries, Inc. Class A....................... 28,400 433,100 Rowe Furniture Corp.................................. 115,062 769,477 *Royal Appliance Manufacturing Co.................... 197,500 1,370,156 Royal Bancshares of Pennsylvania Class A............. 232 5,003 *Royal Energy, Inc................................... 1,500 6,656 *Royal Gold, Inc..................................... 114,700 681,031 *Royal Precision, Inc................................ 5,600 47,425 *Rural Cellular Corp. Class A........................ 12,100 148,981 Ryan Beck & Co....................................... 210 1,391 Ryland Group, Inc.................................... 90,900 1,982,756 *S&K Famous Brands, Inc.............................. 31,700 429,931 *SABA Petroleum Co................................... 42,900 426,319 *SBE, Inc............................................ 11,000 158,469 *SBM Industries, Inc................................. 500 1,500 *SBS Technologies, Inc............................... 30,200 877,688 *SDL, Inc............................................ 47,400 802,838 *SED International Holdings, Inc..................... 35,300 451,178 SEMCO Energy, Inc.................................... 49,700 877,516 SI Handling, Inc..................................... 41,625 561,938 SIS Bancorp, Inc..................................... 19,700 662,413 SJNB Financial Corp.................................. 5,000 183,750 SJW Corp............................................. 16,600 946,200 SL Industries, Inc................................... 96,685 1,256,905 *SMC Corp............................................ 52,200 398,025 *SOS Staffing Services, Inc.......................... 31,600 655,700 *SPSS, Inc........................................... 40,700 1,014,956 *SSE Telecom, Inc.................................... 30,500 150,594 *STB Systems, Inc.................................... 29,250 820,828 *STM Wireless, Inc. Class A.......................... 36,500 536,094 *STV Group, Inc...................................... 17,500 141,094 *SYNC Research, Inc.................................. 46,700 188,259 *Safeguard Health Enterprises, Inc................... 84,600 1,105,088 *Safety 1st, Inc..................................... 54,500 374,688 *Safety Components International, Inc................ 41,100 565,125 *Saga Communications, Inc. Class A................... 67,577 1,326,199 *Salant Corp. DE..................................... 80,500 155,969 Salient 3 Communications, Inc. Class A............... 45,000 576,563 *Salton/Maxim Housewares, Inc........................ 58,000 565,500 *San Filippo (John B.) & Son, Inc.................... 67,400 532,881 Sanderson Farms, Inc................................. 50,700 611,569 *Sands Regent Casino Hotel........................... 42,210 89,037 Sandwich Bancorp, Inc................................ 15,400 652,575 26
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THE U.S. 9-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ---------- --------------- *Sano Corp........................................... 9,900 $ 215,944 *Santa Cruz Operation, Inc........................... 94,200 553,425 *Santa Fe Gaming Corp................................ 22,450 16,838 Santa Monica Bank CA................................. 41,900 1,157,488 *Satcon Technology Corp.............................. 36,600 361,425 *Savoir Technology Group, Inc........................ 37,500 386,719 *Scan-Optics, Inc.................................... 56,200 500,531 *ScanSource, Inc..................................... 15,800 299,706 Schawk, Inc. Class A................................. 26,200 298,025 *Schein (Henry), Inc................................. 60,637 2,139,349 *Scherer Healthcare, Inc............................. 200 738 *Schieb (Earl), Inc.................................. 74,400 651,000 *Schlotzskys, Inc.................................... 28,200 493,500 *Schmitt Industries, Inc............................. 8,100 75,938 Schnitzer Steel Industries, Inc. Class A............. 5,200 145,600 *Schuler Homes, Inc.................................. 143,700 1,014,881 Schult Homes Corp.................................... 42,960 762,540 Schultz Sav-O Stores, Inc............................ 60,000 952,500 *Sciclone Pharmaceuticals, Inc....................... 125,800 507,131 *Scientific Games Holdings Corp...................... 4,500 94,781 Scientific Technologies, Inc......................... 25,700 276,275 *Scios-Nova, Inc..................................... 257,700 1,956,909 Scope Industries, Inc................................ 18,650 1,146,975 *Scott's Liquid Gold, Inc............................ 84,000 330,750 Seacoast Banking Corp. Class A....................... 21,600 753,300 *Sealright Co., Inc.................................. 36,300 451,481 *Seattle Filmworks, Inc.............................. 145,575 1,430,729 Seaway Food Town, Inc................................ 16,000 352,000 *Secom General Corp.................................. 25,000 56,250 Second Bancorp, Inc.................................. 600 15,525 *Secure Computing Corp............................... 50,700 605,231 *Security Capital Corp............................... 5 17 Security First Corp.................................. 17,200 326,800 *Seeq Technology, Inc. DE............................ 179,600 637,019 *Segue Software, Inc................................. 36,000 391,500 *Seibels Bruce Group, Inc............................ 2,400 18,750 Selas Corp. of America............................... 44,700 463,763 *Selfcare, Inc....................................... 10,900 115,813 *Semiconductor Packaging Materials Co., Inc.......... 49,100 444,969 *Semitool, Inc....................................... 85,200 1,325,925 *Semtech Corp........................................ 56,000 2,730,000 *Seneca Foods Corp. Class A.......................... 200 3,350 *Seneca Foods Corp. Class B.......................... 6,300 106,313 *Sentry Technology Corp.............................. 60,555 128,679 *Sequana Therapeutics, Inc........................... 71,200 885,550 *Sequus Pharmaceuticals, Inc......................... 177,000 1,377,281 *Seragen, Inc........................................ 51,600 26,058 *Servico, Inc........................................ 31,300 541,881 *Servotronics, Inc................................... 24,804 279,045 Sevenson Environmental Services, Inc................. 13,280 159,360 *#Shaman Pharmaceuticals............................. 141,100 696,681 *Shared Technologies Fairchild, Inc.................. 76,000 1,113,875 *Sharper Image Corp.................................. 67,300 277,613 *Shaw Group, Inc..................................... 15,450 376,594 *Sheffield Medical Technologies, Inc................. 68,300 128,063 Shelby Williams Industries, Inc...................... 74,600 1,212,250 *Sheldahl, Inc....................................... 84,650 1,293,558 Shelter Components, Inc.............................. 52,608 914,064 *Sheridan Healthcare, Inc............................ 26,300 343,544 SHARES VALUE+ ---------- --------------- *Sherwood Group, Inc................................. 53,300 $ 659,588 *Shiloh Industries, Inc.............................. 111,500 2,104,563 *Sho Me Financial Corp............................... 400 19,000 *Shoe Carnival, Inc.................................. 85,000 780,938 *Sholodge, Inc....................................... 52,300 846,606 *Shoney's, Inc....................................... 204,000 892,500 Shoreline Financial Corp............................. 8,358 286,262 *Showscan Entertainment, Inc......................... 44,350 101,173 *Shuffle Master, Inc................................. 51,700 415,216 Sierrawest Bancorp................................... 6,410 201,114 Sifco Industries, Inc................................ 46,275 948,638 *Sight Resource Corp................................. 45,300 206,681 *Sigma Circuits, Inc................................. 15,200 118,275 *Sigma Designs, Inc.................................. 53,400 270,338 *Sigmatron International, Inc........................ 10,100 124,356 *#Signal Apparel Co., Inc. Class A................... 73,600 121,900 *Signal Technology Corp.............................. 62,000 325,500 *Signature Brands USA, Inc........................... 54,700 256,406 *Silicon Storage Technology, Inc..................... 92,000 327,750 *Siliconix, Inc...................................... 7,800 383,175 *#Silverado Foods, Inc............................... 12,800 8,800 Simmons First National Corp. Class A................. 13,650 482,442 Simpson Industries, Inc.............................. 126,900 1,467,281 *Simula, Inc......................................... 77,250 1,236,000 *Sirena Apparel Group, Inc........................... 17,100 63,056 *Sizzler International, Inc.......................... 218,400 641,550 Skaneateles Bancorp, Inc............................. 16,800 456,750 Skywest, Inc......................................... 87,300 2,127,938 *Smartflex Systems, Inc.............................. 22,200 220,613 *Smith Environmental Technologies Corp............... 700 8 *Sodak Gaming, Inc................................... 85,700 755,231 *#Softech, Inc....................................... 35,300 82,734 *Softnet Systems, Inc................................ 34,836 250,384 *#Software Spectrum, Inc............................. 36,100 485,094 *Somatogen, Inc...................................... 87,650 503,988 Somerset Group, Inc.................................. 312 6,006 *Somerset Savings Bank............................... 440 2,173 Sonesta International Hotels Corp. Class A........... 200 2,900 *Sonic Corp.......................................... 19,000 525,469 *Sonic Solutions..................................... 32,450 212,953 *Sonics & Materials, Inc............................. 1,000 2,563 *Sound Advice, Inc................................... 60,425 98,191 Southern California Water Co......................... 40,000 902,500 *Southern Energy Homes, Inc.......................... 127,125 1,195,770 *Southern Mineral Corp............................... 3,600 22,725 *Southwall Technologies, Inc......................... 74,600 592,138 Southwest Bancorp, Inc............................... 11,700 292,500 Southwest Bancshares, Inc. DE........................ 5,550 141,178 Southwest National Corp.............................. 6,000 309,000 Southwest Securities Group, Inc...................... 39,600 935,550 Southwest Water Co................................... 15,110 275,285 *Spacehab, Inc....................................... 19,000 195,938 *Spacelabs Medical, Inc.............................. 37,500 815,625 *Spacetec IMC Corp................................... 14,100 51,553 *Spaghetti Warehouse, Inc............................ 51,900 353,569 Span-American Medical System, Inc.................... 40,500 308,813 Spartan Motors, Inc.................................. 119,300 682,247 *Sparton Corp........................................ 69,200 709,300 *Spec's Music, Inc................................... 44,866 47,670 27
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THE U.S. 9-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ---------- --------------- *Special Devices, Inc................................ 29,200 $ 766,500 *Specialty Chemical Resources, Inc................... 37,800 40,163 *Specialty Teleconstructors, Inc..................... 19,600 285,425 *Spectran Corp....................................... 51,000 584,906 *Spectranetics Corp.................................. 114,702 430,133 *Spectrian Corp...................................... 42,600 870,638 *Spectrum Control, Inc............................... 68,800 365,500 *Speizman Industries, Inc............................ 28,900 180,625 *Spice Entertainment Companies, Inc.................. 71,600 271,856 *Spire Corp.......................................... 56,200 1,046,725 *Sport Chalet, Inc................................... 55,000 264,688 *Sport Supply Group, Inc............................. 40,700 320,513 *Sport-Haley, Inc.................................... 19,600 233,975 *#Sportmart, Inc..................................... 24,700 74,100 *Sportmart, Inc. Class A............................. 31,000 83,313 *Sports Club Co., Inc................................ 41,300 335,563 *#Spyglass, Inc...................................... 20,500 155,031 St. Francis Capital Corp............................. 24,400 942,450 St. Joseph Light & Power Co.......................... 52,500 885,938 *Staar Surgical Co................................... 79,175 1,380,614 *#Stac, Inc.......................................... 41,400 244,519 *Stacey's Buffet, Inc................................ 13,900 21,719 *Staff Builders, Inc. Class A........................ 86,000 235,156 *Staff Builders, Inc. Class B........................ 118,100 322,930 *Stage II Apparel Corp............................... 14,600 17,338 *Standard Commercial Corp............................ 52,176 906,558 *Standard Management Corp............................ 23,565 163,482 *Standard Microsystems Corp.......................... 73,900 801,353 Standard Motor Products, Inc. Class A................ 45,600 897,750 *Stanford Telecommunications, Inc.................... 108,100 2,405,225 *Stanley Furniture, Inc.............................. 17,700 486,750 *Star Multi Care Services, Inc....................... 16,729 96,192 *Starcraft Corp...................................... 16,500 44,344 *Starmet Corp........................................ 126,100 3,341,650 Starret Corp......................................... 102,300 1,227,600 Starrett (L.S.) Co. Class A.......................... 13,500 519,750 *Starter Corp........................................ 85,400 288,225 State Financial Services Corp. Class A............... 4,400 115,500 *State of the Art, Inc............................... 48,300 733,556 *Steck-Vaughn Publishing Corp........................ 33,900 507,441 *Steel of West Virginia, Inc......................... 50,700 494,325 Steel Technologies, Inc.............................. 48,900 556,238 Stepan Co............................................ 51,700 1,441,138 Stephan Co........................................... 24,100 307,275 Sterling Bancorp..................................... 150,400 3,299,400 Sterling Bancshares.................................. 61,375 1,179,551 *Sterling Electronics Corp........................... 55,455 1,150,691 *Sterling Financial Corp. WA......................... 25,250 538,141 *#Sterling Vision, Inc............................... 52,300 379,175 *Stevens International, Inc. Class A................. 59,800 71,013 Stewart Information Services Corp.................... 25,550 691,447 Stifel Financial Corp................................ 16,394 235,664 *Stimsonite Corp..................................... 49,800 256,781 *Stokely USA, Inc.................................... 92,200 70,591 *Storage Computer Corp............................... 71,292 481,221 *Stormedia, Inc. Class A............................. 14,400 53,550 *#Stratasys, Inc..................................... 17,600 235,400 *Strategic Diagnostics, Inc.......................... 48,000 103,500 *Strategic Distribution, Inc......................... 254,048 1,222,606 *Strattec Security Corp.............................. 17,000 425,000 SHARES VALUE+ ---------- --------------- Strawbridge and Clothier Liquidating Trust........... 5,200 $ 47,128 *Strouds, Inc........................................ 72,800 143,325 *Stuart Entertainment, Inc........................... 20,100 49,622 *#Submicron Systems Corp............................. 102,700 311,309 *Substance Abuse Technologies, Inc................... 91,400 777 *Successories, Inc................................... 24,200 161,081 Suffolk Bancorp...................................... 17,800 551,800 *Sugen, Inc.......................................... 74,800 1,047,200 *Sulcus Computer Corp................................ 78,600 240,713 *Summa Four, Inc..................................... 43,300 506,069 *Summa Industries, Inc............................... 200 1,963 Summit Bancshares, Inc............................... 11,500 428,375 *Summit Care Corp.................................... 40,900 649,288 *Summitt Medical Systems, Inc........................ 89,300 248,366 *Sun City Industries, Inc............................ 150 131 *Sun Coast Industries, Inc........................... 33,000 165,000 *Sun Television and Appliances, Inc.................. 147,300 333,727 *Sunair Electronics, Inc............................. 33,900 88,988 *Sunbelt Nursery Group, Inc.......................... 6,800 6,800 *Sundance Homes, Inc................................. 50,000 62,500 *Sunrise Resources, Inc.............................. 35,300 103,694 *Superconductor Technologies, Inc.................... 33,950 93,363 *Supergen, Inc....................................... 400 6,600 *#Superior Energy Services, Inc...................... 68,000 720,375 *Superior National Insurance Group, Inc.............. 8,400 119,175 Superior Surgical Manufacturing Co., Inc............. 90,100 1,362,763 *Supertex, Inc....................................... 177,300 2,205,169 *Suprema Specialties, Inc............................ 37,300 121,225 *Supreme Industries, Inc............................. 64,527 580,743 *Supreme International Corp.......................... 28,650 333,056 *Surety Capital Corp................................. 23,250 148,219 *Surgical Laser Technologies, Inc.................... 54,500 103,891 *Swing-n-Slide Corp.................................. 24,194 101,312 *Swisher International, Inc.......................... 8,500 75,969 *Swiss Army Brands, Inc.............................. 65,500 671,375 *Sybron Chemicals, Inc............................... 33,200 1,064,475 *Sylvan, Inc......................................... 54,800 760,350 *Symetrics Industries, Inc........................... 4,400 24,613 *Symix Systems, Inc.................................. 48,200 716,975 *Symmetricom, Inc.................................... 136,600 1,750,188 *Syms Corp........................................... 75,900 877,594 Synalloy Corp. DE.................................... 89,158 1,331,798 *Synaptic Pharmaceutical Corp........................ 65,700 823,303 *Synbiotics Corp..................................... 34,200 115,959 *Syncor International Corp. DE....................... 60,900 970,594 *Syntellect, Inc..................................... 114,200 242,675 *Synthetech, Inc..................................... 29,100 157,322 *#Syquest Technology, Inc............................ 277,600 906,538 *Systemsoft Corp..................................... 111,400 807,650 *T Cell Sciences, Inc................................ 142,300 329,069 *T-Netix, Inc........................................ 30,200 294,450 *TBC Corp............................................ 135,000 1,375,313 TCBY Enterprises, Inc................................ 80,300 506,894 *TCC Industries, Inc................................. 23,800 99,663 *TCI International, Inc.............................. 32,060 186,349 *TCI Music, Inc. Class A............................. 51,450 385,875 *TCSI Corp........................................... 110,000 684,063 *TESSCO Technologies, Inc............................ 15,800 353,525 TF Financial Corp.................................... 3,100 85,250 28
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THE U.S. 9-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ---------- --------------- *TFC Enterprises, Inc................................ 101,000 $ 132,563 *TII Industries, Inc................................. 35,620 208,154 *TII Industries, Inc. Class B........................ 13,440 77,280 *#TMBR/Sharp Drilling, Inc........................... 21,900 475,641 *TRC Companies, Inc.................................. 60,400 234,050 *TRM Copy Centers Corp............................... 61,000 579,500 *#TRO Learning, Inc.................................. 28,200 183,300 TSI, Inc. MN......................................... 93,200 926,175 *#TSR, Inc........................................... 102,000 1,555,500 *TST/Impreso, Inc.................................... 16,100 152,950 Tab Products Co. DE.................................. 41,750 605,375 *Taco Cabana, Inc.................................... 134,700 690,338 *Talley Industries, Inc.............................. 89,700 1,059,581 *Tandy Brand Accessories, Inc........................ 55,977 818,664 *Tandy Crafts, Inc................................... 138,200 621,900 *Tanknology Environmental, Inc....................... 19,800 38,053 *Targeted Genetics Corp.............................. 134,000 422,938 Tasty Baking Co...................................... 53,200 1,250,200 *Team, Inc........................................... 44,400 160,950 *Tech-Sym Corp....................................... 67,300 2,040,031 Tech/Ops Sevcon, Inc................................. 61,400 840,413 *Techdyne, Inc....................................... 7,300 26,919 Teche Holding Co..................................... 1,100 24,063 *Techforce Corp...................................... 9,100 64,553 *#Technical Chemicals & Products, Inc................ 42,000 543,375 *Technical Communications Corp....................... 7,300 58,400 Technology Research Corp............................. 25,800 85,463 *Technology Service Group, Inc....................... 21,000 127,313 *Tegal Corp.......................................... 36,700 267,222 *Telco Systems, Inc.................................. 88,300 877,481 *Telcom Semiconductor, Inc........................... 108,200 889,269 *#Telemundo Group, Inc. Class A...................... 26,500 1,098,094 *Teltrend, Inc....................................... 6,000 100,875 *#Telular Corp....................................... 70,300 195,522 Telxon Corp.......................................... 45,000 1,108,125 *Temtex Industries, Inc.............................. 34,100 103,366 *Tetra Technologies, Inc............................. 20,100 471,094 *Texas Biotechnology Corp............................ 111,000 672,938 *Texas Micro, Inc.................................... 72,900 350,831 Texas Regional Banchshares, Inc. Class A............. 6,600 182,325 *Texfi Industries, Inc............................... 75,200 390,100 *Thackeray Corp...................................... 74,700 266,119 *Theratech, Inc. UT.................................. 82,600 833,744 *Thermo Fibergen, Inc................................ 13,500 128,250 *Thermo Power Corp................................... 105,100 959,038 Thermo Remediation, Inc.............................. 71,600 447,500 *Thermo Sentron, Inc................................. 71,900 790,900 *Thermo Terratech, Inc............................... 75,800 660,881 *#Thermo Voltek Corp................................. 120,450 760,341 *Thermospectra Corp.................................. 21,500 201,563 *Thermwood Corp...................................... 4,600 10,350 *Thomas Group, Inc................................... 50,800 606,425 Thomaston Mills, Inc................................. 11,400 99,750 Thor Industries, Inc................................. 26,800 845,875 *Thoratec Laboratories Corp.......................... 7,200 36,900 *Thorn Apple Valley, Inc............................. 49,900 701,719 *Three-Five Systems, Inc............................. 33,100 659,931 Timberline Software Corp............................. 28,281 399,473 *Tipperary Corp...................................... 54,300 278,288 *#Titan Corp......................................... 138,200 889,663 Titan Holdings, Inc.................................. 77,264 1,632,202 SHARES VALUE+ ---------- --------------- Toastmaster, Inc..................................... 39,600 $ 207,900 *#Today's Man, Inc................................... 63,600 172,913 *Todd Shipyards Corp................................. 38,600 173,700 Todd-AO Corp. Class A................................ 12,100 120,244 *Toddhunter International, Inc....................... 48,000 490,500 *Tokheim Corp........................................ 64,800 1,219,050 *Tollgrade Communications, Inc....................... 4,500 107,156 Tompkins County Trustco, Inc......................... 220 9,020 *#Top Source Technologies, Inc....................... 68,500 102,750 *Topps, Inc.......................................... 273,600 709,650 *Tops Appliance City, Inc............................ 27,900 32,259 *Toreador Royalty Corp............................... 41,700 172,013 *Torotel, Inc........................................ 24,235 19,691 *Total-Telephone USA Communications, Inc............. 10,200 297,713 *#Touchstone Software Corp........................... 18,200 48,913 *Tower Air, Inc...................................... 129,000 653,063 *Tractor Supply Co................................... 68,500 1,087,438 *Trak Auto Corp...................................... 92,000 1,150,000 *Trans World Entertainment Corp...................... 80,000 2,865,000 *Transact Technologies, Inc.......................... 39,496 593,674 *Transaction Network Services, Inc................... 102,900 1,775,025 *Transcend Services, Inc............................. 43,800 126,609 *Transfinancial Holdings, Inc........................ 25,800 241,875 *Transition Analysis Component Technology............ 2,538 16,656 *Transmation, Inc.................................... 7,600 58,900 Transmedia Network, Inc.............................. 43,850 274,063 *TransNet Corp....................................... 29,200 78,475 *Transport Industries, Inc........................... 1,000 10,875 Transport Leasing International, Inc................. 14,800 144,300 #Transport Lux Corp.................................. 14,245 196,759 *Transpro, Inc....................................... 5,000 45,000 Transtechnology Corp................................. 99,100 2,675,700 *Transwitch Corp..................................... 102,000 969,000 *Transworld Healthcare, Inc.......................... 47,650 357,375 Tranzonic Companies Class A.......................... 66,850 1,884,334 *#Travel Ports of America, Inc....................... 25,440 97,785 Treadco, Inc......................................... 43,900 447,231 *Trega Biosciences, Inc.............................. 62,400 228,150 *Trend-Lines, Inc. Class A........................... 50,650 371,961 *Trescom International, Inc.......................... 19,500 187,688 *Tri-Lite, Inc....................................... 109 0 *Triad Guaranty, Inc................................. 47,600 1,386,350 *Triad Park L.L.C.................................... 111,100 141,097 Triangle Bancorp, Inc................................ 32,600 902,613 Trico Bancshares..................................... 4,700 131,894 *Tricord Systems, Inc................................ 81,000 64,547 *Trident Microsystems, Inc........................... 98,400 1,122,375 *Trident Rowan Group, Inc............................ 7,000 33,688 *Tridex Corp......................................... 44,300 227,038 *#Trikon Technologies, Inc........................... 13,000 28,031 *Trimark Holdings, Inc............................... 6,400 36,000 *Trimedyne, Inc...................................... 48,800 112,850 *Trinitec Systems, Inc. Class A...................... 35,600 213,600 Trion, Inc........................................... 67,550 291,309 *Triple S Plastics, Inc.............................. 7,800 54,113 *Tripos, Inc......................................... 12,200 184,525 *Triquint Semiconductor, Inc......................... 52,200 1,045,631 *Trism, Inc.......................................... 35,900 145,844 *Tristar Corp........................................ 3,300 35,063 *Truevision, Inc..................................... 102,700 343,403 29
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THE U.S. 9-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ---------- --------------- *Trump Hotels & Casino Resorts, Inc.................. 31,900 $ 278,128 *Tseng Laboratories, Inc............................. 76,200 154,781 *Tuesday Morning Corp................................ 54,000 1,346,625 *Tultex Corp......................................... 123,800 557,100 *Turner Corp......................................... 43,900 1,015,188 Tuscarora, Inc....................................... 36,650 687,188 Twin Disc, Inc....................................... 41,200 1,333,850 *Tyler Corp.......................................... 152,800 783,100 U.S. Bancorp, Inc.................................... 11,525 746,263 *U.S. Bioscience, Inc................................ 18,000 166,500 *U.S. China Industrial Exchange, Inc................. 2,400 7,200 *U.S. Diagnostic, Inc................................ 73,900 321,003 *UFP Technologies, Inc............................... 6,700 27,009 UNR Industries, Inc.................................. 169,000 876,688 *URS Corp............................................ 75,986 1,215,776 *US Can Corp......................................... 89,300 1,473,450 *#US Servis, Inc..................................... 23,500 66,094 *US Xpress Enterprises, Inc. Class A................. 9,000 196,313 *#USA Detergents, Inc................................ 20,800 221,000 *USA Truck, Inc...................................... 5,600 70,000 *USANA, Inc.......................................... 2,600 47,125 *USCI, Inc........................................... 59,400 400,950 *USData Corp......................................... 35,900 151,453 *USLD Communications Corp............................ 52,400 1,090,575 USX-Delhi Group...................................... 80,000 1,570,000 *UTI Energy Corp..................................... 18,400 515,200 *Ultimate Electronics, Inc........................... 41,200 136,475 *Ultra Pacific, Inc.................................. 16,200 161,494 *Ultradata Corp...................................... 18,000 69,750 *Ultradata Systems, Inc.............................. 11,400 75,169 *#Ultrafem, Inc...................................... 62,400 234,000 *Ultrak, Inc......................................... 65,000 733,281 *#Ultralife Batteries, Inc........................... 33,400 482,213 *#Unapix Entertainment, Inc.......................... 28,200 130,425 Uni-Marts, Inc....................................... 64,600 290,700 Unico American Corp.................................. 117,600 1,447,950 *UniComp, Inc........................................ 38,200 374,838 Unifirst Corp........................................ 16,900 436,231 *Uniflex, Inc........................................ 16,150 100,938 Uniforce Temporary Personnel, Inc.................... 72,200 2,274,300 *Unify Corp.......................................... 13,300 34,497 *Unigene Laboratories, Inc........................... 204,400 657,913 *Unilab Corp......................................... 600 1,013 *Unimark Group, Inc.................................. 42,400 192,125 *Unimed Pharmaceuticals, Inc......................... 35,700 303,450 *Union Acceptance Corp. Class A...................... 16,900 94,534 *Union Corp. DE...................................... 20,700 521,381 *Unique Casual Restaurants, Inc...................... 42,267 290,586 *Unique Mobility, Inc................................ 58,100 493,850 *Uniroyal Technology Corp............................ 112,900 624,478 *Unison Software, Inc................................ 85,500 1,298,531 *Unit Corp........................................... 155,400 1,699,688 *Unit Instruments, Inc............................... 35,680 361,260 *United American Healthcare Corp.,................... 53,850 154,819 *United Capital Corp................................. 50,754 1,230,785 United Financial Corp. MN............................ 700 18,288 *United Foods, Inc. Class A.......................... 1,496 3,927 *United Foods, Inc. Class B.......................... 13,166 36,207 United Guardian, Inc................................. 41,020 235,865 United Industrial Corp............................... 102,800 1,130,800 United National Bancorp.............................. 35,427 912,245 *United Retail Group, Inc............................ 51,200 192,000 SHARES VALUE+ ---------- --------------- *United States Energy Corp........................... 54,470 $ 541,296 United States Lime & Minerals, Inc................... 14,300 116,188 *Unitel Video, Inc................................... 23,200 165,300 Unitil Corp.......................................... 39,552 865,200 Unitog Co............................................ 5,850 131,625 *Universal American Financial Corp................... 3,200 9,200 *Universal Electronics, Inc.......................... 25,000 262,500 Universal Forest Products, Inc....................... 125,700 1,901,213 *Universal Hospital Services, Inc.................... 46,300 685,819 *Universal International, Inc........................ 15,700 40,967 *Universal Seismic Association, Inc.................. 17,800 30,038 *Universal Stainless & Alloy Products, Inc........... 25,100 371,794 *Universal Standard Medical Labs, Inc................ 27,300 76,781 *University Genetics Co. Class A..................... 76,100 0 *Uno Restaurant Corp................................. 231,491 1,475,755 Upper Peninsula Energy Corp.......................... 20,400 494,700 *Uranuim Resources, Inc.............................. 98,100 469,041 *Urban Outfitters, Inc............................... 46,000 816,500 *Urocor, Inc......................................... 23,800 177,756 *Urogen Corp. (Restricted)........................... 28,200 0 *Urologix, Inc....................................... 25,700 512,394 *#Uromed Corp........................................ 91,300 453,647 *Utah Medical, Inc................................... 34,900 274,838 *Utilx Corp.......................................... 144,800 918,575 *V Band Systems, Inc................................. 5,300 7,784 *V Mark Software, Inc................................ 35,464 316,960 *VTEL Corp........................................... 83,406 603,390 *Valence Technology, Inc............................. 170,100 1,116,281 *Vallen Corp......................................... 61,400 1,239,513 Valley Forge Corp.................................... 3,525 52,655 Valley Resources, Inc................................ 36,687 405,850 *Value City Department Stores, Inc................... 11,700 88,481 *Valuevision International, Inc. Class A............. 117,600 474,075 *Vans, Inc........................................... 89,500 1,440,391 *#Vari L Co., Inc.................................... 17,600 173,800 *Variflex, Inc....................................... 51,100 300,213 Varlen Corp.......................................... 46,692 1,278,194 *Vaughn Communications, Inc.......................... 28,100 172,113 *Vectra Banking Corp................................. 20,200 537,194 *Vectra Technologies, Inc............................ 34,500 2,070 *Ventana Medical Systems, Inc........................ 78,500 1,202,031 *Venture Stores, Inc................................. 153,800 240,313 *Venturian Corp...................................... 14,000 140,000 *Verilink Corp....................................... 5,000 32,969 *Verity, Inc......................................... 82,900 406,728 Vermont Financial Services Corp...................... 35,826 989,693 *Vermont Teddy Bear, Inc............................. 15,500 19,859 *Versar, Inc......................................... 46,100 242,025 *Versatility, Inc.................................... 1,000 5,719 *Vertex Communications Corp.......................... 43,300 1,060,850 *Veterinary Centers of America, Inc.................. 18,000 228,375 *Viatel, Inc......................................... 80,000 510,000 *Vical, Inc.......................................... 89,700 1,244,588 *Vicon Industries, Inc............................... 46,250 335,313 *Vicorp Restaurants, Inc............................. 64,300 1,008,706 *Vidamed, Inc........................................ 72,000 414,000 *Video Display Corp.................................. 41,750 383,578 *Video Lottery Technologies, Inc..................... 49,000 560,438 *Video Services Corp................................. 5,000 15,156 30
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THE U.S. 9-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ---------- --------------- *Video Update, Inc................................... 153,900 $ 408,797 *Videonics, Inc...................................... 5,400 30,038 *Vidioserver, Inc.................................... 51,800 777,000 *View Technology, Inc................................ 26,000 175,500 *Viewlogic Systems, Inc.............................. 10,200 269,981 *Vimrx Pharmaceuticals, Inc.......................... 44,500 98,039 Virco Manufacturing Corp............................. 103,990 2,482,761 Virginia Beach Federal Financial Corp................ 87,950 1,467,666 Virginia First Financial Corp........................ 21,570 539,250 *#Vision Sciences, Inc............................... 23,250 34,875 *Visioneer, Inc...................................... 104,200 371,213 Vital Signs, Inc..................................... 101,500 2,023,656 *Vitalcom, Inc....................................... 59,000 303,297 *#Vivid Technologies, Inc............................ 19,000 298,063 *Vodavi Technology, Inc.............................. 6,000 30,188 *Voice Control Systems, Inc.......................... 33,400 121,075 #Vulcan International Corp........................... 10,951 428,458 *WCI Steel, Inc. (Escrow)............................ 194,000 0 *#WHX Corp........................................... 18,000 212,625 WLR Foods, Inc....................................... 30,340 273,060 *WPI Group, Inc...................................... 27,250 204,375 *WSFS Financial Corp................................. 12,200 241,713 *#WSMP, Inc.......................................... 2,375 57,891 *WTD Industries, Inc................................. 51,740 113,181 Wackenhut Corp. Class A.............................. 26,897 581,648 Wackenhut Corp. Class B Non-Voting................... 91,592 1,814,667 *Wainoco Oil Corp.................................... 209,300 1,465,100 Wainwright Bank & Trust Co........................... 200 2,100 #Walbro Corp......................................... 36,400 525,525 *Walker Interactive Systems, Inc..................... 109,000 1,423,813 *Wall Data, Inc...................................... 79,050 1,289,503 *Wall Street Deli, Inc............................... 13,200 49,088 *Walsh International, Inc............................ 5,800 51,838 Walshire Assurance Co................................ 36,963 418,144 *Wandel & Goltermann Technologies, Inc............... 19,600 243,775 *Warrantech Corp..................................... 55,800 652,163 Warren Bancorp, Inc.................................. 81,400 1,663,613 *Washington Homes, Inc............................... 59,600 230,950 Washington Savings Bank FSB Waldorf, MD.............. 28,912 213,226 Waters Instruments, Inc.............................. 500 3,344 Watkins-Johnson Co................................... 21,600 675,000 *Wave Technologies International, Inc................ 14,900 120,364 *#Wavephore, Inc..................................... 64,400 601,738 Waverly, Inc......................................... 62,200 2,643,500 *Waxman Industries, Inc.............................. 50,400 189,000 *Waxman Industries, Inc. Class B..................... 9,750 36,563 *Webco Industries, Inc............................... 21,350 152,119 *Weirton Steel Corp.................................. 179,900 528,456 *Wellcare Management Group, Inc...................... 15,700 45,138 Wellco Enterprises, Inc.............................. 12,300 176,813 *Wells-Gardner Electronics Corp...................... 35,000 203,438 West Coast Bancorp................................... 24,150 636,956 *West Coast Entertainment Corp....................... 71,000 124,250 *#Westbridge Capital Corp............................ 33,700 23,169 Westco Bancorp, Inc.................................. 1,600 43,400 SHARES VALUE+ ---------- --------------- *Westerbeke Corp..................................... 20,000 $ 85,000 Westerfed Financial Corp............................. 21,800 518,431 *Western Beef, Inc................................... 42,386 323,193 *#Western Pacific Airlines, Inc...................... 35,100 14,259 *Western Staff Services, Inc......................... 29,300 487,113 *Western Water Co.................................... 39,900 508,725 *Weston (Roy F.), Inc. Class A....................... 28,100 116,352 *Whitehall Corp...................................... 123,200 2,094,126 *Whitman Education Group, Inc........................ 118,100 760,269 *Whittaker Corp...................................... 88,800 804,750 *Wickes Lumber Co.................................... 53,500 193,938 *Williams Clayton Energy, Inc........................ 50,000 803,125 *Williams Controls, Inc.............................. 61,900 142,177 *Wilshire Financial Services Group, Inc.............. 19,900 547,250 Wilshire Oil Co. of Texas............................ 138,811 789,488 Winnebago Industries, Inc............................ 132,100 1,015,519 *Winsloew Furniture, Inc............................. 20,700 305,325 *Winston Resources, Inc.............................. 3,900 22,669 Wireless Telecom Group, Inc.......................... 149,200 1,072,375 Wiser Oil Co......................................... 56,500 861,625 Wolf (Howard B.), Inc................................ 6,000 36,375 Wolohan Lumber Co.................................... 47,700 626,063 *Wonderware Corp..................................... 87,600 1,606,913 Woodhead Industries, Inc............................. 176,550 3,365,484 *Workgroup Technology Corp........................... 27,200 97,750 *World Acceptance Corp............................... 174,000 913,500 *#World Airways, Inc................................. 16,000 125,500 World Fuel Services Corp............................. 55,147 1,551,009 *Worldcorp, Inc...................................... 136,000 153,000 *Worldtex, Inc....................................... 141,800 1,205,300 Worthington Foods, Inc............................... 67,066 1,542,518 *Wyant Corp.......................................... 500 3,313 *Xcellent, Inc....................................... 25,100 315,319 *Xeta Corp........................................... 2,000 43,125 *Xetel Corp.......................................... 13,400 54,856 *Xicor, Inc.......................................... 79,700 386,047 *Xircom, Inc......................................... 10,100 107,944 *Xoma Corp........................................... 113,000 775,109 *Xpedite Systems, Inc................................ 36,100 967,931 Yankee Energy Systems, Inc........................... 400 9,513 Yardville National Bancorp........................... 6,600 220,275 *#Yes Entertainment Corp............................. 28,600 41,113 York Financial Corp.................................. 37,006 964,475 *York Research Corp.................................. 62,000 490,188 *Youth Services International, Inc................... 65,500 949,750 *Zaring National Corp................................ 19,800 186,863 *Zemex Corp.......................................... 51,413 488,424 Ziegler Co., Inc..................................... 500 10,688 *Zila, Inc........................................... 6,435 40,420 *Zing Technologies, Inc.............................. 12,700 121,444 *Zitel Corp.......................................... 12,000 134,625 *Zoll Medical Corp................................... 50,500 349,555 *Zoran Corp.......................................... 25,500 435,094 *Zygo Corp........................................... 33,700 722,444 *Zytec Corp.......................................... 37,300 969,800 --------------- TOTAL COMMON STOCKS (Cost $1,112,848,600).............. 1,489,400,848 --------------- 31
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THE U.S. 9-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ---------- --------------- RIGHTS/WARRANTS -- (0.0%) *Amvestors Financial Corp. Warrants Class A 04/02/02........................................... 5,588 $ 45,403 *Buell Industries, Inc. Contingent Payment Rights.... 59,800 0 *Fusion Systems Corp. Contingent Payment Rights 03/31/99........................................... 26,400 28,463 *National Mercantile Bancorp Warrants 06/02/99....... 50 0 *PC Quote, Inc. Rights 12/19/97...................... 54,100 112,771 *Today's Man, Inc. Rights 12/05/97................... 47,700 0 *Xytronyx, Inc. Warrants 08/11/01.................... 492 0 --------------- TOTAL RIGHTS/WARRANTS (Cost $69,156)................... 186,637 --------------- PREFERRED STOCKS -- (0.0%) *Fonar Corp. Class A (Cost $0)....................... 34,390 0 --------------- FACE AMOUNT ---------- (000) TEMPORARY CASH INVESTMENTS -- (2.5%) Repurchase Agreement, PNC Capital Markets Inc. 5.45%, 12/01/97 (Collateralized by U.S. Treasury Notes 6.25%, 07/31/98, valued at $38,006,719) to be repurchased at $37,457,004. (Cost $37,440,000)..... $ 37,440 37,440,000 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,150,357,756)++.............................. $ 1,527,027,485 --------------- --------------- -------------------- +See Note B to Financial Statements. *Non-Income Producing Securities #Total or Partial Securities on Loan ++The cost for federal income tax purposes is $1,151,311,005. See accompanying Notes to Financial Statements. 32
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SCHEDULES OF INVESTMENTS THE U.S. 6-10 SMALL COMPANY PORTFOLIO NOVEMBER 30, 1997 [Enlarge/Download Table] SHARES VALUE+ ------------- ---------------- Investment in The U.S. 6-10 Small Company Series of The DFA Investment Trust Company....... 24,456,741 $ 338,105,164 ---------------- Total Investments (100%) (Cost $235,193,064)++......................................... $ 338,105,164 ---------------- ---------------- -------------- ++The cost for federal income tax purposes is $236,907,235.  THE U.S. LARGE COMPANY PORTFOLIO NOVEMBER 30, 1997 [Enlarge/Download Table] VALUE+ ---------------- Investment in The U.S. Large Company Series of The DFA Investment Trust Company.............. $ 343,544,108 ---------------- Total Investments (100%) (Cost $223,539,451)++........................................... $ 343,544,108 ---------------- ---------------- -------------- ++The cost for federal income tax purposes is $224,936,543.  THE ENHANCED U.S. LARGE COMPANY PORTFOLIO NOVEMBER 30, 1997 [Enlarge/Download Table] SHARES VALUE+ ------------- -------------- Investment in The Enhanced U.S. Large Company Series of The DFA Investment Trust Company... 3,791,304 $ 47,616,211 -------------- Total Investments (100%) (Cost $41,060,537)++.......................................... $ 47,616,211 -------------- -------------- -------------- ++Approximates cost for federal income tax purposes.  THE U.S. 6-10 VALUE PORTFOLIO NOVEMBER 30, 1997 [Enlarge/Download Table] SHARES VALUE+ ------------- ------------------ Investment in The U.S. 6-10 Value Series of The DFA Investment Trust Company............... 99,478,673 $ 2,099,208,823 ------------------ Total Investments (100%) (Cost $1,396,176,298)++....................................... $ 2,099,208,823 ------------------ ------------------ -------------- ++The cost for federal income tax purposes is $1,398,838,397.  THE U.S. LARGE CAP VALUE PORTFOLIO NOVEMBER 30, 1997 [Enlarge/Download Table] SHARES VALUE+ ------------- ---------------- Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company............................................................................ 46,451,172 $ 840,114,346 ---------------- Total Investments (100%) (Cost $604,893,770)++......................................... $ 840,114,346 ---------------- ---------------- -------------- ++The cost for federal income tax purposes is $606,745,914. -------------- +See Note B to Financial Statements. See accompanying Notes to Financial Statements. 33
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THE DFA REAL ESTATE SECURITIES PORTFOLIO SCHEDULE OF INVESTMENTS NOVEMBER 30, 1997 [Download Table] SHARES VALUE+ ------------ ------------ COMMON STOCKS -- (99.0%) AMLI Residential Properties Trust.................... 15,900 $ 365,700 Agree Realty Corp.................................... 4,300 90,300 Alexandria Real Estate Equities, Inc................. 100 3,112 Ambassador Apartments................................ 3,700 73,769 American General Hospitality Corp.................... 12,100 328,212 *American Industrial Properties...................... 2,000 27,000 American Real Estate Investment Corp................. 1,600 24,100 American Realty Trust, Inc........................... 15,300 224,241 Apartment Investment & Management Co. Class A........ 28,800 1,018,800 Arbor Property Trust................................. 15,400 165,550 Arden Realty Group, Inc.............................. 29,000 882,687 Associated Estates Realty Corp....................... 16,700 376,794 Avalon Properties, Inc............................... 37,500 1,153,125 BRE Properties, Inc. Class A......................... 36,060 1,036,725 Bay Apartment Communities, Inc....................... 20,100 802,744 Beacon Properties Corp............................... 54,300 2,443,500 Bedford Property Investors, Inc...................... 10,950 223,791 Berkshire Realty Co.................................. 25,200 286,650 Boddie-Noell Properties, Inc......................... 3,000 43,312 Boston Properties, Inc............................... 32,900 1,073,362 Boykin Lodging Trust, Inc............................ 9,300 241,219 Bradley Real Estate, Inc............................. 21,355 432,439 Brandywine Realty Trust.............................. 17,200 416,025 Burnham Pacific Properties, Inc...................... 23,000 329,187 CBL & Associates Properties, Inc..................... 23,500 565,469 Cali Realty Corp..................................... 40,500 1,607,344 Camden Property Trust................................ 26,180 855,759 *Capital Trust Class A............................... 8,900 108,469 Carramerica Realty Corp.............................. 56,100 1,690,012 Centerpoint Properties Corp.......................... 18,500 612,812 Chateau Communities, Inc............................. 24,776 755,668 Chelsea GCA Realty, Inc.............................. 13,600 516,800 *Clevetrust Realty Investors......................... 5,800 8,337 Colonial Properties Trust............................ 20,400 585,225 Commercial Net Lease Realty, Inc..................... 23,000 370,875 Cornerstone Properties, Inc.......................... 42,000 811,125 Cousins Properties, Inc.............................. 28,700 868,175 Crescent Real Estate Equities, Inc................... 99,400 3,826,900 Crown American Realty Trust.......................... 27,200 243,100 Developers Diversified Realty Corp................... 25,700 1,000,694 Duke Realty Investments, Inc......................... 62,000 1,426,000 *EQK Realty Investors................................ 7,000 7,000 Eastgroup Properties, Inc............................ 13,177 283,305 Equity Inns, Inc..................................... 31,000 470,812 *#Equity Office Properties Trust..................... 124,400 4,035,225 Equity Residential Properties Corp................... 68,853 3,442,650 Essex Property Trust................................. 13,600 491,300 Evans Withycombe Residential, Inc.................... 19,900 495,012 Excel Realty Trust, Inc.............................. 18,500 564,250 *FAC Realty, Inc..................................... 12,000 87,000 Federal Realty Investment Trust...................... 38,300 964,681 Felcor Suite Hotels, Inc............................. 32,200 1,169,262 First Industrial Realty Trust, Inc................... 29,600 1,045,250 First Union Real Estate Equity & Mortgage Investments........................................ 27,300 406,087 First Washington Realty Trust, Inc................... 5,100 128,456 SHARES VALUE+ ------------ ------------ Franklin Select Realty Trust Class A................. 12,100 $ 80,162 Gables Residential Trust............................. 19,100 519,281 General Growth Properties............................ 34,300 1,264,812 Glenborough Realty Trust, Inc........................ 17,800 480,600 Glimcher Realty Trust................................ 21,500 471,656 *HMG Courtland Properties, Inc....................... 1,100 6,531 HRE Properties, Inc.................................. 5,000 91,250 Haagen (Alexander) Properties, Inc................... 4,700 81,662 Highwood Properties, Inc............................. 35,200 1,265,000 Home Properties of New York, Inc..................... 6,800 180,625 Horizon Group, Inc................................... 23,400 277,875 Hospitality Properties Trust......................... 32,000 1,138,000 IRT Property Co...................................... 31,400 378,762 Innkeepers USA Trust................................. 28,200 452,962 Irvine Apartment Communities, Inc.................... 24,500 761,031 JDN Realty Corp...................................... 15,200 472,150 JP Realty, Inc....................................... 17,300 432,500 Jameson Inns, Inc.................................... 9,600 111,300 Kimco Realty Corp.................................... 35,600 1,223,750 Koger Equity, Inc.................................... 20,700 432,112 Kranzco Realty Trust, Inc............................ 10,200 194,438 Lexington Corp. Properties, Inc...................... 11,200 163,100 Liberty Property Trust............................... 38,700 1,081,181 MGI Properties....................................... 13,400 310,713 Macerich Co.......................................... 25,400 688,975 #Malan Realty Investors, Inc......................... 3,400 61,200 Manufactured Home Communities, Inc................... 24,500 667,625 Mark Centers Trust................................... 10,000 90,000 Merry Land & Investment Co., Inc..................... 37,500 878,906 Mid-America Apartment Communities, Inc............... 13,200 364,650 Mid-America Realty Investments, Inc.................. 8,200 84,050 Mid-Atlantic Realty Trust............................ 7,800 107,250 *Milestone Properties, Inc........................... 3,300 2,063 Mills Corp........................................... 21,900 606,356 Monmouth Real Estate Investment Corp. Class A........ 3,700 23,009 National Golf Properties, Inc........................ 11,000 349,250 New Plan Realty Trust................................ 57,700 1,399,225 Oasis Residential, Inc............................... 16,000 349,000 *Pacific Gateway Properties, Inc..................... 3,800 19,238 Pacific Gulf Properties, Inc......................... 14,000 313,250 Parkway Properties, Inc.............................. 5,650 186,097 Patriot American Hospitality, Inc.................... 42,300 1,321,875 Pennsylvania Real Estate Investment Trust............ 7,800 186,713 Post Properties, Inc................................. 29,670 1,146,004 Prentiss Properties Trust............................ 25,800 667,575 Price Real Estate Investment Trust, Inc. Class B..... 10,500 414,750 Prime Retail, Inc.................................... 28,800 415,800 Property Capital Trust............................... 9,300 36,038 Public Storage Properties XI, Inc. Class A........... 1,600 36,000 Public Storage Properties XX, Inc. Class A........... 800 16,800 Public Storage, Inc.................................. 93,596 2,585,590 RFS Hotel Investors, Inc............................. 23,900 454,100 34
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THE DFA REAL ESTATE SECURITIES PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------------ ------------ Realty Income Corp................................... 22,600 $ 591,838 Reckson Associates Realty Corp....................... 33,700 895,156 Regency Realty Corp.................................. 19,500 517,969 Saul Centers, Inc.................................... 12,100 213,263 Security Capital Atlantic, Inc....................... 40,300 871,488 Security Capital Industrial Trust.................... 97,300 2,450,744 Security Capital Pacific Trust....................... 71,400 1,735,913 Shurgard Storage Centers, Inc. Class A............... 27,200 749,700 Simon Debartolo Group, Inc........................... 92,648 3,028,432 Sizeler Property Investors, Inc...................... 8,200 81,488 Smith (Charles E.) Residential Realty, Inc........... 11,800 407,100 Sovran Self Storage, Inc............................. 10,900 332,450 Spieker Properties, Inc.............................. 38,700 1,572,188 #Starwood Lodging Trust.............................. 44,550 2,388,994 Storage Trust Realty................................. 12,100 300,988 Storage USA, Inc..................................... 25,000 976,563 Summit Properties, Inc............................... 22,700 471,025 Sun Communities, Inc................................. 14,400 524,700 Sunstone Hotel Investors, Inc........................ 18,100 317,881 Tanger Factory Outlet Centers, Inc................... 6,100 176,519 Taubman Centers, Inc................................. 45,300 560,588 Town & Country Trust................................. 14,000 248,500 Transcontinental Realty Investors, Inc............... 3,500 48,125 Trinet Corporate Realty Trust, Inc................... 18,100 696,850 United Dominion Realty Trust, Inc.................... 78,082 1,146,829 United Mobile Homes, Inc............................. 5,800 68,875 Urban Shopping Centers, Inc.......................... 15,200 506,350 *Value Property Trust................................ 10,000 157,500 #Vornado Realty Trust................................ 47,300 2,119,631 SHARES VALUE+ ------------ ------------ #Walden Residential Properties, Inc.................. 15,600 $ 380,250 Washington Real Estate Investment Trust.............. 31,500 511,875 Weeks Corp........................................... 15,600 499,200 Weingarten Realty Investors.......................... 23,800 992,163 *Wellsford Real Properties, Inc...................... 4,081 64,021 Western Investment Real Estate Trust................. 15,300 210,375 Winston Hotels, Inc.................................. 14,100 197,400 ------------ TOTAL COMMON STOCKS (Cost $77,132,442)................................... 93,861,171 ------------ FACE AMOUNT ------------ (000) TEMPORARY CASH INVESTMENTS -- (1.0%) Repurchase Agreement, PNC Capital Markets Inc. 5.45%, 12/01/97 (Collateralized by U.S. Treasury Notes 6.25%, 07/31/98, valued at $962,325) to be repurchased at $945,429 (Cost $945,000)............ $ 945 945,000 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $78,077,442)++................................. $ 94,806,171 ------------ ------------ -------------------- +See Note B to Financial Statements. *Non-Income Producing Securities #Total or Partial Securities on Loan ++The cost for federal income tax purposes is $76,255,921. See accompanying Notes to Financial Statements. 35
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SCHEDULES OF INVESTMENTS THE JAPANESE SMALL COMPANY PORTFOLIO NOVEMBER 30, 1997 [Enlarge/Download Table] VALUE+ ------------- Investment in The Japanese Small Company Series of The DFA Investment Trust Company....... $ 114,071,679 ------------- Total Investments (100%) (Cost $282,514,843 )++....................................... $ 114,071,679 ------------- ------------- -------------- ++The cost for federal income tax purposes is $285,504,014.  THE PACIFIC RIM SMALL COMPANY PORTFOLIO NOVEMBER 30, 1997 [Enlarge/Download Table] VALUE+ ------------- Investment in The Pacific Rim Small Company Series of The DFA Investment Trust Company.... $ 111,369,054 ------------- Total Investments (100%) (Cost $162,813,076)++........................................ $ 111,369,054 ------------- ------------- -------------- ++The cost for federal income tax purposes is $268,688,645.  THE UNITED KINGDOM SMALL COMPANY PORTFOLIO NOVEMBER 30, 1997 [Enlarge/Download Table] VALUE+ ------------- Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company................................................................................. $ 130,935,477 ------------- Total Investments (100%) (Cost $103,397,410)++........................................ $ 130,935,477 ------------- ------------- -------------- ++Approximates cost for federal income tax purposes.  THE CONTINENTAL SMALL COMPANY PORTFOLIO NOVEMBER 30, 1997 [Enlarge/Download Table] VALUE+ ------------- Investment in The Continental Small Company Series of The DFA Investment Trust Company.... $ 232,840,670 ------------- Total Investments (100%) (Cost $188,032,876)++........................................ $ 232,840,670 ------------- ------------- -------------- ++Approximates cost for federal income tax purposes. -------------- +See Note B to Financial Statements. See accompanying Notes to Financial Statements. 36
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SCHEDULES OF INVESTMENTS THE INTERNATIONAL SMALL COMPANY PORTFOLIO NOVEMBER 30, 1997 [Enlarge/Download Table] VALUE+ ------------- Investment in The Japanese Small Company Series of The DFA Investment Trust Company (27%) (Cost $110,458,178)..................................................................... $ 61,270,285 Investment in The Pacific Rim Small Company Series of The DFA Investment Trust Company (16%) (Cost $55,467,072)................................................................ 36,425,552 Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company (18%) (Cost $38,350,242)................................................................ 40,914,178 Investment in The Continental Small Company Series of The DFA Investment Trust Company (39%) (Cost $85,204,841)................................................................ 90,767,862 Temporary Cash Investments (0%) Repurchase Agreement, PNC Capital Markets Inc. 5.45%, 12/01/97 (collateralized by U.S. Treasury Notes 8.50%, 11/15/00, valued at $638,881) to be repurchased at $627,285. (Cost $627,000)............................................................................... 627,000 ------------- Total Investments (100%) (Cost $290,107,333)++........................................ $ 230,004,877 ------------- ------------- -------------- ++Approximates cost for federal income tax purposes.  THE RWB/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO NOVEMBER 30, 1997 [Enlarge/Download Table] SHARES VALUE+ ------------- ------------- Investment in The DFA International Value Series of The DFA Investment Trust Company........................................................... 25,249,539 $ 275,097,834 ------------- Total Investments (100%) (Cost $257,996,572 )++....................... $ 275,097,834 ------------- ------------- -------------- ++The cost for federal income tax purposes is $259,230,053.  THE EMERGING MARKETS PORTFOLIO NOVEMBER 30, 1997 [Enlarge/Download Table] VALUE+ ------------- Investment in The Emerging Markets Series of The DFA Investment Trust Company............. $ 212,113,671 ------------- Total Investments (100%) (Cost $266,677,080)++........................................ $ 212,113,671 ------------- ------------- -------------- ++The cost for federal income tax purposes is $268,688,645. -------------- +See Note B to Financial Statements. See accompanying Notes to Financial Statements. 37
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THE LARGE CAP INTERNATIONAL PORTFOLIO SCHEDULE OF INVESTMENTS NOVEMBER 30, 1997 [Download Table] SHARES VALUE+ ------------ ------------ JAPAN -- (25.2%) COMMON STOCKS -- (25.2%) Acom Co., Ltd........................................ 1,000 $ 54,143 Advantest Corp....................................... 700 48,431 Ajinomoto Co., Inc................................... 11,000 99,980 #All Nippon Airways Co., Ltd......................... 24,000 114,523 #Asahi Bank, Ltd..................................... 41,000 173,477 Asahi Breweries, Ltd................................. 3,000 42,076 Asahi Chemical Industry Co., Ltd..................... 21,000 90,500 Asahi Glass Co., Ltd................................. 21,000 134,104 #Bank of Tokyo-Mitsubishi, Ltd....................... 94,200 1,365,485 Bank of Yokohama, Ltd................................ 20,000 62,057 Bridgestone Corp..................................... 13,000 282,155 Canon, Inc........................................... 15,000 361,998 #Chiba Bank, Ltd..................................... 11,000 42,923 Chubu Electric Power Co., Ltd........................ 12,600 202,390 Chugoku Electric Power Co., Ltd...................... 6,600 98,257 Dai Nippon Printing Co., Ltd......................... 13,000 257,708 #Dai-Ichi Kangyo Bank, Ltd........................... 56,000 438,785 Daiwa Bank, Ltd...................................... 23,000 41,450 Daiwa House Industry Co., Ltd........................ 9,000 72,635 Daiwa Securities Co., Ltd............................ 22,000 76,709 #Denso Corp.......................................... 15,000 273,849 East Japan Railway Co................................ 32 145,426 Fanuc, Ltd........................................... 4,300 161,724 #Fuji Bank, Ltd...................................... 52,000 279,099 Fuji Photo Film Co., Ltd............................. 9,000 323,683 #Fujitsu, Ltd........................................ 31,000 347,346 *Hanwa Co., Ltd...................................... 5,000 8,737 Hitachi, Ltd......................................... 59,000 418,374 Honda Motor Co., Ltd................................. 17,000 615,397 #Industrial Bank of Japan............................ 45,120 403,031 Ito-Yokado Co., Ltd.................................. 7,000 315,926 Itochu Corp.......................................... 21,000 54,464 *#Japan Air Lines Co., Ltd........................... 14,000 43,549 Jusco Co., Ltd....................................... 2,000 33,536 #Kajima Corp......................................... 17,000 55,945 Kansai Electric Power Co., Inc....................... 17,600 299,252 Kao Corp............................................. 6,000 79,922 Kawasaki Steel Corp.................................. 58,000 95,436 Kinki Nippon Railway Co., Ltd........................ 29,000 160,650 Kirin Brewery Co., Ltd............................... 18,000 138,641 *Kobe Steel, Ltd..................................... 42,000 40,149 Komatsu, Ltd......................................... 15,000 90,029 Kubota Corp.......................................... 25,000 86,386 Kyocera Corp......................................... 2,000 96,533 Kyushu Electric Power Co., Inc....................... 8,500 130,539 Long Term Credit Bank of Japan, Ltd.................. 40,000 67,385 Marubeni Corp........................................ 22,000 54,989 Marui Co., Ltd....................................... 2,000 31,342 Matsushita Communication Industrial Co., Ltd......... 1,000 30,245 Matsushita Electric Industrial Co., Ltd.............. 38,000 592,517 #Matsushita Electric Works, Ltd...................... 11,000 89,638 Mitsubishi Chemical Corp............................. 16,000 31,216 Mitsubishi Corp...................................... 26,000 202,907 Mitsubishi Electric Corp............................. 36,000 99,573 SHARES VALUE+ ------------ ------------ Mitsubishi Estate Co., Ltd........................... 17,000 $ 197,140 Mitsubishi Heavy Industries, Ltd..................... 60,000 236,004 Mitsubishi Trust & Banking Corp...................... 23,000 306,366 Mitsui & Co., Ltd.................................... 26,000 180,701 Mitsui Trust & Banking Co., Ltd...................... 20,000 33,692 Murata Manufacturing Co., Ltd........................ 1,000 30,245 #NEC Corp............................................ 26,000 275,024 NKK Corp............................................. 63,000 63,679 #Nikko Securities Co., Ltd........................... 24,000 73,340 Nintendo Co., Ltd., Kyoto............................ 1,000 103,428 #Nippon Credit Bank, Ltd............................. 26,000 23,021 Nippon Express Co., Ltd.............................. 19,000 99,448 Nippon Oil Co., Ltd.................................. 22,000 76,709 Nippon Steel Corp.................................... 124,000 229,297 Nissan Motor Co., Ltd................................ 42,000 182,644 Nomura Securities Co., Ltd........................... 35,000 433,301 Osaka Gas Co., Ltd................................... 37,000 82,625 Pioneer Electronic................................... 2,000 34,789 Ricoh Co., Ltd., Tokyo............................... 5,000 60,333 *SMC Corp............................................ 500 44,270 #Sakura Bank, Ltd.................................... 61,000 213,171 Sankyo Co., Ltd...................................... 4,000 127,561 #Sanwa Bank, Ltd..................................... 52,000 570,421 Sanyo Electric....................................... 33,000 93,085 Secom Co., Ltd....................................... 2,000 125,367 Sega Enterprises, Ltd................................ 1,500 33,379 Seibu Railway Co., Ltd............................... 7,000 330,186 Seksui House......................................... 12,000 86,315 #Seven-Eleven Japan Co., Ltd......................... 7,000 485,406 Sharp Corp. Osaka.................................... 19,000 127,138 Shikoku Electric Power Co., Inc...................... 4,200 63,185 #Shimizu Corp........................................ 12,000 38,550 Shin-Etsu Chemical Co., Ltd.......................... 3,000 71,224 Shiseido Co., Ltd.................................... 3,000 40,666 Shizuoka Bank, Ltd................................... 14,000 129,442 Sony Corp............................................ 6,700 572,223 #Sumitomo Bank, Ltd.................................. 56,000 710,833 Sumitomo Chemical Co., Ltd........................... 29,000 96,572 Sumitomo Corp........................................ 19,000 119,843 Sumitomo Electric Industries, Ltd.................... 11,000 147,385 Sumitomo Metal Industries, Ltd. Osaka................ 56,000 114,084 Sumitomo Trust & Banking Co., Ltd.................... 22,000 145,144 TDK Corp............................................. 1,000 81,489 #Taisei Corp......................................... 15,000 34,672 #Taisho Pharmaceutical Co., Ltd...................... 6,000 150,441 Takeda Chemical Industries, Ltd...................... 14,000 409,167 Tohuku Electric Power Co., Inc....................... 9,000 136,102 #Tokai Bank, Ltd..................................... 34,000 182,488 Tokio Marine & Fire Insurance Co., Ltd............... 26,000 246,503 Tokyo Electric Power Co., Ltd........................ 24,300 436,020 Tokyo Electron, Ltd.................................. 1,000 38,315 Tokyo Gas Co., Ltd................................... 44,000 105,152 Tokyu Corp........................................... 17,000 72,595 Tonen Corp........................................... 11,000 82,829 Toppan Printing Co., Ltd............................. 12,000 162,664 Toray Industries, Inc................................ 25,000 113,614 Toshiba Corp......................................... 54,000 242,868 38
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THE LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------------ ------------ Toyo Seikan Kaisha, Ltd.............................. 3,300 $ 55,075 #Toyo Trust & Banking Co., Ltd....................... 12,000 78,511 Toyota Motor Corp.................................... 68,000 1,960,744 Yamanouchi Pharmaceutical Co., Ltd................... 5,000 121,450 #Yasuda Trust & Banking Co., Ltd..................... 16,000 13,665 ------------ TOTAL COMMON STOCKS (Cost $25,789,469)................................... 21,888,821 ------------ INVESTMENT IN CURRENCY -- (0.0%) *Japanese Yen (Cost $2,487).......................... 2,448 ------------ TOTAL -- JAPAN (Cost $25,791,956)................................... 21,891,269 ------------ UNITED KINGDOM -- (22.5%) COMMON STOCKS -- (22.5%) Abbey National P.L.C................................. 27,800 439,104 BAT Industries P.L.C................................. 61,799 550,792 BG P.L.C............................................. 81,353 379,668 BOC Group P.L.C...................................... 10,645 170,381 BTR P.L.C............................................ 82,177 284,174 Barclays P.L.C....................................... 31,438 757,959 Bass P.L.C........................................... 18,400 262,729 Boots Co., P.L.C..................................... 20,298 297,696 British Petroleum Co., P.L.C......................... 118,687 1,619,717 British Telecommunications P.L.C..................... 133,400 1,020,382 Cable and Wireless P.L.C............................. 45,778 401,833 Cadbury Schweppes P.L.C.............................. 21,986 228,180 EMI Group P.L.C...................................... 14,688 111,483 General Electric Co. P.L.C........................... 57,881 378,128 Glaxo Wellcome P.L.C................................. 72,176 1,669,607 Granada Group P.L.C.................................. 17,275 246,084 Grand Metropolitan P.L.C............................. 52,707 479,527 Great Universal Stores P.L.C......................... 21,200 248,954 Guinness P.L.C....................................... 43,200 392,669 HSBC Holdings P.L.C.................................. 17,000 435,068 Imperial Chemical Industries P.L.C................... 15,800 230,263 Lloyds TSB Group P.L.C............................... 125,666 1,443,953 Marks & Spencer P.L.C................................ 60,750 628,954 National Power P.L.C................................. 23,900 226,502 National Westminster Bank P.L.C...................... 39,980 603,197 Prudential Corp. P.L.C............................... 44,788 487,844 Reuters Holdings P.L.C............................... 34,200 383,752 Rio Tinto P.L.C...................................... 25,526 310,077 Royal & Sun Alliance Insurance Group, Inc. P.L.C..... 16,927 154,714 Safeway P.L.C........................................ 24,008 130,549 Sainsbury (J.) P.L.C................................. 38,532 316,318 Shell Transport & Trading Co., P.L.C................. 201,600 1,381,558 Smithkline Beecham P.L.C............................. 71,821 716,953 Standard Chartered P.L.C............................. 19,336 214,197 Tesco P.L.C.......................................... 47,813 384,654 Unilever P.L.C....................................... 68,800 543,931 Vendome Luxury Group P.L.C. Units (consisting of one share Vendome Luxury Group P.L.C. and one share of Vendome Luxury Group SA)........................... 15,100 120,207 Vodafone Group P.L.C................................. 62,000 411,043 Zeneca Group P.L.C................................... 15,200 484,780 ------------ TOTAL COMMON STOCKS (Cost $10,261,710)................................... 19,547,581 ------------ SHARES VALUE+ ------------ ------------ INVESTMENT IN CURRENCY -- (0.0%) *British Pound Sterling (Cost $2,973)................ $ 2,985 ------------ TOTAL -- UNITED KINGDOM (Cost $10,264,683)................................... 19,550,566 ------------ GERMANY -- (9.3%) COMMON STOCKS -- (9.3%) #BASF AG............................................. 15,000 530,663 #Bayer AG............................................ 14,000 518,066 Bayerische Hypotheken und Wechselbank AG............. 4,800 208,183 Bayerische Motorenwerke AG BMW, Muenchen............. 481 359,149 #Bayerische Vereinsbank AG........................... 4,400 261,306 #Commerzbank AG...................................... 8,490 295,061 #Daimler-Benz AG..................................... 10,450 739,983 Deutsche Bank AG..................................... 9,800 628,394 Deutsche Telekom AG.................................. 12,500 253,355 #Dresdner Bank AG, Frankfurt......................... 9,880 383,139 Hochtief AG.......................................... 1,510 62,495 #Hoechst AG.......................................... 12,000 423,850 Mannesmann AG........................................ 743 345,840 #RWE AG.............................................. 13,250 649,418 SAP AG (Systeme Anwendungen Produkte in der Datenverarbeitung)................................. 1,100 319,929 #Siemens AG.......................................... 11,000 645,782 Thyssen.............................................. 650 154,777 #Veba AG............................................. 12,000 712,994 Viag AG.............................................. 546 277,422 #Volkswagen AG....................................... 550 311,821 ------------ TOTAL COMMON STOCKS (Cost $4,396,792).................................... 8,081,627 ------------ INVESTMENT IN CURRENCY -- (0.0%) *German Marks (Cost $6,344).......................... 6,311 ------------ TOTAL -- GERMANY (Cost $4,403,136).................................... 8,087,938 ------------ FRANCE -- (8.4%) COMMON STOCKS -- (8.4%) AXA-UAP.............................................. 7,692 555,972 Accor SA............................................. 508 96,377 Air Liquide.......................................... 700 108,614 Air Liquide Prime Fidelite........................... 1,471 228,244 Air Liquide Prime Fidelite 1998...................... 355 55,083 Alcatel Alsthom Cie Generale d'Electricite SA........ 5,100 637,555 Banque Nationale de Paris............................ 2,247 109,657 Canal Plus SA........................................ 483 83,289 Carrefour Supermarche SA............................. 900 477,175 Elf Aquitaine........................................ 5,127 590,559 *Euro Disney SCA..................................... 15,150 20,145 Financiere de Paribas SA Series A.................... 2,350 169,100 Generale des Eaux.................................... 2,786 367,157 Generale des Establissements Michelin SA Series B.... 509 27,470 Groupe Danone........................................ 2,346 375,536 Havas SA............................................. 974 62,959 L'Oreal.............................................. 1,540 586,419 LVMH (Louis Vuitton Moet Hennessy)................... 2,016 348,323 39
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THE LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------------ ------------ LaFarge Coppee SA.................................... 1,887 $ 123,733 Lyonnais des Eaux SA................................. 2,754 297,629 Pechiney International............................... 1,600 31,060 Pernod-Ricard........................................ 1,260 63,795 Peugeot SA........................................... 950 108,622 Pinault Printemps Redoute SA......................... 200 102,007 #Rhone-Poulenc SA Series A........................... 3,765 166,583 #Saint-Gobain........................................ 1,984 266,169 Sanofi SA............................................ 2,414 240,848 Schneider SA......................................... 2,519 133,769 #Societe Generale Paris.............................. 1,782 232,731 Thomson-CSF.......................................... 2,324 66,333 Total SA............................................. 5,485 571,404 ------------ TOTAL COMMON STOCKS (Cost $4,943,005).................................... 7,304,317 ------------ INVESTMENT IN CURRENCY -- (0.0%) *French Francs (Cost $3,137)......................... 3,150 ------------ TOTAL -- FRANCE (Cost $4,946,142).................................... 7,307,467 ------------ SWITZERLAND -- (7.6%) COMMON STOCKS -- (7.6%) ABB AG, Baden........................................ 186 247,488 Credit Suisse Holding, Zuerich (Namen)............... 3,575 523,453 Financiere Richemont AG Units -A-.................... 106 117,845 Nestle SA, Cham et Vevey............................. 853 1,255,248 Novartis AG, Basel................................... 1,334 2,131,495 Roche Holding AG, Basel.............................. 79 1,202,435 SBG (Schweizerische Bankgesellschaft)................ 556 707,826 *SBV (Schweizerischer Bankverein) (Namen)............ 1,546 443,514 ------------ TOTAL COMMON STOCKS (Cost $2,441,930).................................... 6,629,304 ------------ INVESTMENT IN CURRENCY -- (0.0%) *Swiss Francs (Cost $396)............................ 421 ------------ TOTAL -- SWITZERLAND (Cost $2,442,326).................................... 6,629,725 ------------ NETHERLANDS -- (5.8%) COMMON STOCKS -- (5.8%) ABN Amro Holding NV.................................. 5,959 113,607 Aegon NV............................................. 946 80,755 Heineken NV.......................................... 200 33,854 Ing Groep NV......................................... 20,727 842,446 Philips Electronics NV............................... 1,100 72,653 Polygram NV.......................................... 600 30,393 Royal Dutch Petroleum Co., Den Haag.................. 53,200 2,769,788 #Unilever NV......................................... 19,200 1,116,487 ------------ TOTAL COMMON STOCKS (Cost $2,301,212).................................... 5,059,983 ------------ INVESTMENT IN CURRENCY -- (0.0%) *Netherlands Guilder (Cost $308)..................... 311 ------------ TOTAL -- NETHERLANDS (Cost $2,301,520).................................... 5,060,294 ------------ SHARES VALUE+ ------------ ------------ ITALY -- (4.0%) COMMON STOCKS -- (3.9%) #Alleanza Assicurazioni SpA.......................... 12,375 $ 113,864 Alleanza Assicurazioni SpA (Risp).................... 113 550 Assicurazioni Generali SpA, Trieste.................. 18,452 413,770 #Banca Commerciale Italiana SpA...................... 34,000 97,196 *Banca di Roma....................................... 66,500 54,876 Banco Ambrosiano Veneto SpA.......................... 12,000 39,200 *Campart SpA......................................... 38,769 20,483 Credito Italiano..................................... 39,000 106,299 #Edison SpA.......................................... 10,000 54,078 #Fiat SpA............................................ 75,900 219,173 *HPI SpA (Holding di Partecipazioni Industriale)..... 18,000 9,812 ITALGAS SpA, Torino.................................. 11,000 42,554 #Ifil Finanziaria Partecipazioni SpA, Torino......... 8,000 29,559 #Istituto Bancario San Paolo Torino SpA.............. 18,500 152,342 Istituto Mobiliare Italiano IMI SpA.................. 13,500 140,816 Italcementi Fabbriche Riunite Cemento SpA, Bergamo... 1,500 9,574 La Fondiara Assicurazioni SpA........................ 4,200 19,614 Montedison SpA....................................... 73,260 60,200 Pirelli SpA.......................................... 20,000 50,288 RAS SpA (Riunione Adriatica di Sicurta).............. 7,465 69,464 RAS SpA (Riunione Adriatica di Sicurta) (Risp)....... 371 2,330 SAI SpA (Sta Assicuratrice Industriale SpA).......... 2,000 20,185 *SEAT SpA............................................ 86,000 34,041 Sirti SpA............................................ 4,000 24,004 Telecom Italia Mobile SpA............................ 134,740 542,297 Telecom Italia SpA, Torino........................... 176,965 1,103,439 ------------ TOTAL COMMON STOCKS (Cost $1,947,930).................................... 3,430,008 ------------ RIGHTS/WARRANTS -- (0.1%) *Banco Ambrosiano Veneto SpA Rights 01/02/98 (Cost $17,235)........................................... 12,000 43,610 ------------ INVESTMENT IN CURRENCY -- (0.0%) *Italian Lira (Cost $1,573).......................... 1,547 ------------ TOTAL -- ITALY (Cost $1,966,738).................................... 3,475,165 ------------ SWEDEN -- (2.9%) COMMON STOCKS -- (2.9%) AGA AB Series A...................................... 2,900 38,311 AGA AB Series B...................................... 2,500 31,408 Asea AB Series A..................................... 13,000 165,005 Asea AB Series B..................................... 5,000 62,168 Astra AB Series A.................................... 29,866 516,400 Astra AB Series B.................................... 6,133 102,071 Sandvik AB Series A.................................. 3,200 96,568 Sandvik AB Series B.................................. 1,300 38,978 #Skandinaviska Enskilda Banken Series A.............. 10,300 122,064 40
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THE LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------------ ------------ Skanska AB........................................... 2,400 $ 98,848 Svenska Handelsbanken Series A....................... 4,200 148,233 Swedish Match AB (Frueher Svenska Taendsticks AB).... 8,800 29,634 Sydkraft AB Series C................................. 2,400 52,532 Telefon AB L.M. Ericsson Series A.................... 1,500 62,945 Telefon AB L.M. Ericsson Series B.................... 18,300 747,787 Volvo AB Series A.................................... 2,200 58,412 Volvo AB Series B.................................... 6,600 175,237 ------------ TOTAL COMMON STOCKS (Cost $1,712,053).................................... 2,546,601 ------------ INVESTMENT IN CURRENCY -- (0.0%) *Swedish Krona (Cost $43)............................ 43 ------------ TOTAL -- SWEDEN (Cost $1,712,096).................................... 2,546,644 ------------ HONG KONG -- (2.9%) COMMON STOCKS -- (2.9%) Cathay Pacific Airways, Ltd.......................... 61,000 53,264 China Light & Power Co., Ltd......................... 35,500 179,101 Citic Pacific, Ltd................................... 24,000 95,624 Hang Seng Bank, Ltd.................................. 39,000 343,066 #Henderson Land Development Co., Ltd................. 18,000 88,949 Hong Kong Telecommunications, Ltd.................... 231,058 439,382 Hong Kong Electric Holdings, Ltd..................... 30,500 103,175 Hutchison Whampoa, Ltd............................... 73,000 486,334 New World Development Co. Ltd........................ 31,000 114,892 Sung Hungkai Properties, Ltd......................... 47,000 358,719 Swire Pacific, Ltd. Series A......................... 27,000 135,169 Wharf Holdings, Ltd.................................. 41,000 83,535 ------------ TOTAL COMMON STOCKS (Cost $2,605,712).................................... 2,481,210 ------------ INVESTMENT IN CURRENCY -- (0.0%) *Hong Kong Dollars (Cost $13,899).................... 13,899 ------------ TOTAL -- HONG KONG (Cost $2,619,611).................................... 2,495,109 ------------ AUSTRALIA -- (2.8%) COMMON STOCKS -- (2.8%) #Amcor, Ltd.......................................... 12,538 56,192 Australia & New Zealand Banking Group, Ltd........... 30,193 207,418 #Boral, Ltd.......................................... 23,456 59,383 Brambles Industries, Ltd............................. 3,950 75,696 #Broken Hill Proprietary Co., Ltd.................... 39,080 359,119 #CSR, Ltd............................................ 16,243 53,348 Coca-Cola Amatil, Ltd................................ 5,066 37,790 Coles Myer, Ltd...................................... 21,391 105,383 #Commonwealth Bank of Australia...................... 11,183 132,767 #Fosters Brewing Group, Ltd.......................... 34,148 63,320 MIM Holdings......................................... 48,835 35,420 National Australia Bank, Ltd......................... 36,187 479,611 News Corp., Ltd...................................... 19,556 104,639 Pacific Dunlop, Ltd.................................. 19,238 39,490 Rio Tinto, Ltd....................................... 12,510 137,813 #WMC, Ltd............................................ 30,062 96,368 SHARES VALUE+ ------------ ------------ #Westpac Banking Corp................................ 49,144 $ 309,025 Woodside Petroleum, Ltd.............................. 6,666 47,887 ------------ TOTAL COMMON STOCKS (Cost $1,814,569).................................... 2,400,669 ------------ INVESTMENT IN CURRENCY -- (0.0%) *Australian Dollar (Cost $7,831)..................... 7,449 ------------ TOTAL -- AUSTRALIA (Cost $1,822,400).................................... 2,408,118 ------------ SPAIN -- (2.6%) COMMON STOCKS -- (2.6%) Banco Popular Espanol SA, Madrid..................... 2,000 127,812 Banco Santander SA, Santander........................ 9,300 280,013 Bilbao Vizcaya SA, Bilbao............................ 12,800 387,541 #ENDESA SA, Madrid................................... 19,700 370,552 #Iberdrola SA........................................ 15,500 198,525 Repsol SA............................................ 5,600 241,462 SDG SA, Barcelona.................................... 2,800 138,005 Telefonica de Espana SA.............................. 17,800 515,648 ------------ TOTAL COMMON STOCKS (Cost $1,552,162).................................... 2,259,558 ------------ INVESTMENT IN CURRENCY -- (0.0%) *Spanish Peseta (Cost $7,536)........................ 7,530 ------------ TOTAL -- SPAIN (Cost $1,559,698).................................... 2,267,088 ------------ SINGAPORE -- (1.0%) COMMON STOCKS -- (1.0%) Cerebos Pacific, Ltd................................. 10,000 27,754 City Developments, Ltd............................... 26,000 128,161 *Creative Technology Co., Ltd........................ 3,000 83,452 Cycle & Carriage, Ltd................................ 7,000 29,670 Fraser & Neave, Ltd.................................. 10,000 49,920 Keppel Bank of Singapore, Ltd........................ 20,000 32,904 #Keppel Corp., Ltd................................... 25,000 84,771 Singapore Land, Ltd.................................. 11,000 32,326 #Singapore Telecommunications, Ltd................... 161,000 311,379 Straits Steamship Land, Ltd.......................... 22,000 34,812 Tat Lee Bank......................................... 18,000 27,466 Wing Tai Holdings, Ltd............................... 19,000 24,458 ------------ TOTAL COMMON STOCKS (Cost $908,313)...................................... 867,073 ------------ INVESTMENT IN CURRENCY -- (0.0%) *Singapore Dollars (Cost $59)........................ 59 ------------ TOTAL -- SINGAPORE (Cost $908,372)...................................... 867,132 ------------ BELGIUM -- (0.8%) COMMON STOCKS -- (0.8%) Banque Bruxelles Lambert............................. 200 51,058 Electrabel SA........................................ 700 156,581 Etablissement Delhaize Freres & Cie le Lion SA Molenbeek-Saint-Jean............................... 700 35,394 Fortis AG............................................ 800 159,165 Generale de Banque SA................................ 200 82,715 41
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THE LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------------ ------------ Petrofina SA, Bruxelles.............................. 400 $ 154,438 Solvay SA............................................ 1,600 96,070 ------------ TOTAL COMMON STOCKS (Cost $696,563)...................................... 735,421 ------------ INVESTMENT IN CURRENCY -- (0.0%) *Belgian Francs (Cost $11)........................... 11 ------------ TOTAL -- BELGIUM (Cost $696,574)...................................... 735,432 ------------ FACE AMOUNT ------------ (000) TEMPORARY CASH INVESTMENTS -- (4.2%) Repurchase Agreement, PNC Capital Markets Inc. 5.45%, 12/01/97 (Collateralized by U.S. Treasury Notes 8.50%, 11/15/00, valued at $3,747,388) to be repurchased at $3,689,675 (Cost $3,688,000)........ $ 3,688 3,688,000 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $65,123,252)++..... $ 87,009,947 ------------ ------------ -------------------- +See Note B to Financial Statements. *Non-Income Producing Securities #Total or Partial Securities on Loan ++The cost for federal income tax purposes is $65,726,410. See accompanying Notes to Financial Statements. 42
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THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO SCHEDULE OF INVESTMENTS NOVEMBER 30, 1997 [Download Table] SHARES VALUE+ ------------ ------------ JAPAN -- (23.5%) COMMON STOCKS -- (23.2%) ASK Corp., Yokohama................................... 13,000 $ 22,409 Aica Kogyo Co., Ltd................................... 75,000 282,664 Aichi Corp............................................ 126,500 426,210 Aichi Steel Works, Ltd................................ 261,000 613,516 Aida Engineering, Ltd................................. 84,000 355,416 Amada Metrecs Co., Ltd................................ 71,000 428,364 Amada Sonoike Co., Ltd................................ 133,000 347,024 *Amada Wasino Co., Ltd................................ 300,000 300,881 Ando Corp............................................. 306,000 491,518 *#Aoki Corp........................................... 361,000 84,858 #Arai-Gumi, Ltd....................................... 19,600 28,719 Araya Industrial Co., Ltd............................. 194,000 221,931 Asahi Kogyosha Co., Ltd............................... 114,000 321,567 Asanuma Corp.......................................... 311,000 392,329 *Asics Corp........................................... 384,000 361,058 Atsugi Nylon Industrial Co., Ltd...................... 352,000 598,503 Azel Corp., Tokyo..................................... 152,000 339,432 #Bank of Okinawa, Ltd................................. 36,700 632,635 *#Bank of Osaka, Ltd.................................. 223,000 279,569 #Bank of the Ryukyus, Ltd............................. 48,490 531,918 Bunka Shutter Co., Ltd................................ 246,000 676,560 *#Cabin Co., Ltd...................................... 164,000 199,177 Calpis Co., Ltd....................................... 71,000 241,998 Central Finance Co., Ltd.............................. 387,000 570,076 #Chiba Kogyo Bank, Ltd................................ 46,200 832,595 Chisan Tokan Co., Ltd................................. 165,000 155,142 *#Chiyoda Corp........................................ 191,000 323,260 Chuetsu Pulp and Paper Co., Ltd....................... 215,000 409,363 Chugoku Marine Paints, Ltd............................ 21,000 41,630 Chuo Spring Co., Ltd., Nagoya......................... 222,000 561,849 Cleanup Corp.......................................... 68,000 338,335 #Dai Nippon Construction.............................. 186,000 291,479 Dai-Dan Co., Ltd...................................... 42,000 299,142 Dai-Ichi Hotel, Ltd., Tokyo........................... 121,000 365,015 *#Dai-Ichi Katei Denki Co., Ltd....................... 225,000 137,512 Dai-Ichi Kogyo Seiyaku Co., Ltd....................... 9,000 21,226 *#Dai-Ichi Securities Co., Ltd........................ 200,000 159,843 Daido Hoxan, Inc...................................... 124,000 228,325 Daidoh, Ltd........................................... 135,000 630,441 *Daiei OMC, Inc....................................... 264,000 401,301 Daiho Corp............................................ 83,000 149,579 #Daiichi Cement Co., Ltd.............................. 77,000 108,599 #Daikyo, Inc.......................................... 176,000 201,340 *Daisue Construction Co., Ltd......................... 25,000 17,042 *#Daiwa Danchi Co., Ltd............................... 150,000 273,849 Daiwabo Co., Ltd...................................... 189,000 245,830 *Deodeo Corp.......................................... 57,600 500,968 #Descente, Ltd........................................ 189,000 404,286 *Dijet Industrial Co., Ltd............................ 10,000 15,593 Eagle Industry Co., Ltd............................... 35,000 95,984 First Baking Co., Ltd................................. 70,000 81,724 Fuji Denki Reiki Co., Ltd............................. 67,000 234,139 Fuji Kiko Co., Ltd.................................... 45,000 116,357 Fujirebio, Inc........................................ 144,000 451,322 #Fujita Corp.......................................... 491,000 184,666 Fukuda Corp........................................... 160,000 470,127 Fukushima Bank, Ltd................................... 32,000 52,654 SHARES VALUE+ ------------ ------------ #Gakken Co., Ltd...................................... 127,000 $ 260,717 Gastec Service, Inc................................... 98,000 399,295 *#Godo Steel, Ltd..................................... 206,000 242,116 Goldwin, Inc.......................................... 54,000 48,658 *#Graphtec Corp....................................... 99,000 255,984 Gun-Ei Chemical Industry Co., Ltd..................... 306,000 469,939 *Gunze Sangyo, Inc., Tokyo............................ 222,000 344,415 Hanshin Sogo Bank, Ltd................................ 198,000 229,610 Harima Chemicals, Inc................................. 83,000 422,723 *Haseko Corp.......................................... 390,000 244,466 Hazama Corp........................................... 305,000 181,626 #Heiwado Co., Ltd..................................... 73,000 543,389 Hibiya Engineering, Ltd............................... 53,000 240,862 Hisaka Works, Ltd..................................... 106,000 536,541 Hisamitsu Pharmaceutical Co., Inc..................... 58,000 384,925 Hitachi Koki Co., Ltd................................. 153,000 632,979 Hitachi Medical Corp.................................. 39,000 351,420 Hochiki Corp.......................................... 17,000 56,345 Hokkai Can Co., Ltd., Tokyo........................... 239,000 490,641 *#Hokkaido Bank, Ltd.................................. 477,000 467,189 Hokkaido Gas Co., Ltd................................. 8,000 18,617 Hokko Chemical Industry Co., Ltd...................... 12,000 28,866 Hokuriku Electrical Construction Co., Ltd............. 81,000 258,946 Hokushin Co., Ltd..................................... 32,600 89,403 Ichikawa Co., Ltd..................................... 117,000 212,686 Ichiken Co., Ltd...................................... 45,000 52,889 Idec Izumi Corp....................................... 130,000 611,166 Ikegami Tsushinki Co., Ltd............................ 129,000 425,536 #Inabata and Co., Ltd., Osaka......................... 178,000 739,197 Intec, Inc............................................ 21,000 162,735 *Inui Steamship Co., Ltd.............................. 32,000 32,345 Ishizuka Glass Co., Ltd............................... 119,000 233,105 Itochu Fuel Corp...................................... 140,000 390,519 Itoki Crebio Corp..................................... 127,000 333,359 Iwasaki Electric Co., Ltd............................. 21,000 35,871 Izumi Co., Ltd........................................ 82,000 479,310 #JDC Corp............................................. 128,000 47,138 #JGC Corp............................................. 226,000 529,473 JMS Co., Ltd.......................................... 135,000 401,959 Japan Oil Transportation Co., Ltd..................... 41,000 78,386 Japan Paperboard Industries Co., Ltd., Tokyo.......... 35,000 52,380 Japan Transcity Corp.................................. 79,000 187,557 Japan Vilene Co., Ltd................................. 202,000 501,736 Joban Kosan Co., Ltd.................................. 87,000 164,286 Joshin Denki Co., Ltd................................. 71,000 209,732 *#Jujiya Co., Ltd..................................... 265,000 249,167 Kahma Co., Ltd........................................ 41,000 225,520 #Kamei Corp........................................... 131,000 983,334 Kanaden Corp.......................................... 11,000 50,076 #Kanematsu Electronics, Ltd........................... 87,000 365,383 *#Kankaku Securities Co., Ltd......................... 645,000 454,848 #Kansei Corp.......................................... 179,000 1,061,728 Kanto Auto Works, Ltd., Yokosuka...................... 220,000 698,139 #Kanto Bank, Ltd...................................... 30,700 254,981 Kanto Natural Gas Development Co., Ltd................ 198,000 713,653 #Kasumi Co., Ltd...................................... 43,000 170,484 43
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THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------------ ------------ Kato Works Co., Ltd................................... 201,000 $ 346,484 Kawada Industries, Inc................................ 181,000 297,826 *Kawashima Textile Manufacturers, Ltd................. 306,000 455,553 Kawasho Corp.......................................... 452,000 644,576 Kawasho Gecoss Corp................................... 45,300 160,081 #Kinseki, Ltd......................................... 113,000 770,304 *Kinsho-Mataichi Corp................................. 51,000 60,341 *Kioritz Corp......................................... 237,000 345,403 Kita-Nippon Bank, Ltd................................. 9,814 447,541 Kitano Construction Corp.............................. 98,000 173,540 Kitz Corp............................................. 174,000 256,313 #Kiyo Bank, Ltd....................................... 375,000 719,882 Kokune Corp........................................... 99,000 87,655 Kokusai Kogyo Co., Ltd................................ 127,000 500,537 Komai Tekko, Inc...................................... 126,000 325,798 Komatsu Construction Co., Ltd......................... 16,000 17,551 Komatsu Forklift Co., Ltd............................. 96,000 225,661 Kosei Securities Co., Ltd............................. 118,000 216,353 Kurabo Industries, Ltd................................ 337,000 475,299 Kyokuto Kaihatsu Kogyo Co., Ltd....................... 39,000 156,458 Kyowa Leather Cloth Co., Ltd.......................... 75,000 381,978 Kyudenko Corp......................................... 107,000 566,754 #Kyushu Bank, Ltd..................................... 314,000 996,435 Life Corp............................................. 14,000 62,527 Maeda Road Construction Co., Ltd...................... 103,000 517,320 Magara Construction Co., Ltd.......................... 57,000 63,867 *Marudai Food Co., Ltd................................ 170,000 380,960 #Maruetsu, Inc........................................ 192,000 565,657 Marusan Securities Co., Ltd........................... 101,000 300,725 Maruzen Showa Unyu Co., Ltd........................... 126,000 303,091 Matsui Construction Co., Ltd.......................... 90,000 252,458 Matsuo Bridge Co., Ltd................................ 90,000 147,385 Meito Sangyo Co., Ltd................................. 90,000 818,022 #Mitsuba Corp......................................... 97,000 554,829 *Mitsubishi Steel Manufacturing Co., Ltd.............. 185,000 250,774 Mitsui Construction Co., Ltd.......................... 199,000 182,433 *Mitsui Mining Co., Ltd............................... 129,000 150,605 Mitsui Wood Systems, Inc.............................. 37,000 129,011 Mitsuuroko Co., Ltd................................... 174,000 613,516 Miyazaki Bank, Ltd.................................... 127,260 493,584 #Miyuki Keori Co., Ltd................................ 124,000 505,230 Mizuno Corp........................................... 176,000 639,875 Morita Corp........................................... 168,000 394,907 *Morozoff, Ltd., Osaka................................ 119,000 289,050 Mory Industries, Inc.................................. 56,000 108,819 *Mutoh Industries, Ltd................................ 147,000 162,405 *Mutow Co., Ltd....................................... 89,000 313,810 Nabco, Ltd............................................ 107,000 205,406 Naigai Co., Ltd....................................... 281,000 495,397 Nakamuraya Co., Ltd................................... 8,000 23,757 #Nakano Corp.......................................... 157,000 177,144 Nakayama Steel Works, Ltd............................. 151,000 261,477 *National Securities Co., Ltd......................... 124,000 102,989 Neturen Co., Ltd., Tokyo.............................. 146,000 457,591 *New Japan Securities Co., Ltd........................ 558,000 467,824 Nichia Steel Works, Ltd............................... 156,200 416,125 Nichimo Co., Ltd...................................... 127,000 205,986 Nichimo Corp.......................................... 209,000 212,889 Nihon Kohden Corp..................................... 164,000 587,252 Nihon Matai Co., Ltd.................................. 119,000 307,698 SHARES VALUE+ ------------ ------------ *Nihon Nohyaku Co., Ltd............................... 90,000 $ 218,609 Nihon Parkerizing Co., Ltd............................ 228,000 643,134 Nihon Tokushu Toryo Co., Ltd.......................... 79,000 154,750 Niigata Chuo Bank, Ltd................................ 321,000 741,978 Nikko Co., Ltd., Akashi............................... 123,000 311,295 Nippon Beet Sugar Manufacturing Co., Ltd.............. 191,000 342,715 Nippon Chemiphar Co., Ltd............................. 115,000 243,291 Nippon Concrete Industries Co., Ltd................... 23,000 41,810 Nippon Conlux Co., Ltd................................ 78,000 320,862 *Nippon Conveyor Co., Ltd............................. 52,000 68,043 Nippon Denko Co., Ltd................................. 137,000 170,680 Nippon Densetsu Kogyo Co., Ltd........................ 86,000 303,232 Nippon Hume Pipe Co., Ltd............................. 95,000 238,198 Nippon Koei Co., Ltd., Tokyo.......................... 121,000 273,050 Nippon Koshuha Steel Co., Ltd......................... 133,000 124,012 Nippon Metal Industry Co., Ltd........................ 210,000 294,535 #Nippon Paint Co., Ltd................................ 315,000 629,383 Nippon Road Co., Ltd.................................. 125,000 161,606 Nippon Seisen Co., Ltd................................ 35,000 82,272 Nippon Synthetic Chemical Industry Co., Ltd........... 133,000 239,687 Nippon Valqua Industries, Ltd......................... 294,000 495,279 *Nippon Yakin Kogyo Co., Ltd.......................... 237,000 209,841 Nissan Construction Co., Ltd.......................... 106,000 153,653 Nisshin Oil Mills, Ltd................................ 189,000 542,010 Nissin Electric Co., Ltd.............................. 134,000 293,986 Nittetsu Mining Co., Ltd.............................. 77,000 361,395 #Nitto Construction Co., Ltd.......................... 10,000 15,749 Nittoc Construction Co., Ltd.......................... 147,000 387,009 Noritz Corp........................................... 70,000 501,861 Obayashi Road Corp.................................... 152,000 270,355 Ohki Corp............................................. 168,000 250,108 Okabe Co., Ltd........................................ 98,000 464,564 *Okasan Securities Co., Ltd........................... 247,000 305,786 Oki Electric Cable Co., Ltd........................... 10,000 17,238 Okura Industrial Co., Ltd............................. 240,000 517,140 *Ono Sokki Co., Ltd................................... 9,000 38,080 Optec Dai-Ichi Denko Co., Ltd......................... 157,000 182,065 Pacific Industrial Co., Ltd........................... 187,000 537,739 Parco Co., Ltd........................................ 77,000 355,361 #Pokka Corp........................................... 110,000 448,188 *Prima Meat Packers, Ltd.............................. 93,000 95,459 Renown Look, Inc...................................... 114,000 138,452 *Renown, Inc.......................................... 357,000 268,537 Rheon Automatic Machinery Co., Ltd.................... 93,000 313,340 Rhythm Watch Co., Ltd................................. 120,000 197,453 Ryoden Trading Co., Ltd............................... 170,000 620,725 S.T. Chemical Co., Ltd................................ 115,000 459,549 SXL Corp.............................................. 108,000 294,488 Sagami Co., Ltd....................................... 141,000 387,785 Sakai Chemical Industry Co., Ltd...................... 202,000 580,874 Sakai Heavy Industries, Ltd........................... 43,000 107,142 Sakurada Co., Ltd..................................... 36,000 46,825 San-Ai Oil Co., Ltd................................... 100,000 220,176 Sankei Building Co., Ltd.............................. 18,000 56,697 Sanko Metal Industrial Co., Ltd., Tokyo............... 49,000 61,430 Sankyo Aluminum Industry Co., Ltd..................... 328,000 375,224 Sankyo Seiko Co., Ltd................................. 75,000 161,606 Sanyo Industries, Ltd., Tokyo......................... 121,000 327,091 Sanyo Special Steel Co., Ltd.......................... 248,000 310,911 44
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THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------------ ------------ Sata Construction Co., Ltd., Gumma.................... 134,000 $ 215,240 Sato Shoji Corp....................................... 49,000 215,005 *Seikitokyu Kogyo Co., Ltd............................ 211,000 163,675 Seiren Co., Ltd....................................... 204,000 359,647 Sekisui Plastics Co., Ltd............................. 296,000 510,245 Senko Co., Ltd........................................ 150,000 319,687 Senshukai Co., Ltd.................................... 88,000 369,583 *#Settsu Corp......................................... 308,000 260,639 Shibuya Kogyo Co., Ltd................................ 61,000 506,641 #Shin Nippon Air Technologies Co., Ltd................ 89,320 405,920 Shinagawa Fuel Co., Ltd............................... 86,000 336,925 Shinko Shoji Co., Ltd................................. 80,000 505,230 Shinmaywa Industries, Ltd............................. 154,000 504,384 *#Shokusan Jutaku Sogo Co., Ltd....................... 116,000 46,355 #Sintokogio, Ltd., Nagoya............................. 205,000 777,434 Soda Nikka Co., Ltd................................... 82,000 163,839 Sokkisha Co., Ltd..................................... 35,000 100,098 Sotetsu Rosen Co., Ltd................................ 5,000 22,919 Star Micronics Co., Ltd............................... 74,000 236,568 *#Sumitomo Corporation's Leasing, Ltd................. 85,000 199,804 #Sumitomo Precision Products Co., Ltd., Amagasaki City................................................ 16,000 62,684 Sun Wave Corp......................................... 62,000 309,453 SunTelephone Co., Ltd................................. 157,000 541,273 *#Suzutan Co., Ltd.................................... 156,000 157,681 Taihei Dengyo Kaisha, Ltd............................. 58,000 193,144 Taihei Kogyo Co., Ltd................................. 101,000 142,449 *#Taiheiyo Securities Co., Ltd........................ 392,000 172,004 *Taisei Prefab Construction Co., Ltd.................. 265,000 253,320 Taisei Rotec Corp..................................... 220,000 389,579 Taiyo Toyo Sanso Co., Ltd............................. 69,000 130,296 *Taka-Q Co., Ltd...................................... 196,000 136,682 #Takada Kiko Co., Ltd................................. 73,000 240,235 Takara Co., Ltd....................................... 97,000 273,614 Takiron Co., Ltd...................................... 301,000 754,711 Tamura Corp........................................... 73,000 284,850 #Tasaki Shinju Co., Ltd............................... 130,000 427,816 *#Tayca Corp.......................................... 169,000 178,766 Teikoku Hormone Manufacturing Co., Ltd................ 76,000 458,531 Teikoku Tsushin Kogyo Co., Ltd........................ 63,000 153,026 Tekken Corp........................................... 204,000 300,505 Tenma Corp............................................ 32,000 371,087 *Tetra Co., Ltd., Tokyo............................... 31,000 54,166 *Titan Kogyo K.K...................................... 86,000 181,939 Toa Doro Kogyo Co., Ltd............................... 76,000 104,212 *Toa Steel Co., Ltd................................... 261,000 157,469 *Toa Wool Spinning & Weaving Co., Ltd................. 185,000 244,976 Tobu Store Co., Ltd................................... 168,000 344,885 Tochigi Bank, Ltd..................................... 86,000 475,738 Tochigi Fuji Industrial Co., Ltd...................... 125,000 323,213 Toda Kogyo Corp....................................... 156,000 552,494 Toenec Corp........................................... 124,000 514,946 Tohto Suisan Co., Ltd................................. 135,000 215,788 Tokai Maruman Securities Co., Ltd..................... 100,000 144,172 *Tokai Senko K.K., Nagoya............................. 118,000 124,819 #Tokico, Ltd.......................................... 160,000 322,194 Tokimec, Inc.......................................... 107,000 184,447 Tokushu Paper Manufacturing Co., Ltd.................. 42,000 296,509 SHARES VALUE+ ------------ ------------ *#Tokuyo City Bank, Ltd............................... 275,000 $ 4,309 Tokyo Denki Komusho Co., Ltd.......................... 128,000 451,322 *Tokyo Nissan Auto Sales Co., Ltd..................... 34,000 97,504 *Tokyo Securities Co., Ltd............................ 271,000 227,205 *Tokyo Tekko Co., Ltd................................. 170,000 161,175 Tokyu Car Corp........................................ 154,000 199,099 #Tokyu Construction Co., Ltd.......................... 223,000 178,225 *Tokyu Tourist Corp................................... 54,000 80,392 Tomoe Corp............................................ 50,000 86,190 Tonami Transportation Co., Ltd........................ 126,000 246,817 Topcon Corp........................................... 129,000 434,633 Topre Corp............................................ 184,000 726,629 Torishima Pump Manufacturing Co., Ltd., Osaka......... 93,000 516,646 Toshiba Engineering & Construction Co., Ltd........... 94,000 244,529 *Toshoku, Ltd......................................... 195,000 132,928 Tostem Viva Corp...................................... 87,000 211,322 Totenko Co., Ltd...................................... 83,000 234,123 Totetsu Kogyo Co., Ltd................................ 117,000 220,020 Totoku Electric Co., Ltd., Tokyo...................... 57,000 129,520 Toyo Construction Co., Ltd............................ 266,000 177,160 *Toyo Electric Co., Ltd............................... 14,000 16,454 Toyo Engineering Corp................................. 226,000 288,643 Toyo Kanetsu K.K...................................... 182,000 131,197 Toyo Radiator Co., Ltd................................ 93,000 163,957 *Toyo Securities Co., Ltd............................. 267,000 292,889 Toyo Shutter Co., Ltd................................. 66,000 179,965 #Toyoda Boshoku Corp.................................. 71,000 134,629 Tsubaki Nakashima Co., Ltd............................ 28,000 160,157 #Tsudakoma Corp....................................... 237,000 557,101 *Tsugami Corp......................................... 282,000 408,776 Tsurumi Manufacturing Co., Ltd........................ 7,000 39,491 Tsutsumi Jewelry Co., Ltd............................. 25,000 309,500 Tsutsunaka Plastic Industry Co., Ltd.................. 61,000 195,965 Uchida Yoko Co., Ltd.................................. 202,000 462,167 Ueki Corp............................................. 113,000 177,081 Wakachiku Construction Co., Ltd....................... 167,000 171,416 #Yahagi Construction Co., Ltd......................... 130,000 509,305 Yamamura Glass Co., Ltd............................... 227,000 430,433 Yamatane Corp......................................... 105,000 180,999 *#Yamatane Securities Co., Ltd........................ 83,000 57,881 Yamato International, Inc............................. 72,000 99,855 Yokogawa Bridge Corp.................................. 66,000 227,542 Yokohama Reito Co., Ltd............................... 8,000 64,564 Yomeishu Seizo Co., Ltd............................... 9,000 47,882 Yondenko Corp......................................... 139,650 547,111 Yurtec Corp........................................... 80,000 463,859 ------------ TOTAL COMMON STOCKS (Cost $213,025,224).................................. 101,054,308 ------------ INVESTMENT IN CURRENCY -- (0.3%) *Japanese Yen (Cost $1,346,714)....................... 1,341,445 ------------ TOTAL -- JAPAN (Cost $214,371,938).................................. 102,395,753 ------------ UNITED KINGDOM -- (17.7%) COMMON STOCKS -- (17.5%) 600 Group P.L.C....................................... 144,000 291,135 ABI Leisure Group P.L.C............................... 65,000 34,497 ASDA Property Holdings P.L.C.......................... 111,000 315,118 *ASW Holdings P.L.C................................... 404,000 262,055 45
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THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------------ ------------ Abbeycrest P.L.C...................................... 70,000 $ 137,396 Acatos & Hutcheson P.L.C.............................. 60,404 291,060 Adam & Harvey Group P.L.C............................. 8,000 45,490 Adscene Group P.L.C................................... 60,000 138,997 Adwest Group P.L.C.................................... 150,000 379,082 Airflow Streamlines P.L.C............................. 19,305 52,040 Alexanders Holdings P.L.C............................. 71,000 11,962 Alexandra Workwear P.L.C.............................. 46,000 94,164 Allders P.L.C......................................... 131,842 495,347 Allied London Properties P.L.C........................ 183,000 271,322 Allied Textile Companies P.L.C........................ 102,000 223,406 Amec P.L.C............................................ 119,571 256,854 Anglo Eastern Plantations P.L.C....................... 57,195 85,281 *Anite Group P.L.C.................................... 800,000 552,618 Apollo Metals P.L.C................................... 20,000 35,886 Appleyard Group P.L.C................................. 139,000 183,838 Arcadian International P.L.C.......................... 106,666 107,827 Arlen P.L.C........................................... 100,000 53,493 Ascot Holdings P.L.C.................................. 52,000 220,339 Associated Nursing Services P.L.C..................... 85,000 193,332 Austin Reed Group P.L.C............................... 55,000 180,696 Avesco P.L.C.......................................... 30,857 194,176 Avon Rubber P.L.C..................................... 27,766 292,378 Avonside Group P.L.C.................................. 75,000 48,649 BLP Group P.L.C....................................... 35,000 90,811 BSG International P.L.C............................... 552,500 1,149,609 BSM Group P.L.C....................................... 50,000 160,478 Babcock International Group P.L.C..................... 300,000 389,191 Baggeridge Brick P.L.C................................ 72,000 110,995 Baird (William) P.L.C................................. 236,500 862,661 Baldwin P.L.C......................................... 30,000 58,126 Bandt P.L.C........................................... 326,334 162,194 Banks (Sidney C.) P.L.C............................... 37,000 181,715 Barcom P.L.C.......................................... 70,000 59,558 Bardon Group P.L.C.................................... 1,822,114 1,565,657 Barr & Wallace Arnold Trust P.L.C..................... 40,000 111,871 Barr (A.G.) P.L.C..................................... 7,500 50,418 Beales Hunter P.L.C................................... 6,000 6,217 Bellway P.L.C......................................... 50,000 292,736 *Bellwinch P.L.C...................................... 240,000 78,849 Bentalls P.L.C........................................ 102,000 250,043 Betacom P.L.C......................................... 86,077 51,483 Bett Brothers P.L.C................................... 14,000 37,976 Bilton P.L.C.......................................... 205,000 901,458 Birkby P.L.C.......................................... 63,000 160,807 Birse Group P.L.C..................................... 435,278 165,006 Black Arrow Group P.L.C............................... 35,000 59,263 Blagden Industries P.L.C.............................. 168,000 427,403 Blockleys P.L.C....................................... 45,000 32,222 Boot (Henry) & Sons P.L.C............................. 50,000 245,140 Bourne End Properties P.L.C........................... 245,042 212,617 Brasway P.L.C......................................... 103,883 36,317 Breedon P.L.C......................................... 16,000 27,361 Bridport-Gundry P.L.C................................. 17,500 35,823 Bristol United Press P.L.C............................ 61,511 435,264 Britannia Group P.L.C................................. 90,000 47,764 British Dredging P.L.C................................ 42,000 98,005 British Fittings Group P.L.C.......................... 76,000 121,643 British Mohair Holdings P.L.C......................... 10,000 16,848 *Brown & Jackson P.L.C................................ 600,000 328,538 Brunel Holdings P.L.C................................. 200,000 52,229 Bruntcliffe Aggregates P.L.C.......................... 76,000 39,054 SHARES VALUE+ ------------ ------------ Bryant Group P.L.C.................................... 160,999 $ 310,584 Budgens P.L.C......................................... 223,000 203,824 Bullough P.L.C........................................ 235,000 449,381 Burn Stewart Distillers P.L.C......................... 65,000 52,566 Burndene Investments P.L.C............................ 113,903 54,693 Burtonwood Brewery P.L.C.............................. 29,580 76,001 CLS Holdings P.L.C.................................... 247,000 549,315 CNC Properties P.L.C.................................. 24,800 31,129 Cala P.L.C............................................ 175,000 305,161 Calderburn P.L.C...................................... 150,000 120,043 Cape P.L.C............................................ 225,000 437,840 Capital & Regional Properties P.L.C................... 102,400 454,602 Carclo Engineering Group P.L.C........................ 100,000 364,761 *Carlisle Group P.L.C................................. 465,000 68,551 Carr's Milling Industries P.L.C....................... 11,000 51,892 *Cathay International P.L.C........................... 920,000 197,628 Charles Sidney P.L.C.................................. 109,000 153,343 Chesterfield Properties P.L.C......................... 27,000 270,210 Chime Communications P.L.C............................ 100,000 80,450 Chloride Group P.L.C.................................. 316,000 211,629 Church & Co. P.L.C.................................... 24,000 163,764 Clarkson (Horace) P.L.C............................... 59,305 107,412 Clinton Cards P.L.C................................... 93,000 159,038 *Clubhaus P.L.C....................................... 24,267 32,913 Colefax & Fowler Group P.L.C.......................... 96,000 167,403 Community Hospitals Group P.L.C....................... 67,000 440,805 Concentric P.L.C...................................... 150,000 309,584 Conrad Ritblat Group P.L.C............................ 43,344 207,030 Cook (D.C.) Holdings, Ltd............................. 200,000 144,894 Cornwell Parker P.L.C................................. 13,333 37,627 Cosalt P.L.C.......................................... 20,000 79,018 *Costain Group P.L.C.................................. 73,000 26,443 Countryside Property P.L.C............................ 129,660 203,161 Courtaulds Textiles P.L.C............................. 152,150 907,457 Courts P.L.C.......................................... 125,000 974,031 Cradley Group Holdings P.L.C.......................... 38,466 24,951 *Creative Publishing P.L.C............................ 30,000 69,246 *Creighton Naturally P.L.C............................ 100,000 33,696 Crest Nicholson P.L.C................................. 310,000 561,463 Crest Packaging P.L.C................................. 75,000 84,030 Crestacare P.L.C...................................... 427,000 203,234 Cropper (James) P.L.C................................. 14,000 60,502 Cussins Property Group P.L.C.......................... 25,000 40,646 *DRS Data Research Services P.L.C..................... 51,000 20,192 Daejan Holdings P.L.C................................. 27,000 718,740 Dagenham Motors Group P.L.C........................... 41,000 68,386 Dawson Group P.L.C.................................... 68,000 240,591 Dawson International P.L.C............................ 606,389 710,047 Debenham Tewson & Chinnocks Holdings P.L.C............ 42,423 60,396 Delyn Group P.L.C..................................... 18,000 28,810 Dencora P.L.C......................................... 20,000 68,235 Derwent Valley Holdings P.L.C......................... 86,000 818,649 Development Securities P.L.C.......................... 70,000 333,171 Dolphin Packaging P.L.C............................... 21,000 90,222 Domino Printing Sciences P.L.C........................ 88,000 573,038 Dwyer Estates P.L.C................................... 50,000 58,126 EIS Group P.L.C....................................... 192,400 1,000,026 *Eleco Holdings P.L.C................................. 68,900 20,315 Electronic Data Processing P.L.C...................... 25,000 23,377 Emess P.L.C........................................... 200,000 75,816 *English & Overseas Properties P.L.C.................. 100,000 28,642 46
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THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------------ ------------ Etam P.L.C............................................ 95,000 $ 213,676 Eurodollar (Holdings) P.L.C........................... 63,000 199,549 European Motor Holdings P.L.C......................... 250,000 395,930 Evans Halshaw Holdings P.L.C.......................... 60,000 293,157 Evans of Leeds P.L.C.................................. 210,000 534,253 Ewart P.L.C........................................... 10,000 11,794 Exco P.L.C............................................ 200,000 124,676 *Eyecare Products P.L.C............................... 88,988 17,617 FII Group P.L.C....................................... 80,000 120,969 Faber Prest P.L.C..................................... 24,000 138,491 Fenner P.L.C.......................................... 175,000 555,777 Fine Art Developments P.L.C........................... 30,000 77,586 Finlay (James) P.L.C.................................. 180,000 344,207 Firth Rixson P.L.C.................................... 220,511 396,597 Five Oaks Investments P.L.C........................... 168,000 89,160 French P.L.C.......................................... 17,000 14,321 Friendly Hotels P.L.C................................. 35,538 74,245 Frogmore Estates P.L.C................................ 93,039 751,631 Frost Group P.L.C..................................... 196,000 328,572 GBE International P.L.C............................... 309,427 62,559 GEI International P.L.C............................... 150,000 257,776 Galliford P.L.C....................................... 160,000 52,566 Gerrard Group P.L.C................................... 75,010 393,666 Gleeson (M.J.) Group P.L.C............................ 14,300 248,758 Grainger Trust, Ltd................................... 42,000 222,900 *Greene King P.L.C.................................... 47,000 516,293 *Greenwich Resources P.L.C............................ 156,000 42,053 Greycoat P.L.C........................................ 232,000 805,204 Hall Engineering (Holdings) P.L.C..................... 81,000 242,916 Hamlet Group P.L.C.................................... 42,000 15,921 Hampden Group P.L.C................................... 25,000 39,804 Hampson Industries P.L.C.............................. 95,295 118,007 *Hampton Trust P.L.C.................................. 200,475 89,507 Hardy Oil & Gas P.L.C................................. 169,000 798,676 Hardys & Hansons P.L.C................................ 72,500 262,620 Harris (Philip) P.L.C................................. 35,000 168,060 Hartstone Group P.L.C................................. 1,182,431 139,452 Hazlewood Foods P.L.C................................. 395,500 1,036,162 Healthcall Group P.L.C................................ 72,000 80,669 *Helene P.L.C......................................... 282,000 33,258 Helical Bar P.L.C..................................... 23,000 213,322 Hemingway Properties P.L.C............................ 300,000 241,349 Hi-Tech Sports P.L.C.................................. 61,000 42,137 *Hickson International P.L.C.......................... 741,000 742,824 Hill & Smith Holdings P.L.C........................... 56,639 54,870 *Hollas Group P.L.C................................... 100,000 4,212 Holt (Joseph) P.L.C................................... 5,878 215,397 Hopkinsons Group P.L.C................................ 312,000 165,583 *Horace Small Apparel P.L.C........................... 48,000 61,866 How Group P.L.C....................................... 66,000 76,170 Howard Holdings P.L.C................................. 100,000 30,327 Hunters Armley Group P.L.C............................ 59,394 86,559 Hunting P.L.C......................................... 155,000 540,571 *Huntingdon Life Sciences Group P.L.C................. 107,000 90,137 IAF Group P.L.C....................................... 66,500 102,517 Ibstock P.L.C......................................... 1,583,000 1,413,539 *Iceland Group P.L.C.................................. 569,000 1,203,114 Independent Insurance Group P.L.C..................... 66,500 1,145,608 Inn Business Group.................................... 150,000 147,842 Inveresk P.L.C........................................ 20,000 26,452 JLI Group P.L.C....................................... 114,000 113,320 SHARES VALUE+ ------------ ------------ Jacobs (John I.) P.L.C................................ 117,419 $ 179,035 Jeyes Group P.L.C..................................... 39,000 83,777 Johnson Group Cleaners P.L.C.......................... 37,000 131,845 Johnston Group P.L.C.................................. 14,000 82,556 Jones & Shipman P.L.C................................. 35,000 19,754 Joseph (Leopold) Holdings P.L.C....................... 9,000 95,529 Kalamazoo Computer Group P.L.C........................ 12,200 14,286 Kelsey Industries P.L.C............................... 3,000 20,976 Kenwood Appliances P.L.C.............................. 100,000 196,280 Kunick P.L.C.......................................... 799,000 296,156 Laing (John) P.L.C.................................... 71,897 413,668 Lambert Fenchurch P.L.C............................... 72,220 136,887 Lambert Howarth Group P.L.C........................... 15,073 52,060 Leeds Group P.L.C..................................... 107,000 201,006 Liberty P.L.C......................................... 4,900 29,307 Lilleshall P.L.C...................................... 29,000 37,378 Linton Park P.L.C..................................... 30,500 196,297 Locker (Thomas) Holdings P.L.C........................ 300,000 199,650 London Industrial P.L.C............................... 30,000 195,354 London Merchant Securities P.L.C...................... 305,222 586,235 Lookers P.L.C......................................... 43,000 79,329 *Lovell (Y.J.) Holdings P.L.C......................... 29,000 5,375 MS International P.L.C................................ 49,000 16,098 *Mackie International Group P.L.C..................... 33,250 12,605 Mallett P.L.C......................................... 25,000 44,016 Manders P.L.C......................................... 54,485 137,236 Mansfield Brewery P.L.C............................... 151,000 756,859 Marshalls P.L.C....................................... 198,001 465,364 Marston Thompson & Evershed P.L.C..................... 142,000 648,349 Martin International Holdings P.L.C................... 162,000 95,529 Marylebone Warwick Balfour Group P.L.C................ 36,400 60,101 Matthews (Bernard) P.L.C.............................. 195,000 310,468 Maunders (John) Group P.L.C........................... 52,000 158,574 McAlpine (Alfred) P.L.C............................... 101,000 217,812 McCarthy & Stone P.L.C................................ 155,000 329,043 McKay Securities P.L.C................................ 36,000 74,603 Mentmore Abbey P.L.C.................................. 31,200 23,655 Merchant Retail Group P.L.C........................... 153,000 82,488 Meristem P.L.C........................................ 66,000 52,819 Merrydown P.L.C....................................... 55,000 46,332 *Micro Focus Group P.L.C.............................. 19,500 652,969 Mid-States P.L.C...................................... 50,000 17,269 Moorfield Estates P.L.C............................... 220,000 98,224 Morland & Co. P.L.C................................... 73,800 612,369 Mowlem (John) & Co. P.L.C............................. 409,037 658,138 Mucklow (A & J) Group P.L.C........................... 133,000 355,166 Neepsend P.L.C........................................ 43,000 28,617 Nightfreight P.L.C.................................... 75,000 34,749 Norcor Holdings P.L.C................................. 20,000 29,147 Norcros P.L.C......................................... 262,000 337,686 OMI International P.L.C............................... 99,000 28,355 *Oliver Group P.L.C................................... 43,000 20,647 Olives Property P.L.C................................. 125,000 58,968 Owen (H.R.) P.L.C..................................... 250,000 53,703 PGA European Tour Courses P.L.C....................... 80,000 47,175 Panther Securities P.L.C.............................. 40,000 94,012 Parkland Group P.L.C.................................. 60,000 165,785 Partridge Fine Arts P.L.C............................. 33,000 45,313 Paterson Zochonis P.L.C............................... 35,000 258,871 Peel Holdings P.L.C................................... 74,000 769,874 47
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THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------------ ------------ Perry Group P.L.C..................................... 59,000 $ 179,424 Persimmon P.L.C....................................... 15,000 54,082 Photo-Me International P.L.C.......................... 94,000 175,793 Pifco Holdings P.L.C.................................. 10,000 34,370 Pillar Property Investments P.L.C..................... 60,428 286,594 Pittards P.L.C........................................ 39,000 45,667 *Pittencrieff Resources P.L.C......................... 204,394 216,950 Plantation & General Investment P.L.C................. 24,000 36,594 Plysu P.L.C........................................... 100,000 268,727 Premier Consolidated Oilfields P.L.C.................. 1,639,916 1,505,806 Property Partnerships P.L.C........................... 10,000 44,058 Prowting P.L.C........................................ 101,261 201,315 *QS Holdings P.L.C.................................... 102,000 51,555 *Quadrant Group P.L.C................................. 5,900 4,970 *Quality Software Products Holdings P.L.C............. 11,000 43,552 Quick Group P.L.C..................................... 71,732 148,047 *Quicks Group P.L.C. Issue 97......................... 39,126 78,033 Quintain Estates & Development P.L.C.................. 39,107 103,773 RCO Holdings P.L.C.................................... 20,000 57,284 Raglan Property P.L.C................................. 313,895 137,502 *Raine P.L.C.......................................... 838,000 261,196 Ransom (William) & Son P.L.C.......................... 75,000 80,239 Rea Brothers Group P.L.C.............................. 67,906 62,925 Rea Holdings P.L.C.................................... 39,959 195,238 Readicut International P.L.C.......................... 305,810 215,109 Record Holdings P.L.C................................. 69,000 63,357 Regal Hotel Group P.L.C............................... 400,000 299,896 Ricardo Group P.L.C................................... 95,000 236,884 Richards P.L.C........................................ 62,000 36,560 Richardsons Westgarth P.L.C........................... 24,000 34,977 *Ropner P.L.C......................................... 21,000 51,302 Rowe Evans Investments P.L.C.......................... 66,400 101,244 Royal Doulton P.L.C................................... 78,000 285,171 Ruberoid P.L.C........................................ 150,000 218,604 Rugby Estates P.L.C................................... 16,000 42,727 Russell (Alexander) P.L.C............................. 40,000 57,621 SEP Industrial Holdings P.L.C......................... 370,000 174,546 Safeland P.L.C........................................ 100,000 68,235 Salvesen (Christian) P.L.C............................ 32,000 50,140 Saville (J.) Gordon Group P.L.C....................... 275,000 275,677 Savills P.L.C......................................... 66,000 121,205 Scholl P.L.C.......................................... 20,000 92,328 Scottish Metropolitan Property P.L.C.................. 380,400 621,675 *Seafield Resources P.L.C............................. 70,000 83,145 Shaftesbury P.L.C..................................... 150,000 507,970 Shani Group P.L.C..................................... 30,000 26,788 Sharpe & Fisher P.L.C................................. 14,531 55,452 Sherwood Group P.L.C.................................. 202,000 98,696 *ShopRite Group P.L.C................................. 146,000 49,811 Sidlaw Group P.L.C.................................... 88,000 140,109 *Signet Group P.L.C................................... 438,700 223,586 Silentnight Holdings P.L.C............................ 30,000 142,788 *Simon Engineering P.L.C.............................. 175,847 118,508 Sinclair (William) Holdings P.L.C..................... 40,000 146,578 Sirdar P.L.C.......................................... 95,000 81,629 Sketchley P.L.C....................................... 84,000 65,809 Smart (J.) & Co. (Contractors) P.L.C.................. 5,000 21,271 Smith (James) Estates P.L.C........................... 95,000 221,679 Specialty Shops P.L.C................................. 18,000 45,945 SHARES VALUE+ ------------ ------------ *Spring Ram Corp. P.L.C............................... 846,888 $ 178,356 St. James Beach Hotels P.L.C.......................... 29,894 100,480 St. Modwen Properties P.L.C........................... 166,000 199,970 Stanley Leisure Organisation P.L.C.................... 152,932 646,730 Stoddard Sekers International P.L.C................... 98,000 23,528 Stratagem Group P.L.C................................. 47,000 50,283 Sunleigh P.L.C........................................ 2,000,000 33,696 Swan Hill Group P.L.C................................. 87,000 129,722 *Tadpole Technology P.L.C............................. 24,000 3,336 *Tandem Group P.L.C................................... 472,000 41,750 Tay Homes P.L.C....................................... 92,000 208,478 Telemetrix P.L.C...................................... 126,000 124,187 Tibbett & Britten Group P.L.C......................... 3,692 34,118 Tomkinsons P.L.C...................................... 10,000 26,367 Tops Estates P.L.C.................................... 63,315 196,280 Town Centre Securities P.L.C.......................... 240,000 432,659 Trafford Park Estates P.L.C........................... 102,721 259,598 Transport Development Group P.L.C..................... 460,100 1,499,975 *Tring International Group P.L.C...................... 60,000 5,560 Tunstall Group P.L.C.................................. 120,000 206,221 Ugland International Holdings P.L.C................... 146,666 200,155 *Union P.L.C.......................................... 50,000 68,656 United Industries P.L.C............................... 58,000 52,280 Vardon P.L.C.......................................... 110,000 222,395 Vaux Group P.L.C...................................... 45,766 196,623 *Vert (Jacques) P.L.C................................. 45,000 16,301 Vibroplant P.L.C...................................... 185,000 193,248 *Viglen Technology P.L.C.............................. 196,000 239,412 *Villiers Group P.L.C................................. 167,000 20,399 Wainhomes P.L.C....................................... 86,000 173,872 Ward Holdings P.L.C................................... 145,000 128,256 Warner Estate Holdings P.L.C.......................... 99,000 372,790 Warnford Investments P.L.C............................ 12,000 52,566 *Wates City of London Properties P.L.C................ 281,099 528,062 Watts, Blake, Bearne & Co. P.L.C...................... 53,000 398,255 Wembley P.L.C......................................... 11,000 51,892 Westbury P.L.C........................................ 127,050 513,732 Westminster Health Care Holdings P.L.C................ 37,500 217,656 Wilson (Connolly) Holdings P.L.C...................... 238,400 672,778 Wilson Bowden P.L.C................................... 7,700 67,784 Wintrust P.L.C........................................ 24,000 144,557 Wyevale Garden Centres P.L.C.......................... 50,000 230,398 Yorklyde P.L.C........................................ 14,000 33,022 *Yorkshire Food Group P.L.C........................... 70,000 10,025 Yorkshire Group P.L.C................................. 107,500 392,118 Young & Co's Brewery P.L.C. Class A................... 5,000 55,809 Young (H.) Holdings P.L.C............................. 38,666 96,740 ------------ TOTAL COMMON STOCKS (Cost $66,317,222)................................... 76,260,788 ------------ FACE AMOUNT@ ------------ (000) BONDS -- (0.2%) *Viglen Technology P.L.C. 6.375%, 09/01/00 (Cost $424,373)........................................... 319 877,369 ------------ INVESTMENT IN CURRENCY -- (0.0%) *British Pound Sterling (Cost $49,622)*..................................... 55,683 ------------ 48
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THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------------ ------------ PREFERRED STOCKS -- (0.0%) Rea Holdings P.L.C. 9% Cumulative (Cost $1,753)....... 1,790 $ 3,016 ------------ RIGHTS/WARRANTS -- (0.0%) *Viglen Technology P.L.C. Entitlement Letters (Cost $0)................................................. 196,000 0 ------------ TOTAL -- UNITED KINGDOM (Cost $66,792,970)................................... 77,196,856 ------------ FRANCE -- (8.2%) COMMON STOCKS -- (8.1%) Agricole de la Crau................................... 200 19,344 Airfeu SA............................................. 3,141 94,706 Alain Manoukian SA.................................... 8,198 270,791 *Arbel SA............................................. 1,583 13,407 Bail-Investissement (Societe Immobiliere pour le Commerce & l'Industrie)............................. 100 13,873 Bains de Mer et du Cercle des Etrangers a Monaco...... 6,329 569,273 Banque de la Reunion.................................. 504 29,881 Bazar de l'Hotel de Ville SA.......................... 9,361 843,578 Bongrain SA........................................... 190 79,495 Burelle SA............................................ 10,986 543,392 *CEE (Continentale d'Equipements Electriques)......... 2,215 25,889 Caisse Regionale de Credit Agricole Mutuel de la Brie................................................ 5,680 327,129 *Cascades SA.......................................... 8,281 33,665 *Cofigeo (Cie Financiere Geo)......................... 205 27,086 *Compagnie Financiere pour l'Immobilier d'Enterprise Fidei............................................... 23,759 132,006 Conflandey SA......................................... 1,939 96,269 Continentale d'Entreprises SA......................... 19,198 682,915 *DMC (Dollfus Mieg et Cie)............................ 38,146 648,099 *Desquenne et Giral SA................................ 4,761 64,558 Devanlay SA........................................... 6,472 652,299 Dietrich et Cie....................................... 38,762 1,831,899 Fimalac SA............................................ 10,590 835,936 Fonderies Franco Belge................................ 913 77,327 *Francaise des Ferrailles............................. 4,855 359,387 Frankoparis SA........................................ 31,700 398,432 Galeries Lafayette SA................................. 4,985 2,165,926 Gantois Series A...................................... 465 71,757 Gascogne SA........................................... 10,334 822,730 Gautier France SA..................................... 2,227 94,648 *Gel 2000 SA.......................................... 4,629 39,990 *Genefim.............................................. 9,854 367,220 *Generale de Transport et d'Industrie................. 15,753 466,707 Gevelot............................................... 1,200 229,695 Groupe du Louvre SA................................... 4,856 253,103 Groupe Zannier SA..................................... 26,650 550,742 Guerbet SA............................................ 15,148 538,847 ICBT Groupe SA........................................ 8,110 245,904 *Immeubles de France.................................. 36,161 2,047,095 Immobanque............................................ 9,394 959,531 Immobiliere Complexes Commerciaux SA.................. 3,078 72,473 *Immobiliere et Hoteliere SA.......................... 27,700 102,289 Locindus (Cie Financiere pour la Location d'Immeubles Industrials et Commerciaux)......................... 12,163 1,561,712 SHARES VALUE+ ------------ ------------ Maire (Henri)......................................... 1,252 $ 23,986 Marie Brizard & Roger International SA................ 2,745 231,560 Matussiere et Forest SA............................... 1,020 9,434 *Maxi-livre/Profrance SA.............................. 8,442 54,197 Metal Deploye......................................... 300 16,821 Michel Thierry SA..................................... 3,269 348,856 *Mors................................................. 37,132 28,619 *NAF NAF SA........................................... 36,191 410,740 *Nordon & Cie......................................... 1,600 104,481 PSB Industries SA..................................... 1,838 158,784 *Pier Import Europe SA................................ 18,642 119,049 Plastic Omnium........................................ 16,250 1,734,144 *Primisteres Reynoird SA.............................. 5,349 164,181 *#Rochette............................................ 138,121 584,912 Rougier SA............................................ 2,715 147,167 *Rouleau-Guichard SA.................................. 2,495 99,318 Rue Imperiale de Lyon................................. 2,519 2,210,289 SAT SA (SA des Telecommunications).................... 1,068 280,410 *SEDIVER (Societe Europeene d'Isolateurs en Verre et Composite).......................................... 9,285 212,328 *SFIM (Societe de Fabrication d'Instruments de Mesure)............................................. 3,403 593,732 Sabeton............................................... 1,846 207,943 Securidev SA.......................................... 16,908 277,815 *Selectibanque SA..................................... 46,567 525,344 Signaux et d'Equipements Electroniques SA............. 26,939 812,255 Signaux Girod SA...................................... 5,407 103,039 Silic (Societe Immobiliere de Location pour l'Industrie et le Commerce)......................... 3,483 461,962 Societe d'Etudes et de Realizations pour les Industries du Bois Seribo........................... 4,015 98,275 Societe Financiere Immobail SA........................ 9,997 247,237 Societe Financiere Interbail SA....................... 27,370 755,707 *Sofco SA............................................. 2,308 3,049 Taittinger SA......................................... 2,853 1,570,155 *Teisseire France SA.................................. 6,492 176,280 *Teleflex Lionel-Dupont............................... 500 8,876 Tivoly SA............................................. 1,904 36,767 Touax SA.............................................. 1,425 49,001 *Trouvay et Cauvin SA................................. 9,481 152,570 VM Materiaux SA....................................... 1,636 67,507 Vallourec (Usines a Tubes de Lorraine Escaut et Vallourec Reunies).................................. 43,572 2,642,297 *Via Banque........................................... 21,658 612,669 ------------ TOTAL COMMON STOCKS (Cost $38,434,199)................................... 35,602,761 ------------ INVESTMENT IN CURRENCY -- (0.1%) *French Francs (Cost $323,485)........................ 323,094 ------------ RIGHTS/WARRANTS -- (0.0%) *Derichebourg Finances Warrants 07/15/98 (Cost $57,964)............................................ 4,855 3,989 ------------ TOTAL -- FRANCE (Cost $38,815,648)................................... 35,929,844 ------------ 49
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THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------------ ------------ GERMANY -- (8.1%) COMMON STOCKS -- (8.1%) Aachener und Muenchener Lebensversicherung AG......... 1,466 $ 706,474 *Anterra Vermoegensverwaltungs AG..................... 3,920 311,141 BDAG Balcke-Duerr AG.................................. 2,420 343,004 Bayerische Handelsbank AG............................. 3,463 975,781 *Bremer Woll-Kaemmerei AG............................. 5,310 463,616 *DLW AG............................................... 8,900 1,019,259 DSL Holding AG........................................ 11,850 1,981,909 Deutsche Hypotheken Bank AG, Hannover/Berlin.......... 6,387 1,430,333 Deutsche Verkehrs-Bank AG............................. 1,908 185,518 *Dierig Holding AG.................................... 1,250 96,381 Dyckerhoff & Widmann AG............................... 12,224 1,413,796 Escada AG............................................. 5,709 809,177 *Felten & Guilleaume Energietechnik AG................ 9,100 722,292 *Flender (A. Friedrich) AG............................ 9,832 1,070,253 Fuchs Petrolub AG Oel & Chemie........................ 3,517 394,803 Heilit & Woerner Bau AG............................... 8,542 668,316 #Herlitz AG........................................... 13,643 978,461 *Honsel-Werke AG...................................... 3,450 254,276 *Hutschenreuther AG Em 97............................. 8,591 165,602 #KM Europa Metal AG................................... 13,005 1,301,363 KM Europa Metal AG Em 95.............................. 1,484 139,664 *Kaufhalle AG......................................... 12,007 1,307,010 Kaufring AG........................................... 12,600 607,201 *Leffers AG, Bielefeld................................ 1,875 260,442 *Mauser Waldeck AG.................................... 1,151 117,460 *Mueller-Weingarten AG................................ 389 58,444 *Neue Baumwoll-Spinnerei und Weberei Hof AG........... 1,473 150,321 Norddeutsche Steingutfabrik AG........................ 715 9,303 Nuernberger Hypothekenbank AG......................... 1,634 453,933 *Orenstein & Koppel AG................................ 13,550 318,809 Otto Reichelt AG...................................... 36,354 515,271 Phoenix AG, Hamburg................................... 18,540 319,541 Rheinboden Hypothekenbank AG.......................... 3,900 689,862 Rheinmetall Berlin AG................................. 124,700 2,545,143 *Salamander AG, Kornwesteim........................... 12,999 2,019,314 Scor Deutschland Rueckversicherungs AG................ 415 54,115 *Sinn AG.............................................. 2,340 490,864 Stern-Brauerei Carl Funke AG.......................... 300 18,539 *Stoehr & Co. AG...................................... 4,431 427,065 *Strabag AG........................................... 15,450 1,017,836 Sueddeutsche Bodencreditbank AG....................... 4,248 1,259,591 *Triton-Belco AG, Hamburg............................. 2,977 127,429 *Tucher Braeu AG...................................... 1,047 83,697 *Varta AG............................................. 5,611 858,909 *Verseidag AG......................................... 1,205 114,773 *Voegele (Joseph) AG.................................. 1,559 243,153 WMF (Wuerttembergische Metallwarenfabrik AG).......... 6,462 1,099,086 Walter Bau AG......................................... 4,427 577,272 Weru AG............................................... 950 401,258 Westag & Getalit...................................... 1,980 432,185 Wuerttembergische AG.................................. 2,474 2,580,838 *Zanders Feinpapiere AG............................... 10,902 772,608 ------------ TOTAL COMMON STOCKS (Cost $36,937,228)................................... 35,362,691 ------------ SHARES VALUE+ ------------ ------------ INVESTMENT IN CURRENCY -- (0.0%) *German Marks (Cost $50,349).......................... $ 49,539 ------------ RIGHTS/WARRANTS -- (0.0%) *Fuchs Petrolub AG Oel & Chemie Rights 12/08/97....... 3,517 598 *Rheinboden Hypothekenbank AG Rights 12/01/97......... 3,900 0 ------------ TOTAL RIGHTS/WARRANTS (Cost $0)............................................ 598 ------------ TOTAL -- GERMANY (Cost $36,987,577)................................... 35,412,828 ------------ HONG KONG -- (4.9%) COMMON STOCKS -- (4.9%) ALCO Holdings, Ltd.................................... 710,000 41,331 Acme Landis Holdings, Ltd............................. 130,000 9,754 *Allied Group, Ltd.................................... 5,364,000 527,359 Allied Properties (Hong Kong), Ltd.................... 4,856,000 483,697 *Applied International Holdings, Ltd.................. 1,150,000 46,117 *Asia Commercial Holdings, Ltd........................ 35,960 2,303 *Asia Securities International, Ltd................... 1,356,000 224,530 #Asia Standard International Group, Ltd............... 2,940,000 612,319 Associated International Hotels, Ltd.................. 604,000 304,723 Beauforte Investors Corp., Ltd........................ 44,000 73,995 Burlingame International Co., Ltd..................... 675,000 174,638 Burwill Holdings, Ltd................................. 350,000 48,446 CDL Hotels International, Ltd......................... 2,489,041 780,815 CNT Group, Ltd........................................ 1,428,000 142,240 *Capetronic International Holdings, Ltd............... 107,000 16,056 #Century City International Holdings, Ltd............. 5,467,067 1,159,852 Cheuk Nang Properties (Holdings), Ltd................. 318,000 67,053 *Cheung Wah Development Co., Ltd...................... 898,000 33,107 Chevalier Construction Holdings, Ltd.................. 194,857 17,645 Chevalier Development International, Ltd.............. 608,000 157,303 Chevalier International Holdings, Ltd................. 1,364,110 167,640 China Foods Holdings, Ltd............................. 1,032,000 363,790 *China Investments Holdings, Ltd...................... 654,000 66,836 Chinney Investments, Ltd.............................. 752,000 154,675 Chow Sang Sang Holdings International, Ltd............ 738,000 200,484 *Chuang's China Investments, Inc...................... 3,185,000 83,227 Chuang's Consortium International, Ltd................ 3,051,760 244,763 *City Chiu Chow (Holdings), Ltd....................... 298,000 15,420 Continental Holdings, Ltd............................. 382,000 28,167 Crocodile Garments, Ltd............................... 986,000 57,398 *Culturecom Holdings, Ltd............................. 1,326,000 33,620 *Dransfield Holdings, Ltd............................. 780,000 20,180 Dynamic Holdings, Ltd................................. 320,000 73,684 Emporer (China Concept) Investments, Ltd.............. 558,000 126,321 Emporer International Holdings, Ltd................... 636,000 152,206 *Fairwood Holdings, Ltd............................... 675,000 29,688 Far East Consortium International, Ltd................ 1,326,041 183,546 *Far East Holdings International, Ltd................. 408,000 39,585 50
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THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------------ ------------ Fountain Set Holdings, Ltd............................ 1,350,000 $ 237,507 Four Seas Travel International, Ltd................... 236,000 30,529 *Fu Hui Jewelry Co. (Hong Kong), Ltd.................. 670,000 70,204 Furama Hotel Enterprises, Ltd......................... 229,029 965,856 Golden Resources Development International, Ltd....... 722,000 75,653 Grande Holdings, Ltd.................................. 448,000 173,862 Great Wall Electronic International, Ltd.............. 2,278,565 162,117 Harbour Centre Development, Ltd....................... 478,000 479,219 Harbour Ring International Holdings, Ltd.............. 2,890,000 132,718 *High Fashion International, Ltd...................... 344,000 24,030 Hong Kong Ferry (Holdings) Co., Ltd................... 200,000 258,722 Hong Kong Parkview Group, Ltd......................... 648,000 427,513 Hop Hing Holdings, Ltd................................ 604,000 76,572 Huey Tai International, Ltd........................... 2,148,338 183,422 Hwa Kay Thai Holdings, Ltd............................ 3,235,600 97,525 International Tak Cheung Holdings, Ltd................ 484,353 70,175 *Jinhui Holdings Co., Ltd............................. 694,000 43,991 Joyce Boutique Holdings, Ltd.......................... 404,000 22,473 K Wah International Holdings, Ltd..................... 849,249 168,086 KTP Holdings, Ltd..................................... 115,000 29,158 *Kader Holdings Co., Ltd.............................. 517,000 28,089 Keck Seng Investments (Hong Kong), Ltd................ 380,000 85,042 Kee-Shing Holdings Co., Ltd........................... 256,000 28,811 King Fook Holdings, Ltd............................... 338,000 28,421 Kwong Sang Hong International, Ltd.................... 1,060,000 311,955 Lai Sun Development Co., Ltd.......................... 1,390,800 512,760 Lai Sun Garment (International), Ltd.................. 448,000 279,627 Lai Sun Hotels International, Ltd..................... 382,000 28,661 *Lam Soon (Hong Kong), Ltd............................ 203,250 60,473 *Lam Soon Food Industries, Ltd........................ 156,000 58,523 Lane Crawford International, Ltd. Series A............ 63,000 62,753 Laws International Holdings, Ltd...................... 460,000 61,886 Leefung-Asco Printers Holdings, Ltd................... 128,000 19,539 *Linkful International Holdings, Ltd.................. 582,000 19,575 #Lippo, Ltd........................................... 534,000 279,770 Liu Chong Hing Investment, Ltd........................ 538,000 515,013 *Luks Industrial Co., Ltd............................. 1,556,000 85,547 *Magnificent Estates, Ltd............................. 3,678,600 81,373 *Mansion Holdings, Ltd................................ 566,000 35,145 *Megga (S.) International Holdings, Ltd............... 1,399,200 55,206 Melbourne Enterprises, Ltd............................ 41,000 251,931 Melco International Development, Ltd.................. 170,000 43,983 Min Xin Holdings, Ltd................................. 432,000 105,621 *Mui Hong Kong, Ltd................................... 514,000 12,633 Nam Hing Holdings, Ltd................................ 538,000 31,318 *Nam Pei Hong (Holdings), Ltd......................... 408,000 52,779 Nanyang Holdings, Ltd................................. 73,500 78,917 National Electronics Holdings, Ltd.................... 1,106,000 58,660 #Onfem Holdings, Ltd.................................. 684,000 99,986 Orient Power Holdings, Ltd............................ 420,000 32,056 Orient Telecom & Technology Holdings, Ltd............. 137,800 31,730 #Pacific Concord Holding, Ltd......................... 1,648,000 419,979 *Paul Y. Properties Group, Ltd........................ 113,084 7,022 SHARES VALUE+ ------------ ------------ Peregrine Investments Holdings, Ltd................... 589,000 $ 556,215 Pokfulam Development Co., Ltd......................... 166,000 81,601 *Poly Investments Holdings, Ltd....................... 1,428,000 166,255 Prestige Properties Holdings, Ltd..................... 1,112,000 149,604 Process Automation Holdings, Ltd...................... 400,000 31,564 *Prod-Art Technology (Holdings), Ltd.................. 618,000 99,132 *RJP Electronics, Ltd................................. 1,350,000 29,339 *Rhine Holdings, Ltd.................................. 260,000 9,754 *Rivera Holdings, Ltd................................. 1,912,000 53,178 Ryoden Development, Ltd............................... 1,580,000 304,542 *S.A.S.Dragon Holdings, Ltd........................... 944,000 21,493 SIS International Holdings, Ltd....................... 326,000 17,501 San Miguel Brewery Hong Kong, Ltd..................... 653,600 164,873 Sea Holdings, Ltd..................................... 948,000 493,604 Seapower Resources International, Ltd................. 2,050,000 196,241 Semi-Tech (Global) Co., Ltd........................... 2,804,148 573,142 Shaw Brothers Hong Kong, Ltd.......................... 158,000 117,525 Shell Electric Manufacturing (Holdings) Co., Ltd...... 686,000 135,775 *#Shougang Concord Century Holdings, Ltd.............. 658,000 51,923 *Shun Ho Construction (Holdings), Ltd................. 814,380 40,033 *Shun Ho Resources Holdings, Ltd...................... 510,000 30,348 Sincere Co., Ltd...................................... 872,000 90,242 *Singamas Container Holdings, Ltd..................... 360,000 19,094 South China Holdings, Ltd............................. 262,000 54,906 South China Industries, Ltd........................... 772,000 79,893 *South Sea Development Co., Ltd....................... 967,000 56,292 Starlight International Holdings, Ltd................. 708,000 44,878 #Stelux Holdings International, Ltd................... 1,862,552 199,982 *Sun Fook Kong Holdings, Ltd.......................... 1,018,000 247,577 *Swank International Manufacturing Co., Ltd........... 226,000 24,558 Tai Cheung Holdings, Ltd.............................. 1,080,000 468,029 Tai Sang Land Development, Ltd........................ 482,900 171,788 Tak Sing Alliance Holdings, Ltd....................... 537,335 41,706 Tak Wing Investment Holdings, Ltd..................... 200,000 22,509 *Team Concepts Holdings, Ltd.......................... 378,000 14,181 Tern Properties Co., Ltd.............................. 168,000 44,009 Tian An China Investments Co., Ltd.................... 2,287,000 156,800 Tian Teck Land, Ltd................................... 800,000 172,827 *Top Form International, Ltd.......................... 494,000 11,822 Tse Sui Luen Jewellry (International), Ltd............ 386,176 84,926 Tungtex (Holdings) Co., Ltd........................... 558,000 54,138 *UDL Holdings, Ltd.................................... 1,210,000 98,612 USI Holdings, Ltd..................................... 671,999 146,043 *Wah Nam Group, Ltd................................... 630,000 10,187 *Winfoong International, Ltd.......................... 499,000 35,503 *Wing Fai International, Ltd.......................... 342,000 26,103 Wing On Co. International, Ltd........................ 517,000 394,591 Wing Shan International, Ltd.......................... 870,000 112,544 Winsor Industrial Corp., Ltd.......................... 394,500 99,004 Winsor Properties Holdings, Ltd....................... 55,000 54,784 *Wo Kee Hong (Holdings), Ltd.......................... 1,946,400 104,492 *Wong's Kong King International (Holdings), Ltd....... 874,000 29,396 World Houseware (Holdings), Ltd....................... 594,000 32,273 *Yaohan International Holdings, Ltd................... 1,660,000 130,991 51
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THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------------ ------------ Yau Lee Holdings, Ltd................................. 1,022,000 $ 45,611 *Yoshiya International Corp., Ltd..................... 216,000 13,412 ------------ TOTAL COMMON STOCKS (Cost $24,181,246)................................... 21,275,974 ------------ INVESTMENT IN CURRENCY -- (0.0%) *Hong Kong Dollars (Cost $111,720).................... 111,850 ------------ RIGHTS/WARRANTS -- (0.0%) *Applied International Holdings, Ltd. Rights 12/09/97............................................ 460,000 0 *Far East Consortium International, Ltd. Warrants 10/31/98............................................ 132,604 1,544 *Far East Consortium International, Ltd. Warrants 10/31/99............................................ 132,604 1,561 *Grande Holdings, Ltd. Warrants 10/15/00.............. 89,600 6,954 *KTP Holdings, Ltd. Warrants 09/30/99................. 23,000 524 *Orient Telecom & Technology Holdings, Ltd. Warrants 12/31/00............................................ 27,560 0 ------------ TOTAL RIGHTS/WARRANTS (Cost $0)............................................ 10,583 ------------ TOTAL -- HONG KONG (Cost $24,292,966)................................... 21,398,407 ------------ AUSTRALIA -- (4.4%) COMMON STOCKS -- (4.2%) A.P. Eagers, Ltd...................................... 16,699 38,963 AAPC, Ltd............................................. 938,643 314,705 *AWA, Ltd............................................. 295,133 129,242 Aberfoyle, Ltd........................................ 148,372 258,880 *Acacia Resources, Ltd................................ 400,664 287,857 #Adelaide Brighton, Ltd............................... 249,901 239,388 *Aerodata Holdings, Ltd............................... 52,987 16,315 *An Feng Kingstream Steel, Ltd........................ 81,521 22,312 *Anzoil NL............................................ 571,982 9,784 Ashton Mining, Ltd.................................... 439,713 406,172 Atkins Carlyle, Ltd................................... 40,465 119,057 Australian Chemical Holdings, Ltd..................... 46,022 68,648 Australian Oil & Gas Corp., Ltd....................... 60,837 77,010 *Australian Resources, Ltd............................ 352,493 37,384 Avatar Industries, Ltd................................ 107,586 81,712 Bridgestone Australia, Ltd............................ 26,822 54,140 CIM Resources, Ltd.................................... 325,177 58,962 Caltex Australia, Ltd................................. 291,565 907,724 *Cambridge Gulf Exploration NL........................ 93,366 8,624 Capral Aluminium, Ltd................................. 298,167 561,047 Centennial Coal, Ltd.................................. 50,911 13,237 Central Equity, Ltd................................... 116,473 111,573 Centro Properties, Ltd................................ 175,272 268,638 *Climax Mining, Ltd................................... 139,697 32,499 Consd Paper........................................... 3,000 5,337 Consolidated Rutile, Ltd.............................. 437,974 149,839 *Coplex Resources NL.................................. 261,219 60,770 Country Road, Ltd..................................... 73,108 105,049 Coventry Group, Ltd................................... 46,430 181,084 Crane (G.E) Holdings, Ltd............................. 43,269 401,165 *Crevet, Ltd.......................................... 46,997 25,726 *Croesus Mining NL.................................... 154,735 25,410 *Crown, Ltd........................................... 525,904 313,064 Cudgen RZ, Ltd........................................ 47,724 21,226 *Cumnock Coal, Ltd.................................... 40,710 36,908 SHARES VALUE+ ------------ ------------ Davids Limited........................................ 699,874 $ 363,949 *Denehurst, Ltd....................................... 78,163 2,674 *Devex, Ltd........................................... 141,218 32,853 *Dome Resources NL.................................... 195,839 11,390 *Dominion Mining, Ltd................................. 116,119 31,781 ERG, Ltd.............................................. 254,177 219,136 Eltin, Ltd............................................ 103,876 85,291 *Emporer Mines, Ltd................................... 135,024 49,890 Energy Resources of Australia, Ltd. Series A.......... 354,731 995,154 *Equatorial Mining NL................................. 439,930 51,173 FAI Insurances, Ltd................................... 460,508 176,454 FAI Life, Ltd......................................... 159,405 75,259 Finemore Holdings, Ltd................................ 38,076 67,738 Forrester Parker Group, Ltd........................... 70,669 67,696 Gazal Corp., Ltd...................................... 89,069 82,275 *General Gold Resources NL............................ 135,245 7,866 *Gold Mines of Australia, Ltd......................... 39,934 4,509 Goldfields, Ltd....................................... 379,222 212,772 Gowing Bros., Ltd..................................... 61,627 111,744 Green's Foods, Ltd.................................... 81,301 25,033 Gwalia Consolidated, Ltd.............................. 115,618 64,870 Hancock and Gore, Ltd................................. 48,711 45,995 Harris Scarfe Holdings, Ltd........................... 63,600 124,025 *Healthscope, Ltd..................................... 84,380 37,528 Hudson Conway, Ltd.................................... 71,174 266,876 Hudson Timber & Hardware, Ltd......................... 59,500 45,598 Iama, Ltd............................................. 119,915 184,613 *Intag International, Ltd............................. 93,568 9,123 Ipoh, Ltd............................................. 155,899 229,345 JNA Telecommunications, Ltd........................... 38,610 26,418 Jupiters, Ltd......................................... 378,930 674,124 KLZ, Ltd.............................................. 77,628 128,541 *Kidston Gold Mines, Ltd.............................. 198,750 69,356 Kurts (Peter) Properties, Ltd......................... 95,367 75,042 *Lachlan Resources NL................................. 217,903 23,110 *MRI Holdings, Ltd.................................... 87,075 37,535 MacMahon Holdings, Ltd................................ 242,682 78,045 Magellan Petroleum Australia, Ltd..................... 28,131 53,895 *Meekatharra Minerals, Ltd............................ 184,462 23,981 Memtec, Ltd........................................... 16,221 577,704 Metal Manufactures, Ltd............................... 296,567 395,699 Mirvac, Ltd........................................... 208,575 328,244 *Mirvac, Ltd. Issue 97................................ 51,109 75,887 National Consolidated, Ltd............................ 318,229 88,187 National Foods, Ltd................................... 420,282 621,157 *New Hampton Goldfields NL............................ 145,700 12,462 *Newcrest Mining, Ltd................................. 384,951 384,561 Normandy Mt. Leyshon, Ltd............................. 123,978 125,549 Northern Building Society, Ltd........................ 23,034 37,195 *Orbital Engine Corp., Ltd............................ 165,000 88,061 PMP Communications, Ltd............................... 401,031 809,482 *Payce Consolidated, Ltd.............................. 74,466 39,233 *Peptide Technology, Ltd.............................. 153,432 18,372 Permanent Trustee Co., Ltd............................ 17,733 71,588 Pirelli Cables Australia, Ltd......................... 111,800 50,489 Plutonic Resources, Ltd............................... 201,947 294,323 Primac Holdings, Ltd.................................. 22,084 45,332 #QCT Resources, Ltd................................... 234,528 185,988 #QUF Industries, Ltd.................................. 128,286 279,135 RCG, Ltd.............................................. 333,947 491,273 Resolute, Ltd......................................... 274,868 193,717 52
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THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------------ ------------ Savage Resources, Ltd................................. 843,143 $ 432,683 Schaffer Corp., Ltd................................... 14,106 21,813 Sea World Property Trust.............................. 61,000 45,078 *Solution 6 Holdings, Ltd............................. 28,900 16,017 Southern Cross Broadcasting (Australia), Ltd.......... 42,306 179,474 *Spectrum Network Systems, Ltd. Series B.............. 149,597 42,991 Spicers Paper, Ltd.................................... 184,193 189,048 *St. Barbara Mines, Ltd............................... 329,338 45,069 *Star Mining Corp. NL................................. 302,691 2,900 Tassal, Ltd........................................... 35,823 31,130 *Techniche, Ltd....................................... 34,687 22,548 Thakral Holdings Group................................ 712,266 292,416 *Ticor, Ltd........................................... 394,560 134,987 *Titan Resources NL................................... 182,857 18,768 *Union Gold Mining Co. NL............................. 118,986 20,354 Visions Systems, Ltd.................................. 15,999 74,988 #Walker Corp., Ltd.................................... 349,769 175,904 Wesfi, Ltd............................................ 76,263 88,710 Westralian Sands, Ltd................................. 131,301 270,422 White (Joe) Maltings, Ltd............................. 25,607 86,730 Wide Bay Capricorn Building Society, Ltd.............. 24,909 50,790 Wills (W.D. & H.O.) Holdings, Ltd..................... 207,241 248,154 Yates (Arthur) and Co. Property, Ltd.................. 119,804 72,138 ------------ TOTAL COMMON STOCKS (Cost $24,068,002)................................... 18,098,858 ------------ INVESTMENT IN CURRENCY -- (0.2%) *Australian Dollar (Cost $947,709).................... 945,783 ------------ RIGHTS/WARRANTS -- (0.0%) *Anzoil NL Rights 12/01/97 (Cost $0).................. 197,235 270 ------------ TOTAL -- AUSTRALIA (Cost $25,015,711)................................... 19,044,911 ------------ NETHERLANDS -- (4.3%) COMMON STOCKS -- (4.2%) ACF Holding NV (Certificate).......................... 53,200 963,404 Athlon Groep NV....................................... 210 17,958 Bam Groep NV.......................................... 16,798 1,073,139 Beers NV.............................................. 6,330 216,525 Begemann Groep NV..................................... 44,600 453,190 *Begemann Groep NV Series B........................... 44,600 242,300 *Beleggingsfonds Het Zonnespectrum NV................. 26,600 152,539 Cindu International NV................................ 1,790 193,591 Econosto NV........................................... 22,327 315,596 Gamma Holding NV...................................... 53,690 2,781,795 *Gemeenschappeljk Bezit Crown van Gelder NV........... 40,320 632,805 Kas-Associatie NV..................................... 16,350 1,151,437 Koninklijke Ten Cate NV............................... 37,878 1,724,369 Krasnapolsky Hotels & Restaurants NV.................. 17,450 468,739 Landre & Glinderman NV................................ 3,218 131,119 MacIntosh NV.......................................... 62,550 1,305,780 NKF Holding NV........................................ 37,664 1,021,198 Nagron Nationaal Grondbezit NV........................ 2,182 51,588 Nedlloyd Groep NV, Rotterdam.......................... 14,000 321,839 Norit NV.............................................. 78,571 1,276,613 SHARES VALUE+ ------------ ------------ Polynorm NV........................................... 12,800 $ 1,236,248 Roto Smeets de Boer NV................................ 20,100 744,164 *Sphinx NV............................................ 36,562 365,997 *Textielgroep Twenthe NV.............................. 1,200 22,636 *Tulip Computers NV................................... 38,643 227,432 *Ubbink NV............................................ 900 23,542 *Van der Giessen de Noord............................. 13,950 561,382 *Van Dorp Groep NV.................................... 11,400 157,127 Vredestein NV......................................... 64,470 642,122 ------------ TOTAL COMMON STOCKS (Cost $17,787,790)................................... 18,476,174 ------------ INVESTMENT IN CURRENCY -- (0.1%) *Netherlands Guilder (Cost $353,023).................. 350,561 ------------ TOTAL -- NETHERLANDS (Cost $18,140,813)................................... 18,826,735 ------------ ITALY -- (4.2%) COMMON STOCKS -- (4.2%) *Ansaldo Trasporti SpA................................ 497,000 673,001 *Banca Nazionale dell'Agricoltura SpA................. 1,857,500 1,619,891 Banca Toscana......................................... 607,000 1,412,077 Banco di Chiavari e della Riviera Ligure SpA, Chiavari............................................ 172,500 342,894 Bassetti SpA.......................................... 69,000 461,184 *Brioschi Finanziaria SpA, Milano..................... 100,000 10,416 CEMENTIR (Cementarie del Tirreno SpA), Roma........... 1,400,000 1,333,526 Caltagirone SpA....................................... 1,145,000 814,331 Cementeria di Augusta SpA............................. 142,500 220,588 Cia Assicuratrice Unipol SpA.......................... 215,464 635,900 Comau SpA............................................. 295,500 752,409 Ericsson SpA.......................................... 71,000 2,765,140 *FONSPA (Credito Fondiaro e Industriale Istituto per i Finanziamenti a Medio e Lungo Termine SpA).......... 527,000 731,923 Finarte Casa d'Aste SpA (Milano)...................... 135,000 96,091 Finarte Partecipazioni Pro Arte SpA................... 221,640 132,877 *Fincasa 44 SpA....................................... 175,000 19,646 *Gabetti Holding SpA.................................. 175,000 184,514 *Grassetto SpA........................................ 110,000 25,793 *Impregilo SpA........................................ 655,000 464,324 Ipi SpA............................................... 447,500 564,538 *Linificio & Canapificio Nazionale SpA................ 185,000 92,069 Maffei SpA............................................ 90,500 114,169 Marangoni SpA, Rovereto............................... 68,000 200,689 Montefibre SpA, Milano................................ 262,464 205,044 *Necchi SpA........................................... 50,000 17,361 *Premafin Finanziaria SpA............................. 2,615,000 960,924 Previdente Cia Italiana Assicurazione SpA............. 59,000 409,710 Riva Finanziaria SpA.................................. 86,000 313,781 SISA (Societa Imballaggi Speciali Asti SpA)........... 175,000 116,461 *SMI STA Metallurgica Italiana SpA.................... 290,000 116,131 *SOPAF (Societa Partecipazioni Finanziarie SpA)....... 640,000 551,836 *#Saffa SpA, Milano................................... 172,060 479,922 *Stayer SpA........................................... 117,500 102,674 Vianini Industria SpA................................. 315,000 215,098 53
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THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------------ ------------ Vianini Lavori SpA.................................... 407,500 $ 669,714 Zucchi (Vincenzo) SpA................................. 74,000 457,348 ------------ TOTAL COMMON STOCKS (Cost $14,543,164)................................... 18,283,994 ------------ INVESTMENT IN CURRENCY -- (0.0%) *Italian Lira (Cost $596)............................. 619 ------------ TOTAL -- ITALY (Cost $14,543,760)................................... 18,284,613 ------------ SPAIN -- (4.0%) COMMON STOCKS -- (4.0%) Acieras y Forjas de Azcoita SA........................ 2,613 84,317 *BAMI SA (Inmobiliara de Construcciones y Terrenos)... 36,200 140,066 *Banco de Vitoria SA.................................. 3,678 56,110 Banco Guipuzcoano SA.................................. 19,247 797,629 Banco Pastor SA....................................... 25,800 1,833,898 Banco Zaragozano SA................................... 51,800 1,346,018 Bodegas y Bebidas SA.................................. 5,959 233,765 Construcciones Lain SA................................ 173,980 330,168 ESSA (Estacionamientos Subterraneos SA)............... 9,400 186,582 Elecnor SA............................................ 5,770 143,162 Empresa Nacional de Celulosa SA....................... 54,900 815,447 Europistas Concesionaria Espanola SA.................. 158,900 1,049,566 Fabricacion de Automoviles Renault de Espana SA....... 12,690 291,030 *#Filo SA............................................. 65,600 186,957 GESA (Gas y Electricidad SA).......................... 34,800 2,321,945 Grupo Anaya SA........................................ 12,500 233,026 *Grupo Fosforera SA................................... 12,060 18,196 Inbesos SA............................................ 3,200 39,698 *Inmobiliaria Urbis SA................................ 144,300 1,253,100 Inmobiliaria Zabalburu SA............................. 30,004 237,416 *Nueva Montana Quijano SA Series B.................... 122,740 95,476 OCP Construcciones SA, Madrid......................... 80,400 1,951,705 Omsa Alimentacion SA.................................. 38,675 194,510 Papelera de Navarra SA................................ 7,851 95,291 Pescanova SA.......................................... 24,900 292,205 Sarrio SA............................................. 216,615 755,338 Tableros de Fibras SA Series B........................ 38,487 562,626 *Tableros de Fibras SA Series B Em 97................. 19,243 276,789 Tavex Algodonera SA................................... 17,800 240,516 Transportes Ferroviarios Especiales Tranfesa.......... 25,580 223,852 Unipapel SA........................................... 17,029 353,998 Uralita SA............................................ 63,500 738,793 ------------ TOTAL COMMON STOCKS (Cost $13,103,066)................................... 17,379,195 ------------ INVESTMENT IN CURRENCY -- (0.0%) *Spanish Peseta (Cost $261,792)....................... 258,079 ------------ RIGHTS/WARRANTS -- (0.0%) *Tableros de Fibras SA, Madrid Rights 12/11/97 (Cost $0)................................................. 1 0 ------------ TOTAL -- SPAIN (Cost $13,364,858)................................... 17,637,274 ------------ SHARES VALUE+ ------------ ------------ SWITZERLAND -- (3.6%) COMMON STOCKS -- (3.6%) *Attisholz Holding AG, Attisholz...................... 1,670 $ 755,529 Banque Privee Edmond de Rothschild SA, Geneve......... 105 405,067 Bucher Holding AG, Niederweningen..................... 2,125 1,892,943 Calida Holding AG, Oberkirch.......................... 100 96,795 Canon (Schweiz) AG, Dietlikon......................... 9,900 604,129 Carlo Gavazzi Holding AG, Baar Series B............... 230 170,198 Coop Bank, Basel...................................... 370 241,357 Daetwyler Holding AG, Atldorf......................... 940 1,714,258 Feldschloesschen-Huerlimann Holding AG, Rheinfelden... 5,035 1,977,709 Financiere Tradition, Lausanne........................ 30 34,194 *Galenica Holding AG, Bern Series B................... 3,115 1,562,208 Golay-Buchel Holding SA, Lausanne..................... 125 133,269 Industrieholding Cham AG, Cham........................ 325 237,078 Keramik Holding AG Laufen, Laufen..................... 1,540 694,555 Kuehne & Nagel International AG, Schindellegi......... 700 473,806 *Maag Holding AG, Zuerich............................. 1,900 314,514 *Porst Holding AG, Jegenstorf......................... 1,500 182,017 *Sihl Zuercher Papierfabriek an der Sihl, Zuerich..... 50 31,213 UMS Schweizerische Metallwerke Holding AG, Bern....... 3,200 227,820 Unigestion Holding, Geneve............................ 9,200 451,711 Vaudoise Assurances Holding, Lausanne................. 189 450,066 Vaudoise d'Electricite SA, Morges..................... 95 176,581 *Von Moos Holding AG, Luzern.......................... 9,000 88,378 *WMH Walter Meier Holding AG, Staefa.................. 260 183,280 Zellweger Luwa AG, Uster.............................. 590 420,042 *Zschokke Holding SA, Geneve.......................... 1,950 403,489 *Zueblin Holding AG, Zuerich.......................... 3,300 94,901 Zuercher Ziegeleien Holding, Zuerich.................. 2,000 1,655,339 ------------ TOTAL COMMON STOCKS (Cost $14,081,093)................................... 15,672,446 ------------ INVESTMENT IN CURRENCY -- (0.0%) *Swiss Francs (Cost $40).............................. 43 ------------ TOTAL -- SWITZERLAND (Cost $14,081,133)................................... 15,672,489 ------------ MALAYSIA -- (3.5%) COMMON STOCKS -- (3.4%) Advance Synergy Berhad................................ 523,000 113,857 Affin Holdings Berhad................................. 529,000 236,388 Amsteel Corp. Berhad.................................. 1,912,000 484,704 Ancom Berhad.......................................... 171,000 52,411 Angkasa Marketing Berhad.............................. 206,000 83,202 Anson Perdana Berhad.................................. 122,000 90,512 Antah Holding Berhad.................................. 275,000 90,589 *Aokam Perdana Berhad................................. 310,000 59,495 Arab Malaysia Corp. Berhad............................ 276,000 124,123 Asia Pacific Land Berhad.............................. 1,101,000 159,266 Austral Amalgamated Berhad............................ 256,000 45,832 Austral Enterprises Berhad............................ 224,000 250,241 BIMB Holdings Berhad.................................. 163,800 54,897 Bandar Raya Developments Berhad....................... 605,000 178,500 54
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THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------------ ------------ Batu Kawan Berhad..................................... 358,000 $ 436,855 Berjaya Industrial Berhad............................. 130,000 27,929 *Best World Land Berhad............................... 232,000 43,196 Bolton Properties Berhad.............................. 291,000 79,188 Boustead Holdings Berhad.............................. 541,000 560,985 *CHG Industries Berhad................................ 60,000 19,077 Cahya Mata Sarawak Berhad............................. 113,000 79,303 Cement Industries of Malaysia Berhad.................. 204,000 178,812 Chin Teck Plantations Berhad.......................... 55,000 64,279 Chocolate Products (Malaysia) Berhad.................. 540,000 95,903 Cold Storage (Malaysia) Berhad........................ 125,000 39,387 *DNP Holdings Berhad.................................. 487,000 104,625 *Damansara Realty Berhad.............................. 1,136,000 255,442 Diethelm Holdings (Malaysia) Berhad................... 101,000 25,459 Diversified Resources Berhad.......................... 257,000 123,677 Eastern & Oriental Berhad............................. 143,000 45,877 Eastern Pacific Industrial Corp. Berhad............... 125,000 30,435 FACB Berhad........................................... 969,000 140,172 FCW Holdings Berhad................................... 182,000 39,621 *Faber Group Berhad Issue 96.......................... 502,000 112,161 Far East Holdings Berhad.............................. 78,000 29,493 Federal Flour Mills Berhad............................ 274,000 301,389 Gadek (Malaysia) Berhad............................... 103,000 92,053 *General Corp. Berhad................................. 521,000 91,036 George Town Holdings Berhad........................... 171,000 78,372 Gold Coin (Malaysia) Berhad........................... 47,000 34,061 Golden Plus Holdings Berhad........................... 143,000 62,672 *Granite Industries Berhad............................ 345,000 126,495 *Gula Perak Berhad.................................... 357,000 111,465 Guthrie Ropel Berhad.................................. 196,000 128,569 IGB Corp. Berhad...................................... 583,000 202,069 *Insas Berhad......................................... 794,000 183,089 Integrated Logistics Berhad........................... 107,000 33,715 *Intria Behard........................................ 1,127,500 161,485 Island & Peninsular Berhad............................ 242,000 183,699 Jasa Megah Industries Berhad.......................... 226,000 129,474 Jeram Kuantan (Malaysia) Berhad....................... 42,000 9,143 KIG Glass Industrial Berhad........................... 218,000 49,332 Kamunting Corp. Berhad................................ 1,648,000 325,725 Kanzen Berhad......................................... 83,000 22,111 Keck Seng (Malaysia) Berhad........................... 373,000 181,636 *Kelanamas Industries Berhad.......................... 162,000 32,483 Kim Hin Industry Berhad............................... 131,000 31,145 Kuala Sidim Berhad.................................... 203,000 203,521 *Kumpulan Emas Berhad................................. 652,000 95,250 Land & General Berhad................................. 541,000 170,465 Landmarks Berhad...................................... 452,000 114,585 Larut Consolidated Berhad............................. 291,000 90,858 Leader Universal Holdings Berhad...................... 636,000 218,617 *Leong Hup Holdings Berhad............................ 230,000 53,695 *Lion Corp. Berhad.................................... 189,000 94,201 Lion Land Berhad...................................... 1,534,000 364,711 *MBF Holdings Berhad.................................. 1,155,000 201,817 *MBF Land Berhad...................................... 842,000 130,242 *MCB Holdings Berhad.................................. 173,000 35,432 MMC Engineering Group Berhad.......................... 25,000 12,174 MUI Properties Berhad................................. 1,017,400 182,145 MWE Holdings Berhad................................... 228,000 55,514 Malayan Flour Mills Berhad............................ 137,000 39,243 SHARES VALUE+ ------------ ------------ Malayawata Steel Berhad............................... 306,000 $ 87,653 Malaysia Building Society Berhad...................... 170,000 61,844 Malaysia Mining Corp. Berhad.......................... 1,531,000 684,140 Malaysian Helicopter Services Berhad.................. 1,070,000 186,964 Malaysian Industrial Development Finance Berhad....... 964,000 375,544 Malaysian Mosaics Berhad.............................. 79,000 40,733 Malaysian Plantations Berhad.......................... 497,000 170,837 Mechmar Corp.......................................... 67,000 15,354 Mega First Corp. Berhad............................... 358,000 57,940 Metrojaya Berhad...................................... 34,000 8,960 Metroplex Berhad...................................... 1,210,000 426,320 *Minho (Malaysia) Berhad.............................. 153,000 32,432 Muda Holdings Berhad.................................. 223,000 57,171 Nam Fatt Berhad....................................... 143,000 68,407 OSK Holdings.......................................... 133,000 57,908 Oriental Holdings Berhad.............................. 197,200 299,384 *PJ Development Holdings Berhad....................... 380,000 76,739 Palmco Holdings Berhad................................ 229,000 56,741 Paramount Corp. Berhad................................ 100,000 25,494 *Parit Perak Holdings Berhad.......................... 228,000 52,248 Pernas International Holdings Berhad.................. 601,000 179,041 SCB Developments Berhad............................... 215,000 81,910 *Sarawak Enterprise Corp. Berhad...................... 264,000 96,796 *Sateras Resources (Malaysia) Berhad.................. 292,000 49,767 Selangor Dredging Berhad.............................. 356,000 71,383 Selangor Properties Berhad............................ 532,000 185,916 Shangri-la Hotels (Malaysia) Berhad................... 682,000 222,707 Siah Brothers Corp. Berhad............................ 52,000 14,597 South Malaysia Industries Berhad...................... 240,000 39,186 TA Enterprise Berhad.................................. 941,000 283,025 Taiping Consolidated Berhad........................... 332,000 48,026 Talam Corp. Berhad.................................... 191,000 60,183 Tan & Tan Developments Berhad......................... 496,000 160,548 Tan Chong Motor Holdings Berhad....................... 981,000 533,910 Time Engineering Berhad............................... 731,000 234,520 Tradewinds Malaysia Berhad............................ 219,000 112,290 Tronoh Mines Malaysia Berhad.......................... 62,000 47,951 UMW Holdings Berhad................................... 95,000 89,801 Uniphone Telecommunications Berhad.................... 212,000 58,298 Utusan Melayu (Malaysia) Berhad....................... 95,000 26,804 *Wembley Industries Holdings Berhad................... 128,000 41,065 *Westmont Industries Berhad........................... 361,000 69,283 Wing Tiek Holdings Berhad............................. 86,000 22,171 Worldwide Holdings Berhad............................. 156,000 48,261 ------------ TOTAL COMMON STOCKS (Cost $40,696,718)................................... 14,809,833 ------------ INVESTMENT IN CURRENCY -- (0.1%) *Malaysian Ringetts (Cost $293,201)................... 296,631 ------------ TOTAL -- MALAYSIA (Cost $40,989,919)................................... 15,106,464 ------------ SWEDEN -- (2.9%) COMMON STOCKS -- (2.9%) Alma Industri & Handel AB Series B.................... 8,000 203,083 Angpannefoereningen AB Series B....................... 7,650 118,897 *Argonaut AB Series A................................. 62,600 135,400 *Argonaut AB Series B................................. 106,600 226,427 B & N Bylock & Nordsjoefrakt AB Series B.............. 91,800 405,438 55
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THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------------ ------------ BPA AB Series A....................................... 64,900 $ 156,345 BPA AB Series B....................................... 49,700 119,728 Beijer AB Series B.................................... 8,000 123,300 Benima Ferator Engineering AB......................... 10,600 43,658 Berg (C.F.) & Co. AB Series B......................... 19,200 67,142 Bong Ljungdahl AB..................................... 15,200 125,994 Boras Waefveri AB Series B............................ 15,900 129,737 Celsius Industrier AB Series B........................ 24,200 388,655 *#Concordia Maritime AB Series B...................... 118,100 397,696 *Evidentia Fastigheter AB Series A.................... 40,410 198,884 *Evidentia Fastigheter AB Series B.................... 3,900 19,195 FFNS Gruppen AB Series B.............................. 47,050 396,096 *Fastighits AB Celtica................................ 11,000 46,302 *Firefly AB........................................... 5,800 6,761 Forcenergy AB Series B................................ 40,700 477,057 Geveko AB Series B.................................... 16,800 213,237 *Gorthon Lines AB Series B............................ 69,300 408,387 ICB Shipping AB Series B.............................. 135,200 1,821,116 Intelligent Micro Systems Data AB..................... 7,500 44,198 JP Bank Series A...................................... 44,500 270,885 JP Bank Series B...................................... 23,100 139,121 Jacobson and Widmark AB............................... 31,000 128,481 Kjessler & Mannerstrale AB............................ 20,200 96,801 *Klippans Finpappersbruk AB........................... 30,800 107,308 Kloevern Foervaltnings AB Series B.................... 282,900 901,355 Marieberg Tidnings AB Series A........................ 24,000 618,574 NH Nordiska Holding AB................................ 86,500 156,845 *Nordstroem & Thulin AB Series B...................... 357,600 963,360 Piren AB.............................................. 16,018 105,805 Platzer Bygg AB Series B.............................. 87,900 144,584 Prifast AB............................................ 10,000 95,843 Sandblom & Stohne AB Series B......................... 5,800 48,077 Scandiaconsult AB..................................... 28,700 185,857 *Sifab Fastignets AB.................................. 35,500 243,687 *Solitair Kapital AB.................................. 265,600 270,038 Spendrups Bryggeri AB Series B........................ 23,600 213,963 *#Stena Line AB Series B.............................. 212,300 852,392 Wallenstam Byggnads AB Series B....................... 73,700 464,862 Westergyllen AB Series B.............................. 6,800 174,382 *Wihlborg & Son AB Series B........................... 224,800 381,413 ------------ TOTAL COMMON STOCKS (Cost $11,631,426)................................... 12,836,366 ------------ RIGHTS/WARRANTS -- (0.0%) *Wihlborg & Son AB Warrants Series B 12/20/00 (Cost $0)................................................. 26,000 13,638 ------------ INVESTMENT IN CURRENCY -- (0.0%) *Swedish Krona (Cost $9,077).......................... 8,967 ------------ TOTAL -- SWEDEN (Cost $11,640,503)................................... 12,858,971 ------------ SINGAPORE -- (2.7%) COMMON STOCKS -- (2.7%) Apollo Enterprises, Ltd............................... 192,000 148,292 Bonvests Holdings, Ltd................................ 471,000 186,326 *CK Tang, Ltd......................................... 57,000 41,877 Carnaudmetalbox Asia, Ltd............................. 163,000 184,235 Chevalier Singapore Holdings, Ltd..................... 200,000 40,188 Chuan Hup Holdings, Ltd............................... 516,000 204,128 Cosco Investment (Singapore), Ltd..................... 223,000 106,422 Focal Finance, Ltd.................................... 101,000 139,526 *General Magnetics, Ltd............................... 187,000 33,466 SHARES VALUE+ ------------ ------------ #Haw Par Brothers International, Ltd.................. 411,000 $ 572,937 Hind Hotels International, Ltd........................ 147,000 193,842 Hong Kok Corp., Ltd................................... 307,000 277,596 Hotel Grand Central, Ltd.............................. 327,700 144,041 Hotel Plaza, Ltd...................................... 892,000 274,456 Hotel Properties, Ltd................................. 760,000 548,812 Hour Glass, Ltd....................................... 210,000 92,306 Hwa Hong Corp., Ltd................................... 402,000 335,730 *Hwa Tat Lee, Ltd..................................... 330,000 55,949 Insurance Corp. of Singapore, Ltd..................... 112,000 152,613 Intraco, Ltd.......................................... 215,000 117,455 Isetan (Singapore), Ltd............................... 64,000 105,693 Jack Chia-MPH, Ltd.................................... 208,000 116,896 Jurong Engineering, Ltd............................... 91,000 102,284 Keppel Marine Industries, Ltd......................... 409,000 328,735 LC Development, Ltd................................... 292,000 95,345 Lee Kim Tah Holdings, Ltd............................. 72,000 39,786 Liang Court Holdings, Ltd............................. 1,052,600 317,261 Lim Kah Ngam, Ltd..................................... 221,000 131,834 Low Keng Huat Singapore, Ltd.......................... 232,000 43,704 Metro Holdings, Ltd................................... 233,800 438,963 Neptune Orient Lines, Ltd............................. 1,394,000 831,570 Orchard Parade Holdings, Ltd.......................... 459,000 259,399 Pacific Carriers, Ltd................................. 669,000 291,960 Prima, Ltd............................................ 83,000 197,007 Republic Hotels and Resorts, Ltd...................... 470,000 256,761 Resources Development Corp., Ltd...................... 88,000 116,042 SNP Corp., Ltd........................................ 72,500 27,315 *Scotts Holdings, Ltd................................. 529,000 262,419 Shangri-la Hotel, Ltd................................. 354,200 680,585 Singapura Building Society, Ltd....................... 84,000 51,691 *Singatronics, Ltd.................................... 433,000 96,523 Tat Lee Finance, Ltd.................................. 160,000 115,539 Tibs Holdings, Ltd.................................... 203,000 115,998 Times Publishing, Ltd................................. 271,000 513,912 #Tuan Sing Holdings, Ltd.............................. 1,462,000 243,280 United Engineers, Ltd................................. 334,000 253,772 United Overseas Finance, Ltd.......................... 129,000 97,204 United Overseas Land, Ltd............................. 1,321,000 1,285,721 Vickers Ballas Holdings, Ltd.......................... 543,000 298,346 WBL Corp., Ltd........................................ 82,000 120,488 ------------ TOTAL COMMON STOCKS (Cost $18,769,547)................................... 11,686,230 ------------ INVESTMENT IN CURRENCY -- (0.0%) *Singapore Dollars (Cost $80,443)..................... 80,261 ------------ RIGHTS/WARRANTS -- (0.0%) *Sembawang Resources, Ltd. Rights 12/01/97 (Cost $0)................................................. 13,200 0 ------------ TOTAL -- SINGAPORE (Cost $18,849,990)................................... 11,766,491 ------------ DENMARK -- (2.1%) COMMON STOCKS -- (2.1%) Aalborg Portland Holding A.S. Series A................ 4,056 471,183 Aalborg Portland Holding A.S. Series B................ 680 78,995 Alm Brand A.S. Series B............................... 22,464 736,050 Amagerbanken A.S...................................... 2,754 139,457 *Amagerbanken A.S. Issue 97........................... 688 20,442 Ambu International A.S. Series B...................... 358 30,392 56
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THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------------ ------------ Amtssparekassen Fyn A.S............................... 3,411 $ 228,608 Bording (F.E.) A.S. Series B.......................... 475 23,346 Broedrene Hartmann A.S. Series B...................... 1,102 172,333 *Dalhoff, Larsen & Hornemann A.S. Series B............ 1,813 89,106 Dampskibsselsk et Torm A.S............................ 3,257 295,900 Dampskibsselskabet Norden A.S......................... 737 93,300 Dansk Kautionsforsikring A.S.......................... 3,329 156,179 Djursland Bank........................................ 473 41,211 *#East Asiatic Co., Ltd............................... 38,762 398,339 Egnsbank Han Herred................................... 1,745 42,882 Egnsbank Nord A.S..................................... 508 43,126 Fih A.S. Series B..................................... 27,964 703,855 Foras Holding A.S. Series B........................... 2,379 100,778 Forstaedernes Bank.................................... 2,575 51,774 Fredgaard Radio AS.................................... 1,747 93,148 *Haandvaerkerbanken I Naestved........................ 519 37,876 Hedegaard (Peder P.) A.S.............................. 1,406 62,821 *Hoejgaard Holding A.S. Series A...................... 1,876 251,462 Hoejgaard Holding A.S. Series B....................... 1,415 189,669 Hoffman & Sonner A.S. Series B........................ 1,261 61,789 *Junckers (F.) Industrier A.S......................... 2,975 130,709 Kalkvaerksgrunde KVG A.S.............................. 1,303 91,209 Korn-Og Foderstof Kompagnet A.S....................... 21,980 605,615 Lan & Spar Bank A.S................................... 5,006 160,297 *Lauritzen (J.) Holding Series B...................... 4,378 378,182 Lokalbanken I Nordsjaelland A.S....................... 381 26,102 *Lokalbanken I Nordsjaelland A.S. Issue 97............ 7 480 *Lokalbanken I Nordsjaelland A.S. Issue 97I........... 2 134 *Midtbank A.S......................................... 5,100 167,105 Migatronic Series B................................... 1,294 51,842 Moens Bank A.S........................................ 424 22,102 Morso Bank............................................ 240 18,766 Naestved Diskontobanken............................... 651 71,748 Nordvestbank.......................................... 673 70,665 Norresundby Bank...................................... 100 16,085 Ove Arkil Series B.................................... 399 42,192 Rederiet Knud I. Larsen A.S........................... 3,619 79,772 Ringkjoebing Bank..................................... 244 48,696 Ringkjoebing Landbobank............................... 413 108,258 Skjern Bank A.S....................................... 306 25,066 Spaencom A.S.......................................... 300 29,936 Spar Nord Holding..................................... 9,999 588,235 Sparbank Vest A.S..................................... 2,374 176,786 Sparekassen Faaborg A.S............................... 1,314 96,872 Sydbank A.S........................................... 15,770 845,535 Totalbanken A.S....................................... 200 8,191 Vestjysk Bank......................................... 1,116 65,820 Wessel & Vett Magasin du Nord A.S. Series C........... 5,448 348,090 ------------ TOTAL COMMON STOCKS (Cost $9,366,216).................................... 8,888,511 ------------ INVESTMENT IN CURRENCY -- (0.0%) *Denmark Krone (Cost $116,297)........................ 115,680 ------------ TOTAL -- DENMARK (Cost $9,482,513).................................... 9,004,191 ------------ SHARES VALUE+ ------------ ------------ BELGIUM -- (1.5%) COMMON STOCKS -- (1.5%) Banque Belgo-Zairoise Belgolaise SA................... 83 $ 26,458 Belge des Betons...................................... 626 267,069 Bernheim-Comofi SA.................................... 9,640 442,396 CFE (Compagnie Francois d'Entreprises)................ 2,996 856,235 CMB (Cie Martime Belge)............................... 7,500 577,081 Cofinimmo SA.......................................... 4,850 497,128 Fabrique de Fer de Charleroi.......................... 220 1,300,109 Floridienne NV........................................ 1,900 85,889 *Forges de Clabecq SA................................. 1,760 145 *Franki NV (Cie Internationale des Pieux Armes Frankignoul SA)..................................... 1,800 21,764 Ibel.................................................. 2,500 127,095 *Immobel (Cie Immobiliere de Belgique SA)............. 17,260 1,052,959 *Papeteries de Catala SA.............................. 450 53,050 *Recticel SA.......................................... 58,686 628,951 SIPEF (Societe Internationale de Plantations & de Finance), Anvers.................................... 275 49,877 Sapec SA.............................................. 6,401 286,717 Ter Beke NV........................................... 1,600 140,698 Uco Textiles NV....................................... 2,000 268,755 ------------ TOTAL COMMON STOCKS (Cost $5,869,764).................................... 6,682,376 ------------ INVESTMENT IN CURRENCY -- (0.0%) *Belgian Francs (Cost $6,694)......................... 6,733 ------------ TOTAL -- BELGIUM (Cost $5,876,458).................................... 6,689,109 ------------ NORWAY -- (1.3%) COMMON STOCKS -- (0.9%) Bergensbanken ASA..................................... 18,042 188,153 Color Line ASA........................................ 13,300 49,932 Dyno Industrier ASA................................... 53,971 1,065,646 Elkem ASA............................................. 26,613 381,149 Fesil ASA............................................. 15,518 194,197 Helicopter Services Group ASA......................... 42,452 454,520 Hunsfos ASA........................................... 4,300 16,741 *Kongsberg Automotive ASA............................. 8,299 92,317 Kverneland ASA........................................ 18,732 330,790 Leif Hoegh & Co. ASA.................................. 1,620 31,761 *Nomadic Shipping ASA................................. 21,876 39,544 Nordlandsbanken ASA................................... 13,108 324,430 Nydalens Compagnie ASA Series A....................... 9,312 63,446 *Raufoss Ammunisjonfabrikker ASA...................... 3,100 45,260 Storli ASA Series A................................... 26,270 504,084 ------------ TOTAL COMMON STOCKS (Cost $4,028,921).................................... 3,781,970 ------------ INVESTMENT IN CURRENCY -- (0.4%) *Norwegian Krone (Cost $1,919,600).................... 1,907,308 ------------ TOTAL -- NORWAY (Cost $5,948,521).................................... 5,689,278 ------------ 57
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THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED [Download Table] FACE AMOUNT VALUE+ ------------ ------------ (000) TEMPORARY CASH INVESTMENTS -- (3.1%) Repurchase Agreement, PNC Capital Markets Inc. 5.45%, 12/01/97 (Collateralized by U.S. Treasury Notes 8.50%, 11/15/00, valued at $13,792,319) to be repurchased at $13,589,169 (Cost $13,583,000).................................. $ 13,583 $ 13,583,000 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $572,778,278)++................................ $436,497,214 ------------ ------------ -------------------- +See Note B to Financial Statements. *Non-Income Producing Securities #Total or Partial Securities on Loan @Denominated in local currency. ++Approximates cost for federal income tax purposes. See accompanying Notes to Financial Statements. 58
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THE DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO SCHEDULE OF INVESTMENTS NOVEMBER 30, 1997 [Download Table] FACE AMOUNT VALUE+ ------------ ------------ (000) AGENCY OBLIGATIONS -- (55.3%) Farm Credit System Financial Assistance Corp. 9.375%, 07/21/03................................... $ 2,000 $ 2,302,500 8.800%, 06/10/05................................... 1,000 1,145,000 Federal Farm Credit Bank 6.560%, 08/05/02................................... 2,000 2,040,740 6.320%, 09/09/02................................... 1,000 1,008,440 6.875%, 04/04/03................................... 1,190 1,234,767 7.030%, 06/24/03................................... 2,000 2,086,900 6.450%, 10/07/09................................... 2,000 2,024,400 7.160%, 05/19/10................................... 3,000 3,222,030 Federal Home Loan Bank 6.290%, 07/03/02................................... 3,100 3,125,326 6.225%, 10/17/02................................... 2,000 2,014,420 5.930%, 03/07/03................................... 10,085 10,012,891 5.440%, 10/15/03................................... 8,550 8,279,904 Federal Home Loan Mortgage Corp. 7.350%, 03/22/05................................... 2,000 2,145,320 6.130%, 02/27/06................................... 1,000 996,710 7.100%, 04/10/07................................... 2,000 2,134,320 6.480%, 12/05/11................................... 2,000 2,021,360 Federal National Mortgage Association 7.050%, 11/12/02................................... 2,000 2,084,420 6.800%, 01/10/03................................... 6,000 6,205,799 6.710%, 05/21/03................................... 2,000 2,055,360 6.050%, 06/30/03................................... 3,000 2,991,840 5.450%, 10/10/03................................... 2,000 1,937,900 7.400%, 07/01/04................................... 1,000 1,068,290 7.375%, 03/28/05................................... 1,000 1,074,260 6.220%, 03/13/06................................... 3,070 3,077,613 6.570%, 08/22/07................................... 2,000 2,050,680 Student Loan Marketing Association 5.850%, 06/01/07................................... 1,000 974,600 Tennessee Valley Authority 6.375%, 06/15/05................................... 5,000 5,062,500 ------------ TOTAL AGENCY OBLIGATIONS (Cost $72,564,581)................................... 74,378,290 ------------ FACE AMOUNT VALUE+ ------------ ------------ (000) U.S. TREASURY OBLIGATIONS -- (43.1%) U.S. Treasury Bonds 11.625%, 11/15/02.................................. $ 5,340 $ 6,643,921 10.750%, 02/15/03.................................. 4,000 4,863,480 10.750%, 05/15/03.................................. 8,000 9,794,640 11.125%, 08/15/03.................................. 2,000 2,502,820 11.875%, 11/15/03.................................. 3,000 3,890,640 12.375%, 05/15/04.................................. 2,000 2,688,100 12.000%, 05/15/05.................................. 5,000 6,815,000 10.750%, 08/15/05.................................. 2,000 2,590,620 9.375%, 02/15/06................................... 7,000 8,568,979 U.S. Treasury Notes 7.250%, 05/15/04................................... 3,000 3,219,450 11.625%, 11/15/04.................................. 1,000 1,322,090 6.125%, 08/15/07................................... 5,000 5,096,999 ------------ TOTAL U.S. TREASURY OBLIGATIONS (Cost $56,457,029)................................... 57,996,739 ------------ SUPRANATIONAL OBLIGATIONS -- (0.8%) European Investment Bank 9.125%, 06/01/02 (Cost $1,092,795)................................ 1,000 1,116,250 ------------ TEMPORARY CASH INVESTMENTS -- (0.8%) Repurchase Agreement, PNC Capital Markets, Inc. 5.45%, 12/01/97 (Collateralized by U.S. Treasury Notes 6.25%, 07/31/98, valued at $1,146,600) to be repurchased at $1,122,510 (Cost $1,122,000)... 1,122 1,122,000 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $131,236,405)++................................ $134,613,279 ------------ ------------ -------------------- +See Note B to Financial Statements. ++Approximates cost for federal income tax purposes. See accompanying Notes to Financial Statements. 59
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SCHEDULES OF INVESTMENTS THE DFA ONE-YEAR FIXED INCOME PORTFOLIO NOVEMBER 30, 1997 [Enlarge/Download Table] SHARES VALUE+ ------------- ------------- Investment in The DFA One-Year Fixed Income Series of The DFA Investment Trust Company.... 75,119,478 $ 752,306,769 ------------- Total Investments (100%) (Cost $745,079,536)++........................................ $ 752,306,769 ------------- ------------- -------------- ++ The cost for federal income tax purposes is $749,300,441.  THE DFA FIVE-YEAR GOVERNMENT PORTFOLIO NOVEMBER 30, 1997 [Enlarge/Download Table] FACE AMOUNT VALUE+ ------------- ------------- (000) U.S. TREASURY OBLIGATIONS -- (99.1%) U.S. Treasury Notes 4.750%, 10/31/98........................................................................ $ 70,000 $ 69,392,393 5.875%, 10/31/98........................................................................ 52,000 52,072,280 5.500%, 11/15/98........................................................................ 3,000 2,993,280 8.875%, 11/15/98........................................................................ 60,000 61,738,794 5.750%, 12/31/98........................................................................ 2,000 2,000,920 5.875%, 01/31/99........................................................................ 11,000 11,015,509 5.875%, 02/28/99........................................................................ 2,000 2,002,980 ------------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $201,305,799)....................................... 201,216,156 ------------- TEMPORARY CASH INVESTMENTS -- (0.9%) Repurchase Agreement, PNC Capital Markets, Inc. 5.45%, 12/01/97 (Collateralized by U.S. Treasury Notes 6.25%, 07/31/98, valued at $1,883,700) to be repurchased at $1,850,840 (Cost $1,850,000)..................................................................... 1,850 1,850,000 ------------- TOTAL INVESTMENTS -- (100.0%) (Cost $203,155,799)++....................................... $ 203,066,156 ------------- ------------- -------------- ++Approximates cost for federal income tax purposes.  THE DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO NOVEMBER 30, 1997 [Enlarge/Download Table] SHARES VALUE+ ------------- ------------- Investment in The DFA Two-Year Global Fixed Income Series of The DFA Investment Trust Company....................................... 40,996,217 $ 418,906,560 ------------- Total Investments (100%) (Cost $413,497,994)++........................................ $ 418,906,560 ------------- ------------- -------------- ++ Approximates cost for federal income tax purposes. -------------- + See Note B to Financial Statements. See accompanying Notes to Financial Statements. 60
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THE DFA GLOBAL FIXED INCOME PORTFOLIO SCHEDULE OF INVESTMENTS NOVEMBER 30, 1997 [Download Table] FACE AMOUNT@ VALUE+ ------------ ------------ (000) GERMANY -- (22.6%) BONDS -- (22.6%) European Economic Community 6.500%, 03/10/00................................... 5,500 $ 3,245,126 Federal Home Loan Bank 6.000%, 08/23/00................................... 9,000 5,266,834 Federal National Mortgage Association 5.000%, 02/16/01................................... 7,000 3,988,479 Germany (Federal Republic of) 8.000%, 07/22/02................................... 21,000 13,364,383 LB Rheinland-Pfalz Finance BV 5.375%, 02/12/02................................... 14,700 8,413,311 Minnesota Mining and Manufacturing Co. 5.000%, 10/15/01................................... 19,700 11,190,656 Suedwest Landesbank Capital Markets 5.375%, 02/06/02................................... 7,000 4,020,229 Tokyo Electric Power 7.625%, 11/06/02................................... 7,000 4,363,119 ------------ TOTAL BONDS (Cost $54,971,155)................................... 53,852,137 ------------ INVESTMENT IN CURRENCY -- (0.0%) *German Marks (Cost $187)............................. 182 ------------ TOTAL -- GERMANY (Cost $54,971,342)................................... 53,852,319 ------------ FRANCE -- (21.9%) BONDS -- (21.9%) Belgium (Kingdom of) 6.875%, 05/30/02................................... 35,000 6,344,298 Caisse d'Amortissement et de Dette Sociale 5.500%, 04/25/02................................... 49,200 8,487,400 Credit Locale de France SA Euro Medium Term Notes 5.375%, 10/11/01................................... 31,000 5,326,747 France (Government of) BTAN 4.750%, 03/12/02................................... 30,000 5,055,315 France (Republic of) 5.500%, 10/12/01................................... 38,000 6,588,780 France Telecom SA 9.000%, 07/27/01................................... 50,000 9,591,784 KFW International Finance, Inc. 8.750%, 06/26/02................................... 15,000 2,916,919 Suedwestdeutsche Landesbank Giro & Suedwestlb Capital Markets P.L.C. 6.000%, 03/08/02................................... 15,500 2,713,522 Toyota Motor Credit Corp. Euro Medium Term Notes 6.250%, 04/11/02................................... 30,000 5,322,106 ------------ TOTAL BONDS (Cost $52,840,149)................................... 52,346,871 ------------ FACE AMOUNT@ VALUE+ ------------ ------------ (000) INVESTMENT IN CURRENCY -- (0.0%) *French Francs (Cost $1).............................. $ 1 ------------ TOTAL -- FRANCE (Cost $52,840,150)................................... 52,346,872 ------------ JAPAN -- (20.4%) BONDS -- (20.4%) Asian Development Bank 5.625%, 02/18/02................................... 400,000 3,706,484 Credit Locale de France SA 6.000%, 10/31/01................................... 400,000 3,709,305 Deutsche Siedlungs Landesrentenbank 2.600%, 07/10/02................................... 868,000 7,222,848 Inter-American Development Bank 2.250%, 02/05/02................................... 1,358,000 11,135,334 Japan Development Bank 6.500%, 09/20/01................................... 1,130,000 10,647,013 World Bank (International Bank for Reconstruction and Development) 5.250%, 03/20/02................................... 1,290,000 11,881,645 Nordic Investment Bank 2.600%, 06/28/02................................... 60,000 499,275 ------------ TOTAL -- JAPAN (Cost $51,024,408)................................... 48,801,904 ------------ CANADA -- (17.3%) BONDS -- (17.3%) Bayerische Landesbank Girozentrale 6.750%, 12/29/00................................... 2,000 1,459,152 7.250%, 10/31/01................................... 4,000 2,975,910 Canada (Government of) 7.500%, 09/01/00................................... 5,000 3,721,995 European Investment Bank 11.250%, 01/08/01.................................. 4,000 3,276,311 9.000%, 12/06/01................................... 2,000 1,577,598 6.625%, 12/31/01................................... 8,000 5,843,912 General Electric Capital Canada, Inc. 8.000%, 12/29/00................................... 5,000 3,762,040 8.250%, 12/29/00................................... 6,684 5,064,312 Oesterreichische Kontrollbank AG Euro Medium Term Notes 7.000%, 12/31/01................................... 7,140 5,281,904 Oesterreichische Postsparkasse PSK 10.750%, 08/08/01.................................. 1,600 1,315,695 SNCF (Societe Nationale des Chemins de Fer Francaise) 9.250%, 12/20/01................................... 3,570 2,832,816 Toyota Credit Canada, Inc. 7.375%, 12/31/01................................... 5,603 4,192,124 ------------ TOTAL -- CANADA (Cost $42,400,366)................................... 41,303,769 ------------ 61
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THE DFA GLOBAL FIXED INCOME PORTFOLIO CONTINUED [Download Table] FACE AMOUNT@ VALUE+ ------------ ------------ (000) AUSTRALIA -- (8.0%) BONDS -- (8.0%) ABN-Amro Australia, Ltd. 8.250%, 11/03/00................................... 5,800 $ 4,210,663 Airservices Australia 7.375%, 11/15/01................................... 2,750 1,974,608 New South Wales Treasury Corp. 8.000%, 12/01/01................................... 7,000 5,170,923 New South Wales Treasury Corp. Euro Medium Term Notes 8.750%, 04/18/02................................... 2,000 1,507,376 State Bank of New South Wales 11.750%, 08/16/01.................................. 3,800 3,084,763 10.750%, 03/12/02.................................. 2,000 1,600,433 State Bank of South Australia 11.000%, 04/10/02.................................. 2,000 1,614,801 ------------ TOTAL BONDS (Cost $20,341,765)................................... 19,163,567 ------------ INVESTMENT IN CURRENCY -- (0.0%) *Australian Dollar (Cost $1)......................... 1 ------------ TOTAL -- AUSTRALIA (Cost $20,341,766)................................... 19,163,568 ------------ UNITED STATES -- (6.9%) COMMERCIAL PAPER -- (6.9%) Barton Capital Corp. C.P. 5.750%, 01/16/98................................... 4,999 4,962,271 Den Norske Stats Olejeselskap A.S. C.P. 5.800%, 12/01/97................................... 11,000 11,000,000 Hahn Issuing Corp. C.P. 5.620%, 12/17/97................................... 600 598,502 ------------ TOTAL -- UNITED STATES (Cost $16,560,772)................................... 16,560,773 ------------ FACE AMOUNT@ VALUE+ ------------ ------------ (000) NETHERLANDS -- (2.2%) BONDS -- (2.2%) Netherlands (Kingdom of) 5.750%, 09/15/02 (Cost $5,365,481).................................. 10,000 $ 5,181,217 ------------ INVESTMENT IN CURRENCY -- (0.0%) Netherlands Guilder (Cost $5).......................................... 4 ------------ TOTAL -- NETHERLANDS (Cost $5,365,486).................................... 5,181,221 ------------ UNITED KINGDOM -- (0.0%) INVESTMENT IN CURRENCY -- (0.0%) *British Pound Sterling (Cost $70)......................................... 71 ------------ TEMPORARY CASH INVESTMENTS -- (0.7%) Repurchase Agreement, PNC Capital Markets Inc. 5.45%, 12/01/97 (Collateralized by U.S. Treasury Notes 8.50%, 11/15/00, valued at $1,637,469) to be repurchased at $1,608,730 (Cost $1,608,000).................................. 1,608 1,608,000 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $245,112,360)++.... $238,818,497 ------------ ------------ -------------------- +See Note B to Financial Statements. @Denominated in local currency. *Non-Income Producing Securities ++Approximates cost for federal income tax purposes. See accompanying Notes to Financial Statements. 62
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DFA INVESTMENT DIMENSIONS GROUP INC.  STATEMENTS OF ASSETS AND LIABILITIES NOVEMBER 30, 1997 [Enlarge/Download Table] THE U.S. THE U.S. THE ENHANCED THE U.S. 9-10 6-10 SMALL LARGE U.S. LARGE SMALL COMPANY COMPANY COMPANY COMPANY PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ------------- ------------ ------------ -------------- (AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS) ASSETS: Investments at Value.................................. $ 1,527,027 $ 338,105 $ 343,544 $ 47,616 Receivables Dividends and Interest............................ 944 -- -- -- Investment Securities Sold........................ 3,585 -- 176 -- Fund Shares Sold.................................. 377 133 76 105 Prepaid Expenses and Other Assets..................... 38 7 19 30 ------------- ------------ ------------ -------------- Total Assets.................................. 1,531,971 338,245 343,815 47,751 ------------- ------------ ------------ -------------- LIABILITIES: Payable for Investment Securities Purchased........... 20,805 133 -- 98 Payable for Fund Shares Redeemed...................... 319 -- 252 7 Accrued Expenses and Other Liabilities................ 1,420 120 26 4 ------------- ------------ ------------ -------------- Total Liabilities............................. 22,544 253 278 109 ------------- ------------ ------------ -------------- NET ASSETS............................................ $ 1,509,427 $ 337,992 $ 343,537 $ 47,642 ------------- ------------ ------------ -------------- ------------- ------------ ------------ -------------- SHARES OUTSTANDING $.01 PAR VALUE..................... 107,861,234 20,012,310 12,060,809 3,499,867 ------------- ------------ ------------ -------------- ------------- ------------ ------------ -------------- NET ASSET VALUE AND REDEMPTION PRICE PER SHARE........ $ 13.99 $ 16.89 $ 28.48 $ 13.61 ------------- ------------ ------------ -------------- ------------- ------------ ------------ -------------- PUBLIC OFFERING PRICE PER SHARE....................... $ 13.99 $ 16.89 $ 28.48 $ 13.61 ------------- ------------ ------------ -------------- ------------- ------------ ------------ -------------- Investments at Cost................................... $ 1,150,358 $ 235,193 $ 223,539 $ 41,061 ------------- ------------ ------------ -------------- ------------- ------------ ------------ -------------- [Enlarge/Download Table] THE U.S. THE DFA REAL THE U.S. LARGE CAP ESTATE 6-10 VALUE VALUE SECURITIES PORTFOLIO PORTFOLIO PORTFOLIO ------------ ------------ ------------- (AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS) ASSETS: Investments at Value...................................................... $ 2,099,209 $ 840,114 $ 94,806 Receivables Dividends and Interest................................................ -- -- 180 Investment Securities Sold............................................ -- -- 26,511 Fund Shares Sold...................................................... 595 724 76 Prepaid Expenses and Other Assets......................................... 33 22 14 ------------ ------------ ------------- Total Assets...................................................... 2,099,837 840,860 121,587 ------------ ------------ ------------- LIABILITIES: Payable for Investment Securities Purchased............................... 241 572 -- Payable for Fund Shares Redeemed.......................................... 354 152 26,459 Accrued Expenses and Other Liabilities.................................... 588 133 56 ------------ ------------ ------------- Total Liabilities................................................. 1,183 857 26,515 ------------ ------------ ------------- NET ASSETS................................................................ $ 2,098,654 $ 840,003 $ 95,072 ------------ ------------ ------------- ------------ ------------ ------------- SHARES OUTSTANDING $.01 PAR VALUE......................................... 94,995,843 43,702,326 6,121,811 ------------ ------------ ------------- ------------ ------------ ------------- NET ASSET VALUE AND REDEMPTION PRICE PER SHARE............................ $ 22.09 $ 19.22 $ 15.53 ------------ ------------ ------------- ------------ ------------ ------------- PUBLIC OFFERING PRICE PER SHARE........................................... $ 22.09 $ 19.22 $ 15.53 ------------ ------------ ------------- ------------ ------------ ------------- Investments at Cost....................................................... $ 1,396,176 $ 604,894 $ 78,077 ------------ ------------ ------------- ------------ ------------ ------------- See accompanying Notes to Financial Statements. 63
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DFA INVESTMENT DIMENSIONS GROUP INC.  STATEMENTS OF ASSETS AND LIABILITIES NOVEMBER 30, 1997 [Enlarge/Download Table] THE PACIFIC THE UNITED THE JAPANESE RIM SMALL KINGDOM SMALL SMALL COMPANY COMPANY COMPANY PORTFOLIO PORTFOLIO PORTFOLIO -------------- -------------- --------------- (AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS) ASSETS: Investments at Value............................................... $ 114,072 $ 111,369 $ 130,935 Receivables Investment Securities Sold..................................... 5,355 6,247 -- Fund Shares Sold............................................... 32 10 13 Prepaid Expenses and Other Assets.................................. 7 6 9 -------------- -------------- --------------- Total Assets............................................... 119,466 117,632 130,957 -------------- -------------- --------------- LIABILITIES: Payable for Investment Securities Purchased........................ -- -- 12 Payable for Fund Shares Redeemed................................... 5,387 6,257 1 Accrued Expenses and Other Liabilities............................. 62 55 53 -------------- -------------- --------------- Total Liabilities.......................................... 5,449 6,312 66 -------------- -------------- --------------- NET ASSETS......................................................... $ 114,017 $ 111,320 $ 130,891 -------------- -------------- --------------- -------------- -------------- --------------- SHARES OUTSTANDING $.01 PAR VALUE.................................. 12,067,337 11,691,318 4,561,540 -------------- -------------- --------------- -------------- -------------- --------------- NET ASSET VALUE AND REDEMPTION PRICE PER SHARE..................... $ 9.45 $ 9.52 $ 28.69 -------------- -------------- --------------- -------------- -------------- --------------- PUBLIC OFFERING PRICE PER SHARE.................................... $ 9.50 $ 9.62 $ 28.69 -------------- -------------- --------------- -------------- -------------- --------------- Investments at Cost................................................ $ 282,515 $ 162,813 $ 103,397 -------------- -------------- --------------- -------------- -------------- --------------- [Enlarge/Download Table] THE THE THE CONTINENTAL INTERNATIONAL RWB/DFA SMALL SMALL INTERNATIONAL COMPANY COMPANY HIGH BOOK TO PORTFOLIO PORTFOLIO MARKET PORTFOLIO ------------ ------------ ---------------- (AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS) ASSETS: Investments at Value.................................................. $ 232,841 $ 230,005 $ 275,098 Cash.................................................................. -- 17 -- Receivables Investment Securities Sold........................................ 17,217 -- 94 Fund Shares Sold.................................................. 13 1,084 110 Prepaid Expenses and Other Assets..................................... 7 48 10 ------------ ------------ ---------------- Total Assets.................................................. 250,078 231,154 275,312 ------------ ------------ ---------------- LIABILITIES: Payable for Fund Shares Redeemed...................................... 17,230 590 204 Accrued Expenses and Other Liabilities................................ 104 95 51 ------------ ------------ ---------------- Total Liabilities............................................. 17,334 685 255 ------------ ------------ ---------------- NET ASSETS............................................................ $ 232,744 $ 230,469 $ 275,057 ------------ ------------ ---------------- ------------ ------------ ---------------- SHARES OUTSTANDING $.01 PAR VALUE..................................... 14,600,074 29,455,463 21,419,739 ------------ ------------ ---------------- ------------ ------------ ---------------- NET ASSET VALUE AND REDEMPTION PRICE PER SHARE........................ $ 15.94 $ 7.82 $ 12.84 ------------ ------------ ---------------- ------------ ------------ ---------------- PUBLIC OFFERING PRICE PER SHARE....................................... $ 16.10 $ 7.87 $ 12.84 ------------ ------------ ---------------- ------------ ------------ ---------------- Investments at Cost................................................... $ 188,033 $ 290,107 $ 257,997 ------------ ------------ ---------------- ------------ ------------ ---------------- See accompanying Notes to Financial Statements. 64
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DFA INVESTMENT DIMENSIONS GROUP INC.  STATEMENTS OF ASSETS AND LIABILITIES NOVEMBER 30, 1997 [Enlarge/Download Table] THE DFA THE DFA INTERNATIONAL INTERMEDIATE THE EMERGING THE LARGE CAP SMALL CAP GOVERNMENT MARKETS INTERNATIONAL VALUE FIXED INCOME PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ------------ ------------- ------------- -------------- (AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS) ASSETS: Investments at Value.............................................. $ 212,114 $ 87,010 $ 436,497 $ 134,613 Cash.............................................................. -- 15 1,475 -- Receivables Dividends and Interest........................................ -- 255 1,678 1,969 Investment Securities Sold.................................... 120 2 1,900 -- Fund Shares Sold.............................................. 145 14 401 10 Prepaid Expenses and Other Assets................................. 19 9 46 7 ------------ ------------- ------------- -------------- Total Assets.............................................. 212,398 87,305 441,997 136,599 ------------ ------------- ------------- -------------- LIABILITIES: Payable for Investment Securities Purchased....................... -- -- 10,326 -- Payable for Fund Shares Redeemed.................................. 265 40 35 3 Accrued Expenses and Other Liabilities............................ 85 42 379 41 ------------ ------------- ------------- -------------- Total Liabilities......................................... 350 82 10,740 44 ------------ ------------- ------------- -------------- NET ASSETS........................................................ $ 212,048 $ 87,223 $ 431,257 $ 136,555 ------------ ------------- ------------- -------------- ------------ ------------- ------------- -------------- SHARES OUTSTANDING $.01 PAR VALUE................................. 22,065,103 6,112,974 54,272,582 12,111,202 ------------ ------------- ------------- -------------- ------------ ------------- ------------- -------------- NET ASSET VALUE AND REDEMPTION PRICE PER SHARE.................... $ 9.61 $ 14.27 $ 7.95 $ 11.28 ------------ ------------- ------------- -------------- ------------ ------------- ------------- -------------- PUBLIC OFFERING PRICE PER SHARE................................... $ 9.66 $ 14.27 $ 8.01 $ 11.28 ------------ ------------- ------------- -------------- ------------ ------------- ------------- -------------- Investments at Cost............................................... $ 266,677 $ 65,123 $ 572,778 $ 131,236 ------------ ------------- ------------- -------------- ------------ ------------- ------------- -------------- [Enlarge/Download Table]  THE DFA THE DFA THE DFA TWO-YEAR ONE-YEAR FIXED FIVE-YEAR GLOBAL FIXED THE DFA GLOBAL INCOME GOVERNMENT INCOME FIXED INCOME PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO -------------- ------------- ------------- -------------- (AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS) ASSETS: Investments at Value............................................ $ 752,307 $ 203,066 $ 418,907 $ 238,818 Cash............................................................ -- -- -- 15 Receivables Dividends and Interest...................................... -- 1,084 -- 6,337 Investment Securities Sold.................................. -- -- -- 12,618 Fund Shares Sold............................................ 668 320 963 376 Unrealized Gain on Forward Currency Contracts............... -- -- -- 4,733 Prepaid Expenses and Other Assets............................... 21 12 45 18 -------------- ------------- ------------- -------------- Total Assets............................................ 752,996 204,482 419,915 262,915 -------------- ------------- ------------- -------------- LIABILITIES: Payable for Investment Securities Purchased..................... 448 -- 775 12,615 Payable for Fund Shares Redeemed................................ 220 46 188 109 Accrued Expenses and Other Liabilities.......................... 91 59 47 113 -------------- ------------- ------------- -------------- Total Liabilities....................................... 759 105 1,010 12,837 -------------- ------------- ------------- -------------- NET ASSETS...................................................... $ 752,237 $ 204,377 $ 418,905 $ 250,078 -------------- ------------- ------------- -------------- -------------- ------------- ------------- -------------- SHARES OUTSTANDING $.01 PAR VALUE............................... 73,563,755 19,718,713 40,270,906 22,976,497 -------------- ------------- ------------- -------------- -------------- ------------- ------------- -------------- NET ASSET VALUE AND REDEMPTION PRICE PER SHARE.................. $ 10.23 $ 10.36 $ 10.40 $ 10.88 -------------- ------------- ------------- -------------- -------------- ------------- ------------- -------------- PUBLIC OFFERING PRICE PER SHARE................................. $ 10.23 $ 10.36 $ 10.40 $ 10.88 -------------- ------------- ------------- -------------- -------------- ------------- ------------- -------------- Investments at Cost............................................. $ 745,080 $ 203,156 $ 413,498 $ 245,112 -------------- ------------- ------------- -------------- -------------- ------------- ------------- -------------- See accompanying Notes to Financial Statements. 65
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DFA INVESTMENT DIMENSIONS GROUP INC.  STATEMENTS OF OPERATIONS FOR THE YEAR ENDED NOVEMBER 30, 1997 (AMOUNTS IN THOUSANDS) [Enlarge/Download Table] THE THE U.S. THE U.S. THE U.S. ENHANCED 9-10 SMALL 6-10 SMALL LARGE U.S. LARGE COMPANY COMPANY COMPANY COMPANY PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ----------- ----------- ----------- ----------- INVESTMENT INCOME Dividends................................................... $ 8,607 -- -- -- Interest.................................................... 1,222 -- -- -- Income from Securities Lending.............................. 738 -- -- -- Income Distributions Received............................... -- $ 2,341 -- $ 1,590 Net Investment Income from The DFA Investment Trust Company................................................... -- -- $ 4,639 -- ----------- ----------- ----------- ----------- Total Investment Income............................... 10,567 2,341 4,639 1,590 ----------- ----------- ----------- ----------- EXPENSES Investment Advisory Services................................ 6,538 -- -- -- Administrative Services..................................... -- 908 572 50 Accounting & Transfer Agent Fees............................ 649 19 105 19 Custodian's Fee............................................. 230 -- -- -- Legal Fees.................................................. 62 3 4 1 Audit Fees.................................................. 73 1 1 -- Filing Fees................................................. 93 27 48 15 Shareholders' Reports....................................... 49 11 11 1 Directors' Fees and Expenses................................ 30 2 2 2 Other....................................................... 59 1 2 7 ----------- ----------- ----------- ----------- Total Expenses........................................ 7,783 972 745 95 Less: Expenses Waived....................................... -- -- (535) (6) ----------- ----------- ----------- ----------- Net Expenses................................................ 7,783 972 210 89 ----------- ----------- ----------- ----------- NET INVESTMENT INCOME....................................... 2,784 1,369 4,429 1,501 ----------- ----------- ----------- ----------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Capital Gain Distributions Received......................... -- 25,830 -- 3,438 Net Realized Gain (Loss) on Investment Securities........... 203,572 3,502 386 (223) Change in Unrealized Appreciation (Depreciation) of Investment Securities..................................... 117,414 34,002 61,568 2,464 ----------- ----------- ----------- ----------- NET GAIN ON INVESTMENT SECURITIES........................... 320,986 63,334 61,954 5,679 ----------- ----------- ----------- ----------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.......... $ 323,770 $ 64,703 $ 66,383 $ 7,180 ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- See accompanying Notes to Financial Statements. 66
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DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED NOVEMBER 30, 1997 (AMOUNTS IN THOUSANDS) [Enlarge/Download Table] THE U.S. THE DFA THE U.S LARGE CAP REAL ESTATE 6-10 VALUE VALUE SECURITIES PORTFOLIO PORTFOLIO PORTFOLIO ----------- ----------- ----------- INVESTMENT INCOME Dividends..................................................................... -- -- $ 5,735 Interest...................................................................... -- -- 118 Income from Securities Lending................................................ -- -- 17 Income Distributions Received................................................. $ 11,533 $ 13,012 -- ----------- ----------- ----------- Total Investment Income................................................. 11,533 13,012 5,870 ----------- ----------- ----------- EXPENSES Investment Advisory Services.................................................. -- -- 290 Administrative Services....................................................... 5,061 1,045 -- Accounting & Transfer Agent Fees.............................................. 19 19 104 Custodian's Fee............................................................... -- -- 17 Legal Fees.................................................................... 14 6 6 Audit Fees.................................................................... 6 2 6 Filing Fees................................................................... 172 85 23 Shareholders' Reports......................................................... 68 28 4 Directors' Fees and Expenses.................................................. 8 4 3 Other......................................................................... 9 9 4 ----------- ----------- ----------- Total Expenses.......................................................... 5,357 1,198 457 ----------- ----------- ----------- NET INVESTMENT INCOME......................................................... 6,176 11,814 5,413 ----------- ----------- ----------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Capital Gain Distributions Received........................................... 55,250 28,840 -- Net Realized Gain (Loss) on Investment Securities............................. (793) (374) 9,447 Change in Unrealized Appreciation (Depreciation) of Investment Securities..... 429,999 112,833 8,112 ----------- ----------- ----------- NET GAIN ON INVESTMENT SECURITIES............................................. 484,456 141,299 17,559 ----------- ----------- ----------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............................ $ 490,632 $ 153,113 $ 22,972 ----------- ----------- ----------- ----------- ----------- ----------- See accompanying Notes to Financial Statements. 67
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DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED NOVEMBER 30, 1997 (AMOUNTS IN THOUSANDS) [Enlarge/Download Table] THE PACIFIC THE UNITED THE JAPANESE RIM SMALL KINGDOM SMALL SMALL COMPANY COMPANY COMPANY PORTFOLIO PORTFOLIO PORTFOLIO -------------- ----------- --------------- INVESTMENT INCOME Net Investment Income From The DFA Investment Trust Company............ $ 1,884 $ 4,684 $ 4,308 -------------- ----------- --------------- EXPENSES Administrative Services................................................ 809 784 605 Accounting & Transfer Agent Fees....................................... 38 38 38 Legal Fees............................................................. 3 3 3 Audit Fees............................................................. 1 1 -- Filing Fees............................................................ 21 21 17 Shareholders' Reports.................................................. 7 7 5 Directors' Fees and Expenses........................................... 2 2 1 Other.................................................................. 2 1 4 -------------- ----------- --------------- Total Expenses................................................... 883 857 673 -------------- ----------- --------------- NET INVESTMENT INCOME.................................................. 1,001 3,827 3,635 -------------- ----------- --------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY Net Realized Gain (Loss) on Investment Securities...................... (1,544) 5,758 12,752 Net Realized Gain (Loss) on Foreign Currency Transactions.............. 62 (370) 117 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency........................... (134,974) (81,707) (4,795) Translation of Foreign Currency Denominated Amounts.................. (17) (10) (1) -------------- ----------- --------------- NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY.......... (136,473) (76,329) 8,073 -------------- ----------- --------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.......... $ (135,472) $ (72,502) $ 11,708 -------------- ----------- --------------- -------------- ----------- --------------- See accompanying Notes to Financial Statements. 68
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DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED NOVEMBER 30, 1997 (AMOUNTS IN THOUSANDS) [Enlarge/Download Table] THE THE THE RWB/DFA CONTINENTAL INTERNATIONAL INTERNATIONAL SMALL SMALL HIGH BOOK TO COMPANY COMPANY MARKET PORTFOLIO PORTFOLIO PORTFOLIO ----------- ------------ -------------- INVESTMENT INCOME Interest............................................................... -- $ 60 -- Income Distributions Received.......................................... -- -- $ 5,209 Net Investment Income from The DFA Investment Trust Company.............................................................. $ 5,225 3,529 -- ----------- ------------ -------------- Total Investment Income............................................ 5,225 3,589 5,209 ----------- ------------ -------------- EXPENSES Administrative Services................................................ 1,134 753 27 Accounting & Transfer Agent Fees....................................... 38 31 19 Client Service Fee..................................................... -- -- 357 Legal Fees............................................................. 4 3 3 Audit Fees............................................................. 1 1 1 Filing Fees............................................................ 28 38 60 Shareholders' Reports.................................................. 10 9 10 Directors' Fees and Expenses........................................... 2 2 2 Other.................................................................. 1 10 12 ----------- ------------ -------------- Total Expenses..................................................... 1,218 847 491 ----------- ------------ -------------- NET INVESTMENT INCOME.................................................. 4,007 2,742 4,718 ----------- ------------ -------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY Capital Gain Distributions Received.................................... -- -- 5,179 Net Realized Gain (Loss) on Investment Securities...................... 16,008 (813) 44 Net Realized Loss on Foreign Currency Transactions..................... (405) (109) -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency......................... 16,460 (59,544) (21,705) Translation of Foreign Currency Denominated Amounts................ (144) (70) -- ----------- ------------ -------------- NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY.......... 31,919 (60,536) (16,482) ----------- ------------ -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............ $ 35,926 $ (57,794) $ (11,764) ----------- ------------ -------------- ----------- ------------ -------------- See accompanying Notes to Financial Statements. 69
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DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED NOVEMBER 30, 1997 (AMOUNTS IN THOUSANDS) [Enlarge/Download Table] THE DFA THE DFA THE THE LARGE INTERNATIONAL INTERMEDIATE EMERGING CAP SMALL CAP GOVERNMENT MARKETS INTERNATIONAL VALUE FIXED INCOME PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ---------- --------------- ------------ ------------- INVESTMENT INCOME Dividends, (Net of Foreign Taxes Withheld of $0, $171, $972 and $0, respectively)....................................... -- $ 1,662 $ 9,040 -- Interest...................................................... -- 107 868 $ 7,925 Income from Securities Lending................................ -- 56 250 -- Net Investment Income from The DFA Investment Trust Company... $ 3,661 -- -- -- ---------- ------- ------------ ------------- Total Investment Income................................... 3,661 1,825 10,158 7,925 ---------- ------- ------------ ------------- EXPENSES Investment Advisory Services.................................. -- 211 2,783 184 Administrative Services....................................... 890 -- -- -- Accounting & Transfer Agent Fees.............................. 38 111 455 66 Custodian's Fee............................................... -- 37 372 15 Legal Fees.................................................... 4 7 29 4 Audit Fees.................................................... 1 5 25 7 Filing Fees................................................... 57 14 114 25 Shareholders' Reports......................................... 10 3 21 5 Directors' Fees and Expenses.................................. 2 4 25 3 Other......................................................... 8 8 46 3 ---------- ------- ------------ ------------- Total Expenses............................................ 1,010 400 3,870 312 ---------- ------- ------------ ------------- NET INVESTMENT INCOME......................................... 2,651 1,425 6,288 7,613 ---------- ------- ------------ ------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY Net Realized Gain (Loss) on Investment Securities............. 151 (71) 15,347 604 Net Realized Gain (Loss) on Foreign Currency Transactions..... 698 (12) (18) -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................ (58,004) 1,055 (126,164) 281 Translation of Foreign Currency Denominated Amounts....... (18) (6) (8) -- ---------- ------- ------------ ------------- NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY.................................................... (57,173) 966 (110,843) 885 ---------- ------- ------------ ------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS... $ (54,522) $ 2,391 $ (104,555) $ 8,498 ---------- ------- ------------ ------------- ---------- ------- ------------ ------------- See accompanying Notes to Financial Statements. 70
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DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED NOVEMBER 30, 1997 (AMOUNTS IN THOUSANDS) [Enlarge/Download Table]  THE DFA THE DFA THE DFA TWO-YEAR THE DFA ONE-YEAR FIVE-YEAR GLOBAL FIXED GLOBAL FIXED FIXED INCOME GOVERNMENT INCOME INCOME PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ------------- ------------ ------------- ------------- INVESTMENT INCOME Interest...................................................... -- $ 11,919 -- $ 10,217 Income Distributions Received................................. $ 45,390 -- $ 25,359 -- ------------- ------------ ------------- ------------- Total Investment Income................................. 45,390 11,919 25,359 10,217 ------------- ------------ ------------- ------------- EXPENSES Investment Advisory Services.................................. -- 382 -- 519 Administrative Fees........................................... 768 -- 370 -- Accounting & Transfer Agent Fees.............................. 19 87 19 239 Custodian's Fee............................................... -- 24 -- 48 Legal Fees.................................................... 6 6 3 14 Audit Fees.................................................... 2 10 1 12 Filing Fees................................................... 95 23 157 27 Shareholders' Reports......................................... 26 7 14 8 Directors' Fees and Expenses.................................. 3 4 2 8 Other......................................................... 2 3 9 3 ------------- ------------ ------------- ------------- Total Expenses.......................................... 921 546 575 878 ------------- ------------ ------------- ------------- NET INVESTMENT INCOME......................................... 44,469 11,373 24,784 9,339 ------------- ------------ ------------- ------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY Capital Gain Distributions Received........................... -- -- 251 -- Net Realized Gain (Loss) on Investment Securities............. (153) 2,329 (257) 1,496 Net Realized Gain on Foreign Currency Transactions............ -- -- -- 10,999 Change in Unrealized (Depreciation) of: Investment Securities and Foreign Currency.................. (1,625) (3,322) (4,154) (9,751) Translation of Foreign Currency Denominated Amounts......... -- -- -- 3,858 ------------- ------------ ------------- ------------- NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY.................................................... (1,778) (993) (4,160) 6,602 ------------- ------------ ------------- ------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............ $ 42,691 $ 10,380 $ 20,624 $ 15,941 ------------- ------------ ------------- ------------- ------------- ------------ ------------- ------------- See accompanying Notes to Financial Statements. 71
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DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS) [Enlarge/Download Table] THE U.S. 6-10 THE ENHANCED THE U.S. 9-10 SMALL COMPANY THE U.S. LARGE U.S. LARGE SMALL COMPANY PORTFOLIO COMPANY PORTFOLIO COMPANY PORTFOLIO PORTFOLIO --------------------- -------------------- ------------------------ ------------------------ YEAR YEAR YEAR JULY 3, YEAR ENDED YEAR ENDED YEAR ENDED ENDED ENDED ENDED YEAR ENDED TO NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 1997 1996 1997 1996 1997 1996 1997 1996 ----------- ----------- ---------- --------- --------- --------- ----------- ----------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income.......... $ 2,784 $ 2,408 $ 1,369 $ 1,695 $ 4,429 $ 2,729 $ 1,501 $ 300 Capital Gain Distributions Received..................... -- -- 25,830 10,281 -- 685 3,438 -- Net Realized Gain (Loss) on Investment Securities........ 203,572 112,062 3,502 (840) 386 83 (223) 1 Change in Unrealized Appreciation (Depreciation) of Investment Securities..... 117,414 61,134 34,002 25,253 61,568 30,957 2,464 4,091 ----------- ----------- ---------- --------- --------- --------- ----------- ----------- Net Increase in Net Assets Resulting from Operations............... 323,770 175,604 64,703 36,389 66,383 34,454 7,180 4,392 ----------- ----------- ---------- --------- --------- --------- ----------- ----------- Distributions From: Net Investment Income.......... (2,613) (505) (1,724) (218) (4,238) (1,899) (1,430) -- Net Realized Gains............. (112,075) (63,526) (14,685) (5,838) (1,083) (32) (1,462) -- ----------- ----------- ---------- --------- --------- --------- ----------- ----------- Total Distributions........ (114,688) (64,031) (16,409) (6,056) (5,321) (1,931) (2,892) -- ----------- ----------- ---------- --------- --------- --------- ----------- ----------- Capital Share Transactions (1): Shares Issued.................. 280,065 244,685 150,640 72,430 129,228 84,328 30,747 25,636 Shares Issued in Lieu of Cash Distributions................ 102,836 59,632 14,417 5,852 4,190 1,569 796 -- Shares Redeemed................ (264,360) (159,560) (109,553) (61,065) (38,700) (27,774) (17,425) (792) ----------- ----------- ---------- --------- --------- --------- ----------- ----------- Net Increase From Capital Shares Transactions...... 118,541 144,757 55,504 17,217 94,718 58,123 14,118 24,844 ----------- ----------- ---------- --------- --------- --------- ----------- ----------- Total Increase............. 327,623 256,330 103,798 47,550 155,780 90,646 18,406 29,236  NET ASSETS Beginning of Period............ 1,181,804 925,474 234,194 186,644 187,757 97,111 29,236 -- ----------- ----------- ---------- --------- --------- --------- ----------- ----------- End of Period.................. $ 1,509,427 $ 1,181,804 $ 337,992 $ 234,194 $ 343,537 $ 187,757 $ 47,642 $ 29,236 ----------- ----------- ---------- --------- --------- --------- ----------- ----------- ----------- ----------- ---------- --------- --------- --------- ----------- ----------- (1) SHARES ISSUED AND REDEEMED: Shares Issued................. 22,996 21,310 10,399 5,343 5,125 4,258 2,448 2,543 Shares Issued in Lieu of Cash Distributions............... 9,206 5,684 1,066 469 173 80 68 -- Shares Redeemed............... (21,719) (13,545) (7,570) (4,459) (1,498) (1,436) (1,488) (71) ----------- ----------- ---------- --------- --------- --------- ----------- ----------- 10,483 13,449 3,895 1,353 3,800 2,902 1,028 2,472 ----------- ----------- ---------- --------- --------- --------- ----------- ----------- ----------- ----------- ---------- --------- --------- --------- ----------- ----------- See accompanying Notes to Financial Statements. 72
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DFA INVESTMENT DIMENSIONS GROUP INC.  STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS) [Enlarge/Download Table] THE U.S. THE U.S. THE DFA 6-10 VALUE LARGE CAP VALUE REAL ESTATE SECURITIES PORTFOLIO PORTFOLIO PORTFOLIO ------------------------ -------------------- ----------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 1997 1996 1997 1996 1997 1996 ----------- ----------- --------- --------- ------------ --------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income.............................. $ 6,176 $ 7,300 $ 11,814 $ 8,545 $ 5,413 $ 3,547 Capital Gain Distributions Received................ 55,250 15,384 28,840 7,389 -- -- Net Realized Gain (Loss) on Investment Securities....................................... (793) (917) (374) (293) 9,447 (381) Change in Unrealized Appreciation (Depreciation) of Investment Securities....................................... 429,999 169,583 112,833 69,244 8,112 9,679 ----------- ----------- --------- --------- ------------ --------- Net Increase in Net Assets Resulting from Operations................................... 490,632 191,350 153,113 84,885 22,972 12,845 ----------- ----------- --------- --------- ------------ --------- Distributions From: Net Investment Income.............................. (7,821) (761) (11,318) (6,174) (3,559) (628) Net Realized Gains................................. (26,324) (2,190) (11,813) (22) -- -- ----------- ----------- --------- --------- ------------ --------- Total Distributions............................ (34,145) (2,951) (23,131) (6,196) (3,559) (628) ----------- ----------- --------- --------- ------------ --------- Capital Share Transactions (1): Shares Issued...................................... 644,816 503,665 244,279 254,835 44,305 21,011 Shares Issued in Lieu of Cash Distributions........ 28,379 2,393 17,570 4,665 2,916 571 Shares Redeemed.................................... (238,326) (97,109) (92,977) (77,955) (35,952) (12,844) ----------- ----------- --------- --------- ------------ --------- Net Increase From Capital Shares Transactions................................. 434,869 408,949 168,872 181,545 11,269 8,738 ----------- ----------- --------- --------- ------------ --------- Total Increase................................. 891,356 597,348 298,854 260,234 30,682 20,955  NET ASSETS Beginning of Period................................ 1,207,298 609,950 541,149 280,915 64,390 43,435 ----------- ----------- --------- --------- ------------ --------- End of Period...................................... $ 2,098,654 $ 1,207,298 $ 840,003 $ 541,149 $ 95,072 $ 64,390 ----------- ----------- --------- --------- ------------ --------- ----------- ----------- --------- --------- ------------ --------- (1) SHARES ISSUED AND REDEEMED: Shares Issued..................................... 34,268 33,774 14,060 17,878 3,193 1,878 Shares Issued in Lieu of Cash Distributions....... 1,683 169 1,083 329 222 54 Shares Redeemed................................... (11,957) (6,426) (5,299) (5,490) (2,384) (1,184) ----------- ----------- --------- --------- ------------ --------- 23,994 27,517 9,844 12,717 1,031 748 ----------- ----------- --------- --------- ------------ --------- ----------- ----------- --------- --------- ------------ --------- See accompanying Notes to Financial Statements. 73
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DFA INVESTMENT DIMENSIONS GROUP INC.  STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS) [Enlarge/Download Table] THE JAPANESE THE PACIFIC RIM THE UNITED KINGDOM SMALL COMPANY SMALL COMPANY SMALL COMPANY PORTFOLIO PORTFOLIO PORTFOLIO ---------------------- --------------------- ---------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 1997 1996 1997 1996 1997 1996 ---------- ---------- ---------- --------- ----------- --------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income................................ $ 1,001 $ 884 $ 3,827 $ 3,482 $ 3,635 $ 4,164 Net Realized Gain (Loss) on Investment Securities.... (1,544) 17,037 5,758 11,893 12,752 8,116 Net Realized Gain (Loss) on Foreign Currency Transactions....................................... 62 (141) (370) (15) 117 (13) Change in Unrealized Appreciation (Depreciation) of : Investment Securities and Foreign Currency......... (134,974) (31,890) (81,707) 19,876 (4,795) 27,016 Translation of Foreign Currency Denominated Amounts.......................................... (17) (5) (10) 8 (1) 26 ---------- ---------- ---------- --------- ----------- --------- Net Increase (Decrease) in Net Assets Resulting from Operations...................... (135,472) (14,115) (72,502) 35,244 11,708 39,309 ---------- ---------- ---------- --------- ----------- --------- Distributions From: Net Investment Income................................ (778) (81) (4,235) (223) (4,223) (414) Net Realized Gains................................... (16,082) (5,829) (11,345) (5,234) (7,613) (10,649) ---------- ---------- ---------- --------- ----------- --------- Total Distributions.............................. (16,860) (5,910) (15,580) (5,457) (11,836) (11,063) ---------- ---------- ---------- --------- ----------- --------- Capital Share Transactions (1): Shares Issued........................................ 47,734 60,653 11,716 37,822 9,340 23,463 Shares Issued in Lieu of Cash Distributions.......... 16,860 5,910 15,580 5,457 11,836 11,063 Shares Redeemed...................................... (92,365) (123,531) (43,436) (50,661) (56,946) (63,713) ---------- ---------- ---------- --------- ----------- --------- Net Increase (Decrease) From Capital Shares Transactions................................... (27,771) (56,968) (16,140) (7,382) (35,770) (29,187) ---------- ---------- ---------- --------- ----------- --------- Total Increase (Decrease)........................ (180,103) (76,993) (104,222) 22,405 (35,898) (941)  NET ASSETS Beginning of Period.................................. 294,120 371,113 215,542 193,137 166,789 167,730 ---------- ---------- ---------- --------- ----------- --------- End of Period........................................ $ 114,017 $ 294,120 $ 111,320 $ 215,542 $ 130,891 $ 166,789 ---------- ---------- ---------- --------- ----------- --------- ---------- ---------- ---------- --------- ----------- --------- (1) SHARES ISSUED AND REDEEMED: Shares Issued....................................... 3,244 2,514 789 2,370 337 931 Shares Issued in Lieu of Cash Distribution.......... 978 247 1,051 387 440 485 Shares Redeemed..................................... (6,140) (5,069) (3,110) (3,225) (2,073) (2,522) ---------- ---------- ---------- --------- ----------- --------- (1,918) (2,308) (1,270) (468) (1,296) (1,106) ---------- ---------- ---------- --------- ----------- --------- ---------- ---------- ---------- --------- ----------- --------- See accompanying Notes to Financial Statements. 74
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DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS) [Enlarge/Download Table] THE RWB/DFA THE CONTINENTAL THE INTERNATIONAL INTERNATIONAL SMALL COMPANY SMALL COMPANY HIGH BOOK TO MARKET PORTFOLIO PORTFOLIO PORTFOLIO ----------------------- ----------------------- ----------------------- YEAR YEAR YEAR OCT. 1, YEAR YEAR ENDED ENDED ENDED TO ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 1997 1996 1997 1996 1997 1996 ------------ --------- ------------ --------- ------------ --------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income........................... $ 4,007 $ 5,883 $ 2,742 $ 85 $ 4,718 $ 4,140 Capital Gain Distributions Received............. -- -- -- -- 5,179 1,341 Net Realized Gain (Loss) on Investment Securities.................................... 16,008 18,140 (813) (75) 44 (162) Net Realized Gain (Loss) on Foreign Currency Transactions.................................. (405) (82) (109) 11 -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.... 16,460 18,297 (59,544) (558) (21,705) 23,232 Translation of Foreign Currency Denominated Amounts..................................... (144) (64) (70) (7) -- -- ------------ --------- ------------ --------- ------------ --------- Net Increase (Decrease) in Net Assets Resulting from Operations................. 35,926 42,174 (57,794) (544) (11,764) 28,551 ------------ --------- ------------ --------- ------------ --------- Distributions From: Net Investment Income........................... (5,597) (447) (200) -- (4,329) (187) Net Realized Gains.............................. (16,811) (16,253) -- -- (2,675) (33) ------------ --------- ------------ --------- ------------ --------- Total Distributions......................... (22,408) (16,700) (200) -- (7,004) (220) ------------ --------- ------------ --------- ------------ --------- Capital Share Transactions (1): Shares Issued................................... 11,783 36,520 211,077 104,726 101,480 98,529 Shares Issued in Lieu of Cash Distributions..... 22,408 16,700 200 -- 7,004 220 Shares Redeemed................................. (114,290) (93,485) (26,932) (64) (72,030) (41,726) ------------ --------- ------------ --------- ------------ --------- Net Increase (Decrease) From Capital Shares Transactions.............................. (80,099) (40,265) 184,345 104,662 36,454 57,023 ------------ --------- ------------ --------- ------------ --------- Total Increase (Decrease)................... (66,581) (14,791) 126,351 104,118 17,686 85,354  NET ASSETS Beginning of Period............................. 299,325 314,116 104,118 -- 257,371 172,017 ------------ --------- ------------ --------- ------------ --------- End of Period................................... $ 232,744 $ 299,325 $ 230,469 $ 104,118 $ 275,057 $ 257,371 ------------ --------- ------------ --------- ------------ --------- ------------ --------- ------------ --------- ------------ --------- (1) SHARES ISSUED AND REDEEMED: Shares Issued.................................. 775 2,469 21,979 10,456 7,480 7,546 Shares Issued in Lieu of Cash Distributions.... 1,582 1,233 21 -- 535 17 Shares Redeemed................................ (7,367) (6,315) (2,995) (6) (5,300) (3,173) ------------ --------- ------------ --------- ------------ --------- (5,010) (2,613) 19,005 10,450 2,715 4,390 ------------ --------- ------------ --------- ------------ --------- ------------ --------- ------------ --------- ------------ --------- See accompanying Notes to Financial Statements. 75
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DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS) [Enlarge/Download Table]  THE DFA THE EMERGING THE LARGE CAP INTERNATIONAL MARKETS INTERNATIONAL SMALL CAP VALUE PORTFOLIO PORTFOLIO PORTFOLIO -------------------- -------------------- -------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 1997 1996 1997 1996 1997 1996 --------- --------- --------- --------- --------- --------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income.................................... $ 2,651 $ 1,259 $ 1,425 $ 1,151 $ 6,288 $ 3,974 Net Realized Gain (Loss) on Investment Securities........ 151 42 (71) 553 15,347 10,843 Net Realized Gain (Loss) on Foreign Currency Transactions........................................... 698 (78) (12) 5 (18) 8 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............. (58,004) 5,535 1,055 6,974 (126,164) (3,936) Translation of Foreign Currency Denominated Amounts.... (18) 8 (6) 1 (8) (216) --------- --------- --------- --------- --------- --------- Net Increase (Decrease) in Net Assets Resulting from Operations......................................... (54,522) 6,766 2,391 8,684 (104,555) 10,673 --------- --------- --------- --------- --------- --------- Distributions From: Net Investment Income.................................... (1,330) (19) (1,189) (93) (4,587) (69) Net Realized Gains....................................... -- -- (464) -- (10,863) (18) --------- --------- --------- --------- --------- --------- Total Distributions.................................. (1,330) (19) (1,653) (93) (15,450) (87) --------- --------- --------- --------- --------- --------- Capital Share Transactions (1): Shares Issued............................................ 146,704 116,568 29,793 32,545 221,239 231,671 Shares Issued in Lieu of Cash Distributions.............. 1,330 19 1,653 93 15,450 87 Shares Redeemed.......................................... (42,159) (10,646) (24,283) (29,847) (60,915) (13,981) --------- --------- --------- --------- --------- --------- Net Increase From Capital Shares Transactions........ 105,875 105,941 7,163 2,791 175,774 217,777 --------- --------- --------- --------- --------- --------- Total Increase....................................... 50,023 112,688 7,901 11,382 55,769 228,363  NET ASSETS Beginning of Period...................................... 162,025 49,337 79,322 67,940 375,488 147,125 --------- --------- --------- --------- --------- --------- End of Period............................................ $ 212,048 $ 162,025 $ 87,223 $ 79,322 $ 431,257 $ 375,488 --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- (1) SHARES ISSUED AND REDEEMED: Shares Issued........................................... 11,652 10,008 2,101 2,443 23,265 22,038 Shares Issued in Lieu of Cash Distributions............. 114 1 122 7 1,604 9 Shares Redeemed......................................... (3,541) (935) (1,703) (2,249) (6,517) (1,330) --------- --------- --------- --------- --------- --------- 8,225 9,074 520 201 18,352 20,717 --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- See accompanying Notes to Financial Statements. 76
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DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS) [Enlarge/Download Table]  THE DFA INTERMEDIATE THE DFA THE DFA GOVERNMENT ONE-YEAR FIVE-YEAR FIXED INCOME FIXED INCOME GOVERNMENT PORTFOLIO PORTFOLIO PORTFOLIO --------------------- --------------------- --------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 1997 1996 1997 1996 1997 1996 --------- --------- --------- --------- --------- --------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income........................... $ 7,613 $ 5,416 $ 44,469 $ 41,526 $ 11,373 $ 11,329 Net Realized Gain (Loss) on Investment Securities.................................... 604 (28) (153) (278) 2,329 (887) Change in Unrealized Appreciation (Depreciation) of Investment Securities...................... 281 (323) (1,625) 4,048 (3,322) 3,233 --------- --------- --------- --------- --------- --------- Net Increase in Net Assets Resulting from Operations.................................. 8,498 5,065 42,691 45,296 10,380 13,675 --------- --------- --------- --------- --------- --------- Distributions From: Net Investment Income........................... (7,137) (3,946) (44,616) (41,474) (10,523) (6,632) Net Realized Gains.............................. -- (313) (81) -- -- -- --------- --------- --------- --------- --------- --------- Total Distributions........................... (7,137) (4,259) (44,697) (41,474) (10,523) (6,632) --------- --------- --------- --------- --------- --------- Capital Share Transactions (1): Shares Issued................................... 42,284 39,452 430,934 671,259 79,939 92,309 Shares Issued in Lieu of Cash Distributions..... 1,171 1,047 36,040 31,884 8,591 4,746 Shares Redeemed................................. (16,205) (11,448) (567,252) (557,394) (58,396) (230,633) --------- --------- --------- --------- --------- --------- Net Increase (Decrease) From Capital Shares Transactions................................ 27,250 29,051 (100,278) 145,749 30,134 (133,578) --------- --------- --------- --------- --------- --------- Total Increase (Decrease)..................... 28,611 29,857 (102,284) 149,571 29,991 (126,535)  NET ASSETS Beginning of Period............................. 107,944 78,087 854,521 704,950 174,386 300,921 --------- --------- --------- --------- --------- --------- End of Period................................... $ 136,555 $ 107,944 $ 752,237 $ 854,521 $ 204,377 $ 174,386 --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- (1) SHARES ISSUED AND REDEEMED: Shares Issued.................................. 3,872 3,606 42,250 65,904 7,877 9,105 Shares Issued in Lieu of Cash Distributions.... 108 97 3,541 3,139 857 479 Shares Redeemed................................ (1,487) (1,033) (55,639) (54,688) (5,752) (22,787) --------- --------- --------- --------- --------- --------- 2,493 2,670 (9,848) 14,355 2,982 (13,203) --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- See accompanying Notes to Financial Statements. 77
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DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS) [Enlarge/Download Table] THE DFA TWO-YEAR THE DFA GLOBAL FIXED INCOME GLOBAL FIXED INCOME PORTFOLIO PORTFOLIO --------------------- --------------------- YEAR YEAR YEAR ENDED FEB. 9, ENDED ENDED NOV. 30, TO NOV. NOV. 30, NOV. 30, 1997 30, 1996 1997 1996 --------- --------- --------- --------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income........................... $ 24,784 $ 6,638 $ 9,339 $ 7,357 Capital Gain Distributions Received............. 251 -- -- -- Net Realized Gain (Loss) on Investment Securities.................................... (257) (24) 1,496 4,823 Net Realized Gain on Foreign Currency Transactions.................................. -- -- 10,999 7,527 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.... (4,154) 9,563 (9,751) (1,894) Translation of Foreign Currency Denominated Amounts..................................... -- -- 3,858 (1,417) --------- --------- --------- --------- Net Increase in Net Assets Resulting from Operations................................ 20,624 16,177 15,941 16,396 --------- --------- --------- --------- Distributions From: Net Investment Income........................... (18,076) (6,015) (14,771) (8,834) Net Capital Gains............................... (251) -- (1,383) -- --------- --------- --------- --------- Total Distributions......................... (18,327) (6,015) (16,154) (8,834) --------- --------- --------- --------- Capital Share Transactions (1): Shares Issued................................... 155,724 338,432 106,837 73,085 Shares Issued in Lieu of Cash Distributions..... 8,378 5,844 8,538 5,176 Shares Redeemed................................. (66,837) (35,095) (30,856) (128,217) --------- --------- --------- --------- Net Increase (Decrease) From Capital Shares Transactions.............................. 97,265 309,181 84,519 (49,956) --------- --------- --------- --------- Total Increase (Decrease)................... 99,562 319,343 84,306 (42,394)  NET ASSETS Beginning of Period............................. 319,343 -- 165,772 208,166 --------- --------- --------- --------- End of Period................................... $ 418,905 $ 319,343 $ 250,078 $ 165,772 --------- --------- --------- --------- --------- --------- --------- --------- (1) SHARES ISSUED AND REDEEMED: Shares Issued.................................. 15,130 33,694 9,896 7,056 Shares Issued in Lieu of Cash Distributions.... 820 580 956 286 Shares Redeemed................................ (6,488) (3,465) (2,889) (12,144) --------- --------- --------- --------- 9,462 30,809 7,963 (4,802) --------- --------- --------- --------- --------- --------- --------- --------- See accompanying Notes to Financial Statements. 78
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DFA INVESTMENT DIMENSIONS GROUP INC.  FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD [Enlarge/Download Table] THE U.S. 9-10 SMALL COMPANY PORTFOLIO ------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 1997 1996 1995 1994 1993 --------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period............................ $ 12.14 $ 11.03 $ 8.49 $ 8.69 $ 7.75 ------------ ----------- --------- --------- -------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income............. 0.03 0.03 0.05 0.01 0.03 Net Gain (Losses) on Securities (Realized and Unrealized)....... 3.01 1.85 2.61 0.40 1.67 ------------ ----------- --------- --------- -------- Total From Investment Operations.................... 3.04 1.88 2.66 0.41 1.70 --------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income............. (0.03) (0.01) (0.04) (0.03) (0.05) Net Realized Gains................ (1.16) (0.76) (0.08) (0.58) (0.71) ------------ ----------- --------- --------- -------- Total Distributions............. (1.19) (0.77) (0.12) (0.61) (0.76) --------------------------------------------------------------------------------------------------- Net Asset Value, End of Period...... $ 13.99 $ 12.14 $ 11.03 $ 8.49 $ 8.69 --------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------- Total Return........................ 27.46% 18.05% 31.37% 5.06% 23.91% --------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)....................... $ 1,509,427 $ 1,181,804 $ 925,474 $ 659,221 $630,918 Ratio of Expenses to Average Net Assets............................ 0.60% 0.61% 0.62% 0.65% 0.70% Ratio of Net Investment Income to Average Net Assets................ 0.21% 0.22% 0.45% 0.16% 0.26% Portfolio Turnover Rate............. 27.81% 23.68% 24.65% 16.56% 9.87% Average Commission Rate (1)......... $ 0.0579 $ 0.0604 N/A N/A N/A --------------------------------------------------------------------------------------------------- THE U.S. 9-10 SMALL COMPANY PORTFOLIO ---------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 1992 1991 1990 1989 1988 ------------------------------------ ---------------------------------------------------- Net Asset Value, Beginning of Period............................ $ 6.33 $ 5.34 $ 7.74 $ 7.66 $ 7.50 -------- -------- -------- -------- -------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income............. 0.04 0.04 0.07 0.07 0.10 Net Gain (Losses) on Securities (Realized and Unrealized)....... 1.53 1.64 (1.77) 0.98 1.48 -------- -------- -------- -------- -------- Total From Investment Operations.................... 1.57 1.68 (1.70) 1.05 1.58 ------------------------------------ ---------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income............. (0.05) (0.07) (0.08) (0.09) (0.11) Net Realized Gains................ (0.10) (0.62) (0.62) (0.88) (1.31) -------- -------- -------- -------- -------- Total Distributions............. (0.15) (0.69) (0.70) (0.97) (1.42) ------------------------------------ ---------------------------------------------------- Net Asset Value, End of Period...... $ 7.75 $ 6.33 $ 5.34 $ 7.74 $ 7.66 ------------------------------------ ---------------------------------------------------- ------------------------------------ ---------------------------------------------------- Total Return........................ 25.24% 39.08% (24.09)% 16.09% 24.36% ------------------------------------ ---------------------------------------------------- Net Assets, End of Period (thousands)....................... $651,313 $722,289 $561,102 $949,291 $912,518 Ratio of Expenses to Average Net Assets............................ 0.68% 0.64% 0.62% 0.62% 0.62% Ratio of Net Investment Income to Average Net Assets................ 0.53% 0.75% 0.99% 0.86% 1.19% Portfolio Turnover Rate............. 9.72% 10.13% 3.79% 7.86% 25.98% Average Commission Rate (1)......... N/A N/A N/A N/A N/A ------------------------------------ ---------------------------------------------------- [Enlarge/Download Table] (1) Computed by dividing the total amount of brokerage commissions paid by the total shares of investment securities purchased and sold during the period for which commissions were charged, as required by the SEC for fiscal years beginning after September 1, 1995. See accompanying Notes to Financial Statements. 79
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DFA INVESTMENT DIMENSIONS GROUP INC.  FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD [Enlarge/Download Table]  THE U.S. 6-10 SMALL COMPANY PORTFOLIO -------------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR MARCH 20 ENDED ENDED ENDED ENDED ENDED TO NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 1997 1996 1995 1994 1993 1992 -------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period...................... $ 14.53 $ 12.64 $ 11.08 $ 11.43 $ 10.35 $ 10.00 ----------- -------- -------- -------- -------- ---------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income....... 0.09 0.11 0.09 0.09 0.08 0.04 Net Gain (Losses) on Securities (Realized and Unrealized)............... 3.42 2.20 2.81 (0.07) 1.43 0.31 ----------- -------- -------- -------- -------- ---------- Total From Investment Operations.............. 3.51 2.31 2.90 0.02 1.51 0.35 -------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income....... (0.12) (0.02) (0.14) (0.09) (0.11) -- Net Realized Gains.......... (1.03) (0.40) (1.20) (0.28) (0.32) -- ----------- -------- -------- -------- -------- ---------- Total Distributions....... (1.15) (0.42) (1.34) (0.37) (0.43) -- -------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period...................... $ 16.89 $ 14.53 $ 12.64 $ 11.08 $ 11.43 $ 10.35 -------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------------------------------- Total Return.................. 26.12% 18.73% 28.75% 0.22% 14.72% 6.70%# -------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)................. $ 337,992 $234,194 $186,644 $112,137 $136,863 $134,418 Ratio of Expenses to Average Net Assets**................ 0.45% 0.48% 0.49% 0.53% 0.58% 0.48%* Ratio of Net Investment Income to Average Net Assets....... 0.48% 0.75% 0.83% 0.72% 0.70% 0.96%* Portfolio Turnover Rate....... N/A N/A N/A N/A 1.81%*(b) 3.41%* Average Commission Rate....... N/A N/A N/A N/A N/A N/A Portfolio Turnover Rate of Master Fund Series.......... 30.04% 32.38% 21.16% 27.65% 32.88%*(c) N/A Average Commission Rate of Master Fund Series (1)...... $ 0.0583 $ 0.0586 N/A N/A N/A N/A --------------------------------------------------------------------------------------------------------------------  THE U.S. LARGE COMPANY PORTFOLIO ----------------------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR YEAR DEC. 31, ENDED ENDED ENDED ENDED ENDED ENDED 1990 TO NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 1997 1996 1995 1994 1993 1992 1991 ------------------------------ ----------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period...................... $ 22.73 $ 18.12 $ 13.58 $ 13.91 $ 13.12 $ 11.44 $ 10.00 --------- --------- --------- --------- --------- --------- --------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income....... 0.42 0.41 0.35 0.37 0.36 0.36 0.34 Net Gain (Losses) on Securities (Realized and Unrealized)............... 5.89 4.52 4.57 (0.22) 0.87 1.69 1.34 --------- --------- --------- --------- --------- --------- --------- Total From Investment Operations.............. 6.31 4.93 4.92 0.15 1.23 2.05 1.68 ------------------------------ ----------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income....... (0.43) (0.31) (0.36) (0.37) (0.44) (0.37) (0.24) Net Realized Gains.......... (0.13) (0.01) (0.02) (0.11) -- -- -- --------- --------- --------- --------- --------- --------- --------- Total Distributions....... (0.56) (0.32) (0.38) (0.48) (0.44) (0.37) (0.24) ------------------------------ ----------------------------------------------------------------------------------------- Net Asset Value, End of Period...................... $ 28.48 $ 22.73 $ 18.12 $ 13.58 $ 13.91 $ 13.12 $ 11.44 ------------------------------ ----------------------------------------------------------------------------------------- ------------------------------ ----------------------------------------------------------------------------------------- Total Return.................. 28.26% 27.49% 36.54% 1.04% 9.48% 18.23% 16.80%# ------------------------------ ----------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)................. $ 343,537 $ 187,757 $ 97,111 $ 48,638 $ 37,830 $ 34,908 $ 22,279 Ratio of Expenses to Average Net Assets**................ 0.15%(a) 0.21%(a) 0.24%(a) 0.24%(a) 0.24%(a) 0.11%(a) 0.00%*(a) Ratio of Net Investment Income to Average Net Assets....... 1.66%(a) 2.10%(a) 2.29%(a) 2.75%(a) 2.48%(a) 2.86%(a) 3.42%*(a) Portfolio Turnover Rate....... N/A N/A N/A N/A 27.67%*(b) 3.56% 0.97%* Average Commission Rate....... N/A N/A N/A N/A N/A N/A N/A Portfolio Turnover Rate of Master Fund Series.......... 4.28% 14.09% 2.38% 8.52% 34.36%*(c) N/A N/A Average Commission Rate of Master Fund Series (1)...... $ 0.0202 $ 0.0212 N/A N/A N/A N/A N/A ------------------------------ ----------------------------------------------------------------------------------------- [Enlarge/Download Table] * Annualized # Non-annualized ** Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Fund Series for the year ended November 30, 1993 and subsequent periods. (a) Had certain waivers and reimbursements not been in effect the ratios of expenses to average net assets for the periods ended November 30, 1997 through 1991 would have been 0.35%, 0.45%, 0.46%, 0.66%, 0.79%, 0.53% and 0.52%, respectively, and the ratios of net investment income to average net assets for the periods ended November 30, 1997 through 1991 would have been 1.46%, 1.85%, 2.23%, 2.64%, 2.28%, 2.44% and 2.90%, respectively. (b) Portfolio turnover calculated for the period December 1, 1992 to February 2, 1993 and December 1, 1992 to February 7, 1993, respectively (through date of Exchange transaction, see respective Master Fund Series for rate subsequent to Exchange transaction.) (c) Master Fund Series turnover calculated for the period February 3 to November 30, 1993 and February 8 to November 3, 1993, respectively. (1) Computed by dividing the total amount of brokerage commissions paid by the total shares of investment securities purchased and sold during the period for which commissions were charged as required by the SEC for fiscal years beginning after September 1, 1995. See accompanying Notes to Financial Statements. 80
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DFA INVESTMENT DIMENSIONS GROUP INC.  FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD [Enlarge/Download Table] THE ENHANCED U.S. LARGE COMPANY PORTFOLIO THE U.S. 6-10 VALUE PORTFOLIO ---------------------- --------------------------------------------------------------------- YEAR JULY 3 YEAR YEAR YEAR YEAR MARCH 2 ENDED TO ENDED ENDED ENDED ENDED TO NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 1997 1996 1997 1996 1995 1994 1993 ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Period...................... $ 11.83 $ 10.00 $ 17.00 $ 14.03 $ 11.13 $ 11.04 $ 10.00 --------- --------- ----------- ----------- --------- --------- --------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income....... 0.54 0.12 0.07 0.11 0.10 0.14 0.11 Net Gain (Losses) on Securities (Realized and Unrealized)............... 2.40 1.71 5.49 2.93 3.06 0.10 1.03 --------- --------- ----------- ----------- --------- --------- --------- Total From Investment Operations.............. 2.94 1.83 5.56 3.04 3.16 0.24 1.14 ------------------------------------------------------------------------------------------------------------------------------ LESS DISTRIBUTIONS Net Investment Income....... (0.55) -- (0.11) (0.02) (0.10) (0.15) (0.10) Net Realized Gains.......... (0.61) -- (0.36) (0.05) (0.16) -- -- --------- --------- ----------- ----------- --------- --------- --------- Total Distributions....... (1.16) -- (0.47) (0.07) (0.26) (0.15) (0.10) ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period...................... $ 13.61 $ 11.83 $ 22.09 $ 17.00 $ 14.03 $ 11.13 $ 11.04 ------------------------------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------------------------------ Total Return.................. 27.22% 18.30%# 33.57% 21.70% 28.41% 2.19% 11.39%# ------------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands)................. $ 47,642 $ 29,236 $ 2,098,654 $ 1,207,298 $ 609,950 $ 344,148 $ 95,682 Ratio of Expenses to Average Net Assets**................ 0.52%(a) 0.65%* 0.60% 0.61% 0.64% 0.66% 0.70%* Ratio of Net Investment Income to Average Net Assets....... 4.51%(a) 3.44%* 0.37% 0.78% 0.85% 1.69% 1.97%* Portfolio Turnover Rate....... N/A N/A N/A N/A N/A N/A N/A Average Commission Rate....... N/A N/A N/A N/A N/A N/A N/A Portfolio Turnover Rate of Master Fund Series.......... 193.78% 211.07%* 25.47% 14.91% 20.62% 8.22% 1.07%* Average Commission Rate of Master Fund Series (1)...... $ 0.0246 $ 0.0200 $ 0.0645 $ 0.0658 N/A N/A N/A ------------------------------------------------------------------------------------------------------------------------------ [Enlarge/Download Table] * Annualized # Non-annualized ** Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Fund Series. (1) Computed by dividing the total amount of brokerage commissions paid by the total shares of investment securities purchased and sold during the period for which commissions were charged, as required by the SEC for fiscal years beginning after September 1, 1995. (a) Had certain waivers and reimbursments not been in effect, the ratio of expenses to average net assets for the year ended November 30, 1997 would have been 0.54% and the ratio of net investment income to average net assets for the year ended November 30, 1997 would have been 4.49%. See accompanying Notes to Financial Statements. 81
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DFA INVESTMENT DIMENSIONS GROUP INC.  FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD [Enlarge/Download Table]  THE U.S. LARGE CAP VALUE PORTFOLIO -------------------------------------------------------------- YEAR YEAR YEAR FEB. 19 YEAR ENDED ENDED ENDED ENDED TO NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 1997 1996 1995 1994 1993 ------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period.... $ 15.98 $ 13.29 $ 9.91 $ 10.60 $ 10.00 ----------- -------- -------- -------- ---------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss).......... 0.29 0.30 0.29 0.32 0.18 Net Gain (Losses) on Securities (Realized and Unrealized)........... 3.60 2.62 3.55 (0.68) 0.59 ----------- -------- -------- -------- ---------- Total From Investment Operations.... 3.89 2.92 3.84 (0.36) 0.77 ------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income................. (0.30) (0.23) (0.29) (0.33) (0.17) Net Realized Gain..................... (0.35) -- (0.17) -- -- Tax Return of Capital................. -- -- -- -- -- ----------- -------- -------- -------- ---------- Total Distributions................. (0.65) (0.23) (0.46) (0.33) (0.17) ------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.......... $ 19.22 $ 15.98 $ 13.29 $ 9.91 $ 10.60 ------------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------------- Total Return............................ 25.10% 22.20% 39.13% (3.27)% 7.59%# ------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)... $ 840,003 $541,149 $280,915 $197,566 $90,288 Ratio of Expenses to Average Net Assets**.............................. 0.35% 0.36% 0.42% 0.44% 0.47%* Ratio of Net Investment Income to Average Net Assets.................... 1.70% 2.17% 2.49% 3.50% 3.38%* Portfolio Turnover Rate................. N/A N/A N/A N/A N/A Average Commission Rate (1)............. N/A N/A N/A N/A N/A Portfolio Turnover Rate of Master Fund Series................................ 17.71% 20.12% 29.41% 39.33% 0.75%* Average Commission Rate of Master Fund Series (1)............................ $ 0.0494 $ 0.0499 N/A N/A N/A -------------------------------------------------------------------------------------------------------------  THE DFA REAL ESTATE SECURITIES PORTFOLIO ------------------------------------------------------------------- YEAR YEAR YEAR JAN. 5 YEAR ENDED ENDED ENDED ENDED TO NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 1997 1996 1995 1994 1993 ---------------------------------------- ------------------------------------------------------------------- Net Asset Value, Beginning of Period.... $ 12.65 $ 10.00 $ 9.28 $ 10.92 $ 10.00 ------------- -------- -------- -------- ---------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss).......... 0.88 0.71 0.61 0.37 0.20 Net Gain (Losses) on Securities (Realized and Unrealized)........... 2.68 2.08 0.68 (1.65) 0.91 ------------- -------- -------- -------- ---------- Total From Investment Operations.... 3.56 2.79 1.29 (1.28) 1.11 ---------------------------------------- ------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income................. (0.68) (0.14) (0.46) (0.28) (0.19) Net Realized Gain..................... -- -- -- -- -- Tax Return of Capital................. -- -- (0.11) (0.08) -- ------------- -------- -------- -------- ---------- Total Distributions................. (0.68) (0.14) (0.57) (0.36) (0.19) ---------------------------------------- ------------------------------------------------------------------- Net Asset Value, End of Period.......... $ 15.53 $ 12.65 $ 10.00 $ 9.28 $ 10.92 ---------------------------------------- ------------------------------------------------------------------- ---------------------------------------- ------------------------------------------------------------------- Total Return............................ 29.13% 28.24% 14.00% (11.76)% 11.08%# ---------------------------------------- ------------------------------------------------------------------- Net Assets, End of Period (thousands)... $95,072 $64,390 $43,435 $30,456 $22,106 Ratio of Expenses to Average Net Assets**.............................. 0.48% 0.71% 0.82% 0.90% 0.88%* Ratio of Net Investment Income to Average Net Assets.................... 5.73% 7.08% 6.76% 3.90% 2.63%* Portfolio Turnover Rate................. 30.73% 11.25% 0.66% 28.87% 0.55%* Average Commission Rate (1)............. $0.0449 $0.0455 N/A N/A N/A Portfolio Turnover Rate of Master Fund Series................................ N/A N/A N/A N/A N/A Average Commission Rate of Master Fund Series (1)............................ N/A N/A N/A N/A N/A ---------------------------------------- ------------------------------------------------------------------- [Enlarge/Download Table] * Annualized # Non-annualized. ** Represents the respective combined ratios for The U.S. Large Cap Value Portfolio and its pro-rata share of its Master Fund Series. (1) Computed by dividing the total amount of brokerage commissions paid by the total shares of investment securities purchased and sold during the period for which commissions were charged, as required by the SEC for fiscal years beginning after September 1, 1995. See accompanying Notes to Financial Statements. 82
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DFA INVESTMENT DIMENSIONS GROUP INC.  FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR [Enlarge/Download Table]  THE JAPANESE SMALL COMPANY PORTFOLIO ----------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 1997 1996 1995 1994 1993 ---------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period...................... $ 21.03 $ 22.78 $ 25.06 $ 19.96 $ 18.92 ----------- --------- --------- --------- --------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss).................... 0.09 0.07 0.06 0.05 0.04 Net Gain (Losses) on Securities (Realized and Unrealized)............... (10.45) (1.45) (1.65) 5.76 1.75 ----------- --------- --------- --------- --------- Total From Investment Operations.............. (10.36) (1.38) (1.59) 5.81 1.79 ---------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income....... (0.06) (0.01) (0.06) (0.04) (0.05) Net Realized Gains.......... (1.16) (0.36) (0.63) (0.67) (0.70) ----------- --------- --------- --------- --------- Total Distributions....... (1.22) (0.37) (0.69) (0.71) (0.75) ---------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period...................... $ 9.45 $ 21.03 $ 22.78 $ 25.06 $ 19.96 ---------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------- Total Return.................. (51.90)% (6.28)% (6.54)% 29.59% 9.52% ---------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)................. $ 114,017 $ 294,120 $ 371,113 $ 330,674 $ 209,244 Ratio of Expenses to Average Net Assets**................ 0.73% 0.72% 0.74% 0.76% 0.82% Ratio of Net Investment Income to Average Net Assets....... 0.50% 0.24% 0.25% 0.10% 0.06% Portfolio Turnover Rate....... N/A 18.52%*(a) 7.79% 10.51% 9.36% Average Commission Rate (1)... N/A $ 0.0458(a) N/A N/A N/A Portfolio Turnover Rate of Master Fund Series.......... 13.17% 1.67%*(b) N/A N/A N/A Average Commission Rate of Master Fund Series (1)...... $ 0.0282 $ 0.0427(b) N/A N/A N/A ----------------------------------------------------------------------------------------------------------  THE JAPANESE SMALL COMPANY PORTFOLIO --------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 1992 1991 1990 1989 1988 ------------------------------ --------------------------------------------------------------------- Net Asset Value, Beginning of Period...................... $ 25.05 $ 26.27 $ 38.33 $ 31.03 $ 24.87 --------- --------- --------- --------- --------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss).................... 0.04 (0.01) (0.03) (0.09) (0.05) Net Gain (Losses) on Securities (Realized and Unrealized)............... (5.69) 0.51 (10.74) 9.09 10.42 --------- --------- --------- --------- --------- Total From Investment Operations.............. (5.65) 0.50 (10.77) 9.00 10.37 ------------------------------ --------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income....... -- -- -- -- -- Net Realized Gains.......... (0.48) (1.72) (1.29) (1.70) (4.21) --------- --------- --------- --------- --------- Total Distributions....... (0.48) (1.72) (1.29) (1.70) (4.21) ------------------------------ --------------------------------------------------------------------- Net Asset Value, End of Period...................... $ 18.92 $ 25.05 $ 26.27 $ 38.33 $ 31.03 ------------------------------ --------------------------------------------------------------------- ------------------------------ --------------------------------------------------------------------- Total Return.................. (23.01)% 1.68% (29.12)% 30.63% 47.62% ------------------------------ --------------------------------------------------------------------- Net Assets, End of Period (thousands)................. $ 139,892 $ 159,475 $ 149,100 $ 168,820 $ 107,863 Ratio of Expenses to Average Net Assets**................ 0.78% 0.78% 0.83% 0.76% 0.76% Ratio of Net Investment Income to Average Net Assets....... 0.10% (0.11)% (0.22)% (0.34)% (0.23)% Portfolio Turnover Rate....... 5.00% 2.71% 10.26% 5.76% 9.14% Average Commission Rate (1)... N/A N/A N/A N/A N/A Portfolio Turnover Rate of Master Fund Series.......... N/A N/A N/A N/A N/A Average Commission Rate of Master Fund Series (1)...... N/A N/A N/A N/A N/A ------------------------------ --------------------------------------------------------------------- [Enlarge/Download Table] * Annualized ** Represents the combined ratios for the portfolio and its pro-rata share of its Master Fund Series for the period ended November 30, 1996 and subsequent periods. (a) Portfolio turnover and average commission calculated for the period December 1, 1995 to August 9, 1996, (through date of Transfer transaction). (b) Items calculated for the period August 9 to November 30, 1996. (1) Computed by dividing the total amount of brokerage commissions paid by the total shares of investment securities purchased and sold during the period for which commissions were charged, as required by the SEC for fiscal years beginning after September 1, 1995. See accompanying Notes to Financial Statements. 83
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DFA INVESTMENT DIMENSIONS GROUP INC.  FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD [Enlarge/Download Table]  THE PACIFIC RIM SMALL COMPANY PORTFOLIO -------------------------------------------------------------------------- YEAR YEAR YEAR YEAR JAN. 5 ENDED ENDED ENDED ENDED TO NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 1997 1996 1995 1994 1993 ---------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period...... $ 16.63 $ 14.38 $ 15.98 $ 16.45 $ 10.00 ----------- --------- --------- --------- -------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income................... 0.32 0.27 0.34 0.23 0.11 Net Gain (Losses) on Securities (Realized and Unrealized)............. (6.22) 2.40 (1.33) 0.47 6.46 ----------- --------- --------- --------- -------- Total From Investment Operations...... (5.90) 2.67 (0.99) 0.70 6.57 ---------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income................... (0.33) (0.02) (0.34) (0.23) (0.09) Net Realized Gains...................... (0.88) (0.40) (0.27) (0.94) (0.03) ----------- --------- --------- --------- -------- Total Distributions................... (1.21) (0.42) (0.61) (1.17) (0.12) ---------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period............ $ 9.52 $ 16.63 $ 14.38 $ 15.98 $ 16.45 ---------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------- Total Return.............................. (38.07)% 19.06% (6.27)% 4.26% 65.71%# ---------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)..... $ 111,320 $ 215,542 $ 193,137 $ 212,953 $164,623 Ratio of Expenses to Average Net Assets**................................ 0.84% 0.84% 0.83% 0.95% 1.16%* Ratio of Net Investment Income to Average Net Assets.............................. 1.95% 1.70% 2.22% 1.47% 1.27%* Portfolio Turnover Rate................... N/A 7.05%*(a) 5.95% 26.05% 2.77%* Average Commission Rate (1)............... N/A $ 0.0094(a) N/A N/A N/A Portfolio Turnover Rate of Master Fund Series.................................. 24.00% 8.04%(b) N/A N/A N/A Average Commission Rate of Master Fund Series (1).............................. $ 0.0042 $ 0.0102(b) N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- [Enlarge/Download Table] * Annualized # Non-annualized ** Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Fund Series for the period ended November 30, 1996 and subsequent periods. (a) Portfolio turnover and average commission calculated for the period December 1, 1995 to August 9, 1996, (through date of Transfer transaction). (b) Items calculated for the period August 9 to November 30, 1996. (1) Computed by dividing the total amount of brokerage commissions paid by the total shares of investment securities purchased and sold during the period for which commissions were charged, as required by the SEC for fiscal years beginning after September 1, 1995. See accompanying Notes to Financial Statements. 84
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