Amendment to Certified Annual Shareholder Report of a Management Investment Company — Form N-CSR
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N-CSR/A — Amendment to Certified Annual Shareholder Report of a Management Investment Company
Document Table of Contents
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR/A
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-6067
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DIMENSIONAL INVESTMENT GROUP INC.
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(Exact name of registrant as specified in charter)
1299 Ocean Avenue, 11th Floor, Santa Monica, CA 90401
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(Address of principal executive offices) (Zip code)
Catherine L. Newell, Esquire, Vice President and Secretary
Dimensional Investment Group Inc.,
1299 OCEAN AVENUE, 11TH FLOOR, SANTA MONICA, CA 90401
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(Name and address of agent for service)
Registrant's telephone number, including area code: 310-395-8005
Date of fiscal year end: November 30
Date of reporting period: November 30, 2004
EXPLANATORY NOTE: This Form N-CSR/A for Dimensional Investment Group Inc. (the
"Registrant") is being filed solely to reflect changes to the annual report for
the Global Equity Portfolio, Global 60/40 Portfolio and Global 25/75 Portfolio
(collectively, the "Global Portfolios"). The annual reports for the other
portfolios of the Registrant are contained in the Form N-CSR filed on
February 7, 2005 (Accession Number 0001047469-05-002609) and are not amended
or modified in any way by this Form N-CSR/A. This Form N-CSR/A also updates
Item 10 "Controls and Procedures" and Item 11 "Exhibits" with respect to the
Global Portfolios as required. Other than the aforementioned amendments, no
other information or disclosures contained in the Registrant's Form N-CSR filed
on February 7, 2005 is being amended by this Form N-CSR/A.
ITEM 1. REPORTS TO STOCKHOLDERS.
================================================================================
Dimensional Investment Group Inc.
Global Equity Portfolio
Global 60/40 Portfolio
Global 25/75 Portfolio
Class R Shares
Institutional Class Shares
Annual Report
Period Ended November 30, 2004
================================================================================
DIMENSIONAL INVESTMENT GROUP INC.
ANNUAL REPORT
TABLE OF CONTENTS
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PAGE
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DIMENSIONAL INVESTMENT GROUP INC.
Performance Charts 1
Management's Discussion and Analysis 3
Disclosure of Fund Expenses 6
Schedules of Investments 8
Global Equity Portfolio 8
Global 60/40 Portfolio 9
Global 25/75 Portfolio 11
Statements of Assets and Liabilities 13
Statements of Operations 14
Statements of Changes in Net Assets 15
Financial Highlights 16
Notes to Financial Statements 18
Report of Independent Registered Certified Public Accounting Firm 24
THE DFA INVESTMENT TRUST COMPANY
Performance Charts 25
Disclosure of Fund Expenses 30
Disclosure of Portfolio Holdings 32
Schedules of Investments 36
The U.S. Large Company Series 36
The U.S. Large Cap Value Series 41
The U.S. Small Cap Series 44
The DFA International Value Series 71
The Japanese Small Company Series 77
The Pacific Rim Small Company Series 88
The United Kingdom Small Company Series 91
The Continental Small Company Series 97
The Emerging Markets Series 102
The Emerging Markets Small Cap Series 106
The DFA Two-Year Global Fixed Income Series 110
Statements of Assets and Liabilities 112
Statements of Operations 114
Statements of Changes in Net Assets 117
Financial Highlights 120
Notes to Financial Statements 126
Report of Independent Registered Certified Public Accounting Firm 134
DFA INVESTMENT DIMENSIONS GROUP INC.
Performance Charts 135
Management's Discussion and Analysis 136
Disclosure of Fund Expenses 140
Disclosure of Portfolio Holdings 141
i
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Schedules of Investments 143
DFA Real Estate Securities Portfolio 143
Large Cap International Portfolio 145
DFA Five-Year Global Fixed Income Portfolio 150
Statements of Assets and Liabilities 152
Statements of Operations 153
Statements of Changes in Net Assets 154
Financial Highlights 155
Notes to Financial Statements 157
Report of Independent Registered Certified Public Accounting Firm 163
DIMENSIONAL EMERGING MARKETS VALUE FUND INC.
Performance Charts 164
Management's Discussion and Analysis 165
Disclosure of Fund Expenses 167
Disclosure of Portfolio Holdings 168
Summary Schedule of Portfolio Holdings 169
Statement of Assets and Liabilities 174
Statement of Operations 175
Statements of Changes in Net Assets 176
Financial Highlights 177
Notes to Financial Statements 178
Report of Independent Registered Certified Public Accounting Firm 182
FUND MANAGEMENT 183
VOTING PROXIES ON FUND PORTFOLIO SECURITIES 189
This report is submitted for the information of the Funds' shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
ii
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
[CHART]
DFA GLOBAL EQUITY PORTFOLIO CLASS R VS.
MSCI WORLD INDEX (NET DIVIDENDS)
DECEMBER 24, 2003-NOVEMBER 30, 2004
GROWTH OF $10,000
[Download Table]
DFA GLOBAL EQUITY MSCI WORLD INDEX
PORTFOLIO CLASS R (NET DIVIDENDS)
12/24/2003 $ 10,000 $ 10,000
12/31/2003 $ 10,180 $ 10,196
1/31/2004 $ 10,410 $ 10,359
2/29/2004 $ 10,640 $ 10,533
3/31/2004 $ 10,676 $ 10,463
4/30/2004 $ 10,366 $ 10,248
5/31/2004 $ 10,446 $ 10,342
6/30/2004 $ 10,768 $ 10,554
7/31/2004 $ 10,356 $ 10,210
8/31/2004 $ 10,396 $ 10,254
9/30/2004 $ 10,692 $ 10,448
10/31/2004 $ 10,913 $ 10,704
11/30/2004 $ 11,618 $ 11,266
[Download Table]
AVERAGE ANNUAL FROM
TOTAL RETURN 12/24/2003
------------------------------
16.18%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
MSCI World Index courtesy of Morgan Stanley Capital International.
[CHART]
DFA GLOBAL 60/40 PORTFOLIO CLASS R VS.
LEHMAN AGGREGATE INDEX,
MSCI WORLD INDEX (NET DIVIDENDS) AND
GLOBAL 60/40 COMPOSITE INDEX (MSCI/LEHMAN)
DECEMBER 24, 2003-NOVEMBER 30, 2004
GROWTH OF $10,000
[Enlarge/Download Table]
DFA GLOBAL 60/40 MSCI WORLD INDEX LEHMAN GLOBAL 60/40 COMPOSITE
PORTFOLIO CLASS R (NET DIVIDENDS) AGGREGATE INDEX INDEX (MSCI/LEHMAN)
12/24/2003 $ 10,000 $ 10,000 $ 10,000 $ 10,000
12/31/2003 $ 10,110 $ 10,196 $ 9,994 $ 10,115
1/31/2004 $ 10,190 $ 10,359 $ 10,074 $ 10,245
2/29/2004 $ 10,350 $ 10,533 $ 10,183 $ 10,392
3/31/2004 $ 10,398 $ 10,463 $ 10,259 $ 10,382
4/30/2004 $ 10,137 $ 10,248 $ 9,992 $ 10,146
5/31/2004 $ 10,167 $ 10,342 $ 9,952 $ 10,185
6/30/2004 $ 10,370 $ 10,554 $ 10,008 $ 10,334
7/31/2004 $ 10,159 $ 10,210 $ 10,107 $ 10,172
8/31/2004 $ 10,239 $ 10,254 $ 10,300 $ 10,277
9/30/2004 $ 10,414 $ 10,448 $ 10,328 $ 10,404
10/31/2004 $ 10,555 $ 10,704 $ 10,415 $ 10,592
11/30/2004 $ 10,928 $ 11,266 $ 10,332 $ 10,892
[Download Table]
AVERAGE ANNUAL FROM
TOTAL RETURN 12/24/2003
------------------------------
9.29%
- THE GLOBAL 60/40 COMPOSITE INDEX (MSCI/LEHMAN) IS AN UNMANAGED HYPOTHETICAL
INDEX COMPOSED OF 60% MSCI WORLD INDEX (NET DIVIDENDS) AND 40% LEHMAN
AGGREGATE INDEX.
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
MSCI World Index courtesy of Morgan Stanley Capital International. Lehman
Aggregate Index courtesy of Lehman Brothers, Inc.
[CHART]
DFA GLOBAL 25/75 PORTFOLIO CLASS R VS.
GLOBAL 25/75 COMPOSITE INDEX (MSCI/LEHMAN),
LEHMAN AGGREGATE INDEX AND
MSCI WORLD INDEX (NET DIVIDENDS)
DECEMBER 24, 2003-NOVEMBER 30, 2004
GROWTH OF $10,000
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GLOBAL 25/75
DFA GLOBAL 25/75 COMPOSITE INDEX LEHMAN MSCI WORLD INDEX
PORTFOLIO CLASS R (MSCI/LEHMAN) AGGREGATE INDEX (NET DIVIDENDS)
12/24/2003 $ 10,000 $ 10,000 $ 10,000 $ 10,000
12/31/2003 $ 10,040 $ 10,044 $ 9,994 $ 10,196
1/31/2004 $ 10,130 $ 10,145 $ 10,074 $ 10,359
2/29/2004 $ 10,240 $ 10,270 $ 10,183 $ 10,533
3/31/2004 $ 10,292 $ 10,310 $ 10,259 $ 10,463
4/30/2004 $ 10,062 $ 10,056 $ 9,992 $ 10,248
5/31/2004 $ 10,062 $ 10,049 $ 9,952 $ 10,342
6/30/2004 $ 10,150 $ 10,143 $ 10,008 $ 10,554
7/31/2004 $ 10,090 $ 10,136 $ 10,107 $ 10,210
8/31/2004 $ 10,191 $ 10,292 $ 10,300 $ 10,254
9/30/2004 $ 10,262 $ 10,362 $ 10,328 $ 10,448
10/31/2004 $ 10,353 $ 10,490 $ 10,415 $ 10,704
11/30/2004 $ 10,444 $ 10,565 $ 10,332 $ 11,266
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AVERAGE ANNUAL FROM
TOTAL RETURN 12/24/2003
------------------------------
4.44%
- THE GLOBAL 25/75 COMPOSITE INDEX (MSCI/LEHMAN) IS AN UNMANAGED HYPOTHETICAL
INDEX COMPOSED OF 25% MSCI WORLD INDEX (NET DIVIDENDS) AND 75% LEHMAN
AGGREGATE INDEX.
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
MSCI World Index courtesy of Morgan Stanley Capital International. Lehman
Aggregate Index courtesy of Lehman Brothers, INC.
1
[CHART]
DFA GLOBAL EQUITY PORTFOLIO INSTITUTIONAL CLASS VS.
MSCI WORLD INDEX (NET DIVIDENDS)
DECEMBER 24, 2003-NOVEMBER 30, 2004
GROWTH OF $10,000
[Download Table]
DFA GLOBAL EQUITY PORTFOLIO MSCI WORLD INDEX
INSTITUTIONAL CLASS (NET DIVIDENDS)
12/24/2003 $ 10,000 $ 10,000
12/31/2003 $ 10,180 $ 10,196
1/31/2004 $ 10,420 $ 10,359
2/29/2004 $ 10,640 $ 10,533
3/31/2004 $ 10,677 $ 10,463
4/30/2004 $ 10,377 $ 10,248
5/31/2004 $ 10,447 $ 10,342
6/30/2004 $ 10,781 $ 10,554
7/31/2004 $ 10,369 $ 10,210
8/31/2004 $ 10,409 $ 10,254
9/30/2004 $ 10,709 $ 10,448
10/31/2004 $ 10,941 $ 10,704
11/30/2004 $ 11,646 $ 11,266
[Download Table]
AVERAGE ANNUAL FROM
TOTAL RETURN 12/24/2003
------------------------------
16.46%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
MSCI World Index courtesy of Morgan Stanley Capital International.
[CHART]
DFA GLOBAL 60/40 PORTFOLIO INSTITUTIONAL CLASS VS.
LEHMAN AGGREGATE INDEX,
GLOBAL 60/40 COMPOSITE INDEX (MSCI/LEHMAN) AND
MSCI WORLD INDEX (NET DIVIDENDS)
DECEMBER 24, 2003-NOVEMBER 30, 2004
GROWTH OF $10,000
[Enlarge/Download Table]
GLOBAL 60/40
DFA GLOBAL 60/40 PORTFOLIO COMPOSITE INDEX MSCI WORLD INDEX
INSTITUTIONAL CLASS LEHMAN AGGREGATE INDEX (MSCI/LEHMAN) (NET DIVIDENDS)
12/24/2003 $ 10,000 $ 10,000 $ 10,000 $ 10,000
12/31/2003 $ 10,110 $ 9,994 $ 10,115 $ 10,196
1/31/2004 $ 10,190 $ 10,074 $ 10,245 $ 10,359
2/29/2004 $ 10,350 $ 10,183 $ 10,392 $ 10,533
3/31/2004 $ 10,399 $ 10,259 $ 10,382 $ 10,463
4/30/2004 $ 10,138 $ 9,992 $ 10,146 $ 10,248
5/31/2004 $ 10,178 $ 9,952 $ 10,185 $ 10,342
6/30/2004 $ 10,376 $ 10,008 $ 10,334 $ 10,554
7/31/2004 $ 10,155 $ 10,107 $ 10,172 $ 10,210
8/31/2004 $ 10,235 $ 10,300 $ 10,277 $ 10,254
9/30/2004 $ 10,416 $ 10,328 $ 10,404 $ 10,448
10/31/2004 $ 10,557 $ 10,415 $ 10,592 $ 10,704
11/30/2004 $ 10,941 $ 10,332 $ 10,892 $ 11,266
[Download Table]
AVERAGE ANNUAL FROM
TOTAL RETURN 12/24/2003
------------------------------
9.41%
- THE GLOBAL 60/40 COMPOSITE INDEX (MSCI/LEHMAN) IS AN UNMANAGED HYPOTHETICAL
INDEX COMPOSED OF 60% MSCI WORLD INDEX (NET DIVIDENDS) AND 40% LEHMAN
AGGREGATE INDEX.
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
MSCI World Index courtesy of Morgan Stanley Capital International. Lehman
Aggregate Index courtesy of Lehman Brothers, Inc.
[CHART]
DFA GLOBAL 25/75 PORTFOLIO INSTITUTIONAL CLASS VS.
GLOBAL 25/75 COMPOSITE INDEX (MSCI/LEHMAN),
LEHMAN AGGREGATE INDEX AND
MSCI WORLD INDEX (NET DIVIDENDS)
DECEMBER 24, 2003-NOVEMBER 30, 2004
GROWTH OF $10,000
[Enlarge/Download Table]
DFA GLOBAL 25/75 PORTFOLIO GLOBAL 25/75 COMPOSITE MSCI WORLD INDEX LEHMAN
INSTITUTIONAL CLASS INDEX (MSCI/LEHMAN) (NET DIVIDENDS) AGGREGATE INDEX
12/24/2003 $ 10,000 $ 10,000 $ 10,000 $ 10,000
12/31/2003 $ 10,040 $ 10,044 $ 10,196 $ 9,994
1/31/2004 $ 10,130 $ 10,145 $ 10,359 $ 10,074
2/29/2004 $ 10,240 $ 10,270 $ 10,533 $ 10,183
3/31/2004 $ 10,299 $ 10,310 $ 10,463 $ 10,259
4/30/2004 $ 10,079 $ 10,056 $ 10,248 $ 9,992
5/31/2004 $ 10,079 $ 10,049 $ 10,342 $ 9,952
6/30/2004 $ 10,170 $ 10,143 $ 10,554 $ 10,008
7/31/2004 $ 10,110 $ 10,136 $ 10,210 $ 10,107
8/31/2004 $ 10,211 $ 10,292 $ 10,254 $ 10,300
9/30/2004 $ 10,291 $ 10,362 $ 10,448 $ 10,328
10/31/2004 $ 10,372 $ 10,490 $ 10,704 $ 10,415
11/30/2004 $ 10,473 $ 10,565 $ 11,266 $ 10,332
[Download Table]
AVERAGE ANNUAL FROM
TOTAL RETURN 12/24/2003
------------------------------
4.73%
- THE GLOBAL 25/75 COMPOSITE INDEX (MSCI/LEHMAN) IS AN UNMANAGED HYPOTHETICAL
INDEX COMPOSED OF 25% MSCI WORLD INDEX (NET DIVIDENDS) AND 75% LEHMAN
AGGREGATE INDEX.
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
MSCI World Index courtesy of Morgan Stanley Capital International. Lehman
Aggregate Index courtesy of Lehman Brothers, INC.
2
MANAGEMENT'S DISCUSSION AND ANALYSIS
DFA GLOBAL EQUITY PORTFOLIO INSTITUTIONAL CLASS
The DFA Global Equity Portfolio Institutional Class seeks long-term capital
appreciation by investing in a combination of mutual funds managed by
Dimensional Fund Advisors Inc. As of the date of this report, domestic funds
include The U.S. Large Company Series, The U.S. Large Cap Value Series, The U.S.
Small Cap Value Series, and DFA Real Estate Securities Portfolio, and
international funds include Large Cap International Portfolio, The DFA
International Value Series, The Japanese Small Company Series, The Pacific Rim
Small Company Series, The United Kingdom Small Company Series, The Continental
Small Company Series, The Emerging Markets Series, Dimensional Emerging Markets
Value Fund Inc., and The Emerging Markets Small Cap Series (collectively, the
"Equity Underlying Funds").
The investment strategy employs a disciplined, quantitative approach,
emphasizing broad diversification and consistent exposure in each Equity
Underlying Fund to stocks with desired asset class characteristics. As a result
of the Portfolio's diversified investment approach, performance was determined
principally by broad structural trends in global equity markets rather than the
behavior of a limited group of stocks in a particular industry or country.
From fund inception on December 24, 2003 through November 30, 2004, total
returns were 16.46% for the DFA Global Equity Portfolio Institutional Class and
11.05% for the MSCI World Index (net dividends). Relative to the MSCI World
Index (net dividends), superior performance of the Portfolio was primarily due
to greater exposure to stocks with more pronounced value characteristics as
measured by book-to-market ratio and greater exposure to small company stocks as
measured by market capitalization. As of November 30, 2004, Equity Underlying
Funds with value characteristics accounted for approximately 35% of Portfolio
assets and Equity Underlying Funds with small company characteristics accounted
for approximately 28% of Portfolio assets.
DFA GLOBAL EQUITY PORTFOLIO CLASS R
The DFA Global Equity Portfolio Class R seeks long-term capital
appreciation by investing in a combination of mutual funds managed by
Dimensional Fund Advisors Inc. As of the date of this report, domestic funds
include The U.S. Large Company Series, The U.S. Large Cap Value Series, The U.S.
Small Cap Value Series, and DFA Real Estate Securities Portfolio, and
international funds include Large Cap International Portfolio, The DFA
International Value Series, The Japanese Small Company Series, The Pacific Rim
Small Company Series, The United Kingdom Small Company Series, The Continental
Small Company Series, The Emerging Markets Series, Dimensional Emerging Markets
Value Fund Inc., and The Emerging Markets Small Cap Series (collectively, the
"Equity Underlying Funds").
The investment strategy employs a disciplined, quantitative approach,
emphasizing broad diversification and consistent exposure in each Equity
Underlying Fund to stocks with desired asset class characteristics. As a result
of the Portfolio's diversified investment approach, performance was determined
principally by broad structural trends in global equity markets rather than the
behavior of a limited group of stocks in a particular industry or country.
From fund inception on December 24, 2003 through November 30, 2004, total
returns were 16.18% for the DFA Global Equity Portfolio Class R and 11.05% for
the MSCI World Index (net dividends). Relative to the MSCI World Index (net
dividends), superior performance of the Portfolio was primarily due to greater
exposure to stocks with more pronounced value characteristics as measured by
book-to-market ratio and greater exposure to small company stocks as measured by
market capitalization. As of November 30, 2004, Equity Underlying Funds with
value characteristics accounted for approximately 35% of Portfolio assets and
Equity Underlying Funds with small company characteristics accounted for
approximately 28% of Portfolio assets.
3
DFA GLOBAL 60/40 PORTFOLIO INSTITUTIONAL CLASS
The DFA Global 60/40 Portfolio Institutional Class seeks capital
appreciation and current income by investing in a combination of mutual funds
managed by Dimensional Fund Advisors Inc. As of the date of this report,
domestic equity funds include The U.S. Large Company Series, The U.S. Large Cap
Value Series, The U.S. Small Cap Value Series, and DFA Real Estate Securities
Portfolio, international equity funds include Large Cap International Portfolio,
The DFA International Value Series, The Japanese Small Company Series, The
Pacific Rim Small Company Series, The United Kingdom Small Company Series, The
Continental Small Company Series, The Emerging Markets Series, Dimensional
Emerging Markets Value Fund Inc., and The Emerging Markets Small Cap Series, and
fixed income funds include The DFA Two-Year Global Fixed Income Series and The
DFA Five-Year Global Fixed Income Portfolio (collectively, the "Equity and Fixed
Income Underlying Funds").
The investment strategy employs a disciplined, quantitative approach,
emphasizing broad diversification and consistent exposure in each Underlying
Fund to equity or fixed income securities with desired asset class
characteristics. As a result of the Portfolio's diversified investment approach,
performance was determined principally by broad structural trends in global
equity and fixed income markets rather than the behavior of a limited group of
securities in a particular industry or country.
From Portfolio inception on December 24, 2003 through November 30, 2004,
total returns were 9.41% for the DFA Global 60/40 Portfolio Institutional Class
and 7.69% for a hypothetical index composed of 60% MSCI World Index (net
dividends) and 40% Lehman Aggregate Index. Relative to this hypothetical 60/40
Index, superior performance of the Portfolio was primarily due to greater
exposure to stocks with more pronounced value characteristics as measured by
book-to-market ratio and greater exposure to small company stocks as measured by
market capitalization. As of November 30, 2004, Equity Underlying Funds with
value characteristics accounted for approximately 21% of Portfolio assets and
Equity Underlying Funds with small company characteristics accounted for
approximately 17% of Portfolio assets.
DFA GLOBAL 60/40 PORTFOLIO CLASS R
The DFA Global 60/40 Portfolio Class R seeks capital appreciation and
current income by investing in a combination of mutual funds managed by
Dimensional Fund Advisors Inc. As of the date of this report, domestic equity
funds include The U.S. Large Company Series, The U.S. Large Cap Value Series,
The U.S. Small Cap Value Series, and DFA Real Estate Securities Portfolio,
international equity funds include Large Cap International Portfolio, The DFA
International Value Series, The Japanese Small Company Series, The Pacific Rim
Small Company Series, The United Kingdom Small Company Series, The Continental
Small Company Series, The Emerging Markets Series, Dimensional Emerging Markets
Value Fund Inc., and The Emerging Markets Small Cap Series, and fixed income
funds include The DFA Two-Year Global Fixed Income Series and The DFA Five-Year
Global Fixed Income Portfolio (collectively, the "Equity and Fixed Income
Underlying Funds").
The investment strategy employs a disciplined, quantitative approach,
emphasizing broad diversification and consistent exposure in each Underlying
Fund to equity or fixed income securities with desired asset class
characteristics. As a result of the Portfolio's diversified investment approach,
performance was determined principally by broad structural trends in global
equity and fixed income markets rather than the behavior of a limited group of
securities in a particular industry or country.
From Portfolio inception on December 24, 2003 through November 30, 2004,
total returns were 9.29% for the DFA Global 60/40 Portfolio Class R and 7.69%
for a hypothetical index composed of 60% MSCI World Index (net dividends) and
40% Lehman Aggregate Index. Relative to this hypothetical 60/40 Index, superior
performance of the Portfolio was primarily due to greater exposure to stocks
with more pronounced value characteristics as measured by book-to-market ratio
and greater exposure to small company stocks as measured by market
capitalization. As of November 30, 2004, Equity Underlying Funds with value
characteristics accounted for approximately 21% of Portfolio assets and Equity
Underlying Funds with small company characteristics accounted for approximately
17% of Portfolio assets.
4
DFA GLOBAL 25/75 PORTFOLIO INSTITUTIONAL CLASS
The DFA Global 25/75 Portfolio Institutional Class seeks total return
consistent with current income and preservation of capital with some capital
appreciation by investing in a combination of mutual funds managed by
Dimensional Fund Advisors Inc. As of the date of this report, domestic equity
funds include The U.S. Large Company Series, The U.S. Large Cap Value Series,
The U.S. Small Cap Value Series, and DFA Real Estate Securities Portfolio,
international equity funds include Large Cap International Portfolio, The DFA
International Value Series, The Japanese Small Company Series, The Pacific Rim
Small Company Series, The United Kingdom Small Company Series, The Continental
Small Company Series, The Emerging Markets Series, Dimensional Emerging Markets
Value Fund Inc., and The Emerging Markets Small Cap Series, and fixed income
funds include The DFA Two-Year Global Fixed Income Series and The DFA Five-Year
Global Fixed Income Portfolio (collectively, the "Equity and Fixed Income
Underlying Funds").
The investment strategy employs a disciplined, quantitative approach,
emphasizing broad diversification and consistent exposure in each Underlying
Fund to equity or fixed income securities with desired asset class
characteristics. As a result of the Portfolio's diversified investment approach,
performance was determined principally by broad structural trends in global
equity and fixed income markets rather than the behavior of a limited group of
securities in a particular industry or country.
From Portfolio inception on December 24, 2003 through November 30, 2004,
total returns were 4.73% for the DFA Global 25/75 Portfolio Institutional Class
and 5.19% for a hypothetical index composed of 25% MSCI World Index (net
dividends) and 75% Lehman Aggregate Index. Relative to this hypothetical 25/75
Index, underperformance of the Portfolio was primarily due to greater exposure
to fixed income securities with shorter average maturity. As of November 30,
2004, The DFA Two-Year Fixed Income Series and The DFA Five-Year Global Fixed
Income Portfolio each accounted for approximately 37.5% of Portfolio assets.
DFA GLOBAL 25/75 PORTFOLIO CLASS R
The DFA Global 25/75 Portfolio Class R seeks total return consistent with
current income and preservation of capital with some capital appreciation by
investing in a combination of mutual funds managed by Dimensional Fund Advisors
Inc. As of the date of this report, domestic equity funds include The U.S. Large
Company Series, The U.S. Large Cap Value Series, The U.S. Small Cap Value
Series, and DFA Real Estate Securities Portfolio, international equity funds
include Large Cap International Portfolio, The DFA International Value Series,
The Japanese Small Company Series, The Pacific Rim Small Company Series, The
United Kingdom Small Company Series, The Continental Small Company Series, The
Emerging Markets Series, Dimensional Emerging Markets Value Fund Inc., and The
Emerging Markets Small Cap Series, and fixed income funds include The DFA
Two-Year Global Fixed Income Series and The DFA Five-Year Global Fixed Income
Portfolio (collectively, the "Equity and Fixed Income Underlying Funds").
The investment strategy employs a disciplined, quantitative approach,
emphasizing broad diversification and consistent exposure in each Underlying
Fund to equity or fixed income securities with desired asset class
characteristics. As a result of the Portfolio's diversified investment approach,
performance was determined principally by broad structural trends in global
equity and fixed income markets rather than the behavior of a limited group of
securities in a particular industry or country.
From Portfolio inception on December 24, 2003 through November 30, 2004,
total returns were 4.44% for the DFA Global 25/75 Portfolio Class R and 5.19%
for a hypothetical index composed of 25% MSCI World Index (net dividends) and
75% Lehman Aggregate Index. Relative to this hypothetical 25/75 Index,
underperformance of the Portfolio was primarily due to greater exposure to fixed
income securities with shorter average maturity. As of November 30, 2004, The
DFA Two-Year Fixed Income Series and The DFA Five-Year Global Fixed Income
Portfolio each accounted for approximately 37.5% of Portfolio assets.
5
DISCLOSURE OF FUND EXPENSES
The following Expense Tables are shown so that you can understand the
impact of fees on your investment. All mutual funds have operating expenses. As
a shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended help you
understand the ongoing fees (in dollars) of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Tables below illustrates your fund's costs in two ways.
- ACTUAL FUND RETURN. This section helps you to estimate the actual
expenses after fee waivers that you paid over the period. The "Ending
Account Value" shown is derived from the fund's actual return, and
"Expenses Paid During Period" shows the dollar amount that would have
been paid by an investor who started with $1,000 in the fund. You may
use the information here, together with the amount you invested, to
estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
- HYPOTHETICAL 5% RETURN. This section is intended to help you compare
your fund's costs with those of other mutual funds. It assumes that the
fund had a return of 5% before expenses during the period shown, but
that the expense ratio is unchanged. In this case - because the return
used is not the fund's actual return - the results do not apply to your
investment. The example is useful in making comparisons because the
Securities and Exchange Commission requires all mutual funds to
calculate expenses based on a 5% return. You can assess your fund's
cost by comparing this hypothetical example with the hypothetical
examples that appear in shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs
(if any). The "Annualized Expense Ratio" represents the actual expenses for the
six month period indicated and may be different from the expense ratio in the
Financial Highlights which is for the period from December 24, 2003 to November
30, 2004.
FOR THE PERIOD JUNE 1, 2004 TO NOVEMBER 30, 2004
EXPENSE TABLES
[Enlarge/Download Table]
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
GLOBAL EQUITY PORTFOLIO 6/1/04 11/30/04 RATIO PERIOD*
----------------------- ------------ ------------ ----------- ------------
GLOBAL EQUITY PORTFOLIO
Actual Fund Return
Class R Shares $ 1,000.00 $ 1,114.20 0.96% $ 5.05
Institutional Class Shares $ 1,000.00 $ 1,114.70 0.68% $ 3.60
Hypothetical 5% Return
Class R Shares $ 1,000.00 $ 1,020.23 0.96% $ 4.82
Institutional Class Shares $ 1,000.00 $ 1,021.60 0.68% $ 3.44
6
[Enlarge/Download Table]
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
GLOBAL 60/40 PORTFOLIO 6/1/04 11/30/04 RATIO PERIOD*
----------------------- ------------ ------------ ----------- ------------
Actual Fund Return
Class R Shares $ 1,000.00 $ 1,074.80 1.09% $ 5.66
Institutional Class Shares $ 1,000.00 $ 1,074.90 0.68% $ 3.52
Hypothetical 5% Return
Class R Shares $ 1,000.00 $ 1,019.54 1.09% $ 5.51
Institutional Class Shares $ 1,000.00 $ 1,021.61 0.68% $ 3.43
GLOBAL 25/75 PORTFOLIO
Actual Fund Return
Class R Shares $ 1,000.00 $ 1,038.00 1.01% $ 5.13
Institutional Class Shares $ 1,000.00 $ 1,039.10 1.08% $ 5.52
Hypothetical 5% Return
Class R Shares $ 1,000.00 $ 1,019.97 1.01% $ 5.09
Institutional Class Shares $ 1,000.00 $ 1,019.59 1.08% $ 5.46
----------
* Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in
the most recent fiscal half-year, then divided by 366.
7
DIMENSIONAL INVESTMENT GROUP INC.
SCHEDULE OF INVESTMENTS
GLOBAL EQUITY PORTFOLIO
NOVEMBER 30, 2004
[Enlarge/Download Table]
VALUE+
--------------
Investment in The U.S. Large Company Series of The DFA
Investment Trust Company (24.8%)
(Cost $45,793,029) $ 48,277,535
Investment in The U.S. Large Cap Value Series of The DFA
Investment Trust Company (24.9%)
(2,610,152 Shares, Cost $44,415,819) 48,418,317
Investment in The U.S. Small Cap Series of The DFA
Investment Trust Company (17.9%)
(2,168,197 Shares, Cost $31,687,595) 34,886,294
Investment in The DFA International Value Series of The DFA
Investment Trust Company (9.9%)
(1,203,881 Shares, Cost $16,982,052) 19,310,254
Investment in The Japanese Small Company Series of The DFA
Investment Trust Company (2.7%)
(Cost $4,903,600) 5,218,090
Investment in The Pacific Rim Small Company Series of The DFA
Investment Trust Company (1.3%)
(Cost $2,178,357) 2,491,642
Investment in The United Kingdom Small Company Series of The DFA
Investment Trust Company (2.0%)
(Cost $3,445,690) 3,902,173
Investment in The Continental Small Company Series of The DFA
Investment Trust Company (4.0%)
(Cost $6,504,214) 7,801,409
Investment in The Emerging Markets Series of The DFA
Investment Trust Company (2.0%)
(Cost $3,217,373) 3,886,647
Investment in The Emerging Markets Small Cap Series of The DFA
Investment Trust Company (1.0%)
(Cost $1,622,143) 1,942,041
Investment in DFA Real Estate Securities Portfolio of DFA
Investment Dimensions Group Inc. (2.0%)
(168,874 Shares, Cost $3,330,236) 3,887,481
Investment in Large Cap International Portfolio of DFA
Investment Dimensions Group Inc. (5.0%)
(556,700 Shares, Cost $8,842,521) 9,636,472
Investment in Dimensional Emerging Markets Value Fund Inc. (2.0%)
(141,868 Shares, Cost $3,205,439) 3,911,309
FACE
AMOUNT
(000)
------
Temporary Cash Investments (0.5%)
Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04
(Collateralized by $885,000 FHLMC Notes 4.20%, 10/20/09, valued
at $888,797) to be repurchased at $879,046
(Cost $879,000) $ 879 879,000
--------------
Total Investments (100%) (Cost $177,007,068) $ 194,448,664
==============
----------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
8
DIMENSIONAL INVESTMENT GROUP INC.
SCHEDULE OF INVESTMENTS
GLOBAL 60/40 PORTFOLIO
NOVEMBER 30, 2004
[Download Table]
VALUE+
--------------
Investment in The U.S. Large Company Series of The DFA
Investment Trust Company (14.5%)
(Cost $14,673,394) $ 15,459,216
Investment in The U.S. Large Cap Value Series of The DFA
Investment Trust Company (14.5%)
(835,749 Shares, Cost $14,246,516) 15,503,146
Investment in The U.S. Small Cap Series of The DFA
Investment Trust Company (10.4%)
(693,202 Shares, Cost $10,099,234) 11,153,623
Investment in The DFA International Value Series of The DFA
Investment Trust Company (5.8%)
(385,612 Shares, Cost $5,466,716) 6,185,222
Investment in The Japanese Small Company Series of The DFA
Investment Trust Company (1.6%)
(Cost $1,586,181) 1,670,108
Investment in The Pacific Rim Small Company Series of The DFA
Investment Trust Company (0.7%)
(Cost $700,275) 800,778
Investment in The United Kingdom Small Company Series of The DFA
Investment Trust Company (1.2%)
(Cost $1,109,544) 1,251,909
Investment in The Continental Small Company Series of The DFA
Investment Trust Company (2.3%)
(Cost $2,085,020) 2,488,390
Investment in The Emerging Markets Series of The DFA
Investment Trust Company (1.2%)
(Cost $1,042,736) 1,247,047
Investment in The Emerging Markets Small Cap Series of DFA
Investment Trust Company (0.6%)
(Cost $525,233) 624,592
Investment in The DFA Two-Year Global Fixed Income Series of The DFA
Investment Trust Company (19.4%)
(2,073,319 Shares, Cost $20,776,455) 20,712,460
Investment in DFA Real Estate Securities Portfolio of DFA
Investment Dimensions Group Inc. (1.2%)
(54,183 Shares, Cost $1,078,977) 1,247,303
Investment in Large Cap International Portfolio of DFA
Investment Dimensions Group Inc. (2.9%)
(178,410 Shares, Cost $2,836,886) 3,088,272
Investment in DFA Five-Year Global Fixed Income Portfolio of DFA
Investment Dimensions Group Inc. (19.4%)
(1,972,517 Shares, Cost $20,716,440) 20,711,431
9
[Enlarge/Download Table]
VALUE+
--------------
Investment in Dimensional Emerging Markets Value Fund Inc. (1.2%)
(45,306 Shares, Cost $1,032,985) $ 1,249,080
FACE
AMOUNT
(000)
------
Temporary Cash Investments (3.1%)
Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04
(Collateralized by $3,355,000 FHLMC Notes 4.20%, 10/20/09, valued
at $3,369,393) to be repurchased at $3,334,174
(Cost $3,334,000) $ 3,334 3,334,000
--------------
Total Investments (100%) (Cost $101,310,592) $ 106,726,577
==============
----------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
10
DIMENSIONAL INVESTMENT GROUP INC.
SCHEDULE OF INVESTMENTS
GLOBAL 25/75 PORTFOLIO
NOVEMBER 30, 2004
[Download Table]
VALUE+
--------------
Investment in The U.S. Large Company Series of The DFA
Investment Trust Company (6.1%)
(Cost $1,819,704) $ 1,930,653
Investment in The U.S. Large Cap Value Series of The DFA
Investment Trust Company (6.1%)
(104,379 Shares, Cost $1,761,685) 1,936,236
Investment in The U.S. Small Cap Series of The DFA
Investment Trust Company (4.4%)
(86,575 Shares, Cost $1,241,746) 1,392,994
Investment in The DFA International Value Series of The DFA
Investment Trust Company (2.4%)
(48,158 Shares, Cost $674,581) 772,450
Investment in The Japanese Small Company Series of The DFA
Investment Trust Company (0.7%)
(Cost $197,040) 208,558
Investment in The Pacific Rim Small Company Series of The DFA
Investment Trust Company (0.3%)
(Cost $85,818) 100,009
Investment in The United Kingdom Small Company Series of The DFA
Investment Trust Company (0.5%)
(Cost $137,344) 156,373
Investment in The Continental Small Company Series of The DFA
Investment Trust Company (1.0%)
(Cost $256,773) 310,795
Investment in The Emerging Markets Series of The DFA
Investment Trust Company (0.5%)
(Cost $128,131) 155,759
Investment in The Emerging Markets Small Cap Series of The DFA
Investment Trust Company (0.3%)
(Cost $64,466) 78,013
Investment in The DFA Two-Year Global Fixed Income Series of The DFA
Investment Trust Company (36.8%)
(1,165,282 Shares, Cost $11,674,224) 11,641,165
Investment in DFA Real Estate Securities Portfolio of DFA
Investment Dimensions Group Inc. (0.5%)
(6,768 Shares, Cost $133,073) 155,789
Investment in Large Cap International Portfolio of DFA
Investment Dimensions Group Inc. (1.2%)
(22,280 Shares, Cost $350,884) 385,670
Investment in DFA Five-Year Global Fixed Income Portfolio of DFA
Investment Dimensions Group Inc. (36.8%)
(1,108,626 Shares, Cost $11,625,647) 11,640,576
11
[Download Table]
VALUE+
--------------
Investment in Dimensional Emerging Markets Value Fund Inc. (0.5%)
(5,659 Shares, Cost $126,326) $ 156,017
[Enlarge/Download Table]
FACE
AMOUNT
(000)
------
Temporary Cash Investments (1.9%)
Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04
(Collateralized by $594,000 FHLMC Notes 4.20%, 10/20/09, valued
at $596,548) to be repurchased at $590,031
(Cost $590,000) $ 590 590,000
--------------
Total Investments (100%) (Cost $30,867,442) $ 31,611,057
==============
----------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
12
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 2004
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
[Enlarge/Download Table]
GLOBAL GLOBAL GLOBAL
EQUITY 60/40 25/75
PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------
ASSETS:
Investments at Value $ 194,449 $ 106,727 $ 31,611
Cash -- 1 --
Receivables:
From Advisor -- -- 23
Fund Shares Sold 410 884 150
Prepaid Expenses and Other Assets 12 13 18
------------ ------------ ------------
Total Assets 194,871 107,625 31,802
------------ ------------ ------------
LIABILITIES:
Payables:
Investment Securities Purchased 804 3,260 515
Fund Shares Redeemed 21 56 --
Due to Advisor 226 25 --
Accrued Expenses and Other Liabilities 57 31 14
------------ ------------ ------------
Total Liabilities 1,108 3,372 529
------------ ------------ ------------
NET ASSETS $ 193,763 $ 104,253 $ 31,273
============ ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Class I - based on net assets of $179,079, $102,341, and $31,208
and 15,489,904, 9,449,602 and 3,018,256 shares outstanding, respectively
(Authorized 100,000,000 shares) $ 11.56 $ 10.83 $ 10.34
============ ============ ============
Class R - based on net assets of $14,684, $1,912, and $65 and 1,271,961,
176,529 and 6,327 shares outstanding, respectively (Authorized
100,000,000 shares) $ 11.54 $ 10.83 $ 10.33
============ ============ ============
Investments at Cost $ 177,007 $ 101,311 $ 30,867
============ ============ ============
See accompanying Notes to Financial Statements.
13
STATEMENTS OF OPERATIONS
FOR THE PERIOD DECEMBER 24, 2003 TO NOVEMBER 30, 2004
(AMOUNTS IN THOUSANDS)
[Enlarge/Download Table]
GLOBAL GLOBAL GLOBAL
EQUITY 60/40 25/75
PORTFOLIO(1) PORTFOLIO(1) PORTFOLIO(1)
------------ ------------ ------------
INVESTMENT INCOME
Income Distributions Received from Master Funds $ 606 $ 459 $ 198
Dividends (Net of Foreign Taxes Withheld of $29,
$8 and $1, respectively) 780 224 30
Interest 13 6 1
Income from Securities Lending 20 6 1
Expenses Allocated from Master Funds (43) (12) (2)
------------ ------------ ------------
Total Investment Income 1,376 683 228
------------ ------------ ------------
EXPENSES
Administrative Services 261 104 26
Accounting & Transfer Agent Fees 26 26 26
Shareholder Servicing Fees - Class R 29 4 --
Legal Fees 2 2 --
Audit Fees 1 1 1
Shareholders' Reports 61 26 8
Directors' Fees and Expenses 2 1 --
Organizational Costs 68 68 69
Other 55 44 22
------------ ------------ ------------
Total Expenses 505 276 152
Fees Waived, Expenses Reimbursed and/or Previously
Waived Fees Recovered by Advisor (Note C) (36) (79) (49)
------------ ------------ ------------
Net Expenses 469 197 103
------------ ------------ ------------
NET INVESTMENT INCOME (LOSS) 907 486 125
------------ ------------ ------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENT SECURITIES AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment Securities Sold (876) (195) (30)
Net Realized Gain (Loss) on Futures (388) (106) (14)
Net Realized Gain (Loss) on Foreign Currency Transactions (6) (2) --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 17,413 5,406 742
Futures 29 10 2
Translation of Foreign Currency Denominated Amounts 3 1 --
Deferred Thailand Capital Gains Tax (1) (1) --
------------ ------------ ------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND
FOREIGN CURRENCY 16,174 5,113 700
------------ ------------ ------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 17,081 $ 5,599 $ 825
============ ============ ============
----------
(1) The Portfolio commenced operations on December 24, 2003.
See accompanying Notes to Financial Statements.
14
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
[Enlarge/Download Table]
GLOBAL GLOBAL GLOBAL
EQUITY 60/40 25/75
PORTFOLIO PORTFOLIO PORTFOLIO
---------------- ---------------- ----------------
DEC. 24, 2003(1) DEC. 24, 2003(1) DEC. 24, 2003(1)
TO TO TO
NOV. 30, 2004 NOV. 30, 2004 NOV. 30, 2004
---------------- ---------------- ----------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 907 $ 486 $ 125
Net Realized Gain (Loss) on Investment Securities Sold (876) (195) (30)
Net Realized Gain (Loss) on Futures (388) (106) (14)
Net Realized Gain (Loss) on Foreign Currency Transactions (6) (2) --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 17,413 5,406 742
Translation of Foreign Currency Denominated Amounts 3 1 --
Futures 29 10 2
Deferred Thailand Capital Gains Tax (1) (1) --
---------------- ---------------- ----------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 17,081 5,599 825
---------------- ---------------- ----------------
Distributions to Shareholders From:
Net investment income:
Institutional Class (661) (456) (187)
Retail Class (92) (17) --
---------------- ---------------- ----------------
Total Distributions From Net Investment Income (753) (473) (187)
Net Realized Gains:
Institutional Class -- -- --
Retail Class -- -- --
---------------- ---------------- ----------------
Total Distributions From Net Realized Gains -- -- --
---------------- ---------------- ----------------
Total Distributions to Shareholders (753) (473) (187)
---------------- ---------------- ----------------
Capital Share Transactions (2):
Shares Issued 193,217 103,282 32,700
Shares Issued in Lieu of Cash Distributions 753 473 186
Shares Redeemed (16,535) (4,628) (2,251)
---------------- ---------------- ----------------
Net Increase (Decrease) From Capital Share Transactions 177,435 99,127 30,635
---------------- ---------------- ----------------
Total Increase (Decrease) 193,763 104,253 31,273
NET ASSETS
Beginning of Period -- -- --
---------------- ---------------- ----------------
End of Period $ 193,763 $ 104,253 $ 31,273
================ ================ ================
(2) SHARES ISSUED AND REDEEMED:
Shares Issued 18,239 10,029 3,227
Shares Issued in Lieu of Cash Distributions 72 46 19
Shares Redeemed (1,549) (449) (221)
---------------- ---------------- ----------------
16,762 9,626 3,025
================ ================ ================
----------
(1) The Portfolio commenced operations on December 24, 2003.
See accompanying Notes to Financial Statements.
15
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
CLASS R SHARES
[Enlarge/Download Table]
GLOBAL GLOBAL GLOBAL
EQUITY 60/40 25/75
PORTFOLIO PORTFOLIO PORTFOLIO
---------------- ---------------- ----------------
DEC. 24, 2003(1) DEC. 24, 2003(1) DEC. 24, 2003(1)
TO TO TO
NOVEMBER 30, NOVEMBER 30, NOVEMBER 30,
2004 2004 2004
---------------- ---------------- ----------------
Net Asset Value, Beginning of Period $ 10.00 $ 10.00 $ 10.00
---------------- ---------------- ----------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.07 0.08 0.07
Net Gains (Losses) on Securities (Realized and Unrealized) 1.54 0.84 0.37
---------------- ---------------- ----------------
Total from Investment Operations 1.61 0.92 0.44
---------------- ---------------- ----------------
LESS DISTRIBUTIONS
Net Investment Income (0.07) (0.09) (0.11)
Net Realized Gains -- -- --
---------------- ---------------- ----------------
Total Distributions (0.07) (0.09) (0.11)
---------------- ---------------- ----------------
Net Assets, End of Period $ 11.54 $ 10.83 $ 10.33
================ ================ ================
Total Return 16.18%# 9.29%# 4.44%#
Net Assets, End of Period (thousands) $ 14,684 $ 1,912 $ 65
Ratio of Expenses to Average Net Assets **(a)(2) 0.90%* 0.95%* 0.95%*
Ratio of Expenses to Average Net Assets (excluding waivers and
assumption of expenses and/or recovery of previously waived
fees) **(a)(2) 0.94%* 1.28%* 6.00%*
Ratio of Net Investment Income to Average Net Assets(2) 0.82%* 0.94%* 1.03%*
Portfolio Turnover Rate N/A N/A N/A
----------
* Annualized
# Non-annualized
** Represents the combined ratio for the Portfolio and its respective pro-rata
share of its Master Fund Series.
N/A Refer to the respective Master Fund Series.
(a) Because of commencement of operations and related preliminary transaction
costs, these ratios are not necessarily indicative of future ratios.
(1) Commencement of operations.
(2) Ratios for the period ended November 30, 2004 have been restated as
discussed in Note K.
See accompanying Notes to Financial Statements.
16
INSTITUTIONAL CLASS SHARES
[Enlarge/Download Table]
GLOBAL GLOBAL GLOBAL
EQUITY 60/40 25/75
PORTFOLIO PORTFOLIO PORTFOLIO
---------------- ---------------- ----------------
DEC. 24, 2003(1) DEC. 24, 2003(1) DEC. 24, 2003(1)
TO TO TO
NOVEMBER 30, NOVEMBER 30, NOVEMBER 30,
2004 2004 2004
---------------- ---------------- ----------------
Net Asset Value, Beginning of Period $ 10.00 $ 10.00 $ 10.00
---------------- ---------------- ----------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.09 0.11 0.11
Net Gains (Losses) on Securities (Realized and Unrealized) 1.55 0.83 0.36
---------------- ---------------- ----------------
Total from Investment Operations 1.64 0.94 0.47
---------------- ---------------- ----------------
LESS DISTRIBUTIONS
Net Investment Income (0.08) (0.11) (0.13)
Net Realized Gains -- -- --
---------------- ---------------- ----------------
Total Distributions (0.08) (0.11) (0.13)
---------------- ---------------- ----------------
Net Assets, End of Period $ 11.56 $ 10.83 $ 10.34
================ ================ ================
Total Return 16.46%# 9.41%# 4.73%#
Net Assets, End of Period (thousands) $ 179,079 $ 102,341 $ 31,208
Ratio of Expenses to Average Net Assets **(a) 0.67%* 0.65%*(2) 0.99%*(2)
Ratio of Expenses to Average Net Assets (excluding waivers and
assumption of expenses and/or recovery of previously waived
fees) **(a) 0.71%* 0.83%*(2) 1.33%*(2)
Ratio of Net Investment Income to Average Net Assets(2) 1.08%* 1.18%* 0.95%*
Portfolio Turnover Rate N/A N/A N/A
----------
* Annualized
# Non-annualized
** Represents the combined ratio for the Portfolio and its respective pro-rata
share of its Master Fund Series.
N/A Refer to the respective Master Fund Series.
(a) Because of commencement of operations and related preliminary transaction
costs, these ratios are not necessarily indicative of future ratios.See
accompanying Notes to Financial Statements.
(1) Commencement of operations.
(2) Ratios for the period ended November 30, 2004 have been restated as
discussed in Note K.
17
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund currently offers twenty-five
portfolios, of which three (the "Global Funds" or "Feeder Funds") are presented
in this report.
The Global Funds achieve their investment objectives by investing in other
portfolios within The DFA Investment Trust Company ("ITC"), or DFA Investment
Dimensions Group Inc. ("IDG") or Dimensional Emerging Markets Value Fund Inc.
("DEM") (collectively, the "Master Funds").
[Download Table]
GLOBAL FUND MASTER FUNDS (AT NOVEMBER 30, 2004)
----------- -----------------------------------
Global Equity Portfolio The U.S. Large Company Series (ITC)
Global 60/40 Portfolio The U.S. Large Cap Value Series (ITC)
Global 25/75 Portfolio The U.S. Small Cap Series (ITC)
The DFA International Value Series (ITC)
The Japanese Small Company Series (ITC)
The Pacific Rim Small Company Series (ITC)
The United Kingdom Small Company Series (ITC)
The Continental Small Company Series (ITC)
The Emerging Markets Series (ITC)
The Emerging Markets Small Cap Series (ITC)
The DFA Two-Year Global Fixed Income Series (ITC)
DFA Real Estate Securities Portfolio (IDG)
Large Cap International Portfolio (IDG)
DFA Five-Year Global Fixed Income Portfolio (IDG)
Dimensional Emerging Markets Value Fund Inc. (DEM)
The Global Equity Portfolio did not hold any shares of The DFA Two-Year
Global Fixed Income Series or the DFA Five-Year Global Fixed Income Portfolio
during the period ended November 30, 2004.
At November 30, 2004 no one Global Fund owned more than 2% of any one
Master Fund's total net assets.
The financial statements of the Master Funds are included in this report
and should be read in conjunction with the financial statements of the Global
Funds.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operation during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: The shares of the Master Funds held by the Global
Funds are valued at their respective daily net asset values where the Master
Funds are organized as regulated investment companies for federal income tax
purposes. The U.S. Large Company Series, The Japanese Small Company Series, The
Pacific Rim Small Company Series, The United Kingdom Small Company Series, The
Continental Small Company Series, The Emerging
18
Markets Series and The Emerging Markets Small Cap Series are organized as
partnerships (the "Partnerships"). The Global Funds reflect their proportionate
interest in the net assets of those corresponding Master Funds.
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Directors may defer payment of a percentage of
their total fees earned as a Director. These deferred amounts may be treated as
though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Directors' Fees and
Expenses.
3. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on the accrual basis. Expenses directly attributable to a
Global Fund are directly charged.
Each class of shares has equal rights to assets and earnings of its Global
Fund. Income, gains and losses on investments, and common expenses of each
Global Fund are allocated to each class of shares based on its relative net
assets. Each class will bear its own class-specific expenses, if any.
The Global Funds each accrue their respective share of income and expenses
daily on their investment in their corresponding Partnerships. All of the net
investment income and realized and unrealized gains and losses from the security
transactions and foreign currency of the Partnerships are allocated pro-rata
among its investors at the time of such determination.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Master Funds and the Feeder Funds. The
Advisor also provides administrative services to the Feeder Funds, including
supervision of services provided by others, providing information to
shareholders and the Board of Directors, and other administrative services.The
Global Funds are not subject to a management fee.
For the Institutional and Class R shares, the Advisor has agreed to waive
its administration fees to the extent necessary to limit the proportionate share
of the total combined administration fees paid by each of the Global Funds and
management fees paid by the Master Funds to the Advisor to 0.35% for the Global
Equity Portfolio, 0.30% for the Global 60/40 Portfolio and to 0.25% for the
Global 25/75 Portfolio. The expense waiver will remain in effect for a period of
one year from April 1, 2004 to April 1, 2005, and shall continue to remain in
effect from year to year thereafter unless terminated by the Fund or the
Advisor.
The Advisor has also agreed to assume the direct operating expenses of the
Institutional Class shares of each Global Fund (excluding administration fees
paid to the Advisor), up to an amount equal to the total fees paid to the
Advisor by the Institutional Class shares (including the pass through of the
management fees paid to the Advisor by the Master Funds), as is necessary to
limit the total operating expense ratios (including the expenses that the
Institutional Class shares of each such Global Fund bears as a shareholder of
the Master Fund) of the Institutional Class shares of the Global Equity
Portfolio to 0.70%, the Global 60/40 Portfolio to 0.65% and the Global 25/75
Portfolio to 0.60%. The expense waiver will remain in effect for a period of one
year from April 1, 2004 to April 1, 2005, and shall continue to remain in effect
from year to year thereafter unless terminated by the Fund or the Advisor.
Also, for the Class R shares, the Advisor has agreed to assume the direct
operating expenses of the Class R shares of each Global Fund (excluding
administration fees paid to the Advisor) to the extent necessary to limit the
total expense ratios (including the expenses that the Class R shares of each
such Global Fund bears as a shareholder of the Master Funds and including
Shareholder Servicing Fees) of the Class R shares of each Global Fund to 0.95%.
The expense waiver will remain in effect for a period of one year from April 1,
2004 to April 1, 2005, and shall continue to remain in effect from year to year
thereafter unless terminated by the Fund or the Advisor.
Certain officers of the Fund are also officers, directors and shareholders
of the Advisor.
19
D. DEFERRED COMPENSATION:
At November 30, 2004, the total liability for deferred compensation to
Directors is included in Accrued Expenses and Other Liabilities as follows:
[Download Table]
Global Equity Portfolio $ 1,636
Global 60/40 Portfolio 721
Global 25/75 Portfolio 236
E. FEDERAL INCOME TAXES:
Each Global Fund has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code for
federal income tax purposes and to distribute substantially all of its taxable
income and net capital gains to shareholders. Accordingly, no provision has been
made for federal income taxes.
Dividends from net investment income and distributions from net realized
capital gains are determined in accordance with U.S. federal income tax
regulations, which may differ from those amounts determined under accounting
principles generally accepted in the United States of America. These book/tax
differences are either temporary or permanent in nature. To the extent these
differences are permanent, they are charged or credited to paid-in-capital or
accumulated net realized gain, as appropriate, in the period that the
differences arise. Accordingly, the following permanent differences as of
November 30, 2004, primarily attributable to realized net foreign currency
gains/losses, or a return of capital which for tax purposes, are not available
to offset future income, were reclassified to the following accounts (amounts in
thousands):
[Download Table]
INCREASE
INCREASE (DECREASE)
INCREASE (DECREASE) UNDISTRIBUTED
(DECREASE) ACCUMULATED NET INVESTMENT
PAID IN CAPITAL NET REALIZED GAINS INCOME
--------------- ------------------ --------------
Global Equity Portfolio -- $ (1) $ 1
Global 25/75 Portfolio $ (4) -- 4
These reclassifications had no effect on net assets or net asset value per
share.
The tax character of dividends and distributions declared and paid during
the period from December 24, 2003 to November 30, 2004 was as follows (amounts
in thousands):
[Download Table]
ORDINARY
INCOME AND
SHORT-TERM LONG-TERM RETURN OF
CAPITAL GAINS CAPITAL GAINS CAPITAL TOTAL
------------- ------------- --------- -------
Global Equity Portfolio
Institutional Class $ 661 -- -- $ 661
Class R 92 -- -- 92
------------- ------------- --------- -------
753 -- -- 753
Global 60/40 Portfolio
Institutional Class 456 -- -- 456
Class R 17 -- -- 17
------------- ------------- --------- -------
473 -- -- 473
Global 25/75 Portfolio
Institutional Class 182 -- $ 4 186
Class R 1 -- -- 1
------------- ------------- --------- -------
183 -- 4 187
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
20
As of November 30, 2004, the components of distributable
earnings/(accumulated losses) were as follows (amounts in thousands):
[Download Table]
TOTAL NET
DISTRIBUTABLE
UNDISTRIBUTED CAPITAL EARNINGS
NET INVESTMENT LOSS (ACCUMULATED
INCOME CARRYFORWARD LOSSES)
-------------- ------------ -------------
Global Equity Portfolio $ 287 $ (1,150) $ (863)
Global 60/40 Portfolio 92 (298) (206)
Global 25/75 Portfolio -- (21) (21)
For federal income tax purposes, capital loss carryforwards may be carried
forward and applied against future capital gains. At November 30, 2004, the
following Portfolios had capital loss carryforwards available to offset future
realized capital gains through the indicated expiration dates (amounts in
thousands):
[Download Table]
EXPIRES ON NOVEMBER 30,
---------------------------
2012 TOTAL
------------ -------------
Global Equity Portfolio $ 1,150 $ 1,150
Global 60/40 Portfolio 298 298
Global 25/75 Portfolio 21 21
Certain of the investments held by the Portfolios are in securities
considered to be "passive foreign investment companies", for which any
unrealized appreciation (depreciation) (mark to market) and/or realized gains
are required to be included in distributable net investment income for tax
purposes. At November 30, 2004, the Portfolio's had unrealized appreciation
(depreciation) (mark to market) of realized gains on the sale of passive foreign
investment companies, which are included in distributable net investment income
for tax purposes, accordingly, such gains have been reclassified from
accumulated net realized gains to accumulated net investment income.
[Download Table]
MARK TO MARKET REALIZED GAINS
-------------- --------------
Global Equity Portfolio $ 75,726 $ 7,266
Global 60/40 Portfolio 23,607 2,265
Global 25/75 Portfolio 2,994 288
At November 30, 2004, the total cost of securities and net realized gains
or losses on securities sold for federal income tax purposes were different from
amounts reported for financial reporting purposes. The federal tax cost,
aggregate gross unrealized appreciation and depreciation of securities held by
each Portfolio, at November 30, 2004 were as follows (amounts in thousands):
[Download Table]
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
------------ -------------- ------------ --------------
Global Equity Portfolio $ 177,204 $ 17,414 $ (168) $ 17,246
Global 60/40 Portfolio 101,331 5,475 (79) 5,396
Global 25/75 Portfolio 30,892 754 (35) 719
21
F. CAPITAL SHARE TRANSACTIONS:
The capital share transactions by class were as follows (in thousands):
[Download Table]
DECEMBER 24, 2003
TO
NOVEMBER 30, 2004
----------------------------
AMOUNT SHARES
------------ ------------
GLOBAL EQUITY PORTFOLIO
Institutional Class Shares
Shares Issued $ 176,942 16,680
Shares Issued in Lieu of Cash Distributions 661 63
Shares Redeemed (13,409) (1,253)
------------ ------------
Net Increase (Decrease)--Institutional Shares $ 164,194 15,490
============ ============
Class R Shares
Shares Issued $ 16,275 1,559
Shares Issued in Lieu of Cash Distributions 92 9
Shares Redeemed (3,126) (296)
------------ ------------
Net Increase (Decrease)--Class R Shares $ 13,241 1,272
============ ============
GLOBAL 60/40 PORTFOLIO
Institutional Class Shares
Shares Issued 100,739 9,780
Shares Issued in Lieu of Cash Distributions 456 44
Shares Redeemed (3,866) (374)
------------ ------------
Net Increase (Decrease)--Institutional Shares $ 97,329 9,450
============ ============
Class R Shares
Shares Issued 2,543 249
Shares Issued in Lieu of Cash Distributions 17 2
Shares Redeemed (762) (74)
------------ ------------
Net Increase (Decrease)--Class R Shares $ 1,798 177
============ ============
GLOBAL 25/75 PORTFOLIO
Institutional Class Shares
Shares Issued 32,360 3,193
Shares Issued in Lieu of Cash Distributions 185 19
Shares Redeemed (1,974) (192)
------------ ------------
Net Increase (Decrease)--Institutional Shares $ 30,571 3,018
============ ============
Class R Shares
Shares Issued 340 34
Shares Issued in Lieu of Cash Distributions 1 --
Shares Redeemed (277) (28)
------------ ------------
Net Increase (Decrease)--Class R Shares $ 64 6
============ ============
G. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2004
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each portfolio is individually, and not jointly
liable for its particular advances under
22
the line of credit. There is no commitment fee on the unused portion of the line
of credit, since this is not a committed facility. The agreement for the
discretionary line of credit may be terminated by either party at any time. The
agreement for the line of credit expires on June 28, 2005. For the period ended
November 30, 2004, borrowings under the line were as follows:
[Enlarge/Download Table]
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING
INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED THE PERIOD
------------- ------------ ----------- -------- ---------------
Global Equity Portfolio 2.56% $ 987,000 2 $ 140 $ 1,598,000
Global 25/75 Portfolio 2.64% 113,500 16 133 422,000
The Global Funds, together with other Dimensional-advised portfolios, have
also entered into an additional $150 million unsecured line of credit effective
April 2004 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Each portfolio is individually, and not jointly liable for its
particular advances under the line of credit. Borrowings under the line of
credit are charged interest at rates agreed to by the parties at the time of
borrowing. There is no commitment fee on the unused line of credit. The
agreement for the line of credit expires in April 2005. There were no borrowings
by the Global Funds under the line of credit with the international custodian
bank during the period from December 24, 2003 to November 30, 2004.
H. COMPONENTS OF NET ASSETS:
At November 30, 2004, net assets consisted of (amounts in thousands):
[Enlarge/Download Table]
GLOBAL GLOBAL GLOBAL
EQUITY 60/40 25/75
PORTFOLIO PORTFOLIO PORTFOLIO
--------- --------- ---------
Paid-in Capital $ 177,435 $ 99,127 $ 30,632
Accumulated Net Investment Income (Loss) 161 15 (59)
Accumulated Net Realized Gain (Loss) (1,271) (303) (44)
Undistributed Realized Foreign Exchange Gain (Loss) (6) (2) --
Unrealized Appreciation (Depreciation) of Investment Securities 17,442 5,416 744
Unrealized Net Foreign Exchange Gain (Loss) 3 1 --
Deferred Thailand Capital Gains Tax (1) (1) --
--------- --------- ---------
Total Net Assets $ 193,763 $ 104,253 $ 31,273
========= ========= =========
I. SHAREHOLDER SERVICING FEES:
The Class R shares pay a shareholder servicing fee in the amount of 0.25%
of their annual average net assets to compensate service agents that provide
shareholder servicing, record keeping, account maintenance and other services to
investors in a Global Fund's Class R shares.
J. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Global Funds enter into contracts
that contain a variety of representations and warranties and which provide
general indemnification. The Global Funds' maximum exposure under these
arrangements is unknown as this would involve future claims that may be made
against the Global Fund and/or its affiliates that have not yet occurred.
However, based on experience, the Global Funds expect the risk of loss to be
remote.
K. RESTATEMENT:
To correct a mathematical error, the Global Funds have restated the
ratios of expenses to average net assets, ratios of expenses to average net
assets (excluding waivers and assumption of expenses and/or recovery of
previously waived fees) and the ratios of net investment income to average
net assets as reported in the financial highlights for the period ended
November 30, 2004. These restatements had no effect on the Global Funds' net
asset values, either in total or per share, or their total increase
(decrease) in net assets from operations during the period.
The restatement changed the financial highlights for the period ended
Novmeber 30, 2004 as follows:
[Enlarge/Download Table]
GLOBAL EQUITY GLOBAL 60/40 GLOBAL 25/75
PORTFOLIO PORTFOLIO PORTFOLIO
---------------------- ---------------------- ----------------------
RESTATED ORIGINALLY RESTATED ORIGINALLY RESTATED ORIGINALLY
AMOUNT REPORTED AMOUNT REPORTED AMOUNT REPORTED
-------- ---------- -------- ---------- -------- ----------
CLASS R SHARES
Ratio of Expenses to Average Net Assets 0.90% 0.85% 0.95% 0.89% 0.95% 0.89%
Ratio of Expenses to Average Net Assets (excluding
waivers and assumption of expenses and/or recovery
of previously waived fees) 0.94% 0.88% 1.28% 1.20% 6.00% 5.63%
Ratio of Net Investment Income to Average Net Assets 0.82% 0.77% 0.94% 0.88% 1.03% 0.97%
INSTITUTIONAL SHARES
Ratio of Expenses to Average Net Assets + + 0.65% 0.61% 0.99% 0.93%
Ratio of Expenses to Average Net Assets (excluding
waivers and assumption of expenses and/or recovery
of previously waived fees) + + 0.83% 0.78% 1.33% 1.24%
Ratio of Net Investment Income to Average Net Assets 1.08% 0.99% 1.18% 1.10% 0.95% 0.89%
----------
+ Amounts were correct as originally reported and have not been restated.
23
REPORT OF INDEPENDENT REGISTERED CERTIFIED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS OF THE PORTFOLIOS, AS DEFINED, AND BOARD OF DIRECTORS OF
DIMENSIONAL INVESTMENT GROUP INC.
In our opinion, the accompanying statements of assets and liabilities,
including the schedules of investments, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of Global Equity
Portfolio, Global 60/40 Portfolio and Global 25/75 Portfolio (three of the
portfolios constituting Dimensional Investment Group Inc., hereafter referred
to as the "Portfolio") at November 30, 2004, the results of each of their
operations, the changes in each of their net assets and the financial
highlights for the period December 24, 2003 (commencement of operations)
through November 30, 2004, in conformity with accounting principles generally
accepted in the United States of America. These financial statements and
financial highlights (hereafter referred to as "financial statements") are
the responsibility of the Portfolio's management; our responsibility is to
express an opinion on these financial statements based on our audits. We
conducted our audits of these financial statements in accordance with the
standards of the Public Company Accounting Oversight Board (United States).
Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities at November 30, 2004 by
correspondence with the transfer agent of the investee fund, provide a
reasonable basis for our opinion.
As disclosed in Note K, the Portfolio restated its financial highlights as of
November 30, 2004 and for the period then ended.
PricewaterhouseCoopers LLP
Fort Lauderdale, Florida
January 14, 2005
(except for Note K for which
the date is March 24, 2005)
24
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
[CHART]
THE U.S. LARGE COMPANY SERIES VS.
S&P 500 INDEX
NOVEMBER 30, 1994-NOVEMBER 30, 2004
GROWTH OF $10,000
[Download Table]
THE U.S. LARGE S&P 500
COMPANY SERIES INDEX
11/30/94 $ 10,000 $ 10,000
12/31/94 $ 10,148 $ 10,146
1/31/95 $ 10,407 $ 10,410
2/28/95 $ 10,815 $ 10,814
3/31/95 $ 11,133 $ 11,134
4/30/95 $ 11,452 $ 11,458
5/31/95 $ 11,911 $ 11,910
6/30/95 $ 12,193 $ 12,190
7/31/95 $ 12,595 $ 12,596
8/31/95 $ 12,625 $ 12,630
9/30/95 $ 13,159 $ 13,159
10/31/95 $ 13,109 $ 13,113
11/30/95 $ 13,675 $ 13,690
12/31/95 $ 13,938 $ 13,944
1/31/96 $ 14,417 $ 14,423
2/29/96 $ 14,540 $ 14,562
3/31/96 $ 14,683 $ 14,702
4/30/96 $ 14,897 $ 14,918
5/31/96 $ 15,262 $ 15,302
6/30/96 $ 15,324 $ 15,365
7/31/96 $ 14,655 $ 14,681
8/31/96 $ 14,954 $ 14,993
9/30/96 $ 15,790 $ 15,835
10/31/96 $ 16,222 $ 16,269
11/30/96 $ 17,450 $ 17,504
12/31/96 $ 17,100 $ 17,161
1/31/97 $ 18,172 $ 18,227
2/28/97 $ 18,306 $ 18,374
3/31/97 $ 17,554 $ 17,610
4/30/97 $ 18,595 $ 18,661
5/31/97 $ 19,729 $ 19,807
6/30/97 $ 20,605 $ 20,690
7/31/97 $ 22,245 $ 22,333
8/31/97 $ 21,008 $ 21,092
9/30/97 $ 22,153 $ 22,247
10/31/97 $ 21,420 $ 21,504
11/30/97 $ 22,399 $ 22,500
12/31/97 $ 22,780 $ 22,887
1/31/98 $ 23,037 $ 23,141
2/28/98 $ 24,698 $ 24,809
3/31/98 $ 25,955 $ 26,080
4/30/98 $ 26,212 $ 26,343
5/31/98 $ 25,759 $ 25,890
6/30/98 $ 26,810 $ 26,941
7/31/98 $ 26,520 $ 26,656
8/31/98 $ 22,704 $ 22,801
9/30/98 $ 24,148 $ 24,263
10/31/98 $ 26,087 $ 26,235
11/30/98 $ 27,686 $ 27,825
12/31/98 $ 29,325 $ 29,428
1/31/99 $ 30,521 $ 30,658
2/28/99 $ 29,563 $ 29,704
3/31/99 $ 30,749 $ 30,893
4/30/99 $ 31,923 $ 32,088
5/31/99 $ 31,170 $ 31,331
6/30/99 $ 32,890 $ 33,070
7/31/99 $ 31,871 $ 32,038
8/31/99 $ 31,705 $ 31,878
9/30/99 $ 30,839 $ 31,004
10/31/99 $ 32,798 $ 32,967
11/30/99 $ 33,457 $ 33,636
12/31/99 $ 35,448 $ 35,617
1/31/2000 $ 33,665 $ 33,829
2/29/2000 $ 33,035 $ 33,190
3/31/2000 $ 36,253 $ 36,436
4/30/2000 $ 35,140 $ 35,339
5/31/2000 $ 34,419 $ 34,615
6/30/2000 $ 35,214 $ 35,466
7/31/2000 $ 34,718 $ 34,913
8/31/2000 $ 36,874 $ 37,081
9/30/2000 $ 34,923 $ 35,123
10/31/2000 $ 34,770 $ 34,976
11/30/2000 $ 32,037 $ 32,220
12/31/2000 $ 32,200 $ 32,377
1/31/2001 $ 33,343 $ 33,527
2/28/2001 $ 30,302 $ 30,469
3/31/2001 $ 28,384 $ 28,537
4/30/2001 $ 30,581 $ 30,755
5/31/2001 $ 30,768 $ 30,961
6/30/2001 $ 30,014 $ 30,209
7/31/2001 $ 29,726 $ 29,912
8/31/2001 $ 27,859 $ 28,040
9/30/2001 $ 25,611 $ 25,774
10/31/2001 $ 26,095 $ 26,267
11/30/2001 $ 28,094 $ 28,281
12/31/2001 $ 28,330 $ 28,530
1/31/2002 $ 27,916 $ 28,114
2/28/2002 $ 27,380 $ 27,571
3/31/2002 $ 28,390 $ 28,608
4/30/2002 $ 26,670 $ 26,874
5/31/2002 $ 26,483 $ 26,675
6/30/2002 $ 24,587 $ 24,776
7/31/2002 $ 22,679 $ 22,843
8/31/2002 $ 22,824 $ 22,994
9/30/2002 $ 20,339 $ 20,495
10/31/2002 $ 22,133 $ 22,298
11/30/2002 $ 23,432 $ 23,612
12/31/2002 $ 22,061 $ 22,223
1/31/2003 $ 21,483 $ 21,641
2/28/2003 $ 21,152 $ 21,316
3/31/2003 $ 21,357 $ 21,523
4/30/2003 $ 23,119 $ 23,297
5/31/2003 $ 24,335 $ 24,524
6/30/2003 $ 24,644 $ 24,838
7/31/2003 $ 25,078 $ 25,275
8/31/2003 $ 25,562 $ 25,768
9/30/2003 $ 25,294 $ 25,495
10/31/2003 $ 26,716 $ 26,938
11/30/2003 $ 26,953 $ 27,175
12/31/2003 $ 28,355 $ 28,599
1/31/2004 $ 28,881 $ 29,125
2/29/2004 $ 29,283 $ 29,530
3/31/2004 $ 28,839 $ 29,084
4/30/2004 $ 28,386 $ 28,628
5/31/2004 $ 28,778 $ 29,020
6/30/2004 $ 29,334 $ 29,584
7/31/2004 $ 28,355 $ 28,605
8/31/2004 $ 28,468 $ 28,720
9/30/2004 $ 28,778 $ 29,032
10/31/2004 $ 29,221 $ 29,475
11/30/2004 $ 30,396 $ 30,668
[Download Table]
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
---------------------------------------------------------
12.77% -1.89% 11.77%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
S&P 500 Index is courtesy of (C) Stocks, Bonds, Bills and Inflation
Yearbook(TM), Ibbotson Associates, Chicago (annually updated works by Roger C.
Ibbotson and Rex A. Sinquefield).
[CHART]
THE U.S. LARGE CAP VALUE SERIES VS.
RUSSELL 1000 VALUE INDEX
NOVEMBER 30, 1994-NOVEMBER 30, 2004
[Download Table]
THE U.S. LARGE CAP RUSSELL 1000
VALUE SERIES VALUE INDEX
11/30/94 $ 10,000 $ 10,000
12/31/94 $ 10,121 $ 10,115
1/31/95 $ 10,354 $ 10,427
2/28/95 $ 10,940 $ 10,838
3/31/95 $ 11,107 $ 11,076
4/30/95 $ 11,514 $ 11,426
5/31/95 $ 12,114 $ 11,907
6/30/95 $ 12,379 $ 12,069
7/31/95 $ 12,921 $ 12,489
8/31/95 $ 13,310 $ 12,665
9/30/95 $ 13,770 $ 13,123
10/31/95 $ 13,205 $ 12,993
11/30/95 $ 13,927 $ 13,652
12/31/95 $ 14,027 $ 13,995
1/31/96 $ 14,425 $ 14,431
2/29/96 $ 14,640 $ 14,541
3/31/96 $ 15,150 $ 14,788
4/30/96 $ 15,398 $ 14,844
5/31/96 $ 15,659 $ 15,030
6/30/96 $ 15,203 $ 15,042
7/31/96 $ 14,528 $ 14,473
8/31/96 $ 15,105 $ 14,887
9/30/96 $ 15,407 $ 15,480
10/31/96 $ 15,911 $ 16,079
11/30/96 $ 17,058 $ 17,245
12/31/96 $ 16,891 $ 17,024
1/31/97 $ 17,495 $ 17,850
2/28/97 $ 17,843 $ 18,112
3/31/97 $ 17,026 $ 17,460
4/30/97 $ 17,586 $ 18,193
5/31/97 $ 18,951 $ 19,210
6/30/97 $ 19,535 $ 20,034
7/31/97 $ 21,492 $ 21,541
8/31/97 $ 21,176 $ 20,774
9/30/97 $ 22,292 $ 22,029
10/31/97 $ 21,151 $ 21,414
11/30/97 $ 21,375 $ 22,361
12/31/97 $ 21,674 $ 23,014
1/31/98 $ 21,962 $ 22,689
2/28/98 $ 23,882 $ 24,216
3/31/98 $ 25,222 $ 25,698
4/30/98 $ 25,360 $ 25,871
5/31/98 $ 25,147 $ 25,488
6/30/98 $ 25,087 $ 25,814
7/31/98 $ 24,217 $ 25,360
8/31/98 $ 19,809 $ 21,586
9/30/98 $ 20,813 $ 22,825
10/31/98 $ 22,514 $ 24,594
11/30/98 $ 23,923 $ 25,740
12/31/98 $ 24,320 $ 26,615
1/31/99 $ 24,792 $ 26,828
2/28/99 $ 24,155 $ 26,450
3/31/99 $ 24,935 $ 26,997
4/30/99 $ 27,588 $ 29,519
5/31/99 $ 27,561 $ 29,194
6/30/99 $ 28,021 $ 30,041
7/31/99 $ 26,861 $ 29,161
8/31/99 $ 25,897 $ 28,079
9/30/99 $ 24,506 $ 27,099
10/31/99 $ 25,445 $ 28,660
11/30/99 $ 25,030 $ 28,436
12/31/99 $ 25,515 $ 28,573
1/31/2000 $ 23,727 $ 27,641
2/29/2000 $ 21,594 $ 25,588
3/31/2000 $ 24,654 $ 28,709
4/30/2000 $ 25,396 $ 28,376
5/31/2000 $ 25,345 $ 28,674
6/30/2000 $ 23,583 $ 27,364
7/31/2000 $ 24,626 $ 27,706
8/31/2000 $ 26,066 $ 29,246
9/30/2000 $ 25,642 $ 29,515
10/31/2000 $ 26,654 $ 30,241
11/30/2000 $ 25,799 $ 29,119
12/31/2000 $ 28,180 $ 30,578
1/31/2001 $ 29,566 $ 30,694
2/28/2001 $ 29,546 $ 29,841
3/31/2001 $ 28,645 $ 28,788
4/30/2001 $ 30,349 $ 30,198
5/31/2001 $ 31,232 $ 30,878
6/30/2001 $ 30,851 $ 30,192
7/31/2001 $ 30,811 $ 30,129
8/31/2001 $ 29,452 $ 28,921
9/30/2001 $ 26,177 $ 26,885
10/31/2001 $ 26,156 $ 26,654
11/30/2001 $ 28,625 $ 28,202
12/31/2001 $ 29,298 $ 28,868
1/31/2002 $ 29,614 $ 28,645
2/28/2002 $ 29,991 $ 28,691
3/31/2002 $ 31,238 $ 30,048
4/30/2002 $ 30,960 $ 29,018
5/31/2002 $ 31,158 $ 29,163
6/30/2002 $ 29,267 $ 27,489
7/31/2002 $ 26,013 $ 24,932
8/31/2002 $ 26,431 $ 25,119
9/30/2002 $ 23,503 $ 22,326
10/31/2002 $ 24,424 $ 23,980
11/30/2002 $ 26,146 $ 25,491
12/31/2002 $ 24,972 $ 24,385
1/31/2003 $ 24,388 $ 23,795
2/28/2003 $ 23,683 $ 23,159
3/31/2003 $ 23,572 $ 23,199
4/30/2003 $ 25,754 $ 25,240
5/31/2003 $ 27,472 $ 26,871
6/30/2003 $ 27,766 $ 27,207
7/31/2003 $ 28,477 $ 27,612
8/31/2003 $ 29,491 $ 28,043
9/30/2003 $ 28,842 $ 27,768
10/31/2003 $ 30,775 $ 29,467
11/30/2003 $ 31,465 $ 29,868
12/31/2003 $ 33,626 $ 31,708
1/31/2004 $ 34,199 $ 32,266
2/29/2004 $ 35,080 $ 32,957
3/31/2004 $ 34,938 $ 32,667
4/30/2004 $ 34,364 $ 31,870
5/31/2004 $ 34,549 $ 32,195
6/30/2004 $ 35,593 $ 32,954
7/31/2004 $ 34,441 $ 32,490
8/31/2004 $ 34,441 $ 32,951
9/30/2004 $ 35,498 $ 33,462
10/31/2004 $ 35,932 $ 34,017
11/30/2004 $ 38,285 $ 35,739
[Download Table]
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
---------------------------------------------------------
21.68% 8.88% 14.37%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
Russell 1000 Value Index is courtesy of Russell Analytic Services.
[CHART]
THE U.S. SMALL CAP SERIES VS.
RUSSELL 2000 INDEX
NOVEMBER 30, 1994-NOVEMBER 30, 2004
GROWTH OF $10,000
[Download Table]
THE U.S. SMALL CAP SERIES RUSSELL 2000 INDEX
11/30/94 $ 10,000 $ 10,000
12/31/94 $ 10,126 $ 10,268
1/31/95 $ 10,193 $ 10,139
2/28/95 $ 10,527 $ 10,560
3/31/95 $ 10,727 $ 10,741
4/30/95 $ 11,083 $ 10,979
5/31/95 $ 11,306 $ 11,168
6/30/95 $ 11,885 $ 11,748
7/31/95 $ 12,621 $ 12,425
8/31/95 $ 12,988 $ 12,682
9/30/95 $ 13,222 $ 12,909
10/31/95 $ 12,542 $ 12,332
11/30/95 $ 12,917 $ 12,850
12/31/95 $ 13,225 $ 13,189
1/31/96 $ 13,262 $ 13,174
2/29/96 $ 13,711 $ 13,585
3/31/96 $ 14,014 $ 13,867
4/30/96 $ 14,949 $ 14,609
5/31/96 $ 15,726 $ 15,184
6/30/96 $ 15,009 $ 14,560
7/31/96 $ 13,759 $ 13,289
8/31/96 $ 14,572 $ 14,061
9/30/96 $ 15,034 $ 14,611
10/31/96 $ 14,816 $ 14,386
11/30/96 $ 15,394 $ 14,979
12/31/96 $ 15,625 $ 15,371
1/31/97 $ 16,143 $ 15,678
2/28/97 $ 15,808 $ 15,299
3/31/97 $ 15,066 $ 14,577
4/30/97 $ 14,898 $ 14,618
5/31/97 $ 16,591 $ 16,245
6/30/97 $ 17,446 $ 16,942
7/31/97 $ 18,482 $ 17,729
8/31/97 $ 19,168 $ 18,135
9/30/97 $ 20,651 $ 19,463
10/31/97 $ 19,755 $ 18,608
11/30/97 $ 19,469 $ 18,487
12/31/97 $ 19,469 $ 18,811
1/31/98 $ 19,255 $ 18,514
2/28/98 $ 20,668 $ 19,882
3/31/98 $ 21,528 $ 20,701
4/30/98 $ 21,835 $ 20,815
5/31/98 $ 20,700 $ 19,693
6/30/98 $ 20,423 $ 19,734
7/31/98 $ 18,856 $ 18,136
8/31/98 $ 14,987 $ 14,614
9/30/98 $ 15,924 $ 15,758
10/31/98 $ 16,631 $ 16,401
11/30/98 $ 17,723 $ 17,260
12/31/98 $ 18,466 $ 18,329
1/31/99 $ 18,772 $ 18,573
2/28/99 $ 17,169 $ 17,068
3/31/99 $ 17,016 $ 17,335
4/30/99 $ 18,568 $ 18,888
5/31/99 $ 19,302 $ 19,163
6/30/99 $ 20,444 $ 20,030
7/31/99 $ 20,275 $ 19,481
8/31/99 $ 19,746 $ 18,760
9/30/99 $ 19,643 $ 18,764
10/31/99 $ 19,421 $ 18,841
11/30/99 $ 21,023 $ 19,966
12/31/99 $ 23,235 $ 22,226
1/31/2000 $ 23,216 $ 21,868
2/29/2000 $ 27,103 $ 25,478
3/31/2000 $ 25,940 $ 23,799
4/30/2000 $ 23,901 $ 22,366
5/31/2000 $ 22,644 $ 21,062
6/30/2000 $ 24,967 $ 22,899
7/31/2000 $ 24,280 $ 22,162
8/31/2000 $ 26,281 $ 23,853
9/30/2000 $ 25,766 $ 23,151
10/31/2000 $ 24,643 $ 22,119
11/30/2000 $ 22,385 $ 19,847
12/31/2000 $ 23,885 $ 21,552
1/31/2001 $ 25,973 $ 22,675
2/28/2001 $ 24,248 $ 21,188
3/31/2001 $ 23,159 $ 20,151
4/30/2001 $ 24,975 $ 21,727
5/31/2001 $ 26,154 $ 22,262
6/30/2001 $ 27,469 $ 23,030
7/31/2001 $ 26,448 $ 21,784
8/31/2001 $ 25,654 $ 21,080
9/30/2001 $ 22,024 $ 18,243
10/31/2001 $ 23,476 $ 19,310
11/30/2001 $ 25,314 $ 20,805
12/31/2001 $ 27,005 $ 22,088
1/31/2002 $ 26,818 $ 21,859
2/28/2002 $ 26,124 $ 21,260
3/31/2002 $ 28,347 $ 22,969
4/30/2002 $ 28,440 $ 23,178
5/31/2002 $ 27,237 $ 22,149
6/30/2002 $ 25,848 $ 21,050
7/31/2002 $ 22,142 $ 17,872
8/31/2002 $ 22,164 $ 17,825
9/30/2002 $ 20,497 $ 16,545
10/31/2002 $ 21,284 $ 17,077
11/30/2002 $ 23,183 $ 18,600
12/31/2002 $ 21,908 $ 17,564
1/31/2003 $ 21,323 $ 17,077
2/28/2003 $ 20,645 $ 16,561
3/31/2003 $ 20,855 $ 16,775
4/30/2003 $ 22,959 $ 18,365
5/31/2003 $ 25,531 $ 20,336
6/30/2003 $ 26,233 $ 20,704
7/31/2003 $ 27,894 $ 22,000
8/31/2003 $ 29,297 $ 23,008
9/30/2003 $ 28,851 $ 22,582
10/31/2003 $ 31,376 $ 24,479
11/30/2003 $ 32,529 $ 25,348
12/31/2003 $ 33,296 $ 25,863
1/31/2004 $ 34,803 $ 26,985
2/29/2004 $ 35,110 $ 27,228
3/31/2004 $ 35,298 $ 27,481
4/30/2004 $ 33,862 $ 26,080
5/31/2004 $ 34,215 $ 26,494
6/30/2004 $ 35,724 $ 27,610
7/31/2004 $ 33,174 $ 25,752
8/31/2004 $ 32,702 $ 25,620
9/30/2004 $ 34,319 $ 26,822
10/31/2004 $ 34,981 $ 27,350
11/30/2004 $ 38,056 $ 29,721
[Download Table]
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
---------------------------------------------------------
16.99% 12.60% 14.30%
- THE SERIES INVESTS IN A BROAD CROSS-SECTION OF U.S. SMALL AND MICRO CAP
STOCKS.
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
Russell 2000 Index is courtesy of Russell Analytic Services.
25
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
[CHART]
THE DFA INTERNATIONAL VALUE SERIES VS.
MSCI EAFE INDEX (NET DIVIDENDS)
NOVEMBER 30, 1994-NOVEMBER 30, 2004
GROWTH OF $10,000
[Download Table]
THE DFA INTERNATIONAL VALUE SERIES MSCI EAFE INDEX (NET DIVIDENDS)
11/30/94 $ 10,000 $ 10,000
12/31/94 $ 10,059 $ 10,063
1/31/95 $ 9,661 $ 9,676
2/28/95 $ 9,640 $ 9,648
3/31/95 $ 10,210 $ 10,250
4/30/95 $ 10,529 $ 10,636
5/31/95 $ 10,469 $ 10,509
6/30/95 $ 10,360 $ 10,324
7/31/95 $ 10,943 $ 10,967
8/31/95 $ 10,571 $ 10,549
9/30/95 $ 10,634 $ 10,755
10/31/95 $ 10,432 $ 10,466
11/30/95 $ 10,719 $ 10,757
12/31/95 $ 11,239 $ 11,190
1/31/96 $ 11,352 $ 11,236
2/29/96 $ 11,423 $ 11,274
3/31/96 $ 11,583 $ 11,514
4/30/96 $ 12,035 $ 11,849
5/31/96 $ 11,922 $ 11,630
6/30/96 $ 11,964 $ 11,696
7/31/96 $ 11,644 $ 11,354
8/31/96 $ 11,695 $ 11,379
9/30/96 $ 11,901 $ 11,681
10/31/96 $ 11,787 $ 11,562
11/30/96 $ 12,311 $ 12,022
12/31/96 $ 12,150 $ 11,867
1/31/97 $ 11,744 $ 11,452
2/28/97 $ 11,851 $ 11,639
3/31/97 $ 11,895 $ 11,681
4/30/97 $ 11,831 $ 11,743
5/31/97 $ 12,729 $ 12,507
6/30/97 $ 13,281 $ 13,197
7/31/97 $ 13,464 $ 13,411
8/31/97 $ 12,581 $ 12,409
9/30/97 $ 13,044 $ 13,104
10/31/97 $ 12,360 $ 12,097
11/30/97 $ 11,838 $ 11,974
12/31/97 $ 11,790 $ 12,078
1/31/98 $ 12,502 $ 12,630
2/28/98 $ 13,324 $ 13,441
3/31/98 $ 13,913 $ 13,855
4/30/98 $ 13,956 $ 13,964
5/31/98 $ 14,087 $ 13,897
6/30/98 $ 13,950 $ 14,002
7/31/98 $ 14,105 $ 14,144
8/31/98 $ 12,260 $ 12,392
9/30/98 $ 11,601 $ 12,012
10/31/98 $ 12,756 $ 13,264
11/30/98 $ 13,316 $ 13,943
12/31/98 $ 13,576 $ 14,493
1/31/99 $ 13,307 $ 14,451
2/28/99 $ 12,970 $ 14,106
3/31/99 $ 13,769 $ 14,695
4/30/99 $ 14,587 $ 15,290
5/31/99 $ 13,848 $ 14,503
6/30/99 $ 14,472 $ 15,068
7/31/99 $ 14,995 $ 15,516
8/31/99 $ 15,141 $ 15,573
9/30/99 $ 15,196 $ 15,730
10/31/99 $ 15,128 $ 16,319
11/30/99 $ 15,081 $ 16,886
12/31/99 $ 15,826 $ 18,401
1/31/2000 $ 14,607 $ 17,232
2/29/2000 $ 14,242 $ 17,696
3/31/2000 $ 15,032 $ 18,382
4/30/2000 $ 14,641 $ 17,415
5/31/2000 $ 14,923 $ 16,989
6/30/2000 $ 15,963 $ 17,654
7/31/2000 $ 15,444 $ 16,914
8/31/2000 $ 15,580 $ 17,060
9/30/2000 $ 15,130 $ 16,230
10/31/2000 $ 15,018 $ 15,846
11/30/2000 $ 15,006 $ 15,252
12/31/2000 $ 15,838 $ 15,794
1/31/2001 $ 15,864 $ 15,786
2/28/2001 $ 15,386 $ 14,603
3/31/2001 $ 14,448 $ 13,629
4/30/2001 $ 15,209 $ 14,576
5/31/2001 $ 15,094 $ 14,062
6/30/2001 $ 14,807 $ 13,487
7/31/2001 $ 14,506 $ 13,241
8/31/2001 $ 14,715 $ 12,906
9/30/2001 $ 12,839 $ 11,599
10/31/2001 $ 12,917 $ 11,896
11/30/2001 $ 13,390 $ 12,334
12/31/2001 $ 13,445 $ 12,408
1/31/2002 $ 13,153 $ 11,748
2/28/2002 $ 13,299 $ 11,831
3/31/2002 $ 14,134 $ 12,471
4/30/2002 $ 14,612 $ 12,553
5/31/2002 $ 15,103 $ 12,712
6/30/2002 $ 14,679 $ 12,206
7/31/2002 $ 13,177 $ 11,001
8/31/2002 $ 13,164 $ 10,976
9/30/2002 $ 11,599 $ 9,798
10/31/2002 $ 11,936 $ 10,324
11/30/2002 $ 12,650 $ 10,793
12/31/2002 $ 12,329 $ 10,430
1/31/2003 $ 11,922 $ 9,994
2/28/2003 $ 11,677 $ 9,765
3/31/2003 $ 11,401 $ 9,573
4/30/2003 $ 12,652 $ 10,511
5/31/2003 $ 13,605 $ 11,148
6/30/2003 $ 14,045 $ 11,418
7/31/2003 $ 14,679 $ 11,694
8/31/2003 $ 15,065 $ 11,977
9/30/2003 $ 15,642 $ 12,346
10/31/2003 $ 16,876 $ 13,115
11/30/2003 $ 17,237 $ 13,407
12/31/2003 $ 18,530 $ 14,454
1/31/2004 $ 19,005 $ 14,659
2/29/2004 $ 19,577 $ 14,997
3/31/2004 $ 19,882 $ 15,081
4/30/2004 $ 19,282 $ 14,740
5/31/2004 $ 19,478 $ 14,790
6/30/2004 $ 20,282 $ 15,114
7/31/2004 $ 19,534 $ 14,623
8/31/2004 $ 19,788 $ 14,688
9/30/2004 $ 20,421 $ 15,072
10/31/2004 $ 21,202 $ 15,586
11/30/2004 $ 22,779 $ 16,650
[Download Table]
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-----------------------------------------------------
32.15% 8.60% 8.58%
Past performance is not predictive of future performance.
Daily index data not available at the inception of the fund. Index return is
from first full month of fund inception.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
MSCI EAFE Index (net dividends) courtesy of Morgan Stanley Capital
International.
[CHART]
THE JAPANESE SMALL COMPANY SERIES VS.
MSCI JAPAN SMALL CAP INDEX (PRICE-ONLY)
AUGUST 9, 1996-NOVEMBER 30, 2004
GROWTH OF $10,000
[Download Table]
THE JAPANESE SMALL MSCI JAPAN SMALL CAP S&P/CITIGROUP EXTENDED
COMPANY SERIES INDEX (PRICE-ONLY) MARKET INDEX-JAPAN
8/9/96 $ 10,000 $ 10,000 $ 10,000
8/30/96 $ 10,020 $ 10,000 $ 10,000
9/30/96 $ 10,070 $ 10,008 $ 10,086
10/31/96 $ 9,363 $ 9,299 $ 9,440
11/30/96 $ 9,074 $ 9,053 $ 9,222
12/31/96 $ 7,960 $ 7,906 $ 8,296
1/31/97 $ 7,184 $ 7,100 $ 7,522
2/28/97 $ 7,134 $ 7,046 $ 7,518
3/31/97 $ 6,617 $ 6,421 $ 7,094
4/30/97 $ 6,508 $ 6,286 $ 7,090
5/31/97 $ 7,593 $ 7,490 $ 8,121
6/30/97 $ 7,712 $ 7,665 $ 8,362
7/31/97 $ 6,837 $ 6,845 $ 7,716
8/31/97 $ 6,100 $ 6,028 $ 6,913
9/30/97 $ 5,175 $ 5,029 $ 6,260
10/31/97 $ 5,314 $ 5,180 $ 6,233
11/30/97 $ 4,388 $ 4,247 $ 5,363
12/31/97 $ 3,612 $ 3,514 $ 4,635
1/31/98 $ 4,617 $ 4,522 $ 5,484
2/28/98 $ 4,985 $ 4,863 $ 5,672
3/31/98 $ 4,537 $ 4,385 $ 5,335
4/30/98 $ 4,309 $ 4,211 $ 5,172
5/31/98 $ 4,120 $ 4,044 $ 4,999
6/30/98 $ 4,219 $ 4,099 $ 5,055
7/31/98 $ 4,180 $ 4,114 $ 5,001
8/31/98 $ 3,732 $ 3,688 $ 4,623
9/30/98 $ 3,523 $ 3,448 $ 4,536
10/31/98 $ 3,971 $ 3,959 $ 5,143
11/30/98 $ 4,299 $ 4,302 $ 5,328
12/31/98 $ 4,220 $ 4,352 $ 5,503
1/31/99 $ 4,319 $ 4,441 $ 5,491
2/28/99 $ 4,150 $ 4,392 $ 5,321
3/31/99 $ 4,637 $ 4,955 $ 5,956
4/30/99 $ 5,115 $ 5,317 $ 6,239
5/31/99 $ 4,886 $ 4,961 $ 6,010
6/30/99 $ 5,354 $ 5,590 $ 6,469
7/31/99 $ 5,613 $ 5,905 $ 6,936
8/31/99 $ 5,722 $ 6,200 $ 7,248
9/30/99 $ 5,732 $ 6,324 $ 7,534
10/31/99 $ 5,632 $ 6,294 $ 7,529
11/30/99 $ 5,314 $ 6,252 $ 7,503
12/31/99 $ 4,856 $ 5,795 $ 7,263
1/31/2000 $ 4,906 $ 5,882 $ 7,207
2/29/2000 $ 4,657 $ 5,799 $ 6,948
3/31/2000 $ 5,334 $ 6,271 $ 7,500
4/30/2000 $ 4,767 $ 5,602 $ 6,939
5/31/2000 $ 4,996 $ 5,814 $ 7,016
6/30/2000 $ 5,732 $ 6,666 $ 7,758
7/31/2000 $ 5,036 $ 5,707 $ 6,774
8/31/2000 $ 5,414 $ 6,342 $ 7,318
9/30/2000 $ 5,175 $ 5,889 $ 7,025
10/31/2000 $ 4,648 $ 5,302 $ 6,438
11/30/2000 $ 4,787 $ 5,399 $ 6,420
12/31/2000 $ 4,409 $ 4,863 $ 5,966
1/31/2001 $ 4,379 $ 4,813 $ 5,896
2/28/2001 $ 4,469 $ 4,898 $ 5,807
3/31/2001 $ 4,419 $ 4,699 $ 5,649
4/30/2001 $ 4,967 $ 5,332 $ 6,259
5/31/2001 $ 5,016 $ 5,293 $ 6,300
6/30/2001 $ 4,977 $ 5,150 $ 6,092
7/31/2001 $ 4,608 $ 4,708 $ 5,711
8/31/2001 $ 4,728 $ 4,772 $ 5,719
9/30/2001 $ 4,310 $ 4,342 $ 5,314
10/31/2001 $ 4,439 $ 4,442 $ 5,359
11/30/2001 $ 4,140 $ 4,269 $ 5,118
12/31/2001 $ 3,673 $ 3,752 $ 4,648
1/31/2002 $ 3,473 $ 3,498 $ 4,333
2/28/2002 $ 3,752 $ 3,679 $ 4,561
3/31/2002 $ 3,951 $ 3,917 $ 4,786
4/30/2002 $ 4,111 $ 4,175 $ 5,047
5/31/2002 $ 4,519 $ 4,612 $ 5,551
6/30/2002 $ 4,319 $ 4,409 $ 5,355
7/31/2002 $ 4,270 $ 4,269 $ 5,170
8/31/2002 $ 4,210 $ 4,168 $ 5,079
9/30/2002 $ 4,090 $ 3,992 $ 4,921
10/31/2002 $ 3,772 $ 3,579 $ 4,557
11/30/2002 $ 3,742 $ 3,605 $ 4,584
12/31/2002 $ 3,712 $ 3,523 $ 4,549
1/31/2003 $ 3,722 $ 3,502 $ 4,457
2/28/2003 $ 3,991 $ 3,678 $ 4,650
3/31/2003 $ 4,031 $ 3,593 $ 4,631
4/30/2003 $ 4,210 $ 3,705 $ 4,759
5/31/2003 $ 4,478 $ 3,873 $ 4,953
6/30/2003 $ 4,837 $ 4,307 $ 5,321
7/31/2003 $ 4,896 $ 4,357 $ 5,400
8/31/2003 $ 5,324 $ 4,906 $ 5,920
9/30/2003 $ 5,672 $ 5,250 $ 6,409
10/31/2003 $ 5,901 $ 5,639 $ 6,712
11/30/2003 $ 5,533 $ 5,251 $ 6,365
12/31/2003 $ 5,861 $ 5,624 $ 6,800
1/31/2004 $ 6,150 $ 5,828 $ 6,945
2/29/2004 $ 6,190 $ 5,811 $ 6,934
3/31/2004 $ 7,453 $ 6,840 $ 8,182
4/30/2004 $ 7,205 $ 6,619 $ 7,891
5/31/2004 $ 6,856 $ 6,289 $ 7,584
6/30/2004 $ 7,523 $ 6,948 $ 8,205
7/31/2004 $ 7,045 $ 6,378 $ 7,626
8/31/2004 $ 7,155 $ 6,443 $ 7,673
9/30/2004 $ 6,986 $ 6,232 $ 7,469
10/31/2004 $ 7,125 $ 6,347 $ 7,596
11/30/2004 $ 7,344 $ 6,622 $ 7,904
[Download Table]
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 8/9/1996
------------------------------------------------------
32.73% 6.57% -3.65%
- THE MSCI JAPAN SMALL CAP INDEX IS REPLACING THE S&P/CITIGROUP EXTENDED MARKET
INDEX-JAPAN FOR COMPARISON PURPOSES.
Past performance is not predictive of future performance.
Daily index data not available at the inception of the fund. Index return is
from first full month of fund inception.
Prior to April 2002, the returns shown reflect a reimbursement fee of 0.5% of
the net asset value at the time of purchase.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
S&P/Citigroup Extended Market Index-Japan is courtesy of Citigroup Global
Markets Inc. MSCI Japan Small Cap Index is courtesy of Morgan Stanley Capital
International.
[CHART]
THE PACIFIC RIM SMALL COMPANY SERIES VS.
MSCI PACIFIC RIM EX-JAPAN INDEX (PRICE-ONLY)
AUGUST 9, 1996-NOVEMBER 30, 2004
GROWTH OF $10,000
[Enlarge/Download Table]
THE PACIFIC RIM MSCI PACIFIC RIM EX-JAPAN S&P/CITIGROUP EXTENDED MARKET
SMALL COMPANY SERIES INDEX (PRICE-ONLY) INDEX-PAC RIM EX-JAPAN
8/9/96 $ 10,000 $ 10,000 $ 10,000
8/30/96 $ 10,009 $ 10,000 $ 10,000
9/30/96 $ 10,167 $ 10,114 $ 10,212
10/31/96 $ 10,276 $ 10,262 $ 10,421
11/30/96 $ 10,592 $ 10,796 $ 11,086
12/31/96 $ 10,344 $ 10,842 $ 11,122
1/31/97 $ 10,563 $ 11,049 $ 11,146
2/28/97 $ 11,156 $ 11,798 $ 11,732
3/31/97 $ 10,661 $ 11,219 $ 11,210
4/30/97 $ 10,414 $ 10,619 $ 10,987
5/31/97 $ 10,800 $ 11,070 $ 11,438
6/30/97 $ 10,899 $ 11,040 $ 11,592
7/31/97 $ 10,850 $ 10,944 $ 11,593
8/31/97 $ 10,246 $ 9,547 $ 10,747
9/30/97 $ 9,791 $ 9,236 $ 10,476
10/31/97 $ 7,415 $ 6,995 $ 7,981
11/30/97 $ 6,593 $ 6,343 $ 7,328
12/31/97 $ 6,009 $ 5,761 $ 7,042
1/31/98 $ 5,385 $ 5,097 $ 6,313
2/28/98 $ 6,851 $ 6,251 $ 7,431
3/31/98 $ 6,623 $ 6,016 $ 7,177
4/30/98 $ 6,009 $ 5,531 $ 6,802
5/31/98 $ 5,237 $ 4,863 $ 6,087
6/30/98 $ 4,484 $ 4,268 $ 5,444
7/31/98 $ 4,188 $ 4,144 $ 5,295
8/31/98 $ 3,534 $ 3,444 $ 4,440
9/30/98 $ 3,772 $ 3,790 $ 4,986
10/31/98 $ 4,435 $ 4,459 $ 5,773
11/30/98 $ 5,039 $ 4,869 $ 6,210
12/31/98 $ 4,891 $ 4,734 $ 6,039
1/31/99 $ 4,881 $ 4,806 $ 5,968
2/28/99 $ 4,673 $ 4,684 $ 5,944
3/31/99 $ 4,851 $ 4,966 $ 6,347
4/30/99 $ 6,118 $ 5,812 $ 7,289
5/31/99 $ 6,504 $ 5,645 $ 7,009
6/30/99 $ 7,811 $ 6,243 $ 7,639
7/31/99 $ 7,603 $ 6,244 $ 7,623
8/31/99 $ 7,514 $ 6,126 $ 7,495
9/30/99 $ 7,396 $ 5,921 $ 7,415
10/31/99 $ 7,396 $ 5,819 $ 7,269
11/30/99 $ 7,802 $ 6,087 $ 7,696
12/31/99 $ 8,366 $ 6,388 $ 8,183
1/31/2000 $ 8,187 $ 5,853 $ 7,674
2/29/2000 $ 8,316 $ 5,782 $ 7,424
3/31/2000 $ 8,247 $ 5,802 $ 7,578
4/30/2000 $ 7,386 $ 5,754 $ 7,049
5/31/2000 $ 6,822 $ 5,193 $ 6,627
6/30/2000 $ 7,425 $ 5,726 $ 7,509
7/31/2000 $ 7,386 $ 5,742 $ 7,489
8/31/2000 $ 7,495 $ 5,742 $ 7,703
9/30/2000 $ 6,822 $ 5,178 $ 7,025
10/31/2000 $ 6,515 $ 4,950 $ 6,674
11/30/2000 $ 6,614 $ 4,944 $ 6,717
12/31/2000 $ 6,841 $ 5,150 $ 7,097
1/31/2001 $ 7,019 $ 5,248 $ 7,275
2/28/2001 $ 6,969 $ 5,132 $ 7,195
3/31/2001 $ 6,256 $ 4,527 $ 6,413
4/30/2001 $ 6,603 $ 4,834 $ 6,881
5/31/2001 $ 6,890 $ 4,871 $ 7,087
6/30/2001 $ 7,039 $ 5,025 $ 7,369
7/31/2001 $ 6,801 $ 4,883 $ 6,988
8/31/2001 $ 6,860 $ 4,944 $ 7,019
9/30/2001 $ 5,979 $ 4,347 $ 6,243
10/31/2001 $ 6,435 $ 4,637 $ 6,763
11/30/2001 $ 6,801 $ 4,880 $ 7,352
12/31/2001 $ 6,890 $ 4,938 $ 7,498
1/31/2002 $ 7,227 $ 5,097 $ 7,877
2/28/2002 $ 7,296 $ 5,122 $ 8,088
3/31/2002 $ 7,613 $ 5,331 $ 8,594
4/30/2002 $ 7,663 $ 5,331 $ 8,396
5/31/2002 $ 8,098 $ 5,720 $ 8,723
6/30/2002 $ 7,840 $ 5,510 $ 8,393
7/31/2002 $ 7,375 $ 5,154 $ 7,940
8/31/2002 $ 7,514 $ 5,264 $ 8,075
9/30/2002 $ 7,009 $ 4,931 $ 7,352
10/31/2002 $ 7,227 $ 5,037 $ 7,530
11/30/2002 $ 7,296 $ 5,140 $ 7,842
12/31/2002 $ 7,396 $ 5,212 $ 7,697
1/31/2003 $ 7,633 $ 5,404 $ 7,956
2/28/2003 $ 7,683 $ 5,302 $ 7,901
3/31/2003 $ 7,524 $ 5,253 $ 7,729
4/30/2003 $ 7,742 $ 5,527 $ 8,309
5/31/2003 $ 8,534 $ 5,912 $ 9,096
6/30/2003 $ 8,930 $ 6,205 $ 9,602
7/31/2003 $ 9,543 $ 6,344 $ 9,950
8/31/2003 $ 10,227 $ 6,640 $ 10,513
9/30/2003 $ 11,048 $ 7,130 $ 10,999
10/31/2003 $ 11,691 $ 7,703 $ 11,873
11/30/2003 $ 11,780 $ 7,661 $ 12,016
12/31/2003 $ 12,305 $ 8,136 $ 12,736
1/31/2004 $ 13,077 $ 8,467 $ 13,114
2/29/2004 $ 13,483 $ 8,708 $ 13,586
3/31/2004 $ 13,057 $ 8,670 $ 13,609
4/30/2004 $ 12,107 $ 8,160 $ 12,786
5/31/2004 $ 12,018 $ 8,101 $ 12,700
6/30/2004 $ 12,068 $ 8,089 $ 12,754
7/31/2004 $ 12,285 $ 8,384 $ 12,857
8/31/2004 $ 12,582 $ 8,627 $ 13,508
9/30/2004 $ 13,354 $ 9,082 $ 14,315
10/31/2004 $ 13,988 $ 9,644 $ 15,265
11/30/2004 $ 15,008 $ 10,366 $ 16,571
[Download Table]
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 8/9/1996
-----------------------------------------------------
27.40% 14.87% 5.63%
- THE MSCI PACIFIC RIM EX-JAPAN SMALL CAP INDEX IS REPLACING THE S&P/CITIGROUP
EXTENDED MARKET INDEX-PACIFIC RIM EX-JAPAN FOR COMPARISON PURPOSES.
Past performance is not predictive of future performance.
Daily index data not available at the inception of the fund. Index return is
from first full month of fund inception.
Prior to April 2002, the returns shown reflect a reimbursement fee of 1% of the
net asset value at the time of purchase.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
S&P/Citigroup Extended Market Index-Europe ex-United Kingdom is courtesy of
Citigroup Global Markets Inc. MSCI Europe ex-UK Small Cap Index is courtesy of
Morgan Stanley Capital International.
26
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
[CHART]
THE UNITED KINGDOM SMALL COMPANY SERIES VS.
MSCI UK SMALL CAP INDEX (PRICE-ONLY)
AUGUST 9, 1996-NOVEMBER 30, 2004
GROWTH OF $10,000
[Enlarge/Download Table]
THE UNITED KINGDOM SMALL MSCI UK SMALL CAP S&P/CITIGROUP EXTENDED
COMPANY SERIES INDEX (PRICE-ONLY) MARKET INDEX-UNITED KINGDOM
8/9/96 $ 10,000 $ 10,000 $ 10,000
8/30/96 $ 10,240 $ 10,308 $ 10,000
9/30/96 $ 10,320 $ 10,324 $ 10,017
10/31/96 $ 10,819 $ 10,799 $ 10,526
11/30/96 $ 11,130 $ 10,994 $ 10,863
12/31/96 $ 11,549 $ 11,311 $ 11,235
1/31/97 $ 11,410 $ 10,907 $ 10,966
2/28/97 $ 11,800 $ 11,306 $ 11,354
3/31/97 $ 11,880 $ 11,356 $ 11,280
4/30/97 $ 11,690 $ 11,184 $ 11,066
5/31/97 $ 11,630 $ 11,162 $ 11,101
6/30/97 $ 11,511 $ 11,281 $ 11,153
7/31/97 $ 11,141 $ 11,007 $ 11,072
8/31/97 $ 11,431 $ 11,269 $ 11,354
9/30/97 $ 11,841 $ 11,838 $ 11,907
10/31/97 $ 12,262 $ 12,087 $ 12,039
11/30/97 $ 12,132 $ 11,997 $ 12,108
12/31/97 $ 12,012 $ 11,971 $ 12,139
1/31/98 $ 12,081 $ 11,788 $ 12,313
2/28/98 $ 12,541 $ 12,452 $ 13,103
3/31/98 $ 13,581 $ 13,733 $ 14,302
4/30/98 $ 13,631 $ 13,947 $ 14,560
5/31/98 $ 14,141 $ 14,441 $ 14,978
6/30/98 $ 13,631 $ 13,938 $ 14,353
7/31/98 $ 12,630 $ 13,024 $ 13,888
8/31/98 $ 11,370 $ 11,371 $ 12,466
9/30/98 $ 10,850 $ 10,784 $ 12,070
10/31/98 $ 10,610 $ 10,940 $ 12,423
11/30/98 $ 10,531 $ 11,020 $ 12,603
12/31/98 $ 10,720 $ 11,135 $ 12,675
1/31/99 $ 10,900 $ 11,007 $ 13,048
2/28/99 $ 11,260 $ 11,283 $ 13,324
3/31/99 $ 11,930 $ 12,134 $ 13,872
4/30/99 $ 12,731 $ 13,189 $ 14,734
5/31/99 $ 12,661 $ 12,776 $ 14,309
6/30/99 $ 12,981 $ 12,941 $ 14,524
7/31/99 $ 13,821 $ 13,474 $ 15,238
8/31/99 $ 14,271 $ 13,862 $ 15,241
9/30/99 $ 14,012 $ 13,235 $ 14,801
10/31/99 $ 13,832 $ 12,829 $ 14,538
11/30/99 $ 14,402 $ 13,868 $ 15,756
12/31/99 $ 15,272 $ 14,955 $ 16,885
1/31/2000 $ 15,723 $ 14,688 $ 16,337
2/29/2000 $ 15,392 $ 15,479 $ 16,784
3/31/2000 $ 15,172 $ 15,218 $ 16,645
4/30/2000 $ 13,883 $ 13,926 $ 15,793
5/31/2000 $ 13,302 $ 13,110 $ 14,893
6/30/2000 $ 14,413 $ 14,084 $ 15,926
7/31/2000 $ 14,513 $ 14,135 $ 16,039
8/31/2000 $ 14,793 $ 14,420 $ 16,322
9/30/2000 $ 14,822 $ 13,790 $ 15,576
10/31/2000 $ 14,142 $ 13,151 $ 15,080
11/30/2000 $ 13,511 $ 12,669 $ 14,020
12/31/2000 $ 14,611 $ 13,539 $ 15,258
1/31/2001 $ 14,910 $ 14,196 $ 15,312
2/28/2001 $ 14,271 $ 13,679 $ 14,788
3/31/2001 $ 13,161 $ 12,475 $ 13,541
4/30/2001 $ 13,841 $ 13,558 $ 14,329
5/31/2001 $ 14,042 $ 13,860 $ 14,589
6/30/2001 $ 13,522 $ 13,296 $ 14,029
7/31/2001 $ 13,142 $ 12,848 $ 13,747
8/31/2001 $ 13,563 $ 13,375 $ 13,995
9/30/2001 $ 11,523 $ 10,624 $ 11,983
10/31/2001 $ 12,043 $ 11,237 $ 12,437
11/30/2001 $ 12,853 $ 12,267 $ 13,135
12/31/2001 $ 13,383 $ 12,661 $ 13,731
1/31/2002 $ 13,023 $ 11,963 $ 13,249
2/28/2002 $ 13,153 $ 11,960 $ 13,367
3/31/2002 $ 13,813 $ 12,811 $ 14,332
4/30/2002 $ 14,424 $ 13,246 $ 14,624
5/31/2002 $ 14,584 $ 13,043 $ 14,739
6/30/2002 $ 14,003 $ 12,226 $ 14,059
7/31/2002 $ 12,994 $ 10,849 $ 12,806
8/31/2002 $ 13,013 $ 10,911 $ 12,805
9/30/2002 $ 11,912 $ 10,119 $ 11,674
10/31/2002 $ 11,853 $ 10,096 $ 11,997
11/30/2002 $ 12,253 $ 10,261 $ 12,244
12/31/2002 $ 12,224 $ 9,944 $ 12,020
1/31/2003 $ 11,934 $ 9,177 $ 11,412
2/28/2003 $ 11,534 $ 8,894 $ 11,027
3/31/2003 $ 11,434 $ 8,847 $ 10,951
4/30/2003 $ 12,515 $ 9,958 $ 12,284
5/31/2003 $ 14,015 $ 11,377 $ 13,659
6/30/2003 $ 14,815 $ 11,730 $ 13,978
7/31/2003 $ 15,405 $ 12,436 $ 14,545
8/31/2003 $ 16,055 $ 13,003 $ 14,926
9/30/2003 $ 16,686 $ 13,308 $ 15,364
10/31/2003 $ 17,636 $ 14,354 $ 16,709
11/30/2003 $ 17,726 $ 14,449 $ 16,925
12/31/2003 $ 18,717 $ 15,233 $ 17,908
1/31/2004 $ 20,107 $ 16,507 $ 18,916
2/29/2004 $ 21,278 $ 17,617 $ 20,076
3/31/2004 $ 20,987 $ 17,476 $ 19,948
4/30/2004 $ 20,237 $ 16,831 $ 19,249
5/31/2004 $ 20,267 $ 16,757 $ 19,569
6/30/2004 $ 20,957 $ 17,281 $ 20,017
7/31/2004 $ 20,187 $ 16,450 $ 19,338
8/31/2004 $ 20,047 $ 16,193 $ 19,319
9/30/2004 $ 20,617 $ 16,663 $ 20,078
10/31/2004 $ 21,268 $ 17,269 $ 20,578
11/30/2004 $ 22,988 $ 18,644 $ 22,330
[Download Table]
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 8/9/1996
-----------------------------------------------------
29.68% 9.80% 10.53%
- THE MSCI UK SMALL CAP INDEX IS REPLACING THE S&P/CITIGROUP EXTENDED MARKET
INDEX-UNITED KINGDOM FOR COMPARISON PURPOSES.
Past performance is not predictive of future performance.
Daily index data not available at the inception of the fund. Index return is
from first full month of fund inception.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
S&P/Citigroup Extended Market Index-United Kingdom is courtesy of Citigroup
Global Markets Inc. MSCI UK Small Cap Index is courtesy of Morgan Stanley
Capital International.
[CHART]
THE CONTINENTAL SMALL COMPANY SERIES VS.
MSCI EUROPE EX-UK SMALL CAP INDEX (PRICE-ONLY)
AUGUST 9, 1996-NOVEMBER 30, 2004
GROWTH OF $10,000
[Enlarge/Download Table]
THE CONTINENTAL SMALL MSCI EUROPE EX-UK SMALL CAP S&P/CITIGROUP EXTENDED MARKET
COMPANY SERIES INDEX (PRICE-ONLY) INDEX-EUROPE EX-UNITED KINGDOM
8/9/96 $ 10,000 $ 10,000 $ 10,000
8/30/96 $ 9,900 $ 10,000 $ 10,000
9/30/96 $ 9,761 $ 10,025 $ 9,977
10/31/96 $ 9,940 $ 10,112 $ 10,032
11/30/96 $ 10,128 $ 10,413 $ 10,279
12/31/96 $ 10,326 $ 10,687 $ 10,461
1/31/97 $ 10,584 $ 11,118 $ 10,657
2/28/97 $ 10,604 $ 11,105 $ 10,763
3/31/97 $ 10,980 $ 11,486 $ 11,103
4/30/97 $ 10,683 $ 11,061 $ 10,873
5/31/97 $ 11,118 $ 11,536 $ 11,420
6/30/97 $ 11,504 $ 11,889 $ 11,807
7/31/97 $ 11,474 $ 11,958 $ 11,955
8/31/97 $ 11,296 $ 11,808 $ 11,487
9/30/97 $ 12,098 $ 12,548 $ 12,326
10/31/97 $ 11,752 $ 12,030 $ 11,841
11/30/97 $ 11,495 $ 11,790 $ 11,785
12/31/97 $ 11,585 $ 11,847 $ 11,979
1/31/98 $ 12,011 $ 12,282 $ 12,438
2/28/98 $ 12,912 $ 13,164 $ 13,488
3/31/98 $ 14,140 $ 14,348 $ 14,596
4/30/98 $ 14,704 $ 14,855 $ 14,986
5/31/98 $ 15,486 $ 15,534 $ 15,884
6/30/98 $ 15,080 $ 14,783 $ 15,498
7/31/98 $ 15,139 $ 14,823 $ 15,825
8/31/98 $ 13,565 $ 12,702 $ 13,676
9/30/98 $ 12,922 $ 11,861 $ 12,992
10/31/98 $ 13,298 $ 12,388 $ 13,757
11/30/98 $ 13,783 $ 12,716 $ 14,248
12/31/98 $ 13,911 $ 12,782 $ 14,758
1/31/99 $ 13,199 $ 12,257 $ 14,459
2/28/99 $ 12,951 $ 11,974 $ 13,941
3/31/99 $ 12,753 $ 11,913 $ 13,824
4/30/99 $ 13,129 $ 12,431 $ 14,277
5/31/99 $ 12,990 $ 12,234 $ 14,013
6/30/99 $ 13,080 $ 12,197 $ 14,221
7/31/99 $ 13,367 $ 12,333 $ 14,514
8/31/99 $ 13,457 $ 12,418 $ 14,737
9/30/99 $ 13,516 $ 12,367 $ 14,630
10/31/99 $ 13,317 $ 12,147 $ 14,559
11/30/99 $ 12,971 $ 11,861 $ 14,881
12/31/99 $ 13,585 $ 12,661 $ 16,542
1/31/2000 $ 13,356 $ 12,932 $ 16,123
2/29/2000 $ 14,227 $ 13,767 $ 17,491
3/31/2000 $ 14,267 $ 13,593 $ 17,258
4/30/2000 $ 13,544 $ 12,868 $ 16,164
5/31/2000 $ 13,950 $ 12,954 $ 16,156
6/30/2000 $ 14,494 $ 13,194 $ 16,721
7/31/2000 $ 14,187 $ 13,119 $ 16,556
8/31/2000 $ 14,207 $ 13,131 $ 16,619
9/30/2000 $ 13,930 $ 12,839 $ 15,744
10/31/2000 $ 13,306 $ 12,180 $ 14,935
11/30/2000 $ 13,315 $ 11,960 $ 14,324
12/31/2000 $ 14,226 $ 12,564 $ 15,337
1/31/2001 $ 14,621 $ 13,249 $ 15,650
2/28/2001 $ 14,384 $ 12,708 $ 14,820
3/31/2001 $ 13,255 $ 11,495 $ 13,331
4/30/2001 $ 13,740 $ 11,983 $ 14,066
5/31/2001 $ 13,573 $ 11,719 $ 13,663
6/30/2001 $ 13,167 $ 11,097 $ 12,994
7/31/2001 $ 13,345 $ 10,989 $ 12,926
8/31/2001 $ 13,443 $ 10,891 $ 12,750
9/30/2001 $ 11,731 $ 9,245 $ 10,766
10/31/2001 $ 12,077 $ 9,839 $ 11,378
11/30/2001 $ 12,591 $ 10,577 $ 12,061
12/31/2001 $ 12,699 $ 10,663 $ 12,207
1/31/2002 $ 12,710 $ 10,666 $ 12,020
2/28/2002 $ 12,898 $ 10,716 $ 12,144
3/31/2002 $ 13,561 $ 11,365 $ 12,975
4/30/2002 $ 14,104 $ 11,628 $ 13,182
5/31/2002 $ 14,669 $ 11,785 $ 13,492
6/30/2002 $ 14,669 $ 11,487 $ 13,130
7/31/2002 $ 13,520 $ 10,258 $ 11,589
8/31/2002 $ 13,342 $ 9,989 $ 11,427
9/30/2002 $ 11,946 $ 8,717 $ 9,930
10/31/2002 $ 12,313 $ 9,237 $ 10,607
11/30/2002 $ 12,996 $ 9,742 $ 11,277
12/31/2002 $ 13,234 $ 9,509 $ 11,061
1/31/2003 $ 13,145 $ 9,378 $ 10,769
2/28/2003 $ 12,759 $ 8,966 $ 10,312
3/31/2003 $ 12,680 $ 8,903 $ 10,277
4/30/2003 $ 14,263 $ 10,142 $ 11,661
5/31/2003 $ 15,718 $ 11,078 $ 12,676
6/30/2003 $ 15,976 $ 11,222 $ 12,856
7/31/2003 $ 16,540 $ 11,603 $ 13,358
8/31/2003 $ 16,906 $ 11,936 $ 13,747
9/30/2003 $ 17,776 $ 12,605 $ 14,298
10/31/2003 $ 18,875 $ 13,654 $ 15,324
11/30/2003 $ 19,865 $ 14,375 $ 16,123
12/31/2003 $ 21,102 $ 15,118 $ 17,051
1/31/2004 $ 22,121 $ 15,873 $ 17,675
2/29/2004 $ 22,864 $ 16,407 $ 18,159
3/31/2004 $ 22,398 $ 15,783 $ 17,797
4/30/2004 $ 22,131 $ 15,478 $ 17,703
5/31/2004 $ 22,379 $ 15,445 $ 17,944
6/30/2004 $ 23,052 $ 15,963 $ 18,398
7/31/2004 $ 22,309 $ 15,307 $ 17,712
8/31/2004 $ 22,448 $ 15,351 $ 17,772
9/30/2004 $ 23,616 $ 16,201 $ 18,634
10/31/2004 $ 24,507 $ 16,881 $ 19,247
11/30/2004 $ 27,130 $ 18,741 $ 21,010
[Download Table]
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 8/9/1996
-----------------------------------------------------
36.57% 15.68% 12.77%
- THE MSCI EUROPE EX-UK SMALL CAP INDEX IS REPLACING THE S&P/CITIGROUP EXTENDED
MARKET INDEX-EUROPE EX-UNITED KINGDOM FOR COMPARISON PURPOSES.
Past performance is not predictive of future performance.
Daily index data not available at the inception of the fund. Index return is
from first full month of fund inception.
Prior to April 2002, the returns shown reflect a reimbursement fee of 1% of the
net asset value at the time of purchase.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
S&P/Citigroup Extended Market Index-Europe ex-United Kingdom is courtesy of
Citigroup Global Markets Inc. MSCI Europe ex-UK Small Cap Index is courtesy of
Morgan Stanley Capital International.
27
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
[CHART]
THE EMERGING MARKETS SERIES VS.
MSCI EMERGING MARKETS FREE INDEX (PRICE-ONLY)
NOVEMBER 30, 1994-NOVEMBER 30, 2004
GROWTH OF $10,000
[Download Table]
MSCI EMERGING MARKETS
THE EMERGING MARKETS SERIES FREE INDEX (PRICE-ONLY)
11/30/94 $ 9,850 $ 10,000
12/31/94 $ 9,140 $ 9,190
1/31/95 $ 8,291 $ 8,207
2/28/95 $ 8,248 $ 7,988
3/31/95 $ 8,611 $ 8,020
4/30/95 $ 9,036 $ 8,364
5/31/95 $ 9,677 $ 8,787
6/30/95 $ 9,737 $ 8,795
7/31/95 $ 10,127 $ 8,978
8/31/95 $ 9,746 $ 8,755
9/30/95 $ 9,564 $ 8,702
10/31/95 $ 9,244 $ 8,360
11/30/95 $ 9,205 $ 8,204
12/31/95 $ 9,484 $ 8,552
1/31/96 $ 10,507 $ 9,151
2/29/96 $ 10,288 $ 8,991
3/31/96 $ 10,376 $ 9,044
4/30/96 $ 10,674 $ 9,374
5/31/96 $ 10,674 $ 9,309
6/30/96 $ 10,761 $ 9,347
7/31/96 $ 9,842 $ 8,692
8/31/96 $ 10,122 $ 8,901
9/30/96 $ 10,340 $ 8,966
10/31/96 $ 10,113 $ 8,721
11/30/96 $ 10,472 $ 8,856
12/31/96 $ 10,612 $ 8,885
1/31/97 $ 11,697 $ 9,483
2/28/97 $ 11,845 $ 9,882
3/31/97 $ 11,512 $ 9,599
4/30/97 $ 11,066 $ 9,582
5/31/97 $ 11,617 $ 9,830
6/30/97 $ 12,098 $ 10,336
7/31/97 $ 12,115 $ 10,469
8/31/97 $ 10,348 $ 9,125
9/30/97 $ 10,777 $ 9,363
10/31/97 $ 9,185 $ 7,819
11/30/97 $ 8,704 $ 7,529
12/31/97 $ 8,634 $ 7,693
1/31/98 $ 8,477 $ 7,084
2/28/98 $ 9,308 $ 7,819
3/31/98 $ 9,632 $ 8,132
4/30/98 $ 9,483 $ 8,028
5/31/98 $ 8,390 $ 6,903
6/30/98 $ 7,647 $ 6,165
7/31/98 $ 7,962 $ 6,338
8/31/98 $ 5,950 $ 4,482
9/30/98 $ 5,959 $ 4,754
10/31/98 $ 6,930 $ 5,249
11/30/98 $ 7,630 $ 5,679
12/31/98 $ 7,849 $ 5,576
1/31/99 $ 7,656 $ 5,482
2/28/99 $ 7,735 $ 5,531
3/31/99 $ 8,435 $ 6,243
4/30/99 $ 9,940 $ 7,006
5/31/99 $ 9,931 $ 6,944
6/30/99 $ 10,903 $ 7,717
7/31/99 $ 10,737 $ 7,496
8/31/99 $ 10,693 $ 7,559
9/30/99 $ 10,343 $ 7,293
10/31/99 $ 10,745 $ 7,442
11/30/99 $ 11,734 $ 8,107
12/31/99 $ 13,519 $ 9,127
1/31/2000 $ 13,309 $ 9,164
2/29/2000 $ 12,959 $ 9,282
3/31/2000 $ 13,038 $ 9,313
4/30/2000 $ 12,199 $ 8,417
5/31/2000 $ 11,525 $ 8,051
6/30/2000 $ 11,762 $ 8,308
7/31/2000 $ 11,070 $ 7,871
8/31/2000 $ 11,193 $ 7,899
9/30/2000 $ 10,388 $ 7,199
10/31/2000 $ 9,732 $ 6,673
11/30/2000 $ 9,119 $ 6,086
12/31/2000 $ 9,609 $ 6,225
1/31/2001 $ 10,598 $ 7,068
2/28/2001 $ 9,644 $ 6,509
3/31/2001 $ 8,690 $ 5,840
4/30/2001 $ 9,075 $ 6,112
5/31/2001 $ 9,137 $ 6,165
6/30/2001 $ 8,944 $ 6,022
7/31/2001 $ 8,638 $ 5,626
8/31/2001 $ 8,717 $ 5,561
9/30/2001 $ 7,290 $ 4,688
10/31/2001 $ 7,509 $ 4,977
11/30/2001 $ 8,340 $ 5,491
12/31/2001 $ 8,987 $ 5,919
1/31/2002 $ 9,486 $ 6,112
2/28/2002 $ 9,363 $ 6,206
3/31/2002 $ 9,766 $ 6,554
4/30/2002 $ 9,872 $ 6,580
5/31/2002 $ 9,618 $ 6,458
6/30/2002 $ 8,892 $ 5,963
7/31/2002 $ 8,463 $ 5,494
8/31/2002 $ 8,489 $ 5,574
9/30/2002 $ 7,596 $ 4,962
10/31/2002 $ 7,912 $ 5,281
11/30/2002 $ 8,515 $ 5,639
12/31/2002 $ 8,174 $ 5,447
1/31/2003 $ 8,165 $ 5,416
2/28/2003 $ 8,042 $ 5,245
3/31/2003 $ 7,911 $ 5,077
4/30/2003 $ 8,979 $ 5,504
5/31/2003 $ 9,636 $ 5,882
6/30/2003 $ 10,012 $ 6,204
7/31/2003 $ 10,214 $ 6,575
8/31/2003 $ 10,677 $ 7,002
9/30/2003 $ 11,159 $ 7,041
10/31/2003 $ 12,008 $ 7,628
11/30/2003 $ 11,894 $ 7,707
12/31/2003 $ 13,146 $ 8,256
1/31/2004 $ 13,399 $ 8,525
2/29/2004 $ 13,994 $ 8,908
3/31/2004 $ 14,091 $ 8,989
4/30/2004 $ 13,198 $ 8,229
5/31/2004 $ 13,049 $ 8,041
6/30/2004 $ 13,286 $ 8,059
7/31/2004 $ 13,277 $ 7,890
8/31/2004 $ 13,644 $ 8,200
9/30/2004 $ 14,415 $ 8,655
10/31/2004 $ 14,817 $ 8,843
11/30/2004 $ 16,112 $ 9,658
[Download Table]
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-----------------------------------------------------
35.47% 6.43% 4.88%
Past performance is not predictive of future performance.
Prior to April 2002, the returns shown since July 1995 reflect a reimbursement
fee of 0.5% of the net asset value at the time of purchase. Prior to July 1995,
the reimbursement fee was 1.5%.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
MSCI Emerging Markets Free Index (price-only) courtesy of Morgan Stanley Capital
International.
[CHART]
THE EMERGING MARKETS SMALL CAP SERIES VS.
MSCI EMERGING MARKETS FREE INDEX (PRICE-ONLY)
DECEMBER 2, 1996-NOVEMBER 30, 2004
GROWTH OF $10,000
[Download Table]
THE EMERGING MARKETS MSCI EMERGING MARKETS
SMALL CAP SERIES FREE INDEX (PRICE-ONLY)
12/2/96 $ 10,000 $ 10,000
12/31/96 $ 9,880 $ 10,000
1/31/97 $ 10,880 $ 10,673
2/28/97 $ 11,138 $ 11,122
3/31/97 $ 10,692 $ 10,803
4/30/97 $ 10,088 $ 10,785
5/31/97 $ 10,247 $ 11,064
6/30/97 $ 10,652 $ 11,633
7/31/97 $ 10,692 $ 11,783
8/31/97 $ 9,296 $ 10,270
9/30/97 $ 9,483 $ 10,538
10/31/97 $ 8,424 $ 8,800
11/30/97 $ 7,849 $ 8,474
12/31/97 $ 7,612 $ 8,658
1/31/98 $ 6,909 $ 7,973
2/28/98 $ 7,216 $ 8,800
3/31/98 $ 7,562 $ 9,152
4/30/98 $ 7,790 $ 9,035
5/31/98 $ 7,344 $ 7,769
6/30/98 $ 6,869 $ 6,939
7/31/98 $ 7,057 $ 7,134
8/31/98 $ 5,404 $ 5,045
9/30/98 $ 5,187 $ 5,350
10/31/98 $ 5,850 $ 5,907
11/30/98 $ 6,622 $ 6,392
12/31/98 $ 6,840 $ 6,276
1/31/99 $ 6,543 $ 6,170
2/28/99 $ 6,543 $ 6,225
3/31/99 $ 7,177 $ 7,026
4/30/99 $ 8,721 $ 7,885
5/31/99 $ 9,028 $ 7,815
6/30/99 $ 10,157 $ 8,686
7/31/99 $ 10,098 $ 8,436
8/31/99 $ 10,296 $ 8,507
9/30/99 $ 10,167 $ 8,209
10/31/99 $ 10,514 $ 8,376
11/30/99 $ 11,355 $ 9,124
12/31/99 $ 12,780 $ 10,273
1/31/2000 $ 13,037 $ 10,314
2/29/2000 $ 12,858 $ 10,447
3/31/2000 $ 12,818 $ 10,481
4/30/2000 $ 11,887 $ 9,473
5/31/2000 $ 11,224 $ 9,061
6/30/2000 $ 11,204 $ 9,351
7/31/2000 $ 10,838 $ 8,859
8/31/2000 $ 10,797 $ 8,890
9/30/2000 $ 10,115 $ 8,102
10/31/2000 $ 9,313 $ 7,511
11/30/2000 $ 8,709 $ 6,850
12/31/2000 $ 8,719 $ 7,006
1/31/2001 $ 9,204 $ 7,955
2/28/2001 $ 8,640 $ 7,326
3/31/2001 $ 7,917 $ 6,573
4/30/2001 $ 8,126 $ 6,879
5/31/2001 $ 8,215 $ 6,939
6/30/2001 $ 8,225 $ 6,778
7/31/2001 $ 8,076 $ 6,332
8/31/2001 $ 8,027 $ 6,259
9/30/2001 $ 6,790 $ 5,277
10/31/2001 $ 7,136 $ 5,601
11/30/2001 $ 7,878 $ 6,180
12/31/2001 $ 8,492 $ 6,662
1/31/2002 $ 9,145 $ 6,879
2/28/2002 $ 9,046 $ 6,984
3/31/2002 $ 9,621 $ 7,376
4/30/2002 $ 9,888 $ 7,406
5/31/2002 $ 9,819 $ 7,268
6/30/2002 $ 9,176 $ 6,711
7/31/2002 $ 8,750 $ 6,184
8/31/2002 $ 8,858 $ 6,273
9/30/2002 $ 7,849 $ 5,585
10/31/2002 $ 8,175 $ 5,943
11/30/2002 $ 8,809 $ 6,346
12/31/2002 $ 8,522 $ 6,130
1/31/2003 $ 8,680 $ 6,095
2/28/2003 $ 8,581 $ 5,903
3/31/2003 $ 8,522 $ 5,714
4/30/2003 $ 9,620 $ 6,195
5/31/2003 $ 10,352 $ 6,620
6/30/2003 $ 10,798 $ 6,982
7/31/2003 $ 11,025 $ 7,400
8/31/2003 $ 11,688 $ 7,881
9/30/2003 $ 12,133 $ 7,925
10/31/2003 $ 13,192 $ 8,586
11/30/2003 $ 13,460 $ 8,674
12/31/2003 $ 14,805 $ 9,292
1/31/2004 $ 15,251 $ 9,595
2/29/2004 $ 15,894 $ 10,026
3/31/2004 $ 16,161 $ 10,117
4/30/2004 $ 15,271 $ 9,261
5/31/2004 $ 14,637 $ 9,051
6/30/2004 $ 14,756 $ 9,070
7/31/2004 $ 14,865 $ 8,880
8/31/2004 $ 15,360 $ 9,229
9/30/2004 $ 16,211 $ 9,741
10/31/2004 $ 16,626 $ 9,953
11/30/2004 $ 18,200 $ 10,870
[Download Table]
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 12/2/1996
-----------------------------------------------------
35.22% 9.67% 7.78%
Past performance is not predictive of future performance.
Prior to April 2002, the returns shown reflect a reimbursement fee of 1% of the
net asset value at the time of purchase.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
MSCI Emerging Markets Free Index (price-only) courtesy of Morgan Stanley Capital
International.
28
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
[CHART]
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES VS.
MERRILL LYNCH 1-3 YEAR GOVERNMENT/CORPORATE INDEX
FEBRUARY 9, 1996-NOVEMBER 30, 2004
GROWTH OF $10,000
[Download Table]
DFA TWO-YEAR GLOBAL MERRILL LYNCH 1-3 YEAR
FIXED INCOME PORTFOLIO GOVERNMENT/CORPORATE INDEX
2/9/96 $ 10,000
2/29/96 $ 10,000 $ 10,000
3/31/96 $ 10,046 $ 9,993
4/30/96 $ 10,096 $ 10,002
5/31/96 $ 10,147 $ 10,023
6/30/96 $ 10,184 $ 10,096
7/31/96 $ 10,256 $ 10,137
8/31/96 $ 10,357 $ 10,172
9/30/96 $ 10,429 $ 10,265
10/31/96 $ 10,520 $ 10,381
11/30/96 $ 10,592 $ 10,461
12/31/96 $ 10,635 $ 10,462
1/31/97 $ 10,709 $ 10,511
2/28/97 $ 10,750 $ 10,536
3/31/97 $ 10,747 $ 10,534
4/30/97 $ 10,811 $ 10,620
5/31/97 $ 10,884 $ 10,694
6/30/97 $ 10,962 $ 10,767
7/31/97 $ 11,016 $ 10,887
8/31/97 $ 11,059 $ 10,898
9/30/97 $ 11,128 $ 10,981
10/31/97 $ 11,171 $ 11,061
11/30/97 $ 11,204 $ 11,087
12/31/97 $ 11,260 $ 11,163
1/31/98 $ 11,351 $ 11,271
2/28/98 $ 11,396 $ 11,282
3/31/98 $ 11,458 $ 11,331
4/30/98 $ 11,492 $ 11,385
5/31/98 $ 11,561 $ 11,448
6/30/98 $ 11,603 $ 11,507
7/31/98 $ 11,661 $ 11,562
8/31/98 $ 11,741 $ 11,698
9/30/98 $ 11,814 $ 11,850
10/31/98 $ 11,872 $ 11,902
11/30/98 $ 11,918 $ 11,890
12/31/98 $ 11,988 $ 11,936
1/31/99 $ 12,047 $ 11,987
2/28/99 $ 12,094 $ 11,935
3/31/99 $ 12,149 $ 12,022
4/30/99 $ 12,196 $ 12,064
5/31/99 $ 12,219 $ 12,057
6/30/99 $ 12,269 $ 12,094
7/31/99 $ 12,294 $ 12,127
8/31/99 $ 12,342 $ 12,159
9/30/99 $ 12,405 $ 12,241
10/31/99 $ 12,429 $ 12,277
11/30/99 $ 12,478 $ 12,304
12/31/99 $ 12,537 $ 12,326
1/31/2000 $ 12,562 $ 12,323
2/29/2000 $ 12,638 $ 12,406
3/31/2000 $ 12,693 $ 12,479
4/30/2000 $ 12,745 $ 12,508
5/31/2000 $ 12,783 $ 12,553
6/30/2000 $ 12,860 $ 12,690
7/31/2000 $ 12,925 $ 12,776
8/31/2000 $ 13,003 $ 12,874
9/30/2000 $ 13,091 $ 12,975
10/31/2000 $ 13,157 $ 13,036
11/30/2000 $ 13,249 $ 13,164
12/31/2000 $ 13,347 $ 13,322
1/31/2001 $ 13,444 $ 13,500
2/28/2001 $ 13,499 $ 13,589
3/31/2001 $ 13,560 $ 13,709
4/30/2001 $ 13,616 $ 13,747
5/31/2001 $ 13,658 $ 13,835
6/30/2001 $ 13,708 $ 13,888
7/31/2001 $ 13,793 $ 14,057
8/31/2001 $ 13,864 $ 14,146
9/30/2001 $ 14,043 $ 14,369
10/31/2001 $ 14,156 $ 14,511
11/30/2001 $ 14,142 $ 14,474
12/31/2001 $ 14,156 $ 14,482
1/31/2002 $ 14,199 $ 14,513
2/28/2002 $ 14,256 $ 14,577
3/31/2002 $ 14,173 $ 14,485
4/30/2002 $ 14,302 $ 14,644
5/31/2002 $ 14,373 $ 14,720
6/30/2002 $ 14,472 $ 14,834
7/31/2002 $ 14,630 $ 14,989
8/31/2002 $ 14,687 $ 15,061
9/30/2002 $ 14,753 $ 15,185
10/31/2002 $ 14,811 $ 15,214
11/30/2002 $ 14,781 $ 15,209
12/31/2002 $ 14,903 $ 15,364
1/31/2003 $ 14,917 $ 15,386
2/28/2003 $ 14,977 $ 15,464
3/31/2003 $ 15,003 $ 15,498
4/30/2003 $ 15,048 $ 15,552
5/31/2003 $ 15,108 $ 15,636
6/30/2003 $ 15,126 $ 15,669
7/31/2003 $ 15,037 $ 15,575
8/31/2003 $ 15,037 $ 15,589
9/30/2003 $ 15,178 $ 15,748
10/31/2003 $ 15,118 $ 15,690
11/30/2003 $ 15,118 $ 15,690
12/31/2003 $ 15,189 $ 15,789
1/31/2004 $ 15,219 $ 15,828
2/29/2004 $ 15,295 $ 15,909
3/31/2004 $ 15,333 $ 15,965
4/30/2004 $ 15,196 $ 15,811
5/31/2004 $ 15,165 $ 15,785
6/30/2004 $ 15,149 $ 15,785
7/31/2004 $ 15,210 $ 15,855
8/31/2004 $ 15,302 $ 15,974
9/30/2004 $ 15,294 $ 15,964
10/31/2004 $ 15,325 $ 16,017
11/30/2004 $ 15,279 $ 15,940
[Download Table]
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 2/9/1996
-----------------------------------------------------
1.22% 4.26% 5.06%
Past performance is not predictive of future performance.
Daily index data not available at the inception of the fund. Index return is
from first full month of fund inception.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
Merrill Lynch 1-3 Year Government/Corporate Index courtesy of Merrill Lynch.
29
DISCLOSURE OF FUND EXPENSES
The following Expense Tables are shown so that you can understand the
impact of fees on your investment. All mutual funds have operating expenses. As
a shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended help you
understand the ongoing fees (in dollars) of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Tables below illustrates your fund's costs in two ways.
- ACTUAL FUND RETURN. This section helps you to estimate the actual
expenses after fee waivers that you paid over the period. The "Ending
Account Value" shown is derived from the fund's actual return, and
"Expenses Paid During Period" shows the dollar amount that would have
been paid by an investor who started with $1,000 in the fund. You may
use the information here, together with the amount you invested, to
estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
- HYPOTHETICAL 5% RETURN. This section is intended to help you compare
your fund's costs with those of other mutual funds. It assumes that
the fund had a return of 5% before expenses during the period shown,
but that the expense ratio is unchanged. In this case - because the
return used is not the fund's actual return - the results do not apply
to your investment. The example is useful in making comparisons
because the Securities and Exchange Commission requires all mutual
funds to calculate expenses based on a 5% return. You can assess your
fund's cost by comparing this hypothetical example with the
hypothetical examples that appear in shareholders reports of other
funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs
(if any). The "Annualized Expense Ratio" represents the actual expenses for the
six month period indicated and may be different from the expense ratio in the
Financial Highlights which is for the year ended November 30, 2004.
FOR THE PERIOD JUNE 1, 2004 TO NOVEMBER 30, 2004
EXPENSE TABLES
[Enlarge/Download Table]
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
6/1/04 11/30/04 RATIO PERIOD*
------------ ------------ ---------- ------------
THE U.S. LARGE COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,056.20 0.05% $ 0.26
Hypothetical 5% Return $ 1,000.00 $ 1,024.75 0.05% $ 0.25
THE U.S. LARGE CAP VALUE SERIES
Actual Fund Return $ 1,000.00 $ 1,108.10 0.14% $ 0.74
Hypothetical 5% Return $ 1,000.00 $ 1,024.30 0.14% $ 0.71
30
[Enlarge/Download Table]
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
6/01/04 11/30/04 RATIO PERIOD*
------------ ------------ ---------- ------------
THE U.S. SMALL CAP SERIES
Actual Fund Return $ 1,000.00 $ 1,112.30 0.25% $ 1.32
Hypothetical 5% Return $ 1,000.00 $ 1,023.75 0.25% $ 1.26
THE DFA INTERNATIONAL VALUE SERIES
Actual Fund Return $ 1,000.00 $ 1,169.50 0.28% $ 1.52
Hypothetical 5% Return $ 1,000.00 $ 1,023.60 0.28% $ 1.42
THE JAPANESE SMALL COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,071.10 0.26% $ 1.35
Hypothetical 5% Return $ 1,000.00 $ 1,023.70 0.26% $ 1.32
THE PACIFIC RIM SMALL COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,248.80 0.30% $ 1.69
Hypothetical 5% Return $ 1,000.00 $ 1,023.50 0.30% $ 1.52
THE UNITED KINGDOM SMALL COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,134.30 0.26% $ 1.39
Hypothetical 5% Return $ 1,000.00 $ 1,023.70 0.26% $ 1.32
THE CONTINENTAL SMALL COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,212.30 0.25% $ 1.38
Hypothetical 5% Return $ 1,000.00 $ 1,023.75 0.25% $ 1.26
THE EMERGING MARKETS SERIES
Actual Fund Return $ 1,000.00 $ 1,234.70 0.30% $ 1.68
Hypothetical 5% Return $ 1,000.00 $ 1,023.50 0.30% $ 1.52
THE EMERGING MARKETS SMALL CAP SERIES
Actual Fund Return $ 1,000.00 $ 1,243.40 0.48% $ 2.69
Hypothetical 5% Return $ 1,000.00 $ 1,022.60 0.48% $ 2.43
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
Actual Fund Return $ 1,000.00 $ 1,008.10 0.11% $ 0.55
Hypothetical 5% Return $ 1,000.00 $ 1,024.45 0.11% $ 0.56
----------
* Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in
the most recent fiscal half-year, then divided by 366.
31
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete schedule
of investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For The DFA Investment
Trust Company, this would be for the fiscal quarters ending August 31 and
February 28 (February 29 during leap year). The Form N-Q filing must be made
within 60 days of the end of the quarter. The DFA Investment Trust Company filed
its first Form N-Q with the SEC on October 27, 2004. It is available upon
request, without charge, by calling collect (310) 395-8005 or by mailing a
request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa
Monica, California 90401, or by visiting the SEC's website at
http://www.sec.gov, or they may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the
operation of the Public Reference Room).
The SEC has also amended certain regulations to permit a fund to include in
its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu
of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings
reports the fund's 50 largest holdings in unaffiliated issuers and any
investments that exceed one percent of the fund's net assets at the end of the
reporting period. The amendments also require that the Summary Schedule of
Portfolio Holdings identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the
SEC on Form N-CSR within ten days after mailing the annual report to
shareholders. It will be available, upon request, without charge, by calling
collect (310) 395-8005 or by mailing a request to Dimensional Fund Advisors,
Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by
visiting the SEC's website at http://sec.gov, or they may be reviewed and copied
at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for
information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a schedule of investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
THE U.S. LARGE COMPANY SERIES
[Download Table]
Financials 20.0%
Information Technology 16.3
Health Care 12.4
Industrials 11.9
Consumer Discretionary 11.4
Consumer Staples 10.5
Energy 7.5
Telecommunication Services 3.3
Materials 3.2
Utilities 3.0
REITS 0.5
-----
100.0%
=====
32
THE U.S. LARGE CAP VALUE SERIES
[Download Table]
Consumer Discretionary 30.2%
Financials 25.4
Industrials 9.4
Energy 8.3
Materials 6.8
Information Technology 5.8
Health Care 5.2
Consumer Staples 4.8
Telecommunication Services 3.6
Utilities 0.5
-----
100.0%
=====
THE U.S. SMALL CAP SERIES
[Download Table]
Information Technology 20.7%
Consumer Discretionary 16.5
Industrials 15.6
Health Care 14.8
Financials 13.1
Materials 6.3
Energy 5.8
Consumer Staples 3.4
Utilities 2.6
Telecommunication Services 1.0
Other 0.2
-----
100.0%
=====
THE DFA INTERNATIONAL VALUE SERIES
[Download Table]
Financials 36.5%
Consumer Discretionary 17.0
Materials 13.7
Industrials 12.2
Telecommunication Service 5.6
Consumer Staples 4.5
Utilities 3.5
Energy 3.3
Health Care 2.0
Information Technology 1.7
-----
100.0%
=====
THE JAPANESE SMALL COMPANY SERIES
[Download Table]
Industrials 27.9%
Consumer Discretionary 22.2
Information Technology 11.5
Materials 11.4
Financials 10.7
Consumer Staples 10.6
Health Care 3.7
Energy 1.3
Utilities 0.7
-----
100.0%
=====
33
THE PACIFIC RIM SMALL COMPANY SERIES
[Download Table]
Industrials 20.8%
Consumer Discretionary 20.6
Financials 15.2
Materials 14.6
Information Technology 8.8
Health Care 7.4
Consumer Staples 5.5
Energy 3.7
Utilities 2.0
Telecommunication Service 1.4
-----
100.0%
=====
THE UNITED KINGDOM SMALL COMPANY SERIES
[Download Table]
Industrials 29.1%
Consumer Discretionary 25.1
Financials 14.1
Information Technology 10.5
Consumer Staples 6.9
Energy 4.1
Materials 4.1
Health Care 3.9
Telecommunication Service 1.2
Utilities 1.0
-----
100.0%
=====
THE CONTINENTAL SMALL COMPANY SERIES
[Download Table]
Industrials 24.9%
Consumer Discretionary 18.1
Financials 18.0
Materials 10.0
Information Technology 8.8
Consumer Staples 7.3
Health Care 6.1
Energy 3.3
Utilities 2.7
Telecommunication Service 0.8
-----
100.0%
=====
THE EMERGING MARKETS SERIES
[Download Table]
Financials 25.6%
Telecommunication Service 17.4
Materials 16.6
Consumer Staples 10.5
Consumer Discretionary 7.4
Information Technology 7.1
Industrials 6.1
Utilities 4.0
Energy 3.1
Health Care 2.2
-----
100.0%
=====
34
THE EMERGING MARKETS SMALL CAP SERIES
[Download Table]
Consumer Discretionary 19.2%
Materials 19.1
Industrials 15.4
Financials 14.6
Consumer Staples 11.8
Information Technology 8.8
Health Care 3.8
Telecommunication Service 3.5
Utilities 2.6
Energy 1.2
-----
100.0%
=====
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
[Download Table]
Government 38.3%
Foreign Government 23.7
Foreign Corporate 16.5
Supranational 13.8
Corporate 7.7
-----
100.0%
=====
35
THE U.S. LARGE COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
[Download Table]
SHARES VALUE+
------ ------
COMMON STOCKS -- (88.1%)
3M Co. 244,500 $ 19,459,755
Abbott Laboratories 487,600 20,459,696
Ace, Ltd. 88,700 3,585,254
* ADC Telecommunications, Inc. 252,600 593,610
# Adobe Systems, Inc. 74,900 4,535,944
* Advanced Micro Devices, Inc. 110,900 2,359,952
* AES Corp. 201,900 2,471,256
Aetna, Inc. 48,000 5,688,480
* Affiliated Computer Services, Inc.
Class A 40,000 2,367,200
AFLAC, Inc. 158,400 5,959,008
* Agilent Technologies, Inc. 151,700 3,472,413
Air Products & Chemicals, Inc. 71,000 4,064,750
Alberto-Culver Co. Class B 28,300 1,310,290
# Albertson's, Inc. 114,900 2,906,970
# Alcoa, Inc. 271,700 9,232,366
* Allegheny Energy, Inc. 42,800 819,192
Allegheny Technologies, Inc. 29,800 655,600
Allergan, Inc. 41,100 3,020,850
*# Allied Waste Industries, Inc. 99,400 903,546
Allstate Corp. 216,400 10,928,200
Alltel Corp. 96,300 5,459,247
* Altera Corp. 116,100 2,633,148
# Altria Group, Inc. 640,800 36,839,592
AMBAC Financial Group, Inc. 33,900 2,757,087
Amerada Hess Corp. 28,500 2,532,225
# Ameren Corp. 60,700 2,939,094
American Electric Power Co., Inc. 123,600 4,223,412
American Express Co. 396,000 22,061,160
American International Group, Inc. 813,800 51,554,230
American Power Conversion Corp. 62,600 1,323,364
* American Standard Companies, Inc. 66,800 2,601,192
# AmerisourceBergen Corp. 35,100 2,068,794
*# Amgen, Inc. 395,400 23,739,816
AmSouth Bancorporation 110,500 2,865,265
Anadarko Petroleum Corp. 78,200 5,442,720
# Analog Devices, Inc. 118,200 4,367,490
* Andrew Corp. 50,200 712,840
Anheuser-Busch Companies, Inc. 250,200 12,532,518
*# Anthem, Inc. 43,600 4,417,988
# AON Corp. 98,600 2,082,432
Apache Corp. 101,800 5,503,308
# Apartment Investment & Management
Co. Class A 29,600 1,076,552
*# Apollo Group, Inc. Class A 60,200 4,797,940
* Apple Computer, Inc. 121,200 8,126,460
Applera Corp. - Applied Biosystems
Group 63,000 1,291,500
* Applied Materials, Inc. 530,400 8,825,856
* Applied Micro Circuits Corp. 97,800 359,904
Archer-Daniels-Midland Co. 203,300 4,309,960
Ashland, Inc. 22,200 1,313,130
# AT&T Corp. 248,200 4,542,060
Autodesk, Inc. 35,500 2,322,055
Automatic Data Processing, Inc. 182,500 8,309,225
* AutoNation, Inc. 83,300 1,542,716
*# Autozone, Inc. 26,000 2,225,600
*# Avaya, Inc. 141,400 $ 2,321,788
Avery Dennison Corp. 34,500 2,023,770
# Avon Products, Inc. 147,700 5,544,658
# Baker Hughes, Inc. 104,200 4,619,186
Ball Corp. 35,100 1,570,023
Bank of America Corp. 1,270,500 58,786,035
Bank of New York Co., Inc. 243,000 7,997,130
# Bard (C.R.), Inc. 32,700 1,959,057
# Bausch & Lomb, Inc. 16,600 977,408
Baxter International, Inc. 192,000 6,076,800
BB&T Corp. 173,200 7,352,340
Bear Stearns Companies, Inc. 32,200 3,142,076
Becton Dickinson & Co. 78,300 4,289,274
*# Bed Bath and Beyond, Inc. 93,900 3,749,239
BellSouth Corp. 571,800 15,335,676
Bemis Co., Inc. 33,400 929,856
Best Buy Co., Inc. 101,500 5,722,570
*# Big Lots, Inc. 36,000 417,600
* Biogen Idec, Inc. 105,700 6,202,476
# Biomet, Inc. 79,300 3,796,091
# BJ Services, Co. 50,400 2,553,768
Black & Decker Corp. 25,000 2,102,250
* BMC Software, Inc. 69,700 1,295,026
Boeing Co. 262,200 14,046,054
*# Boston Scientific Corp. 263,000 9,155,030
Bristol-Myers Squibb Co. 607,600 14,278,600
*# Broadcom Corp. 100,600 3,271,512
Brown-Forman Corp. Class B 37,900 1,819,958
Brunswick Corp. 29,900 1,459,718
Burlington Northern Santa Fe Corp. 116,300 5,238,152
# Burlington Resources, Inc. 123,300 5,722,353
*# Calpine Corp. 166,300 645,244
Campbell Soup Co. 128,200 3,657,546
Capital One Financial Corp. 75,400 5,924,932
Cardinal Health, Inc. 134,400 7,026,432
* Caremark Rx, Inc. 145,500 5,203,080
Carnival Corp. 197,700 10,480,077
# Caterpillar, Inc. 107,000 9,795,850
Cendant Corp. 329,700 7,474,299
CenterPoint Energy, Inc. 96,100 1,072,476
# Centex Corp. 38,600 2,025,342
CenturyTel, Inc. 42,200 1,389,224
ChevronTexaco Corp. 665,300 36,325,380
* Chiron Corp. 58,600 1,908,602
Chubb Corp. 59,700 4,549,737
* CIENA Corp. 177,800 453,390
CIGNA Corp. 43,000 3,010,860
Cincinnati Financial Corp. 52,600 2,356,480
Cinergy Corp. 56,400 2,334,396
Cintas Corp. 53,500 2,392,520
Circuit City Stores, Inc. 62,100 968,139
* Cisco Sytems, Inc. 2,111,900 39,513,649
CIT Group, Inc. 65,800 2,812,950
Citigroup, Inc. 1,618,000 72,405,500
# Citizens Communications Co. 103,600 1,481,480
* Citrix Systems, Inc. 52,800 1,246,608
Clear Channel Communications, Inc. 184,300 6,207,224
Clorox Co. 66,500 3,665,480
36
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* CMS Energy Corp. 59,300 $ 604,860
* Coach, Inc. 58,800 2,930,592
Coca-Cola Co. 757,800 29,789,118
Coca-Cola Enterprises, Inc. 146,500 3,047,200
Colgate-Palmolive Co. 165,900 7,629,741
* Comcast Corp. Class A 698,000 20,967,920
Comerica, Inc. 53,500 3,290,250
# Computer Associates International,
Inc. 182,800 5,580,884
*# Computer Sciences Corp. 58,900 3,186,490
* Compuware Corp. 120,600 695,862
* Comverse Technology, Inc. 61,100 1,299,597
ConAgra, Inc. 165,000 4,463,250
ConocoPhillips 215,100 19,571,949
Consolidated Edison, Inc. 75,400 3,306,290
Constellation Energy Group 54,800 2,394,760
* Convergys Corp. 44,500 661,715
Cooper Industries, Ltd. 29,600 1,962,776
# Cooper Tire & Rubber Co. 23,400 477,828
Coors (Adolph) Co. Class B 11,700 876,330
* Corning, Inc. 435,300 5,476,074
Costco Wholesale Corp. 144,000 6,998,400
Countrywide Financial Corp. 175,900 5,841,639
Crane Co. 18,400 556,784
CSX Corp. 67,100 2,558,523
Cummins, Inc. 13,800 1,098,756
CVS Corp. 124,700 5,657,639
Dana Corp. 46,600 761,910
Danaher Corp. 96,300 5,477,544
Darden Restaurants, Inc. 49,300 1,343,918
Deere & Co. 77,500 5,559,075
*# Dell, Inc. 779,800 31,597,496
# Delphi Corp. 175,300 1,577,700
*# Delta Air Lines, Inc. 39,200 273,224
Deluxe Corp. 15,600 616,824
Devon Energy Corp. 151,000 6,254,420
Dillards, Inc. Class A 26,100 657,198
# Disney (Walt) Co. 641,700 17,248,896
Dollar General Corp. 102,600 2,026,350
Dominion Resources, Inc. 103,100 6,749,957
Donnelley (R.R.) & Sons Co. 68,400 2,373,480
Dover Corp. 63,500 2,568,575
# Dow Chemical Co. 293,400 14,807,898
Dow Jones & Co., Inc. 25,600 1,094,400
DTE Energy Co. 54,300 2,382,684
# Duke Energy Corp. 292,900 7,404,512
# DuPont (E.I.) de Nemours & Co., Inc. 311,700 14,126,244
*# Dynegy, Inc. 118,500 669,525
* E*TRADE Financial Corp. 116,600 1,616,076
# Eastman Chemical Co. 24,300 1,321,434
Eastman Kodak Co. 89,500 2,927,545
Eaton Corp. 47,300 3,188,020
*# eBay, Inc. 206,500 23,220,925
Ecolab, Inc. 80,400 2,812,392
# Edison International 101,800 3,247,420
# El Paso Corp. 200,200 2,090,088
*# Electronic Arts, Inc. 94,800 4,635,720
Electronic Data Systems Corp. 160,000 3,592,000
* EMC Corp. 751,100 10,079,762
Emerson Electric Co. 131,200 8,766,784
Engelhard Corp. 38,800 1,159,732
Entergy Corp. 70,900 $ 4,595,738
# EOG Resources, Inc. 36,800 2,762,576
# Equifax, Inc. 42,500 1,173,850
Equity Office Properties Trust 125,800 3,453,210
Equity Residential 87,700 2,956,367
Exelon Corp. 206,200 8,600,602
*# Express Scripts, Inc. 24,200 1,741,432
Exxon Mobil Corp. 2,031,900 104,134,875
Family Dollar Stores, Inc. 52,600 1,541,180
Federal Home Loan Mortgage
Corporation 214,600 14,648,596
Federal National Mortgage
Association 302,300 20,768,010
Federated Department Stores, Inc. 56,200 3,079,760
Federated Investors, Inc. 33,900 997,338
FedEx Corp. 93,800 8,913,814
Fifth Third Bancorp 178,000 8,964,080
First Data Corp. 267,800 11,003,902
First Horizon National Corp. 38,600 1,686,820
FirstEnergy Corp. 103,000 4,349,690
* Fiserv, Inc. 61,000 2,349,110
* Fisher Scientific International, Inc. 35,900 2,029,786
Fluor Corp. 26,100 1,354,590
# Ford Motor Co. 571,500 8,103,870
* Forest Laboratories, Inc. 115,700 4,508,829
Fortune Brands, Inc. 45,000 3,531,600
# FPL Group, Inc. 57,900 4,072,107
Franklin Resources, Inc. 77,900 5,112,577
Freeport-McMoRan Copper & Gold,
Inc. Class B 55,300 2,163,889
Gannett Co., Inc. 83,100 6,854,919
Gap, Inc. 282,300 6,168,255
* Gateway, Inc. 116,400 792,684
General Dynamics Corp. 62,400 6,761,664
General Electric Co. 3,297,700 116,606,672
General Mills, Inc. 118,700 5,399,663
# General Motors Corp. 176,400 6,807,276
# Genuine Parts Co. 54,700 2,374,527
*# Genzyme Corp. 71,200 3,987,912
Georgia-Pacific Corp. 80,600 2,950,766
* Gilead Sciences, Inc. 134,500 4,634,870
Gillette Co. 312,900 13,608,021
# Golden West Financial Corp. 47,700 5,687,748
Goodrich (B.F.) Co. 37,100 1,177,925
*# Goodyear Tire & Rubber Co. 54,800 691,576
Grainger (W.W.), Inc. 28,400 1,756,824
# Great Lakes Chemical Corp. 15,900 465,870
Guidant Corp. 98,300 6,372,789
H&R Block, Inc. 51,500 2,456,550
Halliburton Co. 137,900 5,702,165
Harley-Davidson, Inc. 92,200 5,331,004
# Harrahs Entertainment, Inc. 35,000 2,149,000
Hartford Financial Services Group,
Inc. 91,600 5,862,400
Hasbro, Inc. 55,200 1,050,456
HCA, Inc. 150,800 5,944,536
Health Management Associates, Inc. 76,000 1,678,840
Heinz (H.J.) Co. 109,100 4,054,156
*# Hercules, Inc. 34,900 520,010
# Hershey Foods Corp. 76,900 3,983,420
Hewlett-Packard Co. 943,200 18,864,000
37
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Hilton Hotels Corp. 120,200 $ 2,483,332
Home Depot, Inc. 685,700 28,627,975
Honeywell International, Inc. 268,500 9,486,105
* Hospira, Inc. 48,700 1,569,601
* Humana, Inc. 49,800 1,236,036
# Huntington Bancshares, Inc. 71,700 1,739,442
Illinois Tool Works, Inc. 94,400 8,895,312
IMS Health, Inc. 73,000 1,647,610
Ingersoll-Rand Co., Ltd. Class A 54,100 4,026,122
# Intel Corp. 2,003,600 44,780,460
International Business Machines
Corp. 523,200 49,306,368
International Flavors & Fragrances,
Inc. 29,400 1,190,700
International Game Technology 107,600 3,803,660
International Paper Co. 151,900 6,306,888
*# Interpublic Group of Companies, Inc. 131,800 1,635,638
* Intuit, Inc. 59,800 2,502,032
ITT Industries, Inc. 28,800 2,451,456
* Jabil Circuit, Inc. 62,800 1,573,768
Janus Capital Group, Inc. 74,800 1,237,940
* JDS Uniphase Corp. 449,800 1,425,866
Jefferson-Pilot Corp. 42,600 2,095,494
Johnson & Johnson 927,000 55,916,640
Johnson Controls, Inc. 59,400 3,647,160
Jones Apparel Group, Inc. 39,000 1,385,670
JPMorgan Chase & Co. 1,112,500 41,885,625
# KB Home 14,500 1,274,405
Kellogg Co. 129,100 5,641,670
# Kerr-McGee Corp. 47,200 2,937,256
# KeyCorp 127,100 4,231,159
KeySpan Corp. 50,000 1,976,000
Kimberly-Clark Corp. 154,500 9,827,745
# Kinder Morgan, Inc. 38,600 2,674,980
*# King Pharmaceuticals, Inc. 75,400 938,730
*# KLA-Tencor Corp. 61,300 2,762,178
Knight-Ridder, Inc. 24,200 1,647,778
* Kohl's Corp. 106,700 4,925,272
* Laboratory Corp. of America
Holdings 43,600 2,090,620
Leggett & Platt, Inc. 59,900 1,788,015
Lehman Brothers Holdings, Inc. 84,700 7,096,166
*# Lexmark International, Inc. 40,500 3,438,450
Lilly (Eli) & Co. 353,100 18,830,823
# Limited Brands, Inc. 147,600 3,607,344
Lincoln National Corp. 55,000 2,531,100
Linear Technology Corp. 96,000 3,663,360
Liz Claiborne, Inc. 33,600 1,379,952
# Lockheed Martin Corp. 139,000 8,456,760
Loews Corp. 57,900 4,047,789
Louisiana-Pacific Corp. 34,100 834,427
Lowe's Companies, Inc. 243,500 13,472,855
* LSI Logic Corp. 120,200 635,858
*# Lucent Technologies, Inc. 1,346,000 5,289,780
M&T Bank Corp. 36,600 3,858,006
Manor Care, Inc. 27,300 940,485
Marathon Oil Corp. 108,100 4,263,464
Marriott International, Inc. Class A 71,500 4,064,775
Marsh & McLennan Companies, Inc. 162,600 4,648,734
Marshall & Ilsley Corp. 69,600 2,901,624
# Masco Corp. 135,300 4,772,031
# Mattel, Inc. 129,300 $ 2,450,235
# Maxim Integrated Products, Inc. 101,400 4,153,344
# May Department Stores Co. 91,000 2,558,920
# Maytag Corp. 24,700 496,470
MBIA, Inc. 44,700 2,680,212
MBNA Corp. 399,100 10,600,096
McCormick & Co., Inc. 42,800 1,560,060
McDonald's Corp. 392,400 12,062,376
McGraw-Hill Companies, Inc. 59,300 5,202,389
McKesson Corp. 91,700 2,709,735
MeadWestavco Corp. 63,000 2,119,950
* Medco Health Solutions, Inc. 85,000 3,206,200
* Medimmune, Inc. 77,800 2,069,480
Medtronic, Inc. 377,700 18,148,485
Mellon Financial Corp. 132,400 3,868,728
Merck & Co., Inc. 693,000 19,417,860
* Mercury Interactive Corp. 29,100 1,327,251
Meredith Corp. 15,700 827,704
Merrill Lynch & Co., Inc. 293,400 16,345,314
MetLife, Inc. 234,300 9,137,700
MGIC Investment Corp. 30,800 2,094,400
*# Micron Technology, Inc. 191,000 2,116,280
Microsoft Corp. 3,395,900 91,044,079
* Millipore Corp. 15,500 755,160
Molex, Inc. 59,200 1,632,144
Monsanto Co. 83,400 3,838,068
* Monster Worldwide, Inc. 37,000 1,043,030
Moody's Corp. 46,200 3,730,650
Morgan Stanley 343,100 17,412,325
Motorola, Inc. 737,900 14,211,954
# Mylan Laboratories, Inc. 83,900 1,523,624
* Nabors Industries, Ltd. 46,500 2,418,000
National City Corp. 207,000 7,675,560
* National Semiconductor Corp. 111,800 1,728,428
* Navistar International Corp. 21,800 897,070
* NCR Corp. 29,400 1,756,062
* Network Appliance, Inc. 111,700 3,368,872
Newell Rubbermaid, Inc. 85,900 1,982,572
Newmont Mining Corp. 138,500 6,557,975
* Nextel Communications, Inc. 347,800 9,898,388
# Nicor, Inc. 13,800 509,220
NIKE, Inc. Class B 82,300 6,967,518
NiSource, Inc. 82,300 1,793,317
* Noble Corp. 41,800 2,025,210
Nordstrom, Inc. 43,900 1,920,625
Norfolk Southern Corp. 123,000 4,222,590
North Fork Bancorporation, Inc. 145,950 4,203,360
Northern Trust Corp. 68,700 3,231,648
Northrop Grumman Corp. 112,000 6,308,960
*# Novell, Inc. 120,800 736,880
* Novellus Systems, Inc. 44,600 1,201,524
# Nucor Corp. 49,600 2,623,840
* Nvidia Corp. 52,000 994,760
Occidental Petroleum Corp. 122,300 7,363,683
* Office Depot, Inc. 97,800 1,603,920
OfficeMax, Inc. 27,500 832,425
Omnicom Group, Inc. 58,500 4,738,500
* Oracle Corp. 1,615,000 20,445,900
# Paccar, Inc. 54,200 4,233,020
* Pactiv Corp. 46,900 1,165,465
Pall Corp. 39,100 1,059,219
38
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SHARES VALUE+
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* Parametric Technology Corp. 84,100 $ 491,985
Parker Hannifin Corp. 37,300 2,790,040
Paychex, Inc. 118,100 3,916,196
Penney (J.C.) Co., Inc. 90,000 3,474,000
Peoples Energy Corp. 11,800 526,516
*# Peoplesoft, Inc. 114,600 2,705,706
Pepsi Bottling Group, Inc. 79,400 2,224,788
PepsiCo, Inc. 529,100 26,407,381
PerkinElmer, Inc. 40,000 853,200
Pfizer, Inc. 2,358,400 65,492,768
* PG&E Corp. 125,200 4,164,152
# Phelps Dodge Corp. 29,400 2,855,622
# Pinnacle West Capital Corp. 28,500 1,259,700
Pitney Bowes, Inc. 72,200 3,160,194
Plum Creek Timber Co., Inc. 57,300 2,120,100
* PMC-Sierra, Inc. 55,300 610,512
PNC Financial Services Group 88,200 4,798,080
* Power-One, Inc. 26,200 240,778
PPG Industries, Inc. 53,600 3,616,392
PPL Corp. 59,000 3,065,050
Praxair, Inc. 101,500 4,557,350
Principal Financial Group, Inc. 97,900 3,688,872
Procter & Gamble Co. 794,000 42,463,120
Progress Energy, Inc. 77,100 3,385,461
Progressive Corp. 62,500 5,686,875
ProLogis 56,800 2,285,064
* Providian Financial Corp. 91,400 1,466,970
Prudential Financial, Inc. 162,100 7,934,795
# Public Service Enterprise Group, Inc. 74,100 3,259,659
# Pulte Homes, Inc. 39,600 2,188,296
* QLogic Corp. 28,800 990,432
Qualcomm, Inc. 508,400 21,159,608
# Quest Diagnostics, Inc. 31,800 2,981,250
* Qwest Communications International,
Inc. 566,900 2,267,600
RadioShack Corp. 49,900 1,575,343
Raytheon Co. 140,900 5,683,906
# Reebok International, Ltd. 18,500 719,280
Regions Financial Corp. 144,300 5,049,057
# Reynolds American, Inc. 46,200 3,494,106
Robert Half International, Inc. 53,800 1,454,214
# Rockwell Automation, Inc. 57,600 2,724,480
Rockwell Collins, Inc. 55,300 2,204,258
Rohm & Haas Co. 70,100 3,090,709
* Rowan Companies, Inc. 33,400 865,060
# Ryder System, Inc. 20,100 1,078,164
Sabre Holdings Corp. 42,900 990,132
# Safeco Corp. 39,400 1,909,718
* Safeway, Inc. 139,600 2,691,488
* Sanmina-SCI Corp. 162,800 1,437,524
Sara Lee Corp. 247,800 5,818,344
SBC Communications, Inc. 1,035,000 26,050,950
Schering-Plough Corp. 459,900 8,209,215
Schlumberger, Ltd. 184,400 12,102,172
Schwab (Charles) Corp. 426,800 4,600,904
# Scientific-Atlanta, Inc. 47,800 1,415,836
* Sealed Air Corp. 26,200 1,346,942
# Sears, Roebuck & Co. 66,200 3,444,386
Sempra Energy 72,400 2,677,352
Sherwin-Williams Co. 44,500 1,984,700
* Siebel Systems, Inc. 157,900 1,591,632
Sigma-Aldrich Corp. 21,600 $ 1,290,168
Simon Property Group, Inc. 69,000 4,283,520
SLM Corp. 136,200 6,969,354
Snap-On, Inc. 18,100 572,141
* Solectron Corp. 300,400 1,877,500
Southern Co. 230,600 7,561,374
Southwest Airlines Co. 246,800 3,882,164
Sovereign Bancorp, Inc. 107,200 2,342,320
Sprint Corp. 453,700 10,348,897
*# St. Jude Medical, Inc. 110,600 4,218,284
# Staples, Inc. 155,400 4,958,814
* Starbucks Corp. 124,100 6,981,866
Starwood Hotels & Resorts Worldwide,
Inc. 65,000 3,398,850
State Street Corp. 105,000 4,678,800
Stryker Corp. 125,300 5,511,947
*# Sun Microsystems, Inc. 1,038,900 5,765,895
* Sungard Data Systems, Inc. 90,100 2,388,551
# Sunoco, Inc. 23,500 1,940,160
# SunTrust Banks, Inc. 111,800 7,971,340
Supervalu, Inc. 42,500 1,342,575
* Symantec Corp. 98,400 6,278,904
Symbol Technologies, Inc. 74,800 1,133,968
Synovus Financial Corp. 96,600 2,608,200
# Sysco Corp. 199,700 6,939,575
T. Rowe Price Group, Inc. 39,700 2,348,652
# Target Corp. 282,100 14,449,162
# TECO Energy, Inc. 62,100 929,016
Tektronix, Inc. 28,700 900,319
* Tellabs, Inc. 130,000 1,111,500
Temple-Inland, Inc. 17,400 1,036,866
* Tenet Healthcare Corp. 145,600 1,579,760
* Teradyne, Inc. 60,600 1,033,836
# Texas Instruments, Inc. 540,700 13,074,126
Textron, Inc. 43,300 3,144,446
The Goldman Sachs Group, Inc. 151,800 15,902,568
*# The Kroger Co. 230,800 3,734,344
The New York Times Co. Class A 45,900 1,881,900
The St. Paul Travelers Companies,
Inc. 208,900 7,620,672
# The Stanley Works 25,600 1,197,056
# The TJX Companies, Inc. 152,700 3,594,558
* Thermo Electron Corp. 51,000 1,542,750
# Tiffany & Co. 45,600 1,395,360
* Time Warner, Inc. 1,428,100 25,291,651
Torchmark Corp. 34,300 1,883,413
*# Toys R Us, Inc. 66,800 1,291,912
* Transocean, Inc. 100,200 4,035,054
Tribune Co. 99,400 4,310,978
TXU Corp. 92,700 5,823,414
Tyco International, Ltd. 627,400 21,312,778
U.S. Bancorp 587,000 17,392,810
Union Pacific Corp. 81,000 5,138,640
* Unisys Corp. 104,600 1,201,854
United Parcel Service, Inc. 351,200 29,553,480
United States Steel Corp. 35,400 1,853,544
United Technologies Corp. 159,800 15,593,284
UnitedHealth Group, Inc. 207,600 17,199,660
* Univision Communications, Inc.
Class A 100,700 3,031,070
Unocal Corp. 82,700 3,807,508
39
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SHARES VALUE+
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UnumProvident Corp. 92,600 $ 1,441,782
UST, Inc. 51,600 2,271,948
Valero Energy Corp. 79,800 3,733,842
* VERITAS Software Corp. 135,200 2,960,880
Verizon Communications, Inc. 864,700 35,651,581
VF Corp. 34,400 1,857,256
# Viacom, Inc. Class B 541,900 18,803,930
Visteon Corp. 40,500 342,630
Vulcan Materials Co. 31,900 1,654,015
Wachovia Corp. 501,560 25,955,730
# Walgreen Co. 320,000 12,217,600
Wal-Mart Stores, Inc. 1,325,100 68,984,706
Washington Mutual, Inc. 272,500 11,093,475
# Waste Management, Inc. 181,100 5,398,591
*# Waters Corp. 36,900 1,721,754
*# Watson Pharmaceuticals, Inc. 34,200 993,510
* Wellpoint Health Networks, Inc. 49,100 6,142,410
# Wells Fargo & Co. 527,400 32,577,498
Wendy's International, Inc. 35,500 1,266,285
Weyerhaeuser Co. 74,800 4,936,800
Whirlpool Corp. 20,700 1,336,185
Williams Companies, Inc. 173,500 2,892,245
# Winn-Dixie Stores, Inc. 44,400 177,600
# Worthington Industries, Inc. 27,300 587,223
Wrigley (Wm.) Jr. Co. 70,200 4,829,760
Wyeth 416,600 16,609,842
# Xcel Energy, Inc. 124,900 2,255,694
*# Xerox Corp. 262,100 4,015,372
Xilinx, Inc. 108,400 3,384,248
# XL Capital, Ltd. 43,200 3,255,552
*# Yahoo!, Inc. 425,000 15,988,500
Yum! Brands, Inc. 90,800 4,122,320
* Zimmer Holdings, Inc. 76,500 6,242,400
Zions Bancorporation 28,000 1,862,000
---------------
TOTAL COMMON STOCKS
(Cost $2,594,671,624) 3,405,448,115
---------------
FACE
AMOUNT VALUE+
------ ------
(000)
TEMPORARY CASH
INVESTMENTS -- (11.9%)
Repurchase Agreement, Merrill Lynch
Triparty Repo 1.94%, 12/01/04
(Collateralized by $389,672,000 U.S.
Treasury Bills, maturities ranging from
12/02/04 to 05/26/05, valued at
$388,193,618) to be repurchased
at $380,599,191
(Cost $380,578,682)^ $ 380,579 $ 380,578,682
Repurchase Agreement, PNC Capital
Markets, Inc. 1.88%, 12/01/04
(Collateralized by $77,939,000
FHLMC Notes 4.20%, 10/20/09,
valued at $78,273,358) to be
repurchased at $77,463,045
(Cost $77,459,000) 77,459 77,459,000
---------------
TOTAL TEMPORARY CASH
INVESTMENTS
(Cost $458,037,682) 458,037,682
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,052,709,306) $ 3,863,485,797
===============
----------
+ See Note B to Financial Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
40
THE U.S. LARGE CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
[Download Table]
SHARES VALUE+
------ ------
COMMON STOCKS -- (88.7%)
* 3Com Corp. 1,041,900 $ 4,626,036
# A.G. Edwards, Inc. 199,100 7,784,810
* Advanced Micro Devices, Inc. 504,800 10,742,144
Aetna, Inc. 539,626 63,951,077
* AGCO Corp. 225,100 4,904,929
* Agere Systems, Inc. Class A 8,652 11,853
* Agere Systems, Inc. Class B 212,364 288,815
# Albertson's, Inc. 538,100 13,613,930
* Allegheny Corp. 17,934 5,067,610
Alliant Energy Corp. 212,900 5,807,912
*# Allied Waste Industries, Inc. 809,800 7,361,082
* Allmerica Financial Corp. 129,700 4,221,735
Allstate Corp. 1,791,600 90,475,800
AMBAC Financial Group, Inc. 23,200 1,886,856
Amerada Hess Corp. 249,532 22,170,918
American Financial Group, Inc. 177,400 5,584,552
# American Greetings Corp. Class A 177,600 4,727,712
American National Insurance Co. 57,800 5,875,370
*# American Tower Corp. 336,000 6,091,680
* AmeriCredit Corp. 395,300 8,277,582
# AmerisourceBergen Corp. 308,900 18,206,566
Anadarko Petroleum Corp. 677,078 47,124,629
* Andrew Corp. 414,900 5,891,580
Apache Corp. 129,990 7,027,259
* Applied Micro Circuits Corp. 213,200 784,576
Archer-Daniels-Midland Co. 2,475,260 52,475,512
* Arrow Electronics, Inc. 308,200 7,560,146
Ashland, Inc. 297,600 17,603,040
# Astoria Financial Corp. 40,500 1,680,750
AT&T Corp. 2,176,380 39,827,754
* AutoNation, Inc. 2,057,600 38,106,752
* Avnet, Inc. 322,600 5,935,840
AVX Corp. 183,300 2,307,747
Bank of Hawaii Corp. 327,500 15,900,125
* Barnes & Noble, Inc. 22,200 601,176
# Bausch & Lomb, Inc. 5,800 341,504
Bear Stearns Companies, Inc. 373,770 36,472,477
Belo Corp. Class A 324,200 8,176,324
*# Big Lots, Inc. 253,500 2,940,600
# Blockbuster, Inc. Class A 83,900 711,472
# Borders Group, Inc. 34,000 774,520
BorgWarner, Inc. 201,600 10,092,096
# Bowater, Inc. 168,400 6,821,884
Burlington Northern Santa Fe Corp. 1,283,000 57,786,320
* Caesars Entertainment, Inc. 845,900 15,902,920
* Cavco Industries, Inc. 11,450 461,435
Cendant Corp. 311,800 7,068,506
* CheckFree Corp. 56,200 2,082,210
Chubb Corp. 428,000 32,617,880
* CIENA Corp. 164,600 419,730
Cincinnati Financial Corp. 579,159 25,946,323
Circuit City Stores, Inc. 531,900 8,292,321
Clear Channel Communications, Inc. 1,630,866 54,927,567
*# CNA Financial Corp. 677,200 17,681,692
Coca-Cola Enterprises, Inc. 1,785,400 37,136,320
* Comcast Corp. Class A 2,806,066 84,294,223
* Comcast Corp. Special Class A
Non-Voting 927,100 $ 27,488,515
Commerce Group, Inc. 93,100 5,529,209
Commercial Federal Corp. 98,900 2,880,957
* Compuware Corp. 956,430 5,518,601
* Comverse Technology, Inc. 111,500 2,371,605
ConocoPhillips 220,400 20,054,196
Corn Products International, Inc. 93,200 5,071,944
* Corning, Inc. 998,300 12,558,614
Countrywide Financial Corp. 1,639,998 54,464,334
* COX Communications, Inc. 1,521,400 52,746,938
*# Crown Castle International Corp. 468,900 7,915,032
CSX Corp. 577,800 22,031,514
Cummins, Inc. 33,200 2,643,384
Curtiss-Wright Corp. Class B 27,130 1,582,222
Dana Corp. 510,700 8,349,945
*# Delta Air Lines, Inc. 402,500 2,805,425
# Diamond Offshore Drilling, Inc. 313,641 11,748,992
Dillards, Inc. Class A 247,800 6,239,604
# Disney (Walt) Co. 906,600 24,369,408
# Eastman Chemical Co. 108,200 5,883,916
Electronic Data Systems Corp. 1,070,800 24,039,460
Federated Department Stores, Inc. 618,200 33,877,360
First American Corp. 257,900 8,497,805
First Citizens BancShares, Inc. 10,300 1,401,470
Florida East Coast Industries, Inc. 68,139 2,906,128
Foot Locker, Inc. 175,000 4,546,500
# Ford Motor Co. 4,711,800 66,813,324
* Fox Entertainment Group, Inc.
Class A 21,900 643,860
* GameStop Corp. Class B 9,432 200,147
# General Motors Corp. 1,524,800 58,842,032
Georgia-Pacific Corp. 684,200 25,048,562
*# Goodyear Tire & Rubber Co. 203,900 2,573,218
Hartford Financial Services Group,
Inc. 793,800 50,803,200
# Hearst-Argyle Television, Inc. 238,600 6,132,020
Helmerich & Payne, Inc. 146,800 4,790,084
Hewlett-Packard Co. 1,407,700 28,154,000
Hibernia Corp. 274,500 7,938,540
Hollinger International, Inc. Class A 257,600 4,824,848
Horton (D.R.), Inc. 818,872 28,832,483
* Human Genome Sciences, Inc. 23,900 262,900
* Humana, Inc. 618,900 15,361,098
*# IAC/InterActiveCorp 1,773,700 43,792,653
IKON Office Solutions, Inc. 329,600 3,717,888
Independence Community Bank
Corp. 100,300 4,260,744
* Ingram Micro, Inc. 386,900 7,443,956
* Instinet Group, Inc. 15,200 91,048
International Paper Co. 1,215,775 50,478,978
Intersil Corp. 407,000 6,552,700
* Invitrogen Corp. 124,900 7,556,450
Janus Capital Group, Inc. 587,900 9,729,745
* JDS Uniphase Corp. 1,095,700 3,473,369
JPMorgan Chase & Co. 2,244,400 84,501,660
# Kerr-McGee Corp. 431,426 26,847,640
41
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# KeyCorp 941,600 $ 31,345,864
# Kraft Foods, Inc. 312,800 10,697,760
* LaBranche & Co., Inc. 19,700 157,797
LaFarge North America, Inc. 257,500 12,913,625
* Laidlaw International, Inc. 17,400 328,860
Lear Corp. 160,900 9,332,200
Lehman Brothers Holdings, Inc. 227,800 19,085,084
*# Level 3 Communications, Inc. 195,500 674,475
* Liberty Media Corp. Class A 7,339,100 75,812,903
* Liberty Media International, Inc.
Class A 313,805 13,512,443
Lincoln National Corp. 468,500 21,560,370
Loews Corp. 636,800 44,518,688
# Louisiana-Pacific Corp. 295,100 7,221,097
* LSI Logic Corp. 1,056,200 5,587,298
Lubrizol Corp. 182,000 6,288,100
*# Lucent Technologies, Inc. 1,193,800 4,691,634
# Lyondell Chemical Co. 447,200 12,548,432
Marathon Oil Corp. 961,450 37,919,588
# May Department Stores Co. 446,600 12,558,392
MBIA, Inc. 398,050 23,867,078
McKesson Corp. 653,300 19,305,015
MeadWestavco Corp. 758,431 25,521,203
* Medco Health Solutions, Inc. 690,100 26,030,572
MetLife, Inc. 2,041,200 79,606,800
* Metro-Goldwyn-Mayer, Inc. 288,500 3,415,840
MGIC Investment Corp. 116,900 7,949,200
*# MGM MIRAGE 390,100 22,742,830
*# Micron Technology, Inc. 1,663,300 18,429,364
*# Millennium Pharmaceuticals, Inc. 545,800 6,887,996
Nationwide Financial Services, Inc. 145,900 5,482,922
# New York Community Bancorp Inc. 63,200 1,250,096
Norfolk Southern Corp. 1,537,600 52,785,808
Northrop Grumman Corp. 1,018,042 57,346,306
# Nucor Corp. 30,000 1,587,000
Occidental Petroleum Corp. 650,800 39,184,668
# Odyssey Re Holdings Corp. 50,500 1,219,575
OfficeMax, Inc. 213,400 6,459,618
Old Republic International Corp. 501,412 12,530,286
Overseas Shipholding Group, Inc. 86,500 5,682,185
* Owens-Illinois, Inc. 314,400 6,577,248
*# PacifiCare Health Systems, Inc. 243,400 11,780,560
Peabody Energy Corp. 54,600 4,531,800
Penney (J.C.) Co., Inc. 1,120,000 43,232,000
PepsiAmericas, Inc. 192,000 4,053,120
# Phelps Dodge Corp. 287,085 27,884,566
PMI Group, Inc. 246,300 10,142,634
Pogo Producing Co. 159,700 8,064,850
* Pride International, Inc. 366,700 7,172,652
Principal Financial Group, Inc. 846,200 31,884,816
Protective Life Corp. 177,500 7,428,375
*# Providian Financial Corp. 483,100 7,753,755
Prudential Financial, Inc. 496,300 24,293,885
# Pulte Homes, Inc. 248,400 13,726,584
Questar Corp. 251,000 12,753,310
* Qwest Communications International,
Inc. 2,000,600 8,002,400
Radian Group, Inc. 245,200 12,566,500
* Radio One, Inc. 55,000 763,400
Raytheon Co. 1,311,300 52,897,842
# Reinsurance Group of America, Inc. 149,600 6,944,432
# Reynolds American, Inc. 251,326 $ 19,007,785
* Rite Aid Corp. 969,800 3,559,166
# Ryder System, Inc. 275,400 14,772,456
Safeco Corp. 486,400 23,575,808
Saks, Inc. 743,200 10,337,912
* Sanmina-SCI Corp. 1,410,100 12,451,183
SBC Communications, Inc. 430,200 10,828,134
# Sears, Roebuck & Co. 552,600 28,751,778
* Service Corp. International 311,600 2,199,896
* Smithfield Foods, Inc. 157,600 4,578,280
* Smurfit-Stone Container Corp. 669,626 12,026,483
* Solectron Corp. 1,155,300 7,220,625
Sovereign Bancorp, Inc. 781,020 17,065,287
Sprint Corp. 2,161,500 49,303,815
StanCorp Financial Group, Inc. 54,200 4,284,510
Starwood Hotels & Resorts Worldwide,
Inc. 573,500 29,988,315
Steelcase, Inc. Class A 49,000 651,700
* Sun Microsystems, Inc. 2,143,700 11,897,535
# Sunoco, Inc. 298,800 24,668,928
Supervalu, Inc. 565,200 17,854,668
* Tech Data Corp. 169,000 7,670,910
Telephone & Data Systems, Inc. 152,000 11,780,000
* Tellabs, Inc. 1,124,800 9,617,040
Temple-Inland, Inc. 131,300 7,824,167
* Tenet Healthcare Corp. 1,285,500 13,947,675
Textron, Inc. 123,000 8,932,260
* The DIRECTV Group, Inc. 481,937 7,706,173
The St. Paul Travelers Companies,
Inc. 1,418,426 51,744,180
* Thomas & Betts Corp. 46,900 1,483,916
# Tidewater, Inc. 147,000 4,987,710
* Time Warner, Inc. 8,350,880 147,894,085
Torchmark Corp. 127,200 6,984,552
*# Toys R Us, Inc. 819,300 15,845,262
Transatlantic Holdings, Inc. 9,400 548,396
* Triad Hospitals, Inc. 197,000 7,227,930
Tribune Co. 656,900 28,489,753
Tyson Foods, Inc. Class A 912,556 14,956,793
Union Pacific Corp. 824,200 52,287,248
UnionBanCal Corp. 86,600 5,354,478
* Unisys Corp. 113,200 1,300,668
* United States Cellular Corp. 131,000 5,796,750
# Unitrin, Inc. 223,800 10,661,832
UnumProvident Corp. 913,089 14,216,796
Valero Energy Corp. 686,800 32,135,372
Valhi, Inc. 158,500 2,458,335
*# VeriSign, Inc. 166,300 5,471,270
# Viacom, Inc. Class B 4,105,100 142,446,970
*# Vishay Intertechnology, Inc. 401,316 5,863,227
* Vitesse Semiconductor, Inc. 2,800 9,128
*# Watson Pharmaceuticals, Inc. 289,900 8,421,595
* WebMD Corp. 25,800 187,050
Weis Markets, Inc. 20,800 798,720
Wesco Financial Corp. 13,540 5,216,285
# Weyerhaeuser Co. 665,400 43,916,400
# Worthington Industries, Inc. 133,200 2,865,132
*# Xerox Corp. 75,000 1,149,000
---------------
TOTAL COMMON STOCKS
(Cost $3,052,795,344) 3,892,359,427
---------------
42
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FACE
AMOUNT VALUE+
--------------- ---------------
(000)
TEMPORARY CASH INVESTMENTS -- (11.3%)
Repurchase Agreement, Merrill Lynch Triparty Repo 1.94%, 12/01/04
(Collateralized by $462,830,000 U.S. Treasury Note 4.75%,
05/15/14, valued at $478,981,949) to be repurchased at
$469,615,320 (Cost $469,590,014)^ $ 469,590 $ 469,590,014
Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04
(Collateralized by $24,286,000 FHLMC Notes 4.20%, 10/20/09,
valued at $24,390,187) to be repurchased at $24,137,260
(Cost $24,136,000) 24,136 24,136,000
---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $493,726,014) 493,726,014
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,546,521,358) $ 4,386,085,441
===============
----------
+ See Note B to Financial Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
43
THE U.S. SMALL CAP SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
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SHARES VALUE+
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COMMON STOCKS -- (91.8%)
* 1-800 CONTACTS, Inc. 30,578 $ 626,543
* 1-800-FLOWERS.COM, Inc. 67,023 556,291
1st Independence Financial Group,
Inc. 1,100 20,735
1st Source Corp. 44,731 1,174,189
# 21st Century Holding Co. 1,650 21,631
21st Century Insurance Group 184,700 2,397,406
* 24/7 Real Media, Inc. 3,180 12,020
* 3-D Systems Corp. 24,600 396,306
* 4Kids Entertainment, Inc. 31,200 637,416
*# 8X8, Inc. 19,200 70,848
*# 99 Cents Only Stores 159,900 2,385,708
* @Road, Inc. 125,400 756,162
* A. B. Watley Group, Inc. 9,400 2,256
* A.C. Moore Arts & Crafts, Inc. 44,800 1,289,792
* A.D.A.M., Inc. 700 2,590
*# aaiPharma, Inc. 47,250 146,002
* Aames Investment Corp. 33 360
* AAON, Inc. 13,100 208,290
* AAR Corp. 74,183 1,014,082
Aaron Rents, Inc. 40,100 972,826
Aaron Rents, Inc. Class A 8,550 187,672
* Abaxis, Inc. 18,300 229,482
ABC Bancorp 8,310 172,017
* Abgenix, Inc. 204,317 2,073,818
* Abiomed, Inc. 50,270 763,099
* Able Laboratories, Inc. 39,700 863,475
* Ablest, Inc. 2,100 15,582
ABM Industries, Inc. 111,600 2,449,620
Abrams Industries, Inc. 200 780
* ABX Air, Inc. 66,600 523,476
* Acacia Research-Acacia Technologies 20,960 95,368
* Acacia Research-CombiMatrix 18,034 60,594
* Accelrys, Inc. 56,300 352,438
*# Access Pharmaceuticals, Inc. 35,600 124,600
* Acclaim Entertainment, Inc. 12,500 121
* Accredited Home Lenders Holding Co. 27,382 1,176,057
* Accredo Health, Inc. 108,400 2,934,388
* ACE Cash Express, Inc. 30,342 809,373
* ACE*COMM Corp. 7,500 16,500
Aceto Corp. 36,950 628,150
* Aclara BioSciences, Inc. 60,271 251,933
* Acme Communications, Inc. 36,700 215,796
Acme United Corp. 3,400 41,310
* ACT Manufacturing, Inc. 800 4
* ACT Teleconferencing, Inc. 27,900 31,527
* Actel Corp. 58,135 997,597
Action Performance Companies, Inc. 42,200 455,338
* ActivCard Corp. 92,943 739,826
* Active Power, Inc. 96,856 440,695
* Actuant Corp. 54,680 2,571,054
* Actuate Corp. 141,900 336,303
Acuity Brands, Inc. 27,700 815,211
Adams Resources & Energy, Inc. 4,200 74,550
* Adaptec, Inc. 239,400 1,867,320
* ADDvantage Technologies Group, Inc. 4,200 22,050
* ADE Corp. 13,300 245,518
* Adept Technology, Inc. 7,000 $ 11,550
* Administaff, Inc. 59,900 892,510
* Adolor Corp. 89,400 1,236,402
* Advanced Digital Information Corp. 146,200 1,342,116
* Advanced Energy Industries, Inc. 75,200 642,960
* Advanced Magnetics, Inc. 12,300 172,815
Advanced Marketing Services, Inc. 42,250 454,187
*# Advanced Medical Optics, Inc. 77,000 3,201,660
* Advanced Neuromodulation Systems,
Inc. 46,398 1,674,968
* Advanced Nutraceuticals, Inc. 700 2,450
*# Advanced Photonix, Inc. 9,000 14,940
* Advanced Power Technology, Inc. 22,995 172,692
Advanta Corp. Class A 22,117 494,978
Advanta Corp. Class B Non-Voting 42,042 1,003,963
* Advent Software, Inc. 76,385 1,528,464
Advo, Inc. 70,250 2,466,477
* Aehr Test Systems 7,100 15,478
* AEP Industries, Inc. 13,000 142,220
* AeroCentury Corp. 300 825
* Aeroflex, Inc. 171,250 2,097,812
* Aeropostale, Inc. 100,850 2,874,225
* Aerosonic Corp. 3,900 22,893
* Aether Systems, Inc. 97,242 361,740
* Aetrium, Inc. 9,300 33,480
*# AFC Enterprises, Inc. 39,800 958,384
* Affiliated Managers Group, Inc. 55,050 3,489,069
* Aftermarket Technology Corp. 45,950 800,449
* Agile Software Corp. 120,771 1,009,646
*# Agility Capital, Inc. 5,900 38
Agilysys, Inc. 74,088 1,224,675
* Air Methods Corp. 23,570 171,354
* AirGate PCS, Inc. 5,100 165,597
* AirNet Systems, Inc. 22,200 73,260
* Airspan Networks, Inc. 83,300 457,317
* Airtran Holdings, Inc. 196,800 2,326,176
* AK Steel Holding Corp. 250,200 3,230,082
*# Akamai Technologies, Inc. 82,588 1,069,515
*# Akorn, Inc. 19,500 81,120
*# Aksys, Ltd. 67,191 444,133
Alabama National Bancorporation 38,689 2,446,305
Alamo Group, Inc. 12,500 261,250
* Alaska Air Group, Inc. 68,000 2,123,640
* Alaska Communications Systems
Group, Inc. 22,200 190,698
Albany International Corp. Class A 68,872 2,303,768
* Albany Molecular Research, Inc. 71,360 764,979
Albemarle Corp. 78,881 3,142,619
* Alderwoods Group, Inc. 6,000 63,480
Aldila, Inc. 4,633 60,275
Alexander & Baldwin, Inc. 72,795 3,079,956
* Alexion Pharmaceuticals, Inc. 63,500 1,313,180
Alfa Corp. 184,078 2,788,782
* Alico, Inc. 7,000 390,320
* Align Technology, Inc. 135,310 1,430,227
* Alkermes, Inc. 206,211 2,843,650
* All American Semiconductor, Inc. 4,000 24,400
Allegheny Technologies, Inc. 130,813 2,877,886
44
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Allen Organ Co. Class B 800 $ 52,308
ALLETE, Inc. 68,000 2,475,200
* Alliance Gaming Corp. 117,360 1,418,882
* Alliance Imaging, Inc. 111,000 1,043,400
* Alliance Semiconductor Corp. 79,000 276,500
* Allied Defense Group, Inc. 12,400 253,952
* Allied Healthcare International, Inc. 36,000 193,680
* Allied Healthcare Products, Inc. 6,700 41,473
* Allied Holdings, Inc. 8,300 21,289
* Allied Motion Technologies, Inc. 2,900 19,868
* Allmerica Financial Corp. 27,600 898,380
* Allos Therapeutics, Inc. 61,410 128,961
* Allou HealthCare, Inc. Class A 100 0
* Alloy, Inc. 71,200 320,400
* Allscripts Healthcare Solutions, Inc. 91,149 897,818
* Almost Family, Inc. 1,600 19,680
* Alpha Technologies Group, Inc. 7,100 7,100
Alpharma, Inc. Class A 93,400 1,551,374
Alpine Group, Inc. 13,500 29,025
* Alteon, Inc. 61,700 51,211
* Altiris, Inc. 61,300 1,716,400
Ambassadors Group, Inc. 9,800 340,844
Ambassadors International, Inc. 9,800 134,652
* AMC Entertainment, Inc. 64,200 1,240,986
* Amcast Industrial Corp. 8,500 4,675
AMCOL International Corp. 67,500 1,363,500
Amcore Financial, Inc. 57,060 1,856,162
* Amedisys, Inc. 33,393 1,099,298
* AMEN Properties, Inc. 1,975 7,702
* Amerco, Inc. 13,900 571,985
* America Services Group, Inc. 24,758 620,188
*# America West Holdings Corp. Class B 80,800 469,448
* American Banknote Corp. 88 12
* American Biltrite, Inc. 3,400 40,460
*# American Business Financial Services,
Inc. 5,074 17,658
* American Claims Evaluation, Inc. 1,000 2,430
* American Dental Partners, Inc. 10,500 192,255
American Ecology Corp. 14,350 173,348
American Greetings Corp. Class A 83,900 2,233,418
*# American Healthways, Inc. 75,600 2,521,260
* American Independence Corp. 8,400 124,152
# American Italian Pasta Co. 40,100 772,326
* American Locker Group, Inc. 300 3,855
* American Medical Security Group, Inc. 27,400 885,842
* American Medical Systems Holdings,
Inc. 77,433 2,954,843
American Pacific Corp. 7,100 59,285
* American Physicians Capital, Inc. 19,400 646,214
American Physicians Services Group,
Inc. 100 1,015
* American Retirement Corp. 56,600 449,970
* American Science & Engineering, Inc. 17,200 635,712
American Shared Hospital Services 5,100 26,877
American Software, Inc. Class A 46,205 274,920
American States Water Co. 38,350 997,483
* American Superconductor Corp. 63,799 883,361
* American Technical Ceramics Corp. 8,000 80,080
# American Vanguard Corp. 621 23,753
* American West Bancorporation 3,552 74,592
American Woodmark Corp. 37,876 1,523,751
Americana Bancorp 2,712 $ 42,443
* America's Car-Mart, Inc. 18,000 660,600
*# AMERIGROUP Corp. 49,500 3,415,500
* AmeriServe Financial, Inc. 29,200 151,840
Ameristar Casinos, Inc. 62,362 2,510,070
Ameron International Corp. 18,600 706,428
AmerUs Group Co. 46,844 2,040,993
* Amistar Corp. 1,600 5,440
* Amkor Technology, Inc. 151,073 830,901
* AML Communications, Inc. 7,800 7,098
* AMN Healthcare Services, Inc. 65,100 1,041,600
Ampco-Pittsburgh Corp. 9,600 129,312
* Ampex Corp. Class A 5,925 67,545
*# AMR Corp. 82,700 746,781
Amrep Corp. 6,500 115,635
* Amsurg Corp. 69,833 1,795,419
* Amtech Systems, Inc. 1,900 8,075
* AMX Corp. 11,000 194,150
*# Anadigics, Inc. 69,900 235,563
* Analex Corp. 29,000 117,450
Analogic Corp. 29,400 1,332,408
* Analysts International Corp. 52,200 174,870
*# Analytical Surveys, Inc. 730 1,905
* Anaren, Inc. 44,500 597,813
Anchor Bancorp Wisconsin, Inc. 53,040 1,549,298
Andersons, Inc. 8,200 187,616
* Andrx Group 2,600 46,280
* Angeion Corp. 215 555
Angelica Corp. 16,100 408,135
* Angelo & Maxie's, Inc. 2,016 1,502
* AngioDynamics, Inc. 7,332 117,312
* Anika Therapeutics, Inc. 9,900 93,555
# Anixter International, Inc. 81,400 3,071,222
* Ansoft Corp. 29,635 534,023
* AnswerThink, Inc. 100,625 453,819
* Ansys, Inc. 71,200 2,185,128
* Anteon International Corp. 82,400 3,050,448
* Anthony & Sylvan Pools Corp. 3,768 20,159
*# Antigenics, Inc. 104,613 985,454
* AP Pharma, Inc. 45,823 56,821
* APA Enterprises, Inc. 11,800 25,488
* APAC Customer Services, Inc. 106,450 180,965
* Aphton Corp. 86,739 286,239
Apogee Enterprises, Inc. 62,815 915,843
*# Apogee Technology, Inc. 5,400 20,628
* Applera Corp. - Celera Genomics
Group 2,900 40,832
* Applica, Inc. 55,400 279,770
* Applied Extrusion Technologies, Inc. 21,500 3,655
* Applied Films Corp. 33,261 737,064
* Applied Imaging Corp. 15,100 6,946
Applied Industrial Technologies, Inc. 43,100 1,795,115
* Applied Innovation, Inc. 15,100 54,058
* Applied Micro Circuits Corp. 133,400 490,912
Applied Signal Technologies, Inc. 25,700 975,572
* Applix, Inc. 26,500 117,395
* Apria Healthcare Group, Inc. 55,300 1,696,051
* Apropos Technology, Inc. 36,800 110,032
Aptargroup, Inc. 38,500 2,023,175
* aQuantive, Inc. 141,025 1,225,507
* Aquila, Inc. 533,900 1,868,650
45
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* Aradigm Corp. 82,790 $ 125,841
* Arch Capital Group, Ltd. 5,900 229,805
Arch Chemicals, Inc. 53,822 1,571,602
Arctic Cat, Inc. 32,230 860,863
*# Ardent Communications, Inc. 12,900 19
* Arena Pharmaceuticals, Inc. 56,778 317,962
* ARGON ST, Inc. 14,214 367,574
* Argonaut Group, Inc. 61,101 1,214,688
* Argonaut Technologies, Inc. 11,600 10,788
* Argosy Gaming Corp. 64,800 3,017,088
* Ariad Pharmaceuticals, Inc. 120,706 696,474
* Ariba, Inc. 145,121 2,394,496
Ark Restaurants Corp. 2,700 81,135
Arkansas Best Corp. 57,300 2,470,776
* Arlington Hospitality, Inc. 4,900 14,210
* Armor Holdings, Inc. 72,100 3,112,557
*# Armstrong Holdings, Inc. 4,400 11,440
*# Arotech Corp. 90,691 159,616
* Arqule, Inc. 64,374 356,632
* Array BioPharma, Inc. 66,103 552,621
# Arrhythmia Research Technology, Inc. 5,800 146,740
* Arris Group, Inc. 200,000 1,138,000
Arrow Financial Corp. 10,239 328,774
Arrow International, Inc. 100,700 3,045,168
* Art Technology Group, Inc. 121,085 134,404
Artesian Resources Corp. Class A 1,815 52,726
* Artesyn Technologies, Inc. 82,300 783,496
* Arthrocare Corp. 49,692 1,504,177
* Artisan Components, Inc. 43,700 1,507,650
*# Artisoft, Inc 2,400 5,760
* Art's-Way Manufacturing Co., Inc. 200 1,220
* ASA International, Ltd. 640 2,931
ASB Financial Corp. 1,000 22,250
* Asbury Automotive Group, Inc. 143,200 1,987,616
* Ascential Software Corp. 66,079 903,300
* Ashworth, Inc. 30,071 272,143
* Ask Jeeves, Inc. 83,900 2,167,976
* Aspect Communications Corp. 136,183 1,477,586
* Aspect Medical Systems, Inc. 47,000 1,146,800
* Aspen Technology, Inc. 92,664 534,671
Associated Banc-Corp 12,348 410,324
* Astea International, Inc. 2,900 20,793
* Astec Industries, Inc. 44,700 743,808
Astro-Med, Inc. 9,830 88,775
* Astronics Corp. 5,500 27,225
* Astronics Corp. Class B 2,225 11,069
*# AstroPower, Inc. 6,550 62
* ASV, Inc. 29,016 1,216,641
* Asyst Technologies, Inc. 104,400 434,304
*# ATA Holdings Corp. 24,879 27,367
* Atari, Inc. 218,209 495,334
*# AtheroGenics, Inc. 85,200 2,020,092
* Atlantic American Corp. 21,100 63,300
* Atlantic Premium Brands, Ltd. 2,000 2,400
* Atlantis Plastics, Inc. 4,400 72,820
* ATMI, Inc. 72,133 1,660,502
Atmos Energy Corp. 73,600 1,986,464
* ATP Oil & Gas Corp. 56,500 805,125
Atrion Corp. 1,700 76,874
* ATS Medical, Inc. 8,200 32,554
* Atwood Oceanics, Inc. 34,600 1,814,078
* Audiovox Corp. Class A 44,900 $ 671,255
* August Technology Corp. 40,900 345,605
* Ault, Inc. 4,500 14,220
* Aura Systems, Inc. 5,295 201
*# Authentidate Holding Corp. 75,700 525,358
* autobytel.com, Inc. 91,700 667,576
* Avalon Holding Corp. Class A 1,550 4,805
* Avanex Corp. 320,595 993,844
* AVANIR Pharmaceuticals Class A 216,500 738,265
* Avant Immunotherapeutics, Inc. 141,134 261,098
* Avatar Holdings, Inc. 8,700 411,249
Avatech Solutions, Inc 1,851 648
*# AVI BioPharma, Inc. 75,600 164,808
* Aviall, Inc. 74,500 1,694,130
* Avici Systems, Inc. 27,943 199,792
* Avid Technology, Inc. 45,100 2,573,857
* Avigen, Inc. 46,864 161,681
Avista Corp. 111,400 1,982,920
* Avocent Corp. 52,600 1,995,118
* AVTEAM, Inc. Class A 200 0
* Aware, Inc. 49,159 241,371
* Axcelis Technologies, Inc. 219,900 1,605,270
* Axesstel, Inc. 6,200 23,560
* AXM Pharma, Inc. 2,300 5,290
* Axonyx, Inc. 1,300 9,568
* AXS-One, Inc. 64,600 183,464
* Axsys Technologies, Inc. 7,050 127,464
* AXT, Inc. 38,700 65,790
* Aztar Corp. 79,600 2,692,072
* AZZ, Inc. 8,200 125,050
Badger Meter, Inc. 3,200 182,912
* Badger Paper Mills, Inc. 1,000 4,240
Bairnco Corp. 7,300 85,410
* Baker (Michael) Corp. 7,600 142,880
Balchem Corp. 4,700 144,807
Baldor Electric Co. 75,733 2,088,716
Baldwin & Lyons, Inc. Class B 12,625 328,250
* Baldwin Technology Co., Inc. Class A 13,300 40,964
* Ballantyne of Omaha, Inc. 11,900 51,051
*# Bally Total Fitness Holding Corp. 78,200 260,406
* Bancinsurance Corp. 5,700 42,294
Bandag, Inc. 20,100 1,002,387
Bandag, Inc. Class A 9,600 437,568
Bank of Granite Corp. 16,400 355,880
Bank of The Ozarks, Inc. 15,200 541,880
BankAtlantic Bancorp, Inc. Class A 11,285 214,415
* Bankrate, Inc. 7,000 111,720
* BankUnited Financial Corp. Class A 69,175 2,126,439
Banner Corp. 25,751 850,298
Banta Corp. 57,300 2,549,850
Barnes Group, Inc. 53,200 1,392,776
Barnwell Industries, Inc. 400 21,180
* Barrett Business Services, Inc. 5,800 87,058
* Barry (R.G.) Corp. 9,500 33,250
Bassett Furniture Industries, Inc. 26,099 514,411
Bay View Capital Corp. 14,455 248,626
* BayCorp Holdings, Ltd. 484 6,123
* BE Aerospace, Inc. 103,510 1,096,895
* Beasley Broadcast Group, Inc. 16,698 293,050
# Beazer Homes USA, Inc. 12,553 1,556,572
Bebe Stores, Inc. 85,400 3,098,312
46
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BEI Technologies, Inc. 34,000 $ 997,900
Bel Fuse, Inc. Class A 2,600 76,180
Bel Fuse, Inc. Class B 5,250 179,707
Belden CDT, Inc. 83,439 1,934,950
* Bell Industries, Inc. 8,900 25,899
* Bell Microproducts, Inc. 63,600 543,780
* Benchmark Electronics, Inc. 89,000 3,119,450
* Benihana, Inc. 1,000 14,250
* Benihana, Inc. Class A 150 2,115
* Bentley Pharmaceuticals, Inc. 47,860 422,125
Berry Petroleum Corp. Class A 48,400 2,240,920
* Beverly Enterprises, Inc. 248,700 2,156,229
Beverly Hills Bancorp, Inc. 437 4,331
* BFC Financial Corp. 1,300 14,664
* Big 4 Ranch, Inc. 3,200 0
* Big City Radio, Inc. 3,400 399
* Big Dog Holdings, Inc. 1,500 9,420
*# Big Lots, Inc. 16,400 190,240
* BindView Development Corp. 107,800 382,690
* Bioanalytical Systems, Inc. 4,600 24,150
* BioCryst Pharmaceuticals, Inc. 49,900 329,340
* Bioenvision, Inc. 64,800 667,440
* Bio-Imaging Technologies, Inc. 24,300 105,705
# BioLase Technology, Inc. 55,808 504,504
* Bio-Logic Systems Corp. 4,200 34,272
* BioMarin Pharmaceutical, Inc. 148,085 789,293
* Bio-Rad Laboratories, Inc. Class A 20,000 1,134,000
* Bio-Reference Laboratories, Inc. 28,746 472,009
* BioSante Pharmaceuticals, Inc. 41,400 416,898
*# Biosite, Inc. 36,545 2,035,191
* Biosource International, Inc. 9,600 63,168
* Biospecifics Technologies Corp. 4,500 7,425
* BioSphere Medical, Inc. 32,800 101,680
* BioTime, Inc. 11,000 14,520
* Bioveris Corp. 30,900 190,962
* Bitstream, Inc. 8,400 24,360
BIW, Ltd. 800 15,720
* BJ's Restaurants, Inc. 45,344 678,346
Black Box Corp. 39,400 1,681,592
Black Hills Corp. 74,659 2,292,778
Blair Corp. 18,000 630,000
# Blockbuster, Inc. Class A 119,800 1,015,904
* Blonder Tongue Laboratories, Inc. 9,800 46,550
* Blount International, Inc. 89,200 1,554,756
* Blue Coat Systems, Inc. 25,886 432,037
* Blue Martini Software, Inc. 26,600 73,921
* Bluegreen Corp. 59,865 951,853
Blyth, Inc. 94,100 2,758,071
* BNS Co. Class A 4,120 27,398
Bob Evans Farms, Inc. 79,438 2,005,809
* Boca Resorts, Inc. 84,545 2,024,007
* Bogen Communications International,
Inc. 12,500 61,562
* Bolt Technology Corp. 5,400 28,296
* Bombay Co., Inc. 82,400 570,208
* Bone Care International, Inc. 44,709 1,042,614
* Bontex, Inc. 200 52
Bon-Ton Stores, Inc. 29,617 414,638
*# Bookham, Inc. 12,447 66,716
Books-A-Million, Inc. 18,300 168,726
* Borland Software Corp. 185,000 2,162,650
Boston Acoustics, Inc. 4,600 $ 63,250
* Boston Beer Co., Inc. Class A 22,100 481,338
* Boston Communications Group, Inc. 39,700 353,330
Boston Private Financial Holdings, Inc. 62,900 1,703,961
BostonFed Bancorp, Inc. 4,300 188,727
* Bottomline Technologies, Inc. 40,306 471,580
Bowne & Co., Inc. 81,100 1,248,940
* Boyds Collection, Ltd. 123,017 431,790
* Bradley Pharmaceuticals, Inc. 37,051 655,803
Brady Co. Class A 49,200 3,006,120
* Breed Technologies, Inc. 36,800 515
Bridgford Foods Corp. 10,400 88,036
* Brigham Exploration Co. 96,446 901,770
* Bright Horizons Family Solutions, Inc. 6,600 414,150
* Brightpoint, Inc. 41,400 791,154
* BrightStar Information Technology
Group, Inc. 10,700 214
* Brillian Corp. 7,049 21,711
* Brilliant Digital Entertainment, Inc. 5,400 324
*# BriteSmile, Inc. 785 5,440
* Broadview Media, Inc. 200 1,280
*# BroadVision, Inc. 71,877 165,317
*# Broadwing Corp. 2,700 17,928
*# Brocade Communications Systems,
Inc. 99,500 689,535
# Brookline Bancorp, Inc. 136,055 2,204,091
* Brooks Automation, Inc. 102,439 1,572,439
* Brookstone, Inc. 46,792 856,294
* Brooktrout, Inc. 29,907 366,660
Brown Shoe Company, Inc. 41,800 1,192,136
* Bruker BioSciences Corp. 194,472 896,516
* Brush Engineered Materials, Inc. 43,600 850,200
Bryn Mawr Bank Corp. 1,600 31,872
* BSQUARE Corp. 500 570
* BTU International, Inc. 12,900 38,442
* Buca, Inc. 44,571 267,426
* Buckeye Technologies, Inc. 85,883 1,064,090
Buckle, Inc. 30,000 924,000
Building Materials Holding Corp. 31,198 1,137,167
* Bull Run Corp. 3,700 1,369
Burlington Coat Factory Warehouse
Corp. 101,949 2,376,431
* Bush Industries, Inc. Class A 700 59
* Butler International, Inc. 8,400 38,472
C&D Technologies, Inc. 58,300 1,010,339
C&F Financial Corp. 300 11,871
* C-COR, Inc. 99,000 886,050
*# C-Phone Corp. 8,900 116
* Cabot Microelectronics Corp. 57,000 2,106,150
Cabot Oil & Gas Corp. 65,800 3,183,404
* Cache, Inc. 35,950 593,534
* CACI International, Inc. Class A 5,700 354,141
Cadmus Communications Corp. 8,900 123,541
* Cagle's, Inc. Class A 2,000 22,020
* Cal Dive International, Inc. 80,000 3,444,800
* CalAmp Corp. 50,728 485,467
Calavo Growers, Inc. 26,043 304,964
Calgon Carbon Corp. 89,800 839,630
* California Coastal Communities, Inc. 10,000 222,900
California First National Bancorp 10,400 137,790
* California Micro Devices Corp. 49,400 429,780
47
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* California Pizza Kitchen, Inc. 44,100 $ 1,104,705
California Water Service Group 42,200 1,475,734
* Caliper Life Sciences, Inc. 67,924 474,789
Callaway Golf Co. 173,000 2,034,480
* Callidus Software 32,000 145,280
* Callon Petroleum Co. 39,762 557,066
* Calloway's Nursery, Inc. 1,200 420
# Cal-Maine Foods, Inc. 49,100 649,495
*# Calpine Corp. 17,500 67,900
* Calton, Inc. 4,480 1,613
* CAM Commerce Solutions, Inc. 3,000 48,357
Cambrex Corp. 60,000 1,488,000
Camco Financial Corp. 7,516 114,469
* CancerVax Corp. 64,300 608,921
* Candela Corp. 51,710 505,724
* Candie's, Inc. 62,574 291,595
* Candlewood Hotel Co., Inc. 1,500 86
* Cannon Express, Inc. 200 0
* Cannondale Corp. 300 19
* Cantel Medical Corp. 22,440 672,302
* Canterbury Consulting Group, Inc. 1,571 677
* Canyon Resources Corp. 63,900 77,319
Capital Corp. of the West 5,046 259,819
* Capital Crossing Bank 11,800 315,178
* Capital Pacific Holdings, Inc. 14,500 57,637
* Capital Senior Living Corp. 58,900 305,691
Capital Southwest Corp. 300 23,640
Capitol Bancorp, Ltd. 8,564 297,171
* Caprius, Inc. 548 82
* Capstone Turbine Corp. 78,300 146,421
* Captaris, Inc. 69,100 339,281
* Captiva Software Corp. 4,400 43,032
* Caraco Pharmaceutical Laboratories,
Ltd. 56,350 411,355
* Caraustar Industries, Inc. 64,684 1,040,766
CARBO Ceramics, Inc. 36,700 2,851,590
* Cardiac Sciences, Inc. 144,900 307,188
* Cardima, Inc. 1,300 481
* Cardinal Financial Corp. 12,705 127,304
* CardioDynamics International Corp. 112,034 511,995
* CardioGenesis Corp. 1,800 738
*# Cardiotech International, Inc. 40,663 114,263
* Career Blazers, Inc. Trust Units 800 0
Carmike Cinemas, Inc. 27,828 1,041,880
Carpenter Technology Corp. 54,700 3,197,215
* Carreker Corp. 21,871 184,591
* Carriage Services, Inc. 38,900 195,667
* Carrier Access Corp. 77,789 702,435
* Carrington Laboratories, Inc. 9,800 45,178
* Carrizo Oil & Gas, Inc. 14,100 136,347
Cascade Corp. 28,000 898,520
Cascade Natural Gas Corp. 25,900 553,742
* Casella Waste Systems, Inc. Class A 53,549 809,125
Casey's General Stores, Inc. 115,110 2,229,681
Cash America International, Inc. 65,100 1,669,815
* Castle (A.M.) & Co. 15,437 196,359
Castle Energy Corp. 11,700 147,420
* Casual Male Retail Group, Inc. 78,700 339,984
* Catalina Lighting, Inc. 1,760 15,840
Catalina Marketing Corp. 111,300 3,127,530
* Catalyst Semiconductor, Inc. 41,940 249,962
* Catalytica Energy Systems, Inc. 19,891 $ 41,771
* Catapult Communications Corp. 33,091 898,090
Cato Corp. Class A 46,600 1,243,288
* Cavalier Homes, Inc. 39,360 217,661
# Cavalry Bancorp, Inc. 500 10,644
* Cavco Industries, Inc. 3,852 155,236
CCA Industries, Inc. 15,166 166,826
* CCC Information Services Group, Inc. 56,648 1,183,943
* CD Warehouse, Inc. 3,300 6
* CD&L, Inc. 2,600 4,368
CDI Corp. 43,600 842,352
* CEC Entertainment Inc. 76,950 3,131,095
* Celadon Group, Inc. 21,500 460,100
* Celebrity, Inc. Escrow Shares 1,300 0
Celeritek, Inc. 29,000 104,690
* Cell Genesys, Inc. 94,552 694,012
*# Cell Therapeutics, Inc. 116,400 870,672
* Cellegy Pharmaceuticals, Inc. 53,521 264,929
* CellStar Corp. 43,048 157,125
* Centene Corp. 47,200 2,525,200
* Centennial Communications Corp. 49,800 329,178
Center Bancorp, Inc. 1,890 24,343
Center Financial Corp. 12,960 266,846
* Centillium Communications, Inc. 83,989 211,652
* Centra Software, Inc. 45,500 98,726
Central Bancorp, Inc. 1,600 49,560
* Central European Distribution Corp. 37,627 989,214
* Central Garden & Pet Co. 42,600 1,648,620
Central Pacific Financial Corp. 64,500 2,156,235
Central Parking Corp. 80,537 1,222,552
Central Vermont Public Service Corp. 27,900 629,982
* Century Aluminum Co. 73,590 1,885,376
Century Bancorp, Inc. Class A 1,000 31,060
* Century Business Services, Inc. 165,357 711,035
*# Cenuco, Inc. 27,800 202,384
* Cenveo, Inc. 108,100 344,839
* Cepheid, Inc. 96,406 887,899
* Ceradyne, Inc. 37,150 1,835,210
CERBCO, Inc. Class A 200 1,908
* Ceres Group, Inc. 73,995 369,975
*# Cerner Corp. 25,573 1,348,209
* Cerus Corp. 50,900 132,849
* CEVA, Inc. 13,363 107,171
CFS Bancorp, Inc. 23,720 326,862
CH Energy Group, Inc. 36,300 1,686,861
* Chad Therapeutics, Inc. 10,000 45,300
*# Champion Enterprises, Inc. 164,700 1,890,756
Champion Industries, Inc. 9,674 36,277
* Championship Auto Racing Teams,
Inc. 8,900 1,255
* Champps Entertainment, Inc. 28,340 225,020
* Channell Commercial Corp. 6,600 49,500
* Charles and Colvard, Ltd. 30,500 290,939
* Charles River Associates, Inc. 9,000 388,260
* Charles River Laboratories International,
Inc. 22,342 1,044,488
* Charlotte Russe Holding, Inc. 49,700 579,005
* Charming Shoppes, Inc. 264,873 2,476,563
*# Chart Industries, Inc. 23 1,081
*# Charter Communications, Inc. 477,985 1,032,448
Charter Financial Corp. 22,811 933,198
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Chase Corp. 4,000 $ 62,600
* Chattem, Inc. 45,500 1,648,010
* Chaus (Bernard), Inc. 1,300 1,170
* Checkers Drive-In Restaurants, Inc. 25,907 320,729
* Checkpoint Systems, Inc. 86,400 1,594,944
Chemed Corp. 28,600 1,774,344
Chemical Financial Corp. 55,099 2,308,648
*# Cheniere Energy, Inc. 43,900 2,496,154
Cherokee, Inc. 8,100 238,140
Chesapeake Corp. 44,102 1,190,313
Chesapeake Utilities Corp. 12,600 326,340
Chester Valley Bancorp, Inc. 603 12,892
Chicago Rivet & Machine Co. 200 5,384
* chinadotcom Corp. Class A 4,282 18,884
* Chiquita Brands International, Inc. 93,896 1,857,263
Chittenden Corp. 106,153 3,129,390
* Cholestech Corp. 32,700 261,600
* Chordiant Software, Inc. 162,100 332,305
Christopher & Banks Corp. 82,213 1,622,062
*# ChromaVision Medical Systems, Inc. 20,200 34,340
* Chromcraft Revington, Inc. 6,000 75,060
* Chronimed, Inc. 24,201 159,485
Churchill Downs, Inc. 14,400 668,880
*# Chyron Corp. 33,400 18,370
* Ciber, Inc. 138,612 1,293,250
* CIENA Corp. 66,100 168,555
* Cimarex Energy Co. 14,004 562,681
* Cincinnati Bell, Inc. 564,100 2,030,760
* Ciphergen Biosystems, Inc. 67,103 216,072
* Ciprico, Inc. 4,900 20,335
CIRCOR International, Inc. 34,990 729,541
* Cirrus Logic, Inc. 194,018 1,150,527
Citizens Banking Corp. 78,033 2,738,958
Citizens South Banking Corp. 17,229 225,700
*# Citizens, Inc. 85,085 548,804
City Holding Co. 38,184 1,409,753
* CKE Restaurants, Inc. 132,700 1,660,077
Clarcor, Inc. 58,800 3,088,176
* Clark, Inc. 42,824 713,020
* Clarus Corp. 33,800 293,215
* Clayton Williams Energy, Inc. 9,200 210,588
* Clean Harbors, Inc. 32,400 405,972
* ClearOne Communications, Inc. 11,000 46,475
Cleco Corp. 108,300 2,144,340
# Cleveland-Cliffs, Inc. 23,500 2,277,150
Clinical Data, Inc. 1,787 22,749
* Closure Medical Corp. 33,027 587,550
* CMGI, Inc. 66,700 102,051
* CMS Energy Corp. 273,775 2,792,505
* CNA Surety Corp. 74,718 975,817
* CNE Group, Inc. 2,000 800
*# CNET Networks, Inc. 330,100 3,076,532
CNS, Inc. 31,520 380,446
Coachmen Industries, Inc. 36,100 580,127
* Coast Dental Services, Inc. 2,066 7,231
Coast Distribution System 5,600 38,080
* Coastcast Corp. 7,600 17,404
CoBiz, Inc. 12,825 282,150
* Cobra Electronics Corp. 6,100 49,410
Coca-Cola Bottling Co. Consolidated 6,000 314,520
* Coeur d'Alene Mines Corp. 490,500 2,251,395
* Cogent Communications Group, Inc. 6,713 $ 5,303
Cognex Corp. 105,800 2,729,640
* Cognitronics Corp. 4,250 13,515
* Coherent, Inc. 69,078 1,995,663
Cohu, Inc. 49,013 821,458
* Coinstar, Inc. 49,300 1,282,786
* Coldwater Creek, Inc. 35,775 937,305
* Collagenex Pharmaceuticals, Inc. 33,000 188,100
* Collins & Aikman Corp. 186,360 661,578
Collins Industries, Inc. 7,000 41,160
Columbia Banking System, Inc. 32,787 832,462
* Columbia Laboratories, Inc. 91,900 178,286
* Columbus McKinnon Corp. 34,300 271,313
* Comarco, Inc. 10,200 82,620
* Comdial Corp. 600 690
* Comforce Corp. 13,277 30,803
* Comfort Systems USA, Inc. 89,100 641,520
Commerce Group, Inc. 26,100 1,550,079
*# Commerce One, Inc. 51,000 8,287
Commercial Bancshares, Inc. 5,665 213,854
Commercial Capital Bancorp, Inc. 34,625 826,152
Commercial Federal Corp. 89,900 2,618,787
Commercial Metals Co. 67,200 3,046,848
Commercial National Financial Corp. 3,200 75,200
* Commonwealth Industries, Inc. 28,815 377,188
* Commonwealth Telephone Enterprises,
Inc. 48,400 2,355,144
* CommScope, Inc. 124,400 2,403,408
Communications Systems, Inc. 8,200 95,776
Community Bank System, Inc. 70,300 1,947,310
Community Bankshares, Inc. 210 3,828
Community Trust Bancorp, Inc. 15,103 505,648
Community West Bancshares 5,500 58,025
* Competitive Technologies, Inc. 6,100 42,395
* Compex Technologies, Inc. 27,454 134,525
* CompuCredit Corp. 105,656 2,532,574
*# Compudyne Corp. 17,704 125,716
* Computer Horizons Corp. 37,400 142,120
* Computer Network Technology Corp. 59,600 339,720
Computer Programs & Systems, Inc. 24,100 520,560
* Computer Task Group, Inc. 37,600 136,864
* CompX International, Inc. 5,100 81,855
* Comstock Resources, Inc. 79,900 1,734,629
* Comtech Telecommunications Corp. 32,700 1,029,396
# Concepts Direct, Inc. 700 392
* Conceptus, Inc. 58,836 525,405
* Concord Camera Corp. 52,056 137,428
* Concord Communications, Inc. 42,100 391,109
* Concur Technologies, Inc. 75,632 710,941
* Concurrent Computer Corp. 106,000 201,400
* Conexant Systems, Inc. 226,933 451,597
* Congoleum Corp. Class A 3,600 20,448
* Conmed Corp. 68,654 1,988,906
Connecticut Water Services, Inc. 7,600 211,508
* Connetics Corp. 81,700 1,708,347
* Conrad Industries, Inc. 7,200 13,320
* Consolidated Freightways Corp. 550 1
* Consolidated Graphics, Inc. 31,382 1,484,369
Consolidated-Tokoma Land Co. 6,100 244,732
* Constar International, Inc. 20,900 125,400
* Consumer Portfolio Services, Inc. 3,300 14,322
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*# Continental Airlines, Inc. 152,900 $ 1,703,306
* Continental Materials Corp. 200 5,320
* Convera Corp. 78,426 365,465
* Convergence Systems, Inc. 1 45
*# Cooker Restaurant Corp. 6,500 23
Cooper Tire & Rubber Co. 83,900 1,713,238
Cooperative Bankshares, Inc. 1,400 38,640
* Copart, Inc. 74,032 1,599,091
*# Copper Mountain Networks, Inc. 15,010 47,116
* Corautus Genetics, Inc. 1,542 8,404
* Core Molding Technologies, Inc. 7,700 20,559
* Corillian Corp. 87,677 509,403
* Corinthian Colleges, Inc. 137,000 2,387,225
* Corio, Inc. 108,600 180,276
*# Corixa Corp. 128,288 481,080
Corn Products International, Inc. 47,600 2,590,392
* Cornell Companies, Inc. 30,300 443,895
* Correctional Services Corp. 20,512 57,023
* Corrections Corporation of America 80,900 3,195,550
* Corrpro Companies, Inc. 7,275 8,366
Corus Bankshares, Inc. 64,044 3,117,021
* Corvel Corp. 10,900 345,748
* Cosine Communications, Inc. 22,621 69,446
* Cost Plus, Inc. 50,275 1,597,739
* CoStar Group, Inc. 41,911 1,835,702
* Cost-U-Less, Inc. 3,000 17,730
Cotton States Life Insurance Co. 6,330 127,233
Courier Corp. 4,275 216,229
* Covansys Corp. 48,200 648,772
* Covenant Transport, Inc. Class A 28,030 538,737
* Covista Communications, Inc. 3,000 5,940
CPAC, Inc. 5,120 26,470
* CPI Aerostructures, Inc. 11,866 122,220
CPI Corp. 11,200 158,480
Craftmade International, Inc. 11,300 200,010
Crawford & Co. Class A 27,300 204,750
Crawford & Co. Class B 25,300 198,605
* Cray, Inc. 189,048 663,558
* Credence Systems Corp. 202,147 1,544,403
* Credit Acceptance Corp. 90,319 2,235,395
* Critical Path, Inc. 33,200 36,520
* Criticare Systems, Inc. 25,400 67,564
Crompton Corp. 263,600 2,954,956
* Cross (A.T.) Co. Class A 14,700 69,972
* Cross Country Healthcare, Inc. 71,557 1,270,137
* Crossroads Systems, Inc. 42,500 57,375
* Crown Andersen, Inc. 1,000 1,400
* Crown Financial Group, Inc. 4,200 1,386
* Crown Holdings, Inc. 14,400 184,320
* Crown Media Holdings, Inc. 168,253 1,490,722
*# CryoLife, Inc. 53,600 381,632
* CSG Systems International, Inc. 117,432 2,133,739
* CSK Auto Corp. 104,100 1,596,894
* CSP, Inc. 3,500 30,800
CSS Industries, Inc. 12,900 414,477
CT Communications, Inc. 41,560 549,839
* CTI Molecular Imaging, Inc. 23,500 314,430
CTS Corp. 82,659 1,104,324
Cubic Corp. 61,500 1,568,250
* Cubist Pharmaceuticals, Inc. 92,725 1,112,700
* Culp, Inc. 25,400 152,908
* Cumulus Media, Inc. Class A 131,893 $ 2,015,325
* CUNO, Inc. 39,008 2,556,194
* CuraGen Corp. 115,160 694,415
* Curative Health Services, Inc. 27,900 159,309
* Curis, Inc. 107,349 434,763
Curtiss-Wright Corp. 11,600 691,360
Cutter & Buck, Inc. 25,124 373,845
* CV Therapeutics, Inc. 72,605 1,574,076
CVB Financial Corp. 111,315 3,025,542
* Cyberguard Corp. 65,822 406,122
*# Cyberonics, Inc. 54,800 1,017,636
* Cyberoptics Corp. 19,400 272,764
* Cybersource Corp. 78,100 551,386
* Cybex International, Inc. 8,700 37,845
* Cycle Country Accessories Corp. 11,300 55,031
*# Cygnus, Inc. 100 10
* Cymer, Inc. 84,586 2,573,106
* Cypress Bioscience, Inc. 66,060 769,599
* Cypress Semiconductor Corp. 288,800 2,844,680
* Cytogen Corp. 35,670 351,349
*# CytRx Corp. 1,700 2,057
D&E Communications, Inc. 34,574 452,919
D&K Healthcare Resources, Inc. 31,930 231,812
* Daily Journal Corp. 200 7,158
* Daktronics, Inc. 43,479 1,126,976
*# Dan River, Inc. Class A 22,900 1,008
* Danielson Holding Corp. 107,650 879,500
* Darling International, Inc. 147,000 605,640
* Data I/O Corp. 7,600 25,308
* Data Systems & Software, Inc. 7,300 8,030
* Datalink Corp. 13,300 25,257
* Dataram Corp. 19,800 118,206
Datascope Corp. 34,034 1,364,423
* Datastream Systems, Inc. 20,100 118,590
*# Datatec Systems, Inc. 7,000 38
*# DataTRAK International, Inc. 5,200 59,280
* Datawatch Corp. 4,132 15,908
* Dave & Busters, Inc. 13,200 246,840
* Dawson Geophysical Co. 5,400 126,090
* Daxor Corp. 4,600 97,060
Deb Shops, Inc. 19,299 475,720
*# Deckers Outdoor Corp. 9,200 400,384
Decorator Industries, Inc. 2,762 21,765
* Del Global Technologies Corp. 10,927 27,973
* Del Laboratories, Inc. 9,506 325,580
* Delphax Technologies, Inc. 6,100 24,943
Delphi Financial Group, Inc. Class A 60,250 2,799,215
Delta & Pine Land Co. 88,500 2,362,950
*# Delta Air Lines, Inc. 288,900 2,013,633
Delta Apparel, Inc. 5,240 119,734
Delta Financial Corp. 46,500 469,650
Delta Natural Gas Co., Inc. 6,200 159,650
* Delta Petroleum Corp. 38,460 604,976
* Delta Woodside Industries, Inc. 5,850 3,861
Deltic Timber Corp. 27,971 1,264,289
* Denali, Inc. 4,300 430
* Denbury Resources, Inc. 115,600 3,346,620
* Dendreon Corp. 134,381 1,318,278
* Dendrite International, Inc. 95,774 1,634,862
* Department 56, Inc. 30,900 523,137
*# DepoMed, Inc. 79,700 371,402
50
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* Detrex Corp. 500 $ 925
* Devcon International Corp. 3,600 55,800
* DeVry, Inc. 4,100 69,126
* DHB Industries, Inc. 93,900 1,746,540
Diagnostic Products Corp. 64,000 3,097,600
* DiamondCluster International, Inc. 78,484 959,859
* Diedrich Coffee, Inc. 4,025 17,992
* Digene Corp. 45,800 1,107,581
* Digi International, Inc. 49,792 766,299
* Digimarc Corp. 43,365 399,392
* Digital Angel Corp. 73,800 471,582
* Digital Generation Systems, Inc. 114,900 155,115
* Digital Impact, Inc. 56,900 66,573
* Digital Insight Corp. 81,500 1,330,487
* Digital Lightwave, Inc. 49,700 68,089
* Digital River, Inc. 74,600 3,127,232
* Digitas, Inc. 195,977 1,608,971
Dime Community Bancshares 84,900 1,557,915
DIMON, Inc. 103,829 675,927
* Diodes, Inc. 12,150 302,170
* Dionex Corp. 47,515 2,726,886
* Discovery Laboratories, Inc. 5,700 39,786
* Discovery Partners International, Inc. 59,253 272,564
* Display Technologies, Inc. 11,330 17
* Distributed Energy Systems Corp. 70,550 189,074
* Ditech Communications Corp. 78,155 1,231,723
* Diversa Corp. 99,878 845,967
* Diversified Corporate Resources, Inc. 800 691
* Dixie Group, Inc. 25,400 407,162
* Dixon Ticonderoga Co. 1,900 11,609
* DJ Orthopedics, Inc. 50,800 1,024,636
* DLB Oil & Gas, Inc. 1,300 0
* DocuCorp International, Inc. 24,653 220,151
* Document Sciences Corp. 14,200 75,544
* Dollar Thrifty Automotive Group, Inc. 57,200 1,538,108
* Dominion Homes, Inc. 5,800 119,828
Donegal Group, Inc. Class A 6,066 130,419
Donegal Group, Inc. Class B 2,933 57,927
* Dot Hill Systems Corp. 100,260 661,716
* DoubleClick, Inc. 288,282 2,162,115
* DOV Pharmaceutical, Inc. 48,928 905,657
Dover Downs Gaming & Entertainment,
Inc. 9,910 111,884
Dover Motorsports, Inc. 37,100 180,306
Downey Financial Corp. 36,476 2,106,124
* DPAC Technologies Corp. 20,300 10,556
* Drew Industries, Inc. 23,600 786,116
* Dril-Quip, Inc. 38,900 928,543
* DRS Technologies, Inc. 48,500 2,071,920
* drugstore.com, Inc. 183,900 597,675
* DSP Group, Inc. 65,500 1,452,790
* DT Industries, Inc. 10,300 26
* Duckwall-ALCO Stores, Inc. 4,100 68,675
* Ducommun, Inc. 22,900 580,515
* DuPont Photomasks, Inc. 40,255 1,061,927
Duquesne Light Holdings, Inc. 104,700 1,846,908
* Dura Automotive Systems, Inc. 41,300 375,830
* DuraSwitch Industries, Inc. 10,500 22,575
* Duratek, Inc. 13,500 310,635
* Durect Corp. 103,160 231,078
* DUSA Pharmaceuticals, Inc. 38,800 514,876
* Dyax Corp. 72,100 $ 571,753
* Dycom Industries, Inc. 97,066 2,828,503
*# Dynacq Healthcare, Inc. 22,200 119,880
* Dynamex, Inc. 26,300 529,156
*# Dynamic Materials Corp. 2,000 30,600
* Dynamics Research Corp. 16,098 268,998
*# Dynegy, Inc. 63,200 357,080
* E Com Ventures, Inc. 2,175 25,861
* E-Loan, Inc. 140,700 379,890
E-Z-EM, Inc. 8,562 124,577
* E.piphany, Inc. 160,211 724,154
# Eagle Materials, Inc. 22,200 1,739,814
Eagle Materials, Inc. Class B 20,500 1,549,800
*# EarthLink, Inc. 169,975 1,842,529
Eastern Co. 4,950 93,753
* EasyLink Services Corp. 7,969 11,236
* Echelon Corp. 88,406 668,349
* Eclipsys Corp. 17,600 342,320
* eCollege.com 46,875 550,781
Ecology & Environment, Inc. Class A 2,000 17,600
* Edelbrock Corp. 5,470 90,802
* Eden Bioscience Corp. 9,900 7,029
*# EDGAR Online, Inc. 14,700 18,522
* Edge Petroleum Corp. 29,900 457,470
* Edgewater Technology, Inc. 11,569 48,358
EDO Corp. 46,000 1,401,620
* Education Lending Group, Inc. 1,000 14,060
Educational Development Corp. 1,800 18,396
EFC Bancorp, Inc. 4,600 117,990
* EFJ, Inc. 7,800 63,024
* eFunds Corp. 110,806 2,639,399
* EGL, Inc. 95,396 3,218,661
* El Paso Electric Co. 108,600 1,949,370
Electro Rent Corp. 55,779 790,946
* Electro Scientific Industries, Inc. 35,500 689,410
* Electroglas, Inc. 49,100 160,066
* Electronics Boutique Holdings Corp. 54,830 2,135,628
* Electronics for Imaging, Inc. 120,200 2,010,946
* Elizabeth Arden, Inc. 62,000 1,413,600
ElkCorp 45,600 1,349,760
* eLoyalty Corp. 6,700 33,701
* ELXSI Corp. 1,800 5,850
* EMAK Worldwide, Inc. 5,700 56,208
* Embarcadero Technologies, Inc. 63,250 559,130
* Embrex, Inc. 16,700 221,275
EMC Insurance Group, Inc. 11,300 245,323
* EMCOR Group, Inc. 34,000 1,571,480
* EMCORE Corp. 78,911 209,903
* Emerging Vision, Inc. 25,700 4,883
* Emeritus Corp. 14,100 133,950
* Emerson Radio Corp. 59,722 185,138
* Emisphere Technologies, Inc. 41,656 127,759
* Emmis Communications Corp.
Class A 118,100 2,183,669
Empire District Electric Co. 58,700 1,333,077
* EMS Technologies, Inc. 24,974 391,842
* Emulex Corp. 190,300 2,690,842
* En Pointe Technologies, Inc. 6,500 18,525
* Encore Acquisition Co. 74,900 2,637,229
* Encore Capital Grooup, Inc. 48,500 1,216,380
* Encore Medical Corp. 98,500 620,057
51
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* Encore Wire Corp. 48,497 $ 653,497
* Encysive Pharmaceuticals, Inc. 131,198 1,423,498
* Endeavour International Corp. 98,000 420,420
* Endocardial Solutions, Inc. 46,500 528,705
*# Endocare, Inc. 25,800 62,049
* Endologix, Inc. 73,000 471,580
* Energy Conversion Devices, Inc. 56,439 1,256,332
* Energy Partners, Ltd. 75,400 1,460,498
* Energy West, Inc. 3,900 23,166
EnergySouth, Inc. 16,178 465,765
* Enesco Group, Inc. 32,700 241,326
Engineered Support Systems, Inc. 58,609 3,223,495
* ENGlobal Corp. 1,700 2,516
*# Enlighten Software Solutions, Inc. 1,600 2
Ennis, Inc. 37,800 750,330
* Enpath Medical, Inc. 11,600 110,896
* EnPro Industries, Inc. 46,600 1,339,284
* Entegris, Inc. 168,438 1,647,324
* Enterrasys Networks, Inc. 378,100 661,675
* Entravision Communications Corp. 136,817 1,121,899
*# Entremed, Inc. 69,800 166,822
* Entrust, Inc. 144,200 537,866
* Environmental Elements Corp. 1,000 100
* Environmental Technologies Corp. 3,700 15
* Environmental Tectonics Corp. 7,100 46,150
* Enzo Biochem, Inc. 74,504 1,434,202
* Enzon Pharmaceuticals, Inc. 51,600 698,664
*# EP Medsystems, Inc. 14,900 51,107
* EpicEdge, Inc. 13,100 39
* Epicor Software Corp. 116,287 1,833,846
*# Epimmune, Inc. 22,900 30,915
* EPIQ Systems, Inc. 41,050 615,339
* EPIX Pharmaceuticals, Inc. 52,928 931,533
* ePlus, Inc. 18,890 238,581
* ePresence, Inc. Escrow Shares 25,100 3,263
*# Equimed Inc. Nevis 2,250 0
* Equinix, Inc. 42,000 1,632,960
*# eResearch Technology, Inc. 119,810 1,765,999
* Ergo Science Corp. 7,150 16,087
ESB Financial Corp. 11,762 165,962
* Escalon Medical Corp. 3,200 27,520
* ESCO Technologies, Inc. 29,800 2,181,360
* eSpeed, Inc. 68,800 769,872
Espey Manufacturing & Electronics
Corp. 400 10,420
* ESS Technology, Inc. 87,100 614,055
* Esterline Technologies Corp. 48,500 1,726,600
Ethan Allen Interiors, Inc. 78,300 3,088,935
* Euronet Worldwide, Inc. 72,727 1,789,084
* European Micro Holdings, Inc. 4,600 138
* Evans & Sutherland Computer Corp. 10,400 68,744
* Evans Systems, Inc. 2,500 106
* Evercel, Inc. 766 709
*# Evergreen Solar, Inc. 109,300 370,418
* Everlast Worldwide, Inc. 1,500 5,370
* Evolving Systems, Inc. 12,600 44,981
* Exabyte Corp. 700 217
* Exact Sciences Corp. 59,605 206,233
* Exactech, Inc. 10,800 203,472
* Exar Corp. 93,208 1,303,048
* Excel Technology, Inc. 26,472 688,272
* Exelixis, Inc. 165,918 $ 1,488,284
* Exponent, Inc. 6,700 186,193
* ExpressJet Holdings, Inc. 119,600 1,394,536
* Extended Systems, Inc. 11,100 28,305
* Extreme Networks, Inc. 277,921 1,898,200
* EZCORP, Inc. Class A Non-Voting 10,800 115,452
* Ezenia! Inc. 200 204
* F5 Networks, Inc. 76,000 3,271,800
* Fab Industries, Inc. 5,200 20,696
Factset Research Systems, Inc. 57,000 2,944,050
* Fairchild Corp. Class A 48,352 145,056
* Falcon Products, Inc. 11,500 10,034
*# FalconStor Software, Inc. 108,105 846,462
* Famous Dave's of America, Inc. 26,825 298,294
* Fargo Electronics 28,800 426,816
Farmer Brothers Co. 19,000 504,640
* Faro Technologies, Inc. 31,660 861,152
FBL Financial Group, Inc. Class A 61,600 1,750,672
* Featherlite, Inc. 6,500 26,065
Fedders Corp. 61,510 184,530
* Federal Agriculture Mortgage
Corporation 500 11,330
Federal Screw Works 1,562 53,748
# Federal Signal Corp. 110,700 1,904,040
*# Federal-Mogul Corp. 57,900 21,423
* FEI Co. 76,558 1,637,576
* Female Health Co. 9,300 17,205
# Ferro Corp. 96,400 2,205,632
FFLC Bancorp, Inc. 5,400 176,202
* Fibermark, Inc. 100 2
* Fiberstars, Inc. 15,500 139,500
Fidelity Bankshares, Inc. 34,832 1,429,157
* Fidelity Federal Bancorp 2,500 4,400
Fidelity Southern Corp. 8,800 159,544
* Filenet Corp. 90,680 2,431,131
* Financial Federal Corp. 39,800 1,530,708
* Financial Industries Corp. 12,482 99,232
* FindWhat.com 69,300 1,336,104
* Finisar Corp. 333,296 609,932
Finish Line, Inc. Class A 97,834 1,800,146
* Finishmaster, Inc. 800 10,352
* Finlay Enterprises, Inc. 19,000 368,980
* Firebrand Financial Group, Inc. 9,100 364
* First Acceptance Corp. 1,500 13,050
First Albany Companies, Inc. 9,098 83,611
* First Aviation Services, Inc. 6,200 24,862
First Bancorp 9,315 263,801
* First Cash Financial Services, Inc. 35,681 929,133
First Charter Corp. 68,508 1,876,434
First Citizens BancShares, Inc. 1,300 176,884
First Commonwealth Financial Corp. 159,751 2,452,178
First Community Bancorp 35,700 1,500,114
First Community Bancshares, Inc. 24,561 874,863
* First Consulting Group, Inc. 55,703 304,695
First Defiance Financial Corp. 6,859 187,662
First Federal Bancshares of Arkansas,
Inc. 5,800 126,266
First Financial Bancorp 100,457 1,715,806
First Financial Bankshares, Inc. 15,395 669,682
First Financial Corp. 2,550 92,616
First Financial Holdings, Inc. 28,464 931,911
52
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First Franklin Corp. 300 $ 6,075
* First Health Group Corp. 17,731 315,966
* First Horizon Pharmaceutical Corp. 82,864 1,620,820
First Indiana Corp. 35,881 831,363
* First Investors Financial Services
Group, Inc. 5,400 24,192
First Keystone Financial, Inc. 2,000 45,300
First M&F Corp. 2,100 71,400
* First Mariner Bancorp 4,900 84,231
First Merchants Corp. 41,108 1,107,861
First Midwest Bancorp, Inc. 7,375 276,857
First Midwest Financial, Inc. 2,400 60,264
First Mutual Bancshares, Inc. 5,013 124,548
First National Bankshares of Florida 29,169 749,352
First Niagara Financial Group, Inc. 187,028 2,700,684
First Oak Brook Bancshares, Inc. 3,150 103,320
First PacTrust Bancorp, Inc. 8,200 214,020
First Place Financial Corp. 30,746 691,785
First Republic Bank 36,750 1,888,582
First State Bancorporation 16,776 630,274
First United Corp. 3,500 71,225
* First Virtual Communications, Inc. 1,650 272
Firstbank Corp. 2,835 83,488
FirstBank NW Corp. 2,928 84,839
* FirstCity Financial Corp. 25,500 228,225
* FirstFed Financial Corp. 37,700 1,983,774
*# Firstwave Technologies, Inc. 2,600 5,304
* Fischer Imaging Corp. 9,100 33,215
* Five Star Quality Care, Inc. 18,800 127,464
Flag Financial Corp. 6,500 92,625
Flagstar Bancorp, Inc. 141,100 3,074,569
Flamemaster Corp. 27 972
* Flanders Corp. 60,260 601,395
* Fleetwood Enterprises, Inc. 127,400 1,726,270
Flexsteel Industries, Inc. 6,100 106,811
Florida East Coast Industries, Inc. 64,400 2,746,660
Florida Public Utilities Co. 3,866 71,289
* Flow International Corp. 33,300 92,241
Flowers Foods, Inc. 100,825 3,078,187
* Flowserve Corp. 123,000 3,102,060
Flushing Financial Corp. 44,114 937,422
*# FLYi, Inc. 68,000 127,840
* FMC Corp. 58,800 2,913,540
FMS Financial Corp. 3,300 59,218
FNB Corp. 2,700 52,785
# FNB Corp. 106,420 2,259,297
FNB Financial Services Corp. 2,625 55,125
* Foamex International, Inc. 56,123 228,421
* FOCUS Enhancements, Inc. 3,132 3,570
* Foodarama Supermarkets, Inc. 1,100 44,550
Foothill Independent Bancorp 6,555 151,224
* Footstar, Inc. 27,600 104,880
* Forest Oil Corp. 70,670 2,404,900
* Forgent Networks, Inc. 39,400 66,980
* Forrester Research, Inc. 50,917 830,965
* Forward Air Corp. 49,550 2,296,642
* Foster (L.B.) Co. Class A 10,000 88,000
* Foster Wheeler, Ltd. 2,030 28,887
* Foundry Networks, Inc. 39,500 527,325
* Fountain Powerboat Industries, Inc. 4,700 24,675
*# FPIC Insurance Group, Inc. 22,946 757,906
Frankfort First Bancorp, Inc. 850 $ 20,714
* Frankfort Tower Industries, Inc. 13,100 18
* Franklin Covey Co. 19,300 38,407
Franklin Electric Co., Inc. 21,600 878,256
* Franklin Electronic Publishers, Inc. 7,900 34,760
# Fred's, Inc. 90,350 1,565,765
# Fremont General Corp. 13,200 314,160
Frequency Electronics, Inc. 8,300 124,085
* Fresh Brands, Inc. 5,100 38,760
* Fresh Choice, Inc. 5,900 2,537
Friedman Industries, Inc. 6,158 50,372
* Friedmans, Inc. Class A 35,240 59,379
* Friendly Ice Cream Corp. 7,300 65,335
Frisch's Restaurants, Inc. 4,900 116,718
* Frontier Airlines, Inc. 81,761 959,057
Frontier Oil Corp. 61,900 1,649,635
* Frozen Food Express Industries, Inc. 39,207 462,643
* FSI International, Inc. 63,100 283,950
* FTI Consulting, Inc. 98,025 1,977,164
*# FuelCell Energy, Inc. 105,854 1,063,833
Fuller (H.B.) Co. 65,809 1,883,454
Furniture Brands International, Inc. 125,900 3,058,111
*# FX Energy, Inc. 19,400 194,776
G & K Services, Inc. Class A 44,790 1,839,973
* G-III Apparel Group, Ltd. 6,700 41,205
Gabelli Asset Management, Inc. 13,700 663,080
*# Gadzooks, Inc. 13,600 22,032
* Gaiam, Inc. 5,500 28,875
* Galaxy Nutritional Foods, Inc. 11,500 20,470
* GameStop Corp. 46,700 984,903
GameTech International, Inc. 11,100 42,524
* Gaming Partners International Corp. 4,100 94,095
* Gardenburger, Inc. 4,000 400
* Gardner Denver Machinery, Inc. 45,688 1,571,667
* Gartner Group, Inc. 190,100 2,262,190
* Gartner, Inc. 1,200 14,064
* Gateway Financial Holdings, Inc. 2,200 34,320
* Gateway, Inc. 136,400 928,884
GATX Corp. 108,500 3,194,240
* Gaylord Entertainment Co. 87,363 3,078,672
GB & T Bancshares, Inc. 875 22,199
* Gehl Co. 11,800 259,482
* Genaera Corp. 23,000 83,030
*# Genaissance Pharmaceuticals, Inc. 64,350 99,099
Gencorp, Inc. 99,711 1,676,142
* Gene Logic, Inc. 70,572 237,828
* Genecor International, Inc. 135,869 2,201,078
* Genelabs Technologies, Inc. 107,510 76,332
* General Binding Corp. 13,300 177,289
* General Cable Corp. 90,300 1,228,080
* General Communications, Inc. Class A 122,881 1,258,301
* General DataComm Industries, Inc. 1,010 601
* General Employment Enterprises, Inc. 3,100 8,711
* Genesco, Inc. 50,700 1,499,706
* Genesee & Wyoming, Inc. 55,750 1,537,027
* Genesee Corp. Class B 200 420
* Genesis HealthCare Corp. 44,650 1,439,962
* Genesis Microchip, Inc. 37,462 611,005
* Geneva Financial Corp. 2,600 2,080
* Genlyte Group, Inc. 31,500 2,525,355
* Genta, Inc. 174,220 226,486
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* Gentiva Health Services, Inc. 13,950 $ 232,267
* Genus, Inc. 71,321 124,099
* GenVec, Inc. 116,369 225,756
Georgia Gulf Corp. 69,500 4,001,810
* Gerber Scientific, Inc. 49,500 388,575
*# Geron Corp. 104,909 729,118
Gevity HR, Inc. 61,910 1,096,426
* Giant Group, Ltd. 2,200 3,410
* Giant Industries, Inc. 27,600 772,800
Gibraltar Industries, Inc. 27,900 672,111
* Giga-Tronics, Inc. 4,600 10,580
Glacier Bancorp, Inc. 56,317 1,949,131
* Glacier Water Services, Inc. 3,600 94,680
Glatfelter (P.H.) Co. 100,900 1,445,897
* Glenayre Technologies, Inc. 119,827 219,283
* Global e-Point, Inc. 3,008 9,174
* Global Imaging Systems, Inc. 53,071 1,985,917
* Global Payment Technologies, Inc. 5,500 27,995
*# Global Power Equipment Group, Inc. 106,500 925,485
* Globecomm Systems, Inc. 16,500 103,620
* Glowpoint, Inc. 49,850 60,318
*# GoAmerica, Inc. 56 685
Gold Banc Corp. 63,565 950,932
Golden Enterprises, Inc. 11,800 33,040
* Goodrich Petroleum Corp. 46,900 757,435
*# Goodyear Tire & Rubber Co. 113,200 1,428,584
Goody's Family Clothing, Inc. 43,942 427,995
* GoRemote Internet Communications,
Inc. 64,900 116,820
Gorman-Rupp Co. 9,968 228,267
* Gottschalks, Inc. 12,700 114,300
* GP Strategies Corp. 14,560 103,376
* Graftech International, Ltd. 224,000 2,136,960
Graham Corp. 1,000 13,150
Granite Construction, Inc. 95,700 2,539,878
* Graphic Packaging Corp. 195,000 1,591,200
Gray Television, Inc. 100,860 1,512,900
Gray Television, Inc. Class A 6,800 94,316
Great American Financial Resources,
Inc. 18,300 319,518
* Great Atlantic & Pacific Tea Co., Inc. 88,700 670,572
# Great Lakes Chemical Corp. 111,700 3,272,810
Great Southern Bancorp, Inc. 13,600 557,600
# Greater Bay Bancorp 92,446 2,685,556
Greater Communications Bancorp 3,690 54,612
* Green Mountain Coffee, Inc. 15,630 374,807
Green Mountain Power Corp. 10,900 295,935
* Greenbriar Corp. 674 2,255
Greenbrier Companies, Inc. 14,100 419,334
Greene County Bancshares, Inc. 1,900 48,773
* Greens Worldwide, Inc. 2,502 45
Grey Global Group, Inc. 200 219,404
*# Grey Wolf, Inc. 432,400 2,378,200
* Griffin Land & Nurseries, Inc. Class A 2,200 58,080
* Griffon Corp. 67,480 1,692,398
* Group 1 Automotive, Inc. 52,600 1,552,226
* Grubb & Ellis Co. 14,900 67,050
* GSI Commerce, Inc. 93,902 1,420,737
* GSV, Inc. 1,800 450
* GTC Biotherapeutics, Inc. 59,964 91,745
* GTSI Corp. 19,220 194,891
Guaranty Bancshares, Inc. 3,000 $ 65,100
Guaranty Federal Bancshares, Inc. 3,000 71,370
* Guess, Inc. 101,380 1,470,010
* Guilford Pharmaceuticals, Inc. 100,814 568,591
* Guitar Center, Inc. 58,200 2,815,716
Gulf Island Fabrication, Inc. 27,931 594,092
* Gulfmark Offshore, Inc. 43,800 911,478
* Gymboree Corp. 70,700 833,553
* Ha-Lo Industries, Inc. 64,900 45
* Haemonetics Corp. 58,000 2,024,200
Haggar Corp. 6,300 139,230
* Hain Celestial Group, Inc. 81,688 1,587,198
* Halifax Corp. 1,000 5,620
* Hammons (John Q.) Hotels, Inc.
Class A 5,200 74,880
* Hampshire Group, Ltd. 4,000 124,700
Hancock Fabrics, Inc. 43,100 429,276
Hancock Holding Co. 74,792 2,542,928
Handleman Co. 53,023 1,124,088
* Hanger Orthopedic Group, Inc. 49,552 386,506
Hanmi Financial Corp. 5,500 204,490
* Hanover Compressor Co. 197,300 2,880,580
Harbor Florida Bancshares, Inc. 54,691 1,919,654
Hardinge, Inc. 8,800 98,560
Harland (John H.) Co. 63,000 2,224,530
Harleysville Group, Inc. 65,543 1,575,654
Harleysville National Corp. 60,344 1,699,287
* Harmonic, Inc. 166,146 1,290,954
* Harolds Stores, Inc. 2,308 3,023
* Harris Interactive, Inc. 139,300 924,952
* Hartmarx Corp. 33,600 271,152
* Harvard Bioscience, Inc. 64,100 254,477
* Harvest Natural Resources, Inc. 82,900 1,512,925
* Hastings Entertainment, Inc. 22,800 186,276
* Hastings Manufacturing Co. 700 1,197
* Hauppauge Digital, Inc. 8,800 48,303
Haverty Furniture Co., Inc. 15,700 316,355
Haverty Furniture Co., Inc. Class A 400 7,920
* Hawaiian Holdings, Inc. 29,875 187,017
* Hawk Corp. 8,500 71,825
Hawkins, Inc. 10,200 121,380
* Headwaters, Inc. 77,300 2,475,919
*# HealthAxis, Inc. 750 2,161
Healthcare Services Group, Inc. 16,650 345,321
* HealthExtras, Inc. 74,876 1,195,770
* HealthTronics Surgical Services, Inc. 47,439 354,369
Heartland Express, Inc. 143,904 3,160,132
Heartland Financial USA, Inc. 5,779 127,543
* Hecla Mining Co. 272,000 1,846,880
Hector Communications Corp. 3,500 74,200
* HEI, Inc. 6,000 14,640
Heico Corp. 22,700 485,780
Heico Corp. Class A 8,065 132,347
* Heidrick & Struggles International, Inc. 42,600 1,465,440
Helix Technology Corp. 60,053 904,999
Helmerich & Payne, Inc. 97,600 3,184,688
*# Hemispherx Biopharma, Inc. 95,100 149,307
Henry Jack & Associates, Inc. 6,942 133,842
*# Hercules, Inc. 208,900 3,112,610
* Heritage Commerce Corp. 2,800 54,768
Heritage Financial Corp. 7,500 162,825
54
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* Herley Industries, Inc. 31,000 $ 638,290
* Hexcel Corp. 89,300 1,361,825
HF Financial Corp. 3,630 67,246
* Hi-Shear Technology Corp. 8,600 47,386
* Hi-Tech Pharmacal, Inc. 17,650 288,577
* HI/FN, Inc. 10,400 83,200
* Hibbett Sporting Goods, Inc. 53,870 1,334,360
Hickory Tech Corp. 13,900 147,757
Hilb Rogal Hamilton Co. 81,700 2,834,173
* Hines Horticulture, Inc. 22,000 84,700
Hirsch International Corp. Class A 3,300 3,795
HMN Financial, Inc. 4,400 140,624
* HMS Holdings Corp. 44,088 309,498
* Hoenig Group Escrow Shares 7,900 1,817
Hollinger International, Inc. Class A 100,900 1,889,857
* Hollis-Eden Pharmaceuticals, Inc. 44,353 449,739
Holly Corp. 37,200 1,047,924
* Hollywood Entertainment Corp. 130,573 1,656,971
* Hollywood Media Corp. 64,546 289,812
* Hologic, Inc. 47,200 1,179,528
Home Federal Bancorp 4,300 104,705
Home Loan Financial Corp. 1,700 35,283
* Home Products International, Inc. 7,800 17,394
* HomeStore, Inc. 158,935 413,231
Hooper Holmes, Inc. 145,400 763,350
HopFed Bancorp, Inc. 2,100 35,994
Horace Mann Educators Corp. 98,138 1,864,622
Horizon Financial Corp. 22,649 464,531
* Horizon Health Corp. 9,900 237,501
*# Horizon Offshore, Inc. 48,983 17,144
* Hot Topic, Inc. 106,900 1,749,953
* Houston Exploration Co. 49,997 2,994,820
* Hub Group, Inc. Class A 7,000 304,500
* Hudson Highland Group, Inc. 2,130 58,170
Hudson River Bancorp, Inc. 51,564 1,044,171
* Hudson Technologies, Inc. 5,100 4,080
* Huffy Corp. 27,005 5,469
Hughes Supply, Inc. 34,438 1,132,321
* Human Genome Sciences, Inc. 44,310 487,410
* Hurco Companies, Inc. 5,600 89,656
*# Hutchinson Technology, Inc. 60,000 1,966,200
* Huttig Building Products, Inc. 5,300 45,739
* Hydril Co. 37,900 1,777,889
* Hypercom Corp. 119,200 724,736
* HyperFeed Technologies, Inc. 1,450 3,987
* Hyperion Solutions Corp. 66,313 2,971,486
* I-Flow Corp. 46,800 960,804
* I-many, Inc. 47,700 64,395
* I-Sector Corp. 10,400 75,920
*# I-Trax, Inc. 58,600 77,352
*# I.C. Isaacs & Co., Inc. 7,200 27,000
IBERIABANK Corp. 18,953 1,224,364
* Ibis Technology Corp. 22,500 57,150
*# iCAD, Inc. 3,600 17,280
* ICO, Inc. 14,320 43,390
* ICT Group, Inc. 19,274 164,793
*# ICU Medical, Inc. 31,250 779,687
IDACORP, Inc. 87,800 2,828,916
* Identix, Inc. 201,112 1,594,818
* IDT Corp. 45,278 664,228
* IDT Corp. Class B 40,900 628,633
* IDX Systems Corp. 69,851 $ 2,453,167
* iGATE Capital Corp. 118,527 474,108
* IGI, Inc. 2,100 2,436
* Igo Escrow Share 4,100 0
IHOP Corp. 46,500 1,970,205
* II-VI, Inc. 33,370 1,439,915
IKON Office Solutions, Inc. 136,960 1,544,909
* ILEX Oncology, Inc. 62,400 1,551,264
* Illumina, Inc. 86,842 659,999
# ILX Resorts, Inc. 2,900 33,698
* Image Entertainment, Inc. 42,000 254,940
*# ImageWare Systems, Inc. 5,500 16,060
Imation Corp. 80,600 2,596,126
* IMCO Recycling, Inc. 30,900 499,344
*# Immersion Corp. 53,700 287,832
*# Immtech International, Inc. 25,000 350,250
* Immucor, Inc. 68,812 2,212,306
* ImmunoGen, Inc. 91,853 718,290
* Immunomedics, Inc. 124,400 349,564
* IMPAC Medical Systems, Inc. 10,400 174,200
* Impath, Inc. 21,600 97,200
* Impax Laboratoroes, Inc. 128,644 1,610,623
* IMPCO Technologies, Inc. 42,920 284,989
*# Imperial Sugar Co. 14,551 0
* Imperial Sugar Co. 22,020 431,372
* Implant Sciences Corp. 16,600 179,114
* Impreso, Inc. 5,300 13,563
* Incyte Corp. 166,230 1,707,182
Independence Holding Co. 4,950 89,545
Independent Bank Corp. MA 35,203 1,216,616
Independent Bank Corp. MI 47,745 1,437,124
* Indevus Pharmaceuticals, Inc. 105,694 730,346
* Index Development Partners, Inc. 4,600 3,358
* Indus International, Inc. 34,900 66,310
* Industrial Distribution Group, Inc. 20,600 169,559
* INEI Corp. 100 53
Infinity Property & Casualty Corp. 45,546 1,685,202
*# Infinity, Inc. 20,698 131,619
*# Infocrossing, Inc. 41,991 705,449
* InFocus Corp. 87,989 589,526
* Infonet Services Corp. 133,400 265,466
* Informatica Corp. 198,300 1,546,740
*# Information Architects Corp. 1,080 130
* Inforte Corp. 24,600 166,296
* Infosonics Corp. 2,400 8,016
* InfoSpace, Inc. 64,046 2,837,238
* infoUSA, Inc. 122,875 1,352,854
Ingles Market, Inc. Class A 25,480 325,889
* InKine Pharmaceutical Co., Inc. 21,400 112,029
* Innodata Isogen, Inc. 51,300 357,561
* Innotrac Corp. 11,600 98,020
* Innovative Clinical Solutions, Ltd. 968 5
* Innovative Solutions & Support, Inc. 12,700 388,747
* Innovex, Inc. 41,600 207,584
* Input/Output, Inc. 175,100 1,535,627
* Insight Communications Co., Inc. 109,775 929,794
* Insight Enterprises, Inc. 108,179 2,188,461
* Insightful Corp. 6,300 17,262
* Insignia Systems, Inc. 19,250 23,677
*# Insite Vision, Inc. 18,000 11,880
* Insituform Technologies, Inc. Class A 61,519 1,435,853
55
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*# Insmed, Inc. 69,118 $ 108,515
* Inspire Pharmaceuticals, Inc. 86,569 1,550,451
* Instinet Group, Inc. 36,500 218,635
* Insurance Auto Auctions, Inc. 26,561 589,389
* InsWeb Corp. 1,633 4,034
Integra Bank Corp. 39,881 912,477
*# Integra LifeSciences Holdings 66,200 2,250,138
Integral Systems, Inc. 9,200 183,908
* Integral Vision, Inc. 2,200 3,190
* IntegraMed America, Inc. 3,100 21,731
*# Integrated Biopharma, Inc. 27,200 193,392
* Integrated Device Technology, Inc. 230,013 2,610,648
* Integrated Electrical Services, Inc. 76,000 229,520
* Integrated Information Systems, Inc. 820 107
* Integrated Silicon Solution, Inc. 79,894 611,988
*# Intelli-Check, Inc. 22,600 91,530
* Intellidata Technologies Corp. 46,978 18,321
* Intelligent Systems Corp. 4,500 10,350
* Intelligroup, Inc. 31,400 42,704
*# Intellisync Corp. 122,786 221,015
Inter Parfums, Inc. 18,550 310,341
* Interactive Intelligence, Inc. 34,900 151,815
Interchange Financial Services Corp. 12,600 336,420
* Interdigital Communications Corp. 126,900 2,582,415
* Interep National Radio Sales, Inc. 700 560
* Interface, Inc. Class A 100,306 993,029
* Interferon Scientific, Inc. 2,435 79
* Intergraph Corp. 84,200 2,206,040
* Interland, Inc. 36,110 113,385
* Interlink Electronics, Inc. 9,700 87,009
* Intermagnetics General Corp. 64,342 1,896,159
Intermet Corp. 47,300 6,149
* InterMune, Inc. 74,700 927,027
International Aluminum Corp. 2,100 69,090
* International Microcomputer Software,
Inc. 5,100 5,253
* International Shipholding Corp. 6,100 91,439
*# Internet Commerce Corp. 4,000 5,400
* Internet Security Systems, Inc. 108,600 2,629,206
*# Interpharm Holdings, Inc. 53,300 162,565
* Interphase Corp. 5,400 37,800
Interpool, Inc. 38,000 811,300
# Interstate Bakeries Corp. 81,300 469,507
* Interstate Hotels & Resorts, Inc. 53,840 255,740
Inter-Tel, Inc. 59,300 1,679,376
* Intervoice, Inc. 82,818 1,076,634
* Interwoven, Inc. 89,707 870,158
* Intest Corp. 8,600 41,710
* Intevac, Inc. 12,000 84,600
* IntraBiotics Pharmaceuticals, Inc. 19,300 70,831
* Intrado, Inc. 37,300 504,296
* Intraware, Inc. 14,200 16,472
*# Introgen Therapeutics, Inc. 61,186 427,078
* Intrusion, Inc. 4,050 5,836
* Intuitive Surgical, Inc. 77,423 2,781,808
Invacare Corp. 54,300 2,742,693
* Inverness Medical Innovations, Inc. 7,461 181,302
* Investment Technology Group, Inc. 102,900 1,724,604
* INVESTools, Inc. 8,483 24,516
Investors Title Co. 1,400 49,077
*# Invision Technologies, Inc. 27,200 1,318,656
* Iomed, Inc. 15,100 $ 36,240
* Iomega Corp. 117,495 534,602
* Ion Networks, Inc. 100 26
*# Ionatron, Inc. 17,500 168,000
*# Ionics, Inc. 52,000 2,246,920
* iPass, Inc. 41,500 269,335
*# IPIX Corp. 4,350 28,275
* Iridex Corp. 6,800 27,676
* IRIS International, Inc. 36,024 296,874
Irwin Financial Corp. 65,200 1,734,972
* Isis Pharmaceuticals, Inc. 126,800 598,496
*# Island Pacific, Inc. 73,700 29,480
* Isle of Capri Casinos, Inc. 66,464 1,630,362
*# Isolagen, Inc. 78,000 592,020
* Ista Pharmaceuticals, Inc. 35,300 353,353
* Iteris, Inc. 520 1,825
* ITLA Capital Corp. 5,800 316,854
* Itron, Inc. 48,200 1,043,530
* iVillage, Inc. 155,622 738,426
* Ixia 133,647 1,884,423
* IXYS Corp. 72,524 673,748
* J & J Snack Foods Corp. 20,689 971,142
* J Net Enterprises, Inc. 8,400 22,260
* J. Alexander's Corp. 9,200 64,860
* J. Jill Group, Inc. 46,255 798,824
* j2 Global Communication, Inc. 53,432 1,862,105
* Jack in the Box, Inc. 81,000 3,060,180
* Jaclyn, Inc. 1,300 8,645
* Jaco Electronics, Inc. 5,659 24,506
* Jacuzzi Brands, Inc. 173,578 1,621,219
* Jakks Pacific, Inc. 57,326 1,067,410
* Jarden Corp. 63,150 2,423,065
* JDA Software Group, Inc. 63,412 831,965
* Jennifer Convertibles, Inc. 1,300 4,030
JLG Industries, Inc. 101,200 1,760,880
* JMAR Industries, Inc. 23,700 34,839
* Jo-Ann Stores, Inc. 48,975 1,347,792
* Johnson Outdoors, Inc. 6,700 135,541
* Jones Lang LaSalle, Inc. 74,900 2,688,910
*# Jos. A. Bank Clothiers, Inc. 30,800 810,040
* Journal Register Co. 95,800 1,811,578
* JPS Industries, Inc. 9,200 34,454
Juno Lighting, Inc. 980 39,298
* Jupitermedia Corp. 71,669 1,201,889
K-Swiss, Inc. Class A 59,200 1,603,846
* K-Tron International, Inc. 2,400 60,240
* K-V Pharmaceutical Co. Class A 76,050 1,429,740
* K-V Pharmaceutical Co. Class B 20,975 415,305
* K2, Inc. 107,263 1,810,599
* Kadant, Inc. 30,320 613,980
Kaman Corp. Class A 49,600 595,200
* Kansas City Southern 144,200 2,452,842
* Katy Industries, Inc. 8,300 44,820
Kaydon Corp. 61,700 2,004,016
* KBK Capital Corp. 2,000 1,500
* KCS Energy, Inc. 112,200 1,607,826
* Keane, Inc. 142,064 2,201,992
* Keith Companies, Inc. 11,400 194,370
Keithley Instruments, Inc. 32,300 611,116
Kellwood Co. 62,676 2,181,752
Kelly Services, Inc. Class A 70,048 2,129,459
56
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* Kemet Corp. 198,923 $ 1,762,458
* Kendle International, Inc. 29,103 241,264
Kennametal, Inc. 31,100 1,595,430
* Kennedy-Wilson, Inc. 8,800 63,140
Kenneth Cole Productions, Inc.
Class A 27,250 804,420
*# Kensey Nash Corp. 26,454 826,952
* Kera Vision, Inc. 4,300 9
Kewaunee Scientific Corp. 2,000 18,180
* Key Energy Group, Inc. 248,100 3,106,212
* Key Technology, Inc. 4,700 44,791
* Key Tronic Corp. 8,600 27,262
* Keynote Systems, Inc. 18,600 236,778
* Keystone Automotive Industries, Inc. 34,474 807,726
* Keystone Consolidated Industries,
Inc. 2,100 126
* Kforce, Inc. 83,910 1,005,242
*# KFX, Inc. 133,800 2,015,028
Kimball International, Inc. Class B 53,700 800,130
* Kindred Healthcare, Inc. 82,978 2,265,299
* Kirby Corp. 56,500 2,571,880
* Kirkland's, Inc. 17,200 165,120
Knape & Vogt Manufacturing Co. 2,290 28,442
* Knight Trading Group, Inc. 184,336 2,103,274
* Knight Transportation, Inc. 129,653 3,124,637
* Koala Corp. 6,500 617
* Komag, Inc. 62,409 1,045,351
* Kopin Corp. 159,791 648,751
* Korn/Ferry International 88,900 1,656,207
*# Kos Pharmaceuticals, Inc. 81,100 3,452,427
* Kosan Biosciences, Inc. 66,524 428,415
Koss Corp. 3,600 72,000
*# Krispy Kreme Doughnuts, Inc. 140,800 1,417,856
Kronos Worldwide, Inc. 9,860 452,574
* Kronos, Inc. 59,000 2,981,860
* Kulicke & Soffa Industries, Inc. 117,834 881,398
* KVH Industries, Inc. 33,228 335,603
* Kyphon, Inc. 90,100 2,167,806
* La Jolla Pharmceutical Co. 132,600 186,966
La-Z-Boy, Inc. 116,000 1,780,600
* LaBarge, Inc. 34,600 415,200
* LabOne, Inc. 39,284 1,184,413
* Labor Ready, Inc. 95,400 1,514,952
* LaBranche & Co., Inc. 106,600 853,866
Laclede Group, Inc. 47,800 1,539,160
* LaCrosse Footwear, Inc. 5,800 57,130
* Ladish Co., Inc. 19,500 215,085
Lakeland Bancorp, Inc. 13,119 238,110
* Lakeland Industries, Inc. 2,420 47,553
* Lakes Entertainment, Inc. 37,650 525,217
Lance, Inc. 68,100 1,269,384
* Lancer Corp. 9,325 109,942
LandAmerica Financial Group, Inc. 41,800 2,232,120
Landauer, Inc. 20,500 950,790
* Landec Corp. 53,190 334,033
Landry's Restaurants, Inc. 63,500 1,876,425
* Lannet Co., Inc. 53,030 492,118
* Lantronix, Inc. 15,000 14,700
*# Large Scale Biology Corp. 42,800 46,224
*# LaserCard Corp. 26,290 261,323
* Laserscope 47,450 1,543,074
* Lattice Semiconductor Corp. 233,351 $ 1,245,628
* Laureate Education, Inc. 51,951 2,046,350
Lawson Products, Inc. 9,600 468,960
* Lawson Software, Inc. 218,408 1,349,761
* Layne Christensen Co. 11,600 225,040
* Lazare Kaplan International, Inc. 8,700 86,130
LCA-Vision, Inc. 30,950 1,015,160
* LCC International, Inc. Class A 45,100 229,559
* Learning Care Group, Inc. 5,200 15,860
* Learning Tree International, Inc. 38,381 503,943
* LeCroy Corp. 10,100 216,241
* Lectec Corp. 3,900 3,997
Leesport Financial Corp. 525 11,980
Lennox International, Inc. 138,405 2,489,906
* Lesco, Inc. 18,300 219,600
*# Level 8 Systems, Inc. 3,729 268
Levitt Corp. Class A 42,421 1,090,644
*# Lexar Media, Inc. 175,097 1,381,515
* Lexicon Genetics, Inc. 145,818 1,025,101
Libbey, Inc. 31,600 662,652
* Liberate Technologies, Inc. 106,300 239,706
Liberty Corp. 43,200 1,883,520
Liberty Homes, Inc. Class A 200 1,005
* Lifecell Corp. 64,900 671,066
* Lifecore Biomedical, Inc. 29,730 303,543
* Lifeline Systems, Inc. 8,200 221,810
Lifetime Hoan Corp. 24,349 330,903
*# Ligand Pharmaceuticals, Inc. Class B 170,000 1,904,000
* Lightbridge, Inc. 56,621 265,552
* Lightning Rod Software, Inc. 580 783
* LightPath Technologies, Inc. 1,850 7,677
* Lin TV Corp. 59,000 1,063,180
Lincoln Electric Holdings, Inc. 89,362 3,207,202
Lindsay Manufacturer Co. 27,100 762,594
* Linens 'n Things, Inc. 102,500 2,546,100
* Lionbridge Technologies, Inc. 66,322 365,434
*# Lipid Sciences, Inc. 56,608 261,529
*# Liquidmetal Technologies, Inc. 68,495 146,922
Lithia Motors, Inc. Class A 34,610 878,402
* Littlefuse, Inc. 51,200 1,997,824
* LMI Aerospace, Inc. 7,900 58,381
LNB Bancorp, Inc. 1,200 24,036
LNR Property Corp. 38,000 2,376,900
* Lodgenet Entertainment Corp. 40,501 624,525
* Lodgian, Inc. 51 541
* Logic Devices, Inc. 6,700 8,978
* LogicVision, Inc. 28,200 58,374
* Logility, Inc. 13,200 54,516
* LoJack Corp. 35,600 374,512
Lone Star Steakhouse & Saloon, Inc. 45,746 1,234,685
* Lone Star Technologies, Inc. 66,800 2,097,520
Longs Drug Stores Corp. 86,100 2,298,870
Longview Fibre Co. 114,100 1,983,058
* LookSmart, Ltd. 191,367 380,629
* LOUD Technologies, Inc. 12,400 24,180
Louisiana-Pacific Corp. 20,700 506,529
Lowrance Electronics, Inc. 6,692 204,842
LSB Bancshares, Inc. 5,156 86,879
LSB Corp. 4,300 79,378
LSI Industries, Inc. 45,527 452,538
* LTX Corp. 133,900 956,046
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* Luby's, Inc. 49,900 $ 356,286
Lufkin Industries, Inc. 6,400 257,664
* Luminex Corp. 71,552 644,684
* Lydall, Inc. 35,600 398,008
* Lynch Corp. 1,500 21,000
* Lynch Interactive Corp. 2,800 85,260
* M&F Worldwide Corp. 41,600 542,880
* M-Wave, Inc. 2,900 4,118
M/I Homes, Inc. 31,300 1,415,073
MacDermid, Inc. 68,800 2,533,216
*# Mace Security International, Inc. 11,200 63,280
* Mac-Gray Corp. 12,600 96,390
* Macromedia, Inc. 68,567 1,956,217
* Macrovision Corp. 113,693 3,018,549
* Madden (Steven), Ltd. 28,000 528,080
MAF Bancorp, Inc. 50,527 2,319,189
* Magic Lantern Group, Inc. 1,700 697
* Magma Design Automation, Inc. 80,483 1,091,349
* Magna Entertainment Corp. 21,200 127,200
* Magnetek, Inc. 63,800 421,718
* Magnum Hunter Resources, Inc. 199,602 2,674,667
* MAI Systems Corp. 500 80
Main Street Banks, Inc. 43,014 1,362,684
* Main Street Restaurant Group, Inc. 25,200 36,540
Maine & Maritimes Corp. 1,600 40,800
* MAIR Holdings, Inc. 44,116 405,867
* Major Automotive Companies, Inc. 3,280 2,624
* Management Network Group, Inc. 52,100 103,158
* Manatron, Inc. 1,102 8,817
* Manchester Technologies, Inc. 8,000 39,200
* Manhattan Associates, Inc. 67,694 1,644,964
# Mannatech, Inc. 13,500 310,500
*# Manning (Greg) Auctions, Inc. 9,200 105,524
* Manugistic Group, Inc. 163,000 448,250
* MAPICS, Inc. 58,456 568,192
* Mapinfo Corp. 44,823 535,635
Marine Products Corp. 25,530 668,886
* MarineMax, Inc. 36,075 1,060,605
* Marisa Christina, Inc. 6,700 8,308
Maritrans, Inc. 7,800 140,790
* MarketWatch, Inc. 55,490 1,006,589
MarkWest Hydrocarbon, Inc. 10,285 180,605
* Marlton Technologies, Inc. 7,800 5,460
Marsh Supermarkets, Inc. Class A 1,600 19,024
Marsh Supermarkets, Inc. Class B 4,500 57,555
* Martek Biosciences Corp. 17,003 660,907
* Marten Transport, Ltd. 9,450 207,427
*# Martha Stewart Living Omnimedia,
Inc. 45,800 1,081,796
MASSBANK Corp. 4,700 174,370
# Massey Energy Co. 42,400 1,489,088
* Mastec, Inc. 109,250 916,607
* Material Sciences Corp. 32,900 550,088
* Matria Healthcare, Inc. 23,769 831,915
* Matritech, Inc. 30,500 30,500
* Matrix Bancorp, Inc. 6,500 78,000
* Matrix Service Co. 37,400 278,630
* MatrixOne, Inc. 116,844 772,339
* Matrixx Initiatives, Inc. 20,800 284,752
Matthews International Corp. Class A 74,200 2,735,754
* Mattson Technology, Inc. 114,345 1,069,126
* Maui Land & Pineapple Co., Inc. 10,200 $ 332,520
* Maverick Tube Corp. 97,800 3,100,260
* Max & Erma's Restaurants, Inc. 2,300 30,647
* Maxco, Inc. 3,100 10,819
Maxcor Financial Group, Inc. 14,572 132,605
*# Maxim Pharmaceuticals, Inc. 60,133 174,987
* Maximus, Inc. 49,900 1,563,367
* Maxtor Corp. 163,300 623,806
* Maxwell Technologies, Inc. 33,260 357,212
* Maxxam, Inc. 8,900 266,911
* Maxygen, Inc. 78,852 795,617
* Mayor's Jewelers, Inc. 20,300 12,789
* Mays (J.W.), Inc. 200 2,855
MB Financial, Inc. 65,964 2,783,681
MBT Financial Corp. 38,461 917,295
* McDATA Corp. 178,101 1,006,271
MCG Capital Corp. 99,434 1,690,378
McGrath Rentcorp. 27,307 1,153,994
* McMoran Exploration Co. 53,764 843,557
McRae Industries, Inc. Class A 2,600 36,400
* MDI, Inc. 14,000 12,320
* Meade Instruments Corp. 43,632 138,313
* Meadow Valley Corp. 2,400 6,396
* Meadowbrook Insurance Group, Inc. 61,300 310,791
* Measurement Specialties, Inc. 12,900 329,079
*# Mechanical Technology, Inc. 4,700 25,944
* Medallion Finanacial Corp. 3,943 37,025
*# Medarex, Inc. 182,170 1,985,653
* MedCath Corp. 39,049 848,144
*# Med-Design Corp. 28,300 34,243
Media General, Inc. Class A 6,100 379,420
* Media Services Group, Inc. 471 6,788
* MediaBay, Inc. 7,050 7,825
* Mediacom Communications Corp. 197,918 1,033,132
*# Medialink Worldwide, Inc. 5,900 18,402
* Medical Action Industries, Inc. 23,600 466,808
* Medical Staffing Network Holdings,
Inc. 69,500 598,395
* Medicore, Inc. 3,800 25,498
*# Medifast, Inc. 25,000 86,000
* MedQuist, Inc. 64,700 784,487
* MEDTOX Scientific, Inc. 7,545 58,474
* Memry Corp. 9,800 27,440
# Mentor Corp. 97,400 3,005,764
* Mentor Graphics Corp. 164,927 2,069,834
Mercantile Bank Corp. 1,260 51,408
Merchants Bancshares, Inc. 6,150 182,655
Merchants Group, Inc. 1,300 31,525
Mercury Air Group, Inc. 4,950 19,552
* Mercury Computer Systems, Inc. 47,800 1,505,700
*# Merge Technologies, Inc. 29,894 576,057
Meridian Bioscience, Inc. 32,812 543,039
* Meridian Resource Corp. 174,200 1,189,786
* Merit Medical Systems, Inc. 60,576 688,143
* Meritage Homes Corp. 28,500 2,667,600
* Merix Corp. 42,313 460,365
* Merrimac Industries, Inc. 2,860 26,312
* Mesa Air Group, Inc. 72,635 509,898
Mesa Laboratories, Inc. 3,300 38,775
* Mestek, Inc. 5,400 97,848
* Meta Group, Inc. 12,700 67,564
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* Metal Management, Inc. 51,500 $ 1,353,420
* Metals USA, Inc. 44,580 835,875
* MetaSolv, Inc. 88,200 215,208
Methode Electronics, Inc. 34,100 450,120
Met-Pro Corp. 8,100 106,920
* Metris Companies, Inc. 133,500 1,545,930
* Metro One Telecommunications, Inc. 39,650 66,612
MetroCorp. Bancshares, Inc. 7,000 151,550
* Metrologic Instruments, Inc. 49,600 1,013,328
MFB Corp. 1,300 36,790
* MFRI, Inc. 4,900 34,300
MGE Energy, Inc. 45,527 1,568,860
MGP Ingredients, Inc. 29,455 275,110
* Michael Anthony Jewelers, Inc. 7,400 15,207
* Micrel, Inc. 210,473 2,247,852
* Micro Component Technology, Inc. 10,752 6,989
* Micro Linear Corp. 16,000 73,760
* Micro Therapeutics, Inc. 91,922 365,850
* MicroFinancial, Inc. 15,200 59,432
* Micromuse, Inc. 117,493 617,778
* Micros Systems, Inc. 42,452 3,114,703
* Microsemi Corp. 137,100 2,440,380
* MicroStrategy, Inc. 27,800 1,794,490
* Microtek Medical Holdings, Inc. 99,116 404,393
* Microtune, Inc. 103,247 617,417
*# Microvision, Inc. 49,423 376,109
* Midas, Inc. 36,100 697,091
Middleby Corp. 21,087 1,210,816
Middlesex Water Co. 8,400 167,160
Midland Co. 6,600 209,880
Mid-State Bancshares 52,303 1,560,722
*# Midway Games, Inc. 193,600 2,098,624
* Midwest Air Group, Inc. 40,100 120,300
Midwest Banc Holdings, Inc. 39,765 917,776
* Mikohn Gaming Corp. 50,575 412,186
* Milacron, Inc. 162,405 485,591
* Milestone Scientific, Inc. 16,300 27,710
*# Millennium Cell, Inc. 58,900 53,599
* Millennium Chemicals, Inc. 101,800 2,705,844
* Miller Industries, Inc. 9,280 102,173
* MIM Corp. 49,200 318,324
* Mindspeed Technologies, Inc. 177,775 444,437
Mine Safety Appliances Co. 66,700 3,161,580
Minerals Technologies, Inc. 46,100 3,058,735
* MIPS Technologies, Inc. 94,700 828,625
* Miravant Medical Technologies 1,800 1,800
* Misonix, Inc. 14,600 92,126
* Mission Resources Corp. 93,700 581,877
* Mitcham Industries, Inc. 19,500 146,250
* Mitek Systems, Inc. 11,100 5,328
* Mity Enterprises, Inc. 5,000 74,750
* MKS Instruments, Inc. 114,307 1,942,076
* Mobile Mini, Inc. 33,515 1,015,169
* Mobility Electronics, Inc. 64,640 627,654
* Mobius Management Systems, Inc. 17,100 136,800
Mocon, Inc. 5,500 50,820
Modine Manufacturing Co. 79,595 2,558,979
* Mod-Pac Corp. 2,750 33,275
* Mod-Pac Corp. Class B 1,112 13,455
* Modtech Holdings, Inc. 29,763 242,866
* Moldflow Corp. 24,456 342,384
* Molecular Devices Corp. 34,540 $ 726,376
Monaco Coach Corp. 66,850 1,330,315
* Monarch Casino & Resort, Inc. 8,000 279,360
* Mondavi (Robert) Corp. Class A 22,500 1,266,750
* Monolithic System Technology, Inc. 49,133 229,451
* Monro Muffler Brake, Inc. 12,300 301,965
* Monterey Pasta Co. 32,100 102,720
* Moog, Inc. Class A 19,200 806,784
* Moog, Inc. Class B 3,300 140,580
* Morgan Group Holding Co. 200 17
* Morgan's Foods, Inc. 900 720
* Mossimo, Inc. 16,600 59,926
* Mothers Work, Inc. 10,754 138,619
* Motorcar Parts of America, Inc. 2,500 18,337
Movado Group, Inc. 41,200 758,080
Movie Gallery, Inc. 70,399 1,227,055
* MPS Group, Inc. 242,100 2,726,046
* MPW Industrial Services Group, Inc. 5,000 12,250
* MRO Software, Inc. 56,835 730,330
* MRV Communications, Inc. 238,481 920,298
* MSC.Software Corp. 63,900 607,689
* MTC Technologies, Inc. 14,800 454,952
*# MTI Technology Corp. 1,300 2,522
* MTM Technologies, Inc. 4,900 20,580
* MTR Gaming Group, Inc. 62,478 628,529
MTS Systems Corp. 46,987 1,426,055
Mueller Industries, Inc. 83,545 2,567,338
* Multi-Color Corp. 2,250 36,675
*# Multimedia Games, Inc. 69,235 905,594
MutualFirst Financial, Inc. 2,000 47,100
Myers Industries, Inc. 73,319 830,704
* Mykrolis Corp. 95,900 1,175,734
* Myriad Genetics, Inc. 67,457 1,297,873
Mystic Financial, Inc. 1,575 64,575
* Nabi Biopharmaceuticals 133,750 1,926,000
NACCO Industries, Inc. Class A 6,500 711,685
*# Nanogen, Inc. 76,740 344,563
* Nanometrics, Inc. 28,294 460,343
*# Nanophase Technologies Corp. 40,098 247,405
*# Napco Security Systems, Inc. 5,160 51,084
Nara Bancorp, Inc. 53,611 1,112,964
Nash Finch Co. 26,640 988,610
* Nashua Corp. 5,800 60,900
* Nassda Corp. 56,005 239,701
*# Nastech Pharmaceutical Co., Inc. 31,000 470,580
* NATCO Group, Inc. Class A 16,800 142,464
* Nathan's Famous, Inc. 7,000 58,450
National Beverage Corp. 36,200 340,642
* National Dentex Corp. 3,500 91,385
National Home Health Care Corp. 5,465 62,793
* National Medical Health Card Systems,
Inc. 12,600 269,514
* National Patent Development Corp. 14,560 25,043
National Penn Bancshares, Inc. 76,610 2,206,368
National Presto Industries, Inc. 6,800 308,312
* National Research Corp. 7,000 112,000
* National RV Holdings, Inc. 21,800 212,114
* National Technical Systems, Inc. 8,600 45,666
* National Western Life Insurance Co.
Class A 1,000 162,190
* Natrol, Inc. 10,000 33,800
59
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* Natural Alternatives International, Inc. 5,400 $ 50,760
* Nature Vision, Inc. 500 3,245
Nature's Sunshine Products, Inc. 34,704 580,945
* Natus Medical, Inc. 39,200 282,240
Nautilus Group, Inc. 75,300 1,640,787
* Navarre Corp. 61,460 1,046,664
* Navidec, Inc. 544 2,339
* Navigant Consulting, Inc. 108,100 2,524,135
* Navigant International, Inc. 33,014 362,494
* Navigators Group, Inc. 26,984 762,298
NBT Bancorp, Inc. 73,455 1,865,022
* NCI Building Systems, Inc. 46,700 1,732,570
* NCO Group, Inc. 73,284 1,840,174
NDCHealth Corp. 82,800 1,563,264
* NeighborCare, Inc. 73,800 2,073,042
* Nektar Therapeutics 189,283 3,536,753
Nelson (Thomas), Inc. 30,100 743,470
* Neoforma, Inc. 43,914 326,281
* Neogen Corp. 7,625 165,005
* NeoMagic Corp. 55,978 47,581
* NEON Systems, Inc. 8,600 31,648
* Neopharm, Inc. 53,617 624,638
* Neose Technologies, Inc. 55,701 389,350
* Neoware Systems, Inc. 34,400 301,344
* NES Rentals Holdings, Inc. 36 398
* Net Perceptions, Inc. 22,600 20,566
* Net2Phone, Inc. 101,300 347,459
NetBank, Inc. 57,533 590,864
*# Netflix, Inc. 114,882 1,307,357
* Netguru, Inc. 17,200 20,812
* NetIQ Corp. 126,387 1,550,768
* NetManage, Inc. 10,442 59,519
* Netopia, Inc. 43,200 131,760
* NetRatings, Inc. 76,531 1,530,620
* Netscout System, Inc. 66,250 501,513
* Network Engines, Inc. 66,100 154,013
* Network Equipment Technologies, Inc. 55,900 531,609
*# Network Plus Corp. 14,500 12
*# Neurobiological Technologies, Inc. 2,700 11,580
* Neurogen Corp. 75,807 663,311
Nevada Chemicals, Inc. 2,500 17,575
* Nevada Gold & Casinos, Inc. 28,050 307,989
* New Brunswick Scientific Co., Inc. 7,660 41,364
* New Century Equity Holdings Corp. 100 33
New Hampshire Thrift Bancshares,
Inc. 200 5,826
* New Horizons Worldwide, Inc. 12,400 43,152
New Jersey Resources Corp. 63,600 2,766,600
* NewMarket Corp. 37,900 727,301
NewMil Bancorp, Inc. 4,400 132,484
* Newpark Resources, Inc. 193,000 1,103,960
* Newport Corp. 90,418 1,115,758
* Newtek Business Services, Inc. 73,088 300,026
Niagara Corp. 8,200 65,190
* NIC, Inc. 136,278 626,197
* Nitches, Inc. 864 5,676
NL Industries, Inc. 109,476 2,473,063
* NMS Communications Corp. 107,400 686,071
* NMT Medical, Inc. 11,500 48,760
NN, Inc. 20,217 257,565
* Nobel Learning Communities, Inc. 6,500 47,125
Nobility Homes, Inc. 4,100 $ 88,560
Noble International, Ltd. 21,160 417,085
* Noel Group, Inc. 8,000 52
# Noland Co. 200 8,636
Nordson Corp. 79,799 3,037,150
* Norstan, Inc. 29,700 113,751
* North America Galvanizing & Coatings,
Inc. 6,700 12,998
* North American Scientific, Inc. 36,050 162,225
North Central Bancshares, Inc. 1,700 66,003
North Pittsburgh Systems, Inc. 33,006 828,121
Northeast Bancorp 900 20,430
Northeast Pennsylvania Financial
Corp. 4,400 74,756
Northern Technologies International
Corp. 3,000 21,900
*# Northfield Laboratories, Inc. 49,185 919,760
* Northland Cranberries, Inc. 100 81
Northrim BanCorp, Inc. 6,068 138,360
*# Northwest Airlines Corp. 194,645 1,993,165
Northwest Bancorp, Inc. 108,276 2,801,100
Northwest Natural Gas Co. 62,900 2,129,794
* Northwest Pipe Co. 6,300 120,330
* NovaMed, Inc. 48,500 230,375
* Novatel Wireless, Inc. 61,102 1,286,808
* Novavax, Inc. 87,000 297,540
* Noven Pharmaceuticals, Inc. 53,808 983,610
* Novoste Corp. 29,400 39,690
* NPS Pharmaceuticals, Inc. 88,900 1,592,199
* NS Group, Inc. 48,300 1,070,328
* NTN Communications, Inc. 117,993 325,661
* Nu Horizons Electronics Corp. 37,100 307,967
Nu Skin Enterprises, Inc. Class A 125,000 2,810,000
*# Nucentrix Broadband Networks, Inc.
Escrow Shares 10,400 0
* NuCo2, Inc. 16,000 396,800
NUI Corp. 31,692 434,180
* NumereX Corp. Class A 10,800 51,624
* Nutraceutical International Corp. 26,864 430,630
* Nutri/System, Inc. 15,300 38,097
* Nutrition 21, Inc. 3,500 3,500
* Nuvelo, Inc. 70,322 685,640
NWH, Inc. 4,200 62,790
* NYFIX, Inc. 62,314 398,186
NYMAGIC, Inc. 8,700 213,411
* O'Charleys, Inc. 47,362 899,878
* O.I. Corp. 2,700 29,103
Oak Hill Financial, Inc. 3,000 114,270
Oakley, Inc. 157,200 1,909,980
* Obie Media Corp. 5,900 40,415
*# OCA, Inc. 112,051 640,932
* Oceaneering International, Inc. 57,900 2,223,360
OceanFirst Financial Corp. 29,080 737,469
* Ocular Sciences, Inc. 44,300 2,140,310
* Ocwen Financial Corp. 144,234 1,345,703
* Odd Job Stores, Inc. 12,700 28,575
* Odyssey Healthcare, Inc. 80,600 1,076,010
* Odyssey Marine Exploration, Inc. 42,600 115,020
* Offshore Logistics, Inc. 52,600 1,993,540
* Oglebay Norton Co. 900 261
* Ohio Casualty Corp. 135,349 2,907,297
60
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* Oil States International, Inc. 113,631 $ 2,314,663
Oil-Dri Corp. of America 4,200 67,200
* Old Dominion Freight Line, Inc. 56,148 1,760,240
Olin Corp. 153,652 3,486,364
* Olympic Steel, Inc. 21,000 567,000
* OM Group, Inc. 63,700 1,958,138
Omega Financial Corp. 8,200 289,542
* Omega Protein Corp. 52,600 442,366
* OMNI Energy Services Corp. 25,300 74,129
* Omnicell, Inc. 57,252 615,459
*# OmniVision Technologies, Inc. 125,600 2,240,704
* Omnova Solutions, Inc. 13,900 79,369
* Omtool, Ltd. 3,570 29,488
* On Assignment, Inc. 53,900 281,358
* ON Semiconductor Corp. 571,551 2,086,161
* On2 Technologies, Inc. 53,300 28,249
* One Price Clothing Stores, Inc. 2,957 9
*# Oneida, Ltd. 28,700 72,611
* Online Resources Corp. 41,700 293,985
Onyx Acceptance Corp. 5,100 142,137
* Onyx Pharmacueticals, Inc. 78,300 2,449,224
* ONYX Software Corp. 31,950 105,116
* Opent Technologies, Inc. 45,100 389,664
* OpenTV Corp. 39,946 160,583
* Openwave Systems, Inc. 147,399 1,942,719
* Opinion Research Corp. 6,700 42,311
* Oplink Communications, Inc. 53,100 108,855
*# Opsware, Inc. 185,792 1,272,675
* OPTi, Inc. 11,600 16,704
* Optical Cable Corp. 11,500 62,330
* Optical Communication Products, Inc. 74,850 163,173
* Optical Sensors, Inc. 1,633 5,307
Option Care, Inc. 46,700 804,174
* OraSure Technologies, Inc. 102,450 733,542
* Orbit International Corp. 1,582 13,099
* Orbital Sciences Corp. 113,452 1,474,876
* Orchid Biosciences, Inc. 50,638 542,333
* Oregon Steel Mills, Inc. 78,700 1,415,026
* Orleans Homebuilders, Inc. 40,100 738,241
* Orphan Medical, Inc. 10,300 104,854
* Orthologic Corp. 77,505 444,104
* Oscient Pharmaceutical Corp. 156,600 510,516
OshKosh B'Gosh, Inc. Class A 21,100 432,550
* OSI Systems, Inc. 35,700 775,404
* Osteotech, Inc. 37,700 205,088
Otter Tail Corp. 58,560 1,577,021
Outlook Group Corp. 2,400 17,112
* Overland Storage, Inc. 30,275 449,584
Overseas Shipholding Group, Inc. 47,025 3,089,072
*# Overstock.com, Inc. 39,400 2,807,644
Owens & Minor, Inc. 90,500 2,511,375
# Oxford Industries, Inc. 38,500 1,570,800
* Oxigene, Inc. 12,600 70,195
* Oxis International, Inc. 7,900 4,503
* OYO Geospace Corp. 10,600 167,904
* P & F Industries, Inc. Class A 1,300 19,175
* P.A.M. Transportation Services, Inc. 20,550 417,165
*# P.F. Chang's China Bistro, Inc. 56,300 3,166,312
Pacific Capital Bancorp 88,500 2,921,385
* Pacific Mercantile Bancorp 5,900 83,662
* Pacific Premier Bancorp, Inc. 3,900 55,575
Packaging Dynamics Corp. 4,120 $ 58,957
* Packeteer, Inc. 74,100 963,300
* Pac-West Telecomm, Inc. 23,100 28,413
* Pain Therapeutics, Inc. 93,301 702,557
* PainCare Holdings, Inc. 87,900 254,910
* Palatin Technologies, Inc. 62 167
* Paligent, Inc. 347 69
* Palm Harbor Homes, Inc. 49,111 766,623
*# PalmOne, Inc. 39,630 1,388,635
* PalmSource, Inc. 32,881 520,835
* Palomar Medical Technologies, Inc. 34,879 785,824
Pamrapo Bancorp, Inc. 5,100 122,400
* Panavision, Inc. 3,600 22,500
*# Panera Bread Co. 62,925 2,513,225
* Pantry, Inc. 44,400 1,221,888
*# Papa John's International, Inc. 37,000 1,316,090
* Par Pharmaceutical Companies, Inc. 74,700 2,947,662
* PAR Technology Corp. 7,800 92,196
* Paradyne Networks Corp. 105,455 409,165
* Paragon Technologies, Inc. 4,200 40,194
* Parallel Petroleum Corp. 55,900 311,363
* Parametric Technology Corp. 515,069 3,013,154
* Parexel International Corp. 56,782 1,171,413
Park Bancorp, Inc. 1,200 38,100
Park Electrochemical Corp. 45,750 964,868
* Parker Drilling Co. 217,200 949,164
*# Parkervision, Inc. 24,821 184,916
* Park-Ohio Holdings Corp. 10,400 233,792
Parkvale Financial Corp. 5,700 177,897
* Parlex Corp. 13,800 84,180
* Parlux Fragrances, Inc. 9,900 177,507
Partners Trust Financial Group, Inc. 12,189 136,395
* Party City Corp. 38,691 494,858
* Path 1 Network Technologies, Inc. 14,600 50,516
* Pathmark Stores, Inc. 63,179 348,116
*# Patient Infosystems, Inc. 733 2,272
* Patrick Industries, Inc. 4,500 49,680
* Patriot Transportation Holding, Inc. 2,500 104,150
PAULA Financial 6,100 12,200
* Paxar Corp. 87,200 2,018,680
* Paxson Communications Corp. 118,700 137,692
* Payless Cashways, Inc. 160 0
* Payless ShoeSource, Inc. 149,800 1,749,664
* PC Connection, Inc. 50,350 353,961
* PC Mall, Inc. 25,664 623,635
* PC-Tel, Inc. 46,100 372,027
* PDF Solutions, Inc. 58,424 751,917
* PDI, Inc. 31,798 739,939
* PEC Solutions, Inc. 60,517 858,736
* Pediatric Services of America, Inc. 14,700 151,557
* Pediatrix Medical Group, Inc. 51,600 3,214,680
* Peerless Manufacturing Co. 3,000 44,850
* Peerless Systems Corp. 24,300 34,749
* Peet's Coffee & Tea, Inc. 30,739 777,082
*# Pegasus Communications Corp. 17,540 133,304
* Pegasus Solutions, Inc. 48,157 562,955
* Pegasystems, Inc. 77,938 565,830
* Pemco Aviation Group, Inc. 950 25,231
* Pemstar, Inc. 73,200 112,069
Penford Corp. 7,300 122,640
61
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Penn Engineering & Manufacturing
Corp. Class A 1,200 $ 19,356
Penn Engineering & Manufacturing
Corp. Non-Voting 15,000 287,250
* Penn National Gaming, Inc. 72,100 3,804,717
* Penn Treaty American Corp. 24,800 44,640
Penn Virginia Corp. 40,400 1,755,784
Penn-America Group, Inc. 31,000 459,110
Pennfed Financial Services, Inc. 14,800 254,264
Penns Woods Bancorp, Inc. 770 38,431
* Penwest Pharmaceuticals Co. 40,800 507,960
Peoples Bancorp, Inc. 300 6,510
Pep Boys - Manny, Moe & Jack 133,400 2,101,050
* Perceptron, Inc. 18,418 126,532
* Performance Food Group Co. 101,587 2,665,643
* Performance Technologies, Inc. 28,100 200,353
* Pericom Semiconductor Corp. 57,400 503,972
* Perini Corp. 55,100 823,745
Perrigo Co. 156,647 2,825,912
* Perry Ellis International, Inc. 20,500 391,345
* Per-Se Technologies, Inc. 66,100 911,519
* Pervasive Software, Inc. 55,039 219,606
* PetMed Express, Inc. 49,165 319,573
* Petrocorp, Inc. Escrow Shares 6,900 414
* Petroleum Development Corp. 35,833 1,473,453
PFF Bancorp, Inc. 38,400 1,735,680
* Pfsweb, Inc. 9 26
* Pharmacopia Drug Discovery, Inc. 26,450 152,881
* Pharmacyclics, Inc. 42,501 442,860
*# Pharmanetics, Inc. 7,200 7,272
* PharmChem, Inc. 5,000 98
*# Pharmos Corp. 6,200 24,800
* Philadelphia Consolidated Holding
Corp. 48,900 3,337,425
Phillips-Van Heusen Corp. 68,200 1,861,860
* Phoenix Gold International, Inc. 600 546
* Phoenix Technologies, Ltd. 53,036 430,122
* PhotoMedex, Inc. 49,800 112,050
* Photon Dynamics, Inc. 37,000 815,850
* Photronics, Inc. 74,900 1,411,116
* Physiometrix, Inc. 7,400 6,956
* Pico Holdings, Inc. 12,300 253,503
# Piedmont Natural Gas Co. 65,000 1,528,150
* Pinnacle Entertainment, Inc. 63,600 1,156,248
* Pinnacle Financial Partners, Inc. 8,390 204,129
* Pinnacle Systems, Inc. 152,500 796,050
* Pioneer Drilling Co. 1,500 14,475
* Piper Jaffray Companies, Inc. 44,000 2,024,440
* Pixelworks, Inc. 51,000 573,750
* Pizza Inn, Inc. 10,000 29,000
* Planar Systems, Inc. 32,300 344,318
* PLATO Learning, Inc. 49,466 345,767
* Play By Play Toys and Novelties, Inc. 100 0
* Playboy Enterprises, Inc. Class A 4,700 53,110
* Playboy Enterprises, Inc. Class B 65,600 793,760
* Playtex Products, Inc. 134,700 1,010,250
* Plexus Corp. 95,900 1,318,625
* Plug Power, Inc. 160,943 951,173
* PLX Technology, Inc. 57,038 513,912
* PMA Capital Corp. Class A 66,500 661,675
PNM Resources, Inc. 116,000 2,951,040
Pocahontas Bancorp, Inc. 4,400 $ 68,860
* Point Therapeutics, Inc. 660 3,227
* Point.360 9,000 22,140
PolyMedica Corp. 62,749 2,230,727
* PolyOne Corp. 94,200 869,466
* Pomeroy IT Solutions, Inc. 26,937 367,959
Pope & Talbot, Inc. 34,800 584,640
* Porta Systems Corp. 300 51
* Portal Software, Inc. 93,020 320,919
* Portfolio Recovery Associates, Inc. 33,905 1,271,438
* Possis Medical, Inc. 39,800 459,292
Potlatch Corp. 59,600 3,022,912
* Powell Industries, Inc. 19,159 309,801
* Power Intergrations, Inc. 68,000 1,341,640
PowerCerv Corp. 1,755 527
* Power-One, Inc. 183,961 1,690,602
* Powerwave Technologies, Inc. 228,645 1,849,281
* Pozen, Inc. 63,367 439,767
* PPT Vision, Inc. 6,800 5,984
* PRAECIS Pharmaceuticals, Inc. 100,404 211,852
Preformed Line Products Co. 1,200 33,900
* Premier Financial Bancorp 5,200 57,460
*# Premier Laser Systems, Inc. Class A 3,400 2
*# Pre-Paid Legal Services, Inc. 35,350 1,210,738
Presidential Life Corp. 64,892 1,084,345
* Presstek, Inc. 75,598 807,387
* Pressure BioSciences, Inc. 6,700 20,435
* PRG-Schultz International, Inc. 136,100 734,940
* Price Communications Corp. 124,070 2,246,908
*# Priceline.com, Inc. 89,216 2,129,586
*# Pricesmart, Inc. 15,300 121,635
* PRIMEDIA, Inc. 573,038 1,833,722
* Primus Telecommunications Group,
Inc. 144,612 438,174
* Princeton Review, Inc. 14,600 86,724
* Printronix, Inc. 5,800 97,672
* Priority Healthcare Corp. 85,139 1,779,405
* Private Business, Inc. 945 2,022
* ProAssurance Corp. 64,150 2,505,058
* Procom Technology, Inc. 5,400 7,128
* ProcureNet, Inc. 19,700 20
* Progenics Pharmaceuticals, Inc. 39,000 583,050
Programmers Paradise, Inc. 5,200 59,020
* Progress Software Corp. 79,800 1,811,460
* ProQuest Co. 62,700 1,696,035
Prosperity Bancshares, Inc. 48,041 1,362,443
* Protection One, Inc. 41,500 10,790
Providence & Worcester Railroad Co. 3,000 36,900
Provident Bancorp, Inc. 36,935 489,758
Provident Bankshares Corp. 72,693 2,670,741
Provident Financial Holdings, Inc. 8,325 243,090
Provident Financial Services, Inc. 16,553 321,625
* Province Healthcare Co. 88,825 1,993,233
* Proxim Corp. 6,726 27,644
* ProxyMed, Inc. 10,679 74,753
* PSS World Medical, Inc. 140,800 1,761,971
Psychemedics Corp. 5,225 66,619
* Psychiatric Solutions, Inc. 32,233 1,049,184
* PTEK Holdings, Inc. 156,737 1,650,441
Pulaski Financial Corp. 5,400 106,650
Pulitzer, Inc. 20,900 1,329,449
62
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* Pure World, Inc. 7,600 $ 12,920
* PW Eagle, Inc. 7,000 27,643
Pyramid Breweries, Inc. 5,700 12,255
QAD, Inc. 74,359 612,718
* QEP Co., Inc. 2,125 33,490
* QLT, Inc. 38,900 624,345
* QuadraMed Corp. 27,006 48,611
Quaker Chemical Corp. 20,320 491,744
Quaker Fabric Corp. 37,050 213,038
* Quality Dining, Inc. 11,400 35,796
* Quality Systems, Inc. 14,000 859,740
* Qualstar Corp. 5,500 25,080
Quanex Corp. 38,100 2,247,900
* Quanta Services, Inc. 255,600 1,970,676
* Quantum Corp. 91,700 262,262
* Quantum Fuel Systems Technologies
Worldwide, Inc. 67,520 419,299
* Quest Software, Inc. 201,277 3,115,768
* Questcor Pharmaceuticals, Inc. 26,800 14,740
* QuickLogic Corp. 54,600 133,224
* Quidel Corp. 69,535 448,501
* Quigley Corp. 24,006 193,968
* Quiksilver, Inc. 110,900 3,288,185
* Quinton Cardiology Systems, Inc. 29,800 305,450
* Quipp, Inc. 1,400 18,816
Quixote Corp. 19,291 404,339
*# Quokka Sports, Inc. 1,128 9
* Quovadx, Inc. 62,047 118,510
* R&B, Inc. 8,400 210,000
* R.H. Donnelley Corp. 56,100 3,068,670
* Radiant Systems, Inc. 64,344 401,507
* Radiologix, Inc. 46,500 174,375
* RadiSys Corp. 41,662 587,018
* Radyne ComStream, Inc. 9,500 69,170
* RailAmerica, Inc. 80,900 1,035,520
* Raindance Communictions, Inc. 74,896 173,010
Ralcorp Holdings, Inc. 64,200 2,645,040
* Ramtron International Corp. 49,000 180,320
Range Resources Corp. 152,500 3,162,850
* Rare Hospitality International, Inc. 74,550 2,233,518
Raven Industries, Inc. 39,810 854,721
* Rayovac Corp. 76,100 2,258,648
Raytech Corp. 16,400 30,340
* RC2 Corp. 44,191 1,382,736
* RCM Technologies, Inc. 10,500 53,550
*# RCN Corp. 82,600 6,112
* Reading International, Inc. Class A 18,149 152,633
* Reading International, Inc. Class B 1,060 8,745
* RealNetworks , Inc. 372,900 2,349,270
* Redback Networks, Inc. 56,711 272,213
* Redhook Ale Brewery, Inc. 9,300 32,550
Redwood Empire Bancorp 5,250 150,098
Regal-Beloit Corp. 53,804 1,517,811
* Regeneration Technologies, Inc. 58,540 544,422
* Regeneron Pharmaceuticals, Inc. 116,437 1,073,549
* Regent Communications, Inc. 98,413 561,938
* Register.com, Inc. 44,100 256,662
* RehabCare Group, Inc. 35,800 942,256
* Reliability, Inc. 6,300 4,977
Reliance Steel & Aluminum Co. 71,557 2,855,840
# Reliv International, Inc. 34,532 282,126
*# Relm Wireless Corp. 7,600 $ 15,580
* Remec, Inc. 135,250 815,558
* RemedyTemp, Inc. 15,100 166,402
* Remington Oil & Gas Corp. 60,600 1,754,370
* Remote Dynamics, Inc. 276 235
Renaissance Learning, Inc. 68,415 1,317,673
* Rentrak Corp. 21,600 211,680
* Rent-Way, Inc. 57,700 489,296
* Repligen Corp. 66,100 159,962
* Reptron Electronics, Inc. 343 2,521
Republic Bancorp, Inc. 154,971 2,408,254
Republic Bancorp, Inc. Class A 15,225 422,494
* Republic First Bancorp, Inc. 6,967 106,595
* Res-Care, Inc. 37,785 566,775
* ResMed, Inc. 41,300 2,067,478
Resource America, Inc. 38,451 1,131,613
* Resources Connection, Inc. 51,368 2,330,052
* Restoration Hardware, Inc. 72,300 368,007
* Retail Ventures, Inc. 74,500 546,085
* Retek, Inc. 122,429 746,817
* Revlon, Inc. 745,500 1,573,005
* Rewards Network, Inc. 55,800 351,540
* Rex Stores Corp. 22,700 399,520
* Rexhall Industries, Inc. 3,542 1,523
* RF Micro Devices, Inc. 258,727 1,800,740
* RF Monolithics, Inc. 17,000 160,140
RGC Resources, Inc. 3,564 86,249
* Rhythms NetConnections, Inc. 3,800 0
Richardson Electronics, Ltd. 31,125 347,044
* Rigel Pharmaceuticals, Inc. 2,222 55,594
Riggs National Corp. 51,399 1,034,148
* Rimage Corp. 8,600 130,806
*# Rita Medical Systems, Inc. 79,321 243,515
* Riverside Group, Inc. 700 6
Riverview Bancorp, Inc. 4,500 96,935
* Riviera Holdings Corp. 3,600 97,200
RLI Corp. 55,600 2,315,740
* Roadhouse Grill, Inc. 8,540 1,281
Roanoke Electric Steel Corp. 9,900 178,101
Robbins & Myers, Inc. 31,600 762,824
*# Robotic Vision Systems, Inc. 3,480 1,601
* Rochester Medical Corp. 5,300 47,700
Rock of Ages Corp. 4,400 32,608
* Rockford Corp. 14,600 31,974
Rock-Tenn Co. Class A 78,400 1,265,376
# Rocky Mountain Chocolate Factory,
Inc. 4,015 57,736
* Rocky Shoes & Boots, Inc. 4,500 93,600
* Rofin-Sinar Technologies, Inc. 32,800 1,279,200
* Rogers Corp. 36,800 1,746,160
Rollins, Inc. 100,500 2,467,275
* Roxio, Inc. 1,629 15,247
Royal Bancshares of Pennsylvania,
Inc. Class A 4,430 128,470
Royal Gold, Inc. 45,135 799,792
* Royale Energy, Inc. 4,509 34,584
RPC, Inc. 28,600 779,350
* RSA Security, Inc. 140,000 2,961,000
* RTI International Metals, Inc. 46,700 1,006,385
* RTW, Inc. 5,150 47,020
* Rubio's Restaurants, Inc. 20,095 266,862
63
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Ruddick Corp. 102,800 $ 2,242,068
* Rudolph Technologies, Inc. 36,900 590,400
* Rural Cellular Corp. Class A 2,800 13,664
* Rural/Metro Corp. 14,000 48,300
* Rush Enterprises, Inc. Class A 7,000 106,260
* Rush Enterprises, Inc. Class B 7,000 112,840
Russ Berrie & Co., Inc. 45,500 1,034,670
Russell Corp. 71,800 1,316,812
* Ryan's Restaurant Group, Inc. 89,200 1,362,084
Ryerson Tull, Inc. 54,900 888,282
* S&K Famous Brands, Inc. 2,100 33,642
S&T Bancorp, Inc. 57,981 2,128,483
* S1 Corp. 154,406 1,446,784
* Saba Software, Inc. 29,577 125,111
* Safeguard Scientifics, Inc. 206,800 415,668
* SafeNet, Inc. 51,704 1,843,765
* Safety Components International, Inc. 118 1,652
* Saga Communications, Inc. Class A 40,525 688,520
* Salem Communications Corp. 44,069 1,082,335
*# Salton, Inc. 25,000 152,750
* San Filippo (John B.) & Son, Inc. 17,893 397,225
Sanders Morris Harris Group, Inc. 38,039 580,095
Sanderson Farms, Inc. 43,900 1,635,275
* Sands Regent Casino Hotel 2,000 23,900
Sandy Spring Bancorp, Inc. 31,164 1,131,876
* Sangamo BioSciences, Inc. 54,897 256,369
* Sapient Corp. 270,394 2,138,817
* SatCon Technology Corp. 52,200 105,966
Saucony, Inc. Class A 2,700 66,690
Saucony, Inc. Class B 3,500 86,240
Sauer-Danfoss, Inc. 49,600 985,056
* Savient Pharmaceuticals, Inc. 76,600 168,520
* Saxon Capital, Inc. 17,400 394,980
* SBA Communications Corp. 101,800 977,280
* SBE, Inc. 3,500 11,585
* SBS Technologies, Inc. 33,930 443,126
* ScanSoft, Inc. 225,660 823,659
* ScanSource, Inc. 27,800 1,798,660
Schawk, Inc. 22,200 376,956
* Scheid Vineyards, Inc. 2,200 12,562
*# Schick Technologies, Inc. 9,000 115,200
* Schieb (Earl), Inc. 2,200 6,490
* Schlotzsky's, Inc. 7,200 270
* Schmitt Industries, Inc. 2,466 18,865
Schnitzer Steel Industries, Inc.
Class A 62,351 2,352,503
* Scholastic Corp. 82,462 2,716,298
* Schuff International, Inc. 7,000 19,320
Schulman (A.), Inc. 65,979 1,415,250
Schweitzer-Maudoit International, Inc. 32,400 1,119,744
* Sciclone Pharmaceuticals, Inc. 97,969 399,714
* Scientific Games Corp. 116,381 2,781,506
* Scientific Learning Corp. 4,400 23,760
* Scientific Technologies, Inc. 6,700 34,103
* SCM Microsystems, Inc. 30,763 104,902
SCP Pool Corp. 85,050 2,681,627
SCPIE Holdings, Inc. 9,300 92,907
* SCS Transportation, Inc. 32,654 690,632
Seaboard Corp. 1,400 1,050,000
* Seabulk International, Inc. 46,800 557,856
* Seachange International, Inc. 60,700 1,036,756
Seacoast Banking Corp. of Florida 33,228 $ 731,681
* SEACOR Holdings, Inc. 41,800 2,319,900
* Seattle Genetics, Inc. 91,734 626,543
* Secom General Corp. 140 172
* Secure Computing Corp. 64,074 667,651
* SED International Holdings, Inc. 825 763
* SeeBeyond Technology Corp. 184,633 583,440
* SEEC, Inc. 100 23
* Segue Software, Inc. 9,500 46,265
* Selas Corp. of America 4,750 9,880
*# Select Comfort Corp. 79,100 1,541,659
Select Medical Corp. 202,700 3,537,115
* Selectica, Inc. 71,960 277,046
Selective Insurance Group, Inc. 61,179 2,740,207
SEMCO Energy, Inc. 62,300 301,532
* Semitool, Inc. 62,960 564,122
* Semtech Corp. 85,616 1,752,560
* SEMX Corp. 900 113
* Seneca Foods Corp. Class A 200 3,725
* Seneca Foods Corp. Class B 1,300 24,239
* Senesco Technologies, Inc. 6,300 20,475
# Sensient Technologies Corp. 103,100 2,376,455
* Sequa Corp. Class A 6,900 411,930
* Sequa Corp. Class B 2,600 156,650
* Sequenom, Inc. 63,500 56,515
* SeraCare Life Sciences, Inc. 4,080 46,516
*# Serena Software, Inc. 95,890 1,999,307
* Serologicals Corp. 54,950 1,282,533
* Service Corp. International 243,900 1,721,934
* ServiceWare Technologies, Inc. 2,900 1,363
* Servotronics, Inc. 1,100 4,675
* SFBC International, Inc. 33,996 1,320,065
* Shared Technologies Cellular, Inc. 10,100 20
* Sharper Image Corp. 34,000 651,440
*# Shaw Group, Inc. 140,287 2,066,428
* Shiloh Industries, Inc. 33,066 429,197
* Shoe Carnival, Inc. 27,579 359,630
* Shoe Pavilion, Inc. 6,200 16,864
* Sholodge, Inc. 5,100 23,307
* ShopKo Stores, Inc. 65,800 1,176,504
*# Shuffle Master, Inc. 50,987 2,346,932
* Siebert Financial Corp. 22,300 69,108
Sierra Bancorp 1,700 35,700
* Sierra Health Services, Inc. 58,036 3,228,543
*# Sierra Pacific Resources 258,100 2,645,525
* SIFCO Industries, Inc. 5,400 22,680
* Sigma Designs, Inc. 45,800 413,574
* Sigmatron International, Inc. 2,200 29,898
Silgan Holdings, Inc. 40,413 2,194,426
*# Silicon Graphics, Inc. 348,800 561,568
* Silicon Image, Inc. 165,389 2,778,535
* Silicon Storage Technology, Inc. 211,200 1,469,952
*# Silicon Valley Bancshares 71,258 2,991,411
* Siliconix, Inc. 65,324 2,416,335
* Simclar, Inc. 6,500 28,600
Simmons First National Corp.
Class A 31,627 917,183
* SimpleTech, Inc. 105,557 524,618
Simpson Manufacturing Co., Inc. 87,400 2,936,640
Sinclair Broadcast Group, Inc.
Class A 100,100 721,721
64
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* Sipex Corp. 74,246 $ 408,353
* Sirenza Microdevices, Inc. 76,511 388,676
*# Sirna Therapeutics, Inc. 82,075 253,612
* Sitel Corp. 137,600 305,472
* Six Flags, Inc. 212,505 1,032,774
SJW Corp. 9,000 346,950
* Skechers U.S.A., Inc. Class A 46,400 538,704
Skyline Corp. 8,300 343,205
Skywest, Inc. 126,096 2,399,607
* Skyworks Solutions, Inc. 290,417 2,883,841
* SL Industries, Inc. 5,900 82,069
* SM&A 44,600 359,922
* Smart & Final Food, Inc. 66,400 961,472
* SmartDisk Corp. 100 29
* Smith & Wollensky Restaurant Group,
Inc. 13,400 62,176
Smith (A.O.) Corp. 48,200 1,448,410
Smith (A.O.) Corp. Convertible
Class A 3,750 112,688
* Smith Micro Software, Inc. 21,400 150,014
* Smithway Motor Xpress Corp.
Class A 4,000 29,000
* Sola International, Inc. 70,000 1,512,000
* Somera Communications, Inc. 59,150 65,657
Sonic Automotive, Inc. 64,400 1,599,052
* Sonic Corp. 113,237 3,303,123
*# Sonic Foundry, Inc. 42,300 75,294
* Sonic Innovations, Inc. 43,200 175,824
* Sonic Solutions, Inc. 50,600 976,580
* SonicWALL, Inc. 148,400 912,660
* SonoSite, Inc. 32,445 968,483
* Sonus Networks, Inc. 54,057 357,317
* Sonus Pharmaceuticals, Inc. 46,400 141,984
* Sotheby's Holdings, Inc. Class A 104,300 1,635,424
Sound Federal Bancorp, Inc. 27,084 411,704
* Source Interlink Companies, Inc. 50,600 660,330
* Source Media, Inc. 27,400 219
* SOURCECORP, Inc. 34,502 573,768
South Jersey Industries, Inc. 30,364 1,561,013
Southern Banc Co., Inc. 200 3,500
* Southern Energy Homes, Inc. 13,825 63,872
* Southern Union Co. 77,303 1,895,487
Southside Banchares, Inc. 331 8,308
* Southwall Technologies, Inc. 14,200 15,904
Southwest Bancorp, Inc. 11,400 306,090
Southwest Bancorporation of Texas,
Inc. 109,400 2,675,924
Southwest Gas Corp. 77,600 1,971,040
Southwest Water Co. 35,740 486,421
* Southwestern Energy Co. 19,301 1,059,625
* Spacehab, Inc. 25,166 57,882
Span-American Medical System, Inc. 2,400 27,600
* Spanish Broadcasting System, Inc. 87,200 932,168
* SPAR Group, Inc. 2,900 4,405
Spartan Motors, Inc. 27,045 321,322
* Spartan Stores, Inc. 38,375 199,550
Spartech Corp. 70,700 1,976,065
* Sparton Corp. 8,334 81,015
* Specialty Laboratories, Inc. 50,300 552,294
SpectraLink Corp. 41,800 612,370
* Spectranetics Corp. 55,582 270,129
* Spectrum Control, Inc. 13,000 $ 96,980
* Spectrum Pharmaceuticals, Inc. 2,700 15,201
* SpectRx, Inc. 8,900 6,675
Speedway Motorsports, Inc. 67,390 2,475,909
* Spescom Software, Inc. 1,202 445
* Spherion Corp. 133,120 1,048,986
* Spherix, Inc. 12,100 35,453
* Spinnaker Exploration Co. 74,590 2,705,379
* Spire Corp. 6,700 29,480
* Sport Chalet, Inc. 2,700 35,103
* Sport Supply Group, Inc. 8,900 18,245
* Sport-Haley, Inc. 2,700 12,434
* SportsLine.com, Inc. 33,400 57,782
* Sportsman's Guide, Inc. 10,389 252,245
* SPSS, Inc. 27,637 441,916
* SRA International, Inc. 35,100 2,037,204
* SRI/Surgical Express, Inc. 6,100 31,842
* SRS Labs, Inc. 31,745 206,343
SS&C Technologies, Inc. 49,850 1,116,142
St. Mary Land & Exploration Co. 65,300 2,807,247
* Staar Surgical Co. 45,200 268,036
* Stage Stores, Inc. 38,372 1,572,868
* Stamps.com, Inc. 49,723 769,215
*# Standard Automotive Corp. 4,400 0
Standard Commercial Corp. 29,029 546,326
* Standard Management Corp. 7,600 27,360
* Standard Microsystems Corp. 40,572 997,260
Standard Motor Products, Inc. 42,900 668,811
Standard Register Co. 52,500 690,900
Standex International Corp. 26,500 738,025
Stanley Furniture, Inc. 6,700 308,200
Star Buffet, Inc. 2,800 16,576
*# Star Scientific, Inc. 141,895 935,088
* Starbiz Restrictive Shares 2 0
* Starcraft Corp. 2,756 39,549
Starrett (L.S.) Co. Class A 4,800 95,424
StarTek, Inc. 31,800 914,568
State Auto Financial Corp. 87,312 2,339,962
State Financial Services Corp.
Class A 7,800 230,100
*# STATS ChipPAC, Ltd. 134,937 757,132
* Steak n Shake Co. 60,418 1,124,983
Steel Dynamics, Inc. 73,158 2,965,094
Steel Technologies, Inc. 27,250 797,880
* SteelCloud, Inc. 12,100 24,079
* Stein Mart, Inc. 93,516 1,555,171
* Steinway Musical Instruments, Inc. 16,500 466,455
* Stellent, Inc. 58,100 456,085
*# StemCells, Inc. 2,600 7,930
Stepan Co. 8,400 213,948
Stephan Co. 3,500 14,210
Sterling Bancorp 33,376 1,073,706
Sterling Bancshares, Inc. 98,799 1,440,489
* Sterling Construction Co., Inc. 8,500 40,800
* Sterling Financial Corp. 49,070 1,960,347
Stewart & Stevenson Services, Inc. 63,302 1,266,040
* Stewart Enterprises, Inc. 229,470 1,702,667
Stewart Information Services Corp. 39,800 1,737,270
* Stifel Financial Corp. 20,900 502,645
* Stillwater Mining Co. 198,600 2,355,396
* Stone Energy Corp. 58,563 2,809,853
65
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* Stonepath Group, Inc. 69,400 $ 53,438
* Stoneridge, Inc. 50,100 762,021
* StorageNetworks, Inc. Escrow Shares 60,800 1,648
* Stratagene Corp. 4,926 33,787
* Stratasys, Inc. 22,600 729,980
* Strategic Diagnostics, Inc. 42,300 107,019
* Strategic Distribution, Inc. 3,029 34,379
* Stratex Networks, Inc. 168,568 347,250
* Stratos International, Inc. 27,936 113,420
* Strattec Security Corp. 4,100 258,300
* Stratus Properties, Inc. 7,050 104,622
Strayer Education, Inc. 8,300 892,084
Stride Rite Corp. 80,900 890,709
Sturm Ruger & Co., Inc. 59,200 537,536
* Suburban Lodges of America, Inc.
Escrow Shares 18,500 0
Suffolk BanCorp 8,600 285,348
Summa Industries, Inc. 5,200 47,216
Summit Bancshares, Inc. 2,000 68,100
Summit Bank Corp. 2,520 43,042
* SumTotal Systems, Inc. 28,067 154,088
* Sun Bancorp, Inc. 37,368 928,595
* Sun Healthcare Group, Inc. 30,992 232,440
Sun Hydraulics, Inc. 4,900 70,021
* Sunair Electronics, Inc. 3,000 19,110
* Suncoast Naturals, Inc. 950 181
* Sundance Homes, Inc. 1,500 5
* SunLink Health Systems, Inc. 1,048 5,502
*# Sunrise Senior Living, Inc. 45,265 1,944,132
Sunrise Telecom, Inc. 3,700 9,805
* Suntron Corp. 5,265 17,375
* Superconductor Technologies, Inc. 71,840 60,346
*# SuperGen, Inc. 99,590 719,040
* Superior Consultant Holdings Corp. 10,700 70,192
* Superior Energy Services, Inc. 171,800 2,522,024
# Superior Industries International, Inc. 58,400 1,649,800
Superior Uniform Group, Inc. 7,000 97,440
* Supertex, Inc. 28,400 617,700
* SupportSoft, Inc. 93,500 474,980
Supreme Industries, Inc. 11,408 69,817
* SureBeam Corp. Class A 2,142 18
SureWest Communications 31,112 885,759
*# SurModics, Inc. 38,492 1,158,609
Susquehanna Bancshares, Inc. 101,591 2,641,366
* Swift Energy Corp. 61,500 1,865,910
* Swift Transportation Co., Inc. 6,343 123,625
* Swisher International, Inc. 700 1,540
SWS Group, Inc. 34,518 728,675
* Sybase, Inc. 190,100 3,275,423
* Sybron Dental Specialties, Inc. 85,600 2,939,504
* Sycamore Networks, Inc. 348,888 1,308,330
* Sykes Enterprises, Inc. 84,828 572,589
* Symmetricom, Inc. 99,367 1,073,164
* Syms Corp. 28,200 349,398
* Symyx Technologies 70,600 2,226,018
* Synalloy Corp. 5,900 57,525
*# Synaptics, Inc. 55,320 2,124,288
* Synovis Life Technologies, Inc. 24,600 291,510
* Synplicity, Inc. 55,675 312,894
Syntel, Inc. 88,385 1,730,578
* Synthetech, Inc. 16,400 17,056
* Syntroleum Corp. 100,526 $ 696,645
Sypris Solutions, Inc. 38,347 623,906
* Systemax, Inc. 47,500 327,750
* T-3 Energy Services, Inc. 1,250 8,363
*# Tag-It Pacific, Inc. 18,200 81,900
* Taitron Components, Inc. 5,000 12,450
*# Take-Two Interactive Software, Inc. 50,900 1,778,955
* TALK America Holdings, Inc. 58,409 369,145
TALX Corp. 30,238 888,997
Tandy Brand Accessories, Inc. 5,900 84,305
* Tanox, Inc. 96,754 1,340,043
* Tarantella, Inc. 3,300 4,257
* Tarrant Apparel Group 32,800 61,008
Tasty Baking Co. 17,400 145,638
TB Wood's Corp. 7,600 41,192
* TBC Corp. 48,950 1,305,497
* Team, Inc. 7,600 129,048
* TeamStaff, Inc. 20,200 40,198
Tech/Ops Sevcon, Inc. 3,100 18,538
Teche Holding Co. 700 28,613
* Techne Corp. 45,700 1,697,755
* Technical Communications Corp. 400 2,660
Technical Olympic USA, Inc. 48,292 1,180,739
* Technitrol, Inc. 88,600 1,528,350
Technology Research Corp. 12,050 84,350
* Technology Solutions Corp. 35,500 33,370
* TechTeam Global, Inc. 20,000 188,000
Tecumseh Products Co. Class A 29,000 1,327,910
* Tegal Corp. 5,000 6,550
* Tejon Ranch Co. 13,900 549,745
* Tekelec 132,600 3,104,166
* TeleCommunication Systems, Inc. 53,600 162,944
* Teledyne Technologies, Inc. 70,600 2,096,820
* Teleglobe International Holdings, Ltd. 11,300 38,759
* TeleTech Holdings, Inc. 163,900 1,601,303
* Telik, Inc. 96,100 1,836,471
* Telkonet, Inc. 7,600 34,428
* Telular Corp. 28,300 180,271
* TenFold Corp. 4,500 4,635
Tennant Co. 19,700 788,000
* Tenneco Automotive, Inc. 92,400 1,432,200
* Terayon Communication Systems,
Inc. 123,500 245,765
* Terex Corp. 50,721 2,325,051
* Terra Industries, Inc. 170,900 1,401,380
* Tesoro Petroleum Corp. 97,100 3,215,952
* Tessco Technologies, Inc. 4,500 59,850
* Tetra Tech, Inc. 123,696 1,885,127
* Tetra Technologies, Inc. 49,000 1,489,600
Texas Industries, Inc. 47,700 2,862,000
Texas Regional Banchshares, Inc.
Class A 75,960 2,701,138
Texas United Bancshares, Inc. 100 1,875
TF Financial Corp. 2,600 84,201
* Thackeray Corp. 4,100 3,895
* The Banc Corp. 34,700 272,742
* The Children's Place Retail Stores,
Inc. 61,900 1,959,754
* The Dress Barn, Inc. 68,204 1,171,063
* The Geo Group, Inc. 25,000 576,250
* The Lamson & Sessions Co. 31,800 287,790
66
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The Manitowoc Co., Inc. 61,750 $ 2,306,363
The Marcus Corp. 47,800 1,092,230
* The Medicines Co. 109,392 2,728,236
* The Mens Warehouse, Inc. 82,400 2,607,960
* The Mosaic Co. 138,058 2,399,448
# The Phoenix Companies, Inc. 208,400 2,542,480
* The Rowe Companies 13,100 66,155
* The Sports Authority, Inc. 56,306 1,605,284
* The Sports Club Co., Inc. 20,100 33,969
The Topps Co., Inc. 88,848 885,815
* The Washtenaw Group, Inc. 1,500 2,385
* Theragenics Corp. 65,200 273,840
* Therma-Wave, Inc. 78,789 252,125
* Thermwood Corp. 200 166
* TheStreet.com, Inc. 54,235 235,922
* Third Wave Technologies, Inc. 88,144 710,441
* Thomas & Betts Corp. 91,000 2,879,240
* Thomas Group, Inc. 4,000 4,800
Thomas Industries, Inc. 38,150 1,494,717
* Thoratec Corp. 111,843 1,118,430
* THQ, Inc. 86,100 1,847,706
* Three-Five Systems, Inc. 43,099 83,612
* TIBCO Software, Inc. 66,652 766,498
* Tickets.com, Inc. 1,600 1,200
* Tier Technologies, Inc. Class B 41,400 365,562
TierOne Corp. 39,453 978,829
* TII Network Technologies, Inc. 11,260 16,440
Timberland Bancorp, Inc. 3,900 95,550
* Timco Aviation Services, Inc. 2,749 990
* Time Warner Telecom, Inc. 100,387 380,467
* Tipperary Corp. 17,900 84,309
* Titan Corp. 185,600 2,990,016
# Titan International, Inc. 19,600 244,608
* Titan Pharmaceuticals, Inc. 70,700 176,750
* Titanium Metals Corp. 15,850 364,392
*# TiVo, Inc. 175,826 828,140
* TL Administration Corp. 200 4
* TLC Vision Corp. 33,060 385,480
Todd Shipyards Corp. 6,300 107,919
* Todhunter International, Inc. 4,600 54,832
* Tofutti Brands, Inc. 6,900 21,390
* Tollgrade Communications, Inc. 27,991 299,224
Tompkins County Trustco, Inc. 363 19,130
* Too, Inc. 75,900 1,927,860
* Torch Offshore, Inc. 23,300 46,111
* Toreador Resources Corp. 4,900 75,607
# Toro Co. 39,200 2,842,000
* Total Entertainment Restaurant Corp. 21,861 219,484
*# Tower Automotive, Inc. 128,000 230,400
Track Data Corp. 3,400 2,822
* Tractor Supply Co. 84,193 2,670,602
* Tradestation Group, Inc. 91,800 681,156
Traffix, Inc. 29,800 195,190
* Trailer Bridge, Inc. 9,800 63,700
* Trammell Crow Co. 82,300 1,407,330
* Trans World Entertainment Corp. 74,900 844,872
* Transact Technologies, Inc. 8,550 191,093
* Transaction Systems Architects, Inc. 82,439 1,691,648
* Transcat, Inc. 6,100 18,300
* Transgenomic, Inc. 21,900 26,718
* Trans-Industries, Inc. 1,400 3,654
* Transkaryotic Therapies, Inc. 76,418 $ 1,743,095
*# Transmeta Corp. 264,600 447,174
* TransMontaigne, Inc. 87,500 475,125
* Transport Corp. of America 5,200 38,272
* Transpro, Inc. 16,100 97,969
* Transtechnology Corp. 6,200 46,810
* Transwitch Corp. 40,600 49,532
* Travis Boats & Motors, Inc. 2,900 1,117
* TRC Companies, Inc. 29,400 524,496
Tredegar Industries, Inc. 84,891 1,581,519
*# Trenwick Group, Ltd. 11,975 144
*# Trestle Holdings, Inc. 450 731
* Trex Co., Inc. 32,600 1,530,570
* Triad Guaranty, Inc. 32,014 1,920,840
Triarc Companies, Inc. Class A 50,900 659,155
Triarc Companies, Inc. Class B 49,000 624,750
Trico Bancshares 9,900 237,105
*# Trico Marine Services, Inc. 55,100 19,285
* Trident Microsystems, Inc. 50,500 787,800
* Trimble Navigation, Ltd. 91,185 2,878,710
* Trimedyne, Inc. 4,300 2,580
* Trimeris, Inc. 48,078 596,648
Trinity Industries, Inc. 88,000 3,110,800
* Trio-Tech International 400 1,848
* TriPath Imaging, Inc. 83,652 600,621
* Tripath Technology, Inc. 68,751 58,438
* Tripos, Inc. 10,620 55,118
* Triquint Semiconductor, Inc. 272,497 1,179,912
* Triton PCS Holdings, Inc. 136,900 342,250
* Triumph Group, Inc. 34,902 1,415,625
*# Tri-Valley Corp. 10,800 73,548
* TriZetto Group, Inc. 103,201 730,663
* TRM Corp. 7,000 131,390
*# Tropical Sportswear International
Corp. 19,875 28,024
* Troy Group, Inc. 13,800 40,158
* Trump Hotels & Casino Resorts, Inc. 29,600 24,568
TrustCo Bank Corp. NY 163,455 2,304,716
TSR, Inc. 4,400 30,668
* TTM Technologies, Inc. 89,700 931,086
* Tuesday Morning Corp. 86,241 2,888,211
* Tufco Technologies, Inc. 4,500 34,875
* Tumbleweed Communications Corp. 105,295 368,533
Tupperware Corp. 128,800 2,411,136
* TurboChef Technologies, Inc. 20,500 130,175
* Tut Systems, Inc. 51,200 202,240
* Tweeter Home Entertainment Group,
Inc. 51,800 332,038
Twin Disc, Inc. 2,800 70,308
* Tyler Technologies, Inc. 90,800 711,872
*# U.S. Aggregates, Inc. 1,600 4
* U.S. Concrete, Inc. 60,700 441,289
* U.S. Energy Corp. Wyoming 11,500 34,385
* U.S. Physical Therapy, Inc. 28,972 449,066
* U.S. Xpress Enterprises, Inc. Class A 10,823 281,398
* UbiquiTel, Inc. 204,190 1,327,235
*# UFP Technologies, Inc. 3,800 13,224
UICI 97,400 3,253,160
UIL Holdings Corp. 32,000 1,710,720
* Ulticom, Inc. 92,830 1,666,299
*# Ultimate Electronics, Inc. 31,258 95,649
67
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SHARES VALUE+
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* Ultimate Software Group, Inc. 48,347 $ 617,391
* Ultradata Systems, Inc. 2,000 900
* Ultralife Batteries, Inc. 13,100 197,024
* Ultratech, Inc. 52,400 902,852
UMB Financial Corp. 47,465 2,658,515
Umpqua Holdings Corp. 96,760 2,474,153
*# Unapix Entertainment, Inc. 6,100 25
* Unico American Corp. 5,500 41,085
* Unifi, Inc. 114,634 426,438
Unifirst Corp. 20,450 565,238
Union Bankshares Corp. 170 6,377
Union Community Bancorp 2,300 43,528
Unisource Energy Corp. 67,080 1,636,081
* Unit Corp. 67,400 2,670,388
United Auto Group, Inc. 101,800 2,903,336
United Bankshares, Inc. 47,960 1,835,429
United Community Banks, Inc. 78,918 2,261,790
United Community Financial Corp. 65,672 754,571
United Financial Corp. 660 16,236
* United Financial Mortgage Corp. 10,400 47,320
United Fire & Casualty Co. 6,200 412,920
United Industrial Corp. 28,600 1,115,400
* United Natural Foods, Inc. 88,302 2,483,935
* United Online, Inc. 132,703 1,415,941
* United PanAm Financial Corp. 600 11,910
* United Rentals, Inc. 171,100 3,057,557
* United Retail Group, Inc. 22,866 94,894
# United Security Bancshares 2,000 49,780
* United Stationers, Inc. 60,900 2,915,892
* United Surgical Partners International,
Inc. 62,302 2,459,060
* United Therapeutics Corp. 47,154 2,075,248
United-Guardian, Inc. 1,900 14,725
Unitil Corp. 4,700 131,647
Unity Bancorp, Inc. 5,733 69,083
* Universal Access Global Holdings,
Inc. 435 57
* Universal American Financial Corp. 120,600 1,610,010
* Universal Compression Holdings, Inc. 69,249 2,582,988
Universal Corp. 55,300 2,692,004
* Universal Display Corp. 63,248 616,668
* Universal Electronics, Inc. 29,700 542,025
Universal Forest Products, Inc. 38,783 1,673,874
* Universal Stainless & Alloy Products,
Inc. 6,000 88,320
Unizan Financial Corp. 33,197 855,819
* Unova, Inc. 133,900 2,967,224
* UQM Technologies, Inc. 41,100 86,721
* Urologix, Inc. 31,342 223,155
* URS Corp. 95,313 2,863,203
*# US Airways Group, Inc. Class A 46,800 51,948
*# US LEC Corp. 69,136 232,988
* USA Mobility, Inc. 42,300 1,538,028
* USA Truck, Inc. 9,300 115,227
*# USANA Health Services, Inc. 41,200 1,224,052
USB Holding Co., Inc. 17,953 501,633
*# USDATA Corp. 2,820 113
USEC, Inc. 185,431 1,952,588
USF Corp. 61,137 2,260,235
Utah Medical Products, Inc. 5,000 108,750
*# V.I. Technologies, Inc. 57,100 38,257
* VA Software Corp. 109,000 $ 269,230
# Vail Banks, Inc. 1,300 16,926
* Vail Resorts, Inc. 77,600 1,765,400
*# Valence Technology, Inc. 20,900 75,240
Valhi, Inc. 14,240 220,862
Valley National Gases, Inc. 4,200 53,760
Valmont Industries, Inc. 52,200 1,302,912
* Valpey Fisher Corp. 1,650 5,610
Value Line, Inc. 9,900 396,010
* ValueClick, Inc. 176,200 2,272,980
* ValueVision Media, Inc. Class A 79,947 906,599
* Varian Semiconductor Equipment
Associates, Inc. 80,100 2,845,152
* Varian, Inc. 76,300 2,857,435
*# Vascular Solutions, Inc. 30,600 317,016
* Vastera, Inc. 75,179 139,081
*# Vaxgen, Inc. 42,400 664,832
# Vector Group, Ltd. 91,624 1,502,634
* Veeco Instruments, Inc. 64,700 1,254,533
* VendingData Corp. 2,100 3,969
* Ventana Medical Systems, Inc. 38,224 2,283,884
* Ventiv Health, Inc. 2,200 42,592
* Verilink Corp. 40,558 141,953
* Veritas DGC, Inc. 73,500 1,719,900
* Verity, Inc. 82,200 1,126,962
* Vermont Pure Holdings, Ltd. 17,300 30,794
* Versant Corp. 3,874 2,828
* Versar, Inc. 8,700 37,845
* Verso Technologies, Inc. 26,319 21,318
* Vertex Pharmaceuticals, Inc. 176,229 1,871,552
* VerticalBuyer Inc. 920 28
*# Vertrue, Inc. 21,500 746,050
Vesta Insurance Group, Inc. 79,400 298,544
* Vestin Group, Inc. 200 614
Viad Corp. 47,800 1,146,722
* Vialta, Inc. 9,801 1,666
* Viasat, Inc. 58,891 1,229,055
* Vical, Inc. 47,255 203,197
* Vicon Industries, Inc. 4,600 26,036
Vicor Corp. 65,819 715,453
* Vicuron Pharmaceuticals, Inc. 137,550 2,419,505
# Video Display Corp. 7,200 98,280
* Viewpoint Corp. 118,316 309,988
* Vignette Corp. 407,600 517,652
* Viisage Technology, Inc. 94,795 764,996
Vintage Petroleum, Inc. 143,400 3,477,450
* Virage Logic Corp. 47,227 709,822
* Virbac Corp. 22,000 77,440
* Virco Manufacturing Corp. 13,269 102,171
* Virginia Commerce Bancorp, Inc. 500 14,250
*# Virologic, Inc. 90,800 190,680
*# ViroPharma, Inc. 57,925 163,928
* Vision-Sciences, Inc. 5,100 13,515
*# Vista Medical Technologies, Inc. 7,500 8,400
Visteon Corp. 285,400 2,414,484
* Visual Networks, Inc. 31,900 102,718
* VISX, Inc. 108,900 2,816,154
*# Vital Images, Inc. 25,700 416,083
Vital Signs, Inc. 27,956 1,045,834
* VitalWorks, Inc. 95,650 385,470
*# Vitech America, Inc. 14,850 41
68
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* Vitesse Semiconductor, Inc. 200,110 $ 652,359
* Vitria Technology, Inc. 73,242 253,417
* Vivus, Inc. 83,664 491,944
* VL Dissolution Corp. 3,101 465
*# VLPS Lighting Services International,
Inc. Escrow Shares 4,800 392
* Vodavi Technology, Inc. 4,300 30,186
* Volt Information Sciences, Inc. 33,000 1,006,500
Vulcan International Corp. 700 31,500
* Vyyo, Inc. 31,600 229,100
* W-H Energy Services, Inc. 60,500 1,383,030
* Wabash National Corp. 60,200 1,497,174
Wabtec Corp. 100,200 2,061,114
Walter Industries, Inc. 82,000 2,064,760
*# Warnaco Group, Inc. 101,217 2,011,182
Warwick Valley Telephone Co. 300 6,744
Washington Banking Co. 4,680 82,087
* Washington Group International, Inc. 55,215 2,153,385
Washington Savings Bank FSB 2,400 32,400
Washington Trust Bancorp, Inc. 28,963 852,091
* Waste Connections, Inc. 78,500 2,673,710
Waste Industries USA, Inc. 19,300 221,371
* WatchGuard Technologies, Inc. 71,080 291,428
* Water Pik Technologies, Inc. 8,400 144,480
* Waterlink, Inc. 100 0
Waters Instruments, Inc. 300 2,265
Watsco, Inc. Class A 50,500 1,670,035
Watsco, Inc. Class B 1,350 44,618
Watson Wyatt & Co., Holdings 71,300 1,900,858
Watts Water Technologies, Inc. 54,900 1,681,587
Wausau-Mosinee Paper Corp. 113,736 2,041,561
* Waxman Industries, Inc. 600 3,900
Waypoint Financial Corp. 53,226 1,478,086
* WCI Communities, Inc. 97,600 2,500,512
WD-40 Co. 36,503 1,066,253
* Webb Interactive Services, Inc. 5,300 2,173
* Webco Industries, Inc. 6,000 45,000
* WebEx Communications, Inc. 97,480 2,314,175
* webMethods, Inc. 116,402 714,708
*# Websense, Inc. 51,200 2,460,672
* Weider Nutrition International, Inc. 10,500 44,520
Weis Markets, Inc. 59,607 2,288,909
Wellco Enterprises, Inc. 1,000 14,800
Wellman, Inc. 70,400 724,416
*# Wells-Gardner Electronics Corp. 6,101 32,213
Wesbanco, Inc. 43,261 1,367,480
* WESCO International, Inc. 92,000 2,587,040
West Bancorporation 6,300 109,242
West Coast Bancorp 32,829 863,731
* West Marine, Inc. 45,778 1,057,472
West Pharmaceutical Services, Inc. 67,100 1,568,798
* Westaff, Inc. 24,300 74,115
Westamerica Bancorporation 2,000 116,320
Westbank Corp. 4,740 87,311
* Westcoast Hospitality Corp. 12,900 65,403
* Westell Technologies, Inc. 117,980 772,769
* Western Power & Equipment Corp. 3,373 5,565
* Western Sierra Bancorp 1,575 63,000
* Westmoreland Coal Co. 800 23,720
Westwood Holdings Group, Inc. 6,479 123,619
*# Wet Seal, Inc. Class A 45,533 75,585
Weyco Group, Inc. 300 $ 12,102
WGL Holdings, Inc. 14,000 424,480
* White Electronics Designs Corp. 51,323 343,864
* Whitehall Jewelers, Inc. 30,250 250,470
* Whiting Petroleum Corp. 2,960 100,758
*# WHX Corp. 6,333 4,940
* Wickes, Inc. 4,400 20
* Wild Oats Markets, Inc. 61,369 439,402
*# William Lyon Homes, Inc. 21,600 1,519,560
* Williams Industries, Inc. 1,200 4,200
* Willis Lease Finance Corp. 9,500 84,550
Willow Grove Bancorp, Inc. 21,051 379,550
* Wilshire Enterprises, Inc. 7,107 42,855
* Wilson Greatbatch Technologies, Inc. 49,200 986,460
* Wilsons The Leather Experts, Inc. 84,545 422,725
* Wind River Systems, Inc. 180,973 2,189,773
* Winmark Corp. 3,800 101,270
# Winn-Dixie Stores, Inc. 312,700 1,250,800
# Winnebago Industries, Inc. 73,900 2,803,027
Wintrust Financial Corp. 46,219 2,765,745
* Wireless Facilities, Inc. 151,851 1,257,326
Wireless Telecom Group, Inc. 37,900 112,184
* Wireless WebConnect!, Inc. 8,900 26
* Witness Systems, Inc. 51,600 773,484
* WJ Communications, Inc. 56,300 190,857
*# WMS Industries, Inc. 66,900 1,989,606
* Wolverine Tube, Inc. 31,900 338,778
Wolverine World Wide, Inc. 84,100 2,518,795
* Women First HealthCare, Inc. 1,500 2
Woodhead Industries, Inc. 26,657 401,988
Woodward Governor Co. 24,870 1,811,780
* World Acceptance Corp. 40,600 1,047,074
* World Access, Inc. 1,672 2
World Fuel Services Corp. 26,100 1,075,320
World Wrestling Federation
Entertainment, Inc. 45,900 550,800
*# WorldGate Communications, Inc. 6,500 15,600
* WorldQuest Networks, Inc. 1,500 4,485
* Worldwide Restaurant Concepts, Inc. 60,500 197,835
Worthington Industries, Inc. 28,229 607,206
* Wright Medical Group, Inc. 73,552 1,945,450
WSI Industries, Inc. 2,000 5,200
X-Rite, Inc. 45,663 680,835
* Xanser Corp. 42,800 120,696
* Xeta Corp. 10,300 30,591
* Yankee Candle Co., Inc. 100,500 3,061,230
Yardville National Bancorp 16,400 546,284
York International Corp. 87,000 3,207,690
* Young Broadcasting, Inc. Class A 39,207 382,660
* Zapata Corp. 2,340 147,467
Zenith National Insurance Corp. 18,600 855,042
* Zevex International, Inc. 3,400 11,900
* Zhone Technologies, Inc. 181,262 442,279
* Zila, Inc. 100,566 447,519
*# Zix Corp. 69,726 319,345
* Zoll Medical Corp. 20,422 692,918
*# Zoltek Companies, Inc. 36,100 332,120
* Zomax, Inc. 70,500 242,520
* Zones, Inc. 13,500 82,755
* Zoran Corp. 88,535 1,049,140
* Zygo Corp. 38,600 448,532
69
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* ZymeTx, Inc. 700 $ 30
* Zymogenetics, Inc. 117,939 2,681,933
---------------
TOTAL COMMON STOCKS
(Cost $1,925,480,313) 2,293,355,046
---------------
RIGHTS/WARRANTS -- (0.0%)
* American Banknote Corp. Warrants
Series 1 10/01/07 30 0
* American Banknote Corp. Warrants
Series 2 10/01/07 30 0
* Anacomp, Inc. Class B Warrants
12/10/06 0 0
*# Angeion Corp. Warrants 10/31/07 215 11
* Aura Systems, Inc. Warrants 05/31/05 1,262 0
* CD&L, Inc. Rights 10/15/04 650 0
* Chart Industries, Inc. Warrants
09/15/10 24 372
* Chiquita Brands International, Inc.
Warrants 03/19/09 9,947 54,708
* CSF Holding, Inc. Litigation Rights
12/30/99 3,250 0
* Del Global Technologies Corp.
Warrants 03/28/08 971 1,068
*# Foster Wheelers, Ltd. Warrants
09/24/07 40,600 0
* Imperial Credit Industries, Inc.
Warrants 01/31/08 22 0
* Imperial Sugar Co. Warrants 08/29/08 498 1,096
* Lodgian, Inc. Class A Warrants
11/25/07 188 7
* Lodgian, Inc. Class B Warrants
11/25/09 582 22
* Magnum Hunter Resources, Inc.
Warrants 03/21/05 7,200 4,392
* Milltope Group, Inc. Contigent Value
Rights 5,800 0
* Optical Cable Corp. Warrants
10/24/07 2,823 0
*# OSI Pharmaceuticals, Inc. Rights 4,829 579
* PDS Gaming Corp. 1,100 1,650
PMR Corp. Contingent Value Rights
08/05/04 7,300 7
* Timco Aviation Services, Inc. Warrants
12/31/07 6,696 1
---------------
TOTAL RIGHTS/WARRANTS
(Cost $445,757) 63,913
---------------
FACE
AMOUNT VALUE+
------ ------
(000)
BONDS -- (0.0%)
* Del Global Technologies Corp.
Subordinated Promissory Note
6.000%, 03/28/07 $ 2 $ 0
* Timco Aviation Services, Inc.
Jr. Subordinated Note
8.000%, 01/02/07 3 0
---------------
TOTAL BONDS
(Cost $0) 0
---------------
TEMPORARY CASH
INVESTMENTS -- (8.2%)
Repurchase Agreement, Merrill Lynch
Triparty Repo 1.94%, 12/01/04
(Collateralized by $164,370,000
U.S. Treasury Note, 4.75%, 05/15/14,
valued at $170,106,222) to be
repurchased at $166,776,566
(Cost $166,767,579)^ 166,768 166,767,579
Repurchase Agreement, PNC Capital
Markets, Inc. 1.88%, 12/01/04
(Collateralized by $38,206,000
FHLMC Notes 4.20%, 10/20/09,
valued at $38,369,904) to be
repurchased at $37,971,983
(Cost $37,970,000) 37,970 37,970,000
---------------
TOTAL TEMPORARY CASH
INVESTMENTS
(Cost $204,737,579) 204,737,579
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,130,663,649) $ 2,498,156,538
===============
----------
+ See Note B to Financial Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
70
THE DFA INTERNATIONAL VALUE SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
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SHARES VALUE+
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UNITED KINGDOM -- (17.9%)
COMMON STOCKS -- (17.9%)
Aggregate Industries P.L.C. 1,964,973 $ 3,688,173
Amvescap P.L.C. 225,900 1,384,318
Arriva P.L.C. 231,050 2,163,954
Associated British Foods P.L.C. 990,462 14,152,962
Associated British Ports Holdings P.L.C. 378,800 3,403,288
Aviva P.L.C. 2,630,567 29,114,963
* AWG P.L.C. 76,018 1,092,962
BAA P.L.C. 1,614,239 17,953,811
BAE Systems P.L.C. 2,667,041 12,496,750
* Banco Santander Central Hispano SA 841,876 10,033,633
Barratt Developments P.L.C. 338,959 3,329,838
BBA Group P.L.C. 680,050 3,761,732
Bellway P.L.C. 38,000 517,193
Bovis Homes Group P.L.C. 132,000 1,272,170
BPB P.L.C. 458,500 3,857,096
Bradford & Bingley P.L.C. 80,259 421,938
Britannic P.L.C. 278,864 2,213,019
* British Airways P.L.C. 1,839,331 7,767,617
British Land Co. P.L.C. 870,090 13,610,932
British Vita P.L.C. 286,388 1,466,422
Brixton P.L.C. 359,333 2,217,502
Cable and Wireless P.L.C. 3,512,914 7,609,065
Carnival P.L.C. 156,870 8,751,205
* Corus Group P.L.C. 6,312,988 6,630,051
Derwent Valley Holdings P.L.C. 49,351 927,107
DeVere Group P.L.C. 85,228 713,960
Dixons Group P.L.C. 333,402 927,542
* Duelguide Units P.L.C. 36,010 370,184
* Easyjet P.L.C. 294,025 1,045,345
FKI P.L.C. 856,795 2,171,803
Friends Provident P.L.C. 2,272,618 6,652,081
Galen Holdings P.L.C. 319,000 5,197,328
Great Portland Estates P.L.C. 239,324 1,464,984
Greene King P.L.C. 105,263 2,400,651
Hammerson P.L.C. 468,800 7,136,185
Hanson P.L.C. 963,671 7,718,181
HBOS P.L.C. 14,538 203,486
* HHG P.L.C. 842,619 780,794
Hilton Group P.L.C. 2,673,589 13,199,650
Intercontinental Hotels Group P.L.C. 968,773 12,321,669
* International Power P.L.C. 2,525,271 7,316,497
ITV P.L.C. 1,551,881 3,253,412
Johnson Matthey P.L.C. 43,250 837,103
Kelda Group P.L.C. 161,510 1,664,219
1
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Kingfisher P.L.C. 659,395 3,628,560
Land Securities Group P.L.C. 78,654 1,931,002
Liberty International P.L.C. 469,345 7,948,434
London Merchant Securities P.L.C. 358,862 1,374,062
Marks & Spencer Group P.L.C. 1,197,239 7,507,828
Mersey Docks & Harbour Co. P.L.C. 115,042 1,963,986
MFI Furniture Group P.L.C. 66,600 147,555
Millennium and Copthorne Hotels P.L.C. 493,245 3,403,860
Mitchells & Butlers P.L.C. 630,549 3,645,854
* MM02 P.L.C. 8,760,348 19,150,459
Pearson P.L.C. 245,987 2,881,913
Peninsular & Oriental Steam Navigation P.L.C. 1,130,420 6,506,424
Pennon Group P.L.C. 58,615 993,265
Persimmon P.L.C. 271,811 3,215,321
* Pillar Property P.L.C. 131,128 1,766,906
* Premier Oil P.L.C. 119,812 1,281,811
Quintain Estates & Development P.L.C. 75,000 678,151
Rio Tinto P.L.C. 83,136 2,429,211
RMC Group P.L.C. 401,000 6,426,693
* Rolls Royce Group P.L.C. 2,749,448 13,820,270
Rolls Royce Group P.L.C. 87,432,446 177,656
Royal & Sun Alliance Insurance Group P.L.C. 5,018,810 7,069,730
Royal Bank of Scotland Group P.L.C. 219,664 6,750,397
Sabmiller P.L.C. 192,609 3,241,389
Sainsbury (J.) P.L.C. 2,629,334 13,111,209
Scottish & Newcastle P.L.C. 976,911 8,005,286
Scottish Power P.L.C. 1,102,159 8,143,727
Severn Trent P.L.C. 210,597 3,579,003
Shire Pharmaceuticals Group P.L.C. 683,427 6,850,230
Singer & Friedlander Group P.L.C. 253,818 1,360,647
Slough Estates P.L.C. 706,900 6,514,933
Smith (David S.) Holdings P.L.C. 547,941 1,559,927
Somerfield P.L.C. 738,068 2,153,583
Stanley Leisure P.L.C. 189,634 1,618,826
Tate & Lyle P.L.C. 660,070 6,201,623
Taylor Woodrow P.L.C. 998,309 4,430,105
* The Berkeley Group Holdings P.L.C. 228,802 5,208,890
* Thus Group P.L.C. 1,857,640 506,804
Trinity Mirror P.L.C. 495,640 5,900,900
United Utilities P.L.C. 265,595 2,853,278
Vodafone Group P.L.C. 36,676,526 99,621,935
Westbury P.L.C. 27,098 198,280
Whitbread P.L.C. 520,965 7,943,848
Wilson Bowden P.L.C. 105,900 2,014,911
Wimpey (George) P.L.C. 446,968 3,047,161
Wolverhampton & Dudley Breweries P.L.C. 107,366 1,877,948
Woolworths Group P.L.C. 2,125,199 1,807,964
------------------
TOTAL COMMON STOCKS
(Cost $395,622,398) 537,664,530
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* British Pound Sterling 222,049
------------------
(Cost $218,213)
TOTAL -- UNITED KINGDOM
(Cost $395,840,611) 537,886,579
------------------
2
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SHARES VALUE+
------------ ------------------
JAPAN -- (15.6%)
COMMON STOCKS -- (15.4%)
# Aichi Steel Corp. 120,000 639,864
AIOI Insurance Co., Ltd. 928,735 4,099,014
Aisin Seiki Co., Ltd. 182,500 3,922,135
Akita Bank, Ltd. 115,000 450,865
# Alpine Electronics, Inc. 36,800 493,856
Amada Co., Ltd. 376,000 1,892,739
# Anritsu Corp. 67,000 489,523
Aoyama Trading Co., Ltd. 47,700 1,177,185
Asahi Breweries, Ltd. 221,600 2,616,693
Asatsu-Dk, Inc. 32,500 948,181
Autobacs Seven Co., Ltd. 23,700 691,733
Awa Bank, Ltd. 196,600 1,196,489
Bank of Iwate, Ltd. 15,300 708,959
# Bank of Kyoto, Ltd. 347,400 2,905,585
Bank of Nagoya, Ltd. 185,000 954,565
Canon Sales Co., Inc. 124,900 1,788,562
Chiba Bank, Ltd. 941,000 5,972,629
Chudenko Corp. 41,100 594,696
Chugoku Bank, Ltd. 238,800 2,606,569
Citizen Watch Co., Ltd. 318,000 2,878,243
Coca-Cola West Japan Co., Ltd. 58,400 1,453,691
Comsys Holdings Corp. 92,000 790,402
Cosmo Oil Co., Ltd. 764,000 2,217,655
Dai Nippon Ink & Chemicals, Inc. 459,000 1,037,281
Dai Nippon Pharmaceutical Co., Ltd. 106,000 1,019,438
Dai Nippon Printing Co., Ltd. 784,000 11,698,696
Daicel Chemical Industries, Ltd. 485,000 2,683,925
Daido Steel Co., Ltd. 274,000 749,659
Daishi Bank, Ltd. 355,000 1,354,819
Daiwa House Industry Co., Ltd. 663,000 7,115,109
Denso Corp. 22,500 537,877
# Ebara Corp. 173,000 769,700
Ezaki Glico Co., Ltd. 174,600 1,228,722
Fuji Electric Co., Ltd. 525,780 1,357,224
Fuji Fire & Marine Insurance Co., Ltd. 297,000 967,308
Fuji Heavy Industries 493,000 2,277,016
Fuji Oil Co., Ltd. 55,200 649,009
Fuji Photo Film Co., Ltd. 563,000 19,770,970
Fujikura, Ltd. 241,000 1,080,405
Fukui Bank, Ltd. 343,000 1,392,967
# Fukuoka Bank, Ltd. 418,000 2,647,827
Fukuyama Transporting Co., Ltd. 266,000 1,050,906
Futaba Corp. 16,000 374,944
Futaba Industrial Co., Ltd. 44,100 715,289
Glory, Ltd. 46,800 731,875
Gunma Bank, Ltd. 323,000 1,689,328
Gunze, Ltd. 148,000 645,146
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Hachijuni Bank, Ltd. 344,000 2,269,157
* Hankyu Corp. 174,000 672,142
Hanshin Electric Railway Co., Ltd. 216,000 711,083
Heiwa Corp. 81,500 1,219,515
Higo Bank, Ltd. 308,000 1,941,622
Hitachi Cable, Ltd. 236,000 995,854
Hitachi Maxell, Ltd. 96,000 1,303,233
Hitachi Metals, Ltd. 360,000 2,041,542
Hitachi, Ltd. 3,891,000 24,995,057
Hokkoku Bank, Ltd. 223,000 989,578
Hokuetsu Paper Mills, Ltd. 162,000 876,828
House Foods Corp. 117,000 1,665,322
Hyakugo Bank, Ltd. 258,000 1,475,276
Hyakujishi Bank, Ltd. 314,000 1,844,631
* Ishikawajima-Harima Heavy Industries Co., Ltd. 819,000 1,114,336
* Itochu Corp. 120,000 543,178
Itoham Foods, Inc. 132,000 638,519
Iyo Bank, Ltd. 204,000 1,488,562
Japan Airport Terminal Co., Ltd. 33,000 309,897
Joyo Bank, Ltd. 545,000 2,549,901
Juroku Bank, Ltd. 349,000 1,500,586
Kagoshima Bank, Ltd. 132,000 795,400
Kamigumi Co., Ltd. 357,000 2,766,866
# Kandenko Co., Ltd. 129,000 683,325
Katokichi Co., Ltd. 34,500 650,155
# Kawasaki Heavy Industries, Ltd. 910,000 1,369,900
Kikkoman Corp. 259,000 2,361,000
Kinden Corp. 167,000 1,229,842
Kirin Brewery Co., Ltd. 752,000 7,200,964
# Kissei Pharmaceutical Co., Ltd. 41,000 858,892
Kobe Steel, Ltd. 2,632,000 4,005,252
Koito Manufacturing Co., Ltd. 101,000 832,929
Kokuyo Co., Ltd. 81,200 931,741
Komori Corp. 47,000 648,548
Kuraray Co., Ltd. 332,500 2,736,331
KYORIN Pharmaceutical Co., Ltd. 52,000 742,348
# Makita Corp. 209,000 3,228,203
Marubeni Corp. 1,942,000 5,496,133
Marui Co., Ltd. 345,200 4,561,048
Maruichi Steel Tube, Ltd. 117,000 2,051,704
Matsushita Electric Industrial Co., Ltd. 2,684,135 39,847,476
Matsushita Electric Works, Ltd. 268,000 2,293,600
Meiji Seika Kaisha, Ltd. Tokyo 243,000 1,068,514
Michinoku Bank, Ltd. 73,000 345,500
Millea Holdings, Inc. 1,870 26,342,329
Mitsubishi Gas Chemical Co., Inc. 305,000 1,442,488
Mitsubishi Heavy Industries, Ltd. 3,355,000 9,601,127
Mitsubishi Logistics Corp. 106,000 984,889
Mitsubishi Materials Corp. 975,000 2,020,966
Mitsui Chemicals, Inc. 540,800 2,829,991
Mitsui Engineering and Shipbuilding Co., Ltd. 481,000 801,907
Mitsui Marine & Fire Insurance Co., Ltd. 1,564,000 13,746,639
Mitsumi Electric Co., Ltd. 45,800 505,707
Mizuho Holdings, Inc. 1,192 5,173,642
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Morinaga Milk Industry Co., Ltd. 160,000 644,584
Musashino Bank, Ltd. 20,000 800,061
Nagase & Co., Ltd. 87,000 687,585
Namco, Ltd. 11,000 135,028
Nanto Bank, Ltd. 317,000 1,532,365
NGK Insulators, Ltd. 216,000 1,791,941
NGK Spark Plug Co., Ltd. 144,000 1,401,487
Nichicon Corp. 51,200 633,612
Nichirei Corp. 180,000 670,824
# Nifco, Inc. 37,000 567,669
Nihon Unisys, Ltd. 69,100 641,335
Nippon Broadcasting System, Inc. 20,690 978,259
Nippon Kayaku Co., Ltd. 128,000 699,364
Nippon Meat Packers, Inc., Osaka 144,000 1,860,776
Nippon Mitsubishi Oil Corp. 1,871,050 12,279,544
Nippon Paint Co., Ltd. 167,000 670,721
Nippon Sheet Glass Co., Ltd. 280,000 1,076,398
* Nippon Shinpan Co., Ltd. 191,000 675,452
Nippon Shokubai Co., Ltd. 163,000 1,338,046
Nippon Television Network Corp. 9,400 1,358,813
# Nishimatsu Construction Co., Ltd. 364,000 1,141,553
Nishi-Nippon Bank, Ltd. 112,540 485,374
Nissay Dowa General Insurance Co., Ltd. 383,000 1,786,299
Nisshin Seifun Group, Inc. 148,000 1,622,155
Nisshin Steel Co., Ltd. 627,000 1,494,189
Nisshinbo Industries, Inc. 305,000 2,084,653
# * Nissho Iwai-Nichmen Holdings Corp. 130,400 547,916
# NSK, Ltd. 319,000 1,481,284
Obayashi Corp. 520,000 3,225,959
Ogaki Kyoritsu Bank, Ltd. 68,000 361,150
Oji Paper Co., Ltd. 275,000 1,564,800
Okumura Corp. 144,000 793,282
Onward Kashiyama Co., Ltd. 100,000 1,357,842
PanaHome Corp. 106,000 543,820
Pioneer Electronic Corp. 139,800 2,613,796
Promise Co., Ltd. 60,500 4,220,704
Q.P. Corp. 109,600 960,526
# Rengo Co., Ltd. 152,000 696,632
* Resona Holdings, Inc. 1,873,000 3,307,879
San In Godo Bank, Ltd. 110,000 882,181
Sanwa Shutter Corp. 101,000 563,623
Sanyo Shinpan Finance Co., Ltd. 19,800 1,273,932
# Sapporo Breweries, Ltd. 251,000 1,083,835
Sapporo Hokuyo Holdings, Inc. 224 1,565,943
Seino Transportation Co., Ltd. 193,000 1,751,928
Sekisui Chemical Co., Ltd. 557,000 3,646,982
Sekisui House, Ltd. 942,000 10,378,242
Seventy-seven (77) Bank, Ltd. 241,000 1,567,945
SFCG Co., Ltd. 8,010 1,971,516
Shiga Bank, Ltd. 272,000 1,484,603
Shikoku Bank, Ltd. 72,000 412,853
Shimachu Co., Ltd. 36,200 858,825
Shinko Securities Co., Ltd. 470,000 1,418,171
Shizuoka Bank, Ltd. 473,000 4,154,962
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Sumitomo Bakelite Co., Ltd. 105,000 610,069
Sumitomo Corp. 471,000 3,964,211
Sumitomo Electric Industries, Ltd. 472,000 4,934,630
Sumitomo Forestry Co., Ltd. 139,000 1,217,377
Sumitomo Metal Industries, Ltd. Osaka 592,000 787,024
Sumitomo Metal Mining Co., Ltd. 313,000 2,340,059
Sumitomo Osaka Cement Co., Ltd. 269,000 591,633
Sumitomo Trust & Banking Co., Ltd. 21,000 139,903
Suzuken Co., Ltd. 54,000 1,269,287
Taiheiyo Cement Corp. 1,209,800 3,023,219
Taisei Corp. 527,000 2,077,690
Taiyo Yuden Co., Ltd. 77,000 782,756
Takara Standard Co., Ltd. 118,000 696,478
Takashimaya Co., Ltd. 124,000 1,172,422
Teijin, Ltd. 893,000 3,829,691
Teikoku Oil Co., Ltd. 346,000 1,878,076
Toda Corp. 203,000 906,207
Toho Bank, Ltd. 97,000 356,918
Tokai Tokyo Securities Co., Ltd. 155,000 440,169
Tokuyama Corp. 248,000 1,417,399
Tokyo Broadcasting System, Inc. 117,500 1,859,950
Tokyo Style Co., Ltd. 133,000 1,486,662
Tokyo Tatemono Co., Ltd. 143,000 920,968
Toppan Printing Co., Ltd. 441,000 4,576,733
Toshiba TEC Corp. 181,000 804,742
Tostem Inax Holding Corp. 228,000 4,022,909
Toyo Ink Manufacturing Co., Ltd. 174,000 615,254
Toyo Seikan Kaisha, Ltd. 287,600 4,687,662
Toyo Suisan Kaisha, Ltd. 64,000 825,720
Toyota Auto Body Co., Ltd. 86,000 1,414,103
Toyota Tsusho Corp. 79,000 1,188,614
TV Asahi Corp. 202 413,308
UNY Co., Ltd. 133,000 1,436,923
Wacoal Corp. 149,000 1,673,221
Yamagata Bank, Ltd. 100,000 468,422
Yamaguchi Bank, Ltd. 133,000 1,349,530
Yamanashi Chuo Bank, Ltd. 119,000 700,781
Yamatake Corp. 20,000 210,126
Yamazaki Baking Co., Ltd. 155,000 1,402,650
Yokohama Rubber Co., Ltd. 410,000 1,434,541
York-Benimaru Co., Ltd. 29,300 808,277
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TOTAL COMMON STOCKS
(Cost $443,108,095) 464,821,980
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INVESTMENT IN CURRENCY -- (0.2%)
* Japanese Yen 6,275,105
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(Cost $6,276,971)
TOTAL -- JAPAN
(Cost $449,385,066) 471,097,085
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FRANCE -- (10.8%)
COMMON STOCKS -- (10.8%)
AGF (Assurances Generales de France SA) 177,559 12,204,896
Air France 192,225 3,639,817
Air Liquide SA 9,820 1,671,861
Arcelor SA 167,800 3,697,167
AXA 1,670,413 39,122,585
BNP Paribas SA 902,415 62,745,944
Bongrain SA 7,145 484,919
# * Business Objects SA 54,856 1,280,655
* Cap Gemini SA 96,137 3,102,836
# * Club Mediterranee SA 8,962 411,643
Compagnie de Saint-Gobain 348,170 19,808,301
# Compagnie Francaise d'Etudes et de Construction Technip SA 16,088 2,694,337
Credit Agricole SA 27,709 820,511
Eiffage SA 6,954 693,811
Esso SA 686 101,897
Euler-Hermes SA 10,354 678,291
* Eurafrance 18,000 1,403,840
# Faurecia SA 30,445 2,276,996
# Fimalac SA 46,887 2,125,196
Generale des Establissements Michelin SA Series B 107,620 6,221,184
Havas SA 300,744 1,661,907
Imerys SA 44,000 3,363,354
LaFarge SA 139,696 13,122,402
LaFarge SA Prime Fidelity 85,542 8,043,508
Lagardere S.C.A. SA 10,900 778,878
Nexans 9,618 370,496
Peugeot SA 238,144 14,551,758
Pinault Printemps Redoute SA 67,999 7,065,871
Rallye SA 18,020 866,072
# Remy Cointreau SA 56,022 2,073,614
Renault SA 207,598 16,996,011
# Rexel SA 10,713 542,322
SA Des Galeries Lafayette 900 202,478
Schneider SA 209,919 14,594,986
SEB SA Prime Fidelity 9,900 1,006,552
Societe BIC SA 52,288 2,542,068
# Societe des Ciments de Francais 35,796 3,142,950
Societe Generale Paris 293,528 28,347,570
Sodexho Alliance SA 14,126 429,816
Suez (ex Suez Lyonnaise des Eaux) 701,284 16,488,080
Thomson Multimedia 179,505 4,311,546
# Unibail SA 34,832 4,955,962
Valeo SA 73,528 2,911,246
Vallourec (Usines a Tubes de Lorraine Escaut et Vallourec Reunies) 4,504 622,748
* Vivendi Universal SA 403,364 11,886,532
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TOTAL COMMON STOCKS
(Cost $220,711,106) 326,065,414
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RIGHTS/WARRANTS -- (0.0%)
* Air France Warrants 11/06/07 16,500 18,421
* Rallye SA Series B Warrants 11/30/05 18,020 2,383
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TOTAL RIGHTS/WARRANTS
(Cost $28,587) 20,804
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TOTAL -- FRANCE
(Cost $220,739,693) 326,086,218
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MALAYSIA -- (0.0%)
COMMON STOCKS -- (0.0%)
* Rekapacific Berhad
(Cost $1,085,853) 691,000 0
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GERMANY -- (7.1%)
COMMON STOCKS -- (7.1%)
Aachener und Muenchener Beteiligungs AG 33,828 2,556,439
Allianz AG 11,053 1,381,828
BASF AG 386,050 26,064,201
Bayer AG 498,853 15,829,617
Bayerische Motorenwerke AG 23,035 976,317
* Bayerische Vereinsbank AG 573,132 12,777,641
BHW Holding AG 10,667 144,370
Bilfinger & Berger Bau AG 23,702 887,947
* Commerzbank AG 408,050 8,157,135
DaimlerChrysler AG 1,037,459 46,429,283
Deutsche Bank AG 589,811 49,954,035
E.ON AG 12,593 1,060,464
Fraport AG 68,708 2,676,797
Fresenius Medical Care AG 27,600 2,160,307
* Heidelberger Druckmaschinen AG 46,167 1,578,133
Heidelberger Zement AG 70,373 3,993,505
Hochtief AG 56,150 1,667,607
* Hypo Real Estate Holding AG 84,277 3,263,856
IVG Immobilien AG 30,276 460,689
Karstadt Quelle AG 12,500 128,405
Linde AG 77,043 4,733,669
Merck KGAA 36,000 2,072,910
* MG Technologies AG 150,773 1,780,689
# Preussag AG 131,223 2,925,027
Salzgitter AG 13,041 263,659
SCA Hygiene Products AG 3,550 1,366,619
ThyssenKrupp AG 325,691 7,076,828
Vattenfall Europe AG 94,898 3,658,597
Volkswagen AG 202,446 9,107,320
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TOTAL COMMON STOCKS
(Cost $180,557,681) 215,133,894
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RIGHTS/WARRANTS -- (0.0%)
* Karstadt Quelle AG Rights 12/09/04 12,500 29,737
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(Cost $70,225)
TOTAL -- GERMANY
(Cost $180,627,906) 215,163,631
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SWITZERLAND -- (7.1%)
COMMON STOCKS -- (7.1%)
Baloise-Holding 214,760 9,027,920
Bank Sarasin & Cie Series B, Basel 180 299,479
Banque Cantonale Vaudoise 12,608 1,946,224
Berner Kantonalbank 23,400 3,325,566
* Ciba Spezialitaetenchemie Holding AG 81,000 5,862,257
Cie Financiere Richemont AG Series A 1,251,000 38,073,212
Clariant AG 19,200 298,870
* Credit Swisse Group 806,195 31,473,228
* Fischer (Georg) AG, Schaffhausen 1,280 330,452
# Givaudan SA 5,792 3,828,374
Helvetia Patria Holding 7,696 1,072,659
Holcim, Ltd. 199,770 11,440,948
Jelmoli Holding AG 500 690,230
Luzerner Kantonalbank AG 14,627 2,681,791
Pargesa Holding SA, Geneve 1,935 6,538,318
PSP Swiss Property AG 109,600 4,681,675
Rieters Holdings AG 7,860 2,284,323
Sig Holding AG 44,130 9,945,721
* Sika Finanz AG, Baar 3,828 2,261,329
# St. Galler Kantonalbank 14,319 3,512,490
* Swiss Life AG 132,137 17,356,050
Swiss Reinsurance Co., Zurich 82,700 5,524,052
* Syngenta AG 165,100 17,492,792
# Unaxis Holding AG 45,400 4,796,859
* Valiant Holding AG 39,295 3,566,334
Valora Holding AG 12,170 2,949,565
* Zurich Financial SVCS AG 152,206 23,419,596
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TOTAL COMMON STOCKS
(Cost $148,683,401) 214,680,314
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RIGHTS/WARRANTS -- (0.0%)
* Helvetia Patria Holding Rights 12/07/04 8,116 90,582
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(Cost $0)
TOTAL -- SWITZERLAND
(Cost $148,683,401) 214,770,896
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AUSTRALIA -- (6.4%)
COMMON STOCKS -- (6.2%)
Amcor, Ltd. 862,273 4,942,349
AMP, Ltd. 1,026,661 5,453,050
# Ansell, Ltd. 303,463 2,151,028
APN News & Media, Ltd. 495,309 1,910,807
Australand Property Group 292,716 411,887
AWB, Ltd. 356,256 1,309,632
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AXA Asia Pacific Holdings, Ltd. 2,837,724 8,777,105
# Bluescope Steel, Ltd. 1,252,100 8,134,416
Boral, Ltd. 919,617 4,895,282
Caltex Australia, Ltd. 440,369 3,121,553
Commonwealth Bank of Australia 1,251,077 30,387,664
CSR, Ltd. 1,514,337 3,010,727
Downer Group, Ltd. 223,115 772,283
Futuris Corp., Ltd. 458,719 748,533
Insurance Australiz Group, Ltd. 1,466,691 6,613,074
Lend Lease Corp., Ltd. 568,460 5,344,330
Lion Nathan, Ltd. 871,345 5,354,657
Mayne Group, Ltd. 1,301,416 4,286,592
# Mirvac, Ltd. 1,185,081 4,330,046
National Australia Bank, Ltd. 1,252,892 27,239,746
Onesteel, Ltd. 446,887 852,312
Orica, Ltd. 358,303 5,418,336
Origin Energy, Ltd. 694,412 3,776,075
Paperlinx, Ltd. 727,704 2,614,992
Publishing and Broadcasting, Ltd. 405,482 4,895,936
Quantas Airways, Ltd. 3,393,231 9,378,667
Rinker Group, Ltd. 1,155,484 8,572,213
Santos, Ltd. 953,246 6,529,804
# Seven Network, Ltd. 383,865 1,866,988
* Southcorp, Ltd. 1,146,542 3,232,560
Stockland Trust Group 22,084 100,390
* Stockland Trust Group 783 3,548
WMC Resources, Ltd. 1,821,249 10,096,940
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TOTAL COMMON STOCKS
(Cost $123,337,406) 186,533,522
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INVESTMENT IN CURRENCY -- (0.2%)
* Australian Dollar 6,012,695
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(Cost $6,108,819)
TOTAL -- AUSTRALIA
(Cost $129,446,225) 192,546,217
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SPAIN -- (4.9%)
COMMON STOCKS -- (4.9%)
# Acerinox SA 261,360 3,836,009
Arcelor SA 30,000 662,119
Autopistas Concesionaria Espanola SA 496,408 10,306,237
Banco de Andalucia 900 84,421
Banco de Sabadell SA 154,021 3,458,030
# Banco Pastor SA 59,400 1,939,044
# Banco Santander Central Hispanoamerica SA 2,754,687 33,045,586
Cementos Portland SA 21,016 1,175,481
Corporacion Mapfre Compania Internacional de Reaseguros SA 146,555 2,057,465
Ebro Puleva SA 120,322 1,549,160
Endesa SA, Madrid 1,136,646 24,487,412
Gas Natural SA, Buenos Aires 121,385 3,474,711
# Iberdrola SA 535,000 12,597,452
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Iberia Lineas Aereas de Espana SA 617,500 2,013,474
Inmobiliaria Colonial SA ICSA 32,300 1,243,490
# Inmobiliaria Urbis SA 96,328 1,325,041
# Metrovacesa SA 69,066 3,290,079
Repsol SA 1,289,224 31,413,737
Sociedad General de Aguas de Barcelona SA 119,484 2,236,550
# Sol Melia SA 157,217 1,474,608
Union Fenosa SA 230,000 5,925,764
Vallehermoso SA 46,125 705,967
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TOTAL COMMON STOCKS
(Cost $99,497,069) 148,301,837
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RIGHTS/WARRANTS -- (0.0%)
* Sociedad General de Aguas de Barcelona SA Rights 12/15/04 119,484 22,232
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(Cost $0)
TOTAL -- SPAIN
(Cost $99,497,069) 148,324,069
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NETHERLANDS -- (4.2%)
COMMON STOCKS -- (4.2%)
ABN AMRO Holding NV 48,226 1,184,128
Aegon NV 1,335,528 16,512,414
Buhrmann NV 94,439 843,671
DSM NV 99,492 5,992,654
Hunter Douglas NV 94,242 4,750,608
IHC Caland NV 21,931 1,341,229
ING Groep NV 1,856,950 50,968,074
* Koninklijke Ahold NV 713,522 5,243,102
Koninklijke KPN NV 778,922 6,757,700
Koninklijke Nedlloyd NV 12,142 616,114
Koninklijke Philips Electronics NV 780,482 20,113,730
NV Holdingsmij de Telegraaf 6,800 161,860
Oce NV 60,734 907,927
* Versatel Telecom International NV 323,150 858,891
VNU NV 380,388 11,476,796
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TOTAL -- NETHERLANDS
(Cost $89,713,830) 127,728,898
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SWEDEN -- (3.7%)
COMMON STOCKS -- (3.6%)
# * Ainax AB 40,366 1,601,623
Carbo AB 2,900 79,805
Castellum AB 4,100 142,427
Electrolux AB Series B 168,300 3,703,241
Gambro AB Series A 555,400 7,197,790
Gambro AB Series B 216,300 2,715,309
Holmen AB Series A 6,300 233,677
Holmen AB Series B 155,700 5,437,892
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NCC AB Series B 59,700 753,603
Nordic Baltic Holdings AB 1,843,100 18,092,336
Skandinaviska Enskilda Banken Series A 196,000 3,730,512
Skandinaviska Enskilda Banken Series C 9,800 181,344
SSAB Swedish Steel Series A 180,800 4,361,398
SSAB Swedish Steel Series B 60,500 1,433,272
Svenska Cellulosa AB Series A 19,000 794,428
Svenska Cellulosa AB Series B 221,100 9,214,003
Svenska Kullagerfabriken AB Series A 22,650 965,142
Svenska Kullagerfabriken AB Series B 29,700 1,262,280
Telia AB 1,875,000 11,425,027
Trelleborg AB Series B 160,600 2,658,989
Volvo AB Series A 243,200 9,574,994
Volvo AB Series B 443,400 18,072,158
Whilborg Fastigheter AB Class B 173,980 3,457,233
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TOTAL COMMON STOCKS
(Cost $70,971,563) 107,088,483
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INVESTMENT IN CURRENCY -- (0.1%)
* Swedish Krona 3,698,511
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(Cost $3,705,806)
TOTAL -- SWEDEN
(Cost $74,677,369) 110,786,994
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HONG KONG -- (3.2%)
COMMON STOCKS -- (3.2%)
Cheung Kong Holdings, Ltd. 1,648,000 15,846,285
China Overseas Land & Investment, Ltd. 1,864,000 442,873
China Travel International Investment, Ltd. 680,000 205,117
Great Eagle Holdings, Ltd. 175,987 418,358
Hang Lung Development Co., Ltd. 2,518,000 4,721,136
Henderson Land Development Co., Ltd. 123,000 638,612
Hong Kong and Shanghai Hotels, Ltd. 372,000 348,818
Hopewell Holdings, Ltd. 1,455,000 3,771,769
Hutchison Whampoa, Ltd. 2,319,000 20,660,149
Hysan Development Co., Ltd. 2,157,039 4,377,561
Kerry Properties, Ltd. 2,312,291 4,951,737
New Asia Realty & Trust Co., Ltd. 140,000 66,640
New World Development Co., Ltd. 2,625,649 2,946,084
# Shanghai Industrial Holdings, Ltd. 1,094,000 2,203,508
# Shangri-La Asia, Ltd. 4,190,734 5,359,848
# Shun Tak Holdings, Ltd. 134,000 135,857
# Sino Land Co., Ltd. 8,041,407 7,689,791
Tsim Sha Tsui Properties, Ltd. 472,000 661,501
Wharf Holdings, Ltd. 3,619,214 12,871,190
Wheelock and Co., Ltd. 3,940,000 6,508,047
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TOTAL COMMON STOCKS
(Cost $77,052,663) 94,824,881
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INVESTMENT IN CURRENCY -- (0.0%)
* Hong Kong Dollars 203,239
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(Cost $203,299)
RIGHTS/WARRANTS -- (0.0%)
* China Travel International Investment, Ltd. Warrants 05/31/06 136,000 13,292
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(Cost $0)
TOTAL -- HONG KONG
(Cost $77,255,962) 95,041,412
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ITALY -- (2.5%)
COMMON STOCKS -- (2.5%)
* Alitalia Linee Aeree Italiane SpA Series A 6,690,000 2,295,497
* Banca Antoniana Popolare Veneta SpA 83,000 1,985,205
Banca Monte Dei Paschi di Siena SpA 1,623,479 5,306,690
# * Banca Nazionale del Lavoro SpA 2,230,687 5,457,494
# Banca Popolare di Lodi Scarl 437,995 4,889,598
Banca Popolare di Milano 665,400 5,414,145
Benetton Group SpA 181,249 2,179,239
# Buzzi Unicem SpA 67,793 950,378
Caltagirone Editore SpA 222,304 1,889,830
Capitalia SpA 2,910,876 11,419,773
CIR SpA (Cie Industriale Riunite), Torino 500,000 1,253,920
# Compagnia Assicuratrice Unipol SpA 452,120 2,000,977
# * Edison SpA 1,390,717 2,856,235
Erg SpA 197,993 2,203,693
# * Fiat SpA 1,054,970 7,814,046
Italcementi SpA 444,060 6,715,735
Italmobiliare SpA, Milano 33,664 1,949,937
Manifattura Lane Gaetano Marzotto & Figli SpA 5,573 99,295
Milano Assicurazioni SpA 182,000 917,096
Pirelli & Co. SpA 1,486,658 1,891,787
# SAI SpA (Sta Assicuratrice Industriale), Torino 167,605 4,076,989
San Paolo-IMI SpA 121,701 1,670,468
Societe Cattolica di Assicurazoni Scarl SpA 8,800 387,448
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TOTAL COMMON STOCKS
(Cost $69,926,723) 75,625,475
------------------
RIGHTS/WARRANTS -- (0.0%)
* Fiat SpA Warrants 01/31/07 51,693 8,224
------------------
(Cost $0)
TOTAL -- ITALY
(Cost $69,926,723) 75,633,699
------------------
IRELAND -- (1.6%)
COMMON STOCKS -- (1.6%)
Allied Irish Banks P.L.C. 144,188 2,798,692
Bank of Ireland P.L.C. 99,637 1,518,985
CRH P.L.C. 545,646 13,761,010
* Elan Corp. P.L.C. 690,634 17,993,169
13
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Irish Permanent P.L.C. 650,175 11,241,742
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TOTAL -- IRELAND
(Cost $26,709,697) 47,313,598
------------------
FINLAND -- (1.5%)
COMMON STOCKS -- (1.5%)
Huhtamaki Van Leer Oyj 2,300 33,653
# * Kemira GrowHow Oyj 21,542 157,467
Kemira Oyj 101,377 1,403,187
Kesko Oyj 157,000 3,651,209
Metso Oyj 219,166 3,509,431
M-real Oyj Series B 253,400 1,651,678
Okobank Class A 65,000 903,664
Outokumpu Oyj Series A 351,300 6,533,481
Rautaruukki Oyj Series K 12,900 155,654
Stora Enso Oyj Series R 766,900 12,227,695
Upm-Kymmene Oyj 539,400 12,165,996
# Wartsila Corp. Oyj Series B 39,600 1,374,564
------------------
TOTAL -- FINLAND
(Cost $31,526,494) 43,767,679
------------------
BELGIUM -- (1.4%)
COMMON STOCKS -- (1.4%)
Ackermans & Van Haaren SA 4,187 142,184
Algemene Mij Voor Nijverheidskredit Almanij 94,286 8,460,761
Banque Nationale de Belgique 1,049 4,441,149
Bekaert SA 2,787 218,038
Cofinimmo SA 1,108 177,423
Delhaize Freres & cie le Lion SA Molenbeek-Saint Jean 109,966 8,509,068
Dexia SA 191,251 4,080,385
D'Ieteren SA 431 81,571
Groupe Bruxelles Lambert 55,500 4,336,610
* ING Bank Belgium NV 128 4
Nationale a Portefeuille 4,029 763,223
Sofina SA 10,500 694,874
Suez (ex Suez Lyonnaise des Eaux) 95,400 2,239,088
Tessenderlo Chemie 31,155 1,298,467
Union Miniere SA 70,740 6,405,311
------------------
TOTAL COMMON STOCKS
(Cost $26,690,265) 41,848,156
------------------
RIGHTS/WARRANTS -- (0.0%)
* Umicore-Strip VVPR Rights 2,009 265
------------------
(Cost $0)
TOTAL -- BELGIUM
(Cost $26,690,265) 41,848,421
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14
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SHARES VALUE+
------------ ------------------
DENMARK -- (1.2%)
COMMON STOCKS -- (1.2%)
Carlsberg A.S. Series B 32,525 1,517,604
Codan A.S. 57,000 2,919,597
Danisco A.S. 56,130 3,423,707
Danske Bank A.S. 395,753 11,832,330
# * Jyske Bank A.S. 82,000 2,945,370
Nordea AB 475,918 4,667,916
Rockwool, Ltd. 31,200 1,502,307
Sydbank A.S. 7,120 1,351,873
Tele Danmark A.S. 179,750 7,369,301
------------------
TOTAL COMMON STOCKS
(Cost $23,184,424) 37,530,005
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* Danish Krone 527
------------------
(Cost $506)
TOTAL -- DENMARK
(Cost $23,184,930) 37,530,532
------------------
SINGAPORE -- (1.1%)
COMMON STOCKS -- (1.1%)
DBS Group Holdings, Ltd. 672,000 6,477,280
Fraser & Neave, Ltd. 756,290 6,733,037
Keppel Corp., Ltd. 570,000 2,797,082
# Neptune Orient Lines, Ltd. 801,000 1,440,753
Overseas Chinese Banking Corp., Ltd. 94,000 768,699
Sembcorp Industries, Ltd. 1,700,000 1,505,050
Singapore Airlines, Ltd. 1,258,000 8,361,262
Singapore Land, Ltd. 813,000 2,221,984
United Overseas Bank, Ltd. 66,000 547,881
United Overseas Land, Ltd. 1,734,000 2,458,662
------------------
TOTAL COMMON STOCKS
(Cost $26,461,854) 33,311,690
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* Singapore Dollars 1,127,329
------------------
(Cost $1,126,620)
TOTAL -- SINGAPORE
(Cost $27,588,474) 34,439,019
------------------
NORWAY -- (1.1%)
COMMON STOCKS -- (1.1%)
Den Norske Bank ASA Series A 759,794 7,170,633
Norsk Hydro ASA 200,940 16,466,917
Norske Skogindustrier ASA Series A 247,500 5,265,472
15
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Storebrand ASA 355,300 3,163,737
------------------
TOTAL COMMON STOCKS
(Cost $23,217,193) 32,066,759
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* Norwegian Krone 524,680
------------------
(Cost $525,947)
TOTAL -- NORWAY
(Cost $23,743,140) 32,591,439
------------------
AUSTRIA -- (0.4%)
COMMON STOCKS -- (0.4%)
* Bank Austria Creditanstalt AG 45,184 3,847,276
Bohler Uddeholm AG 6,402 758,788
OMV AG 11,385 3,007,395
# Voestalpine AG 62,211 4,450,174
Wienerberger AG 16,123 717,244
------------------
TOTAL -- AUSTRIA
(Cost $7,462,154) 12,780,877
------------------
PORTUGAL -- (0.4%)
COMMON STOCKS -- (0.4%)
Banco Comercial Portugues SA 1,428,405 3,572,420
Banco Espirito Santo e Comercial de Lisboa 86,280 1,526,668
BPI SGPS SA 477,999 1,946,299
# Cimpor Cimentos de Portugal SA 503,265 2,792,308
Portucel-Empresa Produtora de Pasta de Papel SA 1,442,478 2,938,854
------------------
TOTAL -- PORTUGAL
(Cost $10,531,651) 12,776,549
------------------
GREECE -- (0.4%)
COMMON STOCKS -- (0.4%)
* Agricultural Bank of Greece S.A. 123,600 1,011,961
Alpha Credit Bank 35,040 1,100,861
Bank of Greece 8,520 1,077,870
Bank of Piraeus S.A. 4,600 72,272
Commercial Bank of Greece 44,760 1,364,782
EFG Eurobank Ergasias S.A. 60,097 1,751,263
Hellenic Petroleum S.A. 159,140 1,666,698
Hellenic Tellecommunication Organization Co. S.A. 140,460 2,309,191
National Bank of Greece 20,176 622,832
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TOTAL -- GREECE
(Cost $7,215,408) 10,977,730
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16
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NEW ZEALAND -- (0.2%)
COMMON STOCKS -- (0.2%)
Auckland International Airport, Ltd. 99,828 555,368
Carter Holt Harvey, Ltd. 1,955,577 3,108,333
Fletcher Building, Ltd. 440,315 1,942,870
------------------
TOTAL COMMON STOCKS
(Cost $4,198,478) 5,606,571
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* New Zealand Dollar 624,922
------------------
(Cost $624,200)
TOTAL -- NEW ZEALAND
(Cost $4,822,678) 6,231,493
------------------
VALUE+
------------------
EMU -- (0.2%)
INVESTMENT IN CURRENCY -- (0.2%)
* Euro Currency 5,870,958
------------------
(Cost $5,800,001)
FACE
AMOUNT VALUE+
------------ ------------------
(000)
TEMPORARY CASH INVESTMENTS -- (7.1%)
Repurchase Agreement, Mizuho Securities USA 1.96%, 12/01/04
(Collateralized by $245,420,215 U.S. STRIPS, maturities ranging from
05/15/05 to 02/15/16, valued at $183,600,001) to be repurchased at
$180,009,800 (Cost $180,000,000) ^ 180,000 180,000,000
Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04
(Collateralized by $33,338,000 FNMA Notes 2.95%, 11/14/07, valued at
$33,384,773) to be repurchased at $32,928,720 (Cost $32,927,000) 32,927 32,927,000
------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $212,927,000) 212,927,000
------------------
TOTAL INVESTMENTS - (100.0%)
(Cost $2,345,081,600)++ $ 3,014,120,993
------------------
----------
+ Securities have been fair valued. See Note B to Financial Statements.
# Total or Partial Securities on Loan.
* Non-Income Producing Securities.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
17
THE JAPANESE SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
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SHARES VALUE+
------ ------
JAPAN -- (77.5%)
COMMON STOCKS -- (76.7%)
* A&A Material Corp. 123,000 $ 170,730
* ABILIT Corp. 22,000 192,119
# Achilles Corp. 549,000 920,852
Aderans Co., Ltd. 72,850 1,603,895
Advan Co., Ltd. 48,700 595,887
ADVANEX, Inc. 78,000 308,808
*# Aeon Fantasy Co., Ltd. 21,000 493,120
* Ahjikan Co., Ltd. 10,500 81,945
# Ahresty Corp. 28,300 351,478
Aica Kogyo Co., Ltd. 111,000 1,281,041
Aichi Bank, Ltd. 19,000 1,479,008
Aichi Corp. 136,000 590,910
* Aichi Machine Industry Co., Ltd. 153,000 522,188
# Aichi Steel Corp. 68,000 362,590
Aichi Tokei Denki Co., Ltd. 67,000 195,785
Aida Engineering, Ltd. 113,000 468,119
Aigan Co., Ltd. 33,500 290,783
Aiphone Co., Ltd. 35,600 618,452
Airport Facilities Co., Ltd. 92,970 486,606
Airtech Japan, Ltd. 12,100 103,253
Aisan Industry Co., Ltd. 90,900 825,577
* Akai Electric Co., Ltd. 363,000 3,531
Akebono Brake Industry Co., Ltd. 166,000 821,612
Akita Bank, Ltd. 363,000 1,423,164
# Allied Telesis KK 130,700 274,687
Aloka Co., Ltd. 49,000 317,688
Alpha Systems, Inc. 19,600 339,384
# Alpine Electronics, Inc. 108,500 1,456,070
# Alps Logistics Co., Ltd. 24,000 539,400
Altech Co., Ltd. 14,000 62,569
* Altech Corp. 12,750 169,242
# Amano Corp. 154,000 1,402,316
Amatsuji Steel Ball Manufacturing Co.,
Ltd. 42,000 428,030
Ando Corp. 140,000 349,099
Anest Iwata Corp. 74,000 201,628
# Anrakutei Co., Ltd. 30,000 207,591
# Anritsu Corp. 170,000 1,242,072
* AOC Holdings, Inc. 111,100 1,375,848
AOI Advertising Promotion, Inc. 21,000 155,822
AOI Electronics Co., Ltd. 19,300 282,955
Aoki International Co., Ltd. 87,400 1,101,488
Aomori Bank, Ltd. 342,000 1,378,461
* Apic Yamada Corp. 20,000 72,196
*# Arai-Gumi, Ltd. 34,450 64,811
Arakawa Chemical Industries, Ltd. 28,500 377,157
Araya Industrial Co., Ltd. 84,000 192,486
* Argo 21 Corp. 13,200 93,426
Ariake Japan Co., Ltd. 26,000 628,879
Aronkasei Co., Ltd. 66,000 310,560
# As One Corp. 24,500 709,550
Asahi Denka Kogyo KK 169,000 1,628,994
Asahi Diamond Industrial Co., Ltd. 133,000 720,483
Asahi Kogyosha Co., Ltd. 48,000 157,598
Asahi Organic Chemicals Industry Co.,
Ltd. 179,000 546,173
# Asahi Pretec Corp. 36,400 $ 447,947
* Asahi Soft Drinks Co., Ltd. 98,500 822,675
* Asahi Tec Corp. 86,000 184,606
*# Asahi Techno Glass Corp. 95,000 331,134
Asanuma Corp. 123,000 235,199
Ashimori Industry Co., Ltd. 84,000 205,280
Asia Air Survey Co., Ltd. 17,000 39,278
Asia Securities Printing Co., Ltd. 29,000 250,227
Asics Corp. 392,000 1,254,068
Asics Trading Co., Ltd. 12,000 157,026
Asti Corp. 8,000 67,305
# Asunaro Construction, Ltd. 90,000 592,392
Ataka Constuction & Engineering Co.,
Ltd. 38,000 135,783
Atom Corp. 16,600 160,640
# Atsugi Co., Ltd. 361,000 454,404
Aucnet, Inc. 15,000 283,981
Autoseven Co., Inc. 7,600 66,474
# Avex, Inc. 73,300 769,910
* Azel Corp., Tokyo 89,000 104,723
Bando Chemical Industries, Ltd. 213,000 858,368
Bank of Okinawa, Ltd. 36,900 900,969
Bank of Saga, Ltd. 320,000 1,157,749
Bank of the Ryukyus, Ltd. 54,080 986,791
Banpresto Co., Ltd. 17,100 246,341
* Belluna Co., Ltd. 35,100 1,211,986
# Best Denki Co., Ltd. 231,000 938,859
Biken Techno Corp. 4,200 29,937
# BSL Corp. 270,950 520,578
Bull Dog Sauce Co., Ltd. 30,000 350,850
Bunka Shutter Co., Ltd. 134,000 624,324
Cabin Co., Ltd. 67,000 219,527
CAC Corp. 31,100 237,090
# Calpis Co., Ltd. 147,000 957,937
Canon Electronics, Inc. 50,000 1,076,793
# Canon Finetech, Inc. 78,070 1,251,914
# Capcom Co., Ltd. 105,500 1,001,297
* Catena Corp. 46,000 106,977
* Cats, Inc. 15,400 449
# Cecile Co., Ltd. 74,200 995,927
Central Finance Co., Ltd. 180,000 625,600
# Central Security Patrols Co., Ltd. 31,400 257,719
CFS Corp. 47,500 268,690
* Chiba Kogyo Bank, Ltd. 91,700 537,868
Chino Corp. 70,000 218,392
Chiyoda Co., Ltd. 76,600 1,142,112
Chofu Seisakusho Co., Ltd. 54,500 989,984
*# Chori Co., Ltd. 305,000 474,918
# Chuetsu Pulp and Paper Co., Ltd. 199,000 500,499
* Chugai Mining Co., Ltd. 188,600 115,538
Chugai Ro Co., Ltd. 168,000 369,806
# Chugoku Marine Paints, Ltd. 124,000 698,194
# Chugokukogyo Co., Ltd. 45,000 134,437
Chukyo Bank, Ltd. 412,000 1,472,841
Chuo Denki Kogyo Co., Ltd. 42,000 237,613
Chuo Gyorui Co., Ltd. 61,000 114,375
Chuo Spring Co., Ltd., Nagoya 103,000 414,148
Chuo Woollen Mills, Ltd. 24,000 86,669
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CKD Corp. 113,000 $ 664,912
*# Clarion Co., Ltd. 587,000 1,394,571
Cleanup Corp. 75,000 681,545
# CMK Corp. 96,000 1,186,294
Coca-Cola Central Japan Co., Ltd. 166 1,259,116
Colowide Co., Ltd. 29,000 314,240
*# Columbia Music Entertainment, Inc. 260,000 247,056
Commuture Corp. 71,202 577,731
Computer Engineering & Consulting,
Ltd. 29,800 295,210
*# Co-Op Chemical Co., Ltd. 80,000 110,014
*# Copal Co., Ltd. 21,600 321,747
* Core Corp. 10,100 187,034
Corona Corp. 53,500 856,982
# Cosel Co., Ltd. 35,900 851,634
*# Cosmo Securities Co., Ltd. 789,000 1,428,084
Create Medic Co., Ltd. 11,000 90,951
Credia Co., Ltd. 14,000 272,533
Cresco, Ltd. 11,600 121,578
CTI Engineering Co., Ltd. 19,000 124,327
# Culture Convenience Club Co., Ltd. 91,700 1,146,666
CVS Bay Area, Inc. 30,000 88,187
*# Cybozu, Inc. 41 47,865
*# Cybozu, Inc. 82 95,724
*# D&M Holdings, Inc. 134,000 365,710
# Dai Nippon Toryo, Ltd. 229,000 346,772
Daibiru Corp. 89,000 608,585
Dai-Dan Co., Ltd. 74,000 456,345
Daido Kogyo Co., Ltd. 60,000 124,908
# Daidoh, Ltd. 61,000 627,874
*# Daiei, Inc. 249,500 495,796
Daifuku Co., Ltd. 209,000 1,235,897
Daihen Corp. 215,000 422,743
Daiho Corp. 96,000 205,018
Dai-Ichi Jitsugyo Co., Ltd. 94,000 271,845
Dai-Ichi Kogyo Seiyaku Co., Ltd. 47,000 141,332
# Daiken Corp. 242,000 980,149
Daiki Co., Ltd. 41,300 439,366
Daiko Clearing Services Corp. 25,000 175,135
Daikoku Denki Co., Ltd. 26,600 610,222
*# Daikyo, Inc. 444,000 719,481
Daimei Telecom Engineering Corp. 74,000 518,249
Dainichi Co., Ltd. 27,200 157,885
Dainichiseika Colour & Chemicals
Manufacturing Co., Ltd. 163,000 730,598
# Dainippon Shigyo Co., Ltd. 25,000 119,017
Daisan Bank, Ltd. 337,000 1,313,494
# Daiseki Co., Ltd. 38,600 671,768
# Daiso Co., Ltd. 155,000 429,093
* Daisue Construction Co., Ltd. 151,500 167,307
Daisyo Corp. 38,300 415,245
* Daito Woolen Spinning & Weaving Co.,
Ltd., Tokyo 42,000 46,895
Daiwa Industries, Ltd. 82,000 257,991
Daiwa Kosho Lease Co., Ltd. 249,000 1,326,061
* Daiwa Seiko, Inc. 145,000 185,863
Daiwabo Co., Ltd. 217,000 300,992
Daiwabo Information System Co.,
Ltd. 27,000 322,282
Danto Corp. 42,000 184,851
DC Co., Ltd. 33,000 85,245
# Denki Kogyo Co., Ltd. 132,000 $ 673,306
Denny's Japan Co., Ltd. 51,000 910,985
Densei-Lambda KK 34,584 262,743
Denyo Co., Ltd. 47,000 327,739
# Descente, Ltd. 140,000 503,788
* Dia Kensetsu Co., Ltd. 141,200 176,460
* Diamond City Co., Ltd. 4,050 104,822
Diamond Computer Service Co., Ltd. 37,700 479,673
* Dijet Industrial Co., Ltd. 34,000 72,097
DMW Corp. 1,600 68,863
Doshisha Co., Ltd. 22,900 667,419
# Doutor Coffee Co., Ltd. 38,800 734,133
DTS Corp. 21,200 484,982
* DyDo Drinco, Inc. 30,100 918,183
* Dynic Corp. 66,000 256,396
Eagle Industry Co., Ltd. 78,000 463,363
Echo Trading Co., Ltd. 4,000 51,530
* Econach Co., Ltd. 26,000 14,150
# Edion Corp. 144,216 1,290,220
Ehime Bank, Ltd. 274,000 855,187
# Eighteenth Bank, Ltd. 322,000 1,413,848
Eiken Chemical Co., Ltd. 54,000 629,604
Eikoh, Inc. 12,100 98,799
Eizo Nanao Corp. 40,600 1,014,287
Elna Co., Ltd. 34,000 79,155
Enplas Corp. 38,400 1,063,907
*# Enshu, Ltd. 69,000 134,538
Ensuiko Sugar Refining Co., Ltd. 51,000 103,308
Exedy Corp. 80,200 1,406,981
* F.D.C. Products, Inc. 16,390 208,517
Fancl Corp. 40,100 1,453,083
*# FDK Corp. 230,000 478,760
Fine Sinter Co., Ltd. 31,000 98,012
* First Baking Co., Ltd. 67,000 156,290
Foster Electric Co., Ltd. 44,000 362,871
# FP Corp. 42,100 674,725
France Bed Holdings Co., Ltd. 417,000 1,241,325
*# Fudo Construction Co., Ltd. 273,200 687,064
# Fuji Co.,Ltd 63,600 1,184,824
* Fuji Corp, Ltd. 28,000 285,252
# Fuji Kiko Co., Ltd. 71,000 295,691
*# Fuji Kosan Co., Ltd. 130,000 171,924
Fuji Kyuko Co., Ltd. 205,000 778,557
* Fuji Spinning Co., Ltd., Tokyo 163,000 205,364
* Fuji Titanium Industry Co., Ltd. 10,000 23,565
Fujicco Co., Ltd. 50,000 644,925
* Fujii & Co., Ltd. 44,000 428
* Fujiko Co., Ltd. 55,000 1,070
Fujikura Kasei Co., Ltd. 43,000 313,036
# Fujikura Rubber, Ltd. 34,000 212,968
# Fujirebio, Inc. 81,000 1,054,421
* Fujita Corp. 320,500 371,016
# Fujita Kanko, Inc. 194,000 689,835
# Fujitec Co., Ltd. 170,000 872,261
* Fujitsu Access, Ltd. 36,000 187,398
Fujitsu Business Systems, Ltd. 45,300 579,697
Fujitsu Devices, Inc. 44,000 484,917
Fujitsu Fronttec, Ltd. 41,500 350,523
*# Fujitsu General, Ltd. 188,000 573,434
*# Fujiya Co., Ltd. 218,000 509,899
Fukuda Corp. 80,000 484,654
78
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# Fukushima Bank, Ltd. 323,000 $ 507,823
* Fukusima Industries Corp. 13,500 166,352
Fumakilla, Ltd. 37,000 71,694
*# Furukawa Battery Co., Ltd. 45,000 112,973
*# Furukawa Co., Ltd. 699,000 787,201
Fuso Lexel Inc. 25,400 140,759
Fuso Pharmaceutical Industries, Ltd. 157,000 503,210
* Gajoen Kanko KK 37,000 0
# Gakken Co., Ltd. 168,000 358,976
* Generas Corp. 64,000 623
# Genki Sushi Co., Ltd. 17,200 217,158
Geostar Corp. 10,000 37,241
* Gigas K's Denki Corp. 4,704 127,104
Global-Dining, Inc. 6,200 43,245
# Godo Steel, Ltd. 297,000 1,113,383
* Goldwin, Inc. 76,000 173,550
Gourmet Kineya Co., Ltd. 37,000 310,206
* Graphtec Corp. 39,000 56,867
Gro-BeLS Co., Ltd. 84,000 101,850
* GSI Creoss Corp. 90,000 198,577
Gun-Ei Chemical Industry Co., Ltd. 141,000 463,767
Hagoromo Foods Corp. 33,000 364,310
Hakuto Co., Ltd. 39,400 527,327
Hakuyosha Co., Ltd. 57,000 180,208
Haltec Corp. 32,000 55,422
* Hamai Co., Ltd. 22,000 31,546
Hanshin Sogo Bank, Ltd. 709,000 1,412,198
Hanwa Co., Ltd. 405,000 1,753,009
Happinet Corp. 18,800 212,519
Harashin Co., Ltd. 24,300 200,273
Harima Chemicals, Inc. 37,000 232,568
Haruyama Trading Co., Ltd. 21,600 274,474
*# Hayashikane Sangyo Co., Ltd. 128,000 223,264
* Hazama Corp. 120,600 259,610
Heiwado Co., Ltd. 111,000 1,531,046
Hibiya Engineering, Ltd. 72,000 558,462
Higashi-Nippon Bank, Ltd. 345,000 924,900
Hisaka Works, Ltd. 41,000 404,720
Hitachi Business Solution Co., Ltd. 22,700 154,361
Hitachi Kiden Kogyo, Ltd. 27,000 105,489
Hitachi Koki Co., Ltd. 205,000 1,624,610
Hitachi Kokusai Electric, Inc. 191,000 1,525,119
Hitachi Medical Corp. 71,000 983,991
Hitachi Metals Techno, Ltd. 13,000 39,260
Hitachi Mobile Co., Ltd. 35,000 248,302
# Hitachi Plant Engineering &
Construction Co., Ltd. 215,000 929,896
Hitachi Powdered Metal Co., Ltd. 53,000 352,508
Hitachi Tool Engineering, Ltd. 44,500 353,866
Hitachi Transport System, Ltd. 75,000 630,520
*# Hitachi Zosen Corp. 944,000 1,392,150
# Hochiki Corp. 42,000 166,542
*# Hodogaya Chemical Co., Ltd. 114,000 541,464
# Hogy Medical Co., Ltd. 30,000 1,355,454
* Hohsui Corp. 56,000 90,389
Hokkai Can Co., Ltd., Tokyo 106,000 266,729
Hokkaido Coca Cola Bottling Co.,
Ltd. 64,000 410,520
Hokkaido Gas Co., Ltd. 105,000 277,418
Hokko Chemical Industry Co., Ltd. 41,000 146,954
# Hokuetsu Bank, Ltd. 416,000 851,389
Hokuriku Electric Industry Co., Ltd. 131,000 $ 322,897
Hokuriku Electrical Construction Co.,
Ltd. 36,000 103,893
Hokuriku Gas Co., Ltd. 64,000 191,792
*# Hokushin Co., Ltd. 39,900 81,933
# Hokuto Corp. 61,100 1,161,196
Homac Corp. 75,700 529,908
Honshu Chemical Industry Co., Ltd. 7,000 38,800
# Horiba, Ltd. 64,000 823,866
Horipro, Inc. 23,400 190,362
Hosiden Corp. 128,700 1,327,166
* Hosokawa Micron Corp. 54,000 234,951
*# Howa Machinery, Ltd. 181,000 229,900
* Ichida and Co., Ltd. 23,400 35,825
Ichikawa Co., Ltd. 49,000 189,986
*# Ichiken Co., Ltd. 48,000 122,348
# Ichikoh Industries, Ltd. 141,000 330,774
Ichiyoshi Securities Co., Ltd. 87,000 747,767
Icom, Inc. 26,800 610,130
Idec Izumi Corp. 63,000 606,459
Ihara Chemical Industry Co., Ltd. 80,000 225,576
# Iino Kaiun Kaisha, Ltd. 177,000 887,781
* Ikegami Tsushinki Co., Ltd. 102,000 179,310
i-Logistics Corp. 52,000 108,690
Imasen Electric Industrial Co., Ltd. 19,900 171,976
Impact 21 Co., Ltd. 34,100 719,121
* Impress Corp. 178 204,447
Inaba Denki Sangyo Co., Ltd. 47,400 1,047,742
Inaba Seisa Kusho Co., Ltd. 32,400 538,389
Inabata and Co., Ltd., Osaka 103,000 899,810
Inageya Co., Ltd. 97,000 890,992
Ines Corp. 94,300 847,270
I-Net Corp. 18,300 129,375
# Information Services
International-Dentsu, Ltd. 51,800 592,254
* Intec Communications, Inc. 14,000 70,727
# Intec, Inc. 73,000 552,354
Inui Steamship Co., Ltd. 31,000 157,117
ISE Chemicals Corp. 38,000 155,141
# Iseki & Co., Ltd. 393,000 957,102
Ishihara Sangyo Kaisha, Ltd. 688,000 1,541,151
Ishii Hyoki Co., Ltd. 8,600 108,419
*# Ishii Iron Works Co., Ltd. 52,000 84,976
*# Ishikawa Seisakusho, Ltd. 75,000 96,036
Ishikawajima Construction Materials
Co., Ltd. 18,000 51,928
Ishikawajima Transport Machinery Co.,
Ltd. 16,000 43,700
Ishizuka Glass Co., Ltd. 49,000 100,216
Itochu Enex Co., Ltd. 166,900 1,073,274
Itochu Shokuh Co., Ltd. 24,400 834,333
Itoki Crebio Corp. 56,000 181,275
Iwaki & Co., Ltd. 38,000 98,674
# Iwasaki Electric Co., Ltd. 142,000 467,684
Iwatani International Corp. 459,000 1,122,136
* Iwatsu Electric Co., Ltd. 166,000 341,683
* Izuhakone Railway Co., Ltd. 300 15,799
Izumiya Co., Ltd. 157,000 1,020,992
*# Izutsuya Co., Ltd. 123,000 210,110
Jac Holdings Co., Ltd. 17,300 125,398
# Jaccs Co., Ltd. 207,000 1,100,727
79
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* Jalux, Inc. 20,600 $ 373,667
Jamco Corp. 41,000 207,243
*# Janome Sewing Machine Co., Ltd. 259,000 376,595
Japan Aviation Electronics Industry,
Ltd. 21,000 192,869
* Japan Bridge Corp. 31,000 40,105
Japan Business Computer Co., Ltd. 34,000 224,168
Japan Carlit Co., Ltd. 28,000 184,268
# Japan Cash Machine Co., Ltd. 36,610 1,509,798
Japan Digital Laboratory Co., Ltd. 59,200 628,265
Japan Foundation Engineering Co.,
Ltd. 49,200 261,734
Japan Information Processing Service
Co., Ltd. 31,800 186,496
# Japan Kenzai Co., Ltd. 44,840 324,429
Japan Maintenance Co., Ltd. 34,100 331,075
Japan Medical Dynamic Marketing,
Inc. 29,800 313,311
Japan Oil Transportation Co., Ltd. 45,000 105,304
# Japan Pulp and Paper Co., Ltd. 269,000 882,819
*# Japan Radio Co., Ltd. 240,000 839,121
Japan Servo Co., Ltd. 51,000 159,942
Japan Steel Tower Co., Ltd. 19,000 62,852
# Japan Steel Works, Ltd. 695,000 1,036,406
# Japan Storage Battery Co., Ltd. 529,000 1,096,133
# Japan Transcity Corp. 113,000 387,865
Japan Vilene Co., Ltd. 112,000 545,506
Japan Wool Textile Co., Ltd. 162,000 947,290
Jastec Co., Ltd. 11,600 199,891
Jeans Mate Corp. 15,540 163,807
# Jeol, Ltd. 137,000 884,317
Jiec Co., Ltd. 87 92,526
JMS Co., Ltd. 49,000 150,672
Joban Kosan Co., Ltd. 101,000 165,669
J-Oil Mills, Inc. 296,000 1,043,303
Joint Corp. 32,900 763,070
# Joshin Denki Co., Ltd. 98,000 296,715
# Jsp Corp. 49,200 552,133
Juel Verite Ohkubo Co., Ltd 24,000 62,973
*# Jujiya Co., Ltd. 383,000 397,178
*# Juki Corp. 176,000 612,947
* Jyomo Co., Ltd. 48,000 124,070
K.R.S. Corp. 20,300 297,201
Kabuki-Za Co., Ltd. 16,000 654,089
Kadokawa Holdings, Inc. 27,000 1,031,369
# Kaga Electronics Co., Ltd. 46,200 795,167
Kagawa Bank, Ltd. 138,350 683,224
# Kagome Co., Ltd. 143,300 1,505,254
Kahma Co., Ltd. 55,900 612,248
# Kaken Pharmaceutical Co., Ltd. 180,000 1,131,450
* Kakuei (L.) Corp. 100,000 973
*# Kamagai Gumi Co., Ltd. 87,800 189,516
Kameda Seika Co., Ltd. 39,000 345,961
Kamei Corp. 67,000 611,107
Kanaden Corp. 55,000 281,017
Kanagawa Chuo Kotsu Co., Ltd. 109,000 649,793
Kanamoto Co., Ltd. 43,000 228,396
*# Kanebo, Ltd. 96,200 1,144,536
* Kanematsu Corp. 708,500 1,064,122
# Kanematsu Electronics, Ltd. 45,500 349,046
*# Kanematsu-NNK Corp. 60,000 156,933
Kanto Auto Works, Ltd., Yokosuka 125,500 $ 1,444,364
Kanto Denka Kogyo Co., Ltd. 93,000 320,095
Kanto Natural Gas Development Co.,
Ltd. 104,000 572,179
*# Kanto Tsukuba Bank, Ltd. 45,500 262,748
Kasai Kogyo Co., Ltd. 59,000 195,969
Kasei (C.I.) Co., Ltd. 58,000 228,153
Kasumi Co., Ltd. 132,000 744,366
Katakura Chikkarin Co., Ltd. 27,000 80,792
Katakura Industries Co., Ltd. 61,000 689,437
Kato Sangyo Co., Ltd. 70,300 916,784
# Kato Works Co., Ltd. 82,000 197,608
* Katsumura Construction Co., Ltd. 48,600 62,374
Kawada Industries, Inc. 76,000 205,790
*# Kawai Musical Instruments
Manufacturing Co., Ltd. 99,000 146,903
Kawamoto Corp. 4,000 24,815
* Kawasaki Kasei Chemicals, Ltd. 36,000 48,848
Kawashima Textile Manufacturers,
Ltd. 126,000 167,578
Kawasho Gecoss Corp. 57,900 274,190
Kawasumi Laboratories, Inc. 26,000 178,844
Kawatetsu Systems, Inc. 112 149,926
Kayaba Industry Co., Ltd. 399,000 1,362,520
Keihanshin Real Estate Co., Ltd. 76,000 363,304
# Keihin Co., Ltd. 100,000 201,971
Keiiyu Co., Ltd. 15,000 189,122
Keiyo Bank, Ltd. 375,000 1,332,159
# Keiyo Co., Ltd. 139,900 579,767
# Kentucky Fried Chicken Japan, Ltd. 55,000 1,082,310
*# Kenwood Corp. 570,000 1,050,340
Key Coffee, Inc. 41,300 578,146
# Kibun Food Chemifa Co., Ltd. 49,000 1,121,104
* Kimmon Manufacturing Co., Ltd. 41,000 59,134
* Kimura Chemical Plants Co., Ltd. 27,000 65,307
Kinki Coca-Cola Bottling Co., Ltd. 116,000 1,040,508
* Kinki Nippon Tourist Co., Ltd. 133,000 319,871
Kinki Sharyo Co., Ltd., Nagaokakyo 122,000 367,930
* Kinsho Corp. 21,000 71,208
# Kinugawa Rubber Industrial Co., Ltd. 107,000 225,335
Kioritz Corp. 113,000 303,705
* Kirindo Co., Ltd. 10,300 83,385
Kishu Paper Co., Ltd. 125,000 211,388
# Kisoji Co., Ltd. 42,100 638,283
Kitagawa Iron Works Co., Ltd. 150,000 312,951
Kita-Nippon Bank, Ltd. 14,206 671,051
Kitano Construction Corp. 124,000 278,951
Kitazawa Sangyo Co., Ltd. 17,500 41,127
Kitz Corp. 234,000 1,286,943
Kiyo Bank, Ltd. 757,000 1,499,096
Koa Corp. 76,000 538,665
Koatsu Gas Kogyo Co., Ltd. 93,000 347,033
Kobayashi Yoko Co., Ltd. 16,900 331,804
Kodensha Co., Ltd. 14,000 43,181
Koekisha Co., Ltd. 9,600 206,691
Kohnan Shoji Co., Ltd. 36,200 470,964
Kohsoku Corp. 48,000 315,049
Koike Sanso Kogyo Co., Ltd. 71,000 156,036
Koito Industries, Ltd. 66,000 285,594
# Kojima Co., Ltd. 68,400 716,704
* Kokune Corp. 42,000 409
80
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* Kokusai Kogyo Co., Ltd. 60,000 $ 182,129
Komai Tekko, Inc. 53,000 152,150
Komatsu Electronics Metals Co., Ltd. 52,000 482,007
Komatsu Seiren Co., Ltd. 69,000 395,402
Komatsu Wall Industry Co., Ltd. 17,300 309,524
Konaka Co., Ltd. 36,300 441,752
# Konami Sports Corp. 53,300 1,018,291
Kondotec, Inc. 18,500 140,301
Konishi Co., Ltd. 32,300 307,602
Kosaido Co., Ltd. 34,000 254,013
# Kosei Securities Co., Ltd. 137,000 253,049
# Kubotek Corp. 230 316,204
# Kumiai Chemical Industry Co., Ltd.,
Tokyo 139,000 357,411
Kurabo Industries, Ltd. 459,000 1,002,752
Kureha Chemical Industry Co., Ltd. 352,000 1,336,211
Kurimoto, Ltd. 224,000 550,321
# Kuroda Electric Co., Ltd. 62,400 1,349,502
Kuroganeya Co., Ltd. 14,000 58,957
Kurosaki Harima Corp. 144,000 428,099
Kyoden Co., Ltd. 93,000 616,919
Kyodo Printing Co., Ltd. 152,000 575,895
Kyodo Shiryo Co., Ltd. 145,000 204,105
Kyoei Sangyo Co., Ltd. 44,000 145,283
Kyoei Tanker Co., Ltd. 53,000 138,079
Kyokuto Boeki Kaisha, Ltd. 36,000 104,490
Kyokuto Kaihatsu Kogyo Co., Ltd. 49,200 563,274
Kyokuyo Co., Ltd. 198,000 389,775
Kyoritsu Maintenance Co., Ltd. 18,100 377,859
Kyosan Electric Manufacturing Co.,
Ltd. 97,000 298,255
Kyoto Kimono Yuzen Co., Ltd. 148 319,207
Kyowa Electronic Instruments Co.,
Ltd. 30,000 92,610
Kyowa Exeo Corp. 201,000 1,770,057
Kyowa Leather Cloth Co., Ltd. 38,800 216,450
Kyudenko Corp. 140,000 686,988
* Kyushu-Shinwa Holdings, Inc. 576,000 1,031,869
# Laox Co., Ltd. 54,000 126,392
# Life Corp. 98,400 1,254,434
* Link Consulting Associates - Japan
Corp. 24,300 119,956
* Lonseal Corp. 69,000 76,459
* Look, Inc. 50,000 203,798
# Macnica, Inc. 31,000 931,417
Maeda Corp. 344,000 1,538,993
Maeda Road Construction Co., Ltd. 182,000 1,340,810
Maezawa Industries, Inc. 27,700 163,356
Maezawa Kaisei Industries Co., Ltd. 25,400 472,898
Maezawa Kyuso Industries Co., Ltd. 25,400 351,745
* Magara Construction Co., Ltd. 61,000 73,923
# Makino Milling Machine Co., Ltd. 161,000 866,709
* Mamiya-Op Co., Ltd. 58,000 80,837
Marche Corp. 10,700 112,383
# Mars Engineering Corp. 44,400 1,501,577
Marubeni Construction Material Lease
Co., Ltd. 54,000 113,344
# Marubeni Telecom Co., Ltd. 117 116,539
Marubun Corp. 44,600 326,331
Marudai Food Co., Ltd. 214,000 428,099
* Maruei Department Store Co., Ltd. 72,000 166,181
Maruetsu, Inc. 209,000 $ 1,029,423
Maruha Group, Inc. 477,000 1,039,428
* Maruishi Holdings Co., Ltd. 214,000 2,082
Marusan Securities Co., Ltd. 138,000 831,289
Maruwa Co., Ltd. 17,500 266,956
Maruwn Corp. 44,000 117,653
Maruya Co., Ltd. 14,000 111,532
# Maruyama Manufacturing Co., Inc. 73,000 347,676
* Maruzen Co., Ltd. 179,000 414,428
Maruzen Co., Ltd. - General
Commercial Kitchen Appliances &
Equipment 30,000 166,398
Maruzen Showa Unyu Co., Ltd. 176,000 594,258
Maspro Denkoh Corp. 32,300 344,339
Matsuda Sangyo Co., Ltd. 34,500 301,701
Matsui Construction Co., Ltd. 40,000 156,880
* Matsuo Bridge Co., Ltd. 37,000 81,326
# Matsuya Co., Ltd. 96,000 515,272
Matsuya Foods Co., Ltd. 34,500 728,796
# Matsuzakaya Co., Ltd. 312,077 1,198,358
Max Co., Ltd. 104,000 1,070,430
* Maxvalu Tohok Co., Ltd. 18,200 167,475
* MEC Co., Ltd. 13,700 185,388
# Megachips Corp. 44,400 507,314
Meidensha Corp. 417,050 816,539
*# Meiji Machine Co., Ltd. 90,000 151,932
Meiji Shipping Co., Ltd. 58,000 207,405
Meisei Industrial Co., Ltd. 29,000 107,928
Meito Sangyo Co., Ltd. 45,600 713,799
Meito Transportation Co., Ltd. 22,000 200,770
Meiwa Estate Co., Ltd. 43,800 470,856
Meiwa Industry Co., Ltd. 15,000 47,909
* Meiwa Trading Co., Ltd. 55,000 124,478
Melco Holdings, Inc. 9,000 163,715
Mercian Corp. 267,000 657,256
* Mesco, Inc. 15,000 49,344
Michinoku Bank, Ltd. 281,000 1,329,939
Mikuni Coca-Cola Bottling Co., Ltd. 99,000 939,161
Milbon Co., Ltd. 18,900 517,922
# Mimasu Semiconductor Industry Co.,
Ltd. 38,200 510,863
Ministop Co., Ltd. 48,800 814,375
Mirai Group Co., Ltd. 49,000 95,890
Miroku Jyoho Service Co., Ltd. 22,500 222,677
* Misawa Homes Holdings, Inc. 465,900 1,273,124
Misawa Resort Co., Ltd. 90,000 261,851
Mito Securities Co., Ltd. 113,000 338,582
Mitsuba Corp. 77,690 567,563
*# Mitsubishi Cable Industries, Ltd. 277,000 322,375
* Mitsubishi Kakoki Kaisha, Ltd. 117,000 214,570
# Mitsubishi Paper Mills, Ltd. 554,000 854,506
Mitsubishi Pencil Co., Ltd. 61,000 522,763
Mitsubishi Plastics, Inc. 404,000 1,054,596
Mitsubishi Shindoh Co., Ltd. 82,000 182,506
Mitsubishi Steel Manufacturing Co.,
Ltd. 253,000 379,606
Mitsuboshi Belting, Ltd. 153,000 580,945
Mitsui High-Tec, Inc. 72,900 956,456
# Mitsui Home Co., Ltd. 122,000 596,429
Mitsui Knowledge Industry Co., Ltd. 20,100 172,178
*# Mitsui Matsushima Co., Ltd. 90,000 230,505
81
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*# Mitsui Mining Co., Ltd. 290,000 $ 1,143,356
Mitsui Sugar Co., Ltd. 145,000 364,639
Mitsui-Soko Co., Ltd. 255,000 815,206
Mitsumi Electric Co., Ltd. 139,400 1,539,206
Mitsumura Printing Co., Ltd. 60,000 355,254
Mitsuuroko Co., Ltd. 117,000 742,675
Miura Co., Ltd. 76,600 1,228,819
Miura Printing Corp. 16,000 57,004
Miyaji Engineering Group 120,000 305,428
Miyazaki Bank, Ltd. 275,000 1,074,553
Miyoshi Oil & Fat Co., Ltd. 120,000 253,844
# Miyuki Keori Co., Ltd. 50,000 197,309
# Mizuno Corp. 239,000 999,645
Mochida Pharmaceutical Co., Ltd. 44,000 262,225
* Momiji Holdings, Inc. 371 651,189
Mori Seiki Co., Ltd. 165,100 1,438,333
# Morinaga & Co., Ltd. 499,000 1,133,148
* Morishita Jinton Co., Ltd. 32,800 154,492
Morita Corp. 85,000 504,647
Moritex Corp. 15,000 128,682
Morozoff, Ltd., Osaka 50,000 99,164
Mory Industries, Inc. 66,000 203,892
Mos Food Services, Inc. 59,000 790,372
Moshi Moshi Hotline, Inc. 9,350 790,647
# MR Max Corp. 56,300 183,791
* Mutoh Industries, Ltd. 78,000 208,412
Mutow Co., Ltd. 38,000 187,614
Myojo Foods Co., Ltd. 76,000 538,970
Mystar Engineering Corp. 15,600 89,533
Nabtesco Corp. 236,000 1,262,584
NAC Co., Ltd. 13,000 148,895
# Nachi-Fujikoshi Corp. 433,000 1,131,868
Nagano Bank, Ltd. 149,000 445,575
* Nagano Japan Radio Co., Ltd. 27,000 43,411
Nagatanien Co., Ltd. 70,000 551,844
* Naigai Co., Ltd. 109,000 141,706
# Nakabayashi Co., Ltd. 76,000 268,625
Nakamuraya Co., Ltd. 98,000 326,639
* Nakano Corp. 49,000 112,334
# Nakayama Steel Works, Ltd. 203,000 775,238
Nakayo Telecommunications, Inc. 36,000 178,552
# NEC Infrontia Corp. 196,000 765,295
# NEC Mobiling, Ltd. 26,400 614,578
NEC System Integration &
Construction, Ltd. 78,600 650,172
NEC Tokin Corp. 207,000 890,751
# Neturen Co., Ltd., Tokyo 66,000 438,571
New Japan Radio Co., Ltd. 62,000 511,484
* New Real Property KK 43,900 0
# Nichia Steel Works, Ltd. 67,900 289,231
Nichias Corp. 253,000 960,377
Nichiban Co., Ltd. 58,000 220,885
* Nichiboshin, Ltd. 1,190 1,158
Nichiha Corp. 64,980 910,702
# Nichimo Co., Ltd. 54,000 165,673
* Nichimo Corp. 132,000 106,228
Nichireki Co., Ltd. 44,000 159,979
Nichiro Corp. 289,000 485,250
Nidec Tosok Corp. 27,800 501,908
Nihon Dempa Kogyo Co., Ltd. 38,300 820,568
Nihon Eslead Corp. 22,040 441,013
Nihon Inter Electronics Corp. 54,000 $ 420,106
Nihon Kagaku Sangyo Co., Ltd. 32,000 154,853
* Nihon Kentetsu Co., Ltd. 27,000 54,754
Nihon Kohden Corp. 85,000 999,874
Nihon Matai Co., Ltd. 50,000 111,693
Nihon Nohyaku Co., Ltd. 103,000 198,990
Nihon Parkerizing Co., Ltd. 115,000 985,091
Nihon Seiko Co., Ltd. 11,000 32,355
Nihon Shokuh Kako Co., Ltd. 40,000 113,763
* Nihon Spindle Manufacturing Co.,
Ltd. 56,000 95,926
Nihon Tokushu Toryo Co., Ltd. 35,000 248,646
Nihon Unisys, Ltd. 125,100 1,161,086
Niitaka Co., Ltd. 7,260 82,136
Nikken Chemicals Co., Ltd. 112,000 326,661
# Nikkiso Co., Ltd. 123,000 670,374
Nikko Co., Ltd., Akashi 66,000 213,822
Nikko Travel Co., Ltd. 12,200 68,354
* Nippei Toyama Corp. 80,000 164,519
Nippo Corp. 210,000 1,248,046
* Nippon Avionics Co., Ltd. 40,000 129,893
Nippon Beet Sugar Manufacturing
Co., Ltd. 276,000 576,789
*# Nippon Carbide Industries Co., Inc.,
Tokyo 101,000 218,215
Nippon Carbon Co., Ltd. 177,000 324,586
# Nippon Ceramic Co., Ltd. 37,000 449,596
Nippon Chemical Industrial Co., Ltd. 161,000 544,949
Nippon Chemi-Con Corp. 239,000 1,228,334
*# Nippon Chemiphar Co., Ltd. 70,000 321,517
Nippon Chutetsukan KK 44,000 87,958
Nippon Concrete Industries Co., Ltd. 65,000 258,821
* Nippon Conveyor Co., Ltd. 43,000 53,355
# Nippon Denko Co., Ltd. 206,000 804,080
Nippon Densetsu Kogyo Co., Ltd. 118,000 613,052
Nippon Denwa Shisetu Co., Ltd. 104,000 369,962
# Nippon Felt Co., Ltd. 40,000 205,809
Nippon Fine Chemical Co., Ltd. 40,000 169,120
Nippon Flour Mills Co., Ltd. 314,000 1,366,219
* Nippon Foil Mfg., Co., Ltd. 21,000 47,295
Nippon Formula Feed Manufacturing
Co., Ltd. 100,000 162,881
Nippon Gas Co., Ltd. 81,000 629,099
Nippon Hume Corp. 43,000 156,667
* Nippon Jogesuido Sekkei Co., Ltd. 175 246,417
Nippon Kanzai Co., Ltd. 37,200 575,068
*# Nippon Kasei Chemical Co., Ltd. 186,000 377,349
*# Nippon Kinzoku Co., Ltd. 93,000 183,237
# Nippon Koei Co., Ltd., Tokyo 137,000 367,077
Nippon Konpo Unyu Soko Co., Ltd. 137,000 1,344,347
*# Nippon Koshuha Steel Co., Ltd. 221,000 310,964
*# Nippon Metal Industry Co., Ltd. 319,000 584,317
Nippon Pigment Co., Ltd. 11,000 38,428
Nippon Pillar Packing Co., Ltd. 33,000 238,744
Nippon Piston Ring Co., Ltd. 133,000 283,717
# Nippon Road Co., Ltd. 177,000 360,112
# Nippon Seiki Co., Ltd. 104,000 921,598
Nippon Seisen Co., Ltd. 39,000 152,360
Nippon Sharyo, Ltd. 267,000 625,664
Nippon Shinyaku Co., Ltd. 129,000 931,242
Nippon Signal Co., Ltd. 109,000 551,637
82
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Nippon Soda Co., Ltd. 252,000 $ 743,750
Nippon Suisan Kaisha, Ltd. 457,000 1,490,283
Nippon Synthetic Chemical Industry
Co., Ltd. 152,000 362,615
Nippon System Development Co.,
Ltd. 47,500 853,979
Nippon Systemware Co., Ltd. 20,000 141,818
# Nippon Thompson Co., Ltd. 131,000 762,779
Nippon Tungsten Co., Ltd. 44,000 95,388
Nippon Valqua Industries, Ltd. 141,000 345,022
*# Nippon Yakin Kogyo Co., Ltd. 144,500 679,432
# Nippon Yusoki Co., Ltd. 49,000 157,741
# Nishimatsu Construction Co., Ltd. 238,000 746,400
Nishishiba Electric Co., Ltd. 28,000 51,707
Nissei Corp. 57,600 614,465
Nissei Plastic Industrial Co., Ltd. 35,000 229,892
* Nisseki House Industry Co., Ltd. 260,000 2,529
Nissha Printing Co., Ltd. 81,000 999,513
# Nisshin Fire & Marine Insurance Co.,
Ltd. 347,000 1,247,175
# Nisshin Fudosan Co., Ltd. 32,600 330,715
Nissho Electronics Corp. 49,900 383,506
*# Nissho Iwai-Nichmen Holdings Corp. 347,100 1,458,447
Nissin Co., Ltd. 826,400 1,869,154
Nissin Corp. 177,000 444,349
Nissin Electric Co., Ltd. 177,000 557,199
Nissin Kogyo Co., Ltd. 39,700 1,169,691
Nissin Sugar Manufacturing Co., Ltd. 74,000 143,825
# Nissui Pharmaceutical Co., Ltd. 34,000 206,289
Nitchitsu Co., Ltd. 14,000 28,355
Nitta Corp. 54,700 803,386
Nittan Valve Co., Ltd. 58,000 357,876
Nittetsu Mining Co., Ltd. 132,000 516,474
Nitto Boseki Co., Ltd. 460,000 913,118
Nitto Electric Works, Ltd. 79,300 755,372
Nitto FC Co., Ltd. 48,000 267,900
Nitto Flour Milling Co., Ltd. 54,000 149,551
Nitto Kohki Co., Ltd. 39,300 752,024
Nitto Seiko Co., Ltd. 56,000 143,665
Nitto Seimo Co., Ltd. 32,000 66,022
*# Nittoc Construction Co., Ltd. 61,000 123,299
NIWS Co., Ltd. 498 1,206,986
Noda Corp. 24,100 170,486
NOF Corp. 374,000 1,270,035
Nohmi Bosai, Ltd. 68,000 345,111
Nomura Co., Ltd. 61,000 397,127
# Noritake Co., Ltd. 320,000 1,310,538
# Noritsu Koki Co., Ltd. 58,300 1,201,146
# Noritz Corp. 93,400 1,360,948
Nosan Corp. 201,000 448,734
Obayashi Road Corp. 65,000 146,498
Odakyu Construction Co., Ltd. 29,000 79,991
Odakyu Real Estate Co., Ltd. 58,000 141,379
Oenon Holdings, Inc. 89,000 229,614
* Ohki Corp. 73,000 710
* Ohmori Co., Ltd. 18,400 13,605
Oie Sangyo Co., Ltd. 13,200 98,512
Oiles Corp. 37,700 787,389
Oita Bank, Ltd. 263,000 1,326,184
Okabe Co., Ltd. 29,000 128,060
Okamoto Industries, Inc. 236,000 694,298
* Okamoto Machine Tool Works, Ltd. 75,000 $ 220,279
Okamura Corp. 207,000 1,724,568
Okaya Electric Industries Co., Ltd. 32,000 99,514
Oki Electric Cable Co., Ltd. 56,000 125,112
Okinawa Electric Power Co., Ltd. 27,900 1,189,055
* OKK Corp. 101,000 236,475
* Okuma and Howa Machinery, Ltd. 69,000 155,897
* Okuma Corp. 243,000 960,365
# Okura Industrial Co., Ltd. 107,000 689,138
Okuwa Co., Ltd. 84,000 943,355
Olympic Corp. 41,900 478,295
# O-M, Ltd. 46,000 101,757
* Omikenshi Co., Ltd. 78,000 81,258
Ono Sokki Co., Ltd. 53,000 312,630
# Onoken Co., Ltd. 31,000 389,455
Organo Corp. 101,000 493,967
* Orient Watch Co., Ltd. 12,000 4,786
Oriental Construction Co., Ltd. 39,000 194,546
# Oriental Yeast Co., Ltd. 52,000 365,301
Origin Electric Co., Ltd. 54,000 285,423
Original Engineering Consultants Co.,
Ltd. 9,000 51,551
Osaka Securities Finance Co., Ltd. 54,000 158,966
Osaka Steel Co., Ltd. 77,900 968,170
Osaki Electric Co., Ltd. 56,000 218,548
Oyo Corp. 52,300 497,017
P.S. Mitsubishi Construction Co., Ltd. 46,500 202,692
Pacific Industrial Co., Ltd. 99,000 486,162
*# Pacific Metals Co., Ltd. 362,000 1,578,356
Paramount Bed Co., Ltd. 58,000 1,537,418
Parco Co., Ltd. 144,000 836,572
* Pasco Corp. 135,500 355,581
Patlite Corp. 16,540 305,127
PCA Corp. 12,000 181,720
* Penta-Ocean Construction Co., Ltd. 730,000 1,166,387
# Pentax Corp. 214,000 732,481
Petrolub International Co., Ltd. 24,800 164,224
* PIA Corp. 13,200 275,789
Pigeon Corp. 37,000 565,134
Pilot Corp. 65 222,005
Piolax, Inc. 19,600 363,333
Pocket Card Co., Ltd. 41,000 634,510
Pokka Corp. 57,000 255,079
Poplar Co., Ltd. 13,560 170,260
Posful Corp. 36,900 224,355
# Press Kogyo Co., Ltd. 185,000 631,122
* Prima Meat Packers, Ltd. 404,000 564,221
Pulstec Industrial Co., Ltd. 21,200 106,084
Q'Sai Co., Ltd. 58,800 587,001
Raito Kogyo Co., Ltd. 95,500 392,321
Rasa Industries, Ltd. 119,000 326,421
* Renown D'urban Holdings, Inc. 64,800 605,870
# Resorttrust, Inc. 52,900 1,426,435
Rheon Automatic Machinery Co.,
Ltd. 40,000 125,826
Rhythm Watch Co., Ltd. 344,000 721,633
Ricoh Elemex Corp. 35,000 204,654
Ricoh Leasing Co., Ltd. 55,000 1,388,213
Right On Co., Ltd. 37,600 1,124,315
Rikei Corp. 22,500 68,863
# Riken Corp. 193,000 804,946
83
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SHARES VALUE+
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Riken Electric Wire Co., Ltd. 20,000 $ 35,199
Riken Keiki Co., Ltd. 33,000 190,630
Riken Technos Corp. 121,000 527,877
Riken Vitamin Co., Ltd. 43,500 926,760
# Ringer Hut Co., Ltd. 38,300 423,839
Rion Co., Ltd. 5,000 24,253
Rock Field Co., Ltd. 25,300 392,826
Rohto Pharmaceutical Co., Ltd. 101,000 1,133,977
Roland Corp. 47,000 787,698
# Roland DG Corp. 14,200 686,159
Royal Co., Ltd. 76,000 990,583
Ryobi, Ltd. 320,000 1,171,150
Ryoden Trading Co., Ltd. 81,000 474,204
Ryosan Co., Ltd. 69,200 1,561,876
Ryoyo Electro Corp. 59,100 859,258
S Foods, Inc. 60,000 440,062
*# S Science Co., Ltd. 285,000 66,361
# S.T. Chemical Co., Ltd. 55,000 683,544
* Saeki Kensetsu Kogyo Co., Ltd. 71,000 91,529
# Sagami Chain Co., Ltd. 37,000 338,150
Sagami Co., Ltd. 66,000 230,978
Sagami Rubber Industries Co., Ltd. 15,000 42,651
# Saibu Gas Co., Ltd. 683,000 1,373,989
* Sailor Pen Co., Ltd. 74,000 169,054
# Saizeriya Co., Ltd. 78,100 1,353,760
Sakai Chemical Industry Co., Ltd. 187,000 783,074
Sakai Heavy Industries, Ltd. 60,000 147,209
*# Sakai Ovex Co., Ltd. 85,000 155,852
Sakata Inx Corp. 102,000 466,881
# Sakata Seed Corp. 89,400 1,087,106
* Sakurada Co., Ltd. 38,000 55,312
Sala Corp. 67,500 319,726
San-Ai Oil Co., Ltd. 134,000 519,420
# Sanix, Inc. 65,000 523,943
Sankei Building Co., Ltd. 102,000 612,156
Sanki Engineering Co., Ltd. 146,000 1,009,365
Sanko Co., Ltd. 12,000 79,041
Sanko Metal Industrial Co., Ltd.,
Tokyo 54,000 108,344
Sankyo Seiko Co., Ltd. 97,000 416,202
# Sankyu, Inc., Tokyo 515,000 1,447,775
Sanoh Industrial Co., Ltd. 60,000 396,732
Sanrio Co., Ltd. 136,700 1,233,896
Sanritsu Corp. 5,400 42,743
Sanshin Electronics Co., Ltd. 57,000 417,039
Sanyo Chemical Industries, Ltd. 221,000 1,532,183
# Sanyo Denki Co., Ltd. 103,000 470,863
# Sanyo Electric Credit Co., Ltd. 59,500 1,124,619
Sanyo Engineering & Construction,
Inc. 34,000 127,909
Sanyo Industries, Ltd., Tokyo 48,000 119,192
# Sanyo Shokai, Ltd. 248,000 1,389,383
Sanyo Special Steel Co., Ltd. 283,000 570,674
*# Sasebo Heavy Industries Co., Ltd.,
Tokyo 267,000 352,883
* Sata Construction Co., Ltd., Gumma 61,000 65,542
# Sato Corp. 59,300 1,466,594
Sato Shoji Corp. 31,000 218,797
Satori Electric Co., Ltd. 27,980 353,055
Sawafugji Electric Co., Ltd. 31,000 79,406
* Secom Joshinetsu Co., Ltd. 21,400 424,105
Secom Techno Service Co., Ltd. 24,000 $ 943,699
Seibu Electric Industry Co., Ltd. 31,000 143,479
# Seijo Corp. 17,400 233,817
Seika Corp. 145,000 346,232
* Seikitokyu Kogyo Co., Ltd. 86,000 125,976
# Seiko Corp. 212,407 1,098,960
Seiren Co., Ltd. 101,000 727,514
Sekisui Jushi Co., Ltd. 84,000 493,047
Sekisui Plastics Co., Ltd. 165,000 547,207
Sekiwa Real Eastate, Ltd. 36,000 495,257
Sekiwa Real Estate Chubu, Ltd. 17,000 116,386
Sekonic Corp. 17,000 38,724
Senko Co., Ltd. 205,000 777,337
Senshu Electric Co., Ltd. 15,300 237,376
Senshukai Co., Ltd. 87,000 683,294
Shaddy Co., Ltd. 32,200 319,492
# Shibaura Mechatronics Corp. 79,000 583,457
Shibusawa Warehouse Co., Ltd. 115,000 281,510
Shibuya Kogyo Co., Ltd. 54,000 456,290
* Shikibo, Ltd. 155,000 192,225
Shikoku Chemicals Corp. 106,000 400,666
Shikoku Coca-Cola Bottling Co., Ltd. 41,100 505,220
Shimizu Bank, Ltd. 16,700 765,399
Shin Nippon Air Technologies Co.,
Ltd. 41,480 287,110
Shinagawa Refractories Co., Ltd. 104,000 281,856
* Shindengen Electric Manufacturing
Co., Ltd. 129,000 411,963
Shin-Etsu Polymer Co., Ltd. 144,000 895,187
Shinkawa, Ltd. 36,600 684,815
Shin-Keisei Electric Railway Co., Ltd. 97,000 345,872
Shinki Co., Ltd. 76,000 745,702
# Shinko Electric Co., Ltd. 257,000 692,659
Shinko Plantech Co., Ltd. 56,000 109,692
Shinko Shoji Co., Ltd. 36,000 240,794
Shin-Kobe Electric Machinery Co.,
Ltd. 82,000 312,390
# Shinmaywa Industries, Ltd. 220,000 928,010
Shinsho Corp. 139,000 304,238
# Shinwa Kaiun Kaisha, Ltd. 304,000 984,621
Shinyei Kaisha 54,000 124,678
Shiraishi Corp. 25,000 41,536
Shiroki Co., Ltd. 148,000 357,480
Shizuki Electric Co., Inc. 47,000 128,273
Shizuokagas Co., Ltd. 119,000 483,989
* Sho-Bond Corp. 46,200 369,657
Shobunsha Publications, Inc. 29,300 379,676
*# Shochiku Co., Ltd. 198,000 1,246,606
# Shoei Co., Ltd. 28,800 451,319
Shoei Foods Corp. 26,000 151,247
Shoko Co., Ltd. 183,000 319,536
Shokusan Bank, Ltd. 98,000 352,838
Showa Aircraft Industry Co., Ltd. 54,000 309,546
Showa Corp. 39,500 461,584
# Showa Electric Wire & Cable Co.,
Ltd., Kawasaki 373,000 488,173
# Showa Highpolymer Co., Ltd. 86,000 250,659
Showa Mining Co., Ltd. 66,000 109,599
Showa Sangyo Co., Ltd. 329,000 769,873
Showa Tansan Co., Ltd. 31,000 102,087
# Siix Corp. 9,000 166,192
84
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Silver Ox Inc. 30,000 $ 67,691
*# Silver Seiko, Ltd. 228,000 90,988
Simree Co., Ltd. 11,700 54,497
Sinanen Co., Ltd. 160,000 801,427
Sintokogio, Ltd., Nagoya 102,000 588,289
SK Japan Co., Ltd. 8,250 67,686
SMK Corp. 143,000 659,368
*# Snow Brand Milk Products Co., Ltd. 418,500 1,285,040
Snow Brand Seed Co., Ltd. 30,000 118,324
SNT Corp. 31,000 172,093
Soda Nikka Co., Ltd. 35,000 108,175
Sodick Co., Ltd. 87,000 641,653
* Sofmap Co., Ltd. 9,300 39,408
Software Research Associates, Inc. 11,400 165,872
Sogo Medical Co., Ltd. 8,800 135,746
* Sokkisha Co., Ltd. 40,000 101,452
Somar Corp. 22,000 68,206
Sonton Food Industry Co., Ltd. 27,000 289,881
Sorun Corp. 41,000 245,549
Sotetsu Rosen Co., Ltd. 44,000 258,327
Sotoh Co., Ltd. 12,000 193,052
Space Co., Ltd. 22,380 207,544
*# SPC Electronics Corp. 29,000 108,260
SPK Corp. 7,800 109,869
SRL, Inc. 33,000 380,264
# SS Pharmaceutical Co., Ltd., Tokyo 212,000 1,386,371
Star Micronics Co., Ltd. 103,000 797,139
Starzen Corp. 144,000 347,121
# Stella Chemifa Corp. 20,700 392,659
Subaru Enterprise Co., Ltd. 36,000 117,500
# Sugi Pharmacy Co., Ltd. 9,200 297,311
Sugimoto & Co., Ltd. 13,500 166,720
# Sumida Corp. 29,790 827,862
Suminoe Textile Co., Ltd. 122,000 230,654
*# Sumitomo Coal Mining Co., Ltd. 239,500 344,053
Sumitomo Densetsu Co., Ltd. 50,700 211,786
# Sumitomo Light Metal Industries,
Ltd. 541,000 869,740
* Sumitomo Mitsui Construction Co.,
Ltd. 413,600 438,288
Sumitomo Pipe & Tube Co., Ltd. 52,000 198,564
Sumitomo Precision Products Co.,
Ltd., Amagasaki City 84,000 272,104
Sumitomo Seika Chemicals Co., Ltd. 125,000 350,108
*# Sumitomo Titanium Corp. 16,000 859,887
# Sumitomo Warehouse Co., Ltd. 254,000 1,150,432
Sun Wave Corp. 80,000 301,548
Sundrug Co., Ltd. 6,400 199,222
SunTelephone Co., Ltd. 55,000 317,599
# Suruga Corp. 15,400 279,204
* Suzutan Co., Ltd. 13,200 104,721
SXL Corp. 129,000 232,982
Sysmex Corp. 39,800 1,585,137
# T.Hasegawa Co., Ltd. 74,900 1,077,689
Tabai Espec Corp. 41,000 361,271
# Tachihi Enterprise Co., Ltd. 23,350 905,201
Tachikawa Corp. 32,300 202,764
Tachi-S Co., Ltd. 42,100 573,504
Tadano, Ltd. 239,000 1,134,917
Taihei Dengyo Kaisha, Ltd. 70,000 353,668
* Taihei Kogyo Co., Ltd. 129,000 482,234
* Taiheiyo Kouhatsu, Inc. 90,000 $ 120,049
Taiho Kogyo Co., Ltd. 42,000 426,361
Taikisha, Ltd. 97,000 1,312,165
Taisei Lamick Co., Ltd. 8,500 206,084
Taisei Rotec Corp. 140,000 275,400
# Taito Co., Ltd. 70,000 179,901
# Taito Corp. 619 821,579
Takada Kiko Co., Ltd. 31,000 180,878
Takagi Securities Co., Ltd. 94,000 246,406
Takamatsu Corp. 35,800 1,138,936
Takano Co., Ltd. 24,600 374,824
* Takaoka Electric Manufacturing Co.,
Ltd., Tokyo 156,000 246,677
*# Taka-Q Co., Ltd. 34,500 72,908
# Takara Co., Ltd. 224,000 1,105,376
Takara Printing Co., Ltd. 17,050 152,666
Takara Standard Co., Ltd. 36,000 212,485
* Takarabune Corp. 26,000 253
Takasago International Corp. 172,000 822,484
Takasago Thermal Engineering Co.,
Ltd. 160,000 1,026,283
Takashima & Co., Ltd. 60,000 146,988
Takigami Steel Construction Co.,
Ltd. 42,000 316,048
Takiron Co., Ltd. 131,000 592,696
# Takuma Co., Ltd. 163,000 1,182,717
Tamura Corp. 139,000 548,876
* Tamura Taiko Holdings, Inc. 101,000 491,528
Tanseisha Co., Ltd. 26,000 101,648
# Tasaki Shinju Co., Ltd. 53,000 209,912
Tateho Chemical Industries Co., Ltd. 26,500 96,869
Tatsuta Electric Wire & Cable Co.,
Ltd. 106,000 206,927
Taya Co., Ltd. 5,000 40,021
Tayca Corp. 74,000 208,016
*# TC Properties Co., Ltd. 579,000 0
TCM Corp. 146,000 314,191
* TDF Corp. 11,000 43,969
*# Teac Corp. 113,000 142,447
Techno Ryowa, Ltd. 32,200 181,250
Tecmo, Ltd. 35,100 264,031
# Teikoku Hormone Manufacturing Co.,
Ltd. 38,000 381,925
Teikoku Piston Ring Co., Ltd. 63,000 562,147
Teikoku Sen-I Co., Ltd. 39,000 189,347
Teikoku Tsushin Kogyo Co., Ltd. 89,000 362,716
Tekken Corp. 289,000 481,936
Ten Allied Co., Ltd. 37,000 143,129
Tenma Corp. 56,400 924,761
Teraoka Seisakusho Co., Ltd. 29,000 250,232
Tetra Co., Ltd., Tokyo 41,000 117,275
* The Daito Bank, Ltd. 186,000 299,644
The Nisshin Oillio Group, Ltd. 346,000 1,546,584
Three F Co., Ltd. 12,200 98,842
Tigers Polymer Corp. 27,000 142,047
*# Titan Kogyo KK 36,000 78,788
# TKC Corp. 55,900 874,360
Toa Corp. 341,000 552,759
Toa Doro Kogyo Co., Ltd. 65,000 154,735
Toa Oil Co., Ltd. 145,000 256,602
* Toabo Corp. 73,000 76,653
85
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SHARES VALUE+
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# Toagosei Co., Ltd. 544,719 $ 1,731,079
* Tobu Store Co., Ltd. 71,000 142,791
TOC Co., Ltd. 119,000 1,012,297
* Tocalo Co., Ltd. 14,000 424,284
Tochigi Bank, Ltd. 209,000 1,151,998
Tochigi Fuji Industrial Co., Ltd. 51,000 163,874
Toda Kogyo Corp. 84,000 329,437
Todentu Corp. 57,000 162,524
Toei Co., Ltd. 265,000 1,136,701
Toenec Corp. 175,000 712,364
Tohcello Co., Ltd. 47,000 195,781
Toho Bank, Ltd. 286,000 1,052,357
Toho Co., Ltd. 43,000 348,288
*# Toho Rayon Co., Ltd. 239,000 699,767
Toho Real Estate Co., Ltd. 98,000 373,189
Toho Titanium Co., Ltd. 56,000 1,370,390
Toho Zinc Co., Ltd. 217,000 556,990
Tohoku Bank, Ltd. 117,000 243,518
Tohoku Misawa Homes Co., Ltd. 24,000 86,695
# Tohoku Pioneer Corp. 34,000 635,277
Tohoku Telecommunications
Construction Co., Ltd. 33,000 256,675
*# Tohpe Corp. 36,000 58,331
Tohto Suisan Co., Ltd. 54,000 99,613
Tokai Carbon Co., Ltd. 378,000 1,351,183
# Tokai Corp. 138,000 522,250
* Tokai Kanko Co., Ltd. 333,000 90,809
Tokai Konetsu Kogyo Co., Ltd. 15,000 54,397
* Tokai Lease Co., Ltd. 18,000 35,107
Tokai Pulp & Paper Co., Ltd. 101,000 341,339
Tokai Senko KK, Nagoya 47,000 93,462
Tokai Tokyo Securities Co., Ltd. 529,250 1,502,965
Tokimec, Inc. 152,000 287,536
Toko Electric Corp. 39,000 125,212
Toko, Inc. 171,000 485,068
Tokushima Bank, Ltd. 134,200 884,920
Tokushu Paper Manufacturing Co.,
Ltd. 80,000 384,387
Tokyo Biso Kogyo Corp. 19,000 126,900
Tokyo Denpa Co., Ltd. 11,000 124,168
Tokyo Dome Corp. 282,000 1,338,626
Tokyo Electron Device, Ltd. 144 369,448
Tokyo Energy & Systems, Inc. 61,000 276,077
# Tokyo Kikai Seisakusho, Ltd. 150,000 417,731
Tokyo Leasing Co., Ltd. 109,900 1,416,697
# Tokyo Nissan Auto Sales Co., Ltd. 97,000 268,613
Tokyo Rakutenchi Co., Ltd. 109,000 430,947
*# Tokyo Rope Manufacturing Co., Ltd. 294,000 544,776
Tokyo Sangyo Co., Ltd. 36,500 110,256
Tokyo Soir Co., Ltd. 34,000 103,234
*# Tokyo Tekko Co., Ltd. 67,000 241,652
Tokyo Theatres Co., Inc., Tokyo 116,000 163,663
Tokyo Tomin Bank, Ltd. 32,800 685,650
Tokyotokeiba Co., Ltd. 526,000 859,550
Tokyu Community Corp. 22,800 369,732
# Tokyu Livable Inc. 29,300 993,059
Tokyu Recreation Corp. 48,000 276,264
# Tokyu Store Chain Corp. 175,000 846,044
Toli Corp. 106,000 256,080
Tomato Bank, Ltd. 189,000 416,237
Tomen Electronics Corp. 15,000 785,619
# Tomoe Corp. 65,000 $ 264,694
Tomoegawa Paper Co., Ltd. 55,000 178,154
Tomoku Co., Ltd. 153,000 356,018
# Tomy Co., Ltd. 36,900 538,472
Tonami Transportation Co., Ltd. 165,000 498,805
# Topcon Corp. 85,000 1,120,146
Topre Corp. 98,000 729,910
# Topy Industries, Ltd. 405,000 1,465,701
Torigoe Co., Ltd. 35,000 185,354
Torii Pharmaceutical Co., Ltd. 54,100 1,119,065
Torishima Pump Manufacturing Co.,
Ltd., Osaka 47,000 262,103
Tose Co., Ltd. 12,200 178,862
# Toshiba Ceramics Co., Ltd. 350,000 1,027,904
# Toshiba Machine Co., Ltd. 294,000 1,121,697
Toshiba Plant Kensetsu Co., Ltd. 170,000 782,174
Tosho Printing Co., Ltd. 103,000 336,567
* Totenko Co., Ltd. 35,000 69,369
Totetsu Kogyo Co., Ltd. 53,000 214,124
* Totoku Electric Co., Ltd., Tokyo 62,000 111,004
# Tottori Bank, Ltd. 163,000 608,627
Touei Housing Corp. 49,140 1,271,417
* Toukei Computer Co., Ltd. 14,710 201,603
Towa Bank, Ltd. 443,000 976,143
* Towa Corp. 33,000 225,705
Towa Meccs Corp. 75,000 84,391
*# Towa Real Estate Development Co.,
Ltd. 80,000 192,235
*# Toyama Chemicals Co., Ltd. 359,000 1,288,441
Toyo Bussan Co., Ltd. 30,600 272,503
*# Toyo Communication Equipment Co.,
Ltd. 89,000 407,854
* Toyo Construction Co., Ltd. 471,000 438,494
# Toyo Corp. 59,700 698,850
Toyo Electric Co., Ltd. 67,000 187,328
*# Toyo Engineering Corp. 473,000 1,314,742
* Toyo Kanetsu KK 220,000 356,684
Toyo Kohan Co., Ltd. 183,000 710,565
# Toyo Radiator Co., Ltd. 129,000 519,615
Toyo Securities Co., Ltd. 133,000 469,378
* Toyo Shutter Co., Ltd. 77,000 101,573
* Toyo Sugar Refining Co., Ltd. 60,000 84,906
Toyo Tire & Rubber Co., Ltd. 387,000 1,195,680
Toyo Wharf & Warehouse Co., Ltd. 118,000 226,901
# Trans Cosmos, Inc. 43,800 1,497,596
Trusco Nakayama Corp. 57,400 856,820
Tsubaki Nakashima Co., Ltd. 93,500 1,153,131
Tsubakimoto Chain Co. 358,000 1,279,889
Tsubakimoto Kogyo Co., Ltd. 44,000 102,410
# Tsudakoma Corp. 101,000 307,483
# Tsugami Corp. 165,000 484,746
Tsukamoto Co., Ltd. 44,000 87,538
Tsukishima Kikai Co., Ltd. 78,000 554,283
Tsurumi Manufacturing Co., Ltd. 44,000 337,935
Tsutsumi Jewelry Co., Ltd. 37,700 1,104,894
Tsutsunaka Plastic Industry Co., Ltd. 73,000 317,752
Tsuzuki Denki Co., Ltd. 36,000 132,625
Tsuzuki Densan Co., Ltd. 14,200 60,074
TYK Corp. 67,000 181,962
U.Store Co., Ltd. 55,600 567,436
Ube Material Industries, Ltd. 144,000 345,018
86
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SHARES VALUE+
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Uchida Yoko Co., Ltd. 85,000 $ 343,455
Ueki Corp. 47,000 128,253
# Unicafe, Inc. 10,360 154,028
Unimat Offisco Corp. 37,500 453,961
# Union Tool Co. 40,400 1,355,688
*# Unitika, Ltd. 836,000 898,825
U-Shin, Ltd. 40,000 277,881
Utoc Corp. 68,000 168,092
Valor Co., Ltd. 32,000 667,462
Vital-Net, Inc. 72,100 475,548
Wakachiku Construction Co., Ltd. 206,000 513,072
Wakamoto Pharmaceutical Co., Ltd. 48,000 141,594
Wakodo Co., Ltd. 4,600 171,748
Warabeya Nichiyo Co., Ltd. 24,860 458,079
Watabe Wedding Corp. 13,200 288,790
Watami Food Service Co., Ltd. 72,200 560,781
Weathernews, Inc. 15,800 121,676
* Wondertable, Ltd. 8,000 10,282
Wood One Co., Ltd. 86,000 674,054
Xebio Co., Ltd. 21,100 639,507
XNET Corp. 57 164,926
Yahagi Construction Co., Ltd. 59,000 222,693
Yaizu Suisankagaku Industry Co.,
Ltd. 20,100 198,379
Yamagata Bank, Ltd. 329,000 1,541,108
Yamaichi Electronics Co., Ltd. 28,400 333,902
Yamamura Glass Co., Ltd. 212,000 481,365
# Yamatake Corp. 127,300 1,337,454
*# Yamatane Corp. 131,000 188,966
Yamato Corp. 36,000 156,788
Yamato International, Inc. 43,000 271,723
Yamato Kogyo Co., Ltd. 118,000 1,585,473
Yamaura Corp. 19,000 48,985
Yamazen Co., Ltd. 160,000 491,749
Yaoko Co., Ltd. 36,800 701,298
Yaskawa Information Systems Corp. 11,700 106,421
Yasuda Warehouse Co., Ltd. 61,000 363,477
Ye Data, Inc. 25,000 69,216
Yellow Hat, Ltd., Tokyo 39,600 332,294
# Yodogawa Steel Works, Ltd. 338,000 1,601,522
Yokogawa Bridge Corp. 74,400 463,833
# Yokohama Reito Co., Ltd. 80,000 520,388
Yokowo Co., Ltd. 32,300 380,980
Yomeishu Seizo Co., Ltd. 52,000 407,900
Yomiuri Land Co., Ltd. 157,000 479,385
Yondenko Corp. 63,800 305,420
Yonekyu Corp. 51,000 557,404
Yonex Co., Ltd. 41,000 356,489
Yorozu Corp. 34,100 278,088
Yoshimoto Kogyo Co., Ltd. 60,000 540,886
Yuasa Funashoku Co., Ltd. 69,000 152,137
* Yuasa Trading Co., Ltd. 274,000 478,215
* Yuken Kogyo Co., Ltd. 60,000 165,981
Yuki Gosei Kogyo Co., Ltd. 31,000 103,880
# Yukiguni Maitake Co., Ltd. 35,600 269,664
Yuraku Real Estate Co., Ltd. 95,000 347,649
Yurtec Corp. 148,000 721,300
# Yushin Precision Equipment Co., Ltd. 25,740 387,156
Yushiro Chemical Industry Co., Ltd. 24,000 374,690
* Z-Plus Holdings Co., Ltd. 52,000 154,794
Zenrin Co., Ltd. 63,700 $ 783,837
# Zensho Co., Ltd. 24,600 630,296
# Zeria Pharmacetical Co., Ltd. 81,000 790,626
# Zuken, Inc. 51,100 489,509
---------------
TOTAL COMMON STOCKS
(Cost $623,310,440) 592,082,308
---------------
INVESTMENT IN CURRENCY -- (0.8%)
* Japanese Yen
(Cost $6,262,627) 6,275,614
---------------
RIGHTS/WARRANTS -- (0.0%)
* BSL Corp. Bonus Warrants 01/31/05 42,190 0
* Kanematsu Corp. Warrants 03/31/06 20,125 0
---------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 0
---------------
TOTAL -- JAPAN
(Cost $629,573,067) 598,357,922
---------------
FACE
AMOUNT
------
(000)
TEMPORARY CASH
INVESTMENTS -- (22.5%)
Repurchase Agreement, Deutsche
Bank Securities & Mizuho Securities
USA 1.96%, 12/01/04 (Collateralized
by $167,173,427 U.S. Treasury
Notes & STRIPS, rates ranging from
1.625% to 11.75%, maturities ranging
from 03/31/05 to 11/15/29, valued at
$169,079,214) to be repurchased at
$166,188,246
(Cost $166,179,198)^ $ 166,179 166,179,198
Repurchase Agreement, PNC Capital
Markets, Inc. 1.88%, 12/01/04
(Collateralized by $7,650,000
FNMA Notes 2.95%, 11/14/07,
valued at $7,660,733) to be
repurchased at $7,555,395
(Cost $7,555,000) 7,555 7,555,000
---------------
TOTAL TEMPORARY CASH
INVESTMENTS
(Cost $173,734,198) 173,734,198
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $803,307,265) $ 772,092,120
===============
----------
+ Securities have been fair valued. See Note B to Financial Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
87
THE PACIFIC RIM SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
[Download Table]
SHARES VALUE+
------------ ------------------
AUSTRALIA -- (41.5%)
COMMON STOCKS -- (41.3%)
A.I., Ltd. 129,195 $ 19,475
A.P. Eagers, Ltd. 26,648 147,537
AAV, Ltd. 136,790 177,548
# ABB Grain, Ltd. 155,230 854,348
# ABC Learning Centres, Ltd. 199,929 781,792
* Acclaim Exploration NL 435,905 14,738
* Adacel Technologies, Ltd. 113,249 26,162
ADCorp Australia, Ltd. 123,389 102,248
Adelaide Bank, Ltd. 169,045 1,319,609
Adelaide Brighton, Ltd. 661,990 861,986
# Adsteam Marine, Ltd. 449,500 569,059
Adtrans Group, Ltd. 32,047 88,256
* Agenix, Ltd. 267,186 119,595
* AGT Biosciences, Ltd. 141,979 65,761
* Ainsworth Game Techology, Ltd. 254,960 196,165
AJ Lucas Group, Ltd. 85,235 108,150
Alesco Corp., Ltd. 116,883 735,788
* Alkane Exploration, Ltd. 185,165 26,959
* Allegiance Mining NL 274,272 30,708
* Altium, Ltd. 162,100 37,592
Amalgamated Holdings, Ltd. 213,820 686,094
Amcom Telecommunications, Ltd. 596,711 96,391
* Amity Oil NL 269,554 154,454
* Amrad Corp., Ltd. 211,023 84,580
* Anadis, Ltd. 136,900 58,377
* Anateus Energy, Ltd. 193,687 13,976
* Anvil Mining, Ltd. 343,284 157,148
ARB Corporation, Ltd. 116,670 344,900
* Arc Energy NL 321,280 332,723
Ariadne Australia, Ltd. 277,334 83,439
* Arrow Pharmaceuticals, Ltd. 109,428 1,089,932
Aspen Group, Ltd. 16,937 2,616
* Atlas Pacific, Ltd. 82,585 10,840
AuIron Energy, Ltd. 105,891 184,424
Ausdrill, Ltd. 172,389 67,902
Ausmelt, Ltd. 36,118 11,760
Auspine, Ltd. 89,325 266,955
* Austal, Ltd. 356,800 536,856
# * Austar United Communications, Ltd. 2,120,181 1,474,613
# Austereo Group, Ltd. 719,528 900,309
Austin Group, Ltd. 70,265 44,073
* Austral Coal, Ltd. 373,084 230,671
Australian Agricultural Co., Ltd. 344,519 397,085
# * Australian Magnesium Corp., Ltd. 332,383 6,136
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Australian Pharmaceutical Industries, Ltd. 456,731 1,202,012
Australian Pipeline Trust 491,831 1,182,424
# * Australian Worldwide Exploration, Ltd. 465,421 702,127
Auto Group, Ltd. 41,309 21,106
Autron Corporation, Ltd. 989,247 153,013
# AV Jennings Homes, Ltd. 369,461 463,309
Avatar Industries, Ltd. 56,896 33,856
* Avexa, Ltd. 67,761 13,670
* Ballarat Goldfields NL 1,250,496 168,964
# Bank of Queensland, Ltd. 221,092 1,816,634
Baxter Group, Ltd. 56,513 227,297
* BayCorp Advantage, Ltd. 410,581 989,473
Beach Petroleum NL 1,920,078 681,603
* Beaconsfield Gold NL 89,078 29,807
Bendigo Bank, Ltd. 102,468 780,716
* Bendigo Mining NL 412,092 340,304
* Beyond International, Ltd. 61,256 18,061
* Biota Holdings, Ltd. 158,536 70,905
Blackmores, Ltd. 27,894 290,871
* Blina Diamonds, Ltd. 13,703 3,668
Bolnisi Gold NL 288,627 133,110
* Boulder Group NL 717,587 106,251
* BQT Solutions, Ltd. 179,898 32,660
Brazin, Ltd. 211,021 321,954
BreakFree, Ltd. 92,162 242,958
Bridgestone Australia, Ltd. 49,000 134,624
* Broadcast Services Australia, Ltd. 205,703 62,996
* Buka Mineral, Ltd. 210,323 63,200
Cabcharge Austalia, Ltd. 196,800 614,249
Campbell Brothers, Ltd. 90,980 641,536
Candle Australia, Ltd. 67,821 108,110
* Cape Range Wireless, Ltd. 1,698,199 48,739
# Capral Aluminium, Ltd. 167,379 308,116
CDS Technologies, Ltd. 61,294 120,634
Cedar Woods Properties, Ltd. 77,414 137,319
* Cellestis, Ltd. 147,658 365,112
Cellnet Telecommunications Group, Ltd. 91,100 120,302
# * Centamin Egypt, Ltd. 996,437 226,208
Centennial Coal, Ltd. 464,685 1,446,281
Central Equity, Ltd. 136,685 214,795
* Charter Pacific Corp., Ltd. 72,823 19,964
* Charters Towers Gold Mines, Ltd. 727,142 83,767
# * Chemeq, Ltd. 142,223 219,154
* Child Care Centres Australia, Ltd. 62,315 93,473
* Chiquita Brands South Pacific, Ltd. 250,903 151,451
Circadian Technologies, Ltd. 64,591 109,476
Citect Corp., Ltd. 109,822 71,255
* Climax Mining, Ltd. 870,299 69,990
* Clough, Ltd. 817,737 315,975
Clover Corp., Ltd. 269,348 78,803
* Cluff Resources Pacific NL 911,746 17,452
CMI, Ltd. 47,437 72,600
* CO2 Group, Ltd. 280,693 106,298
# Coates Hire, Ltd. 371,530 1,303,482
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Cochlear, Ltd. 97,156 1,768,754
Coffey International, Ltd. 105,045 162,339
Collection House, Ltd. 176,200 235,645
Colorado Group, Ltd. 192,662 947,250
Commander Communications, Ltd. 256,819 474,375
Consolidated Minerals, Ltd. 320,225 544,942
* Coplex Resources NL 231,400 16,159
Corporate Express Australia, Ltd. 320,507 1,398,598
Count Financial, Ltd. 367,126 383,221
Coventry Group, Ltd. 61,839 350,127
* CPI, Ltd. 68,585 42,987
Crane Group, Ltd. 99,416 776,664
Croesus Mining NL 798,235 367,827
* Crown Diamonds NL 300,000 53,130
Danks Holdings, Ltd. 10,425 100,593
# DCA Group, Ltd. 509,294 1,322,469
Devine, Ltd. 168,183 88,638
* Dioro Exploraration NL 297,142 25,067
* Dominion Mining, Ltd. 168,015 50,464
Downer Group, Ltd. 513,745 1,778,260
* Dragon Mining NL 498,591 111,561
* Emporer Mines, Ltd. 168,840 82,972
Energy Developments, Ltd. 231,690 616,223
* Energy World Corp., Ltd. 325,630 4,254
# Envestra, Ltd. 1,370,800 1,112,417
* Environmental Solutions International, Ltd. 67,364 3,345
Equigold NL 252,890 302,108
* Equinox Minerals, Ltd. 67,716 36,253
Evans & Tate, Ltd. 160,542 131,603
Fantastic Holdings, Ltd. 146,410 610,746
FKP, Ltd. 221,750 619,103
# Fleetwood Corp., Ltd. 77,785 522,367
* Forest Enterprises Australia, Ltd. 387,869 194,986
* Fortescue Metals Group, Ltd. 222,872 558,803
Funtastic, Ltd. 210,036 433,265
# Futuris Corp., Ltd. 1,170,799 1,910,497
Gale Pacific, Ltd. 72,812 170,436
Gazal Corp., Ltd. 98,175 281,529
* Geodynamics, Ltd. 89,459 103,638
* Giants Reef Mining, Ltd. 1,400,196 82,895
Globe International, Ltd. 712,348 266,974
* Gold Aura 41,097 4,417
* Goldstream Mining NL 105,681 33,989
Gowing Bros., Ltd. 60,296 123,279
* Gradipore, Ltd. 104,226 64,465
Graincorp, Ltd. Series A 78,059 796,619
Grand Hotel Group 383,087 239,665
GRD NL 379,594 822,614
# Great Southern Plantations, Ltd. 437,017 1,278,184
Green's Foods, Ltd. 129,747 93,209
GUD Holdings, Ltd. 114,428 977,506
# Gunns, Ltd. 602,832 1,958,402
* Gutnick Resources NL 17,866 2,058
GWA International, Ltd. 490,586 1,243,414
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* Gympie Gold, Ltd. 302,445 131,413
* Hardman Resources NL 977,372 1,354,713
Harvey World Travel, Ltd. 52,100 58,432
Health Communication Network, Ltd. 106,000 134,362
Healthscope, Ltd. 157,155 488,845
Henry Walker Eltin Group, Ltd. 360,324 157,360
* Herald Resources, Ltd. 69,910 46,358
HGL, Ltd. 84,970 128,181
# Hills Industries, Ltd. 279,879 912,400
Home Building Society, Ltd. 18,776 89,047
* Horizon Oil NL 752,832 95,906
Housewares International, Ltd. 293,921 609,014
HPAL, Ltd. 193,847 234,207
* Hutchison Telecommunications (Australia), Ltd. 1,153,996 323,826
* IBA Health, Ltd. 322,750 162,059
IInet, Ltd. 136,659 316,593
Iluka Resources, Ltd. 398,111 1,799,395
* Imdex, Ltd. 135,662 19,780
Incitec Pivot, Ltd. 67,442 1,097,905
* Independent Practioner Network, Ltd. 457,414 13,486
* Indophil Resources NL 250,607 74,888
# Infomedia, Ltd. 598,900 371,341
Institute of Drug Technology Australia, Ltd. 82,205 145,695
Integrated Group, Ltd. 145,820 282,177
Integrated Research, Ltd. 261,513 105,015
* Intellect Holdings, Ltd. 403,028 12,092
* Intermoco, Ltd. 1,067,459 62,396
* International All Sports, Ltd. 58,815 15,480
Investor Group, Ltd. 112,388 341,462
# ION, Ltd. 419,349 319,580
Iress Market Technology, Ltd. 176,883 498,069
IWL, Ltd. 81,474 142,300
* Ixla, Ltd. 89,921 1,605
JDV, Ltd. 123,805 74,312
# Jones (David), Ltd. 707,771 1,265,632
Jubilee Mines NL 224,549 767,701
K&S Corp., Ltd. 93,878 213,490
* Kagara Zinc, Ltd. 276,962 194,430
Keycorp, Ltd. 156,412 220,038
* Kimberley Diamond Co. NL 274,068 213,428
# Kingsgate Consolidated NL 141,645 285,453
Kresta Holdings, Ltd. 231,002 99,956
* Lakes Oil NL 2,055,217 79,469
Lemarne Corp., Ltd. 20,790 40,808
* Leyshon Resources, Ltd. 103,357 38,047
Lighting Corp., Ltd. 112,500 69,364
* LionOre Mining International, Ltd. 25,843 149,482
* Lynas Gold NL 433,768 125,462
# MacArthur Coal, Ltd. 265,423 870,588
MacMahon Holdings, Ltd. 593,580 222,369
* Macmin Silver, Ltd. 343,722 39,418
* Macquarie Corporate Telecommunications, Ltd. 350,192 51,502
Macquarie Goodman Management, Ltd. 465,692 1,272,113
Magellan Petroleum Australia, Ltd. 32,760 33,526
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* Magnesium International, Ltd. 656,061 34,023
* Maryborough Sugar Factory, Ltd. 600 3,434
* Matrix Oil NL 557,000 19,016
MaxiTRANS Industries, Ltd. 273,119 225,572
# McGuigan Simeon Wines, Ltd. 291,513 1,186,362
McPherson's, Ltd. 103,232 438,880
* Medica Holdings, Ltd. 31,587 17,556
Melbourne IT, Ltd. 83,305 87,074
# * Metabolic Pharmaceuticals, Ltd. 700,000 967,725
# * Metal Storm, Ltd. 791,640 166,847
# Miller's Retail, Ltd. 493,726 461,973
* Minara Resources, Ltd. 846,370 1,421,569
Mincor Resources NL 333,960 164,299
Monadelphous Group, Ltd. 40,803 253,732
# * Mosaic Oil NL 756,146 148,653
* MPI Mines, Ltd. 170,592 293,988
* MPI Mines, Ltd. Leviathan Entitlements 56,864 34,414
* MXL, Ltd. 512,804 34,697
MYOB, Ltd. 698,496 745,632
Namoi Cotton Cooperative, Ltd. 152,330 69,156
National Can Industries, Ltd. 97,017 112,994
* Norwood Abbey, Ltd. 245,896 121,412
* Nova Health, Ltd. 162,859 29,066
* Novera Energy, Ltd. 314,130 83,272
# * Novogen, Ltd. 166,644 718,861
Nufarm, Ltd. 287,774 1,835,428
* Nylex, Ltd. 1,110,199 339,680
Oakton, Ltd. 130,899 144,695
# Oamps, Ltd. 182,284 488,184
* Occupational & Medical Innovations, Ltd. 31,208 33,587
* Orbital Engine Corp., Ltd. 537,358 48,297
OrotonGroup, Ltd. 76,854 169,606
* Oxiana, Ltd. 2,124,170 1,710,523
Pacific Group, Ltd. 248,624 702,617
Pacific Hydro, Ltd. 378,635 1,080,005
* Paladin Resources, Ltd. 573,901 230,885
* Palm Springs, Ltd. 222,804 25,801
* Pan Pacific Petroleum NL 327,800 34,317
* Panbio, Ltd. 58,078 16,544
* Payce Consolidated, Ltd. 18,000 37,685
Penfold Buscombe, Ltd. 54,588 79,134
* People Telecom, Ltd. 274,060 35,717
Peppercorn Management Group, Ltd. 22,267 183,484
* Peptech, Ltd. 281,015 440,441
* Perilya Mines NL 263,500 174,648
* Perseverance Corp., Ltd. 917,246 274,396
# * Petsec Energy, Ltd. 203,974 223,842
* Plantcorp NL 4,329 0
Plaspak Group, Ltd. 99,965 72,596
# * PMP, Ltd. 497,872 777,364
* Polartechnics, Ltd. 43,405 15,292
Port Bouvard, Ltd. 108,200 113,668
* Port Douglas Reef Resorts, Ltd. 251,655 16,612
Portman, Ltd. 343,890 803,275
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* PowerTel, Ltd. Series B 110,422 119,017
* Prana Biotechnology, Ltd. 195,424 80,563
* Precious Metals Australia, Ltd. 10,606 1,263
* Preston Resources NL 64,000 1,171
Primary Health Care, Ltd. 196,419 1,214,515
Prime Television, Ltd. 210,595 514,192
* Primelife Corp., Ltd. 99,482 128,862
* Progen Industries, Ltd. 64,862 264,698
Programmed Maintenance Service, Ltd. 124,246 319,349
Queensland Cotton Holdings, Ltd. 47,054 164,307
* Quiktrak Networks P.L.C. Entitlement Shares 23,875 0
* Quiktrak Networks, Ltd. 7,401 574
Ramsay Health Care, Ltd. 230,574 1,316,240
Raptis Group, Ltd. 12,000 6,675
Rebel Sport, Ltd. 132,283 322,855
* Redfire Resources NL 859,797 125,519
Reece Australia, Ltd. 185,260 1,677,477
* Reinsurance Australia Corp., Ltd. 399,993 176,524
* Reliance Mining, Ltd. 105,540 36,690
Repcol, Ltd. 308,668 100,322
* Resolute Mining, Ltd. 287,264 335,706
* Resonance Health, Ltd. 29,264 3,389
Ridley Corp., Ltd. 607,544 639,017
Roberts, Ltd. 18,045 108,786
* Roc Oil Co., Ltd. 311,181 441,017
Rock Building Society, Ltd. 11,373 32,970
Ross Human Directions, Ltd. 121,481 91,853
Rural Press, Ltd. 38,633 300,631
S8, Ltd. 118,171 136,244
Salmat, Ltd. 200,045 750,552
Schaffer Corp., Ltd. 33,766 347,264
SDI, Ltd. 200,815 288,252
* Sedimentary Holdings, Ltd. 577,321 122,403
Select Harvests, Ltd. 71,550 456,764
* Senetas Corp., Ltd. 240,406 45,755
Servcorp, Ltd. 156,000 323,088
Seven Network, Ltd. 319,923 1,555,996
# SFE Corp., Ltd. 225,787 1,432,702
Sigma Co., Ltd. 256,868 1,851,638
* Silex System, Ltd. 235,100 228,479
Sims Group, Ltd. 150,718 2,079,144
* Sino Gold, Ltd. 235,144 417,456
# * Sirtex Medical, Ltd. 96,109 206,398
Skilled Engineering, Ltd. 153,706 304,130
Smorgon Steel Group, Ltd. 1,498,240 1,388,420
SMS Management & Technology, Ltd. 507,212 133,921
* Sons of Gwalia, Ltd. 253,252 255,447
# Southern Cross Broadcasting (Australia), Ltd. 103,651 1,240,178
* Southern Pacific Petroleum NL 698,740 130,116
SP Telecommunications, Ltd. 583,805 973,161
# SPC Ardmona, Ltd. 352,780 579,497
# Spotless Group, Ltd. 377,303 1,440,908
* St. Barbara Mines, Ltd. 375,500 21,652
Star Games, Ltd. 132,410 144,339
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* Starpharma Holdings, Ltd. 178,465 103,453
* Straits Resources, Ltd. 212,913 303,856
* Strategic Minerals Corp. NL 358,100 35,994
* Strathfield Group, Ltd. 492,553 83,869
* Striker Resources NL 435,484 17,532
# STW Communications Group, Ltd. 295,275 720,251
# Sunland Group, Ltd. 370,446 524,239
Sydney Aquarium, Ltd. 49,135 204,655
* Sydney Gas, Ltd. 402,065 304,434
Symex Holdings, Ltd. 163,000 172,537
* Taipan Resources NL 2,475,883 123,267
* Tandou, Ltd. 3,410 4,461
* Tap Oil, Ltd. 269,296 382,728
Technology One, Ltd. 587,800 281,834
Tectonic Resources NL 259,183 73,758
* Television & Media Services, Ltd. 2,000,584 65,072
Tempo Service, Ltd. 184,359 173,727
Thakral Holdings Group 948,383 534,300
The Gribbles Group, Ltd. 780,300 374,098
Ticor, Ltd. 455,148 527,588
# Timbercorp, Ltd. 373,920 594,064
* Titan Resources NL 297,586 49,371
* Tooth & Co., Ltd. 153,000 14,129
Transfield Services, Ltd. 258,722 1,237,451
Triako Resources, Ltd. 25,400 32,506
Troy Resources NL 72,048 199,862
Trust Company of Australia, Ltd. 53,206 357,646
United Group, Ltd. 185,592 925,193
* Unitract, Ltd. 147,406 115,516
UXC, Ltd. 230,697 146,276
VeCommerce, Ltd. 13,680 15,901
* Ventracor, Ltd. 331,714 386,827
* Victoria Petroleum NL 2,180,492 79,049
Villa World, Ltd. 185,574 221,134
# * Village Roadshow, Ltd. 591,536 912,883
* Virotec International NL 298,151 124,809
Vision Systems, Ltd. 281,036 263,897
* Voicenet (Australia), Ltd. 495,284 7,241
Volante Group, Ltd. 211,215 248,067
Waterco, Ltd. 22,304 69,053
Watpac, Ltd. 139,743 138,434
# Wattyl, Ltd. 136,317 403,654
* Webster, Ltd. 33,551 22,251
* Wedgetail Exploration NL 1,413,422 59,981
Wide Bay Capricorn Building Society, Ltd. 35,356 182,831
Worley Group, Ltd. 283,762 1,197,893
* Yates, Ltd. 60,281 2,421
------------------
TOTAL COMMON STOCKS
(Cost $98,124,864) 130,771,728
------------------
INVESTMENT IN CURRENCY -- (0.1%)
* Australian Dollar 409,212
------------------
(Cost $387,262)
7
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PREFERRED STOCKS -- (0.1%)
Southern Cross Broadcasting (Australia), Ltd. 12,034 140,057
* Village Roadshow, Ltd. 2% Class A 55,477 73,339
------------------
TOTAL PREFERRED STOCKS
(Cost $205,920) 213,396
------------------
RIGHTS/WARRANTS -- (0.0%)
* Ainsworth Game Technology, Ltd. Rights 12/10/04 33,994 396
* Allegiance Mining NL Rights 12/15/04 27,427 943
* Axon Instruments, Inc. Options 01/02/07 16,148 0
* CBH Resources, Ltd. Rights 12/10/04 171,959 0
* Macmin Silver, Ltd. Options 10/30/08 38,191 2,104
# * Mosaic Oil NL Options 09/30/05 48,415 3,005
------------------
TOTAL RIGHTS/WARRANTS
(Cost $98) 6,448
------------------
TOTAL -- AUSTRALIA
(Cost $98,718,144) 131,400,784
------------------
HONG KONG -- (22.8%)
COMMON STOCKS -- (22.8%)
* 139 Holdings, Ltd. 6,200,000 17,500
ABC Communications (Holdings), Ltd. 930,000 69,190
Aeon Credit Service (Asia) Co., Ltd. 740,000 485,286
ALCO Holdings, Ltd. 740,000 189,854
Allan International Holdings, Ltd. 592,000 94,372
* Allied Group, Ltd. 559,200 574,606
* Allied Properties, Ltd. 802,600 412,284
* Anex International Holdings, Ltd. 152,000 2,072
* Applied International Holdings, Ltd. 1,243,000 19,465
* APT Satellite Holdings, Ltd. 599,000 110,003
Artel Solutions Group Holdings, Ltd. 2,315,000 67,413
Arts Optical International Holdings, Ltd. 468,000 159,377
Asia Aluminum Holdings, Ltd. 2,084,000 240,418
* Asia Commercial Holdings, Ltd. 72,800 4,243
Asia Financial Holdings, Ltd. 1,976,908 486,945
* Asia Logistics Technologies, Ltd. 22,140 3,871
Asia Satellite Telecommunications Holdings, Ltd. 233,000 452,304
* Asia Standard International Group, Ltd. 6,780,000 356,109
* Asia Tele-Net & Technology Corp., Ltd. 521,000 29,975
Associated International Hotels, Ltd. 898,000 728,507
Automated Systems Holdings, Ltd. 340,000 55,377
Baltrans Holdings, Ltd. 376,000 133,920
* Beijing Development (Hong Kong), Ltd. 166,000 21,298
Bossini International Holdings, Ltd. 1,801,500 467,049
Bright International Group, Ltd. 710,000 73,083
Cafe de Coral Holdings, Ltd. 350,000 402,703
* Capital Prosper, Ltd. 480,000 4,198
* Capital Strategic Investment, Ltd. 30,500 2,389
* Cash Financial Services Group, Ltd. 27,018 623
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* Casil Telecommunications Holdings, Ltd. 1,420,000 78,666
* Catic International Holdings, Ltd. 5,332,000 92,448
CCT Telecom Holdings, Ltd. 472,970 76,257
CEC International Holdings, Ltd. 210,000 4,510
* Celestial Asia Securities Holdings, Ltd. 426,036 22,892
* Central China Enterprises, Ltd. 210,400 18,033
# Champion Technology Holdings, Ltd. 1,329,386 235,337
Chaoda Modern Agriculture (Holdings), Ltd. 1,536,000 556,436
Chen Hsong Holdings, Ltd. 1,210,000 769,266
Cheuk Nang (Holdings), Ltd. 112,501 58,712
* Cheung Tai Hong Holdings, Ltd. 100,920 4,779
Chevalier International Holdings, Ltd. 441,482 354,909
Chevalier Itech Holdings, Ltd. 355,250 47,783
* China Aerospace International Holdings, Ltd. 3,384,000 195,383
* China Bio-medical Group, Ltd. 415,000 8,005
* China City Natural Gas Holdings, Ltd. 10,488,000 26,983
* China Digicontent Co., Ltd. 2,710,000 3,485
China Everbright International, Ltd. 3,945,000 262,654
* China Everbright Technology, Ltd. 3,244,000 155,712
# * China Gas Holdings, Ltd. 2,026,000 331,991
China Hong-Kong Photo Products Holdings, Ltd. 1,909,000 129,970
China Insurance International Holdings Co., Ltd. 856,000 384,547
* China Investments Holdings, Ltd. 210,000 4,537
* China Motion Telecom International, Ltd. 257,000 9,969
China Motor Bus Co., Ltd. 74,000 530,942
* China Nan Feng Group, Ltd. 28,800 389
# China National Aviation Co., Ltd. 1,552,000 322,441
China Online (Bermuda), Ltd. 296,240 47,999
China Pharmaceutical Enterprise and Investment Corp., Ltd. 754,000 193,839
China Rare Earth Holdings, Ltd. 1,180,000 163,921
China Resources Land, Ltd. 2,658,000 451,045
China Resources Logic, Ltd. 3,796,000 447,704
* China Rich Holdings, Ltd. 3,380,000 16,518
* China Sci-Tech Holdings, Ltd. 2,786,000 9,580
* China Star Entertainment, Ltd. 440,292 42,383
* China Strategic Holdings, Ltd. 1,368,500 97,758
# China Travel International Investment, Ltd. 1,276,000 384,896
Chinney Investments, Ltd. 1,144,000 97,060
* Chitaly Holdings, Ltd. 150,000 113,458
Chow Sang Sang Holdings International, Ltd. 721,400 338,077
Chuangs China Investments, Ltd. 1,347,000 83,222
Chuang's Consortium International, Ltd. 1,858,884 171,677
Chun Wo Holdings, Ltd. 1,671,917 231,596
Chung Tai Printing Holdings, Ltd. 548,000 87,975
* CITIC 21CN Co., Ltd. 1,536,000 463,109
* CITIC Resources Holdings, Ltd. 1,790,000 362,846
City e Solutions, Ltd. 186,000 20,047
City Telecom (H.K.), Ltd. 1,070,000 221,129
# * Clear Media, Ltd. 340,000 341,536
* Climax International Co., Ltd. 296,000 1,296
# CNPC (Hong Kong), Ltd. 2,680,000 430,399
* CNT Group, Ltd. 3,078,000 71,070
* Coastal Greenland, Ltd. 2,440,000 50,103
COFCO International, Ltd. 1,042,000 457,706
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* Compass Pacific Holdings, Ltd. 624,000 23,272
* Computer & Technologies Holdings, Ltd. 432,000 58,706
Continental Holdings, Ltd. 98,825 10,666
Continental Mariner Investment Co., Ltd. 1,328,000 259,056
* COSCO International Holdings, Ltd. 2,573,600 451,986
# Coslight Technology International Group, Ltd. 626,000 170,814
* Cosmos Machinery Enterprises, Ltd. 1,126,400 54,779
* Crocodile Garments, Ltd. 1,539,000 82,946
Cross Harbour Tunnel Co., Ltd. 386,520 230,953
* Culturecom Holdings, Ltd. 3,767,000 265,489
* Dah Hwa International Holdings, Ltd. 1,062,000 39,512
* Dan Form Holdings Co., Ltd. 2,386,600 116,822
* Daqing Petroleum & Chemical Group, Ltd. 1,375,000 104,033
Dickson Concepts International, Ltd. 498,300 578,211
* Digital China Holdings, Ltd. 1,416,000 436,117
* DVN Holdings, Ltd. 744,490 149,297
* Dynamic Global Holdings, Ltd. 3,522,000 19,023
Dynamic Holdings, Ltd. 244,000 35,203
Easyknit International Holdings, Ltd. 282,860 5,165
* Eforce Holdings, Ltd. 2,620,000 18,738
Egana Jewelry and Pearls 331,789 59,301
# Eganagoldfeil Holdings, Ltd. 2,017,235 406,183
Emperor International Holdings, Ltd. 90,436 160,584
* e-New Media Co., Ltd. 320,000 10,481
* eSun Holdings, Ltd. 653,600 71,180
* Extrawell Pharmaceutical Holdings, Ltd. 3,220,000 102,227
Ezcom Holdings, Ltd. 72,576 2,988
* Fairwood Holdings, Ltd. 42,600 16,680
# Far East Consortium International, Ltd. 1,948,929 748,524
* Far East Hotels & Entertainment, Ltd. 1,853,000 119,970
Far East Pharmaceutical Technology Co., Ltd. 3,216,000 28,124
* First Natural Foods Holdings, Ltd. 295,000 22,340
First Sign International Holdings, Ltd. 1,424,000 42,581
Fong's Industries Co., Ltd. 304,000 262,000
* Forefront International Holdings, Ltd. 658,000 48,233
* Fortuna International Holdings, Ltd. 9,344,000 20,154
* Foundation Group, Ltd. 83,800 1,983
* Founder Holdings, Ltd. 1,854,000 164,305
Fountain Set Holdings, Ltd. 508,000 371,554
Four Seas Frozen Food Holdings, Ltd. 347,184 58,427
Four Seas Mercantile Holdings, Ltd. 592,000 213,170
* Fujian Holdings, Ltd. 237,800 7,650
Fujikon Industrial Holdings, Ltd. 532,000 76,656
* Fushan Holdings, Ltd. 2,566,000 143,341
* GeoMaxima Energy Holdings, Ltd. 5,810,000 63,222
Giordano International, Ltd. 1,128,000 709,383
* Global China Group Holdings, Ltd. 3,022,000 157,407
Global Green Tech Group, Ltd. 1,336,000 114,752
* Global Tech (Holdings), Ltd. 5,612,000 36,086
Glorious Sun Enterprises, Ltd. 1,650,000 581,787
Gold Peak Industries (Holdings), Ltd. 1,059,250 271,825
* Goldbond Group Holdings, Ltd. 2,609,500 51,245
Golden Meditech Company, Ltd. 533,802 128,875
Golden Resources Development International, Ltd. 1,456,500 70,169
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* Gold-Face Holdings, Ltd. 2,003,600 139,140
Goldlion Holdings, Ltd. 1,438,000 142,195
Golik Holdings, Ltd. 930,500 28,632
Good Fellow Group, Ltd. 3,488,000 110,892
* Gorient Holdings, Ltd. 7,370 66
Grande Holdings, Ltd. 258,000 263,036
* Great Wall Cybertech, Ltd. 15,795,170 20,313
# Group Sense (International), Ltd. 2,062,000 203,327
Guangdong Brewery Holdings, Ltd. 2,212,000 682,524
* Guangnan Holdings, Ltd. 14,216,000 264,101
# Guangzhou Investment Co., Ltd. 4,058,000 406,350
* Guo Xin Group, Ltd. 3,640,000 80,258
* Guorun Holdings, Ltd. 2,125,000 110,304
GZI Transport, Ltd. 1,820,000 555,122
Hang Fung Gold Technology, Ltd. 762,000 118,322
Hang Ten Group Holdings, Ltd. 5,850 825
Hanny Holdings, Ltd. 186,658 74,184
* Hansom Eastern Holdings, Ltd. 3,473,235 25,456
Harbour Centre Development, Ltd. 517,000 578,480
Harbour Ring International Holdings, Ltd. 3,306,000 305,295
* Hen Fung Holdings, Ltd. 1,740,000 39,662
Henderson China Holdings, Ltd. 815,000 413,715
Heng Tai Consumables Group, Ltd. 530,000 88,309
# Hengan International Group Co., Ltd. 628,000 387,751
High Fashion International, Ltd. 268,000 53,470
HKR International, Ltd. 1,884,860 996,242
Hon Kwok Land Investment Co., Ltd 572,535 132,366
Hong Kong Catering Management, Ltd. 512,000 87,331
* Hong Kong Construction Holdings, Ltd. 970,000 64,988
Hong Kong Ferry (Holdings) Co., Ltd. 671,300 741,218
* Hong Kong Parkview Group, Ltd. 1,130,000 78,473
* Hong Kong Pharmaceuticals Holdings, Ltd. 1,834,000 45,756
Hongkong Chinese, Ltd. 2,126,000 284,295
* Hop Hing Holdings, Ltd. 660,265 29,719
Hopson Development Holdings, Ltd. 1,246,000 344,454
* Hsin Chong Construction Group, Ltd. 1,569,658 84,893
Hua Han Bio-Pharmaceutical Holdings, Ltd. 208,000 25,125
* Huabao International Holdings, Ltd. 19,300 2,260
* Huafeng Textile International Group, Ltd. 248,000 23,885
* Hualing Holdings, Ltd. 1,344,000 68,117
Hung Hing Printing Group, Ltd. 266,000 203,151
* Hycomm Wireless, Ltd. 4,709,000 33,041
I-Cable Communications, Ltd. 888,000 350,791
* I-China Holdings, Ltd. 375,756 9,641
IDT International, Ltd. 4,028,486 890,691
* Imagi International Holdings, Ltd. 137,400 25,598
* Innomaxx Biotechnology Group, Ltd. 3,050,000 111,325
* Interchina Holdings Co., Ltd. 8,130,000 243,241
International Bank of Asia, Ltd. 462,000 195,372
* Inworld Group, Ltd. 2,036 9
* ITC Corp., Ltd. 466,157 40,005
JCG Holdings, Ltd. 414,000 337,994
* Jinhui Holdings Co., Ltd. 16,000 44,476
* Joyce Boutique Holdings, Ltd. 514,000 28,948
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* Junefield Department Store Group, Ltd. 256,000 3,301
# K Wah International Holdings, Ltd. 3,096,364 794,345
K. Wah Construction Materials, Ltd. 2,455,075 965,456
* Kader Holdings Co., Ltd. 545,600 11,583
* Kanstar Environmental Paper Products Holdings, Ltd. 1,220,000 47,675
Karrie International Holdings, Ltd. 488,000 169,059
Keck Seng Investments (Hong Kong), Ltd. 858,600 247,220
Kee-Shing Holdings Co., Ltd. 886,000 84,389
Kin Yat Holdings, Ltd. 586,000 51,195
King Fook Holdings, Ltd. 1,000,000 77,407
* King Pacific International Holdings, Ltd. 1,404,200 22,031
Kingdee International Software Group Co., Ltd. 638,000 182,274
Kingmaker Footwear Holdings, Ltd. 1,058,750 271,246
* Kong Sun Holdings, Ltd. 2,198,000 7,067
Kowloon Development Co., Ltd. 604,000 638,857
* KPI Co., Ltd. 396,000 6,503
KTP Holdings, Ltd. 560,400 40,987
* Kwong Sang Hong International, Ltd. 1,434,000 223,104
Kwoon Chung Bus Holdings, Ltd. 556,000 96,456
* Lai Sun Development Co., Ltd. 7,592,000 185,463
* Lai Sun Garment (International), Ltd. 2,325,000 110,382
Lam Soon (Hong Kong), Ltd. 302,310 103,168
Le Saunda Holdings, Ltd. 236,000 33,928
* Leadership Publishing Group, Ltd. 250,511 973
* Leading Spirit High-Tech Holdings Co., Ltd. 2,310,000 2,971
* Lee & Man Holdings, Ltd. 566,000 82,870
Lerado Group (Holding) Co., Ltd. 1,048,000 152,102
* LifeTec Group, Ltd. 1,383,000 20,405
Lippo, Ltd. 1,074,760 283,113
Liu Chong Hing Bank, Ltd. 293,000 436,851
Liu Chong Hing Investment, Ltd. 635,200 498,034
Luk Fook Holdings (International), Ltd. 690,000 165,730
Luks Industrial Group, Ltd. 645,555 108,610
Lung Kee (Bermuda) Holdings, Ltd. 1,071,875 633,901
* MACRO-LINK International Holdings, Ltd. 1,036,250 39,962
* Mae Holdings, Ltd. 2,220,000 4,790
* Magnificent Estates, Ltd. 8,368,000 124,104
* Magnum International Holdings, Ltd. 300,000 2,585
Mainland Headwear Holdings, Ltd. 410,000 154,203
* Mansion House Group, Ltd. 1,820,000 44,506
Matrix Holdings, Ltd. 402,000 99,250
* Mei Ah Entertainment Group, Ltd. 1,142,000 42,756
Melbourne Enterprises, Ltd. 45,500 172,616
Midas International Holdings, Ltd. 774,000 61,664
Midland Realty (Holding), Ltd. 1,110,000 646,869
* Millennium Group, Ltd. 1,392,000 13,068
Min Xin Holdings, Ltd. 753,200 167,041
Miramar Hotel & Investment Co., Ltd. 374,000 456,959
* Morning Star Resources, Ltd. 1,845,000 16,372
Moulin International Holdings, Ltd. 699,274 399,365
Nanyang Holdings, Ltd. 137,500 139,613
National Electronics Holdings, Ltd. 2,156,000 67,396
Natural Beauty Bio-Technology, Ltd. 540,000 38,109
New Asia Realty & Trust Co., Ltd. 1,355,000 644,977
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* New China Merchants Dichain 7,160,000 78,934
New Island Printing Holdings, Ltd. 176,000 14,486
* New World China Land, Ltd. 961,600 376,790
* New World Cyberbase, Ltd. 48,419 2,314
* New World TMT, Ltd. 1,380,600 116,635
Newocean Green Energy Holdings, Ltd. 393,120 66,074
* Next Media, Ltd. 852,000 306,272
# Ngai Lik Industrial Holdings, Ltd. 1,556,000 434,301
# * Onfem Holdings, Ltd. 1,266,000 114,016
Orient Power Holdings, Ltd. 804,000 58,784
* Oriental Metals, Ltd. 711,780 280,894
Oriental Press Group, Ltd. 1,544,000 579,723
Oriental Watch Holdings, Ltd. 398,000 84,922
Pacific Andes International Holdings, Ltd. 1,172,000 195,420
Pacific Century Insurance Holdings, Ltd. 1,272,000 530,707
# * Pacific Century Premium Developments, Ltd. 945,000 323,709
* Pacific Plywood Holdings, Ltd. 4,430,000 25,067
Paul Y. ITC Construction Holdings, Ltd. 2,309,062 457,847
Peace Mark Holdings, Ltd. 1,138,022 214,733
Pegasus International Holdings, Ltd. 226,000 32,833
Perfectech International Holdings, Ltd. 571,450 48,151
Pico Far East Holdings, Ltd. 1,190,000 103,980
Playmates Holdings, Ltd. 2,223,000 433,415
Pokfulam Development Co., Ltd. 234,000 91,106
* Poly Investments Holdings, Ltd. 2,670,000 61,113
Prime Success International Group, Ltd. 2,366,000 357,971
# Proview International Holdings, Ltd. 944,000 176,576
# * QPL International Holdings, Ltd. 1,191,000 245,793
Quality Healthcare Asia, Ltd. 133,800 28,354
* Rainbow International Holdings, Ltd. 2,036 12
Raymond Industrial, Ltd. 605,400 175,092
# * Regal Hotels International Holdings, Ltd. 11,656,000 701,410
* Rexcapital International Holdings, Ltd. 1,272,905 18,488
* Riche Multi-Media Holdings, Ltd. 706,000 176,066
* Rivera Holdings, Ltd. 3,620,000 115,683
* Riverhill Holdings, Ltd. 2,036 28
Road King Infrastructure, Ltd. 449,000 323,038
* Roadshow Holdings, Ltd. 1,456,000 157,043
S.A.S.Dragon Holdings, Ltd. 1,696,000 159,357
SA SA International Holdings, Ltd. 1,872,000 938,866
Safety Godown Co., Ltd. 408,000 166,693
Saint Honore Holdings, Ltd. 128,000 48,579
* San Miguel Brewery Hong Kong, Ltd. 612,800 138,697
SCMP Group, Ltd. 1,038,000 432,912
Sea Holdings, Ltd. 832,000 304,692
* Seapower Resources International, Ltd. 151,680 2,357
* SEEC Media Group, Ltd. 2,550,000 124,244
Shanghai Allied Cement, Ltd. 1,152,080 63,807
* Shanghai Century Holdings, Ltd. 7,142,000 184,396
* Shanghai Land Holdings, Ltd. 1,464,000 64,954
* Shanghai Ming Yuan Holdings, Ltd. 670,000 82,652
Shanghai Real Estates, Ltd. 2,234,000 244,313
Shaw Brothers Hong Kong, Ltd. 134,000 147,094
Shell Electric Manufacturing (Holdings) Co., Ltd. 746,340 157,140
13
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Shenyin Wanguo (Hong Kong), Ltd. 847,500 92,483
Shenzhen International Holdings, Ltd. 7,092,500 272,721
Shougang Concord Century Holdings, Ltd. 1,676,000 171,798
* Shougang Concord Grand (Group), Ltd. 1,701,000 124,746
* Shougang Concord International Enterprises Co., Ltd. 4,166,000 271,959
* Shougang Concord Technology Holdings, Ltd. 2,639,809 227,333
Shui On Construction & Materials, Ltd. 468,000 525,318
* Shun Ho Resources Holdings, Ltd. 483,000 34,151
* Shun Ho Technology Holdings, Ltd. 1,037,452 73,388
Silver Grant International Industries, Ltd. 2,087,000 1,197,451
* Sincere Co., Ltd. 505,500 27,405
# Singamas Container Holdings, Ltd. 838,000 468,663
Sino Golf Holdings, Ltd. 438,000 69,364
* Sinocan Holdings, Ltd. 350,000 1,755
* Sino-I.com, Ltd. 19,383,158 388,420
Sinolink Worldwide Holdings, Ltd. 3,933,600 590,766
Sinopec Kantons Holdings, Ltd. 1,638,000 235,334
* Skynet (International Group) Holdings, Ltd. 244,240 314
SNP Leefung Holdings, Ltd. 144,000 19,210
* Softbank Investment International (Strategic), Ltd. 7,398,000 85,345
* Solartech International Holdings, Ltd. 49,600 2,225
South China Brokerage Co., Ltd. 4,872,000 39,969
South China Industries, Ltd. 1,124,000 57,819
Southeast Asia Properties & Finance, Ltd. 263,538 37,958
Starlight International Holdings, Ltd. 1,311,292 137,917
Starlite Holdings, Ltd. 694,000 64,208
Stelux Holdings International, Ltd. 1,307,702 99,220
* Styland Holdings, Ltd. 101,808 327
Sun Hing Vision Group Holdings, Ltd. 358,000 165,816
Sun Hung Kai & Co., Ltd. 2,048,600 510,318
* Sun Innovation Holdings, Ltd. 1,420,360 6,943
* Sun Media Group Holdings, Ltd. 9,814,000 30,076
* Sunday Communications, Ltd. 4,441,000 255,982
Sunway International Holdings, Ltd. 866,000 30,692
* Suwa International Holdings, Ltd. 1,062,000 28,602
SW Kingsway Capitol Holdings, Ltd. 1,186,000 51,892
Symphony Holdings, Ltd. 496,000 93,610
* Tack Fat Group International, Ltd. 896,000 94,392
* Tack Hsin Holdings, Ltd. 542,000 19,575
Tai Cheung Holdings, Ltd. 1,013,000 542,098
Tai Fook Securities Group, Ltd. 590,000 88,084
Tai Sang Land Development, Ltd. 471,984 148,313
Tak Shun Technology Group, Ltd. 2,088,000 91,170
Tak Sing Alliance Holdings, Ltd. 2,909,865 132,458
# Tan Chong International, Ltd. 960,000 193,665
TCC International Holdings, Ltd. 1,124,000 174,930
# * TCL International Holdings, Ltd. 1,702,000 474,934
* Technology Venture Holdings, Ltd. 586,000 13,101
* Termbray Industries International (Holdings), Ltd. 2,304,900 145,381
Tern Properties Co., Ltd. 61,200 17,315
* The Sun's Group, Ltd. 17,004,000 21,867
# * Tian An China Investments Co., Ltd. 1,238,275 341,848
Tian Teck Land, Ltd. 1,098,000 338,677
Tianjin Development Holdings, Ltd. 1,118,000 476,755
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* Titan Petrochemicals Group, Ltd. 2,740,000 319,815
* Tomorrow International Holdings, Ltd. 165,000 15,250
* Tongda Group Holdings, Ltd. 1,020,000 27,341
Tonic Industries Holdings., Ltd. 920,000 35,421
Top Form International, Ltd. 1,586,000 307,858
* Topsearch International (Holdings), Ltd. 204,000 21,440
* Tristate Holdings, Ltd. 138,000 23,022
Truly International Holdings, Ltd. 302,000 314,271
Tungtex (Holdings) Co., Ltd. 788,000 301,321
* Tysan Holdings, Ltd. 1,040,773 28,069
* U-Cyber Technology Holdings, Ltd. 432,800 12,235
* United Power Investment, Ltd. 1,664,000 130,818
* Universal Holdings Ltd 2,770,000 17,378
* Universe International Holdings, Ltd. 573,339 5,392
U-Right International Holdings, Ltd. 2,040,000 104,595
USI Holdings, Ltd. 928,999 138,251
Van Shung Chong Holdings, Ltd. 359,335 55,347
* Vanda Systems & Communications Holdings, Ltd. 3,232,000 178,668
Varitronix International, Ltd. 534,293 501,296
Veeko International Holdings, Ltd. 1,420,000 63,845
Victory City International Holdings, Ltd. 839,768 350,096
* Vital Biotech Holdings, Ltd. 470,000 23,248
Vitasoy International Holdings, Ltd. 1,423,000 375,289
Wah Ha Realty Co., Ltd. 278,600 48,540
* Wah Nam International 38,696 791
Wai Kee Holdings, Ltd. 1,265,738 246,379
Wang On Group, Ltd. 47,897 8,483
* Wellnet Holdings, Ltd. 2,059,200 108,510
* Winfoong International, Ltd. 1,210,000 71,518
Wing On Co. International, Ltd. 565,000 675,735
Wing Shan International, Ltd. 896,000 46,577
* Winsan China Investment Group, Ltd. 1,296,000 46,056
Wong's International (Holdings), Ltd. 737,641 84,572
* Wonson International Holdings, Ltd. 4,040,000 13,587
World Houseware (Holdings), Ltd. 605,700 21,455
# * Xinao Gas Holdings, Ltd. 1,094,000 643,208
Y. T. Realty Group, Ltd. 965,000 86,839
Yangtzekiang Garment Manufacturing Co., Ltd. 607,500 167,839
* Yanion International Holdings, Ltd. 118,000 8,352
* Yaohan International Holdings, Ltd. 974,000 0
Yau Lee Holdings, Ltd. 534,000 43,294
YGM Trading, Ltd. 228,000 379,929
Yip's Chemical Holdings, Ltd. 674,000 163,750
Yugang International, Ltd. 11,916,000 191,947
* Yunnan Enterprises Holdings, Ltd. 240,000 12,792
* Zhu Kuan Development Co., Ltd. 646,000 32,787
------------------
TOTAL COMMON STOCKS
(Cost $86,108,792) 71,941,389
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* Hong Kong Dollars 83,337
------------------
(Cost $83,186)
15
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RIGHTS/WARRANTS -- (0.0%)
* Champion Technology Holdings, Ltd. Warrants 265,877 1,881
* China City Natural Gas Holdings, Ltd. Rights 12/13/04 2,097,600 0
* China Credit Holdings Warrants 09/30/99 174,000 2,461
* China Travel International Investment, Ltd. Warrants 05/31/06 124,800 12,198
* QPL International Holdings, Ltd. Warrants 10/14/07 238,200 15,163
* Quality Healthcare Asia, Ltd. Warrants 01/13/07 26,760 692
------------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 32,395
------------------
TOTAL -- HONG KONG
(Cost $86,191,978) 72,057,121
------------------
SINGAPORE -- (16.8%)
COMMON STOCKS -- (16.8%)
* Acma, Ltd. 3,040,700 92,695
Airocean Group, Ltd. 1,649,000 221,364
* Alliance Technology & Development, Ltd. 156,000 10,008
Amtek Engineering, Ltd. 799,625 586,079
* Apollo Enterprises, Ltd. 193,000 54,833
Armstrong Industrial Corp. 1,460,000 115,620
* ASA Group Holdings, Ltd. 586,000 100,348
Ascott Group, Ltd. 1,807,250 462,983
Aussino Group, Ltd. 967,000 270,989
Benjamin (F.J.) Holdings, Ltd. 1,095,000 148,056
# Beyonics Technology, Ltd. 1,556,640 411,558
* Blu Inc. Group, Ltd.. 729,000 69,038
Bonvests Holdings, Ltd. 825,000 264,671
Brilliant Manufacturing, Ltd. 1,855,000 694,760
* Broadway Industrial Group, Ltd. 461,000 113,587
Bukit Sembawang Estates, Ltd. 71,334 570,510
* Central Properties, Ltd. 66,000 0
Ch Offshore, Ltd. 823,200 188,128
* Chemical Industries (Far East), Ltd. 105,910 39,435
* China Merchants Holdings Pacific, Ltd. 652,000 219,836
Chip Eng Seng Corp., Ltd. 1,775,000 129,873
Chosen Holdings, Ltd. 1,284,000 175,563
Chuan Hup Holdings, Ltd. 4,385,000 1,737,907
Chuan Soon Huat Industrial Group, Ltd. 614,000 112,147
CIH, Ltd. 498,460 900,979
* CK Tang, Ltd. 614,000 151,963
* Compact Metal Industries, Ltd. 643,000 11,640
Courts Singapore, Ltd. 495,000 160,381
* CSC Holdings, Ltd. 672,000 12,244
CSE Global, Ltd. 1,262,000 395,425
CWT Distribution, Ltd. 461,500 157,677
* Eagle Brand Holdings, Ltd. 5,158,000 220,682
# Eastern Asia Technology, Ltd. 1,844,260 309,513
Eastgate Technology, Ltd. 870,000 58,371
* Econ International, Ltd. 2,267,000 62,330
ECS Holdings, Ltd. 1,375,000 247,084
Eng Wah Organisation, Ltd. 265,000 46,495
16
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* Firstlink Investments Corp., Ltd. 995,000 66,579
Freight Links Express Holdings, Ltd. 3,368,000 194,336
Frontline Technologies Corp., Ltd. 3,170,000 260,729
# Fu Yu Manufacturing, Ltd. 1,819,000 1,118,897
Fuji Offset Plates Manufacturing, Ltd. 33,750 5,825
GB Holdings, Ltd. 200,000 110,551
# Ges International, Ltd. 2,909,000 1,249,732
GK Goh Holdings, Ltd. 1,494,000 743,503
Goodpack, Ltd. 1,592,000 1,155,703
* Goodwood Park Hotel, Ltd. 24,307 794,986
GP Industries, Ltd. 1,516,000 917,793
Guocoland, Ltd. 1,215,000 861,170
Hiap Moh Corp., Ltd. 34,874 6,392
Ho Bee Investment, Ltd. 761,000 157,528
Hong Fok Corp., Ltd. 1,796,000 266,839
# Hong Leong Asia, Ltd. 1,048,000 1,016,053
* Horizon Education & Technologies, Ltd. 2,054,000 124,591
Hotel Grand Central, Ltd. 875,280 210,937
Hotel Plaza, Ltd. 1,189,000 558,937
# Hotel Properties, Ltd. 1,675,000 1,176,148
Hour Glass, Ltd. 298,000 117,250
HTL International Holdings, Ltd. 1,471,875 1,122,514
Huan Hsin Holdings, Ltd. 1,138,400 599,835
Hup Seng Huat, Ltd. 900,200 172,571
Hwa Hong Corp., Ltd. 2,488,000 822,093
IDT Holdings, Ltd. 718,000 1,169,448
* Inno-Pacific Holdings, Ltd. 680,000 10,271
Innovalues Precision, Ltd. 520,000 219,098
International Factors (Singapore), Ltd. 290,000 101,524
* Internet Technology Group, Ltd. 874,408 18,728
* Interra Resources, Ltd. 185,430 12,404
* Intraco, Ltd. 292,500 60,767
Isetan (Singapore), Ltd. 122,500 209,604
# Jaya Holdings, Ltd. 2,733,000 1,699,154
JK Yaming International, Ltd. 907,000 210,782
Jurong Cement, Ltd. 132,500 60,717
Jurong Engineering, Ltd. 137,000 181,994
Jurong Technologies Industrial Corp., Ltd. 1,446,000 1,152,618
* K1 Ventures, Ltd. 5,340,500 796,798
Keppel Telecommunications and Transportation, Ltd. 2,058,000 1,009,711
Khong Guan Flour Milling, Ltd. 19,000 18,922
Kian Ann Engineering, Ltd. 868,000 86,871
Kian Ho Bearings, Ltd. 521,000 50,726
Koh Brothers, Ltd. 1,494,000 105,337
* L & M Group Investments, Ltd. 7,107,100 43,423
Labroy Marine, Ltd. 3,343,000 1,059,238
* LanTroVision (S), Ltd. 1,117,500 37,375
Lee Kim Tah Holdings, Ltd. 1,600,000 278,050
* Leong Hin Holdings, Ltd. 526,000 84,966
* Liang Huat Aluminium, Ltd. 2,954,000 27,059
Lion Asiapac, Ltd. 473,000 50,351
Low Keng Huat Singapore, Ltd. 372,000 87,419
Lum Chang Holdings, Ltd. 1,134,030 148,428
Magnecomp International, Ltd. 931,000 415,740
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* Manufacturing Integration Technology, Ltd. 588,000 44,661
MCL Land, Ltd. 1,427,000 1,261,180
* Mediaring.Com, Ltd. 3,410,000 290,520
Metro Holdings, Ltd. 2,256,960 639,497
MMI Holdings, Ltd. 1,994,000 388,956
Multi-Chem, Ltd. 1,263,000 204,555
Nera Telecommunications, Ltd. 1,450,000 384,160
New Toyo Intenational Holdings, Ltd. 1,043,000 375,021
Norelco Centreline Holdings, Ltd. 941,000 357,830
* Orchard Parade Holdings, Ltd. 1,084,022 244,272
# Osim International, Ltd. 1,638,000 819,228
Ossia International, Ltd. 728,332 77,747
Pan-United Corp., Ltd. 2,193,000 456,915
* Pan-United Marine, Ltd. 1,096,500 157,437
PCI, Ltd. 734,000 270,569
Pertama Holdings, Ltd. 459,750 81,445
Popular Holdings, Ltd. 1,813,000 476,143
PSC Corp., Ltd. 5,723,200 262,351
Qian Hu Corp., Ltd. 408,200 83,369
Robinson & Co., Ltd. 284,832 1,076,303
Rotary Engineering, Ltd. 1,624,000 361,135
San Teh, Ltd. 838,406 202,283
SBS Transit, Ltd. 1,011,000 1,066,086
Sea View Hotel, Ltd. 66,000 168,131
* Seatown Corp., Ltd. 101,000 1,851
Sembawang Kimtrans, Ltd. 1,295,000 134,101
Sin Soon Huat, Ltd. 1,307,000 63,498
Sing Investments & Finance, Ltd. 94,500 101,530
# Singapore Food Industries, Ltd. 1,707,000 906,868
Singapore Reinsurance Corp., Ltd 1,540,935 249,003
Singapore Shipping Corp., Ltd. 1,930,000 388,184
Singapura Finance, Ltd. 139,250 117,420
SMB United, Ltd. 2,010,000 177,452
SNP Corp., Ltd. 466,495 221,686
* SP Corp., Ltd. 454,000 13,862
Ssangyong Cement (Singapore), Ltd. 236,000 139,769
Stamford Land Corp., Ltd. 3,229,000 443,437
Straits Trading Co., Ltd. 1,117,200 1,501,418
* Sunright, Ltd. 378,000 69,288
Superbowl Holdings, Ltd. 490,000 70,461
Superior Metal Printing, Ltd. 490,500 56,870
Thakral Corp., Ltd. 6,028,000 404,161
Tiong Woon Corp. Holding, Ltd. 906,000 179,398
* Transmarco, Ltd. 106,500 51,091
Trek 2000 International, Ltd. 1,004,000 238,274
TSM Resources, Ltd. 1,502,000 310,960
# TT International, Ltd. 2,109,600 256,757
* Tuan Sing Holdings, Ltd. 3,362,000 174,771
* Ultro Technologies, Ltd. 530,000 32,057
Unisteel Technology, Ltd. 974,000 807,579
United Engineers, Ltd. 846,666 821,301
United Overseas Insurance, Ltd. 125,500 275,726
United Pulp & Paper Co., Ltd. 354,000 90,996
UOB-Kay Hian Holdings, Ltd. 1,602,000 958,055
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Vicom, Ltd. 120,000 69,579
WBL Corp., Ltd. 647,000 1,302,552
* Xpress Holdings, Ltd. 1,392,000 59,554
* Yongnam Holdings, Ltd. 1,506,000 22,932
------------------
TOTAL COMMON STOCKS
(Cost $56,843,330) 53,226,022
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* Singapore Dollars 66,513
------------------
(Cost $66,214)
RIGHTS/WARRANTS -- (0.0%)
* Yongnam Holdings, Ltd. Warrants 08/26/09 251,000 1,534
------------------
(Cost $0)
TOTAL -- SINGAPORE
(Cost $56,909,544) 53,294,069
------------------
UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
* Exergy, Inc. 7,260 0
------------------
(Cost $ 0)
NEW ZEALAND -- (6.7%)
COMMON STOCKS -- (6.7%)
AFFCO Holdings, Ltd. 1,806,887 515,467
Cavalier Corp., Ltd. 283,674 935,486
CDL Hotels New Zealand, Ltd. 1,387,344 574,820
CDL Investments New Zealand, Ltd. 306,025 80,847
Colonial Motor Co., Ltd. 126,795 268,308
* Cue Energy Resources NL 452,354 138,064
Ebos Group, Ltd. 112,108 336,142
* Evergreen Forests, Ltd. 323,301 75,973
Hallenstein Glassons Holdings, Ltd. 241,638 679,838
Hellaby Holdings, Ltd. 201,679 911,442
Horizon Energy Distribution, Ltd. 40,420 127,813
Met Lifecare, Ltd. 270,895 522,839
Michael Hill International, Ltd. 156,746 919,173
* New Zealand Oil & Gas, Ltd. 584,872 459,254
New Zealand Refining Co., Ltd. 84,779 1,782,262
Northland Port Corp. (New Zealand), Ltd. 219,997 481,353
Nuplex Industries, Ltd. 271,267 1,056,695
* Pacific Retail Group, Ltd. 194,156 304,513
Port of Tauranga, Ltd. 541,952 2,185,411
* Provenco Group, Ltd. 281,600 160,888
Pyne Gould Guinness, Ltd. 229,634 308,527
Restaurant Brand New Zealand, Ltd. 369,175 360,331
* Richina Pacific, Ltd. 309,644 143,544
* Rubicon, Ltd. 995,760 754,457
19
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Ryman Healthcare Group, Ltd. 415,999 969,769
Sanford, Ltd. 418,047 1,422,689
Scott Technology, Ltd. 60,843 142,259
* Seafresh Fisheries 80,520 1,615
South Port New Zealand, Ltd. 30,744 27,706
Steel & Tube Holdings, Ltd. 379,638 1,260,100
* Tasman Farms 157,056 0
Taylors Group, Ltd. 29,646 47,961
Tourism Holdings, Ltd. 402,452 589,532
* Trans Tasman Properties, Ltd. 2,311,308 661,565
Waste Management NZ, Ltd. 430,471 1,706,521
Williams & Kettle, Ltd. 57,558 137,370
Wrightson, Ltd. 222,276 272,721
------------------
TOTAL COMMON STOCKS
(Cost $11,977,485) 21,323,255
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* New Zealand Dollar 14,954
------------------
(Cost $14,838)
TOTAL -- NEW ZEALAND
(Cost $11,992,323) 21,338,209
------------------
MALAYSIA -- (0.1%)
COMMON STOCKS -- (0.1%)
* Autoways Holdings Berhad 10,000 3,395
* Jaks Resources Berhad 11,975 5,357
* Promet Berhad 1,143,000 87,229
* Rekapacific Berhad 473,000 0
* RNC Corp. Berhad 1,650 3,560
* Saship Holdings Berhad 223,520 52,351
------------------
TOTAL -- MALAYSIA
(Cost $1,212,987) 151,892
------------------
FACE
AMOUNT VALUE+
------------ ------------------
(000)
TEMPORARY CASH INVESTMENTS -- (12.1%)
Repurchase Agreement, Deutsche Bank Securities 1.95%, 12/01/04
(Collateralized by $37,206,292 U.S. Treasury Note 1.625%, 03/31/05,
valued at $37,129,275) to be repurchased at $37,131,286 (Cost
$37,129,275) ^ 37,129 37,129,275
Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04
(Collateralized by $1,372,000 FNMA Notes 2.95%, 11/14/07, valued at
$1,373,925) to be repurchased at $1,355,071 (Cost $1,355,000) 1,355 1,355,000
------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $38,484,275) 38,484,275
------------------
TOTAL INVESTMENTS - (100.0%)
(Cost $293,509,251) $ 316,726,350
------------------
20
----------
+ Securities have been fair valued. See Note B to Financial Statements.
# Total or Partial Securities on Loan.
* Non-Income Producing Securities.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
21
THE UNITED KINGDOM SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
[Download Table]
SHARES VALUE+
------ ------
UNITED KINGDOM -- (98.2%)
COMMON STOCKS -- (97.3%)
4Imprint P.L.C. 50,375 $ 138,106
600 Group P.L.C. 100,910 130,855
Abacus Group P.L.C. 77,082 353,138
Abbeycrest P.L.C. 42,590 52,689
Abbot Group P.L.C. 295,728 1,214,140
Aberdeen Asset Management P.L.C. 420,124 819,199
Acal P.L.C. 37,689 283,773
* Acambis P.L.C. 159,373 782,749
AEA Technology P.L.C. 95,244 321,344
AGA Food Service Group P.L.C. 199,923 977,815
Aggreko P.L.C. 439,570 1,289,549
Air Partner P.L.C. 15,611 136,297
* Airflow Streamlines P.L.C. 20,500 22,924
Airsprung Furniture Group P.L.C. 58,000 53,770
Alba P.L.C. 105,025 1,359,958
Alexandra P.L.C. 86,243 164,323
Alexon Group P.L.C. 116,632 719,418
* Alizyme P.L.C. 257,044 635,568
Alpha Airports Group P.L.C. 392,541 698,813
Alphameric P.L.C. 172,688 242,416
* Alterian P.L.C. 57,131 102,075
Alumasc Group P.L.C. 100,245 310,984
* Amberley Group P.L.C. 200,000 43,289
Amec P.L.C. 49,000 277,290
Amstrad P.L.C. 149,652 494,096
* Anglesey Mining P.L.C. 55,000 4,205
Anglo Eastern Plantations P.L.C. 87,249 278,551
Anglo Pacific Group P.L.C. 143,361 268,823
* Anite Group P.L.C. 638,587 650,431
* Antisoma P.L.C. 389,246 122,839
* API Group P.L.C. 57,134 107,287
* Applied Optical Technologies P.L.C. 75,383 33,797
* ARC International P.L.C. 228,396 141,755
* Arena Leisure P.L.C. 1,136,685 804,074
* Argonaut Games, Ltd. 100,000 5,973
Arla Foods UK P.L.C. 1,658,226 1,709,118
Arm Holdings P.L.C. 127,000 249,102
Arriva P.L.C. 129,697 1,214,708
* Ashtead Group P.L.C. 542,850 832,883
Ashtenne Holdings P.L.C. 51,168 376,604
* Aston Villa P.L.C. 8,000 50,682
Atkins (WS) P.L.C. 160,065 2,156,570
Atrium Underwriting P.L.C. 88,040 325,541
Austin Reed Group P.L.C. 68,999 170,128
Autologic Holdings P.L.C. 72,986 412,105
* Autonomy Corp. P.L.C. 188,658 546,229
Avesco P.L.C. 29,998 54,356
Aveva Group P.L.C. 31,324 381,926
Avis Europe P.L.C. 1,767,228 2,178,902
Avon Rubber P.L.C. 40,705 159,241
* AWG P.L.C. 16,000 230,043
* Axis-Shield P.L.C. 68,430 290,991
Axon Group P.L.C. 88,403 243,486
Babcock International Group P.L.C. 383,561 933,647
Baggeridge Brick P.L.C. 98,000 270,334
* Bailey (C.H.) P.L.C. 109,500 41,862
* Bailey (C.H.) P.L.C. Class B 10,000 $ 20,071
* Baltimore Technologies P.L.C. 60,656 12,192
Barr (A.G.) P.L.C. 43,000 608,183
Beale P.L.C. 22,161 29,013
Beattie (James) P.L.C. 132,247 325,893
* Bede P.L.C. 105,978 79,496
Belhaven Brewery Group P.L.C. 42,948 358,945
Bellway P.L.C. 127,364 1,733,467
Ben Bailey P.L.C. 26,000 186,863
Bespak P.L.C. 55,918 505,445
* Biocompatibles International P.L.C. 54,080 250,459
* Bioquell P.L.C. 50,194 123,878
Biotrace International P.L.C. 75,000 118,206
Birse Group P.L.C. 421,901 118,886
Black Arrow Group P.L.C. 56,500 65,340
Blacks Leisure Group P.L.C. 60,959 564,069
Bloomsbury Publishing P.L.C. 101,005 526,846
* BNB Resources P.L.C. 89,395 23,081
Body Shop International P.L.C. 583,233 1,945,493
Bodycote International P.L.C. 481,180 1,461,431
Boot (Henry) P.L.C. 71,794 602,306
Bovis Homes Group P.L.C. 218,408 2,104,941
BPP Holdings P.L.C. 106,500 676,599
* Bradstock Group P.L.C. 5,200 4,373
* Braemar Seascope Group P.L.C. 29,642 227,951
Brammer P.L.C. 119,123 376,785
Brandon Hire P.L.C. 51,098 145,120
Brewin Dolphin Holdings P.L.C. 361,518 657,882
Bristol Water Group P.L.C. 35,257 347,387
Britannic P.L.C. 261,455 2,074,864
British Polythene Industries P.L.C. 56,740 348,179
British Vita P.L.C. 370,957 1,899,449
Brixton P.L.C. 296,900 1,832,218
Broadcastle P.L.C. 74,468 106,700
* Brown & Jackson P.L.C. 748,566 873,398
Brown (N) Group P.L.C. 562,850 1,439,968
BSS Group P.L.C. 47,905 753,625
* BTG P.L.C. 255,913 461,860
Burtonwood Brewery P.L.C. 38,000 342,496
Business Post Group P.L.C. 157,099 1,772,371
BWD Securities P.L.C. 40,834 384,288
Caffyns P.L.C. 6,000 78,465
* Cambridge Antibody Technology
Group P.L.C. 71,681 819,889
Capital & Regional P.L.C. 105,849 1,274,820
Capital Radio P.L.C. 117,032 905,576
Carclo P.L.C. 100,463 89,078
Care UK P.L.C. 90,334 640,443
Carillion P.L.C. 349,691 1,506,829
* Carlisle Holdings, Ltd. 8,709 58,164
Carpetright P.L.C. 125,839 2,621,990
Carr's Milling Industries P.L.C. 19,000 169,694
Castings P.L.C. 79,000 258,887
* Celtic P.L.C. 40,759 40,070
* Cenes Pharmaceuticals P.L.C. 298,612 41,460
Chamberlin & Hill P.L.C. 18,000 71,181
Chapelthorpe P.L.C. 646,612 250,895
Character Group P.L.C. 97,314 151,805
91
[Download Table]
SHARES VALUE+
------ ------
Charles Taylor Consulting P.L.C. 67,918 $ 306,829
* Charter P.L.C. 262,215 1,032,711
* Che Group P.L.C. 51,533 42,357
Chemring Group P.L.C. 51,708 432,962
Chesnara P.L.C. 92,900 176,246
* Chime Communications P.L.C. 354,020 191,244
Chloride Group P.L.C. 485,500 473,658
Christie Group P.L.C. 53,263 96,791
Chrysalis Group P.L.C. 328,544 1,105,344
Churchill China P.L.C. 30,000 142,056
City North Group P.L.C. 33,044 140,100
City Restaurant Group P.L.C. 307,772 640,215
Clarkson (Horace) P.L.C. 44,733 666,848
* Clinical Computing P.L.C. 46,666 26,945
Clinton Cards P.L.C. 433,380 779,242
* CLS Holdings P.L.C. 166,734 1,233,210
CML Microsystems P.L.C. 28,361 198,833
Colefax Group P.L.C. 60,000 112,396
Collins Stewart Tullett P.L.C. 137,946 991,481
* Colt Telecom Group P.L.C. 2,574,360 2,179,450
Comino Group P.L.C. 23,596 92,987
Communisis P.L.C. 237,134 506,033
Compel Group P.L.C. 48,999 86,561
Computacenter P.L.C. 452,614 2,344,536
* Cookson Group P.L.C. 2,842,939 1,833,181
Coral Products P.L.C. 50,000 36,940
Corin Group P.L.C. 58,244 379,616
* Corporate Services Group P.L.C. 1,704,859 220,963
Cosalt P.L.C. 30,700 197,716
* Costain Group P.L.C. 1,176,378 950,197
* Country & Metropolitan P.L.C. 40,047 143,662
Countryside Property P.L.C. 124,717 679,624
Countrywide P.L.C. 185,800 1,059,253
Courts P.L.C. 110,722 28,712
Cox Insurance Holdings P.L.C. 609,714 999,115
Cranswick P.L.C. 60,394 537,862
Crest Nicholson P.L.C. 267,250 1,728,916
Creston P.L.C. 28,278 80,413
Croda International P.L.C. 235,353 1,442,138
Cropper (James) P.L.C. 22,000 67,333
* Culver Holdings P.L.C. 338 65
Daejan Holdings P.L.C. 25,000 1,302,730
Dairy Crest Group P.L.C. 206,634 1,645,883
* Dana Petroleum P.L.C. 126,354 986,759
* Danka Business Systems P.L.C. 367,079 280,673
Dart Group P.L.C. 74,000 470,116
* Datamonitor P.L.C. 98,643 221,570
Davis Service Group P.L.C. 227,016 1,710,600
Dawson Holdings P.L.C. 122,588 392,161
* Dawson International P.L.C. 100,688 18,274
De La Rue P.L.C. 302,052 1,942,489
Dechra Pharmaceiticals P.L.C. 76,357 264,090
Dee Valley Group P.L.C. 4,214 59,941
Delta P.L.C. 289,145 533,929
Deltron Electronics P.L.C. 73,691 121,895
* Densitron International P.L.C. 74,175 21,627
Derwent Valley Holdings P.L.C. 96,752 1,817,582
Detica Group P.L.C. 32,953 443,893
Development Securities P.L.C. 57,390 437,734
DeVere Group P.L.C. 132,501 1,109,968
Devro P.L.C. 229,507 520,648
Dewhurst P.L.C. 9,000 $ 22,020
Dewhurst P.L.C. Class A Non-Voting 15,500 33,332
Dicom Group P.L.C. 38,035 583,273
* Dimension Data Holdings P.L.C. 939,000 600,575
Diploma P.L.C. 40,758 463,140
Domestic & General Group P.L.C. 66,440 777,583
Domino Printing Sciences P.L.C. 355,935 1,667,360
Domnick Hunter Group P.L.C. 51,942 389,316
* Dowding & Mills P.L.C. 336,440 69,063
DRS Data Research Services P.L.C. 26,825 17,811
DTZ Holdings P.L.C. 114,500 418,857
* Duelguide Units P.L.C. 3,971 40,822
* Durlacher Corp. P.L.C. 15,272 18,310
Dyson Group P.L.C. 44,875 295,835
East Surrey Holdings P.L.C. 234,414 1,677,200
* Easyjet P.L.C. 1,068,671 3,799,438
* Easynet Group P.L.C. 179,628 250,460
* Easyscreen P.L.C. 72,275 25,226
* Ebookers P.L.C. 109,492 649,572
* Edinburgh Oil & Gas P.L.C. 68,779 242,615
* Eidos P.L.C. 200,222 306,085
Eleco P.L.C. 104,685 56,650
Electronic Data Processing P.L.C. 55,200 75,914
* Elementis P.L.C. 721,332 445,594
* Emerald Energy P.L.C. 72,830 184,999
* Emess P.L.C. 350,042 56,037
Ennstone P.L.C. 522,823 354,736
* Enodis P.L.C. 631,211 1,212,742
* Entertainment Rights P.L.C. 633,958 179,379
* Erinaceous Group P.L.C. 54,863 175,611
* Eurodis Electron P.L.C. 1,230,802 44,010
Euromoney Institutional Investors
P.L.C. 205,774 1,646,143
* European Colour P.L.C. 82,090 28,637
European Motor Holdings P.L.C. 118,325 455,655
Expro International Group P.L.C. 117,277 818,589
Fenner P.L.C. 193,713 481,555
* Ferguson International Holdings
P.L.C. 89,105 40,878
Ferraris Group P.L.C. 63,540 134,979
* Fibernet Group P.L.C. 86,796 130,145
* FII Group P.L.C. 41,166 5,311
Filtronic P.L.C. 117,386 439,103
* Financial Objects P.L.C. 7,000 7,622
Findel P.L.C. 142,288 1,176,618
First Choice Holidays P.L.C. 862,478 2,273,502
First Technology P.L.C. 128,111 870,531
Fisher (James) & Sons P.L.C. 89,846 487,131
FKI P.L.C. 773,617 1,960,963
Forminster P.L.C. 43,333 14,918
Forth Ports P.L.C. 142,983 3,550,158
Fortress Holdings P.L.C. 120,728 66,347
* Fortune Oil P.L.C. 3,248,130 481,247
Freeport P.L.C. 53,348 399,963
French Connection Group P.L.C. 284,510 1,401,332
Fuller, Smith & Turner P.L.C. Series A 20,000 273,106
Fulmar P.L.C. 107,500 169,255
Future Network P.L.C. 456,752 554,120
Galliford Try P.L.C. 517,870 519,638
Game Group P.L.C. 534,000 695,627
Games Workshop Group P.L.C. 43,442 683,081
92
[Download Table]
SHARES VALUE+
------ ------
* Garton Engineering P.L.C. 10,248 $ 0
* Gaskell P.L.C. 36,000 6,523
GB Group P.L.C. 250,000 106,125
Geest P.L.C. 142,649 1,594,049
* Genetix Group P.L.C. 92,497 83,210
Get Group P.L.C. 20,485 100,829
Gibbs & Dandy P.L.C. 13,681 86,364
Gleeson (M.J.) Group P.L.C. 112,355 435,216
* Global Natural Energy P.L.C. 11,004 39,936
* Glotel P.L.C. 49,741 106,962
Go-Ahead Group P.L.C. 93,733 2,467,617
Goldshield Group P.L.C. 49,104 203,047
Gowrings P.L.C. 5,000 9,702
Grainger Trust, Ltd. 48,556 1,605,432
Great Portland Estates P.L.C. 307,973 1,885,208
Greene King P.L.C. 92,950 2,119,838
* Greenwich Resources P.L.C. 438,664 24,107
Greggs P.L.C. 26,000 1,813,289
* Gresham Computing P.L.C. 75,530 494,979
Group 4 Securicor P.L.C. 290,000 701,233
Guiness Peat Group P.L.C. 1,137,590 1,720,268
GWR Group P.L.C. 225,354 972,066
* Gyrus Group P.L.C. 153,080 648,490
Halma P.L.C. 642,966 1,917,779
Halstead (James) Group P.L.C. 52,208 618,369
* Hampson Industries P.L.C. 250,757 104,357
* Hampton Trust P.L.C. 232,050 6,099
Hardy Underwriting Group P.L.C. 46,683 212,008
Hardys & Hansons P.L.C. 48,000 507,711
* Harvey Nash Group P.L.C. 183,750 280,425
Havelock Europa P.L.C. 40,813 102,225
* Hawtin P.L.C. 196,500 46,088
Haynes Publishing Group P.L.C. 14,703 98,413
Headlam Group P.L.C. 152,974 1,155,721
Heath (Samuel) & Sons P.L.C. 7,500 68,814
Helical Bar P.L.C. 46,000 936,968
Helphire Group P.L.C. 173,986 721,590
* Heywood Williams Group P.L.C. 140,400 236,528
Highbury House Communications
P.L.C. 439,166 75,515
Highway Insurance Holdings P.L.C. 467,933 288,406
Hill & Smith Holdings P.L.C. 108,912 249,744
Hiscox P.L.C. 419,927 1,275,894
Hit Entertainment P.L.C. 273,440 1,358,459
Hitachi Capital (UK) P.L.C. 124,239 566,435
Holidaybreak P.L.C. 92,974 990,471
Homeserve P.L.C. 101,138 1,301,792
* Homestyle Group P.L.C. 94,472 231,838
Hornby P.L.C. 50,000 252,017
House of Fraser P.L.C. 427,439 862,749
Hunting P.L.C. 223,174 774,564
Huntleigh Technology P.L.C. 90,597 722,724
Huntsworth P.L.C. 480,401 187,882
Hyder Consulting P.L.C. 16,308 49,097
* Hydro International P.L.C. 17,669 33,677
* IAF Group P.L.C. 30,000 9,749
ICM Computer Group P.L.C. 37,114 251,703
IFX Group P.L.C. 34,486 64,594
* Imagination Technologies Group
P.L.C. 266,048 343,287
* IMS Group P.L.C. 75,000 6,451
Incepta Group P.L.C. 280,643 $ 364,712
Inchcape P.L.C. 19,200 600,018
Incisive Media P.L.C. 137,054 347,359
Independent Media Distribution
P.L.C. 21,621 28,719
* Industrial & Commercial Holdings
P.L.C. 5,000 143
Infast Group P.L.C. 301,224 108,006
* Intec Telecom Systems P.L.C. 654,113 842,657
Intelek P.L.C. 99,880 16,654
Intertek Group P.L.C. 70,100 944,505
Intserve P.L.C. 179,459 1,079,584
* Invensys P.L.C. 5,864,457 1,956,999
Inveresk P.L.C. 150,000 27,318
* IQE P.L.C. 107,400 20,993
ISIS Asset Management P.L.C. 268,751 1,219,903
Isoft Group P.L.C. 210,764 1,552,064
Isotron P.L.C. 50,325 459,195
Ite Group P.L.C. 518,511 814,990
Itnet P.L.C. 115,160 596,105
* Itouch International P.L.C. 615,741 397,312
* Jarvis Porter Group P.L.C. 99,894 19,095
JJB Sports P.L.C. 448,783 1,741,970
JKX Oil and Gas P.L.C. 264,746 615,117
John David Group P.L.C. 114,500 431,925
Johnson Service Group P.L.C. 125,535 950,615
* Kalamazoo Computer Group P.L.C. 56,120 1,877
KBC Advanced Technologies P.L.C. 68,734 48,500
Keller Group P.L.C. 123,128 571,421
Kensington Group P.L.C. 98,187 786,076
* Kewill Systems P.L.C. 128,018 158,804
Kidde P.L.C. 232,000 672,558
Kier Group P.L.C. 63,370 847,229
Kiln P.L.C. 383,129 589,623
* Kingston Communications P.L.C. 850,036 1,001,415
Kleeneze P.L.C. 109,256 271,087
* Knowledge Support Systems Group
P.L.C. 25,000 382
La Fitness P.L.C. 53,738 210,933
Laing (John) P.L.C. 353,630 1,602,032
Laird Group P.L.C. 291,676 2,037,150
Lambert Howarth Group P.L.C. 43,203 234,725
* Lastminute.com P.L.C. 504,477 990,057
Latchways P.L.C. 15,838 124,842
* Laura Ashley Holdings P.L.C. 2,505,661 658,049
Lavendon Group P.L.C. 61,795 173,246
Lincat Group P.L.C. 19,000 144,081
Linton Park P.L.C. 39,000 275,647
Linx Printing Technologies P.L.C. 27,000 280,553
Litho Supplies P.L.C. 20,000 18,559
* London Clubs International P.L.C. 332,581 873,851
London Industrial P.L.C. 30,631 1,188,765
London Merchant Securities P.L.C. 597,381 2,287,338
London Scottish Bank P.L.C. 263,000 646,741
Lookers P.L.C. 63,057 364,052
* Lorien P.L.C. 60,000 61,359
Low & Bonar P.L.C. 166,108 378,837
Luminar P.L.C. 135,289 1,294,900
Lupus Capital P.L.C. 354,881 111,738
* M.L. Laboratories P.L.C. 377,657 129,730
Macfarlane Group P.L.C. 228,287 135,438
93
[Download Table]
SHARES VALUE+
------ ------
Macro 4 P.L.C. 42,500 $ 150,591
Maiden Group P.L.C. 16,800 72,944
Mallett P.L.C. 24,837 135,964
Management Consulting Group
P.L.C. 331,679 277,946
Manchester United P.L.C. 609,642 3,210,240
Manganese Bronze Holdings P.L.C. 32,184 117,339
Marchpole Holdings P.L.C. 189,130 99,168
Marlborough Stirling P.L.C. 408,654 324,522
Marshalls P.L.C. 221,135 1,213,146
* Marylebone Warwick Balfour Group
P.L.C. 239,501 305,051
Matalan P.L.C. 84,701 348,722
* Mayflower Corp. P.L.C. 550,636 71,046
McAlpine (Alfred) P.L.C. 198,580 1,096,293
McBride P.L.C. 314,973 912,373
McCarthy & Stone P.L.C. 194,968 2,048,964
McKay Securities P.L.C. 97,232 473,623
* Medical Solutions P.L.C. 126,658 16,342
* Medisys P.L.C. 586,814 82,701
Meggitt P.L.C. 514,738 2,513,664
* Melrose Resouces P.L.C. 109,660 568,138
Menzies (John) P.L.C. 103,775 906,595
Merchant Retail Group P.L.C. 185,666 554,298
Merrydown P.L.C. 59,927 144,885
Mersey Docks & Harbour Co. P.L.C. 117,087 1,998,898
Metal Bulletin P.L.C. 95,500 412,159
Metalrax Group P.L.C. 358,740 531,873
MFI Furniture Group P.L.C. 60,855 134,827
Mice Group P.L.C. 139,909 136,132
Michael Page International P.L.C. 608,273 1,960,127
* Microgen P.L.C. 165,574 173,910
Millennium and Copthorne Hotels
P.L.C. 80,633 556,444
Minerva P.L.C. 266,135 1,475,228
Mitie Group P.L.C. 589,515 1,664,945
Molins P.L.C. 68,000 198,426
* Monsoon P.L.C. 71,000 303,582
* Morgan Crucible Company P.L.C. 435,211 1,378,320
Morgan Sindall P.L.C. 78,265 700,713
Morse P.L.C. 277,169 528,750
Moss Brothers Group P.L.C. 163,400 330,099
Mothercare P.L.C. 100,783 560,145
Mouchel Parkman P.L.C. 152,923 696,941
Mowlem (John) & Co. P.L.C. 341,969 1,222,580
MS International P.L.C. 71,500 102,516
MSB International P.L.C. 16,000 25,105
Mtl Instruments Group P.L.C. 24,678 120,568
Mucklow (A & J) Group P.L.C. 175,000 1,132,721
* Music Choice Europe P.L.C. 33,796 11,133
* My Travel Group P.L.C. 628,934 62,308
National Express Group P.L.C. 25,000 360,225
* Ncipher P.L.C. 42,512 177,561
Nestor Healthcare Group P.L.C. 180,200 465,261
* Netstore P.L.C. 143,737 90,764
* New Avesco P.L.C. 29,998 42,434
Newcastle United P.L.C. 198,896 144,472
* Next Fifteen Communtications
P.L.C. 25,000 27,458
NHP P.L.C. 311,286 1,529,367
Nichols P.L.C. 66,550 217,223
Nord Anglia Education P.L.C. 63,924 $ 287,005
Northamber P.L.C. 75,888 136,356
Northern Foods P.L.C. 527,042 1,694,889
Northern Recruitment Group P.L.C. 22,158 76,228
* Northgate Information Solutions P.L.C. 933,445 1,215,860
Northgate P.L.C. 118,200 1,766,043
Novar P.L.C. 646,454 2,005,610
* NSB Retail P.L.C. 636,455 343,990
* NXT P.L.C. 125,976 120,232
Ocean Wilsons Holdings, Ltd. 84,250 394,832
* Orbis P.L.C. 11,428 1,090
* Osmetech P.L.C. 669,354 39,321
Ottakar's P.L.C. 34,693 221,410
Owen (H.R.) P.L.C. 46,993 181,932
* Oxford Biomedica, Ltd. 523,967 167,730
Oxford Instruments P.L.C. 63,163 233,940
* Pace Micro Technology P.L.C. 428,871 450,882
Paladin Resources P.L.C. 626,476 2,131,292
Paragon Group of Companies P.L.C. 153,200 1,031,055
Parity Group P.L.C. 381,072 72,823
Park Group P.L.C. 291,600 167,419
Partridge Fine Arts P.L.C. 58,000 64,303
Pendragon P.L.C. 239,375 1,215,664
Penna Consulting P.L.C. 33,000 83,912
* Pharmagene P.L.C. 160,000 123,983
Photo-Me International P.L.C. 850,594 1,503,385
PHS Group P.L.C. 729,053 969,168
* Phytopharm P.L.C. 56,696 206,268
* Pillar Property P.L.C. 171,938 2,316,807
Pittards P.L.C. 60,985 28,594
* Planestation Group P.L.C. 76,551 63,637
Planit Holdings P.L.C. 235,000 114,616
* Plantation & General P.L.C. 70,623 24,974
* Plasmon P.L.C. 100,000 357,323
Portmeirion Group P.L.C. 22,856 79,733
Porvair P.L.C. 62,000 122,969
Premier Farnell P.L.C. 18,000 70,300
* Premier Oil P.L.C. 141,425 1,513,039
* Pressac P.L.C. 78,129 7,611
Primary Health Properties P.L.C. 23,784 123,497
* Primback Units 135,600 0
* Probus Estates P.L.C. 83,333 1,314
* Protherics P.L.C. 557,510 575,553
* Provalis P.L.C. 586,513 95,700
PSD Group P.L.C. 43,500 216,005
Psion P.L.C. 683,616 717,293
PZ Cuzzons P.L.C. 40,541 988,791
* QA P.L.C. 158,950 8,746
* Quantica P.L.C. 76,321 76,676
Quintain Estates & Development
P.L.C. 158,650 1,434,515
* QXL Ricardo P.L.C. 130 1,677
RAC P.L.C. 142,900 1,665,865
Radamec Group P.L.C. 35,000 18,448
Radstone Technology P.L.C. 40,384 233,415
Ransom (William) & Son P.L.C. 30,000 29,535
Redrow P.L.C. 238,311 1,549,066
* Redstone P.L.C. 257,485 38,867
Reed Health Group P.L.C. 155,333 185,146
Reg Vardy P.L.C. 112,005 958,341
Regent Inns P.L.C. 162,667 156,893
94
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SHARES VALUE+
------ ------
* Regus Group P.L.C. 1,049,446 $ 1,748,769
Reliance Security Group P.L.C. 66,349 590,351
Renishaw P.L.C. 188,734 2,184,251
Renold P.L.C. 144,000 203,833
* Retail Decisions P.L.C. 381,092 179,661
Ricardo P.L.C. 114,409 479,619
Richmond Foods P.L.C. 40,237 436,011
* Richmond Oil & Gas P.L.C. 220,000 0
RM P.L.C. 153,319 460,648
* RMS Communications P.L.C. 15,000 0
Robert Walters P.L.C. 124,017 245,035
Robert Wiseman Dairies P.L.C. 199,037 894,942
ROK property solutions P.L.C. 58,166 457,732
Rotork P.L.C. 185,440 1,546,991
Roxboro Group P.L.C. 55,682 394,942
* Royal Doulton P.L.C. 585,904 123,213
Royalblue Group P.L.C. 47,200 406,254
RPC Group P.L.C. 123,353 497,344
RPS Group P.L.C. 309,949 889,361
Rugby Estates P.L.C. 15,328 82,732
Rutland Trust P.L.C. 174,255 123,243
S & U P.L.C. 21,140 221,634
* Safeland P.L.C. 25,000 27,261
Salvesen (Christian) P.L.C. 396,216 452,630
Sanctuary Group P.L.C. 489,749 432,855
Savills P.L.C. 104,000 829,405
Scapa Group P.L.C. 163,581 87,820
* Scipher P.L.C. 34,563 743
Scottish Radio Holdings P.L.C. 75,876 1,338,976
SCS Upholstery P.L.C. 47,547 327,964
* SDL P.L.C. 95,883 220,868
* Seashell Group P.L.C. 1,441 3,305
Secure Trust Group P.L.C. 27,118 159,214
Senior P.L.C. 433,410 315,081
Serco Group P.L.C. 235,235 1,003,336
* Servicepower Technologies P.L.C. 150,000 93,222
Severfield-Rowan P.L.C. 26,211 238,244
* SFI Group P.L.C. 26,713 15,829
Shaftesbury P.L.C. 189,732 1,102,476
Shanks & McEwan Group P.L.C. 330,006 832,723
Shiloh P.L.C. 14,500 35,058
SHL Group P.L.C. 73,174 153,852
* ShopRite Group P.L.C. 204,780 47,951
Shore Capital Group P.L.C. 344,465 237,462
SIG P.L.C. 231,332 2,312,092
* Simon Group P.L.C. 348,089 286,669
Sinclair (William) Holdings P.L.C. 53,000 56,660
Singer & Friedlander Group P.L.C. 248,303 1,331,083
Sirdar P.L.C. 41,600 25,741
* Skyepharma P.L.C. 1,025,478 1,312,647
Smart (J.) & Co. (Contractors) P.L.C. 22,500 251,601
* Smart Approach Group P.L.C. 12,599 3,856
SMG P.L.C. 574,831 1,169,453
Smith (David S.) Holdings P.L.C. 768,516 2,187,879
Smith (James) Estates P.L.C. 17,524 136,501
Smith (WH) P.L.C. 216,982 1,236,388
* Soco International P.L.C. 132,328 752,445
Somerfield P.L.C. 722,361 2,107,753
Sondex P.L.C. 89,293 348,360
South Staffordshire Group P.L.C. 21,600 461,397
Southampton Leisure Holdings P.L.C. 19,615 14,042
Spectris P.L.C. 242,231 $ 1,874,163
Speedy Hire P.L.C. 80,739 744,263
Spirax-Sarco Engineering P.L.C. 122,800 1,444,064
* Spirent P.L.C. 1,610,055 2,192,960
* Sportech P.L.C. 846,974 149,713
Spring Group P.L.C. 406,488 750,092
SSL International P.L.C. 284,176 1,534,081
St. Ives P.L.C. 154,964 1,147,086
St. Modwen Properties P.L.C. 228,607 1,341,218
Stanelco P.L.C. 1,201,354 134,687
Stanley (Charles) Group P.L.C. 86,800 424,750
Stanley Leisure P.L.C. 235,641 2,011,568
* Sterling Publishing Group P.L.C. 75,298 19,431
Stylo P.L.C. 64,096 74,737
* Superscape P.L.C. 189,476 191,757
* Surfcontrol P.L.C. 56,124 593,986
Swallowfield P.L.C. 15,000 25,037
Sygen International P.L.C. 492,975 387,050
T&F Informa Group P.L.C. 355,029 2,583,316
T. Clarke P.L.C. 18,714 214,266
* Tadpole Technology P.L.C. 427,207 85,825
* Tandem Group P.L.C. 327,365 0
Tarsus Group P.L.C. 86,934 199,142
Taylor Nelson AGB P.L.C. 109,000 478,996
TBI P.L.C. 1,238,853 2,175,033
Ted Baker P.L.C. 82,767 731,413
Teesland P.L.C. 69,925 106,261
* Telecity P.L.C. 549,148 144,057
Telecom Plus P.L.C. 89,103 440,742
* Telecommunications Group P.L.C. 45,958 659
Telemetrix P.L.C. 177,320 437,146
* Telspec P.L.C. 25,000 5,968
* Terence Chapman Group P.L.C. 62,500 379
Tex Holdings P.L.C. 14,000 34,462
The Big Food Group P.L.C. 595,901 1,054,322
* The Innovation Group P.L.C. 940,000 688,036
The Malcolm Group P.L.C. 109,377 203,976
The Peacock Group P.L.C. 172,468 922,323
* The Television Corp. P.L.C. 81,937 151,318
* The Wireless Group P.L.C. 189,923 281,328
* Theratase P.L.C. 46,347 34,553
Thorntons P.L.C. 158,000 463,644
Thorpe (F.W.) P.L.C. 24,000 152,577
* Thus Group P.L.C. 2,022,919 551,895
Tinsley (Eliza) Group P.L.C. 19,844 9,680
* Toad Group P.L.C. 85,507 17,229
Topps Tiles P.L.C. 348,450 1,519,141
Tops Estates P.L.C. 116,033 760,342
* Torotrak P.L.C. 167,633 238,071
* Tottenham Hotspur P.L.C. 150,000 78,255
Town Centre Securities (New) P.L.C. 142,137 887,952
Trace Computers P.L.C. 33,552 51,620
* Trafficmaster P.L.C. 198,201 289,554
Transport Development Group P.L.C. 133,173 575,685
Treatt P.L.C. 9,957 35,782
Trifast P.L.C. 135,388 203,238
Trio Holdings P.L.C. 111,411 48,386
TT Electronics P.L.C. 254,463 935,507
* TTP Communications P.L.C. 325,621 364,785
Tullow Oil P.L.C. 500,218 1,402,232
U.K. Coal P.L.C. 205,912 522,890
95
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SHARES VALUE+
------ ------
UCM Group P.L.C. 41,980 $ 56,307
Ulster Television, Ltd. 115,602 986,808
Ultra Electronics Holdings P.L.C. 100,269 1,280,801
Ultraframe P.L.C. 162,456 263,869
Umeco P.L.C. 51,019 402,112
Uniq P.L.C. 186,872 745,219
Unite Group P.L.C. 156,391 751,684
Universal Salvage P.L.C. 36,111 52,805
* Vanco P.L.C. 145,748 765,347
Vega Group P.L.C. 32,300 106,913
* Venture Production P.L.C. 197,404 901,756
* Vernalis P.L.C. 244,324 403,510
Victoria P.L.C. 12,000 52,282
Victrex P.L.C. 136,254 901,966
Vislink P.L.C. 103,960 41,778
Vitec Group P.L.C. 62,856 372,796
* Volex Group P.L.C. 58,801 107,391
VP P.L.C. 108,111 325,417
VT Group P.L.C. 257,959 1,460,252
Wagon P.L.C. 74,388 233,315
* Walker Greenbank P.L.C. 53,105 9,136
Warner Estate Holdings P.L.C. 95,471 896,265
* Waterdorm P.L.C. 105,000 0
Waterman P.L.C. 74,473 133,292
Watermark Group P.L.C. 68,660 198,545
Weir Group P.L.C. 356,454 2,024,411
Wellington Holdings P.L.C. 32,446 97,580
Wembley P.L.C. 36,926 480,659
Westbury P.L.C. 202,522 1,481,884
* Weston Medical Group P.L.C. 50,200 2,399
Wetherspoon (J.D.) P.L.C. 282,231 1,230,702
Whatman P.L.C. 241,935 1,179,246
White Young Green P.L.C. 74,666 406,810
Whitehead Mann Group P.L.C. 95,000 287,055
Whittard of Chelsea P.L.C. 37,487 135,109
Wilmington Group P.L.C. 143,376 375,693
* Wilshaw P.L.C. 198,409 33,185
Wilson Bowden P.L.C. 7,000 133,186
Wincanton P.L.C. 163,303 870,149
Windsor P.L.C. 101,510 90,761
Wolverhampton & Dudley Breweries
P.L.C. 125,925 2,202,565
Wood Group (John) P.L.C. 881,804 2,443,289
Woolworths Group P.L.C. 2,617,775 2,227,011
Workplace Systems International
P.L.C. 238,739 74,240
WSP Group P.L.C. 94,842 418,774
Wyevale Garden Centres P.L.C. 78,824 559,382
Wyndeham Press Group P.L.C. 73,066 179,540
* XAAR P.L.C. 108,722 267,704
XANSA P.L.C. 575,870 1,018,183
* Xenova Group P.L.C. 607,931 72,352
XKO Group P.L.C. 30,304 40,506
XP Power P.L.C. 26,903 225,639
* Yorkshire Group P.L.C. 82,504 9,068
Young & Co's Brewery P.L.C. 10,000 185,921
Young & Co's Brewery P.L.C. Class A 5,234 $ 131,216
Yule Catto & Co. P.L.C. 278,083 1,559,934
Zotefoams P.L.C. 62,000 79,996
---------------
TOTAL COMMON STOCKS
(Cost $274,387,702) 371,382,332
---------------
INVESTMENT IN CURRENCY -- (0.9%)
* British Pound Sterling
(Cost $3,631,644) 3,641,345
---------------
RIGHTS/WARRANTS -- (0.0%)
* Letter of Entitlements - Audemars
Piguet 90,242 0
* Planestation Group P.L.C. Warrants
01/13/11 229,653 2,724
* SFI Holdings Litigation Certificate 26,713 0
* Xenova Group P.L.C. Contingent
Rights 08/14/11 94,500 0
* Xenova Group P.L.C. Warrants
12/31/08 56,991 2,315
---------------
TOTAL RIGHTS/WARRANTS
(Cost $4,780) 5,039
---------------
TOTAL -- UNITED KINGDOM
(Cost $278,024,126) 375,028,716
---------------
UNITED STATES -- (0.1%)
COMMON STOCKS -- (0.1%)
* Bookham, Inc.
(Cost $500,697) 57,292 307,085
---------------
EMU -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
* Euro Currency
(Cost $101) 127
---------------
FACE
AMOUNT
------
(000)
TEMPORARY CASH
INVESTMENTS -- (1.7%)
Repurchase Agreement, PNC Capital
Markets, Inc. 1.88%, 12/01/04
(Collateralized by $6,458,000 FNMA
Notes 2.95%, 11/14/07, valued at
$6,467,061) to be repurchased at
$6,378,333
(Cost $6,378,000) $ 6,378 6,378,000
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $284,902,924) $ 381,713,928
===============
----------
+ Securities have been fair valued. See Note B to Financial Statements.
* Non-Income Producing Securities.
See accompanying Notes to Financial Statements.
96
THE CONTINENTAL SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
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SHARES VALUE+
------------ ------------------
FRANCE -- (12.5%)
COMMON STOCKS -- (12.5%)
Affine 1,400 $ 127,012
Ales Groupe SA 6,648 114,679
Altedia SA 2,800 51,136
* Alten SA 21,372 483,168
* # Altran Technologies SA 82,633 857,783
Apem SA 1,000 79,347
April Group SA 31,201 724,059
Ares (Groupe) SA 5,500 35,896
Arkopharma 18,720 423,610
Assystem Brime SA 7,580 151,159
Aubay SA 5,774 30,186
Audika SA 1,900 174,175
* Baccarat SA 1,090 126,707
Bacou-Dalloz 6,287 484,287
# Bains de Mer et du Cercle des Etrangers a Monaco 4,615 2,433,224
Banque Tarneaud SA 1,000 174,614
# Beneteau SA 13,527 1,072,045
* Bigben Interactive 2,100 8,108
Boiron SA 16,659 504,084
Boizel Chanoine Champagne SA 600 37,987
# Bonduelle SA 6,723 606,701
Bongrain SA 13,083 887,920
Bricorama SA 3,379 211,944
Brioche Pasquier SA 2,888 206,764
Buffalo Grill SA 1,028 18,850
* Bull SA 379,800 237,573
Burelle SA 4,030 478,349
* Business Objects SA 16,500 385,205
* BVRP SA 2,900 55,079
Camaieu SA 4,988 465,368
* Carbone Lorraine 40,631 1,975,195
Cegedim SA 6,902 526,110
CEGID SA 18,000 587,040
* Cesar SA 16,955 20,292
CFF Recycling SA 84,608 2,225,250
Cie Financiere Pour La Location D'Immeubles Industriels & Commerciaux Sa 6,400 363,242
Clarins SA 8,798 487,472
* # Club Mediterranee SA 15,665 719,525
Consortium International de Diffusion et de Representation Sante 600 6,594
Crometal SA 1,100 70,027
* CS Communication et Systemes 4,983 196,084
* Cybergun 1,058 21,933
* Damartex SA 22,900 728,108
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* Dane-Elec Memory SA 11,400 51,830
Delachaux SA 1,300 171,307
Deveaux SA 1,040 107,787
Didot-Bottin 1,620 193,990
* DMC (Dollfus Mieg et Cie) 9,630 56,084
* Dynaction SA 10,660 232,632
Electricite de Strasbourg 23,784 3,327,592
Elior 104,108 1,063,766
Esso SA 3,200 475,319
Etam Developpement SA 7,300 154,651
* Eurafrance 12,668 987,991
* Euraltech SA 11,700 21,500
* # Euro Disney SCA 797,643 287,105
Evialis SA 1,200 47,908
Exel Industries SA 1,800 122,994
* Explosifs et de Produits Chimiques 524 197,094
Faurecia SA 6,500 486,138
# Fimalac SA 111,143 5,037,658
Fininfo SA 9,760 290,909
Fleury Michon SA 3,100 148,810
Francois Freres (Tonnellerie) SA 3,150 86,219
* Gantois Series A 647 9,115
Gascogne SA 6,472 579,628
Gaumont 14,607 1,060,047
* GCI (Groupe Chatellier Industrie SA) 7,258 965
* Generale de Geophysique SA 20,770 1,315,273
Generale de Sante 32,259 637,283
Generale Location SA 9,000 233,743
* Geodis SA 4,379 456,689
Gevelot 3,584 250,314
GFI Informatique SA 26,700 158,416
Gifi 4,678 217,100
* Ginger (Groupe Ingenierie Europe) 2,600 51,256
Grands Moulins de Strasbourg 110 65,861
Groupe Bourbon SA 19,038 915,112
Groupe Crit 6,900 168,816
* Groupe Flo SA 11,900 80,085
* Groupe Focal SA 1,400 8,745
Groupe Go Sport SA 2,207 152,875
Groupe Guillin SA 1,200 82,802
Groupe Open SA 6,000 68,182
Groupe Steria 14,365 539,118
Guerbet SA 1,700 153,790
Guyenne et Gascogne SA 26,000 2,871,779
Havas SA 62,300 344,269
* Hotels et Casinos de Deauville 2,055 1,231,323
Hyparlo SA 5,514 312,305
IDSUD 614 20,458
* Iliad SA 8,500 251,572
* IMS International Metal Service SA 12,630 127,572
Industrielle et Financiere d'Entreprise SA 300 66,150
* # Infogrames Entertainment SA 83,638 139,063
Ingenico SA 61,820 1,010,755
Ioltech SA 500 54,371
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Ipsos SA 5,776 582,014
Kaufman et Broad SA 7,722 398,245
Lafuma SA 810 59,088
Laurent-Perrier 3,100 129,319
Lectra Systemes SA 23,092 158,185
Lisi SA 7,827 406,237
Manitou SA 44,368 1,422,008
Manutan International SA 4,700 231,606
# Marionnaud Parfumeries Retails Perfumes 11,209 331,281
* Matussiere et Forest SA 13,600 52,418
* Metaleurop SA 35,449 25,441
MGI Coutier SA 1,400 64,980
Montupet SA 32,450 908,243
Mr. Bricolage SA 6,600 149,138
Neopost SA 7,200 518,749
Nexans 15,136 583,055
Norbert Dentressangle 8,372 455,465
Nord Est SA 21,507 1,246,469
* # Oberthur Card Systems SA 53,640 374,390
* Oeneo 31,265 42,323
* Otor SA 13,700 67,356
Parcours SA 5,300 35,490
* Paris Orleans et Cie SA 2,832 647,137
Passat SA 2,400 48,014
* Penauille Polyservices SA 10,200 109,781
Petit Forestier SA 3,043 123,913
# Pierre & Vacances 6,635 706,897
Pinguely-Haulotte SA 25,000 185,364
Plastic Omnium SA 15,423 823,385
Plastivaloire SA 1,700 49,745
Prosodie SA 4,500 116,332
Provimi SA 13,972 294,071
PSB Industries SA 1,240 212,572
* Radiall SA 1,340 110,514
Remy Cointreau SA 8,774 324,763
Robertet SA 1,076 144,221
# Rodriguez Group SA 9,687 492,332
Rougier SA 2,040 160,135
* S.T. Dupont SA 3,800 25,325
Sabeton 13,500 200,334
Samse SA 4,400 665,477
Sasa Industries SA 1,000 29,054
* Saveurs de France-Brossard 900 31,403
* # Scor SA 524,279 974,499
SDR de Bretagne SA 1,314 46,464
SEB SA Prime Fidelite 2002 3,300 333,655
Sechilienne-Sidec 2,200 568,962
Securidev SA 1,500 24,533
Selectibail 29,286 1,141,306
Signaux Girod SA 600 41,958
SILIC (Societe Immobiliere de Location pour L'industrie et le Commerce) 15,009 1,358,500
Skis Rossignol SA 41,668 755,322
Smoby SA 500 53,255
3
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Societe du Louvre SA 14,513 1,621,782
Societe Industrielle D'Aviations Latecoere SA 3,700 159,053
Societe Pour L'Informatique Industrielle SA 1,800 80,592
Solving International SA 2,160 11,201
Somfy Interational SA 22,900 4,835,130
Sopra SA 7,618 437,718
# SR Teleperformance 90,928 2,283,048
Stallergenes SA 1,949 160,961
Ste Virbac SA 7,637 253,774
Stef-Tfe SA 2,032 215,257
Sucriere de Pithiviers-le-Vieil 1,825 1,379,849
* Sylis SA 4,700 34,412
Synergie SA 8,000 227,231
Taittinger SA 12,700 3,574,538
* Teisseire France SA 700 68,840
Tessi SA 1,700 84,206
Touax (Touage Investissement SA) 10,378 274,343
Toupargel-Agrigel SA 6,200 214,041
Trigano SA 7,953 570,503
* # Ubi Soft Entertainment SA 10,800 230,902
Unilog SA 9,747 630,323
# Vallourec (Usines a Tubes de Lorraine Escaut et Vallourec Reunies) 31,700 4,383,017
* Valtech, La Defense 68,224 89,824
Viel et Compagnie 44,339 215,002
Vilmorin et Cie SA 2,349 457,848
VM Materiaux SA 600 62,073
Vranken Monopole 2,800 133,623
Zodiac SA 14,964 617,256
------------------
TOTAL COMMON STOCKS
(Cost $47,280,511) 89,105,077
------------------
RIGHTS/WARRANTS -- (0.0%)
* Air France Warrants 11/06/07 24,800 27,687
* Ales Groupe SA Warrants 03/23/09 316 1,575
* Carbone Lorraine Rights 10/06/04 8 19
* Ginger (Groupe Ingenierie Europe) Warrants 09/30/05 2,600 173
* Groupe Open SA Warrants 10/21/06 1,000 487
* Oeneo Warrants 08/26/06 14,365 764
* Prosodie SA Warrants 10/28/06 900 449
* Ubi Soft Entertainment SA Warrants 05/14/06 4,100 1,089
* Valtech, La Defense Warrants 07/29/05 20,000 807
------------------
TOTAL RIGHTS/WARRANTS
(Cost $20,863) 33,050
------------------
TOTAL -- FRANCE
(Cost $47,301,374) 89,138,127
------------------
GERMANY -- (11.5%)
COMMON STOCKS -- (11.5%)
A.S. Creation Tapeton AG 2,900 88,216
4
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Aareal Bank AG 46,391 1,418,237
* Acg AG Fuer Chipkarten und Informationssysteme 16,940 23,178
Ackermann-Goeggingen AG 8,100 157,250
AC-Service AG 4,300 28,875
* Adva AG Optical Networking 39,883 264,788
* Agrob AG 5,800 64,763
* # Aixtron AG 74,124 331,688
* Amadeus Fire AG 4,900 25,372
Andreae-Noris Zahn AG, Anzag 27,200 1,165,433
* Articon Integralis AG 7,900 23,012
Atoss Software AG 3,700 50,035
* Augusta Technologie AG 11,750 7,800
Ava Allgemeine Handelsgesellschaft der Verbraucher AG 35,814 2,023,757
AWD Holding AG 52,932 1,988,042
* Baader Wertpapier Handelsbank AG 19,026 132,122
# Balda AG 40,277 460,379
* Basler AG 3,200 63,767
# Beate Uhse AG 56,241 814,421
# Bechtle AG 25,498 534,592
* Berliner Elektro Holding AG 17,611 178,427
Bertrandt AG 9,850 159,888
# Beru AG 14,051 1,283,506
Beta Systems Software AG 2,850 46,535
Bien-Haus AG 2,400 30,272
Bilfinger & Berger Bau AG 44,787 1,677,853
* Biolitec AG 8,000 44,168
* Biotest AG 3,804 60,949
* BKN International AG 17,600 139,241
* BMP AG 10,600 29,896
Boewe Systec AG 7,866 414,951
* Borussia Dortmund GMBH & Co. KGAA 21,650 72,599
Bremer Energiekonto AG 14,700 22,108
* CBB Holding AG 102,602 8,182
* # Ce Consumer Electrnic AG 21,600 33,600
* Ceag AG 20,670 230,868
* Cenit AG Systemhaus 3,500 67,699
* Centrotec Hochleistungskunststoffe AG 7,500 192,072
Cewe Color Holding AG 7,073 165,034
Comdirect Bank AG 120,666 1,170,685
* Computec Media AG 4,650 38,961
Computerlinks AG 5,700 97,090
* Condomi AG 1,800 3,415
* CTS Eventim AG 14,800 295,957
Curanum AG 21,500 55,128
* D. Logistics AG 37,750 67,822
* # DAB Bank AG 70,271 499,756
* Data Modul AG 3,194 48,383
* DEAG Deutsche Entertainment AG 10,500 21,341
Deutsche Euroshop AG 18,927 927,683
* Deutsche Steinzeug Cremer & Breuer AG 87,200 90,536
* # Deutz AG 96,790 391,089
* Dierig Holding AG 10,500 175,145
Dis Deutscher Industrie Service AG 18,524 642,726
* Dom-Braugerei AG 900 25,312
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Douglas Holding AG 43,825 1,450,046
* Dr. Scheller Cosmetics AG 4,000 19,628
* Drillisch AG 28,287 132,387
* Duerr Beteiligungs AG 17,593 349,862
DVB Bank AG 7,124 967,410
* Eckert and Ziegler Strahlen - und Medizintechnik AG 3,000 33,278
* Elexis AG 8,600 76,974
Elmos Semiconductor AG 23,218 395,877
ElreingKlinger AG 3,000 224,173
* # Em.TV AG 18,773 72,106
* Emprise Management Consulting AG 8,950 19,535
* Epcos AG 55,500 881,305
Erlus Baustoffwerke AG 297 141,231
* Escada AG 20,520 437,119
* Euwax AG 536 19,262
* Evotec Biosystems AG 42,707 153,859
Feilmann AG 29,181 2,016,941
# FJA AG 9,889 65,656
Fortec Elektronik AG 1,400 51,071
* Freenet.De AG 50,400 1,088,857
Fuchs Petrolub AG Oel & Chemie 6,693 668,086
GFK AG 45,483 1,656,509
* Gft Technologies AG 22,600 51,999
* GPC Biotech AG 23,900 375,512
# Grenkeleasing AG 15,958 678,297
Gwag Bayerische Wohnungs- Aktiengesellschaft AG 3,383 173,276
Hamborner AG 21,000 627,738
Hawesko Holdings AG 4,300 144,004
* Herlitz AG 6,962 26,404
Hochtief AG 34,000 1,009,771
* Hoeft & Wessel AG 6,100 24,320
Hucke AG 8,300 34,417
Hugo Boss AG 25,100 719,360
Hutschenreuther AG 2,800 35,400
* I-D Media AG 9,700 15,956
* IFA Hotel & Touristik AG 7,000 65,886
* IM International Media AG 19,800 16,081
* # Innovation in Traffic Systems AG 12,300 55,676
Interseroh AG 11,845 266,867
* # Intershop Deutschland AG 7,955 7,718
* Intertainment AG 8,500 22,933
* Isra Vision Systems AG 3,650 61,169
IVG Immobilien AG 143,237 2,179,536
Iwka AG 26,613 648,382
* Jenoptik AG 67,265 719,330
K & S Aktiengesellschaft AG 129,500 6,596,434
Kampa-Haus AG 10,375 84,577
Keramag Keramische Werke AG 13,000 818,692
* # Kloeckner-Werke AG 53,211 855,835
* Kontron AG 53,965 512,721
Krones AG 10,180 1,042,394
KSB AG 2,387 418,646
KWS Kleinwanzlebener Saatzucht AG 1,650 1,328,738
* Leica Camera AG 4,400 25,249
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Leifheit AG 12,500 324,475
Leoni AG 37,500 2,496,154
* Loewe AG 7,100 58,963
LPKF Laser & Electronics AG 9,000 35,949
Masterflex AG 4,400 158,450
* Maternus-Kliniken AG, Bad Oyenhausen 165 109
* Maxdata AG 32,897 123,059
* Mediclin AG 30,850 74,210
* # Medigene AG 8,600 87,332
* Mensch und Maschine Software AG 10,700 38,957
* # Morphosys AG 4,800 221,880
* Mosaic Software AG 5,200 6,655
Muehlabauer Holdings AG & Co. KGAA 7,423 274,453
* MVS Miete Vertrieb Service AG 13,050 31,044
MVV Energie AG 58,291 1,151,032
* MWG Biotech AG 30,700 21,682
* Nemetschek AG 7,400 66,949
* Neschen AG 5,800 21,596
* Norddeutsche Affinerie AG 37,449 614,942
Norddeutsche Steingutfabrik AG 5,960 50,383
* November AG 5,400 40,504
* Ohb Teledata 12,650 111,644
* Pandatel AG 5,700 8,710
* Paragon AG 11,282 223,789
* Parsytec AG 11,900 44,345
PC-Ware Information Technologies AG 5,100 51,510
* Personal & Informatik AG 5,900 61,904
Pfeiffer Vacuum Technology AG 8,250 367,915
* Pfleiderer AG 51,351 550,238
* Plambeck Neue Energien AG 19,350 20,817
* Plasmaselect AG 4,290 22,833
* Plenum AG 9,300 20,617
* Primacom AG 15,200 24,552
* Produkte und Syteme der Informationstechnologie AG 10,300 44,540
Progress-Werk Oberkirch AG 5,000 205,379
* PVATepla AG 15,550 37,117
* # Qs Communications AG 124,164 618,103
Rational AG 15,083 1,364,009
* Realtech AG 3,650 25,704
Renk AG 19,400 683,894
REpower Systems AG 5,000 94,685
Rheinmetall Berlin AG 45,000 2,304,151
Rhoen Klinikum AG 24,107 1,334,374
* Rinol AG 5,900 11,348
* Rohwedder AG 4,860 28,572
* Ruecker AG 7,800 25,398
* S.A.G. Solarstrom AG 4,319 29,332
Salzgitter AG 85,948 1,737,674
Sartorius AG 11,252 224,300
Schlott Sebaldus AG 7,440 198,753
Schwarz Pharma AG 30,101 1,249,192
Sektkellerei Schloss Wachenheim AG 15,120 184,419
* Senator Entertainment AG 980 1,967
* # SGL Carbon AG 57,758 759,240
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* # Singulus Technologies AG 36,100 638,157
Sinner AG, Karlsruhe 4,160 60,896
Sixt AG 19,433 352,695
* Sm Wirtschaftsberatungs AG 3,350 26,130
* Software AG 34,296 1,048,876
Stada Arzneimittel AG 50,186 1,321,970
Stahl (R.) AG 6,300 95,203
* # Steag Hamtech AG 35,473 69,772
* Stoehr & Co. AG 16,000 72,500
* Strabag AG 4,840 301,942
Stratec Biomedical Systems AG 3,200 72,059
Stuttgarter Hofbraeu AG 18,000 575,114
Sued-Chemie AG 29,146 1,067,674
* # Suess Microtec AG 17,785 142,778
Syskoplan AG 3,300 22,379
* Syzygy AG 18,000 105,912
Takkt AG 87,707 858,908
* Techem AG 29,076 971,402
Technotrans AG 6,450 121,968
* Telegate AG 20,500 369,478
* Teles AG Informationstechnologien 26,657 247,143
* Textilgruppe Hof AG 12,170 112,212
* TFG Venture Capital AG & Co. KGAA 8,800 24,241
* Tomorrow Focus AG 42,650 125,675
* TTL Information Technology AG 6,400 25,998
* TV Loonland AG 7,000 18,258
United Internet AG 79,458 2,080,469
* Utimaco Safeware AG 12,200 60,865
* Value Management & Research AG 7,650 22,571
* VBH (Vereinigter Baubeschlag-Handel) AG 9,415 46,915
* Vereinigte Deutsche Nickel-Werke AG 12,150 8,065
* Vivacon AG 3,032 25,732
Vossloh AG 21,469 970,693
Wanderer-Werke AG 7,903 253,047
* WaveLight Laser Technologies AG 1,159 19,532
* WCM Beteiligungs AG 346,726 603,815
Westag and Getalit AG, Rheda-Wiedenbrueck 7,000 77,740
Wuerttembergische Lebensversicherung AG 11,330 230,874
Wuerttembergische Metallwarenfabrik AG 30,330 540,638
Wuerzburger Hofbraeu AG 133 73,357
Zapf Creation AG 7,500 158,255
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TOTAL COMMON STOCKS
(Cost $58,435,826) 82,230,805
------------------
RIGHTS/WARRANTS -- (0.0%)
* BMP AG Rights 12/06/04 10,600 0
* D. Logistics AG Rights 12/06/04 37,750 0
* Intershop Holding AG, Zurich Rights 12/14/04 7,955 0
* Medigene AG Rights 11/09/04 8,600 0
* MWG Biotech AG Rights 12/09/04 30,700 0
* November AG Rights 12/07/04 5,400 0
* Paragon AG Rights 12/03/04 11,282 0
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TOTAL RIGHTS/WARRANTS
(Cost $0) 0
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TOTAL -- GERMANY
(Cost $58,435,826) 82,230,805
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SWITZERLAND -- (9.9%)
COMMON STOCKS -- (9.8%)
* 4M Technologies Holding SA 3,751 19,829
* A. Hiestad Holding AG 561 440,593
* Actelion, Ltd. 4,400 405,668
AFG Arbonia-Forster Holding AG 2,610 355,051
* Agie Charmilles Holding AG 3,402 232,839
Allreal Holding AG 5,733 539,396
Also Holding AG 268 76,468
* Amazys Holding AG 2,152 106,085
* Ascom Holding AG 32,674 498,918
Bachem AG 6,984 395,067
Baloise-Holding 7,415 311,706
Bank Coop AG 29,405 1,311,454
Bank Sarasin & Cie Series B, Basel 502 835,214
* Banque Cantonale de Geneve 1,344 216,313
Banque Cantonale du Jura 450 101,855
Banque Cantonale Vaudoise 600 92,619
Banque Privee Edmond de Rothschild SA, Geneve 120 1,472,010
Barry Callebaut AG 3,526 866,473
Basellandschaftliche Kantonalbank 600 459,423
Basler Kantonalbank 5,250 415,936
Batigroup Holding AG 9,987 120,441
Belimo Holdings 593 345,669
* Berna Biotech 33,198 285,121
Berner Kantonalbank 4,815 684,299
BHB Beteiligungs und Finanzgesellschaft 150 5,788
Bobst Group SA 18,200 718,899
Bossard Holding AG 6,350 365,558
Bucher Industries AG, Niederweningen 3,355 717,077
BVZ (Brig Visp Zermatt) Holding AG 370 81,334
# Caisse d'Epargne Cantonale Vaudoise, Lausanne 697 681,761
Calida Holding AG 396 102,229
* Card Guard AG 5,402 21,786
Carlo Gavazzi Holding AG 910 68,889
Charles Voegele Holding AG 3,960 176,721
Cie Financiere Tradition 5,202 478,781
Conzzeta Holdings AG 1,415 1,425,684
* COS Computer Systems AG 2,430 70,028
* Crossair AG, Basel 13,517 100,668
Daetwyler Holding AG, Atldorf 348 775,487
Edipresse SA, Lausanne 694 359,300
EGL (Elektrizitaets-Gesellschaft Laufenberg) AG, Laufenberg 3,761 3,269,055
Eichhof Holding AG 188 178,546
Ems-Chemie Holding AG 3,663 324,788
Energie Electrique du Simplon SA 350 74,489
Energiedienst Holding AG 8,265 2,858,844
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Escor Casino & Entertainment AG 744 20,884
* Feintol International Holding AG 254 49,962
* Fischer (Georg) AG, Schaffhausen 3,073 793,343
* Flughafen Zuerich AG 3,965 452,273
* Forbo Holding AG, Eglisau 1,100 307,418
Fuchs Petrolub AG Oel & Chemie Non-Voting 6,003 602,199
Galenica Holding, Ltd. AG, Bern 6,922 1,262,283
* Generale d'Affichage 1,772 279,337
Generali (Switzerland) Holdings, Adliswil 1,670 323,992
* Getaz Romang Holding SA 125 21,933
* Golay-Buchel Holding SA, Lausanne 40 27,484
Gornergrat Monte Rasa-Bahnen Zermatt 70 55,326
Gurit-Heberlein AG 1,125 898,356
# Helvetia Patria Holding 4,331 603,650
Industrieholding Cham AG, Cham 864 197,373
* Interroll-Holding SA 320 42,077
Jelmoli Holding AG 1,521 2,099,679
# Jelmoli Holding AG, Zuerich (Namen) 2,835 775,170
Kaba Holding AG 2,970 826,023
Kardex Ag, Zuerich 8,245 233,511
* Komax Holding AG 4,975 426,847
* Kudelski SA 22,850 858,072
Kuoni Reisen Holding AG 3,130 1,328,346
* Leica Geosystems Holdings AG 3,216 949,370
* Lem Holdings AG, Lyss 371 89,386
* Logitech International SA 22,086 1,300,814
Luzerner Kantonalbank AG 5,601 1,026,917
* Maag Holding AG, Zuerich 922 138,272
* Micronas Semi 24,941 1,075,763
* Mikron Holding AG, Biel 10,454 139,843
* Mobilezone Holding AG 13,349 47,304
* Moevenpick-Holding, Zuerich 1,320 389,546
Nobel Biocare Holding AG 23,200 4,166,724
Orell Fussli Graphische Betriebe Ag, Zuerich 2,400 280,212
Oz Holding AG 4,400 244,688
* Parco Industriale e Immobiliare SA 600 1,846
Phoenix Mecano AG, Stein am Rhein 2,749 763,551
Phonak Holding AG 48,668 1,535,747
PSP Swiss Property AG 47,132 2,013,291
Publicitas Holding SA, Lausanne 1,937 565,193
Rieters Holdings AG 5,207 1,513,291
SAIA-Burgess Electronics AG 693 417,546
Sarna Kunststoff Holding AG 1,760 167,919
* Saurer AG 17,705 1,055,431
* Schaffner Holding AG 888 140,286
* Schweiter Technology AG 1,103 208,217
Schweizerhall Holding AG, Basel 140 218,774
Schweizerische National Versicherungs Gesellschaft 917 474,301
* SEZ Holding AG 2,982 71,907
SIA Abrasives Holding AG 878 172,818
Siegfried Holding AG 8,560 1,058,814
Sig Holding AG 6,922 1,560,034
* Sihl 150 395
* Sika Finanz AG, Baar 2,303 1,360,460
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Sopracenerina 2,409 486,579
# St. Galler Kantonalbank 3,636 891,921
Sulzer AG, Winterthur 1,637 621,822
* Swiss Prime Site AG 3,460 858,703
* Swissfirst AG 207 19,971
* Swisslog Holding AG 17,025 14,172
* Swissquote Group Holding SA 270 22,053
* Tamedia AG 5,300 478,384
# Tecan Group AG 5,859 159,801
* Temenos Group AG 35,359 290,073
* UMS Schweizerische Metallwerke Holding AG, Bern 2,560 25,816
Unaxis Holding AG 2,013 212,689
Unilabs SA 6,102 180,517
* Valiant Holding AG 17,966 1,630,558
Valora Holding AG 3,485 844,637
Vaudoise Assurances Holding, Lausanne 45 79,207
Villars Holding SA, Fribourg 150 38,818
* Von Roll Holding AG, Gerlafingen 46,048 44,003
Vontobel Holdings AG 58,345 1,356,586
Walliser Kantonalbank 351 104,840
* Wmh Walter Meier Holding Ag, Zuerich 1,000 53,521
Zehnder Holding AG 512 623,935
Zschokke Holding SA, Geneve 431 213,711
* Zueblin Holding AG 25,262 201,744
Zuger Kantonalbank 590 1,501,879
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TOTAL COMMON STOCKS
(Cost $42,935,999) 70,034,297
------------------
PREFERRED STOCKS -- (0.1%)
Fuchs Petrolub AG Oel & Chemie 6,003 580,677
------------------
(Cost $266,229)
RIGHTS/WARRANTS -- (0.0%)
* Helvetia Patria Holding Rights 12/07/04 4,331 48,338
------------------
(Cost $0)
INVESTMENT IN CURRENCY -- (0.0%)
* Swiss Francs 8,678
------------------
(Cost $7,914)
TOTAL -- SWITZERLAND
(Cost $43,210,142) 70,671,990
------------------
ITALY -- (7.8%)
COMMON STOCKS -- (7.8%)
Acea SpA 163,000 1,664,643
Acegas SpA 31,875 314,932
* Actelios SpA 25,801 208,610
* Aedes SpA (Sta Ligure Lombarda per Imprese & Costruzioni) 4,291 19,974
Aem Torino SpA 450,627 1,122,396
Aeroporto de Firenze SpA 6,000 76,679
* Alitalia Linee Aeree Italiane SpA Series A 3,706,002 1,271,617
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Amplifon SpA 18,242 840,572
Azienda Mediterranea Gas e Acqua SpA 360,014 697,642
# Banca Ifis SpA 19,351 235,970
Banca Intermobiliare di Investimenti e Gestoni SpA 132,998 963,369
# Banca Popolare Dell'etruria e Del Lazio Scrl 23,918 573,112
Banca Profilo SpA 114,243 266,334
Banco di Desio e della Brianza SpA 109,105 672,384
# Banco Piccolo Valellinese Scarl SpA 56,071 678,216
* Beghelli SpA 142,000 107,715
Beni Stabili SpA, Roma 1,309,500 1,289,545
Biesse SpA 17,100 58,785
Bonifica dei Terreni Ferraresi e per Imprese Agricole Roma 9,675 250,034
Bremba SpA 74,782 543,516
Buzzi Unicem SpA 94,100 1,319,171
Caltagirone Editore SpA 132,868 1,129,525
# Caltagirone SpA 178,399 1,343,666
CAMFIN (Cam Finanziaria) 36,527 103,162
Carraro SpA 34,400 158,649
Cementir Cementerie del Tirreno SpA 249,704 1,242,882
* Centrale del Latte di Torino & Co. SpA 4,182 23,465
CIR SpA (Cie Industriale Riunite), Torino 591,100 1,482,384
* Cirio Finanziaria SpA 175,000 40,469
Class Editore SpA 83,868 192,279
* # CMI SpA 90,302 377,195
* Coats Cucirini SpA 30,000 43,658
* Compagnia Immobiliare Azionaria 44,000 8,070
Credito Artigiano SpA 114,446 483,653
# Cremonini SpA 135,428 316,883
* CSP International Industria Calze SpA 10,000 17,229
Danieli & C.Officine Meccaniche SpA 66,500 399,333
Davide Campari - Milano SpA 27,599 1,671,921
De Longhi SpA 139,386 593,914
* # Ducati Motor Holding SpA 129,900 160,111
Emak SpA 27,000 133,324
Erg SpA 173,330 1,929,190
Ergo Previdenza SpA 95,165 520,985
Esprinet SpA 3,700 183,832
* Finarte Casa d'Aste SpA (Milano) 56,266 67,464
* Finarte Partecipazioni Pro Arte SpA 242,693 24,353
* # Finmatica SpA 35,900 108,737
Gabetti Holding SpA 55,000 159,475
Gefran SpA 11,000 63,680
# Gemina SpA 331,283 391,350
Gewiss SpA 221,700 1,217,089
* Giovanni Crespi SpA 49,200 54,770
Grandi Navi Veloci SpA 53,833 181,345
# Granitifiandre SpA 33,237 273,193
* Gruppo Ceramiche Ricchetti SpA 41,000 78,032
I Grandi Viaggi SpA 28,100 40,255
* # Immobiliare Lombardia SpA 425,000 99,955
# Immsi SpA 287,000 561,228
# Impregilo SpA 592,300 324,324
Industria Macchine Automatique SpA 33,671 498,330
* Industria Romagnola Conduttori Elettrici SpA 17,500 63,516
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Industrie Zignago S. Margherita SpA 52,000 1,052,598
Interpump Group SpA 75,402 393,789
* ITALJOLLY (Cia Italiana dei Jolly Hotels SpA) 34,500 267,291
Italmobiliare SpA, Milano 20,975 1,214,946
* Juventus Footbal Club SpA 98,000 197,034
La Doria SpA 22,000 62,983
* Lavorwash SpA 10,000 23,134
Linificio and Canapificio Nazionale SpA 22,000 83,998
Maffei SpA 52,500 109,607
Manifattura Lane Gaetano Marzotto & Figli SpA 138,000 2,458,770
* Marcolin SpA 35,100 58,187
Mariella Burani Fashion Group SpA 26,077 278,432
Meliorbanca SpA 90,667 379,533
Merloni Elettrodomestici SpA 155,000 2,600,000
Milano Assicurazioni SpA 266,700 1,343,898
Mirato SpA 12,000 102,507
* Monrif SpA 150,000 168,172
* Montefibre SpA 143,130 51,614
Navigazione Montanari SpA 110,917 343,174
* Necchi SpA 164,250 15,499
* Negri Bossi SpA 13,700 41,907
* NGP SpA 17,891 8,322
Olidata SpA 20,000 22,344
* Opengate Group SpA 4,000 10,154
* Pagnossin SpA 9,000 6,806
Permasteelisa SpA 24,470 406,522
Pininfarina SpA 31,285 927,115
Pirelli & C.Real Estate SpA 9,600 458,033
Poligrafici Editoriale SpA 132,000 279,695
* Premafin Finanziaria SpA Holding di Partecipazioni, Roma 342,051 526,834
Premuda SpA 109,728 200,133
* Ratti SpA 31,768 18,992
Recordati Industria Chimica e Farmaceutica SpA 58,644 1,324,871
* # Reno de Medici SpA, Milano 332,210 347,299
* Richard-Ginori 1735 SpA 140,800 99,957
Risanamento Napoli SpA 255,850 616,779
Sabaf SpA 9,200 225,323
# SAES Getters SpA 14,750 322,432
* Schiapparelli 1824 SpA, Milano 831,000 47,496
* Sirti SpA 29,967 73,121
SISA (Societa Imballaggi Speciali Asti SpA) 65,000 186,343
* # SNIA SpA 227,590 76,981
Societe Cattolica di Assicurazoni Scarl SpA 27,170 1,196,246
Sogefi SpA 182,500 772,069
Sol SpA 81,830 411,669
* SOPAF (Societa Partecipazioni Finanziarie SpA) 85,000 15,764
* Sorin SpA 341,385 1,023,348
* STA Metallurgica Italiana SpA 282,640 177,891
Stefanel SpA 54,400 128,807
Targetti Sankey SpA 14,500 84,833
* Tecnodiffusione Italia SpA 3,332 8,857
Terme Demaniali di Acqui SpA 532,000 424,723
Tod's Group SpA 30,476 1,384,971
Trevi-Finanziaria Industriale SpA 52,400 82,126
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* Vemer Siber Group SpA 46,000 38,836
* Viaggi del Ventaglio SpA 58,384 78,995
Vianini Industria SpA 52,520 175,755
Vianini Lavori SpA 180,752 1,341,022
Vittoria Assicurazioni SpA 51,500 435,728
Zucchi (Vincenzo) SpA 144,350 723,442
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TOTAL COMMON STOCKS
(Cost $36,266,091) 55,875,798
------------------
RIGHTS/WARRANTS -- (0.0%)
* Immsi SpA Rights 12/20/04 287,000 30,515
* Tecnodiffusione Italia SpA Warrants 11/15/04 1,332 141
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TOTAL RIGHTS/WARRANTS
(Cost $0) 30,656
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TOTAL -- ITALY
(Cost $36,266,091) 55,906,454
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SWEDEN -- (7.3%)
COMMON STOCKS -- (7.3%)
* # Active Biotech AB 38,640 209,994
Addtech AB Series B 22,300 172,786
Alfa Laval AB 18,600 292,064
* Alfaskop AB 3,200 380
Angpannefoereningen AB Series B 10,800 225,219
* Anoto Group AB 134,833 203,001
Axfood AB 73,400 2,336,155
* # Axis AB 76,994 212,799
* B & N Bylock & Nordsjoefrakt AB Series B 41,800 130,349
* Ballingslov International AB 2,800 37,283
Beiger Electronics AB 11,700 124,664
Beijer AB Series B 11,700 208,979
Beijer Alma AB Series B 10,400 181,199
Bergman & Beving AB Series B 36,200 382,361
Biacore International AB 11,150 223,292
Bilia AB Series A 116,725 1,859,130
Billerud AB 58,700 982,918
* Boliden AB 197,400 762,261
* Bong Ljungdahl AB 9,000 46,960
* Boras Waefveri AB Series B 8,600 31,794
* Boss Media AB 63,200 230,507
* Capio AB 78,700 877,752
Capona AB 25,400 362,769
Carbo AB 37,100 1,020,954
Castellum AB 43,600 1,514,584
Cloetta AB Series B 22,250 691,991
Concordia Maritime AB Series B 37,300 183,219
* Consilium AB Series B 5,246 23,758
D. Carnegie & Co. AB 74,000 852,252
Digital Illusions AB Series A 7,800 70,699
* Doro Telefoni AB Series A 2,000 2,973
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* Duroc AB Series B 2,700 6,053
* Elekta AB 28,600 782,316
* Enea Data AB Series B 440,000 281,920
Eniro AB 154,000 1,510,294
* Expanda AB 6,547 39,051
Fagerhult AB 14,100 201,829
* Finnveden AB 57,000 636,315
* # Framtidsfabriken AB 966,000 73,365
* Frontec AB Series B 50,800 49,078
Getinge AB 176,604 2,192,889
Geveko AB Series B 8,300 211,396
* Glocalnet AB 187,500 71,800
Gorthon Lines AB Series B 41,800 130,552
Gunnebo AB 50,000 628,051
Haldex AB 39,000 638,272
Heba Fastighets AB Series B 13,500 229,920
Hexagon AB Series B 3,572 150,552
Hiq International AB 41,889 116,653
HL Display AB Series B 6,000 111,874
Hoganas AB Series B 38,200 989,084
* IBS AB Series B 83,200 144,342
* Industrial & Financial AB Series B Issue 2004 59,300 40,532
* Industrial & Financial Systems AB Series B 59,300 40,532
* Industrifoervaltnings AB Skandigen 63,975 228,339
* Intentia International AB Series B 149,420 292,165
* Intrum Justitia AB 115,700 775,115
* Invik and Co. AB Series B 155,400 1,526,412
Karlshamns AB 23,800 338,634
* Klippans Finpappersbruk AB 5,800 14,237
Klovern AB 53,276 146,730
Kungsleden AB 17,600 685,801
Lagercrantz Group AB Series B 23,800 63,108
* LB Icon AB 14,530 66,840
# Lindex AB 16,100 543,017
Ljungberg Gruppen AB Series B 3,800 81,399
* Lundin Petroleum AB 322,400 2,184,460
* Mandator AB 20,520 3,756
Meda AB Series A 9,725 328,370
* Medivir Series B 10,650 166,770
* Micronic Laser Systems AB 42,600 400,382
* Modern Times Group AB Series B 48,700 1,237,538
Naerkes Elektriska AB Series B 4,250 65,588
NCC AB Series B 118,100 1,490,795
Nefab AB Series B 5,100 130,599
* Net Insight AB Series B 199,000 60,422
New Wave Group AB 20,800 406,828
Nibe Industrier AB 22,800 624,802
* Nobia AB 13,800 209,480
Nolato AB Series B 42,840 360,515
Observer AB 137,856 591,079
OEM International AB Series B 7,100 121,429
* OMHEX AB 78,100 986,544
Orc Software AB 16,500 132,668
* Ortivus AB 11,507 42,379
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* Partnertech AB 9,800 105,430
# PEAB AB Series B 105,200 971,177
* Pergo AB 43,300 165,796
Poolia AB Series B 18,150 89,718
* Prevas AB Series B 16,000 46,435
* # Pricer AB Series B 431,500 85,049
* Proact It Group AB 15,000 49,461
* Proffice AB 72,800 168,785
Profilgruppen AB 4,000 38,987
Protect Data AB 6,500 66,638
* PyroSequencing AB 51,940 58,587
Q-Med AB 34,000 875,753
* Readsoft AB Series B 17,800 38,964
# Rottneros Bruk AB 366,600 409,523
Salus Ansvar AB Series B 12,900 40,690
Sardus AB 11,200 177,565
* Scribona AB Series A 40,100 77,915
* Scribona AB Series B 46,300 93,154
* Semcon AB 18,300 75,045
* Sigma AB Series B 25,800 25,367
Skistar AB 21,000 412,062
SSAB Swedish Steel Series A 60,300 1,454,603
SSAB Swedish Steel Series B 17,100 405,107
Sweco AB Series B 23,450 427,288
* # Switchcore AB 154,820 49,893
* Teleca AB Series B 69,200 363,727
* Telelogic AB 196,200 460,160
* Ticket Travel Group AB 15,152 26,975
Trelleborg AB Series B 75,400 1,248,367
TV 4 AB Series A 22,200 418,231
* Uniflex AB Series B 3,630 25,084
* VBG AB Series B 271 4,374
# Wallenstam Byggnads AB Series B 16,700 668,283
* Wedins Norden AB Series B 280,000 30,375
* Westergyllen AB Series B 4,300 62,609
Whilborg Fastigheter AB Class B 164,145 3,261,797
Wilh. Sonesson AB Series A 4,160 15,919
Wilh. Sonesson AB Series B 4,160 14,837
WM-Data AB Series B 437,600 996,043
Xponcard Group AB 2,800 51,728
------------------
TOTAL COMMON STOCKS
(Cost $31,114,196) 52,095,418
------------------
RIGHTS/WARRANTS -- (0.0%)
* Active Biotech AB Rights 12/06/04 38,640 230
* Duroc AB Rights 11/08/04 2,700 0
* Nanook Investment Special Rights 250 0
------------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 230
------------------
TOTAL -- SWEDEN
(Cost $31,114,196) 52,095,648
------------------
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SHARES VALUE+
------------ ------------------
NETHERLANDS -- (5.6%)
COMMON STOCKS -- (5.6%)
Aalberts Industries NV 25,910 1,063,468
Accell Group NV 5,260 279,951
* AFC Ajax NV 10,787 119,798
Airspray NV 3,800 95,811
AM NV 75,747 688,757
Arcadis NV 14,000 220,644
* ASM International NV 40,484 648,026
* Atag Group NV 4,630 1,784
Athlon Groep NV 34,250 783,312
Batenburg Beheer NV 3,000 120,999
* Begemann Groep NV 11,909 37,276
* Begemann Groep NV Series B 13,451 4,473
Beter Bed Holding NV 4,900 89,904
Boskalis Westminster NV 51,300 1,499,200
Brunel International NV 12,000 130,510
Buhrmann NV 112,817 1,007,851
* Crucell NV 33,880 407,173
# Draka Holding NV 24,283 300,384
* Econosto NV 17,305 33,643
# Eriks Group NV 9,483 501,554
Exact Holding NV 19,764 564,049
Fornix Biosciences NV 2,665 49,043
* # Fox Kids Europe NV 66,840 1,217,849
Gamma Holding NV 15,705 745,484
Gemeenschappeljk Bezit Crown van Gelder NV 12,000 257,173
* # Getronics NV 554,907 1,172,086
Grolsche NV 32,100 961,948
Grontmij NV 2,053 108,890
* # Hagemeyer NV 493,757 1,004,690
# Heijmans NV 19,031 586,905
ICT Automatisering NV 5,800 90,226
# Imtech NV 28,645 911,124
* # Ispat International NV 84,322 3,534,696
Kas Bank NV 42,888 847,054
* Kendrion NV 21,454 49,473
Koninklijke Bam NV 25,037 1,070,918
Koninklijke Frans Maas Groep NV 12,349 509,068
Koninklijke Nedlloyd NV 33,528 1,701,290
Koninklijke Ten Cate NV 11,531 784,169
# Koninklijke Vopak NV 50,371 1,088,020
* # Laurus NV 92,985 551,327
MacIntosh NV 15,590 484,765
* Maverix Capital NV 1,500 75,756
Nederlandsche Apparatenfabriek 14,000 511,407
NH Hoteles 21,703 260,057
Nutreco Holding NV 31,673 774,812
NV Holdingsmij de Telegraaf 42,524 1,012,196
Oce NV 96,974 1,449,687
Opg Groep NV Series A 12,903 702,454
* # Petroplus International NV 22,363 228,907
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* Pharming Group NV 67,601 188,709
Pinkroccade NV 16,914 306,846
Randstad Holdings NV 21,290 818,369
Reesink NV 2,050 151,517
Roto Smeets de Boer NV 2,640 119,294
Rubber Cultuur Maatschappij Amsterdam NV 40,800 170,449
* Samas-Groep NV 24,184 163,659
* Semiconductor Industries NV 21,900 119,407
# Sligro Food Group Beheer 15,046 687,436
Smit Internationale NV 20,578 854,498
Stern Groep NV 1,236 47,775
Stork NV 34,021 1,091,265
* Textielgroep Twenthe NV 1,000 3,323
* Tulip Computers NV 53,860 15,040
Twentsche Kabel Holding NV 18,244 697,129
United Services Group NV 18,374 415,023
Univar NV 10,125 274,668
* # Van Der Mollen Holding NV 57,660 346,827
Vedior NV 21,796 365,984
* # Versatel Telecom International NV 376,079 999,570
* Wegener Arcade NV . 70,830 849,632
------------------
TOTAL -- NETHERLANDS
(Cost $21,941,138) 40,026,461
------------------
FINLAND -- (5.5%)
COMMON STOCKS -- (5.5%)
Alandsbanken AB Series B 4,890 123,480
* Aldata Solutions Oyj 64,735 93,905
Alma Media Oyj 34,388 420,459
* Amanda Capital Oyj 180,700 45,728
Amer-Yhtymae Oyj Series A 25,370 1,345,755
Aspo P.L.C. 8,200 176,419
# Aspocomp Group P.L.C. 12,738 180,482
Basware Oyj 7,050 80,234
* Benefon Oy 1,900 380
* Biotie Therapies Oyj 39,754 55,020
Capman Oyj Series B 12,485 37,169
Chips Corp. Series B 17,750 534,411
* Componenta Oyj 5,400 38,659
# Comptel Oyj 149,541 380,110
Efore Oy 12,920 120,688
Elcoteq Network Corp. 21,260 511,801
Elektrobit Group Oyj 663,597 495,511
* Elisa Communications Corp. 74,525 1,237,543
* Eq Online Oyj 23,900 66,200
* Evox Rifa Group Oyj 51,210 6,797
Finnair Oyj 118,150 808,760
Finnlines Oyj 60,560 1,055,412
# Fiskars Oy AB Series A 41,270 753,976
* # F-Secure Oyj 140,928 342,884
# HK Ruokatalo Oy Series A 26,160 249,930
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Honkarakenne Oy Series B 3,030 22,573
Huhtamaki Van Leer Oyj 125,650 1,838,464
Ilkka-Yhtyma Oyj 7,560 85,072
* Incap Oyj 11,000 29,275
J.W. Suominen Yhtyma Oy 17,955 102,768
Jaakko Poyry Group Oyj 14,610 391,522
KCI Konecranes International Oyj 13,800 639,204
* Kemira GrowHow Oyj 25,160 183,913
Kemira Oyj 118,400 1,638,806
# Kesko Oyj 32,060 745,591
Laennen Tehtaat Oy 5,870 94,359
# Lassila & Tikanoja Oyj 33,980 578,373
* Lassila & Tikanoja Oyj 6,796 115,675
# Lemminkainen Oy 16,600 394,466
Leo Longlife Oy 2,920 34,918
Martela Oy 530 9,439
Metsaemarkka Oyj Series B 700 7,085
New Kyro Corp. Oyj 91,340 460,984
Nokian Renkaat Oyj 12,180 1,751,041
Nordic Aluminium Oy 1,900 25,798
* Okmetic Oyj 16,204 57,169
Okobank Class A 101,080 1,405,268
Olvi Oyj Series A 3,320 58,803
Orion-Yhtyma Oyj Series A 41,180 650,902
Orion-Yhtyma Oyj Series B 60,920 967,283
Oy Stockmann AB Series B 30,200 919,549
Perlos P.L.C. Warrants 04/04/04 72,311 1,225,523
PK Cables Oyj 16,590 226,454
* Pmj Automec Oyj 23,910 22,290
Pohjola Group P.L.C. Series D 146,205 1,624,529
Ponsse Oyj 12,600 250,161
* Proha Oyj 51,232 32,062
Raisio Group P.L.C. Series V 118,423 299,404
Rakentajain Koneuvokrammo Oy 10,260 96,147
Ramirent Oyj 12,270 328,144
# Rapala VMC Oyj 36,040 273,212
Rautaruukki Oyj Series K 188,780 2,277,859
Raute Oy Series A 2,390 27,415
Rocla Oy 1,300 13,992
* Saunalahti Group Oyj 124,754 259,017
# Scanfil Oyj 63,879 411,959
Sponda Oyj 109,111 1,023,285
Stockmann Oyj AB 35,240 1,071,357
* Stonesoft Corp. 49,279 34,798
Sysopen P.L.C. 7,720 34,011
Talentum Oyj 18,300 150,963
* Tecnomen Holding Oyj 49,370 89,242
Teleste Corp. Oyi 14,699 111,711
Tulikivi Oyj 5,710 53,134
Turkistuottajat Oy 2,590 29,515
Uponor Oyj Series A 88,800 1,624,826
Vacon Oyj 14,537 227,242
Vaisala Oy Series A 19,050 501,864
Viking Line AB 10,360 324,190
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# Wartsila Corp. Oyj Series B 66,460 2,306,907
Yit-Yhtymae Oyj 67,708 1,506,257
Yomi Oyj 15,450 142,373
------------------
TOTAL -- FINLAND
(Cost $21,865,536) 38,969,856
------------------
GREECE -- (5.3%)
COMMON STOCKS -- (5.3%)
* A. Cambas Holding & Real Estate S.A. 45,937 147,207
* Aegek S.A. 99,835 91,564
* Agrotiki Insurance S.A. 34,455 128,777
Aktor Technical Co. S.A. 196,380 761,610
Alco Hellas ABEE S.A. 38,730 71,520
* Alfa Alfa Energy S.A. 3,810 10,943
Alfa-Beta Vassilopoulos S.A. 15,172 252,142
Alisida S.A. 2,160 10,231
* Allatini Industrial & Commercial Co. 15,370 25,012
Alte Technological Co. S.A. 85,048 32,768
* Altec Information & Communication Systems S.A. 80,278 46,934
Alumil Milonas S.A. 27,516 92,576
* Aluminum of Attica S.A. 104,982 40,455
Anek Lines S.A. 60,821 87,231
Arcadia Metal Industry C. Rokas S.A. 22,389 220,541
AS Co. S.A. 25,370 35,716
* Aspis Bank S.A. 45,604 156,621
* Aspis Pronia General Insurance S.A. 48,640 45,913
* Astir Palace Vouliagmenis S.A. 58,560 429,572
* Athens Medical Center S.A. 104,974 198,036
Athens Water Supply & Sewage Co. S.A. 53,245 367,140
Atlantic Super Market S.A. 13,640 24,526
Attica Enterprises S.A. Holdings 138,964 539,366
Attica Publications S.A. 16,674 101,891
Atti-Kat S.A. 88,984 53,300
Autohellas S.A. 44,980 185,566
Babis Vovos S.A. 50,982 774,287
Balafas Construction Holdings S.A. 15,200 4,450
Bank of Attica S.A. 115,721 657,908
Bank of Greece 9,296 1,176,042
Bank of Piraeus S.A. 163,829 2,573,981
Benrubi S.A. 11,121 199,458
Betanet S.A. 11,220 52,220
* Bitros Holdings S.A. 19,302 80,102
Byte Computers S.A. 17,230 47,610
Chipita S.A. 60,222 173,974
Commercial Bank of Greece 1,960 59,763
* Compucon Computer Applications S.A. 11,260 9,884
Computer Peripherals International S.A. 9,110 15,599
Cyclon Hellas S.A 18,131 18,082
Daios Plastics S.A. 16,350 125,687
Delta Holdings S.A. 33,747 256,002
Dionic S.A. 12,948 13,277
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Domiki Krittis S.A. 17,730 18,399
Dynamic Life S.A. 16,440 33,883
Edrasi Psalllidas Technical Co. S.A. 31,108 35,569
Egnatia Bank S.A. 117,107 412,602
El. D. Mouzakis S.A. 31,653 31,995
Elais Oleaginous Production S.A. 16,707 387,801
* Elbisco Holding S.A. 56,000 429,207
Elektrak S.A. 14,040 33,943
Elektroniki of Athens S.A. 21,560 82,864
Elgeka S.A. 18,590 47,136
Elmec Sport S.A. 64,256 152,481
Elton S.A. 18,640 28,511
* Empedos SA 15,974 4,458
Ethniki General Insurance Co. S.A. 118,768 625,466
* Etma Rayon S.A. 11,242 17,310
* Euro Reliance General Insurance 14,830 21,981
Eurodrip S.A. 11,620 31,484
Euromedica S.A. 33,300 67,134
* Europaiki Techniki 32,750 10,011
Everest S.A. 30,730 87,882
Evrofarma S.A. 9,500 22,056
F.G. Europe SA Common Registered Shares 4,536 19,921
* Fanco S.A. 10,110 9,397
* Forthnet S.A. 17,510 119,112
* Fourlis S.A. 64,420 408,552
Frigoglass S.A. 49,990 216,556
G.Polyhronos S.A. 10,580 14,763
Galaxidi Fish S.A. 12,940 9,477
General Construction Co. S.A. 34,649 271,762
General Commercial & Industry 24,060 25,023
* General Hellenic Bank 35,139 341,980
Germanos S.A. 61,810 1,756,239
Goody's S.A. 17,740 306,473
Halkor S.A. 121,226 321,998
Hatziioannou S.A. 44,200 74,026
Hellas Can Packaging Manufacturers S.A. 27,902 289,021
* Hellenic Cables S.A. 26,908 36,793
Hellenic Duty Free Shops S.A. 80,020 1,406,449
Hellenic Fabrics S.A. 17,110 42,161
Hellenic Sugar Industry S.A. 35,750 195,957
Hellenic Technodomiki S.A. 163,867 727,782
Heracles General Cement Co. 93,293 1,096,454
Hermes Real Estate S.A. 23,136 113,299
* Hippotour S.A. 12,155 15,605
Hyatt Regency S.A. 130,260 1,439,981
Iaso S.A. 49,300 281,461
Iktinos Hellas S.A. 6,500 19,648
Inform P. Lykos S.A. 20,610 79,516
Informatics S.A. 18,890 7,275
* Intersat S.A. 19,392 9,021
Intertech S.A. 12,236 40,990
Intracom Constructions S.A. 30,520 40,190
Intracom S.A. 172,366 906,690
* Ionian Hotel Enterprises 16,754 215,512
21
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Ipirotiki Software & Publications S.A. 14,380 33,073
* J Boutaris & Son Holding S.A. 28,150 34,376
J&P-Avax S.A. 100,626 571,941
Kalpinis Simos Steel Service Center 12,432 59,854
Karelia Tobacco Co., Inc. S.A. 2,160 172,235
Kathimerini S.A. 21,240 165,917
Katselis Sons S.A. 18,000 52,203
Kego S.A. 21,670 33,707
Kekrops S.A. 2,244 38,145
* Keramia-Allatini S.A. Industrielle Commerciale & Technique 10,368 9,883
* Klonatex Group S.A. Bearer Shares 20,351 28,655
Kordellou Brothers S.A. 12,300 28,330
* Lambrakis Press S.A. 107,586 509,488
* Lampsa Hotel Co. 19,051 139,190
* Lan-Net S.A. 19,045 27,078
* Lavipharm S.A. 39,294 65,180
Lazarides Vineyards S.A. 18,326 32,810
Light Metals Industry 37,502 100,769
* Logic Dis S.A. 77,230 35,916
* Loulis Mills S.A. 15,382 38,755
* Mailis (M.J.) S.A. 101,594 470,613
* Maritime Company of Lesvos S.A. 30,753 15,120
* Maxim Knitwear Factory C.M. 16,360 8,730
Medicon Hellas S.A. 2,860 17,515
Mesochoritis Bros. Construction Co. 23,700 9,764
Metka S.A. 59,820 351,687
Michaniki S.A. 98,065 237,152
Minerva Knitwear 5,140 16,310
Minoan Lines S.A. 77,309 192,210
MLS Multimedia S.A. 8,300 18,528
Mochlos S.A. 101,679 52,756
Motor Oil (Hellas) Corinth Refineries S.A. 152,870 2,055,589
Mytilineos Holdings S.A. 47,000 357,260
* N. Levederis S.A. 8,355 8,236
N.B.G. Real Estate Development Co. 134,960 757,637
* Naoussa Spinning Mills S.A. 21,832 27,833
Naytemporiki S.A. 26,080 61,698
* Neochimiki Lv Lavrentiadis S.A. 20,750 101,598
* Neorion-Syro's Shipyards S.A. 27,210 35,029
Nexans Hellas S.A. 3,003 11,291
Nikas S.A. 25,287 141,805
Notos Com.Holdings S.A. 94,554 370,751
Pantechniki S.A. 50,460 78,428
* Pegasus Publishing & Printing S.A. 58,590 116,102
Persefs S.A. Health Care 23,592 25,437
Petros Petropoulos S.A. 7,360 53,809
* Petzetakis S.A. 22,560 67,967
* Pilias S.A. 103,584 24,758
Pipeworks L. Girakian Profil S.A. 11,730 23,895
Piraeus Leasing 5,765 49,143
* Prodeftiki Technical Co. 32,257 16,724
* Promota Hellas S.A. 26,580 16,290
Rilken S.A. 1,982 17,113
* Sanyo Hellas S.A. 59,251 69,282
22
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Sarantis S.A. 43,940 264,084
Sato S.A. 28,850 27,966
Selected Textile Industry Assoc. S.A. 44,649 35,041
Sfakianakis S.A. 13,390 60,911
* Sheet Steel S.A. 25,850 10,696
* Shelman Hellenic-Swiss Wood S.A. 38,042 48,608
Silver and Baryte Ores Mining Co. S.A. 34,961 262,400
* Singular S.A. 54,600 169,888
Spyroy Agricultural House S.A. 22,258 24,588
* Stabilton S.A. 27,530 2,927
Strintzis Shipping Lines S.A. 131,240 148,407
Technical Olympic S.A. 180,370 987,825
* Technodomi M.Travlos Br. Com. & Constr. Co. S.A. 13,910 3,891
Teletypos S.A. Mega Channel 36,227 174,972
Terna Tourist Technical & Maritime S.A. 63,180 541,931
Themeliodomi S.A. 37,422 61,175
Thrace Plastics Co. S.A. 45,500 79,276
Uncle Stathis S.A. 10,999 82,479
Unisystems S.A. 41,820 87,796
Vardas S.A. 13,780 44,497
* Varvaressos S.A. European Spinning Mills 7,200 8,320
* Veterin S.A. 18,984 66,279
Viohalco S.A. 296,585 2,587,202
Vioter S.A. 61,470 76,040
* Vis Container Manufacturing Co. 4,259 13,251
* Zampa S.A. 830 12,450
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TOTAL COMMON STOCKS
(Cost $34,259,881) 37,775,206
------------------
PREFERRED STOCKS -- (0.0%)
Egnatia Bank S.A. 3,196 9,807
------------------
(Cost $8,592)
TOTAL -- GREECE
(Cost $34,268,473) 37,785,013
------------------
SPAIN -- (5.0%)
COMMON STOCKS -- (5.0%)
Abengoa SA 66,042 639,629
Adolfo Dominguez SA 3,700 80,698
Aldeasa SA 15,329 516,174
* Amper SA 56,800 311,566
* Avanzit SA 17,275 45,524
* # Azkoyen SA 52,500 464,363
Banco de Andalucia 9,800 919,248
Banco de Credito Balear SA 35,424 933,399
Banco de Valencia SA 191,814 5,136,773
Banco Guipuzcoano SA 21,194 675,968
Banco Pastor SA 34,300 1,119,684
* Baron de Ley SA 5,642 247,663
CAF (Construcciones y Auxiliar de Ferrocarriles SA) 7,500 599,733
Campofrio Alimentacion SA 92,800 1,461,714
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Cementos Portland SA 16,881 944,200
Compania de Distribucion Integral Logista SA 29,600 1,374,099
Cortefiel SA 57,093 810,853
* Dogi International Fabrics SA 4,000 22,335
* Dogi International Fabrics SA 2,000 11,167
* Duro Felguera SA 10,860 99,409
Elecnor SA 18,300 1,017,119
* Ercros SA 100,518 48,141
* Espanola del Zinc SA 29,250 65,836
* Estacionamientos Urbanos SA 4,200 0
# Europistas Concesionaria Espanola SA 174,940 1,176,816
Faes Farma SA 36,107 636,016
Funespana SA 4,500 50,039
Grupo Empresarial Ence SA 18,593 563,817
* Grupo Picking Pack SA 145,775 95,036
Hullas del Coto Cortes 8,666 115,175
Iberpapel Gestion SA 6,700 134,507
Inbesos SA 8,050 48,441
Indo Internacional SA 33,600 281,617
Indra Sistemas SA 75,200 1,181,436
Inmobiliaria Colonial SA ICSA 35,200 1,355,135
Inmobiliaria del Sur SA 378 62,295
* Inmobiliaria del Sur SA Issue 2004 37 6,230
Inmobiliaria Urbis SA 80,282 1,104,320
Lingotes Especiales SA 22,080 138,228
* LSB (La Seda de Barcelona SA) Series B 32,010 81,040
* Mecalux SA 9,500 87,192
Metrovacesa SA 744 35,442
Miquel y Costas y Miquel SA 4,891 309,638
Natra SA 14,979 81,832
* Nicolas Correa SA 15,750 73,718
Obrascon Huarte Lain SA 65,366 534,057
Pescanova SA 26,443 541,895
Prosegur Cia de Seguridad SA 45,049 823,545
Recoletos Grupo de Comunicacion SA 95,420 737,379
Sol Melia SA 112,700 1,057,063
# SOS Cuetara SA 20,902 892,215
Tavex Algodonera SA 31,944 127,481
* Tecnocom Telecomunicaciones y Energia SA 6,300 49,611
# Tele Pizza SA 163,225 321,461
Transportes Azkar, SA 35,477 283,296
# Tubacex SA 73,130 176,224
Tubos Reunidos SA 12,466 114,285
Unipapel SA 41,935 995,207
* Unipapel SA Issue 04 2,329 55,289
* Uralita SA 338,493 1,597,993
Vidrala SA, Alava 47,040 947,895
Viscofan Industria Navarra de Envolturas Celulosicas SA 97,492 925,749
------------------
TOTAL -- SPAIN
(Cost $15,762,077) 35,343,910
------------------
24
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DENMARK -- (5.0%)
COMMON STOCKS -- (5.0%)
Aarhus Oliefabrik A.S. Aeries A 4,950 502,558
* Alm. Brand A.S. 28,360 994,557
# Amagerbanken A.S. 2,734 401,617
Ambu International A.S. Series B 1,500 35,713
Amtssparekassen Fyn A.S. 2,243 419,709
AS Dampskibsselsk Torm 49,460 2,183,069
Bang & Olufsen Holding A.S. Series B 13,387 848,495
* # Bavarian Nordic A.S. 4,930 515,877
* Brodrene Hartmann A.S. Series B 5,865 113,448
Bryggerigruppen A.S. 8,515 546,814
Christian Hansen Holding A.S. Series B 10,855 1,243,044
Codan A.S. 43,400 2,222,991
Dalhoff, Larsen & Hornemann A.S. Series B 1,370 94,428
Danware A.S. 4,185 78,056
DFDS A.S., Copenhagen 11,760 559,857
DiskontoBanken A.S. 713 165,333
DSV, De Sammensluttede Vognmaend A.S. 22,630 1,467,948
East Asiatic Co., Ltd. 22,723 1,160,009
Edb Gruppen A.S. 3,230 70,639
* Fimiston Resources & Technology Ltd. 400 5,437
* # FLS Industries 73,180 1,177,535
Fluegger A.S. Series B 2,913 239,810
Foras Holding A.S. Series A 13,292 172,663
Forstaedernes Bank 4,322 356,789
* Genmab A.S. 28,629 490,099
* Glunz & Jensen A.S. 1,470 8,560
GN Great Nordic A.S. 210,980 2,180,407
H&H International A.S. Series B 1,140 248,818
Harboes Bryggeri A.S. 575 195,529
Hedegaard (Peder P.) A.S. 660 53,324
Hojgaard Holding A.S. Series B 2,500 89,696
* IC Co. A.S. 3,510 52,227
* Incentive A.S. 3,575 11,832
* Jyske Bank A.S. 75,520 2,712,614
Kjobenhavns Sommer Tivoli A.S. 580 259,802
Koebenhavns Lufthavne 9,910 1,818,859
# Kompan A.S. 230 47,389
Lan & Spar Bank A.S. 2,250 120,408
Lollands Bank 150 34,885
* # Neurosearch A.S. 9,160 388,976
NKT Holding A.S. 30,245 791,224
Nordjyske Bank A.S. 920 185,213
* NTR Holdings A.S. 1,130 9,734
Oestjydsk Bank 400 51,566
Ove Arkil Series B 270 37,431
Per Aarsleff A.S. Series B 1,545 81,559
* Pharmexa A.S. 12,940 61,993
Ringkjobing Bank 1,670 148,647
# Ringkjobing Landbobank 1,620 639,367
Rockwool, Ltd. 24,520 1,180,659
* # RTX Telecom A.S. 8,400 83,563
Salling Bank 250 25,473
25
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Sanistal A.S. Series B 1,786 129,639
* # SAS Danmark A.S. 34,300 285,324
Satair A.S. 1,350 28,102
Schouw & Co. A.S. 15,485 340,944
Simcorp A.S. 5,240 323,891
Sjaelso Gruppen A.S. 2,388 245,861
Skjern Bank A.S. 725 66,433
* Sondagsavisen A.S. 21,165 83,782
Spar Nord Holding 6,823 891,307
Sparbank Vest A.S. 6,600 344,469
Sparekassen Faaborg A.S. 481 158,996
Sydbank A.S. 8,172 1,551,616
Thrane & Thrane A.S. 5,258 219,443
* # TK Development 12,478 32,465
* Topdanmark A.S. 28,300 2,137,268
* Treka A.S. 8,498 150,420
Vestfyns Bank 200 26,137
Vestjysk Bank A.S. 10,800 413,474
VT Holdings Shares B 3,130 199,314
* Wessel & Vett Magasin du Nord A.S. Series C 2,102 61,261
------------------
TOTAL COMMON STOCKS
(Cost $17,197,739) 35,276,396
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* Danish Krone 14,559
------------------
(Cost $13,468)
TOTAL -- DENMARK
(Cost $17,211,207) 35,290,955
------------------
NORWAY -- (4.6%)
COMMON STOCKS -- (4.6%)
* Aker Kvaerner OGEP ASA 45,609 1,166,166
* # Aker Yards AS 28,121 578,891
Aktiv Kapital ASA 57,017 1,173,036
Arendals Fosse Kompani ASA 100 9,674
* Blom ASA 18,367 18,299
Bonheur ASA 16,850 732,731
* Choice Hotel Scandinavia ASA 27,740 103,332
* Corrocean ASA 19,321 10,060
# Det Norske Oljeselskap ASA Series A 88,945 411,970
* # DOF ASA 97,006 314,255
* # EDB Elektronisk Data Behandling ASA 149,417 1,123,659
Ekornes ASA 56,490 1,319,504
* # Eltek ASA 40,842 425,378
Expert ASA 48,758 469,286
Farstad Shipping ASA 60,790 775,460
* # Fjord Seafood ASA 783,483 332,513
* # Fred Olsen Energy ASA 91,600 1,171,059
Ganger Rolf ASA 6,690 263,285
Gresvig ASA 4,590 30,808
* Home Invest ASA 15,077 12,316
26
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# Kongsberg Gruppen ASA 49,500 709,074
Kverneland ASA 16,160 198,168
* # Merkantildata ASA 320,521 130,725
Natural ASA 10,143 65,943
# Nera ASA 187,753 500,478
* Nordic Semiconductor ASA 25,000 217,671
* Northern Offshore, Ltd. 214,000 97,867
* # Ocean Rig ASA 105,531 453,334
Odfjell ASA Series A 24,910 1,649,626
Olav Thon Eiendomsselskap ASA 8,320 502,698
* P4 Radio Hele Norge ASA 32,200 89,619
* Photocure ASA 26,690 200,883
Prosafe ASA 55,980 1,478,195
Rieber and Son ASA Series A 63,654 576,932
Schibsted ASA 112,960 3,140,732
* Sinvest ASA 6,220 18,340
Smedvig ASA Series A 83,580 1,259,758
* Software Innovation ASA 13,423 41,622
Solstad Offshore ASA 54,100 601,262
Steen and Stroem ASA 19,512 436,700
Storebrand ASA 183,330 1,632,445
Tandberg ASA Series A 217,280 2,463,681
* # Tandberg Data ASA 58,950 77,053
* Tandberg Storage ASA 48,450 19,422
* Tandberg Television ASA 90,430 696,180
* Telecomputing ASA 44,963 59,931
* # Tgs-Nopec Geophysical Co. ASA 40,910 944,697
Tomra Systems ASA 294,480 1,584,935
* Tybring-Gjed ASA 145,146 63,123
* Unit 4 Agresso NV 4,620 52,082
Veidekke ASA 21,846 325,025
Visma ASA 47,393 543,488
Wilhelmsen (Wilhelm), Ltd. ASA Series A 60,800 1,381,028
------------------
TOTAL COMMON STOCKS
(Cost $18,720,500) 32,654,399
------------------
RIGHTS/WARRANTS -- (0.0%)
* Ementor ASA Rights 12/01/04 320,521 32,991
------------------
(Cost $69,669)
INVESTMENT IN CURRENCY -- (0.0%)
* Norwegian Krone 11,887
------------------
(Cost $10,735)
TOTAL -- NORWAY
(Cost $18,800,904) 32,699,277
------------------
BELGIUM -- (3.9%)
COMMON STOCKS -- (3.9%)
* Abfin SA 2,560 0
Ackermans & Van Haaren SA 32,186 1,092,987
* Arinso International NV 14,739 242,647
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Banque Nationale de Belgique 710 3,005,926
Barco (New) NV 12,051 1,110,434
Bekaert SA 23,290 1,822,070
Brantano NV 2,060 112,344
Brederode SA 12,180 312,945
Carrieres Unies Porphyre 20 34,597
CFE (Compagnie Francois d'Entreprises) 2,080 686,191
Cie Martime Belge SA 8,237 2,386,893
Cofinimmo SA 9,778 1,565,740
Commerciale de Brasserie SA COBRHA 115 162,227
Deceuninck SA 63,700 1,932,919
D'Ieteren SA 5,831 1,103,575
Distrigaz 57 218,705
* Docpharma SA NV 4,489 206,344
Dolmen Computer Applications 1,476 21,445
Duvel Moorgat NV 5,019 163,212
EVS Broadcast Equipment SA 1,100 116,198
Exmar NV 3,677 213,706
Floridienne NV 2,033 154,314
Glaces de Moustier-sur-Sambre SA 13,370 558,734
* ICOS Vision Systems Corp. NV 6,053 143,369
* Immobel (Cie Immobiliere de Belgique SA) 4,600 216,282
* Innogenetics NV 1,572 28,052
* Integrated Production & Test Engineering NV 4,380 18,158
* Ion Beam Application SA 23,058 249,525
* Ipso-Ilg SA 5,990 58,242
Keytrade Bank SA 2,800 86,096
Kinepolis Group NV 5,020 166,799
Lotus Bakeries NV 650 83,972
* Melexis NV 47,001 595,069
Metiers Automatiques Picanol 16,120 386,237
* Neuhaus NV 670 36,047
Nord-Sumatra Investissements SA 650 198,885
Omega Pharma SA 26,708 1,367,112
* Option NV 5,619 195,477
Papeteries de Catala SA 315 35,585
Quick Restaurants SA 19,501 342,399
* # Real Software SA 10,280 9,164
Recticel SA 22,870 263,415
Resilux NV 1,754 114,145
Rosier SA 655 103,340
Roularta Media Groep 9,837 650,933
* Sait Radioholland 7,313 47,917
Sapec SA 3,635 305,625
* Sapec SA VVPR 75 409
Sioen Industries 21,502 273,718
* SIPEF (Societe Internationale de Plantations & de Finance), Anvers 1,545 260,820
* Solvus SA 38,344 712,455
* Solvus SA Interim Strip VVPR 18,176 242
Spector Photo Group SA 5,408 52,785
* Systemat SA 6,330 49,306
Telindus Group SA 39,392 403,833
Ter Beke NV 2,281 183,399
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Tessenderlo Chemie 28,984 1,207,984
UNIBRA 1,600 155,732
Union Miniere SA 9,586 867,986
Van de Velde NV 2,683 413,286
VPK Packaging Group SA 7,185 234,423
Warehouses de Pauw Sicafi 6,608 298,116
TOTAL COMMON STOCKS
(Cost $16,342,460) 28,040,492
------------------
RIGHTS/WARRANTS -- (0.0%)
* Belge des Betons Contingent Rights 8,500 0
------------------
(Cost $0)
TOTAL -- BELGIUM
(Cost $16,342,460) 28,040,492
------------------
AUSTRIA -- (3.1%)
COMMON STOCKS -- (3.1%)
Andritz AG 13,609 955,807
* Austria Email AG 715 3,554
* Austrian Airlines/Oesterreichische Luftverkehrs-Aktiengesellschaft 42,784 561,704
Bank Fuer Kaernten und Steiermark AG 520 64,618
* # Betandwin.com Interactive Entertainment AG 12,749 356,931
Bohler Uddeholm AG 11,195 1,326,871
BWT AG 21,819 755,555
* Ca Immobilien Invest AG 34,838 926,602
Constantia-Verpackungen AG 19,123 503,472
* Demeter Vermoegensverwaltung 15,000 0
Flughafen Wien AG 25,698 1,845,515
* Immofinanz Immobilien Anlagen AG 165,130 1,521,265
Lenzing AG 3,948 902,834
Manner (Josef) & Co. AG 870 42,146
Mayr-Melnhof Karton AG 11,760 1,881,113
Oberbank AG 5,384 562,737
Palfinger AG 10,383 502,625
* RHI AG, Wien 19,649 527,737
Rosenbauer International AG 1,530 109,226
* Sparkassen Immobilien AG 29,760 319,732
Ubm Realitaetenentwicklung AG 1,440 52,105
Uniqa Versicherungen AG 128,555 1,770,339
* # VA Technologie AG 17,392 1,356,003
Voestalpine AG 30,095 2,152,803
Wienerberger AG 63,642 2,831,163
* Wolford AG 4,900 116,524
TOTAL COMMON STOCKS
(Cost $12,188,779) 21,948,981
------------------
RIGHTS/WARRANTS -- (0.0%)
* Jenbacher AG Rights 03/31/08 7,860 0
* Sparkassen Immobilien AG Profit Share Certificate Rights 10/28/04 29,760 395
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* Sparkassen Immobilien AG Rights 10/28/04 29,760 395
------------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 790
------------------
TOTAL -- AUSTRIA
(Cost $12,188,779) 21,949,771
------------------
IRELAND -- (2.5%)
COMMON STOCKS -- (2.5%)
Abbey P.L.C. 25,557 271,655
* Arcon International Resources P.L.C. 14,375 7,072
* Ardagh P.L.C. 14,262 35,185
DCC P.L.C. 91,965 1,926,902
* Dragon Oil P.L.C. 159,204 164,813
FBD Holdings P.L.C. 10,822 267,522
Fyffes P.L.C. 380,502 1,052,182
Glanbia P.L.C. 321,765 1,156,208
Grafton Group P.L.C. 253,939 2,575,097
Greencore Group P.L.C. 218,422 841,849
Heiton Holdings P.L.C. 51,677 484,201
* Horizon Technology Group P.L.C. 19,455 28,530
IAWS Group P.L.C. 105,879 1,554,576
IFG Group P.L.C. 52,309 54,894
Independent News & Media P.L.C. 645,069 1,912,359
* Iona Technologies P.L.C. 21,281 111,158
Irish Intercontental Group P.L.C. 18,872 280,648
* IWP International P.L.C. 39,611 9,476
Jurys Hotel Group P.L.C. 69,061 1,073,157
Kingspan Group P.L.C. 183,188 1,638,520
McInerney Holdings P.L.C. 33,991 273,312
Paddy Power P.L.C. 49,663 715,367
Readymix P.L.C. 109,762 262,582
United Drug P.L.C. 190,860 870,122
* Waterford Wedgwood P.L.C. 1,026,650 107,853
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TOTAL -- IRELAND
(Cost $9,337,566) 17,675,240
------------------
PORTUGAL -- (1.6%)
COMMON STOCKS -- (1.6%)
* Corticeira Amorim Sociedad Gestora Participacoes Sociais SA 194,100 281,248
Efacec Capital SGPS SA 60,600 188,237
* Gescartao SGPS SA 3,064 43,095
Ibersol SGPS SA 14,462 89,384
* Impresa Sociedade Gestora de Participacoes Socias SA 190,166 1,307,460
* Investimentos Participacoes e Gestao SA Inapa 43,702 159,387
Jeronimo Martins (Estabelecimentos Jeronimo Martins & Filho
* Administracao e Participacoes Financeiros SA) 170,757 2,172,482
Mota-Engil SGPS SA 250,900 609,574
* Novabase SGPS 56,005 451,259
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* ParaRede-SGPS SA 44,939 22,157
Portucel-Empresa Produtora de Pasta de Papel SA 466,977 951,402
Sag Gest - Solucoes Automovel Globais SGPS SA 235,500 398,057
Salvador Caetano - Industrias Metalurgicas e Veiculos de Transporte SA 54,900 275,754
* Sociedad Construcoes Soares da Costa SA 19,200 48,750
Sociedade de Investimento e Gestao SGPS SA 160,396 885,790
Sonae SGPS SA 1,079,900 1,421,066
* Sonaecom SGPS SA 321,175 1,509,706
Teixeira Duarte Engenharia e Construcoes SA 609,000 898,593
------------------
TOTAL -- PORTUGAL
(Cost $6,643,075) 11,713,401
------------------
UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
* Epicor Software Corp. 2,171 34,237
* InFocus Corp. 10,455 70,048
------------------
TOTAL -- UNITED STATES
(Cost $214,919) 104,285
------------------
VALUE+
------------------
EMU -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
* Euro Currency 67,307
------------------
(Cost $64,998)
FACE
AMOUNT VALUE+
------------ ------------------
(000)
TEMPORARY CASH INVESTMENTS -- (8.9%)
Repurchase Agreement, Deutsche Bank Securities 1.95%, 12/01/04
(Collateralized by $60,319,792 U.S. Treasury Note 1.625%, 03/31/05,
valued at $60,194,931) to be repurchased at $60,198,191 (Cost
$60,194,930) ^ 60,195 60,194,930
Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04
(Collateralized by $3,177,000 FNMA Notes 2.95%, 11/14/07, valued at
$3,181,457) to be repurchased at $3,137,164 (Cost $3,137,000) 3,137 3,137,000
------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $63,331,930) 63,331,930
------------------
TOTAL INVESTMENTS - (100.0%)
(Cost $454,300,691) $ 713,040,922
------------------
----------
+ See Note B to Financial Statements.
31
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
32
THE EMERGING MARKETS SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
[Download Table]
SHARES VALUE+
------------ ------------------
SOUTH AFRICA -- (11.1%)
COMMON STOCKS -- (11.1%)
ABSA Group, Ltd. 480,421 $ 5,831,955
African Oxygen, Ltd. 293,197 1,162,348
Amalgamated Beverage Industries, Ltd. 97,702 1,536,131
Anglo American Platinum Corp., Ltd. 210,559 7,712,550
Anglo American PLC 667,281 15,937,778
Anglogold, Ltd. 222,894 8,928,836
* Anglovaal Mining, Ltd. 93,775 476,090
AVI, Ltd. 178,834 740,400
Barloworld, Ltd. 117,583 1,991,299
Bidvest Group, Ltd. 197,103 2,565,102
* Dimension Data Holdings PLC 246,926 161,145
* Discovery Holdings, Ltd. 299,059 959,173
Edgars Consolidated Stores, Ltd. 39,111 1,921,164
Firstrand, Ltd. 4,491,809 10,130,981
Gold Fields, Ltd. 306,889 4,240,209
Harmony Gold Mining Co., Ltd. 200,055 2,072,705
Impala Platinum Holdings, Ltd. 35,459 3,030,461
Imperial Holdings, Ltd. 122,567 2,157,872
Investec, Ltd. 23,111 658,184
Iscor, Ltd. 379,417 4,257,576
JD Group, Ltd. 87,800 981,918
Kumba Resources, Ltd. 15,092 123,420
Liberty Group, Ltd. 216,712 2,383,738
* Massmart Holdings, Ltd. 105,794 934,346
MTN Group, Ltd. 1,045,719 7,304,273
Nampak, Ltd. 354,006 914,649
Naspers, Ltd. Series N 166,481 1,867,251
Nedcor, Ltd. 333,048 4,336,670
* Network Healthcare Holdings, Ltd. 1,152,562 1,032,173
Old Mutual PLC 1,956,729 4,841,598
Pick'n Pay Stores, Ltd. 440,827 1,787,023
Pretoria Portland Cement Co., Ltd. 49,951 2,069,569
Sanlam, Ltd. 1,467,709 3,065,902
Sappi, Ltd. 131,990 1,762,411
Standard Bank Group, Ltd. 634,566 6,608,059
Steinhoff International Holdings, Ltd. 745,364 1,530,546
Telkom SA, Ltd. 500,646 8,563,415
Tiger Brands, Ltd. 85,239 1,469,237
* Woolworths Holdings, Ltd. 523,255 952,986
------------------
TOTAL -- SOUTH AFRICA
(Cost $96,979,478) 129,001,143
------------------
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SHARES VALUE+
------------ ------------------
BRAZIL -- (11.1%)
PREFERRED STOCKS -- (9.7%)
Ambev Cia de Bebidas das Americas 12,453,835 3,218,767
Aracruz Celulose SA Series B 711,999 2,654,290
Banci Itau Holding Financeira SA 75,900 9,877,883
Banco Bradesco SA 120,418 7,880,296
Brasil Telecom Participacoes SA 230,843,872 1,714,355
Brasil Telecom SA 626,730,875 3,050,705
Brasileira de Distribuicao Pao de Acucar 58,650,000 1,438,219
* Braskem SA 81,400,000 3,543,294
Cemig Cia Ene 96,800,000 2,242,059
* Companhia Siderurgica Paulista 65,000 27,721
Compania Paranaense de Energia Series B 100,000,000 460,294
Embraer Empresa Brasileira de Aeronautica 717,421 5,037,772
Embratel Participacoes SA 143,582,922 335,731
* Empresa Nasional de Comercio Redito e Participacoes SA 480,000 1,500
Gerdau SA 302,604 5,446,872
Investimentos Itau SA 3,300,893 5,157,645
Klabin SA 682,875 1,205,073
* Lojas Renner SA 800,000 9,559
Metalurgica Gerdau SA 65,900 1,550,830
Siderurgica Belgo-Mineira 9,240,000 4,738,897
Siderurgica de Tubarao Sid Tubarao 58,620,000 3,060,309
Siderurgica Paulista Casipa Series B 325 5,741
Suzano Bahia Sul Papel e Celullose SA 143,545 646,480
Tele Centro Oeste Celular Participacoes SA 230,447,518 773,524
Tele Norte Leste Participacoes SA 180,034 2,763,390
Telemar Norte Leste SA 225,100 5,260,057
* Telesp Celular Participacoes 1,404,441,089 3,691,821
Telesp Participacoes SA 577,200,000 10,313,206
Telesudeste Celular Participacoes SA 81,000,000 181,654
Unibanco-Uniao de Bancos Brasileiros SA 20,000 48,456
Unibanco-Uniao de Bancos Brasileiros SA 513,130 2,839,194
Usinas Siderurgicas de Minas Gerais SA 178,839 3,612,942
Vale do Rio Doce Series A 819,580 16,873,706
Vale do Rio Doce Series B 81,160 0
Votorantim Celulose e Papel SA 14,267,325 1,075,347
Weg SA 489,800 1,269,518
------------------
TOTAL PREFERRED STOCKS
(Cost $67,635,358) 112,007,107
------------------
COMMON STOCKS -- (1.4%)
Ambev Cia de Bebidas das Americas 5,420,000 2,704,022
Brasil Telecom Participacoes SA 59,520,574 566,758
Companhia Siderurgica Nacional 241,404 4,597,326
Cpfl Geracao Energia SA 3,140,000 8,081
* Embratel Participacoes 57,550,000 327,316
Petroquimica do Sul Copesul 5,276,000 620,706
Souza Cruz Industria e Comercio 461,300 5,884,967
Tele Centro Oeste Celular Participacoes SA 59,246,130 271,182
* Tele Norte Celular Participacoes 57,624,254 13,982
Tele Norte Leste Participacoes SA 59,254 925,844
2
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* Tele Sudeste Celular Participacoes SA 3,072,951 5,649
Tractebel Energia SA 96,601,189 332,500
------------------
TOTAL COMMON STOCKS
(Cost $9,281,143) 16,258,333
------------------
RIGHTS/WARRANTS -- (0.0%)
* Telesp Celular Participacoes SA Preferred Rights 12/17/04 479,859,123 372,244
------------------
(Cost $0)
TOTAL -- BRAZIL
(Cost $76,916,501) 128,637,684
------------------
SOUTH KOREA -- (10.9%)
COMMON STOCKS -- (10.9%)
Amorepacific Corp. 4,120 797,087
CJ Corp. 8,690 575,263
Daegu Bank Co., Ltd. 40,830 283,494
Daelim Industrial Co., Ltd. 14,090 647,094
Daewoo Engineering & Construction Co., Ltd. 208,740 1,103,748
* Daewoo Heavy Industries & Machinery, Ltd. 91,180 775,652
* Daewoo Securities Co., Ltd. 56,445 184,861
Daewoo Shipbuilding & Marine Engineering Co., Ltd. 108,840 1,604,210
Daishin Securities Co., Ltd. 5,340 65,473
Dongkuk Steel Mill Co., Ltd. 14,670 269,181
Doosan Heavy Industries & Construction Co., Ltd. 18,360 236,420
* GS Holdings Corp. 42,945 923,614
Halla Climate Control Corp. 41,670 390,891
Hanjin Shipping Co., Ltd. 31,470 723,077
Hankook Tire Manufacturing Co., Ltd. 61,950 624,777
Hanwha Chemical Corp. 32,000 311,500
Hite Brewery Co., Ltd. 10,890 880,635
Hyundai Development Co. 27,930 456,227
Hyundai Heavy Industries Co., Ltd. 36,910 1,054,469
* Hyundai Merchant Marine Co., Ltd. 58,140 888,967
Hyundai Mobis 39,820 2,362,812
Hyundai Motor Co., Ltd. 95,919 4,707,393
* Hyundai Securities Co., Ltd. 61,090 244,731
INI Steel Co., Ltd. 38,220 500,986
* Kangwon Land, Inc. 122,360 1,618,769
Kia Motors Corp. 217,640 2,068,476
* Kookmin Bank 139,085 5,251,839
Korea Electric Power Corp. 401,210 9,981,231
* Korea Exchange Bank 412,800 3,102,899
Korea Gas 56,390 1,850,052
* Korean Air Co., Ltd. 35,500 621,519
KT Corp. 162,170 6,523,746
KT&G Corp. 94,990 3,022,222
Kumgang Korea Chemical Co., Ltd. 5,120 587,700
* LG Card Co., Ltd. 169,320 2,415,167
LG Chemical Investment, Ltd. 107,005 1,634,257
LG Chemical, Ltd. 28,206 1,166,244
LG Electronics, Inc. 66,080 3,965,827
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LG Engineering & Construction Corp. 18,870 489,113
* LG Investment & Securities Co., Ltd. 40,060 289,723
LG Petrochemical Co., Ltd. 18,420 459,439
Lotte Chilsung Beverage Co., Ltd. 400 310,091
* NCsoft Corp. 8,770 793,028
Nong Shim Co., Ltd. 2,550 544,395
POSCO 35,010 6,539,733
Pusan Bank 50,610 391,019
S1 Corp. 17,658 571,414
Samsung Corp. 48,410 702,892
* Samsung Electro-Mechanics Co., Ltd. 32,707 847,291
Samsung Electronics Co., Ltd. 51,538 21,236,622
Samsung Fire and Marine Insurance, Ltd. 21,719 1,623,959
Samsung Heavy Industries Co., Ltd. 85,610 481,057
Samsung SDI Co., Ltd. 20,352 2,076,781
Samsung Securities Co., Ltd. 22,530 424,746
* Samsung Techwin Co., Ltd. 28,000 203,431
* Seoul Bank 90,420 2,396,319
Shinhan Financial Group Co., Ltd. 151,242 3,162,538
Shinsegae Co., Ltd. 6,450 1,815,351
SK Corp., Ltd. 56,884 3,577,878
SK Telecom Co., Ltd. 45,435 8,519,611
S-Oil Corp. 75,660 4,748,066
* Ssangyong Motor Co. 45,930 281,478
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TOTAL -- SOUTH KOREA
(Cost $74,443,776) 126,908,485
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MEXICO -- (10.4%)
COMMON STOCKS -- (10.4%)
Alfa S.A. de C.V. Series A 614,990 3,045,712
America Movil S.A. de C.V. Series L 7,988,600 18,614,628
* America Telecom S.A. de C.V. Series A 4,184,776 10,399,737
* Carso Global Telecom S.A. de C.V. Telecom Series A1 3,141,271 4,980,482
Cementos de Mexico S.A. de C.V. Series B 1,327,717 8,562,292
Coca-Cola Femsa S.A. de C.V. Series L 1,310,600 2,861,274
* Consorcio Ara S.A. 157,500 463,658
Controladora Comercial Mexicana S.A. de C.V. Series B 633,700 710,085
* Corporacion Interamericana de Entramiento S.A. de C.V. Series B 75,000 203,086
* Corporacion Mexicana de Restaurantes S.A. de C.V. Series B 1,107 148
Corporativo Fragua S.A. de C.V. Series B 21 75
* Desc S.A. de C.V. Series B 619,841 167,842
El Puerto de Liverpool S.A. Series C1 339,500 538,277
Embotelladora Arca SA de CV , Mexico 466,500 868,448
* Empresas ICA Sociedad Controladora S.A. de C.V. 623,700 222,775
Empresas la Moderna S.A. de C.V. Series A 120,000 12,613
Fomento Economico Mexicano Series B & D 554,000 2,640,527
Gruma S.A. de C.V. Series B 90,406 189,078
Grupo Carso S.A. de C.V. Series A-1 981,109 4,797,727
Grupo Continental S.A. 358,600 587,725
Grupo Elektra S.A. de C.V. 127,000 1,195,707
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Grupo Financiero del Norte S.A. Series C 549,084 3,081,238
Grupo Financiero GBM Atlantico S.A. de C.V. Series L 22,746 6,078
Grupo Financiero Inbursa S.A. de C.V. Series O 2,822,959 5,277,922
* Grupo Gigante S.A. de C.V. Series B 117,282 81,484
Grupo Industrial Bimbo S.A. de C.V. Series A 1,377,300 3,313,592
Grupo Industrial Maseca S.A. de C.V. Series B 229,000 110,148
Grupo Modelo S.A. de C.V. Series C 2,090,400 5,479,811
* Grupo Nutrisa S.A. de C.V. 129 46
* Grupo Qumma S.A. de C.V. Series B 1,591 25
Grupo Televisa S.A. (Certificate Representing Series A, Series D &
Series L) 1,623,900 5,043,792
* Grupo Tribasa S.A. de C.V. 2,120 0
* Hylsamex S.A. de C.V. Series B 153,914 449,674
Industrias Penoles S.A. de C.V. 247,800 1,291,229
Kimberly Clark de Mexico S.A. de C.V. Series A 749,800 2,504,509
* Nueva Grupo Mexico S.A. de C.V. Series B 776,727 3,753,307
Organizacion Soriana S.A. de C.V. Series B 654,600 2,250,657
Telefonos de Mexico S.A. Series A 100,000 175,117
Telefonos de Mexico S.A. Series L 6,971,000 12,170,183
TV Azteca S.A. de C.V. Series A 1,832,100 1,236,985
* US Commercial Corp. S.A. de C.V. 223,000 94,152
Vitro S.A. 121,600 112,645
Wal-Mart de Mexico S.A. de C.V. Series V 3,999,535 13,715,643
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TOTAL COMMON STOCKS
(Cost $81,116,490) 121,210,133
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INVESTMENT IN CURRENCY -- (0.0%)
* Mexican Peso 15,482
------------------
(Cost $15,009)
TOTAL -- MEXICO
(Cost $81,131,499) 121,225,615
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TAIWAN -- (10.3%)
COMMON STOCKS -- (10.3%)
* Accton Technology Corp. 99,296 40,032
Acer, Inc. 859,883 1,309,553
* Advanced Semiconductor Engineering, Inc. 1,794,396 1,322,715
Advantech Co., Ltd. 96,254 220,265
Amtran Technology Co., Ltd. 72,887 29,375
* Arima Computer Corp. 178,800 52,182
Asia Cement Corp. 830,750 544,459
* Askey Computer Co., Ltd. 63,811 32,892
Asustek Computer, Inc. 1,152,062 2,651,836
Au Optronics Corp. 2,194,487 2,863,460
Benq Corp. 998,160 1,031,790
Catcher Co., Ltd. 45,600 135,022
Cathay Financial Holdings Co., Ltd. 3,854,529 7,391,350
Cathay Real Estate Development Co., Ltd. 447,213 241,726
* Chang Hwa Commercial Bank 2,102,796 1,306,008
Cheng Shin Rubber Industry Co., Ltd. 404,437 501,228
Cheng Uei Precision Industry Co., Ltd. 43,136 82,400
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Chi Mei Optoelectronic Corp. 2,006,177 2,494,148
Chicony Electronics Co., Ltd. 96,288 87,819
China Airlines 829,157 474,329
* China Development Financial Holdong Co., Inc. 5,111,000 2,478,819
China Motor Co., Ltd. 621,628 685,984
China Steel Corp. 4,855,753 5,338,583
Chinatrust Financial Holdings Co., Ltd. 2,427,473 2,767,333
* Chungwa Picture Tubes Co., Ltd. 2,978,298 1,242,047
CMC Magnetics Corp. 1,356,400 634,620
Compal Electronics 1,452,372 1,386,643
* Compeq Manufacturing Co., Ltd. 131,300 46,564
* Cosmos Bank Taiwan 478,000 221,618
CTB Financial Holding Co., Ltd. 5,160,535 3,353,865
Delta Electronics Industrial Co., Ltd. 733,228 1,136,120
D-Link Corp. 145,122 155,967
E.Sun Financial Holding Co., Ltd. 1,220,744 898,850
Elitegroup Computer Systems Co., Ltd. 105,787 50,594
Eternal Chemical Co., Ltd. 93,000 56,969
* Eva Airways Corp. 858,289 376,760
Evergreen Marine Corp., Ltd. 1,061,382 997,451
Far East Textile, Ltd. 1,983,668 1,536,800
Far Eastern International Bank 492,000 293,482
* First Financial Holding Co., Ltd. 2,581,000 2,124,813
Formosa Chemicals & Fiber Co., Ltd. 2,651,090 4,927,373
Formosa Plastics Corp. 2,483,210 3,957,059
Formosa Taffeta Co., Ltd. 436,767 201,213
Fu Sheng Industria 203,035 307,983
Fubon Financi 4,386,052 4,386,396
Fuh-Hwa Financial Holding Co., Ltd. 905,976 445,432
Giga-Byte Technology Co., Ltd. 167,160 199,594
High Tech Computer Corp. 81,600 327,555
Hon Hai Precision Industry Co., Ltd. 655,306 2,629,547
Hotai Motor Co., Ltd. 171,000 341,513
* Hsinchu International Bank 382,800 242,486
Hua Nan Financial Holding Co., Ltd. 2,583,320 2,125,601
International Bank of Taipei 822,928 572,219
Inventec Corp. 674,888 311,311
King Yuan Electronics Co., Ltd. 136,182 88,103
Kinpo Electronics, Inc. 204,336 87,099
Largan Precision Co., Ltd. 27,500 160,393
Lite-On Technology Corp. 998,010 1,006,724
* Macronix International Co., Ltd. 1,547,500 336,008
Media Tek, Inc. 337,730 2,154,659
Micro-Star International Co., Ltd. 198,770 119,342
Mitac International Corp. 166,000 76,797
* Mosel Vitelic Inc. Co., Ltd. 300,826 20,917
Nan Ya Plastic Corp. 3,229,625 4,632,041
* Nanya Technology Co., Ltd. 1,789,989 1,277,944
Nien Hsing Textile Co., Ltd. 95,000 91,405
Nien Made Enterprise Co., Ltd. 57,876 84,852
Optimax Technology Corp. 84,915 189,064
Oriental Union Chemical Corp. 122,958 128,996
* Pacific Electric Wire & Cable Corp. 233,200 3,763
Pihsiang Machinery Mfg. Co., Ltd. 33,742 67,867
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Pou Chen Corp. 731,859 615,551
Premier Image Technology Corp. 145,740 112,133
President Chain Store Corp. 400,260 594,216
* Q-Run Technology Co., Ltd. 66,200 129,881
Quanta Computer, Inc. 1,579,308 2,560,962
* Quanta Display, Inc. 1,577,000 839,814
Realtek Semiconductor Corp. 194,001 203,380
Ritek Corp. 580,204 207,596
Shin Kong Fin 1,252,056 1,108,284
* Silicon Integrated Systems Corp. 365,431 129,352
Siliconware Precision Industries Co., Ltd. 824,200 635,297
SinoPac Holdings Co., Ltd. 1,647,096 912,598
Sunplus Technology Co., Ltd. 316,145 438,580
Synnex Tech International Corp. 326,680 479,780
Systex Corp., Ltd. 167,687 55,815
Taishin Financial Holdings Co., Ltd. 1,998,135 1,804,337
* Taiwan Business Bank 863,120 316,003
Taiwan Cement Corp. 1,023,731 614,413
Taiwan Glass Ind. Corp. 420,079 383,730
Taiwan Life Insurance Co., Ltd 101,200 165,934
Taiwan Semiconductor Manufacturing Co., Ltd. 10,081,936 14,594,208
Taiwan Styrene Monomer Corp. 84,700 62,443
* Tatung Co., Ltd. 1,568,000 581,422
Teco Electric & Machinery Co., Ltd. 501,000 152,420
* The Farmers Bank of China 432,375 145,528
Tong Yang Industry Co., Ltd. 78,492 118,093
Transcend Information, Inc. 35,187 68,304
U-Ming Marine Transport Corp. 253,050 414,012
Uni-President Enterprises Corp. 1,495,020 734,616
* United Microelectronics Corp. 7,413,611 4,564,112
* Via Technologies, Inc. 342,245 184,427
* Walsin Lihwa Corp. 1,338,000 702,081
Wan Hai Lines Co., Ltd. 615,934 609,496
Waterland Financial Holdings 572,000 222,764
* Winbond Electronics Corp. 1,682,000 642,258
Wintek Corp. 53,000 48,479
Ya Hsin Industrial Co., Ltd. 223,683 205,301
* Yageo Corp. 608,440 206,371
Yang Ming Marine Transport Corp. 1,007,894 903,452
Yieh Phui Enterprise Co., Ltd. 248,300 174,804
Yuen Foong Yu Paper Manufacturing Co., Ltd. 383,022 186,985
Yulon Motor Co., Ltd. 584,753 640,584
Zyxel Communication Corp. 97,980 222,570
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TOTAL COMMON STOCKS
(Cost $108,748,015) 118,790,113
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INVESTMENT IN CURRENCY -- (0.0%)
* Taiwan Dollar 176,469
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(Cost $171,829)
TOTAL -- TAIWAN
(Cost $108,919,844) 118,966,582
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MALAYSIA -- (6.8%)
COMMON STOCKS -- (6.8%)
AMFB Holdings Berhad 394,500 664,275
AMMB Holdings Berhad 1,347,731 1,212,131
* Aokam Perdana Berhad 16 5
Berjaya Sports Toto Berhad 746,800 813,061
British American Tobacco Berhad 231,400 2,693,641
CIMB Berhad 199,700 270,285
Commerce Asset Holding Berhad 1,951,700 2,495,011
* Digi.Com Berhad 597,062 855,339
Diversified Resources Berhad 581,000 345,412
Gamuda Berhad 510,000 710,749
Genting Berhad 537,600 2,614,303
Golden Hope Plantations Berhad 900,300 966,185
Highlands and Lowlands Berhad 107,500 101,214
Hong Leong Bank Berhad 1,262,750 1,860,318
Hong Leong Credit Berhad 1,012,629 1,234,592
Hong Leong Properties Berhad 175,328 28,103
IJM Corp. Berhad 196,400 241,822
IOI Corp. Berhad 771,100 1,927,508
IOI Oleochemical Industries Berhad 22,041 55,084
IOI Properties Berhad 151,300 308,318
Kuala Lumpur Kepong Berhad 590,800 1,070,785
Magnum Corp. Berhad 1,115,300 741,706
Malakoff Berhad 616,400 1,127,951
Malayan Banking Berhad 2,723,700 8,591,737
Malayan Cement Berhad 2,153,100 438,583
Malaysia Mining Corp. Berhad 828,700 466,613
Malaysian Airlines System Berhad 1,090,600 1,289,482
Malaysian International Shipping Corp. (Foreign) 1,192,566 4,606,183
Malaysian Pacific Industries 163,000 637,753
Malaysian Plantations Berhad 520,800 323,121
Maxis Communications Berhad 1,015,300 2,468,833
* MBF Holdings Berhad 7,050 417
Mentakab Rubber Co. (Malaya) Berhad 1,100 791
Nestle (Malaysia) Berhad 176,200 1,125,758
Oriental Holdings Berhad 215,300 252,572
Oyl Industries Berhad 100,100 1,047,114
Petronas Dagangan Berhad 386,700 752,855
Petronas Gas Berhad 1,736,600 3,336,742
Plus Expressways Berhad 1,766,700 1,291,475
PPB Group Berhad 441,200 765,911
Proton Holdings Berhad 389,000 931,553
Public Bank Berhad 1,550,201 3,237,647
Resorts World Berhad 881,600 2,235,988
RHB Capital Berhad 1,431,500 903,212
Shell Refining Co. Federation of Malaysia Berhad 104,700 245,207
* Silverstone Corp. Berhad 11,587 1,157
Sime Darby Berhad (Malaysia) 1,776,400 2,825,512
Southern Bank Berhad 48,440 40,497
Southern Bank Berhad (Foreign) 1,062,937 905,505
SP Setia Berhad 257,300 272,110
Star Publications (Malaysia) Berhad 160,600 287,188
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Telekom Malaysia Berhad 2,421,800 7,640,956
Tenaga Nasional Berhad 2,504,900 7,445,967
* Time Dotcom Berhad 1,550,000 282,832
UMW Holdings Berhad 340,833 484,348
YTL Corp. Berhad 1,164,762 1,562,742
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TOTAL -- MALAYSIA
(Cost $67,790,034) 79,036,159
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TURKEY -- (6.6%)
COMMON STOCKS -- (6.6%)
Akbank T.A.S. 2,264,998,827 10,743,503
Anadolu Efes Biracilik ve Malt Sanayi A.S. 182,246,814 2,972,428
* Arcelik A.S. 1,549,702,646 8,335,271
* Dogan Sirketler Grubu Holdings A.S. 722,062,463 1,251,785
* Dogan Yayin Holding A.S. 282,794,524 1,087,249
Enka Insaat Ve Sanayi A.S. 164,940,663 4,251,126
Eregli Demir ve Celik Fabrikalari Turk A.S. 1,595,341,000 6,625,048
Ford Otomotiv Sanayi A.S. 722,990,000 5,056,080
Hurriyet Gazetecilik ve Matbaacilik A.S. 629,278,201 1,220,341
Koc Holding A.S. 1,058,111,057 5,807,329
Migros Turk A.S. 450,270,375 2,909,670
* Tat Konserve Sanayii A.S. 36 0
* Tofas Turk Otomobil Fabrikasi A.S. 1,489,092,271 2,815,677
Trakya Cam Sanayii A.S. 187,301,438 486,271
Tupras-Turkiye Petrol Rafineleri A.S. 289,886,950 2,941,055
Turk Sise ve Cam Fabrikalari A.S. 639,484,793 1,501,583
* Turkiye Garanti Bankasi A.S. 2,261,914,936 5,531,855
Turkiye Is Bankasi A.S. Series C 2,002,976,408 9,438,028
* Vestel Elektronik Sanayi Ticaret A.S. 240,241,000 839,715
* Yapi ve Kredi Bankasi A.S. 904,146,481 3,291,995
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TOTAL -- TURKEY
(Cost $29,310,927) 77,106,009
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INDONESIA -- (6.6%)
COMMON STOCKS -- (6.6%)
PT Astra Agro Lestari Tbk 2,153,000 786,870
PT Astra International Tbk 8,470,461 8,436,117
PT Bank Central Asia Tbk 1,980,000 603,442
PT Bank Danamon Indonesia Tbk 1,762,000 859,340
PT Bimantara Citra Tbk 2,285,400 488,624
PT Gudang Garam Tbk 4,695,500 6,937,933
PT Hanjaya Mandala Sampoerna Tbk 13,377,500 9,996,413
* PT Indocement Tunggal Prakarsa Tbk 7,362,000 2,361,360
PT Indofood Sukses Makmur Tbk 18,886,400 1,565,921
PT Indonesian Satellite Corp.Tbk 14,967,500 9,527,867
PT International Nickel Indonesia Tbk 580,000 759,688
PT Kalbe Farma Tbk 2,500,000 172,731
* PT Lippo Karawaci Tbk 177,822 35,472
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* PT Makindo Tbk 2,236,500 229,862
PT Medco Energi International Tbk 9,754,000 2,243,129
* PT Panasia Indosyntec Tbk 75,100 4,068
PT Ramayana Lestari Sentosa Tbk (Foreign) 20,020,000 1,883,053
PT Sari Husada Tbk 137,930 28,673
PT Semen Gresik Tbk 1,739,502 2,476,777
PT Telekomunikasi Indonesia (Persero) Tbk 37,153,640 20,558,242
PT Tempo Scan Pacific 646,000 630,805
PT Unilever Tbk 16,022,000 5,904,355
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TOTAL -- INDONESIA
(Cost $47,079,243) 76,490,742
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ISRAEL -- (5.6%)
COMMON STOCKS -- (5.6%)
Africa-Israel Investments, Ltd. 108,700 2,944,374
Agis Industries (1983), Ltd. 71,436 2,044,653
Bank Hapoalim, Ltd. 2,309,640 6,733,271
Bank Leumi Le-Israel 2,802,069 6,579,850
* Bezeq Israeli Telecommunication Corp., Ltd. 4,049,014 4,112,694
Blue Square Israel, Ltd. 16,186 153,468
CLAL Industries, Ltd. 289,038 1,287,043
CLAL Insurance, Ltd. 114,684 2,147,572
Delek Group, Ltd. 4,584 387,132
Discount Investment Corp 66,100 1,562,028
Elbit Systems, Ltd. 98,319 2,193,673
* Elron Electronic Industries, Ltd. 0 5
* First International Bank of Israel 48,660 284,181
* First International Bank of Israel, Ltd. 347,200 427,372
IDB Development Corp., Ltd. Series A 101,015 2,633,179
IDB Holding Corp., Ltd. 36,578 750,085
Israel Chemicals, Ltd. 2,410,526 5,223,281
* Israel Corp. Series A 5,500 1,089,892
* Koor Industries, Ltd. 25,971 1,208,254
M.A.Industries, Ltd. 843,283 4,145,950
Migdal Insurance Holdings 2,079,107 2,935,520
Osem Investment, Ltd. 210,522 2,057,481
* Strauss Elite, Ltd. 33,250 309,166
* Super-Sol, Ltd. Series B 372,926 874,083
Teva Pharmaceutical Industries, Ltd. 418,280 11,471,432
United Mizrahi Bank, Ltd. 385,384 1,455,289
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TOTAL -- ISRAEL
(Cost $37,006,829) 65,010,928
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THAILAND -- (4.7%)
COMMON STOCKS -- (4.7%)
Advance Info Service Public Co., Ltd. (Foreign) 5,982,000 14,875,311
* Aromatics (Thailand) Public Co., Ltd. (Foreign) 1,387,500 2,376,459
Bangkok Expressway Public Co., Ltd. (Foreign) 1,794,100 1,133,547
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* Bank of Ayudhya Public Co., Ltd. (Foreign) 5,174,500 1,654,369
Banpu Public Co., Ltd. (Foreign) 132,000 519,158
BEC World Public Co., Ltd. (Foreign) 3,915,000 1,519,906
Central Pattana Public Co., Ltd. (Foreign) 4,177,500 869,208
Charoen Pokphand Foods Public Co., Ltd. (Foreign) 14,442,000 1,297,251
Delta Electronics (Thailand) Public Co., Ltd. (Foreign) 4,100,710 1,737,677
Hana Microelectronics Public Co., Ltd. 1,191,500 592,576
* International Broadcasting Corp. Public Co., Ltd. (Foreign) 612,000 366,486
Krung Thai Bank Public Co., Ltd. (Foreign) 17,302,970 3,951,452
Land & Houses Public Co., Ltd. (Foreign) 2,130,310 594,606
National Finance and Securities Public Co., Ltd. (Foreign) 630,150 201,469
National Petrochemical Public Co., Ltd. (Foreign) 441,500 1,176,288
Ratchaburi Electricity Generating Holding Public Co., Ltd. (Foreign) 2,200,000 2,177,112
Shin Corporation Public Co., Ltd. (Foreign) 6,122,000 5,902,969
Siam Cement Public Co., Ltd. (Foreign) 270,000 1,726,465
Siam City Cement Public Co., Ltd. (Foreign) 633,413 3,439,492
Siam Commercial Bank Public Co., Ltd. (Foreign) 2,549,166 3,266,503
* Telecomasia Corp. Public Co., Ltd. (Foreign) 6,977,800 1,292,513
* Thai Military Bank Public Co., Ltd. (Foreign) 12,415,080 1,228,592
Thai Union Frozen Products Public Co., Ltd. (Foreign) 3,178,520 2,056,642
TISCO Finance Public Co., Ltd. (Foreign) 1,231,100 749,718
Vanachai Group Co-Foreign 950,200 196,502
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TOTAL COMMON STOCKS
(Cost $43,496,151) 54,902,271
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RIGHTS/WARRANTS -- (0.0%)
* Telecomasia Corp. Public Co., Ltd. (Foreign) Warrants 03/31/08 1,444,563 0
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(Cost $0)
TOTAL -- THAILAND
(Cost $43,496,151) 54,902,271
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UNITED STATES -- (4.2%)
COMMON STOCKS -- (4.2%)
Banco Bilboa Vizcaya Argentaria Chile SA ADR 64,200 1,752,660
Banco de Chile Series F ADR 47,643 1,743,734
Banco Santander Chile Sponsored ADR 295,998 8,805,940
Cia Telecom de Chile ADR 421,400 4,466,840
Compania Cervecerias Uni ADR 115,400 2,930,006
Cristalerias de Chile SA ADR 35,600 1,103,600
Distribucion y Servicio D&S SA ADR 208,828 3,466,545
Embotelladora Andina SA Andina ADR 109,600 1,391,920
Embotelladora Andina SA Andina Series B ADR 89,100 1,106,622
Empresa Nacional de Electricidad SA ADR 514,018 8,424,755
Enersis SA ADR 285,903 2,135,695
Grupo Financiero Galicia SA ADR 211,011 1,529,830
Lan Chile SA ADR 125,900 3,438,329
* Madeco SA 4,450 46,280
Masisa SA ADR 25,100 480,665
Sociedad Quimica y Minera de Chile SA ADR 61,300 3,737,461
Sociedad Quimica y Minera de Chile SA ADR Class A 902 54,797
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Vina Concha y Toro SA Conchatoro ADR 27,100 2,004,858
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TOTAL -- UNITED STATES
(Cost $40,357,553) 48,620,537
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SHARES VALUE+
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HUNGARY -- (3.3%)
COMMON STOCKS -- (3.3%)
Budapesti Elektromos Muvek RT 185 19,979
Delmagyarorszagi Aramszolgaltato Demasz RT 2,275 172,595
Egis RT 37,757 2,191,573
Gedeon Richter, Ltd. 46,937 5,787,398
Magyar Olay-Es Gazipari RT 168,429 11,378,991
Matav RT 1,050,555 4,470,569
Orszagos Takerekpenztar es Keresdelmi Bank RT 386,220 11,120,548
* Tiszai Vegyi Kombinat RT 117,534 3,337,215
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TOTAL -- HUNGARY
(Cost $15,788,433) 38,478,868
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POLAND -- (2.9%)
COMMON STOCKS -- (2.9%)
* Agora SA 98,779 1,627,704
Bank Polska Kasa Opieki - Grupa Pekao SA 156,792 6,298,522
Bank Przemyslowo Handlowy Pbk 31,526 4,505,988
Bank Zackodni Wbk SA 93,312 2,588,125
* Big Bank Gdanski SA 2,029,541 2,017,712
Browary Zywiec SA 15,860 2,265,539
* Budimex SA 36,763 498,247
* Cersanit-Krasnystaw SA 19,143 669,795
Debica SA 19,800 629,652
Frantschach Swiecie SA 103,599 1,870,135
* Kredyt Bank SA 418,562 1,130,787
* Netia Holdings SA 495,665 693,189
* Optimus Technologie 6,873 19,884
Orbis SA 77,409 588,461
Polski Koncern Naftowy Orlen S.A. 267,237 3,176,793
* Prokom Software SA 21,336 860,594
Telekomunikacja Polska SA 712,274 3,880,717
Zaklady Metali Lekkich Kety SA 15,120 634,050
------------------
TOTAL -- POLAND
(Cost $20,586,160) 33,955,894
------------------
PHILIPPINES -- (2.8%)
COMMON STOCKS -- (2.8%)
Aboitiz Equity Ventures, Inc. 7,803,400 450,948
Ayala Corp. 42,503,520 4,919,169
Ayala Land, Inc. 27,511,576 3,520,442
12
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Bank of the Philippine Island 4,641,373 4,205,045
* Equitable PCI Bank, Inc. 2,217,300 2,033,902
* Filipina Water Bottling Corp. 2,006,957 0
Metro Bank and Trust Co. 4,584,435 2,367,654
Petron Corp. 28,593,000 1,678,003
* Philippine Long Distance Telephone Co. 347,030 8,433,097
SM Prime Holdings, Inc. 29,223,000 3,897,503
Union Bank of the Philippines 1,572,300 643,209
------------------
TOTAL -- PHILIPPINES
(Cost $42,708,447) 32,148,972
------------------
ARGENTINA -- (1.6%)
COMMON STOCKS -- (1.6%)
* Acindar Industria Argentina de Aceros SA Series B 899,000 1,281,979
* Alpargatas SA Industrial y Comercial 1,078 510
Alto Palermo SA Series A 5,000 8,852
Banco del Sud Sociedad Anonima Series B 29,000 31,366
* Banco Frances del Rio de la Plata SA 489,961 927,377
* Capex SA Series A 52,893 80,023
* Celulosa Argentina SA Series B 18,750 15,632
* Central Costanera SA Series B 114,100 143,976
* Central Puerto SA Series B 16,000 8,240
* Garovaglio y Zorraquin SA 28,000 3,831
* Gas Natural SA, Buenos Aires 345,000 182,685
* Grupo Financiero Galicia SA Series B 150,000 103,812
* IRSA Inversiones y Representaciones SA 657,649 635,086
* Juan Minetti SA 353,151 384,233
Ledesma S.A.A.I. 242,632 149,957
* Metrogas SA Series B 543,115 197,555
* Molinos Rio de la Plata SA Series B 694,833 950,576
* Perez Companc SA 2,329,901 2,377,465
* Renault Argentina SA 399,465 78,438
Siderar SAIC Series A 721,484 4,354,572
Solvay Indupa S.A.I.C. 555,366 572,067
* Telecom Argentina Stet-France SA Series B 977,000 1,993,890
Tenaris SA 653,898 3,125,748
* Transportadora de Gas del Sur SA Series B 1,028,946 1,002,963
------------------
TOTAL COMMON STOCKS
(Cost $24,666,819) 18,610,833
------------------
RIGHTS/WARRANTS -- (0.0%)
* BBVA Banco Frances Rights 11/17/04 461,871 102,586
------------------
(Cost $0)
TOTAL -- ARGENTINA
(Cost $24,666,819) 18,713,419
------------------
CZECH REPUBLIC -- (0.6%)
COMMON STOCKS -- (0.6%)
13
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Ceske Telecom A.S. 146,147 2,187,806
CEZ A.S. 192,592 2,777,894
Komercni Banka A.S. 14,029 2,021,298
* Phillip Morris CR A.S. 478 318,931
------------------
TOTAL -- CZECH REPUBLIC
(Cost $5,099,679) 7,305,929
------------------
FACE
AMOUNT VALUE+
------------ ------------------
(000)
TEMPORARY CASH INVESTMENTS -- (0.5%)
Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04
(Collateralized by $5,216,000 FNMA Notes 2.95%, 11/14/07, valued at
$5,223,318) to be repurchased at $5,151,269 5,151 5,151,000
------------------
(Cost $5,151,000)
TOTAL INVESTMENTS - (100.0%)
(Cost $817,432,373) $ 1,161,660,237
------------------
----------
+ Securities have been fair valued. See Note B to Financial Statements.
* Non-Income Producing Securities.
See accompanying Notes to Financial Statements.
14
THE EMERGING MARKETS SMALL CAP SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
[Enlarge/Download Table]
SHARES VALUE+
------------ ------------------
BRAZIL -- (12.0%)
PREFERRED STOCKS -- (10.9%)
* Acesita SA 97,876 $ 1,282,823
Alpargatas-Santista Textil SA 500,000 69,118
Banco Mercantil do Brasil SA 130,000 29,298
* Braskem SA 53,000,001 2,307,059
Centrais Electricas de Santa Catarin Celesc Series B 840,000 327,353
Companhia Brasileira de Petroleo Ipiranga SA 60,800 440,353
Compania Paranaense de Energia Series B 232,500,000 1,070,184
Confab Industrial SA 357,000 357,000
Coteminas Cia Tecidos Norte de Minas 6,977,102 671,803
Distribuidora de Produtos de Petroleo Ipiranga SA 3,900 48,750
Duratex SA 13,400,000 591,176
* Electropaulo Electrecidade Metropolitana 29,980,000 791,384
Embraco SA 262,000 126,184
Embratel Participacoes SA 273,800,000 640,209
* Empressa Metropolitanade Aguas e Energia SA 24,000,000 63,529
Energetica do Ceara Coelce 72,000,000 100,588
* ENERSUL Empresa Energetjica de Mato Grosso do Sul SA Series B 13,156,000 41,137
Fertibras SA 3,400 34,000
Forca Luz Cataguazes Leopoldina Series A 23,400,000 10,754
Forjas Taurus SA 88,000 42,706
Fras-Le Preferred 20,200 59,337
Globex Utilidades SA 25,268 105,485
* Gradiente Eletronica SA 2,600 8,221
* Industria de Bebidas Antarctica Polar SA 23,000 22,197
* Inepar SA Industria e Construcoes 9,900,001 3,276
Klabin SA 687,000 1,212,353
Lojas Americanas SA 68,290,369 913,886
Magnesita SA Series A 20,500,000 109,660
Magnesita SA Series C 202,338 974
Marcopolo SA 124,000 289,029
Metal Leve SA 3,400,000 216,250
Metalurgica Gerdau SA 59,302 1,395,559
* Net Servicos de Communication SA 1,604,500 353,934
* Paranapanema SA 146,200,000 255,312
Perdigao SA NPV 47,900 845,822
Random Implementos e Participacoes SA 162,500 370,404
* Rasip Agro-Pastoril SA 51,000 4,594
* Refinaria de Petroleo Ipiranga SA 12,300 153,705
Ripasa SA Papel e Celulose 442,000 658,125
Sadia SA 585,000 1,182,904
Saraiva Livreiros Editores 4,000 17,794
* Sharp SA Equipamentos Eletronicos 30,200,000 222
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Suzano Bahia Sul Papel e Celullose SA 292,650 1,317,968
Suzano Petroquimica SA 30,000 77,647
Tele Celular Sul Participacoes SA 783,795,284 1,207,391
Tele Centro Oeste Celular Participacoes SA 279,011,618 936,535
* Tele Leste Celular Participacoes SA 559,666,572 131,686
Tele Norte Celular Participacoes SA 549,505,027 103,032
Telemig Celular Participacoes SA 398,290,371 575,471
Telesudeste Celular Participacoes SA 355,800,000 797,934
Tim Sul SA Preferred Series B 13,950,000 417,987
Ultrapar Participants 69,939,437 1,289,508
Uniao des Industrias Petroquimicas SA Series B 563,520 743,764
* Varig Participacoes Em Transportes 122,026 538
* Varig Particpacoes Em Servicos 116,823 108
* Varig SA Viacao Aerea Riograndense 16,000 8,412
Weg SA 280,100 725,994
------------------
TOTAL PREFERRED STOCKS
(Cost $14,932,357) 25,558,426
------------------
COMMON STOCKS -- (1.1%)
* Acesita SA 4,290 54,414
Acos Villares SA Avil 120,000 16,324
Avipal SA Avicultura e Agropecua 50,900,000 149,332
Eternit SA 1,200 15,794
Metalurgica Gerdau SA 1,292 29,450
Petroquimica do Sul Copesul 18,200,000 2,141,176
* Rhodia Ster SA 640,780 49,472
Sao Paulo Alpargatas SA 510,000 54,373
------------------
TOTAL COMMON STOCKS
(Cost $1,145,539) 2,510,335
------------------
TOTAL -- BRAZIL
(Cost $16,077,896) 28,068,761
------------------
SOUTH KOREA -- (11.7%)
COMMON STOCKS -- (11.7%)
* Anam Semiconductor, Inc. 112,513 301,360
Asia Cement Manufacturing Co., Ltd. 1,243 39,282
Bing Grae Co., Ltd. 3,480 103,814
Bu Kwang Pharmaceutical Co., Ltd. 10,550 122,568
Byuck San Engineering and Construction Co., Ltd. 8,750 32,858
* Capro Corp. 11,440 39,995
Cheil Communications, Inc. 2,497 359,580
Cheil Industrial, Inc. 25,600 381,009
Choong Wae Pharmaceutical 1,877 37,456
Chungho Comnet Co., Ltd. 720 3,003
* Comtec Systems Co., Ltd. 2,000 1,284
* Dae Ho Corp. 543 67
Dae Sang Corp. 8,020 36,626
Dae Won Kang Up Co., Ltd. 1,740 24,989
Daeduck Electronics Co., Ltd. 22,437 180,225
Daeduck Industries Co., Ltd. 7,526 70,505
Daegu Bank Co., Ltd. 63,640 441,869
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Daehan City Gas Co., Ltd. 2,621 42,498
Daehan Flour Mills Co., Ltd. 470 27,971
Daesung Industrial Co., Ltd. 1,690 36,555
* Daewoo International Corp. 54,700 431,804
Daewoo Motor Sales Corp. 10,240 74,799
* Daewoo Precision Industries Co., Ltd. 2,800 42,522
* Daewoo Securities Co., Ltd. 137,720 451,043
Daewoong Co., Ltd. 4,686 32,900
* Daewoong Pharmaceutical Co., Ltd. 3,630 80,820
Daishin Securities Co., Ltd. 24,720 303,088
* Daou Technology, Inc. 7,000 8,815
DC Chemical Co., Ltd. 7,316 123,089
Dong Ah Tire Industrial Co., Ltd. 7,300 32,265
Dong Bu Insurance Co., Ltd. 36,790 246,815
* Dong Yang Mec 7,020 28,869
Dong-A Pharmaceutical Co., Ltd. 3,229 80,572
Dongbu Corp. 6,310 52,716
Dongbu Steel Co., Ltd. 7,290 98,574
Dongkuk Steel Mill Co., Ltd. 43,637 800,699
Dongwon F&B Co., Ltd. 900 36,813
Dongwon Financial Holding Co., Ltd. 19,848 167,948
* Doosan Corp. 7,390 91,277
Doosan Heavy Industries & Construction Co., Ltd. 54,500 701,791
* Doosan Industrial Development Co., Ltd. 44,730 161,174
* Eastel Systems Corp. 4,307 3,640
* Fursys, Inc. 2,880 34,783
Global Enterprise Co., Ltd. 5,900 30,923
* Good Morning Securities Co., Ltd. 94,500 315,679
Green Cross Corp. 1,825 43,734
Hae In Co., Ltd. 5,964 8,691
Halla Climate Control Corp. 53,740 504,116
Han Kuk Carbon Co., Ltd. 7,903 13,689
Han Wha Corp. 43,150 520,976
Hana Securities Co., Ltd. 5,930 38,016
Handok Pharmaceuticals Co., Ltd. 3,860 46,622
Handsome Corp. 13,420 111,474
Hanil Cement Manufacturing Co., Ltd. 3,308 167,814
Hanjin Heavy Industry Co., Ltd. 32,990 240,199
Hanjin Transportation Co., Ltd. 3,471 50,196
* Hankook Synthetics, Inc. 1,000 2,721
Hankuk Electric Glass Co., Ltd. 4,480 217,435
Hankuk Glass Industries, Inc. 6,360 553,282
Hankuk Paper Manufacturing Co., Ltd. 1,450 34,248
Hanmi Pharmaceutical Industrial Co, Ltd. 3,530 186,696
* Hansol Electronics Inc. 797 4,961
Hansol Paper Co., Ltd. 21,460 216,358
* Hanssem Co., Ltd. 6,820 40,083
* Hansung Enterprise Co., Ltd. 620 3,108
Hanwha Chemical Corp. 74,040 720,734
Hanwha Securities Co., Ltd. 13,070 30,064
Hotel Shilla, Ltd. 15,138 96,784
Huchems Fine Chemical Corp. 5,616 21,257
* Hung Chang Co., Ltd. 6 23
Hyosung T & C Co., Ltd. 16,258 174,838
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* Hyundai Auton Co., Ltd. 106,390 254,545
Hyundai Cement Co., Ltd. 2,570 68,958
* Hyundai Corp. 1,505 5,293
Hyundai Department Store Co., Ltd. 13,140 418,220
Hyundai Development Co. 39,110 638,848
* Hyundai Elevator Co., Ltd. 3,394 158,220
Hyundai Hysco 42,530 348,741
Hyundai Marine & Fire Insurance Co., Ltd. 40,200 154,770
* Hyundai Merchant Marine Co., Ltd. 65,410 1,000,126
* Hyundai Mipo Dockyard Co., Ltd. 10,308 301,662
* Hyundai Securities Co., Ltd. 71,159 285,068
* Il Jin Diamond Co., Ltd. 2,000 28,538
* IlJin Electric, Ltd. 9,150 19,246
IlShin Spinning Co., Ltd. 380 13,460
* Inchon Oil Refinery Co., Ltd. 373 20
ISU Chemical Co., Ltd. 1,530 11,647
* Isupetasys Co., Ltd. 7,160 11,652
Jahwa Electronics Co., Ltd. 6,230 64,018
Jeonbuk Bank, Ltd. 8,590 36,121
* Jindo Corp. 500 3,984
K.C. Tech Co., Ltd. 6,000 16,089
* KDB Capital Corp. 21,440 55,286
KEC Corp. 3,035 57,386
Kolon Industries, Inc. 5,090 28,125
* Kolon International 321 1,236
Kolon International Corp. 2,264 10,282
Korea Circuit Co. 7,800 26,630
* Korea Data Systems Co., Ltd. 35,000 6,315
* Korea Development Co., Ltd. 3,480 59,280
Korea Electric Terminal Co., Ltd. 3,530 57,882
* Korea Express Co., Ltd. 3,200 76,195
Korea Fine Chemical Co., Ltd. 1,388 13,417
Korea Iron & Steel Co., Ltd. 5,230 112,435
Korea Iron & Steel Works Co., Ltd. 3,328 48,136
Korea Komho Petrochemical 12,080 165,456
Korea Line Corp. 5,130 181,738
Korea Polyol Co., Ltd. 1,570 48,339
Korea Reinsurance Co., Ltd. 57,700 230,524
Korea Zinc Co., Ltd. 10,530 301,311
* KP Chemical Corp. 45,391 209,505
* KTB Network, Ltd. 17,000 31,935
Kukdong City Gas Co., Ltd. 1,740 25,737
Kumho Electronics Co., Ltd. 1,987 53,125
Kumho Industrial Co., Ltd. 20,310 229,779
Kyeryong Construction Industrial Co., Ltd. 2,060 28,540
Kyobo Securities Co., Ltd. 10,440 20,616
LG Ad Inc., Ltd. 4,120 70,659
LG Cable, Ltd. 19,390 379,458
LG Caltex Gas Co., Ltd. 1,980 45,287
LG Engineering & Construction Corp. 28,150 729,652
LG Household & Healthcare Co., Ltd. 8,720 225,016
* LG Industrial Systems, Ltd. 16,950 290,119
LG Insurance Co., Ltd. 27,140 161,743
LG International Corp. 33,488 297,583
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* LG Investment & Securities Co., Ltd. 61,810 447,023
* LG Life Sciences, Ltd. 9,215 318,888
LG Petrochemical Co., Ltd. 13,800 344,205
Lotte Chilsung Beverage Co., Ltd. 880 682,201
Lotte Confectionary Co., Ltd. 1,030 628,055
Lotte Sam Kang Co., Ltd. 230 20,374
Meritz Securities Co., Ltd. 2,940 7,110
* Midopa Co., Ltd. 27,910 122,648
Namhae Chemical Corp. 13,104 23,262
Namyang Dairy Products Co., Ltd. 340 107,986
Nong Shim Holdings Co., Ltd. 780 43,918
Oriental Fire & Marine Insurance Co., Ltd. 2,750 43,750
ORION Corp. 3,490 338,972
Ottogi Corporation 990 38,201
* Pacific Industries, Inc. 2,100 23,189
* Pantech Co., Ltd. 8,690 31,984
Poong San Corp. 12,640 169,570
Pulmuone Co., Ltd. 2,030 101,185
Pusan Bank 72,900 563,234
Pusan City Gas Co., Ltd. 3,000 42,904
Pyung Hwa Industrial Co., Ltd. 6,170 23,465
S1 Corp. 15,730 509,024
* Saehan Industries, Inc. 7,440 12,560
Samchully Co., Ltd. 1,370 81,006
* Samlip Industrial Co., Ltd. 4,560 27,768
* Samsung Engineering Co., Ltd. 15,780 109,501
Samsung Fine Chemicals 14,950 263,174
* Samsung Techwin Co., Ltd. 51,810 376,421
Samyang Corp. 4,730 162,288
Samyang Genex Co., Ltd. 220 8,323
* Samyoung Corp. 2,170 20,003
Samyoung Electronics Co., Ltd. 5,800 39,473
Sejong Securities Co., Ltd. 3,659 5,883
Seondo Electric Co., Ltd. 4,400 5,949
Seoul City Gas Co., Ltd. 2,750 64,156
* Seoul Securities Co., Ltd. 19,500 58,806
Shin Young Securities Co., Ltd. 2,620 34,960
* Shindongbang Corp. 710 10,364
* Shindongbang Corp. 1,696 11,598
Shinmoorim Paper Manufacturing Co., Ltd. 2,858 19,881
* Shinsung Engineering Co., Ltd. 11,880 32,875
Sindo Ricoh 5,860 347,528
* SK Chemicals Co., Ltd. 5,140 56,689
SK Gas Co., Ltd. 2,500 57,153
* SKC Co., Ltd. 14,290 116,133
* Ssang Bang Wool Co., Ltd. 6,950 16,042
* Ssangyong Cement Industry Co., Ltd. 148,450 173,162
* Ssangyong Motor Co. 53,830 329,892
STX Corp. 5,508 37,008
* STX Engine 4,692 21,614
Suheung Capsule Co., Ltd. 1,900 10,868
Sung Shin Cement Co., Ltd. 10,040 191,033
* Sunkyong Securities Co., Ltd. 120,920 54,530
Tae Kwang Industrial Co., Ltd. 200 68,802
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Tae Young Corp. 3,274 112,360
Taegu Department Store Co., Ltd. 3,130 22,070
Tai Han Electric Wire Co., Ltd. 19,511 157,406
* Tong Yang Investment Bank 28,710 54,681
* Tongil Heavy Industries Co., Ltd. 46,780 32,028
* Trigem Computer, Inc. 21,159 56,596
Union Steel Manufacturing Co., Ltd. 3,862 137,206
Woongjin Coway Co., Ltd. 6,930 63,947
Woongjin.Com Co., Ltd. 6,810 23,820
Youlchon Chemical Co., Ltd. 8,890 69,309
* Young Poong Mining & Construction Corp. 1,580 83
Youngone Corp. 18,210 62,336
Yuhan Corp. 3,702 337,059
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TOTAL -- SOUTH KOREA
(Cost $20,410,180) 27,468,496
------------------
SOUTH AFRICA -- (11.6%)
COMMON STOCKS -- (11.6%)
ADCorp Holdings, Ltd. 43,285 124,482
Advtech, Ltd. 120,000 26,495
Aeci, Ltd. 79,460 506,641
Afgri, Ltd. 280,296 348,084
African Life Assurance Co., Ltd. 102,921 293,098
African Oxygen, Ltd. 94,934 376,356
* Afrikander Lease, Ltd. 116,023 36,028
Afrox Healthcare 45,403 111,955
AG Industries, Ltd. 107,512 50,838
Alexander Forbes, Ltd. 259,170 478,307
Allied Electronics Corp., Ltd. 84,012 240,755
Allied Technologies, Ltd. 82,724 663,604
Amalgamated Appliance Holdings, Ltd. 142,094 132,766
* Anglovaal Mining, Ltd. 93,461 474,496
Aspen Pharmacare Holdings PLC 297,721 847,245
Astral Foods, Ltd. 33,426 298,802
Aveng, Ltd. 241,648 484,439
Bearing Man, Ltd. 69,024 89,269
* Bell Equipment, Ltd. 57,476 61,452
Brandcorp Holdings, Ltd. 43,383 60,581
* Business Connexion Group, Ltd. 229,687 196,515
Bytes Technology Group, Ltd. 113,445 148,575
Capital Alliance Holdings, Ltd. 148,529 415,186
Capitec Bank Holdings, Ltd. 37,860 76,243
Cashbuild, Ltd. 13,473 82,424
Caxton & CTP Publishers & Printers, Ltd. 356,504 602,347
Ceramic Industries, Ltd. 13,297 217,654
City Lodge Hotels, Ltd. 28,074 164,766
* Connection Group Holdings, Ltd. 26,487 45,136
* Corpcapital, Ltd. 241,136 29,188
Cullinan Holdings, Ltd. 10,000 984
* Datacentrix Holdings, Ltd. 162,198 70,351
* Datatec, Ltd. 92,603 157,817
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Delta Electrical Industries, Ltd. 38,338 215,025
* Dimension Data Holdings PLC 527,088 343,980
Distell Group, Ltd. 160,135 704,309
* Distribution & Warehousing Network, Ltd. 98,577 81,951
Dorbyl, Ltd. 18,237 80,526
* Durban Roodeport Deep, Ltd. 196,023 334,038
* Ellerine Holdings, Ltd. 62,039 555,892
Enviroserv Holdings, Ltd. 64,500 40,120
Famous Brands, Ltd. 9,678 11,622
Foschini, Ltd. 168,564 1,028,317
* Frontrange, Ltd. 62,223 51,508
Gold Reef Casino Resorts, Ltd. 169,887 333,109
Grindrod, Ltd. 36,506 248,733
Group Five, Ltd. 40,465 99,507
Highveld Steel & Vanadilum Corp., Ltd. 85,563 710,439
Hudaco Industries, Ltd. 23,083 125,222
Iliad Africa, Ltd. 112,877 187,711
Illovo Sugar, Ltd. 203,494 285,266
Investec, Ltd. 17,097 486,910
* JCI, Ltd. 1,622,051 92,297
Johnic Communications, Ltd. 86,930 434,028
Kersaf Investments, Ltd. 58,532 529,881
M Cubed Holdings, Ltd. 385,000 27,147
* Medi-Clinic Corp., Ltd. 277,002 681,819
Metair Investment, Ltd. 4,447 136,394
* Metorex, Ltd. 101,510 47,219
* Metoz Holdings, Ltd. 1,278,869 452,228
Metropolitan Holdings, Ltd. 451,465 744,437
Murray & Roberts Holdings, Ltd. 215,729 543,023
Mustek, Ltd. 20,612 30,206
New Clicks Holdings, Ltd. 290,335 485,819
Northam Platinum, Ltd. 183,217 282,407
* Nu-World Holdings 11,932 66,262
Oceana Group 86,619 228,048
Omnia Holdings, Ltd. 37,562 282,095
* Palabora Mining Co., Ltd. 20,554 132,879
Peregrine Holdings, Ltd. 134,813 62,416
* Primedia Limited 'n' 161,922 320,154
PSG Group, Ltd. 63,250 59,229
Rainbow Chicken, Ltd. 209,727 253,031
* Randgold and Expl CO 42,939 88,658
Rebserve Holdings, Ltd. 151,070 229,939
Redefine Income Fund, Ltd. 34,692 18,721
* Relyant Retail, Ltd. 724,775 275,746
Reunert 113,771 684,839
* SA Chrome and Alloys 798,852 117,692
* Sage Group, Ltd. 201,897 51,397
Santam, Ltd. 54,533 630,359
Shoprite Holdings Ltd 378,315 836,707
Specialty Stores Ltd. 173,245 337,992
Spur Corp., Ltd. 53,697 55,555
Super Group, Ltd. 280,556 604,103
Tiger Wheels, Ltd. 47,140 215,410
Tongaat-Hulett Group, Ltd. 93,729 808,683
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Tourism Investment 647,510 156,466
Trans Hex Group, Ltd. 69,964 218,163
* Trencor, Ltd. 142,114 318,490
Truworths International, Ltd. 312,815 903,870
UCS Group, Ltd. 144,872 35,717
Unitrans Ltd 65,023 350,435
Value Group, Ltd. 49,189 14,569
* Western Areas Ltd 90,489 423,564
Wilson Bayly Holme 40,403 178,341
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TOTAL COMMON STOCKS
(Cost $19,461,411) 27,283,499
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* South African Rand 3,331
------------------
(Cost $3,130)
TOTAL -- SOUTH AFRICA
(Cost $19,464,541) 27,286,830
------------------
MALAYSIA -- (10.9%)
COMMON STOCKS -- (10.9%)
* A&M Realty Berhad 65,000 23,608
ACP Industries Berhad 34,000 10,913
Affin Holdings Berhad 1,335,800 628,525
Amalgamated Industrial Steel Berhad 11,250 2,559
* AMBD Berhad 58,000 2,821
Amway (Malaysia) Holdings Berhad 190,700 338,284
Ann Joo Resources Berhad 83,000 41,485
* Anson Perdana Berhad 10,000 118
* Antah Holding Berhad 23,000 1,539
* Aokam Perdana Berhad 36 11
APM Automotive Holdings Berhad 74,500 47,822
* Arab Malaysia Corp. Berhad 558,000 198,061
Asas Dunia Berhad 16,000 3,990
* Asia Pacific Land Berhad 70,000 5,147
Asiatic Development Berhad 926,300 428,729
* Avenue Assets Berhad 254,000 36,722
Ayer Hitam Planting Syndicate Berhad 6,000 3,766
Bandar Raya Developments Berhad 466,600 243,009
Batu Kawan Berhad 302,400 477,646
* Berjaya Capital Berhad 391,000 92,536
Berjaya Land Berhad 465,000 100,233
Bernas Padiberas Nasional Berhad 242,500 108,941
Bimb Holdings Berhad 208,200 99,693
Bintai Kinden Corp. Berhad 16,000 5,215
Bolton Properties Berhad 96,000 23,061
Boustead Holdings Berhad 530,800 244,331
Cahya Mata Sarawak Berhad 153,000 66,458
* Camerlin Group Berhad 58,000 15,255
Carlsberg Brewery Malaysia Berhad 179,800 520,603
Cement Industries of Malaysia Berhad 48,800 23,108
Chemical Co. of Malaysia Berhad 102,000 60,387
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Chin Teck Plantations Berhad 33,000 43,452
* Cosway Corp. Berhad 113,000 23,502
Courts Mammoth Berhad 149,000 64,607
Cycle & Carriage Bintang Berhad 15,000 12,384
* Damansara Realty Berhad 65,000 2,384
Datuk Keramik Holdings Berhad 24,000 634
Dijaya Corp. Berhad 96,000 24,585
Diperdana Corp. Berhad 3,000 1,339
Diversified Resources Berhad 704,300 418,716
DNP Holdings Berhad 34,000 6,000
* E&O Property Development Berhad 723,200 132,030
Eastern & Oriental Berhad 72,000 13,814
* Econstates Berhad 55,500 15,609
Edaran Otomobil Nasional Berhad 173,600 151,915
Esso Malaysia Berhad 183,500 120,682
Europlus Berhad 25,700 4,221
* Faber Group Berhad 16,000 2,526
Far East Holdings Berhad 23,700 23,452
* FCW Holdings Berhad 24,000 2,240
* Fountain View Development Berhad 447,600 588,800
Fraser & Neave Holdings Berhad 430,600 554,704
Globetronics Technology Berhad 796,400 112,162
Glomac Berhad 70,200 40,216
Gold IS Berhad 77,000 29,771
* Golden Plus Holdings Berhad 16,000 11,515
* Gopeng Berhad 17,000 2,753
Guiness Anchor Berhad 375,400 508,605
* Gula Perak Berhad 97,700 42,396
Guthrie Ropel Berhad 35,900 35,512
Hap Seng Consolidated Berhad 491,400 321,518
Heitech Padu Berhad 26,000 17,752
Highlands and Lowlands Berhad 411,700 387,628
* HLG Capital Berhad 12,000 3,124
Hock Seng Lee Berhad 44,160 38,109
Hong Leong Industries Berhad 224,200 282,972
Hong Leong Properties Berhad 259,100 41,530
Hume Industries (Malaysia) Berhad 163,967 215,494
Hwang-DBS (Malaysia) Berhad 97,500 42,524
IGB Corp. Berhad 1,480,450 505,736
IJM Corp. Berhad 255,500 314,590
IJM Plantations Berhad 37,600 11,968
* Insas Berhad 226,000 23,461
Island & Peninsular Berhad 439,700 548,045
* Jaks Resources Berhad 1,000 447
Jaya Jusco Stores Berhad 133,100 171,569
Jaya Tiasa Holdings Berhad 202,100 212,634
* Johan Holdings Berhad 30,000 2,132
John Hancock Life Insurance (M) Berhad 46,000 27,795
Johor Port Berhad 296,600 166,715
Johore Tenggara Oil Palm Berhad 59,200 16,807
JT International Berhad 315,100 374,568
K & N Kenanga Holdings Berhad 287,300 61,955
Keck Seng (Malaysia) Berhad 23,000 11,253
KFC Holdings (Malaysia) Berhad 163,200 148,500
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Kian Joo Can Factory Berhad 72,900 54,622
Kim Hin Industry Berhad 52,000 30,061
KPJ Healthcare Berhad 62,000 24,461
* Kretam Holdings Berhad 15,000 3,350
KSL Holdings Berhad 64,500 39,117
* Kub Malaysia Berhad 181,000 28,560
Kulim Malaysia Berhad 127,850 95,867
* Kumpulan Hartanah Selangor Berhad 166,500 17,200
Kwantas Corp. Berhad 68,600 92,943
Ladang Perbadanan-Fima Berhad 11,000 9,389
* Land & General Berhad 180,000 14,198
Landmarks Berhad 182,600 42,643
* Leader Universal Holdings Berhad 69,000 7,898
* Leong Hup Holdings Berhad 46,000 11,007
Lingkaran Trans Kota Holdings Berhad 555,600 390,317
Lingui Development Berhad 219,000 77,572
Lion Diversified Holdings Berhad 321,000 180,661
Lion Industries Corp. Berhad 481,100 241,508
Liqua Health Corp. Berhad 173 44
MAA Holdings Berhad 137,533 195,198
Magnum 4D Berhad 80,000 77,820
Malayan Cement Berhad 1,453,050 295,984
Malayawata Steel Berhad 72,000 41,287
* Malaysia Aica Berhad 48,200 29,661
* Malaysia Building Society Berhad 35,000 7,486
Malaysia Industrial Development Finance Berhad 1,094,100 373,979
Malaysia Mining Corp. Berhad 732,900 412,671
Malaysia Smelting Corp. Berhad 23,000 37,513
Malaysian Mosaics Berhad 229,300 94,701
Malaysian National Reinsurance Berhad 80,500 72,841
Malaysian Oxygen Berhad 163,400 528,719
Malaysian Plantations Berhad 622,500 386,219
* Malaysian Resources Corp. Berhad 94,666 20,146
* Mancon Berhad 12,000 2,747
Maruichi Malaysia Steel Tube Berhad 58,600 33,755
Matsushita Electric Co. (Malaysia) Berhad 39,984 108,317
MBM Resources Berhad 102,966 65,044
* Media Prima Berhad 61,533 28,141
* Merces Holdings Berhad 1,250 177
Metro Kajang Holdings Berhad 58,800 22,258
Mieco Chipboard Berhad 69,000 48,932
* MTD Infraperdana Berhad 878,500 164,868
MUI Properties Berhad 75,200 7,026
* Mulpha International Berhad 1,287,350 231,855
* Multi-Purpose Holdings Berhad 457,000 135,535
* Mycron Steel Berhad 14,650 5,513
Naim Cendera Berhad 162,900 140,572
* Naluri Berhad 491,000 77,466
* Nam Fatt Berhad 9,000 1,396
Narra Industries Berhad 16,000 7,130
NCB Holdings Berhad 529,800 379,072
Negara Properties (Malaysia) Berhad 6,000 5,967
* New Straits Times Press (Malaysia) Berhad 210,800 231,653
Nikko Electronics Berhad 36,600 13,863
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NV Multi Corp. Berhad 129,500 15,343
* NWP Holdings Berhad 112,000 24,709
Nylex (Malaysia) Berhad 41,500 7,748
Oriental Holdings Berhad 362,900 425,725
OSK Holdings Berhad 616,333 251,286
OSK Property Holdings Berhad 3,393 1,115
Pacific & Orient Berhad 40,400 18,056
Pacificmas Berhad 9,500 15,503
Pan Malaysia Cement Works Berhad 192,000 25,739
* Pan Malaysian Industries Berhad 818,000 18,301
* Pan Pacific Asia Berhad 12,000 284
* Panglobal Berhad 14,000 6,963
PBA Holdings Berhad 52,400 23,160
Pelangi Berhad 268,700 38,863
* Pernas International Holdings Berhad 224,000 40,388
Petaling Garden Berhad 94,000 39,071
Phileo Allied Berhad 557,200 367,595
PK Resources Berhad 14,000 2,594
* Prime Utilities Berhad 3,000 825
* Promet Berhad 52,000 3,968
* Puncak Niaga Holdings Berhad 491,100 423,292
QL Resources Berhad 57,000 35,528
* QSR Brand Berhad 32,000 16,947
Ramatex Berhad 292,700 268,227
* Ranhill Berhad 206,460 358,348
* Ranhill Utilities Berhad 92,060 61,565
* Rashid Hussain Berhad 182,000 33,018
* Rekapacific Berhad 55,000 0
Road Builders (Malaysia) Holdings Berhad 425,000 290,640
Sapura Telecommunications Berhad 64,846 27,269
Sarawak Enterprise Corp. Berhad 421,000 151,697
* Saship Holdings Berhad 23,000 5,387
SCB Developments Berhad 80,800 93,535
Scomi Group Berhad 1,072,600 485,296
Selangor Properties Berhad 316,800 189,993
Shangri-La Hotels (Malaysia) Berhad 114,000 37,179
Shell Refining Co. Federation of Malaysia Berhad 190,500 446,150
SHL Consolidated Berhad 75,000 31,789
* Sime Engineering Services Berhad 279,100 99,791
Sime UEP Properties Berhad 133,000 146,947
Southern Acids (Malaysia) Berhad 41,000 19,307
Southern Steel Berhad 118,400 69,420
SP Setia Berhad 351,400 371,626
* SRI Hartemas Berhad 65,000 7,099
Star Publications (Malaysia) Berhad 229,300 410,039
Subur Tiasa Holdings Berhad 65,000 40,708
Sunrise Berhad 241,220 105,943
Sunway City Berhad 139,000 61,836
* Sunway Holdings, Inc. Berhad 442,700 145,546
* Suria Capital Holdings Berhad 186,000 26,602
* Symphony House Berhad 20,571 4,485
Ta Ann Holdings Berhad 159,800 277,335
Ta Enterprise Berhad 1,428,500 338,060
Talam Corp. Berhad 12,850 3,720
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* Tamco Corp. Holdings Berhad 83,000 7,972
Tan Chong Motor Holdings Berhad 716,900 313,053
* Tanah Emas Corp. Berhad 65,000 22,868
Tasek Corp. Berhad 37,000 24,351
* Time Dotcom Berhad 1,001,500 182,746
Top Glove Corp. Berhad 51,300 108,669
Tractors Malaysia Holdings Berhad 143,400 87,908
Tradewinds (Malaysia) Berhad 117,000 84,638
* Trengganu Development & Management Berhad 79,700 20,591
Tronoh Mines Malaysia Berhad 205,000 152,685
UAC Berhad 25,000 31,846
Uchi Technologies Berhad 253,500 152,682
UDA Holdings Berhad 81,000 32,331
* UEM World Berhad 1,947,500 552,606
Unico-Desa Plantations Berhad 316,000 38,266
Union Paper Holdings Berhad 70,000 14,350
Uniphone Telecommunications Berhad 43,000 9,890
Unisem (M) Berhad 152,500 302,244
United Malacca Rubber Estates Berhad 47,500 44,030
United Malayan Land Berhad 13,000 3,642
United Plantations Berhad 233,600 310,163
* Utama Banking Group Berhad 122,000 27,602
Wah Seong Corp 164,000 87,900
Worldwide Holdings Berhad 52,000 28,151
WTK Holdings Berhad 93,600 147,601
Yeo Hiap Seng (Malaysia) Berhad 47,300 24,416
Yu Neh Huat Berhad 500 167
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TOTAL COMMON STOCKS
(Cost $26,120,664) 25,665,786
------------------
RIGHTS/WARRANTS -- (0.0%)
* Kulim Malaysia Berhad Warrants 06/30/09 13,250 2,894
* Liqua Health Marketing Berhad Warrants 09/09/08 34 6
* Mieco Chipboard Berhad Warrants 04/21/09 23,000 8,413
* QSR Brand Berhad Warrants 01/24/07 12,800 2,771
------------------
TOTAL RIGHTS/WARRANTS
(Cost $605) 14,084
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TOTAL -- MALAYSIA
(Cost $26,121,269) 25,679,870
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TAIWAN -- (10.8%)
COMMON STOCKS -- (10.8%)
Ability Enterprise Co., Ltd. 66,197 32,887
Abit Computer Co., Ltd. 131,260 39,739
* Accton Technology Corp. 178,000 71,762
Advantech Co., Ltd. 179,902 411,682
Altek Corp. 16,800 9,851
* Ambassador Hotel 60,000 33,461
Amtran Technology Co., Ltd. 122,216 49,256
* Arima Computer Corp. 386,000 112,652
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Asia Polymer Corp. 44,280 23,578
* Askey Computer Co., Ltd. 84,321 43,464
Audix Co., Ltd. 18,942 14,676
* Aurora Corp. 52,250 28,760
Avermedia Technologies, Inc. 30,844 26,374
Avision, Inc. 25,030 14,117
Bank of Kaohsiung Co., Ltd. 141,966 99,641
Basso Industry Corp., Ltd. 28,600 59,320
* Behavior Tech Computer Corp. 117,000 29,935
* Bes Engineering Corp. 455,572 79,544
* Carnival Industrial Corp. 95,000 15,704
Catcher Co., Ltd. 110,692 327,760
Cathay Real Estate Development Co., Ltd. 439,753 237,694
* Central Insurance Co., Ltd. 60,000 21,268
Central Reinsurance Co., Ltd. 69,133 27,794
Cheng Loong Corp. 431,330 157,416
Cheng Uei Precision Industry Co., Ltd. 134,320 256,583
* Chia Hsin Cement Corp. 196,000 87,957
* Chia Hsin Food & Synthetic Fiber Co., Ltd. 153,330 19,575
Chicony Electronics Co., Ltd. 148,639 135,566
* Chien Shing Stainless Steel Co., Ltd. 56,000 25,679
* China General Plastics Corp. 76,000 33,351
* China Life Insurance Co., Ltd. 296,418 179,818
* China Man-Made Fiber Co., Ltd. 390,280 201,313
China Metal Products Co., Ltd. 23,705 27,056
* China Petrochemical Development Corp. 726,000 150,291
* China Rebar Co., Ltd. 126,800 15,126
China Steel Chemical Corp. 47,552 71,097
* China Synthetic Rubber Corp. 59,987 20,873
* China United Trust & Investment Corp. 220,000 22,572
Chin-Poon Industrial Co., Ltd. 36,809 21,381
* Chou Chin Industrial Co., Ltd. 42,180 0
Chroma Ate, Inc. 57,954 43,049
* Chun Yu Works & Co., Ltd. 69,000 26,304
Chun Yuan Steel Industrial Co., Ltd. 105,000 68,109
Chung Hsin Electric & Machinery Co., Ltd. 120,000 49,209
Chung Hwa Pulp Corp. 142,594 68,235
Clevo Co. 84,381 26,579
Compal Commun 168,250 277,001
* Compeq Manufacturing Co., Ltd. 383,000 135,825
Continental Engineering Corp. 248,979 109,681
* Cosmos Bank Taiwan 327,000 151,609
CTCI Corp. 165,663 93,053
Der Pao Construction Co., Ltd. 78,000 17,010
D-Link Corp. 297,271 319,487
Edom Technology Co., Ltd. 14,160 9,861
Elan Microelectronincs Corp. 82,784 44,990
Elite Semiconductor Memory Technology, Inc. 55,600 112,412
Elitegroup Computer Systems Co., Ltd. 275,250 131,642
* Enlight Corp. 53,000 12,746
* Entie Commercial Bank 986,246 335,476
Epistar Corp. 38,030 44,681
* ET Internet Technology Corp. 195,114 103,633
Eternal Chemical Co., Ltd. 228,700 140,094
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* Everest Textile Co., Ltd. 115,360 34,574
Evergreen International Storage & Transport Corp. 490,000 225,782
Everlight Chemical Industrial Corp. 65,000 23,526
Everlight Electronics Co., Ltd. 92,004 93,262
* Everspring Industry Co., Ltd. 51,000 10,877
Far East Department Stores, Ltd. 476,000 266,141
Far Eastern International Bank 492,000 293,482
Federal Corp. 77,229 45,427
Feng Hsin Iron & Steel Co., Ltd. 309,180 352,149
Feng Tay Enterprise Co., Ltd. 167,468 183,311
* FIC Global, Inc. 142,875 20,395
First Copper Technology Co., Ltd. 62,000 26,799
Formosa International Hotels Corp. 49,500 58,559
Formosa Taffeta Co., Ltd. 935,000 430,742
* Formosan Rubber Group, Inc. 68,000 27,618
Giant Manufacture Co., Ltd. 111,170 167,472
* Giga Storage Corp. 43,859 14,252
Giga-Byte Technology Co., Ltd. 365,000 435,820
Globe Union Industrial Corp. 37,855 41,723
* Gold Circuit Electronics, Ltd. 77,446 32,769
* Goldsun Development & Construction Co., Ltd. 295,000 77,308
* Grand Pacific Petrochemical Corp. 115,000 47,326
Great China Metal Industry Co., Ltd. 63,000 39,768
Great Taipei Gas Co., Ltd. 97,000 36,520
Great Wall Enterprise Co., Ltd. 64,890 15,961
Greatek Co., Ltd. 87,701 74,647
Hey Song Corp. 96,000 30,019
Ho Tung Holding Corp. 153,486 47,747
* Hocheng Corp. 71,000 18,413
Hotai Motor Co., Ltd. 179,000 357,491
Hsin Kuang Steel Co., Ltd. 25,854 39,813
* Hsinchu International Bank 579,700 367,213
Hsing Ta Cement Co., Ltd. 103,000 31,668
Hua Eng Wire & Cable Co., Ltd. 113,565 28,097
Hung Poo Construction Corp. 76,000 47,632
* Hung Sheng Construction Co., Ltd. 161,000 69,089
Ichia Technologies, Inc. 72,905 96,583
Infortrend Technology, Inc. 45,900 93,689
* K Laser Technology, Inc. 20,343 12,745
* Kao Hsing Chang Iron & Steel Corp. 101,000 46,071
Kaulin Manufacturing Co., Ltd. 18,400 16,655
Kendra Rubber Industrial Co., Ltd. 110,872 85,028
King Yuan Electronics Co., Ltd. 396,386 256,441
* Kingdom Construction Co., Ltd. 107,000 33,016
* King's Town Construction Co., Ltd. 36,000 63,289
Kinpo Electronics, Inc. 699,560 298,192
Knowledge-Yield-Excellence Systems Corp. 25,966 16,588
Largan Precision Co., Ltd. 63,000 367,447
* Lead Data Co., Ltd. 86,920 15,794
* Lealea Enterprise Co., Ltd. 110,000 21,237
Lee Chang Yung Chemical Industry Corp. 72,075 32,360
* Lelon Co., Ltd. 29,170 9,819
* Leofoo Development Co., Ltd. 35,000 12,638
Li Shin International Enterprise Corp. 26,544 10,813
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Lien Hwa Industrial Corp. 119,000 43,200
Ling Sheng PrecisionIndustrial Corp. 45,000 18,176
Long Bon Development Co., Ltd. 98,000 31,126
Long Chen Paper Co., Ltd. 89,000 28,336
Lucky Cement Corp. 97,000 26,538
Meiloon Co., Ltd. 52,533 43,009
Mercuries & Associates, Ltd. 112,455 37,105
Mercuries Data Co., Ltd. 52,504 17,031
Merry Electronics Co., Ltd. 25,924 58,515
* Microelectronics Technology, Inc. 77,000 30,239
Micro-Star International Co., Ltd. 408,700 245,384
Mitac International Corp. 483,000 223,450
Mustek Systems, Inc. 39,600 9,881
* Nankang Rubber Tire Co., Ltd. 75,000 89,323
National Petroleum Co., Ltd. 35,824 25,398
Nien Hsing Textile Co., Ltd. 322,000 309,816
Nien Made Enterprise Co., Ltd. 135,642 198,864
Optimax Technology Corp. 116,000 258,275
* Opto Tech Corp. 61,000 11,188
* Orient Semiconductor Electronics, Ltd. 226,487 21,608
Oriental Union Chemical Corp. 386,678 405,667
* Pacific Electric Wire & Cable Corp. 726,000 11,715
Pan Jit International, Inc. 37,000 23,963
Pan Overseas Electronics Co., Ltd. 68,407 16,925
* Pan-International Industrial Corp. 110,250 77,475
Phihong Technology Co., Ltd. 41,635 15,413
Phoenix Precision Technology Corp. 159,583 84,086
Phoenixtec Power Co., Ltd. 219,725 246,635
* Picvue Electronics, Ltd. 181,900 32,194
Pihsiang Machinery Mfg. Co., Ltd. 49,440 99,441
Premier Image Technology Corp. 275,550 212,009
Primax Electronics, Ltd. 61,186 12,348
* Prince Housing & Development Corp. 223,000 54,775
* Procomp Informatics, Ltd. 21,675 4,305
Prodisc Technology, Inc. 288,199 105,893
* Q-Run Technology Co., Ltd. 212,400 416,718
Radium Life Tech 33,000 26,726
Realtek Semiconductor Corp. 408,000 427,725
Ritek Corp. 392,000 140,257
* Ruentex Development Co., Ltd. 140,000 27,652
* Ruentex Industries, Ltd. 141,000 56,806
Sampo Corp. 459,900 100,191
* San Fang Chemical Industry Co., Ltd. 44,770 33,425
Sanyang Industrial Co., Ltd. 205,000 79,113
Sanyo Electric Co., Ltd. 56,000 30,157
Senao International Co., Ltd. 34,133 12,789
Sheng Yu Steel Co., Ltd. 116,980 143,092
Shihlin Electric & Engineering Corp. 162,000 105,265
* Shihlin Paper Corp. 56,000 39,263
* Shinkong Synthetic Fibers Co., Ltd. 388,000 106,728
Shuttle, Inc. 35,250 21,668
* Silicon Integrated Systems Corp. 695,608 246,225
Sincere Navigation Corp. 175,391 221,010
* Sinkong Spinning Co., Ltd. 60,000 23,480
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* Sintek Photronics Corp. 203,450 85,726
Sinyi Realty, Inc. 26,000 52,203
* Solomon Technology Corp. 90,000 17,743
* Southeast Cement Co., Ltd. 98,700 24,419
Springsoft, Inc. 40,825 83,337
Stark Technology, Inc. 45,100 19,645
Sunonwealth Electric Machine Industry Co., Ltd. 44,719 18,783
Sunrex Technology Corp. 42,849 29,127
Systex Corp., Ltd. 314,348 104,631
Ta Chen Stainless Pipe Co., Ltd. 25,000 18,230
* Ta Chong Bank 645,000 238,254
Ta Ya Elec Wire & Cable Co., Ltd. 92,220 32,099
* Taichung Commercial Bank 781,000 294,295
* Tainan Business Bank 179,000 84,119
Tainan Enterprises Co., Ltd. 28,000 34,712
Tainan Spinning Co., Ltd. 680,000 196,471
Taiwan Acceptance Corp. 38,480 35,951
Taiwan Fire & Marine Insurance Co., Ltd. 72,695 40,169
Taiwan Fu Hsing Industrial Co., Ltd. 30,000 31,000
Taiwan Green Point Enterprises Co., Ltd. 72,899 203,542
Taiwan Hon Chuan Enterprise Co., Ltd. 20,007 15,762
Taiwan Kai Yih Industrial Co., Ltd. 28,088 23,494
* Taiwan Kolin Co., Ltd. 90,000 18,897
Taiwan Life Insurance Co., Ltd 259,785 425,959
Taiwan Mask Corp. 49,720 23,619
Taiwan Navigation Co., Ltd. 90,176 79,649
Taiwan Polypropylene Co., Ltd. 66,586 59,692
Taiwan Secom 195,912 224,844
Taiwan Sogo Shinkong Security Co., Ltd. 46,053 23,240
Taiwan Styrene Monomer Corp. 229,000 168,826
* Taiwan Tea Corp. 220,917 34,783
Teco Electric & Machinery Co., Ltd. 1,140,000 346,823
Tecom, Ltd. 41,114 19,646
Test-Rite International Co., Ltd. 83,405 49,812
* The Chinese Bank 464,000 94,715
* The Farmers Bank of China 788,887 265,523
The First Insurance Co., Ltd. 56,000 34,457
Ton Yi Industrial Corp. 512,280 143,197
Tong Yang Industry Co., Ltd. 224,558 337,854
Transcend Information, Inc. 127,649 247,789
Tsann Kuen Enterprise Co., Ltd. 62,930 65,313
TSRC Corp. 127,000 50,408
Tung Ho Steel Enterprise Corp. 394,167 299,691
* Twinhead International Corp. 60,505 15,584
TYC Brother Industrial Co., Ltd. 49,140 43,908
* Tycoons Group Enterprise Co., Ltd. 72,000 22,360
U-Ming Marine Transport Corp. 200,100 327,382
* Union Bank of Taiwan 730,000 244,627
* Union Insurance Co., Ltd. 99,203 28,339
* Unitech Printed Circuit Board Corp. 62,000 25,051
United Epitaxy Co., Ltd. 52,550 17,975
United Integration Service Co., Ltd. 48,481 43,259
* Universal Cement Corp. 70,560 26,029
Universal Scientific Industrial Co., Ltd. 221,550 78,572
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UPC Technology Corp. 171,680 67,230
Usi Corp. 238,000 87,274
* Via Technologies, Inc. 445,000 239,800
Walsin Technology Corp., Ltd. 100,788 54,672
Waterland Financial Holdings 682,000 265,604
* Wei Chuan Food Corp. 70,000 23,336
Weltrend Semiconductor, Inc. 34,529 13,019
Wintek Corp. 368,199 336,790
Wistron Corp. 370,938 158,973
World Peace Industrial Co., Ltd. 102,287 62,170
WUS Printed Circuit Co., Ltd. 138,064 59,341
Ya Hsin Industrial Co., Ltd. 413,316 379,350
* Yageo Corp. 52,000 17,637
Yeung Cyang Industrial Co., Ltd. 26,000 27,350
Yieh Phui Enterprise Co., Ltd. 549,580 386,907
Yosun Industrial Corp. 21,227 14,115
Yuen Foong Yu Paper Manufacturing Co., Ltd. 873,972 426,658
Yung Chi Paint & Varnish Manufacturing Co., Ltd. 28,672 36,403
Yung Shin Pharmaceutical Industrial Co., Ltd. 33,000 27,921
Yung Tay Engineering Co., Ltd. 127,000 67,979
Zig Sheng Industrial Co., Ltd. 73,840 25,583
Zinwell Corp. 26,106 18,524
Zyxel Communication Corp. 146,692 333,224
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TOTAL COMMON STOCKS
(Cost $24,561,813) 25,248,047
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* Taiwan Dollar 84,632
------------------
(Cost $83,062)
TOTAL -- TAIWAN
(Cost $24,644,875) 25,332,679
------------------
MEXICO -- (7.2%)
COMMON STOCKS -- (7.2%)
* Consorcio Ara S.A. 616,000 1,813,419
* Consorcio Hogar S.A. de C.V. Series B 325,000 105,952
Controladora Comercial Mexicana S.A. de C.V. Series B 1,326,100 1,485,945
* Corporacion Geo S.A. de C.V. Series B 1,330,000 2,487,808
* Corporacion Interamericana de Entramiento S.A. de C.V. Series B 703,769 1,905,679
* Corporacion Mexicana de Restaurantes S.A. de C.V. Series B 1,623 217
Corporativo Fragua S.A. de C.V. Series B 31 110
* Desc S.A. de C.V. Series B 981,833 265,863
Embotelladora Arca SA de CV , Mexico 770,000 1,433,451
* Empaques Ponderosa S.A. de C.V. Series B 206,000 14,679
* Empresas ICA Sociedad Controladora S.A. de C.V. 6,256,350 2,234,660
Empresas la Moderna S.A. de C.V. Series A 610,700 64,188
* GPo Iusacell 51,405 98,444
Gruma S.A. de C.V. Series B 414,000 865,853
Grupo Cementos de Chihuahua, S.A. de C.V. 474,900 966,572
Grupo Continental S.A. 5,500 9,014
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Grupo Corvi S.A. de C.V. Series L 100,000 21,110
Grupo Financiero GBM Atlantico S.A. de C.V. Series L 9,441 2,523
Grupo Financiero GBM Atlantico S.A. de C.V. Series L 23,928 6,394
Grupo Industrial Maseca S.A. de C.V. Series B 480,000 230,877
Grupo Industrial Saltillo Unique Series 97,600 158,744
* Grupo Nutrisa S.A. de C.V. 188 67
Grupo Posadas S.A. de C.V. Series L 199,000 124,079
* Grupo Qumma S.A. de C.V. Series B 105,334 1,689
* Grupo Tribasa S.A. de C.V. 67,110 0
* Herdez Common Series 107,000 50,990
* Hylsamex S.A. de C.V. Series B 82,000 239,571
Industrias Bachoco S.A. de C.V. (Certificate Representing Series B and
Series L) 66,000 141,092
Industrias Penoles S.A. de C.V. 162,000 844,145
* Industrias S.A. de C.V. Series B 37,000 258,712
* Jugos del Valle S.A. de C.V. Series B 37,900 50,672
* Movilaccess S.A. de C.V. Series B 13,489 40,851
Nadro S.A. de C.V. Series B 242,967 139,481
* Sanluis Corporacion S.A. de C.V.(Certificates representing 1 share
Series B, 1 share Series C & 1 share Series D) 3,300 2,822
Vitro S.A. 811,000 751,277
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TOTAL COMMON STOCKS
(Cost $11,921,083) 16,816,950
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* Mexican Peso 7,007
------------------
(Cost $8,636)
TOTAL -- MEXICO
(Cost $11,929,719) 16,823,957
------------------
TURKEY -- (7.1%)
COMMON STOCKS -- (7.1%)
* Adana Cimento Sanayi Ticaret A.S. 253,683,148 230,122
* Ak Enerji A.S. 80,193,300 328,229
* Akal Tekstil A.S. 2,779,875 11,237
Akcansa Cimento Sanayi ve Ticaret A.S. 274,876,875 905,329
* Aksa 38,821,296 407,057
Aksigorta A.S. 285,150,627 908,152
* Aksu Iplik Dokuma ve Boya Apre Fab A.S. 4,477,695 13,058
* Aktas Elektrik Ticaret A.S. 370,000 38,743
* Alarko Holding 21,706,400 526,762
* Alarko Sanayii ve Ticaret A.S. 14,579,992 105,926
Alkim Alkali Kimya A.S. 27,197,500 87,170
* Alternatifbank A.S. 97,063,680 53,548
* Altinyildiz Mensucat ve Konfeksiyan Fabrikalari A.S. 21,960,000 19,772
* Anadolu Anonim Turk Sigorta Sirketi 122,999,220 247,194
Anadolu Cam Sanayii A.S. 251,092,987 781,364
* Anadolu Isuzu Otomotiv Sanayi ve Ticaret A.S. Series C 15,586,000 119,689
* Ayen Enerji A.S. 17,941,000 154,128
* Bagfas Bandirma Gubre Fabrik 3,450,000 57,179
Bandirma Vitaminli Yem Sanayii Ticaret A.S. 147,698,184 187,647
Bati Cimento A.S. 110,525,696 223,688
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* Bekoteknik Sanayi A.S. 117,449,601 422,228
* Bolu Cimento Sanayi A.S. 111,833,881 172,796
Borusan 36,993,000 330,026
* Bossa Ticaret ve Sanayi Isletmeleri A.S. 128,217,000 172,683
* Brisa Bridgestone Sanbanci Lastik San & Tic A.S. 5,857,000 293,931
Bursa Cimento Fabrikasi A.S. 57,680,000 291,848
* Carsi Buyuk Magazacilik 122,086,500 142,163
* Celebi Hava Servisi A.S. 28,354,500 147,136
CIMSA A.S. (Cimento Sanayi ve Ticaret) 228,659,400 701,187
* Deva Holding A.S. 64,797,995 72,176
* Doktas Dokumculuk Ticaret ve Sanayi A.S. 63,993,600 88,811
Eczacibasi Ilac 246,690,000 325,595
* Eczacibasi Yapi Gere 116,012,250 144,354
* Ege Seramik Co., Inc. 44,835,048 38,832
* Egeplast Plastik Ticaret ve Sanayi A.S. 7,720,000 8,023
* Finansbank 725,696,395 820,933
* Global Menkul Degerler A.S. 46,576,164 35,757
* Goldas Kuyumculuk Sanayi A.S. 88,799,600 102,374
Goltas Cimento 7,128,000 69,215
* Good Year Lastikleri A.S. 14,659,125 148,502
* GSD Holdings A.S. 62,399,999 26,118
* Gubre Fabrikalari Ticaret A.S. 8,436,960 15,676
* Gunes Sigorta A.S. 68,999,305 75,096
* Hektas Ticaret A.S. 25,477,235 17,623
* Ihlas Holding 485,407,497 369,401
* Isiklar Ambalaj Sansuii ve Ticaret A.S. 6,417,150 5,914
* Istanbul Motor Piston ve Pim Sanayi A.S. 229,000 67,598
* Izmir Demir Celik 57,269,250 142,207
Karsu Tekstil Sanayii ve Ticaret A.S. 17,040,000 15,492
Kartonsan 1,698,750 157,530
* Kav Orman Sanayii A.S. 4,654,650 10,407
* Kerevitas Gida Sanayi ve Ticaret A.S. 2,532,000 6,510
Konya Cimento 4,921,000 96,138
* Kordsa Sabanci Dupont Endustriye Iplik ve Kord Bezi Sanayi ve Ticaret A.S. 146,305,500 242,473
* Kutahya Porslen Sanayii A.S. 2,617,000 42,559
* Mardin Cimento 38,235,750 261,880
Marshall Boya ve Vernik Sanayii A.S. 4,372,000 62,459
* Medya Holdings A.S. Series C 15,849,000 76,341
* Menderes Tekstil Sanayi ve Ticaret A.S. 104,549,000 49,627
* Merko Gida Sanayi ve Ticaret A.S. Series A 10,580,000 5,310
* Milliyet Gazetecilik A.S. 105,300,059 183,666
* Milpa Ticari ve Sinai Urunler Pazarlama 13,329,360 12,637
* Mudurnu Tavukculuk A.S. 1,740,000 547
Mutlu Aku 1,527,000 12,762
* Nergis Holding A.S. 1,784,000 4,608
* Net Holding A.S. 15,942,722 9,768
* Net Turizm Ticaret ve Sanayi 16,830,000 11,949
* Netas Northern Electric Telekomunikasyon A.S. 8,756,500 191,228
* Olmuksa Mukavva Sanayi ve Ticaret A.S. 20,976,000 36,591
* Otobus Karoseri Sanayi A.S. 44,321,167 174,687
Pinar Sut Mamulleri Sanayii A.S. 35,215,425 47,516
* Raks Elektroniks A.S. 2,730,000 2,649
* Sanko Pazarlama Ithalat Ihracat A.S. 48,903,000 135,381
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Sarkuysan Elektrolitik Bakir Sanayi A.S. 54,998,310 72,922
* Sasa Suni ve Sentetik Elyat Sanayi A.S. 310,985,000 345,724
* Sonmez Filament Sentetik Iplik ve Elyaf Sanayi A.S. 6,300,000 5,331
* Tansas Izmir Buyuksehir Belediyesi Ic ve dis Ticaret A.S. 365,309,000 382,817
* Tat Konserve Sanayii A.S. 63,787,500 120,509
* Tekstil Bankasi A.S. 121,274,079 46,490
* Teletas Telekomunikasyon Endustri Ticaret A.S. 8,799,000 67,026
Tire Kutsan Oluklu Mukavvakutu ve Kagit Sanayi A.S. 39,939,000 69,669
Trakya Cam Sanayii A.S. 154,764,866 401,800
* Turk Demir Dokum Fabrikalari 60,749,982 149,307
Turk Dis Ticaret Bankasi A.S. 447,650,919 506,071
* Turk Siemens Kablo ve Elektrik Sanayi A.S. 39,702,000 69,912
Turk Sise ve Cam Fabrikalari A.S. 266,805,054 626,488
Ulker Gida Sanayi Ve Ticaret 101,003,282 387,963
USAS (Ucak Servisi A.S.) 11,938,000 351,407
* Uzel Makina Sanayi A.S. 156,941,250 223,810
* Vakif Finansal Kiralama A.S. 5,450,302 6,854
* Yunsa Yunlu Sanayi ve Ticaret A.S. 10,027,800 10,483
* Zorlu Enerji Elektrik Uretimi Otoproduktor Gruba A.S. 100,448,373 357,027
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TOTAL -- TURKEY
(Cost $10,666,112) 16,706,522
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ISRAEL -- (6.9%)
COMMON STOCKS -- (6.9%)
* Afcon Industries 159 2,862
Agis Industries (1983), Ltd. 5,417 155,046
Albad Massuot Yitzhak, Ltd. 7,600 99,953
Alony Hetz Properties & Investments, Ltd. 46,080 116,134
American Israeli Paper Mills, Ltd. 5,035 282,526
* Analyst I.M.S. 4,574 34,333
* AudioCodes, Ltd. 51,866 776,522
* Azorim Investment Development & Construction Co., Ltd. 50,019 402,657
* Baran Group, Ltd. 9,500 70,118
* Beit Shemesh Engines Holdings (1997), Ltd. 3,351 8,243
Blue Square Chain Stores Properties & Investments, Ltd. 20,602 185,584
Blue Square Israel, Ltd. 64,320 609,852
* C Mer Industries, Ltd. 7,900 71,312
* Compugen, Ltd. 11,938 53,480
* Dan Vehicle & Transportation 6,992 29,503
Danya Cebus, Ltd. 19,413 93,113
Delek Automotive Systems, Ltd. 113,889 749,074
* Delek Drilling 599,731 271,462
Delta Galil Industries, Ltd. 29,002 270,251
* Direct Insurance - I.D.I. Insurance Co., Ltd. 59,860 122,873
* Discount Mortgage Bank, Ltd. 1,320 126,457
* Elbit Medical Imaging 30,809 292,493
Elco Industries (1975) 5,476 21,094
Electra Consumer 22,800 170,484
Electra Israel, Ltd. 3,700 240,380
* Electronics Line 3000, Ltd. 3,428 4,556
* Electronics Line, Ltd. 3,169 21,602
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* Elron Electronic Industries, Ltd. 40,100 575,333
* Feuchtwanger Investments 1984, Ltd. 4,200 2,414
* First International Bank of Israel, Ltd. 336,336 414,000
FMS Enterprises Migun, Ltd. 11,746 420,042
* Formula Systems (1985), Ltd. 12,170 185,596
* Formula Vision Technologies, Ltd. 1,604 1,322
Frutarom Industries (1995), Ltd. 59,977 438,693
Gachelet Invetment Co., Ltd. 653 37,182
* Granite Hacarmel Investments, Ltd. 19,200 28,517
* Ham-Let Ltd 6,342 36,282
* Housing & Construction Holding Co., Ltd. 516,118 333,424
Industrial Building Corp., Ltd. 310,880 344,606
Investec Bank, Ltd. 3,222 105,063
* Israel Land Development Co., Ltd. 26,000 69,266
Israel Petrochemical Enterprises, Ltd. 36,175 258,765
* Israel Salt Industries 38,139 148,189
Ituran 7,011 184,137
* J.O.E.L. Jerusalem Oil Exploration, Ltd. 6,178 34,789
Knafaim-Arkia Holdings, Ltd. 15,738 207,815
* Koor Industries, Ltd. 19,500 907,196
* Leader Holding & Investments, Ltd. 11,500 15,254
Lipman Electronic Engineering, Ltd. 28,513 816,829
* Magal Security Systems, Ltd. 7,322 95,884
* Magic Software Enterprises, Ltd. 24,908 84,650
* Matav Cable Israel 40,906 333,519
Medtechnica, Ltd. 14,470 64,079
Mehadrin, Ltd. 3,887 62,763
* Metalink, Ltd. 22,247 118,636
Middle East Tube Co. 19,000 18,845
Miloumor, Ltd. 12,658 52,107
Mivtach Shamir Holdings, Ltd. 12,000 172,444
* Naphtha Israel Petroleum Corp. 105,630 14,566
* Nice Systems, Ltd. 17,433 493,705
* Nisko Industries (1992), Ltd. 3,343 19,854
* OCIF Investments and Development, Ltd. 1,100 13,779
* Orckit Communications, Ltd. 1,856 44,529
Ormat Industries, Ltd. 134,842 603,148
Packer Plada, Ltd. 422 22,473
Property and Building Corp., Ltd. 6,545 491,745
* RADVision, Ltd. 22,903 300,833
Rapac Electronics, Ltd. 6,000 15,210
Rapac Technologies (2000), Ltd. 6,000 14,342
* Retalix, Ltd. 16,109 308,504
Scitex Corp., Ltd. 46,509 210,213
* Shrem Fudim Kelner & Co., Ltd. 6,600 18,171
Suny Electronic Inc., Ltd. 37,700 201,754
* Super-Sol, Ltd. Series B 286,153 670,700
Tadiran Communications, Ltd. 15,591 479,492
* Team Computer & Systems, Ltd. 1,400 15,022
Telsys, Ltd. Electronic Engineering 5,300 27,268
* Tower Semiconductor, Ltd. 68,316 142,578
* Union Bank of Israel, Ltd. 55,564 187,172
Ytong Industries, Ltd. 52,585 42,523
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TOTAL COMMON STOCKS
(Cost $11,974,272) 16,187,186
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RIGHTS/WARRANTS -- (0.0%)
* Alony Hetz Properties & Investments, Ltd. Warrants 11/20/07 16,263 10,090
* Delek Drilling Warrants 07/31/04 27,376 0
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TOTAL RIGHTS/WARRANTS
(Cost $0) 10,090
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TOTAL -- ISRAEL
(Cost $11,974,272) 16,197,276
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INDONESIA -- (6.3%)
COMMON STOCKS -- (6.3%)
* PT Artha Graya Investama Sentral Tbk 4,773,000 55,618
PT Asahimas Flat Glass Co., Ltd. 1,271,000 338,899
PT Astra Agro Lestari Tbk 6,656,000 2,432,608
PT Astra Graphia Tbk 4,549,000 178,953
PT Bank NISP Tbk 13,832,920 1,070,567
* PT Batu Buana 77,715 1,252
PT Berlian Laju Tanker Tbk 14,767,200 1,306,803
PT Bhakti Investama Tbk 9,031,500 270,565
* PT Branta Mulia Tbk 66,000 5,867
* PT Budi Acid Jaya Tbk 1,449,000 19,282
* PT Charoen Pokphand Indonesia Tbk 3,406,500 105,665
* PT Citra Marga Nusaphala Persada 6,649,500 608,532
* PT Clipan Finance Indonesia Tbk 3,133,000 144,369
PT Dankos Laboratories Tbk 6,022,800 517,025
* PT Davomas Adabi Tbk 4,192,000 510,379
* PT Dharmala Intiland 277,400 2,767
PT Dynaplast Tbk 1,038,000 210,121
PT Enseval Putera Megatrading Tbk 6,380,000 388,620
* PT Eterindo Wahanatama Tbk 397,000 7,711
* PT Ever Shine Textile Tbk 4,029,640 62,683
* PT GT Petrochem Industries Tbk 918,000 39,630
* PT Hero Supermarket Tbk 33,000 6,760
* PT Indal Aluminium Industry 47,000 1,310
PT Indorama Synthetics Tbk 2,211,000 165,554
* PT Jaya Real Property 393,500 79,787
PT Kalbe Farma Tbk 25,907,600 1,790,024
* PT Karwell Indonesia 138,000 6,287
* PT Kawasan Industry Jababeka Tbk 43,401,000 575,827
* PT Keramika Indonesia Assosiasi Tbk 100,000 1,944
PT Komatsu Indonesia Tbk 860,000 271,234
PT Lautan Luas Tbk 1,887,500 82,748
PT Matahari Putra Prima Tbk Foreign 2,609,000 179,974
PT Mayorah Indah 2,473,500 356,049
* PT Metrodata Electronics Tbk 3,981,000 37,294
* PT Modern Photo Tbk 40,000 2,655
* PT Mulia Industrindo 542,000 16,831
* PT Mustika Ratu Tbk 723,000 33,701
* PT Pakuwon Jati Tbk 63,000 2,592
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* PT Panasia Indosyntec Tbk 79,000 4,279
* PT Panin Insurance Tbk 7,979,000 295,770
* PT Prasidha Aneka Niaga Tbk 84,000 840
PT Pudjiadi Prestige, Ltd. Tbk 45,500 1,744
* PT Putra Sejahtera Pioneerindo 29,000 1,088
PT Rig Tenders Indonesia Tbk 1,780,000 183,573
PT Selamat Semp Tbk 1,920,000 64,972
* PT Semen Cibinong Tbk 702,000 40,406
* PT Sinar Mas Agro Resources and Technology Tbk 87,792 30,239
PT Summarecon Agung Tbk 6,332,000 454,397
* PT Sunson Textile Manufacturer Tbk 343,000 5,197
* PT Suparma Tbk 2,400,000 49,118
* PT Surabaya Agung Industri Pulp & Paper 64,500 466
* PT Surya Dumai Industri Tbk 3,298,500 137,438
* PT Suryamas Dutamakmur 125,000 968
PT Tempo Scan Pacific 471,500 460,409
* PT Texmaco Jaya Tbk 93,000 30,483
PT Timah Tbk 1,701,000 409,390
PT Trias Sentosa Tbk 9,198,400 218,816
PT Trimegah Sec Tbk 9,961,000 204,164
PT Tunas Ridean Tbk 1,987,000 132,809
* PT Ultrajaya Milk Industry & Trading Co. 390,000 18,386
PT Unggul Indah Corp. Tbk 48,239 11,256
* PT United Tractors 501,760 110,877
* PT Wicaksana Overseas International 28,560 530
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TOTAL -- INDONESIA
(Cost $8,065,050) 14,756,102
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THAILAND -- (6.0%)
COMMON STOCKS -- (6.0%)
A.J. Plast Public Co., Ltd. (Foreign) 166,500 26,828
* Adkinson Securities Public Co., Ltd. (Foreign) 138,150 27,693
* Advance Agro Public Co., Ltd. (Foreign) 809,000 518,327
Aeon Thana Sinsap (Thailand) Public Co., Ltd. 142,500 119,322
Amarin Plaza Public Co., Ltd. (Foreign) 523,680 33,752
Amata Corp. Public Co., Ltd. 1,120,500 292,848
* Asia Securities Trading Public Co., Ltd. (Foreign) 147,500 275,089
Asian Property Development Public Co., Ltd. (Foreign) 2,483,200 239,436
Bangkok Dusit Medical Services Public Co., Ltd. (Foreign) 485,033 200,610
Bangkok Expressway Public Co., Ltd. (Foreign) 1,170,400 739,481
Bangkok Insurance Public Co., Ltd. 35,880 207,578
* Bangkok Land Co., Ltd. (Foreign) 5,416,570 94,835
* Bangkok Rubber Public Co., Ltd. (Foreign) 14,600 919
Big C Supercenter Public Co., Ltd. (Foreign) 87,000 41,502
* Book Club Finance Public Co., Ltd. 157,200 20,343
Cal-Comp Electronics (Thailand) Public Co., Ltd. 322,900 286,767
Capital Nomura Securities Public Co., Ltd. (Foreign) 46,000 81,705
* Central Paper Industry Public Co., Ltd. (Foreign) 19,800 1,055
Central Pattana Public Co., Ltd. (Foreign) 808,400 168,203
Central Plaza Hotel Public Co., Ltd. (Foreign) 79,000 37,084
* Ch Karnchang Public Co., Ltd. (Foreign) 1,403,700 484,403
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Charoong Thai Wire & Cable Public Co., Ltd. 130,000 25,400
Compass East Ind-Foreign 122,000 29,254
Dynasty Ceramic Public Co., Ltd. 232,500 83,183
* Eastern Star Real Estate Public Co., Ltd. (Foreign) 1,537,600 22,239
astern Water Resources Development & Management Public Co., Ltd.
E (Foreign) 108,120 87,791
Fancy Wood Industries Public Co., Ltd. 260,800 40,367
* GFPT Public Co., Ltd. 71,400 19,204
GMM Grammy Public Co., Ltd. (Foreign) 460,000 190,256
* Golden Land Property Development Public Co., Ltd. (Foreign) 485,616 104,122
Hana Microelectronics Public Co., Ltd. 1,051,891 523,143
Hermraj Land & Development Public Co., Ltd. 3,087,400 79,907
Home Product Center Public Co., Ltd. 417,900 44,961
ICC International Public Co., Ltd. 155,000 153,387
* International Broadcasting Corp. Public Co., Ltd. (Foreign) 975,170 583,964
* International Engineering Public Co., Ltd. (Foreign) 20,000 416
* ITV Public Co., Ltd. 890,300 329,824
* Jasmine International Public Co., Ltd. (Foreign) 8,436,600 149,851
* K.R. Precision Public Co., Ltd. (Foreign) 320,598 20,500
Kang Yong Electric Public Co., Ltd. (Foreign) 7,200 11,875
KCE Electronics Public Co., Ltd. (Foreign) 204,000 40,376
* Keppel Thai Properties Public Co., Ltd. 8,360 789
KGI Securities One Public Co., Ltd. (Foreign) 1,465,546 127,180
Laguna Resorts & Hotels Public Co., Ltd. (Foreign) 32,200 41,261
Loxley Public Co., Ltd. (Foreign) 958,120 86,549
LPN Development Public Co., Ltd. (Foreign) 415,250 31,821
* Major Cineplex Group Public Co., Ltd. 312,500 103,876
MBK Development Public Co., Ltd. 114,000 139,571
* Media of Medias Public Co., Ltd. (Foreign) 9,100 1,963
MFC Asset Management Public Co., Ltd. (Foreign) 5,000 2,093
* Millennium Steel Public Co., Ltd. 1,836,900 97,881
MK Real Estate Development Public Co., Ltd. (Foreign) 472,260 26,842
Muramoto Electronic (Thailand) Public Co., Ltd. (Foreign) 9,900 78,878
* Nakornthai Strip Mill Public Co., Ltd. 9,747,200 450,137
Nation Multimedia Group Public Co., Ltd. (Foreign) 146,259 48,246
National Finance and Securities Public Co., Ltd. (Foreign) 1,387,000 443,446
* Natural Park Public Co., Ltd. (Foreign) 3,032,400 100,028
Noble Development Public Co., Ltd. 260,100 30,359
* Pacific Assets Public Co., Ltd. (Foreign) 141,000 17,173
* Padaeng Industry Public Co., Ltd. (Foreign) 73,800 22,471
Patum Rice Mill & Granary Public Co., Ltd. (Foreign) 5,500 4,082
Phatra Insurance Public Co., Ltd. 10,000 38,569
Phoenix Pulp and Paper Public Co., Ltd. (Foreign) 62,800 173,692
* Picnic Gas & Engineering Public Co., Ltd. 521,800 203,901
* Prasit Development Public Co., Ltd. (Foreign) 29,700 1,130
Quality Houses Public Co., Ltd. (Foreign) 3,370,500 104,339
Regional Container Lines Public Co., Ltd. 869,900 667,711
* Robinson Department Store Public Co., Ltd. (Foreign) 18,525 1,589
Saha Pathana Inter-Holding Public Co., Ltd. 350,000 123,446
Saha-Union Public Co., Ltd. (Foreign) 279,500 127,658
* Samart Corporation Public Co., Ltd. 539,500 101,302
Sammakorn Public Co., Ltd. (Foreign) 75,000 3,806
Sansiri Public Co., Ltd. 780,566 64,965
Seamico Securities Public Co., Ltd. 448,722 94,504
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Serm Suk Public Co., Ltd. (Foreign) 10,000 5,303
Shinawatra Satellite Public Co., Ltd. (Foreign) 876,300 393,568
Siam Food Products Public Co., Ltd. (Foreign) 9,000 17,813
Siam Industrial Credit Public Co., Ltd. 352,862 55,065
Siam Makro Public Co., Ltd. (Foreign) 219,700 284,311
Sino-Thai Engineering & Construction Public Co., Ltd. (Foreign) 1,002,900 220,124
Sri Trang Agro Industry Public Co., Ltd. (Foreign) 30,496 41,786
Srithai Superware Public Co., Ltd. (Foreign) 16,400 3,079
* Standard Chartered Nakornthon Bank Public Co., Ltd. (Foreign) 54 4,522
* STP & I Public Co., Ltd. 138,700 6,124
* Sun Tech Group Public Co., Ltd. (Foreign) 27,200 1,932
Supalai (Forign) 346,000 24,758
SVI Public Co., Ltd. 122,266 35,988
* Tanayong Public Co., Ltd. (Foreign) 261,000 6,623
* Telecomasia Corp. Public Co., Ltd. (Foreign) 2,633,800 487,864
Thai Plastic & Chemicals Public Co., Ltd. (Foreign) 528,000 265,273
Thai Reinsurance Public Co., Ltd. (Foreign) 660,300 69,699
Thai Rung Union Car Public Co., Ltd. (Foreign) 165,000 46,892
Thai Stanley Electric (Thailand) Public Co., Ltd. 60,400 199,239
Thai Union Frozen Products Public Co., Ltd. (Foreign) 64,800 41,928
Thai Vegetable Oil-Foreign 482,600 121,232
Thai Wacoal Public Co., Ltd. 78,000 67,293
Thai-German Ceramic Industry Public Co., Ltd. (Foreign) 361,000 28,580
* Tipco Asphalt Public Co., Ltd. (Foreign) 95,200 57,975
TIPCO Foods (Thailand) Public Co., Ltd. 147,620 16,556
TISCO Finance Public Co., Ltd. (Foreign) 745,900 454,240
* TT&T Public Co., Ltd. (Foreign) 2,897,900 316,188
* Tuntex (Thailand) Public Co., Ltd. (Foreign) 126,728 6,174
* Tycoons Worldwide Group Public Co., Ltd. 133,000 40,835
* United Communication Industry Public Co., Ltd. (Foreign) 139,000 236,311
United Palm Oil Industry Public Co., Ltd. 21,000 23,446
Vanachai Group Co-Foreign 1,564,866 323,615
* Vinythai Public Co., Ltd. (Foreign) 1,019,234 300,003
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TOTAL COMMON STOCKS
(Cost $12,072,322) 14,203,397
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* Thailand Baht 783
------------------
(Cost $775)
RIGHTS/WARRANTS -- (0.0%)
* Bangkok Land (Foreign) Warrants 2006 217,330 0
* Eastern Water Resources Develpoment & Management Public Co., Ltd.
(Foreign) Warrants 11/02/04 28,832 0
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TOTAL RIGHTS/WARRANTS
(Cost $0) 0
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TOTAL -- THAILAND
(Cost $12,073,097) 14,204,180
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POLAND -- (3.3%)
COMMON STOCKS -- (3.3%)
* Amica Wronki SA 18,410 204,676
* Budimex SA 28,076 380,513
* Cersanit-Krasnystaw SA 22,217 777,351
* Computerland SA 14,630 488,215
Debica SA 19,184 610,063
* Echo Investment SA 19,155 523,112
* Fabryki Mebli Forte SA 39,475 157,903
* Farmacol SA 39,250 353,378
* Huta Ferrum SA 309 815
* Impexmetal SA 23,067 365,975
Kroscienskie Huty Szkla Krosno SA 2,000 82,025
* Kutnowskie Zaklady Farmaceutyczne Polfa SA 3,498 363,624
Lentex SA 13,464 107,001
* Mostostal Export SA 42,087 18,495
Mostostal Siedlce SA 17,520 202,852
* Mostostal Warszawa SA 18,600 35,988
* Mostostal Zabrze Holding SA 18,293 4,364
* Netia Holdings SA 43,672 61,075
* Ocean Company SA 8,530 325
* Optimus Technologie 7,500 21,698
Orbis SA 25,000 190,049
Polifarb Cieszyn Wroclaw SA 98,435 240,925
Polska Grupa Farmaceutyczna SA 22,323 416,936
* Prosper SA 12,770 47,927
Przedsiebiorstwo Farmaceutyczne JELFA SA 14,330 242,327
* Przedsiebiorstwo Telekomunikacyjne Szeptel A.S. 16,774 21,888
* Raciborska Fabryka Kotlow SA 37,758 156,597
* Softbank SA 44,730 364,039
* Stalexport SA 11,514 9,771
* Ster-Projekt SA 20,650 40,003
Zaklad Przetworstwa Hutniczego Stalprodukt SA 8,169 206,862
Zaklady Metali Lekkich Kety SA 19,615 822,546
* Zaklady Tluszcowe Kruszwica SA 23,610 255,234
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TOTAL -- POLAND
(Cost $4,125,018) 7,774,552
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PHILIPPINES -- (2.3%)
COMMON STOCKS -- (2.3%)
Alaska Milk Corp. 1,404,000 73,719
Bacnotan Consolidated Industries, Inc. 122,234 34,528
* Belle Corp. 20,937,000 223,390
* C & P Homes, Inc. 6,477,000 33,477
* Digital Telecommunications (Philippines), Inc. 20,973,000 707,490
EDSA Properties Holdings, Inc. 1,759,970 21,921
* EEI Corp. 1,108,000 7,054
* Fil-Estate Land, Inc. 3,170,700 28,132
* Filinvest Development Corp. 4,664,500 81,752
* Filinvest Land, Inc. 25,798,050 495,096
Ginebra San Miguel, Inc. 1,065,200 587,367
* Global Equities, Inc. 886,462 942
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* House of Investments, Inc. 732,000 8,271
* International Container Terminal Services, Inc. 4,593,837 473,722
* Ionics, Inc. 769,825 20,164
* IVantage Corp. 593,400 8,450
Keppel Philippines Marine, Inc. 610,000 3,690
* Lepanto Consolidated Mining Co. Series B 1,925,000 9,585
* Mabuhay Holdings Corp. 516,000 1,400
* Macroasia Corp. 2,237,500 53,710
* Manila Jockey Club, Inc. 130,622 6,973
* Megaworld Properties & Holdings, Inc. 21,843,500 488,457
* Metro Pacific Corp. 45,763,860 334,217
* Negros Navigation Co., Inc. 31,100 205
* Philex Mining Corp. Series B 150,000 1,334
* Philippine Bank of Communications 14,726 20,962
* Philippine National Bank 929,975 376,191
* Philippine National Construction Corp. 173,000 11,390
Philippine Savings Bank 317,212 160,864
* Pilipino Telephone Corp. 1,692,000 76,662
* Prime Orion Philippines, Inc. 2,920,000 8,782
Republic Glass Holding Corp. 507,500 15,713
* RFM Corp. 2,378,934 29,318
Robinson's Land Corp. Series B 3,402,000 148,944
Security Bank Corp. 320,842 154,376
SM Development Corp. 4,971,000 127,050
Soriano (A.) Corp. 3,430,211 96,317
Union Bank of the Philippines 47,500 19,432
* United Paragon Mining Corp. 322,500 746
* Universal Rightfield Property Holdings, Inc. 1,062,000 529
Universal Robina Corp. 3,158,100 561,277
* Victorias Milling Co., Inc. 139,680 2,163
* Vitarich Corp. 176,000 908
------------------
TOTAL -- PHILIPPINES
(Cost $6,088,006) 5,516,670
------------------
HUNGARY -- (2.2%)
COMMON STOCKS -- (2.2%)
* Danubius Hotel & Spa RT 58,038 1,700,654
Delmagyarorszagi Aramszolgaltato Demasz RT 15,581 1,182,071
* Fotex First Hungarian-American Photo Service Co. 749,391 581,193
* Globus Konzervipari RT 101,338 330,693
* Mezogazdasagi Gepgyarto Reszvenytarsasag (Mezogep) 67,414 348,154
* North American Business Industries RT 51,024 121,971
* Pannonplast P.L.C. 39,441 260,721
* Raba Hungarian Railway Carriage & Machine Works 143,528 498,254
* Synergon Information Systems Ltd., Budapest 30,190 54,451
Zwack Unicum Liqueur Industry & Trading Co., Ltd. 1,100 50,680
------------------
TOTAL -- HUNGARY
(Cost $4,841,731) 5,128,842
------------------
27
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ARGENTINA -- (1.2%)
COMMON STOCKS -- (1.2%)
* Acindar Industria Argentina de Aceros SA Series B 482,431 687,949
* Alpargatas SA Industrial y Comercial 1,007 476
Banco del Sud Sociedad Anonima Series B 89,000 96,260
* Banco Suquia SA 76,789 12,236
* Capex SA Series A 26,370 39,896
* Celulosa Argentina SA Series B 6,375 5,315
* Central Costanera SA Series B 50,000 63,092
* Central Puerto SA Series B 61,000 31,417
Cresud SA Comercial Industrial Financiera y Agropecuaria 201,401 282,012
DYCASA SA (Dragados y Construcciones Argentina) Series B 23,052 18,551
* Ferrum SA de Ceramica y Metalurgica Series B 25,200 26,972
* Fiplasto SA Comercial y Industrial 12,000 5,292
* Garovaglio y Zorraquin SA 14,160 1,937
Importadora y Exportadora de la Patagonia Series B 11,500 52,566
* Introductora de Buenos Aires SA Series A 9,832 5,459
* IRSA Inversiones y Representaciones SA 379,635 366,611
* Juan Minetti SA 131,531 143,107
Ledesma S.A.A.I. 387,128 239,262
* Metrogas SA Series B 90,000 32,737
* Polledo SA Industrial y Constructora y Financiera 88,891 14,879
* Quimica Estrella SA Series B 30,460 8,530
* Renault Argentina SA 624,451 122,616
* Sol Petroleo SA 50,662 7,828
Solvay Indupa S.A.I.C. 440,500 453,747
------------------
TOTAL COMMON STOCKS
(Cost $2,762,771) 2,718,747
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* Argentine Peso 22,935
------------------
(Cost $22,611)
TOTAL -- ARGENTINA
(Cost $2,785,382) 2,741,682
------------------
FACE
AMOUNT VALUE+
------------ ------------------
(000)
TEMPORARY CASH INVESTMENTS -- (0.5%)
Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04
(Collateralized by $1,157,000 FNMA Notes 2.95%, 11/14/07, valued at
$1,158,623) to be repurchased at $1,142,060 1,142 1,142,000
------------------
(Cost $1,142,000)
TOTAL INVESTMENTS - (100.0%)
(Cost $180,409,148) $ 234,828,419
------------------
----------
+ Securities have been fair valued. See Note B to Financial Statements.
28
* Non-Income Producing Securities.
See accompanying Notes to Financial Statements.
29
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
[Download Table]
FACE
AMOUNT VALUE+
------- ------
(000)
UNITED STATES -- (48.4%)
AGENCY OBLIGATIONS -- (38.1%)
Federal Farm Credit Bank
2.750%, 09/29/06 $ 141,060 $ 140,007,974
Federal Home Loan Bank
2.250%, 05/15/06 13,000 12,853,984
1.875%, 06/15/06 7,000 6,874,840
2.875%, 08/15/06 77,800 77,470,595
2.625%, 10/16/06 66,000 65,327,988
Federal Home Loan Mortgage
Corporation
2.375%, 04/15/06 20,000 19,830,480
5.500%, 07/15/06 21,600 22,416,286
2.750%, 08/15/06 31,500 31,307,094
2.750%, 10/15/06 90,000 89,305,380
Federal National Mortgage Association
2.125%, 04/15/06 28,000 27,666,548
2.250%, 05/15/06 17,000 16,797,122
3.125%, 07/15/06 7,000 7,000,273
4.375%, 10/15/06 121,000 123,589,279
----------------
TOTAL AGENCY OBLIGATIONS
(Cost $645,035,204) 640,447,843
----------------
BONDS -- (10.3%)
Citigroup, Inc.
5.750%, 05/10/06 14,700 15,221,615
6.250%, 05/15/06 28,079 29,294,175
5.500%, 08/09/06 6,600 6,842,055
General Electric Capital Corp.
2.970%, 07/26/06 45,200 45,038,139
Toyota Motor Credit Corp.
2.900%, 07/14/06 5,200 5,174,068
Toyota Motor Credit Corp.
Medium Term Note
3.000%, 06/09/06 40,000 39,709,600
Wal-Mart Stores, Inc. Corporate Bonds
5.450%, 08/01/06 8,383 8,691,788
Wells Fargo & Co.
6.125%, 02/15/06 5,500 5,688,391
5.900%, 05/21/06 17,035 17,719,534
----------------
TOTAL BONDS
(Cost $174,260,700) 173,379,365
----------------
TOTAL -- UNITED STATES
(Cost $819,295,904) 813,827,208
----------------
SUPRANATIONAL ORGANIZATION
OBLIGATIONS -- (13.8%)
BONDS -- (13.8%)
Asian Development Bank
2.375%, 03/15/06 $ 34,400 $ 34,193,084
European Bank For
Reconstruction & Development
5.375%, 06/15/06 17,700 18,303,818
European Investment Bank
3.000%, 08/15/06 34,000 33,933,666
4.875%, 09/06/06 13,000 13,390,416
Inter-American Development Bank
6.125%, 03/08/06 41,800 43,441,361
Nordic Investment Bank
2.750%, 01/11/06 42,500 42,382,742
World Bank (International Bank for
Reconstruction & Development)
Corporate Bonds
5.000%, 03/28/06 7,000 7,190,407
4.375%, 09/28/06 37,500 38,360,100
----------------
TOTAL -- SUPRANATIONAL
ORGANIZATION OBLIGATIONS
(Cost $233,056,184) 231,195,594
----------------
CANADA -- (11.7%)
BONDS -- (11.7%)
British Columbia, Province of
4.625%, 10/03/06 48,500 49,704,352
Canada Housing Trust
5.527%, 06/15/06@ 31,500 27,532,862
Canadian Government Bonds
6.750%, 08/28/06 46,700 49,557,526
Export Development Corp.
2.750%, 12/12/05 8,600 8,598,237
Manitoba, Province of
4.250%, 11/20/06 10,000 10,212,390
Ontario, Province of
3.500%, 09/08/06@ 60,300 51,164,098
----------------
TOTAL BONDS
(Cost $191,967,280) 196,769,465
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Canadian Dollars
(Cost $830) 915
----------------
TOTAL -- CANADA
(Cost $191,968,110) 196,770,380
----------------
110
[Download Table]
FACE
AMOUNT VALUE+
------- ------
(000)
NETHERLANDS -- (5.2%)
BONDS -- (5.2%)
Bank Nederlandse Gemeenten
4.375%, 12/30/05 $ 37,500 $ 38,048,250
5.250%, 04/10/06 7,400 7,610,160
Nederlandse Waterschapsbank NV
4.250%, 12/28/05 10,000 10,127,000
Rabobank
5.750%, 05/25/06 30,000 31,119,000
----------------
TOTAL -- NETHERLANDS
(Cost $87,632,929) 86,904,410
----------------
GERMANY -- (8.3%)
BONDS -- (8.3%)
Bayerische Landesbank Medium
Term Notes
2.500%, 04/28/06 42,400 41,704,216
KFW International Finance, Inc.
Corporate Bonds
5.250%, 06/28/06 45,000 46,565,325
Landeskreditbank
Baden-Wuerttemberg - Foerderbank
4.500%, 12/30/05 7,000 7,112,700
Landwirtschaft Rentenbank
4.500%, 10/23/06 24,237 24,787,858
Landwirtschaft Rentenbank
6.625%, 12/08/05 18,500 19,166,000
----------------
TOTAL -- GERMANY
(Cost $140,383,906) 139,336,099
----------------
NORWAY -- (2.8%)
BONDS -- (2.8%)
Eksportfinans ASA
5.750%, 06/06/06
(Cost $47,691,149) 45,700 47,426,546
----------------
SWEDEN -- (2.4%)
BONDS -- (2.4%)
Sweden (Kingdom of)
4.375%, 12/20/05
(Cost $40,508,185) 39,500 40,135,950
----------------
SPAIN -- (2.3%)
BONDS -- (2.3%)
Institut de Credito Oficial
2.750%, 12/05/05 17,000 16,976,710
2.375%, 04/18/06 22,000 21,819,600
----------------
TOTAL -- SPAIN
(Cost $39,049,135) 38,796,310
----------------
UNITED KINGDOM -- (1.9%)
BONDS -- (1.9%)
BP Capital Markets P.L.C.
4.625%, 12/12/05 $ 5,000 $ 5,082,000
Landesbank Baden-Wuerttemberg
Capital Markets P.L.C.
5.500%, 02/23/06 26,000 26,738,400
----------------
TOTAL -- UNITED KINGDOM
(Cost $32,088,934) 31,820,400
----------------
FINLAND -- (1.2%)
BONDS -- (1.2%)
Republic of Finland
5.875%, 02/27/06
(Cost $20,467,487) 19,500 20,203,131
----------------
FRANCE -- (0.9%)
BONDS -- (0.9%)
Dexia Municipal Agency Medium Term
Notes
5.125%, 09/11/06
(Cost $15,584,641) 15,000 15,452,100
----------------
AUSTRIA -- (0.6%)
BONDS -- (0.6%)
Bank Austria AG Medium Term Notes
5.750%, 06/08/06
(Cost $10,440,775) 10,000 10,366,000
----------------
TEMPORARY CASH INVESTMENTS -- (0.5%)
Repurchase Agreement, PNC Capital
Markets, Inc, 1.88%, 12/01/04
(Collateralized by $8,652,000 FNMA
Notes 2.95%, 11/14/07, valued
at $8,664,139) to be repurchased at
$8,545,446
(Cost $8,545,000) 8,545 8,544,554
----------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,686,712,339) $ 1,680,778,682
================
----------
+ See Note B to Financial Statements.
* Non-Income Producing Securities.
@ Denominated in local currency or the Euro.
See accompanying Notes to Financial Statements.
111
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 2004
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
[Enlarge/Download Table]
THE U.S. THE U.S. THE U.S. THE DFA
LARGE LARGE CAP SMALL INTERNATIONAL
COMPANY VALUE CAP VALUE
SERIES SERIES SERIES SERIES
------------ ------------ ------------ --------------
ASSETS:
Investments at Value (including $365,201, $450,016, $156,464
and $166,414 of securities on loan, respectively) $ 3,863,486 $ 4,386,085 $ 2,498,157 $ 3,014,121
Cash 4,320 2 -- 15
Receivables:
Investment Securities Sold -- -- 5,363 39,221
Dividends, Interest, and Tax Reclaims 16,343 7,596 1,040 5,868
Securities Lending 23 20 147 82
Fund Shares Sold 3,420 4,261 106,707 4,249
Prepaid Expenses and Other Assets 2 2 1 1
------------ ------------ ------------ --------------
Total Assets 3,887,594 4,397,966 2,611,415 3,063,557
------------ ------------ ------------ --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 380,579 469,590 166,767 180,000
Investment Securities Purchased -- 7,933 18,127 78,844
Fund Shares Redeemed 12,686 1 105,251 19
Due to Advisor 73 318 56 450
Payable for Futures Margin Variation 128 -- -- --
Accrued Expenses and Other Liabilities 209 211 124 201
------------ ------------ ------------ --------------
Total Liabilities 393,675 478,053 290,325 259,514
------------ ------------ ------------ --------------
NET ASSETS $ 3,493,919 $ 3,919,913 $ 2,321,090 $ 2,804,043
============ ============ ============ ==============
SHARES OUTSTANDING $.01 PAR VALUE N/A 211,325,458 144,271,555 174,867,617
============ ============ ============ ==============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE N/A $ 18.55 $ 16.09 $ 16.04
============ ============ ============ ==============
Investments at Cost $ 3,052,709 $ 3,546,521 $ 2,130,664 $ 2,345,082
============ ============ ============ ==============
THE THE UNITED THE
THE JAPANESE PACIFIC RIM KINGDOM CONTINENTAL
SMALL SMALL SMALL SMALL
COMPANY COMPANY COMPANY COMPANY
SERIES SERIES SERIES SERIES
------------ ------------ ------------ --------------
ASSETS:
Investments at Value (including $155,648, $29,601, $0
and $53,654 of securities on loan, respectively) $ 772,092 $ 316,726 $ 381,714 $ 713,041
Cash 15 15 15 15
Receivables:
Investment Securities Sold 202 1,256 5 858
Dividends, Interest, and Tax Reclaims 1,970 347 530 821
Securities Lending 206 40 -- 60
Fund Shares Sold 6,826 2,251 3,646 318
Prepaid Expenses and Other Assets 2 -- -- --
------------ ------------ ------------ --------------
Total Assets 781,313 320,635 385,910 715,113
------------ ------------ ------------ --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 166,179 37,129 -- 60,195
Investment Securities Purchased 9,868 426 8,057 136
Due to Advisor 49 23 30 52
Accrued Expenses and Other Liabilities 85 58 60 86
------------ ------------ ------------ --------------
Total Liabilities 176,181 37,636 8,147 60,469
------------ ------------ ------------ --------------
NET ASSETS $ 605,132 $ 282,999 $ 377,763 $ 654,644
============ ============ ============ ==============
Investments at Cost $ 803,307 $ 293,170 $ 284,903 $ 454,301
============ ============ ============ ==============
See accompanying Notes to Financial Statements.
112
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THE
THE EMERGING THE DFA
EMERGING MARKETS TWO-YEAR GLOBAL
MARKETS SMALL CAP FIXED INCOME
SERIES SERIES SERIES
------------ ------------ ---------------
ASSETS:
Investments at Value $ 1,161,660 $ 234,828 $ 1,680,779
Cash 277 62 15
Receivables:
Investment Securities Sold 362 1,245 --
Dividends, Interest, and Tax Reclaims 1,494 345 21,589
Fund Shares Sold 916 2,391 3,245
Unrealized Gain on Forward Currency Contracts -- -- 1,688
Prepaid Expenses and Other Assets 1 -- 1
------------ ------------ ---------------
Total Assets 1,164,710 238,871 1,707,317
------------ ------------ ---------------
LIABILITIES:
Payables:
Investment Securities Purchased 246 372 --
Fund Shares Redeemed 238 -- --
Due to Advisor 92 37 71
Deferred Thailand Capital Gains Tax 3,676 529 --
Accrued Expenses and Other Liabilities 196 68 114
------------ ------------ ---------------
Total Liabilities 4,448 1,006 185
------------ ------------ ---------------
NET ASSETS $ 1,160,262 $ 237,865 $ 1,707,132
============ ============ ===============
SHARES OUTSTANDING $.01 PAR VALUE N/A N/A 170,926,930
============ ============ ===============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE N/A N/A $ 9.99
============ ============ ===============
Investments at Cost $ 817,432 $ 180,409 $ 1,686,712
============ ============ ===============
See accompanying Notes to Financial Statements.
113
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2004
(AMOUNTS IN THOUSANDS)
[Enlarge/Download Table]
THE U.S. THE U.S. THE U.S. THE DFA
LARGE LARGE CAP SMALL INTERNATIONAL
COMPANY VALUE CAP VALUE
SERIES SERIES SERIES SERIES
------------ ------------ ------------ --------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0,
$0, $0 and $5,119, respectively) $ 66,149 $ 48,899 $ 14,978 $ 52,733
Interest 661 453 295 318
Income from Securities Lending 356 375 1,132 2,413
------------ ------------ ------------ --------------
Total Investment Income 67,166 49,727 16,405 55,464
------------ ------------ ------------ --------------
EXPENSES
Investment Advisory Services 823 3,190 534 4,209
Accounting & Transfer Agent Fees 494 952 531 1,022
Custodian Fees 108 303 169 570
Legal Fees 29 21 12 20
Audit Fees 43 47 23 28
S&P 500 Fees 80 -- -- --
Shareholders' Reports 36 43 24 14
Trustees' Fees and Expenses 33 27 9 9
Other 58 51 31 67
------------ ------------ ------------ --------------
Total Expenses 1,704 4,634 1,333 5,939
------------ ------------ ------------ --------------
NET INVESTMENT INCOME (LOSS) 65,462 45,093 15,072 49,525
------------ ------------ ------------ --------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENT SECURITIES AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment
Securities Sold (2,763) 84,609 113,151 115,062
Net Realized Gain (Loss) on Futures 9,374 -- -- --
Net Realized Gain (Loss) on Foreign Currency
Transactions -- -- -- (332)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 317,965 496,658 180,068 436,284
Futures 714 -- -- --
Translation of Foreign Currency Denominated
Amounts -- -- -- 162
------------ ------------ ------------ --------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND
FOREIGN CURRENCY 325,290 581,267 293,219 551,176
------------ ------------ ------------ --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $ 390,752 $ 626,360 $ 308,291 $ 600,701
============ ============ ============ ==============
See accompanying Notes to Financial Statements.
114
[Enlarge/Download Table]
THE THE UNITED THE
THE JAPANESE PACIFIC RIM KINGDOM CONTINENTAL
SMALL SMALL SMALL SMALL
COMPANY COMPANY COMPANY COMPANY
SERIES SERIES SERIES SERIES
------------ ------------ ------------ --------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $430,
$214, $786 and $1,719, respectively) $ 5,742 $ 7,953 $ 8,331 $ 11,809
Interest 89 41 63 78
Income from Securities Lending 1,854 348 -- 952
------------ ------------ ------------ --------------
Total Investment Income 7,685 8,342 8,394 12,839
------------ ------------ ------------ --------------
EXPENSES
Investment Advisory Services 448 202 283 547
Accounting & Transfer Agent Fees 485 259 359 549
Custodian Fees 226 179 102 283
Legal Fees 5 -- 2 7
Audit Fees 8 1 4 9
Shareholders' Reports 5 -- 3 6
Trustees' Fees and Expenses 4 2 2 5
Other 16 6 8 23
------------ ------------ ------------ --------------
Total Expenses 1,197 649 763 1,429
------------ ------------ ------------ --------------
NET INVESTMENT INCOME (LOSS) 6,488 7,693 7,631 11,410
------------ ------------ ------------ --------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENT SECURITIES AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment Securities Sold 4,671 8,924 7,907 20,346
Net Realized Gain (Loss) on Foreign Currency
Transactions (28) 69 (42) 114
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 101,600 37,804 56,621 139,855
Translation of Foreign Currency Denominated
Amounts 127 16 (12) (20)
------------ ------------ ------------ --------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND
FOREIGN CURRENCY 106,370 46,813 64,474 160,295
------------ ------------ ------------ --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $ 112,858 $ 54,506 $ 72,105 $ 171,705
============ ============ ============ ==============
See accompanying Notes to Financial Statements.
115
[Enlarge/Download Table]
THE
THE EMERGING THE DFA
EMERGING MARKETS TWO-YEAR GLOBAL
MARKETS SMALL CAP FIXED INCOME
SERIES SERIES SERIES
------------ ------------ ---------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $3,796,
$524 and $0, respectively) $ 24,636 $ 4,085 --
Interest 163 34 $ 31,088
------------ ------------ ---------------
Total Investment Income 24,799 4,119 31,088
------------ ------------ ---------------
EXPENSES
Investment Advisory Services 844 337 748
Accounting & Transfer Agent Fees 691 216 727
Custodian Fees 983 303 117
Legal Fees 11 2 10
Audit Fees 14 3 23
Shareholders' Reports 10 2 17
Directors' Fees and Expenses 11 1 17
Other 41 12 24
------------ ------------ ---------------
Total Expenses 2,605 876 1,683
------------ ------------ ---------------
NET INVESTMENT INCOME (LOSS) 22,194 3,243 29,405
------------ ------------ ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENT SECURITIES AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment Securities Sold 84 10,731 (6,273)
Net Realized Gain (Loss) on Foreign Currency
Transactions (1,491) (378) (7,224)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 245,707 35,801 (2,216)
Translation of Foreign Currency Denominated
Amounts 61 42 1,735
Deferred Thailand Capital Gains Tax (985) 410 --
------------ ------------ ---------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND
FOREIGN CURRENCY 243,376 46,606 (13,978)
------------ ------------ ---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $ 265,570 $ 49,849 $ 15,427
============ ============ ===============
See accompanying Notes to Financial Statements.
116
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
[Enlarge/Download Table]
THE U.S. THE U.S.
LARGE COMPANY LARGE CAP VALUE
SERIES SERIES
------------------------------- -------------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2004 2003
-------------- -------------- -------------- --------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 65,462 $ 45,762 $ 45,093 $ 31,384
Net Realized Gain (Loss) on Investment
Securities Sold (2,763) (137,474) 84,609 (48,309)
Net Realized Gain (Loss) on Futures 9,374 9,903 -- --
Net Realized Gain (Loss) on Foreign
Currency Transactions -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency 317,965 447,952 496,658 415,785
Translation of Foreign Currency
Denominated Amounts -- -- -- --
Futures 714 (3,012) -- --
-------------- -------------- -------------- --------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 390,752 363,131 626,360 398,860
-------------- -------------- -------------- --------------
Distributions From:
Net Investment Income -- -- (33,641) (31,464)
Net Short-Term Gains -- -- -- --
Net Long-Term Gains -- -- -- --
-------------- -------------- -------------- --------------
Total Distributions -- -- (33,641) (31,464)
-------------- -------------- -------------- --------------
Capital Share Transactions (1):
Shares Issued -- -- 857,913 495,839
Shares Issued in Lieu of Cash Distributions -- -- 32,697 31,027
Shares Redeemed -- -- (74,078) (121,409)
-------------- -------------- -------------- --------------
Net Increase (Decrease) From Capital Share
Transactions -- -- 816,532 405,457
-------------- -------------- -------------- --------------
Transactions in Interest:
Contributions 571,038 547,508 -- --
Withdrawals (468,868) (533,199) -- --
-------------- -------------- -------------- --------------
Net Increase (Decrease) From Transactions
in Interest 102,170 14,309 -- --
-------------- -------------- -------------- --------------
Total Increase (Decrease) 492,922 377,440 1,409,251 772,853
NET ASSETS
Beginning of Period 3,000,997 2,623,557 2,510,662 1,737,809
-------------- -------------- -------------- --------------
End of Period $ 3,493,919 $ 3,000,997 $ 3,919,913 $ 2,510,662
============== ============== ============== ==============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 50,791 36,572
Shares Issued in Lieu of Cash Distributions N/A N/A 1,939 2,270
Shares Redeemed (4,363) (9,461)
-------------- --------------
48,367 29,381
============== ==============
THE U.S. THE DFA
SMALL CAP INTERNATIONAL VALUE
SERIES SERIES
------------------------------- -------------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2004 2003
-------------- -------------- -------------- --------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 15,072 $ 8,625 $ 49,525 $ 31,730
Net Realized Gain (Loss) on Investment
Securities Sold 113,151 11,512 115,062 (3,540)
Net Realized Gain (Loss) on Futures -- -- -- --
Net Realized Gain (Loss) on Foreign
Currency Transactions -- -- (332) 205
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency 180,068 370,338 436,284 379,196
Translation of Foreign Currency
Denominated Amounts -- -- 162 114
Futures -- -- -- --
-------------- -------------- -------------- --------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 308,291 390,475 600,701 407,705
-------------- -------------- -------------- --------------
Distributions From:
Net Investment Income (10,116) (8,820) (44,310) (30,082)
Net Short-Term Gains (638) -- -- --
Net Long-Term Gains -- -- -- (1,177)
-------------- -------------- -------------- --------------
Total Distributions (10,754) (8,820) (44,310) (31,259)
-------------- -------------- -------------- --------------
Capital Share Transactions (1):
Shares Issued 890,063 397,476 728,312 542,740
Shares Issued in Lieu of Cash Distributions 10,424 8,584 42,852 31,258
Shares Redeemed (345,420) (171,130) (128,290) (471,133)
-------------- -------------- -------------- --------------
Net Increase (Decrease) From Capital Share
Transactions 555,067 234,930 642,874 102,865
-------------- -------------- -------------- --------------
Transactions in Interest:
Contributions -- -- -- --
Withdrawals -- -- -- --
-------------- -------------- -------------- --------------
Net Increase (Decrease) From Transactions
in Interest -- -- -- --
-------------- -------------- -------------- --------------
Total Increase (Decrease) 852,604 616,585 1,199,265 479,311
NET ASSETS
Beginning of Period 1,468,486 851,901 1,604,778 1,125,467
-------------- -------------- -------------- --------------
End of Period
$ 2,321,090 $ 1,468,486 $ 2,804,043 $ 1,604,778
============== ============== ============== ==============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 60,867 34,898 51,724 53,795
Shares Issued in Lieu of Cash Distributions 728 658 3,072 2,986
Shares Redeemed (23,461) (15,197) (9,358) (47,941)
-------------- -------------- -------------- --------------
38,134 20,359 45,438 8,840
============== ============== ============== ==============
See accompanying Notes to Financial Statements.
117
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THE JAPANESE THE PACIFIC RIM
SMALL COMPANY SMALL COMPANY
SERIES SERIES
------------------------------- -------------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2004 2003
-------------- -------------- -------------- --------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 6,488 $ 3,245 $ 7,693 $ 4,147
Net Realized Gain (Loss) on Investment
Securities Sold 4,671 (18,120) 8,924 (436)
Net Realized Gain (Loss) on Foreign
Currency Transactions (28) 54 69 18
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency 101,600 101,101 37,804 56,281
Translation of Foreign Currency
Denominated Amounts 127 16 16 4
-------------- -------------- -------------- --------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 112,858 86,296 54,506 60,014
-------------- -------------- -------------- --------------
Transactions in Interest:
Contributions 214,817 53,153 82,852 25,155
Withdrawals (6,242) (50,797) (11,124) (50,041)
-------------- -------------- -------------- --------------
Net Increase (Decrease) From Transactions
in Interest 208,575 2,356 71,728 (24,886)
-------------- -------------- -------------- --------------
Total Increase (Decrease) 321,433 88,652 126,234 35,128
NET ASSETS
Beginning of Period 283,699 195,047 156,765 121,637
-------------- -------------- -------------- --------------
End of Period $ 605,132 $ 283,699 $ 282,999 $ 156,765
============== ============== ============== ==============
THE UNITED KINGDOM THE CONTINENTAL
SMALL COMPANY SMALL COMPANY
SERIES SERIES
------------------------------- -------------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2004 2003
-------------- -------------- -------------- --------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 7,631 $ 3,789 $ 11,410 $ 7,753
Net Realized Gain (Loss) on Investment
Securities Sold 7,907 (1,016) 20,346 12,045
Net Realized Gain (Loss) on Foreign
Currency Transactions (42) 30 114 315
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency 56,621 42,580 139,855 120,867
Translation of Foreign Currency
Denominated Amounts (12) 5 (20) 69
-------------- -------------- -------------- --------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 72,105 45,388 171,705 141,049
-------------- -------------- -------------- --------------
Transactions in Interest:
Contributions 148,279 41,630 70,258 97,585
Withdrawals (3,538) (25,000) (35,726) (53,295)
-------------- -------------- -------------- --------------
Net Increase (Decrease) From Transactions
in Interest 144,741 16,630 34,532 44,290
-------------- -------------- -------------- --------------
Total Increase (Decrease) 216,846 62,018 206,237 185,339
NET ASSETS
Beginning of Period 160,917 98,899 448,407 263,068
-------------- -------------- -------------- --------------
End of Period $ 377,763 $ 160,917 $ 654,644 $ 448,407
============== ============== ============== ==============
See accompanying Notes to Financial Statements.
118
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THE
THE EMERGING
EMERGING MARKETS MARKETS SMALL CAP
SERIES SERIES
------------------------------- -------------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2004 2003
-------------- -------------- -------------- --------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 22,194 $ 9,466 $ 3,243 $ 1,764
Net Realized Gain (Loss) on Investment
Securities Sold 84 (6,216) 10,731 332
Net Realized Gain (Loss) on Foreign
Currency Transactions (1,491) (283) (378) (143)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency 245,707 148,355 35,801 32,404
Translation of Foreign Currency
Denominated Amounts 61 10 42 --
Deferred Thailand Capital Gains Tax (985) (1,826) 410 (720)
-------------- -------------- -------------- --------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 265,570 149,506 49,849 33,637
-------------- -------------- -------------- --------------
Distributions From:
Net Investment Income -- -- -- --
Net Short-Term Gains -- -- -- --
Net Long-Term Gains -- -- -- --
-------------- -------------- -------------- --------------
Total Distributions -- -- -- --
-------------- -------------- -------------- --------------
Capital Share Transactions (1):
Shares Issued -- -- -- --
Shares Issued in Lieu of Cash Distributions -- -- -- --
Shares Redeemed -- -- -- --
-------------- -------------- -------------- --------------
Net Increase (Decrease) From Capital Share
Transactions -- -- -- --
-------------- -------------- -------------- --------------
Transactions in Interest:
Contributions 377,916 156,160 89,119 36,904
Withdrawals (90,785) (41,298) (18,847) (1,126)
-------------- -------------- -------------- --------------
Net Increase (Decrease) From Transactions
in Interest 287,131 114,862 70,272 35,778
-------------- -------------- -------------- --------------
Total Increase (Decrease) 552,701 264,368 120,121 69,415
NET ASSETS
Beginning of Period 607,561 343,193 117,744 48,329
-------------- -------------- -------------- --------------
End of Period $ 1,160,262 $ 607,561 $ 237,865 $ 117,744
============== ============== ============== ==============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued
Shares Issued in Lieu of Cash Distributions N/A N/A N/A N/A
Shares Redeemed
THE DFA
TWO-YEAR GLOBAL
FIXED INCOME SERIES
-------------------------------
YEAR YEAR
ENDED ENDED
NOV. 30, NOV. 30,
2004 2003
-------------- --------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 29,405 $ 17,497
Net Realized Gain (Loss) on Investment
Securities Sold (6,273) 13,434
Net Realized Gain (Loss) on Foreign
Currency Transactions (7,224) (298)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency (2,216) (9,932)
Translation of Foreign Currency
Denominated Amounts 1,735 306
Deferred Thailand Capital Gains Tax -- --
-------------- --------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 15,427 21,007
-------------- --------------
Distributions From:
Net Investment Income (21,943) (17,698)
Net Short-Term Gains (13,106) --
Net Long-Term Gains (354) (10,965)
-------------- --------------
Total Distributions (35,403) (28,663)
-------------- --------------
Capital Share Transactions (1):
Shares Issued 536,479 411,930
Shares Issued in Lieu of Cash Distributions 35,234 28,394
Shares Redeemed (40,215) (36,366)
-------------- --------------
Net Increase (Decrease) From Capital Share
Transactions 531,498 403,958
-------------- --------------
Transactions in Interest:
Contributions -- --
Withdrawals -- --
-------------- --------------
Net Increase (Decrease) From Transactions
in Interest -- --
-------------- --------------
Total Increase (Decrease) 511,522 396,302
NET ASSETS
Beginning of Period 1,195,610 799,308
-------------- --------------
End of Period $ 1,707,132 $ 1,195,610
============== ==============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 53,400 40,550
Shares Issued in Lieu of Cash Distributions 3,515 2,803
Shares Redeemed (3,974) (3,574)
-------------- --------------
52,941 39,779
============== ==============
See accompanying Notes to Financial Statements.
119
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
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THE U.S. LARGE COMPANY SERIES
----------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period NA+ NA+ NA+ NA+ NA+
-------------- -------------- -------------- -------------- --------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- --
Net Gains (Losses) on Securities -- -- -- -- --
-------------- -------------- -------------- -------------- --------------
Total From Investment Operations -- -- -- -- --
-----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- --
Net Realized Gains -- -- -- -- --
-------------- -------------- -------------- -------------- --------------
Total Distributions -- -- -- -- --
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period NA+ NA+ NA+ NA+ NA+
=============================================================================================================================
Total Return 12.77% 15.05% (16.59)% (12.30)% (4.25)%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 3,493,919 $ 3,000,997 $ 2,623,557 $ 2,831,650 $ 3,138,812
Ratio of Expenses to Average Net Assets 0.05% 0.05% 0.05% 0.05% 0.06%
Ratio of Net Investment Income to
Average Net Assets 1.99% 1.75% 1.53% 1.26% 1.12%
Portfolio Turnover Rate 2% 8% 11% 8% 8%
THE U.S. LARGE CAP VALUE SERIES
----------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 15.41 $ 13.01 $ 14.44 $ 14.71 $ 17.79
-------------- -------------- -------------- -------------- --------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.23 0.21 0.20 0.25 0.33
Net Gains (Losses) on Securities 3.09 2.41 (1.43) 1.25 0.04
-------------- -------------- -------------- -------------- --------------
Total From Investment Operations 3.32 2.62 (1.23) 1.50 0.37
-----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.18) (0.22) (0.20) (0.27) (0.32)
Net Realized Gains -- -- -- (1.50) (3.13)
-------------- -------------- -------------- -------------- --------------
Total Distributions (0.18) (0.22) (0.20) (1.77) (3.45)
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 18.55 $ 15.41 $ 13.01 $ 14.44 $ 14.71
=============================================================================================================================
Total Return 21.68% 20.34% (8.64)% 10.97% 3.06%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 3,919,913 $ 2,510,662 $ 1,737,809 $ 1,637,083 $ 1,735,343
Ratio of Expenses to Average Net Assets 0.15% 0.15% 0.15% 0.15% 0.16%
Ratio of Net Investment Income to
Average Net Assets 1.41% 1.62% 1.49% 1.66% 2.20%
Portfolio Turnover Rate 7% 7% 9% 6% 26%
NA+ Not applicable as The U.S. Large Company Series is organized as a
partnership and does not have a unitized value.
See accompanying Notes to Financial Statements.
120
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THE U.S. SMALL CAP SERIES
----------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 13.84 $ 9.93 $ 11.08 $ 11.67 $ 12.24
-------------- -------------- -------------- -------------- --------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.12 0.08 0.09 0.10 0.11
Net Gains (Losses) on Securities 2.22 3.92 (1.00) 1.24 0.65
-------------- -------------- -------------- -------------- --------------
Total From Investment Operations 2.34 4.00 (0.91) 1.34 0.76
-----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.08) (0.09) (0.10) (0.10) (0.11)
Net Realized Gains (0.01) -- (0.14) (1.83) (1.22)
-------------- -------------- -------------- -------------- --------------
Total Distributions (0.09) (0.09) (0.24) (1.93) (1.33)
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 16.09 $ 13.84 $ 9.93 $ 11.08 $ 11.67
=============================================================================================================================
Total Return 16.99% 40.32% (8.42)% 13.08 6.48%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 2,321,090 $ 1,468,486 $ 851,901 $ 991,082 $ 768,151
Ratio of Expenses to Average Net Assets 0.07% 0.08% 0.08% 0.08% 0.08%
Ratio of Net Investment Income to Average
Net Assets 0.85% 0.84% 0.81% 0.94% 0.99%
Portfolio Turnover Rate 16% 16% 34% 13% 38%
THE DFA INTERNATIONAL VALUE SERIES
----------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 12.40 $ 9.33 $ 10.15 $ 12.07 $ 13.18
-------------- -------------- -------------- -------------- --------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.33 0.27 0.24 0.27 0.27
Net Gains (Losses) on Securities 3.61 3.06 (0.78) (1.49) (0.31)
-------------- -------------- -------------- -------------- --------------
Total From Investment Operations 3.94 3.33 (0.54) (1.22) (0.04)
-----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.30) (0.25) (0.25) (0.27) (0.26)
Net Realized Gains -- (0.01) (0.03) (0.43) (0.81)
-------------- -------------- -------------- -------------- --------------
Total Distributions (0.30) (0.26) (0.28) (0.70) (1.07)
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 16.04 $ 12.40 $ 9.33 $ 10.15 $ 12.07
=============================================================================================================================
Total Return 32.15% 36.24% (5.53)% (10.75)% (0.51)%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 2,804,043 $ 1,604,778 $ 1,125,467 $ 1,208,100 $ 1,553,481
Ratio of Expenses to Average Net Assets 0.28% 0.30% 0.30% 0.29% 0.29%
Ratio of Net Investment Income to Average
Net Assets 2.35% 2.61% 2.36% 2.32% 2.13%
Portfolio Turnover Rate 15% 14% 18% 6% 9%
See accompanying Notes to Financial Statements.
121
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THE JAPANESE SMALL COMPANY SERIES
----------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV.30, NOV.30, NOV.30, NOV.30, NOV.30,
2004 2003 2002 2001 2000
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period NA+ NA+ NA+ NA+ NA+
-------------- -------------- -------------- -------------- --------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- --
Net Gains (Losses) on Securities -- -- -- -- --
-------------- -------------- -------------- -------------- --------------
Total From Investment Operations -- -- -- -- --
-----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- --
Net Realized Gains -- -- -- -- --
-------------- -------------- -------------- -------------- --------------
Total Distributions -- -- -- -- --
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period NA+ NA+ NA+ NA+ NA+
=============================================================================================================================
Total Return 32.73% 47.87% (9.62)% (13.51)% (9.93)%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 605,132 $ 283,699 $ 195,047 $ 196,187 $ 196,118
Ratio of Expenses to Average Net Assets 0.27% 0.28% 0.27% 0.28% 0.27%
Ratio of Net Investment Income to Average
Net Assets 1.45% 1.41% 1.26% 1.41% 1.38%
Portfolio Turnover Rate 5% 16% 5% 9% 6%
THE PACIFIC RIM SMALL COMPANY SERIES
----------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV.30, NOV.30, NOV.30, NOV.30, NOV.30,
2004 2003 2002 2001 2000
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period NA+ NA+ NA+ NA+ NA+
-------------- -------------- -------------- -------------- --------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- --
Net Gains (Losses) on Securities -- -- -- -- --
-------------- -------------- -------------- -------------- --------------
Total From Investment Operations -- -- -- -- --
-----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- --
Net Realized Gains -- -- -- -- --
-------------- -------------- -------------- -------------- --------------
Total Distributions -- -- -- -- --
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period NA+ NA+ NA+ NA+ NA+
=============================================================================================================================
Total Return 27.40% 61.47% 7.28% 2.84% (10.99)%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 282,999 $ 156,765 $ 121,637 $ 130,554 $ 131,888
Ratio of Expenses to Average Net Assets 0.32% 0.31% 0.32% 0.28% 0.29%
Ratio of Net Investment Income to Average
Net Assets 3.82% 3.35% 3.77% 3.69% 4.10%
Portfolio Turnover Rate 11% 15% 26% 10% 7%
NA+ Not applicable as The Japanese Small Company Series and The Pacific Rim
Small Company Series are organized as partnerships and do not have unitized
values.
See accompanying Notes to Financial Statements.
122
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THE UNITED KINGDOM SMALL COMPANY SERIES
----------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period NA+ NA+ NA+ NA+ NA+
-------------- -------------- -------------- -------------- --------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- --
Net Gains (Losses) on Securities -- -- -- -- --
-------------- -------------- -------------- -------------- --------------
Total From Investment Operations -- -- -- -- --
-----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- --
Net Realized Gains
-------------- -------------- -------------- -------------- --------------
Total Distributions -- -- -- -- --
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period NA+ NA+ NA+ NA+ NA+
=============================================================================================================================
Total Return 29.68% 44.65% (4.67)% (4.89)% (6.18)%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 377,763 $ 160,917 $ 98,899 $ 96,741 $ 109,806
Ratio of Expenses to Average Net Assets 0.27% 0.26% 0.26% 0.27% 0.26%
Ratio of Net Investment Income to Average
Net Assets 2.70% 3.25% 3.03% 2.86% 3.06%
Portfolio Turnover Rate 7% 7% 6% 14% 11%
THE CONTINENTAL SMALL COMPANY SERIES
----------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period NA+ NA+ NA+ NA+ NA+
-------------- -------------- -------------- -------------- --------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- --
Net Gains (Losses) on Securities -- -- -- -- --
-------------- -------------- -------------- -------------- --------------
Total From Investment Operations -- -- -- -- --
-----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- --
Net Realized Gains
-------------- -------------- -------------- -------------- --------------
Total Distributions -- -- -- -- --
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period NA+ NA+ NA+ NA+ NA+
=============================================================================================================================
Total Return 36.57% 52.86% 3.22% (5.43)% 2.67%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 654,644 $ 448,407 $ 263,068 $ 210,337 $ 226,724
Ratio of Expenses to Average Net Assets 0.26% 0.30% 0.31% 0.30% 0.28%
Ratio of Net Investment Income to Average
Net Assets 2.09% 2.49% 2.22% 2.73% 2.36%
Portfolio Turnover Rate 9% 11% 12% 12% 9%
NA+ Not applicable as The United Kingdom Small Company Series and The
Continental Small Company Series are organized as partnerships and do not
have unitized values.
See accompanying Notes to Financial Statements.
123
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THE EMERGING MARKETS SERIES
----------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period NA+ NA+ NA+ NA+ NA+
-------------- -------------- -------------- -------------- --------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized) -- -- -- -- --
-------------- -------------- -------------- -------------- --------------
Total From Investment Operations -- -- -- -- --
-----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- --
Net Realized Gains -- -- -- -- --
-------------- -------------- -------------- -------------- --------------
Total Distributions -- -- -- -- --
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period NA+ NA+ NA+ NA+ NA+
=============================================================================================================================
Total Return 35.47% 39.67% 2.10% (8.54)% (22.30)%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,160,262 $ 607,561 $ 343,193 $ 307,720 $ 296,726
Ratio of Expenses to Average Net Assets 0.31% 0.34% 0.34% 0.46% 0.46%
Ratio of Net Investment Income to Average
Net Assets 2.63% 2.23% 1.64% 1.94% 1.33%
Portfolio Turnover Rate 2% 1% 8% 6% 12%
THE EMERGING MARKETS SMALL CAP SERIES
----------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period NA+ NA+ NA+ NA+ NA+
-------------- -------------- -------------- -------------- --------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized) -- -- -- -- --
-------------- -------------- -------------- -------------- --------------
Total From Investment Operations -- -- -- -- --
-----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- --
Net Realized Gains -- -- -- -- --
-------------- -------------- -------------- -------------- --------------
Total Distributions -- -- -- -- --
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period NA+ NA+ NA+ NA+ NA+
=============================================================================================================================
Total Return 35.22% 52.80% 13.07% (9.55)% (23.28)%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 237,865 $ 117,744 $ 40,379 $ 34,687 $ 32,572
Ratio of Expenses to Average Net Assets 0.52% 0.54% 0.51% 0.63% 0.66%
Ratio of Net Investment Income to Average
Net Assets 1.93% 2.44% 2.03% 2.17% 1.69%
Portfolio Turnover Rate 11% 6% 16% 14% 20%
NA+ Not applicable as The Emerging Markets Series and The Emerging Markets
Small Cap Series are organized as partnerships and do not have unitized
values.
See accompanying Notes to Financial Statements.
124
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THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
----------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
-------------- -------------- -------------- -------------- --------------
Net Asset Value, Beginning of Period $ 10.13 $ 10.22 $ 10.03 $ 9.70 $ 10.11
-------------- -------------- -------------- -------------- --------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.12 0.25 0.30 0.44 0.84
Net Gains (Losses) on Securities
(Realized and Unrealized) -- (0.01) 0.16 0.22 (0.23)
-------------- -------------- -------------- -------------- --------------
Total from Investment Operations 0.12 0.24 0.46 0.66 0.61
-------------- -------------- -------------- -------------- --------------
LESS DISTRIBUTIONS
Net Investment Income (0.15) (0.19) (0.27) (0.14) (1.02)
Net Realized Gains (0.11) (0.14) -- -- --
Return of Capital -- -- -- (0.19) --
-------------- -------------- -------------- -------------- --------------
Total Distributions (0.26) (0.33) (0.27) (0.33) (1.02)
-------------- -------------- -------------- -------------- --------------
Net Asset Value, End of Period $ 9.99 $ 10.13 $ 10.22 $ 10.03 $ 9.70
============== ============== ============== ============== ==============
Total Return 1.22% 2.36% 4.60% 6.91% 6.30%
Net Assets, End of Period (thousands) $ 1,707,132 $ 1,195,610 $ 799,308 $ 596,209 $ 518,518
Ratio of Expenses to Average Net
Assets 0.11% 0.13% 0.14% 0.15% 0.15%
Ratio of Net Investment Income to
Average Net Assets 1.96% 1.78% 3.20% 4.54% 5.03%
Portfolio Turnover Rate 131% 144% 138% 113% 73%
See accompanying Notes to Financial Statements.
125
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. At
November 30, 2004, the Trust consisted of twenty-one investment portfolios ("the
Portfolios"), of which eleven are included in this section of the report.
(collectively, the "Series"):
The U.S. Large Company Series
The U.S. Large Cap Value Series
The U.S. Small Cap Series (the "Domestic Equity Portfolios")
The DFA International Value Series
The Japanese Small Company Series
The Pacific Rim Small Company Series
The United Kingdom Small Company Series
The Continental Small Company Series
The Emerging Markets Series
The Emerging Markets Small Cap Series (the "International Fixed Income
Portfolio")
The DFA Two-Year Global Fixed Income Series (the "International Equity
Portfolios") (together, the "International Portfolios")
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operation during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: Securities held by the Domestic Equity Portfolios
which are listed on a securities exchange and for which market quotations are
readily available are valued at the last quoted sale price of the day.
Securities held by the Series that are listed on Nasdaq are valued at the Nasdaq
Official Closing Price ("NOCP"). If there is no last reported sale price or NOCP
for the day, the Series values the securities at the mean between the quoted bid
and asked prices. Securities held by the International Equity Portfolios that
are listed on a securities exchange are valued at the last quoted sale price.
Price information on listed securities is taken from the exchange where the
security is primarily traded. Unlisted securities for which market quotations
are available are valued at the mean between the most recent bid and asked
prices. Fixed income instruments held by The DFA Two-Year Global Fixed Income
Series are valued at the mean between the most recent quoted bid and asked
prices or prices provided by a pricing service when such prices are believed to
reflect the current market value of these securities. Securities for which
quotations are not readily available, or for which market quotations have become
unreliable, are valued in good faith at fair value using methods approved by the
Board of Trustees.
The International Equity Portfolios will also apply a fair value price in
the circumstances described below. Generally, trading in foreign securities
markets is completed each day at various times prior to the close of the New
York Stock Exchange (NYSE). For example, trading in the Japanese securities
markets is completed each day at the close of the Tokyo Stock Exchange
(generally 11:00 p.m. PT), which is fourteen hours prior to the close of the
NYSE (generally 1:00 p.m. PT) and the time that the net asset values of the
International Equity Portfolios are computed. Due to the time differences
between the closings of the relevant foreign securities exchanges and the time
the International Equity Portfolios price their shares at the close of the NYSE,
the International Equity Portfolios will fair value their foreign investments
when it is determined that the market quotations for the foreign investments are
either unreliable or not readily available. The fair value prices will attempt
to reflect the impact of the U.S. financial markets' perceptions and trading
activities on the International Equity Portfolios' foreign investments since the
last closing prices of the foreign investments were calculated on their primary
foreign securities markets or exchanges. For these purposes, the Board of
Trustees
126
of the Funds have determined that movements in relevant indices or other
appropriate market indicators, after the close of the Tokyo Stock Exchange or
the London Stock Exchange, demonstrate that market quotations may be unreliable,
and may trigger fair value pricing. Consequently, fair valuation of portfolio
securities may occur on a daily basis. The fair value pricing by the Funds
utilizes data furnished by an independent pricing service (and that data draws
upon, among other information, the market values of foreign investments). The
fair value prices of portfolio securities generally will be used when it is
determined that the use of such prices will have a material impact on the net
asset value of a Fund. When an International Equity Portfolio uses fair value
pricing, the values assigned to the International Equity Portfolio's foreign
investments may not be the quoted or published prices of the investments on
their primary markets or exchanges.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and
liabilities of the International Portfolios whose values are initially expressed
in foreign currencies are translated to U.S. dollars using the mean between the
most recently quoted bid and asked prices for the U.S. dollar as quoted by
generally recognized reliable sources. Dividend and interest income and certain
expenses are translated to U.S. dollars at the rate of exchange on their
respective accrual dates. Receivables and payables denominated in foreign
currencies are marked to market daily based on daily exchange rates and exchange
gains or losses are realized upon ultimate receipt or disbursement. The DFA
Two-Year Global Fixed Income Series may also enter into forward foreign currency
contracts soley for the purpose of hedging against fluctuations in currency
exchange rates. These contracts are also marked to market daily based on daily
exchange rates.
The International Portfolios do not isolate the effect of fluctuations in
foreign exchange rates from the effect of fluctuations in the market prices of
securities held whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of the
International Portfolios and the U.S. dollar equivalent amounts actually
received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Trustees may defer payment of a percentage of
their total fees earned as a Trustee. These deferred amounts may be treated as
though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Trustees' Fees and
Expenses.
4. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on an accrual basis. Discount and premium on securities
purchased are amortized over the lives of the respective securities, utilizing
the effective interest method. Expenses directly attributable to a Series are
directly charged. Common expenses of the Trust or Series are allocated using
methods approved by the Board of Trustees, generally based on average net
assets.
The International Portfolios may be subject to taxes imposed by countries
in which they invest, with respect to their investments in issuers existing or
operating in such countries. Such taxes are generally based on income earned or
repatriated and capital gains realized on the sale of such investments. The
International Portfolios accrue such taxes when the related income or capital
gains are earned. Some countries require governmental approval for the
repatriation of investment income, capital or the proceeds of sales of foreign
investors. In addition, if there is a deterioration in a country's balance of
payments or for other reasons, a country may impose temporary restrictions on
foreign capital remittances abroad.
127
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Trust. For the year ended November 30, 2004,
the Series' advisory fees were accrued daily and paid monthly to the Advisor
based on the following effective annual rates:
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The U.S. Large Company Series 0.025 of 1%
The U.S. Large Cap Value Series 0.10 of 1%
The U.S. Small Cap Series 0.03 of 1%
The DFA International Value Series 0.20 of 1%
The Japanese Small Company Series 0.10 of 1%
The Pacific Rim Small Company Series 0.10 of 1%
The United Kingdom Small Company Series 0.10 of 1%
The Continental Small Company Series 0.10 of 1%
The Emerging Markets Series 0.10 of 1%
The Emerging Markets Small Cap Series 0.20 of 1%
The DFA Two-Year Global Fixed Income Series 0.05 of 1%
Certain officers of the Trust are also officers, directors and shareholders
of the Advisor.
D. DEFERRED COMPENSATION:
At November 30, 2004, the total liability for deferred compensation to
Trustees is included in Accrued Expenses and Other Liabilities as follows:
[Download Table]
The U.S. Large Company Series $ 55,348
The U.S. Large Cap Value Series 52,268
The U.S. Small Cap Series 28,911
The DFA International Value Series 33,960
The Japanese Small Company Series 7,191
The Pacific Rim Small Company Series 3,222
The United Kingdom Small Company Series 4,597
The Continental Small Company Series 9,063
The Emerging Markets Series 13,548
The Emerging Markets Small Cap Series 2,710
The DFA Two-Year Global Fixed Income Series 24,670
E. PURCHASE AND SALES OF SECURITIES:
For the year ended November 30, 2004, the Series made the following
purchases and sales of investment securities other than short-term securities
(amounts in thousands):
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U.S. GOVERNMENT OTHER INVESTMENT
SECURITIES SECURITIES
---------------------------- ----------------------------
PURCHASES SALES PURCHASES SALES
------------- ------------- ------------- -------------
The U.S. Large Company Series -- -- $ 226,523 $ 62,048
The U.S. Large Cap Value Series -- -- 1,043,610 211,695
The U.S. Small Cap Series -- -- 812,693 280,940
The DFA International Value Series -- -- 966,299 308,148
The Japanese Small Company Series -- -- 230,758 20,708
The Pacific Rim Small Company Series -- -- 101,051 21,708
The United Kingdom Small Company Series -- -- 136,795 19,199
The Continental Small Company Series -- -- 95,467 46,846
The Emerging Markets Series -- -- 315,369 13,502
The Emerging Markets Small Cap Series -- -- 91,916 18,602
The DFA Two-Year Global Fixed Income Series $ 1,201,117 $ 1,019,667 1,253,968 898,312
128
F. FEDERAL INCOME TAXES:
It is the intention of The U.S. Large Cap Value Series, The U.S. Small Cap
Series, The DFA International Value Series and The DFA Two-Year Global Fixed
Income Series to continue to qualify as a regulated investment company under
Subchapter M of the Internal Revenue Code and to distribute substantially all of
its taxable income and capital gains to shareholders. Because income tax
regulations differ from accounting principles generally accepted in the United
States of America, the timing and character of income and capital gain
distributions determined in accordance with tax regulations can differ from
income and capital gains recognized for financial reporting purposes.
Accordingly, the character of distributions and the composition of net assets
for tax purposes can differ from those reflected in the financial statements.
These book/tax differences may be temporary or permanent in nature. To the
extent these differences are permanent, they are charged or credited to paid in
capital, accumulated net realized gain (loss) or undistributed net investment
income as appropriate, in the period the differences arise. These
reclassifications have no effect on net assets or net asset value per share.
The U.S. Large Company Series, The Japanese Small Company Series, The
Pacific Rim Small Company Series, The United Kingdom Small Company Series, The
Continental Small Company Series, The Emerging Markets Series and The Emerging
Markets Small Cap Series are treated as partnerships for federal income tax
purposes and therefore, no provision for federal income taxes is required. Any
interest, dividends, and gains or losses have been deemed to have been "passed
down" to their Feeder Funds.
Dividends from net investment income and distributions from net realized
capital gains are determined in accordance with U.S. federal income tax
regulations, which may differ from those amounts determined under accounting
principles generally accepted in the United States of America. These book/tax
differences are either temporary or permanent in nature. To the extent these
differences are permanent, they are charged or credited to paid-in capital,
accumulated net realized gain (loss) or undistributed net investment income as
appropriate, in the period that the differences arise. Accordingly, the
following permanent differences as of November 30, 2004, primarily attributable
to realized net foreign currency gains/losses, and net realized gains on
securities considered to be "passive foreign investment companies" (amounts in
thousands):
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INCREASE INCREASE
(DECREASE) (DECREASE)
INCREASE ACCUMULATED UNDISTRIBUTED
(DECREASE) NET REALIZED NET INVESTMENT
PAID-IN CAPITAL GAINS (LOSSES) INCOME
--------------- -------------- --------------
The DFA International Value Series -- $ (11,672) $ 11,672
The DFA Two-Year Global Fixed Income Series -- 7,187 (7,187)
These reclassifications had no effect on net assets or net asset value per
share.
129
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2004 and 2003 were as follows (amounts in
thousands):
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ORDINARY
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- -------------- --------------
The U.S. Large Cap Value Series
2004 $ 33,641 -- $ 33,641
2003 31,464 -- 31,464
The U.S. Small Cap Series
2004 10,754 -- 10,754
2003 8,820 -- 8,820
The DFA International Value Series
2004 44,310 -- 44,310
2003 30,082 $ 1,177 31,259
The DFA Two-Year Global Fixed Income
Series
2004 35,086 317 35,403
2003 17,698 10,965 28,663
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
As of November 30, 2004, the components of distributable
earnings/(accumulated losses) were as follows (amounts in thousands):
[Enlarge/Download Table]
TOTAL NET
DISTRIBUTABLE
UNDISTRIBUTED UNDISTRIBUTED CAPITAL EARNINGS
NET INVESTMENT LONG-TERM LOSS (ACCUMULATED
INCOME CAPITAL GAINS CARRYFORWARD LOSSES)
--------------- --------------- --------------- ---------------
The U.S. Large Cap Value Series $ 13,203 $ 3,947 -- $ 17,150
The U.S. Small Cap Series 23,732 94,427 -- 118,159
The DFA International Value Series 22,727 104,819 -- 127,546
The DFA Two-Year Global Fixed Income Series 4,286 -- $ (6,273) (1,987)
For federal income tax purposes, capital loss carryforwards may be carried
forward and applied against future capital gains. At November 30, 2004, the
following Portfolios had capital loss carryforwards available to offset future
realized capital gains through the indicated expiration dates (amounts in
thousands):
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EXPIRES ON NOVEMBER 30,
-----------------------
2012 TOTAL
--------- ---------
The DFA Two-Year Global Fixed Income Series $ 6,273 $ 6,273
During the year ended November 30, 2004, the following Portfolios utilized
capital loss carryforwards to offset realized capital gains for federal income
tax purposes in the following approximate amounts:
[Download Table]
The U.S. Large Cap Value Series $ 80,662,000
The DFA International Value Series 3,507,000
Certain of the Series' investments are in securities considered to be
"passive foreign investment companies", for which any unrealized appreciation
(depreciation) (mark to market) and/or realized gains are required to be
included in distributable net investment income for tax purposes. The following
Series had unrealized appreciation (depreciation) (mark to market) and realized
gains on the sale of passive foreign investment companies, which are
130
included in distributable net investment income for tax purposes, accordingly,
such gains have been reclassified from accumulated net realized gains to
accumulated net investment income.
[Download Table]
MARK TO MARKET REALIZED GAINS
-------------- --------------
The DFA International Value Series $ 10,083,171 $ 12,003,955
The Japanese Small Company Series 3,639,564 92,868
The Pacific Rim Small Company Series 1,131,373 1,633,733
The United Kingdom Small Company Series 1,424,643 32,840
The Continental Small Company Series 3,269,647 1,120,728
The Emerging Markets Series 2,976,502 318,491
The Emerging Markets Small Cap Series 214,365 435,517
At November 30, 2004, the total cost of securities and net realized gains
or losses on securities sold for federal income tax purposes were different from
amounts reported for financial reporting purposes. The federal tax cost,
aggregate gross unrealized appreciation and depreciation of securities held by
each Series, at November 30, 2004 were as follows (amounts in thousands):
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NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
-------------- -------------- -------------- --------------
The U.S. Large Company Series $ 3,213,488 $ 1,038,480 $ (388,482) $ 649,998
The U.S. Large Cap Value Series 3,546,521 1,009,036 (169,472) 839,564
The U.S. Small Cap Series 2,133,706 578,316 (213,865) 364,451
The DFA International Value Series 2,355,353 738,191 (79,423) 658,768
The Japanese Small Company Series 810,005 88,467 (126,380) (37,913)
The Pacific Rim Small Company Series 294,690 47,764 (25,728) 22,036
The United Kingdom Small Company Series 286,339 120,108 (24,733) 95,375
The Continental Small Company Series 457,571 287,262 (31,792) 255,470
The Emerging Markets Series 820,836 405,526 (64,702) 340,824
The Emerging Markets Small Cap Series 180,624 71,535 (17,331) 54,204
The DFA Two-Year Global Fixed Income Series 1,686,713 6,486 (12,420) (5,934)
G. COMPONENTS OF NET ASSETS:
At November 30, 2004, net assets consisted of (amounts in thousands):
[Enlarge/Download Table]
ACCUMULATED ACCUMULATED
NET NET REALIZED
INVESTMENT ACCUMULATED FOREIGN
PAID-IN INCOME NET REALIZED EXCHANGE
CAPITAL (LOSS) GAIN (LOSS) GAIN (LOSS)
-------------- -------------- -------------- --------------
The U.S. Large Cap
Value Series $ 3,063,388 $ 13,157 $ 3,803 --
The U.S. Small Cap
Series 1,838,985 5,149 109,463 --
The DFA International
Value Series 2,017,396 18,196 99,382 $ (332)
The DFA Two-Year Global
Fixed Income Series 1,715,027 9,895 (6,367) (7,224)
UNREALIZED
APPRECIATION UNREALIZED
(DEPRECIATION) OF NET FOREIGN
INVESTMENT EXCHANGE NUMBER OF
SECURITIES AND GAIN TOTAL NET SHARES
FOREIGN CURRENCY (LOSS) ASSETS AUTHORIZED
----------------- ----------------- ----------------- -----------------
The U.S. Large Cap
Value Series $ 839,565 -- $ 3,919,913 Unlimited
The U.S. Small Cap
Series 367,493 -- 2,321,090 Unlimited
The DFA International
Value Series 669,039 $ 362 2,804,043 Unlimited
The DFA Two-Year Global
Fixed Income Series (5,934) 1,735 1,707,132 Unlimited
131
H. FINANCIAL INSTRUMENTS:
In accordance with the Series' investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. REPURCHASE AGREEMENTS: The Series may purchase money market instruments
subject to the counterparty's agreement to repurchase them at an agreed upon
date and price. The counterparty will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
with the Trust's custodian or a third party sub-custodian. In the event of
default or bankruptcy by the other party to the agreement, retention of the
collateral may be subject to legal proceedings. All open repurchase agreements
were entered into on November 30, 2004.
2. FOREIGN MARKET RISKS: Investments in foreign markets may involve
certain consideration and risks not typically associated with investments in the
United States, including the possibility of future political and economic
developments and the level of foreign government supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid and
more volatile than the major securities markets in the United States.
Consequently, acquisition and disposition of securities by the Series may be
inhibited.
3. FUTURES CONTRACTS. During the year ended November 30, 2004, The U.S.
Large Company Series ("Large Company") entered into futures contracts in
accordance with its investment objectives. Upon entering into a futures
contract, Large Company deposits cash or pledges U.S. Government securities to a
broker, equal to the minimum "initial margin" requirements of the exchange on
which the contract is traded. Subsequent payments are received from or paid to
the broker each day, based on the daily fluctuation in the market value of the
contract. These receipts or payments are known as "variation margin" and are
recorded daily by Large Company as unrealized gains or losses until the
contracts are closed. When the contracts are closed, Large Company records a
realized gain or loss equal to the difference between the value of the contract
at the time it was opened and the value at the time it was closed.
At November 30, 2004, Large Company had outstanding 270 long futures
contracts on the S&P 500 Index, all of which expire on December 17, 2004. The
value of such contracts on November 30, 2004 was $79,251,750 which resulted in
an unrealized gain of $2,955,600. Approximately $4,320,000 of cash has been
segregated as collateral for the open futures contracts and has been accounted
for as cash on the Statement of Assets and Liabilities.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Series could lose more than the
initial margin requirements.
4. FORWARD CURRENCY CONTRACTS: Forward Currency Contracts: The DFA
Two-Year Global Fixed Income Series may enter into forward foreign currency
contracts only to hedge against adverse changes in the relationship of the U.S.
dollar to foreign currencies. At November 30, 2004, The DFA Two-Year Global
Fixed Income Series had entered into the following contracts and the related net
unrealized foreign exchange gain/loss is reflected in the accompanying financial
statements:
[Enlarge/Download Table]
UNREALIZED
VALUE AT FOREIGN
SETTLEMENT CURRENCY CONTRACT NOVEMBER 30, EXCHANGE
DATE SOLD CURRENCY AMOUNT 2004 GAIN/(LOSS)
---------- ------------ --------------- ------------- ------------- -------------
The DFA Two-Year Global Fixed Income Series 12/29/04 94,231,404 Canadian Dollar $ 80,912,412 $ 79,224,188 $ 1,688,224
------------- ------------- -------------
$ 80,912,412 $ 79,224,188 $ 1,688,224
============= ============= =============
I. LINE OF CREDIT:
The Trust, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2004
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate
132
plus 1%. Each portfolio is individually, and not jointly liable for its
particular advances under the line of credit. There is no commitment fee on the
unused portion of the line of credit, since this is not a committed facility.
The agreement for the discretionary line of credit may be terminated #by either
party at any time. The agreement for the line of credit expires on June 28,
2005. For the year ended November 30, 2004, borrowings under the line by the
Series were as follows:
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WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING
INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED THE PERIOD
------------- -------------- -------------- -------------- ----------------
The Pacific Rim Small Company Series 1.75% $ 441,938 4 $ 86 $ 477,750
The United Kingdom Small
Company Series 2.51% 237,500 4 66 300,000
There were no outstanding borrowings under the line of credit at November
30, 2004.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
2004 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Each portfolio is individually, and not jointly liable for its
particular advances under the line of credit. Borrowings under the line of
credit are charged interest at rates agreed to by the parties at the time of
borrowing. There is no commitment fee on the unused line of credit. The
agreement for the line of credit expires in April 2005. There were no borrowings
by the Series under the line of credit during the year ended November 30, 2004.
J. SECURITIES LENDING:
As of November 30, 2004, some of the Series' portfolios had securities on
loan to brokers/dealers, for which each portfolio held cash collateral. Each
portfolio invests the cash collateral, as described below, and records a
liability for the return of the collateral, during the period the securities are
on loan. Loans of securities are required at all times to be secured by
collateral at least equal to 100% of the market value of the securities on loan.
However, in the event of default or bankruptcy by the other party to the
agreement, realization and/or retention of the collateral may be subject to
legal proceedings. In the event that the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is insufficient
to cover the value of loaned securities and provided such collateral
insufficiency is not the result of investment losses, PNCBank, National
Association, the lending agent has agreed to pay the amount of the shortfall to
the portfolio or, at the option of the lending agent, to replace the securities.
The cash collateral received by each Portfolio from securities on loan is
invested along with cash collateral from the other Portfolios of the Series in
repurchase agreements collateralized by U.S. government securities. These
investments are accounted for separately for each Portfolio. Securities pledged
as collateral for the repurchase agreements are held by a custodian bank until
the agreements are repurchased.
K. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
133
REPORT OF INDEPENDENT REGISTERED CERTIFIED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS OF THE SERIES, AS DEFINED, AND BOARD OF TRUSTEES OF THE DFA
INVESTMENT TRUST COMPANY
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments (for The U.S. Large Company Series, The U.S. Large
Cap Value Series, The U.S. Small Cap Series, The Japanese Small Company Series,
The United Kingdom Small Company Series and The DFA Two-Year Global Fixed Income
Series) and the summary schedules of portfolio holdings (for The DFA
International Value Series, The Pacific Rim Small Company Series, The
Continental Small Company Series, The Emerging Markets Series and The Emerging
Markets Small Cap Series), and the related statements of operations and of
changes in net assets and the financial highlights presents fairly, in all
material respects, the financial position of The U.S. Large Company Series, The
U.S. Large Cap Value Series, The U.S. Small Cap Series, The DFA International
Value Series, The Japanese Small Company Series, The Pacific Rim Small Company
Series, The United Kingdom Small Company Series, The Continental Small Company
Series, The Emerging Markets Series, The Emerging Markets Small Cap Series and
The DFA Two-Year Global Fixed Income Series (constituting portfolios within The
DFA Investment Trust Company, hereafter referred to as the "Series") at November
30, 2004, the results of each of their operations for the year then ended, the
changes in each of their net assets for each of the two years in the period then
ended and the financial highlights for each of the five years in the period then
ended, in conformity with accounting principles generally accepted in the United
States of America. These financial statements and financial highlights
(hereafter referred to as "financial statements") are the responsibility of the
Series' management; our responsibility is to express an opinion on these
financial statements based on our audits. We conducted our audits of these
financial statements in accordance with the Standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at
November 30, 2004 by correspondence with the custodians and brokers, provide a
reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Fort Lauderdale, Florida
January 14, 2005
134
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
[CHART]
DFA REAL ESTATE SECURITIES PORTFOLIO VS.
S&P 500 INDEX, WILSHIRE REIT INDEX
NOVEMBER 30, 1994-NOVEMBER 30, 2004
GROWTH OF $10,000
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DFA REAL ESTATE WILSHIRE REIT
SECURITIES PORTFOLIO S&P 500 INDEX INDEX
11/30/94 $ 10,000 $ 10,000 $ 10,000
12/31/94 $ 10,788 $ 10,146 $ 10,862
1/31/95 $ 10,484 $ 10,410 $ 10,489
2/28/95 $ 10,658 $ 10,814 $ 10,660
3/31/95 $ 10,636 $ 11,134 $ 10,645
4/30/95 $ 10,582 $ 11,458 $ 10,573
5/31/95 $ 11,007 $ 11,910 $ 11,011
6/30/95 $ 11,236 $ 12,190 $ 11,232
7/31/95 $ 11,366 $ 12,596 $ 11,387
8/31/95 $ 11,442 $ 12,630 $ 11,492
9/30/95 $ 11,638 $ 13,159 $ 11,717
10/31/95 $ 11,268 $ 13,113 $ 11,357
11/30/95 $ 11,402 $ 13,690 $ 11,491
12/31/95 $ 12,090 $ 13,944 $ 12,191
1/31/96 $ 12,206 $ 14,423 $ 12,341
2/29/96 $ 12,357 $ 14,562 $ 12,515
3/31/96 $ 12,368 $ 14,702 $ 12,520
4/30/96 $ 12,357 $ 14,918 $ 12,491
5/31/96 $ 12,622 $ 15,302 $ 12,790
6/30/96 $ 12,853 $ 15,365 $ 13,033
7/31/96 $ 12,911 $ 14,681 $ 13,051
8/31/96 $ 13,373 $ 14,993 $ 13,577
9/30/96 $ 13,662 $ 15,835 $ 13,911
10/31/96 $ 13,997 $ 16,269 $ 14,280
11/30/96 $ 14,621 $ 17,504 $ 14,962
12/31/96 $ 16,181 $ 17,161 $ 16,707
1/31/97 $ 16,278 $ 18,227 $ 16,807
2/28/97 $ 16,218 $ 18,374 $ 16,748
3/31/97 $ 16,315 $ 17,610 $ 16,876
4/30/97 $ 15,793 $ 18,661 $ 16,258
5/31/97 $ 16,256 $ 19,807 $ 16,744
6/30/97 $ 17,119 $ 20,690 $ 17,665
7/31/97 $ 17,569 $ 22,333 $ 18,144
8/31/97 $ 17,485 $ 21,092 $ 18,040
9/30/97 $ 19,078 $ 22,247 $ 19,781
10/31/97 $ 18,544 $ 21,504 $ 19,150
11/30/97 $ 18,885 $ 22,500 $ 19,545
12/31/97 $ 19,316 $ 22,887 $ 19,992
1/31/98 $ 19,086 $ 23,141 $ 19,755
2/28/98 $ 18,767 $ 24,809 $ 19,352
3/31/98 $ 19,266 $ 26,080 $ 19,793
4/30/98 $ 18,652 $ 26,343 $ 19,114
5/31/98 $ 18,536 $ 25,890 $ 18,972
6/30/98 $ 18,549 $ 26,941 $ 18,969
7/31/98 $ 17,321 $ 26,656 $ 17,629
8/31/98 $ 15,736 $ 22,801 $ 15,974
9/30/98 $ 16,734 $ 24,263 $ 16,950
10/31/98 $ 16,376 $ 26,235 $ 16,623
11/30/98 $ 16,618 $ 27,825 $ 16,896
12/31/98 $ 16,346 $ 29,428 $ 16,593
1/31/99 $ 16,022 $ 30,658 $ 16,155
2/28/99 $ 15,915 $ 29,704 $ 15,916
3/31/99 $ 15,806 $ 30,893 $ 15,913
4/30/99 $ 17,302 $ 32,088 $ 17,447
5/31/99 $ 17,760 $ 31,331 $ 17,911
6/30/99 $ 17,463 $ 33,070 $ 17,594
7/31/99 $ 16,912 $ 32,038 $ 16,996
8/31/99 $ 16,763 $ 31,878 $ 16,873
9/30/99 $ 16,035 $ 31,004 $ 16,139
10/31/99 $ 15,711 $ 32,967 $ 15,800
11/30/99 $ 15,496 $ 33,636 $ 15,578
12/31/99 $ 16,021 $ 35,617 $ 16,166
1/31/2000 $ 16,121 $ 33,829 $ 16,268
2/29/2000 $ 15,877 $ 33,190 $ 16,016
3/31/2000 $ 16,449 $ 36,436 $ 16,650
4/30/2000 $ 17,505 $ 35,339 $ 17,831
5/31/2000 $ 17,762 $ 34,615 $ 18,059
6/30/2000 $ 18,276 $ 35,466 $ 18,516
7/31/2000 $ 19,803 $ 34,913 $ 20,258
8/31/2000 $ 19,104 $ 37,081 $ 19,499
9/30/2000 $ 19,790 $ 35,123 $ 20,247
10/31/2000 $ 18,947 $ 34,976 $ 19,381
11/30/2000 $ 19,290 $ 32,220 $ 19,784
12/31/2000 $ 20,569 $ 32,377 $ 21,185
1/31/2001 $ 20,645 $ 33,527 $ 21,180
2/28/2001 $ 20,313 $ 30,469 $ 20,831
3/31/2001 $ 20,479 $ 28,537 $ 20,968
4/30/2001 $ 20,887 $ 30,755 $ 21,430
5/31/2001 $ 21,401 $ 30,961 $ 21,953
6/30/2001 $ 22,672 $ 30,209 $ 23,252
7/31/2001 $ 22,203 $ 29,912 $ 22,785
8/31/2001 $ 23,020 $ 28,040 $ 23,692
9/30/2001 $ 22,295 $ 25,774 $ 22,694
10/31/2001 $ 21,583 $ 26,267 $ 21,886
11/30/2001 $ 22,719 $ 28,281 $ 23,208
12/31/2001 $ 23,277 $ 28,530 $ 23,802
1/31/2002 $ 23,198 $ 28,114 $ 23,709
2/28/2002 $ 23,632 $ 27,571 $ 24,229
3/31/2002 $ 25,109 $ 28,608 $ 25,794
4/30/2002 $ 25,270 $ 26,874 $ 25,938
5/31/2002 $ 25,606 $ 26,675 $ 26,286
6/30/2002 $ 26,297 $ 24,776 $ 26,985
7/31/2002 $ 24,964 $ 22,843 $ 25,525
8/31/2002 $ 25,029 $ 22,994 $ 25,548
9/30/2002 $ 24,130 $ 20,495 $ 24,536
10/31/2002 $ 22,909 $ 22,298 $ 23,219
11/30/2002 $ 23,936 $ 23,612 $ 24,329
12/31/2002 $ 24,249 $ 22,223 $ 24,660
1/31/2003 $ 23,638 $ 21,641 $ 23,942
2/28/2003 $ 24,064 $ 21,316 $ 24,378
3/31/2003 $ 24,641 $ 21,523 $ 24,970
4/30/2003 $ 25,575 $ 23,297 $ 25,931
5/31/2003 $ 26,984 $ 24,524 $ 27,399
6/30/2003 $ 27,546 $ 24,838 $ 27,991
7/31/2003 $ 28,956 $ 25,275 $ 29,480
8/31/2003 $ 29,159 $ 25,768 $ 29,725
9/30/2003 $ 30,162 $ 25,495 $ 30,771
10/31/2003 $ 30,570 $ 26,938 $ 31,227
11/30/2003 $ 31,946 $ 27,175 $ 32,604
12/31/2003 $ 32,879 $ 28,599 $ 33,582
1/31/2004 $ 34,232 $ 29,125 $ 34,925
2/29/2004 $ 34,838 $ 29,530 $ 35,505
3/31/2004 $ 36,831 $ 29,084 $ 37,639
4/30/2004 $ 31,544 $ 28,628 $ 32,128
5/31/2004 $ 33,823 $ 29,020 $ 34,583
6/30/2004 $ 34,800 $ 29,584 $ 35,600
7/31/2004 $ 34,943 $ 28,605 $ 35,781
8/31/2004 $ 37,723 $ 28,720 $ 38,733
9/30/2004 $ 37,597 $ 29,032 $ 38,551
10/31/2004 $ 39,627 $ 29,475 $ 40,691
11/30/2004 $ 41,351 $ 30,668 $ 42,514
[Download Table]
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
--------------------------------------------------
29.44% 21.69% 15.25%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
S&P 500 Index is courtesy of (C) Stocks, Bonds, Bills and Inflation
Yearbook(TM), Ibbotson Associates, Chicago (annually updated works by Roger C.
Ibbotson and Rex A. Sinquefield).
Wilshire REIT Index courtesy of Wilshire Associates Incorporated.
[CHART]
LARGE CAP INTERNATIONAL PORTFOLIO VS.
MSCI EAFE INDEX (NET DIVIDENDS)
NOVEMBER 30, 1994-NOVEMBER 30, 2004
GROWTH OF $10,000
[Download Table]
LARGE CAP MSCI EAFE INDEX
INTERNATIONAL PORTFOLIO (NET DIVIDENDS)
11/30/94 $ 10,000 $ 10,000
12/31/94 $ 10,102 $ 10,063
1/31/95 $ 9,811 $ 9,677
2/28/95 $ 9,742 $ 9,649
3/31/95 $ 10,393 $ 10,251
4/30/95 $ 10,761 $ 10,636
5/31/95 $ 10,633 $ 10,510
6/30/95 $ 10,470 $ 10,325
7/31/95 $ 11,062 $ 10,968
8/31/95 $ 10,625 $ 10,550
9/30/95 $ 10,805 $ 10,756
10/31/95 $ 10,650 $ 10,466
11/30/95 $ 10,937 $ 10,757
12/31/95 $ 11,420 $ 11,191
1/31/96 $ 11,394 $ 11,237
2/29/96 $ 11,358 $ 11,275
3/31/96 $ 11,593 $ 11,515
4/30/96 $ 11,906 $ 11,850
5/31/96 $ 11,759 $ 11,632
6/30/96 $ 11,828 $ 11,697
7/31/96 $ 11,489 $ 11,356
8/31/96 $ 11,540 $ 11,381
9/30/96 $ 11,880 $ 11,683
10/31/96 $ 11,775 $ 11,564
11/30/96 $ 12,323 $ 12,024
12/31/96 $ 12,144 $ 11,869
1/31/97 $ 11,602 $ 11,454
2/28/97 $ 11,780 $ 11,642
3/31/97 $ 11,940 $ 11,684
4/30/97 $ 12,038 $ 11,746
5/31/97 $ 12,801 $ 12,510
6/30/97 $ 13,688 $ 13,199
7/31/97 $ 13,928 $ 13,413
8/31/97 $ 12,970 $ 12,411
9/30/97 $ 13,813 $ 13,106
10/31/97 $ 12,676 $ 12,100
11/30/97 $ 12,667 $ 11,976
12/31/97 $ 12,813 $ 12,081
1/31/98 $ 13,283 $ 12,633
2/28/98 $ 14,006 $ 13,444
3/31/98 $ 14,475 $ 13,858
4/30/98 $ 14,565 $ 13,967
5/31/98 $ 14,573 $ 13,899
6/30/98 $ 14,754 $ 14,004
7/31/98 $ 14,853 $ 14,146
8/31/98 $ 13,082 $ 12,393
9/30/98 $ 12,666 $ 12,014
10/31/98 $ 13,932 $ 13,266
11/30/98 $ 14,709 $ 13,945
12/31/98 $ 15,146 $ 14,496
1/31/99 $ 15,054 $ 14,452
2/28/99 $ 14,722 $ 14,108
3/31/99 $ 15,392 $ 14,697
4/30/99 $ 16,016 $ 15,292
5/31/99 $ 15,189 $ 14,504
6/30/99 $ 15,850 $ 15,070
7/31/99 $ 16,300 $ 15,518
8/31/99 $ 16,411 $ 15,575
9/30/99 $ 16,531 $ 15,732
10/31/99 $ 17,164 $ 16,314
11/30/99 $ 17,816 $ 16,881
12/31/99 $ 19,462 $ 18,396
1/31/2000 $ 18,143 $ 17,228
2/29/2000 $ 18,535 $ 17,692
3/31/2000 $ 19,283 $ 18,378
4/30/2000 $ 18,292 $ 17,411
5/31/2000 $ 17,908 $ 16,987
6/30/2000 $ 18,581 $ 17,651
7/31/2000 $ 17,833 $ 16,911
8/31/2000 $ 17,991 $ 17,058
9/30/2000 $ 17,131 $ 16,228
10/31/2000 $ 16,710 $ 15,845
11/30/2000 $ 16,177 $ 15,250
12/31/2000 $ 16,738 $ 15,792
1/31/2001 $ 16,663 $ 15,784
2/28/2001 $ 15,477 $ 14,600
3/31/2001 $ 14,489 $ 13,626
4/30/2001 $ 15,438 $ 14,573
5/31/2001 $ 14,944 $ 14,059
6/30/2001 $ 14,364 $ 13,484
7/31/2001 $ 14,089 $ 13,238
8/31/2001 $ 13,756 $ 12,904
9/30/2001 $ 12,437 $ 11,596
10/31/2001 $ 12,769 $ 11,893
11/30/2001 $ 13,197 $ 12,332
12/31/2001 $ 13,252 $ 12,405
1/31/2002 $ 12,558 $ 11,746
2/28/2002 $ 12,634 $ 11,828
3/31/2002 $ 13,348 $ 12,468
4/30/2002 $ 13,387 $ 12,551
5/31/2002 $ 13,589 $ 12,710
6/30/2002 $ 13,088 $ 12,204
7/31/2002 $ 11,891 $ 11,000
8/31/2002 $ 11,863 $ 10,974
9/30/2002 $ 10,628 $ 9,796
10/31/2002 $ 11,188 $ 10,322
11/30/2002 $ 11,680 $ 10,790
12/31/2002 $ 11,317 $ 10,428
1/31/2003 $ 10,864 $ 9,993
2/28/2003 $ 10,599 $ 9,764
3/31/2003 $ 10,393 $ 9,573
4/30/2003 $ 11,376 $ 10,512
5/31/2003 $ 12,054 $ 11,149
6/30/2003 $ 12,339 $ 11,419
7/31/2003 $ 12,624 $ 11,695
8/31/2003 $ 12,910 $ 11,977
9/30/2003 $ 13,303 $ 12,346
10/31/2003 $ 14,100 $ 13,115
11/30/2003 $ 14,405 $ 13,407
12/31/2003 $ 15,471 $ 14,454
1/31/2004 $ 15,671 $ 14,658
2/29/2004 $ 16,021 $ 14,997
3/31/2004 $ 16,141 $ 15,081
4/30/2004 $ 15,641 $ 14,740
5/31/2004 $ 15,761 $ 14,790
6/30/2004 $ 16,199 $ 15,114
7/31/2004 $ 15,592 $ 14,623
8/31/2004 $ 15,693 $ 14,688
9/30/2004 $ 16,001 $ 15,072
10/31/2004 $ 16,540 $ 15,586
11/30/2004 $ 17,586 $ 16,651
[Download Table]
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
--------------------------------------------------
22.09% -0.26% 5.81%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
MSCI EAFE Index (net dividends) courtesy of Morgan Stanley Capital
International.
[CHART]
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO VS.
LEHMAN AGGREGATE INDEX
NOVEMBER 30, 1994-NOVEMBER 30, 2004
GROWTH OF $10,000
[Download Table]
DFA FIVE-YEAR GLOBAL LEHMAN
FIXED INCOME PORTFOLIO AGGREGATE INDEX
11/30/94 $ 10,000 $ 10,000
12/31/94 $ 9,987 $ 10,069
1/31/95 $ 10,068 $ 10,268
2/28/95 $ 10,216 $ 10,513
3/31/95 $ 10,419 $ 10,577
4/30/95 $ 10,561 $ 10,725
5/31/95 $ 10,820 $ 11,140
6/30/95 $ 10,840 $ 11,221
7/31/95 $ 10,934 $ 11,197
8/31/95 $ 11,012 $ 11,332
9/30/95 $ 11,167 $ 11,442
10/31/95 $ 11,281 $ 11,591
11/30/95 $ 11,525 $ 11,765
12/31/95 $ 11,591 $ 11,929
1/31/96 $ 11,687 $ 12,008
2/29/96 $ 11,564 $ 11,799
3/31/96 $ 11,650 $ 11,717
4/30/96 $ 11,717 $ 11,651
5/31/96 $ 11,831 $ 11,628
6/30/96 $ 11,875 $ 11,783
7/31/96 $ 11,978 $ 11,815
8/31/96 $ 12,161 $ 11,795
9/30/96 $ 12,379 $ 12,000
10/31/96 $ 12,610 $ 12,267
11/30/96 $ 12,807 $ 12,477
12/31/96 $ 12,839 $ 12,361
1/31/97 $ 12,950 $ 12,399
2/28/97 $ 13,073 $ 12,430
3/31/97 $ 12,984 $ 12,292
4/30/97 $ 13,084 $ 12,476
5/31/97 $ 13,183 $ 12,595
6/30/97 $ 13,386 $ 12,745
7/31/97 $ 13,550 $ 13,089
8/31/97 $ 13,575 $ 12,978
9/30/97 $ 13,702 $ 13,170
10/31/97 $ 13,752 $ 13,361
11/30/97 $ 13,815 $ 13,422
12/31/97 $ 13,907 $ 13,558
1/31/98 $ 14,044 $ 13,731
2/28/98 $ 14,141 $ 13,720
3/31/98 $ 14,230 $ 13,767
4/30/98 $ 14,286 $ 13,838
5/31/98 $ 14,397 $ 13,970
6/30/98 $ 14,461 $ 14,089
7/31/98 $ 14,559 $ 14,118
8/31/98 $ 14,684 $ 14,348
9/30/98 $ 14,862 $ 14,684
10/31/98 $ 14,960 $ 14,606
11/30/98 $ 15,030 $ 14,690
12/31/98 $ 15,071 $ 14,734
1/31/99 $ 15,200 $ 14,838
2/28/99 $ 15,245 $ 14,579
3/31/99 $ 15,357 $ 14,659
4/30/99 $ 15,459 $ 14,706
5/31/99 $ 15,459 $ 14,576
6/30/99 $ 15,392 $ 14,530
7/31/99 $ 15,408 $ 14,469
8/31/99 $ 15,452 $ 14,461
9/30/99 $ 15,517 $ 14,629
10/31/99 $ 15,517 $ 14,683
11/30/99 $ 15,576 $ 14,682
12/31/99 $ 15,631 $ 14,611
1/31/2000 $ 15,662 $ 14,563
2/29/2000 $ 15,739 $ 14,739
3/31/2000 $ 15,836 $ 14,934
4/30/2000 $ 15,914 $ 14,891
5/31/2000 $ 15,944 $ 14,883
6/30/2000 $ 16,041 $ 15,193
7/31/2000 $ 16,134 $ 15,331
8/31/2000 $ 16,212 $ 15,553
9/30/2000 $ 16,320 $ 15,651
10/31/2000 $ 16,431 $ 15,754
11/30/2000 $ 16,525 $ 16,013
12/31/2000 $ 16,670 $ 16,311
1/31/2001 $ 16,802 $ 16,577
2/28/2001 $ 16,885 $ 16,721
3/31/2001 $ 16,974 $ 16,804
4/30/2001 $ 17,023 $ 16,734
5/31/2001 $ 17,090 $ 16,834
6/30/2001 $ 17,102 $ 16,898
7/31/2001 $ 17,235 $ 17,277
8/31/2001 $ 17,369 $ 17,475
9/30/2001 $ 17,635 $ 17,678
10/31/2001 $ 17,854 $ 18,048
11/30/2001 $ 17,718 $ 17,798
12/31/2001 $ 17,658 $ 17,685
1/31/2002 $ 17,709 $ 17,828
2/28/2002 $ 17,863 $ 18,001
3/31/2002 $ 17,579 $ 17,702
4/30/2002 $ 17,890 $ 18,045
5/31/2002 $ 18,046 $ 18,199
6/30/2002 $ 18,272 $ 18,357
7/31/2002 $ 18,635 $ 18,579
8/31/2002 $ 18,877 $ 18,893
9/30/2002 $ 19,247 $ 19,199
10/31/2002 $ 19,230 $ 19,111
11/30/2002 $ 19,055 $ 19,105
12/31/2002 $ 19,490 $ 19,501
1/31/2003 $ 19,417 $ 19,518
2/28/2003 $ 19,703 $ 19,788
3/31/2003 $ 19,715 $ 19,772
4/30/2003 $ 19,786 $ 19,936
5/31/2003 $ 20,233 $ 20,307
6/30/2003 $ 20,211 $ 20,266
7/31/2003 $ 19,653 $ 19,585
8/31/2003 $ 19,617 $ 19,714
9/30/2003 $ 20,157 $ 20,237
10/31/2003 $ 19,902 $ 20,049
11/30/2003 $ 19,902 $ 20,097
12/31/2003 $ 20,068 $ 20,302
1/31/2004 $ 20,221 $ 20,464
2/29/2004 $ 20,431 $ 20,686
3/31/2004 $ 20,655 $ 20,841
4/30/2004 $ 20,021 $ 20,298
5/31/2004 $ 19,925 $ 20,217
6/30/2004 $ 19,981 $ 20,331
7/31/2004 $ 20,137 $ 20,533
8/31/2004 $ 20,524 $ 20,925
9/30/2004 $ 20,565 $ 20,981
10/31/2004 $ 20,702 $ 21,157
11/30/2004 $ 20,507 $ 20,989
[Download Table]
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
--------------------------------------------------
3.04% 5.66% 7.45%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
Lehman Aggregate Index courtesy of Lehman Brothers, Inc.
135
DFA INVESTMENT DIMENSIONS GROUP INC.
MANAGEMENT'S DISCUSSION AND ANALYSIS
U.S. EQUITY MARKET REVIEW YEAR ENDED NOVEMBER 30, 2004
The performance for the U.S. equity market for the year under review was
attributable primarily to two factors: the behavior of large company stocks
relative to small company stocks and the behavior of growth stocks relative to
value stocks. Company size is measured by market capitalization, and "value"
classification is a function of stock price relative to one or more fundamental
characteristics. Compared to other stocks, value stocks sell for low prices
relative to their earnings, dividends, and book values.
Of the two factors, the growth/value distinction was the more significant
during the year ended November 30, 2004: value stocks outperformed growth stocks
by a significant margin. Results were also a function of differences in size
characteristics, but this effect was less pronounced.
% TOTAL RETURN FOR YEAR ENDED NOVEMBER 30, 2004
[Download Table]
Russell 3000 Value Index(R) 20.00%
Russell 3000 Growth Index(R) 6.24%
CRSP 9-10 Index (micro cap companies) 14.99%
Russell 2000 Index(R)(small companies) 17.25%
Russell 1000 Index(R)(large companies) 12.64%
When the size sectors are further segmented by value and growth
characteristics, the distinction in performance between sectors is more
pronounced. The superior performance of small value stocks relative to large
growth stocks was particularly strong.
% TOTAL RETURN FOR YEAR ENDED NOVEMBER 30, 2004
[Download Table]
Russell 2000 Value Index(R)(small value companies) 23.72%
Russell 2000 Growth Index(R)(small growth companies) 10.84%
Russell 1000 Value Index(R)(large value companies) 19.65%
Russell 1000 Growth Index(R)(large growth companies) 5.83%
----------
Source: Frank Russell Co.; Center for Research in Security Prices, University of
Chicago; Standard & Poor's
Differences in returns for the various Dimensional U.S. equity funds over
the year ended November 30, 2004 were attributable primarily to differences in
value/growth and size characteristics. Moreover, the portfolio construction
approach used by Dimensional Fund Advisors Inc. (the "Advisor") generally
results in portfolios with greater emphasis on value or small company
characteristics relative to widely-used index benchmarks. As a result, in years
when value or small company index benchmarks have outperformed growth or large
company index benchmarks, it should not be surprising to find investment
strategies with a greater exposure to small company or value characteristics
outperform growth and large company benchmarks.
DOMESTIC EQUITY PORTFOLIOS' PERFORMANCE OVERVIEW
DFA REAL ESTATE SECURITIES PORTFOLIO
DFA Real Estate Securities Portfolio is designed to capture the returns of
a broadly diversified portfolio of real estate investment trust ("REIT")
securities, but does not attempt to track closely a specific index. As of
November 30, 2004, the Portfolio held 124 stocks, and essentially was fully
invested in equities throughout the year: cash equivalents averaged less than
1.10% of the Portfolio's assets.
136
As a result of the Portfolio's diversified approach, performance was
determined principally by structural trends in the real estate securities
market, rather than the behavior of a limited number of stocks. For the year
ended November 30, 2004, the REIT sector performed relatively well,
outperforming broad U.S. equity market indices. Total returns were 12.85% for
the S&P 500 Index(R), 30.40% for the Wilshire REIT Index, and 29.44% for the DFA
Real Estate Securities Portfolio. Relative to the S&P 500 Index(R), superior
performance of the Portfolio was due to the concentration in real estate
securities. REITs were the second best-performing industry sector for the year
ended November 30, 2004.
INTERNATIONAL EQUITY MARKET REVIEW YEAR ENDED NOVEMBER 30, 2004
International equity markets had generally positive returns for the year
under review. When expressed in local currencies, prices rose in all of the
largest country constituents of the MSCI EAFE Index. Net returns were enhanced
considerably by appreciation in the euro, Japanese yen, Swiss franc, British
pound, Australian dollar and Swedish krona relative to the U.S. dollar. The
overall effect of currency exchange rate changes was a material improvement in
returns for U.S. dollar-based investors: total return for the MSCI EAFE Index
(net dividends) was 13.08% in local currency and 24.19% in U.S. dollars.
% TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2004
[Download Table]
LOCAL
CURRENCY U.S. DOLLAR
TEN LARGEST DEVELOPED MARKETS RETURN RETURN
----------------------------- -------- -----------
United Kingdom (net dividends) 12.03% 24.51%
Japan (net dividends) 10.69% 17.86%
France 12.62% 24.86%
Switzerland 5.03% 19.32%
Germany 11.22% 23.29%
Netherlands 6.65% 18.21%
Australia 28.04% 37.29%
Italy 17.28% 30.03%
Spain 23.45% 36.88%
Sweden 29.85% 45.79%
----------
Gross returns unless otherwise noted.
Source: Morgan Stanley Capital International
Mirroring the U.S. experience, large company growth stocks were the
poorest-performing asset class in international markets, while small company
stocks had the best relative results.
% TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2004 (U.S. DOLLARS)
[Download Table]
MSCI EAFE Small Cap Index (net dividends) 32.17%
S&P / Citigroup Extended Market Index EPAC (small companies) 30.10%
MSCI EAFE Value Index (net dividends) 29.32%
MSCI EAFE Index (net dividends) 24.19%
MSCI EAFE Growth Index (net dividends) 19.07%
Returns in emerging markets were higher, on average, than in developed
country markets, although results varied widely among individual countries. For
the year under review, total returns were 25.32% for the MSCI Emerging Markets
Free Index (net dividends), and 24.19% for the MSCI EAFE Index (net dividends).
137
% TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2004
[Download Table]
TOTAL
RETURNS
COUNTRY (U.S. $)
------- --------
Brazil 34.91%
Argentina 25.55%
Thailand 2.99%
Chile 31.00%
Indonesia 49.70%
Hungary 84.84%
Israel 14.51%
Poland 63.81%
Taiwan 7.55%
Mexico 43.28%
Malaysia 17.71%
Philippines 38.36%
Turkey 57.65%
South Korea 26.73%
----------
Source: DataStream International
INTERNATIONAL EQUITY PORTFOLIOS' PERFORMANCE OVERVIEW
LARGE CAP INTERNATIONAL PORTFOLIO
The Large Cap International Portfolio seeks to capture the returns of
international large company stocks. The investment strategy employs a
disciplined, quantitative approach, emphasizing broad diversification and
consistent exposure to large cap stocks, but does not attempt to track closely a
specific equity index. The Portfolio held 1,413 stocks in twenty-one developed
country markets as of November 30, 2004, and was essentially fully invested in
equities throughout the year: cash equivalents averaged less than 1.10% of the
Portfolio's assets.
As a result of the Portfolio's diversified investment approach, performance
was determined principally by broad structural trends in the international
equity markets, rather than the behavior of a limited number of stocks. For the
year ended November 30, 2004, international stocks generally outperformed U.S.
stocks, in both local currency and U.S. dollar terms. Total returns were 24.19%
for the MSCI EAFE Index (net dividends), 12.85% for the S&P 500 Index(R) of U.S.
stocks, and 22.09% for the Large Cap International Portfolio. Relative to the
MSCI EAFE Index (net dividends), underperformance of the Portfolio was primarily
due to differences in security weights between Portfolio holdings and MSCI EAFE
Index constituents. These differences were most noticeable among stocks with the
most pronounced growth characteristics as measured by book-to-market ratio. To a
lesser extent, underperformance was also attributable to differences in security
weights between the Portfolio and the Index in the communication, non-durables,
and transportation sectors.
FIXED INCOME MARKET REVIEW YEAR ENDED NOVEMBER 30, 2004
For the year ended November 30, 2004, short-term interest rates rose while
longer-term rates were little changed. From a peak of 6.5% in 2001, the Federal
Reserve had reduced the target rate for federal funds to 1.00% by November 30,
2003. The target rate was raised four times over the subsequent twelve months
from 1.00% to 2.00%. The three-month London Interbank Offered Rate ("LIBOR"), a
widely-used benchmark of short-term interest rates, rose 124 basis points during
the year ended November 30, 2004, while the yield on 10-year U.S. Treasury notes
138
rose only 2 basis points. The shape of the yield curve flattened during the
year under review but it remained upwardly-sloped, with yields on long term
instruments exceeding yields on short-term instruments.
[Download Table]
11/30/03 11/30/04 CHANGE
-------- -------- ------
Three-month LIBOR 1.17% 2.41% 105.98%
10-Year U.S. Treasury note yield 4.34% 4.36% 0.46%
----------
Source: The Wall Street Journal
There is generally an inverse relationship between interest rates and bond
prices, such that bond prices fall when interest rates rise. For the year under
review, changes in interest rates and bond prices were more pronounced in some
parts of the yield curve than others. As a result, total return for fixed income
strategies was primarily a function of maturity, with longer maturity
instruments providing higher total returns due to higher coupon interest.
Intermediate-term instruments outperformed short-term securities but returns
were slightly "u-shaped" for shorter term maturities: returns were lower for
one-year instruments than for three month or two year instruments. For the year
ended November 30, 2004, total returns were 1.22% for three-month U.S. Treasury
bills, 0.97% for one-year U.S. Treasury notes, 1.59% for the Merrill Lynch 1-3
Year Government/Corporate Index, and 2.55% for the Lehman Intermediate
Government Index. (Source: The Lehman Brothers Global Family of Indices.
Copyright 2004, Lehman Brothers. All rights reserved).
----------
Source: SBBI, Ibbotson & Sinquefield
The Advisor's fixed income approach is based on a shifting-maturity
strategy that identifies the maturity range with the highest risk-adjusted
expected return. When the yield curve is flat or inverted, short-term securities
are believed to offer the most attractive opportunity on a risk-adjusted basis.
When the yield curve is upwardly sloped, maturities are lengthened to achieve
higher yields associated with the longer maturities. As yield curves in both the
United States and major international bond markets were generally
upwardly-sloped during the year under review, the weighted average maturity of
the Portfolios generally favored the longer end of their respective maturity
ranges.
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
The DFA Five-Year Global Fixed Income Portfolio seeks to maximize risk
adjusted total returns from a universe of U.S. government securities, high
quality corporate securities, and currency-hedged global fixed income
instruments maturing in five years or less. Eligible countries include but are
not limited to the United States, Canada, the United Kingdom, Germany, Japan,
France, Australia, the Netherlands, Sweden and Denmark. The investment strategy
shifts maturities based on changes in the yield curve. Using current prices, the
strategy creates a matrix of expected returns from different buy and sell
strategies, and identifies the maturity range for the highest risk-adjusted
expected returns. Maturities are shifted if premiums can be documented. The
average maturity of the Portfolio fell slightly, from 4.42 years on November 30,
2003 to 4.30 years on November 30, 2004. For the year ended November 30, 2004,
total returns were 3.04% for the DFA Five-Year Global Fixed Income Portfolio,
and 4.44% for the Lehman Aggregate Index. Source: The Lehman Brothers Global
Family of Indices. Copyright 2004, Lehman Brothers. All rights reserved. The
Portfolio essentially was fully invested in fixed income securities throughout
the year under review: cash equivalents averaged less than 0.70% of Portfolio
assets. Relative to the Lehman Aggregate Index, the underperformance of the
Portfolio was primarily due to differences in types of fixed income instruments
eligible for inclusion in the Portfolio and the Index. Mortgage-backed
securities and corporate issues with credit ratings below AA or equivalent are
included in the Lehman Aggregate Index but are not eligible for purchase by the
Portfolio, and for the year ended November 30, 2004 such securities generally
outperformed high-grade government or corporate issues.
139
DISCLOSURE OF FUND EXPENSES
The following Expense Tables are shown so that you can understand the
impact of fees on your investment. All mutual funds have operating expenses. As
a shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended help you
understand the ongoing fees (in dollars) of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Tables below illustrates your fund's costs in two ways.
- ACTUAL FUND RETURN. This section helps you to estimate the actual
expenses after fee waivers that you paid over the period. The "Ending
Account Value" shown is derived from the fund's actual return, and
"Expenses Paid During Period" shows the dollar amount that would have
been paid by an investor who started with $1,000 in the fund. You may
use the information here, together with the amount you invested, to
estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
- HYPOTHETICAL 5% RETURN. This section is intended to help you compare
your fund's costs with those of other mutual funds. It assumes that
the fund had a return of 5% before expenses during the period shown,
but that the expense ratio is unchanged. In this case - because the
return used is not the fund's actual return - the results do not apply
to your investment. The example is useful in making comparisons
because the Securities and Exchange Commission requires all mutual
funds to calculate expenses based on a 5% return. You can assess your
fund's cost by comparing this hypothetical example with the
hypothetical examples that appear in shareholders reports of other
funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs
(if any). The "Annualized Expense Ratio" represents the actual expenses for the
six month period indicated and may be different from the expense ratio in the
Financial Highlights which is for the year ended November 30, 2004.
FOR THE PERIOD JUNE 1, 2004 TO NOVEMBER 30, 2004
EXPENSE TABLES
[Enlarge/Download Table]
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
6/01/04 11/30/04 RATIO PERIOD*
---------- ---------- ---------- ---------
DFA REAL ESTATE SECURITIES PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,222.60 0.39% $ 2.17
Hypothetical 5% Return $ 1,000.00 $ 1,023.05 0.39% $ 1.97
LARGE CAP INTERNATIONAL PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,115.80 0.42% $ 2.22
Hypothetical 5% Return $ 1,000.00 $ 1,022.90 0.42% $ 2.12
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,029.20 0.35% $ 1.78
Hypothetical 5% Return $ 1,000.00 $ 1,023.25 0.35% $ 1.77
----------
* Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in
the most recent fiscal half-year, then divided by 366.
140
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete schedule
of investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For DFA Investment
Dimensions Group Inc., this would be for the fiscal quarters ending August 31
and February 28 (February 29 during leap year). The Form N-Q filing must be made
within 60 days of the end of the quarter. DFA Investment Dimensions Group Inc.
filed its first Form N-Q with the SEC on October 28, 2004. It is available upon
request, without charge, by calling collect (310) 395-8005 or by mailing a
request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa
Monica, California 90401, or by visiting the SEC's website at
http://www.sec.gov, or they may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the
operation of the Public Reference Room).
The SEC has also amended certain regulations to permit a fund to include in
its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu
of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings
reports the fund's 50 largest holdings in unaffiliated issuers and any
investments that exceed one percent of the fund's net assets at the end of the
reporting period. The amendments also require that the Summary Schedule of
Portfolio Holdings identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the
SEC on Form N-CSR within ten days after mailing the annual report to
shareholders. It will be available, upon request, without charge, by calling
collect (310) 395-8005 or by mailing a request to Dimensional Fund Advisors,
Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by
visiting the SEC's website at http://sec.gov, or they may be reviewed and copied
at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for
information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a schedule of investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
DFA REAL ESTATE SECURITIES PORTFOLIO
[Download Table]
REITS 99.6%
Other 0.3
Financials 0.1
-----
100.0%
=====
LARGE CAP INTERNATIONAL PORTFOLIO
[Download Table]
Financials 24.3%
Consumer Discretionary 13.7
Telecommunication Service 10.7
Industrials 9.9
Consumer Staples 9.2
Health Care 7.9
Energy 7.6
Materials 6.2
Information Technology 5.8
Utilities 4.7
-----
100.0%
=====
141
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
[Download Table]
Foreign Government 27.3%
Foreign Corporate 27.0
Corportate 23.8
Supranational 19.2
Government 2.7
-----
100.0%
=====
142
DFA REAL ESTATE SECURITIES PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
[Download Table]
SHARES VALUE+
------ ------
COMMON STOCKS -- (97.2%)
Acadia Realty Trust 166,800 $ 2,527,020
Affordable Residential Communities 222,300 2,867,670
Agree Realty Corp. 35,600 1,071,560
* Alexander's, Inc. 13,000 2,743,000
# Alexandria Real Estate Equities, Inc. 110,600 7,941,080
AMB Property Corp. 471,200 18,824,440
American Land Lease, Inc. 40,100 856,135
AmeriVest Properties, Inc. 134,000 838,840
AMLI Residential Properties Trust 144,800 4,704,552
# Apartment Investment & Management Co. Class A 476,400 17,326,668
Archstone-Smith Trust 1,115,355 40,710,458
Arden Realty Group, Inc. 373,400 13,442,400
Associated Estates Realty Corp. 112,000 1,099,840
AvalonBay Communities, Inc. 410,100 29,158,110
Bedford Property Investors, Inc. 93,000 2,594,700
BNP Residential Properties, Inc. 27,500 404,250
Boston Properties, Inc. 621,200 37,383,816
* Boykin Lodging Co. 99,400 870,744
Brandywine Realty Trust 305,300 8,685,785
BRE Properties, Inc. Class A 286,300 11,635,232
* Burnham Pacific Properties, Inc. 12,500 1,519
Camden Property Trust 227,700 11,164,131
Capital Automotive 218,231 7,356,567
CarrAmerica Realty Corp. 309,800 10,034,422
CBL & Associates Properties, Inc. 175,900 12,891,711
CenterPoint Properties Trust 275,100 12,888,435
Colonial Properties Trust 155,100 6,141,960
Commercial Net Lease Realty 295,575 6,009,040
Cornerstone Realty Income Trust, Inc. 306,300 3,066,063
Corporate Office Properties Trust 193,600 5,378,208
Cousins Properties, Inc. 280,200 9,190,560
Crescent Real Estate Equities, Inc. 566,600 10,255,460
CRT Properties, Inc. 153,100 3,757,074
Developers Diversified Realty Corp. 582,999 25,098,107
Duke Realty Corp. 810,600 28,006,230
EastGroup Properties, Inc. 119,900 4,510,638
Entertainment Properties Trust 142,100 6,097,511
Equity Inns, Inc. 259,100 2,673,912
Equity Lifestyle Properties, Inc. 130,400 4,730,912
Equity Office Properties Trust 2,296,663 63,043,399
Equity One, Inc. 390,276 8,874,876
Equity Residential 1,591,000 53,632,610
Essex Property Trust, Inc. 130,800 10,533,324
Federal Realty Investment Trust 295,200 14,804,280
* FelCor Lodging Trust, Inc. 340,100 4,400,894
First Industrial Realty Trust, Inc. 235,000 9,353,000
* First Union Real Estate Equity & Mortgage Investments 145,200 535,788
Gables Residential Trust 166,900 5,953,323
General Growth Properties 1,246,500 42,767,415
Glenborough Realty Trust, Inc. 182,000 3,974,880
Glimcher Realty Trust 202,700 5,462,765
* Global Signal, Inc. 69,400 2,016,070
* Golf Trust America, Inc. 40,300 77,779
Heritage Property Investment Trust 266,400 8,551,440
Hersha Hospitality Trust 92,600 $ 917,666
Highwood Properties, Inc. 305,700 7,908,459
* HMG Courtland Properties, Inc. 2,400 35,760
Home Properties of New York, Inc. 189,690 7,811,434
Hospitality Properties Trust 383,000 17,212,020
# Host Marriott Corp. 1,960,400 30,699,864
HRPT Properties Trust 1,010,500 12,216,945
Humphrey Hospitality Trust 59,300 234,235
Inland Real Estate Corp. 342,100 5,302,550
Innkeepers USA Trust 214,700 2,894,156
Kilroy Realty Corp. 159,600 6,451,032
Kimco Realty Corp. 638,650 36,326,412
Kramont Realty Trust 137,600 2,768,512
Lasalle Hotel Properties 160,300 4,921,210
Lexington Corporate Properties Trust 275,400 6,188,238
Liberty Property Trust 485,400 19,901,400
Macerich Co. 329,100 19,989,534
Mack-Cali Realty Corp. 345,600 15,116,544
Maguire Properties, Inc. 243,900 6,417,009
* Malan Realty Investors, Inc. 19,100 99,129
Maxus Realty Trust, Inc. 1,700 27,200
* Meristar Hospitality Corp. 379,200 2,578,560
Mid-America Apartment Communities, Inc. 116,300 4,589,198
# Mills Corp. 309,300 18,360,048
Mission West Properties, Inc. 103,000 1,055,750
Monmouth Real Estate Investment Corp. Class A 95,138 786,791
New Plan Excel Realty Trust 584,400 15,474,912
One Liberty Properties, Inc. 54,900 1,056,276
Pan Pacific Retail Properties, Inc. 230,631 13,676,418
* Paragon Real Estate Equity & Investment Trust 10,700 1,445
Parkway Properties, Inc. 64,300 3,221,430
Pennsylvania Real Estate Investment Trust 205,481 8,373,351
* Philips International Realty Corp. 14,400 1,872
Post Properties, Inc. 227,600 7,761,160
Prentiss Properties Trust 256,100 9,575,579
Presidential Realty Corp. Class B 2,100 20,370
Price Legacy Corp. 47,992 916,647
* Prime Group Realty Trust 127,900 805,770
# ProLogis 1,036,300 41,690,349
PS Business Parks, Inc. 124,300 5,574,855
# Public Storage, Inc. 733,500 39,154,230
Ramco-Gershenson Properties Trust 95,900 2,918,237
Realty Income Corp. 225,900 11,256,597
Reckson Associates Realty Corp. 398,701 12,909,938
Regency Centers Corp. 298,600 15,527,200
Roberts Realty Investors, Inc. 14,400 102,816
Saul Centers, Inc. 92,700 3,378,915
Senior Housing Properties Trust 361,900 7,122,192
# Shurgard Storage Centers, Inc. Class A 262,100 10,845,698
Simon Property Group, Inc. 1,264,297 78,487,558
Simon Property Group, L.P. 66,210 3,782,577
Sizeler Property Investors, Inc. 72,000 738,000
# SL Green Realty Corp. 231,100 13,318,293
143
[Download Table]
SHARES VALUE+
------ ------
Sovran Self Storage, Inc. 84,900 $ 3,586,176
Summit Properties, Inc. 179,400 5,713,890
Sun Communities, Inc. 106,300 4,191,409
Tanger Factory Outlet Centers, Inc. 78,200 3,918,602
*# Tarragon Corp. 73,475 1,057,305
Taubman Centers, Inc. 268,900 7,905,660
Town & Country Trust 97,500 2,749,500
Trizec Properties, Inc. 850,000 13,999,500
U.S. Restaurant Properties, Inc. 126,300 2,292,345
United Dominion Realty Trust, Inc. 716,700 16,476,933
United Mobile Homes, Inc. 47,800 711,742
Urstadt Biddle Properties, Inc. 19,800 309,672
Urstadt Biddle Properties, Inc. Class A 104,400 1,759,140
Vornado Realty Trust 705,300 51,839,550
Washington Real Estate Investment Trust 234,000 7,705,620
# Weingarten Realty Investors 479,400 19,535,550
Winston Hotels, Inc. 147,500 1,678,550
---------------
TOTAL COMMON STOCKS
(Cost $920,128,059) 1,292,854,088
---------------
[Download Table]
FACE
AMOUNT VALUE+
------ ------
(000)
TEMPORARY CASH INVESTMENTS -- (2.8%)
Repurchase Agreement, Merrill
Lynch Triparty Repo 1.94%,
12/01/04 (Collateralized by
$22,990,000 U.S. Treasury
Note 4.75%, 05/14/14, valued
at $23,789,310) to be
repurchased at $23,326,282
(Cost $23,325,025)^ $ 23,325 $ 23,325,025
Repurchase Agreement, PNC Capital
Markets, Inc. 1.88%, 12/01/04
(Collateralized by $14,678,000
FHLMC Notes 4.20%, 10/20/09,
valued at $14,740,969) to be
repurchased at $14,587,762
(Cost $14,587,000) 14,587 14,587,000
---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $37,912,025) 37,912,025
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $958,040,084) $ 1,330,766,113
===============
----------
+ See Note B to Financial Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
144
LARGE CAP INTERNATIONAL PORTFOLIO
SUMMARYSCHEDULEOFPORTFOLIOHOLDINGS
NOVEMBER 30, 2004
[Enlarge/Download Table]
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
UNITED KINGDOM -- (25.0%)
COMMON STOCKS -- (25.0%)
Barclays P.L.C 578,648 $ 5,973,195 0.7%
BP Amoco P.L.C. 1,939,401 19,801,387 2.3%
British American Tobacco P.L.C. 255,395 4,271,985 0.5%
Diageo P.L.C. 274,275 3,839,808 0.5%
Glaxosmithkline P.L.C. 529,804 11,187,938 1.3%
HBOS P.L.C. 353,018 4,941,130 0.6%
HSBC Holdings P.L.C. 1,004,745 17,100,587 2.0%
Lloyds TSB Group P.L.C. 503,639 4,052,436 0.5%
Royal Bank of Scotland Group P.L.C. 298,894 9,185,180 1.1%
Shell Transport & Trading Co., P.L.C. 866,241 7,303,870 0.9%
Tesco P.L.C. 695,328 4,005,309 0.5%
Vodafone Group P.L.C. 5,950,041 16,161,689 1.9%
Zeneca Group P.L.C. 149,327 5,859,854 0.7%
Other Securities 107,361,348 12.7%
---------------- ----------------
TOTAL COMMON STOCKS
(Cost $182,697,365) 221,045,716 26.2%
---------------- ----------------
INVESTMENT IN CURRENCY -- (0.0%)
* British Pounds
(Cost $291,096) 298,947 0.0%
---------------- ----------------
TOTAL -- UNITED KINGDOM
(Cost $182,988,461) 221,344,663 26.2%
---------------- ----------------
JAPAN -- (21.5%)
COMMON STOCKS -- (21.5%)
Honda Motor Co., Ltd. 62,300 2,980,713 0.4%
Mitsubishi Tokyo Financial Group, Inc. 491 4,643,233 0.5%
Mizuho Holdings, Inc. 964 4,184,053 0.5%
Nippon Telegraph & Telephone Corp. 2,009 9,001,153 1.1%
Nissan Motor Co., Ltd. 427,500 4,489,876 0.5%
NTT Docomo, Inc. 5,561 9,647,784 1.1%
Toyota Motor Credit Corp. 240,500 8,969,225 1.1%
Other Securities 146,160,362 17.3%
---------------- ----------------
TOTAL COMMON STOCKS
(Cost $192,887,012) 190,076,399 22.5%
---------------- ----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Japanese Yen
(Cost $199,536) 199,927 0.0%
---------------- ----------------
TOTAL -- JAPAN
(Cost $193,086,548) 190,276,326 22.5%
---------------- ----------------
FRANCE -- (8.7%)
COMMON STOCKS -- (8.7%)
BNP Paribas SA 50,518 3,512,574 0.4%
France Telecom SA 231,887 7,272,608 0.9%
L'Oreal 61,197 4,426,234 0.5%
# LVMH (Louis Vuitton Moet Hennessy) 42,323 3,010,993 0.4%
Sanofi Synthelabo 98,257 7,397,727 0.9%
# Total SA 35,906 7,860,972 0.9%
Other Securities 43,579,996 5.1%
---------------- ----------------
TOTAL COMMON STOCKS
(Cost $65,281,183) 77,061,104 9.1%
---------------- ----------------
145
[Enlarge/Download Table]
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities $ 2,655 0.0%
---------------- ----------------
TOTAL -- FRANCE
(Cost $65,285,652) 77,063,759 9.1%
---------------- ----------------
GERMANY -- (6.5%)
COMMON STOCKS -- (6.5%)
Allianz AG 24,396 3,049,948 0.4%
* Deutsche Telekom AG 345,063 7,314,158 0.9%
E.ON AG 39,605 3,335,162 0.4%
SAP AG (Systeme Anwendungen Produkte in der
Datenverarbeitung) 24,232 4,318,997 0.5%
Siemens AG 49,807 3,982,772 0.5%
Other Securities 35,591,871 4.1%
---------------- ----------------
TOTAL COMMON STOCKS
(Cost $55,106,838) 57,592,908 6.8%
---------------- ----------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities 17,973 0.0%
---------------- ----------------
TOTAL -- GERMANY
(Cost $55,152,271) 57,610,881 6.8%
---------------- ----------------
SWITZERLAND -- (6.4%)
COMMON STOCKS -- (6.4%)
* Credit Swisse Group 85,965 3,356,007 0.4%
Nestle SA, Cham und Vevey 27,965 7,172,044 0.9%
Novartis AG 224,186 10,739,760 1.3%
Roche Holding AG Genusschein 48,507 5,099,484 0.6%
Swisscom AG 9,343 3,665,909 0.4%
UBS AG 82,427 6,671,650 0.8%
Other Securities 19,572,800 2.3%
---------------- ----------------
TOTAL COMMON STOCKS
(Cost $43,337,301) 56,277,654 6.7%
---------------- ----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Swiss Francs
(Cost $4,989) 5,297 0.0%
---------------- ----------------
TOTAL -- SWITZERLAND
(Cost $43,342,290) 56,282,951 6.7%
---------------- ----------------
AUSTRALIA -- (4.9%)
COMMON STOCKS -- (4.9%)
BHP Billiton, Ltd. 270,644 3,220,842 0.4%
Telstra Corp., Ltd. 938,916 3,582,619 0.4%
Other Securities 36,732,283 4.4%
---------------- ----------------
TOTAL COMMON STOCKS
(Cost $28,774,410) 43,535,744 5.2%
---------------- ----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Australian Dollar
(Cost $7,110) 7,111 0.0%
---------------- ----------------
TOTAL -- AUSTRALIA
(Cost $28,781,520) 43,542,855 5.2%
---------------- ----------------
146
[Enlarge/Download Table]
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
NETHERLANDS -- (4.5%)
COMMON STOCKS -- (4.5%)
ABN AMRO Holding NV 141,230 $ 3,467,723 0.4%
ING Groep NV 200,241 5,496,054 0.7%
Royal Dutch Petroleum Co., Den Haag 164,596 9,420,112 1.1%
Other Securities 21,531,137 2.5%
---------------- ----------------
TOTAL -- NETHERLANDS
(Cost $38,150,496) 39,915,026 4.7%
---------------- ----------------
ITALY -- (3.7%)
COMMON STOCKS -- (3.7%)
Eni SpA 198,578 4,884,948 0.6%
# Ente Nazionale per L'Energia Elettrica SpA 452,621 4,039,039 0.5%
Telecom Italia Mobile SpA 571,039 3,787,601 0.5%
Other Securities 20,078,659 2.3%
---------------- ----------------
TOTAL COMMON STOCKS
(Cost $26,329,229) 32,790,247 3.9%
---------------- ----------------
PREFERRED STOCKS -- (0.0%)
Other Securities
(Cost $43,047) 14,931 0.0%
---------------- ----------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities 267 0.0%
---------------- ----------------
TOTAL -- ITALY
(Cost $26,372,276) 32,805,445 3.9%
---------------- ----------------
SPAIN -- (3.1%)
COMMON STOCKS -- (3.1%)
Banco Bilbao Vizcaya SA 182,100 2,989,787 0.4%
# Banco Santander Central Hispanoamerica SA 271,784 3,260,357 0.4%
Telefonica de Espana SA 282,457 4,958,032 0.6%
Other Securities 16,210,487 1.8%
---------------- ----------------
TOTAL COMMON STOCKS
(Cost $18,449,606) 27,418,663 3.2%
---------------- ----------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 1,163 0.0%
---------------- ----------------
TOTAL -- SPAIN
(Cost $18,449,606) 27,419,826 3.2%
---------------- ----------------
SWEDEN -- (2.3%)
COMMON STOCKS -- (2.3%)
* Telefon AB L.M. Ericsson Series B 993,800 3,305,547 0.4%
Other Securities 17,301,869 2.0%
---------------- ----------------
TOTAL -- SWEDEN
(Cost $15,116,606) 20,607,416 2.4%
---------------- ----------------
HONG KONG -- (1.7%)
COMMON STOCKS -- (1.7%)
Other Securities 14,665,349 1.7%
---------------- ----------------
147
[Download Table]
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Hong Kong Dollar
(Cost $9,405) $ 9,402 0.0%
---------------- ----------------
TOTAL -- HONG KONG
(Cost $13,225,934) 14,674,751 1.7%
---------------- ----------------
FINLAND -- (1.4%)
COMMON STOCKS -- (1.4%)
Nokia Oyj 342,121 5,537,787 0.7%
Other Securities 7,037,809 0.8%
---------------- ----------------
TOTAL -- FINLAND
(Cost $10,180,827) 12,575,596 1.5%
---------------- ----------------
BELGIUM -- (1.1%)
COMMON STOCKS -- (1.1%)
Other Securities 9,412,348 1.1%
---------------- ----------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities 2,763 0.0%
---------------- ----------------
TOTAL -- BELGIUM
(Cost $6,793,631) 9,415,111 1.1%
---------------- ----------------
IRELAND -- (0.8%)
COMMON STOCKS -- (0.8%)
Other Securities 7,150,316 0.9%
---------------- ----------------
TOTAL -- IRELAND
(Cost $5,210,713) 7,150,316 0.9%
---------------- ----------------
DENMARK -- (0.8%)
COMMON STOCKS -- (0.8%)
Other Securities 6,806,554 0.8%
---------------- ----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Denmark Krone
(Cost $1,501) 1,502 0.0%
---------------- ----------------
TOTAL -- DENMARK
(Cost $4,922,789) 6,808,056 0.8%
---------------- ----------------
SINGAPORE -- (0.7%)
COMMON STOCKS -- (0.7%)
Other Securities 6,451,168 0.8%
---------------- ----------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 8,798 0.0%
---------------- ----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Singapore Dollars
(Cost $5,211) 5,261 0.0%
---------------- ----------------
TOTAL -- SINGAPORE
(Cost $6,753,433) 6,465,227 0.8%
---------------- ----------------
NORWAY -- (0.6%)
COMMON STOCKS -- (0.6%)
Other Securities 4,934,694 0.6%
---------------- ----------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $14,311) 700 0.0%
---------------- ----------------
TOTAL -- NORWAY
(Cost $3,105,873) 4,935,394 0.6%
---------------- ----------------
148
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PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
GREECE -- (0.4%)
COMMON STOCKS -- (0.4%)
Other Securities $ 3,599,177 0.4%
---------------- ----------------
TOTAL -- GREECE
(Cost $2,550,657) 3,599,177 0.4%
---------------- ----------------
PORTUGAL -- (0.4%)
COMMON STOCKS -- (0.4%)
Other Securities 3,101,170 0.4%
---------------- ----------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 4 0.0%
---------------- ----------------
TOTAL -- PORTUGAL
(Cost $2,838,442) 3,101,174 0.4%
---------------- ----------------
AUSTRIA -- (0.3%)
COMMON STOCKS -- (0.3%)
Other Securities 2,318,197 0.3%
---------------- ----------------
TOTAL -- AUSTRIA
(Cost $1,249,277) 2,318,197 0.3%
---------------- ----------------
NEW ZEALAND -- (0.2%)
COMMON STOCKS -- (0.2%)
Other Securities 1,684,054 0.2%
---------------- ----------------
INVESTMENT IN CURRENCY -- (0.0%)
* New Zealand Dollar
(Cost $6,119) 6,410 0.0%
---------------- ----------------
TOTAL -- NEW ZEALAND
(Cost $974,981) 1,690,464 0.2%
---------------- ----------------
EMU -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
* Euro Currency
(Cost $415,564) 426,220 0.1%
---------------- ----------------
FACE
AMOUNT
------
(000)
TEMPORARY CASH INVESTMENTS -- (5.0%)
Repurchase Agreement, Deutsche Bank Securitites 1.95%,
12/01/04 (Collateralized by $41,528,148 U.S. Treasury
Note 1.625%, 03/31/05, valued at $40,741,605) to be
repurchased at $40,743,811 (Cost $40,741,604)^ $ 40,742 40,741,604 4.8%
Repurchase Agreement, PNC Capital Markets, Inc. 1.88%,
12/01/04 (Collateralized by $3,451,000 FNMA Notes 2.95%,
11/14/07, valued at $3,455,842) to be repurchased at
$3,408,178 (Cost $3,408,000) 3,408 3,408,000 0.4%
---------------- ----------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $44,149,604) 44,149,604 5.2%
---------------- ----------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $769,097,451) $ 884,178,435 113.0%
================ ================
----------
+ Securities have been fair valued. See Note B to Financial Statements.
# Total or Partial Securities on Loan.
* Non-Income Producing Securities.
** This is calculated as a percentage of total net assets. The percentages
shown parenthetically next to category headings have been calculated as a
percentage of total investments.
^ Security purchased with cash proceeds from securities on loan.
"Other securities" are those securities that are not among the top 50
holdings of the Fund, or do not represent more than 1.0% of the net assets
of the Fund.
See accompanying Notes to Financial Statements.
149
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
[Download Table]
FACE
AMOUNT VALUE+
------ ------
(000)
UNITED STATES -- (40.1%)
BONDS -- (19.7%)
Citigroup, Inc.
3.625%, 02/09/09 $ 7,000 $ 6,905,255
4.250%, 07/29/09 7,800 7,846,270
Fifth Third Bank
3.375%, 08/15/08 11,035 10,823,735
General Electric Capital Corp.
3.250%, 06/15/09 33,850 32,700,251
Gillette Co.
3.800%, 09/15/09 29,600 29,368,114
Pfizer, Inc.
5.625%, 04/15/09 18,300 19,436,430
Procter & Gamble Co.
4.300%, 08/15/08 4,200 4,291,917
6.875%, 09/15/09 17,979 20,156,814
Toyota Motor Credit Corp.
2.875%, 08/01/08 6,000 5,809,698
US Bank NA
3.400%, 03/02/09 30,250 29,334,000
Wal-Mart Stores, Inc.
6.875%, 08/10/09 33,590 37,618,415
Wells Fargo & Co.
3.125%, 04/01/09 32,090 30,916,950
----------------
TOTAL BONDS
(Cost $237,798,821) 235,207,849
----------------
AGENCY OBLIGATIONS -- (20.4%)
Federal Farm Credit Bank
3.625%, 10/24/08 54,000 53,690,742
Federal Home Loan Bank
3.625%, 11/14/08 34,000 33,883,516
3.000%, 04/15/09 18,000 17,399,322
3.750%, 08/18/09 5,000 4,971,120
Federal Home Loan Mortgage Corporation
5.750%, 03/15/09 16,000 17,189,968
3.375%, 04/15/09 20,000 19,664,480
6.625%, 09/15/09 15,500 17,269,278
Federal National Mortgage Association
5.250%, 01/15/09 12,500 13,170,875
3.250%, 02/15/09 42,000 41,030,976
Tennessee Valley Authority
5.375%, 11/13/08 24,400 25,824,179
----------------
TOTAL AGENCY OBLIGATIONS
(Cost $246,388,278) 244,094,456
----------------
TOTAL -- UNITED STATES
(Cost $484,187,100) 479,302,305
----------------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (15.5%)
BONDS -- (15.5%)
African Development Bank
3.250%, 08/01/08 $ 15,300 $ 14,987,758
Asian Development Bank
5.948%, 05/20/09 34,000 36,876,400
European Investment Bank
3.375%, 03/16/09 33,435 32,989,713
Inter-American Development Bank
5.375%, 11/18/08 9,000 9,574,560
5.625%, 06/29/09^ 32,360 29,223,471
International Finance Corp.
3.750%, 06/30/09 33,035 32,882,576
World Bank (International Bank for
Reconstruction & Development)
Corporate Bonds
5.125%, 03/13/09 27,300 28,782,416
----------------
TOTAL -- SUPRANATIONAL ORGANIZATION OBLIGATIONS
(Cost $182,821,204) 185,316,894
----------------
CANADA -- (12.8%)
BONDS -- (12.8%)
BP Canada Finance
3.625%, 01/15/09 11,394 11,210,853
British Columbia (Province of)
5.000%, 06/25/09 17,500 18,252,500
Canada Housing Trust
4.650%, 09/15/09 32,900 28,587,763
Canadian Government
4.250%, 09/01/09^ 35,800 30,740,339
Ontario, Province of
5.500%, 10/01/08^ 32,520 34,408,566
Toyota Credit Canada
4.250%, 06/17/09^ 27,600 23,369,648
4.750%, 06/29/09^ 7,300 6,302,662
----------------
TOTAL -- CANADA
(Cost $146,770,976) 152,872,331
----------------
GERMANY -- (13.0%)
BONDS -- (13.0%)
Bayerische Landesbank
2.875%, 10/15/08 7,600 7,314,210
5.875%, 12/01/08 9,600 10,257,686
3.200%, 04/15/09 10,000 9,653,630
Deutsche Postbank AG
5.500%, 02/17/09 8,000 8,494,400
KFW International Finance, Inc.
3.250%, 03/30/09 34,700 33,944,199
KFW-Kreditanstalt fuer Wiederaufbau
3.750%, 01/28/09@ 11,700 1,763,541
Landesbank Baden-Wuerttemberg Foerderbank
4.500%, 01/26/09 19,800 16,958,345
150
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FACE
AMOUNT VALUE+
------ ------
(000)
Landwirtschaft Rentenbank
3.750%, 06/15/09 $ 33,000 $ 32,563,773
Westdeutsche Landesbank
6.050%, 01/15/09 32,200 34,291,523
----------------
TOTAL -- GERMANY
(Cost $156,056,816) 155,241,307
----------------
NETHERLANDS -- (5.1%)
BONDS -- (5.1%)
Bank Nederlandse Gemeenten NV
4.375%, 09/15/09 15,000 15,214,650
Nederlandse Waterschapsbank NV
2.750%, 12/30/08 19,300 18,508,700
Rabobank
4.250%, 01/05/09^ 31,200 26,512,325
----------------
TOTAL -- NETHERLANDS
(Cost $59,059,942) 60,235,675
----------------
FRANCE -- (4.3%)
BONDS -- (4.3%)
Dexia Credit Local
5.500%, 01/21/09 20,115 21,295,751
Total Capital SA
3.500%, 01/05/09 30,900 30,492,120
----------------
TOTAL -- FRANCE
(Cost $52,616,654) 51,787,871
----------------
NORWAY -- (2.9%)
BONDS -- (2.9%)
Eksportfinans ASA
4.375%, 07/15/09
(Cost $34,362,395) 34,000 34,431,120
----------------
SPAIN -- (2.8%)
BONDS -- (2.8%)
Institut de Credito Oficial
3.875%, 07/15/09
(Cost $32,791,910) $ 33,045 $ 32,957,100
----------------
FINLAND -- (2.7%)
BONDS -- (2.7%)
Republic of Finland
3.250%, 05/15/09
(Cost $31,633,611) 32,700 31,973,406
----------------
TEMPORARY CASH INVESTMENTS -- (0.8%)
Repurchase Agreement, PNC Capital
Markets, Inc. 1.88%, 12/01/04 (Collateralized by
$9,979,000 FNMA Notes 2.95%, 11/14/07, valued at
$9,993,001) to be repurchased at 9,856,515
(Cost $9,856,000) 9,856 9,856,000
----------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,190,156,607) $ 1,193,974,009
================
----------
+ See Note B to Financial Statements.
^ Denominated in Canadian Dollars.
@ Denominated in Swedish Krona.
See accompanying Notes to Financial Statements.
151
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 2004
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
[Enlarge/Download Table]
DFA
DFA LARGE FIVE-YEAR
REAL ESTATE CAP GLOBAL
SECURITIES INTERNATIONAL FIXED INCOME
PORTFOLIO PORTFOLIO PORTFOLIO
---------------- ---------------- ----------------
ASSETS:
Investments at Value (including $22,760, $38,078 and $0,
of securities on loan, respectively) $ 1,330,766 $ 884,178 $ 1,193,974
Cash -- 15 6
Receivables:
Investment Securities Sold -- -- 5,817
Dividends, Interest, and Tax Reclaims 845 1,499 18,223
Securities Lending 11 42 --
Fund Shares Sold 1,546 592 2,356
Prepaid Expenses and Other Assets 15 11 17
---------------- ---------------- ----------------
Total Assets 1,333,183 886,337 1,220,393
---------------- ---------------- ----------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 23,325 40,742 --
Investment Securities Purchased -- 154 3,841
Fund Shares Redeemed 503 247 7,436
Due to Advisor 318 170 257
Unrealized Loss on Forward Currency Contracts -- -- 3,094
Accrued Expenses and Other Liabilities 139 141 187
---------------- ---------------- ----------------
Total Liabilities 24,285 41,454 14,815
---------------- ---------------- ----------------
NET ASSETS $ 1,308,898 $ 844,883 $ 1,205,578
================ ================ ================
SHARES OUTSTANDING $.01 PAR VALUE 56,864,891 48,801,237 114,791,100
================ ================ ================
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE $ 23.02 $ 17.31 $ 10.50
================ ================ ================
Investments at Cost $ 958,040 $ 769,097 $ 1,190,157
================ ================ ================
See accompanying Notes to Financial Statements.
152
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2004
(AMOUNTS IN THOUSANDS)
[Enlarge/Download Table]
DFA
DFA LARGE FIVE-YEAR
REAL ESTATE CAP GLOBAL
SECURITIES INTERNATIONAL FIXED INCOME
PORTFOLIO PORTFOLIO PORTFOLIO
---------------- ---------------- ----------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0, $1,440
and $0, respectively) $ 39,727 $ 16,236 --
Interest 152 108 $ 38,764
Income from Securities Lending 49 539 --
---------------- ---------------- ----------------
Total Investment Income 39,928 16,883 38,764
---------------- ---------------- ----------------
EXPENSES
Investment Advisory Services 2,995 1,698 2,797
Accounting & Transfer Agent Fees 557 626 659
Custodian Fees 95 287 91
Legal Fees 18 16 19
Audit Fees 48 35 60
Filing Fees 96 65 104
Shareholders' Reports 47 35 48
Directors' Fees and Expenses 13 6 11
Other 13 31 21
---------------- ---------------- ----------------
Total Expenses 3,882 2,799 3,810
---------------- ---------------- ----------------
NET INVESTMENT INCOME (LOSS) 36,046 14,084 34,954
---------------- ---------------- ----------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENT SECURITIES AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment Securities Sold 30,696 2,103 (5,049)
Net Realized Gain (Loss) on Foreign Currency
Transactions -- (15) (6,964)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 205,195 119,249 11,559
Translation of Foreign Currency Denominated
Amounts -- 32 (2,966)
---------------- ---------------- ----------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND
FOREIGN CURRENCY 235,891 121,369 (3,420)
---------------- ---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $ 271,937 $ 135,453 $ 31,534
================ ================ ================
See accompanying Notes to Financial Statements.
153
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
[Enlarge/Download Table]
DFA LARGE DFA
REAL ESTATE CAP FIVE-YEAR
SECURITIES INTERNATIONAL GLOBAL FIXED INCOME
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,
2004 2003 2004 2003 2004 2003
----------- ----------- ----------- ----------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 36,046 $ 22,917 $ 14,084 $ 8,058 $ 34,954 $ 26,914
Net Realized Gain (Loss) on Investment
Securities Sold 30,696 6,763 2,103 -- (5,049) 37,435
Net Realized Gain (Loss) on Foreign
Currency Transactions -- -- (15) 99 (6,964) (826)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency 205,195 136,132 119,249 81,602 11,559 (30,554)
Translation of Foreign Currency
Denominated Amounts -- -- 32 21 (2,966) 708
----------- ----------- ----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations 271,937 165,812 135,453 89,780 31,534 33,677
----------- ----------- ----------- ----------- ----------- -----------
Distributions From:
Net Investment Income (39,355) (20,722) (20,560) (5,772) (32,175) (28,456)
Net Short-Term Gains (707) -- -- -- (7,366) (4,472)
Net Long-Term Gains (6,193) (2,261) -- -- (30,042) (2,655)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (46,255) (22,983) (20,560) (5,772) (69,583) (35,583)
----------- ----------- ----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued 426,234 289,454 291,666 179,697 486,993 390,384
Shares Issued in Lieu of Cash Distributions 45,463 22,586 19,638 5,551 69,052 35,163
Shares Redeemed (171,886) (84,728) (85,437) (102,500) (281,857) (215,919)
----------- ----------- ----------- ----------- ----------- -----------
Net Increase (Decrease) From Capital Share
Transactions 299,811 227,312 225,867 82,748 274,188 209,628
----------- ----------- ----------- ----------- ----------- -----------
Total Increase (Decrease) 525,493 370,141 340,760 166,756 236,139 207,722
NET ASSETS
Beginning of Period 783,405 413,264 504,123 337,367 969,439 761,717
----------- ----------- ----------- ----------- ----------- -----------
End of Period $ 1,308,898 $ 783,405 $ 844,883 $ 504,123 $ 1,205,578 $ 969,439
=========== =========== =========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 21,487 17,797 18,507 14,472 46,221 35,473
Shares Issued in Lieu of Cash Distributions 2,448 1,588 1,271 483 6,592 3,238
Shares Redeemed (8,746) (5,421) (5,382) (8,433) (26,765) (19,651)
----------- ----------- ----------- ----------- ----------- -----------
15,189 13,964 14,396 6,522 26,048 19,060
=========== =========== =========== =========== =========== ===========
See accompanying Notes to Financial Statements.
154
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
[Enlarge/Download Table]
DFA REAL ESTATE SECURITIES PORTFOLIO
---------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 18.80 $ 14.91 $ 15.02 $ 13.51 $ 11.50
------------- ------------- ------------- ------------- -------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.62 0.64 0.54 0.82 0.76
Net Gains (Losses) on Securities
(Realized and Unrealized) 4.47 4.08 0.18 1.49 1.90
------------- ------------- ------------- ------------- -------------
Total From Investment Operations 5.09 4.72 0.72 2.31 2.66
------------- ------------- ------------- ------------- -------------
LESS DISTRIBUTIONS
Net Investment Income (0.71) (0.75) (0.75) (0.80) (0.65)
Net Realized Gains (0.16) (0.08) (0.08) -- --
------------- ------------- ------------- ------------- -------------
Total Distributions (0.87) (0.83) (0.83) (0.80) (0.65)
------------- ------------- ------------- ------------- -------------
Net Asset Value, End of Period $ 23.02 $ 18.80 $ 14.91 $ 15.02 $ 13.51
============= ============= ============= ============= =============
Total Return 29.44% 33.48% 5.36% 17.76% 24.49%
------------- ------------- ------------- ------------- -------------
Net Assets, End of Period (thousands) $ 1,308,898 $ 783,405 $ 413,264 $ 283,732 $ 210,231
Ratio of Expenses to Average Net Assets 0.39% 0.41% 0.42% 0.43% 0.45%
Ratio of Net Investment Income to
Average Net Assets 3.61% 4.19% 4.71% 5.55% 6.06%
Portfolio Turnover Rate 6% 2% 2% 6% 7%
[Enlarge/Download Table]
LARGE CAP INTERNATIONAL PORTFOLIO
---------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 14.65 $ 12.10 $ 13.90 $ 17.30 $ 19.41
------------- ------------- ------------- ------------- -------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.31 0.25 0.22 0.25 0.23
Net Gains (Losses) on Securities
(Realized and Unrealized) 2.86 2.51 (1.79) (3.38) (1.96)
------------- ------------- ------------- ------------- -------------
Total From Investment Operations 3.17 2.76 (1.57) (3.13) (1.73)
------------- ------------- ------------- ------------- -------------
LESS DISTRIBUTIONS
Net Investment Income (0.51) (0.21) (0.23) (0.22) (0.21)
Net Realized Gains -- -- -- (0.05) (0.17)
------------- ------------- ------------- ------------- -------------
Total Distributions (0.51) (0.21) (0.23) (0.27) (0.38)
------------- ------------- ------------- ------------- -------------
Net Asset Value, End of Period $ 17.31 $ 14.65 $ 12.10 $ 13.90 $ 17.30
============= ============= ============= ============= =============
Total Return 22.09% 23.32% (11.50)% (18.42)% (9.19)%
------------- ------------- ------------- ------------- -------------
Net Assets, End of Period (thousands) $ 844,883 $ 504,123 $ 337,367 $ 344,871 $ 358,638
Ratio of Expenses to Average Net Assets 0.41% 0.43% 0.44% 0.45% 0.47%
Ratio of Net Investment Income to
Average Net Assets 2.07% 2.10% 1.74% 1.65% 1.21%
Portfolio Turnover Rate 1% 1% 9% 4% 1%
See accompanying Notes to Financial Statements.
155
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DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
----------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
------------ ------------ ------------ ------------ ------------
Net Asset Value, Beginning of Period $ 10.92 $ 10.93 $ 10.50 $ 10.50 $ 10.53
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.26 0.33 0.33 0.50 0.61
Net Gains (Losses) on Securities (Realized
and Unrealized) 0.06 0.15 0.44 0.22 --
------------ ------------ ------------ ------------ ------------
Total from Investment Operations 0.32 0.48 0.77 0.72 0.61
------------ ------------ ------------ ------------ ------------
LESS DISTRIBUTIONS
Net Investment Income (0.32) (0.39) (0.33) (0.72) (0.64)
Net Realized Gains (0.42) (0.10) (0.01) -- --
------------ ------------ ------------ ------------ ------------
Total Distributions (0.74) (0.49) (0.34) (0.72) (0.64)
------------ ------------ ------------ ------------ ------------
Net Asset Value, End of Period $ 10.50 $ 10.92 $ 10.93 $ 10.50 $ 10.50
============ ============ ============ ============ ============
Total Return 3.04% 4.45% 7.55% 7.23% 6.09%
Net Assets, End of Period (thousands) $ 1,205,578 $ 969,439 $ 761,717 $ 628,936 $ 517,325
Ratio of Expenses to Average Net Assets 0.34% 0.34% 0.35% 0.37% 0.38%
Ratio of Net Investment Income to Average
Net Assets 3.12% 3.23% 4.09% 4.04% 4.15%
Portfolio Turnover Rate 90% 103% 79% 113% 80%
See accompanying Notes to Financial Statements.
156
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company whose shares are offered without a sales charge generally to
institutional investors and clients of registered investment advisors. The Fund
consists of thirty-six portfolios, of which DFA Real Estate Securities
Portfolio, Large Cap International Portfolio and DFA Five-Year Global Fixed
Income Portfolio (the "Portfolios") are presented in this report.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operation during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: Securities held by the DFA Real Estate Securities
Portfolio which are listed on a securities exchange and for which market
quotations are readily available are valued at the last quoted sale price of the
day. Securities held by the Fund that are listed on Nasdaq are valued at the
Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price
or NOCP for the day, the Fund values securities at the mean between the quoted
bid and asked prices. Securities held by the Large Cap International Portfolio
which are listed on a securities exchange are valued at the last quoted sale
price. Price information on listed securities is taken from the exchange where
the security is primarily traded. Unlisted securities for which market
quotations are readily available are valued at the mean between the most recent
bid and asked prices. Securities for which quotations are not readily available,
or for which market quotations have become unreliable, are valued in good faith
at fair value using methods approved by the Board of Directors.
The Large Cap International Portfolio will also apply a fair value price in
the circumstances described below. Generally, trading in foreign securities
markets is completed each day at various times prior to the close of the
New York Stock Exchange (NYSE). For example, trading in the Japanese securities
markets is completed each day at the close of the Tokyo Stock Exchange
(generally 11:00 p.m. PT), which is fourteen hours prior to the close of the
NYSE (generally 1:00 p.m. PT) and the time that the net asset value of the
Portfolio is computed. Due to the time differences between the closings of the
relevant foreign securities exchanges and the time the Portfolio prices its
shares at the close of the NYSE, the Portfolio will fair value its foreign
investments when it is determined that the market quotations for the foreign
investments are either unreliable or not readily available. The fair value
prices will attempt to reflect the impact of the U.S. financial markets'
perceptions and trading activities on the Portfolio's foreign investments since
the last closing prices of the foreign investments were calculated on their
primary foreign securities markets or exchanges. For these purposes, the Board
of Directors of the Fund have determined that movements in relevant indices or
other appropriate market indicators, after the close of the Tokyo Stock Exchange
or the London Stock Exchange, demonstrate that market quotations may be
unreliable, and may trigger fair value pricing. Consequently, fair valuation of
portfolio securities may occur on a daily basis. The fair value pricing by the
Portfolio utilizes data furnished by an independent pricing service (and that
data draws upon, among other information, the market values of foreign
investments). The fair value prices of portfolio securities generally will be
used when it is determined that the use of such prices will have a material
impact on the net asset value of a Portfolio. When the Portfolio uses fair value
pricing, the values assigned to the Portfolio's foreign investments may not be
the quoted or published prices of the investments on their primary markets or
exchanges.
Securities held by DFA Five-Year Global Fixed Income Portfolio are valued
at the mean between the most recently quoted bid and asked prices or prices
provided by a pricing service when such prices are believed to reflect
157
the fair market value of such securities. Securities for which quotations are
not readily available are valued in good faith at fair value using methods
approved by the Board of Directors.
2. FOREIGN CURRENCY: Securities and other assets and liabilities of the
International Portfolios whose values are initially expressed in foreign
currencies are translated to U.S. dollars using the mean between the most
recently quoted bid and asked prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and interest income and certain expenses
are translated to U.S. dollars at the rate of exchange on their respective
accrual dates. Receivables and payables denominated in foreign currencies are
marked to market daily based on daily exchange rates and exchange gains or
losses are realized upon ultimate receipt or disbursement. The DFA Five-Year
Global Fixed Income Portfolio also enters into forward foreign currency
contracts solely for the purpose of hedging against fluctuations in currency
exchange rates. These contracts are marked to market daily based on daily
forward exchange rates.
The International Portfolios do not isolate the effect of fluctuation in
foreign exchange rates from the effect of fluctuations in the market prices of
securities whether realized or unrealized. However, the DFA Five-Year Global
Fixed Income Portfolio does isolate the effect of fluctuations in foreign
currency rates when determining the realized gain or loss upon the sale or
maturity of foreign currency denominated debt obligations pursuant to U.S.
Federal income tax regulations; such amounts are categorized as foreign exchange
gain or loss for both financial reporting and income tax reporting purposes.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of the
International Portfolios and the U.S. dollar equivalent amounts actually
received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Directors may defer payment of a percentage of
their total fees earned as a Director. These deferred amounts may be treated as
though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Directors' Fees and
Expenses.
4. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on an accrual basis. Discount and premium on debt securities
purchased are amortized over the lives of the respective securities utilizing
the effective interest method. Expenses directly attributable to each Portfolio
are directly charged. Common expenses of the Fund or Portfolios are allocated
using methods approved by the Board of Directors, generally based on average net
assets.
The International Portfolios may be subject to taxes imposed by countries
in which they invest, with respect to their investments in issuers existing or
operating in such countries. Such taxes are generally based on income earned or
repatriated and capital gains realized on the sale of such investments. The
International Portfolios accrue such taxes when the related income or capital
gains are earned. Some countries require governmental approval for the
repatriation of investment income, capital or the proceeds of sales earned by
foreign investors. In addition, if there is deterioration in a country's balance
of payments or for other reasons, a country may impose temporary restrictions on
foreign capital remittances abroad.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Portfolios. The Advisor provides
administrative services including supervision of services provided by others,
providing information to the shareholders and to the Board of Directors, and
other administrative services.
158
For the year ended November 30, 2004, the Portfolios advisory fees were
accrued daily and paid monthly to the Advisor based on the following effective
annual rates of average daily net assets:
[Download Table]
DFA Real Estate Securities Portfolio 0.30 of 1%
Large Cap International Portfolio 0.25 of 1%
DFA Five-Year Global Fixed Income Portfolio 0.25 of 1%
Certain officers of the Fund are also officers, directors and shareholders
of the Advisor.
D. DEFERRED COMPENSATION:
At November 30, 2004, the total liability for deferred compensation to
Directors is included in Accrued Expenses and Other Liabilities as follows:
[Download Table]
DFA Real Estate Securities Portfolio $ 16,092
Large Cap International Portfolio 11,121
DFA Five-Year Global Fixed Income Portfolio 18,536
E. PURCHASES AND SALES OF SECURITIES:
For the year ended November 30, 2004, the Portfolios made the following
purchases and sales of investment securities other than U.S. Government
Securities and short-term securities (amounts in thousands):
[Enlarge/Download Table]
U.S. GOVERNMENT OTHER INVESTMENT
SECURITIES SECURITIES
----------------------- -----------------------
PURCHASES SALES PURCHASES SALES
---------- ---------- ---------- ----------
DFA Real Estate Securities Portfolio -- -- $ 358,076 $ 61,764
Large Cap International Portfolio -- -- 232,942 6,805
DFA Five-Year Global Fixed Income Portfolio $ 238,059 $ 269,780 982,297 717,684
F. FEDERAL INCOME TAXES:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code for
federal income tax purposes and to distribute substantially all of its taxable
income and net capital gains to shareholders. Accordingly, no provision has been
made for federal income taxes.
Dividends from net investment income and distributions from net realized
capital gains are determined in accordance with U.S. federal income tax
regulations, which may differ from those amounts determined under accounting
principles generally accepted in the United States of America. These book/tax
differences are either temporary or permanent in nature. To the extent these
differences are permanent, they are charged or credited to paid-in-capital or
accumulated net realized gain, as appropriate, in the period that the
differences arise. Accordingly, the following permanent differences as of
November 30, 2004, primarily attributable to realized net foreign currency
gains/losses, or a return of capital which for tax purposes, are not available
to offset future income, were reclassified to the following accounts (amounts in
thousands):
[Enlarge/Download Table]
INCREASE
INCREASE (DECREASE)
INCREASE (DECREASE) UNDISTRIBUTED
(DECREASE) ACCUMULATED NET INVESTMENT
PAID-IN CAPITAL NET REALIZED GAINS INCOME
--------------- ------------------ --------------
Large Cap International Portfolio -- $ (66) $ 66
DFA Five-Year Global Fixed Income Portfolio -- 6,964 (6,964)
These reclassifications had no effect on net assets or net asset value per
share.
159
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2004 and 2003 were as follows (amounts in
thousands):
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ORDINARY
INCOME
AND
SHORT-TERM LONG-TERM RETURN OF
CAPITAL GAINS CAPITAL GAINS CAPITAL TOTAL
------------- ------------- --------- ----------
DFA Real Estate Securities Portfolio
2004 $ 40,062 $ 6,193 -- $ 46,255
2003 20,722 2,261 -- 22,983
Large Cap International Portfolio
2004 20,560 -- -- 20,560
2003 5,772 -- -- 5,772
DFA Five-Year Global Fixed Income Portfolio
2004 39,545 30,038 -- 69,583
2003 32,928 2,655 -- 35,583
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
As of November 30, 2004, the components of distributable
earnings/(accumulated losses) were as follows (amounts in thousands):
[Enlarge/Download Table]
TOTAL NET
DISTRIBUTABLE
UNDISTRIBUTED UNDISTRIBUTED CAPITAL EARNINGS/
NET INVESTMENT LONG-TERM LOSS (ACCUMULATED
INCOME CAPITAL GAINS CARRYFORWARD LOSSES)
-------------- ------------- ------------ -------------
DFA Real Estate Securities Portfolio $ 9,090 $ 28,181 -- $ 37,271
Large Cap International Portfolio 6,784 -- $ (19,070) (12,286)
DFA Five-Year Global Fixed Income Portfolio 111 -- (5,041) (4,930)
For federal income tax purposes, capital loss carryforwards may be carried
forward and applied against future capital gains. At November 30, 2004, the
following Portfolios had capital loss carryforwards available to offset future
realized capital gains through the indicated expiration dates (amounts in
thousands):
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EXPIRES ON NOVEMBER 30,
------------------------------------------
2009 2010 2011 2012 TOTAL
------ -------- ----- ------- --------
Large Cap International Portfolio $ 357 $ 18,180 $ 533 -- $ 19,070
DFA Five-Year Global Fixed Income Portfolio -- -- -- $ 5,041 5,041
During the year ended November 30, 2004, the following Portfolio utilized
capital loss carryforwards to offset realized capital gains for federal income
tax purposes in the following approximate amount:
[Download Table]
Large Cap International Portfolio $ 2,073,000
Certain of the Portfolio's investments are in securities considered to be
"passive foreign investment companies", for which any unrealized appreciation
(depreciation) (mark to market) and/or realized gains are required to be
included in distributable net investment income for tax purposes. The Large Cap
International Portfolio had unrealized appreciation (depreciation) (mark to
market) and realized gains on the sale of passive foreign investment companies
of $5,327,264 and $81,703, respectively, which are included in distributable net
investment income for tax purposes, accordingly, such gains have been
reclassified from accumulated net realized gains to accumulated net investment
income.
At November 30, 2004, the total cost of securities and net realized gains
or losses on securities sold for federal income tax purposes were different from
amounts reported for financial reporting purposes.
160
The federal tax cost, aggregate gross unrealized appreciation and
depreciation of securities held by each Portfolio, at November 30, 2004 were as
follows (amounts in thousands):
[Enlarge/Download Table]
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
------------ ------------ ------------ --------------
DFA Real Estate Securities Portfolio $ 959,099 $ 377,241 $ (5,574) $ 371,667
Large Cap International Portfolio 775,250 170,244 (61,315) 108,929
DFA Five-Year Global Fixed Income Portfolio 1,190,164 12,744 (8,934) 3,810
G. COMPONENTS OF NET ASSETS:
At November 30, 2004, net assets consisted of (amounts in thousands):
[Enlarge/Download Table]
ACCUMULATED ACCUMULATED UNREALIZED
NET NET REALIZED APPRECIATION UNREALIZED
INVESTMENT ACCUMULATED FOREIGN (DEPRECIATION)OF NET FOREIGN NUMBER OF
PAID-IN INCOME NET REALIZED EXCHANGE INVESTMENT EXCHANGE TOTAL NET SHARES
CAPITAL (LOSS) GAIN (LOSS) GAIN (LOSS) SECURITIES GAIN (LOSS) ASSETS AUTHORIZED
---------- ----------- ------------ ------------ -------------- ------------- ----------- ------------
DFA Real Estate
Securities
Portfolio $ 899,979 $ 2,522 $ 33,671 -- $ 372,726 -- $ 1,308,898 100,000,000
Large Cap
International
Portfolio 748,224 1,463 (19,937) $ (15) 115,081 $ 67 844,883 150,000,000
DFA Five-Year
Global Fixed
Income Portfolio 1,206,586 10,106 (5,001) (6,964) 3,817 (2,966) 1,205,578 100,000,000
H. FINANCIAL INSTRUMENTS:
In accordance with the Fund's investment objectives and policies, the Fund
may invest in certain financial instruments that have off-balance sheet risk in
excess of the amounts recognized in the financial statements and concentrations
of credit and market risk. These instruments and their significant corresponding
risks are described below:
1. REPURCHASE AGREEMENTS: The Fund may purchase money market instruments
subject to the counterparty's agreement to repurchase them at an agreed upon
date and price. The counterparty will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
with the Funds's custodian or a third party sub-custodian. In the event of
default or bankruptcy by the other party to the agreement, retention of the
collateral may be subject to legal proceedings.
Any open repurchase agreements were entered into on November 30, 2004.
2. FORWARD CURRENCY CONTRACTS: DFA Five-Year Global Fixed Income Portfolio
may enter into forward currency contracts only to hedge against adverse changes
in the relationship of the U.S. dollar to foreign currencies. At November 30,
2004, DFA Five-Year Global Fixed Income Portfolio had entered into the following
contract and the net unrealized foreign exchange loss is reflected in the
accompanying financial statements.
[Enlarge/Download Table]
UNREALIZED
FOREIGN
SETTLEMENT CONTRACT VALUE AT EXCHANGE
DATE CURRENCY SOLD CURRENCY AMOUNT NOVEMBER 30, 2004 GAIN (LOSS)
----------- ------------- --------------- ------------ ----------------- ------------
12/06/04 195,664,671 Canadian Dollar $ 161,500,918 $ 164,544,628 $ (3,043,710)
12/23/04 12,219,763 Swedish Krona 1,765,988 1,816,175 (50,187)
------------- ----------------- ------------
$ 163,266,906 $ 166,360,803 $ (3,093,897)
============= ================= ============
Risks may arise upon entering into these contracts from the potential
inability of counterparties to meet the terms of their contracts and from
unanticipated movements in the value of foreign currency relative to the U.S.
dollar.
161
3. FOREIGN MARKETS RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States, including the possibility of future political and economic
developments and the level of foreign governmental supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid and
more volatile than the major securities markets in the United States.
Consequently, acquisition and disposition of securities by the Portfolios may be
inhibited.
I. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2004
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each portfolio is individually, and not jointly
liable for its particular advances under the line of credit. There is no
commitment fee on the unused portion of the line of credit, since this is not a
committed facility. The agreement for the discretionary line of credit may be
terminated by either party at any time. The agreement for the line of credit
expires on June 28, 2005. There were no borrowings by the Portfolios under the
discretionary line of credit during the year ended November 30, 2004.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
2004 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Each portfolio is individually, and not jointly liable for its
particular advances under the line of credit. Borrowings under the line of
credit are charged interest at rates agreed to by the parties at the time of
borrowing. There is no commitment fee on the unused line of credit. The
agreement for the line of credit expires in April 2005. There were no borrowings
by the Portfolios during the year ended November 30, 2004.
J. SECURITIES LENDING:
As of November 30, 2004, some of the Fund's portfolios had securities on
loan to broker/dealers, for which each portfolio held cash collateral. Each
portfolio invests the cash collateral, as described below, and records a
liability for the return of the collateral, during the period the securities are
on loan. However, in the event of default or bankruptcy by the other party to
the agreement, realization and/or retention of the collateral may be subject to
legal proceedings. In the event that the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is insufficient
to cover the value of loaned securities and provided such collateral
insufficiency is not the result of investment losses, PNCBank, National
Association, the lending agent, has agreed to pay the amount of the shortfall to
the portfolio or, at the option of the lending agent, to replace the securities.
The cash collateral received by each Portfolio from securities on loan is
invested along with cash collateral from the other Portfolios in repurchase
agreements collateralized by U.S. government securities. These investments are
accounted for separately for each Portfolio. Securities pledged as collateral
for the repurchase agreements are held by a custodian bank until the agreements
are repurchased.
K. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Fund's maximum exposure under these arrangements is unknown
as this would involve future claims that may be made against the Fund and/or its
affiliates that have not yet occurred. However, based on experience, the Fund
expects the risk of loss to be remote.
162
REPORT OF INDEPENDENT REGISTERED CERTIFIED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS OF THE PORTFOLIOS, AS DEFINED, AND BOARD OF DIRECTORS OF DFA
INVESTMENT DIMENSIONS GROUP INC.
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments (for DFA Real Estate Securities Portfolio and DFA
Five-Year Global Fixed Income Portfolio) and the summary schedule of portfolio
holdings (for Large Cap International Portfolio), and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of DFA Real Estate
Securities Portfolio, Large Cap International Portfolio and DFA Five-Year Global
Fixed Income Portfolio (constituting portfolios within DFA Investment Dimensions
Group Inc., hereafter referred to as the "Portfolios") at November 30, 2004 the
results of each of their operations for the year then ended, the changes in each
of their net assets for each of the two years in the period then ended and the
financial highlights for each of the five years in the period then ended, in
conformity with accounting principles generally accepted in the United States of
America. These financial statements and financial highlights (hereafter referred
to as "financial statements") are the responsibility of the Portfolios'
management; our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits of these financial
statements in accordance with the Standards of the Public Company Accounting
Oversight Board (United States). Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at
November 30, 2004 by correspondence with the custodian, provide a reasonable
basis for our opinion.
PricewaterhouseCoopers LLP
Fort Lauderdale, Florida
January 14, 2005
163
DIMENSIONAL EMERGING MARKETS VALUE FUND INC.
PERFORMANCE CHART
DIMENSIONAL EMERGING MARKETS VALUE FUND INC. VS.
MSCI EMERGING MARKETS FREE INDEX
NOVEMBER 30, 1994-NOVEMBER 30, 2004
[CHART]
GROWTH OF $10,000
[Download Table]
DIMENSIONAL EMERGING MSCI EMERGING MARKETS
MARKETS VALUE FUND INC. FREE INDEX (PRICE-ONLY)
11/30/94 $ 9,950 $ 10,000
12/31/94 $ 9,198 $ 9,190
1/31/95 $ 8,371 $ 8,207
2/28/95 $ 8,087 $ 7,988
3/31/95 $ 8,330 $ 8,020
4/30/95 $ 8,852 $ 8,364
5/31/95 $ 9,704 $ 8,787
6/30/95 $ 9,603 $ 8,795
7/31/95 $ 9,848 $ 8,978
8/31/95 $ 9,510 $ 8,755
9/30/95 $ 9,312 $ 8,702
10/31/95 $ 9,011 $ 8,360
11/30/95 $ 8,780 $ 8,204
12/31/95 $ 9,079 $ 8,552
1/31/96 $ 9,921 $ 9,151
2/29/96 $ 9,653 $ 8,991
3/31/96 $ 9,699 $ 9,044
4/30/96 $ 10,021 $ 9,374
5/31/96 $ 10,090 $ 9,309
6/30/96 $ 10,194 $ 9,347
7/31/96 $ 9,373 $ 8,692
8/31/96 $ 9,679 $ 8,901
9/30/96 $ 9,903 $ 8,966
10/31/96 $ 9,667 $ 8,721
11/30/96 $ 9,606 $ 8,856
12/31/96 $ 9,673 $ 8,885
1/31/97 $ 10,821 $ 9,483
2/28/97 $ 11,088 $ 9,882
3/31/97 $ 10,781 $ 9,599
4/30/97 $ 10,668 $ 9,582
5/31/97 $ 11,413 $ 9,830
6/30/97 $ 11,874 $ 10,336
7/31/97 $ 12,099 $ 10,469
8/31/97 $ 10,836 $ 9,125
9/30/97 $ 11,483 $ 9,363
10/31/97 $ 10,051 $ 7,819
11/30/97 $ 9,773 $ 7,529
12/31/97 $ 10,151 $ 7,693
1/31/98 $ 9,527 $ 7,084
2/28/98 $ 10,263 $ 7,819
3/31/98 $ 10,737 $ 8,132
4/30/98 $ 10,600 $ 8,028
5/31/98 $ 9,407 $ 6,903
6/30/98 $ 8,595 $ 6,165
7/31/98 $ 8,932 $ 6,338
8/31/98 $ 6,604 $ 4,482
9/30/98 $ 6,579 $ 4,754
10/31/98 $ 7,989 $ 5,249
11/30/98 $ 9,302 $ 5,679
12/31/98 $ 9,675 $ 5,576
1/31/99 $ 9,538 $ 5,482
2/28/99 $ 9,629 $ 5,531
3/31/99 $ 10,705 $ 6,243
4/30/99 $ 13,397 $ 7,006
5/31/99 $ 13,397 $ 6,944
6/30/99 $ 15,027 $ 7,717
7/31/99 $ 14,708 $ 7,496
8/31/99 $ 14,838 $ 7,559
9/30/99 $ 14,375 $ 7,293
10/31/99 $ 15,005 $ 7,442
11/30/99 $ 15,969 $ 8,107
12/31/99 $ 17,966 $ 9,127
1/31/2000 $ 17,869 $ 9,164
2/29/2000 $ 17,402 $ 9,282
3/31/2000 $ 17,160 $ 9,313
4/30/2000 $ 16,139 $ 8,417
5/31/2000 $ 15,005 $ 8,051
6/30/2000 $ 15,036 $ 8,308
7/31/2000 $ 14,402 $ 7,871
8/31/2000 $ 14,417 $ 7,899
9/30/2000 $ 13,372 $ 7,199
10/31/2000 $ 12,423 $ 6,673
11/30/2000 $ 11,492 $ 6,086
12/31/2000 $ 11,837 $ 6,225
1/31/2001 $ 12,977 $ 7,068
2/28/2001 $ 11,925 $ 6,509
3/31/2001 $ 10,785 $ 5,840
4/30/2001 $ 11,275 $ 6,112
5/31/2001 $ 11,547 $ 6,165
6/30/2001 $ 11,415 $ 6,022
7/31/2001 $ 11,108 $ 5,626
8/31/2001 $ 11,239 $ 5,561
9/30/2001 $ 9,416 $ 4,688
10/31/2001 $ 9,802 $ 4,977
11/30/2001 $ 10,993 $ 5,491
12/31/2001 $ 11,746 $ 5,919
1/31/2002 $ 12,694 $ 6,112
2/28/2002 $ 12,528 $ 6,206
3/31/2002 $ 13,282 $ 6,554
4/30/2002 $ 13,650 $ 6,580
5/31/2002 $ 13,485 $ 6,458
6/30/2002 $ 12,528 $ 5,963
7/31/2002 $ 12,040 $ 5,494
8/31/2002 $ 12,068 $ 5,574
9/30/2002 $ 10,632 $ 4,962
10/31/2002 $ 11,083 $ 5,281
11/30/2002 $ 11,958 $ 5,639
12/31/2002 $ 11,604 $ 5,447
1/31/2003 $ 11,783 $ 5,416
2/28/2003 $ 11,679 $ 5,245
3/31/2003 $ 11,426 $ 5,077
4/30/2003 $ 12,929 $ 5,504
5/31/2003 $ 13,907 $ 5,882
6/30/2003 $ 14,527 $ 6,204
7/31/2003 $ 14,855 $ 6,575
8/31/2003 $ 15,842 $ 7,002
9/30/2003 $ 16,621 $ 7,041
10/31/2003 $ 18,115 $ 7,628
11/30/2003 $ 18,322 $ 7,707
12/31/2003 $ 20,539 $ 8,256
1/31/2004 $ 21,099 $ 8,525
2/29/2004 $ 22,480 $ 8,908
3/31/2004 $ 22,760 $ 8,989
4/30/2004 $ 21,176 $ 8,229
5/31/2004 $ 20,549 $ 8,041
6/30/2004 $ 20,941 $ 8,059
7/31/2004 $ 21,203 $ 7,890
8/31/2004 $ 22,167 $ 8,200
9/30/2004 $ 23,626 $ 8,655
10/31/2004 $ 24,380 $ 8,843
11/30/2004 $ 27,016 $ 9,658
[Download Table]
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
---------------------------------------------------------
47.38% 10.99% 10.67%
Past performance is not predictive of future performance.
Prior to April 2002, the returns shown reflect a reimbursement fee of 0.5% of
the net asset value at the time of purchase.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
MSCI Emerging Markets Free Index (price-only) courtesy of Morgan Stanley Capital
International.
164
MANAGEMENT'S DISCUSSION AND ANALYSIS
INTERNATIONAL EQUITY MARKET REVIEW YEAR ENDED NOVEMBER 30, 2004
International equity markets had generally positive returns for the year
under review. When expressed in local currencies, prices rose in all of the
largest country constituents of the MSCI EAFE Index. Net returns were enhanced
considerably by appreciation in the euro, Japanese yen, Swiss franc, British
pound, Australian dollar and Swedish krona relative to the U.S. dollar. The
overall effect of currency exchange rate changes was a material improvement in
returns for U.S. dollar-based investors: total return for the MSCI EAFE Index
(net dividends) was 13.08% in local currency and 24.19% in U.S. dollars.
% TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2004
[Download Table]
LOCAL
CURRENCY U.S. DOLLAR
TEN LARGEST DEVELOPED MARKETS RETURN RETURN
----------------------------- -------- -----------
United Kingdom (net dividends) 12.03% 24.51%
Japan (net dividends) 10.69% 17.86%
France 12.62% 24.86%
Switzerland 5.03% 19.32%
Germany 11.22% 23.29%
Netherlands 6.65% 18.21%
Australia 28.04% 37.29%
Italy 17.28% 30.03%
Spain 23.45% 36.88%
Sweden 29.85% 45.79%
----------
Gross returns unless otherwise noted.
Source: Morgan Stanley Capital International
Mirroring the U.S. experience, large company growth stocks were the
poorest-performing asset class in international markets, while small company
stocks had the best relative results.
% TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2004 (U.S. DOLLARS)
[Download Table]
MSCI EAFE Small Cap Index (net dividends) 32.17%
Citigroup EPAC Extended Market Index (small companies) 30.10%
MSCI EAFE Value Index (net dividends) 29.32%
MSCI EAFE Index (net dividends) 24.19%
MSCI EAFE Growth Index (net dividends) 19.07%
165
Returns in emerging markets were higher, on average, than in developed
country markets, although results varied widely among individual countries. For
the year under review, total returns were 25.32% for the MSCI Emerging Markets
Free Index (net dividends), and 24.19% for the MSCI EAFE Index (net dividends).
% TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2004
[Download Table]
TOTAL
RETURNS
COUNTRY (U.S. $)
------ -------
Brazil 34.91%
Argentina 25.55%
Thailand 2.99%
Chile 31.00%
Indonesia 49.70%
Hungary 84.84%
Israel 14.51%
Poland 63.81%
Taiwan 7.55%
Mexico 43.28%
Malaysia 17.71%
Philippines 38.36%
Turkey 57.65%
South Korea 26.73%
----------
Source: DataStream International
DIMENSIONAL EMERGING MARKETS VALUE FUND INC.
Dimensional Emerging Markets Value Fund Inc. (the "Fund") seeks to capture
the returns of value stocks in selected emerging markets. The investment
strategy employs a disciplined, quantitative approach, emphasizing broad
diversification and consistent exposure to emerging markets value stocks, but
does not attempt to closely track a specific equity index. As of November 30,
2004, the Fund held 1,333 stocks in 16 countries. Through March 2004,
allocations reflected a weighting scheme targeting fixed country weights.
Argentina, Chile, Hungary, Philippines, and Poland receive a half-weight due to
their small size and low liquidity relative to other emerging markets. Since
April 2004, target country weights in Dimensional Emerging Markets Value Fund
Inc. were determined by the relative free-float adjusted market capitalization
of eligible securities within each country. Target country weights are also
capped at a ceiling set by the manager to improve portfolio diversification and
limit single-country exposure risk. Free-float adjustment excludes the share
capital of a company that is not freely available for trading in the public
equity markets by international investors. Throughout the year ended November
30, 2004, the Fund was essentially fully invested in equities throughout the
year: cash equivalents averaged less than 0.80% of the Fund's assets.
As a result of the Fund's diversified investment approach, performance was
determined principally by broad structural trends in emerging country stock
markets, rather than the behavior of a limited number of stocks. For the year
ended November 30, 2004, emerging markets value stocks outperformed developed
country stocks as well as core emerging markets strategies. Total returns were
24.19% for the MSCI EAFE Index (net dividends), 25.32% for the MSCI Emerging
Markets Free Index (net dividends), and 47.38% for the Dimensional Emerging
Markets Value Fund Inc. Relative to the MSCI Emerging Markets Free Index,
superior performance of the Fund was primarily due to greater exposure to stocks
with pronounced value characteristics, defined as a relatively high
book-to-market ratio. The average portfolio weight for stocks falling into the
top quartile when ranked by book-to-market ratio was 71% compared to 18% for the
Index.
166
DISCLOSURE OF FUND EXPENSES
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended help you
understand the ongoing fees (in dollars) of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Table below illustrates your fund's costs in two ways.
- ACTUAL FUND RETURN. This section helps you to estimate the actual
expenses after fee waivers that you paid over the period. The "Ending
Account Value" shown is derived from the fund's actual return, and
"Expenses Paid During Period" shows the dollar amount that would have
been paid by an investor who started with $1,000 in the fund. You may
use the information here, together with the amount you invested, to
estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
- HYPOTHETICAL 5% RETURN. This section is intended to help you compare
your fund's costs with those of other mutual funds. It assumes that
the fund had a return of 5% before expenses during the period shown,
but that the expense ratio is unchanged. In this case -- because the
return used is not the fund's actual return -- the results do not
apply to your investment. The example is useful in making comparisons
because the Securities and Exchange Commission requires all mutual
funds to calculate expenses based on a 5% return. You can assess your
fund's cost by comparing this hypothetical example with the
hypothetical examples that appear in shareholders reports of other
funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs
(if any). The "Annualized Expense Ratio" represents the actual expenses for the
six month period indicated and may be different from the expense ratio in the
Financial Highlights which is for the year ended November 30, 2004.
FOR THE PERIOD JUNE 1, 2004 TO NOVEMBER 30, 2004
EXPENSE TABLE
[Enlarge/Download Table]
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
DIMENSIONAL EMERGING MARKETS VALUE FUND INC. 6/01/04 11/30/04 RATIO PERIOD*
-------------------------------------------- ------------ ----------- ---------- --------
Actual Fund Return $ 1,000.00 $ 1,314.80 0.32% $ 1.85
Hypothetical 5% Return $ 1,000.00 $ 1,023.40 0.32% $ 1.62
----------
*Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in the
most recent fiscal half-year, then divided by 366.
167
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete schedule
of investments with the SEC for their first and third fiscal quarters on
Form N-Q for fiscal quarters starting after July 9, 2004. For Dimensional
Emerging Markets Value Fund Inc., this would be for the fiscal quarters ending
August 31 and February 28 (February 29 during leap year). The Form N-Q filing
must be made within 60 days of the end of the quarter. Dimensional Emerging
Markets Value Fund Inc. filed its first Form N-Q with the SEC on October 27,
2004. It is available upon request, without charge, by calling collect (310)
395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean
Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's
website at http://www.sec.gov, or they may be reviewed and copied at the SEC's
Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information
on the operation of the Public Reference Room).
The SEC has also amended certain regulations to permit a fund to include in
its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu
of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings
reports the fund's 50 largest holdings in unaffiliated issuers and any
investments that exceed one percent of the fund's net assets at the end of the
reporting period. The amendments also require that the Summary Schedule of
Portfolio Holdings identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the
SEC on Form N-CSR within ten days after mailing the annual report to
shareholders. It will be available, upon request, without charge, by calling
collect (310) 395-8005 or by mailing a request to Dimensional Fund Advisors,
Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by
visiting the SEC's website at http://sec.gov, or it may be reviewed and copied
at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for
information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a schedule of investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
DIMENSIONAL EMERGING MARKETS VALUE FUND INC.
[Download Table]
Financials 26.9%
Materials 26.4
Industrials 16.9
Consumer Discretionary 11.1
Consumer Staples 6.6
Information Technology 4.2
Energy 3.1
Telecommunication Service 1.6
Utilities 1.6
Health Care 1.6
-----
100.0%
=====
168
DIMENSIONAL EMERGING MARKETS VALUE FUND INC.
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2004
[Enlarge/Download Table]
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------------- --------------- ---------------
SOUTH AFRICA -- (12.4%)
COMMON STOCKS -- (12.4%)
ABSA Group, Ltd. 1,028,666 $ 12,487,243 1.1%
Anglo American PLC 234,915 5,610,864 0.5%
Barloworld, Ltd. 397,633 6,734,018 0.6%
Imperial Holdings, Ltd. 354,239 6,236,610 0.5%
Iscor, Ltd. 976,965 10,962,879 0.9%
Liberty Group, Ltd. 711,717 7,828,579 0.7%
Nedcor, Ltd. 837,695 10,907,757 0.9%
Old Mutual PLC 6,560,799 16,233,597 1.4%
Sanlam, Ltd. 4,967,580 10,376,795 0.9%
Sappi, Ltd. 451,122 6,023,655 0.5%
Other Securities 52,698,422 4.5%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $98,218,528) 146,100,419 12.5%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* South African Rand
(Cost $4,049) 4,649 0.0%
--------------- ---------------
TOTAL -- SOUTH AFRICA
(Cost $98,222,577) 146,105,068 12.5%
--------------- ---------------
SOUTH KOREA -- (11.6%)
COMMON STOCKS -- (11.6%)
Hyundai Motor Co., Ltd. 212,320 10,419,976 0.9%
Other Securities 126,463,016 10.8%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $85,258,948) 136,882,992 11.7%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 0 0.0%
--------------- ---------------
TOTAL -- SOUTH KOREA
(Cost $85,258,948) 136,882,992 11.7%
--------------- ---------------
TAIWAN -- (10.7%)
COMMON STOCKS (10.6%)
* Chang Hwa Commercial Bank 8,379,459 5,204,329 0.5%
Far East Textile, Ltd. 7,095,613 5,497,160 0.5%
Other Securities 113,869,960 9.6%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $108,048,876) 124,571,449 10.6%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.1%)
* Taiwan Dollar
(Cost $950,056) 973,977 0.1%
--------------- ---------------
TOTAL -- TAIWAN
(Cost $108,998,932) 125,545,426 10.7%
--------------- ---------------
MEXICO -- (10.1%)
COMMON STOCKS (10.1%)
Alfa S.A. de C.V. Series A 3,740,264 18,523,498 1.6%
Controladora Comercial Mexicana S.A. de C.V. Series B 5,484,600 6,145,703 0.5%
* Empresas ICA Sociedad Controladora S.A. de C.V. 16,050,200 5,732,852 0.5%
Industrias Penoles S.A. de C.V. 1,277,400 6,656,236 0.6%
169
[Enlarge/Download Table]
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------------- --------------- ---------------
* Nueva Grupo Mexico S.A. de C.V. Series B 5,325,961 $ 25,736,156 2.2%
Organizacion Soriana S.A. de C.V. Series B 2,735,500 9,405,242 0.8%
Other Securities 46,257,486 3.9%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $69,257,596) 118,457,173 10.1%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Mexican Peso
(Cost $6,374) 5,970 0.0%
--------------- ---------------
TOTAL -- MEXICO
(Cost $69,263,970) 118,463,143 10.1%
--------------- ---------------
BRAZIL -- (9.1%)
PREFERRED STOCKS -- (7.9%)
* Acesita SA 413,076 5,414,029 0.5%
Banco Bradesco SA 83,828 5,485,803 0.5%
* Braskem SA 142,800,000 6,216,000 0.5%
Gerdau SA 775,552 13,959,936 1.2%
Metalurgica Gerdau SA 396,800 9,337,929 0.8%
Sadia SA 3,838,282 7,761,232 0.7%
Siderurgica Belgo-Mineira 12,307,631 6,312,186 0.5%
Siderurgica de Tubarao Sid Tubarao 160,870,000 8,398,360 0.7%
Other Securities 30,518,093 2.5%
--------------- ---------------
TOTAL PREFERRED STOCKS
(Cost $22,269,100) 93,403,568 7.9%
--------------- ---------------
COMMON STOCKS -- (1.2%)
Companhia Siderurgica Nacional 606,400 11,548,353 1.0%
Other Securities 2,282,860 0.2%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $2,920,794) 13,831,213 1.2%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 378 0.0%
--------------- ---------------
TOTAL -- BRAZIL
(Cost $25,189,894) 107,235,159 9.1%
--------------- ---------------
MALAYSIA -- (7.7%)
COMMON STOCKS -- (7.7%)
Other Securities 90,853,909 7.7%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $78,273,577) 90,853,909 7.7%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $2,000) 59,258 0.0%
--------------- ---------------
TOTAL -- MALAYSIA
(Cost $78,275,577) 90,913,167 7.7%
--------------- ---------------
TURKEY -- (7.0%)
COMMON STOCKS -- (7.0%)
Akbank T.A.S. 2,744,529,505 13,018,047 1.1%
* Dogan Sirketler Grubu Holdings A.S. 3,007,361,142 5,213,633 0.4%
Eregli Demir ve Celik Fabrikalari Turk A.S. 1,995,394,500 8,286,369 0.7%
170
[Enlarge/Download Table]
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------------- --------------- ---------------
* Turkiye Garanti Bankasi A.S 2,762,007,650 $ 6,754,907 0.6%
Turkiye Is Bankasi A.S. Series C 1,860,440,560 8,766,399 0.8%
Other Securities 40,733,982 3.5%
--------------- ---------------
TOTAL -- TURKEY
(Cost $31,842,604) 82,773,337 7.1%
--------------- ---------------
INDONESIA -- (6.3%)
COMMON STOCKS -- (6.3%)
PT Bank Pan Indonesia Tbk 113,482,661 5,156,231 0.4%
PT International Nickel Indonesia Tbk 7,522,000 9,852,368 0.8%
PT Medco Energi International Tbk 31,249,000 7,186,336 0.6%
PT Semen Gresik Tbk 8,421,591 11,991,021 1.0%
PT Tempo Scan Pacific 6,466,000 6,313,906 0.5%
Other Securities 34,371,706 3.1%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $37,400,548) 74,871,568 6.4%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Indonesia Rupiah
(Cost $1,131) 1,057 0.0%
--------------- ---------------
TOTAL -- INDONESIA
(Cost $37,401,679) 74,872,625 6.4%
--------------- ---------------
ISRAEL -- (5.7%)
COMMON STOCKS -- (5.7%)
Bank Hapoalim, Ltd. 3,775,700 11,007,262 0.9%
Bank Leumi Le-Israel 4,836,950 11,358,181 1.0%
* Koor Industries, Ltd. 125,769 5,851,171 0.5%
Other Securities 39,249,325 3.4%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $50,280,448) 67,465,939 5.8%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Israel Shekel
(Cost $6,027) 6,255 0.0%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 0 0.0%
--------------- ---------------
TOTAL -- ISRAEL
(Cost $50,286,475) 67,472,194 5.8%
--------------- ---------------
THAILAND -- (4.8%)
COMMON STOCKS -- (4.8%)
National Petrochemical Public Co., Ltd. (Foreign) 2,010,600 5,356,838 0.5%
Regional Container Lines Public Co., Ltd. 6,950,000 5,334,623 0.5%
Other Securities 45,539,895 3.8%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $29,044,407) 56,231,356 4.8%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 0 0.0%
--------------- ---------------
TOTAL -- THAILAND
(Cost $29,044,407) 56,231,356 4.8%
--------------- ---------------
171
[Enlarge/Download Table]
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------------- --------------- ---------------
HUNGARY -- (3.1%)
COMMON STOCKS -- (3.1%)
Magyar Olay-Es Gazipari RT 183,209 $ 12,377,521 1.1%
* Tiszai Vegyi Kombinat RT 253,242 7,190,453 0.6%
Other Securities 16,539,871 1.4%
--------------- ---------------
TOTAL -- HUNGARY
(Cost $23,732,647) 36,107,845 3.1%
--------------- ---------------
CHILE -- (3.0%)
COMMON STOCKS -- (3.0%)
COPEC (Cia de Petroleos de Chile) 947,488 7,489,705 0.6%
Empresas CMPC SA 286,547 6,575,602 0.6%
Sociedad Quimica y Minera de Chile SA Series B 945,090 5,751,674 0.5%
Other Securities 15,062,905 1.3%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $19,296,477) 34,879,886 3.0%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
*Chilean Pesos
(Cost $22,286) 22,521 0.0%
--------------- ---------------
TOTAL -- CHILE
(Cost $19,318,763) 34,902,407 3.0%
--------------- ---------------
POLAND -- (2.7%)
COMMON STOCKS -- (2.7%)
Other Securities 32,255,044 2.7%
--------------- ---------------
TOTAL -- POLAND
(Cost $23,766,828) 32,255,044 2.7%
--------------- ---------------
ARGENTINA -- (2.2%)
COMMON STOCKS -- (2.2%)
Tenaris SA 1,660,259 7,936,331 0.7%
Other Securities 17,995,742 1.5%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $19,009,343) 25,932,073 2.2%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 52,751 0.0%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
*Argentine Peso
(Cost $3,426) 3,417 0.0%
--------------- ---------------
TOTAL -- ARGENTINA
(Cost $19,012,769) 25,988,241 2.2%
--------------- ---------------
PHILIPPINES -- (2.2%)
COMMON STOCKS -- (2.2%)
Other Securities 25,566,076 2.2%
--------------- ---------------
TOTAL -- PHILIPPINES
(Cost $28,352,716) 25,566,076 2.2%
--------------- ---------------
172
[Enlarge/Download Table]
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------------- --------------- ---------------
CZECH REPUBLIC -- (0.8%)
COMMON STOCKS -- (0.8%)
CEZ A.S 491,462 $ 7,088,714 0.6%
Other Securities 2,772,440 0.2%
--------------- ---------------
TOTAL -- CZECH REPUBLIC
(Cost $7,263,981) 9,861,154 0.8%
--------------- ---------------
EMU -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
* Euro Currency
(Cost $372) 549 0.0%
--------------- ---------------
FACE
AMOUNT
------
(000)
TEMPORARY CASH INVESTMENTS -- (0.6%)
Repurchase Agreement, PNC Capital Markets, Inc.
1.88%, 12/01/04 (Collateralized by $6,920,000 FNMA Notes
2.95%, 11/14/07, valued at $6,929,709) to be repurchased
at $6,834,357 (Cost $6,834,000) $ 6,834 6,834,000 0.6%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $742,067,139) $ 1,178,009,783 100.5%
=============== ===============
----------
+ Securities have been fair valued. See Note B to Financial Statements.
* Non-Income Producing Securities.
** This is calculated as a percentage of total net assets. The percentages
shown parenthetically next to category headings have been calculated as a
percentage of total investments.
"Other Securites" are those securites that are not among the top 50 holdings
of the Fund, or do not represent more than 1.0% of the net assets of the
Fund.
See accompanying Notes to Financial Statements
173
DIMENSIONAL EMERGING MARKETS VALUE FUND INC.
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 2004
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
[Enlarge/Download Table]
ASSETS:
Investments at Value (Cost $742,067) $ 1,178,010
Cash 9
Receivables:
Investment Securities Sold 779
Dividends, Interest, 1,530
Fund Shares Sold 1,391
---------------
Total Assets 1,181,719
---------------
LIABILITIES:
Payables:
Investment Securities Purchased 522
Fund Shares Redeemed 3,520
Due to Advisor 93
Deferred Thailand Capital Gains Tax 4,368
Deferred Chilean Repatriation Tax 17
Accrued Expenses and Other Liabilities 249
---------------
Total Liabilities 8,769
---------------
NET ASSETS applicable to 42,541,317 shares outstanding $0.01 par value shares
(Authorized 200,000,000 shares) $ 1,172,950
===============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 27.57
===============
NET ASSETS CONSIST OF:
Paid-in Capital $ 717,020
Accumulated Net Investment Income (Loss) 3,225
Accumulated Net Realized Gain (Loss) 22,438
Accumulated Net Realized Foreign Exchange Gain (Loss) (1,330)
Unrealized Appreciation (Depreciation) from Investment Securities and Foreign
Currency Transactions 435,943
Unrealized Net Foreign Exchange Gain (Loss) 22
Deferred Thailand Capital Gains Tax (4,368)
---------------
Total Net Assets $ 1,172,950
===============
See accompanying Notes to Financial Statements.
174
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2004
(AMOUNTS IN THOUSANDS)
[Download Table]
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $3,034) $ 22,565
Interest 141
---------------
Total Investment Income 22,706
---------------
EXPENSES
Investment Advisory Services 852
Accounting & Transfer Agent Fees 692
Custodian Fees 1,095
Legal Fees 42
Audit Fees 31
Shareholders' Reports 75
Directors' Fees and Expenses 6
Other 68
---------------
Total Expenses 2,861
---------------
NET INVESTMENT INCOME (LOSS) 19,845
---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES
AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment Securities Sold 26,764
Net Realized Gain (Loss) on Foreign Currency Transactions (1,330)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 294,842
Translation of Foreign Currency Denominated Amounts 36
Deferred Thailand Capital Gains Tax 1,032
---------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY 321,344
---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 341,189
===============
See accompanying Notes to Financial Statements.
175
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
[Enlarge/Download Table]
YEAR YEAR
ENDED ENDED
NOV. 30, NOV. 30,
2004 2003
--------------- ---------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 19,845 $ 9,519
Net Realized Gain (Loss) on Investment Securities Sold 26,764 9,445
Net Realized Gain (Loss) on Foreign Currency Transactions (1,330) (301)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 294,842 164,617
Translation of Foreign Currency Denominated Amounts 36 (93)
Deferred Thailand Capital Gains Tax 1,032 (3,793)
--------------- ---------------
Net Increase (Decrease) in Net Assets Resulting from Operations 341,189 179,394
--------------- ---------------
Distributions From:
Net Investment Income (15,246) (10,213)
Net Long-Term Gains (6,727) --
--------------- ---------------
Total Distributions (21,973) (10,213)
--------------- ---------------
Capital Share Transactions (1):
Shares Issued 283,404 187,083
Shares Issued in Lieu of Cash Distributions 19,331 10,213
Shares Redeemed (66,724) (94,351)
--------------- ---------------
Net Increase (Decrease) From Capital Share Transactions 236,011 102,945
--------------- ---------------
Total Increase (Decrease) 555,227 272,126
NET ASSETS
Beginning of Period 617,723 345,597
--------------- ---------------
End of Period $ 1,172,950 $ 617,723
=============== ===============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 12,545 11,549
Shares Issued in Lieu of Cash Distributions 905 597
Shares Redeemed (3,000) (7,037)
--------------- ---------------
10,450 5,109
=============== ===============
See accompanying Notes to Financial Statements.
176
DIMENSIONAL EMERGING MARKETS VALUE FUND INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
[Enlarge/Download Table]
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
------------- ----------- ----------- ----------- -----------
Net Asset Value, Beginning of Period $ 19.25 $ 12.81 $ 12.28 $ 14.14 $ 20.88
------------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.52(1) 0.33 0.23 0.38 0.19
Net Gains (Losses) on Securities (Realized
and Unrealized) 8.42(1) 6.45 0.83 (0.92) (5.75)
------------- ----------- ----------- ----------- -----------
Total from Investment Operations 8.94 6.78 1.06 (0.54) (5.56)
------------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS
Net Investment Income (0.41) (0.34) (0.32) (0.33) (0.16)
Net Realized Gains (0.21) -- (0.21) (0.99) (1.02)
------------- ----------- ----------- ----------- -----------
Total Distributions (0.62) (0.34) (0.53) (1.32) (1.18)
------------- ----------- ----------- ----------- -----------
Net Asset Value, End of Period $ 27.57 $ 19.25 $ 12.81 $ 12.28 $ 14.14
============= =========== =========== =========== ===========
Total Investment Return 47.38% 53.30% 8.79% (4.34)% (28.02)%
Net Assets, End of Period (thousands) $ 1,172,950 $ 617,723 $ 345,597 $ 279,096 $ 295,276
Ratio of Expenses to Average Net Assets 0.34% 0.42% 0.40% 0.52% 0.54%
Ratio of Net Investment Income to Average
Net Assets 2.33%(1) 2.39% 1.67% 3.16% 1.46%
Portfolio Turnover Rate 8% 10% 15% 19% 19%
(1) Net Investment Income (loss), Net Gains (losses) on Securities (Realized and
Unrealized) and the Ratio of Net Investment Income to Average Net Assets for
the year ended November 30, 2004 have been restated as discussed in Note H.
See accompanying Notes to Financial Statements.
177
DIMENSIONAL EMERGING MARKETS VALUE FUND INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
Dimensional Emerging Markets Value Fund Inc. (the "Fund") was organized as
a closed-end management investment company registered under the Investment
Company Act of 1940, as amended. Effective November 21, 1997, the Fund was
reorganized as an open-end management investment company.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operation during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: Securities held by the Fund which are listed on a
securities exchange and for which market quotations are readily available are
valued at the last quoted sale price of the day or, if there is no such reported
sale, at the mean between the quoted bid and asked prices. Price information on
listed securities is taken from the exchange where the security is primarily
traded. Unlisted securities for which market quotations are readily available
are valued at the mean between the most recent bid and asked prices. Securities
for which quotations are not readily available, or for which market quotations
have become unreliable, are approved in good faith at fair value using methods
approved by the Board of Directors.
The Fund will also apply a fair value price in the circumstances described
below. Generally, trading in foreign securities markets is completed each day at
various times prior to the close of the New York Stock Exchange (NYSE). For
example, trading in the Japanese securities markets is completed each day at the
close of the Tokyo Stock Exchange (generally 11:00 p.m. PT), which is fourteen
hours prior to the close of the NYSE (generally 1:00 p.m. PT) and the time that
the net asset value of the Fund is computed. Due to the time differences between
the closings of the relevant foreign securities exchanges and the time the Fund
prices its shares at the close of the NYSE, the Fund will fair value its foreign
investments when it is determined that the market quotations for the foreign
investments are either unreliable or not readily available. The fair value
prices will attempt to reflect the impact of the U.S. financial markets'
perceptions and trading activities on the Fund's foreign investments since the
last closing prices of the foreign investments were calculated on their primary
foreign securities markets or exchanges. For these purposes, the Board of
Directors of the Fund has determined that movements in relevant indices or other
appropriate market indicators, after the close of the Tokyo Stock Exchange or
the London Stock Exchange, demonstrate that market quotations may be unreliable,
and may trigger fair value pricing. Consequently, fair valuation of portfolio
securities may occur on a daily basis. The fair value pricing by the Fund
utilizes data furnished by an independent pricing service (and that data draws
upon, among other information, the market values of foreign investments). The
fair value prices of portfolio securities generally will be used when it is
determined that the use of such prices will have a material impact on the net
asset value of a Fund. When the Fund uses fair value pricing, the values
assigned to the Fund's foreign investments may not be the quoted or published
prices of the investments on their primary markets or exchanges.
2. FOREIGN CURRENCY TRANSLATIONS: Securities and other assets and
liabilities of the Fund whose values are initially expressed in foreign
currencies are translated to U.S. dollars using the mean between the most
recently quoted bid and asked prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and interest income and certain expenses
are translated to U.S. dollars at the rate of exchange on their respective
accrual dates. Receivables and payables denominated in foreign currencies are
marked to market based on daily exchange rates and exchange gains or losses are
realized upon ultimate receipt or disbursement.
178
The Fund does not isolate the effect of fluctuations in foreign exchange
rates from the effect of fluctuations in the market prices of securities held
whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the Fund's books and the
U.S. dollar equivalent amounts actually received or paid.
3. REPURCHASE AGREEMENTS: The Fund may purchase money market instruments
from financial institutions, such as banks and non-bank dealers, subject to the
counterparty's agreement to repurchase them at an agreed upon date and price.
The counterparty will be required on a daily basis to maintain the value of the
collateral subject to the agreement at not less than the repurchase price
(including accrued interest). The agreements are conditioned upon the collateral
being deposited under the Federal Reserve book-entry system or with the Fund's
custodian or a third party sub-custodian. In the event of default or bankruptcy
by the other party to the agreement, retention of the collateral may be subject
to legal proceedings. All open repurchase agreements were entered into on
November 30, 2004.
4. FOREIGN MARKET RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States, including the possibility of future political and economic
developments and the level of foreign governmental supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid and
more volatile than the major securities markets in the United States.
Consequently, acquisition and disposition of securities by the Fund may be
inhibited.
5. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Directors may defer payment of a
percentage of their total fees earned as a Director. These deferred amounts may
be treated as though such amounts had been invested in shares of the following
funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA
International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income, are included in Directors'
Fees and Expenses. At November 30, 2004, the total liability for deferred
compensation to Directors is included in Accrued Expenses and Other Liabilities
in the amount of $13,700.
6. OTHER: Security transactions are accounted for on the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on the accrual basis.
The Fund may be subject to taxes imposed by countries in which it invests,
with respect to its investment in issuers existing or operating in such
countries. Such taxes are generally based on income earned or repatriated and
capital gains realized on the sale of such investments. The Fund accrues such
taxes when the related income or capital gains are earned. Some countries
require governmental approval for the repatriation of investment income, capital
or the proceeds of sales earned by foreign investors. In addition, if there is a
deterioration in a country's balance of payments or for other reasons, a country
may impose temporary restrictions on foreign capital remittances abroad.
The Fund's investments in Chile are subject to governmental taxes on
investment income. Such taxes are due when currencies are repatriated from the
country. The Fund accrues for taxes on income as income is earned.
The Fund's investments in Thailand are subject to a 15% governmental
capital gains tax. Such taxes are due upon sale of individual securities. The
Fund accrues for taxes on the capital gains throughout the holding period of the
underlying securities.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Fund. For the year ended November 30, 2004,
the Fund paid the Advisor a fee based on an annual effective rate of 0.10 of 1%
of average net assets.
Certain officers of the Fund are also officers, directors and shareholders
of the Advisor.
179
D. PURCHASES AND SALES OF SECURITIES:
For the year ended November 30, 2004, the Fund made the following purchases
and sales of investment securities other than short-term securities (amounts in
thousands):
[Download Table]
Purchases $ 307,963
Sales 65,388
There were no purchases or sales of U.S. Government Securities during the
year ended November 30, 2004.
E. FEDERAL INCOME TAXES:
The Fund has qualified and intends to continue to qualify as a regulated
investment company under Subchapter M of the Internal Revenue Code for federal
income tax purposes and to distribute substantially all of its taxable income
and net capital gains to shareholders. Accordingly, no provision has been made
for federal income taxes.
Dividends from net investment income and distributions from net realized
capital gains are determined in accordance with U.S. federal income tax
regulations, which may differ from those amounts determined under accounting
principles generally accepted in the United States of America. These book/tax
differences are either temporary or permanent in nature. To the extent these
differences are permanent, they are charged or credited to paid-in-capital or
accumulated net realized gain, as appropriate, in the period that the
differences arise. Accordingly, the following permanent differences as of
November 30, 2004, primarily attributable to realized net foreign currency
gains/losses, or a return of capital which for tax purposes, are not available
to offset future income, were reclassified to the following accounts (amounts in
thousands):
[Download Table]
INCREASE
INCREASE (DECREASE)
(DECREASE) UNDISTRIBUTED
ACCUMULATED NET INVESTMENT
NET REALIZED GAINS INCOME
------------------ --------------
$ (1,396) $ 1,396
These reclassifications had no effect on net assets or net asset value per
share.
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2004 and 2003 were as follows (amounts in
thousands):
[Download Table]
ORDINARY LONG-TERM
INCOME CAPITAL GAIN TOTAL
---------- ------------ ----------
2004 $ 15,246 $ 6,727 $ 21,973
2003 10,213 -- 10,213
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
As of November 30, 2004, the components of distributable
earnings/(accumulated losses) were as follows (amounts in thousands):
[Download Table]
TOTAL NET
DISTRIBUTABLE
UNDISTRIBUTED UNDISTRIBUTED EARNINGS
NET INVESTMENT LONG-TERM (ACCUMULATED
INCOME CAPITAL GAINS LOSSES)
-------------- ------------- -------------
$ 5,282 $ 24,032 $ 29,314
Certain of the Fund's investments are in securities considered to be
"passive foreign investment companies", for which any unrealized appreciation
(depreciation) (mark to market) and/or realized gains are required to be
included in distributable net investment income for tax purposes. During the
year ended November 30, 2004, the Fund had unrealized appreciation
(depreciation) (mark to market) and realized gains on the sale of passive
foreign investment companies of $1,967,765 and $2,725,434 respectively, which
are included in distributable net investment income for
180
tax purposes, accordingly, such gains have been reclassified from accumulated
net realized gains to accumulated net investment income.
At November 30, 2004, the total cost of securities and net realized gains
or losses on securities sold for federal income tax purposes were different from
amounts reported for financial reporting purposes. The federal tax cost,
aggregate gross unrealized appreciation and depreciation of securities held by
each Portfolio, at November 30, 2004 were as follows (amounts in thousands):
[Download Table]
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
--------- ------------ ------------ --------------
$ 747,035 $ 482,228 $ (51,253) $ 430,975
F. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2004
with its domestic custodian bank. The Fund is permitted to borrow, subject to
its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each portfolio is individually, and not jointly
liable for its particular advances under the line of credit. There is no
commitment fee on the unused portion of the line of credit, since this is not a
committed facility. The agreement for the discretionary line of credit may be
terminated by either party at any time. The agreement for the line of credit
expires on June 28, 2005. There were no borrowings by the Fund under the
discretionary line of credit with the domestic custodian bank during the year
ended November 30, 2004.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
2004 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Each portfolio is individually, and not jointly liable for its
particular advances under the line of credit. Borrowings under the line of
credit are charged interest at rates agreed to by the parties at the time of
borrowing. There is no commitment fee on the unused line of credit. The
agreement for the line of credit expires in April 2005. There were no borrowings
by the Fund under the line of credit during the year ended November 30, 2004.
G. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Fund's maximum exposure under these arrangements is unknown
as this would involve future claims that may be made against the Fund and/or its
affiliates that have not yet occurred. However, based on experience, the Fund
expects the risk of loss to be remote.
H. RESTATEMENT:
To correct a clerical error, the Fund has restated the net investment
income (loss) and net gains (losses) on securities (realized and unrealized)
per share and the ratio of net investment income to average net assets as
reported in the financial highlights for the year ended November 30, 2004.
These restatements had no effect on the Fund's net asset values, either in
total or per share, or its total increase (decrease) in net assets from
operations during the year.
The restatement changed the financial highlights for the year ended November
30, 2004, as follows:
[Download Table]
RESTATED ORIGINALLY
AMOUNT REPORTED
-------- ----------
Net Investment Income (Loss) -- per share $0.52 $0.62
Net Gains (Losses) on Securities (Realized and Unrealized) --
per share 8.42 8.32
-------- ----------
Total from Investment Operations $8.94 $8.94
Ratio of Net Investment Income to Average Net Assets 2.33% 2.29%
181
REPORT OF INDEPENDENT REGISTERED CERTIFIED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS AND BOARD OF DIRECTORS OF DIMENSIONAL EMERGING MARKETS VALUE
FUND INC.
In our opinion, the accompanying statement of assets and liabilities,
including the summary schedule of portfolio holdings, and the related
statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position
of Dimensional Emerging Markets Value Fund Inc. (the "Fund") at November 30,
2004, the results of its operations for the year then ended, the changes in
its net assets for each of the two years in the period then ended and the
financial highlights for each of the five years in the period then ended, in
conformity with accounting principles generally accepted in the United States
of America. These financial statements and financial highlights (hereafter
referred to as "financial statements") are the responsibility of the Fund's
management; our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits of these financial
statements in accordance with the standards of the Public Company Accounting
Oversight Board (United States). Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on
a test basis, evidence supporting the amounts and disclosures in the
financial statements, assessing the accounting principles used and
significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at November 30, 2004 by correspondence with the
custodian, provide a reasonable basis for our opinion.
As disclosed in Note H, the Fund restated its financial highlights as of
November 30, 2004 and for the year then ended.
PricewaterhouseCoopers LLP
Fort Lauderdale, Florida
January 14, 2005
(except for Note H for which
the date is March 24, 2005)
182
FUND MANAGEMENT
TRUSTEES/DIRECTORS
Each Board of Trustees/Directors of The DFA Investment Trust Company Inc.
("DFAITC"), DFA Investment Dimensions Group Inc. ("DFAIDG"), Dimensional
Investment Group Inc. ("DIG") and Dimensional Emerging Markets Value Fund Inc.
("DEM") (each, the "Fund" and collectively, the "Funds") is responsible for
establishing the Fund's policies and for overseeing the management of the Fund.
The Trustees/Directors of the Funds, including all of the disinterested
Directors, have adopted written procedures to monitor potential conflicts of
interest that might develop between portfolios of the Funds (the "Feeder
Portfolios") that invest in certain series of DFAITC or DEM (the "Master
Funds").
Each Board has two standing committees, an Audit Committee and a Portfolio
Performance and Service Review Committee (the "Performance Committee"). The
Audit Committee is comprised of George M. Constantinides, Roger G. Ibbotson and
Abbie J. Smith. Each member of the Audit Committee is a disinterested Director.
The Audit Committee oversees the Fund's accounting and financial reporting
policies and practices, the Fund's internal controls, the Fund's financial
statements and the independent audits thereof and performs other oversight
functions as requested by the Board of Trustee's/Directors. The Audit Committee
recommends the appointment of each Fund's independent registered certified
public accountanting firm and also acts as a liaison between the Fund's
independent registered certified public accountanting firm and the full Board.
There were four Audit Committee meetings held during the fiscal year ended
November 30, 2004.
The Performance Committee is comprised of Messrs. Constantinides and
Ibbotson, Ms. Smith, John R. Gould, Myron S. Scholes and Robert C. Merton. Each
member of the Fund's Performance Committee is a disinterested Director. The
Performance Committee regularly reviews and monitors the investment performance
of the Fund's series and reviews the performance of the Fund's service
providers. There were three Performance Committee meetings held during the
fiscal year ended November 30, 2004.
Certain biographical information for each disinterested Trustee/Director
and each interested Trustee/Director of the Funds is set forth in the tables
below, including a description of each Trustee/Director's experience as a
Trustee/Director of the Funds and as a director or trustee of other funds, as
well as other recent professional experience.
The statements of additional information (together, "SAI") of the Funds
include additional information about each Trustee/Director. You may obtain
copies of the SAI and prospectus of each Fund advised by Dimensional Fund
Advisors Inc. by calling collect (310) 395-8005 or by mailing a request to
Dimensional Fund Advisors, Inc. 1299 Ocean Avenue, 11th Floor, Santa Monica,
California 90401. Prospectuses are also available at www.dfafunds.com.
[Enlarge/Download Table]
NAME, AGE, POSITION PORTFOLIOS WITHIN THE
WITH THE FUND TERM OF OFFICE(1) AND DFA FUND COMPLEX(2) PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND
AND ADDRESS LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD
------------------------------------------------------------------------------------------------------------------------------------
DISINTERESTED TRUSTEES/DIRECTORS
George M. Constantinides DFAITC - since 1993 75 portfolios in 4 Leo Melamed Professor of Finance, Graduate
Director of DFAIDG, DIG DFAIDG - since 1983 investment companies School of Business, University of Chicago.
and DEM. DIG - since 1993
Trustee of DFAITC. DEM - since 1993
1101 E. 58th Street
Chicago, IL 60637
Date of Birth: 9/22/47
John P.Gould Director of DFAITC - since 1993 75 portfolios in 4 Steven G. Rothmeier Distinguished Service
DFAIDG, DIG and DEM. DFAIDG - since 1986 investment companies Professor of Economics, Graduate School of
Trustee of DFAITC. DIG - since 1993 Business, University of Chicago. Senior
1101 E. 58th Street DEM - since 1993 Vice-President, Lexecon Inc. (economics, law,
Chicago, IL 60637 strategy and finance consulting). Formerly,
Date of Birth: 1/19/39 President, Cardean University (division of
UNext.com). Member of the Boards of Milwaukee
Mutual Insurance Company and UNext.com. Formerly,
Trustee, First Prairie Funds (registered
investment company). Trustee, Harbor Fund
(registered investment company) (13 Portfolios).
183
[Enlarge/Download Table]
NAME, AGE, POSITION PORTFOLIOS WITHIN THE
WITH THE FUND TERM OF OFFICE(1) AND DFA FUND COMPLEX(2) PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND
AND ADDRESS LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD
------------------------------------------------------------------------------------------------------------------------------------
Roger G. Ibbotson DFAITC - since 1993 75 portfolios in 4 Professor in Practice of Finance, Yale School of
Director of DFAIDG, DIG DFAIDG - since 1981 investment companies Management. Director, BIRR Portfolio Analysis,
and DEM. DIG - since 1993 Inc. (software products). Chairman, Ibbotson
Trustee of DFAITC. DEM - since 1993 Associates, Inc., Chicago, IL (software, data,
Yale School of Management publishing and consulting). Partner, Zebra
P.O. Box 208200 Capital Management, LLC (hedge fund
New Haven, CT manager). Formerly, Director, Hospital Fund,
06520-8200 Inc. (investment management services).
Date of Birth: 5/27/43
Robert C. Merton DFA ITC - since 2003 75 portfolios in 4 John and Natty McArthur University Professor,
Director of DFAIDG, DIG DFA IDG - since 2003 investment companies Graduate School of Business Administration,
and DEM. DFA DIG - since 2003 Harvard University (since 1998). George Fisher
Trustee of DFAITC. DEM - since 2003 Baker Professor of Business Administration,
Harvard Business School Graduate School of Business Administration,
397 Morgan Hall Harvard University (1988-1998), Co-founder,
Soldiers Field Chief Science Officer, Integrated Finance
Boston, MA 02163 Limited (since 2002). Director, MF Risk,
Date of Birth: 7/31/44 Inc. (risk managemetnt software) (since
2001). Director, Peninsula Banking Group (bank)
(since 2003). Director, Community First Financial
Group (bank holding company) (since
2003). Formerly, Co-Founder and Principal,
Long-Term Capital Management. Director, Vical
Incorporated (biopharamceutical product
development).
Myron S. Scholes DFAITC - since 1993 75 portfolios in 4 Frank E. Buck Professor Emeritus of Finance,
Director of DFAIDG, DIG DFAIDG - since 1981 investment companies Stanford University. Managing Partner, Oak Hill
and DEM. DIG - since 1993 Capital Management (private equity
Trustee of DFAITC. DEM - since 1993 firm). Chairman, Oak Hill Platinum Partners
Oak Hill Capital (hedge fund). Director, Chicago Mercantile
Management, Inc. Exchange. Consultant, Arbor Investors. Formerly,
2775 Sand Hill Rd. Director, Smith Breeden Family of Funds.
Suite 220 Director, American Century Fund Complex
Menlo Park, CA 94025 (registered investment companies) (38
Date of Birth: 7/01/41 Portfolios); and Director, Chicago Mercantile
Exchange Holdings Inc..
Abbie J. Smith DFAITC - since 2000 75 portfolios in 4 Boris and Irene Stern Professor of Accounting,
Director of DFAIDG, DIG DFAIDG - since 2000 investment companies Graduate School of Business, University of
and DEM. DIG - since 2000 Chicago, Formerly, Marvin Bower Fellow, Harvard
Trustee of DFAITC. DEM - since 2000 Business School (9/01 to 8/02). Director, HON
Graduate School of Business Industries Inc. (office furniture) and Director,
University of Chicago Ryder System Inc. (transportation).
1101 East 58th Street,
Chicago, IL 60637
Date of Birth: 4/30/53
INTERESTED TRUSTEES/DIRECTORS**
David G. Booth DFAITC - since 1993 75 portfolios in 4 Chairman, Director, Chief Executive Officer,
Chairman, Director, Chief DFAIDG - since 1981 investment companies Chief Investment Officer and President of
Executive Officer, Chief DIG - since 1992 Dimensional Fund Advisors Inc., DFA Securities
Investment Officer and DEM- since 1993 Inc., DFAIDG, DIG and DEM. Chairman, Trustee,
President of DFAIDG, DIG Chief Executive Officer, Chief Investment
and DEM. Chairman, Officer and President of DFAITC. Director of
Trustee, Chief Executive Dimensional Fund Advisors Ltd. and formerly Chief
Officer, Chief Investment Investment Officer. Director, Chief Investment
Officer and President of Officer and President of DFA Australia
DFAITC. Ltd. Formerly, Director of Dimensional Funds
1299 Ocean Avenue PLC. Chairman, Director, Chief Executive Officer
Santa Monica, CA 90401 and Chief Investment Officer of Dimensional Fund
Date of Birth: 12/02/46 Advisors Canada Inc. (All Chief Investment
Officer positions held starting 1/1/2003 except
for Dimensional Fund Advisors Canada Inc., which
was from 6/17/2003.)
Limited Partner, Oak Hill Partners. Director,
University of Chicago Business School. Formerly,
Director, SA Funds (registered investment
company). Formerly Director, Assante Corporation
(investment management) (until 2002).
184
[Enlarge/Download Table]
NAME, AGE, POSITION PORTFOLIOS WITHIN THE
WITH THE FUND TERM OF OFFICE(1) AND DFA FUND COMPLEX(2) PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND
AND ADDRESS LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD
------------------------------------------------------------------------------------------------------------------------------------
Rex A. Sinquefield* DFAITC - since 1993 75 portfolios in 4 Chairman and Director (and prior to 1/1/2003,
Chairman and Director of DFAIDG - since 1981 investment companies Chief Investment Officer) of Dimensional Fund
DFAIDG, DIG and DEM. DIG - since 1992 Advisors Inc., DFA Securities Inc., DFAIDG, DIG
Trustee and Chairman of DEM - since 1993 and DEM. Chairman, Trustee (and prior to
DFAITC. 1/1/2003, Chief Investment Officer) of
1299 Ocean Avenue DFAITC. Director and formerly President of
Santa Monica, CA 90401 Dimensional Fund Advisors Ltd. Director (and
Date of Birth: 9/07/44 prior to 1/1/2003, Chief Investment Officer) of
DFA Australia Ltd. Director of Dimensional Funds
PLC and Dimensional Fund Advisors Canada Inc.
Trustee, St. Louis University. Life Trustee and
Member of Investment Committee, DePaul
University. Director, The German St. Vincent
Orphan Home. Member of Investment Committee,
Archdiocese of St. Louis.
(1) Each Trustee/Director holds office for an indefinite term until his or her
successor is elected and qualified.
(2) Each Trustee/Director is a director or trustee of each of the four
registered investment companies within the DFA Fund Complex, which includes
the Funds.
* Rex A. Sinquefield and Jeanne C. Sinquefield are husband and wife.
** Interested Directors are described as such because they are deemed to be
"interested persons," as that term is defined under the Investment Company
Act of 1940, as amended, due to their positions with Dimensional Fund
Advisors Inc.
OFFICERS
The name, age, information regarding positions with the Funds and the
principal occupation for each officer of the Funds are set forth below. Each
officer listed below holds the same office (except as otherwise noted) in the
following entities: Dimensional Fund Advisors Inc. ("Dimensional"), DFA
Securities Inc., DFAIDG, DIG, DFAITC and DEM (collectively, the "DFA Entities").
The address of each officer is: Dimensional Fund Advisors Inc. 1299 Ocean
Avenue, 11th Floor, Santa Monica, California 90401, unless otherwise indicated.
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TERM OF OFFICE(1)
NAME, AGE, POSITION WITH THE FUND AND LENGTH OF
AND ADDRESS SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
---------------------------------------------------------------------------------------------------------------
OFFICERS
Arthur H. Barlow Since 1993 Vice President of all the DFA Entities. Formerly,
Vice President Vice President of DFA Australia Limited and
Date of Birth: 11/7/55 Dimensional Fund Advisors Ltd.
Valerie A. Brown Since 2001 Vice President and Assistant Secretary of all the
Vice President and Assistant DFA Entities, DFA Australia Limited, Dimensional
Secretary Fund Advisors Ltd., and since June 2003,
Date of Birth: 1/24/67 Dimensional Fund Advisors Canada Inc. Prior to
April 2001, legal counsel for Dimensional (since
March 2000). Associate, Jones, Day, Reavis & Pogue
from October 1991 to February 2000.
Stephen A. Clark Since 2004 Vice President of all the DFA Entities. April 2001
Vice President to April 2004, Portfolio Manager of Dimensional.
Date of Birth: 8/20/72 Formerly, Graduate Student at the University of
Chicago (Septempter 2000 to March 2001); and
Associate of US Bancorp Piper Jaffrey (September
1999 to Spetember 2000).
Truman A. Clark Since 1996 Vice President of all the DFA Entities. Formerly,
Vice President Vice President of DFA Australia Limited and
Date of Birth: 4/8/41 Dimensional Fund Advisors Ltd.
Christopher S. Crossan Since 2004 Vice President of all the DFA Entities. Formerly,
Vice President Senior Compliance Officer, INVESCO Institutional,
Date of Birth: 12/21/65 Inc. and its affiliates (August 2000 to January
2004); Brach Chief, Investment Company and
Invesment Advisor Inspections, Securities and
Exchange Commission (April 1994 to August 2000).
185
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TERM OF OFFICE(1)
NAME, AGE, POSITION WITH THE FUND AND LENGTH OF
AND ADDRESS SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
---------------------------------------------------------------------------------------------------------------
James L. Davis Since 1999 Vice President of all the DFA Entities. Formerly,
Vice President Vice President of DFA Australia Limited and
Date of Birth: 11/29/56 Dimensional Fund Advisors Ltd. Formerly at Kansas
State University, Arthur Andersen & Co., and
Phillips Petroleum Co.
Robert T. Deere Since 1994 Vice President of all the DFA Entities and DFA
Vice President Australia Limited. Formerly, Vice President of
Date of Birth: 10/8/57 Dimensional Fund Advisors Ltd.
Robert W. Dintzner Since 2001 Vice President of all the DFA Entities. Formerly,
Vice President Vice President of DFA Australia Limited. Prior to
Date of Birth: 3/18/70 April 2001, marketing supervisor and marketing
coordinator for Dimensional.
Richard A. Eustice Since 1998 Vice President and Assistant Secretary of all the
Vice President and Assistant DFA Entities and DFA Australia Limited. Formerly,
Secretary Vice President of Dimensional Fund Advisors Ltd.
Date of Birth: 8/5/65
Eugene F. Fama, Jr. Since 1993 Vice President of all the DFA Entities. Formerly,
Vice President Vice President of DFA Australia Limited and
Date of Birth: 1/21/61 Dimensional Fund Advisors Ltd.
Robert M. Fezekas Since 2001 Vice President of all the DFA Entities. Prior to
Vice President December 2001, Portfolio Manager of Dimensional.
Date of Birth: 10/28/70
Damon S. Fisher Since 2004 Vice President of all DFA Entities. Prior to
Vice President April 2004, institutional client service
Date of Birth: 8/2/68 representative of Dimensional.
Gretchen A. Flicker Since 2004 Vice President of all DFA Entities. Prior to
Vice President April 2004, institutional client service
Date of Birth: 6/9/71 representative of Dimensional.
Glenn S. Freed Since 2001 Vice President of all the DFA Entities. Formerly,
Vice President Professor and Associate Dean of the Leventhal
Date of Birth: 11/24/61 School of Accounting (September 1998 to August 2001)
and Academic Director Master of Business Taxation
Program (June 1996 to August 2001) at the University
of Southern California Marshall School of
Business.
Henry F. Gray Since 2000 Vice President of all the DFA Entities. Formerly,
Vice President Vice President of DFA Australia Limited. Prior to
Date of Birth: 9/22/67 July 2000, Portfolio Manager.
Kamyab Hashemi-Nejad Since 1997 Vice President, Controller and Assistant Treasurer
Vice President, Controller and of all the DFA Entities, DFA Australia Limited,
Assistant Treasurer and Dimensional Fund Advisors Ltd. Formerly,
Date of Birth: 1/22/61 Assistant Secretary of Dimensional Fund Advisors
Ltd..
Christine W. Ho Since 2004 Vice President of all DFA Entities. Prior to
Vice President April 2004, Assistant Controller of Dimensional.
Date of Birth: 11/29/1967
Jeff J. Jeon Since 2004 Vice President of all DFA Entities. Prior to
Vice President April 2004, counsel of Dimensional. Formerly, an
Date of Birth: 11/8/73 Associate at Gibson, Dunn & Crutcher LLP
(September 1997 to August 2001).
Patrick Keating Since 2003 Vice President of all the DFA Entities and
Vice President Dimensional Fund Advisors Canada Inc. Formerly,
Date of Birth: 12/21/54 Director, President and Chief Executive Officer,
Assante Asset Management, Inc. (October 2000 to
December 2002); Director, Assante Capital Management
(October 2000 to December 2002); President and Chief
Executive Officer, Assante Capital Management
(October 2000 to April 2001); Executive Vice
President, Assante Corporation (May 2001 to
December 2002); Director, Assante Asset Management
Ltd. (September 1997 to December 2002); President and
Chief Executive Officer, Assante Asset Management
Ltd. (September 1998 to May 2001); Executive Vice
President, Loring Ward (financial services
company) (January 1996 to September 1998).
186
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TERM OF OFFICE(1)
NAME, AGE, POSITION WITH THE FUND AND LENGTH OF
AND ADDRESS SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
---------------------------------------------------------------------------------------------------------------
Joseph F. Kolerich Since 2004 Vice President of all the DFA Entities. From
Vice President April 2001 to April 2004, Portfolio Manager for
Date of Birth: 11/7/71 Dimensional. Formerly, a trader at Lincoln Capital
Fixed Income Management (formerly Lincoln Capital
Management Company).
Heather H. Mathews Since 2004 Vice President of all the DFA Entities. Prior to
Vice President April 2004, Portfolio Manager for Dimensional Fund
Date of Birth: 12/12/69 Advisors Inc. Formerly, Graduate Student at Harvard
University (August 1998 to June 2000).
David M. New Since 2003 Vice President of all the DFA Entities. Formerly,
Vice President Client Service Manager of Dimensional. Formerly,
Date of Birth: 2/9/60 Director of Research, Wurts and Associates
(investment consulting firm) (December 2000 to
June 2002); and President, Kobe Investment Research
(August 1999 to November 2000).
Catherine L. Newell Vice President Vice President and Secretary of all the DFA
Vice President and Secretary since 1997 Entities. Vice President and Assistant Secretary of
Date of Birth: 5/7/64 and Secretary DFA Australia Limited (since February 2002,
since 2000 April 1997 and May 2002, respectively). Vice
President and Secretary of Dimensional Fund
Advisors Canada Inc. (since June 2003). Director,
Dimensional Funds plc (since January 2002).
Formerly, Assistant Secretary of all DFA Entities
and Dimensional Fund Advisors Ltd.
David A. Plecha Since 1993 Vice President of all the DFA Entities, DFA
Vice President Australia Limited and Dimensional Fund Advisors
Date of Birth: 10/26/61 Ltd..
Edwardo A. Repetto Since 2002 Vice President of all the DFA Entities. Formerly,
Vice President Research Associate for Dimensional (June 2000 to
Date of Birth: 1/28/67 April 2002). Formerly, Research Scientist
(August 1998 to June 2000), California Institute of
Technology.
Michael T. Scardina Since 1993 Vice President, Chief Financial Officer and
Vice President, Chief Financial Officer Treasurer of all the DFA Entities, DFA Australia
and Treasurer Limited and Dimensional Fund Advisors Ltd., and
Date of Birth: 10/12/55 since June 2003, Dimensional Fund Advisors Canada
Inc. Director, Dimensional Fund Advisors Ltd. (since
February 2002) and Dimensional Funds, plc
(January 2002).
David E. Schneider Since 2001 Vice President of all the DFA Entities. Prior to
Vice President 2001, Regional Director of Dimensional.
Santa Monica, CA
Date of Birth: 1/26/46
John C. Siciliano Since 2001 Vice President of all the DFA Entities. Director of
Vice President Dimensional Fund Advisors Ltd. Formerly, Vice
Santa Monica, CA President of DFA Australia Limited. Formerly,
Date of Birth: 8/24/54 Director of Dimensional Funds plc. Formerly,
Managing Principal, Payden & Rygel Investment
Counsel (April 1998 to December 2000).
Jeanne C. Sinquefield, Ph.D.* Since 1988 Executive Vice President of all the DFA Entities
Executive Vice President and DFA Australia Limited. Vice President
Santa Monica, CA (formerly, Executive Vice President) of
Date of Birth: 12/2/46 Dimensional Fund Advisors Ltd. (since January 2003)
and Dimensional Fund Advisor Canada Inc. (since
June 2003).
Grady M. Smith Since 2004 Vice President of all the DFA Entities. Prior to
Vice President April 2004, Portfolio Manager of Dimensional.
Date of Birth: 5/26/56 Formerly, Principal of William M. Mercer,
Incorporated (July 1995 to June 2001).
Carl G. Snyder Since 2000 Vice President of all the DFA Entities. Prior to
Vice President July 2000, Portfolio Manager of Dimensional.
Santa Monica, CA Formerly, Vice President of DFA Australia Limited.
Date of Birth: 6/8/63
Lawrence R. Spieth Since 2004 Vice President of all the DFA Entities. Prior to
Vice President April 2004, institutional client service
Date of Birth: 11/10/47 representative of Dimensional.
187
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TERM OF OFFICE(1)
NAME, AGE, POSITION WITH THE FUND AND LENGTH OF
AND ADDRESS SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
---------------------------------------------------------------------------------------------------------------
Bradley G. Steiman Since 2004 Vice President of all the DFA Entities and
Vice President Dimensional Fund Advisors Canada Inc. (since
Date of Birth: 3/25/73 June 2003). Prior to April 2002, Regional Director
of Dimensional. Formerly, Vice President and
General Manager of Assante Global Advisors
(July 2000 to April 2002); Vice President of
Assante Asset Management Inc. (March 2000 to
July 2000); and Private Client Manager at Loring
Ward Investment Counsel Ltd. (June 1997 to
February 2002).
Karen E. Umland Since 1997 Vice President of all the DFA Entities, DFA
Vice President Australia Limited, Dimensional Fund Advisors Ltd.,
Santa Monica, CA and since June 2003, Dimensional Fund Advisors
Date of Birth: 3/10/66 Canada Inc.
Carol W. Wardlaw Since 2004 Vice President of all the DFA Entities. Prior to
Vice President April 2004, institutional client service
Date of Birth: 8/7/58 representative of Dimensional.
Weston J. Wellington Since 1997 Vice President of all the DFA Entities. Formerly,
Vice President Vice President of Dimensional Fund Advisors Ltd.
Santa Monica, CA
Date of Birth: 3/1/51
Daniel M. Wheeler Since 2001 Vice President of all the DFA Entities. Prior to
Vice President 2001, Director of Financial Advisors Services of
Santa Monica, CA Dimensional. Director of Dimensional Fund Advisors
Date of Birth: 3/3/45 Ltd. (since October 2003) and President of
Dimensional Fund Advisors Canada Inc. (since
June 2003).
(1) Each officer holds office for an indefinite term at the pleasure of the
Boards of Trustee/Directors and until his or her successor is elected and
qualified.
* Rex A. Sinquefield and Jeanne C. Sinquefield are husband and wife.
188
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Fund uses in voting
proxies relating to securities held in the portfolio is available without
charge, upon request, by calling collect: (310) 395-8005. Information regarding
how the Advisor votes these proxies is available from the EDGAR database on the
SEC's website at http://www.sec.gov and from the Advisor's website at
http://www.dfaus.com and reflects the twelve-month period beginning July 1, 2003
and ending June 30, 2004.
189
ITEM 2. CODE OF ETHICS.
The Registrant has adopted, as of the end of the period covered by this Form
N-CSR (the "Report"), a code of ethics that applies to the Registrant's
principal executive officer and principal financial officer (the "Code of
Business Ethics"). The Registrant has not made any substantive amendments to the
Code of Business Ethics during the period covered by this Report. The Registrant
also has not granted any waiver from any provisions of the Code of Business
Ethics during the period covered by this Report. A copy of the Code of Business
Ethics is filed as an exhibit to this Report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The Registrant's Board of Directors has determined that Abbie J. Smith possesses
the technical attributes to qualify as an "audit committee financial expert"
serving on the Registrant's Audit Committee and has designated Ms. Smith as the
"audit committee financial expert." Ms. Smith earned a Ph.D. in Accounting, and
has taught Accounting at the graduate level since 1980. Ms. Smith's education
and career have provided her with an understanding of generally accepted
accounting principles and financial statements; the ability to assess the
general application of such principles in connection with the accounting for
estimates, accruals and reserves; and experience preparing, analyzing and
evaluating financial statements that present a breadth and level of complexity
of issues that can reasonably be expected to be raised by the Registrant's
financial statements. In addition, Ms. Smith has served on the boards of
directors and audit committees of entities other than the Registrant. Ms. Smith
is independent under the standards set forth in Item 3 of Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Audit Fees
Fiscal Year Ended November 30, 2004: $71,797
Fiscal Year Ended November 30, 2003: $64,235
(b) Audit-Related Fees
Fees for Registrant Fiscal Year Ended November 30, 2004: $7,920
Fiscal Year Ended November 30, 2003: $7,740
Audited-Related Fees included, for the fiscal year ended November 30, 2004,
fees for services related to limited procedures performed in connection
with the production of the Registrant's semi-annual financial statements,
and, for fiscal year ended November 30, 2003, fees for services related to
limited procedures performed in connection with the production of the
Registrant's semi-annual financial statements and for consents issued in
connection with post-effective amendments to the Registrant's registration
statement.
There were no Audit-Related Fees required to be approved pursuant to
paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X during the fiscal years
indicated above.
(c) Tax Fees
Fees for Registrant Fiscal Year Ended November 30, 2004: $3,100
Fiscal Year Ended November 30, 2003: $2,880
In the fiscal years ended November 30, 2004 and November 30, 2003, Tax Fees
included services in connection with the Registrant's excise tax
calculations and review of the Registrant's tax returns.
There were no Tax Fees required to be approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X during the fiscal years indicated
above.
(d) All Other Fees
Fees for Registrant Fiscal Year Ended November 30, 2004: $0
Fiscal Year Ended November 30, 2003: $0
There were no "All Other Fees" required to be approved pursuant to
paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X during the fiscal years
indicated above.
(e)(1) Audit Committee's Pre-Approval Policies and Procedures
Pre-Approval Policies and Procedures
as adopted by the
Audit Committees
of
DFA Investment Dimensions Group Inc.
Dimensional Emerging Markets Value Fund Inc.
Dimensional Investment Group Inc.
The DFA Investment Trust Company
(together, the "Funds")
The Sarbanes-Oxley Act of 2002 (the "Act") and the rules (the "Rules")
adopted by the U.S. Securities and Exchange Commission (the "SEC") require
that the Funds' Audit Committees (together, the "Committee") pre-approve
all audit services and non-audit services provided to the Funds by their
independent auditors (the "Auditor"). The Act and the Rules also require
that the Committee pre-approve all non-audit services provided by the
Auditor to Dimensional Fund Advisors, Inc. ("Dimensional"), the Funds'
investment advisor, and to affiliates of Dimensional that provide ongoing
services to the Funds (with Dimensional, together the "Service Affiliates")
if the services directly impact the Funds' operations and financial
reporting.
The following policies and procedures govern the ways in which the
Committee will pre-approve audit and various types of non-audit services
that the Auditor provides to the Funds and to Service Affiliates. These
policies and procedures do not apply in the case of audit services that the
Auditor provides to Service Affiliates, nor do they apply to services that
an audit firm other than the Auditor provides to such entities.
These policies and procedures comply with the requirements for
pre-approval, but also provide a mechanism by which management of the Funds
may request and secure pre-approval of audit and non-audit services in an
orderly manner with minimal disruption to normal business operations.
Pre-approval of non-audit services may be achieved through a combination of
the procedures described in Sections C and D below.
A. General
1. The Committee must pre-approve all audit services and non-audit
services that the Auditor provides to the Funds.
2. The Committee must pre-approve any engagement of the Auditor to
provide non-audit services to any Service Affiliate during the period
of the Auditor's engagement to provide audit services to the Funds, if
the non-audit services to the Service Affiliate directly impact the
Funds' operations and financial reporting.
B. Pre-Approval of Audit Services to the Funds
1. The Committee shall approve the engagement of an auditor to certify
the Funds' financial statements for each fiscal year (the
"Engagement"). The approval of the Engagement shall not be delegated
to a Designated Member (as that term is defined in Section D below).
In approving the Engagement, the Committee shall obtain, review and
consider sufficient information concerning the proposed Auditor to
enable the Committee to make a reasonable evaluation of the Auditor's
qualifications and independence. The Committee also shall consider the
Auditor's proposed fees for the Engagement, in light of the scope and
nature of the audit services that the Funds will receive.
2. The Committee shall report to the Boards of Directors/Trustees of the
Funds (together, the "Board") regarding its approval of the Engagement
and of the proposed fees for the Engagement, and the basis for such
approval.
3. Unless otherwise in accordance with applicable law, the Engagement, in
any event, shall require that the Auditor be selected by the vote,
cast in person, of a majority of the members of the Board who are not
"interested persons" of the Funds (as that term is defined in Section
2(a)(19) of the Investment Company Act of 1940, as amended) (the
"Independent Directors").
C. Pre-Approval of Non-Audit Services to the Funds and to Service
Affiliates--by Types of Services
1. The Committee may pre-approve types of non-audit services to the Funds
and their Service Affiliates pursuant to this Section C.
2. Annually, at such time as the Committee considers the Engagement of
the Auditor, management of the Funds, in consultation with the
Auditor, shall provide to the Committee, for its consideration and
action, the following: (a) a list of those types of non-audit
services, if any, that the Funds may request from the Auditor during
the fiscal year; and (b) a list of those types of non-audit services
directly impacting the Funds' operations and
financial reporting that Service Affiliates may request from the
Auditor during the fiscal year.
3. The lists submitted to the Committee shall describe the types of
non-audit services in reasonable detail and shall include an estimated
budget (or budgeted range) of fees, where possible, and such other
information as the Committee may request.
4. The Committee's pre-approval of the types of non-audit services
submitted pursuant to this Section C shall constitute authorization
for management of the Funds to utilize the Auditor for the types of
non-audit services so pre-approved, if needed or desired during the
fiscal year.
5. A list of the types of non-audit services pre-approved by the
Committee pursuant to this Section C will be distributed to management
of the Service Affiliates and the appropriate partners of the Auditor.
Periodically, the Auditor will discuss with the Committee those
non-audit services that have been or are being provided pursuant to
this Section C.
D. Pre-Approval of Non-Audit Services to the Funds and to Service
Affiliates--Project-by-Project Basis
1. The Committee also may pre-approve non-audit services on a
project-by-project basis pursuant to this Section D.
2. Management of the Funds, in consultation with the Auditor, may submit
either to the Committee or to the Designated Member, as provided in
this Section D, for their consideration and action, a pre-approval
request identifying one or more non-audit service projects. The
request so submitted shall describe the project(s) in reasonable
detail and shall include an estimated budget (or budgeted range) of
fees and such other information as the Committee or the Designated
Member, as appropriate, shall request.
3. The Committee, from time to time, shall designate one or more of its
members who are Independent Directors (each a "Designated Member") to
consider, on the Committee's behalf, any non-audit services, whether
to the Funds or to any Service Affiliate, that have not been
pre-approved by the Committee. The Designated Member also shall
review, on the Committee's behalf, any proposed material change in the
nature or extent of any non-audit services previously approved. The
Funds' management, in consultation with the Auditor, shall explain why
such non-audit services or material change in non-audit services are
necessary and appropriate and the anticipated costs thereof.
4. The Designated Member will review the requested non-audit services or
proposed material change in such services and will either:
(a) pre-approve, pre-approve subject to conditions, or disapprove any
such requested services, or any proposed material change in
services, whether to the Funds or to a Service Affiliate; or
(b) refer such matter to the Committee for its consideration and
action.
In considering any requested non-audit services or proposed material
change in such services, the Designated Member's authority shall be
limited to approving non-audit services or proposed material changes
that do not exceed $10,000 in value.
5. The Designated Member's pre-approval (or pre-approval subject to
conditions) of the requested non-audit services or proposed material
change in services pursuant to this Section D shall constitute
authorization for the management of the Funds or the Service
Affiliate, as the case may be, to utilize the Auditor for the
non-audit services so pre-approved. Any action by the Designated
Member in approving a requested non-audit service shall be presented
for ratification by the Committee not later than at its next scheduled
meeting. If the Designated Member does not approve the Auditor
providing the requested non-audit service, the matter may be presented
to the full Committee for its consideration and action.
E. Amendment; Annual Review
1. The Committee may amend these procedures from time to time.
2. These procedures shall be reviewed annually by the Committee.
F. Recordkeeping
1. The Funds shall maintain a written record of all decisions made by the
Committee or by a Designated Member pursuant to these procedures,
together with appropriate supporting materials.
2. In connection with the approval of any non-audit service pursuant to
the de minimis exception provided in the Rules, a record shall be made
indicating that each of the conditions for this exception, as set
forth in the Rules, has been satisfied.
3. A copy of these Procedures (and of any amendments to these Procedures)
shall be maintained and preserved permanently in an easily accessible
place. The written records referred to in paragraphs 1 and 2 of this
Section F shall be maintained and preserved for six years from the end
of the fiscal year in which the actions recorded were taken, for at
least the first two years in an easily accessible location.
(e)(2) The fees disclosed in Items 4(b), 4(c) or 4(d) were approved by the
Registrant's Audit Committee but not pursuant to paragraph
(c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) The percentage of hours expended on the principal accountant's
engagement to audit the Registrant's financial statements for the
fiscal year ended November 30, 2004 that were attributed to work
performed by persons other than the principal accountant's full time,
permanent employees was NOT greater than 50%.
(g) Aggregate Non-Audit Fees
Fiscal Year Ended November 30, 2004: $171,320
Fiscal Year Ended November 30, 2003: $156,620
(h) The Registrant's Audit Committee has considered whether the provision
of non-audit services that were rendered to the Registrant's
investment adviser, and any entity controlling, controlled by, or
under common control with the investment adviser that provides ongoing
services to the Registrant, that were not pre-approved pursuant to
paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with
maintaining the principal accountant's independence.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
This item is not applicable to the Registrant because it is not a listed issuer.
ITEM 6. SCHEDULE OF INVESTMENTS.
Please see schedule of investments contained in the reports to stockholders
included under Item 1 of this Report.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 8. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANIES.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
None.
ITEM 10. CONTROLS AND PROCEDURES.
(a) Based on their evaluation of the Registrant's disclosure controls and
procedures as of a date within 90 days of the filing date of this Form
N-CSR/A (the "Report"), the Registrant's Principal Executive Officer
and Principal Financial Officer believe that the disclosure controls
and procedures (as defined in Rule 30a-3(c) under the Investment
Company Act of 1940, as amended) are effectively designed to ensure
that information required to be disclosed by the Registrant in the
Report is recorded, processed, summarized and reported by the filing
date, including ensuring that information required to be disclosed in
the Report is accumulated and communicated to the Registrant's
officers that are making certifications in the Report, as appropriate,
to allow timely decisions regarding required disclosure. The
Registrant's management, including the Principal Executive Officer and
the Principal Financial Officer, recognizes that any set of controls
and procedures, no matter how well designed and operated, can provide
only reasonable assurance of achieving the desired control objectives.
(b) There were no changes in the Registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the Investment
Company Act of 1940, as amended) that occurred during the Registrant's
second fiscal quarter that have materially affected, or are reasonably
likely to materially affect, the Registrant's internal control over
financial reporting.
ITEM 11. EXHIBITS.
(a) Code of Ethics is filed herewith.
(b) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of
2002 are filed herewith.
(c) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of
2002 are filed herewith.
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the Registrant has duly caused this Report to be
signed on its behalf by the undersigned, thereunto duly authorized.
Dimensional Investment Group Inc.
By: /s/ David G. Booth
--------------------------------------------
David G. Booth
Chairman, Director, President,
Chief Executive Officer and Chief Investment Officer
Date: March 28, 2005
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this Report has been signed below by the
following persons on behalf of the Registrant and in the capacities and on the
dates indicated.
By: /s/ David G. Booth
--------------------------------------------
David G. Booth
Principal Executive Officer
Dimensional Investment Group Inc.
Date: March 28, 2005
By: /s/ Michael T. Scardina
--------------------------------------------
Michael T. Scardina
Principal Financial Officer
Dimensional Investment Group Inc.
Date: March 28, 2005
Dates Referenced Herein and Documents Incorporated by Reference
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Filing Submission 0001047469-05-008243 – Alternative Formats (Word / Rich Text, HTML, Plain Text, et al.)
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