Certified Semi-Annual Shareholder Report of a Management Investment Company — Form N-CSR
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1: N-CSRS Certified Semi-Annual Shareholder Report of a 1,054 4.81M
Management Investment Company
3: EX-99.906CERT Miscellaneous Exhibit 1 7K
2: EX-99.CERT Miscellaneous Exhibit 4 15K
N-CSRS — Certified Semi-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
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-7436
----------------------------------------------
THE DFA INVESTMENT TRUST COMPANY
--------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
1299 Ocean Avenue, 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
The DFA Investment Trust Company,
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: December 1, 2004 - May 31, 2005
ITEM 1. REPORTS TO STOCKHOLDERS.
================================================================================
The DFA Investment Trust Company
The Global Value Series
The Global Large Company Series
The Global Small Company Series
SEMI-ANNUAL REPORT
Six Months Ended May 31, 2005
(Unaudited)
================================================================================
THE DFA INVESTMENT TRUST COMPANY
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
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PAGE
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THE DFA INVESTMENT TRUST COMPANY
Disclosure of Fund Expenses 1
Disclosure of Portfolio Holdings 2
Schedules of Investments
The Global Value Series 3
The Global Large Company Series 3
The Global Small Company Series 3
Statements of Assets and Liabilities 4
Statements of Operations 5
Statements of Changes in Net Assets 6
Financial Highlights 7
Notes to Financial Statements 9
DFA INVESTMENT DIMENSIONS GROUP INC. -- LARGE CAP INTERNATIONAL PORTFOLIO
Disclosure of Fund Expenses 14
Disclosure of Portfolio Holdings 15
Schedule of Investments 16
Statement of Assets and Liabilities 22
Statement of Operations 23
Statements of Changes in Net Assets 24
Financial Highlights 25
Notes to Financial Statements 26
THE DFA INVESTMENT TRUST COMPANY
Disclosure of Fund Expenses 31
Disclosure of Portfolio Holdings 33
Schedules of Investments
The U.S. Large Company Series 37
The U.S. Large Cap Value Series 40
The U.S. Small Cap Series 43
The DFA International Value Series 46
The Japanese Small Company Series 51
The Pacific Rim Small Company Series 54
The United Kingdom Small Company Series 57
The Continental Small Company Series 60
Statements of Assets and Liabilities 65
Statements of Operations 66
Statements of Changes in Net Assets 68
Financial Highlights 70
Notes to Financial Statements 74
VOTING PROXIES ON FUND PORTFOLIO SECURITIES 81
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.
i
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THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the
impact of fees on your investment. All mutual funds have operating expenses. As
a shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees (in dollars) of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Tables below illustrate your fund's costs in two ways.
- ACTUAL FUND RETURN. This section helps you to estimate the actual
expenses after fee waivers that you paid over the period. The "Ending
Account Value" shown is derived from the fund's actual return, and
"Expenses Paid During Period" shows the dollar amount that would have
been paid by an investor who started with $1,000 in the fund. You may
use the information here, together with the amount you invested, to
estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
- HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you
compare your fund's costs with those of other mutual funds. It assumes
that the fund had an annual return of 5% before expenses, but that the
expense ratio is unchanged. In this case -- because the return used is
not the fund's actual return -- the results do not apply to your
investment. The example is useful in making comparisons because the
Securities and Exchange Commission ("SEC") requires all mutual funds to
calculate expenses based on a 5% annual return. You can assess your
fund's cost by comparing this hypothetical example with the hypothetical
examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight
and help you compare ongoing costs only and do not reflect any transactional
costs (if any). The "Annualized Expense Ratio" represents the actual expenses
for the six month period indicated.
FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005
EXPENSE TABLES
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BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/1/04 5/31/05 RATIO PERIOD*
---------- ---------- ---------- ----------
GLOBAL VALUE SERIES
Actual Fund Return $ 1,000.00 $ 1,036.40 0.23% $ 1.17
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.85 0.23% $ 1.16
GLOBAL LARGE COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,019.80 0.29% $ 1.46
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.55 0.29% $ 1.46
GLOBAL SMALL COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,022.10 0.19% $ 0.96
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.05 0.19% $ 0.96
----------
* Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in the
most recent fiscal half-year, then divided by 365.
1
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete Schedule
of Investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For The DFA Investment
Trust Company, this would be for the fiscal quarters ending August 31 and
February 28 (February 29 during leap year). The Form N-Q filing must be made
within 60 days of the end of the quarter. The DFA Investment Trust Company filed
its most recent Form N-Q with the SEC on April 29, 2005. It is available upon
request, without charge by calling collect: (310) 395-8005 or by mailing a
request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa
Monica, California 90401, or by visiting the SEC's website at
http://www.sec.gov, or they may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the
operation of the Public Reference Room).
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.
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THE GLOBAL VALUE SERIES
Investment Companies 100.0%
-----
100.0%
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THE GLOBAL LARGE COMPANY SERIES
Investment Companies 100.0%
-----
100.0%
=====
THE GLOBAL SMALL COMPANY SERIES
Investment Companies 100.0%
-----
100.0%
=====
2
THE DFA INVESTMENT TRUST COMPANY
SCHEDULES OF INVESTMENTS
MAY 31, 2005
THE GLOBAL VALUE SERIES
(UNAUDITED)
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VALUE+
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Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company
(50.3%) (5,402,356 Shares, Cost $84,067,488) $ 104,427,541
Investment in The DFA International Value Series of The DFA Investment Trust Company
(49.7%) (6,579,082 Shares, Cost $80,786,890) 103,028,424
--------------
Total Investments(100%) (Cost $164,854,378) $ 207,455,965
==============
THE GLOBAL LARGE COMPANY SERIES
(UNAUDITED)
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VALUE+
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Investment in The U.S. Large Company Series of The DFA Investment Trust Company
(50.4%) (Cost $46,717,042) $ 53,366,343
Investment in Large Cap International Portfolio of DFA Investment Dimensions Group Inc.
(49.6%) (3,027,505 Shares, Cost $44,992,180) 52,587,762
--------------
Total Investments(100%) (Cost $91,709,222) $ 105,954,105
==============
THE GLOBAL SMALL COMPANY SERIES
(UNAUDITED)
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VALUE+
--------------
Investment in The U.S. Small Cap Series of The DFA Investment Trust Company
(50.6%) (7,030,169 Shares, Cost $83,261,262) $ 105,733,742
Investment in The Continental Small Company Series of The DFA Investment Trust Company
(16.9%) (Cost $19,369,528) 35,338,201
Investment in The Japanese Small Company Series of The DFA Investment Trust Company
(15.4%) (Cost $25,004,901) 32,145,037
Investment in The United Kingdom Small Company Series of The DFA Investment Trust
Company (10.3%) (Cost $15,970,740) 21,420,916
Investment in The Pacific Rim Small Company Series of The DFA Investment Trust Company
(6.8%) (Cost $11,980,607) 14,148,714
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Total Investments(100%) (Cost $155,587,038) $ 208,786,610
==============
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+See Note B to Financial Statements
See accompanying Notes to Financial Statements.
3
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
(UNAUDITED)
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THE THE
THE GLOBAL GLOBAL
GLOBAL LARGE SMALL
VALUE COMPANY COMPANY
SERIES SERIES SERIES
---------- ---------- ----------
ASSETS:
Investments at Value $ 207,456 $ 105,954 $ 208,787
Cash -- 1 --
Receivable for Fund Shares Sold 126 -- --
---------- ---------- ----------
Total Assets 207,582 105,955 208,787
---------- ---------- ----------
LIABILITIES:
Payables:
Investment Securities Purchased 126 -- --
Due to Advisor -- 16 --
Accrued Expenses and Other Liabilities 19 9 20
---------- ---------- ----------
Total Liabilities 145 25 20
---------- ---------- ----------
NET ASSETS $ 207,437 $ 105,930 $ 208,767
========== ========== ==========
SHARES OUTSTANDING $0.01 PAR VALUE
(Unlimited Number of Shares Authorized) 15,847,320 12,309,424 14,427,750
========== ========== ==========
NET ASSET VALUE AND REDEMPTION PRICE
PER SHARE $ 13.09 $ 8.61 $ 14.47
========== ========== ==========
Investments at Cost $ 164,854 $ 91,709 $ 155,587
========== ========== ==========
See accompanying Notes to Financial Statements.
4
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2005
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
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THE THE
THE GLOBAL GLOBAL
GLOBAL LARGE SMALL
VALUE COMPANY COMPANY
SERIES SERIES SERIES
------- ------- -------
INVESTMENT INCOME
Income Distributions Received from The DFA Investment
Trust Company $ 1,376 $ 444 $ 406
Dividends (Net of Foreign Taxes Withheld
of $0, $0, and $112, respectively) -- 422 1,364
Interest -- 14 12
Income from Securities Lending -- 1 135
Expenses Allocated from Master Funds -- (12) (125)
------- ------- -------
Total Investment Income 1,376 869 1,792
------- ------- -------
EXPENSES
Accounting & Transfer Agent Fees 16 16 18
Legal Fees 2 1 2
Audit Fees 2 1 3
Shareholders' Reports 3 2 4
Trustees' Fees and Expenses 1 -- 1
Other -- 1 --
------- ------- -------
Total Expenses 24 21 28
Fees Waived, Expenses Reimbursed, and/or Previously
Waived Fees Recovered by Advisor (Note C) -- 16 --
------- ------- -------
Net Expenses 24 37 28
------- ------- -------
NET INVESTMENT INCOME (LOSS) 1,352 832 1,764
------- ------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from The DFA Investment
Trust Company 3,352 -- 4,521
Net Realized Gain (Loss) on Investment Securities Sold -- (237) 1,707
Net Realized Gain (Loss) on Futures -- 4 --
Net Realized Gain (Loss) on Foreign Currency Transactions -- -- (6)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 1,371 708 (4,000)
Futures -- (16) --
Translation of Foreign Currency Denominated Amounts -- -- (14)
------- ------- -------
NET GAIN (LOSS) 4,723 459 2,208
------- ------- -------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 6,075 $ 1,291 $ 3,972
======= ======= =======
See accompanying Notes to Financial Statements.
5
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
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THE THE THE
GLOBAL GLOBAL LARGE GLOBAL SMALL
VALUE SERIES COMPANY SERIES COMPANY SERIES
------------------------- ------------------------- -------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004 2005 2004
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 1,352 $ 1,929 $ 832 $ 1,563 $ 1,764 $ 2,156
Capital Gain Distributions Received
from The DFA Investment Trust Company 3,352 -- -- -- 4,521 28
Net Realized Gain (Loss) on Investment
Securities Sold -- (3) (237) (43) 1,707 3,136
Net Realized Gain (Loss) on Futures -- -- 4 60 -- --
Net Realized Gain (Loss) on Foreign
Currency Transactions -- -- -- -- (6) 6
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency 1,371 28,743 708 8,516 (4,000) 29,778
Futures -- -- (16) 11 -- --
Translation of Foreign Currency
Denominated Amounts -- -- -- -- (14) 4
----------- ----------- ----------- ----------- ----------- -----------
Net Increase (Decrease) in Net
Assets Resulting from Operations 6,075 30,669 1,291 10,107 3,972 35,108
----------- ----------- ----------- ----------- ----------- -----------
Distributions From:
Net Investment Income (1,335) (3,124) (899) (1,517) (1,394) (3,073)
Net Short-Term Gains (76) -- -- -- (1,044) (371)
Net Long-Term Gains -- (23) -- -- (2,891) (4,547)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (1,411) (3,147) (899) (1,517) (5,329) (7,991)
----------- ----------- ----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued 32,239 45,646 22,868 28,412 17,022 34,317
Shares Issued in Lieu of Cash
Distributions 1,199 2,679 764 1,289 4,963 7,474
Shares Redeemed -- -- -- (845) -- (8,641)
----------- ----------- ----------- ----------- ----------- -----------
Net Increase (Decrease) from
Capital Share Transactions 33,438 48,325 23,632 28,856 21,985 33,150
----------- ----------- ----------- ----------- ----------- -----------
Total Increase (Decrease) 38,102 75,847 24,024 37,446 20,628 60,267
NET ASSETS
Beginning of Period 169,335 93,488 81,906 44,460 188,139 127,872
----------- ----------- ----------- ----------- ----------- -----------
End of Period $ 207,437 $ 169,335 $ 105,930 $ 81,906 $ 208,767 $ 188,139
=========== =========== =========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 2,450 4,000 2,621 3,584 1,159 2,663
Shares Issued in Lieu of Cash
Distributions 92 242 88 165 346 615
Shares Redeemed -- -- -- (106) -- (653)
----------- ----------- ----------- ----------- ----------- -----------
2,542 4,242 2,709 3,643 1,505 2,625
=========== =========== =========== =========== =========== ===========
See accompanying Notes to Financial Statements.
6
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
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THE GLOBAL VALUE SERIES
----------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
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(UNAUDITED)
Net Asset Value, Beginning of Period $ 12.73 $ 10.32 $ 8.17 $ 9.07 $ 9.52 $ 9.67
----------- --------- --------- --------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.10 0.17 2.11 0.11 0.15 0.14
Net Loss on Securities (Realized and
Unrealized) 0.36 2.54 0.14 (0.72) (0.18) (0.01)
----------- --------- --------- --------- --------- ---------
Total From Investrment Operations 0.46 2.71 2.25 (0.61) (0.03) 0.13
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LESS DISTRIBUTIONS
Net Investment Income (0.10) (0.30) (0.10) (0.13) (0.04) (0.18)
Net Realized Gains -- -- -- (0.16) (0.38) (0.10)
----------- --------- --------- --------- --------- ---------
Total Distributions (0.10) (0.30) (0.10) (0.29) (0.42) (0.28)
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 13.09 $ 12.73 $ 10.32 $ 8.17 $ 9.07 $ 9.52
=================================================================================================================================
Total Return 3.64%# 26.81% 28.01% (6.84)% (0.49)% 1.39%
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Net Assets, End of Period (thousands) $ 207,437 $ 169,335 $ 93,488 $ 44,330 $ 8,938 $ 2,638
Ratio of Expenses to Average Net Assets(1) 0.23%* 0.27% 0.368% 0.375% 0.375% 0.47%
Ratio of Expenses to Average Net Assets (excluding
waivers and assumption of expenses and/or
recovery of previously waived fees)(1) 0.23%* 0.25% 0.298% 0.465% 0.805% 2.03%
Ratio of Net Investment Income to Average
Net Assets 1.42%* 1.52% 1.96% 2.17% 2.21% 2.18%
THE GLOBAL LARGE COMPANY SERIES
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SIX MONTHS YEAR YEAR YEAR YEAR AUG. 21
ENDED ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
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(UNAUDITED)
Net Asset Value, Beginning of Period $ 8.53 $ 7.46 $ 6.36 $ 7.47 $ 8.91 $ 10.00
----------- --------- --------- --------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.08 0.16 0.10 0.10 0.10 0.02
Net Loss on Securities (Realized and
Unrealized) 0.09 1.12 1.09 (1.12) (1.46) (1.11)
----------- --------- --------- --------- --------- ---------
Total From Investrment Operations 0.17 1.28 1.19 (1.02) (1.36) (1.09)
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LESS DISTRIBUTIONS
Net Investment Income (0.09) (0.21) (0.09) (0.09) (0.08) --
Net Realized Gains -- -- -- -- -- --
----------- --------- --------- --------- --------- ---------
Total Distributions (0.09) (0.21) (0.09) (0.09) (0.08) --
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Net Asset Value, End of Period $ 8.61 $ 8.53 $ 7.46 $ 6.36 $ 7.47 $ 8.91
=================================================================================================================================
Total Return 1.98%# 17.46% 19.07% (13.80)% (15.41)% (10.90)%#
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Net Assets, End of Period (thousands) $ 105,930 $ 81,906 $ 44,460 $ 21,083 $ 7,404 $ 190
Ratio of Expenses to Average Net Assets(1) 0.29%* 0.25% 0.25% 0.25% 0.25% 0.25%*
Ratio of Expenses to Average Net Assets (excluding
waivers and assumption of expenses and/or
recovery of previously waived fees)(1) 0.26%* 0.29% 0.37% 0.57% 0.88% 3.37%*
Ratio of Net Investment Income to Average
Net Assets 1.75%* 2.48% 1.29% 1.01% 0.44% 0.63%*
* Annualized
# Non-annualized
(1) Represents the combined ratio for the respective Series and its respective
pro-rata share of its Master Fund Series'.
See accompanying Notes to Financial Statements.
7
[Enlarge/Download Table]
THE GLOBAL SMALL COMPANY SERIES
-----------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR AUG. 21
ENDED ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
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(UNAUDITED)
Net Asset Value, Beginning of Period $ 14.56 $ 12.42 $ 8.59 $ 9.08 $ 9.10 $ 10.00
----------- --------- --------- --------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.19 0.18 0.13 0.10 0.10 0.04
Net Loss on Securities (Realized and
Unrealized) 0.13 2.71 3.79 (0.47) 0.07 (0.92)
----------- --------- --------- --------- --------- ---------
Total From Investrment Operations 0.32 2.89 3.92 (0.37) 0.17 (0.88)
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LESS DISTRIBUTIONS
Net Investment Income (0.16) (0.28) (0.09) (0.10) (0.05) (0.02)
Net Realized Gains (0.25) (0.47) -- (0.02) (0.14) --
----------- --------- --------- --------- --------- ---------
Total Distributions (0.41) (0.75) (0.09) (0.12) (0.19) (0.02)
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 14.47 $ 14.56 $ 12.42 $ 8.59 $ 9.08 $ 9.10
================================================================================================================================
Total Return 2.21%# 24.50% 46.17% 4.20% 1.87% (8.80)%#
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 208,767 $ 188,139 $ 127,872 $ 43,220 $ 6,795 $ 759
Ratio of Expenses to Average Net Assets(1) 0.19%* 0.21% 0.30% 0.375% 0.375% 0.375%*
Ratio of Expenses to Average Net Assets
(excluding waivers and assumption of expenses
and/or recovery of previously waived fees)(1) 0.19%* 0.21% 0.26% 0.455% 1.065% 2.55%*
Ratio of Net Investment Income to Average
Net Assets 1.75%* 1.40% 1.55% 1.81% 1.98% 2.62%*
* Annualized
# Non-annualized
(1) Represents the combined ratio for the Series and its respective pro-rata
share of its Master Fund Series'.
See accompanying Notes to Financial Statements.
8
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of twenty-one investment portfolios, of which The Global Value
Series, The Global Large Company Series, and The Global Small Company Series
(the "Global Funds" or "Feeder Funds") are presented in this section of the
report and the Master Funds (as defined below) are presented elsewhere in this
report.
The Global Funds achieve their investment objectives by investing in eight
Series within The DFA Investment Trust Company ("ITC") and one Portfolio of DFA
Investment Dimensions Group Inc. ("IDG") (collectively, the "Master Funds").
GLOBAL FUNDS (FEEDER FUNDS)
The Global Value Series
The Global Large Company Series
The Global Small Company Series
MASTER FUNDS
The U.S. Large Cap Value Series (ITC)
The DFA International Value Series (ITC)
The U.S. Large Company Series (ITC)
Large Cap International Portfolio (IDG)
The U.S. Small Cap Series (ITC)
The Japanese Small Company Series (ITC)
The United Kingdom Small Company Series (ITC)
The Pacific Rim Small Company Series (ITC)
The Continental Small Company Series (ITC)
At May 31, 2005, all of the Global Funds owned less than 6% of any Master
Fund's total net assets.
The financial statements of the Master Funds are included in this report
and should be read in conjunction with the financial statements of the Global
Funds.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: The shares of the 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
United Kingdom Small Company Series, The Pacific Rim Small Company Series and
The Continental Small Company Series are organized as partnerships (the
"Partnerships"). The Global Funds reflect their proportionate interest in the
net assets of those corresponding Master Funds.
9
2. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Trustees may defer payment of a percentage of
their total fees earned as a Trustee. These deferred amounts may be treated as
though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Trustees' Fees and
Expenses.
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. Common expenses of the Trust or Global Funds
are allocated using methods approved by the Board of Trustees, generally based
on average net assets.
The Global Large Company Series and The Global Small Company Series each
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. The Global Funds are not
subject to a management fee.
Pursuant to a Fee Expense Waiver and Assumption Agreement, the Advisor has
agreed to waive its fees and to assume each Global Fund's expenses (including
the expenses the Global Funds bear as a shareholder of their Master Funds) to
the extent necessary to limit the expenses of each Global Fund to 0.375% of
average daily net assets on an annualized basis. Prior to March 30, 2005, The
Global Large Company Series expenses were limited to 0.25% of average daily net
assets. At any time that the annualized expenses of a Global Fund are less than
the rate listed above for such Global Fund on an annualized basis, the Advisor
retains the right to seek reimbursement for any fees previously waived and/or
expenses previously assumed to the extent that such reimbursement will not cause
the Global Funds' annualized expenses to exceed the applicable percentage of
average net assets as listed above. The Global Funds are not obligated to
reimburse the Advisor for fees waived or expenses assumed by the Advisor more
than thirty-six months prior to the date of such reimbursement. The Fee Expense
Waiver and Assumption Agreement shall remain in effect for a period of one year
from April 1, 2005 to April 1, 2006, and shall continue in effect from year to
year thereafter unless terminated by the Trust or the Advisor. At May 31, 2005,
The Global Large Company Series had approximately $121,200 of previously waived
fees subject to future reimbursement to the Advisor over various periods not
exceeding May 31, 2008. At May 31, 2005, The Global Value Series and The Global
Small Company Series had no waivers or fees subject to future reimbursement to
the Advisor.
Certain officers of the Global Funds are also officers, directors and
shareholders of the Advisor.
D. DEFERRED COMPENSATION:
At May 31, 2005, the total liability for deferred compensation to Trustees
is included in Accrued Expenses and Other Liabilities as follows:
[Download Table]
The Global Value Series $ 2,974
The Global Large Company Series 1,459
The Global Small Company Series 3,192
10
E. FEDERAL INCOME TAXES:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code for
federal income tax purposes and to distribute substantially all of its taxable
income and net capital gains to shareholders. Accordingly, no provision has been
made for federal income taxes.
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2004 and November 30, 2003 were as follows (amounts
in thousands):
[Download Table]
ORDINARY
INCOME
AND
SHORT-TERM LONG-TERM RETURN OF
CAPITAL GAINS CAPITAL GAINS CAPITAL TOTAL
------------- ------------- --------- -------
The Global Value Series
2004 $ 3,103 $ 21 $ 23 $ 3,147
2003 609 12 -- 621
The Global Large Company Series
2004 1,517 -- -- 1,517
2003 327 -- -- 327
The Global Small Company Series
2004 3,444 4,547 -- 7,991
2003 465 -- -- 465
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
At November 30, 2004, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
[Enlarge/Download Table]
TOTAL NET
DISTRIBUTABLE
UNDISTRIBUTED UNDISTRIBUTED CAPITAL EARNINGS
ORDINARY LONG-TERM LOSS (ACCUMULATED
INCOME CAPITAL GAINS CARRYFORWARD LOSSES)
------------- ------------- ------------ -------------
The Global Large Company Series $ 284 -- $ (1,617) $ (1,333)
The Global Small Company Series 1,072 $ 2,864 -- 3,936
At November 30, 2004, The Global Value Series had no net distributable
earnings.
For federal income tax purposes, the Trust measures its capital loss
carryforwards annually at November 30, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
As of November 30, 2004, the following Series had capital loss carryforwards
available to offset future realized capital gains through the indicated
expiration dates (amounts in thousands):
[Download Table]
EXPIRES ON NOVEMBER 30,
---------------------------
2009 2010 2011 TOTAL
------- ------- ------- -------
The Global Large Company Series $ 508 $ 625 $ 484 $ 1,617
Certain of the Master Funds that The Global Small Company Series invests
in, hold investments in securities considered to be "passive foreign investment
companies", for which any unrealized appreciation (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 Global
Small Company Series received unrealized appreciation/(depreciation) (mark to
market) and realized gains on the sale of passive foreign investment companies
of $460,722 and $60,133, 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.
11
At May 31, 2005, the total cost and aggregate gross unrealized appreciation
and depreciation of securities for federal income tax purposes were different
from amounts reported for financial reporting purposes (amounts in thousands):
[Enlarge/Download Table]
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
--------- ------------ ------------ --------------
The Global Value Series $ 164,969 $ 42,602 $ (115) $ 42,487
The Global Large Company Series 92,447 14,245 (738) 13,507
The Global Small Company Series 155,652 53,200 (66) 53,134
F. COMPONENTS OF NET ASSETS:
At May 31, 2005 net assets consisted of (amounts in thousands):
[Enlarge/Download Table]
UNREALIZED
ACCUMULATED APPRECIATION
NET REALIZED (DEPRECIATION)
ACCUMULATED GAIN ACCUMULATED OF INVESTMENT
NET (LOSS) OF NET REALIZED SECURITIES,
INVESTMENT INVESTMENT FOREIGN FOREIGN
PAID-IN INCOME SECURITIES EXCHANGE CURRENCY AND TOTAL NET
CAPITAL (LOSS) AND FUTURES GAIN (LOSS) FUTURES ASSETS
--------- ----------- ------------ ----------- -------------- ---------
The Global Value Series $ 161,661 $ 9 $ 3,165 -- $ 42,602 $ 207,437
The Global Large Company Series 93,926 212 (2,453) -- 14,245 105,930
The Global Small Company Series 149,495 664 5,414 $ (6) 53,200 208,767
G. FINANCIAL INSTRUMENTS:
In accordance with the Global Funds' investment objectives and policies,
the Global Funds may invest in certain financial instruments that have
off-balance sheet risk in excess of the amounts recognized in the financial
statements and concentrations of credit and market risk. The instrument and its
significant corresponding risks are described below:
REPURCHASE AGREEMENTS: The Global Funds may purchase money market
instruments subject to the counterparty's agreement to repurchase them at an
agreed upon date and price. The counterparty will be required on a daily basis
to maintain the value of the collateral subject to the agreement at not less
than the repurchase price (including accrued interest). The agreements are
conditioned upon the collateral being deposited under the Federal Reserve
book-entry system with the 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. There were no
open repurchase agreements on May 31, 2005.
H. LINE OF CREDIT:
The Trust, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2004
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each portfolio is individually, and not jointly
liable for its particular advances under the line of credit. There is no
commitment fee on the unused portion of the line of credit, since this is not a
committed facility. The agreement for the discretionary line of credit may be
terminated by either party at any time. The agreement for the line of credit
expires on June 27, 2006. There were no borrowings under the line of credit for
the six months ending May 31, 2005.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
3, 2005 with its international custodian bank. Each portfolio is permitted to
12
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Each portfolio is individually, and not jointly liable for its
particular advances under the line of credit. Borrowings under the line of
credit are charged interest at rates agreed to by the parties at the time of
borrowing. There is no commitment fee on the unused line of credit. The
agreement for the line of credit expires in April 2, 2006. There were no
borrowings by the Global Funds under the line of credit with the international
custodian bank during the six months ended May 31, 2005.
I. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
13
DFA INVESTMENT DIMENSIONS GROUP INC.
LARGE CAP INTERNATIONAL PORTFOLIO
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees (in dollars) of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Table below illustrates your fund's costs in two ways.
- ACTUAL FUND RETURN. This section helps you to estimate the actual
expenses after fee waivers that you paid over the period. The "Ending
Account Value" shown is derived from the fund's actual return, and
"Expenses Paid During Period" shows the dollar amount that would have
been paid by an investor who started with $1,000 in the fund. You may
use the information here, together with the amount you invested, to
estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
- HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you
compare your fund's costs with those of other mutual funds. It assumes
that the fund had an annual return of 5% before expenses, but that the
expense ratio is unchanged. In this case -- because the return used is
not the fund's actual return -- the results do not apply to your
investment. The example is useful in making comparisons because the
Securities and Exchange Commission ("SEC") requires all mutual funds to
calculate expenses based on a 5% annual return. You can assess your
fund's cost by comparing this hypothetical example with the hypothetical
examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs
(if any). The "Annualized Expense Ratio" represents the actual expenses for the
six month period indicated.
FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005
EXPENSE TABLE
[Download Table]
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/1/04 5/31/05 RATIO PERIOD*
---------- ---------- ---------- ----------
Actual Fund Return $ 1,000.00 $ 1,013.70 0.38% $ 1.91
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.11 0.38% $ 1.92
----------
* Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in the
most recent fiscal half-year, then divided by 365.
14
DFA INVESTMENT DIMENSIONS GROUP INC.
LARGE CAP INTERNATIONAL PORTFOLIO
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete Schedule
of Investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For DFA Investment
Dimensions Group Inc., this would be for the fiscal quarters ending August 31
and February 28 (February 29 during leap year). The Form N-Q filing must be made
within 60 days of the end of the quarter. DFA Investment Dimensions Group Inc.
filed its most recent Form N-Q with the SEC on April 29, 2005. It is available
upon request, without charge by calling collect: (310) 395-8005 or by mailing a
request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa
Monica, California 90401, or by visiting the SEC's website at
http://www.sec.gov, or they may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the
operation of the Public Reference Room).
The SEC has also amended certain regulations to permit a fund to include in
its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu
of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings
reports the fund's 50 largest holdings in unaffiliated issuers and any
investments that exceed one percent of the fund's net assets at the end of the
reporting period. The amendments also require that the Summary Schedule of
Portfolio Holdings identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the
SEC on Form N-CSR within ten days after mailing the annual report to
shareholders. It will be available, upon request, without charge, by calling
collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors,
Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by
visiting the SEC's website at http://www.sec.gov. or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C. (call
1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a Schedule of Investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
[Download Table]
Financials 24.7%
Consumer Discretionary 12.8
Industrials 10.5
Consumer Staples 9.1
Telecommunication Services 8.8
Health Care 8.2
Energy 7.7
Materials 6.6
Information Technology 5.6
Utilities 5.3
Other 0.5
REITS 0.2
-----
100.0%
=====
15
LARGE CAP INTERNATIONAL PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
[Enlarge/Download Table]
SHARES VALUE+
---------------- ----------------
UNITED KINGDOM -- (21.3%)
COMMON STOCKS -- (21.3%)
3I Group P.L.C. 47,318 $ 594,438
Aegis Group P.L.C. 93,242 165,345
Aggreko P.L.C. 20,000 70,480
Alliance & Leicester P.L.C. 46,652 725,947
Alliance Unichem P.L.C. 46,743 698,703
Allied Domecq P.L.C. 105,124 1,324,067
Amec P.L.C. 26,046 159,010
Amvescap P.L.C. 81,593 478,659
Anglo America P.L.C. 147,129 3,505,501
Antofagasta P.L.C. 38,710 812,567
Arm Holdings P.L.C. 124,215 244,467
Arriva P.L.C. 17,572 169,943
Associated British Foods P.L.C. 156,137 2,269,990
Associated British Ports Holdings P.L.C. 28,575 253,370
Aviva P.L.C. 217,315 2,431,366
AWG P.L.C. 13,189 214,592
BAA P.L.C. 101,758 1,151,096
BAE Systems P.L.C. 304,982 1,493,891
Balfour Beatty P.L.C. 38,213 224,245
Barclays P.L.C 630,263 5,972,908
Barratt Developments P.L.C. 21,581 259,174
BBA Group P.L.C. 37,724 206,081
Bellway P.L.C. 10,083 156,096
BG Group P.L.C. 335,914 2,543,817
BHP Billiton P.L.C. 234,473 2,834,078
BOC Group P.L.C. 38,519 703,446
Boots Group P.L.C. 67,524 744,109
Bovis Homes Group P.L.C. 9,923 123,351
BP Amoco P.L.C. 2,029,664 20,356,813
BPB P.L.C. 44,716 416,570
Bradford & Bingley P.L.C. 58,335 326,839
Brambles Industries P.L.C. 66,589 364,051
Britannic P.L.C. 16,713 155,117
* British Airways P.L.C. 184,946 921,270
British American Tobacco P.L.C. 273,139 5,184,939
British Land Co. P.L.C. 47,925 758,219
British Sky Broadcasting Group P.L.C. 272,457 2,701,753
Brixton P.L.C. 23,087 154,405
BT Group P.L.C. 807,511 3,133,717
* BTG P.L.C. 5,600 14,319
Bunzl P.L.C. 40,785 398,012
Cable and Wireless P.L.C. 217,095 528,702
Cadbury Schweppes P.L.C. 196,938 1,918,147
1
[Download Table]
* Cairn Energy P.L.C. 13,970 308,089
Capita Group P.L.C. 60,892 424,340
Carnival P.L.C. 17,221 942,788
Carpetright P.L.C. 8,513 133,826
Carphone Warehouse Group P.L.C. 182,534 545,501
Cattles P.L.C. 24,806 143,449
Centrica P.L.C. 352,500 1,485,992
Close Brothers Group P.L.C. 14,870 197,300
Cobham P.L.C. 10,041 257,187
Collins Stewart Tullett P.L.C. 22,435 172,015
# * Colt Telecom Group P.L.C. 192,155 181,459
Compass Group P.L.C. 204,776 806,533
Computacenter P.L.C. 15,015 67,603
* Cookson Group P.L.C. 13,053 77,090
* Corus Group P.L.C. 446,515 368,389
Davis Service Group P.L.C. 18,246 146,948
De La Rue P.L.C. 12,250 84,204
Diageo P.L.C. 282,174 4,058,389
Dixons Group P.L.C. 175,098 480,399
DX Services P.L.C. 7,451 46,747
* Easyjet P.L.C. 52,671 215,739
* Egg P.L.C. 98,437 197,552
Electrocomponents P.L.C. 39,172 185,572
Emap P.L.C. 23,642 345,692
EMI Group P.L.C. 72,649 327,857
Enterprise Inns P.L.C. 31,451 443,955
First Choice Holidays P.L.C. 47,135 154,845
Firstgroup P.L.C. 36,648 211,275
FKI P.L.C. 52,392 91,939
Friends Provident P.L.C. 209,193 663,777
Gallaher Group P.L.C. 62,237 958,719
General Electric Co. 22,898 841,099
GKN P.L.C. 64,999 297,801
Glaxosmithkline P.L.C. 556,137 13,764,313
Go-Ahead Group P.L.C. 3,736 91,616
Great Portland Estates P.L.C. 11,008 72,067
Great Universal Stores P.L.C. 94,865 1,460,716
Greene King P.L.C. 6,207 138,985
Group 4 Securicor P.L.C. 89,820 224,254
Hammerson P.L.C. 25,492 420,476
Hanson P.L.C. 70,011 645,697
Hays P.L.C. 151,308 341,690
HBOS P.L.C. 381,407 5,547,718
* Henderson Group P.L.C. 136,500 154,350
Hilton Group P.L.C. 151,980 784,450
HMV Group P.L.C. 37,627 155,423
HSBC Holdings P.L.C. 1,080,317 17,084,223
ICAP P.L.C. 64,402 321,348
IMI P.L.C. 31,802 238,421
Imperial Chemical Industries P.L.C. 109,590 506,805
Imperial Tobacco Group P.L.C. 68,712 1,858,737
Inchcape P.L.C. 7,420 263,531
InterContinental Hotels Group P.L.C. 56,166 652,269
International Power P.L.C. 135,538 476,892
2
[Download Table]
Intertek Group P.L.C. 12,740 174,817
* Invensys P.L.C. 477,720 97,784
ISIS Asset Management P.L.C. 46,394 194,976
Isoft Group P.L.C. 19,129 139,333
ITV P.L.C. 288,809 600,519
Jardine Lloyd Thompson Group P.L.C. 21,550 136,864
Johnson Matthey P.L.C. 19,864 352,975
Johnston Press P.L.C. 31,946 273,141
Kelda Group P.L.C. 34,560 404,213
Kesa Electricals P.L.C. 47,659 231,840
Kingfisher P.L.C. 223,029 1,042,556
Land Securities Group P.L.C. 44,468 1,153,534
Legal and General Group P.L.C. 618,036 1,217,142
Liberty International P.L.C. 39,267 698,214
Lloyds TSB Group P.L.C. 557,469 4,592,496
Logicacmg P.L.C. 33,214 102,670
Lonmin P.L.C. 13,023 242,967
Man Group P.L.C. 32,195 770,751
Manchester United P.L.C. 30,345 164,033
* Marconi Corp. P.L.C. 18,441 100,747
Marks & Spencer Group P.L.C. 204,766 1,256,309
Matalan P.L.C. 45,690 153,049
Meggitt P.L.C. 39,217 208,269
MFI Furniture Group P.L.C. 52,153 101,350
Millennium and Copthorne Hotels P.L.C. 38,892 251,564
Misys P.L.C. 50,290 197,659
Mitchells & Butlers P.L.C. 47,001 276,545
Morrison (Wm.) Supermarkets P.L.C. 278,508 957,094
* MyTravel Group P.L.C. Series A 22,000 1,990
National Express Group P.L.C. 11,282 177,943
National Grid Group P.L.C. 293,541 2,867,395
Next P.L.C. 24,719 646,450
Northern Foods P.L.C. 37,322 106,382
Northern Rock P.L.C. 40,016 535,637
* O2 P.L.C. 613,859 1,422,183
Ocean Group P.L.C. 28,112 433,533
Pearson P.L.C. 77,971 932,804
Peninsular & Oriental Steam Navigation P.L.C. 66,687 376,146
Pennon Group P.L.C. 11,263 206,397
Persimmon P.L.C. 27,757 376,810
Pilkington P.L.C. 135,509 285,278
Premier Farnell P.L.C. 30,487 89,883
Provident Financial P.L.C. 17,113 209,143
Prudential Corp. P.L.C. 225,662 2,002,268
Punch Taverns, Ltd. 22,497 278,888
Rank Group P.L.C. 61,189 298,083
Reckitt Benckiser P.L.C. 80,054 2,444,239
Reed International P.L.C. 121,003 1,153,837
* Regus Group P.L.C. 95,569 156,665
Rentokill Initial P.L.C. 166,530 446,811
Reuters Holdings Group P.L.C. 136,336 957,946
Rexam P.L.C. 50,658 443,369
Rio Tinto P.L.C. 101,446 3,011,521
* Rolls Royce Group P.L.C. 177,791 876,638
3
[Download Table]
* Rolls Royce Group P.L.C. Class B 8,429,800 15,318
Royal & Sun Alliance Insurance Group P.L.C. 267,928 375,227
Royal Bank of Scotland Group P.L.C. 303,894 8,917,233
Sabmiller P.L.C. 124,801 1,916,502
Sage Group P.L.C. 117,928 463,117
Sainsbury (J.) P.L.C. 198,701 1,033,133
Schroders P.L.C. 33,726 464,153
Scottish & Newcastle P.L.C. 93,185 805,151
Scottish Hydro-Electric P.L.C. 79,968 1,426,204
Scottish Power P.L.C. 173,475 1,461,289
Serco Group P.L.C. 39,172 179,317
Severn Trent P.L.C. 32,867 604,822
Shell Transport & Trading Co., P.L.C. 885,490 7,692,869
Shire Pharmaceuticals Group P.L.C. 43,525 461,914
Signet Group P.L.C. 164,896 308,066
Slough Estates P.L.C. 37,702 352,229
Smith & Nephew P.L.C. 89,664 885,668
Smith (WH) P.L.C. 13,348 86,788
Smiths Industries P.L.C. 53,441 854,424
Somerfield P.L.C. 48,928 175,419
* Spirent P.L.C. 72,279 60,839
SSL International P.L.C. 12,000 60,875
Stagecoach Group P.L.C. 120,769 242,712
Standard Chartered P.L.C. 125,919 2,279,357
T&F Informa Group P.L.C. 28,437 210,601
Tate & Lyle P.L.C. 49,954 429,818
Taylor Nelson AGB P.L.C. 36,013 140,595
Taylor Woodrow P.L.C. 55,846 321,482
Tesco P.L.C. 736,698 4,194,107
* The Berkeley Group Holdings P.L.C. 10,535 158,316
* TI Automotive P.L.C. Series A 18,000 0
Tomkins P.L.C. 71,196 348,620
Travis Perkins P.L.C. 11,935 378,927
Trinity Mirror P.L.C. 27,900 315,848
Tullow Oil P.L.C. 54,536 165,740
Unilever P.L.C. 290,187 2,831,477
United Business Media P.L.C. 31,939 290,180
United Utilities P.L.C. 74,036 912,058
Viridian Group P.L.C. 10,986 148,021
Vodafone Group P.L.C. 6,136,607 15,449,029
Whitbread P.L.C. 23,704 391,389
William Hill P.L.C. 36,278 326,312
Wilson Bowden P.L.C. 12,801 265,146
Wimpey (George) P.L.C. 35,916 278,131
Wolseley P.L.C. 55,981 1,144,207
Wolverhampton & Dudley Breweries P.L.C. 6,548 131,867
Wood Group (John) P.L.C. 28,221 75,163
WPP Group P.L.C. 124,799 1,330,147
Xstrata P.L.C. 95,888 1,718,805
Yell Group P.L.C. 66,922 496,898
Zeneca Group P.L.C. 155,158 6,574,255
-----------------
TOTAL COMMON STOCKS
(Cost $197,422,630) 235,913,076
-----------------
4
[Download Table]
INVESTMENT IN CURRENCY -- (0.0%)
* British Pound Sterling 138,318
----------------
(Cost $141,510)
TOTAL -- UNITED KINGDOM
(Cost $197,564,140) 236,051,394
----------------
JAPAN -- (19.2%)
COMMON STOCKS -- (19.2%)
Acom Co., Ltd. 7,500 480,023
Aderans Co., Ltd. 3,000 69,464
Advantest Corp. 7,370 553,305
AEON Co., Ltd. 48,700 749,427
Aeon Credit Service, Ltd. 2,700 171,676
* Aeon Mall Co., Ltd. 2,300 77,029
Aichi Bank, Ltd. 500 47,126
Aichi Steel Corp. 5,000 25,506
Aiful Corp. 9,900 726,480
AIOI Insurance Co., Ltd. 54,000 267,548
Air Water, Inc. 9,000 67,395
Aisin Seiki Co., Ltd. 25,600 568,095
Ajinomoto Co., Inc. 39,000 430,655
Akita Bank, Ltd. 6,000 27,132
Alfresa Holdings Corp. 1,800 82,661
# All Nippon Airways Co., Ltd. 190,000 597,452
# Alps Electric Co., Ltd. 13,000 196,419
Amada Co., Ltd. 27,000 183,331
Amano Corp. 3,000 31,149
Anritsu Corp. 6,000 36,051
AOC Holdings, Inc. 3,600 50,244
Aoyama Trading Co., Ltd. 3,400 82,376
Ariake Japan Co., Ltd. 1,210 28,521
Arisawa Manufacturing Co., Ltd. 1,540 44,468
Asahi Breweries, Ltd. 35,700 433,103
Asahi Denka Kogyo KK 5,000 51,357
Asahi Glass Co., Ltd. 94,000 1,012,959
Asahi Kasei Corp. 97,000 472,639
Asatsu-Dk, Inc. 2,600 74,717
* Ashikaga Financial Group, Inc. 41,000 0
Autobacs Seven Co., Ltd. 1,800 56,227
Avex, Inc. 1,000 13,264
Awa Bank, Ltd. 14,000 83,518
Bandai Co., Ltd. 5,000 103,166
Bank of Ikeda, Ltd. 1,100 55,847
Bank of Iwate, Ltd. 1,100 62,637
# Bank of Kyoto, Ltd. 20,000 167,802
Bank of Nagoya, Ltd. 11,000 64,580
Bank of Yokohama, Ltd. 97,000 554,847
Benesse Corp. 7,700 244,436
Bosch Automotive Systems Corp. 30,000 148,737
Bridgestone Corp. 61,000 1,199,359
Brother Industries, Ltd. 19,000 174,272
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Calsonic Corp. 15,000 82,976
Canon, Inc. 71,000 3,839,342
Capcom Co., Ltd. 2,000 18,735
Casio Computer Co., Ltd. 18,000 251,029
* Cawachi, Ltd. 600 26,239
Central Glass Co., Ltd. 14,000 88,988
Central Japan Railway Co. 254 2,043,625
Chiba Bank, Ltd. 59,000 400,355
Chiyoda Corp. 11,000 130,997
Chubu Electric Power Co., Ltd. 58,100 1,347,826
Chudenko Corp. 2,700 42,327
Chugai Pharmaceutical Co., Ltd. 54,600 806,502
Chugoku Bank, Ltd. 15,000 175,400
Chugoku Electric Power Co., Ltd. 25,800 485,743
Circle K Sunkus Co., Ltd. 5,100 114,395
Citizen Watch Co., Ltd. 21,000 183,456
Coca-Cola West Japan Co., Ltd. 4,600 102,898
Comsys Holdings Corp. 8,000 67,433
Cosmo Oil Co., Ltd. 37,000 135,282
Cosmo Securities Co., Ltd. 13,000 23,795
Credit Saison Co., Ltd. 10,600 351,879
CSK Corp. 4,800 170,207
Culture Convenience Club Co., Ltd. 2,300 40,577
Dai Nippon Ink & Chemicals, Inc. 47,000 138,840
Dai Nippon Pharmaceutical Co., Ltd. 10,000 95,870
Dai Nippon Printing Co., Ltd. 58,000 915,031
Dai Nippon Screen Mfg. Co., Ltd. 15,000 101,886
Daibiru Corp. 7,000 51,528
Daicel Chemical Industries, Ltd. 19,000 98,634
Daido Steel Co., Ltd. 27,000 109,653
Daiei OMC, Inc. 6,000 71,538
# * Daiei, Inc. 3,500 60,487
Daifuku Co., Ltd. 3,000 25,019
Daihatsu Motor Co., Ltd. 28,000 206,480
Dai-Ichi Pharmaceutical Co., Ltd. 17,900 400,576
Daikin Industries, Ltd. 18,000 438,145
Daimaru, Inc. 16,000 136,964
Daio Paper Corp. 9,000 69,527
Daishi Bank, Ltd. 22,000 91,690
Daito Trust Construction Co., Ltd. 9,800 368,187
Daiwa House Industry Co., Ltd. 37,000 407,916
Daiwa Securities Co., Ltd. 100,000 631,413
Denki Kagaku Kogyo KK 29,000 101,130
Denso Corp. 78,000 1,768,836
Dentsu, Inc. 242 599,649
Diamond City Co., Ltd. 2,300 67,558
Disco Corp. 1,700 72,657
Don Quijote Co., Ltd. 900 49,121
Dowa Mining Co., Ltd. 20,000 128,823
East Japan Railway Co. 292 1,447,075
Ebara Corp. 20,000 71,888
Edion Corp. 5,000 59,606
Elsai Co., Ltd. 21,300 719,625
Eneserve Corp. 1,500 49,045
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Exedy Corp. 1,700 28,018
Ezaki Glico Co., Ltd. 10,000 79,817
Familymart Co., Ltd. 6,000 173,708
Fancl Corp. 700 25,743
Fanuc, Ltd. 20,800 1,284,474
Fast Retailing Co., Ltd. 10,200 537,536
Fuji Electric Co., Ltd. 49,000 148,632
Fuji Fire & Marine Insurance Co., Ltd. 10,000 29,670
Fuji Heavy Industries 50,000 208,741
Fuji Oil Co., Ltd. 3,900 40,563
Fuji Photo Film Co., Ltd. 42,000 1,307,916
Fuji Soft ABC, Inc. 1,800 52,255
Fuji Television Network, Inc. 157 321,783
Fujikura, Ltd. 29,000 146,973
Fujirebio, Inc. 3,000 58,967
Fujitsu, Ltd. 153,440 839,059
Fukui Bank, Ltd. 14,000 53,085
Fukuoka Bank, Ltd. 43,000 262,412
Fukuyama Transporting Co., Ltd. 11,000 43,241
Funai Electric Co., Ltd. 2,500 264,556
* Furukawa Electric Co., Ltd. 30,000 123,855
Futaba Industrial Co., Ltd. 2,900 55,096
Glory, Ltd. 4,600 77,733
* GMO Internet, Inc. 2,000 49,521
Goldcrest Co., Ltd. 800 38,999
* Goodwill Group, Inc. 26 48,002
* Gulliver International Co., Ltd. 340 47,907
Gunma Bank, Ltd. 31,000 184,382
Gunze, Ltd. 14,000 61,335
Hachijuni Bank, Ltd. 38,000 250,834
# Hamamatsu Photonics K.K. 4,000 85,658
Hankyu Corp. 66,000 242,786
Hankyu Department Stores, Inc. 10,000 60,043
Hanshin Electric Railway Co., Ltd. 21,000 78,326
Hanwa Co., Ltd. 9,000 29,877
* Haseko Corp. 31,000 65,172
Heiwa Corp. 6,700 96,431
Higo Bank, Ltd. 14,000 99,920
Hikari Tsushin, Inc. 3,800 225,800
Hino Motors, Ltd. 53,000 293,583
Hirose Electric Co., Ltd. 2,700 285,976
Hiroshima Bank, Ltd. 39,000 168,735
Hisamitsu Pharmaceutical Co., Inc. 4,000 99,912
Hitachi Cable, Ltd. 18,000 77,609
Hitachi Chemical Co., Ltd. 17,700 320,040
Hitachi Construction Machinery Co., Ltd. 12,000 141,686
Hitachi High-Technologies Corp. 8,300 128,509
Hitachi Information Systems, Ltd. 1,800 35,045
Hitachi Koki Co., Ltd. 3,000 27,961
Hitachi Kokusai Electric, Inc. 5,000 43,730
Hitachi Maxell, Ltd. 3,700 44,969
Hitachi Metals, Ltd. 25,000 159,329
Hitachi Software Engineering Co., Ltd. 3,000 50,035
Hitachi Transport System, Ltd. 7,000 58,303
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* Hitachi Zosen Corp. 20,000 25,883
Hitachi, Ltd. 285,000 1,702,890
Hokkaido Electric Power Co., Inc. 13,700 276,229
Hokkoku Bank, Ltd. 16,000 69,733
Hokuetsu Paper Mills, Ltd. 9,000 48,943
Hokugin Financial Group, Inc. 84,000 267,281
Hokuriku Electric Power Co., Inc. 14,100 260,423
Honda Motor Co., Ltd. 63,700 3,135,294
Hosiden Corp. 1,900 19,569
House Foods Corp. 5,600 78,887
Hoya Corp. 8,900 990,832
Hyakugo Bank, Ltd. 15,000 91,996
Hyakujishi Bank, Ltd. 19,000 107,838
# Ibiden Co., Ltd. 7,700 198,501
* Invoice, Inc. 372 38,210
Isetan Co., Ltd. 14,300 183,326
Ishihara Sangyo Kaisha, Ltd. 12,000 26,278
* Ishikawajima-Harima Heavy Industries Co., Ltd. 91,000 129,355
# Isuzu Motors, Ltd. 67,000 174,351
ITO EN, Ltd. 2,800 133,200
Itochu Corp. 105,000 506,814
Itochu Techno-Science Corp. 4,200 135,120
Itoham Foods, Inc. 12,000 54,656
Ito-Yokado Co., Ltd. 30,000 1,012,393
Iyo Bank, Ltd. 21,000 167,424
Izumi Co., Ltd. 2,500 60,438
# Japan Airlines System Corp. 252,000 722,603
Japan Airport Terminal Co., Ltd. 6,000 56,035
Japan Aviation Electronics Industry, Ltd. 4,000 43,008
Japan Petroleum Exploration Co., Ltd. 4,000 155,210
JFE Holdings, Inc. 44,300 1,110,011
* JFE Shoji Holdings, Inc. 9,000 31,174
JGC Corp. 15,000 169,944
Joyo Bank, Ltd. 55,000 279,617
Jsr Corp., Tokyo 18,500 388,188
Juroku Bank, Ltd. 18,000 96,368
Kadokawa Holdings, Inc. 800 28,447
Kagoshima Bank, Ltd. 13,000 98,920
Kajima Corp. 70,000 238,857
# Kaken Pharmaceutical Co., Ltd. 3,000 19,612
Kamigumi Co., Ltd. 18,000 134,124
Kandenko Co., Ltd. 8,000 47,050
* Kanebo, Ltd. 1,900 5,281
Kaneka Corp. 21,000 218,622
# * Kankaku Securities Co., Ltd. 86,000 149,721
Kansai Electric Power Co., Inc. 68,800 1,336,606
Kansai Paint Co., Ltd., Osaka 16,000 99,468
Kanto Auto Works, Ltd., Yokosuka 2,100 24,664
Kao Corp. 42,000 970,731
Katokichi Co., Ltd. 9,300 65,000
Kawasaki Heavy Industries, Ltd. 99,000 177,166
Kawasaki Kisen Kaisha, Ltd. 35,000 206,931
KDDI Corp. 344 1,573,213
Keihin Corp. 4,100 65,415
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# Keihin Electric Express Railway Co., Ltd. 34,000 207,344
Keio Electric Railway Co., Ltd. 43,000 232,548
Keisei Electric Railway Co., Ltd. 19,000 91,627
Keiyo Bank, Ltd. 17,000 81,195
Keyence Corp. 3,200 699,132
Kikkoman Corp. 12,000 108,651
Kinden Corp. 14,000 103,584
Kinki Nippon Railway Co., Ltd. 120,280 358,359
Kirin Beverage Corp. 900 22,188
Kirin Brewery Co., Ltd. 70,000 684,696
Kissei Pharmaceutical Co., Ltd. 4,000 76,313
Kobayashi Pharmaceutical Co., Ltd. 1,800 47,125
Kobe Steel, Ltd. 185,000 321,768
Koei Co., Ltd. 2,800 66,634
Koito Manufacturing Co., Ltd. 7,000 75,263
Kokuyo Co., Ltd. 8,000 102,572
Komatsu, Ltd. 74,000 552,589
Komeri Co., Ltd. 2,300 58,862
Komori Corp. 4,000 60,584
Konami Co., Ltd. 8,600 171,220
Konica Corp. 34,000 303,716
Kose Corp. 3,355 113,251
Koyo Seiko Co. 15,000 194,500
Kubota Corp. 88,000 486,445
Kuraray Co., Ltd. 31,000 274,687
# Kuraya Sanseido, Inc. 13,500 179,881
Kurita Water Industries, Ltd. 7,000 104,033
Kyocera Corp. 14,500 1,109,368
KYORIN Pharmaceutical Co., Ltd. 4,000 49,893
Kyowa Exeo Corp. 5,000 40,926
Kyowa Hakko Kogyo Co., Ltd. 24,000 152,354
Kyushu Electric Power Co., Inc. 36,100 751,148
Lawson Inc. 8,100 294,811
* Leopalace21 Corp. 9,000 137,081
Lintec Corp. 4,000 60,084
Lion Corp. 19,000 99,273
Lopro Corp. 2,100 15,357
Mabuchi Motor Co., Ltd. 3,400 196,652
Maeda Corp. 8,000 44,133
Makita Corp. 8,000 155,775
Marubeni Corp. 99,000 312,444
Marui Co., Ltd. 26,200 363,552
Maruichi Steel Tube, Ltd. 4,000 85,333
* Matsui Securities Co., Ltd. 2,000 22,936
Matsumotokiyoshi Co., Ltd. 2,400 62,685
Matsushita Electric Industrial Co., Ltd. 198,188 2,952,225
Matsushita Electric Works, Ltd. 79,000 652,983
Matsuzakaya Co., Ltd. 7,000 32,444
# Mazda Motor Corp. 89,000 334,742
Meiji Dairies Corp. 16,000 88,814
Meiji Seika Kaisha, Ltd. Tokyo 23,000 111,950
Meitec Corp. 2,600 79,743
Millea Holdings, Inc. 125 1,653,990
Minebea Co., Ltd. 24,000 97,572
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Misumi Corp. 1,900 58,297
Mitsubishi Chemical Corp. 150,000 428,893
Mitsubishi Corp. 118,500 1,563,999
Mitsubishi Electric Corp. 149,000 808,699
Mitsubishi Estate Co., Ltd. 92,000 987,888
Mitsubishi Gas Chemical Co., Inc. 27,000 132,946
Mitsubishi Heavy Industries, Ltd. 258,000 664,048
Mitsubishi Logistics Corp. 7,000 66,760
Mitsubishi Materials Corp. 71,000 155,403
# * Mitsubishi Motors Corp. 272,000 336,314
Mitsubishi Paper Mills, Ltd. 13,000 17,402
Mitsubishi Pharma Corp. 46,000 405,087
Mitsubishi Rayon Co., Ltd. 30,000 120,892
Mitsubishi Securities Co., Ltd. 51,000 424,966
Mitsubishi Tokyo Financial Group, Inc. 501 4,148,035
Mitsui & Co., Ltd. 112,000 1,002,107
Mitsui Chemicals, Inc. 50,000 283,539
Mitsui Engineering and Shipbuilding Co., Ltd. 51,000 109,973
Mitsui Fudosan Co., Ltd. 41,000 456,392
Mitsui Marine & Fire Insurance Co., Ltd. 115,790 1,052,385
Mitsui Mining and Smelting Co., Ltd. 40,000 173,224
Mitsui O.S.K. Lines, Ltd. 84,000 503,341
Mitsui Trust Holdings 63,000 614,481
Mitsukoshi, Ltd. 23,000 98,526
Mitsumi Electric Co., Ltd. 3,700 39,162
Mizuho Holdings, Inc. 983 4,624,289
Mochida Pharmaceutical Co., Ltd. 6,000 37,819
Mori Seiki Co., Ltd. 4,000 41,358
Morinaga Milk Industry Co., Ltd. 14,000 57,772
Murata Manufacturing Co., Ltd. 18,300 940,696
Musashino Bank, Ltd. 1,300 59,418
Nagase & Co., Ltd. 7,000 68,342
# Nagoya Railroad Co., Ltd. 59,000 195,481
Namco, Ltd. 6,400 86,378
Nanto Bank, Ltd. 15,000 76,999
NEC Corp. 143,000 791,502
NEC Fielding, Ltd. 2,700 58,011
Net One Systems Co., Ltd. 36 98,758
NGK Insulators, Ltd. 22,000 229,025
NGK Spark Plug Co., Ltd. 14,000 157,447
NHK Spring Co., Ltd. 14,000 115,970
Nichicon Corp. 5,600 73,593
Nichii Gakkan Co. 1,760 43,284
Nichirei Corp. 20,000 74,942
Nidec Corp. 5,500 593,448
Nifco, Inc. 4,000 62,697
Nihon Unisys, Ltd. 3,000 28,085
Nikko Cordial Corp. 138,000 603,475
Nikon Corp. 24,000 265,871
Nintendo Co., Ltd., Kyoto 10,700 1,137,223
Nippon Electric Glass Co., Ltd. 25,000 385,556
Nippon Express Co., Ltd. 70,000 318,210
Nippon Kayaku Co., Ltd. 9,000 48,540
Nippon Light Metal Co., Ltd. 34,000 81,850
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Nippon Meat Packers, Inc., Osaka 14,000 172,967
Nippon Mining Holdings, Inc. 60,500 329,934
Nippon Mitsubishi Oil Corp. 113,000 736,987
Nippon Paint Co., Ltd. 15,000 52,421
Nippon Sanso Corp. 22,000 109,954
Nippon Sheet Glass Co., Ltd. 26,000 101,588
Nippon Shinpan Co., Ltd. 19,000 92,530
Nippon Shokubai Co., Ltd. 12,000 96,159
Nippon Steel Corp. 526,000 1,222,810
Nippon Suisan Kaisha, Ltd. 21,000 79,691
Nippon System Development Co., Ltd. 900 16,955
Nippon Telegraph & Telephone Corp. 2,177 8,882,061
Nippon Television Network Corp. 890 124,492
Nippon Unipac Holding, Tokyo 68 264,290
Nippon Yusen KK 82,000 445,791
Nipponkoa Insurance Co., Ltd. 56,000 387,262
* Nipro Corp. 4,000 59,737
Nishimatsu Construction Co., Ltd. 17,000 57,321
Nishimatsuya Chain Co., Ltd. 960 22,960
Nishi-Nippon Bank, Ltd. 45,000 184,863
Nishi-Nippon Railroad Co., Ltd. 26,000 79,417
Nissan Chemical Industries, Ltd. 10,000 102,382
Nissan Diesel Motor Co., Ltd. 7,000 26,077
Nissan Motor Co., Ltd. 437,600 4,288,631
Nissan Shatai Co., Ltd. 7,000 46,469
Nissay Dowa General Insurance Co., Ltd. 25,000 125,775
Nisshin Seifun Group, Inc. 15,000 147,514
Nisshin Steel Co., Ltd. 63,000 153,343
Nisshinbo Industries, Inc. 13,000 99,740
# * Nissho Iwai-Nichmen Holdings Corp. 15,500 59,857
Nissin Food Products Co., Ltd. 8,400 221,783
Nitto Denko Corp. 13,900 778,348
NOK Corp. 15,000 405,679
Nomura Research Institute, Ltd. 3,900 368,689
Nomura Securities Co., Ltd. 165,000 2,078,920
Noritake Co., Ltd. 4,000 16,580
* NS Solutions Corp. 2,800 58,838
NSK, Ltd. 33,000 159,945
NTN Corp. 27,000 146,082
NTT Data Corp. 303 965,560
NTT Docomo, Inc. 6,017 9,024,644
Obayashi Corp. 43,000 217,466
Obic Co., Ltd. 500 87,265
Odakyu Electric Railway Co., Ltd. 41,000 217,192
Ogaki Kyoritsu Bank, Ltd. 13,000 76,856
Oita Bank, Ltd. 8,000 51,760
Oji Paper Co., Ltd. 69,000 364,934
Okamura Corp. 8,000 56,022
Okasan Securities Co., Ltd. 8,000 40,639
Oki Electric Industry Co., Ltd. 36,000 121,956
Okumura Corp. 16,000 86,175
Olympus Optical Co., Ltd. 15,000 292,960
Omron Corp. 14,600 320,486
Ono Pharmaceutical Co., Ltd. 7,800 357,041
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Onward Kashiyama Co., Ltd. 10,000 121,583
# Oracle Corp. Japan 17,500 687,752
* Orient Corp. 31,000 113,815
Oriental Land Co., Ltd. 9,400 556,636
Orix Corp. 4,260 613,150
Osaka Gas Co., Ltd. 164,000 506,990
OSG Corp. 4,000 52,637
Otsuka Corp. 1,600 124,510
Pacific Metals Co., Ltd. 5,000 20,936
PanaHome Corp. 5,000 26,112
Paramount Bed Co., Ltd. 1,000 23,618
Paris Miki, Inc. 1,900 40,396
Park24 Co., Ltd. 3,000 58,913
Pasona, Inc. 20 45,430
Pioneer Electronic Corp. 11,700 192,790
Promise Co., Ltd. 6,500 403,725
Q.P. Corp. 8,900 77,393
Rengo Co., Ltd. 12,000 62,020
* Resona Holdings, Inc. 1,412,000 2,685,656
Ricoh Co., Ltd., Tokyo 58,000 944,730
Rinnai Corp. 3,000 75,335
Rohm Co., Ltd. 9,100 856,779
Round One Corp. 25 61,015
* Ryohin Keikaku Co., Ltd. 1,600 72,457
Ryosan Co., Ltd. 2,000 48,785
Ryoshoku, Ltd. 1,700 47,749
Sagami Railway Co., Ltd. 19,000 63,801
Saizeriya Co., Ltd. 1,300 15,494
San In Godo Bank, Ltd. 11,000 105,033
Sanden Corp. 7,000 28,940
Sanken Electric Co., Ltd. 6,000 81,882
Sankyo Co, Ltd. 8,700 378,566
Sankyo Co., Ltd. 32,800 666,937
Sankyo Seiki Manufacturing Co., Ltd. 5,000 46,051
Sankyo-Tateyama Holdings, Inc. 17,000 42,522
Sankyu, Inc., Tokyo 15,000 42,164
* Sanrio Co., Ltd. 3,000 29,943
Santen Pharmaceutical Co., Ltd. 5,300 119,653
Sanwa Shutter Corp. 15,000 83,804
Sanyo Chemical Industries, Ltd. 6,000 43,391
Sanyo Electric Co., Ltd. 123,000 333,618
Sapporo Breweries, Ltd. 19,000 94,727
Sapporo Hokuyo Holdings, Inc. 25 180,510
Secom Co., Ltd. 18,000 759,282
Sega Sammy Holdings, Inc. 3,024 174,023
Seiko Corp. 3,000 16,153
* Seiko Epson Corp. 7,800 259,109
Seino Transportation Co., Ltd. 10,000 87,421
* Seiyu, Ltd. 28,000 46,441
Sekisui Chemical Co., Ltd. 35,000 242,419
Sekisui House, Ltd. 50,000 489,544
Seven-Eleven Japan Co., Ltd. 92,200 2,594,469
Seventy-seven (77) Bank, Ltd. 25,000 157,206
SFCG Co., Ltd. 870 221,073
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Sharp Corp. Osaka 81,000 1,252,575
Shiga Bank, Ltd. 15,000 92,785
Shikoku Bank, Ltd. 14,000 75,009
Shikoku Electric Power Co., Inc. 16,200 316,231
Shima Seiki Manufacturing Co., Ltd. 1,500 36,899
Shimachu Co., Ltd. 3,500 87,042
Shimadzu Corp. 12,000 71,080
Shimamura Co., Ltd. 2,400 185,336
Shimano, Inc. 7,700 221,514
Shimizu Corp. 52,000 230,674
Shin-Etsu Chemical Co., Ltd. 31,400 1,158,164
Shinko Electric Industries Co., Ltd. 1,600 62,190
Shinko Securities Co., Ltd. 47,000 142,035
* Shinsei Bank, Ltd. 77,000 389,194
Shionogi & Co., Ltd. 23,000 315,103
Shiseido Co., Ltd. 27,000 324,195
Shizuoka Bank, Ltd. 45,000 387,862
Showa Corp. 2,300 28,723
Showa Denko KK 79,000 187,167
Showa Shell Sekiyu KK 35,100 339,885
Skylark Co., Ltd. 6,500 101,822
SMBC Friend Securities Co., Ltd. 16,500 84,827
SMC Corp. 5,000 529,084
* Snow Brand Milk Products Co., Ltd. 12,000 34,157
Softbank Corp. 28,600 1,024,098
Sohgo Security Services Co.,Ltd. 6,200 78,954
Sony Corp. 85,800 3,204,090
Square Enix Co., Ltd. 9,500 272,234
Stanley Electric Co., Ltd. 10,300 159,668
Sumisho Computer Systems Corp. 1,600 37,953
Sumitomo Bakelite Co., Ltd. 12,000 74,647
Sumitomo Chemical Co., Ltd. 106,000 496,110
Sumitomo Corp. 84,000 670,880
Sumitomo Corporation's Leasing, Ltd. 2,000 70,481
Sumitomo Electric Industries, Ltd. 57,000 597,862
Sumitomo Forestry Co., Ltd. 8,000 69,555
Sumitomo Heavy Industries, Ltd. 37,000 182,517
Sumitomo Metal Industries, Ltd. Osaka 332,000 558,547
Sumitomo Metal Mining Co., Ltd. 40,000 255,899
Sumitomo Mitsui Financial Group, Inc. 421 2,723,040
Sumitomo Osaka Cement Co., Ltd. 25,000 60,041
Sumitomo Real Estate Sales Co., Ltd. 1,200 53,785
Sumitomo Realty & Development Co., Ltd. 31,000 333,184
Sumitomo Rubber 16,000 169,847
Sumitomo Special Metals Co., Ltd. 4,000 90,655
Sumitomo Trust & Banking Co., Ltd. 118,000 697,927
Sumitomo Warehouse Co., Ltd. 10,000 51,148
Sundrug Co., Ltd. 1,000 37,593
Suruga Bank, Ltd. 15,000 122,283
Suzuken Co., Ltd. 6,980 185,314
Suzuki Motor Corp. 46,500 757,915
Sysmex Corp. 1,300 81,386
T&D Holdings, Inc. 16,900 846,442
Taiheiyo Cement Corp. 56,000 145,023
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Taisei Corp. 71,000 235,057
Taisho Pharmaceutical Co., Ltd. 30,000 570,112
Taiyo Yuden Co., Ltd. 10,000 111,109
Takara Shuzo Co., Ltd. 10,000 63,199
Takara Standard Co., Ltd. 9,000 57,542
Takashimaya Co., Ltd. 19,000 159,088
Takeda Chemical Industries, Ltd. 74,900 3,597,236
Takefuji Corp. 10,350 640,174
Takuma Co., Ltd. 2,000 13,871
# * TC Properties Co., Ltd. 61,900 79,351
TDK Corp. 10,300 747,920
Teijin, Ltd. 57,000 250,258
Teikoku Oil Co., Ltd. 16,000 108,027
Terumo Corp. 13,000 341,860
The Nisshin Oillio Group, Ltd. 6,000 33,883
THK Co., Ltd. 7,200 145,390
TIS, Inc. 2,700 88,534
Toagosei Co., Ltd. 15,000 61,342
Tobu Railway Co., Ltd. 61,000 225,293
Toda Corp. 14,000 57,211
Toho Bank, Ltd. 14,000 57,339
Toho Co., Ltd. 12,800 179,696
Toho Gas Co., Ltd. 36,000 138,683
Toho Titanium Co., Ltd. 2,000 73,915
Tohuku Electric Power Co., Inc. 38,300 769,089
Tokai Rika Co., Ltd. 4,000 63,159
Tokai Rubber Industries, Ltd. 6,000 81,533
Tokai Tokyo Securities Co., Ltd. 8,000 23,558
Tokuyama Corp. 15,000 110,658
Tokyo Broadcasting System, Inc. 11,200 188,288
Tokyo Dome Corp. 10,000 54,403
Tokyo Electric Power Co., Ltd 100,800 2,360,478
Tokyo Electron, Ltd. 14,400 802,439
Tokyo Gas Co., Ltd. 217,000 850,014
Tokyo Seimitsu Co., Ltd. 1,600 64,373
Tokyo Steel Manufacturing Co., Ltd. 10,100 132,339
Tokyo Style Co., Ltd. 7,000 71,211
Tokyo Tatemono Co., Ltd. 12,000 82,901
Tokyo Tomin Bank, Ltd. 2,300 58,121
Tokyu Corp. 75,000 333,051
Tokyu Land Corp. 27,000 117,780
* Tomen Corp. 35,000 48,955
TonenGeneral Sekiyu KK 24,000 255,742
Toppan Forms Co., Ltd. 3,500 38,425
Toppan Printing Co., Ltd. 46,000 467,554
Toray Industries, Inc. 97,000 429,723
Toshiba Corp. 247,000 1,007,520
Toshiba Machine Co., Ltd. 7,000 38,118
Toshiba TEC Corp. 11,000 48,614
Tosoh Corp. 37,000 150,549
Tostem Inax Holding Corp. 22,740 386,832
Toto, Ltd. 25,000 197,751
Toyo Ink Manufacturing Co., Ltd. 13,000 50,528
Toyo Seikan Kaisha, Ltd. 15,300 265,223
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Toyo Suisan Kaisha, Ltd. 7,000 109,751
Toyobo Co., Ltd. 37,000 83,829
Toyoda Gosei Co., Ltd. 10,100 176,538
Toyoda Machine Works, Ltd. 3,000 28,975
Toyota Auto Body Co., Ltd. 6,200 121,393
Toyota Industries Corp. 15,300 410,577
Toyota Motor Credit Corp. 248,400 8,829,632
# Toyota Tsusho Corp. 18,000 304,181
Trans Cosmos, Inc. 1,000 34,112
Trend Micro Inc. 9,500 295,617
Tsumura & Co. 4,000 69,764
TV Asahi Corp. 50 102,409
Ube Industries, Ltd. 52,000 98,145
* UFJ Holdings, Inc. 367 1,851,069
* UFJ Tsubasa Securities Co. Ltd. 36,000 122,314
Uni-Charm Corp. 4,600 187,121
Uniden Corp. 5,000 74,907
Union Tool Co. 800 23,301
UNY Co., Ltd. 12,000 130,156
* Urban Corp. 1,300 47,779
Ushio Inc. 7,000 134,933
USS Co., Ltd. 1,720 108,252
Victor Co. of Japan, Ltd. 16,000 125,067
Wacoal Corp. 7,000 93,069
* West Japan Railway Co. 136 464,218
World Co., Ltd. 2,800 92,890
Xebio Co., Ltd. 1,700 47,796
Yahoo Japan Corp. 1,500 3,006,318
Yakult Honsha Co., Ltd. 12,000 221,266
Yamada Denki Co., Ltd. 5,300 287,774
Yamaguchi Bank, Ltd. 13,000 147,049
Yamaha Corp. 14,500 211,769
Yamaha Motor Co., Ltd. 21,000 382,681
Yamanashi Chuo Bank, Ltd. 10,000 60,027
Yamanouchi Pharmaceutical Co., Ltd. 38,255 1,362,123
Yamatake Corp. 3,700 61,048
Yamato Kogyo Co., Ltd. 3,000 34,376
Yamato Transport Co., Ltd. 33,000 460,321
Yamazaki Baking Co., Ltd. 12,000 103,102
* Yaskawa Electric Corp. 12,000 67,685
Yasuda Fire & Marine Insurance Co., Ltd. 66,000 666,781
# Yasuda Trust & Banking Co., Ltd. 667,000 1,011,504
Yodogawa Steel Works, Ltd. 8,000 42,235
Yokogawa Electric Corp. 14,000 172,706
Yokohama Rubber Co., Ltd. 21,000 86,284
York-Benimaru Co., Ltd. 2,700 75,055
* Yoshinoya D&C Co., Ltd. 19 29,745
Zeon Corp. 15,000 130,333
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TOTAL COMMON STOCKS
(Cost $222,416,289) 213,115,847
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Japanese Yen 82,312
----------------
(Cost $82,940)
TOTAL -- JAPAN
(Cost $222,499,229) 213,198,159
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FRANCE -- (8.2%)
COMMON STOCKS -- (8.2%)
# Accor SA 16,187 746,294
Air France 24,260 386,115
# Air Liquide SA 9,412 1,635,865
Air Liquide SA Primes De Fid 02 11,393 1,989,401
* Alcatel SA 99,180 1,083,444
* Alstom SA 321,074 292,534
Arcelor SA 29,800 592,554
# Assurances Generales de France (AGF) 15,535 1,246,063
* Atos Origin 4,218 260,964
# AXA 129,554 3,162,236
# BNP Paribas SA 72,070 4,844,918
Bollore Technologies SA 203 99,138
# Bouygues 25,936 997,400
* Business Objects SA 5,500 157,932
* Cap Gemini SA 9,658 308,111
# Carrefour 47,596 2,359,753
# Casino Guichard Perrachon 9,856 735,764
Cie Generale D'Optique Essilor Intenational SA 7,532 516,206
Clarins SA 1,307 80,353
* CNP Assurances 2,921 195,783
# Compagnie de Saint-Gobain 27,653 1,590,576
Compagnie Francaise d'Etudes et de Construction Technip SA 7,160 316,256
Dassault Systemes SA 9,666 448,409
# Dior (Christian) SA 17,202 1,247,783
Eiffage SA 3,165 252,583
Esso SA 173 29,146
Euler-Hermes SA 3,120 235,889
* European Aeronautic Defence & Space Co. 21,888 647,011
Faurecia SA 1,328 99,601
Fimalac SA 560 25,645
# * France Telecom SA 231,887 6,593,043
* Gecina SA 5,098 618,240
# Generale des Establissements Michelin SA Series B 10,031 633,618
# Groupe Danone 20,359 1,870,510
# Havas SA 27,830 164,460
# Hermes International SA 4,009 775,940
Iliad SA 2,200 77,602
Imerys SA 5,342 384,967
* JC Decaux SA 18,441 446,395
Klepierre SA 1,862 175,315
# LaFarge SA 14,341 1,297,720
LaFarge SA Prime Fidelity 8,912 812,634
# Lagardere S.C.A. SA 10,537 750,245
# L'Oreal 64,016 4,635,405
# LVMH (Louis Vuitton Moet Hennessy) 43,990 3,138,346
Metropole Television SA 10,023 250,424
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Neopost SA 2,155 192,391
NRJ Group 3,492 71,882
# Pernod-Ricard SA 4,485 692,739
# Peugeot SA 16,477 986,127
# Pinault Printemps Redoute SA 9,979 987,712
Publicis Groupe 14,334 420,431
Rallye SA 1,275 63,320
Remy Cointreau SA 2,257 95,244
# Renault SA 20,388 1,744,260
Sagem SA 13,268 251,085
# Sanofi Synthelabo 99,510 8,954,779
# Schneider SA 18,030 1,325,641
* Scor SA 28,551 58,503
SEB SA Prime Fidelite 2002 953 97,893
SEB SA Prime Fidelity 990 101,785
Societe BIC SA 3,600 193,293
# Societe des Ciments de Francais 1,006 91,941
# Societe Generale Paris 28,923 2,841,986
# Societe Television Francaise 1 17,323 468,796
Sodexho Alliance SA 11,496 369,067
Somfy Interational SA 134 27,121
# Ste des Autoroutes du Sud de la France 25,546 1,317,896
Stmicroelectronics NV 53,696 832,550
# Suez (ex Suez Lyonnaise des Eaux) 70,519 1,896,705
# Thales SA 16,134 644,020
# Thomson Multimedia 16,643 422,570
# Total SA 49,434 10,993,233
Unibail SA 3,395 431,488
Valeo SA 5,890 246,497
# Veolia Environnement SA 29,204 1,106,330
# Vinci SA 11,396 853,265
# Vivendi Universal SA 89,770 2,733,870
Wendel Investissement 4,149 329,890
Zodiac SA 4,549 221,092
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TOTAL COMMON STOCKS
(Cost $78,314,817) 91,273,993
----------------
RIGHTS/WARRANTS -- (0.0%)
* Air France Warrants 11/06/07 2,377 1,083
----------------
(Cost $4,469)
TOTAL -- FRANCE
(Cost $78,319,286) 91,275,076
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GERMANY -- (5.9%)
COMMON STOCKS -- (5.9%)
* Aachener und Muenchener Beteiligungs AG 5,721 462,208
Adidas-Salomon AG 3,668 610,147
# * Aixtron AG 2,400 7,808
Allianz AG 28,115 3,310,285
Altana AG 14,018 832,270
# BASF AG 45,217 3,000,881
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# Bayer AG 59,643 2,002,778
# Bayerische Motorenwerke AG 59,234 2,561,133
* Bayerische Vereinsbank AG 51,617 1,268,381
Beiersdorf AG 12,509 1,340,463
BHW Holding AG 1,358 23,303
# Commerzbank AG 43,148 937,121
# Continental AG 10,033 710,527
* D. Logistics AG 1,200 2,537
# DaimlerChrysler AG 79,549 3,207,104
# Deutsche Bank AG 45,186 3,515,426
Deutsche Boerse AG 8,822 649,003
# Deutsche Lufthansa AG 43,579 549,520
Deutsche Post AG 135,361 3,174,945
Deutsche Telekom AG 354,516 6,588,307
Douglas Holding AG 1,500 50,909
E.ON AG 56,479 4,903,165
* Epcos AG 2,800 35,845
Fraport AG 9,524 393,238
* Freenet.De AG 2,562 64,734
# Fresenius Medical Care AG 6,632 520,919
Gehe AG 9,662 791,542
Hannover Rueckversicherungs AG 12,626 481,359
* Heidelberger Druckmaschinen AG 6,690 206,547
Heidelberger Zement AG 9,226 590,063
Henkel KGAA 1,961 170,435
Hochtief AG 4,316 146,660
Hugo Boss AG 808 24,139
Hypo Real Estate Holding AG 10,787 424,812
* Infineon Technologies AG 54,518 480,117
* IVG Immobilien AG 3,712 67,435
K & S Aktiengesellschaft AG 2,419 129,168
* Karstadt Quelle AG 10,229 112,477
* Lanxess 4,179 88,657
# * Linde AG 9,032 612,940
# MAN AG 12,430 551,407
# Medion AG 2,850 44,074
Merck KGAA 4,005 312,828
Metro AG 36,404 1,816,036
* MG Technologies AG 14,061 159,429
Munchener Rueckversicherungs-Gesellschaft AG 17,069 1,866,256
Oldenburgische Landesbank AG 969 70,780
# Preussag AG 12,979 321,774
Puma AG 1,055 267,343
Rheinmetall Berlin AG 1,424 72,242
Rwe AG (Neu) 800 42,259
Rwe AG (NEU) Series A 38,004 2,321,049
SAP AG (Systeme Anwendungen Produkte in der Datenverarbeitung) 25,996 4,287,803
Schering AG 12,657 794,686
Schwarz Pharma AG 2,790 122,222
* SGL Carbon AG 1,750 20,615
Siemens AG 71,302 5,218,898
Stada Arzneimittel AG 2,242 69,141
Suedzucker AG 18,765 354,071
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ThyssenKrupp AG 44,279 812,909
United Internet AG 1,321 34,210
Volkswagen AG 24,379 1,072,922
* WCM Beteiligungs AG 11,608 6,281
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TOTAL -- GERMANY
(Cost $64,930,249) 65,688,543
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SWITZERLAND -- (5.9%)
COMMON STOCKS -- (5.9%)
* ABB, Ltd. 165,197 1,078,864
* Actelion, Ltd. 1,600 162,141
Adecco SA 18,801 891,650
Baloise-Holding 4,100 214,086
BKW FMB Energie AG 556 329,690
Ciba Spezialitaetenchemie Holding AG 5,321 316,369
Cie Financiere Richemont AG Series A 46,023 1,401,176
* Clariant AG 18,560 260,157
Credit Swisse Group 96,225 3,849,392
* Fischer (Georg) AG, Schaffhausen 145 42,984
* Forbo Holding AG, Eglisau 102 19,444
Geberit AG 314 206,219
Givaudan SA 613 364,867
Holcim, Ltd. 21,899 1,331,212
# * Julius Baer Holding AG 3,453 210,341
Kudelski SA 3,084 108,557
Kuehne & Nagel International AG 3,032 631,538
* Kuoni Reisen Holding AG 180 71,395
Lindt & Spruengli AG 12 191,742
* Logitech International SA 3,719 221,470
Lonza Group AG 2,970 181,160
Nestle SA, Cham und Vevey 35,676 9,390,043
Nobel Biocare Holding AG 1,832 365,225
Novartis AG 236,286 11,534,671
Phonak Holding AG 4,487 164,516
Publicitas Holding SA, Lausanne 104 30,312
Roche Holding AG Bearer 26,618 3,852,257
Roche Holding AG Genusschein 59,538 7,499,453
Schindler Holding AG 210 75,397
Schindler Holding AG 1,845 663,956
Serono SA 1,432 873,400
Societe Generale de Surveillance Holding SA 933 655,246
Straumann Holding AG 1,836 369,601
Sulzer AG, Winterthur 165 68,620
Swatch Group AG 2,692 356,055
* Swiss Life AG 2,640 348,581
# Swiss Reinsurance Co., Zurich 27,255 1,687,148
Swisscom AG 10,343 3,461,537
* Syngenta AG 8,613 890,390
Synthes, Inc. 10,130 1,111,264
Tecan Group AG 627 17,907
The Swatch Group AG 18,164 497,104
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UBS AG 95,271 7,357,923
# Unaxis Holding AG 912 127,967
* Valora Holding AG 209 45,860
* Zurich Financial SVCS AG 12,187 2,024,434
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TOTAL COMMON STOCKS
(Cost $51,368,768) 65,553,321
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Swiss Francs 15,302
----------------
(Cost $15,636)
TOTAL -- SWITZERLAND
(Cost $51,384,404) 65,568,623
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AUSTRALIA -- (4.4%)
COMMON STOCKS -- (4.4%)
ABC Learning Centres, Ltd. 13,810 55,167
Alinta, Ltd. 20,508 152,650
Amcor, Ltd. 68,662 351,213
AMP, Ltd. 158,850 789,468
Ansell, Ltd. 12,403 85,985
APN News & Media, Ltd. 49,644 190,915
Aristocrat Leisure, Ltd. 49,521 390,409
# Australand Property Group 55,200 58,751
Australia & New Zealand Banking Group, Ltd. 158,581 2,564,740
Australian Gas Light Co. 40,414 424,034
Australian Stock Exchange, Ltd. 7,599 131,100
* Australian Wealth Management, Ltd. 17,398 12,615
AWB, Ltd. 25,051 84,064
AXA Asia Pacific Holdings, Ltd. 244,297 856,027
Bendigo Bank, Ltd. 9,970 72,887
BHP Billiton, Ltd. 326,085 4,088,585
Billabong International, Ltd. 17,806 165,753
Bluescope Steel, Ltd. 60,628 368,291
Boral, Ltd. 49,907 223,272
Brambles Industries, Ltd. 84,826 508,229
Brickworks, Ltd. 9,442 71,927
* Burns, Philp & Co., Ltd. 147,539 98,310
Caltex Australia, Ltd. 29,754 338,389
* Challenger Financial Services Group, Ltd. 38,847 97,781
Coca-Cola Amatil, Ltd. 40,824 241,686
Cochlear, Ltd. 4,162 101,332
Coles Myer, Ltd. 100,590 691,252
Commonwealth Bank of Australia 111,378 3,111,357
Computershare, Ltd. 51,406 227,959
CSL, Ltd. 16,771 365,010
CSR, Ltd. 67,847 126,620
DB RREEF Trust 43,342 44,787
DCA Group, Ltd. 31,921 83,729
Downer Group, Ltd. 17,631 70,239
Flight Centre, Ltd. 6,023 65,420
Foodland Associates, Ltd. 8,315 165,978
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Foster's Group, Ltd. 172,992 703,984
Futuris Corp., Ltd. 44,053 56,141
General Property Trust 75,385 200,751
Gunns, Ltd. 27,987 81,458
* Hardman Resources NL 33,188 45,468
Harvey Norman Holdings, Ltd. 128,448 237,119
Iluka Resources, Ltd. 20,985 97,246
Insurance Australiz Group, Ltd. 136,198 599,897
James Hardies Industries NL 30,184 152,756
John Fairfax Holdings, Ltd. 76,451 240,833
Leighton Holdings, Ltd. 30,749 239,952
Lend Lease Corp., Ltd. 31,264 288,023
* Lihir Gold, Ltd. 79,000 63,726
Lion Nathan, Ltd. 63,050 349,305
Macquarie Bank, Ltd. 18,800 713,296
Macquarie Goodman Group 102,680 310,216
Macquarie Infrastructure Group 83,347 244,566
Mayne Group, Ltd. 50,885 177,493
# * Metcash Limited 94,739 268,336
Mirvac, Ltd. 67,012 168,836
* Multiplex Group 59,010 114,100
National Australia Bank, Ltd. 138,432 3,285,797
National Foods, Ltd. 17,881 85,901
Newcrest Mining, Ltd. 24,364 243,896
Nufarm, Ltd. 11,456 76,220
* Oil Search, Ltd. 67,498 121,911
Onesteel, Ltd. 38,516 72,942
Orica, Ltd. 22,231 263,730
Origin Energy, Ltd. 64,493 347,387
* Oxiana, Ltd. 52,556 34,018
Pacific Brands, Ltd. 39,285 66,870
Paperlinx, Ltd. 29,331 51,272
Patrick Corp., Ltd. 50,695 217,454
Perpetual Trustees Australia, Ltd. 2,758 116,386
Promina Group, Ltd. 86,780 333,200
Publishing and Broadcasting, Ltd. 118,759 1,363,795
QBE Insurance Group, Ltd. 67,065 741,229
Quantas Airways, Ltd. 332,379 806,248
Rinker Group, Ltd. 80,131 744,010
# Rio Tinto, Ltd. 44,239 1,415,343
Rural Press, Ltd. 8,895 68,374
Santos, Ltd. 47,603 361,579
* Scigen 11,443 432
SFE Corp., Ltd. 9,801 74,490
Sigma Co., Ltd. 7,216 44,634
Sims Group, Ltd. 6,740 68,581
Sonic Healthcare, Ltd. 20,706 180,986
* Sons of Gwalia, Ltd. 7,201 0
St. George Bank, Ltd. 44,108 866,579
Stockland Trust Group 33,269 138,600
* Stockland Trust Group Issue 05 1,124 4,635
Suncorp-Metway, Ltd. 47,615 703,560
Tab Queensland, Ltd. 8,003 80,809
Tabcorp Holdings, Ltd. 43,536 514,454
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Telstra Corp., Ltd. 1,076,734 4,079,625
Ten Network Holdings, Ltd. 28,370 79,941
Toll Holdings, Ltd. 30,780 289,925
Transurban Group 59,543 326,232
* Virgin Blue Holdings, Ltd. 70,347 89,352
Washington H. Soul Pattinson & Co., Ltd. 18,899 128,354
Wesfarmers, Ltd. 31,257 865,208
West Australian Newspapers Holdings, Ltd. 15,484 89,723
* Westfield Group 1,187 14,972
Westfield Group Stapled 37,972 481,019
Westpac Banking Corp. 156,363 2,318,248
WMC Resources, Ltd. 77,964 454,159
WMC, Ltd. 95,810 396,914
Woodside Petroleum, Ltd. 70,327 1,312,320
Woolworths, Ltd. 86,513 1,047,927
Worley Group, Ltd. 12,260 65,072
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TOTAL COMMON STOCKS
(Cost $33,118,345) 48,363,746
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INVESTMENT IN CURRENCY -- (0.0%)
* Australian Dollar 197,429
----------------
(Cost $197,620)
TOTAL -- AUSTRALIA
(Cost $33,315,965) 48,561,175
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NETHERLANDS -- (4.0%)
COMMON STOCKS -- (4.0%)
ABN AMRO Holding NV 160,214 3,720,734
Aegon NV 150,762 1,930,274
AKZO Nobel NV 25,960 1,019,845
Buhrmann NV 6,020 55,170
DSM NV 11,122 744,500
Elsevier NV 67,133 928,120
Getronics NV 27,590 45,121
* Hagemeyer NV 21,897 52,022
Heineken Holding NV Series A 40,723 1,156,070
Heineken NV 77,252 2,450,918
# Hunter Douglas NV 5,232 270,541
IHC Caland NV 2,636 169,024
ING Groep NV 219,463 6,072,380
# * Ispat International NV 20,616 508,236
* Koninklijke Ahold NV 145,070 1,095,076
Koninklijke KPN NV 241,808 1,922,943
Koninklijke Nedlloyd NV 4,376 300,292
Koninklijke Philips Electronics NV 122,480 3,132,930
* Norit NV 42,074 677,742
* Nutricia (Verenigde Bedrijven) NV 15,794 629,756
Oce NV 4,991 72,313
Randstad Holdings NV 20,298 726,276
Royal Dutch Petroleum Co., Den Haag 190,405 11,119,403
TNT Post Groep NV 57,222 1,461,685
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# Unilever NV 50,102 3,321,654
Vedior NV 15,338 217,854
VNU NV 23,417 637,006
Wolters Kluwer NV 27,979 490,845
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TOTAL COMMON STOCKS
(Cost $43,261,593) 44,928,730
----------------
RIGHTS/WARRANTS -- (0.0%)
* SBM Offshore Coupons 2,636 0
----------------
(Cost $0)
TOTAL -- NETHERLANDS
(Cost $43,261,593) 44,928,730
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ITALY -- (3.2%)
COMMON STOCKS -- (3.2%)
Acea SpA 7,694 86,811
AEM SpA 102,681 215,627
* Alitalia Linee Aeree Italiane SpA Series A 50,000 15,895
# Alleanza Assicurazioni SpA 52,431 560,544
ASM Brescia SpA 7,586 24,122
# Assicurazioni Generali SpA, Trieste 78,677 2,390,188
Autogrill SpA, Novara 14,752 205,152
# Autostade SpA 40,846 1,063,882
Banca Antoniana Popolare Veneta SpA 14,739 470,547
Banca Fideuram SpA 70,232 346,825
# Banca Monte Dei Paschi di Siena SpA 176,149 632,583
# * Banca Nazionale del Lavoro SpA 173,414 584,556
Banca Popolare di Lodi Scarl 14,675 143,129
Banca Popolare di Milano 30,454 308,543
# Banco Popolare Bergamo SpA 19,238 389,851
Banco Popolare di Verona e Novara SpA 29,390 532,686
Benetton Group SpA 6,950 63,067
Bulgari SpA 16,639 185,858
Buzzi Unicem SpA 3,954 56,895
Capitalia SpA 125,484 655,610
Cassa di Risparmio di Firenze SpA 34,725 86,612
CIR SpA (Cie Industriale Riunite), Torino 34,312 94,832
Compagnia Assicuratrice Unipol SpA 34,504 136,657
Credito Bergamasco SpA 854 25,240
Credito Emiliano SpA 12,917 145,584
# Credito Italiano 379,350 1,963,513
Davide Campari - Milano SpA 10,200 72,840
* E.Biscom SpA 3,329 145,358
# * Edison SpA 370,539 839,467
# Eni SpA 237,013 6,069,975
# Ente Nazionale per L'Energia Elettrica SpA 461,796 4,153,898
* Fiat SpA 47,140 317,619
Finecogroup SpA 18,285 156,722
Finmeccanica SpA 385,000 350,528
# Gruppo Editoriale L'espresso SpA 21,573 123,254
* Hera SpA 36,487 102,523
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Intesabci SpA 397,132 1,854,736
Italcementi SpA 8,940 138,059
Italmobiliare SpA, Milano 449 27,892
Lottomatica SpA 2,664 89,075
# Luxottica Group SpA 40,566 842,224
# Mediaset SpA 83,030 978,552
Mediobanca SpA 34,000 591,233
# Mediolanum SpA 44,701 285,579
Milano Assicurazioni SpA 9,884 56,190
Mondadori (Arnoldo) Editore SpA 13,860 134,053
Pirelli & Co. SpA 93,332 103,004
# RAS SpA (Riunione Adriatica di Sicurta) 50,861 980,686
# SAI SpA (Sta Assicuratrice Industriale), Torino 6,188 161,279
# Saipem SpA 24,958 315,063
# San Paolo-IMI SpA 96,588 1,341,524
* Seat Pagine Gialle SpA 429,123 174,395
* Seat Pagine Gialle SpA, Torino 3,591 1,698
SNAM Rete Gas SpA 142,784 764,677
* SNIA SpA 9,248 3,213
Societe Cattolica di Assicurazoni Scarl SpA 3,387 148,164
* Sorin SpA 13,872 41,525
Telecom Italia Mobile SpA 39,514 219,554
Telecom Italia SpA 740,972 2,378,691
* Tiscali SpA 13,000 38,798
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TOTAL COMMON STOCKS
(Cost $29,690,692) 35,386,857
----------------
PREFERRED STOCKS -- (0.0%)
* Fiat SpA 3,000 16,168
----------------
(Cost $43,047)
RIGHTS/WARRANTS -- (0.0%)
* Fiat SpA Warrants 01/31/07 1,677 392
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(Cost $0)
TOTAL -- ITALY
(Cost $29,733,739) 35,403,417
----------------
SPAIN -- (3.2%)
COMMON STOCKS -- (3.2%)
Acciona SA 5,051 463,450
Acerinox SA 15,983 230,663
Actividades de Construccion y Servicios SA 22,866 607,527
Antena 3 de Television SA 9,360 187,382
# Autopistas Concesionaria Espanola SA 44,293 987,875
Banco Bilbao Vizcaya SA 182,100 2,855,438
Banco de Andalucia 655 57,729
Banco de Sabadell SA 18,074 474,044
# Banco de Valencia SA 5,586 162,489
* Banco Espanol de Credito SA 39,155 563,771
# Banco Pastor SA 2,530 94,443
Banco Popular Espanol SA, Madrid 15,148 902,424
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# Banco Santander Central Hispanoamerica SA 504,762 5,766,128
Bankinter SA 3,867 196,084
Cementos Portland SA 1,338 91,871
Cia Espanola de Petroleous SA 13,626 536,569
Compania de Distribucion Integral Logista SA 1,928 96,348
Coporacion Financiera Reunida SA 6,070 77,013
Corporacion Mapfre Compania Internacional de Reaseguros SA 15,336 223,492
Ebro Puleva SA 8,097 145,656
Enagas SA 14,223 226,365
Endesa SA, Madrid 80,559 1,753,292
Fomento de Construcciones y Contratas SA 11,974 659,527
# Gamesa Corporacion Tecnologica SA 12,172 164,691
Gas Natural SA, Buenos Aires 43,183 1,210,460
# Grupo Ferrovial SA 11,821 727,492
# Iberdrola SA 64,787 1,652,554
Iberia Lineas Aereas de Espana SA 65,471 206,957
Indra Sistemas SA 9,037 165,159
Industria de Diseno Textil SA 60,827 1,724,185
Inmobiliaria Urbis SA 2,577 43,731
# Metrovacesa SA 4,468 270,705
Promotora de Informaciones SA 17,174 336,419
Red Electrica de Espana SA 7,740 191,773
Repsol SA 77,069 1,927,286
* Sociedad General de Aguas de Barcelona SA 62 1,246
Sociedad General de Aguas de Barcelona SA Class A 8,008 161,285
# * Sogecable SA 8,794 321,037
Sol Melia SA 8,400 88,165
Tabacalera SA 19,552 801,538
Tele Pizza SA 7,000 14,278
Telefonica de Espana SA 350,218 5,871,750
# Telefonica Publicidad e Informacion SA 26,439 223,024
Union Fenosa SA 19,200 577,811
Vallehermoso SA 20,299 409,079
# Zardoya Otis SA 16,449 475,036
Zeltia SA 10,500 84,588
----------------
TOTAL COMMON STOCKS
(Cost $25,422,245) 35,009,829
----------------
RIGHTS/WARRANTS -- (0.0%)
* Banco Valencia SA Rights 06/07/05 5,586 3,368
* Sogecable SA Rights 06/07/05 8,794 3,679
----------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 7,047
----------------
TOTAL -- SPAIN
(Cost $25,422,245) 35,016,876
----------------
SWEDEN -- (2.0%)
COMMON STOCKS -- (2.0%)
Alfa Laval AB 7,600 114,537
Assa Abloy AB Series B 24,100 316,772
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Atlas Copco AB Series A 30,300 462,112
* Atlas Copco AB Series A Redemption Shares 10,100 27,147
Atlas Copco AB Series B 16,200 227,481
* Atlas Copco AB Series B Redemption Shares 5,400 14,514
Axfood AB 3,550 88,314
Billerud AB 3,200 38,669
Castellum AB 3,250 125,309
Electrolux AB Series B 23,700 518,084
Eniro AB 12,700 144,586
Fabege AB 6,135 123,790
Gambro AB Series A 19,800 262,608
Gambro AB Series B 7,200 95,932
Getinge AB 11,600 168,483
Hennes & Mauritz AB Series B 67,750 2,389,900
Hoganas AB Series B 1,300 34,273
Holmen AB Series B 6,000 161,369
Lennart Wallenstam Byggnads AB Class B 18,500 245,444
* Lundin Petroleum AB 14,500 104,737
* Modern Times Group AB Series B 4,150 127,991
NCC AB Series B 3,200 46,954
Nordic Baltic Holdings AB 233,048 2,128,696
* OMHEX AB 6,500 78,432
# Sandvik AB 19,200 759,651
# Scania AB Series A 4,000 145,423
Scania AB Series B 7,800 284,856
Securitas AB Series B 24,100 401,377
Skandia Insurance AB 75,500 417,025
Skandinaviska Enskilda Banken Series A 60,900 1,047,629
Skanska AB Series B 31,100 389,670
SKF AB Series A 9,200 94,066
* SKF AB Series A Redemption Shares 2,300 7,697
SKF AB Series B 30,400 310,557
* SKF AB Series B Redemption Shares 7,600 25,432
SSAB Swedish Steel Series A 4,700 114,257
SSAB Swedish Steel Series B 2,600 61,066
Svenska Cellulosa AB Series B 14,300 486,832
Svenska Handelsbanken Series A 50,700 1,096,578
Swedish Match AB (Frueher Svenska Taendsticks AB) 24,000 275,061
Tele2 AB Series A 2,400 23,204
* Tele2 AB Series A Redemption Shares 800 1,070
Tele2 AB Series B 30,150 288,017
* Tele2 AB Series B Redemption Shares 10,050 13,439
Telefon AB L.M. Ericsson Series B 1,251,800 3,936,917
Telia AB 555,400 2,748,671
Tietoenator Corp. AB 3,400 104,297
Trelleborg AB Series B 5,800 90,106
Volvo AB Series A 11,700 462,198
Volvo AB Series B 24,700 1,009,822
* Wihlborgs Fastigheter AB 1,227 28,857
WM-Data AB Series B 8,500 22,141
----------------
TOTAL COMMON STOCKS
(Cost $18,457,469) 22,692,050
----------------
26
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INVESTMENT IN CURRENCY -- (0.0%)
* Swedish Krona 58,904
----------------
(Cost $59,725)
RIGHTS/WARRANTS -- (0.0%)
* Sandvik AB Redeemable Rights 06/07/05 19,200 11,276
----------------
(Cost $0)
TOTAL -- SWEDEN
(Cost $18,517,194) 22,762,230
----------------
HONG KONG -- (1.6%)
COMMON STOCKS -- (1.6%)
# ASM Pacific Technology, Ltd. 12,000 52,660
Bank of East Asia, Ltd. 110,149 323,581
Cathay Pacific Airways, Ltd. 221,000 399,389
Chaoda Modern Agriculture (Holdings), Ltd. 88,000 36,396
Cheung Kong Holdings, Ltd. 135,600 1,233,317
Cheung Kong Infrastructure Holdings, Ltd. 129,000 388,528
China Merchants Holdings (International) Co., Ltd. 90,000 167,793
China Overseas Land & Investment, Ltd. 210,000 39,269
China Travel International Investment, Ltd. 126,000 34,691
China Unicom, Ltd. 642,000 514,786
* CITIC 21CN Co., Ltd. 116,000 32,702
Citic Ka Wah Bank, Ltd. 84,000 30,937
Citic Pacific, Ltd. 94,000 261,484
CLP Holdings, Ltd. 155,400 888,204
CNOOC, Ltd. 2,166,500 1,187,876
Dah Sing Banking Group, Ltd. 720 1,298
Dah Sing Financial Holdings, Ltd. 8,059 52,249
Esprit Holdings, Ltd. 70,041 500,334
* First Pacific Co., Ltd. 130,000 44,574
Giordano International, Ltd. 98,000 64,175
Global Bio-Chem Technology Group Co., Ltd. 70,000 47,046
GOME Electrical Appliances Holdings, Ltd. 56,000 55,720
Great Eagle Holdings, Ltd. 16,000 36,425
Hang Lung Development Co., Ltd. 70,000 119,392
Hang Lung Properties, Ltd. 113,500 164,354
Hang Seng Bank, Ltd. 131,100 1,757,441
# Henderson Investment, Ltd. 119,000 166,207
Henderson Land Development Co., Ltd. 117,000 532,172
Hong Kong and China Gas Co., Ltd. 305,000 612,708
Hong Kong and Shanghai Hotels, Ltd. 43,001 44,918
Hong Kong Electric Holdings, Ltd. 119,207 526,499
Hong Kong Exchanges & Clearing, Ltd. 48,000 117,575
Hopewell Holdings, Ltd. 49,000 121,015
Hutchison Whampoa, Ltd. 256,500 2,225,886
Hysan Development Co., Ltd. 54,462 109,564
I-Cable Communications, Ltd. 9,854 3,447
Johnson Electric Holdings, Ltd. 168,000 157,074
K. Wah Construction Materials, Ltd. 42,000 34,009
Kerry Properties, Ltd. 41,255 90,266
Kingboard Chemical Holdings, Ltd. 34,000 103,336
27
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Kowloon Motor Bus Holdings, Ltd. 12,800 69,067
Legend Group, Ltd. 248,000 78,448
Li & Fung, Ltd. 126,000 240,477
Melco International Development, Ltd. 32,000 37,222
MTR Corp., Ltd. 225,570 415,042
New World Development Co., Ltd. 155,477 162,208
NWS Holdings Ltd. 67,000 92,893
PCCW, Ltd. 235,265 143,632
SCMP Group, Ltd. 39,198 16,978
Shanghai Industrial Holdings, Ltd. 26,000 50,385
# Shangri-La Asia, Ltd. 100,913 152,354
Shun Tak Holdings, Ltd. 80,000 75,319
Silver Grant International Industries, Ltd. 62,000 29,187
# Sino Land Co., Ltd. 184,485 188,920
Smartone Telecommunications Holdings, Ltd. 23,000 25,558
Sung Hungkai Properties, Ltd. 135,706 1,291,519
Swire Pacific, Ltd. Series A 42,500 362,302
Techtronic Industries Co., Ltd. 67,500 150,747
Television Broadcasts, Ltd. 20,000 101,895
Texwinca Holdings, Ltd. 60,000 47,768
* Tingyi (Cayman Islands) Holding Corp. 118,000 32,219
Union Bank of Hong Kong, Ltd. 24,000 29,702
Wharf Holdings, Ltd. 136,542 445,298
Wheelock and Co., Ltd. 70,000 100,818
Wheelock Properties, Ltd. 70,000 35,908
Wing Hang Bank, Ltd. 12,500 89,069
Wing Lung Bank, Ltd. 4,600 34,844
Yue Yuen Industrial (Holdings), Ltd. 78,500 232,672
----------------
TOTAL COMMON STOCKS
(Cost $16,727,871) 18,011,748
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Hong Kong Dollars 32,169
----------------
(Cost $32,171)
TOTAL -- HONG KONG
(Cost $16,760,042) 18,043,917
----------------
FINLAND -- (1.3%)
COMMON STOCKS -- (1.3%)
Amer-Yhtymae Oyj Series A 4,500 76,479
Elisa Communications Corp. 10,063 150,717
Fortum Oyj 113,088 1,713,057
KCI Konecranes International Oyj 700 28,593
Kemira GrowHow Oyj 1,275 9,878
Kemira Oyj 6,000 79,869
Kesko Oyj 6,400 153,398
Kone Corp. 5,140 425,464
Metso Oyj 10,444 209,101
M-Real Oyj Series B 26,000 140,346
* Neste Oil Oyj 28,272 631,444
Nokia Oyj 372,121 6,258,856
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Nokian Renkaat Oyj 5,000 89,220
Orion-Yhtyma Oyj Series A 4,200 81,547
Orion-Yhtyma Oyj Series B 5,800 112,821
Outokumpu Oyj Series A 19,700 271,710
Pohjola Group P.L.C. Series D 9,600 121,852
Rautaruukki Oyj Series K 8,700 122,560
Sampo Insurance Co., Ltd. 61,500 868,186
Sanoma-Wsoy Oyj Series A 1,391 34,223
Sanoma-Wsoy Oyj Series B 14,403 337,842
Stora Enso Oyj Series R 67,900 892,141
Tietoenator Corp. 5,460 168,303
Upm-Kymmene Oyj 45,800 885,514
Uponor Oyj Series A 4,600 85,324
Wartsila Corp. Oyj Series B 6,750 203,070
----------------
TOTAL -- FINLAND
(Cost $11,284,993) 14,151,515
----------------
BELGIUM -- (1.0%)
COMMON STOCKS -- (1.0%)
AGFA-Gevaert NV, Mortsel 7,300 208,992
Barco (New) NV 400 29,055
Bekaert SA 700 51,894
Cofinimmo SA 200 31,762
Colruyt SA Halle 1,700 246,538
Compagnie Maritime Belge 1,500 48,981
* Cumerio 1,431 19,722
* Cumerio VVPR 55 2
# Delhaize Freres & cie le Lion SA Molenbeek-Saint Jean 4,572 269,802
# Dexia SA 55,596 1,206,268
D'Ieteren SA 290 57,584
# Electrabel SA 2,998 1,319,986
Euronav SA 1,500 44,431
Exmar NV 300 18,059
# Fortis AG 87,291 2,374,616
Groupe Bruxelles Lambert 2,500 212,642
Interbrew SA 29,842 986,171
KBC Bancassurance Holding SA 28,460 2,307,181
Mobistar SA 2,500 199,777
Omega Pharma SA 500 25,488
# Solvay SA 4,400 477,225
# UCB SA 7,600 347,333
* Umicore-Strip VVPR 55 7
Union Miniere SA 1,431 112,404
----------------
TOTAL -- BELGIUM
(Cost $7,841,615) 10,595,920
----------------
29
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DENMARK -- (0.7%)
COMMON STOCKS -- (0.7%)
Bang & Olufsen Holding A.S. Series B 290 18,652
Carlsberg A.S. Series B 3,475 170,125
Codan A.S. 950 46,478
Coloplast A.S. 1,940 109,296
Dampskibsselsk Torm A.S. 1,250 68,242
Dampskibsselskabet Svendborg A.S. 325 2,938,657
Danisco A.S. 3,950 271,971
Danske Bank A.S. 40,756 1,169,528
DSV, De Sammensluttede Vognmaend A.S. 1,580 122,538
East Asiatic Co., Ltd. 900 56,425
FLS Industries Series B 890 16,554
GN Great Nordic A.S. 16,720 192,040
* Group 4 Securicor A.S. 28,536 72,722
H. Lundbeck A.S. 17,802 445,569
* Jyske Bank A.S. 5,010 191,401
Koebenhavns Lufthavne 390 86,308
NKT Holding A.S. 1,100 42,794
Novo-Nordisk A.S. Series B 14,150 727,774
Novozymes A.S. Series B 4,380 212,592
Rockwool, Ltd. 350 24,292
Sydbank A.S. 4,880 101,237
Tele Danmark A.S. 16,210 714,696
* TK Development 614 3,897
* Topdanmark A.S. 1,300 93,344
* Vestas Wind Systems A.S. 5,866 95,328
* William Demant Holding 3,260 156,019
----------------
TOTAL COMMON STOCKS
(Cost $5,769,360) 8,148,479
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Danish Krone 83,181
----------------
(Cost $85,319)
TOTAL -- DENMARK
(Cost $5,854,679) 8,231,660
----------------
SINGAPORE -- (0.7%)
COMMON STOCKS -- (0.7%)
Allgreen Properties, Ltd. 41,000 26,504
Asia Pacific Breweries, Ltd. 4,000 21,243
Capitacommercial Trust 23,100 20,925
# Capitaland, Ltd. 115,500 160,465
* Chartered Semiconductor Manufacturing, Ltd. 112,000 80,606
City Developments, Ltd. 32,000 131,188
Comfortdelgro Corp., Ltd. 132,000 134,395
* Cosco Corp., Ltd. 23,000 25,175
Creative Technology Co., Ltd. 3,000 23,853
Cycle & Carriage, Ltd. 9,097 67,012
DBS Group Holdings, Ltd. 95,000 791,031
Fraser & Neave, Ltd. 11,100 104,384
Great Eastern Holdings, Ltd. 21,000 180,093
Haw Par Brothers International, Ltd. 2,248 7,143
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Hong Leong Finance, Ltd. 15,000 30,396
Keppel Corp., Ltd. 37,000 256,605
Keppel Land, Ltd. 22,000 30,038
MobileOne, Ltd. 41,390 50,909
Neptune Orient Lines, Ltd. 47,000 94,006
Overseas Chinese Banking Corp., Ltd. 89,300 743,849
Overseas Union Enterprise, Ltd. 6,000 30,039
Parkway Holdings, Ltd. 20,000 21,567
SembCorp Industries, Ltd. 73,320 99,632
* SembCorp Logistics, Ltd. 32,730 34,209
Sembcorp Marine, Ltd. 55,000 69,186
Singapore Airlines, Ltd. 85,000 584,715
Singapore Land, Ltd. 11,000 34,225
* Singapore Petroleum Co., Ltd. 11,000 27,161
* Singapore Post, Ltd. 58,000 31,977
Singapore Press Holdings, Ltd. 122,000 315,797
Singapore Technologies Engineering, Ltd. 174,000 250,366
Singapore Telecommunications, Ltd. 1,367,000 2,130,340
Smrt Corporation, Ltd. 59,000 37,831
* St Assembly test Services, Ltd. 80,000 57,877
United Industrial Corp., Ltd. 39,000 24,067
United Overseas Bank, Ltd. 98,000 839,835
United Overseas Land, Ltd. 22,000 28,962
Venture Manufacturing (Singapore), Ltd. 17,000 152,641
Wing Tai Holdings, Ltd. 22,166 11,806
----------------
TOTAL COMMON STOCKS
(Cost $7,769,250) 7,762,053
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Singapore Dollars 25,559
----------------
(Cost $25,612)
TOTAL -- SINGAPORE
(Cost $7,794,862) 7,787,612
----------------
IRELAND -- (0.7%)
COMMON STOCKS -- (0.7%)
Allied Irish Banks P.L.C. 83,158 1,725,441
Anglo Irish Bank Corp. P.L.C. 57,332 671,061
Bank of Ireland P.L.C. 92,665 1,406,789
CRH P.L.C. 50,877 1,284,491
DCC P.L.C. 6,914 137,079
* Eircom Group P.L.C. 20,550 46,827
* Elan Corp. P.L.C. 33,579 256,365
Fyffes P.L.C. 17,987 50,452
Grafton Group P.L.C. 15,596 181,220
Greencore Group P.L.C. 13,520 56,808
IAWS Group P.L.C. 11,551 173,356
Independent News & Media P.L.C. 77,963 239,705
Irish Permanent P.L.C. 24,811 412,646
Kerry Group P.L.C. 22,953 564,900
Kingspan Group P.L.C. 7,855 91,435
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* Ryanair Holdings P.L.C. 32,702 261,005
* Waterford Wedgwood P.L.C. 153,442 7,742
----------------
TOTAL -- IRELAND
(Cost $6,069,613) 7,567,322
----------------
NORWAY -- (0.5%)
COMMON STOCKS -- (0.5%)
* Aker Kvaerner OGEP ASA 467 17,646
Aker Yards ASA 288 10,554
Den Norske Bank ASA Series A 57,400 555,187
* Fred Olsen Energy ASA 1,500 30,100
* Merkantildata ASA 6,800 1,967
* Nera ASA 6,300 13,371
Norsk Hydro ASA 16,900 1,369,699
Norske Skogindustrier ASA Series A 8,600 132,079
Odfjell ASA Series A 3,400 64,841
* Opticom ASA 600 4,455
Orkla ASA Series A 14,721 501,769
* Petroleum Geo-Services ASA (New) 1,200 81,339
Prosafe ASA 1,350 40,566
Schibsted ASA 3,700 97,661
Smedvig ASA Series A 3,800 66,524
Statoil Den Norske Stats Oljeselskap ASA 98,701 1,737,431
Storebrand ASA 18,700 155,584
Tandberg ASA Series A 8,000 85,528
Telenor ASA 83,141 662,110
Tomra Systems ASA 9,200 39,723
Wilhelmsen (Wilhelm), Ltd. ASA Series A 1,000 25,412
Yara International ASA 16,900 249,891
----------------
TOTAL COMMON STOCKS
(Cost $3,977,030) 5,943,437
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Norwegian Krone 527
----------------
(Cost $537)
TOTAL -- NORWAY
(Cost $3,977,567) 5,943,964
----------------
GREECE -- (0.4%)
COMMON STOCKS -- (0.4%)
Alpha Credit Bank 22,420 616,241
Athens Water Supply & Sewage Co. S.A. 4,100 28,719
Attica Holdings S.A. 3,130 11,073
Bank of Piraeus S.A. 14,710 262,988
* Commercial Bank of Greece 4,680 143,366
Cosmote Mobile Telecommunications S.A. 21,450 384,242
EFG Eurobank Ergasias S.A. 18,520 570,561
Hellenic Bottling Co. S.A. 16,870 446,290
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Hellenic Duty Free Shops S.A. 2,000 33,002
Hellenic Petroleum S.A. 15,660 150,573
Hellenic Technodomiki S.A. 4,680 24,407
Hellenic Telecommunication Organization Co. S.A. 33,920 604,313
Intracom S.A. 3,310 16,990
* Mailis (M.J.) S.A. 2,800 13,354
National Bank of Greece 20,700 698,621
* Public Power Corp. of Greece 15,920 393,755
Titan Cement Co. 4,180 124,814
Viohalco S.A. 2,800 17,965
----------------
TOTAL -- GREECE
(Cost $3,415,686) 4,541,274
----------------
AUSTRIA -- (0.3%)
COMMON STOCKS -- (0.3%)
Bank Austria Creditanstalt AG 3,568 350,879
* Betandwin.com Interactive Entertainment AG 367 52,509
Boehler-Uddeholm AG 480 61,949
BWT AG 880 27,042
Erste Bank der Oesterreichischen Sparkassen AG 12,663 623,417
EVN AG 1,049 72,586
Flughafen Wien AG 579 37,084
* Immofinanz Immobilien Anlagen AG 8,273 74,749
Mayr-Melnhof Karton AG 472 67,274
Oesterreichische Elektrizitaetswirtschafts AG 810 209,521
OMV AG 1,728 605,200
* RHI AG, Wien 778 21,446
Telekom Austria AG 25,712 479,222
Uniqa Versicherungen AG 1,710 29,883
Voestalpine AG 1,802 121,491
Wienerberger AG 4,749 210,465
----------------
TOTAL COMMON STOCKS
(Cost $1,761,203) 3,044,717
----------------
RIGHTS/WARRANTS -- (0.0%)
* Boehler-Uddeholm AG Rights 06/02/05 480 0
----------------
(Cost $0)
TOTAL -- AUSTRIA
(Cost $1,761,203) 3,044,717
----------------
PORTUGAL -- (0.3%)
COMMON STOCKS -- (0.3%)
Banco Comercial Portugues SA 190,708 493,478
Banco Espirito Santo e Comercial de Lisboa 19,360 303,924
BPI SGPS SA 44,098 166,833
# Brisa Auto Estradas de Portugal SA 27,775 216,574
Cimpor Cimentos de Portugal SA 34,848 186,940
Electricidade de Portugal SA 187,612 476,321
33
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Jeronimo Martins SGPS SA 7,355 102,943
# Portugal Telecom SA 65,007 666,519
PT Multimedia Servicos de Telecomunicacoes e Multimedia SGPS SA 6,410 136,165
Sonae SGPS SA 108,923 159,621
----------------
TOTAL COMMON STOCKS
(Cost $2,888,823) 2,909,318
----------------
RIGHTS/WARRANTS -- (0.0%)
PT Multimedia Servicos de Telecomunicacoes e Multimedia SGPS SA
* Warrants 05/23/05 6,410 2,524
----------------
(Cost $0)
TOTAL -- PORTUGAL
(Cost $2,888,823) 2,911,842
----------------
EMU -- (0.2%)
INVESTMENT IN CURRENCY -- (0.2%)
* Euro Currency 2,288,023
----------------
(Cost $2,342,556)
NEW ZEALAND -- (0.2%)
COMMON STOCKS -- (0.2%)
Auckland International Airport, Ltd. 95,556 137,678
Carter Holt Harvey, Ltd. 124,305 156,131
Contact Energy, Ltd. 47,343 234,509
Fisher & Paykel Apppliances Holdings, Ltd. 14,080 30,676
Fisher & Paykel Healthcare Corp. 31,395 65,912
Fletcher Building, Ltd. 35,299 154,906
Independent Newspapers, Ltd. (Auckland) 21,417 93,771
Sky City Entertainment Group, Ltd. 29,418 88,722
Sky Network Television, Ltd. 17,139 79,463
Telecom Corporation of New Zealand, Ltd. 160,535 677,265
* Tower, Ltd. 21,977 32,065
Trustpower, Ltd. 14,898 59,181
Warehouse Group, Ltd. 14,200 32,533
----------------
TOTAL COMMON STOCKS
(Cost $1,177,729) 1,842,812
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* New Zealand Dollar 2,858
----------------
(Cost $2,904)
TOTAL -- NEW ZEALAND
(Cost $1,180,633) 1,845,670
----------------
34
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FACE
AMOUNT VALUE+
---------------- ----------------
(000)
TEMPORARY CASH INVESTMENTS -- (14.8%)
^ Repurchase Agreement, Deutsche Bank Securities & Morgan Stanley
2.96%, 06/01/05 (Collateralized by $320,972,265 U.S. TIPS 1.875%,
07/15/13 & U.S. STRIPS, maturities ranging from 05/15/20 to
11/15/21, valued at $164,624,642) to be repurchased at
$161,409,041 (Cost $161,395,770) $ 161,396 161,395,770
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $2,766,000 FNMA Notes 2.95%, 11/14/07, valued
at $2,762,543) to be repurchased at $2,721,218 (Cost $2,721,000) 2,721 2,721,000
----------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $164,116,770) 164,116,770
----------------
TOTAL INVESTMENTS - (100.0%)
(Cost $1,000,237,086) $ 1,109,524,429
----------------
----------
+ Securities have been fair valued. See Note B to Financial Statements.
^ Security purchased with cash proceeds from securities on loan.
# Total or Partial Securities on Loan.
* Non-Income Producing Securities.
See accompanying Notes to Financial Statements.
35
DFA INVESTMENT DIMENSIONS GROUP INC.
LARGE CAP INTERNATIONAL PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
(UNAUDITED)
[Download Table]
ASSETS:
Investments at Value (including $152,394 of securities on loan) $ 1,109,524
Cash 15
Receivables:
Dividends, Interest, and Tax Reclaims 3,694
Securities Lending Income 188
Fund Shares Sold 1,053
Prepaid Expenses and Other Assets 50
------------
Total Assets 1,114,524
------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 161,396
Investment Securities Purchased 9
Fund Shares Redeemed 696
Due to Advisor 198
Accrued Expenses and Other Liabilities 128
------------
Total Liabilities 162,427
------------
NET ASSETS $ 952,097
============
SHARES OUTSTANDING $0.01 PAR VALUE (Authorized 150,000,000 Shares) 54,801,864
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 17.37
============
Investments at Cost $ 1,000,237
============
See accompanying Notes to Financial Statements.
22
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2005
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
[Download Table]
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $1,378) $ 15,080
Interest 112
Income from Securities Lending 536
----------
Total Investment Income 15,728
----------
EXPENSES
Investment Advisory Services 1,144
Accounting & Transfer Agent Fees 359
Custodian Fees 150
Legal Fees 6
Audit Fees 14
Filing Fees 19
Shareholders' Reports 5
Directors' Fees and Expenses 3
Other 19
----------
Total Expenses 1,719
----------
NET INVESTMENT INCOME (LOSS) 14,009
----------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 1,972
Net Realized Gain (Loss) on Foreign Currency Transactions (71)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency (5,794)
Translation of Foreign Currency Denominated Amounts (157)
----------
NET GAIN (LOSS) (4,050)
----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 9,959
==========
See accompanying Notes to Financial Statements.
23
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
[Enlarge/Download Table]
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2005 2004
----------- -----------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 14,009 $ 14,084
Net Realized Gain (Loss) on Investment Securities Sold 1,972 2,103
Net Realized Gain (Loss) on Foreign Currency Transactions (71) (15)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency (5,794) 119,249
Translation of Foreign Currency Denominated Amounts (157) 32
----------- -----------
Net Increase (Decrease) in Net Assets Resulting from Operations 9,959 135,453
----------- -----------
Distributions From:
Net Investment Income (8,867) (20,560)
----------- -----------
Total Distributions (8,867) (20,560)
----------- -----------
Capital Share Transactions (1):
Shares Issued 155,809 291,666
Shares Issued in Lieu of Cash Distributions 8,367 19,638
Shares Redeemed (58,054) (85,437)
----------- -----------
Net Increase (Decrease) from Capital Share Transactions 106,122 225,867
----------- -----------
Total Increase (Decrease) 107,214 340,760
NET ASSETS
Beginning of Period 844,883 504,123
----------- -----------
End of Period $ 952,097 $ 844,883
=========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 8,790 18,507
Shares Issued in Lieu of Cash Distributions 474 1,271
Shares Redeemed (3,263) (5,382)
----------- -----------
6,001 14,396
=========== ===========
See accompanying Notes to Financial Statements.
24
DFA INVESTMENT DIMENSIONS GROUP INC.
LARGE CAP INTERNATIONAL PORTFOLIO
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
[Enlarge/Download Table]
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
-------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 17.31 $ 14.65 $ 12.10 $ 13.90 $ 17.30 $ 19.41
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.27 0.31 0.25 0.22 0.25 0.23
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.03) 2.86 2.51 (1.79) (3.38) (1.96)
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations 0.24 3.17 2.76 (1.57) (3.13) (1.73)
-------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.18) (0.51) (0.21) (0.23) (0.22) (0.21)
Net Realized Gains -- -- -- -- (0.05) (0.17)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions (0.18) (0.51) (0.21) (0.23) (0.27) (0.38)
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 17.37 $ 17.31 $ 14.65 $ 12.10 $ 13.90 $ 17.30
===============================================================================================================================
Total Return 1.37%# 22.09% 23.32% (11.50)% (18.42)% (9.19)%
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 952,097 $ 844,883 $ 504,123 $ 337,367 $ 344,871 $ 358,638
Ratio of Expenses to Average Net
Assets 0.38%* 0.41% 0.43% 0.44% 0.45% 0.47%
Ratio of Net Investment Income to
Average Net Assets 3.07%* 2.07% 2.10% 1.74% 1.65% 1.21%
Portfolio Turnover Rate 2%# 1% 1% 9% 4% 1%
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
25
DFA INVESTMENT DIMENSIONS GROUP INC.
LARGE CAP INTERNATIONAL PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end
management investment company whose shares are offered without a sales charge
generally to institutional investors and clients of registered investment
advisors. The Fund consists of thirty-seven portfolios, of which the Large Cap
International Portfolio (the "Portfolio") is presented in this report.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: Securities held by the Portfolio which are listed
on a securities exchange are valued at the last quoted sale price. Price
information on listed securities is taken from the exchange where the security
is primarily traded. Unlisted securities for which market quotations are readily
available are valued at the mean between the quoted bid and asked prices.
Securities for which quotations are not readily available, or for which market
quotations have become unreliable, are valued in good faith at fair value using
methods approved by the Board of Directors.
The Portfolio will also apply a fair value price in the circumstances
described below. Generally, trading in foreign securities markets is completed
each day at various times prior to the close of the New York Stock Exchange
(NYSE). For example, trading in the Japanese securities markets is completed
each day at the close of the Tokyo Stock Exchange (generally 11:00 p.m. PT),
which is fourteen hours prior to the close of the NYSE (generally 1:00 p.m. PT)
and the time that the net asset value of the Portfolio is computed. Due to the
time differences between the closings of the relevant foreign securities
exchanges and the time the Portfolio prices its shares at the close of the NYSE,
the Portfolio will fair value its foreign investments when it is determined that
the market quotations for the foreign investments are either unreliable or not
readily available. The fair value prices will attempt to reflect the impact of
the U.S. financial markets' perceptions and trading activities on the
Portfolio's foreign investments since the last closing prices of the foreign
investments were calculated on their primary foreign securities markets or
exchanges. For these purposes, the Board of Directors of the Portfolio has
determined that movements in relevant indices or other appropriate market
indicators, after the close of the Tokyo Stock Exchange or the London Stock
Exchange, demonstrate that market quotations may be unreliable, and may trigger
fair value pricing. Consequently, fair valuation of portfolio securities may
occur on a daily basis. The fair value pricing by the Portfolio utilizes data
furnished by an independent pricing service (and that data draws upon, among
other information, the market values of foreign investments). The fair value
prices of portfolio securities generally will be used when it is determined that
the use of such prices will have a material impact on the net asset value of the
Portfolio. When the Portfolio uses fair value pricing, the values assigned to
the Portfolio's foreign investments may not be the quoted or published prices of
the investments on their primary markets or exchanges.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and
liabilities of the Portfolio whose values are initially expressed in foreign
currencies are translated to U.S. dollars using the mean between the most
recently quoted bid and asked prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and
26
interest income and certain expenses are translated to U.S. dollars at the rate
of exchange on their respective accrual dates.
Receivables and payables denominated in foreign currencies are marked to
market daily based on daily exchange rates and exchange gains or losses are
realized upon ultimate receipt or disbursement.
The Portfolio does not isolate the effect of fluctuations in foreign
exchange rates from the effect of fluctuations in the market prices of
securities held whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of the Portfolio
and the U.S. dollar equivalent amounts actually received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Directors may defer payment of a
percentage of their total fees earned as a Director. These deferred amounts may
be treated as though such amounts had been invested in shares of the following
funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA
International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income, are included in Directors'
Fees and Expenses. At May 31, 2005, the total liability for deferred
compensation to Directors is included in Accrued Expenses and Other Liabilities
in the amount of $14,396.
4. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on an accrual basis. Expenses directly attributable to the
Portfolio are directly charged. Common expenses of the Fund are allocated using
methods approved by the Board of Directors, generally based on average net
assets.
The Portfolio may be subject to taxes imposed by countries in which it
invests, with respect to its investments in issuers existing or operating in
such countries. Such taxes are generally based on income earned or repatriated
and capital gains realized on the sale of such investments. The Portfolio
accrues such taxes when the related income or capital gains are known. Some
countries require governmental approval for the repatriation of investment
income, capital or the proceeds of sales earned by foreign investors. In
addition, if there is deterioration in a country's balance of payments or for
other reasons, a country may impose temporary restrictions on foreign capital
remittances abroad.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Portfolio. 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.
For the six months ended May 31, 2005, the Portfolio's advisory fees were
accrued daily and paid monthly to the Advisor at an effective annual rate of
0.25 of 1%.
Certain officers of the Fund are also officers, directors and shareholders
of the Advisor.
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 2005, the Portfolio made the following
purchases and sales of investment securities other than U.S. Government
Securities and short-term securities (amounts in thousands):
[Download Table]
Purchases $ 121,356
Sales 14,245
27
E. FEDERAL INCOME TAXES:
The Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code for
federal income tax purposes and to distribute substantially all of its taxable
income and net capital gains to shareholders. Accordingly, no provision has been
made for federal income taxes.
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2004 and November 30, 2003 were as follows (amounts
in thousands):
[Download Table]
ORDINARY INCOME
AND SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
--------------- ------------- --------
2004 $ 20,560 -- $ 20,560
2003 5,772 -- 5,772
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
At November 30, 2004, the components of distributable
earnings/(accumulated losses) were as follows (amounts in thousands):
[Download Table]
TOTAL NET
DISTRIBUTABLE
UNDISTRIBUTED UNDISTRIBUTED CAPITAL EARNINGS
NET INVESTMENT LONG-TERM LOSS (ACCUMULATED
INCOME CAPITAL GAINS CARRYFORWARD LOSSES)
-------------- ------------- ------------ -------------
$ 6,784 -- $ (19,070) $ (12,286)
For federal income tax purposes, the Portfolio measures its capital loss
carryforwards annually at November 30, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
As of November 30, 2004, the Portfolio had a capital loss carryforward available
to offset future realized capital gains through the indicated expiration dates
(amounts in thousands).
[Download Table]
EXPIRES ON NOVEMBER 30,
--------------------------------------
2009 2010 2011 TOTAL
------ -------- ------ ---------
$ 357 $ 18,180 $ 533 $ 19,070
Certain of the investments in the Portfolio are in securities considered
to be "passive foreign investment companies", for which any unrealized
appreciation (depreciation) (mark to market) and/or realized gains are required
to be included in distributable net investment income for tax purposes. During
the year ended November 30, 2004, the Portfolio had unrealized appreciation
(depreciation) (mark to market) and realized gains on the sale of passive
foreign investment companies of $5,327,264 and $81,703, respectively, which are
included in distributable net investment income for tax purposes, accordingly,
such gains have been reclassified from accumulated net realized gains to
accumulated net investment income.
At May 31, 2005, the total cost and aggregate gross unrealized
appreciation and depreciation of securities for federal income tax purposes were
different from amounts reported for financial reporting purposes (amounts in
thousands):
[Download Table]
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
---------- ------------ ------------ --------------
$ 1,001,050 $ 174,997 $ (66,523) $ 108,474
28
F. COMPONENTS OF NET ASSETS:
At May 31, 2005, net assets consisted of (amounts in thousands):
[Enlarge/Download Table]
ACCUMULATED UNREALIZED
ACCUMULATED NET REALIZED ACCUMULATED APPRECIATION UNREALIZED
NET GAIN (LOSS) NET REALIZED (DEPRECIATION) NET FOREIGN
INVESTMENT OF FOREIGN OF INVESTMENT EXCHANGE
PAID-IN INCOME INVESTMENT EXCHANGE SECURITIES AND GAIN TOTAL NET
CAPITAL (LOSS) SECURITIES GAIN (LOSS) FOREIGN CURRENCY (LOSS) ASSETS
------- ------ ---------- ----------- ---------------- ------ ------
$ 854,346 $ 6,590 $ (17,965) $ (71) $ 109,287 $ (90) $ 952,097
G. FINANCIAL INSTRUMENTS:
In accordance with the Portfolio's investment objectives and policies, the
Portfolio may invest in certain financial instruments that have off-balance
sheet risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. REPURCHASE AGREEMENTS: The Portfolio may purchase money market
instruments subject to the counterparty's agreement to repurchase them at an
agreed upon date and price. The counterparty will be required on a daily basis
to maintain the value of the collateral subject to the agreement at not less
than the repurchase price (including accrued interest). The agreements are
conditioned upon the collateral being deposited under the Federal Reserve
book-entry system with the Portfolio's custodian or a third party sub-custodian.
In the event of default or bankruptcy by the other party to the agreement,
retention of the collateral may be subject to legal proceedings. All open
repurchase agreements were entered into on May 31, 2005.
2. FOREIGN MARKET RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States, including the possibility of future political and economic
developments and the level of foreign governmental supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid and
more volatile than the major securities markets in the United States.
Consequently, acquisition and disposition of securities by the Portfolio may be
inhibited.
H. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2004
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each portfolio is individually, and not jointly
liable for its particular advances under the line of credit. There is no
commitment fee on the unused portion of the line of credit, since this is not a
committed facility. The agreement for the discretionary line of credit may be
terminated by either party at any time. The agreement for the line of credit
expires on June 27, 2006. There were no borrowings under the discretionary line
of credit by the Portfolio during the six months ended May 31, 2005.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
3, 2005 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. Each portfolio is
individually, and not jointly liable for its particular advances under the line
of credit. There is no commitment fee on the unused line of credit. The
agreement for the line of credit expires in April 2, 2006. There were no
borrowings by the Portfolio during the six months ended May 31, 2005.
29
I. SECURITIES LENDING:
As of May 31, 2005, some of the Portfolio's securities were on loan to
broker/dealers, for which the Portfolio held cash collateral. The Portfolio
invests the cash collateral, as described below, and records a liability for the
return of the collateral, during the period the securities are on loan. However,
in the event of default or bankruptcy by the other party to the agreement,
realization and/or retention of the collateral may be subject to legal
proceedings. In the event that the borrower fails to return loaned securities,
and cash collateral being maintained by the borrower is insufficient to cover
the value of loaned securities and provided such collateral insufficiency is not
the result of investment losses, the lending agent has agreed to pay the amount
of the shortfall to the Portfolio or, at the option of the lending agent, to
replace the securities.
The cash collateral received by the Portfolio from securities on loan is
invested in repurchase agreements collateralized by U.S. government securities.
Securities pledged as collateral for the repurchase agreements are held by a
custodian bank until the agreements are repurchased.
The Portfolio paid fees for securities lending for the period ended May
31, 2005, which have been netted against the Income from Securities Lending on
the Statements of Operations. For the six months ended May 31, 2005 the fees
were approximately $230,000.
J. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Fund's maximum exposure under these arrangements is unknown
as this would involve future claims that may be made against the Fund and/or its
affiliates that have not yet occurred. However, based on experience, the Fund
expects the risk of loss to be remote.
30
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the
impact of fees on your investment. All mutual funds have operating expenses. As
a shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees (in dollars) of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Tables below illustrate your fund's costs in two ways.
- ACTUAL FUND RETURN. This section helps you to estimate the actual
expenses after fee waivers that you paid over the period. The "Ending
Account Value" shown is derived from the fund's actual return, and
"Expenses Paid During Period" shows the dollar amount that would have
been paid by an investor who started with $1,000 in the fund. You may
use the information here, together with the amount you invested, to
estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
- HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you
compare your fund's costs with those of other mutual funds. It assumes
that the fund had an annual return of 5% before expenses, but that the
expense ratio is unchanged. In this case -- because the return used is
not the fund's actual return -- the results do not apply to your
investment. The example is useful in making comparisons because the
Securities and Exchange Commission ("SEC") requires all mutual funds to
calculate expenses based on a 5% annual return. You can assess your
fund's cost by comparing this hypothetical example with the hypothetical
examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight
and help you compare ongoing costs only and do not reflect any transactional
costs (if any). The "Annualized Expense Ratio" represents the actual expenses
for the six month period indicated.
FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005
EXPENSE TABLES
[Download Table]
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/1/04 5/31/05 RATIO PERIOD*
---------- ---------- ---------- ----------
THE U.S. LARGE COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,024.40 0.05% $ 0.25
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.75 0.05% $ 0.25
THE U.S. LARGE CAP VALUE SERIES
Actual Fund Return $ 1,000.00 $ 1,049.70 0.14% $ 0.72
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.30 0.14% $ 0.71
THE U.S. SMALL CAP SERIES
Actual Fund Return $ 1,000.00 $ 985.70 0.07% $ 0.35
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.65 0.07% $ 0.35
31
[Enlarge/Download Table]
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/1/04 5/31/05 RATIO PERIOD*
---------- ---------- ---------- ----------
THE DFA INTERNATIONAL VALUE SERIES
Actual Fund Return $ 1,000.00 $ 1,023.10 0.27% $ 1.36
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.65 0.27% $ 1.36
THE JAPANESE SMALL COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,089.40 0.23% $ 1.20
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.85 0.23% $ 1.16
THE PACIFIC RIM SMALL COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 982.80 0.28% $ 1.38
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.60 0.28% $ 1.41
THE UNITED KINGDOM SMALL COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,025.70 0.23% $ 1.16
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.85 0.23% $ 1.16
THE CONTINENTAL SMALL COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,078.10 0.24% $ 1.24
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.80 0.24% $ 1.21
----------
* Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in the
most recent fiscal half-year, then divided by 365.
32
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete
Schedule of Investments with the SEC for their first and third fiscal quarters
on Form N-Q for fiscal quarters starting after July 9, 2004. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending August 31
and February 28 (February 29 during leap year). The Form N-Q filing must be made
within 60 days of the end of the quarter. The DFA Investment Trust Company filed
its most recent Form N-Q with the SEC on April 29, 2005. It is available upon
request, without charge, by calling collect: (310) 395-8005 or by mailing a
request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa
Monica, California 90401, or by visiting the SEC's website at
http://www.sec.gov, or they may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the
operation of the Public Reference Room).
The SEC has also amended certain regulations to permit a fund to include
in its reports to shareholders a "Summary Schedule of Portfolio Holdings" in
lieu of a full Schedule of Investments. The Summary Schedule of Portfolio
Holdings reports the fund's 50 largest holdings in unaffiliated issuers and any
investments that exceed one percent of the fund's net assets at the end of the
reporting period. The amendments also require that the Summary Schedule of
Portfolio Holdings identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the
SEC on Form N-CSR within ten days after mailing the annual report to
shareholders. It will be available, upon request, without charge, by calling
collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors,
Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C. (call
1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a Schedule of Investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
THE U.S. LARGE COMPANY SERIES
[Download Table]
Financials 19.5%
Information Technology 15.5
Health Care 13.4
Industrials 11.5
Consumer Discretionary 11.4
Consumer Staples 10.4
Energy 8.3
Utilities 3.3
Telecommunication Services 3.1
Materials 3.0
REITS 0.6
-----
100.0%
=====
33
THE U.S. LARGE CAP VALUE SERIES
[Download Table]
Consumer Discretionary 29.4%
Financials 27.4
Energy 9.0
Industrials 8.7
Information Technology 6.1
Health Care 5.6
Materials 5.4
Consumer Staples 4.3
Telecommunication Services 3.7
Utilities 0.4
-----
100.0%
=====
THE U.S. SMALL CAP SERIES
[Download Table]
Information Technology 20.8%
Consumer Discretionary 17.8
Industrials 15.5
Health Care 14.7
Financials 12.7
Energy 5.6
Materials 5.2
Consumer Staples 3.7
Utilities 2.6
Telecommunication Services 1.2
Other 0.2
-----
100.0%
=====
THE DFA INTERNATIONAL VALUE SERIES
[Download Table]
Financials 36.4%
Consumer Discretionary 17.8
Materials 12.6
Industrials 11.4
Telecommunication Services 6.9
Consumer Staples 4.4
Utilities 3.5
Energy 2.9
Information Technology 2.2
Health Care 1.2
Other 0.4
REITS 0.3
-----
100.0%
=====
34
THE JAPANESE SMALL COMPANY SERIES
[Download Table]
Industrials 27.6%
Consumer Discretionary 24.2
Information Technology 11.4
Materials 11.0
Consumer Staples 10.3
Financials 10.1
Health Care 3.4
Energy 1.3
Utilities 0.7
-----
100.0%
=====
THE PACIFIC RIM SMALL COMPANY SERIES
[Download Table]
Industrials 20.9%
Consumer Discretionary 20.1
Financials 15.0
Materials 14.8
Information Technology 7.5
Health Care 7.4
Consumer Staples 5.2
Energy 4.6
Utilities 2.2
Telecommunication Services 1.5
REITS 0.4
Other 0.4
-----
100.0%
=====
THE UNITED KINGDOM SMALL COMPANY SERIES
[Download Table]
Industrials 29.5%
Consumer Discretionary 23.4
Financials 14.3
Information Technology 10.2
Consumer Staples 6.4
Energy 4.9
Materials 4.4
Health Care 4.2
Telecommunication Services 1.3
Other 0.7
Utilities 0.7
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100.0%
=====
35
THE CONTINENTAL SMALL COMPANY SERIES
[Download Table]
Industrials 25.1%
Financials 17.0
Consumer Discretionary 16.9
Information Technology 10.3
Materials 8.6
Consumer Staples 7.0
Health Care 7.0
Energy 3.7
Utilities 2.1
Telecommunication Services 1.1
Other 0.7
REITS 0.5
-----
100.0%
=====
36
THE U.S. LARGE COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
[Download Table]
SHARES VALUE+
---------------- ----------------
COMMON STOCKS -- (92.4%)
Financials -- (18.1%)
# Ace, Ltd. 98,800 $ 4,270,136
AFLAC, Inc. 174,400 7,246,320
# Allstate Corp. 236,000 13,735,200
AMBAC Financial Group, Inc. 37,800 2,727,270
American Express Co. 407,600 21,949,260
American International Group, Inc. 905,100 50,278,305
AmSouth Bancorporation 123,400 3,289,844
AON Corp. 109,900 2,739,807
Bank of America Corp. 1,408,600 65,246,352
Bank of New York Co., Inc. 270,500 7,795,810
# BB&T Corp. 190,600 7,612,564
# Bear Stearns Companies, Inc. 39,300 3,892,272
Capital One Financial Corp. 85,900 6,476,860
Chubb Corp. 66,500 5,601,295
Cincinnati Financial Corp. 58,005 2,289,457
CIT Group, Inc. 73,300 3,109,386
Citigroup, Inc. 1,815,800 85,542,338
Comerica, Inc. 59,200 3,308,096
Compass Bancshares, Inc. 43,000 1,916,510
Countrywide Financial Corp. 201,700 7,497,189
* E*TRADE Financial Corp. 128,800 1,590,680
Federal Home Loan Mortgage Corporation 239,100 15,551,064
Federal National Mortgage Association 336,400 19,928,336
Federated Investors, Inc. 33,100 980,091
Fifth Third Bancorp 180,700 7,701,434
# First Horizon National Corp. 42,800 1,807,444
Franklin Resources, Inc. 68,800 4,963,232
Golden West Financial Corp. 98,200 6,149,284
Hartford Financial Services Group, Inc. 102,800 7,688,412
Huntington Bancshares, Inc. 80,500 1,877,260
Janus Capital Group, Inc. 82,000 1,259,520
Jefferson-Pilot Corp. 47,400 2,388,960
JPMorgan Chase & Co. 1,235,000 44,151,250
KeyCorp 141,200 4,625,712
Lehman Brothers Holdings, Inc. 95,900 8,841,980
# Lincoln National Corp. 60,600 2,759,118
Loews Corp. 55,500 4,179,150
M&T Bank Corp. 34,200 3,493,188
Marsh & McLennan Companies, Inc. 183,800 5,337,552
Marshall & Ilsley Corp. 72,100 3,137,071
MBIA, Inc. 48,900 2,734,977
MBNA Corp. 444,000 9,363,960
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Mellon Financial Corp. 147,200 4,086,272
Merrill Lynch & Co., Inc. 323,500 17,553,110
MetLife, Inc. 254,700 11,359,620
MGIC Investment Corp. 33,600 2,061,024
# Moody's Corp. 95,400 4,127,958
Morgan Stanley 386,600 18,927,936
National City Corp. 206,500 7,136,640
North Fork Bancorporation, Inc. 163,600 4,459,736
Northern Trust Corp. 70,700 3,246,544
PNC Financial Services Group 98,300 5,372,095
Principal Financial Group, Inc. 104,100 4,152,549
Progressive Corp. 69,600 6,686,472
* Providian Financial Corp. 101,900 1,815,858
Prudential Financial, Inc. 182,100 11,528,751
# Regions Financial Corp. 161,400 5,435,952
Safeco Corp. 44,200 2,378,402
Schwab (Charles) Corp. 399,000 4,524,660
SLM Corp. 149,400 7,211,538
Sovereign Bancorp, Inc. 130,300 2,908,296
State Street Corp. 115,900 5,563,200
SunTrust Banks, Inc. 117,900 8,678,619
Synovus Financial Corp. 108,100 3,142,467
T. Rowe Price Group, Inc. 43,000 2,565,380
The Goldman Sachs Group, Inc. 155,600 15,171,000
The St. Paul Travelers Companies, Inc. 232,500 8,807,100
Torchmark Corp. 37,600 1,983,400
U.S. Bancorp 644,100 18,891,453
UnumProvident Corp. 103,400 1,898,424
Wachovia Corp. 550,900 27,958,175
Washington Mutual, Inc. 303,500 12,534,550
Wells Fargo & Co. 589,300 35,599,613
XL Capital, Ltd. 48,300 3,636,024
Zions Bancorporation 31,200 2,210,208
----------------
Total Financials
(Cost $518,161,659) 740,646,972
----------------
Information Technology -- (14.3%)
* ADC Telecommunications, Inc. 40,242 730,795
# Adobe Systems, Inc. 169,200 5,593,752
* Advanced Micro Devices, Inc. 136,900 2,245,160
* Affiliated Computer Services, Inc. Class A 44,000 2,276,120
* Agilent Technologies, Inc. 150,200 3,606,302
* Altera Corp. 129,400 2,871,386
Analog Devices, Inc. 129,500 4,801,860
* Andrew Corp. 55,900 741,234
* Apple Computer, Inc. 284,000 11,277,640
Applied Materials, Inc. 579,600 9,511,236
* Applied Micro Circuits Corp. 107,000 307,090
Autodesk, Inc. 79,800 3,158,484
Automatic Data Processing, Inc. 202,600 8,873,880
* Avaya, Inc. 166,700 1,525,305
* BMC Software, Inc. 76,900 1,308,838
* Broadcom Corp. 101,000 3,584,490
* Ciena Corp. 198,900 433,602
* Cisco Sytems, Inc. 2,246,300 43,533,294
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* Citrix Systems, Inc. 59,000 1,484,440
Computer Associates International, Inc. 185,968 5,071,347
* Computer Sciences Corp. 66,400 3,074,984
* Compuware Corp. 134,600 922,010
* Comverse Technology, Inc. 68,800 1,618,864
* Convergys Corp. 49,400 673,322
* Corning, Inc. 489,900 7,681,632
* Dell, Inc. 854,600 34,089,994
* Electronic Arts, Inc. 107,000 5,621,780
Electronic Data Systems Corp. 179,900 3,544,030
* EMC Corp. 835,900 11,752,754
First Data Corp. 278,700 10,543,221
* Fiserv, Inc. 67,100 2,885,300
* Freescale Semiconductor, Inc. Class B 139,600 2,819,920
* Gateway, Inc. 103,900 359,494
Hewlett-Packard Co. 1,006,200 22,649,562
Intel Corp. 2,163,800 58,271,134
International Business Machines Corp. 567,300 42,859,515
* Intuit, Inc. 64,500 2,787,690
* Jabil Circuit, Inc. 63,800 1,864,874
* JDS Uniphase Corp. 502,000 768,060
# KLA-Tencor Corp. 68,400 3,106,044
* Lexmark International, Inc. 44,000 3,011,360
Linear Technology Corp. 106,700 3,998,049
* LSI Logic Corp. 133,700 984,032
* # Lucent Technologies, Inc. 1,539,700 4,326,557
Maxim Integrated Products, Inc. 113,600 4,475,840
* Mercury Interactive Corp. 29,300 1,322,016
* Micron Technology, Inc. 213,300 2,342,034
Microsoft Corp. 3,516,200 90,717,960
Molex, Inc. 58,300 1,544,367
Motorola, Inc. 852,000 14,799,240
National Semiconductor Corp. 123,500 2,484,820
* NCR Corp. 64,700 2,369,961
* Network Appliance, Inc. 127,200 3,658,272
* Novell, Inc. 131,700 770,445
* Novellus Systems, Inc. 48,600 1,295,190
* Nvidia Corp. 57,800 1,571,582
* Oracle Corp. 1,561,500 20,018,430
* Parametric Technology Corp. 94,000 565,880
Paychex, Inc. 123,600 3,569,568
* PMC-Sierra, Inc. 62,400 547,248
* QLogic Corp. 31,900 1,021,438
Qualcomm, Inc. 571,900 21,308,994
Sabre Holdings Corp. 45,700 917,199
* Sanmina-SCI Corp. 181,900 933,147
Scientific-Atlanta, Inc. 52,900 1,761,570
* Siebel Systems, Inc. 178,900 1,649,458
* Solectron Corp. 337,400 1,231,510
* Sun Microsystems, Inc. 1,173,900 4,472,559
* Sungard Data Systems, Inc. 100,300 3,481,413
* # Symantec Corp. 246,500 5,573,365
Symbol Technologies, Inc. 84,300 970,293
Tektronix, Inc. 31,100 705,037
* Tellabs, Inc. 160,500 1,319,310
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* Teradyne, Inc. 67,400 876,874
Texas Instruments, Inc. 598,200 16,534,248
* Unisys Corp. 117,200 848,528
* Veritas Software Corp. 146,600 3,645,942
* Xerox Corp. 332,700 4,514,739
Xilinx, Inc. 121,100 3,360,525
* Yahoo!, Inc. 453,100 16,855,320
----------------
Total Information Technology
(Cost $560,187,362) 587,184,759
----------------
Health Care -- (12.4%)
Abbott Laboratories 541,700 26,131,608
Aetna, Inc. 102,300 7,980,423
Allergan, Inc. 45,700 3,533,067
AmerisourceBergen Corp. 36,600 2,363,262
* Amgen, Inc. 435,400 27,247,332
Applera Corp. - Applied Biosystems Group 68,300 1,462,303
Bard (C.R.), Inc. 36,400 2,484,300
Bausch & Lomb, Inc. 18,700 1,460,283
Baxter International, Inc. 215,400 7,948,260
Becton Dickinson & Co. 88,000 5,055,600
* Biogen Idec, Inc. 115,900 4,531,690
Biomet, Inc. 87,900 3,312,951
* Boston Scientific Corp. 264,100 7,154,469
Bristol-Myers Squibb Co. 679,000 17,219,440
# Cardinal Health, Inc. 150,700 8,730,051
* # Caremark Rx, Inc. 158,900 7,096,474
* Chiron Corp. 51,300 1,925,802
Cigna Corp. 45,700 4,444,325
Eli Lilly & Co. 393,700 22,952,710
* # Express Scripts, Inc. 26,400 2,439,096
* # Fisher Scientific International, Inc. 40,800 2,548,368
* Forest Laboratories, Inc. 122,100 4,710,618
* Genzyme Corp. 86,100 5,371,779
* Gilead Sciences, Inc. 150,400 6,136,320
Guidant Corp. 112,100 8,283,069
HCA, Inc. 143,100 7,727,400
# Health Management Associates, Inc. 84,800 2,138,656
* Hospira, Inc. 54,300 2,067,744
* Humana, Inc. 55,900 2,032,524
IMS Health, Inc. 80,600 1,978,730
Johnson & Johnson 1,033,300 69,334,430
* King Pharmaceuticals, Inc. 84,000 794,640
* Laboratory Corp. of America Holdings 46,900 2,272,305
Manor Care, Inc. 29,900 1,161,914
McKesson Corp. 102,600 4,131,702
* Medco Health Solutions, Inc. 95,600 4,780,000
* Medimmune, Inc. 86,400 2,280,960
Medtronic, Inc. 420,300 22,591,125
Merck & Co., Inc. 767,300 24,891,212
* Millipore Corp. 17,300 890,777
Mylan Laboratories, Inc. 93,600 1,544,400
PerkinElmer, Inc. 45,100 862,763
Pfizer, Inc. 2,592,500 72,330,750
Quest Diagnostics, Inc. 31,700 3,328,500
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Schering-Plough Corp. 512,500 9,993,750
* St. Jude Medical, Inc. 125,400 5,031,048
Stryker Corp. 130,200 6,334,230
* Tenet Healthcare Corp. 162,800 1,973,136
* Thermo Electron Corp. 55,600 1,463,392
UnitedHealth Group, Inc. 445,800 21,656,964
* Waters Corp. 42,000 1,631,700
* Watson Pharmaceuticals, Inc. 38,100 1,145,286
* WellPoint, Inc. 106,000 14,098,000
Wyeth 464,300 20,136,691
* Zimmer Holdings, Inc. 85,700 6,562,906
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Total Health Care
(Cost $377,818,748) 509,691,235
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Industrials -- (10.7%)
3M Co. 268,400 20,572,860
* Allied Waste Industries, Inc. 94,300 727,053
American Power Conversion Corp. 62,400 1,588,704
American Standard Companies, Inc. 62,600 2,679,280
Avery Dennison Corp. 35,400 1,856,730
# Boeing Co. 289,300 18,486,270
Burlington Northern Santa Fe Corp. 131,500 6,498,730
Caterpillar, Inc. 119,200 11,217,912
Cendant Corp. 366,600 7,775,586
Cintas Corp. 51,900 2,095,203
Cooper Industries, Ltd. 32,200 2,219,868
CSX Corp. 74,900 3,114,342
# Cummins, Inc. 14,900 1,012,455
# Danaher Corp. 95,600 5,270,428
Deere & Co. 85,800 5,675,670
* # Delta Air Lines, Inc. 48,600 187,110
Donnelley (R.R.) & Sons Co. 74,900 2,490,425
Dover Corp. 70,800 2,681,196
Eaton Corp. 53,100 3,178,035
Emerson Electric Co. 145,700 9,684,679
Equifax, Inc. 46,900 1,626,961
FedEx Corp. 104,700 9,362,274
# Fluor Corp. 29,700 1,706,265
General Dynamics Corp. 69,600 7,515,408
General Electric Co. 3,683,200 134,363,136
Goodrich (B.F.) Co. 41,700 1,745,562
Honeywell International, Inc. 295,600 10,709,588
Illinois Tool Works, Inc. 95,400 8,054,622
Ingersoll-Rand Co., Ltd. Class A 60,200 4,660,082
ITT Industries, Inc. 32,000 3,040,000
L-3 Communications Holdings, Inc. 40,100 2,838,278
Lockheed Martin Corp. 139,500 9,052,155
Masco Corp. 155,700 4,985,514
* Monster Worldwide, Inc. 41,900 1,105,322
* Navistar International Corp. 22,900 698,679
Norfolk Southern Corp. 139,200 4,443,264
Northrop Grumman Corp. 125,200 6,976,144
Paccar, Inc. 60,400 4,273,300
Pall Corp. 43,100 1,258,089
Parker Hannifin Corp. 41,700 2,515,761
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Pitney Bowes, Inc. 80,200 3,577,722
Raytheon Co. 157,400 6,163,784
Robert Half International, Inc. 55,900 1,394,146
Rockwell Automation, Inc. 60,800 3,123,296
Rockwell Collins, Inc. 61,900 3,057,241
Ryder System, Inc. 22,300 819,302
Southwest Airlines Co. 256,000 3,724,800
Textron, Inc. 46,900 3,624,901
Tyco International, Ltd. 699,600 20,239,428
Union Pacific Corp. 90,700 6,073,272
United Parcel Service, Inc. 389,000 28,649,850
United Technologies Corp. 178,000 18,992,600
W.W. Grainger, Inc. 29,000 1,577,310
Waste Management, Inc. 197,500 5,824,275
----------------
Total Industrials
(Cost $311,260,626) 436,784,867
----------------
Consumer Discretionary -- (10.5%)
* Apollo Group, Inc. Class A 57,600 4,521,600
* AutoNation, Inc. 78,500 1,569,215
* Autozone, Inc. 23,500 2,127,220
* Bed Bath and Beyond, Inc. 105,100 4,272,315
Best Buy Co., Inc. 103,800 5,649,834
* Big Lots, Inc. 39,200 496,272
# Black & Decker Corp. 27,900 2,436,228
Brunswick Corp. 33,700 1,450,448
Carnival Corp. 183,100 9,685,990
Centex Corp. 44,000 2,881,120
Circuit City Stores, Inc. 66,400 1,088,296
Clear Channel Communications, Inc. 183,200 5,354,936
* Coach, Inc. 132,900 3,859,416
* Comcast Corp. Class A 768,700 24,752,140
Cooper Tire & Rubber Co. 22,300 424,592
Dana Corp. 52,100 705,955
Darden Restaurants, Inc. 51,300 1,666,224
Delphi Corp. 195,000 848,250
Dillards, Inc. Class A 24,500 586,040
Disney (Walt) Co. 711,400 19,520,816
Dollar General Corp. 104,700 2,053,167
Dow Jones & Co., Inc. 24,500 869,750
Eastman Kodak Co. 99,600 2,617,488
* # eBay, Inc. 420,500 15,983,205
Family Dollar Stores, Inc. 58,300 1,496,561
# Federated Department Stores, Inc. 58,900 3,972,805
Ford Motor Co. 636,200 6,349,276
Fortune Brands, Inc. 50,400 4,359,600
Gannett Co., Inc. 87,300 6,500,358
Gap, Inc. 275,500 5,785,500
# General Motors Corp. 196,300 6,189,339
Genuine Parts Co. 60,700 2,607,672
* # Goodyear Tire & Rubber Co. 61,100 879,229
H&R Block, Inc. 57,400 2,865,408
Harley-Davidson, Inc. 101,500 4,976,545
# Harrahs Entertainment, Inc. 39,500 2,836,495
Hasbro, Inc. 58,000 1,170,440
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Hilton Hotels Corp. 133,700 3,239,551
Home Depot, Inc. 763,000 30,024,050
International Game Technology 119,900 3,378,782
* Interpublic Group of Companies, Inc. 146,900 1,812,746
Johnson Controls, Inc. 66,400 3,762,224
Jones Apparel Group, Inc. 42,600 1,359,366
KB Home 29,000 1,958,660
Knight-Ridder, Inc. 26,300 1,659,004
* Kohl's Corp. 113,300 5,516,577
Leggett & Platt, Inc. 66,300 1,766,232
Limited Brands, Inc. 132,800 2,731,696
Liz Claiborne, Inc. 37,800 1,419,390
# Lowe's Companies, Inc. 268,600 15,366,606
Marriott International, Inc. Class A 69,800 4,714,292
# Mattel, Inc. 144,800 2,632,464
May Department Stores Co. 101,500 3,873,240
# Maytag Corp. 27,700 404,143
McDonald's Corp. 442,000 13,675,480
McGraw-Hill Companies, Inc. 132,400 5,780,584
Meredith Corp. 15,800 783,680
Newell Rubbermaid, Inc. 95,500 2,176,445
News Corp. Class A 864,600 13,945,998
NIKE, Inc. Class B 79,800 6,559,560
Nordstrom, Inc. 43,800 2,673,552
* Office Depot, Inc. 108,700 2,143,564
OfficeMax, Inc. 24,400 740,540
Omnicom Group, Inc. 64,800 5,306,472
Penney (J.C.) Co., Inc. 94,100 4,682,416
Pulte Homes, Inc. 41,200 3,149,740
RadioShack Corp. 55,100 1,386,316
# Reebok International, Ltd. 19,500 793,845
* Sears Holdings Corp. 22,865 3,354,295
Sherwin-Williams Co. 44,000 1,955,800
# Snap-On, Inc. 20,100 693,651
Staples, Inc. 258,250 5,560,123
* Starbucks Corp. 138,900 7,604,775
Starwood Hotels & Resorts Worldwide, Inc. 73,900 4,136,183
Target Corp. 311,100 16,706,070
# The New York Times Co. Class A 50,700 1,590,459
The Stanley Works 26,100 1,164,321
The TJX Companies, Inc. 167,400 3,838,482
# Tiffany & Co. 50,600 1,575,178
* Time Warner, Inc. 1,597,100 27,789,540
* Toys R Us, Inc. 74,800 1,959,760
Tribune Co. 103,700 3,751,866
* Univision Communications, Inc. Class A 101,400 2,698,254
V.F. Corp. 34,700 1,958,121
Viacom, Inc. Class B 592,500 20,316,825
# Visteon Corp. 45,100 344,113
Wendy's International, Inc. 39,600 1,787,148
Whirlpool Corp. 23,300 1,603,040
Yum! Brands, Inc. 101,300 5,195,677
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Total Consumer Discretionary
(Cost $353,509,371) 430,410,641
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Consumer Staples -- (9.6%)
Alberto-Culver Co. Class B 29,400 1,303,302
# Albertson's, Inc. 127,900 2,684,621
# Altria Group, Inc. 718,900 48,266,946
Anheuser-Busch Companies, Inc. 270,000 12,649,500
Archer-Daniels-Midland Co. 216,500 4,297,525
Avon Products, Inc. 163,900 6,513,386
Brown-Forman Corp. Class B 31,300 1,866,106
Campbell Soup Co. 113,200 3,512,596
Clorox Co. 53,300 3,113,253
Coca-Cola Co. 787,200 35,132,736
Coca-Cola Enterprises, Inc. 122,500 2,680,300
Colgate-Palmolive Co. 182,600 9,124,522
ConAgra, Inc. 179,100 4,683,465
Costco Wholesale Corp. 164,200 7,457,964
CVS Corp. 139,100 7,629,635
General Mills, Inc. 126,800 6,276,600
Gillette Co. 344,500 18,168,930
Heinz (H.J.) Co. 121,600 4,422,592
Hershey Foods Corp. 76,000 4,879,960
Kellogg Co. 121,900 5,545,231
Kimberly-Clark Corp. 167,200 10,755,976
McCormick & Co., Inc. 47,100 1,593,864
Molson Coors Brewing Co. 28,000 1,637,160
Pepsi Bottling Group, Inc. 68,800 1,951,856
PepsiCo, Inc. 583,200 32,834,160
Procter & Gamble Co. 876,500 48,338,975
# Reynolds American, Inc. 40,500 3,357,855
* Safeway, Inc. 155,500 3,422,555
Sara Lee Corp. 274,300 5,565,547
Supervalu, Inc. 46,900 1,536,444
Sysco Corp. 221,300 8,223,508
* The Kroger Co. 254,400 4,266,288
UST, Inc. 57,400 2,557,744
# Walgreen Co. 354,900 16,091,166
Wal-Mart Stores, Inc. 1,177,200 55,599,156
Wrigley (Wm.) Jr. Co. 68,000 4,642,360
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Total Consumer Staples
(Cost $263,498,630) 392,583,784
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Energy -- (7.7%)
Amerada Hess Corp. 29,600 2,748,360
# Anadarko Petroleum Corp. 82,300 6,230,110
# Apache Corp. 113,500 6,669,260
Ashland, Inc. 23,100 1,577,730
Baker Hughes, Inc. 117,500 5,427,325
BJ Services Co. 56,400 2,839,740
Burlington Resources, Inc. 134,500 6,816,460
ChevronTexaco Corp. 731,200 39,323,936
ConocoPhillips 241,700 26,064,928
Devon Energy Corp. 166,500 7,642,350
# El Paso Corp. 223,600 2,312,024
EOG Resources, Inc. 83,100 4,145,859
Exxon Mobil Corp. 2,218,900 124,702,180
Halliburton Co. 175,300 7,492,322
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# Kerr-McGee Corp. 40,500 2,991,330
Kinder Morgan, Inc. 38,200 2,968,522
Marathon Oil Corp. 120,600 5,847,894
* Nabors Industries, Ltd. 49,200 2,711,412
* National-Oilwell, Inc. 58,300 2,623,500
# Noble Corp. 47,100 2,666,802
Occidental Petroleum Corp. 138,000 10,089,180
Rowan Companies, Inc. 37,200 1,023,000
Schlumberger, Ltd. 204,900 14,009,013
Sunoco, Inc. 24,100 2,471,937
The Williams Companies, Inc. 198,200 3,648,862
* # Transocean, Inc. 111,600 5,558,796
Unocal Corp. 94,000 5,357,060
Valero Energy Corp. 89,200 6,120,904
XTO Energy, Inc. 120,700 3,756,184
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Total Energy
(Cost $190,448,944) 315,836,980
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Utilities -- (3.0%)
* AES Corp. 225,500 3,357,695
* Allegheny Energy, Inc. 56,300 1,361,334
Ameren Corp. 67,900 3,705,982
American Electric Power Co., Inc. 133,200 4,753,908
* # Calpine Corp. 185,600 553,088
CenterPoint Energy, Inc. 100,500 1,232,130
Cinergy Corp. 66,500 2,741,795
* # CMS Energy Corp. 74,900 990,927
Consolidated Edison, Inc. 84,300 3,836,493
Constellation Energy Group 61,400 3,281,830
Dominion Resources, Inc. 118,400 8,324,704
DTE Energy Co. 60,500 2,876,170
# Duke Energy Corp. 325,900 8,955,732
* Dynegy, Inc. 115,000 534,750
Edison International 113,200 4,160,100
Entergy Corp. 74,100 5,322,603
Exelon Corp. 231,000 10,822,350
FirstEnergy Corp. 114,600 5,076,780
FPL Group, Inc. 135,900 5,524,335
KeySpan Corp. 60,100 2,388,374
Nicor, Inc. 15,300 604,350
NiSource, Inc. 94,300 2,272,630
Peoples Energy Corp. 13,200 564,300
PG&E Corp. 125,400 4,485,558
Pinnacle West Capital Corp. 33,700 1,486,844
# PPL Corp. 65,700 3,778,407
Progress Energy, Inc. 85,800 3,794,934
Public Service Enterprise Group, Inc. 82,900 4,600,950
Sempra Energy 82,800 3,284,676
Southern Co. 258,200 8,765,890
TECO Energy, Inc. 71,700 1,267,656
TXU Corp. 83,500 6,703,380
Xcel Energy, Inc. 139,400 2,569,142
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Total Utilities
(Cost $94,737,953) 123,979,797
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Telecommunication Services -- (2.9%)
Alltel Corp. 113,600 6,608,112
AT&T Corp. 278,100 5,225,499
BellSouth Corp. 636,400 17,030,064
CenturyTel, Inc. 46,700 1,531,293
# Citizens Communications Co. 116,600 1,590,424
* Nextel Communications, Inc. 391,500 11,815,470
* Qwest Communications International, Inc. 580,700 2,276,344
SBC Communications, Inc. 1,147,900 26,837,902
Sprint Corp. 513,600 12,167,184
Verizon Communications, Inc. 962,600 34,056,788
----------------
Total Telecommunication Services
(Cost $138,008,205) 119,139,080
----------------
Materials -- (2.7%)
Air Products & Chemicals, Inc. 79,100 4,764,193
Alcoa, Inc. 302,900 8,208,590
Allegheny Technologies, Inc. 31,100 661,186
Ball Corp. 38,200 1,434,410
Bemis Co., Inc. 37,200 1,010,352
Dow Chemical Co. 331,300 15,004,577
DuPont (E.I.) de Nemours & Co., Inc. 346,500 16,115,715
Eastman Chemical Co. 27,100 1,592,938
Ecolab, Inc. 76,700 2,479,711
Engelhard Corp. 42,400 1,246,560
Freeport-McMoRan Copper & Gold, Inc. Class B 62,100 2,192,130
Georgia-Pacific Corp. 90,300 2,992,542
Great Lakes Chemical Corp. 17,900 606,810
* Hercules, Inc. 38,900 537,598
International Flavors & Fragrances, Inc. 30,800 1,142,372
International Paper Co. 170,400 5,488,584
Louisiana-Pacific Corp. 38,500 969,430
# MeadWestavco Corp. 70,400 2,019,072
Monsanto Co. 92,500 5,272,500
Newmont Mining Corp. 154,300 5,746,132
Nucor Corp. 55,500 2,939,280
* Pactiv Corp. 51,600 1,179,060
Phelps Dodge Corp. 33,600 2,936,640
# PPG Industries, Inc. 60,200 3,936,478
Praxair, Inc. 112,100 5,254,127
Rohm & Haas Co. 67,600 3,153,540
* Sealed Air Corp. 29,000 1,501,910
Sigma-Aldrich Corp. 23,900 1,431,849
Temple-Inland, Inc. 39,800 1,421,656
United States Steel Corp. 39,600 1,574,892
Vulcan Materials Co. 35,800 2,145,494
Weyerhaeuser Co. 84,400 5,414,260
----------------
Total Materials
(Cost $84,499,322) 112,374,588
----------------
Real Estate Investment Trusts -- (0.5%)
Apartment Investment & Management Co. Class A 33,300 1,235,430
Archstone-Smith Trust 69,500 2,558,990
Equity Office Properties Trust 140,100 4,551,849
Equity Residential 98,300 3,528,970
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Plum Creek Timber Co., Inc. 63,900 2,239,695
# ProLogis 64,000 2,613,760
Simon Property Group, Inc. 76,800 5,277,696
----------------
Total Real Estate Investment Trusts 22,006,390
----------------
(Cost $18,025,834)
TOTAL COMMON STOCKS 3,790,639,093
----------------
(Cost $2,910,156,654)
FACE
AMOUNT VALUE+
---------------- ----------------
(000)
TEMPORARY CASH INVESTMENTS -- (7.6%)
^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.92%, 06/01/05
(Collateralized by $512,215,000 U.S. STRIPS, rates ranging from 7.50%
to 11.75%, maturities ranging from 11/15/14 to 11/15/24, valued at
$239,637,495) to be repurchased at $234,956,078 (Cost $234,937,022) $ 234,937 234,937,022
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $77,493,000 FHLMC Notes 4.00%, 09/22/09, valued at
$77,589,866) to be repurchased at $76,449,137 (Cost $76,443,000) 76,443 76,443,000
----------------
311,380,022
----------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $311,380,022) 311,380,022
----------------
TOTAL INVESTMENTS - (100.0%)
(Cost $3,221,536,676) $ 4,102,019,115
================
----------
+ See Note B to Financial Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
11
THE U.S. LARGE CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
[Enlarge/Download Table]
SHARES VALUE+
---------------- ----------------
COMMON STOCKS -- (95.5%)
Consumer Discretionary -- (28.1%)
American Greetings Corp. Class A 177,600 $ 4,614,048
* AutoNation, Inc. 2,057,600 41,131,424
* Barnes & Noble, Inc. 176,400 6,676,740
Belo Corp. Class A 362,300 8,905,334
* Big Lots, Inc. 253,500 3,209,310
# Blockbuster, Inc. Class A 83,900 766,007
Borders Group, Inc. 34,000 859,860
BorgWarner, Inc. 201,600 10,777,536
* Caesars Entertainment, Inc. 845,900 18,229,145
* Cavco Industries, Inc. 22,900 616,239
Circuit City Stores, Inc. 586,200 9,607,818
Clear Channel Communications, Inc. 1,942,666 56,784,127
* Comcast Corp. Class A 3,966,525 127,722,105
* Comcast Corp. Special Class A Non-Voting 927,100 29,333,444
Dana Corp. 511,600 6,932,180
Dillards, Inc. Class A 286,000 6,841,120
Disney (Walt) Co. 906,600 24,877,104
# Federated Department Stores, Inc. 618,200 41,697,590
Foot Locker, Inc. 90,400 2,387,464
Ford Motor Co. 5,892,000 58,802,160
# General Motors Corp. 1,913,900 60,345,267
* # Goodyear Tire & Rubber Co. 203,900 2,934,121
Hearst-Argyle Television, Inc. 238,600 5,955,456
Hollinger International, Inc. Class A 257,600 2,382,800
Horton (D.R.), Inc. 1,091,829 37,744,529
* # IAC/InterActiveCorp 2,346,703 57,494,223
Lear Corp. 227,800 8,588,060
* Liberty Media Corp. Class A 9,460,100 98,290,439
* Liberty Media International, Inc. Class A 313,805 13,151,568
May Department Stores Co. 446,600 17,042,256
* MGM Mirage 734,400 27,973,296
News Corp. Class A 44,676 720,624
# OfficeMax, Inc. 354,300 10,753,005
Penney (J.C.) Co., Inc. 1,120,000 55,731,200
Pulte Homes, Inc. 248,400 18,990,180
* Radio One, Inc. 55,000 694,100
Saks, Inc. 743,200 12,738,448
* Sears Holdings Corp. 173,929 25,515,384
Service Corp. International 311,600 2,361,928
Starwood Hotels & Resorts Worldwide, Inc. 548,600 30,705,142
* The DIRECTV Group, Inc. 481,937 7,195,319
* Time Warner, Inc. 10,059,480 175,034,952
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* Toys R Us, Inc. 819,300 21,465,660
Tribune Co. 1,182,400 42,779,232
* # Univision Communications, Inc. Class A 932,900 24,824,469
Viacom, Inc. Class B 5,017,000 172,032,930
----------------
Total Consumer Discretionary
(Cost $1,294,572,123) 1,394,215,343
----------------
Financials -- (26.1%)
A.G. Edwards, Inc. 199,100 8,224,821
* Allmerica Financial Corp. 179,700 6,275,124
# Allstate Corp. 1,791,600 104,271,120
AMBAC Financial Group, Inc. 23,200 1,673,880
American Financial Group, Inc. 280,200 9,084,084
American National Insurance Co. 57,800 6,670,120
* AmeriCredit Corp. 395,300 9,831,111
AmerUs Group Co. 124,600 5,929,714
Astoria Financial Corp. 60,750 1,673,055
Bank of Hawaii Corp. 327,500 15,959,075
# Bear Stearns Companies, Inc. 373,770 37,018,181
Chubb Corp. 428,000 36,050,440
Cincinnati Financial Corp. 658,116 25,975,839
* CNA Financial Corp. 919,500 25,359,810
Commerce Group, Inc. 93,100 5,548,760
Commercial Federal Corp. 98,900 2,473,489
Countrywide Financial Corp. 1,639,998 60,958,726
Fidelity National Financial, Inc. 520,800 18,743,592
First American Corp. 330,100 12,774,870
First Citizens BancShares, Inc. 10,300 1,344,459
Hartford Financial Services Group, Inc. 868,200 64,932,678
Hibernia Corp. 274,500 8,825,175
Independence Community Bank Corp. 300,500 11,262,740
* Instinet Group, Inc. 15,200 80,256
Janus Capital Group, Inc. 796,800 12,238,848
JPMorgan Chase & Co. 2,244,400 80,237,300
KeyCorp 941,600 30,846,816
* LaBranche & Co., Inc. 19,700 108,941
Lehman Brothers Holdings, Inc. 227,800 21,003,160
Lincoln National Corp. 620,400 28,246,812
Loews Corp. 636,800 47,951,040
MBIA, Inc. 498,050 27,855,937
MetLife, Inc. 2,623,300 116,999,180
MGIC Investment Corp. 335,500 20,579,570
Nationwide Financial Services, Inc. 208,500 7,960,530
# New York Community Bancorp, Inc. 327,700 5,970,694
# Odyssey Re Holdings Corp. 50,500 1,217,555
Old Republic International Corp. 635,412 15,796,342
PMI Group, Inc. 346,300 13,090,140
Principal Financial Group, Inc. 1,075,700 42,909,673
Protective Life Corp. 227,500 9,143,225
* Providian Financial Corp. 483,100 8,608,842
Prudential Financial, Inc. 1,731,800 109,640,258
Radian Group, Inc. 316,400 14,516,432
Reinsurance Group of America, Inc. 199,600 9,131,700
Safeco Corp. 486,400 26,173,184
South Financial Group, Inc. 54,300 1,479,675
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Sovereign Bancorp, Inc. 842,320 18,800,582
StanCorp Financial Group, Inc. 104,200 7,799,370
The St. Paul Travelers Companies, Inc. 2,390,826 90,564,489
Torchmark Corp. 127,200 6,709,800
Transatlantic Holdings, Inc. 9,400 536,834
UnionBanCal Corp. 86,600 5,435,882
Unitrin, Inc. 223,800 11,143,002
UnumProvident Corp. 1,048,489 19,250,258
Wesco Financial Corp. 13,540 4,851,111
----------------
Total Financials
(Cost $932,265,029) 1,297,738,301
----------------
Energy -- (8.6%)
Amerada Hess Corp. 318,532 29,575,696
# Anadarko Petroleum Corp. 815,878 61,761,965
# Apache Corp. 129,990 7,638,212
# Ashland, Inc. 297,600 20,326,080
# Chesapeake Energy Corp. 361,000 7,389,670
ConocoPhillips 220,400 23,767,936
# Diamond Offshore Drilling, Inc. 313,641 14,819,537
* Forest Oil Corp. 214,600 8,532,496
Helmerich & Payne, Inc. 146,800 6,087,796
# Kerr-McGee Corp. 431,426 31,865,124
Marathon Oil Corp. 1,061,450 51,469,710
Occidental Petroleum Corp. 650,800 47,579,988
Overseas Shipholding Group, Inc. 86,500 5,285,150
Pogo Producing Co. 209,700 10,367,568
* Pride International, Inc. 366,700 8,269,085
Sunoco, Inc. 298,800 30,647,916
Tidewater, Inc. 217,700 7,532,420
Valero Energy Corp. 776,800 53,304,016
----------------
Total Energy
(Cost $225,588,682) 426,220,365
----------------
Industrials -- (8.3%)
* # AGCO Corp. 275,400 5,056,344
* Allegheny Corp. 18,292 5,126,333
* Allied Waste Industries, Inc. 1,180,900 9,104,739
Burlington Northern Santa Fe Corp. 1,283,000 63,405,860
Cendant Corp. 1,166,500 24,741,465
CSX Corp. 773,900 32,178,762
Curtiss-Wright Corp. 27,130 1,483,468
* # Delta Air Lines, Inc. 402,500 1,549,625
Florida East Coast Industries, Inc. 30,500 1,282,830
IKON Office Solutions, Inc. 329,600 3,193,824
* Laidlaw International, Inc. 160,200 3,562,848
Norfolk Southern Corp. 1,541,200 49,195,104
Northrop Grumman Corp. 1,320,242 73,563,884
* PHH Corp. 15,590 374,004
Raytheon Co. 1,311,300 51,350,508
Ryder System, Inc. 275,400 10,118,196
Steelcase, Inc. Class A 49,000 632,100
Textron, Inc. 123,000 9,506,670
* Thomas & Betts Corp. 46,900 1,448,272
Union Pacific Corp. 950,700 63,658,872
----------------
Total Industrials
(Cost $322,613,101) 410,533,708
----------------
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Information Technology -- (5.9%)
* 3Com Corp. 1,041,900 3,813,354
* Advanced Micro Devices, Inc. 504,800 8,278,720
* Agere Systems, Inc. Class A 22,101 300,582
* Andrew Corp. 582,400 7,722,624
* Applied Micro Circuits Corp. 213,200 611,884
* Arrow Electronics, Inc. 402,900 11,261,055
* Avnet, Inc. 436,600 9,133,672
AVX Corp. 364,500 4,330,260
* CheckFree Corp. 49,700 1,855,301
* Ciena Corp. 489,600 1,067,328
* Computer Sciences Corp. 661,100 30,615,541
* Compuware Corp. 956,430 6,551,546
* Comverse Technology, Inc. 111,500 2,623,595
* Corning, Inc. 998,300 15,653,344
Electronic Data Systems Corp. 1,851,700 36,478,490
* GameStop Corp. Class B 9,432 253,155
Hewlett-Packard Co. 1,407,700 31,687,327
* Ingram Micro, Inc. 608,300 9,617,223
Intersil Corp. 570,400 10,700,704
* JDS Uniphase Corp. 1,095,700 1,676,421
* LSI Logic Corp. 1,347,970 9,921,059
* Lucent Technologies, Inc. 1,193,800 3,354,578
* Micron Technology, Inc. 2,163,300 23,753,034
* Sanmina-SCI Corp. 1,864,500 9,564,885
* Solectron Corp. 1,566,700 5,718,455
* Sun Microsystems, Inc. 2,143,700 8,167,497
* Tech Data Corp. 219,000 7,862,100
* Tellabs, Inc. 1,630,656 13,403,992
* Unisys Corp. 198,000 1,433,520
* # VeriSign, Inc. 166,300 5,379,805
* Vishay Intertechnology, Inc. 626,916 8,087,216
* Vitesse Semiconductor, Inc. 2,800 7,000
* Xerox Corp. 75,000 1,017,750
----------------
Total Information Technology
(Cost $275,612,074) 291,903,017
----------------
Health Care -- (5.4%)
Aetna, Inc. 1,079,252 84,192,449
AmerisourceBergen Corp. 308,900 19,945,673
* Human Genome Sciences, Inc. 23,900 269,592
* Humana, Inc. 461,200 16,769,232
* Invitrogen Corp. 124,900 9,908,317
McKesson Corp. 653,300 26,308,391
* Medco Health Solutions, Inc. 690,100 34,505,000
* Millennium Pharmaceuticals, Inc. 1,158,100 9,693,297
* PacifiCare Health Systems, Inc. 243,400 15,292,822
* Tenet Healthcare Corp. 1,547,300 18,753,276
* Thermo Electron Corp. 239,900 6,314,168
* Triad Hospitals, Inc. 234,100 11,873,552
* Watson Pharmaceuticals, Inc. 389,900 11,720,394
* WebMD Corp. 25,800 243,294
----------------
Total Health Care
(Cost $147,902,837) 265,789,457
----------------
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Materials -- (5.1%)
Bowater, Inc. 199,600 6,267,440
Eastman Chemical Co. 24,200 1,422,476
Georgia-Pacific Corp. 974,200 32,284,988
International Paper Co. 1,215,775 39,160,113
LaFarge North America, Inc. 257,500 15,545,275
Louisiana-Pacific Corp. 385,300 9,701,854
Lubrizol Corp. 182,000 7,165,340
Lyondell Chemical Co. 308,300 7,319,042
# MeadWestavco Corp. 758,431 21,751,801
* Owens-Illinois, Inc. 314,400 8,083,224
Phelps Dodge Corp. 287,085 25,091,229
* Smurfit-Stone Container Corp. 959,126 10,425,700
Temple-Inland, Inc. 262,600 9,380,072
Valhi, Inc. 158,500 2,938,590
Weyerhaeuser Co. 860,700 55,213,905
Worthington Industries, Inc. 133,200 2,232,432
----------------
Total Materials
(Cost $214,260,843) 253,983,481
----------------
Consumer Staples -- (4.1%)
# Albertson's, Inc. 1,316,400 27,631,236
Archer-Daniels-Midland Co. 2,475,260 49,133,911
Coca-Cola Enterprises, Inc. 1,874,800 41,020,624
Corn Products International, Inc. 186,400 4,117,576
Kraft Foods, Inc. 312,800 10,147,232
PepsiAmericas, Inc. 192,000 4,650,240
# Reynolds American, Inc. 251,326 20,837,439
* Rite Aid Corp. 969,800 3,840,408
* Smithfield Foods, Inc. 157,600 4,701,208
Supervalu, Inc. 565,200 18,515,952
Tyson Foods, Inc. Class A 912,556 16,845,784
Weis Markets, Inc. 20,800 764,192
----------------
Total Consumer Staples
(Cost $146,694,245) 202,205,802
----------------
Telecommunication Services -- (3.5%)
* American Tower Corp. 294,600 5,314,584
AT&T Corp. 2,206,280 41,456,001
* Crown Castle International Corp. 468,900 8,337,042
* # Level 3 Communications, Inc. 195,500 406,640
* Qwest Communications International, Inc. 2,000,600 7,842,352
SBC Communications, Inc. 1,613,100 37,714,278
Sprint Corp. 2,161,500 51,205,935
Telephone & Data Systems, Inc. 177,800 6,889,750
* Telephone & Data Systems, Inc. Special Shares 177,800 6,756,400
* United States Cellular Corp. 167,200 7,865,088
----------------
Total Telecommunication Services
(Cost $181,272,270) 173,788,070
----------------
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Utilities -- (0.4%)
Alliant Energy Corp. 212,900 5,876,040
Questar Corp. 251,000 15,823,040
----------------
Total Utilities
(Cost $10,735,877) 21,699,080
----------------
TOTAL COMMON STOCKS
(Cost $3,751,517,081) 4,738,076,624
----------------
FACE
AMOUNT VALUE+
---------------- ----------------
(000)
TEMPORARY CASH INVESTMENTS -- (4.5%)
^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.92%, 06/01/05
(Collateralized by $255,811,000 U.S. STRIPS, rates ranging from 7.500%
to 9.875%, maturities ranging from 11/15/15 to 11/15/24, valued at
$162,719,199) to be repurchased at $159,540,395 (Cost $159,527,456) $ 159,527 159,527,456
Repurchase Agrrement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $67,131,000 FHLMC Notes 4.00%, 09/22/09, valued at
$67,214,914) to be repurchased at $66,226,316 (Cost $66,221,000) 66,221 66,221,000
----------------
225,748,456
----------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $225,748,456) 225,748,456
----------------
TOTAL INVESTMENTS - (100.0%)
(Cost $3,977,265,537) $ 4,963,825,080
================
----------
+ See Note B to Financial Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
6
THE U.S. SMALL CAP SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
[Download Table]
SHARES VALUE+
---------------- ----------------
COMMON STOCKS -- (94.8%)
Information Technology -- (19.9%)
* 24/7 Real Media, Inc. 3,180 $ 9,667
* 3Com Corp. 14,400 52,704
* # 8X8, Inc. 19,200 37,056
* Access Integrated Technologies, Inc. 1,000 6,300
* # ACE*COMM Corp. 7,500 15,900
* Actel Corp. 66,135 978,137
* ActivCard Corp. 110,943 457,085
* Actuate Corp. 163,700 350,318
* Adaptec, Inc. 286,800 1,141,464
* ADDvantage Technologies Group, Inc. 4,200 13,146
* ADE Corp. 13,300 298,319
* Adept Technology, Inc. 1,400 11,270
Adtran, Inc. 86,129 1,892,254
* Advanced Digital Information Corp. 162,800 1,118,436
* Advanced Energy Industries, Inc. 88,064 840,131
* # Advanced Photonix, Inc. 9,000 19,800
* Advanced Power Technology, Inc. 26,695 172,183
* Advent Software, Inc. 87,885 1,762,973
* Aehr Test Systems 7,100 21,442
* Aeroflex, Inc. 194,750 1,558,000
* Aetrium, Inc. 9,300 23,994
* Agile Software Corp. 137,671 887,978
Agilysys, Inc. 83,888 1,290,197
* Airspan Networks, Inc. 101,300 484,214
* Akamai Technologies, Inc. 82,588 1,159,536
Allen Organ Co. Class B 800 44,540
* Alliance Semiconductor Corp. 94,300 158,424
* Allied Motion Technologies, Inc. 2,900 13,862
* Alpha Technologies Group, Inc. 7,100 320
* Altiris, Inc. 72,700 1,366,760
American Software, Inc. Class A 54,205 279,698
* American Technical Ceramics Corp. 8,000 83,520
* Amistar Corp. 1,600 4,832
* Amkor Technology, Inc. 446,050 1,583,478
* Ampex Corp. Class A 5,925 210,338
* Amtech Systems, Inc. 1,900 11,381
* Anadigics, Inc. 82,200 134,808
* Analex Corp. 37,500 122,625
* Analysts International Corp. 62,486 205,579
* Analytical Surveys, Inc. 730 1,175
* Anaren, Inc. 50,100 593,184
* Anixter International, Inc. 101,100 3,822,591
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* Ansoft Corp. 30,839 687,710
* AnswerThink, Inc. 116,025 459,459
* Ansys, Inc. 81,888 2,730,146
* Anteon International Corp. 97,700 4,317,363
* APA Enterprises, Inc. 11,800 18,644
* Apogee Technology, Inc. 5,400 6,534
* Applied Films Corp. 37,961 1,021,151
* Applied Innovation, Inc. 15,100 73,537
* Applied Micro Circuits Corp. 358,000 1,027,460
* Applix, Inc. 26,500 127,730
* Apropos Technology, Inc. 46,200 118,734
* aQuantive, Inc. 161,325 2,482,792
* # Ardent Communications, Inc. 12,900 13
* Ariba, Inc. 164,121 1,006,062
* Arris Group, Inc. 236,500 2,048,090
* Art Technology Group, Inc. 121,085 130,772
* # Artisoft, Inc. 2,400 3,960
* ASA International, Ltd. 640 2,016
* Ask Jeeves, Inc. 129,700 3,944,177
* Aspect Communications Corp. 156,883 1,506,077
* # Aspen Technology, Inc. 92,664 485,559
* Astea International, Inc. 2,900 21,431
Astro-Med, Inc. 9,830 86,013
* Asyst Technologies, Inc. 104,400 439,524
* Atari, Inc. 315,361 778,942
* ATMI, Inc. 84,833 2,383,807
* August Technology Corp. 44,500 505,965
* Authentidate Holding Corp. 89,400 262,836
* autobytel.com, Inc. 91,700 445,662
* # Avanex Corp. 349,695 353,192
* # Avici Systems, Inc. 33,643 150,048
* Avocent Corp. 62,819 1,758,932
* Aware, Inc. 60,459 399,029
* Axcelis Technologies, Inc. 269,900 1,794,835
* Axesstel, Inc. 50,200 187,246
* # AXS-One, Inc. 73,700 123,816
* AXT, Inc. 38,700 48,762
* Bankrate, Inc. 7,000 127,890
* BearingPoint, Inc. 12,500 81,875
BEI Technologies, Inc. 40,200 1,033,542
Bel Fuse, Inc. Class A 2,600 65,754
Bel Fuse, Inc. Class B 7,650 228,735
Belden CDT, Inc. 83,439 1,678,793
* Bell Industries, Inc. 8,900 19,669
* Bell Microproducts, Inc. 74,731 612,794
* Benchmark Electronics, Inc. 111,600 3,534,372
* BindView Development Corp. 125,800 392,496
* Bitstream, Inc. 8,400 23,184
Black Box Corp. 45,300 1,557,414
* Blonder Tongue Laboratories, Inc. 9,800 28,420
* Blue Coat Systems, Inc. 32,886 638,317
Bogen Communications International, Inc. 12,500 59,688
* # Bookham, Inc. 28,147 78,812
* Borland Software Corp. 209,200 1,338,880
* Bottomline Technologies, Inc. 46,306 628,835
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* Brightpoint, Inc. 52,600 988,880
* # BroadVision, Inc. 86,077 120,508
* Brocade Communications Systems, Inc. 90,424 353,558
* Brooks Automation, Inc. 121,539 1,832,808
* Brooktrout, Inc. 34,407 343,038
* Cabot Microelectronics Corp. 66,700 2,089,711
* CalAmp Corp. 57,928 382,325
* California Micro Devices Corp. 57,600 276,480
* Callidus Software 32,000 110,400
* CAM Commerce Solutions, Inc. 3,000 47,220
* Canterbury Consulting Group, Inc. 1,571 511
* Captaris, Inc. 78,928 285,719
* Captiva Software Corp. 7,660 102,797
* Carreker Corp. 21,871 114,823
* Carrier Access Corp. 88,789 427,963
* Catalyst Semiconductor, Inc. 47,440 215,378
* Catapult Communications Corp. 38,891 547,196
* CCC Information Services Group, Inc. 57,848 1,352,486
* C-COR, Inc. 123,600 850,368
* CDC Corp. 4,282 10,705
Celeritek, Inc. 28,400 23,288
* CellStar Corp. 53,118 69,053
* Centillium Communications, Inc. 100,889 220,947
* Centra Software, Inc. 71,644 123,228
* # Cenuco, Inc. 32,600 107,906
* CEVA, Inc. 36,896 268,603
* Checkpoint Systems, Inc. 103,600 1,825,432
* Cherokee International Corp. 16,842 69,221
* Chordiant Software, Inc. 173,200 296,172
* # Chyron Corp. 23,000 8,050
* Ciber, Inc. 164,412 1,339,958
* Ciena Corp. 66,100 144,098
* Ciprico, Inc. 4,900 21,315
* Cirrus Logic, Inc. 220,918 1,144,355
* Clarus Corp. 33,800 260,260
* ClearOne Communications, Inc. 11,000 36,740
* CMGI, Inc. 124,200 270,756
* CNET Networks, Inc. 373,500 3,876,930
Cognex Corp. 124,600 3,234,616
* Cognitronics Corp. 4,250 16,065
* Coherent, Inc. 80,078 2,628,961
Cohu, Inc. 56,798 1,091,658
* Comarco, Inc. 10,200 81,498
* # Commerce One, Inc. 45,000 5,670
* CommScope, Inc. 145,500 2,461,860
Communications Systems, Inc. 8,200 82,820
* Competitive Technologies, Inc. 6,100 66,734
* Computer Horizons Corp. 37,400 108,460
* Computer Network Technology Corp. 68,110 340,550
* Computer Task Group, Inc. 37,600 131,600
* Comtech Telecommunications Corp. 55,800 2,018,286
* Concord Communications, Inc. 49,400 835,848
* Concur Technologies, Inc. 86,603 830,523
* Concurrent Computer Corp. 151,900 276,458
* Conexant Systems, Inc. 226,933 324,514
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* Convera Corp. 98,574 424,854
* # Copper Mountain Networks, Inc. 16,910 15,557
* Corillian Corp. 100,861 324,268
* Cosine Communications, Inc. 23,321 54,804
* Covansys Corp. 48,200 590,450
* # C-Phone Corp. 8,900 62
* Cray, Inc. 229,248 334,702
* Credence Systems Corp. 234,147 1,854,444
* # Critical Path, Inc. 16,400 7,708
* Crossroads Systems, Inc. 42,369 39,827
* CSG Systems International, Inc. 137,732 2,619,663
* CSP, Inc. 3,500 34,335
CTS Corp. 95,559 1,017,703
* # Cyberguard Corp. 79,385 509,652
* Cyberoptics Corp. 22,911 294,635
* Cybersource Corp. 89,800 602,558
* Cymer, Inc. 99,886 2,837,761
* Cypress Semiconductor Corp. 307,400 3,974,682
* Daktronics, Inc. 50,766 1,182,340
* Data I/O Corp. 7,600 22,040
* Data Systems & Software, Inc. 7,300 8,760
* Datalink Corp. 13,300 32,718
* Dataram Corp. 21,500 125,990
* Datastream Systems, Inc. 20,100 119,193
* DataTRAK International, Inc. 5,200 99,840
* Datawatch Corp. 4,132 17,354
* Delphax Technologies, Inc. 6,100 22,771
* Digi International, Inc. 59,526 698,240
* Digimarc Corp. 43,365 221,162
* Digital Insight Corp. 95,902 2,084,909
* Digital Lightwave, Inc. 378 185
* Digital River, Inc. 91,000 2,504,320
* Digital Theater Systems, Inc. 37,489 640,687
* Digitas, Inc. 234,156 2,592,107
* Diodes, Inc. 12,150 403,988
* Dionex Corp. 56,215 2,521,243
* Display Technologies, Inc. 11,330 9
* Ditech Communications Corp. 89,455 644,971
* DocuCorp International, Inc. 29,353 196,665
* Document Sciences Corp. 14,200 98,690
* Dot Hill Systems Corp. 113,460 602,473
* DoubleClick, Inc. 326,518 2,687,243
* DPAC Technologies Corp. 13,541 3,656
* DSP Group, Inc. 75,600 1,778,112
* DuraSwitch Industries, Inc. 10,500 15,603
* Dynamics Research Corp. 16,098 239,699
* E.piphany, Inc. 199,247 695,372
* EarthLink, Inc. 264,575 2,807,141
* EasyLink Services Corp. 7,969 7,810
* Echelon Corp. 104,806 720,017
* eCollege.com 58,575 605,080
* EDGAR Online, Inc. 45,684 132,027
* Edgewater Technology, Inc. 11,569 50,325
* EFJ, Inc. 9,100 64,610
* eFunds Corp. 128,506 2,598,391
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* Electro Scientific Industries, Inc. 68,993 1,237,734
* Electroglas, Inc. 56,200 193,890
* Electronics for Imaging, Inc. 137,900 2,620,100
* eLoyalty Corp. 6,700 33,165
* Embarcadero Technologies, Inc. 63,250 361,158
* EMCORE Corp. 121,961 484,185
* EMS Technologies, Inc. 28,274 381,699
* Emulex Corp. 206,800 3,908,520
* En Pointe Technologies, Inc. 6,500 17,875
* # Endwave Corp. 6,800 245,140
* Entegris, Inc. 191,838 1,860,829
* Enterrasys Networks, Inc. 378,100 351,633
* Entrust, Inc. 162,900 666,261
* Epicor Software Corp. 137,655 1,697,286
* EPIQ Systems, Inc. 46,450 759,458
* ePlus, Inc. 22,490 278,898
* Equinix, Inc. 60,920 2,321,052
* ESS Technology, Inc. 100,400 413,648
* Euronet Worldwide, Inc. 88,036 2,468,529
* Evans & Sutherland Computer Corp. 10,400 53,404
* Evolving Systems, Inc. 12,600 33,390
* Exar Corp. 108,108 1,556,755
* Excel Technology, Inc. 31,372 785,869
* Extended Systems, Inc. 11,100 37,851
* Extreme Networks, Inc. 315,821 1,443,302
* Ezenia! Inc. 200 530
* F5 Networks, Inc. 6,619 338,959
Factset Research Systems, Inc. 120,200 3,847,602
* # FalconStor Software, Inc. 122,705 896,974
* Fargo Electronics 32,700 590,235
* Faro Technologies, Inc. 36,260 1,008,753
* FEI Co. 86,558 1,802,138
* Filenet Corp. 107,480 2,994,393
* FindWhat.com 79,200 421,344
* Finisar Corp. 366,256 435,845
* Firstwave Technologies, Inc. 2,600 4,485
* FOCUS Enhancements, Inc. 3,132 2,349
* Forgent Networks, Inc. 64,800 116,640
* FormFactor, Inc. 97,362 2,533,359
* Forrester Research, Inc. 56,729 936,029
* Foundry Networks, Inc. 78,800 728,112
Frequency Electronics, Inc. 8,300 97,110
* FSI International, Inc. 77,900 292,904
* Gartner Group, Inc. 231,800 2,299,456
* Gartner, Inc. 50,500 496,920
* Gateway, Inc. 164,800 570,208
* Genesis Microchip, Inc. 79,062 1,308,476
* Gerber Scientific, Inc. 58,000 428,040
* Giga-Tronics, Inc. 4,600 18,630
* Glenayre Technologies, Inc. 139,427 446,166
* # Global e-Point, Inc. 3,008 9,084
* Global Imaging Systems, Inc. 61,056 1,940,970
* Globecomm Systems, Inc. 16,500 91,740
* # Glowpoint, Inc. 58,350 77,606
* GoRemote Internet Communications, Inc. 74,000 115,440
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* GTSI Corp. 22,020 180,124
* Halifax Corp. 1,000 3,860
* Harmonic, Inc. 187,846 1,170,281
* Hauppauge Digital, Inc. 8,800 33,880
* HEI, Inc. 7,600 23,184
Helix Technology Corp. 67,924 856,522
* HI/FN, Inc. 19,600 130,144
* HomeStore, Inc. 292,445 611,210
* Hutchinson Technology, Inc. 65,400 2,705,598
* Hypercom Corp. 135,100 857,885
* # HyperFeed Technologies, Inc. 1,450 2,683
* Hyperion Solutions Corp. 48,824 2,154,603
* # Ibis Technology Corp. 27,000 34,020
* iCAD, Inc. 3,600 12,780
* Identix, Inc. 253,512 1,391,781
* iGATE Capital Corp. 134,823 589,177
* # ImageWare Systems, Inc. 6,900 22,977
* I-many, Inc. 47,700 75,366
Imation Corp. 87,700 3,311,552
* Immersion Corp. 61,500 360,390
* Indus International, Inc. 34,900 78,525
* # Infocrossing, Inc. 52,491 575,301
* InFocus Corp. 102,689 427,186
* Informatica Corp. 226,800 1,945,944
* Information Architects Corp. 1,080 167
Inforte Corp. 28,500 97,755
* InfoSpace, Inc. 86,146 2,922,072
infoUSA, Inc. 138,305 1,670,724
* Innodata Isogen, Inc. 58,300 174,317
* Innovex, Inc. 49,800 168,324
* Insightful Corp. 6,300 20,790
* InsWeb Corp. 1,633 4,572
Integral Systems, Inc. 9,200 200,100
* Integral Vision, Inc. 2,200 3,520
* Integrated Circuit Systems, Inc. 85,408 1,809,796
* Integrated Device Technology, Inc. 273,313 3,342,618
* Integrated Silicon Solution, Inc. 94,694 620,246
* # Intelli-Check, Inc. 28,000 154,280
* Intellidata Technologies Corp. 45,578 15,497
* Intelligent Systems Corp. 4,500 9,360
* Intelligroup, Inc. 31,400 37,052
* # Intellisync Corp. 155,850 416,120
* Interactive Intelligence, Inc. 41,441 202,232
* Interdigital Communications Corp. 143,000 2,639,780
* Intergraph Corp. 87,400 2,743,486
* Interland, Inc. 41,810 79,439
* Interlink Electronics, Inc. 35,600 190,104
* # Intermix Media, Inc. 83,200 493,376
* International Microcomputer Software, Inc. 5,100 5,967
* Internet Commerce Corp. 4,000 6,480
* Internet Security Systems, Inc. 131,851 2,927,092
* Interphase Corp. 5,400 38,070
Inter-Tel, Inc. 69,300 1,422,729
* Intervoice, Inc. 95,818 858,529
* Interwoven, Inc. 105,307 838,244
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* Intest Corp. 8,600 30,865
* Intevac, Inc. 36,201 376,852
* Intrado, Inc. 44,810 573,120
* Intraware, Inc. 4,500 1,755
* IntriCon Corp. 4,750 9,025
* # Intrusion, Inc. 4,050 11,421
* Iomega Corp. 138,195 427,023
* iPass, Inc. 77,300 476,941
* # IPIX Corp. 4,350 11,615
* I-Sector Corp. 10,400 84,656
* # Island Pacific, Inc. 73,700 13,266
* Iteris, Inc. 6,520 17,148
* Itron, Inc. 55,000 2,261,050
* iVillage, Inc. 188,922 1,139,200
* Ixia 162,447 2,987,400
* IXYS Corp. 86,424 1,195,244
* j2 Global Communication, Inc. 65,732 2,305,879
* Jaco Electronics, Inc. 5,659 17,771
* JDA Software Group, Inc. 75,012 969,155
* JMAR Industries, Inc. 23,700 29,862
* Jupitermedia Corp. 87,569 1,598,134
* Keane, Inc. 161,264 2,164,163
Keithley Instruments, Inc. 36,900 543,537
* Kemet Corp. 225,023 1,575,161
* Key Tronic Corp. 8,600 31,648
* Keynote Systems, Inc. 18,600 215,760
* Kintera, Inc. 14,476 44,731
* Komag, Inc. 72,609 2,094,770
* Kopin Corp. 181,991 700,665
* Kronos, Inc. 69,500 3,138,620
* Kulicke & Soffa Industries, Inc. 133,634 776,414
Landauer, Inc. 23,300 1,138,205
* Lantronix, Inc. 15,000 20,550
* # LaserCard Corp. 29,724 178,344
* Lattice Semiconductor Corp. 285,451 1,204,603
* Lawson Software, Inc. 257,608 1,525,039
* LeCroy Corp. 31,613 520,350
* # Level 8 Systems, Inc. 3,729 216
* # Lexar Media, Inc. 205,597 1,032,097
Liberate Technologies, Inc. 106,300 32,953
* Lightbridge, Inc. 68,876 432,541
* Lightning Rod Software, Inc. 580 539
* LightPath Technologies, Inc. 1,850 4,810
* Lionbridge Technologies, Inc. 121,646 605,797
* Littlefuse, Inc. 58,600 1,762,688
* Logic Devices, Inc. 6,700 8,978
* LogicVision, Inc. 53,741 96,734
* Logility, Inc. 13,200 59,400
* LoJack Corp. 42,400 624,976
Lowrance Electronics, Inc. 6,692 138,859
* LTX Corp. 158,700 760,173
* Macrovision Corp. 129,293 2,716,446
* Magma Design Automation, Inc. 91,283 727,526
* MAI Systems Corp. 500 30
* Management Network Group, Inc. 57,200 134,420
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* Manatron, Inc. 1,102 10,436
* Manchester Technologies, Inc. 8,000 50,160
* Manhattan Associates, Inc. 77,494 1,645,973
* Manugistic Group, Inc. 190,000 342,000
* Mapinfo Corp. 52,999 660,368
* # Marchex, Inc. Class B 4,759 71,004
* MatrixOne, Inc. 134,044 612,581
* Mattson Technology, Inc. 133,745 1,045,886
Maximus, Inc. 55,400 1,899,666
* Maxtor Corp. 502,000 2,755,980
* Maxwell Technologies, Inc. 38,460 395,369
* McDATA Corp. 204,501 779,149
* MDI, Inc. 14,000 7,140
* Measurement Specialties, Inc. 12,900 250,260
* Mechanical Technology, Inc. 6,200 22,134
* MedQuist, Inc. 64,700 841,747
* Mentor Graphics Corp. 202,927 2,086,090
* Merix Corp. 49,513 358,969
* MetaSolv, Inc. 105,579 218,549
Methode Electronics, Inc. 34,100 407,154
* Metrologic Instruments, Inc. 56,200 778,932
* Micrel, Inc. 234,173 2,716,407
* Micro Linear Corp. 31,616 184,954
* Micromuse, Inc. 117,493 737,856
* Micros Systems, Inc. 98,104 4,412,718
* Microsemi Corp. 158,838 3,276,828
* MicroStrategy, Inc. 33,400 1,860,380
* Microtune, Inc. 147,547 652,158
* # Midway Games, Inc. 224,900 1,990,365
* Mindspeed Technologies, Inc. 262,730 375,704
* MIPS Technologies, Inc. 109,400 943,028
* Mitek Systems, Inc. 5,800 3,654
* MKS Instruments, Inc. 138,807 2,318,077
* Mobility Electronics, Inc. 73,840 649,792
* Mobius Management Systems, Inc. 17,100 105,507
Mocon, Inc. 5,500 52,250
* Moldflow Corp. 27,256 359,779
* Monolithic System Technology, Inc. 49,133 273,671
* Motive, Inc. 26,900 233,761
* MPS Group, Inc. 269,200 2,525,096
* MRO Software, Inc. 65,222 978,330
* MRV Communications, Inc. 270,781 500,945
* # MSC.Software Corp. 63,900 657,212
* MSGI Security Solutions, Inc. 942 6,830
* # MTI Technology Corp. 1,300 2,132
* MTM Technologies, Inc. 4,900 19,453
MTS Systems Corp. 51,887 1,655,714
* Mykrolis Corp. 108,700 1,466,363
* # Nanometrics, Inc. 45,794 516,556
* Napco Security Systems, Inc. 5,160 47,627
* Napster, Inc. 1,629 6,907
* Neoforma, Inc. 52,714 361,091
* NeoMagic Corp. 46,677 17,270
* NEON Systems, Inc. 8,600 26,660
* Neoware Systems, Inc. 42,000 425,040
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* Net Perceptions, Inc. 22,600 18,306
* Net2Phone, Inc. 115,300 184,480
* NETGEAR, Inc. 43,093 847,639
* Netguru, Inc. 17,200 17,888
* NetIQ Corp. 141,587 1,563,120
* NetManage, Inc. 10,442 66,307
* Netopia, Inc. 43,200 144,504
* NetRatings, Inc. 91,131 1,241,204
* Netscout System, Inc. 78,950 486,332
* Network Engines, Inc. 78,500 133,450
* Network Equipment Technologies, Inc. 64,900 362,791
* Newport Corp. 111,718 1,569,638
* NIC, Inc. 186,278 817,760
* Niku Corp. 36,000 541,440
* NMS Communications Corp. 142,200 462,150
* Novatel Wireless, Inc. 75,202 937,769
* Nu Horizons Electronics Corp. 43,900 258,132
* Nuance Communications, Inc. 66,500 313,215
* NumereX Corp. Class A 10,800 51,948
* NYFIX, Inc. 81,014 409,121
* O.I. Corp. 2,700 32,063
* # OmniVision Technologies, Inc. 147,200 2,328,704
* # Omtool, Ltd. 3,570 20,885
* ON Semiconductor Corp. 648,860 2,919,870
* Online Resources Corp. 50,800 494,792
* ONYX Software Corp. 38,850 130,148
* Open Solutions, Inc. 5,200 92,300
* Opent Technologies, Inc. 51,832 419,321
* OpenTV Corp. 39,946 111,449
* Openwave Systems, Inc. 176,422 2,743,362
* Oplink Communications, Inc. 53,100 79,119
* Opsware, Inc. 246,692 1,226,059
* OPTi, Inc. 11,600 19,488
* Optical Cable Corp. 13,300 59,318
* Optical Communication Products, Inc. 77,950 139,531
* OSI Systems, Inc. 42,200 628,780
* Overland Storage, Inc. 36,275 351,505
* OYO Geospace Corp. 10,600 173,437
* Packeteer, Inc. 87,600 1,039,812
* # PalmOne, Inc. 126,792 3,603,429
* PalmSource, Inc. 38,881 389,976
* Panavision, Inc. 3,600 19,800
* PAR Technology Corp. 7,800 223,470
* Paradyne Networks Corp. 111,455 219,566
* Parametric Technology Corp. 515,069 3,100,715
Park Electrochemical Corp. 50,950 1,182,040
* # Parkervision, Inc. 46,081 207,365
* Parlex Corp. 13,800 81,420
* # Path 1 Network Technologies, Inc. 17,600 70,400
* Paxar Corp. 103,100 1,816,622
* PC Connection, Inc. 63,650 325,252
* PC-Tel, Inc. 53,900 394,009
* PDF Solutions, Inc. 66,393 779,454
* PEC Solutions, Inc. 71,717 1,112,331
* Peerless Systems Corp. 24,300 87,966
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* Pegasus Solutions, Inc. 55,957 602,097
* Pegasystems, Inc. 91,238 544,691
* Pemstar, Inc. 73,200 86,376
* Perceptron, Inc. 22,768 148,675
* Performance Technologies, Inc. 33,200 223,436
* Pericom Semiconductor Corp. 68,736 550,575
* Pervasive Software, Inc. 56,639 262,239
* Pfsweb, Inc. 9 19
* Phoenix Technologies, Ltd. 64,336 522,408
* Photon Dynamics, Inc. 44,000 849,640
* Photronics, Inc. 84,600 1,948,338
* Pinnacle Systems, Inc. 170,500 1,007,655
* Pixelworks, Inc. 51,000 437,070
* Planar Systems, Inc. 37,400 300,696
* PLATO Learning, Inc. 58,366 445,916
* Plexus Corp. 110,200 1,515,250
* Plumtree Software, Inc. 1,504 6,918
* PLX Technology, Inc. 69,038 526,070
* PMC-Sierra, Inc. 7,800 68,406
* Porta Systems Corp. 300 45
* Portal Software, Inc. 98,020 193,099
* Power Intergrations, Inc. 80,700 1,922,274
* PowerCerv Corp. 1,755 983
* Powerwave Technologies, Inc. 263,145 2,402,514
* Presstek, Inc. 90,598 773,707
Printronix, Inc. 5,800 92,104
* Private Business, Inc. 945 1,531
* Procom Technology, Inc. 5,400 8,640
Programmers Paradise, Inc. 5,200 53,404
* Progress Software Corp. 95,000 2,771,150
* Proxim Corp. 6,726 2,152
QAD, Inc. 87,759 616,068
Quality Systems, Inc. 34,009 2,044,961
* Qualstar Corp. 5,500 20,625
* Quantum Corp. 262,800 683,280
* Quest Software, Inc. 251,077 3,320,493
* QuickLogic Corp. 68,600 299,782
* # Quokka Sports, Inc. 1,128 8
* Quovadx, Inc. 62,047 168,768
* Radiant Systems, Inc. 74,944 783,914
* RadiSys Corp. 50,862 822,439
* Radyne ComStream, Inc. 9,500 81,415
* Raindance Communictions, Inc. 97,696 200,277
* Rambus, Inc. 36,020 552,187
* Ramtron International Corp. 58,000 158,334
* RealNetworks, Inc. 444,519 2,271,492
* Redback Networks, Inc. 139,033 792,488
* Register.com, Inc. 44,100 275,625
* Reliability, Inc. 2,100 420
* Relm Wireless Corp. 7,600 17,860
* REMEC, Inc. 72,006 450,042
* Remote Dynamics, Inc. 276 428
Renaissance Learning, Inc. 80,215 1,585,851
* Research Frontiers, Inc. 700 3,052
* RF Micro Devices, Inc. 487,555 2,267,131
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* RF Monolithics, Inc. 19,600 123,480
Richardson Electronics, Ltd. 40,925 364,233
* Rimage Corp. 8,600 181,890
* Robotic Vision Systems, Inc. 3,480 111
* Rofin-Sinar Technologies, Inc. 39,177 1,265,417
* Rogers Corp. 43,600 1,804,604
* RSA Security, Inc. 180,844 2,224,381
* Rudolph Technologies, Inc. 43,700 630,154
* S1 Corp. 191,706 858,843
* Saba Software, Inc. 29,577 120,083
* Safeguard Scientifics, Inc. 208,000 205,920
* SafeNet, Inc. 62,104 1,951,308
* Sapient Corp. 323,394 2,716,510
* SatCon Technology Corp. 52,200 71,514
* SBE, Inc. 3,500 7,595
* SBS Technologies, Inc. 40,530 393,546
* ScanSoft, Inc. 270,653 1,098,851
* ScanSource, Inc. 32,800 1,610,152
* Schmitt Industries, Inc. 2,466 22,934
* Scientific Learning Corp. 4,400 26,268
* Scientific Technologies, Inc. 6,700 21,172
* SCM Microsystems, Inc. 40,063 118,987
* Seachange International, Inc. 73,000 576,700
* Secure Computing Corp. 64,074 718,910
* SeeBeyond Technology Corp. 222,875 664,168
* SEEC, Inc. 100 20
* Segue Software, Inc. 9,500 47,500
* Selectica, Inc. 78,760 249,669
* Semitool, Inc. 74,660 654,768
* Semtech Corp. 192,557 3,512,240
* SEMX Corp. 300 18
* Serena Software, Inc. 110,890 2,170,117
* # ServiceWare Technologies, Inc. 290 1,015
* SI International, Inc. 3,000 85,050
* # Sigma Designs, Inc. 54,500 430,550
* Sigmatron International, Inc. 2,200 23,430
* # Silicon Graphics, Inc. 348,800 282,528
* Silicon Image, Inc. 203,105 2,384,453
* Silicon Laboratories, Inc. 20,700 574,011
* Silicon Storage Technology, Inc. 221,300 761,272
* SimpleTech, Inc. 119,515 418,303
* Sipex Corp. 83,446 137,686
* Sirenza Microdevices, Inc. 90,840 292,505
* Skyworks Solutions, Inc. 387,593 2,453,464
* SM&A 52,600 460,776
* Smith Micro Software, Inc. 21,400 92,448
* Somera Communications, Inc. 59,150 82,219
* # Sonic Foundry, Inc. 42,300 54,144
* Sonic Solutions, Inc. 63,100 964,168
* SonicWALL, Inc. 185,800 1,148,244
* Sonus Networks, Inc. 54,057 240,554
SpectraLink Corp. 61,200 705,024
* Spectrum Control, Inc. 13,000 92,040
* SPSS, Inc. 27,637 483,095
* SRA International, Inc. 67,200 2,281,440
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* SRS Labs, Inc. 38,045 213,398
SS&C Technologies, Inc. 59,335 1,774,117
* Staktek Holdings, Inc. 26,861 73,599
* Standard Microsystems Corp. 47,672 775,147
StarTek, Inc. 36,200 504,990
* # STATS ChipPAC, Ltd. 127,537 920,817
* SteelCloud, Inc. 12,100 28,314
* Stellent, Inc. 70,600 534,442
* Stratasys, Inc. 27,000 873,720
* Stratex Networks, Inc. 187,728 328,524
* Stratos International, Inc. 34,736 149,712
* SumTotal Systems, Inc. 45,217 189,459
* Sunair Electronics, Inc. 3,000 27,630
Sunrise Telecom, Inc. 19,500 31,200
* Suntron Corp. 5,265 6,897
* Supertex, Inc. 34,000 591,260
* SupportSoft, Inc. 110,900 574,462
* Sybase, Inc. 190,100 3,878,040
* Sycamore Networks, Inc. 432,488 1,461,809
* Sykes Enterprises, Inc. 101,607 841,306
* Symmetricom, Inc. 119,867 1,352,100
* Synaptics, Inc. 68,320 1,313,794
* SYNNEX Corp. 200 3,164
* Synplicity, Inc. 65,575 400,008
Syntel, Inc. 104,807 1,641,278
* Taitron Components, Inc. 5,000 8,750
* Take-Two Interactive Software, Inc. 61,350 1,580,376
TALX Corp. 53,957 1,506,479
* Technical Communications Corp. 400 1,220
Technitrol, Inc. 104,400 1,370,772
* Technology Solutions Corp. 25,265 13,138
* TechTeam Global, Inc. 20,000 280,000
* Tegal Corp. 5,000 5,300
* Tekelec 166,600 2,267,426
* TeleCommunication Systems, Inc. 79,900 205,343
* # Telkonet, Inc. 114,600 481,320
* Telular Corp. 34,600 134,940
* Terayon Communication Systems, Inc. 193,900 614,663
* Tessco Technologies, Inc. 4,500 57,330
* Tessera Technologies, Inc. 7,600 223,744
* Therma-Wave, Inc. 91,190 142,256
* TheStreet.com, Inc. 64,125 198,788
* THQ, Inc. 102,034 2,845,728
* Three-Five Systems, Inc. 48,799 32,695
* Tier Technologies, Inc. Class B 58,200 514,488
* TII Network Technologies, Inc. 11,260 16,440
* Titan Corp. 203,300 4,472,600
* Tollgrade Communications, Inc. 33,491 253,862
* Track Data Corp. 3,218 7,080
* Transact Technologies, Inc. 8,550 84,047
* Transaction Systems Architects, Inc. 102,739 2,340,394
* Transcat, Inc. 6,100 28,243
* Trans-Industries, Inc. 1,400 868
* Transmeta Corp. 19,100 15,471
* # Transwitch Corp. 40,600 79,982
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* Trident Microsystems, Inc. 60,300 1,277,154
* Trio-Tech International 400 1,490
* Tripath Technology, Inc. 11,641 9,080
* Triquint Semiconductor, Inc. 332,294 1,126,477
Troy Group, Inc. 13,800 35,880
TSR, Inc. 4,400 25,758
* TTM Technologies, Inc. 106,300 844,022
* Tumbleweed Communications Corp. 124,795 274,549
* Tut Systems, Inc. 65,500 197,810
* Tyler Technologies, Inc. 107,300 698,523
* Ulticom, Inc. 112,030 1,030,676
* Ultimate Software Group, Inc. 57,701 918,600
* Ultradata Systems, Inc. 800 208
* Ultratech, Inc. 61,900 1,085,107
United Online, Inc. 157,003 2,031,619
* Universal Display Corp. 72,548 681,951
* Unova, Inc. 159,300 3,278,394
* # USDATA Corp. 2,820 197
* VA Software Corp. 141,800 239,642
* ValueClick, Inc. 210,900 2,260,848
* Varian Semiconductor Equipment Associates, Inc. 95,000 3,855,100
* Veeco Instruments, Inc. 76,100 1,146,827
* VendingData Corp. 2,100 3,990
* # Verilink Corp. 59,058 93,902
* Verint Systems, Inc. 65,594 2,295,790
* Verity, Inc. 101,600 866,648
* Versant Corp. 1,974 809
* Verso Technologies, Inc. 14,119 3,671
* Viasat, Inc. 69,791 1,416,059
* Vicon Industries, Inc. 4,600 13,570
Video Display Corp. 7,200 92,880
* Viewpoint Corp. 140,816 204,183
* Vignette Corp. 407,600 472,816
* # Viisage Technology, Inc. 123,095 526,847
* Virage Logic Corp. 57,327 632,890
* Vishay Intertechnology, Inc. 205,681 2,653,285
* Visual Networks, Inc. 31,900 41,151
* # Vitech America, Inc. 14,850 10
* Vitesse Semiconductor, Inc. 377,146 942,865
* Vitria Technology, Inc. 86,842 277,894
* Vodavi Technology, Inc. 4,300 23,822
* Vyyo, Inc. 38,700 239,166
* WatchGuard Technologies, Inc. 84,180 305,573
* Webb Interactive Services, Inc. 1,400 154
* WebEx Communications, Inc. 117,680 3,160,885
* webMethods, Inc. 116,402 585,502
* Websense, Inc. 61,700 3,313,907
* WebSideStory, Inc. 16,300 186,635
* Westell Technologies, Inc. 139,819 837,516
* White Electronics Designs Corp. 62,123 309,994
* Wind River Systems, Inc. 215,683 3,535,044
Wireless Telecom Group, Inc. 43,600 110,308
* Witness Systems, Inc. 69,700 1,211,386
* WJ Communications, Inc. 148,728 298,943
Woodhead Industries, Inc. 30,557 392,046
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* # WorldGate Communications, Inc. 6,500 32,897
X-Rite, Inc. 54,263 600,149
* Zhone Technologies, Inc. 210,262 569,810
* # Zix Corp. 82,926 272,827
* Zomax, Inc. 70,500 193,875
* Zones, Inc. 13,500 49,950
* Zoran Corp. 107,235 1,323,280
* Zygo Corp. 46,700 452,056
----------------
Total Information Technology
(Cost $570,506,769) 520,498,833
----------------
Consumer Discretionary -- (16.9%)
* 1-800 CONTACTS, Inc. 33,678 658,068
* 1-800-FLOWERS.COM, Inc. 75,920 562,567
* 4Kids Entertainment, Inc. 34,700 659,300
* 99 Cents Only Stores 180,700 2,190,084
* A.C. Moore Arts & Crafts, Inc. 52,900 1,574,304
Aaron Rents, Inc. 107,500 2,430,575
Aaron Rents, Inc. Class A 8,550 172,881
* Acme Communications, Inc. 43,100 170,676
Acme United Corp. 3,400 57,868
* ACT Teleconferencing, Inc. 8,913 5,259
Action Performance Companies, Inc. 50,200 467,362
* Advanced Marketing Services, Inc. 48,550 197,841
Advo, Inc. 80,450 2,497,972
* Aeropostale, Inc. 92,850 2,530,162
* AFC Enterprises, Inc. 39,800 1,014,900
* Aftermarket Technology Corp. 54,350 833,729
* Alderwoods Group, Inc. 8,800 121,880
Aldila, Inc. 5,733 133,235
* All American Semiconductor, Inc. 4,000 19,160
* Alliance Gaming Corp. 137,960 1,792,100
* Alloy, Inc. 71,200 365,968
Ambassadors Group, Inc. 9,800 354,270
* Amcast Industrial Corp. 8,400 164
American Axle & Manufacturing Holdings, Inc. 127,700 2,643,390
* American Biltrite, Inc. 3,400 31,960
American Greetings Corp. Class A 82,300 2,138,154
* America's Car-Mart, Inc. 29,400 629,160
Ameristar Casinos, Inc. 73,236 3,759,936
* AMS Health Sciences, Inc. 10,600 18,974
Andersons, Inc. 8,200 268,960
* Applica, Inc. 55,400 158,444
* Arbitron, Inc. 9,400 379,196
Arctic Cat, Inc. 35,530 767,448
* Argosy Gaming Corp. 64,800 3,004,776
Ark Restaurants Corp. 2,700 73,332
* Arlington Hospitality, Inc. 4,900 6,125
ArvinMeritor, Inc. 800 11,520
* Asbury Automotive Group, Inc. 169,700 2,494,590
* Ashworth, Inc. 36,871 353,962
* Audiovox Corp. Class A 52,000 760,760
* # Avatar Holdings, Inc. 8,700 416,730
* Aztar Corp. 93,500 2,986,390
* Ballantyne of Omaha, Inc. 11,900 51,765
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* # Bally Total Fitness Holding Corp. 88,600 269,344
Bandag, Inc. 23,100 1,069,068
Bandag, Inc. Class A 9,600 400,800
* Barry (R.G.) Corp. 9,500 42,750
Bassett Furniture Industries, Inc. 30,904 603,555
* Beasley Broadcast Group, Inc. 19,233 309,267
* Benihana, Inc. 1,000 14,600
* Benihana, Inc. Class A 150 2,218
* Big Dog Holdings, Inc. 1,500 10,155
* Big Lots, Inc. 292,600 3,704,316
* BJ's Restaurants, Inc. 50,992 938,253
Blair Corp. 21,300 831,765
# Blockbuster, Inc. Class A 113,400 1,035,342
* Blount International, Inc. 117,300 2,071,518
* Bluegreen Corp. 78,865 1,329,664
Blyth, Inc. 107,400 3,043,716
Bob Evans Farms, Inc. 92,038 2,153,689
* Bombay Co., Inc. 98,800 526,604
* Bontex, Inc. 200 12
Bon-Ton Stores, Inc. 35,014 632,703
Books-A-Million, Inc. 18,300 154,086
Boston Acoustics, Inc. 4,600 68,356
* Boyds Collection, Ltd. 152,817 334,669
* Bright Horizons Family Solutions, Inc. 13,200 488,532
* # Brillian Corp. 10,369 32,351
* Broadview Media, Inc. 200 800
* Brookstone, Inc. 54,892 1,105,525
Brown Shoe Company, Inc. 47,000 1,649,700
* Buca, Inc. 52,486 267,679
Buckle, Inc. 30,000 1,183,800
Building Materials Holding Corp. 37,421 2,321,225
* Bull Run Corp. 3,100 2,232
Burlington Coat Factory Warehouse Corp. 117,549 3,896,749
* CabelTel International Corp. 674 3,404
* Cache, Inc. 40,655 531,767
Cadmus Communications Corp. 8,900 141,510
* California Coastal Communities, Inc. 10,000 295,900
* California Pizza Kitchen, Inc. 51,312 1,231,488
Callaway Golf Co. 198,300 2,318,127
* Calloway's Nursery, Inc. 1,200 246
* Candie's, Inc. 75,295 399,816
* Candlewood Hotel Co., Inc. 1,500 90
* Capital Pacific Holdings, Inc. 14,500 59,740
Carmike Cinemas, Inc. 32,228 1,054,178
* Carriage Services, Inc. 46,200 271,656
* Carter's, Inc. 6,300 293,895
* Casual Male Retail Group, Inc. 88,908 626,801
* Catalina Lighting, Inc. 1,760 14,520
Catalina Marketing Corp. 136,000 3,264,000
Cato Corp. Class A 54,700 1,578,642
* Cavalier Homes, Inc. 46,760 170,674
* Cavco Industries, Inc. 7,704 207,315
* CD Warehouse, Inc. 3,300 11
* CEC Entertainment, Inc. 94,450 3,829,947
* Champion Enterprises, Inc. 195,900 1,906,107
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* Championship Auto Racing Teams, Inc. 8,900 1,468
* Champps Entertainment, Inc. 32,640 262,752
* Charles and Colvard, Ltd. 36,308 734,148
* Charlotte Russe Holding, Inc. 56,200 671,590
* Charming Shoppes, Inc. 312,168 2,818,877
* # Charter Communications, Inc. 482,485 550,033
* Chaus (Bernard), Inc. 1,300 1,066
* Checkers Drive-In Restaurants, Inc. 29,107 418,850
Cherokee, Inc. 8,100 286,092
Christopher & Banks Corp. 96,413 1,764,358
* Chromcraft Revington, Inc. 6,000 72,000
Churchill Downs, Inc. 14,400 620,064
CKE Restaurants, Inc. 150,100 2,476,650
Coachmen Industries, Inc. 42,400 519,400
Coast Distribution System, Inc. 5,600 25,424
* Coastcast Corp. 7,600 17,670
* Cobra Electronics Corp. 6,100 43,310
* Coldwater Creek, Inc. 53,662 1,205,785
# Collegiate Pacific, Inc. 26,000 229,320
* # Collins & Aikman Corp. 209,060 23,728
Concepts Direct, Inc. 400 60
* Concord Camera Corp. 52,056 67,673
* Congoleum Corp. Class A 3,600 15,120
* Cooker Restaurant Corp. 6,500 33
Cooper Tire & Rubber Co. 175,400 3,339,616
* Corinthian Colleges, Inc. 154,298 2,385,447
* Cost Plus, Inc. 58,775 1,367,106
* Cost-U-Less, Inc. 3,000 25,080
Courier Corp. 6,412 224,694
CPI Corp. 11,200 203,840
Craftmade International, Inc. 12,700 211,950
* Crown Media Holdings, Inc. 194,078 1,822,392
* CSK Auto Corp. 121,500 2,056,995
CSS Industries, Inc. 12,900 397,320
* Culp, Inc. 25,400 110,490
* Cumulus Media, Inc. Class A 149,893 1,872,164
Cutter & Buck, Inc. 29,224 383,711
* # Cybex International, Inc. 8,700 26,622
* Cycle Country Accessories Corp. 13,700 45,758
* Daily Journal Corp. 200 7,750
* Dan River, Inc. Class A 100 0
* Dave & Busters, Inc. 13,200 237,072
Deb Shops, Inc. 19,299 583,023
* Deckers Outdoor Corp. 9,200 222,824
Decorator Industries, Inc. 2,762 22,621
Delta Apparel, Inc. 5,240 153,899
* Delta Woodside Industries, Inc. 5,850 3,802
* Department 56, Inc. 35,800 399,528
* DeVry, Inc. 188,500 3,873,675
* Diedrich Coffee, Inc. 4,025 16,829
* Digital Generation Systems, Inc. 114,900 125,241
* Dixie Group, Inc. 31,300 463,866
* # Dominion Homes, Inc. 20,200 313,706
Dover Downs Gaming & Entertainment, Inc. 9,910 117,235
Dover Motorsports, Inc. 43,900 252,864
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* Drew Industries, Inc. 26,800 1,098,800
* drugstore.com, Inc. 218,423 751,375
* Duckwall-ALCO Stores, Inc. 4,100 80,975
* Dura Automotive Systems, Inc. 49,300 210,511
* # E Com Ventures, Inc. 2,175 30,994
* eCost.com, Inc. 36,233 114,569
* Educational Development Corp. 1,800 18,180
* Electronics Boutique Holdings Corp. 63,130 3,744,240
* ELXSI Corp. 1,800 5,940
* EMAK Worldwide, Inc. 5,700 62,700
* Emerging Vision, Inc. 25,700 3,598
* Emerson Radio Corp. 70,422 181,689
* # Emmis Communications Corp. Class A 133,900 2,378,064
* Enesco Group, Inc. 36,000 138,600
* Entravision Communications Corp. 154,517 1,148,061
Ethan Allen Interiors, Inc. 93,500 2,917,200
* # Everlast Worldwide, Inc. 1,500 10,500
* Fab Industries, Inc. 5,200 15,600
* Fairchild Corp. Class A 56,152 129,150
* Famous Dave's of America, Inc. 29,525 320,346
* Featherlite, Inc. 9,750 40,462
# Fedders Corp. 100,910 224,020
Federal Screw Works 1,562 34,052
* # Federal-Mogul Corp. 57,900 34,740
Finish Line, Inc. Class A 110,834 2,207,813
* Finlay Enterprises, Inc. 19,000 246,620
* # Fleetwood Enterprises, Inc. 144,200 1,379,994
Flexsteel Industries, Inc. 6,100 85,461
* Foamex International, Inc. 58,623 89,693
* # Footstar, Inc. 27,600 116,610
* Fountain Powerboat Industries, Inc. 4,700 22,372
* Fox & Hound Restaurant Group 25,761 316,860
* Franklin Covey Co. 19,300 119,660
* Franklin Electronic Publishers, Inc. 7,900 29,625
Fred's, Inc. 102,350 1,517,850
* Friedmans, Inc. Class A 35,240 34,535
* Friendly Ice Cream Corp. 7,300 77,380
Frisch's Restaurants, Inc. 4,900 120,540
Furniture Brands International, Inc. 137,600 2,767,136
* # Gadzooks, Inc. 13,600 598
* Gaiam, Inc. 5,500 32,782
* # GameStop Corp. 54,200 1,580,472
GameTech International, Inc. 11,100 30,858
* Gaming Partners International Corp. 4,100 61,910
* # Gander Mountain Co. 2,700 33,453
* Gaylord Entertainment Co. 87,363 3,671,867
* Genesco, Inc. 58,000 1,986,500
Gentek, Inc. 25,183 274,747
* G-III Apparel Group, Ltd. 6,700 48,240
Goody's Family Clothing, Inc. 43,942 311,988
* Gottschalks, Inc. 12,700 136,525
Gray Television, Inc. 112,160 1,317,880
Gray Television, Inc. Class A 6,800 75,208
* Group 1 Automotive, Inc. 61,100 1,631,981
* GSI Commerce, Inc. 108,132 1,604,679
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* Guess, Inc. 114,880 1,934,579
* Guitar Center, Inc. 65,900 3,755,641
* Gymboree Corp. 80,474 1,065,476
Haggar Corp. 6,300 116,298
* Ha-Lo Industries, Inc. 64,900 45
* Hammons (John Q.) Hotels, Inc. Class A 5,200 120,172
* Hampshire Group, Ltd. 4,000 159,040
Hancock Fabrics, Inc. 51,000 300,390
Handleman Co. 55,923 1,015,002
* Harolds Stores, Inc. 2,308 3,347
* Harris Interactive, Inc. 155,400 766,122
* Hartmarx Corp. 94,100 892,068
* Hastings Entertainment, Inc. 22,800 136,116
* Hastings Manufacturing Co. 700 1,225
Haverty Furniture Co., Inc. 15,700 221,841
Haverty Furniture Co., Inc. Class A 400 5,660
* Hayes Lemmerz International, Inc. 42,410 275,665
* Hibbett Sporting Goods, Inc. 61,070 2,144,778
Hollinger International, Inc. Class A 196,800 1,820,400
* Hollywood Media Corp. 80,246 372,341
* Hot Topic, Inc. 118,300 2,539,901
* I.C. Isaacs & Co., Inc. 7,200 44,280
IHOP Corp. 51,800 2,466,198
* Image Entertainment, Inc. 55,800 223,758
* IMPCO Technologies, Inc. 59,102 196,219
* Index Development Partners, Inc. 4,600 9,200
* Infosonics Corp. 4,100 12,259
* Insight Communications Co., Inc. 125,375 1,416,737
* Insight Enterprises, Inc. 127,341 2,493,337
* Insignia Systems, Inc. 19,250 17,325
* Interface, Inc. Class A 117,306 897,391
* Interstate Hotels & Resorts, Inc. 53,840 247,664
* INVESTools, Inc. 115,983 423,338
* Isle of Capri Casinos, Inc. 77,124 1,918,845
* J. Alexander's Corp. 9,200 68,356
* J. Jill Group, Inc. 52,255 666,251
* Jack in the Box, Inc. 94,500 3,919,860
* Jaclyn, Inc. 1,300 7,995
* Jakks Pacific, Inc. 68,226 1,410,231
* Jarden Corp. 75,650 3,849,072
* Jennifer Convertibles, Inc. 1,300 2,925
* Jo-Ann Stores, Inc. 59,175 1,582,931
* Johnson Outdoors, Inc. 6,700 117,317
* Jos. A. Bank Clothiers, Inc. 34,500 1,359,990
* Journal Register Co. 109,100 1,812,151
Juno Lighting, Inc. 980 39,200
* K2, Inc. 123,663 1,556,917
Kellwood Co. 71,976 1,810,916
Kenneth Cole Productions, Inc. Class A 31,550 949,655
* Keystone Automotive Industries, Inc. 40,099 791,554
Kimball International, Inc. Class B 63,200 777,360
* Kirkland's, Inc. 17,200 152,908
Knape & Vogt Manufacturing Co. 2,290 25,762
Koss Corp. 3,600 61,343
* # Krispy Kreme Doughnuts, Inc. 160,600 1,299,254
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K-Swiss, Inc. Class A 68,200 2,189,220
* LaCrosse Footwear, Inc. 5,800 57,420
* Lakeland Industries, Inc. 2,662 34,659
* # Lakes Entertainment, Inc. 57,887 719,535
Landry's Restaurants, Inc. 68,800 2,061,936
* Lazare Kaplan International, Inc. 8,700 74,994
La-Z-Boy, Inc. 135,600 1,810,260
* Learning Care Group, Inc. 5,200 19,240
Levitt Corp. Class A 48,321 1,391,645
Libbey, Inc. 35,800 681,990
Liberty Corp. 48,800 1,762,168
Liberty Homes, Inc. Class A 200 970
Lifetime Hoan Corp. 28,698 489,588
* Lin TV Corp. 70,400 1,024,320
* Linens 'n Things, Inc. 117,500 2,863,475
Lithia Motors, Inc. Class A 39,310 1,045,646
* LKG Corp. 3,300 81,906
* Lodgenet Entertainment Corp. 45,834 777,345
* Lodgian, Inc. 51 484
Lone Star Steakhouse & Saloon, Inc. 45,746 1,381,987
* LOUD Technologies, Inc. 12,400 43,400
* Luby's, Inc. 57,900 477,096
M/I Homes, Inc. 36,600 1,847,568
* Mace Security International, Inc. 11,200 29,677
* Madden (Steven), Ltd. 34,233 607,978
* Magic Lantern Group, Inc. 1,700 122
* Magna Entertainment Corp. 21,200 112,784
* Main Street Restaurant Group, Inc. 36,100 124,906
* Major Automotive Companies, Inc. 3,280 3,378
* # Manning (Greg) Auctions, Inc. 35,120 334,694
Marine Products Corp. 38,295 578,254
* MarineMax, Inc. 44,075 1,212,944
* Marisa Christina, Inc. 6,700 6,097
* Marlton Technologies, Inc. 7,800 6,318
* # Martha Stewart Living Omnimedia, Inc. 58,200 1,507,380
* Max & Erma's Restaurants, Inc. 2,300 33,948
* Mayor's Jewelers, Inc. 20,300 11,571
# Maytag Corp. 206,700 3,015,753
McRae Industries, Inc. Class A 2,600 30,472
* Meade Instruments Corp. 51,232 141,400
Media General, Inc. Class A 6,100 372,710
* MediaBay, Inc. 1,650 891
* Mediacom Communications Corp. 235,041 1,429,049
* Meritage Homes Corp. 48,200 3,505,104
* Mestek, Inc. 5,400 138,942
* Michael Anthony Jewelers, Inc. 4 11,720
* Midas, Inc. 41,000 963,500
* Mikohn Gaming Corp. 57,575 726,021
* Mity Enterprises, Inc. 5,000 73,500
Modine Manufacturing Co. 90,495 2,751,048
Monaco Coach Corp. 75,950 1,246,339
* Monarch Casino & Resort, Inc. 16,000 321,600
* Monro Muffler Brake, Inc. 12,300 330,501
* Morgan's Foods, Inc. 800 1,360
* Mossimo, Inc. 16,600 70,550
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* Mothers Work, Inc. 13,654 186,104
* Motorcar Parts of America, Inc. 2,500 26,312
Movado Group, Inc. 46,700 787,362
Movie Gallery, Inc. 116,649 3,728,102
* MTR Gaming Group, Inc. 74,286 762,174
* # Multimedia Games, Inc. 72,635 775,015
* Nathan's Famous, Inc. 7,000 58,023
National Presto Industries, Inc. 6,800 291,380
* National RV Holdings, Inc. 25,700 227,959
* # Nature Vision, Inc. 500 2,315
Nautilus Group, Inc. 85,500 2,288,835
* # Navarre Corp. 70,160 631,440
* Navigant International, Inc. 39,814 504,045
Nelson (Thomas), Inc. 35,900 834,675
* # Netflix, Inc. 135,582 1,937,467
* Nevada Gold & Casinos, Inc. 33,350 366,516
* New Frontier Media, Inc. 3,400 20,400
* Nitches, Inc. 864 3,879
* Nobel Learning Communities, Inc. 6,500 56,875
Nobility Homes, Inc. 4,100 102,869
Noble International, Ltd. 24,160 498,904
* NTN Communications, Inc. 138,693 302,351
* Nutri/System, Inc. 79,900 979,574
Oakley, Inc. 176,900 2,600,430
* O'Charleys, Inc. 55,962 1,039,214
* Odd Job Stores, Inc. 12,700 1,905
* One Price Clothing Stores, Inc. 2,557 2
* # Oneida, Ltd. 28,700 67,445
* Opinion Research Corp. 6,700 47,168
# Orleans Homebuilders, Inc. 48,600 1,088,640
OshKosh B'Gosh, Inc. Class A 24,355 630,307
* # Overstock.com, Inc. 51,500 1,971,935
Oxford Industries, Inc. 43,100 1,541,256
* P & F Industries, Inc. Class A 1,300 21,125
* P.F. Chang's China Bistro, Inc. 56,300 3,336,901
* # Palm Harbor Homes, Inc. 58,511 1,095,911
* Panera Bread Co. 10,635 672,132
* Pantry, Inc. 52,800 2,042,832
* Papa John's International, Inc. 43,200 1,684,800
* Party City Corp. 44,791 598,856
* Paxson Communications Corp. 118,700 89,025
* Payless Cashways, Inc. 60 0
* Payless ShoeSource, Inc. 177,000 2,978,910
* PC Mall, Inc. 30,017 148,557
* # Pegasus Communications Corp. 17,540 110,063
Pep Boys - Manny, Moe & Jack 143,000 1,910,480
* Perry Ellis International, Inc. 23,900 478,000
* PetMed Express, Inc. 60,965 430,413
Phillips-Van Heusen Corp. 83,200 2,578,368
* Phoenix Gold International, Inc. 600 330
Pier 1 Imports, Inc. 55,200 926,808
* Pinnacle Entertainment, Inc. 104,800 1,826,664
* Playboy Enterprises, Inc. Class A 4,700 53,909
* # Playboy Enterprises, Inc. Class B 74,100 938,847
* Point.360 9,000 26,820
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* Pomeroy IT Solutions, Inc. 31,837 400,828
# Pre-Paid Legal Services, Inc. 40,350 1,519,984
* # Priceline.com, Inc. 101,016 2,419,333
* PRIMEDIA, Inc. 658,238 2,402,569
* Princeton Review, Inc. 14,600 79,862
* ProQuest Co. 77,300 2,481,330
* Provide Commerce 29,200 674,812
Pulitzer, Inc. 23,800 1,522,248
* QEP Co., Inc. 2,125 22,057
Quaker Fabric Corp. 41,950 145,986
* # Quantum Fuel Systems Technologies Worldwide, Inc. 86,271 366,652
* R&B, Inc. 16,800 225,960
* Radio One, Inc. 25,300 319,286
* Radio One, Inc. 8,150 102,690
* Rare Hospitality International, Inc. 88,450 2,744,603
Raytech Corp. 16,400 25,420
* RC2 Corp. 52,991 1,909,796
* Reading International, Inc. Class A 18,149 120,872
* Reading International, Inc. Class B 1,060 6,890
* Red Robin Gourmet Burgers, Inc. 5,599 307,273
* RedEnvelope, Inc. 2,000 19,900
* Regent Communications, Inc. 114,113 684,678
* Rentrak Corp. 26,900 270,345
* Rent-Way, Inc. 68,200 632,214
* Reptron Electronics, Inc. 343 480
* Restoration Hardware, Inc. 85,900 608,172
* Retail Ventures, Inc. 91,400 1,030,078
* Rex Stores Corp. 26,600 372,400
* Rexhall Industries, Inc. 3,142 581
* Riviera Holdings Corp. 10,800 218,700
* Rockford Corp. 14,600 38,106
* Rocky Shoes & Boots, Inc. 4,500 133,155
* Rubio's Restaurants, Inc. 23,195 212,234
Russ Berrie & Co., Inc. 54,100 703,841
Russell Corp. 85,300 1,595,110
* Ryan's Restaurant Group, Inc. 107,800 1,504,888
* S&K Famous Brands, Inc. 2,100 33,600
* Safety Components International, Inc. 118 1,646
* Saga Communications, Inc. Class A 47,625 657,225
* Salem Communications Corp. 52,969 962,447
* # Salton, Inc. 29,600 30,784
* Sands Regent Casino Hotel 2,000 18,920
Saucony, Inc. Class A 2,700 53,730
Saucony, Inc. Class B 3,500 68,600
Sauer-Danfoss, Inc. 49,600 974,640
* Schieb (Earl), Inc. 2,200 7,425
* Scholastic Corp. 97,062 3,641,766
SCP Pool Corp. 68,384 2,449,515
* Select Comfort Corp. 93,175 2,264,152
Service Corp. International 208,300 1,578,914
* # Sharper Image Corp. 40,800 542,232
* Shiloh Industries, Inc. 40,866 462,194
* Shoe Carnival, Inc. 38,079 697,988
* # Shoe Pavilion, Inc. 6,200 29,388
* ShopKo Stores, Inc. 65,800 1,560,118
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* # Shuffle Master, Inc. 92,130 2,524,362
Sinclair Broadcast Group, Inc. Class A 115,200 1,014,912
* Six Flags, Inc. 241,905 1,066,801
* Skechers U.S.A., Inc. Class A 58,000 734,860
Skyline Corp. 8,300 324,530
* Smith & Wesson Holding Corp. 79,900 303,620
* Smith & Wollensky Restaurant Group, Inc. 13,400 84,286
Sonic Automotive, Inc. 76,300 1,626,716
* Sotheby's Holdings, Inc. Class A 119,900 1,682,197
* Source Interlink Companies, Inc. 74,500 726,375
* Southern Energy Homes, Inc. 13,825 80,876
* Spanish Broadcasting System, Inc. 104,500 903,925
* SPAR Group, Inc. 2,900 6,206
Spartan Motors, Inc. 32,545 349,533
Speedway Motorsports, Inc. 67,390 2,311,477
* Sport Chalet, Inc. 2,700 39,420
* Sport Supply Group, Inc. 8,900 27,946
* Sport-Haley, Inc. 2,700 9,477
* Sportsman's Guide, Inc. 18,533 315,042
* Stage Stores, Inc. 46,172 1,803,017
* Stamps.com, Inc. 58,923 1,317,518
Standard Motor Products, Inc. 50,500 569,135
Stanley Furniture, Inc. 6,700 283,075
Star Buffet, Inc. 2,800 19,572
* Steak n Shake Co. 71,818 1,478,733
* Stein Mart, Inc. 110,616 2,661,421
* Steinway Musical Instruments, Inc. 18,800 532,416
Stewart Enterprises, Inc. 274,470 1,624,862
* Stoneridge, Inc. 59,200 462,944
* Strattec Security Corp. 4,100 207,583
Strayer Education, Inc. 8,300 722,100
Stride Rite Corp. 94,500 1,123,605
Sturm Ruger & Co., Inc. 70,000 569,800
* Sunterra Corp. 400 6,240
# Superior Industries International, Inc. 69,200 1,567,380
Superior Uniform Group, Inc. 7,000 96,950
Syms Corp. 28,200 368,856
* Systemax, Inc. 63,568 404,928
* Tag-It Pacific, Inc. 46,900 109,746
Tandy Brand Accessories, Inc. 5,900 77,526
* Tarrant Apparel Group 42,115 114,553
* TBC Corp. 57,990 1,480,485
Technical Olympic USA, Inc. 145,740 3,191,706
* Tenneco Automotive, Inc. 112,800 1,692,000
* The Children's Place Retail Stores, Inc. 70,200 3,279,042
* The Dress Barn, Inc. 80,252 1,452,561
The Marcus Corp. 54,000 1,189,620
* The Mens Warehouse, Inc. 94,000 4,828,780
* The Rowe Companies 13,100 50,566
* The Sports Authority, Inc. 67,206 2,150,592
* The Sports Club Co., Inc. 20,100 33,165
* # TiVo, Inc. 209,126 1,409,509
* Too, Inc. 90,200 1,793,176
* # Tower Automotive, Inc. 111,100 11,777
* Tractor Supply Co. 91,932 4,083,619
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Traffix, Inc. 35,600 170,880
* Trans World Entertainment Corp. 78,400 1,019,200
* Transpro, Inc. 16,100 109,319
Triarc Companies, Inc. Class A 61,700 965,605
Triarc Companies, Inc. Class B 49,000 705,600
* # Tropical Sportswear International Corp. 13,075 157
* Tuesday Morning Corp. 106,836 3,246,746
Tupperware Corp. 154,400 3,489,440
* Tweeter Home Entertainment Group, Inc. 63,900 226,206
* Ultimate Electronics, Inc. 858 60
* # Unapix Entertainment, Inc. 6,100 25
* Unifi, Inc. 135,234 434,101
Unifirst Corp. 23,650 865,590
United Auto Group, Inc. 120,800 3,720,640
* United Retail Group, Inc. 22,866 158,690
* Universal Electronics, Inc. 35,324 589,204
* Universal Technical Institute, Inc. 4,800 146,640
* Vail Resorts, Inc. 92,100 2,532,750
Value Line, Inc. 9,900 359,568
* ValueVision Media, Inc. Class A 95,452 918,248
* Varsity Group, Inc. 25,136 151,319
* Vertrue, Inc. 24,000 907,200
* Virco Manufacturing Corp. 13,269 95,537
# Visteon Corp. 325,000 2,479,750
* Warnaco Group, Inc. 120,017 2,561,163
* Waxman Industries, Inc. 600 4,275
* WCI Communities, Inc. 117,100 3,501,290
Wellco Enterprises, Inc. 1,000 13,135
* Wells-Gardner Electronics Corp. 22,261 75,687
* West Marine, Inc. 54,078 897,154
* Westcoast Hospitality Corp. 12,900 88,881
* # Wet Seal, Inc. Class A 90,237 384,410
Weyco Group, Inc. 600 11,502
* Whitehall Jewelers, Inc. 30,250 219,312
* Wickes, Inc. 4,400 13
* William Lyon Homes, Inc. 22,500 2,025,000
* Wilsons The Leather Experts, Inc. 101,045 593,134
* Winmark Corp. 3,800 82,650
# Winnebago Industries, Inc. 87,400 2,857,106
* # WMS Industries, Inc. 80,900 2,570,193
Wolverine World Wide, Inc. 150,600 3,460,788
World Wrestling Federation Entertainment, Inc. 54,200 587,528
* Worldwide Restaurant Concepts, Inc. 71,400 457,674
Yankee Candle Co., Inc. 105,700 3,334,835
* Young Broadcasting, Inc. Class A 44,662 257,253
* Zapata Corp. 18,720 121,118
----------------
Total Consumer Discretionary
(Cost $378,480,696) 441,458,478
----------------
Industrials -- (14.7%)
* 3-D Systems Corp. 24,600 521,520
* AAON, Inc. 13,100 234,490
* AAR Corp. 83,683 1,342,275
* Ablest, Inc. 2,100 14,532
ABM Industries, Inc. 130,400 2,486,728
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Abrams Industries, Inc. 200 1,054
* ABX Air, Inc. 66,600 500,832
Aceto Corp. 63,525 461,827
* ACT Manufacturing, Inc. 800 8
* Active Power, Inc. 125,456 336,222
* Actuant Corp. 69,980 3,149,100
Acuity Brands, Inc. 33,500 822,425
Administaff, Inc. 66,200 1,414,032
* AeroCentury Corp. 300 948
* Aerosonic Corp. 3,900 20,163
* AirNet Systems, Inc. 22,200 110,778
* Airtran Holdings, Inc. 231,500 2,259,440
* Akorn, Inc. 31,100 91,434
Alamo Group, Inc. 12,500 255,000
* Alaska Air Group, Inc. 73,200 2,160,864
Albany International Corp. Class A 75,672 2,366,263
Alexander & Baldwin, Inc. 57,915 2,574,322
* Allied Defense Group, Inc. 12,400 295,616
* Allied Holdings, Inc. 8,300 9,130
Ambassadors International, Inc. 9,800 125,636
* Amerco, Inc. 14,700 781,746
* # America West Holdings Corp. Class B 94,800 530,880
American Ecology Corp. 14,650 185,469
* American Locker Group, Inc. 300 1,383
* American Science & Engineering, Inc. 21,300 811,743
* American Superconductor Corp. 83,099 735,426
American Woodmark Corp. 44,476 1,494,838
Ameron International Corp. 22,800 752,400
* AML Communications, Inc. 7,800 8,346
Ampco-Pittsburgh Corp. 9,600 110,688
* # AMR Corp. 44,000 567,600
Amrep Corp. 6,500 141,115
Angelica Corp. 22,900 606,163
* APAC Customer Services, Inc. 102,850 98,736
Apogee Enterprises, Inc. 73,910 1,034,001
Applied Industrial Technologies, Inc. 80,550 2,451,942
Applied Signal Technologies, Inc. 29,500 516,250
* ARGON ST, Inc. 49,025 1,683,028
Arkansas Best Corp. 65,500 2,143,815
* Armor Holdings, Inc. 88,800 3,352,200
* # Armstrong Holdings, Inc. 4,400 13,508
* # Arotech Corp. 90,691 96,132
* Artesyn Technologies, Inc. 82,300 677,329
* Art's-Way Manufacturing Co., Inc. 200 1,254
* Astec Industries, Inc. 53,900 1,182,027
* Astronics Corp. 7,725 62,186
* # AstroPower, Inc. 5,058 5
* ASV, Inc. 35,316 1,281,971
* # ATA Holdings Corp. 24,879 22,391
* Ault, Inc. 4,500 11,205
* # Avalon Holding Corp. Class A 1,550 7,580
* Aviall, Inc. 95,900 2,951,802
* Axsys Technologies, Inc. 7,050 120,132
* AZZ, Inc. 8,200 131,282
Badger Meter, Inc. 6,400 240,768
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* Baker (Michael) Corp. 7,600 131,176
Baldor Electric Co. 89,033 2,239,180
* Baldwin Technology Co., Inc. Class A 13,300 39,900
Banta Corp. 67,300 2,955,816
Barnes Group, Inc. 60,600 1,859,208
* Barrett Business Services, Inc. 8,700 125,802
* BE Aerospace, Inc. 147,610 2,135,917
Bowne & Co., Inc. 89,600 1,187,200
Brady Co. Class A 113,700 3,475,809
* BTU International, Inc. 12,900 48,891
* Butler International, Inc. 8,400 27,720
C&D Technologies, Inc. 65,900 482,388
* Cannon Express, Inc. 200 0
* Capstone Turbine Corp. 78,300 78,300
Cascade Corp. 32,900 1,158,738
* Casella Waste Systems, Inc. Class A 64,089 731,255
* Catalytica Energy Systems, Inc. 19,891 39,185
* CD&L, Inc. 2,600 4,940
CDI Corp. 50,300 1,073,402
* Celadon Group, Inc. 26,879 486,510
Central Parking Corp. 96,837 1,636,545
* Century Business Services, Inc. 196,557 788,194
* Cenveo, Inc. 131,500 1,101,970
* Ceradyne, Inc. 64,365 1,486,188
CERBCO, Inc. Class A 200 1,975
Champion Industries, Inc. 9,674 40,631
* Channell Commercial Corp. 6,600 39,732
Chase Corp. 4,000 56,320
Chicago Rivet & Machine Co. 200 5,956
CIRCOR International, Inc. 40,690 1,007,078
Clarcor, Inc. 138,600 3,893,274
* Clean Harbors, Inc. 37,200 771,900
* CNE Group, Inc. 2,000 320
* Coinstar, Inc. 68,100 1,289,814
Collins Industries, Inc. 7,000 35,000
* Columbus McKinnon Corp. 38,700 365,328
* Comforce Corp. 13,277 25,757
* Comfort Systems USA, Inc. 101,800 640,322
* # Compudyne Corp. 20,804 125,864
CompX International, Inc. 5,100 73,695
* Conrad Industries, Inc. 7,200 9,396
* Consolidated Freightways Corp. 550 2
* Consolidated Graphics, Inc. 35,582 1,506,186
* # Continental Airlines, Inc. 179,500 2,487,870
* Cornell Companies, Inc. 37,600 482,784
* Correctional Services Corp. 20,512 59,278
* Corrections Corporation of America 95,400 3,443,940
* Corrpro Companies, Inc. 7,275 5,820
* CoStar Group, Inc. 47,611 1,913,010
* Covenant Transport, Inc. Class A 31,955 443,535
* CPI Aerostructures, Inc. 13,666 127,504
* CRA International, Inc. 9,000 512,910
* Cross (A.T.) Co. Class A 14,700 73,941
* Crown Andersen, Inc. 1,000 1,025
Cubic Corp. 69,500 1,223,200
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* CUNO, Inc. 46,408 3,299,609
Curtiss-Wright Corp. 11,600 634,288
* # Delta Air Lines, Inc. 367,200 1,413,720
* DHB Industries, Inc. 114,200 897,612
* DiamondCluster International, Inc. 93,450 1,222,326
* Distributed Energy Systems Corp. 92,650 307,598
* Dollar Thrifty Automotive Group, Inc. 65,600 2,360,944
* DRS Technologies, Inc. 48,500 2,283,380
* Ducommun, Inc. 26,000 427,700
* Duratek, Inc. 13,500 296,055
* Dycom Industries, Inc. 126,566 2,485,756
* Dynamex, Inc. 29,500 530,705
* # Dynamic Materials Corp. 2,000 87,600
Eastern Co. 4,950 109,346
Ecology & Environment, Inc. Class A 2,000 13,000
EDO Corp. 52,000 1,480,440
* EGL, Inc. 123,096 2,342,517
* Electro Rent Corp. 64,261 755,067
ElkCorp 51,600 1,702,800
* EMCOR Group, Inc. 39,000 1,852,500
* Encore Wire Corp. 60,088 660,968
* # Energy Conversion Devices, Inc. 66,197 1,276,278
Engineered Support Systems, Inc. 87,913 3,428,607
* ENGlobal Corp. 2,500 9,075
Ennis, Inc. 68,600 1,090,054
* EnPro Industries, Inc. 54,300 1,469,901
* Environmental Tectonics Corp. 7,100 38,553
* ESCO Technologies, Inc. 32,000 2,712,000
Espey Manufacturing & Electronics Corp. 400 10,740
* Essex Corp. 2,900 54,230
* Esterline Technologies Corp. 65,200 2,536,280
* Evercel, Inc. 466 466
* Evergreen Solar, Inc. 138,827 701,076
* Exponent, Inc. 6,700 165,959
* ExpressJet Holdings, Inc. 141,500 1,221,145
Federal Signal Corp. 125,100 1,955,313
* Fiberstars, Inc. 18,900 178,605
* First Aviation Services, Inc. 6,200 25,420
* First Consulting Group, Inc. 63,503 328,946
* Flanders Corp. 68,397 681,918
Florida East Coast Industries, Inc. 83,600 3,516,216
* # Flow International Corp. 33,300 216,450
* Flowserve Corp. 143,600 4,231,892
* # FLYi, Inc. 68,000 51,680
Forward Air Corp. 125,001 3,356,277
* Foster (L.B.) Co. Class A 10,000 90,000
* Foster Wheeler, Ltd. 2,030 30,044
Franklin Electric Co., Inc. 21,600 829,872
* Frontier Airlines, Inc. 92,643 1,131,171
* Frozen Food Express Industries, Inc. 45,199 485,889
* FTI Consulting, Inc. 112,225 2,467,828
* # FuelCell Energy, Inc. 125,254 1,019,568
G & K Services, Inc. Class A 50,055 1,970,165
* Gardner Denver Machinery, Inc. 59,988 2,300,540
GATX Corp. 118,700 3,961,019
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* Gehl Co. 16,900 506,797
Gencorp, Inc. 99,711 1,884,538
* General Binding Corp. 13,300 275,177
* General Cable Corp. 103,400 1,448,634
* General Employment Enterprises, Inc. 3,100 4,061
* Genesee & Wyoming, Inc. 63,050 1,761,617
* Genlyte Group, Inc. 63,000 2,807,280
Gevity HR, Inc. 70,510 1,209,247
* Global Payment Technologies, Inc. 5,500 24,750
* Global Power Equipment Group, Inc. 121,600 931,456
Gorman-Rupp Co. 9,968 202,350
* GP Strategies Corp. 30,960 219,816
* Graftech International, Ltd. 243,700 1,072,280
Graham Corp. 1,000 20,220
Granite Construction, Inc. 108,200 2,537,290
Greenbrier Companies, Inc. 14,100 390,852
* Griffon Corp. 75,380 1,502,323
Hardinge, Inc. 8,800 142,718
Harland (John H.) Co. 72,300 2,723,541
* Hawaiian Holdings, Inc. 29,875 159,533
* Hawk Corp. 8,500 95,115
Healthcare Services Group, Inc. 24,975 467,033
Heartland Express, Inc. 144,343 2,894,077
Heico Corp. 25,900 546,490
Heico Corp. Class A 36,765 617,284
* Heidrick & Struggles International, Inc. 49,853 1,251,809
* Herley Industries, Inc. 36,500 639,115
* Hexcel Corp. 134,000 2,189,560
* Hirsch International Corp. Class A 3,300 3,300
* Hi-Shear Technology Corp. 8,600 31,304
* Hub Group, Inc. Class A 15,700 431,436
* Hudson Highland Group, Inc. 5,560 89,016
* Hudson Technologies, Inc. 4,800 4,416
Hughes Supply, Inc. 8,330 216,580
* Hurco Companies, Inc. 6,800 118,388
* Huttig Building Products, Inc. 7,700 84,007
* ICT Group, Inc. 19,274 179,055
* II-VI, Inc. 75,740 1,247,438
IKON Office Solutions, Inc. 171,760 1,664,354
* Imagistics International, Inc. 11,400 307,116
* Industrial Distribution Group, Inc. 24,106 211,892
* Infrasource Services, Inc. 4,700 51,700
* Innotrac Corp. 11,600 98,484
* Innovative Solutions & Support, Inc. 12,700 439,928
* Insituform Technologies, Inc. Class A 67,119 996,046
* # Integrated Electrical Services, Inc. 85,100 129,352
International Aluminum Corp. 2,100 72,450
* International Shipholding Corp. 6,100 89,060
Interpool, Inc. 38,000 825,360
* # Ionatron, Inc. 17,500 155,750
* Jacuzzi Brands, Inc. 199,378 2,035,649
JLG Industries, Inc. 128,500 3,275,465
* JPS Industries, Inc. 9,200 44,160
* Kadant, Inc. 36,020 738,410
Kaman Corp. Class A 57,000 881,790
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* Kansas City Southern 163,100 3,260,369
Kaydon Corp. 73,300 2,091,982
* Keith Companies, Inc. 11,400 241,110
Kelly Services, Inc. Class A 83,266 2,315,627
* Key Technology, Inc. 4,700 51,700
* Kforce, Inc. 103,155 829,366
* Kirby Corp. 64,500 2,751,570
Knight Transportation, Inc. 146,953 3,593,001
* Korn/Ferry International 104,000 1,649,440
* K-Tron International, Inc. 2,400 68,640
* KVH Industries, Inc. 37,628 349,564
* LaBarge, Inc. 38,500 546,315
* Labor Ready, Inc. 110,600 2,282,784
* Ladish Co., Inc. 19,500 216,450
* Lancer Corp. 9,325 161,323
Lawson Products, Inc. 9,600 410,880
* Layne Christensen Co. 11,600 200,680
* Learning Tree International, Inc. 44,081 567,322
Lennox International, Inc. 158,705 3,370,894
Lincoln Electric Holdings, Inc. 107,661 3,526,974
Lindsay Manufacturer Co. 30,600 612,306
* LMI Aerospace, Inc. 7,900 35,740
LSI Industries, Inc. 51,383 698,295
* Lydall, Inc. 41,900 345,256
* Lynch Corp. 1,500 13,800
* Mac-Gray Corp. 18,500 161,320
* Magnetek, Inc. 74,200 163,982
* MAIR Holdings, Inc. 52,916 504,819
* Marten Transport, Ltd. 9,450 185,315
* Mastec, Inc. 126,050 1,066,383
* Maxco, Inc. 3,100 13,550
McGrath Rentcorp. 63,214 1,457,083
* Meadow Valley Corp. 2,400 12,672
* # Medialink Worldwide, Inc. 5,900 18,585
Mercury Air Group, Inc. 4,950 17,127
* Mercury Computer Systems, Inc. 54,800 1,583,720
* Merrimac Industries, Inc. 2,860 25,454
* # Mesa Air Group, Inc. 79,035 504,243
Met-Pro Corp. 8,100 116,721
* MFRI, Inc. 4,900 38,019
* # Microvision, Inc. 55,923 361,822
Middleby Corp. 23,187 1,279,922
* Midwest Air Group, Inc. 45,000 88,200
* Milacron, Inc. 162,405 354,043
* # Millennium Cell, Inc. 58,900 88,939
* Miller Industries, Inc. 9,280 110,896
Mine Safety Appliances Co. 94,500 4,329,045
* Misonix, Inc. 17,000 97,954
* Mobile Mini, Inc. 38,215 1,410,898
* # Modtech Holdings, Inc. 37,650 233,430
* Moog, Inc. Class A 28,800 874,080
* Moog, Inc. Class B 4,950 151,965
* Morgan Group Holding Co. 200 19
* MPW Industrial Services Group, Inc. 5,000 11,075
* MTC Technologies, Inc. 15,400 516,362
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Mueller Industries, Inc. 95,145 2,568,915
Multi-Color Corp. 2,250 59,175
* M-Wave, Inc. 2,900 3,074
NACCO Industries, Inc. Class A 6,500 666,250
* Nashua Corp. 5,800 52,200
* # National Patent Development Corp. 14,560 34,070
* National Technical Systems, Inc. 8,600 39,044
* Navigant Consulting, Inc. 125,400 2,876,676
* NCI Building Systems, Inc. 53,600 1,851,344
* NCO Group, Inc. 82,622 1,640,883
* NES Rentals Holdings, Inc. 36 353
* New Horizons Worldwide, Inc. 12,400 44,764
Nordson Corp. 94,675 2,943,446
* North America Galvanizing & Coatings, Inc. 6,700 13,668
* # Northwest Airlines Corp. 218,445 1,330,330
* NuCo2, Inc. 19,100 452,288
* Odyssey Marine Exploration, Inc. 106,200 510,822
* Old Dominion Freight Line, Inc. 64,548 1,966,778
* On Assignment, Inc. 65,015 344,580
* Orbit International Corp. 1,582 16,168
* Orbital Sciences Corp. 134,152 1,302,616
Outlook Group Corp. 2,400 18,960
* P.A.M. Transportation Services, Inc. 20,550 338,664
* Paragon Technologies, Inc. 4,200 45,150
* Park-Ohio Holdings Corp. 10,400 158,600
* Patrick Industries, Inc. 4,500 40,302
* Patriot Transportation Holding, Inc. 2,500 130,750
* Peerless Manufacturing Co. 3,000 41,730
* # Pemco Aviation Group, Inc. 950 23,655
* Perini Corp. 65,800 992,264
* Pico Holdings, Inc. 17,100 442,719
* Pinnacle Airlines Corp. 800 7,840
* # Plug Power, Inc. 190,443 1,184,555
* Portfolio Recovery Associates, Inc. 40,305 1,588,420
* Powell Industries, Inc. 19,159 352,909
* Power-One, Inc. 201,561 1,104,554
* PPT Vision, Inc. 1,700 2,159
Preformed Line Products Co. 1,200 40,956
* PRG-Schultz International, Inc. 161,219 622,305
Providence & Worcester Railroad Co. 3,000 39,750
* PW Eagle, Inc. 7,000 46,060
* Quanta Services, Inc. 302,100 2,727,963
* Quipp, Inc. 1,400 15,099
Quixote Corp. 22,740 442,975
* RailAmerica, Inc. 98,200 1,145,994
Raven Industries, Inc. 46,850 1,193,738
* RCM Technologies, Inc. 10,500 48,300
Regal-Beloit Corp. 75,504 1,940,453
* RemedyTemp, Inc. 15,100 148,735
* Republic Airways Holdings, Inc. 1,600 20,416
* Resources Connection, Inc. 123,036 2,450,877
Robbins & Myers, Inc. 37,800 893,970
Rollins, Inc. 178,050 3,632,220
* Rush Enterprises, Inc. Class A 16,900 243,191
* Rush Enterprises, Inc. Class B 7,000 101,850
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Schawk, Inc. 22,200 534,132
* School Specialty, Inc. 3,900 152,958
* # Schuff International, Inc. 7,000 21,525
* SCS Transportation, Inc. 38,654 705,436
* Secom General Corp. 140 200
* Senomyx, Inc. 1,100 15,213
* Sequa Corp. Class A 6,900 400,200
* Sequa Corp. Class B 2,600 154,076
* Servotronics, Inc. 1,100 5,225
* Shaw Group, Inc. 166,587 3,356,728
* Sholodge, Inc. 5,100 20,018
* SIFCO Industries, Inc. 5,400 18,522
* Simclar, Inc. 6,500 21,905
Simpson Manufacturing Co., Inc. 103,100 2,963,094
* Sirva, Inc. 4,200 32,970
* Sitel Corp. 176,800 350,064
Skywest, Inc. 144,796 2,641,079
* SL Industries, Inc. 5,900 100,713
Smith (A.O.) Corp. 57,200 1,793,792
Smith (A.O.) Corp. Convertible Class A 3,750 117,600
* Smithway Motor Xpress Corp. Class A 4,000 24,000
* SOURCECORP, Inc. 34,502 738,688
* Spacehab, Inc. 27,766 39,150
* Sparton Corp. 8,334 83,173
* Spherion Corp. 159,120 870,386
* # Spherix, Inc. 12,100 20,691
* Spire Corp. 6,700 29,480
* # Standard Automotive Corp. 4,400 0
* Standard Parking Corp. 1,500 22,515
Standard Register Co. 61,100 867,620
Standex International Corp. 32,100 858,996
Starrett (L.S.) Co. Class A 4,800 81,936
* Sterling Construction Co., Inc. 8,700 64,206
Stewart & Stevenson Services, Inc. 74,802 1,787,020
* Stonepath Group, Inc. 69,400 48,580
* Strategic Distribution, Inc. 3,029 31,199
Sun Hydraulics, Inc. 4,900 180,908
Supreme Industries, Inc. 11,408 74,722
* Swift Transportation Co., Inc. 6,343 155,721
Sypris Solutions, Inc. 44,847 472,687
TB Wood's Corp. 7,600 43,928
* Team, Inc. 7,600 144,400
* TeamStaff, Inc. 20,200 33,128
Tech/Ops Sevcon, Inc. 3,100 18,445
Technology Research Corp. 14,350 71,894
Tecumseh Products Co. Class A 34,700 948,698
* Teledyne Technologies, Inc. 86,300 2,728,806
* TeleTech Holdings, Inc. 194,300 1,587,431
Tennant Co. 22,500 839,250
* Terex Corp. 21 830
* Tetra Tech, Inc. 146,896 1,770,097
The Alpine Group, Inc. 13,500 20,925
* The Geo Group, Inc. 25,000 606,750
* The Lamson & Sessions Co. 36,000 392,040
The Manitowoc Co., Inc. 76,750 3,110,678
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* Thomas Group, Inc. 4,000 8,040
Thomas Industries, Inc. 44,750 1,784,183
Titan International, Inc. 19,600 289,492
Todd Shipyards Corp. 6,300 121,275
* Trailer Bridge, Inc. 9,800 76,440
* Transport Corp. of America 5,200 32,500
* Transtechnology Corp. 6,200 46,345
* TRC Companies, Inc. 34,600 394,440
Tredegar Industries, Inc. 100,391 1,530,963
* Trex Co., Inc. 38,400 1,480,320
Trinity Industries, Inc. 123,600 3,591,816
* Triumph Group, Inc. 41,302 1,465,395
* TRM Corp. 7,000 113,610
* Tufco Technologies, Inc. 4,500 27,855
* # TurboChef Technologies, Inc. 70,833 786,246
Twin Disc, Inc. 2,800 60,900
* U.S. Home Systems, Inc. 700 3,393
* U.S. Xpress Enterprises, Inc. Class A 10,823 132,149
* Ultralife Batteries, Inc. 13,100 213,792
United Industrial Corp. 31,700 1,098,405
* United Rentals, Inc. 192,600 3,867,408
* United Stationers, Inc. 60,900 2,985,927
Universal Forest Products, Inc. 46,505 1,850,899
* UQM Technologies, Inc. 60,100 180,300
* URS Corp. 110,913 3,752,187
* # US Airways Group, Inc. Class A 46,800 42,588
* USA Truck, Inc. 9,300 188,325
* # Valence Technology, Inc. 20,900 61,864
Valley National Gases, Inc. 4,200 57,540
Valmont Industries, Inc. 62,200 1,489,690
* Valpey Fisher Corp. 1,650 5,214
* Versar, Inc. 8,700 26,970
Viad Corp. 57,600 1,601,280
Vicor Corp. 77,819 1,034,993
* VL Dissolution Corp. 3,101 0
* Volt Information Sciences, Inc. 33,000 648,450
Wabash National Corp. 80,200 1,997,782
Wabtec Corp. 119,600 2,475,720
Walter Industries, Inc. 93,900 3,981,360
* Washington Group International, Inc. 63,815 3,063,758
* Waste Connections, Inc. 78,500 2,910,780
Waste Industries USA, Inc. 19,300 278,499
* Water Pik Technologies, Inc. 8,600 159,788
Waters Instruments, Inc. 300 2,445
Watsco, Inc. Class A 60,000 2,651,400
Watsco, Inc. Class B 1,350 59,569
Watson Wyatt & Co. Holdings 84,700 2,229,304
Watts Water Technologies, Inc. 65,100 2,267,433
* WESCO International, Inc. 121,500 3,547,800
* Westaff, Inc. 24,300 84,321
* Western Power & Equipment Corp. 3,373 4,385
* Willis Lease Finance Corp. 9,500 77,425
* Wolverine Tube, Inc. 37,300 268,933
Woodward Governor Co. 29,591 2,289,456
WSI Industries, Inc. 2,000 5,740
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* Xanser Corp. 42,800 94,588
* Yellow Roadway Corp. 21,783 1,149,707
York International Corp. 93,900 3,868,680
----------------
Total Industrials
(Cost $320,610,525) 385,582,611
----------------
Health Care -- (13.9%)
* A.D.A.M., Inc. 700 3,983
* # aaiPharma, Inc. 47,250 13,230
* Abaxis, Inc. 18,300 191,235
* Abgenix, Inc. 231,617 1,667,642
* Abiomed, Inc. 59,370 556,297
* # Able Laboratories, Inc. 47,000 200,690
* # Acacia Research-CombiMatrix 78,938 227,341
* Accelr8 Technology Corp. 880 2,130
* Accelrys, Inc. 56,300 297,264
* # Access Pharmaceuticals, Inc. 40,100 95,438
* Accredo Health, Inc. 814 36,483
* Adolor Corp. 105,500 1,008,580
* # Advanced Magnetics, Inc. 12,300 110,085
* Advanced Medical Optics, Inc. 156,212 6,031,376
* Advanced Neuromodulation Systems, Inc. 54,598 1,941,505
* Advancis Pharmaceutical Corp. 4,868 21,711
* # ADVENTRX Pharmaceuticals, Inc. 67,800 145,092
* Air Methods Corp. 27,770 188,281
* # Aksys, Ltd. 76,878 230,634
* Albany Molecular Research, Inc. 82,060 977,335
* Alexion Pharmaceuticals, Inc. 73,500 1,672,125
* Align Technology, Inc. 159,510 1,159,638
* Alkermes, Inc. 242,825 2,816,770
* Alliance Imaging, Inc. 127,700 1,280,831
* Allied Healthcare International, Inc. 36,700 253,964
* Allied Healthcare Products, Inc. 6,700 34,639
* Allos Therapeutics, Inc. 81,610 171,381
* Allscripts Healthcare Solutions, Inc. 100,949 1,651,526
* Almost Family, Inc. 1,600 19,008
Alpharma, Inc. Class A 110,200 1,418,274
* Alteon, Inc. 61,700 45,658
* Amedisys, Inc. 41,175 1,243,897
* America Services Group, Inc. 29,158 574,121
* American Claims Evaluation, Inc. 1,000 1,790
* American Dental Partners, Inc. 10,500 252,315
* American Healthways, Inc. 89,300 3,506,811
* American Medical Systems Holdings, Inc. 182,266 3,638,029
* American Retirement Corp. 78,400 1,073,296
American Shared Hospital Services 5,100 30,600
* AMICAS, Inc. 115,080 490,241
* AMN Healthcare Services, Inc. 76,500 1,104,660
* Amsurg Corp. 79,033 2,130,743
Analogic Corp. 35,600 1,512,644
* Andrx Corp. 2,800 55,944
* Angeion Corp. 215 514
* AngioDynamics, Inc. 7,332 144,880
* Anika Therapeutics, Inc. 19,800 299,574
* # Antigenics, Inc. 121,813 816,147
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* AP Pharma, Inc. 45,823 73,317
* # Aphton Corp. 94,488 65,197
* Applera Corp. - Celera Genomics Group 195,700 1,941,344
* Applied Imaging Corp. 3,775 5,360
* Apria Healthcare Group, Inc. 55,300 1,741,950
* Aradigm Corp. 82,790 89,413
* Arena Pharmaceuticals, Inc. 77,685 532,142
* Argonaut Technologies, Inc. 8,699 8,177
* Ariad Pharmaceuticals, Inc. 142,131 857,050
* Arqule, Inc. 86,933 569,411
* Array BioPharma, Inc. 99,503 620,899
# Arrhythmia Research Technology, Inc. 6,900 123,510
Arrow International, Inc. 109,900 3,714,620
* Arthrocare Corp. 49,692 1,602,070
* Aspect Medical Systems, Inc. 55,386 1,781,214
* # AtheroGenics, Inc. 96,100 1,369,425
Atrion Corp. 1,700 111,095
* ATS Medical, Inc. 38,197 124,140
* AVANIR Pharmaceuticals Class A 263,700 653,976
* Avant Immunotherapeutics, Inc. 141,134 200,410
* AVI BioPharma, Inc. 114,800 270,928
* Avigen, Inc. 54,843 163,981
* # AXM Pharma, Inc. 47,000 84,130
* Axonyx, Inc. 1,300 1,677
* Bentley Pharmaceuticals, Inc. 55,360 602,870
* Beverly Enterprises, Inc. 270,200 3,342,374
* Bioanalytical Systems, Inc. 4,600 29,210
* BioCryst Pharmaceuticals, Inc. 70,536 328,698
* Bioenvision, Inc. 97,262 634,148
* Bio-Imaging Technologies, Inc. 29,290 88,456
# BioLase Technology, Inc. 61,408 433,540
* Bio-Logic Systems Corp. 6,300 37,734
* BioMarin Pharmaceutical, Inc. 167,685 1,140,258
* Bio-Rad Laboratories, Inc. Class A 20,000 1,077,600
* Bio-Reference Laboratories, Inc. 34,246 503,416
* BioSante Pharmaceuticals, Inc. 49,300 182,410
* BioScrip, Inc. 82,505 431,501
* Biosite, Inc. 45,345 2,480,825
* Biosource International, Inc. 9,600 97,536
* Biospecifics Technologies Corp. 4,500 4,950
* BioSphere Medical, Inc. 38,400 180,864
* BioTime, Inc. 11,000 6,600
* Bioveris Corp. 30,900 157,281
* Bone Care International, Inc. 53,909 1,764,981
* # Bradley Pharmaceuticals, Inc. 40,051 400,911
* # BriteSmile, Inc. 785 2,747
* Bruker BioSciences Corp. 231,692 973,106
* Caliper Life Sciences, Inc. 79,324 488,636
* CancerVax Corp. 64,300 191,614
* Candela Corp. 60,910 623,109
* Cantel Medical Corp. 39,660 1,217,562
* Capital Senior Living Corp. 69,300 419,958
* Caprius, Inc. 27 81
* Caraco Pharmaceutical Laboratories, Ltd. 67,350 483,573
* Cardiac Sciences, Inc. 132,830 130,173
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* CardioDynamics International Corp. 126,602 281,056
* # Cardiotech International, Inc. 47,263 88,382
* # Cell Genesys, Inc. 115,152 669,033
* # Cell Therapeutics, Inc. 158,300 470,151
* # Cellegy Pharmaceuticals, Inc. 64,796 116,633
* Centene Corp. 111,900 3,597,585
* Cepheid, Inc. 113,806 1,035,635
* Cerus Corp. 60,000 245,400
* Chad Therapeutics, Inc. 10,000 40,700
Chemed Corp. 64,800 2,739,744
* Cholestech Corp. 38,800 355,020
* Ciphergen Biosystems, Inc. 75,886 156,325
* # Clarient, Inc. 20,200 28,684
Clinical Data, Inc. 1,787 31,094
* Closure Medical Corp. 41,627 1,122,680
CNS, Inc. 36,320 762,720
* Coast Dental Services, Inc. 2,066 7,438
* Collagenex Pharmaceuticals, Inc. 38,843 191,496
* Columbia Laboratories, Inc. 104,400 271,440
* Compex Technologies, Inc. 31,654 119,019
Computer Programs & Systems, Inc. 31,100 1,053,668
* Conceptus, Inc. 74,236 395,678
* Conmed Corp. 79,654 2,496,356
* Connetics Corp. 96,160 2,141,483
* Corautus Genetics, Inc. 1,542 6,091
* Corgentech, Inc. 2,700 6,480
* Corixa Corp. 160,458 681,946
* Cortex Pharmaceuticals, Inc. 3,500 8,190
* Corvel Corp. 10,900 289,286
* Cotherix, Inc. 37,600 342,160
* Critical Therapeutics, Inc. 16,500 96,690
* Criticare Systems, Inc. 29,800 138,272
* Cross Country Healthcare, Inc. 83,757 1,419,681
* # CryoLife, Inc. 63,000 456,750
* Cubist Pharmaceuticals, Inc. 133,040 1,331,730
* # CuraGen Corp. 134,760 576,773
* # Curative Health Services, Inc. 39,000 100,230
* Curis, Inc. 124,449 492,818
* CV Therapeutics, Inc. 97,005 1,961,441
* Cyberonics, Inc. 64,500 2,353,605
* Cygnus, Inc. 100 13
* Cypress Bioscience, Inc. 79,433 965,111
* # Cytogen Corp. 41,870 226,935
* # CytRx Corp. 1,700 1,445
D&K Healthcare Resources, Inc. 38,030 310,325
Datascope Corp. 39,134 1,191,239
* Daxor Corp. 4,600 94,760
* Del Global Technologies Corp. 10,927 30,760
* # Dendreon Corp. 156,681 828,842
* Dendrite International, Inc. 113,208 1,754,724
* DepoMed, Inc. 92,134 407,232
Diagnostic Products Corp. 75,800 3,300,332
* Digene Corp. 54,000 1,358,640
* # Digital Angel Corp. 112,800 442,176
* Discovery Laboratories, Inc. 114,123 804,567
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* Discovery Partners International, Inc. 67,953 200,461
* Diversa Corp. 116,578 582,890
* DJ Orthopedics, Inc. 57,900 1,606,725
* DOV Pharmaceutical, Inc. 56,428 852,063
* # Durect Corp. 139,866 502,119
* DUSA Pharmaceuticals, Inc. 44,700 500,193
* Dyax Corp. 81,900 380,835
* # Dynacq Healthcare, Inc. 22,200 104,562
* Eclipsys Corp. 17,600 236,192
* Elite Pharmaceuticals, Inc. 50,900 152,700
* Embrex, Inc. 16,700 187,374
* Emeritus Corp. 14,100 186,120
* Emisphere Technologies, Inc. 49,856 193,441
* Encore Medical Corp. 135,800 689,864
* Encysive Pharmaceuticals, Inc. 149,998 1,529,980
* # Endocare, Inc. 25,800 80,109
* Endologix, Inc. 82,351 358,227
* Enpath Medical, Inc. 11,600 77,372
* Entremed, Inc. 107,800 287,826
* Enzo Biochem, Inc. 84,304 1,287,322
* Enzon Pharmaceuticals, Inc. 51,600 313,212
* # EP Medsystems, Inc. 14,900 38,740
* Epimmune, Inc. 19,800 17,365
* EPIX Pharmaceuticals, Inc. 60,428 479,194
* eResearch Technology, Inc. 133,710 1,636,610
* Ergo Science Corp. 7,150 19,662
* Escalon Medical Corp. 3,200 25,440
* Exact Sciences Corp. 68,105 197,505
* Exactech, Inc. 10,800 144,720
* Exelixis, Inc. 197,823 1,388,717
E-Z-EM, Inc. 8,562 126,033
* First Horizon Pharmaceutical Corp. 93,864 1,764,643
* Fischer Imaging Corp. 9,100 25,298
* Five Star Quality Care, Inc. 31,600 215,512
* Genaera Corp. 23,000 46,230
* Genaissance Pharmaceuticals, Inc. 61,375 55,851
* Gene Logic, Inc. 82,272 277,257
* Genesis HealthCare Corp. 51,450 2,237,561
* Genta, Inc. 162,275 180,125
* Gentiva Health Services, Inc. 16,850 267,747
* GenVec, Inc. 116,369 215,283
* # Geron Corp. 141,209 1,129,672
* GTC Biotherapeutics, Inc. 59,964 80,352
* Guilford Pharmaceuticals, Inc. 115,520 291,110
* Haemonetics Corp. 67,300 2,739,110
* Hanger Orthopedic Group, Inc. 49,552 252,715
* Harvard Bioscience, Inc. 78,817 253,791
* HealthAxis, Inc. 750 1,425
* HealthExtras, Inc. 96,076 1,646,743
* HealthTronics Surgical Services, Inc. 86,210 1,094,005
* # Hemispherx Biopharma, Inc. 95,100 152,160
* Hi-Tech Pharmacal, Inc. 20,250 608,715
* HMS Holdings Corp. 50,688 314,266
* Hollis-Eden Pharmaceuticals, Inc. 50,053 424,950
* Hologic, Inc. 54,300 1,998,783
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Hooper Holmes, Inc. 184,000 736,000
* Horizon Health Corp. 9,900 434,115
* Human Genome Sciences, Inc. 115,329 1,300,911
* ICOS Corp. 3,915 84,564
* ICU Medical, Inc. 35,250 1,162,193
* IDX Systems Corp. 80,451 2,566,387
* I-Flow Corp. 58,000 947,720
* IGI, Inc. 2,100 2,625
* Illumina, Inc. 99,042 1,039,941
* # Immtech International, Inc. 27,700 352,344
* Immucor, Inc. 117,218 3,926,803
* ImmunoGen, Inc. 106,253 633,268
* # Immunomedics, Inc. 140,600 253,080
* Impath, Inc. 21,600 95,904
* Impax Laboratoroes, Inc. 152,044 2,493,522
* # Implant Sciences Corp. 22,300 63,332
* Incyte Corp. 215,405 1,643,540
* Indevus Pharmaceuticals, Inc. 119,394 409,521
* Inhibitex, Inc. 33,100 224,749
* InKine Pharmaceutical Co., Inc. 21,400 48,792
* Innovative Clinical Solutions, Ltd. 568 2
* # Insite Vision, Inc. 18,000 11,340
* # Insmed, Inc. 69,118 87,780
* Inspire Pharmaceuticals, Inc. 108,869 707,649
* Integra LifeSciences Holdings 76,255 2,548,442
* IntegraMed America, Inc. 3,100 32,395
* Interferon Scientific, Inc. 1,135 148
* Intermagnetics General Corp. 72,842 2,102,949
* InterMune, Inc. 84,700 1,017,247
* # Interpharm Holdings, Inc. 57,600 74,880
* IntraBiotics Pharmaceuticals, Inc. 19,300 66,585
* # Introgen Therapeutics, Inc. 79,911 570,565
* Intuitive Surgical, Inc. 81,623 4,040,339
Invacare Corp. 76,100 3,394,821
* Inverness Medical Innovations, Inc. 7,461 211,146
* Iomed, Inc. 16,500 34,650
* Iridex Corp. 6,800 40,800
* IRIS International, Inc. 42,424 810,723
* Isis Pharmaceuticals, Inc. 143,200 524,112
* # Isolagen, Inc. 78,000 317,460
* Ista Pharmaceuticals, Inc. 63,845 505,652
* # I-Trax, Inc. 58,600 90,830
* iVow, Inc. 6,500 2,925
* Kendle International, Inc. 34,403 396,667
* # Kensey Nash Corp. 29,554 803,869
* Keryx Biopharmaceuticals, Inc. 73,488 899,493
Kewaunee Scientific Corp. 2,000 15,980
* Kindred Healthcare, Inc. 96,478 3,722,121
* Kos Pharmaceuticals, Inc. 2,529 145,999
* Kosan Biosciences, Inc. 75,406 356,670
* K-V Pharmaceutical Co. Class A 93,250 1,855,675
* K-V Pharmaceutical Co. Class B 20,975 420,339
* Kyphon, Inc. 108,690 3,118,316
* La Jolla Pharmaceutical Co. 91,400 74,034
* LabOne, Inc. 44,585 1,718,306
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* Lannet Co., Inc. 58,830 294,150
* # Large Scale Biology Corp. 29,900 24,518
* Laserscope 55,650 1,916,030
LCA-Vision, Inc. 52,025 2,298,465
Lectec Corp. 3,900 5,460
* Lexicon Genetics, Inc. 164,918 798,203
* Lifecell Corp. 76,000 1,007,760
* Lifecore Biomedical, Inc. 33,730 430,395
* Lifeline Systems, Inc. 8,200 266,992
* LifePoint Hospitals, Inc. 25,910 1,165,432
* Ligand Pharmaceuticals, Inc. Class B 192,200 1,122,448
* # Lipid Sciences, Inc. 64,108 338,490
* Luminex Corp. 80,772 804,489
* Magellan Health Services, Inc. 69,382 2,252,834
* Martek Biosciences Corp. 29,100 1,088,049
* Matria Healthcare, Inc. 41,203 1,173,873
* # Matritech, Inc. 30,500 25,010
* Matrixx Initiatives, Inc. 24,675 260,075
Matthews International Corp. Class A 83,766 3,098,504
* Maxim Pharmaceuticals, Inc. 66,333 100,826
* Maxygen, Inc. 91,052 712,937
* Medarex, Inc. 265,262 2,010,686
* MedCath Corp. 46,849 1,213,858
* # Med-Design Corp. 25,262 17,178
* Medical Action Industries, Inc. 26,639 472,309
* Medical Staffing Network Holdings, Inc. 77,800 422,454
* Medicore, Inc. 3,800 45,220
* MEDTOX Scientific, Inc. 7,545 45,270
* Memory Pharmaceuticals Corp. 200 496
* Memry Corp. 26,600 42,560
Mentor Corp. 104,600 4,279,186
* Merge Technologies, Inc. 34,094 593,236
Meridian Bioscience, Inc. 40,704 742,848
* Merit Medical Systems, Inc. 68,076 995,952
Mesa Laboratories, Inc. 3,300 41,184
* Metropolitan Health Networks, Inc. 121,800 315,462
* Micro Therapeutics, Inc. 123,731 494,924
* Microtek Medical Holdings, Inc. 110,416 388,664
* # Milestone Scientific, Inc. 16,300 38,305
* Miravant Medical Technologies 1,800 1,116
* Molecular Devices Corp. 44,540 860,513
* Molina Healthcare, Inc. 7,400 316,720
* Myogen, Inc. 7,400 48,988
* Myriad Genetics, Inc. 79,957 1,316,092
* Nabi Biopharmaceuticals 152,850 1,878,527
* # Nanogen, Inc. 123,810 505,145
* # Nastech Pharmaceutical Co., Inc. 46,433 564,161
* National Dentex Corp. 5,250 98,438
National Home Health Care Corp. 5,465 72,521
* National Medical Health Card Systems, Inc. 12,600 290,052
National Research Corp. 7,000 99,610
* Natus Medical, Inc. 45,400 458,540
NDCHealth Corp. 93,600 1,568,736
* Nektar Therapeutics 220,283 4,026,773
* Neogen Corp. 24,125 351,284
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* Neopharm, Inc. 60,517 593,672
* Neose Technologies, Inc. 60,701 159,644
* Neurobiological Technologies, Inc. 2,700 8,964
* Neurocrine Biosciences, Inc. 26,900 1,013,323
* Neurogen Corp. 89,107 602,363
* New Brunswick Scientific Co., Inc. 7,660 40,981
* NMT Medical, Inc. 19,400 169,750
* North American Scientific, Inc. 39,750 119,250
* Northfield Laboratories, Inc. 67,685 883,966
* NovaMed, Inc. 55,400 342,926
* # Novavax, Inc. 102,771 140,796
* Noven Pharmaceuticals, Inc. 60,908 1,096,344
* Novoste Corp. 27,000 22,410
* NPS Pharmaceuticals, Inc. 97,120 1,123,678
* Nutraceutical International Corp. 30,064 396,544
* # Nutrition 21, Inc. 3,400 3,298
* NuVasive, Inc. 800 12,560
* Nuvelo, Inc. 104,581 775,991
NWH, Inc. 4,200 63,000
* # OCA, Inc. 130,851 536,489
* Odyssey Healthcare, Inc. 95,200 1,262,352
* Omnicell, Inc. 65,776 427,544
* Onyx Pharmaceuticals, Inc. 91,700 2,291,583
* Optical Sensors, Inc. 1,633 3,756
Option Care, Inc. 83,550 1,111,215
* OraSure Technologies, Inc. 115,850 962,714
* Orchid Biosciences, Inc. 58,160 565,315
* Orphan Medical, Inc. 10,300 109,592
* Orthologic Corp. 98,863 401,384
* Oscient Pharmaceutical Corp. 182,400 300,960
* Osteotech, Inc. 43,500 125,715
Owens & Minor, Inc. 102,900 3,189,900
* # Oxigene, Inc. 16,000 73,440
* Pain Therapeutics, Inc. 111,822 587,066
* PainCare Holdings, Inc. 116,100 476,010
* Palatin Technologies, Inc. 62 125
* Palomar Medical Technologies, Inc. 43,394 991,553
* Par Pharmaceutical Companies, Inc. 88,100 2,819,200
* Parexel International Corp. 67,962 1,240,307
* Patient Infosystems, Inc. 733 4,178
* PDI, Inc. 38,159 457,908
* Pediatric Services of America, Inc. 18,680 246,389
* Pediatrix Medical Group, Inc. 51,600 3,799,308
* Penwest Pharmaceuticals Co. 55,800 674,064
Perrigo Co. 186,047 2,891,170
* Per-Se Technologies, Inc. 78,427 1,487,760
* Pharmacopia Drug Discovery, Inc. 26,450 128,018
* # Pharmacyclics, Inc. 51,301 411,434
* # Pharmanetics, Inc. 1,000 275
* PhotoMedex, Inc. 65,295 139,731
* Physiometrix, Inc. 7,200 5,184
* Point Therapeutics, Inc. 660 3,056
PolyMedica Corp. 72,149 2,532,430
* Possis Medical, Inc. 44,554 469,154
* Pozen, Inc. 75,167 553,981
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* PRAECIS Pharmaceuticals, Inc. 97,104 64,089
* # Premier Laser Systems, Inc. Class A 3,400 1
* Priority Healthcare Corp. 96,039 2,197,372
* Progenics Pharmaceuticals, Inc. 46,300 926,000
* ProxyMed, Inc. 10,679 68,025
* PSS World Medical, Inc. 168,100 1,973,494
Psychemedics Corp. 5,225 75,763
* Psychiatric Solutions, Inc. 53,233 2,179,891
* Pure World, Inc. 7,600 15,048
* QLT, Inc. 38,900 403,393
* # QuadraMed Corp. 38,906 59,526
* Questcor Pharmaceuticals, Inc. 26,700 16,020
* Quidel Corp. 80,635 353,181
* Quigley Corp. 24,006 212,453
* Quinton Cardiology Systems, Inc. 34,800 278,052
* Radiation Therapy Services, Inc. 9,100 188,370
* Radiologix, Inc. 56,700 222,831
* Regeneration Technologies, Inc. 69,240 465,985
* Regeneron Pharmaceuticals, Inc. 139,337 868,070
* RehabCare Group, Inc. 42,700 1,186,633
* Repligen Corp. 72,100 165,109
* Res-Care, Inc. 37,785 503,674
* Rigel Pharmaceuticals, Inc. 11,822 211,496
* Rita Medical Systems, Inc. 97,521 259,406
* Rochester Medical Corp. 5,300 54,908
* # Rural/Metro Corp. 14,000 105,126
* Sangamo BioSciences, Inc. 65,897 247,114
* Savient Pharmaceuticals, Inc. 76,600 257,376
* Schick Technologies, Inc. 9,000 171,900
* Sciclone Pharmaceuticals, Inc. 123,969 308,683
* Seattle Genetics, Inc. 109,565 529,199
* # Senesco Technologies, Inc. 28,000 61,040
* Sequenom, Inc. 61,006 57,956
* SeraCare Life Sciences, Inc. 4,080 55,202
* Serologicals Corp. 89,922 1,932,424
* SFBC International, Inc. 47,518 1,663,605
* Sierra Health Services, Inc. 58,036 3,834,439
* # Sirna Therapeutics, Inc. 99,875 219,725
* Sonic Innovations, Inc. 54,300 236,205
* SonoSite, Inc. 39,945 1,226,312
* Sonus Pharmaceuticals, Inc. 55,550 179,982
Span-American Medical System, Inc. 2,400 24,720
* Specialty Laboratories, Inc. 60,000 493,200
* Spectranetics Corp. 65,882 376,186
* Spectrum Pharmaceuticals, Inc. 39,808 207,400
* SRI/Surgical Express, Inc. 8,700 39,455
* Staar Surgical Co. 53,600 210,648
* # StemCells, Inc. 2,600 10,790
* Stratagene Corp. 4,926 42,216
* Strategic Diagnostics, Inc. 50,100 140,781
* Sun Healthcare Group, Inc. 39,392 275,744
* Suncoast Naturals, Inc. 950 107
* SunLink Health Systems, Inc. 1,048 8,478
* # Sunrise Senior Living, Inc. 52,865 2,756,910
* SuperGen, Inc. 132,959 668,784
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* SurModics, Inc. 47,092 1,856,367
* Sybron Dental Specialties, Inc. 99,700 3,695,879
* Symbion, Inc. 1,000 23,600
* Synovis Life Technologies, Inc. 29,700 227,205
* Synthetech, Inc. 16,200 9,769
* Tanox, Inc. 113,954 1,128,145
* Telik, Inc. 133,900 1,909,414
* The Medicines Co. 125,092 2,744,518
* Theragenics Corp. 77,900 267,197
* Third Wave Technologies, Inc. 106,973 402,218
* Thoratec Corp. 126,743 1,893,540
* Titan Pharmaceuticals, Inc. 84,100 180,815
* TLC Vision Corp. 33,060 285,969
* Transgenomic, Inc. 10,749 7,309
* Transkaryotic Therapies, Inc. 90,386 3,072,220
* Trestle Holdings, Inc. 450 720
* Trimeris, Inc. 56,878 577,312
* TriPath Imaging, Inc. 98,952 849,998
* Tripos, Inc. 10,620 38,232
* TriZetto Group, Inc. 118,732 1,648,000
* U.S. Physical Therapy, Inc. 32,298 517,737
* United Surgical Partners International, Inc. 74,117 3,567,992
* United Therapeutics Corp. 58,458 2,920,562
* Urologix, Inc. 37,142 162,311
# Utah Medical Products, Inc. 5,000 108,800
* V.I. Technologies, Inc. 18,206 53,708
* Varian, Inc. 91,299 3,396,323
* # Vascular Solutions, Inc. 36,900 442,062
* Vaxgen, Inc. 42,400 421,456
* Ventana Medical Systems, Inc. 91,342 3,859,200
* Ventiv Health, Inc. 65,677 1,333,243
* Vertex Pharmaceuticals, Inc. 211,129 2,938,916
* Viasys Healthcare, Inc. 15,100 351,075
* Vical, Inc. 47,255 179,569
* Vicuron Pharmaceuticals, Inc. 157,650 2,598,072
* Virbac Corp. 22,000 72,050
* Virologic, Inc. 201,960 551,351
* # ViroPharma, Inc. 65,625 285,469
* Vision-Sciences, Inc. 5,100 13,719
* VistaCare, Inc. 500 8,920
* # Vital Images, Inc. 30,392 542,497
Vital Signs, Inc. 33,840 1,427,033
* Vivus, Inc. 111,164 264,570
West Pharmaceutical Services, Inc. 80,600 2,243,904
* Wilson Greatbatch Technologies, Inc. 56,100 1,348,644
* Wright Medical Group, Inc. 88,026 2,424,236
* Zevex International, Inc. 3,400 13,957
* Zila, Inc. 118,529 343,734
* Zoll Medical Corp. 24,862 590,224
* ZymeTx, Inc. 700 39
* Zymogenetics, Inc. 145,639 2,535,575
----------------
Total Health Care
(Cost $356,009,402) 364,979,811
----------------
40
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Financials -- (12.1%)
1st Independence Financial Group, Inc. 1,100 20,900
1st Source Corp. 53,131 1,157,193
# 21st Century Holding Co. 1,650 21,450
21st Century Insurance Group 214,200 2,983,806
* A. B. Watley Group, Inc. 9,400 564
ABC Bancorp 11,292 200,433
* # Acacia Research-Acacia Technologies 20,960 117,586
* Accredited Home Lenders Holding Co. 55,056 2,310,700
* ACE Cash Express, Inc. 36,832 803,306
Advanta Corp. Class A 25,017 573,640
Advanta Corp. Class B Non-Voting 49,242 1,214,800
* Aether Systems, Inc. 114,042 356,951
* # Agility Capital, Inc. 500 3
* # Aixtron AG 36,373 117,849
Alabama National Bancorporation 45,846 2,882,796
Alfa Corp. 209,478 2,999,725
* Allmerica Financial Corp. 11,700 408,564
Amcore Financial, Inc. 66,665 1,857,287
Amegy Bancorporation, Inc. 183,720 3,272,053
* AMEN Properties, Inc. 1,975 10,053
* # American Business Financial Services, Inc. 5,074 317
* American Independence Corp. 8,400 111,300
* American Physicians Capital, Inc. 22,400 776,160
American Physicians Services Group, Inc. 100 1,240
* American West Bancorporation 3,552 70,223
Americana Bancorp 2,712 38,809
* AmeriServe Financial, Inc. 50,766 277,182
AmerUs Group Co. 27,644 1,315,578
Anchor Bancorp Wisconsin, Inc. 60,417 1,668,718
* Arch Capital Group, Ltd. 5,900 263,435
* Argonaut Group, Inc. 74,701 1,564,239
Arrow Financial Corp. 10,239 276,453
ASB Financial Corp. 1,000 22,375
ASTA Funding, Inc. 1,900 53,048
* Atlantic American Corp. 21,100 63,722
Baldwin & Lyons, Inc. Class B 17,725 455,532
* Bancinsurance Corp. 5,700 29,640
* Bancshares of Florida, Inc. 100 1,600
Bank of Granite Corp. 16,400 297,824
Bank of The Ozarks, Inc. 42,900 1,356,498
BankAtlantic Bancorp, Inc. Class A 46,085 817,548
BankUnited Financial Corp. Class A 80,475 1,988,537
Banner Corp. 31,251 831,589
Bay View Capital Corp. 17,155 271,907
Beverly Hills Bancorp, Inc. 20,837 217,747
* BFC Financial Corp. 10,938 98,880
* BNS Holding, Inc. Class A 4,120 28,428
Boston Private Financial Holdings, Inc. 74,500 1,823,760
Bristol West Holdings, Inc. 700 12,110
Brookline Bancorp, Inc. 153,619 2,335,009
Bryn Mawr Bank Corp. 1,600 31,184
C&F Financial Corp. 300 12,000
California First National Bancorp 10,400 120,640
Camco Financial Corp. 7,516 108,456
Capital Corp. of the West 9,082 220,238
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* Capital Crossing Bank 11,800 383,264
Capital Southwest Corp. 300 24,690
Capitol Bancorp, Ltd. 8,564 265,056
* Cardinal Financial Corp. 47,258 430,048
Cash America International, Inc. 79,300 1,363,960
# Cavalry Bancorp, Inc. 500 11,000
Center Bancorp, Inc. 1,984 23,635
Center Financial Corp. 27,190 581,050
Central Bancorp, Inc. 1,600 41,392
Central Pacific Financial Corp. 78,100 2,772,550
Century Bancorp, Inc. Class A 1,000 26,280
* Ceres Group, Inc. 89,695 513,952
CFS Bancorp, Inc. 23,720 310,969
Charter Financial Corp. 22,811 793,823
Chemical Financial Corp. 65,873 2,106,619
Chester Valley Bancorp, Inc. 603 14,951
Chittenden Corp. 125,253 3,287,891
Citizens Banking Corp. 112,417 3,257,845
* Citizens First Bancorp, Inc. 750 15,757
Citizens South Banking Corp. 17,229 217,602
* # Citizens, Inc. 97,286 563,286
City Holding Co. 44,692 1,509,696
Clark, Inc. 49,524 718,098
* CNA Surety Corp. 90,918 1,256,487
CoBiz, Inc. 12,825 230,593
Columbia Banking System, Inc. 41,987 1,032,880
Commercial Bancshares, Inc. 5,665 220,878
Commercial Capital Bancorp, Inc. 34,625 586,894
Commercial Federal Corp. 106,000 2,651,060
Commercial National Financial Corp. 3,200 68,000
Community Bank System, Inc. 79,500 1,852,350
Community Bankshares, Inc. 210 3,622
Community Trust Bancorp, Inc. 15,103 447,200
Community West Bancshares 5,500 66,990
* # CompuCredit Corp. 123,710 3,900,576
Consolidated-Tokoma Land Co. 6,100 468,175
* Consumer Portfolio Services, Inc. 3,300 14,520
Cooperative Bankshares, Inc. 2,100 39,060
Corus Bankshares, Inc. 75,044 3,851,258
Crawford & Co. Class A 27,300 195,468
Crawford & Co. Class B 25,300 182,666
* Credit Acceptance Corp. 95,699 1,350,313
CVB Financial Corp. 159,058 2,933,030
* # Danielson Holding Corp. 107,650 1,749,312
Delphi Financial Group, Inc. Class A 74,050 3,139,720
Delta Financial Corp. 54,700 495,035
Dime Community Bancshares 99,000 1,494,900
Donegal Group, Inc. Class A 14,221 262,520
Donegal Group, Inc. Class B 3,910 64,398
Downey Financial Corp. 17,976 1,348,560
EFC Bancorp, Inc. 4,600 124,200
* E-Loan, Inc. 165,700 472,245
EMC Insurance Group, Inc. 11,300 201,592
* Encore Capital Group, Inc. 58,100 892,416
* Epoch Holding Corp. 8,400 37,800
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ESB Financial Corp. 11,762 156,671
* eSpeed, Inc. 84,500 724,165
* EZCORP, Inc. Class A Non-Voting 10,800 102,708
F.N.B. Corp. 146,320 2,718,626
FBL Financial Group, Inc. Class A 71,000 1,899,250
Federal Agriculture Mortgage Corporation 27,300 504,504
Fidelity Bankshares, Inc. 62,948 1,557,963
Fidelity Southern Corp. 8,800 142,736
Financial Federal Corp. 45,200 1,685,960
* Financial Industries Corp. 12,482 106,721
* Firebrand Financial Group, Inc. 9,100 637
* First Acceptance Corp. 112,100 1,003,295
First Albany Companies, Inc. 9,098 52,313
First Bancorp 9,315 194,683
* First Bank of Delaware 6,967 22,991
* First Cash Financial Services, Inc. 41,581 723,509
First Charter Corp. 77,808 1,715,666
First Citizens BancShares, Inc. 1,300 169,689
First Commonwealth Financial Corp. 180,951 2,417,505
First Community Bancorp 40,400 1,784,872
First Community Bancshares, Inc. 28,561 859,115
First Defiance Financial Corp. 6,859 183,410
First Federal Bancshares of Arkansas, Inc. 5,800 142,042
First Financial Bancorp 112,957 2,033,226
First Financial Bankshares, Inc. 15,395 639,508
First Financial Corp. 2,550 69,105
First Financial Holdings, Inc. 31,964 909,056
First Franklin Corp. 300 4,728
First Indiana Corp. 40,322 1,086,678
* First Investors Financial Services Group, Inc. 5,400 25,785
First Keystone Financial, Inc. 2,000 34,620
First M&F Corp. 2,100 69,961
* First Mariner Bancorp 4,900 81,683
First Merchants Corp. 47,508 1,181,524
First Midwest Bancorp, Inc. 7,375 255,839
First Mutual Bancshares, Inc. 5,013 123,821
First Niagara Financial Group, Inc. 269,404 3,507,640
First Oak Brook Bancshares, Inc. 3,150 86,908
First PacTrust Bancorp, Inc. 8,200 202,868
First Place Financial Corp. 38,858 765,114
First Republic Bank 65,425 2,098,834
First State Bancorporation 39,876 736,111
First United Corp. 3,500 70,840
Firstbank Corp. 2,976 75,907
FirstBank NW Corp. 2,928 76,567
* FirstCity Financial Corp. 28,500 370,500
* FirstFed Financial Corp. 42,900 2,324,322
Flag Financial Corp. 6,500 96,850
Flagstar Bancorp, Inc. 159,500 3,151,720
Flushing Financial Corp. 50,014 844,736
FMS Financial Corp. 3,300 57,865
FNB Corp. 2,700 49,950
FNB Financial Services Corp. 2,625 55,624
Foothill Independent Bancorp 8,193 168,627
* FPIC Insurance Group, Inc. 26,046 775,129
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* Franklin Bank Corp. 34,744 594,122
Frontier Financial Corp. 7,100 176,790
Gabelli Asset Management, Inc. 18,800 820,620
Gateway Financial Holdings, Inc. 19,065 343,364
GB & T Bancshares, Inc. 875 18,865
Glacier Bancorp, Inc. 79,771 1,862,659
Gold Banc Corp. 63,565 882,918
Great American Financial Resources, Inc. 18,300 308,538
Great Southern Bancorp, Inc. 13,600 424,456
Greater Bay Bancorp 132,312 3,325,001
Greater Communications Bancorp 3,690 59,040
Greene County Bancshares, Inc. 1,900 54,625
* Grubb & Ellis Co. 14,900 89,400
Guaranty Bancshares, Inc. 3,000 61,230
Guaranty Federal Bancshares, Inc. 3,000 69,750
Hancock Holding Co. 84,429 2,732,122
Hanmi Financial Corp. 12,900 207,303
Harbor Florida Bancshares, Inc. 61,991 2,205,020
Harleysville Group, Inc. 78,302 1,590,314
Harleysville National Corp. 68,134 1,571,851
Heartland Financial USA, Inc. 5,779 114,309
Heritage Commerce Corp. 2,800 51,856
Heritage Financial Corp. 7,500 163,125
HF Financial Corp. 3,630 82,582
Hilb Rogal Hamilton Co. 93,300 3,180,597
HMN Financial, Inc. 4,400 132,594
Home Federal Bancorp 4,300 104,920
# Home Loan Financial Corp. 1,700 33,303
HopFed Bancorp, Inc. 2,100 33,642
Horace Mann Educators Corp. 111,338 2,026,352
Horizon Financial Corp. 25,674 516,047
IBERIABANK Corp. 19,853 1,168,151
ILX Resorts, Inc. 2,900 28,449
Independence Holding Co. 4,950 87,367
Independent Bank Corp. MA 39,823 1,112,256
Independent Bank Corp. MI 55,084 1,550,064
Infinity Property & Casualty Corp. 53,046 1,697,472
* Instinet Group, Inc. 33,471 176,727
Integra Bank Corp. 45,119 996,679
Interchange Financial Services Corp. 18,900 343,224
* Investment Technology Group, Inc. 109,100 2,153,634
Investors Title Co. 1,400 49,308
Irwin Financial Corp. 73,500 1,542,765
* ITLA Capital Corp. 5,800 288,956
* Jones Lang LaSalle, Inc. 83,100 3,524,271
* Kennedy-Wilson, Inc. 8,800 90,816
* KNBT Bancorp, Inc. 7,184 107,118
* Knight Capital Group, Inc. 286,123 2,160,229
* LaBranche & Co., Inc. 112,200 620,466
* Ladenburg Thalmann Financial Services, Inc. 26,069 15,902
Lakeland Bancorp, Inc. 13,119 199,671
LandAmerica Financial Group, Inc. 46,200 2,596,440
Leesport Financial Corp. 551 13,659
LNB Bancorp, Inc. 1,200 20,028
LSB Bancshares, Inc. 5,156 90,746
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LSB Corp. 4,300 69,015
MAF Bancorp, Inc. 70,827 3,014,397
Main Street Banks, Inc. 55,524 1,464,168
MASSBANK Corp. 4,700 167,555
* Matrix Bancorp, Inc. 6,500 83,200
* Mays (J.W.), Inc. 200 3,208
MB Financial, Inc. 74,464 2,843,780
MBT Financial Corp. 44,861 857,742
MCG Capital Corp. 115,934 1,854,944
* Meadowbrook Insurance Group, Inc. 75,600 389,340
Medallion Finanacial Corp. 45,822 424,312
Mercantile Bank Corp. 1,260 51,471
* Mercer Insurance Group, Inc. 1,000 12,850
Merchants Bancshares, Inc. 6,150 162,852
Merchants Group, Inc. 1,300 32,630
Meta Financial Group, Inc. 2,400 50,640
* Metris Companies, Inc. 150,700 1,956,086
MetroCorp. Bancshares, Inc. 7,000 145,600
MFB Corp. 1,300 34,151
MicroFinancial, Inc. 15,200 59,128
Midland Co. 6,600 210,870
Mid-State Bancshares 60,403 1,616,988
Midwest Banc Holdings, Inc. 46,520 930,400
MutualFirst Financial, Inc. 2,000 43,920
Nara Bancorp, Inc. 60,711 843,276
National Penn Bancshares, Inc. 89,710 2,124,333
* National Western Life Insurance Co. Class A 1,000 183,375
* Navigators Group, Inc. 32,984 1,096,388
NBT Bancorp, Inc. 85,499 2,026,326
NetBank, Inc. 57,533 478,099
New Hampshire Thrift Bancshares, Inc. 400 6,460
NewMil Bancorp, Inc. 4,400 134,200
* Newtek Business Services, Inc. 89,188 230,997
North Central Bancshares, Inc. 1,700 65,858
Northeast Bancorp 900 19,728
Northrim BanCorp, Inc. 6,068 138,784
Northwest Bancorp, Inc. 131,309 2,613,049
NYMAGIC, Inc. 8,700 177,915
Oak Hill Financial, Inc. 3,000 77,790
OceanFirst Financial Corp. 33,880 728,420
* Ocwen Financial Corp. 162,434 1,174,398
Ohio Casualty Corp. 142,349 3,402,141
Old National Bancorp 96,100 1,905,663
Omega Financial Corp. 8,200 239,194
Pacific Capital Bancorp 118,247 3,996,749
* Pacific Mercantile Bancorp 5,900 83,284
* Pacific Premier Bancorp, Inc. 3,900 40,841
Pamrapo Bancorp, Inc. 5,100 111,690
Park Bancorp, Inc. 1,200 36,156
Parkvale Financial Corp. 5,700 158,460
Partners Trust Financial Group, Inc. 12,189 125,790
PAULA Financial 6,100 10,736
* Penn Treaty American Corp. 83,600 186,428
Pennfed Financial Services, Inc. 14,800 214,896
Penns Woods Bancorp, Inc. 770 37,391
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Peoples Bancorp, Inc. 300 5,909
PFF Bancorp, Inc. 65,700 1,907,928
* Philadelphia Consolidated Holding Corp. 27,238 2,246,318
* Pinnacle Financial Partners, Inc. 20,760 463,778
* Piper Jaffray Companies, Inc. 53,800 1,520,926
* PMA Capital Corp. Class A 82,308 611,548
Pocahontas Bancorp, Inc. 4,400 61,600
* Premier Financial Bancorp 5,200 56,550
Presidential Life Corp. 75,392 1,142,189
* ProAssurance Corp. 75,850 2,967,252
ProCentury Corp. 1,200 12,240
Prosperity Bancshares, Inc. 71,425 1,937,046
Provident Bancorp, Inc. 90,549 1,060,329
Provident Bankshares Corp. 86,093 2,723,983
Provident Financial Holdings, Inc. 8,325 231,601
Provident Financial Services, Inc. 16,553 294,312
Pulaski Financial Corp. 5,400 120,366
Rainier Pacific Financial Group, Inc. 2,000 34,180
Renasant Corp. 2,490 75,746
Republic Bancorp, Inc. 183,071 2,527,295
Republic Bancorp, Inc. Class A 15,986 364,801
* Republic First Bancorp, Inc. 7,803 103,936
* Rewards Network, Inc. 63,600 324,996
Riverview Bancorp, Inc. 4,500 96,750
RLI Corp. 66,000 2,886,840
Royal Bancshares of Pennsylvania, Inc. Class A 4,518 106,625
* RTW, Inc. 5,150 49,955
S&T Bancorp, Inc. 68,981 2,424,682
Sanders Morris Harris Group, Inc. 54,739 894,983
Sandy Spring Bancorp, Inc. 38,050 1,263,260
* SCPIE Holdings, Inc. 9,300 104,346
Seacoast Banking Corp. of Florida 40,153 813,901
Selective Insurance Group, Inc. 71,361 3,434,605
* Siebert Financial Corp. 22,300 65,785
Sierra Bancorp 1,700 38,733
Simmons First National Corp. Class A 36,427 893,919
Sound Federal Bancorp, Inc. 30,784 490,081
Southern Banc Co., Inc. 200 3,035
Southside Banchares, Inc. 348 6,835
Southwest Bancorp, Inc. 31,700 573,770
* Standard Management Corp. 7,600 13,680
State Auto Financial Corp. 103,912 2,805,624
State Financial Services Corp. Class A 7,800 309,660
Sterling Bancorp 47,351 1,001,474
Sterling Bancshares, Inc. 116,799 1,588,466
* Sterling Financial Corp. 59,270 2,095,194
Stewart Information Services Corp. 47,100 1,848,675
* Stifel Financial Corp. 25,200 532,224
* Stratus Properties, Inc. 7,050 117,594
Suffolk Bancorp 8,600 269,524
Summit Bancshares, Inc. 4,000 70,560
Summit Bank Corp. 2,520 35,305
* Sun Bancorp, Inc. 45,666 947,113
* Superior Essex, Inc. 21,408 359,012
Susquehanna Bancshares, Inc. 116,691 2,655,887
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* SVB Financial Group 71,258 3,403,282
SWS Group, Inc. 34,518 547,110
Teche Holding Co. 700 25,305
* Tejon Ranch Co. 13,900 721,410
Texas Regional Banchshares, Inc. Class A 82,660 2,379,781
Texas United Bancshares, Inc. 100 1,739
TF Financial Corp. 2,600 75,400
* Thackeray Corp. 4,100 0
* Thackeray Corp. Escrow Shares 4,100 820
* The Banc Corp. 45,200 474,600
The Colonial BancGroup, Inc. 8,500 189,465
# The Phoenix Companies, Inc. 246,900 2,839,350
* The Washtenaw Group, Inc. 1,500 1,875
TierOne Corp. 47,512 1,146,227
Timberland Bancorp, Inc. 3,900 89,739
Tompkins County Trustco, Inc. 399 16,479
* Tradestation Group, Inc. 108,600 800,382
* Trammell Crow Co. 91,400 2,061,070
* Triad Guaranty, Inc. 36,814 1,995,319
Trico Bancshares 9,900 201,960
TrustCo Bank Corp. NY 194,804 2,425,310
UICI 118,900 2,990,335
UMB Financial Corp. 56,265 3,133,960
Umpqua Holdings Corp. 110,236 2,569,601
* Unico American Corp. 5,500 50,325
Union Bankshares Corp. 170 6,164
Union Community Bancorp 2,300 37,904
* United America Idemnity, Ltd. 24,043 409,933
United Bankshares, Inc. 86,576 2,895,967
United Community Banks, Inc. 96,391 2,407,847
United Community Financial Corp. 78,072 820,537
United Financial Corp. 660 16,153
* United Financial Mortgage Corp. 10,400 45,032
United Fire & Casualty Co. 12,400 488,188
* United PanAm Financial Corp. 600 14,292
# United Security Bancshares 2,000 51,592
Unity Bancorp, Inc. 5,733 70,229
* Universal American Financial Corp. 143,652 2,720,769
Unizan Financial Corp. 33,197 846,192
* USA Mobility, Inc. 42,300 1,119,258
USB Holding Co., Inc. 17,953 379,367
Vail Banks, Inc. 1,300 18,200
Vesta Insurance Group, Inc. 93,800 236,376
* Virginia Commerce Bancorp, Inc. 625 13,962
Washington Banking Co. 6,240 89,232
Washington Savings Bank, FSB 2,400 20,784
Washington Trust Bancorp, Inc. 33,863 954,598
Wesbanco, Inc. 57,861 1,710,950
West Bancorporation 35,716 636,102
West Coast Bancorp 38,629 840,567
Westamerica Bancorporation 3,713 195,489
Westbank Corp. 4,740 79,822
* Western Sierra Bancorp 1,575 53,723
Westwood Holdings Group, Inc. 6,479 109,430
Willow Grove Bancorp, Inc. 23,951 365,157
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* Wilshire Enterprises, Inc. 7,107 53,302
Wintrust Financial Corp. 56,019 2,804,871
* World Acceptance Corp. 49,409 1,287,104
Yardville National Bancorp 16,400 556,124
Zenith National Insurance Corp. 18,600 1,178,310
----------------
Total Financials
(Cost $256,684,688) 315,527,466
----------------
Energy -- (5.3%)
* Abraxas Petroleum Corp. 4,100 11,234
Adams Resources & Energy, Inc. 4,200 70,770
* Atlas America, Inc. 400 12,504
* ATP Oil & Gas Corp. 72,000 1,518,480
* Atwood Oceanics, Inc. 41,000 2,348,890
Barnwell Industries, Inc. 800 49,000
Berry Petroleum Corp. Class A 54,700 2,601,532
* Bolt Technology Corp. 5,400 31,590
* # BPZ Energy, Inc. 544 2,502
* Brigham Exploration Co. 114,213 966,242
Cabot Oil & Gas Corp. 69,750 2,186,662
* Cal Dive International, Inc. 64,586 2,932,204
* Callon Petroleum Co. 45,762 647,532
CARBO Ceramics, Inc. 43,100 3,087,684
* Carrizo Oil & Gas, Inc. 18,600 280,488
Castle Energy Corp. 14,300 185,900
* # Cimarex Energy Co. 14,004 526,971
* Clayton Williams Energy, Inc. 9,200 251,344
* Comstock Resources, Inc. 105,900 2,416,638
* Contango Oil & Gas Co. 1,300 10,322
* Dawson Geophysical Co. 5,400 112,320
* Delta Petroleum Corp. 105,718 1,207,300
* Denbury Resources, Inc. 106,100 3,393,078
* Dril-Quip, Inc. 46,700 1,277,245
* Edge Petroleum Corp. 44,413 605,349
* Encore Acquisition Co. 84,800 3,163,040
* Endeavour International Corp. 213,700 703,073
* Energy Partners, Ltd. 93,300 2,131,905
Frontier Oil Corp. 70,100 3,428,591
* # FX Energy, Inc. 19,400 180,808
* Gasco Energy, Inc. 9,700 30,652
* Giant Industries, Inc. 34,700 999,707
* Goodrich Petroleum Corp. 54,700 968,737
* Grey Wolf, Inc. 496,000 3,258,720
* # GSV, Inc. 1,800 468
Gulf Island Fabrication, Inc. 31,577 634,698
* Gulfmark Offshore, Inc. 52,114 1,305,977
* Hanover Compressor Co. 225,100 2,347,793
* Harvest Natural Resources, Inc. 97,700 1,059,068
Holly Corp. 37,200 1,422,156
* # Horizon Offshore, Inc. 48,983 15,430
* Houston Exploration Co. 49,997 2,548,347
* Hydril Co. 47,500 2,465,725
* # Infinity, Inc. 27,998 230,983
* Input/Output, Inc. 204,500 1,212,685
* KCS Energy, Inc. 128,500 1,805,425
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* Key Energy Group, Inc. 249,200 2,738,708
* # KFX, Inc. 169,800 2,236,266
* Lone Star Technologies, Inc. 75,500 3,129,475
Lufkin Industries, Inc. 12,800 369,024
* Magnum Hunter Resources, Inc. 216,302 3,344,029
Maritrans, Inc. 7,800 186,342
MarkWest Hydrocarbon, Inc. 10,285 224,624
* # Matrix Service Co. 45,000 185,850
* Maverick Tube Corp. 111,200 3,359,352
* # McMoran Exploration Co. 63,464 1,174,719
* Meridian Resource Corp. 206,000 933,180
* Mission Resources Corp. 106,500 752,955
* Mitcham Industries, Inc. 22,300 156,546
* NATCO Group, Inc. Class A 25,100 270,076
* Natural Gas Services Group 300 3,087
* Newpark Resources, Inc. 218,300 1,331,630
* NS Group, Inc. 57,700 1,662,914
* Oceaneering International, Inc. 66,700 2,434,550
* Offshore Logistics, Inc. 60,500 1,894,860
* Oil States International, Inc. 128,831 2,983,726
* # OMNI Energy Services Corp. 29,200 47,596
Overseas Shipholding Group, Inc. 18,725 1,144,097
* Parallel Petroleum Corp. 81,100 552,291
* Parker Drilling Co. 246,600 1,405,620
Penn Virginia Corp. 47,800 1,972,706
* Petrohawk Energy Corp. 11,800 103,132
* Petroleum Development Corp. 43,033 1,124,452
* Pioneer Drilling Co. 1,500 20,985
Range Resources Corp. 164,500 3,799,950
* Remington Oil & Gas Corp. 72,200 2,238,200
* Rentech, Inc. 57,800 85,544
Resource America, Inc. 45,153 1,534,299
* Royale Energy, Inc. 4,509 24,619
RPC, Inc. 42,900 633,633
* Seabulk International, Inc. 46,800 917,748
* SEACOR Holdings, Inc. 49,400 2,868,164
* Spinnaker Exploration Co. 88,190 2,704,787
St. Mary Land & Exploration Co. 175,600 4,569,112
* Stone Energy Corp. 69,363 2,984,690
* Superior Energy Services, Inc. 199,200 3,117,480
* Swift Energy Corp. 72,900 2,489,535
* Syntroleum Corp. 138,726 1,202,754
* T-3 Energy Services, Inc. 1,250 8,875
* # Tel Offshore Trust 3,145 22,864
Tesoro Petroleum Corp. 43,595 1,900,742
* # Teton Petroleum Co. 20,400 71,400
* TETRA Technologies, Inc. 58,200 1,606,320
* Tipperary Corp. 17,900 83,593
* # Torch Offshore, Inc. 18,300 2,242
* Toreador Resources Corp. 4,900 105,252
* TransMontaigne, Inc. 108,100 895,068
* # Tri-Valley Corp. 57,800 690,132
* # U.S. Energy Corp. Wyoming 11,500 46,230
* Universal Compression Holdings, Inc. 82,249 2,812,916
USEC, Inc. 221,431 3,022,533
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* Veritas DGC, Inc. 88,000 2,376,000
* Westmoreland Coal Co. 21,300 457,524
* W-H Energy Services, Inc. 72,100 1,562,407
* Whiting Petroleum Corp. 7,660 264,883
World Fuel Services Corp. 59,300 1,562,555
----------------
Total Energy
(Cost $94,571,902) 139,052,612
----------------
Materials -- (5.0%)
* AEP Industries, Inc. 13,000 223,990
* AK Steel Holding Corp. 285,400 2,183,310
Albemarle Corp. 78,881 3,000,633
* Aleris International, Inc. 77,684 1,850,433
AMCOL International Corp. 78,200 1,517,080
* American Pacific Corp. 7,100 57,510
American Vanguard Corp. 2,642 47,292
Applied Extrusion Technologies, Inc. 50 0
Arch Chemicals, Inc. 60,122 1,417,076
Atlantis Plastics, Inc. 4,400 27,324
* Badger Paper Mills, Inc. 1,000 3,340
Bairnco Corp. 7,300 81,541
Balchem Corp. 7,050 195,285
* Brush Engineered Materials, Inc. 51,900 735,942
* Buckeye Technologies, Inc. 101,083 835,956
Calgon Carbon Corp. 102,600 914,166
Cambrex Corp. 72,600 1,314,060
* Canyon Resources Corp. 63,900 47,286
* Caraustar Industries, Inc. 76,066 798,693
Carpenter Technology Corp. 59,900 3,234,600
* Castle (A.M.) & Co. 15,437 215,964
* Century Aluminum Co. 86,490 1,938,241
Chesapeake Corp. 50,702 1,058,151
Cleveland-Cliffs, Inc. 54,000 3,166,020
* Coeur d'Alene Mines Corp. 643,300 2,142,189
Commercial Metals Co. 90,000 2,354,400
Compass Minerals International, Inc. 21,900 493,407
* Constar International, Inc. 20,900 66,880
* # Continental Materials Corp. 200 6,238
* # Core Molding Technologies, Inc. 7,700 72,380
CPAC, Inc. 5,120 25,549
Crompton Corp. 286,900 4,403,915
Deltic Timber Corp. 32,871 1,272,108
* Detrex Corp. 500 2,338
* Devcon International Corp. 3,600 42,300
Eagle Materials, Inc. 22,200 1,946,274
Eagle Materials, Inc. Class B 21,600 1,837,080
* Eden Bioscience Corp. 6,200 3,720
* Environmental Technologies Corp. 3,700 2
Ferro Corp. 108,900 2,095,236
Flamemaster Corp. 189 803
Friedman Industries, Inc. 6,158 47,355
Fuller (H.B.) Co. 73,609 2,384,932
Georgia Gulf Corp. 85,000 2,701,300
Gibraltar Industries, Inc. 63,004 1,232,358
Glatfelter (P.H.) Co. 114,100 1,277,920
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* Graphic Packaging Corp. 317,600 1,191,000
Great Lakes Chemical Corp. 132,800 4,501,920
Hawkins, Inc. 10,200 125,460
* Headwaters, Inc. 103,800 3,433,704
* Hecla Mining Co. 307,600 1,378,048
* Hercules, Inc. 208,900 2,886,998
* ICO, Inc. 14,320 33,509
* Impreso, Inc. 5,300 5,671
* Keystone Consolidated Industries, Inc. 2,100 357
Kronos Worldwide, Inc. 688 21,741
* Landec Corp. 61,790 370,122
* Lesco, Inc. 18,300 247,050
* # Liquidmetal Technologies, Inc. 68,495 106,852
Longview Fibre Co. 131,900 2,634,043
MacDermid, Inc. 78,800 2,293,868
* Material Sciences Corp. 37,500 457,500
* Maxxam, Inc. 8,900 206,925
Metal Management, Inc. 62,800 1,153,636
* Metals USA, Inc. 52,480 1,111,002
Minerals Technologies, Inc. 53,100 3,573,630
* Mines Management, Inc. 900 5,139
* Mod-Pac Corp. 2,750 43,860
* Mod-Pac Corp. Class B 1,112 16,458
Myers Industries, Inc. 89,419 997,022
* # Nanophase Technologies Corp. 46,498 303,167
Nevada Chemicals, Inc. 2,500 16,750
* NewMarket Corp. 43,500 591,165
Niagara Corp. 8,200 70,110
* NL Industries, Inc. 126,576 1,923,955
NN, Inc. 43,875 556,774
Northern Technologies International Corp. 3,000 14,700
* Northwest Pipe Co. 6,300 139,608
Olin Corp. 170,252 3,195,630
* # Olympic Steel, Inc. 25,900 406,630
* OM Group, Inc. 72,900 1,837,080
* OMNOVA Solutions, Inc. 14,000 56,840
* Oregon Steel Mills, Inc. 91,800 1,621,188
Packaging Dynamics Corp. 4,120 58,092
Penford Corp. 7,300 113,077
* PolyOne Corp. 170,800 1,147,776
Pope & Talbot, Inc. 44,800 494,144
Potlatch Corp. 75,300 3,892,257
Quaker Chemical Corp. 27,020 478,254
Quanex Corp. 65,250 3,385,823
Reliance Steel & Aluminum Co. 82,457 3,173,770
Roanoke Electric Steel Corp. 9,900 198,495
Rock of Ages Corp. 4,400 26,708
Rock-Tenn Co. Class A 89,500 1,030,145
Royal Gold, Inc. 54,235 951,824
* RTI International Metals, Inc. 56,400 1,544,796
# Ryerson Tull, Inc. 65,000 989,300
Schnitzer Steel Industries, Inc. Class A 62,351 1,441,555
Schulman (A.), Inc. 78,955 1,291,704
Schweitzer-Maudoit International, Inc. 38,600 1,156,842
Sensient Technologies Corp. 122,400 2,490,840
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Silgan Holdings, Inc. 47,913 2,731,041
* Southwall Technologies, Inc. 14,200 19,028
Spartech Corp. 83,600 1,691,228
Steel Dynamics, Inc. 36,058 969,600
Steel Technologies, Inc. 33,450 669,000
Stepan Co. 8,400 178,164
* Stillwater Mining Co. 234,900 1,585,575
Summa Industries, Inc. 5,200 40,040
* Symyx Technologies, Inc. 84,600 2,155,608
* Synalloy Corp. 5,900 68,145
* Terra Industries, Inc. 241,800 1,535,430
Texas Industries, Inc. 57,800 2,659,956
* # Titanium Metals Corp. 15,850 674,259
* # U.S. Aggregates, Inc. 1,600 4
* U.S. Concrete, Inc. 74,600 456,552
* UFP Technologies, Inc. 3,800 11,780
* Universal Stainless & Alloy Products, Inc. 6,000 75,300
Valhi, Inc. 10,040 186,142
Vulcan International Corp. 700 34,370
Wausau-Mosinee Paper Corp. 134,036 1,675,450
* Webco Industries, Inc. 6,000 34,500
Wellman, Inc. 70,400 791,296
* Williams Industries, Inc. 1,200 4,183
Worthington Industries, Inc. 28,229 473,118
* # Zoltek Companies, Inc. 44,000 438,240
----------------
Total Materials
(Cost $114,062,666) 129,825,100
----------------
Consumer Staples -- (3.5%)
* # Advanced Nutraceuticals, Inc. 700 2,975
* Alico, Inc. 7,000 360,500
Alliance One International, Inc. 209,216 1,341,075
# American Italian Pasta Co. 47,300 1,088,373
* Atlantic Premium Brands, Ltd. 2,000 2,300
* Boston Beer Co., Inc. Class A 26,200 553,082
* Bridgford Foods Corp. 10,400 80,704
* Cagle's, Inc. Class A 2,000 19,200
Calavo Growers, Inc. 26,043 270,665
Cal-Maine Foods, Inc. 55,600 360,844
* Carrington Laboratories, Inc. 9,800 36,456
Casey's General Stores, Inc. 129,310 2,332,752
CCA Industries, Inc. 18,266 183,573
* Central European Distribution Corp. 44,327 1,478,305
* Central Garden & Pet Co. 51,700 2,292,895
* Chattem, Inc. 53,600 2,299,440
Chiquita Brands International, Inc. 106,496 3,096,904
Coca-Cola Bottling Co. Consolidated 6,000 291,000
Corn Products International, Inc. 38,600 852,674
* Cruzan International, Inc. 4,600 64,170
* Darling International, Inc. 168,600 627,192
Delta & Pine Land Co. 100,600 2,716,200
* Elizabeth Arden, Inc. 74,300 1,561,786
Farmer Brothers Co. 19,000 456,000
* # Female Health Co. 9,300 16,740
Flowers Foods, Inc. 112,425 3,670,676
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* Foodarama Supermarkets, Inc. 1,100 34,100
* Fresh Brands, Inc. 5,100 34,374
* Galaxy Nutritional Foods, Inc. 11,500 23,000
* Gardenburger, Inc. 4,000 320
* Genesee Corp. Class B 200 415
* Glacier Water Services, Inc. 3,600 80,280
Golden Enterprises, Inc. 11,800 43,660
* # Great Atlantic & Pacific Tea Co., Inc. 100,400 2,502,972
* Green Mountain Coffee, Inc. 17,830 593,204
* Griffin Land & Nurseries, Inc. Class A 2,200 52,800
* Hain Celestial Group, Inc. 94,095 1,693,710
* Hines Horticulture, Inc. 22,000 78,100
Imperial Sugar Co. (NEW) 26,520 408,408
Ingles Market, Inc. Class A 26,180 330,915
* # Integrated Biopharma, Inc. 32,800 145,960
# Inter Parfums, Inc. 19,398 344,314
* # Interstate Bakeries Corp. 81,300 531,702
J & J Snack Foods Corp. 23,489 1,159,417
* Katy Industries, Inc. 8,300 28,967
Lance, Inc. 76,900 1,359,592
Longs Drug Stores Corp. 98,000 4,021,920
* M&F Worldwide Corp. 46,100 589,619
# Mannatech, Inc. 13,500 217,485
Marsh Supermarkets, Inc. Class A 1,600 18,000
Marsh Supermarkets, Inc. Class B 4,500 56,925
* Maui Land & Pineapple Co., Inc. 10,200 421,362
* # Medifast, Inc. 28,600 87,802
MGP Ingredients, Inc. 41,855 349,908
* Monterey Pasta Co. 32,100 96,942
Nash Finch Co. 32,440 1,154,215
* National Beverage Corp. 36,200 296,840
* Natrol, Inc. 10,000 28,000
* Natural Alternatives International, Inc. 5,400 40,824
Nature's Sunshine Products, Inc. 39,184 645,360
* # NeighborCare, Inc. 73,800 2,214,738
Northland Cranberries, Inc. 100 34
Nu Skin Enterprises, Inc. Class A 125,000 2,823,750
Oil-Dri Corp. of America 4,200 71,820
* Omega Protein Corp. 62,300 442,330
* # Parlux Fragrances, Inc. 23,623 590,103
* Pathmark Stores, Inc. 78,179 699,702
* Peet's Coffee & Tea, Inc. 34,739 986,240
* Performance Food Group Co. 117,187 3,171,080
* Pizza Inn, Inc. 10,000 26,500
* Playtex Products, Inc. 159,200 1,716,176
* PriceSmart, Inc. 47,000 329,000
Pyramid Breweries, Inc. 5,700 10,768
Ralcorp Holdings, Inc. 76,700 2,925,338
* Redhook Ale Brewery, Inc. 9,300 28,365
# Reliv International, Inc. 43,122 452,781
* Revlon, Inc. 881,100 2,616,867
Rocky Mountain Chocolate Factory, Inc. 4,216 99,329
Ruddick Corp. 122,500 2,943,675
* San Filippo (John B.) & Son, Inc. 19,893 420,737
Sanderson Farms, Inc. 51,900 1,967,010
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* Scheid Vineyards, Inc. 2,200 12,760
Seaboard Corp. 1,400 1,883,000
* Seneca Foods Corp. Class A 200 3,240
* Seneca Foods Corp. Class B 1,300 21,482
* Smart & Final Food, Inc. 79,600 863,660
* Spartan Stores, Inc. 52,475 676,927
* Spectrum Brands, Inc. 84,300 3,116,571
* # Star Scientific, Inc. 196,495 1,139,671
Stephan Co. 3,500 15,575
Tasty Baking Co. 18,900 151,200
The Topps Co., Inc. 105,148 979,979
* Tofutti Brands, Inc. 6,900 21,735
* United Natural Foods, Inc. 106,213 3,445,550
United-Guardian, Inc. 1,900 14,402
Universal Corp. 66,500 2,952,600
* # USANA Health Services, Inc. 49,660 2,180,074
# Vector Group, Ltd. 108,624 1,862,902
* Vermont Pure Holdings, Ltd. 17,300 31,486
WD-40 Co. 42,189 1,222,637
* Weider Nutrition International, Inc. 10,500 42,840
Weis Markets, Inc. 70,307 2,583,079
* Wild Oats Markets, Inc. 74,269 834,784
* # Winn-Dixie Stores, Inc. 331,700 348,285
----------------
Total Consumer Staples
(Cost $73,256,010) 92,468,675
----------------
Utilities -- (2.5%)
ALLETE, Inc. 80,100 3,844,800
American States Water Co. 43,450 1,215,731
* Aquila, Inc. 628,500 2,350,590
Artesian Resources Corp. Class A 1,815 58,570
Avista Corp. 129,500 2,283,085
* BayCorp Holdings, Ltd. 484 6,703
BIW, Ltd. 800 14,560
Black Hills Corp. 87,659 3,210,073
California Water Service Group 48,500 1,749,880
* # Calpine Corp. 32,730 97,535
Cascade Natural Gas Corp. 30,000 576,600
Central Vermont Public Service Corp. 32,800 688,800
CH Energy Group, Inc. 42,600 1,925,520
Chesapeake Utilities Corp. 14,100 406,362
Cleco Corp. 133,300 2,784,637
* CMS Energy Corp. 19,075 252,362
Connecticut Water Services, Inc. 7,600 190,152
Delta Natural Gas Co., Inc. 7,320 188,270
# Duquesne Light Holdings, Inc. 185,600 3,531,968
* Dynegy, Inc. 63,200 293,880
* El Paso Electric Co. 123,200 2,472,624
Empire District Electric Co. 67,600 1,553,448
* Energy West, Inc. 3,900 31,980
EnergySouth, Inc. 19,603 527,713
* Environmental Power Corp. 6,200 30,380
Florida Public Utilities Co. 3,866 68,428
Green Mountain Power Corp. 12,500 365,250
IDACORP, Inc. 108,400 3,069,888
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Laclede Group, Inc. 54,700 1,635,530
Maine & Maritimes Corp. 1,600 42,800
MGE Energy, Inc. 52,727 1,898,172
Middlesex Water Co. 8,400 162,456
New Jersey Resources Corp. 69,600 3,138,960
Northwest Natural Gas Co. 71,300 2,581,060
NorthWestern Corp. 18,564 537,985
Otter Tail Corp. 75,260 1,916,120
Piedmont Natural Gas Co. 64,600 1,580,116
PNM Resources, Inc. 116,000 3,380,240
RGC Resources, Inc. 3,564 96,014
SEMCO Energy, Inc. 73,900 404,972
* # Sierra Pacific Resources 305,100 3,645,945
SJW Corp. 9,000 379,800
South Jersey Industries, Inc. 35,864 2,033,489
* Southern Union Co. 1 17
Southwest Gas Corp. 96,700 2,415,566
Southwest Water Co. 50,169 533,798
UIL Holdings Corp. 38,100 1,975,104
Unisource Energy Corp. 67,080 1,929,892
Unitil Corp. 4,700 127,511
WGL Holdings, Inc. 14,000 455,560
----------------
Total Utilities
(Cost $52,099,958) 64,660,896
----------------
Telecommunication Services -- (1.0%)
* @Road, Inc. 148,000 408,480
Alaska Communications Systems Group, Inc. 26,700 252,849
* Boston Communications Group, Inc. 46,100 64,079
* # Broadwing Corp. 106,624 522,458
* Centennial Communications Corp. 156,896 2,053,769
* Cincinnati Bell, Inc. 641,000 2,531,950
* # Cogent Communications Group, Inc. 1,735 39,922
* Commonwealth Telephone Enterprises, Inc. 56,600 2,957,350
* Covista Communications, Inc. 3,000 2,640
CT Communications, Inc. 48,760 589,996
D&E Communications, Inc. 37,074 299,929
* General Communications, Inc. Class A 140,981 1,161,683
* GoAmerica, Inc. 56 390
Hector Communications Corp. 3,500 80,500
Hickory Tech Corp. 13,900 126,212
* IDT Corp. 45,278 610,800
* IDT Corp. Class B 194,300 2,661,910
* LCC International, Inc. Class A 51,841 185,072
* Lynch Interactive Corp. 2,800 74,200
* Metro One Telecommunications, Inc. 36,450 34,263
* # Network Plus Corp. 14,500 13
North Pittsburgh Systems, Inc. 39,006 731,753
* Pac-West Telecomm, Inc. 23,100 24,024
* Premiere Global Services, Inc. 183,937 2,069,291
* Price Communications Corp. 145,170 2,495,472
* # Primus Telecommunications Group, Inc. 166,257 149,631
* Rural Cellular Corp. Class A 4,800 23,136
* SBA Communications Corp. 101,800 1,138,124
* Shared Technologies Cellular, Inc. 10,100 15
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* SunCom Wireless Holdings, Inc. 149,100 313,110
SureWest Communications 37,312 888,026
* TALK America Holdings, Inc. 67,609 601,044
* Teleglobe International Holdings, Ltd. 11,300 26,894
* Time Warner Telecom, Inc. 124,187 633,354
* UbiquiTel, Inc. 237,390 1,642,739
* # US LEC Corp. 76,386 190,965
Warwick Valley Telephone Co. 300 7,500
* Wireless Facilities, Inc. 177,751 915,418
* WQN, Inc. 1,500 2,955
* Xeta Corp. 10,300 32,960
----------------
Total Telecommunication Services
(Cost $28,906,932) 26,544,876
----------------
Real Estate Investment Trusts -- (0.0%)
Saxon Capital, Inc. 16,400 277,652
----------------
(Cost $181,384)
Other -- (0.0%)
* Big 4 Ranch, Inc. 3,200 0
* Breed Technologies, Inc. 36,800 515
* Bush Industries, Inc. Escrow 700 16
* Career Blazers, Inc. Trust Units 800 0
* Celebrity, Inc. Escrow Shares 1,300 0
* Convergence Systems, Inc. 1 0
* Denali, Inc. 4,300 0
* DLB Oil & Gas, Inc. 1,300 0
* ePresence, Inc. Escrow Shares 25,100 3,263
* # EquiMed, Inc. Nevis 2,250 0
* Hoenig Group Escrow Shares 7,900 0
* iGo Escrow Share 4,100 0
* Imperial Sugar Co. 14,551 0
* Noel Group, Inc. 8,000 120
* # Nucentrix Broadband Networks, Inc. Escrow Shares 10,400 0
* Petrocorp, Inc. Escrow Shares 6,900 414
* Source Media, Inc. 27,400 0
* Starbiz Restrictive Shares 2 0
* StorageNetworks, Inc. Escrow Shares 60,800 1,648
* Suburban Lodges of America, Inc. Escrow Shares 18,500 0
Swisher International, Inc. 700 3,378
* # Trenwick Group, Ltd. 11,975 60
* Trump Entertainment Resorts, Inc. 23 309
* VLPS Lighting Services International, Inc. Escrow Shares 4,800 392
* Wireless WebConnect!, Inc. 2,500 28
----------------
Total Other
(Cost $1,548,194) 10,143
----------------
TOTAL COMMON STOCKS
(Cost $2,246,919,126) 2,480,887,153
----------------
RIGHTS/WARRANTS -- (0.0%)
Other -- (0.0%)
* American Banknote Corp. Warrants Series 1 10/01/07 30 0
* American Banknote Corp. Warrants Series 2 10/01/07 30 0
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* # Angeion Corp. Warrants 10/31/20 215 0
* Aura Systems, Inc. Warrants 05/31/05 1,262 0
* Chart Industries, Inc. Warrants 09/15/10 24 612
* Chiquita Brands International, Inc. Warrants 03/19/09 9,947 108,522
* CSF Holding, Inc. Litigation Rights 3,250 0
* Del Global Technologies Corp. Warrants 03/28/08 971 1,456
* # Foster Wheelers, Ltd. Warrants 09/24/07 40,600 0
* Imperial Credit Industries, Inc. Warrants 01/31/08 22 0
* Imperial Sugar Co. Warrants 08/29/08 498 348
* Milltope Group, Inc. Contigent Value Rights 5,800 0
* Optical Cable Corp. Warrants 10/24/07 2,823 0
* # OSI Pharmaceuticals, Inc. Contingent Value Rights 4,829 435
* PDS Gaming Corp. 1,100 1,650
PMR Corp. Contingent Value Rights 7,300 0
* # RCN Corp. Warrants 12/21/06 60 0
* Timco Aviation Services, Inc. Warrants 02/27/07 6,696 1
* Trico Marine Services, Inc. Warrants 03/15/08 Series B 744 1,183
* Trico Marine Services, Inc. Warrants 03/15/10 Series A 744 2,976
* Trump Entertainment Resorts, Inc. Warrants 05/23/06 2,634 0
* Virologic, Inc. Contingent Value Rights 102,461 17,931
----------------
Total Other
(Cost $970,937) 135,114
----------------
Consumer Discretionary -- (0.0%)
* Lodgian, Inc. Class A Warrants 11/25/07 188 6
* Lodgian, Inc. Class B Warrants 11/25/09 582 12
----------------
Total Consumer Discretionary
(Cost $0) 18
----------------
Consumer Staples -- (0.0%)
* Cruzan International, Inc. Rights 06/21/05 920 0
----------------
(Cost $0)
TOTAL RIGHTS/WARRANTS
(Cost $970,937) 135,132
----------------
FACE
AMOUNT VALUE+
---------------- ----------------
(000)
BONDS -- (0.0%)
Other -- (0.0%)
* Del Global Technologies Corp. Subordinated Promissory Note
6.000%, 03/28/07 2 0
* Timco Aviation Services, Inc. Jr. Subordinated Note
8.000%, 01/02/07 4 0
----------------
Total Other
(Cost $0) 0
----------------
TOTAL BONDS
(Cost $0) 0
----------------
TEMPORARY CASH INVESTMENTS -- (5.2%)
^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.92%, 06/01/05
(Collateralized by $189,895,000 U.S. STRIPS 9.875%, 11/15/15, valued at
$122,070,194) to be repurchased at $119,685,348 (Cost $119,675,641) 119,676 119,675,641
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $17,915,000 FHLMC Notes 4.00%, 09/22/09, valued at
$17,937,394) to be repurchased at $17,673,419 (Cost $17,672,000) 17,672 17,672,000
----------------
137,347,641
----------------
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TOTAL TEMPORARY CASH INVESTMENTS
(Cost $137,347,641) 137,347,641
----------------
TOTAL INVESTMENTS - (100.0%)
(Cost $2,385,237,704) $ 2,618,369,926
================
----------
+ See Note B to Financial Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
58
THE DFA INTERNATIONAL VALUE SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
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SHARES VALUE+
---------------- ----------------
UNITED KINGDOM -- (15.5%)
COMMON STOCKS -- (15.5%)
Amvescap P.L.C. 314,493 $ 1,844,950
Anglo America P.L.C. 2,159,787 51,459,160
Arriva P.L.C. 231,050 2,234,545
Associated British Foods P.L.C. 1,004,913 14,609,875
Associated British Ports Holdings P.L.C. 378,800 3,358,760
Aviva P.L.C. 2,630,567 29,431,339
AWG P.L.C. 76,018 1,236,854
BAA P.L.C. 1,632,557 18,467,632
BAE Systems P.L.C. 4,006,840 19,626,679
Barratt Developments P.L.C. 338,959 4,070,681
BBA Group P.L.C. 680,050 3,715,025
Bellway P.L.C. 38,000 588,284
Bovis Homes Group P.L.C. 132,000 1,640,865
BPB P.L.C. 458,500 4,271,338
Bradford & Bingley P.L.C. 273,288 1,531,177
Britannic P.L.C. 278,864 2,588,193
* British Airways P.L.C. 1,839,331 9,162,247
British Land Co. P.L.C. 874,751 13,839,395
British Vita P.L.C. 286,388 1,859,262
Brixton P.L.C. 359,333 2,403,207
Cable and Wireless P.L.C. 3,547,491 8,639,378
Carnival P.L.C. 157,273 8,610,132
* Colt Telecom Group P.L.C. 698,726 659,832
* Corus Group P.L.C. 6,312,988 5,208,408
Derwent Valley Holdings P.L.C. 49,351 1,029,762
Dixons Group P.L.C. 2,098,938 5,758,646
* Easyjet P.L.C. 294,025 1,204,320
FKI P.L.C. 856,795 1,503,534
Friends Provident P.L.C. 2,272,618 7,211,098
Great Portland Estates P.L.C. 239,324 1,566,808
Greene King P.L.C. 105,263 2,357,020
Hammerson P.L.C. 468,800 7,732,596
Hanson P.L.C. 963,671 8,887,742
HBOS P.L.C. 14,935 217,236
* Henderson Group P.L.C. 404,000 456,831
Hilton Group P.L.C. 2,710,354 13,989,594
InterContinental Hotels Group P.L.C. 864,975 10,045,164
International Power P.L.C. 2,525,271 8,885,196
ITV P.L.C. 1,567,741 3,259,794
Johnson Matthey P.L.C. 43,250 768,534
Kelda Group P.L.C. 161,510 1,889,016
Kingfisher P.L.C. 2,829,717 13,227,596
Land Securities Group P.L.C. 79,240 2,055,546
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Liberty International P.L.C. 469,345 8,345,510
London Merchant Securities P.L.C. 358,862 1,495,001
Marks & Spencer Group P.L.C. 1,197,239 7,345,469
Mersey Docks & Harbour Co. P.L.C. 115,042 2,015,452
MFI Furniture Group P.L.C. 66,600 129,425
Millennium and Copthorne Hotels P.L.C. 493,245 3,190,438
Mitchells & Butlers P.L.C. 630,549 3,710,031
* O2 P.L.C. 8,760,348 20,295,896
Pearson P.L.C. 924,664 11,062,196
Peninsular & Oriental Steam Navigation P.L.C. 1,130,420 6,376,107
Pennon Group P.L.C. 58,615 1,074,131
Persimmon P.L.C. 278,509 3,780,846
Pillar Property P.L.C. 131,128 1,990,694
* Premier Oil P.L.C. 119,812 1,280,252
Rio Tinto P.L.C. 83,136 2,467,971
* Rolls Royce Group P.L.C. 2,749,448 13,556,759
* Rolls Royce Group P.L.C. Class B 137,472,400 249,800
Royal & Sun Alliance Insurance Group P.L.C. 5,018,810 7,028,724
Royal Bank of Scotland Group P.L.C. 219,664 6,445,653
Sabmiller P.L.C. 192,609 2,957,793
Sainsbury (J.) P.L.C. 2,650,025 13,778,639
Scottish & Newcastle P.L.C. 1,005,702 8,689,619
Scottish Power P.L.C. 2,139,658 18,023,688
Severn Trent P.L.C. 210,597 3,875,426
Shire Pharmaceuticals Group P.L.C. 683,427 7,252,939
Singer & Friedlander Group P.L.C. 253,818 1,438,614
Slough Estates P.L.C. 706,900 6,604,174
Somerfield P.L.C. 741,014 2,656,721
Stanley Leisure P.L.C. 190,940 1,891,284
Tate & Lyle P.L.C. 660,070 5,679,426
Taylor Woodrow P.L.C. 998,309 5,746,854
* The Berkeley Group Holdings P.L.C. 228,802 3,438,341
Trinity Mirror P.L.C. 495,640 5,611,004
United Utilities P.L.C. 265,595 3,271,895
Vodafone Group P.L.C. 59,364,901 149,452,303
Whitbread P.L.C. 450,082 7,431,362
Wilson Bowden P.L.C. 105,900 2,193,495
Wimpey (George) P.L.C. 457,583 3,543,491
Wolverhampton & Dudley Breweries P.L.C. 107,366 2,162,199
Woolworths Group P.L.C. 2,125,199 1,351,588
WPP Group P.L.C. 394,800 4,207,903
Xstrata P.L.C. 496,100 8,892,658
----------------
TOTAL COMMON STOCKS
(Cost $542,532,199) 675,095,022
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* British Pound Sterling 14,769
----------------
(Cost $14,769)
TOTAL -- UNITED KINGDOM
(Cost $542,546,968) 675,109,791
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JAPAN -- (13.9%)
COMMON STOCKS -- (13.7%)
Aichi Bank, Ltd. 8,100 763,449
# Aichi Steel Corp. 120,000 612,133
AIOI Insurance Co., Ltd. 928,735 4,601,504
Aisin Seiki Co., Ltd. 182,500 4,049,894
Akita Bank, Ltd. 115,000 520,024
Alpine Electronics, Inc. 36,800 523,837
Amada Co., Ltd. 376,000 2,553,049
# Anritsu Corp. 67,000 402,573
Aoyama Trading Co., Ltd. 50,400 1,221,105
Asahi Breweries, Ltd. 138,500 1,680,246
Asatsu-Dk, Inc. 32,500 933,957
# Autobacs Seven Co., Ltd. 23,700 740,320
Awa Bank, Ltd. 196,600 1,172,832
Bank of Iwate, Ltd. 15,300 871,226
# Bank of Kyoto, Ltd. 347,400 2,914,717
Bank of Nagoya, Ltd. 185,000 1,086,110
Canon Sales Co., Inc. 124,900 2,212,736
# Chiba Bank, Ltd. 941,000 6,385,328
Chudenko Corp. 41,100 644,314
Chugoku Bank, Ltd. 238,800 2,792,365
Citizen Watch Co., Ltd. 318,000 2,778,042
Coca-Cola West Japan Co., Ltd. 58,400 1,306,361
Comsys Holdings Corp. 105,000 885,061
Cosmo Oil Co., Ltd. 764,000 2,793,389
Dai Nippon Ink & Chemicals, Inc. 459,000 1,355,906
Dai Nippon Pharmaceutical Co., Ltd. 106,000 1,016,224
Dai Nippon Printing Co., Ltd. 937,000 14,782,487
Daibiru Corp. 9,000 66,251
Daicel Chemical Industries, Ltd. 485,000 2,517,757
Daido Steel Co., Ltd. 274,000 1,112,774
# Daio Paper Corp. 51,000 393,988
Daishi Bank, Ltd. 355,000 1,479,538
Daiwa House Industry Co., Ltd. 663,000 7,309,407
Denso Corp. 22,500 510,241
# Ebara Corp. 231,000 830,308
Ezaki Glico Co., Ltd. 174,600 1,393,597
Fuji Electric Co., Ltd. 525,780 1,594,855
Fuji Fire & Marine Insurance Co., Ltd. 297,000 881,192
Fuji Heavy Industries 752,000 3,139,462
Fuji Oil Co., Ltd. 55,200 574,115
Fuji Photo Film Co., Ltd. 770,000 23,978,455
Fujikura, Ltd. 355,000 1,799,156
Fukui Bank, Ltd. 343,000 1,300,575
# Fukuoka Bank, Ltd. 695,000 4,241,307
Fukuyama Transporting Co., Ltd. 266,000 1,045,649
Futaba Corp. 16,000 433,071
Futaba Industrial Co., Ltd. 44,100 837,845
Glory, Ltd. 54,600 922,653
Gunma Bank, Ltd. 444,000 2,640,827
Gunze, Ltd. 223,000 976,976
Hachijuni Bank, Ltd. 589,000 3,887,927
Hankyu Corp. 174,000 640,072
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Hankyu Department Stores, Inc. 116,000 696,497
Hanshin Electric Railway Co., Ltd. 253,000 943,640
Heiwa Corp. 81,500 1,173,008
Heiwado Co., Ltd. 38,000 579,163
Higo Bank, Ltd. 308,000 2,198,248
Hitachi Cable, Ltd. 236,000 1,017,542
Hitachi Kokusai Electric, Inc. 87,000 760,908
Hitachi Maxell, Ltd. 96,000 1,166,763
Hitachi Metals, Ltd. 201,000 1,281,006
Hitachi Software Engineering Co., Ltd. 33,800 563,727
Hitachi Transport System, Ltd. 76,000 633,009
Hitachi, Ltd. 4,970,000 29,696,012
Hokkoku Bank, Ltd. 239,000 1,041,637
Hokuetsu Paper Mills, Ltd. 162,000 880,974
House Foods Corp. 117,000 1,648,185
Hyakugo Bank, Ltd. 258,000 1,582,335
Hyakujishi Bank, Ltd. 314,000 1,782,165
* Ishikawajima-Harima Heavy Industries Co., Ltd. 819,000 1,164,194
Itoham Foods, Inc. 132,000 601,220
Iyo Bank, Ltd. 237,000 1,889,496
Japan Airport Terminal Co., Ltd. 68,300 637,862
Joyo Bank, Ltd. 892,000 4,534,886
Juroku Bank, Ltd. 349,000 1,868,471
Kadokawa Holdings, Inc. 15,200 540,500
Kagoshima Bank, Ltd. 154,000 1,171,822
Kamigumi Co., Ltd. 357,000 2,660,128
Kandenko Co., Ltd. 129,000 758,687
Kanto Auto Works, Ltd., Yokosuka 12,600 147,981
Katokichi Co., Ltd. 103,500 723,388
Kawasaki Heavy Industries, Ltd. 910,000 1,628,496
Keiyo Bank, Ltd. 212,000 1,012,548
Kikkoman Corp. 259,000 2,345,042
Kinden Corp. 167,000 1,235,604
Kirin Brewery Co., Ltd. 1,152,000 11,268,141
# Kissei Pharmaceutical Co., Ltd. 41,000 782,210
Kobe Steel, Ltd. 2,041,000 3,549,885
Koito Manufacturing Co., Ltd. 101,000 1,085,932
Kokuyo Co., Ltd. 81,200 1,041,108
Komori Corp. 52,000 787,596
Kuraray Co., Ltd. 499,000 4,421,577
Kyocera Corp. 238,800 18,270,139
KYORIN Pharmaceutical Co., Ltd. 52,000 648,607
Maeda Corp. 129,000 711,651
Makita Corp. 209,000 4,069,632
Marubeni Corp. 1,942,000 6,128,947
Marui Co., Ltd. 408,600 5,669,748
Maruichi Steel Tube, Ltd. 117,000 2,495,996
Matsushita Electric Industrial Co., Ltd. 3,561,135 53,046,962
Matsushita Electric Works, Ltd. 403,000 3,331,039
Meiji Seika Kaisha, Ltd. Tokyo 292,000 1,421,273
Millea Holdings, Inc. 2,296 30,391,067
Mitsubishi Gas Chemical Co., Inc. 305,000 1,501,802
Mitsubishi Heavy Industries, Ltd. 4,791,000 12,331,213
Mitsubishi Logistics Corp. 106,000 1,010,933
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Mitsubishi Materials Corp. 975,000 2,134,057
Mitsubishi Securities Co., Ltd. 226,000 1,883,182
Mitsui Chemicals, Inc. 807,800 4,580,860
Mitsui Engineering and Shipbuilding Co., Ltd. 481,000 1,037,198
Mitsui Marine & Fire Insurance Co., Ltd. 2,138,000 19,431,714
Mitsumi Electric Co., Ltd. 45,800 484,763
# Mori Seiki Co., Ltd. 63,500 656,559
Morinaga Milk Industry Co., Ltd. 160,000 660,253
Musashino Bank, Ltd. 21,300 973,546
Nagase & Co., Ltd. 101,000 986,075
Namco, Ltd. 11,000 148,462
Nanto Bank, Ltd. 317,000 1,627,254
NGK Insulators, Ltd. 216,000 2,248,607
NGK Spark Plug Co., Ltd. 144,000 1,619,451
Nichicon Corp. 72,900 958,028
Nichirei Corp. 180,000 674,476
# Nifco, Inc. 37,000 579,950
Nihon Unisys, Ltd. 69,100 646,881
Nippon Express Co., Ltd. 211,000 959,175
# Nippon Kayaku Co., Ltd. 128,000 690,344
Nippon Meat Packers, Inc., Osaka 248,000 3,063,990
Nippon Mitsubishi Oil Corp. 1,871,050 12,203,013
Nippon Paint Co., Ltd. 184,000 643,029
Nippon Sheet Glass Co., Ltd. 358,000 1,398,783
Nippon Shinpan Co., Ltd. 191,000 930,169
Nippon Shokubai Co., Ltd. 163,000 1,306,161
Nippon Suisan Kaisha, Ltd. 143,000 542,657
Nippon Television Network Corp. 9,400 1,314,856
Nippon Unipac Holding, Tokyo 1,080 4,197,550
Nipponkoa Insurance Co., Ltd. 909,000 6,286,099
* Nipro Corp. 42,000 627,234
# Nishimatsu Construction Co., Ltd. 364,000 1,227,341
Nissay Dowa General Insurance Co., Ltd. 383,000 1,926,866
Nisshin Seifun Group, Inc. 165,000 1,622,652
Nisshin Steel Co., Ltd. 753,000 1,832,813
Nisshinbo Industries, Inc. 305,000 2,340,054
NSK, Ltd. 319,000 1,546,136
Obayashi Corp. 751,000 3,798,076
Ogaki Kyoritsu Bank, Ltd. 227,000 1,342,026
Oita Bank, Ltd. 81,000 524,068
Oji Paper Co., Ltd. 924,000 4,886,947
Okumura Corp. 175,000 942,537
Onward Kashiyama Co., Ltd. 125,000 1,519,788
PanaHome Corp. 106,000 553,566
Pioneer Electronic Corp. 196,200 3,232,942
Promise Co., Ltd. 60,500 3,757,748
Q.P. Corp. 109,600 953,070
Rengo Co., Ltd. 180,000 930,307
* Resona Holdings, Inc. 1,873,000 3,562,488
Rinnai Corp. 37,100 931,643
Ryosan Co., Ltd. 30,500 743,967
San In Godo Bank, Ltd. 144,000 1,374,980
Sanwa Shutter Corp. 101,000 564,277
Sanyo Chemical Industries, Ltd. 54,000 390,521
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# Sanyo Electric Co., Ltd. 1,981,000 5,373,145
# Sapporo Breweries, Ltd. 251,000 1,251,396
Sapporo Hokuyo Holdings, Inc. 271 1,956,724
Seino Transportation Co., Ltd. 193,000 1,687,227
Sekisui Chemical Co., Ltd. 557,000 3,857,932
Sekisui House, Ltd. 942,000 9,223,018
Seventy-seven (77) Bank, Ltd. 334,000 2,100,276
SFCG Co., Ltd. 8,010 2,035,396
Shiga Bank, Ltd. 272,000 1,682,500
Shikoku Bank, Ltd. 153,000 819,740
Shimachu Co., Ltd. 49,900 1,240,974
Shinko Securities Co., Ltd. 540,000 1,631,886
Shizuoka Bank, Ltd. 744,000 6,412,659
Sohgo Security Services Co.,Ltd. 73,300 933,443
Sumitomo Bakelite Co., Ltd. 105,000 653,160
Sumitomo Corp. 471,000 3,761,719
Sumitomo Electric Industries, Ltd. 899,000 9,429,436
Sumitomo Forestry Co., Ltd. 139,000 1,208,517
Sumitomo Metal Mining Co., Ltd. 215,000 1,375,456
Sumitomo Osaka Cement Co., Ltd. 348,000 835,765
Sumitomo Trust & Banking Co., Ltd. 21,000 124,207
Sumitomo Warehouse Co., Ltd. 114,000 583,082
Suzuken Co., Ltd. 56,700 1,505,343
Taiheiyo Cement Corp. 1,209,800 3,133,016
Taiyo Yuden Co., Ltd. 126,000 1,399,978
Takara Standard Co., Ltd. 118,000 754,442
Takashimaya Co., Ltd. 124,000 1,038,260
Teijin, Ltd. 893,000 3,920,705
Teikoku Oil Co., Ltd. 346,000 2,336,074
The Nisshin Oillio Group, Ltd. 48,000 271,062
Toda Corp. 203,000 829,553
Toho Bank, Ltd. 87,000 356,324
Tokai Tokyo Securities Co., Ltd. 155,000 456,439
Tokuyama Corp. 248,000 1,829,540
Tokyo Broadcasting System, Inc. 117,500 1,975,348
Tokyo Dome Corp. 110,000 598,434
Tokyo Style Co., Ltd. 133,000 1,353,008
Tokyo Tatemono Co., Ltd. 143,000 987,906
Toppan Forms Co., Ltd. 33,200 364,492
Toppan Printing Co., Ltd. 720,000 7,318,236
Toshiba TEC Corp. 181,000 799,920
Tostem Inax Holding Corp. 324,500 5,520,102
Toyo Ink Manufacturing Co., Ltd. 174,000 676,293
Toyo Seikan Kaisha, Ltd. 287,600 4,985,498
Toyo Suisan Kaisha, Ltd. 64,000 1,003,435
Toyoda Machine Works, Ltd. 54,000 521,549
Toyota Auto Body Co., Ltd. 86,000 1,683,836
TV Asahi Corp. 565 1,157,225
UNY Co., Ltd. 158,000 1,713,715
# Wacoal Corp. 149,000 1,981,030
Yamaguchi Bank, Ltd. 151,000 1,708,035
Yamaha Corp. 250,100 3,652,658
Yamanashi Chuo Bank, Ltd. 140,000 840,378
Yamatake Corp. 47,700 787,021
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Yamato Kogyo Co., Ltd. 32,000 366,676
Yamazaki Baking Co., Ltd. 155,000 1,331,732
Yasuda Fire & Marine Insurance Co., Ltd. 431,000 4,354,284
Yodogawa Steel Works, Ltd. 123,000 649,356
Yokohama Rubber Co., Ltd. 410,000 1,684,596
York-Benimaru Co., Ltd. 29,300 814,490
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TOTAL COMMON STOCKS
(Cost $581,985,790) 601,474,625
----------------
INVESTMENT IN CURRENCY -- (0.2%)
* Japanese Yen 8,010,462
----------------
(Cost $8,054,614)
TOTAL -- JAPAN
(Cost $590,040,404) 609,485,087
----------------
FRANCE -- (10.2%)
COMMON STOCKS -- (10.2%)
Air France 192,225 3,059,396
Air Liquide SA 9,820 1,714,730
Arcelor SA 167,800 3,336,596
# Assurances Generales de France (AGF) 177,559 14,242,010
# AXA 2,459,139 60,024,211
# BNP Paribas SA 1,368,012 91,964,838
# Bongrain SA 7,145 440,239
# * Business Objects SA 94,856 2,723,788
* Cap Gemini SA 167,370 5,339,463
# * CNP Assurances 33,992 2,278,353
# Compagnie de Saint-Gobain 455,792 26,216,746
# Compagnie Francaise d'Etudes et de Construction Technip SA 105,512 4,660,453
# Credit Agricole SA 27,709 718,511
# Eiffage SA 10,431 832,447
Esso SA 686 115,573
# Euler-Hermes SA 10,710 809,734
Faurecia SA 30,445 2,283,397
# Fimalac SA 46,887 2,147,169
* Gecina SA 29,500 3,577,499
# Generale des Establissements Michelin SA Series B 212,585 13,428,150
Havas SA 300,744 1,777,230
# Imerys SA 44,000 3,170,823
# LaFarge SA 253,511 22,940,260
LaFarge SA Prime Fidelity 85,542 7,800,086
# Lagardere S.C.A. SA 10,900 776,091
# Peugeot SA 238,144 14,252,610
# Pinault Printemps Redoute SA 100,151 9,912,856
Remy Cointreau SA 56,022 2,364,088
# Renault SA 317,738 27,183,519
# Schneider SA 318,189 23,394,591
SEB SA Prime Fidelity 9,900 1,017,849
# Societe BIC SA 52,288 2,807,476
# Societe des Ciments de Francais 35,796 3,271,505
# Societe Generale Paris 293,528 28,842,183
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Sodexho Alliance SA 122,494 3,932,540
# Suez (ex Suez Lyonnaise des Eaux) 666,220 17,918,894
# Thomson Multimedia 345,508 8,772,529
# Unibail SA 58,749 7,466,708
# Valeo SA 103,212 4,319,434
Vallourec (Usines a Tubes de Lorraine Escaut et Vallourec
Reunies) 4,504 1,042,930
# Vivendi Universal SA 403,364 12,284,113
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TOTAL COMMON STOCKS
(Cost $337,331,390) 445,161,618
----------------
RIGHTS/WARRANTS -- (0.0%)
* Air France Warrants 11/06/07 16,500 7,513
* Rallye SA Series B Warrants 11/30/05 18,020 1,330
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TOTAL RIGHTS/WARRANTS
(Cost $28,587) 8,843
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TOTAL -- FRANCE
(Cost $337,359,977) 445,170,461
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GERMANY -- (6.1%)
COMMON STOCKS -- (6.1%)
* Aachener und Muenchener Beteiligungs AG 33,828 2,733,015
Allianz AG 11,053 1,301,390
BASF AG 154,032 10,222,522
# Bayer AG 498,853 16,751,199
# Bayerische Motorenwerke AG 519,011 22,440,762
* Bayerische Vereinsbank AG 845,488 20,776,122
BHW Holding AG 10,667 183,041
Bilfinger & Berger Bau AG 23,702 1,125,170
# Commerzbank AG 594,131 12,903,783
# DaimlerChrysler AG 1,368,494 55,172,318
# Deutsche Bank AG 770,191 59,920,101
E.ON AG 12,593 1,093,248
Fraport AG 68,708 2,836,900
Fresenius Medical Care AG 18,966 1,489,708
* Heidelberger Druckmaschinen AG 46,167 1,425,361
Heidelberger Zement AG 78,542 5,023,273
# Hochtief AG 71,840 2,441,166
Hypo Real Estate Holding AG 84,277 3,318,984
* IVG Immobilien AG 30,276 550,018
* Lanxess 49,885 1,058,301
# * Linde AG 77,043 5,228,378
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Merck KGAA 67,288 5,255,818
* MG Technologies AG 150,773 1,709,520
# Preussag AG 181,223 4,492,857
Salzgitter AG 13,041 305,122
SCA Hygiene Products AG 3,550 1,266,675
Suedzucker AG 26,428 498,662
ThyssenKrupp AG 450,803 8,276,198
Vattenfall Europe AG 90,913 3,557,582
# Volkswagen AG 295,657 13,011,886
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TOTAL -- GERMANY
(Cost $248,181,818) 266,369,080
----------------
SWITZERLAND -- (5.9%)
COMMON STOCKS -- (5.9%)
Baloise-Holding 214,760 11,213,948
Bank Sarasin & Cie Series B, Basel 180 302,919
Banque Cantonale Vaudoise 12,608 2,784,576
Berner Kantonalbank 15,175 2,237,805
Ciba Spezialitaetenchemie Holding AG 81,000 4,815,990
Cie Financiere Richemont AG Series A 1,251,000 38,086,850
* Clariant AG 64,982 910,858
# Credit Swisse Group 1,452,179 58,093,081
* Fischer (Georg) AG, Schaffhausen 1,280 379,447
# Givaudan SA 5,792 3,447,490
Holcim, Ltd. 199,770 12,143,764
Jelmoli Holding AG 500 679,112
Luzerner Kantonalbank AG 12,294 2,362,894
Pargesa Holding SA, Geneve 1,935 6,973,437
* PSP Swiss Property AG 109,600 4,835,314
Rieters Holdings AG 7,860 2,130,195
Sig Holding AG 30,888 6,567,412
* Sika Finanz AG, Baar 3,828 2,404,569
St. Galler Kantonalbank 10,146 2,583,336
* Swiss Life AG 132,137 17,447,146
# Swiss Reinsurance Co., Zurich 330,715 20,472,030
* Syngenta AG 165,100 17,067,625
# Unaxis Holding AG 45,400 6,370,296
* Valiant Holding AG 39,295 3,461,651
* Valora Holding AG 12,170 2,670,439
* Zurich Financial SVCS AG 152,206 25,283,580
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TOTAL -- SWITZERLAND
(Cost $188,429,435) 255,725,764
----------------
AUSTRALIA -- (4.5%)
COMMON STOCKS -- (4.4%)
Amcor, Ltd. 881,869 4,510,853
AMP, Ltd. 1,026,864 5,103,408
Ansell, Ltd. 303,463 2,103,777
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APN News & Media, Ltd. 509,371 1,958,875
# Australand Property Group 674,862 718,280
AWB, Ltd. 364,594 1,223,471
AXA Asia Pacific Holdings, Ltd. 2,837,724 9,943,499
Bluescope Steel, Ltd. 1,252,100 7,606,018
Boral, Ltd. 944,335 4,224,733
Brickworks, Ltd. 37,510 285,742
Caltex Australia, Ltd. 238,359 2,710,833
Commonwealth Bank of Australia 1,376,094 38,441,344
CSR, Ltd. 1,514,337 2,826,140
Downer Group, Ltd. 225,933 900,086
Futuris Corp., Ltd. 531,719 677,624
Insurance Australiz Group, Ltd. 763,270 3,361,898
Lend Lease Corp., Ltd. 568,460 5,236,997
Lion Nathan, Ltd. 871,345 4,827,362
Mayne Group, Ltd. 1,315,561 4,588,824
Mirvac, Ltd. 1,229,901 3,098,714
National Australia Bank, Ltd. 1,823,878 43,291,233
Onesteel, Ltd. 505,842 957,969
Orica, Ltd. 51,604 612,186
Origin Energy, Ltd. 817,347 4,402,584
Paperlinx, Ltd. 727,704 1,272,060
Publishing and Broadcasting, Ltd. 219,621 2,522,066
Quantas Airways, Ltd. 3,489,827 8,465,231
Rinker Group, Ltd. 982,162 9,119,299
Santos, Ltd. 972,348 7,385,686
Seven Network, Ltd. 211,508 1,137,210
Stockland Trust Group 22,867 95,265
* Stockland Trust Group Issue 05 772 3,184
WMC Resources, Ltd. 1,821,249 10,609,212
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TOTAL COMMON STOCKS
(Cost $133,957,352) 194,221,663
----------------
INVESTMENT IN CURRENCY -- (0.1%)
* Australian Dollar 3,698,009
----------------
(Cost $3,701,213)
TOTAL -- AUSTRALIA
(Cost $137,658,565) 197,919,672
----------------
NETHERLANDS -- (4.4%)
COMMON STOCKS -- (4.4%)
ABN AMRO Holding NV 35,897 833,655
Aegon NV 2,897,384 37,096,508
DSM NV 134,117 8,977,717
# Hunter Douglas NV 94,242 4,873,152
IHC Caland NV 16,740 1,073,392
ING Groep NV 2,065,009 57,137,284
* Koninklijke Ahold NV 1,815,643 13,705,566
Koninklijke KPN NV 2,458,914 19,554,154
Koninklijke Nedlloyd NV 21,621 1,483,685
Koninklijke Philips Electronics NV 1,412,706 36,135,774
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NV Holdingsmij de Telegraaf 6,800 146,078
VNU NV 387,846 10,550,466
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TOTAL COMMON STOCKS
(Cost $157,028,179) 191,567,431
----------------
RIGHTS/WARRANTS -- (0.0%)
* SBM Offshore Coupons 16,740 0
----------------
(Cost $0)
TOTAL -- NETHERLANDS
(Cost $157,028,179) 191,567,431
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HONG KONG -- (2.9%)
COMMON STOCKS -- (2.9%)
Cheung Kong Holdings, Ltd. 2,727,000 24,802,772
China Overseas Land & Investment, Ltd. 1,864,000 348,558
China Travel International Investment, Ltd. 680,000 187,219
China Unicom, Ltd. 5,118,000 4,103,851
# Citic Ka Wah Bank, Ltd. 1,272,000 468,472
Citic Pacific, Ltd. 934,000 2,598,145
Great Eagle Holdings, Ltd. 308,987 703,437
Hang Lung Development Co., Ltd. 2,518,000 4,294,704
Henderson Land Development Co., Ltd. 1,122,000 5,103,391
Hong Kong and Shanghai Hotels, Ltd. 892,417 932,191
Hopewell Holdings, Ltd. 1,455,000 3,593,405
Hutchison Whampoa, Ltd. 3,751,000 32,550,877
Hysan Development Co., Ltd. 2,157,039 4,339,438
# Kerry Properties, Ltd. 2,312,291 5,059,302
New World Development Co., Ltd. 3,131,239 3,266,789
Shanghai Industrial Holdings, Ltd. 1,094,000 2,120,039
# Shangri-La Asia, Ltd. 3,000,733 4,530,388
# Sino Land Co., Ltd. 8,212,433 8,409,841
Tsim Sha Tsui Properties, Ltd. 472,000 815,730
Union Bank of Hong Kong, Ltd. 364,000 450,473
Wharf Holdings, Ltd. 3,438,214 11,212,895
# Wheelock and Co., Ltd. 3,940,000 5,674,640
Wheelock Properties, Ltd. 1,485,000 761,763
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TOTAL -- HONG KONG
(Cost $112,259,789) 126,328,320
----------------
SWEDEN -- (2.7%)
COMMON STOCKS -- (2.7%)
Carbo AB 2,900 70,670
Castellum AB 4,100 158,082
Electrolux AB Series B 324,100 7,084,855
Gambro AB Series A 555,400 7,366,291
Gambro AB Series B 216,300 2,881,955
Holmen AB Series A 6,300 178,842
# Holmen AB Series B 155,700 4,187,532
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# NCC AB Series B 59,700 875,994
Nordic Baltic Holdings AB 2,603,100 23,777,113
Skandinaviska Enskilda Banken Series A 368,800 6,344,263
Skandinaviska Enskilda Banken Series C 9,800 161,411
# * SKF AB Redeemable Shares Series A 22,650 75,795
* SKF AB Redeemable Shares Series B 29,700 99,387
SKF AB Series A 90,600 926,347
SKF AB Series B 118,800 1,213,623
SSAB Swedish Steel Series A 180,800 4,395,242
SSAB Swedish Steel Series B 60,500 1,420,951
# Svenska Cellulosa AB Series A 19,000 652,990
Svenska Cellulosa AB Series B 221,100 7,527,170
Telia AB 2,582,000 12,778,300
Trelleborg AB Series B 160,600 2,495,014
Volvo AB Series A 243,200 9,607,395
Volvo AB Series B 443,400 18,127,730
Whilborg Fastigheter AB Class B 173,980 3,510,524
# * Wihlborgs Fastigheter AB 34,796 818,350
----------------
TOTAL COMMON STOCKS
(Cost $88,187,543) 116,735,826
----------------
RIGHTS/WARRANTS -- (0.0%)
* SSAB Svenskt AB Redemption Rights 05/23/05 180,800 87,473
* SSAB Svenskt AB Series B Redemption Rights 05/23/05 60,500 34,962
* TeliaSonera AB Redeemable Rights 06/09/05 2,317,000 221,083
----------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 343,518
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Swedish Krona 14,372
----------------
(Cost $14,635)
TOTAL -- SWEDEN
(Cost $88,202,178) 117,093,716
----------------
SPAIN -- (2.6%)
COMMON STOCKS -- (2.6%)
Acerinox SA 261,360 3,771,894
Arcelor SA 30,000 594,540
Autopistas Concesionaria Espanola SA 310,251 6,919,589
Banco de Andalucia 900 79,322
Banco de Sabadell SA 154,021 4,039,655
# Banco Pastor SA 59,400 2,217,359
Banco Santander Central Hispanoamerica SA 84,304 963,043
# Cementos Portland SA 21,016 1,443,017
Corporacion Mapfre Compania Internacional de Reaseguros SA 146,555 2,135,749
# Ebro Puleva SA 120,322 2,164,453
# Endesa SA, Madrid 1,136,646 24,738,040
Gas Natural SA, Buenos Aires 121,385 3,402,534
# Iberdrola SA 535,000 13,646,506
# Iberia Lineas Aereas de Espana SA 617,500 1,951,947
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# Inmobiliaria Urbis SA 96,328 1,634,652
Repsol SA 1,289,224 32,239,985
Sociedad General de Aguas de Barcelona SA 119,484 2,406,473
* Sociedad General de Aguas de Barcelona SA 1,194 23,994
# Sol Melia SA 157,217 1,650,123
Union Fenosa SA 230,000 6,921,699
Vallehermoso SA 46,125 929,543
----------------
TOTAL -- SPAIN
(Cost $70,367,226) 113,874,117
----------------
ITALY -- (2.3%)
COMMON STOCKS -- (2.3%)
* Alitalia Linee Aeree Italiane SpA Series A 6,690,000 2,126,779
# Banca Antoniana Popolare Veneta SpA 83,000 2,649,800
# Banca Monte Dei Paschi di Siena SpA 2,279,872 8,187,429
# * Banca Nazionale del Lavoro SpA 2,230,687 7,519,362
# Banca Popolare di Lodi Scarl 437,995 4,271,876
Banca Popolare di Milano 730,208 7,398,062
# Benetton Group SpA 181,249 1,644,732
# Buzzi Unicem SpA 67,793 975,483
# Caltagirone Editore SpA 184,888 1,651,000
Capitalia SpA 2,992,113 15,632,746
# CIR SpA (Cie Industriale Riunite), Torino 500,000 1,381,906
# Compagnia Assicuratrice Unipol SpA 745,685 2,953,366
# * Edison SpA 1,734,262 3,929,021
Erg SpA 197,993 3,067,753
# * Fiat SpA 1,054,970 7,108,155
# Italcementi SpA 444,060 6,857,544
# Italmobiliare SpA, Milano 33,664 2,091,219
Manifattura Lane Gaetano Marzotto & Figli SpA 5,573 122,539
Milano Assicurazioni SpA 182,000 1,034,660
# Pirelli & Co. SpA 1,486,658 1,640,719
# SAI SpA (Sta Assicuratrice Industriale), Torino 167,605 4,368,323
# San Paolo-IMI SpA 833,105 11,571,110
Societe Cattolica di Assicurazoni Scarl SpA 8,800 384,956
----------------
TOTAL COMMON STOCKS
(Cost $85,190,508) 98,568,540
----------------
RIGHTS/WARRANTS -- (0.0%)
* Fiat SpA Warrants 2007 51,693 12,086
----------------
(Cost $0)
TOTAL -- ITALY
(Cost $85,190,508) 98,580,626
----------------
IRELAND -- (1.8%)
COMMON STOCKS -- (1.8%)
Allied Irish Banks P.L.C. 688,656 14,288,890
Bank of Ireland P.L.C. 1,181,012 17,929,477
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CRH P.L.C. 1,243,314 31,389,925
* Elan Corp. P.L.C. 587,038 4,481,845
Irish Permanent P.L.C. 650,175 10,813,430
----------------
TOTAL -- IRELAND
(Cost $73,640,064) 78,903,567
----------------
FINLAND -- (1.2%)
COMMON STOCKS -- (1.2%)
Fortum Oyj 383,200 5,804,712
Huhtamaki Van Leer Oyj 2,300 34,923
Kemira GrowHow Oyj 21,542 166,892
Kemira Oyj 101,377 1,349,484
Kesko Oyj 157,000 3,763,045
Metso Oyj 219,166 4,387,953
M-Real Oyj Series B 253,400 1,367,837
Okobank Class A 65,000 1,036,945
Outokumpu Oyj Series A 351,300 4,845,269
Rautaruukki Oyj Series K 75,900 1,069,234
Stora Enso Oyj Series R 922,500 12,120,767
Upm-Kymmene Oyj 865,900 16,741,637
Wartsila Corp. Oyj Series B 59,400 1,787,015
----------------
TOTAL -- FINLAND
(Cost $47,739,726) 54,475,713
----------------
BELGIUM -- (1.2%)
COMMON STOCKS -- (1.2%)
Ackermans & Van Haaren SA 4,187 166,139
Banque Nationale de Belgique 1,049 4,308,998
Bekaert SA 2,787 206,610
Cofinimmo SA 1,108 175,964
# * Cumerio 70,740 974,956
* Cumerio VVPR 2,009 74
# Delhaize Freres & cie le Lion SA Molenbeek-Saint Jean 231,485 13,660,326
# Dexia SA 191,251 4,149,578
D'Ieteren SA 431 85,582
# Groupe Bruxelles Lambert 55,500 4,720,650
* ING Bank Belgium NV 128 0
Interbrew SA 196,392 6,490,050
KBC Bancassurance Holding SA 127,286 10,318,758
# Nationale a Portefeuille 4,029 853,844
# Suez (ex Suez Lyonnaise des Eaux) 95,400 2,568,186
* Umicore-Strip VVPR 2,009 270
Union Miniere SA 70,740 5,556,572
----------------
TOTAL -- BELGIUM
(Cost $39,649,089) 54,236,557
----------------
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DENMARK -- (1.2%)
COMMON STOCKS -- (1.2%)
Carlsberg A.S. Series B 35,725 1,748,981
# Codan A.S. 57,000 2,788,695
Danisco A.S. 90,330 6,219,533
Danske Bank A.S. 481,453 13,815,709
* Jyske Bank A.S. 89,350 3,413,511
Nordea AB 475,918 4,348,109
Rockwool, Ltd. 16,200 1,124,376
Sydbank A.S. 71,200 1,477,059
Tele Danmark A.S. 380,150 16,760,739
----------------
TOTAL -- DENMARK
(Cost $36,729,428) 51,696,712
----------------
NORWAY -- (1.0%)
COMMON STOCKS -- (1.0%)
Den Norske Bank ASA Series A 905,394 8,757,199
* Fred Olsen Energy ASA 34,000 682,271
# Norsk Hydro ASA 287,800 23,325,408
Norske Skogindustrier ASA Series A 247,500 3,801,116
Orkla ASA Series A 96,900 3,302,860
Prosafe ASA 7,300 219,358
Storebrand ASA 415,300 3,455,309
----------------
TOTAL -- NORWAY
(Cost $36,542,042) 43,543,521
----------------
SINGAPORE -- (0.7%)
COMMON STOCKS -- (0.7%)
# Creative Technology Co., Ltd. 39,550 314,458
DBS Group Holdings, Ltd. 813,000 6,769,561
Fraser & Neave, Ltd. 756,290 7,112,115
Keppel Land, Ltd. 258,000 352,261
Neptune Orient Lines, Ltd. 189,000 378,024
Overseas Chinese Banking Corp., Ltd. 94,000 782,999
SembCorp Industries, Ltd. 690,900 938,841
Singapore Airlines, Ltd. 1,258,000 8,653,781
Singapore Land, Ltd. 813,000 2,529,545
United Overseas Bank, Ltd. 66,000 565,603
# United Overseas Land, Ltd. 1,734,000 2,282,735
----------------
TOTAL -- SINGAPORE
(Cost $26,577,243) 30,679,923
----------------
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PORTUGAL -- (0.4%)
COMMON STOCKS -- (0.4%)
Banco Comercial Portugues SA 2,332,042 6,034,412
Banco Espirito Santo e Comercial de Lisboa 192,268 3,018,327
BPI SGPS SA 635,057 2,402,573
Cimpor Cimentos de Portugal SA 385,415 2,067,538
Portucel-Empresa Produtora de Pasta de Papel SA 1,442,478 2,487,422
----------------
TOTAL -- PORTUGAL
(Cost $14,634,454) 16,010,272
----------------
GREECE -- (0.3%)
COMMON STOCKS -- (0.3%)
* Agricultural Bank of Greece S.A. 123,600 895,249
Alpha Credit Bank 42,048 1,155,740
Bank of Greece 8,520 1,075,583
Bank of Piraeus S.A. 4,600 82,240
* Commercial Bank of Greece 44,760 1,371,166
EFG Eurobank Ergasias S.A. 60,097 1,851,458
Hellenic Petroleum S.A. 159,140 1,530,147
Hellenic Telecommunication Organization Co. S.A. 276,079 4,918,577
National Bank of Greece 20,176 680,936
----------------
TOTAL -- GREECE
(Cost $9,708,569) 13,561,096
----------------
AUSTRIA -- (0.3%)
COMMON STOCKS -- (0.3%)
Bank Austria Creditanstalt AG 70,493 6,932,327
Bohler Uddeholm AG 6,402 826,246
Voestalpine AG 62,211 4,194,277
Wienerberger AG 10,244 453,991
----------------
TOTAL COMMON STOCKS
(Cost $8,010,878) 12,406,841
----------------
RIGHTS/WARRANTS -- (0.0%)
* Boehler-Uddeholm AG Rights 06/02/05 6,402 0
----------------
(Cost $0)
TOTAL -- AUSTRIA
(Cost $8,010,878) 12,406,841
----------------
EMU -- (0.2%)
INVESTMENT IN CURRENCY -- (0.2%)
* Euro Currency 8,495,382
----------------
(Cost $8,683,335)
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NEW ZEALAND -- (0.1%)
COMMON STOCKS -- (0.1%)
Auckland International Airport, Ltd. 399,312 575,334
Carter Holt Harvey, Ltd. 1,955,577 2,456,271
Fletcher Building, Ltd. 693,880 3,045,029
----------------
TOTAL -- NEW ZEALAND
(Cost $5,397,217) 6,076,634
----------------
MALAYSIA -- (0.0%)
COMMON STOCKS -- (0.0%)
* Rekapacific Berhad 691,000 0
----------------
(cost $1,085,853)
FACE
AMOUNT VALUE+
---------------- ----------------
(000)
TEMPORARY CASH INVESTMENTS -- (20.6%)
^ Repurchase Agreement, Deutsche Bank Securities, Merrill
Lynch & Mizuho Securities USA 2.96%, 3.07%, and 2.98%,
respectively, 06/01/05 (Collateralized by $1,247,813,560
U.S. TIPS 1.875%, 07/15/13 and 3.375%, 01/15/07; U.S.
STRIPS, rates ranging from 0% to 10.75%, maturities ranging
from 08/15/05 to 02/15/31; GNMA's, rates ranging from 3.75%
to 5.75%, maturities ranging from 01/20/34 to 05/20/35;
AID-Israel, rates ranging from 0% to 5.50%, maturities
ranging from 11/01/13 to 09/18/23; & U.S. Treasury Notes,
rates ranging from 1.125% to 4.75%, maturities ranging from
06/30/05 to 02/15/15, valued at $915,552,116) to be
repurchased at $897,667,509 (Cost $897,592,866) $ 897,593 897,592,866
----------------
TOTAL INVESTMENTS - (100.0%)
(Cost $3,763,255,811) $ 4,364,903,149
----------------
----------
+ Securities have been fair valued. See Note B to Financial
Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
17
THE JAPANESE SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
[Enlarge/Download Table]
SHARES VALUE+
---------------- ----------------
JAPAN -- (77.6%)
COMMON STOCKS -- (77.2%)
Industrials -- (21.7%)
# * A&A Material Corp. 123,000 $ 166,283
# Advan Co., Ltd. 62,300 812,276
ADVANEX, Inc. 78,000 312,390
Aica Kogyo Co., Ltd. 157,000 1,796,579
Aichi Corp. 166,700 887,368
Aida Engineering, Ltd. 113,000 609,070
# Airtech Japan, Ltd. 12,100 118,542
# Alps Logistics Co., Ltd. 35,400 663,319
Altech Co., Ltd. 14,000 101,571
Altech Corp. 17,050 195,329
Amano Corp. 184,000 1,910,494
Amatsuji Steel Ball Manufacturing Co., Ltd. 42,000 480,324
Ando Corp. 165,000 434,483
Anest Iwata Corp. 100,000 327,786
* Arai-Gumi, Ltd. 34,450 67,418
Asahi Diamond Industrial Co., Ltd. 162,000 1,013,388
Asahi Kogyosha Co., Ltd. 48,000 179,659
# Asahi Pretec Corp. 48,000 688,438
* Asahi Tec Corp. 118,000 216,155
# Asahi Techno Glass Corp. 126,000 676,712
Asanuma Corp. 162,000 323,459
Asia Air Survey Co., Ltd. 17,000 72,465
Asia Securities Printing Co., Ltd. 36,000 416,944
Asunaro Construction, Ltd. 102,000 575,244
Ataka Constuction & Engineering Co., Ltd. 38,000 147,529
Bando Chemical Industries, Ltd. 236,000 1,007,264
Biken Techno Corp. 4,200 35,499
# BSL Corp. 432,140 820,879
Bunka Shutter Co., Ltd. 153,000 806,104
* Cats, Inc. 15,400 426
Central Security Patrols Co., Ltd. 31,400 255,415
# Chugai Ro Co., Ltd. 201,000 486,955
# Chuo Denki Kogyo Co., Ltd. 54,000 311,167
CKD Corp. 139,000 988,330
Commuture Corp. 97,202 707,009
# Cosel Co., Ltd. 45,500 1,211,471
CTI Engineering Co., Ltd. 38,200 326,567
Dai-Dan Co., Ltd. 102,000 590,813
Daifuku Co., Ltd. 249,000 2,076,609
Daihen Corp. 292,000 761,105
Daiho Corp. 125,000 302,648
Dai-Ichi Jitsugyo Co., Ltd. 119,000 431,432
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Daimei Telecom Engineering Corp. 84,000 720,708
Daiseki Co., Ltd. 51,000 717,629
# * Daisue Construction Co., Ltd. 151,500 158,175
Daiwa Industries, Ltd. 101,000 574,777
# Danto Corp. 62,000 237,977
# Densei-Lambda KK 34,584 444,384
Denyo Co., Ltd. 56,000 482,038
DMW Corp. 1,600 65,361
Eikoh, Inc. 12,100 112,104
# * Enshu, Ltd. 96,000 282,678
# * Fudo Construction Co., Ltd. 346,200 614,876
* Fujita Corp. 365,100 281,154
# Fujitec Co., Ltd. 203,000 1,049,253
Fujitsu Devices, Inc. 51,000 562,449
Fukuda Corp. 96,000 597,816
Fukusima Industries Corp. 20,000 265,418
# * Furukawa Co., Ltd. 908,000 1,098,086
Hakuyosha Co., Ltd. 57,000 177,342
Haltec Corp. 32,000 66,056
* Hamai Co., Ltd. 22,000 34,705
# Hanwa Co., Ltd. 484,000 1,606,737
* Hazama Corp. 152,500 362,450
Hibiya Engineering, Ltd. 84,000 752,148
# Hisaka Works, Ltd. 41,000 377,365
Hitachi Kiden Kogyo, Ltd. 27,000 119,994
Hitachi Metals Techno, Ltd. 13,000 45,437
Hitachi Plant Engineering & Construction Co., Ltd. 260,000 1,255,218
Hitachi Tool Engineering, Ltd. 55,000 605,545
Hitachi Transport System, Ltd. 75,000 624,680
# * Hitachi Zosen Corp. 1,147,500 1,485,018
Hokuriku Electrical Construction Co., Ltd. 36,000 129,767
# * Hosokawa Micron Corp. 78,000 683,227
# * Howa Machinery, Ltd. 235,000 288,126
* Ichiken Co., Ltd. 48,000 84,363
# Iino Kaiun Kaisha, Ltd. 263,000 1,209,897
i-Logistics Corp. 52,000 178,771
Inaba Denki Sangyo Co., Ltd. 58,400 1,625,874
Inabata and Co., Ltd., Osaka 126,000 1,035,108
Inui Steamship Co., Ltd. 68,000 321,843
# Iseki & Co., Ltd. 498,000 1,270,849
# * Ishikawa Seisakusho, Ltd. 75,000 160,822
Ishikawajima Construction Materials Co., Ltd. 18,000 50,852
Ishikawajima Transport Machinery Co., Ltd. 30,000 84,801
# Itoki Crebio Corp. 78,000 434,609
# Iwasaki Electric Co., Ltd. 183,000 704,281
Iwatani International Corp. 566,000 1,463,145
* J Bridge Corp. 41,000 635,906
# Jalux, Inc. 24,500 430,858
Jamco Corp. 49,000 301,491
* Japan Bridge Corp. 31,000 40,957
Japan Cash Machine Co., Ltd. 67,215 1,493,515
Japan Foundation Engineering Co., Ltd. 62,000 345,805
Japan Maintenance Co., Ltd. 40,800 442,124
# Japan Pulp and Paper Co., Ltd. 325,000 1,065,833
Japan Servo Co., Ltd. 51,000 137,230
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Japan Steel Tower Co., Ltd. 44,000 216,683
# Japan Steel Works, Ltd. 846,000 1,708,634
# * Japan Storage Battery Co., Ltd. 529,000 1,077,919
# Japan Transcity Corp. 137,000 527,977
* JFE Shoji Holdings, Inc. 116,000 401,794
* Kamagai Gumi Co., Ltd. 87,800 226,588
Kamei Corp. 89,000 969,463
Kanaden Corp. 66,000 385,724
# Kanagawa Chuo Kotsu Co., Ltd. 134,000 666,105
Kanamoto Co., Ltd. 66,000 412,248
* Kanematsu Corp. 921,500 1,188,653
* Kanematsu-NNK Corp. 60,000 109,585
# Katakura Industries Co., Ltd. 72,000 1,015,917
# Kato Works Co., Ltd. 109,000 285,443
* Katsumura Construction Co., Ltd. 48,600 49,011
Kawada Industries, Inc. 102,000 253,010
Kawasho Gecoss Corp. 73,100 431,198
# Keihin Co., Ltd. 178,000 590,492
* Kimmon Manufacturing Co., Ltd. 41,000 74,681
# * Kimura Chemical Plants Co., Ltd. 27,000 92,608
# Kinki Sharyo Co., Ltd., Nagaokakyo 150,000 389,729
* Kinsho Corp. 21,000 68,328
Kioritz Corp. 143,000 391,163
# Kitagawa Iron Works Co., Ltd. 150,000 310,297
Kitano Construction Corp. 162,000 419,652
Kitazawa Sangyo Co., Ltd. 17,500 54,671
# Kitz Corp. 268,000 1,246,653
Kodensha Co., Ltd. 14,000 46,637
Koekisha Co., Ltd. 9,600 213,900
Koike Sanso Kogyo Co., Ltd. 71,000 185,884
Koito Industries, Ltd. 92,000 423,709
* Kokusai Kogyo Co., Ltd. 60,000 191,818
Komai Tekko, Inc. 74,000 243,074
Kondotec, Inc. 30,000 256,820
Kosaido Co., Ltd. 55,700 440,511
Kuroda Electric Co., Ltd. 71,300 1,719,195
# Kyodo Printing Co., Ltd. 188,000 810,189
# Kyoei Sangyo Co., Ltd. 44,000 149,093
Kyokuto Boeki Kaisha, Ltd. 36,000 109,361
Kyokuto Kaihatsu Kogyo Co., Ltd. 63,400 765,316
Kyosan Electric Manufacturing Co., Ltd. 119,000 409,491
Kyowa Exeo Corp. 201,000 1,645,236
Kyudenko Corp. 182,000 1,081,376
Link Consulting Associates - Japan Corp. 24,300 92,751
* Lonseal Corp. 69,000 99,480
Maeda Corp. 358,000 1,974,969
Maeda Road Construction Co., Ltd. 220,000 1,545,804
Maezawa Industries, Inc. 38,100 213,962
Maezawa Kaisei Industries Co., Ltd. 33,800 604,580
# Makino Milling Machine Co., Ltd. 193,000 1,142,628
Marubeni Construction Material Lease Co., Ltd. 54,000 128,442
Maruwn Corp. 44,000 166,232
# Maruyama Manufacturing Co., Inc. 108,000 888,355
Maruzen Showa Unyu Co., Ltd. 205,000 692,952
Matsuda Sangyo Co., Ltd. 41,500 380,726
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Matsui Construction Co., Ltd. 61,600 276,948
# * Matsuo Bridge Co., Ltd. 37,000 70,275
Max Co., Ltd. 126,000 1,479,697
# Meidensha Corp. 533,050 1,251,054
# * Meiji Machine Co., Ltd. 90,000 100,307
Meiji Shipping Co., Ltd. 58,000 212,712
* Meisei Industrial Co., Ltd. 29,000 90,411
Meito Transportation Co., Ltd. 22,000 201,970
* Meiwa Trading Co., Ltd. 55,000 134,721
Mirai Group Co., Ltd. 49,000 101,549
# * Mitsubishi Cable Industries, Ltd. 330,000 381,173
# * Mitsubishi Kakoki Kaisha, Ltd. 149,000 277,856
Mitsubishi Pencil Co., Ltd. 70,000 709,658
Mitsuboshi Belting, Ltd. 190,000 1,108,062
# * Mitsui Matsushima Co., Ltd. 117,000 234,931
Mitsui-Soko Co., Ltd. 307,000 1,039,429
Mitsumura Printing Co., Ltd. 73,000 476,078
Miura Co., Ltd. 92,900 1,857,598
Miura Printing Corp. 19,000 69,074
# Miyaji Engineering Group 120,000 300,893
# Mori Seiki Co., Ltd. 191,400 1,978,984
Morita Corp. 100,000 590,124
Moshi Moshi Hotline, Inc. 12,200 1,215,404
Mystar Engineering Corp. 15,600 90,271
Nabtesco Corp. 285,000 1,806,013
NAC Co., Ltd. 25,100 416,412
# Nachi-Fujikoshi Corp. 553,000 1,876,792
* Nakano Corp. 49,000 107,698
NEC System Integration & Construction, Ltd. 94,100 843,787
Nichias Corp. 296,000 1,194,421
Nichiban Co., Ltd. 75,000 293,168
Nichiha Corp. 75,080 1,095,918
Nichireki Co., Ltd. 65,000 248,652
* Nihon Spindle Manufacturing Co., Ltd. 56,000 121,983
Nikkiso Co., Ltd. 151,000 897,956
# Nikko Co., Ltd., Akashi 66,000 245,629
Nippei Toyama Corp. 80,000 217,685
Nippo Corp. 256,000 1,710,014
# Nippon Carbon Co., Ltd. 242,000 427,152
Nippon Chutetsukan KK 44,000 98,720
# * Nippon Conveyor Co., Ltd. 43,000 54,997
Nippon Densetsu Kogyo Co., Ltd. 134,000 794,926
Nippon Denwa Shisetu Co., Ltd. 121,000 438,398
Nippon Hume Corp. 43,000 128,885
Nippon Jogesuido Sekkei Co., Ltd. 175 255,584
Nippon Kanzai Co., Ltd. 42,300 769,989
# Nippon Koei Co., Ltd., Tokyo 190,000 640,248
Nippon Konpo Unyu Soko Co., Ltd. 167,000 1,758,573
Nippon Road Co., Ltd. 208,000 471,890
Nippon Seisen Co., Ltd. 39,000 141,645
Nippon Sharyo, Ltd. 322,000 774,215
# Nippon Signal Co., Ltd. 140,000 812,612
Nippon Thompson Co., Ltd. 171,000 1,218,272
Nippon Tungsten Co., Ltd. 44,000 113,350
# Nippon Yusoki Co., Ltd. 71,000 263,051
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Nishimatsu Construction Co., Ltd. 238,000 802,492
Nishishiba Electric Co., Ltd. 28,000 52,146
Nissan Diesel Motor Co., Ltd. 64,000 238,414
Nissei Corp. 65,700 703,994
Nissei Plastic Industrial Co., Ltd. 46,000 331,934
Nissha Printing Co., Ltd. 102,000 1,571,354
# Nisshin Fudosan Co., Ltd. 40,600 492,951
# * Nissho Iwai-Nichmen Holdings Corp. 347,100 1,340,409
Nissin Corp. 248,000 755,034
Nissin Electric Co., Ltd. 223,000 724,786
Nitchitsu Co., Ltd. 14,000 31,025
Nitta Corp. 64,100 910,096
Nittan Co., Ltd. 23,000 79,548
Nitto Boseki Co., Ltd. 560,000 1,135,078
Nitto Electric Works, Ltd. 95,500 1,086,001
Nitto Kohki Co., Ltd. 47,600 847,780
Nitto Seiko Co., Ltd. 56,000 160,724
# * Nittoc Construction Co., Ltd. 61,000 121,893
# Nomura Co., Ltd. 122,000 491,078
Noritz Corp. 114,000 1,791,008
Obayashi Road Corp. 65,000 146,920
Odakyu Construction Co., Ltd. 29,000 78,656
* Ohki Corp. 73,000 0
# * Ohmori Co., Ltd. 18,400 11,494
Oiles Corp. 44,800 890,951
Okabe Co., Ltd. 46,000 304,089
* Okamoto Machine Tool Works, Ltd. 75,000 204,106
Okamura Corp. 257,000 1,799,702
# Oki Electric Cable Co., Ltd. 76,000 330,052
* OKK Corp. 138,000 258,040
Okuma and Howa Machinery, Ltd. 96,000 315,970
Okuma Corp. 303,000 1,720,772
# O-M, Ltd. 46,000 108,311
Onoken Co., Ltd. 42,000 568,788
Organo Corp. 113,000 516,986
Oriental Construction Co., Ltd. 51,900 237,582
Original Engineering Consultants Co., Ltd. 9,000 40,538
Oyo Corp. 62,000 703,516
P.S. Mitsubishi Construction Co., Ltd. 58,300 230,687
* Pasco Corp. 135,500 339,057
# Patlite Corp. 21,340 461,814
# * Penta-Ocean Construction Co., Ltd. 887,000 1,292,535
# * PIA Corp. 17,200 330,497
Pilot Corp. 83 337,131
Raito Kogyo Co., Ltd. 110,600 423,904
Rasa Industries, Ltd. 146,000 464,480
Rheon Automatic Machinery Co., Ltd. 40,000 135,326
Riken Electric Wire Co., Ltd. 20,000 35,222
Ryobi, Ltd. 390,000 1,696,514
* Saeki Kensetsu Kogyo Co., Ltd. 71,000 97,278
* Sailor Pen Co., Ltd. 74,000 159,934
Sakai Heavy Industries, Ltd. 60,000 152,346
* Sakurada Co., Ltd. 38,000 58,272
# Sanix, Inc. 73,400 754,333
Sanki Engineering Co., Ltd. 172,000 1,219,523
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Sanko Metal Industrial Co., Ltd., Tokyo 54,000 112,334
# Sankyu, Inc., Tokyo 628,000 1,765,259
Sanritsu Corp. 5,400 54,410
Sanyo Denki Co., Ltd. 133,000 644,352
Sanyo Engineering & Construction, Inc. 48,000 269,403
Sanyo Industries, Ltd., Tokyo 48,000 128,374
# * Sasebo Heavy Industries Co., Ltd., Tokyo 362,000 706,073
* Sata Construction Co., Ltd., Gumma 61,000 73,694
# Sato Corp. 71,600 1,569,069
Sato Shoji Corp. 42,000 350,959
Sawafugji Electric Co., Ltd. 31,000 85,639
Secom Joshinetsu Co., Ltd. 29,200 678,188
Secom Techno Service Co., Ltd. 29,000 933,494
Seibu Electric Industry Co., Ltd. 46,000 250,315
Seika Corp. 179,000 386,542
* Seikitokyu Kogyo Co., Ltd. 86,000 99,179
Sekisui Jushi Co., Ltd. 97,000 624,049
Senko Co., Ltd. 226,000 782,734
Senshu Electric Co., Ltd. 21,300 327,026
# Shibaura Mechatronics Corp. 105,000 888,222
Shibusawa Warehouse Co., Ltd. 140,000 390,514
Shibuya Kogyo Co., Ltd. 54,000 458,281
Shin Nippon Air Technologies Co., Ltd. 52,680 366,125
Shin-Keisei Electric Railway Co., Ltd. 97,000 350,006
# Shinko Electric Co., Ltd. 284,000 786,830
Shin-Kobe Electric Machinery Co., Ltd. 97,000 548,840
Shinmaywa Industries, Ltd. 264,000 1,308,177
Shinsho Corp. 139,000 347,345
# Shinwa Kaiun Kaisha, Ltd. 359,000 1,048,190
* Shiraishi Corp. 25,000 44,701
* Sho-Bond Corp. 54,900 426,220
# Shoko Co., Ltd. 234,000 402,795
# Showa Electric Wire & Cable Co., Ltd., Kawasaki 424,000 528,268
Showa Mining Co., Ltd. 66,000 218,437
Sintokogio, Ltd., Nagoya 116,000 871,536
Soda Nikka Co., Ltd. 35,000 115,760
Sodick Co., Ltd. 97,000 911,724
Space Co., Ltd. 29,180 355,091
Sugimoto & Co., Ltd. 20,500 272,064
* Sumitomo Coal Mining Co., Ltd. 281,500 331,626
Sumitomo Densetsu Co., Ltd. 69,800 277,897
# * Sumitomo Mitsui Construction Co., Ltd. 629,600 501,633
Sumitomo Precision Products Co., Ltd., Amagasaki City 84,000 325,224
# Sumitomo Warehouse Co., Ltd. 311,000 1,590,690
Sun Wave Corp. 96,000 298,200
Tadano, Ltd. 286,000 1,450,683
Taihei Dengyo Kaisha, Ltd. 97,000 548,178
* Taihei Kogyo Co., Ltd. 151,000 428,961
* Taiheiyo Kouhatsu, Inc. 90,000 150,522
Taiho Kogyo Co., Ltd. 50,400 538,007
Taikisha, Ltd. 97,000 1,270,422
Taisei Rotec Corp. 185,000 373,250
Takada Kiko Co., Ltd. 44,000 280,367
# Takamatsu Corp. 43,700 1,335,419
Takano Co., Ltd. 34,400 508,304
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Takaoka Electric Manufacturing Co., Ltd., Tokyo 194,000 383,388
Takara Printing Co., Ltd. 17,050 142,367
Takara Standard Co., Ltd. 46,000 294,104
Takasago Thermal Engineering Co., Ltd. 189,000 1,332,256
Takashima & Co., Ltd. 90,000 223,742
Takigami Steel Construction Co., Ltd. 50,000 368,802
Takuma Co., Ltd. 195,000 1,352,377
Tanseisha Co., Ltd. 26,000 100,226
Tatsuta Electric Wire & Cable Co., Ltd. 137,000 293,342
# * TC Properties Co., Ltd. 579,000 0
# TCM Corp. 176,000 406,863
Techno Ryowa, Ltd. 32,200 216,126
Tekken Corp. 336,000 614,326
Teraoka Seisakusho Co., Ltd. 37,000 332,973
Tetra Co., Ltd., Tokyo 64,000 235,462
Toa Corp. 440,000 826,850
# Toa Doro Kogyo Co., Ltd. 110,000 352,465
# Tocalo Co., Ltd. 39,000 849,176
Todentu Corp. 57,000 162,442
Toenec Corp. 218,000 920,104
Tohoku Telecommunications Construction Co., Ltd. 42,000 324,556
Tokai Konetsu Kogyo Co., Ltd. 15,000 58,736
* Tokai Lease Co., Ltd. 18,000 47,519
# Tokimec, Inc. 152,000 294,522
# Toko Electric Corp. 72,000 306,007
Tokyo Biso Kogyo Corp. 19,000 243,376
Tokyo Energy & Systems, Inc. 77,000 416,085
# Tokyo Kikai Seisakusho, Ltd. 172,000 480,939
Tokyo Leasing Co., Ltd. 142,500 2,006,349
Tokyo Sangyo Co., Ltd. 36,500 128,544
Toli Corp. 173,000 502,954
Tomoe Corp. 84,000 306,356
Tonami Transportation Co., Ltd. 210,000 711,536
# Torishima Pump Manufacturing Co., Ltd., Osaka 62,000 382,018
# Toshiba Machine Co., Ltd. 366,000 1,993,050
Toshiba Plant Kensetsu Co., Ltd. 221,000 959,748
Tosho Printing Co., Ltd. 156,000 563,026
Totetsu Kogyo Co., Ltd. 73,000 345,505
Toyo Bussan Co., Ltd. 36,300 366,134
# * Toyo Construction Co., Ltd. 541,000 629,359
# Toyo Electric Co., Ltd. 91,000 349,962
# Toyo Engineering Corp. 473,000 1,289,579
# * Toyo Shutter Co., Ltd. 77,000 102,112
Toyo Wharf & Warehouse Co., Ltd. 150,000 312,431
Trusco Nakayama Corp. 75,500 1,391,815
Tsubaki Nakashima Co., Ltd. 112,000 1,377,190
Tsubakimoto Chain Co. 435,000 1,961,268
Tsubakimoto Kogyo Co., Ltd. 44,000 142,917
Tsudakoma Corp. 124,000 340,827
# Tsugami Corp. 188,000 930,373
Tsukishima Kikai Co., Ltd. 102,000 858,744
Tsurumi Manufacturing Co., Ltd. 53,000 453,727
Tsuzuki Denki Co., Ltd. 36,000 138,765
Uchida Yoko Co., Ltd. 101,000 423,168
Ueki Corp. 47,000 117,274
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# Union Tool Co. 48,500 1,412,643
Utoc Corp. 68,000 192,804
# Wakachiku Construction Co., Ltd. 251,000 487,718
Watabe Wedding Corp. 18,900 341,016
Weathernews, Inc. 15,800 115,587
Yahagi Construction Co., Ltd. 75,000 296,706
# Yamato Corp. 50,000 229,263
Yamaura Corp. 19,000 48,378
Yamazen Co., Ltd. 205,000 742,529
Yasuda Warehouse Co., Ltd. 61,000 421,702
Yokogawa Bridge Corp. 98,400 594,403
Yondenko Corp. 80,800 445,573
* Yuasa Trading Co., Ltd. 376,000 595,177
Yuken Kogyo Co., Ltd. 83,000 235,611
Yurtec Corp. 179,000 986,176
# Yushin Precision Equipment Co., Ltd. 30,640 520,160
* Z- Plus Holdings Co., Ltd. 52,000 131,977
----------------
Total Industrials
(Cost $226,668,478) 218,629,039
----------------
Consumer Discretionary -- (17.3%)
# ABILIT Corp. 38,000 1,489,060
# Aeon Fantasy Co., Ltd. 27,300 671,138
# Ahresty Corp. 38,200 629,043
Aichi Machine Industry Co., Ltd. 189,000 838,905
Aigan Co., Ltd. 33,500 297,589
Aisan Industry Co., Ltd. 121,800 1,188,959
# Akebono Brake Industry Co., Ltd. 215,000 1,205,919
* Akindo Sushiro Co., Ltd. 2,200 58,377
# Alpine Electronics, Inc. 133,400 1,898,909
# Anrakutei Co., Ltd. 39,000 275,186
AOI Advertising Promotion, Inc. 21,000 160,859
Aoki International Co., Ltd. 100,800 1,219,466
Araya Industrial Co., Ltd. 112,000 278,171
Ashimori Industry Co., Ltd. 109,000 263,075
Asics Corp. 479,000 2,121,118
Asics Trading Co., Ltd. 12,000 145,777
# Atom Corp. 16,600 64,084
# Atsugi Co., Ltd. 410,000 506,916
Aucnet, Inc. 18,500 364,842
Autoseven Co., Inc. 7,600 89,307
# Avex, Inc. 98,900 1,311,824
Banpresto Co., Ltd. 17,100 270,869
Belluna Co., Ltd. 56,980 1,642,977
# Best Denki Co., Ltd. 276,000 1,061,997
* Bookoff Corp. 6,000 140,139
Cabin Co., Ltd. 86,000 312,004
* Catena Corp. 46,000 89,814
# * Cecile Co., Ltd. 89,400 795,972
Chiyoda Co., Ltd. 94,500 1,540,990
Chofu Seisakusho Co., Ltd. 54,500 1,117,843
* Chori Co., Ltd. 405,000 807,045
Chuo Spring Co., Ltd., Nagoya 137,000 563,558
Chuo Woollen Mills, Ltd. 24,000 55,129
# * Clarion Co., Ltd. 640,000 1,090,034
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Cleanup Corp. 90,000 868,319
# Colowide Co., Ltd. 55,500 414,207
# * Columbia Music Entertainment, Inc. 409,000 408,930
# Copal Co., Ltd. 21,600 244,193
Corona Corp. 68,900 1,067,626
# Culture Convenience Club Co., Ltd. 112,200 1,979,474
Cybozu, Inc. 184 208,971
# D&M Holdings, Inc. 162,000 337,475
Daido Kogyo Co., Ltd. 85,000 228,323
# Daidoh, Ltd. 83,000 873,310
# * Daiei, Inc. 24,950 431,184
Daiki Co., Ltd. 49,900 487,893
* Daikyo, Inc. 580,000 1,172,973
Dainichi Co., Ltd. 37,700 319,009
Daisyo Corp. 53,200 648,327
* Daito Woolen Spinning & Weaving Co., Ltd., Tokyo 42,000 54,582
# * Daiwa Seiko, Inc. 343,000 555,552
Daiwabo Co., Ltd. 272,000 418,700
# Denny's Japan Co., Ltd. 67,000 1,230,540
Descente, Ltd. 164,000 624,852
# * Dia Kensetsu Co., Ltd. 141,200 291,448
# Doshisha Co., Ltd. 25,800 872,524
# Doutor Coffee Co., Ltd. 47,900 821,944
Dynic Corp. 66,000 213,596
# Eagle Industry Co., Ltd. 93,000 659,270
* Econach Co., Ltd. 26,000 12,664
Exedy Corp. 114,000 1,878,821
F.D.C. Products, Inc. 21,190 289,482
Fine Sinter Co., Ltd. 31,000 108,360
# France Bed Holdings Co., Ltd. 530,000 1,243,297
# Fuji Co.,Ltd. 76,100 1,345,963
# Fuji Corp, Ltd. 56,000 321,369
Fuji Kiko Co., Ltd. 102,000 399,955
Fuji Kyuko Co., Ltd. 251,000 898,128
* Fuji Spinning Co., Ltd., Tokyo 163,000 191,013
Fujikura Rubber, Ltd. 34,000 193,603
Fujita Kanko, Inc. 254,000 1,121,753
Fujitsu Business Systems, Ltd. 54,800 805,270
# * Fujitsu General, Ltd. 236,000 799,539
# * Furukawa Battery Co., Ltd. 45,000 108,005
Fuso Lexel Inc. 35,500 305,250
Gakken Co., Ltd. 247,000 689,173
# Genki Sushi Co., Ltd. 17,200 205,539
Gigas K's Denki Corp. 10,644 249,114
Global-Dining, Inc. 6,200 41,470
# * Goldwin, Inc. 117,000 272,302
Gourmet Kineya Co., Ltd. 47,000 382,397
# * GSI Creos Corp. 120,000 280,106
* H.I.S. Co., Ltd. 6,400 143,585
Happinet Corp. 25,100 427,837
Haruyama Trading Co., Ltd. 33,100 480,131
Hitachi Koki Co., Ltd. 205,000 1,910,650
Hitachi Powdered Metal Co., Ltd. 62,000 415,038
Homac Corp. 97,100 966,575
Horipro, Inc. 23,400 236,727
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* Ichida and Co., Ltd. 23,400 35,747
Ichikawa Co., Ltd. 49,000 193,620
# Ichikoh Industries, Ltd. 163,000 404,167
Imasen Electric Industrial Co., Ltd. 23,500 177,946
Impact 21 Co., Ltd. 41,500 1,021,813
# * Impress Corp. 257 315,356
Inaba Seisa Kusho Co., Ltd. 38,600 640,629
Ishizuka Glass Co., Ltd. 49,000 129,902
* Izuhakone Railway Co., Ltd. 300 14,926
# * Izutsuya Co., Ltd. 166,000 251,596
# * Jac Holdings Co., Ltd. 170,800 258,230
* Janome Sewing Machine Co., Ltd. 320,000 395,216
# Japan Kenzai Co., Ltd. 60,240 433,338
Japan Vilene Co., Ltd. 143,000 804,850
Japan Wool Textile Co., Ltd. 202,000 1,352,309
Jeans Mate Corp. 15,540 206,576
Joban Kosan Co., Ltd. 193,000 342,966
Joint Corp. 40,200 1,099,947
# Joshin Denki Co., Ltd. 147,000 613,919
Juel Verite Ohkubo Co., Ltd 24,000 59,252
# * Jujiya Co., Ltd. 442,000 319,870
Juki Corp. 247,000 972,185
* Jyomo Co., Ltd. 48,000 109,929
# Kabuki-Za Co., Ltd. 25,000 1,002,170
Kadokawa Holdings, Inc. 27,000 960,098
Kahma Co., Ltd. 69,300 989,121
Kanto Auto Works, Ltd., Yokosuka 148,900 1,748,761
Kasai Kogyo Co., Ltd. 79,000 265,650
Kato Sangyo Co., Ltd. 86,300 1,265,025
# * Kawai Musical Instruments Manufacturing Co., Ltd. 144,000 309,152
# * Kawashima Textile Manufacturers, Ltd. 175,000 270,776
Kayaba Industry Co., Ltd. 496,000 1,660,461
Keiiyu Co., Ltd. 22,100 259,077
# * Keiyo Co., Ltd. 139,900 534,983
Kentucky Fried Chicken Japan, Ltd. 55,000 1,055,927
# Kenwood Corp. 692,000 1,304,437
# Kinki Nippon Tourist Co., Ltd. 196,000 504,954
# Kinugawa Rubber Industrial Co., Ltd. 139,000 314,979
# Kisoji Co., Ltd. 52,600 832,882
# Kohnan Shoji Co., Ltd. 47,500 639,522
# Kojima Co., Ltd. 83,000 1,086,815
Komatsu Seiren Co., Ltd. 80,000 420,419
Konaka Co., Ltd. 49,300 619,045
# Konami Sports Corp. 64,000 1,021,999
Kurabo Industries, Ltd. 554,000 1,337,110
Kuroganeya Co., Ltd. 14,000 55,621
Kyoritsu Maintenance Co., Ltd. 22,300 432,588
Kyoto Kimono Yuzen Co., Ltd. 187 430,065
Kyowa Leather Cloth Co., Ltd. 38,800 237,484
# Laox Co., Ltd. 144,000 398,166
* Look, Inc. 50,000 153,056
# Maezawa Kyuso Industries Co., Ltd. 29,800 411,128
# * Magara Construction Co., Ltd. 61,000 69,864
* Mamiya-Op Co., Ltd. 58,000 135,889
Marche Corp. 10,700 102,029
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Mars Engineering Corp. 46,700 1,237,656
Marubeni Telecom Co., Ltd. 117 120,252
Maruei Department Store Co., Ltd. 72,000 198,190
# * Maruzen Co., Ltd. 208,000 369,355
Maruzen Co., Ltd. - General Commercial Kitchen Appliances &
Equipment 30,000 180,505
# Matsuya Co., Ltd. 120,000 963,489
Matsuya Foods Co., Ltd. 39,500 804,514
# Matsuzakaya Co., Ltd. 386,077 1,789,416
Meiwa Industry Co., Ltd. 15,000 55,216
# * Misawa Homes Holdings, Inc. 57,990 2,053,896
# Misawa Resort Co., Ltd. 113,000 413,880
Mitsuba Corp. 101,690 874,530
Mitsui Home Co., Ltd. 137,000 666,575
Miyuki Keori Co., Ltd. 73,000 284,527
Mizuno Corp. 299,000 1,346,438
# MOS Food Services, Inc. 72,000 1,052,644
# MR Max Corp. 73,900 270,906
Mutow Co., Ltd. 38,000 179,050
* Naigai Co., Ltd. 109,000 128,919
Nichimo Co., Ltd. 54,000 143,639
# * Nichimo Corp. 204,000 265,933
Nidec Tosok Corp. 31,700 416,216
Nihon Eslead Corp. 28,540 716,747
* Nihon Kentetsu Co., Ltd. 27,000 68,264
Nihon Tokushu Toryo Co., Ltd. 44,000 293,101
Nikko Travel Co., Ltd. 12,200 64,687
Nippon Felt Co., Ltd. 56,000 277,075
# Nippon Piston Ring Co., Ltd. 168,000 384,452
Nippon Seiki Co., Ltd. 130,000 1,658,626
Nishimatsuya Chain Co., Ltd. 6,200 148,285
* Nissen Co., Ltd. 21,100 227,307
Nissin Kogyo Co., Ltd. 48,500 1,835,886
Nittan Valve Co., Ltd. 58,000 455,453
Nitto Seimo Co., Ltd. 32,000 85,564
Noritake Co., Ltd. 351,000 1,454,871
# Noritsu Koki Co., Ltd. 74,900 1,550,757
* Omikenshi Co., Ltd. 78,000 80,248
* Orient Watch Co., Ltd. 12,000 4,533
Pacific Industrial Co., Ltd. 116,000 552,614
Parco Co., Ltd. 172,000 1,082,310
# Pentax Corp. 279,000 928,108
Piolax, Inc. 27,300 574,395
Press Kogyo Co., Ltd. 237,000 759,847
* Renown D'urban Holdings, Inc. 82,800 732,512
# Resorttrust, Inc. 64,700 1,634,382
Rhythm Watch Co., Ltd. 344,000 704,834
Right On Co., Ltd. 52,600 1,905,119
Riken Corp. 234,000 1,146,234
Ringer Hut Co., Ltd. 46,400 514,925
Roland Corp. 56,400 962,641
# Roland DG Corp. 39,300 831,653
Royal Co., Ltd. 88,000 1,049,767
# Sagami Chain Co., Ltd. 44,000 393,056
Sagami Co., Ltd. 66,000 252,180
Sagami Rubber Industries Co., Ltd. 15,000 43,187
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# Saizeriya Co., Ltd. 114,400 1,363,509
# Sakai Ovex Co., Ltd. 124,000 266,680
# Sanden Corp. 323,000 1,335,386
* Sanei-International Co., Ltd. 4,300 139,853
Sankyo Seiko Co., Ltd. 132,000 563,106
Sanoh Industrial Co., Ltd. 70,000 476,223
# * Sanrio Co., Ltd. 173,700 1,733,686
# Sanyo Shokai, Ltd. 303,000 1,612,031
Seiko Corp. 251,407 1,353,684
# Seiren Co., Ltd. 128,000 1,311,370
Senshukai Co., Ltd. 106,000 903,734
Shaddy Co., Ltd. 38,800 387,038
* Shikibo, Ltd. 215,000 271,519
# Shinyei Kaisha 80,000 271,927
Shiroki Co., Ltd. 179,000 464,991
Shobunsha Publications, Inc. 35,200 453,737
# Shochiku Co., Ltd. 237,000 1,489,294
Showa Aircraft Industry Co., Ltd. 67,000 690,532
Showa Corp. 39,500 493,287
Silver Ox Inc. 30,000 66,390
# * Silver Seiko, Ltd. 228,000 83,802
# Simree Co., Ltd. 11,700 78,486
SK Japan Co., Ltd. 8,250 60,544
SNT Corp. 58,300 270,999
* Sofmap Co., Ltd. 9,300 39,362
Sotoh Co., Ltd. 12,000 208,161
SPK Corp. 7,800 116,142
Suminoe Textile Co., Ltd. 159,000 335,635
* Suzutan Co., Ltd. 13,200 75,975
* SXL Corp. 129,000 159,652
Tachikawa Corp. 43,800 314,652
Tachi-S Co., Ltd. 78,840 817,301
Taito Corp. 789 1,122,407
* Taka-Q Co., Ltd. 34,500 85,196
# * Takara Co., Ltd. 224,000 709,038
Tasaki Shinju Co., Ltd. 70,000 287,400
Taya Co., Ltd. 5,000 40,349
* TDF Corp. 11,000 40,861
# Tecmo, Ltd. 46,600 465,449
Teikoku Piston Ring Co., Ltd. 70,000 782,497
Teikoku Sen-I Co., Ltd. 39,000 182,532
# Ten Allied Co., Ltd. 37,000 149,294
Tenma Corp. 71,100 1,349,634
Tigers Polymer Corp. 40,000 226,274
* Toabo Corp. 73,000 76,675
# Toei Co., Ltd. 327,000 1,598,995
* Tohoku Misawa Homes Co., Ltd. 24,000 72,252
# Tohoku Pioneer Corp. 49,600 628,636
# * Tohto Suisan Co., Ltd. 80,000 278,645
* Tokai Kanko Co., Ltd. 618,000 215,539
Tokai Senko KK, Nagoya 47,000 103,589
Tokyo Dome Corp. 314,000 1,708,256
Tokyo Nissan Auto Sales Co., Ltd. 97,000 715,339
Tokyo Soir Co., Ltd. 34,000 142,510
# Tokyotokeiba Co., Ltd. 691,000 1,655,697
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Tokyu Recreation Corp. 63,000 359,627
# Tomy Co., Ltd. 42,000 654,165
Topre Corp. 118,000 888,658
# * Tosco Co., Ltd. 35,000 233,865
Totenko Co., Ltd. 35,000 89,661
# Touei Housing Corp. 60,740 1,306,391
# Toyo Radiator Co., Ltd. 166,000 743,611
Toyo Tire & Rubber Co., Ltd. 476,000 1,914,861
Tsukamoto Co., Ltd. 44,000 84,424
Tsutsumi Jewelry Co., Ltd. 44,400 1,180,758
# Unitika, Ltd. 1,067,000 1,270,702
U-Shin, Ltd. 54,000 509,666
# Watami Food Service Co., Ltd. 82,100 739,799
* Wondertable, Ltd. 69,000 89,667
Xebio Co., Ltd. 21,100 593,236
XNET Corp. 57 142,012
Yamatane Corp. 175,000 417,775
Yamato International, Inc. 43,000 237,144
Yellow Hat, Ltd., Tokyo 49,200 417,093
# Yokohama Reito Co., Ltd. 92,000 705,945
# Yomiuri Land Co., Ltd. 180,000 1,027,451
Yonex Co., Ltd. 41,000 422,572
Yorozu Corp. 45,000 404,228
Yoshimoto Kogyo Co., Ltd. 79,000 1,315,468
Yuasa Funashoku Co., Ltd. 69,000 160,958
Zenrin Co., Ltd. 81,900 1,224,646
# Zensho Co., Ltd. 59,700 1,184,463
----------------
Total Consumer Discretionary
(Cost $166,895,331) 174,060,739
----------------
Information Technology -- (9.0%)
Aichi Tokei Denki Co., Ltd. 94,000 288,119
Aiphone Co., Ltd. 44,600 761,274
# Allied Telesis KK 169,600 828,200
Alpha Systems, Inc. 23,600 500,197
# Anritsu Corp. 280,000 1,682,393
AOI Electronics Co., Ltd. 24,900 376,925
* Apic Yamada Corp. 20,000 45,319
Argo 21 Corp. 22,400 217,039
Asti Corp. 8,000 79,031
CAC Corp. 39,400 458,494
Canon Electronics, Inc. 62,000 1,634,300
Canon Finetech, Inc. 96,070 1,816,904
# Capcom Co., Ltd. 132,400 1,240,287
Chino Corp. 89,000 277,889
# CMK Corp. 118,000 1,882,981
Computer Engineering & Consulting, Ltd. 38,100 420,468
# Core Corp. 27,400 302,609
Cresco, Ltd. 11,600 149,180
# Daikoku Denki Co., Ltd. 34,200 951,406
Daiwabo Information System Co., Ltd. 33,000 539,450
Denki Kogyo Co., Ltd. 167,000 950,587
* Dodwell B.M.S., Ltd. 15,000 105,173
DTS Corp. 31,500 870,309
Eizo Nanao Corp. 47,500 1,450,286
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* Elna Co., Ltd. 34,000 67,884
Enplas Corp. 46,200 1,097,014
* FDK Corp. 260,000 418,583
Foster Electric Co., Ltd. 44,000 387,163
Fujitsu Access, Ltd. 48,000 359,307
Fujitsu Fronttec, Ltd. 49,200 504,117
* Graphtec Corp. 39,000 58,936
Hakuto Co., Ltd. 49,900 706,218
# Hitachi Business Solution Co., Ltd. 22,700 153,565
Hitachi Information Systems, Ltd. 39,600 770,989
Hitachi Kokusai Electric, Inc. 229,000 2,002,850
Hitachi Mobile Co., Ltd. 35,000 235,431
# Hochiki Corp. 42,000 175,599
# Hokuriku Electric Industry Co., Ltd. 159,000 384,173
Horiba, Ltd. 84,000 1,691,579
Hosiden Corp. 165,400 1,703,554
Icom, Inc. 32,400 817,229
Idec Izumi Corp. 83,500 961,621
# * Ikegami Tsushinki Co., Ltd. 102,000 185,741
# Ines Corp. 108,800 905,221
I-Net Corp. 18,300 113,472
# Information Services International-Dentsu, Ltd. 65,100 791,395
Intec, Inc. 102,128 945,630
Ishii Hyoki Co., Ltd. 8,600 102,620
# Iwatsu Electric Co., Ltd. 207,000 452,772
Japan Aviation Electronics Industry, Ltd. 43,000 462,341
Japan Business Computer Co., Ltd. 46,300 312,406
Japan Digital Laboratory Co., Ltd. 71,500 868,368
Japan Information Processing Service Co., Ltd. 31,800 197,313
# * Japan Radio Co., Ltd. 303,000 1,216,268
Jastec Co., Ltd. 16,400 279,904
Jiec Co., Ltd. 87 95,634
# Kaga Electronics Co., Ltd. 56,300 1,063,275
Kanematsu Electronics, Ltd. 45,500 329,591
Kawatetsu Systems, Inc. 112 142,194
Koa Corp. 86,500 683,949
# Komatsu Electronics Metals Co., Ltd. 59,400 513,738
# Kubotek Corp. 230 261,283
Kyoden Co., Ltd. 106,000 1,038,105
Kyowa Electronic Instruments Co., Ltd. 30,000 115,330
Macnica, Inc. 39,900 1,051,976
Marubeni Infotec Corp. 21,000 65,980
Marubun Corp. 67,600 588,656
Maruwa Co., Ltd. 22,000 432,588
Maspro Denkoh Corp. 38,900 361,292
# Megachips Corp. 50,600 551,725
Melco Holdings, Inc. 9,000 205,058
# Mimasu Semiconductor Industry Co., Ltd. 49,100 720,311
# Miroku Jyoho Service Co., Ltd. 63,000 250,216
Mitsui High-Tec, Inc. 90,300 1,061,204
Mitsui Knowledge Industry Co., Ltd. 20,100 168,391
Mitsumi Electric Co., Ltd. 165,400 1,750,652
Moritex Corp. 15,000 115,788
* Mutoh Industries, Ltd. 102,000 221,770
# * Nagano Japan Radio Co., Ltd. 63,000 117,477
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Nakayo Telecommunications, Inc. 49,000 256,466
NEC Infrontia Corp. 244,000 887,679
NEC Mobiling, Ltd. 31,300 599,397
# NEC Tokin Corp. 251,000 1,527,178
* Netmarks, Inc. 50 133,597
New Japan Radio Co., Ltd. 72,000 640,575
Nihon Dempa Kogyo Co., Ltd. 46,100 1,082,247
Nihon Inter Electronics Corp. 76,700 540,005
Nippon Avionics Co., Ltd. 40,000 183,568
Nippon Ceramic Co., Ltd. 49,000 749,601
Nippon Chemi-Con Corp. 287,000 1,789,306
Nippon System Development Co., Ltd. 57,300 1,079,491
Nippon Systemware Co., Ltd. 20,000 140,022
Nissho Electronics Corp. 49,900 380,348
# NIWS Co., Ltd. 1,110 1,486,291
Nohmi Bosai, Ltd. 81,000 417,676
# Okaya Electric Industries Co., Ltd. 32,000 123,101
Ono Sokki Co., Ltd. 53,000 364,193
Origin Electric Co., Ltd. 85,000 634,724
Osaki Electric Co., Ltd. 72,000 404,293
PCA Corp. 12,000 214,507
Pulstec Industrial Co., Ltd. 21,200 109,047
Ricoh Elemex Corp. 41,000 299,869
Rikei Corp. 22,500 63,112
Riken Keiki Co., Ltd. 48,000 362,102
Ryoden Trading Co., Ltd. 94,000 613,016
Ryosan Co., Ltd. 73,700 1,797,717
Ryoyo Electro Corp. 71,700 1,163,046
Sanko Co., Ltd. 12,000 85,778
Sanshin Electronics Co., Ltd. 67,000 581,723
Satori Electric Co., Ltd. 33,380 433,836
Sekonic Corp. 17,000 41,544
# Shindengen Electric Manufacturing Co., Ltd. 148,000 487,302
Shinkawa, Ltd. 44,100 802,253
Shinko Shoji Co., Ltd. 57,000 479,916
Shizuki Electric Co., Inc. 47,000 126,075
Siix Corp. 25,800 333,426
SMK Corp. 176,000 809,086
Software Research Associates, Inc. 15,100 293,796
Sokkisha Co., Ltd. 69,000 212,324
# Sorun Corp. 51,000 321,690
# * SPC Electronics Corp. 29,000 114,062
Star Micronics Co., Ltd. 124,000 1,314,925
# Sumida Corp. 42,649 914,128
SunTelephone Co., Ltd. 67,000 534,924
Tabai Espec Corp. 49,000 511,958
* Tachibana Eletech Co., Ltd. 11,000 117,262
Tamura Corp. 164,000 627,633
Tamura Taiko Holdings, Inc. 131,000 1,022,109
# * Teac Corp. 350,000 509,277
Teikoku Tsushin Kogyo Co., Ltd. 89,000 373,129
TKC Corp. 67,800 1,107,042
Toko, Inc. 195,000 530,478
# Tokyo Denpa Co., Ltd. 11,000 139,772
# Tokyo Electron Device, Ltd. 171 423,184
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Tomen Electronics Corp. 33,600 836,095
Tose Co., Ltd. 12,200 184,624
# Toshiba Ceramics Co., Ltd. 350,000 1,066,519
# * Totoku Electric Co., Ltd., Tokyo 62,000 125,861
Toukei Computer Co., Ltd. 14,710 181,803
Towa Corp. 33,000 210,966
Towa Meccs Corp. 75,000 77,764
* Toyo Communication Equipment Co., Ltd. 124,000 502,888
# Toyo Corp. 71,800 839,310
# Trans Cosmos, Inc. 53,800 1,835,226
Tsuzuki Densan Co., Ltd. 14,200 80,904
Yamaichi Electronics Co., Ltd. 40,900 499,148
Yamatake Corp. 165,700 2,733,950
Yaskawa Information Systems Corp. 23,400 116,021
Ye Data, Inc. 25,000 70,905
Yokowo Co., Ltd. 38,000 335,689
Zuken, Inc. 59,700 572,343
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Total Information Technology
(Cost $87,131,008) 90,625,088
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Materials -- (8.7%)
Achilles Corp. 549,000 995,424
Agro-Kanesho Co., Ltd. 7,000 56,204
Arakawa Chemical Industries, Ltd. 34,500 460,133
Aronkasei Co., Ltd. 83,000 404,055
Asahi Denka Kogyo KK 169,000 1,735,866
Asahi Organic Chemicals Industry Co., Ltd. 210,000 710,198
# Chuetsu Pulp and Paper Co., Ltd. 259,000 675,759
* Chugai Mining Co., Ltd. 373,800 233,129
Chugoku Marine Paints, Ltd. 152,000 884,460
# Chugokukogyo Co., Ltd. 45,000 120,491
# * Co-Op Chemical Co., Ltd. 80,000 141,050
# * Dai Nippon Toryo, Ltd. 286,000 482,678
# Dai-Ichi Kogyo Seiyaku Co., Ltd. 47,000 168,758
Daiken Corp. 289,000 1,228,949
Dainichiseika Colour & Chemicals Manufacturing Co., Ltd. 195,000 1,001,588
Dainippon Shigyo Co., Ltd. 25,000 110,429
# Daiso Co., Ltd. 206,000 632,772
DC Co., Ltd. 58,000 179,251
Dijet Industrial Co., Ltd. 34,000 93,074
# FP Corp. 50,800 983,487
Fujikura Kasei Co., Ltd. 51,000 373,556
Fumakilla, Ltd. 37,000 115,004
Geostar Corp. 10,000 45,147
# Godo Steel, Ltd. 355,000 1,100,706
# Gun-Ei Chemical Industry Co., Ltd. 180,000 692,484
Harima Chemicals, Inc. 47,000 280,228
Hodogaya Chemical Co., Ltd. 163,000 816,211
Hokkai Can Co., Ltd., Tokyo 133,000 389,492
Hokko Chemical Industry Co., Ltd. 41,000 150,773
Hokushin Co., Ltd. 39,900 88,110
Honshu Chemical Industry Co., Ltd. 17,000 111,820
# Ihara Chemical Industry Co., Ltd. 106,000 324,558
ISE Chemicals Corp. 38,000 177,431
Ishihara Sangyo Kaisha, Ltd. 883,500 1,934,749
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# * Ishii Iron Works Co., Ltd. 52,000 124,968
# JSP Corp. 62,100 624,909
Kanto Denka Kogyo Co., Ltd. 110,000 380,745
Kasei (C.I.) Co., Ltd. 58,000 241,496
Katakura Chikkarin Co., Ltd. 27,000 87,603
* Kawasaki Kasei Chemicals, Ltd. 36,000 60,949
Kishu Paper Co., Ltd. 160,000 295,398
Koatsu Gas Kogyo Co., Ltd. 112,000 515,314
Kohsoku Corp. 48,000 320,887
Komatsu Wall Industry Co., Ltd. 20,800 370,716
Konishi Co., Ltd. 41,700 383,517
# Kumiai Chemical Industry Co., Ltd., Tokyo 166,000 383,002
Kureha Chemical Industry Co., Ltd. 428,000 1,740,391
# Kurimoto, Ltd. 278,000 780,912
Kurosaki Harima Corp. 165,000 473,791
MEC Co., Ltd. 18,200 280,677
Mesco, Inc. 15,000 48,409
# Mitsubishi Paper Mills, Ltd. 700,000 937,013
Mitsubishi Plastics, Inc. 490,000 1,325,100
# Mitsubishi Shindoh Co., Ltd. 107,000 249,695
# Mitsubishi Steel Manufacturing Co., Ltd. 305,000 610,667
# * Mitsui Mining Co., Ltd. 345,000 970,905
Mory Industries, Inc. 85,000 286,419
Nakabayashi Co., Ltd. 112,000 315,506
Nakayama Steel Works, Ltd. 260,000 1,018,036
# Neturen Co., Ltd., Tokyo 92,000 651,901
# Nichia Steel Works, Ltd. 88,900 425,132
Nihon Kagaku Sangyo Co., Ltd. 32,000 183,416
Nihon Matai Co., Ltd. 50,000 118,248
Nihon Nohyaku Co., Ltd. 131,000 327,248
# Nihon Parkerizing Co., Ltd. 146,000 1,740,180
Nihon Seiko Co., Ltd. 11,000 34,297
* Nippon Carbide Industries Co., Inc., Tokyo 101,000 167,195
# Nippon Chemical Industrial Co., Ltd. 192,000 599,557
# Nippon Concrete Industries Co., Ltd. 88,000 285,427
# Nippon Denko Co., Ltd. 246,000 910,465
Nippon Fine Chemical Co., Ltd. 50,000 283,888
Nippon Foil Mfg., Co., Ltd. 21,000 55,612
# * Nippon Kasei Chemical Co., Ltd. 215,000 526,820
# Nippon Kinzoku Co., Ltd. 130,000 273,427
# * Nippon Koshuha Steel Co., Ltd. 266,000 364,657
# Nippon Metal Industry Co., Ltd. 364,000 675,045
Nippon Pigment Co., Ltd. 11,000 49,241
# Nippon Pillar Packing Co., Ltd. 43,000 293,879
Nippon Soda Co., Ltd. 314,000 1,010,929
# Nippon Synthetic Chemical Industry Co., Ltd. 204,000 547,005
Nippon Valqua Industries, Ltd. 168,000 486,052
Nippon Yakin Kogyo Co., Ltd. 203,500 791,719
Nittetsu Mining Co., Ltd. 174,000 699,643
Nitto FC Co., Ltd. 72,000 449,246
Noda Corp. 33,800 224,059
NOF Corp. 453,000 1,681,583
# Okamoto Industries, Inc. 284,000 1,027,543
Okura Industrial Co., Ltd. 130,000 818,300
Osaka Steel Co., Ltd. 93,600 1,154,311
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# Pacific Metals Co., Ltd. 415,000 1,737,647
Riken Technos Corp. 143,000 561,542
* S Science Co., Ltd. 808,000 126,151
# S.T. Chemical Co., Ltd. 66,000 848,305
Sakai Chemical Industry Co., Ltd. 230,000 995,456
Sakata INX Corp. 136,000 709,655
Sanyo Chemical Industries, Ltd. 267,000 1,930,907
Sanyo Special Steel Co., Ltd. 362,000 1,122,703
Sekisui Plastics Co., Ltd. 221,000 783,770
Shikoku Chemicals Corp. 126,000 524,312
Shinagawa Refractories Co., Ltd. 131,000 414,899
Shin-Etsu Polymer Co., Ltd. 188,000 1,407,383
Showa Highpolymer Co., Ltd. 112,000 339,579
Showa Tansan Co., Ltd. 31,000 109,688
Somar Corp. 22,000 85,804
# Stella Chemifa Corp. 23,900 498,790
Sumitomo Light Metal Industries, Ltd. 736,000 1,199,702
Sumitomo Pipe & Tube Co., Ltd. 52,000 235,663
Sumitomo Seika Chemicals Co., Ltd. 125,000 363,674
# Sumitomo Titanium Corp. 19,500 2,552,495
Taisei Lamick Co., Ltd. 11,300 282,120
Takasago International Corp. 220,000 1,040,288
Takiron Co., Ltd. 164,000 718,703
Tateho Chemical Industries Co., Ltd. 26,500 94,015
Tayca Corp. 96,000 270,363
* Titan Kogyo KK 36,000 72,654
Toagosei Co., Ltd. 544,719 2,227,623
# Toda Kogyo Corp. 84,000 322,411
Tohcello Co., Ltd. 67,000 380,451
# * Toho Rayon Co., Ltd. 320,000 1,344,734
Toho Titanium Co., Ltd. 61,000 2,254,406
# Toho Zinc Co., Ltd. 277,000 668,190
* Tohpe Corp. 36,000 63,399
# Tokai Carbon Co., Ltd. 460,000 1,942,898
# Tokai Pulp & Paper Co., Ltd. 121,000 390,278
# Tokushu Paper Manufacturing Co., Ltd. 111,000 523,848
Tokyo Rope Manufacturing Co., Ltd. 337,000 607,869
# Tokyo Tekko Co., Ltd. 85,000 269,197
Tomoegawa Paper Co., Ltd. 80,000 254,955
Tomoku Co., Ltd. 177,000 470,963
# Topy Industries, Ltd. 492,000 1,632,301
Toyo Kohan Co., Ltd. 225,000 1,048,712
Tsutsunaka Plastic Industry Co., Ltd. 92,000 425,744
TYK Corp. 67,000 180,043
Ube Material Industries, Ltd. 144,000 374,140
Wood One Co., Ltd. 107,000 786,632
Yamamura Glass Co., Ltd. 250,000 671,185
Yamato Kogyo Co., Ltd. 118,000 1,352,119
Yodogawa Steel Works, Ltd. 338,000 1,784,409
Yuki Gosei Kogyo Co., Ltd. 31,000 109,896
Yushiro Chemical Industry Co., Ltd. 33,000 622,058
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Total Materials
(Cost $87,469,311) 87,315,803
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Consumer Staples -- (8.1%)
Aderans Co., Ltd. 87,050 2,015,621
Ahjikan Co., Ltd. 10,500 81,672
# Ariake Japan Co., Ltd. 73,700 1,737,162
Asahi Soft Drinks Co., Ltd. 119,000 1,309,402
Bull Dog Sauce Co., Ltd. 37,000 459,310
Calpis Co., Ltd. 174,000 1,238,482
CFS Corp. 61,500 358,908
Chuo Gyorui Co., Ltd. 61,000 155,601
Coca-Cola Central Japan Co., Ltd. 204 1,707,041
CVS Bay Area, Inc. 30,000 89,414
DyDo Drinco, Inc. 36,600 1,221,776
Echo Trading Co., Ltd. 4,000 55,888
Ensuiko Sugar Refining Co., Ltd. 51,000 145,010
Fancl Corp. 51,400 1,890,240
* First Baking Co., Ltd. 67,000 144,766
Fujicco Co., Ltd. 61,000 899,821
# Fujiya Co., Ltd. 283,000 603,384
Hagoromo Foods Corp. 41,000 442,996
Harashin Co., Ltd. 33,800 309,954
Hayashikane Sangyo Co., Ltd. 166,000 238,811
Heiwado Co., Ltd. 130,000 1,981,348
* Hohsui Corp. 56,000 124,780
Hokkaido Coca-Cola Bottling Co., Ltd. 80,000 563,679
# Hokuto Corp. 74,900 1,368,378
Inageya Co., Ltd. 118,000 1,058,795
# Itochu Shokuh Co., Ltd. 28,800 1,102,110
Izumiya Co., Ltd. 205,000 1,351,337
Japan Carlit Co., Ltd. 28,000 206,047
# J-Oil Mills, Inc. 362,000 1,460,615
K.R.S. Corp. 25,500 368,303
# Kagome Co., Ltd. 173,900 1,809,084
Kameda Seika Co., Ltd. 48,000 440,443
# * Kanebo, Ltd. 104,200 289,648
Kasumi Co., Ltd. 132,000 750,307
Key Coffee, Inc. 48,600 662,272
Kibun Food Chemifa Co., Ltd. 62,000 1,463,568
Kinki Coca-Cola Bottling Co., Ltd. 138,000 1,457,419
Kirindo Co., Ltd. 10,300 97,969
# Kyodo Shiryo Co., Ltd. 188,000 341,100
Kyokuyo Co., Ltd. 198,000 462,605
# Life Corp. 120,400 1,487,459
* Mandom Corp. 4,600 116,552
Marudai Food Co., Ltd. 289,000 789,937
Maruetsu, Inc. 286,000 1,328,105
Maruha Group, Inc. 477,000 1,209,422
Maruya Co., Ltd. 14,000 108,838
Maxvalu Tohok Co., Ltd. 18,200 160,750
Meito Sangyo Co., Ltd. 50,100 853,432
Mercian Corp. 304,000 851,188
Mikuni Coca-Cola Bottling Co., Ltd. 117,000 1,119,965
Milbon Co., Ltd. 22,600 707,762
Ministop Co., Ltd. 62,600 1,175,146
Mitsui Sugar Co., Ltd. 271,850 754,645
Miyoshi Oil & Fat Co., Ltd. 149,000 355,015
Morinaga & Co., Ltd. 612,000 1,567,703
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Morishita Jinton Co., Ltd. 32,800 140,726
Morozoff, Ltd., Osaka 50,000 111,541
Myojo Foods Co., Ltd. 91,000 570,369
Nagatanien Co., Ltd. 83,000 652,014
Nakamuraya Co., Ltd. 152,000 560,076
Nichiro Corp. 327,000 626,490
Nihon Shokuh Kako Co., Ltd. 40,000 132,333
Niitaka Co., Ltd. 7,260 79,200
# Nippon Beet Sugar Manufacturing Co., Ltd. 314,000 696,508
# Nippon Flour Mills Co., Ltd. 385,000 1,748,371
Nippon Formula Feed Manufacturing Co., Ltd. 144,000 246,730
Nippon Suisan Kaisha, Ltd. 529,000 2,007,452
Nissin Sugar Manufacturing Co., Ltd. 102,000 219,307
Nitto Flour Milling Co., Ltd. 54,000 158,354
Nosan Corp. 271,000 660,944
Oenon Holdings, Inc. 123,000 434,310
Oie Sangyo Co., Ltd. 13,200 107,491
Okuwa Co., Ltd. 101,000 1,144,042
Olympic Corp. 48,200 535,885
# Oriental Yeast Co., Ltd. 61,000 407,884
Pigeon Corp. 46,900 682,763
Pokka Corp. 72,000 382,888
Poplar Co., Ltd. 13,560 181,756
Posful Corp. 47,600 254,195
* Prima Meat Packers, Ltd. 460,000 641,236
# Q'Sai Co., Ltd. 70,100 694,340
Riken Vitamin Co., Ltd. 49,900 1,371,698
Rock Field Co., Ltd. 25,300 384,304
S Foods, Inc. 60,000 438,911
Sakata Seed Corp. 115,700 1,531,543
# Seijo Corp. 22,600 495,319
Shikoku Coca-Cola Bottling Co., Ltd. 48,500 708,481
Shoei Foods Corp. 35,000 258,583
Showa Sangyo Co., Ltd. 398,000 1,129,698
# * Snow Brand Milk Products Co., Ltd. 501,000 1,426,049
Snow Brand Seed Co., Ltd. 30,000 151,451
Sonton Food Industry Co., Ltd. 33,000 351,483
# Sotetsu Rosen Co., Ltd. 60,000 329,005
Starzen Corp. 169,000 519,366
# Sugi Pharmacy Co., Ltd. 55,400 1,618,742
# T.Hasegawa Co., Ltd. 89,400 1,451,855
The Nisshin Oillio Group, Ltd. 346,000 1,953,906
Three F Co., Ltd. 12,200 110,382
* Tobu Store Co., Ltd. 103,000 271,333
Toho Co., Ltd. 51,000 388,652
Tokyu Store Chain Corp. 175,000 824,737
Torigoe Co., Ltd. 48,000 329,858
* Toyo Sugar Refining Co., Ltd. 105,000 170,987
* Tsuruha Co., Ltd. 4,000 123,831
U.Store Co., Ltd. 63,600 597,307
# Unicafe, Inc. 10,360 152,458
Unimat Offisco Corp. 37,500 430,788
# Valor Co., Ltd. 40,000 1,109,345
Wakodo Co., Ltd. 12,200 355,173
Warabeya Nichiyo Co., Ltd. 34,760 678,311
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Yaizu Suisankagaku Industry Co., Ltd. 27,500 289,651
Yaoko Co., Ltd. 46,100 886,632
Yomeishu Seizo Co., Ltd. 71,000 612,826
Yonekyu Corp. 58,000 666,380
# Yukiguni Maitake Co., Ltd. 60,580 295,278
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Total Consumer Staples
(Cost $77,218,674) 81,542,513
----------------
Financials -- (7.9%)
Aichi Bank, Ltd. 19,000 1,790,806
Akita Bank, Ltd. 441,000 1,994,180
Aomori Bank, Ltd. 417,000 1,635,211
# * Azel Corp., Tokyo 89,000 157,336
Bank of Okinawa, Ltd. 47,000 1,520,350
Bank of Saga, Ltd. 384,000 1,425,547
Bank of the Ryukyus, Ltd. 68,580 1,576,604
Central Finance Co., Ltd. 201,000 872,842
* Century Leasing System, Inc. 11,300 123,687
* Chiba Kogyo Bank, Ltd. 117,700 947,678
Chukyo Bank, Ltd. 497,000 1,661,191
# Cosmo Securities Co., Ltd. 952,000 1,742,518
Credia Co., Ltd. 14,000 504,453
Daibiru Corp. 226,000 1,663,633
Daiko Clearing Services Corp. 25,000 187,112
Daisan Bank, Ltd. 417,000 1,485,081
Daiwa Kosho Lease Co., Ltd. 333,000 1,695,140
Diamond City Co., Ltd. 17,050 500,808
Ehime Bank, Ltd. 330,000 1,109,887
# Eighteenth Bank, Ltd. 390,000 1,837,369
# Fukushima Bank, Ltd. 432,000 638,984
* Generas Corp. 64,000 590
* Gro-BeLS Co., Ltd. 84,000 135,285
Hanshin Sogo Bank, Ltd. 867,000 1,720,169
Higashi-Nippon Bank, Ltd. 413,000 1,564,133
# Hokuetsu Bank, Ltd. 504,000 1,064,273
Ichiyoshi Securities Co., Ltd. 103,000 926,692
Jaccs Co., Ltd. 207,000 1,629,053
Kagawa Bank, Ltd. 167,350 948,924
* Kanto Tsukuba Bank, Ltd. 45,500 316,427
Keihanshin Real Estate Co., Ltd. 93,000 562,577
Kita-Nippon Bank, Ltd. 17,806 842,286
Kiyo Bank, Ltd. 976,000 1,837,633
Kobayashi Yoko Co., Ltd. 21,600 363,386
# Kosei Securities Co., Ltd. 173,000 333,857
* Kyushu-Shinwa Holdings, Inc. 702,000 1,062,599
Marusan Securities Co., Ltd. 167,000 1,051,181
Meiwa Estate Co., Ltd. 52,900 551,627
Michinoku Bank, Ltd. 349,000 1,618,633
Mito Securities Co., Ltd. 181,000 776,570
Mitsubishi Tokyo Financial Group, Inc. 1 7,356
Miyazaki Bank, Ltd. 324,000 1,344,816
* Momiji Holdings, Inc. 449 1,001,734
Nagano Bank, Ltd. 179,000 551,000
# Nisshin Fire & Marine Insurance Co., Ltd. 447,000 1,661,367
* Nittyu Co., Ltd. 700 117,317
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Odakyu Real Estate Co., Ltd. 85,000 228,405
Oita Bank, Ltd. 301,000 1,947,461
Osaka Securities Finance Co., Ltd. 54,000 205,217
Pocket Card Co., Ltd. 41,000 847,812
Ricoh Leasing Co., Ltd. 67,700 1,586,445
Sankei Building Co., Ltd. 159,000 1,135,510
# Sanyo Electric Credit Co., Ltd. 76,800 1,568,059
Shimizu Bank, Ltd. 21,100 1,051,157
Shinki Co., Ltd. 158,100 1,433,307
Shoei Co., Ltd. 28,800 522,895
Shokusan Bank, Ltd. 98,000 328,577
# Suruga Corp. 22,700 765,797
# Tachihi Enterprise Co., Ltd. 31,750 1,177,509
Takagi Securities Co., Ltd. 125,000 378,521
The Daito Bank, Ltd. 232,000 367,562
TOC Co., Ltd. 139,000 533,725
Tochigi Bank, Ltd. 256,000 1,575,412
Toho Bank, Ltd. 433,000 1,773,427
Toho Real Estate Co., Ltd. 140,000 629,946
Tohoku Bank, Ltd. 117,000 308,874
Tokai Tokyo Securities Co., Ltd. 635,250 1,870,664
Tokushima Bank, Ltd. 159,200 1,336,581
Tokyo Rakutenchi Co., Ltd. 126,000 488,199
# Tokyo Theatres Co., Inc., Tokyo 164,000 347,483
Tokyo Tomin Bank, Ltd. 80,500 2,034,234
Tokyu Community Corp. 31,700 597,967
# Tokyu Livable Inc. 35,300 1,418,701
Tomato Bank, Ltd. 251,000 581,162
Tottori Bank, Ltd. 235,000 746,654
Towa Bank, Ltd. 535,000 1,183,264
# * Towa Real Estate Development Co., Ltd. 217,000 728,326
Toyo Securities Co., Ltd. 171,000 638,725
Yamagata Bank, Ltd. 389,000 1,848,043
Yuraku Real Estate Co., Ltd. 116,000 500,812
----------------
Total Financials
(Cost $75,605,228) 79,746,335
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Health Care -- (2.7%)
Aloka Co., Ltd. 63,000 441,957
As One Corp. 37,080 712,603
Create Medic Co., Ltd. 11,000 109,299
# Eiken Chemical Co., Ltd. 54,000 612,740
# Fujirebio, Inc. 101,500 1,995,056
Fuso Pharmaceutical Industries, Ltd. 203,000 703,466
Hitachi Medical Corp. 89,000 1,171,141
Hogy Medical Co., Ltd. 35,900 1,529,228
Iwaki & Co., Ltd. 38,000 113,039
# Japan Medical Dynamic Marketing, Inc. 38,300 419,824
# Jeol, Ltd. 168,000 922,701
JMS Co., Ltd. 69,000 237,701
# Kaken Pharmaceutical Co., Ltd. 213,000 1,392,479
Kawamoto Corp. 4,000 22,716
* Kawanishi Holdings, Ltd. 1,300 14,983
Kawasumi Laboratories, Inc. 35,000 242,140
Mochida Pharmaceutical Co., Ltd. 130,000 819,402
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Nihon Kohden Corp. 101,000 1,444,351
Nikken Chemicals Co., Ltd. 134,000 418,973
# * Nippon Chemiphar Co., Ltd. 70,000 452,671
Nippon Shinyaku Co., Ltd. 155,000 1,241,883
Nissui Pharmaceutical Co., Ltd. 34,000 213,481
Paramount Bed Co., Ltd. 72,700 1,717,057
Rion Co., Ltd. 5,000 28,125
Rohto Pharmaceutical Co., Ltd. 119,000 1,466,700
* Seikagaku Corp. 10,000 112,130
Sogo Medical Co., Ltd. 13,400 269,584
SS Pharmaceutical Co., Ltd., Tokyo 276,000 1,876,822
Teikoku Hormone Manufacturing Co., Ltd. 44,000 423,491
Topcon Corp. 102,000 1,611,759
Torii Pharmaceutical Co., Ltd. 63,900 1,359,157
* Toyama Chemicals Co., Ltd. 431,000 1,491,594
Vital-Net, Inc. 98,800 740,345
Wakamoto Pharmaceutical Co., Ltd. 48,000 150,415
# Zeria Pharmacetical Co., Ltd. 99,000 996,490
----------------
Total Health Care
(Cost $24,860,469) 27,475,503
----------------
Energy -- (1.1%)
AOC Holdings, Inc. 160,200 2,235,879
# * Fuji Kosan Co., Ltd. 178,000 283,800
# Itochu Enex Co., Ltd. 201,300 1,347,633
Japan Oil Transportation Co., Ltd. 45,000 147,516
Kanto Natural Gas Development Co., Ltd. 119,000 756,944
# Kyoei Tanker Co., Ltd. 78,000 311,747
Mitsuuroko Co., Ltd. 153,000 1,056,434
* Modec, Inc. 26,200 606,436
# Nippon Gas Co., Ltd. 104,000 870,174
Petrolub International Co., Ltd. 52,900 262,490
Sala Corp. 84,000 405,627
San-Ai Oil Co., Ltd. 155,000 721,595
Shinko Plantech Co., Ltd. 56,000 110,880
Sinanen Co., Ltd. 160,000 821,604
Toa Oil Co., Ltd. 181,000 307,491
# * Toyo Kanetsu KK 261,000 374,714
----------------
Total Energy
(Cost $10,346,115) 10,620,964
----------------
Utilities -- (0.5%)
Hokkaido Gas Co., Ltd. 105,000 301,391
Hokuriku Gas Co., Ltd. 64,000 183,855
Okinawa Electric Power Co., Ltd. 33,810 1,589,148
# Saibu Gas Co., Ltd. 843,000 1,722,986
Shizuokagas Co., Ltd. 157,000 805,516
Tokai Corp. 163,000 708,105
----------------
Total Utilities
(Cost $4,652,743) 5,311,001
----------------
Other -- (0.2%)
Airport Facilities Co., Ltd. 120,970 675,575
* Akai Electric Co., Ltd. 363,000 3,345
* Fujii & Co., Ltd. 44,000 405
23
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* Fujiko Co., Ltd. 55,000 0
* Gajoen Kanko KK 37,000 0
* GKN D1 Tochigi Holdings Shares 51 156,475
* Kakuei (L.) Corp. 100,000 921
* Kokune Corp. 42,000 0
* Maruishi Holdings Co., Ltd. 214,000 1,972
* New Real Property KK 43,900 0
* Nichiboshin, Ltd. 1,190 1,096
* Nisseki House Industry Co., Ltd. 260,000 0
Subaru Enterprise Co., Ltd. 36,000 124,544
Sundrug Co., Ltd. 6,400 240,592
* Takarabune Corp. 26,000 240
* TOC Co., Ltd. Issue 05 145,950 560,412
----------------
Total Other
(Cost $4,788,037) 1,765,577
----------------
TOTAL COMMON STOCKS
(Cost $765,635,394) 777,092,562
----------------
RIGHTS/WARRANTS -- (0.0%)
Other -- (0.0%)
* BSL Corp. Rights 06/10/05 43,214 0
* Kanematsu Corp. Warrants 03/31/06 20,125 0
----------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 0
----------------
INVESTMENT IN CURRENCY -- (0.4%)
* Japanese Yen 3,888,366
----------------
(Cost $3,914,685)
TOTAL -- JAPAN
(Cost $769,550,079) 780,980,928
----------------
FACE
AMOUNT VALUE+
---------------- ----------------
(000)
TEMPORARY CASH INVESTMENTS -- (22.4%)
^ Repurchase Agreement, Deutsche Bank Securities & Mizuho Securities
USA 2.96% and 2.98%, respectively, 06/01/05 (Collateralized by
$350,771,984 U.S. TIPS 1.875%, 07/15/13 & U.S. STRIPS, rates
ranging from 0% to 9.25%, maturities ranging from 11/15/08 to
11/15/22, valued at $223,916,808) to be repurchased
at $219,542,589 (Cost $219,524,430) $ 219,524 219,524,430
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $5,863,000 FNMA Notes 2.95%, 11/14/07, valued
at $5,855,671) to be repurchased at $5,769,463 (Cost $5,769,000) 5,769 5,769,000
----------------
Total Repurchase Agreements 225,293,430
----------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $225,293,430) 225,293,430
----------------
TOTAL INVESTMENTS - (100.0%)
(Cost $994,843,509) $ 1,006,274,358
================
24
---------
+ Securities have been fair valued. See Note B to Financial Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
25
THE PACIFIC RIM SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
[Download Table]
SHARES VALUE+
---------------- ----------------
AUSTRALIA -- (41.9%)
COMMON STOCKS -- (41.5%)
A.I., Ltd. 129,195 $ 15,591
A.P. Eagers, Ltd. 27,393 155,149
AAV, Ltd. 192,653 169,491
# ABB Grain, Ltd. 363,642 1,619,283
ABC Learning Centres, Ltd. 353,727 1,413,036
* Acclaim Exploration NL 435,905 11,503
* Adacel Technologies, Ltd. 113,249 23,907
ADCorp Australia, Ltd. 123,389 67,082
Adelaide Bank, Ltd. 251,960 2,069,209
Adelaide Brighton, Ltd. 1,430,948 1,867,387
# Adsteam Marine, Ltd. 650,984 977,707
Adtrans Group, Ltd. 32,047 89,225
* Agenix, Ltd. 267,186 62,556
* AGT Biosciences, Ltd. 261,684 108,895
* Ainsworth Game Techology, Ltd. 314,923 132,756
AJ Lucas Group, Ltd. 85,235 99,574
Alesco Corp., Ltd. 182,571 964,934
* Alkane Exploration, Ltd. 185,165 23,016
* Allegiance Mining NL 301,699 29,575
* Altium, Ltd. 162,100 28,644
Amalgamated Holdings, Ltd. 320,951 981,976
Amcom Telecommunications, Ltd. 596,711 76,442
* Amity Oil NL 372,573 143,239
* Amrad Corp., Ltd. 211,023 70,660
* Anadis, Ltd. 136,900 37,227
* Anateus Energy, Ltd. 193,687 13,605
Ansell, Ltd. 19,924 138,124
ARB Corporation, Ltd. 151,288 371,208
* Arc Energy NL 459,772 645,842
Ariadne Australia, Ltd. 277,334 71,297
Arrow Pharmaceuticals, Ltd. 787,475 1,544,786
Aspen Group, Ltd. 20,479 3,099
* Atlas Pacific, Ltd. 82,585 12,193
# AuIron Energy, Ltd. 133,822 267,837
Ausdrill, Ltd. 178,089 95,872
Ausmelt, Ltd. 36,118 6,969
Auspine, Ltd. 115,651 301,377
* Austal, Ltd. 444,288 594,413
* Austar United Communications, Ltd. 3,146,981 2,090,155
# Austereo Group, Ltd. 1,080,140 1,424,961
Austin Group, Ltd. 70,265 42,395
Australian Agricultural Co., Ltd. 558,072 635,391
* Australian Magnesium Corp., Ltd. 332,383 2,503
1
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Australian Pharmaceutical Industries, Ltd. 669,829 1,466,442
# Australian Pipeline Trust 726,465 1,999,900
# * Australian Worldwide Exploration, Ltd. 929,537 1,224,335
Auto Group, Ltd. 41,309 21,060
# Autron Corporation, Ltd. 989,247 119,576
AV Jennings Homes, Ltd. 496,066 518,845
Avatar Industries, Ltd. 195,019 129,494
* Avexa, Ltd. 67,761 6,909
* Ballarat Goldfields NL 1,665,281 281,950
# Bank of Queensland, Ltd. 262,337 2,179,525
Baxter Group, Ltd. 89,652 336,504
BayCorp Advantage, Ltd. 538,318 1,188,533
Beach Petroleum, Ltd. 1,951,255 799,986
Beaconsfield Gold NL 89,078 22,524
Bendigo Bank, Ltd. 358,878 2,623,612
# * Bendigo Mining NL 651,655 481,152
* Betcorp, Ltd. 273,622 38,324
* Beyond International, Ltd. 61,256 19,201
* Biota Holdings, Ltd. 265,336 90,069
Blackmores, Ltd. 37,565 365,798
* Blina Diamonds, Ltd. 13,703 2,686
* Bolnisi Gold NL 484,156 173,625
* Boom Logistics, Ltd. 40,650 59,871
* Boulder Group NL 717,587 135,168
* BQT Solutions, Ltd. 179,898 24,445
Brazin, Ltd. 273,219 387,328
Bridgestone Australia, Ltd. 66,100 148,600
* Broadcast Services Australia, Ltd. 337,438 84,212
* Buka Mineral, Ltd. 210,323 30,803
Cabcharge Austalia, Ltd. 267,963 913,016
Campbell Brothers, Ltd. 108,322 793,127
Candle Australia, Ltd. 69,486 94,151
* Cape Range Wireless, Ltd. 3,581,304 104,883
* Capral Aluminium, Ltd. 276,367 339,606
* Carpenter Pacific Resources, Ltd. 225,546 39,826
CDS Technologies, Ltd. 61,294 90,274
Cedar Woods Properties, Ltd. 77,414 126,283
* Cellestis, Ltd. 220,327 486,209
Cellnet Telecommunications Group, Ltd. 91,100 88,677
* Centamin Egypt, Ltd. 996,437 217,533
Centennial Coal, Ltd. 597,110 2,266,714
Central Equity, Ltd. 183,928 291,808
* Charters Towers Gold Mines, Ltd. 727,142 62,640
* Chemeq, Ltd. 166,742 149,175
Chiquita Brands South Pacific, Ltd. 341,774 206,448
Circadian Technologies, Ltd. 64,591 66,737
Citect Corp., Ltd. 109,822 78,012
* Climax Mining, Ltd. 870,299 55,229
# * Clough, Ltd. 1,236,465 461,431
Clover Corp., Ltd. 269,348 37,525
* Cluff Resources Pacific NL 911,746 10,979
CMI, Ltd. 81,810 89,589
* CO2 Group, Ltd. 280,693 68,069
# Coates Hire, Ltd. 549,361 1,729,247
2
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Cochlear, Ltd. 124,836 3,039,369
* Codan, Ltd. 32,604 35,707
Coffey International, Ltd. 167,427 265,311
Collection House, Ltd. 224,054 238,205
Colorado Group, Ltd. 242,046 805,687
Commander Communications, Ltd. 453,465 714,116
Consolidated Minerals, Ltd. 436,304 1,293,415
* Coplex Resources NL 231,400 15,730
# Corporate Express Australia, Ltd. 449,830 1,834,457
Count Financial, Ltd. 552,306 540,486
Coventry Group, Ltd. 84,583 392,908
* CPI, Ltd. 68,585 30,551
# Crane Group, Ltd. 152,617 918,932
Croesus Mining NL 798,235 195,362
* Crown Diamonds NL 521,549 72,878
Danks Holdings, Ltd. 10,425 76,390
# DCA Group, Ltd. 509,294 1,335,888
Devine, Ltd. 289,972 130,271
* Dioro Exploraration NL 297,142 14,582
* Dominion Mining, Ltd. 192,017 44,840
Downer Group, Ltd. 688,972 2,744,768
* Dragon Mining NL 709,605 96,039
# * E.R.G., Ltd. 1,647,173 334,279
* Echelon Resources, Ltd. 7,950 1,921
* Emporer Mines, Ltd. 324,668 73,607
Energy Developments, Ltd. 311,265 886,333
* Energy World Corp., Ltd. 325,630 10,036
# Envestra, Ltd. 2,038,400 1,737,575
* Environmental Solutions International, Ltd. 67,364 3,358
Equigold NL 351,475 240,211
Evans & Tate, Ltd. 164,154 86,686
* Excel Coal, Ltd. 168,010 802,178
* Falcon Minerals, Ltd. 240,897 78,863
# Fantastic Holdings, Ltd. 185,528 517,617
FKP, Ltd. 470,587 983,548
# Fleetwood Corp., Ltd. 115,978 550,203
Flight Centre, Ltd. 10,991 119,381
* Forest Enterprises Australia, Ltd. 489,229 195,375
# * Fortescue Metals Group, Ltd. 361,735 655,641
# Funtastic, Ltd. 312,883 399,427
Futuris Corp., Ltd. 1,238,179 1,577,939
Gale Pacific, Ltd. 123,557 137,823
GasNet Australia Group 343,500 637,191
Gazal Corp., Ltd. 101,046 232,079
* Genetic Technologies, Ltd. 830,383 213,197
* Geodynamics, Ltd. 174,778 240,414
* Giants Reef Mining, Ltd. 1,400,196 29,612
Globe International, Ltd. 882,836 282,867
* Gold Aura, Ltd. 41,097 2,875
* Goldstream Mining NL 151,648 41,758
Gowing Bros., Ltd. 79,311 153,303
* Gradipore, Ltd. 104,226 49,215
# Graincorp, Ltd. Series A 87,738 754,247
Grand Hotel Group 473,257 277,301
3
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GRD NL 494,134 569,129
# Great Southern Plantations, Ltd. 735,162 1,966,557
Green's Foods, Ltd. 193,688 75,851
# GUD Holdings, Ltd. 174,840 896,131
Gunns, Ltd. 602,832 1,754,578
* Gutnick Resources NL 17,866 944
GWA International, Ltd. 698,010 1,512,799
* Gympie Gold, Ltd. 302,445 0
# * Hardman Resources NL 1,706,925 2,338,532
Harvey World Travel, Ltd. 87,638 91,408
Healthscope, Ltd. 261,453 879,121
Henry Walker Eltin Group, Ltd. 463,214 173,183
* Herald Resources, Ltd. 69,910 29,341
HGL, Ltd. 87,018 118,879
# Hills Industries, Ltd. 407,018 1,264,961
Home Building Society, Ltd. 27,907 151,691
* Horizon Oil NL 752,832 56,849
# Housewares International, Ltd. 307,812 372,445
HPAL, Ltd. 274,861 352,972
# * Hutchison Telecommunications (Australia), Ltd. 1,455,265 279,321
IBA Health, Ltd. 552,155 184,756
* ICSGlobal, Ltd. 155,693 33,481
IInet, Ltd. 192,656 429,425
Iluka Resources, Ltd. 513,563 2,379,885
* Imdex, Ltd. 135,662 21,972
Incitec Pivot, Ltd. 103,989 1,236,718
* Independent Practioner Network, Ltd. 457,414 25,581
* Indophil Resources NL 518,540 149,860
# Infomedia, Ltd. 696,356 280,875
Institute of Drug Technology Australia, Ltd. 82,205 110,531
Integrated Group, Ltd. 145,820 202,665
Integrated Research, Ltd. 261,513 82,803
* Integrated Tree Cropping, Ltd. 17,366 16,396
* Intellect Holdings, Ltd. 967,267 18,308
* Intermoco, Ltd. 1,067,459 28,169
* International All Sports, Ltd. 58,815 11,995
Investor Group, Ltd. 170,947 531,412
* Invocare, Ltd. 51,192 156,208
# ION, Ltd. 419,349 0
# IOOF Holdings, Ltd. 128,916 652,613
Iress Market Technology, Ltd. 281,018 867,640
IWL, Ltd. 81,474 156,918
* Ixla, Ltd. 89,921 1,562
# JB Hi-Fi, Ltd. 281,832 725,597
JDV, Ltd. 123,805 84,085
# Jones (David), Ltd. 1,190,508 1,615,808
Jubilee Mines NL 358,412 1,588,689
* Just Group, Ltd. 117,200 164,206
K&S Corp., Ltd. 128,017 295,818
* Kagara Zinc, Ltd. 437,281 410,743
Keycorp, Ltd. 156,412 195,834
* Kids Campus, Ltd. 69,303 34,585
* Kimberley Diamond Co. NL 274,068 237,914
* Kings Mineral NL 516,989 87,871
4
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Kingsgate Consolidated NL 186,350 382,134
Kresta Holdings, Ltd. 231,002 50,573
* Lakes Oil NL 2,055,217 34,161
Lemarne Corp., Ltd. 20,790 38,276
* Leyshon Resources, Ltd. 103,357 23,644
Lighting Corp., Ltd. 180,200 91,111
* LionOre Mining International, Ltd. 20,000 99,205
* Longreach Group, Ltd. 276,023 43,614
* Lynas Gold NL 433,768 55,417
MacArthur Coal, Ltd. 394,540 2,051,777
MacMahon Holdings, Ltd. 804,171 246,037
* Macmin Silver, Ltd. 343,722 29,597
* Macquarie Corporate Telecommunications, Ltd. 350,192 30,322
Magellan Petroleum Australia, Ltd. 32,760 29,494
* Magnesium International, Ltd. 32,803 35,148
* Maryborough Sugar Factory, Ltd. 600 3,037
* Matrix Oil NL 557,000 18,511
MaxiTRANS Industries, Ltd. 482,299 280,618
# McGuigan Simeon Wines, Ltd. 296,961 873,883
McPherson's, Ltd. 141,730 347,530
* Medica Holdings, Ltd. 31,587 10,812
Melbourne IT, Ltd. 85,583 84,106
# * Metabolic Pharmaceuticals, Ltd. 700,000 399,784
# * Metal Storm, Ltd. 956,640 101,274
# * MFS, Ltd. 276,486 281,914
# Miller's Retail, Ltd. 566,259 337,265
Minara Resources, Ltd. 1,229,086 1,737,046
Mincor Resources NL 492,383 270,466
Monadelphous Group, Ltd. 51,561 438,262
* Mosaic Oil NL 756,146 99,606
* Multiemedia, Ltd. 3,014,095 36,349
* MXL, Ltd. 512,804 52,068
MYOB, Ltd. 917,057 756,424
Namoi Cotton Cooperative, Ltd. 160,347 63,038
National Can Industries, Ltd. 97,017 96,418
* New Hope Corp., Ltd. 41,453 35,693
* Norwood Abbey, Ltd. 326,063 106,930
* Nova Health, Ltd. 427,034 94,868
* Novera Energy, Ltd. 62,826 69,864
* Novogen, Ltd. 246,646 982,351
Nufarm, Ltd. 287,774 1,914,646
* Nylex, Ltd. 1,960,108 398,936
Oakton, Ltd. 162,978 191,575
# Oamps, Ltd. 336,965 625,323
* Occupational & Medical Innovations, Ltd. 31,208 9,524
* Oceana Gold, Ltd. 192,400 77,019
* Orbital Engine Corp., Ltd. 537,358 39,647
OrotonGroup, Ltd. 76,854 145,170
# * Oxiana, Ltd. 2,856,763 1,849,102
Pacific Brands, Ltd. 518,500 882,576
Pacific Group, Ltd. 320,974 366,742
Pacific Hydro, Ltd. 380,820 1,456,574
# * Paladin Resources, Ltd. 783,776 587,212
* Palm Springs, Ltd. 222,804 10,581
5
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* Pan Pacific Petroleum NL 327,800 24,624
* Panbio, Ltd. 58,078 11,683
Paperlinx, Ltd. 501,058 875,872
* Payce Consolidated, Ltd. 29,670 60,730
Penfold Buscombe, Ltd. 85,065 116,028
* People Telecom, Ltd. 535,431 54,495
Peptech, Ltd. 379,247 383,451
* Perilya Mines NL 386,030 212,503
* Perseverance Corp., Ltd. 1,265,363 252,283
# * Petsec Energy, Ltd. 253,743 211,463
* Plantcorp NL 4,329 0
Plaspak Group, Ltd. 99,965 68,769
# * PMP, Ltd. 761,276 714,645
* Polartechnics, Ltd. 43,405 4,919
Port Bouvard, Ltd. 108,200 109,639
* Port Douglas Reef Resorts, Ltd. 251,655 23,759
* PowerTel, Ltd. Series B 175,372 157,526
* Prana Biotechnology, Ltd. 195,424 26,026
* Precious Metals Australia, Ltd. 12,727 1,978
* Preston Resources NL 64,000 579
Primary Health Care, Ltd. 292,807 1,819,418
Prime Television, Ltd. 294,381 688,662
* Primelife Corp., Ltd. 215,916 143,602
* Progen Industries, Ltd. 83,761 163,854
Programmed Maintenance Service, Ltd. 167,811 407,696
# * Psivida, Ltd. 467,864 277,961
Queensland Cotton Holdings, Ltd. 64,879 205,542
* Quiktrak Networks, Ltd. 7,401 0
Ramsay Health Care, Ltd. 340,994 2,063,632
Raptis Group, Ltd. 12,000 4,985
Rebel Sport, Ltd. 173,512 276,287
Redfire Resources NL 859,797 177,663
* Redflex Holdings, Ltd. 230,706 530,891
Reece Australia, Ltd. 251,463 2,282,042
* Reinsurance Australia Corp., Ltd. 399,993 141,806
* Repco Corp., Ltd. 110,651 225,651
Repcol, Ltd. 308,668 111,677
# * Resolute Mining, Ltd. 456,861 309,731
* Resonance Health, Ltd. 29,264 2,974
Ridley Corp., Ltd. 620,822 631,017
Roberts, Ltd. 26,336 157,070
* Roc Oil Co., Ltd. 438,259 543,028
Rock Building Society, Ltd. 25,092 77,806
Ross Human Directions, Ltd. 124,630 63,031
S8, Ltd. 180,798 239,806
* SAI Global, Ltd. 57,098 107,815
* Sally Malay Mining, Ltd. 402,323 246,747
Salmat, Ltd. 302,282 1,081,687
Schaffer Corp., Ltd. 33,766 126,360
# SDI, Ltd. 236,993 115,455
* Sedimentary Holdings, Ltd. 577,321 76,085
Select Harvests, Ltd. 106,523 791,589
Senetas Corp., Ltd. 746,923 151,314
Servcorp, Ltd. 187,972 368,240
6
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# Seven Network, Ltd. 354,582 1,906,472
SFE Corp., Ltd. 334,655 2,543,444
Sigma Co., Ltd. 375,345 2,321,649
* Silex System, Ltd. 287,621 212,042
Sims Group, Ltd. 150,718 1,533,592
* Sino Gold, Ltd. 276,623 318,802
* Sirtex Medical, Ltd. 96,109 103,049
# Skilled Engineering, Ltd. 197,124 360,580
# Smorgon Steel Group, Ltd. 2,163,008 2,027,465
SMS Management & Technology, Ltd. 132,991 168,405
* Sons of Gwalia, Ltd. 253,252 0
# Southern Cross Broadcasting (Australia), Ltd. 149,035 1,370,475
* Southern Pacific Petroleum NL 698,740 0
# SP Telecommunications, Ltd. 819,927 1,081,761
# Spotless Group, Ltd. 517,370 1,910,767
* St. Barbara Mines, Ltd. 375,500 26,824
Star Games, Ltd. 219,830 169,092
* Starpharma Holdings, Ltd. 258,219 105,342
Straits Resources, Ltd. 312,715 396,796
* Strategic Minerals Corp. NL 358,100 23,330
* Strathfield Group, Ltd. 492,553 30,544
* Striker Resources NL 435,484 10,518
# STW Communications Group, Ltd. 462,047 969,121
Sunland Group, Ltd. 530,550 556,219
Sydney Aquarium, Ltd. 49,135 199,959
# * Sydney Gas, Ltd. 661,636 346,802
Symex Holdings, Ltd. 203,321 220,933
* Taipan Resources NL 2,475,883 89,857
* Tandou, Ltd. 3,410 3,855
* Tap Oil, Ltd. 407,790 612,828
Technology One, Ltd. 705,539 306,170
Tectonic Resources NL 259,183 30,266
* Television & Media Services, Ltd. 2,000,584 58,979
Thakral Holdings Group 1,569,889 924,350
Ticor, Ltd. 630,193 806,283
# Timbercorp, Ltd. 551,027 795,884
* Titan Resources NL 595,172 26,522
* Tooth & Co., Ltd. 153,000 10,632
Transfield Services, Ltd. 375,908 1,995,323
Triako Resources, Ltd. 31,217 19,367
Troy Resources NL 96,896 178,819
Trust Company of Australia, Ltd. 75,179 529,042
# United Group, Ltd. 249,861 1,591,836
* Unitract, Ltd. 147,406 77,158
* Universal Resources, Ltd. 109,414 12,407
UXC, Ltd. 297,944 175,231
VeCommerce, Ltd. 13,680 17,411
* Ventracor, Ltd. 502,158 563,305
* Victoria Petroleum NL 2,180,492 52,507
# Villa World, Ltd. 229,021 248,672
* Village Roadshow, Ltd. 591,536 1,138,421
* Virotec International NL 403,655 161,451
# Vision Systems, Ltd. 426,575 331,933
* Voicenet (Australia), Ltd. 495,284 4,845
7
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Volante Group, Ltd. 273,599 243,458
Waterco, Ltd. 33,300 90,461
Watpac, Ltd. 142,703 117,397
# Wattyl, Ltd. 225,230 360,712
* Webster, Ltd. 119,092 68,383
* Wedgetail Exploration NL 1,413,422 42,632
* Western Areas NL 259,360 262,189
Wide Bay Capricorn Building Society, Ltd. 47,718 252,384
Worley Group, Ltd. 398,370 2,114,403
* Yates, Ltd. 60,281 1,684
----------------
TOTAL COMMON STOCKS
(Cost $151,551,186) 166,901,713
----------------
INVESTMENT IN CURRENCY -- (0.3%)
* Australian Dollar 1,269,403
----------------
(Cost $1,273,029)
PREFERRED STOCKS -- (0.1%)
* Village Roadshow, Ltd. 2% Class A 200,025 303,265
----------------
(Cost $283,859)
RIGHTS/WARRANTS -- (0.0%)
* Beach Petroleum, Ltd. Warrants 06/30/06 480,019 0
* Boulder Steel, Ltd. Options 11/30/05 71,759 2,439
* Equigold NL Options 05/31/07 87,868 6,637
* Forest Enterprises Australia, Ltd. Rights 06/07/05 81,538 1,232
----------------
TOTAL RIGHTS/WARRANTS
(Cost $2,187) 10,308
----------------
TOTAL -- AUSTRALIA
(Cost $153,110,261) 168,484,689
----------------
HONG KONG -- (23.1%)
COMMON STOCKS -- (23.0%)
* 139 Holdings, Ltd. 6,200,000 22,227
ABC Communications (Holdings), Ltd. 930,000 83,582
Aeon Credit Service (Asia) Co., Ltd. 740,000 463,497
ALCO Holdings, Ltd. 740,000 287,077
Allan International Holdings, Ltd. 592,000 87,427
Allied Group, Ltd. 559,200 774,518
Allied Properties, Ltd. 802,600 491,412
* Anex International Holdings, Ltd. 152,000 1,909
* Applied International Holdings, Ltd. 1,243,000 39,463
* APT Satellite Holdings, Ltd. 599,000 102,356
Artel Solutions Group Holdings, Ltd. 2,315,000 44,647
Arts Optical International Holdings, Ltd. 468,000 166,971
Asia Aluminum Holdings, Ltd. 4,042,000 445,748
* Asia Commercial Holdings, Ltd. 72,800 5,143
Asia Financial Holdings, Ltd. 1,976,908 519,926
* Asia Logistics Technologies, Ltd. 22,140 2,760
Asia Satellite Telecommunications Holdings, Ltd. 404,500 712,544
8
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Asia Standard International Group, Ltd. 6,780,000 295,291
* Asia Tele-Net & Technology Corp., Ltd. 521,000 23,792
Associated International Hotels, Ltd. 898,000 852,538
Automated Systems Holdings, Ltd. 340,000 80,428
* B.A.L. Holdings, Ltd. 305 11
Baltrans Holdings, Ltd. 376,000 164,283
* Beijing Development (Hong Kong), Ltd. 166,000 17,069
# Bossini International Holdings, Ltd. 1,801,500 348,927
Bright International Group, Ltd. 710,000 67,522
# Cafe de Coral Holdings, Ltd. 672,000 768,200
* Capital Prosper, Ltd. 480,000 5,073
* Capital Strategic Investment, Ltd. 30,500 5,827
Cash Financial Services Group, Ltd. 27,018 731
* Casil Telecommunications Holdings, Ltd. 1,420,000 71,327
* Catic International Holdings, Ltd. 5,332,000 61,686
CCT Telecom Holdings, Ltd. 472,970 75,876
CEC International Holdings, Ltd. 210,000 4,818
* Celestial Asia Securities Holdings, Ltd. 426,036 20,791
* Central China Enterprises, Ltd. 210,400 19,190
# Champion Technology Holdings, Ltd. 1,379,390 210,424
Chaoda Modern Agriculture (Holdings), Ltd. 2,620,000 1,083,622
Chen Hsong Holdings, Ltd. 1,210,000 695,000
Cheuk Nang (Holdings), Ltd. 113,344 61,815
* Cheung Tai Hong Holdings, Ltd. 100,920 5,291
Chevalier International Holdings, Ltd. 441,482 521,200
Chevalier Itech Holdings, Ltd. 355,250 72,709
* China Aerospace International Holdings, Ltd. 3,384,000 182,052
* China Bio-medical Group, Ltd. 415,000 8,001
* China Digicontent Co., Ltd. 2,710,000 3,483
* China Electronic Corp. Holdings Co., Ltd. 468,250 84,257
China Everbright International, Ltd. 3,945,000 227,201
* China Everbright Technology, Ltd. 3,244,000 128,943
* China Gas Holdings, Ltd. 2,026,000 345,895
China Hong-Kong Photo Products Holdings, Ltd. 1,909,000 179,429
* China Insurance International Holdings Co., Ltd. 1,866,000 682,350
* China Investments Holdings, Ltd. 210,000 4,534
* China Merchants Dichain (Asia), Ltd. 7,160,000 59,662
* China Motion Telecom International, Ltd. 257,000 6,937
China Motor Bus Co., Ltd. 74,000 598,443
* China Nan Feng Group, Ltd. 28,800 341
# China National Aviation Co., Ltd. 3,710,000 832,720
China Online (Bermuda), Ltd. 296,240 47,863
* China Pharmaceutical Enterprise and Investment Corp., Ltd. 1,802,000 370,168
* China Rare Earth Holdings, Ltd. 1,180,000 148,551
# China Resources Land, Ltd. 2,658,000 425,667
China Resources Logic, Ltd. 3,796,000 422,570
* China Rich Holdings, Ltd. 3,380,000 13,467
* China Sci-Tech Holdings, Ltd. 278,600 7,462
* China Star Entertainment, Ltd. 440,292 18,031
* China Strategic Holdings, Ltd. 1,368,500 142,642
Chinney Investments, Ltd. 1,144,000 108,395
Chitaly Holdings, Ltd. 214,000 189,202
Chow Sang Sang Holdings International, Ltd. 865,680 605,220
Chuangs China Investments, Ltd. 1,347,000 67,258
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Chuang's Consortium International, Ltd. 1,858,884 154,327
Chun Wo Holdings, Ltd. 1,671,917 201,199
Chung Tai Printing Holdings, Ltd. 548,000 88,085
* CITIC 21CN Co., Ltd. 3,674,000 1,035,737
* CITIC Resources Holdings, Ltd. 2,822,000 388,240
City e Solutions, Ltd. 186,000 19,871
City Telecom (H.K.), Ltd. 1,070,000 109,474
# * Clear Media, Ltd. 529,000 452,026
* Climax International Co., Ltd. 296,000 1,635
# CNPC (Hong Kong), Ltd. 6,430,000 939,837
* CNT Group, Ltd. 3,078,000 55,408
* Coastal Greenland, Ltd. 2,440,000 93,594
COFCO International, Ltd. 2,188,000 1,003,371
* Compass Pacific Holdings, Ltd. 624,000 19,274
* Computer & Technologies Holdings, Ltd. 432,000 45,343
Continental Holdings, Ltd. 98,825 10,422
Continental Mariner Investment Co., Ltd. 1,328,000 221,411
COSCO International Holdings, Ltd. 2,573,600 385,268
Coslight Technology International Group, Ltd. 626,000 142,241
Cosmos Machinery Enterprises, Ltd. 1,126,400 54,829
* Crocodile Garments, Ltd. 1,539,000 116,178
Cross Harbour Tunnel Co., Ltd. 386,520 372,509
* Culturecom Holdings, Ltd. 3,767,000 163,747
* Dah Hwa International Holdings, Ltd. 1,062,000 50,836
* Dan Form Holdings Co., Ltd. 2,386,600 124,462
* Daqing Petroleum & Chemical Group, Ltd. 1,375,000 85,512
Dickson Concepts International, Ltd. 498,300 849,976
* Digital China Holdings, Ltd. 1,416,000 422,467
* DVN Holdings, Ltd. 744,490 174,075
* Dynamic Global Holdings, Ltd. 3,522,000 19,012
Dynamic Holdings, Ltd. 244,000 37,437
Easyknit International Holdings, Ltd. 282,860 7,701
* Eforce Holdings, Ltd. 2,620,000 12,068
Egana Jewelry & Pearls, Ltd. 331,789 56,980
# Eganagoldfeil Holdings, Ltd. 2,017,235 491,801
* Emperor Entertainment Hotel, Ltd. 870,000 147,737
Emperor International Holdings, Ltd. 904,360 121,899
* e-New Media Co., Ltd. 320,000 11,294
* eSun Holdings, Ltd. 653,600 176,380
* Extrawell Pharmaceutical Holdings, Ltd. 3,220,000 74,316
Ezcom Holdings, Ltd. 72,576 464
Fairwood Holdings, Ltd. 42,600 22,966
# Far East Consortium International, Ltd. 1,968,680 800,707
* Far East Hotels & Entertainment, Ltd. 1,853,000 125,749
* Far East Pharmaceutical Technology Co., Ltd. 3,216,000 28,108
First Natural Foods Holdings, Ltd. 295,000 20,818
First Sign International Holdings, Ltd. 1,424,000 47,413
Fong's Industries Co., Ltd. 664,000 499,051
* Forefront International Holdings, Ltd. 658,000 48,206
* Fortuna International Holdings, Ltd. 9,344,000 14,506
* Foundation Group, Ltd. 83,800 2,122
* Founder Holdings, Ltd. 1,854,000 116,418
Fountain Set Holdings, Ltd. 972,000 523,384
Four Seas Frozen Food Holdings, Ltd. 347,184 50,825
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Four Seas Mercantile Holdings, Ltd. 592,000 205,441
* Fujian Holdings, Ltd. 237,800 6,143
Fujikon Industrial Holdings, Ltd. 532,000 95,718
* Fushan Holdings, Ltd. 2,566,000 160,794
* GeoMaxima Energy Holdings, Ltd. 5,810,000 44,779
Giordano International, Ltd. 1,866,000 1,221,939
* Global China Group Holdings, Ltd. 3,022,000 147,477
Global Green Tech Group, Ltd. 1,336,000 143,945
* Global Tech (Holdings), Ltd. 5,612,000 36,065
Glorious Sun Enterprises, Ltd. 1,650,000 709,497
Gold Peak Industries (Holdings), Ltd. 1,059,250 213,471
* Goldbond Group Holdings, Ltd. 2,609,500 43,048
Golden Meditech Company, Ltd. 1,473,802 280,160
Golden Resources Development International, Ltd. 1,456,500 64,576
* Gold-Face Holdings, Ltd. 2,003,600 0
Goldlion Holdings, Ltd. 1,438,000 184,200
* Golik Holdings, Ltd. 930,500 27,268
Good Fellow Group, Ltd. 3,488,000 50,649
* Gorient Holdings, Ltd. 7,370 35
Grande Holdings, Ltd. 502,000 473,714
* Great Wall Cybertech, Ltd. 15,795,170 20,301
Group Sense (International), Ltd. 2,062,000 155,761
Guangdong Brewery Holdings, Ltd. 2,212,000 751,638
* Guangnan Holdings, Ltd. 14,216,000 222,133
Guangzhou Investment Co., Ltd. 8,860,000 680,690
* Guo Xin Group, Ltd. 3,640,000 14,881
Guorun Holdings, Ltd. 3,570,000 213,111
GZI Transport, Ltd. 1,820,000 589,702
Hang Fung Gold Technology, Ltd. 1,016,000 153,670
Hang Ten Group Holdings, Ltd. 405,850 57,805
Hanny Holdings, Ltd. 186,658 71,169
* Hansom Eastern Holdings, Ltd. 3,473,235 13,362
Harbour Centre Development, Ltd. 517,000 858,847
Harbour Ring International Holdings, Ltd. 6,936,000 720,666
* Hen Fung Holdings, Ltd. 1,740,000 33,406
Henderson China Holdings, Ltd. 815,000 804,955
Heng Tai Consumables Group, Ltd. 530,000 97,870
# Hengan International Group Co., Ltd. 1,194,000 774,159
High Fashion International, Ltd. 268,000 57,157
# HKR International, Ltd. 1,884,860 1,241,790
Hon Kwok Land Investment Co., Ltd 572,535 148,549
Hong Kong and Shanghai Hotels, Ltd. 500,041 522,327
Hong Kong Catering Management, Ltd. 512,000 101,073
* Hong Kong Construction Holdings, Ltd. 970,000 65,937
Hong Kong Ferry (Holdings) Co., Ltd. 671,300 805,239
* Hong Kong Parkview Group, Ltd. 1,130,000 53,738
* Hong Kong Pharmaceuticals Holdings, Ltd. 1,834,000 45,730
Hongkong Chinese, Ltd. 2,126,000 299,925
* Hop Hing Holdings, Ltd. 660,265 24,610
Hopson Development Holdings, Ltd. 1,246,000 675,409
* Hsin Chong Construction Group, Ltd. 1,569,658 84,570
Hua Han Bio-Pharmaceutical Holdings, Ltd. 208,000 24,566
* Huabao International Holdings, Ltd. 19,300 3,319
Huafeng Textile International Group, Ltd. 248,000 12,893
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* Hualing Holdings, Ltd. 1,344,000 31,115
Hung Hing Printing Group, Ltd. 684,122 504,736
* Hycomm Wireless, Ltd. 4,709,000 48,263
I-Cable Communications, Ltd. 2,155,000 753,903
* I-China Holdings, Ltd. 375,756 9,183
# IDT International, Ltd. 4,028,486 573,733
* Imagi International Holdings, Ltd. 137,400 17,309
* Innomaxx Biotechnology Group, Ltd. 3,050,000 49,709
* Interchina Holdings Co., Ltd. 8,130,000 103,186
International Bank of Asia, Ltd. 1,098,000 439,846
* Inworld Group, Ltd. 3,054 6
ITC Corp., Ltd. 466,157 31,048
JCG Holdings, Ltd. 792,000 763,245
Jinhui Holdings Co., Ltd. 280,000 78,274
* Joyce Boutique Holdings, Ltd. 514,000 40,128
* Junefield Department Store Group, Ltd. 256,000 3,290
# K Wah International Holdings, Ltd. 3,096,364 1,023,162
K. Wah Construction Materials, Ltd. 2,455,075 1,987,953
* Kader Holdings Co., Ltd. 545,600 13,334
* Kanstar Environmental Paper Products Holdings, Ltd. 1,220,000 46,956
Karrie International Holdings, Ltd. 488,000 203,574
Keck Seng Investments (Hong Kong), Ltd. 858,600 220,326
Kee-Shing Holdings Co., Ltd. 886,000 114,969
Kin Yat Holdings, Ltd. 586,000 54,120
King Fook Holdings, Ltd. 1,000,000 69,261
* King Pacific International Holdings, Ltd. 1,404,200 22,019
Kingdee International Software Group Co., Ltd. 638,000 126,073
Kingmaker Footwear Holdings, Ltd. 1,058,750 305,814
* Kong Sun Holdings, Ltd. 2,198,000 7,063
Kowloon Development Co., Ltd. 706,000 774,709
* KPI Co., Ltd. 396,000 7,272
KTP Holdings, Ltd. 560,400 35,909
Kwoon Chung Bus Holdings, Ltd. 556,000 120,598
* Lai Sun Development Co., Ltd. 7,592,000 116,745
* Lai Sun Garment (International), Ltd. 2,325,000 141,461
Lam Soon (Hong Kong), Ltd. 302,310 108,991
Le Saunda Holdings, Ltd. 236,000 36,550
* Leadership Publishing Group, Ltd. 250,511 483
* Leading Spirit High-Tech Holdings Co., Ltd. 2,310,000 2,969
Lee & Man Holdings, Ltd. 566,000 86,464
Lerado Group (Holding) Co., Ltd. 1,048,000 133,198
* LifeTec Group, Ltd. 1,383,000 14,543
Lippo, Ltd. 1,074,760 255,289
Liu Chong Hing Bank, Ltd. 537,000 785,035
Liu Chong Hing Investment, Ltd. 635,200 594,634
Luk Fook Holdings (International), Ltd. 690,000 212,424
Luks Industrial Group, Ltd. 645,555 92,657
Lung Kee (Bermuda) Holdings, Ltd. 1,071,875 695,360
* MACRO-LINK International Holdings, Ltd. 1,036,250 31,346
* Mae Holdings, Ltd. 111,000 1,469
Magnificent Estates, Ltd. 8,368,000 146,845
* Magnum International Holdings, Ltd. 300,000 4,049
Mainland Headwear Holdings, Ltd. 410,000 147,344
* Mansion House Group, Ltd. 1,820,000 27,574
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Matrix Holdings, Ltd. 402,000 122,565
* Matsunichi Communications Holdings, Ltd. 388,000 113,320
* Mei Ah Entertainment Group, Ltd. 1,142,000 42,512
Melbourne Enterprises, Ltd. 45,500 185,384
Melco International Development, Ltd. 1,000,000 1,163,187
Midas International Holdings, Ltd. 774,000 58,621
Midland Realty (Holding), Ltd. 1,110,000 652,983
* Millennium Group, Ltd. 1,392,000 4,814
Min Xin Holdings, Ltd. 753,200 139,200
Miramar Hotel & Investment Co., Ltd. 607,000 911,694
* Morning Star Resources, Ltd. 1,845,000 18,971
# Moulin International Holdings, Ltd. 699,274 453,879
Multi-Asia International Holdings, Ltd. 460,920 52,048
Nanyang Holdings, Ltd. 137,500 159,269
National Electronics Holdings, Ltd. 2,156,000 67,749
Natural Beauty Bio-Technology, Ltd. 1,610,000 117,876
New Island Printing Holdings, Ltd. 176,000 15,156
* New World China Land, Ltd. 1,807,600 608,710
* New World Cyberbase, Ltd. 72,628 3,669
* New World TMT, Ltd. 1,380,600 81,366
* Newocean Green Energy Holdings, Ltd. 393,120 41,902
* Next Media, Ltd. 1,792,000 764,514
# Ngai Lik Industrial Holdings, Ltd. 1,556,000 418,913
* Nippon Asia Investments Holdings, Ltd. 1,573,200 17,794
# * Onfem Holdings, Ltd. 1,266,000 84,315
Orient Power Holdings, Ltd. 804,000 30,915
* Oriental Metals, Ltd. 711,780 232,859
Oriental Press Group, Ltd. 2,928,000 929,514
Oriental Watch Holdings, Ltd. 398,000 79,151
Pacific Andes International Holdings, Ltd. 1,172,000 202,893
Pacific Century Insurance Holdings, Ltd. 1,272,000 497,423
Pacific Century Premium Developments, Ltd. 2,785,000 846,373
* Pacific Plywood Holdings, Ltd. 4,430,000 14,754
# Paul Y. ITC Construction Holdings, Ltd. 2,309,062 614,434
Peace Mark Holdings, Ltd. 1,138,022 302,835
Pegasus International Holdings, Ltd. 226,000 31,371
Perfectech International Holdings, Ltd. 571,450 49,582
Pico Far East Holdings, Ltd. 1,190,000 184,516
Playmates Holdings, Ltd. 2,223,000 458,218
Pokfulam Development Co., Ltd. 234,000 96,098
* Poly Investments Holdings, Ltd. 2,670,000 39,419
Prime Success International Group, Ltd. 2,366,000 588,841
# Proview International Holdings, Ltd. 944,000 152,469
# * QPL International Holdings, Ltd. 1,191,000 140,364
Quality Healthcare Asia, Ltd. 133,800 33,604
Raymond Industrial, Ltd. 605,400 188,292
# * Regal Hotels International Holdings, Ltd. 11,656,000 1,013,576
* Rexcapital International Holdings, Ltd. 1,272,905 26,995
* Riche Multi-Media Holdings, Ltd. 7,060,000 349,894
* Rivera Holdings, Ltd. 3,620,000 106,538
* Riverhill Holdings, Ltd. 4,072 57
Road King Infrastructure, Ltd. 656,000 467,546
Roadshow Holdings, Ltd. 1,456,000 158,611
S.A.S.Dragon Holdings, Ltd. 1,696,000 189,428
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# SA SA International Holdings, Ltd. 1,872,000 865,043
Safety Godown Co., Ltd. 408,000 178,295
Saint Honore Holdings, Ltd. 128,000 44,006
San Miguel Brewery Hong Kong, Ltd. 612,800 149,868
SCMP Group, Ltd. 2,276,000 985,787
Sea Holdings, Ltd. 832,000 331,055
* Seapower Resources International, Ltd. 151,680 3,190
SEEC Media Group, Ltd. 2,550,000 94,778
* Shanghai Allied Cement, Ltd. 1,152,080 41,608
* Shanghai Century Holdings, Ltd. 7,142,000 148,504
* Shanghai Land Holdings, Ltd. 1,464,000 0
* Shanghai Ming Yuan Holdings, Ltd. 3,090,000 289,316
# Shanghai Real Estates, Ltd. 2,234,000 240,741
Shaw Brothers Hong Kong, Ltd. 134,000 161,008
Shell Electric Manufacturing (Holdings) Co., Ltd. 782,172 144,499
Shenyin Wanguo (Hong Kong), Ltd. 847,500 71,659
Shenzhen International Holdings, Ltd. 13,502,500 450,235
Shougang Concord Century Holdings, Ltd. 1,676,000 144,010
* Shougang Concord Grand (Group), Ltd. 1,701,000 159,061
* Shougang Concord International Enterprises Co., Ltd. 6,380,000 456,962
* Shougang Concord Technology Holdings, Ltd. 2,639,809 136,696
# Shui On Construction & Materials, Ltd. 468,000 504,143
* Shun Ho Resources Holdings, Ltd. 483,000 33,771
Shun Ho Technology Holdings, Ltd. 1,037,452 83,582
Silver Grant International Industries, Ltd. 2,423,000 1,140,643
* Sincere Co., Ltd. 505,500 33,765
Singamas Container Holdings, Ltd. 838,000 650,138
Sino Golf Holdings, Ltd. 438,000 44,539
* Sinocan Holdings, Ltd. 350,000 1,754
* Sino-I.com, Ltd. 23,783,158 378,474
Sinolink Worldwide Holdings, Ltd. 3,933,600 686,111
Sinopec Kantons Holdings, Ltd. 1,638,000 230,952
* Skynet (International Group) Holdings, Ltd. 976 97
SNP Leefung Holdings, Ltd. 144,000 24,848
* Softbank Investment International (Strategic), Ltd. 7,398,000 72,986
* Solartech International Holdings, Ltd. 49,600 1,913
South China Brokerage Co., Ltd. 4,872,000 58,186
South China Industries, Ltd. 1,124,000 108,783
* South Sea Holdings Co., Ltd. 27,550,000 102,321
Southeast Asia Properties & Finance, Ltd. 263,538 37,937
Starlight International Holdings, Ltd. 1,311,292 116,020
Starlite Holdings, Ltd. 694,000 78,486
Stelux Holdings International, Ltd. 1,307,702 144,093
Styland Holdings, Ltd. 101,808 327
Sun Hing Vision Group Holdings, Ltd. 358,000 158,376
Sun Hung Kai & Co., Ltd. 2,048,600 541,318
* Sun Innovation Holdings, Ltd. 1,420,360 12,390
* Sun Media Group Holdings, Ltd. 9,814,000 21,443
* Sunday Communications, Ltd. 4,441,000 291,176
Sunway International Holdings, Ltd. 866,000 30,589
* Suwa International Holdings, Ltd. 1,062,000 27,241
SW Kingsway Capitol Holdings, Ltd. 2,206,000 91,963
# Symphony Holdings, Ltd. 982,000 200,002
Tack Fat Group International, Ltd. 1,472,000 185,101
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* Tack Hsin Holdings, Ltd. 542,000 28,091
Tai Cheung Holdings, Ltd. 1,013,000 528,810
Tai Fook Securities Group, Ltd. 590,000 75,743
Tai Sang Land Development, Ltd. 471,984 155,700
Tak Shun Technology Group, Ltd. 2,088,000 88,368
Tak Sing Alliance Holdings, Ltd. 2,909,865 126,575
# Tan Chong International, Ltd. 1,182,000 218,718
TCC International Holdings, Ltd. 1,124,000 190,615
# TCL International Holdings, Ltd. 3,228,000 579,187
* Technology Venture Holdings, Ltd. 586,000 8,675
* Termbray Industries International (Holdings), Ltd. 2,304,900 145,161
Tern Properties Co., Ltd. 61,200 19,272
Texwinca Holdings, Ltd. 858,000 683,085
* The Sun's Group, Ltd. 17,004,000 21,855
* Tian An China Investments Co., Ltd. 1,238,275 309,939
Tian Teck Land, Ltd. 1,098,000 388,209
Tianjin Development Holdings, Ltd. 1,118,000 398,274
* Tingyi (Cayman Islands) Holding Corp. 3,000,000 819,127
Titan Petrochemicals Group, Ltd. 5,500,000 549,558
* Tomorrow International Holdings, Ltd. 165,000 14,808
* Tongda Group Holdings, Ltd. 1,020,000 20,162
Tonic Industries Holdings, Ltd. 1,380,000 37,444
Top Form International, Ltd. 1,586,000 452,759
Topsearch International (Holdings), Ltd. 204,000 24,604
* Tristate Holdings, Ltd. 138,000 39,021
Truly International Holdings, Ltd. 536,000 712,029
Tungtex (Holdings) Co., Ltd. 788,000 293,300
* Tysan Holdings, Ltd. 1,040,773 28,359
* U-Cyber Technology Holdings, Ltd. 432,800 10,180
* United Power Investment, Ltd. 1,664,000 151,282
* Universal Holdings Ltd 2,770,000 51,980
* Universe International Holdings, Ltd. 573,339 3,537
U-Right International Holdings, Ltd. 2,040,000 73,258
USI Holdings, Ltd. 928,999 250,308
Van Shung Chong Holdings, Ltd. 359,335 41,050
* Vanda Systems & Communications Holdings, Ltd. 7,846,000 673,776
# Varitronix International, Ltd. 534,293 486,436
Veeko International Holdings, Ltd. 1,420,000 53,711
Victory City International Holdings, Ltd. 855,350 271,601
Vital Biotech Holdings, Ltd. 470,000 16,285
# Vitasoy International Holdings, Ltd. 1,423,000 443,428
Wah Ha Realty Co., Ltd. 278,600 52,996
* Wah Nam International Holdings, Ltd. 38,696 738
Wai Kee Holdings, Ltd. 1,265,738 250,491
Wang On Group, Ltd. 47,897 16,265
Wellnet Holdings, Ltd. 2,059,200 113,679
Wheelock Properties, Ltd. 2,360,000 1,210,613
* Winfoong International, Ltd. 1,210,000 80,693
Wing On Co. International, Ltd. 565,000 797,985
* Wing Shan International, Ltd. 896,000 44,792
Wisdom Venture Holdings, Ltd. 398,000 32,145
Wong's International (Holdings), Ltd. 737,641 71,278
* Wonson International Holdings, Ltd. 4,040,000 7,270
World Houseware (Holdings), Ltd. 605,700 18,699
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Y. T. Realty Group, Ltd. 965,000 137,611
Yangtzekiang Garment Manufacturing Co., Ltd. 607,500 146,538
* Yanion International Holdings, Ltd. 118,000 11,060
* Yaohan International Holdings, Ltd. 974,000 0
Yau Lee Holdings, Ltd. 534,000 46,532
YGM Trading, Ltd. 228,000 397,484
Yip's Chemical Holdings, Ltd. 674,000 201,179
Yugang International, Ltd. 11,916,000 183,333
* Yunnan Enterprises Holdings, Ltd. 240,000 13,026
* Zhu Kuan Development Co., Ltd. 646,000 43,940
----------------
TOTAL COMMON STOCKS
(Cost $103,984,609) 92,538,898
----------------
INVESTMENT IN CURRENCY -- (0.1%)
* Hong Kong Dollars 107,726
----------------
(Cost $107,692)
RIGHTS/WARRANTS -- (0.0%)
* B.A.L. Holdings, Ltd. Rights 06/10/05 101 2
* China Credit Holdings Warrants 09/30/09 174,000 2,125
* Lai Sun Garment (International), Ltd. Rights 06/24/05 290,625 0
* Mae Holdings, Ltd. Rights 06/06/05 5,550 2
* Playmates Holdings, Ltd. Warrants 05/23/06 444,600 10,343
* Quality Healthcare Asia, Ltd. Warrants 01/13/07 26,760 447
----------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 12,919
----------------
TOTAL -- HONG KONG
(Cost $104,092,301) 92,659,543
----------------
SINGAPORE -- (12.9%)
COMMON STOCKS -- (12.9%)
* Acma, Ltd. 3,040,700 63,404
Airocean Group, Ltd. 1,649,000 193,127
* Alliance Technology & Development, Ltd. 156,000 9,827
Amtek Engineering, Ltd. 799,625 426,551
Apollo Enterprises, Ltd. 193,000 63,685
Armstrong Industrial Corp. 1,460,000 109,590
* ASA Group Holdings, Ltd. 586,000 94,587
Ascott Group, Ltd. 1,807,250 524,507
Aussino Group, Ltd. 967,000 179,506
Benjamin (F.J.) Holdings, Ltd. 1,095,000 161,144
# Beyonics Technology, Ltd. 1,945,800 360,416
* Blu Inc. Group, Ltd. 729,000 67,792
Bonvests Holdings, Ltd. 825,000 277,210
Brilliant Manufacturing, Ltd. 1,855,000 533,085
* Broadway Industrial Group, Ltd. 461,000 91,010
Bukit Sembawang Estates, Ltd. 71,334 568,561
* Central Properties, Ltd. 66,000 0
Ch Offshore, Ltd. 823,200 172,286
* Chemical Industries (Far East), Ltd. 105,910 35,265
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China Merchants Holdings Pacific, Ltd. 652,000 235,989
Chip Eng Seng Corp., Ltd. 1,775,000 154,234
Chosen Holdings, Ltd. 1,284,000 142,512
Chuan Hup Holdings, Ltd. 4,385,000 1,946,228
Chuan Soon Huat Industrial Group, Ltd. 614,000 106,785
CIH, Ltd. 498,460 801,883
* CK Tang, Ltd. 614,000 140,264
* Compact Metal Industries, Ltd. 643,000 7,715
Courts Singapore, Ltd. 495,000 160,636
* CSC Holdings, Ltd. 672,000 10,079
CSE Global, Ltd. 1,262,000 415,568
CWT Distribution, Ltd. 461,500 178,374
Eagle Brand Holdings, Ltd. 5,158,000 216,461
# Eastern Asia Technology, Ltd. 1,844,260 231,903
* Eastgate Technology, Ltd. 870,000 36,600
* Econ International, Ltd. 2,267,000 61,204
ECS Holdings, Ltd. 1,375,000 234,816
Eng Wah Organisation, Ltd. 265,000 47,599
* Firstlink Investments Corp., Ltd. 995,000 32,701
Freight Links Express Holdings, Ltd. 3,368,000 151,259
Frontline Technologies Corp., Ltd. 3,170,000 228,489
# Fu Yu Manufacturing, Ltd. 2,273,750 686,414
Fuji Offset Plates Manufacturing, Ltd. 33,750 5,821
G & W Group Holdings, Ltd. 252,314 21,950
GB Holdings, Ltd. 200,000 116,328
Ges International, Ltd. 2,909,000 1,226,625
GK Goh Holdings, Ltd. 1,494,000 819,816
# Goodpack, Ltd. 1,592,000 1,276,919
GP Industries, Ltd. 1,516,000 759,057
Guocoland, Ltd. 1,215,000 982,789
Hiap Moh Corp., Ltd. 34,874 6,434
Ho Bee Investment, Ltd. 761,000 164,324
Hong Fok Corp., Ltd. 1,796,000 247,975
Hong Leong Asia, Ltd. 1,048,000 599,704
* Horizon Education & Technologies, Ltd. 2,054,000 73,396
Hotel Grand Central, Ltd. 875,280 238,970
Hotel Plaza, Ltd. 1,189,000 638,459
Hotel Properties, Ltd. 1,675,000 1,265,203
Hour Glass, Ltd. 298,000 113,239
HTL International Holdings, Ltd. 1,471,875 1,227,359
Huan Hsin Holdings, Ltd. 1,138,400 548,997
Hup Seng Huat, Ltd. 900,200 169,423
Hwa Hong Corp., Ltd. 2,488,000 866,267
IDT Holdings, Ltd. 718,000 964,045
* Inno-Pacific Holdings, Ltd. 680,000 8,126
Innovalues Precision, Ltd. 520,000 171,335
International Factors (Singapore), Ltd. 290,000 97,495
* Internet Technology Group, Ltd. 874,408 13,141
* Interra Resources, Ltd. 37,086 4,313
* Intraco, Ltd. 292,500 57,897
Isetan (Singapore), Ltd. 122,500 227,854
Jaya Holdings, Ltd. 2,733,000 1,686,003
JK Yaming International, Ltd. 907,000 199,234
Jurong Cement, Ltd. 132,500 55,646
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Jurong Engineering, Ltd. 137,000 183,033
# Jurong Technologies Industrial Corp., Ltd. 1,446,000 1,391,398
K1 Ventures, Ltd. 5,340,500 846,967
Keppel Telecommunications and Transportation, Ltd. 2,058,000 1,068,111
Khong Guan Flour Milling, Ltd. 19,000 17,327
Kian Ann Engineering, Ltd. 868,000 78,162
Kian Ho Bearings, Ltd. 521,000 46,834
* Koh Brothers, Ltd. 1,494,000 80,549
* L & M Group Investments, Ltd. 7,107,100 21,320
# Labroy Marine, Ltd. 3,343,000 1,479,655
* LanTroVision (S), Ltd. 1,117,500 23,184
Lee Kim Tah Holdings, Ltd. 1,600,000 263,945
* Leong Hin Holdings, Ltd. 526,000 96,089
* Liang Huat Aluminium, Ltd. 2,954,000 17,723
Lion Asiapac, Ltd. 473,000 43,874
Low Keng Huat Singapore, Ltd. 372,000 93,051
Lum Chang Holdings, Ltd. 1,134,030 204,434
Magnecomp International, Ltd. 931,000 483,890
Manufacturing Integration Technology, Ltd. 588,000 35,148
MCL Land, Ltd. 1,427,000 1,051,574
* Mediaring.Com, Ltd. 3,410,000 305,788
Metro Holdings, Ltd. 2,256,960 682,769
MMI Holdings, Ltd. 1,994,000 434,699
Multi-Chem, Ltd. 1,263,000 155,338
Nera Telecommunications, Ltd. 1,450,000 330,446
New Toyo Intenational Holdings, Ltd. 1,043,000 315,528
Norelco Centreline Holdings, Ltd. 941,000 250,275
* Orchard Parade Holdings, Ltd. 1,084,022 243,217
# Osim International, Ltd. 1,638,000 1,157,772
Ossia International, Ltd. 728,332 67,700
Pan-United Corp., Ltd. 2,193,000 397,619
Pan-United Marine, Ltd. 1,096,500 191,705
PCI, Ltd. 734,000 232,978
Pertama Holdings, Ltd. 459,750 80,014
Popular Holdings, Ltd. 1,813,000 396,958
PSC Corp., Ltd. 5,723,200 275,036
* Qian Hu Corp., Ltd. 408,200 68,153
Robinson & Co., Ltd. 284,832 1,008,272
Rotary Engineering, Ltd. 1,624,000 345,294
San Teh, Ltd. 838,406 165,640
SBS Transit, Ltd. 1,011,000 1,315,615
Sea View Hotel, Ltd. 66,000 3,092
* Seatown Corp., Ltd. 101,000 1,818
Sembawang Kimtrans, Ltd. 1,295,000 151,435
Sin Soon Huat, Ltd. 1,307,000 78,153
Sing Investments & Finance, Ltd. 94,500 102,219
# Singapore Food Industries, Ltd. 1,707,000 1,022,821
Singapore Reinsurance Corp., Ltd 1,540,935 245,142
Singapore Shipping Corp., Ltd. 1,930,000 577,430
Singapura Finance, Ltd. 139,250 123,670
SMB United, Ltd. 2,010,000 162,705
SNP Corp., Ltd. 466,495 251,467
* SP Corp., Ltd. 454,000 18,768
Ssangyong Cement (Singapore), Ltd. 236,000 128,042
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Stamford Land Corp., Ltd. 3,229,000 493,963
Straits Trading Co., Ltd. 1,117,200 1,513,182
* Sunright, Ltd. 378,000 57,505
Superbowl Holdings, Ltd. 490,000 61,694
Superior Metal Printing, Ltd. 490,500 50,079
Thakral Corp., Ltd. 6,028,000 397,881
Tiong Woon Corp. Holding, Ltd. 906,000 129,915
* Transmarco, Ltd. 106,500 51,116
Trek 2000 International, Ltd. 1,004,000 230,923
TSM Resources, Ltd. 1,502,000 265,397
# TT International, Ltd. 2,109,600 221,292
* Tuan Sing Holdings, Ltd. 3,362,000 190,660
* Ultro Technologies, Ltd. 530,000 25,115
Unisteel Technology, Ltd. 974,000 980,021
United Engineers, Ltd. 846,666 847,452
United Overseas Insurance, Ltd. 125,500 268,047
United Pulp & Paper Co., Ltd. 354,000 93,251
UOB-Kay Hian Holdings, Ltd. 1,602,000 897,151
Vicom, Ltd. 120,000 67,576
WBL Corp., Ltd. 647,000 1,194,242
Xpress Holdings, Ltd. 1,392,000 41,806
* Yongnam Holdings, Ltd. 1,506,000 31,623
----------------
TOTAL COMMON STOCKS
(Cost $56,377,025) 51,937,147
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Singapore Dollars 77,737
----------------
(Cost $77,932)
RIGHTS/WARRANTS -- (0.0%)
* China Dairy Group Warrants 12/22/07 300,400 9,912
----------------
(Cost $0)
TOTAL -- SINGAPORE
(Cost $56,454,957) 52,024,796
----------------
NEW ZEALAND -- (4.9%)
COMMON STOCKS -- (4.9%)
AFFCO Holdings, Ltd. 1,806,887 495,717
Cavalier Corp., Ltd. 283,674 728,432
CDL Hotels New Zealand, Ltd. 1,387,344 544,192
CDL Investments New Zealand, Ltd. 328,510 73,855
Colonial Motor Co., Ltd. 126,795 268,569
* Cue Energy Resources NL 452,354 76,981
Ebos Group, Ltd. 112,108 309,863
* Evergreen Forests, Ltd. 323,301 68,193
Hallenstein Glassons Holdings, Ltd. 241,638 636,850
Hellaby Holdings, Ltd. 201,679 808,342
Horizon Energy Distribution, Ltd. 40,420 122,364
Met Lifecare, Ltd. 270,895 627,891
Michael Hill International, Ltd. 156,746 829,546
* New Zealand Oil & Gas, Ltd. 584,872 352,491
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New Zealand Refining Co., Ltd. 84,779 2,012,874
Northland Port Corp. (New Zealand), Ltd. 219,997 464,421
Nuplex Industries, Ltd. 271,267 749,195
* Pacific Retail Group, Ltd. 194,156 265,995
Port of Tauranga, Ltd. 541,952 1,791,836
* Provenco Group, Ltd. 281,600 150,474
Pyne Gould Guinness, Ltd. 229,634 282,510
Restaurant Brand New Zealand, Ltd. 369,175 329,847
Richina Pacific, Ltd. 309,644 158,889
* Rubicon, Ltd. 995,760 630,304
Ryman Healthcare Group, Ltd. 415,999 1,080,776
Sanford, Ltd. 418,047 1,265,103
Scott Technology, Ltd. 60,843 120,738
* Seafresh Fisheries (NZ) 80,520 1,587
South Port New Zealand, Ltd. 30,744 24,234
Steel & Tube Holdings, Ltd. 379,638 1,212,447
* Tasman Farms 157,056 0
Taylors Group, Ltd. 29,646 52,003
Tourism Holdings, Ltd. 402,452 503,149
* Trans Tasman Properties, Ltd. 2,311,308 652,183
Waste Management NZ, Ltd. 430,471 1,863,264
Wrightson, Ltd. 279,834 317,777
----------------
TOTAL COMMON STOCKS
(Cost $11,983,474) 19,872,892
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* New Zealand Dollar 11,551
----------------
(Cost $11,693)
TOTAL -- NEW ZEALAND
(Cost $11,995,167) 19,884,443
----------------
MALAYSIA -- (0.0%)
COMMON STOCKS -- (0.0%)
* Aliran Ihsan Resources Berhad 1,650 240
* Autoways Holdings Berhad 10,000 3,395
* Jaks Resources Berhad 11,975 4,596
* Promet Berhad 1,143,000 0
* Rekapacific Berhad 473,000 0
----------------
TOTAL COMMON STOCKS
(Cost $983,525) 8,231
----------------
PREFERRED STOCKS -- (0.0%)
* Ramunia Holdings Berhard Non Cumulative Irredeemable
Convertible Preferred Shares 17,882 753
----------------
(Cost $229,462)
TOTAL -- MALAYSIA
(Cost $1,212,987) 8,984
----------------
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UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
* Exergy, Inc. 7,260 0
* Molecular Devices Corp. 118 2,280
----------------
TOTAL -- UNITED STATES
(Cost $2,510) 2,280
----------------
FACE
AMOUNT VALUE+
---------------- ----------------
(000)
TEMPORARY CASH INVESTMENTS -- (17.2%)
^ Repurchase Agreement, Deutsche Bank Securities 2.96%,
06/01/05 (Collateralized by $61,891,609 U.S. TIPS 1.875%,
07/15/13, valued at $66,806,963) to be repurchased at
$65,497,023 (Cost $65,491,638) $ 65,492 65,491,638
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%,
06/01/05 (Collateralized by $3,513,000 FNMA Notes 2.95%,
11/14/07, valued at $3,508,609) to be repurchased at
$3,456,277 (Cost $3,456,000) 3,456 3,456,000
----------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $68,947,638) 68,947,638
----------------
TOTAL INVESTMENTS - (100.0%)
(Cost $395,815,821) $ 402,012,373
----------------
---------
+ Securities have been fair valued. See Note B to Financial
Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on
loan.
See accompanying Notes to Financial Statements.
21
THE UNITED KINGDOM SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
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SHARES VALUE+
---------------- ----------------
UNITED KINGDOM -- (95.8%)
COMMON STOCKS -- (94.4%)
Industrials -- (27.6%)
600 Group P.L.C. 125,656 $ 162,724
AEA Technology P.L.C. 96,276 113,474
Aggreko P.L.C. 577,491 2,035,089
Air Partner P.L.C. 15,611 154,940
* Airflow Streamlines P.L.C. 20,500 21,791
Alumasc Group P.L.C. 100,245 287,683
Amec P.L.C. 49,000 299,143
Arriva P.L.C. 129,697 1,254,334
* Ashtead Group P.L.C. 674,240 1,093,794
Atkins (WS) P.L.C. 234,487 2,927,200
Autologic Holdings P.L.C. 96,590 324,790
# Avis Europe P.L.C. 1,767,228 2,119,342
Babcock International Group P.L.C. 462,763 1,251,402
* Bailey (C.H.) P.L.C. 109,500 27,856
* Bailey (C.H.) P.L.C. Class B 10,000 16,808
Birse Group P.L.C. 421,901 92,109
Black Arrow Group P.L.C. 56,500 71,762
Bodycote International P.L.C. 745,073 2,246,322
BPP Holdings P.L.C. 114,663 720,063
Brammer P.L.C. 119,123 332,446
Brandon Hire P.L.C. 58,441 158,814
BSS Group P.L.C. 55,830 1,154,668
* BTG P.L.C. 284,452 727,356
Business Post Group P.L.C. 157,099 1,788,749
Carillion P.L.C. 486,131 2,178,066
* Carlisle Holdings, Ltd. 8,709 50,611
Castings P.L.C. 83,784 298,834
Charles Taylor Consulting P.L.C. 67,918 303,960
* Charter P.L.C. 315,702 1,551,000
Chemring Group P.L.C. 54,030 464,567
Chloride Group P.L.C. 485,500 584,188
Christie Group P.L.C. 53,263 91,324
Clarkson (Horace) P.L.C. 44,733 728,178
Communisis P.L.C. 317,904 611,274
* Cookson Group P.L.C. 419,725 2,478,705
* Corporate Services Group P.L.C. 1,704,859 264,555
* Costain Group P.L.C. 1,176,378 1,014,389
* Danka Business Systems P.L.C. 367,079 117,281
Dart Group P.L.C. 74,000 418,012
Datamonitor P.L.C. 136,693 419,045
Davis Service Group P.L.C. 345,079 2,779,174
De La Rue P.L.C. 417,469 2,869,586
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Domino Printing Sciences P.L.C. 355,935 1,542,684
Domnick Hunter Group P.L.C. 76,296 527,593
* Dowding & Mills P.L.C. 336,440 110,310
* Easyjet P.L.C. 1,068,671 4,377,254
Eleco P.L.C. 104,685 62,989
* Enodis P.L.C. 918,539 1,834,915
Fenner P.L.C. 236,681 514,188
FKI P.L.C. 1,350,586 2,370,056
Forth Ports P.L.C. 142,983 3,436,809
* Fortress Holdings P.L.C. 120,728 6,033
Fulmar P.L.C. 107,500 196,250
Galliford Try P.L.C. 517,870 541,187
Get Group P.L.C. 20,485 57,636
Gibbs & Dandy P.L.C. 13,681 103,960
Gleeson (M.J.) Group P.L.C. 112,355 659,155
* Glotel P.L.C. 63,851 100,978
Go-Ahead Group P.L.C. 95,242 2,335,575
Group 4 Securicor P.L.C. 88,013 219,742
Halstead (James) Group P.L.C. 52,208 510,817
* Hampson Industries P.L.C. 584,903 264,794
* Harvey Nash Group P.L.C. 183,750 178,498
Havelock Europa P.L.C. 75,907 177,829
Heath (Samuel) & Sons P.L.C. 7,500 66,097
Helphire Group P.L.C. 246,301 957,568
* Heywood Williams Group P.L.C. 173,468 293,493
Homeserve P.L.C. 147,895 2,492,543
Hyder Consulting P.L.C. 65,359 246,874
Infast Group P.L.C. 301,224 182,742
Intertek Group P.L.C. 70,100 961,902
Intserve P.L.C. 264,157 1,714,120
* Invensys P.L.C. 13,169,327 2,695,625
Ite Group P.L.C. 518,511 918,824
* Jarvis Porter Group P.L.C. 99,894 9,530
Johnson Service Group P.L.C. 126,960 1,074,497
Keller Group P.L.C. 125,955 635,938
Kier Group P.L.C. 75,365 1,231,575
Laing (John) P.L.C. 425,832 1,903,873
Latchways P.L.C. 22,878 174,532
Lavendon Group P.L.C. 81,799 289,776
Lincat Group P.L.C. 19,000 169,079
Litho Supplies P.L.C. 20,000 21,456
* Lorien P.L.C. 60,000 44,670
Low & Bonar P.L.C. 166,108 336,556
Management Consulting Group P.L.C. 412,929 339,874
McAlpine (Alfred) P.L.C. 232,610 1,507,899
Meggitt P.L.C. 514,738 2,733,610
Mersey Docks & Harbour Co. P.L.C. 117,087 2,051,279
Michael Page International P.L.C. 731,357 2,507,014
Mitie Group P.L.C. 716,043 2,077,549
* Molins P.L.C. 68,000 172,778
* Morgan Crucible Company P.L.C. 673,398 2,209,920
Morgan Sindall P.L.C. 78,265 1,075,283
Mouchel Parkman P.L.C. 200,665 873,623
Mowlem (John) & Co. P.L.C. 347,397 1,135,574
MS International P.L.C. 71,500 103,398
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MSB International P.L.C. 30,748 39,945
National Express Group P.L.C. 25,000 394,308
Nord Anglia Education P.L.C. 63,924 133,557
Northern Recruitment Group P.L.C. 36,500 121,055
Northgate P.L.C. 137,678 2,233,572
Ocean Wilsons Holdings, Ltd. 84,250 439,928
Penna Consulting P.L.C. 42,417 95,586
PHS Group P.L.C. 1,144,660 2,024,988
PSD Group P.L.C. 54,896 225,963
Quantica P.L.C. 96,190 90,129
Radstone Technology P.L.C. 67,511 327,256
* Regus Group P.L.C. 2,282,259 3,741,272
Reliance Security Group P.L.C. 66,349 567,812
Renold P.L.C. 153,256 126,960
Ricardo P.L.C. 114,409 594,152
Robert Walters P.L.C. 150,103 299,905
ROK property solutions P.L.C. 58,166 580,733
RPS Group P.L.C. 442,348 1,193,340
Salvesen (Christian) P.L.C. 533,873 567,901
Senior P.L.C. 678,557 496,540
Serco Group P.L.C. 235,235 1,076,833
Severfield-Rowan P.L.C. 26,211 276,481
Shanks & McEwan Group P.L.C. 543,212 1,342,876
SHL Group P.L.C. 124,412 281,190
SIG P.L.C. 273,601 2,859,416
* Simon Group P.L.C. 348,089 283,963
Smart (J.) & Co. (Contractors) P.L.C. 22,500 251,440
Speedy Hire P.L.C. 90,349 1,122,345
Spirax-Sarco Engineering P.L.C. 168,524 2,172,230
Spring Group P.L.C. 406,488 648,978
* Stanelco P.L.C. 1,201,354 573,318
T. Clarke P.L.C. 75,774 322,158
Tarsus Group P.L.C. 86,934 184,740
Teesland P.L.C. 431,476 535,789
Thorpe (F.W.) P.L.C. 24,000 135,778
* Tinsley (Eliza) Group P.L.C. 19,844 5,589
* Trafficmaster P.L.C. 252,418 196,270
Transport Development Group P.L.C. 176,699 694,975
Trifast P.L.C. 135,388 177,762
Ultra Electronics Holdings P.L.C. 157,442 2,273,301
Ultraframe P.L.C. 162,456 138,440
Umeco P.L.C. 70,900 610,909
* Universal Salvage P.L.C. 36,111 50,451
* Volex Group P.L.C. 58,801 81,000
VP P.L.C. 108,111 382,461
VT Group P.L.C. 409,317 2,530,566
Weir Group P.L.C. 465,726 2,617,684
Whatman P.L.C. 281,949 1,330,592
White Young Green P.L.C. 78,615 369,505
Whitehead Mann Group P.L.C. 95,000 62,313
* Wilshaw P.L.C. 198,409 37,196
Wincanton P.L.C. 251,678 1,157,712
WSP Group P.L.C. 131,793 629,012
Wyndeham Press Group P.L.C. 111,879 262,429
XP Power P.L.C. 44,311 300,719
----------------
Total Industrials
(Cost $99,323,658) 130,215,054
----------------
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Consumer Discretionary -- (21.9%)
4imprint P.L.C. 50,375 194,431
Abbeycrest P.L.C. 42,590 36,739
AGA Food Service Group P.L.C. 271,542 1,504,891
Airsprung Furniture Group P.L.C. 18,314 7,334
Alba P.L.C. 105,025 859,125
Alexandra P.L.C. 86,243 191,129
Alexon Group P.L.C. 123,392 647,941
Alpha Airports Group P.L.C. 392,541 684,749
Arena Leisure P.L.C. 1,136,685 802,233
* Aston Villa P.L.C. 12,961 86,824
Austin Reed Group P.L.C. 68,999 149,385
Avesco P.L.C. 29,998 54,484
Avon Rubber P.L.C. 59,463 222,582
Beale P.L.C. 22,161 27,842
Beattie (James) P.L.C. 132,247 267,883
Bellway P.L.C. 132,240 2,047,227
Ben Bailey P.L.C. 26,000 209,713
Blacks Leisure Group P.L.C. 90,290 692,802
Bloomsbury Publishing P.L.C. 148,970 924,229
Boot (Henry) P.L.C. 71,794 666,796
Bovis Homes Group P.L.C. 273,016 3,393,807
* Brown & Jackson P.L.C. 748,566 632,572
Brown (N) Group P.L.C. 562,850 1,373,384
Caffyns P.L.C. 6,000 84,762
Capital Radio P.L.C. 313,351 1,697,802
# Carpetright P.L.C. 125,839 1,978,208
* Celtic P.L.C. 40,759 42,744
Character Group P.L.C. 97,314 64,789
Chime Communications P.L.C. 354,020 176,639
Chrysalis Group P.L.C. 328,544 876,256
Churchill China P.L.C. 30,000 95,756
City Restaurant Group P.L.C. 410,347 979,543
Clinton Cards P.L.C. 433,380 679,859
Colefax Group P.L.C. 60,000 99,580
Cosalt P.L.C. 30,700 178,825
* Courts P.L.C. 110,722 27,161
Crest Nicholson P.L.C. 267,250 1,857,536
Dawson Holdings P.L.C. 144,502 378,987
* Dawson International P.L.C. 100,688 17,809
De Vere Group P.L.C. 159,232 1,543,716
* Emess P.L.C. 480,556 65,210
* Entertainment Rights P.L.C. 633,958 305,561
Euromoney Institutional Investors P.L.C. 205,774 1,554,908
European Motor Holdings P.L.C. 118,325 527,343
* FII Group P.L.C. 41,166 5,049
Findel P.L.C. 181,122 1,554,466
First Choice Holidays P.L.C. 898,634 2,952,132
First Technology P.L.C. 165,655 870,879
Forminster P.L.C. 43,333 17,394
French Connection Group P.L.C. 284,510 1,429,006
Fuller, Smith & Turner P.L.C. Series A 28,927 473,934
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Future Network P.L.C. 730,823 1,148,523
Game Group P.L.C. 747,530 1,096,175
Games Workshop Group P.L.C. 69,683 518,581
* Gaskell P.L.C. 36,000 1,635
* Global Natural Energy P.L.C. 11,004 27,710
Greene King P.L.C. 157,536 3,527,502
Haynes Publishing Group P.L.C. 14,703 99,490
Headlam Group P.L.C. 194,400 1,447,438
* Highbury House Communications P.L.C. 439,166 15,999
HMV Group P.L.C. 82,598 341,181
Holidaybreak P.L.C. 99,292 1,151,189
* Homestyle Group P.L.C. 139,717 140,655
Hornby P.L.C. 77,295 276,243
House of Fraser P.L.C. 518,142 931,452
Huntsworth P.L.C. 1,360,648 490,184
Incisive Media P.L.C. 202,396 583,317
JJB Sports P.L.C. 448,783 1,478,748
John David Group P.L.C. 114,500 451,627
LA Fitness P.L.C. 53,738 209,891
Lambert Howarth Group P.L.C. 43,203 203,177
* Laura Ashley Holdings P.L.C. 2,505,661 467,893
* London Clubs International P.L.C. 499,923 1,128,421
Lookers P.L.C. 63,057 355,471
Luminar P.L.C. 167,243 1,569,672
Maiden Group P.L.C. 16,800 63,891
Mallett P.L.C. 24,837 115,750
# Manchester United P.L.C. 609,642 3,295,485
Manganese Bronze Holdings P.L.C. 32,184 121,479
Marchpole Holdings P.L.C. 271,422 113,792
Matalan P.L.C. 405,344 1,357,788
* Mayflower Corp. P.L.C. 550,636 0
McCarthy & Stone P.L.C. 236,392 2,448,228
Menzies (John) P.L.C. 103,775 1,046,416
Merchant Retail Group P.L.C. 185,666 659,344
Metal Bulletin P.L.C. 100,433 431,150
MFI Furniture Group P.L.C. 1,434,326 2,787,349
Mice Group P.L.C. 174,886 87,760
Millennium and Copthorne Hotels P.L.C. 80,633 521,555
* Monsoon P.L.C. 71,000 407,443
Moss Brothers Group P.L.C. 163,400 311,751
Mothercare P.L.C. 139,350 713,621
* Music Choice Europe P.L.C. 33,796 5,608
* MyTravel Group P.L.C. Series A 628,934 56,880
Newcastle United P.L.C. 198,896 158,639
Next Fifteen Communtications P.L.C. 25,000 26,655
Northamber P.L.C. 75,888 125,590
* NXT P.L.C. 125,976 156,291
Ottakar's P.L.C. 34,693 170,032
Owen (H.R.) P.L.C. 46,993 156,479
* Pace Micro Technology P.L.C. 428,871 473,544
* Partridge Fine Arts P.L.C. 58,000 67,450
Pendragon P.L.C. 308,482 1,654,758
Photo-Me International P.L.C. 850,594 1,387,491
* Pittards P.L.C. 60,985 22,717
Portmeirion Group P.L.C. 22,856 66,852
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* Pressac P.L.C. 78,129 1,065
* QXL Ricardo P.L.C. 130 6,967
Redrow P.L.C. 364,678 2,642,620
Reg Vardy P.L.C. 112,005 1,000,599
* Regent Inns P.L.C. 247,095 345,725
# Sanctuary Group P.L.C. 779,911 569,985
Scottish Radio Holdings P.L.C. 75,876 1,203,500
SCS Upholstery P.L.C. 66,745 411,865
Sinclair (William) Holdings P.L.C. 53,000 50,216
Sirdar P.L.C. 69,754 52,086
SMG P.L.C. 574,831 950,986
Smith (WH) P.L.C. 271,915 1,767,974
Southampton Leisure Holdings P.L.C. 19,615 9,980
* Sportech P.L.C. 846,974 138,462
St. Ives P.L.C. 224,249 1,469,682
Stanley Leisure P.L.C. 237,264 2,350,129
* Sterling Publishing Group P.L.C. 75,298 10,228
Stylo P.L.C. 64,096 76,393
T&F Informa Group P.L.C. 355,029 2,629,305
Taylor Nelson AGB P.L.C. 109,000 425,537
Ted Baker P.L.C. 82,767 704,587
The Peacock Group P.L.C. 250,589 1,083,406
* The Television Corp. P.L.C. 86,861 117,422
* Toad Group P.L.C. 85,507 16,049
Topps Tiles P.L.C. 491,811 1,698,553
* Torotrak P.L.C. 246,442 298,372
* Tottenham Hotspur P.L.C. 150,000 84,257
Ulster Television, Ltd. 115,602 945,295
Victoria P.L.C. 12,000 45,119
Vitec Group P.L.C. 80,367 439,247
Wagon P.L.C. 116,757 353,648
Wembley P.L.C. 61,550 866,390
Westbury P.L.C. 263,421 2,222,358
Wetherspoon (J.D.) P.L.C. 412,658 2,080,433
Wilmington Group P.L.C. 143,376 376,239
Wilson Bowden P.L.C. 7,000 144,990
Woolworths Group P.L.C. 3,110,645 1,978,314
Wyevale Garden Centres P.L.C. 114,526 1,050,556
----------------
Total Consumer Discretionary
(Cost $80,612,238) 103,506,457
----------------
Financials -- (13.7%)
Aberdeen Asset Management P.L.C. 420,124 896,433
Atrium Underwriting P.L.C. 88,040 343,837
Aviva P.L.C. 102,230 1,143,771
* Bradstock Group P.L.C. 5,200 4,158
Brewin Dolphin Holdings P.L.C. 378,661 745,501
Britannic P.L.C. 294,095 2,729,555
Brixton P.L.C. 497,280 3,325,792
Capital & Regional P.L.C. 167,410 2,370,800
Chesnara P.L.C. 92,900 222,859
* CLS Holdings P.L.C. 180,364 1,511,133
Collins Stewart Tullett P.L.C. 297,402 2,280,252
Countrywide P.L.C. 185,800 902,712
Cox Insurance Holdings P.L.C. 609,714 1,025,615
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Daejan Holdings P.L.C. 31,808 1,610,743
Derwent Valley Holdings P.L.C. 120,874 2,522,168
Development Securities P.L.C. 57,390 493,656
Domestic & General Group P.L.C. 82,529 1,108,966
DTZ Holdings P.L.C. 114,500 453,138
* Egg P.L.C. 446,600 896,278
Freeport P.L.C. 60,253 456,712
Grainger Trust P.L.C. 250,786 1,813,785
Great Portland Estates P.L.C. 307,973 2,016,240
Guiness Peat Group P.L.C. 1,251,349 1,590,867
* Hampton Trust P.L.C. 232,050 5,798
Hardy Underwriting Group P.L.C. 46,683 181,191
* Hawtin P.L.C. 196,500 42,001
Helical Bar P.L.C. 28,750 694,230
Highway Insurance Holdings P.L.C. 467,933 357,529
Hiscox P.L.C. 706,541 2,153,841
Hitachi Capital (UK) P.L.C. 124,239 563,750
ISIS Asset Management P.L.C. 268,751 1,129,457
Jardine Lloyd Thompson Group P.L.C. 205,205 1,303,256
Kensington Group P.L.C. 98,187 975,479
Kiln P.L.C. 383,129 623,478
London Merchant Securities P.L.C. 731,745 3,048,412
London Scottish Bank P.L.C. 325,260 659,019
* Marylebone Warwick Balfour Group P.L.C. 239,501 444,802
McKay Securities P.L.C. 97,232 460,780
Minerva P.L.C. 266,135 1,250,160
Mucklow (A & J) Group P.L.C. 175,000 1,139,668
Paragon Group of Companies P.L.C. 153,200 1,136,645
Park Group P.L.C. 291,600 145,505
Pillar Property P.L.C. 171,938 2,610,243
Primary Health Properties P.L.C. 23,784 127,559
Quintain Estates & Development P.L.C. 159,407 1,568,310
* Rensburg Sheppards P.L.C. 37,158 357,264
Rugby Estates P.L.C. 15,328 87,053
Rutland Trust P.L.C. 174,255 142,532
S & U P.L.C. 21,140 202,720
Savills P.L.C. 127,846 1,582,433
Secure Trust Group P.L.C. 29,802 220,867
Shaftesbury P.L.C. 327,189 2,184,433
Shore Capital Group P.L.C. 504,863 350,454
Smith (James) Estates P.L.C. 17,524 146,893
St. Modwen Properties P.L.C. 228,607 1,730,665
Stanley (Charles) Group P.L.C. 86,800 404,496
Tops Estates P.L.C. 116,033 1,074,194
Town Centre Securities (New) P.L.C. 142,137 835,025
Unite Group P.L.C. 254,029 1,312,616
Warner Estate Holdings P.L.C. 95,471 997,289
Workspace Group P.L.C. 411,093 1,771,314
----------------
Total Financials
(Cost $43,635,352) 64,486,332
----------------
Information Technology -- (9.5%)
Abacus Group P.L.C. 105,130 351,143
Acal P.L.C. 60,982 350,339
Alphameric P.L.C. 254,907 366,043
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* Alterian P.L.C. 68,403 131,318
Amstrad P.L.C. 149,652 355,659
* Anite Group P.L.C. 804,568 922,664
* ARC International P.L.C. 330,444 218,116
Arm Holdings P.L.C. 127,000 249,948
* Autonomy Corp. P.L.C. 213,837 973,139
Aveva Group P.L.C. 50,171 674,413
Axon Group P.L.C. 88,403 321,911
* Baltimore Technologies P.L.C. 485 15,187
* Bede P.L.C. 135,978 84,681
CML Microsystems P.L.C. 28,361 154,446
Comino Group P.L.C. 30,924 133,149
Compel Group P.L.C. 75,752 125,257
Computacenter P.L.C. 452,614 2,037,832
Deltron Electronics P.L.C. 90,964 98,954
Detica Group P.L.C. 49,413 685,808
Dicom Group P.L.C. 47,661 775,306
* Dimension Data Holdings P.L.C. 939,000 556,308
Diploma P.L.C. 49,895 615,337
* Easynet Group P.L.C. 281,185 393,720
* Easyscreen P.L.C. 72,275 22,492
* Eidos P.L.C. 200,222 204,162
Electronic Data Processing P.L.C. 55,200 77,058
* Eurodis Electron P.L.C. 2,118,657 45,008
* Fibernet Group P.L.C. 142,341 224,845
Filtronic P.L.C. 164,131 588,972
* Financial Objects P.L.C. 17,000 13,428
GB Group P.L.C. 250,000 181,267
* Gresham Computing P.L.C. 112,777 268,501
Halma P.L.C. 866,782 2,297,578
ICM Computer Group P.L.C. 45,983 271,446
* Imagination Technologies Group P.L.C. 443,056 516,744
* Intec Telecom Systems P.L.C. 654,113 718,792
Intelek P.L.C. 99,880 19,218
* Itouch International P.L.C. 882,895 690,997
* Kalamazoo Computer Group P.L.C. 56,120 1,785
* Kewill Systems P.L.C. 179,299 211,545
* Knowledge Support Systems Group P.L.C. 25,000 0
Laird Group P.L.C. 353,674 1,995,331
* Lastminute.com P.L.C. 504,477 1,515,349
Macro 4 P.L.C. 45,932 230,031
* Microgen P.L.C. 238,323 345,541
Morse P.L.C. 277,169 380,108
MTL Instruments Group P.L.C. 24,678 138,684
* Ncipher P.L.C. 59,092 235,900
* Northgate Information Solutions P.L.C. 1,140,585 1,439,008
* NSB Retail P.L.C. 869,182 402,751
Oxford Instruments P.L.C. 111,061 481,927
Parity Group P.L.C. 381,072 53,408
Planit Holdings P.L.C. 235,000 98,418
* Plasmon P.L.C. 135,733 279,291
Premier Farnell P.L.C. 847,510 2,498,655
Psion P.L.C. 881,202 981,518
* QA P.L.C. 158,950 9,129
Renishaw P.L.C. 188,734 2,365,695
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* Retail Decisions P.L.C. 562,639 286,629
RM P.L.C. 201,697 658,955
Rotork P.L.C. 200,116 1,804,002
Roxboro Group P.L.C. 59,608 430,444
Royalblue Group P.L.C. 68,710 644,312
* Scipher P.L.C. 34,563 707
* SDL P.L.C. 95,883 210,362
Spectris P.L.C. 292,280 2,626,165
* Spirent P.L.C. 1,993,034 1,677,579
* Superscape P.L.C. 302,847 193,214
* Surfcontrol P.L.C. 68,696 634,998
* Tadpole Technology P.L.C. 427,207 39,862
* Telecity P.L.C. 599,148 182,457
Telemetrix P.L.C. 177,320 279,938
* Telspec P.L.C. 25,000 10,352
* The Innovation Group P.L.C. 956,444 578,179
Trace Computers P.L.C. 33,552 49,643
TT Electronics P.L.C. 328,134 983,662
* TTP Communications P.L.C. 483,547 378,119
Vega Group P.L.C. 44,012 154,337
Vislink P.L.C. 124,752 66,094
* Wolfson Microelectronics P.L.C. 261,475 739,864
Workplace Systems International P.L.C. 238,739 61,820
XAAR P.L.C. 143,837 558,217
XANSA P.L.C. 714,984 1,194,812
XKO Group P.L.C. 30,304 42,728
----------------
Total Information Technology
(Cost $43,357,563) 44,882,711
----------------
Consumer Staples -- (6.0%)
* Anglo Eastern Plantations P.L.C. 87,249 292,302
Arla Foods UK P.L.C. 1,658,226 1,925,635
Barr (A.G.) P.L.C. 43,000 763,799
Belhaven Brewery Group P.L.C. 68,797 604,826
Body Shop International P.L.C. 583,233 2,332,806
Cranswick P.L.C. 97,180 1,054,902
Dairy Crest Group P.L.C. 291,948 2,531,754
Devro P.L.C. 344,712 765,102
Greggs P.L.C. 28,256 2,424,220
Hardys & Hansons P.L.C. 48,000 561,771
Kleeneze P.L.C. 109,256 216,996
Linton Park P.L.C. 39,000 307,815
McBride P.L.C. 382,113 1,049,918
Nichols P.L.C. 66,550 230,300
Northern Foods P.L.C. 1,114,287 3,176,138
PZ Cuzzons P.L.C. 40,541 965,935
Richmond Foods P.L.C. 40,237 460,269
Robert Wiseman Dairies P.L.C. 199,037 902,498
Somerfield P.L.C. 722,361 2,589,845
Swallowfield P.L.C. 15,000 20,238
Thorntons P.L.C. 158,000 372,304
Uniq P.L.C. 263,207 718,498
Whittard of Chelsea P.L.C. 37,487 62,327
Wolverhampton & Dudley Breweries P.L.C. 178,160 3,587,889
Young & Co's Brewery P.L.C. 10,000 257,090
Young & Co's Brewery P.L.C. Class A 5,234 172,448
----------------
Total Consumer Staples
(Cost $19,067,077) 28,347,625
----------------
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Energy -- (4.6%)
Abbot Group P.L.C. 406,292 1,613,388
* Burren Energy P.L.C. 119,815 1,154,069
* Dana Petroleum P.L.C. 181,375 1,693,784
* Edinburgh Oil & Gas P.L.C. 75,430 432,188
* Emerald Energy P.L.C. 72,830 201,632
Expro International Group P.L.C. 163,241 1,186,562
Fisher (James) & Sons P.L.C. 100,909 567,523
* Fortune Oil P.L.C. 3,248,130 337,854
Hunting P.L.C. 230,567 981,425
JKX Oil and Gas P.L.C. 264,746 662,752
KBC Advanced Technologies P.L.C. 68,734 46,836
* Melrose Resources P.L.C. 163,459 728,069
Paladin Resources P.L.C. 786,415 2,655,019
* Premier Oil P.L.C. 189,684 2,026,870
* Soco International P.L.C. 167,005 1,485,770
Sondex P.L.C. 118,851 433,006
Tullow Oil P.L.C. 500,218 1,520,214
* Venture Production P.L.C. 280,582 1,558,297
Wood Group (John) P.L.C. 881,804 2,348,582
----------------
Total Energy
(Cost $15,579,305) 21,633,840
----------------
Materials -- (4.1%)
* Amberley Group P.L.C. 200,000 39,980
Anglo Pacific Group P.L.C. 209,785 363,671
* API Group P.L.C. 64,073 159,114
* Applied Optical Technologies P.L.C. 117,822 63,898
Baggeridge Brick P.L.C. 98,000 321,351
British Polythene Industries P.L.C. 56,740 383,400
British Vita P.L.C. 425,448 2,762,055
Carclo P.L.C. 114,684 127,890
Chamberlin & Hill P.L.C. 18,000 64,860
Chapelthorpe P.L.C. 656,803 190,926
Coral Products P.L.C. 50,000 22,918
Croda International P.L.C. 295,550 2,022,315
Cropper (James) P.L.C. 22,000 85,895
Delta P.L.C. 289,145 623,988
Dyson Group P.L.C. 66,003 426,060
* Elementis P.L.C. 955,009 817,588
Ennstone P.L.C. 638,996 495,832
* European Colour P.L.C. 82,090 24,261
* Greenwich Resources P.L.C. 438,664 22,127
Hill & Smith Holdings P.L.C. 138,474 437,573
Inveresk P.L.C. 150,000 38,009
* Macfarlane Group P.L.C. 228,287 139,795
Marshalls P.L.C. 325,633 1,722,324
Metalrax Group P.L.C. 358,740 509,587
Porvair P.L.C. 81,246 148,847
RPC Group P.L.C. 215,312 992,281
Scapa Group P.L.C. 319,593 144,973
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Smith (DS) Holdings P.L.C. 901,625 2,525,660
Treatt P.L.C. 14,957 65,590
U.K. Coal P.L.C. 322,996 734,238
UCM Group P.L.C. 41,980 56,241
Victrex P.L.C. 190,262 1,506,893
Wellington Holdings P.L.C. 35,979 117,025
* Yorkshire Group P.L.C. 82,504 8,620
Yule Catto & Co. P.L.C. 278,083 1,230,219
Zotefoams P.L.C. 62,000 99,678
----------------
Total Materials
(Cost $16,273,683) 19,495,682
----------------
Health Care -- (3.9%)
* Acambis P.L.C. 159,373 629,436
* Alizyme P.L.C. 322,667 522,978
* Antisoma P.L.C. 533,154 181,369
* Axis-Shield P.L.C. 94,475 482,656
Bespak P.L.C. 59,782 550,846
* Biocompatibles International P.L.C. 106,509 373,238
* Bioquell P.L.C. 50,194 102,784
Biotrace International P.L.C. 87,657 137,207
* Cambridge Antibody Technology Group P.L.C. 84,453 935,624
Care UK P.L.C. 121,100 927,855
Corin Group P.L.C. 73,178 474,580
Dechra Pharmaceuticals P.L.C. 111,880 412,377
Ferraris Group P.L.C. 63,540 104,745
* Genetix Group P.L.C. 151,246 140,538
Goldshield Group P.L.C. 79,169 379,164
* Gyrus Group P.L.C. 191,527 911,834
Huntleigh Technology P.L.C. 90,597 584,980
Isoft Group P.L.C. 480,414 3,499,273
Isotron P.L.C. 50,325 538,903
* M.L. Laboratories P.L.C. 377,657 128,476
* Medical Solutions P.L.C. 140,731 16,908
* Medisys P.L.C. 586,814 30,701
Nestor Healthcare Group P.L.C. 200,863 505,914
* Oxford Biomedica, Ltd. 766,802 426,329
* Pharmagene P.L.C. 160,000 69,385
* Phytopharm P.L.C. 111,349 238,747
* Protherics P.L.C. 557,510 474,846
* Provalis P.L.C. 796,584 70,041
* Shiloh P.L.C. 14,500 26,591
* Skyepharma P.L.C. 1,317,991 1,291,690
SSL International P.L.C. 448,464 2,275,024
Sygen International P.L.C. 616,770 418,597
* Vernalis P.L.C. 334,552 405,063
* Weston Medical Group P.L.C. 50,200 2,280
* Xenova Group P.L.C. 607,931 48,083
----------------
Total Health Care
(Cost $18,206,035) 18,319,062
----------------
Other -- (1.3%)
* Argonaut Games, Ltd. 100,000 5,678
Ashtenne Holdings P.L.C. 51,168 302,189
* Bombshell P.L.C. 932 0
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Braemar Seascope Group P.L.C. 45,450 324,211
Broadcastle P.L.C. 74,468 133,390
Carr's Milling Industries P.L.C. 19,000 190,425
* Clinical Computing P.L.C. 46,666 14,335
Creston P.L.C. 31,812 77,782
Dewhurst P.L.C. 9,000 32,006
Dewhurst P.L.C. Class A Non-Voting 15,500 46,347
DRS Data & Research Services P.L.C. 26,825 15,586
* Durlacher Corp. P.L.C. 15,272 29,520
Erinaceous Group P.L.C. 205,293 998,282
* Ferguson International Holdings P.L.C. 89,105 38,859
* Garton Engineering P.L.C. 10,248 0
IFX Group P.L.C. 34,486 68,630
* IMS Group P.L.C. 75,000 6,133
Independent Media Distribution P.L.C. 21,621 17,329
* Industrial & Commercial Holdings P.L.C. 5,000 136
Lupus Capital P.L.C. 429,989 101,575
* Netstore P.L.C. 143,737 113,725
* New Avesco P.L.C. 29,998 53,908
* Osmetech P.L.C. 669,354 28,242
* Planestation Group P.L.C. 76,551 12,867
* Primback Units 135,600 0
* Probus Estates P.L.C. 83,333 227
Radamec Group P.L.C. 35,000 18,376
Ransom (William) & Son P.L.C. 30,000 24,733
Reed Health Group P.L.C. 155,333 116,306
* Richmond Oil & Gas P.L.C. 220,000 0
* RMS Communications P.L.C. 15,000 0
* Safeland P.L.C. 25,000 32,981
* Seashell II P.L.C. 932 0
* Secure Ventures (No. 1) P.L.C. 62,500 0
* Secure Ventures (No. 2) P.L.C. 62,500 2,839
* Secure Ventures (No. 3) P.L.C. 62,500 0
* Secure Ventures (No. 4) P.L.C. 62,500 2,555
* Secure Ventures (No. 5) P.L.C. 62,500 2,555
* Secure Ventures (No. 6) P.L.C. 62,500 0
* Secure Ventures (No. 7) P.L.C. 62,500 0
* Servicepower Technologies P.L.C. 150,000 70,808
* SFI Holdings, Ltd. Series A 26,713 15,047
Singer & Friedlander Group P.L.C. 391,896 2,221,226
* Tandem Group P.L.C. 327,365 0
* Terence Chapman Group P.L.C. 62,500 360
Tex Holdings P.L.C. 14,000 26,791
* The Wireless Group P.L.C. 189,923 308,171
* Theratase P.L.C. 80,563 53,351
* Waterdorm P.L.C. 105,000 0
Waterman P.L.C. 74,473 133,453
Watermark Group P.L.C. 68,660 164,240
Windsor P.L.C. 149,435 139,289
* Wraith P.L.C. 1,441 2,226
----------------
Total Other
(Cost $6,482,590) 5,946,689
----------------
12
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Telecommunication Services -- (1.2%)
* # Colt Telecom Group P.L.C. 2,574,360 2,431,060
Kingston Communications P.L.C. 850,036 1,044,854
* Redstone P.L.C. 376,324 43,751
Telecom Plus P.L.C. 125,297 513,882
* Thus Group P.L.C. 3,113,150 792,366
* Vanco P.L.C. 145,748 892,124
----------------
Total Telecommunication Services 5,718,037
(Cost $5,706,353) ----------------
Utilities -- (0.6%)
AWG P.L.C. 16,000 260,329
Bristol Water Group P.L.C. 35,257 437,926
Dee Valley Group P.L.C. 4,214 71,152
East Surrey Holdings P.L.C. 234,414 2,261,300
Hydro International P.L.C. 27,669 44,084
----------------
Total Utilities 3,074,791
(Cost $1,610,319) ----------------
TOTAL COMMON STOCKS
(Cost $349,854,173) 445,626,280
----------------
INVESTMENT IN CURRENCY -- (1.4%)
* British Pound Sterling 6,391,026
----------------
(Cost $6,438,398)
EMU -- (0.0%)
INVESTMENT IN CURRENCY
* Euro Currency 119
----------------
TOTAL EMU
(Cost $101) 119
----------------
RIGHTS/WARRANTS -- (0.0%)
Other -- (0.0%)
* Letter of Entitlements -- Audemars Piguet 90,242 0
* Planestation Group P.L.C. Warrants 01/13/11 229,653 209
* Plasmon P.L.C. Subscription Shares 18,509 0
* SFI Holdings, Ltd. Litigation Certificate 26,713 0
* Xenova Group P.L.C. Warrants 12/31/08 56,991 2,459
----------------
Total Other
(Cost $4,781) 2,668
----------------
TOTAL RIGHTS/WARRANTS
(Cost $4,781) 2,668
----------------
TOTAL UNITED KINGDOM
(Cost $356,297,453) 452,020,093
----------------
FACE
AMOUNT VALUE+
---------------- ----------------
(000)
TEMPORARY CASH INVESTMENTS -- (4.2%)
^ Repurchase Agreement, Deutsche Bank Securities 2.96%, 06/01/05
(Collateralized by $10,268,130 U.S. TIPS 1.875%, 07/15/13, valued
at $11,083,612) to be repurchased at $10,866,286
(Cost $10,865,393) $ 10,865 10,865,393
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $9,352,000 FNMA Notes 2.95%, 11/14/07, valued
at $9,340,310) to be repurchased at $9,202,739 (Cost $9,202,000) 9,202 9,202,000
----------------
20,067,393
----------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $20,067,393) 20,067,393
----------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $376,364,846) $ 472,087,486
================
13
----------
+ Securities have been fair valued. See Note B to Financial
Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
14
THE CONTINENTAL SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
[Enlarge/Download Table]
SHARES VALUE+
---------------- ----------------
FRANCE -- (11.6%)
COMMON STOCKS -- (11.6%)
* Actielec Technologies 19,137 $ 126,872
Affine 1,920 196,096
* Alain Afflelou SA 21,488 666,487
Ales Groupe SA 11,349 188,228
Altedia SA 2,800 64,311
* Alten SA 53,456 1,354,670
* Altran Technologies SA 182,539 1,615,645
Apem SA 1,000 75,081
April Group SA 31,201 1,044,797
* Archos 8,679 159,456
Ares (Groupe) SA 10,632 74,283
Arkopharma 18,720 336,736
Assystem Brime SA 7,580 169,013
Aubay SA 16,825 89,418
# Audika SA 5,003 418,175
* Baccarat SA 1,090 174,152
Bacou-Dalloz 8,306 685,093
Bains de Mer et du Cercle des Etrangers a Monaco 4,615 2,782,721
Banque Tarneaud SA 1,000 168,110
# Beneteau SA 19,638 1,519,659
* Bigben Interactive 2,100 9,978
Boiron SA 16,659 407,395
Boizel Chanoine Champagne SA 600 48,173
Bonduelle SA 6,723 538,192
# Bongrain SA 13,784 849,301
* Bricorama SA 3,717 235,016
Brioche Pasquier SA 2,888 191,030
Buffalo Grill SA 1,028 22,777
* Bull SA 1,122,656 910,461
Burelle SA 4,030 522,852
* Business Objects SA 16,500 473,797
* BVRP SA 7,419 170,754
Camaieu SA 4,988 599,270
# Canal Plus SA 169,452 1,363,644
# Carbone Lorraine 40,631 1,850,526
* CBo Territoria 28,320 101,063
Cegedim SA 6,902 556,832
# CEGID SA 18,000 643,097
* Cesar SA 75,259 111,106
CFF Recycling SA 84,608 2,369,269
* Cibox Inter@ctive SA 135,470 73,138
# Cie Financiere Pour La Location D'Immeubles Industriels & Commerciaux SA 13,013 806,092
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Clarins SA 8,798 540,893
* # Club Mediterranee SA 33,732 1,618,094
Consortium International de Diffusion et de Representation Sante 600 5,419
* CS Communication et Systemes 4,983 171,855
* Cybergun 2,121 34,783
Damartex SA 22,900 855,275
* Dane-Elec Memory SA 27,622 159,691
Delachaux SA 1,300 192,154
Deveaux SA 1,040 101,677
Didot-Bottin 1,620 135,558
* DMC (Dollfus Mieg et Cie) 9,630 52,266
* Dynaction SA 10,660 217,644
Electricite de Strasbourg 23,784 3,161,887
# Elior 184,391 2,170,607
* Encres Dubuit SA 4,176 46,972
# Esso SA 3,200 539,114
Etam Developpement SA 8,972 259,654
* Euraltech SA 11,700 21,537
* Euro Disney SCA 797,643 98,203
Evialis SA 1,200 44,783
Exel Industries SA 1,800 141,265
* Explosifs et de Produits Chimiques 524 217,397
Faurecia SA 6,500 487,505
# Fimalac SA 111,143 5,089,744
Fininfo SA 9,760 210,165
Fleury Michon SA 3,100 143,007
Foncia Groupe 8,220 199,151
Francois Freres (Tonnellerie) SA 3,150 93,622
* Gantois Series A 647 11,943
Gascogne SA 6,472 567,805
Gaumont 14,607 1,004,724
* GCI (Groupe Chatellier Industrie SA) 7,258 893
* Geci International 8,616 16,705
* # Generale de Geophysique SA 20,770 1,710,778
# Generale de Sante 55,413 1,261,857
Generale Location SA 9,000 272,839
* Geodis SA 4,379 464,317
Gevelot 3,584 241,803
GFI Informatique SA 77,855 463,597
# Gifi 4,678 172,696
* Ginger (Groupe Ingenierie Europe) 2,600 46,496
Grands Moulins de Strasbourg 110 64,310
# Groupe Bourbon SA 28,320 1,737,474
Groupe Crit 6,900 200,423
* Groupe Finuchem SA 5,120 81,591
* Groupe Flo SA 11,900 104,063
* Groupe Focal SA 1,400 13,725
Groupe Go Sport SA 2,207 174,200
Groupe Guillin SA 1,200 91,635
# Groupe Open SA 8,551 130,274
Groupe Steria 25,566 934,460
* Guerbet SA 1,700 184,111
# Guyenne et Gascogne SA 26,000 3,157,908
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Havas SA 62,300 368,158
* Hotels et Casinos de Deauville 2,055 1,016,070
Hyparlo SA 5,514 460,719
IDSUD 614 22,175
* IEC Professionnel Media 8,734 20,410
Iliad SA 36,238 1,278,244
* IMS International Metal Service SA 12,630 180,759
Industrielle et Financiere d'Entreprise SA 300 62,504
* # Infogrames Entertainment SA 210,581 328,304
# Ingenico SA 61,820 875,815
Ipsos SA 5,776 571,937
Kaufman et Broad SA 8,035 476,650
Lafuma SA 827 72,059
Laurent-Perrier 3,100 139,863
Lectra Systemes SA 23,092 115,265
# Lisi SA 7,827 479,128
* LVL Medical Groupe SA 15,338 104,691
# Manitou SA 44,368 1,640,023
Manutan International SA 4,700 219,614
* Marie Brizard & Roger International SA 1,198 127,617
* Matussiere et Forest SA 13,600 48,533
* Metaleurop SA 35,449 23,556
MGI Coutier SA 1,400 58,610
* MoneyLine 1,336 56,690
Montupet SA 32,450 724,260
Mr. Bricolage SA 6,600 130,618
Neopost SA 7,200 642,791
# Nexans 43,798 1,615,112
# Norbert Dentressangle 8,372 441,281
NRJ Group 10,819 222,708
* Oberthur Card Systems SA 53,640 438,375
* # Oeneo 31,265 48,092
* Orpea 19,650 798,447
* Otor SA 13,700 76,875
* Paris Orleans et Cie SA 2,832 706,541
Passat SA 3,843 55,049
* # Penauille Polyservices SA 10,200 96,311
Petit Forestier SA 3,043 119,697
Pierre & Vacances 7,596 767,767
Pinguely-Haulotte SA 25,000 289,576
# Plastic Omnium SA 30,846 811,867
Plastivaloire SA 1,700 48,275
Prosodie SA 5,183 118,513
# Provimi SA 30,782 657,706
PSB Industries SA 6,200 255,186
* Radiall SA 1,340 91,143
Remy Cointreau SA 32,945 1,390,255
Robertet SA 1,885 273,929
# Rodriguez Group SA 16,706 815,229
Rougier SA 2,040 171,860
* S.T. Dupont SA 3,800 17,886
Sabeton 13,500 206,043
Samse SA 4,400 730,676
Sasa Industries SA 1,000 36,338
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* Saveurs de France-Brossard 3,410 209,045
* # Scor SA 1,501,322 3,076,327
* SDR de Bretagne SA 3,305 124,747
# SEB SA Prime Fidelite 2002 10,950 1,124,798
# Sechilienne-Sidec 2,200 868,399
Securidev SA 1,500 23,965
Signaux Girod SA 600 53,200
# SILIC (Societe Immobiliere de Location pour L'industrie et le Commerce) 21,246 1,957,454
Skis Rossignol SA 41,668 970,865
Smoby SA 500 52,053
Societe du Louvre SA 14,513 2,106,951
Societe Industrielle D'Aviations Latecoere SA 11,038 488,403
Societe Pour L'Informatique Industrielle SA 2,250 111,671
Solving International SA 2,160 12,870
Somfy Interational SA 22,900 4,634,894
Sopra SA 7,618 397,996
# SR Teleperformance 90,928 2,678,600
Stallergenes Temp Trading Line SA 4,818 557,902
Ste Virbac SA 11,439 422,694
Stef-Tfe SA 2,171 291,109
Sucriere de Pithiviers-le-Vieil 1,825 1,201,002
* Sylis SA 9,782 62,217
Synergie SA 8,000 240,011
Taittinger SA 12,700 4,861,886
* Teamlog SA 6,457 21,904
Tessi SA 1,700 102,852
Touax (Touage Investissement SA) 10,378 263,104
Toupargel-Agrigel SA 6,200 248,162
Trigano SA 16,286 1,499,273
* # Ubi Soft Entertainment SA 29,740 1,333,183
Unilog SA 20,794 1,366,561
# Vallourec (Usines a Tubes de Lorraine Escaut et Vallourec Reunies) 31,700 7,340,336
* Valtech, La Defense 187,303 198,156
Viel et Compagnie 44,339 182,381
Vilmorin et Cie SA 2,349 423,613
VM Materiaux SA 600 80,963
Vranken Monopole 2,800 124,215
* XRT 67,181 100,634
Zodiac SA 14,964 727,285
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TOTAL COMMON STOCKS
(Cost $68,844,497) 116,970,796
----------------
RIGHTS/WARRANTS -- (0.0%)
* Air France Warrants 11/06/07 24,800 11,292
* Ales Groupe SA Warrants 03/23/09 316 2,994
* Ginger (Groupe Ingenierie Europe) Warrants 09/30/05 2,600 304
* Groupe Focal SA Warrants 02/21/10 466 0
* Groupe Open SA Warrants 10/21/06 1,000 898
* Oeneo Warrants 08/26/06 14,365 530
* Penauille Polyservices SA Rights 06/09 10,200 36,482
* Prosodie SA Warrants 10/28/06 900 332
* Ubi Soft Entertainment SA Warrants 05/14/06 4,100 3,027
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* Valtech, La Defense Warrants 07/29/05 20,000 246
----------------
TOTAL RIGHTS/WARRANTS
(Cost $63,013) 56,105
----------------
TOTAL -- FRANCE
(Cost $68,907,510) 117,026,901
----------------
SWITZERLAND -- (11.4%)
COMMON STOCKS -- (11.3%)
* 4M Technologies Holding SA 3,751 15,020
A. Hiestad Holding AG 1,005 803,245
* Actelion, Ltd. 19,108 1,936,374
AFG Arbonia-Forster Holding AG 2,702 736,873
Agie Charmilles Holding AG 3,402 273,736
Allreal Holding AG 10,278 919,648
Also Holding AG 569 173,438
Amazys Holding AG 4,091 230,505
Ascom Holding AG 55,915 861,765
Bachem AG 15,313 881,690
Baloise-Holding 98,089 5,121,833
Bank Coop AG 29,405 1,355,242
Bank Sarasin & Cie Series B, Basel 752 1,265,527
Banque Cantonale de Geneve 1,344 198,184
Banque Cantonale du Jura 450 128,764
Banque Cantonale Vaudoise 2,355 520,120
Banque Privee Edmond de Rothschild SA, Geneve 120 1,524,335
* Barry Callebaut AG 6,346 1,682,657
Basellandschaftliche Kantonalbank 600 473,982
Basler Kantonalbank 5,250 439,585
Batigroup Holding AG 11,298 152,092
Belimo Holdings 1,056 625,719
* Berna Biotech 92,109 674,161
Berner Kantonalbank 7,061 1,041,262
BHB Beteiligungs und Finanzgesellschaft 150 5,276
Bobst Group SA 21,540 849,401
Bossard Holding AG 6,699 396,686
* Bucher Industries AG 16,775 1,068,215
BVZ (Brig Visp Zermatt) Holding AG 370 80,019
Caisse d'Epargne Cantonale Vaudoise, Lausanne 1,002 892,349
Calida Holding AG 396 123,016
* Card Guard AG 15,187 52,375
Carlo Gavazzi Holding AG 910 80,180
Charles Voegele Holding AG 22,160 1,379,368
Cie Financiere Tradition 5,202 466,063
Conzzeta Holdings AG 1,415 1,585,015
* COS Computer Systems AG 3,712 112,449
* Crealogix Holding AG 491 27,390
* Crossair AG, Basel 13,517 96,353
Daetwyler Holding AG, Atldorf 348 838,077
Edipresse SA, Lausanne 750 375,913
EGL (Elektrizitaets-Gesellschaft Laufenberg) AG, Laufenberg 3,207 2,104,880
Eichhof Holding AG 188 192,678
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* ELMA Electronic AG 472 96,443
* Emmi AG 1,670 153,038
Ems-Chemie Holding AG 16,276 1,413,347
Energie Electrique du Simplon SA 350 84,104
Energiedienst Holding AG 8,265 2,681,187
Escor Casino & Entertainment AG 2,010 47,475
Feintol International Holding AG 896 190,331
* Fischer (Georg) AG, Schaffhausen 8,458 2,507,314
* Flughafen Zuerich AG 4,463 625,408
* Forbo Holding AG, Eglisau 1,100 209,685
Fuchs Petrolub AG Oel & Chemie Non-Voting 6,003 588,784
Galenica Holding, Ltd. AG, Bern 12,488 2,056,241
Generale d'Affichage 4,059 585,439
Generali (Switzerland) Holdings, Adliswil 2,043 516,025
* Getaz Romang Holding SA 828 292,121
* Golay-Buchel Holding SA, Lausanne 40 38,255
Gornergrat Monte Rasa-Bahnen Zermatt 70 56,070
Gurit-Heberlein AG 1,125 784,234
Helvetia Patria Holding 6,131 918,087
Industrieholding Cham AG, Cham 950 228,323
* Interroll-Holding SA 970 144,529
* Isotis SA 195,512 274,311
Jelmoli Holding AG 1,521 2,065,858
Jelmoli Holding AG, Zuerich (Namen) 2,835 764,871
Kaba Holding AG 5,543 1,489,630
* Kardex AG, Zuerich 12,205 410,881
* Komax Holding AG 5,285 404,112
Kudelski SA 77,568 2,730,391
* Kuoni Reisen Holding AG 6,937 2,751,468
* Leica Geosystems Holdings AG 5,448 1,625,478
* Lem Holdings AG, Lyss 578 203,763
* Logitech International SA 22,086 1,315,243
Luzerner Kantonalbank AG 5,601 1,076,506
* Metraux Services SA 501 63,387
* Micronas Semi 78,808 2,952,423
* Mikron Holding AG, Biel 23,835 276,342
* Mobilezone Holding AG 38,456 153,253
* Moevenpick-Holding, Zuerich 1,320 307,478
* Nextrom Holding SA 1,409 15,497
Orell Fussli Graphische Betriebe Ag, Zuerich 3,841 458,370
OZ Holding AG 7,479 440,025
* Parco Industriale e Immobiliare SA 600 1,682
Phoenix Mecano AG, Stein am Rhein 2,749 674,150
Phonak Holding AG 119,848 4,394,238
* PSP Swiss Property AG 83,303 3,675,148
Publicitas Holding SA, Lausanne 2,762 805,008
Rieters Holdings AG 11,206 3,037,018
SAIA-Burgess Electronics AG 1,191 663,186
* Sarna Kunststoff Holding AG 4,991 505,367
* Saurer AG 36,702 2,090,847
Schaffner Holding AG 1,584 201,249
* Schweiter Technology AG 1,877 319,978
Schweizerhall Holding AG 5,725 435,954
Schweizerische National Versicherungs Gesellschaft 1,526 769,118
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* SEZ Holding AG 34,429 854,434
SIA Abrasives Holding AG 1,865 444,582
Siegfried Holding AG 8,560 1,022,196
Sig Holding AG 14,026 2,982,211
* Sihl 150 360
* Sika Finanz AG, Baar 4,967 3,120,035
Sopracenerina 2,409 531,242
St. Galler Kantonalbank 4,870 1,239,981
Sulzer AG, Winterthur 1,832 761,887
* Swiss Prime Site AG 29,315 1,403,142
* Swissfirst AG 614 24,590
* Swissfirst AG 5,049 202,300
* Swisslog Holding AG 337,083 302,163
* Swissquote Group Holding SA 1,354 109,550
Tamedia AG 5,300 482,923
Tecan Group AG 29,876 853,266
* Temenos Group AG 35,359 197,565
* # Tornos Holding SA 32,553 221,463
* UMS Schweizerische Metallwerke Holding AG, Bern 14,055 148,561
# Unaxis Holding AG 26,214 3,678,214
Unilabs SA 21,665 641,066
* Valiant Holding AG 38,011 3,348,538
* Valora Holding AG 7,856 1,723,827
Vaudoise Assurances Holding, Lausanne 67 123,783
Villars Holding SA, Fribourg 150 48,060
* Von Roll Holding AG, Gerlafingen 247,719 436,869
Vontobel Holdings AG 58,345 1,261,393
Walliser Kantonalbank 1,120 358,999
* Wmh Walter Meier Holding AG, Zuerich 4,041 238,945
Zehnder Holding AG 655 793,800
Zschokke Holding SA, Geneve 481 257,405
* Zueblin Holding AG 36,765 312,269
Zuger Kantonalbank 590 1,540,877
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TOTAL COMMON STOCKS
(Cost $91,041,286) 113,996,626
----------------
PREFERRED STOCKS -- (0.1%)
Fuchs Petrolub AG Oel & Chemie 6,003 556,142
----------------
(Cost $266,229)
INVESTMENT IN CURRENCY -- (0.0%)
* Swiss Francs 524,235
----------------
(Cost $530,393)
TOTAL -- SWITZERLAND
(Cost $91,837,908) 115,077,003
----------------
GERMANY -- (9.6%)
COMMON STOCKS -- (9.6%)
* 3U Telecom AG 69,676 94,263
A.S. Creation Tapeton AG 2,900 93,155
* AAP Implantate AG 14,384 29,838
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Aareal Bank AG 46,391 1,346,607
* Acg AG Fuer Chipkarten und Informationssysteme 16,940 11,888
Ackermann-Goeggingen AG 8,100 165,185
* AC-Service AG 4,300 28,069
* Adlink Internet Media AG 42,605 182,393
* Adva AG Optical Networking 39,883 211,485
* Agrob AG 5,800 52,696
* # Aixtron AG 74,124 241,167
Amadeus Fire AG 4,900 36,423
Andreae-Noris Zahn AG, Anzag 27,200 1,170,606
* Articon Integralis AG 14,031 51,883
Atoss Software AG 3,700 40,898
* Augusta Technologie AG 1,174 8,096
Ava Allgemeine Handelsgesellschaft der Verbraucher AG 35,814 2,027,959
* AWD Holding AG 52,932 2,085,776
* Baader Wertpapier Handelsbank AG 27,351 150,998
Balda AG 40,277 393,562
* Basler AG 3,200 55,996
# Beate Uhse AG 56,241 537,938
# Bechtle AG 25,498 618,771
* Berliner Elektro Holding AG 20,841 212,909
Bertrandt AG 9,850 114,515
* Beta Systems Software AG 2,850 48,055
Bien-Haus AG 2,400 24,580
Bilfinger & Berger Bau AG 50,828 2,412,883
* Biolitec AG 8,000 27,322
Biotest AG 7,933 178,425
* BKN International AG 17,600 126,816
* BMP AG 10,600 24,865
* Boewe Systec AG 7,866 419,480
* Borussia Dortmund GMBH & Co. KGAA 21,650 64,557
Bremer Energiekonto AG 14,700 28,067
* Broadnet Mediascape Communications AG 20,624 66,015
* CBB Holding AG 102,602 23,989
* Ce Consumer Electrnic AG 21,600 23,047
* Ceag AG 20,670 141,300
* Cenit AG Systemhaus 3,500 78,422
* Centrotec Hochleistungskunststoffe AG 7,500 199,486
Cewe Color Holding AG 7,987 292,415
* CNV Vermoegensverwaltungs AG 6,625 88,261
Comdirect Bank AG 120,666 936,602
* Computec Media AG 4,650 39,194
Computerlinks AG 5,700 108,966
* Condomi AG 1,800 2,040
* CTS Eventim AG 14,800 553,598
Curanum AG 21,500 107,200
* D. Logistics AG 37,750 79,799
# DAB Bank AG 70,271 500,731
Data Modul AG 3,194 54,210
* DEAG Deutsche Entertainment AG 10,500 28,252
Deutsche Euroshop AG 20,091 1,056,044
* Deutsche Steinzeug Cremer & Breuer AG 87,200 52,539
* Deutz AG 101,512 466,704
* Dierig Holding AG 10,500 147,298
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Dis Deutscher Industrie Service AG 18,524 792,658
Douglas Holding AG 71,252 2,418,245
Dr. Hoenle AG 8,769 98,137
* # Drillisch AG 38,437 177,040
* Duerr Beteiligungs AG 17,593 301,214
DVB Bank AG 7,124 965,526
* Easy Software AG 8,966 42,112
* Eckert and Ziegler Strahlen -- und Medizintechnik AG 3,000 39,809
* Elexis AG 8,600 126,832
Elmos Semiconductor AG 23,218 370,970
ElreingKlinger AG 3,000 221,514
* # Em.TV AG 18,773 117,935
* Emprise Management Consulting AG 8,950 17,552
* EMS New Media AG 18,126 35,897
* Epcos AG 59,882 766,599
Erlus Baustoffwerke AG 297 136,182
* Escada AG 20,520 475,636
* Euwax AG 536 17,686
* Evotec Biosystems AG 67,521 232,174
Feilmann AG 29,181 1,919,633
FJA AG 9,889 35,104
Fortec Elektronik AG 1,400 52,891
* Freenet.De AG 50,400 1,273,453
Fuchs Petrolub AG Oel & Chemie 6,693 637,404
* Gerry Weber International AG 10,945 134,122
* Gesco AG 3,875 116,963
GFK AG 45,483 1,677,196
* GFT Technologies AG 22,600 51,111
* Girindus AG 12,227 91,259
* GPC Biotech AG 39,562 452,358
Grenkeleasing AG 15,958 636,008
* Grundstuecks & Baugesellschaft AG 3,567 124,877
Gwag Bayerische Wohnungs--Aktiengesellschaft AG 3,383 187,542
Hamborner AG 21,000 710,742
Hawesko Holdings AG 5,291 213,168
* Herlitz AG 6,962 39,479
Hochtief AG 34,000 1,155,340
* Hoeft & Wessel AG 8,386 52,741
Hucke AG 8,300 31,588
Hugo Boss AG 25,100 749,861
* Hutschenreuther AG 2,800 37,901
Hyrican Informations Systeme AG 3,107 38,026
* I-D Media AG 9,700 20,870
* IFA Hotel & Touristik AG 7,000 68,569
* IM International Media AG 19,800 19,801
* InfoGenie Europe AG 14,059 45,321
* Innovation in Traffic Systems AG 12,300 65,049
Interseroh AG 11,845 339,061
* # Intershop Deutschland AG 45,158 47,818
* Intertainment AG 8,500 20,171
* Isra Vision Systems AG 3,650 79,590
* itelligence AG 18,143 40,047
* IVG Immobilien AG 143,237 2,602,157
Iwka AG 44,442 1,053,813
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* Jack White Productiions AG 8,424 94,651
* Jenoptik AG 101,045 1,087,166
K & S Aktiengesellschaft AG 129,500 6,914,946
Kampa-Haus AG 10,375 72,819
Keramag Keramische Werke AG 13,000 927,840
* # Kloeckner-Werke AG 53,211 849,661
* Kontron AG 92,611 737,937
Krones AG 10,180 1,093,490
KSB AG 2,387 381,525
KWS Kleinwanzlebener Saatzucht AG 1,650 1,410,638
* Leica Camera AG 4,400 13,776
* Leifheit AG 12,500 339,613
Leoni AG 37,500 2,893,666
* Loewe AG 7,100 81,595
LPKF Laser & Electronics AG 9,000 49,003
* Mania Technologie AG 12,670 20,230
Masterflex AG 4,400 147,925
* Maxdata AG 32,897 152,840
* Mediclin AG 38,553 90,392
* Medigene AG 20,165 261,830
# Medion AG 45,454 702,923
* Mensch und Maschine Software AG 10,700 49,986
# Mobilcom AG 106,387 2,330,841
* Mologen AG 7,239 39,077
* Morphosys AG 6,656 268,767
* Mosaic Software AG 5,200 6,968
Muehlabauer Holdings AG & Co. KGAA 7,423 345,457
MVV Energie AG 59,215 1,180,227
* MWG Biotech AG 30,700 15,031
Nemetschek AG 8,499 140,644
* Neschen AG 5,800 20,809
* Nexus AG 21,275 85,033
Norddeutsche Affinerie AG 51,075 1,033,110
Norddeutsche Steingutfabrik AG 5,960 50,660
* November AG 9,018 55,029
Ohb Teledata 16,598 150,202
Oldenburgische Landesbank AG 1,102 80,495
* Pandatel AG 5,700 7,985
Paragon AG 22,134 432,198
* Parsytec AG 14,700 50,706
* PC-Spezialist Franchise AG 2,462 22,488
PC-Ware Information Technologies AG 5,100 63,796
* Personal & Informatik AG 5,900 70,036
Pfeiffer Vacuum Technology AG 16,633 793,099
* Pfleiderer AG 51,351 808,703
* Pironet NDH AG 10,964 58,889
* Plambeck Neue Energien AG 19,350 16,849
* Plasmaselect AG 21,396 120,965
* Plenum AG 9,300 13,423
* Primacom AG 29,925 127,188
* Produkte und Syteme der Informationstechnologie AG 14,792 70,438
Progress-Werk Oberkirch AG 5,000 203,042
* Pulsion Medical Systems AG 11,078 66,200
* PVATepla AG 15,550 113,585
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* # Qs Communications AG 124,164 562,480
Rational AG 15,083 1,655,169
* Realtech AG 3,650 30,278
Renk AG 19,400 650,977
REpower Systems AG 5,000 92,326
Rheinmetall Berlin AG 45,000 2,282,926
Rhoen Klinikum AG 24,107 1,590,263
* Rinol AG 5,900 10,115
* Rohwedder AG 4,860 45,769
* Ruecker AG 7,800 58,070
* S.A.G. Solarstrom AG 11,440 90,987
Salzgitter AG 95,909 2,243,998
Sartorius AG 16,918 354,433
Schlott Sebaldus AG 7,440 247,852
Schwarz Pharma AG 30,101 1,318,636
Sektkellerei Schloss Wachenheim AG 15,120 196,826
* Senator Entertainment AG 980 1,712
* # SGL Carbon AG 57,758 680,376
* SHS Informationssysteme AG 9,737 44,286
* Silicon Sensor International AG 2,122 27,932
* # Singulus Technologies AG 46,050 556,280
Sinner AG, Karlsruhe 4,160 49,144
* SinnerSchrader AG 8,412 15,614
Sixt AG 19,433 384,066
* Sm Wirtschaftsberatungs AG 3,350 21,072
Software AG 39,230 1,500,688
Stada Arzneimittel AG 84,036 2,591,605
Stahl (R.) AG 6,300 107,683
* Steag Hamtech AG 35,473 71,601
* Stoehr & Co. AG 16,000 68,911
* Strabag AG 4,840 296,152
Stratec Biomedical Systems AG 3,200 90,558
Stuttgarter Hofbraeu AG 18,000 615,771
Sued-Chemie AG 29,146 1,230,825
* Suess Microtec AG 17,785 100,354
Syskoplan AG 3,300 24,881
* Syzygy AG 18,000 108,335
Takkt AG 87,707 808,661
* TDS Informationstechnologie AG 10,411 30,696
* Techem AG 29,076 1,189,783
Technotrans AG 9,778 184,915
* Telegate AG 20,500 361,927
* Teles AG Informationstechnologien 26,657 319,099
* Textilgruppe Hof AG 12,170 101,145
* TFG Venture Capital AG & Co. KGAA 16,727 48,929
* Tomorrow Focus AG 42,650 110,641
* TTL Information Technology AG 6,400 23,086
* TV Loonland AG 7,000 16,178
* Umweltbank AG 7,227 87,230
United Internet AG 85,759 2,220,925
* Utimaco Safeware AG 12,200 91,092
* Value Management & Research AG 14,150 60,620
* Varetis AG 3,439 29,573
* VBH (Vereinigter Baubeschlag-Handel) AG 9,415 34,331
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* Vereinigte Deutsche Nickel-Werke AG 12,150 6,130
* Vivacon AG 6,559 113,317
Vossloh AG 21,469 1,019,784
* W.O.M. World of Medicine AG 11,983 45,962
Wanderer-Werke AG 7,903 295,643
* WaveLight Laser Technologies AG 1,159 20,488
* WCM Beteiligungs AG 440,394 238,288
Westag and Getalit AG, Rheda-Wiedenbrueck 7,000 82,693
Wuerttembergische Lebensversicherung AG 11,330 243,045
* Wuerttembergische Metallwarenfabrik AG 30,330 530,106
Wuerzburger Hofbraeu AG 133 70,048
* Zapf Creation AG 7,500 95,785
----------------
TOTAL -- GERMANY
(Cost $69,430,081) 96,254,453
----------------
ITALY -- (6.6%)
COMMON STOCKS -- (6.6%)
Acea SpA 163,000 1,839,125
Acegas SpA 36,106 424,419
* Actelios SpA 25,801 206,687
Aedes SpA (Sta Ligure Lombarda per Imprese & Costruzioni) 122,707 824,146
# Aem Torino SpA 507,240 1,246,218
Aeroporto de Firenze SpA 6,000 84,203
* Alitalia Linee Aeree Italiane SpA Series A 3,706,002 1,178,154
Amplifon SpA 18,242 1,171,521
Astaldi SpA 77,523 499,097
Azienda Mediterranea Gas e Acqua SpA 360,014 696,596
Banca Ifis SpA 19,351 223,454
Banca Intermobiliare di Investimenti e Gestoni SpA 132,998 1,071,671
# Banca Popolare Dell'etruria e Del Lazio Scrl 36,408 528,401
Banca Profilo SpA 114,243 270,574
Banco di Desio e della Brianza SpA 109,105 885,710
# Banco Piccolo Valellinese Scarl SpA 86,233 1,303,292
* Beghelli SpA 142,000 108,239
Benetton Group SpA 8,444 76,625
Beni Stabili SpA, Roma 1,309,500 1,257,595
Biesse SpA 17,100 78,746
Bonifica dei Terreni Ferraresi e per Imprese Agricole Roma 9,675 290,516
Bremba SpA 74,782 559,016
Buzzi Unicem SpA 94,100 1,354,019
# Caltagirone Editore SpA 132,868 1,186,475
Caltagirone SpA 178,399 1,400,137
CAMFIN (Cam Finanziaria) 36,527 98,509
Carraro SpA 34,400 169,464
Cementir Cementerie del Tirreno SpA 249,704 1,242,667
Centrale del Latte di Torino & Co. SpA 4,182 23,029
CIR SpA (Cie Industriale Riunite), Torino 591,100 1,633,689
* Cirio Finanziaria SpA 175,000 37,470
# Class Editore SpA 83,868 175,775
* # CMI SpA 90,302 391,941
* Coats Cucirini SpA 30,000 36,323
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* Compagnia Immobiliare Azionaria 44,000 10,556
Credito Artigiano SpA 114,446 474,490
# Credito Bergamasco SpA 6,102 180,345
# Cremonini SpA 135,428 409,282
* CSP International Industria Calze SpA 10,000 13,747
# Danieli & C.Officine Meccaniche SpA 66,500 408,252
Davide Campari - Milano SpA 275,990 1,970,907
# De Longhi SpA 139,386 513,875
* Ducati Motor Holding SpA 129,900 159,838
Emak SpA 27,000 149,986
Erg SpA 173,330 2,685,619
Ergo Previdenza SpA 95,165 616,037
Esprinet SpA 37,000 237,122
* Fiera Milano SpA 3,484 40,740
* Finarte Casa d'Aste SpA (Milano) 56,266 68,388
* Finarte Partecipazioni Pro Arte SpA 242,693 24,400
* # Finmatica SpA 35,900 100,679
Gabetti Holding SpA 55,000 257,891
Gefran SpA 11,000 64,303
# Gemina SpA 331,283 565,095
Gewiss SpA 221,700 1,342,304
* Giovanni Crespi SpA 49,200 51,580
Granitifiandre SpA 33,237 290,208
Gruppo Ceramiche Ricchetti SpA 41,000 82,369
I Grandi Viaggi SpA 28,100 34,281
* Immobiliare Lombardia SpA 425,000 117,614
Immsi SpA 373,100 715,854
Impregilo SpA 59,230 474,123
# Industria Macchine Automatique SpA 33,671 443,670
Industria Romagnola Conduttori Elettrici SpA 17,500 64,183
# Industrie Zignago S. Margherita SpA 52,000 1,220,071
* Intek SpA 163,776 142,777
* Interpump Group SpA 75,402 463,187
* ITALJOLLY (Cia Italiana dei Jolly Hotels SpA) 34,500 367,902
Italmobiliare SpA, Milano 20,975 1,302,974
* Juventus Footbal Club SpA 98,000 165,725
La Doria SpA 22,000 65,711
* Lavorwash SpA 10,000 29,470
Linificio and Canapificio Nazionale SpA 28,995 101,039
Maffei SpA 52,500 112,043
Manifattura Lane Gaetano Marzotto & Figli SpA 138,000 3,034,347
Mariella Burani Fashion Group SpA 26,077 324,434
* Meliorbanca SpA 90,667 345,891
# Merloni Elettrodomestici SpA 155,000 1,929,873
Milano Assicurazioni SpA 266,700 1,516,175
Mirato SpA 12,000 99,794
* Modena Energia Territorio Ambiente SpA 140,840 495,699
Monrif SpA 150,000 245,154
* Montefibre SpA 143,130 53,616
Navigazione Montanari SpA 110,917 378,964
* Negri Bossi SpA 13,700 35,704
* NGP SpA 17,891 7,706
* Olidata SpA 20,000 23,066
* Opengate Group SpA 4,000 9,401
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* Pagnossin SpA 9,000 6,771
* Partecipazioni Italiane SpA 41,062 14,350
Permasteelisa SpA 24,470 379,235
Pininfarina SpA 31,285 881,754
Pirelli & C.Real Estate SpA 9,600 507,778
Poligrafici Editoriale SpA 132,000 337,831
Premafin Finanziaria SpA Holding di Partecipazioni, Roma 342,051 662,275
Premuda SpA 115,214 217,985
* Ratti SpA 31,768 24,575
Recordati SpA 234,576 1,600,621
* Reno de Medici SpA, Milano 332,210 304,384
* Richard-Ginori 1735 SpA 140,800 87,311
* Risanamento Napoli SpA 304,043 1,097,753
Sabaf SpA 9,200 194,024
SAES Getters SpA 14,750 276,427
* Schiapparelli 1824 SpA, Milano 831,000 48,504
* Seat Pagine Gialle SpA, Torino 1,927,737 911,800
* Sirti SpA 29,967 69,547
SISA (Societa Imballaggi Speciali Asti SpA) 65,000 200,403
* SNIA SpA 227,590 79,072
* Societa Partecipazioni Finanziarie SpA 54,060 32,899
# Societe Cattolica di Assicurazoni Scarl SpA 27,170 1,188,553
Socotherm SpA 29,770 304,648
Sogefi SpA 182,500 884,757
Sol SpA 81,830 498,388
* Sorin SpA 341,385 1,021,912
* STA Metallurgica Italiana SpA 282,640 226,461
Stefanel SpA 54,400 267,684
Targetti Sankey SpA 14,500 95,110
* Tecnodiffusione Italia SpA 3,332 8,200
Terme Demaniali di Acqui SpA 532,000 773,101
* # Tiscali SpA 296,735 885,601
# Tod's Group SpA 30,476 1,528,424
Trevi-Finanziaria Industriale SpA 52,400 116,165
* Vemer Siber Group SpA 46,000 21,212
* Viaggi del Ventaglio SpA 58,380 82,736
Vianini Industria SpA 52,520 176,323
Vianini Lavori SpA 180,752 1,546,507
Vittoria Assicurazioni SpA 51,500 506,458
* Zucchi (Vincenzo) SpA 144,350 615,433
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TOTAL -- ITALY
(Cost $41,549,484) 66,294,936
----------------
SWEDEN -- (6.2%)
COMMON STOCKS -- (6.1%)
* # Active Biotech AB 38,600 197,182
Addtech AB Series B 22,300 194,682
Alfa Laval AB 18,600 280,314
* Alfaskop AB 3,200 344
Angpannefoereningen AB Series B 10,800 201,964
* Anoto Group AB 134,833 208,800
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Aros Quality Group AB 5,500 78,187
* Artimplant AB Series B 46,000 28,254
# Axfood AB 73,400 1,825,983
Axis AB 76,994 289,717
B & N Bylock & Nordsjoefrakt AB Series B 83,600 284,469
Ballingslov International AB 13,000 231,897
Beiger Electronics AB 11,700 133,193
Beijer AB Series B 11,700 198,428
Beijer Alma AB Series B 10,400 178,115
Bergman & Beving AB Series B 36,200 406,830
Biacore International AB 11,150 257,992
Bilia AB Series A 116,725 1,978,130
Billerud AB 58,700 709,332
* BioGaia AB Series B 7,000 12,439
* Boliden AB 203,900 834,173
* Bong Ljungdahl AB 9,000 58,926
* Boras Waefveri AB Series B 8,600 29,691
* Boss Media AB 73,700 262,403
* Capio AB 121,900 1,921,015
Capona AB 25,400 317,499
Carbo AB 37,100 904,084
Castellum AB 60,900 2,348,094
Cloetta AB Series B 22,250 657,862
Concordia Maritime AB Series B 37,300 163,550
* Consilium AB Series B 5,246 21,642
D. Carnegie & Co. AB 88,200 905,984
* Doro AB Series A 400 1,899
* Duroc AB Series B 2,700 6,855
* Elekta AB 37,000 1,397,022
Elverket Vallentuna AB 8,050 56,877
* Enea Data AB Series B 505,000 322,868
Eniro AB 154,000 1,753,251
Expanda AB 6,547 33,762
Fabege AB 164,145 3,312,075
Fagerhult AB 14,100 222,613
* # Framtidsfabriken AB 966,000 85,351
* Frontec AB Series B 50,800 60,180
Getinge AB 176,604 2,565,060
Geveko AB Series B 8,300 195,350
* Glocalnet AB 187,500 101,111
Gunnebo AB 50,000 644,345
Haldex AB 39,000 690,217
Heba Fastighets AB Series B 13,500 227,854
Hexagon AB 10,716 198,817
Hiq International AB 47,889 201,942
HL Display AB Series B 6,000 100,705
Hoganas AB Series B 38,200 1,007,105
* IBS AB Series B 95,200 251,909
* # Industrial & Financial Systems AB Series B 118,600 110,560
* Industrifoervaltnings AB Skandigen 63,975 213,649
* Intentia International AB Series B 171,420 334,820
* # Intrum Justitia AB 115,700 791,652
# Invik and Co. AB Series B 155,400 1,268,329
* JM AB 13,800 472,870
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Karlshamns AB 23,800 400,775
* Klippans Finpappersbruk AB 5,800 6,297
Klovern AB 189,976 638,413
Kungsleden AB 73,100 1,814,130
Lagercrantz Group AB Series B 31,800 79,745
* LB Icon AB 14,530 82,096
# Lennart Wallenstam Byggnads AB Class B 83,500 1,107,817
Lindex AB 16,100 716,067
Ljungberg Gruppen AB Series B 3,800 108,540
* Lundin Mining Corp. 4,323 36,580
* Lundin Petroleum AB 322,400 2,328,776
* Mandator AB 220,520 41,599
Meda AB Series A 67,125 627,131
* Medivir Series B 10,650 71,509
* Micronic Laser Systems AB 50,800 525,585
* Modern Times Group AB Series B 48,700 1,501,964
Naerkes Elektriska AB Series B 4,250 70,716
NCC AB Series B 118,100 1,732,913
Nefab AB Series B 5,100 133,310
* Net Insight AB Series B 369,000 80,067
New Wave Group AB 20,800 353,607
Nibe Industrier AB 23,500 632,410
# Nobia AB 77,600 1,240,548
Nolato AB Series B 42,840 293,752
Observer AB 137,856 556,694
OEM International AB Series B 7,100 119,093
* OMHEX AB 129,100 1,557,789
Orc Software AB 16,500 132,946
* Ortivus AB 11,507 43,855
Partnertech AB 12,300 132,163
PEAB AB Series B 105,200 1,096,322
* Pergo AB 43,300 153,210
Poolia AB Series B 18,150 83,919
Prevas AB Series B 16,000 36,565
* Pricer AB Series B 641,500 82,211
* Proact It Group AB 15,000 35,349
* Proffice AB 72,800 109,859
Profilgruppen AB 4,000 35,025
Protect Data AB 13,500 213,646
* PyroSequencing AB 51,940 71,884
# Q-Med AB 34,000 890,814
* Readsoft AB Series B 24,800 87,430
Rottneros Bruk AB 366,600 343,185
Salus Ansvar AB Series B 12,900 49,895
Sardus AB 11,200 141,536
* Scribona AB Series A 40,100 78,277
* Scribona AB Series B 56,300 110,128
* Semcon AB 18,300 110,874
* # Sigma AB Series B 25,800 36,443
* Sintercast AB 5,600 44,821
Skistar AB 23,300 409,931
SSAB Swedish Steel Series A 60,300 1,465,891
SSAB Swedish Steel Series B 17,100 401,624
* Studsvik AB 4,400 80,389
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Sweco AB Series B 23,450 405,785
* # Switchcore AB 185,784 38,637
* Teleca AB Series B 73,000 376,340
* Telelogic AB 352,200 795,743
* Teligent AB 26,200 82,493
* Ticket Travel Group AB 15,152 28,402
Trelleborg AB Series B 75,400 1,171,382
# TV 4 AB Series A 22,200 429,772
Uniflex AB Series B 3,630 21,845
VBG AB Series B 271 4,880
* Wedins Skor & Accessoarer AB 8,900 54,075
Westergyllen AB Series B 8,600 60,758
* # Wihlborgs Fastigheter AB 32,829 772,089
Wilh. Sonesson AB Series A 4,160 16,269
Wilh. Sonesson AB Series B 4,160 15,353
WM-Data AB Series B 460,600 1,199,803
Xponcard Group AB 2,800 64,066
----------------
TOTAL COMMON STOCKS
(Cost $37,572,660) 61,624,030
----------------
INVESTMENT IN CURRENCY -- (0.1%)
* Swedish Krona 381,234
----------------
(Cost $387,038)
TOTAL -- SWEDEN
(Cost $37,959,698) 62,005,264
----------------
NETHERLANDS -- (6.0%)
COMMON STOCKS -- (6.0%)
Aalberts Industries NV 45,516 2,003,643
Accell Group NV 15,651 341,670
AFC Ajax NV 10,787 124,743
Airspray NV 3,800 91,652
AM NV 143,311 1,500,209
Arcadis NV 20,638 464,827
* # ASM International NV 92,464 1,349,580
* Atag Group NV 4,630 1,652
Athlon Groep NV 34,250 845,537
Batenburg Beheer NV 3,000 137,472
* Begemann Groep NV 11,909 35,611
* Begemann Groep NV Series B 13,451 3,310
Beter Bed Holding NV 14,334 424,515
Boskalis Westminster NV 65,442 2,375,638
Brunel International NV 49,126 612,435
Buhrmann NV 245,259 2,247,655
* # Crucell NV 88,757 1,729,993
* Draka Holding NV 26,175 348,551
* Econosto NV 32,113 120,466
Eriks Group NV 22,542 848,136
Exact Holding NV 51,660 1,582,600
Fornix Biosciences NV 8,767 208,299
* Fox Kids Europe NV 71,715 1,181,894
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Gamma Holding NV 15,705 658,950
Gemeenschappeljk Bezit Crown van Gelder NV 12,000 270,485
Getronics NV 1,156,748 1,891,759
Grolsche NV 32,100 932,742
Grontmij NV 7,109 450,625
* # Hagemeyer NV 1,095,089 2,601,670
Heijmans NV 60,267 2,574,421
* Hitt NV 3,804 23,451
ICT Automatisering NV 5,800 92,778
Imtech NV 49,620 1,635,412
Kas Bank NV 42,888 826,206
* Kendrion NV 241,262 433,030
Koninklijke Bam NV 40,018 2,525,120
Koninklijke Frans Maas Groep NV 12,349 418,176
Koninklijke Nedlloyd NV 33,528 2,300,772
Koninklijke Ten Cate NV 13,515 1,137,273
Koninklijke Vopak NV 51,376 1,175,994
* # Laurus NV 92,984 315,257
MacIntosh NV 15,590 656,191
* Maverix Capital NV 1,500 70,142
Nederlandsche Apparatenfabriek 14,000 466,593
NH Hoteles SA 21,703 260,925
Nutreco Holding NV 50,668 1,631,489
NV Holdingsmij de Telegraaf 46,153 991,461
Oce NV 128,201 1,857,466
Opg Groep NV Series A 28,369 1,811,589
* # Pharming Group NV 163,643 846,419
Reesink NV 2,050 185,614
Roto Smeets de Boer NV 2,640 152,660
Rubber Cultuur Maatschappij Amsterdam NV 40,800 183,070
* Samas-Groep NV 27,117 210,923
* Seagull Holding NV 6,767 26,209
* Semiconductor Industries NV 56,979 286,697
Sligro Food Group NV 28,753 1,239,139
Smit Internationale NV 20,578 959,063
Stern Groep NV 1,236 42,815
Stork NV 69,531 2,761,072
* Textielgroep Twenthe NV 1,000 3,076
* Tulip Computers NV 150,799 31,781
Twentsche Kabel Holding NV 18,244 794,327
United Services Group NV 39,409 1,166,569
Univar NV 47,480 1,430,436
Van Der Mollen Holding NV 57,660 290,700
* # Versatel Telecom International NV 1,041,167 2,499,356
Wegener Arcade NV. 70,830 880,220
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TOTAL COMMON STOCKS
(Cost $43,561,295) 60,580,211
----------------
RIGHTS/WARRANTS -- (0.0%)
* Boskalis Westminster NV Coupons 06/02/05 65,442 0
* Eriks Group NV Coupons 06/01/05 11,271 0
* Nutreco Holding NV Coupons 06/07/05 50,668 0
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TOTAL RIGHTS/WARRANTS
(Cost $0) 0
----------------
TOTAL -- NETHERLANDS
(Cost $43,561,295) 60,580,211
----------------
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FINLAND -- (4.9%)
COMMON STOCKS -- (4.9%)
Alandsbanken AB Series B 7,790 180,520
* Aldata Solutions Oyj 124,635 250,400
Amanda Capital Oyj 25,870 65,121
Amer-Yhtymae Oyj Series A 141,760 2,409,272
Aspo P.L.C. 42,300 374,730
Aspocomp Group P.L.C. 25,476 125,548
Basware Oyj 7,050 75,857
* Benefon Oy 1,900 624
* Biotie Therapies Oyj 39,754 36,821
Capman Oyj Series B 12,485 37,806
Componenta Oyj 11,200 93,634
Comptel Oyj 149,541 298,494
Efore Oy 25,840 59,495
Elcoteq Network Oyj 44,060 864,469
# Elektrobit Group Oyj 138,919 434,472
Elisa Communications Corp. 83,260 1,247,014
* Eq Online Oyj 23,900 60,630
Etteplan Oyj 6,000 43,693
* Evox Rifa Group Oyj 189,210 23,244
Finnair Oyj 118,150 1,007,056
Finnlines Oyj 78,360 1,338,540
Fiskars Oy AB Series A 82,728 955,684
* F-Secure Oyj 156,528 357,811
HK Ruokatalo Oy Series A 44,760 520,963
Honkarakenne Oy Series B 3,030 19,257
Huhtamaki Van Leer Oyj 147,650 2,241,884
Ilkka-Yhtyma Oyj 19,360 211,380
* Incap Oyj 11,000 23,022
J.W. Suominen Yhtyma Oy 17,955 85,458
Jaakko Poyry Group Oyj 16,810 517,622
Julius Tallberg-Kiinteistoet Oy, Helsinki Series B 4,500 58,531
KCI Konecranes International Oyj 29,900 1,221,314
Kemira GrowHow Oyj 25,160 194,922
Kemira Oyj 139,200 1,852,966
Kesko Oyj 32,060 768,428
Laennen Tehtaat Oy 8,670 127,874
Lassila & Tikanoja Oyj 68,276 1,212,352
Lemminkainen Oy 16,600 389,056
Leo Longlife Oy 7,830 43,365
Martela Oy 1,060 10,058
Metsaemarkka Oyj Series B 832 6,814
M-Real Oyj Series B 89,000 480,416
New Kyro Corp. Oyj 91,340 492,149
Nokian Renkaat Oyj 158,900 2,835,395
Nordic Aluminium Oy 1,900 27,570
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* Okmetic Oyj 21,204 59,608
Okobank Class A 101,080 1,612,530
Olvi Oyj Series A 8,020 164,012
Orion-Yhtyma Oyj Series A 41,180 799,553
Orion-Yhtyma Oyj Series B 60,920 1,185,010
Oy Stockmann AB Series B 53,350 1,769,090
Perlos P.L.C. Warrants 04/04/04 76,811 734,688
PK Cables Oyj 19,990 238,053
* Pmj Automec Oyj 45,410 44,100
Pohjola Group P.L.C. Series D 146,205 1,855,760
Ponsse Oyj 12,600 278,781
* Proha Oyj 82,532 47,530
Raisio Group P.L.C. Series V 299,423 803,265
Rakentajain Koneuvokrammo Oy 10,260 86,638
Ramirent Oyj 24,540 402,843
Rapala VMC Oyj 36,040 248,138
Rautaruukki Oyj Series K 188,780 2,659,420
Raute Oy Series A 4,190 51,358
Rocla Oy 2,900 35,659
* Satama Interactive Oyj 70,900 76,834
Saunalahti Group Oyj 141,454 336,212
# Scanfil Oyj 63,879 311,149
Sponda Oyj 109,111 1,030,353
SSH Communications Oyj 44,900 67,483
Stockmann Oyj AB 35,240 1,158,776
* Stonesoft Corp. 49,279 40,632
Sysopen P.L.C. 16,020 87,113
Talentum Oyj 36,600 148,947
* Tecnomen Holding Oyj 112,970 192,381
Teleste Corp. Oyi 21,249 167,345
Tieto-X Oyj 10,200 43,303
Tulikivi Oyj 5,710 43,726
Turkistuottajat Oy 4,290 40,871
Uponor Oyj Series A 129,000 2,392,785
Vacon Oyj 14,537 241,193
Vaisala Oy Series A 21,200 495,114
Viking Line AB 10,560 319,005
Wartsila Corp. Oyj Series B 99,690 2,999,117
Yit-Yhtymae Oyj 67,708 2,186,824
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TOTAL -- FINLAND
(Cost $30,505,512) 49,136,930
----------------
GREECE -- (4.0%)
COMMON STOCKS -- (4.0%)
* A. Cambas Holding & Real Estate S.A. 54,237 137,088
* Aegek S.A. 99,835 63,498
* Agrotiki Insurance S.A. 34,455 111,441
Aktor Technical Co. S.A. 196,380 776,604
Alco Hellas ABEE S.A. 38,730 58,957
* Alfa Alfa Energy S.A. 3,810 6,530
* Alfa-Beta Vassilopoulos S.A. 15,172 225,417
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Alisida S.A. 2,160 4,762
* Allatini Industrial & Commercial Co. 15,370 29,581
Alpha Credit Bank 6,552 180,090
Alte Technological Co. S.A. 85,048 8,335
* Altec Information & Communication Systems S.A. 80,278 36,414
Alumil Milonas S.A. 27,516 80,490
* Aluminum of Attica S.A. 104,982 24,541
Anek Lines S.A. 60,821 79,114
Arcadia Metal Industry C. Rokas S.A. 22,389 217,107
AS Co. S.A. 25,370 20,902
* Aspis Bank S.A. 72,374 227,867
* Aspis Pronia General Insurance S.A. 48,640 35,945
* Astir Palace Vouliagmenis S.A. 58,560 366,614
* Athens Medical Center S.A. 104,974 226,900
Athens Water Supply & Sewage Co. S.A. 53,245 372,957
Atlantic Super Market S.A. 13,776 22,039
Attica Holdings S.A. 156,234 552,713
Attica Publications S.A. 16,674 63,544
Atti-Kat S.A. 88,984 52,367
Autohellas S.A. 44,980 202,533
Babis Vovos S.A. 50,982 864,479
Balafas Construction Holdings S.A. 15,200 3,554
Bank of Attica S.A. 115,721 672,722
Bank of Greece 21,842 2,757,381
Bank of Piraeus S.A. 163,829 2,928,966
Benrubi S.A. 11,121 53,915
Betanet S.A. 11,220 42,447
* Bitros Holdings S.A. 19,302 49,036
Byte Computers S.A. 17,230 32,876
Chipita S.A. 76,902 227,599
* Commercial Bank of Greece 1,960 60,042
* Compucon Computer Applications S.A. 11,260 4,280
Computer Peripherals International S.A. 9,110 6,303
Cyclon Hellas S.A 18,131 11,149
Daios Plastics S.A. 16,350 109,450
Delta Holdings S.A. 33,747 248,637
* Diagnostic & Therapeutic Center of Athens "Hygeia" S.A. 38,330 58,385
Dionic S.A. 12,948 8,568
Domiki Krittis S.A. 17,730 10,438
Dynamic Life S.A. 16,440 10,924
Edrasi Psalllidas Technical Co. S.A. 31,108 27,132
Egnatia Bank S.A. 117,107 388,796
El. D. Mouzakis S.A. 31,653 20,112
Elais Oleaginous Production S.A. 16,707 399,905
* Elbisco Holding S.A. 56,000 378,850
Elektrak S.A. 14,040 36,205
Elektroniki of Athens S.A. 21,560 68,356
* Elephant S.A. 26,310 4,877
Elgeka S.A. 18,590 50,219
Elmec Sport S.A. 64,256 135,925
Elton S.A. 18,640 16,448
* Empedos S.A. 15,974 1,573
ETEM S.A. Light Metals Industry 37,502 67,248
* Ethniki General Insurance Co. S.A. 118,768 495,323
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* Etma Rayon S.A. 11,242 22,657
* Euro Reliance General Insurance 14,830 18,730
Eurodrip S.A. 11,620 24,598
Euromedica S.A. 33,300 70,741
* European Techniki 32,750 9,269
Everest S.A. 30,730 58,967
* Evrofarma S.A. 9,500 13,363
F.G. Europe SA Common Registered Shares 4,536 17,744
* Fanco S.A. 10,110 2,462
* Forthnet S.A. 17,510 102,539
* Fourlis S.A. 64,420 551,373
Frigoglass S.A. 49,990 264,355
G.Polyhronos S.A. 10,580 8,320
Galaxidi Fish S.A. 12,940 7,133
General Commercial & Industry 24,060 21,270
* General Hellenic Bank 35,139 346,209
Germanos S.A. 61,810 1,935,169
* Goody's S.A. 17,740 269,609
Halkor S.A. 121,226 216,104
Hatziioannou S.A. 44,200 39,113
Hellas Can Packaging Manufacturers S.A. 27,902 237,206
* Hellenic Cables S.A. 26,908 28,101
Hellenic Duty Free Shops S.A. 80,020 1,320,417
Hellenic Fabrics S.A. 17,110 40,977
Hellenic Sugar Industry S.A. 35,750 162,874
Hellenic Technodomiki S.A. 224,647 1,171,588
Heracles General Cement Co. 93,293 1,021,289
* Hermes Real Estate S.A. 78,424 357,363
* Hippotour S.A. 12,155 16,156
Hyatt Regency S.A. 130,260 1,497,942
Iaso S.A. 54,510 200,362
Iktinos Hellas S.A. 6,500 10,546
Inform P. Lykos S.A. 20,610 87,960
Informatics S.A. 3,778 1,527
* Intersat S.A. 19,392 8,352
Intertech S.A. 12,236 42,407
Intracom Constructions S.A. 30,520 38,924
Intracom S.A. 199,316 1,023,059
* Ionian Hotel Enterprises S.A. 16,754 196,782
Ipirotiki Software & Publications S.A. 22,110 52,765
* J Boutaris & Son Holding S.A. 28,150 21,393
J&P-Avax S.A. 100,626 470,111
Kalpinis - N. Simos Steel Service Center 12,432 56,301
Karelia Tobacco Co., Inc. S.A. 2,160 165,031
Kathimerini S.A. 21,240 180,031
Katselis Sons S.A. 18,000 49,265
Kego S.A. 21,670 29,048
Kekrops S.A. 2,244 31,444
* Keramia-Allatini S.A. Industrielle Commerciale & Technique 10,368 10,399
* Klonatex Group S.A. Bearer Shares 20,351 18,147
Kordellou Brothers S.A. 12,300 28,533
* Lambrakis Press S.A. 107,586 384,259
* Lampsa Hotel Co. 19,051 140,504
* Lan-Net S.A. 31,675 41,881
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* Lavipharm S.A. 39,294 44,915
Lazarides Vineyards S.A. 18,326 29,186
* Logic Dis S.A. 77,230 31,138
* Loulis Mills S.A. 15,382 26,149
* Mailis (M.J.) S.A. 101,594 484,523
* Maritime Company of Lesvos S.A. 30,753 14,740
* Maxim Knitwear Factory C.M. Pertsinidis 16,360 4,400
Medicon Hellas S.A. 2,860 15,177
Mesochoritis Bros. Construction Co. S.A. 23,700 8,417
Metka S.A. 59,820 505,098
Michaniki S.A. 108,755 237,802
Minerva Knitwear 5,140 6,654
Minoan Lines S.A. 98,789 376,117
MLS Multimedia S.A. 8,300 7,349
Mochlos S.A. 101,679 39,970
Motor Oil (Hellas) Corinth Refineries S.A. 211,380 3,294,370
Mytilineos Holdings S.A. 47,000 565,531
* N. Levederis S.A. 8,355 6,747
* N.B.G. Real Estate Development Co. 163,170 723,669
* Naoussa Spinning Mills S.A. 76,407 17,724
Naytemporiki S.A. 26,080 42,478
* Neochimiki Lv Lavrentiadis S.A. 30,890 144,438
* Neorion-Syro's Shipyards S.A. 27,210 22,370
* Newsphone Hellas Audiotex S.A. 23,890 93,534
* Nexans Hellas S.A. 3,003 5,898
Nikas S.A. 25,287 155,951
Notos Com.Holdings S.A. 94,554 362,270
Pantechniki S.A. 50,460 74,327
* Pegasus Publishing & Printing S.A. 58,590 114,520
Persefs S.A. Health Care 23,592 14,172
Petros Petropoulos S.A. 7,360 49,306
* Petzetakis S.A. 32,935 51,699
* Pilias S.A. 103,584 17,704
Pipeworks L. Girakian Profil S.A. 11,730 18,147
Piraeus Leasing 5,765 46,082
* Prodeftiki Technical Co. 32,257 10,676
* Promota Hellas S.A. 26,580 10,044
Rilken S.A. 1,982 11,397
* Sanyo Hellas S.A. 59,251 31,966
Sarantis S.A. 43,940 328,236
Sato S.A. 28,850 26,218
* Selected Textile Industry Assoc. S.A. 44,649 19,653
Sfakianakis S.A. 13,390 72,204
* Sheet Steel S.A. 25,850 4,776
* Shelman Hellenic-Swiss Wood S.A. 38,042 41,623
Silver and Baryte Ores Mining Co. S.A. 38,361 269,406
Spyroy Agricultural House S.A. 22,258 28,731
* Stabilton S.A. 27,530 2,710
Strintzis Shipping Lines S.A. 150,740 196,028
Technical Olympic S.A. 180,370 1,035,714
* Technodomi M.Travlos Br. Com. & Constr. Co. S.A. 13,910 3,595
Teletypos S.A. Mega Channel 36,227 143,816
Terna Tourist Technical & Maritime S.A. 63,180 490,020
Themeliodomi S.A. 37,422 23,052
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Thrace Plastics Co. S.A. 45,500 68,179
* Uncle Stathis S.A. 10,999 79,893
Unisystems S.A. 41,820 74,183
Vardas S.A. 13,780 34,558
* Varvaressos S.A. European Spinning Mills 7,200 4,341
* Veterin S.A. 18,984 20,332
Viohalco S.A. 296,585 1,902,943
Vioter S.A. 80,590 97,994
* Vis Container Manufacturing Co. 4,259 11,576
* Zampa S.A. 830 10,640
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TOTAL COMMON STOCKS
(Cost $38,181,724) 40,286,215
----------------
PREFERRED STOCKS -- (0.0%)
Egnatia Bank S.A. 3,196 9,115
----------------
(Cost $8,592)
TOTAL -- GREECE
(Cost $38,190,316) 40,295,330
----------------
SPAIN -- (4.0%)
COMMON STOCKS -- (4.0%)
Abengoa SA 66,042 711,043
Adolfo Dominguez SA 3,700 104,713
* Amper SA 56,800 359,700
* Avanzit SA 17,275 30,862
* # Azkoyen SA 52,500 435,447
Banco de Andalucia 9,800 863,732
Banco de Credito Balear SA 35,424 881,805
Banco de Valencia SA 191,814 5,579,619
# Banco Guipuzcoano SA 43,530 903,409
# Banco Pastor SA 34,300 1,280,394
* Baron de Ley SA 7,542 362,236
* Bodegas Riojanas SA 1,633 17,613
CAF (Construcciones y Auxiliar de Ferrocarriles SA) 7,500 730,378
# Campofrio Alimentacion SA 92,800 1,542,054
Cementos Portland SA 16,881 1,159,096
Cie Automotive SA 10,011 152,932
Compania de Distribucion Integral Logista SA 29,600 1,479,207
Compania Vinicola del Norte de Espana SA 6,633 102,894
Cortefiel SA 57,093 1,310,845
* Dogi International Fabrics SA 9,809 60,693
* Duro Felguera SA 10,860 150,325
Elecnor SA 18,300 969,434
* Ercros SA 120,980 159,445
* Espanola del Zinc SA 29,250 66,229
* Estacionamientos Urbanos SA 4,200 0
Europistas Concesionaria Espanola SA 174,940 1,196,574
# Faes Farma SA 36,107 675,711
Funespana SA 6,354 63,291
Grupo Empresarial Ence SA 18,593 507,249
Hullas del Coto Cortes 8,666 104,262
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Iberpapel Gestion SA 6,700 140,087
Inbesos SA 8,050 84,411
Indo Internacional SA 33,600 262,162
Indra Sistemas SA 75,200 1,374,345
Inmobiliaria Colonial SA ICSA 35,200 1,826,195
Inmobiliaria del Sur SA 378 63,261
* Inmobiliaria del Sur SA Issue 2004 38 5,611
Inmobiliaria Urbis SA 80,282 1,362,357
Lingotes Especiales SA 22,080 135,999
* LSB (La Seda de Barcelona SA) Series B 32,010 98,455
* Mecalux SA 9,500 119,969
Metrovacesa SA 744 45,077
Miquel y Costas y Miquel SA 8,512 335,772
* Natra SA 14,979 129,670
* Natraceutical SA 93,825 143,150
* Nicolas Correa SA 15,750 103,802
Obrascon Huarte Lain SA 65,366 772,877
Pescanova SA 26,443 588,790
* Prim SA 3,900 91,324
Prosegur Cia de Seguridad SA 45,049 944,886
* # Service Point Solutions SA 20,648 91,385
* Sociedad Nacional Inds. Aplicaciones Celulosa Espanola 44,383 70,913
Sol Melia SA 112,700 1,182,880
# SOS Cuetara SA 83,608 1,248,819
Tavex Algodonera SA 31,944 133,524
* Tecnocom Telecomunicaciones y Energia SA 6,300 49,339
# Tele Pizza SA 237,546 484,521
Transportes Azkar, SA 35,477 293,644
Tubacex SA 121,020 408,049
Tubos Reunidos SA 12,466 167,196
Unipapel SA 44,264 957,376
* Uralita SA 338,493 1,688,642
* Urbanizzciones y Transportes SA 12,213 18,635
Vidrala SA, Alava 47,040 943,214
# Viscofan Industria Navarra de Envolturas Celulosicas SA 97,492 945,104
# Zeltia SA 87,378 703,913
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TOTAL COMMON STOCKS
(Cost $16,699,311) 39,976,546
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RIGHTS/WARRANTS -- (0.0%)
* Banco Guipuzcoano SA Rights 06/20/05 43,530 45,531
* Banco Valencia SA Rights 06/07/05 191,814 115,659
* Faes Farma SA Rights 07/06/05 36,107 83,532
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TOTAL RIGHTS/WARRANTS
(Cost $0) 244,722
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TOTAL -- SPAIN
(Cost $16,699,311) 40,221,268
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DENMARK -- (3.9%)
COMMON STOCKS -- (3.9%)
Aarhus Oliefabrik A.S. Aeries A 4,950 400,319
* Alm. Brand A.S. 28,360 976,134
Amagerbanken A.S. 2,734 451,792
Ambu International A.S. Series B 3,000 71,366
Amtssparekassen Fyn A.S. 2,243 382,419
Arkil Holdings A.S. Series B 270 40,168
# Bang & Olufsen Holding A.S. Series B 13,387 861,014
* # Bavarian Nordic A.S. 4,930 487,856
* Brodrene Hartmann A.S. Series B 5,865 155,351
* Brondbyernes I.F. Fodbold A.S. Series B 2,000 20,702
Bryggerigruppen A.S. 8,515 685,029
Christian Hansen Holding A.S. Series B 10,855 1,605,962
Codan A.S. 43,400 2,123,322
Dalhoff, Larsen & Hornemann A.S. Series B 1,370 125,746
Dampskibsselsk Torm A.S. 49,460 2,700,186
Dantherm Holding A.S. 2,400 46,036
Danware A.S. 4,185 73,927
DFDS A.S., Copenhagen 11,760 716,592
DiskontoBanken A.S. 743 166,079
DSV, De Sammensluttede Vognmaend A.S. 22,630 1,755,084
East Asiatic Co., Ltd. 22,723 1,424,598
Edb Gruppen A.S. 3,230 103,983
* Fimiston Resources & Technology, Ltd. 400 7,262
FLS Industries Series B 73,180 1,361,178
Fluegger A.S. Series B 2,913 281,655
Foras Holding A.S. Series A 13,292 180,205
Forstaedernes Bank 4,322 364,749
* Genmab A.S. 28,629 529,213
* Glunz & Jensen A.S. 1,470 20,241
GN Great Nordic A.S. 210,980 2,423,246
H&H International A.S. Series B 1,140 261,754
* Hadsten Bank 70 12,037
Harboes Bryggeri A.S. 575 232,628
Hedegaard (Peder P.) A.S. 660 62,712
Hojgaard Holding A.S. Series B 2,500 77,699
* IC Co. A.S. 3,510 126,436
* Incentive A.S. 3,575 10,936
* Jyske Bank A.S. 75,520 2,885,152
Kjobenhavns Sommer Tivoli A.S. 580 262,002
Koebenhavns Lufthavne 9,910 2,193,114
Lan & Spar Bank A.S. 2,250 113,481
* Lastas A.S. Series B 3,600 35,608
Lollands Bank A.S. 750 31,687
* Maconomy A.S. 6,000 11,889
* # Neurosearch A.S. 9,160 410,134
NKT Holding A.S. 30,245 1,176,633
Nordjyske Bank A.S. 920 184,166
* NTR Holdings A.S. 1,130 14,967
Oestjydsk Bank 550 68,208
Per Aarsleff A.S. Series B 1,545 97,004
* Pharmexa A.S. 12,940 47,873
Ringkjobing Bank 1,670 141,370
Ringkjobing Landbobank 1,620 642,532
Rockwool, Ltd. 24,520 1,701,834
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* RTX Telecom A.S. 8,400 81,805
Salling Bank 250 24,796
Sanistal A.S. Series B 1,786 172,754
* SAS Danmark A.S. 34,300 309,606
Satair A.S. 1,350 39,083
Schouw & Co. A.S. 15,485 410,445
Simcorp A.S. 5,240 416,879
Sjaelso Gruppen A.S. 2,388 286,440
Skjern Bank A.S. 725 61,529
* Sondagsavisen A.S. 21,165 120,706
Spar Nord Bank A.S. 6,823 844,832
Sparbank Vest A.S. 6,600 309,848
Sparekassen Faaborg A.S. 481 187,017
Sydbank A.S. 81,720 1,695,299
# Thrane & Thrane A.S. 5,258 216,145
* TK Development 12,478 79,194
* Topdanmark A.S. 28,300 2,032,024
Treka A.S. 8,498 220,890
Vestfyns Bank 200 25,582
Vestjysk Bank A.S. 10,800 375,080
VT Holdings Shares B 3,130 170,698
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TOTAL COMMON STOCKS
(Cost $17,204,519) 39,423,922
----------------
RIGHTS/WARRANTS -- (0.0%)
* Forstaedernes Bank Rights 06/07/05 4,322 11,435
* Pharmexa A.S. Rights 05/31/05 12,940 7,168
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TOTAL RIGHTS/WARRANTS
(Cost $0) 18,603
----------------
TOTAL -- DENMARK
(Cost $17,204,519) 39,442,525
----------------
NORWAY -- (3.6%)
COMMON STOCKS -- (3.6%)
* Acta Holding ASA 10,000 18,521
* Aker Kvaerner OGEP ASA 45,609 1,723,396
Aker Yards ASA 28,121 1,030,482
Aktiv Kapital ASA 57,017 846,270
Arendals Fosse Kompani ASA 100 11,616
* Blom ASA 18,367 35,578
Bonheur ASA 16,850 1,015,333
* Choice Hotel Scandinavia ASA 27,740 86,359
* Corrocean ASA 19,321 8,827
Det Norske Oljeselskap ASA Series A 88,945 1,021,142
# DOF ASA 97,006 357,186
# EDB Elektronisk Data Behandling ASA 149,417 1,133,086
Ekornes ASA 56,490 1,100,643
* # Eltek ASA 40,842 457,832
Expert ASA 48,758 528,206
Farstad Shipping ASA 60,790 705,709
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* # Fjord Seafood ASA 783,483 354,702
* # Fred Olsen Energy ASA 91,600 1,838,118
Ganger Rolf ASA 6,690 375,531
Gresvig ASA 4,590 27,544
* Home Invest ASA 15,077 11,676
* Independent Oil Tools ASA 75,603 21,077
* Itera Consulting Group ASA 90,000 39,379
# Kongsberg Gruppen ASA 49,500 728,672
* Kverneland ASA 16,160 200,188
Leroy Seafood Group ASA 23,800 156,494
* # Merkantildata ASA 320,521 92,704
Natural ASA 10,143 45,538
* Nera ASA 187,753 398,477
* Nordic Semiconductor ASA 25,000 195,146
* Northern Offshore, Ltd. 214,000 84,972
* Ocean Rig ASA 105,531 690,062
Odfjell ASA Series A 99,640 1,900,223
Olav Thon Eiendomsselskap ASA 8,320 604,806
* Opticom ASA 3,600 26,728
* Otrum ASA 11,600 54,984
P4 Radio Hele Norge ASA 32,200 104,956
* Petrolia Drilling ASA 100,000 9,437
* Photocure ASA 26,690 156,104
Prosafe ASA 55,980 1,682,144
* Q-Free ASA 8,000 25,325
Rieber and Son ASA Series A 63,654 508,073
* Scana Industrier ASA 50,000 27,707
Schibsted ASA 112,960 2,981,575
* # Sinvest ASA 58,220 240,646
Smedvig ASA Series A 83,580 1,463,172
* # Software Innovation ASA 13,423 37,235
Solstad Offshore ASA 54,100 580,139
* Sparebk Midt-Norge 2,200 95,499
Steen and Stroem ASA 19,512 539,663
# Storebrand ASA 183,330 1,525,312
* Synnove Finden ASA 4,200 18,911
# Tandberg ASA Series A 217,280 2,322,945
* # Tandberg Data ASA 58,950 75,750
* Tandberg Storage ASA 48,450 18,743
* Tandberg Television ASA 90,430 1,034,264
* Telecomputing ASA 44,963 75,893
* Tgs-Nopec Geophysical Co. ASA 40,910 1,127,788
Tomra Systems ASA 294,480 1,271,474
* TTS Marine ASA 12,000 49,398
* Tybring-Gjed ASA 145,146 71,210
* Unit 4 Agresso NV 4,620 49,374
Veidekke ASA 21,846 432,594
Visma ASA 47,393 547,676
Wilhelmsen (Wilhelm), Ltd. ASA Series A 60,800 1,545,039
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TOTAL COMMON STOCKS
(Cost $19,444,016) 36,545,253
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INVESTMENT IN CURRENCY -- (0.0%)
* Norwegian Krone 101,196
----------------
(Cost $102,528)
TOTAL -- NORWAY
(Cost $19,546,544) 36,646,449
----------------
BELGIUM -- (3.3%)
COMMON STOCKS -- (3.3%)
* Abfin SA 2,560 0
# Ackermans & Van Haaren SA 54,011 2,143,143
* # Arinso International NV 14,739 204,715
Associated Weavers International 5,057 48,551
Banque Nationale de Belgique 710 2,916,481
# Barco (New) NV 17,896 1,299,920
# Bekaert SA 32,028 2,374,353
Brantano NV 2,060 120,734
# Brederode SA 12,180 306,272
Carrieres Unies Porphyre 20 35,088
# CFE (Compagnie Francois d'Entreprises) 2,080 839,161
# Cofinimmo SA 11,516 1,828,885
* Commerciale de Brasserie SA COBRHA 115 148,473
# Compagnie Maritime Belge 41,185 1,344,854
* Cumerio 9,586 132,116
# Deceuninck SA 63,700 1,863,952
# D'Ieteren SA 6,425 1,275,781
# Distrigaz 57 214,180
* Docpharma SA NV 4,489 152,683
Dolmen Computer Applications 5,036 58,369
Duvel Moorgat NV 5,019 166,435
Euronav SA 41,185 1,219,921
EVS Broadcast Equipment SA 5,500 134,757
Exmar NV 8,641 520,153
Floridienne NV 2,033 145,133
Glaces de Moustier-sur-Sambre SA 13,370 562,948
* ICOS Vision Systems Corp. NV 12,914 336,156
* Immobel (Cie Immobiliere de Belgique SA) 5,621 241,740
* Innogenetics NV 39,726 637,637
* Integrated Production & Test Engineering NV 4,380 23,434
* International Brachtherapy SA 9,935 60,498
* Ion Beam Application SA 35,077 241,477
* Ipso-Ilg SA 5,990 53,452
Keytrade Bank SA 2,800 94,475
Kinepolis Group NV 5,020 162,417
Lotus Bakeries NV 650 82,662
# Melexis NV 52,741 641,682
Metiers Automatiques Picanol 16,120 343,772
* Neuhaus NV 670 35,448
# Nord-Sumatra Investissements SA 650 292,180
# Omega Pharma SA 28,203 1,437,698
* Option NV 14,958 487,048
Papeteries de Catala SA 315 34,886
# Quick Restaurants SA 19,501 372,497
* Real Software SA 55,542 34,927
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# Recticel SA 22,870 194,177
* Resilux NV 1,754 83,029
Rosier SA 655 102,712
# Roularta Media Groep 9,837 605,545
* Sait Radioholland 7,313 38,725
# Sapec SA 3,635 366,830
* Sapec SA VVPR 75 205
# Sioen Industries 21,502 235,250
* SIPEF (Societe Internationale de Plantations & de Finance), Anvers 1,685 282,206
* Solvus SA 38,344 734,907
* Solvus SA Interim Strip VVPR 18,176 224
Spector Photo Group SA 5,408 43,306
* Systemat SA 12,107 81,980
# Telindus Group SA 64,911 718,239
Ter Beke NV 2,281 179,544
# Tessenderlo Chemie 47,282 1,831,358
UNIBRA 1,600 163,221
Union Miniere SA 9,586 752,973
# Van de Velde NV 2,683 472,472
VPK Packaging Group SA 7,185 247,553
# Warehouses de Pauw Sicafi 9,025 393,911
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TOTAL COMMON STOCKS
(Cost $22,063,145) 33,199,511
----------------
RIGHTS/WARRANTS -- (0.0%)
* Belge des Betons Contingent Rights 8,500 0
----------------
(Cost $0)
TOTAL -- BELGIUM
(Cost $22,063,145) 33,199,511
----------------
IRELAND -- (2.6%)
COMMON STOCKS -- (2.6%)
Abbey P.L.C. 50,849 574,416
* Ardagh P.L.C. 14,262 41,243
* Datalex P.L.C. 72,754 37,538
DCC P.L.C. 136,863 2,713,488
Donegal Creameries P.L.C. 18,079 85,652
* Dragon Oil P.L.C. 307,485 510,233
FBD Holdings P.L.C. 23,114 675,524
Fyffes P.L.C. 630,111 1,767,415
Glanbia P.L.C. 321,765 1,042,847
Grafton Group P.L.C. 284,256 3,302,959
Greencore Group P.L.C. 306,561 1,288,111
* Horizon Technology Group P.L.C. 45,564 57,131
IAWS Group P.L.C. 153,525 2,304,092
IFG Group P.L.C. 52,309 59,863
Independent News & Media P.L.C. 645,069 1,983,328
* Iona Technologies P.L.C. 53,750 180,076
Irish Intercontental Group P.L.C. 37,153 439,391
* IWP International P.L.C. 39,611 3,899
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Jurys Hotel Group P.L.C. 114,531 2,140,254
* Kenmare Resources P.L.C. 942,269 405,905
Kingspan Group P.L.C. 185,024 2,153,739
McInerney Holdings P.L.C. 58,094 592,857
Paddy Power P.L.C. 71,162 1,221,796
Readymix P.L.C. 109,762 284,433
United Drug P.L.C. 442,555 1,857,124
* Waterford Wedgwood P.L.C. 2,737,733 138,126
----------------
TOTAL -- IRELAND
(Cost $16,873,795) 25,861,440
----------------
AUSTRIA -- (2.1%)
COMMON STOCKS -- (2.1%)
* Admiral Sportwetten AG 1,000 17,535
Agrana Beteiligungs AG 2,921 261,905
Andritz AG 13,609 1,187,041
Austria Email AG 715 3,085
* Austrian Airlines/Oesterreichische Luftverkehrs-Aktiengesellschaft 42,784 369,021
Bank Fuer Kaernten und Steiermark AG 520 61,493
* # Betandwin.com Interactive Entertainment AG 12,749 1,824,094
Boehler-Uddeholm AG 11,195 1,444,834
BWT AG 21,819 670,478
* CA Immobilien Anlagen AG 36,830 923,809
Constantia-Verpackungen AG 19,123 636,370
* Conwert Immobilien Invest AG 18,614 306,558
* Demeter Vermoegensverwaltung 15,000 0
* Eybl International AG 2,400 59,006
Flughafen Wien AG 25,698 1,645,900
Frauenthal Holding AG 485 50,953
* Immofinanz Immobilien Anlagen AG 165,130 1,492,002
Lenzing AG 3,948 935,308
Manner (Josef) & Co. AG 870 42,823
Mayr-Melnhof Karton AG 11,760 1,676,150
Oberbank AG 5,384 531,147
Palfinger AG 10,383 600,202
* # RHI AG, Wien 29,275 806,974
Rosenbauer International AG 1,530 112,603
* S&T System Integration & Technology Distribution AG 2,515 92,580
Schoeller-Bleckmann Oilfield Equipment AG 11,860 284,419
* Sparkassen Immobilien AG 33,975 342,114
Ubm Realitaetenentwicklung AG 1,440 61,492
# Uniqa Versicherungen AG 128,555 2,246,598
Voestalpine AG 30,095 2,029,010
* Wolford AG 4,900 105,603
----------------
TOTAL COMMON STOCKS
(Cost $11,965,667) 20,821,107
----------------
31
[Enlarge/Download Table]
RIGHTS/WARRANTS -- (0.0%)
* Boehler-Uddeholm AG Rights 06/02/05 11,195 0
* CA Immobilien Anlagen AG Rights 06/01/05 34,837 429
* Jenbacher AG Rights 03/31/08 7,860 0
----------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 429
----------------
TOTAL -- AUSTRIA
(Cost $11,965,667) 20,821,536
----------------
PORTUGAL -- (1.2%)
COMMON STOCKS -- (1.2%)
Corticeira Amorim Sociedad Gestora Participacoes Sociais SA 194,100 273,188
EFACEC Capital, SGPS, SA 60,600 162,350
Finibanco Holdings SGPS, SA 35,482 56,133
* Gescartao, SGPS, SA 10,107 133,188
Ibersol SGPS SA 14,462 94,311
* # Impresa Sociedade Gestora de Participacoes Socias SA 190,166 1,284,504
* Investimentos Participacoes e Gestao SA Inapa 43,702 133,886
Jeronimo Martins SGPS SA 170,757 2,389,975
Mota-Engil, SGPS, SA 250,900 741,711
* # Novabase SGPS 56,005 409,918
* # ParaRede-SGPS SA 97,133 40,764
Portucel-Empresa Produtora de Pasta de Papel SA 466,977 805,259
Sag Gest - Solucoes Automovel Globais SGPS SA 235,500 371,460
Salvador Caetano - Industrias Metalurgicas e Veiculos de Transporte SA 54,900 253,341
* Sociedad Construcoes Soares da Costa SA 19,200 35,805
# Sociedade de Investimento e Gestao SGPS SA 160,396 909,016
Sonae SGPS SA 1,079,900 1,582,540
* # Sonaecom SGPS SA 321,175 1,384,888
* Sporting Sociedad Desportiva de Futebol 3,301 9,828
Teixeira Duarte Engenharia e Construcoes SA 609,000 824,289
----------------
TOTAL -- PORTUGAL
(Cost $6,843,117) 11,896,354
----------------
EMU -- (0.1%)
INVESTMENT IN CURRENCY -- (0.1%)
* Euro Currency 554,480
----------------
(Cost $564,980)
UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
* Epicor Software Corp. 2,171 26,768
* InFocus Corp. 10,455 43,493
----------------
TOTAL -- UNITED STATES
(Cost $214,919) 70,261
----------------
32
[Enlarge/Download Table]
FACE
AMOUNT VALUE+
---------------- ----------------
(000)
TEMPORARY CASH INVESTMENTS -- (18.9%)
^ Repurchase Agreement, Deutsche Bank Securities &
Mizuho Securities USA 2.96% and 2.98%, respectively,
06/01/05 (Collateralized by $277,454,335 U.S. TIPS
1.875%, 07/15/13 & U.S. STRIPS, rates ranging from 0%
to 9.875%, maturities ranging from 11/15/05 to
02/15/29, valued at $193,688,829) to be repurchased
at $189,898,459 (Cost $189,882,796) $ 189,883 189,882,796
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%,
06/01/05 (Collateralized by $828,000 FNMA Notes 2.95%,
11/14/07, valued at $826,965) to be repurchased at
$814,065 (Cost $814,000) 814 814,000
----------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $190,696,796) 190,696,796
----------------
TOTAL INVESTMENTS - (100.0%)
(Cost $724,614,597) $ 1,006,081,648
----------------
----------
+ Securities have been fair valued. See Note B to Financial Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
33
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
(UNAUDITED)
[Enlarge/Download Table]
THE U.S. THE U.S. THE U.S. THE DFA
LARGE LARGE SMALL INTERNATIONAL
COMPANY CAP VALUE CAP VALUE
SERIES SERIES SERIES SERIES
-------------- -------------- -------------- ---------------
ASSETS:
Investments at Value (including $227,963, $153,810,
$109,475 and $845,639 of securities on loan,
respectively) $ 4,102,019 $ 4,963,825 $ 2,618,370 $ 4,364,903
Cash 3,232 1 -- --
Receivables:
Investment Securities Sold -- 1,427 6,861 122
Dividends, Interest, and Tax Reclaims 6,559 6,334 1,100 11,301
Securities Lending Income 39 260 318 1,018
Fund Shares Sold 2,597 6,047 669 6,763
Prepaid Expenses and Other Assets 24 20 14 17
-------------- -------------- -------------- ---------------
Total Assets 4,114,470 4,977,914 2,627,332 4,384,124
-------------- -------------- -------------- ---------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 234,937 159,527 119,676 897,593
Investment Securities Purchased -- 29,501 5,820 9,084
Fund Shares Redeemed 693 109 128 323
Due to Advisor 79 387 61 575
Loan Payable -- -- -- 241
Payable for Futures Margin Variation 435 -- -- --
Accrued Expenses and Other Liabilities 202 259 141 247
-------------- -------------- -------------- ---------------
Total Liabilities 236,346 189,783 125,826 908,063
-------------- -------------- -------------- ---------------
NET ASSETS $ 3,878,124 $ 4,788,131 $ 2,501,506 $ 3,476,061
============== ============== ============== ===============
SHARES OUTSTANDING $0.01 PAR VALUE N/A 247,661,374 166,281,387 221,948,580
============== ============== ============== ===============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE N/A $ 19.33 $ 15.04 $ 15.66
============== ============== ============== ===============
Investments at Cost $ 3,221,537 $ 3,977,265 $ 2,385,238 $ 3,763,256
============== ============== ============== ===============
THE JAPANESE THE PACIFIC THE UNITED THE CONTINENTAL
SMALL RIM SMALL KINGDOM SMALL SMALL
COMPANY COMPANY COMPANY COMPANY
SERIES SERIES SERIES SERIES
-------------- -------------- -------------- ---------------
ASSETS:
Investments at Value (including $202,651, $57,424,
$10,136 and $179,113 of securities on loan,
respectively) $ 1,006,274 $ 402,012 $ 472,087 $ 1,006,082
Cash 15 5 15 15
Receivables:
Investment Securities Sold -- 1,076 3,250 675
Dividends, Interest, and Tax Reclaims 5,404 691 1,508 2,027
Securities Lending Income 308 63 10 253
Fund Shares Sold 73 155 2,017 59
Prepaid Expenses and Other Assets 6 2 2 3
-------------- -------------- -------------- ---------------
Total Assets 1,012,080 404,004 478,889 1,009,114
-------------- -------------- -------------- ---------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 219,524 65,492 10,865 189,883
Investment Securities Purchased 7,372 4,313 14,795 2,152
Fund Shares Redeemed -- 42 1 4
Due to Advisor 66 28 36 68
Accrued Expenses and Other Liabilities 88 60 63 115
-------------- -------------- -------------- ---------------
Total Liabilities 227,050 69,935 25,760 192,222
-------------- -------------- -------------- ---------------
NET ASSETS $ 785,030 $ 334,069 $ 453,129 $ 816,892
============== ============== ============== ===============
Investments at Cost $ 994,844 $ 395,816 $ 376,365 $ 724,615
============== ============== ============== ===============
See accompanying Notes to Financial Statements.
65
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2005
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
[Enlarge/Download Table]
THE U.S. THE U.S. THE U.S. THE DFA
LARGE LARGE SMALL INTERNATIONAL
COMPANY CAP VALUE CAP VALUE
SERIES SERIES SERIES SERIES
-------------- -------------- -------------- --------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0,
$0, $0 and $6,624, respectively) $ 32,510 $ 30,069 $ 10,397 $ 59,004
Interest 1,014 644 279 243
Income from Securities Lending 94 501 1,451 2,820
-------------- -------------- -------------- --------------
Total Investment Income 33,618 31,214 12,127 62,067
-------------- -------------- -------------- --------------
EXPENSES
Investment Advisory Services 459 2,171 365 3,260
Accounting & Transfer Agent Fees 275 610 341 655
Custodian Fees 68 206 116 381
Legal Fees 13 8 5 8
Audit Fees 19 18 10 12
S&P 500 Fees 40 -- -- --
Shareholders' Reports 21 20 11 14
Trustees' Fees and Expenses 16 16 8 10
Other 31 30 18 42
-------------- -------------- -------------- --------------
Total Expenses 942 3,079 874 4,382
-------------- -------------- -------------- --------------
NET INVESTMENT INCOME (LOSS) 32,676 28,135 11,253 57,685
-------------- -------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold (16,162) 33,983 87,072 62,333
Net Realized Gain (Loss) on Futures 3,238 -- -- --
Net Realized Gain (Loss) on Foreign Currency Transactions -- -- -- (82)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 69,706 146,995 (134,361) (67,392)
Futures (1,348) -- -- --
Translation of Foreign Currency Denominated Amounts -- -- -- (654)
-------------- -------------- -------------- --------------
NET GAIN (LOSS) 55,434 180,978 (47,289) (5,795)
-------------- -------------- -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $ 88,110 $ 209,113 $ (36,036) $ 51,890
============== ============== ============== ==============
See accompanying Notes to Financial Statements.
66
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THE
THE JAPANESE THE PACIFIC THE UNITED CONTINENTAL
SMALL RIM SMALL KINGDOM SMALL SMALL
COMPANY COMPANY COMPANY COMPANY
SERIES SERIES SERIES SERIES
-------------- -------------- -------------- --------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $474, $160,
$0 and $1,905, respectively) $ 6,294 $ 6,272 $ 6,108 $ 11,783
Interest 73 45 55 83
Income from Securities Lending 1,721 358 36 953
-------------- -------------- -------------- --------------
Total Investment Income 8,088 6,675 6,199 12,819
-------------- -------------- -------------- --------------
EXPENSES
Investment Advisory Services 366 168 214 382
Accounting & Transfer Agent Fees 321 203 234 329
Custodian Fees 130 92 40 198
Legal Fees 2 1 1 2
Audit Fees 3 1 2 3
Shareholders' Reports 3 1 2 4
Trustees' Fees and Expenses 2 1 1 3
Other 11 5 6 12
-------------- -------------- -------------- --------------
Total Expenses 838 472 500 933
-------------- -------------- -------------- --------------
NET INVESTMENT INCOME (LOSS) 7,250 6,203 5,699 11,886
-------------- -------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment
Securities Sold 5,269 4,275 4,575 15,308
Net Realized Gain (Loss) on Foreign Currency
Transactions (3) 46 (49) (166)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 42,645 (17,021) (1,088) 22,727
Translation of Foreign Currency Denominated Amounts (204) (8) (5) (120)
-------------- -------------- -------------- --------------
NET GAIN (LOSS) 47,707 (12,708) 3,433 37,749
-------------- -------------- -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 54,957 $ (6,505) $ 9,132 $ 49,635
============== ============== ============== ==============
See accompanying Notes to Financial Statements.
67
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
[Enlarge/Download Table]
THE U.S. LARGE THE U.S. LARGE
COMPANY SERIES CAP VALUE SERIES
---------------------------- ---------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
------------ ------------ ------------ ------------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 32,676 $ 65,462 $ 28,135 $ 45,093
Net Realized Gain (Loss) on
Investment Securities Sold (16,162) (2,763) 33,983 84,609
Net Realized Gain (Loss) on Futures 3,238 9,374 -- --
Net Realized Gain (Loss) on Foreign
Currency Transactions -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency 69,706 317,965 146,995 496,658
Translation of Foreign Currency
Denominated Amounts -- -- -- --
Futures (1,348) 714 -- --
------------ ------------ ------------ ------------
Net Increase (Decrease) in
Net Assets Resulting from
Operations 88,110 390,752 209,113 626,360
------------ ------------ ------------ ------------
Distributions From:
Net Investment Income -- -- (26,329) (33,641)
Net Short-Term Gains -- -- -- --
Net Long-Term Gains -- -- (3,972) --
------------ ------------ ------------ ------------
Total Distributions -- -- (30,301) (33,641)
------------ ------------ ------------ ------------
Capital Share Transactions (1):
Shares Issued -- -- 677,006 857,913
Shares Issued in Lieu of Cash
Distributions -- -- 28,649 32,697
Shares Redeemed -- -- (16,249) (74,078)
------------ ------------ ------------ ------------
Net Increase (Decrease) from
Capital Share Transactions -- -- 689,406 816,532
------------ ------------ ------------ ------------
Transactions in Interest:
Contributions 465,880 571,038 -- --
Withdrawals (169,785) (468,868) -- --
------------ ------------ ------------ ------------
Net Increase (Decrease) from
Transactions in Interest 296,095 102,170 -- --
------------ ------------ ------------ ------------
Total Increase (Decrease) 384,205 492,922 868,218 1,409,251
NET ASSETS
Beginning of Period 3,493,919 3,000,997 3,919,913 2,510,662
------------ ------------ ------------ ------------
End of Period $ 3,878,124 $ 3,493,919 $ 4,788,131 $ 3,919,913
============ ============ ============ ============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued N/A N/A 35,683 50,791
Shares Issued in Lieu of Cash
Distributions N/A N/A 1,509 1,939
Shares Redeemed N/A N/A (857) (4,363)
------------ ------------
36,335 48,367
============ ============
THE DFA
THE U.S. SMALL INTERNATIONAL
CAP SERIES VALUE SERIES
---------------------------- ---------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
------------ ------------ ------------ ------------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 11,253 $ 15,072 $ 57,685 $ 49,525
Net Realized Gain (Loss) on
Investment Securities Sold 87,072 113,151 62,333 115,062
Net Realized Gain (Loss) on Futures -- -- -- --
Net Realized Gain (Loss) on Foreign
Currency Transactions -- -- (82) (332)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency (134,361) 180,068 (67,392) 436,284
Translation of Foreign Currency
Denominated Amounts -- -- (654) 162
Futures -- -- -- --
------------ ------------ ------------ ------------
Net Increase (Decrease) in
Net Assets Resulting from
Operations (36,036) 308,291 51,890 600,701
------------ ------------ ------------ ------------
Distributions From:
Net Investment Income (10,150) (10,116) (26,491) (44,310)
Net Short-Term Gains (18,608) (638) (2,493) --
Net Long-Term Gains (94,497) -- (104,987) --
------------ ------------ ------------ ------------
Total Distributions (123,255) (10,754) (133,971) (44,310)
------------ ------------ ------------ ------------
Capital Share Transactions (1):
Shares Issued 279,725 890,063 664,859 728,312
Shares Issued in Lieu of Cash
Distributions 122,467 10,424 131,569 42,852
Shares Redeemed (62,485) (345,420) (42,329) (128,290)
------------ ------------ ------------ ------------
Net Increase (Decrease) from
Capital Share Transactions 339,707 555,067 754,099 642,874
------------ ------------ ------------ ------------
Transactions in Interest:
Contributions -- -- -- --
Withdrawals -- -- -- --
------------ ------------ ------------ ------------
Net Increase (Decrease) from
Transactions in Interest -- -- -- --
------------ ------------ ------------ ------------
Total Increase (Decrease) 180,416 852,604 672,018 1,199,265
NET ASSETS
Beginning of Period 2,321,090 1,468,486 2,804,043 1,604,778
------------ ------------ ------------ ------------
End of Period $ 2,501,506 $ 2,321,090 $ 3,476,061 $ 2,804,043
============ ============ ============ ============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 18,288 60,867 41,322 51,724
Shares Issued in Lieu of Cash
Distributions 7,940 728 8,398 3,072
Shares Redeemed (4,219) (23,461) (2,638) (9,358)
------------ ------------ ------------ ------------
22,009 38,134 47,082 45,438
============ ============ ============ ============
See accompanying Notes to Financial Statements.
68
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THE JAPANESE SMALL THE PACIFIC RIM
COMPANY SERIES SMALL COMPANY SERIES
---------------------------- ----------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
------------ ------------ ------------ ------------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 7,250 $ 6,488 $ 6,203 $ 7,693
Net Realized Gain (Loss) on Investment
Securities Sold 5,269 4,671 4,275 8,924
Net Realized Gain (Loss) on Foreign
Currency Transactions (3) (28) 46 69
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency 42,645 101,600 (17,021) 37,804
Translation of Foreign Currency
Denominated Amounts (204) 127 (8) 16
------------ ------------ ------------ ------------
Net Increase (Decrease) in
Net Assets Resulting from
Operations 54,957 112,858 (6,505) 54,506
------------ ------------ ------------ ------------
Transactions in Interest:
Contributions 131,321 214,817 63,123 82,852
Withdrawals (6,380) (6,242) (5,548) (11,124)
------------ ------------ ------------ ------------
Net Increase (Decrease) from
Transactions in Interest 124,941 208,575 57,575 71,728
------------ ------------ ------------ ------------
Total Increase (Decrease) 179,898 321,433 51,070 126,234
NET ASSETS
Beginning of Period 605,132 283,699 282,999 156,765
------------ ------------ ------------ ------------
End of Period $ 785,030 $ 605,132 $ 334,069 $ 282,999
============ ============ ============ ============
THE UNITED KINGDOM THE CONTINENTAL
SMALL COMPANY SERIES SMALL COMPANY SERIES
---------------------------- ---------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
------------ ------------ ------------ ------------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 5,699 $ 7,631 $ 11,886 $ 11,410
Net Realized Gain (Loss) on Investment
Securities Sold 4,575 7,907 15,308 20,346
Net Realized Gain (Loss) on Foreign
Currency Transactions (49) (42) (166) 114
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency (1,088) 56,621 22,727 139,855
Translation of Foreign Currency
Denominated Amounts (5) (12) (120) (20)
------------ ------------ ------------ ------------
Net Increase (Decrease) in
Net Assets Resulting from
Operations 9,132 72,105 49,635 171,705
------------ ------------ ------------ ------------
Transactions in Interest:
Contributions 69,014 148,279 115,927 70,258
Withdrawals (2,780) (3,538) (3,314) (35,726)
------------ ------------ ------------ ------------
Net Increase (Decrease) from
Transactions in Interest 66,234 144,741 112,613 34,532
------------ ------------ ------------ ------------
Total Increase (Decrease) 75,366 216,846 162,248 206,237
NET ASSETS
Beginning of Period 377,763 160,917 654,644 448,407
------------ ------------ ------------ ------------
End of Period $ 453,129 $ 377,763 $ 816,892 $ 654,644
============ ============ ============ ============
See accompanying Notes to Financial Statements.
69
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
[Enlarge/Download Table]
THE U.S. LARGE COMPANY SERIES
--------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
---------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value,
Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized) -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment
Operations -- -- -- -- -- --
---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- -- --
Net Realized Gains -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions -- -- -- -- -- --
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
=================================================================================================================================
Total Return 2.44%# 12.77% 15.05% (16.59)% (12.30)% (4.25)%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 3,878,124 $ 3,493,919 $ 3,000,997 $ 2,623,557 $ 2,831,650 $ 3,138,812
Ratio of Expenses to Average Net
Assets 0.05%* 0.05% 0.05% 0.05% 0.05% 0.06%
Ratio of Net Investment Income
to Average Net Assets 1.78%* 1.99% 1.75% 1.53% 1.26% 1.12%
Portfolio Turnover Rate 3%# 2% 8% 11% 8% 8%
THE U.S. LARGE CAP VALUE SERIES
--------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
---------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value,
Beginning of Period $ 18.55 $ 15.41 $ 13.01 $ 14.44 $ 14.71 $ 17.79
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.12 0.23 0.21 0.20 0.25 0.33
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.80 3.09 2.41 (1.43) 1.25 0.04
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment
Operations 0.92 3.32 2.62 (1.23) 1.50 0.37
---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.12) (0.18) (0.22) (0.20) (0.27) (0.32)
Net Realized Gains (0.02) -- -- -- (1.50) (3.13)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.14) (0.18) (0.22) (0.20) (1.77) (3.45)
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 19.33 $ 18.55 $ 15.41 $ 13.01 $ 14.44 $ 14.71
=================================================================================================================================
Total Return 4.97%# 21.68% 20.34% (8.64)% 10.97% 3.06%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 4,788,131 $ 3,919,913 $ 2,510,662 $ 1,737,809 $ 1,637,083 $ 1,735,343
Ratio of Expenses to Average Net
Assets 0.14%* 0.15% 0.15% 0.15% 0.15% 0.16%
Ratio of Net Investment Income
to Average Net Assets 1.30%* 1.41% 1.62% 1.49% 1.66% 2.20%
Portfolio Turnover Rate 3%# 7% 7% 9% 6% 26%
* Annualized
# Non-annualized
N/A+ Not applicable as The U.S. Large Company Series is organized as a
partnership and does not have a unitized value.
See accompanying Notes to Financial Statements.
70
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THE U.S. SMALL CAP SERIES
--------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
---------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 16.09 $ 13.84 $ 9.93 $ 11.08 $ 11.67 $ 12.24
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.07 0.12 0.08 0.09 0.10 0.11
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.28) 2.22 3.92 (1.00) 1.24 0.65
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations (0.21) 2.34 4.00 (0.91) 1.34 0.76
------------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.07) (0.08) (0.09) (0.10) (0.10) (0.11)
Net Realized Gains (0.77) (0.01) -- (0.14) (1.83) (1.22)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.84) (0.09) (0.09) (0.24) (1.93) (1.33)
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 15.04 $ 16.09 $ 13.84 $ 9.93 $ 11.08 $ 11.67
=================================================================================================================================
Total Return (1.43)%# 16.99% 40.32% (8.42)% 13.08% 6.48%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 2,501,506 $ 2,321,090 $ 1,468,486 $ 851,901 $ 991,082 $ 768,151
Ratio of Expenses to Average Net Assets 0.07%* 0.07% 0.08% 0.08% 0.08% 0.08%
Ratio of Net Investment Income
to Average Net Assets 0.93%* 0.85% 0.84% 0.81% 0.94% 0.99%
Portfolio Turnover Rate 9%# 16% 16% 34% 13% 38%
THE DFA INTERNATIONAL VALUE SERIES
--------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
---------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 16.04 $ 12.40 $ 9.33 $ 10.15 $ 12.07 $ 13.18
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.27 0.33 0.27 0.24 0.27 0.27
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.10 3.61 3.06 (0.78) (1.49) (0.31)
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.37 3.94 3.33 (0.54) (1.22) (0.04)
---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.15) (0.30) (0.25) (0.25) (0.27) (0.26)
Net Realized Gains (0.60) -- (0.01) (0.03) (0.43) (0.81)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.75) (0.30) (0.26) (0.28) (0.70) (1.07)
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 15.66 $ 16.04 $ 12.40 $ 9.33 $ 10.15 $ 12.07
=================================================================================================================================
Total Return 2.31%# 32.15% 36.24% (5.53)% (10.75)% (0.51)%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 3,476,061 $ 2,804,043 $ 1,604,778 $ 1,125,467 $ 1,208,100 $ 1,553,481
Ratio of Expenses to Average Net Assets 0.27%* 0.28% 0.30% 0.30% 0.29% 0.29%
Ratio of Net Investment Income
to Average Net Assets 3.55%* 2.35% 2.61% 2.36% 2.32% 2.13%
Portfolio Turnover Rate 5%# 15% 14% 18% 6% 9%
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
71
[Enlarge/Download Table]
THE JAPANESE SMALL COMPANY SERIES
--------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
---------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized) -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations -- -- -- -- -- --
---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- -- --
Net Realized Gains -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions -- -- -- -- -- --
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
=================================================================================================================================
Total Return 8.94%# 32.73% 47.87% (9.62)% (13.51)% (9.93)%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 785,030 $ 605,132 $ 283,699 $ 195,047 $ 196,187 $ 196,118
Ratio of Expenses to Average Net Assets 0.23%* 0.27% 0.28% 0.27% 0.28% 0.27%
Ratio of Net Investment Income to
Average Net Assets 1.99%* 1.45% 1.41% 1.26% 1.41% 1.38%
Portfolio Turnover Rate 2%# 5% 16% 5% 9% 6%
THE PACIFIC RIM SMALL COMPANY SERIES
--------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
---------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized) -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations -- -- -- -- -- --
---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- -- --
Net Realized Gains -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions -- -- -- -- -- --
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
=================================================================================================================================
Total Return (1.72)%# 27.40% 61.47% 7.28% 2.84% (10.99)%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 334,069 $ 282,999 $ 156,765 $ 121,637 $ 130,554 $ 131,888
Ratio of Expenses to Average Net Assets 0.28%* 0.32% 0.31% 0.32% 0.28% 0.29%
Ratio of Net Investment Income to
Average Net Assets 3.71%* 3.82% 3.35% 3.77% 3.69% 4.10%
Portfolio Turnover Rate 3%# 11% 15% 26% 10% 7%
* Annualized
# Non-annualized
N/A+ Not applicable as The Japanese Small Company Series and The Pacific Rim
Small Company Series are organized as partnerships and do not have unitized
values.
See accompanying Notes to Financial Statements.
72
[Enlarge/Download Table]
THE UNITED KINGDOM SMALL COMPANY SERIES
--------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
---------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized) -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations -- -- -- -- -- --
---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- -- --
Net Realized Gains -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions -- -- -- -- -- --
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
=================================================================================================================================
Total Return 2.57%# 29.68% 44.65% (4.67)% (4.89)% (6.18)%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 453,129 $ 377,763 $ 160,917 $ 98,899 $ 96,741 $ 109,806
Ratio of Expenses to Average Net Assets 0.23%* 0.27% 0.26% 0.26% 0.27% 0.26%
Ratio of Net Investment Income to
Average Net Assets 2.67%* 2.70% 3.25% 3.03% 2.86% 3.06%
Portfolio Turnover Rate 5%# 7% 7% 6% 14% 11%
THE CONTINENTAL SMALL COMPANY SERIES
--------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
---------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized) -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations -- -- -- -- -- --
---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- -- --
Net Realized Gains -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions -- -- -- -- -- --
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
=================================================================================================================================
Total Return 7.81%# 36.57% 52.86% 3.22% (5.43)% 2.67%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 816,892 $ 654,644 $ 448,407 $ 263,068 $ 210,337 $ 226,724
Ratio of Expenses to Average Net Assets 0.24%* 0.26% 0.30% 0.31% 0.30% 0.28%
Ratio of Net Investment Income to
Average Net Assets 3.12%* 2.09% 2.49% 2.22% 2.73% 2.36%
Portfolio Turnover Rate 3%# 9% 11% 12% 12% 9%
* Annualized
# Non-annualized
N/A+ Not applicable as The United Kingdom Small Company Series and The
Continental Small Company Series are organized as partnerships and do not
have unitized values.
See accompanying Notes to Financial Statements.
73
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. At May
31, 2005, the Trust consisted of twenty-one investment portfolios, of which
eight are included in this section of the report and three are presented
elsewhere in this 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 "International Equity Portfolios")
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: Securities held by the Domestic Equity Portfolios
which are listed on a securities exchange and for which market quotations are
readily available are valued at the last quoted sale price of the day.
Securities held by the Series that are listed on NASDAQ are valued at the NASDAQ
Official Closing Price ("NOCP"). If there is no last reported sale price or NOCP
for the day, the Series values the securities at the mean between the most
recent 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 quoted bid
and asked prices. Securities for which quotations are not readily available, or
for which market quotations have become unreliable, are valued in good faith at
fair value using methods approved by the Board of Trustees.
The 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
74
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
Boards of Directors/Trustees of the Funds have determined that movements in
relevant indices or other appropriate market indicators, after the close of the
Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market
quotations may be unreliable, and may trigger fair value pricing. Consequently,
fair valuation of portfolio securities may occur on a daily basis. The fair
value pricing by the 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 Equity Portfolios whose values are initially
expressed in foreign currencies are translated to U.S. dollars using the mean
between the most recently quoted bid and asked prices for the U.S. dollar as
quoted by generally recognized reliable sources. Dividend and interest income
and certain expenses are translated to U.S. dollars at the rate of exchange on
their respective accrual dates. Receivables and payables denominated in foreign
currencies are marked to market daily based on daily exchange rates and exchange
gains or losses are realized upon ultimate receipt or disbursement.
The International Equity Portfolios do not isolate the effect of
fluctuations in foreign exchange rates from the effect of fluctuations in the
market prices of securities held whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of the
International Equity Portfolios and the U.S. dollar equivalent amounts actually
received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Trustees may defer payment of a percentage of
their total fees earned as a Trustee. These deferred amounts may be treated as
though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Trustees' Fees and
Expenses.
4. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on an accrual basis. Discount and premium on securities
purchased are amortized over the lives of the respective securities utilizing
the effective interest method. Expenses directly attributable to a Series are
directly charged. Common expenses of the Trust or Series are allocated using
methods approved by the Board of Trustees, generally based on average net
assets.
The International Equity Portfolios may be subject to taxes imposed by
countries in which they invest, with respect to their investments in issuers
existing or operating in such countries. Such taxes are generally based on
income earned or repatriated and capital gains realized on the sale of such
investments. The International Equity Portfolios accrue such taxes when the
related income or capital gains are earned. 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.
75
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Trust. For the six months ended May 31,
2005, the Series' advisory fees were accrued daily and paid monthly to the
Advisor based on the following effective annual rates:
[Download Table]
The U.S. Large Company Series 0.025 of 1%
The U.S. Large Cap Value Series 0.10 of 1%
The U.S. Small Cap Series 0.03 of 1%
The DFA International Value Series 0.20 of 1%
The Japanese Small Company Series 0.10 of 1%
The Pacific Rim Small Company Series 0.10 of 1%
The United Kingdom Small Company Series 0.10 of 1%
The Continental Small Company Series 0.10 of 1%
Certain officers of the Trust are also officers, directors and shareholders
of the Advisor.
D. DEFERRED COMPENSATION:
At May 31, 2005, the total liability for deferred compensation to Trustees
is included in Accrued Expenses and Other Liabilities as follows:
[Download Table]
The U.S. Large Company Series $ 58,041
The U.S. Large Cap Value Series 67,547
The U.S. Small Cap Series 38,856
The DFA International Value Series 50,660
The Japanese Small Company Series 11,236
The Pacific Rim Small Company Series 5,339
The United Kingdom Small Company Series 6,759
The Continental Small Company Series 11,761
E. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 2005, the Series made the following
purchases and sales of investment securities other than short-term securities
(amounts in thousands):
[Download Table]
OTHER INVESTMENT
SECURITIES
------------------------
PURCHASES SALES
---------- ----------
The U.S. Large Company Series $ 423,290 $ 99,310
The U.S. Large Cap Value Series 765,051 122,559
The U.S. Small Cap Series 437,486 209,714
The DFA International Value Series 843,507 165,589
The Japanese Small Company Series 148,731 11,669
The Pacific Rim Small Company Series 76,340 9,687
The United Kingdom Small Company Series 88,705 19,689
The Continental Small Company Series 151,068 25,106
There were no purchases or sales of U.S. Government Securities during the
six months ended May 31, 2005.
F. FEDERAL INCOME TAXES:
It is the intention of The U.S. Large Cap Value Series, The U.S. Small Cap
Series, and The DFA International Value Series, to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code and
to distribute substantially all of their taxable income and capital gains to
shareholders.
The U.S. Large Company Series, The Japanese Small Company Series, The
Pacific Rim Small Company Series, The United Kingdom Small Company Series, and
The Continental Small Company Series, are treated as partnerships
76
for federal income tax purposes and therefore, no provision for federal income
taxes is required. Any interest, dividends, and gains or losses have been deemed
to have been "passed down" to their respective partners.
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2004 and November 30, 2003 were as follows (amounts
in thousands):
[Download Table]
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
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
At November 30, 2004, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
[Download Table]
TOTAL NET
DISTRIBUTABLE
UNDISTRIBUTED UNDISTRIBUTED EARNINGS
NET INVESTMENT LONG-TERM (ACCUMULATED
INCOME CAPITAL GAINS 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
Certain of The DFA International Value Series' investments are in
securities considered to be "passive foreign investment companies", for which
any unrealized appreciation/(depreciation) (mark to market) and/or realized
gains are required to be included in distributable net investment income for tax
purposes. During the year ended November 30, 2004, The DFA International Value
Series had unrealized appreciation/(depreciation) (mark to market) and realized
gains on the sale of passive foreign investment companies of $10,083,171 and
$12,003,955 respectively, which are included in distributable net investment
income for tax purposes, accordingly, such gains have been reclassified from
accumulated net realized gains to accumulated net investment income.
At May 31, 2005, the total cost and aggregate gross unrealized appreciation
and depreciation of securities for federal income tax purposes were different
from amounts reported for financial reporting purposes (amounts in thousands):
[Enlarge/Download Table]
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
----------- ------------ ------------ --------------
The U.S. Large Company Series $ 3,395,166 $ 1,107,748 $ (400,895) $ 706,853
The U.S. Large Cap Value Series 3,977,265 1,216,187 (229,627) 986,560
The U.S. Small Cap Series 2,388,147 538,573 (308,350) 230,223
The DFA International Value Series 3,763,356 692,851 (91,304) 601,547
The Japanese Small Company Series 998,112 125,118 (116,956) 8,162
The Pacific Rim Small Company Series 395,866 71,148 (65,001) 6,147
The United Kingdom Small Company Series 376,376 125,938 (30,226) 95,712
The Continental Small Company Series 724,615 315,673 (34,206) 281,467
77
G. COMPONENTS OF NET ASSETS:
At May 31, 2005, net assets consisted of (amounts in thousands):
[Enlarge/Download Table]
UNREALIZED
ACCUMULATED ACCUMULATED ACCUMULATED APPRECIATION UNREALIZED
NET NET REALIZED NET REALIZED (DEPRECIATION) OF NET FOREIGN
INVESTMENT GAIN (LOSS) OF FOREIGN INVESTMENT EXCHANGE NUMBER OF
PAID-IN INCOME INVESTMENT EXCHANGE SECURITIES AND GAIN TOTAL NET SHARES
CAPITAL (LOSS) SECURITIES GAIN (LOSS) FOREIGN CURRENCY (LOSS) ASSETS AUTHORIZED
----------- ----------- -------------- ------------- ----------------- ----------- ----------- ----------
The U.S. Large Cap
Value Series $ 3,752,794 $ 14,963 $ 33,814 -- $ 986,560 -- $ 4,788,131 Unlimited
The U.S. Small Cap
Series 2,178,692 6,252 83,430 -- 233,132 -- 2,501,506 Unlimited
The DFA International
Value Series 2,771,495 49,058 54,235 $ (82) 601,647 $ (292) 3,476,061 Unlimited
H. FINANCIAL INSTRUMENTS:
In accordance with the Series' investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. REPURCHASE AGREEMENTS: The Series may purchase money market instruments
subject to the counterparty's agreement to repurchase them at an agreed upon
date and price. The counterparty will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
with the Trust's custodian or a third party sub-custodian. In the event of
default or bankruptcy by the other party to the agreement, retention of the
collateral may be subject to legal proceedings. All open repurchase agreements
were entered into on May 31, 2005.
2. FOREIGN MARKET RISKS: Investments in foreign markets may involve certain
consideration and risks not typically associated with investments in the United
States, including the possibility of future political and economic developments
and the level of foreign government supervision and regulation of foreign
securities markets. These markets are generally smaller, less liquid and more
volatile than the major securities markets in the United States. Consequently,
acquisition and disposition of securities by the Series may be inhibited.
3. FUTURES CONTRACTS: During the six months ended May 31, 2005, The U.S.
Large Company Series ("Large Company") entered into futures contracts in
accordance with its investment objectives. Upon entering into a futures
contract, Large Company deposits cash 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 May 31, 2005, Large Company had outstanding 260 long futures contracts
on the S&P 500 Index, all of which expire on June 17, 2005. The value of such
contracts on May 31, 2005 was $77,499,500 which resulted in an unrealized gain
of $1,607,600. Approximately $4,160,000 of cash has been segregated as
collateral for the open futures contracts and has been accounted for as cash on
the Statement of Assets and Liabilities.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Series could lose more than the
initial margin requirements.
78
I. LINE OF CREDIT:
The Trust, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2004
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each portfolio is individually, and not jointly
liable for its particular advances under the line of credit. There is no
commitment fee on the unused portion of the line of credit, since this is not a
committed facility. The agreement for the discretionary line of credit may be
terminated by either party at any time. The agreement for the line of credit
expires on June 27, 2006. For the six months ended May 31, 2005, borrowings
under the line 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
------------- ------------ ----------- -------- ---------------
The DFA International Value Series 3.76% $ 241,250 1 $ 25 $ 241,250
The Japanese Small Company Series 3.15% 200,000 1 18 200,000
The Pacific Rim Small Company Series 3.76% 300,000 4 125 300,000
The United Kingdom Small Company Series 3.49% 2,053,000 4 797 2,700,000
At May 31, 2005, The DFA International Value Series had an outstanding
borrowing under the line of credit of $241,250 plus accrued interest. The
remaining Series had no outstanding borrowings under the line of credit at May
31, 2005.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
3, 2005 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Each portfolio is individually, and not jointly, liable for its
particular advances under the line of credit. Borrowings under the line of
credit are charged interest at rates agreed to by the parties at the time of
borrowing. There is no commitment fee on the unused line of credit. The
agreement for the line of credit expires on April 2, 2006. There were no
borrowings by the Series under the line of credit during the six months ended
May 31, 2005.
J. SECURITIES LENDING:
As of May 31, 2005, some of the Series' portfolios had securities on loan
to brokers/dealers, for which each portfolio held cash collateral. Each
portfolio invests the cash collateral, as described below, and records a
liability for the return of the collateral, during the period the securities are
on loan. Loans of securities are required at all times to be secured by
collateral at least equal to 100% of the market value of the securities on loan.
However, in the event of default or bankruptcy by the other party to the
agreement, realization and/or retention of the collateral may be subject to
legal proceedings. In the event that the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is insufficient
to cover the value of loaned securities and provided such collateral
insufficiency is not the result of investment losses, the lending agent has
agreed to pay the amount of the shortfall to the portfolio or, at the option of
the lending agent, to replace the securities.
The cash collateral received by each Portfolio from securities on loan is
invested in repurchase agreements collateralized by U.S. government securities.
Securities pledged as collateral for the repurchase agreements are held by a
custodian bank until the agreements are repurchased.
79
The Series' paid fees for securities lending for the six month period ended
May 31, 2005, which have been netted against the Income from Securities Lending
on the Statements of Operations. These fees are presented below (amounts in
thousands):
[Download Table]
The U.S. Large Company Series $ 23
The U.S. Large Cap Value Series 126
The U.S. Small Cap Series 363
The DFA International Value Series 1,219
The Japanese Small Company Series 740
The Pacific Rim Small Company Series 154
The United Kingdom Small Company Series 16
The Continental Small Company Series 408
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.
80
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Fund and the Trust
uses in voting proxies relating to securities held in the portfolio is available
without charge, upon request, by calling collect: (310) 395-8005. Information
regarding how the Advisor votes these proxies is available from the EDGAR
database on the SEC's website at http://www.sec.gov and from the Advisor's
website at http://www.dfaus.com and reflects the twelve-month period beginning
July 1 and ending June 30.
81
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DFA INVESTMENT DIMENSIONS GROUP INC.
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
SEMI-ANNUAL REPORT
SIX MONTHS ENDED MAY 31, 2005
(UNAUDITED)
DFA INVESTMENT DIMENSIONS GROUP INC.
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
[Download Table]
PAGE
----
Disclosure of Fund Expenses 1
Disclosure of Portfolio Holdings 4
Schedules of Investments
U.S. Large Company Portfolio 8
Enhanced U.S. Large Company Portfolio 8
U.S. Large Cap Value Portfolio 8
U.S. Small XM Value Portfolio 8
U.S. Small Cap Value Portfolio 9
U.S. Small Cap Portfolio 9
U.S. Micro Cap Portfolio 9
DFA Real Estate Securities Portfolio 10
Large Cap International Portfolio 12
International Small Company Portfolio 18
Japanese Small Company Portfolio 18
Pacific Rim Small Company Portfolio 18
United Kingdom Small Company Portfolio 19
Continental Small Company Portfolio 19
DFA International Small Cap Value Portfolio 20
Emerging Markets Portfolio 26
Emerging Markets Small Cap Portfolio 26
Emerging Markets Core Equity Portfolio 27
DFA One-Year Fixed Income Portfolio 31
DFA Two-Year Global Fixed Income Portfolio 31
DFA Five-Year Government Portfolio 32
DFA Five-Year Global Fixed Income Portfolio 33
DFA Intermediate Government Fixed Income Portfolio 35
DFA Short-Term Municipal Bond Portfolio 36
Statements of Assets and Liabilities 42
Statements of Operations 45
Statements of Changes in Net Assets 51
Financial Highlights 57
Notes to Financial Statements 69
Voting Proxies on Fund Portfolio Securities 177
Board Approval of Investment Advisory Agreements 178
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
[Download Table]
PAGE
----
Disclosure of Fund Expenses 83
Disclosure of Portfolio Holdings 84
Statement of Assets and Liabilities 85
Statement of Operations 86
Statements of Changes in Net Assets 87
Financial Highlights 88
Notes to Financial Statements 89
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
ii
THE DFA INVESTMENT TRUST COMPANY
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
[Download Table]
PAGE
----
Disclosure of Fund Expenses 92
Disclosure of Portfolio Holdings 94
Schedules of Investments
The U.S. Large Company Series 99
The Enhanced U.S. Large Company Series 102
The U.S. Large Cap Value Series 104
The U.S. Small XM Value Series 107
The U.S. Small Cap Value Series 110
The U.S. Small Cap Series 113
The U.S. Micro Cap Series 116
The DFA International Value Series 119
The Japanese Small Company Series 124
The Pacific Rim Small Company Series 127
The United Kingdom Small Company Series 130
The Continental Small Company Series 133
The Emerging Markets Series 138
The Emerging Markets Small Cap Series 142
The DFA One-Year Fixed Income Series 146
The DFA Two-Year Global Fixed Income Series 148
Statements of Assets and Liabilities 150
Statements of Operations 152
Statements of Changes in Net Assets 156
Financial Highlights 160
Notes to Financial Statements 168
Voting Proxies on Fund Portfolio Securities 177
Board Approval of Investment Advisory Agreements 178
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
iii
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DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the
impact of fees on your investment. All mutual funds have operating expenses. As
a shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees (in dollars) of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Tables below illustrates your fund's costs in two ways.
- ACTUAL FUND RETURN. This section helps you to estimate the actual
expenses after fee waivers that you paid over the period. The "Ending
Account Value" shown is derived from the fund's actual return, and
"Expenses Paid During Period" shows the dollar amount that would have
been paid by an investor who started with $1,000 in the fund. You may
use the information here, together with the amount you invested, to
estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
- HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you
compare your fund's costs with those of other mutual funds. It assumes
that the fund had an annual return of 5% before expenses, but that the
expense ratio is unchanged. In this case - because the return used is
not the fund's actual return - the results do not apply to your
investment. The example is useful in making comparisons because the
Securities and Exchange Commission ("SEC") requires all mutual funds to
calculate expenses based on a 5% annual return. You can assess your
fund's cost by comparing this hypothetical example with the
hypothetical examples that appear in shareholder reports of other
funds.
Please note that the expenses shown in the tables are meant to highlight
and help you compare ongoing costs only and do not reflect any transactional
costs (if any). The "Annualized Expense Ratio" represents the actual expenses
for the six month period indicated.
FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005
EXPENSE TABLES
[Enlarge/Download Table]
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/01/04 05/31/05 RATIO PERIOD*
----------- ----------- ----------- -----------
U. S. LARGE COMPANY PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,023.90 0.15% $ 0.76
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.25 0.15% $ 0.76
ENHANCED U.S. LARGE COMPANY PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,019.80 0.35% $ 1.76
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.25 0.35% $ 1.77
U.S. LARGE CAP VALUE PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,049.10 0.30% $ 1.53
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.50 0.30% $ 1.51
1
[Enlarge/Download Table]
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/01/04 05/31/05 RATIO PERIOD*
----------- ----------- ----------- -----------
U.S. SMALL XM VALUE PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,010.50 0.48% $ 2.41
Hypothetical 5% Annual Return $ 1,000.00 $ 1,022.61 0.48% $ 2.42
U.S. SMALL CAP VALUE PORTFOLIO
Actual Fund Return $ 1,000.00 $ 995.00 0.55% $ 2.74
Hypothetical 5% Annual Return $ 1,000.00 $ 1,022.26 0.55% $ 2.77
U.S. SMALL CAP PORTFOLIO
Actual Fund Return $ 1,000.00 $ 984.30 0.40% $ 1.98
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.01 0.40% $ 2.02
U.S. MICRO CAP PORTFOLIO
Actual Fund Return $ 1,000.00 $ 973.00 0.55% $ 2.71
Hypothetical 5% Annual Return $ 1,000.00 $ 1,022.26 0.55% $ 2.77
DFA REAL ESTATE SECURITIES PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,066.60 0.37% $ 1.91
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.16 0.37% $ 1.87
LARGE CAP INTERNATIONAL PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,013.70 0.38% $ 1.91
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.11 0.38% $ 1.92
INTERNATIONAL SMALL COMPANY PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,055.20 0.65% $ 3.33
Hypothetical 5% Annual Return $ 1,000.00 $ 1,021.76 0.65% $ 3.28
JAPANESE SMALL COMPANY PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,085.40 0.69% $ 3.59
Hypothetical 5% Annual Return $ 1,000.00 $ 1,021.56 0.69% $ 3.48
PACIFIC RIM SMALL COMPANY PORTFOLIO
Actual Fund Return $ 1,000.00 $ 980.30 0.75% $ 3.70
Hypothetical 5% Annual Return $ 1,000.00 $ 1,021.26 0.75% $ 3.78
UNITED KINGDOM SMALL COMPANY PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,023.80 0.70% $ 3.53
Hypothetical 5% Annual Return $ 1,000.00 $ 1,021.51 0.70% $ 3.53
CONTINENTAL SMALL COMPANY PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,075.20 0.71% $ 3.67
Hypothetical 5% Annual Return $ 1,000.00 $ 1,021.46 0.71% $ 3.58
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,083.30 0.75% $ 3.90
Hypothetical 5% Annual Return $ 1,000.00 $ 1,021.26 0.75% $ 3.78
2
[Enlarge/Download Table]
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/01/04 05/31/05 RATIO PERIOD*
----------- ----------- ----------- -----------
EMERGING MARKETS PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,078.30 0.69% $ 3.58
Hypothetical 5% Annual Return $ 1,000.00 $ 1,021.56 0.69% $ 3.48
EMERGING MARKETS SMALL CAP PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,051.30 0.97% $ 4.96
Hypothetical 5% Annual Return $ 1,000.00 $ 1,020.16 0.97% $ 4.89
EMERGING MARKETS CORE EQUITY PORTFOLIO**
Actual Fund Return $ 1,000.00 $ 972.00 1.38% $ 6.78
Hypothetical 5% Annual Return $ 1,000.00 $ 1,018.12 1.38% $ 6.94
DFA ONE-YEAR FIXED INCOME PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,011.20 0.20% $ 1.00
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.00 0.20% $ 1.01
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,009.00 0.21% $ 1.05
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.95 0.21% $ 1.06
DFA FIVE-YEAR GOVERNMENT PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,014.60 0.26% $ 1.31
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.70 0.26% $ 1.31
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,021.30 0.33% $ 1.66
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.35 0.33% $ 1.66
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,030.90 0.16% $ 0.81
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.20 0.16% $ 0.81
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,004.80 0.30% $ 1.50
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.50 0.30% $ 1.51
----------
* Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in
the most recent fiscal half-year, then divided by 365.
** Portfolio commenced operations April 5, 2005. Ending account value derived
from fund's actual return since inception.
3
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete Schedule
of Investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For DFA Investment
Dimensions Group Inc., this would be for the fiscal quarters ending August 31
and February 28 (February 29 during leap year). The Form N-Q filing must be made
within 60 days of the end of the quarter. DFA Investment Dimensions Group Inc.
filed its most recent Form N-Q with the SEC on April 29, 2005. It is available
upon request, without charge, by calling collect: (310) 395-8005 or by mailing a
request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa
Monica, California 90401, or by visiting the SEC's website at
http://www.sec.gov, or they may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the
operation of the Public Reference Room).
The SEC has also amended certain regulations to permit a fund to include in
its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu
of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings
reports the fund's 50 largest holdings in unaffiliated issuers and any
investments that exceed one percent of the fund's net assets at the end of the
reporting period. The amendments also require that the Summary Schedule of
Portfolio Holdings identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the
SEC on Form N-CSR within ten days after mailing the annual report to
shareholders. It will be available, upon request, without charge, by calling
collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors,
Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C. (call
1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a Schedule of Investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
[Download Table]
U.S. LARGE COMPANY PORTFOLIO
Investment Companies 100.0%
-----
100.0%
=====
ENHANCED U.S. LARGE COMPANY PORTFOLIO
Investment Companies 100.0%
-----
100.0%
=====
U.S. LARGE CAP VALUE PORTFOLIO
Investment Companies 100.0%
-----
100.0%
=====
U.S. SMALL XM VALUE PORTFOLIO
Investment Companies 100.0%
-----
100.0%
=====
4
[Download Table]
U.S. SMALL CAP VALUE PORTFOLIO
Investment Companies 100.0%
-----
100.0%
=====
U.S. SMALL CAP PORTFOLIO
Investment Companies 100.0%
-----
100.0%
=====
U.S. MICRO CAP PORTFOLIO
Investment Companies 100.0%
-----
100.0%
=====
DFA REAL ESTATE SECURITIES PORTFOLIO
REITS 100.0%
-----
100.0%
=====
LARGE CAP INTERNATIONAL PORTFOLIO
Financials 24.7%
Consumer Discretionary 12.8
Industrials 10.5
Consumer Staples 9.1
Telecommunication Services 8.8
Health Care 8.2
Energy 7.7
Materials 6.6
Information Technology 5.6
Utilities 5.3
Other 0.5
REITS 0.2
-----
100.0%
=====
INTERNATIONAL SMALL COMPANY PORTFOLIO
Investment Companies 100.0%
-----
100.0%
=====
JAPANESE SMALL COMPANY PORTFOLIO
Investment Companies 100.0%
-----
100.0%
=====
PACIFIC RIM SMALL COMPANY PORTFOLIO
Investment Companies 100.0%
-----
100.0%
=====
5
[Download Table]
UNITED KINGDOM SMALL COMPANY PORTFOLIO
Investment Companies 100.0%
-----
100.0%
=====
CONTINENTAL SMALL COMPANY PORTFOLIO
Investment Companies 100.0%
-----
100.0%
=====
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
Industrials 26.7%
Financials 21.0
Consumer Discretionary 19.5
Materials 12.4
Information Technology 6.5
Consumer Staples 6.4
Energy 3.1
Health Care 1.9
REITS 1.0
Telecommunication Services 0.6
Utilities 0.5
Other 0.4
-----
100.0%
=====
EMERGING MARKETS PORTFOLIO
Investment Companies 100.0%
-----
100.0%
=====
EMERGING MARKETS SMALL CAP PORTFOLIO
Investment Companies 100.0%
-----
100.0%
=====
EMERGING MARKETS CORE EQUITY PORTFOLIO
Financials 21.2%
Materials 14.7
Information Technology 11.5
Industrials 10.7
Telecommunication Services 10.1
Consumer Discretionary 10.0
Consumer Staples 9.9
Health Care 3.9
Utilities 3.4
Energy 3.1
Other 1.5
-----
100.0%
=====
DFA ONE-YEAR FIXED INCOME PORTFOLIO
Investment Companies 100.0%
-----
100.0%
=====
6
[Download Table]
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
Investment Companies 100.0%
-----
100.0%
=====
DFA FIVE-YEAR GOVERNMENT PORTFOLIO
Government 100.0%
-----
100.0%
=====
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
Foreign Government 42.3%
Foreign Corporate 19.0
Corporate 15.6
Supranational 11.7
Government 11.4
-----
100.0%
=====
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
Government 100.0%
-----
100.0%
=====
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
Muni Insured 44.6%
Muni Revenue 19.8
Muni G.O. State 19.6
Muni G.O. Local 16.0
-----
100.0%
=====
7
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULES OF INVESTMENTS
MAY 31, 2005 U.S. LARGE COMPANY PORTFOLIO
(UNAUDITED)
[Download Table]
VALUE+
-----------------
Investment in The U.S. Large Company Series of
The DFA Investment Trust Company $ 1,743,767,165
-----------------
Total Investments (100%) (Cost $1,446,523,781) $ 1,743,767,165
=================
ENHANCED U.S. LARGE COMPANY PORTFOLIO
(UNAUDITED)
[Enlarge/Download Table]
SHARES VALUE+
----------- -----------------
Investment in The Enhanced U.S. Large Company Series of
The DFA Investment Trust Company 30,387,939 $ 270,756,536
-----------------
Total Investments (100%) (Cost $242,173,557) $ 270,756,536
=================
U.S. LARGE CAP VALUE PORTFOLIO
(UNAUDITED)
[Download Table]
SHARES VALUE+
----------- -----------------
Investment in The U.S. Large Cap Value Series of
The DFA Investment Trust Company 166,549,740 $ 3,219,406,474
-----------------
Total Investments (100%) (Cost $2,447,819,240) $ 3,219,406,474
=================
U.S. SMALL XM VALUE PORTFOLIO
(UNAUDITED)
[Download Table]
SHARES VALUE+
----------- -----------------
Investment in The U.S. Small XM Value Series of
The DFA Investment Trust Company 13,465,816 $ 152,837,012
-----------------
Total Investments (100%) (Cost $129,745,938) $ 152,837,012
=================
----------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
8
U.S. SMALL CAP VALUE PORTFOLIO
(UNAUDITED)
[Download Table]
SHARES VALUE+
----------- -----------------
Investment in The U.S. Small Cap Value Series of
The DFA Investment Trust Company 283,628,758 $ 6,072,491,709
-----------------
Total Investments (100%) (Cost $4,489,021,946) $ 6,072,491,709
=================
U.S. SMALL CAP PORTFOLIO
(UNAUDITED)
[Download Table]
SHARES VALUE+
----------- -----------------
Investment in The U.S. Small Cap Series of
The DFA Investment Trust Company 151,215,772 $ 2,274,285,211
-----------------
Total Investments (100%) (Cost $1,928,588,449) $ 2,274,285,211
=================
U.S. MICRO CAP PORTFOLIO
(UNAUDITED)
[Download Table]
SHARES VALUE+
----------- -----------------
Investment in The U.S. Micro Cap Series of
The DFA Investment Trust Company 313,499,630 $ 3,335,636,063
-----------------
Total Investments (100%) (Cost $2,456,162,651) $ 3,335,636,063
=================
----------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
9
DFA REAL ESTATE SECURITIES PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
[Enlarge/Download Table]
SHARES VALUE+
---------------- ----------------
COMMON STOCKS -- (95.5%)
Real Estate Investment Trusts -- (95.5%)
Acadia Realty Trust 194,600 $ 3,298,470
Affordable Residential Communities 254,100 3,130,512
Agree Realty Corp. 47,500 1,365,625
* Alexander's, Inc. 14,000 3,609,620
Alexandria Real Estate Equities, Inc. 121,800 8,440,740
AMB Property Corp. 515,200 20,767,712
* America First Apartment Investors, Inc. 3,000 33,900
American Campus Communites, Inc. 47,400 971,700
American Land Lease, Inc. 46,200 997,920
# AmeriVest Properties, Inc. 148,900 655,160
AMLI Residential Properties Trust 158,800 4,563,912
Apartment Investment & Management Co. Class A 588,100 21,818,510
Archstone-Smith Trust 1,238,655 45,607,277
Arden Realty Group, Inc. 411,200 14,104,160
* Ashford Hospitality Trust 253,500 2,524,860
Associated Estates Realty Corp. 122,200 1,057,030
# AvalonBay Communities, Inc. 451,900 33,833,753
Bedford Property Investors, Inc. 101,900 2,361,023
BioMed Realty Trust, Inc. 194,900 4,356,015
BNP Residential Properties, Inc. 41,700 655,524
# Boston Properties, Inc. 674,400 45,043,176
* Boykin Lodging Co. 108,200 1,146,920
Brandywine Realty Trust 344,900 9,712,384
BRE Properties, Inc. Class A 314,800 12,132,392
* Burnham Pacific Properties, Inc. 12,500 1,013
Camden Property Trust 321,600 16,597,776
# Capital Automotive 285,403 10,211,719
CarrAmerica Realty Corp. 334,900 11,577,493
CBL & Associates Properties, Inc. 191,500 15,601,505
Cedar Shopping Centers, Inc. 114,700 1,551,891
CenterPoint Properties Trust 301,800 12,615,240
Colonial Properties Trust 246,156 10,043,165
Commercial Net Lease Realty 318,075 6,170,655
Corporate Office Properties Trust 225,800 6,306,594
Cousins Properties, Inc. 311,500 8,827,910
Crescent Real Estate Equities, Inc. 698,200 12,839,898
CRT Properties, Inc. 197,300 4,535,927
Developers Diversified Realty Corp. 672,299 30,656,834
* Digital Realty Trust, Inc. 56,500 847,500
Duke Realty Corp. 889,200 27,449,604
EastGroup Properties, Inc. 135,900 5,533,848
Entertainment Properties Trust 156,000 6,942,000
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Equity Inns, Inc. 334,600 4,011,854
Equity Lifestyle Properties, Inc. 143,700 5,451,978
Equity Office Properties Trust 2,521,063 81,909,337
Equity One, Inc. 457,476 9,785,412
Equity Residential 1,777,000 63,794,300
Essex Property Trust, Inc. 142,800 11,424,000
Extra Space Storage, Inc. 162,993 2,347,099
Federal Realty Investment Trust 325,200 17,951,040
* FelCor Lodging Trust, Inc. 369,800 5,147,616
# First Industrial Realty Trust, Inc. 266,300 10,332,440
* First Potomac Realty Trust 27,500 622,875
* # First Union Real Estate Equity & Mortgage Investments 178,500 658,665
Gables Residential Trust 181,900 6,622,979
# General Growth Properties 1,462,200 56,923,446
Glenborough Realty Trust, Inc. 223,500 4,516,935
Glimcher Realty Trust 220,700 5,683,025
Global Signal, Inc. 323,300 11,260,539
* Golf Trust America, Inc. 40,300 58,032
* Government Properties Trust, Inc. 71,700 652,470
Heritage Property Investment Trust 286,300 9,301,887
Hersha Hospitality Trust 125,800 1,197,616
* Highland Hospitality Corp. 229,800 2,435,880
Highwood Properties, Inc. 328,000 9,026,560
* HMG Courtland Properties, Inc. 2,400 25,680
Home Properties of New York, Inc. 200,990 8,280,788
Hospitality Properties Trust 410,100 18,011,592
Host Marriott Corp. 2,185,400 36,605,450
HRPT Properties Trust 1,218,400 14,413,672
Humphrey Hospitality Trust 74,200 330,190
Inland Real Estate Corp. 409,400 6,386,640
Innkeepers USA Trust 265,200 3,582,852
Kilroy Realty Corp. 177,100 8,001,378
Kimco Realty Corp. 684,550 39,539,608
* Kite Realty Group Trust 40,600 592,354
Lasalle Hotel Properties 183,400 5,667,060
Lexington Corporate Properties Trust 304,600 7,014,938
Liberty Property Trust 530,600 21,908,474
Macerich Co. 364,200 22,955,526
Mack-Cali Realty Corp. 381,700 16,829,153
Maguire Properties, Inc. 264,400 6,914,060
Malan Realty Investors, Inc. 19,100 70,479
Maxus Realty Trust, Inc. 1,700 22,950
* Meristar Hospitality Corp. 542,100 4,548,219
Mid-America Apartment Communities, Inc. 140,500 5,690,250
Mills Corp. 335,400 19,278,792
Mission West Properties, Inc. 112,200 1,065,900
Monmouth Real Estate Investment Corp. Class A 110,458 849,422
New Plan Excel Realty Trust 628,400 16,929,096
One Liberty Properties, Inc. 61,100 1,163,955
Pan Pacific Retail Properties, Inc. 247,831 15,824,009
* Paragon Real Estate Equity & Investment Trust 10,700 1,284
Parkway Properties, Inc. 87,200 4,207,400
Pennsylvania Real Estate Investment Trust 242,981 10,691,164
* Philips International Realty Corp. 14,400 504
Post Properties, Inc. 245,300 8,045,840
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Prentiss Properties Trust 275,800 9,515,100
* Prime Group Realty Trust 127,900 915,764
# ProLogis 1,145,700 46,790,388
PS Business Parks, Inc. 135,600 5,565,024
Public Storage, Inc. 803,400 48,308,442
Ramco-Gershenson Properties Trust 102,600 2,847,150
Realty Income Corp. 490,400 12,073,648
Reckson Associates Realty Corp. 497,901 15,728,693
Regency Centers Corp. 384,700 21,485,495
# Roberts Realty Investors, Inc. 14,400 110,160
Saul Centers, Inc. 102,300 3,391,245
Senior Housing Properties Trust 424,700 7,640,353
Shurgard Storage Centers, Inc. Class A 284,600 12,422,790
Simon Property Group, Inc. 1,353,997 93,046,674
Simon Property Group, L.P. 66,210 3,972,600
Sizeler Property Investors, Inc. 99,500 1,194,000
SL Green Realty Corp. 253,900 15,729,105
Sovran Self Storage, Inc. 97,900 4,365,361
Strategic Hotel Capital, Inc. 179,200 2,922,752
Sun Communities, Inc. 112,400 4,046,400
Sunstone Hotel Investors, Inc. 212,900 4,898,829
Tanger Factory Outlet Centers, Inc. 167,900 4,064,859
* # Tarragon Corp. 149,195 3,270,354
Taubman Centers, Inc. 307,400 9,756,876
Town & Country Trust 105,000 2,892,750
Trizec Properties, Inc. 953,700 18,606,687
Trustreet Properties, Inc. 151,900 2,392,425
United Dominion Realty Trust, Inc. 833,900 19,221,395
United Mobile Homes, Inc. 54,700 801,355
Urstadt Biddle Properties, Inc. 19,800 325,314
Urstadt Biddle Properties, Inc. Class A 114,200 1,879,732
U-Store-It Trust 127,500 2,409,750
Vornado Realty Trust 775,400 61,023,980
Washington Real Estate Investment Trust 257,200 7,998,920
Weingarten Realty Investors 543,500 20,658,435
Winston Hotels, Inc. 161,700 1,697,850
----------------
Total Real Estate Investment Trusts
(Cost $1,096,101,372) 1,531,034,186
----------------
TOTAL COMMON STOCKS
(Cost $1,096,101,372) 1,531,034,186
----------------
FACE
AMOUNT VALUE+
---------------- ----------------
(000)
TEMPORARY CASH INVESTMENTS -- (4.5%)
^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.92%, 06/01/05
(Collateralized by $128,705,000 U.S. STRIPS 6.125%, 11/15/27, valued at
$46,244,994) to be repurchased at $45,340,256 (Cost $45,336,579) $ 45,337 45,336,579
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $26,333,000 FHLMC Notes 4.00%, 09/22/09, valued at
$26,365,916) to be repurchased at $25,978,085 (Cost $25,976,000) 25,976 25,976,000
----------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $71,312,579) 71,312,579
----------------
TOTAL INVESTMENTS - (100.0%)
(Cost $1,167,413,951) $ 1,602,346,765
----------------
3
----------
+ See Note B to Financial Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
4
LARGE CAP INTERNATIONAL PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
[Enlarge/Download Table]
SHARES VALUE+
---------------- ----------------
UNITED KINGDOM -- (21.3%)
COMMON STOCKS -- (21.3%)
3I Group P.L.C. 47,318 $ 594,438
Aegis Group P.L.C. 93,242 165,345
Aggreko P.L.C. 20,000 70,480
Alliance & Leicester P.L.C. 46,652 725,947
Alliance Unichem P.L.C. 46,743 698,703
Allied Domecq P.L.C. 105,124 1,324,067
Amec P.L.C. 26,046 159,010
Amvescap P.L.C. 81,593 478,659
Anglo America P.L.C. 147,129 3,505,501
Antofagasta P.L.C. 38,710 812,567
Arm Holdings P.L.C. 124,215 244,467
Arriva P.L.C. 17,572 169,943
Associated British Foods P.L.C. 156,137 2,269,990
Associated British Ports Holdings P.L.C. 28,575 253,370
Aviva P.L.C. 217,315 2,431,366
AWG P.L.C. 13,189 214,592
BAA P.L.C. 101,758 1,151,096
BAE Systems P.L.C. 304,982 1,493,891
Balfour Beatty P.L.C. 38,213 224,245
Barclays P.L.C 630,263 5,972,908
Barratt Developments P.L.C. 21,581 259,174
BBA Group P.L.C. 37,724 206,081
Bellway P.L.C. 10,083 156,096
BG Group P.L.C. 335,914 2,543,817
BHP Billiton P.L.C. 234,473 2,834,078
BOC Group P.L.C. 38,519 703,446
Boots Group P.L.C. 67,524 744,109
Bovis Homes Group P.L.C. 9,923 123,351
BP Amoco P.L.C. 2,029,664 20,356,813
BPB P.L.C. 44,716 416,570
Bradford & Bingley P.L.C. 58,335 326,839
Brambles Industries P.L.C. 66,589 364,051
Britannic P.L.C. 16,713 155,117
* British Airways P.L.C. 184,946 921,270
British American Tobacco P.L.C. 273,139 5,184,939
British Land Co. P.L.C. 47,925 758,219
British Sky Broadcasting Group P.L.C. 272,457 2,701,753
Brixton P.L.C. 23,087 154,405
BT Group P.L.C. 807,511 3,133,717
* BTG P.L.C. 5,600 14,319
Bunzl P.L.C. 40,785 398,012
Cable and Wireless P.L.C. 217,095 528,702
Cadbury Schweppes P.L.C. 196,938 1,918,147
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* Cairn Energy P.L.C. 13,970 308,089
Capita Group P.L.C. 60,892 424,340
Carnival P.L.C. 17,221 942,788
Carpetright P.L.C. 8,513 133,826
Carphone Warehouse Group P.L.C. 182,534 545,501
Cattles P.L.C. 24,806 143,449
Centrica P.L.C. 352,500 1,485,992
Close Brothers Group P.L.C. 14,870 197,300
Cobham P.L.C. 10,041 257,187
Collins Stewart Tullett P.L.C. 22,435 172,015
# * Colt Telecom Group P.L.C. 192,155 181,459
Compass Group P.L.C. 204,776 806,533
Computacenter P.L.C. 15,015 67,603
* Cookson Group P.L.C. 13,053 77,090
* Corus Group P.L.C. 446,515 368,389
Davis Service Group P.L.C. 18,246 146,948
De La Rue P.L.C. 12,250 84,204
Diageo P.L.C. 282,174 4,058,389
Dixons Group P.L.C. 175,098 480,399
DX Services P.L.C. 7,451 46,747
* Easyjet P.L.C. 52,671 215,739
* Egg P.L.C. 98,437 197,552
Electrocomponents P.L.C. 39,172 185,572
Emap P.L.C. 23,642 345,692
EMI Group P.L.C. 72,649 327,857
Enterprise Inns P.L.C. 31,451 443,955
First Choice Holidays P.L.C. 47,135 154,845
Firstgroup P.L.C. 36,648 211,275
FKI P.L.C. 52,392 91,939
Friends Provident P.L.C. 209,193 663,777
Gallaher Group P.L.C. 62,237 958,719
General Electric Co. 22,898 841,099
GKN P.L.C. 64,999 297,801
Glaxosmithkline P.L.C. 556,137 13,764,313
Go-Ahead Group P.L.C. 3,736 91,616
Great Portland Estates P.L.C. 11,008 72,067
Great Universal Stores P.L.C. 94,865 1,460,716
Greene King P.L.C. 6,207 138,985
Group 4 Securicor P.L.C. 89,820 224,254
Hammerson P.L.C. 25,492 420,476
Hanson P.L.C. 70,011 645,697
Hays P.L.C. 151,308 341,690
HBOS P.L.C. 381,407 5,547,718
* Henderson Group P.L.C. 136,500 154,350
Hilton Group P.L.C. 151,980 784,450
HMV Group P.L.C. 37,627 155,423
HSBC Holdings P.L.C. 1,080,317 17,084,223
ICAP P.L.C. 64,402 321,348
IMI P.L.C. 31,802 238,421
Imperial Chemical Industries P.L.C. 109,590 506,805
Imperial Tobacco Group P.L.C. 68,712 1,858,737
Inchcape P.L.C. 7,420 263,531
InterContinental Hotels Group P.L.C. 56,166 652,269
International Power P.L.C. 135,538 476,892
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Intertek Group P.L.C. 12,740 174,817
* Invensys P.L.C. 477,720 97,784
ISIS Asset Management P.L.C. 46,394 194,976
Isoft Group P.L.C. 19,129 139,333
ITV P.L.C. 288,809 600,519
Jardine Lloyd Thompson Group P.L.C. 21,550 136,864
Johnson Matthey P.L.C. 19,864 352,975
Johnston Press P.L.C. 31,946 273,141
Kelda Group P.L.C. 34,560 404,213
Kesa Electricals P.L.C. 47,659 231,840
Kingfisher P.L.C. 223,029 1,042,556
Land Securities Group P.L.C. 44,468 1,153,534
Legal and General Group P.L.C. 618,036 1,217,142
Liberty International P.L.C. 39,267 698,214
Lloyds TSB Group P.L.C. 557,469 4,592,496
Logicacmg P.L.C. 33,214 102,670
Lonmin P.L.C. 13,023 242,967
Man Group P.L.C. 32,195 770,751
Manchester United P.L.C. 30,345 164,033
* Marconi Corp. P.L.C. 18,441 100,747
Marks & Spencer Group P.L.C. 204,766 1,256,309
Matalan P.L.C. 45,690 153,049
Meggitt P.L.C. 39,217 208,269
MFI Furniture Group P.L.C. 52,153 101,350
Millennium and Copthorne Hotels P.L.C. 38,892 251,564
Misys P.L.C. 50,290 197,659
Mitchells & Butlers P.L.C. 47,001 276,545
Morrison (Wm.) Supermarkets P.L.C. 278,508 957,094
* MyTravel Group P.L.C. Series A 22,000 1,990
National Express Group P.L.C. 11,282 177,943
National Grid Group P.L.C. 293,541 2,867,395
Next P.L.C. 24,719 646,450
Northern Foods P.L.C. 37,322 106,382
Northern Rock P.L.C. 40,016 535,637
* O2 P.L.C. 613,859 1,422,183
Ocean Group P.L.C. 28,112 433,533
Pearson P.L.C. 77,971 932,804
Peninsular & Oriental Steam Navigation P.L.C. 66,687 376,146
Pennon Group P.L.C. 11,263 206,397
Persimmon P.L.C. 27,757 376,810
Pilkington P.L.C. 135,509 285,278
Premier Farnell P.L.C. 30,487 89,883
Provident Financial P.L.C. 17,113 209,143
Prudential Corp. P.L.C. 225,662 2,002,268
Punch Taverns, Ltd. 22,497 278,888
Rank Group P.L.C. 61,189 298,083
Reckitt Benckiser P.L.C. 80,054 2,444,239
Reed International P.L.C. 121,003 1,153,837
* Regus Group P.L.C. 95,569 156,665
Rentokill Initial P.L.C. 166,530 446,811
Reuters Holdings Group P.L.C. 136,336 957,946
Rexam P.L.C. 50,658 443,369
Rio Tinto P.L.C. 101,446 3,011,521
* Rolls Royce Group P.L.C. 177,791 876,638
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* Rolls Royce Group P.L.C. Class B 8,429,800 15,318
Royal & Sun Alliance Insurance Group P.L.C. 267,928 375,227
Royal Bank of Scotland Group P.L.C. 303,894 8,917,233
Sabmiller P.L.C. 124,801 1,916,502
Sage Group P.L.C. 117,928 463,117
Sainsbury (J.) P.L.C. 198,701 1,033,133
Schroders P.L.C. 33,726 464,153
Scottish & Newcastle P.L.C. 93,185 805,151
Scottish Hydro-Electric P.L.C. 79,968 1,426,204
Scottish Power P.L.C. 173,475 1,461,289
Serco Group P.L.C. 39,172 179,317
Severn Trent P.L.C. 32,867 604,822
Shell Transport & Trading Co., P.L.C. 885,490 7,692,869
Shire Pharmaceuticals Group P.L.C. 43,525 461,914
Signet Group P.L.C. 164,896 308,066
Slough Estates P.L.C. 37,702 352,229
Smith & Nephew P.L.C. 89,664 885,668
Smith (WH) P.L.C. 13,348 86,788
Smiths Industries P.L.C. 53,441 854,424
Somerfield P.L.C. 48,928 175,419
* Spirent P.L.C. 72,279 60,839
SSL International P.L.C. 12,000 60,875
Stagecoach Group P.L.C. 120,769 242,712
Standard Chartered P.L.C. 125,919 2,279,357
T&F Informa Group P.L.C. 28,437 210,601
Tate & Lyle P.L.C. 49,954 429,818
Taylor Nelson AGB P.L.C. 36,013 140,595
Taylor Woodrow P.L.C. 55,846 321,482
Tesco P.L.C. 736,698 4,194,107
* The Berkeley Group Holdings P.L.C. 10,535 158,316
* TI Automotive P.L.C. Series A 18,000 0
Tomkins P.L.C. 71,196 348,620
Travis Perkins P.L.C. 11,935 378,927
Trinity Mirror P.L.C. 27,900 315,848
Tullow Oil P.L.C. 54,536 165,740
Unilever P.L.C. 290,187 2,831,477
United Business Media P.L.C. 31,939 290,180
United Utilities P.L.C. 74,036 912,058
Viridian Group P.L.C. 10,986 148,021
Vodafone Group P.L.C. 6,136,607 15,449,029
Whitbread P.L.C. 23,704 391,389
William Hill P.L.C. 36,278 326,312
Wilson Bowden P.L.C. 12,801 265,146
Wimpey (George) P.L.C. 35,916 278,131
Wolseley P.L.C. 55,981 1,144,207
Wolverhampton & Dudley Breweries P.L.C. 6,548 131,867
Wood Group (John) P.L.C. 28,221 75,163
WPP Group P.L.C. 124,799 1,330,147
Xstrata P.L.C. 95,888 1,718,805
Yell Group P.L.C. 66,922 496,898
Zeneca Group P.L.C. 155,158 6,574,255
-----------------
TOTAL COMMON STOCKS
(Cost $197,422,630) 235,913,076
-----------------
4
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INVESTMENT IN CURRENCY -- (0.0%)
* British Pound Sterling 138,318
----------------
(Cost $141,510)
TOTAL -- UNITED KINGDOM
(Cost $197,564,140) 236,051,394
----------------
JAPAN -- (19.2%)
COMMON STOCKS -- (19.2%)
Acom Co., Ltd. 7,500 480,023
Aderans Co., Ltd. 3,000 69,464
Advantest Corp. 7,370 553,305
AEON Co., Ltd. 48,700 749,427
Aeon Credit Service, Ltd. 2,700 171,676
* Aeon Mall Co., Ltd. 2,300 77,029
Aichi Bank, Ltd. 500 47,126
Aichi Steel Corp. 5,000 25,506
Aiful Corp. 9,900 726,480
AIOI Insurance Co., Ltd. 54,000 267,548
Air Water, Inc. 9,000 67,395
Aisin Seiki Co., Ltd. 25,600 568,095
Ajinomoto Co., Inc. 39,000 430,655
Akita Bank, Ltd. 6,000 27,132
Alfresa Holdings Corp. 1,800 82,661
# All Nippon Airways Co., Ltd. 190,000 597,452
# Alps Electric Co., Ltd. 13,000 196,419
Amada Co., Ltd. 27,000 183,331
Amano Corp. 3,000 31,149
Anritsu Corp. 6,000 36,051
AOC Holdings, Inc. 3,600 50,244
Aoyama Trading Co., Ltd. 3,400 82,376
Ariake Japan Co., Ltd. 1,210 28,521
Arisawa Manufacturing Co., Ltd. 1,540 44,468
Asahi Breweries, Ltd. 35,700 433,103
Asahi Denka Kogyo KK 5,000 51,357
Asahi Glass Co., Ltd. 94,000 1,012,959
Asahi Kasei Corp. 97,000 472,639
Asatsu-Dk, Inc. 2,600 74,717
* Ashikaga Financial Group, Inc. 41,000 0
Autobacs Seven Co., Ltd. 1,800 56,227
Avex, Inc. 1,000 13,264
Awa Bank, Ltd. 14,000 83,518
Bandai Co., Ltd. 5,000 103,166
Bank of Ikeda, Ltd. 1,100 55,847
Bank of Iwate, Ltd. 1,100 62,637
# Bank of Kyoto, Ltd. 20,000 167,802
Bank of Nagoya, Ltd. 11,000 64,580
Bank of Yokohama, Ltd. 97,000 554,847
Benesse Corp. 7,700 244,436
Bosch Automotive Systems Corp. 30,000 148,737
Bridgestone Corp. 61,000 1,199,359
Brother Industries, Ltd. 19,000 174,272
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Calsonic Corp. 15,000 82,976
Canon, Inc. 71,000 3,839,342
Capcom Co., Ltd. 2,000 18,735
Casio Computer Co., Ltd. 18,000 251,029
* Cawachi, Ltd. 600 26,239
Central Glass Co., Ltd. 14,000 88,988
Central Japan Railway Co. 254 2,043,625
Chiba Bank, Ltd. 59,000 400,355
Chiyoda Corp. 11,000 130,997
Chubu Electric Power Co., Ltd. 58,100 1,347,826
Chudenko Corp. 2,700 42,327
Chugai Pharmaceutical Co., Ltd. 54,600 806,502
Chugoku Bank, Ltd. 15,000 175,400
Chugoku Electric Power Co., Ltd. 25,800 485,743
Circle K Sunkus Co., Ltd. 5,100 114,395
Citizen Watch Co., Ltd. 21,000 183,456
Coca-Cola West Japan Co., Ltd. 4,600 102,898
Comsys Holdings Corp. 8,000 67,433
Cosmo Oil Co., Ltd. 37,000 135,282
Cosmo Securities Co., Ltd. 13,000 23,795
Credit Saison Co., Ltd. 10,600 351,879
CSK Corp. 4,800 170,207
Culture Convenience Club Co., Ltd. 2,300 40,577
Dai Nippon Ink & Chemicals, Inc. 47,000 138,840
Dai Nippon Pharmaceutical Co., Ltd. 10,000 95,870
Dai Nippon Printing Co., Ltd. 58,000 915,031
Dai Nippon Screen Mfg. Co., Ltd. 15,000 101,886
Daibiru Corp. 7,000 51,528
Daicel Chemical Industries, Ltd. 19,000 98,634
Daido Steel Co., Ltd. 27,000 109,653
Daiei OMC, Inc. 6,000 71,538
# * Daiei, Inc. 3,500 60,487
Daifuku Co., Ltd. 3,000 25,019
Daihatsu Motor Co., Ltd. 28,000 206,480
Dai-Ichi Pharmaceutical Co., Ltd. 17,900 400,576
Daikin Industries, Ltd. 18,000 438,145
Daimaru, Inc. 16,000 136,964
Daio Paper Corp. 9,000 69,527
Daishi Bank, Ltd. 22,000 91,690
Daito Trust Construction Co., Ltd. 9,800 368,187
Daiwa House Industry Co., Ltd. 37,000 407,916
Daiwa Securities Co., Ltd. 100,000 631,413
Denki Kagaku Kogyo KK 29,000 101,130
Denso Corp. 78,000 1,768,836
Dentsu, Inc. 242 599,649
Diamond City Co., Ltd. 2,300 67,558
Disco Corp. 1,700 72,657
Don Quijote Co., Ltd. 900 49,121
Dowa Mining Co., Ltd. 20,000 128,823
East Japan Railway Co. 292 1,447,075
Ebara Corp. 20,000 71,888
Edion Corp. 5,000 59,606
Elsai Co., Ltd. 21,300 719,625
Eneserve Corp. 1,500 49,045
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Exedy Corp. 1,700 28,018
Ezaki Glico Co., Ltd. 10,000 79,817
Familymart Co., Ltd. 6,000 173,708
Fancl Corp. 700 25,743
Fanuc, Ltd. 20,800 1,284,474
Fast Retailing Co., Ltd. 10,200 537,536
Fuji Electric Co., Ltd. 49,000 148,632
Fuji Fire & Marine Insurance Co., Ltd. 10,000 29,670
Fuji Heavy Industries 50,000 208,741
Fuji Oil Co., Ltd. 3,900 40,563
Fuji Photo Film Co., Ltd. 42,000 1,307,916
Fuji Soft ABC, Inc. 1,800 52,255
Fuji Television Network, Inc. 157 321,783
Fujikura, Ltd. 29,000 146,973
Fujirebio, Inc. 3,000 58,967
Fujitsu, Ltd. 153,440 839,059
Fukui Bank, Ltd. 14,000 53,085
Fukuoka Bank, Ltd. 43,000 262,412
Fukuyama Transporting Co., Ltd. 11,000 43,241
Funai Electric Co., Ltd. 2,500 264,556
* Furukawa Electric Co., Ltd. 30,000 123,855
Futaba Industrial Co., Ltd. 2,900 55,096
Glory, Ltd. 4,600 77,733
* GMO Internet, Inc. 2,000 49,521
Goldcrest Co., Ltd. 800 38,999
* Goodwill Group, Inc. 26 48,002
* Gulliver International Co., Ltd. 340 47,907
Gunma Bank, Ltd. 31,000 184,382
Gunze, Ltd. 14,000 61,335
Hachijuni Bank, Ltd. 38,000 250,834
# Hamamatsu Photonics K.K. 4,000 85,658
Hankyu Corp. 66,000 242,786
Hankyu Department Stores, Inc. 10,000 60,043
Hanshin Electric Railway Co., Ltd. 21,000 78,326
Hanwa Co., Ltd. 9,000 29,877
* Haseko Corp. 31,000 65,172
Heiwa Corp. 6,700 96,431
Higo Bank, Ltd. 14,000 99,920
Hikari Tsushin, Inc. 3,800 225,800
Hino Motors, Ltd. 53,000 293,583
Hirose Electric Co., Ltd. 2,700 285,976
Hiroshima Bank, Ltd. 39,000 168,735
Hisamitsu Pharmaceutical Co., Inc. 4,000 99,912
Hitachi Cable, Ltd. 18,000 77,609
Hitachi Chemical Co., Ltd. 17,700 320,040
Hitachi Construction Machinery Co., Ltd. 12,000 141,686
Hitachi High-Technologies Corp. 8,300 128,509
Hitachi Information Systems, Ltd. 1,800 35,045
Hitachi Koki Co., Ltd. 3,000 27,961
Hitachi Kokusai Electric, Inc. 5,000 43,730
Hitachi Maxell, Ltd. 3,700 44,969
Hitachi Metals, Ltd. 25,000 159,329
Hitachi Software Engineering Co., Ltd. 3,000 50,035
Hitachi Transport System, Ltd. 7,000 58,303
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* Hitachi Zosen Corp. 20,000 25,883
Hitachi, Ltd. 285,000 1,702,890
Hokkaido Electric Power Co., Inc. 13,700 276,229
Hokkoku Bank, Ltd. 16,000 69,733
Hokuetsu Paper Mills, Ltd. 9,000 48,943
Hokugin Financial Group, Inc. 84,000 267,281
Hokuriku Electric Power Co., Inc. 14,100 260,423
Honda Motor Co., Ltd. 63,700 3,135,294
Hosiden Corp. 1,900 19,569
House Foods Corp. 5,600 78,887
Hoya Corp. 8,900 990,832
Hyakugo Bank, Ltd. 15,000 91,996
Hyakujishi Bank, Ltd. 19,000 107,838
# Ibiden Co., Ltd. 7,700 198,501
* Invoice, Inc. 372 38,210
Isetan Co., Ltd. 14,300 183,326
Ishihara Sangyo Kaisha, Ltd. 12,000 26,278
* Ishikawajima-Harima Heavy Industries Co., Ltd. 91,000 129,355
# Isuzu Motors, Ltd. 67,000 174,351
ITO EN, Ltd. 2,800 133,200
Itochu Corp. 105,000 506,814
Itochu Techno-Science Corp. 4,200 135,120
Itoham Foods, Inc. 12,000 54,656
Ito-Yokado Co., Ltd. 30,000 1,012,393
Iyo Bank, Ltd. 21,000 167,424
Izumi Co., Ltd. 2,500 60,438
# Japan Airlines System Corp. 252,000 722,603
Japan Airport Terminal Co., Ltd. 6,000 56,035
Japan Aviation Electronics Industry, Ltd. 4,000 43,008
Japan Petroleum Exploration Co., Ltd. 4,000 155,210
JFE Holdings, Inc. 44,300 1,110,011
* JFE Shoji Holdings, Inc. 9,000 31,174
JGC Corp. 15,000 169,944
Joyo Bank, Ltd. 55,000 279,617
Jsr Corp., Tokyo 18,500 388,188
Juroku Bank, Ltd. 18,000 96,368
Kadokawa Holdings, Inc. 800 28,447
Kagoshima Bank, Ltd. 13,000 98,920
Kajima Corp. 70,000 238,857
# Kaken Pharmaceutical Co., Ltd. 3,000 19,612
Kamigumi Co., Ltd. 18,000 134,124
Kandenko Co., Ltd. 8,000 47,050
* Kanebo, Ltd. 1,900 5,281
Kaneka Corp. 21,000 218,622
# * Kankaku Securities Co., Ltd. 86,000 149,721
Kansai Electric Power Co., Inc. 68,800 1,336,606
Kansai Paint Co., Ltd., Osaka 16,000 99,468
Kanto Auto Works, Ltd., Yokosuka 2,100 24,664
Kao Corp. 42,000 970,731
Katokichi Co., Ltd. 9,300 65,000
Kawasaki Heavy Industries, Ltd. 99,000 177,166
Kawasaki Kisen Kaisha, Ltd. 35,000 206,931
KDDI Corp. 344 1,573,213
Keihin Corp. 4,100 65,415
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# Keihin Electric Express Railway Co., Ltd. 34,000 207,344
Keio Electric Railway Co., Ltd. 43,000 232,548
Keisei Electric Railway Co., Ltd. 19,000 91,627
Keiyo Bank, Ltd. 17,000 81,195
Keyence Corp. 3,200 699,132
Kikkoman Corp. 12,000 108,651
Kinden Corp. 14,000 103,584
Kinki Nippon Railway Co., Ltd. 120,280 358,359
Kirin Beverage Corp. 900 22,188
Kirin Brewery Co., Ltd. 70,000 684,696
Kissei Pharmaceutical Co., Ltd. 4,000 76,313
Kobayashi Pharmaceutical Co., Ltd. 1,800 47,125
Kobe Steel, Ltd. 185,000 321,768
Koei Co., Ltd. 2,800 66,634
Koito Manufacturing Co., Ltd. 7,000 75,263
Kokuyo Co., Ltd. 8,000 102,572
Komatsu, Ltd. 74,000 552,589
Komeri Co., Ltd. 2,300 58,862
Komori Corp. 4,000 60,584
Konami Co., Ltd. 8,600 171,220
Konica Corp. 34,000 303,716
Kose Corp. 3,355 113,251
Koyo Seiko Co. 15,000 194,500
Kubota Corp. 88,000 486,445
Kuraray Co., Ltd. 31,000 274,687
# Kuraya Sanseido, Inc. 13,500 179,881
Kurita Water Industries, Ltd. 7,000 104,033
Kyocera Corp. 14,500 1,109,368
KYORIN Pharmaceutical Co., Ltd. 4,000 49,893
Kyowa Exeo Corp. 5,000 40,926
Kyowa Hakko Kogyo Co., Ltd. 24,000 152,354
Kyushu Electric Power Co., Inc. 36,100 751,148
Lawson Inc. 8,100 294,811
* Leopalace21 Corp. 9,000 137,081
Lintec Corp. 4,000 60,084
Lion Corp. 19,000 99,273
Lopro Corp. 2,100 15,357
Mabuchi Motor Co., Ltd. 3,400 196,652
Maeda Corp. 8,000 44,133
Makita Corp. 8,000 155,775
Marubeni Corp. 99,000 312,444
Marui Co., Ltd. 26,200 363,552
Maruichi Steel Tube, Ltd. 4,000 85,333
* Matsui Securities Co., Ltd. 2,000 22,936
Matsumotokiyoshi Co., Ltd. 2,400 62,685
Matsushita Electric Industrial Co., Ltd. 198,188 2,952,225
Matsushita Electric Works, Ltd. 79,000 652,983
Matsuzakaya Co., Ltd. 7,000 32,444
# Mazda Motor Corp. 89,000 334,742
Meiji Dairies Corp. 16,000 88,814
Meiji Seika Kaisha, Ltd. Tokyo 23,000 111,950
Meitec Corp. 2,600 79,743
Millea Holdings, Inc. 125 1,653,990
Minebea Co., Ltd. 24,000 97,572
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Misumi Corp. 1,900 58,297
Mitsubishi Chemical Corp. 150,000 428,893
Mitsubishi Corp. 118,500 1,563,999
Mitsubishi Electric Corp. 149,000 808,699
Mitsubishi Estate Co., Ltd. 92,000 987,888
Mitsubishi Gas Chemical Co., Inc. 27,000 132,946
Mitsubishi Heavy Industries, Ltd. 258,000 664,048
Mitsubishi Logistics Corp. 7,000 66,760
Mitsubishi Materials Corp. 71,000 155,403
# * Mitsubishi Motors Corp. 272,000 336,314
Mitsubishi Paper Mills, Ltd. 13,000 17,402
Mitsubishi Pharma Corp. 46,000 405,087
Mitsubishi Rayon Co., Ltd. 30,000 120,892
Mitsubishi Securities Co., Ltd. 51,000 424,966
Mitsubishi Tokyo Financial Group, Inc. 501 4,148,035
Mitsui & Co., Ltd. 112,000 1,002,107
Mitsui Chemicals, Inc. 50,000 283,539
Mitsui Engineering and Shipbuilding Co., Ltd. 51,000 109,973
Mitsui Fudosan Co., Ltd. 41,000 456,392
Mitsui Marine & Fire Insurance Co., Ltd. 115,790 1,052,385
Mitsui Mining and Smelting Co., Ltd. 40,000 173,224
Mitsui O.S.K. Lines, Ltd. 84,000 503,341
Mitsui Trust Holdings 63,000 614,481
Mitsukoshi, Ltd. 23,000 98,526
Mitsumi Electric Co., Ltd. 3,700 39,162
Mizuho Holdings, Inc. 983 4,624,289
Mochida Pharmaceutical Co., Ltd. 6,000 37,819
Mori Seiki Co., Ltd. 4,000 41,358
Morinaga Milk Industry Co., Ltd. 14,000 57,772
Murata Manufacturing Co., Ltd. 18,300 940,696
Musashino Bank, Ltd. 1,300 59,418
Nagase & Co., Ltd. 7,000 68,342
# Nagoya Railroad Co., Ltd. 59,000 195,481
Namco, Ltd. 6,400 86,378
Nanto Bank, Ltd. 15,000 76,999
NEC Corp. 143,000 791,502
NEC Fielding, Ltd. 2,700 58,011
Net One Systems Co., Ltd. 36 98,758
NGK Insulators, Ltd. 22,000 229,025
NGK Spark Plug Co., Ltd. 14,000 157,447
NHK Spring Co., Ltd. 14,000 115,970
Nichicon Corp. 5,600 73,593
Nichii Gakkan Co. 1,760 43,284
Nichirei Corp. 20,000 74,942
Nidec Corp. 5,500 593,448
Nifco, Inc. 4,000 62,697
Nihon Unisys, Ltd. 3,000 28,085
Nikko Cordial Corp. 138,000 603,475
Nikon Corp. 24,000 265,871
Nintendo Co., Ltd., Kyoto 10,700 1,137,223
Nippon Electric Glass Co., Ltd. 25,000 385,556
Nippon Express Co., Ltd. 70,000 318,210
Nippon Kayaku Co., Ltd. 9,000 48,540
Nippon Light Metal Co., Ltd. 34,000 81,850
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Nippon Meat Packers, Inc., Osaka 14,000 172,967
Nippon Mining Holdings, Inc. 60,500 329,934
Nippon Mitsubishi Oil Corp. 113,000 736,987
Nippon Paint Co., Ltd. 15,000 52,421
Nippon Sanso Corp. 22,000 109,954
Nippon Sheet Glass Co., Ltd. 26,000 101,588
Nippon Shinpan Co., Ltd. 19,000 92,530
Nippon Shokubai Co., Ltd. 12,000 96,159
Nippon Steel Corp. 526,000 1,222,810
Nippon Suisan Kaisha, Ltd. 21,000 79,691
Nippon System Development Co., Ltd. 900 16,955
Nippon Telegraph & Telephone Corp. 2,177 8,882,061
Nippon Television Network Corp. 890 124,492
Nippon Unipac Holding, Tokyo 68 264,290
Nippon Yusen KK 82,000 445,791
Nipponkoa Insurance Co., Ltd. 56,000 387,262
* Nipro Corp. 4,000 59,737
Nishimatsu Construction Co., Ltd. 17,000 57,321
Nishimatsuya Chain Co., Ltd. 960 22,960
Nishi-Nippon Bank, Ltd. 45,000 184,863
Nishi-Nippon Railroad Co., Ltd. 26,000 79,417
Nissan Chemical Industries, Ltd. 10,000 102,382
Nissan Diesel Motor Co., Ltd. 7,000 26,077
Nissan Motor Co., Ltd. 437,600 4,288,631
Nissan Shatai Co., Ltd. 7,000 46,469
Nissay Dowa General Insurance Co., Ltd. 25,000 125,775
Nisshin Seifun Group, Inc. 15,000 147,514
Nisshin Steel Co., Ltd. 63,000 153,343
Nisshinbo Industries, Inc. 13,000 99,740
# * Nissho Iwai-Nichmen Holdings Corp. 15,500 59,857
Nissin Food Products Co., Ltd. 8,400 221,783
Nitto Denko Corp. 13,900 778,348
NOK Corp. 15,000 405,679
Nomura Research Institute, Ltd. 3,900 368,689
Nomura Securities Co., Ltd. 165,000 2,078,920
Noritake Co., Ltd. 4,000 16,580
* NS Solutions Corp. 2,800 58,838
NSK, Ltd. 33,000 159,945
NTN Corp. 27,000 146,082
NTT Data Corp. 303 965,560
NTT Docomo, Inc. 6,017 9,024,644
Obayashi Corp. 43,000 217,466
Obic Co., Ltd. 500 87,265
Odakyu Electric Railway Co., Ltd. 41,000 217,192
Ogaki Kyoritsu Bank, Ltd. 13,000 76,856
Oita Bank, Ltd. 8,000 51,760
Oji Paper Co., Ltd. 69,000 364,934
Okamura Corp. 8,000 56,022
Okasan Securities Co., Ltd. 8,000 40,639
Oki Electric Industry Co., Ltd. 36,000 121,956
Okumura Corp. 16,000 86,175
Olympus Optical Co., Ltd. 15,000 292,960
Omron Corp. 14,600 320,486
Ono Pharmaceutical Co., Ltd. 7,800 357,041
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Onward Kashiyama Co., Ltd. 10,000 121,583
# Oracle Corp. Japan 17,500 687,752
* Orient Corp. 31,000 113,815
Oriental Land Co., Ltd. 9,400 556,636
Orix Corp. 4,260 613,150
Osaka Gas Co., Ltd. 164,000 506,990
OSG Corp. 4,000 52,637
Otsuka Corp. 1,600 124,510
Pacific Metals Co., Ltd. 5,000 20,936
PanaHome Corp. 5,000 26,112
Paramount Bed Co., Ltd. 1,000 23,618
Paris Miki, Inc. 1,900 40,396
Park24 Co., Ltd. 3,000 58,913
Pasona, Inc. 20 45,430
Pioneer Electronic Corp. 11,700 192,790
Promise Co., Ltd. 6,500 403,725
Q.P. Corp. 8,900 77,393
Rengo Co., Ltd. 12,000 62,020
* Resona Holdings, Inc. 1,412,000 2,685,656
Ricoh Co., Ltd., Tokyo 58,000 944,730
Rinnai Corp. 3,000 75,335
Rohm Co., Ltd. 9,100 856,779
Round One Corp. 25 61,015
* Ryohin Keikaku Co., Ltd. 1,600 72,457
Ryosan Co., Ltd. 2,000 48,785
Ryoshoku, Ltd. 1,700 47,749
Sagami Railway Co., Ltd. 19,000 63,801
Saizeriya Co., Ltd. 1,300 15,494
San In Godo Bank, Ltd. 11,000 105,033
Sanden Corp. 7,000 28,940
Sanken Electric Co., Ltd. 6,000 81,882
Sankyo Co, Ltd. 8,700 378,566
Sankyo Co., Ltd. 32,800 666,937
Sankyo Seiki Manufacturing Co., Ltd. 5,000 46,051
Sankyo-Tateyama Holdings, Inc. 17,000 42,522
Sankyu, Inc., Tokyo 15,000 42,164
* Sanrio Co., Ltd. 3,000 29,943
Santen Pharmaceutical Co., Ltd. 5,300 119,653
Sanwa Shutter Corp. 15,000 83,804
Sanyo Chemical Industries, Ltd. 6,000 43,391
Sanyo Electric Co., Ltd. 123,000 333,618
Sapporo Breweries, Ltd. 19,000 94,727
Sapporo Hokuyo Holdings, Inc. 25 180,510
Secom Co., Ltd. 18,000 759,282
Sega Sammy Holdings, Inc. 3,024 174,023
Seiko Corp. 3,000 16,153
* Seiko Epson Corp. 7,800 259,109
Seino Transportation Co., Ltd. 10,000 87,421
* Seiyu, Ltd. 28,000 46,441
Sekisui Chemical Co., Ltd. 35,000 242,419
Sekisui House, Ltd. 50,000 489,544
Seven-Eleven Japan Co., Ltd. 92,200 2,594,469
Seventy-seven (77) Bank, Ltd. 25,000 157,206
SFCG Co., Ltd. 870 221,073
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Sharp Corp. Osaka 81,000 1,252,575
Shiga Bank, Ltd. 15,000 92,785
Shikoku Bank, Ltd. 14,000 75,009
Shikoku Electric Power Co., Inc. 16,200 316,231
Shima Seiki Manufacturing Co., Ltd. 1,500 36,899
Shimachu Co., Ltd. 3,500 87,042
Shimadzu Corp. 12,000 71,080
Shimamura Co., Ltd. 2,400 185,336
Shimano, Inc. 7,700 221,514
Shimizu Corp. 52,000 230,674
Shin-Etsu Chemical Co., Ltd. 31,400 1,158,164
Shinko Electric Industries Co., Ltd. 1,600 62,190
Shinko Securities Co., Ltd. 47,000 142,035
* Shinsei Bank, Ltd. 77,000 389,194
Shionogi & Co., Ltd. 23,000 315,103
Shiseido Co., Ltd. 27,000 324,195
Shizuoka Bank, Ltd. 45,000 387,862
Showa Corp. 2,300 28,723
Showa Denko KK 79,000 187,167
Showa Shell Sekiyu KK 35,100 339,885
Skylark Co., Ltd. 6,500 101,822
SMBC Friend Securities Co., Ltd. 16,500 84,827
SMC Corp. 5,000 529,084
* Snow Brand Milk Products Co., Ltd. 12,000 34,157
Softbank Corp. 28,600 1,024,098
Sohgo Security Services Co.,Ltd. 6,200 78,954
Sony Corp. 85,800 3,204,090
Square Enix Co., Ltd. 9,500 272,234
Stanley Electric Co., Ltd. 10,300 159,668
Sumisho Computer Systems Corp. 1,600 37,953
Sumitomo Bakelite Co., Ltd. 12,000 74,647
Sumitomo Chemical Co., Ltd. 106,000 496,110
Sumitomo Corp. 84,000 670,880
Sumitomo Corporation's Leasing, Ltd. 2,000 70,481
Sumitomo Electric Industries, Ltd. 57,000 597,862
Sumitomo Forestry Co., Ltd. 8,000 69,555
Sumitomo Heavy Industries, Ltd. 37,000 182,517
Sumitomo Metal Industries, Ltd. Osaka 332,000 558,547
Sumitomo Metal Mining Co., Ltd. 40,000 255,899
Sumitomo Mitsui Financial Group, Inc. 421 2,723,040
Sumitomo Osaka Cement Co., Ltd. 25,000 60,041
Sumitomo Real Estate Sales Co., Ltd. 1,200 53,785
Sumitomo Realty & Development Co., Ltd. 31,000 333,184
Sumitomo Rubber 16,000 169,847
Sumitomo Special Metals Co., Ltd. 4,000 90,655
Sumitomo Trust & Banking Co., Ltd. 118,000 697,927
Sumitomo Warehouse Co., Ltd. 10,000 51,148
Sundrug Co., Ltd. 1,000 37,593
Suruga Bank, Ltd. 15,000 122,283
Suzuken Co., Ltd. 6,980 185,314
Suzuki Motor Corp. 46,500 757,915
Sysmex Corp. 1,300 81,386
T&D Holdings, Inc. 16,900 846,442
Taiheiyo Cement Corp. 56,000 145,023
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Taisei Corp. 71,000 235,057
Taisho Pharmaceutical Co., Ltd. 30,000 570,112
Taiyo Yuden Co., Ltd. 10,000 111,109
Takara Shuzo Co., Ltd. 10,000 63,199
Takara Standard Co., Ltd. 9,000 57,542
Takashimaya Co., Ltd. 19,000 159,088
Takeda Chemical Industries, Ltd. 74,900 3,597,236
Takefuji Corp. 10,350 640,174
Takuma Co., Ltd. 2,000 13,871
# * TC Properties Co., Ltd. 61,900 79,351
TDK Corp. 10,300 747,920
Teijin, Ltd. 57,000 250,258
Teikoku Oil Co., Ltd. 16,000 108,027
Terumo Corp. 13,000 341,860
The Nisshin Oillio Group, Ltd. 6,000 33,883
THK Co., Ltd. 7,200 145,390
TIS, Inc. 2,700 88,534
Toagosei Co., Ltd. 15,000 61,342
Tobu Railway Co., Ltd. 61,000 225,293
Toda Corp. 14,000 57,211
Toho Bank, Ltd. 14,000 57,339
Toho Co., Ltd. 12,800 179,696
Toho Gas Co., Ltd. 36,000 138,683
Toho Titanium Co., Ltd. 2,000 73,915
Tohuku Electric Power Co., Inc. 38,300 769,089
Tokai Rika Co., Ltd. 4,000 63,159
Tokai Rubber Industries, Ltd. 6,000 81,533
Tokai Tokyo Securities Co., Ltd. 8,000 23,558
Tokuyama Corp. 15,000 110,658
Tokyo Broadcasting System, Inc. 11,200 188,288
Tokyo Dome Corp. 10,000 54,403
Tokyo Electric Power Co., Ltd 100,800 2,360,478
Tokyo Electron, Ltd. 14,400 802,439
Tokyo Gas Co., Ltd. 217,000 850,014
Tokyo Seimitsu Co., Ltd. 1,600 64,373
Tokyo Steel Manufacturing Co., Ltd. 10,100 132,339
Tokyo Style Co., Ltd. 7,000 71,211
Tokyo Tatemono Co., Ltd. 12,000 82,901
Tokyo Tomin Bank, Ltd. 2,300 58,121
Tokyu Corp. 75,000 333,051
Tokyu Land Corp. 27,000 117,780
* Tomen Corp. 35,000 48,955
TonenGeneral Sekiyu KK 24,000 255,742
Toppan Forms Co., Ltd. 3,500 38,425
Toppan Printing Co., Ltd. 46,000 467,554
Toray Industries, Inc. 97,000 429,723
Toshiba Corp. 247,000 1,007,520
Toshiba Machine Co., Ltd. 7,000 38,118
Toshiba TEC Corp. 11,000 48,614
Tosoh Corp. 37,000 150,549
Tostem Inax Holding Corp. 22,740 386,832
Toto, Ltd. 25,000 197,751
Toyo Ink Manufacturing Co., Ltd. 13,000 50,528
Toyo Seikan Kaisha, Ltd. 15,300 265,223
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Toyo Suisan Kaisha, Ltd. 7,000 109,751
Toyobo Co., Ltd. 37,000 83,829
Toyoda Gosei Co., Ltd. 10,100 176,538
Toyoda Machine Works, Ltd. 3,000 28,975
Toyota Auto Body Co., Ltd. 6,200 121,393
Toyota Industries Corp. 15,300 410,577
Toyota Motor Credit Corp. 248,400 8,829,632
# Toyota Tsusho Corp. 18,000 304,181
Trans Cosmos, Inc. 1,000 34,112
Trend Micro Inc. 9,500 295,617
Tsumura & Co. 4,000 69,764
TV Asahi Corp. 50 102,409
Ube Industries, Ltd. 52,000 98,145
* UFJ Holdings, Inc. 367 1,851,069
* UFJ Tsubasa Securities Co. Ltd. 36,000 122,314
Uni-Charm Corp. 4,600 187,121
Uniden Corp. 5,000 74,907
Union Tool Co. 800 23,301
UNY Co., Ltd. 12,000 130,156
* Urban Corp. 1,300 47,779
Ushio Inc. 7,000 134,933
USS Co., Ltd. 1,720 108,252
Victor Co. of Japan, Ltd. 16,000 125,067
Wacoal Corp. 7,000 93,069
* West Japan Railway Co. 136 464,218
World Co., Ltd. 2,800 92,890
Xebio Co., Ltd. 1,700 47,796
Yahoo Japan Corp. 1,500 3,006,318
Yakult Honsha Co., Ltd. 12,000 221,266
Yamada Denki Co., Ltd. 5,300 287,774
Yamaguchi Bank, Ltd. 13,000 147,049
Yamaha Corp. 14,500 211,769
Yamaha Motor Co., Ltd. 21,000 382,681
Yamanashi Chuo Bank, Ltd. 10,000 60,027
Yamanouchi Pharmaceutical Co., Ltd. 38,255 1,362,123
Yamatake Corp. 3,700 61,048
Yamato Kogyo Co., Ltd. 3,000 34,376
Yamato Transport Co., Ltd. 33,000 460,321
Yamazaki Baking Co., Ltd. 12,000 103,102
* Yaskawa Electric Corp. 12,000 67,685
Yasuda Fire & Marine Insurance Co., Ltd. 66,000 666,781
# Yasuda Trust & Banking Co., Ltd. 667,000 1,011,504
Yodogawa Steel Works, Ltd. 8,000 42,235
Yokogawa Electric Corp. 14,000 172,706
Yokohama Rubber Co., Ltd. 21,000 86,284
York-Benimaru Co., Ltd. 2,700 75,055
* Yoshinoya D&C Co., Ltd. 19 29,745
Zeon Corp. 15,000 130,333
----------------
TOTAL COMMON STOCKS
(Cost $222,416,289) 213,115,847
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Japanese Yen 82,312
----------------
(Cost $82,940)
TOTAL -- JAPAN
(Cost $222,499,229) 213,198,159
----------------
15
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FRANCE -- (8.2%)
COMMON STOCKS -- (8.2%)
# Accor SA 16,187 746,294
Air France 24,260 386,115
# Air Liquide SA 9,412 1,635,865
Air Liquide SA Primes De Fid 02 11,393 1,989,401
* Alcatel SA 99,180 1,083,444
* Alstom SA 321,074 292,534
Arcelor SA 29,800 592,554
# Assurances Generales de France (AGF) 15,535 1,246,063
* Atos Origin 4,218 260,964
# AXA 129,554 3,162,236
# BNP Paribas SA 72,070 4,844,918
Bollore Technologies SA 203 99,138
# Bouygues 25,936 997,400
* Business Objects SA 5,500 157,932
* Cap Gemini SA 9,658 308,111
# Carrefour 47,596 2,359,753
# Casino Guichard Perrachon 9,856 735,764
Cie Generale D'Optique Essilor Intenational SA 7,532 516,206
Clarins SA 1,307 80,353
* CNP Assurances 2,921 195,783
# Compagnie de Saint-Gobain 27,653 1,590,576
Compagnie Francaise d'Etudes et de Construction Technip SA 7,160 316,256
Dassault Systemes SA 9,666 448,409
# Dior (Christian) SA 17,202 1,247,783
Eiffage SA 3,165 252,583
Esso SA 173 29,146
Euler-Hermes SA 3,120 235,889
* European Aeronautic Defence & Space Co. 21,888 647,011
Faurecia SA 1,328 99,601
Fimalac SA 560 25,645
# * France Telecom SA 231,887 6,593,043
* Gecina SA 5,098 618,240
# Generale des Establissements Michelin SA Series B 10,031 633,618
# Groupe Danone 20,359 1,870,510
# Havas SA 27,830 164,460
# Hermes International SA 4,009 775,940
Iliad SA 2,200 77,602
Imerys SA 5,342 384,967
* JC Decaux SA 18,441 446,395
Klepierre SA 1,862 175,315
# LaFarge SA 14,341 1,297,720
LaFarge SA Prime Fidelity 8,912 812,634
# Lagardere S.C.A. SA 10,537 750,245
# L'Oreal 64,016 4,635,405
# LVMH (Louis Vuitton Moet Hennessy) 43,990 3,138,346
Metropole Television SA 10,023 250,424
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Neopost SA 2,155 192,391
NRJ Group 3,492 71,882
# Pernod-Ricard SA 4,485 692,739
# Peugeot SA 16,477 986,127
# Pinault Printemps Redoute SA 9,979 987,712
Publicis Groupe 14,334 420,431
Rallye SA 1,275 63,320
Remy Cointreau SA 2,257 95,244
# Renault SA 20,388 1,744,260
Sagem SA 13,268 251,085
# Sanofi Synthelabo 99,510 8,954,779
# Schneider SA 18,030 1,325,641
* Scor SA 28,551 58,503
SEB SA Prime Fidelite 2002 953 97,893
SEB SA Prime Fidelity 990 101,785
Societe BIC SA 3,600 193,293
# Societe des Ciments de Francais 1,006 91,941
# Societe Generale Paris 28,923 2,841,986
# Societe Television Francaise 1 17,323 468,796
Sodexho Alliance SA 11,496 369,067
Somfy Interational SA 134 27,121
# Ste des Autoroutes du Sud de la France 25,546 1,317,896
Stmicroelectronics NV 53,696 832,550
# Suez (ex Suez Lyonnaise des Eaux) 70,519 1,896,705
# Thales SA 16,134 644,020
# Thomson Multimedia 16,643 422,570
# Total SA 49,434 10,993,233
Unibail SA 3,395 431,488
Valeo SA 5,890 246,497
# Veolia Environnement SA 29,204 1,106,330
# Vinci SA 11,396 853,265
# Vivendi Universal SA 89,770 2,733,870
Wendel Investissement 4,149 329,890
Zodiac SA 4,549 221,092
----------------
TOTAL COMMON STOCKS
(Cost $78,314,817) 91,273,993
----------------
RIGHTS/WARRANTS -- (0.0%)
* Air France Warrants 11/06/07 2,377 1,083
----------------
(Cost $4,469)
TOTAL -- FRANCE
(Cost $78,319,286) 91,275,076
----------------
GERMANY -- (5.9%)
COMMON STOCKS -- (5.9%)
* Aachener und Muenchener Beteiligungs AG 5,721 462,208
Adidas-Salomon AG 3,668 610,147
# * Aixtron AG 2,400 7,808
Allianz AG 28,115 3,310,285
Altana AG 14,018 832,270
# BASF AG 45,217 3,000,881
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# Bayer AG 59,643 2,002,778
# Bayerische Motorenwerke AG 59,234 2,561,133
* Bayerische Vereinsbank AG 51,617 1,268,381
Beiersdorf AG 12,509 1,340,463
BHW Holding AG 1,358 23,303
# Commerzbank AG 43,148 937,121
# Continental AG 10,033 710,527
* D. Logistics AG 1,200 2,537
# DaimlerChrysler AG 79,549 3,207,104
# Deutsche Bank AG 45,186 3,515,426
Deutsche Boerse AG 8,822 649,003
# Deutsche Lufthansa AG 43,579 549,520
Deutsche Post AG 135,361 3,174,945
Deutsche Telekom AG 354,516 6,588,307
Douglas Holding AG 1,500 50,909
E.ON AG 56,479 4,903,165
* Epcos AG 2,800 35,845
Fraport AG 9,524 393,238
* Freenet.De AG 2,562 64,734
# Fresenius Medical Care AG 6,632 520,919
Gehe AG 9,662 791,542
Hannover Rueckversicherungs AG 12,626 481,359
* Heidelberger Druckmaschinen AG 6,690 206,547
Heidelberger Zement AG 9,226 590,063
Henkel KGAA 1,961 170,435
Hochtief AG 4,316 146,660
Hugo Boss AG 808 24,139
Hypo Real Estate Holding AG 10,787 424,812
* Infineon Technologies AG 54,518 480,117
* IVG Immobilien AG 3,712 67,435
K & S Aktiengesellschaft AG 2,419 129,168
* Karstadt Quelle AG 10,229 112,477
* Lanxess 4,179 88,657
# * Linde AG 9,032 612,940
# MAN AG 12,430 551,407
# Medion AG 2,850 44,074
Merck KGAA 4,005 312,828
Metro AG 36,404 1,816,036
* MG Technologies AG 14,061 159,429
Munchener Rueckversicherungs-Gesellschaft AG 17,069 1,866,256
Oldenburgische Landesbank AG 969 70,780
# Preussag AG 12,979 321,774
Puma AG 1,055 267,343
Rheinmetall Berlin AG 1,424 72,242
Rwe AG (Neu) 800 42,259
Rwe AG (NEU) Series A 38,004 2,321,049
SAP AG (Systeme Anwendungen Produkte in der Datenverarbeitung) 25,996 4,287,803
Schering AG 12,657 794,686
Schwarz Pharma AG 2,790 122,222
* SGL Carbon AG 1,750 20,615
Siemens AG 71,302 5,218,898
Stada Arzneimittel AG 2,242 69,141
Suedzucker AG 18,765 354,071
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ThyssenKrupp AG 44,279 812,909
United Internet AG 1,321 34,210
Volkswagen AG 24,379 1,072,922
* WCM Beteiligungs AG 11,608 6,281
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TOTAL -- GERMANY
(Cost $64,930,249) 65,688,543
----------------
SWITZERLAND -- (5.9%)
COMMON STOCKS -- (5.9%)
* ABB, Ltd. 165,197 1,078,864
* Actelion, Ltd. 1,600 162,141
Adecco SA 18,801 891,650
Baloise-Holding 4,100 214,086
BKW FMB Energie AG 556 329,690
Ciba Spezialitaetenchemie Holding AG 5,321 316,369
Cie Financiere Richemont AG Series A 46,023 1,401,176
* Clariant AG 18,560 260,157
Credit Swisse Group 96,225 3,849,392
* Fischer (Georg) AG, Schaffhausen 145 42,984
* Forbo Holding AG, Eglisau 102 19,444
Geberit AG 314 206,219
Givaudan SA 613 364,867
Holcim, Ltd. 21,899 1,331,212
# * Julius Baer Holding AG 3,453 210,341
Kudelski SA 3,084 108,557
Kuehne & Nagel International AG 3,032 631,538
* Kuoni Reisen Holding AG 180 71,395
Lindt & Spruengli AG 12 191,742
* Logitech International SA 3,719 221,470
Lonza Group AG 2,970 181,160
Nestle SA, Cham und Vevey 35,676 9,390,043
Nobel Biocare Holding AG 1,832 365,225
Novartis AG 236,286 11,534,671
Phonak Holding AG 4,487 164,516
Publicitas Holding SA, Lausanne 104 30,312
Roche Holding AG Bearer 26,618 3,852,257
Roche Holding AG Genusschein 59,538 7,499,453
Schindler Holding AG 210 75,397
Schindler Holding AG 1,845 663,956
Serono SA 1,432 873,400
Societe Generale de Surveillance Holding SA 933 655,246
Straumann Holding AG 1,836 369,601
Sulzer AG, Winterthur 165 68,620
Swatch Group AG 2,692 356,055
* Swiss Life AG 2,640 348,581
# Swiss Reinsurance Co., Zurich 27,255 1,687,148
Swisscom AG 10,343 3,461,537
* Syngenta AG 8,613 890,390
Synthes, Inc. 10,130 1,111,264
Tecan Group AG 627 17,907
The Swatch Group AG 18,164 497,104
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UBS AG 95,271 7,357,923
# Unaxis Holding AG 912 127,967
* Valora Holding AG 209 45,860
* Zurich Financial SVCS AG 12,187 2,024,434
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TOTAL COMMON STOCKS
(Cost $51,368,768) 65,553,321
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Swiss Francs 15,302
----------------
(Cost $15,636)
TOTAL -- SWITZERLAND
(Cost $51,384,404) 65,568,623
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AUSTRALIA -- (4.4%)
COMMON STOCKS -- (4.4%)
ABC Learning Centres, Ltd. 13,810 55,167
Alinta, Ltd. 20,508 152,650
Amcor, Ltd. 68,662 351,213
AMP, Ltd. 158,850 789,468
Ansell, Ltd. 12,403 85,985
APN News & Media, Ltd. 49,644 190,915
Aristocrat Leisure, Ltd. 49,521 390,409
# Australand Property Group 55,200 58,751
Australia & New Zealand Banking Group, Ltd. 158,581 2,564,740
Australian Gas Light Co. 40,414 424,034
Australian Stock Exchange, Ltd. 7,599 131,100
* Australian Wealth Management, Ltd. 17,398 12,615
AWB, Ltd. 25,051 84,064
AXA Asia Pacific Holdings, Ltd. 244,297 856,027
Bendigo Bank, Ltd. 9,970 72,887
BHP Billiton, Ltd. 326,085 4,088,585
Billabong International, Ltd. 17,806 165,753
Bluescope Steel, Ltd. 60,628 368,291
Boral, Ltd. 49,907 223,272
Brambles Industries, Ltd. 84,826 508,229
Brickworks, Ltd. 9,442 71,927
* Burns, Philp & Co., Ltd. 147,539 98,310
Caltex Australia, Ltd. 29,754 338,389
* Challenger Financial Services Group, Ltd. 38,847 97,781
Coca-Cola Amatil, Ltd. 40,824 241,686
Cochlear, Ltd. 4,162 101,332
Coles Myer, Ltd. 100,590 691,252
Commonwealth Bank of Australia 111,378 3,111,357
Computershare, Ltd. 51,406 227,959
CSL, Ltd. 16,771 365,010
CSR, Ltd. 67,847 126,620
DB RREEF Trust 43,342 44,787
DCA Group, Ltd. 31,921 83,729
Downer Group, Ltd. 17,631 70,239
Flight Centre, Ltd. 6,023 65,420
Foodland Associates, Ltd. 8,315 165,978
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Foster's Group, Ltd. 172,992 703,984
Futuris Corp., Ltd. 44,053 56,141
General Property Trust 75,385 200,751
Gunns, Ltd. 27,987 81,458
* Hardman Resources NL 33,188 45,468
Harvey Norman Holdings, Ltd. 128,448 237,119
Iluka Resources, Ltd. 20,985 97,246
Insurance Australiz Group, Ltd. 136,198 599,897
James Hardies Industries NL 30,184 152,756
John Fairfax Holdings, Ltd. 76,451 240,833
Leighton Holdings, Ltd. 30,749 239,952
Lend Lease Corp., Ltd. 31,264 288,023
* Lihir Gold, Ltd. 79,000 63,726
Lion Nathan, Ltd. 63,050 349,305
Macquarie Bank, Ltd. 18,800 713,296
Macquarie Goodman Group 102,680 310,216
Macquarie Infrastructure Group 83,347 244,566
Mayne Group, Ltd. 50,885 177,493
# * Metcash Limited 94,739 268,336
Mirvac, Ltd. 67,012 168,836
* Multiplex Group 59,010 114,100
National Australia Bank, Ltd. 138,432 3,285,797
National Foods, Ltd. 17,881 85,901
Newcrest Mining, Ltd. 24,364 243,896
Nufarm, Ltd. 11,456 76,220
* Oil Search, Ltd. 67,498 121,911
Onesteel, Ltd. 38,516 72,942
Orica, Ltd. 22,231 263,730
Origin Energy, Ltd. 64,493 347,387
* Oxiana, Ltd. 52,556 34,018
Pacific Brands, Ltd. 39,285 66,870
Paperlinx, Ltd. 29,331 51,272
Patrick Corp., Ltd. 50,695 217,454
Perpetual Trustees Australia, Ltd. 2,758 116,386
Promina Group, Ltd. 86,780 333,200
Publishing and Broadcasting, Ltd. 118,759 1,363,795
QBE Insurance Group, Ltd. 67,065 741,229
Quantas Airways, Ltd. 332,379 806,248
Rinker Group, Ltd. 80,131 744,010
# Rio Tinto, Ltd. 44,239 1,415,343
Rural Press, Ltd. 8,895 68,374
Santos, Ltd. 47,603 361,579
* Scigen 11,443 432
SFE Corp., Ltd. 9,801 74,490
Sigma Co., Ltd. 7,216 44,634
Sims Group, Ltd. 6,740 68,581
Sonic Healthcare, Ltd. 20,706 180,986
* Sons of Gwalia, Ltd. 7,201 0
St. George Bank, Ltd. 44,108 866,579
Stockland Trust Group 33,269 138,600
* Stockland Trust Group Issue 05 1,124 4,635
Suncorp-Metway, Ltd. 47,615 703,560
Tab Queensland, Ltd. 8,003 80,809
Tabcorp Holdings, Ltd. 43,536 514,454
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Telstra Corp., Ltd. 1,076,734 4,079,625
Ten Network Holdings, Ltd. 28,370 79,941
Toll Holdings, Ltd. 30,780 289,925
Transurban Group 59,543 326,232
* Virgin Blue Holdings, Ltd. 70,347 89,352
Washington H. Soul Pattinson & Co., Ltd. 18,899 128,354
Wesfarmers, Ltd. 31,257 865,208
West Australian Newspapers Holdings, Ltd. 15,484 89,723
* Westfield Group 1,187 14,972
Westfield Group Stapled 37,972 481,019
Westpac Banking Corp. 156,363 2,318,248
WMC Resources, Ltd. 77,964 454,159
WMC, Ltd. 95,810 396,914
Woodside Petroleum, Ltd. 70,327 1,312,320
Woolworths, Ltd. 86,513 1,047,927
Worley Group, Ltd. 12,260 65,072
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TOTAL COMMON STOCKS
(Cost $33,118,345) 48,363,746
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Australian Dollar 197,429
----------------
(Cost $197,620)
TOTAL -- AUSTRALIA
(Cost $33,315,965) 48,561,175
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NETHERLANDS -- (4.0%)
COMMON STOCKS -- (4.0%)
ABN AMRO Holding NV 160,214 3,720,734
Aegon NV 150,762 1,930,274
AKZO Nobel NV 25,960 1,019,845
Buhrmann NV 6,020 55,170
DSM NV 11,122 744,500
Elsevier NV 67,133 928,120
Getronics NV 27,590 45,121
* Hagemeyer NV 21,897 52,022
Heineken Holding NV Series A 40,723 1,156,070
Heineken NV 77,252 2,450,918
# Hunter Douglas NV 5,232 270,541
IHC Caland NV 2,636 169,024
ING Groep NV 219,463 6,072,380
# * Ispat International NV 20,616 508,236
* Koninklijke Ahold NV 145,070 1,095,076
Koninklijke KPN NV 241,808 1,922,943
Koninklijke Nedlloyd NV 4,376 300,292
Koninklijke Philips Electronics NV 122,480 3,132,930
* Norit NV 42,074 677,742
* Nutricia (Verenigde Bedrijven) NV 15,794 629,756
Oce NV 4,991 72,313
Randstad Holdings NV 20,298 726,276
Royal Dutch Petroleum Co., Den Haag 190,405 11,119,403
TNT Post Groep NV 57,222 1,461,685
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# Unilever NV 50,102 3,321,654
Vedior NV 15,338 217,854
VNU NV 23,417 637,006
Wolters Kluwer NV 27,979 490,845
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TOTAL COMMON STOCKS
(Cost $43,261,593) 44,928,730
----------------
RIGHTS/WARRANTS -- (0.0%)
* SBM Offshore Coupons 2,636 0
----------------
(Cost $0)
TOTAL -- NETHERLANDS
(Cost $43,261,593) 44,928,730
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ITALY -- (3.2%)
COMMON STOCKS -- (3.2%)
Acea SpA 7,694 86,811
AEM SpA 102,681 215,627
* Alitalia Linee Aeree Italiane SpA Series A 50,000 15,895
# Alleanza Assicurazioni SpA 52,431 560,544
ASM Brescia SpA 7,586 24,122
# Assicurazioni Generali SpA, Trieste 78,677 2,390,188
Autogrill SpA, Novara 14,752 205,152
# Autostade SpA 40,846 1,063,882
Banca Antoniana Popolare Veneta SpA 14,739 470,547
Banca Fideuram SpA 70,232 346,825
# Banca Monte Dei Paschi di Siena SpA 176,149 632,583
# * Banca Nazionale del Lavoro SpA 173,414 584,556
Banca Popolare di Lodi Scarl 14,675 143,129
Banca Popolare di Milano 30,454 308,543
# Banco Popolare Bergamo SpA 19,238 389,851
Banco Popolare di Verona e Novara SpA 29,390 532,686
Benetton Group SpA 6,950 63,067
Bulgari SpA 16,639 185,858
Buzzi Unicem SpA 3,954 56,895
Capitalia SpA 125,484 655,610
Cassa di Risparmio di Firenze SpA 34,725 86,612
CIR SpA (Cie Industriale Riunite), Torino 34,312 94,832
Compagnia Assicuratrice Unipol SpA 34,504 136,657
Credito Bergamasco SpA 854 25,240
Credito Emiliano SpA 12,917 145,584
# Credito Italiano 379,350 1,963,513
Davide Campari - Milano SpA 10,200 72,840
* E.Biscom SpA 3,329 145,358
# * Edison SpA 370,539 839,467
# Eni SpA 237,013 6,069,975
# Ente Nazionale per L'Energia Elettrica SpA 461,796 4,153,898
* Fiat SpA 47,140 317,619
Finecogroup SpA 18,285 156,722
Finmeccanica SpA 385,000 350,528
# Gruppo Editoriale L'espresso SpA 21,573 123,254
* Hera SpA 36,487 102,523
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Intesabci SpA 397,132 1,854,736
Italcementi SpA 8,940 138,059
Italmobiliare SpA, Milano 449 27,892
Lottomatica SpA 2,664 89,075
# Luxottica Group SpA 40,566 842,224
# Mediaset SpA 83,030 978,552
Mediobanca SpA 34,000 591,233
# Mediolanum SpA 44,701 285,579
Milano Assicurazioni SpA 9,884 56,190
Mondadori (Arnoldo) Editore SpA 13,860 134,053
Pirelli & Co. SpA 93,332 103,004
# RAS SpA (Riunione Adriatica di Sicurta) 50,861 980,686
# SAI SpA (Sta Assicuratrice Industriale), Torino 6,188 161,279
# Saipem SpA 24,958 315,063
# San Paolo-IMI SpA 96,588 1,341,524
* Seat Pagine Gialle SpA 429,123 174,395
* Seat Pagine Gialle SpA, Torino 3,591 1,698
SNAM Rete Gas SpA 142,784 764,677
* SNIA SpA 9,248 3,213
Societe Cattolica di Assicurazoni Scarl SpA 3,387 148,164
* Sorin SpA 13,872 41,525
Telecom Italia Mobile SpA 39,514 219,554
Telecom Italia SpA 740,972 2,378,691
* Tiscali SpA 13,000 38,798
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TOTAL COMMON STOCKS
(Cost $29,690,692) 35,386,857
----------------
PREFERRED STOCKS -- (0.0%)
* Fiat SpA 3,000 16,168
----------------
(Cost $43,047)
RIGHTS/WARRANTS -- (0.0%)
* Fiat SpA Warrants 01/31/07 1,677 392
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(Cost $0)
TOTAL -- ITALY
(Cost $29,733,739) 35,403,417
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SPAIN -- (3.2%)
COMMON STOCKS -- (3.2%)
Acciona SA 5,051 463,450
Acerinox SA 15,983 230,663
Actividades de Construccion y Servicios SA 22,866 607,527
Antena 3 de Television SA 9,360 187,382
# Autopistas Concesionaria Espanola SA 44,293 987,875
Banco Bilbao Vizcaya SA 182,100 2,855,438
Banco de Andalucia 655 57,729
Banco de Sabadell SA 18,074 474,044
# Banco de Valencia SA 5,586 162,489
* Banco Espanol de Credito SA 39,155 563,771
# Banco Pastor SA 2,530 94,443
Banco Popular Espanol SA, Madrid 15,148 902,424
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# Banco Santander Central Hispanoamerica SA 504,762 5,766,128
Bankinter SA 3,867 196,084
Cementos Portland SA 1,338 91,871
Cia Espanola de Petroleous SA 13,626 536,569
Compania de Distribucion Integral Logista SA 1,928 96,348
Coporacion Financiera Reunida SA 6,070 77,013
Corporacion Mapfre Compania Internacional de Reaseguros SA 15,336 223,492
Ebro Puleva SA 8,097 145,656
Enagas SA 14,223 226,365
Endesa SA, Madrid 80,559 1,753,292
Fomento de Construcciones y Contratas SA 11,974 659,527
# Gamesa Corporacion Tecnologica SA 12,172 164,691
Gas Natural SA, Buenos Aires 43,183 1,210,460
# Grupo Ferrovial SA 11,821 727,492
# Iberdrola SA 64,787 1,652,554
Iberia Lineas Aereas de Espana SA 65,471 206,957
Indra Sistemas SA 9,037 165,159
Industria de Diseno Textil SA 60,827 1,724,185
Inmobiliaria Urbis SA 2,577 43,731
# Metrovacesa SA 4,468 270,705
Promotora de Informaciones SA 17,174 336,419
Red Electrica de Espana SA 7,740 191,773
Repsol SA 77,069 1,927,286
* Sociedad General de Aguas de Barcelona SA 62 1,246
Sociedad General de Aguas de Barcelona SA Class A 8,008 161,285
# * Sogecable SA 8,794 321,037
Sol Melia SA 8,400 88,165
Tabacalera SA 19,552 801,538
Tele Pizza SA 7,000 14,278
Telefonica de Espana SA 350,218 5,871,750
# Telefonica Publicidad e Informacion SA 26,439 223,024
Union Fenosa SA 19,200 577,811
Vallehermoso SA 20,299 409,079
# Zardoya Otis SA 16,449 475,036
Zeltia SA 10,500 84,588
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TOTAL COMMON STOCKS
(Cost $25,422,245) 35,009,829
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RIGHTS/WARRANTS -- (0.0%)
* Banco Valencia SA Rights 06/07/05 5,586 3,368
* Sogecable SA Rights 06/07/05 8,794 3,679
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TOTAL RIGHTS/WARRANTS
(Cost $0) 7,047
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TOTAL -- SPAIN
(Cost $25,422,245) 35,016,876
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SWEDEN -- (2.0%)
COMMON STOCKS -- (2.0%)
Alfa Laval AB 7,600 114,537
Assa Abloy AB Series B 24,100 316,772
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Atlas Copco AB Series A 30,300 462,112
* Atlas Copco AB Series A Redemption Shares 10,100 27,147
Atlas Copco AB Series B 16,200 227,481
* Atlas Copco AB Series B Redemption Shares 5,400 14,514
Axfood AB 3,550 88,314
Billerud AB 3,200 38,669
Castellum AB 3,250 125,309
Electrolux AB Series B 23,700 518,084
Eniro AB 12,700 144,586
Fabege AB 6,135 123,790
Gambro AB Series A 19,800 262,608
Gambro AB Series B 7,200 95,932
Getinge AB 11,600 168,483
Hennes & Mauritz AB Series B 67,750 2,389,900
Hoganas AB Series B 1,300 34,273
Holmen AB Series B 6,000 161,369
Lennart Wallenstam Byggnads AB Class B 18,500 245,444
* Lundin Petroleum AB 14,500 104,737
* Modern Times Group AB Series B 4,150 127,991
NCC AB Series B 3,200 46,954
Nordic Baltic Holdings AB 233,048 2,128,696
* OMHEX AB 6,500 78,432
# Sandvik AB 19,200 759,651
# Scania AB Series A 4,000 145,423
Scania AB Series B 7,800 284,856
Securitas AB Series B 24,100 401,377
Skandia Insurance AB 75,500 417,025
Skandinaviska Enskilda Banken Series A 60,900 1,047,629
Skanska AB Series B 31,100 389,670
SKF AB Series A 9,200 94,066
* SKF AB Series A Redemption Shares 2,300 7,697
SKF AB Series B 30,400 310,557
* SKF AB Series B Redemption Shares 7,600 25,432
SSAB Swedish Steel Series A 4,700 114,257
SSAB Swedish Steel Series B 2,600 61,066
Svenska Cellulosa AB Series B 14,300 486,832
Svenska Handelsbanken Series A 50,700 1,096,578
Swedish Match AB (Frueher Svenska Taendsticks AB) 24,000 275,061
Tele2 AB Series A 2,400 23,204
* Tele2 AB Series A Redemption Shares 800 1,070
Tele2 AB Series B 30,150 288,017
* Tele2 AB Series B Redemption Shares 10,050 13,439
Telefon AB L.M. Ericsson Series B 1,251,800 3,936,917
Telia AB 555,400 2,748,671
Tietoenator Corp. AB 3,400 104,297
Trelleborg AB Series B 5,800 90,106
Volvo AB Series A 11,700 462,198
Volvo AB Series B 24,700 1,009,822
* Wihlborgs Fastigheter AB 1,227 28,857
WM-Data AB Series B 8,500 22,141
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TOTAL COMMON STOCKS
(Cost $18,457,469) 22,692,050
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INVESTMENT IN CURRENCY -- (0.0%)
* Swedish Krona 58,904
----------------
(Cost $59,725)
RIGHTS/WARRANTS -- (0.0%)
* Sandvik AB Redeemable Rights 06/07/05 19,200 11,276
----------------
(Cost $0)
TOTAL -- SWEDEN
(Cost $18,517,194) 22,762,230
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HONG KONG -- (1.6%)
COMMON STOCKS -- (1.6%)
# ASM Pacific Technology, Ltd. 12,000 52,660
Bank of East Asia, Ltd. 110,149 323,581
Cathay Pacific Airways, Ltd. 221,000 399,389
Chaoda Modern Agriculture (Holdings), Ltd. 88,000 36,396
Cheung Kong Holdings, Ltd. 135,600 1,233,317
Cheung Kong Infrastructure Holdings, Ltd. 129,000 388,528
China Merchants Holdings (International) Co., Ltd. 90,000 167,793
China Overseas Land & Investment, Ltd. 210,000 39,269
China Travel International Investment, Ltd. 126,000 34,691
China Unicom, Ltd. 642,000 514,786
* CITIC 21CN Co., Ltd. 116,000 32,702
Citic Ka Wah Bank, Ltd. 84,000 30,937
Citic Pacific, Ltd. 94,000 261,484
CLP Holdings, Ltd. 155,400 888,204
CNOOC, Ltd. 2,166,500 1,187,876
Dah Sing Banking Group, Ltd. 720 1,298
Dah Sing Financial Holdings, Ltd. 8,059 52,249
Esprit Holdings, Ltd. 70,041 500,334
* First Pacific Co., Ltd. 130,000 44,574
Giordano International, Ltd. 98,000 64,175
Global Bio-Chem Technology Group Co., Ltd. 70,000 47,046
GOME Electrical Appliances Holdings, Ltd. 56,000 55,720
Great Eagle Holdings, Ltd. 16,000 36,425
Hang Lung Development Co., Ltd. 70,000 119,392
Hang Lung Properties, Ltd. 113,500 164,354
Hang Seng Bank, Ltd. 131,100 1,757,441
# Henderson Investment, Ltd. 119,000 166,207
Henderson Land Development Co., Ltd. 117,000 532,172
Hong Kong and China Gas Co., Ltd. 305,000 612,708
Hong Kong and Shanghai Hotels, Ltd. 43,001 44,918
Hong Kong Electric Holdings, Ltd. 119,207 526,499
Hong Kong Exchanges & Clearing, Ltd. 48,000 117,575
Hopewell Holdings, Ltd. 49,000 121,015
Hutchison Whampoa, Ltd. 256,500 2,225,886
Hysan Development Co., Ltd. 54,462 109,564
I-Cable Communications, Ltd. 9,854 3,447
Johnson Electric Holdings, Ltd. 168,000 157,074
K. Wah Construction Materials, Ltd. 42,000 34,009
Kerry Properties, Ltd. 41,255 90,266
Kingboard Chemical Holdings, Ltd. 34,000 103,336
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Kowloon Motor Bus Holdings, Ltd. 12,800 69,067
Legend Group, Ltd. 248,000 78,448
Li & Fung, Ltd. 126,000 240,477
Melco International Development, Ltd. 32,000 37,222
MTR Corp., Ltd. 225,570 415,042
New World Development Co., Ltd. 155,477 162,208
NWS Holdings Ltd. 67,000 92,893
PCCW, Ltd. 235,265 143,632
SCMP Group, Ltd. 39,198 16,978
Shanghai Industrial Holdings, Ltd. 26,000 50,385
# Shangri-La Asia, Ltd. 100,913 152,354
Shun Tak Holdings, Ltd. 80,000 75,319
Silver Grant International Industries, Ltd. 62,000 29,187
# Sino Land Co., Ltd. 184,485 188,920
Smartone Telecommunications Holdings, Ltd. 23,000 25,558
Sung Hungkai Properties, Ltd. 135,706 1,291,519
Swire Pacific, Ltd. Series A 42,500 362,302
Techtronic Industries Co., Ltd. 67,500 150,747
Television Broadcasts, Ltd. 20,000 101,895
Texwinca Holdings, Ltd. 60,000 47,768
* Tingyi (Cayman Islands) Holding Corp. 118,000 32,219
Union Bank of Hong Kong, Ltd. 24,000 29,702
Wharf Holdings, Ltd. 136,542 445,298
Wheelock and Co., Ltd. 70,000 100,818
Wheelock Properties, Ltd. 70,000 35,908
Wing Hang Bank, Ltd. 12,500 89,069
Wing Lung Bank, Ltd. 4,600 34,844
Yue Yuen Industrial (Holdings), Ltd. 78,500 232,672
----------------
TOTAL COMMON STOCKS
(Cost $16,727,871) 18,011,748
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Hong Kong Dollars 32,169
----------------
(Cost $32,171)
TOTAL -- HONG KONG
(Cost $16,760,042) 18,043,917
----------------
FINLAND -- (1.3%)
COMMON STOCKS -- (1.3%)
Amer-Yhtymae Oyj Series A 4,500 76,479
Elisa Communications Corp. 10,063 150,717
Fortum Oyj 113,088 1,713,057
KCI Konecranes International Oyj 700 28,593
Kemira GrowHow Oyj 1,275 9,878
Kemira Oyj 6,000 79,869
Kesko Oyj 6,400 153,398
Kone Corp. 5,140 425,464
Metso Oyj 10,444 209,101
M-Real Oyj Series B 26,000 140,346
* Neste Oil Oyj 28,272 631,444
Nokia Oyj 372,121 6,258,856
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Nokian Renkaat Oyj 5,000 89,220
Orion-Yhtyma Oyj Series A 4,200 81,547
Orion-Yhtyma Oyj Series B 5,800 112,821
Outokumpu Oyj Series A 19,700 271,710
Pohjola Group P.L.C. Series D 9,600 121,852
Rautaruukki Oyj Series K 8,700 122,560
Sampo Insurance Co., Ltd. 61,500 868,186
Sanoma-Wsoy Oyj Series A 1,391 34,223
Sanoma-Wsoy Oyj Series B 14,403 337,842
Stora Enso Oyj Series R 67,900 892,141
Tietoenator Corp. 5,460 168,303
Upm-Kymmene Oyj 45,800 885,514
Uponor Oyj Series A 4,600 85,324
Wartsila Corp. Oyj Series B 6,750 203,070
----------------
TOTAL -- FINLAND
(Cost $11,284,993) 14,151,515
----------------
BELGIUM -- (1.0%)
COMMON STOCKS -- (1.0%)
AGFA-Gevaert NV, Mortsel 7,300 208,992
Barco (New) NV 400 29,055
Bekaert SA 700 51,894
Cofinimmo SA 200 31,762
Colruyt SA Halle 1,700 246,538
Compagnie Maritime Belge 1,500 48,981
* Cumerio 1,431 19,722
* Cumerio VVPR 55 2
# Delhaize Freres & cie le Lion SA Molenbeek-Saint Jean 4,572 269,802
# Dexia SA 55,596 1,206,268
D'Ieteren SA 290 57,584
# Electrabel SA 2,998 1,319,986
Euronav SA 1,500 44,431
Exmar NV 300 18,059
# Fortis AG 87,291 2,374,616
Groupe Bruxelles Lambert 2,500 212,642
Interbrew SA 29,842 986,171
KBC Bancassurance Holding SA 28,460 2,307,181
Mobistar SA 2,500 199,777
Omega Pharma SA 500 25,488
# Solvay SA 4,400 477,225
# UCB SA 7,600 347,333
* Umicore-Strip VVPR 55 7
Union Miniere SA 1,431 112,404
----------------
TOTAL -- BELGIUM
(Cost $7,841,615) 10,595,920
----------------
29
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DENMARK -- (0.7%)
COMMON STOCKS -- (0.7%)
Bang & Olufsen Holding A.S. Series B 290 18,652
Carlsberg A.S. Series B 3,475 170,125
Codan A.S. 950 46,478
Coloplast A.S. 1,940 109,296
Dampskibsselsk Torm A.S. 1,250 68,242
Dampskibsselskabet Svendborg A.S. 325 2,938,657
Danisco A.S. 3,950 271,971
Danske Bank A.S. 40,756 1,169,528
DSV, De Sammensluttede Vognmaend A.S. 1,580 122,538
East Asiatic Co., Ltd. 900 56,425
FLS Industries Series B 890 16,554
GN Great Nordic A.S. 16,720 192,040
* Group 4 Securicor A.S. 28,536 72,722
H. Lundbeck A.S. 17,802 445,569
* Jyske Bank A.S. 5,010 191,401
Koebenhavns Lufthavne 390 86,308
NKT Holding A.S. 1,100 42,794
Novo-Nordisk A.S. Series B 14,150 727,774
Novozymes A.S. Series B 4,380 212,592
Rockwool, Ltd. 350 24,292
Sydbank A.S. 4,880 101,237
Tele Danmark A.S. 16,210 714,696
* TK Development 614 3,897
* Topdanmark A.S. 1,300 93,344
* Vestas Wind Systems A.S. 5,866 95,328
* William Demant Holding 3,260 156,019
----------------
TOTAL COMMON STOCKS
(Cost $5,769,360) 8,148,479
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Danish Krone 83,181
----------------
(Cost $85,319)
TOTAL -- DENMARK
(Cost $5,854,679) 8,231,660
----------------
SINGAPORE -- (0.7%)
COMMON STOCKS -- (0.7%)
Allgreen Properties, Ltd. 41,000 26,504
Asia Pacific Breweries, Ltd. 4,000 21,243
Capitacommercial Trust 23,100 20,925
# Capitaland, Ltd. 115,500 160,465
* Chartered Semiconductor Manufacturing, Ltd. 112,000 80,606
City Developments, Ltd. 32,000 131,188
Comfortdelgro Corp., Ltd. 132,000 134,395
* Cosco Corp., Ltd. 23,000 25,175
Creative Technology Co., Ltd. 3,000 23,853
Cycle & Carriage, Ltd. 9,097 67,012
DBS Group Holdings, Ltd. 95,000 791,031
Fraser & Neave, Ltd. 11,100 104,384
Great Eastern Holdings, Ltd. 21,000 180,093
Haw Par Brothers International, Ltd. 2,248 7,143
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Hong Leong Finance, Ltd. 15,000 30,396
Keppel Corp., Ltd. 37,000 256,605
Keppel Land, Ltd. 22,000 30,038
MobileOne, Ltd. 41,390 50,909
Neptune Orient Lines, Ltd. 47,000 94,006
Overseas Chinese Banking Corp., Ltd. 89,300 743,849
Overseas Union Enterprise, Ltd. 6,000 30,039
Parkway Holdings, Ltd. 20,000 21,567
SembCorp Industries, Ltd. 73,320 99,632
* SembCorp Logistics, Ltd. 32,730 34,209
Sembcorp Marine, Ltd. 55,000 69,186
Singapore Airlines, Ltd. 85,000 584,715
Singapore Land, Ltd. 11,000 34,225
* Singapore Petroleum Co., Ltd. 11,000 27,161
* Singapore Post, Ltd. 58,000 31,977
Singapore Press Holdings, Ltd. 122,000 315,797
Singapore Technologies Engineering, Ltd. 174,000 250,366
Singapore Telecommunications, Ltd. 1,367,000 2,130,340
Smrt Corporation, Ltd. 59,000 37,831
* St Assembly test Services, Ltd. 80,000 57,877
United Industrial Corp., Ltd. 39,000 24,067
United Overseas Bank, Ltd. 98,000 839,835
United Overseas Land, Ltd. 22,000 28,962
Venture Manufacturing (Singapore), Ltd. 17,000 152,641
Wing Tai Holdings, Ltd. 22,166 11,806
----------------
TOTAL COMMON STOCKS
(Cost $7,769,250) 7,762,053
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Singapore Dollars 25,559
----------------
(Cost $25,612)
TOTAL -- SINGAPORE
(Cost $7,794,862) 7,787,612
----------------
IRELAND -- (0.7%)
COMMON STOCKS -- (0.7%)
Allied Irish Banks P.L.C. 83,158 1,725,441
Anglo Irish Bank Corp. P.L.C. 57,332 671,061
Bank of Ireland P.L.C. 92,665 1,406,789
CRH P.L.C. 50,877 1,284,491
DCC P.L.C. 6,914 137,079
* Eircom Group P.L.C. 20,550 46,827
* Elan Corp. P.L.C. 33,579 256,365
Fyffes P.L.C. 17,987 50,452
Grafton Group P.L.C. 15,596 181,220
Greencore Group P.L.C. 13,520 56,808
IAWS Group P.L.C. 11,551 173,356
Independent News & Media P.L.C. 77,963 239,705
Irish Permanent P.L.C. 24,811 412,646
Kerry Group P.L.C. 22,953 564,900
Kingspan Group P.L.C. 7,855 91,435
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* Ryanair Holdings P.L.C. 32,702 261,005
* Waterford Wedgwood P.L.C. 153,442 7,742
----------------
TOTAL -- IRELAND
(Cost $6,069,613) 7,567,322
----------------
NORWAY -- (0.5%)
COMMON STOCKS -- (0.5%)
* Aker Kvaerner OGEP ASA 467 17,646
Aker Yards ASA 288 10,554
Den Norske Bank ASA Series A 57,400 555,187
* Fred Olsen Energy ASA 1,500 30,100
* Merkantildata ASA 6,800 1,967
* Nera ASA 6,300 13,371
Norsk Hydro ASA 16,900 1,369,699
Norske Skogindustrier ASA Series A 8,600 132,079
Odfjell ASA Series A 3,400 64,841
* Opticom ASA 600 4,455
Orkla ASA Series A 14,721 501,769
* Petroleum Geo-Services ASA (New) 1,200 81,339
Prosafe ASA 1,350 40,566
Schibsted ASA 3,700 97,661
Smedvig ASA Series A 3,800 66,524
Statoil Den Norske Stats Oljeselskap ASA 98,701 1,737,431
Storebrand ASA 18,700 155,584
Tandberg ASA Series A 8,000 85,528
Telenor ASA 83,141 662,110
Tomra Systems ASA 9,200 39,723
Wilhelmsen (Wilhelm), Ltd. ASA Series A 1,000 25,412
Yara International ASA 16,900 249,891
----------------
TOTAL COMMON STOCKS
(Cost $3,977,030) 5,943,437
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Norwegian Krone 527
----------------
(Cost $537)
TOTAL -- NORWAY
(Cost $3,977,567) 5,943,964
----------------
GREECE -- (0.4%)
COMMON STOCKS -- (0.4%)
Alpha Credit Bank 22,420 616,241
Athens Water Supply & Sewage Co. S.A. 4,100 28,719
Attica Holdings S.A. 3,130 11,073
Bank of Piraeus S.A. 14,710 262,988
* Commercial Bank of Greece 4,680 143,366
Cosmote Mobile Telecommunications S.A. 21,450 384,242
EFG Eurobank Ergasias S.A. 18,520 570,561
Hellenic Bottling Co. S.A. 16,870 446,290
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Hellenic Duty Free Shops S.A. 2,000 33,002
Hellenic Petroleum S.A. 15,660 150,573
Hellenic Technodomiki S.A. 4,680 24,407
Hellenic Telecommunication Organization Co. S.A. 33,920 604,313
Intracom S.A. 3,310 16,990
* Mailis (M.J.) S.A. 2,800 13,354
National Bank of Greece 20,700 698,621
* Public Power Corp. of Greece 15,920 393,755
Titan Cement Co. 4,180 124,814
Viohalco S.A. 2,800 17,965
----------------
TOTAL -- GREECE
(Cost $3,415,686) 4,541,274
----------------
AUSTRIA -- (0.3%)
COMMON STOCKS -- (0.3%)
Bank Austria Creditanstalt AG 3,568 350,879
* Betandwin.com Interactive Entertainment AG 367 52,509
Boehler-Uddeholm AG 480 61,949
BWT AG 880 27,042
Erste Bank der Oesterreichischen Sparkassen AG 12,663 623,417
EVN AG 1,049 72,586
Flughafen Wien AG 579 37,084
* Immofinanz Immobilien Anlagen AG 8,273 74,749
Mayr-Melnhof Karton AG 472 67,274
Oesterreichische Elektrizitaetswirtschafts AG 810 209,521
OMV AG 1,728 605,200
* RHI AG, Wien 778 21,446
Telekom Austria AG 25,712 479,222
Uniqa Versicherungen AG 1,710 29,883
Voestalpine AG 1,802 121,491
Wienerberger AG 4,749 210,465
----------------
TOTAL COMMON STOCKS
(Cost $1,761,203) 3,044,717
----------------
RIGHTS/WARRANTS -- (0.0%)
* Boehler-Uddeholm AG Rights 06/02/05 480 0
----------------
(Cost $0)
TOTAL -- AUSTRIA
(Cost $1,761,203) 3,044,717
----------------
PORTUGAL -- (0.3%)
COMMON STOCKS -- (0.3%)
Banco Comercial Portugues SA 190,708 493,478
Banco Espirito Santo e Comercial de Lisboa 19,360 303,924
BPI SGPS SA 44,098 166,833
# Brisa Auto Estradas de Portugal SA 27,775 216,574
Cimpor Cimentos de Portugal SA 34,848 186,940
Electricidade de Portugal SA 187,612 476,321
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Jeronimo Martins SGPS SA 7,355 102,943
# Portugal Telecom SA 65,007 666,519
PT Multimedia Servicos de Telecomunicacoes e Multimedia SGPS SA 6,410 136,165
Sonae SGPS SA 108,923 159,621
----------------
TOTAL COMMON STOCKS
(Cost $2,888,823) 2,909,318
----------------
RIGHTS/WARRANTS -- (0.0%)
PT Multimedia Servicos de Telecomunicacoes e Multimedia SGPS SA
* Warrants 05/23/05 6,410 2,524
----------------
(Cost $0)
TOTAL -- PORTUGAL
(Cost $2,888,823) 2,911,842
----------------
EMU -- (0.2%)
INVESTMENT IN CURRENCY -- (0.2%)
* Euro Currency 2,288,023
----------------
(Cost $2,342,556)
NEW ZEALAND -- (0.2%)
COMMON STOCKS -- (0.2%)
Auckland International Airport, Ltd. 95,556 137,678
Carter Holt Harvey, Ltd. 124,305 156,131
Contact Energy, Ltd. 47,343 234,509
Fisher & Paykel Apppliances Holdings, Ltd. 14,080 30,676
Fisher & Paykel Healthcare Corp. 31,395 65,912
Fletcher Building, Ltd. 35,299 154,906
Independent Newspapers, Ltd. (Auckland) 21,417 93,771
Sky City Entertainment Group, Ltd. 29,418 88,722
Sky Network Television, Ltd. 17,139 79,463
Telecom Corporation of New Zealand, Ltd. 160,535 677,265
* Tower, Ltd. 21,977 32,065
Trustpower, Ltd. 14,898 59,181
Warehouse Group, Ltd. 14,200 32,533
----------------
TOTAL COMMON STOCKS
(Cost $1,177,729) 1,842,812
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* New Zealand Dollar 2,858
----------------
(Cost $2,904)
TOTAL -- NEW ZEALAND
(Cost $1,180,633) 1,845,670
----------------
34
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FACE
AMOUNT VALUE+
---------------- ----------------
(000)
TEMPORARY CASH INVESTMENTS -- (14.8%)
^ Repurchase Agreement, Deutsche Bank Securities & Morgan Stanley
2.96%, 06/01/05 (Collateralized by $320,972,265 U.S. TIPS 1.875%,
07/15/13 & U.S. STRIPS, maturities ranging from 05/15/20 to
11/15/21, valued at $164,624,642) to be repurchased at
$161,409,041 (Cost $161,395,770) $ 161,396 161,395,770
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $2,766,000 FNMA Notes 2.95%, 11/14/07, valued
at $2,762,543) to be repurchased at $2,721,218 (Cost $2,721,000) 2,721 2,721,000
----------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $164,116,770) 164,116,770
----------------
TOTAL INVESTMENTS - (100.0%)
(Cost $1,000,237,086) $ 1,109,524,429
----------------
----------
+ Securities have been fair valued. See Note B to Financial Statements.
^ Security purchased with cash proceeds from securities on loan.
# Total or Partial Securities on Loan.
* Non-Income Producing Securities.
See accompanying Notes to Financial Statements.
35
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULES OF INVESTMENTS
MAY 31, 2005
INTERNATIONAL SMALL COMPANY PORTFOLIO
(UNAUDITED)
[Download Table]
VALUE+
------
Investment Companies (99.8%):
Investment in The Continental Small Company Series of
The DFA Investment Trust Company (35.2%)
(Cost $470,941,624) $ 718,491,876
Investment in The Japanese Small Company Series of
The DFA Investment Trust Company (30.8%)
(Cost $519,448,899) 632,216,610
Investment in The United Kingdom Small Company Series of
The DFA Investment Trust Company (19.9%)
(Cost $322,628,356) 405,917,480
Investment in The Pacific Rim Small Company Series of
The DFA Investment Trust Company (13.9%)
(Cost $252,476,994) 283,730,701
---------------
Total Investment Companies (Cost $1,565,495,873) $ 2,040,356,667
===============
[Enlarge/Download Table]
FACE
AMOUNT
------
(000)
Temporary Cash Investments (0.2%):
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $4,232,000 FNMA Notes 2.95%, 11/14/07,
valued at $4,226,710) to be repurchased at $4,164,334
(Cost $4,164,000) $ 4,164 4,164,000
---------------
Total Investments (100%) (Cost $1,569,659,873) $ 2,044,520,667
===============
JAPANESE SMALL COMPANY PORTFOLIO
(UNAUDITED)
[Download Table]
VALUE+
------
Investment in The Japanese Small Company Series of
The DFA Investment Trust Company $ 108,576,807
---------------
Total Investments (100%) (Cost $217,988,284) $ 108,576,807
===============
PACIFIC RIM SMALL COMPANY PORTFOLIO
(UNAUDITED)
[Download Table]
VALUE+
------
Investment in The Pacific Rim Small Company Series of
The DFA Investment Trust Company $ 30,465,191
---------------
Total Investments (100%) (Cost $57,857,101) $ 30,465,191
===============
----------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
18
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULES OF INVESTMENTS
MAY 31, 2005
UNITED KINGDOM SMALL COMPANY PORTFOLIO
(UNAUDITED)
[Download Table]
VALUE+
------
Investment in The United Kingdom Small Company Series of
The DFA Investment Trust Company $ 16,933,245
---------------
Total Investments (100%) (Cost $10,490,024) $ 16,933,245
===============
CONTINENTAL SMALL COMPANY PORTFOLIO
(UNAUDITED)
[Download Table]
VALUE+
------
Investment in The Continental Small Company Series of
The DFA Investment Trust Company $ 45,599,828
---------------
Total Investments (100%) (Cost $29,920,524) $ 45,599,828
===============
----------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
19
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
[Enlarge/Download Table]
SHARES VALUE+
---------------- ----------------
JAPAN -- (24.6%)
COMMON STOCKS -- (24.6%)
* # A&A Material Corp. 168,000 $ 227,118
ABILIT Corp. 38,600 1,512,571
Achilles Corp. 422,000 765,153
Agro-Kanesho Co., Ltd. 18,000 144,526
Aichi Bank, Ltd. 51,400 4,844,602
Aichi Machine Industry Co., Ltd. 776,000 3,444,393
Aida Engineering, Ltd. 209,000 1,126,510
Aigan Co., Ltd. 159,500 1,416,878
# Airport Facilities Co., Ltd. 178,000 994,068
* Akai Electric Co., Ltd. 490,000 4,515
Akita Bank, Ltd. 1,205,000 5,448,950
Aloka Co., Ltd. 226,000 1,585,433
# Alpha Systems, Inc. 16,000 339,116
# Altech Co., Ltd. 45,800 332,283
Ando Corp. 632,000 1,664,202
Anest Iwata Corp. 63,000 206,505
AOI Advertising Promotion, Inc. 11,500 88,089
AOI Electronics Co., Ltd. 10,600 160,458
# Aoki International Co., Ltd. 317,600 3,842,286
* Apic Yamada Corp. 97,000 219,796
Arakawa Chemical Industries, Ltd. 117,700 1,569,786
# Araya Industrial Co., Ltd. 390,000 968,632
# Argo 21 Corp. 57,200 554,224
Aronkasei Co., Ltd. 143,000 696,142
Asahi Kogyosha Co., Ltd. 242,000 905,781
Asahi Organic Chemicals Industry Co., Ltd. 792,000 2,678,463
* # Asahi Tec Corp. 182,000 333,391
Asanuma Corp. 572,000 1,142,090
Ashimori Industry Co., Ltd. 401,000 967,827
# Asia Air Survey Co., Ltd. 79,000 336,748
# Asia Securities Printing Co., Ltd. 43,000 498,016
Asti Corp. 29,000 286,486
Atsugi Co., Ltd. 1,922,000 2,376,324
Autobacs Seven Co., Ltd. 80,400 2,511,465
* Azel Corp., Tokyo 557,000 984,675
Bank of Iwate, Ltd. 50,000 2,847,144
Bank of Okinawa, Ltd. 135,100 4,370,197
Bank of Saga, Ltd. 418,000 1,551,767
# Best Denki Co., Ltd. 1,093,000 4,205,662
Biken Techno Corp. 50,400 425,987
Bull Dog Sauce Co., Ltd. 12,000 148,965
Bunka Shutter Co., Ltd. 129,000 679,657
# Cabin Co., Ltd. 316,000 1,146,432
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* Catena Corp. 210,000 410,022
Central Finance Co., Ltd. 746,000 3,239,502
CFS Corp. 14,000 81,703
Chiyoda Co., Ltd. 83,000 1,353,462
Chodai Co., Ltd. 58,000 267,492
Chofu Seisakusho Co., Ltd. 95,200 1,952,636
Chudenko Corp. 179,460 2,813,347
# Chuetsu Pulp and Paper Co., Ltd. 894,000 2,332,542
* Chugai Mining Co., Ltd. 1,378,400 859,671
Chuo Gyorui Co., Ltd. 295,000 752,496
Chuo Spring Co., Ltd., Nagoya 513,000 2,110,258
Chuo Woollen Mills, Ltd. 30,000 68,912
Cleanup Corp. 140,200 1,352,648
Coca-Cola Central Japan Co., Ltd. 594 4,970,501
Comsys Holdings Corp. 187,000 1,576,252
Corona Corp. 229,800 3,560,818
# Credia Co., Ltd. 25,700 926,031
Cresco, Ltd. 54,000 694,457
CTI Engineering Co., Ltd. 101,900 871,130
Daibiru Corp. 13,000 95,696
Dai-Dan Co., Ltd. 374,000 2,166,315
# Daido Kogyo Co., Ltd. 71,000 190,717
Daido Steel Co., Ltd. 1,150,000 4,670,400
# Daidoh, Ltd. 91,000 957,484
# Daihen Corp. 264,000 688,122
# Daiho Corp. 492,000 1,191,224
Dai-Ichi Jitsugyo Co., Ltd. 70,000 253,783
# Dai-Ichi Kogyo Seiyaku Co., Ltd. 169,000 606,810
Daiko Clearing Services Corp. 106,300 795,601
* Daiko Denshi Tsushin, Ltd. 89,000 213,380
* Daikyo, Inc. 391,000 790,746
Daimaruenawin Co., Ltd 10,600 57,578
Daimei Telecom Engineering Corp. 123,000 1,055,322
Dainichi Co., Ltd. 137,100 1,160,109
Daisyo Corp. 12,100 147,458
* Daito Woolen Spinning & Weaving Co., Ltd., Tokyo 267,000 346,984
Daiwa Industries, Ltd. 174,000 990,210
Daiwa Kosho Lease Co., Ltd. 428,000 2,178,739
Daiwabo Co., Ltd. 956,000 1,471,609
# Daiwabo Information System Co., Ltd. 94,000 1,536,614
Danto Corp. 222,000 852,110
DC Co., Ltd. 226,000 698,459
Denki Kogyo Co., Ltd. 135,000 768,439
Denyo Co., Ltd. 199,000 1,712,958
Descente, Ltd. 331,000 1,261,134
* # Dia Kensetsu Co., Ltd. 117,000 241,497
# Dijet Industrial Co., Ltd. 53,000 145,086
DMW Corp. 12,200 498,378
DyDo Drinco, Inc. 66,200 2,209,878
# Edion Corp. 389,375 4,641,823
Edosawa Co., Ltd. 48,000 218,395
Ehime Bank, Ltd. 152,000 511,221
# Eighteenth Bank, Ltd. 1,631,000 7,683,970
Eikoh, Inc. 27,000 250,149
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Fine Sinter Co., Ltd. 84,000 293,619
* # First Baking Co., Ltd. 430,000 929,093
Foster Electric Co., Ltd. 60,000 527,949
* Fuji Electric Construction Co., Ltd. 40,000 57,004
Fuji Kiko Co., Ltd. 1,000 3,921
Fujicco Co., Ltd. 73,000 1,076,835
Fujikura Rubber, Ltd. 30,000 170,826
# Fujitsu Access, Ltd. 186,100 1,393,061
Fujitsu Business Systems, Ltd. 228,500 3,357,739
Fujitsu Fronttec, Ltd. 125,200 1,282,835
Fukuda Corp. 391,000 2,434,854
Fuso Dentsu Co., Ltd. 56,000 245,743
Fuso Lexel Inc. 139,400 1,198,644
Fuso Pharmaceutical Industries, Ltd. 851,000 2,949,014
Futaba Industrial Co., Ltd. 101,000 1,918,873
# Gakken Co., Ltd. 904,000 2,522,319
* Generas Corp. 121,000 1,115
* GKN D1 Tochigi Holdings Shares 302 926,577
Global-Dining, Inc. 46,100 308,347
# Godo Steel, Ltd. 434,000 1,345,651
* Goldwin, Inc. 377,000 877,416
Gourmet Kineya Co., Ltd. 169,000 1,375,002
* Graphtec Corp. 72,000 108,805
* Gro-BeLS Co., Ltd. 638,000 1,027,522
* GSI Creos Corp. 32,000 74,695
# Gun-Ei Chemical Industry Co., Ltd. 353,000 1,358,038
Gunze, Ltd. 80,000 350,485
Haltec Corp. 167,000 344,730
Happinet Corp. 39,900 680,107
Harima Chemicals, Inc. 183,000 1,091,100
Haruyama Trading Co., Ltd. 106,800 1,549,183
Heiwado Co., Ltd. 92,000 1,402,185
Hibiya Engineering, Ltd. 345,000 3,089,179
Higashi-Nippon Bank, Ltd. 867,000 3,283,543
Himaraya Co., Ltd. 80,500 370,628
# Hisaka Works, Ltd. 88,000 809,954
Hitachi Cable, Ltd. 275,000 1,185,695
# Hitachi Kiden Kogyo, Ltd. 151,000 671,080
Hitachi Koki Co., Ltd. 265,000 2,469,864
Hitachi Kokusai Electric, Inc. 216,000 1,889,151
Hitachi Medical Corp. 353,000 4,645,089
Hitachi Metals Techno, Ltd. 53,500 186,989
Hitachi Plant Engineering & Construction Co., Ltd. 807,000 3,896,004
Hitachi Transport System, Ltd. 355,000 2,956,818
Hochiki Corp. 38,000 158,875
Hokkai Can Co., Ltd., Tokyo 497,000 1,455,472
Hokkaido Coca-Cola Bottling Co., Ltd. 346,000 2,437,911
Hokko Chemical Industry Co., Ltd. 190,000 698,702
# Hokuetsu Bank, Ltd. 2,218,000 4,683,645
Hokuriku Electrical Construction Co., Ltd. 186,000 670,461
Homac Corp. 364,300 3,626,400
Horipro, Inc. 97,500 986,364
* # Howa Machinery, Ltd. 139,000 170,424
Ichikawa Co., Ltd. 211,000 833,752
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# Ichikoh Industries, Ltd. 239,000 592,613
Ichiyoshi Securities Co., Ltd. 82,000 737,755
Ihara Chemical Industry Co., Ltd. 386,000 1,181,883
i-Logistics Corp. 139,000 477,868
Imasen Electric Industrial Co., Ltd. 90,900 688,309
* # Impress Corp. 211 258,911
Inaba Denki Sangyo Co., Ltd. 55,000 1,531,217
# Inabata and Co., Ltd., Osaka 155,000 1,273,347
# Ines Corp. 290,300 2,415,309
ISE Chemicals Corp. 116,000 541,632
Ishikawajima Construction Materials Co., Ltd. 144,000 406,816
# Ishikawajima Transport Machinery Co., Ltd. 209,000 590,781
Ishizuka Glass Co., Ltd. 225,000 596,489
# Itochu Enex Co., Ltd. 541,300 3,623,815
Itoham Foods, Inc. 557,000 2,536,966
# Itoki Crebio Corp. 325,000 1,810,871
Iwaki & Co., Ltd. 200,000 594,942
Iwasaki Electric Co., Ltd. 88,000 338,670
Iwatsu Electric Co., Ltd. 50,000 109,365
Izumiya Co., Ltd. 902,000 5,945,883
* Jac Holdings Co., Ltd. 128,800 194,731
Jaccs Co., Ltd. 311,000 2,447,515
Jamco Corp. 17,000 104,599
Japan Airport Terminal Co., Ltd. 174,000 1,625,007
* Japan Bridge Corp. 31,000 40,957
Japan Digital Laboratory Co., Ltd. 235,000 2,854,078
Japan Foundation Engineering Co., Ltd. 229,800 1,281,709
Japan Information Processing Service Co., Ltd. 29,500 183,042
Japan Maintenance Co., Ltd. 52,300 566,742
Japan Oil Transportation Co., Ltd. 237,000 776,919
# Japan Pulp and Paper Co., Ltd. 1,250,000 4,099,356
* # Japan Radio Co., Ltd. 1,189,000 4,772,748
Japan Steel Tower Co., Ltd. 156,000 768,239
Japan Steel Works, Ltd. 594,000 1,199,679
* # Japan Storage Battery Co., Ltd. 181,000 368,815
# Japan Transcity Corp. 287,000 1,106,054
Japan Vilene Co., Ltd. 120,000 675,399
Japan Wool Textile Co., Ltd. 338,000 2,262,775
Jeans Mate Corp. 5,590 74,309
JMS Co., Ltd. 282,000 971,476
# Joban Kosan Co., Ltd. 105,000 186,588
# J-Oil Mills, Inc. 367,000 1,480,789
# Joshin Denki Co., Ltd. 512,000 2,138,277
JSP Corp. 25,300 254,593
Juel Verite Ohkubo Co., Ltd 50,000 123,441
* # Jujiya Co., Ltd. 265,000 191,777
Juntendo Co., Ltd. 57,000 112,689
K.R.S. Corp. 38,000 548,843
Kagawa Bank, Ltd. 864,000 4,899,134
Kagoshima Bank, Ltd. 559,000 4,253,562
# Kahma Co., Ltd. 252,500 3,603,941
Kameda Seika Co., Ltd. 38,000 348,684
Kamei Corp. 279,000 3,039,103
Kanaden Corp. 255,000 1,490,299
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Kanamoto Co., Ltd. 225,000 1,405,392
Kandenko Co., Ltd. 519,000 3,052,391
Kanto Natural Gas Development Co., Ltd. 399,000 2,537,988
* # Kanto Tsukuba Bank, Ltd. 110,200 766,380
Kasai Kogyo Co., Ltd. 118,000 396,793
Kasei (C.I.) Co., Ltd. 232,000 965,984
Katakura Chikkarin Co., Ltd. 148,000 480,197
Kato Sangyo Co., Ltd. 55,000 806,215
Kato Works Co., Ltd. 437,000 1,144,391
* Katsumura Construction Co., Ltd. 208,000 209,759
Kawada Industries, Inc. 374,000 927,703
* Kawai Musical Instruments Manufacturing Co., Ltd. 104,000 223,277
* Kawasaki Kasei Chemicals, Ltd. 305,000 516,377
* # Kawashima Textile Manufacturers, Ltd. 215,000 332,668
Kawasho Gecoss Corp. 223,200 1,316,598
# Kawasumi Laboratories, Inc. 143,000 989,316
Keihanshin Real Estate Co., Ltd. 182,000 1,100,958
# Keihin Co., Ltd. 101,000 335,054
Keiiyu Co., Ltd. 66,400 778,403
* # Keiyo Co., Ltd. 360,200 1,377,419
Kinki Coca-Cola Bottling Co., Ltd. 321,000 3,390,082
Kioritz Corp. 514,000 1,405,999
Kishu Paper Co., Ltd. 634,000 1,170,514
# Kitagawa Iron Works Co., Ltd. 123,000 254,443
Kita-Nippon Bank, Ltd. 68,900 3,259,211
Kitano Construction Corp. 576,000 1,492,096
Kitazawa Sangyo Co., Ltd. 154,500 482,671
Koa Corp. 481,600 3,807,974
Kodensha Co., Ltd. 134,000 446,387
Koekisha Co., Ltd. 45,300 1,009,339
Koike Sanso Kogyo Co., Ltd. 221,000 578,598
Koito Industries, Ltd. 291,000 1,340,211
# Kojima Co., Ltd. 263,500 3,450,309
* Kokune Corp. 99,000 0
* Kokusai Kogyo Co., Ltd. 284,000 907,940
Komai Tekko, Inc. 261,000 857,328
Komatsu Seiren Co., Ltd. 238,000 1,250,747
Komatsu Wall Industry Co., Ltd. 21,200 377,845
Komori Corp. 153,000 2,317,350
# Konaka Co., Ltd. 195,490 2,454,707
Kondotec, Inc. 35,000 299,623
Konishi Co., Ltd. 149,500 1,374,959
Kosaido Co., Ltd. 159,500 1,261,427
Kosei Securities Co., Ltd. 138,000 266,314
# Kumiai Chemical Industry Co., Ltd., Tokyo 643,000 1,483,554
Kurabo Industries, Ltd. 2,481,000 5,988,033
# Kurimoto, Ltd. 1,166,000 3,275,336
Kuroganeya Co., Ltd. 83,000 329,751
# Kurosaki Harima Corp. 245,000 703,508
Kyodo Printing Co., Ltd. 777,000 3,348,493
# Kyoei Sangyo Co., Ltd. 65,000 220,251
Kyokuto Boeki Kaisha, Ltd. 200,000 607,560
# Kyokuto Kaihatsu Kogyo Co., Ltd. 237,900 2,871,745
# Kyosan Electric Manufacturing Co., Ltd. 470,000 1,617,318
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Kyowa Leather Cloth Co., Ltd. 179,100 1,096,223
Kyudenko Corp. 577,000 3,428,318
* Kyushu-Shinwa Holdings, Inc. 1,750,000 2,648,928
# Laox Co., Ltd. 641,000 1,772,390
* Lonseal Corp. 306,000 441,174
* # Look, Inc. 270,000 826,501
Maeda Corp. 995,000 5,489,090
Maeda Road Construction Co., Ltd. 739,000 5,192,497
Maezawa Industries, Inc. 145,600 817,662
Maezawa Kaisei Industries Co., Ltd. 39,800 711,902
# Maezawa Kyuso Industries Co., Ltd. 62,900 867,784
# Makino Milling Machine Co., Ltd. 76,000 449,947
Marubeni Construction Material Lease Co., Ltd. 30,000 71,357
Marubeni Infotec Corp. 14,000 43,987
Marubun Corp. 211,000 1,837,372
Marudai Food Co., Ltd. 1,869,000 5,108,626
Maruei Department Store Co., Ltd. 295,000 812,030
Maruetsu, Inc. 597,000 2,772,303
Marusan Securities Co., Ltd. 146,000 918,997
Maruwa Co., Ltd. 33,100 650,848
Maruwn Corp. 216,000 816,047
Maruyama Manufacturing Co., Inc. 87,000 715,619
Maruzen Co., Ltd. - General Commercial Kitchen Appliances &
Equipment 20,000 120,337
Maruzen Showa Unyu Co., Ltd. 725,000 2,450,683
Maspro Denkoh Corp. 149,200 1,385,728
# Matsui Construction Co., Ltd. 227,700 1,023,717
* # Matsuo Bridge Co., Ltd. 249,000 472,932
* # Meiji Machine Co., Ltd. 126,000 140,429
Meito Sangyo Co., Ltd. 48,100 819,363
Meiwa Estate Co., Ltd. 293,400 3,059,495
Meiwa Industry Co., Ltd. 126,000 463,814
Mercian Corp. 1,680,000 4,703,932
Mesco, Inc. 92,000 296,911
Michinoku Bank, Ltd. 550,000 2,550,854
Mikuni Coca-Cola Bottling Co., Ltd. 376,600 3,604,948
Mirai Group Co., Ltd. 109,000 225,895
* Misawa Homes Holdings, Inc. 12,000 425,017
Mito Securities Co., Ltd. 219,000 939,607
Mitsuba Corp. 397,000 3,414,185
* # Mitsubishi Cable Industries, Ltd. 1,022,000 1,180,483
# Mitsubishi Paper Mills, Ltd. 2,626,000 3,515,136
Mitsubishi Pencil Co., Ltd. 111,000 1,125,316
# Mitsubishi Shindoh Co., Ltd. 53,000 123,681
Mitsubishi Steel Manufacturing Co., Ltd. 209,000 418,457
Mitsubishi Tokyo Financial Group, Inc. 1 4,711
Mitsuboshi Belting, Ltd. 111,000 647,342
Mitsui Home Co., Ltd. 104,000 506,013
Mitsui Sugar Co., Ltd. 1,184,000 3,286,739
Mitsui-Soko Co., Ltd. 294,000 995,414
Mitsuuroko Co., Ltd. 370,000 2,554,774
# Miyaji Engineering Group 249,175 624,793
Miyazaki Bank, Ltd. 1,447,260 6,007,095
Miyuki Keori Co., Ltd. 273,000 1,064,053
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Mizuno Corp. 977,000 4,399,565
# Mori Seiki Co., Ltd. 210,000 2,171,299
Morita Corp. 130,000 767,161
Morozoff, Ltd., Osaka 328,000 731,707
Mory Industries, Inc. 136,000 458,270
MOS Food Services, Inc. 80,000 1,169,604
# MR Max Corp. 279,100 1,023,137
* Mutoh Industries, Ltd. 292,000 634,872
Mutow Co., Ltd. 187,500 883,469
Myojo Foods Co., Ltd. 67,000 419,942
Nagano Bank, Ltd. 982,000 3,022,804
Nagase & Co., Ltd. 284,000 2,772,725
* Naigai Co., Ltd. 696,000 823,188
Nakabayashi Co., Ltd. 228,000 642,280
* Nakamichi Corp. 96,000 0
Nakamuraya Co., Ltd. 4,000 14,739
* Nakano Corp. 78,500 172,537
Nakayama Steel Works, Ltd. 351,000 1,374,348
Nakayo Telecommunications, Inc. 46,000 240,764
Nanto Bank, Ltd. 225,000 1,154,991
NEC System Integration & Construction, Ltd. 374,700 3,359,904
# Neturen Co., Ltd., Tokyo 320,000 2,267,482
* Nice Corp. 99,000 299,831
# Nichia Steel Works, Ltd. 316,200 1,512,112
Nichiban Co., Ltd. 214,000 836,506
# Nichimo Co., Ltd. 337,000 896,411
* Nichimo Corp. 182,000 237,254
Nichireki Co., Ltd. 215,000 822,466
Nihon Dempa Kogyo Co., Ltd. 35,500 833,401
Nihon Kagaku Sangyo Co., Ltd. 141,000 808,178
Nihon Matai Co., Ltd. 269,000 636,174
Nihon Nohyaku Co., Ltd. 475,000 1,186,586
Nihon Shokuh Kako Co., Ltd. 210,000 694,750
Nihon Tokushu Toryo Co., Ltd. 60,000 399,684
Nikko Co., Ltd., Akashi 314,000 1,168,598
Nikko Travel Co., Ltd. 12,600 66,808
Nippei Toyama Corp. 236,000 642,172
Nippo Corp. 660,000 4,408,630
Nippon Beet Sugar Manufacturing Co., Ltd. 1,833,000 4,065,921
Nippon Broadcasting System, Inc. 4,400 257,180
Nippon Carbon Co., Ltd. 54,000 95,315
# Nippon Chemical Industrial Co., Ltd. 104,000 324,760
Nippon Chemi-Con Corp. 131,000 816,721
# Nippon Chutetsukan KK 155,000 347,762
# Nippon Concrete Industries Co., Ltd. 188,000 609,775
* # Nippon Conveyor Co., Ltd. 129,000 164,991
Nippon Densetsu Kogyo Co., Ltd. 569,000 3,375,468
Nippon Denwa Shisetu Co., Ltd. 452,000 1,637,650
Nippon Felt Co., Ltd. 63,000 311,710
Nippon Fine Chemical Co., Ltd. 204,000 1,158,264
Nippon Formula Feed Manufacturing Co., Ltd. 35,000 59,969
# Nippon Hume Corp. 200,000 599,467
Nippon Kinzoku Co., Ltd. 57,000 119,887
# Nippon Koei Co., Ltd., Tokyo 710,000 2,392,504
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Nippon Konpo Unyu Soko Co., Ltd. 250,000 2,632,595
* # Nippon Koshuha Steel Co., Ltd. 204,000 279,662
Nippon Pigment Co., Ltd. 35,000 156,676
Nippon Piston Ring Co., Ltd. 151,000 345,549
Nippon Road Co., Ltd. 697,000 1,581,286
Nippon Seisen Co., Ltd. 60,000 217,916
# Nippon Sharyo, Ltd. 1,354,000 3,255,552
Nippon Shinpan Co., Ltd. 591,000 2,878,167
Nippon Shinyaku Co., Ltd. 372,000 2,980,519
# Nippon Signal Co., Ltd. 69,000 400,502
# Nippon Soda Co., Ltd. 1,527,000 4,916,207
# Nippon Synthetic Chemical Industry Co., Ltd. 856,000 2,295,274
Nippon Systemware Co., Ltd. 109,300 765,219
Nippon Tungsten Co., Ltd. 193,000 497,193
Nippon Yakin Kogyo Co., Ltd. 15,000 58,358
# Nishimatsu Construction Co., Ltd. 387,000 1,304,893
Nishishiba Electric Co., Ltd. 96,000 178,785
Nissei Plastic Industrial Co., Ltd. 165,000 1,190,632
* Nisseki House Industry Co., Ltd. 180,000 0
# Nisshin Fire & Marine Insurance Co., Ltd. 271,000 1,007,227
# Nisshin Fudosan Co., Ltd. 118,600 1,440,001
Nisshinbo Industries, Inc. 227,000 1,741,614
Nissho Electronics Corp. 113,300 863,596
Nissin Corp. 213,000 648,477
Nissin Electric Co., Ltd. 398,000 1,293,564
Nissin Sugar Manufacturing Co., Ltd. 460,000 989,031
# Nissui Pharmaceutical Co., Ltd. 155,000 973,223
Nittan Co., Ltd. 107,000 370,071
Nittan Valve Co., Ltd. 70,000 549,685
Nittetsu Mining Co., Ltd. 727,000 2,923,219
Nitto Boseki Co., Ltd. 1,999,000 4,051,824
Nitto Electric Works, Ltd. 54,200 616,348
Nitto FC Co., Ltd. 207,000 1,291,584
Nitto Flour Milling Co., Ltd. 273,000 800,566
Nitto Seiko Co., Ltd. 54,000 154,983
* Nittoc Construction Co., Ltd. 106,000 211,815
Noda Corp. 135,500 898,225
Nohmi Bosai, Ltd. 313,000 1,613,981
# Nomura Co., Ltd. 140,000 563,532
# Noritsu Koki Co., Ltd. 162,100 3,356,179
Noritz Corp. 73,000 1,146,873
# Obayashi Road Corp. 346,000 782,065
Odakyu Construction Co., Ltd. 40,000 108,490
* Ohki Corp. 128,000 0
Oie Sangyo Co., Ltd. 12,700 103,420
Oita Bank, Ltd. 898,000 5,810,033
# Okabe Co., Ltd. 174,000 1,150,250
Oki Electric Cable Co., Ltd. 87,000 377,822
* # OKK Corp. 149,000 278,609
# Okuma and Howa Machinery, Ltd. 164,000 539,782
Okumura Corp. 479,000 2,579,858
Okura Industrial Co., Ltd. 164,000 1,032,316
Olympic Corp. 151,700 1,686,593
# O-M, Ltd. 36,000 84,765
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* Omikenshi Co., Ltd. 449,000 461,939
Oriental Construction Co., Ltd. 208,200 953,073
Original Engineering Consultants Co., Ltd. 55,500 249,986
Osaka Securities Finance Co., Ltd. 85,000 323,026
# Osaka Steel Co., Ltd. 432,600 5,334,988
Oyo Corp. 217,100 2,463,440
P.S. Mitsubishi Construction Co., Ltd. 230,800 913,253
# Pacific Industrial Co., Ltd. 277,000 1,319,604
# PanaHome Corp. 364,000 1,900,925
Parco Co., Ltd. 121,000 761,392
Piolax, Inc. 102,300 2,152,403
Pocket Card Co., Ltd. 11,600 239,869
Pokka Corp. 256,000 1,361,381
Posful Corp. 176,800 944,151
Raito Kogyo Co., Ltd. 509,100 1,951,260
Rengo Co., Ltd. 135,000 697,731
* Renown D'urban Holdings, Inc. 371,760 3,288,873
Rheon Automatic Machinery Co., Ltd. 197,000 666,482
Rhythm Watch Co., Ltd. 208,000 426,179
Ricoh Elemex Corp. 183,000 1,338,439
Rikei Corp. 105,500 295,925
Riken Electric Wire Co., Ltd. 25,000 44,027
Riken Technos Corp. 298,000 1,170,207
Riken Vitamin Co., Ltd. 51,000 1,401,936
Roland Corp. 59,200 1,010,431
Royal Co., Ltd. 68,000 811,183
Ryoden Trading Co., Ltd. 376,000 2,452,063
Ryosan Co., Ltd. 209,500 5,110,200
# Ryoyo Electro Corp. 296,100 4,803,039
S Foods, Inc. 56,500 413,308
Sagami Co., Ltd. 280,000 1,069,853
Sakai Chemical Industry Co., Ltd. 852,000 3,687,516
# Sakai Heavy Industries, Ltd. 295,000 749,036
# Sakata Seed Corp. 500,100 6,619,919
* Sakurada Co., Ltd. 36,000 55,205
Sala Corp. 121,000 584,296
San In Godo Bank, Ltd. 347,000 3,313,320
San-Ai Oil Co., Ltd. 771,000 3,589,351
# Sanix, Inc. 151,500 1,556,968
# Sankei Building Co., Ltd. 486,000 3,470,805
Sanki Engineering Co., Ltd. 715,000 5,069,530
Sanko Co., Ltd. 62,000 443,187
Sanko Metal Industrial Co., Ltd., Tokyo 85,000 176,822
Sankyo Seiko Co., Ltd. 346,000 1,476,020
Sanoh Industrial Co., Ltd. 110,000 748,350
Sanritsu Corp. 38,700 389,939
Sanshin Electronics Co., Ltd. 289,000 2,509,225
* Sansui Electric Co., Ltd. 232,000 44,711
# Sanyo Denki Co., Ltd. 189,000 915,658
Sanyo Engineering & Construction, Inc. 167,000 937,298
Sanyo Industries, Ltd., Tokyo 159,000 425,238
# Sanyo Special Steel Co., Ltd. 1,454,000 4,509,421
* Sata Construction Co., Ltd., Gumma 106,000 128,058
Sato Shoji Corp. 83,000 693,561
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Satori Electric Co., Ltd. 31,560 410,182
Seibu Electric Industry Co., Ltd. 158,000 859,779
Seika Corp. 75,000 161,959
* Seikitokyu Kogyo Co., Ltd. 458,000 528,187
Sekisui Jushi Co., Ltd. 412,000 2,650,600
Sekisui Plastics Co., Ltd. 684,000 2,425,787
Sekonic Corp. 100,000 244,374
Senko Co., Ltd. 180,000 623,417
Senshukai Co., Ltd. 149,000 1,270,343
Shaddy Co., Ltd. 136,600 1,362,613
# Shibusawa Warehouse Co., Ltd. 563,000 1,570,425
Shibuya Kogyo Co., Ltd. 60,100 510,049
Shiga Bank, Ltd. 246,000 1,521,673
* Shikibo, Ltd. 941,000 1,188,370
Shikoku Coca-Cola Bottling Co., Ltd. 246,100 3,594,995
Shimizu Bank, Ltd. 93,100 4,638,043
Shin Nippon Air Technologies Co., Ltd. 186,920 1,299,091
Shinagawa Refractories Co., Ltd. 337,000 1,067,336
# Shindengen Electric Manufacturing Co., Ltd. 600,000 1,975,550
Shinki Co., Ltd. 261,200 2,367,993
# Shinko Shoji Co., Ltd. 169,000 1,422,909
Shinmaywa Industries, Ltd. 1,092,000 5,411,097
* Shiraishi Corp. 142,000 253,899
Shizuki Electric Co., Inc. 62,000 166,312
* # Sho-Bond Corp. 242,700 1,884,217
Shobunsha Publications, Inc. 138,800 1,789,166
Shoei Foods Corp. 145,000 1,071,272
Showa Aircraft Industry Co., Ltd. 147,000 1,515,049
# Showa Electric Wire & Cable Co., Ltd., Kawasaki 2,195,000 2,734,781
Showa Highpolymer Co., Ltd. 403,000 1,221,879
Showa Sangyo Co., Ltd. 146,000 414,412
Showa Tansan Co., Ltd. 172,000 608,589
Silver Ox Inc. 147,000 325,309
# Simree Co., Ltd. 68,600 460,184
Sinanen Co., Ltd. 645,000 3,312,091
Sintokogio, Ltd., Nagoya 349,000 2,622,120
Snow Brand Seed Co., Ltd. 127,000 641,141
# SNT Corp. 232,700 1,081,672
Soda Nikka Co., Ltd. 170,000 562,261
* Sofmap Co., Ltd. 83,200 352,137
Software Research Associates, Inc. 15,500 301,579
Sokkisha Co., Ltd. 90,000 276,944
Somar Corp. 146,000 569,424
Sonton Food Industry Co., Ltd. 81,000 862,731
# Sotoh Co., Ltd. 26,000 451,015
# Space Co., Ltd. 31,440 382,593
Starzen Corp. 122,000 374,927
Subaru Enterprise Co., Ltd. 183,000 633,097
# Sugimoto & Co., Ltd. 52,900 702,057
Suminoe Textile Co., Ltd. 563,000 1,188,444
Sumitomo Densetsu Co., Ltd. 260,300 1,036,343
Sumitomo Osaka Cement Co., Ltd. 845,000 2,029,372
Sumitomo Pipe & Tube Co., Ltd. 244,000 1,105,803
Sumitomo Precision Products Co., Ltd., Amagasaki City 280,000 1,084,081
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Sumitomo Seika Chemicals Co., Ltd. 10,000 29,094
# Sumitomo Warehouse Co., Ltd. 846,000 4,327,085
Sun Wave Corp. 375,000 1,164,843
SunTelephone Co., Ltd. 295,000 2,355,261
* Suzutan Co., Ltd. 11,200 64,463
* SXL Corp. 589,000 728,955
Tabai Espec Corp. 22,000 229,859
Tachikawa Corp. 150,200 1,079,011
Tachi-S Co., Ltd. 129,610 1,343,612
Tadano, Ltd. 281,000 1,425,322
Taihei Dengyo Kaisha, Ltd. 369,000 2,085,336
* Taiheiyo Kouhatsu, Inc. 320,000 535,191
Taiho Kogyo Co., Ltd. 216,900 2,315,350
Taikisha, Ltd. 60,000 785,828
Taisei Rotec Corp. 642,000 1,295,277
Takada Kiko Co., Ltd. 165,000 1,051,375
Takagi Securities Co., Ltd. 370,000 1,120,423
Takano Co., Ltd. 13,900 205,390
Takaoka Electric Manufacturing Co., Ltd., Tokyo 117,000 231,219
* Taka-Q Co., Ltd. 96,000 237,068
Takara Standard Co., Ltd. 319,000 2,039,550
Takasago Thermal Engineering Co., Ltd. 739,000 5,209,192
Takigami Steel Construction Co., Ltd. 197,000 1,453,081
# Takiron Co., Ltd. 199,000 872,085
Takuma Co., Ltd. 173,000 1,199,801
Tamura Corp. 693,000 2,652,134
Tanseisha Co., Ltd. 65,000 250,566
# Tasaki Shinju Co., Ltd. 275,000 1,129,070
Tatsuta Electric Wire & Cable Co., Ltd. 546,000 1,169,087
Tayca Corp. 342,000 963,168
* # Teac Corp. 710,000 1,033,105
Techno Ryowa, Ltd. 148,500 996,728
Teikoku Hormone Manufacturing Co., Ltd. 180,000 1,732,465
Teikoku Tsushin Kogyo Co., Ltd. 199,000 834,300
Tekken Corp. 1,363,000 2,492,044
Ten Allied Co., Ltd. 194,800 786,013
Tenma Corp. 261,700 4,967,640
Teraoka Seisakusho Co., Ltd. 94,900 854,032
# Tetra Co., Ltd., Tokyo 116,000 426,775
The Daito Bank, Ltd. 58,000 91,891
The Nisshin Oillio Group, Ltd. 520,000 2,936,506
# Tigers Polymer Corp. 159,000 899,438
* # Titan Kogyo KK 196,000 395,558
Toa Corp. 1,216,000 2,285,112
# Toa Doro Kogyo Co., Ltd. 320,000 1,025,353
* Toabo Corp. 134,000 140,746
Toagosei Co., Ltd. 419,693 1,716,331
TOC Co., Ltd. 117,000 449,251
* TOC Co., Ltd. Issue 05 122,850 471,713
Tochigi Bank, Ltd. 1,080,000 6,646,269
Toda Corp. 976,000 3,988,395
# Toda Kogyo Corp. 307,000 1,178,334
Todentu Corp. 274,000 780,862
Toenec Corp. 863,000 3,642,430
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Tohcello Co., Ltd. 92,000 522,410
Toho Bank, Ltd. 169,000 692,169
# Toho Real Estate Co., Ltd. 451,000 2,029,327
Toho Zinc Co., Ltd. 111,000 267,758
# Tohoku Bank, Ltd. 76,000 200,636
* Tohoku Misawa Homes Co., Ltd. 127,900 385,041
Tohoku Pioneer Corp. 189,300 2,399,209
Tohoku Telecommunications Construction Co., Ltd. 55,000 425,014
* # Tohto Suisan Co., Ltd. 117,000 407,518
# Tokai Carbon Co., Ltd. 301,000 1,271,331
* Tokai Kanko Co., Ltd. 141,000 49,176
Tokai Konetsu Kogyo Co., Ltd. 29,000 113,557
* Tokai Lease Co., Ltd. 181,000 477,831
Tokai Senko KK, Nagoya 118,000 260,074
Tokai Tokyo Securities Co., Ltd. 436,000 1,283,919
# Toko Electric Corp. 131,000 556,763
Toko, Inc. 1,021,000 2,777,529
Tokushima Bank, Ltd. 62,000 520,528
Tokushu Paper Manufacturing Co., Ltd. 366,000 1,727,284
Tokyo Biso Kogyo Corp. 46,000 589,226
Tokyo Denpa Co., Ltd. 3,500 44,473
Tokyo Dome Corp. 838,000 4,558,976
Tokyo Energy & Systems, Inc. 293,000 1,583,283
Tokyo Rope Manufacturing Co., Ltd. 1,205,000 2,173,536
Tokyo Sangyo Co., Ltd. 213,500 751,897
Tokyo Soir Co., Ltd. 135,000 565,851
Tokyo Style Co., Ltd. 30,000 305,190
Tokyo Theatres Co., Inc., Tokyo 11,000 23,307
Tokyu Recreation Corp. 208,000 1,187,340
Tokyu Store Chain Corp. 110,000 518,406
Toli Corp. 494,000 1,436,181
Tomato Bank, Ltd. 406,000 940,046
Tomoe Corp. 113,000 412,122
Tomoku Co., Ltd. 383,000 1,019,089
# Tonami Transportation Co., Ltd. 1,012,000 3,428,927
Topre Corp. 110,000 828,410
Torigoe Co., Ltd. 78,000 536,019
# Torishima Pump Manufacturing Co., Ltd., Osaka 207,000 1,275,447
Toshiba Plant Kensetsu Co., Ltd. 256,000 1,111,744
Tosho Printing Co., Ltd. 451,000 1,627,723
Totenko Co., Ltd. 185,000 473,924
Totetsu Kogyo Co., Ltd. 263,000 1,244,764
* Totoku Electric Co., Ltd., Tokyo 199,000 403,974
Tottori Bank, Ltd. 13,000 41,304
* # Towa Real Estate Development Co., Ltd. 123,500 414,508
Toyo Bussan Co., Ltd. 130,800 1,319,293
* Toyo Communication Equipment Co., Ltd. 77,000 312,277
# Toyo Electric Co., Ltd. 41,000 157,675
Toyo Ink Manufacturing Co., Ltd. 221,000 858,970
* Toyo Kanetsu KK 240,000 344,565
# Toyo Kohan Co., Ltd. 877,000 4,087,647
# Toyo Wharf & Warehouse Co., Ltd. 573,000 1,193,485
Toyoda Machine Works, Ltd. 351,000 3,390,072
Tsubakimoto Kogyo Co., Ltd. 15,000 48,722
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# Tsudakoma Corp. 503,000 1,382,549
Tsukamoto Co., Ltd. 49,000 94,017
# Tsukishima Kikai Co., Ltd. 297,000 2,500,460
Tsurumi Manufacturing Co., Ltd. 207,000 1,772,102
Tsutsumi Jewelry Co., Ltd. 44,800 1,191,396
Tsutsunaka Plastic Industry Co., Ltd. 352,958 1,633,368
Tsuzuki Denki Co., Ltd. 172,000 662,987
# Tsuzuki Densan Co., Ltd. 75,700 431,298
TYK Corp. 310,000 833,033
U.Store Co., Ltd. 131,900 1,238,755
Ube Material Industries, Ltd. 198,000 514,442
Uchida Yoko Co., Ltd. 533,000 2,233,156
Ueki Corp. 234,000 583,873
U-Shin, Ltd. 169,000 1,595,067
Vital-Net, Inc. 44,700 334,954
# Wakachiku Construction Co., Ltd. 459,000 891,883
Wakodo Co., Ltd. 5,200 151,385
* Wondertable, Ltd. 78,000 101,363
Yahagi Construction Co., Ltd. 41,000 162,199
Yamagata Bank, Ltd. 1,106,000 5,254,334
Yamaichi Electronics Co., Ltd. 56,600 690,753
Yamamura Glass Co., Ltd. 1,003,000 2,692,795
Yamanashi Chuo Bank, Ltd. 361,000 2,166,976
Yamatake Corp. 265,400 4,378,939
Yamatane Corp. 132,000 315,122
# Yamato Corp. 58,000 265,945
Yamato International, Inc. 72,000 397,078
Yamato Kogyo Co., Ltd. 96,000 1,100,029
Yamaura Corp. 127,500 324,640
# Yasuda Warehouse Co., Ltd. 163,700 1,131,683
Ye Data, Inc. 34,000 96,431
# Yellow Hat, Ltd., Tokyo 170,500 1,445,415
Yodogawa Steel Works, Ltd. 869,000 4,587,727
Yokogawa Bridge Corp. 361,000 2,180,686
# Yokohama Reito Co., Ltd. 387,000 2,969,575
Yondenko Corp. 283,650 1,564,193
Yonex Co., Ltd. 144,000 1,484,155
Yorozu Corp. 54,200 486,871
Yuasa Funashoku Co., Ltd. 362,000 844,446
Yuken Kogyo Co., Ltd. 55,000 156,127
Yuki Gosei Kogyo Co., Ltd. 156,000 553,024
Yuraku Real Estate Co., Ltd. 351,000 1,515,388
Yurtec Corp. 707,000 3,895,120
Yushiro Chemical Industry Co., Ltd. 15,000 282,754
----------------
TOTAL COMMON STOCKS
(Cost $786,790,019) 923,663,430
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Japanese Yen 688,786
----------------
(Cost $692,386)
TOTAL -- JAPAN
(Cost $787,482,405) 924,352,216
----------------
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UNITED KINGDOM -- (18.9%)
COMMON STOCKS -- (18.3%)
4imprint P.L.C. 194,691 751,443
600 Group P.L.C. 556,625 720,827
Abbeycrest P.L.C. 114,547 98,809
Aberdeen Asset Management P.L.C. 1,811,232 3,864,690
Acal P.L.C. 258,896 1,487,347
AGA Food Service Group P.L.C. 1,940,095 10,752,047
* Airflow Streamlines P.L.C. 19,305 20,521
Airsprung Furniture Group P.L.C. 20,586 8,244
Alexandra P.L.C. 332,427 736,715
Alphameric P.L.C. 1,136,368 1,631,807
Alumasc Group P.L.C. 342,917 984,102
* Amberley Group P.L.C. 71,000 14,193
* Anglo Eastern Plantations P.L.C. 214,043 717,088
Anglo Pacific Group P.L.C. 497,334 862,149
* Anite Group P.L.C. 656,160 752,472
* API Group P.L.C. 335,850 834,026
* Applied Optical Technologies P.L.C. 546,366 296,311
* ARC International P.L.C. 1,738,849 1,147,761
Arena Leisure P.L.C. 645,000 455,219
* Argonaut Games, Ltd. 493,000 27,995
Armour Group P.L.C. 225,000 231,656
Arriva P.L.C. 112,920 1,092,079
* Ashtead Group P.L.C. 2,183,506 3,542,218
Ashtenne Holdings P.L.C. 213,611 1,261,548
* Aston Villa P.L.C. 15,100 101,153
Atrium Underwriting P.L.C. 373,468 1,458,566
Austin Reed Group P.L.C. 178,581 386,635
Autologic Holdings P.L.C. 373,697 1,256,578
Avesco P.L.C. 56,789 103,143
Aviva P.L.C. 153,834 1,721,134
Avon Rubber P.L.C. 273,244 1,022,807
Baggeridge Brick P.L.C. 349,384 1,145,664
* Baltimore Technologies P.L.C. 2,814 88,115
Beale P.L.C. 96,298 120,984
Beattie (James) P.L.C. 438,830 888,905
* Bede P.L.C. 283,000 176,240
Belhaven Brewery Group P.L.C. 33,181 291,710
Bellway P.L.C. 150,000 2,322,172
* Berkeley Technology, Ltd. 222,520 35,225
* Biocompatibles International P.L.C. 406,430 1,424,249
Bizspace P.L.C. 34,782 34,790
Black Arrow Group P.L.C. 35,000 44,454
Blacks Leisure Group P.L.C. 5,018 38,504
Body Shop International P.L.C. 4,923 19,691
Bodycote International P.L.C. 3,929,685 11,847,616
Boot (Henry) P.L.C. 173,704 1,613,299
Bovis Homes Group P.L.C. 1,036,344 12,882,584
Brammer P.L.C. 242,432 676,574
Brewin Dolphin Holdings P.L.C. 272,000 535,508
Bristol Water Group P.L.C. 148,168 1,840,390
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Britannic P.L.C. 1,034,026 9,597,002
British Polythene Industries P.L.C. 255,166 1,724,192
British Vita P.L.C. 2,043,236 13,264,914
Brown (N) Group P.L.C. 3,579,315 8,733,720
BSS Group P.L.C. 83,203 1,720,793
* BTG P.L.C. 239,400 612,156
Caffyns P.L.C. 21,866 308,902
* Cambridge Antibody Technology Group P.L.C. 122,700 1,359,348
* Cape P.L.C. 237,482 567,869
Capital & Regional P.L.C. 1,021,420 14,464,979
* Carbo P.L.C. 34,200 3,418
Carclo P.L.C. 501,604 559,365
Carr's Milling Industries P.L.C. 71,801 719,614
Castings P.L.C. 354,985 1,266,132
Chapelthorpe P.L.C. 1,312,145 381,427
Character Group P.L.C. 50,000 33,288
* Chorion P.L.C. 2,920 16,281
Churchill China P.L.C. 53,181 169,747
* City of London Group P.L.C. 34,000 27,153
Clinton Cards P.L.C. 292,245 458,455
* CLS Holdings P.L.C. 722,839 6,056,120
Colefax Group P.L.C. 96,000 159,328
* # Colt Telecom Group P.L.C. 4,189,044 3,955,864
Communisis P.L.C. 1,410,149 2,711,469
Compel Group P.L.C. 227,198 375,676
Computacenter P.L.C. 148,210 667,295
* Cookson Group P.L.C. 454,578 2,684,537
Coral Products P.L.C. 102,000 46,752
* Corporate Services Group P.L.C. 1,423,456 220,888
Cosalt P.L.C. 124,168 723,268
* Courts P.L.C. 381,726 93,640
Cox Insurance Holdings P.L.C. 1,245,190 2,094,565
* Cradley Group Holdings P.L.C. 38,466 6,291
* Creightons P.L.C. 250,000 16,977
Crest Nicholson P.L.C. 650,741 4,523,013
Creston P.L.C. 40,400 98,780
Cropper (James) P.L.C. 38,601 150,711
Daejan Holdings P.L.C. 131,640 6,666,190
* Dana Petroleum P.L.C. 448,349 4,186,941
Dart Group P.L.C. 229,376 1,295,703
* Dawson International P.L.C. 502,194 88,824
De Vere Group P.L.C. 939,772 9,110,866
Delta P.L.C. 1,282,942 2,768,649
Derwent Valley Holdings P.L.C. 724,091 15,108,948
Development Securities P.L.C. 398,531 3,428,075
* Dimension Data Holdings P.L.C. 2,992,147 1,772,690
Diploma P.L.C. 70,000 863,284
* Dowding & Mills P.L.C. 862,770 282,879
DRS Data & Research Services P.L.C. 51,000 29,632
DTZ Holdings P.L.C. 113,023 447,293
Dyson Group P.L.C. 150,000 968,274
East Surrey Holdings P.L.C. 445,684 4,299,339
* Easyjet P.L.C. 2,217,691 9,083,615
* Easynet Group P.L.C. 71,000 99,415
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Eleco P.L.C. 68,900 41,457
Electronic Data Processing P.L.C. 271,803 379,433
* Elementis P.L.C. 4,230,532 3,621,780
* Emerald Energy P.L.C. 74,090 205,120
* Emess P.L.C. 2,282,539 309,733
Ennstone P.L.C. 1,590,697 1,234,309
* Enodis P.L.C. 718,000 1,434,309
* Entertainment Rights P.L.C. 2,797,560 1,348,392
Erinaceous Group P.L.C. 371,424 1,806,131
* Eurodis Electron P.L.C. 2,531,550 53,779
* European Colour P.L.C. 185,000 54,675
European Motor Holdings P.L.C. 271,675 1,210,783
Fenner P.L.C. 272,000 590,918
* Ferguson International Holdings P.L.C. 88,836 38,742
Ferraris Group P.L.C. 493,846 814,100
* Fibernet Group P.L.C. 604,346 954,638
* FII Group P.L.C. 104,900 12,866
Filtronic P.L.C. 525,936 1,887,282
* Financial Objects P.L.C. 139,000 109,794
First Technology P.L.C. 555,824 2,922,070
Fisher (James) & Sons P.L.C. 255,000 1,434,147
FKI P.L.C. 667,689 1,171,684
* Fortress Holdings P.L.C. 200,000 9,994
Freeport P.L.C. 432,204 3,276,068
Fuller, Smith & Turner P.L.C. Series A 103,102 1,689,203
Fulmar P.L.C. 107,500 196,250
Future Network P.L.C. 669,770 1,052,575
Galliford Try P.L.C. 646,740 675,859
Game Group P.L.C. 2,741,194 4,019,677
* Garton Engineering P.L.C. 6,000 0
* Gaskell P.L.C. 40,000 1,817
GB Group P.L.C. 707,131 512,718
* Georgica P.L.C. 124,719 180,419
Get Group P.L.C. 25,000 70,339
* Gladstone P.L.C. 158,000 64,702
Gleeson (M.J.) Group P.L.C. 439,381 2,577,724
* Global Natural Energy P.L.C. 60,517 152,392
Goodwin P.L.C. 5,000 33,556
Great Portland Estates P.L.C. 1,865,906 12,215,727
Greene King P.L.C. 274,505 6,146,639
* Greenwich Resources P.L.C. 312,000 15,738
Guiness Peat Group P.L.C. 583,167 741,393
* Gyrus Group P.L.C. 851,382 4,053,314
Halstead (James) Group P.L.C. 79,267 775,570
* Hampson Industries P.L.C. 481,250 217,869
* Hampton Trust P.L.C. 200,491 5,009
Hardy Underwriting Group P.L.C. 212,395 824,370
Hardys & Hansons P.L.C. 204,374 2,391,905
* Harvey Nash Group P.L.C. 150,000 145,713
* Hawtin P.L.C. 150,000 32,062
Haynes Publishing Group P.L.C. 25,591 173,165
Helical Bar P.L.C. 135,403 3,269,592
* Heywood Williams Group P.L.C. 885,102 1,497,514
* Highbury House Communications P.L.C. 2,726,216 99,319
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Highway Insurance Holdings P.L.C. 1,815,945 1,387,492
Hill & Smith Holdings P.L.C. 74,890 236,650
Hiscox P.L.C. 4,067,983 12,400,961
Hitachi Capital (UK) P.L.C. 150,432 682,604
* Homestyle Group P.L.C. 431,208 434,103
House of Fraser P.L.C. 1,466,915 2,637,039
Hunting P.L.C. 805,904 3,430,390
Huntsworth P.L.C. 3,710,263 1,336,652
IFX Group P.L.C. 260,579 518,570
Infast Group P.L.C. 890,722 540,368
* Intec Telecom Systems P.L.C. 462,054 507,742
Intelek P.L.C. 555,250 106,837
Intserve P.L.C. 145,032 941,116
Inveresk P.L.C. 756,409 191,671
* Jarvis Porter Group P.L.C. 101,000 9,635
JJB Sports P.L.C. 2,969,536 9,784,671
JKX Oil and Gas P.L.C. 581,306 1,455,212
John David Group P.L.C. 45,672 180,146
Johnson Service Group P.L.C. 37,000 313,141
* Kalamazoo Computer Group P.L.C. 12,200 388
KBC Advanced Technologies P.L.C. 574,472 391,450
* Kewill Systems P.L.C. 60,000 70,791
Kiln P.L.C. 1,342,106 2,184,052
Kingston Communications P.L.C. 2,984,965 3,669,083
* Knowledge Support Systems Group P.L.C. 136,000 0
Laing (John) P.L.C. 166,912 746,255
Laird Group P.L.C. 216,800 1,223,126
Lambert Howarth Group P.L.C. 184,286 866,667
* Lamont Holdings P.L.C. 100,000 1,136
* Laura Ashley Holdings P.L.C. 517,800 96,691
Lavendon Group P.L.C. 351,347 1,244,662
* Leeds Group P.L.C. 241,639 59,118
Linton Park P.L.C. 40,500 319,654
Litho Supplies P.L.C. 113,000 121,225
London Merchant Securities P.L.C. 3,788,348 15,782,064
Lookers P.L.C. 238,524 1,344,629
Low & Bonar P.L.C. 866,657 1,755,960
Luminar P.L.C. 1,373,024 12,886,625
Lupus Capital P.L.C. 1,125,000 265,754
* Macfarlane Group P.L.C. 1,126,324 689,721
Macro 4 P.L.C. 44,820 224,462
Mallett P.L.C. 104,602 487,485
Management Consulting Group P.L.C. 1,273,000 1,047,783
Manganese Bronze Holdings P.L.C. 105,064 396,566
* Marylebone Warwick Balfour Group P.L.C. 790,303 1,467,753
Mayborn Group P.L.C. 50,000 395,787
* Mayflower Corp. P.L.C. 1,809,000 0
McAlpine (Alfred) P.L.C. 1,223,952 7,934,293
McCarthy & Stone P.L.C. 417,189 4,320,679
McKay Securities P.L.C. 320,136 1,517,115
* Medical Solutions P.L.C. 67,777 8,143
* # Medisys P.L.C. 800,000 41,855
Mersey Docks & Harbour Co. P.L.C. 575,409 10,080,748
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Metalrax Group P.L.C. 200,000 284,098
MFI Furniture Group P.L.C. 3,768,806 7,323,982
Mice Group P.L.C. 638,401 320,357
* Microgen P.L.C. 1,024,548 1,485,477
* Mid-States P.L.C. 50,000 13,855
Minerva P.L.C. 1,381,242 6,488,335
* Molins P.L.C. 101,360 257,541
* Montpellier Group P.L.C. 14,000 7,015
* Morgan Crucible Company P.L.C. 1,758,048 5,769,463
Morse P.L.C. 101,664 139,421
Moss Brothers Group P.L.C. 450,000 858,556
Mothercare P.L.C. 536,443 2,747,163
Mowlem (John) & Co. P.L.C. 1,607,662 5,255,138
MS International P.L.C. 119,401 172,669
MSB International P.L.C. 173,435 225,309
MTL Instruments Group P.L.C. 114,675 644,442
Mucklow (A & J) Group P.L.C. 426,765 2,779,259
* Music Choice Europe P.L.C. 191,633 31,798
* MyTravel Group P.L.C. Series A 3,336,000 301,701
* Ncipher P.L.C. 218,027 870,382
Nestor Healthcare Group P.L.C. 953,519 2,401,629
* Nettec P.L.C. 220,000 4,006
* New Avesco P.L.C. 56,789 102,053
Nichols P.L.C. 48,000 166,107
* Noble Investments (UK) P.L.C. 300 306
Nord Anglia Education P.L.C. 277,578 579,946
Northamber P.L.C. 139,057 230,130
* NSB Retail P.L.C. 1,895,000 878,083
* NXT P.L.C. 48,000 59,551
Owen (H.R.) P.L.C. 117,528 391,349
Oxford Instruments P.L.C. 269,240 1,168,313
* Pace Micro Technology P.L.C. 616,176 680,360
Panther Securities P.L.C. 45,000 255,093
Parity Group P.L.C. 420,000 58,863
* Partridge Fine Arts P.L.C. 33,000 38,377
Pendragon P.L.C. 237,500 1,273,996
Penna Consulting P.L.C. 121,500 273,800
* Pharmagene P.L.C. 387,527 168,053
PHS Group P.L.C. 5,566,716 9,847,933
* Pilkingtons Tiles Group P.L.C. 170,000 9,355
Pillar Property P.L.C. 884,918 13,434,210
* Pittards P.L.C. 39,000 14,528
Portmeirion Group P.L.C. 56,335 164,776
Porvair P.L.C. 360,390 660,253
* Premier Oil P.L.C. 396,934 4,241,442
* Pressac P.L.C. 429,000 5,846
Primary Health Properties P.L.C. 189,960 1,018,802
* Probus Estates P.L.C. 416,666 1,136
* Provalis P.L.C. 2,427,440 213,436
Psion P.L.C. 3,101,744 3,454,846
* QA P.L.C. 80,000 4,594
* Quays Group P.L.C. 71,000 7,741
Quintain Estates & Development P.L.C. 460,887 4,534,390
Radamec Group P.L.C. 71,000 37,276
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Ransom (William) & Son P.L.C. 115,000 94,811
Raven Mount P.L.C. 125,337 142,591
Redrow P.L.C. 784,859 5,687,439
* Redstone P.L.C. 3,694,516 429,522
Reg Vardy P.L.C. 514,614 4,597,316
* Regent Inns P.L.C. 1,046,500 1,464,221
Renold P.L.C. 434,470 359,924
Ricardo P.L.C. 228,464 1,186,466
Rowe Evans Investments P.L.C. 95,900 342,214
Roxboro Group P.L.C. 60,000 433,275
RPC Group P.L.C. 355,740 1,639,454
Rugby Estates P.L.C. 78,667 446,778
Rutland Trust P.L.C. 182,210 149,039
S & U P.L.C. 7,000 67,126
* Safeland P.L.C. 100,000 131,925
# Sanctuary Group P.L.C. 3,426,401 2,504,127
Savills P.L.C. 90,000 1,113,989
Scapa Group P.L.C. 1,417,496 643,002
* SDL P.L.C. 166,480 365,247
* Secure Ventures (No. 1) P.L.C. 250,000 0
* Secure Ventures (No. 2) P.L.C. 250,000 11,357
* Secure Ventures (No. 3) P.L.C. 250,000 0
* Secure Ventures (No. 4) P.L.C. 250,000 10,221
* Secure Ventures (No. 5) P.L.C. 250,000 10,221
* Secure Ventures (No. 6) P.L.C. 250,000 0
* Secure Ventures (No. 7) P.L.C. 250,000 0
Senior P.L.C. 3,077,419 2,251,928
* SFI Holdings, Ltd. Series A 79,000 44,501
Shaftesbury P.L.C. 1,617,406 10,798,394
* Sherwood Group P.L.C. 424,000 82,929
* Shiloh P.L.C. 25,000 45,847
* Simon Group P.L.C. 1,145,752 934,679
Sinclair (William) Holdings P.L.C. 81,940 77,636
Singer & Friedlander Group P.L.C. 2,125,740 12,048,475
Sirdar P.L.C. 280,105 209,157
Smart (J.) & Co. (Contractors) P.L.C. 18,263 204,091
Smith (DS) Holdings P.L.C. 4,791,223 13,421,322
Smith (James) Estates P.L.C. 104,132 872,875
Smith (WH) P.L.C. 259,297 1,685,933
* Soco International P.L.C. 5,000 44,483
Somerfield P.L.C. 1,959,426 7,025,033
Speedy Hire P.L.C. 15,000 186,335
* Spirent P.L.C. 1,619,709 1,363,344
Spring Group P.L.C. 200,000 319,310
St. Ives P.L.C. 664,857 4,357,337
St. Modwen Properties P.L.C. 214,000 1,620,083
Stanley (Charles) Group P.L.C. 150,000 699,013
Stanley Leisure P.L.C. 1,480,991 14,669,400
* Sterling Publishing Group P.L.C. 300,000 40,751
Stylo P.L.C. 5,293 6,308
Swallowfield P.L.C. 60,849 82,097
* Tadpole Technology P.L.C. 296,000 27,619
* Tandem Group P.L.C. 472,000 0
Taylor Woodrow P.L.C. 76,520 440,494
19
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* Telecity P.L.C. 963,152 293,306
Telemetrix P.L.C. 143,000 225,756
* Telspec P.L.C. 205,000 84,891
* Terence Chapman Group P.L.C. 62,500 360
Tex Holdings P.L.C. 11,000 21,050
The Cardiff Property P.L.C. 4,000 69,668
* The Innovation Group P.L.C. 889,000 537,408
* The Television Corp. P.L.C. 202,247 273,405
Thorpe (F.W.) P.L.C. 19,149 108,334
* Thus Group P.L.C. 10,626,615 2,704,709
* Tinsley (Eliza) Group P.L.C. 145,967 41,111
Titon Holdings P.L.C. 36,110 76,815
Tops Estates P.L.C. 275,064 2,546,450
* Torotrak P.L.C. 167,000 202,190
* Tottenham Hotspur P.L.C. 146,000 82,010
Town Centre Securities (New) P.L.C. 433,274 2,545,394
Trace Computers P.L.C. 33,014 48,847
* Trafficmaster P.L.C. 300,000 233,268
Transport Development Group P.L.C. 949,461 3,734,324
Treatt P.L.C. 38,663 169,546
Trifast P.L.C. 6,000 7,878
TT Electronics P.L.C. 1,733,532 5,196,685
U.K. Coal P.L.C. 924,530 2,101,652
UCM Group P.L.C. 186,000 249,185
Ultraframe P.L.C. 24,169 20,596
Umeco P.L.C. 96,782 833,920
Uniq P.L.C. 1,167,668 3,187,479
Unite Group P.L.C. 1,750,403 9,044,663
* Universal Salvage P.L.C. 209,473 292,656
Urbium P.L.C. 1,752 20,090
Vega Group P.L.C. 14,000 49,094
* Vernalis P.L.C. 132,072 159,908
Victoria P.L.C. 52,231 196,383
Vislink P.L.C. 816,969 432,833
* Volex Group P.L.C. 195,418 269,194
VP P.L.C. 315,426 1,115,874
* VTR P.L.C. 13,000 15,713
Wagon P.L.C. 525,653 1,592,162
Warner Estate Holdings P.L.C. 395,720 4,133,686
* Waterdorm P.L.C. 70,000 0
Waterman P.L.C. 311,969 559,039
Wembley P.L.C. 277,102 3,900,542
Westbury P.L.C. 2,167,949 18,289,960
Wetherspoon (J.D.) P.L.C. 1,008,263 5,083,202
Whitehead Mann Group P.L.C. 22,000 14,430
Willliam Jacks P.L.C. 10,000 12,933
Wilmington Group P.L.C. 422,000 1,107,388
* Wilshaw P.L.C. 28,000 5,249
Wolverhampton & Dudley Breweries P.L.C. 822,007 16,554,053
Woolworths Group P.L.C. 11,067,763 7,038,896
Workspace Group P.L.C. 2,578,142 11,108,679
WSP Group P.L.C. 366,454 1,748,984
Wyevale Garden Centres P.L.C. 625,653 5,739,163
Wyndeham Press Group P.L.C. 496,261 1,164,057
XANSA P.L.C. 759,231 1,268,753
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* Xenova Group P.L.C. 2,170,484 171,669
* Yorkshire Group P.L.C. 117,096 12,235
Young & Co's Brewery P.L.C. Class A 8,950 294,882
Zotefoams P.L.C. 196,330 315,639
----------------
TOTAL COMMON STOCKS
(Cost $559,375,137) 687,987,982
----------------
INVESTMENT IN CURRENCY -- (0.6%)
* British Pound Sterling 21,806,665
----------------
(Cost $21,939,137)
RIGHTS/WARRANTS -- (0.0%)
* Letter of Entitlements - Audemars Piguet 81,758 0
* SFI Holdings, Ltd. Litigation Certificate 79,000 0
* Xenova Group P.L.C. Warrants 12/31/08 125,718 5,425
----------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 5,425
----------------
TOTAL -- UNITED KINGDOM
(Cost $581,314,274) 709,800,072
----------------
AUSTRALIA -- (5.9%)
COMMON STOCKS -- (5.8%)
A.P. Eagers, Ltd. 55,765 315,842
ABB Grain, Ltd. 88,291 393,156
* Adacel Technologies, Ltd. 123,126 25,992
Adelaide Brighton, Ltd. 6,972,846 9,099,564
# Adsteam Marine, Ltd. 4,008,715 6,020,656
Adtrans Group, Ltd. 103,591 288,416
Alesco Corp., Ltd. 84,679 447,550
* Altium, Ltd. 279,609 49,408
Amalgamated Holdings, Ltd. 1,304,047 3,989,838
Amcom Telecommunications, Ltd. 3,522,859 451,300
* Amrad Corp., Ltd. 638,574 213,824
Ansell, Ltd. 387,110 2,683,665
APN News & Media, Ltd. 237,269 912,459
Ariadne Australia, Ltd. 369,295 94,939
* Atlas Pacific, Ltd. 113,450 16,750
AuIron Energy, Ltd. 90,569 181,269
Ausdrill, Ltd. 646,782 348,186
Auspine, Ltd. 459,469 1,197,337
* Austal, Ltd. 654,587 875,773
* Austar United Communications, Ltd. 1,264,310 839,726
# Austereo Group, Ltd. 4,432,236 5,847,172
# Australand Property Group 2,037,335 2,168,408
Australian Agricultural Co., Ltd. 2,230,297 2,539,299
Australian Pharmaceutical Industries, Ltd. 849,117 1,858,953
* Australian Wealth Management, Ltd. 2,070,654 1,501,403
* Australian Worldwide Exploration, Ltd. 116,990 154,093
Auto Group, Ltd. 64,351 32,808
# AV Jennings Homes, Ltd. 1,694,206 1,772,002
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Avatar Industries, Ltd. 381,722 253,466
* Avexa, Ltd. 319,287 32,556
AWB, Ltd. 336,282 1,128,464
BayCorp Advantage, Ltd. 2,783,199 6,144,927
Beach Petroleum, Ltd. 2,628,696 1,077,727
Bendigo Bank, Ltd. 402,020 2,939,006
* Betcorp, Ltd. 1,248,119 174,812
* Biota Holdings, Ltd. 136,051 46,183
Boral, Ltd. 24,484 109,536
Brickworks, Ltd. 166,947 1,271,760
Bridgestone Australia, Ltd. 297,702 669,265
* Broadcast Services Australia, Ltd. 1,794,843 447,924
* Burns, Philp & Co., Ltd. 748,991 499,079
Caltex Australia, Ltd. 402,300 4,575,318
Candle Australia, Ltd. 346,943 470,094
* # Capral Aluminium, Ltd. 1,009,563 1,240,573
Cellnet Telecommunications Group, Ltd. 503,851 490,450
Centennial Coal, Ltd. 312,364 1,185,778
Central Equity, Ltd. 738,528 1,171,698
* Charters Towers Gold Mines, Ltd. 1,176,939 101,387
Chiquita Brands South Pacific, Ltd. 692,871 418,529
Circadian Technologies, Ltd. 144,361 149,157
* Climax Mining, Ltd. 1,958,909 124,312
* # Clough, Ltd. 4,325,357 1,614,161
CMI, Ltd. 213,362 233,650
Coates Hire, Ltd. 279,187 878,809
Coca-Cola Amatil, Ltd. 209,949 1,242,936
Collection House, Ltd. 1,096,204 1,165,439
Commander Communications, Ltd. 500,892 788,804
* Coplex Resources NL 351,512 23,895
Coventry Group, Ltd. 344,342 1,599,552
* CPI, Ltd. 121,577 54,156
Crane Group, Ltd. 956,016 5,756,330
# Croesus Mining NL 4,480,025 1,096,450
# DCA Group, Ltd. 611,663 1,604,404
# Devine, Ltd. 1,230,461 552,790
* Dominion Mining, Ltd. 132,707 30,990
Downer Group, Ltd. 2,729,898 10,875,533
* E.R.G., Ltd. 4,268,550 866,263
* Emporer Mines, Ltd. 189,033 42,857
Energy Developments, Ltd. 1,116,303 3,178,693
Energy Resources of Australia, Ltd. Series A 200,366 1,677,758
* Energy World Corp., Ltd. 393,461 12,127
Evans & Tate, Ltd. 674,120 355,986
FKP, Ltd. 409,028 854,887
* Forest Enterprises Australia, Ltd. 2,684,773 1,072,172
Futuris Corp., Ltd. 6,968,200 8,880,296
Gale Pacific, Ltd. 205,726 229,480
Gazal Corp., Ltd. 91,673 210,551
Globe International, Ltd. 4,019,093 1,287,747
Gowing Bros., Ltd. 157,139 303,739
* Gowing Retail, Ltd. 5,323 701
* Gradipore, Ltd. 43,768 20,667
Graincorp, Ltd. Series A 95,367 819,831
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Grand Hotel Group 2,458,090 1,440,299
GRD NL 219,912 253,288
Great Southern Plantations, Ltd. 380,106 1,016,783
Green's Foods, Ltd. 200,755 78,618
GUD Holdings, Ltd. 96,340 493,784
GWA International, Ltd. 1,730,686 3,750,921
* Gympie Gold, Ltd. 266,614 0
* Haoma Mining NL 440,554 20,353
Healthscope, Ltd. 145,521 489,306
Henry Walker Eltin Group, Ltd. 1,153,772 431,364
HGL, Ltd. 428,980 586,046
Home Building Society, Ltd. 41,310 224,544
Housewares International, Ltd. 1,168,019 1,413,273
* Hudson Investment Group, Ltd. 297,500 4,494
* Hutchison Telecommunications (Australia), Ltd. 6,074,332 1,165,895
Iluka Resources, Ltd. 2,571,650 11,917,195
* Imdex, Ltd. 202,532 32,803
Incitec Pivot, Ltd. 85,075 1,011,778
* Intercard Wireless, Ltd. 62,379 2,120
* Intermoco, Ltd. 7,514,093 198,288
* International All Sports, Ltd. 37,973 7,744
Investor Group, Ltd. 43,040 133,796
# ION, Ltd. 554,140 0
IOOF Holdings, Ltd. 456,851 2,312,724
# IWL, Ltd. 44,166 85,063
JDV, Ltd. 40,681 27,629
# Jones (David), Ltd. 805,650 1,093,462
K&S Corp., Ltd. 85,482 197,529
Keycorp, Ltd. 181,913 227,763
Kingsgate Consolidated NL 49,187 100,864
Kresta Holdings, Ltd. 513,341 112,386
Lemarne Corp., Ltd. 38,606 71,076
Lighting Corp., Ltd. 778,093 393,411
* Lynas Gold NL 1,387,873 177,310
# MacArthur Coal, Ltd. 634,488 3,299,609
MacMahon Holdings, Ltd. 3,168,633 969,446
* Macquarie Corporate Telecommunications, Ltd. 303,300 26,262
Magellan Petroleum Australia, Ltd. 29,537 26,592
* Magnesium International, Ltd. 60,027 64,318
MaxiTRANS Industries, Ltd. 182,891 106,412
# McGuigan Simeon Wines, Ltd. 1,342,329 3,950,145
McPherson's, Ltd. 445,905 1,093,384
# Miller's Retail, Ltd. 1,778,400 1,059,219
Minara Resources, Ltd. 1,976,573 2,793,456
MYOB, Ltd. 144,171 118,918
Namoi Cotton Cooperative, Ltd. 597,224 234,790
National Can Industries, Ltd. 18,850 18,734
* Novera Energy, Ltd. 183,131 203,647
Nufarm, Ltd. 220,300 1,465,722
Onesteel, Ltd. 1,102,497 2,087,922
* Orbital Engine Corp., Ltd. 165,000 12,174
# Pacific Group, Ltd. 1,126,117 1,286,690
Pacific Hydro, Ltd. 377,438 1,443,638
* Payce Consolidated, Ltd. 179,001 366,390
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* People Telecom, Ltd. 1,067,550 108,653
* Perilya Mines NL 702,065 386,474
* Petsec Energy, Ltd. 153,726 128,112
* Plantcorp NL 14,403 0
Plaspak Group, Ltd. 748,115 514,653
* PMP, Ltd. 666,000 625,205
Port Bouvard, Ltd. 802,363 813,032
* PowerTel, Ltd. Series B 441,788 396,830
* Pracom, Ltd. 122,300 1,755
Prime Television, Ltd. 1,043,256 2,440,549
* Primelife Corp., Ltd. 272,182 181,024
Queensland Cotton Holdings, Ltd. 229,310 726,474
* Reinsurance Australia Corp., Ltd. 3,822,592 1,355,193
Repcol, Ltd. 1,303,888 471,752
* Resolute Mining, Ltd. 920,903 624,330
Ridley Corp., Ltd. 2,666,829 2,710,623
* # Roc Oil Co., Ltd. 1,499,446 1,857,901
Senetas Corp., Ltd. 206,798 41,894
Servcorp, Ltd. 28,622 56,071
Seven Network, Ltd. 705,659 3,794,099
Sigma Co., Ltd. 152,700 944,506
* Silex System, Ltd. 197,100 145,308
# Smorgon Steel Group, Ltd. 6,552,886 6,142,255
SMS Management & Technology, Ltd. 643,462 814,811
* # Sons of Gwalia, Ltd. 942,771 0
# Southern Cross Broadcasting (Australia), Ltd. 516,607 4,750,541
* Southern Pacific Petroleum NL 424,400 0
Spotless Group, Ltd. 5,718 21,118
* St. Barbara Mines, Ltd. 329,338 23,526
Straits Resources, Ltd. 577,289 732,508
* Strathfield Group, Ltd. 165,666 10,273
* Tap Oil, Ltd. 1,478,213 2,221,463
Tectonic Resources NL 268,861 31,396
* Television & Media Services, Ltd. 240,000 7,075
Ten Network Holdings, Ltd. 656,900 1,851,006
Thakral Holdings Group 7,655,402 4,507,496
Ticor, Ltd. 1,042,688 1,334,039
# Timbercorp, Ltd. 1,392,566 2,011,375
* Titan Resources NL 1,711,400 76,264
Triako Resources, Ltd. 58,482 36,283
Trust Company of Australia, Ltd. 22,214 156,322
United Group, Ltd. 92,878 591,715
UXC, Ltd. 1,161,023 682,836
Villa World, Ltd. 980,647 1,064,792
* Village Roadshow, Ltd. 1,517,302 2,920,073
Vision Systems, Ltd. 1,620,442 1,260,923
Volante Group, Ltd. 1,160,608 1,032,748
# Wattyl, Ltd. 1,079,491 1,728,833
* Webster, Ltd. 370,669 212,840
Wide Bay Capricorn Building Society, Ltd. 29,461 155,821
* Xanadu Wines, Ltd. 150,525 3,396
* Yates, Ltd. 144,138 4,027
----------------
TOTAL COMMON STOCKS
(Cost $192,389,309) 219,183,013
----------------
24
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PREFERRED STOCKS -- (0.1%)
* Village Roadshow, Ltd. 2% Class A 1,176,086 1,783,108
----------------
(Cost $1,448,798)
INVESTMENT IN CURRENCY -- (0.0%)
* Australian Dollar 1,155,858
----------------
(Cost $1,134,972)
RIGHTS/WARRANTS -- (0.0%)
* Beach Petroleum, Ltd. Warrants 06/30/06 646,673 0
* Forest Enterprises Australia, Ltd. Rights 06/07/05 447,462 6,759
----------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 6,759
----------------
TOTAL -- AUSTRALIA
(Cost $194,973,079) 222,128,738
----------------
FRANCE -- (3.9%)
COMMON STOCKS -- (3.9%)
* Actielec Technologies 28,700 190,272
# Affine 10,255 1,047,379
* Alain Manoukian SA 9,565 349,997
Ares (Groupe) SA 53,672 374,991
Aubay SA 79,377 421,858
Bacou-Dalloz 51,545 4,251,518
Bains de Mer et du Cercle des Etrangers a Monaco 7,064 4,259,401
* Bigben Interactive 13,755 65,355
Bonduelle SA 5,749 460,221
# Bongrain SA 80,383 4,952,798
* Bricorama SA 1,768 111,786
* Bull SA 1,328,747 1,077,599
# Burelle SA 11,325 1,469,305
Carbone Lorraine 21,774 991,690
* CBo Territoria 5,724 20,427
CEGID SA 4,108 146,769
CFF Recycling SA 77,680 2,175,265
* CGBI 7,000 3,773
# Cie Financiere Pour La Location D'Immeubles Industriels &
Commerciaux SA 48,652 3,013,755
* # Club Mediterranee SA 156,941 7,528,322
Compagnie Internationale Andre Trigano Ciat SA 2,100 64,618
* Conflandey SA 1,939 23,128
Consortium International de Diffusion et de Representation Sante 1,300 11,741
* # CS Communication et Systemes 13,500 465,591
Delachaux SA 10,172 1,503,530
* Desquenne et Giral SA 4,761 56,318
# Deveaux SA 5,587 546,219
Didot-Bottin 1,204 100,748
* Dynaction SA 14,803 302,232
Elior 58,756 691,662
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Etam Developpement SA 34,200 989,766
* Euraltech SA 55,173 101,563
* # Euro Disney SCA 5,082,010 625,679
# Evialis SA 12,253 457,274
* Explosifs et de Produits Chimiques 312 129,443
Faurecia SA 14,175 1,063,135
# Fimalac SA 108,252 4,957,351
Fleury Michon SA 1,727 79,669
Francois Freres (Tonnellerie) SA 7,663 227,755
* Gantois Series A 465 8,583
Gascogne SA 10,632 932,772
# Gaumont 10,491 721,610
* # Generale de Geophysique SA 95,324 7,851,622
* Geodis SA 4,900 519,560
Gevelot 4,329 292,066
# GFI Informatique SA 420,538 2,504,147
Groupe Bourbon SA 5,724 351,176
* Groupe Flo SA 52,020 454,903
* Groupe Focal SA 5,149 50,477
Groupe Guillin SA 480 36,654
* # Guerbet SA 4,911 531,863
# Guyenne et Gascogne SA 13,079 1,588,549
* HBS Technologie SA 405 6,889
IDSUD 2,129 76,891
* Immobiliere et Hoteliere SA 27,700 68,173
* IMS International Metal Service SA 89,627 1,282,727
# Ingenico SA 20,000 283,343
Lafuma SA 812 70,752
Laurent-Perrier 18,448 832,317
# Lisi SA 42,753 2,617,117
* LVL Medical Groupe SA 27,900 190,435
* Maire (Henri) 1,252 14,636
* Matussiere et Forest SA 15,720 56,099
* Metaleurop SA 62,320 41,412
MGI Coutier SA 10,254 429,276
Montupet SA 71,034 1,585,426
# Nexans 266,537 9,828,919
* Oeneo 61,605 94,761
* Otor SA 58,348 327,410
* Paris Orleans et Cie SA 1,336 333,312
* # Penauille Polyservices SA 98,852 933,384
Pinguely-Haulotte SA 214,316 2,482,428
# Plastic Omnium SA 106,822 2,811,557
Plastivaloire SA 14,399 408,885
Prosodie SA 27,401 626,545
# Provimi SA 154,602 3,303,313
PSB Industries SA 14,760 607,507
* Radiall SA 11,998 816,071
Remy Cointreau SA 196,701 8,300,639
Robertet SA 1,300 188,917
Rougier SA 2,715 228,725
* S.T. Dupont SA 29,035 136,666
# SA Fromageries Bel la Vache Qui Rit 3,875 661,699
Sabeton 18,460 281,745
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Saint-Etienne 600 21,379
Sasa Industries SA 11,794 428,566
* Saveurs de France-Brossard 5,500 337,170
* # Scor SA 3,171,250 6,498,141
* SDR de Bretagne SA 12,398 467,962
Sechilienne-Sidec 1,000 394,727
Securidev SA 16,908 270,137
Setforge 600 29,166
# Signaux Girod SA 6,528 578,811
# SILIC (Societe Immobiliere de Location pour L'industrie et le
Commerce) 104,887 9,663,538
Skis Rossignol SA 7,216 168,133
Smoby SA 4,911 511,261
Societe Industrielle D'Aviations Latecoere SA 20,648 913,621
Sucriere de Pithiviers-le-Vieil 2,392 1,574,136
* Sylis SA 46,034 292,791
Taittinger SA 1,086 415,749
* Teamlog SA 38,219 129,651
Tivoly SA 1,904 54,753
* # Ubi Soft Entertainment SA 179,515 8,047,289
# Vallourec (Usines a Tubes de Lorraine Escaut et Vallourec Reunies) 43,572 10,089,373
* Valtech, La Defense 251,100 265,650
# Vilmorin et Cie SA 16,610 2,995,406
VM Materiaux SA 3,272 441,517
Vranken Monopole 23,761 1,054,095
* Xilam Animation 12,911 39,157
* XRT 170,393 255,242
----------------
TOTAL COMMON STOCKS
(Cost $101,999,057) 147,019,282
----------------
RIGHTS/WARRANTS -- (0.0%)
* Air France Warrants 11/06/07 133,819 60,929
* Groupe Ares SA Warrants 10/03/05 29,000 4,996
* Groupe Focal SA Warrants 02/21/10 1,716 0
* Oeneo Warrants 08/26/06 28,305 1,045
* Penauille Polyservices SA Rights 06/09 98,852 353,564
* Prosodie SA Warrants 10/28/06 19,600 7,236
* Ubi Soft Entertainment SA Warrants 05/14/06 66,800 49,321
* Valtech, La Defense Warrants 07/29/05 251,100 3,090
----------------
TOTAL RIGHTS/WARRANTS
(Cost $433,466) 480,181
----------------
TOTAL -- FRANCE
(Cost $102,432,523) 147,499,463
----------------
GERMANY -- (3.8%)
COMMON STOCKS -- (3.8%)
* 3U Telecom AG 284,600 385,030
A.S. Creation Tapeton AG 9,300 298,739
* AAP Implantate AG 55,800 115,752
Aareal Bank AG 287,387 8,342,078
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* Acg AG Fuer Chipkarten und Informationssysteme 86,130 60,446
* AC-Service AG 22,900 149,485
* Adva AG Optical Networking 50,600 268,313
* Allbecon AG 6,700 15,238
Amadeus Fire AG 28,677 213,163
* Analytik Jena AG 37,411 197,704
Andreae-Noris Zahn AG, Anzag 31,491 1,355,278
* Articon Integralis AG 47,711 176,424
Atoss Software AG 24,082 266,189
* Augusta Technologie AG 5,609 38,655
* Baader Wertpapier Handelsbank AG 146,387 808,168
Bechtle AG 73,700 1,788,509
* Berliner Elektro Holding AG 81,920 836,884
* Beta Systems Software AG 20,850 351,557
Bien-Haus AG 16,900 173,082
# Bilfinger & Berger Bau AG 328,961 15,616,285
* Biolitec AG 43,100 147,198
Biotest AG 43,409 976,334
* BMP AG 12,980 30,448
* # Borussia Dortmund GMBH & Co. KGAA 92,117 274,679
Bremer Energiekonto AG 54,600 104,250
* Bremer Woll-Kaemmerei AG 25,291 48,239
* Broadnet Mediascape Communications AG 146,327 468,377
* Brueder Mannesmann AG 20,600 59,223
* Caatoosee AG 69,600 56,299
* CBB Holding AG 200,846 46,959
* Ce Consumer Electrnic AG 46,800 49,934
Cewe Color Holding AG 38,395 1,405,693
* Cinemaxx AG 3,100 7,788
* CNV Vermoegensverwaltungs AG 2,500 33,306
Comdirect Bank AG 497,939 3,864,972
Computerlinks AG 10,900 208,374
* Concord Effekten AG 4,400 5,896
* Condomi AG 19,900 22,555
* COR AG Insurance Technologies 12,700 32,203
* Cybio AG 11,100 37,905
* D. Logistics AG 237,908 502,907
# DAB Bank AG 61,779 440,219
* DAS Werk AG 10,600 522
Data Modul AG 14,229 241,500
* DEAG Deutsche Entertainment AG 77,453 208,399
Deutsche Euroshop AG 168,045 8,832,953
* # Deutz AG 130,266 598,901
* Dierig Holding AG 8,750 122,748
* # Drillisch AG 36,400 167,657
* # Duerr Beteiligungs AG 55,310 946,976
DVB Bank AG 11,529 1,562,542
Dyckerhoff AG DM50 29,750 1,376,501
* Eckert and Ziegler Strahlen - und Medizintechnik AG 27,600 366,246
* # Em.TV AG 36,712 230,630
* # Epcos AG 176,709 2,262,197
* Escada AG 64,090 1,485,550
* Evotec Biosystems AG 337,854 1,161,727
FJA AG 16,618 58,990
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* Freenet.De AG 58,386 1,475,234
Fuchs Petrolub AG Oel & Chemie 19,440 1,851,356
* Gesco AG 11,877 358,495
* # GFT Technologies AG 92,927 210,158
* Girindus AG 49,312 368,050
* Gontard & Metallbank AG 46,008 2,099
* GPC Biotech AG 72,300 826,690
* Herlitz AG 26,031 147,614
* Hoeft & Wessel AG 52,955 333,044
Hucke AG 39,149 148,994
* Hutschenreuther AG 8,591 116,289
Hyrican Informations Systeme AG 4,901 59,983
* I-D Media AG 11,265 24,237
* IM International Media AG 149,500 149,509
* # Innovation in Traffic Systems AG 13,500 71,395
Interseroh AG 3,600 103,049
* # Intershop Deutschland AG 7,195 7,619
* Intertainment AG 14,082 33,418
* IPC Archtec AG 15,800 36,843
* Isra Vision Systems AG 10,086 219,929
* IVG Immobilien AG 178,878 3,249,640
# Iwka AG 308,474 7,314,562
* Jenoptik AG 532,436 5,728,601
Kampa-Haus AG 35,200 247,058
* Kaufring AG 5,600 1,792
* # Kloeckner-Werke AG 177,348 2,831,852
* Kontron AG 215,645 1,718,289
Krones AG 4,700 504,853
KSB AG 4,650 743,230
KWS Kleinwanzlebener Saatzucht AG 691 590,758
* Leica Camera AG 6,791 21,262
* Leifheit AG 23,042 626,029
Leoni AG 16,300 1,257,780
* Loesch Umweltschutz AG 16,000 19,028
* Loewe AG 48,538 557,810
LPKF Laser & Electronics AG 7,700 41,925
* M & S Elektronik AG 19,600 991
* Mania Technologie AG 12,100 19,320
* Mannheimer Aktiengesellschaft Holding AG 27,000 104,973
* Marbert AG 6,800 7,120
* Maxdata AG 113,610 527,834
* Mediantis AG 10,950 28,068
* Mediclin AG 44,923 105,327
* Medigene AG 43,900 570,014
# Medion AG 264,041 4,083,257
* Mosaic Software AG 21,800 29,212
* Mwb Wertpapierhandelshaus AG 15,700 53,897
* MWG Biotech AG 127,600 62,474
Nemetschek AG 20,847 344,983
* Nexus AG 78,083 312,088
Norddeutsche Affinerie AG 326,714 6,608,545
Norddeutsche Steingutfabrik AG 10,182 86,547
* Nordwest Handel AG 11,313 59,519
* November AG 57,639 351,720
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* Pandatel AG 28,300 39,642
* Parsytec AG 82,026 282,938
PC-Ware Information Technologies AG 38,794 485,276
* Personal & Informatik AG 2,150 25,521
* Pfleiderer AG 185,313 2,918,409
* Pironet NDH AG 91,215 489,923
* Pixelpark AG 15,050 31,190
* # Plambeck Neue Energien AG 63,465 55,262
* # Plasmaselect AG 175,241 990,744
* # Primacom AG 62,300 264,790
* Produkte und Syteme der Informationstechnologie AG 114,771 546,530
* # Qs Communications AG 260,800 1,181,459
* Ravensberg Bau-Beteiligungen AG 29,500 5,082
* Realtech AG 20,200 167,568
REpower Systems AG 26,461 488,606
Rheinmetall Berlin AG 85,490 4,337,053
* Rinol AG 15,000 25,716
* Roesch Medizintechnik AG 7,300 2,206
* Rohwedder AG 31,792 299,402
* RTV Family Entertainment AG 2,480 2,529
* Ruecker AG 25,400 189,100
* Saltus Technology AG 5,900 31,981
Salzgitter AG 450,405 10,538,196
Sartorius AG 20,000 419,001
Schlott Sebaldus AG 29,189 972,386
Sektkellerei Schloss Wachenheim AG 2,900 37,751
* Senator Entertainment AG 10,730 18,742
* Ser Systeme AG 9,400 1,215
* SHS Informationssysteme AG 17,611 80,099
* # Singulus Technologies AG 100,217 1,210,614
* SinnerSchrader AG 14,498 26,911
Sixt AG 80,700 1,594,923
Stahl (R.) AG 15,700 268,352
* Steag Hamtech AG 78,350 158,146
* Stoehr & Co. AG 44,310 190,841
* Strabag AG 17,199 1,052,380
* # Suess Microtec AG 138,239 780,033
Syskoplan AG 16,400 123,652
* Syzygy AG 52,485 315,888
* SZ Testsysteme AG 7,000 788
Technotrans AG 25,800 487,912
* Telegate AG 19,300 340,741
* Textilgruppe Hof AG 22,530 187,247
* TFG Venture Capital AG & Co. KGAA 165,040 482,768
* Tiptel AG 13,600 26,957
* TTL Information Technology AG 22,800 82,244
* TV Loonland AG 22,500 52,001
* Umweltbank AG 25,780 311,166
* Value Management & Research AG 50,180 214,976
* Varetis AG 18,084 155,512
* VBH (Vereinigter Baubeschlag-Handel) AG 6,000 21,879
* Vereinigte Deutsche Nickel-Werke AG 43,909 22,153
Vossloh AG 39,200 1,862,012
* W.O.M. World of Medicine AG 68,273 261,866
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* # WCM Beteiligungs AG 2,324,892 1,257,951
Westag and Getalit AG, Rheda-Wiedenbrueck 10,653 125,848
* Windhoff AG 11,400 2,161
Wuerttembergische Lebensversicherung AG 13,822 296,502
* Wuerttembergische Metallwarenfabrik AG 64,620 1,129,424
----------------
TOTAL COMMON STOCKS
(Cost $120,125,215) 143,231,304
----------------
RIGHTS/WARRANTS -- (0.0%)
* Em.TV AG Options 04/18/06 36,712 44,273
----------------
(Cost $99,180)
TOTAL -- GERMANY
(Cost $120,224,395) 143,275,577
----------------
FINLAND -- (3.2%)
COMMON STOCKS -- (3.2%)
Amanda Capital Oyj 190,425 479,342
Amer-Yhtymae Oyj Series A 241,800 4,109,495
# Aspocomp Group P.L.C. 123,800 610,096
Bank of Aland, Ltd. 5,700 152,208
* Benefon Oy 19,000 6,238
Componenta Oyj 76,000 635,370
Efore Oy 37,600 86,571
# Elcoteq Network Oyj 197,318 3,871,433
Elisa Communications Corp. 6,247 93,563
* Eq Online Oyj 131,840 334,452
* Evox Rifa Group Oyj 120,395 14,790
Finnair Oyj 607,600 5,178,903
Finnlines Oyj 496,200 8,476,052
Fiskars Oy AB Series A 195,860 2,262,598
HK Ruokatalo Oy Series A 235,900 2,745,649
Honkarakenne Oy Series B 15,900 101,053
# Huhtamaki Van Leer Oyj 1,251,450 19,001,730
Ilkka-Yhtyma Oyj 14,620 159,627
* Incap Oyj 8,500 17,790
Julius Tallberg-Kiinteistoet Oy, Helsinki Series B 11,601 150,894
Kemira GrowHow Oyj 26,158 202,654
Kemira Oyj 555,500 7,394,561
Laennen Tehtaat Oy 45,750 674,765
Lemminkainen Oy 84,200 1,973,405
Leo Longlife Oy 25,350 140,395
Metsaemarkka Oyj Series B 6,968 57,069
M-Real Oyj Series B 710,630 3,835,934
* Okmetic Oyj 130,875 367,911
Okobank Class A 705,880 11,260,906
Olvi Oyj Series A 39,650 810,859
Raisio Group P.L.C. Series V 1,088,900 2,921,203
Rautaruukki Oyj Series K 1,259,410 17,741,814
Raute Oy Series A 25,100 307,656
* Satama Interactive Oyj 42,000 45,515
Sponda Oyj 694,535 6,558,606
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SSH Communications Oyj 308,500 463,666
* Stonesoft Corp. 282,398 232,845
Tamfelt Oyj 2,100 21,671
* Tecnomen Holding Oyj 699,797 1,191,711
Tulikivi Oyj 29,500 225,904
Turkistuottajat Oy 9,900 94,319
Viking Line AB 18,100 546,780
Wartsila Corp. Oyj Series B 324,450 9,760,893
Yit-Yhtymae Oyj 106,200 3,430,033
----------------
TOTAL -- FINLAND
(Cost $88,659,933) 118,748,929
----------------
SWITZERLAND -- (3.1%)
COMMON STOCKS -- (3.1%)
AFG Arbonia-Forster Holding AG 10,550 2,877,132
Allreal Holding AG 36,534 3,268,966
Ascom Holding AG 160,800 2,478,257
# Baloise-Holding 184,845 9,651,900
Bank Coop AG 11,560 532,787
Banque Cantonale de Geneve 8,520 1,256,345
Banque Cantonale du Jura 800 228,914
Banque Cantonale Vaudoise 16,398 3,621,627
Batigroup Holding AG 52,192 702,599
* Berna Biotech 293,607 2,148,957
Bobst Group SA 115,400 4,550,642
Bossard Holding AG 5,450 322,725
* Bucher Industries AG 66,310 4,222,552
Caisse d'Epargne Cantonale Vaudoise, Lausanne 1,900 1,692,079
Calida Holding AG 400 124,259
* Card Guard AG 94,100 324,521
Carlo Gavazzi Holding AG 3,114 274,375
Charles Voegele Holding AG 94,443 5,878,686
Cie Financiere Tradition 3,121 279,620
* Converium Holding AG 77,200 604,960
Conzzeta Holdings AG 3,340 3,741,307
* COS Computer Systems AG 15,258 462,216
* Crealogix Holding AG 1,221 68,113
* Crossair AG, Basel 71,730 511,313
Daetwyler Holding AG, Atldorf 940 2,263,771
Escor Casino & Entertainment AG 4,915 116,090
Feintol International Holding AG 4,290 911,296
* Fischer (Georg) AG, Schaffhausen 22,887 6,784,690
* Flughafen Zuerich AG 49,800 6,978,556
* Forbo Holding AG, Eglisau 9,291 1,771,072
Galenica Holding, Ltd. AG, Bern 20,000 3,293,148
* Getaz Romang Holding SA 3,271 1,154,020
* Golay-Buchel Holding SA, Lausanne 125 119,548
Gurit-Heberlein AG 2,860 1,993,697
Helvetia Patria Holding 33,371 4,997,145
Industrieholding Cham AG, Cham 7,000 1,682,381
* Isotis SA 648,598 910,010
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* Kardex AG, Zuerich 9,725 327,392
* Leica Geosystems Holdings AG 3,500 1,044,268
* Lem Holdings AG, Lyss 1,880 662,759
* Metraux Services SA 1,817 229,889
* Moevenpick-Holding, Zuerich 2,360 549,733
* Nextrom Holding SA 250 2,750
* PSP Swiss Property AG 53,700 2,369,128
Schweizerhall Holding AG 19,175 1,460,159
# Schweizerische National Versicherungs Gesellschaft 6,788 3,421,214
Siegfried Holding AG 10,103 1,206,454
* Sihl 750 1,802
* Sika Finanz AG, Baar 870 546,493
St. Galler Kantonalbank 6,370 1,621,905
Sulzer AG, Winterthur 16,040 6,670,668
* Swiss Prime Site AG 147,100 7,040,836
* Swisslog Holding AG 245,500 220,067
* Tornos Holding SA 16,000 108,851
* UMS Schweizerische Metallwerke Holding AG, Bern 3,200 33,824
# Unaxis Holding AG 11,890 1,668,344
* Valiant Holding AG 6,655 586,265
Vaudoise Assurances Holding, Lausanne 499 921,903
* Von Roll Holding AG, Gerlafingen 30,090 53,066
* Wmh Walter Meier Holding AG, Zuerich 10,533 622,818
Zehnder Holding AG 50 60,595
Zschokke Holding SA, Geneve 2,398 1,283,277
* Zueblin Holding AG 261,740 2,223,126
----------------
TOTAL COMMON STOCKS
(Cost $82,464,680) 117,737,862
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Swiss Francs 249,493
----------------
(Cost $252,847)
TOTAL -- SWITZERLAND
(Cost $82,717,527) 117,987,355
----------------
SWEDEN -- (3.1%)
COMMON STOCKS -- (3.1%)
* Active Biotech AB 15,000 76,625
Angpannefoereningen AB Series B 9,850 184,199
* Anoto Group AB 50,533 78,255
* # Artimplant AB Series B 255,000 156,625
B & N Bylock & Nordsjoefrakt AB Series B 227,500 774,123
Beijer AB Series B 48,300 819,151
Beijer Alma AB Series B 27,300 467,551
Bergman & Beving AB Series B 110,100 1,237,347
Biacore International AB 20,350 470,864
Bilia AB Series A 201,750 3,419,043
# Billerud AB 527,100 6,369,488
* BioGaia AB Series B 28,000 49,756
* Boliden AB 1,788,550 7,317,116
* Bong Ljungdahl AB 64,100 419,681
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* Boras Waefveri AB Series B 15,900 54,894
Capona AB 85,542 1,069,273
# Carbo AB 241,100 5,875,327
# Castellum AB 314,000 12,106,758
Cloetta AB Series B 18,600 549,943
Concordia Maritime AB Series B 172,100 754,611
* Consilium AB Series B 8,000 33,003
* Doro AB Series A 1,200 5,697
* Duroc AB Series B 1,400 3,554
* Elekta AB 13,100 494,621
* Enea Data AB Series B 339,400 216,993
Expanda AB 78,200 403,265
Fabege AB 308,770 6,230,281
* Framtidsfabriken AB 884,520 78,152
* Frontec AB Series B 478,900 567,323
Geveko AB Series B 28,900 680,193
* Glocalnet AB 160,000 86,281
Gunnebo AB 24,200 311,863
# Haldex AB 248,000 4,389,074
Hiq International AB 45,000 189,760
* # IBS AB Series B 711,950 1,883,894
* Industrial & Financial Systems AB Series B 293,000 273,138
* Industrifoervaltnings AB Skandigen 46,200 154,288
* Intellecta AB Series B 7,100 30,540
* Intentia International AB Series B 556,000 1,085,988
Invik and Co. AB Series B 44,000 359,115
Karlshamns AB 11,900 200,387
* Klippans Finpappersbruk AB 30,800 33,438
Klovern AB 395,078 1,327,657
# Kungsleden AB 556,000 13,798,305
Lagercrantz Group AB Series B 166,135 416,616
Lennart Wallenstam Byggnads AB Class B 398,000 5,280,372
Ljungberg Gruppen AB Series B 4,200 119,965
* Lundin Mining Corp. 1,421 12,028
* Mandator AB 157,500 29,711
* Medivir Series B 23,250 156,112
* Micronic Laser Systems AB 26,000 269,000
Naerkes Elektriska AB Series B 57,350 954,256
NCC AB Series A 45,400 663,777
NCC AB Series B 423,800 6,218,530
Nolato AB Series B 82,300 564,327
# Observer AB 864,800 3,492,261
OEM International AB Series B 10,100 169,414
* Ortivus AB 80,300 306,039
Partnertech AB 36,982 397,370
# PEAB AB Series B 386,200 4,024,710
* # Pergo AB 469,716 1,662,014
Poolia AB Series B 147,200 680,601
* Pricer AB Series B 441,000 56,516
* Proact It Group AB 69,000 162,603
Profilgruppen AB 25,600 224,159
# Protect Data AB 15,600 246,880
* PyroSequencing AB 165,782 229,440
* Rorvik Timber AB 30,600 49,158
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# Rottneros Bruk AB 1,191,000 1,114,930
Salus Ansvar AB Series B 36,600 141,564
* Scribona AB Series A 15,700 30,647
* # Scribona AB Series B 339,100 663,309
* Semcon AB 30,500 184,790
* Studsvik AB 37,200 679,655
Sweco AB Series B 47,050 814,166
* Teleca AB Series B 413,400 2,131,219
* Teligent AB 74,500 234,570
# Trelleborg AB Series B 322,500 5,010,223
Uniflex AB Series B 3,400 20,461
* Viking Telecom AB 29,100 9,611
* Wedins Skor & Accessoarer AB 4,049 24,601
Westergyllen AB Series B 29,600 209,120
* Wihlborgs Fastigheter AB 61,754 1,452,362
Xponcard Group AB 18,200 416,429
----------------
TOTAL COMMON STOCKS
(Cost $80,797,077) 114,610,956
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Swedish Krona 99,215
----------------
(Cost $100,814)
TOTAL -- SWEDEN
(Cost $80,897,891) 114,710,171
----------------
HONG KONG -- (3.0%)
COMMON STOCKS -- (3.0%)
Aeon Credit Service (Asia) Co., Ltd. 416,000 260,561
ALCO Holdings, Ltd. 710,000 275,438
Allan International Holdings, Ltd. 1,086,000 160,381
Allied Group, Ltd. 1,183,000 1,638,511
Allied Properties, Ltd. 1,673,500 1,024,642
* Applied International Holdings, Ltd. 1,150,000 36,511
* APT Satellite Holdings, Ltd. 956,000 163,359
Artel Solutions Group Holdings, Ltd. 3,320,000 64,029
* A-S China Plumbing Products, Ltd. 125,000 28,758
Asia Aluminum Holdings, Ltd. 14,821,000 1,634,445
* Asia Commercial Holdings, Ltd. 35,960 2,540
Asia Financial Holdings, Ltd. 3,538,106 930,520
Asia Standard International Group, Ltd. 16,910,666 736,515
* Asia Tele-Net & Technology Corp., Ltd. 200,000 9,133
* Asia Zirconium, Ltd. 628,000 65,331
Associated International Hotels, Ltd. 1,280,000 1,215,200
Automated Systems Holdings, Ltd. 116,000 27,440
* B.A.L. Holdings, Ltd. 4,079 147
* Beauforte Investors Corp., Ltd. 440,000 16,927
* Capital Estate, Ltd. 720,000 2,665
* Capital Publications, Ltd. 1,015,200 29,489
* Catic International Holdings, Ltd. 11,556,000 133,692
CCT Telecom Holdings, Ltd. 1,452,800 233,066
* Celestial Asia Securities Holdings, Ltd. 251,900 12,293
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* Century City International Holdings, Ltd. 2,863,067 39,466
# Champion Technology Holdings, Ltd. 4,380,046 668,169
Cheuk Nang (Holdings), Ltd. 48,057 26,209
Chevalier International Holdings, Ltd. 1,006,491 1,188,231
* Chi Cheung Investment Co., Ltd. 431,085 123,460
* China Aerospace International Holdings, Ltd. 8,958,600 481,954
* China Bio-medical Group, Ltd. 258,750 4,989
China Everbright International, Ltd. 3,610,000 207,908
* China Everbright Technology, Ltd. 6,582,000 261,622
# China Everbright, Ltd. 2,508,000 978,460
China Hong-Kong Photo Products Holdings, Ltd. 3,627,000 340,906
* China Investments Holdings, Ltd. 1,186,800 25,626
* China Motion Telecom International, Ltd. 522,000 14,089
China Motor Bus Co., Ltd. 57,000 460,963
China Online (Bermuda), Ltd. 1,062,600 171,682
China Overseas Land & Investment, Ltd. 8,660,000 1,619,374
* China Rare Earth Holdings, Ltd. 3,562,000 448,423
# China Resources Land, Ltd. 5,278,000 845,248
* China Rich Holdings, Ltd. 2,554,000 10,176
* China Sci-Tech Holdings, Ltd. 541,600 14,507
* China Star Entertainment, Ltd. 607,380 24,874
* China Strategic Holdings, Ltd. 2,225,250 231,943
# China Travel International Investment, Ltd. 8,228,000 2,265,350
# Chinese Estates Holdings, Ltd. 3,772,000 3,211,549
Chinney Investments, Ltd. 1,824,000 172,825
Chow Sang Sang Holdings International, Ltd. 1,534,800 1,073,020
Chuangs China Investments, Ltd. 3,198,000 159,682
Chuang's Consortium International, Ltd. 5,535,760 459,586
Chun Wo Holdings, Ltd. 2,688,000 323,475
City e Solutions, Ltd. 472,964 50,528
City Telecom (H.K.), Ltd. 1,932,000 197,666
* CNT Group, Ltd. 1,428,000 25,706
* Coastal Greenland, Ltd. 5,760,000 220,944
# COFCO International, Ltd. 1,032,000 473,254
* Computer & Technologies Holdings, Ltd. 336,000 35,266
Continental Holdings, Ltd. 506,000 53,363
Continental Mariner Investment Co., Ltd. 3,260,000 543,525
COSCO International Holdings, Ltd. 2,236,000 334,729
Coslight Technology International Group, Ltd. 1,470,000 334,016
Cosmos Machinery Enterprises, Ltd. 455,400 22,167
* Crocodile Garments, Ltd. 1,720,000 129,842
* Dan Form Holdings Co., Ltd. 3,233,000 168,603
* DigitalHongKong.com 12 0
* Dynamic Global Holdings, Ltd. 990,000 5,344
Dynamic Holdings, Ltd. 624,000 95,740
Easyknit International Holdings, Ltd. 6,022,400 163,972
* E-Kong Group, Ltd. 250,200 4,374
* Emperor Entertainment Hotel, Ltd. 111,600 18,951
Emperor International Holdings, Ltd. 4,051,000 546,034
* eSun Holdings, Ltd. 2,384,400 643,451
Ezcom Holdings, Ltd. 67,280 431
Fairwood Holdings, Ltd. 67,500 36,389
# Far East Consortium International, Ltd. 2,499,501 1,016,604
* Far East Hotels & Entertainment, Ltd. 1,428,000 96,907
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* Far East Technology International, Ltd. 81,600 14,467
First Sign International Holdings, Ltd. 2,440,000 81,241
Four Seas Frozen Food Holdings, Ltd. 814,000 119,164
* GeoMaxima Energy Holdings, Ltd. 2,950,000 22,736
* Global China Group Holdings, Ltd. 3,050,000 148,843
Global Green Tech Group, Ltd. 2,676,000 288,321
Gold Peak Industries (Holdings), Ltd. 2,021,000 407,293
Golden Resources Development International, Ltd. 3,855,000 170,918
* Gold-Face Holdings, Ltd. 1,158,000 0
Goldlion Holdings, Ltd. 3,328,000 426,298
* Golik Holdings, Ltd. 1,216,000 35,634
* Gorient Holdings, Ltd. 2,697 13
Grande Holdings, Ltd. 450,000 424,644
# Great Eagle Holdings, Ltd. 1,661,537 3,782,641
* Great Wall Cybertech, Ltd. 11,392,830 14,643
Group Sense (International), Ltd. 1,462,000 110,438
Guangzhou Investment Co., Ltd. 28,430,000 2,184,201
* G-Vision International (Holdings), Ltd. 298,000 3,830
Hang Fung Gold Technology, Ltd. 2,536,000 383,569
Hang Ten Group Holdings, Ltd. 2,670 380
Hanny Holdings, Ltd. 350,450 133,620
* Hansom Eastern Holdings, Ltd. 2,082,600 8,012
Harbour Centre Development, Ltd. 1,362,000 2,262,571
* Hen Fung Holdings, Ltd. 392,000 7,526
Henderson China Holdings, Ltd. 1,719,000 1,697,814
High Fashion International, Ltd. 962,000 205,168
# HKR International, Ltd. 5,172,000 3,407,435
Hon Kwok Land Investment Co., Ltd 1,438,000 373,102
Hong Kong and Shanghai Hotels, Ltd. 3,912,798 4,087,186
Hong Kong Catering Management, Ltd. 384,000 75,805
* Hong Kong Construction Holdings, Ltd. 4,107,000 279,180
Hong Kong Ferry (Holdings) Co., Ltd. 1,577,000 1,891,646
* Hong Kong Parkview Group, Ltd. 646,000 30,721
Hongkong Chinese, Ltd. 4,850,000 684,213
* Hop Hing Holdings, Ltd. 604,000 22,513
Hopewell Holdings, Ltd. 1,493,800 3,689,229
Hopson Development Holdings, Ltd. 1,758,000 952,944
* Hsin Chong Construction Group, Ltd. 1,920,000 103,446
Hua Han Bio-Pharmaceutical Holdings, Ltd. 1,212,000 143,143
Huafeng Textile International Group, Ltd. 2,122,000 110,315
* Hualing Holdings, Ltd. 4,990,000 115,524
Hysan Development Co., Ltd. 325,519 654,865
* I-China Holdings, Ltd. 388,360 9,491
* Imagi International Holdings, Ltd. 324,000 40,817
* Interchina Holdings Co., Ltd. 2,475,000 31,413
International Bank of Asia, Ltd. 2,621,000 1,049,941
* Inworld Group, Ltd. 40,798 78
ITC Corp., Ltd. 3,868,000 257,621
* Jessica Publications, Ltd. 1,015,200 41,754
* Jinchang Pharmaceutical Holdings, Ltd. 507,600 0
# Jinhui Holdings Co., Ltd. 978,000 273,400
# K Wah International Holdings, Ltd. 4,766,244 1,574,957
* Kader Holdings Co., Ltd. 857,000 20,945
Karce International Holdings Co., Ltd. 1,608,000 78,281
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Keck Seng Investments (Hong Kong), Ltd. 570,000 146,268
Kee-Shing Holdings Co., Ltd. 256,000 33,219
Kin Yat Holdings, Ltd. 1,172,000 108,239
King Fook Holdings, Ltd. 338,000 23,410
Kowloon Development Co., Ltd. 1,157,000 1,269,601
KTP Holdings, Ltd. 758,000 48,571
Kwoon Chung Bus Holdings, Ltd. 1,432,000 310,606
* Lai Fung Holdings, Ltd. 4,773,437 124,600
* Lai Sun Development Co., Ltd. 3,358,800 51,649
* Lai Sun Garment (International), Ltd. 4,286,000 260,776
Lam Soon (Hong Kong), Ltd. 203,250 73,277
Lerado Group (Holding) Co., Ltd. 356,000 45,247
* LifeTec Group, Ltd. 7,460,000 78,448
Lippo, Ltd. 1,362,000 323,517
Liu Chong Hing Bank, Ltd. 1,997,000 2,919,393
Liu Chong Hing Investment, Ltd. 1,360,000 1,273,145
Luks Industrial Group, Ltd. 1,386,560 199,014
* MACRO-LINK International Holdings, Ltd. 843,750 25,523
Magnificent Estates, Ltd. 19,628,600 344,451
* Media Partners International Holdings, Inc. 2,794,000 205,834
Melbourne Enterprises, Ltd. 41,000 167,049
Midas International Holdings, Ltd. 2,170,000 164,352
Min Xin Holdings, Ltd. 1,652,000 305,308
Miramar Hotel & Investment Co., Ltd. 1,587,000 2,383,622
* Morning Star Resources, Ltd. 3,075,000 31,618
* Nam Fong International Holdings, Ltd. 1,740,000 16,773
* Nam Hing Holdings, Ltd. 538,000 16,223
Nanyang Holdings, Ltd. 101,350 117,396
National Electronics Holdings, Ltd. 5,104,000 160,386
* New City (Beijing) Development, Ltd. 6,760 230
New Hanison Construction Hldg 231,373 20,491
* # New World China Land, Ltd. 5,728,000 1,928,905
* New World Cyberbase, Ltd. 4,240 214
New World Development Co., Ltd. 6,792,370 7,086,409
* New World TMT, Ltd. 3,009,400 177,359
* Nippon Asia Investments Holdings, Ltd. 749,100 8,473
* Onfem Holdings, Ltd. 2,374,000 158,107
Orient Power Holdings, Ltd. 2,182,573 83,923
Oriental Watch Holdings, Ltd. 1,128,000 224,328
# Pacific Andes International Holdings, Ltd. 3,386,000 586,174
Pacific Century Insurance Holdings, Ltd. 478,000 186,925
* Pacific Plywood Holdings, Ltd. 10,094,000 33,617
# Paul Y. ITC Construction Holdings, Ltd. 2,669,088 710,235
Peace Mark Holdings, Ltd. 537,510 143,035
Perfectech International Holdings, Ltd. 966,000 83,815
Pico Far East Holdings, Ltd. 1,554,000 240,956
Playmates Holdings, Ltd. 1,492,000 307,540
Pokfulam Development Co., Ltd. 244,000 100,204
* Pokphand (C.P.) Co., Ltd. 7,548,000 310,949
* Poly Investments Holdings, Ltd. 1,428,000 21,082
* Premium Land, Ltd. 1,792,500 73,724
Prime Success International Group, Ltd. 800,000 199,101
Proview International Holdings, Ltd. 2,082,000 336,271
* QPL International Holdings, Ltd. 651,000 76,723
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* # Regal Hotels International Holdings, Ltd. 31,424,179 2,732,565
* Rexcapital International Holdings, Ltd. 5,170,090 109,643
* Rivera Holdings, Ltd. 3,152,000 92,765
* Riverhill Holdings, Ltd. 54,398 755
* RNA Holdings, Ltd. 580,200 2,013
Roadshow Holdings, Ltd. 2,956,000 322,015
S.A.S.Dragon Holdings, Ltd. 862,400 96,322
San Miguel Brewery Hong Kong, Ltd. 1,130,400 276,454
Sea Holdings, Ltd. 1,444,000 574,571
* Seapower Resources International, Ltd. 167,100 3,514
* Shanghai Land Holdings, Ltd. 352,000 0
# Shanghai Real Estates, Ltd. 1,828,000 196,989
Shell Electric Manufacturing (Holdings) Co., Ltd. 1,270,974 234,801
Shenyin Wanguo (Hong Kong), Ltd. 2,085,000 176,295
Shougang Concord Century Holdings, Ltd. 1,000,000 85,925
* Shougang Concord Grand (Group), Ltd. 833,000 77,894
* Shougang Concord Technology Holdings, Ltd. 6,119,035 316,858
* Shun Ho Resources Holdings, Ltd. 510,000 35,659
Shun Ho Technology Holdings, Ltd. 814,380 65,611
Shun Tak Holdings, Ltd. 3,313,000 3,119,134
* Sincere Co., Ltd. 2,258,000 150,824
Sino Hotels (Holdings), Ltd. 282,772 186,870
* Sino Prosper Holdings, Ltd. 1,680,000 43,520
* Sino-I.com, Ltd. 59,317,000 943,942
Sinolink Worldwide Holdings, Ltd. 4,286,400 747,648
Sinopec Kantons Holdings, Ltd. 3,866,000 545,092
SIS International Holdings, Ltd. 326,000 27,165
SNP Leefung Holdings, Ltd. 128,000 22,087
* Softbank Investment International (Strategic), Ltd. 4,112,000 40,568
* South China Holdings, Ltd. 4,060,800 151,360
South China Industries, Ltd. 1,182,000 114,397
* South Sea Holdings Co., Ltd. 136,150,000 505,661
Starlight International Holdings, Ltd. 2,910,000 257,471
Stelux Holdings International, Ltd. 2,779,552 306,272
Styland Holdings, Ltd. 1,359,999 4,370
* Sun Fook Kong Holdings, Ltd. 4,518,000 75,999
Sun Hung Kai & Co., Ltd. 3,340,000 882,554
* Sunday Communications, Ltd. 4,227,000 277,145
Sunway International Holdings, Ltd. 1,002,000 35,393
Tai Cheung Holdings, Ltd. 1,899,000 991,323
Tai Fook Securities Group, Ltd. 1,506,000 193,338
Tai Sang Land Development, Ltd. 1,033,900 341,067
Tak Sing Alliance Holdings, Ltd. 1,299,335 56,519
# Tan Chong International, Ltd. 2,943,000 544,574
# TCL International Holdings, Ltd. 3,916,000 702,632
Tern Properties Co., Ltd. 168,000 52,903
* Tian An China Investments Co., Ltd. 2,765,700 692,251
Tian Teck Land, Ltd. 800,000 282,848
Tianjin Development Holdings, Ltd. 2,878,000 1,025,252
* Tomorrow International Holdings, Ltd. 330,600 29,669
Topsearch International (Holdings), Ltd. 2,526,000 304,654
Tungtex (Holdings) Co., Ltd. 558,000 207,692
* Tysan Holdings, Ltd. 614,000 16,730
* U-Cyber Technology Holdings, Ltd. 370,000 8,703
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* Universe International Holdings, Ltd. 301,756 1,862
USI Holdings, Ltd. 671,999 181,063
Van Shung Chong Holdings, Ltd. 1,672,000 191,010
* Wah Nam International Holdings, Ltd. 12,600 240
Wai Kee Holdings, Ltd. 2,863,000 566,590
Wellnet Holdings, Ltd. 3,457,000 190,845
# Wheelock Properties, Ltd. 6,271,000 3,216,844
* Winfoong International, Ltd. 4,248,000 283,292
Wing On Co. International, Ltd. 1,049,000 1,481,569
* Wing On Travel Holdings, Ltd. 241,200 52,512
* Wing Shan International, Ltd. 1,612,000 80,586
Winsor Properties Holdings, Ltd. 110,000 113,602
* Wo Kee Hong Holdings 4,282,332 25,760
Wong's International (Holdings), Ltd. 209,000 20,196
World Houseware (Holdings), Ltd. 672,342 20,757
Y. T. Realty Group, Ltd. 1,166,000 166,274
Yangtzekiang Garment Manufacturing Co., Ltd. 372,000 89,732
* Yaohan International Holdings, Ltd. 1,660,000 0
Yau Lee Holdings, Ltd. 1,409,750 122,843
* Yue Fung International Group Holding, Ltd. 31,490 4,250
Yugang International, Ltd. 29,698,000 456,918
* Zhu Kuan Development Co., Ltd. 2,226,000 151,408
----------------
TOTAL COMMON STOCKS
(Cost $90,997,174) 113,739,849
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Hong Kong Dollars 512,501
----------------
(Cost $512,413)
RIGHTS/WARRANTS -- (0.0%)
* B.A.L. Holdings, Ltd. Rights 06/10/05 1,359 31
* China Credit Holdings Warrants 09/30/09 39,200 479
* Lai Sun Garment (International), Ltd. Rights 06/24/05 535,750 0
* Playmates Holdings, Ltd. Warrants 05/23/06 298,400 6,942
----------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 7,452
----------------
TOTAL -- HONG KONG
(Cost $91,509,587) 114,259,802
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NETHERLANDS -- (2.4%)
COMMON STOCKS -- (2.4%)
AM NV 548,108 5,737,708
Batenburg Beheer NV 1,800 82,483
* Begemann Groep NV 24,247 72,505
* Begemann Groep NV Series B 44,600 10,977
Boskalis Westminster NV 23,304 845,968
# Brunel International NV 22,100 275,512
# Buhrmann NV 1,304,396 11,954,027
DOCdata NV 24,290 179,414
* # Draka Holding NV 181,764 2,420,405
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* Econosto NV 23,804 89,296
Gamma Holding NV 58,811 2,467,591
Gemeenschappeljk Bezit Crown van Gelder NV 35,962 810,597
Grolsche NV 720 20,921
Grontmij NV 20,061 1,271,627
* # Hagemeyer NV 1,953,439 4,640,904
# Heijmans NV 259,547 11,087,048
Kas Bank NV 108,358 2,087,437
* Kendrion NV 51,681 92,760
Koninklijke Bam NV 81,843 5,164,262
Koninklijke Nedlloyd NV 106,876 7,334,089
Koninklijke Ten Cate NV 46,495 3,912,506
Koninklijke Vopak NV 100,542 2,301,402
MacIntosh NV 23,191 976,121
* Maverix Capital NV 900 42,085
Nutreco Holding NV 19,168 617,202
# Oce NV 302,283 4,379,688
Reesink NV 2,110 191,047
Roto Smeets de Boer NV 22,107 1,278,352
* Samas-Groep NV 62,743 488,031
* Seagull Holding NV 2,000 7,746
* # Semiconductor Industries NV 201,732 1,015,041
Smit Internationale NV 27,875 1,299,149
Stork NV 92,187 3,660,740
* Textielgroep Twenthe NV 1,200 3,692
* Tulip Computers NV 38,643 8,144
Twentsche Kabel Holding NV 23,496 1,022,994
Univar NV 181,591 5,470,815
Van Der Mollen Holding NV 407,948 2,056,718
* # Versatel Telecom International NV 534,428 1,282,912
Wegener Arcade NV . 190,704 2,369,922
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TOTAL COMMON STOCKS
(Cost $64,933,316) 89,029,838
----------------
RIGHTS/WARRANTS -- (0.0%)
* Boskalis Westminster NV Coupons 06/02/05 23,304 0
* Nutreco Holding NV Coupons 06/07/05 19,168 0
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TOTAL RIGHTS/WARRANTS
(Cost $0) 0
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TOTAL -- NETHERLANDS
(Cost $64,933,316) 89,029,838
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ITALY -- (2.3%)
COMMON STOCKS -- (2.3%)
* A.S. Roma SpA 208,000 133,909
# Acegas SpA 160,674 1,888,693
# Aedes SpA (Sta Ligure Lombarda per Imprese & Costruzioni) 390,465 2,622,509
* Alitalia Linee Aeree Italiane SpA Series A 17,578,590 5,588,308
# Banca Popolare Dell'etruria e Del Lazio Scrl 177,372 2,574,257
Banca Popolare di Spoleto SpA 500 5,693
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# Banco Piccolo Valellinese Scarl SpA 11,847 179,051
# Benetton Group SpA 498,034 4,519,377
Biesse SpA 120,000 552,606
Buzzi Unicem SpA 28,500 410,091
# Caltagirone Editore SpA 392,553 3,505,392
Caltagirone SpA 595,400 4,672,906
Carraro SpA 108,000 532,037
Cembre SpA 12,452 57,624
Cementir Cementerie del Tirreno SpA 929,859 4,627,501
Centrale del Latte di Torino & Co. SpA 51,557 283,904
CIR SpA (Cie Industriale Riunite), Torino 1,315,000 3,634,413
* Cirio Finanziaria SpA 960,000 205,552
Credito Artigiano SpA 66,193 274,435
# Cremonini SpA 115,750 349,812
* CSP International Industria Calze SpA 97,000 133,341
# Danieli & C.Officine Meccaniche SpA 205,825 1,263,585
# De Longhi SpA 752,732 2,775,099
* Ducati Motor Holding SpA 100,000 123,047
* Finarte Casa d'Aste SpA (Milano) 5,000 6,077
* # Finarte Partecipazioni Pro Arte SpA 1,472,050 147,995
# Gefran SpA 87,647 512,359
Gemina SpA 1,933,934 3,298,860
* Giacomelli SpA 168,000 37,212
* Giovanni Crespi SpA 302,100 316,715
Gruppo Ceramiche Ricchetti SpA 269,565 541,558
I Grandi Viaggi SpA 214,867 262,126
* # Immobiliare Lombardia SpA 2,796,456 773,890
Immsi SpA 211,292 405,398
Impregilo SpA 317,000 2,537,514
Industria Romagnola Conduttori Elettrici SpA 141,624 519,417
* Intek SpA 595,199 518,883
Italmobiliare SpA, Milano 29,780 1,849,944
La Doria SpA 124,000 370,371
* Lavorwash SpA 43,000 126,722
Linificio and Canapificio Nazionale SpA 46,250 161,167
Maffei SpA 128,000 273,172
Manifattura Lane Gaetano Marzotto & Figli SpA 212,000 4,661,460
* Meliorbanca SpA 327,438 1,249,164
Milano Assicurazioni SpA 732,200 4,162,517
# Monrif SpA 183,000 299,088
* Montefibre SpA 556,474 208,452
* NGP SpA 42,059 18,115
* Olidata SpA 170,291 196,398
* Opengate Group SpA 22,800 53,588
* Pagnossin SpA 79,000 59,438
* Partecipazioni Italiane SpA 198,125 69,240
Pininfarina SpA 10,416 293,571
# Premafin Finanziaria SpA Holding di Partecipazioni, Roma 1,904,588 3,687,641
Premuda SpA 708,444 1,340,377
* Ratti SpA 175,906 136,079
* Reno de Medici SpA, Milano 1,355,135 1,241,627
* Richard-Ginori 1735 SpA 134,357 83,315
* Risanamento Napoli SpA 1,381,281 4,987,140
SAES Getters SpA 31,000 580,966
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* Sirti SpA 139,803 324,452
SISA (Societa Imballaggi Speciali Asti SpA) 113,283 349,265
* # SNIA SpA 1,188,493 412,921
* Societa Partecipazioni Finanziarie SpA 581,463 353,852
Sogefi SpA 101,876 493,893
Sol SpA 102,000 621,234
* Sorin SpA 35,430 106,057
* STA Metallurgica Italiana SpA 1,622,949 1,300,364
Stefanel SpA 272,131 1,339,065
Targetti Sankey SpA 100,000 655,933
Terme Demaniali di Acqui SpA 553,330 804,097
Trevi-Finanziaria Industriale SpA 322,240 714,369
* Vemer Siber Group SpA 13,800 6,364
Vianini Industria SpA 163,800 549,920
Vianini Lavori SpA 233,090 1,994,309
* Zucchi (Vincenzo) SpA 122,989 524,361
----------------
TOTAL COMMON STOCKS
(Cost $56,528,188) 87,451,154
----------------
RIGHTS/WARRANTS -- (0.0%)
* Roncadin SpA Warrants 10/15/07 63,180 19,087
----------------
(Cost $0)
TOTAL -- ITALY
(Cost $56,528,188) 87,470,241
----------------
SINGAPORE -- (1.7%)
COMMON STOCKS -- (1.7%)
* Acma, Ltd. 3,856,500 80,415
Allgreen Properties, Ltd. 5,592,000 3,614,836
Amtek Engineering, Ltd. 755,000 402,746
Apollo Enterprises, Ltd. 240,000 79,194
* ASA Group Holdings, Ltd. 857,000 138,329
Ascott Group, Ltd. 7,610,038 2,208,614
* Asia Food and Properties, Ltd. 1,820,000 545,099
Auric Pacific Group, Ltd. 57,000 34,613
Beyonics Technology, Ltd. 2,122,500 393,146
* Blu Inc. Group, Ltd.. 1,085,000 100,897
Bonvests Holdings, Ltd. 675,400 226,942
* Causeway Investment, Ltd. 539,000 61,526
* Chemical Industries (Far East), Ltd. 40,000 13,319
China Merchants Holdings Pacific, Ltd. 469,000 169,753
CIH, Ltd. 355,000 571,096
* CK Tang, Ltd. 983,000 224,559
Courts Singapore, Ltd. 760,000 246,633
Eagle Brand Holdings, Ltd. 5,722,000 240,130
Eastern Asia Technology, Ltd. 884,000 111,157
* Econ International, Ltd. 1,412,000 38,121
ECS Holdings, Ltd. 1,636,000 279,388
Eng Wah Organisation, Ltd. 481,000 86,396
* Excel Machine Tools, Ltd. 473,000 4,257
* Federal International (2000), Ltd. 167,000 22,474
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* Firstlink Investments Corp., Ltd. 923,000 30,334
G & W Group Holdings, Ltd. 244,039 21,230
GB Holdings, Ltd. 231,000 134,359
GK Goh Holdings, Ltd. 412,000 226,080
* GP Batteries International, Ltd. 195,000 219,641
Guocoland, Ltd. 3,092,000 2,501,057
Hiap Moh Corp., Ltd. 10,125 1,868
Ho Bee Investment, Ltd. 1,277,000 275,744
Hong Fok Corp., Ltd. 1,924,000 265,648
# Hong Leong Finance, Ltd. 457,000 926,054
Hotel Grand Central, Ltd. 655,400 178,938
Hotel Plaza, Ltd. 942,000 505,827
Hotel Properties, Ltd. 2,333,000 1,762,220
Hour Glass, Ltd. 349,000 132,619
Hwa Hong Corp., Ltd. 3,329,000 1,159,085
International Factors (Singapore), Ltd. 22,000 7,396
* Interra Resources, Ltd. 27,836 3,237
* Intraco, Ltd. 316,000 62,549
IPC Corp., Ltd. 812,000 53,299
Isetan (Singapore), Ltd. 152,000 282,724
Jurong Engineering, Ltd. 199,000 265,865
K1 Ventures, Ltd. 7,899,000 1,252,728
Keppel Land, Ltd. 3,609,000 4,927,558
Kian Ann Engineering, Ltd. 861,000 77,531
* Koh Brothers, Ltd. 1,445,000 77,907
Lee Kim Tah Holdings, Ltd. 2,313,000 381,566
* Leong Hin Holdings, Ltd. 516,000 94,262
Low Keng Huat Singapore, Ltd. 368,000 92,050
Lum Chang Holdings, Ltd. 1,211,000 218,309
Magnecomp International, Ltd. 526,000 273,390
Marco Polo Developments, Ltd. 2,153,000 3,523,432
# MCL Land, Ltd. 1,863,000 1,372,868
Metro Holdings, Ltd. 2,980,800 901,742
Natsteel, Ltd. 214,000 278,169
* Orchard Parade Holdings, Ltd. 1,293,625 290,245
Overseas Union Enterprise, Ltd. 459,000 2,297,963
Pan-United Corp., Ltd. 1,101,000 199,625
Pan-United Marine, Ltd. 550,500 96,246
* Penguin Boat International, Ltd. 642,000 40,758
Pertama Holdings, Ltd. 105,000 18,274
PSC Corp., Ltd. 6,076,000 291,990
QAF, Ltd. 1,460,000 446,970
# Raffles Holdings, Ltd. 9,898,000 4,157,769
San Teh, Ltd. 579,000 114,390
Singapore Land, Ltd. 1,507,000 4,688,837
Singapore Reinsurance Corp., Ltd 1,551,000 246,744
Singapore Shipping Corp., Ltd. 2,153,000 644,149
Singapura Finance, Ltd. 84,000 74,602
SNP Corp., Ltd. 389,500 209,962
* SP Corp., Ltd. 55,000 2,274
Ssangyong Cement (Singapore), Ltd. 77,000 41,776
Stamford Land Corp., Ltd. 4,308,000 659,025
Straits Trading Co., Ltd. 2,446,200 3,313,235
* Sunright, Ltd. 196,000 29,817
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Superior Metal Printing, Ltd. 552,000 56,358
TT International, Ltd. 1,391,000 145,912
* Tuan Sing Holdings, Ltd. 4,197,000 238,014
* Ultro Technologies, Ltd. 693,000 32,839
United Engineers, Ltd. 1,038,666 1,039,630
United Industrial Corp., Ltd. 7,075,000 4,365,937
United Overseas Land, Ltd. 3,262,000 4,294,281
United Pulp & Paper Co., Ltd. 391,000 102,998
WBL Corp., Ltd. 445,500 822,311
Wing Tai Holdings, Ltd. 3,320,333 1,768,406
Xpress Holdings, Ltd. 370,000 11,112
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TOTAL COMMON STOCKS
(Cost $53,489,169) 63,123,375
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Singapore Dollars 599,276
----------------
(Cost $601,845)
TOTAL -- SINGAPORE
(Cost $54,091,014) 63,722,651
----------------
BELGIUM -- (1.7%)
COMMON STOCKS -- (1.7%)
# Ackermans & Van Haaren SA 7,990 317,041
Associated Weavers International 20,791 199,610
Banque Nationale de Belgique 909 3,733,917
# Bekaert SA 39,600 2,935,694
# CFE (Compagnie Francois d'Entreprises) 3,812 1,537,924
Cofinimmo SA 73,153 11,617,615
# Compagnie Maritime Belge 245,295 8,009,858
# D'Ieteren SA 9,562 1,898,680
Euronav SA 245,295 7,265,763
# Exmar NV 29,600 1,781,801
Floridienne NV 1,900 135,638
* Immobel (Cie Immobiliere de Belgique SA) 33,202 1,427,905
* Integrated Production & Test Engineering NV 28,600 153,019
* Ion Beam Application SA 183,300 1,261,871
* Ipso-Ilg SA 38,662 345,001
Nord-Sumatra Investissements SA 421 189,242
Papeteries de Catala SA 450 49,838
# Quick Restaurants SA 38,332 732,197
* Quick Restaurants VVPR 27,380 337
# Recticel SA 97,731 829,784
Rosier SA 200 31,362
* # Sait Radioholland 21,764 115,247
# Sapec SA 7,671 774,127
* Solvus SA 146,000 2,798,258
Spector Photo Group SA 11,701 93,700
* Systemat SA 68,225 461,970
# Telindus Group SA 253,662 2,806,767
# Tessenderlo Chemie 235,667 9,128,010
# Warehouses de Pauw Sicafi 37,195 1,623,436
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TOTAL COMMON STOCKS
(Cost $40,802,998) 62,255,612
----------------
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RIGHTS/WARRANTS -- (0.0%)
* Belge des Betons Contingent Rights 12,520 0
----------------
(Cost $0)
TOTAL -- BELGIUM
(Cost $40,802,998) 62,255,612
----------------
SPAIN -- (1.4%)
COMMON STOCKS -- (1.4%)
* # Amper SA 101,200 640,874
* # Avanzit SA 76,700 137,026
# CAF (Construcciones y Auxiliar de Ferrocarriles SA) 11,875 1,156,431
Cementos Portland SA 30,532 2,096,412
Cie Automotive SA 17,839 272,515
Cortefiel SA 364,515 8,369,199
* Dogi International Fabrics SA 21,900 135,506
* # Duro Felguera SA 65,433 905,731
* # Ercros SA 1,605,154 2,115,502
* Espanola del Zinc SA 53,703 121,596
Funespana SA 43,617 434,460
Global Steel Wire SA 73,031 394,108
# Grupo Empresarial Ence SA 122,580 3,344,194
Hullas del Coto Cortes 7,000 84,218
Iberpapel Gestion SA 69,862 1,460,713
Inbesos SA 26,897 282,037
Inmobiliaria Colonial SA ICSA 79,400 4,119,315
Inmobiliaria Urbis SA 288,600 4,897,439
* LSB (La Seda de Barcelona SA) Series B 211,150 649,447
* Mecalux SA 101,989 1,287,947
* Nicolas Correa SA 37,386 246,395
Obrascon Huarte Lain SA 560,306 6,624,971
Pescanova SA 63,141 1,405,923
* # Service Point Solutions SA 107,972 477,867
# Sol Melia SA 111,200 1,167,137
Tavex Algodonera SA 139,958 585,018
* # Tecnocom Telecomunicaciones y Energia SA 35,910 281,230
# Tubacex SA 1,140,716 3,846,207
Tubos Reunidos SA 10,300 138,145
Unipapel SA 74,558 1,612,597
* # Uralita SA 672,840 3,356,601
* Urbanizzciones y Transportes SA 79,329 121,044
Vidrala SA, Alava 10,880 218,158
# Viscofan Industria Navarra de Envolturas Celulosicas SA 24,100 233,630
----------------
TOTAL -- SPAIN
(Cost $23,550,052) 53,219,593
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GREECE -- (1.2%)
COMMON STOCKS -- (1.2%)
* A. Cambas Holding & Real Estate S.A. 80,660 203,875
* Aegek S.A. 369,814 235,213
* Agrotiki Insurance S.A. 44,150 142,798
Alco Hellas ABEE S.A. 145,300 221,184
* Allatini Industrial & Commercial Co. 58,400 112,397
Alte Technological Co. S.A. 299,816 29,384
* Altec Information & Communication Systems S.A. 348,200 157,942
Alumil Milonas S.A. 88,060 257,593
* Aluminum of Attica S.A. 337,348 78,860
Anek Lines S.A. 258,359 336,067
Arcadia Metal Industry C. Rokas S.A. 84,011 814,658
* Aspis Bank S.A. 155,920 490,909
* Aspis Pronia General Insurance S.A. 194,160 143,484
* Astir Palace Vouliagmenis S.A. 11,930 74,688
* Athens Medical Center S.A. 418,340 904,235
Athens Water Supply & Sewage Co. S.A. 58,200 407,665
Atlantic Super Market S.A. 129,593 207,323
Attica Holdings S.A. 482,314 1,706,295
Atti-Kat S.A. 378,008 222,457
Bank of Greece 41,488 5,237,533
* Bitros Holdings S.A. 82,020 208,369
Chipita S.A. 162,730 481,616
Delta Holdings S.A. 64,300 473,742
Edrasi Psalllidas Technical Co. S.A. 117,012 102,055
Egnatia Bank S.A. 457,070 1,517,475
El. D. Mouzakis S.A. 123,900 78,726
Elgeka S.A. 18,970 51,246
* Empedos S.A. 56,700 5,582
* Ergas S.A. 104,948 29,872
ETEM S.A. Light Metals Industry 120,028 215,233
* Ethniki General Insurance Co. S.A. 73,570 306,824
* Etma Rayon S.A. 39,176 78,956
* Euro Reliance General Insurance 16,470 20,802
Euromedica S.A. 109,200 231,980
* European Techniki 98,150 27,779
* Fanco S.A. 44,900 10,936
* Forthnet S.A. 61,700 361,316
* Fourlis S.A. 155,000 1,326,650
Frigoglass S.A. 176,140 931,458
G.Polyhronos S.A. 27,800 21,862
General Commercial & Industry 96,240 85,082
* General Hellenic Bank 124,299 1,224,662
Halkor S.A. 132,600 236,380
Hatziioannou S.A. 97,400 86,190
Hellas Can Packaging Manufacturers S.A. 64,287 546,529
* Hellenic Cables S.A. 122,938 128,387
Hellenic Fabrics S.A. 55,000 131,721
Hellenic Sugar Industry S.A. 55,180 251,396
Hellenic Technodomiki S.A. 707,510 3,689,834
* Hermes Real Estate S.A. 115,846 527,887
Inform P. Lykos S.A. 32,320 137,937
Intracom Constructions S.A. 129,640 165,336
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Intracom S.A. 735,896 3,777,242
* J Boutaris & Son Holding S.A. 105,600 80,253
J&P-Avax S.A. 74,430 347,727
Kalpinis - N. Simos Steel Service Center 49,238 222,983
* Karatzis S.A. 58,710 68,254
Kathimerini S.A. 73,740 625,023
Katselis Sons S.A. 21,000 57,476
* Keranis Holdings SA 53,625 19,744
Kordellou Brothers S.A. 17,200 39,900
* Lambrakis Press S.A. 232,459 830,261
* Lavipharm S.A. 160,616 183,594
* Loulis Mills S.A. 77,428 131,626
* Maritime Company of Lesvos S.A. 164,000 78,608
* Maxim Knitwear Factory C.M. Pertsinidis 61,360 16,502
Mesochoritis Bros. Construction Co. S.A. 89,900 31,928
Michaniki S.A. 309,918 677,663
Minoan Lines S.A. 328,387 1,250,260
Mochlos S.A. 679,690 267,184
Mytilineos Holdings S.A. 128,870 1,550,639
* N. Levederis S.A. 24,700 19,946
* N.B.G. Real Estate Development Co. 210,650 934,245
* Naoussa Spinning Mills S.A. 286,650 66,494
* Nexans Hellas S.A. 25,070 49,242
Nikas S.A. 35,183 216,982
Notos Com.Holdings S.A. 11,808 45,241
Pantechniki S.A. 201,405 296,666
* Parnassos Enterprises S.A. 93,550 70,911
* Pegasus Publishing & Printing S.A. 217,030 424,208
* Petzetakis S.A. 88,200 138,449
* Pilias S.A. 85,264 14,573
Piraeus Leasing 23,551 188,251
* Prodeftiki Technical Co. 164,900 54,576
* Sanyo Hellas S.A. 323,808 174,694
Sarantis S.A. 154,900 1,157,117
Sato S.A. 93,160 84,661
* Selected Textile Industry Assoc. S.A. 171,500 75,490
Sfakianakis S.A. 38,370 206,904
* Sheet Steel S.A. 77,100 14,246
* Shelman Hellenic-Swiss Wood S.A. 155,548 170,190
Silver and Baryte Ores Mining Co. S.A. 88,550 621,878
Spyroy Agricultural House S.A. 103,200 133,210
* Stabilton S.A. 221,900 21,845
Strintzis Shipping Lines S.A. 486,146 632,203
Technical Olympic S.A. 626,840 3,599,418
* Technodomi M.Travlos Br. Com. & Constr. Co. S.A. 23,730 6,132
Teletypos S.A. Mega Channel 24,180 95,991
Terna Tourist Technical & Maritime S.A. 33,100 256,722
Themeliodomi S.A. 140,360 86,464
Thrace Plastics Co. S.A. 210,660 315,661
* Varvaressos S.A. European Spinning Mills 36,350 21,918
* Veterin S.A. 62,096 66,506
Vioter S.A. 227,695 276,867
* Vis Container Manufacturing Co. 12,511 34,004
* Zampa S.A. 1,750 22,433
----------------
TOTAL -- GREECE
(Cost $47,079,955) 46,529,585
----------------
48
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NORWAY -- (1.2%)
COMMON STOCKS -- (1.2%)
ABG Sundal Collier ASA 93,000 78,358
# Aker Yards ASA 48,248 1,768,027
Bonheur ASA 39,205 2,362,382
* Choice Hotel Scandinavia ASA 13,000 40,471
* Dale of Norway Holding ASA 18,200 6,483
Det Norske Oljeselskap ASA Series A 161,379 1,852,728
# DOF ASA 182,000 670,143
EDB Elektronisk Data Behandling ASA 1,800 13,650
Farstad Shipping ASA 101,600 1,179,470
* # Fjord Seafood ASA 1,451,246 657,014
* # Fred Olsen Energy ASA 303,500 6,090,271
Ganger Rolf ASA 42,950 2,410,921
Gresvig ASA 13,300 79,812
* Home Invest ASA 7,066 5,472
* Independent Oil Tools ASA 137,172 38,242
Kongsberg Gruppen ASA 42,900 631,515
* Kverneland ASA 39,457 488,789
Leroy Seafood Group ASA 6,000 39,452
* # Merkantildata ASA 1,286,200 372,007
* # Nera ASA 660,611 1,402,045
* # Ocean Rig ASA 437,549 2,861,111
Odfjell ASA Series A 353,896 6,749,111
* Petroleum Geo-Services ASA (New) 2,300 155,899
* Petrolia Drilling ASA 388,760 36,686
* SAS AB 38,000 341,958
* Scana Industrier ASA 33,500 18,564
* Sinvest ASA 6,003 24,813
Smedvig ASA Series A 281,900 4,935,011
* # Software Innovation ASA 47,062 130,547
Solstad Offshore ASA 103,000 1,104,517
* Sparebk Midt-Norge 19,650 852,982
* # Tandberg Data ASA 107,700 138,393
* Tandberg Storage ASA 107,700 41,664
* # Tandberg Television ASA 152,300 1,741,883
* # TTS Marine ASA 42,000 172,894
* Tybring-Gjed ASA 163,020 79,979
Veidekke ASA 7,000 138,614
Wilhelmsen (Wilhelm), Ltd. ASA Series A 245,200 6,230,980
----------------
TOTAL COMMON STOCKS
(Cost $19,289,673) 45,942,858
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Norwegian Krone 131,648
----------------
(Cost $132,307)
TOTAL -- NORWAY
(Cost $19,421,980) 46,074,506
----------------
49
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IRELAND -- (1.1%)
COMMON STOCKS -- (1.1%)
Abbey P.L.C. 312,231 3,527,122
* Ardagh P.L.C. 77,019 222,724
* Datalex P.L.C. 326,768 168,599
Donegal Creameries P.L.C. 28,204 133,621
* Dragon Oil P.L.C. 2,523,854 4,188,019
Fyffes P.L.C. 700,000 1,963,449
Grafton Group P.L.C. 124,009 1,440,943
Greencore Group P.L.C. 1,692,615 7,112,044
IFG Group P.L.C. 368,564 421,791
* Iona Technologies P.L.C. 146,143 489,615
Irish Intercontental Group P.L.C. 321,133 3,797,891
Jurys Hotel Group P.L.C. 848,393 15,854,016
* Oakhill Group P.L.C. 69,119 12,758
Qualceram Shires P.L.C. 30,338 41,066
Readymix P.L.C. 834,473 2,162,424
* Waterford Wedgwood P.L.C. 14,057,269 709,229
----------------
TOTAL -- IRELAND
(Cost $33,658,244) 42,245,311
----------------
DENMARK -- (0.9%)
COMMON STOCKS -- (0.9%)
Aarhus Oliefabrik A.S. Aeries A 10,395 840,669
* Alm. Brand A.S. 45,705 1,573,139
Amagerbanken A.S. 4,226 698,345
Ambu International A.S. Series B 12,160 289,271
Amtssparekassen Fyn A.S. 4,181 712,837
* Andersen & Martini Series B 3,500 18,230
Arkil Holdings A.S. Series B 680 101,165
Bording (F.E.) A.S. Series B 475 25,919
* Brodrene Hartmann A.S. Series B 13,560 359,174
* Brondbyernes I.F. Fodbold A.S. Series B 3,200 33,122
Codan A.S. 52,875 2,586,881
Dalhoff, Larsen & Hornemann A.S. Series B 3,663 336,211
# Dampskibsselsk Torm A.S. 73,140 3,992,957
* Danionics A.S. Series A 12,586 8,842
* Denka Holding A.S. 400 22,785
DFDS A.S., Copenhagen 20,820 1,268,660
DiskontoBanken A.S. 1,301 290,807
Djursland Bank 2,365 173,589
East Asiatic Co., Ltd. 802 50,281
Egnsbank Han Herred 3,181 508,630
* Fimiston Resources & Technology, Ltd. 2,000 36,309
# FLS Industries Series B 138,986 2,585,197
Foras Holding A.S. Series A 31,379 425,418
# Forstaedernes Bank 6,931 584,931
50
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* Genmab A.S. 11,592 214,281
* Glostrup Plade Vaerksted Industri A.S. 2,600 73,080
H&H International A.S. Series B 500 114,805
Harboes Bryggeri A.S. 460 186,102
Hedegaard (Peder P.) A.S. 1,406 133,596
Hojgaard Holding A.S. Series B 7,075 219,888
HVB Bank A.S. 3,110 164,587
Lan & Spar Bank A.S. 5,706 287,787
Lokalbanken I Nordsjaelland A.S. 3,450 148,357
* Migatronic Series B 1,294 40,012
Mons Bank A.S. 424 63,525
Morso Bank 240 38,013
NKT Holding A.S. 57,585 2,240,252
Nordjyske Bank A.S. 1,203 240,817
Norresundby Bank 439 232,385
* NTR Holdings A.S. 1,650 21,855
Per Aarsleff A.S. Series B 5,540 347,832
* # Pharmexa A.S. 42,400 156,865
Ringkjobing Bank 3,440 291,204
Rockwool, Ltd. 26,020 1,805,942
* # RTX Telecom A.S. 11,600 112,969
Salling Bank 500 49,592
Sanistal A.S. Series B 4,670 451,714
* Scanbox Danmark A.S. Series B 3,400 1,085
Scandinavian Brake Systems A.S. 510 58,188
Schouw & Co. A.S. 31,885 845,142
Skaelskor Bank 3,600 118,738
Skjern Bank A.S. 1,530 129,848
* Spaencom A.S. 300 14,187
Spar Nord Bank A.S. 11,919 1,475,825
Sparbank Vest A.S. 11,870 557,257
Sparekassen Faaborg A.S. 1,634 635,314
Sydbank A.S. 175,700 3,644,934
* # TK Development 26,740 169,711
* Torsana A.S. Series B 200 4,795
Totalbanken A.S. 600 101,713
Treka A.S. 26,230 681,799
Vestfyns Bank 500 63,956
Vestjysk Bank A.S. 19,420 674,449
VT Holdings Shares B 5,900 321,764
----------------
TOTAL COMMON STOCKS
(Cost $14,865,983) 34,657,534
----------------
RIGHTS/WARRANTS -- (0.0%)
* Forstaedernes Bank Rights 06/07/05 6,931 18,337
* Pharmexa A.S. Rights 05/31/05 42,400 23,487
----------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 41,824
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Danish Krone 7,756
----------------
(Cost $8,165)
TOTAL -- DENMARK
(Cost $14,874,148) 34,707,114
----------------
51
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AUSTRIA -- (0.8%)
COMMON STOCKS -- (0.8%)
Agrana Beteiligungs AG 23,296 2,088,787
Allgemeine Sparkasse Baugesellschaft 120 16,329
* Austrian Airlines/Oesterreichische Luftverkehrs-Aktiengesellschaft 273,399 2,358,125
# Boehler-Uddeholm AG 83,224 10,740,940
* CA Immobilien Anlagen AG 202,360 5,075,807
* Demeter Vermoegensverwaltung 105,381 0
* Eybl International AG 14,402 354,088
Flughafen Wien AG 86,865 5,563,510
Frauenthal Holding AG 1,308 137,415
* General Partners Inmobilienbesitz AG 5,900 11,181
Lenzing AG 1,950 461,968
Linz Textil Holding AG 200 34,333
Oberbank AG 2,403 237,063
* # RHI AG, Wien 31,752 875,253
Rosenbauer International AG 1,462 107,598
----------------
TOTAL COMMON STOCKS
(Cost $23,726,554) 28,062,397
----------------
RIGHTS/WARRANTS -- (0.0%)
* Boehler-Uddeholm AG Rights 06/02/05 81,870 0
* CA Immobilien Anlagen AG Rights 06/01/05 202,360 2,490
----------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 2,490
----------------
TOTAL -- AUSTRIA
(Cost $23,726,554) 28,064,887
----------------
NEW ZEALAND -- (0.6%)
COMMON STOCKS -- (0.6%)
AFFCO Holdings, Ltd. 4,822,896 1,323,156
CDL Hotels New Zealand, Ltd. 3,112,559 1,220,916
CDL Investments New Zealand, Ltd. 886,094 199,209
Colonial Motor Co., Ltd. 207,470 439,449
* Evergreen Forests, Ltd. 648,900 136,870
Fisher & Paykel Apppliances Holdings, Ltd. 131,412 286,306
# Fletcher Challenge Forests, Ltd. 352,153 876,787
Independent Newspapers, Ltd. (Auckland) 1,213,784 5,314,350
Met Lifecare, Ltd. 161,905 375,270
* New Zealand Oil & Gas, Ltd. 308,137 185,708
New Zealand Refining Co., Ltd. 12,100 287,285
Northland Port Corp. (New Zealand), Ltd. 24,300 51,298
* Pan Pacific Petroleum NL 374,079 34,036
Pyne Gould Guinness, Ltd. 246,048 302,703
52
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Richina Pacific, Ltd. 929,648 477,034
* Rubicon, Ltd. 2,390,292 1,513,027
Sanford, Ltd. 729,208 2,206,746
South Port New Zealand, Ltd. 71,088 56,035
* Tasman Farms 228,576 0
Taylors Group, Ltd. 42,000 73,674
Tourism Holdings, Ltd. 822,786 1,028,654
* Tower, Ltd. 2,952,353 4,307,497
* Trans Tasman Properties, Ltd. 3,568,944 1,007,051
Wrightson, Ltd. 246,297 279,693
----------------
TOTAL COMMON STOCKS
(Cost $13,435,631) 21,982,754
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* New Zealand Dollar 116,645
----------------
(Cost $117,753)
TOTAL -- NEW ZEALAND
(Cost $13,553,384) 22,099,399
----------------
PORTUGAL -- (0.2%)
COMMON STOCKS -- (0.2%)
Corticeira Amorim Sociedad Gestora Participacoes Sociais SA 2,306,331 3,246,073
EFACEC Capital, SGPS, SA 222,131 595,100
Finibanco Holdings SGPS, SA 76,344 120,777
* # Gescartao, SGPS, SA 90,825 1,196,870
* Investimentos Participacoes e Gestao SA Inapa 440,502 1,349,524
Mota-Engil, SGPS, SA 31,300 92,529
* Papelaria Fernandes-Industria e Comercia SA 2,000 9,110
* Sociedad Construcoes Soares da Costa SA 294,047 548,348
* Sonae Industria-Sociedade Gestora de Participacoes Sociais SA 18,110 117,574
* Sumolis - Companhia Industrial de Fruitas e Bebidas, SA 59,147 111,977
* Tertir Terminais de Portugal SA 80,798 273,756
----------------
TOTAL -- PORTUGAL
(Cost $7,941,772) 7,661,638
----------------
EMU -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
* Euro Currency 1,524,787
----------------
(Cost $1,551,309)
MALAYSIA -- (0.0%)
COMMON STOCKS -- (0.0%)
* Jaks Resources Berhad 10,750 4,126
* Promet Berhad 201,000 0
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* Rekapacific Berhad 130,000 0
----------------
TOTAL COMMON STOCKS
(Cost $276,025) 4,126
----------------
PREFERRED STOCKS -- (0.0%)
* Ramunia Holdings Berhard Non Cumulative Irredeemable Convertible
Preferred Shares 28,880 1,216
----------------
(Cost $387,349)
TOTAL -- MALAYSIA
(Cost $663,374) 5,342
----------------
FACE
AMOUNT VALUE+
---------------- ----------------
(000)
TEMPORARY CASH INVESTMENTS -- (15.0%)
^ Repurchase Agreement, Deutsche Bank Securities 2.96%, 06/01/05
(Collateralized by $996,804,661 U.S. TIPS 1.875%, 07/15/13; U.S.
STRIPS, rates ranging from 0% to 6.75%, maturities ranging from
05/15/16 to 11/15/27; U.S. Treasury Bond, 7.625%, 02/15/25; &
U.S. Treasury Bill, 08/25/05, valued at $569,830,072) to be
repurchased at $558,696,400 (Cost $558,650,466) $ 558,650 558,650,466
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $5,379,000 FNMA Notes 2.95%, 11/14/07, valued
at $5,372,276) to be repurchased at $5,292,425 (Cost $5,292,000) 5,292 5,292,000
----------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $563,942,466) 563,942,466
----------------
TOTAL INVESTMENTS - (100.0%)
(Cost $3,096,530,368) $ 3,761,315,293
----------------
----------
+ Securities have been fair valued. See Note B to Financial Statements.
^ Security purchased with cash proceeds from securities on loan.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
See accompanying Notes to Financial Statements.
54
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULES OF INVESTMENTS
MAY 31, 2005
EMERGING MARKETS PORTFOLIO
(UNAUDITED)
[Download Table]
VALUE+
------
Investment in The Emerging Markets Series of
The DFA Investment Trust Company $ 1,367,074,598
-----------------
Total Investments (100%) (Cost $970,497,093) $ 1,367,074,598
=================
EMERGING MARKETS SMALL CAP PORTFOLIO
(UNAUDITED)
[Download Table]
VALUE+
------
Investment in The Emerging Markets Small Cap Series of
The DFA Investment Trust Company $ 289,020,405
-----------------
Total Investments (100%) (Cost $244,084,194) $ 289,020,405
=================
----------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
26
EMERGING MARKETS CORE EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
[Enlarge/Download Table]
SHARES VALUE+
---------------- ----------------
UNITED STATES -- (16.3%)
COMMON STOCKS -- (16.3%)
* America Movil S.A. de C.V. ADR 9,900 $ 561,132
* AngloGold Ashanti, Ltd. ADR 1,520 52,197
Aracruz Celulose SA ADR 4,600 154,928
* AudioCodes, Ltd. ADR 3,575 43,150
Banco Bradesco SA ADR 9,900 316,503
* Banco de Chile Series F ADR 600 20,820
Banco Itau Holding Financeira SA ADR 5,400 474,822
Banco Santander Chile Sponsored ADR 1,900 59,280
Brasil Telecom Participacoes SA ADR 2,500 82,975
Brasil Telecom SA ADR 4,200 50,862
* Braskem SA Special Preferred A ADR 6,000 113,520
Cemex S.A. de C.V. ADR 18,300 699,060
Cia Telecom de Chile ADR 18,000 176,940
Coca-Cola Femsa S.A. de C.V. ADR 3,000 71,400
Companhia Brasileira de Distribuicao Grupo Pao de Acucar ADR 3,444 74,735
Companhia Energetica de Minas Gerais SA ADR 8,100 244,863
Companhia Siderurgica Nacional SA ADR 12,800 228,480
Compania Cervecerias Uni ADR 5,700 133,665
* Distribucion y Servicio D&S SA ADR 14,100 258,030
Embotelladora Andina SA Andina Series B ADR 2,000 26,380
* Empresa Brasileira de Aeronautica SA ADR 6,500 196,950
Empresa Nacional de Electricidad SA ADR 14,000 322,000
* Enersis SA ADR 18,350 169,003
Fomento Economico Mexicano S.A. de C.V. ADR 10,100 552,975
Gerdau SA ADR 20,600 207,030
Grupo Elektra S.A. de C.V. ADR 1,000 28,220
Grupo Televisia S.A. de C.V. ADR 5,500 330,000
Industrias Bachoco S.A. de C.V. ADR 2,500 39,500
* Kookmin Bank Sponsored ADR 4,200 185,640
* NICE Systems, Ltd. ADR 1,000 36,450
* Partner Communications Co., Ltd. ADR 3,300 27,258
Philippine Long Distance Telephone Co. ADR 3,600 97,704
* POSCO Sponsored ADR 6,600 296,472
* PT Indosat Tbk ADR 3,900 100,425
* PT Telekomunikasi Indonesia Tbk ADR 13,700 270,575
* Shinhan Financial Group Co., Ltd. ADR 1,600 82,720
Sociedad Quimica y Minera de Chile SA ADR 2,600 222,092
Tele Norte Leste Participacoes SA ADR 14,700 224,175
* Telefonos de Mexico S.A. de C.V. ADR 29,800 556,068
* Telesp Celular Participacoes SA ADR 10,300 52,221
Teva Pharmaceutical Industries, Ltd. ADR 22,200 740,814
Tim Participacoes SA ADR 3,000 47,250
* TV Azteca S.A. de C.V. ADR 5,000 41,050
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Vale do Rio Doce Companhia ADR 10,300 254,204
Votorantim Celulose e Papel SA ADR 8,800 105,512
----------------
TOTAL -- UNITED STATES
(Cost $8,924,900) 9,030,050
----------------
SOUTH AFRICA -- (10.8%)
COMMON STOCKS -- (10.8%)
ABSA Group, Ltd. 16,982 206,253
Aeci, Ltd. 6,000 37,656
African Life Assurance Co., Ltd. 11,174 36,731
African Oxygen, Ltd. 11,724 43,960
Alexander Forbes, Ltd. 27,499 45,730
Allied Technologies, Ltd. 7,060 42,516
Anglo American Platinum Corp., Ltd. 1,069 45,947
* Anglovaal Mining, Ltd. 7,933 39,207
Aspen Pharmacare Holdings PLC 13,645 49,983
Astral Foods, Ltd. 4,482 41,478
Aveng, Ltd. 39,884 67,676
AVI, Ltd. 33,472 61,187
Barloworld, Ltd. 20,119 260,019
Bidvest Group, Ltd. 15,138 153,899
Bytes Technology Group, Ltd. 18,000 20,302
Caxton & CTP Publishers & Printers, Ltd. 13,059 20,870
Delta Electrical Industries, Ltd. 850 4,936
* Dimension Data Holdings PLC 89,974 52,219
* Discovery Holdings, Ltd. 14,881 48,078
Distell Group, Ltd. 15,395 54,297
Edgars Consolidated Stores, Ltd. 1,712 67,043
Ellerine Holdings, Ltd. 5,201 38,199
Firstrand, Ltd. 86,383 174,135
Foschini, Ltd. 10,303 55,454
Gold Reef Casino Resorts, Ltd. 18,312 36,610
Grindrod, Ltd. 5,663 39,959
Illovo Sugar, Ltd. 30,744 37,487
Impala Platinum Holdings, Ltd. 1,689 141,900
* Imperial Holdings, Ltd. 13,160 193,522
Investec, Ltd. 2,961 85,081
JD Group, Ltd. 12,557 111,022
Johnic Communications, Ltd. 9,238 51,535
Liberty Group, Ltd. 14,455 131,794
Massmart Holdings, Ltd. 8,004 49,693
Medi-Clinic Corp., Ltd. 23,075 53,707
Metropolitan Holdings, Ltd. 51,384 71,938
Mr. Price Group, Ltd. 22,039 39,125
Mittal Steel South Africa, Ltd. 15,454 115,292
MTN Group, Ltd. 40,133 264,865
Murray & Roberts Holdings, Ltd. 30,002 60,350
Nampak, Ltd. 48,000 105,916
Naspers, Ltd. Series N 8,000 98,349
Nedcor, Ltd. 11,851 132,039
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Network Healthcare Holdings, Ltd. 40,215 35,702
New Clicks Holdings, Ltd. 28,723 31,669
Northam Platinum, Ltd. 32,326 51,080
Old Mutual PLC 225,248 479,410
Omnia Holdings, Ltd. 5,787 33,582
Pick'n Pay Stores, Ltd. 13,212 48,198
Pretoria Portland Cement Co., Ltd. 1,091 35,033
Primedia, Ltd. N Shares 12,600 21,085
Rainbow Chicken, Ltd. 31,311 32,804
Reunert 8,713 46,911
Sanlam, Ltd. 179,977 296,503
Santam, Ltd. 8,527 76,398
Sappi, Ltd. 4,404 42,646
Shoprite Holdings, Ltd. 25,498 52,787
Standard Bank Group, Ltd. 36,564 332,826
Steinhoff International Holdings, Ltd. 79,037 157,084
Sun International, Ltd. 7,991 75,189
Super Group, Ltd. 23,494 39,149
Telkom SA, Ltd. 15,043 245,644
Tiger Brands, Ltd. 7,411 117,707
Tiger Wheels, Ltd. 10,064 36,332
Tongaat-Hulett Group, Ltd. 4,224 36,647
Trencor, Ltd. 13,109 38,326
Truworths International, Ltd. 19,200 47,316
* Western Areas, Ltd. 8,000 26,369
* Woolworths Holdings, Ltd. 48,602 74,468
----------------
TOTAL -- SOUTH AFRICA
(Cost $6,573,891) 5,998,824
----------------
TAIWAN -- (10.6%)
COMMON STOCKS -- (10.5%)
* Accton Technology Corp. 102,000 51,416
Acer, Inc. 70,000 132,443
* Advanced Semiconductor Engineering, Inc. 135,000 97,465
Asia Cement Corp. 81,000 51,781
Benq Corp. 77,000 79,186
Catcher Co., Ltd. 10,000 52,086
Cathay Financial Holdings Co., Ltd. 57,000 108,658
Cathay Real Estate Development Co., Ltd. 113,000 47,333
Cheng Loong Corp. 154,000 47,945
Cheng Shin Rubber Industry Co., Ltd. 46,000 50,926
Cheng Uei Precision Industry Co., Ltd. 18,000 49,789
Chi Mei Optoelectronic Corp. 39,000 61,252
* China Development Financial Holding Corp. 406,000 154,632
* China Man-Made Fiber Co., Ltd. 110,000 47,160
China Motor Co., Ltd. 46,000 47,320
China Steel Corp. 129,000 125,501
* Chungwa Picture Tubes Co., Ltd. 167,000 73,121
CMC Magnetics Corp. 144,000 66,467
Compal Electronics, Inc. 103,000 98,485
* Cosmos Bank Taiwan 108,000 51,275
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Delta Electronics Industrial Co., Ltd. 32,000 51,782
D-Link Corp. 41,000 49,472
Elitegroup Computer Systems Co., Ltd. 84,000 53,482
Evergreen International Storage & Transport Corp. 129,000 49,129
Evergreen Marine Corp., Ltd. 52,000 46,511
Far East Textile, Ltd. 113,000 84,655
Feng Hsin Iron & Steel Co., Ltd. 47,000 45,336
Formosa Chemicals & Fiber Co., Ltd. 30,000 54,305
Formosa Plastics Corp. 49,000 83,254
Formosa Taffeta Co., Ltd. 101,000 49,290
Fu Sheng Industrial Co., Ltd. 39,000 47,604
Fubon Financial Holding Co., Ltd. 105,000 99,454
Fuh-Hwa Financial Holding Co., Ltd. 103,000 54,559
Giga-Byte Technology Co., Ltd. 53,000 58,077
High Tech Computer Corp. 8,000 70,447
Hon Hai Precision Industry Co., Ltd. 31,000 162,242
Hotai Motor Co., Ltd. 23,000 51,946
* Hsinchu International Bank 82,000 48,061
Hua Nan Financial Holding Co., Ltd. 106,000 81,824
Inventec Corp. 116,000 53,592
King Yuan Electronics Co., Ltd. 72,000 65,347
Kinpo Electronics, Inc. 120,000 51,868
Largan Precision Co., Ltd. 9,000 61,886
Lite-On Technology Corp. 90,000 96,216
* Macronix International Co., Ltd. 328,000 51,347
Media Tek, Inc. 11,000 94,712
Mega Financial Holding Co., Ltd. 411,000 266,291
Mitac International Corp. 59,000 62,809
Nan Ya Plastic Corp. 83,000 113,457
* Nanya Technology Co., Ltd. 76,000 58,135
Nien Hsing Textile Co., Ltd. 56,000 46,776
Optimax Technology Corp. 18,000 43,850
Premier Image Technology Corp. 53,000 58,860
* Q-Run Technology Co., Ltd. 18,000 67,831
Quanta Computer, Inc. 30,000 54,735
* Quanta Display, Inc. 106,000 52,443
Realtek Semiconductor Corp. 55,000 55,689
Shin Kong Financial Holding Co., Ltd. 53,000 53,639
* Silicon Integrated Systems Corp. 121,000 65,653
Siliconware Precision Industries Co., Ltd. 59,000 55,911
SinoPac Holdings Co., Ltd. 176,000 93,686
Sunplus Technology Co., Ltd. 38,000 52,739
Synnex Technology International Corp. 35,000 52,182
* Taichung Commercial Bank 162,000 46,063
Taishin Financial Holdings Co., Ltd. 84,000 72,409
Taiwan Cement Corp. 84,000 47,680
Taiwan Glass Ind. Corp. 57,000 54,285
* Tatung Co., Ltd. 186,000 59,279
Teco Electric & Machinery Co., Ltd. 188,000 54,472
Tung Ho Steel Enterprise Corp. 74,000 47,076
U-Ming Marine Transport Corp. 31,000 48,318
Uni-President Enterprises Corp. 137,000 61,794
* United Microelectronics Corp. 432,000 291,059
* Via Technologies, Inc. 98,000 63,402
* Walsin Lihwa Corp. 125,000 52,139
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* Winbond Electronics Corp. 192,000 61,571
Wistron Corp. 90,000 63,278
Ya Hsin Industrial Co., Ltd. 53,000 49,795
* Yageo Corp. 164,000 61,958
Yang Ming Marine Transport Corp. 50,000 43,860
Yieh Phui Enterprise Co., Ltd. 95,000 48,526
Yuen Foong Yu Paper Manufacturing Co., Ltd. 118,000 44,612
Yulon Motor Co., Ltd. 43,000 49,841
Zyxel Communication Corp. 22,000 55,556
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TOTAL COMMON STOCKS
(Cost $5,813,198) 5,842,298
----------------
INVESTMENT IN CURRENCY -- (0.1%)
* Taiwan Dollar 38,318
----------------
(Cost $38,374)
TOTAL -- TAIWAN
(Cost $5,851,572) 5,880,616
----------------
SOUTH KOREA -- (10.1%)
COMMON STOCKS -- (10.1%)
Amorepacific Corp. 160 41,716
Cheil Industrial, Inc. 2,550 41,952
CJ Corp. 880 62,639
Daegu Bank Co., Ltd. 7,040 54,967
Daelim Industrial Co., Ltd. 1,210 58,030
Daewoo Heavy Industries & Machinery, Ltd. 4,370 35,220
Daewoo International Corp. 2,600 38,205
* Daewoo Securities Co., Ltd. 6,010 39,794
Daewoo Shipbuilding & Marine Engineering Co., Ltd. 2,550 51,337
Daishin Securities Co., Ltd. 2,740 34,914
Dong Bu Insurance Co., Ltd. 4,930 41,721
Dongkuk Steel Mill Co., Ltd. 2,280 37,277
Dongwon Financial Holding Co., Ltd. 2,720 45,612
* Doosan Industrial Development Co., Ltd. 7,950 39,267
Halla Climate Control Corp. 5,810 49,798
Han Wha Corp. 2,150 34,784
Hanil Cement Manufacturing Co., Ltd. 670 37,066
Hanjin Heavy Industry Co., Ltd. 3,240 38,271
Hanjin Shipping Co., Ltd. 1,330 35,428
Hankook Tire Manufacturing Co., Ltd. 3,890 43,913
Hansol Paper Co., Ltd. 3,540 34,384
Hite Brewery Co., Ltd. 540 49,713
* Honam Petrochemical Corp. 1,040 40,762
Hyosung T & C Co., Ltd. 3,310 36,451
Hyundai Department Store Co., Ltd. 930 43,919
Hyundai Development Co. 2,960 62,345
Hyundai Heavy Industries Co., Ltd. 1,610 84,227
Hyundai Hysco 2,980 35,564
Hyundai Mipo Dockyard Co., Ltd. 760 47,806
Hyundai Mobis 910 58,475
Hyundai Motor Co., Ltd. 5,040 282,366
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* Hyundai Securities Co., Ltd. 6,640 44,717
INI Steel Co., Ltd. 2,920 42,935
Kangwon Land, Inc. 2,700 38,754
Kia Motors Corp. 6,090 86,633
Korea Electric Power Corp. 5,670 165,675
* Korea Exchange Bank 4,740 40,169
Korea Gas 1,300 36,370
Korea Reinsurance Co., Ltd. 7,490 41,111
Korean Air Co., Ltd. 2,060 36,578
KT Corp. 2,200 88,666
KT&G Corp. 2,600 91,059
Kumgang Korea Chemical Co., Ltd. 270 45,424
Kumho Industrial Co., Ltd. 2,560 31,983
* LG Card Co., Ltd. 1,550 51,756
LG Chemical Investment, Ltd. 2,720 69,294
LG Chemical, Ltd. 2,220 80,586
LG Engineering & Construction Corp. 1,760 54,734
LG Household & Healthcare Co., Ltd. 1,210 44,479
LG International Corp. 3,450 39,704
LG Investment & Securities Co., Ltd. 5,480 51,039
* LG Phillips LCD Co., Ltd. 1,000 51,871
Lotte Chilsung Beverage Co., Ltd. 40 37,363
Lotte Confectionary Co., Ltd. 60 42,828
* NCsoft Corp. 660 57,542
Nong Shim Co., Ltd. 140 42,190
ORION Corp. 370 53,193
Poong San Corp. 3,160 39,704
Samsung Corp. 8,200 111,905
Samsung Electro-Mechanics Co., Ltd. 2,970 72,134
Samsung Electronics Co., Ltd. 2,330 1,125,257
Samsung Fine Chemicals Co., Ltd. 1,960 37,950
Samsung Fire and Marine Insurance, Ltd. 830 62,868
Samsung Heavy Industries Co., Ltd. 8,470 70,873
Samsung SDI Co., Ltd. 1,330 126,576
Samsung Securities Co., Ltd. 2,590 66,863
Samsung Techwin Co., Ltd. 4,320 39,465
Seoul Bank 3,710 94,138
Shinsegae Co., Ltd. 220 72,910
Sindo Ricoh Co., Ltd. 660 37,117
SK Corp., Ltd. 3,170 164,364
SK Telecom Co., Ltd. 740 131,246
S-Oil Corp. 650 47,869
* Ssangyong Cement Industry Co., Ltd. 27,740 35,152
* Ssangyong Motor Co. 5,460 37,636
Tai Han Electric Wire Co., Ltd. 3,480 38,269
Yuhan Corp. 460 42,429
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TOTAL -- SOUTH KOREA
(Cost $5,521,889) 5,559,301
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MALAYSIA -- (8.7%)
COMMON STOCKS -- (8.7%)
Affin Holdings Berhad 94,600 35,786
AMMB Holdings Berhad 178,100 108,552
Bandar Raya Developments Berhad 100,600 30,916
Berjaya Sports Toto Berhad 63,900 65,517
Bernas Padiberas Nasional Berhad 105,200 35,082
Boustead Holdings Berhad 83,400 38,807
British American Tobacco Berhad 8,700 92,668
CIMB Berhad 38,100 50,115
Commerce Asset Holding Berhad 264,100 323,460
* Digi.Com Berhad 29,600 40,431
Diversified Resources Berhad 88,400 32,067
Edaran Otomobil Nasional Berhad 37,300 33,284
* Fountain View Development Berhad 31,500 3,260
Fraser & Neave Holdings Berhad 29,900 40,505
Gamuda Berhad 83,200 95,338
Genting Berhad 52,200 245,702
Golden Hope Plantations Berhad 50,900 51,142
Guiness Anchor Berhad 27,700 38,249
Highlands and Lowlands Berhad 42,100 42,087
Hong Leong Bank Berhad 52,400 68,922
Hong Leong Credit Berhad 41,900 44,279
Hume Industries (Malaysia) Berhad 30,900 39,602
IGB Corp. Berhad 161,100 46,541
IJM Corp. Berhad 61,000 75,422
IOI Corp. Berhad 67,800 163,996
Island & Peninsular Berhad 41,400 14,846
Johor Port Berhad 82,500 39,060
KFC Holdings (Malaysia) Berhad 41,000 37,102
Kuala Lumpur Kepong Berhad 38,200 64,303
Kulim Malaysia Berhad 30,000 23,816
Landmarks Berhad 163,800 36,551
Lion Diversified Holdings Berhad 83,900 37,448
Lion Industries Corp. Berhad 112,900 37,057
Magnum Corp. Berhad 160,000 84,127
Malakoff Berhad 49,600 95,183
Malayan Banking Berhad 68,300 197,507
Malayan Cement Berhad 260,300 40,369
Malaysia Industrial Development Finance Berhad 120,000 35,950
Malaysian Airlines System Berhad 46,900 43,696
Malaysian Oxygen Berhad 15,600 50,454
Malaysian Plantations Berhad 72,600 46,193
Maxis Communications Berhad 34,400 89,106
* MTD Infraperdana Berhad 237,500 53,120
* Mulpha International Berhad 301,600 39,272
NCB Holdings Berhad 25,000 17,081
* New Straits Times Press (Malaysia) Berhad 51,400 42,987
Oriental Holdings Berhad 45,500 47,827
OSK Holdings Berhad 122,666 35,144
Oyl Industries Berhad 5,600 53,416
Petronas Dagangan Berhad 46,800 51,471
Petronas Gas Berhad 29,500 55,076
Phileo Allied Berhad 53,100 43,815
Plus Expressways Berhad 69,000 55,873
Resorts World Berhad 54,400 137,881
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RHB Capital Berhad 142,900 75,489
Road Builders (Malaysia) Holdings Berhad 123,100 85,762
Selangor Properties Berhad 71,700 37,901
Shell Refining Co. Federation of Malaysia Berhad 17,300 41,864
Sime Darby Berhad 132,500 202,260
SP Setia Berhad 66,100 64,375
Star Publications (Malaysia) Berhad 22,700 41,180
Sunway City Berhad 164,000 86,194
Sunway Holdings, Inc. Berhad 153,200 43,102
TA Enterprise Berhad 108,000 20,730
Telekom Malaysia Berhad 63,000 162,144
Tenaga Nasional Berhad 59,400 160,924
* UEM World Berhad 63,100 10,199
UMW Holdings Berhad 48,700 64,031
Unisem (M) Berhad 194,700 85,489
United Plantations Berhad 37,700 49,541
YTL Corp. Berhad 77,500 107,019
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TOTAL -- MALAYSIA
(Cost $4,966,194) 4,785,665
----------------
INDIA -- (7.9%)
COMMON STOCKS -- (7.9%)
* Adani Exports, Ltd. 30,000 43,676
* Amtek Auto, Ltd. 7,915 28,188
* Apollo Hospitals Enterprise, Ltd. 3,835 28,514
* ASEA Brown Boveri, Ltd. 2,705 80,340
* Asian Paints (India), Ltd. 8,789 77,089
* Aurobindo Pharmaceuticals, Ltd. 7,749 52,046
* Bajaj Auto, Ltd. 4,803 134,588
* Ballarpur Industries, Ltd. 20,947 57,475
* Biocon, Ltd. 8,178 80,332
* Cipla, Ltd. 12,386 81,794
* Dr. Reddy's Laboratories, Ltd. 3,481 57,421
* EIH, Ltd. 10,542 91,577
* Federal Bank, Ltd. 14,152 53,617
* Glaxosmithkline Pharmaceuticals, Ltd. 4,580 79,472
* Great Eastern Shipping Co., Ltd. 25,000 89,203
* GTL, Ltd. 21,995 50,282
* Gujarat Ambuja Cements, Ltd. 7,751 80,300
* HCL Technologies, Ltd. 9,768 81,444
HDFC Banking, Ltd. 7,000 86,123
* Hero Honda Motors, Ltd. Series B 5,591 70,575
* Hindustan Lever, Ltd. 20,000 65,431
* Indian Hotels Co., Ltd. 9,338 142,544
Indian Petrochemicals Corp., Ltd. 13,445 50,126
* IndusInd Bank, Ltd. 42,947 60,287
* Industrial Development Bank of India, Ltd. 27,202 58,056
* Infosys Technologies, Ltd. 4,230 217,558
* Ispat Industries, Ltd. 242,829 114,800
* ITC, Ltd. 2,000 72,979
Jammu & Kashmir Bank, Ltd. 10,431 80,120
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* Jindal Vijaynagar Steel, Ltd. 10,337 74,415
* Larsen & Toubro, Ltd. 3,455 82,678
* LIC Housing Finance, Ltd. 14,000 76,521
* Mahindra & Mahindra, Ltd. 4,915 57,416
* Marico, Ltd. 3,156 19,254
* Maruti Udyog, Ltd. 8,037 85,637
* Micro Inks, Ltd. 822 10,913
* Patni Computer Systems, Ltd. 9,873 78,524
* Ranbaxy Laboratories, Ltd. 8,011 201,563
* Satyam Computer Services, Ltd. 8,178 84,972
* Siemens India, Ltd. 1,788 82,138
* Sterling Biotech, Ltd. 15,647 28,696
* Sun Pharmaceuticals Industries, Ltd. 6,527 78,245
* Tata Chemicals, Ltd. 25,000 101,850
* Tata Consultancy Services 4,017 122,286
* Tata Iron & Steel Co., Ltd. 9,584 79,448
* Tata Motors, Ltd. 18,433 182,247
* Tata Tea, Ltd. 7,500 98,319
* Tata Teleservices Maharashtra, Ltd. 130,389 76,972
* Thermax, Ltd. 2,097 30,999
UTI Bank, Ltd. 14,194 77,658
* Videsh Sanchar Nigam, Ltd. 25,000 118,807
* Wipro, Ltd. 11,486 187,341
* Zee Telefilms, Ltd. Series B 14,148 44,937
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TOTAL -- INDIA
(Cost $4,308,697) 4,347,793
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BRAZIL -- (4.8%)
PREFERRED STOCKS -- (4.6%)
Acesita SA 4,000 52,608
Centrais Electricas de Santa Catarin Celesc Series B 119,000 42,967
Companhia Brasileira de Petroleo Ipiranga SA 4,000 43,893
Confab Industrial SA 39,000 54,385
Coteminas Cia Tecidos Norte de Minas 370,000 31,940
Duratex SA 1,000,000 45,653
* Electropaulo Electrecidade Metropolitana 1,650,000 64,028
Investimentos Itau SA 158,000 322,623
Klabin SA 51,000 84,030
Lojas Americanas SA 3,900,000 71,234
Marcopolo SA 19,600 34,978
Metal Leve SA 500,000 28,325
Metalurgica Gerdau SA 14,300 198,224
* Net Servicos de Comunicacao SA 150,000 40,465
Paranaense de Energia Series B 16,400,000 93,928
* Paranapanema SA 11,800,000 35,016
Perdigao SA NPV 2,800 58,626
Ripasa SA Papel e Celulose 14,000 20,743
Sadia SA 75,000 122,328
Sao Pau Alpargatas SA 400,000 54,783
Siderurgica Belgo-Mineira 80,000 35,194
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Siderurgica de Tubarao 3,000,000 161,361
Telemar Norte Leste SA 8,000 186,927
Telemig Celular Participacoes SA 34,200,000 55,924
Telesp Participacoes SA 4,500,000 85,443
Tim Sul SA Preferred Series B 1,150,000 52,023
Ultrapar Participants 1,200,000 20,673
Uniao des Industrias Petroquimicas SA Series B 34,800 43,040
Usinas Siderurgicas de Minas Gerais SA 17,400 327,780
Weg SA 21,000 63,710
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TOTAL PREFERRED STOCKS
(Cost $2,544,351) 2,532,852
----------------
COMMON STOCKS -- (0.2%)
Souza Cruz Industria e Comercio 5,900 74,194
* Tractebel Energia SA 9,300 45,506
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TOTAL COMMON STOCKS
(Cost $115,480) 119,700
----------------
RIGHTS/WARRANTS -- (0.0%)
* Itausa-Investimentos Itau SA Preferred Rights 06/01/05 356 129
----------------
(Cost $0)
TOTAL -- BRAZIL
(Cost $2,659,831) 2,652,681
----------------
MEXICO -- (4.7%)
COMMON STOCKS -- (4.7%)
Alfa S.A. de C.V. Series A 58,000 333,047
* America Telecom S.A. de C.V. Series A 39,948 120,750
* Carso Global Telecom S.A. de C.V. Telecom Series A1 116,900 207,286
Consorcio Ara S.A. 21,700 70,576
Controladora Comercial Mexicana S.A. de C.V. Series B 49,400 53,102
* Corporacion Geo S.A. de C.V. Series B 20,000 47,316
Embotelladora Arca S.A. de C.V., Mexico 31,100 63,975
* Empresas ICA Sociedad Controladora S.A. de C.V. 188,500 74,469
Gruma S.A. de C.V. Series B 24,800 52,975
Grupo Carso S.A. de C.V. Series A-1 20,400 35,611
Grupo Cementos de Chihuahua S.A. de C.V. 9,000 15,959
Grupo Financiero del Norte S.A. Series C 38,697 257,723
Grupo Industrial Bimbo S.A. de C.V. Series A 58,500 159,091
Grupo Modelo S.A. de C.V. Series C 44,100 133,706
Industrias Penoles S.A. de C.V. 12,000 59,314
* Industrias S.A. de C.V. Series B 21,900 45,473
Kimberly Clark de Mexico S.A. de C.V. Series A 51,600 164,267
Nueva Grupo Mexico S.A. de C.V. Series B 62,722 296,197
* Organizacion Soriana S.A. de C.V. Series B 18,900 71,888
Vitro S.A. de C.V. 40,000 31,201
Wal-Mart de Mexico S.A. de C.V. Series V 79,000 299,398
----------------
TOTAL -- MEXICO
(Cost $2,502,647) 2,593,324
----------------
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TURKEY -- (4.1%)
COMMON STOCKS -- (4.1%)
Akbank T.A.S. 48,977 261,432
Akcansa Cimento Sanayi ve Ticaret A.S. 11,097 37,789
Aksa Akrilik Kimya Sanayii A.S. 2,060 18,137
Aksigorta A.S. 9,597 36,850
* Alarko Holding A.S. 1,134 36,592
Anadolu Cam Sanayii A.S. 8,719 31,016
Anadolu Efes Biracilik ve Malt Sanayi A.S. 5,121 101,823
Anadolu Hayat Sigorta A.S. 11,250 16,173
Arcelik A.S 7,913 41,501
Aygaz A.S. 12,539 25,605
* Beko Elektronik A.S. 22,842 37,843
Bolu Cimento Sanayii A.S. 19,387 24,363
Cimsa Cimento Sanayi Ve Ticaret A.S. 5,157 21,696
* Dogan Sirketler Grubu Holding A.S. 50,162 115,296
* Dogan Yayin Holding A.S. 13,237 30,130
Eczacibasi Ilac Sanayi ve Ticaret A.S. 11,476 27,658
Enka Insaat ve Sanayi A.S. 1,752 19,068
Eregli Demir ve Celik Fabrikalari Turk A.S. 27,548 110,609
* Finansbank A.S. 12,789 45,319
Ford Otomotiv Sanayi A.S. 7,203 44,768
Hurriyet Gazetecilik ve Matbaacilik A.S. 8,218 15,720
Ihlas Holding A.S. 34,364 23,090
Koc Holding A.S. Series B 25,353 107,414
Migros Turk A.S. 13,301 102,859
* Tansas Perakende Magazacilik Ticaret A.S. 24,872 34,089
Tofas Turk Otomobil Fabrikasi A.S. 21,405 29,553
Trakya Cam Sanayii A.S. 13,095 41,651
Tupras-Turkiye Petrol Rafinerileri A.S. 8,087 101,896
* Turk Dis Ticaret Bankasi A.S. 22,297 70,626
Turk Ekonomi Bankasi A.S. 3,450 21,880
Turk Sise ve Cam Fabrikalari A.S. 15,612 37,472
* Turkiye Garanti Bankasi A.S. 38,615 145,736
Turkiye Is Bankasi A.S. 37,182 200,827
Ulker Gida Sanayi ve Ticaret A.S. 9,000 25,789
* Vestel Elektronik Sanayi ve Ticaret A.S. 23,341 81,081
* Yapi ve Kredi Bankasi A.S. 34,278 130,265
* Zorlu Enerji Elektrik Uretim A.S. 6,925 20,705
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TOTAL -- TURKEY
(Cost $2,383,599) 2,274,321
----------------
ISRAEL -- (3.5%)
COMMON STOCKS -- (3.5%)
Africa-Israel Investments, Ltd. 1,298 47,978
Alony Hetz Properties & Investments, Ltd. 14,933 39,221
American Israeli Paper Mills, Ltd. 257 11,872
Azorim Investment Development & Construction Co., Ltd. 4,397 42,882
Bank Hapoalim, Ltd. 40,000 140,427
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Bank Leumi Le-Israel 49,500 140,062
* Bezeq Israeli Telecommunication Corp., Ltd. 38,500 47,553
Blue Square Israel, Ltd. 2,400 23,240
CLAL Industries, Ltd. 3,500 16,119
CLAL Insurance, Ltd. 799 16,800
Delek Automotive Systems, Ltd. 6,335 46,190
Delek Drilling 77,506 38,201
Delta Galil Industries, Ltd. 4,396 36,677
Direct Insurance - I.D.I. Insurance Co., Ltd. 13,144 38,337
Discount Investment Corp 1,500 36,717
Elbit Medical Imaging, Ltd. 2,691 51,795
Elbit Systems, Ltd. 3,356 81,765
Electra Consumer Products 3,258 27,682
Electra Israel, Ltd. 560 41,865
* Elron Electronic Industries, Ltd. 3,742 53,826
FMS Enterprises Migun, Ltd. 924 42,227
Formula Systems (1985), Ltd. 2,164 31,369
Frutarom Industries (1995), Ltd. 5,210 40,750
IDB Development Corp., Ltd. Series A 3,001 92,135
Israel Chemicals, Ltd. 14,000 44,806
Knafaim-Arkia Holdings, Ltd. 1,500 16,997
M.A.Industries, Ltd. 21,049 127,341
Migdal Insurance Holdings 28,827 40,739
* Orckit Communications, Ltd. 730 17,423
Ormat Industries, Ltd. 8,577 42,323
Osem Investment, Ltd. 4,373 37,266
Property and Building Corp., Ltd. 459 41,575
* RADVision, Ltd. 2,629 34,792
* Retalix, Ltd. 1,939 46,547
Scitex Corp., Ltd. 6,201 42,079
Strauss Elite, Ltd. 4,680 43,903
Suny Electronic Inc., Ltd. 5,749 40,132
Super-Sol, Ltd. Series B 22,075 59,531
Tadiran Communications, Ltd. 1,190 41,448
* Union Bank of Israel, Ltd. 10,728 39,183
* United Mizrahi Bank, Ltd. 11,400 54,008
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TOTAL -- ISRAEL
(Cost $1,925,631) 1,955,783
----------------
THAILAND -- (3.2%)
COMMON STOCKS -- (3.2%)
Advance Info Service Public Co., Ltd. (Foreign) 50,100 115,293
Aromatics (Thailand) Public Co., Ltd. (Foreign) 33,000 43,047
Bangkok Expressway Public Co., Ltd. (Foreign) 58,500 37,795
* Bank of Ayudhya Public Co., Ltd. (Foreign) 197,200 61,640
Banpu Public Co., Ltd. (Foreign) 19,000 70,613
BEC World Public Co., Ltd. (Foreign) 109,400 33,388
Central Pattana Public Co., Ltd. (Foreign) 179,700 38,479
Charoen Pokphand Foods Public Co., Ltd. (Foreign) 393,300 41,431
Delta Electronics (Thailand) Public Co., Ltd. (Foreign) 82,300 30,992
Hana Microelectronics Public Co., Ltd. (Foreign) 167,316 79,890
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* International Broadcasting Corp. Public Co., Ltd. (Foreign) 68,000 37,824
* K.R. Precision Public Co., Ltd. (Foreign) 610,200 57,671
Krung Thai Bank Public Co., Ltd. (Foreign) 634,200 143,604
MBK Development Public Co., Ltd. (Foreign) 31,400 37,482
National Finance and Securities Public Co., Ltd. (Foreign) 174,000 57,814
Picnic Gas & Engineering Public Co., Ltd. (Foreign) 163,400 45,043
Ratchaburi Electricity Generating Holding Public Co., Ltd. (Foreign) 66,500 63,832
Regional Container Lines Public Co., Ltd. (Foreign) 56,900 43,414
Shin Corporation Public Co., Ltd. (Foreign) 77,800 70,849
* Shinawatra Satellite Public Co., Ltd. (Foreign) 217,700 90,016
Siam City Cement Public Co., Ltd. (Foreign) 6,000 41,940
Siam Commercial Bank Public Co., Ltd. (Foreign) 146,000 171,585
Siam Makro Public Co., Ltd. (Foreign) 28,900 44,456
* Telecomasia Corp. Public Co., Ltd. (Foreign) 239,700 50,736
* Thai Military Bank Public Co., Ltd. (Foreign) 451,500 45,117
* Thai Olefins Public Co., Ltd. (Foreign) 35,000 52,547
Thai Plastic & Chemicals Public Co., Ltd. (Foreign) 76,200 29,257
Thai Union Frozen Products Public Co., Ltd. (Foreign) 56,900 39,212
* TPI Polene Public Co., Ltd. (Foreign) 55,900 35,428
Vinythai Public Co., Ltd. (Foreign) 312,600 78,477
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TOTAL -- THAILAND
(Cost $1,891,826) 1,788,872
----------------
HUNGARY -- (3.0%)
COMMON STOCKS -- (3.0%)
* Danubius Hotel & Spa RT 157 3,537
Delmagyarorszagi Aramszolgaltato Demasz RT 313 20,886
Egis RT 618 53,119
Gedeon Richter, Ltd. 2,247 292,831
* Magyar Olay-Es Gazipari RT 6,089 452,772
Matav RT 52,484 203,971
Orszagos Takerekpenztar es Keresdelmi Bank RT 16,799 520,894
* Tiszai Vegyi Kombinat RT 3,750 105,494
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TOTAL -- HUNGARY
(Cost $1,863,310) 1,653,504
----------------
POLAND -- (2.8%)
COMMON STOCKS -- (2.8%)
* Agora SA 3,178 63,950
Bank Polska Kasa Opieki - Grupa Pekao SA 6,765 272,547
Bank Zackodni WDK SA 2,851 77,714
Big Bank Gdanski SA 37,000 34,182
* Cersanit-Krasnystaw SA 571 18,241
Debica SA 1,550 38,014
* Farmacol SA 600 5,348
* Impexmetal SA 1,927 23,227
Netia Holdings SA 40,092 45,153
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Polski Koncern Naftowy Orlen SA 40,803 553,322
* Prokom Software SA 3,247 91,875
Telekomunikacja Polska SA 46,140 255,346
Zaklady Metali Lekkich Kety SA 1,384 45,004
----------------
TOTAL -- POLAND
(Cost $1,669,401) 1,523,923
----------------
INDONESIA -- (2.0%)
COMMON STOCKS -- (2.0%)
PT Astra Agro Lestari Tbk 98,500 37,731
PT Astra International Tbk 130,000 159,423
PT Bank Central Asia Tbk 754,500 274,634
PT Bank Danamon Indonesia Tbk 190,000 96,116
PT Bank NISP Tbk 437,500 43,034
PT Berlian Laju Tanker Tbk 551,000 54,361
PT Citra Marga Nusaphala Persada 377,000 36,805
PT Gudang Garam Tbk 91,000 123,114
PT International Nickel Indonesia Tbk 48,500 70,797
PT Kalbe Farma Tbk 628,500 51,297
* PT Kawasan Industry Jababeka Tbk 2,528,500 33,092
PT Ramayana Lestari Sentosa Tbk (Foreign) 369,000 31,791
PT Semen Gresik Tbk 30,500 51,501
PT Tempo Scan Pacific Tak 14,500 10,626
PT Unilever Tbk 118,500 56,868
----------------
TOTAL -- INDONESIA
(Cost $1,155,939) 1,131,190
----------------
CHILE -- (1.8%)
COMMON STOCKS -- (1.8%)
Banco de Credito e Inversiones SA Series A 2,355 48,008
CAP SA (Compania de Aceros del Pacifico) 13,270 147,192
Cementos Bio-Bio SA 22,587 50,107
Consumidores de Gas de Santiago SA 10,736 50,577
COPEC (Cia de Petroleos de Chile) 22,710 184,014
Cristalerias de Chile SA 5,491 50,795
Empresa Nacional de Telecomunicaciones SA 15,654 151,378
Empresas CMPC SA 2,100 45,687
* Empresas Iansa SA 500,000 23,983
Lan Airlines SA 7,071 51,844
* Madeco Manufacturera de Cobre SA 419,040 37,902
Maderas y Sinteticos SA 77,758 43,024
Parque Arauco SA 35,000 20,385
Sud Americana de Vapores SA 30,062 65,660
Vina de Concha y Toro SA 28,624 42,856
----------------
TOTAL -- CHILE
(Cost $1,070,046) 1,013,412
----------------
14
[Enlarge/Download Table]
PHILIPPINES -- (1.0%)
COMMON STOCKS -- (1.0%)
Ayala Land, Inc. 357,000 50,186
Bank of the Philippine Island 130,200 115,386
Equitable PCI Bank, Inc. 44,300 42,161
* Filinvest Land, Inc. 1,408,000 36,605
* First Philippines Holdings Corp. 46,500 39,159
* International Container Terminal Services, Inc. 176,000 24,133
* Megaworld Properties & Holdings, Inc. 1,195,000 30,150
Metro Bank and Trust Co. 86,300 46,515
Petron Corp. 811,000 48,946
* Pilipino Telephone Corp. 862,000 50,400
SM Prime Holdings, Inc. 497,000 69,036
----------------
TOTAL -- PHILIPPINES
(Cost $566,505) 552,677
----------------
FACE
AMOUNT VALUE+
---------------- ----------------
(000)
TEMPORARY CASH INVESTMENTS -- (4.7%)
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $2,635,000 FNMA Notes 2.95%, 11/14/07, valued
at $2,631,706) to be repurchased at $2,592,208 $ 2,592 2,592,000
----------------
(Cost $2,592,000)
TOTAL INVESTMENTS - (100.0%)
(Cost $56,427,878) $ 55,333,936
----------------
----------
+ Securities have been fair valued. See Note B to Financial
Statements.
* Non-Income Producing Securities.
See accompanying Notes to Financial Statements.
15
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULES OF INVESTMENTS
MAY 31, 2005
DFA ONE-YEAR FIXED INCOME PORTFOLIO
(UNAUDITED)
[Enlarge/Download Table]
SHARES VALUE+
------ ------
Investment in The DFA One-Year Fixed Income Series of
The DFA Investment Trust Company 209,400,816 $ 2,091,914,152
-----------------
Total Investments (100%) (Cost $2,090,344,366) $ 2,091,914,152
=================
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
(UNAUDITED)
[Enlarge/Download Table]
SHARES VALUE+
------ ------
Investment in The DFA Two-Year Global Fixed Income Series of
The DFA Investment Trust Company 183,289,128 $ 1,832,891,280
-----------------
Total Investments (100%) (Cost $1,836,200,112) $ 1,832,891,280
=================
----------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
31
DFA FIVE-YEAR GOVERNMENT PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
[Enlarge/Download Table]
FACE
AMOUNT VALUE+
------ ------
(000)
AGENCY OBLIGATIONS -- (99.4%)
Federal Farm Credit Bank
3.625%, 10/24/08 $ 83,000 $ 82,189,339
3.650%, 12/17/08 16,000 15,846,656
3.700%, 12/17/08 56,700 56,064,847
3.900%, 02/24/09 6,000 5,989,512
3.550%, 04/06/09 22,595 22,271,349
4.125%, 04/15/09 16,500 16,599,182
4.375%, 06/24/09 20,570 20,880,977
Federal Home Loan Bank
5.800%, 09/02/08 53,300 56,369,547
5.865%, 09/02/08 2,670 2,833,212
3.625%, 11/14/08 24,000 23,782,632
3.625%, 11/14/08 21,000 20,809,803
3.500%, 02/13/09 42,880 42,266,087
3.000%, 04/15/09 39,400 38,101,494
4.250%, 05/15/09 27,500 27,800,685
3.750%, 08/18/09 39,400 39,170,219
3.500%, 11/03/09 58,000 56,788,322
4.000%, 11/13/09 15,000 14,979,420
6.500%, 11/13/09 5,000 5,506,205
3.875%, 01/15/10 23,300 23,208,711
Tennessee Valley Authority
5.375%, 11/13/08 76,445 79,924,241
---------------
TOTAL AGENCY OBLIGATIONS
(Cost $656,957,382) 651,382,440
---------------
TEMPORARY CASH INVESTMENTS -- (0.6%)
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $4,067,000 FHLMC Notes 4.00%, 09/22/09, valued
at $4,072,084) to be repurchased at $4,011,322 (Cost $4,011,000) 4,011 4,011,000
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $660,968,382) $ 655,393,440
===============
----------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
32
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
[Download Table]
FACE
AMOUNT VALUE+
--------------- ---------------
(000)
UNITED STATES -- (30.0%)
BONDS -- (18.8%)
Bayerische Landesbank
3.200%, 04/15/09 $ 10,000 $ 9,637,650
Citigroup, Inc.
4.250%, 07/29/09 13,575 13,591,195
General Electric Capital Corp.
3.250%, 06/15/09 33,850 32,657,363
Gillette Co.
3.800%, 09/15/09 34,185 33,784,249
Pfizer, Inc.
5.625%, 04/15/09 18,300 19,243,109
Procter & Gamble Co.
6.875%, 09/15/09 22,579 24,991,002
Toyota Motor Credit Corp.
2.875%, 08/01/08 6,000 5,819,364
US Bank NA
3.400%, 03/02/09 30,250 29,423,510
Wal-Mart Stores, Inc.
6.875%, 08/10/09 33,590 37,026,694
Wells Fargo & Co.
3.125%, 04/01/09 32,090 30,972,562
Westdeutsche Landesbank
6.050%, 01/15/09 32,200 34,017,239
---------------
TOTAL BONDS
(Cost $274,546,786) 271,163,937
---------------
AGENCY OBLIGATIONS (11.2%)
Federal Farm Credit Bank
4.125%, 04/15/09 17,500 17,605,192
Federal Home Loan Bank
4.000%, 11/13/09 6,000 5,991,768
3.875%, 01/15/10 33,000 32,870,706
Federal Home Loan Mortgage
Corporation
5.750%, 03/15/09 16,000 17,016,320
@3.750%, 07/15/09 19,100 24,498,246
6.625%, 09/15/09 21,000 23,167,746
Federal National Mortgage Association
5.250%, 01/15/09 10,500 10,952,329
3.250%, 02/15/09 30,000 29,264,340
---------------
TOTAL AGENCY OBLIGATIONS
(Cost $162,865,463) 161,366,647
---------------
TOTAL -- UNITED STATES
(Cost $437,412,249) 432,530,584
---------------
CANADA -- (13.2%)
BONDS -- (13.2%)
BP Canada Finance
3.625%, 01/15/09 11,394 11,268,837
^British Columbia, Province of
6.250%, 12/01/09 42,600 37,831,936
^Canada Housing Trust
4.650%, 09/15/09 $ 47,900 $ 39,921,285
^Canada, Goverment of
4.250%, 09/01/09 35,800 29,542,415
^Ontario, Province of
6.200%, 11/19/09 42,500 37,630,378
^Toyota Credit Canada
4.250%, 06/17/09 27,600 22,509,788
4.750%, 06/29/09 14,300 11,860,706
---------------
TOTAL -- CANADA
(Cost $188,256,513) 190,565,345
---------------
SUPRANATIONAL ORGANIZATION
OBLIGATIONS -- (11.7%)
BONDS -- (11.7%)
African Development Bank
3.250%, 08/01/08 15,300 15,067,623
Asian Development Bank
5.948%, 05/20/09 34,000 36,380,238
European Investment Bank
3.375%, 03/16/09 33,435 32,886,031
#4.000%, 04/15/09 10,200 1,440,961
Inter-American Development Bank
5.375%, 11/18/08 9,000 9,456,057
^5.625%, 06/29/09 32,360 27,858,861
International Finance Corp.
3.750%, 06/30/09 15,035 14,944,835
#Oresundsbro Konsortiet
6.000%, 04/20/09 9,000 1,353,524
World Bank (International Bank for
Reconstruction & Development)
5.125%, 03/13/09 27,300 28,483,455
---------------
TOTAL -- SUPRANATIONAL
ORGANIZATION OBLIGATIONS
(Cost $167,060,999) 167,871,585
---------------
GERMANY -- (8.6%)
BONDS -- (8.6%)
@ Bundesrepublik Deutschland
5.375%, 01/04/10 14,000 19,262,197
Deutsche Postbank AG
5.500%, 02/17/09 8,000 8,420,760
KFW-Kreditanstalt Fuer
Wiederaufbau AG
#3.750%, 01/28/09 15,560 2,174,701
@3.500%, 04/17/09 29,000 36,938,422
^ Landesbank Baden-Wuerttemberg
FoerderBank
4.500%, 01/26/09 19,800 16,293,324
^ Landwirtschaftliche RentenBank
4.250%, 09/01/09 50,100 41,031,549
---------------
TOTAL -- GERMANY
(Cost $127,888,528) 124,120,953
---------------
33
[Enlarge/Download Table]
FACE
AMOUNT VALUE+
--------------- ---------------
(000)
FRANCE -- (8.2%)
BONDS -- (8.2%)
Dexia Credit Local
5.500%, 01/21/09 $ 20,115 $ 21,113,207
@ERAP
3.750%, 04/25/10 14,200 18,285,610
@French Republic
3.000%, 01/12/10 28,000 35,012,163
Total Capital SA
3.500%, 01/05/09 30,900 30,375,658
@UNEDIC
3.000%, 02/02/10 10,000 12,476,127
---------------
TOTAL -- FRANCE
(Cost $121,210,022) 117,262,765
---------------
NETHERLANDS -- (7.8%)
BONDS -- (7.8%)
Bank Nederlandse Gemeenten NV
4.375%, 09/15/09 15,000 15,187,005
@Dutch Government Bond
3.000%, 01/15/10 32,000 40,025,399
Nederlandse Waterschapsbank NV
2.750%, 12/30/08 19,300 18,514,027
^Rabobank
4.250%, 01/05/09 47,200 38,472,512
---------------
TOTAL -- NETHERLANDS
(Cost $114,995,012) 112,198,943
---------------
SWEDEN -- (6.7%)
BONDS -- (6.7%)
Kommuninvest I Sverige AB
#4.100%, 05/11/09 156,000 22,049,881
4.000%, 01/21/10 10,000 9,990,450
#Stockholm, Sweden
3.375%, 03/08/10 178,000 24,594,522
#Swedish Government
4.000%, 12/01/09 277,000 39,378,117
---------------
TOTAL BONDS
(Cost $101,229,465) 96,012,970
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Swedish Krona
(Cost $703,044) 695,396
---------------
TOTAL -- SWEDEN
(Cost $101,932,509) 96,708,366
---------------
UNITED KINGDOM -- (2.8%)
BONDS (2.8%)
@Network Rail Finance P.L.C.
3.125%, 03/30/09
(Cost $41,539,716) 32,000 40,157,477
---------------
AUSTRIA -- (2.7%)
BONDS -- (2.7%)
@Asfinag
3.250%, 10/19/09
(Cost $40,349,337) $ 30,700 $ 38,738,010
---------------
NORWAY -- (2.4%)
BONDS -- (2.4%)
Eksportfinans ASA
4.375%, 07/15/09
(Cost $34,326,502) 34,000 34,334,118
---------------
SPAIN -- (2.3%)
BONDS -- (2.3%)
Institut de Credito Oficial
3.875%, 07/15/09
(Cost $32,819,215) 33,045 32,964,436
---------------
FINLAND -- (2.2%)
BONDS -- (2.2%)
Republic of Finland
3.250%, 05/15/09
(Cost $31,752,973) 32,700 32,087,725
---------------
EMU -- (0.3%)
INVESTMENT IN CURRENCY -- (0.3%)
*Euro Currency
(Cost $4,735,333) 4,631,804
---------------
TEMPORARY CASH
INVESTMENTS -- (1.1%)
Repurchase Agreement, PNC Capital
Markets, Inc. 2.89%, 06/01/05 (Collateralized
by $15,773,000 FNMA Notes 2.95%, 11/14/07, valued
at $15,753,284) to be repurchased at $15,521,246
(Cost $15,520,000) 15,520 15,520,000
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,459,798,908) $ 1,439,692,111
===============
----------
+ See Note B to Financial Statements.
^ Denominated in Canadian Dollars.
@ Denominated in Euro Currency.
# Denominated in Swedish Krona.
* Non-Income Producing Securities.
See accompanying Notes to Financial Statements.
34
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
[Enlarge/Download Table]
FACE
AMOUNT VALUE+
--------------- ---------------
(000)
U.S. TREASURY OBLIGATIONS -- (33.7%)
U.S. Treasury Bonds
11.250%, 02/15/15 $ 5,000 $ 7,875,000
10.625%, 08/15/15 6,000 9,266,483
9.875%, 11/15/15 6,000 8,931,564
9.250%, 02/15/16 9,000 12,981,798
7.250%, 05/15/16 6,000 7,639,920
7.500%, 11/15/16 4,000 5,211,720
9.000%, 11/15/18 8,200 12,176,041
U.S. Treasury Notes
5.625%, 05/15/08 7,000 7,385,546
5.500%, 05/15/09 5,000 5,334,375
6.000%, 08/15/09 8,000 8,702,496
6.500%, 02/15/10 6,600 7,373,441
5.750%, 08/15/10 3,600 3,934,123
5.000%, 02/15/11 16,700 17,737,220
5.000%, 08/15/11 17,000 18,112,310
4.875%, 02/15/12 3,000 3,185,625
3.875%, 02/15/13 10,300 10,305,634
---------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $139,245,969) 146,153,296
---------------
AGENCY OBLIGATIONS -- (65.6%)
Federal Farm Credit Bank
6.450%, 10/07/09 2,000 2,193,534
7.160%, 05/19/10 3,000 3,412,149
4.180%, 09/22/10 7,000 7,024,493
6.700%, 11/22/10 2,000 2,254,942
6.135%, 12/13/10 4,000 4,394,516
5.750%, 01/18/11 9,000 9,739,062
6.000%, 03/07/11 9,000 9,849,681
6.740%, 04/11/11 1,000 1,133,521
4.800%, 05/24/11 3,300 3,411,072
6.300%, 06/06/11 2,800 3,126,774
4.250%, 07/11/11 10,000 10,043,750
4.300%, 11/23/11 5,500 5,532,835
6.260%, 12/02/11 2,000 2,232,884
4.500%, 03/14/12 3,000 3,049,818
4.480%, 08/24/12 4,000 4,059,760
6.280%, 11/26/12 3,000 3,388,071
4.150%, 05/15/13 4,000 3,970,852
3.880%, 07/08/13 4,000 3,894,956
8.160%, 09/30/14 3,615 4,666,028
4.700%, 12/10/14 4,000 4,109,316
4.375%, 02/17/15 6,000 6,008,682
Federal Home Loan Bank
6.045%, 05/22/08 1,000 1,061,519
5.945%, 07/28/08 6,000 6,370,182
5.915%, 08/25/08 $ 3,000 $ 3,186,057
5.800%, 09/02/08 3,000 3,172,770
5.550%, 11/17/08 5,000 5,269,915
5.315%, 12/23/08 10,000 10,475,260
5.545%, 02/17/09 3,000 3,172,107
5.950%, 03/16/09 5,550 5,954,800
5.863%, 04/22/09 9,000 9,643,293
6.730%, 06/22/09 2,500 2,768,213
6.500%, 08/14/09 3,000 3,283,785
6.500%, 11/13/09 9,000 9,911,169
3.875%, 02/12/10 3,000 2,980,338
7.375%, 02/12/10 2,080 2,373,110
7.625%, 05/14/10 3,020 3,502,484
4.125%, 08/13/10 9,000 8,989,893
6.625%, 11/15/10 1,000 1,119,631
4.500%, 05/13/11 2,045 2,081,773
7.200%, 06/14/11 3,000 3,499,623
5.750%, 08/15/11 8,000 8,668,776
5.750%, 05/15/12 16,300 17,831,352
4.500%, 11/15/12 8,000 8,164,760
3.875%, 06/14/13 3,600 3,531,406
4.500%, 09/16/13 11,000 11,207,350
5.250%, 06/18/14 14,000 14,974,904
4.500%, 11/14/14 4,000 4,046,560
Tennessee Valley Authority
5.375%, 11/13/08 8,000 8,364,104
5.625%, 01/18/11 11,000 11,775,775
6.000%, 03/15/13 9,000 10,048,968
---------------
TOTAL AGENCY OBLIGATIONS
(Cost $271,774,185) 284,926,573
---------------
TEMPORARY CASH
INVESTMENTS -- (0.7%)
Repurchase Agreement, PNC Capital Markets, Inc.
2.89%, 06/01/05 (Collateralized by $2,910,000
FHLMC Notes 4.00%, 09/22/09, valued at $2,913,638)
to be repurchased at $2,870,230 (Cost $2,870,000) 2,870 2,870,000
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $413,890,154) $ 433,949,869
===============
----------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
35
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
[Download Table]
FACE
AMOUNT VALUE+
--------------- ---------------
(000)
MUNICIPAL BONDS -- (65.3%)
ALABAMA -- (2.2%)
Alabama State Department of
Dock Facilities Revenue Bonds
6.000%, 10/01/08 $ 1,000 $ 1,092,960
Alabama State Federal Highway
Finance Authority Series A
5.000%, 03/01/09 4,000 4,270,920
Alabama Water Pollution Control
Authority Revenue Bonds
5.000%, 08/15/08 2,160 2,291,458
City of Huntsville, Alabama
General Obligations
4.500%, 08/01/07 1,000 1,032,820
Jefferson County, Alabama Series A
General Obligations
5.000%, 04/01/08 1,300 1,370,291
---------------
TOTAL -- ALABAMA
(Cost $10,226,944) 10,058,449
---------------
ARIZONA -- (1.5%)
Arizona State Transportation Board
Revenue Bonds
5.250%, 07/01/08 3,000 3,207,000
City of Scottsdale, Arizona General
Obligations
5.000%, 07/01/08 2,250 2,386,755
Pima County, Arizona General
Obligations
5.100%, 07/01/07 1,000 1,045,060
---------------
TOTAL -- ARIZONA
(Cost $6,691,628) 6,638,815
---------------
ARKANSAS -- (1.6%)
Fort Smith, Arkansas Water & Sewer
Redevelopment
5.000%, 10/01/09 2,850 3,067,626
State of Arkansas General Obligations
5.500%, 08/01/09 3,885 4,255,746
---------------
TOTAL -- ARKANSAS
(Cost $7,393,869) 7,323,372
---------------
COLORADO -- (0.2%)
Jefferson County, Colorado School
District General Obligations
5.500%, 12/15/06
(Cost $1,046,380) 1,000 1,039,930
---------------
CONNECTICUT -- (3.9%)
City of Stamford, Connecticut General
Obligations
5.000%, 07/15/09 2,000 2,159,400
Connecticut State General Obligations
5.000%, 12/15/09 4,000 4,320,840
Connecticut State Special Obligation
Rate Reduction
5.000%, 06/30/09 5,000 5,368,850
State of Connecticut Health
Education Refunding Bonds
4.500%, 03/15/09 $ 5,600 $ 5,902,176
---------------
TOTAL -- CONNECTICUT
(Cost $17,972,158) 17,751,266
---------------
DELAWARE -- (0.5%)
Delaware Transportation Authority
Series B Revenue Bonds
5.250%, 07/01/07 1,000 1,048,270
State of Delaware Series B
General Obligations
5.000%, 05/01/07 1,000 1,040,830
---------------
TOTAL -- DELAWARE
(Cost $2,094,262) 2,089,100
---------------
FLORIDA -- (2.8%)
Florida State Board of Education
Series C General Obligations
4.000%, 06/01/09 4,000 4,146,480
Florida State Board of Education
Series H General Obligations
5.000%, 06/01/08 2,000 2,117,860
Gainesville, Florida Utility System
Revenue Bonds
5.000%, 10/01/09 4,000 4,310,480
Jacksonville, Florida Excise Taxes
Revenue Bonds
5.250%, 10/01/07 1,000 1,053,410
Tallahassee, Florida Energy Systems
2.750%, 10/01/05 1,000 999,990
---------------
TOTAL -- FLORIDA
(Cost $12,872,890) 12,628,220
---------------
GEORGIA -- (1.9%)
State of Georgia Finance & Investment
Committee
5.750%, 09/01/07 1,000 1,063,020
State of Georgia General Obligations
5.250%, 08/01/07 1,000 1,050,350
6.700%, 08/01/08 2,000 2,227,240
6.250%, 04/01/09 2,000 2,235,600
5.800%, 11/01/09 2,010 2,239,964
---------------
TOTAL -- GEORGIA
(Cost $8,877,355) 8,816,174
---------------
HAWAII -- (0.9%)
Honolulu, Hawaii General Obligations
5.000%, 03/01/10 2,000 2,164,540
State of Hawaii General Obligations
5.000%, 04/01/08 2,000 2,109,820
---------------
TOTAL -- HAWAII
(Cost $4,291,594) 4,274,360
---------------
36
[Download Table]
FACE
AMOUNT VALUE+
--------------- ---------------
(000)
ILLINOIS -- (2.8%)
Central Lake County, Illinois General
Obligations
6.000%, 02/01/08 $ 1,000 $ 1,075,340
Chicago Metropolitan Water Reclamation
District General Obligations
5.500%, 12/01/08 2,000 2,163,320
Chicago, Illinois Public Building
Commission Revenue Bonds
5.000%, 03/01/08 1,000 1,051,460
Chicago, Illinois Tax Increment
5.500%, 01/01/07 970 1,008,907
Du Page, Cook & Will Counties Community
College District General Obligations
5.000%, 06/01/08 2,175 2,299,323
Du Page, Illinois Water Commission
General Obligations
5.000%, 03/01/07 1,000 1,036,290
State of Illinois First Series General
Obligations
5.250%, 04/01/07 600 625,008
State of Illinois General Obligations
5.500%, 04/01/09 3,000 3,263,520
---------------
TOTAL -- ILLINOIS
(Cost $12,696,487) 12,523,168
---------------
INDIANA -- (0.9%)
Indianapolis, Indiana Local Improvement
Revenue Bonds
6.500%, 01/01/08 1,000 1,084,620
Ivy Technical State College
Revenue Bonds
5.000%, 07/01/08 1,000 1,058,060
Logansport Multi-Purpose School
Building Corp. Revenue Bonds
4.250%, 07/05/08 1,000 1,036,290
Valparaiso, Indiana School Building Corp.
4.500%, 01/05/07 1,000 1,024,020
---------------
TOTAL -- INDIANA
(Cost $4,246,037) 4,202,990
---------------
IOWA -- (0.9%)
Des Moines, Iowa General Obligations
5.000%, 06/01/09
(Cost $3,918,966) 3,680 3,943,635
---------------
KANSAS -- (0.7%)
Johnson County, Kansas General
Obligations
5.250%, 09/01/07 1,000 1,052,000
Kansas State Development Finance
Authority Revenue Bonds
5.000%, 10/01/07 1,000 1,047,590
Wyandotte County, Kansas City, Kansas
5.000%, 09/01/07 1,000 1,045,940
---------------
TOTAL -- KANSAS
(Cost $3,148,181) 3,145,530
---------------
KENTUCKY -- (0.7%)
Kentucky State Turnpike Authority
Revenue Bonds
5.500%, 07/01/08
(Cost $3,274,721) $ 3,000 $ 3,221,610
---------------
LOUISIANA -- (0.9%)
Calcasieu Parish, Louisiana General
Obligations
4.600%, 08/15/06 700 714,077
New Orleans, Louisiana Certificates of
Indebtedness General Obligations
5.000%, 03/01/08 1,000 1,049,840
Shreveport, Louisiana Series A
Certificates of Indebtedness
5.000%, 10/01/07 1,000 1,046,900
St. Tammany Parish, Louisiana
6.000%, 04/01/07 1,000 1,054,380
---------------
TOTAL -- LOUISIANA
(Cost $3,888,667) 3,865,197
---------------
MARYLAND -- (1.9%)
State of Maryland General Obligations
5.000%, 07/15/08 2,000 2,127,920
State of Maryland General Obligations
5.250%, 02/01/09 5,000 5,406,950
Washington Suburban Sanitation District
General Obligations
5.250%, 06/01/08 1,000 1,069,610
---------------
TOTAL -- MARYLAND
(Cost $8,608,259) 8,604,480
---------------
MASSACHUSETTS -- (0.7%)
Boston, Massachusetts Series A General
Obligations
5.000%, 02/01/08 1,000 1,052,580
State of Massachusetts Series C General
Obligations
5.250%, 12/01/07 2,000 2,109,340
---------------
TOTAL -- MASSACHUSETTS
(Cost $3,189,488) 3,161,920
---------------
MICHIGAN -- (1.9%)
Detroit, Michigan City School District
Series B General Obligations
4.500%, 05/01/08 1,000 1,044,050
Fraser Public School District General
Obligations
5.150%, 05/01/08 1,000 1,062,060
Michigan Municipal Bond Authority
Revenue Bonds
5.250%, 10/01/07 1,000 1,054,110
5.250%, 10/01/08 3,000 3,222,000
Michigan State Comprehensive
Transportation Series A Revenue Bonds
5.750%, 05/15/07 1,000 1,054,220
Wayne County, Michigan Community
College General Obligations
5.000%, 07/01/07 1,000 1,043,880
---------------
TOTAL -- MICHIGAN
(Cost $8,575,704) 8,480,320
---------------
37
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AMOUNT VALUE+
--------------- ---------------
(000)
MINNESOTA -- (1.3%)
Metropolitan Council of Minneapolis and
St. Paul General Obligations
4.000%, 02/01/08 $ 1,200 $ 1,234,464
State of Minnesota General Obligations
6.000%, 08/01/05 1,000 1,005,110
5.000%, 11/01/07 1,000 1,050,450
5.000%, 08/01/09 2,600 2,805,062
---------------
TOTAL -- MINNESOTA
(Cost $6,099,991) 6,095,086
---------------
MISSISSIPPI -- (1.2%)
Rankin County, Mississippi School District
4.500%, 02/01/07 1,000 1,027,210
State of Mississippi General Obligations
5.000%, 10/01/09 4,000 4,308,800
---------------
TOTAL -- MISSISSIPPI
(Cost $5,330,594) 5,336,010
---------------
MISSOURI -- (0.7%)
State of Missouri General Obligations
5.000%, 08/01/08
(Cost $3,238,552) 3,000 3,193,560
---------------
NEVADA -- (2.0%)
Clark County, Nevada School District
General Obligations
4.000%, 06/01/09 3,540 3,665,564
Las Vegas, Nevada Valley Water
Distribution Series B
5.250%, 06/01/09 2,830 3,062,484
State of Nevada General Obligations
5.375%, 10/01/08 2,100 2,258,823
---------------
TOTAL -- NEVADA
(Cost $9,134,775) 8,986,871
---------------
NEW HAMPSHIRE -- (0.2%)
New Hampshire State Turnpike Systems
Revenue Bonds
5.000%, 10/01/06
(Cost $1,033,492) 1,000 1,028,570
---------------
NEW JERSEY -- (1.7%)
New Jersey State Transportation Trust
Fund Authority
5.375%, 12/15/07 1,000 1,061,030
5.250%, 12/15/09 6,130 6,675,202
---------------
TOTAL -- NEW JERSEY
(Cost $7,831,690) 7,736,232
---------------
NEW MEXICO -- (0.4%)
New Mexico State Severance Tax Series
5.000%, 07/01/07 550 573,677
5.000%, 07/01/07 1,000 1,042,850
---------------
TOTAL -- NEW MEXICO
(Cost $1,621,921) 1,616,527
---------------
NEW YORK -- (2.1%)
Long Island Power Authority Series A
Revenue Bonds
5.250%, 12/01/05 $ 1,000 $ 1,012,690
Municipal Assistance Corp. for the
City of New York
6.000%, 07/01/07 1,000 1,064,130
Nassau County, New York Interim
Finance Authority
5.000%, 11/15/09 3,415 3,693,049
New York State Thruway Authority
5.000%, 04/01/09 3,500 3,753,820
---------------
TOTAL -- NEW YORK
(Cost $9,663,568) 9,523,689
---------------
NORTH CAROLINA -- (2.1%)
Durham County, North Carolina General
Obligations
5.500%, 04/01/09 3,000 3,278,250
North Carolina State Public Improvements
General Obligations
5.500%, 03/01/08 1,000 1,069,710
State of North Carolina General
Obligations
5.000%, 03/01/09 4,000 4,292,920
University of North Carolina
Revenue Bonds
5.000%, 04/01/08 1,000 1,057,700
---------------
TOTAL -- NORTH CAROLINA
(Cost $9,755,300) 9,698,580
---------------
OHIO -- (2.8%)
Franklin County, Ohio General Obligations
5.500%, 12/01/07 1,000 1,063,370
Ohio State Building Authority
Revenue Bonds
5.500%, 10/01/08 1,500 1,619,835
Ohio State Higher Education Capital
Facilities Revenue Bonds
5.000%, 12/01/08 5,000 5,332,850
Ohio State Higher Education Capital
Facilities Series II Revenue Bonds
5.250%, 12/01/06 1,000 1,034,720
Ohio State Water Development Authority
Revenue Bonds
5.000%, 06/01/08 2,500 2,647,325
State of Ohio Highway Improvement
General Obligations
5.500%, 05/01/07 1,000 1,048,730
---------------
TOTAL -- OHIO
(Cost $12,928,946) 12,746,830
---------------
OKLAHOMA -- (1.0%)
Grand River Dam Authority of Oklahoma
Revenue Bonds
5.750%, 06/01/08
(Cost $4,367,666) 4,000 4,323,520
---------------
38
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AMOUNT VALUE+
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(000)
OREGON -- (2.1%)
Oregon State Deparment of Transportation
Revenue Bonds
5.000%, 11/15/06 $ 900 $ 927,279
Oregon State Department of Administrative
Services Revenue Bonds
5.250%, 04/01/08 2,000 2,126,080
Salem-Keizer, Oregon School District
General Obligations
5.000%, 06/15/09 6,055 6,511,729
---------------
TOTAL -- OREGON
(Cost $9,503,429) 9,565,088
---------------
PENNSYLVANIA -- (1.9%)
Allegheny County, Pennsylvania
Sanitation Authority
5.000%, 12/01/07 1,000 1,051,170
Berks County, Pennsylvania General
Obligations
6.350%, 11/15/07 1,500 1,621,140
Pennsylvania Intergovernmental
Cooperative Authority Special Tax
5.000%, 06/15/08 1,000 1,060,250
Pittsburgh, Pennsylvania School District
General Obligations
5.000%, 09/01/07 1,000 1,046,160
State of Pennsylvania General Obligations
5.000%, 01/15/07 650 671,489
5.000%, 10/01/09 2,950 3,186,413
---------------
TOTAL -- PENNSYLVANIA
(Cost $8,700,917) 8,636,622
---------------
SOUTH CAROLINA -- (1.0%)
Piedmont Municipal Power Agency
Electric Revenue Bonds Series 1985B
6.125%, 01/01/07 1,000 1,049,990
Richland County, South Carolina General
Obligations
5.000%, 02/01/10 1,500 1,624,785
State of South Carolina General Obligations
5.000%, 04/01/09 1,900 2,040,638
---------------
TOTAL -- SOUTH CAROLINA
(Cost $4,694,462) 4,715,413
---------------
TENNESSEE -- (2.2%)
Knox County, Tennessee General
Obligations
4.500%, 04/01/08 2,000 2,082,880
Metro Government Nashville & Davidson
Counties General Obligations
5.000%, 11/15/08 2,000 2,130,140
Metro Government of Nashville & Davidson
Counties Series A Prerefunded
General Obligations
5.250%, 10/15/07 790 832,881
Metro Government of Nashville & Davidson
Counties Series B Unrefunded
General Obligations
5.250%, 10/15/07 210 221,201
Shelby County, Tennessee General
Obligations
5.000%, 04/01/09 $ 4,195 $ 4,488,272
---------------
TOTAL -- TENNESSEE
(Cost $9,834,110) 9,755,374
---------------
TEXAS -- (4.5%)
Austin, Texas Electric Utility Systems
Revenue Bonds
5.000%, 11/15/05 1,000 1,009,750
Dallas, Texas Waterworks & Sewer System
5.250%, 10/01/08 3,000 3,212,130
Houston, Texas General Obligations
5.500%, 03/01/06 70 71,338
5.500%, 03/01/06 430 438,441
Lower Colorado River Authority
Revenue Bonds
5.250%, 05/15/08 1,000 1,064,220
San Antonio, Texas Pre Refunded General
Obligations
5.000%, 08/01/07 20 20,873
San Antonio, Texas Unrefunded General
Obligations
5.000%, 08/01/07 980 1,022,140
State of Texas General Obligations
5.000%, 08/01/09 4,000 4,300,880
Texas A&M University Revenue Bond
5.000%, 05/15/09 4,000 4,281,960
Texas State University Systems Financing
Revenue Bonds
5.000%, 03/15/09 2,245 2,400,197
Trinity River Authority Texas Regional
Wastewater System Revenue Bond
5.500%, 08/01/08 2,200 2,363,900
---------------
TOTAL -- TEXAS
(Cost $20,428,941) 20,185,829
---------------
UTAH -- (1.6%)
Salt Lake City, Utah General Obligations
5.250%, 06/15/07 1,000 1,046,870
Salt Lake County, Utah Municipal Building
Authority Lease Revenue Bonds
5.000%, 10/01/08 1,800 1,913,724
State of Utah General Obligations
4.000%, 07/01/08 3,000 3,099,120
Utah State Board of Regents
Revenue Bonds
5.250%, 04/01/08 1,000 1,061,640
---------------
TOTAL -- UTAH
(Cost $7,238,752) 7,121,354
---------------
VERMONT -- (0.2%)
Vermont Public Power Supply Authority
4.000%, 07/01/07
(Cost $1,025,769) 1,000 1,022,820
---------------
VIRGINIA -- (4.9%)
Arlington County, Virginia General
Obligations
4.000%, 01/15/09 4,000 4,151,320
39
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AMOUNT VALUE+
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(000)
Fairfax Country, Virginia General
Obligations
5.000%, 06/01/09 $ 3,465 $ 3,733,503
Richmond, Virginia General Obligations
5.000%, 07/15/07 1,000 1,045,720
Virginia Commonwealth Transportation
Board Federal Highway
Reimbursement Notes
5.000%, 10/01/09 5,000 5,396,500
Virginia State Public Building Authority
5.000%, 08/01/09 4,000 4,305,720
Virginia State Public School Authority
5.250%, 08/01/09 3,500 3,800,055
---------------
TOTAL -- VIRGINIA
(Cost $22,538,182) 22,432,818
---------------
WASHINGTON -- (3.6%)
Grant County, Washington Public Utility
5.000%, 01/01/10 2,000 2,154,760
King County, Washington Sewer
Revenue Bonds
5.250%, 01/01/08 2,000 2,112,820
Seattle, Washington Drain & Wastewater
Revenue Bonds
4.000%, 07/01/08 1,000 1,028,870
Seattle, Washington
Light & Power Authority
4.000%, 08/01/09 5,940 6,147,009
Snohomish County, Washington School
District Revenue Bonds
4.500%, 06/01/09 3,500 3,689,490
State of Washington General Obligations
5.500%, 09/01/07 1,000 1,054,940
---------------
TOTAL -- WASHINGTON
(Cost $16,339,315) 16,187,889
---------------
WISCONSIN -- (0.9%)
Muskego Norway, Wisconsin School
District General Obligations
5.000%, 04/01/07 1,000 1,037,080
State of Wisconsin General Obligations
5.000%, 05/01/07 1,000 1,038,740
5.250%, 05/01/09 2,000 2,161,000
---------------
TOTAL -- WISCONSIN
(Cost $4,234,949) 4,236,820
---------------
TOTAL MUNICIPAL BONDS
(Cost $298,558,911) 295,914,038
---------------
TAX EXEMPT COMMERCIAL
PAPER -- (33.6%)
ARIZONA -- (3.2%)
City of Mesa, Arizona Municipal Bonds
2.250%, 06/08/05 4,000 3,999,879
Salt River Project Agricultural Improvement
2.950%, 06/08/05 3,000 3,000,000
2.950%, 06/09/05 2,500 2,500,000
2.900%, 06/24/05 5,000 5,000,000
---------------
TOTAL -- ARIZONA
(Cost $14,500,000) 14,499,879
---------------
CONNECTICUT -- (0.7%)
State of Connecticut Health and Education
2.730%, 06/20/05 $ 1,000 $ 1,000,000
2.650%, 06/29/05 2,000 2,000,000
---------------
TOTAL-- CONNECTICUT
(Cost $3,000,000) 3,000,000
---------------
FLORIDA -- (2.5%)
City of Gainesville, Florida
2.950%, 06/13/05 5,000 5,000,000
2.900%, 06/16/05 6,500 6,500,000
---------------
TOTAL -- FLORIDA
(Cost $11,500,000) 11,500,000
---------------
GEORGIA -- (2.4%)
Burke County, Georgia
Development Authority
2.600%, 06/02/05
(Cost $11,000,000) 11,000 11,000,000
---------------
MARYLAND -- (2.4%)
Maryland Health & Higher Education
2.950%, 06/01/05 3,000 3,000,000
3.000%, 06/01/05 3,000 3,000,000
3.000%, 06/06/05 1,000 1,000,000
2.830%, 07/12/05 4,000 4,000,000
---------------
TOTAL -- MARYLAND
(Cost $11,000,000) 11,000,000
---------------
MASSACHUSETTS -- (3.8%)
Massachusetts Health & Education Facility
2.950%, 06/02/05 2,003 2,003,000
2.950%, 06/03/05 2,000 2,000,000
Massachusetts Port Authority
2.650%, 06/14/05 1,000 1,000,000
2.950%, 06/16/05 5,000 5,000,000
Massachusetts Water Resource
2.650%, 06/09/05 3,000 3,000,000
2.650%, 06/28/05 2,000 2,000,000
State of Massachusetts General
Obligations
2.730%, 06/21/05 2,000 2,000,000
---------------
TOTAL -- MASSACHUSETTS
(Cost $17,003,000) 17,003,000
---------------
NEBRASKA -- (1.8%)
Omaha Public Power District
2.900%, 06/02/05 4,100 4,100,000
2.550%, 06/07/05 2,000 2,000,000
2.650%, 06/30/05 2,000 2,000,000
---------------
TOTAL -- NEBRASKA
(Cost $8,100,000) 8,100,000
---------------
40
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AMOUNT VALUE+
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(000)
NEW YORK -- (1.5%)
Dormitory Authority of New York
2.950%, 06/14/05 $ 5,000 $ 5,000,000
New York State Environmental Quality
General Obligations
2.980%, 06/03/05 2,000 2,000,000
---------------
TOTAL -- NEW YORK
(Cost $7,000,000) 7,000,000
---------------
SOUTH CAROLINA -- (0.8%)
South Carolina Public Service
2.600%, 06/03/05 1,750 1,750,000
2.750%, 06/22/05 2,000 2,000,000
---------------
TOTAL -- SOUTH CAROLINA
(Cost $3,750,000) 3,750,000
---------------
TENNESSEE -- (1.2%)
Tennessee State School Board Authority
2.900%, 06/01/05 2,400 2,400,000
2.770%, 07/08/05 2,790 2,790,000
---------------
TOTAL -- TENNESSEE
(Cost $5,190,000) 5,190,000
---------------
TEXAS -- (11.6%)
City of San Antonio, TX
3.000%, 06/03/05 2,100 2,100,000
City of San Antonio, TX Electric
2.770%, 07/11/05 5,000 5,000,000
Dallas Area Rapid Transit
2.600%, 06/06/05 1,000 1,000,000
2.650%, 06/10/05 9,000 9,000,000
Harris County, Texas General Obligations
2.900%, 06/23/05 1,500 1,500,000
Houston, Texas General Obligations
2.900%, 06/06/05 3,000 3,000,000
Plano, Texas Health Facility
2.950%, 06/06/05 2,500 2,500,000
2.750%, 06/07/05 2,000 2,000,000
Texas Public Finance Authority
2.950%, 06/15/05 9,359 9,359,000
Texas Tech University Board of Regents
2.850%, 07/13/05 $ 7,000 $ 7,000,000
University of Texas Board of Regents
2.900%, 06/09/05 10,000 10,000,000
---------------
TOTAL -- TEXAS
(Cost $52,459,000) 52,459,000
---------------
UTAH -- (0.9%)
Intermountain Power Agency
2.900%, 06/02/05 1,000 1,000,000
2.650%, 06/13/05 1,000 1,000,000
2.650%, 06/27/05 2,000 2,000,000
---------------
TOTAL -- UTAH
(Cost $4,000,000) 4,000,000
---------------
VIRGINIA -- (0.6%)
IDA of The City of Hampton, VA
2.950%, 06/17/05
(Cost $2,600,000) 2,600 2,600,000
---------------
WISCONSIN -- (0.2%)
State of Wisconsin General Obligations
2.850%, 06/10/05
(Cost $1,095,000) 1,095 1,095,000
---------------
TOTAL TAX EXEMPT COMMERCIAL
PAPER
(Cost $152,197,000) 152,196,879
---------------
SHARES
---------------
(000)
TEMPORARY CASH
INVESTMENTS--(1.1%)
WT Investment Trust I-
Money Market Series/
Tax-Exempt Series--
Investor Shares
(Cost $5,116,781) 5,117 5,116,781
---------------
TOTAL INVESTMENTS--(100.0%)
(Cost $455,872,692) $ 453,227,698
===============
----------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
41
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
(UNAUDITED)
[Enlarge/Download Table]
U.S ENHANCED U.S. U.S.
LARGE U.S. LARGE LARGE CAP SMALL XM
COMPANY COMPANY VALUE VALUE
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------------- ---------------- ---------------- ----------------
ASSETS:
Investments at Value $ 1,743,767 $ 270,757 $ 3,219,406 $ 152,837
Receivables for Fund Shares Sold 1,711 197 4,390 32
Prepaid Expenses and Other Assets 10 3 9 --
---------------- ---------------- ---------------- ----------------
Total Assets 1,745,488 270,957 3,223,805 152,869
---------------- ---------------- ---------------- ----------------
LIABILITIES:
Payables:
Investment Securities Purchased 1,397 92 3,867 --
Fund Shares Redeemed 314 105 523 32
Due to Advisor 99 33 390 37
Accrued Expenses and Other Liabilities 61 7 59 6
---------------- ---------------- ---------------- ----------------
Total Liabilities 1,871 237 4,839 75
---------------- ---------------- ---------------- ----------------
NET ASSETS $ 1,743,617 $ 270,720 $ 3,218,966 $ 152,794
================ ================ ================ ================
SHARES OUTSTANDING $0.01 PAR VALUE 49,757,434 28,695,437 159,379,308 9,734,912
================ ================ ================ ================
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE $ 35.04 $ 9.43 $ 20.20 $ 15.70
================ ================ ================ ================
Investments at Cost $ 1,446,524 $ 242,174 $ 2,447,819 $ 129,746
================ ================ ================ ================
U.S. U.S. U.S. DFA
SMALL CAP SMALL MICRO REAL ESTATE
VALUE CAP CAP SECURITIES
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------------- ---------------- ---------------- ----------------
ASSETS:
Investments at Value (including $0, $0, $0,
and $44,394, of securities on loan,
respectively) $ 6,072,492 $ 2,274,285 $ 3,335,636 $ 1,602,347
Receivables:
Investment Securities Sold -- 52 77 499
Dividends and Interest -- -- -- 1,236
Securities Lending Income -- -- -- 15
Fund Shares Sold 8,044 1,231 1,603 1,145
Prepaid Expenses and Other Assets 49 32 23 45
---------------- ---------------- ---------------- ----------------
Total Assets 6,080,585 2,275,600 3,337,339 1,605,287
---------------- ---------------- ---------------- ----------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned -- -- -- 45,337
Investment Securities Purchased 5,622 -- -- 13,648
Fund Shares Redeemed 2,422 1,283 1,680 2,217
Due to Advisor 1,464 590 1,077 379
Accrued Expenses and Other Liabilities 138 48 73 111
---------------- ---------------- ---------------- ----------------
Total Liabilities 9,646 1,921 2,830 61,692
---------------- ---------------- ---------------- ----------------
NET ASSETS $ 6,070,939 $ 2,273,679 $ 3,334,509 $ 1,543,595
================ ================ ================ ================
SHARES OUTSTANDING $0.01 PAR VALUE 235,241,450 122,140,796 237,149,729 66,276,843
================ ================ ================ ================
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE $ 25.81 $ 18.62 $ 14.06 $ 23.29
================ ================ ================ ================
Investments at Cost $ 4,489,022 $ 1,928,588 $ 2,456,163 $ 1,167,414
================ ================ ================ ================
See accompanying Notes to Financial Statements.
42
[Enlarge/Download Table]
INTERNATIONAL JAPANESE PACIFIC RIM
LARGE CAP SMALL SMALL SMALL
INTERNATIONAL COMPANY COMPANY COMPANY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------------- ---------------- ---------------- ----------------
ASSETS:
Investments at Value (including $152,394,
$0, $0, and $0 of securities on loan,
respectively) $ 1,109,524 $ 2,044,521 $ 108,577 $ 30,465
Cash 15 15 -- --
Receivables:
Dividends, Interest, and Tax Reclaims 3,694 1 -- --
Securities Lending Income 188 -- -- --
Fund Shares Sold 1,053 3,076 -- 126
Prepaid Expenses and Other Assets 50 13 13 3
---------------- ---------------- ---------------- ----------------
Total Assets 1,114,524 2,047,626 108,590 30,594
---------------- ---------------- ---------------- ----------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 161,396 -- -- --
Investment Securities Purchased 9 5,000 -- 126
Fund Shares Redeemed 696 400 -- --
Due to Advisor 198 677 36 8
Accrued Expenses and Other Liabilities 128 43 8 4
---------------- ---------------- ---------------- ----------------
Total Liabilities 162,427 6,120 44 138
---------------- ---------------- ---------------- ----------------
NET ASSETS $ 952,097 $ 2,041,506 $ 108,546 $ 30,456
================ ================ ================ ================
SHARES OUTSTANDING $0.01 PAR VALUE 54,801,864 141,298,553 7,231,561 2,182,675
================ ================ ================ ================
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE $ 17.37 $ 14.45 $ 15.01 $ 13.95
================ ================ ================ ================
Investments at Cost $ 1,000,237 $ 1,569,660 $ 217,988 $ 57,857
================ ================ ================ ================
DFA
UNITED CONTINENTAL INTERNATIONAL
KINGDOM SMALL SMALL CAP EMERGING
SMALL COMPANY COMPANY VALUE MARKETS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------------- ---------------- ---------------- ----------------
ASSETS:
Investments at Value (including $0, $0,
$518,086, and $0, of securities on loan
respectively) $ 16,933 $ 45,600 $ 3,761,315 $ 1,367,075
Cash -- -- 15 --
Receivables:
Investment Securities Sold -- -- 7,732 --
Dividends, Interest, and Tax Reclaims -- -- 12,084 --
Securities Lending Income -- -- 630 --
Fund Shares Sold -- -- 29,733 713
Prepaid Expenses and Other Assets 6 4 102 15
---------------- ---------------- ---------------- ----------------
Total Assets 16,939 45,604 3,811,611 1,367,803
---------------- ---------------- ---------------- ----------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned -- -- 558,650 --
Investment Securities Purchased -- -- 27,769 570
Fund Shares Redeemed -- -- 1,095 143
Due to Advisor 3 13 1,707 447
Accrued Expenses and Other Liabilities 3 5 288 24
---------------- ---------------- ---------------- ----------------
Total Liabilities 6 18 589,509 1,184
---------------- ---------------- ---------------- ----------------
NET ASSETS $ 16,933 $ 45,586 $ 3,222,102 $ 1,366,619
================ ================ ================ ================
SHARES OUTSTANDING $0.01 PAR VALUE 743,093 3,153,757 203,152,072 81,825,526
================ ================ ================ ================
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE $ 22.79 $ 14.45 $ 15.86 $ 16.70
================ ================ ================ ================
Investments at Cost $ 10,490 $ 29,921 $ 3,096,530 $ 970,497
================ ================ ================ ================
See accompanying Notes to Financial Statements.
43
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DFA
EMERGING EMERGING DFA TWO-YEAR
MARKETS MARKETS ONE-YEAR GLOBAL
SMALL CAP CORE EQUITY FIXED INCOME FIXED INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------------- ---------------- ---------------- ----------------
ASSETS:
Investments at Value $ 289,020 $ 55,334 $ 2,091,914 $ 1,832,891
Cash -- 15 -- --
Receivables:
Investment Securities Sold -- -- 6,527 --
Dividends and Interest -- 226 -- --
Fund Shares Sold 435 1,410 2,411 2,466
Prepaid Expenses and Other Assets -- 1 15 8
---------------- ---------------- ---------------- ----------------
Total Assets 289,455 56,986 2,100,867 1,835,365
---------------- ---------------- ---------------- ----------------
LIABILITIES:
Payables:
Investment Securities Purchased 386 2,345 -- 2,112
Fund Shares Redeemed 49 -- 8,938 354
Due to Advisor 106 -- 176 152
Deferred Thailand Capital Gains Tax -- 6 -- --
Accrued Expenses and Other Liabilities 8 31 60 48
---------------- ---------------- ---------------- ----------------
Total Liabilities 549 2,382 9,174 2,666
---------------- ---------------- ---------------- ----------------
NET ASSETS $ 288,906 $ 54,604 $ 2,091,693 $ 1,832,699
================ ================ ================ ================
SHARES OUTSTANDING $0.01 PAR VALUE 25,166,073 5,618,694 205,300,077 184,570,561
================ ================ ================ ================
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE $ 11.48 $ 9.72 $ 10.19 $ 9.93
================ ================ ================ ================
Investments at Cost $ 244,084 $ 56,428 $ 2,090,344 $ 1,836,200
================ ================ ================ ================
DFA DFA
DFA FIVE-YEAR INTERMEDIATE DFA
FIVE-YEAR GLOBAL GOVERNMENT SHORT-TERM
GOVERNMENT FIXED INCOME FIXED INCOME MUNICIPAL BOND
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------------- ---------------- ---------------- ----------------
ASSETS:
Investments at Value $ 655,393 $ 1,439,692 $ 433,950 $ 453,228
Cash 1 15 -- --
Receivables:
Dividends and Interest 4,886 19,660 5,040 4,523
Fund Shares Sold 705 1,266 256 452
Unrealized Gain on Forward Currency Contracts -- 16,408 -- --
Prepaid Expenses and Other Assets 2 14 -- 16
---------------- ---------------- ---------------- ----------------
Total Assets 660,987 1,477,055 439,246 458,219
---------------- ---------------- ---------------- ----------------
LIABILITIES:
Payables:
Investment Securities Purchased -- 10,857 -- --
Fund Shares Redeemed 78 597 20 288
Due to Advisor 108 299 36 80
Accrued Expenses and Other Liabilities 42 124 35 48
---------------- ---------------- ---------------- ----------------
Total Liabilities 228 11,877 91 416
---------------- ---------------- ---------------- ----------------
NET ASSETS $ 660,759 $ 1,465,178 $ 439,155 $ 457,803
================ ================ ================ ================
SHARES OUTSTANDING $0.01 PAR VALUE 62,186,528 137,666,845 37,046,532 45,585,842
================ ================ ================ ================
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE $ 10.63 $ 10.64 $ 11.85 $ 10.04
================ ================ ================ ================
Investments at Cost $ 660,968 $ 1,459,799 $ 413,890 $ 455,873
================ ================ ================ ================
See accompanying Notes to Financial Statements.
44
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2005
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
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U.S ENHANCED U.S. U.S.
LARGE U.S. LARGE LARGE CAP SMALL XM
COMPANY COMPANY VALUE VALUE
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------- ------------- -------------
INVESTMENT INCOME
Income Distributions Received from The DFA Investment
Trust Company -- $ 2,636 $ 17,615 $ 1,398
Dividends $ 14,087 -- -- --
Interest 441 -- -- --
Income from Securities Lending 41 -- -- --
Expenses Allocated from Master Funds (408) -- -- --
------------- ------------- ------------- -------------
Total Investment Income 14,161 2,636 17,615 1,398
------------- ------------- ------------- -------------
EXPENSES
Administrative Services 1,711 183 2,180 232
Accounting & Transfer Agent Fees 167 7 26 6
Legal Fees 8 1 14 1
Audit Fees 2 1 3 1
Filing Fees 35 17 34 19
Shareholders' Reports 9 1 14 1
Directors' Fees and Expenses 6 1 11 1
Other 2 -- 2 --
------------- ------------- ------------- -------------
Total Expenses 1,940 211 2,284 261
Fees Waived, Expenses Reimbursed, and/or Previously
Waived Fees Recovered by Advisor (Note C) (1,158) -- -- --
------------- ------------- ------------- -------------
Net Expenses 782 211 2,284 261
------------- ------------- ------------- -------------
NET INVESTMENT INCOME (LOSS) 13,379 2,425 15,331 1,137
------------- ------------- ------------- -------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from The DFA Investment
Trust Company -- -- 2,658 18,636
Net Realized Gain (Loss) on Investment Securities Sold (7,292) (58) (75) (834)
Net Realized Gain (Loss) on Futures 820 -- -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities 30,567 2,658 119,466 (17,663)
Futures (522) -- -- --
------------- ------------- ------------- -------------
NET GAIN (LOSS) 23,573 2,600 122,049 139
------------- ------------- ------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 36,952 $ 5,025 $ 137,380 $ 1,276
============= ============= ============= =============
See accompanying Notes to Financial Statements.
45
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U.S. U.S. U.S. DFA
SMALL CAP SMALL MICRO REAL ESTATE
VALUE CAP CAP SECURITIES
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------- ------------- -------------
INVESTMENT INCOME
Income Distributions Received from The DFA Investment
Trust Company $ 32,889 $ 9,343 $ 10,038 --
Dividends -- -- -- $ 30,936
Interest -- -- -- 163
Income from Securities Lending -- -- -- 66
------------- ------------- ------------- -------------
Total Investment Income 32,889 9,343 10,038 31,165
------------- ------------- ------------- -------------
EXPENSES
Investment Advisory Services -- -- -- 2,081
Administrative Services 8,876 3,566 6,524 --
Accounting & Transfer Agent Fees 29 13 16 317
Custodian Fees -- -- -- 66
Legal Fees 33 9 19 7
Audit Fees 6 3 3 20
Filing Fees 49 19 29 33
Shareholders' Reports 33 10 18 8
Directors' Fees and Expenses 24 8 14 5
Other 10 2 6 9
------------- ------------- ------------- -------------
Total Expenses 9,060 3,630 6,629 2,546
------------- ------------- ------------- -------------
NET INVESTMENT INCOME (LOSS) 23,829 5,713 3,409 28,619
------------- ------------- ------------- -------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from The DFA Investment
Trust Company 533,322 104,187 267,454 --
Net Realized Gain (Loss) on Investment Securities Sold (8,945) (5,822) (2,849) 6,660
Change in Unrealized Appreciation (Depreciation) of
Investment Securities (579,635) (142,032) (356,906) 60,382
------------- ------------- ------------- -------------
NET GAIN (LOSS) (55,258) (43,667) (92,301) 67,042
------------- ------------- ------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ (31,429) $ (37,954) $ (88,892) $ 95,661
============= ============= ============= =============
See accompanying Notes to Financial Statements.
46
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INTERNATIONAL JAPANESE PACIFIC RIM
LARGE CAP SMALL SMALL SMALL
INTERNATIONAL COMPANY COMPANY COMPANY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------- ------------- -------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $1,378,
$2,200, $64, and $15, respectively) $ 15,080 $ 26,292 $ 848 $ 574
Interest 112 240 10 4
Income from Securities Lending 536 2,574 227 32
Expenses Allocated from Master Funds -- (2,353) (110) (42)
------------- ------------- ------------- -------------
Total Investment Income 15,728 26,753 975 568
------------- ------------- ------------- -------------
EXPENSES
Investment Advisory Services 1,144 -- -- --
Administrative Services -- 3,878 194 61
Accounting & Transfer Agent Fees 359 18 16 16
Custodian Fees 150 -- -- --
Legal Fees 6 12 -- --
Audit Fees 14 1 1 1
Filing Fees 19 31 11 9
Shareholders' Reports 5 16 -- --
Directors' Fees and Expenses 3 7 -- --
Other 19 3 1 --
------------- ------------- ------------- -------------
Total Expenses 1,719 3,966 223 87
Fees Waived, Expenses Reimbursed, and/or Previously
Waived Fees Recovered by Advisor (Note C) -- -- -- (16)
------------- ------------- ------------- -------------
Net Expenses 1,719 3,966 223 71
------------- ------------- ------------- -------------
NET INVESTMENT INCOME (LOSS) 14,009 22,787 752 497
------------- ------------- ------------- -------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 1,972 26,647 (210) (150)
Net Realized Gain (Loss) on Foreign Currency
Transactions (71) (151) (3) 4
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency (5,794) 38,474 6,224 (1,215)
Translation of Foreign Currency Denominated Amounts (157) (285) (24) (1)
------------- ------------- ------------- -------------
NET GAIN (LOSS) (4,050) 64,685 5,987 (1,362)
------------- ------------- ------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 9,959 $ 87,472 $ 6,739 $ (865)
============= ============= ============= =============
See accompanying Notes to Financial Statements.
47
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DFA
UNITED CONTINENTAL INTERNATIONAL
KINGDOM SMALL SMALL CAP EMERGING
SMALL COMPANY COMPANY VALUE MARKETS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------- ------------- -------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0,
$103, $4,247, and $2,648, respectively) $ 243 $ 635 $ 49,195 $ 24,470
Interest 2 4 475 117
Income from Securities Lending 2 51 2,979 --
Expenses Allocated from Master Funds (20) (49) -- (1,771)
------------- ------------- ------------- -------------
Total Investment Income 227 641 52,649 22,816
------------- ------------- ------------- -------------
EXPENSES
Investment Advisory Services -- -- 9,238 --
Administrative Services 34 80 -- 2,560
Accounting & Transfer Agent Fees 16 16 610 34
Custodian Fees -- -- 635 --
Legal Fees -- -- 14 8
Audit Fees 1 1 32 1
Filing Fees 8 12 42 22
Shareholders' Reports -- -- 12 8
Directors' Fees and Expenses -- -- 8 4
Other -- -- 31 3
------------- ------------- ------------- -------------
Total Expenses 59 109 10,622 2,640
Fees Waived, Expenses Reimbursed, and/or Previously
Waived Fees Recovered by Advisor (Note C) (19) (15) -- --
------------- ------------- ------------- -------------
Net Expenses 40 94 10,622 2,640
------------- ------------- ------------- -------------
NET INVESTMENT INCOME (LOSS) 187 547 42,027 20,176
------------- ------------- ------------- -------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 351 855 64,514 9,739
Net Realized Gain (Loss) on Foreign Currency Transactions (2) (9) (404) (855)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency (204) 995 77,650 60,488
Translation of Foreign Currency Denominated Amounts -- (5) (332) (24)
Deferred Thailand Capital Gains Tax -- -- -- 109
------------- ------------- ------------- -------------
NET GAIN (LOSS) 145 1,836 141,428 69,457
------------- ------------- ------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 332 $ 2,383 $ 183,455 $ 89,633
============= ============= ============= =============
See accompanying Notes to Financial Statements.
48
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DFA
EMERGING EMERGING DFA TWO-YEAR
MARKETS MARKETS ONE-YEAR GLOBAL
SMALL CAP CORE EQUITY FIXED INCOME FIXED INCOME
PORTFOLIO PORTFOLIO(1) PORTFOLIO PORTFOLIO
------------- ------------- ------------- -------------
INVESTMENT INCOME
Income Distributions Received from The DFA Investment
Trust Company -- -- $ 24,673 $ 14,477
Dividends (Net of Foreign Taxes Withheld of $363,
$31, $0, and $0, respectively) $ 4,529 $ 335 -- --
Interest 35 16 -- --
Expenses Allocated from Master Funds (603) -- -- --
------------- ------------- ------------- -------------
Total Investment Income 3,961 351 24,673 14,477
------------- ------------- ------------- -------------
EXPENSES
Investment Advisory Services -- 30 -- --
Administrative Services 560 -- 1,003 872
Accounting & Transfer Agent Fees 16 7 12 11
Custodian Fees -- 48 -- --
Legal Fees 1 -- 12 10
Audit Fees 1 1 2 2
Filing Fees 17 -- 36 32
Shareholders' Reports 1 -- 15 11
Directors' Fees and Expenses 1 -- 9 7
Organizational Costs -- 18 -- --
Other 1 1 2 5
------------- ------------- ------------- -------------
Total Expenses 598 105 1,091 950
Fees Waived, Expenses Reimbursed, and/or Previously
Waived Fees Recovered by Advisor (Note C) -- (30) -- --
------------- ------------- ------------- -------------
Net Expenses 598 75 1,091 950
------------- ------------- ------------- -------------
NET INVESTMENT INCOME (LOSS) 3,363 276 23,582 13,527
------------- ------------- ------------- -------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 2,218 (1) (2,158) (682)
Net Realized Gain (Loss) on Foreign Currency
Transactions (81) (27) -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 2,436 (1,094) 773 3,080
Translation of Foreign Currency Denominated Amounts 6 32 -- --
Deferred Thailand Capital Gains Tax 92 (6) -- --
------------- ------------- ------------- -------------
NET GAIN (LOSS) 4,671 (1,096) (1,385) 2,398
------------- ------------- ------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 8,034 $ (820) $ 22,197 $ 15,925
============= ============= ============= =============
----------
(1) The Portfolio commenced operations on April 5, 2005.
See accompanying Notes to Financial Statements.
49
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DFA DFA
DFA FIVE-YEAR INTERMEDIATE DFA
FIVE-YEAR GLOBAL GOVERNMENT SHORT-TERM
GOVERNMENT FIXED INCOME FIXED INCOME MUNICIPAL BOND
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------- ------------- --------------
INVESTMENT INCOME
Interest $ 10,909 $ 24,377 $ 9,793 $ 5,056
------------- ------------- ------------- --------------
Total Investment Income 10,909 24,377 9,793 5,056
------------- ------------- ------------- --------------
EXPENSES
Investment Advisory Services 599 1,643 204 424
Accounting & Transfer Agent Fees 83 348 63 133
Custodian Fees 26 71 18 18
Legal Fees 3 7 2 3
Audit Fees 10 23 7 6
Filing Fees 33 36 22 24
Shareholders' Reports 4 8 2 2
Directors' Fees and Expenses 2 6 2 2
Other 6 9 8 18
------------- ------------- ------------- --------------
Total Expenses 766 2,151 328 630
Fees Waived, Expenses Reimbursed, and/or Previously
Waived Fees Recovered by Advisor (Note C) -- -- -- 4
------------- ------------- ------------- --------------
Net Expenses 766 2,151 328 634
------------- ------------- ------------- --------------
NET INVESTMENT INCOME (LOSS) 10,143 22,226 9,465 4,422
------------- ------------- ------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold -- (4,707) 725 --
Net Realized Gain (Loss) on Foreign Currency
Transactions -- 16,353 -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency (845) (23,924) 2,739 (2,126)
Translation of Foreign Currency Denominated Amounts -- 19,080 -- --
------------- ------------- ------------- --------------
NET GAIN (LOSS) (845) 6,802 3,464 (2,126)
------------- ------------- ------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 9,298 $ 29,028 $ 12,929 $ 2,296
============= ============= ============= ==============
See accompanying Notes to Financial Statements.
50
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
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U.S. LARGE ENHANCED
COMPANY U.S. LARGE COMPANY
PORTFOLIO PORTFOLIO
-------------------------- --------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 13,379 $ 23,743 $ 2,425 $ 1,667
Capital Gain Distributions Received
from The DFA Investment Trust
Company -- -- -- --
Net Realized Gain (Loss) on
Investment Securities Sold (7,292) (998) (58) (1,264)
Net Realized Gain (Loss) on Futures 820 3,229 -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities 30,567 118,762 2,658 20,021
Futures (522) 378 -- --
----------- ----------- ----------- -----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations 36,952 145,114 5,025 20,424
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income (16,210) (17,869) (2,541) (1,883)
Net Short-Term Gains -- -- -- --
Net Long-Term Gains -- -- -- --
----------- ----------- ----------- -----------
Total Distributions (16,210) (17,869) (2,541) (1,883)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued 362,567 443,844 66,443 90,004
Shares Issued in Lieu of Cash
Distributions 15,581 17,160 2,512 1,863
Shares Redeemed (96,142) (164,645) (22,463) (30,153)
----------- ----------- ----------- -----------
Net Increase (Decrease) from
Capital Share Transactions 282,006 296,359 46,492 61,714
----------- ----------- ----------- -----------
Total Increase (Decrease) 302,748 423,604 48,976 80,255
NET ASSETS
Beginning of Period 1,440,869 1,017,265 221,744 141,489
----------- ----------- ----------- -----------
End of Period $ 1,743,617 $ 1,440,869 $ 270,720 $ 221,744
=========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 10,426 13,474 7,104 10,083
Shares Issued in Lieu of
Cash Distributions 443 523 266 208
Shares Redeemed (2,762) (4,989) (2,382) (3,383)
----------- ----------- ----------- -----------
8,107 9,008 4,988 6,908
=========== =========== =========== ===========
U.S. LARGE U.S. SMALL
CAP VALUE XM VALUE
PORTFOLIO PORTFOLIO
-------------------------- --------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 15,331 $ 19,153 $ 1,137 $ 357
Capital Gain Distributions Received
from The DFA Investment Trust
Company 2,658 -- 18,636 11,499
Net Realized Gain (Loss) on
Investment Securities Sold (75) (377) (834) (819)
Net Realized Gain (Loss) on Futures -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities 119,466 400,873 (17,663) 20,899
Futures -- -- -- --
----------- ----------- ----------- -----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations 137,380 419,649 1,276 31,936
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income (16,507) (24,851) (1,206) (683)
Net Short-Term Gains -- -- (7,739) (6,051)
Net Long-Term Gains -- -- (5,689) (5,912)
----------- ----------- ----------- -----------
Total Distributions (16,507) (24,851) (14,634) (12,646)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued 604,431 770,612 16,292 64,693
Shares Issued in Lieu of Cash
Distributions 14,922 23,431 11,271 12,485
Shares Redeemed (151,621) (267,908) (20,736) (34,067)
----------- ----------- ----------- -----------
Net Increase (Decrease) from
Capital Share Transactions 467,732 526,135 6,827 43,111
----------- ----------- ----------- -----------
Total Increase (Decrease) 588,605 920,933 (6,531) 62,401
NET ASSETS
Beginning of Period 2,630,361 1,709,428 159,325 96,924
----------- ----------- ----------- -----------
End of Period $ 3,218,966 $ 2,630,361 $ 152,794 $ 159,325
=========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 30,479 43,662 1,031 4,309
Shares Issued in Lieu of
Cash Distributions 751 1,343 720 893
Shares Redeemed (7,646) (15,122) (1,339) (2,282)
----------- ----------- ----------- -----------
23,584 29,883 412 2,920
=========== =========== =========== ===========
See accompanying Notes to the Financial Statements.
51
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U.S. SMALL CAP U.S. SMALL
VALUE CAP
PORTFOLIO PORTFOLIO
-------------------------- --------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 23,829 $ 2,120 $ 5,713 $ 3,415
Capital Gain Distributions Received
from The DFA Investment Trust
Company 533,322 331,592 104,187 494
Net Realized Gain (Loss) on
Investment Securities Sold (8,945) (4,445) (5,822) (4,470)
Change in Unrealized Appreciation
(Depreciation) of Investment
Securities (579,635) 866,604 (142,032) 260,305
----------- ----------- ----------- -----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations (31,429) 1,195,871 (37,954) 259,744
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income (27,111) (17,838) (7,402) (6,735)
Net Short-Term Gains (63,661) (51,847) (17,174) (494)
Net Long-Term Gains (284,230) (216,189) -- --
Return of Capital -- -- -- (1,515)
----------- ----------- ----------- -----------
Total Distributions (375,002) (285,874) (24,576) (8,744)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued 805,931 1,376,124 341,616 1,056,150
Shares Issued in Lieu of Cash
Distributions 357,211 277,491 23,851 8,415
Shares Redeemed (480,938) (978,193) (167,228) (311,622)
----------- ----------- ----------- -----------
Net Increase (Decrease) from
Capital Share Transactions 682,204 675,422 198,239 752,943
----------- ----------- ----------- -----------
Total Increase (Decrease) 275,773 1,585,419 135,709 1,003,943
NET ASSETS
Beginning of Period 5,795,166 4,209,747 2,137,970 1,134,027
----------- ----------- ----------- -----------
End of Period $ 6,070,939 $ 5,795,166 $ 2,273,679 $ 2,137,970
=========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 31,003 56,306 18,163 60,763
Shares Issued in Lieu of
Cash Distributions 13,644 12,282 1,248 501
Shares Redeemed (18,542) (40,464) (9,031) (18,159)
----------- ----------- ----------- -----------
26,105 28,124 10,380 43,105
=========== =========== =========== ===========
U.S. MICRO DFA REAL ESTATE
CAP SECURITIES
PORTFOLIO PORTFOLIO
-------------------------- --------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 3,409 $ 1,747 $ 28,619 $ 36,046
Capital Gain Distributions Received
from The DFA Investment Trust
Company 267,454 57,526 -- --
Net Realized Gain (Loss) on
Investment Securities Sold (2,849) 53,770 6,660 30,696
Change in Unrealized Appreciation
(Depreciation) of Investment
Securities (356,906) 332,087 60,382 205,195
----------- ----------- ----------- -----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations (88,892) 445,130 95,661 271,937
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income (6,241) (8,955) (38,190) (39,355)
Net Short-Term Gains (50,345) (35,761) (3,262) (707)
Net Long-Term Gains (76,559) (33,947) (28,712) (6,193)
Return of Capital -- -- -- --
----------- ----------- ----------- -----------
Total Distributions (133,145) (78,663) (70,164) (46,255)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued 430,203 708,465 299,536 426,234
Shares Issued in Lieu of Cash
Distributions 125,555 75,364 69,268 45,463
Shares Redeemed (213,732) (558,623) (159,604) (171,886)
----------- ----------- ----------- -----------
Net Increase (Decrease) from
Capital Share Transactions 342,026 225,206 209,200 299,811
----------- ----------- ----------- -----------
Total Increase (Decrease) 119,989 591,673 234,697 525,493
NET ASSETS
Beginning of Period 3,214,520 2,622,847 1,308,898 783,405
----------- ----------- ----------- -----------
End of Period $ 3,334,509 $ 3,214,520 $ 1,543,595 $ 1,308,898
=========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 30,050 51,580 13,534 21,487
Shares Issued in Lieu of
Cash Distributions 8,542 5,771 3,065 2,448
Shares Redeemed (14,869) (40,560) (7,187) (8,746)
----------- ----------- ----------- -----------
23,723 16,791 9,412 15,189
=========== =========== =========== ===========
See accompanying Notes to the Financial Statements.
52
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LARGE CAP INTERNATIONAL
INTERNATIONAL SMALL COMPANY
PORTFOLIO PORTFOLIO
-------------------------- --------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 14,009 $ 14,084 $ 22,787 $ 23,252
Net Realized Gain (Loss) on
Investment Securities Sold 1,972 2,103 26,647 41,764
Net Realized Gain (Loss) on
Foreign Currency Transactions (71) (15) (151) 97
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency (5,794) 119,249 38,474 286,938
Translation of Foreign Currency
Denominated Amounts (157) 32 (285) 92
----------- ----------- ----------- -----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations 9,959 135,453 87,472 352,143
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income (8,867) (20,560) (12,302) (32,182)
Net Short-Term Gains -- -- (2,774) --
Net Long-Term Gains -- -- (37,025) --
----------- ----------- ----------- -----------
Total Distributions (8,867) (20,560) (52,101) (32,182)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued 155,809 291,666 415,375 540,048
Shares Issued in Lieu of
Cash Distributions 8,367 19,638 49,957 31,815
Shares Redeemed (58,054) (85,437) (117,381) (143,527)
----------- ----------- ----------- -----------
Net Increase (Decrease) from
Capital Share Transactions 106,122 225,867 347,951 428,336
----------- ----------- ----------- -----------
Total Increase (Decrease) 107,214 340,760 383,322 748,297
NET ASSETS
Beginning of Period 844,883 504,123 1,658,184 909,887
----------- ----------- ----------- -----------
End of Period $ 952,097 $ 844,883 $ 2,041,506 $ 1,658,184
=========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 8,790 18,507 28,301 43,527
Shares Issued in Lieu of
Cash Distributions 474 1,271 3,594 2,697
Shares Redeemed (3,263) (5,382) (7,999) (11,553)
----------- ----------- ----------- -----------
6,001 14,396 23,896 34,671
=========== =========== =========== ===========
JAPANESE PACIFIC RIM
SMALL COMPANY SMALL COMPANY
PORTFOLIO PORTFOLIO
-------------------------- --------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 752 $ 477 $ 497 $ 822
Net Realized Gain (Loss) on
Investment Securities Sold (210) (3,850) (150) (1,129)
Net Realized Gain (Loss) on
Foreign Currency Transactions (3) (5) 4 9
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency 6,224 14,049 (1,215) 5,552
Translation of Foreign Currency
Denominated Amounts (24) 12 (1) 1
----------- ----------- ----------- -----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations 6,739 10,683 (865) 5,255
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income (903) (396) (561) (1,138)
Net Short-Term Gains -- -- -- --
Net Long-Term Gains -- -- -- --
----------- ----------- ----------- -----------
Total Distributions (903) (396) (561) (1,138)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued 39,740 41,185 9,131 12,619
Shares Issued in Lieu of
Cash Distributions 899 396 534 1,136
Shares Redeemed (3,808) (8,702) (4,518) (11,515)
----------- ----------- ----------- -----------
Net Increase (Decrease) from
Capital Share Transactions 36,831 32,879 5,147 2,240
----------- ----------- ----------- -----------
Total Increase (Decrease) 42,667 43,166 3,721 6,357
NET ASSETS
Beginning of Period 65,879 22,713 26,735 20,378
----------- ----------- ----------- -----------
End of Period $ 108,546 $ 65,879 $ 30,456 $ 26,735
=========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 2,714 3,229 622 992
Shares Issued in Lieu of
Cash Distributions 65 37 38 96
Shares Redeemed (257) (659) (316) (933)
----------- ----------- ----------- -----------
2,522 2,607 344 155
=========== =========== =========== ===========
See accompanying Notes to the Financial Statements.
53
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UNITED KINGDOM CONTINENTAL SMALL
SMALL COMPANY COMPANY
PORTFOLIO PORTFOLIO
-------------------------- --------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 187 $ 306 $ 547 $ 427
Net Realized Gain (Loss) on
Investment Securities Sold 351 781 855 1,303
Net Realized Gain (Loss) on
Foreign Currency Transactions (2) (5) (9) 11
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency (204) 2,435 995 6,844
Translation of Foreign Currency
Denominated Amounts -- (3) (5) (6)
Deferred Thailand Capital Gains Tax -- -- -- --
----------- ----------- ----------- -----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations 332 3,514 2,383 8,579
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income (163) (723) (397) (970)
Net Short-Term Gains (141) -- (41) (290)
Net Long-Term Gains (538) -- (1,241) (3,086)
----------- ----------- ----------- -----------
Total Distributions (842) (723) (1,679) (4,346)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued 2,216 2,663 12,911 8,894
Shares Issued in Lieu of Cash
Distributions 842 723 1,654 4,343
Shares Redeemed (1,431) (2,570) (3,522) (8,007)
----------- ----------- ----------- -----------
Net Increase (Decrease) from
Capital Share Transactions 1,627 816 11,043 5,230
----------- ----------- ----------- -----------
Total Increase (Decrease) 1,117 3,607 11,747 9,463
NET ASSETS
Beginning of Period 15,816 12,209 33,839 24,376
----------- ----------- ----------- -----------
End of Period $ 16,933 $ 15,816 $ 45,586 $ 33,839
=========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 93 125 880 733
Shares Issued in Lieu of
Cash Distributions 36 37 121 400
Shares Redeemed (60) (122) (243) (671)
----------- ----------- ----------- -----------
69 40 758 462
=========== =========== =========== ===========
DFA
INTERNATIONAL
SMALL CAP VALUE EMERGING MARKETS
PORTFOLIO PORTFOLIO
-------------------------- --------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 42,027 $ 25,893 $ 20,176 $ 18,139
Net Realized Gain (Loss) on
Investment Securities Sold 64,514 61,932 9,739 251
Net Realized Gain (Loss) on
Foreign Currency Transactions (404) 215 (855) (1,457)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency 77,650 409,293 60,488 239,858
Translation of Foreign Currency
Denominated Amounts (332) 126 (24) 60
Deferred Thailand Capital Gains Tax -- -- 109 (960)
----------- ----------- ----------- -----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations 183,455 497,459 89,633 255,891
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income (19,794) (38,344) (9,480) (19,202)
Net Short-Term Gains (2,748) (197) -- --
Net Long-Term Gains (58,588) (8,285) -- --
----------- ----------- ----------- -----------
Total Distributions (81,130) (46,826) (9,480) (19,202)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued 1,005,692 818,387 230,008 385,464
Shares Issued in Lieu of Cash
Distributions 76,656 45,802 7,465 17,283
Shares Redeemed (178,094) (194,996) (82,785) (101,734)
----------- ----------- ----------- -----------
Net Increase (Decrease) from
Capital Share Transactions 904,254 669,193 154,688 301,013
----------- ----------- ----------- -----------
Total Increase (Decrease) 1,006,579 1,119,826 234,841 537,702
NET ASSETS
Beginning of Period 2,215,523 1,095,697 1,131,778 594,076
----------- ----------- ----------- -----------
End of Period $ 3,222,102 $ 2,215,523 $ 1,366,619 $ 1,131,778
=========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 63,006 62,188 13,819 28,628
Shares Issued in Lieu of
Cash Distributions 5,122 3,752 458 1,348
Shares Redeemed (11,167) (14,824) (4,977) (7,497)
----------- ----------- ----------- -----------
56,961 51,116 9,300 22,479
=========== =========== =========== ===========
See accompanying Notes to the Financial Statements.
54
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
[Enlarge/Download Table]
EMERGING MARKETS EMERGING MARKETS
SMALL CAP CORE EQUITY
PORTFOLIO PORTFOLIO
-------------------------- ----------------
SIX MONTHS YEAR
ENDED ENDED APRIL 5, 2005(1)
MAY 31, NOV. 30, TO
2005 2004 MAY 31, 2005
----------- ----------- ----------------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 3,363 $ 1,818 $ 276
Capital Gain Distributions Received from
The DFA Investment Trust Company -- -- --
Net Realized Gain (Loss) on
Investment Securities Sold 2,218 8,584 (1)
Net Realized Gain (Loss) on
Foreign Currency Transactions (81) (303) (27)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency 2,436 26,593 (1,094)
Translation of Foreign Currency
Denominated Amounts 6 33 32
Deferred Thailand Capital Gains Tax 92 312 (6)
----------- ----------- ----------------
Net Increase (Decrease) in
Net Assets Resulting from Operations 8,034 37,037 (820)
----------- ----------- ----------------
Distributions From:
Net Investment Income (767) (2,334) --
Net Short-Term Gains (2,143) (216) --
Net Long-Term Gains (6,395) (432) --
----------- ----------- ----------------
Total Distributions (9,305) (2,982) --
----------- ----------- ----------------
Capital Share Transactions (1):
Shares Issued 109,049 99,556 55,656
Shares Issued in Lieu of Cash
Distributions 8,423 2,969 --
Shares Redeemed (17,323) (30,905) (232)
----------- ----------- ----------------
Net Increase (Decrease) from
Capital Share Transactions 100,149 71,620 55,424
----------- ----------- ----------------
Total Increase (Decrease) 98,878 105,675 54,604
NET ASSETS
Beginning of Period 190,028 84,353 --
----------- ----------- ----------------
End of Period $ 288,906 $ 190,028 $ 54,604
=========== =========== ================
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 9,279 9,869 5,643
Shares Issued in Lieu of
Cash Distributions 751 317 --
Shares Redeemed (1,482) (3,223) (24)
----------- ----------- ----------------
8,548 6,963 5,619
=========== =========== ================
DFA
DFA ONE-YEAR TWO-YEAR
FIXED INCOME GLOBAL FIXED INCOME
PORTFOLIO PORTFOLIO
-------------------------- --------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 23,582 $ 24,725 $ 13,527 $ 20,008
Capital Gain Distributions Received from
The DFA Investment Trust Company -- 9,757 -- 13,460
Net Realized Gain (Loss) on
Investment Securities Sold (2,158) (3,878) (682) (372)
Net Realized Gain (Loss) on
Foreign Currency Transactions -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency 773 (12,753) 3,080 (18,662)
Translation of Foreign Currency
Denominated Amounts -- -- -- --
Deferred Thailand Capital Gains Tax -- -- -- --
----------- ----------- ----------- -----------
Net Increase (Decrease) in
Net Assets Resulting from Operations 22,197 17,851 15,925 14,434
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income (23,949) (24,460) (13,613) (22,447)
Net Short-Term Gains -- (9,586) -- (13,106)
Net Long-Term Gains -- -- -- --
----------- ----------- ----------- -----------
Total Distributions (23,949) (34,046) (13,613) (35,553)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued 810,023 1,216,580 399,087 740,944
Shares Issued in Lieu of Cash
Distributions 22,520 31,872 13,550 35,364
Shares Redeemed (477,672) (948,419) (257,222) (275,289)
----------- ----------- ----------- -----------
Net Increase (Decrease) from
Capital Share Transactions 354,871 300,033 155,415 501,019
----------- ----------- ----------- -----------
Total Increase (Decrease) 353,119 283,838 157,727 479,900
NET ASSETS
Beginning of Period 1,738,574 1,454,736 1,674,972 1,195,072
----------- ----------- ----------- -----------
End of Period $ 2,091,693 $ 1,738,574 $ 1,832,699 $ 1,674,972
=========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 79,584 118,714 40,360 74,279
Shares Issued in Lieu of
Cash Distributions 2,215 3,118 1,373 3,553
Shares Redeemed (46,940) (92,631) (26,008) (27,584)
----------- ----------- ----------- -----------
34,859 29,201 15,725 50,248
=========== =========== =========== ===========
----------
(1) The Portfolio commenced operations on April 5, 2005.
See accompanying Notes to the Financial Statements.
55
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DFA
DFA FIVE-YEAR FIVE-YEAR
GOVERNMENT GLOBAL FIXED INCOME
PORTFOLIO PORTFOLIO
-------------------------- --------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 10,143 $ 15,105 $ 22,226 $ 34,954
Net Realized Gain (Loss) on
Investment Securities Sold -- (884) (4,707) (5,049)
Net Realized Gain (Loss) on
Foreign Currency Transactions -- -- 16,353 (6,964)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency (845) (1,529) (23,924) 11,559
Translation of Foreign Currency
Denominated Amounts -- -- 19,080 (2,966)
----------- ----------- ----------- -----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations 9,298 12,692 29,028 31,534
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income (8,707) (16,684) (10,083) (32,175)
Net Short-Term Gains -- -- -- (7,366)
Net Long-Term Gains -- (13,164) -- (30,042)
----------- ----------- ----------- -----------
Total Distributions (8,707) (30,277) (10,083) (69,583)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued 160,336 234,672 367,391 486,993
Shares Issued in Lieu of Cash
Distributions 8,616 29,995 9,950 69,052
Shares Redeemed (51,418) (107,440) (136,686) (281,857)
----------- ----------- ----------- -----------
Net Increase (Decrease) from
Capital Share Transactions 117,534 157,227 240,655 274,188
----------- ----------- ----------- -----------
Total Increase (Decrease) 118,125 139,642 259,600 236,139
NET ASSETS
Beginning of Period 542,634 402,992 1,205,578 969,439
----------- ----------- ----------- -----------
End of Period $ 660,759 $ 542,634 $ 1,465,178 $ 1,205,578
=========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 15,229 21,929 34,925 46,221
Shares Issued in Lieu of
Cash Distributions 817 2,835 949 6,592
Shares Redeemed (4,882) (10,011) (12,998) (26,765)
----------- ----------- ----------- -----------
11,164 14,753 22,876 26,048
=========== =========== =========== ===========
DFA
INTERMEDIATE DFA
GOVERNMENT SHORT-TERM
FIXED INCOME MUNICIPAL BOND
PORTFOLIO PORTFOLIO
-------------------------- --------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 9,465 $ 16,093 $ 4,422 $ 5,359
Net Realized Gain (Loss) on
Investment Securities Sold 725 1,129 -- (17)
Net Realized Gain (Loss) on
Foreign Currency Transactions -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency 2,739 (3,418) (2,126) (1,598)
Translation of Foreign Currency
Denominated Amounts -- -- -- --
----------- ----------- ----------- -----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations 12,929 13,804 2,296 3,744
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income (8,627) (15,547) (4,073) (5,043)
Net Short-Term Gains -- (630) -- --
Net Long-Term Gains (1,145) (6,872) -- --
----------- ----------- ----------- -----------
Total Distributions (9,772) (23,049) (4,073) (5,043)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued 79,355 94,918 125,573 221,275
Shares Issued in Lieu of Cash
Distributions 9,652 22,843 3,978 4,959
Shares Redeemed (26,117) (51,642) (51,680) (56,615)
----------- ----------- ----------- -----------
Net Increase (Decrease) from
Capital Share Transactions 62,890 66,119 77,871 169,619
----------- ----------- ----------- -----------
Total Increase (Decrease) 66,047 56,874 76,094 168,320
NET ASSETS
Beginning of Period 373,108 316,234 381,709 213,389
----------- ----------- ----------- -----------
End of Period $ 439,155 $ 373,108 $ 457,803 $ 381,709
=========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 6,795 8,057 12,487 21,904
Shares Issued in Lieu of
Cash Distributions 829 1,941 396 492
Shares Redeemed (2,233) (4,392) (5,142) (5,608)
----------- ----------- ----------- -----------
5,391 5,606 7,741 16,788
=========== =========== =========== ===========
See accompanying Notes to the Financial Statements.
56
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
[Enlarge/Download Table]
U.S. LARGE COMPANY PORTFOLIO
---------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
----------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 34.59 $ 31.16 $ 27.56 $ 33.51 $ 38.70 $ 41.08
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.28 0.61 0.47 0.42 0.42 0.43
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.55 3.31 3.57 (5.95) (5.19) (2.16)
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.83 3.92 4.04 (5.53) (4.77) (1.73)
----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.38) (0.49) (0.44) (0.42) (0.42) (0.40)
Net Realized Gains -- -- -- -- -- (0.25)
Tax Return of Capital -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.38) (0.49) (0.44) (0.42) (0.42) (0.65)
----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 35.04 $ 34.59 $ 31.16 $ 27.56 $ 33.51 $ 38.70
============================================================================================================================
Total Return 2.39%# 12.68% 14.90% (16.64)% (12.41)% (4.33)%
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,743,617 $ 1,440,869 $ 1,017,265 $ 775,769 $ 851,921 $ 1,037,593
Ratio of Expenses to Average Net
Assets** 0.15%* 0.15% 0.15% 0.15% 0.15% 0.15%
Ratio of Expenses to Average Net
Assets (excluding waivers and
assumption of expenses and/or
recovery of previously waived fees)** 0.30%* 0.30% 0.30% 0.30% 0.30% 0.32%
Ratio of Net Investment Income
to Average Net Assets 1.69%* 1.92% 1.66% 1.43% 1.16% 1.02%
Portfolio Turnover Rate of
Master Fund Series 3%# 2% 8% 11% 8% 8%
ENHANCED U.S. LARGE COMPANY PORTFOLIO
---------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
----------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 9.35 $ 8.42 $ 7.41 $ 8.91 $ 11.91 $ 15.12
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.10 0.09 0.10 0.16 0.06 1.46
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.09 0.94 1.02 (1.52) (1.27) (2.00)
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.19 1.03 1.12 (1.36) (1.21) (0.54)
----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.11) (0.10) (0.11) (0.14) (0.68) (1.26)
Net Realized Gains -- -- -- -- (0.75) (1.41)
Tax Return of Capital -- -- -- -- (0.36) --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.11) (0.10) (0.11) (0.14) (1.79) (2.67)
----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 9.43 $ 9.35 $ 8.42 $ 7.41 $ 8.91 $ 11.91
============================================================================================================================
Total Return 1.98%# 12.28% 15.39% (15.40)% (11.90)% (4.84)%
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 270,720 $ 221,744 $ 141,489 $ 101,329 $ 90,780 $ 89,878
Ratio of Expenses to Average Net
Assets** 0.35%* 0.37% 0.36% 0.37% 0.39% 0.40%
Ratio of Expenses to Average Net
Assets (excluding waivers and
assumption of expenses and/or
recovery of previously waived fees)** 0.35%* 0.37% 0.36% 0.37% 0.39% 0.40%
Ratio of Net Investment Income
to Average Net Assets 2.00%* 0.95% 1.32% 2.00% 0.36% 10.58%
Portfolio Turnover Rate of
Master Fund Series 45%# 125% 138% 183% 122% 71%
* Annualized
# Non-annualized
** Represents the combined ratios for the respective portfolio and its
respective pro-rata share of the Master Fund Series.
See accompanying Notes to Financial Statements.
57
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U.S. LARGE CAP VALUE PORTFOLIO
---------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
----------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 19.37 $ 16.14 $ 13.63 $ 16.97 $ 18.36 $ 20.09
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.11 0.16 0.20 0.19 0.29 0.36
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.84 3.28 2.50 (1.51) 1.46 0.10
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.95 3.44 2.70 (1.32) 1.75 0.46
----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.12) (0.21) (0.19) (0.21) (0.30) (0.36)
Net Realized Gains -- -- -- (1.81) (2.84) (1.83)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.12) (0.21) (0.19) (2.02) (3.14) (2.19)
----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 20.20 $ 19.37 $ 16.14 $ 13.63 $ 16.97 $ 18.36
============================================================================================================================
Total Return 4.91%# 21.48% 20.10% (8.77)% 10.83% 2.85%
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 3,218,966 $ 2,630,361 $ 1,709,428 $ 1,176,711 $ 1,166,611 $ 1,245,177
Ratio of Expenses to Average Net
Assets** 0.30%* 0.32% 0.31% 0.32% 0.31% 0.33%
Ratio of Expenses to Average Net
Assets (excluding waivers and
assumption of expenses and/or
recovery of previously waived fees)** 0.30%* 0.32% 0.31% 0.32% 0.31% 0.33%
Ratio of Net Investment Income
to Average Net Assets 1.06%* 0.89% 1.46% 1.25% 1.59% 1.97%
Portfolio Turnover Rate of Master
Fund Series 3%# 7% 7% 9% 6% 26%
U.S. SMALL XM VALUE PORTFOLIO
---------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR FEB. 23,
ENDED ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
----------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 17.09 $ 15.14 $ 12.41 $ 13.03 $ 11.06 $ 10.00
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.95 0.86 0.05 0.07 0.14 0.15
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.77) 2.88 4.12 0.18 2.38 0.91
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.18 3.74 4.17 0.25 2.52 1.06
----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.96) (0.90) (0.09) (0.12) (0.18) --
Net Realized Gains (0.61) (0.89) (1.35) (0.75) (0.37) --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (1.57) (1.79) (1.44) (0.87) (0.55) --
----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 15.70 $ 17.09 $ 15.14 $ 12.41 $ 13.03 $ 11.06
============================================================================================================================
Total Return 1.05%# 27.36% 38.43% 1.77% 23.77% 10.60%#
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 152,794 $ 159,325 $ 96,924 $ 66,954 $ 69,130 $ 67,638
Ratio of Expenses to Average Net
Assets** 0.48%* 0.50% 0.47% 0.50% 0.47% 0.50%*
Ratio of Expenses to Average Net
Assets (excluding waivers and
assumption of expenses and/or
recovery of previously waived fees)** 0.48%* 0.48% 0.48% 0.52% 0.47% 0.85%*
Ratio of Net Investment Income
to Average Net Assets 1.48%* 0.27% 0.41% 0.73% 1.03% 8.77%*
Portfolio Turnover Rate of Master
Fund Series 14%# 38% 43% 34% 8% 26%(a)
* Annualized
# Non-annualized
** Represents the combined ratios for the respective portfolio and its
respective pro-rata share of the Master Fund Series.
(a) For the year ended November 30, 2000.
See accompanying Notes to Financial Statements.
58
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U.S. SMALL CAP VALUE PORTFOLIO
-----------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period $ 27.71 $ 23.26 $ 17.70 $ 21.11 $ 18.79 $ 19.17
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income (Loss) 0.41 0.30 0.08 0.08 0.12 0.12
Net Gains (Losses)
on Securities (Realized
and Unrealized) (0.52) 5.73 7.21 0.19 3.95 1.11
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment
Operations (0.11) 6.03 7.29 0.27 4.07 1.23
------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.43) (0.38) (0.07) (0.12) (0.13) (0.10)
Net Realized Gains (1.36) (1.20) (1.66) (3.56) (1.62) (1.51)
Tax Return of Capital -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (1.79) (1.58) (1.73) (3.68) (1.75) (1.61)
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 25.81 $ 27.71 $ 23.26 $ 17.70 $ 21.11 $ 18.79
==============================================================================================================================
Total Return (0.50)%# 27.46% 45.92% 0.71% 23.47% 6.99%
------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 6,070,939 $ 5,795,166 $ 4,209,747 $ 2,972,651 $ 2,914,661 $ 2,633,943
Ratio of Expenses to Average
Net Assets** 0.55%* 0.56% 0.56% 0.56% 0.56% 0.56%
Ratio of Net Investment Income
to Average Net Assets 0.81%* 0.04% 0.46% 0.42% 0.54% 0.60%
Portfolio Turnover Rate of Master
Fund Series 14%# 26% 35% 30% 13% 32%
U.S. SMALL CAP PORTFOLIO
-----------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period $ 19.13 $ 16.52 $ 11.97 $ 14.43 $ 14.27 $ 14.68
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income (Loss) 0.20 0.05 0.06 0.07 0.09 0.08
Net Gains (Losses)
on Securities (Realized
and Unrealized) (0.49) 2.67 4.65 (1.16) 1.57 0.78
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment
Operations (0.29) 2.72 4.71 (1.09) 1.66 0.86
------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.22) (0.10) (0.07) (0.08) (0.09) (0.08)
Net Realized Gains -- -- (0.09) (1.29) (1.41) (1.19)
Tax Return of Capital -- (0.01) -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.22) (0.11) (0.16) (1.37) (1.50) (1.27)
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 18.62 $ 19.13 $ 16.52 $ 11.97 $ 14.43 $ 14.27
==============================================================================================================================
Total Return (1.57)%# 16.59% 39.89% (8.73)% 12.70% 6.09%
------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 2,273,679 $ 2,137,970 $ 1,134,027 $ 646,872 $ 784,278 $ 585,873
Ratio of Expenses to Average
Net Assets** 0.40%* 0.41% 0.42% 0.41% 0.42% 0.43%
Ratio of Net Investment Income
to Average Net Assets 0.51%* 0.22% 0.52% 0.47% 0.62% 0.63%
Portfolio Turnover Rate of Master
Fund Series 9%# 16% 16% 34% 13% 38%
* Annualized
# Non-annualized
** Represents the combined ratios for the respective portfolio and its
respective pro-rata share of the Master Fund Series.
See accompanying Notes to Financial Statements.
59
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U.S. MICRO CAP PORTFOLIO
-----------------------------------------------
SIX MONTHS YEAR YEAR
ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30,
2005 2004 2003
------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period $ 15.06 $ 13.34 $ 9.07
----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.25 0.19 0.03
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.63) 1.93 4.40
----------- ----------- -----------
Total From Investment
Operations (0.38) 2.12 4.43
------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.26) (0.22) (0.02)
Net Realized Gains (0.36) (0.18) (0.14)
----------- ----------- -----------
Total Distributions (0.62) (0.40) (0.16)
------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 14.06 $ 15.06 $ 13.34
==========================================================================================
Total Return (2.70)%# 16.34% 49.69%
------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 3,334,509 $ 3,214,520 $ 2,622,847
Ratio of Expenses to Average
Net Assets 0.55%(a)* 0.56%(a) 0.56%(a)
Ratio of Net Investment Income to
Average Net Assets 0.21%* 0.06% 0.25%
Portfolio Turnover Rate N/A N/A N/A
Portfolio Turnover Rate of Master
Fund Series 10%# 27% 19%
U.S. MICRO CAP PORTFOLIO
-----------------------------------------------
YEAR YEAR YEAR
ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30,
2002 2001 2000
------------------------------------------------------------------------------------------
Net Asset Value, Beginning of
Period $ 11.09 $ 11.93 $ 12.54
----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.03 0.05 0.04
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.29) 1.59 0.61
----------- ----------- -----------
Total From Investment
Operations (0.26) 1.64 0.65
------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.05) (0.05) (0.04)
Net Realized Gains (1.71) (2.43) (1.22)
----------- ----------- -----------
Total Distributions (1.76) (2.48) (1.26)
------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 9.07 $ 11.09 $ 11.93
==========================================================================================
Total Return (3.31)% 17.22% 5.36%
------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 1,609,472 $ 1,606,367 $ 1,443,412
Ratio of Expenses to Average
Net Assets 0.56%(a) 0.56%(a) 0.56%(a)
Ratio of Net Investment Income to
Average Net Assets 0.24% 0.41% 0.34%
Portfolio Turnover Rate N/A N/A N/A
Portfolio Turnover Rate of Master
Fund Series 19% 14% 37%
DFA REAL ESTATE SECURITIES PORTFOLIO
-----------------------------------------------
SIX MONTHS YEAR YEAR
ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30,
2005 2004 2003
------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period $ 23.02 $ 18.80 $ 14.91
----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.52 0.62 0.64
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.98 4.47 4.08
----------- ----------- -----------
Total From Investment
Operations 1.50 5.09 4.72
------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.67) (0.71) (0.75)
Net Realized Gains (0.56) (0.16) (0.08)
----------- ----------- -----------
Total Distributions (1.23) (0.87) (0.83)
------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 23.29 $ 23.02 $ 18.80
==========================================================================================
Total Return 6.66%# 29.44% 33.48%
------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 1,543,595 $ 1,308,898 $ 783,405
Ratio of Expenses to Average
Net Assets 0.37%* 0.39% 0.41%
Ratio of Net Investment Income to
Average Net Assets 4.14%* 3.61% 4.19%
Portfolio Turnover Rate 1%# 6% 2%
Portfolio Turnover Rate of Master
Fund Series N/A+ N/A+ N/A+
DFA REAL ESTATE SECURITIES PORTFOLIO
-----------------------------------------------
YEAR YEAR YEAR
ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30,
2002 2001 2000
------------------------------------------------------------------------------------------
Net Asset Value, Beginning of
Period $ 15.02 $ 13.51 $ 11.50
----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.54 0.82 0.76
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.18 1.49 1.90
----------- ----------- -----------
Total From Investment
Operations 0.72 2.31 2.66
------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.75) (0.80) (0.65)
Net Realized Gains (0.08) -- --
----------- ----------- -----------
Total Distributions (0.83) (0.80) (0.65)
------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 14.91 $ 15.02 $ 13.51
==========================================================================================
Total Return 5.36% 17.76% 24.49%
------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 413,264 $ 283,732 $ 210,231
Ratio of Expenses to Average
Net Assets 0.42% 0.43% 0.45%
Ratio of Net Investment Income to
Average Net Assets 4.71% 5.55% 6.06%
Portfolio Turnover Rate 2% 6% 7%
Portfolio Turnover Rate of Master
Fund Series N/A+ N/A+ N/A+
* Annualized
# Non-annualized
(a) For the U.S. Micro Cap Portfolio, the expense ratios represent the combined
ratios for the Portfolio and its respective pro-rata share of its Master
Fund Series.
N/A Refer to the Master Fund Series.
N/A+ Not applicable, as the DFA Real Estate Securities Portfolio is a
stand-alone registered investment company.
See accompanying Notes to Financial Statements.
60
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LARGE CAP INTERNATIONAL PORTFOLIO
-----------------------------------------------
SIX MONTHS YEAR YEAR
ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30,
2005 2004 2003
------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period $ 17.31 $ 14.65 $ 12.10
----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.27 0.31 0.25
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.03) 2.86 2.51
----------- ----------- -----------
Total From Investment
Operations 0.24 3.17 2.76
------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.18) (0.51) (0.21)
Net Realized Gains -- -- --
----------- ----------- -----------
Total Distributions (0.18) (0.51) (0.21)
------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 17.37 $ 17.31 $ 14.65
==========================================================================================
Total Return 1.37%# 22.09% 23.32%
------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 952,097 $ 844,883 $ 504,123
Ratio of Expenses to Average
Net Assets 0.38%* 0.41% 0.43%
Ratio of Net Investment Income to
Average Net Assets 3.07%* 2.07% 2.10%
Portfolio Turnover Rate 2%# 1% 1%
LARGE CAP INTERNATIONAL PORTFOLIO
-----------------------------------------------
YEAR YEAR YEAR
ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30,
2002 2001 2000
------------------------------------------------------------------------------------------
Net Asset Value, Beginning of
Period $ 13.90 $ 17.30 $ 19.41
----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.22 0.25 0.23
Net Gains (Losses) on Securities
(Realized and Unrealized) (1.79) (3.38) (1.96)
----------- ----------- -----------
Total From Investment
Operations (1.57) (3.13) (1.73)
------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.23) (0.22) (0.21)
Net Realized Gains -- (0.05) (0.17)
----------- ----------- -----------
Total Distributions (0.23) (0.27) (0.38)
------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 12.10 $ 13.90 $ 17.30
==========================================================================================
Total Return (11.50)% (18.42)% (9.19)%
------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 337,367 $ 344,871 $ 358,638
Ratio of Expenses to Average
Net Assets 0.44% 0.45% 0.47%
Ratio of Net Investment Income to
Average Net Assets 1.74% 1.65% 1.21%
Portfolio Turnover Rate 9% 4% 1%
INTERNATIONAL SMALL COMPANY PORTFOLIO
-----------------------------------------------
SIX MONTHS YEAR YEAR
ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30,
2005 2004 2003
------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period $ 14.12 $ 11.00 $ 7.41
----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.17 0.22 0.16
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.59 3.24 3.57
----------- ----------- -----------
Total From Investment
Operations 0.76 3.46 3.73
------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.10) (0.34) (0.14)
Net Realized Gains (0.33) -- --
----------- ----------- -----------
Total Distributions (0.43) (0.34) (0.14)
------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 14.45 $ 14.12 $ 11.00
==========================================================================================
Total Return 5.52%# 32.10% 51.28%
------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 2,041,506 $ 1,658,285 $ 909,887
Ratio of Expenses to Average
Net Assets 0.65%(a)* 0.69%(a) 0.71%(a)
Ratio of Net Investment Income to
Average Net Assets 2.36%* 1.82% 1.97%
Portfolio Turnover Rate N/A N/A N/A
INTERNATIONAL SMALL COMPANY PORTFOLIO
-----------------------------------------------
YEAR YEAR YEAR
ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30,
2002 2001 2000
------------------------------------------------------------------------------------------
Net Asset Value, Beginning of
Period $ 7.67 $ 8.49 $ 9.13
----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.14 0.15 0.17
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.25) (0.67) (0.62)
----------- ----------- -----------
Total From Investment
Operations (0.11) (0.52) (0.45)
------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.15) (0.17) (0.19)
Net Realized Gains -- (0.13) --
----------- ----------- -----------
Total Distributions (0.15) (0.30) (0.19)
------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 7.41 $ 7.67 $ 8.49
==========================================================================================
Total Return (1.39)% (6.36)% (5.01)%
------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 464,578 $ 356,200 $ 309,060
Ratio of Expenses to Average
Net Assets 0.71%(a) 0.72%(a) 0.71%(a)
Ratio of Net Investment Income to
Average Net Assets 1.83% 2.02% 2.10%
Portfolio Turnover Rate N/A N/A N/A
* Annualized
# Non-annualized
(a) For the International Small Company Portfolio, the expense ratios represent
the combined ratios for the Portfolio and its respective pro-rata share of
its Master Fund Series.
N/A Refer to the respective Master Fund Series.
See accompanying Notes to Financial Statements.
61
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JAPANESE SMALL COMPANY PORTFOLIO
--------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 13.99 $ 10.80 $ 7.49 $ 8.42 $ 9.90 $ 11.11
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.14 0.22 0.05 0.06 0.09 0.10
Net Gains (Losses) on Securities
(Realized and Unrealized) 1.04 3.16 3.35 (0.90) (1.46) (1.24)
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 1.18 3.38 3.40 (0.84) (1.37) (1.14)
---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.16) (0.19) (0.09) (0.09) (0.11) (0.07)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.16) (0.19) (0.09) (0.09) (0.11) (0.07)
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 15.01 $ 13.99 $ 10.80 $ 7.49 $ 8.42 $ 9.90
=================================================================================================================================
Total Return 8.54%# 31.79% 46.01% (9.96)% (13.94)% (10.23)%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 108,546 $ 65,879 $ 22,713 $ 51,819 $ 76,570 $ 101,115
Ratio of Expenses to Average
Net Assets** 0.69%* 0.73% 0.75% 0.74% 0.74% 0.72%
Ratio of Expenses to Average Net
Assets (excluding waivers and
assumption of expenses and/or
recovery of previously waived fees)** 0.69%* 0.79% 0.85% 0.75% 0.74% 0.72%
Ratio of Net Investment Income to
Average Net Assets 1.56%* 1.01% 1.18% 0.76% 0.93% 0.93%
Portfolio Turnover Rate of Master
Fund Series 2%# 5% 16% 5% 9% 5%
PACIFIC RIM SMALL COMPANY PORTFOLIO
--------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 14.54 $ 12.10 $ 7.92 $ 7.70 $ 7.89 $ 9.76
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.33 0.50 (0.13) 0.24 0.25 0.34
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.61) 2.58 4.69 0.27 (0.06) (1.80)
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations (0.28) 3.08 4.56 0.51 0.19 (1.46)
---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.31) (0.64) (0.38) (0.29) (0.38) (0.41)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.31) (0.64) (0.38) (0.29) (0.38) (0.41)
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 13.95 $ 14.54 $ 12.10 $ 7.92 $ 7.70 $ 7.89
=================================================================================================================================
Total Return (1.97)%# 26.73% 60.57% 6.92% 2.32% (15.65)%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 30,456 $ 26,735 $ 20,378 $ 54,185 $ 74,185 $ 88,307
Ratio of Expenses to Average
Net Assets** 0.75%* 0.80% 0.78% 0.79% 0.75% 0.74%
Ratio of Expenses to Average Net
Assets (excluding waivers and
assumption of expenses and/or
recovery of previously waived fees)** 0.86%* 0.96% 0.88% 0.80% 0.75% 0.74%
Ratio of Net Investment Income to
Average Net Assets 3.29%* 3.29% 2.87% 3.23% 3.18% 3.64%
Portfolio Turnover Rate of Master
Fund Series 3%# 11% 15% 26% 10% 7%
* Annualized
# Non-annualized
** Represents the combined ratios for the respective portfolio and its
respective pro-rata share of its Master Fund Series.
See accompanying Notes to Financial Statements.
62
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UNITED KINGDOM SMALL COMPANY PORTFOLIO
--------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 23.47 $ 19.26 $ 14.24 $ 16.23 $ 19.31 $ 24.22
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.27 0.48 0.62 0.50 0.47 0.65
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.31 4.87 5.26 (1.23) (1.26) (1.89)
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.58 5.35 5.88 (0.73) (0.79) (1.24)
---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.24) (1.14) (0.54) (0.48) (0.63) (0.82)
Net Realized Gains (1.02) -- (0.32) (0.78) (1.66) (2.85)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (1.26) (1.14) (0.86) (1.26) (2.29) (3.67)
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 22.79 $ 23.47 $ 19.26 $ 14.24 $ 16.23 $ 19.31
=================================================================================================================================
Total Return 2.38%# 29.05% 44.01% (5.13)% (5.36)% (6.57)%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 16,933 $ 15,816 $ 12,209 $ 28,985 $ 41,143 $ 56,400
Ratio of Expenses to Average Net
Assets** 0.70%* 0.74% 0.73% 0.73% 0.74% 0.73%
Ratio of Expenses to Average
Net Assets (excluding waivers
and assumption of expenses and/or
recovery of previously waived fees)** 0.93%* 1.04% 0.96% 0.80% 0.79% 0.74%
Ratio of Net Investment Income
to Average Net Assets 2.21%* 2.21% 2.83% 2.55% 2.38% 2.59%
Portfolio Turnover Rate of Master
Fund Series 5%# 7% 7% 6% 14% 11%
CONTINENTAL SMALL COMPANY PORTFOLIO
--------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 14.12 $ 12.60 $ 8.93 $ 9.96 $ 12.33 $ 14.29
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.14 0.17 0.49 0.23 0.27 0.33
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.89 3.64 3.83 0.02 (0.85) (0.01)
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 1.03 3.81 4.32 0.25 (0.58) 0.32
---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.17) (0.50) (0.22) (0.27) (0.32) (0.25)
Net Realized Gains (0.53) (1.79) (0.43) (1.01) (1.47) (2.03)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.70) (2.29) (0.65) (1.28) (1.79) (2.28)
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 14.45 $ 14.12 $ 12.60 $ 8.93 $ 9.96 $ 12.33
=================================================================================================================================
Total Return 7.52%# 35.91% 52.10% 2.71% (5.85)% 2.26%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 45,586 $ 33,839 $ 24,376 $ 60,743 $ 82,883 $ 110,220
Ratio of Expenses to Average Net
Assets** 0.71%* 0.73% 0.77% 0.78% 0.76% 0.72%
Ratio of Expenses to Average
Net Assets (excluding waivers
and assumption of expenses and/or
recovery of previously waived fees)** 0.79%* 0.87% 0.88% 0.78% 0.76% 0.72%
Ratio of Net Investment Income
to Average Net Assets 2.73%* 1.56% 2.07% 1.84% 2.28% 1.92%
Portfolio Turnover Rate of Master
Fund Series 3%# 9% 11% 12% 12% 9%
* Annualized
# Non-annualized
** Represents the combined ratios for the respective portfolio and its
respective pro-rata share of its Master Fund Series.
See accompanying Notes to Financial Statements.
63
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DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
---------------------------------------------
SIX MONTHS YEAR YEAR
ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30,
2005 2004 2003
----------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 15.16 $ 11.52 $ 7.42
----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.24 0.23 0.16
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.99 3.85 4.09
----------- ----------- -----------
Total From Investment Operations 1.23 4.08 4.25
----------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.13) (0.35) (0.15)
Net Realized Gains (0.40) (0.09) --
----------- ----------- -----------
Total Distributions (0.53) (0.44) (0.15)
----------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 15.86 $ 15.16 $ 11.52
========================================================================================
Total Return 8.33%# 36.34% 58.44%
----------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 3,222,102 $ 2,215,523 $ 1,095,697
Ratio of Expenses to Average Net
Assets 0.75%* 0.78% 0.81%
Ratio of Net Investment Income
to Average Net Assets 2.97%* 1.63% 1.75%
Portfolio Turnover Rate 5%# 10% 10%
Portfolio Turnover Rate of Master Fund
Series N/A+ N/A+ N/A+
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
---------------------------------------------
YEAR YEAR YEAR
ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30,
2002 2001 2000
----------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 7.39 $ 7.84 $ 8.49
----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.15 0.19 0.18
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.06 (0.20) (0.63)
----------- ----------- -----------
Total From Investment Operations 0.21 (0.01) (0.45)
----------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.18) (0.18) (0.20)
Net Realized Gains -- (0.26) --
----------- ----------- -----------
Total Distributions (0.18) (0.44) (0.20)
----------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 7.42 $ 7.39 $ 7.84
========================================================================================
Total Return 2.95% (0.15)% (5.36)%
----------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 576,537 $ 492,911 $ 472,235
Ratio of Expenses to Average Net
Assets 0.83% 0.83% 0.82%
Ratio of Net Investment Income
to Average Net Assets 1.87% 2.36% 2.28%
Portfolio Turnover Rate 21% 13% 16%
Portfolio Turnover Rate of Master Fund
Series N/A+ N/A+ N/A+
EMERGING MARKETS PORTFOLIO
---------------------------------------------
SIX MONTHS YEAR YEAR
ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30,
2005 2004 2003
----------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 15.61 $ 11.87 $ 8.65
----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.24 0.27 0.16
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.98 3.80 3.18
----------- ----------- -----------
Total From Investment Operations 1.22 4.07 3.34
----------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.13) (0.33) (0.12)
Net Realized Gains -- -- --
----------- ----------- -----------
Total Distributions (0.13) (0.33) (0.12)
----------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 16.70 $ 15.61 $ 11.87
========================================================================================
Total Return 7.83%# 34.95% 39.13%
----------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,366,619 $ 1,131,778 $ 594,076
Ratio of Expenses to Average Net
Assets 0.69%*(a) 0.74%(a) 0.78%(a)
Ratio of Net Investment Income
to Average Net Assets 3.16%* 2.20% 1.79%
Portfolio Turnover Rate N/A N/A N/A
Portfolio Turnover Rate of Master Fund
Series 2%# 2% 1%
EMERGING MARKETS PORTFOLIO
---------------------------------------------
YEAR YEAR YEAR
ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30,
2002 2001 2000
----------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 8.62 $ 9.52 $ 12.37
----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.10 0.12 0.11
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.05 (0.96) (2.86)
----------- ----------- -----------
Total From Investment Operations 0.15 (0.84) (2.75)
----------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.12) (0.06) (0.10)
Net Realized Gains -- -- --
----------- ----------- -----------
Total Distributions (0.12) (0.06) (0.10)
----------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 8.65 $ 8.62 $ 9.52
========================================================================================
Total Return 1.71% (8.95)% (22.49)%
----------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 333,866 $ 298,036 $ 286,152
Ratio of Expenses to Average Net
Assets 0.78%(a) 0.90%(a) 0.90%(a)
Ratio of Net Investment Income
to Average Net Assets 1.20% 1.50% 0.90%
Portfolio Turnover Rate N/A N/A N/A
Portfolio Turnover Rate of Master Fund
Series 8% 6% 12%
* Annualized
# Non-annualized
(a) For the Emerging Markets Portfolio, the expense ratios represent the
combined ratios for the Portfolio and its respective pro-rata share of its
Master Fund Series.
N/A Refer to the Master Fund Series.
N/A+ Not applicable, as the DFA International Small Cap Value Portfolio is a
stand-alone registered investment company.
See accompanying Notes to Financial Statements.
64
[Enlarge/Download Table]
EMERGING MARKETS SMALL CAP PORTFOLIO
---------------------------------------------
SIX MONTHS YEAR YEAR
ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30,
2005 2004 2003
--------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 11.44 $ 8.74 $ 5.89
----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.14 0.11 0.10
Net Gains (Losses) on Securities (Realized and Unrealized) 0.43 2.85 2.88
----------- ----------- -----------
Total From Investment Operations 0.57 2.96 2.98
--------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.04) (0.19) (0.07)
Net Realized Gains (0.49) (0.07) (0.06)
----------- ----------- -----------
Total Distributions (0.53) (0.26) (0.13)
--------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 11.48 $ 11.44 $ 8.74
====================================================================================================================
Total Return 5.13%# 34.55% 51.84%
--------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 288,906 $ 190,028 $ 84,353
Ratio of Expenses to Average Net Assets 0.97%*(a) 1.04%(a) 1.12%(a)
Ratio of Expenses to Average Net Assets (excluding waivers and
assumption of expenses and/or recovery of previously waived fees) 0.97%*(a) 1.04%(a) 1.12%(a)
Ratio of Net Investment Income to Average Net Assets 2.71%* 1.41% 1.81%
Portfolio Turnover Rate N/A N/A N/A
Portfolio Turnover Rate of Master Fund Series 2%# 11% 6%
--------------------------------------------------------------------------------------------------------------------
EMERGING MARKETS SMALL CAP PORTFOLIO
---------------------------------------------
YEAR YEAR YEAR
ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30,
2002 2001 2000
---------------------------------------------
Net Asset Value, Beginning of Period $ 5.33 $ 6.79 $ 14.88
----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.06 0.10 0.12
Net Gains (Losses) on Securities (Realized and Unrealized) 0.54 (0.65) (1.68)
----------- ----------- -----------
Total From Investment Operations 0.60 (0.55) (1.56)
--------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.04) (0.06) (0.15)
Net Realized Gains -- (0.85) (6.38)
----------- ----------- -----------
Total Distributions (0.04) (0.91) (6.53)
--------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 5.89 $ 5.33 $ 6.79
====================================================================================================================
Total Return 11.23% (9.44)% (23.38)%
--------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 26,516 $ 15,172 $ 10,992
Ratio of Expenses to Average Net Assets 1.20%(a) 1.56%(a) 1.56%(a)
Ratio of Expenses to Average Net Assets (excluding waivers and
assumption of expenses and/or recovery of previously waived fees) 1.20%(a) 1.56%(a) 1.56%(a)
Ratio of Net Investment Income to Average Net Assets 1.31% 1.18% 0.77%
Portfolio Turnover Rate N/A N/A N/A
Portfolio Turnover Rate of Master Fund Series 16% 14% 20%
--------------------------------------------------------------------------------------------------------------------
EMERGING MARKETS
CORE EQUITY
PORTFOLIO
-----------------
FOR THE PERIOD
APRIL 5, 2005(1)
TO
MAY 31, 2005
-----------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 10.00
-----------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.04
Net Gains (Losses) on Securities (Realized and Unrealized) (0.32)
-----------------
Total From Investment Operations (0.28)
----------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income --
Net Realized Gains --
-----------------
Total Distributions --
----------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 9.72
========================================================================================
Total Return (2.80)%#
----------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 54,604
Ratio of Expenses to Average Net Assets 1.38%*
Ratio of Expenses to Average Net Assets (excluding waivers and
assumption of expenses and/or recovery of previously waived fees) 1.92%*
Ratio of Net Investment Income to Average Net Assets 5.08%*
Portfolio Turnover Rate 0%#
Portfolio Turnover Rate of Master Fund Series N/A+
----------------------------------------------------------------------------------------
* Annualized
# Non-annualized
(1) Commencement of operations.
(a) For the Emerging Markets Small Cap Portfolio, the expense ratios represent
the combined ratios for the Portfolio and its respective pro-rata share of
its Master Fund Series.
N/A Refer to Master Fund Series.
N/A+ Not applicable, as the Emerging Markets Core Equity Portfolio is a stand
alone registered investment company.
See accompanying Notes to Financial Statements.
65
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DFA ONE-YEAR FIXED INCOME PORTFOLIO
--------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 10.20 $ 10.30 $ 10.39 $ 10.31 $ 10.21 $ 10.17
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.12 0.25 0.16 0.27 0.51 0.60
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.01) (0.10) 0.03 0.08 0.11 0.04
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.11 0.15 0.19 0.35 0.62 0.64
---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.12) (0.25) (0.16) (0.27) (0.52) (0.60)
Net Realized Gains -- -- (0.12) -- -- --
Tax Return of Capital -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.12) (0.25) (0.28) (0.27) (0.52) (0.60)
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 10.19 $ 10.20 $ 10.30 $ 10.39 $ 10.31 $ 10.21
=================================================================================================================================
Total Return 1.12%# 1.08% 1.85% 3.43% 6.21% 6.49%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 2,091,693 $ 1,738,574 $ 1,454,736 $ 992,307 $ 739,847 $ 725,284
Ratio of Expenses to Average Net
Assets** 0.20%* 0.20% 0.20% 0.20% 0.20% 0.20%
Ratio of Net Investment Income
to Average Net Assets 2.36%* 1.40% 1.45% 2.56% 5.04% 5.90%
Portfolio Turnover Rate of Master
Fund Series 39%# 154% 143% 154% 55% 35%
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
--------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 9.92 $ 10.08 $ 10.19 $ 9.95 $ 10.05 $ 10.31
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.08 0.25 0.22 0.25 0.19 1.01
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.01 (0.14) 0.01 0.20 0.45 (0.41)
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.09 0.11 0.23 0.45 0.64 0.60
---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.08) (0.27) (0.34) (0.21) (0.56) (0.86)
Net Realized Gains -- -- -- -- -- --
Tax Return of Capital -- -- -- -- (0.18) --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.08) (0.27) (0.34) (0.21) (0.74) (0.86)
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 9.93 $ 9.92 $ 10.08 $ 10.19 $ 9.95 $ 10.05
=================================================================================================================================
Total Return 0.90%# 1.08% 2.26% 4.54% 6.75% 6.18%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,832,699 $ 1,674,972 $ 1,195,072 $ 799,214 $ 596,119 $ 518,491
Ratio of Expenses to Average Net
Assets** 0.21%* 0.23% 0.25% 0.25% 0.27% 0.27%
Ratio of Net Investment Income
to Average Net Assets 1.56%* 1.35% 1.68% 2.58% 1.34% 9.97%
Portfolio Turnover Rate of Master
Fund Series 39%# 131% 144% 138% 113% 73%
* Annualized
# Non-annualized
** Represents the combined ratio for the respective portfolio and its
respective pro-rata share of its Master Fund Series.
See accompanying Notes to Financial Statements.
66
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DFA FIVE-YEAR GOVERNMENT PORTFOLIO
--------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 10.64 $ 11.11 $ 11.05 $ 10.56 $ 10.32 $ 10.26
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.17 0.33 0.34 0.41 0.49 0.59
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.02) (0.01) 0.10 0.51 0.32 0.01
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.15 0.32 0.44 0.92 0.81 0.60
---------------------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income (0.16) (0.41) (0.38) (0.43) (0.57) (0.54)
Net Realized Gains -- (0.38) -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.16) (0.79) (0.38) (0.43) (0.57) (0.54)
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 10.63 $ 10.64 $ 11.11 $ 11.05 $ 10.56 $ 10.32
=================================================================================================================================
Total Return 1.46%# 3.02% 4.02% 9.06% 8.18% 6.16%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 660,759 $ 542,634 $ 402,992 $ 315,290 $ 243,880 $ 218,557
Ratio of Expenses to Average Net Assets 0.26%* 0.27% 0.27% 0.26% 0.27% 0.28%
Ratio of Net Investment Income to
Average Net Assets 3.40%* 3.21% 3.20% 4.09% 4.79% 5.75%
Portfolio Turnover Rate 0%# 45% 149% 19% 189% 60%
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
--------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 10.50 $ 10.92 $ 10.93 $ 10.50 $ 10.50 $ 10.53
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.29 0.26 0.33 0.33 0.50 0.61
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.07) 0.06 0.15 0.44 0.22 --
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.22 0.32 0.48 0.77 0.72 0.61
---------------------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income (0.08) (0.32) (0.39) (0.33) (0.72) (0.64)
Net Realized Gains -- (0.42) (0.10) (0.01) -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.08) (0.74) (0.49) (0.34) (0.72) (0.64)
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 10.64 $ 10.50 $ 10.92 $ 10.93 $ 10.50 $ 10.50
=================================================================================================================================
Total Return 2.13%# 3.04% 4.45% 7.55% 7.23% 6.09%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,465,178 $ 1,205,578 $ 969,439 $ 761,717 $ 628,936 $ 517,325
Ratio of Expenses to Average Net Assets 0.33%* 0.34% 0.34% 0.35% 0.37% 0.38%
Ratio of Net Investment Income to
Average Net Assets 3.39%* 3.12% 3.23% 4.09% 4.04% 4.15%
Portfolio Turnover Rate 32%# 90% 103% 79% 113% 80%
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
67
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
[Enlarge/Download Table]
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
-------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 11.79 $ 12.14 $ 12.39 $ 11.90 $ 11.18 $ 10.84
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.27 0.55 0.62 0.65 0.65 0.63
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.09 (0.05) (0.02) 0.48 0.71 0.38
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.36 0.50 0.60 1.13 1.36 1.01
---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.26) (0.56) (0.65) (0.64) (0.64) (0.63)
Net Realized Gains (0.04) (0.29) (0.20) -- -- (0.04)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.30) (0.85) (0.85) (0.64) (0.64) (0.67)
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 11.85 $ 11.79 $ 12.14 $ 12.39 $ 11.90 $ 11.18
=================================================================================================================================
Total Return 3.09%# 4.21% 4.86% 9.95% 12.57% 9.75%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 439,155 $ 373,108 $ 316,234 $ 300,059 $ 310,661 $ 286,444
Ratio of Expenses to Average Net Assets 0.16%* 0.17% 0.17% 0.16% 0.16% 0.18%
Ratio of Expenses to Average Net Assets
(excluding waivers and assumption of
expenses and/or recovery of
previously waived fees) 0.16%* 0.17% 0.17% 0.16% 0.16% 0.18%
Ratio of Net Investment Income to
Average Net Assets 4.66%* 4.72% 4.91% 5.37% 5.60% 6.00%
Portfolio Turnover Rate 4%# 6% 23% 14% 17% 8%
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
--------------------------------------------------------
SIX MONTHS YEAR YEAR AUG. 20
ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002
---------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 10.09 $ 10.13 $ 9.97 $ 10.00
----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.10 0.17 0.16 0.04
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.05) (0.04) 0.15 (0.04)
----------- ----------- ----------- -----------
Total From Investment Operations 0.05 0.13 0.31 --
---------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.10) (0.17) (0.15) (0.03)
Net Realized Gains -- -- -- --
----------- ----------- ----------- -----------
Total Distributions (0.10) (0.17) (0.15) (0.03)
---------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 10.04 $ 10.09 $ 10.13 $ 9.97
===================================================================================================
Total Return 0.48%# 1.27% 3.17% (0.03)%#
---------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 457,803 $ 381,709 $ 213,389 $ 78,819
Ratio of Expenses to Average Net Assets 0.30%* 0.30% 0.30% 0.30%*
Ratio of Expenses to Average Net Assets
(excluding waivers and assumption of
expenses and/or recovery of
previously waived fees) 0.30%* 0.33% 0.34% 0.75%*
Ratio of Net Investment Income to
Average Net Assets 2.09%* 1.73% 1.60% 1.71%*
Portfolio Turnover Rate 0%# 6% 0% 0%*#
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
68
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company whose shares are offered, without a sales charge, generally
to institutional investors and clients of registered investment advisors.
Twenty-four of the Fund's thirty-seven portfolios (the "Portfolios") are
included in this report. Of the remaining thirteen portfolios, six portfolios
are only available through a select group of insurance products and are
presented in a separate report and seven are presented individually in separate
reports.
The following Portfolios (the "Feeder Funds") invest in a series of The DFA
Investment Trust Company (the "Master Funds"):
[Enlarge/Download Table]
PERCENTAGE
OWNERSHIP
PORTFOLIOS (FEEDER FUNDS) SERIES (MASTER FUNDS) AT 05/31/05
------------------------- --------------------- -----------
U.S. Large Company Portfolio The U.S. Large Company Series 45%
Enhanced U.S. Large Company Portfolio The Enhanced U.S. Large Company Series 100%
U.S. Large Cap Value Portfolio The U.S. Large Cap Value Series 67%
U.S. Small XM Value Portfolio The U.S. Small XM Value Series 80%
U.S. Small Cap Value Portfolio The U.S. Small Cap Value Series 92%
U.S. Small Cap Portfolio The U.S. Small Cap Series 91%
U.S. Micro Cap Portfolio The U.S. Micro Cap Series 100%
International Small Company Portfolio The Japanese Small Company Series 81%
The Pacific Rim Small Company Series 85%
The United Kingdom Small Company Series 90%
The Continental Small Company Series 88%
Japanese Small Company Portfolio The Japanese Small Company Series 14%
Pacific Rim Small Company Portfolio The Pacific Rim Small Company Series 9%
United Kingdom Small Company Portfolio The United Kingdom Small Company Series 4%
Continental Small Company Portfolio The Continental Small Company Series 6%
Emerging Markets Portfolio The Emerging Markets Series 97%
Emerging Markets Small Cap Portfolio The Emerging Markets Small Cap Series 85%
DFA One-Year Fixed Income Portfolio The DFA One-Year Fixed Income Series 100%
DFA Two-Year Global Fixed Income Portfolio The DFA Two-Year Global Fixed Income Series 97%
Each Feeder Fund, with the exception of the International Small Company
Portfolio (which invests in the four funds indicated), invests solely in a
corresponding Master Fund. The International Small Company Portfolio also
invests in short-term temporary cash investments.
The financial statements of the Master Funds are included elsewhere in this
report and should be read in conjunction with the financial statements of the
Feeder Funds.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the
69
reported amounts of increases and decreases in net assets from operations during
the reporting period. Actual results could differ from those estimates and those
differences could be material.
1. SECURITY VALUATION: Securities held by the DFA Real Estate Securities
Portfolio which are listed on a securities exchange and for which market
quotations are readily available are valued at the last quoted sale price of the
day. Securities held by the Fund that are listed on NASDAQ are valued at the
NASDAQ Official Closing Price ("NOCP"). If there is no last reported sale price
or NOCP for the day, the Fund values securities at the mean between the quoted
bid and asked prices. Securities held by the Large Cap International Portfolio,
DFA International Small Cap Value Portfolio and Emerging Markets Core Equity
Portfolio (the "International Equity Portfolios") which are listed on a
securities exchange are valued at the last quoted sale price. Price information
on listed securities is taken from the exchange where the security is primarily
traded. Unlisted securities for which market quotations are readily available
are valued at the mean between the most recent bid and asked prices. Securities
for which quotations are not readily available, or for which market quotations
have become unreliable, are valued in good faith at fair value using methods
approved by the Board of Directors.
The International Equity Portfolios will also apply a fair value price in
the circumstances described below. Generally, trading in foreign securities
markets is completed each day at various times prior to the close of the New
York Stock Exchange (NYSE). For example, trading in the Japanese securities
markets is completed each day at the close of the Tokyo Stock Exchange
(generally 11:00 p.m. PT), which is fourteen hours prior to the close of the
NYSE (generally 1:00 p.m. PT) and the time that the net asset values of the
International Equity Portfolios are computed. Due to the time differences
between the closings of the relevant foreign securities exchanges and the time
the International Equity Portfolios price their shares at the close of the NYSE,
the International Equity Portfolios will fair value their foreign investments
when it is determined that the market quotations for the foreign investments are
either unreliable or not readily available. The fair value prices will attempt
to reflect the impact of the U.S. financial markets' perceptions and trading
activities on the International Equity Portfolios' foreign investments since the
last closing prices of the foreign investments were calculated on their primary
foreign securities markets or exchanges. For these purposes, the Board of
Directors of the Funds have determined that movements in relevant indices or
other appropriate market indicators, after the close of the Tokyo Stock Exchange
or the London Stock Exchange, demonstrate that market quotations may be
unreliable, and may trigger fair value pricing. Consequently, fair valuation of
portfolio securities may occur on a daily basis. The fair value pricing by the
Funds utilizes data furnished by an independent pricing service (and that data
draws upon, among other information, the market values of foreign investments).
The fair value prices of portfolio securities generally will be used when it is
determined that the use of such prices will have a material impact on the net
asset value of a Fund. When an International Equity Portfolio uses fair value
pricing, the values assigned to the International Equity Portfolio's foreign
investments may not be the quoted or published prices of the investments on
their primary markets or exchanges.
Securities held by DFA Five-Year Government Portfolio, DFA Five-Year Global
Fixed Income Portfolio, DFA Intermediate Government Fixed Income Portfolio and
DFA Short-Term Municipal Bond Portfolio (the "Fixed Income Portfolios"), are
valued at the mean between the most recently quoted bid and asked prices or
prices provided by a pricing service when such prices are believed to reflect
the fair market value of such securities. Securities for which quotations are
not readily available are valued in good faith at fair value using methods
approved by the Board of Directors.
Master Fund shares held by the Feeder Funds are valued at their respective
daily net asset values or for the U.S. Large Company Portfolio, the Japanese
Small Company Portfolio, the Pacific Rim Small Company Portfolio, the United
Kingdom Small Company Portfolio, the Continental Small Company Portfolio, the
International Small Company Portfolio, the Emerging Markets Portfolio and the
Emerging Markets Small Cap Portfolio, their investments reflect each of their
proportionate interest in the net assets of the corresponding Master Fund.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and
liabilities of the International Equity Portfolios and the DFA Five-Year Global
Fixed Income Portfolio whose values are initially expressed in foreign
currencies are translated to U.S. dollars using the mean between the most
recently quoted bid and asked prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and interest income and certain expenses
70
are translated to U.S. dollars at the rate of exchange on their respective
accrual dates. Receivables and payables denominated in foreign currencies are
marked to market daily based on daily exchange rates and exchange gains or
losses are realized upon ultimate receipt or disbursement. The DFA Five-Year
Global Fixed Income Portfolio also enters into forward foreign currency
contracts solely for the purpose of hedging against fluctuations in currency
exchange rates. These contracts are marked to market daily based on daily
forward exchange rates.
The International Equity Portfolios do not isolate the effect of
fluctuation in foreign exchange rates from the effect of fluctuations in the
market prices of securities whether realized or unrealized. However, the DFA
Five-Year Global Fixed Income Portfolio does isolate the effect of fluctuations
in foreign currency rates when determining the realized gain or loss upon the
sale or maturity of foreign currency denominated debt obligations pursuant to
U.S. Federal income tax regulations; such amounts are categorized as foreign
exchange gain or loss for both financial reporting and income tax reporting
purposes.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of the
International Equity Portfolios and the DFA Five-Year Global Fixed Income
Portfolio and the U.S. dollar equivalent amounts actually received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Directors may defer payment of a percentage of
their total fees earned as a Director. These deferred amounts may be treated as
though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Directors' Fees and
Expenses.
4. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on an accrual basis. Discount and premium on debt securities
purchased are amortized over the lives of the respective securities utilizing
the effective interest method. Expenses directly attributable to a Portfolio are
directly charged. Common expenses of the Fund or Portfolios are allocated using
methods approved by the Board of Directors, generally based on average net
assets.
The U.S. Large Company Portfolio, the International Small Company
Portfolio, the Japanese Small Company Portfolio, the Pacific Rim Small Company
Portfolio, the United Kingdom Small Company Portfolio, the Continental Small
Company Portfolio, the Emerging Markets Portfolio and the Emerging Markets Small
Cap Portfolio each accrue their respective share of income and expenses daily on
their investment in their corresponding Master Fund, which are treated as
partnerships for federal income tax purposes. All of the net investment income
and realized and unrealized gains and losses from the security transactions and
foreign currency of the Master Funds are allocated pro rata among its investors
at the time of such determination.
The Portfolios may be subject to taxes imposed by countries in which they
invest, with respect to their investments in issuers existing or operating in
such countries. Such taxes are generally based on income earned or repatriated
and capital gains realized on the sale of such investments. The Portfolios
accrue such taxes when the related income or capital gains are earned. Some
countries require governmental approval for the repatriation of investment
income, capital or the proceeds of sales earned by foreign investors. In
addition, if there is a deterioration in a country's balance of payments or for
other reasons, a country may impose temporary restrictions on foreign capital
remittances abroad.
The Portfolios' investments in Thailand are subject to a 15% governmental
capital gains tax. Such taxes are due upon sale of individual securities. The
Portfolios accrue for taxes on the capital gains throughout the holding period
of the underlying securities.
71
C. INVESTMENT ADVISOR AND ADMINISTRATOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to all Portfolios except the Feeder Funds. The
Advisor provides administrative services to the Feeder Funds, including
supervision of services provided by others, providing information to
shareholders and the Board of Directors, and other administrative services.
For the six months ended May 31, 2005, the Portfolios' advisory fees were
accrued daily and paid monthly to the Advisor based on the following effective
annual rates of average daily net assets:
[Download Table]
DFA Real Estate Securities Portfolio 0.30 of 1%
Large Cap International Portfolio 0.25 of 1%
DFA International Small Cap Value Portfolio 0.65 of 1%
Emerging Markets Core Equity Portfolio 0.55 of 1%
DFA Five-Year Government Portfolio 0.20 of 1%
DFA Five-Year Global Fixed Income Portfolio 0.25 of 1%
DFA Intermediate Government Fixed Income Portfolio 0.10 of 1%
DFA Short-Term Municipal Bond Portfolio 0.20 of 1%
For the six months ended May 31, 2005, the Feeder Funds accrued daily and
paid monthly to the Advisor an administrative fee based on the following
effective annual rates of average daily net assets:
[Download Table]
U.S. Large Company Portfolio 0.125 of 1%
Enhanced U.S. Large Company Portfolio 0.15 of 1%
U.S. Large Cap Value Portfolio 0.15 of 1%
U.S. Small XM Value Portfolio 0.30 of 1%
U.S. Small Cap Value Portfolio 0.30 of 1%
U.S. Small Cap Portfolio 0.32 of 1%
U.S. Micro Cap Portfolio 0.40 of 1%
International Small Company Portfolio 0.40 of 1%
Japanese Small Company Portfolio 0.40 of 1%
Pacific Rim Small Company Portfolio 0.40 of 1%
United Kingdom Small Company Portfolio 0.40 of 1%
Continental Small Company Portfolio 0.40 of 1%
Emerging Markets Portfolio 0.40 of 1%
Emerging Markets Small Cap Portfolio 0.45 of 1%
DFA One-Year Fixed Income Portfolio 0.10 of 1%
DFA Two-Year Global Fixed Income Portfolio 0.10 of 1%
Pursuant to a Fee Waiver and Expense Assumption Agreement for the U.S.
Large Company Portfolio, U.S. Small XM Value Portfolio, and Emerging Markets
Portfolio, the Advisor has agreed to waive its administration fee and to assume
each Portfolio's direct and indirect expenses (including the expenses the
Portfolio bears as a shareholder of its master fund) to the extent necessary to
limit the expenses of each Portfolio to the following rates as a percentage of
average net assets on an annualized basis: 0.15% for the U.S. Large Company
Portfolio, 0.50% for the U.S. Small XM Value Portfolio, and 1.00% for the
Emerging Markets Portfolio. At any time that the annualized expenses of a
Portfolio are less than the rate listed above for such Portfolio on an
annualized basis, the Advisor retains the right to seek reimbursement for any
fees previously waived and/or expenses previously assumed to the extent that
such reimbursement will not cause the Portfolio's annualized expenses to exceed
the applicable percentage of average net assets as listed above. The Portfolios
are not obligated to reimburse the Advisor for fees waived or expenses assumed
by the Advisor more than thirty-six months prior to the date of such
reimbursement. The Fee Waiver and Expense Assumption Agreement will remain in
effect for a period of one year from April 1, 2005 to April 1, 2006, and shall
continue to remain in effect from year to year unless terminated by the Fund or
the Advisor. At May 31, 2005, U.S. Large Company Portfolio had approximately
$4,912,200 of previously waived fees subject to future reimbursement to the
72
Advisor over various periods not exceeding May 31, 2008. The U.S. Small XM Value
Portfolio and Emerging Markets Portfolio had no fees waived subject to future
reimbursement to the Advisor.
Pursuant to a Fee Waiver and Expense Assumption Agreement, the Advisor has
agreed to waive its administration fee for the Enhanced U.S. Large Company
Portfolio to the extent necessary to reduce the Portfolio's expenses to the
extent that its total direct and indirect expenses (including the expenses the
Portfolio bears as a shareholder of The Enhanced U.S. Large Company Series)
exceed 0.45% of its average net assets on an annualized basis. At any time that
the total direct and indirect expenses of the Portfolio are less than 0.45% of
its assets on an annualized basis, the Advisor retains the right to seek
reimbursement for any fees previously waived to the extent that such
reimbursement will not cause the Portfolio's total direct and indirect expenses
to exceed 0.45% of average net assets on an annualized basis. The Portfolio is
not obligated to reimburse the Advisor for fees waived by the Advisor more than
thirty-six months prior to the date of such reimbursement. The Fee Waiver and
Expense Assumption Agreement will remain in effect for a period of one year from
April 1, 2005 to April 1, 2006, and shall continue to remain in effect from
year to year thereafter unless terminated by the Fund or the Advisor. At May 31,
2005, there were no fees waived subject to future reimbursement to the Advisor.
Pursuant to a Fee Waiver and Expense Assumption Agreement for the
International Small Company Portfolio, the Advisor has agreed to waive its
administration fee and to assume the Portfolio's other direct expenses to the
extent necessary to limit the direct expenses of the Portfolio to 0.45% of its
average net assets on an annualized basis. This fee waiver and expense
assumption arrangement does not include the indirect expenses the Portfolio
bears as a shareholder of the International Master Funds. At any time that the
direct expenses of the Portfolio are less than 0.45% of its average net assets
on an annualized basis, the Advisor retains the right to seek reimbursement for
any fees previously waived and/or expenses previously assumed to the extent that
such reimbursement will not cause the Portfolio's direct expenses to exceed
0.45% of average net assets on an annualized basis. The International Small
Company Portfolio is not obligated to reimburse the Advisor for fees waived or
expenses previously assumed by the Advisor more than thirty-six months prior to
the date of such reimbursement. The Fee Waiver and Expense Assumption Agreement
will remain in effect for a period of one year from April 1, 2005 to April 1,
2006, and shall continue to remain in effect from year to year thereafter unless
terminated by the Fund or the Advisor. At May 31, 2005, there were no fees
waived subject to future reimbursement to the Advisor.
Pursuant to a Fee Waiver and Expense Assumption Agreement for Japanese
Small Company Portfolio, Pacific Rim Small Company Portfolio, United Kingdom
Small Company Portfolio, and Continental Small Company Portfolio, the Advisor
has agreed to waive its administration fee and to assume each Portfolio's other
direct expenses to the extent necessary to limit the direct expenses of the
Portfolios to 0.47% of its average net assets on an annualized basis. These fee
waiver and expense assumption arrangements do not include the indirect expenses
each Portfolio bears as a shareholder of its master fund. At any time that the
direct expenses of each Portfolio are less than 0.47% of its average net assets
on an annualized basis, the Advisor retains the right to seek reimbursement for
any fees previously waived and/or expenses previously assumed to the extent that
such reimbursement will not cause the Portfolio's direct expenses to exceed
0.47% of its average net assets on an annualized basis. The Portfolios are not
obligated to reimburse the Advisor for fees previously waived or expenses
previously assumed by the Advisor more than thirty-six months prior to the date
of such reimbursement. The Fee Waiver and Expense Assumption Agreement will
remain in effect for a period of one year from April 1, 2005 to April 1, 2006,
and shall continue to remain in effect from year to year thereafter unless
terminated by the Fund or the Advisor. At May 31, 2005, for the Japanese Small
Company Portfolio, Pacific Rim Small Company Portfolio, United Kingdom Small
Company Portfolio, and Continental Small Company Portfolio there were
approximately $64,200, $93,000, $98,200, and $88,500, respectively, of
previously waived fees subject to future reimbursement to the Advisor over
various periods not exceeding May 31, 2008.
Pursuant to a Fee Waiver and Expense Assumption Agreement for Emerging
Markets Core Equity Portfolio, the Advisor has contractually agreed to waive all
or a portion of its management fee to reduce the Portfolio's expenses up to the
amount of its total management fee when the Portfolio's total operating expenses
exceed 1.00% of the Portfolio's average net assets on an annualized basis. At
any time that the annualized expenses of the Portfolio are less than 1.00% of
its average net assets on an annualized basis, the Advisor retains the right to
seek reimbursement
73
for any fees previously waived to the extent that such reimbursement will not
cause the Portfolio's expenses to exceed 1.00% of its average net assets on an
annualized basis. The Portfolio is not obligated to reimburse the Advisor for
fees waived by the Advisor more than thirty-six months prior to the date of such
reimbursement. The Fee Waiver and Expense Assumption Agreement will remain in
effect for a period of one year from April 5, 2005 (commencement of operations)
to April 1, 2006, and shall continue to remain in effect from year to year
thereafter unless terminated by the Fund or the Advisor. At May 31, 2005,
Emerging Markets Core Equity Portfolio, had approximately $29,600 of waived fees
subject to future reimbursement to the Advisor over various periods not
exceeding May 31, 2008.
Pursuant to a Fee Waiver and Expense Assumption Agreement for DFA
Short-Term Municipal Bond Portfolio, the Advisor has contractually agreed to
waive its management fee to the extent necessary to reduce the Portfolio's
expenses when its total operating expenses exceed 0.30% of its average net
assets on an annualized basis. At any time that the annualized expenses of the
Portfolio are less than 0.30% of its average net assets on an annualized basis,
the Advisor retains the right to seek reimbursement for any fees previously
waived to the extent that such reimbursement will not cause the Portfolio's
annualized expenses to exceed 0.30% of its average net assets. The Portfolio is
not obligated to reimburse the Advisor for fees previously waived by the Advisor
more than thirty-six months prior to the date of such reimbursement. The Fee
Waiver and Expense Assumption Agreement will remain in effect for a period of
one year from April 1, 2005 to April 1, 2006, and shall continue to remain in
effect from year to year thereafter unless terminated by the Fund or the
Advisor. At May 31, 2005, DFA Short-Term Municipal Bond Portfolio had
approximately $138,000 of previously waived fees subject to future reimbursement
over various periods not exceeding May 31, 2008.
Certain officers of the Fund are also officers and shareholders of the
Advisor.
D. DEFERRED COMPENSATION:
At May 31, 2005, the total liability for deferred compensation to Directors
is included in Accrued Expenses and Other Liabilities as follows:
[Download Table]
U.S. Large Company Portfolio $ 24,716
Enhanced U.S. Large Company Portfolio 3,773
U.S. Large Cap Value Portfolio 45,174
U.S. Small XM Value Portfolio 2,492
U.S. Small Cap Value Portfolio 94,810
U.S. Small Cap Portfolio 35,678
U.S. Micro Cap Portfolio 52,437
DFA Real Estate Securities Portfolio 21,595
Large Cap International Portfolio 14,396
International Small Company Portfolio 30,155
Japanese Small Company Portfolio 1,459
Pacific Rim Small Company Portfolio 472
United Kingdom Small Company Portfolio 269
Continental Small Company Portfolio 607
DFA International Small Cap Value Portfolio 42,966
Emerging Markets Portfolio 20,070
Emerging Markets Small Cap Portfolio 3,736
Emerging Markets Core Equity Portfolio 132
DFA One-Year Fixed Income Portfolio 31,190
DFA Two-Year Global Fixed Income Portfolio 27,328
DFA Five-Year Government Portfolio 9,229
DFA Five-Year Global Fixed Income Portfolio 20,239
DFA Intermediate Government Fixed Income Portfolio 6,353
DFA Short-Term Municipal Bond Portfolio 6,574
74
E. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 2005, the Portfolios made the following
purchases and sales of investment securities other than short-term securities
(amounts in thousands):
[Enlarge/Download Table]
U.S. GOVERNMENT OTHER INVESTMENT
SECURITIES SECURITIES
---------------------- ----------------------
PURCHASES SALES PURCHASES SALES
---------- ---------- ---------- ----------
DFA Real Estate Securities Portfolio -- -- $ 195,051 $ 19,905
Large Cap International Portfolio -- -- 121,356 14,245
DFA International Small Cap Value Portfolio -- -- 966,486 148,782
Emerging Markets Core Equity Portfolio -- -- 53,561 8
DFA Five-Year Government Portfolio $ 118,354 -- -- --
DFA Five-Year Global Fixed Income Portfolio 147,394 $ 227,411 588,350 178,600
DFA Intermediate Government Fixed Income Portfolio 80,178 16,011 -- --
DFA Short-Term Municipal Bond Portfolio -- -- 61,889 --
F. FEDERAL INCOME TAXES:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code for
federal income tax purposes and to distribute substantially all of its taxable
income and net capital gains to shareholders. Accordingly, no provision has been
made for federal income taxes.
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2004 and November 30, 2003 were as follows (amounts
in thousands):
[Enlarge/Download Table]
ORDINARY
INCOME
AND
SHORT-TERM LONG-TERM RETURN OF
CAPITAL GAINS CAPITAL GAINS CAPITAL TOTAL
------------- ------------- --------- ----------
U.S. Large Company Portfolio
2004 $ 17,869 -- -- $ 17,869
2003 12,490 -- -- 12,490
Enhanced U.S. Large Company Portfolio
2004 1,797 -- $ 86 1,883
2003 1,697 -- -- 1,697
U.S. Large Cap Value Portfolio
2004 23,826 -- 1,025 24,851
2003 17,524 -- -- 17,524
U.S. Small XM Value Portfolio
2004 6,606 $ 6,040 -- 12,646
2003 444 6,874 -- 7,318
U.S. Small Cap Value Portfolio
2004 69,276 216,598 -- 285,874
2003 12,117 271,483 -- 283,600
U.S. Small Cap Portfolio
2004 7,229 -- 1,515 8,744
2003 3,458 4,842 -- 8,300
U.S. Micro Cap Portfolio
2004 43,268 35,395 -- 78,663
2003 2,812 24,249 -- 27,061
75
[Enlarge/Download Table]
ORDINARY
INCOME
AND
SHORT-TERM LONG-TERM RETURN OF
CAPITAL GAINS CAPITAL GAINS CAPITAL TOTAL
------------- ------------- --------- ----------
DFA Real Estate Securities Portfolio
2004 $ 40,062 $ 6,193 -- $ 46,255
2003 20,722 2,261 -- 22,983
Large Cap International Portfolio
2004 20,560 -- -- 20,560
2003 5,772 -- -- 5,772
International Small Company Portfolio
2004 32,182 -- -- 32,182
2003 8,564 -- -- 8,564
Japanese Small Company Portfolio
2004 396 -- -- 396
2003 575 -- -- 575
Pacific Rim Small Company Portfolio
2004 1,138 -- -- 1,138
2003 2,468 -- -- 2,468
United Kingdom Small Company Portfolio
2004 723 -- -- 723
2003 1,017 599 -- 1,616
Continental Small Company Portfolio
2004 1,260 3,086 -- 4,346
2003 1,802 2,582 -- 4,384
DFA International Small Cap Value Portfolio
2004 38,541 8,285 -- 46,826
2003 11,202 -- -- 11,202
Emerging Markets Portfolio
2004 19,202 -- -- 19,202
2003 4,473 -- -- 4,473
Emerging Markets Small Cap Portfolio
2004 2,550 432 -- 2,982
2003 338 273 -- 611
DFA One-Year Fixed Income Portfolio
2004 34,046 -- -- 34,046
2003 30,253 -- -- 30,253
DFA Two-Year Global Fixed Income Portfolio
2004 35,146 -- $ 407 35,553
2003 28,481 -- -- 28,481
DFA Five-Year Government Portfolio
2004 17,118 13,159 -- 30,277
2003 11,597 -- -- 11,597
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[Enlarge/Download Table]
ORDINARY
INCOME
AND
SHORT-TERM LONG-TERM RETURN OF
CAPITAL GAINS CAPITAL GAINS CAPITAL TOTAL
------------- ------------- --------- ----------
DFA Five-Year Global Fixed Income Portfolio
2004 $ 39,545 $ 30,038 -- $ 69,583
2003 32,928 2,655 -- 35,583
DFA Intermediate Government Fixed Income Portfolio
2004 16,177 6,872 -- 23,049
2003 15,142 4,808 -- 19,950
DFA Short-Term Municipal Bond Portfolio
2004 5,043 -- -- 5,043
2003 2,097 -- -- 2,097
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
At November 30, 2004, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
[Enlarge/Download Table]
TOTAL NET
DISTRIBUTABLE
UNDISTRIBUTED UNDISTRIBUTED CAPITAL EARNINGS/
NET INVESTMENT LONG-TERM LOSS (ACCUMULATED
INCOME CAPITAL GAINS CARRYFORWARD LOSSES)
-------------- ------------- ------------ -------------
U.S. Large Company Portfolio $ 9,846 -- $ (28,610) $ (18,764)
Enhanced U.S. Large Company Portfolio -- -- (2,576) (2,576)
U.S. Large Cap Value Portfolio -- -- (1,214) (1,214)
U.S. Small XM Value Portfolio -- $ 5,557 -- 5,557
U.S. Small Cap Value Portfolio -- 283,742 -- 283,742
U.S. Small Cap Portfolio -- -- -- --
U.S. Micro Cap Portfolio -- 75,070 -- 75,070
DFA Real Estate Securities Portfolio 9,090 28,181 -- 37,271
Large Cap International Portfolio 6,784 -- (19,070) (12,286)
International Small Company Portfolio 12,406 37,023 -- 49,429
Japanese Small Company Portfolio 481 -- (44,582) (44,101)
Pacific Rim Small Company Portfolio 317 -- (11,735) (11,418)
United Kingdom Small Company Portfolio 258 538 -- 796
Continental Small Company Portfolio 182 1,230 -- 1,412
DFA International Small Cap Value Portfolio 18,232 58,553 -- 76,785
Emerging Markets Portfolio 5,535 -- (47,372) (41,837)
Emerging Markets Small Cap Portfolio 2,104 6,390 -- 8,494
DFA One-Year Fixed Income Portfolio 426 -- (1,205) (779)
DFA Two-Year Global Fixed Income Portfolio -- -- (216) (216)
DFA Five-Year Government Portfolio 4,241 -- (884) 3,357
DFA Five-Year Global Fixed Income Portfolio 111 -- (5,041) (4,930)
DFA Intermediate Government Fixed Income Portfolio 4,193 1,113 -- 5,306
DFA Short-Term Municipal Bond Portfolio 602 -- (17) 585
77
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at November 30, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
As of November 30, 2004, the following Portfolios had capital loss carryforwards
available to offset future realized capital gains through the indicated
expiration dates (amounts in thousands):
[Enlarge/Download Table]
EXPIRES ON NOVEMBER 30,
--------------------------------------------------------------------------
2005 2006 2007 2008 2009 2010 2011 2012 TOTAL
------- ------- ------- ----- -------- -------- -------- ------- --------
U.S. Large Company Portfolio -- -- -- -- -- -- $ 28,610 -- $ 28,610
Enhanced U.S. Large Company Portfolio -- -- -- -- $ 4 -- 2,572 -- 2,576
U.S. Large Cap Value Portfolio -- -- -- -- -- $ 1,214 -- -- 1,214
Large Cap International Portfolio -- -- -- -- 357 18,180 533 -- 19,070
Japanese Small Company Portfolio $ 1,532 $ 7,918 $ 2,827 $ 632 3,508 4,453 19,912 $ 3,800 44,582
Pacific Rim Small Company Portfolio -- -- 343 -- 906 3,164 6,171 1,151 11,735
Emerging Markets Portfolio -- 710 1,831 -- 18,234 19,225 7,372 -- 47,372
DFA One-Year Fixed Income Portfolio -- -- -- 45 -- -- -- 1,160 1,205
DFA Two-Year Global Fixed Income
Portfolio -- -- -- -- 216 -- -- -- 216
DFA Five-Year Government Portfolio -- -- -- -- -- -- -- 884 884
DFA Five-Year Global Fixed Income
Portfolio -- -- -- -- -- -- -- 5,041 5,041
DFA Short-Term Municipal Bond Portfolio -- -- -- -- -- -- -- 17 17
Certain of the Portfolio's investments are in securities considered to be
"passive foreign investment companies", for which any unrealized appreciation
(depreciation) (mark to market) and/or realized gains are required to be
included in distributable net investment income for tax purposes. During the
year ended November 30, 2004, the following Portfolio's had unrealized
appreciation (depreciation) (mark to market) and realized gains on the sale of
passive foreign investment companies, which are included in distributable net
investment income for tax purposes, accordingly, such gains have been
reclassified from accumulated net realized gains to accumulated net investment
income.
[Download Table]
MARK TO MARKET REALIZED GAINS
-------------- --------------
Large Cap International Portfolio $ 5,327,264 $ 81,703
International Small Company Portfolio 5,791,352 1,229,922
Japanese Small Company Portfolio 411,994 7,294
Pacific Rim Small Company Portfolio 761,683 340,318
United Kingdom Small Company Portfolio 80,659 16,885
Continental Small Company Portfolio 203,533 457,178
DFA International Small Cap Value Portfolio 14,608,263 1,665,316
Emerging Markets Portfolio 2,882,092 309,704
Emerging Markets Small Cap Portfolio 104,625 153,583
78
At May 31, 2005, the total cost and aggregate gross unrealized appreciation
and depreciation of securities for federal income tax purposes were different
from amounts reported for financial reporting purposes (amounts in thousands):
[Enlarge/Download Table]
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
------------ ------------ ------------ -------------
U.S. Large Company Portfolio $ 1,501,638 $ 387,174 $ (145,045) $ 242,129
Enhanced U.S. Large Company Portfolio 276,242 28,584 (34,070) (5,486)
U.S. Large Cap Value Portfolio 2,557,684 771,587 (109,865) 661,722
U.S. Small XM Value Portfolio 132,339 23,091 (2,593) 20,498
U.S. Small Cap Value Portfolio 4,663,313 1,583,470 (174,292) 1,409,178
U.S. Small Cap Portfolio 2,004,987 345,697 (76,399) 269,298
U.S. Micro Cap Portfolio 2,558,492 879,473 (102,329) 777,144
DFA Real Estate Securities Portfolio 1,168,848 438,660 (5,161) 433,499
Large Cap International Portfolio 1,001,050 174,997 (66,523) 108,474
International Small Company Portfolio 1,570,205 492,862 (18,546) 474,316
Japanese Small Company Portfolio 220,765 28,656 (140,844) (112,188)
Pacific Rim Small Company Portfolio 57,904 48,962 (76,401) (27,439)
United Kingdom Small Company Portfolio 10,497 69,987 (63,551) 6,436
Continental Small Company Portfolio 29,921 82,400 (66,721) 15,679
DFA International Small Cap Value Portfolio 3,096,803 796,220 (131,708) 664,512
Emerging Markets Portfolio 971,119 461,927 (65,972) 395,955
Emerging Markets Small Cap Portfolio 244,085 53,860 (8,924) 44,936
Emerging Markets Core Equity Portfolio 56,429 1,144 (2,239) (1,095)
DFA One-Year Fixed Income Portfolio 2,100,822 1,570 (10,478) (8,908)
DFA Two-Year Global Fixed Income Portfolio 1,845,671 -- (12,780) (12,780)
DFA Five-Year Government Portfolio 660,968 894 (6,469) (5,575)
DFA Five-Year Global Fixed Income Portfolio 1,459,830 -- (20,138) (20,138)
DFA Intermediate Government Fixed Income
Portfolio 413,890 20,259 (199) 20,060
DFA Short-Term Municipal Bond Portfolio 455,873 321 (2,966) (2,645)
79
G. COMPONENTS OF NET ASSETS:
At May 31, 2005, net assets consisted of (amounts in thousands):
[Enlarge/Download Table]
UNREALIZED
ACCUMULATED APPRECIATION
ACCUMULATED NET REALIZED ACCUMULATED DEFERRED (DEPRECIATION)
NET GAIN (LOSS) OF NET REALIZED THAILAND OF INVESTMENT
INVESTMENT INVESTMENT FOREIGN CAPITAL SECURITIES,
PAID-IN INCOME SECURITIES AND EXCHANGE GAINS FUTURES AND
CAPITAL (LOSS) FUTURES GAIN (LOSS) TAX FOREIGN CURRENCY
------------ ----------- -------------- ------------ -------- ----------------
U.S. Large Company
Portfolio $ 1,524,383 $ 6,998 $ (85,007) -- -- $ 297,243
Enhanced U.S. Large
Company Portfolio 278,896 (119) (36,640) -- -- 28,583
U.S. Large Cap Value
Portfolio 2,556,999 (1,206) (108,414) -- -- 771,587
U.S. Small XM Value
Portfolio 122,381 (71) 7,393 -- -- 23,091
U.S. Small Cap Value
Portfolio 4,199,113 (3,349) 291,705 -- -- 1,583,470
U.S. Small Cap
Portfolio 1,919,113 (1,711) 10,580 -- -- 345,697
U.S. Micro Cap
Portfolio 2,318,996 (2,872) 138,912 -- -- 879,473
DFA Real Estate
Securities
Portfolio 1,109,179 (10,160) 9,643 -- -- 434,933
Large Cap
International
Portfolio 854,346 6,590 (17,965) $ (71) -- 109,287
International Small
Company Portfolio 1,526,152 14,812 25,836 (151) -- 474,861
Japanese Small
Company Portfolio 265,596 (82) (47,539) (3) -- (109,411)
Pacific Rim Small
Company Portfolio 70,288 (707) (11,734) 4 -- (27,392)
United Kingdom Small
Company Portfolio 10,088 65 339 (2) -- 6,443
Continental Small
Company Portfolio 28,946 828 103 (9) -- 15,679
DFA International
Small Cap Value
Portfolio 2,470,285 23,123 64,404 (404) -- 664,785
Emerging Markets
Portfolio 1,000,537 13,647 (39,855) (855) $ (3,469) 396,578
Emerging Markets
Small Cap
Portfolio 239,528 2,589 2,090 (81) (194) 44,936
Emerging Markets
Core Equity
Portfolio 55,424 276 (1) (27) (6) (1,094)
DFA One-Year Fixed
Income Portfolio 2,102,597 6 (12,480) -- -- 1,570
DFA Two-Year Global
Fixed Income
Portfolio 1,845,803 (108) (9,687) -- -- (3,309)
DFA Five-Year
Government
Portfolio 661,547 5,671 (884) -- -- (5,575)
DFA Five-Year Global
Fixed Income
Portfolio 1,447,241 15,285 (9,708) 16,353 -- (20,107)
DFA Intermediate
Government Fixed
Income Portfolio 413,375 5,027 693 -- -- 20,060
DFA Short-Term
Municipal Bond
Portfolio 459,497 968 (17) -- -- (2,645)
UNREALIZED
NET FOREIGN
EXCHANGE NUMBER OF
GAIN TOTAL NET SHARES
(LOSS) ASSETS AUTHORIZED
----------- ----------- ------------
U.S. Large Company
Portfolio -- $ 1,743,617 200,000,000
Enhanced U.S. Large
Company Portfolio -- 270,720 100,000,000
U.S. Large Cap Value
Portfolio -- 3,218,966 250,000,000
U.S. Small XM Value
Portfolio -- 152,794 100,000,000
U.S. Small Cap Value
Portfolio -- 6,070,939 400,000,000
U.S. Small Cap
Portfolio -- 2,273,679 200,000,000
U.S. Micro Cap
Portfolio -- 3,334,509 300,000,000
DFA Real Estate
Securities
Portfolio -- 1,543,595 100,000,000
Large Cap
International
Portfolio $ (90) 952,097 150,000,000
International Small
Company Portfolio (4) 2,041,506 200,000,000
Japanese Small
Company Portfolio (15) 108,546 50,000,000
Pacific Rim Small
Company Portfolio (3) 30,456 50,000,000
United Kingdom Small
Company Portfolio -- 16,933 70,000,000
Continental Small
Company Portfolio 39 45,586 50,000,000
DFA International
Small Cap Value
Portfolio (91) 3,222,102 300,000,000
Emerging Markets
Portfolio 36 1,366,619 150,000,000
Emerging Markets
Small Cap
Portfolio 38 288,906 100,000,000
Emerging Markets
Core Equity
Portfolio 32 54,604 100,000,000
DFA One-Year Fixed
Income Portfolio -- 2,091,693 300,000,000
DFA Two-Year Global
Fixed Income
Portfolio -- 1,832,699 250,000,000
DFA Five-Year
Government
Portfolio -- 660,759 100,000,000
DFA Five-Year Global
Fixed Income
Portfolio 16,114 1,465,178 200,000,000
DFA Intermediate
Government Fixed
Income Portfolio -- 439,155 100,000,000
DFA Short-Term
Municipal Bond
Portfolio -- 457,803 100,000,000
80
H. FINANCIAL INSTRUMENTS:
In accordance with the Portfolios' investment objectives and policies, the
Portfolios may invest, either directly or through their investment in a
corresponding Master Fund, in certain financial instruments that have
off-balance sheet risk and concentrations of credit risk. These instruments and
their significant corresponding risks are described below:
1. REPURCHASE AGREEMENTS: The Portfolios may purchase money market
instruments subject to the counterparty's agreement to repurchase them at an
agreed upon date and price. The counterparty will be required on a daily basis
to maintain the value of the collateral subject to the agreement at not less
than the repurchase price (including accrued interest). The agreements are
conditioned upon the collateral being deposited under the Federal Reserve
book-entry system with the Fund's custodian or a third party sub-custodian. In
the event of default or bankruptcy by the other party to the agreement,
retention of the collateral may be subject to legal proceedings. All open
repurchase agreements were entered into on May 31, 2005.
2. FORWARD CURRENCY CONTRACTS: The DFA Five-Year Global Fixed Income
Portfolio may enter into forward foreign currency contracts only to hedge
against adverse changes in the relationship of the U.S. dollar to foreign
currencies. At May 31, 2005, the DFA Five-Year Global Fixed Income Portfolio had
entered into the following contracts and the net unrealized foreign exchange
gain/loss is reflected in the accompanying financial statements.
[Enlarge/Download Table]
UNREALIZED
VALUE AT FOREIGN
SETTLEMENT CONTRACT MAY 31, EXCHANGE
DATE CURRENCY SOLD CURRENCY AMOUNT 2005 GAIN (LOSS)
---------- ------------- --------------- -------------- -------------- --------------
06/09/05 191,956,050 Canadian Dollar $ 153,649,286 $ 152,949,104 $ 700,182
06/23/05 191,776,077 Canadian Dollar 152,032,806 152,842,784 (809,978)
06/09/05 683,606,458 Swedish Krona 95,935,240 91,895,416 4,039,824
06/09/05 218,389,651 Euro Currency 281,264,962 268,787,483 12,477,479
-------------- -------------- --------------
Total $ 682,882,294 $ 666,474,787 $ 16,407,507
============== ============== ==============
Risks may arise upon entering into these contracts from the potential
inability of counterparties to meet the terms of their contracts and from
unanticipated movements in the value of foreign currency relative to the U.S.
dollar.
3. FOREIGN MARKET RISKS: Investments in foreign markets may involve certain
considerations and risks not typically associated with investments in the United
States, including the possibility of future political and economic developments
and the level of foreign governmental supervision and regulation of foreign
securities markets. These markets are generally smaller, less liquid and more
volatile than the major securities markets in the United States. Consequently,
acquisition and disposition of securities by the Fund may be inhibited.
I. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2004
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each portfolio is individually, and not jointly
liable for its particular advances under the line of credit. There is no
commitment fee on the unused portion of the line of credit, since this is not a
committed facility. The agreement for the discretionary line of credit may be
terminated by either party at any time. The agreement for the line of credit
expires on June 27, 2006. For the six months ended May 31, 2005, borrowings
under the line of credit were as follows:
[Enlarge/Download Table]
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING
INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED THE PERIOD
------------- ------------ ----------- -------- ---------------
DFA Real Estate Securities Portfolio 3.00% $ 4,292,000 2 $ 715 $ 7,512,000
International Small Company Portfolio 3.25% 688,559 17 1,056 1,120,000
There were no outstanding borrowings under the line of credit at May 31,
2005.
81
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
3, 2005 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Each portfolio is individually, and not jointly liable for its
particular advances under the line of credit. Borrowings under the line of
credit are charged interest at rates agreed to by the parties at the time of
borrowing. There is no commitment fee on the unused line of credit. The
agreement for the line of credit expires on April 2, 2006. There were no
borrowings under the line of credit during the six months ended May 31, 2005.
J. SECURITIES LENDING:
As of May 31, 2005, some of the Portfolios had securities on loan to
broker/dealers, for which each portfolio held cash collateral. Each portfolio
invests the cash collateral, as described below, and records a liability for the
return of the collateral, during the period the securities are on loan. Loans of
securities are required at all times to be secured by collateral at least equal
to 100% of the market value of the securities on loan. However, in the event of
default or bankruptcy by the other party to the agreement, realization and/or
retention of the collateral may be subject to legal proceedings. In the event
that the borrower fails to return loaned securities, and cash collateral being
maintained by the borrower is insufficient to cover the value of loaned
securities and provided such collateral insufficiency is not the result of
investment losses, the lending agent has agreed to pay the amount of the
shortfall to the portfolio or, at the option of the lending agent, to replace
the securities.
The cash collateral received by each Portfolio from securities on loan is
invested in repurchase agreements collateralized by U.S. government securities.
Securities pledged as collateral for the repurchase agreements are held by a
custodian bank until the agreements are repurchased.
The Portfolios paid fees for securities lending for the six month period
ended May 31, 2005, which have been netted against Income from Securities
Lending on the Statements of Operations. These fees are presented below (amounts
in thousands):
[Download Table]
DFA Real Estate Securities Portfolio $ 16
Large Cap International Portfolio 230
DFA International Small Cap Value Portfolio 1,281
K. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Fund's maximum exposure under these arrangements is unknown
as this would involve future claims that may be made against the Fund and/or its
affiliates that have not yet occurred. However, based on experience, the Fund
expects the risk of loss to be remote.
82
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees (in dollars) of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Table below illustrates your fund's costs in two ways.
- ACTUAL FUND RETURN. This section helps you to estimate the actual
expenses after fee waivers that you paid over the period. The "Ending
Account Value" shown is derived from the fund's actual return, and
"Expenses Paid During Period" shows the dollar amount that would have
been paid by an investor who started with $1,000 in the fund. You may
use the information here, together with the amount you invested, to
estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
- HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you
compare your fund's costs with those of other mutual funds. It assumes
that the fund had an annual return of 5% before expenses, but that the
expense ratio is unchanged. In this case - because the return used is
not the fund's actual return - the results do not apply to your
investment. The example is useful in making comparisons because the
Securities and Exchange Commission ("SEC") requires all mutual funds
to calculate expenses based on a 5% annual return. You can assess your
fund's cost by comparing this hypothetical example with the
hypothetical examples that appear in shareholder reports of other
funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs
(if any). The "Annualized Expense Ratio" represents the actual expenses for the
six month period indicated.
FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005
EXPENSE TABLE
[Download Table]
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/01/04 05/31/05 RATIO PERIOD*
----------- ---------- ---------- ---------
Actual Fund Return $ 1,000.00 $ 1,022.10 0.48% $ 2.42
Hypothetical 5% Annual Return $ 1,000.00 $ 1,022.61 0.48% $ 2.42
----------
* Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in
the most recent fiscal half-year, then divided by 365.
83
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete Schedule
of Investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For The Dimensional
Investment Group Inc., this would be for the fiscal quarters ending August 31
and February 28 (February 29 during leap year). The Form N-Q filing must be made
within 60 days of the end of the quarter. The Dimensional Investment Group Inc.
filed its most recent Form N-Q with the SEC on April 29, 2005. It is available
upon request, without charge, by calling collect: (310) 395-8005 or by mailing a
request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa
Monica, California 90401, or by visiting the SEC's website at
http://www.sec.gov, or they may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the
operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a Schedule of Investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
[Download Table]
Investment Companies 100.0%
-----
100.0%
=====
84
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
(UNAUDITED)
[Enlarge/Download Table]
ASSETS:
Investment in The DFA International Value Series of The DFA Investment
Trust Company (121,008,937 Shares, Cost $1,535,989) at Value+ $ 1,895,000
Receivable for Fund Shares Sold 5,402
Prepaid Expenses and Other Assets 17
--------------
Total Assets 1,900,419
--------------
LIABILITIES:
Payables:
Investment Securities Purchased 4,414
Fund Shares Redeemed 988
Due to Advisor 313
Accrued Expenses and Other Liabilities 58
--------------
Total Liabilities 5,773
--------------
NET ASSETS $ 1,894,646
==============
SHARES OUTSTANDING, $0.01 PAR VALUE
(Authorized 200,000,000 Shares) 118,933,004
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 15.93
==============
----------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
85
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2005
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
[Enlarge/Download Table]
INVESTMENT INCOME
Income Distributions Received from The DFA Investment Trust Company $ 13,650
------------
EXPENSES
Administrative Services 1,733
Accounting & Transfer Agent Fees 23
Legal Fees 22
Audit Fees 4
Filing Fees 26
Shareholders' Reports 7
Directors' Fees and Expenses 6
Other 2
------------
Total Expenses 1,823
------------
NET INVESTMENT INCOME (LOSS) 11,827
------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from The DFA Investment Trust Company 55,190
Net Realized Gain (Loss) on Investment Securities Sold (143)
Change in Unrealized Appreciation (Depreciation) of Investment Securities (45,409)
------------
NET GAIN (LOSS) 9,638
------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 21,465
============
See accompanying Notes to Financial Statements.
86
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
[Enlarge/Download Table]
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2005 2004
------------- -------------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 11,827 $ 19,143
Capital Gain Distributions Received from The DFA Investment Trust Company 55,190 --
Net Realized Gain (Loss) on Investment Securities Sold (143) (828)
Change in Unrealized Appreciation (Depreciation) of Investment Securities (45,409) 276,301
------------- -------------
Net Increase (Decrease) in Net Assets Resulting from Operations 21,465 294,616
------------- -------------
Distributions From:
Net Investment Income (12,681) (21,908)
Net Short-Term Gains (1,280) --
------------- -------------
Total Distributions (13,961) (21,908)
------------- -------------
Capital Share Transactions (1):
Shares Issued 555,950 520,740
Shares Issued in Lieu of Cash Distributions 12,048 19,587
Shares Redeemed (112,845) (129,365)
------------- -------------
Net Increase (Decrease) from Capital Share Transactions 455,153 410,962
------------- -------------
Total Increase (Decrease) 462,657 683,670
NET ASSETS
Beginning of Period 1,431,989 748,319
------------- -------------
End of Period $ 1,894,646 $ 1,431,989
============= =============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 34,103 37,677
Shares Issued in Lieu of Cash Distributions 753 1,445
Shares Redeemed (6,949) (9,431)
------------- -------------
27,907 29,691
============= =============
See accompanying Notes to Financial Statements.
87
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO
FINANCIAL HIGHLIGHTS
[Enlarge/Download Table]
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 15.73 $ 12.20 $ 9.19 $ 10.30 $ 12.58 $ 13.07
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.14 0.26 0.22 0.23 0.25 0.24
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.21 3.58 3.02 (0.78) (1.50) (0.32)
----------- ----------- ----------- ----------- ----------- -----------
Total from Investment Operations 0.35 3.84 3.24 (0.55) (1.25) (0.08)
----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.15) (0.31) (0.23) (0.21) (0.27) (0.22)
Net Realized Gains -- -- -- (0.35) (0.76) (0.19)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.15) (0.31) (0.23) (0.56) (1.03) (0.41)
----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 15.93 $ 15.73 $ 12.20 $ 9.19 $ 10.30 $ 12.58
==================================================================================================================================
Total Return 2.21%# 31.86% 35.92% (5.72)% (10.96)% (0.72)%
----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,894,646 $ 1,431,989 $ 748,319 $ 464,313 $ 449,496 $ 569,234
Ratio of Expenses to
Average Net Assets ** 0.48%* 0.51% 0.52% 0.53% 0.51% 0.52%
Ratio of Net Investment Income to
Average Net Assets 1.37%* 1.87% 2.26% 2.35% 2.12% 1.76%
Portfolio Turnover Rate of Master
Fund Series 5%# 15% 14% 18% 6% 9%
* Annualized
# Non-annualized
** Represents the combined ratio for the Portfolio and its respective pro-rata
share of its Master Fund Series.
See accompanying Notes to Financial Statements.
88
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund currently offers sixteen portfolios, of
which DFA International Value Portfolio (the "Portfolio") is presented in this
report.
The Portfolio invests all of its assets in The DFA International Value
Series (the "Series"), a corresponding series of The DFA Investment Trust
Company. At May 31, 2005, the Portfolio owned 55% of the outstanding shares of
the Series. The financial statements of the Series are included elsewhere in
this report and should be read in conjunction with the financial statements of
the Portfolio.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: The shares of the Series held by the Portfolio are
valued at its respective daily net asset value.
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Directors may defer payment of a percentage of
their total fees earned as a Director. These deferred amounts may be treated as
though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Directors' Fees and
Expenses. At May 31, 2005, the total liability for deferred compensation to
Directors is included in Accrued Expenses and Other Liabilities in the amount of
$26,695.
3. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Expenses
directly attributable to the Portfolio or to the Series are directly charged.
Common expenses of the Fund or Portfolios are allocated using methods approved
by the Board of Directors, generally based on average net assets.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
administrative services to the Portfolio, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors, and other administrative services. The Advisor provides investment
advisory services to the Series. For the six months ended May 31, 2005, the
Portfolio's administrative fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of 0.20 of 1% of average daily net
assets.
Certain officers of the Fund are also officers, directors and shareholders
of the Advisor.
89
D. FEDERAL INCOME TAXES:
The Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code for
federal income tax purposes and to distribute substantially all of its taxable
income and net capital gains to shareholders. Accordingly, no provision has been
made for federal income taxes.
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2004 and November 30, 2003 were as follows (amounts
in thousands):
[Download Table]
ORDINARY
INCOME AND
SHORT-TERM LONG-TERM RETURN OF
CAPITAL GAINS CAPITAL GAINS CAPITAL TOTAL
------------- ------------- --------- --------
2004 $ 21,188 -- $ 720 $ 21,908
2003 12,609 -- -- 12,609
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
At November 30, 2004, the components of distributable
earnings/(accumulated losses) were as follows (amounts in thousands):
[Download Table]
UNDISTRIBUTED CAPITAL TOTAL NET
NET INVESTMENT LOSS DISTRIBUTABLE
INCOME CARRYFORWARD EARNINGS
-------------- ------------ -------------
-- $ (9,562) $ (9,562)
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at November 30, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
As of November 30, 2004, the Portfolio had capital loss carryforwards available
to offset future realized capital gains through the indicated expiration dates
(amounts in thousands):
[Download Table]
EXPIRES ON
NOVEMBER 30,
-----------------
2010 2011 TOTAL
-------- ------ --------
$ 8,681 $ 881 $ 9,562
At May 31, 2005, the total cost and aggregate gross unrealized appreciation
and depreciation of securities for federal income tax purposes were different
from amounts reported for financial reporting purposes (amounts in thousands):
[Download Table]
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
----------- ------------ ------------ --------------
$ 1,567,028 $ 359,012 $ (31,040) $ 327,972
E. COMPONENTS OF NET ASSETS:
At May 31, 2005, net assets consisted of (amounts in thousands):
[Download Table]
ACCUMULATED ACCUMULATED UNREALIZED
NET NET REALIZED APPRECIATION
INVESTMENT GAIN (LOSS) (DEPRECIATION)
PAID-IN INCOME OF INVESTMENT OF INVESTMENT TOTAL NET
CAPITAL (LOSS) SECURITIES SECURITIES ASSETS
------------ ----------- ------------- ------------- -----------
$ 1,523,153 $ (868) $ 13,350 $ 359,011 $ 1,894,646
90
F. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2004
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the current
overnight federal funds rate plus a variable rate determined at the date of
borrowing. Each portfolio is individually, and not jointly liable for its
particular advances under the line of credit. There is no commitment fee on the
unused portion of the line of credit, since this is not a committed facility.
The agreement for the discretionary line of credit may be terminated by either
party at any time. The agreement for the line of credit expires on June 27,
2006. There were no borrowings by the Portfolio under the line of credit during
the six months ended May 31, 2005.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
3, 2005 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Each portfolio is individually, and not jointly liable for its
particular advances under the line of credit. Borrowings under the line of
credit are charged interest at rates agreed to by the parties at the time of
borrowing. There is no commitment fee on the unused line of credit. The
agreement of the line of credit expires on April 2, 2006. There were no
borrowings under the line of credit during the six months ended May 31, 2005.
G. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Fund's maximum exposure under these arrangements is unknown
as this would involve future claims that may be made against the Fund and/or its
affiliates that have not yet occurred. However, based on experience, the Fund
expects the risk of loss to be remote.
91
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the
impact of fees on your investment. All mutual funds have operating expenses. As
a shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees (in dollars) of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Tables below illustrate your fund's costs in two ways.
- ACTUAL FUND RETURN. This section helps you to estimate the actual
expenses after fee waivers that you paid over the period. The "Ending
Account Value" shown is derived from the fund's actual return, and
"Expenses Paid During Period" shows the dollar amount that would have
been paid by an investor who started with $1,000 in the fund. You may
use the information here, together with the amount you invested, to
estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
- HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you
compare your fund's costs with those of other mutual funds. It assumes
that the fund had an annual return of 5% before expenses, but that the
expense ratio is unchanged. In this case - because the return used is
not the fund's actual return - the results do not apply to your
investment. The example is useful in making comparisons because the
Securities and Exchange Commission ("SEC") requires all mutual funds
to calculate expenses based on a 5% annual return. You can assess your
fund's cost by comparing this hypothetical example with the
hypothetical examples that appear in shareholder reports of other
funds.
Please note that the expenses shown in the tables are meant to highlight
and help you compare ongoing costs only and do not reflect any transactional
costs (if any). The "Annualized Expense Ratio" represents the actual expenses
for the six month period indicated.
FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005
EXPENSE TABLES
[Enlarge/Download Table]
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/01/04 05/31/05 RATIO PERIOD*
---------- ---------- ---------- ---------
THE U.S. LARGE COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,024.40 0.05% $ 0.25
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.75 0.05% $ 0.25
THE ENHANCED U.S. LARGE COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,020.70 0.18% $ 0.91
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.10 0.18% $ 0.91
THE U.S. LARGE CAP VALUE SERIES
Actual Fund Return $ 1,000.00 $ 1,049.70 0.14% $ 0.72
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.30 0.14% $ 0.71
92
[Enlarge/Download Table]
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/01/04 05/31/05 RATIO PERIOD*
---------- ---------- ---------- ---------
THE U.S. SMALL XM VALUE SERIES
Actual Fund Return $ 1,000.00 $ 1,011.90 0.14% $ 0.70
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.30 0.14% $ 0.71
THE U.S. SMALL CAP VALUE SERIES
Actual Fund Return $ 1,000.00 $ 996.40 0.24% $ 1.19
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.80 0.24% $ 1.21
THE U.S. SMALL CAP SERIES
Actual Fund Return $ 1,000.00 $ 985.70 0.07% $ 0.35
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.65 0.07% $ 0.35
THE U.S. MICRO CAP SERIES
Actual Fund Return $ 1,000.00 $ 974.90 0.14% $ 0.69
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.30 0.14% $ 0.71
THE DFA INTERNATIONAL VALUE SERIES
Actual Fund Return $ 1,000.00 $ 1,023.10 0.27% $ 1.36
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.65 0.27% $ 1.36
THE JAPANESE SMALL COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,089.40 0.23% $ 1.20
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.85 0.23% $ 1.16
THE PACIFIC RIM SMALL COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 982.80 0.28% $ 1.38
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.60 0.28% $ 1.41
THE UNITED KINGDOM SMALL COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,025.70 0.23% $ 1.16
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.85 0.23% $ 1.16
THE CONTINENTAL SMALL COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,078.10 0.24% $ 1.24
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.80 0.24% $ 1.21
THE EMERGING MARKETS SERIES
Actual Fund Return $ 1,000.00 $ 1,080.90 0.28% $ 1.45
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.60 0.28% $ 1.41
THE EMERGING MARKETS SMALL CAP SERIES
Actual Fund Return $ 1,000.00 $ 1,053.80 0.49% $ 2.51
Hypothetical 5% Annual Return $ 1,000.00 $ 1,022.56 0.49% $ 2.47
THE DFA ONE-YEAR FIXED INCOME SERIES
Actual Fund Return $ 1,000.00 $ 1,011.50 0.09% $ 0.45
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.55 0.09% $ 0.45
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
Actual Fund Return $ 1,000.00 $ 1,009.50 0.11% $ 0.55
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.45 0.11% $ 0.56
----------
* Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in
the most recent fiscal half-year, then divided by 365.
93
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete Schedule
of Investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For The DFA Investment
Trust Company, this would be for the fiscal quarters ending August 31 and
February 28 (February 29 during leap year). The Form N-Q filing must be made
within 60 days of the end of the quarter. The DFA Investment Trust Company filed
its most recent Form N-Q with the SEC on April 29, 2005. It is available upon
request, without charge, by calling collect: (310) 395-8005 or by mailing a
request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa
Monica, California 90401, or by visiting the SEC's website at
http://www.sec.gov, or they may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the
operation of the Public Reference Room).
The SEC has also amended certain regulations to permit a fund to include in
its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu
of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings
reports the fund's 50 largest holdings in unaffiliated issuers and any
investments that exceed one percent of the fund's net assets at the end of the
reporting period. The amendments also require that the Summary Schedule of
Portfolio Holdings identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the
SEC on Form N-CSR within ten days after mailing the annual report to
shareholders. It will be available, upon request, without charge, by calling
collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors,
Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C. (call
1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a Schedule of Investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
THE U.S. LARGE COMPANY SERIES
[Download Table]
Financials 19.5%
Information Technology 15.5
Health Care 13.4
Industrials 11.5
Consumer Discretionary 11.4
Consumer Staples 10.4
Energy 8.3
Utilities 3.3
Telecommunication Services 3.1
Materials 3.0
REITS 0.6
-----
100.0%
=====
94
THE ENHANCED U.S. LARGE COMPANY SERIES
[Download Table]
Government 35.2%
Foreign Government 26.3
Foreign Corporate 17.0
Supranational 13.4
Corporate 8.1
-----
100.0%
=====
THE U.S. LARGE CAP VALUE SERIES
[Download Table]
Consumer Discretionary 29.4%
Financials 27.4
Energy 9.0
Industrials 8.7
Information Technology 6.1
Health Care 5.6
Materials 5.4
Consumer Staples 4.3
Telecommunication Services 3.7
Utilities 0.4
-----
100.0%
=====
THE U.S. SMALL XM VALUE SERIES
[Download Table]
Consumer Discretionary 22.5%
Financials 17.9
Industrials 17.5
Information Technology 15.8
Energy 9.2
Materials 8.8
Consumer Staples 3.8
Health Care 2.4
Utilities 1.1
Telecommunication Services 0.8
Other 0.2
-----
100.0%
=====
THE U.S. SMALL CAP VALUE SERIES
[Download Table]
Consumer Discretionary 24.1%
Industrials 20.7
Financials 13.2
Information Technology 11.9
Materials 9.8
Energy 8.5
Health Care 5.0
Consumer Staples 4.8
Telecommunication Services 1.0
Other 0.6
Utilities 0.4
-----
100.0%
=====
95
THE U.S. SMALL CAP SERIES
[Download Table]
Information Technology 20.8%
Consumer Discretionary 17.8
Industrials 15.5
Health Care 14.7
Financials 12.7
Energy 5.6
Materials 5.2
Consumer Staples 3.7
Utilities 2.6
Telecommunication Services 1.2
Other 0.2
-----
100.0%
=====
THE U.S. MICRO CAP SERIES
[Download Table]
Information Technology 21.5%
Consumer Discretionary 17.9
Health Care 16.6
Industrials 16.2
Financials 12.2
Energy 4.7
Consumer Staples 3.9
Materials 3.7
Utilities 1.5
Telecommunication Services 1.1
Other 0.7
-----
100.0%
=====
THE DFA INTERNATIONAL VALUE SERIES
[Download Table]
Financials 36.4%
Consumer Discretionary 17.8
Materials 12.6
Industrials 11.4
Telecommunication Services 6.9
Consumer Staples 4.4
Utilities 3.5
Energy 2.9
Information Technology 2.2
Health Care 1.2
Other 0.4
REITS 0.3
-----
100.0%
=====
THE JAPANESE SMALL COMPANY SERIES
[Download Table]
Industrials 27.6%
Consumer Discretionary 24.2
Information Technology 11.4
Materials 11.0
Consumer Staples 10.3
Financials 10.1
Health Care 3.4
Energy 1.3
Utilities 0.7
-----
100.0%
=====
96
THE PACIFIC RIM SMALL COMPANY SERIES
[Download Table]
Industrials 20.9%
Consumer Discretionary 20.1
Financials 15.0
Materials 14.8
Information Technology 7.5
Health Care 7.4
Consumer Staples 5.2
Energy 4.6
Utilities 2.2
Telecommunication Services 1.5
REITS 0.4
Other 0.4
-----
100.0%
=====
THE UNITED KINGDOM SMALL COMPANY SERIES
[Download Table]
Industrials 29.5%
Consumer Discretionary 23.4
Financials 14.3
Information Technology 10.2
Consumer Staples 6.4
Energy 4.9
Materials 4.4
Health Care 4.2
Telecommunication Services 1.3
Other 0.7
Utilities 0.7
-----
100.0%
=====
THE CONTINENTAL SMALL COMPANY SERIES
[Download Table]
Industrials 25.1%
Financials 17.0
Consumer Discretionary 16.9
Information Technology 10.3
Materials 8.6
Consumer Staples 7.0
Health Care 7.0
Energy 3.7
Utilities 2.1
Telecommunication Services 1.1
Other 0.7
REITS 0.5
-----
100.0%
=====
97
THE EMERGING MARKETS SERIES
[Download Table]
Financials 23.9%
Telecommunication Services 16.8
Materials 16.3
Consumer Staples 10.0
Information Technology 9.0
Industrials 7.4
Consumer Discretionary 6.8
Utilities 4.4
Energy 3.2
Health Care 2.1
Other 0.1
-----
100.0%
=====
THE EMERGING MARKETS SMALL CAP SERIES
[Download Table]
Consumer Discretionary 17.1%
Materials 15.7
Industrials 14.5
Financials 14.0
Consumer Staples 11.9
Information Technology 10.6
Other 6.0
Health Care 3.2
Telecommunication Services 2.9
Utilities 2.6
Energy 1.5
-----
100.0%
=====
THE DFA ONE-YEAR FIXED INCOME SERIES
[Download Table]
Government 30.7%
Foreign Government 30.5
Foreign Corporate 14.3
Supranational 13.7
Corporate 10.8
-----
100.0%
=====
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
[Download Table]
Government 34.8%
Foreign Government 27.4
Supranational 15.3
Foreign Corporate 14.6
Corporate 7.9
-----
100.0%
=====
98
THE U.S. LARGE COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
[Download Table]
SHARES VALUE+
---------------- ----------------
COMMON STOCKS -- (92.4%)
Financials -- (18.1%)
# Ace, Ltd. 98,800 $ 4,270,136
AFLAC, Inc. 174,400 7,246,320
# Allstate Corp. 236,000 13,735,200
AMBAC Financial Group, Inc. 37,800 2,727,270
American Express Co. 407,600 21,949,260
American International Group, Inc. 905,100 50,278,305
AmSouth Bancorporation 123,400 3,289,844
AON Corp. 109,900 2,739,807
Bank of America Corp. 1,408,600 65,246,352
Bank of New York Co., Inc. 270,500 7,795,810
# BB&T Corp. 190,600 7,612,564
# Bear Stearns Companies, Inc. 39,300 3,892,272
Capital One Financial Corp. 85,900 6,476,860
Chubb Corp. 66,500 5,601,295
Cincinnati Financial Corp. 58,005 2,289,457
CIT Group, Inc. 73,300 3,109,386
Citigroup, Inc. 1,815,800 85,542,338
Comerica, Inc. 59,200 3,308,096
Compass Bancshares, Inc. 43,000 1,916,510
Countrywide Financial Corp. 201,700 7,497,189
* E*TRADE Financial Corp. 128,800 1,590,680
Federal Home Loan Mortgage Corporation 239,100 15,551,064
Federal National Mortgage Association 336,400 19,928,336
Federated Investors, Inc. 33,100 980,091
Fifth Third Bancorp 180,700 7,701,434
# First Horizon National Corp. 42,800 1,807,444
Franklin Resources, Inc. 68,800 4,963,232
Golden West Financial Corp. 98,200 6,149,284
Hartford Financial Services Group, Inc. 102,800 7,688,412
Huntington Bancshares, Inc. 80,500 1,877,260
Janus Capital Group, Inc. 82,000 1,259,520
Jefferson-Pilot Corp. 47,400 2,388,960
JPMorgan Chase & Co. 1,235,000 44,151,250
KeyCorp 141,200 4,625,712
Lehman Brothers Holdings, Inc. 95,900 8,841,980
# Lincoln National Corp. 60,600 2,759,118
Loews Corp. 55,500 4,179,150
M&T Bank Corp. 34,200 3,493,188
Marsh & McLennan Companies, Inc. 183,800 5,337,552
Marshall & Ilsley Corp. 72,100 3,137,071
MBIA, Inc. 48,900 2,734,977
MBNA Corp. 444,000 9,363,960
1
[Download Table]
Mellon Financial Corp. 147,200 4,086,272
Merrill Lynch & Co., Inc. 323,500 17,553,110
MetLife, Inc. 254,700 11,359,620
MGIC Investment Corp. 33,600 2,061,024
# Moody's Corp. 95,400 4,127,958
Morgan Stanley 386,600 18,927,936
National City Corp. 206,500 7,136,640
North Fork Bancorporation, Inc. 163,600 4,459,736
Northern Trust Corp. 70,700 3,246,544
PNC Financial Services Group 98,300 5,372,095
Principal Financial Group, Inc. 104,100 4,152,549
Progressive Corp. 69,600 6,686,472
* Providian Financial Corp. 101,900 1,815,858
Prudential Financial, Inc. 182,100 11,528,751
# Regions Financial Corp. 161,400 5,435,952
Safeco Corp. 44,200 2,378,402
Schwab (Charles) Corp. 399,000 4,524,660
SLM Corp. 149,400 7,211,538
Sovereign Bancorp, Inc. 130,300 2,908,296
State Street Corp. 115,900 5,563,200
SunTrust Banks, Inc. 117,900 8,678,619
Synovus Financial Corp. 108,100 3,142,467
T. Rowe Price Group, Inc. 43,000 2,565,380
The Goldman Sachs Group, Inc. 155,600 15,171,000
The St. Paul Travelers Companies, Inc. 232,500 8,807,100
Torchmark Corp. 37,600 1,983,400
U.S. Bancorp 644,100 18,891,453
UnumProvident Corp. 103,400 1,898,424
Wachovia Corp. 550,900 27,958,175
Washington Mutual, Inc. 303,500 12,534,550
Wells Fargo & Co. 589,300 35,599,613
XL Capital, Ltd. 48,300 3,636,024
Zions Bancorporation 31,200 2,210,208
----------------
Total Financials
(Cost $518,161,659) 740,646,972
----------------
Information Technology -- (14.3%)
* ADC Telecommunications, Inc. 40,242 730,795
# Adobe Systems, Inc. 169,200 5,593,752
* Advanced Micro Devices, Inc. 136,900 2,245,160
* Affiliated Computer Services, Inc. Class A 44,000 2,276,120
* Agilent Technologies, Inc. 150,200 3,606,302
* Altera Corp. 129,400 2,871,386
Analog Devices, Inc. 129,500 4,801,860
* Andrew Corp. 55,900 741,234
* Apple Computer, Inc. 284,000 11,277,640
Applied Materials, Inc. 579,600 9,511,236
* Applied Micro Circuits Corp. 107,000 307,090
Autodesk, Inc. 79,800 3,158,484
Automatic Data Processing, Inc. 202,600 8,873,880
* Avaya, Inc. 166,700 1,525,305
* BMC Software, Inc. 76,900 1,308,838
* Broadcom Corp. 101,000 3,584,490
* Ciena Corp. 198,900 433,602
* Cisco Sytems, Inc. 2,246,300 43,533,294
2
[Download Table]
* Citrix Systems, Inc. 59,000 1,484,440
Computer Associates International, Inc. 185,968 5,071,347
* Computer Sciences Corp. 66,400 3,074,984
* Compuware Corp. 134,600 922,010
* Comverse Technology, Inc. 68,800 1,618,864
* Convergys Corp. 49,400 673,322
* Corning, Inc. 489,900 7,681,632
* Dell, Inc. 854,600 34,089,994
* Electronic Arts, Inc. 107,000 5,621,780
Electronic Data Systems Corp. 179,900 3,544,030
* EMC Corp. 835,900 11,752,754
First Data Corp. 278,700 10,543,221
* Fiserv, Inc. 67,100 2,885,300
* Freescale Semiconductor, Inc. Class B 139,600 2,819,920
* Gateway, Inc. 103,900 359,494
Hewlett-Packard Co. 1,006,200 22,649,562
Intel Corp. 2,163,800 58,271,134
International Business Machines Corp. 567,300 42,859,515
* Intuit, Inc. 64,500 2,787,690
* Jabil Circuit, Inc. 63,800 1,864,874
* JDS Uniphase Corp. 502,000 768,060
# KLA-Tencor Corp. 68,400 3,106,044
* Lexmark International, Inc. 44,000 3,011,360
Linear Technology Corp. 106,700 3,998,049
* LSI Logic Corp. 133,700 984,032
* # Lucent Technologies, Inc. 1,539,700 4,326,557
Maxim Integrated Products, Inc. 113,600 4,475,840
* Mercury Interactive Corp. 29,300 1,322,016
* Micron Technology, Inc. 213,300 2,342,034
Microsoft Corp. 3,516,200 90,717,960
Molex, Inc. 58,300 1,544,367
Motorola, Inc. 852,000 14,799,240
National Semiconductor Corp. 123,500 2,484,820
* NCR Corp. 64,700 2,369,961
* Network Appliance, Inc. 127,200 3,658,272
* Novell, Inc. 131,700 770,445
* Novellus Systems, Inc. 48,600 1,295,190
* Nvidia Corp. 57,800 1,571,582
* Oracle Corp. 1,561,500 20,018,430
* Parametric Technology Corp. 94,000 565,880
Paychex, Inc. 123,600 3,569,568
* PMC-Sierra, Inc. 62,400 547,248
* QLogic Corp. 31,900 1,021,438
Qualcomm, Inc. 571,900 21,308,994
Sabre Holdings Corp. 45,700 917,199
* Sanmina-SCI Corp. 181,900 933,147
Scientific-Atlanta, Inc. 52,900 1,761,570
* Siebel Systems, Inc. 178,900 1,649,458
* Solectron Corp. 337,400 1,231,510
* Sun Microsystems, Inc. 1,173,900 4,472,559
* Sungard Data Systems, Inc. 100,300 3,481,413
* # Symantec Corp. 246,500 5,573,365
Symbol Technologies, Inc. 84,300 970,293
Tektronix, Inc. 31,100 705,037
* Tellabs, Inc. 160,500 1,319,310
3
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* Teradyne, Inc. 67,400 876,874
Texas Instruments, Inc. 598,200 16,534,248
* Unisys Corp. 117,200 848,528
* Veritas Software Corp. 146,600 3,645,942
* Xerox Corp. 332,700 4,514,739
Xilinx, Inc. 121,100 3,360,525
* Yahoo!, Inc. 453,100 16,855,320
----------------
Total Information Technology
(Cost $560,187,362) 587,184,759
----------------
Health Care -- (12.4%)
Abbott Laboratories 541,700 26,131,608
Aetna, Inc. 102,300 7,980,423
Allergan, Inc. 45,700 3,533,067
AmerisourceBergen Corp. 36,600 2,363,262
* Amgen, Inc. 435,400 27,247,332
Applera Corp. - Applied Biosystems Group 68,300 1,462,303
Bard (C.R.), Inc. 36,400 2,484,300
Bausch & Lomb, Inc. 18,700 1,460,283
Baxter International, Inc. 215,400 7,948,260
Becton Dickinson & Co. 88,000 5,055,600
* Biogen Idec, Inc. 115,900 4,531,690
Biomet, Inc. 87,900 3,312,951
* Boston Scientific Corp. 264,100 7,154,469
Bristol-Myers Squibb Co. 679,000 17,219,440
# Cardinal Health, Inc. 150,700 8,730,051
* # Caremark Rx, Inc. 158,900 7,096,474
* Chiron Corp. 51,300 1,925,802
Cigna Corp. 45,700 4,444,325
Eli Lilly & Co. 393,700 22,952,710
* # Express Scripts, Inc. 26,400 2,439,096
* # Fisher Scientific International, Inc. 40,800 2,548,368
* Forest Laboratories, Inc. 122,100 4,710,618
* Genzyme Corp. 86,100 5,371,779
* Gilead Sciences, Inc. 150,400 6,136,320
Guidant Corp. 112,100 8,283,069
HCA, Inc. 143,100 7,727,400
# Health Management Associates, Inc. 84,800 2,138,656
* Hospira, Inc. 54,300 2,067,744
* Humana, Inc. 55,900 2,032,524
IMS Health, Inc. 80,600 1,978,730
Johnson & Johnson 1,033,300 69,334,430
* King Pharmaceuticals, Inc. 84,000 794,640
* Laboratory Corp. of America Holdings 46,900 2,272,305
Manor Care, Inc. 29,900 1,161,914
McKesson Corp. 102,600 4,131,702
* Medco Health Solutions, Inc. 95,600 4,780,000
* Medimmune, Inc. 86,400 2,280,960
Medtronic, Inc. 420,300 22,591,125
Merck & Co., Inc. 767,300 24,891,212
* Millipore Corp. 17,300 890,777
Mylan Laboratories, Inc. 93,600 1,544,400
PerkinElmer, Inc. 45,100 862,763
Pfizer, Inc. 2,592,500 72,330,750
Quest Diagnostics, Inc. 31,700 3,328,500
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Schering-Plough Corp. 512,500 9,993,750
* St. Jude Medical, Inc. 125,400 5,031,048
Stryker Corp. 130,200 6,334,230
* Tenet Healthcare Corp. 162,800 1,973,136
* Thermo Electron Corp. 55,600 1,463,392
UnitedHealth Group, Inc. 445,800 21,656,964
* Waters Corp. 42,000 1,631,700
* Watson Pharmaceuticals, Inc. 38,100 1,145,286
* WellPoint, Inc. 106,000 14,098,000
Wyeth 464,300 20,136,691
* Zimmer Holdings, Inc. 85,700 6,562,906
----------------
Total Health Care
(Cost $377,818,748) 509,691,235
----------------
Industrials -- (10.7%)
3M Co. 268,400 20,572,860
* Allied Waste Industries, Inc. 94,300 727,053
American Power Conversion Corp. 62,400 1,588,704
American Standard Companies, Inc. 62,600 2,679,280
Avery Dennison Corp. 35,400 1,856,730
# Boeing Co. 289,300 18,486,270
Burlington Northern Santa Fe Corp. 131,500 6,498,730
Caterpillar, Inc. 119,200 11,217,912
Cendant Corp. 366,600 7,775,586
Cintas Corp. 51,900 2,095,203
Cooper Industries, Ltd. 32,200 2,219,868
CSX Corp. 74,900 3,114,342
# Cummins, Inc. 14,900 1,012,455
# Danaher Corp. 95,600 5,270,428
Deere & Co. 85,800 5,675,670
* # Delta Air Lines, Inc. 48,600 187,110
Donnelley (R.R.) & Sons Co. 74,900 2,490,425
Dover Corp. 70,800 2,681,196
Eaton Corp. 53,100 3,178,035
Emerson Electric Co. 145,700 9,684,679
Equifax, Inc. 46,900 1,626,961
FedEx Corp. 104,700 9,362,274
# Fluor Corp. 29,700 1,706,265
General Dynamics Corp. 69,600 7,515,408
General Electric Co. 3,683,200 134,363,136
Goodrich (B.F.) Co. 41,700 1,745,562
Honeywell International, Inc. 295,600 10,709,588
Illinois Tool Works, Inc. 95,400 8,054,622
Ingersoll-Rand Co., Ltd. Class A 60,200 4,660,082
ITT Industries, Inc. 32,000 3,040,000
L-3 Communications Holdings, Inc. 40,100 2,838,278
Lockheed Martin Corp. 139,500 9,052,155
Masco Corp. 155,700 4,985,514
* Monster Worldwide, Inc. 41,900 1,105,322
* Navistar International Corp. 22,900 698,679
Norfolk Southern Corp. 139,200 4,443,264
Northrop Grumman Corp. 125,200 6,976,144
Paccar, Inc. 60,400 4,273,300
Pall Corp. 43,100 1,258,089
Parker Hannifin Corp. 41,700 2,515,761
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Pitney Bowes, Inc. 80,200 3,577,722
Raytheon Co. 157,400 6,163,784
Robert Half International, Inc. 55,900 1,394,146
Rockwell Automation, Inc. 60,800 3,123,296
Rockwell Collins, Inc. 61,900 3,057,241
Ryder System, Inc. 22,300 819,302
Southwest Airlines Co. 256,000 3,724,800
Textron, Inc. 46,900 3,624,901
Tyco International, Ltd. 699,600 20,239,428
Union Pacific Corp. 90,700 6,073,272
United Parcel Service, Inc. 389,000 28,649,850
United Technologies Corp. 178,000 18,992,600
W.W. Grainger, Inc. 29,000 1,577,310
Waste Management, Inc. 197,500 5,824,275
----------------
Total Industrials
(Cost $311,260,626) 436,784,867
----------------
Consumer Discretionary -- (10.5%)
* Apollo Group, Inc. Class A 57,600 4,521,600
* AutoNation, Inc. 78,500 1,569,215
* Autozone, Inc. 23,500 2,127,220
* Bed Bath and Beyond, Inc. 105,100 4,272,315
Best Buy Co., Inc. 103,800 5,649,834
* Big Lots, Inc. 39,200 496,272
# Black & Decker Corp. 27,900 2,436,228
Brunswick Corp. 33,700 1,450,448
Carnival Corp. 183,100 9,685,990
Centex Corp. 44,000 2,881,120
Circuit City Stores, Inc. 66,400 1,088,296
Clear Channel Communications, Inc. 183,200 5,354,936
* Coach, Inc. 132,900 3,859,416
* Comcast Corp. Class A 768,700 24,752,140
Cooper Tire & Rubber Co. 22,300 424,592
Dana Corp. 52,100 705,955
Darden Restaurants, Inc. 51,300 1,666,224
Delphi Corp. 195,000 848,250
Dillards, Inc. Class A 24,500 586,040
Disney (Walt) Co. 711,400 19,520,816
Dollar General Corp. 104,700 2,053,167
Dow Jones & Co., Inc. 24,500 869,750
Eastman Kodak Co. 99,600 2,617,488
* # eBay, Inc. 420,500 15,983,205
Family Dollar Stores, Inc. 58,300 1,496,561
# Federated Department Stores, Inc. 58,900 3,972,805
Ford Motor Co. 636,200 6,349,276
Fortune Brands, Inc. 50,400 4,359,600
Gannett Co., Inc. 87,300 6,500,358
Gap, Inc. 275,500 5,785,500
# General Motors Corp. 196,300 6,189,339
Genuine Parts Co. 60,700 2,607,672
* # Goodyear Tire & Rubber Co. 61,100 879,229
H&R Block, Inc. 57,400 2,865,408
Harley-Davidson, Inc. 101,500 4,976,545
# Harrahs Entertainment, Inc. 39,500 2,836,495
Hasbro, Inc. 58,000 1,170,440
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Hilton Hotels Corp. 133,700 3,239,551
Home Depot, Inc. 763,000 30,024,050
International Game Technology 119,900 3,378,782
* Interpublic Group of Companies, Inc. 146,900 1,812,746
Johnson Controls, Inc. 66,400 3,762,224
Jones Apparel Group, Inc. 42,600 1,359,366
KB Home 29,000 1,958,660
Knight-Ridder, Inc. 26,300 1,659,004
* Kohl's Corp. 113,300 5,516,577
Leggett & Platt, Inc. 66,300 1,766,232
Limited Brands, Inc. 132,800 2,731,696
Liz Claiborne, Inc. 37,800 1,419,390
# Lowe's Companies, Inc. 268,600 15,366,606
Marriott International, Inc. Class A 69,800 4,714,292
# Mattel, Inc. 144,800 2,632,464
May Department Stores Co. 101,500 3,873,240
# Maytag Corp. 27,700 404,143
McDonald's Corp. 442,000 13,675,480
McGraw-Hill Companies, Inc. 132,400 5,780,584
Meredith Corp. 15,800 783,680
Newell Rubbermaid, Inc. 95,500 2,176,445
News Corp. Class A 864,600 13,945,998
NIKE, Inc. Class B 79,800 6,559,560
Nordstrom, Inc. 43,800 2,673,552
* Office Depot, Inc. 108,700 2,143,564
OfficeMax, Inc. 24,400 740,540
Omnicom Group, Inc. 64,800 5,306,472
Penney (J.C.) Co., Inc. 94,100 4,682,416
Pulte Homes, Inc. 41,200 3,149,740
RadioShack Corp. 55,100 1,386,316
# Reebok International, Ltd. 19,500 793,845
* Sears Holdings Corp. 22,865 3,354,295
Sherwin-Williams Co. 44,000 1,955,800
# Snap-On, Inc. 20,100 693,651
Staples, Inc. 258,250 5,560,123
* Starbucks Corp. 138,900 7,604,775
Starwood Hotels & Resorts Worldwide, Inc. 73,900 4,136,183
Target Corp. 311,100 16,706,070
# The New York Times Co. Class A 50,700 1,590,459
The Stanley Works 26,100 1,164,321
The TJX Companies, Inc. 167,400 3,838,482
# Tiffany & Co. 50,600 1,575,178
* Time Warner, Inc. 1,597,100 27,789,540
* Toys R Us, Inc. 74,800 1,959,760
Tribune Co. 103,700 3,751,866
* Univision Communications, Inc. Class A 101,400 2,698,254
V.F. Corp. 34,700 1,958,121
Viacom, Inc. Class B 592,500 20,316,825
# Visteon Corp. 45,100 344,113
Wendy's International, Inc. 39,600 1,787,148
Whirlpool Corp. 23,300 1,603,040
Yum! Brands, Inc. 101,300 5,195,677
----------------
Total Consumer Discretionary
(Cost $353,509,371) 430,410,641
----------------
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Consumer Staples -- (9.6%)
Alberto-Culver Co. Class B 29,400 1,303,302
# Albertson's, Inc. 127,900 2,684,621
# Altria Group, Inc. 718,900 48,266,946
Anheuser-Busch Companies, Inc. 270,000 12,649,500
Archer-Daniels-Midland Co. 216,500 4,297,525
Avon Products, Inc. 163,900 6,513,386
Brown-Forman Corp. Class B 31,300 1,866,106
Campbell Soup Co. 113,200 3,512,596
Clorox Co. 53,300 3,113,253
Coca-Cola Co. 787,200 35,132,736
Coca-Cola Enterprises, Inc. 122,500 2,680,300
Colgate-Palmolive Co. 182,600 9,124,522
ConAgra, Inc. 179,100 4,683,465
Costco Wholesale Corp. 164,200 7,457,964
CVS Corp. 139,100 7,629,635
General Mills, Inc. 126,800 6,276,600
Gillette Co. 344,500 18,168,930
Heinz (H.J.) Co. 121,600 4,422,592
Hershey Foods Corp. 76,000 4,879,960
Kellogg Co. 121,900 5,545,231
Kimberly-Clark Corp. 167,200 10,755,976
McCormick & Co., Inc. 47,100 1,593,864
Molson Coors Brewing Co. 28,000 1,637,160
Pepsi Bottling Group, Inc. 68,800 1,951,856
PepsiCo, Inc. 583,200 32,834,160
Procter & Gamble Co. 876,500 48,338,975
# Reynolds American, Inc. 40,500 3,357,855
* Safeway, Inc. 155,500 3,422,555
Sara Lee Corp. 274,300 5,565,547
Supervalu, Inc. 46,900 1,536,444
Sysco Corp. 221,300 8,223,508
* The Kroger Co. 254,400 4,266,288
UST, Inc. 57,400 2,557,744
# Walgreen Co. 354,900 16,091,166
Wal-Mart Stores, Inc. 1,177,200 55,599,156
Wrigley (Wm.) Jr. Co. 68,000 4,642,360
----------------
Total Consumer Staples
(Cost $263,498,630) 392,583,784
----------------
Energy -- (7.7%)
Amerada Hess Corp. 29,600 2,748,360
# Anadarko Petroleum Corp. 82,300 6,230,110
# Apache Corp. 113,500 6,669,260
Ashland, Inc. 23,100 1,577,730
Baker Hughes, Inc. 117,500 5,427,325
BJ Services Co. 56,400 2,839,740
Burlington Resources, Inc. 134,500 6,816,460
ChevronTexaco Corp. 731,200 39,323,936
ConocoPhillips 241,700 26,064,928
Devon Energy Corp. 166,500 7,642,350
# El Paso Corp. 223,600 2,312,024
EOG Resources, Inc. 83,100 4,145,859
Exxon Mobil Corp. 2,218,900 124,702,180
Halliburton Co. 175,300 7,492,322
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# Kerr-McGee Corp. 40,500 2,991,330
Kinder Morgan, Inc. 38,200 2,968,522
Marathon Oil Corp. 120,600 5,847,894
* Nabors Industries, Ltd. 49,200 2,711,412
* National-Oilwell, Inc. 58,300 2,623,500
# Noble Corp. 47,100 2,666,802
Occidental Petroleum Corp. 138,000 10,089,180
Rowan Companies, Inc. 37,200 1,023,000
Schlumberger, Ltd. 204,900 14,009,013
Sunoco, Inc. 24,100 2,471,937
The Williams Companies, Inc. 198,200 3,648,862
* # Transocean, Inc. 111,600 5,558,796
Unocal Corp. 94,000 5,357,060
Valero Energy Corp. 89,200 6,120,904
XTO Energy, Inc. 120,700 3,756,184
----------------
Total Energy
(Cost $190,448,944) 315,836,980
----------------
Utilities -- (3.0%)
* AES Corp. 225,500 3,357,695
* Allegheny Energy, Inc. 56,300 1,361,334
Ameren Corp. 67,900 3,705,982
American Electric Power Co., Inc. 133,200 4,753,908
* # Calpine Corp. 185,600 553,088
CenterPoint Energy, Inc. 100,500 1,232,130
Cinergy Corp. 66,500 2,741,795
* # CMS Energy Corp. 74,900 990,927
Consolidated Edison, Inc. 84,300 3,836,493
Constellation Energy Group 61,400 3,281,830
Dominion Resources, Inc. 118,400 8,324,704
DTE Energy Co. 60,500 2,876,170
# Duke Energy Corp. 325,900 8,955,732
* Dynegy, Inc. 115,000 534,750
Edison International 113,200 4,160,100
Entergy Corp. 74,100 5,322,603
Exelon Corp. 231,000 10,822,350
FirstEnergy Corp. 114,600 5,076,780
FPL Group, Inc. 135,900 5,524,335
KeySpan Corp. 60,100 2,388,374
Nicor, Inc. 15,300 604,350
NiSource, Inc. 94,300 2,272,630
Peoples Energy Corp. 13,200 564,300
PG&E Corp. 125,400 4,485,558
Pinnacle West Capital Corp. 33,700 1,486,844
# PPL Corp. 65,700 3,778,407
Progress Energy, Inc. 85,800 3,794,934
Public Service Enterprise Group, Inc. 82,900 4,600,950
Sempra Energy 82,800 3,284,676
Southern Co. 258,200 8,765,890
TECO Energy, Inc. 71,700 1,267,656
TXU Corp. 83,500 6,703,380
Xcel Energy, Inc. 139,400 2,569,142
----------------
Total Utilities
(Cost $94,737,953) 123,979,797
----------------
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Telecommunication Services -- (2.9%)
Alltel Corp. 113,600 6,608,112
AT&T Corp. 278,100 5,225,499
BellSouth Corp. 636,400 17,030,064
CenturyTel, Inc. 46,700 1,531,293
# Citizens Communications Co. 116,600 1,590,424
* Nextel Communications, Inc. 391,500 11,815,470
* Qwest Communications International, Inc. 580,700 2,276,344
SBC Communications, Inc. 1,147,900 26,837,902
Sprint Corp. 513,600 12,167,184
Verizon Communications, Inc. 962,600 34,056,788
----------------
Total Telecommunication Services
(Cost $138,008,205) 119,139,080
----------------
Materials -- (2.7%)
Air Products & Chemicals, Inc. 79,100 4,764,193
Alcoa, Inc. 302,900 8,208,590
Allegheny Technologies, Inc. 31,100 661,186
Ball Corp. 38,200 1,434,410
Bemis Co., Inc. 37,200 1,010,352
Dow Chemical Co. 331,300 15,004,577
DuPont (E.I.) de Nemours & Co., Inc. 346,500 16,115,715
Eastman Chemical Co. 27,100 1,592,938
Ecolab, Inc. 76,700 2,479,711
Engelhard Corp. 42,400 1,246,560
Freeport-McMoRan Copper & Gold, Inc. Class B 62,100 2,192,130
Georgia-Pacific Corp. 90,300 2,992,542
Great Lakes Chemical Corp. 17,900 606,810
* Hercules, Inc. 38,900 537,598
International Flavors & Fragrances, Inc. 30,800 1,142,372
International Paper Co. 170,400 5,488,584
Louisiana-Pacific Corp. 38,500 969,430
# MeadWestavco Corp. 70,400 2,019,072
Monsanto Co. 92,500 5,272,500
Newmont Mining Corp. 154,300 5,746,132
Nucor Corp. 55,500 2,939,280
* Pactiv Corp. 51,600 1,179,060
Phelps Dodge Corp. 33,600 2,936,640
# PPG Industries, Inc. 60,200 3,936,478
Praxair, Inc. 112,100 5,254,127
Rohm & Haas Co. 67,600 3,153,540
* Sealed Air Corp. 29,000 1,501,910
Sigma-Aldrich Corp. 23,900 1,431,849
Temple-Inland, Inc. 39,800 1,421,656
United States Steel Corp. 39,600 1,574,892
Vulcan Materials Co. 35,800 2,145,494
Weyerhaeuser Co. 84,400 5,414,260
----------------
Total Materials
(Cost $84,499,322) 112,374,588
----------------
Real Estate Investment Trusts -- (0.5%)
Apartment Investment & Management Co. Class A 33,300 1,235,430
Archstone-Smith Trust 69,500 2,558,990
Equity Office Properties Trust 140,100 4,551,849
Equity Residential 98,300 3,528,970
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Plum Creek Timber Co., Inc. 63,900 2,239,695
# ProLogis 64,000 2,613,760
Simon Property Group, Inc. 76,800 5,277,696
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Total Real Estate Investment Trusts 22,006,390
----------------
(Cost $18,025,834)
TOTAL COMMON STOCKS 3,790,639,093
----------------
(Cost $2,910,156,654)
FACE
AMOUNT VALUE+
---------------- ----------------
(000)
TEMPORARY CASH INVESTMENTS -- (7.6%)
^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.92%, 06/01/05
(Collateralized by $512,215,000 U.S. STRIPS, rates ranging from 7.50%
to 11.75%, maturities ranging from 11/15/14 to 11/15/24, valued at
$239,637,495) to be repurchased at $234,956,078 (Cost $234,937,022) $ 234,937 234,937,022
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $77,493,000 FHLMC Notes 4.00%, 09/22/09, valued at
$77,589,866) to be repurchased at $76,449,137 (Cost $76,443,000) 76,443 76,443,000
----------------
311,380,022
----------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $311,380,022) 311,380,022
----------------
TOTAL INVESTMENTS - (100.0%)
(Cost $3,221,536,676) $ 4,102,019,115
================
----------
+ See Note B to Financial Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
11
THE ENHANCED U.S. LARGE COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
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FACE
AMOUNT VALUE+
------------- -------------
(000)
UNITED STATES -- (69.6%)
COMMERCIAL PAPER -- (30.9%)
Barton Capital Corp.
3.020%, 06/09/05 $ 5,000 $ 4,996,633
3.050%, 07/07/05 2,000 1,993,846
Canadian Wheat Board
2.790%, 06/10/05 6,000 5,995,515
Ciesco L.P.
2.940%, 06/08/05 7,000 6,995,876
Compass Securitization LLC
3.020%, 06/20/05 1,100 1,098,236
Dexia Delaware LLC
2.870%, 06/08/05 2,000 1,998,837
DuPont (E.I.) de Nemours & Co., Inc.
2.920%, 06/13/05 6,800 6,793,223
Govco, Inc.
3.130%, 07/25/05 2,500 2,488,184
KFW International Finance, Inc.
3.040%, 06/01/05 4,200 4,200,000
Nestle Capital Corp.
2.860%, 06/03/05 1,000 999,834
2.880%, 06/03/05 5,500 5,499,086
Network Rail Finance P.L.C.
3.010%, 06/30/05 4,000 3,990,269
3.080%, 07/13/05 3,035 3,024,126
3.100%, 07/20/05 500 497,894
3.110%, 07/29/05 400 397,985
Paccar Financial Corp.
2.800%, 06/02/05 3,000 2,999,751
2.910%, 06/03/05 4,300 4,299,285
Shell Finance UK
3.040%, 07/18/05 4,000 3,983,879
Siemens Capital Corp.
2.910%, 06/03/05 4,300 4,299,285
Total Capital SA
3.110%, 06/01/05 7,000 7,000,000
UBS Finance Delaware, Inc.
2.870%, 06/01/05 1,000 1,000,000
3.010%, 06/17/05 6,000 5,992,021
Wal-Mart Stores, Inc.
2.890%, 06/07/05 1,000 999,502
3.050%, 07/12/05 1,000 996,507
Windmill Funding Corp.
3.020%, 06/08/05 1,000 999,409
-------------
TOTAL COMMERCIAL PAPER
(Cost $83,540,306) 83,539,183
-------------
AGENCY OBLIGATIONS -- (26.1%)
Federal Farm Credit Bank
2.600%, 09/07/06 3,800 3,748,012
Federal Home Loan Bank
2.625%, 10/16/06 11,000 10,843,701
3.375%, 02/23/07 9,800 9,743,768
Federal Home Loan Mortgage
Corporation
3.070%, 08/01/05 $ 15,000 $ 14,921,715
2.750%, 08/15/06 1,000 988,976
2.750%, 10/15/06 7,300 7,207,151
Federal National Mortgage Association
4.375%, 10/15/06 6,000 6,053,484
2.625%, 11/15/06 3,000 2,954,115
2.375%, 02/15/07 14,200 13,878,100
-------------
TOTAL AGENCY OBLIGATIONS
(Cost $70,619,619) 70,339,022
-------------
BONDS -- (12.6%)
Citigroup, Inc.
5.750%, 05/10/06 895 910,412
5.500%, 08/09/06 2,600 2,644,317
General Electric Capital Corp.
2.970%, 07/26/06 5,000 4,951,365
KFW International Finance, Inc.
5.250%, 06/28/06 3,000 3,043,128
Landesbank Baden-Wuerttemberg
4.150%, 03/30/07 6,500 6,519,591
Toyota Motor Credit Corp.
2.900%, 07/14/06 5,000 4,936,785
Wal-Mart Stores, Inc.
5.450%, 08/01/06 5,000 5,086,920
Wells Fargo & Co.
5.900%, 05/21/06 5,800 5,907,439
-------------
TOTAL BONDS
(Cost $34,289,938) 33,999,957
-------------
TOTAL -- UNITED STATES
(Cost $188,449,863) 187,878,162
-------------
SUPRANATIONAL ORGANIZATION
OBLIGATIONS -- (10.2%)
BONDS -- (10.2%)
Asian Development Bank
4.875%, 02/05/07 7,000 7,148,960
European Investment Bank
3.000%, 08/15/06 2,300 2,286,128
4.875%, 09/06/06 3,000 3,045,006
Inter-American Development Bank
6.625%, 03/07/07 2,400 2,520,977
International Finance Corp.
5.250%, 05/02/06 6,502 6,572,541
World Bank (International Bank for
Reconstruction & Development)
Corporate Bonds
4.375%, 09/28/06 6,000 6,060,714
-------------
TOTAL -- SUPRANATIONAL
ORGANIZATION OBLIGATIONS
(Cost $27,727,978) 27,634,326
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102
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FACE
AMOUNT VALUE
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(000)
GERMANY -- (4.6%)
BONDS -- (4.6%)
Landeskreditbank Baden-
Wuerttemberg-Foerderbank
4.875%, 01/30/07 $ 5,000 $ 5,081,930
Landwirtschaft Rentenbank
4.500%, 10/23/06 6,300 6,361,356
4.875%, 03/12/07 1,000 1,017,023
-------------
TOTAL -- GERMANY
(Cost $12,520,850) 12,460,309
-------------
AUSTRIA -- (2.7%)
BONDS -- (2.7%)
Oesterreichische Kontrollbank AG
5.125%, 03/20/07
(Cost $7,144,627) 7,000 7,172,494
-------------
SWEDEN -- (2.6%)
BONDS -- (2.6%)
Swedish Export Credit Corp.
2.875%, 01/26/07
(Cost $7,034,620) 7,100 6,988,105
-------------
SPAIN -- (2.6%)
BONDS -- (2.6%)
Institut de Credito Oficial
4.625%, 11/29/06
(Cost $6,935,874) 6,800 6,871,291
-------------
DENMARK -- (2.5%)
BONDS -- (2.5%)
Denmark (Kingdom of)
5.125%, 12/28/06
(Cost $6,873,667) 6,700 6,845,042
-------------
NORWAY -- (1.9%)
BONDS -- (1.9%)
Eksportfinans ASA
5.750%, 06/06/06
(Cost $5,155,389) $ 5,000 $ 5,099,920
-------------
UNITED KINGDOM -- (1.6%)
BONDS -- (1.6%)
BP Capital Markets P.L.C.
2.750%, 12/29/06
(Cost $4,410,989) 4,500 4,428,958
-------------
NETHERLANDS -- (1.2%)
BONDS -- (1.2%)
Bank Nederlandse Gemeenten
4.500%, 12/14/06
(Cost $3,348,603) 3,300 3,334,426
-------------
TEMPORARY CASH
INVESTMENTS -- (0.5%)
Repurchase Agreement, PNC Capital
Markets, Inc. 2.89%, 06/01/05
(Collateralized by $1,253,000
FHLMC Notes 4.00%, 09/22/09,
valued at $1,254,566) to be
repurchased at $1,236,099
(Cost $1,236,000) 1,236 1,236,000
-------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $270,838,460) $ 269,949,033
=============
----------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
103
THE U.S. LARGE CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
[Enlarge/Download Table]
SHARES VALUE+
---------------- ----------------
COMMON STOCKS -- (95.5%)
Consumer Discretionary -- (28.1%)
American Greetings Corp. Class A 177,600 $ 4,614,048
* AutoNation, Inc. 2,057,600 41,131,424
* Barnes & Noble, Inc. 176,400 6,676,740
Belo Corp. Class A 362,300 8,905,334
* Big Lots, Inc. 253,500 3,209,310
# Blockbuster, Inc. Class A 83,900 766,007
Borders Group, Inc. 34,000 859,860
BorgWarner, Inc. 201,600 10,777,536
* Caesars Entertainment, Inc. 845,900 18,229,145
* Cavco Industries, Inc. 22,900 616,239
Circuit City Stores, Inc. 586,200 9,607,818
Clear Channel Communications, Inc. 1,942,666 56,784,127
* Comcast Corp. Class A 3,966,525 127,722,105
* Comcast Corp. Special Class A Non-Voting 927,100 29,333,444
Dana Corp. 511,600 6,932,180
Dillards, Inc. Class A 286,000 6,841,120
Disney (Walt) Co. 906,600 24,877,104
# Federated Department Stores, Inc. 618,200 41,697,590
Foot Locker, Inc. 90,400 2,387,464
Ford Motor Co. 5,892,000 58,802,160
# General Motors Corp. 1,913,900 60,345,267
* # Goodyear Tire & Rubber Co. 203,900 2,934,121
Hearst-Argyle Television, Inc. 238,600 5,955,456
Hollinger International, Inc. Class A 257,600 2,382,800
Horton (D.R.), Inc. 1,091,829 37,744,529
* # IAC/InterActiveCorp 2,346,703 57,494,223
Lear Corp. 227,800 8,588,060
* Liberty Media Corp. Class A 9,460,100 98,290,439
* Liberty Media International, Inc. Class A 313,805 13,151,568
May Department Stores Co. 446,600 17,042,256
* MGM Mirage 734,400 27,973,296
News Corp. Class A 44,676 720,624
# OfficeMax, Inc. 354,300 10,753,005
Penney (J.C.) Co., Inc. 1,120,000 55,731,200
Pulte Homes, Inc. 248,400 18,990,180
* Radio One, Inc. 55,000 694,100
Saks, Inc. 743,200 12,738,448
* Sears Holdings Corp. 173,929 25,515,384
Service Corp. International 311,600 2,361,928
Starwood Hotels & Resorts Worldwide, Inc. 548,600 30,705,142
* The DIRECTV Group, Inc. 481,937 7,195,319
* Time Warner, Inc. 10,059,480 175,034,952
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* Toys R Us, Inc. 819,300 21,465,660
Tribune Co. 1,182,400 42,779,232
* # Univision Communications, Inc. Class A 932,900 24,824,469
Viacom, Inc. Class B 5,017,000 172,032,930
----------------
Total Consumer Discretionary
(Cost $1,294,572,123) 1,394,215,343
----------------
Financials -- (26.1%)
A.G. Edwards, Inc. 199,100 8,224,821
* Allmerica Financial Corp. 179,700 6,275,124
# Allstate Corp. 1,791,600 104,271,120
AMBAC Financial Group, Inc. 23,200 1,673,880
American Financial Group, Inc. 280,200 9,084,084
American National Insurance Co. 57,800 6,670,120
* AmeriCredit Corp. 395,300 9,831,111
AmerUs Group Co. 124,600 5,929,714
Astoria Financial Corp. 60,750 1,673,055
Bank of Hawaii Corp. 327,500 15,959,075
# Bear Stearns Companies, Inc. 373,770 37,018,181
Chubb Corp. 428,000 36,050,440
Cincinnati Financial Corp. 658,116 25,975,839
* CNA Financial Corp. 919,500 25,359,810
Commerce Group, Inc. 93,100 5,548,760
Commercial Federal Corp. 98,900 2,473,489
Countrywide Financial Corp. 1,639,998 60,958,726
Fidelity National Financial, Inc. 520,800 18,743,592
First American Corp. 330,100 12,774,870
First Citizens BancShares, Inc. 10,300 1,344,459
Hartford Financial Services Group, Inc. 868,200 64,932,678
Hibernia Corp. 274,500 8,825,175
Independence Community Bank Corp. 300,500 11,262,740
* Instinet Group, Inc. 15,200 80,256
Janus Capital Group, Inc. 796,800 12,238,848
JPMorgan Chase & Co. 2,244,400 80,237,300
KeyCorp 941,600 30,846,816
* LaBranche & Co., Inc. 19,700 108,941
Lehman Brothers Holdings, Inc. 227,800 21,003,160
Lincoln National Corp. 620,400 28,246,812
Loews Corp. 636,800 47,951,040
MBIA, Inc. 498,050 27,855,937
MetLife, Inc. 2,623,300 116,999,180
MGIC Investment Corp. 335,500 20,579,570
Nationwide Financial Services, Inc. 208,500 7,960,530
# New York Community Bancorp, Inc. 327,700 5,970,694
# Odyssey Re Holdings Corp. 50,500 1,217,555
Old Republic International Corp. 635,412 15,796,342
PMI Group, Inc. 346,300 13,090,140
Principal Financial Group, Inc. 1,075,700 42,909,673
Protective Life Corp. 227,500 9,143,225
* Providian Financial Corp. 483,100 8,608,842
Prudential Financial, Inc. 1,731,800 109,640,258
Radian Group, Inc. 316,400 14,516,432
Reinsurance Group of America, Inc. 199,600 9,131,700
Safeco Corp. 486,400 26,173,184
South Financial Group, Inc. 54,300 1,479,675
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Sovereign Bancorp, Inc. 842,320 18,800,582
StanCorp Financial Group, Inc. 104,200 7,799,370
The St. Paul Travelers Companies, Inc. 2,390,826 90,564,489
Torchmark Corp. 127,200 6,709,800
Transatlantic Holdings, Inc. 9,400 536,834
UnionBanCal Corp. 86,600 5,435,882
Unitrin, Inc. 223,800 11,143,002
UnumProvident Corp. 1,048,489 19,250,258
Wesco Financial Corp. 13,540 4,851,111
----------------
Total Financials
(Cost $932,265,029) 1,297,738,301
----------------
Energy -- (8.6%)
Amerada Hess Corp. 318,532 29,575,696
# Anadarko Petroleum Corp. 815,878 61,761,965
# Apache Corp. 129,990 7,638,212
# Ashland, Inc. 297,600 20,326,080
# Chesapeake Energy Corp. 361,000 7,389,670
ConocoPhillips 220,400 23,767,936
# Diamond Offshore Drilling, Inc. 313,641 14,819,537
* Forest Oil Corp. 214,600 8,532,496
Helmerich & Payne, Inc. 146,800 6,087,796
# Kerr-McGee Corp. 431,426 31,865,124
Marathon Oil Corp. 1,061,450 51,469,710
Occidental Petroleum Corp. 650,800 47,579,988
Overseas Shipholding Group, Inc. 86,500 5,285,150
Pogo Producing Co. 209,700 10,367,568
* Pride International, Inc. 366,700 8,269,085
Sunoco, Inc. 298,800 30,647,916
Tidewater, Inc. 217,700 7,532,420
Valero Energy Corp. 776,800 53,304,016
----------------
Total Energy
(Cost $225,588,682) 426,220,365
----------------
Industrials -- (8.3%)
* # AGCO Corp. 275,400 5,056,344
* Allegheny Corp. 18,292 5,126,333
* Allied Waste Industries, Inc. 1,180,900 9,104,739
Burlington Northern Santa Fe Corp. 1,283,000 63,405,860
Cendant Corp. 1,166,500 24,741,465
CSX Corp. 773,900 32,178,762
Curtiss-Wright Corp. 27,130 1,483,468
* # Delta Air Lines, Inc. 402,500 1,549,625
Florida East Coast Industries, Inc. 30,500 1,282,830
IKON Office Solutions, Inc. 329,600 3,193,824
* Laidlaw International, Inc. 160,200 3,562,848
Norfolk Southern Corp. 1,541,200 49,195,104
Northrop Grumman Corp. 1,320,242 73,563,884
* PHH Corp. 15,590 374,004
Raytheon Co. 1,311,300 51,350,508
Ryder System, Inc. 275,400 10,118,196
Steelcase, Inc. Class A 49,000 632,100
Textron, Inc. 123,000 9,506,670
* Thomas & Betts Corp. 46,900 1,448,272
Union Pacific Corp. 950,700 63,658,872
----------------
Total Industrials
(Cost $322,613,101) 410,533,708
----------------
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Information Technology -- (5.9%)
* 3Com Corp. 1,041,900 3,813,354
* Advanced Micro Devices, Inc. 504,800 8,278,720
* Agere Systems, Inc. Class A 22,101 300,582
* Andrew Corp. 582,400 7,722,624
* Applied Micro Circuits Corp. 213,200 611,884
* Arrow Electronics, Inc. 402,900 11,261,055
* Avnet, Inc. 436,600 9,133,672
AVX Corp. 364,500 4,330,260
* CheckFree Corp. 49,700 1,855,301
* Ciena Corp. 489,600 1,067,328
* Computer Sciences Corp. 661,100 30,615,541
* Compuware Corp. 956,430 6,551,546
* Comverse Technology, Inc. 111,500 2,623,595
* Corning, Inc. 998,300 15,653,344
Electronic Data Systems Corp. 1,851,700 36,478,490
* GameStop Corp. Class B 9,432 253,155
Hewlett-Packard Co. 1,407,700 31,687,327
* Ingram Micro, Inc. 608,300 9,617,223
Intersil Corp. 570,400 10,700,704
* JDS Uniphase Corp. 1,095,700 1,676,421
* LSI Logic Corp. 1,347,970 9,921,059
* Lucent Technologies, Inc. 1,193,800 3,354,578
* Micron Technology, Inc. 2,163,300 23,753,034
* Sanmina-SCI Corp. 1,864,500 9,564,885
* Solectron Corp. 1,566,700 5,718,455
* Sun Microsystems, Inc. 2,143,700 8,167,497
* Tech Data Corp. 219,000 7,862,100
* Tellabs, Inc. 1,630,656 13,403,992
* Unisys Corp. 198,000 1,433,520
* # VeriSign, Inc. 166,300 5,379,805
* Vishay Intertechnology, Inc. 626,916 8,087,216
* Vitesse Semiconductor, Inc. 2,800 7,000
* Xerox Corp. 75,000 1,017,750
----------------
Total Information Technology
(Cost $275,612,074) 291,903,017
----------------
Health Care -- (5.4%)
Aetna, Inc. 1,079,252 84,192,449
AmerisourceBergen Corp. 308,900 19,945,673
* Human Genome Sciences, Inc. 23,900 269,592
* Humana, Inc. 461,200 16,769,232
* Invitrogen Corp. 124,900 9,908,317
McKesson Corp. 653,300 26,308,391
* Medco Health Solutions, Inc. 690,100 34,505,000
* Millennium Pharmaceuticals, Inc. 1,158,100 9,693,297
* PacifiCare Health Systems, Inc. 243,400 15,292,822
* Tenet Healthcare Corp. 1,547,300 18,753,276
* Thermo Electron Corp. 239,900 6,314,168
* Triad Hospitals, Inc. 234,100 11,873,552
* Watson Pharmaceuticals, Inc. 389,900 11,720,394
* WebMD Corp. 25,800 243,294
----------------
Total Health Care
(Cost $147,902,837) 265,789,457
----------------
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Materials -- (5.1%)
Bowater, Inc. 199,600 6,267,440
Eastman Chemical Co. 24,200 1,422,476
Georgia-Pacific Corp. 974,200 32,284,988
International Paper Co. 1,215,775 39,160,113
LaFarge North America, Inc. 257,500 15,545,275
Louisiana-Pacific Corp. 385,300 9,701,854
Lubrizol Corp. 182,000 7,165,340
Lyondell Chemical Co. 308,300 7,319,042
# MeadWestavco Corp. 758,431 21,751,801
* Owens-Illinois, Inc. 314,400 8,083,224
Phelps Dodge Corp. 287,085 25,091,229
* Smurfit-Stone Container Corp. 959,126 10,425,700
Temple-Inland, Inc. 262,600 9,380,072
Valhi, Inc. 158,500 2,938,590
Weyerhaeuser Co. 860,700 55,213,905
Worthington Industries, Inc. 133,200 2,232,432
----------------
Total Materials
(Cost $214,260,843) 253,983,481
----------------
Consumer Staples -- (4.1%)
# Albertson's, Inc. 1,316,400 27,631,236
Archer-Daniels-Midland Co. 2,475,260 49,133,911
Coca-Cola Enterprises, Inc. 1,874,800 41,020,624
Corn Products International, Inc. 186,400 4,117,576
Kraft Foods, Inc. 312,800 10,147,232
PepsiAmericas, Inc. 192,000 4,650,240
# Reynolds American, Inc. 251,326 20,837,439
* Rite Aid Corp. 969,800 3,840,408
* Smithfield Foods, Inc. 157,600 4,701,208
Supervalu, Inc. 565,200 18,515,952
Tyson Foods, Inc. Class A 912,556 16,845,784
Weis Markets, Inc. 20,800 764,192
----------------
Total Consumer Staples
(Cost $146,694,245) 202,205,802
----------------
Telecommunication Services -- (3.5%)
* American Tower Corp. 294,600 5,314,584
AT&T Corp. 2,206,280 41,456,001
* Crown Castle International Corp. 468,900 8,337,042
* # Level 3 Communications, Inc. 195,500 406,640
* Qwest Communications International, Inc. 2,000,600 7,842,352
SBC Communications, Inc. 1,613,100 37,714,278
Sprint Corp. 2,161,500 51,205,935
Telephone & Data Systems, Inc. 177,800 6,889,750
* Telephone & Data Systems, Inc. Special Shares 177,800 6,756,400
* United States Cellular Corp. 167,200 7,865,088
----------------
Total Telecommunication Services
(Cost $181,272,270) 173,788,070
----------------
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Utilities -- (0.4%)
Alliant Energy Corp. 212,900 5,876,040
Questar Corp. 251,000 15,823,040
----------------
Total Utilities
(Cost $10,735,877) 21,699,080
----------------
TOTAL COMMON STOCKS
(Cost $3,751,517,081) 4,738,076,624
----------------
FACE
AMOUNT VALUE+
---------------- ----------------
(000)
TEMPORARY CASH INVESTMENTS -- (4.5%)
^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.92%, 06/01/05
(Collateralized by $255,811,000 U.S. STRIPS, rates ranging from 7.500%
to 9.875%, maturities ranging from 11/15/15 to 11/15/24, valued at
$162,719,199) to be repurchased at $159,540,395 (Cost $159,527,456) $ 159,527 159,527,456
Repurchase Agrrement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $67,131,000 FHLMC Notes 4.00%, 09/22/09, valued at
$67,214,914) to be repurchased at $66,226,316 (Cost $66,221,000) 66,221 66,221,000
----------------
225,748,456
----------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $225,748,456) 225,748,456
----------------
TOTAL INVESTMENTS - (100.0%)
(Cost $3,977,265,537) $ 4,963,825,080
================
----------
+ See Note B to Financial Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
6
THE U.S. SMALL XM VALUE SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
[Enlarge/Download Table]
SHARES VALUE+
---------------- ----------------
COMMON STOCKS -- (97.6%)
Consumer Discretionary -- (21.9%)
* Alderwoods Group, Inc. 1,000 $ 13,850
* Alloy, Inc. 16,100 82,754
American Axle & Manufacturing Holdings, Inc. 9,300 192,510
American Greetings Corp. Class A 51,300 1,332,774
* AnnTaylor Stores Corp. 13,000 334,880
* Applica, Inc. 9,200 26,312
ArvinMeritor, Inc. 7,300 105,120
* Audiovox Corp. Class A 12,800 187,264
* Aztar Corp. 7,000 223,580
* Bally Total Fitness Holding Corp. 13,300 40,432
Bandag, Inc. 1,800 83,304
Bandag, Inc. Class A 3,800 158,650
* Barnes & Noble, Inc. 34,500 1,305,825
Bassett Furniture Industries, Inc. 4,600 89,838
Beazer Homes USA, Inc. 25,000 1,336,500
* Big Lots, Inc. 95,400 1,207,764
Blockbuster, Inc. Class A 73,900 674,707
* Bluegreen Corp. 6,100 102,846
Bob Evans Farms, Inc. 24,200 566,280
* Bombay Co., Inc. 5,100 27,183
Borders Group, Inc. 54,200 1,370,718
Brown Shoe Company, Inc. 3,600 126,360
Building Materials Holding Corp. 300 18,609
Burlington Coat Factory Warehouse Corp. 29,200 967,980
Callaway Golf Co. 15,300 178,857
* Charming Shoppes, Inc. 87,714 792,057
* # Charter Communications, Inc. 50,200 57,228
Coachmen Industries, Inc. 6,100 74,725
* Collins & Aikman Corp. 36,200 4,109
Cooper Tire & Rubber Co. 55,000 1,047,200
* Cox Radio, Inc. 19,200 312,384
CSS Industries, Inc. 4,600 141,680
* Cumulus Media, Inc. Class A 38,600 482,114
Dana Corp. 30,000 406,500
Dillards, Inc. Class A 58,914 1,409,223
* Dura Automotive Systems, Inc. 6,150 26,260
* Emmis Communications Corp. Class A 27,823 494,136
* Entercom Communications Corp. 11,877 394,316
* Entravision Communications Corp. 47,300 351,439
* Fairchild Corp. Class A 8,736 20,093
* # Federal-Mogul Corp. 98,700 59,220
* Fleetwood Enterprises, Inc. 3,900 37,323
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* Franklin Covey Co. 6,500 40,300
Furniture Brands International, Inc. 10,600 213,166
* Gaylord Entertainment Co. 27,650 1,162,129
Goody's Family Clothing, Inc. 12,700 90,170
Gray Television, Inc. 29,300 344,275
* Group 1 Automotive, Inc. 15,900 424,689
* Ha-Lo Industries, Inc. 27,300 19
Handleman Co. 14,800 268,620
Hearst-Argyle Television, Inc. 30,500 761,280
* Insight Communications Co., Inc. 40,300 455,390
* Insight Enterprises, Inc. 33,881 663,390
* Interface, Inc. Class A 11,670 89,275
* Jakks Pacific, Inc. 17,699 365,838
* Jo-Ann Stores, Inc. 15,800 422,650
* K2, Inc. 31,800 400,362
Kellwood Co. 19,200 483,072
Kimball International, Inc. Class B 16,239 199,740
* La Quinta Corp. 40,200 348,534
* Lakes Entertainment, Inc. 5,700 70,851
Landry's Restaurants, Inc. 13,900 416,583
La-Z-Boy, Inc. 9,300 124,155
Lear Corp. 1,600 60,320
Levitt Corp. Class A 1,900 54,720
Liberty Corp. 12,700 458,597
* Lin TV Corp. 8,100 117,855
* Linens 'n Things, Inc. 9,000 219,330
Lithia Motors, Inc. Class A 10,500 279,300
Lone Star Steakhouse & Saloon, Inc. 12,452 376,175
* Luby's, Inc. 10,400 85,696
M/I Homes, Inc. 2,900 146,392
Media General, Inc. Class A 14,400 879,840
Modine Manufacturing Co. 26,924 818,490
Monaco Coach Corp. 4,000 65,640
Movado Group, Inc. 12,000 202,320
National Presto Industries, Inc. 2,700 115,695
* O'Charleys, Inc. 4,100 76,137
Oxford Industries, Inc. 1,600 57,216
* Paxson Communications Corp. 18,600 13,950
* Payless ShoeSource, Inc. 47,400 797,742
Pep Boys - Manny, Moe & Jack 40,300 538,408
Phillips-Van Heusen Corp. 18,600 576,414
* Pinnacle Entertainment, Inc. 11,800 205,674
Pulitzer, Inc. 6,000 383,760
* Radio One, Inc. 15,500 195,610
* Rent-Way, Inc. 9,700 89,919
* Retail Ventures, Inc. 13,300 149,891
Russ Berrie & Co., Inc. 5,100 66,351
Russell Corp. 20,200 377,740
* Ryan's Restaurant Group, Inc. 29,100 406,236
Saks, Inc. 99,900 1,712,286
* Scholastic Corp. 7,400 277,648
Service Corp. International 236,400 1,791,912
* Shiloh Industries, Inc. 5,300 59,943
* ShopKo Stores, Inc. 23,400 554,814
* Six Flags, Inc. 70,700 311,787
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* Skechers U.S.A., Inc. Class A 1,300 16,471
Skyline Corp. 3,300 129,030
Snap-On, Inc. 5,800 200,158
Sonic Automotive, Inc. 21,100 449,852
* Spanish Broadcasting System, Inc. 2,500 21,625
* Stage Stores, Inc. 3,600 140,580
Standard Motor Products, Inc. 7,700 86,779
Stewart Enterprises, Inc. 75,400 446,368
* Stoneridge, Inc. 8,800 68,816
Stride Rite Corp. 26,300 312,707
# Superior Industries International, Inc. 5,300 120,045
* Systemax, Inc. 13,350 85,040
The Marcus Corp. 14,400 317,232
* The Sports Authority, Inc. 5,000 160,000
* # Tower Automotive, Inc. 27,500 2,915
* Trans World Entertainment Corp. 15,200 197,600
* Tweeter Home Entertainment Group, Inc. 9,400 33,276
* Unifi, Inc. 21,100 67,731
Unifirst Corp. 5,900 215,940
United Auto Group, Inc. 32,300 994,840
* Vail Resorts, Inc. 17,860 491,150
Visteon Corp. 94,100 717,983
* Warnaco Group, Inc. 8,900 189,926
* WCI Communities, Inc. 9,000 269,100
* West Marine, Inc. 2,100 34,839
----------------
Total Consumer Discretionary
(Cost $43,255,519) 42,503,203
----------------
Financials -- (17.5%)
1st Source Corp. 14,400 313,632
21st Century Insurance Group 12,400 172,732
Advanta Corp. Class A 6,287 144,161
Advanta Corp. Class B Non-Voting 13,327 328,777
Alfa Corp. 16,000 229,120
* Allmerica Financial Corp. 33,600 1,173,312
American Financial Group, Inc. 56,800 1,841,456
American National Insurance Co. 10,400 1,200,160
AmerUs Group Co. 31,200 1,484,808
* Argonaut Group, Inc. 20,723 433,940
Baldwin & Lyons, Inc. Class B 4,725 121,433
BankUnited Financial Corp. Class A 8,900 219,919
Banner Corp. 4,497 119,665
Bay View Capital Corp. 3,460 54,841
Brookline Bancorp, Inc. 9,670 146,984
Cash America International, Inc. 5,300 91,160
Chemical Financial Corp. 3,804 121,652
* CNA Surety Corp. 27,800 384,196
Commercial Federal Corp. 30,400 760,304
Community Bank System, Inc. 16,800 391,440
* CompuCredit Corp. 26,400 832,392
Delphi Financial Group, Inc. Class A 18,317 776,641
Downey Financial Corp. 14,300 1,072,786
FBL Financial Group, Inc. Class A 18,300 489,525
Financial Federal Corp. 500 18,650
First Citizens BancShares, Inc. 3,500 456,855
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First Commonwealth Financial Corp. 9,000 120,240
First Community Bancorp 600 26,508
First Merchants Corp. 3,100 77,097
First Niagara Financial Group, Inc. 23,400 304,668
* FirstFed Financial Corp. 1,700 92,106
Flagstar Bancorp, Inc. 12,300 243,048
Fremont General Corp. 10,400 223,704
Great American Financial Resources, Inc. 18,400 310,224
Harleysville Group, Inc. 22,500 456,975
Horace Mann Educators Corp. 29,300 533,260
Infinity Property & Casualty Corp. 4,100 131,200
* Instinet Group, Inc. 147,676 779,729
Irwin Financial Corp. 5,700 119,643
* Knight Capital Group, Inc. 64,431 486,454
* LaBranche & Co., Inc. 45,900 253,827
LandAmerica Financial Group, Inc. 14,900 837,380
MAF Bancorp, Inc. 22,840 972,070
MCG Capital Corp. 9,900 158,400
* Metris Companies, Inc. 40,500 525,690
Midland Co. 6,900 220,455
NetBank, Inc. 18,773 156,004
* Ocwen Financial Corp. 28,600 206,778
# Odyssey Re Holdings Corp. 45,200 1,089,772
Ohio Casualty Corp. 42,700 1,020,530
* Piper Jaffray Companies, Inc. 6,200 175,274
* PMA Capital Corp. Class A 16,434 122,105
Presidential Life Corp. 20,305 307,621
Protective Life Corp. 6,800 273,292
Provident Financial Services, Inc. 1,400 24,892
Reinsurance Group of America, Inc. 19,900 910,425
RLI Corp. 17,600 769,824
* SCPIE Holdings, Inc. 3,900 43,758
Selective Insurance Group, Inc. 19,400 933,722
South Financial Group, Inc. 14,300 389,675
StanCorp Financial Group, Inc. 21,800 1,631,730
State Auto Financial Corp. 6,505 175,635
* Sterling Financial Corp. 2,300 81,305
Stewart Information Services Corp. 13,400 525,950
Susquehanna Bancshares, Inc. 9,300 211,668
SWS Group, Inc. 1,100 17,435
The Phoenix Companies, Inc. 66,100 760,150
TierOne Corp. 900 21,713
* Triad Guaranty, Inc. 10,100 547,420
UICI 9,100 228,865
UMB Financial Corp. 15,953 888,582
Umpqua Holdings Corp. 8,500 198,135
United Community Financial Corp. 22,800 239,628
Washington Federal, Inc. 5,564 126,970
Webster Financial Corp. 5,300 248,570
Wesbanco, Inc. 1,200 35,484
Wesco Financial Corp. 2,775 994,227
Westcorp, Inc. 5,200 251,888
----------------
Total Financials
(Cost $30,657,812) 33,862,246
----------------
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Industrials -- (17.0%)
* AAR Corp. 22,300 357,692
* AGCO Corp. 18,100 332,316
* Alaska Air Group, Inc. 20,700 611,064
Alexander & Baldwin, Inc. 29,156 1,295,984
* Allegheny Corp. 3,113 872,418
* Allied Waste Industries, Inc. 39,800 306,858
* Amerco, Inc. 10,636 565,622
Applied Industrial Technologies, Inc. 23,550 716,862
* Armstrong Holdings, Inc. 20,200 62,014
* # ATA Holdings Corp. 4,600 4,140
Barnes Group, Inc. 1,800 55,224
Bowne & Co., Inc. 26,030 344,898
C&D Technologies, Inc. 17,800 130,296
Central Parking Corp. 24,700 417,430
* Century Business Services, Inc. 64,700 259,447
CIRCOR International, Inc. 5,950 147,263
* Columbus McKinnon Corp. 1,400 13,216
* Comfort Systems USA, Inc. 14,800 93,092
* COMSYS IT Partners, Inc. 44 744
* Consolidated Freightways Corp. 400 1
* Consolidated Graphics, Inc. 4,700 198,951
* Continental Airlines, Inc. 40,100 555,786
* Corrections Corporation of America 7,100 256,310
* Covenant Transport, Inc. Class A 4,900 68,012
Cubic Corp. 4,400 77,440
* Dollar Thrifty Automotive Group, Inc. 16,800 604,632
* Electro Rent Corp. 6,376 74,918
* EMCOR Group, Inc. 3,000 142,500
* EnPro Industries, Inc. 2,100 56,847
* Esterline Technologies Corp. 14,700 571,830
Federal Signal Corp. 8,700 135,981
* Flowserve Corp. 38,700 1,140,489
* Frontier Airlines, Inc. 3,600 43,956
* FTI Consulting, Inc. 8,100 178,119
G & K Services, Inc. Class A 3,900 153,504
GATX Corp. 38,600 1,288,082
* Genesee & Wyoming, Inc. 4,800 134,112
Granite Construction, Inc. 5,400 126,630
* Griffon Corp. 600 11,958
Heico Corp. 2,900 61,190
* Hexcel Corp. 100 1,634
Hughes Supply, Inc. 43,000 1,118,000
IKON Office Solutions, Inc. 112,100 1,086,249
* Insituform Technologies, Inc. Class A 200 2,968
* Integrated Electrical Services, Inc. 17,900 27,208
Interpool, Inc. 10,750 233,490
Kaman Corp. Class A 9,000 139,230
* Kansas City Southern 47,700 953,523
Kelly Services, Inc. Class A 25,200 700,812
Kennametal, Inc. 7,500 330,000
* Laidlaw International, Inc. 20,000 444,800
* Magnetek, Inc. 8,700 19,227
* Milacron, Inc. 19,167 41,784
* Mobile Mini, Inc. 3,147 116,187
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Mueller Industries, Inc. 21,000 567,000
NACCO Industries, Inc. Class A 4,100 420,250
* NCI Building Systems, Inc. 11,300 390,302
* NCO Group, Inc. 22,195 440,793
* # Northwest Airlines Corp. 33,500 204,015
* Orbital Sciences Corp. 2,900 28,159
* PHH Corp. 3,500 83,965
* Pico Holdings, Inc. 4,200 108,738
* PRG-Schultz International, Inc. 27,514 106,204
* Quanta Services, Inc. 88,200 796,446
* RailAmerica, Inc. 25,400 296,418
Regal-Beloit Corp. 17,100 439,470
Ryder System, Inc. 12,900 473,946
* SCS Transportation, Inc. 5,750 104,938
* Sequa Corp. Class A 2,800 162,400
* Sequa Corp. Class B 1,300 77,038
* Shaw Group, Inc. 46,700 941,005
Skywest, Inc. 11,500 209,760
Smith (A.O.) Corp. 16,750 525,280
* SOURCECORP, Inc. 10,200 218,382
* Spherion Corp. 45,800 250,526
Standard Register Co. 12,700 180,340
Starrett (L.S.) Co. Class A 2,000 34,140
Steelcase, Inc. Class A 35,500 457,950
Stewart & Stevenson Services, Inc. 1,600 38,224
* Swift Transportation Co., Inc. 14,400 353,520
Tecumseh Products Co. Class A 8,800 240,592
Tecumseh Products Co. Class B 2,200 60,335
Teleflex, Inc. 1,600 89,520
* Tetra Tech, Inc. 4,700 56,635
Thomas Industries, Inc. 1,100 43,857
Timken Co. 62,600 1,471,100
Titan International, Inc. 8,000 118,160
Tredegar Industries, Inc. 29,300 446,825
Trinity Industries, Inc. 35,600 1,034,536
* Triumph Group, Inc. 11,100 393,828
* United Rentals, Inc. 58,000 1,164,640
* URS Corp. 30,100 1,018,283
Valmont Industries, Inc. 1,500 35,925
Viad Corp. 1,400 38,920
* Volt Information Sciences, Inc. 6,000 117,900
* Washington Group International, Inc. 2,600 124,826
Werner Enterprises, Inc. 15,800 297,198
* Wolverine Tube, Inc. 4,800 34,608
* # Yellow Roadway Corp. 11,917 628,979
York International Corp. 1,000 41,200
----------------
Total Industrials
(Cost $31,972,783) 33,050,016
----------------
Information Technology -- (15.6%)
* 3Com Corp. 256,761 939,745
* Actel Corp. 3,500 51,765
* Adaptec, Inc. 84,499 336,306
* Advanced Digital Information Corp. 47,839 328,654
* Aeroflex, Inc. 14,900 119,200
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* Agile Software Corp. 35,342 227,956
Agilysys, Inc. 23,393 359,784
* Alliance Semiconductor Corp. 13,700 23,016
* Amkor Technology, Inc. 8,400 29,820
* Anadigics, Inc. 6,800 11,152
* Andrew Corp. 32,200 426,972
* Anixter International, Inc. 7,500 283,575
* Applied Micro Circuits Corp. 227,653 653,364
* Ariba, Inc. 6,781 41,568
* Arris Group, Inc. 121 1,048
* Arrow Electronics, Inc. 11,677 326,372
* Atmel Corp. 76,320 228,960
* Avnet, Inc. 91,400 1,912,088
* Avocent Corp. 500 14,000
AVX Corp. 136,100 1,616,868
* Axcelis Technologies, Inc. 20,400 135,660
* BearingPoint, Inc. 54,344 355,953
Belden CDT, Inc. 8,900 179,068
* Benchmark Electronics, Inc. 8,300 262,861
Black Box Corp. 11,400 391,932
* Borland Software Corp. 11,700 74,880
* Checkpoint Systems, Inc. 7,400 130,388
* Ciber, Inc. 46,900 382,235
* Ciena Corp. 87,100 189,878
* Coherent, Inc. 22,036 723,442
* Compuware Corp. 170,436 1,167,487
* Conexant Systems, Inc. 34,691 49,608
* Convergys Corp. 28,300 385,729
* Credence Systems Corp. 53,185 421,225
CTS Corp. 25,300 269,445
* DoubleClick, Inc. 70,020 576,265
* E.piphany, Inc. 47,432 165,538
* Edgewater Technology, Inc. 4,472 19,453
* Electro Scientific Industries, Inc. 5,100 91,494
* Electroglas, Inc. 7,500 25,875
* Electronics for Imaging, Inc. 10,900 207,100
* Exar Corp. 28,202 406,109
* Fairchild Semiconductor Corp. Class A 23,900 341,770
* FSI International, Inc. 2,100 7,896
* Genesis Microchip, Inc. 7,000 115,850
* Gerber Scientific, Inc. 8,700 64,206
* Glenayre Technologies, Inc. 25,600 81,920
* Hypercom Corp. 18,900 120,015
Imation Corp. 5,600 211,456
* InFocus Corp. 27,400 113,984
* Ingram Micro, Inc. 15,900 251,379
* Integrated Device Technology, Inc. 21,000 256,830
* Interland, Inc. 180 342
Intersil Corp. 6,700 125,692
* Interwoven, Inc. 1,300 10,348
* Iomega Corp. 24,500 75,705
* JDA Software Group, Inc. 18,852 243,568
* Keane, Inc. 12,500 167,750
* Kemet Corp. 68,700 480,900
* Lattice Semiconductor Corp. 69,400 292,868
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* LSI Logic Corp. 215,500 1,586,080
Maximus, Inc. 2,100 72,009
* Maxtor Corp. 25,000 137,250
* McDATA Corp. 8,900 33,909
* MedQuist, Inc. 28,200 366,882
* MKS Instruments, Inc. 32,446 541,848
* MPS Group, Inc. 78,800 739,144
* MSC.Software Corp. 5,000 51,425
* Neoforma, Inc. 4,600 31,510
* NetIQ Corp. 43,858 484,192
* Newport Corp. 28,288 397,446
* Novell, Inc. 10,300 60,255
* Oplink Communications, Inc. 62,000 92,380
Park Electrochemical Corp. 12,550 291,160
* Paxar Corp. 6,400 112,768
* Pegasus Solutions, Inc. 200 2,152
* Photronics, Inc. 21,574 496,849
* Plexus Corp. 26,809 368,624
* Polycom, Inc. 18,900 323,379
* Powerwave Technologies, Inc. 42,100 384,373
* Quantum Corp. 36,400 94,640
* REMEC, Inc. 3,255 20,349
* Riverstone Networks, Inc. 13,200 9,273
* Rofin-Sinar Technologies, Inc. 900 29,070
* Safeguard Scientifics, Inc. 66,500 65,835
* SafeNet, Inc. 15,600 490,152
* Sanmina-SCI Corp. 2,086 10,701
* ScanSoft, Inc. 66,372 269,470
* # Silicon Graphics, Inc. 79,700 64,557
* Silicon Storage Technology, Inc. 900 3,096
* Skyworks Solutions, Inc. 18,400 116,472
* SonicWALL, Inc. 49,400 305,292
* SR Telecom, Inc. 21 7
* Sycamore Networks, Inc. 207,882 702,641
* Tech Data Corp. 40,700 1,461,130
Technitrol, Inc. 5,800 76,154
* Transmeta Corp. 100 81
* Triquint Semiconductor, Inc. 70,451 238,829
* Unisys Corp. 62,500 452,500
* Verity, Inc. 1,900 16,207
* Vignette Corp. 63,300 73,428
* Vishay Intertechnology, Inc. 106,000 1,367,400
* Vitesse Semiconductor, Inc. 14,700 36,750
* Zoran Corp. 28,100 346,754
----------------
Total Information Technology
(Cost $34,563,326) 30,330,740
----------------
Energy -- (9.0%)
* Comstock Resources, Inc. 2,400 54,768
* Forest Oil Corp. 42,400 1,685,824
* Gulfmark Offshore, Inc. 4,200 105,252
* Hanover Compressor Co. 62,800 655,004
Helmerich & Payne, Inc. 31,600 1,310,452
* Houston Exploration Co. 17,100 871,587
* Input/Output, Inc. 14,800 87,764
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* Key Energy Group, Inc. 13,100 143,969
* Magnum Hunter Resources, Inc. 60,200 930,692
* Meridian Resource Corp. 7,900 35,787
* Newpark Resources, Inc. 57,600 351,360
* Offshore Logistics, Inc. 15,800 494,856
* Oil States International, Inc. 3,400 78,744
Overseas Shipholding Group, Inc. 30,000 1,833,000
* Pride International, Inc. 10,100 227,755
Resource America, Inc. 4,948 168,133
* SEACOR Holdings, Inc. 13,550 786,713
* Spinnaker Exploration Co. 24,300 745,281
* Stone Energy Corp. 4,300 185,029
* Swift Energy Corp. 19,800 676,170
* Tel Offshore Trust 875 6,361
Tesoro Petroleum Corp. 45,900 2,001,240
Tidewater, Inc. 40,600 1,404,760
* TransMontaigne, Inc. 6,500 53,820
* Universal Compression Holdings, Inc. 23,860 816,012
USEC, Inc. 63,300 864,045
* Veritas DGC, Inc. 23,300 629,100
* Whiting Petroleum Corp. 4,600 159,068
----------------
Total Energy
(Cost $11,446,610) 17,362,546
----------------
Materials -- (8.6%)
Airgas, Inc. 15,100 362,400
* AK Steel Holding Corp. 1,538 11,766
Arch Chemicals, Inc. 14,550 342,944
Bowater, Inc. 38,100 1,196,340
* Buckeye Technologies, Inc. 27,200 224,944
Cabot Corp. 12,600 365,400
Calgon Carbon Corp. 15,100 134,541
Cambrex Corp. 13,500 244,350
* Caraustar Industries, Inc. 21,800 228,900
Carpenter Technology Corp. 16,600 896,400
* Castle (A.M.) & Co. 6,200 86,738
* Century Aluminum Co. 7,262 162,741
Chesapeake Corp. 13,700 285,919
Commercial Metals Co. 1,746 45,675
Fuller (H.B.) Co. 5,300 171,720
Gibraltar Industries, Inc. 9,450 184,842
Glatfelter (P.H.) Co. 35,400 396,480
* Graphic Packaging Corp. 21,500 80,625
Great Lakes Chemical Corp. 5,100 172,890
Longview Fibre Co. 36,700 732,899
Louisiana-Pacific Corp. 12,900 324,822
Lubrizol Corp. 36,100 1,421,257
* Maxxam, Inc. 2,600 60,450
* Metals USA, Inc. 1,800 38,106
Minerals Technologies, Inc. 13,600 915,280
Myers Industries, Inc. 12,310 137,257
* NewMarket Corp. 5,560 75,560
* OM Group, Inc. 5,700 143,640
* Oregon Steel Mills, Inc. 4,800 84,768
* PolyOne Corp. 28,200 189,504
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Pope & Talbot, Inc. 1,900 20,957
Potlatch Corp. 3,000 155,070
Quanex Corp. 5,450 282,801
Reliance Steel & Aluminum Co. 25,600 985,344
Rock-Tenn Co. Class A 24,500 281,995
* RTI International Metals, Inc. 14,900 408,111
Ryerson Tull, Inc. 17,418 265,102
Schnitzer Steel Industries, Inc. Class A 10,000 231,200
Schulman (A.), Inc. 22,055 360,820
Schweitzer-Maudoit International, Inc. 10,500 314,685
Sensient Technologies Corp. 9,400 191,290
Spartech Corp. 5,500 111,265
Steel Dynamics, Inc. 9,000 242,010
Stepan Co. 3,500 74,235
* Stillwater Mining Co. 46,800 315,900
* Terra Industries, Inc. 22,700 144,145
Texas Industries, Inc. 16,900 777,738
* Universal Stainless & Alloy Products, Inc. 2,500 31,375
Valhi, Inc. 60,100 1,114,254
Wausau-Mosinee Paper Corp. 36,800 460,000
Wellman, Inc. 12,500 140,500
Worthington Industries, Inc. 2,000 33,520
----------------
Total Materials
(Cost $16,769,849) 16,661,475
----------------
Consumer Staples -- (3.8%)
Alliance One International, Inc. 17,500 112,175
# American Italian Pasta Co. 3,600 82,836
Casey's General Stores, Inc. 34,935 630,227
* Central Garden & Pet Co. 8,035 356,352
Chiquita Brands International, Inc. 8,200 238,456
Corn Products International, Inc. 50,480 1,115,103
* Del Monte Foods Co. 42,200 440,568
* Great Atlantic & Pacific Tea Co., Inc. 13,550 337,802
* Hain Celestial Group, Inc. 24,600 442,800
Ingles Market, Inc. Class A 4,000 50,560
Longs Drug Stores Corp. 29,700 1,218,888
* M&F Worldwide Corp. 7,100 90,809
* Pathmark Stores, Inc. 11,800 105,610
* Performance Food Group Co. 9,400 254,364
Ruddick Corp. 5,700 136,971
Seaboard Corp. 540 726,300
Universal Corp. 5,100 226,440
Weis Markets, Inc. 18,700 687,038
* # Winn-Dixie Stores, Inc. 35,300 37,065
----------------
Total Consumer Staples
(Cost $5,967,322) 7,290,364
----------------
Health Care -- (2.3%)
Alpharma, Inc. Class A 25,100 323,037
Analogic Corp. 10,965 465,903
* Arena Pharmaceuticals, Inc. 4,800 32,880
* Conmed Corp. 18,075 566,471
* Corixa Corp. 5,895 25,054
* Cross Country Healthcare, Inc. 24,361 412,919
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* CuraGen Corp. 5,766 24,678
* First Horizon Pharmaceutical Corp. 500 9,400
* Genesis HealthCare Corp. 3,100 134,819
* Hanger Orthopedic Group, Inc. 6,900 35,190
* Kindred Healthcare, Inc. 25,500 983,790
* Maxygen, Inc. 3,900 30,537
NDCHealth Corp. 2,200 36,872
* # OCA, Inc. 31,100 127,510
* Parexel International Corp. 2,600 47,450
PerkinElmer, Inc. 19,200 367,296
* Per-Se Technologies, Inc. 3,700 70,189
* Sequenom, Inc. 13,100 12,445
* Sunrise Senior Living, Inc. 12,700 662,305
* Viasys Healthcare, Inc. 3,100 72,075
* Wilson Greatbatch Technologies, Inc. 1,800 43,272
----------------
Total Health Care
(Cost $3,875,992) 4,484,092
----------------
Utilities -- (1.1%)
* CMS Energy Corp. 72,075 953,552
* Dynegy, Inc. 129,400 601,710
New Jersey Resources Corp. 2,700 121,770
South Jersey Industries, Inc. 7,700 436,590
----------------
Total Utilities
(Cost $1,649,495) 2,113,622
----------------
Telecommunication Services -- (0.8%)
* Cincinnati Bell, Inc. 85,400 337,330
* General Communications, Inc. Class A 6,830 56,279
* IDT Corp. 18,800 253,612
* IDT Corp. Class B 35,500 486,350
* Price Communications Corp. 11,200 192,528
SureWest Communications 200 4,760
* Teleglobe International Holdings, Ltd. 3,000 7,140
* Time Warner Telecom, Inc. 29,130 148,563
----------------
Total Telecommunication Services
(Cost $2,150,842) 1,486,562
----------------
Other -- (0.0%)
* # Trenwick Group, Ltd. 38,857 194
(Cost $556,170) ----------------
TOTAL COMMON STOCKS
(Cost $182,865,720) 189,145,060
----------------
RIGHTS/WARRANTS -- (0.1%)
Other -- (0.1%)
* Chiquita Brands International, Inc. Warrants 03/19/09 24,308 265,201
* Imperial Credit Industries, Inc. Warrants 01/31/08 511 0
* Timco Aviation Services, Inc. Warrants 02/27/07 2,178 0
* Trico Marine Services, Inc. Warrants 03/15/08 Series B 192 305
* Trico Marine Services, Inc. Warrants 03/15/10 Series A 192 768
----------------
Total Other
(Cost $1,269,873) 266,274
----------------
TOTAL RIGHTS/WARRANTS
(Cost $1,269,873) 266,274
----------------
11
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FACE
AMOUNT VALUE+
---------------- ----------------
(000)
BONDS -- (0.0%)
Other -- (0.0%)
* Timco Aviation Services, Inc. Jr. Subordinated Note
8.000%, 01/02/07 $ 1 0
----------------
(Cost $0)
TEMPORARY CASH INVESTMENTS -- (2.3%)
^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.94%, 06/01/05
(Collateralized by $1,805,000 U.S. TIPS 3.375%, 01/15/07, valued at
$2,319,115) to be repurchased at $2,271,684 (Cost $2,271,498) 2,271 2,271,498
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $2,203,000 FHLMC Notes 4.00%, 09/22/09, valued at
$2,205,754) to be repurchased at $2,173,174 (Cost $2,173,000) 2,173 2,173,000
----------------
4,444,498
----------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $4,444,498) 4,444,498
----------------
TOTAL INVESTMENTS - (100.0%)
(Cost $188,580,091) $ 193,855,832
================
----------
+ 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.
12
THE U.S. SMALL CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
[Enlarge/Download Table]
SHARES VALUE+
---------------- ----------------
COMMON STOCKS -- (95.1%)
Consumer Discretionary -- (23.0%)
* 4Kids Entertainment, Inc. 112,600 $ 2,139,400
* Acme Communications, Inc. 477,511 1,890,944
* ACT Teleconferencing, Inc. 97,261 57,384
Action Performance Companies, Inc. 479,800 4,466,938
* Advanced Marketing Services, Inc. 218,100 888,757
* Aftermarket Technology Corp. 58,523 897,743
* Alderwoods Group, Inc. 107,600 1,490,260
* All American Semiconductor, Inc. 29,260 140,155
* Alloy, Inc. 869,729 4,470,407
* Amcast Industrial Corp. 149,400 2,913
American Axle & Manufacturing Holdings, Inc. 625,500 12,947,850
* American Biltrite, Inc. 45,600 428,640
American Greetings Corp. Class A 1,194,800 31,040,904
* AMS Health Sciences, Inc. 11,400 20,406
Andersons, Inc. 96,900 3,178,320
* Applica, Inc. 813,100 2,325,466
* Arlington Hospitality, Inc. 70,000 87,500
ArvinMeritor, Inc. 1,700 24,480
* Ashworth, Inc. 443,189 4,254,614
* Audiovox Corp. Class A 677,417 9,910,611
* # Avatar Holdings, Inc. 75,500 3,616,450
* Aztar Corp. 578,000 18,461,320
* Ballantyne of Omaha, Inc. 32,200 140,070
* # Bally Total Fitness Holding Corp. 1,006,100 3,058,544
Bandag, Inc. 138,319 6,401,403
Bandag, Inc. Class A 112,600 4,701,050
* Barry (R.G.) Corp. 153,064 688,788
Bassett Furniture Industries, Inc. 389,375 7,604,494
* Big Lots, Inc. 1,150,800 14,569,128
Blair Corp. 270,790 10,574,349
# Blockbuster, Inc. Class A 239,800 2,189,374
* Bluegreen Corp. 927,398 15,635,930
Bob Evans Farms, Inc. 646,328 15,124,075
* Bombay Co., Inc. 1,220,940 6,507,610
Bon-Ton Stores, Inc. 450,660 8,143,426
Books-A-Million, Inc. 318,800 2,684,296
Bowl America, Inc. Class A 35,822 479,836
* Boyds Collection, Ltd. 652,700 1,429,413
* # Brillian Corp. 126,175 393,666
Brown Shoe Company, Inc. 369,000 12,951,900
* Buca, Inc. 618,860 3,156,186
Building Materials Holding Corp. 78,715 4,882,691
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* Bull Run Corp. 6,860 4,939
Burlington Coat Factory Warehouse Corp. 1,487,301 49,304,028
* CabelTel International Corp. 1,070 5,403
* California Coastal Communities, Inc. 71,400 2,112,726
Callaway Golf Co. 904,100 10,568,929
* Capital Pacific Holdings, Inc. 201,300 829,356
* Carriage Services, Inc. 515,900 3,033,492
* Casual Male Retail Group, Inc. 233,565 1,646,633
* Catalina Lighting, Inc. 22,040 181,830
* Cavalier Homes, Inc. 367,281 1,340,576
* Championship Auto Racing Teams, Inc. 70,000 11,550
* Champps Entertainment, Inc. 370,096 2,979,273
* Charlotte Russe Holding, Inc. 122,206 1,460,362
* Charming Shoppes, Inc. 3,535,465 31,925,249
* # Charter Communications, Inc. 116,600 132,924
* Chromcraft Revington, Inc. 5,900 70,800
Coachmen Industries, Inc. 534,700 6,550,075
Coast Distribution System, Inc. 97,600 443,104
* Coastcast Corp. 101,900 236,917
* Cobra Electronics Corp. 84,100 597,110
* # Collins & Aikman Corp. 1,907,794 216,535
* Concord Camera Corp. 794,700 1,033,110
* Congoleum Corp. Class A 97,400 409,080
* Cooker Restaurant Corp. 109,768 560
Cooper Tire & Rubber Co. 1,295,300 24,662,512
* Cost-U-Less, Inc. 31,041 259,503
* Crown Media Holdings, Inc. 137,065 1,287,040
CSS Industries, Inc. 252,150 7,766,220
* Culp, Inc. 366,418 1,593,918
* Cumulus Media, Inc. Class A 1,050,207 13,117,085
Cutter & Buck, Inc. 305,437 4,010,388
* # Cybex International, Inc. 114,200 349,452
* Dan River, Inc. Class A 500 0
* Dave & Busters, Inc. 182,140 3,271,234
Decorator Industries, Inc. 22,132 181,261
Delta Apparel, Inc. 104,000 3,054,480
* Delta Woodside Industries, Inc. 130,000 84,500
* Department 56, Inc. 168,900 1,884,924
* Diedrich Coffee, Inc. 13 54
* Dixie Group, Inc. 366,399 5,430,033
* Dominion Homes, Inc. 213,866 3,321,339
Dover Motorsports, Inc. 397,100 2,287,296
* drugstore.com, Inc. 211,194 726,507
* Duckwall-ALCO Stores, Inc. 103,200 2,038,200
* Dura Automotive Systems, Inc. 625,874 2,672,482
* E Com Ventures, Inc. 548 7,809
* ELXSI Corp. 27,900 92,070
* EMAK Worldwide, Inc. 1,100 12,100
* Emerson Radio Corp. 3,712 9,577
* # Emmis Communications Corp. Class A 206,272 3,663,391
* Enesco Group, Inc. 463,300 1,783,705
* Entravision Communications Corp. 2,028,098 15,068,768
* Fab Industries, Inc. 82,381 247,143
* Fairchild Corp. Class A 697,129 1,603,397
* Featherlite, Inc. 39,750 164,962
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Fedders Corp. 47,766 106,041
Federal Screw Works 3,125 68,125
* # Federal-Mogul Corp. 823,500 494,100
* Finlay Enterprises, Inc. 220,200 2,858,196
* # Fleetwood Enterprises, Inc. 44,300 423,951
Flexsteel Industries, Inc. 90,400 1,266,504
* # Footstar, Inc. 509,400 2,152,215
* Franklin Covey Co. 341,800 2,119,160
* Franklin Electronic Publishers, Inc. 112,300 421,125
* # Friedmans, Inc. Class A 592,200 580,356
Furniture Brands International, Inc. 1,122,036 22,564,144
* # Gadzooks, Inc. 238,170 10,479
* Gaiam, Inc. 19,084 113,746
GameTech International, Inc. 79,900 222,122
* Gaylord Entertainment Co. 1,261,985 53,041,230
* G-III Apparel Group, Ltd. 98,600 709,920
Goody's Family Clothing, Inc. 591,800 4,201,780
* Gottschalks, Inc. 223,900 2,406,925
Gray Television, Inc. 1,457,650 17,127,387
Gray Television, Inc. Class A 40,650 449,589
* Group 1 Automotive, Inc. 775,500 20,713,605
Haggar Corp. 102,925 1,899,995
* Ha-Lo Industries, Inc. 223,600 157
* Hampshire Group, Ltd. 19,100 759,416
Hancock Fabrics, Inc. 446,400 2,629,296
Handleman Co. 669,676 12,154,619
* Harolds Stores, Inc. 2,000 2,900
* Harris Interactive, Inc. 124,343 613,011
* Hartmarx Corp. 753,900 7,146,972
* Hastings Entertainment, Inc. 353,500 2,110,395
* Hastings Manufacturing Co. 1,700 2,975
Haverty Furniture Co., Inc. 204,300 2,886,759
* Hayes Lemmerz International, Inc. 75,290 489,385
* Hollywood Media Corp. 283,300 1,314,512
* Huffy Corp. 3,725 317
* Image Entertainment, Inc. 17,600 70,576
* IMPCO Technologies, Inc. 239,200 794,144
* Infosonics Corp. 55,100 164,749
* Insight Communications Co., Inc. 1,408,916 15,920,751
* Insight Enterprises, Inc. 535,133 10,477,904
* Interface, Inc. Class A 1,248,707 9,552,609
Intermet Corp. 478 53
* Interstate Hotels & Resorts, Inc. 194,340 893,964
* J. Alexander's Corp. 107,200 796,496
* J. Jill Group, Inc. 57,240 729,810
* Jaclyn, Inc. 26,900 165,435
* Jakks Pacific, Inc. 894,346 18,486,132
* Jo-Ann Stores, Inc. 401,100 10,729,425
* Johnson Outdoors, Inc. 121,800 2,132,718
* K2, Inc. 1,616,510 20,351,861
Kellwood Co. 944,017 23,751,468
Kimball International, Inc. Class B 713,285 8,773,405
* # KIT Manufacturing Co. 1,400 1
Knape & Vogt Manufacturing Co. 37,434 421,132
* LaCrosse Footwear, Inc. 29,400 291,060
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* Lakes Entertainment, Inc. 204,994 2,548,075
Landry's Restaurants, Inc. 924,835 27,717,305
* Lazare Kaplan International, Inc. 126,800 1,093,016
La-Z-Boy, Inc. 1,106,697 14,774,405
* Learning Care Group, Inc. 43,500 160,950
Libbey, Inc. 2,800 53,340
Liberty Corp. 493,150 17,807,646
* Lin TV Corp. 551,600 8,025,780
* Linens 'n Things, Inc. 1,050,175 25,592,765
Lithia Motors, Inc. Class A 521,975 13,884,535
* Lodgenet Entertainment Corp. 26,000 440,960
* Lodgian, Inc. 3,444 32,718
Lone Star Steakhouse & Saloon, Inc. 680,376 20,554,159
* LOUD Technologies, Inc. 1,000 3,500
* Luby's, Inc. 744,900 6,137,976
M/I Homes, Inc. 274,400 13,851,712
* Madden (Steven), Ltd. 147,263 2,615,391
* Magic Lantern Group, Inc. 28,600 2,059
* Magna Entertainment Corp. 158,300 842,156
* Main Street Restaurant Group, Inc. 287,364 994,279
* Marisa Christina, Inc. 93,900 85,449
* Marlton Technologies, Inc. 96,500 78,165
* Mayor's Jewelers, Inc. 291,200 165,984
McRae Industries, Inc. Class A 32,700 383,244
* Meade Instruments Corp. 620,433 1,712,395
Media General, Inc. Class A 49,100 3,000,010
* Merisel, Inc. 3,600 25,920
* Mestek, Inc. 13,500 347,355
* Michael Anthony Jewelers, Inc. 21 61,530
Modine Manufacturing Co. 592,427 18,009,781
Monaco Coach Corp. 524,500 8,607,045
* Mothers Work, Inc. 77,906 1,061,859
* # Motorcar Parts of America, Inc. 63,350 666,759
Movado Group, Inc. 544,900 9,187,014
* Nathan's Famous, Inc. 106,400 881,950
National Presto Industries, Inc. 135,950 5,825,457
* National RV Holdings, Inc. 267,650 2,374,055
* Nature Vision, Inc. 2,100 9,723
* Navigant International, Inc. 514,301 6,511,051
* Nitches, Inc. 4,047 18,171
* Nobel Learning Communities, Inc. 83,500 730,625
* O'Charleys, Inc. 215,116 3,994,704
* Odd Job Stores, Inc. 175,300 26,295
Ohio Art Co. 3,500 25,375
* One Price Clothing Stores, Inc. 37,085 28
* # Oneida, Ltd. 179,800 422,530
* Opinion Research Corp. 20,000 140,800
* Palm Harbor Homes, Inc. 142,311 2,665,485
* Paxson Communications Corp. 462,700 347,025
* Payless Cashways, Inc. 684 1
* Payless ShoeSource, Inc. 1,874,500 31,547,835
* PC Mall, Inc. 10,431 51,624
Pep Boys - Manny, Moe & Jack 1,917,700 25,620,472
* Perry Ellis International, Inc. 286,928 5,738,560
Phillips-Van Heusen Corp. 814,800 25,250,652
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* Pinnacle Entertainment, Inc. 569,700 9,929,871
* Pomeroy IT Solutions, Inc. 402,743 5,070,534
Pulitzer, Inc. 198,300 12,683,268
* QEP Co., Inc. 20,600 213,828
# Quaker Fabric Corp. 554,815 1,930,756
* Quantum Fuel Systems Technologies Worldwide, Inc. 11,850 50,362
* R&B, Inc. 243,462 3,274,564
* Radio One, Inc. 150,512 1,899,461
Raytech Corp. 26,800 41,540
* Reading International, Inc. Class A 213,799 1,423,901
* Reading International, Inc. Class B 14,660 95,290
* Regent Communications, Inc. 1,398,651 8,391,906
* Rent-Way, Inc. 751,700 6,968,259
* Reptron Electronics, Inc. 2,856 3,998
* Retail Ventures, Inc. 1,086,073 12,240,043
* Rex Stores Corp. 350,850 4,911,900
* Rexhall Industries, Inc. 33,598 6,216
* Riviera Holdings Corp. 16,500 334,125
* # Rockford Corp. 173,400 452,574
* Rocky Shoes & Boots, Inc. 31,787 940,577
* Rubio's Restaurants, Inc. 111,814 1,023,098
Russ Berrie & Co., Inc. 201,700 2,624,117
Russell Corp. 1,071,600 20,038,920
* Ryan's Restaurant Group, Inc. 676,815 9,448,337
* S&K Famous Brands, Inc. 78,600 1,257,600
* Safety Components International, Inc. 1,155 16,112
* # Salton, Inc. 371,100 385,944
* Sands Regent Casino Hotel 15,492 146,554
Saucony, Inc. Class B 35,454 694,898
* Schieb (Earl), Inc. 75,600 255,150
* Scholastic Corp. 114,299 4,288,498
Service Corp. International 3,615,208 27,403,277
* Sharper Image Corp. 208,368 2,769,211
* Shiloh Industries, Inc. 231,636 2,619,803
* Shoe Carnival, Inc. 446,414 8,182,769
* # Shoe Pavilion, Inc. 9,500 45,030
* ShopKo Stores, Inc. 851,000 20,177,210
* Six Flags, Inc. 3,136,600 13,832,406
* Skechers U.S.A., Inc. Class A 71,332 903,776
Skyline Corp. 118,700 4,641,170
* Smith & Wollensky Restaurant Group, Inc. 160,400 1,008,916
Sonic Automotive, Inc. 980,893 20,912,639
* Southern Energy Homes, Inc. 180,800 1,057,680
* Spanish Broadcasting System, Inc. 12,300 106,395
* SPAR Group, Inc. 4,700 10,058
* Sport Chalet, Inc. 45,900 670,140
* Sport Supply Group, Inc. 105,400 330,956
* Sport-Haley, Inc. 60,800 213,408
* Stage Stores, Inc. 281,266 10,983,437
Standard Motor Products, Inc. 615,650 6,938,375
Star Buffet, Inc. 7,200 50,328
* Steinway Musical Instruments, Inc. 249,800 7,074,336
Stewart Enterprises, Inc. 3,387,678 20,055,054
* Stoneridge, Inc. 667,200 5,217,504
Stride Rite Corp. 1,181,600 14,049,224
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# Superior Industries International, Inc. 634,300 14,366,895
Superior Uniform Group, Inc. 136,600 1,891,910
Syms Corp. 343,900 4,498,212
* Systemax, Inc. 517,100 3,293,927
* Tag-It Pacific, Inc. 54,100 126,594
Tandy Brand Accessories, Inc. 63,700 837,018
* Tarrant Apparel Group 287,100 780,912
The Marcus Corp. 680,600 14,993,618
* The Rowe Companies 9,400 36,284
* The Sports Authority, Inc. 504,500 16,144,000
* The Sports Club Co., Inc. 115,700 190,905
* # Tower Automotive, Inc. 1,597,350 169,319
Traffix, Inc. 259,000 1,243,200
* Trans World Entertainment Corp. 1,067,874 13,882,362
* # Transpro, Inc. 191,600 1,300,964
* # Tweeter Home Entertainment Group, Inc. 804,706 2,848,659
* Unapix Entertainment, Inc. 5,800 23
* Unifi, Inc. 1,666,066 5,348,072
Unifirst Corp. 276,600 10,123,560
United Auto Group, Inc. 1,532,900 47,213,320
* United Retail Group, Inc. 304,501 2,113,237
* Vail Resorts, Inc. 978,523 26,909,382
* Virco Manufacturing Corp. 60,786 437,659
# Visteon Corp. 3,494,865 26,665,820
* Warnaco Group, Inc. 226,826 4,840,467
* WCI Communities, Inc. 813,900 24,335,610
Wellco Enterprises, Inc. 100 1,313
* Wells-Gardner Electronics Corp. 64,303 218,630
* West Marine, Inc. 117,528 1,949,790
* Westcoast Hospitality Corp. 290,000 1,998,100
* Whitehall Jewelers, Inc. 374,500 2,715,125
* Wickes, Inc. 49,400 148
* Wilsons The Leather Experts, Inc. 477,301 2,801,757
* Worldwide Restaurant Concepts, Inc. 794,905 5,095,341
* Zapata Corp. 252,880 1,636,134
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Total Consumer Discretionary
(Cost $1,391,142,561) 1,562,379,929
----------------
Industrials -- (19.7%)
* AAR Corp. 1,096,630 17,589,945
* Ablest, Inc. 16,800 116,256
Abrams Industries, Inc. 10,000 52,700
* ABX Air, Inc. 534,400 4,018,688
* Active Power, Inc. 991,749 2,657,887
* AirNet Systems, Inc. 312,700 1,560,373
Alamo Group, Inc. 158,700 3,237,480
* Alaska Air Group, Inc. 1,004,900 29,664,648
Alexander & Baldwin, Inc. 659,654 29,321,620
* Allied Defense Group, Inc. 148,100 3,530,704
* Allied Holdings, Inc. 111,535 122,689
Ambassadors International, Inc. 159,500 2,044,790
* Amerco, Inc. 113,000 6,009,340
* # America West Holdings Corp. Class B 674,200 3,775,520
Ameron International Corp. 280,205 9,246,765
Ampco-Pittsburgh Corp. 200,200 2,308,306
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Amrep Corp. 96,692 2,099,183
Angelica Corp. 206,900 5,476,643
Applied Industrial Technologies, Inc. 997,000 30,348,680
Arkansas Best Corp. 6,600 216,018
* # Armstrong Holdings, Inc. 387,200 1,188,704
* Astronics Corp. 27,443 220,916
* # AstroPower, Inc. 22,344 22
* # ATA Holdings Corp. 184,300 165,870
* Ault, Inc. 93,400 232,566
* Avalon Holding Corp. Class A 25,112 122,798
* AZZ, Inc. 81,100 1,298,411
* Baldwin Technology Co., Inc. Class A 219,700 659,100
Barnes Group, Inc. 48,000 1,472,640
* Barrett Business Services, Inc. 69,789 1,009,149
Bowne & Co., Inc. 1,182,413 15,666,972
* BTU International, Inc. 91,200 345,648
* Butler International, Inc. 81,200 267,960
C&D Technologies, Inc. 375,000 2,745,000
* Cannon Express, Inc. 900 0
* Capstone Turbine Corp. 62,150 62,150
* Catalytica Energy Systems, Inc. 237,200 467,284
CDI Corp. 205,988 4,395,784
* Celadon Group, Inc. 25,710 465,351
Central Parking Corp. 1,207,037 20,398,925
* Century Business Services, Inc. 1,680,956 6,740,634
* Cenveo, Inc. 398,100 3,336,078
Champion Industries, Inc. 104,200 437,640
* Channell Commercial Corp. 17,600 105,952
Chicago Rivet & Machine Co. 10,800 321,624
CIRCOR International, Inc. 515,323 12,754,244
Collins Industries, Inc. 30,500 152,500
* Columbus McKinnon Corp. 88,565 836,054
* Comforce Corp. 58,000 112,520
* Comfort Systems USA, Inc. 1,335,300 8,399,037
* Compudyne Corp. 57,485 347,784
CompX International, Inc. 37,300 538,985
* # Consolidated Freightways Corp. 24,700 74
* Consolidated Graphics, Inc. 213,494 9,037,201
* # Continental Airlines, Inc. 2,267,500 31,427,550
* Cornell Companies, Inc. 461,048 5,919,856
* Correctional Services Corp. 247,312 714,707
* Corrections Corporation of America 8,600 310,460
* Corrpro Companies, Inc. 88,475 70,780
* Covenant Transport, Inc. Class A 405,987 5,635,100
* Cross (A.T.) Co. Class A 234,300 1,178,529
* Crown Andersen, Inc. 22,900 23,473
Cubic Corp. 51,500 906,400
* Distributed Energy Systems Corp. 1,020,622 3,388,465
* Dollar Thrifty Automotive Group, Inc. 854,400 30,749,856
* Ducommun, Inc. 192,279 3,162,990
Eastern Co. 29,400 649,446
Ecology & Environment, Inc. Class A 28,100 182,650
* Electro Rent Corp. 380,804 4,474,447
* EMCOR Group, Inc. 376,319 17,875,153
* Encore Wire Corp. 32,856 361,416
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* EnPro Industries, Inc. 449,944 12,179,984
Espey Manufacturing & Electronics Corp. 3,800 102,030
* Esterline Technologies Corp. 731,493 28,455,078
* Evergreen Solar, Inc. 131,503 664,090
Federal Signal Corp. 499,815 7,812,108
* First Aviation Services, Inc. 9,000 36,900
* First Consulting Group, Inc. 87,892 455,281
* # Flow International Corp. 34,100 221,650
* Flowserve Corp. 1,864,640 54,950,941
* Foster (L.B.) Co. Class A 162,400 1,461,600
* Foster Wheeler, Ltd. 46,355 686,054
* Frontier Airlines, Inc. 1,133,239 13,836,848
* Frozen Food Express Industries, Inc. 464,747 4,996,030
* FTI Consulting, Inc. 265,600 5,840,544
* FuelCell Energy, Inc. 114,471 931,794
GATX Corp. 1,577,900 52,654,523
* Gehl Co. 200,998 6,027,528
Gencorp, Inc. 317,040 5,992,056
* Genesee & Wyoming, Inc. 187,036 5,225,786
* GP Strategies Corp. 235,265 1,670,382
Graham Corp. 25,950 524,709
Granite Construction, Inc. 1,100 25,795
Hardinge, Inc. 148,600 2,409,995
* Hawaiian Holdings, Inc. 498,455 2,661,750
* Hawk Corp. 138,900 1,554,291
Heico Corp. 307,000 6,477,700
Heico Corp. Class A 25,251 423,964
* Herley Industries, Inc. 360,613 6,314,342
* Hexcel Corp. 599,250 9,791,745
* Hudson Technologies, Inc. 52,500 48,300
Hughes Supply, Inc. 347,316 9,030,216
IKON Office Solutions, Inc. 1,777,700 17,225,913
* Industrial Distribution Group, Inc. 308,575 2,712,374
* Innotrac Corp. 119,600 1,015,404
* Insituform Technologies, Inc. Class A 106,525 1,580,831
* # Integrated Electrical Services, Inc. 1,097,600 1,668,352
International Aluminum Corp. 55,800 1,925,100
* International Shipholding Corp. 80,650 1,177,490
Interpool, Inc. 594,914 12,921,532
* Jacuzzi Brands, Inc. 78,400 800,464
* JPS Industries, Inc. 43,200 207,360
* Kadant, Inc. 465,860 9,550,130
Kaman Corp. Class A 713,954 11,044,868
* # Kansas City Southern 2,225,700 44,491,743
Kelly Services, Inc. Class A 248,533 6,911,703
* Key Technology, Inc. 19,200 211,200
* K-Tron International, Inc. 6,300 180,180
* Ladish Co., Inc. 299,510 3,324,561
* Lancer Corp. 108,400 1,875,320
Lawson Products, Inc. 16,228 694,558
* LMI Aerospace, Inc. 29,100 131,648
LSI Industries, Inc. 348,083 4,730,448
* Lydall, Inc. 511,600 4,215,584
* Lynch Corp. 6,200 57,040
* Mac-Gray Corp. 324,700 2,831,384
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* Magnetek, Inc. 896,500 1,981,265
* MAIR Holdings, Inc. 560,851 5,350,519
* Marten Transport, Ltd. 200 3,922
* Mastec, Inc. 1,177,200 9,959,112
* Maxco, Inc. 38,500 168,284
* # MCSi, Inc. 27,200 3
* Meadow Valley Corp. 44,064 232,658
* # Medialink Worldwide, Inc. 63,000 198,450
Mercury Air Group, Inc. 39,650 137,189
* Merrimac Industries, Inc. 35,170 313,013
* # Mesa Air Group, Inc. 134,170 856,005
* MFRI, Inc. 59,900 464,764
* # Midwest Air Group, Inc. 582,802 1,142,292
* Milacron, Inc. 1,148,968 2,504,750
* Misonix, Inc. 120,285 693,082
* Mobile Mini, Inc. 273,821 10,109,471
* # Modtech Holdings, Inc. 462,114 2,865,107
* Moore Handley, Inc. 2,000 8,000
Mueller (Paul) Co. 2,300 68,425
Mueller Industries, Inc. 1,134,866 30,641,382
NACCO Industries, Inc. Class A 116,800 11,972,000
* Nashua Corp. 116,000 1,044,000
* # National Patent Development Corp. 235,265 550,520
* National Technical Systems, Inc. 128,684 584,225
* NCI Building Systems, Inc. 473,898 16,368,437
* NCO Group, Inc. 1,058,221 21,016,279
* NES Rentals Holdings, Inc. 448 4,390
* New Horizons Worldwide, Inc. 112,075 404,591
* North America Galvanizing & Coatings, Inc. 73,400 149,736
* On Assignment, Inc. 614,067 3,254,555
* Orbital Sciences Corp. 34,300 333,053
Outlook Group Corp. 59,300 468,470
* Patrick Industries, Inc. 96,250 862,015
* Peerless Manufacturing Co. 20,100 279,591
* PHH Corp. 100 2,399
* Pico Holdings, Inc. 202,251 5,236,278
* Power-One, Inc. 24,696 135,334
* PPT Vision, Inc. 22,250 28,258
Preformed Line Products Co. 14,300 488,059
* PRG-Schultz International, Inc. 556,949 2,149,823
* Protection One, Inc. 61 1,220
Providence & Worcester Railroad Co. 47,100 624,075
* Quanta Services, Inc. 3,830,850 34,592,576
* RailAmerica, Inc. 1,246,038 14,541,263
* RCM Technologies, Inc. 234,100 1,076,860
* Refac 11,357 56,728
Regal-Beloit Corp. 822,383 21,135,243
* RemedyTemp, Inc. 184,200 1,814,370
* # Riviera Tool Co. 16,500 17,903
Robbins & Myers, Inc. 479,900 11,349,635
* Rush Enterprises, Inc. Class A 147,934 2,128,770
* Rush Enterprises, Inc. Class B 105,400 1,533,570
* Schuff International, Inc. 106,600 327,795
* SCS Transportation, Inc. 506,932 9,251,509
* Secom General Corp. 11,500 16,445
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* Sequa Corp. Class A 94,900 5,504,200
* Sequa Corp. Class B 28,900 1,712,614
* Servotronics, Inc. 400 1,900
* Shaw Group, Inc. 2,106,898 42,453,995
* Sholodge, Inc. 71,600 281,030
* SIFCO Industries, Inc. 74,715 256,272
* Sitel Corp. 984,800 1,949,904
Skywest, Inc. 358,377 6,536,796
Smith (A.O.) Corp. 716,100 22,456,896
Smith (A.O.) Corp. Convertible Class A 70,050 2,196,768
* Smithway Motor Xpress Corp. Class A 73,800 442,800
* SOURCECORP, Inc. 491,436 10,521,645
* Spacehab, Inc. 120,247 169,548
* Sparton Corp. 126,528 1,262,749
* Spherion Corp. 1,999,689 10,938,299
Standard Register Co. 677,399 9,619,066
Starrett (L.S.) Co. Class A 64,600 1,102,722
* Sterling Construction Co., Inc. 1,100 8,118
Stewart & Stevenson Services, Inc. 304,600 7,276,894
* Strategic Distribution, Inc. 65,178 671,333
Supreme Industries, Inc. 56,610 370,796
Sypris Solutions, Inc. 401,688 4,233,792
TB Wood's Corp. 92,900 536,962
* TeamStaff, Inc. 86,000 141,040
Tecumseh Products Co. Class A 442,233 12,090,650
Tecumseh Products Co. Class B 15,600 427,830
* Tetra Tech, Inc. 24,100 290,405
* The Lamson & Sessions Co. 3,700 40,293
Thomas Industries, Inc. 141,200 5,629,644
# Titan International, Inc. 232,000 3,426,640
Todd Shipyards Corp. 81,650 1,571,763
* Trailer Bridge, Inc. 111,200 867,360
* Transport Corp. of America 20,000 125,000
* Transtechnology Corp. 97,300 727,318
* TRC Companies, Inc. 110,900 1,264,260
Tredegar Industries, Inc. 1,273,486 19,420,662
Trinity Industries, Inc. 1,482,100 43,069,826
* Triumph Group, Inc. 524,517 18,609,863
Twin Disc, Inc. 37,400 813,450
* U.S. Xpress Enterprises, Inc. Class A 163,490 1,996,213
* United Rentals, Inc. 1,831,600 36,778,528
* URS Corp. 1,438,667 48,670,105
* USA Truck, Inc. 71,600 1,449,900
* # Valence Technology, Inc. 4,800 14,208
* Valpey Fisher Corp. 10,350 32,706
Viad Corp. 116,900 3,249,820
* Volt Information Sciences, Inc. 402,800 7,915,020
* Washington Group International, Inc. 194,191 9,323,110
Waste Industries USA, Inc. 238,100 3,435,783
* Water Pik Technologies, Inc. 106,545 1,979,606
* Westaff, Inc. 192,900 669,363
* Western Power & Equipment Corp. 4,091 5,318
* Willis Lease Finance Corp. 132,900 1,083,135
* Wolverine Tube, Inc. 482,000 3,475,220
* Xanser Corp. 259,400 573,274
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* Yellow Roadway Corp. 278,908 14,720,764
----------------
Total Industrials
(Cost $1,070,818,270) 1,335,575,135
----------------
Financials -- (12.6%)
1st Source Corp. 342,018 7,449,152
21st Century Insurance Group 151,658 2,112,596
ABC Bancorp 21,936 389,364
* ACE Cash Express, Inc. 9,217 201,023
Advanta Corp. Class A 281,453 6,453,717
Advanta Corp. Class B Non-Voting 494,299 12,194,356
* Aether Systems, Inc. 1,403,851 4,394,054
Alfa Corp. 16,525 236,638
* Allmerica Financial Corp. 157,900 5,513,868
* # American Business Financial Services, Inc. 43,184 2,699
* American Physicians Capital, Inc. 289,108 10,017,592
American Physicians Services Group, Inc. 36,300 450,120
Americana Bancorp 26,030 372,489
* AmeriServe Financial, Inc. 422,573 2,307,249
AmerUs Group Co. 338,785 16,122,778
* Arch Capital Group, Ltd. 34,800 1,553,820
* Argonaut Group, Inc. 857,264 17,951,108
ASB Financial Corp. 12,268 274,496
* Atlantic American Corp. 42,900 129,558
Baldwin & Lyons, Inc. Class B 156,125 4,012,412
* Bancinsurance Corp. 76,470 397,644
BankUnited Financial Corp. Class A 48,704 1,203,476
Banner Corp. 345,012 9,180,769
Bay View Capital Corp. 200,776 3,182,300
Beverly Hills Bancorp, Inc. 135,659 1,417,637
* BF Enterprises, Inc. 2,300 18,998
* BNS Holding, Inc. Class A 46,855 323,299
Brookline Bancorp, Inc. 258,695 3,932,164
California First National Bancorp 77,600 900,160
Camco Financial Corp. 19,083 275,368
* Ceres Group, Inc. 629,501 3,607,041
CFS Bancorp, Inc. 333,167 4,367,819
Chemical Financial Corp. 15,511 496,042
Citizens South Banking Corp. 2,500 31,575
* Citizens, Inc. 118,607 686,735
Clark, Inc. 624,728 9,058,556
* CNA Surety Corp. 428,495 5,921,801
Commercial Federal Corp. 1,330,398 33,273,254
Community Bank System, Inc. 466,400 10,867,120
Community West Bancshares 9,600 116,928
* # CompuCredit Corp. 833,453 26,278,773
* Consumer Portfolio Services, Inc. 26,000 114,400
Cooperative Bankshares, Inc. 28,500 530,100
* Credit Acceptance Corp. 518,230 7,312,225
* # Danielson Holding Corp. 68,150 1,107,438
Delphi Financial Group, Inc. Class A 881,563 37,378,271
Donegal Group, Inc. Class A 110,763 2,044,685
Donegal Group, Inc. Class B 47,264 778,438
Downey Financial Corp. 100 7,502
EFC Bancorp, Inc. 5,300 143,100
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EMC Insurance Group, Inc. 150,700 2,688,488
* Epoch Holding Corp. 108,700 489,150
* EZCORP, Inc. Class A Non-Voting 237,900 2,262,429
FBL Financial Group, Inc. Class A 732,775 19,601,731
Fidelity Southern Corp. 84,400 1,368,968
* Firebrand Financial Group, Inc. 86,400 6,048
* First Bank of Delaware 71,503 235,960
First Citizens BancShares, Inc. 10,300 1,344,459
First Defiance Financial Corp. 128,500 3,436,090
First Federal Bancshares of Arkansas, Inc. 112,100 2,745,329
First Indiana Corp. 229,223 6,177,560
* First Investors Financial Services Group, Inc. 120,900 577,298
First Keystone Financial, Inc. 37,300 645,663
First Merchants Corp. 64,259 1,598,121
First Niagara Financial Group, Inc. 250,797 3,265,377
First Place Financial Corp. 385,659 7,593,626
Flagstar Bancorp, Inc. 126,800 2,505,568
FNB Corp. 700 12,950
FNB Financial Services Corp. 17,375 368,176
* FPIC Insurance Group, Inc. 326,687 9,722,205
Great American Financial Resources, Inc. 221,500 3,734,490
Guaranty Federal Bancshares, Inc. 15,300 355,725
Harleysville Group, Inc. 899,000 18,258,690
HF Financial Corp. 54,615 1,242,491
HMN Financial, Inc. 74,300 2,239,031
Horace Mann Educators Corp. 1,438,408 26,179,026
Independence Holding Co. 104,148 1,838,212
Infinity Property & Casualty Corp. 307,103 9,827,296
* Instinet Group, Inc. 440,262 2,324,583
Investors Title Co. 18,200 641,004
Irwin Financial Corp. 339,242 7,120,690
* ITLA Capital Corp. 147,000 7,323,540
* Kennedy-Wilson, Inc. 30,800 317,856
* KNBT Bancorp, Inc. 5,224 77,904
* Knight Capital Group, Inc. 978,781 7,389,797
* Knight Trading Group, Inc. 5,300 40,015
* LaBranche & Co., Inc. 1,334,340 7,378,900
LandAmerica Financial Group, Inc. 611,212 34,350,114
LSB Corp. 3,500 56,175
MAF Bancorp, Inc. 172,628 7,347,048
MASSBANK Corp. 63,149 2,251,262
* Matrix Bancorp, Inc. 5,000 64,000
MCG Capital Corp. 321,844 5,149,504
* Meadowbrook Insurance Group, Inc. 560,064 2,884,330
Medallion Finanacial Corp. 364,005 3,370,686
Merchants Group, Inc. 23,900 599,890
Meta Financial Group, Inc. 32,400 683,640
* Metris Companies, Inc. 1,938,600 25,163,028
MFB Corp. 17,700 464,979
MicroFinancial, Inc. 125,000 486,250
Midland Co. 49,800 1,591,110
* National Western Life Insurance Co. Class A 24,300 4,456,013
* Navigators Group, Inc. 149,190 4,959,076
NetBank, Inc. 302,082 2,510,301
* Newtek Business Services, Inc. 86,500 224,035
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North Central Bancshares, Inc. 39,900 1,545,726
Northeast Bancorp 21,200 464,704
Northrim BanCorp, Inc. 1 14
NYMAGIC, Inc. 125,800 2,572,610
* # Ocwen Financial Corp. 1,193,630 8,629,945
Ohio Casualty Corp. 1,932,614 46,189,475
* Pacific Premier Bancorp, Inc. 29,840 312,484
Parkvale Financial Corp. 40,825 1,134,935
PAULA Financial 90,600 159,456
* Penn Treaty American Corp. 366,900 818,187
Pinnacle Bancshares, Inc. 10,400 146,744
* Piper Jaffray Companies, Inc. 448,361 12,675,165
* PMA Capital Corp. Class A 729,273 5,418,498
Pocahontas Bancorp, Inc. 69,800 977,200
* Premier Financial Bancorp 1,100 11,963
Presidential Life Corp. 968,912 14,679,017
Provident Financial Holdings, Inc. 53,800 1,496,716
Provident Financial Services, Inc. 5,000 88,900
* Republic First Bancorp, Inc. 80,083 1,066,710
Riverview Bancorp, Inc. 56,600 1,216,900
RLI Corp. 286,779 12,543,713
* RTW, Inc. 93,850 910,345
* SCPIE Holdings, Inc. 150,800 1,691,976
Selective Insurance Group, Inc. 913,294 43,956,840
Simmons First National Corp. Class A 140,711 3,453,048
Sound Federal Bancorp, Inc. 40,140 639,029
* Standard Management Corp. 134,600 242,280
State Auto Financial Corp. 3,201 86,427
State Financial Services Corp. Class A 18,241 724,168
Stewart Information Services Corp. 598,000 23,471,500
* Stifel Financial Corp. 65,029 1,373,412
* Stratus Properties, Inc. 94,450 1,575,426
* Sun Bancorp, Inc. 60,174 1,248,009
Susquehanna Bancshares, Inc. 287,264 6,538,129
SWS Group, Inc. 267,400 4,238,290
TF Financial Corp. 36,200 1,049,800
* The Banc Corp. 84,508 887,334
# The Phoenix Companies, Inc. 2,736,000 31,464,000
TierOne Corp. 43,474 1,048,810
Timberland Bancorp, Inc. 56,400 1,297,764
* Triad Guaranty, Inc. 209,863 11,374,575
UICI 969,000 24,370,350
UMB Financial Corp. 636,690 35,463,633
Umpqua Holdings Corp. 100,166 2,334,869
* Unico American Corp. 72,700 665,205
* United America Idemnity, Ltd. 262,676 4,478,626
United Community Financial Corp. 805,706 8,467,970
United Fire & Casualty Co. 88,900 3,499,993
Unizan Financial Corp. 18,431 469,806
Vesta Insurance Group, Inc. 1,142,100 2,878,092
Wesbanco, Inc. 9,876 292,033
Westbank Corp. 1,143 19,248
Willow Grove Bancorp, Inc. 65,500 998,613
* Wilshire Enterprises, Inc. 110,090 825,675
Ziegler Companies, Inc. 8,200 161,950
----------------
Total Financials
(Cost $658,967,144) 850,984,881
----------------
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Information Technology -- (11.6%)
* 3Com Corp. 74,200 271,572
* Actel Corp. 306,134 4,527,722
* ActivCard Corp. 136,166 561,004
* Adaptec, Inc. 1,410,894 5,615,358
* Adept Technology, Inc. 18,720 150,696
* Advanced Digital Information Corp. 143,520 985,982
* Advanced Power Technology, Inc. 245,688 1,584,688
* Aehr Test Systems 89,200 269,384
* Aeroflex, Inc. 35,740 285,920
* Aetrium, Inc. 69,748 179,950
* Agile Software Corp. 616,831 3,978,560
Agilysys, Inc. 935,734 14,391,589
* Airspan Networks, Inc. 85,900 410,602
* Akamai Technologies, Inc. 355,127 4,985,983
Allen Organ Co. Class B 5,000 278,375
* Alliance Semiconductor Corp. 1,167,202 1,960,899
* Allied Motion Technologies, Inc. 45,300 216,534
* Alpha Technologies Group, Inc. 82,112 3,695
American Software, Inc. Class A 269,536 1,390,806
* American Technical Ceramics Corp. 83,300 869,652
* Amistar Corp. 42,300 127,746
* Amtech Systems, Inc. 6,000 35,940
* Anadigics, Inc. 954,146 1,564,799
* Analex Corp. 35,200 115,104
* Analysts International Corp. 564,081 1,855,826
* Analytical Surveys, Inc. 830 1,336
* Anaren, Inc. 590,974 6,997,132
* AnswerThink, Inc. 141,628 560,847
* APA Enterprises, Inc. 157,400 248,692
* Applied Films Corp. 279,950 7,530,655
* Applied Innovation, Inc. 51,000 248,370
* Applied Micro Circuits Corp. 3,092,322 8,874,964
* Apropos Technology, Inc. 447,216 1,149,345
* Ariba, Inc. 244,189 1,496,879
* Arris Group, Inc. 1,326,831 11,490,356
* Art Technology Group, Inc. 203,713 220,010
* # Aspen Technology, Inc. 343,227 1,798,509
* Astea International, Inc. 13,200 97,548
Astro-Med, Inc. 31,540 275,975
* Atari, Inc. 8,867 21,901
* Atmel Corp. 5,988 17,964
* # Avanex Corp. 403,000 407,030
* # Avici Systems, Inc. 378,629 1,688,685
* Aware, Inc. 559,924 3,695,498
* Axcelis Technologies, Inc. 36,459 242,452
* AXT, Inc. 465,578 586,628
* BearingPoint, Inc. 28,800 188,640
Belden CDT, Inc. 906,748 18,243,770
* Bell Industries, Inc. 161,863 357,717
* Bell Microproducts, Inc. 928,006 7,609,649
* Benchmark Electronics, Inc. 14,200 449,714
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Black Box Corp. 338,856 11,649,869
* Blonder Tongue Laboratories, Inc. 22,600 65,540
Bogen Communications International, Inc. 44,700 213,443
* # Bookham, Inc. 184,450 516,460
* Brooktrout, Inc. 23,035 229,659
* CalAmp Corp. 232,435 1,534,071
* Canterbury Consulting Group, Inc. 842 274
* Captaris, Inc. 975,052 3,529,688
* Carrier Access Corp. 131,778 635,170
* C-COR, Inc. 59,992 412,745
Celeritek, Inc. 384,872 315,595
* CellStar Corp. 598,069 777,490
* Centillium Communications, Inc. 102,929 225,415
* Checkpoint Systems, Inc. 266,500 4,695,730
* Chyron Corp. 1,200 420
* Ciber, Inc. 1,957,800 15,956,070
* Ciena Corp. 1,006,100 2,193,298
* Ciprico, Inc. 70,900 308,415
* Cirrus Logic, Inc. 319,991 1,657,553
* Clarus Corp. 391,100 3,011,470
* Cognitronics Corp. 7,700 29,106
* Coherent, Inc. 1,024,276 33,626,981
* Comarco, Inc. 109,300 873,307
* # Commerce One, Inc. 57,500 7,245
Communications Systems, Inc. 17,300 174,730
* Computer Horizons Corp. 553,091 1,603,964
* Computer Network Technology Corp. 745,784 3,728,920
* Computer Task Group, Inc. 158,300 554,050
* Conexant Systems, Inc. 383,556 548,485
* Convera Corp. 35,389 152,527
* Copper Mountain Networks, Inc. 23,556 21,672
* Cosine Communications, Inc. 313,826 737,491
* Cray, Inc. 400 584
* Credence Systems Corp. 1,210,206 9,584,832
* Crossroads Systems, Inc. 22,000 20,680
* CSP, Inc. 34,000 333,540
CTS Corp. 1,212,900 12,917,385
* Data I/O Corp. 86,400 250,560
* Data Systems & Software, Inc. 91,400 109,680
* Datalink Corp. 197,400 485,604
* Dataram Corp. 28,010 164,139
* Delphax Technologies, Inc. 70,700 263,923
* Digimarc Corp. 111,584 569,078
* DoubleClick, Inc. 134,930 1,110,474
* E.piphany, Inc. 1,359,381 4,744,240
* EasyLink Services Corp. 640 627
* Echelon Corp. 160,132 1,100,107
* Edgewater Technology, Inc. 255,288 1,110,503
* Electro Scientific Industries, Inc. 88,377 1,585,483
* Electroglas, Inc. 485,533 1,675,089
* Electronics for Imaging, Inc. 366,579 6,965,001
* eLoyalty Corp. 49,200 243,540
* EMCORE Corp. 228,231 906,077
* EMS Technologies, Inc. 342,094 4,618,269
* En Pointe Technologies, Inc. 39,500 108,625
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* Entrust, Inc. 94,279 385,601
* ePlus, Inc. 207,370 2,571,595
* ESS Technology, Inc. 199,365 821,384
* Evans & Sutherland Computer Corp. 181,900 934,057
* Exar Corp. 1,344,986 19,367,798
* # FalconStor Software, Inc. 47,700 348,687
* FEI Co. 500 10,410
* Forgent Networks, Inc. 362,164 651,895
* Forrester Research, Inc. 28,525 470,663
Frequency Electronics, Inc. 97,600 1,141,920
* FSI International, Inc. 733,528 2,758,065
* Gateway, Inc. 1,110,900 3,843,714
* Genesis Microchip, Inc. 400,035 6,620,579
* Gerber Scientific, Inc. 685,200 5,056,776
* # Giga-Tronics, Inc. 28,800 116,640
* Glenayre Technologies, Inc. 996,900 3,190,080
* Globecomm Systems, Inc. 162,400 902,944
* # Glowpoint, Inc. 155,001 206,151
* GTSI Corp. 291,200 2,382,016
* Halifax Corp. 24,000 92,640
* HEI, Inc. 1,400 4,271
* HI/FN, Inc. 147,915 982,156
* HomeStore, Inc. 49,000 102,410
* Hypercom Corp. 1,549,600 9,839,960
* # Ibis Technology Corp. 52,740 66,452
* Identix, Inc. 136,448 749,100
* iGATE Capital Corp. 570,208 2,491,809
* I-many, Inc. 397,000 627,260
Imation Corp. 696,200 26,288,512
* InFocus Corp. 1,322,488 5,501,550
Inforte Corp. 365,374 1,253,233
* Innovex, Inc. 326,137 1,102,343
* InsWeb Corp. 23,166 64,865
* Integrated Device Technology, Inc. 147,470 1,803,558
* Integrated Silicon Solution, Inc. 586,009 3,838,359
* Intelligent Systems Corp. 52,375 108,940
* Intelligroup, Inc. 70,900 83,662
* Interland, Inc. 503,239 956,154
* Internet Commerce Corp. 50,000 81,000
* Interwoven, Inc. 396,724 3,157,923
* IntriCon Corp. 76,500 145,350
* # Intrusion, Inc. 23,600 66,552
* Iomega Corp. 1,624,700 5,020,323
* # IPIX Corp. 7,500 20,025
* iVillage, Inc. 36,000 217,080
* Jaco Electronics, Inc. 105,869 332,429
* JDA Software Group, Inc. 876,171 11,320,129
* Keane, Inc. 158,500 2,127,070
* Kemet Corp. 2,936,384 20,554,688
* Key Tronic Corp. 151,900 558,992
* Keynote Systems, Inc. 288,000 3,340,800
* Lantronix, Inc. 139,900 191,663
* Lattice Semiconductor Corp. 1,051,023 4,435,317
* LeCroy Corp. 16,000 263,360
* # Level 8 Systems, Inc. 5,966 346
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Liberate Technologies, Inc. 662,100 205,251
* Lightbridge, Inc. 482,181 3,028,097
* # LightPath Technologies, Inc. 31,300 81,380
* Logic Devices, Inc. 92,700 124,218
* LogicVision, Inc. 157,400 283,320
* LTX Corp. 1,700 8,143
* Management Network Group, Inc. 216,686 509,212
* Manchester Technologies, Inc. 177,600 1,113,552
* Manugistic Group, Inc. 646,622 1,163,920
Maximus, Inc. 54,000 1,851,660
* Maxtor Corp. 285,700 1,568,493
* McDATA Corp. 216,923 826,477
* MDI, Inc. 187,300 95,523
* MedQuist, Inc. 471,073 6,128,660
* Merix Corp. 329,356 2,387,831
* MetaSolv, Inc. 586,637 1,214,339
Methode Electronics, Inc. 100 1,194
* Micro Linear Corp. 189,300 1,107,405
* Microtune, Inc. 145,600 643,552
* MKS Instruments, Inc. 612,098 10,222,037
* MPS Group, Inc. 3,484,300 32,682,734
* MRV Communications, Inc. 703,900 1,302,215
* # MSC.Software Corp. 949,639 9,767,037
* # MTI Technology Corp. 300 492
* MTM Technologies, Inc. 6,200 24,614
* # Nanometrics, Inc. 419,649 4,733,641
* Neoforma, Inc. 304,884 2,088,455
* # NeoMagic Corp. 335,100 123,987
* Net2Phone, Inc. 789,432 1,263,091
* NetIQ Corp. 1,818,553 20,076,825
* NetManage, Inc. 83,916 532,867
* NetRatings, Inc. 444,865 6,059,061
* Netscout System, Inc. 132,766 817,839
* Network Engines, Inc. 18,400 31,280
* Network Equipment Technologies, Inc. 738,784 4,129,803
* Newport Corp. 1,230,197 17,284,268
* NMS Communications Corp. 193,500 628,875
* Nu Horizons Electronics Corp. 550,317 3,235,864
* NumereX Corp. Class A 77,800 374,218
* NYFIX, Inc. 489,727 2,473,121
* O.I. Corp. 51,900 616,313
* Omtool, Ltd. 52,514 307,207
* Opent Technologies, Inc. 46,386 375,263
* Oplink Communications, Inc. 158,500 236,165
* OPTi, Inc. 168,800 283,584
* Optical Cable Corp. 30,393 135,553
* Optical Communication Products, Inc. 8,172 14,628
* OSI Systems, Inc. 551,557 8,218,199
* Overland Storage, Inc. 65,524 634,928
* OYO Geospace Corp. 147,500 2,413,395
* PalmSource, Inc. 146,730 1,471,702
* Paradyne Networks Corp. 11,000 21,670
Park Electrochemical Corp. 222,250 5,156,200
* Parlex Corp. 165,300 975,270
* Paxar Corp. 151,600 2,671,192
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* PC Connection, Inc. 553,286 2,827,291
* PC-Tel, Inc. 594,790 4,347,915
* Peerless Systems Corp. 120,900 437,658
* Pegasus Solutions, Inc. 723,341 7,783,149
* Pegasystems, Inc. 72,001 429,846
* Pemstar, Inc. 690,271 814,520
* Perceptron, Inc. 257,037 1,678,452
* Performance Technologies, Inc. 10,184 68,538
* Pericom Semiconductor Corp. 588,662 4,715,183
* Pervasive Software, Inc. 77,792 360,177
* Phoenix Technologies, Ltd. 133,269 1,082,144
* Photronics, Inc. 540,704 12,452,413
* Pinnacle Systems, Inc. 46,737 276,216
* Planar Systems, Inc. 201,179 1,617,479
* PLATO Learning, Inc. 232,506 1,776,346
* Plexus Corp. 597,091 8,210,001
* PowerCerv Corp. 20,666 11,573
* Powerwave Technologies, Inc. 1,030,883 9,411,962
Printronix, Inc. 90,000 1,429,200
* Procom Technology, Inc. 5,400 8,640
* Quantum Corp. 956,600 2,487,160
* QuickLogic Corp. 428,717 1,873,493
* Quovadx, Inc. 501,945 1,365,290
* RadiSys Corp. 140,691 2,274,973
* Raindance Communictions, Inc. 67,025 137,401
* Register.com, Inc. 77,555 484,719
* Reliability, Inc. 41,800 8,360
* Relm Wireless Corp. 59,254 139,247
* REMEC, Inc. 341,773 2,136,084
Richardson Electronics, Ltd. 49,717 442,481
* Riverstone Networks, Inc. 9,900 6,955
* Robotic Vision Systems, Inc. 14,000 448
* Rofin-Sinar Technologies, Inc. 10,956 353,879
* Rudolph Technologies, Inc. 50,929 734,396
* Safeguard Scientifics, Inc. 1,008,300 998,217
* SafeNet, Inc. 580,612 18,242,829
* SatCon Technology Corp. 97,500 133,575
* SBS Technologies, Inc. 369,322 3,586,117
* ScanSoft, Inc. 359,963 1,461,450
* SCM Microsystems, Inc. 353,070 1,048,618
* SEEC, Inc. 2,200 440
* Segue Software, Inc. 67,900 339,500
* Selectica, Inc. 930,002 2,948,106
* SEMX Corp. 8,700 522
* Sigmatron International, Inc. 16,800 178,920
* # Silicon Graphics, Inc. 1,681,500 1,362,015
* Silicon Storage Technology, Inc. 17,632 60,654
* SimpleTech, Inc. 520,716 1,822,506
* Sipex Corp. 502,253 828,717
* Skyworks Solutions, Inc. 928,258 5,875,873
* Somera Communications, Inc. 93,400 129,826
* # Sonic Foundry, Inc. 22,800 29,184
* SonicWALL, Inc. 1,411,933 8,725,746
* Spectrum Control, Inc. 173,800 1,230,504
* # SR Telecom, Inc. 11,987 3,716
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* Standard Microsystems Corp. 244,943 3,982,773
* SteelCloud, Inc. 5,900 13,806
* Stellent, Inc. 734,372 5,559,196
* # Stratos International, Inc. 274,103 1,181,384
* SumTotal Systems, Inc. 16,297 68,284
Sunrise Telecom, Inc. 191,400 306,240
* Suntron Corp. 92,475 121,142
* Sycamore Networks, Inc. 1,818,151 6,145,350
* Sykes Enterprises, Inc. 901,750 7,466,490
* Taitron Components, Inc. 6,500 11,375
* Technical Communications Corp. 6,300 19,215
Technitrol, Inc. 584,322 7,672,148
* Technology Solutions Corp. 44,500 23,140
* TechTeam Global, Inc. 232,800 3,259,200
* Tegal Corp. 66,300 70,278
* Telular Corp. 1,000 3,900
* Terayon Communication Systems, Inc. 120,600 382,302
* TheStreet.com, Inc. 259,000 802,900
* Three-Five Systems, Inc. 685,700 459,419
* Tier Technologies, Inc. Class B 611,998 5,410,062
* TII Network Technologies, Inc. 98,200 143,372
* Tollgrade Communications, Inc. 229,725 1,741,316
* Transcat, Inc. 60,000 277,800
Trans-Lux Corp. 2,746 18,261
* Transmeta Corp. 9,791 7,931
* Triquint Semiconductor, Inc. 1,009,028 3,420,605
* Tumbleweed Communications Corp. 37,100 81,620
* Tut Systems, Inc. 13,500 40,770
* Veeco Instruments, Inc. 67,861 1,022,665
* # Verilink Corp. 119,978 190,765
* Verity, Inc. 606,099 5,170,024
* Verso Technologies, Inc. 165,649 43,069
* Vicon Industries, Inc. 71,500 210,925
* Viewpoint Corp. 1,400 2,030
* Vignette Corp. 927,600 1,076,016
* Visual Networks, Inc. 26,900 34,701
* # Vitech America, Inc. 700 0
* Vitesse Semiconductor, Inc. 5,400 13,500
* Vyyo, Inc. 81,414 503,139
* WatchGuard Technologies, Inc. 1,086,802 3,945,091
* Webb Interactive Services, Inc. 1,300 143
* webMethods, Inc. 1,100 5,533
* White Electronics Designs Corp. 196,498 980,525
Wireless Telecom Group, Inc. 35,600 90,068
Woodhead Industries, Inc. 90,612 1,162,552
* Zhone Technologies, Inc. 89,314 242,041
* Zomax, Inc. 1,040,946 2,862,602
* Zones, Inc. 172,800 639,360
* Zoran Corp. 802,916 9,907,983
* Zygo Corp. 484,226 4,687,308
----------------
Total Information Technology
(Cost $843,140,581) 785,941,564
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Materials -- (9.4%)
* AK Steel Holding Corp. 1,694,116 12,959,987
* Aleris International, Inc. 570,339 13,585,475
* American Pacific Corp. 104,300 844,830
Arch Chemicals, Inc. 366,287 8,633,385
Atlantis Plastics, Inc. 47,200 293,112
* Badger Paper Mills, Inc. 10,400 34,736
Bairnco Corp. 114,700 1,281,199
* Brush Engineered Materials, Inc. 325,700 4,618,426
* Buckeye Technologies, Inc. 1,277,677 10,566,389
Calgon Carbon Corp. 1,065,500 9,493,605
Cambrex Corp. 709,583 12,843,452
* Caraustar Industries, Inc. 885,399 9,296,690
Carpenter Technology Corp. 716,562 38,694,348
* Castle (A.M.) & Co. 217,730 3,046,043
Chesapeake Corp. 666,306 13,905,806
* Coeur d'Alene Mines Corp. 207,124 689,723
Commercial Metals Co. 1,177,532 30,804,237
* Continental Materials Corp. 4,600 143,474
* # Core Molding Technologies, Inc. 500 4,700
CPAC, Inc. 82,200 410,178
* Detrex Corp. 12,800 59,840
* Devcon International Corp. 52,300 614,525
* Eden Bioscience Corp. 36,120 21,672
* Environmental Technologies Corp. 35,800 16
Friedman Industries, Inc. 40 308
Fuller (H.B.) Co. 517,300 16,760,520
Gibraltar Industries, Inc. 385,124 7,533,025
Glatfelter (P.H.) Co. 1,494,800 16,741,760
* Graphic Packaging Corp. 421,900 1,582,125
Great Lakes Chemical Corp. 4,300 145,770
* ICO, Inc. 264,200 618,228
* Impreso, Inc. 6,500 6,955
* Kaiser Aluminum Corp. 665 47
* Keystone Consolidated Industries, Inc. 18,342 3,118
* Lesco, Inc. 216,600 2,924,100
Longview Fibre Co. 1,691,340 33,776,060
* Material Sciences Corp. 407,767 4,974,757
* Maxxam, Inc. 105,500 2,452,875
* Metals USA, Inc. 349,405 7,396,904
Minerals Technologies, Inc. 246,000 16,555,800
* Mod-Pac Corp. Class B 1,278 18,914
Myers Industries, Inc. 809,071 9,021,142
* NewMarket Corp. 470,102 6,388,686
Niagara Corp. 132,200 1,130,310
NN, Inc. 34,774 441,282
* Northwest Pipe Co. 91,800 2,034,288
* # Olympic Steel, Inc. 304,300 4,777,510
* OM Group, Inc. 719,400 18,128,880
* OMNOVA Solutions, Inc. 167,979 681,995
* Oregon Steel Mills, Inc. 58,700 1,036,642
Penford Corp. 79,800 1,236,102
* PolyOne Corp. 456,506 3,067,720
Pope & Talbot, Inc. 446,500 4,924,895
Potlatch Corp. 403,200 20,841,408
Quaker Chemical Corp. 188,550 3,337,335
Quanex Corp. 543,803 28,217,938
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Reliance Steel & Aluminum Co. 903,098 34,760,242
Roanoke Electric Steel Corp. 140,900 2,825,045
Rock of Ages Corp. 87,600 531,732
Rock-Tenn Co. Class A 1,161,623 13,370,281
* RTI International Metals, Inc. 693,750 19,001,813
# Ryerson Tull, Inc. 825,539 12,564,704
Schnitzer Steel Industries, Inc. Class A 133,822 3,093,965
Schulman (A.), Inc. 981,082 16,050,502
Schweitzer-Maudoit International, Inc. 250,100 7,495,497
Sensient Technologies Corp. 355,700 7,238,495
* Southwall Technologies, Inc. 131,500 176,210
Spartech Corp. 551,500 11,156,845
Steel Dynamics, Inc. 503,988 13,552,237
Steel Technologies, Inc. 426,113 8,522,260
Stepan Co. 129,000 2,736,090
* Stillwater Mining Co. 1,151,780 7,774,515
Summa Industries, Inc. 41,800 321,860
* Synalloy Corp. 88,350 1,020,443
* Terra Industries, Inc. 2,308,500 14,658,975
Texas Industries, Inc. 727,557 33,482,173
* U.S. Concrete, Inc. 625,733 3,829,486
* Universal Stainless & Alloy Products, Inc. 118,900 1,492,195
Valhi, Inc. 138,552 2,568,754
Vulcan International Corp. 11,200 549,920
Wausau-Mosinee Paper Corp. 1,254,999 15,687,488
* Webco Industries, Inc. 93,900 539,925
Wellman, Inc. 864,400 9,715,856
* WHX Corp. 1,413 49
* Williams Industries, Inc. 3,400 11,852
* # Zoltek Companies, Inc. 201,080 2,002,757
----------------
Total Materials
(Cost $518,160,422) 636,335,413
----------------
Energy -- (8.1%)
Adams Resources & Energy, Inc. 6,700 112,895
* Bolt Technology Corp. 13,700 80,145
* # BPZ Energy, Inc. 4,188 19,265
* Callon Petroleum Co. 592,400 8,382,460
Castle Energy Corp. 201,400 2,618,200
* Giant Industries, Inc. 414,500 11,941,745
* Gulfmark Offshore, Inc. 453,461 11,363,733
* Hanover Compressor Co. 2,951,815 30,787,430
* # Horizon Offshore, Inc. 667,752 210,342
* Houston Exploration Co. 686,942 35,013,434
* Input/Output, Inc. 770,600 4,569,658
* Key Energy Group, Inc. 2,200 24,178
Lufkin Industries, Inc. 206,400 5,950,512
* Magnum Hunter Resources, Inc. 2,790,568 43,142,181
Maritrans, Inc. 108,500 2,592,065
* # Matrix Service Co. 215,730 890,965
* Meridian Resource Corp. 489,100 2,215,623
* Mission Resources Corp. 521,424 3,686,468
* Mitcham Industries, Inc. 134,928 947,195
* NATCO Group, Inc. Class A 141,900 1,526,844
* Newpark Resources, Inc. 925,900 5,647,990
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* Offshore Logistics, Inc. 774,700 24,263,604
* Oil States International, Inc. 121,483 2,813,546
Overseas Shipholding Group, Inc. 452,875 27,670,662
* Parker Drilling Co. 2,438,599 13,900,014
Resource America, Inc. 316,976 10,770,844
* Seabulk International, Inc. 556,300 10,909,043
* SEACOR Holdings, Inc. 623,566 36,204,242
* Spinnaker Exploration Co. 1,129,266 34,634,588
* Stone Energy Corp. 615,511 26,485,438
* Swift Energy Corp. 925,005 31,588,921
* T-3 Energy Services, Inc. 880 6,248
* Tel Offshore Trust 40,574 294,973
Tesoro Petroleum Corp. 1,157,200 50,453,920
* Tipperary Corp. 126,900 592,623
* # Torch Offshore, Inc. 215,000 26,337
* TransMontaigne, Inc. 998,924 8,271,091
* # U.S. Energy Corp. Wyoming 25,700 103,314
* Universal Compression Holdings, Inc. 1,045,984 35,772,653
USEC, Inc. 2,797,802 38,189,997
* Veritas DGC, Inc. 943,700 25,479,900
* Whiting Petroleum Corp. 9,400 325,052
----------------
Total Energy
(Cost $328,604,264) 550,480,338
----------------
Health Care -- (4.8%)
* Accelrys, Inc. 832,759 4,396,968
* Air Methods Corp. 259,451 1,759,078
* Albany Molecular Research, Inc. 300,572 3,579,813
* Allied Healthcare International, Inc. 228,160 1,578,867
* Allied Healthcare Products, Inc. 124,200 642,114
* Allscripts Healthcare Solutions, Inc. 31 507
* Almost Family, Inc. 8,250 98,010
Alpharma, Inc. Class A 1,388,800 17,873,856
American Shared Hospital Services 30,900 185,400
Analogic Corp. 152,388 6,474,966
* Angeion Corp. 315 753
* Aradigm Corp. 3,301 3,565
* Arena Pharmaceuticals, Inc. 871,172 5,967,528
* Argonaut Technologies, Inc. 6,299 5,921
* Arqule, Inc. 691,485 4,529,227
Atrion Corp. 36,100 2,359,135
* ATS Medical, Inc. 56,219 182,712
* Avigen, Inc. 666,089 1,991,606
* Beverly Enterprises, Inc. 1,276,800 15,794,016
* Bioanalytical Systems, Inc. 17,100 108,585
* BioScrip, Inc. 608,462 3,182,256
* Biosource International, Inc. 118,800 1,207,008
* Bruker BioSciences Corp. 182,593 766,891
* Caliper Life Sciences, Inc. 865,775 5,333,174
* Capital Senior Living Corp. 793,099 4,806,180
* Caprius, Inc. 72 216
* Cardiac Sciences, Inc. 107,444 105,295
* # Cardiotech International, Inc. 41,591 77,775
* CareCentric, Inc. 29,400 44,100
* # Cell Genesys, Inc. 83,150 483,102
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* Coast Dental Services, Inc. 48,533 174,719
* Compex Technologies, Inc. 216,826 815,266
* Conmed Corp. 442,611 13,871,429
* Corautus Genetics, Inc. 642 2,536
* Corixa Corp. 121,800 517,650
* Criticare Systems, Inc. 91,000 422,240
* Cross Country Healthcare, Inc. 576,922 9,778,828
* # CryoLife, Inc. 400 2,900
* # CuraGen Corp. 1,276,636 5,464,002
* # Curative Health Services, Inc. 462,318 1,188,157
* Curis, Inc. 20 79
* # CytRx Corp. 2,800 2,380
D&K Healthcare Resources, Inc. 451,249 3,682,192
Datascope Corp. 200 6,088
* Del Global Technologies Corp. 69,517 195,690
* Dendreon Corp. 4,200 22,218
* # Digital Angel Corp. 350,050 1,372,196
* Discovery Partners International, Inc. 624,909 1,843,482
* Dyax Corp. 216,796 1,008,101
* Emisphere Technologies, Inc. 145,427 564,257
* Encore Medical Corp. 103,490 525,729
* Endologix, Inc. 108,700 472,845
* First Horizon Pharmaceutical Corp. 64,231 1,207,543
* Fischer Imaging Corp. 39,500 109,810
* Five Star Quality Care, Inc. 245,775 1,676,186
* Genaissance Pharmaceuticals, Inc. 101,700 92,547
* Gene Logic, Inc. 1,051,748 3,544,391
* Genesis HealthCare Corp. 265,263 11,536,288
* GTC Biotherapeutics, Inc. 379,069 507,952
* Guilford Pharmaceuticals, Inc. 315,391 794,785
* Hanger Orthopedic Group, Inc. 730,600 3,726,060
* Harvard Bioscience, Inc. 412,729 1,328,987
* HealthTronics Surgical Services, Inc. 21,675 275,056
* HMS Holdings Corp. 343,637 2,130,549
Hooper Holmes, Inc. 1,867,000 7,468,000
* ImmunoGen, Inc. 303,998 1,811,828
* Incyte Corp. 737,121 5,624,233
* Innovative Clinical Solutions, Ltd. 4,226 17
* # Insmed, Inc. 36,825 46,768
* IntegraMed America, Inc. 56,400 589,380
* Iridex Corp. 89,000 534,000
* Kendle International, Inc. 400,960 4,623,069
Kewaunee Scientific Corp. 31,100 248,489
* Kindred Healthcare, Inc. 1,144,681 44,161,793
* # Lipid Sciences, Inc. 86,802 458,315
* Maxim Pharmaceuticals, Inc. 180,666 274,612
* Maxygen, Inc. 192,595 1,508,019
* MedCath Corp. 282,332 7,315,222
* Medical Staffing Network Holdings, Inc. 362,000 1,965,660
* Microtek Medical Holdings, Inc. 710,234 2,500,024
* Molecular Devices Corp. 83,159 1,606,632
* # Nanogen, Inc. 209,580 855,086
National Home Health Care Corp. 53,533 710,383
National Research Corp. 60,153 855,977
* Natus Medical, Inc. 70,200 709,020
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NDCHealth Corp. 40,400 677,104
* Neose Technologies, Inc. 15,721 41,346
* Neurogen Corp. 131,407 888,311
* New Brunswick Scientific Co., Inc. 103,193 552,083
* NMT Medical, Inc. 123,900 1,084,125
* North American Scientific, Inc. 137,561 412,683
NWH, Inc. 56,100 841,500
* # OCA, Inc. 1,663,800 6,821,580
* Orthologic Corp. 337,942 1,372,045
* Oscient Pharmaceutical Corp. 38,618 63,720
* Osteotech, Inc. 172,112 497,404
* Parexel International Corp. 1,726 31,500
* Pediatric Services of America, Inc. 236,000 3,112,840
* Per-Se Technologies, Inc. 234,979 4,457,552
* Pharmacopia Drug Discovery, Inc. 150,545 728,638
* PRAECIS Pharmaceuticals, Inc. 899,847 593,899
* Pure World, Inc. 100,500 198,990
* Quidel Corp. 50,950 223,161
* Radiologix, Inc. 255,792 1,005,263
* Res-Care, Inc. 528,510 7,045,038
* Rochester Medical Corp. 19,950 206,682
* # Rural/Metro Corp. 134,500 1,009,961
* Sangamo BioSciences, Inc. 8,400 31,500
* Sequenom, Inc. 668,851 635,408
* Sonic Innovations, Inc. 147,939 643,535
Span-American Medical System, Inc. 24,000 247,200
* SRI/Surgical Express, Inc. 86,600 392,731
* Strategic Diagnostics, Inc. 4,550 12,786
* Suncoast Naturals, Inc. 624 71
* SunLink Health Systems, Inc. 65,400 529,086
* # Sunrise Senior Living, Inc. 670,200 34,950,930
* Synovis Life Technologies, Inc. 94,696 724,424
* Theragenics Corp. 1,001,400 3,434,802
* Third Wave Technologies, Inc. 18,876 70,974
* Titan Pharmaceuticals, Inc. 304,298 654,241
* Transgenomic, Inc. 20,818 14,156
* # Trestle Holdings, Inc. 5,240 8,384
* Tripos, Inc. 7,200 25,920
* # U.S. Diagnostic, Inc. 20,800 0
* United American Healthcare Corp. 17,950 38,593
* Urologix, Inc. 45,500 198,835
* V.I. Technologies, Inc. 18 53
* Vical, Inc. 479,118 1,820,648
* Virologic, Inc. 784,915 2,142,818
* Wilson Greatbatch Technologies, Inc. 258,900 6,223,956
* Zoll Medical Corp. 37,797 897,301
* ZymeTx, Inc. 1,100 61
----------------
Total Health Care
(Cost $275,812,488) 321,832,127
----------------
Consumer Staples -- (4.6%)
Alliance One International, Inc. 2,803,307 17,969,198
# American Italian Pasta Co. 408,700 9,404,187
# Cal-Maine Foods, Inc. 113,658 737,640
* Carrington Laboratories, Inc. 121,900 453,468
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Casey's General Stores, Inc. 603,352 10,884,470
* Central Garden & Pet Co. 385,385 17,091,825
Chiquita Brands International, Inc. 885,273 25,743,739
Corn Products International, Inc. 625,500 13,817,295
* Cruzan International, Inc. 73,100 1,019,745
* Foodarama Supermarkets, Inc. 12,900 399,900
* Fresh Brands, Inc. 2,900 19,546
Golden Enterprises, Inc. 17,200 63,640
* # Great Atlantic & Pacific Tea Co., Inc. 1,028,200 25,633,026
* Griffin Land & Nurseries, Inc. Class A 25,000 600,000
* Hain Celestial Group, Inc. 730,169 13,143,042
Imperial Sugar Co. (NEW) 243,452 3,749,161
Ingles Market, Inc. Class A 371,422 4,694,774
* Katy Industries, Inc. 133,000 464,170
Longs Drug Stores Corp. 1,268,200 52,046,928
* M&F Worldwide Corp. 582,676 7,452,426
Marsh Supermarkets, Inc. Class A 36,900 415,125
Marsh Supermarkets, Inc. Class B 59,400 751,410
MGP Ingredients, Inc. 221,989 1,855,828
* Monterey Pasta Co. 472,200 1,426,044
# Nash Finch Co. 374,343 13,319,124
* Natrol, Inc. 122,500 343,000
* Natural Alternatives International, Inc. 81,500 616,140
Northland Cranberries, Inc. 500 170
Oil-Dri Corp. of America 47,700 815,670
* Omega Protein Corp. 646,100 4,587,310
* Pathmark Stores, Inc. 954,190 8,540,000
* Performance Food Group Co. 259,321 7,017,226
* PriceSmart, Inc. 319,192 2,234,344
Pyramid Breweries, Inc. 110,100 208,001
* # Redhook Ale Brewery, Inc. 126,500 385,825
Ruddick Corp. 12,491 300,159
* San Filippo (John B.) & Son, Inc. 115,305 2,438,701
* Scheid Vineyards, Inc. 34,100 197,780
Scope Industries 8,100 566,190
Seaboard Corp. 23,576 31,709,720
* Seneca Foods Corp. Class B 10,500 173,512
* Smart & Final Food, Inc. 204,800 2,222,080
* Spartan Stores, Inc. 113,219 1,460,525
Stephan Co. 51,500 229,175
Tasty Baking Co. 241,200 1,929,600
Universal Corp. 449,928 19,976,803
* Weider Nutrition International, Inc. 166,500 679,320
Weis Markets, Inc. 26,400 969,936
* Wild Oats Markets, Inc. 8,164 91,763
* # Winn-Dixie Stores, Inc. 1,578,500 1,657,425
----------------
Total Consumer Staples
(Cost $216,413,498) 312,506,086
----------------
Telecommunication Services -- (0.9%)
Alaska Communications Systems Group, Inc. 251,100 2,377,917
* Boston Communications Group, Inc. 309,111 429,664
* Cincinnati Bell, Inc. 123,800 489,010
* # Cogent Communications Group, Inc. 257 5,914
CT Communications, Inc. 383,330 4,638,293
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D&E Communications, Inc. 232,042 1,877,220
* GoAmerica, Inc. 559 3,891
Hector Communications Corp. 10,600 243,800
* IDT Corp. 695,022 9,375,847
* IDT Corp. Class B 1,460,200 20,004,740
* LCC International, Inc. Class A 335,372 1,197,278
* Metro One Telecommunications, Inc. 436,119 409,952
* Price Communications Corp. 876,426 15,065,763
SureWest Communications 105,299 2,506,116
* TALK America Holdings, Inc. 285,777 2,540,558
* Teleglobe International Holdings, Ltd. 123,955 295,013
* Time Warner Telecom, Inc. 498,936 2,544,574
* Xeta Corp. 30,500 97,600
----------------
Total Telecommunication Services
(Cost $69,878,679) 64,103,150
----------------
Utilities -- (0.4%)
Black Hills Corp. 3 110
* CMS Energy Corp. 96,269 1,273,639
Delta Natural Gas Co., Inc. 27,300 702,156
* Dynegy, Inc. 119,900 557,535
Empire District Electric Co. 12,400 284,952
Florida Public Utilities Co. 1,800 31,860
Maine & Maritimes Corp. 400 10,700
South Jersey Industries, Inc. 441,391 25,026,870
Southwest Gas Corp. 1,700 42,466
----------------
Total Utilities
(Cost $17,089,320) 27,930,288
----------------
Other -- (0.0%)
* Big 4 Ranch, Inc. 73,300 0
* Bush Industries, Inc. Escrow 1,800 42
* Career Blazers, Inc. Trust Units 9,540 0
* Celebrity, Inc. Escrow Shares 26,325 0
* Denali, Inc. 69,500 0
* ePresence, Inc. Escrow Shares 312,600 40,638
* Hoenig Group Escrow Shares 104,700 0
* # Imperial Sugar Co. 282,800 0
* Medical Resources, Inc. 1,619 0
* Noel Group, Inc. 95,400 1,431
* Petrocorp, Inc. Escrow Shares 102,600 6,156
* StorageNetworks, Inc. Escrow Shares 362,800 9,832
* Suburban Lodges of America, Inc. Escrow Shares 241,100 0
* # Trenwick Group, Ltd. 199,776 999
* # Trump Entertainment Resorts, Inc. 265 3,453
* Wireless WebConnect!, Inc. 1,400 15
----------------
Total Other
(Cost $4,824,168) 62,566
----------------
TOTAL COMMON STOCKS
(Cost $5,394,851,395) 6,448,131,477
----------------
26
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RIGHTS/WARRANTS -- (0.0%)
Other -- (0.0%)
* American Banknote Corp. Warrants Series 1 10/01/07 257 0
* American Banknote Corp. Warrants Series 2 10/01/07 257 0
* # Angeion Corp. Warrants 10/31/20 315 0
* Chart Industries, Inc. Warrants 09/15/10 3 76
* Chiquita Brands International, Inc. Warrants 03/19/09 142,110 1,550,420
* CSF Holding, Inc. Litigation Rights 40,500 0
* Del Global Technologies Corp. Warrants 03/28/08 19,927 29,891
* # Foster Wheelers, Ltd. Warrants 09/24/07 927,100 0
* Imperial Credit Industries, Inc. Warrants 01/31/08 4,082 1
* Imperial Sugar Co. Warrants 08/29/08 9,694 6,786
* Milltope Group, Inc. Contigent Value Rights 53,600 0
PMR Corp. Contingent Value Rights 105,000 0
* Timco Aviation Services, Inc. Warrants 02/27/07 25,879 3
* Trico Marine Services, Inc. Warrants 03/15/08 Series B 9,256 14,717
* Trico Marine Services, Inc. Warrants 03/15/10 Series A 9,256 37,024
* # Trump Entertainment Resorts, Inc. Warrants 05/23/06 29,394 0
* Virologic, Inc. Contingent Value Rights 784,916 137,360
----------------
Total Other
(Cost $9,788,772) 1,776,278
----------------
Consumer Discretionary -- (0.0%)
* Lodgian, Inc. Class A Warrants 11/25/07 3,433 120
* Lodgian, Inc. Class B Warrants 11/25/09 10,609 212
----------------
Total Consumer Discretionary
(Cost $0) 332
----------------
Consumer Staples -- (0.0%)
* Cruzan International, Inc. Rights 06/21/05 14,620 0
----------------
(Cost $0)
TOTAL RIGHTS/WARRANTS
(Cost $9,788,772) 1,776,610
----------------
FACE
AMOUNT VALUE+
---------------- ----------------
(000)
BONDS -- (0.0%)
Other -- (0.0%)
* Del Global Technologies Corp. Subordinated Promissory Note
6.000%, 03/28/07 $ 40 0
* Timco Aviation Services, Inc. Jr. Subordinated Note
8.000%, 01/02/07 6 0
----------------
Total Other
(Cost $0) 0
----------------
TOTAL BONDS
(Cost $0) 0
----------------
TEMPORARY CASH INVESTMENTS -- (4.9%)
^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.92%, 06/01/05
(Collateralized by $545,515,000 U.S. STRIPS 6.125%, 11/15/27, valued at
$196,008,995) to be repurchased at $192,180,081 (Cost $192,164,494) 192,164 192,164,494
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $142,182,000 FHLMC Notes 4.00%, 09/22/09, valued at
$142,359,728) to be repurchased at $140,266,259 (Cost $140,255,000) 140,255 140,255,000
----------------
332,419,494
----------------
27
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TOTAL TEMPORARY CASH INVESTMENTS
(Cost $332,419,494) 332,419,494
----------------
TOTAL INVESTMENTS - (100.0%)
(Cost $5,737,059,661) $ 6,782,327,581
================
----------
+ See Note B to Financial Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
28
THE U.S. SMALL CAP SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
[Download Table]
SHARES VALUE+
---------------- ----------------
COMMON STOCKS -- (94.8%)
Information Technology -- (19.9%)
* 24/7 Real Media, Inc. 3,180 $ 9,667
* 3Com Corp. 14,400 52,704
* # 8X8, Inc. 19,200 37,056
* Access Integrated Technologies, Inc. 1,000 6,300
* # ACE*COMM Corp. 7,500 15,900
* Actel Corp. 66,135 978,137
* ActivCard Corp. 110,943 457,085
* Actuate Corp. 163,700 350,318
* Adaptec, Inc. 286,800 1,141,464
* ADDvantage Technologies Group, Inc. 4,200 13,146
* ADE Corp. 13,300 298,319
* Adept Technology, Inc. 1,400 11,270
Adtran, Inc. 86,129 1,892,254
* Advanced Digital Information Corp. 162,800 1,118,436
* Advanced Energy Industries, Inc. 88,064 840,131
* # Advanced Photonix, Inc. 9,000 19,800
* Advanced Power Technology, Inc. 26,695 172,183
* Advent Software, Inc. 87,885 1,762,973
* Aehr Test Systems 7,100 21,442
* Aeroflex, Inc. 194,750 1,558,000
* Aetrium, Inc. 9,300 23,994
* Agile Software Corp. 137,671 887,978
Agilysys, Inc. 83,888 1,290,197
* Airspan Networks, Inc. 101,300 484,214
* Akamai Technologies, Inc. 82,588 1,159,536
Allen Organ Co. Class B 800 44,540
* Alliance Semiconductor Corp. 94,300 158,424
* Allied Motion Technologies, Inc. 2,900 13,862
* Alpha Technologies Group, Inc. 7,100 320
* Altiris, Inc. 72,700 1,366,760
American Software, Inc. Class A 54,205 279,698
* American Technical Ceramics Corp. 8,000 83,520
* Amistar Corp. 1,600 4,832
* Amkor Technology, Inc. 446,050 1,583,478
* Ampex Corp. Class A 5,925 210,338
* Amtech Systems, Inc. 1,900 11,381
* Anadigics, Inc. 82,200 134,808
* Analex Corp. 37,500 122,625
* Analysts International Corp. 62,486 205,579
* Analytical Surveys, Inc. 730 1,175
* Anaren, Inc. 50,100 593,184
* Anixter International, Inc. 101,100 3,822,591
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* Ansoft Corp. 30,839 687,710
* AnswerThink, Inc. 116,025 459,459
* Ansys, Inc. 81,888 2,730,146
* Anteon International Corp. 97,700 4,317,363
* APA Enterprises, Inc. 11,800 18,644
* Apogee Technology, Inc. 5,400 6,534
* Applied Films Corp. 37,961 1,021,151
* Applied Innovation, Inc. 15,100 73,537
* Applied Micro Circuits Corp. 358,000 1,027,460
* Applix, Inc. 26,500 127,730
* Apropos Technology, Inc. 46,200 118,734
* aQuantive, Inc. 161,325 2,482,792
* # Ardent Communications, Inc. 12,900 13
* Ariba, Inc. 164,121 1,006,062
* Arris Group, Inc. 236,500 2,048,090
* Art Technology Group, Inc. 121,085 130,772
* # Artisoft, Inc. 2,400 3,960
* ASA International, Ltd. 640 2,016
* Ask Jeeves, Inc. 129,700 3,944,177
* Aspect Communications Corp. 156,883 1,506,077
* # Aspen Technology, Inc. 92,664 485,559
* Astea International, Inc. 2,900 21,431
Astro-Med, Inc. 9,830 86,013
* Asyst Technologies, Inc. 104,400 439,524
* Atari, Inc. 315,361 778,942
* ATMI, Inc. 84,833 2,383,807
* August Technology Corp. 44,500 505,965
* Authentidate Holding Corp. 89,400 262,836
* autobytel.com, Inc. 91,700 445,662
* # Avanex Corp. 349,695 353,192
* # Avici Systems, Inc. 33,643 150,048
* Avocent Corp. 62,819 1,758,932
* Aware, Inc. 60,459 399,029
* Axcelis Technologies, Inc. 269,900 1,794,835
* Axesstel, Inc. 50,200 187,246
* # AXS-One, Inc. 73,700 123,816
* AXT, Inc. 38,700 48,762
* Bankrate, Inc. 7,000 127,890
* BearingPoint, Inc. 12,500 81,875
BEI Technologies, Inc. 40,200 1,033,542
Bel Fuse, Inc. Class A 2,600 65,754
Bel Fuse, Inc. Class B 7,650 228,735
Belden CDT, Inc. 83,439 1,678,793
* Bell Industries, Inc. 8,900 19,669
* Bell Microproducts, Inc. 74,731 612,794
* Benchmark Electronics, Inc. 111,600 3,534,372
* BindView Development Corp. 125,800 392,496
* Bitstream, Inc. 8,400 23,184
Black Box Corp. 45,300 1,557,414
* Blonder Tongue Laboratories, Inc. 9,800 28,420
* Blue Coat Systems, Inc. 32,886 638,317
Bogen Communications International, Inc. 12,500 59,688
* # Bookham, Inc. 28,147 78,812
* Borland Software Corp. 209,200 1,338,880
* Bottomline Technologies, Inc. 46,306 628,835
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* Brightpoint, Inc. 52,600 988,880
* # BroadVision, Inc. 86,077 120,508
* Brocade Communications Systems, Inc. 90,424 353,558
* Brooks Automation, Inc. 121,539 1,832,808
* Brooktrout, Inc. 34,407 343,038
* Cabot Microelectronics Corp. 66,700 2,089,711
* CalAmp Corp. 57,928 382,325
* California Micro Devices Corp. 57,600 276,480
* Callidus Software 32,000 110,400
* CAM Commerce Solutions, Inc. 3,000 47,220
* Canterbury Consulting Group, Inc. 1,571 511
* Captaris, Inc. 78,928 285,719
* Captiva Software Corp. 7,660 102,797
* Carreker Corp. 21,871 114,823
* Carrier Access Corp. 88,789 427,963
* Catalyst Semiconductor, Inc. 47,440 215,378
* Catapult Communications Corp. 38,891 547,196
* CCC Information Services Group, Inc. 57,848 1,352,486
* C-COR, Inc. 123,600 850,368
* CDC Corp. 4,282 10,705
Celeritek, Inc. 28,400 23,288
* CellStar Corp. 53,118 69,053
* Centillium Communications, Inc. 100,889 220,947
* Centra Software, Inc. 71,644 123,228
* # Cenuco, Inc. 32,600 107,906
* CEVA, Inc. 36,896 268,603
* Checkpoint Systems, Inc. 103,600 1,825,432
* Cherokee International Corp. 16,842 69,221
* Chordiant Software, Inc. 173,200 296,172
* # Chyron Corp. 23,000 8,050
* Ciber, Inc. 164,412 1,339,958
* Ciena Corp. 66,100 144,098
* Ciprico, Inc. 4,900 21,315
* Cirrus Logic, Inc. 220,918 1,144,355
* Clarus Corp. 33,800 260,260
* ClearOne Communications, Inc. 11,000 36,740
* CMGI, Inc. 124,200 270,756
* CNET Networks, Inc. 373,500 3,876,930
Cognex Corp. 124,600 3,234,616
* Cognitronics Corp. 4,250 16,065
* Coherent, Inc. 80,078 2,628,961
Cohu, Inc. 56,798 1,091,658
* Comarco, Inc. 10,200 81,498
* # Commerce One, Inc. 45,000 5,670
* CommScope, Inc. 145,500 2,461,860
Communications Systems, Inc. 8,200 82,820
* Competitive Technologies, Inc. 6,100 66,734
* Computer Horizons Corp. 37,400 108,460
* Computer Network Technology Corp. 68,110 340,550
* Computer Task Group, Inc. 37,600 131,600
* Comtech Telecommunications Corp. 55,800 2,018,286
* Concord Communications, Inc. 49,400 835,848
* Concur Technologies, Inc. 86,603 830,523
* Concurrent Computer Corp. 151,900 276,458
* Conexant Systems, Inc. 226,933 324,514
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* Convera Corp. 98,574 424,854
* # Copper Mountain Networks, Inc. 16,910 15,557
* Corillian Corp. 100,861 324,268
* Cosine Communications, Inc. 23,321 54,804
* Covansys Corp. 48,200 590,450
* # C-Phone Corp. 8,900 62
* Cray, Inc. 229,248 334,702
* Credence Systems Corp. 234,147 1,854,444
* # Critical Path, Inc. 16,400 7,708
* Crossroads Systems, Inc. 42,369 39,827
* CSG Systems International, Inc. 137,732 2,619,663
* CSP, Inc. 3,500 34,335
CTS Corp. 95,559 1,017,703
* # Cyberguard Corp. 79,385 509,652
* Cyberoptics Corp. 22,911 294,635
* Cybersource Corp. 89,800 602,558
* Cymer, Inc. 99,886 2,837,761
* Cypress Semiconductor Corp. 307,400 3,974,682
* Daktronics, Inc. 50,766 1,182,340
* Data I/O Corp. 7,600 22,040
* Data Systems & Software, Inc. 7,300 8,760
* Datalink Corp. 13,300 32,718
* Dataram Corp. 21,500 125,990
* Datastream Systems, Inc. 20,100 119,193
* DataTRAK International, Inc. 5,200 99,840
* Datawatch Corp. 4,132 17,354
* Delphax Technologies, Inc. 6,100 22,771
* Digi International, Inc. 59,526 698,240
* Digimarc Corp. 43,365 221,162
* Digital Insight Corp. 95,902 2,084,909
* Digital Lightwave, Inc. 378 185
* Digital River, Inc. 91,000 2,504,320
* Digital Theater Systems, Inc. 37,489 640,687
* Digitas, Inc. 234,156 2,592,107
* Diodes, Inc. 12,150 403,988
* Dionex Corp. 56,215 2,521,243
* Display Technologies, Inc. 11,330 9
* Ditech Communications Corp. 89,455 644,971
* DocuCorp International, Inc. 29,353 196,665
* Document Sciences Corp. 14,200 98,690
* Dot Hill Systems Corp. 113,460 602,473
* DoubleClick, Inc. 326,518 2,687,243
* DPAC Technologies Corp. 13,541 3,656
* DSP Group, Inc. 75,600 1,778,112
* DuraSwitch Industries, Inc. 10,500 15,603
* Dynamics Research Corp. 16,098 239,699
* E.piphany, Inc. 199,247 695,372
* EarthLink, Inc. 264,575 2,807,141
* EasyLink Services Corp. 7,969 7,810
* Echelon Corp. 104,806 720,017
* eCollege.com 58,575 605,080
* EDGAR Online, Inc. 45,684 132,027
* Edgewater Technology, Inc. 11,569 50,325
* EFJ, Inc. 9,100 64,610
* eFunds Corp. 128,506 2,598,391
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* Electro Scientific Industries, Inc. 68,993 1,237,734
* Electroglas, Inc. 56,200 193,890
* Electronics for Imaging, Inc. 137,900 2,620,100
* eLoyalty Corp. 6,700 33,165
* Embarcadero Technologies, Inc. 63,250 361,158
* EMCORE Corp. 121,961 484,185
* EMS Technologies, Inc. 28,274 381,699
* Emulex Corp. 206,800 3,908,520
* En Pointe Technologies, Inc. 6,500 17,875
* # Endwave Corp. 6,800 245,140
* Entegris, Inc. 191,838 1,860,829
* Enterrasys Networks, Inc. 378,100 351,633
* Entrust, Inc. 162,900 666,261
* Epicor Software Corp. 137,655 1,697,286
* EPIQ Systems, Inc. 46,450 759,458
* ePlus, Inc. 22,490 278,898
* Equinix, Inc. 60,920 2,321,052
* ESS Technology, Inc. 100,400 413,648
* Euronet Worldwide, Inc. 88,036 2,468,529
* Evans & Sutherland Computer Corp. 10,400 53,404
* Evolving Systems, Inc. 12,600 33,390
* Exar Corp. 108,108 1,556,755
* Excel Technology, Inc. 31,372 785,869
* Extended Systems, Inc. 11,100 37,851
* Extreme Networks, Inc. 315,821 1,443,302
* Ezenia! Inc. 200 530
* F5 Networks, Inc. 6,619 338,959
Factset Research Systems, Inc. 120,200 3,847,602
* # FalconStor Software, Inc. 122,705 896,974
* Fargo Electronics 32,700 590,235
* Faro Technologies, Inc. 36,260 1,008,753
* FEI Co. 86,558 1,802,138
* Filenet Corp. 107,480 2,994,393
* FindWhat.com 79,200 421,344
* Finisar Corp. 366,256 435,845
* Firstwave Technologies, Inc. 2,600 4,485
* FOCUS Enhancements, Inc. 3,132 2,349
* Forgent Networks, Inc. 64,800 116,640
* FormFactor, Inc. 97,362 2,533,359
* Forrester Research, Inc. 56,729 936,029
* Foundry Networks, Inc. 78,800 728,112
Frequency Electronics, Inc. 8,300 97,110
* FSI International, Inc. 77,900 292,904
* Gartner Group, Inc. 231,800 2,299,456
* Gartner, Inc. 50,500 496,920
* Gateway, Inc. 164,800 570,208
* Genesis Microchip, Inc. 79,062 1,308,476
* Gerber Scientific, Inc. 58,000 428,040
* Giga-Tronics, Inc. 4,600 18,630
* Glenayre Technologies, Inc. 139,427 446,166
* # Global e-Point, Inc. 3,008 9,084
* Global Imaging Systems, Inc. 61,056 1,940,970
* Globecomm Systems, Inc. 16,500 91,740
* # Glowpoint, Inc. 58,350 77,606
* GoRemote Internet Communications, Inc. 74,000 115,440
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* GTSI Corp. 22,020 180,124
* Halifax Corp. 1,000 3,860
* Harmonic, Inc. 187,846 1,170,281
* Hauppauge Digital, Inc. 8,800 33,880
* HEI, Inc. 7,600 23,184
Helix Technology Corp. 67,924 856,522
* HI/FN, Inc. 19,600 130,144
* HomeStore, Inc. 292,445 611,210
* Hutchinson Technology, Inc. 65,400 2,705,598
* Hypercom Corp. 135,100 857,885
* # HyperFeed Technologies, Inc. 1,450 2,683
* Hyperion Solutions Corp. 48,824 2,154,603
* # Ibis Technology Corp. 27,000 34,020
* iCAD, Inc. 3,600 12,780
* Identix, Inc. 253,512 1,391,781
* iGATE Capital Corp. 134,823 589,177
* # ImageWare Systems, Inc. 6,900 22,977
* I-many, Inc. 47,700 75,366
Imation Corp. 87,700 3,311,552
* Immersion Corp. 61,500 360,390
* Indus International, Inc. 34,900 78,525
* # Infocrossing, Inc. 52,491 575,301
* InFocus Corp. 102,689 427,186
* Informatica Corp. 226,800 1,945,944
* Information Architects Corp. 1,080 167
Inforte Corp. 28,500 97,755
* InfoSpace, Inc. 86,146 2,922,072
infoUSA, Inc. 138,305 1,670,724
* Innodata Isogen, Inc. 58,300 174,317
* Innovex, Inc. 49,800 168,324
* Insightful Corp. 6,300 20,790
* InsWeb Corp. 1,633 4,572
Integral Systems, Inc. 9,200 200,100
* Integral Vision, Inc. 2,200 3,520
* Integrated Circuit Systems, Inc. 85,408 1,809,796
* Integrated Device Technology, Inc. 273,313 3,342,618
* Integrated Silicon Solution, Inc. 94,694 620,246
* # Intelli-Check, Inc. 28,000 154,280
* Intellidata Technologies Corp. 45,578 15,497
* Intelligent Systems Corp. 4,500 9,360
* Intelligroup, Inc. 31,400 37,052
* # Intellisync Corp. 155,850 416,120
* Interactive Intelligence, Inc. 41,441 202,232
* Interdigital Communications Corp. 143,000 2,639,780
* Intergraph Corp. 87,400 2,743,486
* Interland, Inc. 41,810 79,439
* Interlink Electronics, Inc. 35,600 190,104
* # Intermix Media, Inc. 83,200 493,376
* International Microcomputer Software, Inc. 5,100 5,967
* Internet Commerce Corp. 4,000 6,480
* Internet Security Systems, Inc. 131,851 2,927,092
* Interphase Corp. 5,400 38,070
Inter-Tel, Inc. 69,300 1,422,729
* Intervoice, Inc. 95,818 858,529
* Interwoven, Inc. 105,307 838,244
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* Intest Corp. 8,600 30,865
* Intevac, Inc. 36,201 376,852
* Intrado, Inc. 44,810 573,120
* Intraware, Inc. 4,500 1,755
* IntriCon Corp. 4,750 9,025
* # Intrusion, Inc. 4,050 11,421
* Iomega Corp. 138,195 427,023
* iPass, Inc. 77,300 476,941
* # IPIX Corp. 4,350 11,615
* I-Sector Corp. 10,400 84,656
* # Island Pacific, Inc. 73,700 13,266
* Iteris, Inc. 6,520 17,148
* Itron, Inc. 55,000 2,261,050
* iVillage, Inc. 188,922 1,139,200
* Ixia 162,447 2,987,400
* IXYS Corp. 86,424 1,195,244
* j2 Global Communication, Inc. 65,732 2,305,879
* Jaco Electronics, Inc. 5,659 17,771
* JDA Software Group, Inc. 75,012 969,155
* JMAR Industries, Inc. 23,700 29,862
* Jupitermedia Corp. 87,569 1,598,134
* Keane, Inc. 161,264 2,164,163
Keithley Instruments, Inc. 36,900 543,537
* Kemet Corp. 225,023 1,575,161
* Key Tronic Corp. 8,600 31,648
* Keynote Systems, Inc. 18,600 215,760
* Kintera, Inc. 14,476 44,731
* Komag, Inc. 72,609 2,094,770
* Kopin Corp. 181,991 700,665
* Kronos, Inc. 69,500 3,138,620
* Kulicke & Soffa Industries, Inc. 133,634 776,414
Landauer, Inc. 23,300 1,138,205
* Lantronix, Inc. 15,000 20,550
* # LaserCard Corp. 29,724 178,344
* Lattice Semiconductor Corp. 285,451 1,204,603
* Lawson Software, Inc. 257,608 1,525,039
* LeCroy Corp. 31,613 520,350
* # Level 8 Systems, Inc. 3,729 216
* # Lexar Media, Inc. 205,597 1,032,097
Liberate Technologies, Inc. 106,300 32,953
* Lightbridge, Inc. 68,876 432,541
* Lightning Rod Software, Inc. 580 539
* LightPath Technologies, Inc. 1,850 4,810
* Lionbridge Technologies, Inc. 121,646 605,797
* Littlefuse, Inc. 58,600 1,762,688
* Logic Devices, Inc. 6,700 8,978
* LogicVision, Inc. 53,741 96,734
* Logility, Inc. 13,200 59,400
* LoJack Corp. 42,400 624,976
Lowrance Electronics, Inc. 6,692 138,859
* LTX Corp. 158,700 760,173
* Macrovision Corp. 129,293 2,716,446
* Magma Design Automation, Inc. 91,283 727,526
* MAI Systems Corp. 500 30
* Management Network Group, Inc. 57,200 134,420
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* Manatron, Inc. 1,102 10,436
* Manchester Technologies, Inc. 8,000 50,160
* Manhattan Associates, Inc. 77,494 1,645,973
* Manugistic Group, Inc. 190,000 342,000
* Mapinfo Corp. 52,999 660,368
* # Marchex, Inc. Class B 4,759 71,004
* MatrixOne, Inc. 134,044 612,581
* Mattson Technology, Inc. 133,745 1,045,886
Maximus, Inc. 55,400 1,899,666
* Maxtor Corp. 502,000 2,755,980
* Maxwell Technologies, Inc. 38,460 395,369
* McDATA Corp. 204,501 779,149
* MDI, Inc. 14,000 7,140
* Measurement Specialties, Inc. 12,900 250,260
* Mechanical Technology, Inc. 6,200 22,134
* MedQuist, Inc. 64,700 841,747
* Mentor Graphics Corp. 202,927 2,086,090
* Merix Corp. 49,513 358,969
* MetaSolv, Inc. 105,579 218,549
Methode Electronics, Inc. 34,100 407,154
* Metrologic Instruments, Inc. 56,200 778,932
* Micrel, Inc. 234,173 2,716,407
* Micro Linear Corp. 31,616 184,954
* Micromuse, Inc. 117,493 737,856
* Micros Systems, Inc. 98,104 4,412,718
* Microsemi Corp. 158,838 3,276,828
* MicroStrategy, Inc. 33,400 1,860,380
* Microtune, Inc. 147,547 652,158
* # Midway Games, Inc. 224,900 1,990,365
* Mindspeed Technologies, Inc. 262,730 375,704
* MIPS Technologies, Inc. 109,400 943,028
* Mitek Systems, Inc. 5,800 3,654
* MKS Instruments, Inc. 138,807 2,318,077
* Mobility Electronics, Inc. 73,840 649,792
* Mobius Management Systems, Inc. 17,100 105,507
Mocon, Inc. 5,500 52,250
* Moldflow Corp. 27,256 359,779
* Monolithic System Technology, Inc. 49,133 273,671
* Motive, Inc. 26,900 233,761
* MPS Group, Inc. 269,200 2,525,096
* MRO Software, Inc. 65,222 978,330
* MRV Communications, Inc. 270,781 500,945
* # MSC.Software Corp. 63,900 657,212
* MSGI Security Solutions, Inc. 942 6,830
* # MTI Technology Corp. 1,300 2,132
* MTM Technologies, Inc. 4,900 19,453
MTS Systems Corp. 51,887 1,655,714
* Mykrolis Corp. 108,700 1,466,363
* # Nanometrics, Inc. 45,794 516,556
* Napco Security Systems, Inc. 5,160 47,627
* Napster, Inc. 1,629 6,907
* Neoforma, Inc. 52,714 361,091
* NeoMagic Corp. 46,677 17,270
* NEON Systems, Inc. 8,600 26,660
* Neoware Systems, Inc. 42,000 425,040
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* Net Perceptions, Inc. 22,600 18,306
* Net2Phone, Inc. 115,300 184,480
* NETGEAR, Inc. 43,093 847,639
* Netguru, Inc. 17,200 17,888
* NetIQ Corp. 141,587 1,563,120
* NetManage, Inc. 10,442 66,307
* Netopia, Inc. 43,200 144,504
* NetRatings, Inc. 91,131 1,241,204
* Netscout System, Inc. 78,950 486,332
* Network Engines, Inc. 78,500 133,450
* Network Equipment Technologies, Inc. 64,900 362,791
* Newport Corp. 111,718 1,569,638
* NIC, Inc. 186,278 817,760
* Niku Corp. 36,000 541,440
* NMS Communications Corp. 142,200 462,150
* Novatel Wireless, Inc. 75,202 937,769
* Nu Horizons Electronics Corp. 43,900 258,132
* Nuance Communications, Inc. 66,500 313,215
* NumereX Corp. Class A 10,800 51,948
* NYFIX, Inc. 81,014 409,121
* O.I. Corp. 2,700 32,063
* # OmniVision Technologies, Inc. 147,200 2,328,704
* # Omtool, Ltd. 3,570 20,885
* ON Semiconductor Corp. 648,860 2,919,870
* Online Resources Corp. 50,800 494,792
* ONYX Software Corp. 38,850 130,148
* Open Solutions, Inc. 5,200 92,300
* Opent Technologies, Inc. 51,832 419,321
* OpenTV Corp. 39,946 111,449
* Openwave Systems, Inc. 176,422 2,743,362
* Oplink Communications, Inc. 53,100 79,119
* Opsware, Inc. 246,692 1,226,059
* OPTi, Inc. 11,600 19,488
* Optical Cable Corp. 13,300 59,318
* Optical Communication Products, Inc. 77,950 139,531
* OSI Systems, Inc. 42,200 628,780
* Overland Storage, Inc. 36,275 351,505
* OYO Geospace Corp. 10,600 173,437
* Packeteer, Inc. 87,600 1,039,812
* # PalmOne, Inc. 126,792 3,603,429
* PalmSource, Inc. 38,881 389,976
* Panavision, Inc. 3,600 19,800
* PAR Technology Corp. 7,800 223,470
* Paradyne Networks Corp. 111,455 219,566
* Parametric Technology Corp. 515,069 3,100,715
Park Electrochemical Corp. 50,950 1,182,040
* # Parkervision, Inc. 46,081 207,365
* Parlex Corp. 13,800 81,420
* # Path 1 Network Technologies, Inc. 17,600 70,400
* Paxar Corp. 103,100 1,816,622
* PC Connection, Inc. 63,650 325,252
* PC-Tel, Inc. 53,900 394,009
* PDF Solutions, Inc. 66,393 779,454
* PEC Solutions, Inc. 71,717 1,112,331
* Peerless Systems Corp. 24,300 87,966
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* Pegasus Solutions, Inc. 55,957 602,097
* Pegasystems, Inc. 91,238 544,691
* Pemstar, Inc. 73,200 86,376
* Perceptron, Inc. 22,768 148,675
* Performance Technologies, Inc. 33,200 223,436
* Pericom Semiconductor Corp. 68,736 550,575
* Pervasive Software, Inc. 56,639 262,239
* Pfsweb, Inc. 9 19
* Phoenix Technologies, Ltd. 64,336 522,408
* Photon Dynamics, Inc. 44,000 849,640
* Photronics, Inc. 84,600 1,948,338
* Pinnacle Systems, Inc. 170,500 1,007,655
* Pixelworks, Inc. 51,000 437,070
* Planar Systems, Inc. 37,400 300,696
* PLATO Learning, Inc. 58,366 445,916
* Plexus Corp. 110,200 1,515,250
* Plumtree Software, Inc. 1,504 6,918
* PLX Technology, Inc. 69,038 526,070
* PMC-Sierra, Inc. 7,800 68,406
* Porta Systems Corp. 300 45
* Portal Software, Inc. 98,020 193,099
* Power Intergrations, Inc. 80,700 1,922,274
* PowerCerv Corp. 1,755 983
* Powerwave Technologies, Inc. 263,145 2,402,514
* Presstek, Inc. 90,598 773,707
Printronix, Inc. 5,800 92,104
* Private Business, Inc. 945 1,531
* Procom Technology, Inc. 5,400 8,640
Programmers Paradise, Inc. 5,200 53,404
* Progress Software Corp. 95,000 2,771,150
* Proxim Corp. 6,726 2,152
QAD, Inc. 87,759 616,068
Quality Systems, Inc. 34,009 2,044,961
* Qualstar Corp. 5,500 20,625
* Quantum Corp. 262,800 683,280
* Quest Software, Inc. 251,077 3,320,493
* QuickLogic Corp. 68,600 299,782
* # Quokka Sports, Inc. 1,128 8
* Quovadx, Inc. 62,047 168,768
* Radiant Systems, Inc. 74,944 783,914
* RadiSys Corp. 50,862 822,439
* Radyne ComStream, Inc. 9,500 81,415
* Raindance Communictions, Inc. 97,696 200,277
* Rambus, Inc. 36,020 552,187
* Ramtron International Corp. 58,000 158,334
* RealNetworks, Inc. 444,519 2,271,492
* Redback Networks, Inc. 139,033 792,488
* Register.com, Inc. 44,100 275,625
* Reliability, Inc. 2,100 420
* Relm Wireless Corp. 7,600 17,860
* REMEC, Inc. 72,006 450,042
* Remote Dynamics, Inc. 276 428
Renaissance Learning, Inc. 80,215 1,585,851
* Research Frontiers, Inc. 700 3,052
* RF Micro Devices, Inc. 487,555 2,267,131
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* RF Monolithics, Inc. 19,600 123,480
Richardson Electronics, Ltd. 40,925 364,233
* Rimage Corp. 8,600 181,890
* Robotic Vision Systems, Inc. 3,480 111
* Rofin-Sinar Technologies, Inc. 39,177 1,265,417
* Rogers Corp. 43,600 1,804,604
* RSA Security, Inc. 180,844 2,224,381
* Rudolph Technologies, Inc. 43,700 630,154
* S1 Corp. 191,706 858,843
* Saba Software, Inc. 29,577 120,083
* Safeguard Scientifics, Inc. 208,000 205,920
* SafeNet, Inc. 62,104 1,951,308
* Sapient Corp. 323,394 2,716,510
* SatCon Technology Corp. 52,200 71,514
* SBE, Inc. 3,500 7,595
* SBS Technologies, Inc. 40,530 393,546
* ScanSoft, Inc. 270,653 1,098,851
* ScanSource, Inc. 32,800 1,610,152
* Schmitt Industries, Inc. 2,466 22,934
* Scientific Learning Corp. 4,400 26,268
* Scientific Technologies, Inc. 6,700 21,172
* SCM Microsystems, Inc. 40,063 118,987
* Seachange International, Inc. 73,000 576,700
* Secure Computing Corp. 64,074 718,910
* SeeBeyond Technology Corp. 222,875 664,168
* SEEC, Inc. 100 20
* Segue Software, Inc. 9,500 47,500
* Selectica, Inc. 78,760 249,669
* Semitool, Inc. 74,660 654,768
* Semtech Corp. 192,557 3,512,240
* SEMX Corp. 300 18
* Serena Software, Inc. 110,890 2,170,117
* # ServiceWare Technologies, Inc. 290 1,015
* SI International, Inc. 3,000 85,050
* # Sigma Designs, Inc. 54,500 430,550
* Sigmatron International, Inc. 2,200 23,430
* # Silicon Graphics, Inc. 348,800 282,528
* Silicon Image, Inc. 203,105 2,384,453
* Silicon Laboratories, Inc. 20,700 574,011
* Silicon Storage Technology, Inc. 221,300 761,272
* SimpleTech, Inc. 119,515 418,303
* Sipex Corp. 83,446 137,686
* Sirenza Microdevices, Inc. 90,840 292,505
* Skyworks Solutions, Inc. 387,593 2,453,464
* SM&A 52,600 460,776
* Smith Micro Software, Inc. 21,400 92,448
* Somera Communications, Inc. 59,150 82,219
* # Sonic Foundry, Inc. 42,300 54,144
* Sonic Solutions, Inc. 63,100 964,168
* SonicWALL, Inc. 185,800 1,148,244
* Sonus Networks, Inc. 54,057 240,554
SpectraLink Corp. 61,200 705,024
* Spectrum Control, Inc. 13,000 92,040
* SPSS, Inc. 27,637 483,095
* SRA International, Inc. 67,200 2,281,440
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* SRS Labs, Inc. 38,045 213,398
SS&C Technologies, Inc. 59,335 1,774,117
* Staktek Holdings, Inc. 26,861 73,599
* Standard Microsystems Corp. 47,672 775,147
StarTek, Inc. 36,200 504,990
* # STATS ChipPAC, Ltd. 127,537 920,817
* SteelCloud, Inc. 12,100 28,314
* Stellent, Inc. 70,600 534,442
* Stratasys, Inc. 27,000 873,720
* Stratex Networks, Inc. 187,728 328,524
* Stratos International, Inc. 34,736 149,712
* SumTotal Systems, Inc. 45,217 189,459
* Sunair Electronics, Inc. 3,000 27,630
Sunrise Telecom, Inc. 19,500 31,200
* Suntron Corp. 5,265 6,897
* Supertex, Inc. 34,000 591,260
* SupportSoft, Inc. 110,900 574,462
* Sybase, Inc. 190,100 3,878,040
* Sycamore Networks, Inc. 432,488 1,461,809
* Sykes Enterprises, Inc. 101,607 841,306
* Symmetricom, Inc. 119,867 1,352,100
* Synaptics, Inc. 68,320 1,313,794
* SYNNEX Corp. 200 3,164
* Synplicity, Inc. 65,575 400,008
Syntel, Inc. 104,807 1,641,278
* Taitron Components, Inc. 5,000 8,750
* Take-Two Interactive Software, Inc. 61,350 1,580,376
TALX Corp. 53,957 1,506,479
* Technical Communications Corp. 400 1,220
Technitrol, Inc. 104,400 1,370,772
* Technology Solutions Corp. 25,265 13,138
* TechTeam Global, Inc. 20,000 280,000
* Tegal Corp. 5,000 5,300
* Tekelec 166,600 2,267,426
* TeleCommunication Systems, Inc. 79,900 205,343
* # Telkonet, Inc. 114,600 481,320
* Telular Corp. 34,600 134,940
* Terayon Communication Systems, Inc. 193,900 614,663
* Tessco Technologies, Inc. 4,500 57,330
* Tessera Technologies, Inc. 7,600 223,744
* Therma-Wave, Inc. 91,190 142,256
* TheStreet.com, Inc. 64,125 198,788
* THQ, Inc. 102,034 2,845,728
* Three-Five Systems, Inc. 48,799 32,695
* Tier Technologies, Inc. Class B 58,200 514,488
* TII Network Technologies, Inc. 11,260 16,440
* Titan Corp. 203,300 4,472,600
* Tollgrade Communications, Inc. 33,491 253,862
* Track Data Corp. 3,218 7,080
* Transact Technologies, Inc. 8,550 84,047
* Transaction Systems Architects, Inc. 102,739 2,340,394
* Transcat, Inc. 6,100 28,243
* Trans-Industries, Inc. 1,400 868
* Transmeta Corp. 19,100 15,471
* # Transwitch Corp. 40,600 79,982
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* Trident Microsystems, Inc. 60,300 1,277,154
* Trio-Tech International 400 1,490
* Tripath Technology, Inc. 11,641 9,080
* Triquint Semiconductor, Inc. 332,294 1,126,477
Troy Group, Inc. 13,800 35,880
TSR, Inc. 4,400 25,758
* TTM Technologies, Inc. 106,300 844,022
* Tumbleweed Communications Corp. 124,795 274,549
* Tut Systems, Inc. 65,500 197,810
* Tyler Technologies, Inc. 107,300 698,523
* Ulticom, Inc. 112,030 1,030,676
* Ultimate Software Group, Inc. 57,701 918,600
* Ultradata Systems, Inc. 800 208
* Ultratech, Inc. 61,900 1,085,107
United Online, Inc. 157,003 2,031,619
* Universal Display Corp. 72,548 681,951
* Unova, Inc. 159,300 3,278,394
* # USDATA Corp. 2,820 197
* VA Software Corp. 141,800 239,642
* ValueClick, Inc. 210,900 2,260,848
* Varian Semiconductor Equipment Associates, Inc. 95,000 3,855,100
* Veeco Instruments, Inc. 76,100 1,146,827
* VendingData Corp. 2,100 3,990
* # Verilink Corp. 59,058 93,902
* Verint Systems, Inc. 65,594 2,295,790
* Verity, Inc. 101,600 866,648
* Versant Corp. 1,974 809
* Verso Technologies, Inc. 14,119 3,671
* Viasat, Inc. 69,791 1,416,059
* Vicon Industries, Inc. 4,600 13,570
Video Display Corp. 7,200 92,880
* Viewpoint Corp. 140,816 204,183
* Vignette Corp. 407,600 472,816
* # Viisage Technology, Inc. 123,095 526,847
* Virage Logic Corp. 57,327 632,890
* Vishay Intertechnology, Inc. 205,681 2,653,285
* Visual Networks, Inc. 31,900 41,151
* # Vitech America, Inc. 14,850 10
* Vitesse Semiconductor, Inc. 377,146 942,865
* Vitria Technology, Inc. 86,842 277,894
* Vodavi Technology, Inc. 4,300 23,822
* Vyyo, Inc. 38,700 239,166
* WatchGuard Technologies, Inc. 84,180 305,573
* Webb Interactive Services, Inc. 1,400 154
* WebEx Communications, Inc. 117,680 3,160,885
* webMethods, Inc. 116,402 585,502
* Websense, Inc. 61,700 3,313,907
* WebSideStory, Inc. 16,300 186,635
* Westell Technologies, Inc. 139,819 837,516
* White Electronics Designs Corp. 62,123 309,994
* Wind River Systems, Inc. 215,683 3,535,044
Wireless Telecom Group, Inc. 43,600 110,308
* Witness Systems, Inc. 69,700 1,211,386
* WJ Communications, Inc. 148,728 298,943
Woodhead Industries, Inc. 30,557 392,046
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* # WorldGate Communications, Inc. 6,500 32,897
X-Rite, Inc. 54,263 600,149
* Zhone Technologies, Inc. 210,262 569,810
* # Zix Corp. 82,926 272,827
* Zomax, Inc. 70,500 193,875
* Zones, Inc. 13,500 49,950
* Zoran Corp. 107,235 1,323,280
* Zygo Corp. 46,700 452,056
----------------
Total Information Technology
(Cost $570,506,769) 520,498,833
----------------
Consumer Discretionary -- (16.9%)
* 1-800 CONTACTS, Inc. 33,678 658,068
* 1-800-FLOWERS.COM, Inc. 75,920 562,567
* 4Kids Entertainment, Inc. 34,700 659,300
* 99 Cents Only Stores 180,700 2,190,084
* A.C. Moore Arts & Crafts, Inc. 52,900 1,574,304
Aaron Rents, Inc. 107,500 2,430,575
Aaron Rents, Inc. Class A 8,550 172,881
* Acme Communications, Inc. 43,100 170,676
Acme United Corp. 3,400 57,868
* ACT Teleconferencing, Inc. 8,913 5,259
Action Performance Companies, Inc. 50,200 467,362
* Advanced Marketing Services, Inc. 48,550 197,841
Advo, Inc. 80,450 2,497,972
* Aeropostale, Inc. 92,850 2,530,162
* AFC Enterprises, Inc. 39,800 1,014,900
* Aftermarket Technology Corp. 54,350 833,729
* Alderwoods Group, Inc. 8,800 121,880
Aldila, Inc. 5,733 133,235
* All American Semiconductor, Inc. 4,000 19,160
* Alliance Gaming Corp. 137,960 1,792,100
* Alloy, Inc. 71,200 365,968
Ambassadors Group, Inc. 9,800 354,270
* Amcast Industrial Corp. 8,400 164
American Axle & Manufacturing Holdings, Inc. 127,700 2,643,390
* American Biltrite, Inc. 3,400 31,960
American Greetings Corp. Class A 82,300 2,138,154
* America's Car-Mart, Inc. 29,400 629,160
Ameristar Casinos, Inc. 73,236 3,759,936
* AMS Health Sciences, Inc. 10,600 18,974
Andersons, Inc. 8,200 268,960
* Applica, Inc. 55,400 158,444
* Arbitron, Inc. 9,400 379,196
Arctic Cat, Inc. 35,530 767,448
* Argosy Gaming Corp. 64,800 3,004,776
Ark Restaurants Corp. 2,700 73,332
* Arlington Hospitality, Inc. 4,900 6,125
ArvinMeritor, Inc. 800 11,520
* Asbury Automotive Group, Inc. 169,700 2,494,590
* Ashworth, Inc. 36,871 353,962
* Audiovox Corp. Class A 52,000 760,760
* # Avatar Holdings, Inc. 8,700 416,730
* Aztar Corp. 93,500 2,986,390
* Ballantyne of Omaha, Inc. 11,900 51,765
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* # Bally Total Fitness Holding Corp. 88,600 269,344
Bandag, Inc. 23,100 1,069,068
Bandag, Inc. Class A 9,600 400,800
* Barry (R.G.) Corp. 9,500 42,750
Bassett Furniture Industries, Inc. 30,904 603,555
* Beasley Broadcast Group, Inc. 19,233 309,267
* Benihana, Inc. 1,000 14,600
* Benihana, Inc. Class A 150 2,218
* Big Dog Holdings, Inc. 1,500 10,155
* Big Lots, Inc. 292,600 3,704,316
* BJ's Restaurants, Inc. 50,992 938,253
Blair Corp. 21,300 831,765
# Blockbuster, Inc. Class A 113,400 1,035,342
* Blount International, Inc. 117,300 2,071,518
* Bluegreen Corp. 78,865 1,329,664
Blyth, Inc. 107,400 3,043,716
Bob Evans Farms, Inc. 92,038 2,153,689
* Bombay Co., Inc. 98,800 526,604
* Bontex, Inc. 200 12
Bon-Ton Stores, Inc. 35,014 632,703
Books-A-Million, Inc. 18,300 154,086
Boston Acoustics, Inc. 4,600 68,356
* Boyds Collection, Ltd. 152,817 334,669
* Bright Horizons Family Solutions, Inc. 13,200 488,532
* # Brillian Corp. 10,369 32,351
* Broadview Media, Inc. 200 800
* Brookstone, Inc. 54,892 1,105,525
Brown Shoe Company, Inc. 47,000 1,649,700
* Buca, Inc. 52,486 267,679
Buckle, Inc. 30,000 1,183,800
Building Materials Holding Corp. 37,421 2,321,225
* Bull Run Corp. 3,100 2,232
Burlington Coat Factory Warehouse Corp. 117,549 3,896,749
* CabelTel International Corp. 674 3,404
* Cache, Inc. 40,655 531,767
Cadmus Communications Corp. 8,900 141,510
* California Coastal Communities, Inc. 10,000 295,900
* California Pizza Kitchen, Inc. 51,312 1,231,488
Callaway Golf Co. 198,300 2,318,127
* Calloway's Nursery, Inc. 1,200 246
* Candie's, Inc. 75,295 399,816
* Candlewood Hotel Co., Inc. 1,500 90
* Capital Pacific Holdings, Inc. 14,500 59,740
Carmike Cinemas, Inc. 32,228 1,054,178
* Carriage Services, Inc. 46,200 271,656
* Carter's, Inc. 6,300 293,895
* Casual Male Retail Group, Inc. 88,908 626,801
* Catalina Lighting, Inc. 1,760 14,520
Catalina Marketing Corp. 136,000 3,264,000
Cato Corp. Class A 54,700 1,578,642
* Cavalier Homes, Inc. 46,760 170,674
* Cavco Industries, Inc. 7,704 207,315
* CD Warehouse, Inc. 3,300 11
* CEC Entertainment, Inc. 94,450 3,829,947
* Champion Enterprises, Inc. 195,900 1,906,107
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* Championship Auto Racing Teams, Inc. 8,900 1,468
* Champps Entertainment, Inc. 32,640 262,752
* Charles and Colvard, Ltd. 36,308 734,148
* Charlotte Russe Holding, Inc. 56,200 671,590
* Charming Shoppes, Inc. 312,168 2,818,877
* # Charter Communications, Inc. 482,485 550,033
* Chaus (Bernard), Inc. 1,300 1,066
* Checkers Drive-In Restaurants, Inc. 29,107 418,850
Cherokee, Inc. 8,100 286,092
Christopher & Banks Corp. 96,413 1,764,358
* Chromcraft Revington, Inc. 6,000 72,000
Churchill Downs, Inc. 14,400 620,064
CKE Restaurants, Inc. 150,100 2,476,650
Coachmen Industries, Inc. 42,400 519,400
Coast Distribution System, Inc. 5,600 25,424
* Coastcast Corp. 7,600 17,670
* Cobra Electronics Corp. 6,100 43,310
* Coldwater Creek, Inc. 53,662 1,205,785
# Collegiate Pacific, Inc. 26,000 229,320
* # Collins & Aikman Corp. 209,060 23,728
Concepts Direct, Inc. 400 60
* Concord Camera Corp. 52,056 67,673
* Congoleum Corp. Class A 3,600 15,120
* Cooker Restaurant Corp. 6,500 33
Cooper Tire & Rubber Co. 175,400 3,339,616
* Corinthian Colleges, Inc. 154,298 2,385,447
* Cost Plus, Inc. 58,775 1,367,106
* Cost-U-Less, Inc. 3,000 25,080
Courier Corp. 6,412 224,694
CPI Corp. 11,200 203,840
Craftmade International, Inc. 12,700 211,950
* Crown Media Holdings, Inc. 194,078 1,822,392
* CSK Auto Corp. 121,500 2,056,995
CSS Industries, Inc. 12,900 397,320
* Culp, Inc. 25,400 110,490
* Cumulus Media, Inc. Class A 149,893 1,872,164
Cutter & Buck, Inc. 29,224 383,711
* # Cybex International, Inc. 8,700 26,622
* Cycle Country Accessories Corp. 13,700 45,758
* Daily Journal Corp. 200 7,750
* Dan River, Inc. Class A 100 0
* Dave & Busters, Inc. 13,200 237,072
Deb Shops, Inc. 19,299 583,023
* Deckers Outdoor Corp. 9,200 222,824
Decorator Industries, Inc. 2,762 22,621
Delta Apparel, Inc. 5,240 153,899
* Delta Woodside Industries, Inc. 5,850 3,802
* Department 56, Inc. 35,800 399,528
* DeVry, Inc. 188,500 3,873,675
* Diedrich Coffee, Inc. 4,025 16,829
* Digital Generation Systems, Inc. 114,900 125,241
* Dixie Group, Inc. 31,300 463,866
* # Dominion Homes, Inc. 20,200 313,706
Dover Downs Gaming & Entertainment, Inc. 9,910 117,235
Dover Motorsports, Inc. 43,900 252,864
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* Drew Industries, Inc. 26,800 1,098,800
* drugstore.com, Inc. 218,423 751,375
* Duckwall-ALCO Stores, Inc. 4,100 80,975
* Dura Automotive Systems, Inc. 49,300 210,511
* # E Com Ventures, Inc. 2,175 30,994
* eCost.com, Inc. 36,233 114,569
* Educational Development Corp. 1,800 18,180
* Electronics Boutique Holdings Corp. 63,130 3,744,240
* ELXSI Corp. 1,800 5,940
* EMAK Worldwide, Inc. 5,700 62,700
* Emerging Vision, Inc. 25,700 3,598
* Emerson Radio Corp. 70,422 181,689
* # Emmis Communications Corp. Class A 133,900 2,378,064
* Enesco Group, Inc. 36,000 138,600
* Entravision Communications Corp. 154,517 1,148,061
Ethan Allen Interiors, Inc. 93,500 2,917,200
* # Everlast Worldwide, Inc. 1,500 10,500
* Fab Industries, Inc. 5,200 15,600
* Fairchild Corp. Class A 56,152 129,150
* Famous Dave's of America, Inc. 29,525 320,346
* Featherlite, Inc. 9,750 40,462
# Fedders Corp. 100,910 224,020
Federal Screw Works 1,562 34,052
* # Federal-Mogul Corp. 57,900 34,740
Finish Line, Inc. Class A 110,834 2,207,813
* Finlay Enterprises, Inc. 19,000 246,620
* # Fleetwood Enterprises, Inc. 144,200 1,379,994
Flexsteel Industries, Inc. 6,100 85,461
* Foamex International, Inc. 58,623 89,693
* # Footstar, Inc. 27,600 116,610
* Fountain Powerboat Industries, Inc. 4,700 22,372
* Fox & Hound Restaurant Group 25,761 316,860
* Franklin Covey Co. 19,300 119,660
* Franklin Electronic Publishers, Inc. 7,900 29,625
Fred's, Inc. 102,350 1,517,850
* Friedmans, Inc. Class A 35,240 34,535
* Friendly Ice Cream Corp. 7,300 77,380
Frisch's Restaurants, Inc. 4,900 120,540
Furniture Brands International, Inc. 137,600 2,767,136
* # Gadzooks, Inc. 13,600 598
* Gaiam, Inc. 5,500 32,782
* # GameStop Corp. 54,200 1,580,472
GameTech International, Inc. 11,100 30,858
* Gaming Partners International Corp. 4,100 61,910
* # Gander Mountain Co. 2,700 33,453
* Gaylord Entertainment Co. 87,363 3,671,867
* Genesco, Inc. 58,000 1,986,500
Gentek, Inc. 25,183 274,747
* G-III Apparel Group, Ltd. 6,700 48,240
Goody's Family Clothing, Inc. 43,942 311,988
* Gottschalks, Inc. 12,700 136,525
Gray Television, Inc. 112,160 1,317,880
Gray Television, Inc. Class A 6,800 75,208
* Group 1 Automotive, Inc. 61,100 1,631,981
* GSI Commerce, Inc. 108,132 1,604,679
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* Guess, Inc. 114,880 1,934,579
* Guitar Center, Inc. 65,900 3,755,641
* Gymboree Corp. 80,474 1,065,476
Haggar Corp. 6,300 116,298
* Ha-Lo Industries, Inc. 64,900 45
* Hammons (John Q.) Hotels, Inc. Class A 5,200 120,172
* Hampshire Group, Ltd. 4,000 159,040
Hancock Fabrics, Inc. 51,000 300,390
Handleman Co. 55,923 1,015,002
* Harolds Stores, Inc. 2,308 3,347
* Harris Interactive, Inc. 155,400 766,122
* Hartmarx Corp. 94,100 892,068
* Hastings Entertainment, Inc. 22,800 136,116
* Hastings Manufacturing Co. 700 1,225
Haverty Furniture Co., Inc. 15,700 221,841
Haverty Furniture Co., Inc. Class A 400 5,660
* Hayes Lemmerz International, Inc. 42,410 275,665
* Hibbett Sporting Goods, Inc. 61,070 2,144,778
Hollinger International, Inc. Class A 196,800 1,820,400
* Hollywood Media Corp. 80,246 372,341
* Hot Topic, Inc. 118,300 2,539,901
* I.C. Isaacs & Co., Inc. 7,200 44,280
IHOP Corp. 51,800 2,466,198
* Image Entertainment, Inc. 55,800 223,758
* IMPCO Technologies, Inc. 59,102 196,219
* Index Development Partners, Inc. 4,600 9,200
* Infosonics Corp. 4,100 12,259
* Insight Communications Co., Inc. 125,375 1,416,737
* Insight Enterprises, Inc. 127,341 2,493,337
* Insignia Systems, Inc. 19,250 17,325
* Interface, Inc. Class A 117,306 897,391
* Interstate Hotels & Resorts, Inc. 53,840 247,664
* INVESTools, Inc. 115,983 423,338
* Isle of Capri Casinos, Inc. 77,124 1,918,845
* J. Alexander's Corp. 9,200 68,356
* J. Jill Group, Inc. 52,255 666,251
* Jack in the Box, Inc. 94,500 3,919,860
* Jaclyn, Inc. 1,300 7,995
* Jakks Pacific, Inc. 68,226 1,410,231
* Jarden Corp. 75,650 3,849,072
* Jennifer Convertibles, Inc. 1,300 2,925
* Jo-Ann Stores, Inc. 59,175 1,582,931
* Johnson Outdoors, Inc. 6,700 117,317
* Jos. A. Bank Clothiers, Inc. 34,500 1,359,990
* Journal Register Co. 109,100 1,812,151
Juno Lighting, Inc. 980 39,200
* K2, Inc. 123,663 1,556,917
Kellwood Co. 71,976 1,810,916
Kenneth Cole Productions, Inc. Class A 31,550 949,655
* Keystone Automotive Industries, Inc. 40,099 791,554
Kimball International, Inc. Class B 63,200 777,360
* Kirkland's, Inc. 17,200 152,908
Knape & Vogt Manufacturing Co. 2,290 25,762
Koss Corp. 3,600 61,343
* # Krispy Kreme Doughnuts, Inc. 160,600 1,299,254
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K-Swiss, Inc. Class A 68,200 2,189,220
* LaCrosse Footwear, Inc. 5,800 57,420
* Lakeland Industries, Inc. 2,662 34,659
* # Lakes Entertainment, Inc. 57,887 719,535
Landry's Restaurants, Inc. 68,800 2,061,936
* Lazare Kaplan International, Inc. 8,700 74,994
La-Z-Boy, Inc. 135,600 1,810,260
* Learning Care Group, Inc. 5,200 19,240
Levitt Corp. Class A 48,321 1,391,645
Libbey, Inc. 35,800 681,990
Liberty Corp. 48,800 1,762,168
Liberty Homes, Inc. Class A 200 970
Lifetime Hoan Corp. 28,698 489,588
* Lin TV Corp. 70,400 1,024,320
* Linens 'n Things, Inc. 117,500 2,863,475
Lithia Motors, Inc. Class A 39,310 1,045,646
* LKG Corp. 3,300 81,906
* Lodgenet Entertainment Corp. 45,834 777,345
* Lodgian, Inc. 51 484
Lone Star Steakhouse & Saloon, Inc. 45,746 1,381,987
* LOUD Technologies, Inc. 12,400 43,400
* Luby's, Inc. 57,900 477,096
M/I Homes, Inc. 36,600 1,847,568
* Mace Security International, Inc. 11,200 29,677
* Madden (Steven), Ltd. 34,233 607,978
* Magic Lantern Group, Inc. 1,700 122
* Magna Entertainment Corp. 21,200 112,784
* Main Street Restaurant Group, Inc. 36,100 124,906
* Major Automotive Companies, Inc. 3,280 3,378
* # Manning (Greg) Auctions, Inc. 35,120 334,694
Marine Products Corp. 38,295 578,254
* MarineMax, Inc. 44,075 1,212,944
* Marisa Christina, Inc. 6,700 6,097
* Marlton Technologies, Inc. 7,800 6,318
* # Martha Stewart Living Omnimedia, Inc. 58,200 1,507,380
* Max & Erma's Restaurants, Inc. 2,300 33,948
* Mayor's Jewelers, Inc. 20,300 11,571
# Maytag Corp. 206,700 3,015,753
McRae Industries, Inc. Class A 2,600 30,472
* Meade Instruments Corp. 51,232 141,400
Media General, Inc. Class A 6,100 372,710
* MediaBay, Inc. 1,650 891
* Mediacom Communications Corp. 235,041 1,429,049
* Meritage Homes Corp. 48,200 3,505,104
* Mestek, Inc. 5,400 138,942
* Michael Anthony Jewelers, Inc. 4 11,720
* Midas, Inc. 41,000 963,500
* Mikohn Gaming Corp. 57,575 726,021
* Mity Enterprises, Inc. 5,000 73,500
Modine Manufacturing Co. 90,495 2,751,048
Monaco Coach Corp. 75,950 1,246,339
* Monarch Casino & Resort, Inc. 16,000 321,600
* Monro Muffler Brake, Inc. 12,300 330,501
* Morgan's Foods, Inc. 800 1,360
* Mossimo, Inc. 16,600 70,550
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* Mothers Work, Inc. 13,654 186,104
* Motorcar Parts of America, Inc. 2,500 26,312
Movado Group, Inc. 46,700 787,362
Movie Gallery, Inc. 116,649 3,728,102
* MTR Gaming Group, Inc. 74,286 762,174
* # Multimedia Games, Inc. 72,635 775,015
* Nathan's Famous, Inc. 7,000 58,023
National Presto Industries, Inc. 6,800 291,380
* National RV Holdings, Inc. 25,700 227,959
* # Nature Vision, Inc. 500 2,315
Nautilus Group, Inc. 85,500 2,288,835
* # Navarre Corp. 70,160 631,440
* Navigant International, Inc. 39,814 504,045
Nelson (Thomas), Inc. 35,900 834,675
* # Netflix, Inc. 135,582 1,937,467
* Nevada Gold & Casinos, Inc. 33,350 366,516
* New Frontier Media, Inc. 3,400 20,400
* Nitches, Inc. 864 3,879
* Nobel Learning Communities, Inc. 6,500 56,875
Nobility Homes, Inc. 4,100 102,869
Noble International, Ltd. 24,160 498,904
* NTN Communications, Inc. 138,693 302,351
* Nutri/System, Inc. 79,900 979,574
Oakley, Inc. 176,900 2,600,430
* O'Charleys, Inc. 55,962 1,039,214
* Odd Job Stores, Inc. 12,700 1,905
* One Price Clothing Stores, Inc. 2,557 2
* # Oneida, Ltd. 28,700 67,445
* Opinion Research Corp. 6,700 47,168
# Orleans Homebuilders, Inc. 48,600 1,088,640
OshKosh B'Gosh, Inc. Class A 24,355 630,307
* # Overstock.com, Inc. 51,500 1,971,935
Oxford Industries, Inc. 43,100 1,541,256
* P & F Industries, Inc. Class A 1,300 21,125
* P.F. Chang's China Bistro, Inc. 56,300 3,336,901
* # Palm Harbor Homes, Inc. 58,511 1,095,911
* Panera Bread Co. 10,635 672,132
* Pantry, Inc. 52,800 2,042,832
* Papa John's International, Inc. 43,200 1,684,800
* Party City Corp. 44,791 598,856
* Paxson Communications Corp. 118,700 89,025
* Payless Cashways, Inc. 60 0
* Payless ShoeSource, Inc. 177,000 2,978,910
* PC Mall, Inc. 30,017 148,557
* # Pegasus Communications Corp. 17,540 110,063
Pep Boys - Manny, Moe & Jack 143,000 1,910,480
* Perry Ellis International, Inc. 23,900 478,000
* PetMed Express, Inc. 60,965 430,413
Phillips-Van Heusen Corp. 83,200 2,578,368
* Phoenix Gold International, Inc. 600 330
Pier 1 Imports, Inc. 55,200 926,808
* Pinnacle Entertainment, Inc. 104,800 1,826,664
* Playboy Enterprises, Inc. Class A 4,700 53,909
* # Playboy Enterprises, Inc. Class B 74,100 938,847
* Point.360 9,000 26,820
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* Pomeroy IT Solutions, Inc. 31,837 400,828
# Pre-Paid Legal Services, Inc. 40,350 1,519,984
* # Priceline.com, Inc. 101,016 2,419,333
* PRIMEDIA, Inc. 658,238 2,402,569
* Princeton Review, Inc. 14,600 79,862
* ProQuest Co. 77,300 2,481,330
* Provide Commerce 29,200 674,812
Pulitzer, Inc. 23,800 1,522,248
* QEP Co., Inc. 2,125 22,057
Quaker Fabric Corp. 41,950 145,986
* # Quantum Fuel Systems Technologies Worldwide, Inc. 86,271 366,652
* R&B, Inc. 16,800 225,960
* Radio One, Inc. 25,300 319,286
* Radio One, Inc. 8,150 102,690
* Rare Hospitality International, Inc. 88,450 2,744,603
Raytech Corp. 16,400 25,420
* RC2 Corp. 52,991 1,909,796
* Reading International, Inc. Class A 18,149 120,872
* Reading International, Inc. Class B 1,060 6,890
* Red Robin Gourmet Burgers, Inc. 5,599 307,273
* RedEnvelope, Inc. 2,000 19,900
* Regent Communications, Inc. 114,113 684,678
* Rentrak Corp. 26,900 270,345
* Rent-Way, Inc. 68,200 632,214
* Reptron Electronics, Inc. 343 480
* Restoration Hardware, Inc. 85,900 608,172
* Retail Ventures, Inc. 91,400 1,030,078
* Rex Stores Corp. 26,600 372,400
* Rexhall Industries, Inc. 3,142 581
* Riviera Holdings Corp. 10,800 218,700
* Rockford Corp. 14,600 38,106
* Rocky Shoes & Boots, Inc. 4,500 133,155
* Rubio's Restaurants, Inc. 23,195 212,234
Russ Berrie & Co., Inc. 54,100 703,841
Russell Corp. 85,300 1,595,110
* Ryan's Restaurant Group, Inc. 107,800 1,504,888
* S&K Famous Brands, Inc. 2,100 33,600
* Safety Components International, Inc. 118 1,646
* Saga Communications, Inc. Class A 47,625 657,225
* Salem Communications Corp. 52,969 962,447
* # Salton, Inc. 29,600 30,784
* Sands Regent Casino Hotel 2,000 18,920
Saucony, Inc. Class A 2,700 53,730
Saucony, Inc. Class B 3,500 68,600
Sauer-Danfoss, Inc. 49,600 974,640
* Schieb (Earl), Inc. 2,200 7,425
* Scholastic Corp. 97,062 3,641,766
SCP Pool Corp. 68,384 2,449,515
* Select Comfort Corp. 93,175 2,264,152
Service Corp. International 208,300 1,578,914
* # Sharper Image Corp. 40,800 542,232
* Shiloh Industries, Inc. 40,866 462,194
* Shoe Carnival, Inc. 38,079 697,988
* # Shoe Pavilion, Inc. 6,200 29,388
* ShopKo Stores, Inc. 65,800 1,560,118
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* # Shuffle Master, Inc. 92,130 2,524,362
Sinclair Broadcast Group, Inc. Class A 115,200 1,014,912
* Six Flags, Inc. 241,905 1,066,801
* Skechers U.S.A., Inc. Class A 58,000 734,860
Skyline Corp. 8,300 324,530
* Smith & Wesson Holding Corp. 79,900 303,620
* Smith & Wollensky Restaurant Group, Inc. 13,400 84,286
Sonic Automotive, Inc. 76,300 1,626,716
* Sotheby's Holdings, Inc. Class A 119,900 1,682,197
* Source Interlink Companies, Inc. 74,500 726,375
* Southern Energy Homes, Inc. 13,825 80,876
* Spanish Broadcasting System, Inc. 104,500 903,925
* SPAR Group, Inc. 2,900 6,206
Spartan Motors, Inc. 32,545 349,533
Speedway Motorsports, Inc. 67,390 2,311,477
* Sport Chalet, Inc. 2,700 39,420
* Sport Supply Group, Inc. 8,900 27,946
* Sport-Haley, Inc. 2,700 9,477
* Sportsman's Guide, Inc. 18,533 315,042
* Stage Stores, Inc. 46,172 1,803,017
* Stamps.com, Inc. 58,923 1,317,518
Standard Motor Products, Inc. 50,500 569,135
Stanley Furniture, Inc. 6,700 283,075
Star Buffet, Inc. 2,800 19,572
* Steak n Shake Co. 71,818 1,478,733
* Stein Mart, Inc. 110,616 2,661,421
* Steinway Musical Instruments, Inc. 18,800 532,416
Stewart Enterprises, Inc. 274,470 1,624,862
* Stoneridge, Inc. 59,200 462,944
* Strattec Security Corp. 4,100 207,583
Strayer Education, Inc. 8,300 722,100
Stride Rite Corp. 94,500 1,123,605
Sturm Ruger & Co., Inc. 70,000 569,800
* Sunterra Corp. 400 6,240
# Superior Industries International, Inc. 69,200 1,567,380
Superior Uniform Group, Inc. 7,000 96,950
Syms Corp. 28,200 368,856
* Systemax, Inc. 63,568 404,928
* Tag-It Pacific, Inc. 46,900 109,746
Tandy Brand Accessories, Inc. 5,900 77,526
* Tarrant Apparel Group 42,115 114,553
* TBC Corp. 57,990 1,480,485
Technical Olympic USA, Inc. 145,740 3,191,706
* Tenneco Automotive, Inc. 112,800 1,692,000
* The Children's Place Retail Stores, Inc. 70,200 3,279,042
* The Dress Barn, Inc. 80,252 1,452,561
The Marcus Corp. 54,000 1,189,620
* The Mens Warehouse, Inc. 94,000 4,828,780
* The Rowe Companies 13,100 50,566
* The Sports Authority, Inc. 67,206 2,150,592
* The Sports Club Co., Inc. 20,100 33,165
* # TiVo, Inc. 209,126 1,409,509
* Too, Inc. 90,200 1,793,176
* # Tower Automotive, Inc. 111,100 11,777
* Tractor Supply Co. 91,932 4,083,619
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Traffix, Inc. 35,600 170,880
* Trans World Entertainment Corp. 78,400 1,019,200
* Transpro, Inc. 16,100 109,319
Triarc Companies, Inc. Class A 61,700 965,605
Triarc Companies, Inc. Class B 49,000 705,600
* # Tropical Sportswear International Corp. 13,075 157
* Tuesday Morning Corp. 106,836 3,246,746
Tupperware Corp. 154,400 3,489,440
* Tweeter Home Entertainment Group, Inc. 63,900 226,206
* Ultimate Electronics, Inc. 858 60
* # Unapix Entertainment, Inc. 6,100 25
* Unifi, Inc. 135,234 434,101
Unifirst Corp. 23,650 865,590
United Auto Group, Inc. 120,800 3,720,640
* United Retail Group, Inc. 22,866 158,690
* Universal Electronics, Inc. 35,324 589,204
* Universal Technical Institute, Inc. 4,800 146,640
* Vail Resorts, Inc. 92,100 2,532,750
Value Line, Inc. 9,900 359,568
* ValueVision Media, Inc. Class A 95,452 918,248
* Varsity Group, Inc. 25,136 151,319
* Vertrue, Inc. 24,000 907,200
* Virco Manufacturing Corp. 13,269 95,537
# Visteon Corp. 325,000 2,479,750
* Warnaco Group, Inc. 120,017 2,561,163
* Waxman Industries, Inc. 600 4,275
* WCI Communities, Inc. 117,100 3,501,290
Wellco Enterprises, Inc. 1,000 13,135
* Wells-Gardner Electronics Corp. 22,261 75,687
* West Marine, Inc. 54,078 897,154
* Westcoast Hospitality Corp. 12,900 88,881
* # Wet Seal, Inc. Class A 90,237 384,410
Weyco Group, Inc. 600 11,502
* Whitehall Jewelers, Inc. 30,250 219,312
* Wickes, Inc. 4,400 13
* William Lyon Homes, Inc. 22,500 2,025,000
* Wilsons The Leather Experts, Inc. 101,045 593,134
* Winmark Corp. 3,800 82,650
# Winnebago Industries, Inc. 87,400 2,857,106
* # WMS Industries, Inc. 80,900 2,570,193
Wolverine World Wide, Inc. 150,600 3,460,788
World Wrestling Federation Entertainment, Inc. 54,200 587,528
* Worldwide Restaurant Concepts, Inc. 71,400 457,674
Yankee Candle Co., Inc. 105,700 3,334,835
* Young Broadcasting, Inc. Class A 44,662 257,253
* Zapata Corp. 18,720 121,118
----------------
Total Consumer Discretionary
(Cost $378,480,696) 441,458,478
----------------
Industrials -- (14.7%)
* 3-D Systems Corp. 24,600 521,520
* AAON, Inc. 13,100 234,490
* AAR Corp. 83,683 1,342,275
* Ablest, Inc. 2,100 14,532
ABM Industries, Inc. 130,400 2,486,728
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Abrams Industries, Inc. 200 1,054
* ABX Air, Inc. 66,600 500,832
Aceto Corp. 63,525 461,827
* ACT Manufacturing, Inc. 800 8
* Active Power, Inc. 125,456 336,222
* Actuant Corp. 69,980 3,149,100
Acuity Brands, Inc. 33,500 822,425
Administaff, Inc. 66,200 1,414,032
* AeroCentury Corp. 300 948
* Aerosonic Corp. 3,900 20,163
* AirNet Systems, Inc. 22,200 110,778
* Airtran Holdings, Inc. 231,500 2,259,440
* Akorn, Inc. 31,100 91,434
Alamo Group, Inc. 12,500 255,000
* Alaska Air Group, Inc. 73,200 2,160,864
Albany International Corp. Class A 75,672 2,366,263
Alexander & Baldwin, Inc. 57,915 2,574,322
* Allied Defense Group, Inc. 12,400 295,616
* Allied Holdings, Inc. 8,300 9,130
Ambassadors International, Inc. 9,800 125,636
* Amerco, Inc. 14,700 781,746
* # America West Holdings Corp. Class B 94,800 530,880
American Ecology Corp. 14,650 185,469
* American Locker Group, Inc. 300 1,383
* American Science & Engineering, Inc. 21,300 811,743
* American Superconductor Corp. 83,099 735,426
American Woodmark Corp. 44,476 1,494,838
Ameron International Corp. 22,800 752,400
* AML Communications, Inc. 7,800 8,346
Ampco-Pittsburgh Corp. 9,600 110,688
* # AMR Corp. 44,000 567,600
Amrep Corp. 6,500 141,115
Angelica Corp. 22,900 606,163
* APAC Customer Services, Inc. 102,850 98,736
Apogee Enterprises, Inc. 73,910 1,034,001
Applied Industrial Technologies, Inc. 80,550 2,451,942
Applied Signal Technologies, Inc. 29,500 516,250
* ARGON ST, Inc. 49,025 1,683,028
Arkansas Best Corp. 65,500 2,143,815
* Armor Holdings, Inc. 88,800 3,352,200
* # Armstrong Holdings, Inc. 4,400 13,508
* # Arotech Corp. 90,691 96,132
* Artesyn Technologies, Inc. 82,300 677,329
* Art's-Way Manufacturing Co., Inc. 200 1,254
* Astec Industries, Inc. 53,900 1,182,027
* Astronics Corp. 7,725 62,186
* # AstroPower, Inc. 5,058 5
* ASV, Inc. 35,316 1,281,971
* # ATA Holdings Corp. 24,879 22,391
* Ault, Inc. 4,500 11,205
* # Avalon Holding Corp. Class A 1,550 7,580
* Aviall, Inc. 95,900 2,951,802
* Axsys Technologies, Inc. 7,050 120,132
* AZZ, Inc. 8,200 131,282
Badger Meter, Inc. 6,400 240,768
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* Baker (Michael) Corp. 7,600 131,176
Baldor Electric Co. 89,033 2,239,180
* Baldwin Technology Co., Inc. Class A 13,300 39,900
Banta Corp. 67,300 2,955,816
Barnes Group, Inc. 60,600 1,859,208
* Barrett Business Services, Inc. 8,700 125,802
* BE Aerospace, Inc. 147,610 2,135,917
Bowne & Co., Inc. 89,600 1,187,200
Brady Co. Class A 113,700 3,475,809
* BTU International, Inc. 12,900 48,891
* Butler International, Inc. 8,400 27,720
C&D Technologies, Inc. 65,900 482,388
* Cannon Express, Inc. 200 0
* Capstone Turbine Corp. 78,300 78,300
Cascade Corp. 32,900 1,158,738
* Casella Waste Systems, Inc. Class A 64,089 731,255
* Catalytica Energy Systems, Inc. 19,891 39,185
* CD&L, Inc. 2,600 4,940
CDI Corp. 50,300 1,073,402
* Celadon Group, Inc. 26,879 486,510
Central Parking Corp. 96,837 1,636,545
* Century Business Services, Inc. 196,557 788,194
* Cenveo, Inc. 131,500 1,101,970
* Ceradyne, Inc. 64,365 1,486,188
CERBCO, Inc. Class A 200 1,975
Champion Industries, Inc. 9,674 40,631
* Channell Commercial Corp. 6,600 39,732
Chase Corp. 4,000 56,320
Chicago Rivet & Machine Co. 200 5,956
CIRCOR International, Inc. 40,690 1,007,078
Clarcor, Inc. 138,600 3,893,274
* Clean Harbors, Inc. 37,200 771,900
* CNE Group, Inc. 2,000 320
* Coinstar, Inc. 68,100 1,289,814
Collins Industries, Inc. 7,000 35,000
* Columbus McKinnon Corp. 38,700 365,328
* Comforce Corp. 13,277 25,757
* Comfort Systems USA, Inc. 101,800 640,322
* # Compudyne Corp. 20,804 125,864
CompX International, Inc. 5,100 73,695
* Conrad Industries, Inc. 7,200 9,396
* Consolidated Freightways Corp. 550 2
* Consolidated Graphics, Inc. 35,582 1,506,186
* # Continental Airlines, Inc. 179,500 2,487,870
* Cornell Companies, Inc. 37,600 482,784
* Correctional Services Corp. 20,512 59,278
* Corrections Corporation of America 95,400 3,443,940
* Corrpro Companies, Inc. 7,275 5,820
* CoStar Group, Inc. 47,611 1,913,010
* Covenant Transport, Inc. Class A 31,955 443,535
* CPI Aerostructures, Inc. 13,666 127,504
* CRA International, Inc. 9,000 512,910
* Cross (A.T.) Co. Class A 14,700 73,941
* Crown Andersen, Inc. 1,000 1,025
Cubic Corp. 69,500 1,223,200
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* CUNO, Inc. 46,408 3,299,609
Curtiss-Wright Corp. 11,600 634,288
* # Delta Air Lines, Inc. 367,200 1,413,720
* DHB Industries, Inc. 114,200 897,612
* DiamondCluster International, Inc. 93,450 1,222,326
* Distributed Energy Systems Corp. 92,650 307,598
* Dollar Thrifty Automotive Group, Inc. 65,600 2,360,944
* DRS Technologies, Inc. 48,500 2,283,380
* Ducommun, Inc. 26,000 427,700
* Duratek, Inc. 13,500 296,055
* Dycom Industries, Inc. 126,566 2,485,756
* Dynamex, Inc. 29,500 530,705
* # Dynamic Materials Corp. 2,000 87,600
Eastern Co. 4,950 109,346
Ecology & Environment, Inc. Class A 2,000 13,000
EDO Corp. 52,000 1,480,440
* EGL, Inc. 123,096 2,342,517
* Electro Rent Corp. 64,261 755,067
ElkCorp 51,600 1,702,800
* EMCOR Group, Inc. 39,000 1,852,500
* Encore Wire Corp. 60,088 660,968
* # Energy Conversion Devices, Inc. 66,197 1,276,278
Engineered Support Systems, Inc. 87,913 3,428,607
* ENGlobal Corp. 2,500 9,075
Ennis, Inc. 68,600 1,090,054
* EnPro Industries, Inc. 54,300 1,469,901
* Environmental Tectonics Corp. 7,100 38,553
* ESCO Technologies, Inc. 32,000 2,712,000
Espey Manufacturing & Electronics Corp. 400 10,740
* Essex Corp. 2,900 54,230
* Esterline Technologies Corp. 65,200 2,536,280
* Evercel, Inc. 466 466
* Evergreen Solar, Inc. 138,827 701,076
* Exponent, Inc. 6,700 165,959
* ExpressJet Holdings, Inc. 141,500 1,221,145
Federal Signal Corp. 125,100 1,955,313
* Fiberstars, Inc. 18,900 178,605
* First Aviation Services, Inc. 6,200 25,420
* First Consulting Group, Inc. 63,503 328,946
* Flanders Corp. 68,397 681,918
Florida East Coast Industries, Inc. 83,600 3,516,216
* # Flow International Corp. 33,300 216,450
* Flowserve Corp. 143,600 4,231,892
* # FLYi, Inc. 68,000 51,680
Forward Air Corp. 125,001 3,356,277
* Foster (L.B.) Co. Class A 10,000 90,000
* Foster Wheeler, Ltd. 2,030 30,044
Franklin Electric Co., Inc. 21,600 829,872
* Frontier Airlines, Inc. 92,643 1,131,171
* Frozen Food Express Industries, Inc. 45,199 485,889
* FTI Consulting, Inc. 112,225 2,467,828
* # FuelCell Energy, Inc. 125,254 1,019,568
G & K Services, Inc. Class A 50,055 1,970,165
* Gardner Denver Machinery, Inc. 59,988 2,300,540
GATX Corp. 118,700 3,961,019
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* Gehl Co. 16,900 506,797
Gencorp, Inc. 99,711 1,884,538
* General Binding Corp. 13,300 275,177
* General Cable Corp. 103,400 1,448,634
* General Employment Enterprises, Inc. 3,100 4,061
* Genesee & Wyoming, Inc. 63,050 1,761,617
* Genlyte Group, Inc. 63,000 2,807,280
Gevity HR, Inc. 70,510 1,209,247
* Global Payment Technologies, Inc. 5,500 24,750
* Global Power Equipment Group, Inc. 121,600 931,456
Gorman-Rupp Co. 9,968 202,350
* GP Strategies Corp. 30,960 219,816
* Graftech International, Ltd. 243,700 1,072,280
Graham Corp. 1,000 20,220
Granite Construction, Inc. 108,200 2,537,290
Greenbrier Companies, Inc. 14,100 390,852
* Griffon Corp. 75,380 1,502,323
Hardinge, Inc. 8,800 142,718
Harland (John H.) Co. 72,300 2,723,541
* Hawaiian Holdings, Inc. 29,875 159,533
* Hawk Corp. 8,500 95,115
Healthcare Services Group, Inc. 24,975 467,033
Heartland Express, Inc. 144,343 2,894,077
Heico Corp. 25,900 546,490
Heico Corp. Class A 36,765 617,284
* Heidrick & Struggles International, Inc. 49,853 1,251,809
* Herley Industries, Inc. 36,500 639,115
* Hexcel Corp. 134,000 2,189,560
* Hirsch International Corp. Class A 3,300 3,300
* Hi-Shear Technology Corp. 8,600 31,304
* Hub Group, Inc. Class A 15,700 431,436
* Hudson Highland Group, Inc. 5,560 89,016
* Hudson Technologies, Inc. 4,800 4,416
Hughes Supply, Inc. 8,330 216,580
* Hurco Companies, Inc. 6,800 118,388
* Huttig Building Products, Inc. 7,700 84,007
* ICT Group, Inc. 19,274 179,055
* II-VI, Inc. 75,740 1,247,438
IKON Office Solutions, Inc. 171,760 1,664,354
* Imagistics International, Inc. 11,400 307,116
* Industrial Distribution Group, Inc. 24,106 211,892
* Infrasource Services, Inc. 4,700 51,700
* Innotrac Corp. 11,600 98,484
* Innovative Solutions & Support, Inc. 12,700 439,928
* Insituform Technologies, Inc. Class A 67,119 996,046
* # Integrated Electrical Services, Inc. 85,100 129,352
International Aluminum Corp. 2,100 72,450
* International Shipholding Corp. 6,100 89,060
Interpool, Inc. 38,000 825,360
* # Ionatron, Inc. 17,500 155,750
* Jacuzzi Brands, Inc. 199,378 2,035,649
JLG Industries, Inc. 128,500 3,275,465
* JPS Industries, Inc. 9,200 44,160
* Kadant, Inc. 36,020 738,410
Kaman Corp. Class A 57,000 881,790
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* Kansas City Southern 163,100 3,260,369
Kaydon Corp. 73,300 2,091,982
* Keith Companies, Inc. 11,400 241,110
Kelly Services, Inc. Class A 83,266 2,315,627
* Key Technology, Inc. 4,700 51,700
* Kforce, Inc. 103,155 829,366
* Kirby Corp. 64,500 2,751,570
Knight Transportation, Inc. 146,953 3,593,001
* Korn/Ferry International 104,000 1,649,440
* K-Tron International, Inc. 2,400 68,640
* KVH Industries, Inc. 37,628 349,564
* LaBarge, Inc. 38,500 546,315
* Labor Ready, Inc. 110,600 2,282,784
* Ladish Co., Inc. 19,500 216,450
* Lancer Corp. 9,325 161,323
Lawson Products, Inc. 9,600 410,880
* Layne Christensen Co. 11,600 200,680
* Learning Tree International, Inc. 44,081 567,322
Lennox International, Inc. 158,705 3,370,894
Lincoln Electric Holdings, Inc. 107,661 3,526,974
Lindsay Manufacturer Co. 30,600 612,306
* LMI Aerospace, Inc. 7,900 35,740
LSI Industries, Inc. 51,383 698,295
* Lydall, Inc. 41,900 345,256
* Lynch Corp. 1,500 13,800
* Mac-Gray Corp. 18,500 161,320
* Magnetek, Inc. 74,200 163,982
* MAIR Holdings, Inc. 52,916 504,819
* Marten Transport, Ltd. 9,450 185,315
* Mastec, Inc. 126,050 1,066,383
* Maxco, Inc. 3,100 13,550
McGrath Rentcorp. 63,214 1,457,083
* Meadow Valley Corp. 2,400 12,672
* # Medialink Worldwide, Inc. 5,900 18,585
Mercury Air Group, Inc. 4,950 17,127
* Mercury Computer Systems, Inc. 54,800 1,583,720
* Merrimac Industries, Inc. 2,860 25,454
* # Mesa Air Group, Inc. 79,035 504,243
Met-Pro Corp. 8,100 116,721
* MFRI, Inc. 4,900 38,019
* # Microvision, Inc. 55,923 361,822
Middleby Corp. 23,187 1,279,922
* Midwest Air Group, Inc. 45,000 88,200
* Milacron, Inc. 162,405 354,043
* # Millennium Cell, Inc. 58,900 88,939
* Miller Industries, Inc. 9,280 110,896
Mine Safety Appliances Co. 94,500 4,329,045
* Misonix, Inc. 17,000 97,954
* Mobile Mini, Inc. 38,215 1,410,898
* # Modtech Holdings, Inc. 37,650 233,430
* Moog, Inc. Class A 28,800 874,080
* Moog, Inc. Class B 4,950 151,965
* Morgan Group Holding Co. 200 19
* MPW Industrial Services Group, Inc. 5,000 11,075
* MTC Technologies, Inc. 15,400 516,362
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Mueller Industries, Inc. 95,145 2,568,915
Multi-Color Corp. 2,250 59,175
* M-Wave, Inc. 2,900 3,074
NACCO Industries, Inc. Class A 6,500 666,250
* Nashua Corp. 5,800 52,200
* # National Patent Development Corp. 14,560 34,070
* National Technical Systems, Inc. 8,600 39,044
* Navigant Consulting, Inc. 125,400 2,876,676
* NCI Building Systems, Inc. 53,600 1,851,344
* NCO Group, Inc. 82,622 1,640,883
* NES Rentals Holdings, Inc. 36 353
* New Horizons Worldwide, Inc. 12,400 44,764
Nordson Corp. 94,675 2,943,446
* North America Galvanizing & Coatings, Inc. 6,700 13,668
* # Northwest Airlines Corp. 218,445 1,330,330
* NuCo2, Inc. 19,100 452,288
* Odyssey Marine Exploration, Inc. 106,200 510,822
* Old Dominion Freight Line, Inc. 64,548 1,966,778
* On Assignment, Inc. 65,015 344,580
* Orbit International Corp. 1,582 16,168
* Orbital Sciences Corp. 134,152 1,302,616
Outlook Group Corp. 2,400 18,960
* P.A.M. Transportation Services, Inc. 20,550 338,664
* Paragon Technologies, Inc. 4,200 45,150
* Park-Ohio Holdings Corp. 10,400 158,600
* Patrick Industries, Inc. 4,500 40,302
* Patriot Transportation Holding, Inc. 2,500 130,750
* Peerless Manufacturing Co. 3,000 41,730
* # Pemco Aviation Group, Inc. 950 23,655
* Perini Corp. 65,800 992,264
* Pico Holdings, Inc. 17,100 442,719
* Pinnacle Airlines Corp. 800 7,840
* # Plug Power, Inc. 190,443 1,184,555
* Portfolio Recovery Associates, Inc. 40,305 1,588,420
* Powell Industries, Inc. 19,159 352,909
* Power-One, Inc. 201,561 1,104,554
* PPT Vision, Inc. 1,700 2,159
Preformed Line Products Co. 1,200 40,956
* PRG-Schultz International, Inc. 161,219 622,305
Providence & Worcester Railroad Co. 3,000 39,750
* PW Eagle, Inc. 7,000 46,060
* Quanta Services, Inc. 302,100 2,727,963
* Quipp, Inc. 1,400 15,099
Quixote Corp. 22,740 442,975
* RailAmerica, Inc. 98,200 1,145,994
Raven Industries, Inc. 46,850 1,193,738
* RCM Technologies, Inc. 10,500 48,300
Regal-Beloit Corp. 75,504 1,940,453
* RemedyTemp, Inc. 15,100 148,735
* Republic Airways Holdings, Inc. 1,600 20,416
* Resources Connection, Inc. 123,036 2,450,877
Robbins & Myers, Inc. 37,800 893,970
Rollins, Inc. 178,050 3,632,220
* Rush Enterprises, Inc. Class A 16,900 243,191
* Rush Enterprises, Inc. Class B 7,000 101,850
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Schawk, Inc. 22,200 534,132
* School Specialty, Inc. 3,900 152,958
* # Schuff International, Inc. 7,000 21,525
* SCS Transportation, Inc. 38,654 705,436
* Secom General Corp. 140 200
* Senomyx, Inc. 1,100 15,213
* Sequa Corp. Class A 6,900 400,200
* Sequa Corp. Class B 2,600 154,076
* Servotronics, Inc. 1,100 5,225
* Shaw Group, Inc. 166,587 3,356,728
* Sholodge, Inc. 5,100 20,018
* SIFCO Industries, Inc. 5,400 18,522
* Simclar, Inc. 6,500 21,905
Simpson Manufacturing Co., Inc. 103,100 2,963,094
* Sirva, Inc. 4,200 32,970
* Sitel Corp. 176,800 350,064
Skywest, Inc. 144,796 2,641,079
* SL Industries, Inc. 5,900 100,713
Smith (A.O.) Corp. 57,200 1,793,792
Smith (A.O.) Corp. Convertible Class A 3,750 117,600
* Smithway Motor Xpress Corp. Class A 4,000 24,000
* SOURCECORP, Inc. 34,502 738,688
* Spacehab, Inc. 27,766 39,150
* Sparton Corp. 8,334 83,173
* Spherion Corp. 159,120 870,386
* # Spherix, Inc. 12,100 20,691
* Spire Corp. 6,700 29,480
* # Standard Automotive Corp. 4,400 0
* Standard Parking Corp. 1,500 22,515
Standard Register Co. 61,100 867,620
Standex International Corp. 32,100 858,996
Starrett (L.S.) Co. Class A 4,800 81,936
* Sterling Construction Co., Inc. 8,700 64,206
Stewart & Stevenson Services, Inc. 74,802 1,787,020
* Stonepath Group, Inc. 69,400 48,580
* Strategic Distribution, Inc. 3,029 31,199
Sun Hydraulics, Inc. 4,900 180,908
Supreme Industries, Inc. 11,408 74,722
* Swift Transportation Co., Inc. 6,343 155,721
Sypris Solutions, Inc. 44,847 472,687
TB Wood's Corp. 7,600 43,928
* Team, Inc. 7,600 144,400
* TeamStaff, Inc. 20,200 33,128
Tech/Ops Sevcon, Inc. 3,100 18,445
Technology Research Corp. 14,350 71,894
Tecumseh Products Co. Class A 34,700 948,698
* Teledyne Technologies, Inc. 86,300 2,728,806
* TeleTech Holdings, Inc. 194,300 1,587,431
Tennant Co. 22,500 839,250
* Terex Corp. 21 830
* Tetra Tech, Inc. 146,896 1,770,097
The Alpine Group, Inc. 13,500 20,925
* The Geo Group, Inc. 25,000 606,750
* The Lamson & Sessions Co. 36,000 392,040
The Manitowoc Co., Inc. 76,750 3,110,678
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* Thomas Group, Inc. 4,000 8,040
Thomas Industries, Inc. 44,750 1,784,183
Titan International, Inc. 19,600 289,492
Todd Shipyards Corp. 6,300 121,275
* Trailer Bridge, Inc. 9,800 76,440
* Transport Corp. of America 5,200 32,500
* Transtechnology Corp. 6,200 46,345
* TRC Companies, Inc. 34,600 394,440
Tredegar Industries, Inc. 100,391 1,530,963
* Trex Co., Inc. 38,400 1,480,320
Trinity Industries, Inc. 123,600 3,591,816
* Triumph Group, Inc. 41,302 1,465,395
* TRM Corp. 7,000 113,610
* Tufco Technologies, Inc. 4,500 27,855
* # TurboChef Technologies, Inc. 70,833 786,246
Twin Disc, Inc. 2,800 60,900
* U.S. Home Systems, Inc. 700 3,393
* U.S. Xpress Enterprises, Inc. Class A 10,823 132,149
* Ultralife Batteries, Inc. 13,100 213,792
United Industrial Corp. 31,700 1,098,405
* United Rentals, Inc. 192,600 3,867,408
* United Stationers, Inc. 60,900 2,985,927
Universal Forest Products, Inc. 46,505 1,850,899
* UQM Technologies, Inc. 60,100 180,300
* URS Corp. 110,913 3,752,187
* # US Airways Group, Inc. Class A 46,800 42,588
* USA Truck, Inc. 9,300 188,325
* # Valence Technology, Inc. 20,900 61,864
Valley National Gases, Inc. 4,200 57,540
Valmont Industries, Inc. 62,200 1,489,690
* Valpey Fisher Corp. 1,650 5,214
* Versar, Inc. 8,700 26,970
Viad Corp. 57,600 1,601,280
Vicor Corp. 77,819 1,034,993
* VL Dissolution Corp. 3,101 0
* Volt Information Sciences, Inc. 33,000 648,450
Wabash National Corp. 80,200 1,997,782
Wabtec Corp. 119,600 2,475,720
Walter Industries, Inc. 93,900 3,981,360
* Washington Group International, Inc. 63,815 3,063,758
* Waste Connections, Inc. 78,500 2,910,780
Waste Industries USA, Inc. 19,300 278,499
* Water Pik Technologies, Inc. 8,600 159,788
Waters Instruments, Inc. 300 2,445
Watsco, Inc. Class A 60,000 2,651,400
Watsco, Inc. Class B 1,350 59,569
Watson Wyatt & Co. Holdings 84,700 2,229,304
Watts Water Technologies, Inc. 65,100 2,267,433
* WESCO International, Inc. 121,500 3,547,800
* Westaff, Inc. 24,300 84,321
* Western Power & Equipment Corp. 3,373 4,385
* Willis Lease Finance Corp. 9,500 77,425
* Wolverine Tube, Inc. 37,300 268,933
Woodward Governor Co. 29,591 2,289,456
WSI Industries, Inc. 2,000 5,740
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* Xanser Corp. 42,800 94,588
* Yellow Roadway Corp. 21,783 1,149,707
York International Corp. 93,900 3,868,680
----------------
Total Industrials
(Cost $320,610,525) 385,582,611
----------------
Health Care -- (13.9%)
* A.D.A.M., Inc. 700 3,983
* # aaiPharma, Inc. 47,250 13,230
* Abaxis, Inc. 18,300 191,235
* Abgenix, Inc. 231,617 1,667,642
* Abiomed, Inc. 59,370 556,297
* # Able Laboratories, Inc. 47,000 200,690
* # Acacia Research-CombiMatrix 78,938 227,341
* Accelr8 Technology Corp. 880 2,130
* Accelrys, Inc. 56,300 297,264
* # Access Pharmaceuticals, Inc. 40,100 95,438
* Accredo Health, Inc. 814 36,483
* Adolor Corp. 105,500 1,008,580
* # Advanced Magnetics, Inc. 12,300 110,085
* Advanced Medical Optics, Inc. 156,212 6,031,376
* Advanced Neuromodulation Systems, Inc. 54,598 1,941,505
* Advancis Pharmaceutical Corp. 4,868 21,711
* # ADVENTRX Pharmaceuticals, Inc. 67,800 145,092
* Air Methods Corp. 27,770 188,281
* # Aksys, Ltd. 76,878 230,634
* Albany Molecular Research, Inc. 82,060 977,335
* Alexion Pharmaceuticals, Inc. 73,500 1,672,125
* Align Technology, Inc. 159,510 1,159,638
* Alkermes, Inc. 242,825 2,816,770
* Alliance Imaging, Inc. 127,700 1,280,831
* Allied Healthcare International, Inc. 36,700 253,964
* Allied Healthcare Products, Inc. 6,700 34,639
* Allos Therapeutics, Inc. 81,610 171,381
* Allscripts Healthcare Solutions, Inc. 100,949 1,651,526
* Almost Family, Inc. 1,600 19,008
Alpharma, Inc. Class A 110,200 1,418,274
* Alteon, Inc. 61,700 45,658
* Amedisys, Inc. 41,175 1,243,897
* America Services Group, Inc. 29,158 574,121
* American Claims Evaluation, Inc. 1,000 1,790
* American Dental Partners, Inc. 10,500 252,315
* American Healthways, Inc. 89,300 3,506,811
* American Medical Systems Holdings, Inc. 182,266 3,638,029
* American Retirement Corp. 78,400 1,073,296
American Shared Hospital Services 5,100 30,600
* AMICAS, Inc. 115,080 490,241
* AMN Healthcare Services, Inc. 76,500 1,104,660
* Amsurg Corp. 79,033 2,130,743
Analogic Corp. 35,600 1,512,644
* Andrx Corp. 2,800 55,944
* Angeion Corp. 215 514
* AngioDynamics, Inc. 7,332 144,880
* Anika Therapeutics, Inc. 19,800 299,574
* # Antigenics, Inc. 121,813 816,147
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* AP Pharma, Inc. 45,823 73,317
* # Aphton Corp. 94,488 65,197
* Applera Corp. - Celera Genomics Group 195,700 1,941,344
* Applied Imaging Corp. 3,775 5,360
* Apria Healthcare Group, Inc. 55,300 1,741,950
* Aradigm Corp. 82,790 89,413
* Arena Pharmaceuticals, Inc. 77,685 532,142
* Argonaut Technologies, Inc. 8,699 8,177
* Ariad Pharmaceuticals, Inc. 142,131 857,050
* Arqule, Inc. 86,933 569,411
* Array BioPharma, Inc. 99,503 620,899
# Arrhythmia Research Technology, Inc. 6,900 123,510
Arrow International, Inc. 109,900 3,714,620
* Arthrocare Corp. 49,692 1,602,070
* Aspect Medical Systems, Inc. 55,386 1,781,214
* # AtheroGenics, Inc. 96,100 1,369,425
Atrion Corp. 1,700 111,095
* ATS Medical, Inc. 38,197 124,140
* AVANIR Pharmaceuticals Class A 263,700 653,976
* Avant Immunotherapeutics, Inc. 141,134 200,410
* AVI BioPharma, Inc. 114,800 270,928
* Avigen, Inc. 54,843 163,981
* # AXM Pharma, Inc. 47,000 84,130
* Axonyx, Inc. 1,300 1,677
* Bentley Pharmaceuticals, Inc. 55,360 602,870
* Beverly Enterprises, Inc. 270,200 3,342,374
* Bioanalytical Systems, Inc. 4,600 29,210
* BioCryst Pharmaceuticals, Inc. 70,536 328,698
* Bioenvision, Inc. 97,262 634,148
* Bio-Imaging Technologies, Inc. 29,290 88,456
# BioLase Technology, Inc. 61,408 433,540
* Bio-Logic Systems Corp. 6,300 37,734
* BioMarin Pharmaceutical, Inc. 167,685 1,140,258
* Bio-Rad Laboratories, Inc. Class A 20,000 1,077,600
* Bio-Reference Laboratories, Inc. 34,246 503,416
* BioSante Pharmaceuticals, Inc. 49,300 182,410
* BioScrip, Inc. 82,505 431,501
* Biosite, Inc. 45,345 2,480,825
* Biosource International, Inc. 9,600 97,536
* Biospecifics Technologies Corp. 4,500 4,950
* BioSphere Medical, Inc. 38,400 180,864
* BioTime, Inc. 11,000 6,600
* Bioveris Corp. 30,900 157,281
* Bone Care International, Inc. 53,909 1,764,981
* # Bradley Pharmaceuticals, Inc. 40,051 400,911
* # BriteSmile, Inc. 785 2,747
* Bruker BioSciences Corp. 231,692 973,106
* Caliper Life Sciences, Inc. 79,324 488,636
* CancerVax Corp. 64,300 191,614
* Candela Corp. 60,910 623,109
* Cantel Medical Corp. 39,660 1,217,562
* Capital Senior Living Corp. 69,300 419,958
* Caprius, Inc. 27 81
* Caraco Pharmaceutical Laboratories, Ltd. 67,350 483,573
* Cardiac Sciences, Inc. 132,830 130,173
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* CardioDynamics International Corp. 126,602 281,056
* # Cardiotech International, Inc. 47,263 88,382
* # Cell Genesys, Inc. 115,152 669,033
* # Cell Therapeutics, Inc. 158,300 470,151
* # Cellegy Pharmaceuticals, Inc. 64,796 116,633
* Centene Corp. 111,900 3,597,585
* Cepheid, Inc. 113,806 1,035,635
* Cerus Corp. 60,000 245,400
* Chad Therapeutics, Inc. 10,000 40,700
Chemed Corp. 64,800 2,739,744
* Cholestech Corp. 38,800 355,020
* Ciphergen Biosystems, Inc. 75,886 156,325
* # Clarient, Inc. 20,200 28,684
Clinical Data, Inc. 1,787 31,094
* Closure Medical Corp. 41,627 1,122,680
CNS, Inc. 36,320 762,720
* Coast Dental Services, Inc. 2,066 7,438
* Collagenex Pharmaceuticals, Inc. 38,843 191,496
* Columbia Laboratories, Inc. 104,400 271,440
* Compex Technologies, Inc. 31,654 119,019
Computer Programs & Systems, Inc. 31,100 1,053,668
* Conceptus, Inc. 74,236 395,678
* Conmed Corp. 79,654 2,496,356
* Connetics Corp. 96,160 2,141,483
* Corautus Genetics, Inc. 1,542 6,091
* Corgentech, Inc. 2,700 6,480
* Corixa Corp. 160,458 681,946
* Cortex Pharmaceuticals, Inc. 3,500 8,190
* Corvel Corp. 10,900 289,286
* Cotherix, Inc. 37,600 342,160
* Critical Therapeutics, Inc. 16,500 96,690
* Criticare Systems, Inc. 29,800 138,272
* Cross Country Healthcare, Inc. 83,757 1,419,681
* # CryoLife, Inc. 63,000 456,750
* Cubist Pharmaceuticals, Inc. 133,040 1,331,730
* # CuraGen Corp. 134,760 576,773
* # Curative Health Services, Inc. 39,000 100,230
* Curis, Inc. 124,449 492,818
* CV Therapeutics, Inc. 97,005 1,961,441
* Cyberonics, Inc. 64,500 2,353,605
* Cygnus, Inc. 100 13
* Cypress Bioscience, Inc. 79,433 965,111
* # Cytogen Corp. 41,870 226,935
* # CytRx Corp. 1,700 1,445
D&K Healthcare Resources, Inc. 38,030 310,325
Datascope Corp. 39,134 1,191,239
* Daxor Corp. 4,600 94,760
* Del Global Technologies Corp. 10,927 30,760
* # Dendreon Corp. 156,681 828,842
* Dendrite International, Inc. 113,208 1,754,724
* DepoMed, Inc. 92,134 407,232
Diagnostic Products Corp. 75,800 3,300,332
* Digene Corp. 54,000 1,358,640
* # Digital Angel Corp. 112,800 442,176
* Discovery Laboratories, Inc. 114,123 804,567
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* Discovery Partners International, Inc. 67,953 200,461
* Diversa Corp. 116,578 582,890
* DJ Orthopedics, Inc. 57,900 1,606,725
* DOV Pharmaceutical, Inc. 56,428 852,063
* # Durect Corp. 139,866 502,119
* DUSA Pharmaceuticals, Inc. 44,700 500,193
* Dyax Corp. 81,900 380,835
* # Dynacq Healthcare, Inc. 22,200 104,562
* Eclipsys Corp. 17,600 236,192
* Elite Pharmaceuticals, Inc. 50,900 152,700
* Embrex, Inc. 16,700 187,374
* Emeritus Corp. 14,100 186,120
* Emisphere Technologies, Inc. 49,856 193,441
* Encore Medical Corp. 135,800 689,864
* Encysive Pharmaceuticals, Inc. 149,998 1,529,980
* # Endocare, Inc. 25,800 80,109
* Endologix, Inc. 82,351 358,227
* Enpath Medical, Inc. 11,600 77,372
* Entremed, Inc. 107,800 287,826
* Enzo Biochem, Inc. 84,304 1,287,322
* Enzon Pharmaceuticals, Inc. 51,600 313,212
* # EP Medsystems, Inc. 14,900 38,740
* Epimmune, Inc. 19,800 17,365
* EPIX Pharmaceuticals, Inc. 60,428 479,194
* eResearch Technology, Inc. 133,710 1,636,610
* Ergo Science Corp. 7,150 19,662
* Escalon Medical Corp. 3,200 25,440
* Exact Sciences Corp. 68,105 197,505
* Exactech, Inc. 10,800 144,720
* Exelixis, Inc. 197,823 1,388,717
E-Z-EM, Inc. 8,562 126,033
* First Horizon Pharmaceutical Corp. 93,864 1,764,643
* Fischer Imaging Corp. 9,100 25,298
* Five Star Quality Care, Inc. 31,600 215,512
* Genaera Corp. 23,000 46,230
* Genaissance Pharmaceuticals, Inc. 61,375 55,851
* Gene Logic, Inc. 82,272 277,257
* Genesis HealthCare Corp. 51,450 2,237,561
* Genta, Inc. 162,275 180,125
* Gentiva Health Services, Inc. 16,850 267,747
* GenVec, Inc. 116,369 215,283
* # Geron Corp. 141,209 1,129,672
* GTC Biotherapeutics, Inc. 59,964 80,352
* Guilford Pharmaceuticals, Inc. 115,520 291,110
* Haemonetics Corp. 67,300 2,739,110
* Hanger Orthopedic Group, Inc. 49,552 252,715
* Harvard Bioscience, Inc. 78,817 253,791
* HealthAxis, Inc. 750 1,425
* HealthExtras, Inc. 96,076 1,646,743
* HealthTronics Surgical Services, Inc. 86,210 1,094,005
* # Hemispherx Biopharma, Inc. 95,100 152,160
* Hi-Tech Pharmacal, Inc. 20,250 608,715
* HMS Holdings Corp. 50,688 314,266
* Hollis-Eden Pharmaceuticals, Inc. 50,053 424,950
* Hologic, Inc. 54,300 1,998,783
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Hooper Holmes, Inc. 184,000 736,000
* Horizon Health Corp. 9,900 434,115
* Human Genome Sciences, Inc. 115,329 1,300,911
* ICOS Corp. 3,915 84,564
* ICU Medical, Inc. 35,250 1,162,193
* IDX Systems Corp. 80,451 2,566,387
* I-Flow Corp. 58,000 947,720
* IGI, Inc. 2,100 2,625
* Illumina, Inc. 99,042 1,039,941
* # Immtech International, Inc. 27,700 352,344
* Immucor, Inc. 117,218 3,926,803
* ImmunoGen, Inc. 106,253 633,268
* # Immunomedics, Inc. 140,600 253,080
* Impath, Inc. 21,600 95,904
* Impax Laboratoroes, Inc. 152,044 2,493,522
* # Implant Sciences Corp. 22,300 63,332
* Incyte Corp. 215,405 1,643,540
* Indevus Pharmaceuticals, Inc. 119,394 409,521
* Inhibitex, Inc. 33,100 224,749
* InKine Pharmaceutical Co., Inc. 21,400 48,792
* Innovative Clinical Solutions, Ltd. 568 2
* # Insite Vision, Inc. 18,000 11,340
* # Insmed, Inc. 69,118 87,780
* Inspire Pharmaceuticals, Inc. 108,869 707,649
* Integra LifeSciences Holdings 76,255 2,548,442
* IntegraMed America, Inc. 3,100 32,395
* Interferon Scientific, Inc. 1,135 148
* Intermagnetics General Corp. 72,842 2,102,949
* InterMune, Inc. 84,700 1,017,247
* # Interpharm Holdings, Inc. 57,600 74,880
* IntraBiotics Pharmaceuticals, Inc. 19,300 66,585
* # Introgen Therapeutics, Inc. 79,911 570,565
* Intuitive Surgical, Inc. 81,623 4,040,339
Invacare Corp. 76,100 3,394,821
* Inverness Medical Innovations, Inc. 7,461 211,146
* Iomed, Inc. 16,500 34,650
* Iridex Corp. 6,800 40,800
* IRIS International, Inc. 42,424 810,723
* Isis Pharmaceuticals, Inc. 143,200 524,112
* # Isolagen, Inc. 78,000 317,460
* Ista Pharmaceuticals, Inc. 63,845 505,652
* # I-Trax, Inc. 58,600 90,830
* iVow, Inc. 6,500 2,925
* Kendle International, Inc. 34,403 396,667
* # Kensey Nash Corp. 29,554 803,869
* Keryx Biopharmaceuticals, Inc. 73,488 899,493
Kewaunee Scientific Corp. 2,000 15,980
* Kindred Healthcare, Inc. 96,478 3,722,121
* Kos Pharmaceuticals, Inc. 2,529 145,999
* Kosan Biosciences, Inc. 75,406 356,670
* K-V Pharmaceutical Co. Class A 93,250 1,855,675
* K-V Pharmaceutical Co. Class B 20,975 420,339
* Kyphon, Inc. 108,690 3,118,316
* La Jolla Pharmaceutical Co. 91,400 74,034
* LabOne, Inc. 44,585 1,718,306
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* Lannet Co., Inc. 58,830 294,150
* # Large Scale Biology Corp. 29,900 24,518
* Laserscope 55,650 1,916,030
LCA-Vision, Inc. 52,025 2,298,465
Lectec Corp. 3,900 5,460
* Lexicon Genetics, Inc. 164,918 798,203
* Lifecell Corp. 76,000 1,007,760
* Lifecore Biomedical, Inc. 33,730 430,395
* Lifeline Systems, Inc. 8,200 266,992
* LifePoint Hospitals, Inc. 25,910 1,165,432
* Ligand Pharmaceuticals, Inc. Class B 192,200 1,122,448
* # Lipid Sciences, Inc. 64,108 338,490
* Luminex Corp. 80,772 804,489
* Magellan Health Services, Inc. 69,382 2,252,834
* Martek Biosciences Corp. 29,100 1,088,049
* Matria Healthcare, Inc. 41,203 1,173,873
* # Matritech, Inc. 30,500 25,010
* Matrixx Initiatives, Inc. 24,675 260,075
Matthews International Corp. Class A 83,766 3,098,504
* Maxim Pharmaceuticals, Inc. 66,333 100,826
* Maxygen, Inc. 91,052 712,937
* Medarex, Inc. 265,262 2,010,686
* MedCath Corp. 46,849 1,213,858
* # Med-Design Corp. 25,262 17,178
* Medical Action Industries, Inc. 26,639 472,309
* Medical Staffing Network Holdings, Inc. 77,800 422,454
* Medicore, Inc. 3,800 45,220
* MEDTOX Scientific, Inc. 7,545 45,270
* Memory Pharmaceuticals Corp. 200 496
* Memry Corp. 26,600 42,560
Mentor Corp. 104,600 4,279,186
* Merge Technologies, Inc. 34,094 593,236
Meridian Bioscience, Inc. 40,704 742,848
* Merit Medical Systems, Inc. 68,076 995,952
Mesa Laboratories, Inc. 3,300 41,184
* Metropolitan Health Networks, Inc. 121,800 315,462
* Micro Therapeutics, Inc. 123,731 494,924
* Microtek Medical Holdings, Inc. 110,416 388,664
* # Milestone Scientific, Inc. 16,300 38,305
* Miravant Medical Technologies 1,800 1,116
* Molecular Devices Corp. 44,540 860,513
* Molina Healthcare, Inc. 7,400 316,720
* Myogen, Inc. 7,400 48,988
* Myriad Genetics, Inc. 79,957 1,316,092
* Nabi Biopharmaceuticals 152,850 1,878,527
* # Nanogen, Inc. 123,810 505,145
* # Nastech Pharmaceutical Co., Inc. 46,433 564,161
* National Dentex Corp. 5,250 98,438
National Home Health Care Corp. 5,465 72,521
* National Medical Health Card Systems, Inc. 12,600 290,052
National Research Corp. 7,000 99,610
* Natus Medical, Inc. 45,400 458,540
NDCHealth Corp. 93,600 1,568,736
* Nektar Therapeutics 220,283 4,026,773
* Neogen Corp. 24,125 351,284
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* Neopharm, Inc. 60,517 593,672
* Neose Technologies, Inc. 60,701 159,644
* Neurobiological Technologies, Inc. 2,700 8,964
* Neurocrine Biosciences, Inc. 26,900 1,013,323
* Neurogen Corp. 89,107 602,363
* New Brunswick Scientific Co., Inc. 7,660 40,981
* NMT Medical, Inc. 19,400 169,750
* North American Scientific, Inc. 39,750 119,250
* Northfield Laboratories, Inc. 67,685 883,966
* NovaMed, Inc. 55,400 342,926
* # Novavax, Inc. 102,771 140,796
* Noven Pharmaceuticals, Inc. 60,908 1,096,344
* Novoste Corp. 27,000 22,410
* NPS Pharmaceuticals, Inc. 97,120 1,123,678
* Nutraceutical International Corp. 30,064 396,544
* # Nutrition 21, Inc. 3,400 3,298
* NuVasive, Inc. 800 12,560
* Nuvelo, Inc. 104,581 775,991
NWH, Inc. 4,200 63,000
* # OCA, Inc. 130,851 536,489
* Odyssey Healthcare, Inc. 95,200 1,262,352
* Omnicell, Inc. 65,776 427,544
* Onyx Pharmaceuticals, Inc. 91,700 2,291,583
* Optical Sensors, Inc. 1,633 3,756
Option Care, Inc. 83,550 1,111,215
* OraSure Technologies, Inc. 115,850 962,714
* Orchid Biosciences, Inc. 58,160 565,315
* Orphan Medical, Inc. 10,300 109,592
* Orthologic Corp. 98,863 401,384
* Oscient Pharmaceutical Corp. 182,400 300,960
* Osteotech, Inc. 43,500 125,715
Owens & Minor, Inc. 102,900 3,189,900
* # Oxigene, Inc. 16,000 73,440
* Pain Therapeutics, Inc. 111,822 587,066
* PainCare Holdings, Inc. 116,100 476,010
* Palatin Technologies, Inc. 62 125
* Palomar Medical Technologies, Inc. 43,394 991,553
* Par Pharmaceutical Companies, Inc. 88,100 2,819,200
* Parexel International Corp. 67,962 1,240,307
* Patient Infosystems, Inc. 733 4,178
* PDI, Inc. 38,159 457,908
* Pediatric Services of America, Inc. 18,680 246,389
* Pediatrix Medical Group, Inc. 51,600 3,799,308
* Penwest Pharmaceuticals Co. 55,800 674,064
Perrigo Co. 186,047 2,891,170
* Per-Se Technologies, Inc. 78,427 1,487,760
* Pharmacopia Drug Discovery, Inc. 26,450 128,018
* # Pharmacyclics, Inc. 51,301 411,434
* # Pharmanetics, Inc. 1,000 275
* PhotoMedex, Inc. 65,295 139,731
* Physiometrix, Inc. 7,200 5,184
* Point Therapeutics, Inc. 660 3,056
PolyMedica Corp. 72,149 2,532,430
* Possis Medical, Inc. 44,554 469,154
* Pozen, Inc. 75,167 553,981
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* PRAECIS Pharmaceuticals, Inc. 97,104 64,089
* # Premier Laser Systems, Inc. Class A 3,400 1
* Priority Healthcare Corp. 96,039 2,197,372
* Progenics Pharmaceuticals, Inc. 46,300 926,000
* ProxyMed, Inc. 10,679 68,025
* PSS World Medical, Inc. 168,100 1,973,494
Psychemedics Corp. 5,225 75,763
* Psychiatric Solutions, Inc. 53,233 2,179,891
* Pure World, Inc. 7,600 15,048
* QLT, Inc. 38,900 403,393
* # QuadraMed Corp. 38,906 59,526
* Questcor Pharmaceuticals, Inc. 26,700 16,020
* Quidel Corp. 80,635 353,181
* Quigley Corp. 24,006 212,453
* Quinton Cardiology Systems, Inc. 34,800 278,052
* Radiation Therapy Services, Inc. 9,100 188,370
* Radiologix, Inc. 56,700 222,831
* Regeneration Technologies, Inc. 69,240 465,985
* Regeneron Pharmaceuticals, Inc. 139,337 868,070
* RehabCare Group, Inc. 42,700 1,186,633
* Repligen Corp. 72,100 165,109
* Res-Care, Inc. 37,785 503,674
* Rigel Pharmaceuticals, Inc. 11,822 211,496
* Rita Medical Systems, Inc. 97,521 259,406
* Rochester Medical Corp. 5,300 54,908
* # Rural/Metro Corp. 14,000 105,126
* Sangamo BioSciences, Inc. 65,897 247,114
* Savient Pharmaceuticals, Inc. 76,600 257,376
* Schick Technologies, Inc. 9,000 171,900
* Sciclone Pharmaceuticals, Inc. 123,969 308,683
* Seattle Genetics, Inc. 109,565 529,199
* # Senesco Technologies, Inc. 28,000 61,040
* Sequenom, Inc. 61,006 57,956
* SeraCare Life Sciences, Inc. 4,080 55,202
* Serologicals Corp. 89,922 1,932,424
* SFBC International, Inc. 47,518 1,663,605
* Sierra Health Services, Inc. 58,036 3,834,439
* # Sirna Therapeutics, Inc. 99,875 219,725
* Sonic Innovations, Inc. 54,300 236,205
* SonoSite, Inc. 39,945 1,226,312
* Sonus Pharmaceuticals, Inc. 55,550 179,982
Span-American Medical System, Inc. 2,400 24,720
* Specialty Laboratories, Inc. 60,000 493,200
* Spectranetics Corp. 65,882 376,186
* Spectrum Pharmaceuticals, Inc. 39,808 207,400
* SRI/Surgical Express, Inc. 8,700 39,455
* Staar Surgical Co. 53,600 210,648
* # StemCells, Inc. 2,600 10,790
* Stratagene Corp. 4,926 42,216
* Strategic Diagnostics, Inc. 50,100 140,781
* Sun Healthcare Group, Inc. 39,392 275,744
* Suncoast Naturals, Inc. 950 107
* SunLink Health Systems, Inc. 1,048 8,478
* # Sunrise Senior Living, Inc. 52,865 2,756,910
* SuperGen, Inc. 132,959 668,784
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* SurModics, Inc. 47,092 1,856,367
* Sybron Dental Specialties, Inc. 99,700 3,695,879
* Symbion, Inc. 1,000 23,600
* Synovis Life Technologies, Inc. 29,700 227,205
* Synthetech, Inc. 16,200 9,769
* Tanox, Inc. 113,954 1,128,145
* Telik, Inc. 133,900 1,909,414
* The Medicines Co. 125,092 2,744,518
* Theragenics Corp. 77,900 267,197
* Third Wave Technologies, Inc. 106,973 402,218
* Thoratec Corp. 126,743 1,893,540
* Titan Pharmaceuticals, Inc. 84,100 180,815
* TLC Vision Corp. 33,060 285,969
* Transgenomic, Inc. 10,749 7,309
* Transkaryotic Therapies, Inc. 90,386 3,072,220
* Trestle Holdings, Inc. 450 720
* Trimeris, Inc. 56,878 577,312
* TriPath Imaging, Inc. 98,952 849,998
* Tripos, Inc. 10,620 38,232
* TriZetto Group, Inc. 118,732 1,648,000
* U.S. Physical Therapy, Inc. 32,298 517,737
* United Surgical Partners International, Inc. 74,117 3,567,992
* United Therapeutics Corp. 58,458 2,920,562
* Urologix, Inc. 37,142 162,311
# Utah Medical Products, Inc. 5,000 108,800
* V.I. Technologies, Inc. 18,206 53,708
* Varian, Inc. 91,299 3,396,323
* # Vascular Solutions, Inc. 36,900 442,062
* Vaxgen, Inc. 42,400 421,456
* Ventana Medical Systems, Inc. 91,342 3,859,200
* Ventiv Health, Inc. 65,677 1,333,243
* Vertex Pharmaceuticals, Inc. 211,129 2,938,916
* Viasys Healthcare, Inc. 15,100 351,075
* Vical, Inc. 47,255 179,569
* Vicuron Pharmaceuticals, Inc. 157,650 2,598,072
* Virbac Corp. 22,000 72,050
* Virologic, Inc. 201,960 551,351
* # ViroPharma, Inc. 65,625 285,469
* Vision-Sciences, Inc. 5,100 13,719
* VistaCare, Inc. 500 8,920
* # Vital Images, Inc. 30,392 542,497
Vital Signs, Inc. 33,840 1,427,033
* Vivus, Inc. 111,164 264,570
West Pharmaceutical Services, Inc. 80,600 2,243,904
* Wilson Greatbatch Technologies, Inc. 56,100 1,348,644
* Wright Medical Group, Inc. 88,026 2,424,236
* Zevex International, Inc. 3,400 13,957
* Zila, Inc. 118,529 343,734
* Zoll Medical Corp. 24,862 590,224
* ZymeTx, Inc. 700 39
* Zymogenetics, Inc. 145,639 2,535,575
----------------
Total Health Care
(Cost $356,009,402) 364,979,811
----------------
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Financials -- (12.1%)
1st Independence Financial Group, Inc. 1,100 20,900
1st Source Corp. 53,131 1,157,193
# 21st Century Holding Co. 1,650 21,450
21st Century Insurance Group 214,200 2,983,806
* A. B. Watley Group, Inc. 9,400 564
ABC Bancorp 11,292 200,433
* # Acacia Research-Acacia Technologies 20,960 117,586
* Accredited Home Lenders Holding Co. 55,056 2,310,700
* ACE Cash Express, Inc. 36,832 803,306
Advanta Corp. Class A 25,017 573,640
Advanta Corp. Class B Non-Voting 49,242 1,214,800
* Aether Systems, Inc. 114,042 356,951
* # Agility Capital, Inc. 500 3
* # Aixtron AG 36,373 117,849
Alabama National Bancorporation 45,846 2,882,796
Alfa Corp. 209,478 2,999,725
* Allmerica Financial Corp. 11,700 408,564
Amcore Financial, Inc. 66,665 1,857,287
Amegy Bancorporation, Inc. 183,720 3,272,053
* AMEN Properties, Inc. 1,975 10,053
* # American Business Financial Services, Inc. 5,074 317
* American Independence Corp. 8,400 111,300
* American Physicians Capital, Inc. 22,400 776,160
American Physicians Services Group, Inc. 100 1,240
* American West Bancorporation 3,552 70,223
Americana Bancorp 2,712 38,809
* AmeriServe Financial, Inc. 50,766 277,182
AmerUs Group Co. 27,644 1,315,578
Anchor Bancorp Wisconsin, Inc. 60,417 1,668,718
* Arch Capital Group, Ltd. 5,900 263,435
* Argonaut Group, Inc. 74,701 1,564,239
Arrow Financial Corp. 10,239 276,453
ASB Financial Corp. 1,000 22,375
ASTA Funding, Inc. 1,900 53,048
* Atlantic American Corp. 21,100 63,722
Baldwin & Lyons, Inc. Class B 17,725 455,532
* Bancinsurance Corp. 5,700 29,640
* Bancshares of Florida, Inc. 100 1,600
Bank of Granite Corp. 16,400 297,824
Bank of The Ozarks, Inc. 42,900 1,356,498
BankAtlantic Bancorp, Inc. Class A 46,085 817,548
BankUnited Financial Corp. Class A 80,475 1,988,537
Banner Corp. 31,251 831,589
Bay View Capital Corp. 17,155 271,907
Beverly Hills Bancorp, Inc. 20,837 217,747
* BFC Financial Corp. 10,938 98,880
* BNS Holding, Inc. Class A 4,120 28,428
Boston Private Financial Holdings, Inc. 74,500 1,823,760
Bristol West Holdings, Inc. 700 12,110
Brookline Bancorp, Inc. 153,619 2,335,009
Bryn Mawr Bank Corp. 1,600 31,184
C&F Financial Corp. 300 12,000
California First National Bancorp 10,400 120,640
Camco Financial Corp. 7,516 108,456
Capital Corp. of the West 9,082 220,238
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* Capital Crossing Bank 11,800 383,264
Capital Southwest Corp. 300 24,690
Capitol Bancorp, Ltd. 8,564 265,056
* Cardinal Financial Corp. 47,258 430,048
Cash America International, Inc. 79,300 1,363,960
# Cavalry Bancorp, Inc. 500 11,000
Center Bancorp, Inc. 1,984 23,635
Center Financial Corp. 27,190 581,050
Central Bancorp, Inc. 1,600 41,392
Central Pacific Financial Corp. 78,100 2,772,550
Century Bancorp, Inc. Class A 1,000 26,280
* Ceres Group, Inc. 89,695 513,952
CFS Bancorp, Inc. 23,720 310,969
Charter Financial Corp. 22,811 793,823
Chemical Financial Corp. 65,873 2,106,619
Chester Valley Bancorp, Inc. 603 14,951
Chittenden Corp. 125,253 3,287,891
Citizens Banking Corp. 112,417 3,257,845
* Citizens First Bancorp, Inc. 750 15,757
Citizens South Banking Corp. 17,229 217,602
* # Citizens, Inc. 97,286 563,286
City Holding Co. 44,692 1,509,696
Clark, Inc. 49,524 718,098
* CNA Surety Corp. 90,918 1,256,487
CoBiz, Inc. 12,825 230,593
Columbia Banking System, Inc. 41,987 1,032,880
Commercial Bancshares, Inc. 5,665 220,878
Commercial Capital Bancorp, Inc. 34,625 586,894
Commercial Federal Corp. 106,000 2,651,060
Commercial National Financial Corp. 3,200 68,000
Community Bank System, Inc. 79,500 1,852,350
Community Bankshares, Inc. 210 3,622
Community Trust Bancorp, Inc. 15,103 447,200
Community West Bancshares 5,500 66,990
* # CompuCredit Corp. 123,710 3,900,576
Consolidated-Tokoma Land Co. 6,100 468,175
* Consumer Portfolio Services, Inc. 3,300 14,520
Cooperative Bankshares, Inc. 2,100 39,060
Corus Bankshares, Inc. 75,044 3,851,258
Crawford & Co. Class A 27,300 195,468
Crawford & Co. Class B 25,300 182,666
* Credit Acceptance Corp. 95,699 1,350,313
CVB Financial Corp. 159,058 2,933,030
* # Danielson Holding Corp. 107,650 1,749,312
Delphi Financial Group, Inc. Class A 74,050 3,139,720
Delta Financial Corp. 54,700 495,035
Dime Community Bancshares 99,000 1,494,900
Donegal Group, Inc. Class A 14,221 262,520
Donegal Group, Inc. Class B 3,910 64,398
Downey Financial Corp. 17,976 1,348,560
EFC Bancorp, Inc. 4,600 124,200
* E-Loan, Inc. 165,700 472,245
EMC Insurance Group, Inc. 11,300 201,592
* Encore Capital Group, Inc. 58,100 892,416
* Epoch Holding Corp. 8,400 37,800
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ESB Financial Corp. 11,762 156,671
* eSpeed, Inc. 84,500 724,165
* EZCORP, Inc. Class A Non-Voting 10,800 102,708
F.N.B. Corp. 146,320 2,718,626
FBL Financial Group, Inc. Class A 71,000 1,899,250
Federal Agriculture Mortgage Corporation 27,300 504,504
Fidelity Bankshares, Inc. 62,948 1,557,963
Fidelity Southern Corp. 8,800 142,736
Financial Federal Corp. 45,200 1,685,960
* Financial Industries Corp. 12,482 106,721
* Firebrand Financial Group, Inc. 9,100 637
* First Acceptance Corp. 112,100 1,003,295
First Albany Companies, Inc. 9,098 52,313
First Bancorp 9,315 194,683
* First Bank of Delaware 6,967 22,991
* First Cash Financial Services, Inc. 41,581 723,509
First Charter Corp. 77,808 1,715,666
First Citizens BancShares, Inc. 1,300 169,689
First Commonwealth Financial Corp. 180,951 2,417,505
First Community Bancorp 40,400 1,784,872
First Community Bancshares, Inc. 28,561 859,115
First Defiance Financial Corp. 6,859 183,410
First Federal Bancshares of Arkansas, Inc. 5,800 142,042
First Financial Bancorp 112,957 2,033,226
First Financial Bankshares, Inc. 15,395 639,508
First Financial Corp. 2,550 69,105
First Financial Holdings, Inc. 31,964 909,056
First Franklin Corp. 300 4,728
First Indiana Corp. 40,322 1,086,678
* First Investors Financial Services Group, Inc. 5,400 25,785
First Keystone Financial, Inc. 2,000 34,620
First M&F Corp. 2,100 69,961
* First Mariner Bancorp 4,900 81,683
First Merchants Corp. 47,508 1,181,524
First Midwest Bancorp, Inc. 7,375 255,839
First Mutual Bancshares, Inc. 5,013 123,821
First Niagara Financial Group, Inc. 269,404 3,507,640
First Oak Brook Bancshares, Inc. 3,150 86,908
First PacTrust Bancorp, Inc. 8,200 202,868
First Place Financial Corp. 38,858 765,114
First Republic Bank 65,425 2,098,834
First State Bancorporation 39,876 736,111
First United Corp. 3,500 70,840
Firstbank Corp. 2,976 75,907
FirstBank NW Corp. 2,928 76,567
* FirstCity Financial Corp. 28,500 370,500
* FirstFed Financial Corp. 42,900 2,324,322
Flag Financial Corp. 6,500 96,850
Flagstar Bancorp, Inc. 159,500 3,151,720
Flushing Financial Corp. 50,014 844,736
FMS Financial Corp. 3,300 57,865
FNB Corp. 2,700 49,950
FNB Financial Services Corp. 2,625 55,624
Foothill Independent Bancorp 8,193 168,627
* FPIC Insurance Group, Inc. 26,046 775,129
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* Franklin Bank Corp. 34,744 594,122
Frontier Financial Corp. 7,100 176,790
Gabelli Asset Management, Inc. 18,800 820,620
Gateway Financial Holdings, Inc. 19,065 343,364
GB & T Bancshares, Inc. 875 18,865
Glacier Bancorp, Inc. 79,771 1,862,659
Gold Banc Corp. 63,565 882,918
Great American Financial Resources, Inc. 18,300 308,538
Great Southern Bancorp, Inc. 13,600 424,456
Greater Bay Bancorp 132,312 3,325,001
Greater Communications Bancorp 3,690 59,040
Greene County Bancshares, Inc. 1,900 54,625
* Grubb & Ellis Co. 14,900 89,400
Guaranty Bancshares, Inc. 3,000 61,230
Guaranty Federal Bancshares, Inc. 3,000 69,750
Hancock Holding Co. 84,429 2,732,122
Hanmi Financial Corp. 12,900 207,303
Harbor Florida Bancshares, Inc. 61,991 2,205,020
Harleysville Group, Inc. 78,302 1,590,314
Harleysville National Corp. 68,134 1,571,851
Heartland Financial USA, Inc. 5,779 114,309
Heritage Commerce Corp. 2,800 51,856
Heritage Financial Corp. 7,500 163,125
HF Financial Corp. 3,630 82,582
Hilb Rogal Hamilton Co. 93,300 3,180,597
HMN Financial, Inc. 4,400 132,594
Home Federal Bancorp 4,300 104,920
# Home Loan Financial Corp. 1,700 33,303
HopFed Bancorp, Inc. 2,100 33,642
Horace Mann Educators Corp. 111,338 2,026,352
Horizon Financial Corp. 25,674 516,047
IBERIABANK Corp. 19,853 1,168,151
ILX Resorts, Inc. 2,900 28,449
Independence Holding Co. 4,950 87,367
Independent Bank Corp. MA 39,823 1,112,256
Independent Bank Corp. MI 55,084 1,550,064
Infinity Property & Casualty Corp. 53,046 1,697,472
* Instinet Group, Inc. 33,471 176,727
Integra Bank Corp. 45,119 996,679
Interchange Financial Services Corp. 18,900 343,224
* Investment Technology Group, Inc. 109,100 2,153,634
Investors Title Co. 1,400 49,308
Irwin Financial Corp. 73,500 1,542,765
* ITLA Capital Corp. 5,800 288,956
* Jones Lang LaSalle, Inc. 83,100 3,524,271
* Kennedy-Wilson, Inc. 8,800 90,816
* KNBT Bancorp, Inc. 7,184 107,118
* Knight Capital Group, Inc. 286,123 2,160,229
* LaBranche & Co., Inc. 112,200 620,466
* Ladenburg Thalmann Financial Services, Inc. 26,069 15,902
Lakeland Bancorp, Inc. 13,119 199,671
LandAmerica Financial Group, Inc. 46,200 2,596,440
Leesport Financial Corp. 551 13,659
LNB Bancorp, Inc. 1,200 20,028
LSB Bancshares, Inc. 5,156 90,746
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LSB Corp. 4,300 69,015
MAF Bancorp, Inc. 70,827 3,014,397
Main Street Banks, Inc. 55,524 1,464,168
MASSBANK Corp. 4,700 167,555
* Matrix Bancorp, Inc. 6,500 83,200
* Mays (J.W.), Inc. 200 3,208
MB Financial, Inc. 74,464 2,843,780
MBT Financial Corp. 44,861 857,742
MCG Capital Corp. 115,934 1,854,944
* Meadowbrook Insurance Group, Inc. 75,600 389,340
Medallion Finanacial Corp. 45,822 424,312
Mercantile Bank Corp. 1,260 51,471
* Mercer Insurance Group, Inc. 1,000 12,850
Merchants Bancshares, Inc. 6,150 162,852
Merchants Group, Inc. 1,300 32,630
Meta Financial Group, Inc. 2,400 50,640
* Metris Companies, Inc. 150,700 1,956,086
MetroCorp. Bancshares, Inc. 7,000 145,600
MFB Corp. 1,300 34,151
MicroFinancial, Inc. 15,200 59,128
Midland Co. 6,600 210,870
Mid-State Bancshares 60,403 1,616,988
Midwest Banc Holdings, Inc. 46,520 930,400
MutualFirst Financial, Inc. 2,000 43,920
Nara Bancorp, Inc. 60,711 843,276
National Penn Bancshares, Inc. 89,710 2,124,333
* National Western Life Insurance Co. Class A 1,000 183,375
* Navigators Group, Inc. 32,984 1,096,388
NBT Bancorp, Inc. 85,499 2,026,326
NetBank, Inc. 57,533 478,099
New Hampshire Thrift Bancshares, Inc. 400 6,460
NewMil Bancorp, Inc. 4,400 134,200
* Newtek Business Services, Inc. 89,188 230,997
North Central Bancshares, Inc. 1,700 65,858
Northeast Bancorp 900 19,728
Northrim BanCorp, Inc. 6,068 138,784
Northwest Bancorp, Inc. 131,309 2,613,049
NYMAGIC, Inc. 8,700 177,915
Oak Hill Financial, Inc. 3,000 77,790
OceanFirst Financial Corp. 33,880 728,420
* Ocwen Financial Corp. 162,434 1,174,398
Ohio Casualty Corp. 142,349 3,402,141
Old National Bancorp 96,100 1,905,663
Omega Financial Corp. 8,200 239,194
Pacific Capital Bancorp 118,247 3,996,749
* Pacific Mercantile Bancorp 5,900 83,284
* Pacific Premier Bancorp, Inc. 3,900 40,841
Pamrapo Bancorp, Inc. 5,100 111,690
Park Bancorp, Inc. 1,200 36,156
Parkvale Financial Corp. 5,700 158,460
Partners Trust Financial Group, Inc. 12,189 125,790
PAULA Financial 6,100 10,736
* Penn Treaty American Corp. 83,600 186,428
Pennfed Financial Services, Inc. 14,800 214,896
Penns Woods Bancorp, Inc. 770 37,391
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Peoples Bancorp, Inc. 300 5,909
PFF Bancorp, Inc. 65,700 1,907,928
* Philadelphia Consolidated Holding Corp. 27,238 2,246,318
* Pinnacle Financial Partners, Inc. 20,760 463,778
* Piper Jaffray Companies, Inc. 53,800 1,520,926
* PMA Capital Corp. Class A 82,308 611,548
Pocahontas Bancorp, Inc. 4,400 61,600
* Premier Financial Bancorp 5,200 56,550
Presidential Life Corp. 75,392 1,142,189
* ProAssurance Corp. 75,850 2,967,252
ProCentury Corp. 1,200 12,240
Prosperity Bancshares, Inc. 71,425 1,937,046
Provident Bancorp, Inc. 90,549 1,060,329
Provident Bankshares Corp. 86,093 2,723,983
Provident Financial Holdings, Inc. 8,325 231,601
Provident Financial Services, Inc. 16,553 294,312
Pulaski Financial Corp. 5,400 120,366
Rainier Pacific Financial Group, Inc. 2,000 34,180
Renasant Corp. 2,490 75,746
Republic Bancorp, Inc. 183,071 2,527,295
Republic Bancorp, Inc. Class A 15,986 364,801
* Republic First Bancorp, Inc. 7,803 103,936
* Rewards Network, Inc. 63,600 324,996
Riverview Bancorp, Inc. 4,500 96,750
RLI Corp. 66,000 2,886,840
Royal Bancshares of Pennsylvania, Inc. Class A 4,518 106,625
* RTW, Inc. 5,150 49,955
S&T Bancorp, Inc. 68,981 2,424,682
Sanders Morris Harris Group, Inc. 54,739 894,983
Sandy Spring Bancorp, Inc. 38,050 1,263,260
* SCPIE Holdings, Inc. 9,300 104,346
Seacoast Banking Corp. of Florida 40,153 813,901
Selective Insurance Group, Inc. 71,361 3,434,605
* Siebert Financial Corp. 22,300 65,785
Sierra Bancorp 1,700 38,733
Simmons First National Corp. Class A 36,427 893,919
Sound Federal Bancorp, Inc. 30,784 490,081
Southern Banc Co., Inc. 200 3,035
Southside Banchares, Inc. 348 6,835
Southwest Bancorp, Inc. 31,700 573,770
* Standard Management Corp. 7,600 13,680
State Auto Financial Corp. 103,912 2,805,624
State Financial Services Corp. Class A 7,800 309,660
Sterling Bancorp 47,351 1,001,474
Sterling Bancshares, Inc. 116,799 1,588,466
* Sterling Financial Corp. 59,270 2,095,194
Stewart Information Services Corp. 47,100 1,848,675
* Stifel Financial Corp. 25,200 532,224
* Stratus Properties, Inc. 7,050 117,594
Suffolk Bancorp 8,600 269,524
Summit Bancshares, Inc. 4,000 70,560
Summit Bank Corp. 2,520 35,305
* Sun Bancorp, Inc. 45,666 947,113
* Superior Essex, Inc. 21,408 359,012
Susquehanna Bancshares, Inc. 116,691 2,655,887
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* SVB Financial Group 71,258 3,403,282
SWS Group, Inc. 34,518 547,110
Teche Holding Co. 700 25,305
* Tejon Ranch Co. 13,900 721,410
Texas Regional Banchshares, Inc. Class A 82,660 2,379,781
Texas United Bancshares, Inc. 100 1,739
TF Financial Corp. 2,600 75,400
* Thackeray Corp. 4,100 0
* Thackeray Corp. Escrow Shares 4,100 820
* The Banc Corp. 45,200 474,600
The Colonial BancGroup, Inc. 8,500 189,465
# The Phoenix Companies, Inc. 246,900 2,839,350
* The Washtenaw Group, Inc. 1,500 1,875
TierOne Corp. 47,512 1,146,227
Timberland Bancorp, Inc. 3,900 89,739
Tompkins County Trustco, Inc. 399 16,479
* Tradestation Group, Inc. 108,600 800,382
* Trammell Crow Co. 91,400 2,061,070
* Triad Guaranty, Inc. 36,814 1,995,319
Trico Bancshares 9,900 201,960
TrustCo Bank Corp. NY 194,804 2,425,310
UICI 118,900 2,990,335
UMB Financial Corp. 56,265 3,133,960
Umpqua Holdings Corp. 110,236 2,569,601
* Unico American Corp. 5,500 50,325
Union Bankshares Corp. 170 6,164
Union Community Bancorp 2,300 37,904
* United America Idemnity, Ltd. 24,043 409,933
United Bankshares, Inc. 86,576 2,895,967
United Community Banks, Inc. 96,391 2,407,847
United Community Financial Corp. 78,072 820,537
United Financial Corp. 660 16,153
* United Financial Mortgage Corp. 10,400 45,032
United Fire & Casualty Co. 12,400 488,188
* United PanAm Financial Corp. 600 14,292
# United Security Bancshares 2,000 51,592
Unity Bancorp, Inc. 5,733 70,229
* Universal American Financial Corp. 143,652 2,720,769
Unizan Financial Corp. 33,197 846,192
* USA Mobility, Inc. 42,300 1,119,258
USB Holding Co., Inc. 17,953 379,367
Vail Banks, Inc. 1,300 18,200
Vesta Insurance Group, Inc. 93,800 236,376
* Virginia Commerce Bancorp, Inc. 625 13,962
Washington Banking Co. 6,240 89,232
Washington Savings Bank, FSB 2,400 20,784
Washington Trust Bancorp, Inc. 33,863 954,598
Wesbanco, Inc. 57,861 1,710,950
West Bancorporation 35,716 636,102
West Coast Bancorp 38,629 840,567
Westamerica Bancorporation 3,713 195,489
Westbank Corp. 4,740 79,822
* Western Sierra Bancorp 1,575 53,723
Westwood Holdings Group, Inc. 6,479 109,430
Willow Grove Bancorp, Inc. 23,951 365,157
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* Wilshire Enterprises, Inc. 7,107 53,302
Wintrust Financial Corp. 56,019 2,804,871
* World Acceptance Corp. 49,409 1,287,104
Yardville National Bancorp 16,400 556,124
Zenith National Insurance Corp. 18,600 1,178,310
----------------
Total Financials
(Cost $256,684,688) 315,527,466
----------------
Energy -- (5.3%)
* Abraxas Petroleum Corp. 4,100 11,234
Adams Resources & Energy, Inc. 4,200 70,770
* Atlas America, Inc. 400 12,504
* ATP Oil & Gas Corp. 72,000 1,518,480
* Atwood Oceanics, Inc. 41,000 2,348,890
Barnwell Industries, Inc. 800 49,000
Berry Petroleum Corp. Class A 54,700 2,601,532
* Bolt Technology Corp. 5,400 31,590
* # BPZ Energy, Inc. 544 2,502
* Brigham Exploration Co. 114,213 966,242
Cabot Oil & Gas Corp. 69,750 2,186,662
* Cal Dive International, Inc. 64,586 2,932,204
* Callon Petroleum Co. 45,762 647,532
CARBO Ceramics, Inc. 43,100 3,087,684
* Carrizo Oil & Gas, Inc. 18,600 280,488
Castle Energy Corp. 14,300 185,900
* # Cimarex Energy Co. 14,004 526,971
* Clayton Williams Energy, Inc. 9,200 251,344
* Comstock Resources, Inc. 105,900 2,416,638
* Contango Oil & Gas Co. 1,300 10,322
* Dawson Geophysical Co. 5,400 112,320
* Delta Petroleum Corp. 105,718 1,207,300
* Denbury Resources, Inc. 106,100 3,393,078
* Dril-Quip, Inc. 46,700 1,277,245
* Edge Petroleum Corp. 44,413 605,349
* Encore Acquisition Co. 84,800 3,163,040
* Endeavour International Corp. 213,700 703,073
* Energy Partners, Ltd. 93,300 2,131,905
Frontier Oil Corp. 70,100 3,428,591
* # FX Energy, Inc. 19,400 180,808
* Gasco Energy, Inc. 9,700 30,652
* Giant Industries, Inc. 34,700 999,707
* Goodrich Petroleum Corp. 54,700 968,737
* Grey Wolf, Inc. 496,000 3,258,720
* # GSV, Inc. 1,800 468
Gulf Island Fabrication, Inc. 31,577 634,698
* Gulfmark Offshore, Inc. 52,114 1,305,977
* Hanover Compressor Co. 225,100 2,347,793
* Harvest Natural Resources, Inc. 97,700 1,059,068
Holly Corp. 37,200 1,422,156
* # Horizon Offshore, Inc. 48,983 15,430
* Houston Exploration Co. 49,997 2,548,347
* Hydril Co. 47,500 2,465,725
* # Infinity, Inc. 27,998 230,983
* Input/Output, Inc. 204,500 1,212,685
* KCS Energy, Inc. 128,500 1,805,425
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* Key Energy Group, Inc. 249,200 2,738,708
* # KFX, Inc. 169,800 2,236,266
* Lone Star Technologies, Inc. 75,500 3,129,475
Lufkin Industries, Inc. 12,800 369,024
* Magnum Hunter Resources, Inc. 216,302 3,344,029
Maritrans, Inc. 7,800 186,342
MarkWest Hydrocarbon, Inc. 10,285 224,624
* # Matrix Service Co. 45,000 185,850
* Maverick Tube Corp. 111,200 3,359,352
* # McMoran Exploration Co. 63,464 1,174,719
* Meridian Resource Corp. 206,000 933,180
* Mission Resources Corp. 106,500 752,955
* Mitcham Industries, Inc. 22,300 156,546
* NATCO Group, Inc. Class A 25,100 270,076
* Natural Gas Services Group 300 3,087
* Newpark Resources, Inc. 218,300 1,331,630
* NS Group, Inc. 57,700 1,662,914
* Oceaneering International, Inc. 66,700 2,434,550
* Offshore Logistics, Inc. 60,500 1,894,860
* Oil States International, Inc. 128,831 2,983,726
* # OMNI Energy Services Corp. 29,200 47,596
Overseas Shipholding Group, Inc. 18,725 1,144,097
* Parallel Petroleum Corp. 81,100 552,291
* Parker Drilling Co. 246,600 1,405,620
Penn Virginia Corp. 47,800 1,972,706
* Petrohawk Energy Corp. 11,800 103,132
* Petroleum Development Corp. 43,033 1,124,452
* Pioneer Drilling Co. 1,500 20,985
Range Resources Corp. 164,500 3,799,950
* Remington Oil & Gas Corp. 72,200 2,238,200
* Rentech, Inc. 57,800 85,544
Resource America, Inc. 45,153 1,534,299
* Royale Energy, Inc. 4,509 24,619
RPC, Inc. 42,900 633,633
* Seabulk International, Inc. 46,800 917,748
* SEACOR Holdings, Inc. 49,400 2,868,164
* Spinnaker Exploration Co. 88,190 2,704,787
St. Mary Land & Exploration Co. 175,600 4,569,112
* Stone Energy Corp. 69,363 2,984,690
* Superior Energy Services, Inc. 199,200 3,117,480
* Swift Energy Corp. 72,900 2,489,535
* Syntroleum Corp. 138,726 1,202,754
* T-3 Energy Services, Inc. 1,250 8,875
* # Tel Offshore Trust 3,145 22,864
Tesoro Petroleum Corp. 43,595 1,900,742
* # Teton Petroleum Co. 20,400 71,400
* TETRA Technologies, Inc. 58,200 1,606,320
* Tipperary Corp. 17,900 83,593
* # Torch Offshore, Inc. 18,300 2,242
* Toreador Resources Corp. 4,900 105,252
* TransMontaigne, Inc. 108,100 895,068
* # Tri-Valley Corp. 57,800 690,132
* # U.S. Energy Corp. Wyoming 11,500 46,230
* Universal Compression Holdings, Inc. 82,249 2,812,916
USEC, Inc. 221,431 3,022,533
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* Veritas DGC, Inc. 88,000 2,376,000
* Westmoreland Coal Co. 21,300 457,524
* W-H Energy Services, Inc. 72,100 1,562,407
* Whiting Petroleum Corp. 7,660 264,883
World Fuel Services Corp. 59,300 1,562,555
----------------
Total Energy
(Cost $94,571,902) 139,052,612
----------------
Materials -- (5.0%)
* AEP Industries, Inc. 13,000 223,990
* AK Steel Holding Corp. 285,400 2,183,310
Albemarle Corp. 78,881 3,000,633
* Aleris International, Inc. 77,684 1,850,433
AMCOL International Corp. 78,200 1,517,080
* American Pacific Corp. 7,100 57,510
American Vanguard Corp. 2,642 47,292
Applied Extrusion Technologies, Inc. 50 0
Arch Chemicals, Inc. 60,122 1,417,076
Atlantis Plastics, Inc. 4,400 27,324
* Badger Paper Mills, Inc. 1,000 3,340
Bairnco Corp. 7,300 81,541
Balchem Corp. 7,050 195,285
* Brush Engineered Materials, Inc. 51,900 735,942
* Buckeye Technologies, Inc. 101,083 835,956
Calgon Carbon Corp. 102,600 914,166
Cambrex Corp. 72,600 1,314,060
* Canyon Resources Corp. 63,900 47,286
* Caraustar Industries, Inc. 76,066 798,693
Carpenter Technology Corp. 59,900 3,234,600
* Castle (A.M.) & Co. 15,437 215,964
* Century Aluminum Co. 86,490 1,938,241
Chesapeake Corp. 50,702 1,058,151
Cleveland-Cliffs, Inc. 54,000 3,166,020
* Coeur d'Alene Mines Corp. 643,300 2,142,189
Commercial Metals Co. 90,000 2,354,400
Compass Minerals International, Inc. 21,900 493,407
* Constar International, Inc. 20,900 66,880
* # Continental Materials Corp. 200 6,238
* # Core Molding Technologies, Inc. 7,700 72,380
CPAC, Inc. 5,120 25,549
Crompton Corp. 286,900 4,403,915
Deltic Timber Corp. 32,871 1,272,108
* Detrex Corp. 500 2,338
* Devcon International Corp. 3,600 42,300
Eagle Materials, Inc. 22,200 1,946,274
Eagle Materials, Inc. Class B 21,600 1,837,080
* Eden Bioscience Corp. 6,200 3,720
* Environmental Technologies Corp. 3,700 2
Ferro Corp. 108,900 2,095,236
Flamemaster Corp. 189 803
Friedman Industries, Inc. 6,158 47,355
Fuller (H.B.) Co. 73,609 2,384,932
Georgia Gulf Corp. 85,000 2,701,300
Gibraltar Industries, Inc. 63,004 1,232,358
Glatfelter (P.H.) Co. 114,100 1,277,920
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* Graphic Packaging Corp. 317,600 1,191,000
Great Lakes Chemical Corp. 132,800 4,501,920
Hawkins, Inc. 10,200 125,460
* Headwaters, Inc. 103,800 3,433,704
* Hecla Mining Co. 307,600 1,378,048
* Hercules, Inc. 208,900 2,886,998
* ICO, Inc. 14,320 33,509
* Impreso, Inc. 5,300 5,671
* Keystone Consolidated Industries, Inc. 2,100 357
Kronos Worldwide, Inc. 688 21,741
* Landec Corp. 61,790 370,122
* Lesco, Inc. 18,300 247,050
* # Liquidmetal Technologies, Inc. 68,495 106,852
Longview Fibre Co. 131,900 2,634,043
MacDermid, Inc. 78,800 2,293,868
* Material Sciences Corp. 37,500 457,500
* Maxxam, Inc. 8,900 206,925
Metal Management, Inc. 62,800 1,153,636
* Metals USA, Inc. 52,480 1,111,002
Minerals Technologies, Inc. 53,100 3,573,630
* Mines Management, Inc. 900 5,139
* Mod-Pac Corp. 2,750 43,860
* Mod-Pac Corp. Class B 1,112 16,458
Myers Industries, Inc. 89,419 997,022
* # Nanophase Technologies Corp. 46,498 303,167
Nevada Chemicals, Inc. 2,500 16,750
* NewMarket Corp. 43,500 591,165
Niagara Corp. 8,200 70,110
* NL Industries, Inc. 126,576 1,923,955
NN, Inc. 43,875 556,774
Northern Technologies International Corp. 3,000 14,700
* Northwest Pipe Co. 6,300 139,608
Olin Corp. 170,252 3,195,630
* # Olympic Steel, Inc. 25,900 406,630
* OM Group, Inc. 72,900 1,837,080
* OMNOVA Solutions, Inc. 14,000 56,840
* Oregon Steel Mills, Inc. 91,800 1,621,188
Packaging Dynamics Corp. 4,120 58,092
Penford Corp. 7,300 113,077
* PolyOne Corp. 170,800 1,147,776
Pope & Talbot, Inc. 44,800 494,144
Potlatch Corp. 75,300 3,892,257
Quaker Chemical Corp. 27,020 478,254
Quanex Corp. 65,250 3,385,823
Reliance Steel & Aluminum Co. 82,457 3,173,770
Roanoke Electric Steel Corp. 9,900 198,495
Rock of Ages Corp. 4,400 26,708
Rock-Tenn Co. Class A 89,500 1,030,145
Royal Gold, Inc. 54,235 951,824
* RTI International Metals, Inc. 56,400 1,544,796
# Ryerson Tull, Inc. 65,000 989,300
Schnitzer Steel Industries, Inc. Class A 62,351 1,441,555
Schulman (A.), Inc. 78,955 1,291,704
Schweitzer-Maudoit International, Inc. 38,600 1,156,842
Sensient Technologies Corp. 122,400 2,490,840
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Silgan Holdings, Inc. 47,913 2,731,041
* Southwall Technologies, Inc. 14,200 19,028
Spartech Corp. 83,600 1,691,228
Steel Dynamics, Inc. 36,058 969,600
Steel Technologies, Inc. 33,450 669,000
Stepan Co. 8,400 178,164
* Stillwater Mining Co. 234,900 1,585,575
Summa Industries, Inc. 5,200 40,040
* Symyx Technologies, Inc. 84,600 2,155,608
* Synalloy Corp. 5,900 68,145
* Terra Industries, Inc. 241,800 1,535,430
Texas Industries, Inc. 57,800 2,659,956
* # Titanium Metals Corp. 15,850 674,259
* # U.S. Aggregates, Inc. 1,600 4
* U.S. Concrete, Inc. 74,600 456,552
* UFP Technologies, Inc. 3,800 11,780
* Universal Stainless & Alloy Products, Inc. 6,000 75,300
Valhi, Inc. 10,040 186,142
Vulcan International Corp. 700 34,370
Wausau-Mosinee Paper Corp. 134,036 1,675,450
* Webco Industries, Inc. 6,000 34,500
Wellman, Inc. 70,400 791,296
* Williams Industries, Inc. 1,200 4,183
Worthington Industries, Inc. 28,229 473,118
* # Zoltek Companies, Inc. 44,000 438,240
----------------
Total Materials
(Cost $114,062,666) 129,825,100
----------------
Consumer Staples -- (3.5%)
* # Advanced Nutraceuticals, Inc. 700 2,975
* Alico, Inc. 7,000 360,500
Alliance One International, Inc. 209,216 1,341,075
# American Italian Pasta Co. 47,300 1,088,373
* Atlantic Premium Brands, Ltd. 2,000 2,300
* Boston Beer Co., Inc. Class A 26,200 553,082
* Bridgford Foods Corp. 10,400 80,704
* Cagle's, Inc. Class A 2,000 19,200
Calavo Growers, Inc. 26,043 270,665
Cal-Maine Foods, Inc. 55,600 360,844
* Carrington Laboratories, Inc. 9,800 36,456
Casey's General Stores, Inc. 129,310 2,332,752
CCA Industries, Inc. 18,266 183,573
* Central European Distribution Corp. 44,327 1,478,305
* Central Garden & Pet Co. 51,700 2,292,895
* Chattem, Inc. 53,600 2,299,440
Chiquita Brands International, Inc. 106,496 3,096,904
Coca-Cola Bottling Co. Consolidated 6,000 291,000
Corn Products International, Inc. 38,600 852,674
* Cruzan International, Inc. 4,600 64,170
* Darling International, Inc. 168,600 627,192
Delta & Pine Land Co. 100,600 2,716,200
* Elizabeth Arden, Inc. 74,300 1,561,786
Farmer Brothers Co. 19,000 456,000
* # Female Health Co. 9,300 16,740
Flowers Foods, Inc. 112,425 3,670,676
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* Foodarama Supermarkets, Inc. 1,100 34,100
* Fresh Brands, Inc. 5,100 34,374
* Galaxy Nutritional Foods, Inc. 11,500 23,000
* Gardenburger, Inc. 4,000 320
* Genesee Corp. Class B 200 415
* Glacier Water Services, Inc. 3,600 80,280
Golden Enterprises, Inc. 11,800 43,660
* # Great Atlantic & Pacific Tea Co., Inc. 100,400 2,502,972
* Green Mountain Coffee, Inc. 17,830 593,204
* Griffin Land & Nurseries, Inc. Class A 2,200 52,800
* Hain Celestial Group, Inc. 94,095 1,693,710
* Hines Horticulture, Inc. 22,000 78,100
Imperial Sugar Co. (NEW) 26,520 408,408
Ingles Market, Inc. Class A 26,180 330,915
* # Integrated Biopharma, Inc. 32,800 145,960
# Inter Parfums, Inc. 19,398 344,314
* # Interstate Bakeries Corp. 81,300 531,702
J & J Snack Foods Corp. 23,489 1,159,417
* Katy Industries, Inc. 8,300 28,967
Lance, Inc. 76,900 1,359,592
Longs Drug Stores Corp. 98,000 4,021,920
* M&F Worldwide Corp. 46,100 589,619
# Mannatech, Inc. 13,500 217,485
Marsh Supermarkets, Inc. Class A 1,600 18,000
Marsh Supermarkets, Inc. Class B 4,500 56,925
* Maui Land & Pineapple Co., Inc. 10,200 421,362
* # Medifast, Inc. 28,600 87,802
MGP Ingredients, Inc. 41,855 349,908
* Monterey Pasta Co. 32,100 96,942
Nash Finch Co. 32,440 1,154,215
* National Beverage Corp. 36,200 296,840
* Natrol, Inc. 10,000 28,000
* Natural Alternatives International, Inc. 5,400 40,824
Nature's Sunshine Products, Inc. 39,184 645,360
* # NeighborCare, Inc. 73,800 2,214,738
Northland Cranberries, Inc. 100 34
Nu Skin Enterprises, Inc. Class A 125,000 2,823,750
Oil-Dri Corp. of America 4,200 71,820
* Omega Protein Corp. 62,300 442,330
* # Parlux Fragrances, Inc. 23,623 590,103
* Pathmark Stores, Inc. 78,179 699,702
* Peet's Coffee & Tea, Inc. 34,739 986,240
* Performance Food Group Co. 117,187 3,171,080
* Pizza Inn, Inc. 10,000 26,500
* Playtex Products, Inc. 159,200 1,716,176
* PriceSmart, Inc. 47,000 329,000
Pyramid Breweries, Inc. 5,700 10,768
Ralcorp Holdings, Inc. 76,700 2,925,338
* Redhook Ale Brewery, Inc. 9,300 28,365
# Reliv International, Inc. 43,122 452,781
* Revlon, Inc. 881,100 2,616,867
Rocky Mountain Chocolate Factory, Inc. 4,216 99,329
Ruddick Corp. 122,500 2,943,675
* San Filippo (John B.) & Son, Inc. 19,893 420,737
Sanderson Farms, Inc. 51,900 1,967,010
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* Scheid Vineyards, Inc. 2,200 12,760
Seaboard Corp. 1,400 1,883,000
* Seneca Foods Corp. Class A 200 3,240
* Seneca Foods Corp. Class B 1,300 21,482
* Smart & Final Food, Inc. 79,600 863,660
* Spartan Stores, Inc. 52,475 676,927
* Spectrum Brands, Inc. 84,300 3,116,571
* # Star Scientific, Inc. 196,495 1,139,671
Stephan Co. 3,500 15,575
Tasty Baking Co. 18,900 151,200
The Topps Co., Inc. 105,148 979,979
* Tofutti Brands, Inc. 6,900 21,735
* United Natural Foods, Inc. 106,213 3,445,550
United-Guardian, Inc. 1,900 14,402
Universal Corp. 66,500 2,952,600
* # USANA Health Services, Inc. 49,660 2,180,074
# Vector Group, Ltd. 108,624 1,862,902
* Vermont Pure Holdings, Ltd. 17,300 31,486
WD-40 Co. 42,189 1,222,637
* Weider Nutrition International, Inc. 10,500 42,840
Weis Markets, Inc. 70,307 2,583,079
* Wild Oats Markets, Inc. 74,269 834,784
* # Winn-Dixie Stores, Inc. 331,700 348,285
----------------
Total Consumer Staples
(Cost $73,256,010) 92,468,675
----------------
Utilities -- (2.5%)
ALLETE, Inc. 80,100 3,844,800
American States Water Co. 43,450 1,215,731
* Aquila, Inc. 628,500 2,350,590
Artesian Resources Corp. Class A 1,815 58,570
Avista Corp. 129,500 2,283,085
* BayCorp Holdings, Ltd. 484 6,703
BIW, Ltd. 800 14,560
Black Hills Corp. 87,659 3,210,073
California Water Service Group 48,500 1,749,880
* # Calpine Corp. 32,730 97,535
Cascade Natural Gas Corp. 30,000 576,600
Central Vermont Public Service Corp. 32,800 688,800
CH Energy Group, Inc. 42,600 1,925,520
Chesapeake Utilities Corp. 14,100 406,362
Cleco Corp. 133,300 2,784,637
* CMS Energy Corp. 19,075 252,362
Connecticut Water Services, Inc. 7,600 190,152
Delta Natural Gas Co., Inc. 7,320 188,270
# Duquesne Light Holdings, Inc. 185,600 3,531,968
* Dynegy, Inc. 63,200 293,880
* El Paso Electric Co. 123,200 2,472,624
Empire District Electric Co. 67,600 1,553,448
* Energy West, Inc. 3,900 31,980
EnergySouth, Inc. 19,603 527,713
* Environmental Power Corp. 6,200 30,380
Florida Public Utilities Co. 3,866 68,428
Green Mountain Power Corp. 12,500 365,250
IDACORP, Inc. 108,400 3,069,888
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Laclede Group, Inc. 54,700 1,635,530
Maine & Maritimes Corp. 1,600 42,800
MGE Energy, Inc. 52,727 1,898,172
Middlesex Water Co. 8,400 162,456
New Jersey Resources Corp. 69,600 3,138,960
Northwest Natural Gas Co. 71,300 2,581,060
NorthWestern Corp. 18,564 537,985
Otter Tail Corp. 75,260 1,916,120
Piedmont Natural Gas Co. 64,600 1,580,116
PNM Resources, Inc. 116,000 3,380,240
RGC Resources, Inc. 3,564 96,014
SEMCO Energy, Inc. 73,900 404,972
* # Sierra Pacific Resources 305,100 3,645,945
SJW Corp. 9,000 379,800
South Jersey Industries, Inc. 35,864 2,033,489
* Southern Union Co. 1 17
Southwest Gas Corp. 96,700 2,415,566
Southwest Water Co. 50,169 533,798
UIL Holdings Corp. 38,100 1,975,104
Unisource Energy Corp. 67,080 1,929,892
Unitil Corp. 4,700 127,511
WGL Holdings, Inc. 14,000 455,560
----------------
Total Utilities
(Cost $52,099,958) 64,660,896
----------------
Telecommunication Services -- (1.0%)
* @Road, Inc. 148,000 408,480
Alaska Communications Systems Group, Inc. 26,700 252,849
* Boston Communications Group, Inc. 46,100 64,079
* # Broadwing Corp. 106,624 522,458
* Centennial Communications Corp. 156,896 2,053,769
* Cincinnati Bell, Inc. 641,000 2,531,950
* # Cogent Communications Group, Inc. 1,735 39,922
* Commonwealth Telephone Enterprises, Inc. 56,600 2,957,350
* Covista Communications, Inc. 3,000 2,640
CT Communications, Inc. 48,760 589,996
D&E Communications, Inc. 37,074 299,929
* General Communications, Inc. Class A 140,981 1,161,683
* GoAmerica, Inc. 56 390
Hector Communications Corp. 3,500 80,500
Hickory Tech Corp. 13,900 126,212
* IDT Corp. 45,278 610,800
* IDT Corp. Class B 194,300 2,661,910
* LCC International, Inc. Class A 51,841 185,072
* Lynch Interactive Corp. 2,800 74,200
* Metro One Telecommunications, Inc. 36,450 34,263
* # Network Plus Corp. 14,500 13
North Pittsburgh Systems, Inc. 39,006 731,753
* Pac-West Telecomm, Inc. 23,100 24,024
* Premiere Global Services, Inc. 183,937 2,069,291
* Price Communications Corp. 145,170 2,495,472
* # Primus Telecommunications Group, Inc. 166,257 149,631
* Rural Cellular Corp. Class A 4,800 23,136
* SBA Communications Corp. 101,800 1,138,124
* Shared Technologies Cellular, Inc. 10,100 15
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* SunCom Wireless Holdings, Inc. 149,100 313,110
SureWest Communications 37,312 888,026
* TALK America Holdings, Inc. 67,609 601,044
* Teleglobe International Holdings, Ltd. 11,300 26,894
* Time Warner Telecom, Inc. 124,187 633,354
* UbiquiTel, Inc. 237,390 1,642,739
* # US LEC Corp. 76,386 190,965
Warwick Valley Telephone Co. 300 7,500
* Wireless Facilities, Inc. 177,751 915,418
* WQN, Inc. 1,500 2,955
* Xeta Corp. 10,300 32,960
----------------
Total Telecommunication Services
(Cost $28,906,932) 26,544,876
----------------
Real Estate Investment Trusts -- (0.0%)
Saxon Capital, Inc. 16,400 277,652
----------------
(Cost $181,384)
Other -- (0.0%)
* Big 4 Ranch, Inc. 3,200 0
* Breed Technologies, Inc. 36,800 515
* Bush Industries, Inc. Escrow 700 16
* Career Blazers, Inc. Trust Units 800 0
* Celebrity, Inc. Escrow Shares 1,300 0
* Convergence Systems, Inc. 1 0
* Denali, Inc. 4,300 0
* DLB Oil & Gas, Inc. 1,300 0
* ePresence, Inc. Escrow Shares 25,100 3,263
* # EquiMed, Inc. Nevis 2,250 0
* Hoenig Group Escrow Shares 7,900 0
* iGo Escrow Share 4,100 0
* Imperial Sugar Co. 14,551 0
* Noel Group, Inc. 8,000 120
* # Nucentrix Broadband Networks, Inc. Escrow Shares 10,400 0
* Petrocorp, Inc. Escrow Shares 6,900 414
* Source Media, Inc. 27,400 0
* Starbiz Restrictive Shares 2 0
* StorageNetworks, Inc. Escrow Shares 60,800 1,648
* Suburban Lodges of America, Inc. Escrow Shares 18,500 0
Swisher International, Inc. 700 3,378
* # Trenwick Group, Ltd. 11,975 60
* Trump Entertainment Resorts, Inc. 23 309
* VLPS Lighting Services International, Inc. Escrow Shares 4,800 392
* Wireless WebConnect!, Inc. 2,500 28
----------------
Total Other
(Cost $1,548,194) 10,143
----------------
TOTAL COMMON STOCKS
(Cost $2,246,919,126) 2,480,887,153
----------------
RIGHTS/WARRANTS -- (0.0%)
Other -- (0.0%)
* American Banknote Corp. Warrants Series 1 10/01/07 30 0
* American Banknote Corp. Warrants Series 2 10/01/07 30 0
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* # Angeion Corp. Warrants 10/31/20 215 0
* Aura Systems, Inc. Warrants 05/31/05 1,262 0
* Chart Industries, Inc. Warrants 09/15/10 24 612
* Chiquita Brands International, Inc. Warrants 03/19/09 9,947 108,522
* CSF Holding, Inc. Litigation Rights 3,250 0
* Del Global Technologies Corp. Warrants 03/28/08 971 1,456
* # Foster Wheelers, Ltd. Warrants 09/24/07 40,600 0
* Imperial Credit Industries, Inc. Warrants 01/31/08 22 0
* Imperial Sugar Co. Warrants 08/29/08 498 348
* Milltope Group, Inc. Contigent Value Rights 5,800 0
* Optical Cable Corp. Warrants 10/24/07 2,823 0
* # OSI Pharmaceuticals, Inc. Contingent Value Rights 4,829 435
* PDS Gaming Corp. 1,100 1,650
PMR Corp. Contingent Value Rights 7,300 0
* # RCN Corp. Warrants 12/21/06 60 0
* Timco Aviation Services, Inc. Warrants 02/27/07 6,696 1
* Trico Marine Services, Inc. Warrants 03/15/08 Series B 744 1,183
* Trico Marine Services, Inc. Warrants 03/15/10 Series A 744 2,976
* Trump Entertainment Resorts, Inc. Warrants 05/23/06 2,634 0
* Virologic, Inc. Contingent Value Rights 102,461 17,931
----------------
Total Other
(Cost $970,937) 135,114
----------------
Consumer Discretionary -- (0.0%)
* Lodgian, Inc. Class A Warrants 11/25/07 188 6
* Lodgian, Inc. Class B Warrants 11/25/09 582 12
----------------
Total Consumer Discretionary
(Cost $0) 18
----------------
Consumer Staples -- (0.0%)
* Cruzan International, Inc. Rights 06/21/05 920 0
----------------
(Cost $0)
TOTAL RIGHTS/WARRANTS
(Cost $970,937) 135,132
----------------
FACE
AMOUNT VALUE+
---------------- ----------------
(000)
BONDS -- (0.0%)
Other -- (0.0%)
* Del Global Technologies Corp. Subordinated Promissory Note
6.000%, 03/28/07 2 0
* Timco Aviation Services, Inc. Jr. Subordinated Note
8.000%, 01/02/07 4 0
----------------
Total Other
(Cost $0) 0
----------------
TOTAL BONDS
(Cost $0) 0
----------------
TEMPORARY CASH INVESTMENTS -- (5.2%)
^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.92%, 06/01/05
(Collateralized by $189,895,000 U.S. STRIPS 9.875%, 11/15/15, valued at
$122,070,194) to be repurchased at $119,685,348 (Cost $119,675,641) 119,676 119,675,641
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $17,915,000 FHLMC Notes 4.00%, 09/22/09, valued at
$17,937,394) to be repurchased at $17,673,419 (Cost $17,672,000) 17,672 17,672,000
----------------
137,347,641
----------------
57
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TOTAL TEMPORARY CASH INVESTMENTS
(Cost $137,347,641) 137,347,641
----------------
TOTAL INVESTMENTS - (100.0%)
(Cost $2,385,237,704) $ 2,618,369,926
================
----------
+ See Note B to Financial Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
58
THE U.S. MICRO CAP SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
[Download Table]
SHARES VALUE+
---------------- ----------------
COMMON STOCKS -- (94.0%)
Information Technology -- (20.4%)
* 24/7 Real Media, Inc. 4,040 $ 12,282
* # 8X8, Inc. 84,000 162,120
* Access Integrated Technologies, Inc. 4,900 30,870
* # ACE*COMM Corp. 78,700 166,844
* Actel Corp. 173,096 2,560,090
* ActivCard Corp. 287,630 1,185,036
* Actuate Corp. 422,548 904,253
* Adaptec, Inc. 55,700 221,686
* ADDvantage Technologies Group, Inc. 2,200 6,886
* ADE Corp. 81,400 1,825,802
* Adept Technology, Inc. 6,000 48,300
* Advanced Digital Information Corp. 406,525 2,792,827
* Advanced Energy Industries, Inc. 225,617 2,152,386
* # Advanced Photonix, Inc. 68,300 150,260
* Advanced Power Technology, Inc. 73,800 476,010
* Advent Software, Inc. 224,881 4,511,113
* Aehr Test Systems 57,400 173,348
* Aeroflex, Inc. 6,300 50,400
* Aetrium, Inc. 87,300 225,234
* Agile Software Corp. 364,842 2,353,231
Agilysys, Inc. 216,138 3,324,202
* Airspan Networks, Inc. 262,139 1,253,024
Allen Organ Co. Class B 4,700 261,673
* Alliance Semiconductor Corp. 242,180 406,862
* Allied Motion Technologies, Inc. 34,580 165,292
* Alpha Technologies Group, Inc. 87,200 3,924
* Altiris, Inc. 57,819 1,086,997
American Software, Inc. Class A 277,700 1,432,932
* American Technical Ceramics Corp. 68,100 710,964
* Amistar Corp. 27,800 83,956
* Amkor Technology, Inc. 41,136 146,033
* Ampex Corp. Class A 7,565 268,558
* Amtech Systems, Inc. 2,400 14,376
* Anadigics, Inc. 213,000 349,320
* Analex Corp. 61,500 201,105
* Analysts International Corp. 190,092 625,403
* Analytical Surveys, Inc. 5,670 9,129
* Anaren, Inc. 134,946 1,597,761
* Ansoft Corp. 114,500 2,553,350
* AnswerThink, Inc. 307,749 1,218,686
* APA Enterprises, Inc. 41,400 65,412
* Apogee Technology, Inc. 4,500 5,445
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* Applied Films Corp. 102,301 2,751,897
* Applied Innovation, Inc. 142,200 692,514
* Applix, Inc. 121,600 586,112
* Apropos Technology, Inc. 123,050 316,239
* aQuantive, Inc. 420,385 6,469,725
* # Ardent Communications, Inc. 20,000 20
* Ariba, Inc. 82,006 502,697
* Arris Group, Inc. 604,747 5,237,109
* Art Technology Group, Inc. 117,611 127,020
* # Artisoft, Inc. 23,716 39,131
* Aspect Communications Corp. 412,662 3,961,555
* # Aspen Technology, Inc. 255,257 1,337,547
* Astea International, Inc. 21,160 156,372
Astro-Med, Inc. 54,422 476,193
* Asyst Technologies, Inc. 311,289 1,310,527
* Atari, Inc. 801,021 1,978,522
* ATMI, Inc. 153,395 4,310,400
* August Technology Corp. 115,815 1,316,817
* Authentidate Holding Corp. 233,400 686,196
* autobytel.com, Inc. 258,326 1,255,464
* # Avanex Corp. 441,189 445,601
* Avici Systems, Inc. 89,881 400,869
* Aware, Inc. 158,550 1,046,430
* Axcelis Technologies, Inc. 7,600 50,540
* Axesstel, Inc. 123,000 458,790
* # AXS-One, Inc. 197,000 330,960
* AXT, Inc. 114,600 144,396
* Bankrate, Inc. 59,099 1,079,739
BEI Technologies, Inc. 131,800 3,388,578
Bel Fuse, Inc. Class A 42,550 1,076,090
Bel Fuse, Inc. Class B 93,150 2,785,185
* Bell Industries, Inc. 88,500 195,585
* Bell Microproducts, Inc. 202,350 1,659,270
* BindView Development Corp. 338,887 1,057,327
* Bitstream, Inc. 81,600 225,216
Black Box Corp. 115,236 3,961,814
* Blonder Tongue Laboratories, Inc. 76,300 221,270
* Blue Coat Systems, Inc. 83,965 1,629,761
Bogen Communications International, Inc. 64,200 306,555
* # Bookham, Inc. 44,126 123,553
* Borland Software Corp. 73,000 467,200
* Bottomline Technologies, Inc. 127,064 1,725,529
* Brightpoint, Inc. 134,562 2,529,766
* # BroadVision, Inc. 226,173 316,642
* Brooks Automation, Inc. 293,056 4,419,284
* Brooktrout, Inc. 109,050 1,087,229
* CalAmp Corp. 154,084 1,016,954
* California Micro Devices Corp. 148,000 710,400
* Callidus Software 125,200 431,940
* CAM Commerce Solutions, Inc. 11,300 177,862
* Canterbury Consulting Group, Inc. 8,428 2,739
* Captaris, Inc. 209,500 758,390
* Captiva Software Corp. 85,109 1,142,163
* Carreker Corp. 153,865 807,791
* Carrier Access Corp. 234,130 1,128,507
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* Catalyst Semiconductor, Inc. 125,821 571,227
* Catapult Communications Corp. 102,598 1,443,554
* CCC Information Services Group, Inc. 112,590 2,632,354
* C-COR, Inc. 333,856 2,296,929
* CDC Corp. 6,093 15,233
Celeritek, Inc. 68,957 56,545
* CellStar Corp. 137,152 178,298
* Centillium Communications, Inc. 264,073 578,320
* Centra Software, Inc. 176,045 302,797
* # Cenuco, Inc. 87,000 287,970
* CEVA, Inc. 88,210 642,169
* Checkpoint Systems, Inc. 274,900 4,843,738
* Cherokee International Corp. 21,583 88,706
* Chordiant Software, Inc. 625,045 1,068,827
* Ciber, Inc. 469,764 3,828,577
* Ciprico, Inc. 49,200 214,020
* Cirrus Logic, Inc. 590,856 3,060,634
* Clarus Corp. 138,650 1,067,605
* ClearOne Communications, Inc. 32,300 107,882
* Cognitronics Corp. 82,975 313,646
Cohu, Inc. 151,479 2,911,426
* Comarco, Inc. 63,800 509,762
* # Commerce One, Inc. 13,200 1,663
Communications Systems, Inc. 118,400 1,195,840
* Competitive Technologies, Inc. 102,100 1,116,974
* Computer Horizons Corp. 298,100 864,490
* Computer Network Technology Corp. 179,900 899,500
* Computer Task Group, Inc. 174,600 611,100
* Comtech Telecommunications Corp. 151,837 5,491,944
* Concord Communications, Inc. 126,981 2,148,519
* Concur Technologies, Inc. 229,880 2,204,549
* Concurrent Computer Corp. 374,700 681,954
* Convera Corp. 268,025 1,155,188
* Copper Mountain Networks, Inc. 42,560 39,155
* Corillian Corp. 268,260 862,456
* Cosine Communications, Inc. 64,479 151,526
* Covansys Corp. 167,658 2,053,811
* # C-Phone Corp. 23,600 165
* Cray, Inc. 549,513 802,289
* Credence Systems Corp. 100,267 794,115
* # Critical Path, Inc. 15,110 7,102
* Crossroads Systems, Inc. 131,178 123,307
* CSP, Inc. 78,328 768,398
CTS Corp. 257,319 2,740,447
* # Cyberguard Corp. 211,495 1,357,798
* Cyberoptics Corp. 60,642 779,856
* Cybersource Corp. 517,800 3,474,438
* Daktronics, Inc. 167,200 3,894,088
* Data I/O Corp. 77,000 223,300
* Data Systems & Software, Inc. 86,500 103,800
* Datalink Corp. 51,500 126,690
* Dataram Corp. 83,150 487,259
* Datastream Systems, Inc. 126,600 750,738
* # DataTRAK International, Inc. 28,900 554,880
* Datawatch Corp. 18,488 77,650
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* Delphax Technologies, Inc. 52,900 197,476
* Digi International, Inc. 155,515 1,824,191
* Digimarc Corp. 116,994 596,669
* Digital Insight Corp. 249,640 5,427,174
* Digital Lightwave, Inc. 400 196
* Digital Theater Systems, Inc. 82,989 1,418,282
* Diodes, Inc. 131,250 4,364,063
* Display Technologies, Inc. 44,255 35
* Ditech Communications Corp. 234,060 1,687,573
* DocuCorp International, Inc. 103,300 692,110
* Document Sciences Corp. 15,400 107,030
* Dot Hill Systems Corp. 301,246 1,599,616
* DPAC Technologies Corp. 69,030 18,638
* DSP Group, Inc. 192,913 4,537,314
* DuraSwitch Industries, Inc. 8,800 13,077
* Dynamics Research Corp. 66,100 984,229
* E.piphany, Inc. 485,917 1,695,850
* EasyLink Services Corp. 27,519 26,969
* Echelon Corp. 277,698 1,907,785
* eCollege.com 151,900 1,569,127
* EDGAR Online, Inc. 86,500 249,985
* Edgewater Technology, Inc. 70,674 307,432
* EFJ, Inc. 41,000 291,100
* Electro Scientific Industries, Inc. 151,698 2,721,462
* Electroglas, Inc. 153,700 530,265
Electro-Sensors, Inc. 3,450 14,663
* eLoyalty Corp. 10,200 50,490
* Embarcadero Technologies, Inc. 170,602 974,137
* EMCORE Corp. 311,991 1,238,604
* EMS Technologies, Inc. 115,299 1,556,537
* En Pointe Technologies, Inc. 57,200 157,300
* # Endwave Corp. 55,900 2,015,195
* Entegris, Inc. 221,088 2,144,554
* Enterrasys Networks, Inc. 56,900 52,917
* Entrust, Inc. 438,220 1,792,320
* Epicor Software Corp. 397,428 4,900,287
* EPIQ Systems, Inc. 123,330 2,016,446
* ePlus, Inc. 60,880 754,973
* Equinix, Inc. 85,063 3,240,900
* ESS Technology, Inc. 266,793 1,099,187
* Evans & Sutherland Computer Corp. 99,800 512,473
* Evolving Systems, Inc. 71,600 189,740
* Exar Corp. 288,363 4,152,427
* Excel Technology, Inc. 83,222 2,084,711
* Extended Systems, Inc. 11,600 39,556
* Extreme Networks, Inc. 360,447 1,647,243
* Ezenia! Inc. 2,900 7,685
* # FalconStor Software, Inc. 328,918 2,404,391
* Fargo Electronics 99,400 1,794,170
* Faro Technologies, Inc. 99,375 2,764,613
* FEI Co. 112,249 2,337,024
* FindWhat.com 205,897 1,095,372
* Finisar Corp. 48,400 57,596
* Firstwave Technologies, Inc. 19,200 33,120
* FOCUS Enhancements, Inc. 28,188 21,141
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* Forgent Networks, Inc. 263,300 473,940
* Forrester Research, Inc. 149,203 2,461,850
Frequency Electronics, Inc. 89,100 1,042,470
* FSI International, Inc. 200,002 752,008
* Genesis Microchip, Inc. 158,881 2,629,481
* Gerber Scientific, Inc. 153,800 1,135,044
* Giga-Tronics, Inc. 49,100 198,855
* Glenayre Technologies, Inc. 394,184 1,261,389
* # Global e-Point, Inc. 18,731 56,568
* Global Imaging Systems, Inc. 39,125 1,243,784
* Globecomm Systems, Inc. 96,000 533,760
* Glowpoint, Inc. 138,839 184,656
* GoRemote Internet Communications, Inc. 172,300 268,788
* GTSI Corp. 84,700 692,846
* Halifax Corp. 8,650 33,389
* Harmonic, Inc. 504,055 3,140,263
* Hauppauge Digital, Inc. 83,200 320,320
* HEI, Inc. 33,900 103,412
Helix Technology Corp. 180,222 2,272,599
* HI/FN, Inc. 47,444 315,028
* HomeStore, Inc. 382,141 798,675
* Hypercom Corp. 358,400 2,275,840
* HyperFeed Technologies, Inc. 10,730 19,851
* I.D. Systems, Inc. 7,062 105,648
* # Ibis Technology Corp. 71,513 90,106
* iCAD, Inc. 37,500 133,125
* Identix, Inc. 735,967 4,040,459
* iGATE Capital Corp. 352,100 1,538,677
* # ImageWare Systems, Inc. 13,800 45,954
* I-many, Inc. 175,900 277,922
* Immersion Corp. 163,303 956,956
* Indus International, Inc. 159,700 359,325
* # Infocrossing, Inc. 137,089 1,502,495
* InFocus Corp. 270,546 1,125,471
* Informatica Corp. 457,293 3,923,574
* Information Architects Corp. 13,040 2,021
Inforte Corp. 82,450 282,804
infoUSA, Inc. 367,489 4,439,267
* Innodata Isogen, Inc. 155,726 465,621
* Innovex, Inc. 131,200 443,456
* Insightful Corp. 40,100 132,330
* InsWeb Corp. 12,966 36,305
Integral Systems, Inc. 118,700 2,581,725
* Integral Vision, Inc. 21,100 33,760
* Integrated Silicon Solution, Inc. 250,631 1,641,633
* # Intelli-Check, Inc. 74,200 408,842
* Intellidata Technologies Corp. 115,935 39,418
* Intelligent Systems Corp. 38,100 79,248
* Intelligroup, Inc. 116,800 137,824
* # Intellisync Corp. 412,433 1,101,196
* Interactive Intelligence, Inc. 109,891 536,268
* Interland, Inc. 107,645 204,526
* Interlink Electronics, Inc. 94,500 504,630
* Intermix Media, Inc. 209,800 1,244,114
* International Microcomputer Software, Inc. 4,200 4,914
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* Internet Commerce Corp. 13,900 22,518
* Interphase Corp. 62,700 442,035
Inter-Tel, Inc. 184,147 3,780,538
* Intervoice, Inc. 249,595 2,236,371
* Interwoven, Inc. 278,529 2,217,091
* Intest Corp. 29,200 104,799
* Intevac, Inc. 138,900 1,445,949
* Intrado, Inc. 121,589 1,555,123
* Intraware, Inc. 1,100 429
* IntriCon Corp. 46,700 88,730
* # Intrusion, Inc. 20,825 58,727
* Iomega Corp. 375,891 1,161,503
* iPass, Inc. 257,900 1,591,243
* # IPIX Corp. 2,000 5,340
* I-Sector Corp. 32,000 260,480
* # Island Pacific, Inc. 41,900 7,542
* Iteris, Inc. 9,700 25,511
* Itron, Inc. 154,100 6,335,051
* iVillage, Inc. 374,783 2,259,941
* IXYS Corp. 229,399 3,172,588
* Jaco Electronics, Inc. 63,009 197,850
* JDA Software Group, Inc. 200,411 2,589,310
* JMAR Industries, Inc. 189,000 238,140
* Jupitermedia Corp. 233,512 4,261,594
Keithley Instruments, Inc. 98,000 1,443,540
* Kemet Corp. 333,700 2,335,900
* Key Tronic Corp. 96,300 354,384
* Keynote Systems, Inc. 64,500 748,200
* Kintera, Inc. 11,000 33,990
* Komag, Inc. 191,540 5,525,929
* Kopin Corp. 483,010 1,859,589
* Kulicke & Soffa Industries, Inc. 354,805 2,061,417
Landauer, Inc. 82,000 4,005,700
* Lantronix, Inc. 15,000 20,550
* # LaserCard Corp. 104,450 626,700
* Lattice Semiconductor Corp. 115,212 486,195
* Lawson Software, Inc. 438,491 2,595,867
* LeCroy Corp. 85,200 1,402,392
* # Level 8 Systems, Inc. 26,400 1,531
* # Lexar Media, Inc. 524,656 2,633,773
Liberate Technologies, Inc. 47,200 14,632
* Lightbridge, Inc. 180,370 1,132,724
* Lightning Rod Software, Inc. 2,180 2,027
* LightPath Technologies, Inc. 8,650 22,490
* Lionbridge Technologies, Inc. 276,022 1,374,590
* Littlefuse, Inc. 86,468 2,600,957
* Logic Devices, Inc. 45,800 61,372
* LogicVision, Inc. 156,450 281,610
* Logility, Inc. 135,600 610,200
* LoJack Corp. 152,600 2,249,324
Lowrance Electronics, Inc. 20,439 424,109
* LTX Corp. 409,759 1,962,746
* Magma Design Automation, Inc. 242,305 1,931,171
* MAI Systems Corp. 2,807 168
* Management Network Group, Inc. 68,499 160,973
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* Manatron, Inc. 115 1,089
* Manchester Technologies, Inc. 83,700 524,799
* Manhattan Associates, Inc. 204,170 4,336,571
* Manugistic Group, Inc. 453,822 816,880
* Mapinfo Corp. 140,731 1,753,508
* # Marchex, Inc. Class B 22,109 329,866
* MatrixOne, Inc. 350,600 1,602,242
* Mattson Technology, Inc. 356,917 2,791,091
Maximus, Inc. 144,800 4,965,192
* Maxwell Technologies, Inc. 101,692 1,045,394
* McDATA Corp. 186,356 710,016
* MDI, Inc. 107,900 55,029
* Measurement Specialties, Inc. 78,500 1,522,900
* Mechanical Technology, Inc. 12,100 43,197
* MedQuist, Inc. 133,500 1,736,835
* Mentor Graphics Corp. 10,400 106,912
* Merix Corp. 130,500 946,125
* MetaSolv, Inc. 278,537 576,572
Methode Electronics, Inc. 80,000 955,200
* Metrologic Instruments, Inc. 151,310 2,097,157
* Micro Linear Corp. 109,300 639,405
* Micromuse, Inc. 97,737 613,788
* Microtune, Inc. 398,888 1,763,085
* # Mindspeed Technologies, Inc. 267,080 381,924
* MIPS Technologies, Inc. 290,392 2,503,179
* Mitek Systems, Inc. 6,100 3,843
* Mobility Electronics, Inc. 197,573 1,738,642
* Mobius Management Systems, Inc. 174,400 1,076,048
Mocon, Inc. 72,775 691,363
* Moldflow Corp. 73,862 974,978
* Monolithic System Technology, Inc. 176,788 984,709
* Motive, Inc. 79,300 689,117
* MRO Software, Inc. 174,246 2,613,690
* MRV Communications, Inc. 707,819 1,309,465
* # MSC.Software Corp. 171,500 1,763,878
* MSGI Security Solutions, Inc. 904 6,554
* # MTI Technology Corp. 3,300 5,412
* MTM Technologies, Inc. 44,200 175,474
MTS Systems Corp. 188,648 6,019,758
* Mykrolis Corp. 284,400 3,836,556
* Nanometrics, Inc. 119,851 1,351,919
* # Napco Security Systems, Inc. 146,760 1,354,595
* Neoforma, Inc. 156,824 1,074,244
* NeoMagic Corp. 127,268 47,089
* NEON Systems, Inc. 14,800 45,880
* Neoware Systems, Inc. 111,450 1,127,874
* Net Perceptions, Inc. 13,400 10,854
* Net2Phone, Inc. 310,579 496,926
* NETGEAR, Inc. 126,937 2,496,851
* Netguru, Inc. 46,800 48,672
* NetIQ Corp. 377,855 4,171,519
* NetManage, Inc. 49,128 311,963
* Netopia, Inc. 129,756 434,034
* NetRatings, Inc. 249,427 3,397,196
* Netscout System, Inc. 207,832 1,280,245
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* Network Engines, Inc. 207,412 352,600
* Network Equipment Technologies, Inc. 169,700 948,623
* Newport Corp. 294,653 4,139,875
* NIC, Inc. 535,448 2,350,617
* Niku Corp. 104,294 1,568,582
* NMS Communications Corp. 419,008 1,361,776
* Novatel Wireless, Inc. 197,294 2,460,256
* Nu Horizons Electronics Corp. 115,950 681,786
* Nuance Communications, Inc. 196,100 923,631
* NumereX Corp. Class A 102,700 493,987
* NYFIX, Inc. 214,349 1,082,462
* O.I. Corp. 25,700 305,188
* Omtool, Ltd. 30,770 180,005
* Online Resources Corp. 162,240 1,580,218
* ONYX Software Corp. 108,284 362,751
* Open Solutions, Inc. 21,481 381,288
* Opent Technologies, Inc. 136,883 1,107,383
* OpenTV Corp. 159,125 443,959
* Oplink Communications, Inc. 183,800 273,862
* Opsware, Inc. 641,367 3,187,594
* OPTi, Inc. 118,200 198,576
* Optical Cable Corp. 37,205 165,934
* Optical Communication Products, Inc. 169,285 303,020
* OSI Systems, Inc. 111,942 1,667,936
* Overland Storage, Inc. 107,900 1,045,551
* OYO Geospace Corp. 41,100 672,478
* Packeteer, Inc. 232,555 2,760,428
* PalmSource, Inc. 104,417 1,047,303
* Panavision, Inc. 13,000 71,500
* PAR Technology Corp. 79,500 2,277,675
* Paradyne Networks Corp. 388,950 766,232
Park Electrochemical Corp. 137,400 3,187,680
* # Parkervision, Inc. 122,450 551,025
* Parlex Corp. 57,800 341,020
* # Path 1 Network Technologies, Inc. 46,200 184,800
* Paxar Corp. 39,500 695,990
* PC Connection, Inc. 168,680 861,955
* PC-Tel, Inc. 148,300 1,084,073
* PDF Solutions, Inc. 177,661 2,085,740
* PEC Solutions, Inc. 187,618 2,909,955
* Peerless Systems Corp. 101,700 368,154
* Pegasus Solutions, Inc. 146,987 1,581,580
* Pegasystems, Inc. 239,718 1,431,116
* Pemstar, Inc. 146,200 172,516
* Perceptron, Inc. 76,350 498,566
* Performance Technologies, Inc. 131,275 883,481
* Pericom Semiconductor Corp. 180,589 1,446,518
* Pervasive Software, Inc. 225,700 1,044,991
* Pfsweb, Inc. 1 2
* Phoenix Technologies, Ltd. 170,641 1,385,605
* Photon Dynamics, Inc. 115,000 2,220,650
* Photronics, Inc. 226,608 5,218,782
* Pinnacle Systems, Inc. 456,453 2,697,637
* Pixelworks, Inc. 113,400 971,838
* Planar Systems, Inc. 100,000 804,000
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* PLATO Learning, Inc. 158,226 1,208,847
* Plexus Corp. 287,089 3,947,474
* Plumtree Software, Inc. 7,194 33,092
* PLX Technology, Inc. 184,900 1,408,938
* Porta Systems Corp. 1,490 224
* Portal Software, Inc. 265,283 522,608
* Power Intergrations, Inc. 211,001 5,026,044
* PowerCerv Corp. 12,633 7,074
* Powerwave Technologies, Inc. 347,661 3,174,145
* Presstek, Inc. 241,438 2,061,881
Printronix, Inc. 67,150 1,066,342
* Private Business, Inc. 8,305 13,454
* Procom Technology, Inc. 19,200 30,720
Programmers Paradise, Inc. 48,200 495,014
* Proxim Corp. 20,861 6,676
QAD, Inc. 233,779 1,641,129
Quality Systems, Inc. 99,200 5,964,896
* Quantum Corp. 362,400 942,240
* QuickLogic Corp. 182,000 795,340
* # Quokka Sports, Inc. 480 4
* Quovadx, Inc. 202,907 551,907
* Radiant Systems, Inc. 251,931 2,635,198
* RadiSys Corp. 137,113 2,217,117
* Radyne ComStream, Inc. 71,000 608,470
* Raindance Communictions, Inc. 104,200 213,610
* Ramtron International Corp. 185,100 505,304
* Redback Networks, Inc. 342,252 1,950,836
* Register.com, Inc. 99,500 621,875
* Reliability, Inc. 24,600 4,920
* Relm Wireless Corp. 47,941 112,661
* REMEC, Inc. 191,059 1,194,123
* Remote Dynamics, Inc. 2,702 4,188
Renaissance Learning, Inc. 138,490 2,737,947
* Research Frontiers, Inc. 1,100 4,796
* RF Monolithics, Inc. 83,500 526,050
Richardson Electronics, Ltd. 112,404 1,000,396
* Rimage Corp. 92,225 1,950,559
* Riverstone Networks, Inc. 1,900 1,335
* Robotic Vision Systems, Inc. 6,201 198
* Rofin-Sinar Technologies, Inc. 104,400 3,372,120
* Rogers Corp. 92,900 3,845,131
* Rudolph Technologies, Inc. 116,373 1,678,099
* S1 Corp. 501,290 2,245,779
* # Saba Software, Inc. 72,699 295,158
* Safeguard Scientifics, Inc. 586,100 580,239
* SafeNet, Inc. 164,151 5,157,624
* SatCon Technology Corp. 151,700 207,829
* SBE, Inc. 34,600 75,082
* SBS Technologies, Inc. 105,900 1,028,289
* ScanSoft, Inc. 836,552 3,396,401
* ScanSource, Inc. 87,080 4,274,757
* Schmitt Industries, Inc. 17,800 165,540
* Scientific Learning Corp. 1,900 11,343
* Scientific Technologies, Inc. 38,400 121,344
* SCM Microsystems, Inc. 104,624 310,733
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* Seachange International, Inc. 190,903 1,508,134
* Secure Computing Corp. 213,058 2,390,511
* SeeBeyond Technology Corp. 591,484 1,762,622
* SEEC, Inc. 1,200 240
* Segue Software, Inc. 102,300 511,500
* Selectica, Inc. 261,300 828,321
* Semitool, Inc. 197,600 1,732,952
* # ServiceWare Technologies, Inc. 2,530 8,855
* SI International, Inc. 20,362 577,263
* # Sigma Designs, Inc. 173,500 1,370,650
* Sigmatron International, Inc. 18,200 193,830
* # Silicon Graphics, Inc. 162,400 131,544
* Silicon Storage Technology, Inc. 97,900 336,776
* SimpleTech, Inc. 311,866 1,091,531
* Sipex Corp. 223,709 369,120
* Sirenza Microdevices, Inc. 245,538 790,632
* SM&A 140,170 1,227,889
* Smith Micro Software, Inc. 121,400 524,448
* Somera Communications, Inc. 83,100 115,509
* # Sonic Foundry, Inc. 95,300 121,984
* Sonic Solutions, Inc. 167,550 2,560,164
* SonicWALL, Inc. 485,782 3,002,133
SpectraLink Corp. 163,500 1,883,520
* Spectrum Control, Inc. 118,900 841,812
* SPSS, Inc. 90,385 1,579,930
* # SR Telecom, Inc. 162 50
* SRS Labs, Inc. 120,600 676,457
SS&C Technologies, Inc. 156,896 4,691,190
* Staktek Holdings, Inc. 37,030 101,462
* Standard Microsystems Corp. 127,800 2,078,028
StarTek, Inc. 100,900 1,407,555
* SteelCloud, Inc. 75,500 176,670
* Stellent, Inc. 185,724 1,405,931
* Stratasys, Inc. 72,213 2,336,813
* Stratex Networks, Inc. 478,875 838,031
* Stratos International, Inc. 86,635 373,397
* SumTotal Systems, Inc. 58,283 244,206
* Sunair Electronics, Inc. 33,700 310,377
Sunrise Telecom, Inc. 275,600 440,960
* Suntron Corp. 36,507 47,824
* Supertex, Inc. 94,300 1,639,877
* SupportSoft, Inc. 296,352 1,535,103
* Sykes Enterprises, Inc. 270,400 2,238,912
* Symmetricom, Inc. 378,352 4,267,811
* Synaptics, Inc. 181,262 3,485,668
* SYNNEX Corp. 10,200 161,364
* Synplicity, Inc. 180,733 1,102,471
Syntel, Inc. 67,063 1,050,207
* Taitron Components, Inc. 15,500 27,125
TALX Corp. 143,228 3,998,926
* Taser International, Inc. 6,500 73,710
* Technical Communications Corp. 7,300 22,265
Technitrol, Inc. 96,400 1,265,732
* Technology Solutions Corp. 41,200 21,424
* TechTeam Global, Inc. 81,200 1,136,800
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* Tegal Corp. 41,000 43,460
* TeleCommunication Systems, Inc. 209,790 539,160
* # Telkonet, Inc. 304,200 1,277,640
* Telular Corp. 106,075 413,693
* Terayon Communication Systems, Inc. 525,573 1,666,066
* Tessco Technologies, Inc. 53,500 681,590
* Therma-Wave, Inc. 239,769 374,040
* TheStreet.com, Inc. 227,700 705,870
* Three-Five Systems, Inc. 136,100 91,187
* Tier Technologies, Inc. Class B 169,900 1,501,916
* TII Network Technologies, Inc. 57,160 83,454
* Tollgrade Communications, Inc. 88,995 674,582
* Track Data Corp. 3,418 7,520
* Transact Technologies, Inc. 82,200 808,026
* Transaction Systems Architects, Inc. 33,327 759,189
* Transcat, Inc. 42,500 196,775
* Trans-Industries, Inc. 9,500 5,890
Trans-Lux Corp. 7,545 50,174
* Transmeta Corp. 1,384 1,121
* # Transwitch Corp. 52,000 102,440
* Trident Microsystems, Inc. 210,300 4,454,154
* Tripath Technology, Inc. 9,041 7,052
* Triquint Semiconductor, Inc. 147,266 499,232
Troy Group, Inc. 14,400 37,440
TSR, Inc. 100,400 587,742
* TTM Technologies, Inc. 283,741 2,252,904
* Tumbleweed Communications Corp. 327,369 720,212
* Tut Systems, Inc. 173,800 524,876
* Tyler Technologies, Inc. 388,250 2,527,508
* Ulticom, Inc. 297,727 2,739,088
* Ultimate Software Group, Inc. 155,644 2,477,852
* Ultradata Systems, Inc. 2,500 650
* Ultratech, Inc. 164,802 2,888,979
United Online, Inc. 334,480 4,328,171
* Universal Display Corp. 193,684 1,820,630
* # USDATA Corp. 24,040 1,683
* VA Software Corp. 367,930 621,802
* Veeco Instruments, Inc. 202,896 3,057,643
* VendingData Corp. 2,100 3,990
* # Verilink Corp. 154,542 245,722
* Verity, Inc. 281,479 2,401,016
* Versant Corp. 6,000 2,460
* Verso Technologies, Inc. 61,399 15,964
* Viasat, Inc. 185,211 3,757,931
* Vicon Industries, Inc. 44,450 131,128
Video Display Corp. 96,880 1,249,752
* Viewpoint Corp. 364,721 528,845
* Vignette Corp. 86,378 100,198
* # Viisage Technology, Inc. 317,272 1,357,924
* Virage Logic Corp. 152,000 1,678,080
* Visual Networks, Inc. 64,100 82,689
* # Vitech America, Inc. 99,280 70
* Vitesse Semiconductor, Inc. 86,500 216,250
* Vitria Technology, Inc. 227,009 726,429
* Vodavi Technology, Inc. 26,400 146,256
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* Vyyo, Inc. 102,816 635,403
* WatchGuard Technologies, Inc. 229,784 834,116
* webMethods, Inc. 322,647 1,622,914
* WebSideStory, Inc. 48,100 550,745
* Westell Technologies, Inc. 365,584 2,189,848
* White Electronics Designs Corp. 165,556 826,124
Wireless Telecom Group, Inc. 192,400 486,772
* Witness Systems, Inc. 185,078 3,216,656
* WJ Communications, Inc. 266,742 536,151
Woodhead Industries, Inc. 157,850 2,025,216
* # WorldGate Communications, Inc. 24,000 121,464
X-Rite, Inc. 173,100 1,914,486
* Zhone Technologies, Inc. 201,650 546,472
* # Zix Corp. 219,784 723,089
* Zomax, Inc. 265,192 729,278
* Zones, Inc. 147,800 546,860
* Zoran Corp. 250,641 3,092,910
* Zygo Corp. 122,265 1,183,525
----------------
Total Information Technology
(Cost $724,847,028) 716,433,089
----------------
Consumer Discretionary -- (17.0%)
* 1-800 CONTACTS, Inc. 93,065 1,818,490
* 1-800-FLOWERS.COM, Inc. 201,690 1,494,523
* 4Kids Entertainment, Inc. 92,100 1,749,900
* A.C. Moore Arts & Crafts, Inc. 137,700 4,097,952
* Acme Communications, Inc. 120,000 475,200
Acme United Corp. 30,407 517,527
* ACT Teleconferencing, Inc. 13,437 7,928
Action Performance Companies, Inc. 131,400 1,223,334
* Advanced Marketing Services, Inc. 135,675 552,876
* AFC Enterprises, Inc. 9,700 247,350
* Aftermarket Technology Corp. 151,100 2,317,874
* Alderwoods Group, Inc. 29,100 403,035
Aldila, Inc. 35,733 830,435
* All American Semiconductor, Inc. 45,140 216,221
* Alliance Gaming Corp. 352,500 4,578,975
* Alloy, Inc. 215,380 1,107,053
Ambassadors Group, Inc. 70,300 2,541,345
* Amcast Industrial Corp. 85,700 1,671
* American Biltrite, Inc. 57,750 542,850
* America's Car-Mart, Inc. 80,910 1,731,474
* AMS Health Sciences, Inc. 31,800 56,922
Andersons, Inc. 51,500 1,689,200
* Applica, Inc. 159,500 456,170
Arctic Cat, Inc. 93,682 2,023,531
Ark Restaurants Corp. 21,400 581,224
* Arlington Hospitality, Inc. 60,600 75,750
* Asbury Automotive Group, Inc. 100,900 1,483,230
* Ashworth, Inc. 132,600 1,272,960
* Audiovox Corp. Class A 138,426 2,025,172
* # Avatar Holdings, Inc. 47,000 2,251,300
* Ballantyne of Omaha, Inc. 126,135 548,687
* Bally Total Fitness Holding Corp. 235,100 714,704
* Barry (R.G.) Corp. 163,435 735,457
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Bassett Furniture Industries, Inc. 105,200 2,054,556
* Beasley Broadcast Group, Inc. 52,078 837,414
* Benihana, Inc. 11,500 167,900
* Benihana, Inc. Class A 3,335 49,325
* Big Dog Holdings, Inc. 2,100 14,217
* BJ's Restaurants, Inc. 136,703 2,515,335
Blair Corp. 68,800 2,686,640
* Blount International, Inc. 197,300 3,484,318
* Bluegreen Corp. 226,729 3,822,651
* Bombay Co., Inc. 302,900 1,614,457
* Bontex, Inc. 2,200 132
Bon-Ton Stores, Inc. 110,500 1,996,735
Books-A-Million, Inc. 171,700 1,445,714
Boston Acoustics, Inc. 52,750 783,865
Bowl America, Inc. Class A 55,406 742,163
* Boyds Collection, Ltd. 460,400 1,008,276
* # Brillian Corp. 26,800 83,616
* Broadview Media, Inc. 15,800 63,200
* Brookstone, Inc. 170,775 3,439,408
Brown Shoe Company, Inc. 129,300 4,538,430
* Buca, Inc. 132,551 676,010
Buckle, Inc. 101,800 4,017,028
Building Materials Holding Corp. 86,200 5,346,986
* Bull Run Corp. 14,490 10,433
* CabelTel International Corp. 3,430 17,321
* Cache, Inc. 109,806 1,436,262
Cadmus Communications Corp. 67,100 1,066,890
* California Coastal Communities, Inc. 63,600 1,881,924
* California Pizza Kitchen, Inc. 135,131 3,243,144
* Calloway's Nursery, Inc. 1,700 348
* Candie's, Inc. 196,113 1,041,360
* Candlewood Hotel Co., Inc. 3,100 186
* Capital Pacific Holdings, Inc. 87,000 358,440
Carmike Cinemas, Inc. 86,143 2,817,738
* Carriage Services, Inc. 123,600 726,768
* Casual Male Retail Group, Inc. 236,140 1,664,787
* Catalina Lighting, Inc. 11,080 91,410
Cato Corp. Class A 139,300 4,020,198
* Cavalier Homes, Inc. 148,500 542,025
* Cavco Industries, Inc. 23,012 619,253
* CD Warehouse, Inc. 5,600 18
* Champion Enterprises, Inc. 476,400 4,635,372
* Championship Auto Racing Teams, Inc. 29,900 4,933
* Champps Entertainment, Inc. 109,710 883,165
* Charles and Colvard, Ltd. 92,820 1,876,820
* Charlotte Russe Holding, Inc. 151,700 1,812,815
* Chaus (Bernard), Inc. 1,760 1,443
* Checkers Drive-In Restaurants, Inc. 78,030 1,122,852
Cherokee, Inc. 20,200 713,464
Christopher & Banks Corp. 248,800 4,553,040
* Chromcraft Revington, Inc. 100,600 1,207,200
Churchill Downs, Inc. 17,700 762,162
Coachmen Industries, Inc. 108,400 1,327,900
Coast Distribution System, Inc. 40,600 184,324
* Coastcast Corp. 75,000 174,375
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* Cobra Electronics Corp. 114,900 815,790
Collegiate Pacific, Inc. 69,000 608,580
* # Collins & Aikman Corp. 492,920 55,946
Concepts Direct, Inc. 1,600 240
* Concord Camera Corp. 156,186 203,042
* Congoleum Corp. Class A 35,500 149,100
* Conn's, Inc. 10,235 195,386
* Cost Plus, Inc. 154,099 3,584,343
* Cost-U-Less, Inc. 13,600 113,696
Courier Corp. 141,318 4,951,783
CPI Corp. 39,200 713,440
Craftmade International, Inc. 61,350 1,023,870
* Crown Media Holdings, Inc. 18 169
* CSK Auto Corp. 274,500 4,647,285
CSS Industries, Inc. 32,250 993,300
* Culp, Inc. 152,480 663,288
Cutter & Buck, Inc. 111,600 1,465,308
* # Cybex International, Inc. 75,950 232,407
* Cycle Country Accessories Corp. 34,100 113,894
* Daily Journal Corp. 200 7,750
* Dave & Busters, Inc. 121,200 2,176,752
Deb Shops, Inc. 100,300 3,030,063
* Deckers Outdoor Corp. 64,900 1,571,878
Decorator Industries, Inc. 20,587 168,608
Delta Apparel, Inc. 38,640 1,134,857
* Delta Woodside Industries, Inc. 51,000 33,150
* Department 56, Inc. 115,950 1,294,002
* Diedrich Coffee, Inc. 28,025 117,173
* Digital Generation Systems, Inc. 314,100 342,369
* Dixie Group, Inc. 98,600 1,461,252
* Dominion Homes, Inc. 61,600 956,648
Dover Downs Gaming & Entertainment, Inc. 7,845 92,806
Dover Motorsports, Inc. 118,100 680,256
* Drew Industries, Inc. 94,000 3,854,000
* drugstore.com, Inc. 581,292 1,999,644
* Duckwall-ALCO Stores, Inc. 41,000 809,750
* Dura Automotive Systems, Inc. 128,800 549,976
* # E Com Ventures, Inc. 10,825 154,256
* eCost.com, Inc. 113,829 359,927
* Educational Development Corp. 15,400 155,540
* ELXSI Corp. 7,100 23,430
* EMAK Worldwide, Inc. 58,100 639,100
* Emerging Vision, Inc. 145,200 20,328
* Emerson Radio Corp. 184,378 475,695
* Enesco Group, Inc. 122,400 471,240
* Entravision Communications Corp. 229,405 1,704,479
* Everlast Worldwide, Inc. 5,600 39,200
* Fab Industries, Inc. 40,200 120,600
* # Factory 2-U Stores, Inc. 73,754 369
* Fairchild Corp. Class A 148,929 342,537
* Famous Dave's of America, Inc. 77,130 836,860
* Featherlite, Inc. 78,600 326,190
Fedders Corp. 259,982 577,160
Federal Screw Works 33,750 735,750
* Finlay Enterprises, Inc. 79,800 1,035,804
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Flanigan's Enterprises, Inc. 20,600 153,470
* # Fleetwood Enterprises, Inc. 382,599 3,661,472
Flexsteel Industries, Inc. 60,900 853,209
* Foamex International, Inc. 157,909 241,601
* # Footstar, Inc. 83,700 353,632
* Fountain Powerboat Industries, Inc. 35,700 169,932
* Fox & Hound Restaurant Group 67,031 824,481
* Franklin Covey Co. 181,100 1,122,820
* Franklin Electronic Publishers, Inc. 81,300 304,875
Fred's, Inc. 271,786 4,030,586
* Friedmans, Inc. Class A 131,900 129,262
* Friendly Ice Cream Corp. 24,500 259,700
Frisch's Restaurants, Inc. 63,868 1,571,153
* Gadzooks, Inc. 81,000 3,564
* Gaiam, Inc. 3,551 21,165
GameTech International, Inc. 70,200 195,156
* Gaming Partners International Corp. 31,800 480,180
* # Gander Mountain Co. 13,647 169,086
* Genesco, Inc. 153,900 5,271,075
Gentek, Inc. 66,974 730,686
* G-III Apparel Group, Ltd. 61,470 442,584
Goody's Family Clothing, Inc. 177,000 1,256,700
* Gottschalks, Inc. 129,300 1,389,975
Gray Television, Inc. 295,800 3,475,650
Gray Television, Inc. Class A 41,200 455,672
* Group 1 Automotive, Inc. 162,200 4,332,362
* # GSI Commerce, Inc. 287,954 4,273,237
* Guess, Inc. 305,000 5,136,200
* Gymboree Corp. 225,300 2,982,972
Haggar Corp. 58,500 1,079,910
* Ha-Lo Industries, Inc. 8,600 6
* Hammons (John Q.) Hotels, Inc. Class A 49,400 1,141,634
* Hampshire Group, Ltd. 12,700 504,952
Hancock Fabrics, Inc. 182,600 1,075,514
Handleman Co. 149,605 2,715,331
* Harolds Stores, Inc. 41,537 60,229
* Harris Interactive, Inc. 409,243 2,017,568
* Hartmarx Corp. 295,600 2,802,288
* Hastings Entertainment, Inc. 96,000 573,120
* Hastings Manufacturing Co. 13,700 23,975
Haverty Furniture Co., Inc. 50,700 716,391
Haverty Furniture Co., Inc. Class A 12,000 169,800
* Hayes Lemmerz International, Inc. 47,100 306,150
* Hibbett Sporting Goods, Inc. 162,012 5,689,861
* Hollywood Media Corp. 216,957 1,006,680
* Image Entertainment, Inc. 172,400 691,324
* IMPCO Technologies, Inc. 182,458 605,761
* Index Development Partners, Inc. 6,700 13,400
* Infosonics Corp. 14,000 41,860
* Insight Communications Co., Inc. 326,606 3,690,648
* Insignia Systems, Inc. 58,650 52,785
* Interface, Inc. Class A 314,268 2,404,150
* Interstate Hotels & Resorts, Inc. 205,150 943,690
* INVESTools, Inc. 310,350 1,132,777
* Isle of Capri Casinos, Inc. 190,855 4,748,472
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* J. Alexander's Corp. 104,700 777,921
* J. Jill Group, Inc. 168,450 2,147,737
* Jaclyn, Inc. 20,027 123,166
* Jakks Pacific, Inc. 183,956 3,802,371
* Jennifer Convertibles, Inc. 41,000 92,250
* Jo-Ann Stores, Inc. 156,300 4,181,025
* Johnson Outdoors, Inc. 52,800 924,528
* # Jos. A. Bank Clothiers, Inc. 102,937 4,057,777
* Journal Register Co. 158,300 2,629,363
* K2, Inc. 328,063 4,130,313
Kenneth Cole Productions, Inc. Class A 82,300 2,477,230
* Keystone Automotive Industries, Inc. 141,700 2,797,158
Kimball International, Inc. Class B 160,449 1,973,523
* Kirkland's, Inc. 93,173 828,308
Knape & Vogt Manufacturing Co. 27,588 310,365
Koss Corp. 84,000 1,431,343
* # Krause's Furniture, Inc. 23,000 2
* # Krispy Kreme Doughnuts, Inc. 390,000 3,155,100
* LaCrosse Footwear, Inc. 20,400 201,960
* Lakeland Industries, Inc. 26,486 344,859
* # Lakes Entertainment, Inc. 153,500 1,908,005
Landry's Restaurants, Inc. 34,900 1,045,953
* Lazare Kaplan International, Inc. 67,400 580,988
La-Z-Boy, Inc. 91,300 1,218,855
* Learning Care Group, Inc. 31,700 117,290
Levitt Corp. Class A 128,300 3,695,040
Libbey, Inc. 95,400 1,817,370
Liberty Corp. 14,300 516,373
Liberty Homes, Inc. Class A 200 970
Lifetime Hoan Corp. 89,052 1,519,227
Lithia Motors, Inc. Class A 105,700 2,811,620
* LKG Corp. 14,666 364,010
* Lodgenet Entertainment Corp. 121,761 2,065,067
* Lodgian, Inc. 1,698 16,131
Lone Star Steakhouse & Saloon, Inc. 127,334 3,846,760
* LOUD Technologies, Inc. 112,900 395,150
* Luby's, Inc. 156,150 1,286,676
M/I Homes, Inc. 126,500 6,385,720
* Mace Security International, Inc. 26,700 70,747
* Madden (Steven), Ltd. 123,500 2,193,360
* Magic Lantern Group, Inc. 11,700 842
* Magna Entertainment Corp. 15,800 84,056
* Main Street Restaurant Group, Inc. 100,825 348,854
* Major Automotive Companies, Inc. 3,350 3,450
* # Manning (Greg) Auctions, Inc. 119,284 1,136,777
Marine Products Corp. 103,005 1,555,375
* MarineMax, Inc. 116,976 3,219,180
* Marisa Christina, Inc. 68,900 62,699
* Marlton Technologies, Inc. 52,900 42,849
* Max & Erma's Restaurants, Inc. 20,844 307,657
* Mayor's Jewelers, Inc. 160,400 91,428
McRae Industries, Inc. Class A 9,100 106,652
* Meade Instruments Corp. 138,060 381,046
* MediaBay, Inc. 2,500 1,350
* Mediacom Communications Corp. 32,496 197,576
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* Merisel, Inc. 5 36
* Mestek, Inc. 115,650 2,975,674
* Michael Anthony Jewelers, Inc. 40 117,200
* Midas, Inc. 110,400 2,594,400
* Mikohn Gaming Corp. 155,125 1,956,126
* Mity Enterprises, Inc. 40,550 596,085
Monaco Coach Corp. 200,600 3,291,846
* Monarch Casino & Resort, Inc. 145,000 2,914,500
* Monro Muffler Brake, Inc. 83,397 2,240,877
* Morgan's Foods, Inc. 500 850
* Mossimo, Inc. 149,150 633,887
* Mothers Work, Inc. 35,000 477,050
* Motorcar Parts of America, Inc. 24,500 257,862
Movado Group, Inc. 185,800 3,132,588
* MTR Gaming Group, Inc. 197,581 2,027,181
* # Multimedia Games, Inc. 194,509 2,075,411
* Nathan's Famous, Inc. 52,600 436,001
* National RV Holdings, Inc. 102,650 910,505
* Nature Vision, Inc. 500 2,315
Nautilus Group, Inc. 89,050 2,383,868
* # Navarre Corp. 186,300 1,676,700
* Navigant International, Inc. 104,400 1,321,704
Nelson (Thomas), Inc. 126,800 2,948,100
* # Netflix, Inc. 301,042 4,301,890
* Nevada Gold & Casinos, Inc. 88,050 967,669
* New Frontier Media, Inc. 20,500 123,000
* Nitches, Inc. 11,213 50,346
* Nobel Learning Communities, Inc. 49,600 434,000
Nobility Homes, Inc. 43,800 1,098,942
Noble International, Ltd. 64,190 1,325,523
* NTN Communications, Inc. 363,891 793,282
* Nutri/System, Inc. 212,000 2,599,120
* O'Charleys, Inc. 150,075 2,786,893
* Odd Job Stores, Inc. 86,200 12,930
Ohio Art Co. 3,600 26,100
* One Price Clothing Stores, Inc. 19,114 14
* # Oneida, Ltd. 103,200 242,520
* Opinion Research Corp. 27,500 193,600
Orleans Homebuilders, Inc. 129,000 2,889,600
OshKosh B'Gosh, Inc. Class A 66,126 1,711,341
Oxford Industries, Inc. 114,500 4,094,520
* P & F Industries, Inc. Class A 600 9,750
* Palm Harbor Homes, Inc. 154,248 2,889,065
* Pantry, Inc. 140,533 5,437,222
* Papa John's International, Inc. 113,678 4,433,442
* Party City Corp. 118,927 1,590,054
* Paxson Communications Corp. 343,100 257,325
* Payless Cashways, Inc. 436 1
* PC Mall, Inc. 94,300 466,700
* # Pegasus Communications Corp. 56,640 355,416
* Perry Ellis International, Inc. 68,400 1,368,000
* PetMed Express, Inc. 161,806 1,142,350
Phillips-Van Heusen Corp. 87,200 2,702,328
* Phoenix Gold International, Inc. 3,600 1,980
* Pinnacle Entertainment, Inc. 276,900 4,826,367
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* Playboy Enterprises, Inc. Class B 197,080 2,497,004
* Point.360 84,700 252,406
* Pomeroy IT Solutions, Inc. 105,149 1,323,826
# Pre-Paid Legal Services, Inc. 106,500 4,011,855
* PRIMEDIA, Inc. 78,404 286,175
* Princeton Review, Inc. 77,683 424,926
* Provide Commerce 83,890 1,938,698
* QEP Co., Inc. 15,000 155,700
Quaker Fabric Corp. 147,950 514,866
* # Quantum Fuel Systems Technologies Worldwide, Inc. 272,701 1,158,979
* R&B, Inc. 138,600 1,864,170
Raytech Corp. 51,695 80,127
* RC2 Corp. 138,561 4,993,738
* Reading International, Inc. Class A 142,163 946,806
* Reading International, Inc. Class B 10,140 65,910
* RedEnvelope, Inc. 8,351 83,092
* Regent Communications, Inc. 551,100 3,306,600
* Rentrak Corp. 104,800 1,053,240
* Rent-Way, Inc. 181,100 1,678,797
* Reptron Electronics, Inc. 2,178 3,049
* Restoration Hardware, Inc. 266,000 1,883,280
* Retail Ventures, Inc. 263,656 2,971,403
* Rex Stores Corp. 141,475 1,980,650
* Rexhall Industries, Inc. 26,800 4,958
* Riviera Holdings Corp. 66,300 1,342,575
* Rockford Corp. 57,300 149,553
* Rocky Shoes & Boots, Inc. 34,200 1,011,978
* Rubio's Restaurants, Inc. 68,500 626,775
Russ Berrie & Co., Inc. 141,800 1,844,818
Russell Corp. 225,800 4,222,460
* Ryan's Restaurant Group, Inc. 283,942 3,963,830
* S&K Famous Brands, Inc. 24,600 393,600
* Safety Components International, Inc. 1,180 16,461
* Saga Communications, Inc. Class A 126,441 1,744,886
* Salem Communications Corp. 140,802 2,558,372
* # Salton, Inc. 77,400 80,496
Saucony, Inc. Class A 55,300 1,100,470
Saucony, Inc. Class B 57,600 1,128,960
* Schieb (Earl), Inc. 71,500 241,312
* Select Comfort Corp. 176,503 4,289,023
* Sharper Image Corp. 107,300 1,426,017
* Shiloh Industries, Inc. 121,400 1,373,034
* Shoe Carnival, Inc. 123,800 2,269,254
* Shoe Pavilion, Inc. 5,700 27,018
* ShopKo Stores, Inc. 255,600 6,060,276
Sinclair Broadcast Group, Inc. Class A 163,831 1,443,351
* Six Flags, Inc. 640,400 2,824,164
* Skechers U.S.A., Inc. Class A 154,700 1,960,049
Skyline Corp. 34,800 1,360,680
* Smith & Wesson Holding Corp. 207,400 788,120
* Smith & Wollensky Restaurant Group, Inc. 52,300 328,967
Sonesta International Hotels Corp. Class A 400 12,800
* Source Interlink Companies, Inc. 221,474 2,159,371
* Southern Energy Homes, Inc. 120,525 705,071
* Spanish Broadcasting System, Inc. 273,371 2,364,659
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* SPAR Group, Inc. 1,000 2,140
Spartan Motors, Inc. 92,900 997,746
* Sport Chalet, Inc. 56,500 824,900
* Sport Supply Group, Inc. 63,100 198,134
* Sport-Haley, Inc. 32,100 112,671
* Sportsman's Guide, Inc. 64,350 1,093,886
* Stage Stores, Inc. 96,718 3,776,838
* Stamps.com, Inc. 156,298 3,494,823
Standard Motor Products, Inc. 135,200 1,523,704
Stanley Furniture, Inc. 70,800 2,991,300
Star Buffet, Inc. 16,400 114,636
* Steak n Shake Co. 190,600 3,924,454
* Stein Mart, Inc. 53,206 1,280,136
* Steinway Musical Instruments, Inc. 79,000 2,237,280
Stewart Enterprises, Inc. 345,922 2,047,858
* Stoneridge, Inc. 170,700 1,334,874
* Strattec Security Corp. 40,900 2,070,767
Stride Rite Corp. 247,800 2,946,342
Sturm Ruger & Co., Inc. 185,700 1,511,598
* Sunterra Corp. 36,082 562,879
# Superior Industries International, Inc. 182,300 4,129,095
Superior Uniform Group, Inc. 86,600 1,199,410
Syms Corp. 143,200 1,873,056
* Systemax, Inc. 157,100 1,000,727
* Tag-It Pacific, Inc. 123,400 288,756
Tandy Brand Accessories, Inc. 56,777 746,050
* Tarrant Apparel Group 124,200 337,824
* TBC Corp. 180,300 4,603,059
* Tenneco Automotive, Inc. 299,400 4,491,000
* The Dress Barn, Inc. 209,026 3,783,371
The Hallwood Group, Inc. 2,653 225,187
The Marcus Corp. 145,800 3,211,974
* The Rowe Companies 120,268 464,234
* The Sports Authority, Inc. 173,400 5,548,800
* The Sports Club Co., Inc. 142,200 234,630
* # TiVo, Inc. 569,965 3,841,564
* Too, Inc. 79,331 1,577,100
* # Tower Automotive, Inc. 255,400 27,072
Traffix, Inc. 142,900 685,920
* Trans World Entertainment Corp. 218,126 2,835,638
* Transpro, Inc. 63,000 427,770
* # Tropical Sportswear International Corp. 160 2
* Tweeter Home Entertainment Group, Inc. 168,025 594,808
* # Ultimate Electronics, Inc. 2,190 153
* Unifi, Inc. 354,600 1,138,266
Unifirst Corp. 87,300 3,195,180
* United Retail Group, Inc. 118,000 818,920
* Universal Electronics, Inc. 97,200 1,621,296
* ValueVision Media, Inc. Class A 250,541 2,410,204
* Varsity Group, Inc. 44,925 270,448
* Vertrue, Inc. 66,950 2,530,710
* Virco Manufacturing Corp. 155,131 1,116,943
* Waxman Industries, Inc. Class B 975 6,947
Wellco Enterprises, Inc. 10,600 139,231
* Wells-Gardner Electronics Corp. 58,141 197,679
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* West Marine, Inc. 142,100 2,357,439
* Westcoast Hospitality Corp. 118,800 818,532
* # Wet Seal, Inc. Class A 239,364 1,019,691
Weyco Group, Inc. 6,600 126,522
* Whitehall Jewelers, Inc. 153,200 1,110,700
* Wickes, Inc. 37,100 111
* # William Lyon Homes, Inc. 48,800 4,392,000
* Wilsons The Leather Experts, Inc. 265,220 1,556,841
* Winmark Corp. 51,900 1,128,825
* Worldwide Restaurant Concepts, Inc. 245,424 1,573,168
* Young Broadcasting, Inc. Class A 121,796 701,545
* Zapata Corp. 106,880 691,514
----------------
Total Consumer Discretionary
(Cost $453,443,829) 595,167,056
----------------
Health Care -- (15.7%)
* A.D.A.M., Inc. 5,100 29,019
* # aaiPharma, Inc. 154,500 43,260
* Abaxis, Inc. 146,800 1,534,060
* Abgenix, Inc. 107,537 774,266
* Abiomed, Inc. 154,338 1,446,147
* # Able Laboratories, Inc. 127,130 542,845
* # Acacia Research-CombiMatrix 178,551 514,227
* Accelr8 Technology Corp. 10,362 25,076
* Accelrys, Inc. 220,300 1,163,184
* Access Pharmaceuticals, Inc. 107,100 254,898
* Adolor Corp. 273,636 2,615,960
* # Advanced Magnetics, Inc. 64,200 574,590
* Advanced Neuromodulation Systems, Inc. 141,135 5,018,761
* Advancis Pharmaceutical Corp. 28,597 127,543
* # ADVENTRX Pharmaceuticals, Inc. 65,000 139,100
* Air Methods Corp. 76,100 515,958
* # Aksys, Ltd. 200,537 601,611
* Albany Molecular Research, Inc. 218,340 2,600,429
* Alexion Pharmaceuticals, Inc. 195,572 4,449,263
* Align Technology, Inc. 229,365 1,667,484
* Alliance Imaging, Inc. 344,500 3,455,335
* Allied Healthcare International, Inc. 149,500 1,034,540
* Allied Healthcare Products, Inc. 65,800 340,186
* Allos Therapeutics, Inc. 212,027 445,257
* Allscripts Healthcare Solutions, Inc. 273,600 4,476,096
* Almost Family, Inc. 11,500 136,620
Alpharma, Inc. Class A 63,000 810,810
* Alteon, Inc. 231,200 171,088
* Amedisys, Inc. 107,547 3,248,995
* America Services Group, Inc. 74,450 1,465,920
* American Claims Evaluation, Inc. 3,100 5,549
* American Dental Partners, Inc. 57,700 1,386,531
* American Retirement Corp. 214,900 2,941,981
American Shared Hospital Services 26,800 160,800
* AMICAS, Inc. 315,800 1,345,308
* AMN Healthcare Services, Inc. 201,200 2,905,328
* Amsurg Corp. 66,946 1,804,878
Analogic Corp. 92,609 3,934,956
* Angeion Corp. 1,294 3,093
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* AngioDynamics, Inc. 74,011 1,462,457
* Anika Therapeutics, Inc. 72,200 1,092,386
* # Antigenics, Inc. 318,678 2,135,143
* AP Pharma, Inc. 193,400 309,440
* # Aphton Corp. 253,216 174,719
* Applied Imaging Corp. 10,350 14,697
* Aradigm Corp. 152,941 165,176
* Arena Pharmaceuticals, Inc. 246,402 1,687,854
* Argonaut Technologies, Inc. 57,648 54,189
* Ariad Pharmaceuticals, Inc. 369,802 2,229,906
* Arqule, Inc. 239,972 1,571,817
* Array BioPharma, Inc. 264,115 1,648,078
# Arrhythmia Research Technology, Inc. 17,575 314,592
* Arthrocare Corp. 131,761 4,247,975
* Aspect Medical Systems, Inc. 143,287 4,608,110
* # AtheroGenics, Inc. 106,366 1,515,715
Atrion Corp. 15,400 1,006,390
* ATS Medical, Inc. 55,840 181,480
* AVANIR Pharmaceuticals Class A 737,700 1,829,496
* Avant Immunotherapeutics, Inc. 408,574 580,175
* # AVI BioPharma, Inc. 308,970 729,169
* Avigen, Inc. 140,300 419,497
* # AXM Pharma, Inc. 105,600 189,024
* Axonyx, Inc. 1,200 1,548
* Bentley Pharmaceuticals, Inc. 144,850 1,577,416
* Beverly Enterprises, Inc. 142,200 1,759,014
* Bioanalytical Systems, Inc. 8,700 55,245
* BioCryst Pharmaceuticals, Inc. 179,700 837,402
* Bioenvision, Inc. 262,648 1,712,465
* Bio-Imaging Technologies, Inc. 76,291 230,399
# BioLase Technology, Inc. 156,852 1,107,375
* Bio-Logic Systems Corp. 64,200 384,532
* BioMarin Pharmaceutical, Inc. 449,046 3,053,513
* Bio-Reference Laboratories, Inc. 87,457 1,285,618
* BioSante Pharmaceuticals, Inc. 131,200 485,440
* BioScrip, Inc. 280,048 1,464,651
* Biosource International, Inc. 98,100 996,696
* Biospecifics Technologies Corp. 39,000 42,900
* BioSphere Medical, Inc. 100,842 474,966
* BioTime, Inc. 11,000 6,600
* Bone Care International, Inc. 137,676 4,507,512
* # Bradley Pharmaceuticals, Inc. 106,349 1,064,553
* # BriteSmile, Inc. 4,700 16,450
* Bruker BioSciences Corp. 608,991 2,557,762
* Caliper Life Sciences, Inc. 213,452 1,314,864
* # CancerVax Corp. 189,500 564,710
* Candela Corp. 180,702 1,848,581
* Cantel Medical Corp. 104,634 3,212,264
* Capital Senior Living Corp. 204,900 1,241,694
* Caprius, Inc. 100 300
* Caraco Pharmaceutical Laboratories, Ltd. 171,550 1,231,729
* Cardiac Sciences, Inc. 401,781 393,745
* CardioDynamics International Corp. 326,305 724,397
* # Cardiotech International, Inc. 120,460 225,260
* CareCentric, Inc. 33,815 50,722
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* # Cell Genesys, Inc. 317,569 1,845,076
* # Cell Therapeutics, Inc. 435,179 1,292,482
* # Cellegy Pharmaceuticals, Inc. 178,700 321,660
* Cepheid, Inc. 291,395 2,651,694
* Cerus Corp. 153,231 626,715
* Chad Therapeutics, Inc. 9,300 37,851
* Cholestech Corp. 114,500 1,047,675
* Ciphergen Biosystems, Inc. 199,606 411,188
* Clarient, Inc. 44,200 62,764
Clinical Data, Inc. 5,890 102,486
* Closure Medical Corp. 107,165 2,890,240
CNS, Inc. 140,800 2,956,800
* Coast Dental Services, Inc. 19,133 68,879
* Collagenex Pharmaceuticals, Inc. 99,300 489,549
* Columbia Laboratories, Inc. 266,763 693,584
* Compex Technologies, Inc. 100,400 377,504
Computer Programs & Systems, Inc. 91,493 3,099,783
* Conceptus, Inc. 209,981 1,119,199
* Corautus Genetics, Inc. 3,614 14,275
* Corgentech, Inc. 40,765 97,836
* Corixa Corp. 492,659 2,093,801
* Cortex Pharmaceuticals, Inc. 29,500 69,030
* Corvel Corp. 18,600 493,644
* Cotherix, Inc. 110,900 1,009,190
* Critical Therapeutics, Inc. 47,925 280,840
* Criticare Systems, Inc. 80,200 372,128
* Cross Country Healthcare, Inc. 222,281 3,767,663
* # CryoLife, Inc. 164,250 1,190,812
* Cubist Pharmaceuticals, Inc. 372,614 3,729,866
* CuraGen Corp. 346,831 1,484,437
* Curative Health Services, Inc. 115,100 295,807
* Curis, Inc. 330,332 1,308,115
* CV Therapeutics, Inc. 203,028 4,105,226
* Cyberonics, Inc. 62,939 2,296,644
* Cygnus, Inc. 600 78
* Cypress Bioscience, Inc. 209,816 2,549,264
* # Cytogen Corp. 106,845 579,100
* # CytRx Corp. 6,400 5,440
D&K Healthcare Resources, Inc. 103,900 847,824
Datascope Corp. 103,062 3,137,207
* Daxor Corp. 46,300 953,780
* Del Global Technologies Corp. 78,521 221,037
* Dendreon Corp. 414,361 2,191,970
* Dendrite International, Inc. 297,685 4,614,117
* DepoMed, Inc. 304,150 1,344,343
* Digene Corp. 137,903 3,469,639
* # Digital Angel Corp. 303,800 1,190,896
* Discovery Laboratories, Inc. 184,050 1,297,552
* Discovery Partners International, Inc. 180,792 533,336
* Diversa Corp. 307,900 1,539,500
* DJ Orthopedics, Inc. 151,900 4,215,225
* DOV Pharmaceutical, Inc. 154,023 2,325,747
* # Durect Corp. 362,729 1,302,197
* DUSA Pharmaceuticals, Inc. 115,635 1,293,956
* Dyax Corp. 217,901 1,013,240
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* # Dynacq Healthcare, Inc. 67,234 316,672
* # Elite Pharmaceuticals, Inc. 145,900 437,700
* Embrex, Inc. 120,100 1,347,522
* Emeritus Corp. 145,800 1,924,560
* Emisphere Technologies, Inc. 134,447 521,654
* Encore Medical Corp. 360,277 1,830,207
* Encysive Pharmaceuticals, Inc. 400,394 4,084,019
* # Endocare, Inc. 71,300 221,386
* Endologix, Inc. 220,108 957,470
* Enpath Medical, Inc. 11,807 78,753
* Entremed, Inc. 298,116 795,970
* Enzo Biochem, Inc. 224,663 3,430,604
* EP Medsystems, Inc. 193,300 502,580
* # Epimmune, Inc. 59,070 51,804
* EPIX Pharmaceuticals, Inc. 160,231 1,270,632
* eResearch Technology, Inc. 256,893 3,144,370
* Ergo Science Corp. 36,350 99,962
* Exact Sciences Corp. 180,592 523,717
* Exactech, Inc. 76,400 1,023,760
* Exelixis, Inc. 525,485 3,688,905
E-Z-EM, Inc. 86,424 1,272,161
* First Horizon Pharmaceutical Corp. 248,976 4,680,749
* Fischer Imaging Corp. 60,600 168,468
* Five Star Quality Care, Inc. 84,350 575,267
* Genaera Corp. 178,100 357,981
* Genaissance Pharmaceuticals, Inc. 166,339 151,368
* Gene Logic, Inc. 254,260 856,856
* Genesis HealthCare Corp. 120,003 5,218,930
* Genta, Inc. 130,100 144,411
* Gentiva Health Services, Inc. 56,587 899,167
* GenVec, Inc. 310,509 574,442
* Geron Corp. 376,504 3,012,032
* GTC Biotherapeutics, Inc. 145,853 195,443
* Guilford Pharmaceuticals, Inc. 315,527 795,128
* Hanger Orthopedic Group, Inc. 178,800 911,880
* Harvard Bioscience, Inc. 206,335 664,399
* HealthAxis, Inc. 5,710 10,849
* HealthExtras, Inc. 258,314 4,427,502
* HealthStream, Inc. 14,400 43,056
* HealthTronics Surgical Services, Inc. 231,605 2,939,067
* # Hemispherx Biopharma, Inc. 262,700 420,320
* Hi-Tech Pharmacal, Inc. 57,150 1,717,929
* HMS Holdings Corp. 167,500 1,038,500
* # Hollis-Eden Pharmaceuticals, Inc. 133,092 1,129,951
* Hologic, Inc. 191,700 7,056,477
Hooper Holmes, Inc. 518,200 2,072,800
* Horizon Health Corp. 47,775 2,094,934
* ICU Medical, Inc. 102,525 3,380,249
* I-Flow Corp. 153,840 2,513,746
* IGI, Inc. 16,400 20,500
* Illumina, Inc. 262,761 2,758,990
* # Immtech International, Inc. 75,900 965,448
* Immunicon Corp. 5,100 21,981
* ImmunoGen, Inc. 281,854 1,679,850
* # Immunomedics, Inc. 373,056 671,501
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* Impath, Inc. 70,200 311,688
* # Implant Sciences Corp. 59,000 167,560
* Incyte Corp. 571,473 4,360,339
* Indevus Pharmaceuticals, Inc. 318,711 1,093,179
* Inhibitex, Inc. 97,500 662,025
* InKine Pharmaceutical Co., Inc. 9,500 21,660
* Innovative Clinical Solutions, Ltd. 610 2
* # Insite Vision, Inc. 179,500 113,085
* # Insmed, Inc. 201,082 255,374
* Inspire Pharmaceuticals, Inc. 290,270 1,886,755
* IntegraMed America, Inc. 19,600 204,820
* Interferon Scientific, Inc. 5,495 714
* Intermagnetics General Corp. 229,372 6,621,970
* InterMune, Inc. 224,789 2,699,716
* # Interpharm Holdings, Inc. 139,900 181,870
* IntraBiotics Pharmaceuticals, Inc. 50,457 174,077
* # Introgen Therapeutics, Inc. 212,133 1,514,630
* Inverness Medical Innovations, Inc. 2,955 83,626
* Iomed, Inc. 45,400 95,340
* Iridex Corp. 56,300 337,800
* IRIS International, Inc. 112,450 2,148,919
* Isis Pharmaceuticals, Inc. 383,746 1,404,510
* # Isolagen, Inc. 213,600 869,352
* Ista Pharmaceuticals, Inc. 177,651 1,406,996
* # I-Trax, Inc. 128,200 198,710
* IVAX Diagnostics, Inc. 4,400 20,680
* iVow, Inc. 19,950 8,977
* Kendle International, Inc. 98,600 1,136,858
* # Kensey Nash Corp. 122,700 3,337,440
* # Kera Vision, Inc. 17,800 12
* Keryx Biopharmaceuticals, Inc. 142,148 1,739,892
Kewaunee Scientific Corp. 19,400 155,006
* Kosan Biosciences, Inc. 233,902 1,106,356
* La Jolla Pharmaceutical Co. 327,850 265,558
* LabOne, Inc. 118,342 4,560,901
* Lannet Co., Inc. 158,870 794,350
* # Large Scale Biology Corp. 15,160 12,431
* Laserscope 147,809 5,089,064
LCA-Vision, Inc. 139,849 6,178,529
Lectec Corp. 25,637 35,892
* Lexicon Genetics, Inc. 558,005 2,700,744
* Lifecell Corp. 201,740 2,675,072
* Lifecore Biomedical, Inc. 116,800 1,490,368
* Lifeline Systems, Inc. 74,000 2,409,440
* Ligand Pharmaceuticals, Inc. Class B 39,100 228,344
* # Lipid Sciences, Inc. 171,900 907,632
* Luminex Corp. 215,121 2,142,605
* Matria Healthcare, Inc. 134,812 3,840,794
* # Matritech, Inc. 257,800 211,396
* Matrixx Initiatives, Inc. 91,900 968,626
* Maxim Pharmaceuticals, Inc. 174,994 265,991
* Maxygen, Inc. 237,902 1,862,773
* Medarex, Inc. 76,722 581,553
* MedCath Corp. 125,423 3,249,710
* # Med-Design Corp. 65,920 44,826
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* Medical Action Industries, Inc. 89,200 1,581,516
* Medical Staffing Network Holdings, Inc. 207,000 1,124,010
* Medicore, Inc. 45,000 535,500
* MEDTOX Scientific, Inc. 32,372 194,232
* Memory Pharmaceuticals Corp. 1,400 3,472
* Memry Corp. 26,800 42,880
* Merge Technologies, Inc. 91,255 1,587,837
Meridian Bioscience, Inc. 139,300 2,542,225
* Merit Medical Systems, Inc. 204,306 2,988,997
Mesa Laboratories, Inc. 27,800 346,944
* Metropolitan Health Networks, Inc. 208,500 540,015
* Micro Therapeutics, Inc. 292,879 1,171,516
* Microtek Medical Holdings, Inc. 375,445 1,321,566
* # Milestone Scientific, Inc. 27,100 63,685
* Molecular Devices Corp. 131,366 2,537,991
* Myogen, Inc. 27,719 183,500
* Myriad Genetics, Inc. 212,155 3,492,071
* Nabi Biopharmaceuticals 87,341 1,073,421
* # Nanogen, Inc. 323,567 1,320,153
* # Nastech Pharmaceutical Co., Inc. 123,746 1,503,514
* National Dentex Corp. 41,100 770,625
National Home Health Care Corp. 24,566 325,991
* National Medical Health Card Systems, Inc. 32,221 741,727
National Research Corp. 52,200 742,806
* Natus Medical, Inc. 120,232 1,214,343
NDCHealth Corp. 248,800 4,169,888
* Neogen Corp. 71,525 1,041,476
* Neopharm, Inc. 162,342 1,592,575
* # NeoRx Corp. 200 114
* Neose Technologies, Inc. 168,347 442,753
* Neurobiological Technologies, Inc. 14,600 48,472
* Neurogen Corp. 285,332 1,928,844
* New Brunswick Scientific Co., Inc. 75,600 404,460
* NMT Medical, Inc. 90,000 787,500
* North American Scientific, Inc. 105,700 317,100
* Northfield Laboratories, Inc. 184,582 2,410,641
* NovaMed, Inc. 148,726 920,614
* # Novavax, Inc. 268,739 368,172
* Noven Pharmaceuticals, Inc. 162,211 2,919,798
* Novoste Corp. 77,899 64,656
* NPS Pharmaceuticals, Inc. 224,764 2,600,519
* Nutraceutical International Corp. 79,910 1,054,013
* # Nutrition 21, Inc. 5,085 4,932
* NuVasive, Inc. 26,302 412,941
* Nuvelo, Inc. 289,896 2,151,028
NWH, Inc. 14,700 220,500
* # OCA, Inc. 340,700 1,396,870
* Odyssey Healthcare, Inc. 247,333 3,279,636
* Omnicell, Inc. 176,308 1,146,002
* Optical Sensors, Inc. 1,133 2,606
# Option Care, Inc. 220,713 2,935,483
* OraSure Technologies, Inc. 313,292 2,603,457
* Orchid Biosciences, Inc. 165,841 1,611,975
* Orphan Medical, Inc. 84,635 900,516
* Orthologic Corp. 304,100 1,234,646
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* Oscient Pharmaceutical Corp. 488,624 806,230
* Osteotech, Inc. 151,125 436,751
* # Oxigene, Inc. 138,400 635,256
* Pain Therapeutics, Inc. 301,359 1,582,135
* PainCare Holdings, Inc. 308,200 1,263,620
* Palatin Technologies, Inc. 1,937 3,913
* Palomar Medical Technologies, Inc. 115,271 2,633,942
* Parexel International Corp. 180,924 3,301,863
* Patient Infosystems, Inc. 408 2,326
* PDI, Inc. 101,694 1,220,328
* Pediatric Services of America, Inc. 51,200 675,328
* Penwest Pharmaceuticals Co. 149,334 1,803,955
* Per-Se Technologies, Inc. 208,419 3,953,708
* Pharmacopia Drug Discovery, Inc. 103,050 498,762
* Pharmacyclics, Inc. 134,287 1,076,982
* # Pharmanetics, Inc. 50,300 13,832
* # PhotoMedex, Inc. 236,908 506,983
* Physiometrix, Inc. 13,900 10,008
* Point Therapeutics, Inc. 5,640 26,113
* Possis Medical, Inc. 159,600 1,680,588
* Pozen, Inc. 196,654 1,449,340
* PRAECIS Pharmaceuticals, Inc. 263,347 173,809
* # Premier Laser Systems, Inc. Class A 16,400 7
* Progenics Pharmaceuticals, Inc. 133,068 2,661,360
* ProxyMed, Inc. 26,939 171,601
* PSS World Medical, Inc. 322,568 3,786,948
Psychemedics Corp. 49,039 711,065
* Psychiatric Solutions, Inc. 79,289 3,246,885
* Pure World, Inc. 66,630 131,927
* QuadraMed Corp. 197,437 302,079
* Questcor Pharmaceuticals, Inc. 124,400 74,640
* Quidel Corp. 256,200 1,122,156
* Quigley Corp. 64,395 569,896
* Quinton Cardiology Systems, Inc. 94,068 751,603
* Radiation Therapy Services, Inc. 33,266 688,606
* Radiologix, Inc. 176,100 692,073
* Regeneration Technologies, Inc. 184,493 1,241,638
* Regeneron Pharmaceuticals, Inc. 373,358 2,326,020
* RehabCare Group, Inc. 114,900 3,193,071
* Repligen Corp. 250,400 573,416
* Res-Care, Inc. 107,702 1,435,668
* Rigel Pharmaceuticals, Inc. 75,326 1,347,582
* Rita Medical Systems, Inc. 285,694 759,946
* Rochester Medical Corp. 48,400 501,424
* Rural/Metro Corp. 110,300 828,243
* Sangamo BioSciences, Inc. 174,932 655,995
* Santarus, Inc. 14,724 43,730
* Savient Pharmaceuticals, Inc. 254,600 855,456
* Schick Technologies, Inc. 47,200 901,520
* Sciclone Pharmaceuticals, Inc. 351,550 875,360
* Seattle Genetics, Inc. 287,621 1,389,209
* # Senesco Technologies, Inc. 38,500 83,930
* Sequenom, Inc. 148,580 141,151
* SeraCare Life Sciences, Inc. 21,120 285,754
* Serologicals Corp. 189,506 4,072,484
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* SFBC International, Inc. 125,839 4,405,623
* # Sirna Therapeutics, Inc. 272,090 598,598
* Sonic Innovations, Inc. 143,885 625,900
* SonoSite, Inc. 106,070 3,256,349
* # Sonus Pharmaceuticals, Inc. 145,200 470,448
Span-American Medical System, Inc. 36,600 376,980
* Specialty Laboratories, Inc. 159,300 1,309,446
* Spectranetics Corp. 226,102 1,291,042
* # Spectrum Pharmaceuticals, Inc. 105,751 550,963
* SRI/Surgical Express, Inc. 38,400 174,144
* Staar Surgical Co. 142,775 561,106
* # StemCells, Inc. 17,500 72,625
* Stratagene Corp. 51,244 439,161
* Strategic Diagnostics, Inc. 161,000 452,410
* Sun Healthcare Group, Inc. 103,717 726,019
* Suncoast Naturals, Inc. 2,699 305
* SunLink Health Systems, Inc. 33,465 270,732
* SuperGen, Inc. 352,878 1,774,976
* SurModics, Inc. 123,538 4,869,868
* Symbion, Inc. 11,436 269,890
* Synovis Life Technologies, Inc. 88,200 674,730
* Synthetech, Inc. 114,050 68,772
* Tanox, Inc. 307,384 3,043,102
* Theragenics Corp. 206,100 706,923
* Third Wave Technologies, Inc. 283,912 1,067,509
* Thoratec Corp. 331,539 4,953,193
* Titan Pharmaceuticals, Inc. 219,900 472,785
* TLC Vision Corp. 126,365 1,093,057
* Transgenomic, Inc. 11,569 7,867
* Transkaryotic Therapies, Inc. 9,234 313,864
* # Trestle Holdings, Inc. 3,440 5,504
* Trimeris, Inc. 150,449 1,527,057
* TriPath Imaging, Inc. 258,753 2,222,688
* Tripos, Inc. 47,600 171,360
* TriZetto Group, Inc. 313,537 4,351,894
* # U.S. Diagnostic, Inc. 26,100 0
* U.S. Physical Therapy, Inc. 84,573 1,355,705
* Urologix, Inc. 97,600 426,512
# Utah Medical Products, Inc. 53,100 1,155,456
* V.I. Technologies, Inc. 23,709 69,942
* # Vascular Solutions, Inc. 99,497 1,191,974
* Vaxgen, Inc. 129,700 1,289,218
* Ventiv Health, Inc. 177,366 3,600,530
* Vical, Inc. 120,967 459,675
* Virbac Corp. 29,500 96,613
* Virologic, Inc. 504,897 1,378,369
* # ViroPharma, Inc. 178,987 778,593
* Vision-Sciences, Inc. 23,250 62,543
* VistaCare, Inc. 26,110 465,802
* Vital Images, Inc. 82,460 1,471,911
Vital Signs, Inc. 91,700 3,866,989
* Vivus, Inc. 299,642 713,148
West Pharmaceutical Services, Inc. 173,800 4,838,592
* Wilson Greatbatch Technologies, Inc. 148,800 3,577,152
* Zevex International, Inc. 26,500 108,783
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* Zila, Inc. 311,597 903,631
* Zoll Medical Corp. 65,129 1,546,162
* ZymeTx, Inc. 2,400 132
----------------
Total Health Care
(Cost $520,751,981) 550,805,028
----------------
Industrials -- (15.3%)
* 3-D Systems Corp. 110,010 2,332,212
* AAON, Inc. 141,725 2,536,878
* AAR Corp. 222,637 3,571,097
* Ablest, Inc. 13,500 93,420
Abrams Industries, Inc. 17,100 90,117
Aceto Corp. 194,062 1,410,831
* ACT Manufacturing, Inc. 200 2
* Active Power, Inc. 337,559 904,658
Administaff, Inc. 175,900 3,757,224
* Aerosonic Corp. 33,100 171,127
* AirNet Systems, Inc. 96,100 479,539
* # Akorn, Inc. 202,000 593,880
Alamo Group, Inc. 70,700 1,442,280
* Allied Defense Group, Inc. 48,640 1,159,578
* Allied Holdings, Inc. 73,100 80,410
Ambassadors International, Inc. 70,300 901,246
* # America West Holdings Corp. Class B 247,200 1,384,320
American Ecology Corp. 116,498 1,474,865
* American Locker Group, Inc. 32,200 148,442
* American Science & Engineering, Inc. 61,500 2,343,765
* American Superconductor Corp. 223,631 1,979,134
American Woodmark Corp. 129,320 4,346,445
Ameron International Corp. 58,100 1,917,300
* AML Communications, Inc. 61,500 65,805
Ampco-Pittsburgh Corp. 81,300 937,389
Amrep Corp. 63,610 1,380,973
Angelica Corp. 49,300 1,304,971
* APAC Customer Services, Inc. 362,319 347,826
Apogee Enterprises, Inc. 241,900 3,384,181
Applied Industrial Technologies, Inc. 97,950 2,981,598
Applied Signal Technologies, Inc. 94,700 1,657,250
* ARGON ST, Inc. 132,988 4,565,478
* # Armstrong Holdings, Inc. 27,400 84,118
* # Arotech Corp. 54,400 57,664
* Artesyn Technologies, Inc. 219,200 1,804,016
* Art's-Way Manufacturing Co., Inc. 100 627
* Astec Industries, Inc. 137,783 3,021,581
* Astronics Corp. 50,436 406,010
* # AstroPower, Inc. 14,986 15
* ASV, Inc. 93,750 3,403,125
* # ATA Holdings Corp. 152,600 137,340
* Ault, Inc. 40,100 99,849
* Avalon Holding Corp. Class A 15,475 75,673
* Axsys Technologies, Inc. 74,400 1,267,776
* AZZ, Inc. 59,726 956,213
Badger Meter, Inc. 129,000 4,852,980
* Baker (Michael) Corp. 61,614 1,063,458
* Baker (Michael) Corp. Class B 15,400 265,804
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* Baldwin Technology Co., Inc. Class A 131,900 395,700
Barnes Group, Inc. 160,872 4,935,553
* Barrett Business Services, Inc. 92,700 1,340,442
* BE Aerospace, Inc. 392,614 5,681,125
* # BOLDER Technologies Corp. 40,300 204
Bowne & Co., Inc. 239,968 3,179,576
* BTU International, Inc. 78,200 296,378
* Butler International, Inc. 69,690 229,979
C&D Technologies, Inc. 180,000 1,317,600
* Cannon Express, Inc. 50 0
* Capstone Turbine Corp. 36,037 36,037
Cascade Corp. 116,650 4,108,413
* Casella Waste Systems, Inc. Class A 167,005 1,905,527
* Catalytica Energy Systems, Inc. 58,500 115,245
* CD&L, Inc. 13,100 24,890
CDI Corp. 137,970 2,944,280
* Celadon Group, Inc. 74,800 1,353,880
Central Parking Corp. 256,232 4,330,321
* Century Business Services, Inc. 365,976 1,467,564
* Cenveo, Inc. 337,500 2,828,250
* Ceradyne, Inc. 171,451 3,958,804
CERBCO, Inc. Class A 3,500 34,563
Champion Industries, Inc. 92,800 389,760
* Channell Commercial Corp. 21,100 127,022
Chase Corp. 24,200 340,736
Chicago Rivet & Machine Co. 20,000 595,600
CIRCOR International, Inc. 109,311 2,705,447
* Clean Harbors, Inc. 103,200 2,141,400
* CNE Group, Inc. 2,900 464
* Coinstar, Inc. 183,722 3,479,695
Collins Industries, Inc. 65,725 328,625
* Columbus McKinnon Corp. 116,300 1,097,872
* Comforce Corp. 108,466 210,424
* Comfort Systems USA, Inc. 336,100 2,114,069
* Compudyne Corp. 56,171 339,835
CompX International, Inc. 9,500 137,275
* Conrad Industries, Inc. 18,700 24,404
* Consolidated Graphics, Inc. 94,500 4,000,185
* # Continental Airlines, Inc. 296,400 4,108,104
* Cornell Companies, Inc. 100,200 1,286,568
* Correctional Services Corp. 114,441 330,723
* Corrpro Companies, Inc. 42,775 34,220
* CoStar Group, Inc. 50,700 2,037,126
* Covenant Transport, Inc. Class A 91,000 1,263,080
* CPI Aerostructures, Inc. 36,333 338,987
* CRA International, Inc. 48,100 2,741,219
* Cross (A.T.) Co. Class A 130,300 655,409
* Crown Andersen, Inc. 11,600 11,890
Cubic Corp. 186,050 3,274,480
* # Delta Air Lines, Inc. 176,600 679,910
* DHB Industries, Inc. 317,400 2,494,764
* DiamondCluster International, Inc. 238,934 3,125,257
* Distributed Energy Systems Corp. 247,261 820,907
* Dollar Thrifty Automotive Group, Inc. 155,500 5,596,445
* Driver-Harris Co. 9,898 1
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* Ducommun, Inc. 93,900 1,544,655
* Duratek, Inc. 124,000 2,719,320
* Dynamex, Inc. 78,551 1,413,132
* # Dynamic Materials Corp. 14,700 643,860
Eastern Co. 33,900 748,851
Ecology & Environment, Inc. Class A 13,900 90,350
EDO Corp. 141,000 4,014,270
* Electro Rent Corp. 175,438 2,061,397
ElkCorp 136,500 4,504,500
* EMCOR Group, Inc. 101,700 4,830,750
* Encore Wire Corp. 219,225 2,411,475
* # Energy Conversion Devices, Inc. 178,304 3,437,701
* ENGlobal Corp. 11,600 42,108
Ennis, Inc. 222,300 3,532,347
* EnPro Industries, Inc. 142,000 3,843,940
* Environmental Tectonics Corp. 59,500 323,085
Espey Manufacturing & Electronics Corp. 20,500 550,425
* Essex Corp. 36,566 683,784
* Esterline Technologies Corp. 83,700 3,255,930
* Evercel, Inc. 2,566 2,566
* Evergreen Solar, Inc. 420,200 2,122,010
* Exponent, Inc. 69,800 1,728,946
* ExpressJet Holdings, Inc. 373,900 3,226,757
* EXX, Inc. Class A 1,900 3,572
* EXX, Inc. Class B 100 180
Federal Signal Corp. 28,300 442,329
* Fiberstars, Inc. 51,209 483,925
* First Aviation Services, Inc. 1,700 6,970
* First Consulting Group, Inc. 168,234 871,452
* Flanders Corp. 251,600 2,508,452
* # Flow International Corp. 151,900 987,350
* # FLYi, Inc. 158,993 120,835
* Foster (L.B.) Co. Class A 120,700 1,086,300
* Frontier Airlines, Inc. 271,066 3,309,716
* Frozen Food Express Industries, Inc. 161,875 1,740,156
* # FuelCell Energy, Inc. 327,490 2,665,769
* Gardner Denver Machinery, Inc. 110,112 4,222,795
* Gehl Co. 49,800 1,493,402
Gencorp, Inc. 4,400 83,160
* General Binding Corp. 40,700 842,083
* General Cable Corp. 273,500 3,831,735
* General Employment Enterprises, Inc. 17,700 23,187
* Genesee & Wyoming, Inc. 167,250 4,672,965
Gevity HR, Inc. 187,200 3,210,480
* Global Payment Technologies, Inc. 52,900 238,050
* Global Power Equipment Group, Inc. 323,700 2,479,542
Gorman-Rupp Co. 68,250 1,385,475
* GP Strategies Corp. 127,100 902,410
* Graftech International, Ltd. 4,500 19,800
Graham Corp. 12,350 249,717
Greenbrier Companies, Inc. 126,600 3,509,352
* Griffon Corp. 211,150 4,208,220
Hardinge, Inc. 83,500 1,354,203
* Hawaiian Holdings, Inc. 588,481 3,142,489
* Hawk Corp. 64,400 720,636
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Healthcare Services Group, Inc. 236,100 4,415,070
Heico Corp. 69,600 1,468,560
Heico Corp. Class A 95,885 1,609,909
* Heidrick & Struggles International, Inc. 133,511 3,352,461
* Herley Industries, Inc. 107,850 1,888,454
* Hexcel Corp. 83,200 1,359,488
* Hirsch International Corp. Class A 4,550 4,550
* Hi-Shear Technology Corp. 45,350 165,074
* Hub Group, Inc. Class A 134,112 3,685,398
* Hudson Highland Group, Inc. 26,375 422,264
* Hudson Technologies, Inc. 27,384 25,193
* Hurco Companies, Inc. 48,800 849,608
* Huttig Building Products, Inc. 33,500 365,485
* ICT Group, Inc. 91,700 851,893
* II-VI, Inc. 228,104 3,756,873
* Imagistics International, Inc. 62,200 1,675,668
* Industrial Distribution Group, Inc. 81,400 715,506
* Infrasource Services, Inc. 22,800 250,800
* Innotrac Corp. 156,400 1,327,836
* Innovative Solutions & Support, Inc. 23,900 827,896
* Insituform Technologies, Inc. Class A 179,160 2,658,734
* # Integrated Electrical Services, Inc. 278,800 423,776
International Aluminum Corp. 18,500 638,250
* International Shipholding Corp. 51,200 747,520
Interpool, Inc. 114,300 2,482,596
* # Ionatron, Inc. 133,700 1,189,930
* Jacuzzi Brands, Inc. 496,922 5,073,574
* JPS Industries, Inc. 24,500 117,600
* Kadant, Inc. 95,800 1,963,900
Kaman Corp. Class A 147,899 2,287,998
* Keith Companies, Inc. 18,300 387,045
* Key Technology, Inc. 36,000 396,000
* Kforce, Inc. 273,676 2,200,355
* Korn/Ferry International 275,900 4,375,774
* K-Tron International, Inc. 55,500 1,587,300
* KVH Industries, Inc. 99,800 927,142
* LaBarge, Inc. 211,950 3,007,571
* Labor Ready, Inc. 277,100 5,719,344
* Ladish Co., Inc. 115,500 1,282,050
* Lancer Corp. 94,525 1,635,283
Lawson Products, Inc. 4,900 209,720
* Layne Christensen Co. 159,000 2,750,700
* Learning Tree International, Inc. 116,895 1,504,439
Lindsay Manufacturer Co. 81,300 1,626,813
* LMI Aerospace, Inc. 3,700 16,739
LSI Industries, Inc. 260,130 3,535,167
* Lydall, Inc. 141,300 1,164,312
* Lynch Corp. 29,500 271,400
* Mac-Gray Corp. 116,200 1,013,264
* Magnetek, Inc. 208,000 459,680
* MAIR Holdings, Inc. 135,529 1,292,947
* Marten Transport, Ltd. 118,800 2,329,668
* Mastec, Inc. 335,500 2,838,330
* Maxco, Inc. 18,800 82,175
McGrath Rentcorp. 167,806 3,867,928
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* # MCSi, Inc. 2,000 0
* Meadow Valley Corp. 22,900 120,912
* # Medialink Worldwide, Inc. 49,800 156,870
Mercury Air Group, Inc. 33,508 115,938
* Mercury Computer Systems, Inc. 145,518 4,205,470
* Merrimac Industries, Inc. 14,265 126,959
* # Mesa Air Group, Inc. 331,800 2,116,884
Met-Pro Corp. 146,886 2,116,627
* MFRI, Inc. 31,800 246,736
* # Microvision, Inc. 146,741 949,414
Middleby Corp. 97,100 5,359,920
* Midwest Air Group, Inc. 119,800 234,808
* Milacron, Inc. 429,434 936,166
* # Millennium Cell, Inc. 165,950 250,585
* Miller Industries, Inc. 32,700 390,765
* Misonix, Inc. 46,550 268,221
* Mobile Mini, Inc. 101,400 3,743,688
* # Modtech Holdings, Inc. 106,312 659,134
* Moore Handley, Inc. 1,500 6,000
* Morgan Group Holding Co. 3,300 305
* MTC Technologies, Inc. 100,811 3,380,193
Mueller (Paul) Co. 26,300 782,425
Multi-Color Corp. 30,600 804,780
* M-Wave, Inc. 3,000 3,180
* Nashua Corp. 54,500 490,500
* National Patent Development Corp. 109,400 255,996
* National Technical Systems, Inc. 83,600 379,544
* NCI Building Systems, Inc. 133,200 4,600,728
* NCO Group, Inc. 108,680 2,158,385
* NES Rentals Holdings, Inc. 245 2,401
* New Horizons Worldwide, Inc. 79,875 288,349
* North America Galvanizing & Coatings, Inc. 56,500 115,260
* # Northwest Airlines Corp. 111,750 680,558
* NuCo2, Inc. 115,558 2,736,413
* Odyssey Marine Exploration, Inc. 268,400 1,291,004
* Old Dominion Freight Line, Inc. 118,418 3,608,196
* On Assignment, Inc. 175,186 928,486
* Orbit International Corp. 11,666 119,227
* Orbital Sciences Corp. 363,800 3,532,498
Outlook Group Corp. 36,600 289,140
* P.A.M. Transportation Services, Inc. 60,952 1,004,489
* Paragon Technologies, Inc. 39,425 423,819
* Park-Ohio Holdings Corp. 125,525 1,914,256
* Patrick Industries, Inc. 44,000 394,064
* Patriot Transportation Holding, Inc. 31,700 1,657,910
* Peerless Manufacturing Co. 18,500 257,335
* Pemco Aviation Group, Inc. 250 6,225
* Perini Corp. 174,700 2,634,476
* Pico Holdings, Inc. 83,771 2,168,831
* Pinnacle Airlines Corp. 14,273 139,875
* # Plug Power, Inc. 502,355 3,124,648
* Portfolio Recovery Associates, Inc. 106,928 4,214,032
* Powell Industries, Inc. 57,718 1,063,166
* Power-One, Inc. 78,689 431,216
* PPT Vision, Inc. 11,750 14,923
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Preformed Line Products Co. 4,700 160,411
* PRG-Schultz International, Inc. 428,109 1,652,501
Providence & Worcester Railroad Co. 11,000 145,750
* PW Eagle, Inc. 21,900 144,102
* Quipp, Inc. 14,300 154,226
Quixote Corp. 68,200 1,328,536
* RailAmerica, Inc. 259,166 3,024,467
Raven Industries, Inc. 356,440 9,082,091
* RCM Technologies, Inc. 91,800 422,280
* Refac 8,519 42,552
Regal-Beloit Corp. 148,730 3,822,361
* RemedyTemp, Inc. 72,900 718,065
* Republic Airways Holdings, Inc. 18,308 233,610
* Riviera Tool Co. 7,000 7,595
Robbins & Myers, Inc. 101,000 2,388,650
* Rush Enterprises, Inc. Class A 76,575 1,101,914
* Rush Enterprises, Inc. Class B 54,500 792,975
Schawk, Inc. 168,300 4,049,298
* Schuff International, Inc. 53,200 163,590
* SCS Transportation, Inc. 104,432 1,905,884
* Secom General Corp. 1,000 1,430
* Senomyx, Inc. 20,442 282,713
* Servotronics, Inc. 24,804 117,819
* Sholodge, Inc. 52,300 205,278
* SIFCO Industries, Inc. 45,775 157,008
* Simclar, Inc. 23,400 78,858
* Sirva, Inc. 35,000 274,750
* Sitel Corp. 401,700 795,366
* SL Industries, Inc. 91,885 1,568,477
* Smithway Motor Xpress Corp. Class A 35,000 210,000
* SOURCECORP, Inc. 94,676 2,027,013
* Spacehab, Inc. 94,200 132,822
* Sparton Corp. 84,328 841,593
* Spherion Corp. 417,793 2,285,328
* # Spherix, Inc. 103,300 176,643
* Spire Corp. 102,842 452,505
* # Standard Automotive Corp. 21,700 2
* Standard Parking Corp. 6,200 93,062
Standard Register Co. 164,100 2,330,220
Standex International Corp. 84,100 2,250,516
Starrett (L.S.) Co. Class A 35,900 612,813
* Sterling Construction Co., Inc. 6,600 48,708
Stewart & Stevenson Services, Inc. 195,711 4,675,536
* Stonepath Group, Inc. 214,900 150,430
* Strategic Distribution, Inc. 27,770 286,031
Sun Hydraulics, Inc. 12,600 465,192
Supreme Industries, Inc. 92,283 604,454
Sypris Solutions, Inc. 122,835 1,294,681
* SYS 500 1,420
TB Wood's Corp. 26,200 151,436
* Team, Inc. 55,200 1,048,800
* TeamStaff, Inc. 16,600 27,224
Tech/Ops Sevcon, Inc. 60,800 361,760
Technology Research Corp. 44,600 223,446
Tecumseh Products Co. Class A 15,842 433,120
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* TeleTech Holdings, Inc. 259,346 2,118,857
Tennant Co. 62,100 2,316,330
* Tetra Tech, Inc. 38,092 459,009
The Alpine Group, Inc. 87,800 136,090
* The Geo Group, Inc. 92,800 2,252,256
* The Lamson & Sessions Co. 144,400 1,572,516
* Thomas Group, Inc. 35,100 70,551
Thomas Industries, Inc. 114,200 4,553,154
Titan International, Inc. 53,350 787,980
Todd Shipyards Corp. 44,600 858,550
* Trailer Bridge, Inc. 42,500 331,500
* Transport Corp. of America 15,900 99,375
* Transtechnology Corp. 94,300 704,893
* TRC Companies, Inc. 95,750 1,091,550
Tredegar Industries, Inc. 265,850 4,054,213
* Trex Co., Inc. 102,500 3,951,375
* Triumph Group, Inc. 108,800 3,860,224
* TRM Corp. 59,300 962,439
* Tufco Technologies, Inc. 1,300 8,047
* # TurboChef Technologies, Inc. 187,966 2,086,423
Twin Disc, Inc. 41,100 893,925
* # U.S. Home Systems, Inc. 6,590 31,942
* U.S. Xpress Enterprises, Inc. Class A 100,900 1,231,989
* Ultralife Batteries, Inc. 101,400 1,654,848
United Industrial Corp. 124,900 4,327,785
Universal Forest Products, Inc. 108,940 4,335,812
* UQM Technologies, Inc. 172,400 517,200
* # US Airways Group, Inc. Class A 56,221 51,161
* USA Truck, Inc. 53,200 1,077,300
* # Valence Technology, Inc. 67,400 199,504
Valley National Gases, Inc. 10,200 139,740
Valmont Industries, Inc. 163,920 3,925,884
* Valpey Fisher Corp. 35,700 112,812
* Versar, Inc. 54,200 168,020
Viad Corp. 152,200 4,231,160
Vicor Corp. 205,168 2,728,734
* VL Dissolution Corp. 12,426 0
* Volt Information Sciences, Inc. 127,204 2,499,559
Wabash National Corp. 107,640 2,681,312
Waste Industries USA, Inc. 67,900 979,797
* Water Pik Technologies, Inc. 37,800 702,324
Waters Instruments, Inc. 750 6,113
* Westaff, Inc. 142,650 494,996
* Western Power & Equipment Corp. 18,448 23,982
* Willis Lease Finance Corp. 67,300 548,495
* Wolverine Tube, Inc. 101,400 731,094
* Xanser Corp. 303,000 669,630
----------------
Total Industrials
(Cost $374,630,432) 535,338,292
----------------
Financials -- (11.4%)
1st Independence Financial Group, Inc. 3,700 70,300
1st Source Corp. 140,940 3,069,673
# 21st Century Holding Co. 1,050 13,650
* A. B. Watley Group, Inc. 9,900 594
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ABC Bancorp 79,304 1,407,646
Abigail Adams National Bancorp 1,512 23,754
* # Acacia Research-Acacia Technologies 82,983 465,535
* ACE Cash Express, Inc. 105,275 2,296,048
Advanta Corp. Class A 66,283 1,519,869
Advanta Corp. Class B Non-Voting 126,093 3,110,714
* Aether Systems, Inc. 303,188 948,978
* # Aixtron AG 109,752 355,596
Amcore Financial, Inc. 73,360 2,043,810
* AMEN Properties, Inc. 12,375 62,989
* # American Business Financial Services, Inc. 35,450 2,216
* American Independence Corp. 14,733 195,212
* American Physicians Capital, Inc. 59,465 2,060,462
American Physicians Services Group, Inc. 36,700 455,080
* American West Bancorporation 14,733 291,271
Americana Bancorp 20,350 291,208
* AmeriServe Financial, Inc. 176,775 965,191
Anchor Bancorp Wisconsin, Inc. 156,918 4,334,075
* Argonaut Group, Inc. 192,425 4,029,379
Arrow Financial Corp. 87,047 2,350,269
ASB Financial Corp. 4,500 100,687
ASTA Funding, Inc. 34,378 959,834
* Atlantic American Corp. 157,725 476,329
Baldwin & Lyons, Inc. Class B 23,100 593,670
* Bancinsurance Corp. 39,480 205,296
* Bancshares of Florida, Inc. 207 3,312
Bank of Granite Corp. 31,200 566,592
Bank of The Ozarks, Inc. 114,665 3,625,707
Banner Corp. 116,190 3,091,816
Bay View Capital Corp. 46,210 732,428
Berkshire Hills Bancorp, Inc. 1,500 47,775
Beverly Hills Bancorp, Inc. 46,202 482,811
* BFC Financial Corp. 11,500 103,960
* BNS Holding, Inc. Class A 26,480 182,712
Boston Private Financial Holdings, Inc. 193,061 4,726,133
Bristol West Holdings, Inc. 7,000 121,100
* Brooke Corp. 3,100 46,593
Bryn Mawr Bank Corp. 5,600 109,144
C&F Financial Corp. 100 4,000
California First National Bancorp 79,100 917,560
Camco Financial Corp. 17,471 252,107
Capital Corp. of the West 22,559 547,056
* Capital Crossing Bank 86,700 2,816,016
Capitol Bancorp, Ltd. 40,500 1,253,475
* Cardinal Financial Corp. 99,236 903,048
Cash America International, Inc. 202,440 3,481,968
# Cavalry Bancorp, Inc. 300 6,600
Center Bancorp, Inc. 5,512 65,654
Center Financial Corp. 45,564 973,703
Central Bancorp, Inc. 10,000 258,700
* Centrue Financial Corp 3,000 82,050
Century Bancorp, Inc. Class A 7,600 199,728
* Ceres Group, Inc. 235,178 1,347,570
CFS Bancorp, Inc. 67,181 880,743
Chester Valley Bancorp, Inc. 7,911 196,153
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* Citizens First Bancorp, Inc. 8,093 170,034
Citizens South Banking Corp. 41,974 530,132
* # Citizens, Inc. 262,077 1,517,426
City Holding Co. 115,728 3,909,292
Clark, Inc. 128,300 1,860,350
* CNA Surety Corp. 102,280 1,413,510
CoBiz, Inc. 29,475 529,960
Columbia Bancorp 1,700 58,803
Columbia Banking System, Inc. 135,528 3,333,989
Commercial Bancshares, Inc. 33,803 1,317,979
Commercial National Financial Corp. 1,600 34,000
Community Bank System, Inc. 115,100 2,681,830
Community Banks, Inc. 714 17,679
Community Bankshares, Inc. 2,730 47,092
Community Trust Bancorp, Inc. 59,037 1,748,086
Community West Bancshares 23,200 282,576
Consolidated-Tokoma Land Co. 28,400 2,179,700
* Consumer Portfolio Services, Inc. 5,000 22,000
Cooperative Bankshares, Inc. 8,250 153,450
Crawford & Co. Class A 94,400 675,904
Crawford & Co. Class B 132,500 956,650
* Credit Acceptance Corp. 82,695 1,166,826
* # Danielson Holding Corp. 69,767 1,133,726
Delta Financial Corp. 139,700 1,264,285
Dime Community Bancshares 258,780 3,907,578
Donegal Group, Inc. Class A 61,506 1,135,401
Donegal Group, Inc. Class B 25,520 420,314
EFC Bancorp, Inc. 15,800 426,600
* E-Loan, Inc. 450,899 1,285,062
EMC Insurance Group, Inc. 85,100 1,518,184
* Encore Capital Group, Inc. 155,681 2,391,260
* Epoch Holding Corp. 75,975 341,887
ESB Financial Corp. 94,531 1,259,162
* eSpeed, Inc. 224,152 1,920,983
* EZCORP, Inc. Class A Non-Voting 91,900 873,969
Federal Agriculture Mortgage Corporation 70,900 1,310,232
Fidelity Bancorp, Inc. 645 13,553
Fidelity Bankshares, Inc. 172,192 4,261,752
Fidelity Southern Corp. 82,500 1,338,150
Financial Federal Corp. 120,000 4,476,000
* Financial Industries Corp. 9,148 78,215
* Firebrand Financial Group, Inc. 75,400 5,278
* First Acceptance Corp. 192,600 1,723,770
First Albany Companies, Inc. 35,519 204,234
First Bancorp 51,021 1,066,339
* First Bank of Delaware 50,014 165,046
* First Cash Financial Services, Inc. 120,900 2,103,660
First Charter Corp. 186,018 4,101,697
First Community Bancorp 107,404 4,745,109
First Community Bancshares, Inc. 77,695 2,337,066
First Defiance Financial Corp. 68,292 1,826,128
First Federal Bancshares of Arkansas, Inc. 46,800 1,146,132
First Financial Holdings, Inc. 122,500 3,483,900
First Franklin Corp. 600 9,456
First Indiana Corp. 123,300 3,322,935
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* First Investors Financial Services Group, Inc. 43,200 206,280
First Keystone Financial, Inc. 16,500 285,615
First M&F Corp. 3,000 99,945
* First Mariner Bancorp 16,400 273,388
First Merchants Corp. 126,186 3,138,246
First Mutual Bancshares, Inc. 29,471 727,934
First Oak Brook Bancshares, Inc. 30,000 827,700
First PacTrust Bancorp, Inc. 13,213 326,890
First Place Financial Corp. 103,530 2,038,506
First Republic Bank 90,750 2,911,260
First State Bancorporation 105,526 1,948,010
First United Corp. 17,500 354,200
Firstbank Corp. 6,945 177,117
FirstBank NW Corp. 16,097 420,937
* FirstCity Financial Corp. 77,595 1,008,735
# Flag Financial Corp. 35,200 524,480
Flushing Financial Corp. 175,312 2,961,020
FMS Financial Corp. 8,400 147,294
FNB Corp. 10,700 197,950
FNB Financial Services Corp. 8,500 180,115
Foothill Independent Bancorp 53,767 1,106,535
* FPIC Insurance Group, Inc. 68,914 2,050,881
* Franklin Bank Corp. 95,637 1,635,393
Gateway Financial Holdings, Inc. 50,789 914,712
GB & T Bancshares, Inc. 1,750 37,730
Glacier Bancorp, Inc. 200,091 4,672,131
Gold Banc Corp. 202,734 2,815,975
Great Southern Bancorp, Inc. 79,400 2,478,074
Greater Communications Bancorp 2,998 47,968
Greene County Bancshares, Inc. 3,900 112,125
* Grubb & Ellis Co. 177,552 1,065,312
GS Financial Corp. 6,400 114,592
Guaranty Bancshares, Inc. 1,600 32,656
Guaranty Federal Bancshares, Inc. 17,100 397,575
Harleysville Group, Inc. 192,675 3,913,229
Harleysville National Corp. 178,305 4,113,496
Heartland Financial USA, Inc. 8,092 160,060
Heritage Commerce Corp. 8,600 159,272
Heritage Financial Corp. 83,700 1,820,475
HF Financial Corp. 29,920 680,680
Hingham Institution for Savings 5,350 225,904
HMN Financial, Inc. 33,000 994,455
Home Federal Bancorp 37,400 912,560
HopFed Bancorp, Inc. 4,500 72,090
Horace Mann Educators Corp. 23,400 425,880
Horizon Financial Corp. 84,960 1,707,696
IBERIABANK Corp. 55,800 3,283,272
ILX Resorts, Inc. 15,900 155,979
Independence Holding Co. 30,924 545,809
Independent Bank Corp. MA 129,900 3,628,107
Independent Bank Corp. MI 194,831 5,482,544
Infinity Property & Casualty Corp. 140,871 4,507,872
Integra Bank Corp. 119,776 2,645,852
Interchange Financial Services Corp. 111,397 2,022,970
* Investment Technology Group, Inc. 247,300 4,881,702
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Investors Title Co. 19,800 697,356
Irwin Financial Corp. 109,800 2,304,702
* ITLA Capital Corp. 51,800 2,580,676
* Kennedy-Wilson, Inc. 76,600 790,512
Kent Financial Services, Inc. 50,712 116,638
* KNBT Bancorp, Inc. 5,306 79,121
* LaBranche & Co., Inc. 166,500 920,745
* Ladenburg Thalmann Financial Services, Inc. 67,599 41,235
Lakeland Bancorp, Inc. 11,250 171,225
Leesport Financial Corp. 551 13,659
LNB Bancorp, Inc. 1,000 16,690
LSB Bancshares, Inc. 35,571 626,050
LSB Corp. 16,200 260,010
Main Street Banks, Inc. 146,925 3,874,412
* Marlin Business Services, Inc. 4,047 82,073
MASSBANK Corp. 31,399 1,119,374
* Matrix Bancorp, Inc. 29,500 377,600
Mayflower Co-Operative Bank Middleboro 450 6,325
* Mays (J.W.), Inc. 2,700 43,308
MBT Financial Corp. 120,692 2,307,631
MCG Capital Corp. 11,000 176,000
* Meadowbrook Insurance Group, Inc. 197,500 1,017,125
Medallion Finanacial Corp. 118,600 1,098,236
Mercantile Bank Corp. 2,625 107,231
* Mercer Insurance Group, Inc. 4,800 61,680
Merchants Bancshares, Inc. 47,100 1,247,208
Merchants Group, Inc. 15,700 394,070
Meta Financial Group, Inc. 16,500 348,150
* Metris Companies, Inc. 388,394 5,041,354
MetroCorp. Bancshares, Inc. 23,000 478,400
MFB Corp. 8,500 223,295
MicroFinancial, Inc. 30,300 117,867
Midland Co. 88,200 2,817,990
Mid-State Bancshares 158,623 4,246,338
Midwest Banc Holdings, Inc. 123,661 2,473,220
MutualFirst Financial, Inc. 2,900 63,684
Nara Bancorp, Inc. 158,679 2,204,051
National Security Group, Inc. 12,600 264,726
* National Western Life Insurance Co. Class A 2,600 476,775
* Navigators Group, Inc. 86,617 2,879,149
NBT Bancorp, Inc. 120,675 2,859,997
NetBank, Inc. 112,237 932,689
New Hampshire Thrift Bancshares, Inc. 3,200 51,680
NewMil Bancorp, Inc. 44,100 1,345,050
* Newtek Business Services, Inc. 235,527 610,015
North Central Bancshares, Inc. 17,500 677,950
Northeast Bancorp 12,600 276,192
Northrim BanCorp, Inc. 34,939 799,062
NYMAGIC, Inc. 71,100 1,453,995
Oak Hill Financial, Inc. 12,200 316,346
OceanFirst Financial Corp. 88,560 1,904,040
* Ocwen Financial Corp. 427,203 3,088,678
* Pacific Mercantile Bancorp 7,700 108,693
* Pacific Premier Bancorp, Inc. 21,717 227,420
Pamrapo Bancorp, Inc. 36,400 797,160
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Park Bancorp, Inc. 800 24,104
Parkvale Financial Corp. 50,395 1,400,981
Partners Trust Financial Group, Inc. 88,538 913,712
PAULA Financial 49,300 86,768
* Penn Treaty American Corp. 140,600 313,538
Pennfed Financial Services, Inc. 120,200 1,745,304
Penns Woods Bancorp, Inc. 110 5,342
Peoples Bancorp, Inc. 400 7,879
Peoples Bancorp, Inc. 2,310 65,142
PFF Bancorp, Inc. 153,700 4,463,448
Pinnacle Bancshares, Inc. 700 9,877
* Pinnacle Financial Partners, Inc. 56,996 1,273,291
* Piper Jaffray Companies, Inc. 16,100 455,147
* PMA Capital Corp. Class A 218,589 1,624,116
Pocahontas Bancorp, Inc. 51,900 726,600
* Premier Financial Bancorp 6,600 71,775
Presidential Life Corp. 202,574 3,068,996
ProCentury Corp. 1,881 19,186
Prosperity Bancshares, Inc. 152,150 4,126,308
Provident Bancorp, Inc. 234,314 2,743,817
Provident Financial Holdings, Inc. 72,400 2,014,168
Pulaski Financial Corp. 30,400 677,616
Rainier Pacific Financial Group, Inc. 4,471 76,409
Renasant Corp. 2,212 67,289
Republic Bancorp, Inc. Class A 39,249 895,662
* Republic First Bancorp, Inc. 56,015 746,129
* Rewards Network, Inc. 175,250 895,527
Riverview Bancorp, Inc. 34,400 739,600
Royal Bancshares of Pennsylvania, Inc. Class A 16,079 379,464
* RTW, Inc. 43,450 421,465
Sanders Morris Harris Group, Inc. 160,686 2,627,216
Sandy Spring Bancorp, Inc. 99,923 3,317,444
* SCPIE Holdings, Inc. 19,000 213,180
Seacoast Banking Corp. of Florida 106,249 2,153,667
* Siebert Financial Corp. 42,300 124,785
Sierra Bancorp 3,900 88,858
Simmons First National Corp. Class A 98,395 2,414,613
Sound Federal Bancorp, Inc. 83,921 1,336,022
Southside Banchares, Inc. 117 2,298
Southwest Bancorp, Inc. 83,210 1,506,101
* Standard Management Corp. 69,015 124,227
State Financial Services Corp. Class A 77,532 3,078,020
Sterling Bancorp 299,170 6,327,445
Sterling Bancshares, Inc. 310,563 4,223,657
Sterling Financial Corp. 2,031 52,298
Stewart Information Services Corp. 116,100 4,556,925
* Stifel Financial Corp. 67,892 1,433,879
* Stratus Properties, Inc. 53,750 896,550
Suffolk Bancorp 68,400 2,143,656
Summit Bancshares, Inc. 65,800 1,160,712
Summit Bank Corp. 8,400 117,684
* Sun Bancorp, Inc. 165,851 3,439,750
* Superior Essex, Inc. 72,375 1,213,729
SWS Group, Inc. 70,349 1,115,032
Teche Holding Co. 2,700 97,605
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Texas United Bancshares, Inc. 481 8,365
TF Financial Corp. 13,900 403,100
* Thackeray Corp. 69,700 0
* Thackeray Corp. Escrow Shares 69,700 13,940
* The Banc Corp. 91,694 962,787
The Colonial BancGroup, Inc. 47,600 1,061,004
* The Washtenaw Group, Inc. 2,000 2,500
TierOne Corp. 126,198 3,044,527
Timberland Bancorp, Inc. 36,300 835,263
Tompkins County Trustco, Inc. 520 21,476
* Tradestation Group, Inc. 326,300 2,404,831
* Trammell Crow Co. 261,500 5,896,825
Trico Bancshares 79,100 1,613,640
* Unico American Corp. 114,100 1,044,015
Union Bankshares Corp. 2,557 92,717
Union Community Bancorp 3,000 49,440
* United America Idemnity, Ltd. 79,809 1,360,743
* United Capital Corp. 90,008 2,146,691
United Community Financial Corp. 198,071 2,081,726
United Financial Corp. 2,640 64,614
* United Financial Mortgage Corp. 19,300 83,569
United Fire & Casualty Co. 22,600 889,762
* United PanAm Financial Corp. 600 14,292
# United Security Bancshares 6,500 167,674
Unity Bancorp, Inc. 15,986 195,828
* Universal American Financial Corp. 49,733 941,943
Unizan Financial Corp. 100,034 2,549,867
USB Holding Co., Inc. 1,697 35,876
Vesta Insurance Group, Inc. 245,300 618,156
* Virginia Commerce Bancorp, Inc. 312 6,970
Wainwright Bank & Trust Co. 306 3,419
Washington Banking Co. 18,721 267,710
Washington Savings Bank, FSB 43,368 375,567
Washington Trust Bancorp, Inc. 89,623 2,526,472
Wesbanco, Inc. 154,969 4,582,433
West Bancorporation 57,549 1,024,948
West Coast Bancorp 104,787 2,280,165
Westbank Corp. 10,363 174,513
* Western Sierra Bancorp 1,732 59,079
Westwood Holdings Group, Inc. 6,037 101,965
Willow Grove Bancorp, Inc. 66,612 1,015,567
* Wilshire Enterprises, Inc. 130,375 977,812
* World Acceptance Corp. 177,000 4,610,850
WSFS Financial Corp. 12,200 679,296
Yardville National Bancorp 75,767 2,569,259
Ziegler Companies, Inc. 4,200 82,950
----------------
Total Financials
(Cost $273,895,890) 400,890,082
----------------
Energy -- (4.4%)
* Abraxas Petroleum Corp. 35,600 97,544
Adams Resources & Energy, Inc. 68,250 1,150,012
* # Allis-Chalmers Energy, Inc. 1,300 6,565
* # Atlas America, Inc. 4,804 150,173
* # ATP Oil & Gas Corp. 206,905 4,363,626
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Barnwell Industries, Inc. 20,200 1,237,250
* Bolt Technology Corp. 44,700 261,495
* # BPZ Energy, Inc. 2,616 12,034
* Brigham Exploration Co. 292,171 2,471,767
* Callon Petroleum Co. 123,000 1,740,450
* Carrizo Oil & Gas, Inc. 116,331 1,754,271
Castle Energy Corp. 56,600 735,800
* Clayton Williams Energy, Inc. 75,458 2,061,513
* Comstock Resources, Inc. 117,000 2,669,940
* Contango Oil & Gas Co. 10,900 86,546
* Dawson Geophysical Co. 41,200 856,960
* Delta Petroleum Corp. 285,858 3,264,498
* Dril-Quip, Inc. 122,200 3,342,170
* Edge Petroleum Corp. 118,012 1,608,504
* Endeavour International Corp. 591,960 1,947,548
* Energy Partners, Ltd. 212,700 4,860,195
* # FX Energy, Inc. 120,900 1,126,788
* Gasco Energy, Inc. 28,200 89,112
* Giant Industries, Inc. 92,000 2,650,520
* Goodrich Petroleum Corp. 145,200 2,571,492
* GSV, Inc. 5,340 1,388
Gulf Island Fabrication, Inc. 88,600 1,780,860
* Gulfmark Offshore, Inc. 138,700 3,475,822
* Harvest Natural Resources, Inc. 487,800 5,287,752
* # Horizon Offshore, Inc. 160,309 50,497
* # Infinity, Inc. 89,047 734,638
* Input/Output, Inc. 542,800 3,218,804
* KCS Energy, Inc. 318,200 4,470,710
* # KFX, Inc. 407,000 5,360,190
Lufkin Industries, Inc. 92,200 2,658,126
* Magnum Hunter Resources, Inc. 42,340 654,576
Maritrans, Inc. 47,700 1,139,553
MarkWest Hydrocarbon, Inc. 73,931 1,614,653
* # Matrix Service Co. 150,600 621,978
* # McMoran Exploration Co. 168,300 3,115,233
* Meridian Resource Corp. 541,572 2,453,321
* Mission Resources Corp. 278,582 1,969,575
* Mitcham Industries, Inc. 90,200 633,204
* NATCO Group, Inc. Class A 163,600 1,760,336
* Natural Gas Services Group 6,000 61,740
* Newpark Resources, Inc. 574,300 3,503,230
* NS Group, Inc. 170,000 4,899,400
* Offshore Logistics, Inc. 156,241 4,893,468
* # OMNI Energy Services Corp. 73,530 119,854
* Parallel Petroleum Corp. 215,200 1,465,512
* Parker Drilling Co. 648,700 3,697,590
Penn Virginia Corp. 116,800 4,820,336
* # Petrohawk Energy Corp. 34,056 297,649
* Petroleum Development Corp. 139,678 3,649,786
* Pioneer Drilling Co. 3,700 51,763
* Remington Oil & Gas Corp. 192,960 5,981,760
* Rentech, Inc. 48,300 71,484
Resource America, Inc. 168,780 5,735,144
* Royale Energy, Inc. 40,402 220,595
RPC, Inc. 154,550 2,282,703
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* Seabulk International, Inc. 182,900 3,586,669
* Syntroleum Corp. 373,698 3,239,962
* T-3 Energy Services, Inc. 9,270 65,817
* Tel Offshore Trust 615 4,471
* # Teton Petroleum Co. 61,000 213,500
* TETRA Technologies, Inc. 193,200 5,332,320
* Tipperary Corp. 76,000 354,920
* # Torch Offshore, Inc. 64,000 7,840
* Toreador Resources Corp. 41,700 895,716
* TransMontaigne, Inc. 283,660 2,348,705
* # Tri-Valley Corp. 153,500 1,832,790
* # U.S. Energy Corp. Wyoming 71,870 288,917
* Veritas DGC, Inc. 124,800 3,369,600
* Westmoreland Coal Co. 56,900 1,222,212
* W-H Energy Services, Inc. 190,800 4,134,636
World Fuel Services Corp. 184,600 4,864,210
----------------
Total Energy
(Cost $85,044,991) 155,632,288
----------------
Consumer Staples -- (3.8%)
* Advanced Nutraceuticals, Inc. 475 2,019
* Alico, Inc. 53,400 2,750,100
Alliance One International, Inc. 626,824 4,017,942
# American Italian Pasta Co. 126,800 2,917,668
* Atlantic Premium Brands, Ltd. 27,000 31,050
* Boston Beer Co., Inc. Class A 131,700 2,780,187
* Bridgford Foods Corp. 91,467 709,784
* Cagle's, Inc. Class A 94,800 910,080
Calavo Growers, Inc. 34,730 360,949
Cal-Maine Foods, Inc. 164,000 1,064,360
* Carrington Laboratories, Inc. 73,900 274,908
CCA Industries, Inc. 44,530 447,526
* Central European Distribution Corp. 114,906 3,832,115
* Central Garden & Pet Co. 46,422 2,058,816
* Chattem, Inc. 175,200 7,516,080
* Cruzan International, Inc. 48,800 680,760
* Darling International, Inc. 506,900 1,885,668
* Elizabeth Arden, Inc. 197,162 4,144,345
* Female Health Co. 44,000 79,200
* Foodarama Supermarkets, Inc. 20,700 641,700
* Fresh Brands, Inc. 59,300 399,682
* Galaxy Nutritional Foods, Inc. 37,700 75,400
* Gardenburger, Inc. 33,700 2,696
* Genesee Corp. Class B 800 1,660
* Glacier Water Services, Inc. 24,500 546,350
Golden Enterprises, Inc. 61,900 229,030
* # Great Atlantic & Pacific Tea Co., Inc. 226,100 5,636,673
* Green Mountain Coffee, Inc. 59,700 1,986,219
* Griffin Land & Nurseries, Inc. Class A 23,400 561,600
* Hain Celestial Group, Inc. 164,053 2,952,954
* Hines Horticulture, Inc. 195,700 694,735
Imperial Sugar Co. (NEW) 69,917 1,076,722
Ingles Market, Inc. Class A 74,283 938,937
* # Integrated Biopharma, Inc. 78,975 351,439
# Inter Parfums, Inc. 168,600 2,992,650
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* Interstate Bakeries Corp. 238,400 1,559,136
J & J Snack Foods Corp. 83,200 4,106,752
* Katy Industries, Inc. 76,100 265,589
Lance, Inc. 240,521 4,252,411
* M&F Worldwide Corp. 168,000 2,148,720
# Mannatech, Inc. 5,200 83,772
Marsh Supermarkets, Inc. Class A 17,700 199,125
Marsh Supermarkets, Inc. Class B 29,800 376,970
* Maui Land & Pineapple Co., Inc. 35,500 1,466,505
* # Medifast, Inc. 75,100 230,557
MGP Ingredients, Inc. 151,200 1,264,032
* Monterey Pasta Co. 135,300 408,606
Nash Finch Co. 91,400 3,252,012
* National Beverage Corp. 213,800 1,753,160
* Natrol, Inc. 99,700 279,160
* Natural Alternatives International, Inc. 48,800 368,928
Nature's Sunshine Products, Inc. 153,100 2,521,557
Northland Cranberries, Inc. 400 136
Oil-Dri Corp. of America 56,300 962,730
* Omega Protein Corp. 175,600 1,246,760
* # Parlux Fragrances, Inc. 90,500 2,260,690
* Pathmark Stores, Inc. 207,500 1,857,125
* Peet's Coffee & Tea, Inc. 92,271 2,619,574
* Pizza Inn, Inc. 39,700 105,205
* Playtex Products, Inc. 422,400 4,553,472
* PriceSmart, Inc. 98,900 692,300
Pyramid Breweries, Inc. 36,800 69,523
* # Redhook Ale Brewery, Inc. 62,900 191,845
Reliv International, Inc. 114,430 1,201,515
* Revlon, Inc. 18,104 53,769
Rocky Mountain Chocolate Factory, Inc. 57,110 1,345,512
* San Filippo (John B.) & Son, Inc. 57,900 1,224,585
Sanderson Farms, Inc. 141,709 5,370,771
* Scheid Vineyards, Inc. 14,500 84,100
Scope Industries 16,650 1,163,835
* Seneca Foods Corp. Class A 200 3,240
* Seneca Foods Corp. Class B 6,800 112,370
* Smart & Final Food, Inc. 207,700 2,253,545
* Spartan Stores, Inc. 141,449 1,824,692
* # Star Scientific, Inc. 543,917 3,154,719
Stephan Co. 33,500 149,075
Tasty Baking Co. 80,500 644,000
The Topps Co., Inc. 274,208 2,555,619
* Tofutti Brands, Inc. 4,000 12,600
United-Guardian, Inc. 36,820 279,096
* # USANA Health Services, Inc. 117,736 5,168,610
# Vector Group, Ltd. 284,463 4,878,540
* Vermont Pure Holdings, Ltd. 20,600 37,492
WD-40 Co. 112,746 3,267,379
* Weider Nutrition International, Inc. 70,700 288,456
* Wild Oats Markets, Inc. 197,095 2,215,348
* # Winn-Dixie Stores, Inc. 624,600 655,830
----------------
Total Consumer Staples
(Cost $84,029,995) 132,593,054
----------------
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Materials -- (3.5%)
* AEP Industries, Inc. 60,750 1,046,723
* AK Steel Holding Corp. 82,200 628,830
* Aleris International, Inc. 251,078 5,980,678
AMCOL International Corp. 206,800 4,011,920
* American Pacific Corp. 66,400 537,840
American Vanguard Corp. 22,296 399,098
Arch Chemicals, Inc. 165,149 3,892,562
Atlantis Plastics, Inc. 34,800 216,108
* Badger Paper Mills, Inc. 200 668
Bairnco Corp. 105,300 1,176,201
Balchem Corp. 36,150 1,001,355
* Brush Engineered Materials, Inc. 137,400 1,948,332
* Buckeye Technologies, Inc. 258,490 2,137,712
Calgon Carbon Corp. 275,100 2,451,141
Cambrex Corp. 202,200 3,659,820
* Canyon Resources Corp. 176,800 130,832
* Caraustar Industries, Inc. 199,486 2,094,603
* Castle (A.M.) & Co. 74,225 1,038,408
Chesapeake Corp. 136,822 2,855,475
* Coeur d'Alene Mines Corp. 149,600 498,168
* Constar International, Inc. 81,600 261,120
* Continental Materials Corp. 14,900 464,731
* # Core Molding Technologies, Inc. 39,597 372,212
CPAC, Inc. 51,978 259,370
* Crown Resources Corp. 13,540 19,633
Deltic Timber Corp. 84,000 3,250,800
* Detrex Corp. 10,200 47,685
* Devcon International Corp. 29,000 340,750
* Environmental Technologies Corp. 39,700 18
Flamemaster Corp. 189 803
Friedman Industries, Inc. 152,403 1,171,979
Gibraltar Industries, Inc. 69,280 1,355,117
Glatfelter (P.H.) Co. 302,900 3,392,480
Hawkins, Inc. 92,485 1,137,566
* Hecla Mining Co. 681,700 3,054,016
* ICO, Inc. 165,818 388,014
* Impreso, Inc. 31,500 33,705
* Keystone Consolidated Industries, Inc. 11,000 1,870
* Landec Corp. 165,747 992,825
* Lesco, Inc. 87,900 1,186,650
* # Liquidmetal Technologies, Inc. 106,651 166,376
* Material Sciences Corp. 131,800 1,607,960
* Maxxam, Inc. 20,500 476,625
Metal Management, Inc. 166,697 3,062,224
* Metals USA, Inc. 138,478 2,931,579
* Mines Management, Inc. 8,400 47,964
* Mod-Pac Corp. 19,740 314,833
* Mod-Pac Corp. Class B 6,877 101,780
Myers Industries, Inc. 237,047 2,643,074
* # Nanophase Technologies Corp. 121,700 793,484
Nevada Chemicals, Inc. 400 2,680
* NewMarket Corp. 115,700 1,572,363
Niagara Corp. 75,500 645,525
NN, Inc. 132,600 1,682,694
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Northern Technologies International Corp. 26,400 129,360
* Northwest Pipe Co. 47,500 1,052,600
* # Olympic Steel, Inc. 73,100 1,147,670
* OM Group, Inc. 20,900 526,680
* OMNOVA Solutions, Inc. 93,800 380,828
* Oregon Steel Mills, Inc. 77,000 1,359,820
Packaging Dynamics Corp. 32,980 465,018
Penford Corp. 54,800 848,852
* PolyOne Corp. 74,900 503,328
Pope & Talbot, Inc. 123,700 1,364,411
Quaker Chemical Corp. 78,600 1,391,220
Roanoke Electric Steel Corp. 87,400 1,752,370
Rock of Ages Corp. 32,900 199,703
Rock-Tenn Co. Class A 241,100 2,775,061
Royal Gold, Inc. 163,200 2,864,160
* RTI International Metals, Inc. 153,100 4,193,409
# Ryerson Tull, Inc. 170,100 2,588,922
Schnitzer Steel Industries, Inc. Class A 23,911 552,822
Schulman (A.), Inc. 210,882 3,450,030
Schweitzer-Maudoit International, Inc. 100,900 3,023,973
* Solitario Resources Corp. 2,937 3,407
* Southwall Technologies, Inc. 79,100 105,994
Spartech Corp. 171,400 3,467,422
Steel Technologies, Inc. 88,800 1,776,000
Stepan Co. 35,200 746,592
* Stillwater Mining Co. 2,200 14,850
Summa Industries, Inc. 31,800 244,860
* Synalloy Corp. 87,058 1,005,520
* Terra Industries, Inc. 626,100 3,975,735
* # Titanium Metals Corp. 103,950 4,422,033
* U.S. Concrete, Inc. 186,417 1,140,872
* UFP Technologies, Inc. 11,800 36,580
* Universal Stainless & Alloy Products, Inc. 55,300 694,015
Vulcan International Corp. 8,251 405,124
Wausau-Mosinee Paper Corp. 32,400 405,000
* Webco Industries, Inc. 37,500 215,625
Wellman, Inc. 250,200 2,812,248
* Williams Industries, Inc. 5,800 20,219
* # Zoltek Companies, Inc. 130,900 1,303,764
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Total Materials
(Cost $105,678,165) 122,853,076
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Utilities -- (1.5%)
American States Water Co. 115,200 3,223,296
* Aquila, Inc. 250,200 935,748
Artesian Resources Corp. Class A 800 25,816
* BayCorp Holdings, Ltd. 4,189 58,018
California Water Service Group 126,747 4,573,032
Cascade Natural Gas Corp. 98,400 1,891,248
Central Vermont Public Service Corp. 140,100 2,942,100
CH Energy Group, Inc. 42,700 1,930,040
Chesapeake Utilities Corp. 53,375 1,538,268
Connecticut Water Services, Inc. 93,287 2,334,041
Delta Natural Gas Co., Inc. 20,000 514,400
Empire District Electric Co. 180,200 4,140,996
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* Energy West, Inc. 11,211 91,930
EnergySouth, Inc. 76,425 2,057,361
* Environmental Power Corp. 11,400 55,860
Florida Public Utilities Co. 22,800 403,560
Green Mountain Power Corp. 59,100 1,726,902
Laclede Group, Inc. 145,300 4,344,470
Maine & Maritimes Corp. 29,300 783,775
MGE Energy, Inc. 138,895 5,000,220
Middlesex Water Co. 56,000 1,083,040
Otter Tail Corp. 46,924 1,194,685
RGC Resources, Inc. 4,698 126,564
SEMCO Energy, Inc. 196,220 1,075,286
South Jersey Industries, Inc. 82,082 4,654,049
Southwest Water Co. 133,961 1,425,345
UIL Holdings Corp. 31,211 1,617,978
Unitil Corp. 39,500 1,071,635
----------------
Total Utilities
(Cost $37,494,218) 50,819,663
----------------
Telecommunication Services -- (1.0%)
* @Road, Inc. 378,053 1,043,426
Alaska Communications Systems Group, Inc. 232,300 2,199,881
* Boston Communications Group, Inc. 131,800 183,202
* # Broadwing Corp. 120,189 588,926
* # Cogent Communications Group, Inc. 2,451 56,398
* Covista Communications, Inc. 21,500 18,920
CT Communications, Inc. 130,232 1,575,807
D&E Communications, Inc. 96,400 779,876
* General Communications, Inc. Class A 366,935 3,023,544
* GoAmerica, Inc. 117 814
Hector Communications Corp. 24,700 568,100
Hickory Tech Corp. 12,800 116,224
* LCC International, Inc. Class A 137,300 490,161
* Lynch Interactive Corp. 59,200 1,568,800
* Metro One Telecommunications, Inc. 109,000 102,460
* Moscow CableCom Corp. 15,000 83,250
* # Network Plus Corp. 10,000 9
North Pittsburgh Systems, Inc. 102,603 1,924,832
* Pac-West Telecomm, Inc. 193,400 201,136
* Premiere Global Services, Inc. 373,925 4,206,656
* # Primus Telecommunications Group, Inc. 72,879 65,591
* Rural Cellular Corp. Class A 19,700 94,954
* SBA Communications Corp. 305,281 3,413,042
* Shared Technologies Cellular, Inc. 24,600 37
* SunCom Wireless Holdings, Inc. 410,100 861,210
SureWest Communications 98,508 2,344,490
* TALK America Holdings, Inc. 183,256 1,629,146
* Teleglobe International Holdings, Ltd. 14,650 34,867
* Time Warner Telecom, Inc. 220,297 1,123,515
* UbiquiTel, Inc. 638,944 4,421,492
* # US LEC Corp. 242,800 607,000
* Wireless Facilities, Inc. 491,631 2,531,900
* Xeta Corp. 85,700 274,240
----------------
Total Telecommunication Services
(Cost $36,209,648) 36,133,906
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Other -- (0.0%)
* Big 4 Ranch, Inc. 35,000 0
* Breed Technologies, Inc. 5,600 78
* Bush Industries, Inc. Escrow 2,300 53
* Career Blazers, Inc. Trust Units 4,360 0
* Celebrity, Inc. Escrow Shares 13,500 0
* Convergence Systems, Inc. 13 0
* Denali, Inc. 33,100 0
* DLB Oil & Gas, Inc. 7,600 0
* ePresence, Inc. Escrow Shares 191,500 24,895
* # EquiMed, Inc. Nevis 6,533 1
* Hoenig Group Escrow Shares 61,000 0
* iGo Escrow Share 11,200 0
* # Imperial Sugar Co. 74,200 0
* Noel Group, Inc. 43,600 654
* # Nucentrix Broadband Networks, Inc. Escrow Shares 114,500 0
* Petrocorp, Inc. Escrow Shares 37,100 2,226
* # Source Media, Inc. 154,600 0
* Star Struck, Ltd. 500 463
* Starbiz Restrictive Shares 2 0
* StorageNetworks, Inc. Escrow Shares 56,400 1,528
* Suburban Lodges of America, Inc. Escrow Shares 127,500 0
Swisher International, Inc. 8,500 41,013
* # Trenwick Group, Ltd. 12,662 63
* Trump Entertainment Resorts, Inc. 63 826
* Wireless WebConnect!, Inc. 18,707 206
----------------
Total Other
(Cost $2,786,982) 72,006
----------------
TOTAL COMMON STOCKS
(Cost $2,698,813,159) 3,296,737,540
----------------
RIGHTS/WARRANTS -- (0.0%)
Other -- (0.0%)
* American Banknote Corp. Warrants Series 1 10/01/07 205 0
* American Banknote Corp. Warrants Series 2 10/01/07 205 0
* # Angeion Corp. Warrants 10/31/20 1,294 0
* Chart Industries, Inc. Warrants 09/15/10 159 4,054
* Chiquita Brands International, Inc. Warrants 03/19/09 546 5,957
* Del Global Technologies Corp. Warrants 03/28/08 4,265 6,398
* Imperial Credit Industries, Inc. Warrants 01/31/08 1,010 0
* Imperial Sugar Co. Warrants 08/29/08 2,543 1,780
* Milltope Group, Inc. Contigent Value Rights 44,000 0
* Optical Cable Corp. Warrants 10/24/07 655 0
* # OSI Pharmaceuticals, Inc. Contingent Value Rights 4,500 405
PMR Corp. Contingent Value Rights 61,200 0
* # RCN Corp. Warrants 12/21/06 3 0
* Timco Aviation Services, Inc. Warrants 02/27/07 17,520 2
* Trico Marine Services, Inc. Warrants 03/15/08 Series B 2,334 3,711
* Trico Marine Services, Inc. Warrants 03/15/10 Series A 2,334 9,336
* Trump Entertainment Resorts, Inc. Warrants 05/23/06 7,027 0
* Virologic, Inc. Contingent Value Rights 155,210 27,162
----------------
Total Other
(Cost $968,656) 58,805
----------------
47
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Consumer Discretionary -- (0.0%)
* Lodgian, Inc. Class A Warrants 11/25/07 1,813 63
* Lodgian, Inc. Class B Warrants 11/25/09 5,601 112
----------------
Total Consumer Discretionary
(Cost $0) 175
----------------
Consumer Staples -- (0.0%)
* Cruzan International, Inc. Rights 06/21/05 9,760 0
----------------
(Cost $0)
TOTAL RIGHTS/WARRANTS
(Cost $968,656) 58,980
----------------
FACE
AMOUNT VALUE+
---------------- ----------------
(000)
BONDS -- (0.0%)
Other -- (0.0%)
* Del Global Technologies Corp. Subordinated Promissory Note
6.000%, 03/28/07 $ 9 0
* Timco Aviation Services, Inc. Jr. Subordinated Note
8.000%, 01/02/07 1 0
----------------
Total Other
(Cost $0) 0
TOTAL BONDS ----------------
(Cost $0)
TEMPORARY CASH INVESTMENTS -- (6.0%)
^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.92%, 06/01/05
(Collateralized by $365,688,000 U.S. STRIPS, rates ranging from
6.125% to 9.875%, maturities ranging from 11/15/15 to 11/15/27,
valued at $157,248,973) to be repurchased at $154,177,711
(Cost $154,165,206) 154,165 154,165,206
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $56,109,000 FHLMC Notes 4.00%, 09/22/09, valued at
$56,179,136) to be repurchased at $55,352,443 (Cost $55,348,000) 55,348 55,348,000
----------------
209,513,206
----------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $209,513,206) 209,513,206
----------------
TOTAL INVESTMENTS - (100.0%)
(Cost $2,909,295,021) $ 3,506,309,726
================
48
----------
+ 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.
49
THE DFA INTERNATIONAL VALUE SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
[Enlarge/Download Table]
SHARES VALUE+
---------------- ----------------
UNITED KINGDOM -- (15.5%)
COMMON STOCKS -- (15.5%)
Amvescap P.L.C. 314,493 $ 1,844,950
Anglo America P.L.C. 2,159,787 51,459,160
Arriva P.L.C. 231,050 2,234,545
Associated British Foods P.L.C. 1,004,913 14,609,875
Associated British Ports Holdings P.L.C. 378,800 3,358,760
Aviva P.L.C. 2,630,567 29,431,339
AWG P.L.C. 76,018 1,236,854
BAA P.L.C. 1,632,557 18,467,632
BAE Systems P.L.C. 4,006,840 19,626,679
Barratt Developments P.L.C. 338,959 4,070,681
BBA Group P.L.C. 680,050 3,715,025
Bellway P.L.C. 38,000 588,284
Bovis Homes Group P.L.C. 132,000 1,640,865
BPB P.L.C. 458,500 4,271,338
Bradford & Bingley P.L.C. 273,288 1,531,177
Britannic P.L.C. 278,864 2,588,193
* British Airways P.L.C. 1,839,331 9,162,247
British Land Co. P.L.C. 874,751 13,839,395
British Vita P.L.C. 286,388 1,859,262
Brixton P.L.C. 359,333 2,403,207
Cable and Wireless P.L.C. 3,547,491 8,639,378
Carnival P.L.C. 157,273 8,610,132
* Colt Telecom Group P.L.C. 698,726 659,832
* Corus Group P.L.C. 6,312,988 5,208,408
Derwent Valley Holdings P.L.C. 49,351 1,029,762
Dixons Group P.L.C. 2,098,938 5,758,646
* Easyjet P.L.C. 294,025 1,204,320
FKI P.L.C. 856,795 1,503,534
Friends Provident P.L.C. 2,272,618 7,211,098
Great Portland Estates P.L.C. 239,324 1,566,808
Greene King P.L.C. 105,263 2,357,020
Hammerson P.L.C. 468,800 7,732,596
Hanson P.L.C. 963,671 8,887,742
HBOS P.L.C. 14,935 217,236
* Henderson Group P.L.C. 404,000 456,831
Hilton Group P.L.C. 2,710,354 13,989,594
InterContinental Hotels Group P.L.C. 864,975 10,045,164
International Power P.L.C. 2,525,271 8,885,196
ITV P.L.C. 1,567,741 3,259,794
Johnson Matthey P.L.C. 43,250 768,534
Kelda Group P.L.C. 161,510 1,889,016
Kingfisher P.L.C. 2,829,717 13,227,596
Land Securities Group P.L.C. 79,240 2,055,546
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Liberty International P.L.C. 469,345 8,345,510
London Merchant Securities P.L.C. 358,862 1,495,001
Marks & Spencer Group P.L.C. 1,197,239 7,345,469
Mersey Docks & Harbour Co. P.L.C. 115,042 2,015,452
MFI Furniture Group P.L.C. 66,600 129,425
Millennium and Copthorne Hotels P.L.C. 493,245 3,190,438
Mitchells & Butlers P.L.C. 630,549 3,710,031
* O2 P.L.C. 8,760,348 20,295,896
Pearson P.L.C. 924,664 11,062,196
Peninsular & Oriental Steam Navigation P.L.C. 1,130,420 6,376,107
Pennon Group P.L.C. 58,615 1,074,131
Persimmon P.L.C. 278,509 3,780,846
Pillar Property P.L.C. 131,128 1,990,694
* Premier Oil P.L.C. 119,812 1,280,252
Rio Tinto P.L.C. 83,136 2,467,971
* Rolls Royce Group P.L.C. 2,749,448 13,556,759
* Rolls Royce Group P.L.C. Class B 137,472,400 249,800
Royal & Sun Alliance Insurance Group P.L.C. 5,018,810 7,028,724
Royal Bank of Scotland Group P.L.C. 219,664 6,445,653
Sabmiller P.L.C. 192,609 2,957,793
Sainsbury (J.) P.L.C. 2,650,025 13,778,639
Scottish & Newcastle P.L.C. 1,005,702 8,689,619
Scottish Power P.L.C. 2,139,658 18,023,688
Severn Trent P.L.C. 210,597 3,875,426
Shire Pharmaceuticals Group P.L.C. 683,427 7,252,939
Singer & Friedlander Group P.L.C. 253,818 1,438,614
Slough Estates P.L.C. 706,900 6,604,174
Somerfield P.L.C. 741,014 2,656,721
Stanley Leisure P.L.C. 190,940 1,891,284
Tate & Lyle P.L.C. 660,070 5,679,426
Taylor Woodrow P.L.C. 998,309 5,746,854
* The Berkeley Group Holdings P.L.C. 228,802 3,438,341
Trinity Mirror P.L.C. 495,640 5,611,004
United Utilities P.L.C. 265,595 3,271,895
Vodafone Group P.L.C. 59,364,901 149,452,303
Whitbread P.L.C. 450,082 7,431,362
Wilson Bowden P.L.C. 105,900 2,193,495
Wimpey (George) P.L.C. 457,583 3,543,491
Wolverhampton & Dudley Breweries P.L.C. 107,366 2,162,199
Woolworths Group P.L.C. 2,125,199 1,351,588
WPP Group P.L.C. 394,800 4,207,903
Xstrata P.L.C. 496,100 8,892,658
----------------
TOTAL COMMON STOCKS
(Cost $542,532,199) 675,095,022
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* British Pound Sterling 14,769
----------------
(Cost $14,769)
TOTAL -- UNITED KINGDOM
(Cost $542,546,968) 675,109,791
----------------
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JAPAN -- (13.9%)
COMMON STOCKS -- (13.7%)
Aichi Bank, Ltd. 8,100 763,449
# Aichi Steel Corp. 120,000 612,133
AIOI Insurance Co., Ltd. 928,735 4,601,504
Aisin Seiki Co., Ltd. 182,500 4,049,894
Akita Bank, Ltd. 115,000 520,024
Alpine Electronics, Inc. 36,800 523,837
Amada Co., Ltd. 376,000 2,553,049
# Anritsu Corp. 67,000 402,573
Aoyama Trading Co., Ltd. 50,400 1,221,105
Asahi Breweries, Ltd. 138,500 1,680,246
Asatsu-Dk, Inc. 32,500 933,957
# Autobacs Seven Co., Ltd. 23,700 740,320
Awa Bank, Ltd. 196,600 1,172,832
Bank of Iwate, Ltd. 15,300 871,226
# Bank of Kyoto, Ltd. 347,400 2,914,717
Bank of Nagoya, Ltd. 185,000 1,086,110
Canon Sales Co., Inc. 124,900 2,212,736
# Chiba Bank, Ltd. 941,000 6,385,328
Chudenko Corp. 41,100 644,314
Chugoku Bank, Ltd. 238,800 2,792,365
Citizen Watch Co., Ltd. 318,000 2,778,042
Coca-Cola West Japan Co., Ltd. 58,400 1,306,361
Comsys Holdings Corp. 105,000 885,061
Cosmo Oil Co., Ltd. 764,000 2,793,389
Dai Nippon Ink & Chemicals, Inc. 459,000 1,355,906
Dai Nippon Pharmaceutical Co., Ltd. 106,000 1,016,224
Dai Nippon Printing Co., Ltd. 937,000 14,782,487
Daibiru Corp. 9,000 66,251
Daicel Chemical Industries, Ltd. 485,000 2,517,757
Daido Steel Co., Ltd. 274,000 1,112,774
# Daio Paper Corp. 51,000 393,988
Daishi Bank, Ltd. 355,000 1,479,538
Daiwa House Industry Co., Ltd. 663,000 7,309,407
Denso Corp. 22,500 510,241
# Ebara Corp. 231,000 830,308
Ezaki Glico Co., Ltd. 174,600 1,393,597
Fuji Electric Co., Ltd. 525,780 1,594,855
Fuji Fire & Marine Insurance Co., Ltd. 297,000 881,192
Fuji Heavy Industries 752,000 3,139,462
Fuji Oil Co., Ltd. 55,200 574,115
Fuji Photo Film Co., Ltd. 770,000 23,978,455
Fujikura, Ltd. 355,000 1,799,156
Fukui Bank, Ltd. 343,000 1,300,575
# Fukuoka Bank, Ltd. 695,000 4,241,307
Fukuyama Transporting Co., Ltd. 266,000 1,045,649
Futaba Corp. 16,000 433,071
Futaba Industrial Co., Ltd. 44,100 837,845
Glory, Ltd. 54,600 922,653
Gunma Bank, Ltd. 444,000 2,640,827
Gunze, Ltd. 223,000 976,976
Hachijuni Bank, Ltd. 589,000 3,887,927
Hankyu Corp. 174,000 640,072
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Hankyu Department Stores, Inc. 116,000 696,497
Hanshin Electric Railway Co., Ltd. 253,000 943,640
Heiwa Corp. 81,500 1,173,008
Heiwado Co., Ltd. 38,000 579,163
Higo Bank, Ltd. 308,000 2,198,248
Hitachi Cable, Ltd. 236,000 1,017,542
Hitachi Kokusai Electric, Inc. 87,000 760,908
Hitachi Maxell, Ltd. 96,000 1,166,763
Hitachi Metals, Ltd. 201,000 1,281,006
Hitachi Software Engineering Co., Ltd. 33,800 563,727
Hitachi Transport System, Ltd. 76,000 633,009
Hitachi, Ltd. 4,970,000 29,696,012
Hokkoku Bank, Ltd. 239,000 1,041,637
Hokuetsu Paper Mills, Ltd. 162,000 880,974
House Foods Corp. 117,000 1,648,185
Hyakugo Bank, Ltd. 258,000 1,582,335
Hyakujishi Bank, Ltd. 314,000 1,782,165
* Ishikawajima-Harima Heavy Industries Co., Ltd. 819,000 1,164,194
Itoham Foods, Inc. 132,000 601,220
Iyo Bank, Ltd. 237,000 1,889,496
Japan Airport Terminal Co., Ltd. 68,300 637,862
Joyo Bank, Ltd. 892,000 4,534,886
Juroku Bank, Ltd. 349,000 1,868,471
Kadokawa Holdings, Inc. 15,200 540,500
Kagoshima Bank, Ltd. 154,000 1,171,822
Kamigumi Co., Ltd. 357,000 2,660,128
Kandenko Co., Ltd. 129,000 758,687
Kanto Auto Works, Ltd., Yokosuka 12,600 147,981
Katokichi Co., Ltd. 103,500 723,388
Kawasaki Heavy Industries, Ltd. 910,000 1,628,496
Keiyo Bank, Ltd. 212,000 1,012,548
Kikkoman Corp. 259,000 2,345,042
Kinden Corp. 167,000 1,235,604
Kirin Brewery Co., Ltd. 1,152,000 11,268,141
# Kissei Pharmaceutical Co., Ltd. 41,000 782,210
Kobe Steel, Ltd. 2,041,000 3,549,885
Koito Manufacturing Co., Ltd. 101,000 1,085,932
Kokuyo Co., Ltd. 81,200 1,041,108
Komori Corp. 52,000 787,596
Kuraray Co., Ltd. 499,000 4,421,577
Kyocera Corp. 238,800 18,270,139
KYORIN Pharmaceutical Co., Ltd. 52,000 648,607
Maeda Corp. 129,000 711,651
Makita Corp. 209,000 4,069,632
Marubeni Corp. 1,942,000 6,128,947
Marui Co., Ltd. 408,600 5,669,748
Maruichi Steel Tube, Ltd. 117,000 2,495,996
Matsushita Electric Industrial Co., Ltd. 3,561,135 53,046,962
Matsushita Electric Works, Ltd. 403,000 3,331,039
Meiji Seika Kaisha, Ltd. Tokyo 292,000 1,421,273
Millea Holdings, Inc. 2,296 30,391,067
Mitsubishi Gas Chemical Co., Inc. 305,000 1,501,802
Mitsubishi Heavy Industries, Ltd. 4,791,000 12,331,213
Mitsubishi Logistics Corp. 106,000 1,010,933
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Mitsubishi Materials Corp. 975,000 2,134,057
Mitsubishi Securities Co., Ltd. 226,000 1,883,182
Mitsui Chemicals, Inc. 807,800 4,580,860
Mitsui Engineering and Shipbuilding Co., Ltd. 481,000 1,037,198
Mitsui Marine & Fire Insurance Co., Ltd. 2,138,000 19,431,714
Mitsumi Electric Co., Ltd. 45,800 484,763
# Mori Seiki Co., Ltd. 63,500 656,559
Morinaga Milk Industry Co., Ltd. 160,000 660,253
Musashino Bank, Ltd. 21,300 973,546
Nagase & Co., Ltd. 101,000 986,075
Namco, Ltd. 11,000 148,462
Nanto Bank, Ltd. 317,000 1,627,254
NGK Insulators, Ltd. 216,000 2,248,607
NGK Spark Plug Co., Ltd. 144,000 1,619,451
Nichicon Corp. 72,900 958,028
Nichirei Corp. 180,000 674,476
# Nifco, Inc. 37,000 579,950
Nihon Unisys, Ltd. 69,100 646,881
Nippon Express Co., Ltd. 211,000 959,175
# Nippon Kayaku Co., Ltd. 128,000 690,344
Nippon Meat Packers, Inc., Osaka 248,000 3,063,990
Nippon Mitsubishi Oil Corp. 1,871,050 12,203,013
Nippon Paint Co., Ltd. 184,000 643,029
Nippon Sheet Glass Co., Ltd. 358,000 1,398,783
Nippon Shinpan Co., Ltd. 191,000 930,169
Nippon Shokubai Co., Ltd. 163,000 1,306,161
Nippon Suisan Kaisha, Ltd. 143,000 542,657
Nippon Television Network Corp. 9,400 1,314,856
Nippon Unipac Holding, Tokyo 1,080 4,197,550
Nipponkoa Insurance Co., Ltd. 909,000 6,286,099
* Nipro Corp. 42,000 627,234
# Nishimatsu Construction Co., Ltd. 364,000 1,227,341
Nissay Dowa General Insurance Co., Ltd. 383,000 1,926,866
Nisshin Seifun Group, Inc. 165,000 1,622,652
Nisshin Steel Co., Ltd. 753,000 1,832,813
Nisshinbo Industries, Inc. 305,000 2,340,054
NSK, Ltd. 319,000 1,546,136
Obayashi Corp. 751,000 3,798,076
Ogaki Kyoritsu Bank, Ltd. 227,000 1,342,026
Oita Bank, Ltd. 81,000 524,068
Oji Paper Co., Ltd. 924,000 4,886,947
Okumura Corp. 175,000 942,537
Onward Kashiyama Co., Ltd. 125,000 1,519,788
PanaHome Corp. 106,000 553,566
Pioneer Electronic Corp. 196,200 3,232,942
Promise Co., Ltd. 60,500 3,757,748
Q.P. Corp. 109,600 953,070
Rengo Co., Ltd. 180,000 930,307
* Resona Holdings, Inc. 1,873,000 3,562,488
Rinnai Corp. 37,100 931,643
Ryosan Co., Ltd. 30,500 743,967
San In Godo Bank, Ltd. 144,000 1,374,980
Sanwa Shutter Corp. 101,000 564,277
Sanyo Chemical Industries, Ltd. 54,000 390,521
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# Sanyo Electric Co., Ltd. 1,981,000 5,373,145
# Sapporo Breweries, Ltd. 251,000 1,251,396
Sapporo Hokuyo Holdings, Inc. 271 1,956,724
Seino Transportation Co., Ltd. 193,000 1,687,227
Sekisui Chemical Co., Ltd. 557,000 3,857,932
Sekisui House, Ltd. 942,000 9,223,018
Seventy-seven (77) Bank, Ltd. 334,000 2,100,276
SFCG Co., Ltd. 8,010 2,035,396
Shiga Bank, Ltd. 272,000 1,682,500
Shikoku Bank, Ltd. 153,000 819,740
Shimachu Co., Ltd. 49,900 1,240,974
Shinko Securities Co., Ltd. 540,000 1,631,886
Shizuoka Bank, Ltd. 744,000 6,412,659
Sohgo Security Services Co.,Ltd. 73,300 933,443
Sumitomo Bakelite Co., Ltd. 105,000 653,160
Sumitomo Corp. 471,000 3,761,719
Sumitomo Electric Industries, Ltd. 899,000 9,429,436
Sumitomo Forestry Co., Ltd. 139,000 1,208,517
Sumitomo Metal Mining Co., Ltd. 215,000 1,375,456
Sumitomo Osaka Cement Co., Ltd. 348,000 835,765
Sumitomo Trust & Banking Co., Ltd. 21,000 124,207
Sumitomo Warehouse Co., Ltd. 114,000 583,082
Suzuken Co., Ltd. 56,700 1,505,343
Taiheiyo Cement Corp. 1,209,800 3,133,016
Taiyo Yuden Co., Ltd. 126,000 1,399,978
Takara Standard Co., Ltd. 118,000 754,442
Takashimaya Co., Ltd. 124,000 1,038,260
Teijin, Ltd. 893,000 3,920,705
Teikoku Oil Co., Ltd. 346,000 2,336,074
The Nisshin Oillio Group, Ltd. 48,000 271,062
Toda Corp. 203,000 829,553
Toho Bank, Ltd. 87,000 356,324
Tokai Tokyo Securities Co., Ltd. 155,000 456,439
Tokuyama Corp. 248,000 1,829,540
Tokyo Broadcasting System, Inc. 117,500 1,975,348
Tokyo Dome Corp. 110,000 598,434
Tokyo Style Co., Ltd. 133,000 1,353,008
Tokyo Tatemono Co., Ltd. 143,000 987,906
Toppan Forms Co., Ltd. 33,200 364,492
Toppan Printing Co., Ltd. 720,000 7,318,236
Toshiba TEC Corp. 181,000 799,920
Tostem Inax Holding Corp. 324,500 5,520,102
Toyo Ink Manufacturing Co., Ltd. 174,000 676,293
Toyo Seikan Kaisha, Ltd. 287,600 4,985,498
Toyo Suisan Kaisha, Ltd. 64,000 1,003,435
Toyoda Machine Works, Ltd. 54,000 521,549
Toyota Auto Body Co., Ltd. 86,000 1,683,836
TV Asahi Corp. 565 1,157,225
UNY Co., Ltd. 158,000 1,713,715
# Wacoal Corp. 149,000 1,981,030
Yamaguchi Bank, Ltd. 151,000 1,708,035
Yamaha Corp. 250,100 3,652,658
Yamanashi Chuo Bank, Ltd. 140,000 840,378
Yamatake Corp. 47,700 787,021
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Yamato Kogyo Co., Ltd. 32,000 366,676
Yamazaki Baking Co., Ltd. 155,000 1,331,732
Yasuda Fire & Marine Insurance Co., Ltd. 431,000 4,354,284
Yodogawa Steel Works, Ltd. 123,000 649,356
Yokohama Rubber Co., Ltd. 410,000 1,684,596
York-Benimaru Co., Ltd. 29,300 814,490
----------------
TOTAL COMMON STOCKS
(Cost $581,985,790) 601,474,625
----------------
INVESTMENT IN CURRENCY -- (0.2%)
* Japanese Yen 8,010,462
----------------
(Cost $8,054,614)
TOTAL -- JAPAN
(Cost $590,040,404) 609,485,087
----------------
FRANCE -- (10.2%)
COMMON STOCKS -- (10.2%)
Air France 192,225 3,059,396
Air Liquide SA 9,820 1,714,730
Arcelor SA 167,800 3,336,596
# Assurances Generales de France (AGF) 177,559 14,242,010
# AXA 2,459,139 60,024,211
# BNP Paribas SA 1,368,012 91,964,838
# Bongrain SA 7,145 440,239
# * Business Objects SA 94,856 2,723,788
* Cap Gemini SA 167,370 5,339,463
# * CNP Assurances 33,992 2,278,353
# Compagnie de Saint-Gobain 455,792 26,216,746
# Compagnie Francaise d'Etudes et de Construction Technip SA 105,512 4,660,453
# Credit Agricole SA 27,709 718,511
# Eiffage SA 10,431 832,447
Esso SA 686 115,573
# Euler-Hermes SA 10,710 809,734
Faurecia SA 30,445 2,283,397
# Fimalac SA 46,887 2,147,169
* Gecina SA 29,500 3,577,499
# Generale des Establissements Michelin SA Series B 212,585 13,428,150
Havas SA 300,744 1,777,230
# Imerys SA 44,000 3,170,823
# LaFarge SA 253,511 22,940,260
LaFarge SA Prime Fidelity 85,542 7,800,086
# Lagardere S.C.A. SA 10,900 776,091
# Peugeot SA 238,144 14,252,610
# Pinault Printemps Redoute SA 100,151 9,912,856
Remy Cointreau SA 56,022 2,364,088
# Renault SA 317,738 27,183,519
# Schneider SA 318,189 23,394,591
SEB SA Prime Fidelity 9,900 1,017,849
# Societe BIC SA 52,288 2,807,476
# Societe des Ciments de Francais 35,796 3,271,505
# Societe Generale Paris 293,528 28,842,183
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Sodexho Alliance SA 122,494 3,932,540
# Suez (ex Suez Lyonnaise des Eaux) 666,220 17,918,894
# Thomson Multimedia 345,508 8,772,529
# Unibail SA 58,749 7,466,708
# Valeo SA 103,212 4,319,434
Vallourec (Usines a Tubes de Lorraine Escaut et Vallourec
Reunies) 4,504 1,042,930
# Vivendi Universal SA 403,364 12,284,113
----------------
TOTAL COMMON STOCKS
(Cost $337,331,390) 445,161,618
----------------
RIGHTS/WARRANTS -- (0.0%)
* Air France Warrants 11/06/07 16,500 7,513
* Rallye SA Series B Warrants 11/30/05 18,020 1,330
----------------
TOTAL RIGHTS/WARRANTS
(Cost $28,587) 8,843
----------------
TOTAL -- FRANCE
(Cost $337,359,977) 445,170,461
----------------
GERMANY -- (6.1%)
COMMON STOCKS -- (6.1%)
* Aachener und Muenchener Beteiligungs AG 33,828 2,733,015
Allianz AG 11,053 1,301,390
BASF AG 154,032 10,222,522
# Bayer AG 498,853 16,751,199
# Bayerische Motorenwerke AG 519,011 22,440,762
* Bayerische Vereinsbank AG 845,488 20,776,122
BHW Holding AG 10,667 183,041
Bilfinger & Berger Bau AG 23,702 1,125,170
# Commerzbank AG 594,131 12,903,783
# DaimlerChrysler AG 1,368,494 55,172,318
# Deutsche Bank AG 770,191 59,920,101
E.ON AG 12,593 1,093,248
Fraport AG 68,708 2,836,900
Fresenius Medical Care AG 18,966 1,489,708
* Heidelberger Druckmaschinen AG 46,167 1,425,361
Heidelberger Zement AG 78,542 5,023,273
# Hochtief AG 71,840 2,441,166
Hypo Real Estate Holding AG 84,277 3,318,984
* IVG Immobilien AG 30,276 550,018
* Lanxess 49,885 1,058,301
# * Linde AG 77,043 5,228,378
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Merck KGAA 67,288 5,255,818
* MG Technologies AG 150,773 1,709,520
# Preussag AG 181,223 4,492,857
Salzgitter AG 13,041 305,122
SCA Hygiene Products AG 3,550 1,266,675
Suedzucker AG 26,428 498,662
ThyssenKrupp AG 450,803 8,276,198
Vattenfall Europe AG 90,913 3,557,582
# Volkswagen AG 295,657 13,011,886
----------------
TOTAL -- GERMANY
(Cost $248,181,818) 266,369,080
----------------
SWITZERLAND -- (5.9%)
COMMON STOCKS -- (5.9%)
Baloise-Holding 214,760 11,213,948
Bank Sarasin & Cie Series B, Basel 180 302,919
Banque Cantonale Vaudoise 12,608 2,784,576
Berner Kantonalbank 15,175 2,237,805
Ciba Spezialitaetenchemie Holding AG 81,000 4,815,990
Cie Financiere Richemont AG Series A 1,251,000 38,086,850
* Clariant AG 64,982 910,858
# Credit Swisse Group 1,452,179 58,093,081
* Fischer (Georg) AG, Schaffhausen 1,280 379,447
# Givaudan SA 5,792 3,447,490
Holcim, Ltd. 199,770 12,143,764
Jelmoli Holding AG 500 679,112
Luzerner Kantonalbank AG 12,294 2,362,894
Pargesa Holding SA, Geneve 1,935 6,973,437
* PSP Swiss Property AG 109,600 4,835,314
Rieters Holdings AG 7,860 2,130,195
Sig Holding AG 30,888 6,567,412
* Sika Finanz AG, Baar 3,828 2,404,569
St. Galler Kantonalbank 10,146 2,583,336
* Swiss Life AG 132,137 17,447,146
# Swiss Reinsurance Co., Zurich 330,715 20,472,030
* Syngenta AG 165,100 17,067,625
# Unaxis Holding AG 45,400 6,370,296
* Valiant Holding AG 39,295 3,461,651
* Valora Holding AG 12,170 2,670,439
* Zurich Financial SVCS AG 152,206 25,283,580
----------------
TOTAL -- SWITZERLAND
(Cost $188,429,435) 255,725,764
----------------
AUSTRALIA -- (4.5%)
COMMON STOCKS -- (4.4%)
Amcor, Ltd. 881,869 4,510,853
AMP, Ltd. 1,026,864 5,103,408
Ansell, Ltd. 303,463 2,103,777
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APN News & Media, Ltd. 509,371 1,958,875
# Australand Property Group 674,862 718,280
AWB, Ltd. 364,594 1,223,471
AXA Asia Pacific Holdings, Ltd. 2,837,724 9,943,499
Bluescope Steel, Ltd. 1,252,100 7,606,018
Boral, Ltd. 944,335 4,224,733
Brickworks, Ltd. 37,510 285,742
Caltex Australia, Ltd. 238,359 2,710,833
Commonwealth Bank of Australia 1,376,094 38,441,344
CSR, Ltd. 1,514,337 2,826,140
Downer Group, Ltd. 225,933 900,086
Futuris Corp., Ltd. 531,719 677,624
Insurance Australiz Group, Ltd. 763,270 3,361,898
Lend Lease Corp., Ltd. 568,460 5,236,997
Lion Nathan, Ltd. 871,345 4,827,362
Mayne Group, Ltd. 1,315,561 4,588,824
Mirvac, Ltd. 1,229,901 3,098,714
National Australia Bank, Ltd. 1,823,878 43,291,233
Onesteel, Ltd. 505,842 957,969
Orica, Ltd. 51,604 612,186
Origin Energy, Ltd. 817,347 4,402,584
Paperlinx, Ltd. 727,704 1,272,060
Publishing and Broadcasting, Ltd. 219,621 2,522,066
Quantas Airways, Ltd. 3,489,827 8,465,231
Rinker Group, Ltd. 982,162 9,119,299
Santos, Ltd. 972,348 7,385,686
Seven Network, Ltd. 211,508 1,137,210
Stockland Trust Group 22,867 95,265
* Stockland Trust Group Issue 05 772 3,184
WMC Resources, Ltd. 1,821,249 10,609,212
----------------
TOTAL COMMON STOCKS
(Cost $133,957,352) 194,221,663
----------------
INVESTMENT IN CURRENCY -- (0.1%)
* Australian Dollar 3,698,009
----------------
(Cost $3,701,213)
TOTAL -- AUSTRALIA
(Cost $137,658,565) 197,919,672
----------------
NETHERLANDS -- (4.4%)
COMMON STOCKS -- (4.4%)
ABN AMRO Holding NV 35,897 833,655
Aegon NV 2,897,384 37,096,508
DSM NV 134,117 8,977,717
# Hunter Douglas NV 94,242 4,873,152
IHC Caland NV 16,740 1,073,392
ING Groep NV 2,065,009 57,137,284
* Koninklijke Ahold NV 1,815,643 13,705,566
Koninklijke KPN NV 2,458,914 19,554,154
Koninklijke Nedlloyd NV 21,621 1,483,685
Koninklijke Philips Electronics NV 1,412,706 36,135,774
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NV Holdingsmij de Telegraaf 6,800 146,078
VNU NV 387,846 10,550,466
----------------
TOTAL COMMON STOCKS
(Cost $157,028,179) 191,567,431
----------------
RIGHTS/WARRANTS -- (0.0%)
* SBM Offshore Coupons 16,740 0
----------------
(Cost $0)
TOTAL -- NETHERLANDS
(Cost $157,028,179) 191,567,431
----------------
HONG KONG -- (2.9%)
COMMON STOCKS -- (2.9%)
Cheung Kong Holdings, Ltd. 2,727,000 24,802,772
China Overseas Land & Investment, Ltd. 1,864,000 348,558
China Travel International Investment, Ltd. 680,000 187,219
China Unicom, Ltd. 5,118,000 4,103,851
# Citic Ka Wah Bank, Ltd. 1,272,000 468,472
Citic Pacific, Ltd. 934,000 2,598,145
Great Eagle Holdings, Ltd. 308,987 703,437
Hang Lung Development Co., Ltd. 2,518,000 4,294,704
Henderson Land Development Co., Ltd. 1,122,000 5,103,391
Hong Kong and Shanghai Hotels, Ltd. 892,417 932,191
Hopewell Holdings, Ltd. 1,455,000 3,593,405
Hutchison Whampoa, Ltd. 3,751,000 32,550,877
Hysan Development Co., Ltd. 2,157,039 4,339,438
# Kerry Properties, Ltd. 2,312,291 5,059,302
New World Development Co., Ltd. 3,131,239 3,266,789
Shanghai Industrial Holdings, Ltd. 1,094,000 2,120,039
# Shangri-La Asia, Ltd. 3,000,733 4,530,388
# Sino Land Co., Ltd. 8,212,433 8,409,841
Tsim Sha Tsui Properties, Ltd. 472,000 815,730
Union Bank of Hong Kong, Ltd. 364,000 450,473
Wharf Holdings, Ltd. 3,438,214 11,212,895
# Wheelock and Co., Ltd. 3,940,000 5,674,640
Wheelock Properties, Ltd. 1,485,000 761,763
----------------
TOTAL -- HONG KONG
(Cost $112,259,789) 126,328,320
----------------
SWEDEN -- (2.7%)
COMMON STOCKS -- (2.7%)
Carbo AB 2,900 70,670
Castellum AB 4,100 158,082
Electrolux AB Series B 324,100 7,084,855
Gambro AB Series A 555,400 7,366,291
Gambro AB Series B 216,300 2,881,955
Holmen AB Series A 6,300 178,842
# Holmen AB Series B 155,700 4,187,532
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# NCC AB Series B 59,700 875,994
Nordic Baltic Holdings AB 2,603,100 23,777,113
Skandinaviska Enskilda Banken Series A 368,800 6,344,263
Skandinaviska Enskilda Banken Series C 9,800 161,411
# * SKF AB Redeemable Shares Series A 22,650 75,795
* SKF AB Redeemable Shares Series B 29,700 99,387
SKF AB Series A 90,600 926,347
SKF AB Series B 118,800 1,213,623
SSAB Swedish Steel Series A 180,800 4,395,242
SSAB Swedish Steel Series B 60,500 1,420,951
# Svenska Cellulosa AB Series A 19,000 652,990
Svenska Cellulosa AB Series B 221,100 7,527,170
Telia AB 2,582,000 12,778,300
Trelleborg AB Series B 160,600 2,495,014
Volvo AB Series A 243,200 9,607,395
Volvo AB Series B 443,400 18,127,730
Whilborg Fastigheter AB Class B 173,980 3,510,524
# * Wihlborgs Fastigheter AB 34,796 818,350
----------------
TOTAL COMMON STOCKS
(Cost $88,187,543) 116,735,826
----------------
RIGHTS/WARRANTS -- (0.0%)
* SSAB Svenskt AB Redemption Rights 05/23/05 180,800 87,473
* SSAB Svenskt AB Series B Redemption Rights 05/23/05 60,500 34,962
* TeliaSonera AB Redeemable Rights 06/09/05 2,317,000 221,083
----------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 343,518
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Swedish Krona 14,372
----------------
(Cost $14,635)
TOTAL -- SWEDEN
(Cost $88,202,178) 117,093,716
----------------
SPAIN -- (2.6%)
COMMON STOCKS -- (2.6%)
Acerinox SA 261,360 3,771,894
Arcelor SA 30,000 594,540
Autopistas Concesionaria Espanola SA 310,251 6,919,589
Banco de Andalucia 900 79,322
Banco de Sabadell SA 154,021 4,039,655
# Banco Pastor SA 59,400 2,217,359
Banco Santander Central Hispanoamerica SA 84,304 963,043
# Cementos Portland SA 21,016 1,443,017
Corporacion Mapfre Compania Internacional de Reaseguros SA 146,555 2,135,749
# Ebro Puleva SA 120,322 2,164,453
# Endesa SA, Madrid 1,136,646 24,738,040
Gas Natural SA, Buenos Aires 121,385 3,402,534
# Iberdrola SA 535,000 13,646,506
# Iberia Lineas Aereas de Espana SA 617,500 1,951,947
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# Inmobiliaria Urbis SA 96,328 1,634,652
Repsol SA 1,289,224 32,239,985
Sociedad General de Aguas de Barcelona SA 119,484 2,406,473
* Sociedad General de Aguas de Barcelona SA 1,194 23,994
# Sol Melia SA 157,217 1,650,123
Union Fenosa SA 230,000 6,921,699
Vallehermoso SA 46,125 929,543
----------------
TOTAL -- SPAIN
(Cost $70,367,226) 113,874,117
----------------
ITALY -- (2.3%)
COMMON STOCKS -- (2.3%)
* Alitalia Linee Aeree Italiane SpA Series A 6,690,000 2,126,779
# Banca Antoniana Popolare Veneta SpA 83,000 2,649,800
# Banca Monte Dei Paschi di Siena SpA 2,279,872 8,187,429
# * Banca Nazionale del Lavoro SpA 2,230,687 7,519,362
# Banca Popolare di Lodi Scarl 437,995 4,271,876
Banca Popolare di Milano 730,208 7,398,062
# Benetton Group SpA 181,249 1,644,732
# Buzzi Unicem SpA 67,793 975,483
# Caltagirone Editore SpA 184,888 1,651,000
Capitalia SpA 2,992,113 15,632,746
# CIR SpA (Cie Industriale Riunite), Torino 500,000 1,381,906
# Compagnia Assicuratrice Unipol SpA 745,685 2,953,366
# * Edison SpA 1,734,262 3,929,021
Erg SpA 197,993 3,067,753
# * Fiat SpA 1,054,970 7,108,155
# Italcementi SpA 444,060 6,857,544
# Italmobiliare SpA, Milano 33,664 2,091,219
Manifattura Lane Gaetano Marzotto & Figli SpA 5,573 122,539
Milano Assicurazioni SpA 182,000 1,034,660
# Pirelli & Co. SpA 1,486,658 1,640,719
# SAI SpA (Sta Assicuratrice Industriale), Torino 167,605 4,368,323
# San Paolo-IMI SpA 833,105 11,571,110
Societe Cattolica di Assicurazoni Scarl SpA 8,800 384,956
----------------
TOTAL COMMON STOCKS
(Cost $85,190,508) 98,568,540
----------------
RIGHTS/WARRANTS -- (0.0%)
* Fiat SpA Warrants 2007 51,693 12,086
----------------
(Cost $0)
TOTAL -- ITALY
(Cost $85,190,508) 98,580,626
----------------
IRELAND -- (1.8%)
COMMON STOCKS -- (1.8%)
Allied Irish Banks P.L.C. 688,656 14,288,890
Bank of Ireland P.L.C. 1,181,012 17,929,477
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CRH P.L.C. 1,243,314 31,389,925
* Elan Corp. P.L.C. 587,038 4,481,845
Irish Permanent P.L.C. 650,175 10,813,430
----------------
TOTAL -- IRELAND
(Cost $73,640,064) 78,903,567
----------------
FINLAND -- (1.2%)
COMMON STOCKS -- (1.2%)
Fortum Oyj 383,200 5,804,712
Huhtamaki Van Leer Oyj 2,300 34,923
Kemira GrowHow Oyj 21,542 166,892
Kemira Oyj 101,377 1,349,484
Kesko Oyj 157,000 3,763,045
Metso Oyj 219,166 4,387,953
M-Real Oyj Series B 253,400 1,367,837
Okobank Class A 65,000 1,036,945
Outokumpu Oyj Series A 351,300 4,845,269
Rautaruukki Oyj Series K 75,900 1,069,234
Stora Enso Oyj Series R 922,500 12,120,767
Upm-Kymmene Oyj 865,900 16,741,637
Wartsila Corp. Oyj Series B 59,400 1,787,015
----------------
TOTAL -- FINLAND
(Cost $47,739,726) 54,475,713
----------------
BELGIUM -- (1.2%)
COMMON STOCKS -- (1.2%)
Ackermans & Van Haaren SA 4,187 166,139
Banque Nationale de Belgique 1,049 4,308,998
Bekaert SA 2,787 206,610
Cofinimmo SA 1,108 175,964
# * Cumerio 70,740 974,956
* Cumerio VVPR 2,009 74
# Delhaize Freres & cie le Lion SA Molenbeek-Saint Jean 231,485 13,660,326
# Dexia SA 191,251 4,149,578
D'Ieteren SA 431 85,582
# Groupe Bruxelles Lambert 55,500 4,720,650
* ING Bank Belgium NV 128 0
Interbrew SA 196,392 6,490,050
KBC Bancassurance Holding SA 127,286 10,318,758
# Nationale a Portefeuille 4,029 853,844
# Suez (ex Suez Lyonnaise des Eaux) 95,400 2,568,186
* Umicore-Strip VVPR 2,009 270
Union Miniere SA 70,740 5,556,572
----------------
TOTAL -- BELGIUM
(Cost $39,649,089) 54,236,557
----------------
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DENMARK -- (1.2%)
COMMON STOCKS -- (1.2%)
Carlsberg A.S. Series B 35,725 1,748,981
# Codan A.S. 57,000 2,788,695
Danisco A.S. 90,330 6,219,533
Danske Bank A.S. 481,453 13,815,709
* Jyske Bank A.S. 89,350 3,413,511
Nordea AB 475,918 4,348,109
Rockwool, Ltd. 16,200 1,124,376
Sydbank A.S. 71,200 1,477,059
Tele Danmark A.S. 380,150 16,760,739
----------------
TOTAL -- DENMARK
(Cost $36,729,428) 51,696,712
----------------
NORWAY -- (1.0%)
COMMON STOCKS -- (1.0%)
Den Norske Bank ASA Series A 905,394 8,757,199
* Fred Olsen Energy ASA 34,000 682,271
# Norsk Hydro ASA 287,800 23,325,408
Norske Skogindustrier ASA Series A 247,500 3,801,116
Orkla ASA Series A 96,900 3,302,860
Prosafe ASA 7,300 219,358
Storebrand ASA 415,300 3,455,309
----------------
TOTAL -- NORWAY
(Cost $36,542,042) 43,543,521
----------------
SINGAPORE -- (0.7%)
COMMON STOCKS -- (0.7%)
# Creative Technology Co., Ltd. 39,550 314,458
DBS Group Holdings, Ltd. 813,000 6,769,561
Fraser & Neave, Ltd. 756,290 7,112,115
Keppel Land, Ltd. 258,000 352,261
Neptune Orient Lines, Ltd. 189,000 378,024
Overseas Chinese Banking Corp., Ltd. 94,000 782,999
SembCorp Industries, Ltd. 690,900 938,841
Singapore Airlines, Ltd. 1,258,000 8,653,781
Singapore Land, Ltd. 813,000 2,529,545
United Overseas Bank, Ltd. 66,000 565,603
# United Overseas Land, Ltd. 1,734,000 2,282,735
----------------
TOTAL -- SINGAPORE
(Cost $26,577,243) 30,679,923
----------------
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PORTUGAL -- (0.4%)
COMMON STOCKS -- (0.4%)
Banco Comercial Portugues SA 2,332,042 6,034,412
Banco Espirito Santo e Comercial de Lisboa 192,268 3,018,327
BPI SGPS SA 635,057 2,402,573
Cimpor Cimentos de Portugal SA 385,415 2,067,538
Portucel-Empresa Produtora de Pasta de Papel SA 1,442,478 2,487,422
----------------
TOTAL -- PORTUGAL
(Cost $14,634,454) 16,010,272
----------------
GREECE -- (0.3%)
COMMON STOCKS -- (0.3%)
* Agricultural Bank of Greece S.A. 123,600 895,249
Alpha Credit Bank 42,048 1,155,740
Bank of Greece 8,520 1,075,583
Bank of Piraeus S.A. 4,600 82,240
* Commercial Bank of Greece 44,760 1,371,166
EFG Eurobank Ergasias S.A. 60,097 1,851,458
Hellenic Petroleum S.A. 159,140 1,530,147
Hellenic Telecommunication Organization Co. S.A. 276,079 4,918,577
National Bank of Greece 20,176 680,936
----------------
TOTAL -- GREECE
(Cost $9,708,569) 13,561,096
----------------
AUSTRIA -- (0.3%)
COMMON STOCKS -- (0.3%)
Bank Austria Creditanstalt AG 70,493 6,932,327
Bohler Uddeholm AG 6,402 826,246
Voestalpine AG 62,211 4,194,277
Wienerberger AG 10,244 453,991
----------------
TOTAL COMMON STOCKS
(Cost $8,010,878) 12,406,841
----------------
RIGHTS/WARRANTS -- (0.0%)
* Boehler-Uddeholm AG Rights 06/02/05 6,402 0
----------------
(Cost $0)
TOTAL -- AUSTRIA
(Cost $8,010,878) 12,406,841
----------------
EMU -- (0.2%)
INVESTMENT IN CURRENCY -- (0.2%)
* Euro Currency 8,495,382
----------------
(Cost $8,683,335)
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NEW ZEALAND -- (0.1%)
COMMON STOCKS -- (0.1%)
Auckland International Airport, Ltd. 399,312 575,334
Carter Holt Harvey, Ltd. 1,955,577 2,456,271
Fletcher Building, Ltd. 693,880 3,045,029
----------------
TOTAL -- NEW ZEALAND
(Cost $5,397,217) 6,076,634
----------------
MALAYSIA -- (0.0%)
COMMON STOCKS -- (0.0%)
* Rekapacific Berhad 691,000 0
----------------
(cost $1,085,853)
FACE
AMOUNT VALUE+
---------------- ----------------
(000)
TEMPORARY CASH INVESTMENTS -- (20.6%)
^ Repurchase Agreement, Deutsche Bank Securities, Merrill
Lynch & Mizuho Securities USA 2.96%, 3.07%, and 2.98%,
respectively, 06/01/05 (Collateralized by $1,247,813,560
U.S. TIPS 1.875%, 07/15/13 and 3.375%, 01/15/07; U.S.
STRIPS, rates ranging from 0% to 10.75%, maturities ranging
from 08/15/05 to 02/15/31; GNMA's, rates ranging from 3.75%
to 5.75%, maturities ranging from 01/20/34 to 05/20/35;
AID-Israel, rates ranging from 0% to 5.50%, maturities
ranging from 11/01/13 to 09/18/23; & U.S. Treasury Notes,
rates ranging from 1.125% to 4.75%, maturities ranging from
06/30/05 to 02/15/15, valued at $915,552,116) to be
repurchased at $897,667,509 (Cost $897,592,866) $ 897,593 897,592,866
----------------
TOTAL INVESTMENTS - (100.0%)
(Cost $3,763,255,811) $ 4,364,903,149
----------------
----------
+ Securities have been fair valued. See Note B to Financial
Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
17
THE JAPANESE SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
[Enlarge/Download Table]
SHARES VALUE+
---------------- ----------------
JAPAN -- (77.6%)
COMMON STOCKS -- (77.2%)
Industrials -- (21.7%)
# * A&A Material Corp. 123,000 $ 166,283
# Advan Co., Ltd. 62,300 812,276
ADVANEX, Inc. 78,000 312,390
Aica Kogyo Co., Ltd. 157,000 1,796,579
Aichi Corp. 166,700 887,368
Aida Engineering, Ltd. 113,000 609,070
# Airtech Japan, Ltd. 12,100 118,542
# Alps Logistics Co., Ltd. 35,400 663,319
Altech Co., Ltd. 14,000 101,571
Altech Corp. 17,050 195,329
Amano Corp. 184,000 1,910,494
Amatsuji Steel Ball Manufacturing Co., Ltd. 42,000 480,324
Ando Corp. 165,000 434,483
Anest Iwata Corp. 100,000 327,786
* Arai-Gumi, Ltd. 34,450 67,418
Asahi Diamond Industrial Co., Ltd. 162,000 1,013,388
Asahi Kogyosha Co., Ltd. 48,000 179,659
# Asahi Pretec Corp. 48,000 688,438
* Asahi Tec Corp. 118,000 216,155
# Asahi Techno Glass Corp. 126,000 676,712
Asanuma Corp. 162,000 323,459
Asia Air Survey Co., Ltd. 17,000 72,465
Asia Securities Printing Co., Ltd. 36,000 416,944
Asunaro Construction, Ltd. 102,000 575,244
Ataka Constuction & Engineering Co., Ltd. 38,000 147,529
Bando Chemical Industries, Ltd. 236,000 1,007,264
Biken Techno Corp. 4,200 35,499
# BSL Corp. 432,140 820,879
Bunka Shutter Co., Ltd. 153,000 806,104
* Cats, Inc. 15,400 426
Central Security Patrols Co., Ltd. 31,400 255,415
# Chugai Ro Co., Ltd. 201,000 486,955
# Chuo Denki Kogyo Co., Ltd. 54,000 311,167
CKD Corp. 139,000 988,330
Commuture Corp. 97,202 707,009
# Cosel Co., Ltd. 45,500 1,211,471
CTI Engineering Co., Ltd. 38,200 326,567
Dai-Dan Co., Ltd. 102,000 590,813
Daifuku Co., Ltd. 249,000 2,076,609
Daihen Corp. 292,000 761,105
Daiho Corp. 125,000 302,648
Dai-Ichi Jitsugyo Co., Ltd. 119,000 431,432
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Daimei Telecom Engineering Corp. 84,000 720,708
Daiseki Co., Ltd. 51,000 717,629
# * Daisue Construction Co., Ltd. 151,500 158,175
Daiwa Industries, Ltd. 101,000 574,777
# Danto Corp. 62,000 237,977
# Densei-Lambda KK 34,584 444,384
Denyo Co., Ltd. 56,000 482,038
DMW Corp. 1,600 65,361
Eikoh, Inc. 12,100 112,104
# * Enshu, Ltd. 96,000 282,678
# * Fudo Construction Co., Ltd. 346,200 614,876
* Fujita Corp. 365,100 281,154
# Fujitec Co., Ltd. 203,000 1,049,253
Fujitsu Devices, Inc. 51,000 562,449
Fukuda Corp. 96,000 597,816
Fukusima Industries Corp. 20,000 265,418
# * Furukawa Co., Ltd. 908,000 1,098,086
Hakuyosha Co., Ltd. 57,000 177,342
Haltec Corp. 32,000 66,056
* Hamai Co., Ltd. 22,000 34,705
# Hanwa Co., Ltd. 484,000 1,606,737
* Hazama Corp. 152,500 362,450
Hibiya Engineering, Ltd. 84,000 752,148
# Hisaka Works, Ltd. 41,000 377,365
Hitachi Kiden Kogyo, Ltd. 27,000 119,994
Hitachi Metals Techno, Ltd. 13,000 45,437
Hitachi Plant Engineering & Construction Co., Ltd. 260,000 1,255,218
Hitachi Tool Engineering, Ltd. 55,000 605,545
Hitachi Transport System, Ltd. 75,000 624,680
# * Hitachi Zosen Corp. 1,147,500 1,485,018
Hokuriku Electrical Construction Co., Ltd. 36,000 129,767
# * Hosokawa Micron Corp. 78,000 683,227
# * Howa Machinery, Ltd. 235,000 288,126
* Ichiken Co., Ltd. 48,000 84,363
# Iino Kaiun Kaisha, Ltd. 263,000 1,209,897
i-Logistics Corp. 52,000 178,771
Inaba Denki Sangyo Co., Ltd. 58,400 1,625,874
Inabata and Co., Ltd., Osaka 126,000 1,035,108
Inui Steamship Co., Ltd. 68,000 321,843
# Iseki & Co., Ltd. 498,000 1,270,849
# * Ishikawa Seisakusho, Ltd. 75,000 160,822
Ishikawajima Construction Materials Co., Ltd. 18,000 50,852
Ishikawajima Transport Machinery Co., Ltd. 30,000 84,801
# Itoki Crebio Corp. 78,000 434,609
# Iwasaki Electric Co., Ltd. 183,000 704,281
Iwatani International Corp. 566,000 1,463,145
* J Bridge Corp. 41,000 635,906
# Jalux, Inc. 24,500 430,858
Jamco Corp. 49,000 301,491
* Japan Bridge Corp. 31,000 40,957
Japan Cash Machine Co., Ltd. 67,215 1,493,515
Japan Foundation Engineering Co., Ltd. 62,000 345,805
Japan Maintenance Co., Ltd. 40,800 442,124
# Japan Pulp and Paper Co., Ltd. 325,000 1,065,833
Japan Servo Co., Ltd. 51,000 137,230
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Japan Steel Tower Co., Ltd. 44,000 216,683
# Japan Steel Works, Ltd. 846,000 1,708,634
# * Japan Storage Battery Co., Ltd. 529,000 1,077,919
# Japan Transcity Corp. 137,000 527,977
* JFE Shoji Holdings, Inc. 116,000 401,794
* Kamagai Gumi Co., Ltd. 87,800 226,588
Kamei Corp. 89,000 969,463
Kanaden Corp. 66,000 385,724
# Kanagawa Chuo Kotsu Co., Ltd. 134,000 666,105
Kanamoto Co., Ltd. 66,000 412,248
* Kanematsu Corp. 921,500 1,188,653
* Kanematsu-NNK Corp. 60,000 109,585
# Katakura Industries Co., Ltd. 72,000 1,015,917
# Kato Works Co., Ltd. 109,000 285,443
* Katsumura Construction Co., Ltd. 48,600 49,011
Kawada Industries, Inc. 102,000 253,010
Kawasho Gecoss Corp. 73,100 431,198
# Keihin Co., Ltd. 178,000 590,492
* Kimmon Manufacturing Co., Ltd. 41,000 74,681
# * Kimura Chemical Plants Co., Ltd. 27,000 92,608
# Kinki Sharyo Co., Ltd., Nagaokakyo 150,000 389,729
* Kinsho Corp. 21,000 68,328
Kioritz Corp. 143,000 391,163
# Kitagawa Iron Works Co., Ltd. 150,000 310,297
Kitano Construction Corp. 162,000 419,652
Kitazawa Sangyo Co., Ltd. 17,500 54,671
# Kitz Corp. 268,000 1,246,653
Kodensha Co., Ltd. 14,000 46,637
Koekisha Co., Ltd. 9,600 213,900
Koike Sanso Kogyo Co., Ltd. 71,000 185,884
Koito Industries, Ltd. 92,000 423,709
* Kokusai Kogyo Co., Ltd. 60,000 191,818
Komai Tekko, Inc. 74,000 243,074
Kondotec, Inc. 30,000 256,820
Kosaido Co., Ltd. 55,700 440,511
Kuroda Electric Co., Ltd. 71,300 1,719,195
# Kyodo Printing Co., Ltd. 188,000 810,189
# Kyoei Sangyo Co., Ltd. 44,000 149,093
Kyokuto Boeki Kaisha, Ltd. 36,000 109,361
Kyokuto Kaihatsu Kogyo Co., Ltd. 63,400 765,316
Kyosan Electric Manufacturing Co., Ltd. 119,000 409,491
Kyowa Exeo Corp. 201,000 1,645,236
Kyudenko Corp. 182,000 1,081,376
Link Consulting Associates - Japan Corp. 24,300 92,751
* Lonseal Corp. 69,000 99,480
Maeda Corp. 358,000 1,974,969
Maeda Road Construction Co., Ltd. 220,000 1,545,804
Maezawa Industries, Inc. 38,100 213,962
Maezawa Kaisei Industries Co., Ltd. 33,800 604,580
# Makino Milling Machine Co., Ltd. 193,000 1,142,628
Marubeni Construction Material Lease Co., Ltd. 54,000 128,442
Maruwn Corp. 44,000 166,232
# Maruyama Manufacturing Co., Inc. 108,000 888,355
Maruzen Showa Unyu Co., Ltd. 205,000 692,952
Matsuda Sangyo Co., Ltd. 41,500 380,726
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Matsui Construction Co., Ltd. 61,600 276,948
# * Matsuo Bridge Co., Ltd. 37,000 70,275
Max Co., Ltd. 126,000 1,479,697
# Meidensha Corp. 533,050 1,251,054
# * Meiji Machine Co., Ltd. 90,000 100,307
Meiji Shipping Co., Ltd. 58,000 212,712
* Meisei Industrial Co., Ltd. 29,000 90,411
Meito Transportation Co., Ltd. 22,000 201,970
* Meiwa Trading Co., Ltd. 55,000 134,721
Mirai Group Co., Ltd. 49,000 101,549
# * Mitsubishi Cable Industries, Ltd. 330,000 381,173
# * Mitsubishi Kakoki Kaisha, Ltd. 149,000 277,856
Mitsubishi Pencil Co., Ltd. 70,000 709,658
Mitsuboshi Belting, Ltd. 190,000 1,108,062
# * Mitsui Matsushima Co., Ltd. 117,000 234,931
Mitsui-Soko Co., Ltd. 307,000 1,039,429
Mitsumura Printing Co., Ltd. 73,000 476,078
Miura Co., Ltd. 92,900 1,857,598
Miura Printing Corp. 19,000 69,074
# Miyaji Engineering Group 120,000 300,893
# Mori Seiki Co., Ltd. 191,400 1,978,984
Morita Corp. 100,000 590,124
Moshi Moshi Hotline, Inc. 12,200 1,215,404
Mystar Engineering Corp. 15,600 90,271
Nabtesco Corp. 285,000 1,806,013
NAC Co., Ltd. 25,100 416,412
# Nachi-Fujikoshi Corp. 553,000 1,876,792
* Nakano Corp. 49,000 107,698
NEC System Integration & Construction, Ltd. 94,100 843,787
Nichias Corp. 296,000 1,194,421
Nichiban Co., Ltd. 75,000 293,168
Nichiha Corp. 75,080 1,095,918
Nichireki Co., Ltd. 65,000 248,652
* Nihon Spindle Manufacturing Co., Ltd. 56,000 121,983
Nikkiso Co., Ltd. 151,000 897,956
# Nikko Co., Ltd., Akashi 66,000 245,629
Nippei Toyama Corp. 80,000 217,685
Nippo Corp. 256,000 1,710,014
# Nippon Carbon Co., Ltd. 242,000 427,152
Nippon Chutetsukan KK 44,000 98,720
# * Nippon Conveyor Co., Ltd. 43,000 54,997
Nippon Densetsu Kogyo Co., Ltd. 134,000 794,926
Nippon Denwa Shisetu Co., Ltd. 121,000 438,398
Nippon Hume Corp. 43,000 128,885
Nippon Jogesuido Sekkei Co., Ltd. 175 255,584
Nippon Kanzai Co., Ltd. 42,300 769,989
# Nippon Koei Co., Ltd., Tokyo 190,000 640,248
Nippon Konpo Unyu Soko Co., Ltd. 167,000 1,758,573
Nippon Road Co., Ltd. 208,000 471,890
Nippon Seisen Co., Ltd. 39,000 141,645
Nippon Sharyo, Ltd. 322,000 774,215
# Nippon Signal Co., Ltd. 140,000 812,612
Nippon Thompson Co., Ltd. 171,000 1,218,272
Nippon Tungsten Co., Ltd. 44,000 113,350
# Nippon Yusoki Co., Ltd. 71,000 263,051
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Nishimatsu Construction Co., Ltd. 238,000 802,492
Nishishiba Electric Co., Ltd. 28,000 52,146
Nissan Diesel Motor Co., Ltd. 64,000 238,414
Nissei Corp. 65,700 703,994
Nissei Plastic Industrial Co., Ltd. 46,000 331,934
Nissha Printing Co., Ltd. 102,000 1,571,354
# Nisshin Fudosan Co., Ltd. 40,600 492,951
# * Nissho Iwai-Nichmen Holdings Corp. 347,100 1,340,409
Nissin Corp. 248,000 755,034
Nissin Electric Co., Ltd. 223,000 724,786
Nitchitsu Co., Ltd. 14,000 31,025
Nitta Corp. 64,100 910,096
Nittan Co., Ltd. 23,000 79,548
Nitto Boseki Co., Ltd. 560,000 1,135,078
Nitto Electric Works, Ltd. 95,500 1,086,001
Nitto Kohki Co., Ltd. 47,600 847,780
Nitto Seiko Co., Ltd. 56,000 160,724
# * Nittoc Construction Co., Ltd. 61,000 121,893
# Nomura Co., Ltd. 122,000 491,078
Noritz Corp. 114,000 1,791,008
Obayashi Road Corp. 65,000 146,920
Odakyu Construction Co., Ltd. 29,000 78,656
* Ohki Corp. 73,000 0
# * Ohmori Co., Ltd. 18,400 11,494
Oiles Corp. 44,800 890,951
Okabe Co., Ltd. 46,000 304,089
* Okamoto Machine Tool Works, Ltd. 75,000 204,106
Okamura Corp. 257,000 1,799,702
# Oki Electric Cable Co., Ltd. 76,000 330,052
* OKK Corp. 138,000 258,040
Okuma and Howa Machinery, Ltd. 96,000 315,970
Okuma Corp. 303,000 1,720,772
# O-M, Ltd. 46,000 108,311
Onoken Co., Ltd. 42,000 568,788
Organo Corp. 113,000 516,986
Oriental Construction Co., Ltd. 51,900 237,582
Original Engineering Consultants Co., Ltd. 9,000 40,538
Oyo Corp. 62,000 703,516
P.S. Mitsubishi Construction Co., Ltd. 58,300 230,687
* Pasco Corp. 135,500 339,057
# Patlite Corp. 21,340 461,814
# * Penta-Ocean Construction Co., Ltd. 887,000 1,292,535
# * PIA Corp. 17,200 330,497
Pilot Corp. 83 337,131
Raito Kogyo Co., Ltd. 110,600 423,904
Rasa Industries, Ltd. 146,000 464,480
Rheon Automatic Machinery Co., Ltd. 40,000 135,326
Riken Electric Wire Co., Ltd. 20,000 35,222
Ryobi, Ltd. 390,000 1,696,514
* Saeki Kensetsu Kogyo Co., Ltd. 71,000 97,278
* Sailor Pen Co., Ltd. 74,000 159,934
Sakai Heavy Industries, Ltd. 60,000 152,346
* Sakurada Co., Ltd. 38,000 58,272
# Sanix, Inc. 73,400 754,333
Sanki Engineering Co., Ltd. 172,000 1,219,523
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Sanko Metal Industrial Co., Ltd., Tokyo 54,000 112,334
# Sankyu, Inc., Tokyo 628,000 1,765,259
Sanritsu Corp. 5,400 54,410
Sanyo Denki Co., Ltd. 133,000 644,352
Sanyo Engineering & Construction, Inc. 48,000 269,403
Sanyo Industries, Ltd., Tokyo 48,000 128,374
# * Sasebo Heavy Industries Co., Ltd., Tokyo 362,000 706,073
* Sata Construction Co., Ltd., Gumma 61,000 73,694
# Sato Corp. 71,600 1,569,069
Sato Shoji Corp. 42,000 350,959
Sawafugji Electric Co., Ltd. 31,000 85,639
Secom Joshinetsu Co., Ltd. 29,200 678,188
Secom Techno Service Co., Ltd. 29,000 933,494
Seibu Electric Industry Co., Ltd. 46,000 250,315
Seika Corp. 179,000 386,542
* Seikitokyu Kogyo Co., Ltd. 86,000 99,179
Sekisui Jushi Co., Ltd. 97,000 624,049
Senko Co., Ltd. 226,000 782,734
Senshu Electric Co., Ltd. 21,300 327,026
# Shibaura Mechatronics Corp. 105,000 888,222
Shibusawa Warehouse Co., Ltd. 140,000 390,514
Shibuya Kogyo Co., Ltd. 54,000 458,281
Shin Nippon Air Technologies Co., Ltd. 52,680 366,125
Shin-Keisei Electric Railway Co., Ltd. 97,000 350,006
# Shinko Electric Co., Ltd. 284,000 786,830
Shin-Kobe Electric Machinery Co., Ltd. 97,000 548,840
Shinmaywa Industries, Ltd. 264,000 1,308,177
Shinsho Corp. 139,000 347,345
# Shinwa Kaiun Kaisha, Ltd. 359,000 1,048,190
* Shiraishi Corp. 25,000 44,701
* Sho-Bond Corp. 54,900 426,220
# Shoko Co., Ltd. 234,000 402,795
# Showa Electric Wire & Cable Co., Ltd., Kawasaki 424,000 528,268
Showa Mining Co., Ltd. 66,000 218,437
Sintokogio, Ltd., Nagoya 116,000 871,536
Soda Nikka Co., Ltd. 35,000 115,760
Sodick Co., Ltd. 97,000 911,724
Space Co., Ltd. 29,180 355,091
Sugimoto & Co., Ltd. 20,500 272,064
* Sumitomo Coal Mining Co., Ltd. 281,500 331,626
Sumitomo Densetsu Co., Ltd. 69,800 277,897
# * Sumitomo Mitsui Construction Co., Ltd. 629,600 501,633
Sumitomo Precision Products Co., Ltd., Amagasaki City 84,000 325,224
# Sumitomo Warehouse Co., Ltd. 311,000 1,590,690
Sun Wave Corp. 96,000 298,200
Tadano, Ltd. 286,000 1,450,683
Taihei Dengyo Kaisha, Ltd. 97,000 548,178
* Taihei Kogyo Co., Ltd. 151,000 428,961
* Taiheiyo Kouhatsu, Inc. 90,000 150,522
Taiho Kogyo Co., Ltd. 50,400 538,007
Taikisha, Ltd. 97,000 1,270,422
Taisei Rotec Corp. 185,000 373,250
Takada Kiko Co., Ltd. 44,000 280,367
# Takamatsu Corp. 43,700 1,335,419
Takano Co., Ltd. 34,400 508,304
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Takaoka Electric Manufacturing Co., Ltd., Tokyo 194,000 383,388
Takara Printing Co., Ltd. 17,050 142,367
Takara Standard Co., Ltd. 46,000 294,104
Takasago Thermal Engineering Co., Ltd. 189,000 1,332,256
Takashima & Co., Ltd. 90,000 223,742
Takigami Steel Construction Co., Ltd. 50,000 368,802
Takuma Co., Ltd. 195,000 1,352,377
Tanseisha Co., Ltd. 26,000 100,226
Tatsuta Electric Wire & Cable Co., Ltd. 137,000 293,342
# * TC Properties Co., Ltd. 579,000 0
# TCM Corp. 176,000 406,863
Techno Ryowa, Ltd. 32,200 216,126
Tekken Corp. 336,000 614,326
Teraoka Seisakusho Co., Ltd. 37,000 332,973
Tetra Co., Ltd., Tokyo 64,000 235,462
Toa Corp. 440,000 826,850
# Toa Doro Kogyo Co., Ltd. 110,000 352,465
# Tocalo Co., Ltd. 39,000 849,176
Todentu Corp. 57,000 162,442
Toenec Corp. 218,000 920,104
Tohoku Telecommunications Construction Co., Ltd. 42,000 324,556
Tokai Konetsu Kogyo Co., Ltd. 15,000 58,736
* Tokai Lease Co., Ltd. 18,000 47,519
# Tokimec, Inc. 152,000 294,522
# Toko Electric Corp. 72,000 306,007
Tokyo Biso Kogyo Corp. 19,000 243,376
Tokyo Energy & Systems, Inc. 77,000 416,085
# Tokyo Kikai Seisakusho, Ltd. 172,000 480,939
Tokyo Leasing Co., Ltd. 142,500 2,006,349
Tokyo Sangyo Co., Ltd. 36,500 128,544
Toli Corp. 173,000 502,954
Tomoe Corp. 84,000 306,356
Tonami Transportation Co., Ltd. 210,000 711,536
# Torishima Pump Manufacturing Co., Ltd., Osaka 62,000 382,018
# Toshiba Machine Co., Ltd. 366,000 1,993,050
Toshiba Plant Kensetsu Co., Ltd. 221,000 959,748
Tosho Printing Co., Ltd. 156,000 563,026
Totetsu Kogyo Co., Ltd. 73,000 345,505
Toyo Bussan Co., Ltd. 36,300 366,134
# * Toyo Construction Co., Ltd. 541,000 629,359
# Toyo Electric Co., Ltd. 91,000 349,962
# Toyo Engineering Corp. 473,000 1,289,579
# * Toyo Shutter Co., Ltd. 77,000 102,112
Toyo Wharf & Warehouse Co., Ltd. 150,000 312,431
Trusco Nakayama Corp. 75,500 1,391,815
Tsubaki Nakashima Co., Ltd. 112,000 1,377,190
Tsubakimoto Chain Co. 435,000 1,961,268
Tsubakimoto Kogyo Co., Ltd. 44,000 142,917
Tsudakoma Corp. 124,000 340,827
# Tsugami Corp. 188,000 930,373
Tsukishima Kikai Co., Ltd. 102,000 858,744
Tsurumi Manufacturing Co., Ltd. 53,000 453,727
Tsuzuki Denki Co., Ltd. 36,000 138,765
Uchida Yoko Co., Ltd. 101,000 423,168
Ueki Corp. 47,000 117,274
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# Union Tool Co. 48,500 1,412,643
Utoc Corp. 68,000 192,804
# Wakachiku Construction Co., Ltd. 251,000 487,718
Watabe Wedding Corp. 18,900 341,016
Weathernews, Inc. 15,800 115,587
Yahagi Construction Co., Ltd. 75,000 296,706
# Yamato Corp. 50,000 229,263
Yamaura Corp. 19,000 48,378
Yamazen Co., Ltd. 205,000 742,529
Yasuda Warehouse Co., Ltd. 61,000 421,702
Yokogawa Bridge Corp. 98,400 594,403
Yondenko Corp. 80,800 445,573
* Yuasa Trading Co., Ltd. 376,000 595,177
Yuken Kogyo Co., Ltd. 83,000 235,611
Yurtec Corp. 179,000 986,176
# Yushin Precision Equipment Co., Ltd. 30,640 520,160
* Z- Plus Holdings Co., Ltd. 52,000 131,977
----------------
Total Industrials
(Cost $226,668,478) 218,629,039
----------------
Consumer Discretionary -- (17.3%)
# ABILIT Corp. 38,000 1,489,060
# Aeon Fantasy Co., Ltd. 27,300 671,138
# Ahresty Corp. 38,200 629,043
Aichi Machine Industry Co., Ltd. 189,000 838,905
Aigan Co., Ltd. 33,500 297,589
Aisan Industry Co., Ltd. 121,800 1,188,959
# Akebono Brake Industry Co., Ltd. 215,000 1,205,919
* Akindo Sushiro Co., Ltd. 2,200 58,377
# Alpine Electronics, Inc. 133,400 1,898,909
# Anrakutei Co., Ltd. 39,000 275,186
AOI Advertising Promotion, Inc. 21,000 160,859
Aoki International Co., Ltd. 100,800 1,219,466
Araya Industrial Co., Ltd. 112,000 278,171
Ashimori Industry Co., Ltd. 109,000 263,075
Asics Corp. 479,000 2,121,118
Asics Trading Co., Ltd. 12,000 145,777
# Atom Corp. 16,600 64,084
# Atsugi Co., Ltd. 410,000 506,916
Aucnet, Inc. 18,500 364,842
Autoseven Co., Inc. 7,600 89,307
# Avex, Inc. 98,900 1,311,824
Banpresto Co., Ltd. 17,100 270,869
Belluna Co., Ltd. 56,980 1,642,977
# Best Denki Co., Ltd. 276,000 1,061,997
* Bookoff Corp. 6,000 140,139
Cabin Co., Ltd. 86,000 312,004
* Catena Corp. 46,000 89,814
# * Cecile Co., Ltd. 89,400 795,972
Chiyoda Co., Ltd. 94,500 1,540,990
Chofu Seisakusho Co., Ltd. 54,500 1,117,843
* Chori Co., Ltd. 405,000 807,045
Chuo Spring Co., Ltd., Nagoya 137,000 563,558
Chuo Woollen Mills, Ltd. 24,000 55,129
# * Clarion Co., Ltd. 640,000 1,090,034
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Cleanup Corp. 90,000 868,319
# Colowide Co., Ltd. 55,500 414,207
# * Columbia Music Entertainment, Inc. 409,000 408,930
# Copal Co., Ltd. 21,600 244,193
Corona Corp. 68,900 1,067,626
# Culture Convenience Club Co., Ltd. 112,200 1,979,474
Cybozu, Inc. 184 208,971
# D&M Holdings, Inc. 162,000 337,475
Daido Kogyo Co., Ltd. 85,000 228,323
# Daidoh, Ltd. 83,000 873,310
# * Daiei, Inc. 24,950 431,184
Daiki Co., Ltd. 49,900 487,893
* Daikyo, Inc. 580,000 1,172,973
Dainichi Co., Ltd. 37,700 319,009
Daisyo Corp. 53,200 648,327
* Daito Woolen Spinning & Weaving Co., Ltd., Tokyo 42,000 54,582
# * Daiwa Seiko, Inc. 343,000 555,552
Daiwabo Co., Ltd. 272,000 418,700
# Denny's Japan Co., Ltd. 67,000 1,230,540
Descente, Ltd. 164,000 624,852
# * Dia Kensetsu Co., Ltd. 141,200 291,448
# Doshisha Co., Ltd. 25,800 872,524
# Doutor Coffee Co., Ltd. 47,900 821,944
Dynic Corp. 66,000 213,596
# Eagle Industry Co., Ltd. 93,000 659,270
* Econach Co., Ltd. 26,000 12,664
Exedy Corp. 114,000 1,878,821
F.D.C. Products, Inc. 21,190 289,482
Fine Sinter Co., Ltd. 31,000 108,360
# France Bed Holdings Co., Ltd. 530,000 1,243,297
# Fuji Co.,Ltd. 76,100 1,345,963
# Fuji Corp, Ltd. 56,000 321,369
Fuji Kiko Co., Ltd. 102,000 399,955
Fuji Kyuko Co., Ltd. 251,000 898,128
* Fuji Spinning Co., Ltd., Tokyo 163,000 191,013
Fujikura Rubber, Ltd. 34,000 193,603
Fujita Kanko, Inc. 254,000 1,121,753
Fujitsu Business Systems, Ltd. 54,800 805,270
# * Fujitsu General, Ltd. 236,000 799,539
# * Furukawa Battery Co., Ltd. 45,000 108,005
Fuso Lexel Inc. 35,500 305,250
Gakken Co., Ltd. 247,000 689,173
# Genki Sushi Co., Ltd. 17,200 205,539
Gigas K's Denki Corp. 10,644 249,114
Global-Dining, Inc. 6,200 41,470
# * Goldwin, Inc. 117,000 272,302
Gourmet Kineya Co., Ltd. 47,000 382,397
# * GSI Creos Corp. 120,000 280,106
* H.I.S. Co., Ltd. 6,400 143,585
Happinet Corp. 25,100 427,837
Haruyama Trading Co., Ltd. 33,100 480,131
Hitachi Koki Co., Ltd. 205,000 1,910,650
Hitachi Powdered Metal Co., Ltd. 62,000 415,038
Homac Corp. 97,100 966,575
Horipro, Inc. 23,400 236,727
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* Ichida and Co., Ltd. 23,400 35,747
Ichikawa Co., Ltd. 49,000 193,620
# Ichikoh Industries, Ltd. 163,000 404,167
Imasen Electric Industrial Co., Ltd. 23,500 177,946
Impact 21 Co., Ltd. 41,500 1,021,813
# * Impress Corp. 257 315,356
Inaba Seisa Kusho Co., Ltd. 38,600 640,629
Ishizuka Glass Co., Ltd. 49,000 129,902
* Izuhakone Railway Co., Ltd. 300 14,926
# * Izutsuya Co., Ltd. 166,000 251,596
# * Jac Holdings Co., Ltd. 170,800 258,230
* Janome Sewing Machine Co., Ltd. 320,000 395,216
# Japan Kenzai Co., Ltd. 60,240 433,338
Japan Vilene Co., Ltd. 143,000 804,850
Japan Wool Textile Co., Ltd. 202,000 1,352,309
Jeans Mate Corp. 15,540 206,576
Joban Kosan Co., Ltd. 193,000 342,966
Joint Corp. 40,200 1,099,947
# Joshin Denki Co., Ltd. 147,000 613,919
Juel Verite Ohkubo Co., Ltd 24,000 59,252
# * Jujiya Co., Ltd. 442,000 319,870
Juki Corp. 247,000 972,185
* Jyomo Co., Ltd. 48,000 109,929
# Kabuki-Za Co., Ltd. 25,000 1,002,170
Kadokawa Holdings, Inc. 27,000 960,098
Kahma Co., Ltd. 69,300 989,121
Kanto Auto Works, Ltd., Yokosuka 148,900 1,748,761
Kasai Kogyo Co., Ltd. 79,000 265,650
Kato Sangyo Co., Ltd. 86,300 1,265,025
# * Kawai Musical Instruments Manufacturing Co., Ltd. 144,000 309,152
# * Kawashima Textile Manufacturers, Ltd. 175,000 270,776
Kayaba Industry Co., Ltd. 496,000 1,660,461
Keiiyu Co., Ltd. 22,100 259,077
# * Keiyo Co., Ltd. 139,900 534,983
Kentucky Fried Chicken Japan, Ltd. 55,000 1,055,927
# Kenwood Corp. 692,000 1,304,437
# Kinki Nippon Tourist Co., Ltd. 196,000 504,954
# Kinugawa Rubber Industrial Co., Ltd. 139,000 314,979
# Kisoji Co., Ltd. 52,600 832,882
# Kohnan Shoji Co., Ltd. 47,500 639,522
# Kojima Co., Ltd. 83,000 1,086,815
Komatsu Seiren Co., Ltd. 80,000 420,419
Konaka Co., Ltd. 49,300 619,045
# Konami Sports Corp. 64,000 1,021,999
Kurabo Industries, Ltd. 554,000 1,337,110
Kuroganeya Co., Ltd. 14,000 55,621
Kyoritsu Maintenance Co., Ltd. 22,300 432,588
Kyoto Kimono Yuzen Co., Ltd. 187 430,065
Kyowa Leather Cloth Co., Ltd. 38,800 237,484
# Laox Co., Ltd. 144,000 398,166
* Look, Inc. 50,000 153,056
# Maezawa Kyuso Industries Co., Ltd. 29,800 411,128
# * Magara Construction Co., Ltd. 61,000 69,864
* Mamiya-Op Co., Ltd. 58,000 135,889
Marche Corp. 10,700 102,029
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Mars Engineering Corp. 46,700 1,237,656
Marubeni Telecom Co., Ltd. 117 120,252
Maruei Department Store Co., Ltd. 72,000 198,190
# * Maruzen Co., Ltd. 208,000 369,355
Maruzen Co., Ltd. - General Commercial Kitchen Appliances &
Equipment 30,000 180,505
# Matsuya Co., Ltd. 120,000 963,489
Matsuya Foods Co., Ltd. 39,500 804,514
# Matsuzakaya Co., Ltd. 386,077 1,789,416
Meiwa Industry Co., Ltd. 15,000 55,216
# * Misawa Homes Holdings, Inc. 57,990 2,053,896
# Misawa Resort Co., Ltd. 113,000 413,880
Mitsuba Corp. 101,690 874,530
Mitsui Home Co., Ltd. 137,000 666,575
Miyuki Keori Co., Ltd. 73,000 284,527
Mizuno Corp. 299,000 1,346,438
# MOS Food Services, Inc. 72,000 1,052,644
# MR Max Corp. 73,900 270,906
Mutow Co., Ltd. 38,000 179,050
* Naigai Co., Ltd. 109,000 128,919
Nichimo Co., Ltd. 54,000 143,639
# * Nichimo Corp. 204,000 265,933
Nidec Tosok Corp. 31,700 416,216
Nihon Eslead Corp. 28,540 716,747
* Nihon Kentetsu Co., Ltd. 27,000 68,264
Nihon Tokushu Toryo Co., Ltd. 44,000 293,101
Nikko Travel Co., Ltd. 12,200 64,687
Nippon Felt Co., Ltd. 56,000 277,075
# Nippon Piston Ring Co., Ltd. 168,000 384,452
Nippon Seiki Co., Ltd. 130,000 1,658,626
Nishimatsuya Chain Co., Ltd. 6,200 148,285
* Nissen Co., Ltd. 21,100 227,307
Nissin Kogyo Co., Ltd. 48,500 1,835,886
Nittan Valve Co., Ltd. 58,000 455,453
Nitto Seimo Co., Ltd. 32,000 85,564
Noritake Co., Ltd. 351,000 1,454,871
# Noritsu Koki Co., Ltd. 74,900 1,550,757
* Omikenshi Co., Ltd. 78,000 80,248
* Orient Watch Co., Ltd. 12,000 4,533
Pacific Industrial Co., Ltd. 116,000 552,614
Parco Co., Ltd. 172,000 1,082,310
# Pentax Corp. 279,000 928,108
Piolax, Inc. 27,300 574,395
Press Kogyo Co., Ltd. 237,000 759,847
* Renown D'urban Holdings, Inc. 82,800 732,512
# Resorttrust, Inc. 64,700 1,634,382
Rhythm Watch Co., Ltd. 344,000 704,834
Right On Co., Ltd. 52,600 1,905,119
Riken Corp. 234,000 1,146,234
Ringer Hut Co., Ltd. 46,400 514,925
Roland Corp. 56,400 962,641
# Roland DG Corp. 39,300 831,653
Royal Co., Ltd. 88,000 1,049,767
# Sagami Chain Co., Ltd. 44,000 393,056
Sagami Co., Ltd. 66,000 252,180
Sagami Rubber Industries Co., Ltd. 15,000 43,187
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# Saizeriya Co., Ltd. 114,400 1,363,509
# Sakai Ovex Co., Ltd. 124,000 266,680
# Sanden Corp. 323,000 1,335,386
* Sanei-International Co., Ltd. 4,300 139,853
Sankyo Seiko Co., Ltd. 132,000 563,106
Sanoh Industrial Co., Ltd. 70,000 476,223
# * Sanrio Co., Ltd. 173,700 1,733,686
# Sanyo Shokai, Ltd. 303,000 1,612,031
Seiko Corp. 251,407 1,353,684
# Seiren Co., Ltd. 128,000 1,311,370
Senshukai Co., Ltd. 106,000 903,734
Shaddy Co., Ltd. 38,800 387,038
* Shikibo, Ltd. 215,000 271,519
# Shinyei Kaisha 80,000 271,927
Shiroki Co., Ltd. 179,000 464,991
Shobunsha Publications, Inc. 35,200 453,737
# Shochiku Co., Ltd. 237,000 1,489,294
Showa Aircraft Industry Co., Ltd. 67,000 690,532
Showa Corp. 39,500 493,287
Silver Ox Inc. 30,000 66,390
# * Silver Seiko, Ltd. 228,000 83,802
# Simree Co., Ltd. 11,700 78,486
SK Japan Co., Ltd. 8,250 60,544
SNT Corp. 58,300 270,999
* Sofmap Co., Ltd. 9,300 39,362
Sotoh Co., Ltd. 12,000 208,161
SPK Corp. 7,800 116,142
Suminoe Textile Co., Ltd. 159,000 335,635
* Suzutan Co., Ltd. 13,200 75,975
* SXL Corp. 129,000 159,652
Tachikawa Corp. 43,800 314,652
Tachi-S Co., Ltd. 78,840 817,301
Taito Corp. 789 1,122,407
* Taka-Q Co., Ltd. 34,500 85,196
# * Takara Co., Ltd. 224,000 709,038
Tasaki Shinju Co., Ltd. 70,000 287,400
Taya Co., Ltd. 5,000 40,349
* TDF Corp. 11,000 40,861
# Tecmo, Ltd. 46,600 465,449
Teikoku Piston Ring Co., Ltd. 70,000 782,497
Teikoku Sen-I Co., Ltd. 39,000 182,532
# Ten Allied Co., Ltd. 37,000 149,294
Tenma Corp. 71,100 1,349,634
Tigers Polymer Corp. 40,000 226,274
* Toabo Corp. 73,000 76,675
# Toei Co., Ltd. 327,000 1,598,995
* Tohoku Misawa Homes Co., Ltd. 24,000 72,252
# Tohoku Pioneer Corp. 49,600 628,636
# * Tohto Suisan Co., Ltd. 80,000 278,645
* Tokai Kanko Co., Ltd. 618,000 215,539
Tokai Senko KK, Nagoya 47,000 103,589
Tokyo Dome Corp. 314,000 1,708,256
Tokyo Nissan Auto Sales Co., Ltd. 97,000 715,339
Tokyo Soir Co., Ltd. 34,000 142,510
# Tokyotokeiba Co., Ltd. 691,000 1,655,697
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Tokyu Recreation Corp. 63,000 359,627
# Tomy Co., Ltd. 42,000 654,165
Topre Corp. 118,000 888,658
# * Tosco Co., Ltd. 35,000 233,865
Totenko Co., Ltd. 35,000 89,661
# Touei Housing Corp. 60,740 1,306,391
# Toyo Radiator Co., Ltd. 166,000 743,611
Toyo Tire & Rubber Co., Ltd. 476,000 1,914,861
Tsukamoto Co., Ltd. 44,000 84,424
Tsutsumi Jewelry Co., Ltd. 44,400 1,180,758
# Unitika, Ltd. 1,067,000 1,270,702
U-Shin, Ltd. 54,000 509,666
# Watami Food Service Co., Ltd. 82,100 739,799
* Wondertable, Ltd. 69,000 89,667
Xebio Co., Ltd. 21,100 593,236
XNET Corp. 57 142,012
Yamatane Corp. 175,000 417,775
Yamato International, Inc. 43,000 237,144
Yellow Hat, Ltd., Tokyo 49,200 417,093
# Yokohama Reito Co., Ltd. 92,000 705,945
# Yomiuri Land Co., Ltd. 180,000 1,027,451
Yonex Co., Ltd. 41,000 422,572
Yorozu Corp. 45,000 404,228
Yoshimoto Kogyo Co., Ltd. 79,000 1,315,468
Yuasa Funashoku Co., Ltd. 69,000 160,958
Zenrin Co., Ltd. 81,900 1,224,646
# Zensho Co., Ltd. 59,700 1,184,463
----------------
Total Consumer Discretionary
(Cost $166,895,331) 174,060,739
----------------
Information Technology -- (9.0%)
Aichi Tokei Denki Co., Ltd. 94,000 288,119
Aiphone Co., Ltd. 44,600 761,274
# Allied Telesis KK 169,600 828,200
Alpha Systems, Inc. 23,600 500,197
# Anritsu Corp. 280,000 1,682,393
AOI Electronics Co., Ltd. 24,900 376,925
* Apic Yamada Corp. 20,000 45,319
Argo 21 Corp. 22,400 217,039
Asti Corp. 8,000 79,031
CAC Corp. 39,400 458,494
Canon Electronics, Inc. 62,000 1,634,300
Canon Finetech, Inc. 96,070 1,816,904
# Capcom Co., Ltd. 132,400 1,240,287
Chino Corp. 89,000 277,889
# CMK Corp. 118,000 1,882,981
Computer Engineering & Consulting, Ltd. 38,100 420,468
# Core Corp. 27,400 302,609
Cresco, Ltd. 11,600 149,180
# Daikoku Denki Co., Ltd. 34,200 951,406
Daiwabo Information System Co., Ltd. 33,000 539,450
Denki Kogyo Co., Ltd. 167,000 950,587
* Dodwell B.M.S., Ltd. 15,000 105,173
DTS Corp. 31,500 870,309
Eizo Nanao Corp. 47,500 1,450,286
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* Elna Co., Ltd. 34,000 67,884
Enplas Corp. 46,200 1,097,014
* FDK Corp. 260,000 418,583
Foster Electric Co., Ltd. 44,000 387,163
Fujitsu Access, Ltd. 48,000 359,307
Fujitsu Fronttec, Ltd. 49,200 504,117
* Graphtec Corp. 39,000 58,936
Hakuto Co., Ltd. 49,900 706,218
# Hitachi Business Solution Co., Ltd. 22,700 153,565
Hitachi Information Systems, Ltd. 39,600 770,989
Hitachi Kokusai Electric, Inc. 229,000 2,002,850
Hitachi Mobile Co., Ltd. 35,000 235,431
# Hochiki Corp. 42,000 175,599
# Hokuriku Electric Industry Co., Ltd. 159,000 384,173
Horiba, Ltd. 84,000 1,691,579
Hosiden Corp. 165,400 1,703,554
Icom, Inc. 32,400 817,229
Idec Izumi Corp. 83,500 961,621
# * Ikegami Tsushinki Co., Ltd. 102,000 185,741
# Ines Corp. 108,800 905,221
I-Net Corp. 18,300 113,472
# Information Services International-Dentsu, Ltd. 65,100 791,395
Intec, Inc. 102,128 945,630
Ishii Hyoki Co., Ltd. 8,600 102,620
# Iwatsu Electric Co., Ltd. 207,000 452,772
Japan Aviation Electronics Industry, Ltd. 43,000 462,341
Japan Business Computer Co., Ltd. 46,300 312,406
Japan Digital Laboratory Co., Ltd. 71,500 868,368
Japan Information Processing Service Co., Ltd. 31,800 197,313
# * Japan Radio Co., Ltd. 303,000 1,216,268
Jastec Co., Ltd. 16,400 279,904
Jiec Co., Ltd. 87 95,634
# Kaga Electronics Co., Ltd. 56,300 1,063,275
Kanematsu Electronics, Ltd. 45,500 329,591
Kawatetsu Systems, Inc. 112 142,194
Koa Corp. 86,500 683,949
# Komatsu Electronics Metals Co., Ltd. 59,400 513,738
# Kubotek Corp. 230 261,283
Kyoden Co., Ltd. 106,000 1,038,105
Kyowa Electronic Instruments Co., Ltd. 30,000 115,330
Macnica, Inc. 39,900 1,051,976
Marubeni Infotec Corp. 21,000 65,980
Marubun Corp. 67,600 588,656
Maruwa Co., Ltd. 22,000 432,588
Maspro Denkoh Corp. 38,900 361,292
# Megachips Corp. 50,600 551,725
Melco Holdings, Inc. 9,000 205,058
# Mimasu Semiconductor Industry Co., Ltd. 49,100 720,311
# Miroku Jyoho Service Co., Ltd. 63,000 250,216
Mitsui High-Tec, Inc. 90,300 1,061,204
Mitsui Knowledge Industry Co., Ltd. 20,100 168,391
Mitsumi Electric Co., Ltd. 165,400 1,750,652
Moritex Corp. 15,000 115,788
* Mutoh Industries, Ltd. 102,000 221,770
# * Nagano Japan Radio Co., Ltd. 63,000 117,477
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Nakayo Telecommunications, Inc. 49,000 256,466
NEC Infrontia Corp. 244,000 887,679
NEC Mobiling, Ltd. 31,300 599,397
# NEC Tokin Corp. 251,000 1,527,178
* Netmarks, Inc. 50 133,597
New Japan Radio Co., Ltd. 72,000 640,575
Nihon Dempa Kogyo Co., Ltd. 46,100 1,082,247
Nihon Inter Electronics Corp. 76,700 540,005
Nippon Avionics Co., Ltd. 40,000 183,568
Nippon Ceramic Co., Ltd. 49,000 749,601
Nippon Chemi-Con Corp. 287,000 1,789,306
Nippon System Development Co., Ltd. 57,300 1,079,491
Nippon Systemware Co., Ltd. 20,000 140,022
Nissho Electronics Corp. 49,900 380,348
# NIWS Co., Ltd. 1,110 1,486,291
Nohmi Bosai, Ltd. 81,000 417,676
# Okaya Electric Industries Co., Ltd. 32,000 123,101
Ono Sokki Co., Ltd. 53,000 364,193
Origin Electric Co., Ltd. 85,000 634,724
Osaki Electric Co., Ltd. 72,000 404,293
PCA Corp. 12,000 214,507
Pulstec Industrial Co., Ltd. 21,200 109,047
Ricoh Elemex Corp. 41,000 299,869
Rikei Corp. 22,500 63,112
Riken Keiki Co., Ltd. 48,000 362,102
Ryoden Trading Co., Ltd. 94,000 613,016
Ryosan Co., Ltd. 73,700 1,797,717
Ryoyo Electro Corp. 71,700 1,163,046
Sanko Co., Ltd. 12,000 85,778
Sanshin Electronics Co., Ltd. 67,000 581,723
Satori Electric Co., Ltd. 33,380 433,836
Sekonic Corp. 17,000 41,544
# Shindengen Electric Manufacturing Co., Ltd. 148,000 487,302
Shinkawa, Ltd. 44,100 802,253
Shinko Shoji Co., Ltd. 57,000 479,916
Shizuki Electric Co., Inc. 47,000 126,075
Siix Corp. 25,800 333,426
SMK Corp. 176,000 809,086
Software Research Associates, Inc. 15,100 293,796
Sokkisha Co., Ltd. 69,000 212,324
# Sorun Corp. 51,000 321,690
# * SPC Electronics Corp. 29,000 114,062
Star Micronics Co., Ltd. 124,000 1,314,925
# Sumida Corp. 42,649 914,128
SunTelephone Co., Ltd. 67,000 534,924
Tabai Espec Corp. 49,000 511,958
* Tachibana Eletech Co., Ltd. 11,000 117,262
Tamura Corp. 164,000 627,633
Tamura Taiko Holdings, Inc. 131,000 1,022,109
# * Teac Corp. 350,000 509,277
Teikoku Tsushin Kogyo Co., Ltd. 89,000 373,129
TKC Corp. 67,800 1,107,042
Toko, Inc. 195,000 530,478
# Tokyo Denpa Co., Ltd. 11,000 139,772
# Tokyo Electron Device, Ltd. 171 423,184
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Tomen Electronics Corp. 33,600 836,095
Tose Co., Ltd. 12,200 184,624
# Toshiba Ceramics Co., Ltd. 350,000 1,066,519
# * Totoku Electric Co., Ltd., Tokyo 62,000 125,861
Toukei Computer Co., Ltd. 14,710 181,803
Towa Corp. 33,000 210,966
Towa Meccs Corp. 75,000 77,764
* Toyo Communication Equipment Co., Ltd. 124,000 502,888
# Toyo Corp. 71,800 839,310
# Trans Cosmos, Inc. 53,800 1,835,226
Tsuzuki Densan Co., Ltd. 14,200 80,904
Yamaichi Electronics Co., Ltd. 40,900 499,148
Yamatake Corp. 165,700 2,733,950
Yaskawa Information Systems Corp. 23,400 116,021
Ye Data, Inc. 25,000 70,905
Yokowo Co., Ltd. 38,000 335,689
Zuken, Inc. 59,700 572,343
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Total Information Technology
(Cost $87,131,008) 90,625,088
----------------
Materials -- (8.7%)
Achilles Corp. 549,000 995,424
Agro-Kanesho Co., Ltd. 7,000 56,204
Arakawa Chemical Industries, Ltd. 34,500 460,133
Aronkasei Co., Ltd. 83,000 404,055
Asahi Denka Kogyo KK 169,000 1,735,866
Asahi Organic Chemicals Industry Co., Ltd. 210,000 710,198
# Chuetsu Pulp and Paper Co., Ltd. 259,000 675,759
* Chugai Mining Co., Ltd. 373,800 233,129
Chugoku Marine Paints, Ltd. 152,000 884,460
# Chugokukogyo Co., Ltd. 45,000 120,491
# * Co-Op Chemical Co., Ltd. 80,000 141,050
# * Dai Nippon Toryo, Ltd. 286,000 482,678
# Dai-Ichi Kogyo Seiyaku Co., Ltd. 47,000 168,758
Daiken Corp. 289,000 1,228,949
Dainichiseika Colour & Chemicals Manufacturing Co., Ltd. 195,000 1,001,588
Dainippon Shigyo Co., Ltd. 25,000 110,429
# Daiso Co., Ltd. 206,000 632,772
DC Co., Ltd. 58,000 179,251
Dijet Industrial Co., Ltd. 34,000 93,074
# FP Corp. 50,800 983,487
Fujikura Kasei Co., Ltd. 51,000 373,556
Fumakilla, Ltd. 37,000 115,004
Geostar Corp. 10,000 45,147
# Godo Steel, Ltd. 355,000 1,100,706
# Gun-Ei Chemical Industry Co., Ltd. 180,000 692,484
Harima Chemicals, Inc. 47,000 280,228
Hodogaya Chemical Co., Ltd. 163,000 816,211
Hokkai Can Co., Ltd., Tokyo 133,000 389,492
Hokko Chemical Industry Co., Ltd. 41,000 150,773
Hokushin Co., Ltd. 39,900 88,110
Honshu Chemical Industry Co., Ltd. 17,000 111,820
# Ihara Chemical Industry Co., Ltd. 106,000 324,558
ISE Chemicals Corp. 38,000 177,431
Ishihara Sangyo Kaisha, Ltd. 883,500 1,934,749
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# * Ishii Iron Works Co., Ltd. 52,000 124,968
# JSP Corp. 62,100 624,909
Kanto Denka Kogyo Co., Ltd. 110,000 380,745
Kasei (C.I.) Co., Ltd. 58,000 241,496
Katakura Chikkarin Co., Ltd. 27,000 87,603
* Kawasaki Kasei Chemicals, Ltd. 36,000 60,949
Kishu Paper Co., Ltd. 160,000 295,398
Koatsu Gas Kogyo Co., Ltd. 112,000 515,314
Kohsoku Corp. 48,000 320,887
Komatsu Wall Industry Co., Ltd. 20,800 370,716
Konishi Co., Ltd. 41,700 383,517
# Kumiai Chemical Industry Co., Ltd., Tokyo 166,000 383,002
Kureha Chemical Industry Co., Ltd. 428,000 1,740,391
# Kurimoto, Ltd. 278,000 780,912
Kurosaki Harima Corp. 165,000 473,791
MEC Co., Ltd. 18,200 280,677
Mesco, Inc. 15,000 48,409
# Mitsubishi Paper Mills, Ltd. 700,000 937,013
Mitsubishi Plastics, Inc. 490,000 1,325,100
# Mitsubishi Shindoh Co., Ltd. 107,000 249,695
# Mitsubishi Steel Manufacturing Co., Ltd. 305,000 610,667
# * Mitsui Mining Co., Ltd. 345,000 970,905
Mory Industries, Inc. 85,000 286,419
Nakabayashi Co., Ltd. 112,000 315,506
Nakayama Steel Works, Ltd. 260,000 1,018,036
# Neturen Co., Ltd., Tokyo 92,000 651,901
# Nichia Steel Works, Ltd. 88,900 425,132
Nihon Kagaku Sangyo Co., Ltd. 32,000 183,416
Nihon Matai Co., Ltd. 50,000 118,248
Nihon Nohyaku Co., Ltd. 131,000 327,248
# Nihon Parkerizing Co., Ltd. 146,000 1,740,180
Nihon Seiko Co., Ltd. 11,000 34,297
* Nippon Carbide Industries Co., Inc., Tokyo 101,000 167,195
# Nippon Chemical Industrial Co., Ltd. 192,000 599,557
# Nippon Concrete Industries Co., Ltd. 88,000 285,427
# Nippon Denko Co., Ltd. 246,000 910,465
Nippon Fine Chemical Co., Ltd. 50,000 283,888
Nippon Foil Mfg., Co., Ltd. 21,000 55,612
# * Nippon Kasei Chemical Co., Ltd. 215,000 526,820
# Nippon Kinzoku Co., Ltd. 130,000 273,427
# * Nippon Koshuha Steel Co., Ltd. 266,000 364,657
# Nippon Metal Industry Co., Ltd. 364,000 675,045
Nippon Pigment Co., Ltd. 11,000 49,241
# Nippon Pillar Packing Co., Ltd. 43,000 293,879
Nippon Soda Co., Ltd. 314,000 1,010,929
# Nippon Synthetic Chemical Industry Co., Ltd. 204,000 547,005
Nippon Valqua Industries, Ltd. 168,000 486,052
Nippon Yakin Kogyo Co., Ltd. 203,500 791,719
Nittetsu Mining Co., Ltd. 174,000 699,643
Nitto FC Co., Ltd. 72,000 449,246
Noda Corp. 33,800 224,059
NOF Corp. 453,000 1,681,583
# Okamoto Industries, Inc. 284,000 1,027,543
Okura Industrial Co., Ltd. 130,000 818,300
Osaka Steel Co., Ltd. 93,600 1,154,311
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# Pacific Metals Co., Ltd. 415,000 1,737,647
Riken Technos Corp. 143,000 561,542
* S Science Co., Ltd. 808,000 126,151
# S.T. Chemical Co., Ltd. 66,000 848,305
Sakai Chemical Industry Co., Ltd. 230,000 995,456
Sakata INX Corp. 136,000 709,655
Sanyo Chemical Industries, Ltd. 267,000 1,930,907
Sanyo Special Steel Co., Ltd. 362,000 1,122,703
Sekisui Plastics Co., Ltd. 221,000 783,770
Shikoku Chemicals Corp. 126,000 524,312
Shinagawa Refractories Co., Ltd. 131,000 414,899
Shin-Etsu Polymer Co., Ltd. 188,000 1,407,383
Showa Highpolymer Co., Ltd. 112,000 339,579
Showa Tansan Co., Ltd. 31,000 109,688
Somar Corp. 22,000 85,804
# Stella Chemifa Corp. 23,900 498,790
Sumitomo Light Metal Industries, Ltd. 736,000 1,199,702
Sumitomo Pipe & Tube Co., Ltd. 52,000 235,663
Sumitomo Seika Chemicals Co., Ltd. 125,000 363,674
# Sumitomo Titanium Corp. 19,500 2,552,495
Taisei Lamick Co., Ltd. 11,300 282,120
Takasago International Corp. 220,000 1,040,288
Takiron Co., Ltd. 164,000 718,703
Tateho Chemical Industries Co., Ltd. 26,500 94,015
Tayca Corp. 96,000 270,363
* Titan Kogyo KK 36,000 72,654
Toagosei Co., Ltd. 544,719 2,227,623
# Toda Kogyo Corp. 84,000 322,411
Tohcello Co., Ltd. 67,000 380,451
# * Toho Rayon Co., Ltd. 320,000 1,344,734
Toho Titanium Co., Ltd. 61,000 2,254,406
# Toho Zinc Co., Ltd. 277,000 668,190
* Tohpe Corp. 36,000 63,399
# Tokai Carbon Co., Ltd. 460,000 1,942,898
# Tokai Pulp & Paper Co., Ltd. 121,000 390,278
# Tokushu Paper Manufacturing Co., Ltd. 111,000 523,848
Tokyo Rope Manufacturing Co., Ltd. 337,000 607,869
# Tokyo Tekko Co., Ltd. 85,000 269,197
Tomoegawa Paper Co., Ltd. 80,000 254,955
Tomoku Co., Ltd. 177,000 470,963
# Topy Industries, Ltd. 492,000 1,632,301
Toyo Kohan Co., Ltd. 225,000 1,048,712
Tsutsunaka Plastic Industry Co., Ltd. 92,000 425,744
TYK Corp. 67,000 180,043
Ube Material Industries, Ltd. 144,000 374,140
Wood One Co., Ltd. 107,000 786,632
Yamamura Glass Co., Ltd. 250,000 671,185
Yamato Kogyo Co., Ltd. 118,000 1,352,119
Yodogawa Steel Works, Ltd. 338,000 1,784,409
Yuki Gosei Kogyo Co., Ltd. 31,000 109,896
Yushiro Chemical Industry Co., Ltd. 33,000 622,058
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Total Materials
(Cost $87,469,311) 87,315,803
----------------
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Consumer Staples -- (8.1%)
Aderans Co., Ltd. 87,050 2,015,621
Ahjikan Co., Ltd. 10,500 81,672
# Ariake Japan Co., Ltd. 73,700 1,737,162
Asahi Soft Drinks Co., Ltd. 119,000 1,309,402
Bull Dog Sauce Co., Ltd. 37,000 459,310
Calpis Co., Ltd. 174,000 1,238,482
CFS Corp. 61,500 358,908
Chuo Gyorui Co., Ltd. 61,000 155,601
Coca-Cola Central Japan Co., Ltd. 204 1,707,041
CVS Bay Area, Inc. 30,000 89,414
DyDo Drinco, Inc. 36,600 1,221,776
Echo Trading Co., Ltd. 4,000 55,888
Ensuiko Sugar Refining Co., Ltd. 51,000 145,010
Fancl Corp. 51,400 1,890,240
* First Baking Co., Ltd. 67,000 144,766
Fujicco Co., Ltd. 61,000 899,821
# Fujiya Co., Ltd. 283,000 603,384
Hagoromo Foods Corp. 41,000 442,996
Harashin Co., Ltd. 33,800 309,954
Hayashikane Sangyo Co., Ltd. 166,000 238,811
Heiwado Co., Ltd. 130,000 1,981,348
* Hohsui Corp. 56,000 124,780
Hokkaido Coca-Cola Bottling Co., Ltd. 80,000 563,679
# Hokuto Corp. 74,900 1,368,378
Inageya Co., Ltd. 118,000 1,058,795
# Itochu Shokuh Co., Ltd. 28,800 1,102,110
Izumiya Co., Ltd. 205,000 1,351,337
Japan Carlit Co., Ltd. 28,000 206,047
# J-Oil Mills, Inc. 362,000 1,460,615
K.R.S. Corp. 25,500 368,303
# Kagome Co., Ltd. 173,900 1,809,084
Kameda Seika Co., Ltd. 48,000 440,443
# * Kanebo, Ltd. 104,200 289,648
Kasumi Co., Ltd. 132,000 750,307
Key Coffee, Inc. 48,600 662,272
Kibun Food Chemifa Co., Ltd. 62,000 1,463,568
Kinki Coca-Cola Bottling Co., Ltd. 138,000 1,457,419
Kirindo Co., Ltd. 10,300 97,969
# Kyodo Shiryo Co., Ltd. 188,000 341,100
Kyokuyo Co., Ltd. 198,000 462,605
# Life Corp. 120,400 1,487,459
* Mandom Corp. 4,600 116,552
Marudai Food Co., Ltd. 289,000 789,937
Maruetsu, Inc. 286,000 1,328,105
Maruha Group, Inc. 477,000 1,209,422
Maruya Co., Ltd. 14,000 108,838
Maxvalu Tohok Co., Ltd. 18,200 160,750
Meito Sangyo Co., Ltd. 50,100 853,432
Mercian Corp. 304,000 851,188
Mikuni Coca-Cola Bottling Co., Ltd. 117,000 1,119,965
Milbon Co., Ltd. 22,600 707,762
Ministop Co., Ltd. 62,600 1,175,146
Mitsui Sugar Co., Ltd. 271,850 754,645
Miyoshi Oil & Fat Co., Ltd. 149,000 355,015
Morinaga & Co., Ltd. 612,000 1,567,703
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Morishita Jinton Co., Ltd. 32,800 140,726
Morozoff, Ltd., Osaka 50,000 111,541
Myojo Foods Co., Ltd. 91,000 570,369
Nagatanien Co., Ltd. 83,000 652,014
Nakamuraya Co., Ltd. 152,000 560,076
Nichiro Corp. 327,000 626,490
Nihon Shokuh Kako Co., Ltd. 40,000 132,333
Niitaka Co., Ltd. 7,260 79,200
# Nippon Beet Sugar Manufacturing Co., Ltd. 314,000 696,508
# Nippon Flour Mills Co., Ltd. 385,000 1,748,371
Nippon Formula Feed Manufacturing Co., Ltd. 144,000 246,730
Nippon Suisan Kaisha, Ltd. 529,000 2,007,452
Nissin Sugar Manufacturing Co., Ltd. 102,000 219,307
Nitto Flour Milling Co., Ltd. 54,000 158,354
Nosan Corp. 271,000 660,944
Oenon Holdings, Inc. 123,000 434,310
Oie Sangyo Co., Ltd. 13,200 107,491
Okuwa Co., Ltd. 101,000 1,144,042
Olympic Corp. 48,200 535,885
# Oriental Yeast Co., Ltd. 61,000 407,884
Pigeon Corp. 46,900 682,763
Pokka Corp. 72,000 382,888
Poplar Co., Ltd. 13,560 181,756
Posful Corp. 47,600 254,195
* Prima Meat Packers, Ltd. 460,000 641,236
# Q'Sai Co., Ltd. 70,100 694,340
Riken Vitamin Co., Ltd. 49,900 1,371,698
Rock Field Co., Ltd. 25,300 384,304
S Foods, Inc. 60,000 438,911
Sakata Seed Corp. 115,700 1,531,543
# Seijo Corp. 22,600 495,319
Shikoku Coca-Cola Bottling Co., Ltd. 48,500 708,481
Shoei Foods Corp. 35,000 258,583
Showa Sangyo Co., Ltd. 398,000 1,129,698
# * Snow Brand Milk Products Co., Ltd. 501,000 1,426,049
Snow Brand Seed Co., Ltd. 30,000 151,451
Sonton Food Industry Co., Ltd. 33,000 351,483
# Sotetsu Rosen Co., Ltd. 60,000 329,005
Starzen Corp. 169,000 519,366
# Sugi Pharmacy Co., Ltd. 55,400 1,618,742
# T.Hasegawa Co., Ltd. 89,400 1,451,855
The Nisshin Oillio Group, Ltd. 346,000 1,953,906
Three F Co., Ltd. 12,200 110,382
* Tobu Store Co., Ltd. 103,000 271,333
Toho Co., Ltd. 51,000 388,652
Tokyu Store Chain Corp. 175,000 824,737
Torigoe Co., Ltd. 48,000 329,858
* Toyo Sugar Refining Co., Ltd. 105,000 170,987
* Tsuruha Co., Ltd. 4,000 123,831
U.Store Co., Ltd. 63,600 597,307
# Unicafe, Inc. 10,360 152,458
Unimat Offisco Corp. 37,500 430,788
# Valor Co., Ltd. 40,000 1,109,345
Wakodo Co., Ltd. 12,200 355,173
Warabeya Nichiyo Co., Ltd. 34,760 678,311
20
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Yaizu Suisankagaku Industry Co., Ltd. 27,500 289,651
Yaoko Co., Ltd. 46,100 886,632
Yomeishu Seizo Co., Ltd. 71,000 612,826
Yonekyu Corp. 58,000 666,380
# Yukiguni Maitake Co., Ltd. 60,580 295,278
----------------
Total Consumer Staples
(Cost $77,218,674) 81,542,513
----------------
Financials -- (7.9%)
Aichi Bank, Ltd. 19,000 1,790,806
Akita Bank, Ltd. 441,000 1,994,180
Aomori Bank, Ltd. 417,000 1,635,211
# * Azel Corp., Tokyo 89,000 157,336
Bank of Okinawa, Ltd. 47,000 1,520,350
Bank of Saga, Ltd. 384,000 1,425,547
Bank of the Ryukyus, Ltd. 68,580 1,576,604
Central Finance Co., Ltd. 201,000 872,842
* Century Leasing System, Inc. 11,300 123,687
* Chiba Kogyo Bank, Ltd. 117,700 947,678
Chukyo Bank, Ltd. 497,000 1,661,191
# Cosmo Securities Co., Ltd. 952,000 1,742,518
Credia Co., Ltd. 14,000 504,453
Daibiru Corp. 226,000 1,663,633
Daiko Clearing Services Corp. 25,000 187,112
Daisan Bank, Ltd. 417,000 1,485,081
Daiwa Kosho Lease Co., Ltd. 333,000 1,695,140
Diamond City Co., Ltd. 17,050 500,808
Ehime Bank, Ltd. 330,000 1,109,887
# Eighteenth Bank, Ltd. 390,000 1,837,369
# Fukushima Bank, Ltd. 432,000 638,984
* Generas Corp. 64,000 590
* Gro-BeLS Co., Ltd. 84,000 135,285
Hanshin Sogo Bank, Ltd. 867,000 1,720,169
Higashi-Nippon Bank, Ltd. 413,000 1,564,133
# Hokuetsu Bank, Ltd. 504,000 1,064,273
Ichiyoshi Securities Co., Ltd. 103,000 926,692
Jaccs Co., Ltd. 207,000 1,629,053
Kagawa Bank, Ltd. 167,350 948,924
* Kanto Tsukuba Bank, Ltd. 45,500 316,427
Keihanshin Real Estate Co., Ltd. 93,000 562,577
Kita-Nippon Bank, Ltd. 17,806 842,286
Kiyo Bank, Ltd. 976,000 1,837,633
Kobayashi Yoko Co., Ltd. 21,600 363,386
# Kosei Securities Co., Ltd. 173,000 333,857
* Kyushu-Shinwa Holdings, Inc. 702,000 1,062,599
Marusan Securities Co., Ltd. 167,000 1,051,181
Meiwa Estate Co., Ltd. 52,900 551,627
Michinoku Bank, Ltd. 349,000 1,618,633
Mito Securities Co., Ltd. 181,000 776,570
Mitsubishi Tokyo Financial Group, Inc. 1 7,356
Miyazaki Bank, Ltd. 324,000 1,344,816
* Momiji Holdings, Inc. 449 1,001,734
Nagano Bank, Ltd. 179,000 551,000
# Nisshin Fire & Marine Insurance Co., Ltd. 447,000 1,661,367
* Nittyu Co., Ltd. 700 117,317
21
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Odakyu Real Estate Co., Ltd. 85,000 228,405
Oita Bank, Ltd. 301,000 1,947,461
Osaka Securities Finance Co., Ltd. 54,000 205,217
Pocket Card Co., Ltd. 41,000 847,812
Ricoh Leasing Co., Ltd. 67,700 1,586,445
Sankei Building Co., Ltd. 159,000 1,135,510
# Sanyo Electric Credit Co., Ltd. 76,800 1,568,059
Shimizu Bank, Ltd. 21,100 1,051,157
Shinki Co., Ltd. 158,100 1,433,307
Shoei Co., Ltd. 28,800 522,895
Shokusan Bank, Ltd. 98,000 328,577
# Suruga Corp. 22,700 765,797
# Tachihi Enterprise Co., Ltd. 31,750 1,177,509
Takagi Securities Co., Ltd. 125,000 378,521
The Daito Bank, Ltd. 232,000 367,562
TOC Co., Ltd. 139,000 533,725
Tochigi Bank, Ltd. 256,000 1,575,412
Toho Bank, Ltd. 433,000 1,773,427
Toho Real Estate Co., Ltd. 140,000 629,946
Tohoku Bank, Ltd. 117,000 308,874
Tokai Tokyo Securities Co., Ltd. 635,250 1,870,664
Tokushima Bank, Ltd. 159,200 1,336,581
Tokyo Rakutenchi Co., Ltd. 126,000 488,199
# Tokyo Theatres Co., Inc., Tokyo 164,000 347,483
Tokyo Tomin Bank, Ltd. 80,500 2,034,234
Tokyu Community Corp. 31,700 597,967
# Tokyu Livable Inc. 35,300 1,418,701
Tomato Bank, Ltd. 251,000 581,162
Tottori Bank, Ltd. 235,000 746,654
Towa Bank, Ltd. 535,000 1,183,264
# * Towa Real Estate Development Co., Ltd. 217,000 728,326
Toyo Securities Co., Ltd. 171,000 638,725
Yamagata Bank, Ltd. 389,000 1,848,043
Yuraku Real Estate Co., Ltd. 116,000 500,812
----------------
Total Financials
(Cost $75,605,228) 79,746,335
----------------
Health Care -- (2.7%)
Aloka Co., Ltd. 63,000 441,957
As One Corp. 37,080 712,603
Create Medic Co., Ltd. 11,000 109,299
# Eiken Chemical Co., Ltd. 54,000 612,740
# Fujirebio, Inc. 101,500 1,995,056
Fuso Pharmaceutical Industries, Ltd. 203,000 703,466
Hitachi Medical Corp. 89,000 1,171,141
Hogy Medical Co., Ltd. 35,900 1,529,228
Iwaki & Co., Ltd. 38,000 113,039
# Japan Medical Dynamic Marketing, Inc. 38,300 419,824
# Jeol, Ltd. 168,000 922,701
JMS Co., Ltd. 69,000 237,701
# Kaken Pharmaceutical Co., Ltd. 213,000 1,392,479
Kawamoto Corp. 4,000 22,716
* Kawanishi Holdings, Ltd. 1,300 14,983
Kawasumi Laboratories, Inc. 35,000 242,140
Mochida Pharmaceutical Co., Ltd. 130,000 819,402
22
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Nihon Kohden Corp. 101,000 1,444,351
Nikken Chemicals Co., Ltd. 134,000 418,973
# * Nippon Chemiphar Co., Ltd. 70,000 452,671
Nippon Shinyaku Co., Ltd. 155,000 1,241,883
Nissui Pharmaceutical Co., Ltd. 34,000 213,481
Paramount Bed Co., Ltd. 72,700 1,717,057
Rion Co., Ltd. 5,000 28,125
Rohto Pharmaceutical Co., Ltd. 119,000 1,466,700
* Seikagaku Corp. 10,000 112,130
Sogo Medical Co., Ltd. 13,400 269,584
SS Pharmaceutical Co., Ltd., Tokyo 276,000 1,876,822
Teikoku Hormone Manufacturing Co., Ltd. 44,000 423,491
Topcon Corp. 102,000 1,611,759
Torii Pharmaceutical Co., Ltd. 63,900 1,359,157
* Toyama Chemicals Co., Ltd. 431,000 1,491,594
Vital-Net, Inc. 98,800 740,345
Wakamoto Pharmaceutical Co., Ltd. 48,000 150,415
# Zeria Pharmacetical Co., Ltd. 99,000 996,490
----------------
Total Health Care
(Cost $24,860,469) 27,475,503
----------------
Energy -- (1.1%)
AOC Holdings, Inc. 160,200 2,235,879
# * Fuji Kosan Co., Ltd. 178,000 283,800
# Itochu Enex Co., Ltd. 201,300 1,347,633
Japan Oil Transportation Co., Ltd. 45,000 147,516
Kanto Natural Gas Development Co., Ltd. 119,000 756,944
# Kyoei Tanker Co., Ltd. 78,000 311,747
Mitsuuroko Co., Ltd. 153,000 1,056,434
* Modec, Inc. 26,200 606,436
# Nippon Gas Co., Ltd. 104,000 870,174
Petrolub International Co., Ltd. 52,900 262,490
Sala Corp. 84,000 405,627
San-Ai Oil Co., Ltd. 155,000 721,595
Shinko Plantech Co., Ltd. 56,000 110,880
Sinanen Co., Ltd. 160,000 821,604
Toa Oil Co., Ltd. 181,000 307,491
# * Toyo Kanetsu KK 261,000 374,714
----------------
Total Energy
(Cost $10,346,115) 10,620,964
----------------
Utilities -- (0.5%)
Hokkaido Gas Co., Ltd. 105,000 301,391
Hokuriku Gas Co., Ltd. 64,000 183,855
Okinawa Electric Power Co., Ltd. 33,810 1,589,148
# Saibu Gas Co., Ltd. 843,000 1,722,986
Shizuokagas Co., Ltd. 157,000 805,516
Tokai Corp. 163,000 708,105
----------------
Total Utilities
(Cost $4,652,743) 5,311,001
----------------
Other -- (0.2%)
Airport Facilities Co., Ltd. 120,970 675,575
* Akai Electric Co., Ltd. 363,000 3,345
* Fujii & Co., Ltd. 44,000 405
23
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* Fujiko Co., Ltd. 55,000 0
* Gajoen Kanko KK 37,000 0
* GKN D1 Tochigi Holdings Shares 51 156,475
* Kakuei (L.) Corp. 100,000 921
* Kokune Corp. 42,000 0
* Maruishi Holdings Co., Ltd. 214,000 1,972
* New Real Property KK 43,900 0
* Nichiboshin, Ltd. 1,190 1,096
* Nisseki House Industry Co., Ltd. 260,000 0
Subaru Enterprise Co., Ltd. 36,000 124,544
Sundrug Co., Ltd. 6,400 240,592
* Takarabune Corp. 26,000 240
* TOC Co., Ltd. Issue 05 145,950 560,412
----------------
Total Other
(Cost $4,788,037) 1,765,577
----------------
TOTAL COMMON STOCKS
(Cost $765,635,394) 777,092,562
----------------
RIGHTS/WARRANTS -- (0.0%)
Other -- (0.0%)
* BSL Corp. Rights 06/10/05 43,214 0
* Kanematsu Corp. Warrants 03/31/06 20,125 0
----------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 0
----------------
INVESTMENT IN CURRENCY -- (0.4%)
* Japanese Yen 3,888,366
----------------
(Cost $3,914,685)
TOTAL -- JAPAN
(Cost $769,550,079) 780,980,928
----------------
FACE
AMOUNT VALUE+
---------------- ----------------
(000)
TEMPORARY CASH INVESTMENTS -- (22.4%)
^ Repurchase Agreement, Deutsche Bank Securities & Mizuho Securities
USA 2.96% and 2.98%, respectively, 06/01/05 (Collateralized by
$350,771,984 U.S. TIPS 1.875%, 07/15/13 & U.S. STRIPS, rates
ranging from 0% to 9.25%, maturities ranging from 11/15/08 to
11/15/22, valued at $223,916,808) to be repurchased
at $219,542,589 (Cost $219,524,430) $ 219,524 219,524,430
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $5,863,000 FNMA Notes 2.95%, 11/14/07, valued
at $5,855,671) to be repurchased at $5,769,463 (Cost $5,769,000) 5,769 5,769,000
----------------
Total Repurchase Agreements 225,293,430
----------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $225,293,430) 225,293,430
----------------
TOTAL INVESTMENTS - (100.0%)
(Cost $994,843,509) $ 1,006,274,358
================
24
---------
+ Securities have been fair valued. See Note B to Financial Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
25
THE PACIFIC RIM SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
[Download Table]
SHARES VALUE+
---------------- ----------------
AUSTRALIA -- (41.9%)
COMMON STOCKS -- (41.5%)
A.I., Ltd. 129,195 $ 15,591
A.P. Eagers, Ltd. 27,393 155,149
AAV, Ltd. 192,653 169,491
# ABB Grain, Ltd. 363,642 1,619,283
ABC Learning Centres, Ltd. 353,727 1,413,036
* Acclaim Exploration NL 435,905 11,503
* Adacel Technologies, Ltd. 113,249 23,907
ADCorp Australia, Ltd. 123,389 67,082
Adelaide Bank, Ltd. 251,960 2,069,209
Adelaide Brighton, Ltd. 1,430,948 1,867,387
# Adsteam Marine, Ltd. 650,984 977,707
Adtrans Group, Ltd. 32,047 89,225
* Agenix, Ltd. 267,186 62,556
* AGT Biosciences, Ltd. 261,684 108,895
* Ainsworth Game Techology, Ltd. 314,923 132,756
AJ Lucas Group, Ltd. 85,235 99,574
Alesco Corp., Ltd. 182,571 964,934
* Alkane Exploration, Ltd. 185,165 23,016
* Allegiance Mining NL 301,699 29,575
* Altium, Ltd. 162,100 28,644
Amalgamated Holdings, Ltd. 320,951 981,976
Amcom Telecommunications, Ltd. 596,711 76,442
* Amity Oil NL 372,573 143,239
* Amrad Corp., Ltd. 211,023 70,660
* Anadis, Ltd. 136,900 37,227
* Anateus Energy, Ltd. 193,687 13,605
Ansell, Ltd. 19,924 138,124
ARB Corporation, Ltd. 151,288 371,208
* Arc Energy NL 459,772 645,842
Ariadne Australia, Ltd. 277,334 71,297
Arrow Pharmaceuticals, Ltd. 787,475 1,544,786
Aspen Group, Ltd. 20,479 3,099
* Atlas Pacific, Ltd. 82,585 12,193
# AuIron Energy, Ltd. 133,822 267,837
Ausdrill, Ltd. 178,089 95,872
Ausmelt, Ltd. 36,118 6,969
Auspine, Ltd. 115,651 301,377
* Austal, Ltd. 444,288 594,413
* Austar United Communications, Ltd. 3,146,981 2,090,155
# Austereo Group, Ltd. 1,080,140 1,424,961
Austin Group, Ltd. 70,265 42,395
Australian Agricultural Co., Ltd. 558,072 635,391
* Australian Magnesium Corp., Ltd. 332,383 2,503
1
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Australian Pharmaceutical Industries, Ltd. 669,829 1,466,442
# Australian Pipeline Trust 726,465 1,999,900
# * Australian Worldwide Exploration, Ltd. 929,537 1,224,335
Auto Group, Ltd. 41,309 21,060
# Autron Corporation, Ltd. 989,247 119,576
AV Jennings Homes, Ltd. 496,066 518,845
Avatar Industries, Ltd. 195,019 129,494
* Avexa, Ltd. 67,761 6,909
* Ballarat Goldfields NL 1,665,281 281,950
# Bank of Queensland, Ltd. 262,337 2,179,525
Baxter Group, Ltd. 89,652 336,504
BayCorp Advantage, Ltd. 538,318 1,188,533
Beach Petroleum, Ltd. 1,951,255 799,986
Beaconsfield Gold NL 89,078 22,524
Bendigo Bank, Ltd. 358,878 2,623,612
# * Bendigo Mining NL 651,655 481,152
* Betcorp, Ltd. 273,622 38,324
* Beyond International, Ltd. 61,256 19,201
* Biota Holdings, Ltd. 265,336 90,069
Blackmores, Ltd. 37,565 365,798
* Blina Diamonds, Ltd. 13,703 2,686
* Bolnisi Gold NL 484,156 173,625
* Boom Logistics, Ltd. 40,650 59,871
* Boulder Group NL 717,587 135,168
* BQT Solutions, Ltd. 179,898 24,445
Brazin, Ltd. 273,219 387,328
Bridgestone Australia, Ltd. 66,100 148,600
* Broadcast Services Australia, Ltd. 337,438 84,212
* Buka Mineral, Ltd. 210,323 30,803
Cabcharge Austalia, Ltd. 267,963 913,016
Campbell Brothers, Ltd. 108,322 793,127
Candle Australia, Ltd. 69,486 94,151
* Cape Range Wireless, Ltd. 3,581,304 104,883
* Capral Aluminium, Ltd. 276,367 339,606
* Carpenter Pacific Resources, Ltd. 225,546 39,826
CDS Technologies, Ltd. 61,294 90,274
Cedar Woods Properties, Ltd. 77,414 126,283
* Cellestis, Ltd. 220,327 486,209
Cellnet Telecommunications Group, Ltd. 91,100 88,677
* Centamin Egypt, Ltd. 996,437 217,533
Centennial Coal, Ltd. 597,110 2,266,714
Central Equity, Ltd. 183,928 291,808
* Charters Towers Gold Mines, Ltd. 727,142 62,640
* Chemeq, Ltd. 166,742 149,175
Chiquita Brands South Pacific, Ltd. 341,774 206,448
Circadian Technologies, Ltd. 64,591 66,737
Citect Corp., Ltd. 109,822 78,012
* Climax Mining, Ltd. 870,299 55,229
# * Clough, Ltd. 1,236,465 461,431
Clover Corp., Ltd. 269,348 37,525
* Cluff Resources Pacific NL 911,746 10,979
CMI, Ltd. 81,810 89,589
* CO2 Group, Ltd. 280,693 68,069
# Coates Hire, Ltd. 549,361 1,729,247
2
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Cochlear, Ltd. 124,836 3,039,369
* Codan, Ltd. 32,604 35,707
Coffey International, Ltd. 167,427 265,311
Collection House, Ltd. 224,054 238,205
Colorado Group, Ltd. 242,046 805,687
Commander Communications, Ltd. 453,465 714,116
Consolidated Minerals, Ltd. 436,304 1,293,415
* Coplex Resources NL 231,400 15,730
# Corporate Express Australia, Ltd. 449,830 1,834,457
Count Financial, Ltd. 552,306 540,486
Coventry Group, Ltd. 84,583 392,908
* CPI, Ltd. 68,585 30,551
# Crane Group, Ltd. 152,617 918,932
Croesus Mining NL 798,235 195,362
* Crown Diamonds NL 521,549 72,878
Danks Holdings, Ltd. 10,425 76,390
# DCA Group, Ltd. 509,294 1,335,888
Devine, Ltd. 289,972 130,271
* Dioro Exploraration NL 297,142 14,582
* Dominion Mining, Ltd. 192,017 44,840
Downer Group, Ltd. 688,972 2,744,768
* Dragon Mining NL 709,605 96,039
# * E.R.G., Ltd. 1,647,173 334,279
* Echelon Resources, Ltd. 7,950 1,921
* Emporer Mines, Ltd. 324,668 73,607
Energy Developments, Ltd. 311,265 886,333
* Energy World Corp., Ltd. 325,630 10,036
# Envestra, Ltd. 2,038,400 1,737,575
* Environmental Solutions International, Ltd. 67,364 3,358
Equigold NL 351,475 240,211
Evans & Tate, Ltd. 164,154 86,686
* Excel Coal, Ltd. 168,010 802,178
* Falcon Minerals, Ltd. 240,897 78,863
# Fantastic Holdings, Ltd. 185,528 517,617
FKP, Ltd. 470,587 983,548
# Fleetwood Corp., Ltd. 115,978 550,203
Flight Centre, Ltd. 10,991 119,381
* Forest Enterprises Australia, Ltd. 489,229 195,375
# * Fortescue Metals Group, Ltd. 361,735 655,641
# Funtastic, Ltd. 312,883 399,427
Futuris Corp., Ltd. 1,238,179 1,577,939
Gale Pacific, Ltd. 123,557 137,823
GasNet Australia Group 343,500 637,191
Gazal Corp., Ltd. 101,046 232,079
* Genetic Technologies, Ltd. 830,383 213,197
* Geodynamics, Ltd. 174,778 240,414
* Giants Reef Mining, Ltd. 1,400,196 29,612
Globe International, Ltd. 882,836 282,867
* Gold Aura, Ltd. 41,097 2,875
* Goldstream Mining NL 151,648 41,758
Gowing Bros., Ltd. 79,311 153,303
* Gradipore, Ltd. 104,226 49,215
# Graincorp, Ltd. Series A 87,738 754,247
Grand Hotel Group 473,257 277,301
3
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GRD NL 494,134 569,129
# Great Southern Plantations, Ltd. 735,162 1,966,557
Green's Foods, Ltd. 193,688 75,851
# GUD Holdings, Ltd. 174,840 896,131
Gunns, Ltd. 602,832 1,754,578
* Gutnick Resources NL 17,866 944
GWA International, Ltd. 698,010 1,512,799
* Gympie Gold, Ltd. 302,445 0
# * Hardman Resources NL 1,706,925 2,338,532
Harvey World Travel, Ltd. 87,638 91,408
Healthscope, Ltd. 261,453 879,121
Henry Walker Eltin Group, Ltd. 463,214 173,183
* Herald Resources, Ltd. 69,910 29,341
HGL, Ltd. 87,018 118,879
# Hills Industries, Ltd. 407,018 1,264,961
Home Building Society, Ltd. 27,907 151,691
* Horizon Oil NL 752,832 56,849
# Housewares International, Ltd. 307,812 372,445
HPAL, Ltd. 274,861 352,972
# * Hutchison Telecommunications (Australia), Ltd. 1,455,265 279,321
IBA Health, Ltd. 552,155 184,756
* ICSGlobal, Ltd. 155,693 33,481
IInet, Ltd. 192,656 429,425
Iluka Resources, Ltd. 513,563 2,379,885
* Imdex, Ltd. 135,662 21,972
Incitec Pivot, Ltd. 103,989 1,236,718
* Independent Practioner Network, Ltd. 457,414 25,581
* Indophil Resources NL 518,540 149,860
# Infomedia, Ltd. 696,356 280,875
Institute of Drug Technology Australia, Ltd. 82,205 110,531
Integrated Group, Ltd. 145,820 202,665
Integrated Research, Ltd. 261,513 82,803
* Integrated Tree Cropping, Ltd. 17,366 16,396
* Intellect Holdings, Ltd. 967,267 18,308
* Intermoco, Ltd. 1,067,459 28,169
* International All Sports, Ltd. 58,815 11,995
Investor Group, Ltd. 170,947 531,412
* Invocare, Ltd. 51,192 156,208
# ION, Ltd. 419,349 0
# IOOF Holdings, Ltd. 128,916 652,613
Iress Market Technology, Ltd. 281,018 867,640
IWL, Ltd. 81,474 156,918
* Ixla, Ltd. 89,921 1,562
# JB Hi-Fi, Ltd. 281,832 725,597
JDV, Ltd. 123,805 84,085
# Jones (David), Ltd. 1,190,508 1,615,808
Jubilee Mines NL 358,412 1,588,689
* Just Group, Ltd. 117,200 164,206
K&S Corp., Ltd. 128,017 295,818
* Kagara Zinc, Ltd. 437,281 410,743
Keycorp, Ltd. 156,412 195,834
* Kids Campus, Ltd. 69,303 34,585
* Kimberley Diamond Co. NL 274,068 237,914
* Kings Mineral NL 516,989 87,871
4
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Kingsgate Consolidated NL 186,350 382,134
Kresta Holdings, Ltd. 231,002 50,573
* Lakes Oil NL 2,055,217 34,161
Lemarne Corp., Ltd. 20,790 38,276
* Leyshon Resources, Ltd. 103,357 23,644
Lighting Corp., Ltd. 180,200 91,111
* LionOre Mining International, Ltd. 20,000 99,205
* Longreach Group, Ltd. 276,023 43,614
* Lynas Gold NL 433,768 55,417
MacArthur Coal, Ltd. 394,540 2,051,777
MacMahon Holdings, Ltd. 804,171 246,037
* Macmin Silver, Ltd. 343,722 29,597
* Macquarie Corporate Telecommunications, Ltd. 350,192 30,322
Magellan Petroleum Australia, Ltd. 32,760 29,494
* Magnesium International, Ltd. 32,803 35,148
* Maryborough Sugar Factory, Ltd. 600 3,037
* Matrix Oil NL 557,000 18,511
MaxiTRANS Industries, Ltd. 482,299 280,618
# McGuigan Simeon Wines, Ltd. 296,961 873,883
McPherson's, Ltd. 141,730 347,530
* Medica Holdings, Ltd. 31,587 10,812
Melbourne IT, Ltd. 85,583 84,106
# * Metabolic Pharmaceuticals, Ltd. 700,000 399,784
# * Metal Storm, Ltd. 956,640 101,274
# * MFS, Ltd. 276,486 281,914
# Miller's Retail, Ltd. 566,259 337,265
Minara Resources, Ltd. 1,229,086 1,737,046
Mincor Resources NL 492,383 270,466
Monadelphous Group, Ltd. 51,561 438,262
* Mosaic Oil NL 756,146 99,606
* Multiemedia, Ltd. 3,014,095 36,349
* MXL, Ltd. 512,804 52,068
MYOB, Ltd. 917,057 756,424
Namoi Cotton Cooperative, Ltd. 160,347 63,038
National Can Industries, Ltd. 97,017 96,418
* New Hope Corp., Ltd. 41,453 35,693
* Norwood Abbey, Ltd. 326,063 106,930
* Nova Health, Ltd. 427,034 94,868
* Novera Energy, Ltd. 62,826 69,864
* Novogen, Ltd. 246,646 982,351
Nufarm, Ltd. 287,774 1,914,646
* Nylex, Ltd. 1,960,108 398,936
Oakton, Ltd. 162,978 191,575
# Oamps, Ltd. 336,965 625,323
* Occupational & Medical Innovations, Ltd. 31,208 9,524
* Oceana Gold, Ltd. 192,400 77,019
* Orbital Engine Corp., Ltd. 537,358 39,647
OrotonGroup, Ltd. 76,854 145,170
# * Oxiana, Ltd. 2,856,763 1,849,102
Pacific Brands, Ltd. 518,500 882,576
Pacific Group, Ltd. 320,974 366,742
Pacific Hydro, Ltd. 380,820 1,456,574
# * Paladin Resources, Ltd. 783,776 587,212
* Palm Springs, Ltd. 222,804 10,581
5
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* Pan Pacific Petroleum NL 327,800 24,624
* Panbio, Ltd. 58,078 11,683
Paperlinx, Ltd. 501,058 875,872
* Payce Consolidated, Ltd. 29,670 60,730
Penfold Buscombe, Ltd. 85,065 116,028
* People Telecom, Ltd. 535,431 54,495
Peptech, Ltd. 379,247 383,451
* Perilya Mines NL 386,030 212,503
* Perseverance Corp., Ltd. 1,265,363 252,283
# * Petsec Energy, Ltd. 253,743 211,463
* Plantcorp NL 4,329 0
Plaspak Group, Ltd. 99,965 68,769
# * PMP, Ltd. 761,276 714,645
* Polartechnics, Ltd. 43,405 4,919
Port Bouvard, Ltd. 108,200 109,639
* Port Douglas Reef Resorts, Ltd. 251,655 23,759
* PowerTel, Ltd. Series B 175,372 157,526
* Prana Biotechnology, Ltd. 195,424 26,026
* Precious Metals Australia, Ltd. 12,727 1,978
* Preston Resources NL 64,000 579
Primary Health Care, Ltd. 292,807 1,819,418
Prime Television, Ltd. 294,381 688,662
* Primelife Corp., Ltd. 215,916 143,602
* Progen Industries, Ltd. 83,761 163,854
Programmed Maintenance Service, Ltd. 167,811 407,696
# * Psivida, Ltd. 467,864 277,961
Queensland Cotton Holdings, Ltd. 64,879 205,542
* Quiktrak Networks, Ltd. 7,401 0
Ramsay Health Care, Ltd. 340,994 2,063,632
Raptis Group, Ltd. 12,000 4,985
Rebel Sport, Ltd. 173,512 276,287
Redfire Resources NL 859,797 177,663
* Redflex Holdings, Ltd. 230,706 530,891
Reece Australia, Ltd. 251,463 2,282,042
* Reinsurance Australia Corp., Ltd. 399,993 141,806
* Repco Corp., Ltd. 110,651 225,651
Repcol, Ltd. 308,668 111,677
# * Resolute Mining, Ltd. 456,861 309,731
* Resonance Health, Ltd. 29,264 2,974
Ridley Corp., Ltd. 620,822 631,017
Roberts, Ltd. 26,336 157,070
* Roc Oil Co., Ltd. 438,259 543,028
Rock Building Society, Ltd. 25,092 77,806
Ross Human Directions, Ltd. 124,630 63,031
S8, Ltd. 180,798 239,806
* SAI Global, Ltd. 57,098 107,815
* Sally Malay Mining, Ltd. 402,323 246,747
Salmat, Ltd. 302,282 1,081,687
Schaffer Corp., Ltd. 33,766 126,360
# SDI, Ltd. 236,993 115,455
* Sedimentary Holdings, Ltd. 577,321 76,085
Select Harvests, Ltd. 106,523 791,589
Senetas Corp., Ltd. 746,923 151,314
Servcorp, Ltd. 187,972 368,240
6
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# Seven Network, Ltd. 354,582 1,906,472
SFE Corp., Ltd. 334,655 2,543,444
Sigma Co., Ltd. 375,345 2,321,649
* Silex System, Ltd. 287,621 212,042
Sims Group, Ltd. 150,718 1,533,592
* Sino Gold, Ltd. 276,623 318,802
* Sirtex Medical, Ltd. 96,109 103,049
# Skilled Engineering, Ltd. 197,124 360,580
# Smorgon Steel Group, Ltd. 2,163,008 2,027,465
SMS Management & Technology, Ltd. 132,991 168,405
* Sons of Gwalia, Ltd. 253,252 0
# Southern Cross Broadcasting (Australia), Ltd. 149,035 1,370,475
* Southern Pacific Petroleum NL 698,740 0
# SP Telecommunications, Ltd. 819,927 1,081,761
# Spotless Group, Ltd. 517,370 1,910,767
* St. Barbara Mines, Ltd. 375,500 26,824
Star Games, Ltd. 219,830 169,092
* Starpharma Holdings, Ltd. 258,219 105,342
Straits Resources, Ltd. 312,715 396,796
* Strategic Minerals Corp. NL 358,100 23,330
* Strathfield Group, Ltd. 492,553 30,544
* Striker Resources NL 435,484 10,518
# STW Communications Group, Ltd. 462,047 969,121
Sunland Group, Ltd. 530,550 556,219
Sydney Aquarium, Ltd. 49,135 199,959
# * Sydney Gas, Ltd. 661,636 346,802
Symex Holdings, Ltd. 203,321 220,933
* Taipan Resources NL 2,475,883 89,857
* Tandou, Ltd. 3,410 3,855
* Tap Oil, Ltd. 407,790 612,828
Technology One, Ltd. 705,539 306,170
Tectonic Resources NL 259,183 30,266
* Television & Media Services, Ltd. 2,000,584 58,979
Thakral Holdings Group 1,569,889 924,350
Ticor, Ltd. 630,193 806,283
# Timbercorp, Ltd. 551,027 795,884
* Titan Resources NL 595,172 26,522
* Tooth & Co., Ltd. 153,000 10,632
Transfield Services, Ltd. 375,908 1,995,323
Triako Resources, Ltd. 31,217 19,367
Troy Resources NL 96,896 178,819
Trust Company of Australia, Ltd. 75,179 529,042
# United Group, Ltd. 249,861 1,591,836
* Unitract, Ltd. 147,406 77,158
* Universal Resources, Ltd. 109,414 12,407
UXC, Ltd. 297,944 175,231
VeCommerce, Ltd. 13,680 17,411
* Ventracor, Ltd. 502,158 563,305
* Victoria Petroleum NL 2,180,492 52,507
# Villa World, Ltd. 229,021 248,672
* Village Roadshow, Ltd. 591,536 1,138,421
* Virotec International NL 403,655 161,451
# Vision Systems, Ltd. 426,575 331,933
* Voicenet (Australia), Ltd. 495,284 4,845
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Volante Group, Ltd. 273,599 243,458
Waterco, Ltd. 33,300 90,461
Watpac, Ltd. 142,703 117,397
# Wattyl, Ltd. 225,230 360,712
* Webster, Ltd. 119,092 68,383
* Wedgetail Exploration NL 1,413,422 42,632
* Western Areas NL 259,360 262,189
Wide Bay Capricorn Building Society, Ltd. 47,718 252,384
Worley Group, Ltd. 398,370 2,114,403
* Yates, Ltd. 60,281 1,684
----------------
TOTAL COMMON STOCKS
(Cost $151,551,186) 166,901,713
----------------
INVESTMENT IN CURRENCY -- (0.3%)
* Australian Dollar 1,269,403
----------------
(Cost $1,273,029)
PREFERRED STOCKS -- (0.1%)
* Village Roadshow, Ltd. 2% Class A 200,025 303,265
----------------
(Cost $283,859)
RIGHTS/WARRANTS -- (0.0%)
* Beach Petroleum, Ltd. Warrants 06/30/06 480,019 0
* Boulder Steel, Ltd. Options 11/30/05 71,759 2,439
* Equigold NL Options 05/31/07 87,868 6,637
* Forest Enterprises Australia, Ltd. Rights 06/07/05 81,538 1,232
----------------
TOTAL RIGHTS/WARRANTS
(Cost $2,187) 10,308
----------------
TOTAL -- AUSTRALIA
(Cost $153,110,261) 168,484,689
----------------
HONG KONG -- (23.1%)
COMMON STOCKS -- (23.0%)
* 139 Holdings, Ltd. 6,200,000 22,227
ABC Communications (Holdings), Ltd. 930,000 83,582
Aeon Credit Service (Asia) Co., Ltd. 740,000 463,497
ALCO Holdings, Ltd. 740,000 287,077
Allan International Holdings, Ltd. 592,000 87,427
Allied Group, Ltd. 559,200 774,518
Allied Properties, Ltd. 802,600 491,412
* Anex International Holdings, Ltd. 152,000 1,909
* Applied International Holdings, Ltd. 1,243,000 39,463
* APT Satellite Holdings, Ltd. 599,000 102,356
Artel Solutions Group Holdings, Ltd. 2,315,000 44,647
Arts Optical International Holdings, Ltd. 468,000 166,971
Asia Aluminum Holdings, Ltd. 4,042,000 445,748
* Asia Commercial Holdings, Ltd. 72,800 5,143
Asia Financial Holdings, Ltd. 1,976,908 519,926
* Asia Logistics Technologies, Ltd. 22,140 2,760
Asia Satellite Telecommunications Holdings, Ltd. 404,500 712,544
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Asia Standard International Group, Ltd. 6,780,000 295,291
* Asia Tele-Net & Technology Corp., Ltd. 521,000 23,792
Associated International Hotels, Ltd. 898,000 852,538
Automated Systems Holdings, Ltd. 340,000 80,428
* B.A.L. Holdings, Ltd. 305 11
Baltrans Holdings, Ltd. 376,000 164,283
* Beijing Development (Hong Kong), Ltd. 166,000 17,069
# Bossini International Holdings, Ltd. 1,801,500 348,927
Bright International Group, Ltd. 710,000 67,522
# Cafe de Coral Holdings, Ltd. 672,000 768,200
* Capital Prosper, Ltd. 480,000 5,073
* Capital Strategic Investment, Ltd. 30,500 5,827
Cash Financial Services Group, Ltd. 27,018 731
* Casil Telecommunications Holdings, Ltd. 1,420,000 71,327
* Catic International Holdings, Ltd. 5,332,000 61,686
CCT Telecom Holdings, Ltd. 472,970 75,876
CEC International Holdings, Ltd. 210,000 4,818
* Celestial Asia Securities Holdings, Ltd. 426,036 20,791
* Central China Enterprises, Ltd. 210,400 19,190
# Champion Technology Holdings, Ltd. 1,379,390 210,424
Chaoda Modern Agriculture (Holdings), Ltd. 2,620,000 1,083,622
Chen Hsong Holdings, Ltd. 1,210,000 695,000
Cheuk Nang (Holdings), Ltd. 113,344 61,815
* Cheung Tai Hong Holdings, Ltd. 100,920 5,291
Chevalier International Holdings, Ltd. 441,482 521,200
Chevalier Itech Holdings, Ltd. 355,250 72,709
* China Aerospace International Holdings, Ltd. 3,384,000 182,052
* China Bio-medical Group, Ltd. 415,000 8,001
* China Digicontent Co., Ltd. 2,710,000 3,483
* China Electronic Corp. Holdings Co., Ltd. 468,250 84,257
China Everbright International, Ltd. 3,945,000 227,201
* China Everbright Technology, Ltd. 3,244,000 128,943
* China Gas Holdings, Ltd. 2,026,000 345,895
China Hong-Kong Photo Products Holdings, Ltd. 1,909,000 179,429
* China Insurance International Holdings Co., Ltd. 1,866,000 682,350
* China Investments Holdings, Ltd. 210,000 4,534
* China Merchants Dichain (Asia), Ltd. 7,160,000 59,662
* China Motion Telecom International, Ltd. 257,000 6,937
China Motor Bus Co., Ltd. 74,000 598,443
* China Nan Feng Group, Ltd. 28,800 341
# China National Aviation Co., Ltd. 3,710,000 832,720
China Online (Bermuda), Ltd. 296,240 47,863
* China Pharmaceutical Enterprise and Investment Corp., Ltd. 1,802,000 370,168
* China Rare Earth Holdings, Ltd. 1,180,000 148,551
# China Resources Land, Ltd. 2,658,000 425,667
China Resources Logic, Ltd. 3,796,000 422,570
* China Rich Holdings, Ltd. 3,380,000 13,467
* China Sci-Tech Holdings, Ltd. 278,600 7,462
* China Star Entertainment, Ltd. 440,292 18,031
* China Strategic Holdings, Ltd. 1,368,500 142,642
Chinney Investments, Ltd. 1,144,000 108,395
Chitaly Holdings, Ltd. 214,000 189,202
Chow Sang Sang Holdings International, Ltd. 865,680 605,220
Chuangs China Investments, Ltd. 1,347,000 67,258
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Chuang's Consortium International, Ltd. 1,858,884 154,327
Chun Wo Holdings, Ltd. 1,671,917 201,199
Chung Tai Printing Holdings, Ltd. 548,000 88,085
* CITIC 21CN Co., Ltd. 3,674,000 1,035,737
* CITIC Resources Holdings, Ltd. 2,822,000 388,240
City e Solutions, Ltd. 186,000 19,871
City Telecom (H.K.), Ltd. 1,070,000 109,474
# * Clear Media, Ltd. 529,000 452,026
* Climax International Co., Ltd. 296,000 1,635
# CNPC (Hong Kong), Ltd. 6,430,000 939,837
* CNT Group, Ltd. 3,078,000 55,408
* Coastal Greenland, Ltd. 2,440,000 93,594
COFCO International, Ltd. 2,188,000 1,003,371
* Compass Pacific Holdings, Ltd. 624,000 19,274
* Computer & Technologies Holdings, Ltd. 432,000 45,343
Continental Holdings, Ltd. 98,825 10,422
Continental Mariner Investment Co., Ltd. 1,328,000 221,411
COSCO International Holdings, Ltd. 2,573,600 385,268
Coslight Technology International Group, Ltd. 626,000 142,241
Cosmos Machinery Enterprises, Ltd. 1,126,400 54,829
* Crocodile Garments, Ltd. 1,539,000 116,178
Cross Harbour Tunnel Co., Ltd. 386,520 372,509
* Culturecom Holdings, Ltd. 3,767,000 163,747
* Dah Hwa International Holdings, Ltd. 1,062,000 50,836
* Dan Form Holdings Co., Ltd. 2,386,600 124,462
* Daqing Petroleum & Chemical Group, Ltd. 1,375,000 85,512
Dickson Concepts International, Ltd. 498,300 849,976
* Digital China Holdings, Ltd. 1,416,000 422,467
* DVN Holdings, Ltd. 744,490 174,075
* Dynamic Global Holdings, Ltd. 3,522,000 19,012
Dynamic Holdings, Ltd. 244,000 37,437
Easyknit International Holdings, Ltd. 282,860 7,701
* Eforce Holdings, Ltd. 2,620,000 12,068
Egana Jewelry & Pearls, Ltd. 331,789 56,980
# Eganagoldfeil Holdings, Ltd. 2,017,235 491,801
* Emperor Entertainment Hotel, Ltd. 870,000 147,737
Emperor International Holdings, Ltd. 904,360 121,899
* e-New Media Co., Ltd. 320,000 11,294
* eSun Holdings, Ltd. 653,600 176,380
* Extrawell Pharmaceutical Holdings, Ltd. 3,220,000 74,316
Ezcom Holdings, Ltd. 72,576 464
Fairwood Holdings, Ltd. 42,600 22,966
# Far East Consortium International, Ltd. 1,968,680 800,707
* Far East Hotels & Entertainment, Ltd. 1,853,000 125,749
* Far East Pharmaceutical Technology Co., Ltd. 3,216,000 28,108
First Natural Foods Holdings, Ltd. 295,000 20,818
First Sign International Holdings, Ltd. 1,424,000 47,413
Fong's Industries Co., Ltd. 664,000 499,051
* Forefront International Holdings, Ltd. 658,000 48,206
* Fortuna International Holdings, Ltd. 9,344,000 14,506
* Foundation Group, Ltd. 83,800 2,122
* Founder Holdings, Ltd. 1,854,000 116,418
Fountain Set Holdings, Ltd. 972,000 523,384
Four Seas Frozen Food Holdings, Ltd. 347,184 50,825
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Four Seas Mercantile Holdings, Ltd. 592,000 205,441
* Fujian Holdings, Ltd. 237,800 6,143
Fujikon Industrial Holdings, Ltd. 532,000 95,718
* Fushan Holdings, Ltd. 2,566,000 160,794
* GeoMaxima Energy Holdings, Ltd. 5,810,000 44,779
Giordano International, Ltd. 1,866,000 1,221,939
* Global China Group Holdings, Ltd. 3,022,000 147,477
Global Green Tech Group, Ltd. 1,336,000 143,945
* Global Tech (Holdings), Ltd. 5,612,000 36,065
Glorious Sun Enterprises, Ltd. 1,650,000 709,497
Gold Peak Industries (Holdings), Ltd. 1,059,250 213,471
* Goldbond Group Holdings, Ltd. 2,609,500 43,048
Golden Meditech Company, Ltd. 1,473,802 280,160
Golden Resources Development International, Ltd. 1,456,500 64,576
* Gold-Face Holdings, Ltd. 2,003,600 0
Goldlion Holdings, Ltd. 1,438,000 184,200
* Golik Holdings, Ltd. 930,500 27,268
Good Fellow Group, Ltd. 3,488,000 50,649
* Gorient Holdings, Ltd. 7,370 35
Grande Holdings, Ltd. 502,000 473,714
* Great Wall Cybertech, Ltd. 15,795,170 20,301
Group Sense (International), Ltd. 2,062,000 155,761
Guangdong Brewery Holdings, Ltd. 2,212,000 751,638
* Guangnan Holdings, Ltd. 14,216,000 222,133
Guangzhou Investment Co., Ltd. 8,860,000 680,690
* Guo Xin Group, Ltd. 3,640,000 14,881
Guorun Holdings, Ltd. 3,570,000 213,111
GZI Transport, Ltd. 1,820,000 589,702
Hang Fung Gold Technology, Ltd. 1,016,000 153,670
Hang Ten Group Holdings, Ltd. 405,850 57,805
Hanny Holdings, Ltd. 186,658 71,169
* Hansom Eastern Holdings, Ltd. 3,473,235 13,362
Harbour Centre Development, Ltd. 517,000 858,847
Harbour Ring International Holdings, Ltd. 6,936,000 720,666
* Hen Fung Holdings, Ltd. 1,740,000 33,406
Henderson China Holdings, Ltd. 815,000 804,955
Heng Tai Consumables Group, Ltd. 530,000 97,870
# Hengan International Group Co., Ltd. 1,194,000 774,159
High Fashion International, Ltd. 268,000 57,157
# HKR International, Ltd. 1,884,860 1,241,790
Hon Kwok Land Investment Co., Ltd 572,535 148,549
Hong Kong and Shanghai Hotels, Ltd. 500,041 522,327
Hong Kong Catering Management, Ltd. 512,000 101,073
* Hong Kong Construction Holdings, Ltd. 970,000 65,937
Hong Kong Ferry (Holdings) Co., Ltd. 671,300 805,239
* Hong Kong Parkview Group, Ltd. 1,130,000 53,738
* Hong Kong Pharmaceuticals Holdings, Ltd. 1,834,000 45,730
Hongkong Chinese, Ltd. 2,126,000 299,925
* Hop Hing Holdings, Ltd. 660,265 24,610
Hopson Development Holdings, Ltd. 1,246,000 675,409
* Hsin Chong Construction Group, Ltd. 1,569,658 84,570
Hua Han Bio-Pharmaceutical Holdings, Ltd. 208,000 24,566
* Huabao International Holdings, Ltd. 19,300 3,319
Huafeng Textile International Group, Ltd. 248,000 12,893
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* Hualing Holdings, Ltd. 1,344,000 31,115
Hung Hing Printing Group, Ltd. 684,122 504,736
* Hycomm Wireless, Ltd. 4,709,000 48,263
I-Cable Communications, Ltd. 2,155,000 753,903
* I-China Holdings, Ltd. 375,756 9,183
# IDT International, Ltd. 4,028,486 573,733
* Imagi International Holdings, Ltd. 137,400 17,309
* Innomaxx Biotechnology Group, Ltd. 3,050,000 49,709
* Interchina Holdings Co., Ltd. 8,130,000 103,186
International Bank of Asia, Ltd. 1,098,000 439,846
* Inworld Group, Ltd. 3,054 6
ITC Corp., Ltd. 466,157 31,048
JCG Holdings, Ltd. 792,000 763,245
Jinhui Holdings Co., Ltd. 280,000 78,274
* Joyce Boutique Holdings, Ltd. 514,000 40,128
* Junefield Department Store Group, Ltd. 256,000 3,290
# K Wah International Holdings, Ltd. 3,096,364 1,023,162
K. Wah Construction Materials, Ltd. 2,455,075 1,987,953
* Kader Holdings Co., Ltd. 545,600 13,334
* Kanstar Environmental Paper Products Holdings, Ltd. 1,220,000 46,956
Karrie International Holdings, Ltd. 488,000 203,574
Keck Seng Investments (Hong Kong), Ltd. 858,600 220,326
Kee-Shing Holdings Co., Ltd. 886,000 114,969
Kin Yat Holdings, Ltd. 586,000 54,120
King Fook Holdings, Ltd. 1,000,000 69,261
* King Pacific International Holdings, Ltd. 1,404,200 22,019
Kingdee International Software Group Co., Ltd. 638,000 126,073
Kingmaker Footwear Holdings, Ltd. 1,058,750 305,814
* Kong Sun Holdings, Ltd. 2,198,000 7,063
Kowloon Development Co., Ltd. 706,000 774,709
* KPI Co., Ltd. 396,000 7,272
KTP Holdings, Ltd. 560,400 35,909
Kwoon Chung Bus Holdings, Ltd. 556,000 120,598
* Lai Sun Development Co., Ltd. 7,592,000 116,745
* Lai Sun Garment (International), Ltd. 2,325,000 141,461
Lam Soon (Hong Kong), Ltd. 302,310 108,991
Le Saunda Holdings, Ltd. 236,000 36,550
* Leadership Publishing Group, Ltd. 250,511 483
* Leading Spirit High-Tech Holdings Co., Ltd. 2,310,000 2,969
Lee & Man Holdings, Ltd. 566,000 86,464
Lerado Group (Holding) Co., Ltd. 1,048,000 133,198
* LifeTec Group, Ltd. 1,383,000 14,543
Lippo, Ltd. 1,074,760 255,289
Liu Chong Hing Bank, Ltd. 537,000 785,035
Liu Chong Hing Investment, Ltd. 635,200 594,634
Luk Fook Holdings (International), Ltd. 690,000 212,424
Luks Industrial Group, Ltd. 645,555 92,657
Lung Kee (Bermuda) Holdings, Ltd. 1,071,875 695,360
* MACRO-LINK International Holdings, Ltd. 1,036,250 31,346
* Mae Holdings, Ltd. 111,000 1,469
Magnificent Estates, Ltd. 8,368,000 146,845
* Magnum International Holdings, Ltd. 300,000 4,049
Mainland Headwear Holdings, Ltd. 410,000 147,344
* Mansion House Group, Ltd. 1,820,000 27,574
12
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Matrix Holdings, Ltd. 402,000 122,565
* Matsunichi Communications Holdings, Ltd. 388,000 113,320
* Mei Ah Entertainment Group, Ltd. 1,142,000 42,512
Melbourne Enterprises, Ltd. 45,500 185,384
Melco International Development, Ltd. 1,000,000 1,163,187
Midas International Holdings, Ltd. 774,000 58,621
Midland Realty (Holding), Ltd. 1,110,000 652,983
* Millennium Group, Ltd. 1,392,000 4,814
Min Xin Holdings, Ltd. 753,200 139,200
Miramar Hotel & Investment Co., Ltd. 607,000 911,694
* Morning Star Resources, Ltd. 1,845,000 18,971
# Moulin International Holdings, Ltd. 699,274 453,879
Multi-Asia International Holdings, Ltd. 460,920 52,048
Nanyang Holdings, Ltd. 137,500 159,269
National Electronics Holdings, Ltd. 2,156,000 67,749
Natural Beauty Bio-Technology, Ltd. 1,610,000 117,876
New Island Printing Holdings, Ltd. 176,000 15,156
* New World China Land, Ltd. 1,807,600 608,710
* New World Cyberbase, Ltd. 72,628 3,669
* New World TMT, Ltd. 1,380,600 81,366
* Newocean Green Energy Holdings, Ltd. 393,120 41,902
* Next Media, Ltd. 1,792,000 764,514
# Ngai Lik Industrial Holdings, Ltd. 1,556,000 418,913
* Nippon Asia Investments Holdings, Ltd. 1,573,200 17,794
# * Onfem Holdings, Ltd. 1,266,000 84,315
Orient Power Holdings, Ltd. 804,000 30,915
* Oriental Metals, Ltd. 711,780 232,859
Oriental Press Group, Ltd. 2,928,000 929,514
Oriental Watch Holdings, Ltd. 398,000 79,151
Pacific Andes International Holdings, Ltd. 1,172,000 202,893
Pacific Century Insurance Holdings, Ltd. 1,272,000 497,423
Pacific Century Premium Developments, Ltd. 2,785,000 846,373
* Pacific Plywood Holdings, Ltd. 4,430,000 14,754
# Paul Y. ITC Construction Holdings, Ltd. 2,309,062 614,434
Peace Mark Holdings, Ltd. 1,138,022 302,835
Pegasus International Holdings, Ltd. 226,000 31,371
Perfectech International Holdings, Ltd. 571,450 49,582
Pico Far East Holdings, Ltd. 1,190,000 184,516
Playmates Holdings, Ltd. 2,223,000 458,218
Pokfulam Development Co., Ltd. 234,000 96,098
* Poly Investments Holdings, Ltd. 2,670,000 39,419
Prime Success International Group, Ltd. 2,366,000 588,841
# Proview International Holdings, Ltd. 944,000 152,469
# * QPL International Holdings, Ltd. 1,191,000 140,364
Quality Healthcare Asia, Ltd. 133,800 33,604
Raymond Industrial, Ltd. 605,400 188,292
# * Regal Hotels International Holdings, Ltd. 11,656,000 1,013,576
* Rexcapital International Holdings, Ltd. 1,272,905 26,995
* Riche Multi-Media Holdings, Ltd. 7,060,000 349,894
* Rivera Holdings, Ltd. 3,620,000 106,538
* Riverhill Holdings, Ltd. 4,072 57
Road King Infrastructure, Ltd. 656,000 467,546
Roadshow Holdings, Ltd. 1,456,000 158,611
S.A.S.Dragon Holdings, Ltd. 1,696,000 189,428
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# SA SA International Holdings, Ltd. 1,872,000 865,043
Safety Godown Co., Ltd. 408,000 178,295
Saint Honore Holdings, Ltd. 128,000 44,006
San Miguel Brewery Hong Kong, Ltd. 612,800 149,868
SCMP Group, Ltd. 2,276,000 985,787
Sea Holdings, Ltd. 832,000 331,055
* Seapower Resources International, Ltd. 151,680 3,190
SEEC Media Group, Ltd. 2,550,000 94,778
* Shanghai Allied Cement, Ltd. 1,152,080 41,608
* Shanghai Century Holdings, Ltd. 7,142,000 148,504
* Shanghai Land Holdings, Ltd. 1,464,000 0
* Shanghai Ming Yuan Holdings, Ltd. 3,090,000 289,316
# Shanghai Real Estates, Ltd. 2,234,000 240,741
Shaw Brothers Hong Kong, Ltd. 134,000 161,008
Shell Electric Manufacturing (Holdings) Co., Ltd. 782,172 144,499
Shenyin Wanguo (Hong Kong), Ltd. 847,500 71,659
Shenzhen International Holdings, Ltd. 13,502,500 450,235
Shougang Concord Century Holdings, Ltd. 1,676,000 144,010
* Shougang Concord Grand (Group), Ltd. 1,701,000 159,061
* Shougang Concord International Enterprises Co., Ltd. 6,380,000 456,962
* Shougang Concord Technology Holdings, Ltd. 2,639,809 136,696
# Shui On Construction & Materials, Ltd. 468,000 504,143
* Shun Ho Resources Holdings, Ltd. 483,000 33,771
Shun Ho Technology Holdings, Ltd. 1,037,452 83,582
Silver Grant International Industries, Ltd. 2,423,000 1,140,643
* Sincere Co., Ltd. 505,500 33,765
Singamas Container Holdings, Ltd. 838,000 650,138
Sino Golf Holdings, Ltd. 438,000 44,539
* Sinocan Holdings, Ltd. 350,000 1,754
* Sino-I.com, Ltd. 23,783,158 378,474
Sinolink Worldwide Holdings, Ltd. 3,933,600 686,111
Sinopec Kantons Holdings, Ltd. 1,638,000 230,952
* Skynet (International Group) Holdings, Ltd. 976 97
SNP Leefung Holdings, Ltd. 144,000 24,848
* Softbank Investment International (Strategic), Ltd. 7,398,000 72,986
* Solartech International Holdings, Ltd. 49,600 1,913
South China Brokerage Co., Ltd. 4,872,000 58,186
South China Industries, Ltd. 1,124,000 108,783
* South Sea Holdings Co., Ltd. 27,550,000 102,321
Southeast Asia Properties & Finance, Ltd. 263,538 37,937
Starlight International Holdings, Ltd. 1,311,292 116,020
Starlite Holdings, Ltd. 694,000 78,486
Stelux Holdings International, Ltd. 1,307,702 144,093
Styland Holdings, Ltd. 101,808 327
Sun Hing Vision Group Holdings, Ltd. 358,000 158,376
Sun Hung Kai & Co., Ltd. 2,048,600 541,318
* Sun Innovation Holdings, Ltd. 1,420,360 12,390
* Sun Media Group Holdings, Ltd. 9,814,000 21,443
* Sunday Communications, Ltd. 4,441,000 291,176
Sunway International Holdings, Ltd. 866,000 30,589
* Suwa International Holdings, Ltd. 1,062,000 27,241
SW Kingsway Capitol Holdings, Ltd. 2,206,000 91,963
# Symphony Holdings, Ltd. 982,000 200,002
Tack Fat Group International, Ltd. 1,472,000 185,101
14
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* Tack Hsin Holdings, Ltd. 542,000 28,091
Tai Cheung Holdings, Ltd. 1,013,000 528,810
Tai Fook Securities Group, Ltd. 590,000 75,743
Tai Sang Land Development, Ltd. 471,984 155,700
Tak Shun Technology Group, Ltd. 2,088,000 88,368
Tak Sing Alliance Holdings, Ltd. 2,909,865 126,575
# Tan Chong International, Ltd. 1,182,000 218,718
TCC International Holdings, Ltd. 1,124,000 190,615
# TCL International Holdings, Ltd. 3,228,000 579,187
* Technology Venture Holdings, Ltd. 586,000 8,675
* Termbray Industries International (Holdings), Ltd. 2,304,900 145,161
Tern Properties Co., Ltd. 61,200 19,272
Texwinca Holdings, Ltd. 858,000 683,085
* The Sun's Group, Ltd. 17,004,000 21,855
* Tian An China Investments Co., Ltd. 1,238,275 309,939
Tian Teck Land, Ltd. 1,098,000 388,209
Tianjin Development Holdings, Ltd. 1,118,000 398,274
* Tingyi (Cayman Islands) Holding Corp. 3,000,000 819,127
Titan Petrochemicals Group, Ltd. 5,500,000 549,558
* Tomorrow International Holdings, Ltd. 165,000 14,808
* Tongda Group Holdings, Ltd. 1,020,000 20,162
Tonic Industries Holdings, Ltd. 1,380,000 37,444
Top Form International, Ltd. 1,586,000 452,759
Topsearch International (Holdings), Ltd. 204,000 24,604
* Tristate Holdings, Ltd. 138,000 39,021
Truly International Holdings, Ltd. 536,000 712,029
Tungtex (Holdings) Co., Ltd. 788,000 293,300
* Tysan Holdings, Ltd. 1,040,773 28,359
* U-Cyber Technology Holdings, Ltd. 432,800 10,180
* United Power Investment, Ltd. 1,664,000 151,282
* Universal Holdings Ltd 2,770,000 51,980
* Universe International Holdings, Ltd. 573,339 3,537
U-Right International Holdings, Ltd. 2,040,000 73,258
USI Holdings, Ltd. 928,999 250,308
Van Shung Chong Holdings, Ltd. 359,335 41,050
* Vanda Systems & Communications Holdings, Ltd. 7,846,000 673,776
# Varitronix International, Ltd. 534,293 486,436
Veeko International Holdings, Ltd. 1,420,000 53,711
Victory City International Holdings, Ltd. 855,350 271,601
Vital Biotech Holdings, Ltd. 470,000 16,285
# Vitasoy International Holdings, Ltd. 1,423,000 443,428
Wah Ha Realty Co., Ltd. 278,600 52,996
* Wah Nam International Holdings, Ltd. 38,696 738
Wai Kee Holdings, Ltd. 1,265,738 250,491
Wang On Group, Ltd. 47,897 16,265
Wellnet Holdings, Ltd. 2,059,200 113,679
Wheelock Properties, Ltd. 2,360,000 1,210,613
* Winfoong International, Ltd. 1,210,000 80,693
Wing On Co. International, Ltd. 565,000 797,985
* Wing Shan International, Ltd. 896,000 44,792
Wisdom Venture Holdings, Ltd. 398,000 32,145
Wong's International (Holdings), Ltd. 737,641 71,278
* Wonson International Holdings, Ltd. 4,040,000 7,270
World Houseware (Holdings), Ltd. 605,700 18,699
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Y. T. Realty Group, Ltd. 965,000 137,611
Yangtzekiang Garment Manufacturing Co., Ltd. 607,500 146,538
* Yanion International Holdings, Ltd. 118,000 11,060
* Yaohan International Holdings, Ltd. 974,000 0
Yau Lee Holdings, Ltd. 534,000 46,532
YGM Trading, Ltd. 228,000 397,484
Yip's Chemical Holdings, Ltd. 674,000 201,179
Yugang International, Ltd. 11,916,000 183,333
* Yunnan Enterprises Holdings, Ltd. 240,000 13,026
* Zhu Kuan Development Co., Ltd. 646,000 43,940
----------------
TOTAL COMMON STOCKS
(Cost $103,984,609) 92,538,898
----------------
INVESTMENT IN CURRENCY -- (0.1%)
* Hong Kong Dollars 107,726
----------------
(Cost $107,692)
RIGHTS/WARRANTS -- (0.0%)
* B.A.L. Holdings, Ltd. Rights 06/10/05 101 2
* China Credit Holdings Warrants 09/30/09 174,000 2,125
* Lai Sun Garment (International), Ltd. Rights 06/24/05 290,625 0
* Mae Holdings, Ltd. Rights 06/06/05 5,550 2
* Playmates Holdings, Ltd. Warrants 05/23/06 444,600 10,343
* Quality Healthcare Asia, Ltd. Warrants 01/13/07 26,760 447
----------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 12,919
----------------
TOTAL -- HONG KONG
(Cost $104,092,301) 92,659,543
----------------
SINGAPORE -- (12.9%)
COMMON STOCKS -- (12.9%)
* Acma, Ltd. 3,040,700 63,404
Airocean Group, Ltd. 1,649,000 193,127
* Alliance Technology & Development, Ltd. 156,000 9,827
Amtek Engineering, Ltd. 799,625 426,551
Apollo Enterprises, Ltd. 193,000 63,685
Armstrong Industrial Corp. 1,460,000 109,590
* ASA Group Holdings, Ltd. 586,000 94,587
Ascott Group, Ltd. 1,807,250 524,507
Aussino Group, Ltd. 967,000 179,506
Benjamin (F.J.) Holdings, Ltd. 1,095,000 161,144
# Beyonics Technology, Ltd. 1,945,800 360,416
* Blu Inc. Group, Ltd. 729,000 67,792
Bonvests Holdings, Ltd. 825,000 277,210
Brilliant Manufacturing, Ltd. 1,855,000 533,085
* Broadway Industrial Group, Ltd. 461,000 91,010
Bukit Sembawang Estates, Ltd. 71,334 568,561
* Central Properties, Ltd. 66,000 0
Ch Offshore, Ltd. 823,200 172,286
* Chemical Industries (Far East), Ltd. 105,910 35,265
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China Merchants Holdings Pacific, Ltd. 652,000 235,989
Chip Eng Seng Corp., Ltd. 1,775,000 154,234
Chosen Holdings, Ltd. 1,284,000 142,512
Chuan Hup Holdings, Ltd. 4,385,000 1,946,228
Chuan Soon Huat Industrial Group, Ltd. 614,000 106,785
CIH, Ltd. 498,460 801,883
* CK Tang, Ltd. 614,000 140,264
* Compact Metal Industries, Ltd. 643,000 7,715
Courts Singapore, Ltd. 495,000 160,636
* CSC Holdings, Ltd. 672,000 10,079
CSE Global, Ltd. 1,262,000 415,568
CWT Distribution, Ltd. 461,500 178,374
Eagle Brand Holdings, Ltd. 5,158,000 216,461
# Eastern Asia Technology, Ltd. 1,844,260 231,903
* Eastgate Technology, Ltd. 870,000 36,600
* Econ International, Ltd. 2,267,000 61,204
ECS Holdings, Ltd. 1,375,000 234,816
Eng Wah Organisation, Ltd. 265,000 47,599
* Firstlink Investments Corp., Ltd. 995,000 32,701
Freight Links Express Holdings, Ltd. 3,368,000 151,259
Frontline Technologies Corp., Ltd. 3,170,000 228,489
# Fu Yu Manufacturing, Ltd. 2,273,750 686,414
Fuji Offset Plates Manufacturing, Ltd. 33,750 5,821
G & W Group Holdings, Ltd. 252,314 21,950
GB Holdings, Ltd. 200,000 116,328
Ges International, Ltd. 2,909,000 1,226,625
GK Goh Holdings, Ltd. 1,494,000 819,816
# Goodpack, Ltd. 1,592,000 1,276,919
GP Industries, Ltd. 1,516,000 759,057
Guocoland, Ltd. 1,215,000 982,789
Hiap Moh Corp., Ltd. 34,874 6,434
Ho Bee Investment, Ltd. 761,000 164,324
Hong Fok Corp., Ltd. 1,796,000 247,975
Hong Leong Asia, Ltd. 1,048,000 599,704
* Horizon Education & Technologies, Ltd. 2,054,000 73,396
Hotel Grand Central, Ltd. 875,280 238,970
Hotel Plaza, Ltd. 1,189,000 638,459
Hotel Properties, Ltd. 1,675,000 1,265,203
Hour Glass, Ltd. 298,000 113,239
HTL International Holdings, Ltd. 1,471,875 1,227,359
Huan Hsin Holdings, Ltd. 1,138,400 548,997
Hup Seng Huat, Ltd. 900,200 169,423
Hwa Hong Corp., Ltd. 2,488,000 866,267
IDT Holdings, Ltd. 718,000 964,045
* Inno-Pacific Holdings, Ltd. 680,000 8,126
Innovalues Precision, Ltd. 520,000 171,335
International Factors (Singapore), Ltd. 290,000 97,495
* Internet Technology Group, Ltd. 874,408 13,141
* Interra Resources, Ltd. 37,086 4,313
* Intraco, Ltd. 292,500 57,897
Isetan (Singapore), Ltd. 122,500 227,854
Jaya Holdings, Ltd. 2,733,000 1,686,003
JK Yaming International, Ltd. 907,000 199,234
Jurong Cement, Ltd. 132,500 55,646
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Jurong Engineering, Ltd. 137,000 183,033
# Jurong Technologies Industrial Corp., Ltd. 1,446,000 1,391,398
K1 Ventures, Ltd. 5,340,500 846,967
Keppel Telecommunications and Transportation, Ltd. 2,058,000 1,068,111
Khong Guan Flour Milling, Ltd. 19,000 17,327
Kian Ann Engineering, Ltd. 868,000 78,162
Kian Ho Bearings, Ltd. 521,000 46,834
* Koh Brothers, Ltd. 1,494,000 80,549
* L & M Group Investments, Ltd. 7,107,100 21,320
# Labroy Marine, Ltd. 3,343,000 1,479,655
* LanTroVision (S), Ltd. 1,117,500 23,184
Lee Kim Tah Holdings, Ltd. 1,600,000 263,945
* Leong Hin Holdings, Ltd. 526,000 96,089
* Liang Huat Aluminium, Ltd. 2,954,000 17,723
Lion Asiapac, Ltd. 473,000 43,874
Low Keng Huat Singapore, Ltd. 372,000 93,051
Lum Chang Holdings, Ltd. 1,134,030 204,434
Magnecomp International, Ltd. 931,000 483,890
Manufacturing Integration Technology, Ltd. 588,000 35,148
MCL Land, Ltd. 1,427,000 1,051,574
* Mediaring.Com, Ltd. 3,410,000 305,788
Metro Holdings, Ltd. 2,256,960 682,769
MMI Holdings, Ltd. 1,994,000 434,699
Multi-Chem, Ltd. 1,263,000 155,338
Nera Telecommunications, Ltd. 1,450,000 330,446
New Toyo Intenational Holdings, Ltd. 1,043,000 315,528
Norelco Centreline Holdings, Ltd. 941,000 250,275
* Orchard Parade Holdings, Ltd. 1,084,022 243,217
# Osim International, Ltd. 1,638,000 1,157,772
Ossia International, Ltd. 728,332 67,700
Pan-United Corp., Ltd. 2,193,000 397,619
Pan-United Marine, Ltd. 1,096,500 191,705
PCI, Ltd. 734,000 232,978
Pertama Holdings, Ltd. 459,750 80,014
Popular Holdings, Ltd. 1,813,000 396,958
PSC Corp., Ltd. 5,723,200 275,036
* Qian Hu Corp., Ltd. 408,200 68,153
Robinson & Co., Ltd. 284,832 1,008,272
Rotary Engineering, Ltd. 1,624,000 345,294
San Teh, Ltd. 838,406 165,640
SBS Transit, Ltd. 1,011,000 1,315,615
Sea View Hotel, Ltd. 66,000 3,092
* Seatown Corp., Ltd. 101,000 1,818
Sembawang Kimtrans, Ltd. 1,295,000 151,435
Sin Soon Huat, Ltd. 1,307,000 78,153
Sing Investments & Finance, Ltd. 94,500 102,219
# Singapore Food Industries, Ltd. 1,707,000 1,022,821
Singapore Reinsurance Corp., Ltd 1,540,935 245,142
Singapore Shipping Corp., Ltd. 1,930,000 577,430
Singapura Finance, Ltd. 139,250 123,670
SMB United, Ltd. 2,010,000 162,705
SNP Corp., Ltd. 466,495 251,467
* SP Corp., Ltd. 454,000 18,768
Ssangyong Cement (Singapore), Ltd. 236,000 128,042
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Stamford Land Corp., Ltd. 3,229,000 493,963
Straits Trading Co., Ltd. 1,117,200 1,513,182
* Sunright, Ltd. 378,000 57,505
Superbowl Holdings, Ltd. 490,000 61,694
Superior Metal Printing, Ltd. 490,500 50,079
Thakral Corp., Ltd. 6,028,000 397,881
Tiong Woon Corp. Holding, Ltd. 906,000 129,915
* Transmarco, Ltd. 106,500 51,116
Trek 2000 International, Ltd. 1,004,000 230,923
TSM Resources, Ltd. 1,502,000 265,397
# TT International, Ltd. 2,109,600 221,292
* Tuan Sing Holdings, Ltd. 3,362,000 190,660
* Ultro Technologies, Ltd. 530,000 25,115
Unisteel Technology, Ltd. 974,000 980,021
United Engineers, Ltd. 846,666 847,452
United Overseas Insurance, Ltd. 125,500 268,047
United Pulp & Paper Co., Ltd. 354,000 93,251
UOB-Kay Hian Holdings, Ltd. 1,602,000 897,151
Vicom, Ltd. 120,000 67,576
WBL Corp., Ltd. 647,000 1,194,242
Xpress Holdings, Ltd. 1,392,000 41,806
* Yongnam Holdings, Ltd. 1,506,000 31,623
----------------
TOTAL COMMON STOCKS
(Cost $56,377,025) 51,937,147
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Singapore Dollars 77,737
----------------
(Cost $77,932)
RIGHTS/WARRANTS -- (0.0%)
* China Dairy Group Warrants 12/22/07 300,400 9,912
----------------
(Cost $0)
TOTAL -- SINGAPORE
(Cost $56,454,957) 52,024,796
----------------
NEW ZEALAND -- (4.9%)
COMMON STOCKS -- (4.9%)
AFFCO Holdings, Ltd. 1,806,887 495,717
Cavalier Corp., Ltd. 283,674 728,432
CDL Hotels New Zealand, Ltd. 1,387,344 544,192
CDL Investments New Zealand, Ltd. 328,510 73,855
Colonial Motor Co., Ltd. 126,795 268,569
* Cue Energy Resources NL 452,354 76,981
Ebos Group, Ltd. 112,108 309,863
* Evergreen Forests, Ltd. 323,301 68,193
Hallenstein Glassons Holdings, Ltd. 241,638 636,850
Hellaby Holdings, Ltd. 201,679 808,342
Horizon Energy Distribution, Ltd. 40,420 122,364
Met Lifecare, Ltd. 270,895 627,891
Michael Hill International, Ltd. 156,746 829,546
* New Zealand Oil & Gas, Ltd. 584,872 352,491
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New Zealand Refining Co., Ltd. 84,779 2,012,874
Northland Port Corp. (New Zealand), Ltd. 219,997 464,421
Nuplex Industries, Ltd. 271,267 749,195
* Pacific Retail Group, Ltd. 194,156 265,995
Port of Tauranga, Ltd. 541,952 1,791,836
* Provenco Group, Ltd. 281,600 150,474
Pyne Gould Guinness, Ltd. 229,634 282,510
Restaurant Brand New Zealand, Ltd. 369,175 329,847
Richina Pacific, Ltd. 309,644 158,889
* Rubicon, Ltd. 995,760 630,304
Ryman Healthcare Group, Ltd. 415,999 1,080,776
Sanford, Ltd. 418,047 1,265,103
Scott Technology, Ltd. 60,843 120,738
* Seafresh Fisheries (NZ) 80,520 1,587
South Port New Zealand, Ltd. 30,744 24,234
Steel & Tube Holdings, Ltd. 379,638 1,212,447
* Tasman Farms 157,056 0
Taylors Group, Ltd. 29,646 52,003
Tourism Holdings, Ltd. 402,452 503,149
* Trans Tasman Properties, Ltd. 2,311,308 652,183
Waste Management NZ, Ltd. 430,471 1,863,264
Wrightson, Ltd. 279,834 317,777
----------------
TOTAL COMMON STOCKS
(Cost $11,983,474) 19,872,892
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* New Zealand Dollar 11,551
----------------
(Cost $11,693)
TOTAL -- NEW ZEALAND
(Cost $11,995,167) 19,884,443
----------------
MALAYSIA -- (0.0%)
COMMON STOCKS -- (0.0%)
* Aliran Ihsan Resources Berhad 1,650 240
* Autoways Holdings Berhad 10,000 3,395
* Jaks Resources Berhad 11,975 4,596
* Promet Berhad 1,143,000 0
* Rekapacific Berhad 473,000 0
----------------
TOTAL COMMON STOCKS
(Cost $983,525) 8,231
----------------
PREFERRED STOCKS -- (0.0%)
* Ramunia Holdings Berhard Non Cumulative Irredeemable
Convertible Preferred Shares 17,882 753
----------------
(Cost $229,462)
TOTAL -- MALAYSIA
(Cost $1,212,987) 8,984
----------------
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UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
* Exergy, Inc. 7,260 0
* Molecular Devices Corp. 118 2,280
----------------
TOTAL -- UNITED STATES
(Cost $2,510) 2,280
----------------
FACE
AMOUNT VALUE+
---------------- ----------------
(000)
TEMPORARY CASH INVESTMENTS -- (17.2%)
^ Repurchase Agreement, Deutsche Bank Securities 2.96%,
06/01/05 (Collateralized by $61,891,609 U.S. TIPS 1.875%,
07/15/13, valued at $66,806,963) to be repurchased at
$65,497,023 (Cost $65,491,638) $ 65,492 65,491,638
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%,
06/01/05 (Collateralized by $3,513,000 FNMA Notes 2.95%,
11/14/07, valued at $3,508,609) to be repurchased at
$3,456,277 (Cost $3,456,000) 3,456 3,456,000
----------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $68,947,638) 68,947,638
----------------
TOTAL INVESTMENTS - (100.0%)
(Cost $395,815,821) $ 402,012,373
----------------
---------
+ Securities have been fair valued. See Note B to Financial
Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on
loan.
See accompanying Notes to Financial Statements.
21
THE UNITED KINGDOM SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
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SHARES VALUE+
---------------- ----------------
UNITED KINGDOM -- (95.8%)
COMMON STOCKS -- (94.4%)
Industrials -- (27.6%)
600 Group P.L.C. 125,656 $ 162,724
AEA Technology P.L.C. 96,276 113,474
Aggreko P.L.C. 577,491 2,035,089
Air Partner P.L.C. 15,611 154,940
* Airflow Streamlines P.L.C. 20,500 21,791
Alumasc Group P.L.C. 100,245 287,683
Amec P.L.C. 49,000 299,143
Arriva P.L.C. 129,697 1,254,334
* Ashtead Group P.L.C. 674,240 1,093,794
Atkins (WS) P.L.C. 234,487 2,927,200
Autologic Holdings P.L.C. 96,590 324,790
# Avis Europe P.L.C. 1,767,228 2,119,342
Babcock International Group P.L.C. 462,763 1,251,402
* Bailey (C.H.) P.L.C. 109,500 27,856
* Bailey (C.H.) P.L.C. Class B 10,000 16,808
Birse Group P.L.C. 421,901 92,109
Black Arrow Group P.L.C. 56,500 71,762
Bodycote International P.L.C. 745,073 2,246,322
BPP Holdings P.L.C. 114,663 720,063
Brammer P.L.C. 119,123 332,446
Brandon Hire P.L.C. 58,441 158,814
BSS Group P.L.C. 55,830 1,154,668
* BTG P.L.C. 284,452 727,356
Business Post Group P.L.C. 157,099 1,788,749
Carillion P.L.C. 486,131 2,178,066
* Carlisle Holdings, Ltd. 8,709 50,611
Castings P.L.C. 83,784 298,834
Charles Taylor Consulting P.L.C. 67,918 303,960
* Charter P.L.C. 315,702 1,551,000
Chemring Group P.L.C. 54,030 464,567
Chloride Group P.L.C. 485,500 584,188
Christie Group P.L.C. 53,263 91,324
Clarkson (Horace) P.L.C. 44,733 728,178
Communisis P.L.C. 317,904 611,274
* Cookson Group P.L.C. 419,725 2,478,705
* Corporate Services Group P.L.C. 1,704,859 264,555
* Costain Group P.L.C. 1,176,378 1,014,389
* Danka Business Systems P.L.C. 367,079 117,281
Dart Group P.L.C. 74,000 418,012
Datamonitor P.L.C. 136,693 419,045
Davis Service Group P.L.C. 345,079 2,779,174
De La Rue P.L.C. 417,469 2,869,586
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Domino Printing Sciences P.L.C. 355,935 1,542,684
Domnick Hunter Group P.L.C. 76,296 527,593
* Dowding & Mills P.L.C. 336,440 110,310
* Easyjet P.L.C. 1,068,671 4,377,254
Eleco P.L.C. 104,685 62,989
* Enodis P.L.C. 918,539 1,834,915
Fenner P.L.C. 236,681 514,188
FKI P.L.C. 1,350,586 2,370,056
Forth Ports P.L.C. 142,983 3,436,809
* Fortress Holdings P.L.C. 120,728 6,033
Fulmar P.L.C. 107,500 196,250
Galliford Try P.L.C. 517,870 541,187
Get Group P.L.C. 20,485 57,636
Gibbs & Dandy P.L.C. 13,681 103,960
Gleeson (M.J.) Group P.L.C. 112,355 659,155
* Glotel P.L.C. 63,851 100,978
Go-Ahead Group P.L.C. 95,242 2,335,575
Group 4 Securicor P.L.C. 88,013 219,742
Halstead (James) Group P.L.C. 52,208 510,817
* Hampson Industries P.L.C. 584,903 264,794
* Harvey Nash Group P.L.C. 183,750 178,498
Havelock Europa P.L.C. 75,907 177,829
Heath (Samuel) & Sons P.L.C. 7,500 66,097
Helphire Group P.L.C. 246,301 957,568
* Heywood Williams Group P.L.C. 173,468 293,493
Homeserve P.L.C. 147,895 2,492,543
Hyder Consulting P.L.C. 65,359 246,874
Infast Group P.L.C. 301,224 182,742
Intertek Group P.L.C. 70,100 961,902
Intserve P.L.C. 264,157 1,714,120
* Invensys P.L.C. 13,169,327 2,695,625
Ite Group P.L.C. 518,511 918,824
* Jarvis Porter Group P.L.C. 99,894 9,530
Johnson Service Group P.L.C. 126,960 1,074,497
Keller Group P.L.C. 125,955 635,938
Kier Group P.L.C. 75,365 1,231,575
Laing (John) P.L.C. 425,832 1,903,873
Latchways P.L.C. 22,878 174,532
Lavendon Group P.L.C. 81,799 289,776
Lincat Group P.L.C. 19,000 169,079
Litho Supplies P.L.C. 20,000 21,456
* Lorien P.L.C. 60,000 44,670
Low & Bonar P.L.C. 166,108 336,556
Management Consulting Group P.L.C. 412,929 339,874
McAlpine (Alfred) P.L.C. 232,610 1,507,899
Meggitt P.L.C. 514,738 2,733,610
Mersey Docks & Harbour Co. P.L.C. 117,087 2,051,279
Michael Page International P.L.C. 731,357 2,507,014
Mitie Group P.L.C. 716,043 2,077,549
* Molins P.L.C. 68,000 172,778
* Morgan Crucible Company P.L.C. 673,398 2,209,920
Morgan Sindall P.L.C. 78,265 1,075,283
Mouchel Parkman P.L.C. 200,665 873,623
Mowlem (John) & Co. P.L.C. 347,397 1,135,574
MS International P.L.C. 71,500 103,398
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MSB International P.L.C. 30,748 39,945
National Express Group P.L.C. 25,000 394,308
Nord Anglia Education P.L.C. 63,924 133,557
Northern Recruitment Group P.L.C. 36,500 121,055
Northgate P.L.C. 137,678 2,233,572
Ocean Wilsons Holdings, Ltd. 84,250 439,928
Penna Consulting P.L.C. 42,417 95,586
PHS Group P.L.C. 1,144,660 2,024,988
PSD Group P.L.C. 54,896 225,963
Quantica P.L.C. 96,190 90,129
Radstone Technology P.L.C. 67,511 327,256
* Regus Group P.L.C. 2,282,259 3,741,272
Reliance Security Group P.L.C. 66,349 567,812
Renold P.L.C. 153,256 126,960
Ricardo P.L.C. 114,409 594,152
Robert Walters P.L.C. 150,103 299,905
ROK property solutions P.L.C. 58,166 580,733
RPS Group P.L.C. 442,348 1,193,340
Salvesen (Christian) P.L.C. 533,873 567,901
Senior P.L.C. 678,557 496,540
Serco Group P.L.C. 235,235 1,076,833
Severfield-Rowan P.L.C. 26,211 276,481
Shanks & McEwan Group P.L.C. 543,212 1,342,876
SHL Group P.L.C. 124,412 281,190
SIG P.L.C. 273,601 2,859,416
* Simon Group P.L.C. 348,089 283,963
Smart (J.) & Co. (Contractors) P.L.C. 22,500 251,440
Speedy Hire P.L.C. 90,349 1,122,345
Spirax-Sarco Engineering P.L.C. 168,524 2,172,230
Spring Group P.L.C. 406,488 648,978
* Stanelco P.L.C. 1,201,354 573,318
T. Clarke P.L.C. 75,774 322,158
Tarsus Group P.L.C. 86,934 184,740
Teesland P.L.C. 431,476 535,789
Thorpe (F.W.) P.L.C. 24,000 135,778
* Tinsley (Eliza) Group P.L.C. 19,844 5,589
* Trafficmaster P.L.C. 252,418 196,270
Transport Development Group P.L.C. 176,699 694,975
Trifast P.L.C. 135,388 177,762
Ultra Electronics Holdings P.L.C. 157,442 2,273,301
Ultraframe P.L.C. 162,456 138,440
Umeco P.L.C. 70,900 610,909
* Universal Salvage P.L.C. 36,111 50,451
* Volex Group P.L.C. 58,801 81,000
VP P.L.C. 108,111 382,461
VT Group P.L.C. 409,317 2,530,566
Weir Group P.L.C. 465,726 2,617,684
Whatman P.L.C. 281,949 1,330,592
White Young Green P.L.C. 78,615 369,505
Whitehead Mann Group P.L.C. 95,000 62,313
* Wilshaw P.L.C. 198,409 37,196
Wincanton P.L.C. 251,678 1,157,712
WSP Group P.L.C. 131,793 629,012
Wyndeham Press Group P.L.C. 111,879 262,429
XP Power P.L.C. 44,311 300,719
----------------
Total Industrials
(Cost $99,323,658) 130,215,054
----------------
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Consumer Discretionary -- (21.9%)
4imprint P.L.C. 50,375 194,431
Abbeycrest P.L.C. 42,590 36,739
AGA Food Service Group P.L.C. 271,542 1,504,891
Airsprung Furniture Group P.L.C. 18,314 7,334
Alba P.L.C. 105,025 859,125
Alexandra P.L.C. 86,243 191,129
Alexon Group P.L.C. 123,392 647,941
Alpha Airports Group P.L.C. 392,541 684,749
Arena Leisure P.L.C. 1,136,685 802,233
* Aston Villa P.L.C. 12,961 86,824
Austin Reed Group P.L.C. 68,999 149,385
Avesco P.L.C. 29,998 54,484
Avon Rubber P.L.C. 59,463 222,582
Beale P.L.C. 22,161 27,842
Beattie (James) P.L.C. 132,247 267,883
Bellway P.L.C. 132,240 2,047,227
Ben Bailey P.L.C. 26,000 209,713
Blacks Leisure Group P.L.C. 90,290 692,802
Bloomsbury Publishing P.L.C. 148,970 924,229
Boot (Henry) P.L.C. 71,794 666,796
Bovis Homes Group P.L.C. 273,016 3,393,807
* Brown & Jackson P.L.C. 748,566 632,572
Brown (N) Group P.L.C. 562,850 1,373,384
Caffyns P.L.C. 6,000 84,762
Capital Radio P.L.C. 313,351 1,697,802
# Carpetright P.L.C. 125,839 1,978,208
* Celtic P.L.C. 40,759 42,744
Character Group P.L.C. 97,314 64,789
Chime Communications P.L.C. 354,020 176,639
Chrysalis Group P.L.C. 328,544 876,256
Churchill China P.L.C. 30,000 95,756
City Restaurant Group P.L.C. 410,347 979,543
Clinton Cards P.L.C. 433,380 679,859
Colefax Group P.L.C. 60,000 99,580
Cosalt P.L.C. 30,700 178,825
* Courts P.L.C. 110,722 27,161
Crest Nicholson P.L.C. 267,250 1,857,536
Dawson Holdings P.L.C. 144,502 378,987
* Dawson International P.L.C. 100,688 17,809
De Vere Group P.L.C. 159,232 1,543,716
* Emess P.L.C. 480,556 65,210
* Entertainment Rights P.L.C. 633,958 305,561
Euromoney Institutional Investors P.L.C. 205,774 1,554,908
European Motor Holdings P.L.C. 118,325 527,343
* FII Group P.L.C. 41,166 5,049
Findel P.L.C. 181,122 1,554,466
First Choice Holidays P.L.C. 898,634 2,952,132
First Technology P.L.C. 165,655 870,879
Forminster P.L.C. 43,333 17,394
French Connection Group P.L.C. 284,510 1,429,006
Fuller, Smith & Turner P.L.C. Series A 28,927 473,934
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Future Network P.L.C. 730,823 1,148,523
Game Group P.L.C. 747,530 1,096,175
Games Workshop Group P.L.C. 69,683 518,581
* Gaskell P.L.C. 36,000 1,635
* Global Natural Energy P.L.C. 11,004 27,710
Greene King P.L.C. 157,536 3,527,502
Haynes Publishing Group P.L.C. 14,703 99,490
Headlam Group P.L.C. 194,400 1,447,438
* Highbury House Communications P.L.C. 439,166 15,999
HMV Group P.L.C. 82,598 341,181
Holidaybreak P.L.C. 99,292 1,151,189
* Homestyle Group P.L.C. 139,717 140,655
Hornby P.L.C. 77,295 276,243
House of Fraser P.L.C. 518,142 931,452
Huntsworth P.L.C. 1,360,648 490,184
Incisive Media P.L.C. 202,396 583,317
JJB Sports P.L.C. 448,783 1,478,748
John David Group P.L.C. 114,500 451,627
LA Fitness P.L.C. 53,738 209,891
Lambert Howarth Group P.L.C. 43,203 203,177
* Laura Ashley Holdings P.L.C. 2,505,661 467,893
* London Clubs International P.L.C. 499,923 1,128,421
Lookers P.L.C. 63,057 355,471
Luminar P.L.C. 167,243 1,569,672
Maiden Group P.L.C. 16,800 63,891
Mallett P.L.C. 24,837 115,750
# Manchester United P.L.C. 609,642 3,295,485
Manganese Bronze Holdings P.L.C. 32,184 121,479
Marchpole Holdings P.L.C. 271,422 113,792
Matalan P.L.C. 405,344 1,357,788
* Mayflower Corp. P.L.C. 550,636 0
McCarthy & Stone P.L.C. 236,392 2,448,228
Menzies (John) P.L.C. 103,775 1,046,416
Merchant Retail Group P.L.C. 185,666 659,344
Metal Bulletin P.L.C. 100,433 431,150
MFI Furniture Group P.L.C. 1,434,326 2,787,349
Mice Group P.L.C. 174,886 87,760
Millennium and Copthorne Hotels P.L.C. 80,633 521,555
* Monsoon P.L.C. 71,000 407,443
Moss Brothers Group P.L.C. 163,400 311,751
Mothercare P.L.C. 139,350 713,621
* Music Choice Europe P.L.C. 33,796 5,608
* MyTravel Group P.L.C. Series A 628,934 56,880
Newcastle United P.L.C. 198,896 158,639
Next Fifteen Communtications P.L.C. 25,000 26,655
Northamber P.L.C. 75,888 125,590
* NXT P.L.C. 125,976 156,291
Ottakar's P.L.C. 34,693 170,032
Owen (H.R.) P.L.C. 46,993 156,479
* Pace Micro Technology P.L.C. 428,871 473,544
* Partridge Fine Arts P.L.C. 58,000 67,450
Pendragon P.L.C. 308,482 1,654,758
Photo-Me International P.L.C. 850,594 1,387,491
* Pittards P.L.C. 60,985 22,717
Portmeirion Group P.L.C. 22,856 66,852
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* Pressac P.L.C. 78,129 1,065
* QXL Ricardo P.L.C. 130 6,967
Redrow P.L.C. 364,678 2,642,620
Reg Vardy P.L.C. 112,005 1,000,599
* Regent Inns P.L.C. 247,095 345,725
# Sanctuary Group P.L.C. 779,911 569,985
Scottish Radio Holdings P.L.C. 75,876 1,203,500
SCS Upholstery P.L.C. 66,745 411,865
Sinclair (William) Holdings P.L.C. 53,000 50,216
Sirdar P.L.C. 69,754 52,086
SMG P.L.C. 574,831 950,986
Smith (WH) P.L.C. 271,915 1,767,974
Southampton Leisure Holdings P.L.C. 19,615 9,980
* Sportech P.L.C. 846,974 138,462
St. Ives P.L.C. 224,249 1,469,682
Stanley Leisure P.L.C. 237,264 2,350,129
* Sterling Publishing Group P.L.C. 75,298 10,228
Stylo P.L.C. 64,096 76,393
T&F Informa Group P.L.C. 355,029 2,629,305
Taylor Nelson AGB P.L.C. 109,000 425,537
Ted Baker P.L.C. 82,767 704,587
The Peacock Group P.L.C. 250,589 1,083,406
* The Television Corp. P.L.C. 86,861 117,422
* Toad Group P.L.C. 85,507 16,049
Topps Tiles P.L.C. 491,811 1,698,553
* Torotrak P.L.C. 246,442 298,372
* Tottenham Hotspur P.L.C. 150,000 84,257
Ulster Television, Ltd. 115,602 945,295
Victoria P.L.C. 12,000 45,119
Vitec Group P.L.C. 80,367 439,247
Wagon P.L.C. 116,757 353,648
Wembley P.L.C. 61,550 866,390
Westbury P.L.C. 263,421 2,222,358
Wetherspoon (J.D.) P.L.C. 412,658 2,080,433
Wilmington Group P.L.C. 143,376 376,239
Wilson Bowden P.L.C. 7,000 144,990
Woolworths Group P.L.C. 3,110,645 1,978,314
Wyevale Garden Centres P.L.C. 114,526 1,050,556
----------------
Total Consumer Discretionary
(Cost $80,612,238) 103,506,457
----------------
Financials -- (13.7%)
Aberdeen Asset Management P.L.C. 420,124 896,433
Atrium Underwriting P.L.C. 88,040 343,837
Aviva P.L.C. 102,230 1,143,771
* Bradstock Group P.L.C. 5,200 4,158
Brewin Dolphin Holdings P.L.C. 378,661 745,501
Britannic P.L.C. 294,095 2,729,555
Brixton P.L.C. 497,280 3,325,792
Capital & Regional P.L.C. 167,410 2,370,800
Chesnara P.L.C. 92,900 222,859
* CLS Holdings P.L.C. 180,364 1,511,133
Collins Stewart Tullett P.L.C. 297,402 2,280,252
Countrywide P.L.C. 185,800 902,712
Cox Insurance Holdings P.L.C. 609,714 1,025,615
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Daejan Holdings P.L.C. 31,808 1,610,743
Derwent Valley Holdings P.L.C. 120,874 2,522,168
Development Securities P.L.C. 57,390 493,656
Domestic & General Group P.L.C. 82,529 1,108,966
DTZ Holdings P.L.C. 114,500 453,138
* Egg P.L.C. 446,600 896,278
Freeport P.L.C. 60,253 456,712
Grainger Trust P.L.C. 250,786 1,813,785
Great Portland Estates P.L.C. 307,973 2,016,240
Guiness Peat Group P.L.C. 1,251,349 1,590,867
* Hampton Trust P.L.C. 232,050 5,798
Hardy Underwriting Group P.L.C. 46,683 181,191
* Hawtin P.L.C. 196,500 42,001
Helical Bar P.L.C. 28,750 694,230
Highway Insurance Holdings P.L.C. 467,933 357,529
Hiscox P.L.C. 706,541 2,153,841
Hitachi Capital (UK) P.L.C. 124,239 563,750
ISIS Asset Management P.L.C. 268,751 1,129,457
Jardine Lloyd Thompson Group P.L.C. 205,205 1,303,256
Kensington Group P.L.C. 98,187 975,479
Kiln P.L.C. 383,129 623,478
London Merchant Securities P.L.C. 731,745 3,048,412
London Scottish Bank P.L.C. 325,260 659,019
* Marylebone Warwick Balfour Group P.L.C. 239,501 444,802
McKay Securities P.L.C. 97,232 460,780
Minerva P.L.C. 266,135 1,250,160
Mucklow (A & J) Group P.L.C. 175,000 1,139,668
Paragon Group of Companies P.L.C. 153,200 1,136,645
Park Group P.L.C. 291,600 145,505
Pillar Property P.L.C. 171,938 2,610,243
Primary Health Properties P.L.C. 23,784 127,559
Quintain Estates & Development P.L.C. 159,407 1,568,310
* Rensburg Sheppards P.L.C. 37,158 357,264
Rugby Estates P.L.C. 15,328 87,053
Rutland Trust P.L.C. 174,255 142,532
S & U P.L.C. 21,140 202,720
Savills P.L.C. 127,846 1,582,433
Secure Trust Group P.L.C. 29,802 220,867
Shaftesbury P.L.C. 327,189 2,184,433
Shore Capital Group P.L.C. 504,863 350,454
Smith (James) Estates P.L.C. 17,524 146,893
St. Modwen Properties P.L.C. 228,607 1,730,665
Stanley (Charles) Group P.L.C. 86,800 404,496
Tops Estates P.L.C. 116,033 1,074,194
Town Centre Securities (New) P.L.C. 142,137 835,025
Unite Group P.L.C. 254,029 1,312,616
Warner Estate Holdings P.L.C. 95,471 997,289
Workspace Group P.L.C. 411,093 1,771,314
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Total Financials
(Cost $43,635,352) 64,486,332
----------------
Information Technology -- (9.5%)
Abacus Group P.L.C. 105,130 351,143
Acal P.L.C. 60,982 350,339
Alphameric P.L.C. 254,907 366,043
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* Alterian P.L.C. 68,403 131,318
Amstrad P.L.C. 149,652 355,659
* Anite Group P.L.C. 804,568 922,664
* ARC International P.L.C. 330,444 218,116
Arm Holdings P.L.C. 127,000 249,948
* Autonomy Corp. P.L.C. 213,837 973,139
Aveva Group P.L.C. 50,171 674,413
Axon Group P.L.C. 88,403 321,911
* Baltimore Technologies P.L.C. 485 15,187
* Bede P.L.C. 135,978 84,681
CML Microsystems P.L.C. 28,361 154,446
Comino Group P.L.C. 30,924 133,149
Compel Group P.L.C. 75,752 125,257
Computacenter P.L.C. 452,614 2,037,832
Deltron Electronics P.L.C. 90,964 98,954
Detica Group P.L.C. 49,413 685,808
Dicom Group P.L.C. 47,661 775,306
* Dimension Data Holdings P.L.C. 939,000 556,308
Diploma P.L.C. 49,895 615,337
* Easynet Group P.L.C. 281,185 393,720
* Easyscreen P.L.C. 72,275 22,492
* Eidos P.L.C. 200,222 204,162
Electronic Data Processing P.L.C. 55,200 77,058
* Eurodis Electron P.L.C. 2,118,657 45,008
* Fibernet Group P.L.C. 142,341 224,845
Filtronic P.L.C. 164,131 588,972
* Financial Objects P.L.C. 17,000 13,428
GB Group P.L.C. 250,000 181,267
* Gresham Computing P.L.C. 112,777 268,501
Halma P.L.C. 866,782 2,297,578
ICM Computer Group P.L.C. 45,983 271,446
* Imagination Technologies Group P.L.C. 443,056 516,744
* Intec Telecom Systems P.L.C. 654,113 718,792
Intelek P.L.C. 99,880 19,218
* Itouch International P.L.C. 882,895 690,997
* Kalamazoo Computer Group P.L.C. 56,120 1,785
* Kewill Systems P.L.C. 179,299 211,545
* Knowledge Support Systems Group P.L.C. 25,000 0
Laird Group P.L.C. 353,674 1,995,331
* Lastminute.com P.L.C. 504,477 1,515,349
Macro 4 P.L.C. 45,932 230,031
* Microgen P.L.C. 238,323 345,541
Morse P.L.C. 277,169 380,108
MTL Instruments Group P.L.C. 24,678 138,684
* Ncipher P.L.C. 59,092 235,900
* Northgate Information Solutions P.L.C. 1,140,585 1,439,008
* NSB Retail P.L.C. 869,182 402,751
Oxford Instruments P.L.C. 111,061 481,927
Parity Group P.L.C. 381,072 53,408
Planit Holdings P.L.C. 235,000 98,418
* Plasmon P.L.C. 135,733 279,291
Premier Farnell P.L.C. 847,510 2,498,655
Psion P.L.C. 881,202 981,518
* QA P.L.C. 158,950 9,129
Renishaw P.L.C. 188,734 2,365,695
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* Retail Decisions P.L.C. 562,639 286,629
RM P.L.C. 201,697 658,955
Rotork P.L.C. 200,116 1,804,002
Roxboro Group P.L.C. 59,608 430,444
Royalblue Group P.L.C. 68,710 644,312
* Scipher P.L.C. 34,563 707
* SDL P.L.C. 95,883 210,362
Spectris P.L.C. 292,280 2,626,165
* Spirent P.L.C. 1,993,034 1,677,579
* Superscape P.L.C. 302,847 193,214
* Surfcontrol P.L.C. 68,696 634,998
* Tadpole Technology P.L.C. 427,207 39,862
* Telecity P.L.C. 599,148 182,457
Telemetrix P.L.C. 177,320 279,938
* Telspec P.L.C. 25,000 10,352
* The Innovation Group P.L.C. 956,444 578,179
Trace Computers P.L.C. 33,552 49,643
TT Electronics P.L.C. 328,134 983,662
* TTP Communications P.L.C. 483,547 378,119
Vega Group P.L.C. 44,012 154,337
Vislink P.L.C. 124,752 66,094
* Wolfson Microelectronics P.L.C. 261,475 739,864
Workplace Systems International P.L.C. 238,739 61,820
XAAR P.L.C. 143,837 558,217
XANSA P.L.C. 714,984 1,194,812
XKO Group P.L.C. 30,304 42,728
----------------
Total Information Technology
(Cost $43,357,563) 44,882,711
----------------
Consumer Staples -- (6.0%)
* Anglo Eastern Plantations P.L.C. 87,249 292,302
Arla Foods UK P.L.C. 1,658,226 1,925,635
Barr (A.G.) P.L.C. 43,000 763,799
Belhaven Brewery Group P.L.C. 68,797 604,826
Body Shop International P.L.C. 583,233 2,332,806
Cranswick P.L.C. 97,180 1,054,902
Dairy Crest Group P.L.C. 291,948 2,531,754
Devro P.L.C. 344,712 765,102
Greggs P.L.C. 28,256 2,424,220
Hardys & Hansons P.L.C. 48,000 561,771
Kleeneze P.L.C. 109,256 216,996
Linton Park P.L.C. 39,000 307,815
McBride P.L.C. 382,113 1,049,918
Nichols P.L.C. 66,550 230,300
Northern Foods P.L.C. 1,114,287 3,176,138
PZ Cuzzons P.L.C. 40,541 965,935
Richmond Foods P.L.C. 40,237 460,269
Robert Wiseman Dairies P.L.C. 199,037 902,498
Somerfield P.L.C. 722,361 2,589,845
Swallowfield P.L.C. 15,000 20,238
Thorntons P.L.C. 158,000 372,304
Uniq P.L.C. 263,207 718,498
Whittard of Chelsea P.L.C. 37,487 62,327
Wolverhampton & Dudley Breweries P.L.C. 178,160 3,587,889
Young & Co's Brewery P.L.C. 10,000 257,090
Young & Co's Brewery P.L.C. Class A 5,234 172,448
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Total Consumer Staples
(Cost $19,067,077) 28,347,625
----------------
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Energy -- (4.6%)
Abbot Group P.L.C. 406,292 1,613,388
* Burren Energy P.L.C. 119,815 1,154,069
* Dana Petroleum P.L.C. 181,375 1,693,784
* Edinburgh Oil & Gas P.L.C. 75,430 432,188
* Emerald Energy P.L.C. 72,830 201,632
Expro International Group P.L.C. 163,241 1,186,562
Fisher (James) & Sons P.L.C. 100,909 567,523
* Fortune Oil P.L.C. 3,248,130 337,854
Hunting P.L.C. 230,567 981,425
JKX Oil and Gas P.L.C. 264,746 662,752
KBC Advanced Technologies P.L.C. 68,734 46,836
* Melrose Resources P.L.C. 163,459 728,069
Paladin Resources P.L.C. 786,415 2,655,019
* Premier Oil P.L.C. 189,684 2,026,870
* Soco International P.L.C. 167,005 1,485,770
Sondex P.L.C. 118,851 433,006
Tullow Oil P.L.C. 500,218 1,520,214
* Venture Production P.L.C. 280,582 1,558,297
Wood Group (John) P.L.C. 881,804 2,348,582
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Total Energy
(Cost $15,579,305) 21,633,840
----------------
Materials -- (4.1%)
* Amberley Group P.L.C. 200,000 39,980
Anglo Pacific Group P.L.C. 209,785 363,671
* API Group P.L.C. 64,073 159,114
* Applied Optical Technologies P.L.C. 117,822 63,898
Baggeridge Brick P.L.C. 98,000 321,351
British Polythene Industries P.L.C. 56,740 383,400
British Vita P.L.C. 425,448 2,762,055
Carclo P.L.C. 114,684 127,890
Chamberlin & Hill P.L.C. 18,000 64,860
Chapelthorpe P.L.C. 656,803 190,926
Coral Products P.L.C. 50,000 22,918
Croda International P.L.C. 295,550 2,022,315
Cropper (James) P.L.C. 22,000 85,895
Delta P.L.C. 289,145 623,988
Dyson Group P.L.C. 66,003 426,060
* Elementis P.L.C. 955,009 817,588
Ennstone P.L.C. 638,996 495,832
* European Colour P.L.C. 82,090 24,261
* Greenwich Resources P.L.C. 438,664 22,127
Hill & Smith Holdings P.L.C. 138,474 437,573
Inveresk P.L.C. 150,000 38,009
* Macfarlane Group P.L.C. 228,287 139,795
Marshalls P.L.C. 325,633 1,722,324
Metalrax Group P.L.C. 358,740 509,587
Porvair P.L.C. 81,246 148,847
RPC Group P.L.C. 215,312 992,281
Scapa Group P.L.C. 319,593 144,973
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Smith (DS) Holdings P.L.C. 901,625 2,525,660
Treatt P.L.C. 14,957 65,590
U.K. Coal P.L.C. 322,996 734,238
UCM Group P.L.C. 41,980 56,241
Victrex P.L.C. 190,262 1,506,893
Wellington Holdings P.L.C. 35,979 117,025
* Yorkshire Group P.L.C. 82,504 8,620
Yule Catto & Co. P.L.C. 278,083 1,230,219
Zotefoams P.L.C. 62,000 99,678
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Total Materials
(Cost $16,273,683) 19,495,682
----------------
Health Care -- (3.9%)
* Acambis P.L.C. 159,373 629,436
* Alizyme P.L.C. 322,667 522,978
* Antisoma P.L.C. 533,154 181,369
* Axis-Shield P.L.C. 94,475 482,656
Bespak P.L.C. 59,782 550,846
* Biocompatibles International P.L.C. 106,509 373,238
* Bioquell P.L.C. 50,194 102,784
Biotrace International P.L.C. 87,657 137,207
* Cambridge Antibody Technology Group P.L.C. 84,453 935,624
Care UK P.L.C. 121,100 927,855
Corin Group P.L.C. 73,178 474,580
Dechra Pharmaceuticals P.L.C. 111,880 412,377
Ferraris Group P.L.C. 63,540 104,745
* Genetix Group P.L.C. 151,246 140,538
Goldshield Group P.L.C. 79,169 379,164
* Gyrus Group P.L.C. 191,527 911,834
Huntleigh Technology P.L.C. 90,597 584,980
Isoft Group P.L.C. 480,414 3,499,273
Isotron P.L.C. 50,325 538,903
* M.L. Laboratories P.L.C. 377,657 128,476
* Medical Solutions P.L.C. 140,731 16,908
* Medisys P.L.C. 586,814 30,701
Nestor Healthcare Group P.L.C. 200,863 505,914
* Oxford Biomedica, Ltd. 766,802 426,329
* Pharmagene P.L.C. 160,000 69,385
* Phytopharm P.L.C. 111,349 238,747
* Protherics P.L.C. 557,510 474,846
* Provalis P.L.C. 796,584 70,041
* Shiloh P.L.C. 14,500 26,591
* Skyepharma P.L.C. 1,317,991 1,291,690
SSL International P.L.C. 448,464 2,275,024
Sygen International P.L.C. 616,770 418,597
* Vernalis P.L.C. 334,552 405,063
* Weston Medical Group P.L.C. 50,200 2,280
* Xenova Group P.L.C. 607,931 48,083
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Total Health Care
(Cost $18,206,035) 18,319,062
----------------
Other -- (1.3%)
* Argonaut Games, Ltd. 100,000 5,678
Ashtenne Holdings P.L.C. 51,168 302,189
* Bombshell P.L.C. 932 0
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Braemar Seascope Group P.L.C. 45,450 324,211
Broadcastle P.L.C. 74,468 133,390
Carr's Milling Industries P.L.C. 19,000 190,425
* Clinical Computing P.L.C. 46,666 14,335
Creston P.L.C. 31,812 77,782
Dewhurst P.L.C. 9,000 32,006
Dewhurst P.L.C. Class A Non-Voting 15,500 46,347
DRS Data & Research Services P.L.C. 26,825 15,586
* Durlacher Corp. P.L.C. 15,272 29,520
Erinaceous Group P.L.C. 205,293 998,282
* Ferguson International Holdings P.L.C. 89,105 38,859
* Garton Engineering P.L.C. 10,248 0
IFX Group P.L.C. 34,486 68,630
* IMS Group P.L.C. 75,000 6,133
Independent Media Distribution P.L.C. 21,621 17,329
* Industrial & Commercial Holdings P.L.C. 5,000 136
Lupus Capital P.L.C. 429,989 101,575
* Netstore P.L.C. 143,737 113,725
* New Avesco P.L.C. 29,998 53,908
* Osmetech P.L.C. 669,354 28,242
* Planestation Group P.L.C. 76,551 12,867
* Primback Units 135,600 0
* Probus Estates P.L.C. 83,333 227
Radamec Group P.L.C. 35,000 18,376
Ransom (William) & Son P.L.C. 30,000 24,733
Reed Health Group P.L.C. 155,333 116,306
* Richmond Oil & Gas P.L.C. 220,000 0
* RMS Communications P.L.C. 15,000 0
* Safeland P.L.C. 25,000 32,981
* Seashell II P.L.C. 932 0
* Secure Ventures (No. 1) P.L.C. 62,500 0
* Secure Ventures (No. 2) P.L.C. 62,500 2,839
* Secure Ventures (No. 3) P.L.C. 62,500 0
* Secure Ventures (No. 4) P.L.C. 62,500 2,555
* Secure Ventures (No. 5) P.L.C. 62,500 2,555
* Secure Ventures (No. 6) P.L.C. 62,500 0
* Secure Ventures (No. 7) P.L.C. 62,500 0
* Servicepower Technologies P.L.C. 150,000 70,808
* SFI Holdings, Ltd. Series A 26,713 15,047
Singer & Friedlander Group P.L.C. 391,896 2,221,226
* Tandem Group P.L.C. 327,365 0
* Terence Chapman Group P.L.C. 62,500 360
Tex Holdings P.L.C. 14,000 26,791
* The Wireless Group P.L.C. 189,923 308,171
* Theratase P.L.C. 80,563 53,351
* Waterdorm P.L.C. 105,000 0
Waterman P.L.C. 74,473 133,453
Watermark Group P.L.C. 68,660 164,240
Windsor P.L.C. 149,435 139,289
* Wraith P.L.C. 1,441 2,226
----------------
Total Other
(Cost $6,482,590) 5,946,689
----------------
12
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Telecommunication Services -- (1.2%)
* # Colt Telecom Group P.L.C. 2,574,360 2,431,060
Kingston Communications P.L.C. 850,036 1,044,854
* Redstone P.L.C. 376,324 43,751
Telecom Plus P.L.C. 125,297 513,882
* Thus Group P.L.C. 3,113,150 792,366
* Vanco P.L.C. 145,748 892,124
----------------
Total Telecommunication Services 5,718,037
(Cost $5,706,353) ----------------
Utilities -- (0.6%)
AWG P.L.C. 16,000 260,329
Bristol Water Group P.L.C. 35,257 437,926
Dee Valley Group P.L.C. 4,214 71,152
East Surrey Holdings P.L.C. 234,414 2,261,300
Hydro International P.L.C. 27,669 44,084
----------------
Total Utilities 3,074,791
(Cost $1,610,319) ----------------
TOTAL COMMON STOCKS
(Cost $349,854,173) 445,626,280
----------------
INVESTMENT IN CURRENCY -- (1.4%)
* British Pound Sterling 6,391,026
----------------
(Cost $6,438,398)
EMU -- (0.0%)
INVESTMENT IN CURRENCY
* Euro Currency 119
----------------
TOTAL EMU
(Cost $101) 119
----------------
RIGHTS/WARRANTS -- (0.0%)
Other -- (0.0%)
* Letter of Entitlements -- Audemars Piguet 90,242 0
* Planestation Group P.L.C. Warrants 01/13/11 229,653 209
* Plasmon P.L.C. Subscription Shares 18,509 0
* SFI Holdings, Ltd. Litigation Certificate 26,713 0
* Xenova Group P.L.C. Warrants 12/31/08 56,991 2,459
----------------
Total Other
(Cost $4,781) 2,668
----------------
TOTAL RIGHTS/WARRANTS
(Cost $4,781) 2,668
----------------
TOTAL UNITED KINGDOM
(Cost $356,297,453) 452,020,093
----------------
FACE
AMOUNT VALUE+
---------------- ----------------
(000)
TEMPORARY CASH INVESTMENTS -- (4.2%)
^ Repurchase Agreement, Deutsche Bank Securities 2.96%, 06/01/05
(Collateralized by $10,268,130 U.S. TIPS 1.875%, 07/15/13, valued
at $11,083,612) to be repurchased at $10,866,286
(Cost $10,865,393) $ 10,865 10,865,393
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $9,352,000 FNMA Notes 2.95%, 11/14/07, valued
at $9,340,310) to be repurchased at $9,202,739 (Cost $9,202,000) 9,202 9,202,000
----------------
20,067,393
----------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $20,067,393) 20,067,393
----------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $376,364,846) $ 472,087,486
================
13
----------
+ Securities have been fair valued. See Note B to Financial
Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
14
THE CONTINENTAL SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
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SHARES VALUE+
---------------- ----------------
FRANCE -- (11.6%)
COMMON STOCKS -- (11.6%)
* Actielec Technologies 19,137 $ 126,872
Affine 1,920 196,096
* Alain Afflelou SA 21,488 666,487
Ales Groupe SA 11,349 188,228
Altedia SA 2,800 64,311
* Alten SA 53,456 1,354,670
* Altran Technologies SA 182,539 1,615,645
Apem SA 1,000 75,081
April Group SA 31,201 1,044,797
* Archos 8,679 159,456
Ares (Groupe) SA 10,632 74,283
Arkopharma 18,720 336,736
Assystem Brime SA 7,580 169,013
Aubay SA 16,825 89,418
# Audika SA 5,003 418,175
* Baccarat SA 1,090 174,152
Bacou-Dalloz 8,306 685,093
Bains de Mer et du Cercle des Etrangers a Monaco 4,615 2,782,721
Banque Tarneaud SA 1,000 168,110
# Beneteau SA 19,638 1,519,659
* Bigben Interactive 2,100 9,978
Boiron SA 16,659 407,395
Boizel Chanoine Champagne SA 600 48,173
Bonduelle SA 6,723 538,192
# Bongrain SA 13,784 849,301
* Bricorama SA 3,717 235,016
Brioche Pasquier SA 2,888 191,030
Buffalo Grill SA 1,028 22,777
* Bull SA 1,122,656 910,461
Burelle SA 4,030 522,852
* Business Objects SA 16,500 473,797
* BVRP SA 7,419 170,754
Camaieu SA 4,988 599,270
# Canal Plus SA 169,452 1,363,644
# Carbone Lorraine 40,631 1,850,526
* CBo Territoria 28,320 101,063
Cegedim SA 6,902 556,832
# CEGID SA 18,000 643,097
* Cesar SA 75,259 111,106
CFF Recycling SA 84,608 2,369,269
* Cibox Inter@ctive SA 135,470 73,138
# Cie Financiere Pour La Location D'Immeubles Industriels & Commerciaux SA 13,013 806,092
1
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Clarins SA 8,798 540,893
* # Club Mediterranee SA 33,732 1,618,094
Consortium International de Diffusion et de Representation Sante 600 5,419
* CS Communication et Systemes 4,983 171,855
* Cybergun 2,121 34,783
Damartex SA 22,900 855,275
* Dane-Elec Memory SA 27,622 159,691
Delachaux SA 1,300 192,154
Deveaux SA 1,040 101,677
Didot-Bottin 1,620 135,558
* DMC (Dollfus Mieg et Cie) 9,630 52,266
* Dynaction SA 10,660 217,644
Electricite de Strasbourg 23,784 3,161,887
# Elior 184,391 2,170,607
* Encres Dubuit SA 4,176 46,972
# Esso SA 3,200 539,114
Etam Developpement SA 8,972 259,654
* Euraltech SA 11,700 21,537
* Euro Disney SCA 797,643 98,203
Evialis SA 1,200 44,783
Exel Industries SA 1,800 141,265
* Explosifs et de Produits Chimiques 524 217,397
Faurecia SA 6,500 487,505
# Fimalac SA 111,143 5,089,744
Fininfo SA 9,760 210,165
Fleury Michon SA 3,100 143,007
Foncia Groupe 8,220 199,151
Francois Freres (Tonnellerie) SA 3,150 93,622
* Gantois Series A 647 11,943
Gascogne SA 6,472 567,805
Gaumont 14,607 1,004,724
* GCI (Groupe Chatellier Industrie SA) 7,258 893
* Geci International 8,616 16,705
* # Generale de Geophysique SA 20,770 1,710,778
# Generale de Sante 55,413 1,261,857
Generale Location SA 9,000 272,839
* Geodis SA 4,379 464,317
Gevelot 3,584 241,803
GFI Informatique SA 77,855 463,597
# Gifi 4,678 172,696
* Ginger (Groupe Ingenierie Europe) 2,600 46,496
Grands Moulins de Strasbourg 110 64,310
# Groupe Bourbon SA 28,320 1,737,474
Groupe Crit 6,900 200,423
* Groupe Finuchem SA 5,120 81,591
* Groupe Flo SA 11,900 104,063
* Groupe Focal SA 1,400 13,725
Groupe Go Sport SA 2,207 174,200
Groupe Guillin SA 1,200 91,635
# Groupe Open SA 8,551 130,274
Groupe Steria 25,566 934,460
* Guerbet SA 1,700 184,111
# Guyenne et Gascogne SA 26,000 3,157,908
2
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Havas SA 62,300 368,158
* Hotels et Casinos de Deauville 2,055 1,016,070
Hyparlo SA 5,514 460,719
IDSUD 614 22,175
* IEC Professionnel Media 8,734 20,410
Iliad SA 36,238 1,278,244
* IMS International Metal Service SA 12,630 180,759
Industrielle et Financiere d'Entreprise SA 300 62,504
* # Infogrames Entertainment SA 210,581 328,304
# Ingenico SA 61,820 875,815
Ipsos SA 5,776 571,937
Kaufman et Broad SA 8,035 476,650
Lafuma SA 827 72,059
Laurent-Perrier 3,100 139,863
Lectra Systemes SA 23,092 115,265
# Lisi SA 7,827 479,128
* LVL Medical Groupe SA 15,338 104,691
# Manitou SA 44,368 1,640,023
Manutan International SA 4,700 219,614
* Marie Brizard & Roger International SA 1,198 127,617
* Matussiere et Forest SA 13,600 48,533
* Metaleurop SA 35,449 23,556
MGI Coutier SA 1,400 58,610
* MoneyLine 1,336 56,690
Montupet SA 32,450 724,260
Mr. Bricolage SA 6,600 130,618
Neopost SA 7,200 642,791
# Nexans 43,798 1,615,112
# Norbert Dentressangle 8,372 441,281
NRJ Group 10,819 222,708
* Oberthur Card Systems SA 53,640 438,375
* # Oeneo 31,265 48,092
* Orpea 19,650 798,447
* Otor SA 13,700 76,875
* Paris Orleans et Cie SA 2,832 706,541
Passat SA 3,843 55,049
* # Penauille Polyservices SA 10,200 96,311
Petit Forestier SA 3,043 119,697
Pierre & Vacances 7,596 767,767
Pinguely-Haulotte SA 25,000 289,576
# Plastic Omnium SA 30,846 811,867
Plastivaloire SA 1,700 48,275
Prosodie SA 5,183 118,513
# Provimi SA 30,782 657,706
PSB Industries SA 6,200 255,186
* Radiall SA 1,340 91,143
Remy Cointreau SA 32,945 1,390,255
Robertet SA 1,885 273,929
# Rodriguez Group SA 16,706 815,229
Rougier SA 2,040 171,860
* S.T. Dupont SA 3,800 17,886
Sabeton 13,500 206,043
Samse SA 4,400 730,676
Sasa Industries SA 1,000 36,338
3
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* Saveurs de France-Brossard 3,410 209,045
* # Scor SA 1,501,322 3,076,327
* SDR de Bretagne SA 3,305 124,747
# SEB SA Prime Fidelite 2002 10,950 1,124,798
# Sechilienne-Sidec 2,200 868,399
Securidev SA 1,500 23,965
Signaux Girod SA 600 53,200
# SILIC (Societe Immobiliere de Location pour L'industrie et le Commerce) 21,246 1,957,454
Skis Rossignol SA 41,668 970,865
Smoby SA 500 52,053
Societe du Louvre SA 14,513 2,106,951
Societe Industrielle D'Aviations Latecoere SA 11,038 488,403
Societe Pour L'Informatique Industrielle SA 2,250 111,671
Solving International SA 2,160 12,870
Somfy Interational SA 22,900 4,634,894
Sopra SA 7,618 397,996
# SR Teleperformance 90,928 2,678,600
Stallergenes Temp Trading Line SA 4,818 557,902
Ste Virbac SA 11,439 422,694
Stef-Tfe SA 2,171 291,109
Sucriere de Pithiviers-le-Vieil 1,825 1,201,002
* Sylis SA 9,782 62,217
Synergie SA 8,000 240,011
Taittinger SA 12,700 4,861,886
* Teamlog SA 6,457 21,904
Tessi SA 1,700 102,852
Touax (Touage Investissement SA) 10,378 263,104
Toupargel-Agrigel SA 6,200 248,162
Trigano SA 16,286 1,499,273
* # Ubi Soft Entertainment SA 29,740 1,333,183
Unilog SA 20,794 1,366,561
# Vallourec (Usines a Tubes de Lorraine Escaut et Vallourec Reunies) 31,700 7,340,336
* Valtech, La Defense 187,303 198,156
Viel et Compagnie 44,339 182,381
Vilmorin et Cie SA 2,349 423,613
VM Materiaux SA 600 80,963
Vranken Monopole 2,800 124,215
* XRT 67,181 100,634
Zodiac SA 14,964 727,285
----------------
TOTAL COMMON STOCKS
(Cost $68,844,497) 116,970,796
----------------
RIGHTS/WARRANTS -- (0.0%)
* Air France Warrants 11/06/07 24,800 11,292
* Ales Groupe SA Warrants 03/23/09 316 2,994
* Ginger (Groupe Ingenierie Europe) Warrants 09/30/05 2,600 304
* Groupe Focal SA Warrants 02/21/10 466 0
* Groupe Open SA Warrants 10/21/06 1,000 898
* Oeneo Warrants 08/26/06 14,365 530
* Penauille Polyservices SA Rights 06/09 10,200 36,482
* Prosodie SA Warrants 10/28/06 900 332
* Ubi Soft Entertainment SA Warrants 05/14/06 4,100 3,027
4
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* Valtech, La Defense Warrants 07/29/05 20,000 246
----------------
TOTAL RIGHTS/WARRANTS
(Cost $63,013) 56,105
----------------
TOTAL -- FRANCE
(Cost $68,907,510) 117,026,901
----------------
SWITZERLAND -- (11.4%)
COMMON STOCKS -- (11.3%)
* 4M Technologies Holding SA 3,751 15,020
A. Hiestad Holding AG 1,005 803,245
* Actelion, Ltd. 19,108 1,936,374
AFG Arbonia-Forster Holding AG 2,702 736,873
Agie Charmilles Holding AG 3,402 273,736
Allreal Holding AG 10,278 919,648
Also Holding AG 569 173,438
Amazys Holding AG 4,091 230,505
Ascom Holding AG 55,915 861,765
Bachem AG 15,313 881,690
Baloise-Holding 98,089 5,121,833
Bank Coop AG 29,405 1,355,242
Bank Sarasin & Cie Series B, Basel 752 1,265,527
Banque Cantonale de Geneve 1,344 198,184
Banque Cantonale du Jura 450 128,764
Banque Cantonale Vaudoise 2,355 520,120
Banque Privee Edmond de Rothschild SA, Geneve 120 1,524,335
* Barry Callebaut AG 6,346 1,682,657
Basellandschaftliche Kantonalbank 600 473,982
Basler Kantonalbank 5,250 439,585
Batigroup Holding AG 11,298 152,092
Belimo Holdings 1,056 625,719
* Berna Biotech 92,109 674,161
Berner Kantonalbank 7,061 1,041,262
BHB Beteiligungs und Finanzgesellschaft 150 5,276
Bobst Group SA 21,540 849,401
Bossard Holding AG 6,699 396,686
* Bucher Industries AG 16,775 1,068,215
BVZ (Brig Visp Zermatt) Holding AG 370 80,019
Caisse d'Epargne Cantonale Vaudoise, Lausanne 1,002 892,349
Calida Holding AG 396 123,016
* Card Guard AG 15,187 52,375
Carlo Gavazzi Holding AG 910 80,180
Charles Voegele Holding AG 22,160 1,379,368
Cie Financiere Tradition 5,202 466,063
Conzzeta Holdings AG 1,415 1,585,015
* COS Computer Systems AG 3,712 112,449
* Crealogix Holding AG 491 27,390
* Crossair AG, Basel 13,517 96,353
Daetwyler Holding AG, Atldorf 348 838,077
Edipresse SA, Lausanne 750 375,913
EGL (Elektrizitaets-Gesellschaft Laufenberg) AG, Laufenberg 3,207 2,104,880
Eichhof Holding AG 188 192,678
5
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* ELMA Electronic AG 472 96,443
* Emmi AG 1,670 153,038
Ems-Chemie Holding AG 16,276 1,413,347
Energie Electrique du Simplon SA 350 84,104
Energiedienst Holding AG 8,265 2,681,187
Escor Casino & Entertainment AG 2,010 47,475
Feintol International Holding AG 896 190,331
* Fischer (Georg) AG, Schaffhausen 8,458 2,507,314
* Flughafen Zuerich AG 4,463 625,408
* Forbo Holding AG, Eglisau 1,100 209,685
Fuchs Petrolub AG Oel & Chemie Non-Voting 6,003 588,784
Galenica Holding, Ltd. AG, Bern 12,488 2,056,241
Generale d'Affichage 4,059 585,439
Generali (Switzerland) Holdings, Adliswil 2,043 516,025
* Getaz Romang Holding SA 828 292,121
* Golay-Buchel Holding SA, Lausanne 40 38,255
Gornergrat Monte Rasa-Bahnen Zermatt 70 56,070
Gurit-Heberlein AG 1,125 784,234
Helvetia Patria Holding 6,131 918,087
Industrieholding Cham AG, Cham 950 228,323
* Interroll-Holding SA 970 144,529
* Isotis SA 195,512 274,311
Jelmoli Holding AG 1,521 2,065,858
Jelmoli Holding AG, Zuerich (Namen) 2,835 764,871
Kaba Holding AG 5,543 1,489,630
* Kardex AG, Zuerich 12,205 410,881
* Komax Holding AG 5,285 404,112
Kudelski SA 77,568 2,730,391
* Kuoni Reisen Holding AG 6,937 2,751,468
* Leica Geosystems Holdings AG 5,448 1,625,478
* Lem Holdings AG, Lyss 578 203,763
* Logitech International SA 22,086 1,315,243
Luzerner Kantonalbank AG 5,601 1,076,506
* Metraux Services SA 501 63,387
* Micronas Semi 78,808 2,952,423
* Mikron Holding AG, Biel 23,835 276,342
* Mobilezone Holding AG 38,456 153,253
* Moevenpick-Holding, Zuerich 1,320 307,478
* Nextrom Holding SA 1,409 15,497
Orell Fussli Graphische Betriebe Ag, Zuerich 3,841 458,370
OZ Holding AG 7,479 440,025
* Parco Industriale e Immobiliare SA 600 1,682
Phoenix Mecano AG, Stein am Rhein 2,749 674,150
Phonak Holding AG 119,848 4,394,238
* PSP Swiss Property AG 83,303 3,675,148
Publicitas Holding SA, Lausanne 2,762 805,008
Rieters Holdings AG 11,206 3,037,018
SAIA-Burgess Electronics AG 1,191 663,186
* Sarna Kunststoff Holding AG 4,991 505,367
* Saurer AG 36,702 2,090,847
Schaffner Holding AG 1,584 201,249
* Schweiter Technology AG 1,877 319,978
Schweizerhall Holding AG 5,725 435,954
Schweizerische National Versicherungs Gesellschaft 1,526 769,118
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* SEZ Holding AG 34,429 854,434
SIA Abrasives Holding AG 1,865 444,582
Siegfried Holding AG 8,560 1,022,196
Sig Holding AG 14,026 2,982,211
* Sihl 150 360
* Sika Finanz AG, Baar 4,967 3,120,035
Sopracenerina 2,409 531,242
St. Galler Kantonalbank 4,870 1,239,981
Sulzer AG, Winterthur 1,832 761,887
* Swiss Prime Site AG 29,315 1,403,142
* Swissfirst AG 614 24,590
* Swissfirst AG 5,049 202,300
* Swisslog Holding AG 337,083 302,163
* Swissquote Group Holding SA 1,354 109,550
Tamedia AG 5,300 482,923
Tecan Group AG 29,876 853,266
* Temenos Group AG 35,359 197,565
* # Tornos Holding SA 32,553 221,463
* UMS Schweizerische Metallwerke Holding AG, Bern 14,055 148,561
# Unaxis Holding AG 26,214 3,678,214
Unilabs SA 21,665 641,066
* Valiant Holding AG 38,011 3,348,538
* Valora Holding AG 7,856 1,723,827
Vaudoise Assurances Holding, Lausanne 67 123,783
Villars Holding SA, Fribourg 150 48,060
* Von Roll Holding AG, Gerlafingen 247,719 436,869
Vontobel Holdings AG 58,345 1,261,393
Walliser Kantonalbank 1,120 358,999
* Wmh Walter Meier Holding AG, Zuerich 4,041 238,945
Zehnder Holding AG 655 793,800
Zschokke Holding SA, Geneve 481 257,405
* Zueblin Holding AG 36,765 312,269
Zuger Kantonalbank 590 1,540,877
----------------
TOTAL COMMON STOCKS
(Cost $91,041,286) 113,996,626
----------------
PREFERRED STOCKS -- (0.1%)
Fuchs Petrolub AG Oel & Chemie 6,003 556,142
----------------
(Cost $266,229)
INVESTMENT IN CURRENCY -- (0.0%)
* Swiss Francs 524,235
----------------
(Cost $530,393)
TOTAL -- SWITZERLAND
(Cost $91,837,908) 115,077,003
----------------
GERMANY -- (9.6%)
COMMON STOCKS -- (9.6%)
* 3U Telecom AG 69,676 94,263
A.S. Creation Tapeton AG 2,900 93,155
* AAP Implantate AG 14,384 29,838
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Aareal Bank AG 46,391 1,346,607
* Acg AG Fuer Chipkarten und Informationssysteme 16,940 11,888
Ackermann-Goeggingen AG 8,100 165,185
* AC-Service AG 4,300 28,069
* Adlink Internet Media AG 42,605 182,393
* Adva AG Optical Networking 39,883 211,485
* Agrob AG 5,800 52,696
* # Aixtron AG 74,124 241,167
Amadeus Fire AG 4,900 36,423
Andreae-Noris Zahn AG, Anzag 27,200 1,170,606
* Articon Integralis AG 14,031 51,883
Atoss Software AG 3,700 40,898
* Augusta Technologie AG 1,174 8,096
Ava Allgemeine Handelsgesellschaft der Verbraucher AG 35,814 2,027,959
* AWD Holding AG 52,932 2,085,776
* Baader Wertpapier Handelsbank AG 27,351 150,998
Balda AG 40,277 393,562
* Basler AG 3,200 55,996
# Beate Uhse AG 56,241 537,938
# Bechtle AG 25,498 618,771
* Berliner Elektro Holding AG 20,841 212,909
Bertrandt AG 9,850 114,515
* Beta Systems Software AG 2,850 48,055
Bien-Haus AG 2,400 24,580
Bilfinger & Berger Bau AG 50,828 2,412,883
* Biolitec AG 8,000 27,322
Biotest AG 7,933 178,425
* BKN International AG 17,600 126,816
* BMP AG 10,600 24,865
* Boewe Systec AG 7,866 419,480
* Borussia Dortmund GMBH & Co. KGAA 21,650 64,557
Bremer Energiekonto AG 14,700 28,067
* Broadnet Mediascape Communications AG 20,624 66,015
* CBB Holding AG 102,602 23,989
* Ce Consumer Electrnic AG 21,600 23,047
* Ceag AG 20,670 141,300
* Cenit AG Systemhaus 3,500 78,422
* Centrotec Hochleistungskunststoffe AG 7,500 199,486
Cewe Color Holding AG 7,987 292,415
* CNV Vermoegensverwaltungs AG 6,625 88,261
Comdirect Bank AG 120,666 936,602
* Computec Media AG 4,650 39,194
Computerlinks AG 5,700 108,966
* Condomi AG 1,800 2,040
* CTS Eventim AG 14,800 553,598
Curanum AG 21,500 107,200
* D. Logistics AG 37,750 79,799
# DAB Bank AG 70,271 500,731
Data Modul AG 3,194 54,210
* DEAG Deutsche Entertainment AG 10,500 28,252
Deutsche Euroshop AG 20,091 1,056,044
* Deutsche Steinzeug Cremer & Breuer AG 87,200 52,539
* Deutz AG 101,512 466,704
* Dierig Holding AG 10,500 147,298
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Dis Deutscher Industrie Service AG 18,524 792,658
Douglas Holding AG 71,252 2,418,245
Dr. Hoenle AG 8,769 98,137
* # Drillisch AG 38,437 177,040
* Duerr Beteiligungs AG 17,593 301,214
DVB Bank AG 7,124 965,526
* Easy Software AG 8,966 42,112
* Eckert and Ziegler Strahlen -- und Medizintechnik AG 3,000 39,809
* Elexis AG 8,600 126,832
Elmos Semiconductor AG 23,218 370,970
ElreingKlinger AG 3,000 221,514
* # Em.TV AG 18,773 117,935
* Emprise Management Consulting AG 8,950 17,552
* EMS New Media AG 18,126 35,897
* Epcos AG 59,882 766,599
Erlus Baustoffwerke AG 297 136,182
* Escada AG 20,520 475,636
* Euwax AG 536 17,686
* Evotec Biosystems AG 67,521 232,174
Feilmann AG 29,181 1,919,633
FJA AG 9,889 35,104
Fortec Elektronik AG 1,400 52,891
* Freenet.De AG 50,400 1,273,453
Fuchs Petrolub AG Oel & Chemie 6,693 637,404
* Gerry Weber International AG 10,945 134,122
* Gesco AG 3,875 116,963
GFK AG 45,483 1,677,196
* GFT Technologies AG 22,600 51,111
* Girindus AG 12,227 91,259
* GPC Biotech AG 39,562 452,358
Grenkeleasing AG 15,958 636,008
* Grundstuecks & Baugesellschaft AG 3,567 124,877
Gwag Bayerische Wohnungs--Aktiengesellschaft AG 3,383 187,542
Hamborner AG 21,000 710,742
Hawesko Holdings AG 5,291 213,168
* Herlitz AG 6,962 39,479
Hochtief AG 34,000 1,155,340
* Hoeft & Wessel AG 8,386 52,741
Hucke AG 8,300 31,588
Hugo Boss AG 25,100 749,861
* Hutschenreuther AG 2,800 37,901
Hyrican Informations Systeme AG 3,107 38,026
* I-D Media AG 9,700 20,870
* IFA Hotel & Touristik AG 7,000 68,569
* IM International Media AG 19,800 19,801
* InfoGenie Europe AG 14,059 45,321
* Innovation in Traffic Systems AG 12,300 65,049
Interseroh AG 11,845 339,061
* # Intershop Deutschland AG 45,158 47,818
* Intertainment AG 8,500 20,171
* Isra Vision Systems AG 3,650 79,590
* itelligence AG 18,143 40,047
* IVG Immobilien AG 143,237 2,602,157
Iwka AG 44,442 1,053,813
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* Jack White Productiions AG 8,424 94,651
* Jenoptik AG 101,045 1,087,166
K & S Aktiengesellschaft AG 129,500 6,914,946
Kampa-Haus AG 10,375 72,819
Keramag Keramische Werke AG 13,000 927,840
* # Kloeckner-Werke AG 53,211 849,661
* Kontron AG 92,611 737,937
Krones AG 10,180 1,093,490
KSB AG 2,387 381,525
KWS Kleinwanzlebener Saatzucht AG 1,650 1,410,638
* Leica Camera AG 4,400 13,776
* Leifheit AG 12,500 339,613
Leoni AG 37,500 2,893,666
* Loewe AG 7,100 81,595
LPKF Laser & Electronics AG 9,000 49,003
* Mania Technologie AG 12,670 20,230
Masterflex AG 4,400 147,925
* Maxdata AG 32,897 152,840
* Mediclin AG 38,553 90,392
* Medigene AG 20,165 261,830
# Medion AG 45,454 702,923
* Mensch und Maschine Software AG 10,700 49,986
# Mobilcom AG 106,387 2,330,841
* Mologen AG 7,239 39,077
* Morphosys AG 6,656 268,767
* Mosaic Software AG 5,200 6,968
Muehlabauer Holdings AG & Co. KGAA 7,423 345,457
MVV Energie AG 59,215 1,180,227
* MWG Biotech AG 30,700 15,031
Nemetschek AG 8,499 140,644
* Neschen AG 5,800 20,809
* Nexus AG 21,275 85,033
Norddeutsche Affinerie AG 51,075 1,033,110
Norddeutsche Steingutfabrik AG 5,960 50,660
* November AG 9,018 55,029
Ohb Teledata 16,598 150,202
Oldenburgische Landesbank AG 1,102 80,495
* Pandatel AG 5,700 7,985
Paragon AG 22,134 432,198
* Parsytec AG 14,700 50,706
* PC-Spezialist Franchise AG 2,462 22,488
PC-Ware Information Technologies AG 5,100 63,796
* Personal & Informatik AG 5,900 70,036
Pfeiffer Vacuum Technology AG 16,633 793,099
* Pfleiderer AG 51,351 808,703
* Pironet NDH AG 10,964 58,889
* Plambeck Neue Energien AG 19,350 16,849
* Plasmaselect AG 21,396 120,965
* Plenum AG 9,300 13,423
* Primacom AG 29,925 127,188
* Produkte und Syteme der Informationstechnologie AG 14,792 70,438
Progress-Werk Oberkirch AG 5,000 203,042
* Pulsion Medical Systems AG 11,078 66,200
* PVATepla AG 15,550 113,585
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* # Qs Communications AG 124,164 562,480
Rational AG 15,083 1,655,169
* Realtech AG 3,650 30,278
Renk AG 19,400 650,977
REpower Systems AG 5,000 92,326
Rheinmetall Berlin AG 45,000 2,282,926
Rhoen Klinikum AG 24,107 1,590,263
* Rinol AG 5,900 10,115
* Rohwedder AG 4,860 45,769
* Ruecker AG 7,800 58,070
* S.A.G. Solarstrom AG 11,440 90,987
Salzgitter AG 95,909 2,243,998
Sartorius AG 16,918 354,433
Schlott Sebaldus AG 7,440 247,852
Schwarz Pharma AG 30,101 1,318,636
Sektkellerei Schloss Wachenheim AG 15,120 196,826
* Senator Entertainment AG 980 1,712
* # SGL Carbon AG 57,758 680,376
* SHS Informationssysteme AG 9,737 44,286
* Silicon Sensor International AG 2,122 27,932
* # Singulus Technologies AG 46,050 556,280
Sinner AG, Karlsruhe 4,160 49,144
* SinnerSchrader AG 8,412 15,614
Sixt AG 19,433 384,066
* Sm Wirtschaftsberatungs AG 3,350 21,072
Software AG 39,230 1,500,688
Stada Arzneimittel AG 84,036 2,591,605
Stahl (R.) AG 6,300 107,683
* Steag Hamtech AG 35,473 71,601
* Stoehr & Co. AG 16,000 68,911
* Strabag AG 4,840 296,152
Stratec Biomedical Systems AG 3,200 90,558
Stuttgarter Hofbraeu AG 18,000 615,771
Sued-Chemie AG 29,146 1,230,825
* Suess Microtec AG 17,785 100,354
Syskoplan AG 3,300 24,881
* Syzygy AG 18,000 108,335
Takkt AG 87,707 808,661
* TDS Informationstechnologie AG 10,411 30,696
* Techem AG 29,076 1,189,783
Technotrans AG 9,778 184,915
* Telegate AG 20,500 361,927
* Teles AG Informationstechnologien 26,657 319,099
* Textilgruppe Hof AG 12,170 101,145
* TFG Venture Capital AG & Co. KGAA 16,727 48,929
* Tomorrow Focus AG 42,650 110,641
* TTL Information Technology AG 6,400 23,086
* TV Loonland AG 7,000 16,178
* Umweltbank AG 7,227 87,230
United Internet AG 85,759 2,220,925
* Utimaco Safeware AG 12,200 91,092
* Value Management & Research AG 14,150 60,620
* Varetis AG 3,439 29,573
* VBH (Vereinigter Baubeschlag-Handel) AG 9,415 34,331
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* Vereinigte Deutsche Nickel-Werke AG 12,150 6,130
* Vivacon AG 6,559 113,317
Vossloh AG 21,469 1,019,784
* W.O.M. World of Medicine AG 11,983 45,962
Wanderer-Werke AG 7,903 295,643
* WaveLight Laser Technologies AG 1,159 20,488
* WCM Beteiligungs AG 440,394 238,288
Westag and Getalit AG, Rheda-Wiedenbrueck 7,000 82,693
Wuerttembergische Lebensversicherung AG 11,330 243,045
* Wuerttembergische Metallwarenfabrik AG 30,330 530,106
Wuerzburger Hofbraeu AG 133 70,048
* Zapf Creation AG 7,500 95,785
----------------
TOTAL -- GERMANY
(Cost $69,430,081) 96,254,453
----------------
ITALY -- (6.6%)
COMMON STOCKS -- (6.6%)
Acea SpA 163,000 1,839,125
Acegas SpA 36,106 424,419
* Actelios SpA 25,801 206,687
Aedes SpA (Sta Ligure Lombarda per Imprese & Costruzioni) 122,707 824,146
# Aem Torino SpA 507,240 1,246,218
Aeroporto de Firenze SpA 6,000 84,203
* Alitalia Linee Aeree Italiane SpA Series A 3,706,002 1,178,154
Amplifon SpA 18,242 1,171,521
Astaldi SpA 77,523 499,097
Azienda Mediterranea Gas e Acqua SpA 360,014 696,596
Banca Ifis SpA 19,351 223,454
Banca Intermobiliare di Investimenti e Gestoni SpA 132,998 1,071,671
# Banca Popolare Dell'etruria e Del Lazio Scrl 36,408 528,401
Banca Profilo SpA 114,243 270,574
Banco di Desio e della Brianza SpA 109,105 885,710
# Banco Piccolo Valellinese Scarl SpA 86,233 1,303,292
* Beghelli SpA 142,000 108,239
Benetton Group SpA 8,444 76,625
Beni Stabili SpA, Roma 1,309,500 1,257,595
Biesse SpA 17,100 78,746
Bonifica dei Terreni Ferraresi e per Imprese Agricole Roma 9,675 290,516
Bremba SpA 74,782 559,016
Buzzi Unicem SpA 94,100 1,354,019
# Caltagirone Editore SpA 132,868 1,186,475
Caltagirone SpA 178,399 1,400,137
CAMFIN (Cam Finanziaria) 36,527 98,509
Carraro SpA 34,400 169,464
Cementir Cementerie del Tirreno SpA 249,704 1,242,667
Centrale del Latte di Torino & Co. SpA 4,182 23,029
CIR SpA (Cie Industriale Riunite), Torino 591,100 1,633,689
* Cirio Finanziaria SpA 175,000 37,470
# Class Editore SpA 83,868 175,775
* # CMI SpA 90,302 391,941
* Coats Cucirini SpA 30,000 36,323
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* Compagnia Immobiliare Azionaria 44,000 10,556
Credito Artigiano SpA 114,446 474,490
# Credito Bergamasco SpA 6,102 180,345
# Cremonini SpA 135,428 409,282
* CSP International Industria Calze SpA 10,000 13,747
# Danieli & C.Officine Meccaniche SpA 66,500 408,252
Davide Campari - Milano SpA 275,990 1,970,907
# De Longhi SpA 139,386 513,875
* Ducati Motor Holding SpA 129,900 159,838
Emak SpA 27,000 149,986
Erg SpA 173,330 2,685,619
Ergo Previdenza SpA 95,165 616,037
Esprinet SpA 37,000 237,122
* Fiera Milano SpA 3,484 40,740
* Finarte Casa d'Aste SpA (Milano) 56,266 68,388
* Finarte Partecipazioni Pro Arte SpA 242,693 24,400
* # Finmatica SpA 35,900 100,679
Gabetti Holding SpA 55,000 257,891
Gefran SpA 11,000 64,303
# Gemina SpA 331,283 565,095
Gewiss SpA 221,700 1,342,304
* Giovanni Crespi SpA 49,200 51,580
Granitifiandre SpA 33,237 290,208
Gruppo Ceramiche Ricchetti SpA 41,000 82,369
I Grandi Viaggi SpA 28,100 34,281
* Immobiliare Lombardia SpA 425,000 117,614
Immsi SpA 373,100 715,854
Impregilo SpA 59,230 474,123
# Industria Macchine Automatique SpA 33,671 443,670
Industria Romagnola Conduttori Elettrici SpA 17,500 64,183
# Industrie Zignago S. Margherita SpA 52,000 1,220,071
* Intek SpA 163,776 142,777
* Interpump Group SpA 75,402 463,187
* ITALJOLLY (Cia Italiana dei Jolly Hotels SpA) 34,500 367,902
Italmobiliare SpA, Milano 20,975 1,302,974
* Juventus Footbal Club SpA 98,000 165,725
La Doria SpA 22,000 65,711
* Lavorwash SpA 10,000 29,470
Linificio and Canapificio Nazionale SpA 28,995 101,039
Maffei SpA 52,500 112,043
Manifattura Lane Gaetano Marzotto & Figli SpA 138,000 3,034,347
Mariella Burani Fashion Group SpA 26,077 324,434
* Meliorbanca SpA 90,667 345,891
# Merloni Elettrodomestici SpA 155,000 1,929,873
Milano Assicurazioni SpA 266,700 1,516,175
Mirato SpA 12,000 99,794
* Modena Energia Territorio Ambiente SpA 140,840 495,699
Monrif SpA 150,000 245,154
* Montefibre SpA 143,130 53,616
Navigazione Montanari SpA 110,917 378,964
* Negri Bossi SpA 13,700 35,704
* NGP SpA 17,891 7,706
* Olidata SpA 20,000 23,066
* Opengate Group SpA 4,000 9,401
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* Pagnossin SpA 9,000 6,771
* Partecipazioni Italiane SpA 41,062 14,350
Permasteelisa SpA 24,470 379,235
Pininfarina SpA 31,285 881,754
Pirelli & C.Real Estate SpA 9,600 507,778
Poligrafici Editoriale SpA 132,000 337,831
Premafin Finanziaria SpA Holding di Partecipazioni, Roma 342,051 662,275
Premuda SpA 115,214 217,985
* Ratti SpA 31,768 24,575
Recordati SpA 234,576 1,600,621
* Reno de Medici SpA, Milano 332,210 304,384
* Richard-Ginori 1735 SpA 140,800 87,311
* Risanamento Napoli SpA 304,043 1,097,753
Sabaf SpA 9,200 194,024
SAES Getters SpA 14,750 276,427
* Schiapparelli 1824 SpA, Milano 831,000 48,504
* Seat Pagine Gialle SpA, Torino 1,927,737 911,800
* Sirti SpA 29,967 69,547
SISA (Societa Imballaggi Speciali Asti SpA) 65,000 200,403
* SNIA SpA 227,590 79,072
* Societa Partecipazioni Finanziarie SpA 54,060 32,899
# Societe Cattolica di Assicurazoni Scarl SpA 27,170 1,188,553
Socotherm SpA 29,770 304,648
Sogefi SpA 182,500 884,757
Sol SpA 81,830 498,388
* Sorin SpA 341,385 1,021,912
* STA Metallurgica Italiana SpA 282,640 226,461
Stefanel SpA 54,400 267,684
Targetti Sankey SpA 14,500 95,110
* Tecnodiffusione Italia SpA 3,332 8,200
Terme Demaniali di Acqui SpA 532,000 773,101
* # Tiscali SpA 296,735 885,601
# Tod's Group SpA 30,476 1,528,424
Trevi-Finanziaria Industriale SpA 52,400 116,165
* Vemer Siber Group SpA 46,000 21,212
* Viaggi del Ventaglio SpA 58,380 82,736
Vianini Industria SpA 52,520 176,323
Vianini Lavori SpA 180,752 1,546,507
Vittoria Assicurazioni SpA 51,500 506,458
* Zucchi (Vincenzo) SpA 144,350 615,433
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TOTAL -- ITALY
(Cost $41,549,484) 66,294,936
----------------
SWEDEN -- (6.2%)
COMMON STOCKS -- (6.1%)
* # Active Biotech AB 38,600 197,182
Addtech AB Series B 22,300 194,682
Alfa Laval AB 18,600 280,314
* Alfaskop AB 3,200 344
Angpannefoereningen AB Series B 10,800 201,964
* Anoto Group AB 134,833 208,800
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Aros Quality Group AB 5,500 78,187
* Artimplant AB Series B 46,000 28,254
# Axfood AB 73,400 1,825,983
Axis AB 76,994 289,717
B & N Bylock & Nordsjoefrakt AB Series B 83,600 284,469
Ballingslov International AB 13,000 231,897
Beiger Electronics AB 11,700 133,193
Beijer AB Series B 11,700 198,428
Beijer Alma AB Series B 10,400 178,115
Bergman & Beving AB Series B 36,200 406,830
Biacore International AB 11,150 257,992
Bilia AB Series A 116,725 1,978,130
Billerud AB 58,700 709,332
* BioGaia AB Series B 7,000 12,439
* Boliden AB 203,900 834,173
* Bong Ljungdahl AB 9,000 58,926
* Boras Waefveri AB Series B 8,600 29,691
* Boss Media AB 73,700 262,403
* Capio AB 121,900 1,921,015
Capona AB 25,400 317,499
Carbo AB 37,100 904,084
Castellum AB 60,900 2,348,094
Cloetta AB Series B 22,250 657,862
Concordia Maritime AB Series B 37,300 163,550
* Consilium AB Series B 5,246 21,642
D. Carnegie & Co. AB 88,200 905,984
* Doro AB Series A 400 1,899
* Duroc AB Series B 2,700 6,855
* Elekta AB 37,000 1,397,022
Elverket Vallentuna AB 8,050 56,877
* Enea Data AB Series B 505,000 322,868
Eniro AB 154,000 1,753,251
Expanda AB 6,547 33,762
Fabege AB 164,145 3,312,075
Fagerhult AB 14,100 222,613
* # Framtidsfabriken AB 966,000 85,351
* Frontec AB Series B 50,800 60,180
Getinge AB 176,604 2,565,060
Geveko AB Series B 8,300 195,350
* Glocalnet AB 187,500 101,111
Gunnebo AB 50,000 644,345
Haldex AB 39,000 690,217
Heba Fastighets AB Series B 13,500 227,854
Hexagon AB 10,716 198,817
Hiq International AB 47,889 201,942
HL Display AB Series B 6,000 100,705
Hoganas AB Series B 38,200 1,007,105
* IBS AB Series B 95,200 251,909
* # Industrial & Financial Systems AB Series B 118,600 110,560
* Industrifoervaltnings AB Skandigen 63,975 213,649
* Intentia International AB Series B 171,420 334,820
* # Intrum Justitia AB 115,700 791,652
# Invik and Co. AB Series B 155,400 1,268,329
* JM AB 13,800 472,870
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Karlshamns AB 23,800 400,775
* Klippans Finpappersbruk AB 5,800 6,297
Klovern AB 189,976 638,413
Kungsleden AB 73,100 1,814,130
Lagercrantz Group AB Series B 31,800 79,745
* LB Icon AB 14,530 82,096
# Lennart Wallenstam Byggnads AB Class B 83,500 1,107,817
Lindex AB 16,100 716,067
Ljungberg Gruppen AB Series B 3,800 108,540
* Lundin Mining Corp. 4,323 36,580
* Lundin Petroleum AB 322,400 2,328,776
* Mandator AB 220,520 41,599
Meda AB Series A 67,125 627,131
* Medivir Series B 10,650 71,509
* Micronic Laser Systems AB 50,800 525,585
* Modern Times Group AB Series B 48,700 1,501,964
Naerkes Elektriska AB Series B 4,250 70,716
NCC AB Series B 118,100 1,732,913
Nefab AB Series B 5,100 133,310
* Net Insight AB Series B 369,000 80,067
New Wave Group AB 20,800 353,607
Nibe Industrier AB 23,500 632,410
# Nobia AB 77,600 1,240,548
Nolato AB Series B 42,840 293,752
Observer AB 137,856 556,694
OEM International AB Series B 7,100 119,093
* OMHEX AB 129,100 1,557,789
Orc Software AB 16,500 132,946
* Ortivus AB 11,507 43,855
Partnertech AB 12,300 132,163
PEAB AB Series B 105,200 1,096,322
* Pergo AB 43,300 153,210
Poolia AB Series B 18,150 83,919
Prevas AB Series B 16,000 36,565
* Pricer AB Series B 641,500 82,211
* Proact It Group AB 15,000 35,349
* Proffice AB 72,800 109,859
Profilgruppen AB 4,000 35,025
Protect Data AB 13,500 213,646
* PyroSequencing AB 51,940 71,884
# Q-Med AB 34,000 890,814
* Readsoft AB Series B 24,800 87,430
Rottneros Bruk AB 366,600 343,185
Salus Ansvar AB Series B 12,900 49,895
Sardus AB 11,200 141,536
* Scribona AB Series A 40,100 78,277
* Scribona AB Series B 56,300 110,128
* Semcon AB 18,300 110,874
* # Sigma AB Series B 25,800 36,443
* Sintercast AB 5,600 44,821
Skistar AB 23,300 409,931
SSAB Swedish Steel Series A 60,300 1,465,891
SSAB Swedish Steel Series B 17,100 401,624
* Studsvik AB 4,400 80,389
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Sweco AB Series B 23,450 405,785
* # Switchcore AB 185,784 38,637
* Teleca AB Series B 73,000 376,340
* Telelogic AB 352,200 795,743
* Teligent AB 26,200 82,493
* Ticket Travel Group AB 15,152 28,402
Trelleborg AB Series B 75,400 1,171,382
# TV 4 AB Series A 22,200 429,772
Uniflex AB Series B 3,630 21,845
VBG AB Series B 271 4,880
* Wedins Skor & Accessoarer AB 8,900 54,075
Westergyllen AB Series B 8,600 60,758
* # Wihlborgs Fastigheter AB 32,829 772,089
Wilh. Sonesson AB Series A 4,160 16,269
Wilh. Sonesson AB Series B 4,160 15,353
WM-Data AB Series B 460,600 1,199,803
Xponcard Group AB 2,800 64,066
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TOTAL COMMON STOCKS
(Cost $37,572,660) 61,624,030
----------------
INVESTMENT IN CURRENCY -- (0.1%)
* Swedish Krona 381,234
----------------
(Cost $387,038)
TOTAL -- SWEDEN
(Cost $37,959,698) 62,005,264
----------------
NETHERLANDS -- (6.0%)
COMMON STOCKS -- (6.0%)
Aalberts Industries NV 45,516 2,003,643
Accell Group NV 15,651 341,670
AFC Ajax NV 10,787 124,743
Airspray NV 3,800 91,652
AM NV 143,311 1,500,209
Arcadis NV 20,638 464,827
* # ASM International NV 92,464 1,349,580
* Atag Group NV 4,630 1,652
Athlon Groep NV 34,250 845,537
Batenburg Beheer NV 3,000 137,472
* Begemann Groep NV 11,909 35,611
* Begemann Groep NV Series B 13,451 3,310
Beter Bed Holding NV 14,334 424,515
Boskalis Westminster NV 65,442 2,375,638
Brunel International NV 49,126 612,435
Buhrmann NV 245,259 2,247,655
* # Crucell NV 88,757 1,729,993
* Draka Holding NV 26,175 348,551
* Econosto NV 32,113 120,466
Eriks Group NV 22,542 848,136
Exact Holding NV 51,660 1,582,600
Fornix Biosciences NV 8,767 208,299
* Fox Kids Europe NV 71,715 1,181,894
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Gamma Holding NV 15,705 658,950
Gemeenschappeljk Bezit Crown van Gelder NV 12,000 270,485
Getronics NV 1,156,748 1,891,759
Grolsche NV 32,100 932,742
Grontmij NV 7,109 450,625
* # Hagemeyer NV 1,095,089 2,601,670
Heijmans NV 60,267 2,574,421
* Hitt NV 3,804 23,451
ICT Automatisering NV 5,800 92,778
Imtech NV 49,620 1,635,412
Kas Bank NV 42,888 826,206
* Kendrion NV 241,262 433,030
Koninklijke Bam NV 40,018 2,525,120
Koninklijke Frans Maas Groep NV 12,349 418,176
Koninklijke Nedlloyd NV 33,528 2,300,772
Koninklijke Ten Cate NV 13,515 1,137,273
Koninklijke Vopak NV 51,376 1,175,994
* # Laurus NV 92,984 315,257
MacIntosh NV 15,590 656,191
* Maverix Capital NV 1,500 70,142
Nederlandsche Apparatenfabriek 14,000 466,593
NH Hoteles SA 21,703 260,925
Nutreco Holding NV 50,668 1,631,489
NV Holdingsmij de Telegraaf 46,153 991,461
Oce NV 128,201 1,857,466
Opg Groep NV Series A 28,369 1,811,589
* # Pharming Group NV 163,643 846,419
Reesink NV 2,050 185,614
Roto Smeets de Boer NV 2,640 152,660
Rubber Cultuur Maatschappij Amsterdam NV 40,800 183,070
* Samas-Groep NV 27,117 210,923
* Seagull Holding NV 6,767 26,209
* Semiconductor Industries NV 56,979 286,697
Sligro Food Group NV 28,753 1,239,139
Smit Internationale NV 20,578 959,063
Stern Groep NV 1,236 42,815
Stork NV 69,531 2,761,072
* Textielgroep Twenthe NV 1,000 3,076
* Tulip Computers NV 150,799 31,781
Twentsche Kabel Holding NV 18,244 794,327
United Services Group NV 39,409 1,166,569
Univar NV 47,480 1,430,436
Van Der Mollen Holding NV 57,660 290,700
* # Versatel Telecom International NV 1,041,167 2,499,356
Wegener Arcade NV. 70,830 880,220
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TOTAL COMMON STOCKS
(Cost $43,561,295) 60,580,211
----------------
RIGHTS/WARRANTS -- (0.0%)
* Boskalis Westminster NV Coupons 06/02/05 65,442 0
* Eriks Group NV Coupons 06/01/05 11,271 0
* Nutreco Holding NV Coupons 06/07/05 50,668 0
----------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 0
----------------
TOTAL -- NETHERLANDS
(Cost $43,561,295) 60,580,211
----------------
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FINLAND -- (4.9%)
COMMON STOCKS -- (4.9%)
Alandsbanken AB Series B 7,790 180,520
* Aldata Solutions Oyj 124,635 250,400
Amanda Capital Oyj 25,870 65,121
Amer-Yhtymae Oyj Series A 141,760 2,409,272
Aspo P.L.C. 42,300 374,730
Aspocomp Group P.L.C. 25,476 125,548
Basware Oyj 7,050 75,857
* Benefon Oy 1,900 624
* Biotie Therapies Oyj 39,754 36,821
Capman Oyj Series B 12,485 37,806
Componenta Oyj 11,200 93,634
Comptel Oyj 149,541 298,494
Efore Oy 25,840 59,495
Elcoteq Network Oyj 44,060 864,469
# Elektrobit Group Oyj 138,919 434,472
Elisa Communications Corp. 83,260 1,247,014
* Eq Online Oyj 23,900 60,630
Etteplan Oyj 6,000 43,693
* Evox Rifa Group Oyj 189,210 23,244
Finnair Oyj 118,150 1,007,056
Finnlines Oyj 78,360 1,338,540
Fiskars Oy AB Series A 82,728 955,684
* F-Secure Oyj 156,528 357,811
HK Ruokatalo Oy Series A 44,760 520,963
Honkarakenne Oy Series B 3,030 19,257
Huhtamaki Van Leer Oyj 147,650 2,241,884
Ilkka-Yhtyma Oyj 19,360 211,380
* Incap Oyj 11,000 23,022
J.W. Suominen Yhtyma Oy 17,955 85,458
Jaakko Poyry Group Oyj 16,810 517,622
Julius Tallberg-Kiinteistoet Oy, Helsinki Series B 4,500 58,531
KCI Konecranes International Oyj 29,900 1,221,314
Kemira GrowHow Oyj 25,160 194,922
Kemira Oyj 139,200 1,852,966
Kesko Oyj 32,060 768,428
Laennen Tehtaat Oy 8,670 127,874
Lassila & Tikanoja Oyj 68,276 1,212,352
Lemminkainen Oy 16,600 389,056
Leo Longlife Oy 7,830 43,365
Martela Oy 1,060 10,058
Metsaemarkka Oyj Series B 832 6,814
M-Real Oyj Series B 89,000 480,416
New Kyro Corp. Oyj 91,340 492,149
Nokian Renkaat Oyj 158,900 2,835,395
Nordic Aluminium Oy 1,900 27,570
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* Okmetic Oyj 21,204 59,608
Okobank Class A 101,080 1,612,530
Olvi Oyj Series A 8,020 164,012
Orion-Yhtyma Oyj Series A 41,180 799,553
Orion-Yhtyma Oyj Series B 60,920 1,185,010
Oy Stockmann AB Series B 53,350 1,769,090
Perlos P.L.C. Warrants 04/04/04 76,811 734,688
PK Cables Oyj 19,990 238,053
* Pmj Automec Oyj 45,410 44,100
Pohjola Group P.L.C. Series D 146,205 1,855,760
Ponsse Oyj 12,600 278,781
* Proha Oyj 82,532 47,530
Raisio Group P.L.C. Series V 299,423 803,265
Rakentajain Koneuvokrammo Oy 10,260 86,638
Ramirent Oyj 24,540 402,843
Rapala VMC Oyj 36,040 248,138
Rautaruukki Oyj Series K 188,780 2,659,420
Raute Oy Series A 4,190 51,358
Rocla Oy 2,900 35,659
* Satama Interactive Oyj 70,900 76,834
Saunalahti Group Oyj 141,454 336,212
# Scanfil Oyj 63,879 311,149
Sponda Oyj 109,111 1,030,353
SSH Communications Oyj 44,900 67,483
Stockmann Oyj AB 35,240 1,158,776
* Stonesoft Corp. 49,279 40,632
Sysopen P.L.C. 16,020 87,113
Talentum Oyj 36,600 148,947
* Tecnomen Holding Oyj 112,970 192,381
Teleste Corp. Oyi 21,249 167,345
Tieto-X Oyj 10,200 43,303
Tulikivi Oyj 5,710 43,726
Turkistuottajat Oy 4,290 40,871
Uponor Oyj Series A 129,000 2,392,785
Vacon Oyj 14,537 241,193
Vaisala Oy Series A 21,200 495,114
Viking Line AB 10,560 319,005
Wartsila Corp. Oyj Series B 99,690 2,999,117
Yit-Yhtymae Oyj 67,708 2,186,824
----------------
TOTAL -- FINLAND
(Cost $30,505,512) 49,136,930
----------------
GREECE -- (4.0%)
COMMON STOCKS -- (4.0%)
* A. Cambas Holding & Real Estate S.A. 54,237 137,088
* Aegek S.A. 99,835 63,498
* Agrotiki Insurance S.A. 34,455 111,441
Aktor Technical Co. S.A. 196,380 776,604
Alco Hellas ABEE S.A. 38,730 58,957
* Alfa Alfa Energy S.A. 3,810 6,530
* Alfa-Beta Vassilopoulos S.A. 15,172 225,417
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Alisida S.A. 2,160 4,762
* Allatini Industrial & Commercial Co. 15,370 29,581
Alpha Credit Bank 6,552 180,090
Alte Technological Co. S.A. 85,048 8,335
* Altec Information & Communication Systems S.A. 80,278 36,414
Alumil Milonas S.A. 27,516 80,490
* Aluminum of Attica S.A. 104,982 24,541
Anek Lines S.A. 60,821 79,114
Arcadia Metal Industry C. Rokas S.A. 22,389 217,107
AS Co. S.A. 25,370 20,902
* Aspis Bank S.A. 72,374 227,867
* Aspis Pronia General Insurance S.A. 48,640 35,945
* Astir Palace Vouliagmenis S.A. 58,560 366,614
* Athens Medical Center S.A. 104,974 226,900
Athens Water Supply & Sewage Co. S.A. 53,245 372,957
Atlantic Super Market S.A. 13,776 22,039
Attica Holdings S.A. 156,234 552,713
Attica Publications S.A. 16,674 63,544
Atti-Kat S.A. 88,984 52,367
Autohellas S.A. 44,980 202,533
Babis Vovos S.A. 50,982 864,479
Balafas Construction Holdings S.A. 15,200 3,554
Bank of Attica S.A. 115,721 672,722
Bank of Greece 21,842 2,757,381
Bank of Piraeus S.A. 163,829 2,928,966
Benrubi S.A. 11,121 53,915
Betanet S.A. 11,220 42,447
* Bitros Holdings S.A. 19,302 49,036
Byte Computers S.A. 17,230 32,876
Chipita S.A. 76,902 227,599
* Commercial Bank of Greece 1,960 60,042
* Compucon Computer Applications S.A. 11,260 4,280
Computer Peripherals International S.A. 9,110 6,303
Cyclon Hellas S.A 18,131 11,149
Daios Plastics S.A. 16,350 109,450
Delta Holdings S.A. 33,747 248,637
* Diagnostic & Therapeutic Center of Athens "Hygeia" S.A. 38,330 58,385
Dionic S.A. 12,948 8,568
Domiki Krittis S.A. 17,730 10,438
Dynamic Life S.A. 16,440 10,924
Edrasi Psalllidas Technical Co. S.A. 31,108 27,132
Egnatia Bank S.A. 117,107 388,796
El. D. Mouzakis S.A. 31,653 20,112
Elais Oleaginous Production S.A. 16,707 399,905
* Elbisco Holding S.A. 56,000 378,850
Elektrak S.A. 14,040 36,205
Elektroniki of Athens S.A. 21,560 68,356
* Elephant S.A. 26,310 4,877
Elgeka S.A. 18,590 50,219
Elmec Sport S.A. 64,256 135,925
Elton S.A. 18,640 16,448
* Empedos S.A. 15,974 1,573
ETEM S.A. Light Metals Industry 37,502 67,248
* Ethniki General Insurance Co. S.A. 118,768 495,323
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* Etma Rayon S.A. 11,242 22,657
* Euro Reliance General Insurance 14,830 18,730
Eurodrip S.A. 11,620 24,598
Euromedica S.A. 33,300 70,741
* European Techniki 32,750 9,269
Everest S.A. 30,730 58,967
* Evrofarma S.A. 9,500 13,363
F.G. Europe SA Common Registered Shares 4,536 17,744
* Fanco S.A. 10,110 2,462
* Forthnet S.A. 17,510 102,539
* Fourlis S.A. 64,420 551,373
Frigoglass S.A. 49,990 264,355
G.Polyhronos S.A. 10,580 8,320
Galaxidi Fish S.A. 12,940 7,133
General Commercial & Industry 24,060 21,270
* General Hellenic Bank 35,139 346,209
Germanos S.A. 61,810 1,935,169
* Goody's S.A. 17,740 269,609
Halkor S.A. 121,226 216,104
Hatziioannou S.A. 44,200 39,113
Hellas Can Packaging Manufacturers S.A. 27,902 237,206
* Hellenic Cables S.A. 26,908 28,101
Hellenic Duty Free Shops S.A. 80,020 1,320,417
Hellenic Fabrics S.A. 17,110 40,977
Hellenic Sugar Industry S.A. 35,750 162,874
Hellenic Technodomiki S.A. 224,647 1,171,588
Heracles General Cement Co. 93,293 1,021,289
* Hermes Real Estate S.A. 78,424 357,363
* Hippotour S.A. 12,155 16,156
Hyatt Regency S.A. 130,260 1,497,942
Iaso S.A. 54,510 200,362
Iktinos Hellas S.A. 6,500 10,546
Inform P. Lykos S.A. 20,610 87,960
Informatics S.A. 3,778 1,527
* Intersat S.A. 19,392 8,352
Intertech S.A. 12,236 42,407
Intracom Constructions S.A. 30,520 38,924
Intracom S.A. 199,316 1,023,059
* Ionian Hotel Enterprises S.A. 16,754 196,782
Ipirotiki Software & Publications S.A. 22,110 52,765
* J Boutaris & Son Holding S.A. 28,150 21,393
J&P-Avax S.A. 100,626 470,111
Kalpinis - N. Simos Steel Service Center 12,432 56,301
Karelia Tobacco Co., Inc. S.A. 2,160 165,031
Kathimerini S.A. 21,240 180,031
Katselis Sons S.A. 18,000 49,265
Kego S.A. 21,670 29,048
Kekrops S.A. 2,244 31,444
* Keramia-Allatini S.A. Industrielle Commerciale & Technique 10,368 10,399
* Klonatex Group S.A. Bearer Shares 20,351 18,147
Kordellou Brothers S.A. 12,300 28,533
* Lambrakis Press S.A. 107,586 384,259
* Lampsa Hotel Co. 19,051 140,504
* Lan-Net S.A. 31,675 41,881
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* Lavipharm S.A. 39,294 44,915
Lazarides Vineyards S.A. 18,326 29,186
* Logic Dis S.A. 77,230 31,138
* Loulis Mills S.A. 15,382 26,149
* Mailis (M.J.) S.A. 101,594 484,523
* Maritime Company of Lesvos S.A. 30,753 14,740
* Maxim Knitwear Factory C.M. Pertsinidis 16,360 4,400
Medicon Hellas S.A. 2,860 15,177
Mesochoritis Bros. Construction Co. S.A. 23,700 8,417
Metka S.A. 59,820 505,098
Michaniki S.A. 108,755 237,802
Minerva Knitwear 5,140 6,654
Minoan Lines S.A. 98,789 376,117
MLS Multimedia S.A. 8,300 7,349
Mochlos S.A. 101,679 39,970
Motor Oil (Hellas) Corinth Refineries S.A. 211,380 3,294,370
Mytilineos Holdings S.A. 47,000 565,531
* N. Levederis S.A. 8,355 6,747
* N.B.G. Real Estate Development Co. 163,170 723,669
* Naoussa Spinning Mills S.A. 76,407 17,724
Naytemporiki S.A. 26,080 42,478
* Neochimiki Lv Lavrentiadis S.A. 30,890 144,438
* Neorion-Syro's Shipyards S.A. 27,210 22,370
* Newsphone Hellas Audiotex S.A. 23,890 93,534
* Nexans Hellas S.A. 3,003 5,898
Nikas S.A. 25,287 155,951
Notos Com.Holdings S.A. 94,554 362,270
Pantechniki S.A. 50,460 74,327
* Pegasus Publishing & Printing S.A. 58,590 114,520
Persefs S.A. Health Care 23,592 14,172
Petros Petropoulos S.A. 7,360 49,306
* Petzetakis S.A. 32,935 51,699
* Pilias S.A. 103,584 17,704
Pipeworks L. Girakian Profil S.A. 11,730 18,147
Piraeus Leasing 5,765 46,082
* Prodeftiki Technical Co. 32,257 10,676
* Promota Hellas S.A. 26,580 10,044
Rilken S.A. 1,982 11,397
* Sanyo Hellas S.A. 59,251 31,966
Sarantis S.A. 43,940 328,236
Sato S.A. 28,850 26,218
* Selected Textile Industry Assoc. S.A. 44,649 19,653
Sfakianakis S.A. 13,390 72,204
* Sheet Steel S.A. 25,850 4,776
* Shelman Hellenic-Swiss Wood S.A. 38,042 41,623
Silver and Baryte Ores Mining Co. S.A. 38,361 269,406
Spyroy Agricultural House S.A. 22,258 28,731
* Stabilton S.A. 27,530 2,710
Strintzis Shipping Lines S.A. 150,740 196,028
Technical Olympic S.A. 180,370 1,035,714
* Technodomi M.Travlos Br. Com. & Constr. Co. S.A. 13,910 3,595
Teletypos S.A. Mega Channel 36,227 143,816
Terna Tourist Technical & Maritime S.A. 63,180 490,020
Themeliodomi S.A. 37,422 23,052
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Thrace Plastics Co. S.A. 45,500 68,179
* Uncle Stathis S.A. 10,999 79,893
Unisystems S.A. 41,820 74,183
Vardas S.A. 13,780 34,558
* Varvaressos S.A. European Spinning Mills 7,200 4,341
* Veterin S.A. 18,984 20,332
Viohalco S.A. 296,585 1,902,943
Vioter S.A. 80,590 97,994
* Vis Container Manufacturing Co. 4,259 11,576
* Zampa S.A. 830 10,640
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TOTAL COMMON STOCKS
(Cost $38,181,724) 40,286,215
----------------
PREFERRED STOCKS -- (0.0%)
Egnatia Bank S.A. 3,196 9,115
----------------
(Cost $8,592)
TOTAL -- GREECE
(Cost $38,190,316) 40,295,330
----------------
SPAIN -- (4.0%)
COMMON STOCKS -- (4.0%)
Abengoa SA 66,042 711,043
Adolfo Dominguez SA 3,700 104,713
* Amper SA 56,800 359,700
* Avanzit SA 17,275 30,862
* # Azkoyen SA 52,500 435,447
Banco de Andalucia 9,800 863,732
Banco de Credito Balear SA 35,424 881,805
Banco de Valencia SA 191,814 5,579,619
# Banco Guipuzcoano SA 43,530 903,409
# Banco Pastor SA 34,300 1,280,394
* Baron de Ley SA 7,542 362,236
* Bodegas Riojanas SA 1,633 17,613
CAF (Construcciones y Auxiliar de Ferrocarriles SA) 7,500 730,378
# Campofrio Alimentacion SA 92,800 1,542,054
Cementos Portland SA 16,881 1,159,096
Cie Automotive SA 10,011 152,932
Compania de Distribucion Integral Logista SA 29,600 1,479,207
Compania Vinicola del Norte de Espana SA 6,633 102,894
Cortefiel SA 57,093 1,310,845
* Dogi International Fabrics SA 9,809 60,693
* Duro Felguera SA 10,860 150,325
Elecnor SA 18,300 969,434
* Ercros SA 120,980 159,445
* Espanola del Zinc SA 29,250 66,229
* Estacionamientos Urbanos SA 4,200 0
Europistas Concesionaria Espanola SA 174,940 1,196,574
# Faes Farma SA 36,107 675,711
Funespana SA 6,354 63,291
Grupo Empresarial Ence SA 18,593 507,249
Hullas del Coto Cortes 8,666 104,262
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Iberpapel Gestion SA 6,700 140,087
Inbesos SA 8,050 84,411
Indo Internacional SA 33,600 262,162
Indra Sistemas SA 75,200 1,374,345
Inmobiliaria Colonial SA ICSA 35,200 1,826,195
Inmobiliaria del Sur SA 378 63,261
* Inmobiliaria del Sur SA Issue 2004 38 5,611
Inmobiliaria Urbis SA 80,282 1,362,357
Lingotes Especiales SA 22,080 135,999
* LSB (La Seda de Barcelona SA) Series B 32,010 98,455
* Mecalux SA 9,500 119,969
Metrovacesa SA 744 45,077
Miquel y Costas y Miquel SA 8,512 335,772
* Natra SA 14,979 129,670
* Natraceutical SA 93,825 143,150
* Nicolas Correa SA 15,750 103,802
Obrascon Huarte Lain SA 65,366 772,877
Pescanova SA 26,443 588,790
* Prim SA 3,900 91,324
Prosegur Cia de Seguridad SA 45,049 944,886
* # Service Point Solutions SA 20,648 91,385
* Sociedad Nacional Inds. Aplicaciones Celulosa Espanola 44,383 70,913
Sol Melia SA 112,700 1,182,880
# SOS Cuetara SA 83,608 1,248,819
Tavex Algodonera SA 31,944 133,524
* Tecnocom Telecomunicaciones y Energia SA 6,300 49,339
# Tele Pizza SA 237,546 484,521
Transportes Azkar, SA 35,477 293,644
Tubacex SA 121,020 408,049
Tubos Reunidos SA 12,466 167,196
Unipapel SA 44,264 957,376
* Uralita SA 338,493 1,688,642
* Urbanizzciones y Transportes SA 12,213 18,635
Vidrala SA, Alava 47,040 943,214
# Viscofan Industria Navarra de Envolturas Celulosicas SA 97,492 945,104
# Zeltia SA 87,378 703,913
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TOTAL COMMON STOCKS
(Cost $16,699,311) 39,976,546
----------------
RIGHTS/WARRANTS -- (0.0%)
* Banco Guipuzcoano SA Rights 06/20/05 43,530 45,531
* Banco Valencia SA Rights 06/07/05 191,814 115,659
* Faes Farma SA Rights 07/06/05 36,107 83,532
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TOTAL RIGHTS/WARRANTS
(Cost $0) 244,722
----------------
TOTAL -- SPAIN
(Cost $16,699,311) 40,221,268
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DENMARK -- (3.9%)
COMMON STOCKS -- (3.9%)
Aarhus Oliefabrik A.S. Aeries A 4,950 400,319
* Alm. Brand A.S. 28,360 976,134
Amagerbanken A.S. 2,734 451,792
Ambu International A.S. Series B 3,000 71,366
Amtssparekassen Fyn A.S. 2,243 382,419
Arkil Holdings A.S. Series B 270 40,168
# Bang & Olufsen Holding A.S. Series B 13,387 861,014
* # Bavarian Nordic A.S. 4,930 487,856
* Brodrene Hartmann A.S. Series B 5,865 155,351
* Brondbyernes I.F. Fodbold A.S. Series B 2,000 20,702
Bryggerigruppen A.S. 8,515 685,029
Christian Hansen Holding A.S. Series B 10,855 1,605,962
Codan A.S. 43,400 2,123,322
Dalhoff, Larsen & Hornemann A.S. Series B 1,370 125,746
Dampskibsselsk Torm A.S. 49,460 2,700,186
Dantherm Holding A.S. 2,400 46,036
Danware A.S. 4,185 73,927
DFDS A.S., Copenhagen 11,760 716,592
DiskontoBanken A.S. 743 166,079
DSV, De Sammensluttede Vognmaend A.S. 22,630 1,755,084
East Asiatic Co., Ltd. 22,723 1,424,598
Edb Gruppen A.S. 3,230 103,983
* Fimiston Resources & Technology, Ltd. 400 7,262
FLS Industries Series B 73,180 1,361,178
Fluegger A.S. Series B 2,913 281,655
Foras Holding A.S. Series A 13,292 180,205
Forstaedernes Bank 4,322 364,749
* Genmab A.S. 28,629 529,213
* Glunz & Jensen A.S. 1,470 20,241
GN Great Nordic A.S. 210,980 2,423,246
H&H International A.S. Series B 1,140 261,754
* Hadsten Bank 70 12,037
Harboes Bryggeri A.S. 575 232,628
Hedegaard (Peder P.) A.S. 660 62,712
Hojgaard Holding A.S. Series B 2,500 77,699
* IC Co. A.S. 3,510 126,436
* Incentive A.S. 3,575 10,936
* Jyske Bank A.S. 75,520 2,885,152
Kjobenhavns Sommer Tivoli A.S. 580 262,002
Koebenhavns Lufthavne 9,910 2,193,114
Lan & Spar Bank A.S. 2,250 113,481
* Lastas A.S. Series B 3,600 35,608
Lollands Bank A.S. 750 31,687
* Maconomy A.S. 6,000 11,889
* # Neurosearch A.S. 9,160 410,134
NKT Holding A.S. 30,245 1,176,633
Nordjyske Bank A.S. 920 184,166
* NTR Holdings A.S. 1,130 14,967
Oestjydsk Bank 550 68,208
Per Aarsleff A.S. Series B 1,545 97,004
* Pharmexa A.S. 12,940 47,873
Ringkjobing Bank 1,670 141,370
Ringkjobing Landbobank 1,620 642,532
Rockwool, Ltd. 24,520 1,701,834
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* RTX Telecom A.S. 8,400 81,805
Salling Bank 250 24,796
Sanistal A.S. Series B 1,786 172,754
* SAS Danmark A.S. 34,300 309,606
Satair A.S. 1,350 39,083
Schouw & Co. A.S. 15,485 410,445
Simcorp A.S. 5,240 416,879
Sjaelso Gruppen A.S. 2,388 286,440
Skjern Bank A.S. 725 61,529
* Sondagsavisen A.S. 21,165 120,706
Spar Nord Bank A.S. 6,823 844,832
Sparbank Vest A.S. 6,600 309,848
Sparekassen Faaborg A.S. 481 187,017
Sydbank A.S. 81,720 1,695,299
# Thrane & Thrane A.S. 5,258 216,145
* TK Development 12,478 79,194
* Topdanmark A.S. 28,300 2,032,024
Treka A.S. 8,498 220,890
Vestfyns Bank 200 25,582
Vestjysk Bank A.S. 10,800 375,080
VT Holdings Shares B 3,130 170,698
----------------
TOTAL COMMON STOCKS
(Cost $17,204,519) 39,423,922
----------------
RIGHTS/WARRANTS -- (0.0%)
* Forstaedernes Bank Rights 06/07/05 4,322 11,435
* Pharmexa A.S. Rights 05/31/05 12,940 7,168
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TOTAL RIGHTS/WARRANTS
(Cost $0) 18,603
----------------
TOTAL -- DENMARK
(Cost $17,204,519) 39,442,525
----------------
NORWAY -- (3.6%)
COMMON STOCKS -- (3.6%)
* Acta Holding ASA 10,000 18,521
* Aker Kvaerner OGEP ASA 45,609 1,723,396
Aker Yards ASA 28,121 1,030,482
Aktiv Kapital ASA 57,017 846,270
Arendals Fosse Kompani ASA 100 11,616
* Blom ASA 18,367 35,578
Bonheur ASA 16,850 1,015,333
* Choice Hotel Scandinavia ASA 27,740 86,359
* Corrocean ASA 19,321 8,827
Det Norske Oljeselskap ASA Series A 88,945 1,021,142
# DOF ASA 97,006 357,186
# EDB Elektronisk Data Behandling ASA 149,417 1,133,086
Ekornes ASA 56,490 1,100,643
* # Eltek ASA 40,842 457,832
Expert ASA 48,758 528,206
Farstad Shipping ASA 60,790 705,709
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* # Fjord Seafood ASA 783,483 354,702
* # Fred Olsen Energy ASA 91,600 1,838,118
Ganger Rolf ASA 6,690 375,531
Gresvig ASA 4,590 27,544
* Home Invest ASA 15,077 11,676
* Independent Oil Tools ASA 75,603 21,077
* Itera Consulting Group ASA 90,000 39,379
# Kongsberg Gruppen ASA 49,500 728,672
* Kverneland ASA 16,160 200,188
Leroy Seafood Group ASA 23,800 156,494
* # Merkantildata ASA 320,521 92,704
Natural ASA 10,143 45,538
* Nera ASA 187,753 398,477
* Nordic Semiconductor ASA 25,000 195,146
* Northern Offshore, Ltd. 214,000 84,972
* Ocean Rig ASA 105,531 690,062
Odfjell ASA Series A 99,640 1,900,223
Olav Thon Eiendomsselskap ASA 8,320 604,806
* Opticom ASA 3,600 26,728
* Otrum ASA 11,600 54,984
P4 Radio Hele Norge ASA 32,200 104,956
* Petrolia Drilling ASA 100,000 9,437
* Photocure ASA 26,690 156,104
Prosafe ASA 55,980 1,682,144
* Q-Free ASA 8,000 25,325
Rieber and Son ASA Series A 63,654 508,073
* Scana Industrier ASA 50,000 27,707
Schibsted ASA 112,960 2,981,575
* # Sinvest ASA 58,220 240,646
Smedvig ASA Series A 83,580 1,463,172
* # Software Innovation ASA 13,423 37,235
Solstad Offshore ASA 54,100 580,139
* Sparebk Midt-Norge 2,200 95,499
Steen and Stroem ASA 19,512 539,663
# Storebrand ASA 183,330 1,525,312
* Synnove Finden ASA 4,200 18,911
# Tandberg ASA Series A 217,280 2,322,945
* # Tandberg Data ASA 58,950 75,750
* Tandberg Storage ASA 48,450 18,743
* Tandberg Television ASA 90,430 1,034,264
* Telecomputing ASA 44,963 75,893
* Tgs-Nopec Geophysical Co. ASA 40,910 1,127,788
Tomra Systems ASA 294,480 1,271,474
* TTS Marine ASA 12,000 49,398
* Tybring-Gjed ASA 145,146 71,210
* Unit 4 Agresso NV 4,620 49,374
Veidekke ASA 21,846 432,594
Visma ASA 47,393 547,676
Wilhelmsen (Wilhelm), Ltd. ASA Series A 60,800 1,545,039
----------------
TOTAL COMMON STOCKS
(Cost $19,444,016) 36,545,253
----------------
28
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INVESTMENT IN CURRENCY -- (0.0%)
* Norwegian Krone 101,196
----------------
(Cost $102,528)
TOTAL -- NORWAY
(Cost $19,546,544) 36,646,449
----------------
BELGIUM -- (3.3%)
COMMON STOCKS -- (3.3%)
* Abfin SA 2,560 0
# Ackermans & Van Haaren SA 54,011 2,143,143
* # Arinso International NV 14,739 204,715
Associated Weavers International 5,057 48,551
Banque Nationale de Belgique 710 2,916,481
# Barco (New) NV 17,896 1,299,920
# Bekaert SA 32,028 2,374,353
Brantano NV 2,060 120,734
# Brederode SA 12,180 306,272
Carrieres Unies Porphyre 20 35,088
# CFE (Compagnie Francois d'Entreprises) 2,080 839,161
# Cofinimmo SA 11,516 1,828,885
* Commerciale de Brasserie SA COBRHA 115 148,473
# Compagnie Maritime Belge 41,185 1,344,854
* Cumerio 9,586 132,116
# Deceuninck SA 63,700 1,863,952
# D'Ieteren SA 6,425 1,275,781
# Distrigaz 57 214,180
* Docpharma SA NV 4,489 152,683
Dolmen Computer Applications 5,036 58,369
Duvel Moorgat NV 5,019 166,435
Euronav SA 41,185 1,219,921
EVS Broadcast Equipment SA 5,500 134,757
Exmar NV 8,641 520,153
Floridienne NV 2,033 145,133
Glaces de Moustier-sur-Sambre SA 13,370 562,948
* ICOS Vision Systems Corp. NV 12,914 336,156
* Immobel (Cie Immobiliere de Belgique SA) 5,621 241,740
* Innogenetics NV 39,726 637,637
* Integrated Production & Test Engineering NV 4,380 23,434
* International Brachtherapy SA 9,935 60,498
* Ion Beam Application SA 35,077 241,477
* Ipso-Ilg SA 5,990 53,452
Keytrade Bank SA 2,800 94,475
Kinepolis Group NV 5,020 162,417
Lotus Bakeries NV 650 82,662
# Melexis NV 52,741 641,682
Metiers Automatiques Picanol 16,120 343,772
* Neuhaus NV 670 35,448
# Nord-Sumatra Investissements SA 650 292,180
# Omega Pharma SA 28,203 1,437,698
* Option NV 14,958 487,048
Papeteries de Catala SA 315 34,886
# Quick Restaurants SA 19,501 372,497
* Real Software SA 55,542 34,927
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# Recticel SA 22,870 194,177
* Resilux NV 1,754 83,029
Rosier SA 655 102,712
# Roularta Media Groep 9,837 605,545
* Sait Radioholland 7,313 38,725
# Sapec SA 3,635 366,830
* Sapec SA VVPR 75 205
# Sioen Industries 21,502 235,250
* SIPEF (Societe Internationale de Plantations & de Finance), Anvers 1,685 282,206
* Solvus SA 38,344 734,907
* Solvus SA Interim Strip VVPR 18,176 224
Spector Photo Group SA 5,408 43,306
* Systemat SA 12,107 81,980
# Telindus Group SA 64,911 718,239
Ter Beke NV 2,281 179,544
# Tessenderlo Chemie 47,282 1,831,358
UNIBRA 1,600 163,221
Union Miniere SA 9,586 752,973
# Van de Velde NV 2,683 472,472
VPK Packaging Group SA 7,185 247,553
# Warehouses de Pauw Sicafi 9,025 393,911
----------------
TOTAL COMMON STOCKS
(Cost $22,063,145) 33,199,511
----------------
RIGHTS/WARRANTS -- (0.0%)
* Belge des Betons Contingent Rights 8,500 0
----------------
(Cost $0)
TOTAL -- BELGIUM
(Cost $22,063,145) 33,199,511
----------------
IRELAND -- (2.6%)
COMMON STOCKS -- (2.6%)
Abbey P.L.C. 50,849 574,416
* Ardagh P.L.C. 14,262 41,243
* Datalex P.L.C. 72,754 37,538
DCC P.L.C. 136,863 2,713,488
Donegal Creameries P.L.C. 18,079 85,652
* Dragon Oil P.L.C. 307,485 510,233
FBD Holdings P.L.C. 23,114 675,524
Fyffes P.L.C. 630,111 1,767,415
Glanbia P.L.C. 321,765 1,042,847
Grafton Group P.L.C. 284,256 3,302,959
Greencore Group P.L.C. 306,561 1,288,111
* Horizon Technology Group P.L.C. 45,564 57,131
IAWS Group P.L.C. 153,525 2,304,092
IFG Group P.L.C. 52,309 59,863
Independent News & Media P.L.C. 645,069 1,983,328
* Iona Technologies P.L.C. 53,750 180,076
Irish Intercontental Group P.L.C. 37,153 439,391
* IWP International P.L.C. 39,611 3,899
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Jurys Hotel Group P.L.C. 114,531 2,140,254
* Kenmare Resources P.L.C. 942,269 405,905
Kingspan Group P.L.C. 185,024 2,153,739
McInerney Holdings P.L.C. 58,094 592,857
Paddy Power P.L.C. 71,162 1,221,796
Readymix P.L.C. 109,762 284,433
United Drug P.L.C. 442,555 1,857,124
* Waterford Wedgwood P.L.C. 2,737,733 138,126
----------------
TOTAL -- IRELAND
(Cost $16,873,795) 25,861,440
----------------
AUSTRIA -- (2.1%)
COMMON STOCKS -- (2.1%)
* Admiral Sportwetten AG 1,000 17,535
Agrana Beteiligungs AG 2,921 261,905
Andritz AG 13,609 1,187,041
Austria Email AG 715 3,085
* Austrian Airlines/Oesterreichische Luftverkehrs-Aktiengesellschaft 42,784 369,021
Bank Fuer Kaernten und Steiermark AG 520 61,493
* # Betandwin.com Interactive Entertainment AG 12,749 1,824,094
Boehler-Uddeholm AG 11,195 1,444,834
BWT AG 21,819 670,478
* CA Immobilien Anlagen AG 36,830 923,809
Constantia-Verpackungen AG 19,123 636,370
* Conwert Immobilien Invest AG 18,614 306,558
* Demeter Vermoegensverwaltung 15,000 0
* Eybl International AG 2,400 59,006
Flughafen Wien AG 25,698 1,645,900
Frauenthal Holding AG 485 50,953
* Immofinanz Immobilien Anlagen AG 165,130 1,492,002
Lenzing AG 3,948 935,308
Manner (Josef) & Co. AG 870 42,823
Mayr-Melnhof Karton AG 11,760 1,676,150
Oberbank AG 5,384 531,147
Palfinger AG 10,383 600,202
* # RHI AG, Wien 29,275 806,974
Rosenbauer International AG 1,530 112,603
* S&T System Integration & Technology Distribution AG 2,515 92,580
Schoeller-Bleckmann Oilfield Equipment AG 11,860 284,419
* Sparkassen Immobilien AG 33,975 342,114
Ubm Realitaetenentwicklung AG 1,440 61,492
# Uniqa Versicherungen AG 128,555 2,246,598
Voestalpine AG 30,095 2,029,010
* Wolford AG 4,900 105,603
----------------
TOTAL COMMON STOCKS
(Cost $11,965,667) 20,821,107
----------------
31
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RIGHTS/WARRANTS -- (0.0%)
* Boehler-Uddeholm AG Rights 06/02/05 11,195 0
* CA Immobilien Anlagen AG Rights 06/01/05 34,837 429
* Jenbacher AG Rights 03/31/08 7,860 0
----------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 429
----------------
TOTAL -- AUSTRIA
(Cost $11,965,667) 20,821,536
----------------
PORTUGAL -- (1.2%)
COMMON STOCKS -- (1.2%)
Corticeira Amorim Sociedad Gestora Participacoes Sociais SA 194,100 273,188
EFACEC Capital, SGPS, SA 60,600 162,350
Finibanco Holdings SGPS, SA 35,482 56,133
* Gescartao, SGPS, SA 10,107 133,188
Ibersol SGPS SA 14,462 94,311
* # Impresa Sociedade Gestora de Participacoes Socias SA 190,166 1,284,504
* Investimentos Participacoes e Gestao SA Inapa 43,702 133,886
Jeronimo Martins SGPS SA 170,757 2,389,975
Mota-Engil, SGPS, SA 250,900 741,711
* # Novabase SGPS 56,005 409,918
* # ParaRede-SGPS SA 97,133 40,764
Portucel-Empresa Produtora de Pasta de Papel SA 466,977 805,259
Sag Gest - Solucoes Automovel Globais SGPS SA 235,500 371,460
Salvador Caetano - Industrias Metalurgicas e Veiculos de Transporte SA 54,900 253,341
* Sociedad Construcoes Soares da Costa SA 19,200 35,805
# Sociedade de Investimento e Gestao SGPS SA 160,396 909,016
Sonae SGPS SA 1,079,900 1,582,540
* # Sonaecom SGPS SA 321,175 1,384,888
* Sporting Sociedad Desportiva de Futebol 3,301 9,828
Teixeira Duarte Engenharia e Construcoes SA 609,000 824,289
----------------
TOTAL -- PORTUGAL
(Cost $6,843,117) 11,896,354
----------------
EMU -- (0.1%)
INVESTMENT IN CURRENCY -- (0.1%)
* Euro Currency 554,480
----------------
(Cost $564,980)
UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
* Epicor Software Corp. 2,171 26,768
* InFocus Corp. 10,455 43,493
----------------
TOTAL -- UNITED STATES
(Cost $214,919) 70,261
----------------
32
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FACE
AMOUNT VALUE+
---------------- ----------------
(000)
TEMPORARY CASH INVESTMENTS -- (18.9%)
^ Repurchase Agreement, Deutsche Bank Securities &
Mizuho Securities USA 2.96% and 2.98%, respectively,
06/01/05 (Collateralized by $277,454,335 U.S. TIPS
1.875%, 07/15/13 & U.S. STRIPS, rates ranging from 0%
to 9.875%, maturities ranging from 11/15/05 to
02/15/29, valued at $193,688,829) to be repurchased
at $189,898,459 (Cost $189,882,796) $ 189,883 189,882,796
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%,
06/01/05 (Collateralized by $828,000 FNMA Notes 2.95%,
11/14/07, valued at $826,965) to be repurchased at
$814,065 (Cost $814,000) 814 814,000
----------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $190,696,796) 190,696,796
----------------
TOTAL INVESTMENTS - (100.0%)
(Cost $724,614,597) $ 1,006,081,648
----------------
----------
+ Securities have been fair valued. See Note B to Financial Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
33
THE EMERGING MARKETS SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
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SHARES VALUE +
---------------- ----------------
MEXICO -- (12.1%)
COMMON STOCKS -- (12.1%)
Alfa S.A. de C.V. Series A 640,590 $ 3,678,389
America Movil S.A. de C.V. Series L 10,897,700 30,837,777
* America Telecom S.A. de C.V. Series A 5,129,240 15,504,095
* Carso Global Telecom S.A. de C.V. Telecom Series A1 3,638,671 6,452,048
Cementos de Mexico S.A. de C.V. Series B 1,551,017 11,800,403
Coca-Cola Femsa S.A. de C.V. Series L 1,310,600 3,111,431
Consorcio Ara S.A. 157,500 512,249
Controladora Comercial Mexicana S.A. de C.V. Series B 633,700 681,188
* Corporacion Interamericana de Entramiento S.A. de C.V.
Series B 75,000 145,392
* Corporacion Mexicana de Restaurantes S.A. de C.V. Series B 1,107 214
Corporativo Fragua S.A. de C.V. Series B 21 67
* Desc S.A. de C.V. Series B 619,841 167,996
El Puerto de Liverpool S.A. de C.V. Series C1 339,500 686,215
Embotelladora Arca S.A. de C.V., Mexico 466,500 959,629
* Empresas ICA Sociedad Controladora S.A. de C.V. 623,700 246,401
Empresas la Moderna S.A. de C.V. Series A 120,000 22,993
Fomento Economico Mexicano Series B & D 754,800 4,122,695
Gruma S.A. de C.V. Series B 90,406 193,116
Grupo Carso S.A. de C.V. Series A-1 3,272,232 5,712,092
Grupo Continental S.A. de C.V. 358,600 553,499
Grupo Elektra S.A. de C.V. 141,400 1,000,317
Grupo Financiero del Norte S.A. Series C 568,984 3,789,445
* Grupo Financiero GBM Atlantico S.A. de C.V. Series L 22,746 11,703
Grupo Financiero Inbursa S.A. de C.V. Series O 3,161,776 6,739,328
* Grupo Gigante S.A. de C.V. Series B 117,282 80,815
Grupo Industrial Bimbo S.A. de C.V. Series A 1,711,100 4,653,338
Grupo Industrial Maseca S.A. de C.V. Series B 229,000 130,234
Grupo Modelo S.A. de C.V. Series C 2,602,300 7,889,851
* Grupo Nutrisa S.A. de C.V. 129 50
* Grupo Qumma S.A. de C.V. Series B 1,591 26
Grupo Televisa S.A. (Certificate Representing Series A,
Series D & Series L) 2,117,800 6,339,186
* Grupo Tribasa S.A. de C.V. 2,120 0
Hylsamex S.A. de C.V. Series B 153,914 554,322
Industrias Penoles S.A. de C.V. 324,600 1,604,458
Kimberly Clark de Mexico S.A. de C.V. Series A 980,200 3,120,437
Nueva Grupo Mexico S.A. de C.V. Series B 930,858 4,395,862
* Organizacion Soriana S.A. de C.V. Series B 701,000 2,666,342
Telefonos de Mexico S.A. Series A 200,000 186,690
Telefonos de Mexico S.A. de C.V. 18,366,800 16,975,833
TV Azteca S.A. de C.V. Series A 1,832,100 935,883
* US Commercial Corp. S.A. de C.V. 223,000 80,416
Vitro S.A. de C.V. 121,600 94,850
Wal-Mart de Mexico S.A. de C.V. Series V 5,494,302 20,822,553
----------------
TOTAL -- MEXICO
(Cost $112,747,040) 167,459,828
----------------
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TAIWAN -- (11.7%)
COMMON STOCKS -- (11.7%)
Acer, Inc. 1,051,883 1,990,209
* Advanced Semiconductor Engineering, Inc. 2,302,396 1,662,238
Advantech Co., Ltd. 138,254 325,610
Asia Cement Corp. 1,009,750 645,500
Asustek Computer, Inc. 1,479,062 4,070,093
* Au Optronics Corp. 2,755,487 4,555,326
Benq Corp. 1,083,160 1,113,908
Cathay Financial Holdings Co., Ltd. 5,527,529 10,537,019
Cathay Real Estate Development Co., Ltd. 568,213 238,013
* Chang Hwa Commercial Bank 2,407,796 1,352,975
Cheng Shin Rubber Industry Co., Ltd. 487,437 539,634
Cheng Uei Precision Industry Co., Ltd. 43,136 119,317
Chi Mei Optoelectronic Corp. 2,536,177 3,983,214
China Airlines 1,236,157 684,244
* China Development Financial Holding Corp. 5,507,000 2,097,432
China Motor Co., Ltd. 714,628 735,133
China Steel Corp. 5,889,753 5,730,002
Chinatrust Financial Holdings Co., Ltd. 3,310,473 3,719,032
* Chungwa Picture Tubes Co., Ltd. 3,932,298 1,721,769
CMC Magnetics Corp. 1,356,400 626,080
Compal Electronics, Inc. 1,595,372 1,525,437
* Cosmos Bank Taiwan 478,000 226,941
Delta Electronics Industrial Co., Ltd. 822,228 1,330,514
D-Link Corp. 145,122 175,109
E.Sun Financial Holding Co., Ltd. 1,482,744 1,201,988
* Eva Airways Corp. 1,326,289 656,994
Evergreen Marine Corp., Ltd. 1,320,382 1,180,997
Far East Textile, Ltd. 2,372,668 1,777,511
* Far Eastern International Bank 583,000 317,434
* First Financial Holding Co., Ltd. 3,192,000 2,592,120
Formosa Chemicals & Fiber Co., Ltd. 3,480,090 6,299,508
Formosa Plastics Corp. 3,027,210 5,143,441
Formosa Taffeta Co., Ltd. 436,767 213,149
Fu Sheng Industrial Co., Ltd. 203,035 247,827
Fubon Financial Holding Co., Ltd. 6,054,052 5,734,274
Fuh-Hwa Financial Holding Co., Ltd. 1,082,976 573,651
Giga-Byte Technology Co., Ltd. 167,160 183,172
High Tech Computer Corp. 122,600 1,079,606
Hon Hai Precision Industry Co., Ltd. 1,899,306 9,940,234
Hotai Motor Co., Ltd. 223,000 503,647
* Hsinchu International Bank 451,800 264,802
Hua Nan Financial Holding Co., Ltd. 3,654,320 2,820,860
International Bank of Taipei 885,928 608,765
Inventec Corp. 763,888 352,916
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Lite-On Technology Corp. 1,331,010 1,422,942
* Macronix International Co., Ltd. 1,547,500 242,255
Media Tek, Inc. 418,730 3,605,331
Mega Financial Holding Co., Ltd. 6,278,535 4,067,932
Mitac International Corp. 166,000 176,717
* Mosel Vitelic Inc. Co., Ltd. 336 92
Nan Ya Plastic Corp. 4,237,625 5,792,656
* Nanya Technology Co., Ltd. 2,240,989 1,714,196
Optimax Technology Corp. 112,455 273,952
Oriental Union Chemical Corp. 132,531 120,462
* Pacific Electric Wire & Cable Corp. 233,200 3,866
Pou Chen Corp. 1,001,859 818,176
President Chain Store Corp. 435,260 797,159
* Q-Run Technology Co., Ltd. 187,200 705,438
Quanta Computer, Inc. 2,051,308 3,742,611
* Quanta Display, Inc. 2,116,000 1,046,887
Realtek Semiconductor Corp. 194,001 196,432
Ritek Corp. 580,204 203,450
Shin Kong Financial Holding Co., Ltd. 1,753,463 1,774,619
Siliconware Precision Industries Co., Ltd. 874,200 828,429
SinoPac Holdings Co., Ltd. 1,721,096 916,156
Sunplus Technology Co., Ltd. 361,145 501,217
Synnex Technology International Corp. 326,680 487,055
Taishin Financial Holdings Co., Ltd. 2,495,135 2,150,829
* Taiwan Business Bank 1,632,644 517,917
Taiwan Cement Corp. 1,302,731 739,455
Taiwan Glass Ind. Corp. 542,079 516,255
Taiwan Life Insurance Co., Ltd 101,200 172,598
Taiwan Semiconductor Manufacturing Co., Ltd. 13,743,936 24,779,451
* Tatung Co., Ltd. 1,684,000 536,702
Transcend Information, Inc. 35,187 90,055
U-Ming Marine Transport Corp. 279,050 434,936
Uni-President Enterprises Corp. 1,495,020 674,327
* United Microelectronics Corp. 8,696,611 5,859,321
* Via Technologies, Inc. 359,699 232,711
* Walsin Lihwa Corp. 1,338,000 558,095
Wan Hai Lines Co., Ltd. 823,934 777,861
Waterland Financial Holdings 801,000 336,247
* Winbond Electronics Corp. 1,794,000 575,308
Wintek Corp. 151,000 202,586
Ya Hsin Industrial Co., Ltd. 223,683 210,156
* Yageo Corp. 608,440 229,865
Yang Ming Marine Transport Corp. 1,248,894 1,095,527
Yieh Phui Enterprise Co., Ltd. 266,435 136,096
Yuen Foong Yu Paper Manufacturing Co., Ltd. 383,022 144,808
Yulon Motor Co., Ltd. 684,753 793,686
Zyxel Communication Corp. 116,980 295,407
----------------
TOTAL COMMON STOCKS
(Cost $143,235,910) 162,895,874
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Taiwan Dollar 17,498
----------------
(Cost $17,422)
TOTAL -- TAIWAN
(Cost $143,253,332) 162,913,372
----------------
3
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SOUTH KOREA -- (11.7%)
COMMON STOCKS -- (11.7%)
Amorepacific Corp. 5,100 1,329,694
CJ Corp. 10,400 740,276
Daelim Industrial Co., Ltd. 16,090 771,661
Daewoo Engineering & Construction Co., Ltd. 247,900 1,734,810
Daewoo Heavy Industries & Machinery, Ltd. 113,400 913,943
Daewoo International Corp. 32,910 483,589
* Daewoo Securities Co., Ltd. 56,445 373,741
Daewoo Shipbuilding & Marine Engineering Co., Ltd. 126,010 2,536,876
Dongkuk Steel Mill Co., Ltd. 14,670 239,848
Doosan Heavy Industries & Construction Co., Ltd. 24,500 337,234
GS Holdings Corp. 42,945 968,036
Hanjin Shipping Co., Ltd. 35,750 952,294
Hankook Tire Manufacturing Co., Ltd. 72,650 820,116
Hanwha Chemical Corp. 32,000 342,885
Hite Brewery Co., Ltd. 12,140 1,117,612
* Honam Petrochemical Corp. 8,750 342,947
Hyundai Development Co. 33,870 713,391
Hyundai Heavy Industries Co., Ltd. 43,820 2,292,452
* Hyundai Merchant Marine Co., Ltd. 67,170 1,064,216
Hyundai Mobis 46,710 3,001,525
Hyundai Motor Co., Ltd. 103,609 5,804,693
INI Steel Co., Ltd. 45,530 669,464
Kangwon Land, Inc. 138,510 1,988,073
Kia Motors Corp. 250,830 3,568,154
Kookmin Bank 146,005 6,402,301
Korea Electric Power Corp. 495,290 14,472,188
* Korea Exchange Bank 561,620 4,759,380
Korea Gas 65,190 1,823,804
Korean Air Co., Ltd. 42,880 761,393
KT Corp. 195,930 7,896,552
KT&G Corp. 103,590 3,628,014
Kumgang Korea Chemical Co., Ltd. 5,970 1,004,380
* LG Card Co., Ltd. 64,169 2,142,657
LG Chemical Investment, Ltd. 126,575 3,224,579
LG Chemical, Ltd. 33,656 1,221,714
LG Electronics, Inc. 77,220 5,559,551
LG Engineering & Construction Corp. 23,120 719,009
LG Investment & Securities Co., Ltd. 40,060 373,109
LG Petrochemical Co., Ltd. 18,420 447,786
* LG Phillips LCD Co., Ltd. 22,030 1,142,710
Lotte Chilsung Beverage Co., Ltd. 400 373,628
* NCsoft Corp. 10,110 881,432
Nong Shim Co., Ltd. 3,050 919,130
POSCO 40,940 7,297,089
Pusan Bank 50,610 430,347
S1 Corp. 20,538 839,513
Samsung Corp. 58,510 798,482
Samsung Electro-Mechanics Co., Ltd. 32,707 794,372
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Samsung Electronics Co., Ltd. 53,188 25,686,766
Samsung Fire and Marine Insurance, Ltd. 24,219 1,834,462
Samsung Heavy Industries Co., Ltd. 100,590 841,685
Samsung SDI Co., Ltd. 22,742 2,164,363
Samsung Securities Co., Ltd. 29,230 754,592
Seoul Bank 104,780 2,658,698
Shinhan Financial Group Co., Ltd. 165,422 4,236,740
Shinsegae Co., Ltd. 9,100 3,015,812
SK Corp., Ltd. 66,504 3,448,220
SK Telecom Co., Ltd. 56,085 9,947,204
S-Oil Corp. 86,310 6,356,268
----------------
TOTAL -- SOUTH KOREA
(Cost $94,368,322) 161,965,460
----------------
SOUTH AFRICA -- (10.9%)
COMMON STOCKS -- (10.9%)
ABSA Group, Ltd. 604,870 7,346,378
African Oxygen, Ltd. 393,939 1,477,115
Anglo American Platinum Corp., Ltd. 302,315 12,993,774
Anglo American PLC 667,281 15,902,785
Anglogold, Ltd. 304,962 10,293,029
* Anglovaal Mining, Ltd. 93,775 463,461
Aspen Pharmacare Holdings PLC 259,317 949,904
AVI, Ltd. 178,834 326,907
Barloworld, Ltd. 157,177 2,031,363
Bidvest Group, Ltd. 254,135 2,583,633
* Consol, Ltd. 178,834 273,079
* Dimension Data Holdings PLC 246,926 143,310
* Discovery Holdings, Ltd. 463,855 1,498,636
Edgars Consolidated Stores, Ltd. 39,111 1,531,616
Firstrand, Ltd. 5,453,719 10,993,898
Foschini, Ltd. 167,846 903,392
Gold Fields, Ltd. 306,889 3,366,763
Harmony Gold Mining Co., Ltd. 298,281 2,213,024
Impala Platinum Holdings, Ltd. 46,076 3,871,032
* Imperial Holdings, Ltd. 159,111 2,339,773
Investec, Ltd. 28,155 809,000
JD Group, Ltd. 119,825 1,059,422
Kumba Resources, Ltd. 15,092 148,775
Liberty Group, Ltd. 331,965 3,026,709
Massmart Holdings, Ltd. 136,739 848,955
Mittal Steel South Africa, Ltd. 545,537 4,069,873
MTN Group, Ltd. 1,329,332 8,773,164
Nampak, Ltd. 460,336 1,015,773
Naspers, Ltd. Series N 204,973 2,519,852
Nedcor, Ltd. 454,722 5,066,339
Network Healthcare Holdings, Ltd. 1,448,416 1,285,890
Old Mutual PLC 2,547,699 5,422,437
Pick'n Pay Stores, Ltd. 584,356 2,131,740
Pretoria Portland Cement Co., Ltd. 75,919 2,437,822
Sanlam, Ltd. 1,913,846 3,152,969
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Santam, Ltd. 81,524 730,420
Sappi, Ltd. 163,117 1,579,527
Standard Bank Group, Ltd. 979,729 8,918,054
Steinhoff International Holdings, Ltd. 954,753 1,897,552
Telkom SA, Ltd. 660,710 10,789,042
Tiger Brands, Ltd. 111,679 1,773,769
Truworths International, Ltd. 307,364 757,453
* Woolworths Holdings, Ltd. 689,630 1,056,654
----------------
TOTAL -- SOUTH AFRICA
(Cost $135,051,995) 150,774,063
----------------
BRAZIL -- (10.8%)
PREFERRED STOCKS -- (9.7%)
Ambev Cia de Bebidas das Americas 12,453,835 3,721,937
Aracruz Celulose SA Series B 711,999 2,405,342
Banci Itau Holding Financeira SA 86,800 15,274,206
Banco Bradesco SA 401,079 12,908,768
Brasil Telecom Participacoes SA 234,026,240 1,555,966
Brasil Telecom SA 626,730,875 2,523,050
Brasileira de Distribuicao Pao de Acucar 58,650,000 1,241,399
* Braskem SA Preferred A 435,600 4,150,810
Companhia Energetica de Minas Gerais 109,900,000 3,329,612
Embraer Empresa Brasileira de Aeronautica 747,821 5,654,824
* Embratel Participacoes SA 143,582,922 305,103
* Empresa Nasional de Comercio Redito e Participacoes SA 480,000 2,391
Gerdau SA 465,156 4,691,135
Investimentos Itau SA 3,300,893 6,740,151
Klabin SA 682,875 1,125,135
* Lojas Renner SA 800,000 26,728
Metalurgica Gerdau SA 98,850 1,370,239
Paranaense de Energia Series B 100,000,000 572,733
Siderurgica Belgo-Mineira 10,870,000 4,781,988
Siderurgica de Tubarao 63,720,000 3,427,314
Siderurgica Paulista Casipa Series B 325 6,070
Suzano Bahia Sul Papel e Celullose SA 143,545 625,533
* Tele Centro Oeste Celular Participacoes SA 76,815 820,911
Tele Norte Leste Participacoes SA 180,034 2,736,188
* Tele Sudeste Celular Participacoes SA 16,200 129,761
Telemar Norte Leste SA 225,100 5,259,651
* Telesp Celular Participacoes SA 858,662 4,351,219
Telesp Participacoes SA 621,100,000 11,793,038
Unibanco-Uniao de Bancos Brasileiros SA 20,000 60,178
Unibanco-Uniao de Bancos Brasileiros Units SA 513,130 3,679,969
Usinas Siderurgicas de Minas Gerais SA 200,539 3,777,740
Vale do Rio Doce Series A 926,880 22,888,300
* Vale do Rio Doce Series B 81,160 0
Votorantim Celulose e Papel SA 71,336 847,032
Weg SA 489,800 1,485,967
----------------
TOTAL PREFERRED STOCKS
(Cost $78,699,331) 134,270,388
----------------
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COMMON STOCKS -- (1.1%)
Ambev Cia de Bebidas das Americas 5,420,000 1,453,131
Brasil Telecom Participacoes SA 59,520,574 535,055
Companhia Siderurgica Nacional SA 241,404 4,278,046
Copesul Companhia Petroquimica do Sul 55,860 739,545
CPFL Geracao de Energia SA 3,140,000 14,987
* Embratel Participacoes SA 57,550,000 114,646
Souza Cruz Industria e Comercio 521,300 6,555,464
* Tele Centro Oeste Celular Participacoes SA 19,748 215,962
* Tele Norte Celular Participacoes SA 57,624,254 21,524
Tele Norte Leste Participacoes SA 59,254 1,224,673
* Tele Sudeste Celular Participacoes SA 613 4,740
* Tractebel Energia SA 108,600 531,394
----------------
TOTAL COMMON STOCKS
(Cost $9,933,446) 15,689,167
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Brazilian Real 34,038
----------------
(Cost $32,142)
RIGHTS/WARRANTS -- (0.0%)
* Itausa-Investimentos Itau SA Preferred Rights 06/01/05 25,591 9,240
----------------
(Cost $0)
TOTAL -- BRAZIL
(Cost $88,664,919) 150,002,833
----------------
MALAYSIA -- (6.6%)
COMMON STOCKS -- (6.6%)
* AmInvestment Group Berhad 406,882 173,460
AMMB Holdings Berhad 2,103,331 1,281,975
Berjaya Sports Toto Berhad 746,800 765,698
British American Tobacco Berhad 295,300 3,145,379
CIMB Berhad 259,300 341,070
Commerce Asset Holding Berhad 2,588,400 3,170,177
* Digi.Com Berhad 767,162 1,047,881
Diversified Resources Berhad 643,200 233,317
Gamuda Berhad 510,000 584,406
Genting Berhad 697,300 3,282,146
Golden Hope Plantations Berhad 948,200 952,708
Highlands and Lowlands Berhad 107,500 107,467
Hong Leong Bank Berhad 1,607,150 2,113,878
Hong Leong Credit Berhad 1,060,629 1,120,858
IJM Corp. Berhad 228,300 282,275
IOI Corp. Berhad 1,044,500 2,526,453
IOI Oleochemical Industries Berhad 22,041 53,346
IOI Properties Berhad 151,300 292,553
Kuala Lumpur Kepong Berhad 747,000 1,257,443
Magnum Corp. Berhad 1,487,600 782,169
Malakoff Berhad 835,700 1,603,712
Malayan Banking Berhad 2,815,700 8,142,334
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Malayan Cement Berhad 2,266,300 351,476
Malaysia Mining Corp. Berhad 828,700 414,207
Malaysian Airlines System Berhad 1,090,600 1,016,099
Malaysian International Shipping Corp. (Foreign) 1,501,566 6,824,540
Malaysian Pacific Industries 170,000 482,570
Malaysian Plantations Berhad 927,500 590,137
Maxis Communications Berhad 1,631,600 4,226,294
Nestle (Malaysia) Berhad 229,200 1,440,167
Oriental Holdings Berhad 215,300 226,310
Oyl Industries Berhad 134,300 1,281,040
Petronas Dagangan Berhad 813,400 894,588
Petronas Gas Berhad 1,810,900 3,380,889
Plus Expressways Berhad 3,046,800 2,467,171
PPB Group Berhad 579,600 1,097,171
Proton Holdings Berhad 389,000 726,132
Public Bank Berhad 1,550,201 2,729,507
Resorts World Berhad 1,120,700 2,840,505
RHB Capital Berhad 1,849,900 977,243
Shell Refining Co. Federation of Malaysia Berhad 227,000 549,315
Sime Darby Berhad 2,334,600 3,563,750
Southern Bank Berhad 48,440 41,009
Southern Bank Berhad (Foreign) 1,412,337 1,151,714
SP Setia Berhad 488,100 475,362
Star Publications (Malaysia) Berhad 182,800 331,621
Telekom Malaysia Berhad 3,138,900 8,078,652
Tenaga Nasional Berhad 3,662,800 9,923,114
UMW Holdings Berhad 364,533 479,289
YTL Corp. Berhad 1,578,966 2,180,370
----------------
TOTAL -- MALAYSIA
(Cost $86,119,098) 92,000,947
----------------
TURKEY -- (6.3%)
COMMON STOCKS -- (6.3%)
Akbank T.A.S. 2,264,998 12,090,210
Anadolu Efes Biracilik ve Malt Sanayi A.S. 182,246 3,623,681
Arcelik A.S 1,549,702 8,127,666
* Dogan Sirketler Grubu Holding A.S. 722,062 1,659,633
* Dogan Yayin Holding A.S. 542,816 1,235,561
Enka Insaat ve Sanayi A.S. 494,820 5,385,251
Eregli Demir ve Celik Fabrikalari Turk A.S. 1,595,341 6,405,511
Ford Otomotiv Sanayi A.S. 867,588 5,391,825
Hurriyet Gazetecilik ve Matbaacilik A.S. 629,278 1,203,744
* Koc Holding A.S. 281,693 1,197,380
Koc Holding A.S. Series B 1,058,111 4,482,928
Migros Turk A.S. 450,270 3,482,021
Tofas Turk Otomobil Fabrikasi A.S. 1,489,092 2,055,958
Trakya Cam Sanayii A.S. 187,301 595,751
Tupras-Turkiye Petrol Rafinerileri A.S. 289,886 3,652,551
Turk Sise ve Cam Fabrikalari A.S. 639,484 1,534,884
* Turkiye Garanti Bankasi A.S. 2,261,914 8,536,645
Turkiye Is Bankasi A.S. 2,002,976 10,818,452
* Vestel Elektronik Sanayi ve Ticaret A.S. 240,241 834,543
* Yapi ve Kredi Bankasi A.S. 1,232,184 4,682,623
----------------
TOTAL -- TURKEY
(Cost $29,310,662) 86,996,818
----------------
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ISRAEL -- (5.5%)
COMMON STOCKS -- (5.5%)
Africa-Israel Investments, Ltd. 108,700 4,017,919
Bank Hapoalim, Ltd. 2,309,640 8,108,404
Bank Leumi Le-Israel 2,802,069 7,928,531
* Bezeq Israeli Telecommunication Corp., Ltd. 4,049,014 5,001,098
Blue Square Israel, Ltd. 16,186 156,734
CLAL Industries, Ltd. 289,038 1,331,162
CLAL Insurance, Ltd. 114,684 2,411,331
Delek Group, Ltd. 4,584 447,323
Discount Investment Corp 66,100 1,618,017
Elbit Systems, Ltd. 98,319 2,395,417
* Elron Electronic Industries, Ltd. 0 5
* First International Bank of Israel, Ltd. Par Value $.01 347,200 537,889
* First International Bank of Israel, Ltd. Par Value $.05 48,660 349,471
IDB Development Corp., Ltd. Series A 101,015 3,101,292
IDB Holding Corp., Ltd. 36,578 802,548
Israel Chemicals, Ltd. 2,410,526 7,714,773
Israel Corp. Series A 5,500 1,573,282
* Koor Industries, Ltd. 25,971 1,690,252
M.A.Industries, Ltd. 843,283 5,101,647
Migdal Insurance Holdings 2,079,107 2,938,231
Osem Investment, Ltd. 210,522 1,794,037
* Perrigo Co. 57,227 896,928
Strauss Elite, Ltd. 33,250 311,919
Super-Sol, Ltd. Series B 372,926 1,005,696
Teva Pharmaceutical Industries, Ltd. 418,280 13,912,996
* United Mizrahi Bank, Ltd. 384,693 1,822,509
----------------
TOTAL COMMON STOCKS
(Cost $37,118,237) 76,969,411
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Israel Shekel 157
----------------
(Cost $153)
TOTAL -- ISRAEL
(Cost $37,118,390) 76,969,568
----------------
INDONESIA -- (4.7%)
COMMON STOCKS -- (4.7%)
PT Astra International Tbk 8,470,461 10,387,615
PT Bank Central Asia Tbk 1,980,000 720,708
PT Bank Danamon Indonesia Tbk 1,762,000 891,351
PT Bimantara Citra Tbk 1,485,000 365,880
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PT Gudang Garam Tbk 4,695,500 6,352,536
* PT Indocement Tunggal Prakarsa Tbk 7,362,000 2,468,047
PT Indofood Sukses Makmur Tbk 18,886,400 2,377,886
PT Indonesian Satellite Corp.Tbk 14,967,500 7,774,558
PT International Nickel Indonesia Tbk 580,000 846,641
* PT Makindo Tbk 2,236,500 224,402
PT Medco Energi International Tbk 9,754,000 3,226,110
* PT Panasia Indosyntec Tbk 75,100 3,945
PT Semen Gresik Tbk 1,739,502 2,937,277
PT Telekomunikasi Indonesia (Persero) Tbk 37,153,640 18,242,960
PT Unilever Tbk 16,022,000 7,688,916
----------------
TOTAL COMMON STOCKS
(Cost $39,400,179) 64,508,832
----------------
RIGHTS/WARRANTS -- (0.0%)
* PT Lippo Karawaci Tbk Free Warrants 11/30/07 45,877 928
----------------
(Cost $0)
TOTAL -- INDONESIA
(Cost $39,400,179) 64,509,760
----------------
UNITED STATES -- (4.0%)
COMMON STOCKS -- (4.0%)
* Banco Bilboa Vizcaya Argentaria Chile SA ADR 64,200 1,653,362
* Banco de Chile Series F ADR 47,643 1,653,212
Banco Santander Chile Sponsored ADR 295,998 9,235,138
Cia Telecom de Chile ADR 421,400 4,142,362
Compania Cervecerias Uni ADR 115,400 2,706,130
Cristalerias de Chile SA ADR 35,600 1,004,632
* Distribucion y Servicio D&S SA ADR 208,828 3,821,552
Embotelladora Andina SA Andina ADR 109,600 1,282,320
Embotelladora Andina SA Andina Series B ADR 89,100 1,175,229
Empresa Nacional de Electricidad SA ADR 514,018 11,822,414
* Enersis SA ADR 285,903 2,633,167
* Grupo Financiero Galicia SA ADR 211,011 1,846,346
Lan Chile SA ADR 125,900 4,620,530
* Madeco SA 4,450 40,361
Masisa SA ADR 25,100 414,150
Sociedad Quimica y Minera de Chile SA ADR 61,300 5,236,246
Sociedad Quimica y Minera de Chile SA ADR Class A 902 85,239
Vina Concha y Toro SA Conchatoro ADR 27,100 2,039,275
----------------
TOTAL -- UNITED STATES
(Cost $40,357,553) 55,411,665
----------------
THAILAND -- (3.6%)
COMMON STOCKS -- (3.6%)
Advance Info Service Public Co., Ltd. (Foreign) 5,982,000 13,766,109
Aromatics (Thailand) Public Co., Ltd. (Foreign) 1,387,500 1,809,931
Bangkok Expressway Public Co., Ltd. (Foreign) 1,794,100 1,159,122
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* Bank of Ayudhya Public Co., Ltd. (Foreign) 5,174,500 1,617,429
Banpu Public Co., Ltd. (Foreign) 132,000 490,574
BEC World Public Co., Ltd. (Foreign) 3,915,000 1,194,831
Charoen Pokphand Foods Public Co., Ltd. (Foreign) 14,442,000 1,521,333
Delta Electronics (Thailand) Public Co., Ltd. (Foreign) 4,100,710 1,544,201
Krung Thai Bank Public Co., Ltd. (Foreign) 17,302,970 3,917,975
Land & Houses Public Co., Ltd. (Foreign) 2,130,310 403,726
National Finance and Securities Public Co., Ltd. (Foreign) 630,150 209,378
National Petrochemical Public Co., Ltd. (Foreign) 441,500 1,314,829
Ratchaburi Electricity Generating Holding Public Co., Ltd.
(Foreign) 2,200,000 2,111,740
Shin Corporation Public Co., Ltd. (Foreign) 6,122,000 5,575,043
Siam Cement Public Co., Ltd. (Foreign) 270,000 1,621,462
Siam City Cement Public Co., Ltd. (Foreign) 633,413 4,427,499
Siam Commercial Bank Public Co., Ltd. (Foreign) 2,549,166 2,995,882
* Telecomasia Corp. Public Co., Ltd. (Foreign) 6,977,800 1,476,965
* Thai Military Bank Public Co., Ltd. (Foreign) 12,415,080 1,240,591
Thai Union Frozen Products Public Co., Ltd. (Foreign) 3,178,520 2,190,464
----------------
TOTAL COMMON STOCKS
(Cost $40,370,479) 50,589,084
----------------
RIGHTS/WARRANTS -- (0.0%)
* Telecomasia Corp. Public Co., Ltd. (Foreign) Warrants 03/31/08 1,444,563 0
----------------
(Cost $0)
TOTAL -- THAILAND
(Cost $40,370,479) 50,589,084
----------------
HUNGARY -- (3.0%)
COMMON STOCKS -- (3.0%)
Budapesti Elektromos Muvek RT 185 20,127
Delmagyarorszagi Aramszolgaltato Demasz RT 2,275 151,804
Egis RT 37,757 3,245,334
Gedeon Richter, Ltd. 46,937 6,116,871
* Magyar Olay-Es Gazipari RT 168,429 12,524,216
Matav RT 1,050,555 4,082,831
Orszagos Takerekpenztar es Keresdelmi Bank RT 386,220 11,975,686
* Tiszai Vegyi Kombinat RT 117,534 3,306,425
----------------
TOTAL -- HUNGARY
(Cost $15,788,433) 41,423,294
----------------
PHILIPPINES -- (2.5%)
COMMON STOCKS -- (2.5%)
Aboitiz Equity Ventures, Inc. 7,803,400 705,138
Ayala Corp. Series A 850,070 5,842,676
Ayala Land, Inc. 27,511,576 3,867,503
Bank of the Philippine Island 4,641,373 4,113,276
Equitable PCI Bank, Inc. 2,217,300 2,110,226
* Filipina Water Bottling Corp. 2,006,957 0
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Metro Bank and Trust Co. 4,584,435 2,471,000
Petron Corp. 28,593,000 1,725,646
Philippine Long Distance Telephone Co. 347,030 9,389,585
SM Prime Holdings, Inc. 29,223,000 4,059,262
Union Bank of the Philippines 419,500 218,894
----------------
TOTAL -- PHILIPPINES
(Cost $41,776,760) 34,503,206
----------------
POLAND -- (2.4%)
COMMON STOCKS -- (2.4%)
* Agora SA 98,779 1,987,712
Bank Polska Kasa Opieki -- Grupa Pekao SA 156,792 6,316,804
Bank Przemyslowo Handlowy BPH 31,526 4,776,577
Bank Zackodni WBK SA 93,312 2,543,552
Big Bank Gdanski SA 2,029,541 1,874,987
Browary Zywiec SA 15,860 2,359,684
* Budimex SA 36,763 537,420
* Cersanit-Krasnystaw SA 19,143 611,528
Debica SA 19,800 485,598
Frantschach Swiecie SA 103,599 1,447,415
* Kredyt Bank SA 418,562 1,161,463
Netia Holdings SA 495,665 558,232
* Optimus Technologie 6,873 14,259
Orbis SA 77,409 522,323
Polski Koncern Naftowy Orlen SA 267,237 3,623,950
* Prokom Software SA 21,336 603,706
Telekomunikacja Polska SA 712,274 3,941,839
Zaklady Metali Lekkich Kety SA 15,120 491,660
----------------
TOTAL -- POLAND
(Cost $20,586,160) 33,858,709
----------------
ARGENTINA -- (1.7%)
COMMON STOCKS -- (1.7%)
Acindar Industria Argentina de Aceros SA Series B 899,000 1,879,116
* Alpargatas SA Industrial y Comercial 1,078 1,297
Alto Palermo SA Series A 5,000 11,045
Banco del Sud Sociedad Anonima Series B 29,000 38,722
* Banco Frances del Rio de la Plata SA 489,961 1,088,745
* Capex SA Series A 52,893 100,270
Celulosa Argentina SA Series B 18,750 22,130
* Central Costanera SA Series B 114,100 127,900
* Central Puerto SA Series B 16,000 9,073
* Garovaglio y Zorraquin SA 28,000 4,800
* Gas Natural SA, Buenos Aires 345,000 227,486
* Grupo Financiero Galicia SA Series B 150,000 123,633
* IRSA Inversiones y Representaciones SA 657,649 784,887
* Juan Minetti SA 353,151 387,712
Ledesma S.A.A.I. 242,632 142,388
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* Metrogas SA Series B 543,115 241,730
* Molinos Rio de la Plata SA Series B 694,833 1,065,217
* Perez Companc SA 2,329,901 2,703,864
* Renault Argentina SA 399,465 108,652
Siderar S.A.I.C. Series A 721,484 5,280,613
Solvay Indupa S.A.I.C. 555,366 750,702
* Telecom Argentina Stet-France SA Series B 977,000 2,264,407
Tenaris SA 653,898 4,311,662
* Transportadora de Gas del Sur SA Series B 1,028,000 1,220,114
----------------
TOTAL COMMON STOCKS
(Cost $24,666,515) 22,896,165
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Argentine Peso 261,567
----------------
(Cost $256,447)
TOTAL -- ARGENTINA
(Cost $24,922,962) 23,157,732
----------------
INDIA -- (1.5%)
COMMON STOCKS -- (1.5%)
* Arvind Mills, Ltd. 18,986 61,552
* ASEA Brown Boveri, Ltd. 5,549 164,808
* Ashok Leyland, Ltd. 142,358 77,787
* Asian Paints (India), Ltd. 15,554 136,426
Aventis Pharma, Ltd. 2,238 65,808
* Bajaj Auto, Ltd. 6,338 177,601
* Bharat Earth Movers, Ltd. 3,595 54,866
* Bharat Forge, Ltd. 2,427 75,455
* Biocon, Ltd. 9,717 95,450
* Cadila Healthcare, Ltd. 5,103 56,558
* Cipla, Ltd. 24,613 162,538
* Colgate-Palmolive (India), Ltd. 11,162 55,974
* Crompton Greaves, Ltd. 5,089 54,699
* Dr. Reddy's Laboratories, Ltd. 23,214 382,927
* Glaxosmithkline Pharmaceuticals, Ltd. 11,432 198,369
* Great Eastern Shipping Co., Ltd. 36,320 129,595
* Gujarat Ambuja Cements, Ltd. 14,366 148,832
* HCL Technologies, Ltd. 34,977 291,632
HDFC Banking, Ltd. 92,565 1,138,848
* Hero Honda Motors, Ltd. Series B 41,808 527,741
* Hindustan Lever, Ltd. 417,111 1,364,595
* I-Flex Solutions, Ltd. 18,868 307,902
* Indian Hotels Co., Ltd. 8,770 133,873
Indian Petrochemicals Corp., Ltd. 41,340 154,124
* Indian Rayon & Industries, Ltd. 5,819 59,184
* Industrial Development Bank of India, Ltd. 85,476 182,428
* Infosys Technologies, Ltd. 82,467 4,241,466
* ITC, Ltd. 37,604 1,372,143
* Jindal Steel & Power, Ltd. 2,992 62,663
* Jindal Vijaynagar Steel, Ltd. 19,819 142,674
* Jubilant Organsys, Ltd. 2,601 55,561
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* Larsen & Toubro, Ltd. 10,664 255,190
* Mahindra & Mahindra, Ltd. 26,845 313,600
* Maruti Udyog, Ltd. 37,828 403,069
* Matrix Laboratories, Ltd. 14,545 61,289
* Moser Baer (India), Ltd. 11,441 55,994
* Motor Industries Co., Ltd. 3,520 173,385
* Nicholas Piramal India, Ltd. 9,850 55,655
* Nirma, Ltd. 7,714 69,369
* Patni Computer Systems, Ltd. 19,208 152,770
* Ranbaxy Laboratories, Ltd. 37,255 937,364
Raymond, Ltd. 7,347 57,491
* Satyam Computer Services, Ltd. 101,831 1,058,054
* Sesa Goa, Ltd. 3,825 57,196
* Siemens India, Ltd. 4,338 199,281
* Sterlite Industries (India), Ltd. Series A 16,881 232,702
* Sun Pharmaceuticals Industries, Ltd. 25,252 302,720
* Tata Chemicals, Ltd. 17,655 71,926
* Tata Consultancy Services 31,845 969,430
* Tata Iron & Steel Co., Ltd. 72,467 600,725
* Tata Motors, Ltd. 89,716 887,023
* Tata Tea, Ltd. 11,253 147,517
* Tata Teleservices Maharashtra, Ltd. 229,010 135,191
UTI Bank, Ltd. 42,054 230,084
* Videsh Sanchar Nigam, Ltd. 31,313 148,808
* Wipro, Ltd. 50,702 826,971
* Wockhardt, Ltd. 7,465 62,175
* Zee Telefilms, Ltd. Series B 69,127 219,560
----------------
TOTAL -- INDIA
(Cost $20,211,656) 20,818,618
----------------
CZECH REPUBLIC -- (0.6%)
COMMON STOCKS -- (0.6%)
Cesky Telecom A.S. 146,147 2,736,273
CEZ A.S. 222,890 3,779,222
Komercni Banka A.S. 15,737 1,941,621
Phillip Morris CR A.S. 478 332,388
* Zentiva NV 3,470 115,093
----------------
TOTAL -- CZECH REPUBLIC
(Cost $6,006,278) 8,904,597
----------------
14
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FACE
AMOUNT VALUE +
---------------- ----------------
(000)
TEMPORARY CASH INVESTMENTS -- (0.4%)
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%,
06/01/05 (Collateralized by $5,486,000 FNMA Notes 2.95%,
11/14/07, valued at $5,479,143) to be repurchased at
$5,398,433 $ 5,398 5,398,000
----------------
(Cost $5,398,000)
TOTAL INVESTMENTS -- (100.0%)
(Cost $981,452,218) $ 1,387,657,554
----------------
----------
+ Securities have been fair valued. See Note B to Financial
Statements.
* Non-Income Producing Securities.
See accompanying Notes to Financial Statements.
15
THE EMERGING MARKETS SMALL CAP SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
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SHARES VALUE +
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TAIWAN -- (12.2%)
COMMON STOCKS -- (12.1%)
Ability Enterprise Co., Ltd. 66,197 $ 30,434
Abit Computer Co., Ltd. 131,260 6,361
* Accton Technology Corp. 354,000 178,445
Advantech Co., Ltd. 179,902 423,697
Altek Corp. 16,800 16,601
* Ambassador Hotel 136,000 110,355
Amtran Technology Co., Ltd. 122,216 62,420
* Arima Computer Corp. 582,000 140,584
Asia Polymer Corp. 44,280 20,621
* Askey Computer Co., Ltd. 183,321 103,601
Audix Co., Ltd. 18,942 22,245
* Aurora Corp. 52,250 31,454
Avermedia Technologies, Inc. 30,844 30,288
Avision, Inc. 25,030 12,732
Bank of Kaohsiung Co., Ltd. 276,966 185,034
Basso Industry Corp., Ltd. 72,600 175,779
* Behavior Tech Computer Corp. 117,000 41,291
* Bes Engineering Corp. 455,572 63,542
* Carnival Industrial Corp. 95,000 20,055
Catcher Co., Ltd. 149,692 779,691
Cathay Real Estate Development Co., Ltd. 439,753 184,204
* Central Insurance Co., Ltd. 63,600 19,752
Central Reinsurance Co., Ltd. 69,133 27,811
Cheng Loong Corp. 745,330 232,047
Cheng Uei Precision Industry Co., Ltd. 193,320 534,738
* Chia Hsin Cement Corp. 327,000 119,368
* Chia Hsin Food & Synthetic Fiber Co., Ltd. 153,330 13,406
Chicony Electronics Co., Ltd. 227,639 226,432
* Chien Shing Stainless Steel Co., Ltd. 56,000 9,141
* China General Plastics Corp. 76,000 21,713
* China Life Insurance Co., Ltd. 362,418 154,188
* China Man-Made Fiber Co., Ltd. 1,081,280 463,579
China Metal Products Co., Ltd. 23,705 19,589
* China Petrochemical Development Corp. 1,078,000 256,732
* China Rebar Co., Ltd. 126,800 10,668
China Steel Chemical Corp. 86,552 131,274
* China Synthetic Rubber Corp. 59,987 19,917
* China United Trust & Investment Corp. 138,100 16,979
Chin-Poon Industrial Co., Ltd. 36,809 20,250
* Chou Chin Industrial Co., Ltd. 42,180 0
Chroma Ate, Inc. 57,954 50,619
* Chun Yu Works & Co., Ltd. 69,000 16,855
Chun Yuan Steel Industrial Co., Ltd. 193,000 111,278
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Chung Hsin Electric & Machinery Co., Ltd. 120,000 51,721
Chung Hwa Pulp Corp. 226,594 76,398
Clevo Co. 84,381 28,957
* Compal Commun 282,250 768,600
* Compeq Manufacturing Co., Ltd. 665,000 220,505
Continental Engineering Corp. 488,979 217,263
* Cosmos Bank Taiwan 768,000 364,625
CTCI Corp. 227,663 120,311
Der Pao Construction Co., Ltd. 78,000 17,540
D-Link Corp. 628,271 758,095
Edom Technology Co., Ltd. 14,160 11,676
Elan Microelectronincs Corp. 82,784 40,212
Elite Semiconductor Memory Technology, Inc. 111,600 199,367
Elitegroup Computer Systems Co., Ltd. 484,250 308,316
* Enlight Corp. 53,000 16,838
* EnTie Commercial Bank 1,345,246 463,816
Epistar Corp. 38,030 57,433
* ET Internet Technology Corp. 475,114 188,882
Eternal Chemical Co., Ltd. 284,700 190,740
* Everest Textile Co., Ltd. 115,360 25,661
Evergreen International Storage & Transport Corp. 775,000 295,154
Everlight Chemical Industrial Corp. 65,000 19,785
Everlight Electronics Co., Ltd. 140,004 177,694
* Everspring Industry Co., Ltd. 51,000 11,492
Far East Department Stores, Ltd. 628,000 344,038
* Far Eastern International Bank 492,000 267,886
Federal Corp. 77,229 41,309
Feng Hsin Iron & Steel Co., Ltd. 439,180 423,630
Feng Tay Enterprise Co., Ltd. 284,468 315,703
* FIC Global, Inc. 142,875 17,323
First Copper Technology Co., Ltd. 62,000 15,923
Formosa International Hotels Corp. 49,500 82,614
Formosa Taffeta Co., Ltd. 1,239,000 604,651
* Formosan Rubber Group, Inc. 68,000 27,307
Giant Manufacture Co., Ltd. 188,170 305,190
* Giga Storage Corp. 43,859 13,578
Giga-Byte Technology Co., Ltd. 696,000 762,667
Globe Union Industrial Corp. 77,855 95,247
* Gold Circuit Electronics, Ltd. 77,446 34,775
* Goldsun Development & Construction Co., Ltd. 449,000 105,281
* Grand Pacific Petrochemical Corp. 115,000 33,441
Great China Metal Industry Co., Ltd. 63,000 30,959
Great Taipei Gas Co., Ltd. 97,000 39,684
Great Wall Enterprise Co., Ltd. 64,890 18,796
Greatek Co., Ltd. 149,701 146,931
Hey Song Corp. 96,000 29,359
Ho Tung Holding Corp. 153,486 35,395
* Hocheng Corp. 71,000 17,348
Hotai Motor Co., Ltd. 179,000 404,273
Hsin Kuang Steel Co., Ltd. 25,854 25,133
* Hsinchu International Bank 579,700 339,765
Hsing Ta Cement Co., Ltd. 103,000 29,879
Hua Eng Wire & Cable Co., Ltd. 113,565 21,834
Hung Poo Construction Corp. 76,000 54,211
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* Hung Sheng Construction Co., Ltd. 263,000 133,844
Ichia Technologies, Inc. 137,905 135,911
Infortrend Technology, Inc. 100,900 212,318
* K Laser Technology, Inc. 20,343 11,380
* Kao Hsing Chang Iron & Steel Corp. 101,000 26,997
Kaulin Manufacturing Co., Ltd. 18,400 18,106
Kendra Rubber Industrial Co., Ltd. 184,872 125,171
King Yuan Electronics Co., Ltd. 583,386 529,483
* Kingdom Construction Co., Ltd. 107,000 25,329
* King's Town Construction Co., Ltd. 65,000 102,381
Kinpo Electronics, Inc. 1,005,560 434,636
Knowledge-Yield-Excellence Systems Corp. 25,966 19,119
Largan Precision Co., Ltd. 85,000 584,481
* Lead Data Co., Ltd. 86,920 15,044
* Lealea Enterprise Co., Ltd. 110,000 14,453
Lee Chang Yung Chemical Industry Corp. 180,075 92,162
* Lelon Co., Ltd. 29,170 11,310
* Leofoo Development Co., Ltd. 35,000 20,994
Li Shin International Enterprise Corp. 26,544 14,035
Lien Hwa Industrial Corp. 273,000 92,212
Lingsen Precision Industries, Ltd. 45,000 17,417
Long Bon Development Co., Ltd. 98,000 26,991
Long Chen Paper Co., Ltd. 89,000 22,468
Lucky Cement Corp. 97,000 22,022
* Macronix International Co., Ltd. 4,841,000 757,840
Meiloon Co., Ltd. 52,533 36,518
Mercuries & Associates, Ltd. 112,455 28,479
Mercuries Data Co., Ltd. 52,504 15,241
Merry Electronics Co., Ltd. 50,924 120,133
* Microelectronics Technology, Inc. 77,000 30,756
Micro-Star International Co., Ltd. 463,700 360,165
Mitac International Corp. 845,000 899,553
Mustek Systems, Inc. 39,600 10,789
* Nankang Rubber Tire Co., Ltd. 123,000 113,968
National Petroleum Co., Ltd. 104,824 85,360
Nien Hsing Textile Co., Ltd. 493,000 411,795
Nien Made Enterprise Co., Ltd. 218,642 350,332
Optimax Technology Corp. 124,336 302,895
* Opto Tech Corp. 61,000 13,966
* Orient Semiconductor Electronics, Ltd. 226,487 19,569
Oriental Union Chemical Corp. 545,821 496,117
* Pacific Electric Wire & Cable Corp. 726,000 12,036
Pan Jit International, Inc. 37,000 18,416
Pan Overseas Electronics Co., Ltd. 68,407 16,764
* Pan-International Industrial Corp. 226,250 320,669
Phihong Technology Co., Ltd. 41,635 12,480
Phoenix Precision Technology Corp. 334,583 331,958
Phoenixtec Power Co., Ltd. 292,725 291,894
* Picvue Electronics, Ltd. 181,900 20,709
Pihsiang Machinery Mfg. Co., Ltd. 109,440 233,134
Premier Image Technology Corp. 434,550 482,596
Primax Electronics, Ltd. 61,186 14,636
* Prince Housing & Development Corp. 223,000 56,594
* Procomp Informatics, Ltd. 21,675 0
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Prodisc Technology, Inc. 377,199 127,432
* Q-Run Technology Co., Ltd. 212,400 800,401
* Radium Life Tech Corp. 33,000 16,938
Realtek Semiconductor Corp. 811,000 821,163
Ritek Corp. 2,446,000 857,695
* Ruentex Development Co., Ltd. 140,000 28,675
* Ruentex Industries, Ltd. 426,000 173,494
Sampo Corp. 459,900 79,823
* San Fang Chemical Industry Co., Ltd. 44,770 25,782
Sanyang Industrial Co., Ltd. 430,000 187,852
Sanyo Electric Co., Ltd. 56,000 30,007
Senao International Co., Ltd. 34,133 13,795
Sheng Yu Steel Co., Ltd. 212,980 222,799
Shihlin Electric & Engineering Corp. 301,000 215,440
* Shihlin Paper Corp. 56,000 39,407
* Shinkong Synthetic Fibers Co., Ltd. 765,000 159,879
Shuttle, Inc. 35,250 18,101
* Silicon Integrated Systems Corp. 942,608 511,444
Sincere Navigation Corp. 244,391 265,092
* Sinkong Spinning Co., Ltd. 60,000 21,264
* Sintek Photronics Corp. 337,450 146,765
Sinyi Realty, Inc. 26,000 56,295
* Solomon Technology Corp. 90,000 17,440
* Southeast Cement Co., Ltd. 98,700 19,490
Springsoft, Inc. 85,825 171,565
Stark Technology, Inc. 45,100 21,846
Sunonwealth Electric Machine Industry Co., Ltd. 44,719 18,903
Sunrex Technology Corp. 91,849 96,064
Systex Corp., Ltd. 558,348 183,239
Ta Chen Stainless Pipe Co., Ltd. 25,000 12,235
* Ta Chong Bank 888,212 266,184
Ta Ya Electric Wire & Cable Co., Ltd. 92,220 28,260
* Taichung Commercial Bank 1,137,000 323,296
* Tainan Business Bank 424,000 157,309
Tainan Enterprises Co., Ltd. 28,000 35,963
Tainan Spinning Co., Ltd. 1,073,000 246,268
Taiwan Acceptance Corp. 38,480 38,544
Taiwan Fire & Marine Insurance Co., Ltd. 72,695 35,249
Taiwan Fu Hsing Industrial Co., Ltd. 30,000 35,136
Taiwan Green Point Enterprises Co., Ltd. 130,899 491,623
Taiwan Hon Chuan Enterprise Co., Ltd. 20,007 17,812
Taiwan Kai Yih Industrial Co., Ltd. 28,088 22,270
* Taiwan Kolin Co., Ltd. 90,000 24,008
Taiwan Life Insurance Co., Ltd 332,785 567,571
Taiwan Mask Corp. 49,720 22,517
Taiwan Navigation Co., Ltd. 158,176 117,408
Taiwan Polypropylene Co., Ltd. 120,586 95,055
Taiwan Secom 349,912 523,031
Taiwan Sogo Shinkong Security Co., Ltd. 46,053 27,570
Taiwan Styrene Monomer Corp. 278,000 146,796
* Taiwan Tea Corp. 220,917 33,796
Teco Electric & Machinery Co., Ltd. 1,552,000 449,688
Tecom, Ltd. 41,114 19,790
Test-Rite International Co., Ltd. 83,405 52,859
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* The Chinese Bank 464,000 73,354
* The Farmers Bank of China 1,413,887 447,299
The First Insurance Co., Ltd. 56,000 28,767
Ton Yi Industrial Corp. 790,280 196,122
Tong Yang Industry Co., Ltd. 339,558 486,033
Transcend Information, Inc. 197,649 505,848
Tsann Kuen Enterprise Co., Ltd. 62,930 73,269
TSRC Corp. 251,000 124,886
Tung Ho Steel Enterprise Corp. 595,167 378,622
* Twinhead International Corp. 60,504 9,704
TYC Brother Industrial Co., Ltd. 49,140 35,826
* Tycoons Group Enterprise Co., Ltd. 72,000 16,646
U-Ming Marine Transport Corp. 200,100 311,882
* Union Bank of Taiwan 1,338,488 410,151
* Union Insurance Co., Ltd. 99,203 22,822
* Unitech Printed Circuit Board Corp. 62,000 20,076
United Epitaxy Co., Ltd. 52,550 28,680
United Integration Service Co., Ltd. 48,481 51,822
* Universal Cement Corp. 70,560 24,967
Universal Scientific Industrial Co., Ltd. 353,550 134,089
UPC Technology Corp. 314,680 110,449
USI Corp. 379,000 124,654
* Via Technologies, Inc. 1,049,392 678,915
Walsin Technology Corp., Ltd. 100,788 54,339
Waterland Financial Holdings 682,000 286,293
* Wei Chuan Food Corp. 70,000 21,279
Weltrend Semiconductor, Inc. 34,529 12,950
Wintek Corp. 493,199 661,692
Wistron Corp. 595,938 418,998
World Peace Industrial Co., Ltd. 102,287 58,648
Wus Printed Circuit Co., Ltd. 138,064 49,001
Ya Hsin Industrial Co., Ltd. 575,316 540,523
* Yageo Corp. 2,485,000 938,817
Yeung Cyang Industrial Co., Ltd. 29,016 20,973
Yieh Phui Enterprise Co., Ltd. 1,218,457 622,394
Yosun Industrial Corp. 21,227 14,453
Yuen Foong Yu Paper Manufacturing Co., Ltd. 1,661,972 628,338
Yung Chi Paint & Varnish Manufacturing Co., Ltd. 28,672 37,519
Yung Shin Pharmaceutical Industrial Co., Ltd. 86,000 85,779
Yung Tay Engineering Co., Ltd. 127,000 66,294
Zig Sheng Industrial Co., Ltd. 73,840 20,319
Zinwell Corp. 26,106 27,371
Zyxel Communication Corp. 201,692 509,328
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TOTAL COMMON STOCKS
(Cost $39,300,564) 41,513,126
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INVESTMENT IN CURRENCY -- (0.1%)
* Taiwan Dollar 309,643
----------------
(Cost $309,563)
TOTAL -- TAIWAN
(Cost $39,610,127) 41,822,769
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SOUTH KOREA -- (12.1%)
COMMON STOCKS -- (12.1%)
* Anam Semiconductor, Inc. 132,743 279,086
Asia Cement Manufacturing Co., Ltd. 1,243 41,904
Bing Grae Co., Ltd. 4,980 197,917
Bu Kwang Pharmaceutical Co., Ltd. 10,550 152,664
Byuck San Engineering and Construction Co., Ltd. 8,750 42,759
* Capro Corp. 11,440 56,618
Cheil Communications, Inc. 3,257 552,131
Cheil Industrial, Inc. 33,120 544,889
Chong Kun Dang Pharmaceutical Corp. 2,950 36,591
Choongwae Pharmaceutical Corp. 1,877 45,676
Chungho Comnet Co., Ltd. 720 8,513
* Comtec Systems Co., Ltd. 2,000 2,464
* Dacom Corp. 9,430 90,572
* Dae Ho Corp. 543 70
Dae Sang Corp. 17,680 82,817
Dae Won Kang Up Co., Ltd. 1,740 31,910
Daeduck Electronics Co., Ltd. 22,437 177,591
Daeduck Industries Co., Ltd. 7,526 70,877
Daegu Bank Co., Ltd. 85,030 663,905
Daehan City Gas Co., Ltd. 2,621 60,040
Daehan Flour Mills Co., Ltd. 470 38,912
Daesung Industrial Co., Ltd. 1,690 51,176
Daewoo International Corp. 73,740 1,083,557
Daewoo Motor Sales Corp. 13,190 150,242
Daewoo Precision Industries Co., Ltd. 2,800 43,868
* Daewoo Securities Co., Ltd. 179,550 1,188,861
Daewoong Co., Ltd. 4,686 43,904
Daewoong Pharmaceutical Co., Ltd. 3,630 83,820
Daishin Securities Co., Ltd. 32,790 417,818
* Daou Technology, Inc. 7,000 11,090
DC Chemical Co., Ltd. 11,486 234,188
* Dong Ah Tire Industrial Co., Ltd. 7,555 37,486
Dong Bu Insurance Co., Ltd. 52,320 442,763
Dong-A Pharmaceutical Co., Ltd. 3,293 122,486
Dongbu Corp. 9,050 104,776
Dongbu Hannong Chemical Co., Ltd. 2,920 50,031
Dongbu Steel Co., Ltd. 11,230 114,937
Dongkuk Steel Mill Co., Ltd. 53,347 872,200
* Dongsu Industrial Co., Ltd. 2,870 34,087
Dongwon F&B Co., Ltd. 900 47,972
Dongwon Financial Holding Co., Ltd. 36,158 606,340
Dongyang Mechatronics Corp. 7,020 24,414
* Doosan Corp. 10,640 112,304
Doosan Heavy Industries & Construction Co., Ltd. 60,280 829,732
* Doosan Industrial Development Co., Ltd. 61,780 305,149
* Eastel Systems Corp. 32,127 45,876
* Firstech Co., Ltd. 29,210 45,275
* FNC Kolon Corp. 2,264 16,184
Fursys, Inc. 2,880 45,573
Global Enterprise Co., Ltd. 9,345 45,931
Green Cross Corp. 1,825 56,468
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Hae In Co., Ltd. 5,964 11,572
Halla Climate Control Corp. 84,000 719,966
Halla Engineering & Construction Corp. 2,360 38,031
Han Kuk Carbon Co., Ltd. 7,903 21,655
Han Wha Corp. 58,570 947,580
Hana Securities Co., Ltd. 5,930 60,616
Handok Pharmaceuticals Co., Ltd. 3,860 42,084
Handsome Corp. 13,420 144,168
Hanil Cement Manufacturing Co., Ltd. 4,168 230,581
Hanjin Heavy Industry Co., Ltd. 48,990 578,665
Hanjin Transportation Co., Ltd. 3,471 42,857
* Hankook Synthetics, Inc. 550 2,819
Hankuk Electric Glass Co., Ltd. 5,240 229,482
Hankuk Glass Industries, Inc. 7,800 447,137
Hankuk Paper Manufacturing Co., Ltd. 1,450 51,596
Hanmi Pharmaceutical Industrial Co, Ltd. 3,777 216,864
* Hansol Electronics Inc. 797 6,579
Hansol Paper Co., Ltd. 29,350 285,076
Hanssem Co., Ltd. 6,820 42,287
* Hansung Enterprise Co., Ltd. 620 2,895
Hanwha Chemical Corp. 93,200 998,651
Hanwha Securities Co., Ltd. 13,070 61,872
Hotel Shilla, Ltd. 15,138 103,270
Huchems Fine Chemical Corp. 5,616 28,956
* Hung Chang Co., Ltd. 6 38
Hyosung T & C Co., Ltd. 16,258 179,041
Hyundai Auton Co., Ltd. 106,390 370,253
Hyundai Cement Co., Ltd. 2,570 71,117
* Hyundai Corp. 6,515 41,872
Hyundai Department Store Co., Ltd. 17,410 822,183
Hyundai Department Store H & S Co., Ltd. 1,290 38,452
Hyundai Development Co. 39,110 823,759
Hyundai Elevator Co., Ltd. 3,394 145,239
Hyundai Hysco 59,570 710,931
Hyundai Marine & Fire Insurance Co., Ltd. 50,050 274,418
* Hyundai Merchant Marine Co., Ltd. 65,410 1,036,331
Hyundai Mipo Dockyard Co., Ltd. 15,098 949,708
* Hyundai Securities Co., Ltd. 94,129 633,917
Iljin Diamond Co., Ltd. 1,272 12,322
* Iljin Display Co., Ltd. 728 7,957
Iljin Electric, Ltd. 9,150 21,866
Ilshin Spinning Co., Ltd. 380 15,501
* Inchon Oil Refinery Co., Ltd. 373 20
ISU Chemical Co., Ltd. 1,530 16,141
Isupetasys Co., Ltd. 7,160 12,241
Jahwa Electronics Co., Ltd. 6,230 51,201
Jeonbuk Bank, Ltd. 8,847 41,561
* Jindo Corp. 500 2,791
K.C. Tech Co., Ltd. 6,000 28,264
* Keang Nam Enterprises Co., Ltd. 3,380 29,580
KEC Corp. 30,350 46,730
* Kolon Industries, Inc. 5,090 36,980
* Kolon International Corp. 321 1,373
Korea Circuit Co. 7,800 40,018
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* Korea Data Systems Co., Ltd. 35,000 3,805
Korea Development Co., Ltd. 4,980 101,143
* Korea Development Leasing Corp. 1,040 29,545
Korea Electric Terminal Co., Ltd. 3,530 45,598
Korea Fine Chemical Co., Ltd. 1,388 13,296
Korea Iron & Steel Co., Ltd. 5,230 114,013
Korea Iron & Steel Works Co., Ltd. 3,328 52,123
Korea Komho Petrochemical Co., Ltd. 16,940 300,317
Korea Line Corp. 5,130 151,635
Korea Petrochemical Industry Co., Ltd. 2,410 54,667
Korea Polyol Co., Ltd. 1,570 50,753
Korea Reinsurance Co., Ltd. 66,430 364,619
Korea Zinc Co., Ltd. 12,300 369,571
Korean Air Co., Ltd. 13,610 241,664
* KP Chemical Corp. 64,291 295,351
* KTB Network, Ltd. 17,000 51,160
Kukdong City Gas Co., Ltd. 1,740 38,503
Kumho Electronics Co., Ltd. 2,026 99,867
Kumho Industrial Co., Ltd. 23,950 299,217
Kwang Dong Pharmaceutical Co., Ltd. 12,880 35,877
Kyeryong Construction Industrial Co., Ltd. 3,400 71,034
Kyobo Securities Co., Ltd. 10,440 38,442
LG Ad Inc., Ltd. 4,120 75,587
LG Cable, Ltd. 25,270 603,562
LG Caltex Gas Co., Ltd. 1,980 60,891
LG Engineering & Construction Corp. 28,150 875,437
LG Household & Healthcare Co., Ltd. 8,720 320,541
LG Industrial Systems, Ltd. 19,410 377,823
LG Insurance Co., Ltd. 27,140 175,302
LG International Corp. 44,138 507,960
LG Investment & Securities Co., Ltd. 95,130 886,018
* LG Life Sciences, Ltd. 10,315 365,614
LG Petrochemical Co., Ltd. 26,470 643,479
Lotte Chilsung Beverage Co., Ltd. 1,032 963,960
Lotte Confectionary Co., Ltd. 1,240 885,112
Lotte Sam Kang Co., Ltd. 230 32,381
* Meritz Securities Co., Ltd. 2,940 9,142
* Midopa Co., Ltd. 41,650 252,020
Namhae Chemical Corp. 13,104 29,123
Namyang Dairy Products Co., Ltd. 340 143,983
Nong Shim Holdings Co., Ltd. 780 60,350
Oriental Fire & Marine Insurance Co., Ltd. 2,750 53,940
ORION Corp. 4,310 619,632
Ottogi Corp. 990 77,530
Pacific Industries, Inc. 2,100 29,837
* Pantech Co., Ltd. 8,690 42,191
Pohang Coated Steel Co., Ltd. 1,760 48,900
Poong San Corp. 16,810 211,212
Pulmuone Co., Ltd. 2,030 70,387
Pusan Bank 97,000 824,810
Pusan City Gas Co., Ltd. 3,000 54,454
Pyung Hwa Industrial Co., Ltd. 6,170 29,600
S1 Corp. 15,730 642,981
* Saehan Industries, Inc. 7,440 17,420
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Samchully Co., Ltd. 2,000 158,140
Samlip Industrial Co., Ltd. 4,560 27,267
Samsung Engineering Co., Ltd. 21,090 214,558
Samsung Fine Chemicals Co., Ltd. 14,950 289,464
Samsung Techwin Co., Ltd. 51,810 473,311
Samwhan Corp. 2,900 35,508
Samyang Corp. 4,730 171,068
* Samyang Foods Co., Ltd. 1,530 29,461
Samyang Genex Co., Ltd. 220 9,671
Samyoung Corp. 2,170 33,962
Samyoung Electronics Co., Ltd. 5,800 38,354
Seah Holdings Corp. 880 35,552
Seah Steel Corp. 1,170 33,819
Sejong Securities Co., Ltd. 3,659 16,597
Seondo Electric Co., Ltd. 4,400 7,174
Seoul City Gas Co., Ltd. 2,750 85,619
Seoul Securities Co., Ltd. 19,500 65,993
Shin Young Securities Co., Ltd. 2,620 44,174
* Shindongbang Corp. 1,696 12,703
* Shin-Ho Paper Manufacturing Co., Ltd. 5,830 29,091
Shinmoorim Paper Manufacturing Co., Ltd. 2,858 28,658
Shinsung Engineering Co., Ltd. 11,880 37,698
Sindo Ricoh Co., Ltd. 7,510 422,348
SK Chemicals Co., Ltd. 5,140 59,498
SK Gas Co., Ltd. 3,580 102,899
* SKC Co., Ltd. 14,290 121,935
* Ssang Bang Wool Co., Ltd. 6,950 20,606
* Ssangyong Cement Industry Co., Ltd. 180,970 229,322
* Ssangyong Motor Co. 88,310 608,725
STX Corp. 8,858 165,250
STX Engine Co., Ltd. 4,692 49,449
Suheung Capsule Co., Ltd. 1,900 13,602
Sung Shin Cement Co., Ltd. 10,040 197,620
* Sunkyong Securities Co., Ltd. 149,540 172,773
Tae Kwang Industrial Co., Ltd. 670 405,476
Tae Young Corp. 3,274 111,449
Taegu Department Store Co., Ltd. 3,130 26,405
Tai Han Electric Wire Co., Ltd. 19,511 214,562
* Tong Yang Investment Bank 49,860 195,498
Tongil Heavy Industries Co., Ltd. 46,780 47,565
* Trigem Computer, Inc. 21,159 24,467
Union Steel Manufacturing Co., Ltd. 5,292 171,228
Woongjin Coway Co., Ltd. 9,270 138,313
Woongjin.Com Co., Ltd. 6,810 35,998
Youlchon Chemical Co., Ltd. 8,890 110,450
* Young Poong Mining & Construction Corp. 1,580 86
Youngone Corp. 18,210 61,859
Youngpoong Corp. 540 54,224
Yuhan Corp. 5,295 488,390
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TOTAL -- SOUTH KOREA
(Cost $27,932,788) 41,164,696
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SOUTH AFRICA -- (11.7%)
COMMON STOCKS -- (11.7%)
ADCorp Holdings, Ltd. 43,285 111,457
Advtech, Ltd. 120,000 24,305
Aeci, Ltd. 113,735 713,807
Afgri, Ltd. 394,599 297,065
African Life Assurance Co., Ltd. 165,518 544,083
African Oxygen, Ltd. 229,102 859,042
* Afrikander Lease, Ltd. 309,187 182,824
AG Industries, Ltd. 107,512 49,740
Alexander Forbes, Ltd. 575,600 957,199
Allied Electronics Corp., Ltd. 99,058 254,482
Allied Technologies, Ltd. 123,419 743,243
Amalgamated Appliance Holdings, Ltd. 191,501 136,424
* Anglovaal Mining, Ltd. 345,181 1,705,975
Argent Industrial, Ltd. 62,038 93,505
Aspen Pharmacare Holdings PLC 338,902 1,241,432
Astral Foods, Ltd. 50,147 464,078
Aveng, Ltd. 367,622 623,792
AVI, Ltd. 293,586 536,673
Bearing Man, Ltd. 69,024 74,380
* Bell Equipment, Ltd. 73,476 93,212
Brandcorp Holdings, Ltd. 43,383 51,436
* Business Connexion Group, Ltd. 229,687 162,036
Bytes Technology Group, Ltd. 157,376 177,502
Capitec Bank Holdings, Ltd. 56,781 129,512
Cashbuild, Ltd. 23,796 131,222
Caxton & CTP Publishers & Printers, Ltd. 538,807 861,091
Ceramic Industries, Ltd. 19,849 278,629
City Lodge Hotels, Ltd. 41,634 236,204
Connection Group Holdings, Ltd. 26,487 37,413
Corpcapital, Ltd. 241,136 9,559
* Cullinan Holdings, Ltd. 10,000 781
* Datacentrix Holdings, Ltd. 162,198 68,712
* Datatec, Ltd. 129,943 223,316
Delta Electrical Industries, Ltd. 45,094 261,847
* Dimension Data Holdings PLC 1,623,030 941,968
Distell Group, Ltd. 230,733 813,776
Distribution & Warehousing Network, Ltd. 160,606 134,193
Dorbyl, Ltd. 26,530 157,584
* Durban Roodeport Deep, Ltd. 223,484 253,203
Ellerine Holdings, Ltd. 138,298 1,015,750
Enviroserv Holdings, Ltd. 64,500 33,949
Famous Brands, Ltd. 42,836 41,513
Foschini, Ltd. 168,564 907,257
* Frontrange, Ltd. 116,544 84,118
Gold Reef Casino Resorts, Ltd. 235,403 470,627
Grindrod, Ltd. 110,283 778,168
Group Five, Ltd. 58,867 117,557
Highveld Steel & Vanadilum Corp., Ltd. 170,284 1,868,877
Hudaco Industries, Ltd. 32,410 178,506
Iliad Africa, Ltd. 150,725 220,522
Illovo Sugar, Ltd. 311,402 379,701
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Investec, Ltd. 61,734 1,773,851
* JCI, Ltd. 1,622,051 68,817
Johnic Communications, Ltd. 159,965 892,386
M Cubed Holdings, Ltd. 385,000 24,874
Medi-Clinic Corp., Ltd. 421,569 981,195
Metair Investment, Ltd. 6,133 207,266
* Metorex, Ltd. 233,200 125,547
Metropolitan Holdings, Ltd. 627,031 877,848
Mr. Price Group, Ltd. 293,245 520,585
Murray & Roberts Holdings, Ltd. 315,729 635,099
Mustek, Ltd. 20,612 31,275
Mvelaphanda Group, Ltd. 211,861 199,224
New Clicks Holdings, Ltd. 395,048 435,570
Northam Platinum, Ltd. 246,757 389,913
Nu-World Holdings, Ltd. 11,932 49,889
Oceana Group, Ltd. 110,362 214,006
Omnia Holdings, Ltd. 44,132 256,101
* Palabora Mining Co., Ltd. 20,554 113,925
Peregrine Holdings, Ltd. 218,856 131,784
Primedia, Ltd. N Shares 242,078 405,095
PSG Group, Ltd. 110,387 129,893
Rainbow Chicken, Ltd. 301,146 315,504
* Randgold & Exploration Co., Ltd. 60,670 94,985
Redefine Income Fund, Ltd. 34,692 19,117
Reunert 196,516 1,058,043
* SA Chrome and Alloys 798,852 72,661
* Sage Group, Ltd. 201,897 45,134
Santam, Ltd. 103,921 931,087
Shoprite Holdings, Ltd. 676,148 1,399,784
Spur Corp., Ltd. 53,697 47,400
Sun International, Ltd. 118,612 1,116,046
Super Group, Ltd. 487,656 812,605
Tiger Wheels, Ltd. 55,166 199,156
Tongaat-Hulett Group, Ltd. 170,160 1,476,295
Tourism Investment 647,510 137,034
Trans Hex Group, Ltd. 92,930 232,993
Trencor, Ltd. 191,076 558,636
Truworths International, Ltd. 449,776 1,108,406
UCS Group, Ltd. 144,872 24,620
Unitrans Ltd 65,023 309,931
Value Group, Ltd. 49,189 12,996
* Western Areas, Ltd. 163,102 537,613
Wilson Bayly Holme 54,508 216,357
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TOTAL -- SOUTH AFRICA
(Cost $36,033,034) 39,923,793
----------------
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BRAZIL -- (11.7%)
PREFERRED STOCKS -- (10.8%)
Acesita SA 97,876 1,287,276
Banco Mercantil do Brasil SA 130,000 16,186
Centrais Electricas de Santa Catarin Celesc Series B 1,309,000 472,642
Companhia Brasileira de Petroleo Ipiranga SA 60,800 667,172
Confab Industrial SA 555,000 773,936
Coteminas Cia Tecidos Norte de Minas 6,977,102 602,298
Distribuidora de Produtos de Petroleo Ipiranga SA 3,900 61,507
Duratex SA 17,300,000 789,790
* Electropaulo Electrecidade Metropolitana 49,450,000 1,918,894
Embraco SA 262,000 97,863
* Embratel Participacoes SA 443,600,000 942,615
* Empressa Metropolitanade Aguas e Energia SA 24,000,000 52,592
Energetica do Ceara Coelce 98,000,000 191,160
ENERSUL Empresa Energetjica de Mato Grosso do Sul SA
Series B 13,156,000 73,711
Fertibras SA 3,400 33,866
Forca Luz Cataguazes Leopoldina Series A 23,400,000 12,916
Forjas Taurus SA 88,000 41,270
Fras-Le Preferred 20,200 49,295
Globex Utilidades SA 42,468 188,149
* Gradiente Eletronica SA 2,600 12,409
* Industria de Bebidas Antarctica Polar SA 23,000 25,057
Industrias Romi SA 1,400 40,091
* Inepar SA Industria e Construcoes 79,900,001 39,129
Klabin SA 1,216,000 2,003,536
Lojas Americanas SA 115,490,369 2,109,455
Magnesita SA Series A 54,500,000 299,699
Magnesita SA Series C 202,338 1,238
Marcopolo SA 182,900 326,404
Metal Leve SA 6,600,000 373,895
Metalurgica Gerdau SA 130,853 1,813,858
* Net Servicos de Comunicacao SA 3,697,439 997,442
Paranaense de Energia Series B 409,200,000 2,343,623
* Paranapanema SA 238,300,000 707,136
Perdigao SA NPV 71,300 1,492,876
Random Implementos e Participacoes SA 162,500 418,137
Rasip Agro-Pastoril SA 51,000 5,080
Refinaria de Petroleo Ipiranga SA 12,300 288,472
Ripasa SA Papel e Celulose 584,200 865,571
Sadia SA 910,000 1,484,250
Santista Textil SA Preferred 16,400 119,112
Sao Pau Alpargatas SA 2,620,001 358,830
Saraiva Livreiros Editores 4,000 21,664
* Sharp SA Equipamentos Eletronicos 30,200,000 251
Suzano Bahia Sul Papel e Celullose SA 292,642 1,275,261
Suzano Petroquimica SA 30,000 57,398
Tele Celular Sul Participacoes SA 965,995,284 1,515,444
* Tele Centro Oeste Celular Participacoes SA 93,003 993,910
* Tele Leste Celular Participacoes SA 11,193 96,159
* Tele Norte Celular Participacoes SA 549,505,027 70,698
* Tele Sudeste Celular Participacoes SA 82,400 660,021
Telemig Celular Participacoes SA 466,590,371 762,966
* Tim Sul Prefered Receipts 465,785 21,071
Tim Sul SA Preferred Series B 24,690,000 1,116,916
Ultrapar Participants 138,130,353 2,379,660
Uniao des Industrias Petroquimicas SA Series B 1,074,144 1,328,470
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* Varig Participacoes Em Transportes 122,026 456
* Varig Particpacoes Em Servicos 116,823 144
* Varig SA Viacao Aerea Riograndense 16,000 10,425
Weg SA 726,800 2,204,984
----------------
TOTAL PREFERRED STOCKS
(Cost $25,429,586) 36,914,336
----------------
COMMON STOCKS -- (0.9%)
Acesita SA 4,290 60,179
Acos Villares SA Avil 120,000 17,630
Avipal SA Avicultura e Agropecua 93,900,000 307,500
Copesul Companhia Petroquimica do Sul 182,000 2,409,546
Eternit SA 1,200 17,984
Metalurgica Gerdau SA 1,938 25,658
* Rhodia Ster SA 640,780 50,528
Sao Paulo Alpargatas SA 510,000 73,553
----------------
TOTAL COMMON STOCKS
(Cost $1,278,647) 2,962,578
----------------
TOTAL -- BRAZIL
(Cost $26,708,233) 39,876,914
----------------
MALAYSIA -- (10.6%)
COMMON STOCKS -- (10.6%)
* A&M Realty Berhad 32,500 11,974
ACP Industries Berhad 34,000 7,118
Affin Holdings Berhad 1,335,800 505,320
Amalgamated Industrial Steel Berhad 11,250 1,688
* AMBD Berhad 58,000 1,753
Amway (Malaysia) Holdings Berhad 382,300 668,357
Ann Joo Resources Berhad 179,000 74,400
* Anson Perdana Berhad 10,000 118
* Antah Holding Berhad 23,000 1,453
* Aokam Perdana Berhad 37 7
APM Automotive Holdings Berhad 147,300 93,533
* Arab Malaysia Corp. Berhad 558,000 159,919
Asas Dunia Berhad 16,000 3,195
* Asia Pacific Land Berhad 70,000 3,498
Asiatic Development Berhad 1,794,600 764,165
* Avenue Assets Berhad 254,000 35,937
Ayer Hitam Planting Syndicate Berhad 6,000 3,270
Bandar Raya Developments Berhad 922,800 283,588
Batu Kawan Berhad 302,400 469,734
* Berjaya Capital Berhad 391,000 85,385
Berjaya Land Berhad 620,600 130,628
Bernas Padiberas Nasional Berhad 650,000 216,762
Bimb Holdings Berhad 208,200 75,558
Bintai Kinden Corp. Berhad 16,000 4,286
Bolton Properties Berhad 96,000 23,981
Boustead Holdings Berhad 1,301,700 605,697
Cahya Mata Sarawak Berhad 153,000 50,708
* Camerlin Group Berhad 58,000 18,309
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Carlsberg Brewery Malaysia Berhad 246,100 712,395
Cement Industries of Malaysia Berhad 48,800 17,463
Chemical Co. of Malaysia Berhad 231,800 145,833
Chin Teck Plantations Berhad 33,000 41,842
* Cosway Corp. Berhad 113,000 19,488
Courts Mammoth Berhad 177,000 53,502
Cycle & Carriage Bintang Berhad 15,000 11,642
* Damansara Realty Berhad 65,000 1,368
Datuk Keramik Holdings Berhad 24,000 253
Dijaya Corp. Berhad 96,000 20,216
Diperdana Corp. Berhad 4,000 1,788
Diversified Resources Berhad 704,300 255,481
DNP Holdings Berhad 34,000 5,275
* E&O Property Development Berhad 1,174,100 195,990
Eastern & Oriental Berhad 72,000 19,931
* Econstates Berhad 280,800 42,802
Edaran Otomobil Nasional Berhad 499,700 445,904
Esso Malaysia Berhad 183,500 121,716
Europlus Berhad 25,700 2,330
* Faber Group Berhad 16,000 2,123
Far East Holdings Berhad 23,700 26,307
* FCW Holdings Berhad 24,000 1,386
* Fountain View Development Berhad 808,200 83,654
Fraser & Neave Holdings Berhad 430,600 583,321
Globetronics Technology Berhad 1,090,500 107,428
Glomac Berhad 70,200 23,091
Gold IS Berhad 163,600 59,445
* Golden Hope Plantations Berhad Series A 792,682 604,942
* Golden Plus Holdings Berhad 16,000 1,833
* Gopeng Berhad 17,000 2,186
Guiness Anchor Berhad 713,200 984,807
* Gula Perak Berhad 170,975 9,882
Guthrie Ropel Berhad 35,900 34,190
Hap Seng Consolidated Berhad 752,300 419,387
Heitech Padu Berhad 26,000 14,914
Highlands and Lowlands Berhad 411,700 411,573
* HIL Industries Berhad 56,810 3,953
* HLG Capital Berhad 12,000 2,119
Hock Seng Lee Berhad 44,160 31,361
Hong Leong Industries Berhad 452,400 426,060
Hong Leong Properties Berhad 605,800 93,111
Hume Industries (Malaysia) Berhad 374,067 479,416
Hwang-DBS (Malaysia) Berhad 97,500 31,031
IGB Corp. Berhad 1,854,850 535,854
IJM Corp. Berhad 255,500 315,906
IJM Plantations Berhad 37,600 9,992
* Insas Berhad 226,000 17,817
Island & Peninsular Berhad 777,140 278,672
* Jaks Resources Berhad 1,000 384
Jaya Jusco Stores Berhad 291,400 344,655
Jaya Tiasa Holdings Berhad 283,600 149,041
* Johan Holdings Berhad 30,000 1,180
John Hancock Life Insurance (M) Berhad 100,800 60,888
Johor Port Berhad 476,300 225,505
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Johore Tenggara Oil Palm Berhad 59,200 12,769
JT International Berhad 525,900 553,260
K & N Kenanga Holdings Berhad 287,300 49,146
Keck Seng (Malaysia) Berhad 82,000 41,218
KFC Holdings (Malaysia) Berhad 289,700 262,155
Kian Joo Can Factory Berhad 146,300 98,537
Kim Hin Industry Berhad 52,000 23,087
KPJ Healthcare Berhad 62,000 26,447
* Kretam Holdings Berhad 15,000 1,776
Kris Components Berhad 98,863 87,858
KSL Holdings Berhad 186,600 94,955
* Kub Malaysia Berhad 586,500 63,220
Kulim Malaysia Berhad 365,350 290,033
* Kumpulan Hartanah Selangor Berhad 166,500 9,624
Kwantas Corp. Berhad 155,800 153,314
Ladang Perbadanan-Fima Berhad 11,000 7,885
* Land & General Berhad 180,000 6,623
Landmarks Berhad 635,500 141,807
* Leader Universal Holdings Berhad 69,000 6,435
* Leong Hup Holdings Berhad 46,000 10,646
Lingkaran Trans Kota Holdings Berhad 932,400 583,891
Lingui Development Berhad 712,800 185,226
Lion Diversified Holdings Berhad 925,100 412,907
Lion Industries Corp. Berhad 1,311,600 430,509
Liqua Health Corp. Berhad 173 11
MAA Holdings Berhad 239,133 295,354
Magnum 4D Berhad 80,000 62,473
Malayan Cement Berhad 1,453,050 225,351
Malayawata Steel Berhad 72,000 24,809
* Malaysia Aica Berhad 48,200 10,001
* Malaysia Building Society Berhad 35,000 6,067
Malaysia Industrial Development Finance Berhad 2,255,000 675,568
Malaysia Mining Corp. Berhad 732,900 366,324
Malaysian Mosaics Berhad 280,300 114,294
Malaysian National Reinsurance Berhad 264,400 243,371
Malaysian Oxygen Berhad 296,500 958,951
Malaysian Plantations Berhad 622,500 396,076
* Malaysian Resources Corp. Berhad 94,666 11,307
* Mancon Berhad 12,000 2,747
Maruichi Malaysia Steel Tube Berhad 58,600 22,494
Matsushita Electric Co. (Malaysia) Berhad 70,084 191,614
MBM Resources Berhad 102,966 56,814
* Media Prima Berhad 61,533 26,684
Metro Kajang Holdings Berhad 58,800 13,433
Mieco Chipboard Berhad 69,000 32,317
* MTD Infraperdana Berhad 1,975,100 441,758
* MUI Properties Berhad 75,200 5,231
* Mulpha International Berhad 2,712,250 353,166
* Multi-Purpose Holdings Berhad 457,000 95,428
* Mycron Steel Berhad 14,650 3,775
Naim Cendera Berhad 381,100 338,779
* Naluri Berhad 491,000 54,159
* Nam Fatt Berhad 9,000 803
Narra Industries Berhad 16,000 5,702
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NCB Holdings Berhad 1,147,200 783,820
* New Straits Times Press (Malaysia) Berhad 339,000 283,513
Nikko Electronics Berhad 36,600 9,240
NV Multi Corp. Berhad 129,500 11,929
* NWP Holdings Berhad 112,000 19,836
Nylex (Malaysia) Berhad 41,500 6,631
Oriental Holdings Berhad 362,900 381,458
OSK Holdings Berhad 1,179,371 337,889
OSK Property Holdings Berhad 3,393 672
Pacific & Orient Berhad 40,400 19,452
Pacificmas Berhad 9,500 14,125
* Pan Malaysia Cement Works Berhad 192,000 22,644
* Pan Malaysian Industries Berhad 818,000 11,854
* Pan Pacific Asia Berhad 12,000 284
* Panglobal Berhad 14,000 6,963
PBA Holdings Berhad 139,800 50,353
Pelangi Berhad 268,700 53,025
* Pernas International Holdings Berhad 603,400 110,990
Petaling Garden Berhad 190,600 78,206
Phileo Allied Berhad 1,152,600 951,055
PK Resources Berhad 14,000 1,917
* Prime Utilities Berhad 3,000 272
* Promet Berhad 52,000 0
* Puncak Niaga Holdings Berhad 1,113,600 735,034
QL Resources Berhad 57,000 44,220
QSR Brand Berhad 32,000 25,070
Ramatex Berhad 292,700 234,863
Ranhill Berhad 1,095,180 394,579
* Ranhill Utilities Berhad 227,160 95,554
* Rashid Hussain Berhad 182,000 16,517
* Rekapacific Berhad 55,000 0
Road Builders (Malaysia) Holdings Berhad 984,600 685,953
Sapura Telecommunications Berhad 64,846 16,538
Sarawak Enterprise Corp. Berhad 421,000 138,476
SCB Developments Berhad 290,500 266,096
Scomi Group Berhad 2,329,800 906,473
Selangor Properties Berhad 526,100 278,103
Shangri-La Hotels (Malaysia) Berhad 114,000 37,499
Shell Refining Co. Federation of Malaysia Berhad 190,500 460,989
SHL Consolidated Berhad 75,000 34,138
* Sime Engineering Services Berhad 279,100 66,312
Sime UEP Properties Berhad 133,000 147,700
Southern Acids (Malaysia) Berhad 41,000 17,757
Southern Steel Berhad 262,900 109,968
SP Setia Berhad 351,400 342,229
* SRI Hartemas Berhad 65,000 0
Star Publications (Malaysia) Berhad 229,300 415,977
Subur Tiasa Holdings Berhad 137,400 87,437
Sunrise Berhad 497,220 186,976
Sunway City Berhad 645,100 339,049
Sunway Holdings, Inc. Berhad 805,000 226,483
* Supermax Corp. Berhad 26,900 30,274
* Suria Capital Holdings Berhad 186,000 20,043
Symphony House Berhad 20,571 2,757
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Ta Ann Holdings Berhad 313,600 531,741
TA Enterprise Berhad 2,638,300 506,405
Talam Corp. Berhad 12,850 1,283
* Tamco Corp. Holdings Berhad 83,000 5,766
Tan Chong Motor Holdings Berhad 1,525,300 641,828
* Tanah Emas Corp. Berhad 65,000 10,071
Tasek Corp. Berhad 87,600 54,643
* Time Dotcom Berhad 1,001,500 69,586
Top Glove Corp. Berhad 298,100 351,574
Tractors Malaysia Holdings Berhad 143,400 124,828
Tradewinds (Malaysia) Berhad 290,600 199,710
* Trengganu Development & Management Berhad 79,700 15,674
Tronoh Mines Malaysia Berhad 476,300 338,444
UAC Berhad 25,000 31,335
Uchi Technologies Berhad 651,200 493,428
UDA Holdings Berhad 243,700 94,707
* UEM World Berhad 3,342,200 540,221
Unico-Desa Plantations Berhad 316,000 37,022
* Union Paper Holdings Berhad 70,000 10,763
Uniphone Telecommunications Berhad 43,000 4,874
Unisem (M) Berhad 715,800 314,294
United Malacca Rubber Estates Berhad 47,500 42,731
United Malayan Land Berhad 13,000 3,249
United Plantations Berhad 407,500 535,491
* Utama Banking Group Berhad 122,000 15,691
Wah Seong Corp 423,500 205,890
Worldwide Holdings Berhad 52,000 24,190
WTK Holdings Berhad 117,400 129,618
Yeo Hiap Seng (Malaysia) Berhad 47,300 23,972
Yu Neh Huat Berhad 97,200 32,987
----------------
TOTAL COMMON STOCKS
(Cost $42,241,527) 36,292,371
----------------
RIGHTS/WARRANTS -- (0.0%)
* Liqua Health Marketing Berhad Warrants 09/09/08 34 1
* Melewar Industrial Group Warrants 11,720 0
* Mieco Chipboard Berhad Warrants 04/21/09 23,000 4,055
----------------
TOTAL RIGHTS/WARRANTS
(Cost $1,222) 4,056
----------------
PREFERRED STOCKS -- (0.0%)
* Malayan United Industries Berhad A1 08/03/13 176,957 2,096
* Malayan United Industries Berhad A2 08/03/13 176,957 1,630
* Ramunia Holdings Berhard Non Cumulative Irredeemable
Convertible Preferred Shares 1,840 77
----------------
TOTAL PREFERRED STOCKS
(Cost $43,180) 3,803
----------------
TOTAL -- MALAYSIA
(Cost $42,285,929) 36,300,230
----------------
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TURKEY -- (8.1%)
COMMON STOCKS -- (8.1%)
Adana Cimento Sanayi Ticaret A.S. 646,276 400,097
* Ak-Al Tekstil A.S. 2,779 9,848
Akcansa Cimento Sanayi ve Ticaret A.S. 309,894 1,055,291
* Akenerji Elektrik Uretim A.S. 80,193 313,663
Aksa Akrilik Kimya Sanayii A.S. 47,621 419,267
Aksigorta A.S. 324,225 1,244,948
* Aksu Iplik Dokuma ve Boya Apre Fabrikalari A.S. 4,477 10,687
* Aktas Elektrik Ticaret A.S. 370 40,674
Alarko Carrier Sanayii ve Ticaret A.S. 14,579 97,296
* Alarko Holding A.S. 26,419 852,490
* Alcatel Telekomunikasyon Endustri ve Ticaret A.S. 24,197 79,058
Alkim Alkali Kimya A.S. 27,197 69,767
* Alternatifbank A.S. 97,063 84,940
* Altinyildiz mensucat ve Konfeksiyon Fabrikalari A.S. 21,960 21,059
* Anadolu Anonim Turk Sigorta Sirketi 122,999 259,603
Anadolu Cam Sanayii A.S. 277,157 985,928
Anadolu Hayat Sigorta A.S. 74,683 107,365
Anadolu Isuzu Otomotiv Sanayi ve Ticaret A.S. 15,586 104,406
* Ayen Enerji A.S. 161,469 219,193
Aygaz A.S. 83,805 171,131
Bagfas Bandirma Gubre Fabrikalari A.S. 3,450 70,269
* Banvit Bandirma Vitaminli Yem Sanayii Ticaret A.S. 147,698 200,151
Bati Anabolu Cimento A.S. 110,525 297,856
* Beko Elektronik A.S. 234,899 389,167
Bolu Cimento Sanayii A.S. 187,058 235,067
Borusan Mannesmann Boru Sanayi ve Ticaret A.S. 36,993 274,923
Bossa Ticaret ve Sanayi Isletmeleri Ticaret A.S. 128,217 149,540
* Boyner Buyuk Magazacilik A.S. 122,086 214,903
Brisa Bridgestone Sabanci Lastik San ve Ticaret A.S. 5,857 302,310
Bursa Cimento Fabrikasi A.S. 57,680 401,563
* Celebi Hava Servisi A.S. 28,354 169,790
Cimsa Cimento Sanayi Ve Ticaret A.S. 259,130 1,090,196
Deva Holding A.S. 64,797 74,295
* Dogan Gazetecilik A.S. 105,300 189,539
* Dogan Yayin Holding A.S. 402,635 916,481
Doktas Dokumculuk Ticaret ve Sanayi A.S. 63,993 73,261
Eczacibasi Ilac Sanayi ve Ticaret A.S. 294,407 709,537
* Eczacibasi Yapi Gerecleri Sanayi ve Ticaret A.S. 116,012 148,892
* Ege Plstik Ticaret ve Sanayi A.S. 14,342 7,150
* EGE Seramik Sanayi ve Ticaret A.S. 44,835 37,823
Federal - Mogul Izmit Piston ve Pim Uretim Tesisleri A.S. 229 110,862
* Finansbank A.S. 911,286 3,229,243
* Global Yatirim Holding A.S. 46,576 34,878
* Goldas Kuyumculuk Sanayi A.S. 88,799 58,020
Goltas Goller Bolgesi Cimento Sanayi ve Ticaret A.S. 7,128 105,985
* Goodyear Lastikleri T.A.S. 14,659 125,390
GSD Holding A.S. 62,399 50,937
Gubre Fabrikalari Ticaret A.S. 8,436 14,578
Gunes Sigorta A.S. 68,999 77,283
* Hektas Ticaret T.A.S. 25,477 18,984
Hurriyet Gazetecilik ve Matbaacilik A.S. 184,673 353,260
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Ihlas Holding A.S. 485,407 326,156
* Isiklar Ambalaj A.S. 6,417 4,445
* Izmir Demir Celik Sanayii A.S. 57,269 118,443
* Kardemir Karabuk Demir Sanayi ve Ticaret A.S. 83,077 147,457
* Karsu Tekstil Sanayii ve Ticaret A.S. 17,040 10,797
Karton Sanayi ve Ticaret A.S. 1,698 151,400
* Kav Danismanlik Pazarlama ve Ticaret A.S. 4,654 11,553
* Kerevitas Gida Sanayii ve Ticaret A.S. 2,532 7,065
Konya Cimento Sanayii A.S. 4,921 138,355
Kordsa Sabanci Dupont Endustriyel Iplik Kord Bezi Sanayi ve
Ticaret A.S. 146,305 241,465
* Kutahya Porselen Sanayii A.S. 2,617 40,566
Mardin Cimento Sanayii ve Ticaret 103,083 270,356
* Marshall Boya ve Vernik Sanayii A.S. 4,372 86,019
* Medya Holdings A.S. 15,849 80,145
* Menderes Tekstil Sanayi ve Ticaret A.S. 104,549 49,756
* Merko Gida Sanayi ve Ticaret A.S. 10,580 5,603
Migros Turk A.S. 81,518 630,394
* Milpa Ticari ve Sinai Urunler Pazarlama Sanayi ve Ticaret A.S. 13,329 15,037
* Mudurnu Tavukculuk A.S. 1,740 574
Multu Aku ve Malzemeleri Sanayi A.S. 1,527 25,367
* Nergis Holding A.S. 1,784 4,837
* Net Holding A.S. 47,826 13,649
* Net Turizm Ticaret ve Sanayi A.S. 33,660 19,664
Nortel Networks Netas Telekomuenikasyon A.S. 8,756 192,301
Olmuksa International Paper Sabanci Ambalaj Sanayi ve Ticaret
A.S. 20,976 35,023
Otobus Karoseri Sanayi A.S. 44,321 145,963
Pinar Sut Mamulleri Sanayii A.S. 35,215 41,297
* Raks Elektronik Sanayi ve Ticaret A.S. 2,730 1,565
* Sanko Pazarlama Ithalat Ihracat A.S. 48,903 120,784
Sarkuysan Elektrolitik Bakir Sanayi ve Ticaret A.S. 54,998 67,096
* Sasa Dupont Sabanci Polyester Sanayi A.S. 310,985 261,331
* Sonmez Filament Sentetik Iplik ve Elyaf Sanayi A.S. 6,300 4,552
* Tansas Perakende Magazacilik Ticaret A.S. 464,813 637,064
* Tat Konserve Sanayii A.S. 63,787 123,013
* Tekstil Bankasi A.S. 143,546 127,209
Tire Kutsan Oluklu Mukavva Kutu ve Kagit Sanayii A.S. 39,939 55,419
Tofas Turk Otomobil Fabrikasi A.S. 293,085 404,656
Trakya Cam Sanayii A.S. 303,163 964,275
Turk Demir Dokum Fabrikalari A.S. 60,749 268,912
* Turk Dis Ticaret Bankasi A.S. 612,806 1,941,057
Turk Ekonomi Bankasi A.S. 32,820 208,142
Turk Pirelli Kablo ve Sistemleri A.S. 39,702 68,242
Turk Sise ve Cam Fabrikalari A.S. 393,110 943,539
Ulker Gida Sanayi ve Ticaret A.S. 258,103 739,581
USAS Ucak Servisi A.S. 71,628 235,478
Uzel Makina Sanayii A.S. 156,941 226,625
* Vakif Finansal Kiralama A.S. 5,450 8,285
* Vestel Elektronik Sanayi ve Ticaret A.S. 94,186 327,181
Yunsa Yunlu Sanayi ve Ticaret A.S. 10,027 9,203
* Zorlu Enerji Elektrik Uretim A.S. 100,448 300,327
----------------
TOTAL -- TURKEY
(Cost $17,648,646) 27,536,067
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ISRAEL -- (7.5%)
COMMON STOCKS -- (7.5%)
* Afcon Industries 159 2,172
* Albad Massuot Yitzhak, Ltd. 9,175 120,557
Alony Hetz Properties & Investments, Ltd. 82,840 217,574
* Alvarion, Ltd. 77,089 702,181
American Israeli Paper Mills, Ltd. 6,495 300,032
Analyst I.M.S. 9,114 95,741
* AudioCodes, Ltd. 74,231 900,817
Azorim Investment Development & Construction Co., Ltd. 69,788 680,611
* Baran Group, Ltd. 9,500 95,847
* Beit Shemesh Engines Holdings (1997), Ltd. 3,351 12,400
Blue Square Chain Stores Properties & Investments, Ltd. 36,516 335,834
Blue Square Israel, Ltd. 86,605 838,624
* C Mer Industries, Ltd. 10,065 147,826
* Cham Foods (Israel), Ltd. 14,289 21,470
CLAL Industries, Ltd. 12,431 57,251
* Compugen, Ltd. 11,938 38,413
* Dan Vehicle & Transportation 14,070 73,262
Danya Cebus, Ltd. 24,719 138,404
Delek Automotive Systems, Ltd. 154,049 1,123,219
Delek Drilling 933,038 459,873
Delta Galil Industries, Ltd. 31,940 266,489
Direct Insurance - I.D.I. Insurance Co., Ltd. 83,451 243,400
* Discount Mortgage Bank, Ltd. 1,320 144,132
Elbit Medical Imaging, Ltd. 41,196 792,917
Electra Consumer Products 28,963 246,088
Electra Israel, Ltd. 5,514 412,220
* Electronics Line, Ltd. 3,169 11,377
* Elron Electronic Industries, Ltd. 56,547 813,394
* Feuchtwanger Investments 1984, Ltd. 4,200 2,386
* First International Bank of Israel, Ltd. Par Value $.01 473,321 733,279
FMS Enterprises Migun, Ltd. 16,997 776,774
Formula Systems (1985), Ltd. 17,849 258,733
* Formula Vision Technologies, Ltd. 1,604 1,549
Frutarom Industries (1995), Ltd. 91,981 719,425
* Gachelet Invetment Co., Ltd. 653 47,365
* Granite Hacarmel Investments, Ltd. 19,200 26,827
* Ham-Let Ltd 12,751 63,267
* Housing & Construction Holding Co., Ltd. 664,947 503,898
Industrial Building Corp., Ltd. 371,518 435,732
* Israel Land Development Co., Ltd. 32,626 142,695
Israel Petrochemical Enterprises, Ltd. 41,748 363,016
Israel Salt Industries 38,139 162,578
Ituran 10,835 348,251
* J.O.E.L. Jerusalem Oil Exploration, Ltd. 6,178 41,093
Knafaim-Arkia Holdings, Ltd. 21,671 245,561
* Koor Industries, Ltd. 19,500 1,269,096
* Leader Holding & Investments, Ltd. 32,148 61,301
Lipman Electronic Engineering, Ltd. 28,513 911,617
* Magal Security Systems, Ltd. 10,117 99,148
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* Magic Software Enterprises, Ltd. 35,590 85,825
* Matav Cable Israel 58,667 461,729
* Medcon, Ltd. 18,524 39,126
* Medtechnica, Ltd. 14,470 65,763
Mehadrin, Ltd. 3,887 71,431
* Metalink, Ltd. 26,556 125,039
* Middle East Tube Co. 19,000 22,381
Miloumor, Ltd. 12,658 43,000
Mivtach Shamir Holdings, Ltd. 13,409 229,519
* Naphtha Israel Petroleum Corp. 105,630 17,489
* Nice Systems, Ltd. 28,424 1,042,590
Nisko Industries (1992), Ltd. 6,691 45,505
* OCIF Investments and Development, Ltd. 2,267 42,527
* Orckit Communications, Ltd. 11,142 265,923
Ormat Industries, Ltd. 189,774 936,431
Packer Plada, Ltd. 844 41,357
* Perrigo Co. 4,339 68,006
Property and Building Corp., Ltd. 8,596 778,602
* RADVision, Ltd. 36,193 478,979
Rapac Electronics, Ltd. 6,000 16,014
Rapac Technologies (2000), Ltd. 6,000 23,491
* Retalix, Ltd. 27,444 658,808
Scitex Corp., Ltd. 68,344 463,768
* Shrem Fudim Kelner & Co., Ltd. 15,466 53,923
Suny Electronic Inc., Ltd. 59,632 416,272
Super-Sol, Ltd. Series B 409,493 1,104,308
Tadiran Communications, Ltd. 22,291 776,396
* Team Computer & Systems, Ltd. 1,400 15,948
Telsys, Ltd. Electronic Engineering 5,300 26,350
* Tower Semiconductor, Ltd. 85,632 137,352
* Union Bank of Israel, Ltd. 86,282 315,140
* Urdan Industries, Ltd. 52,742 27,929
* Ytong Industries, Ltd. 52,585 49,246
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TOTAL COMMON STOCKS
(Cost $18,931,808) 25,451,883
----------------
RIGHTS/WARRANTS -- (0.0%)
* Alony Hetz Properties & Investments, Ltd. Warrants 11/20/07 16,263 12,478
----------------
(Cost $0)
TOTAL -- ISRAEL
(Cost $18,931,808) 25,464,361
----------------
MEXICO -- (7.1%)
COMMON STOCKS -- (7.1%)
Consorcio Ara S.A. 775,400 2,521,892
* Consorcio Hogar S.A. de C.V. Series B 325,000 101,522
Controladora Comercial Mexicana S.A. de C.V. Series B 1,633,500 1,755,911
* Corporacion Geo S.A. de C.V. Series B 1,330,000 3,146,490
* Corporacion Interamericana de Entramiento S.A. de C.V.
Series B 703,769 1,364,301
* Corporacion Mexicana de Restaurantes S.A. de C.V. Series B 1,623 313
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Corporativo Fragua S.A. de C.V. Series B 31 98
* Desc S.A. de C.V. Series B 981,833 266,108
Embotelladora Arca S.A. de C.V., Mexico 1,331,800 2,739,622
* Empaques Ponderosa S.A. de C.V. Series B 206,000 17,034
* Empresas ICA Sociedad Controladora S.A. de C.V. 6,256,350 2,471,650
Empresas la Moderna S.A. de C.V. Series A 610,700 117,013
Gruma S.A. de C.V. Series B 856,800 1,830,206
Grupo Cementos de Chihuahua S.A. de C.V. 566,100 1,003,802
Grupo Continental S.A. de C.V. 601,800 928,879
Grupo Corvi S.A. de C.V. Series L 100,000 18,467
Grupo Elektra S.A. de C.V. 89,300 631,742
Grupo Financiero GBM Atlantico S.A. de C.V. Series L 9,441 4,771
* Grupo Financiero GBM Atlantico S.A. de C.V. Series L 23,928 12,311
* Grupo Herdez S.A. de C.V. 107,000 53,380
Grupo Industrial Maseca S.A. de C.V. Series B 510,000 290,040
Grupo Industrial Saltillo S.A. de C.V. 176,552 270,886
* Grupo Iusacell S.A. de C.V. 51,405 84,067
* Grupo Nutrisa S.A. de C.V. 188 73
Grupo Posadas S.A. de C.V. Series L 199,000 147,179
* Grupo Qumma S.A. de C.V. Series B 105,334 1,742
* Grupo Tribasa S.A. de C.V. 67,110 0
Hylsamex S.A. de C.V. Series B 82,000 295,323
Industrias Bachoco S.A. de C.V. (Certificate Representing
Series B and Series L) 76,000 195,510
Industrias Penoles S.A. de C.V. 162,000 800,746
* Industrias S.A. de C.V. Series B 661,248 1,372,999
* Jugos del Valle S.A. de C.V. Series B 50,900 77,161
* Movilaccess S.A. de C.V. Series B 13,489 30,053
* Sanluis Corporacion S.A. de C.V. Series A 3,300 1,182
* Sanluis Corporacion S.A. de C.V. Series C & Series B 4,642 1,915
TV Azteca S.A. de C.V. Series A 2,248,900 1,148,795
Vitro S.A. de C.V. 811,000 632,595
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TOTAL COMMON STOCKS
(Cost $19,249,303) 24,335,778
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Mexican Peso 7,227
----------------
(Cost $8,636)
TOTAL -- MEXICO
(Cost $19,257,939) 24,343,005
----------------
THAILAND -- (6.0%)
COMMON STOCKS -- (6.0%)
A.J. Plast Public Co., Ltd. (Foreign) 166,500 19,179
* Adkinson Securities Public Co., Ltd. (Foreign) 138,150 22,441
* Advance Agro Public Co., Ltd. (Foreign) 809,000 455,971
Aeon Thana Sinsap (Thailand) Public Co., Ltd. 142,500 136,783
Amarin Plaza Public Co., Ltd. (Foreign) 523,680 24,360
Amata Corp. Public Co., Ltd. 2,040,400 572,497
Asia Securities Trading Public Co., Ltd. (Foreign) 3,575,000 510,337
Asian Property Development Public Co., Ltd. (Foreign) 3,828,800 356,211
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Bangkok Dusit Medical Services Public Co., Ltd. (Foreign) 1,282,233 533,343
Bangkok Expressway Public Co., Ltd. (Foreign) 1,170,400 756,165
Bangkok Insurance Public Co., Ltd. (Foreign) 65,180 362,557
* Bangkok Land Public Co., Ltd. (Foreign) 12,166,170 143,730
* Bangkok Rubber Public Co., Ltd. (Foreign) 14,600 891
Big C Supercenter Public Co., Ltd. (Foreign) 87,000 47,750
* Book Club Finance Public Co., Ltd. 157,200 14,702
Bumrungrad Hospital Public Co., Ltd. 1,043,800 500,962
Cal-Comp Electronics (Thailand) Public Co., Ltd. (Foreign) 5,498,000 468,203
Capital Nomura Securities Public Co., Ltd. (Foreign) 46,000 58,873
* Central Paper Industry Public Co., Ltd. (Foreign) 19,800 1,023
Central Pattana Public Co., Ltd. (Foreign) 3,668,000 785,420
Central Plaza Hotel Public Co., Ltd. (Foreign) 79,000 44,721
Ch Karnchang Public Co., Ltd. (Foreign) 2,472,700 687,706
Charoong Thai Wire & Cable Public Co., Ltd. 130,000 25,117
Compass East Ind-Foreign 122,000 10,449
Dynasty Ceramic Public Co., Ltd. 232,500 92,702
Eastern Water Resources Development & Management Public Co.,
Ltd. (Foreign) 1,081,200 99,525
Fancy Wood Industries Public Co., Ltd. 260,800 34,020
* GFPT Public Co., Ltd. 71,400 25,305
GMM Grammy Public Co., Ltd. (Foreign) 765,100 244,802
* Golden Land Property Development Public Co., Ltd. (Foreign) 485,616 77,689
Hana Microelectronics Public Co., Ltd. (Foreign) 1,851,409 884,010
Hermraj Land & Development Public Co., Ltd. (Foreign) 6,804,400 152,400
Home Product Center Public Co., Ltd. 417,900 64,284
ICC International Public Co., Ltd. (Foreign) 204,600 207,093
* International Broadcasting Corp. Public Co., Ltd. (Foreign) 975,170 542,428
* International Engineering Public Co., Ltd. (Foreign) 20,000 537
* ITV Public Co., Ltd. 2,333,700 683,511
* Jasmine International Public Co., Ltd. (Foreign) 8,436,600 107,975
* K.R. Precision Public Co., Ltd. (Foreign) 320,598 30,300
Kang Yong Electric Public Co., Ltd. (Foreign) 7,200 11,784
KCE Electronics Public Co., Ltd. (Foreign) 204,000 21,389
* Keppel Thai Properties Public Co., Ltd. 8,360 687
KGI Securities One Public Co., Ltd. (Foreign) 2,713,846 169,657
Krungthai Card Public Co., Ltd. (Foreign) 230,800 131,220
Laguna Resorts & Hotels Public Co., Ltd. (Foreign) 32,200 36,456
Loxley Public Co., Ltd. (Foreign) 2,256,520 153,286
LPN Development Public Co., Ltd. (Foreign) 415,250 33,318
Major Cineplex Group Public Co., Ltd. 1,083,300 314,618
MBK Development Public Co., Ltd. (Foreign) 278,800 332,803
Media of Medias Public Co., Ltd. (Foreign) 9,100 1,377
MFC Asset Management Public Co., Ltd. (Foreign) 5,000 2,547
* Millennium Steel Public Co., Ltd. (Foreign) 6,061,600 243,180
MK Real Estate Development Public Co., Ltd. (Foreign) 472,260 28,129
Muramoto Electronic (Thailand) Public Co., Ltd. (Foreign) 17,000 92,887
* Nakornthai Strip Mill Public Co., Ltd. (Foreign) 13,202,000 422,412
Nation Multimedia Group Public Co., Ltd. (Foreign) 146,259 44,637
National Finance and Securities Public Co., Ltd. (Foreign) 1,530,800 508,634
* Natural Park Public Co., Ltd. (Foreign) 12,385,200 298,732
Noble Development Public Co., Ltd. 260,100 28,039
* Pacific Assets Public Co., Ltd. (Foreign) 141,000 16,172
Padaeng Industry Public Co., Ltd. (Foreign) 73,800 23,250
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Patum Rice Mill & Granary Public Co., Ltd. (Foreign) 5,500 3,993
Phatra Insurance Public Co., Ltd. 10,000 27,566
Picnic Gas & Engineering Public Co., Ltd. 521,800 143,839
* Prasit Development Public Co., Ltd. (Foreign) 29,700 1,097
Quality Houses Public Co., Ltd. (Foreign) 8,362,600 246,988
Regional Container Lines Public Co., Ltd. (Foreign) 869,900 663,719
* Robinson Department Store Public Co., Ltd. (Foreign) 18,525 2,079
Saha Pathana Inter-Holding Public Co., Ltd. (Foreign) 350,000 150,751
Saha-Union Public Co., Ltd. (Foreign) 279,500 108,003
* Samart Corporation Public Co., Ltd. 1,146,900 153,842
Sammakorn Public Co., Ltd. (Foreign) 75,000 4,024
Sansiri Public Co., Ltd. (Foreign) 780,566 58,019
Seamico Securities Public Co., Ltd. 978,022 127,579
Serm Suk Public Co., Ltd. (Foreign) 10,000 5,021
* Shinawatra Satellite Public Co., Ltd. (Foreign) 1,930,500 798,238
Siam Food Products Public Co., Ltd. (Foreign) 9,000 10,633
Siam Industrial Credit Public Co., Ltd. (Foreign) 352,862 50,806
Siam Makro Public Co., Ltd. (Foreign) 486,600 748,523
Sino-Thai Engineering & Construction Public Co., Ltd.
(Foreign) 1,616,500 409,795
Sri Trang Agro Industry Public Co., Ltd. (Foreign) 60,992 28,822
Srithai Superware Public Co., Ltd. (Foreign) 16,400 3,936
* Standard Chartered Nakornthon Bank Public Co., Ltd. (Foreign) 54 29
* STP & I Public Co., Ltd. 138,700 6,111
* Sun Tech Group Public Co., Ltd. (Foreign) 27,200 1,875
Supalai Public Co., Ltd. (Foreign) 346,000 20,608
* SVI Public Co., Ltd. 122,266 26,030
* Tanayong Public Co., Ltd. (Foreign) 261,000 6,424
* Telecomasia Corp. Public Co., Ltd. (Foreign) 2,633,800 557,487
Thai Plastic & Chemicals Public Co., Ltd. (Foreign) 1,493,100 573,280
Thai Reinsurance Public Co., Ltd. (Foreign) 660,300 71,182
Thai Rung Union Car Public Co., Ltd. (Foreign) 165,000 28,021
* Thai Stanley Electric (Thailand) Public Co., Ltd. 119,800 368,570
Thai Union Frozen Products Public Co., Ltd. (Foreign) 64,800 44,657
Thai Vegetable Oil-Foreign 482,600 124,718
Thai Wacoal Public Co., Ltd. (Foreign) 78,000 62,392
* Thai-German Ceramic Industry Public Co., Ltd. (Foreign) 361,000 26,122
* Tipco Asphalt Public Co., Ltd. (Foreign) 95,200 48,502
TIPCO Foods (Thailand) Public Co., Ltd. 147,620 16,204
TISCO Finance Public Co., Ltd. (Foreign) 745,900 463,549
* TT&T Public Co., Ltd. (Foreign) 6,559,000 506,898
* Tuntex (Thailand) Public Co., Ltd. (Foreign) 126,728 5,989
Tycoons Worldwide Group Public Co., Ltd. (Foreign) 804,700 202,017
* United Communication Industry Public Co., Ltd. (Foreign) 139,000 151,385
United Palm Oil Industry Public Co., Ltd. 21,000 19,705
Vanachai Group Co-Foreign 2,482,066 390,973
Vinythai Public Co., Ltd. (Foreign) 1,833,180 459,681
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TOTAL COMMON STOCKS
(Cost $21,247,682) 20,630,868
----------------
RIGHTS/WARRANTS -- (0.0%)
* Bangkok Land Public Co., Ltd. (Foreign) Warrants 2006 217,330 0
----------------
(Cost $0)
TOTAL -- THAILAND
(Cost $21,247,682) 20,630,868
----------------
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INDONESIA -- (4.6%)
COMMON STOCKS -- (4.6%)
* PT Artha Graya Investama Sentral Tbk 4,773,000 65,106
PT Asahimas Flat Glass Tbk 1,271,000 353,579
PT Astra Agro Lestari Tbk 6,656,000 2,549,611
PT Astra Graphia Tbk 4,549,000 164,579
PT Bank NISP Tbk 13,832,920 1,360,657
* PT Batu Buana 77,715 1,062
PT Berlian Laju Tanker Tbk 14,767,200 1,456,914
PT Bhakti Investama Tbk 9,031,500 222,462
* PT Branta Mulia Tbk 66,000 6,934
* PT Budi Acid Jaya Tbk 1,449,000 17,446
* PT Charoen Pokphand Indonesia Tbk 3,406,500 153,760
PT Citra Marga Nusaphala Persada 6,649,500 649,167
* PT Clipan Finance Indonesia Tbk 3,133,000 113,150
PT Dankos Laboratories Tbk 6,022,800 644,538
* PT Davomas Adabi Tbk 20,960,000 320,091
* PT Dharmala Intiland 277,400 9,343
PT Dynaplast Tbk 1,038,000 160,523
PT Enseval Putera Megatrading Tbk 6,380,000 481,972
* PT Eterindo Wahanatama Tbk 397,000 9,335
* PT Ever Shine Textile Tbk 4,029,640 31,753
* PT GT Petrochem Industries Tbk 918,000 48,749
* PT Hero Supermarket Tbk 33,000 10,950
* PT Indal Aluminium Industry 47,000 1,189
PT Indorama Synthetics Tbk 2,211,000 139,127
* PT Jaya Real Property Tbk 393,500 98,848
PT Kalbe Farma Tbk 25,907,600 2,114,538
* PT Karwell Indonesia Tbk 138,000 5,945
* PT Kawasan Industry Jababeka Tbk 43,401,000 568,021
* PT Keramika Indonesia Assosiasi Tbk 100,000 1,839
PT Komatsu Indonesia Tbk 860,000 357,609
PT Lautan Luas Tbk 1,887,500 124,948
PT Matahari Putra Prima Tbk 2,609,000 155,838
PT Mayorah Indah Tbk 2,473,500 310,980
* PT Metrodata Electronics Tbk 3,981,000 37,436
* PT Modern Photo Tbk 40,000 2,433
* PT Mulia Industrindo 542,000 16,449
* PT Mustika Ratu Tbk 723,000 30,300
* PT Pakuwon Jati Tbk 63,000 3,111
* PT Panasia Indosyntec Tbk 79,000 4,150
* PT Panin Insurance Tbk 7,979,000 255,175
* PT Prasidha Aneka Niaga Tbk 84,000 794
PT Pudjiadi Prestige, Ltd. Tbk 45,500 1,315
* PT Putra Sejahtera Pioneerindo 29,000 1,219
PT Rig Tenders Indonesia Tbk 1,780,000 167,429
PT Selamat Semp Tbk 1,920,000 60,202
* PT Semen Cibinong Tbk 702,000 34,951
* PT Sinar Mas Agro Resources and Technology Tbk 87,792 38,970
PT Summarecon Agung Tbk 6,332,000 636,078
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* PT Sunson Textile Manufacturer Tbk 343,000 10,995
* PT Suparma Tbk 2,400,000 66,967
* PT Surabaya Agung Industri Pulp & Paper 64,500 440
* PT Surya Dumai Industri Tbk 3,298,500 124,759
* PT Suryamas Dutamakmur 125,000 2,430
PT Tempo Scan Pacific Tbk 471,500 345,518
* PT Texmaco Jaya Tbk 93,000 28,824
PT Timah Tbk 1,701,000 409,955
PT Trias Sentosa Tbk 9,198,400 178,941
PT Trimegah Sec Tbk 9,961,000 151,600
PT Tunas Ridean Tbk 1,987,000 172,941
* PT Ultrajaya Milk Industry & Trading Co. Tbk 390,000 12,289
PT Unggul Indah Corp. Tbk 48,239 15,205
PT United Tractors 501,760 172,284
* PT Wicaksana Overseas International 28,560 390
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TOTAL -- INDONESIA
(Cost $8,065,050) 15,694,113
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POLAND -- (2.2%)
COMMON STOCKS -- (2.2%)
* Amica Wronki SA 18,410 170,405
* Budimex SA 33,325 487,162
* Cersanit-Krasnystaw SA 22,217 709,727
* Computerland SA 14,630 437,669
Debica SA 22,742 557,751
* Echo Investment SA 23,155 603,956
* Fabryki Mebli Forte SA 39,475 126,145
* Farmacol SA 39,250 349,870
* Huta Ferrum SA 309 813
* Impexmetal SA 26,519 319,649
* IVAX Corp. 24,547 461,700
Kroscienskie Huty Szkla Krosno SA 2,000 61,011
* Lentex SA 13,464 59,112
* Mostostal Export SA 42,087 13,130
Mostostal Siedlce SA 17,520 153,065
* Mostostal Warszawa SA 18,600 33,784
* Mostostal Zabrze Holding SA 18,293 3,898
Netia Holdings SA 117,106 131,888
* Ocean Company SA 8,530 302
* Optimus Technologie 7,500 15,560
Orbis SA 32,000 215,923
Polifarb Cieszyn Wroclaw SA 98,435 198,546
Polska Grupa Farmaceutyczna SA 25,329 400,255
* Prosper SA 12,770 40,664
Przedsiebiorstwo Farmaceutyczne JELFA SA 14,330 247,098
* Przedsiebiorstwo Telekomunikacyjne Szeptel A.S. 16,774 18,735
* Raciborska Fabryka Kotlow SA 37,758 134,029
* Softbank SA 51,313 374,027
* Stalexport SA 90,737 47,875
* Ster-Projekt SA 20,650 46,143
Zaklad Przetworstwa Hutniczego Stalprodukt SA 8,169 169,675
Zaklady Metali Lekkich Kety SA 19,615 637,825
* Zaklady Tluszcowe Kruszwica SA 23,610 195,267
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TOTAL -- POLAND
(Cost $4,725,756) 7,422,659
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PHILIPPINES -- (1.9%)
COMMON STOCKS -- (1.9%)
Alaska Milk Corp. 1,404,000 82,573
Bacnotan Consolidated Industries, Inc. 122,234 25,764
* Belle Corp. 20,937,000 450,448
* C & P Homes, Inc. 6,477,000 30,626
* Digital Telecommunications (Philippines), Inc. 20,973,000 422,152
EDSA Properties Holdings, Inc. 1,759,970 22,096
* EEI Corp. 1,108,000 12,048
* Fil-Estate Land, Inc. 3,170,700 32,323
* Filinvest Development Corp. 4,664,500 105,830
* Filinvest Land, Inc. 25,798,050 670,692
Ginebra San Miguel, Inc. 1,065,200 604,620
* Global Equities, Inc. 886,462 1,330
* House of Investments, Inc. 732,000 16,502
* International Container Terminal Services, Inc. 4,593,837 629,908
* Ionics, Inc. 769,825 18,535
* iVantage Corp. 593,400 7,682
Keppel Philippines Marine, Inc. 610,000 6,716
* Lepanto Consolidated Mining Co. Series B 1,925,000 11,976
* Mabuhay Holdings Corp. 516,000 1,419
* Macroasia Corp. 2,237,500 73,450
* Manila Jockey Club, Inc. 130,622 7,203
* Megaworld Properties & Holdings, Inc. 21,843,500 551,118
* Metro Pacific Corp. 45,763,860 316,917
* Philex Mining Corp. Series B 150,000 2,801
* Philippine Bank of Communications 14,726 18,623
* Philippine National Bank 929,975 595,625
* Philippine National Construction Corp. 173,000 10,702
Philippine Savings Bank 317,212 191,862
* Pilipino Telephone Corp. 1,692,000 98,929
* Prime Orion Philippines, Inc. 2,920,000 12,042
Republic Glass Holding Corp. 507,500 17,208
* RFM Corp. 2,378,934 34,882
Robinson's Land Corp. Series B 3,402,000 301,903
Security Bank Corp. 320,842 172,196
SM Development Corp. 4,971,000 142,067
Soriano (A.) Corp. 3,430,211 124,880
Union Bank of the Philippines 47,500 24,785
* United Paragon Mining Corp. 322,500 1,182
* Universal Rightfield Property Holdings, Inc. 1,062,000 545
Universal Robina Corp. 3,158,100 754,635
* Victorias Milling Co., Inc. 139,680 2,228
* Vitarich Corp. 176,000 864
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TOTAL -- PHILIPPINES
(Cost $6,061,276) 6,609,887
----------------
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INDIA -- (1.4%)
COMMON STOCKS -- (1.4%)
* Adani Exports, Ltd. 128,535 187,130
* Alstom Projects India, Ltd. 38,197 210,134
* Amtek Auto, Ltd. 54,884 195,459
* Apollo Hospitals Enterprise, Ltd. 23,706 176,257
* Asahi India Glass, Ltd. 45,571 186,677
* Aurobindo Pharmaceuticals, Ltd. 28,933 194,328
* Bajaj Hindusthan, Ltd. 26,228 84,050
* Ballarpur Industries, Ltd. 47,630 130,688
* Balrampur Chini Mills, Ltd. 132,104 171,186
* Birla Corp., Ltd. 17,000 70,584
* Bombay Dyeing & Manufacturing Co., Ltd. 11,587 83,236
* Chambal Fertilizers & Chemicals, Ltd. 121,939 88,792
* Divi's Laboratories, Ltd. 3,849 95,526
* Federal Bank, Ltd. 19,761 74,868
* Glaxosmithkline Consumer Healthcare, Ltd. 12,364 105,404
* GTL, Ltd. 42,241 96,565
* Hexaware Technologies, Ltd. 66,714 194,257
* Hinduja TMT, Ltd. 12,284 94,496
* Hindustan Construction, Ltd. 6,012 75,804
* Hotel Leelaventure, Ltd. 21,274 95,667
* IndusInd Bank, Ltd. 85,132 119,504
* Ispat Industries, Ltd. 394,710 186,603
Jammu & Kashmir Bank, Ltd. 14,566 111,881
* Jindal Stainless, Ltd. 33,010 74,793
* Marico, Ltd. 29,761 181,568
* Max India, Ltd. 12,128 158,222
* McDowell & Co., Ltd. 29,475 196,299
* Micro Inks, Ltd. 6,793 90,182
* Motherson Sumi Systems, Ltd. 133,835 199,765
* Pantaloon Retail India, Ltd. 2,578 69,775
* Pidilite Industries, Ltd. 5,780 61,927
* Shree Cement, Ltd. 10,463 83,465
* Sterling Biotech, Ltd. 73,211 134,269
* Sundram Fastners, Ltd. 59,875 182,714
* Thermax, Ltd. 13,251 195,886
* Titan Industries, Ltd. 12,697 86,986
* Tube Investments of India, Ltd. 11,099 78,479
* TVS Motor Co., Ltd. 60,259 102,137
----------------
TOTAL -- INDIA
(Cost $4,991,989) 4,925,563
----------------
28
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HUNGARY -- (1.4%)
COMMON STOCKS -- (1.4%)
* Danubius Hotel & Spa RT 58,038 1,307,560
Delmagyarorszagi Aramszolgaltato Demasz RT 15,581 1,039,675
* Fotex First Hungarian-American Photo Service Co. 749,391 905,560
* Globus Konzervipari RT 101,338 186,259
* Mezogazdasagi Gepgyarto Reszvenytarsasag (Mezogep) 67,414 417,005
* North American Business Industries RT 51,024 62,913
* Pannonplast P.L.C. 39,441 286,134
* Raba Hungarian Railway Carriage & Machine Works 143,528 459,296
* Synergon Information Systems Ltd., Budapest 30,190 70,218
Zwack Unicum Liqueur Industry & Trading Co., Ltd. 1,100 49,693
----------------
TOTAL -- HUNGARY
(Cost $4,841,731) 4,784,313
----------------
ARGENTINA -- (0.7%)
COMMON STOCKS -- (0.7%)
* Alpargatas SA Industrial y Comercial 1,007 1,212
Banco del Sud Sociedad Anonima Series B 89,000 118,836
* Banco Suquia SA 76,789 12,532
* Capex SA Series A 26,370 49,990
Celulosa Argentina SA Series B 6,375 7,524
* Central Costanera SA Series B 50,000 56,047
* Central Puerto SA Series B 61,000 34,591
Cresud SA Comercial Industrial Financiera y Agropecuaria 201,401 249,663
DYCASA SA (Dragados y Construcciones Argentina) Series B 23,052 24,510
* Ferrum SA de Ceramica y Metalurgica Series B 25,200 29,079
Fiplasto SA Comercial y Industrial 12,000 5,104
* Garovaglio y Zorraquin SA 14,160 2,427
Importadora y Exportadora de la Patagonia Series B 11,500 68,246
Introductora de Buenos Aires SA Series A 9,832 4,862
* IRSA Inversiones y Representaciones SA 379,635 453,085
* Juan Minetti SA 131,531 144,403
Ledesma S.A.A.I. 387,128 227,185
* Metrogas SA Series B 90,000 40,057
* Polledo SA Industrial y Constructora y Financiera 88,891 19,635
* Quimica Estrella SA Series B 30,460 9,440
* Renault Argentina SA 624,451 169,847
* Sol Petroleo SA 50,662 13,178
Solvay Indupa S.A.I.C. 440,500 595,435
----------------
TOTAL COMMON STOCKS
(Cost $2,451,971) 2,336,888
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Argentine Peso 118,681
----------------
(Cost $116,655)
TOTAL -- ARGENTINA
(Cost $2,568,626) 2,455,569
----------------
UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
* TTI Team Telecom International, Ltd. 2,940 6,791
----------------
(Cost $12,241)
29
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FACE
AMOUNT VALUE+
---------------- ----------------
(000)
TEMPORARY CASH INVESTMENTS -- (0.8%)
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%,
06/01/05 (Collateralized by $2,710,000 FNMA Notes 2.95%,
11/14/07, valued at $2,706,613) to be repurchased at $2,666,214 $ 2,666 2,666,000
----------------
(Cost $2,666,000)
TOTAL INVESTMENTS - (100.0%)
(Cost $283,588,855) $ 341,627,598
----------------
----------
+ Securities have been fair valued. See Note B to Financial Statements.
* Non-Income Producing Securities.
See accompanying Notes to Financial Statements.
30
THE DFA ONE-YEAR FIXED INCOME SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
[Download Table]
FACE
AMOUNT VALUE+
--------------- ---------------
(000)
UNITED STATES -- (69.9%)
COMMERCIAL PAPER -- (33.6%)
Barton Capital Corp.
3.050%, 07/07/05 $ 24,000 $ 23,926,152
3.040%, 07/08/05 20,000 19,936,688
3.070%, 07/20/05 17,000 16,927,736
Canadian Wheat Board
2.910%, 06/07/05 4,000 3,998,006
2.790%, 06/10/05 8,000 7,994,020
2.960%, 06/27/05 8,777 8,757,900
3.000%, 07/05/05 2,000 1,994,263
3.030%, 07/18/05 8,000 7,967,758
3.020%, 07/22/05 10,000 9,956,069
CBA (DE) Finance, Inc.
3.060%, 07/12/05 11,000 10,961,577
Ciesco L.P.
2.940%, 06/08/05 1,000 999,411
2.950%, 06/14/05 36,000 35,960,609
3.020%, 06/15/05 13,000 12,984,681
2.980%, 06/16/05 4,000 3,994,950
3.080%, 07/15/05 8,000 7,969,689
Compass Securitization LLC
3.030%, 06/15/05 35,000 34,958,756
3.020%, 06/20/05 15,000 14,975,949
Dexia Delaware LLC
3.020%, 06/27/05 1,100 1,097,606
DuPont (E.I.) de Nemours & Co., Inc.
2.920%, 06/13/05 10,000 9,990,033
2.990%, 06/28/05 26,800 26,739,397
Export Development Corp.
3.020%, 07/18/05 23,000 22,907,303
Govco, Inc.
3.070%, 07/06/05 4,000 3,988,045
Lloyds TSB Bank P.L.C.
3.005%, 06/30/05 28,000 27,931,882
Nestle Australia, Ltd.
2.980%, 06/08/05 7,000 6,995,930
Nestle Capital Corp.
2.860%, 06/03/05 15,000 14,997,507
3.040%, 07/08/05 5,000 4,984,326
3.050%, 07/11/05 7,500 7,474,475
3.100%, 08/02/05 34,000 33,816,369
Network Rail Finance P.L.C.
3.080%, 07/13/05 10,000 9,964,171
3.100%, 07/20/05 8,000 7,966,310
3.110%, 07/26/05 16,700 16,620,498
3.110%, 07/29/05 17,000 16,914,381
New Center Asset Trust
2.940%, 06/01/05 4,300 4,300,000
Paccar Financial Corp.
2.800%, 06/02/05 9,755 9,754,189
2.910%, 06/03/05 7,900 7,898,687
3.100%, 08/10/05 4,200 4,174,185
Sheffield Receivables Corp.
3.020%, 06/13/05 30,000 29,969,598
Shell Finance UK
3.030%, 07/11/05 $ 18,000 $ 17,938,739
3.040%, 07/18/05 900 896,373
Siemens Capital Corp.
2.910%, 06/02/05 15,000 14,998,754
2.910%, 06/03/05 5,700 5,699,053
Total Capital SA
3.110%, 06/01/05 52,000 52,000,000
UBS Finance Delaware, Inc.
3.010%, 06/17/05 40,000 39,946,808
3.030%, 07/01/05 2,500 2,493,702
3.090%, 07/18/05 16,000 15,935,515
Wal-Mart Stores, Inc.
2.890%, 06/07/05 18,800 18,790,630
3.050%, 07/12/05 7,000 6,975,549
Windmill Funding Corp.
2.830%, 06/01/05 8,000 8,000,000
3.020%, 06/16/05 15,000 14,981,000
3.060%, 07/08/05 10,000 9,968,241
---------------
TOTAL COMMERCIAL PAPER
(Cost $701,388,259) 701,373,470
---------------
AGENCY OBLIGATIONS -- (19.2%)
Federal Farm Credit Bank
2.250%, 09/01/06 10,000 9,822,930
2.600%, 09/07/06 24,600 24,263,447
2.750%, 09/29/06 50,000 49,374,050
Federal Home Loan Bank
2.875%, 08/15/06 70,000 69,337,240
2.750%, 11/15/06 36,000 35,495,496
Federal Home Loan
Mortgage Corporation
2.750%, 08/15/06 22,000 21,757,472
2.750%, 10/15/06 66,000 65,160,546
2.375%, 02/15/07 30,000 29,326,050
Federal National Mortgage Association
4.375%, 10/15/06 70,700 71,330,220
2.625%, 11/15/06 25,000 24,617,625
---------------
TOTAL AGENCY OBLIGATIONS
(Cost $403,012,131) 400,485,076
---------------
BONDS -- (17.1%)
Bank of America Corp.
5.250%, 02/01/07 15,000 15,314,115
Bayerische Landesbank
2.600%, 10/16/06 10,000 9,834,300
Citigroup, Inc.
5.750%, 05/10/06 38,050 38,705,221
5.500%, 08/09/06 12,400 12,611,358
5.000%, 03/06/07 8,000 8,134,256
General Electric Capital Corp.
2.970%, 07/26/06 52,000 51,494,196
KFW International Finance, Inc.
5.250%, 06/28/06 53,000 53,761,928
146
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FACE
AMOUNT VALUE+
--------------- ---------------
(000)
Landesbank Baden-Wuerttemberg
4.150%, 03/30/07 $ 51,000 $ 51,153,714
Toyota Motor Credit Corp.
2.900%, 07/14/06 53,000 52,329,921
US Bank NA
2.850%, 11/15/06 34,350 33,808,507
Wal-Mart Stores, Inc.
5.450%, 08/01/06 19,100 19,432,034
Wells Fargo & Co.
5.900%, 05/21/06 8,600 8,759,306
---------------
TOTAL BONDS
(Cost $357,891,586) 355,338,856
---------------
TOTAL -- UNITED STATES
(Cost $1,462,291,976) 1,457,197,402
---------------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (9.4%)
BONDS -- (9.4%)
Asian Development Bank
4.875%, 02/05/07 50,000 51,064,000
European Investment Bank
3.000%, 08/15/06 52,600 52,282,769
Inter-American Development Bank
6.625%, 03/07/07 43,503 45,695,856
International Finance Corp.
5.250%, 05/02/06 19,400 19,616,252
4.750%, 04/30/07 28,000 28,497,280
---------------
TOTAL -- SUPRANATIONAL ORGANIZATION OBLIGATIONS
(Cost $197,885,211) 197,156,157
---------------
CANADA -- (6.9%)
BONDS -- (6.9%)
British Columbia, Province of
4.625%, 10/03/06 48,040 48,663,271
Manitoba, Province of
4.250%, 11/20/06 51,000 51,362,916
Ontario, Province of
2.650%, 12/15/06 44,000 43,256,048
---------------
TOTAL -- CANADA
(Cost $144,169,118) 143,282,235
---------------
GERMANY -- (2.5%)
BONDS -- (2.5%)
Landwirtschaft Rentenbank
4.500%, 10/23/06 50,100 50,587,924
4.875%, 03/12/07 2,000 2,034,046
---------------
TOTAL -- GERMANY
(Cost $53,230,441) 52,621,970
---------------
SPAIN -- (2.4%)
BONDS -- (2.4%)
Institut de Credito Oficial
4.625%, 11/29/06
(Cost $51,467,050) 50,500 51,029,442
---------------
NORWAY -- (2.4%)
BONDS -- (2.4%)
Eksportfinans ASA
5.750%, 06/06/06
(Cost $51,487,845) 50,000 50,999,200
---------------
SWEDEN -- (2.4%)
BONDS -- (2.4%)
Swedish Export Credit Corp.
2.875%, 01/26/07
(Cost $49,543,854) $ 50,000 $ 49,212,000
---------------
AUSTRIA -- (2.3%)
BONDS -- (2.3%)
Oesterreichische Kontrollbank AG
5.125%, 03/20/07
(Cost $46,967,784) 46,000 47,133,532
---------------
UNITED KINGDOM -- (1.0%)
BONDS -- (1.0%)
BP Capital Markets P.L.C.
2.750%, 12/29/06
(Cost $20,917,918) 21,332 20,995,232
---------------
TEMPORARY CASH
INVESTMENTS -- (0.8%)
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized
by $16,366,000 FHLMC Notes 4.00%, 09/22/09, valued at $16,386,458) to be
repurchased at $16,145,296 (Cost $16,144,000) 16,144 16,144,000
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,094,105,197) $ 2,085,771,170
===============
----------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
147
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
[Enlarge/Download Table]
FACE
AMOUNT VALUE+
--------------- ---------------
(000)
UNITED STATES -- (50.8%)
AGENCY OBLIGATIONS -- (33.4%)
Federal Farm Credit Bank
2.750%, 09/29/06 $ 141,060 $ 139,294,070
Federal Home Loan Bank
2.875%, 08/15/06 17,000 16,839,044
2.625%, 10/16/06 66,000 65,062,206
3.375%, 02/23/07 70,000 69,598,340
Federal Home Loan Mortgage Corporation
2.750%, 08/15/06 31,500 31,152,744
2.750%, 10/15/06 105,000 103,664,505
3.750%, 04/15/07 26,000 26,010,920
Federal National Mortgage Association
4.375%, 10/15/06 121,000 122,078,594
2.375%, 02/15/07 50,000 48,866,550
---------------
TOTAL AGENCY OBLIGATIONS
(Cost $628,366,597) 622,566,973
---------------
BONDS -- (17.4%)
Bank of America Corp.
5.250%, 02/01/07 52,700 53,803,591
Citigroup, Inc.
6.250%, 05/15/06 21,079 21,532,220
5.500%, 08/09/06 6,600 6,712,497
General Electric Capital Corp.
2.970%, 07/26/06 45,200 44,760,340
KFW International Finance, Inc.
5.250%, 06/28/06 45,000 45,646,920
Landesbank Baden-Wuerttemberg
4.150%, 03/30/07 53,000 53,159,742
Toyota Motor Credit Corp.
3.000%, 06/09/06 40,000 39,605,920
2.900%, 07/14/06 5,200 5,134,256
US Bank NA
2.850%, 11/15/06 7,000 6,889,652
Wal-Mart Stores, Inc.
5.450%, 08/01/06 28,323 28,815,367
Wells Fargo & Co.
5.900%, 05/21/06 17,035 17,350,556
---------------
TOTAL BONDS
(Cost $325,474,332) 323,411,061
---------------
TOTAL -- UNITED STATES
(Cost $953,840,929) 945,978,034
---------------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (14.6%)
BONDS -- (14.6%)
Asian Development Bank
4.875%, 02/05/07 51,500 52,595,920
Council of Europe
4.875%, 01/23/07 53,000 53,936,669
European Bank For Reconstruction & Development
5.375%, 06/15/06 $ 49,700 $ 50,389,389
European Investment Bank
3.000%, 08/15/06 34,000 33,794,946
4.875%, 09/06/06 16,500 16,747,533
Inter-American Development Bank
6.625%, 03/07/07 10,600 11,134,314
International Finance Corp.
4.750%, 04/30/07 7,700 7,836,752
World Bank (International Bank for Reconstruction & Development)
Corporate Bonds
4.375%, 09/28/06 44,500 44,950,295
---------------
TOTAL -- SUPRANATIONAL ORGANIZATION OBLIGATIONS
(Cost $272,520,661) 271,385,818
---------------
CANADA -- (7.8%)
BONDS -- (7.8%)
British Columbia, Province of
4.625%, 10/03/06 48,500 49,129,239
Canadian Government
6.750%, 08/28/06 46,700 48,444,151
Manitoba, Province of
4.250%, 11/20/06 47,000 47,334,476
---------------
TOTAL -- CANADA
(Cost $146,414,630) 144,907,866
---------------
GERMANY -- (5.7%)
BONDS -- (5.7%)
Landeskreditbank Baden-Wuerttemberg-Foerderbank
4.875%, 01/30/07 53,000 53,868,458
Landwirtschaft Rentenbank
4.500%, 10/23/06 49,737 50,221,390
4.875%, 03/12/07 3,000 3,051,069
---------------
TOTAL -- GERMANY
(Cost $107,871,824) 107,140,917
---------------
NETHERLANDS -- (4.5%)
BONDS -- (4.5%)
Bank Nederlandse Gemeenten
4.500%, 12/14/06 43,000 43,448,576
Nederlandse Waterschapsbank NV
6.875%, 10/26/06 10,000 10,395,470
Rabobank
5.750%, 05/25/06 30,000 30,575,580
---------------
TOTAL -- NETHERLANDS
(Cost $84,927,406) 84,419,626
---------------
148
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FACE
AMOUNT VALUE+
--------------- ---------------
(000)
AUSTRIA -- (3.3%)
BONDS -- (3.3%)
Bank Austria AG
5.750%, 06/08/06 $ 10,000 $ 10,189,910
Oesterreichische Kontrollbank AG
5.125%, 03/20/07 50,000 51,232,100
---------------
TOTAL -- AUSTRIA
(Cost $61,204,193) 61,422,010
---------------
SPAIN -- (2.7%)
BONDS -- (2.7%)
Institut de Credito Oficial
4.625%, 11/29/06
(Cost $50,944,882) 50,000 50,524,200
---------------
SWEDEN -- (2.7%)
BONDS -- (2.7%)
Swedish Export Credit Corp.
4.625%, 11/06/06 15,000 15,168,735
2.875%, 01/26/07 35,000 34,448,400
---------------
TOTAL -- SWEDEN
(Cost $49,981,036) 49,617,135
---------------
NORWAY -- (2.5%)
BONDS -- (2.5%)
Eksportfinans ASA
5.750%, 06/06/06
(Cost $47,042,721) 45,700 46,613,269
---------------
DENMARK -- (2.4%)
BONDS -- (2.4%)
Denmark (Kingdom of)
5.125%, 12/28/06
(Cost $44,120,887) 43,000 43,930,864
---------------
UNITED KINGDOM -- (1.5%)
BONDS -- (1.5%)
BP Capital Markets P.L.C.
2.350%, 06/15/06 $ 14,000 $ 13,785,002
2.750%, 12/29/06 15,066 14,828,157
---------------
TOTAL -- UNITED KINGDOM
(Cost $28,660,972) 28,613,159
---------------
FRANCE -- (0.8%)
BONDS -- (0.8%)
Dexia Municipal Agency
5.125%, 09/11/06
(Cost $15,420,689) 15,000 15,223,185
---------------
TEMPORARY CASH INVESTMENTS -- (0.7%)
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $12,453,000 FNMA Notes 2.95%, 11/14/07, valued at
$12,437,434) to be repurchased at $12,253,984 (Cost $12,253,000) 12,253 12,253,000
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,875,203,830) $ 1,862,029,083
===============
----------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
149
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
(UNAUDITED)
[Enlarge/Download Table]
THE U.S. THE ENHANCED THE U.S. THE U.S.
LARGE U.S. LARGE LARGE CAP SMALL XM
COMPANY COMPANY VALUE VALUE
SERIES SERIES SERIES SERIES
------------ ------------ ------------ -------------
ASSETS:
Investments at Value (including $227,963, $0, $153,810,
and $2,028 of securities on loan, respectively) $ 4,102,019 $ 269,949 $ 4,963,825 $ 193,856
Cash 3,232 -- 1 1
Receivables:
Investment Securities Sold -- -- 1,427 578
Dividends and Interest 6,559 1,635 6,334 130
Securities Lending Income 39 -- 260 8
Fund Shares Sold 2,597 92 6,047 32
Unrealized Gain on Swap Contracts -- 715 -- --
Prepaid Expenses and Other Assets 24 4 20 3
------------ ------------ ------------ -------------
Total Assets 4,114,470 272,395 4,977,914 194,608
------------ ------------ ------------ -------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 234,937 -- 159,527 2,271
Investment Securities Purchased -- -- 29,501 871
Fund Shares Redeemed 693 -- 109 --
Due to Advisor 79 11 387 16
Payable for Futures Margin Variation 435 1,669 -- --
Accrued Expenses and Other Liabilities 202 35 259 22
------------ ------------ ------------ -------------
Total Liabilities 236,346 1,715 189,783 3,180
------------ ------------ ------------ -------------
NET ASSETS $ 3,878,124 $ 270,680 $ 4,788,131 $ 191,428
============ ============ ============ =============
SHARES OUTSTANDING $0.01 PAR VALUE N/A 30,387,939 247,661,374 16,871,850
============ ============ ============ =============
NET ASSET VALUE , OFFERING AND REDEMPTION PRICE PER SHARE N/A $ 8.91 $ 19.33 $ 11.35
============ ============ ============ =============
Investments at Cost $ 3,221,537 $ 270,838 $ 3,977,265 $ 188,579
============ ============ ============ =============
THE U.S. THE U.S. THE U.S. THE DFA
SMALL CAP SMALL MICRO INTERNATIONAL
VALUE CAP CAP VALUE
SERIES SERIES SERIES SERIES
------------ ------------ ------------ -------------
ASSETS:
Investments at Value (including $173,532, $109,475, $138,767, and
$845,639 of securities on loan, respectively) $ 6,782,328 $ 2,618,370 $ 3,506,310 $ 4,364,903
Cash 1 -- 1 --
Receivables:
Investment Securities Sold 30,002 6,861 10,618 122
Dividends, Interest, and Tax Reclaims 3,833 1,100 1,153 11,301
Securities Lending Income 402 318 497 1,018
Fund Shares Sold 7,296 669 339 6,763
Prepaid Expenses and Other Assets 31 14 37 17
------------ ------------ ------------ -------------
Total Assets 6,823,893 2,627,332 3,518,955 4,384,124
------------ ------------ ------------ -------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 192,164 119,676 154,165 897,593
Investment Securities Purchased 34,422 5,820 27,516 9,084
Fund Shares Redeemed 354 128 77 323
Due to Advisor 1,061 61 270 575
Loan Payable -- -- -- 241
Accrued Expenses and Other Liabilities 402 141 228 247
------------ ------------ ------------ -------------
Total Liabilities 228,403 125,826 182,256 908,063
------------ ------------ ------------ -------------
NET ASSETS $ 6,595,490 $ 2,501,506 $ 3,336,699 $ 3,476,061
============ ============ ============ =============
SHARES OUTSTANDING $0.01 PAR VALUE 307,994,629 166,281,387 313,499,630 221,948,580
============ ============ ============ =============
NET ASSET VALUE , OFFERING AND REDEMPTION PRICE PER SHARE $ 21.41 $ 15.04 $ 10.64 $ 15.66
============ ============ ============ =============
Investments at Cost $ 5,737,060 $ 2,385,238 $ 2,909,295 $ 3,763,256
============ ============ ============ =============
See accompanying Notes to Financial Statements.
150
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THE THE UNITED THE
THE JAPANESE PACIFIC RIM KINGDOM CONTINENTAL
SMALL SMALL SMALL SMALL
COMPANY COMPANY COMPANY COMPANY
SERIES SERIES SERIES SERIES
------------ ------------ ------------ ------------
ASSETS:
Investments at Value (including $202,651, $57,424,
$10,136, and $179,113 of securities on loan,
respectively) $ 1,006,274 $ 402,012 $ 472,087 $ 1,006,082
Cash 15 5 15 15
Receivables:
Investment Securities Sold -- 1,076 3,250 675
Dividends, Interest, and Tax Reclaims 5,404 691 1,508 2,027
Securities Lending Income 308 63 10 253
Fund Shares Sold 73 155 2,017 59
Prepaid Expenses and Other Assets 6 2 2 3
------------ ------------ ------------ ------------
Total Assets 1,012,080 404,004 478,889 1,009,114
------------ ------------ ------------ ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 219,524 65,492 10,865 189,883
Investment Securities Purchased 7,372 4,313 14,795 2,152
Fund Shares Redeemed -- 42 1 4
Due to Advisor 66 28 36 68
Accrued Expenses and Other Liabilities 88 60 63 115
------------ ------------ ------------ ------------
Total Liabilities 227,050 69,935 25,760 192,222
------------ ------------ ------------ ------------
NET ASSETS $ 785,030 $ 334,069 $ 453,129 $ 816,892
============ ============ ============ ============
Investments at Cost $ 994,844 $ 395,816 $ 376,365 $ 724,615
============ ============ ============ ============
THE
THE EMERGING THE DFA THE DFA
EMERGING MARKETS ONE-YEAR TWO-YEAR GLOBAL
MARKETS SMALL CAP FIXED INCOME FIXED INCOME
SERIES SERIES SERIES SERIES
------------- ------------- ------------- ---------------
ASSETS:
Investments at Value $ 1,387,658 $ 341,628 $ 2,085,771 $ 1,862,029
Cash 15 16 1 16
Receivables:
Investment Securities Sold 15,037 -- -- --
Dividends, Interest, and Tax Reclaims 5,947 1,237 11,883 20,184
Fund Shares Sold 773 386 2,197
Prepaid Expenses and Other Assets 6 1 8 8
------------- ------------- ------------- ---------------
Total Assets 1,409,436 343,268 2,097,663 1,884,434
------------- ------------- ------------- ---------------
LIABILITIES:
Payables:
Investment Securities Purchased 1,089 1,701 -- --
Fund Shares Redeemed 1 -- 6,527 --
Due to Advisor 115 56 88 78
Deferred Thailand Capital Gains Tax 3,562 430 -- --
Accrued Expenses and Other Liabilities 236 84 113 123
------------- ------------- ------------- ---------------
Total Liabilities 5,003 2,271 6,728 201
============= ============= ============= ===============
NET ASSETS $ 1,404,433 $ 340,997 $ 2,090,935 $ 1,884,233
============= ============= ============= ===============
SHARES OUTSTANDING $0.01 PAR VALUE N/A N/A 209,400,816 188,475,872
============= ============= ============= ===============
NET ASSET VALUE , OFFERING AND REDEMPTION
PRICE PER SHARE N/A N/A $ 9.99 $ 10.00
============= ============= ============= ===============
Investments at Cost $ 981,452 $ 283,589 $ 2,094,105 $ 1,875,204
============= ============= ============= ===============
See accompanying Notes to Financial Statements.
151
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2005
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
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THE U.S. THE ENHANCED THE U.S. THE U.S.
LARGE U.S. LARGE LARGE CAP SMALL XM
COMPANY COMPANY VALUE VALUE
SERIES SERIES SERIES SERIES
------------ ------------ ------------ ------------
INVESTMENT INCOME
Dividends $ 32,510 -- $ 30,069 $ 840
Interest 1,014 $ 3,455 644 22
Income from Securities Lending 94 -- 501 38
------------ ------------ ------------ ------------
Total Investment Income 33,618 3,455 31,214 900
------------ ------------ ------------ ------------
EXPENSES
Investment Advisory Services 459 61 2,171 97
Accounting & Transfer Agent Fees 275 124 610 16
Custodian Fees 68 19 206 9
Legal Fees 13 1 8 1
Audit Fees 19 1 18 1
S&P 500 Fees 40 2 -- --
Shareholders' Reports 21 1 20 1
Trustees' Fees and Expenses 16 1 16 1
Other 31 5 30 8
------------ ------------ ------------ ------------
Total Expenses 942 215 3,079 134
------------ ------------ ------------ ------------
NET INVESTMENT INCOME (LOSS) 32,676 3,240 28,135 766
------------ ------------ ------------ ------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold (16,162) (526) 33,983 9,820
Net Realized Gain (Loss) on Futures 3,238 14,884 -- --
Net Realized Gain (Loss) on Foreign Currency Transactions -- 1,046 -- --
Net Realized Gain (Loss) on Swap Contracts -- 760 -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 69,706 (916) 146,995 (8,416)
Futures (1,348) (12,146) -- --
Swap Contracts -- (932) -- --
Translation of Foreign Currency Denominated Amounts -- (251) -- --
------------ ------------ ------------ ------------
NET GAIN (LOSS) 55,434 1,919 180,978 1,404
------------ ------------ ------------ ------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 88,110 $ 5,159 $ 209,113 $ 2,170
============ ============ ============ ============
See accompanying Notes to Financial Statements.
152
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THE U.S. THE U.S. THE U.S. THE DFA
SMALL CAP SMALL MICRO INTERNATIONAL
VALUE CAP CAP VALUE
SERIES SERIES SERIES SERIES
------------ ------------ ------------ -------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of
$0, $0, $0, and $6,624, respectively) $ 30,927 $ 10,397 $ 11,991 $ 59,004
Interest 1,022 279 376 243
Income from Securities Lending 2,073 1,451 2,549 2,820
------------ ------------ ------------ -------------
Total Investment Income 34,022 12,127 14,916 62,067
------------ ------------ ------------ -------------
EXPENSES
Investment Advisory Services 6,438 365 1,631 3,260
Accounting & Transfer Agent Fees 903 341 458 655
Custodian Fees 306 116 155 381
Legal Fees 26 5 10 8
Audit Fees 31 10 16 12
Shareholders' Reports 35 11 19 14
Trustees' Fees and Expenses 26 8 14 10
Other 48 18 27 42
------------ ------------ ------------ -------------
Total Expenses 7,813 874 2,330 4,382
------------ ------------ ------------ -------------
NET INVESTMENT INCOME (LOSS) 26,209 11,253 12,586 57,685
------------ ------------ ------------ -------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 411,894 87,072 157,840 62,333
Net Realized Gain (Loss) on Foreign Currency
Transactions -- -- -- (82)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency (462,336) (134,361) (252,417) (67,392)
Translation of Foreign Currency Denominated Amounts -- -- -- (654)
------------ ------------ ------------ -------------
NET GAIN (LOSS) (50,442) (47,289) (94,577) (5,795)
------------ ------------ ------------ -------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ (24,233) $ (36,036) $ (81,991) $ 51,890
============ ============ ============ =============
See accompanying Notes to Financial Statements.
153
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THE THE UNITED THE
THE JAPANESE PACIFIC RIM KINGDOM CONTINENTAL
SMALL SMALL SMALL SMALL
COMPANY COMPANY COMPANY COMPANY
SERIES SERIES SERIES SERIES
------------ ------------ ------------ ------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $474, $160,
$0, and $1,905, respectively) $ 6,294 $ 6,272 $ 6,108 $ 11,783
Interest 73 45 55 83
Income from Securities Lending 1,721 358 36 953
------------ ------------ ------------ ------------
Total Investment Income 8,088 6,675 6,199 12,819
------------ ------------ ------------ ------------
EXPENSES
Investment Advisory Services 366 168 214 382
Accounting & Transfer Agent Fees 321 203 234 329
Custodian Fees 130 92 40 198
Legal Fees 2 1 1 2
Audit Fees 3 1 2 3
Shareholders' Reports 3 1 2 4
Trustees' Fees and Expenses 2 1 1 3
Other 11 5 6 12
------------ ------------ ------------ ------------
Total Expenses 838 472 500 933
------------ ------------ ------------ ------------
NET INVESTMENT INCOME (LOSS) 7,250 6,203 5,699 11,886
------------ ------------ ------------ ------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 5,269 4,275 4,575 15,308
Net Realized Gain (Loss) on Foreign Currency
Transactions (3) 46 (49) (166)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 42,645 (17,021) (1,088) 22,727
Translation of Foreign Currency Denominated Amounts (204) (8) (5) (120)
------------ ------------ ------------ ------------
NET GAIN (LOSS) 47,707 (12,708) 3,433 37,749
------------ ------------ ------------ ------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 54,957 $ (6,505) $ 9,132 $ 49,635
============ ============ ============ ============
See accompanying Notes to Financial Statements.
154
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THE
THE EMERGING THE DFA THE DFA
EMERGING MARKETS ONE-YEAR TWO-YEAR GLOBAL
MARKETS SMALL CAP FIXED INCOME FIXED INCOME
SERIES SERIES SERIES SERIES
------------ ------------ ------------ ---------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $2,719,
$438, $0, and $0, respectively) $ 25,129 $ 5,439 -- --
Interest 121 42 $ 28,277 $ 26,070
------------ ------------ ------------ ---------------
Total Investment Income 25,250 5,481 28,277 26,070
------------ ------------ ------------ ---------------
EXPENSES
Investment Advisory Services 657 300 502 447
Accounting & Transfer Agent Fees 407 187 225 392
Custodian Fees 713 231 86 59
Legal Fees 4 1 9 4
Audit Fees 5 1 10 9
Shareholders' Reports 6 1 11 9
Trustees' Fees and Expenses 5 1 9 7
Other 22 6 18 11
------------ ------------ ------------ ---------------
Total Expenses 1,819 728 870 938
------------ ------------ ------------ ---------------
NET INVESTMENT INCOME (LOSS) 23,431 4,753 27,407 25,132
------------ ------------ ------------ ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 9,968 2,819 (4,906) (6,009)
Net Realized Gain (Loss) on Foreign Currency
Transactions (877) (94) -- 7,070
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 61,977 3,620 (881) (7,241)
Translation of Foreign Currency Denominated Amounts (25) 4 -- (1,735)
Deferred Thailand Capital Gains Tax 114 99 -- --
------------ ------------ ------------ ---------------
NET GAIN (LOSS) 71,157 6,448 (5,787) (7,915)
------------ ------------ ------------ ---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 94,588 $ 11,201 $ 21,620 $ 17,217
============ ============ ============ ===============
See accompanying Notes to Financial Statements.
155
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
[Enlarge/Download Table]
THE U.S. THE ENHANCED
LARGE COMPANY U.S. LARGE COMPANY
SERIES SERIES
-------------------------- --------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 32,676 $ 65,462 $ 3,240 $ 2,781
Net Realized Gain (Loss) on
Investment Securities Sold (16,162) (2,763) (526) (321)
Net Realized Gain (Loss) on Futures 3,238 9,374 14,884 13,917
Net Realized Gain (Loss) on
Foreign Currency Transactions -- -- 1,046 (1,063)
Net Realized Gain (Loss) on
Swap Contracts -- -- 760 1,633
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency 69,706 317,965 (916) 277
Translation of Foreign Currency
Denominated Amounts -- -- (251) 251
Futures (1,348) 714 (12,146) 1,966
Swap Contracts -- -- (932) 1,337
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations 88,110 390,752 5,159 20,778
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income -- -- (2,636) (1,998)
Net Short-Term Gains -- -- -- --
Net Long-Term Gains -- -- -- --
----------- ----------- ----------- -----------
Total Distributions -- -- (2,636) (1,998)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued -- -- 54,561 73,871
Shares Issued in Lieu of Cash
Distributions -- -- 2,607 1,977
Shares Redeemed -- -- (10,791) (14,326)
----------- ----------- ----------- -----------
Net Increase (Decrease) from Capital
Share Transactions -- -- 46,377 61,522
----------- ----------- ----------- -----------
Transactions in Interest:
Contributions 465,880 571,038 -- --
Withdrawals (169,785) (468,868) -- --
----------- ----------- ----------- -----------
Net Increase (Decrease) from Transactions
in Interest 296,095 102,170 -- --
----------- ----------- ----------- -----------
Total Increase (Decrease) 384,205 492,922 48,900 80,302
NET ASSETS
Beginning of Period 3,493,919 3,000,997 221,780 141,478
----------- ----------- ----------- -----------
End of Period $ 3,878,124 $ 3,493,919 $ 270,680 $ 221,780
=========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued N/A N/A 6,187 8,760
Shares Issued in Lieu of
Cash Distributions N/A N/A 293 234
Shares Redeemed N/A N/A (1,209) (1,698)
----------- ----------- ----------- -----------
N/A N/A 5,271 7,296
=========== =========== =========== ===========
THE U.S. THE U.S.
LARGE CAP VALUE SMALL XM VALUE
SERIES SERIES
-------------------------- --------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 28,135 $ 45,093 $ 766 $ 2,059
Net Realized Gain (Loss) on
Investment Securities Sold 33,983 84,609 9,820 24,457
Net Realized Gain (Loss) on Futures -- -- -- --
Net Realized Gain (Loss) on
Foreign Currency Transactions -- -- -- --
Net Realized Gain (Loss) on
Swap Contracts -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency 146,995 496,658 (8,416) 22,437
Translation of Foreign Currency
Denominated Amounts -- -- -- --
Futures -- -- -- --
Swap Contracts -- -- -- --
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations 209,113 626,360 2,170 48,953
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income (26,329) (33,641) (1,817) (1,311)
Net Short-Term Gains -- -- (10,061) (10,132)
Net Long-Term Gains (3,972) -- (14,166) (10,283)
----------- ----------- ----------- -----------
Total Distributions (30,301) (33,641) (26,044) (21,726)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued 677,006 857,913 13,390 59,251
Shares Issued in Lieu of Cash
Distributions 28,649 32,697 22,682 21,565
Shares Redeemed (16,249) (74,078) (28,095) (80,125)
----------- ----------- ----------- -----------
Net Increase (Decrease) from Capital
Share Transactions 689,406 816,532 7,977 691
----------- ----------- ----------- -----------
Transactions in Interest:
Contributions -- -- -- --
Withdrawals -- -- -- --
----------- ----------- ----------- -----------
Net Increase (Decrease) from Transactions
in Interest -- -- -- --
----------- ----------- ----------- -----------
Total Increase (Decrease) 868,218 1,409,251 (15,897) 27,918
NET ASSETS
Beginning of Period 3,919,913 2,510,662 207,325 179,407
----------- ----------- ----------- -----------
End of Period $ 4,788,131 $ 3,919,913 $ 191,428 $ 207,325
=========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 35,683 50,791 1,168 5,275
Shares Issued in Lieu of
Cash Distributions 1,509 1,939 2,007 2,056
Shares Redeemed (857) (4,363) (2,488) (7,080)
----------- ----------- ----------- -----------
36,335 48,367 687 251
=========== =========== =========== ===========
See accompanying Notes to the Financial Statements.
156
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THE U.S. THE U.S.
SMALL CAP VALUE SMALL CAP
SERIES SERIES
-------------------------- --------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 26,209 $ 41,172 $ 11,253 $ 15,072
Net Realized Gain (Loss) on
Investment Securities Sold 411,894 580,495 87,072 113,151
Net Realized Gain (Loss) on
Foreign Currency Transactions -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency (462,336) 685,887 (134,361) 180,068
----------- ----------- ----------- -----------
Translation of Foreign Currency
Denominated Amounts -- -- -- --
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations (24,233) 1,307,554 (36,036) 308,291
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income (35,770) (18,623) (10,150) (10,116)
Net Short-Term Gains (67,865) (55,751) (18,608) (638)
Net Long-Term Gains (512,161) (300,806) (94,497) --
----------- ----------- ----------- -----------
Total Distributions (615,796) (375,180) (123,255) (10,754)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued 532,840 896,415 279,725 890,063
Shares Issued in Lieu of Cash
Distributions 598,005 366,785 122,467 10,424
Shares Redeemed (190,228) (418,726) (62,485) (345,420)
----------- ----------- ----------- -----------
Net Increase (Decrease) from Capital
Share Transactions 940,617 844,474 339,707 555,067
----------- ----------- ----------- -----------
Total Increase (Decrease) 300,588 1,776,848 180,416 852,604
NET ASSETS
Beginning of Period 6,294,902 4,518,054 2,321,090 1,468,486
----------- ----------- ----------- -----------
End of Period $ 6,595,490 $ 6,294,902 $ 2,501,506 $ 2,321,090
=========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 24,632 42,487 18,288 60,867
Shares Issued in Lieu of Cash
Distributions 27,569 18,895 7,940 728
Shares Redeemed (8,888) (20,327) (4,219) (23,461)
----------- ----------- ----------- -----------
43,313 41,055 22,009 38,134
=========== =========== =========== ===========
THE U.S. THE DFA
MICRO CAP INTERNATIONAL VALUE
SERIES SERIES
-------------------------- --------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 12,586 $ 18,087 $ 57,685 $ 49,525
Net Realized Gain (Loss) on
Investment Securities Sold 157,840 346,562 62,333 115,062
Net Realized Gain (Loss) on
Foreign Currency Transactions -- -- (82) (332)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency (252,417) 92,588 (67,392) 436,284
----------- ----------- ----------- -----------
Translation of Foreign Currency
Denominated Amounts -- -- (654) 162
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations (81,991) 457,237 51,890 600,701
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income (10,038) (13,321) (26,491) (44,310)
Net Short-Term Gains (50,131) (35,169) (2,493) --
Net Long-Term Gains (217,324) (22,357) (104,987) --
----------- ----------- ----------- -----------
Total Distributions (277,493) (70,847) (133,971) (44,310)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued 248,621 408,460 664,859 728,312
Shares Issued in Lieu of Cash
Distributions 269,889 67,549 131,569 42,852
Shares Redeemed (38,767) (270,002) (42,329) (128,290)
----------- ----------- ----------- -----------
Net Increase (Decrease) from Capital
Share Transactions 479,743 206,007 754,099 642,874
----------- ----------- ----------- -----------
Total Increase (Decrease) 120,259 592,397 672,018 1,199,265
NET ASSETS
Beginning of Period 3,216,440 2,624,043 2,804,043 1,604,778
----------- ----------- ----------- -----------
End of Period $ 3,336,699 $ 3,216,440 $ 3,476,061 $ 2,804,043
=========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 22,962 37,622 41,322 51,724
Shares Issued in Lieu of Cash
Distributions 24,315 6,513 8,398 3,072
Shares Redeemed (3,546) (24,725) (2,638) (9,358)
----------- ----------- ----------- -----------
43,731 19,410 47,082 45,438
=========== =========== =========== ===========
See accompanying Notes to the Financial Statements.
157
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THE JAPANESE THE PACIFIC RIM
SMALL COMPANY SMALL COMPANY
SERIES SERIES
-------------------------- --------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 7,250 $ 6,488 $ 6,203 $ 7,693
Net Realized Gain (Loss) on
Investment Securities Sold 5,269 4,671 4,275 8,924
Net Realized Gain (Loss) on
Foreign Currency Transactions (3) (28) 46 69
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency 42,645 101,600 (17,021) 37,804
Translation of Foreign Currency
Denominated Amounts (204) 127 (8) 16
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations 54,957 112,858 (6,505) 54,506
----------- ----------- ----------- -----------
Transactions in Interest:
Contributions 131,321 214,817 63,123 82,852
Withdrawals (6,380) (6,242) (5,548) (11,124)
----------- ----------- ----------- -----------
Net Increase (Decrease) from
Transactions in Interest 124,941 208,575 57,575 71,728
----------- ----------- ----------- -----------
Total Increase (Decrease) 179,898 321,433 51,070 126,234
NET ASSETS
Beginning of Period 605,132 283,699 282,999 156,765
----------- ----------- ----------- -----------
End of Period $ 785,030 $ 605,132 $ 334,069 $ 282,999
=========== =========== =========== ===========
THE UNITED KINGDOM THE CONTINENTAL
SMALL COMPANY SMALL COMPANY
SERIES SERIES
-------------------------- --------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 5,699 $ 7,631 $ 11,886 $ 11,410
Net Realized Gain (Loss) on
Investment Securities Sold 4,575 7,907 15,308 20,346
Net Realized Gain (Loss) on
Foreign Currency Transactions (49) (42) (166) 114
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency (1,088) 56,621 22,727 139,855
Translation of Foreign Currency
Denominated Amounts (5) (12) (120) (20)
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations 9,132 72,105 49,635 171,705
----------- ----------- ----------- -----------
Transactions in Interest:
Contributions 69,014 148,279 115,927 70,258
Withdrawals (2,780) (3,538) (3,314) (35,726)
----------- ----------- ----------- -----------
Net Increase (Decrease) from
Transactions in Interest 66,234 144,741 112,613 34,532
----------- ----------- ----------- -----------
Total Increase (Decrease) 75,366 216,846 162,248 206,237
NET ASSETS
Beginning of Period 377,763 160,917 654,644 448,407
----------- ----------- ----------- -----------
End of Period $ 453,129 $ 377,763 $ 816,892 $ 654,644
=========== =========== =========== ===========
See accompanying Notes to the Financial Statements.
158
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THE
THE EMERGING
EMERGING MARKETS MARKETS SMALL CAP
SERIES SERIES
-------------------------- --------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 23,431 $ 22,194 $ 4,753 $ 3,243
Net Realized Gain (Loss) on
Investment Securities Sold 9,968 84 2,819 10,731
Net Realized Gain (Loss) on
Foreign Currency Transactions (877) (1,491) (94) (378)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency 61,977 245,707 3,620 35,801
Translation of Foreign Currency
Denominated Amounts (25) 61 4 42
Deferred Thailand Capital Gains Tax 114 (985) 99 410
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations 94,588 265,570 11,201 49,849
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income -- -- -- --
Net Short-Term Gains -- -- -- --
Net Long-Term Gains -- -- -- --
----------- ----------- ----------- -----------
Total Distributions -- -- -- --
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued -- -- -- --
Shares Issued in Lieu of
Cash Distributions -- -- -- --
Shares Redeemed -- -- -- --
----------- ----------- ----------- -----------
Net Increase (Decrease) from Capital
Share Transactions -- -- -- --
----------- ----------- ----------- -----------
Transactions in Interest:
Contributions 181,980 377,916 94,933 89,119
Withdrawals (32,397) (90,785) (3,002) (18,847)
----------- ----------- ----------- -----------
Net Increase (Decrease) from
Transactions in Interest 149,583 287,131 91,931 70,272
----------- ----------- ----------- -----------
Total Increase (Decrease) 244,171 552,701 103,132 120,121
NET ASSETS
Beginning of Period 1,160,262 607,561 237,865 117,744
----------- ----------- ----------- -----------
End of Period $ 1,404,433 $ 1,160,262 $ 340,997 $ 237,865
=========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued N/A N/A N/A N/A
Shares Issued in Lieu of
Cash Distributions N/A N/A N/A N/A
Shares Redeemed N/A N/A N/A N/A
----------- ----------- ----------- -----------
N/A N/A N/A N/A
=========== =========== =========== ===========
THE DFA THE DFA
ONE-YEAR FIXED TWO-YEAR GLOBAL
INCOME SERIES FIXED INCOME SERIES
-------------------------- --------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 27,407 $ 28,887 $ 25,132 $ 29,405
Net Realized Gain (Loss) on
Investment Securities Sold (4,906) (4,145) (6,009) (6,273)
Net Realized Gain (Loss) on
Foreign Currency Transactions -- -- 7,070 (7,224)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency (881) (4,638) (7,241) (2,216)
Translation of Foreign Currency
Denominated Amounts -- -- (1,735) 1,735
Deferred Thailand Capital Gains Tax -- -- -- --
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations 21,620 20,104 17,217 15,427
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income (24,672) (26,750) (14,818) (21,943)
Net Short-Term Gains -- (9,586) -- (13,106)
Net Long-Term Gains -- (172) -- (354)
----------- ----------- ----------- -----------
Total Distributions (24,672) (36,508) (14,818) (35,403)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued 581,179 818,007 202,753 536,479
Shares Issued in Lieu of
Cash Distributions 23,594 34,532 14,792 35,234
Shares Redeemed (250,270) (552,025) (42,843) (40,215)
----------- ----------- ----------- -----------
Net Increase (Decrease) from Capital
Share Transactions 354,503 300,514 174,702 531,498
----------- ----------- ----------- -----------
Transactions in Interest:
Contributions -- -- -- --
Withdrawals -- -- -- --
----------- ----------- ----------- -----------
Net Increase (Decrease) from
Transactions in Interest -- -- -- --
----------- ----------- ----------- -----------
Total Increase (Decrease) 351,451 284,110 177,101 511,522
NET ASSETS
Beginning of Period 1,739,484 1,455,374 1,707,132 1,195,610
----------- ----------- ----------- -----------
End of Period $ 2,090,935 $ 1,739,484 $ 1,884,233 $ 1,707,132
=========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 58,240 81,382 20,360 53,400
Shares Issued in Lieu of
Cash Distributions 2,367 3,445 1,489 3,515
Shares Redeemed (25,086) (54,998) (4,300) (3,974)
----------- ----------- ----------- -----------
35,521 29,829 17,549 52,941
=========== =========== =========== ===========
See accompanying Notes to the Financial Statements.
159
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
[Enlarge/Download Table]
THE U.S. LARGE COMPANY SERIES
----------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized) -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations -- -- -- -- -- --
----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- -- --
Net Realized Gains -- -- -- -- -- --
Return of Capital -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions -- -- -- -- -- --
----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
==================================================================================================================================
Total Return 2.44%# 12.77% 15.05% (16.59)% (12.30)% (4.25)%
----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 3,878,124 $ 3,493,919 $ 3,000,997 $ 2,623,557 $ 2,831,650 $ 3,138,812
Ratio of Expenses to Average Net
Assets 0.05%* 0.05% 0.05% 0.05% 0.05% 0.06%
Ratio of Net Investment Income to
Average Net Assets 1.78%* 1.99% 1.75% 1.53% 1.26% 1.12%
Portfolio Turnover Rate 3%# 2% 8% 11% 8% 8%
THE ENHANCED U.S. LARGE COMPANY SERIES
----------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 8.83 $ 7.94 $ 6.97 $ 8.41 $ 9.92 $ 13.03
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.16 0.08 0.15 0.18 0.44 1.18
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.02 0.91 0.93 (1.46) (1.57) (1.62)
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.18 0.99 1.08 (1.28) (1.13) (0.44)
----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.10) (0.10) (0.11) (0.16) (0.06) (1.30)
Net Realized Gains -- -- -- -- -- (1.37)
Return of Capital -- -- -- -- (0.32) --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.10) (0.10) (0.11) (0.16) (0.38) (2.67)
----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 8.91 $ 8.83 $ 7.94 $ 6.97 $ 8.41 $ 9.92
==================================================================================================================================
Total Return 2.07%# 12.50% 15.71% (15.34)% (11.66)% 4.64%
----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 270,680 $ 221,780 $ 141,478 $ 101,407 $ 90,801 $ 89,927
Ratio of Expenses to Average Net
Assets 0.18%* 0.18% 0.18% 0.18% 0.19% 0.19%
Ratio of Net Investment Income to
Average Net Assets 2.67%* 1.59% 1.44% 2.61% 4.37% 5.26%
Portfolio Turnover Rate 45%# 125% 138% 183% 122% 71%
* Annualized
# Non-annualized
N/A+ Not applicable as The U.S. Large Company Series is organized as a
partnership and does not have a unitized value.
See accompanying Notes to Financial Statements.
160
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THE U.S. LARGE CAP VALUE SERIES
----------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 18.55 $ 15.41 $ 13.01 $ 14.44 $ 14.71 $ 17.79
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.12 0.23 0.21 0.20 0.25 0.33
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.80 3.09 2.41 (1.43) 1.25 0.04
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.92 3.32 2.62 (1.23) 1.50 0.37
----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.12) (0.18) (0.22) (0.20) (0.27) (0.32)
Net Realized Gains (0.02) -- -- -- (1.50) (3.13)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.14) (0.18) (0.22) (0.20) (1.77) (3.45)
----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 19.33 $ 18.55 $ 15.41 $ 13.01 $ 14.44 $ 14.71
==================================================================================================================================
Total Return 4.97%# 21.68% 20.34% (8.64)% 10.97% 3.06%
----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 4,788,131 $ 3,919,913 $ 2,510,662 $ 1,737,809 $ 1,637,083 $ 1,735,343
Ratio of Expenses to Average Net Assets 0.14%* 0.15% 0.15% 0.15% 0.15% 0.16%
Ratio of Net Investment Income to
Average Net Assets 1.30%* 1.41% 1.62% 1.49% 1.66% 2.20%
Portfolio Turnover Rate 3%# 7% 7% 9% 6% 26%
THE U.S. SMALL XM VALUE SERIES
----------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 12.81 $ 11.26 $ 9.08 $ 10.21 $ 8.95 $ 9.03
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.05 0.12 0.24 0.10 0.15 0.15
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.09 2.73 2.90 0.14 1.88 0.15
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.14 2.85 3.14 0.24 2.03 0.30
----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.11) (0.08) (0.07) (0.10) (0.14) (0.15)
Net Realized Gains (1.49) (1.22) (0.89) (1.27) (0.63) (0.23)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (1.60) (1.30) (0.96) (1.37) (0.77) (0.38)
----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 11.35 $ 12.81 $ 11.26 $ 9.08 $ 10.21 $ 8.95
==================================================================================================================================
Total Return 1.19%# 27.86% 38.88% 2.17% 24.10% 3.42%
----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 191,428 $ 207,325 $ 179,407 $ 804,555 $ 793,190 $ 801,368
Ratio of Expenses to Average Net Assets 0.14%* 0.13% 0.13% 0.13% 0.13% 0.13%
Ratio of Net Investment Income to
Average Net Assets 0.79%* 1.03% 0.89% 1.04% 1.32% 2.03%
Portfolio Turnover Rate 14%# 38% 43% 34% 8% 26%
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
161
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THE U.S. SMALL CAP VALUE SERIES
----------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 23.78 $ 20.20 $ 15.04 $ 16.54 $ 16.47 $ 17.16
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.09 0.16 0.12 0.11 0.15 0.16
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.15) 5.09 6.29 0.11 3.15 0.97
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations (0.06) 5.25 6.41 0.22 3.30 1.13
----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.13) (0.08) (0.12) (0.11) (0.15) (0.16)
Net Realized Gains (2.18) (1.59) (1.13) (1.61) (3.08) (1.66)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (2.31) (1.67) (1.25) (1.72) (3.23) (1.82)
----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 21.41 $ 23.78 $ 20.20 $ 15.04 $ 16.54 $ 16.47
==================================================================================================================================
Total Return (0.36)%# 27.87% 46.31% 1.05% 23.86% 7.29%
----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 6,595,490 $ 6,294,902 $ 4,518,054 $ 3,148,780 $ 3,039,844 $ 2,711,041
Ratio of Expenses to Average Net Assets 0.24%* 0.25% 0.25% 0.25% 0.25% 0.25%
Ratio of Net Investment Income to
Average Net Assets 0.82%* 0.78% 0.75% 0.70% 0.86% 0.92%
Portfolio Turnover Rate 14%# 26% 35% 30% 13% 32%
THE U.S. SMALL CAP SERIES
----------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 16.09 $ 13.84 $ 9.93 $ 11.08 $ 11.67 $ 12.24
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.07 0.12 0.08 0.09 0.10 0.11
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.28) 2.22 3.92 (1.00) 1.24 0.65
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations (0.21) 2.34 4.00 (0.91) 1.34 0.76
----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.07) (0.08) (0.09) (0.10) (0.10) (0.11)
Net Realized Gains (0.77) (0.01) -- (0.14) (1.83) (1.22)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.84) (0.09) (0.09) (0.24) (1.93) (1.33)
----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 15.04 $ 16.09 $ 13.84 $ 9.93 $ 11.08 $ 11.67
==================================================================================================================================
Total Return (1.43)%# 16.99% 40.32% (8.42)% 13.08% 6.48%
----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 2,501,506 $ 2,321,090 $ 1,468,486 $ 851,901 $ 991,082 $ 768,151
Ratio of Expenses to
Average Net Assets 0.07%* 0.07% 0.08% 0.08% 0.08% 0.08%
Ratio of Net Investment
Income to Average
Net Assets 0.93%* 0.85% 0.84% 0.81% 0.94% 0.99%
Portfolio Turnover Rate 9%# 16% 16% 34% 13% 38%
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
162
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THE U.S. MICRO CAP SERIES
----------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 11.92 $ 10.48 $ 7.11 $ 7.50 $ 8.19 $ 9.55
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.04 0.07 0.05 0.04 0.07 0.07
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.29) 1.65 3.47 (0.25) 1.07 0.46
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations (0.25) 1.72 3.52 (0.21) 1.14 0.53
----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.04) (0.05) (0.05) (0.05) (0.06) (0.07)
Net Realized Gains (0.99) (0.23) (0.10) (0.13) (1.77) (1.82)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (1.03) (0.28) (0.15) (0.18) (1.83) (1.89)
----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 10.64 $ 11.92 $ 10.48 $ 7.11 $ 7.50 $ 8.19
==================================================================================================================================
Total Return (2.51)%# 16.83% 50.34% (2.96)% 17.66% 5.82%
----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 3,336,699 $ 3,216,440 $ 2,624,043 $ 1,611,189 $ 1,616,114 $ 1,443,726
Ratio of Expenses to Average Net Assets 0.14%* 0.15% 0.15% 0.15% 0.15% 0.15%
Ratio of Net Investment Income to
Average Net Assets 0.77%* 0.64% 0.68% 0.58% 0.88% 0.76%
Portfolio Turnover Rate 10%# 27% 19% 19% 14% 37%
THE DFA INTERNATIONAL VALUE SERIES
----------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 16.04 $ 12.40 $ 9.33 $ 10.15 $ 12.07 $ 13.18
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.27 0.33 0.27 0.24 0.27 0.27
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.10 3.61 3.06 (0.78) (1.49) (0.31)
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.37 3.94 3.33 (0.54) (1.22) (0.04)
----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.15) (0.30) (0.25) (0.25) (0.27) (0.26)
Net Realized Gains (0.60) -- (0.01) (0.03) (0.43) (0.81)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.75) (0.30) (0.26) (0.28) (0.70) (1.07)
----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 15.66 $ 16.04 $ 12.40 $ 9.33 $ 10.15 $ 12.07
==================================================================================================================================
Total Return 2.31%# 32.15% 36.24% (5.53)% (10.75)% (0.51)%
----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 3,476,061 $ 2,804,043 $ 1,604,778 $ 1,125,467 $ 1,208,100 $ 1,553,481
Ratio of Expenses to Average Net Assets 0.27%* 0.28% 0.30% 0.30% 0.29% 0.29%
Ratio of Net Investment Income to
Average Net Assets 3.55%* 2.35% 2.61% 2.36% 2.32% 2.13%
Portfolio Turnover Rate 5%# 15% 14% 18% 6% 9%
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
163
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THE JAPANESE SMALL COMPANY SERIES
----------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized) -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations -- -- -- -- -- --
----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- -- --
Net Realized Gains -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions -- -- -- -- -- --
----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
==================================================================================================================================
Total Return 8.94%# 32.73% 47.87% (9.62)% (13.51)% (9.93)%
----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 785,030 $ 605,132 $ 283,699 $ 195,047 $ 196,187 $ 196,118
Ratio of Expenses to Average Net Assets 0.23%* 0.27% 0.28% 0.27% 0.28% 0.27%
Ratio of Net Investment Income to
Average Net Assets 1.99%* 1.45% 1.41% 1.26% 1.41% 1.38%
Portfolio Turnover Rate 2%# 5% 16% 5% 9% 6%
THE PACIFIC RIM SMALL COMPANY SERIES
----------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized) -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations -- -- -- -- -- --
----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- -- --
Net Realized Gains -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions -- -- -- -- -- --
----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
==================================================================================================================================
Total Return (1.72)%# 27.40% 61.47% 7.28% 2.84% (10.99)%
----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 334,069 $ 282,999 $ 156,765 $ 121,637 $ 130,554 $ 131,888
Ratio of Expenses to Average Net Assets 0.28%* 0.32% 0.31% 0.32% 0.28% 0.29%
Ratio of Net Investment Income to
Average Net Assets 3.71%* 3.82% 3.35% 3.77% 3.69% 4.10%
Portfolio Turnover Rate 3%# 11% 15% 26% 10% 7%
* Annualized
# Non-annualized
N/A+ Not applicable as The Japanese Small Company Series and The Pacific Rim
Small Company Series are organized as partnerships and do not have unitized
values.
See accompanying Notes to Financial Statements.
164
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THE UNITED KINGDOM SMALL COMPANY SERIES
----------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized) -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations -- -- -- -- -- --
----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- -- --
Net Realized Gains -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions -- -- -- -- -- --
----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
==================================================================================================================================
Total Return 2.57%# 29.68% 44.65% (4.67)% (4.89)% (6.18)%
----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 453,129 $ 377,763 $ 160,917 $ 98,899 $ 96,741 $ 109,806
Ratio of Expenses to Average Net Assets 0.23%* 0.27% 0.26% 0.26% 0.27% 0.26%
Ratio of Net Investment Income to
Average Net Assets 2.67%* 2.70% 3.25% 3.03% 2.86% 3.06%
Portfolio Turnover Rate 5%# 7% 7% 6% 14% 11%
THE CONTINENTAL SMALL COMPANY SERIES
----------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized) -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations -- -- -- -- -- --
----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- -- --
Net Realized Gains -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions -- -- -- -- -- --
----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
==================================================================================================================================
Total Return 7.81%# 36.57% 52.86% 3.22% (5.43)% 2.67%
----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 816,892 $ 654,644 $ 448,407 $ 263,068 $ 210,337 $ 226,724
Ratio of Expenses to Average Net Assets 0.24%* 0.26% 0.30% 0.31% 0.30% 0.28%
Ratio of Net Investment Income to
Average Net Assets 3.12%* 2.09% 2.49% 2.22% 2.73% 2.36%
Portfolio Turnover Rate 3%# 9% 11% 12% 12% 9%
* Annualized
# Non-annualized
N/A+ Not applicable as The United Kingdom Small Company Series and The
Continental Small Company Series are organized as partnerships and do not
have unitized values.
See accompanying Notes to Financial Statements.
165
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THE EMERGING MARKETS SERIES
----------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized) -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations -- -- -- -- -- --
----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- -- --
Net Realized Gains -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions -- -- -- -- -- --
----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
==================================================================================================================================
Total Return 8.09%# 35.47% 39.67% 2.10% (8.54)% (22.30)%
----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,404,433 $ 1,160,262 $ 607,561 $ 343,193 $ 307,720 $ 296,726
Ratio of Expenses to Average Net Assets 0.28%* 0.31% 0.34% 0.34% 0.46% 0.46%
Ratio of Net Investment Income to
Average Net Assets 3.58%* 2.63% 2.23% 1.64% 1.94% 1.33%
Portfolio Turnover Rate 2%# 2% 1% 8% 6% 12%
THE EMERGING MARKETS SMALL CAP SERIES
----------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized) -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations -- -- -- -- -- --
----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- -- --
Net Realized Gains -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions -- -- -- -- -- --
----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
==================================================================================================================================
Total Return 5.38%# 35.22% 52.80% 13.07% (9.55)% (23.28)%
----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 340,997 $ 237,865 $ 117,744 $ 40,379 $ 34,687 $ 32,572
Ratio of Expenses to Average Net Assets 0.49%* 0.52% 0.54% 0.51% 0.63% 0.66%
Ratio of Net Investment Income to
Average Net Assets 3.17%* 1.93% 2.44% 2.03% 2.17% 1.69%
Portfolio Turnover Rate 2%# 11% 6% 16% 14% 20%
* Annualized
# Non-annualized
N/A+ Not applicable as The Emerging Markets Series and The Emerging Markets
Small Cap Series are organized as partnerships and do not have unitized
values.
See accompanying Notes to Financial Statements.
166
[Enlarge/Download Table]
THE DFA ONE-YEAR FIXED INCOME SERIES
----------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 10.00 $ 10.10 $ 10.19 $ 10.11 $ 10.01 $ 9.97
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.13 0.16 0.15 0.27 0.49 0.60
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.02) (0.04) 0.04 0.09 0.13 0.04
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.11 0.12 0.19 0.36 0.62 0.64
----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.12) (0.15) (0.16) (0.28) (0.52) (0.60)
Net Realized Gains -- (0.07) (0.12) -- -- --
Return of Capital -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.12) (0.22) (0.28) (0.28) (0.52) (0.60)
----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 9.99 $ 10.00 $ 10.10 $ 10.19 $ 10.11 $ 10.01
==================================================================================================================================
Total Return 1.15%# 1.21% 1.95% 3.57% 6.33% 6.63%
----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 2,090,935 $ 1,739,484 $ 1,455,374 $ 992,829 $ 739,657 $ 841,506
Ratio of Expenses to Average Net Assets 0.09%* 0.09% 0.09% 0.09% 0.09% 0.09%
Ratio of Net Investment Income to
Average Net Assets 2.74%* 1.63% 1.51% 2.65% 4.89% 6.07%
Portfolio Turnover Rate 39%# 154% 143% 154% 55% 35%
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
----------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 9.99 $ 10.13 $ 10.22 $ 10.03 $ 9.70 $ 10.11
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.17 0.12 0.25 0.30 0.44 0.84
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.08) -- (0.01) 0.16 0.22 (0.23)
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.09 0.12 0.24 0.46 0.66 0.61
----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.08) (0.15) (0.19) (0.27) (0.14) (1.02)
Net Realized Gains -- (0.11) (0.14) -- -- --
Return of Capital -- -- -- -- (0.19) --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.08) (0.26) (0.33) (0.27) (0.33) (1.02)
----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 10.00 $ 9.99 $ 10.13 $ 10.22 $ 10.03 $ 9.70
==================================================================================================================================
Total Return 0.95%# 1.22% 2.36% 4.60% 6.91% 6.30%
----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,884,233 $ 1,707,132 $ 1,195,610 $ 799,308 $ 596,209 $ 518,518
Ratio of Expenses to Average Net Assets 0.11%* 0.11% 0.13% 0.14% 0.15% 0.15%
Ratio of Net Investment Income to
Average Net Assets 2.82%* 1.96% 1.78% 3.20% 4.54% 5.03%
Portfolio Turnover Rate 39%# 131% 144% 138% 113% 73%
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
167
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. At May
31, 2005, the Trust consisted of twenty-one investment portfolios, ("the
Portfolios") of which sixteen are included in this report, (collectively, the
"Series") (five are presented in separate reports):
The U.S. Large Company Series
The Enhanced U.S. Large Company Series
The U.S. Large Cap Value Series
The U.S. Small XM Value Series
The U.S. Small Cap Value Series
The U.S. Small Cap Series
The U.S. Micro Cap Series
(the "Domestic Equity Portfolios")
The DFA One-Year Fixed Income Series
The DFA Two-Year Global Fixed Income Series
(the "Fixed Income Portfolios")
The DFA International Value Series
The Japanese Small Company Series
The Pacific Rim Small Company Series
The United Kingdom Small Company Series
The Continental Small Company Series
The Emerging Markets Series
The Emerging Markets Small Cap Series
(the "International Equity Portfolios")
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: Securities held by the Domestic Equity Portfolios
which are listed on a securities exchange and for which market quotations are
readily available are valued at the last quoted sale price of the day.
Securities held by the Series that are listed on NASDAQ are valued at the NASDAQ
Official Closing Price ("NOCP"). If there is no last reported sale price or NOCP
for the day, the Series values securities at the mean between the quoted bid and
asked prices. Securities held by the International Equity Portfolios that are
listed on a securities exchange are valued at the last quoted sale price. Price
information on listed securities is taken from the exchange where the security
is primarily traded. Unlisted securities for which market quotations are
available are valued at the mean between the most recent bid and asked prices.
Fixed income instruments held by The Enhanced U.S. Large Company Series and The
Fixed Income Portfolios are valued at the mean between the most recent quoted
bid and asked prices or prices provided by a pricing service when such prices
are believed to reflect the current market value of these securities. Securities
for which quotations are not readily available, or for which market quotations
have become unreliable, are valued in good faith at fair value using methods
approved by the Board of Trustees.
The International Equity Portfolios will also apply a fair value price in
the circumstances described below. Generally, trading in foreign securities
markets is completed each day at various times prior to the close of the New
York Stock Exchange (NYSE). For example, trading in the Japanese securities
markets is completed each day at the close of the Tokyo Stock Exchange
(generally 11:00 p.m. PT), which is fourteen hours prior to the close of the
NYSE (generally 1:00 p.m. PT) and the time that the net asset values of the
International Equity Portfolios are computed. Due to the time
168
differences between the closings of the relevant foreign securities exchanges
and the time the International Equity Portfolios price their shares at the close
of the NYSE, the International Equity Portfolios will fair value their foreign
investments when it is determined that the market quotations for the foreign
investments are either unreliable or not readily available. The fair value
prices will attempt to reflect the impact of the U.S. financial markets'
perceptions and trading activities on the International Equity Portfolios'
foreign investments since the last closing prices of the foreign investments
were calculated on their primary foreign securities markets or exchanges. For
these purposes, the Board of Trustees of the Funds have determined that
movements in relevant indices or other appropriate market indicators, after the
close of the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that
market quotations may be unreliable, and may trigger fair value pricing.
Consequently, fair valuation of portfolio securities may occur on a daily basis.
The fair value pricing by the Series utilizes data furnished by an independent
pricing service (and that data draws upon, among other information, the market
values of foreign investments). The fair value prices of portfolio securities
generally will be used when it is determined that the use of such prices will
have a material impact on the net asset value of a Series. When an International
Equity Portfolio uses fair value pricing, the values assigned to the
International Equity Portfolio's foreign investments may not be the quoted or
published prices of the investments on their primary markets or exchanges.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and
liabilities of The Enhanced U.S. Large Company Series, the International Equity
Portfolios and The DFA Two-Year Global Fixed Income Series, whose values are
initially expressed in foreign currencies, are translated to U.S. dollars using
the mean between the most recently quoted bid and asked prices for the U.S.
dollar as quoted by generally recognized reliable sources. Dividend and interest
income and certain expenses are translated to U.S. dollars at the rate of
exchange on their respective accrual dates. Receivables and payables denominated
in foreign currencies are marked to market daily based on daily exchange rates
and exchange gains or losses are realized upon ultimate receipt or disbursement.
The Enhanced U.S. Large Company Series and The DFA Two-Year Global Fixed Income
Series also enter into forward foreign currency contracts solely for the purpose
of hedging against fluctuations in currency exchange rates. These contracts are
also marked to market daily based on daily exchange rates.
The International Equity Portfolios do not isolate the effect of
fluctuations in foreign exchange rates from the effect of fluctuations in the
market prices of securities held whether realized or unrealized. However, The
Enhanced U.S. Large Company Series and The DFA Two-Year Global Fixed Income
Series do isolate the effect of fluctuations in foreign currency rates when
determining the realized gain or loss upon the sale or maturity of foreign
currency denominated debt obligations pursuant to U.S. federal income tax
regulations; such amounts are categorized as foreign exchange gain or loss for
both financial reporting and income tax reporting purposes.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of The Enhanced
U.S. Large Company Series, the International Equity Portfolios and The DFA
Two-Year Global Fixed Income Series and the U.S. dollar equivalent amounts
actually received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Trustees may defer payment of a percentage of
their total fees earned as a Trustee. These deferred amounts may be treated as
though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Trustees' Fees and
Expenses.
4. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on an accrual basis. Discount and premium on securities
purchased are amortized over the lives of the respective securities, utilizing
the effective interest method. Expenses directly attributable to a Portfolio are
directly charged. Common expenses of the Trust or Series are allocated using
methods approved by the Board of Trustees, generally based on average net
assets.
169
The International Portfolios may be subject to taxes imposed by countries
in which they invest, with respect to their investments in issuers existing or
operating in such countries. Such taxes are generally based on income earned or
repatriated and capital gains realized on the sale of such investments. The
Funds accrue such taxes when the related income or capital gains are earned.
Some countries require governmental approval for the repatriation of investment
income, capital or the proceeds of sales earned by foreign investors. In
addition, if there is a deterioration in a country's balance of payments or for
other reasons, a country may impose temporary restrictions on foreign capital
remittances abroad.
The Portfolio's investments in Thailand are subject to a 15% governmental
capital gains tax. Such taxes are due upon sale of individual securities. The
Fund accrues for taxes on the capital gains throughout the holding period of the
underlying securities.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Trust. For the six months ended May 31,
2005, the Series' advisory fees were accrued daily and paid monthly to the
Advisor based on the following effective annual rates of average daily net
assets:
[Download Table]
The U.S. Large Company Series 0.025 of 1%
The Enhanced U.S. Large Company Series 0.05 of 1%
The U.S. Large Cap Value Series 0.10 of 1%
The U.S. Small XM Value Series 0.10 of 1%
The U.S. Small Cap Value Series 0.20 of 1%
The U.S. Small Cap Series 0.03 of 1%
The U.S. Micro Cap Series 0.10 of 1%
The DFA International Value Series 0.20 of 1%
The Japanese Small Company Series 0.10 of 1%
The Pacific Rim Small Company Series 0.10 of 1%
The United Kingdom Small Company Series 0.10 of 1%
The Continental Small Company Series 0.10 of 1%
The Emerging Markets Series 0.10 of 1%
The Emerging Markets Small Cap Series 0.20 of 1%
The DFA One-Year Fixed Income Series 0.05 of 1%
The DFA Two-Year Global Fixed Income Series 0.05 of 1%
Certain officers of the Trust are also officers, directors and shareholders
of the Advisor.
D. DEFERRED COMPENSATION:
At May 31, 2005, the total liability for deferred compensation to Trustees
is included in Accrued Expenses and Other Liabilities as follows:
[Download Table]
The U.S. Large Company Series $ 58,041
The Enhanced U.S. Large Company Series 3,773
The U.S. Large Cap Value Series 67,547
The U.S. Small XM Value Series 3,144
The U.S. Small Cap Value Series 103,173
The U.S. Small Cap Series 38,856
The U.S. Micro Cap Series 52,450
The DFA International Value Series 50,660
The Japanese Small Company Series 11,236
The Pacific Rim Small Company Series 5,339
The United Kingdom Small Company Series 6,759
The Continental Small Company Series 11,761
The Emerging Markets Series 20,595
The Emerging Markets Small Cap Series 4,565
The DFA One-Year Fixed Income Series 31,190
The DFA Two-Year Global Fixed Income Series 27,975
170
E. PURCHASE AND SALES OF SECURITIES:
For the six months ended May 31, 2005, the Series made the following
purchases and sales of investment securities other than short-term securities
(amounts in thousands):
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U.S. GOVERNMENT OTHER INVESTMENT
SECURITIES SECURITIES
---------------------- ------------------------
PURCHASES SALES PURCHASES SALES
--------- ---------- ------------ ----------
The U.S. Large Company Series -- -- $ 423,290 $ 99,310
The Enhanced U.S. Large Company Series $ 31,958 $ 10,952 74,911 53,635
The U.S. Large Cap Value Series -- -- 765,051 122,559
The U.S. Small XM Value Series -- -- 26,840 42,826
The U.S. Small Cap Value Series -- -- 1,199,579 915,320
The U.S. Small Cap Series -- -- 437,486 209,714
The U.S. Micro Cap Series -- -- 542,965 330,868
The DFA International Value Series -- -- 843,507 165,589
The Japanese Small Company Series -- -- 148,731 11,669
The Pacific Rim Small Company Series -- -- 76,340 9,687
The United Kingdom Small Company Series -- -- 88,705 19,689
The Continental Small Company Series -- -- 151,068 25,106
The Emerging Markets Series -- -- 183,827 32,326
The Emerging Markets Small Cap Series -- -- 104,948 6,200
The DFA One-Year Fixed Income Series 283,506 216,474 555,081 246,265
The DFA Two-Year Global Fixed Income Series 170,861 185,092 704,272 492,688
F. FEDERAL INCOME TAXES:
It is the intention of The Enhanced U.S. Large Company Series, The U.S.
Large Cap Value Series, The U.S. Small XM Value Series, The U.S. Small Cap Value
Series, The U.S. Small Cap Series, The U.S. Micro Cap Series, The DFA
International Value Series, The DFA One-Year Fixed Income Series and The DFA
Two-Year Global Fixed Income Series to continue to qualify as a regulated
investment company under Subchapter M of the Internal Revenue Code and to
distribute substantially all of their taxable income and capital gains to
shareholders.
The U.S. Large Company Series, The Japanese Small Company Series, The
Pacific Rim Small Company Series, The United Kingdom Small Company Series, The
Continental Small Company Series, The Emerging Markets Series and The Emerging
Markets Small Cap Series are treated as partnerships for federal income tax
purposes and therefore, no provision for federal income taxes is required. Any
interest, dividends, and gains or losses have been deemed to have been "passed
down" to their respective partners.
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2004 and November 30, 2003 were as follows (amounts
in thousands):
[Download Table]
ORDINARY
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
------------- ------------- ----------
The Enhanced U.S. Large Company Series
2004 $ 1,998 -- $ 1,998
2003 1,810 -- 1,810
The U.S. Large Cap Value Series
2004 33,641 -- 33,641
2003 31,464 -- 31,464
171
[Enlarge/Download Table]
ORDINARY
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
------------- ------------- -------------
The U.S. Small XM Value Series
2004 $ 11,443 $ 10,283 $ 21,726
2003 2,339 78,781 81,120
The U.S. Small Cap Value Series
2004 74,374 300,806 375,180
2003 26,137 230,313 256,450
The U.S. Small Cap Series
2004 10,754 -- 10,754
2003 8,820 -- 8,820
The U.S. Micro Cap Series
2004 48,490 22,357 70,847
2003 12,775 22,183 34,958
The DFA International Value Series
2004 44,310 -- 44,310
2003 30,082 1,177 31,259
The DFA One-Year Fixed Income Series
2004 36,362 146 36,508
2003 31,733 10 31,743
The DFA Two-Year Global Fixed Income Series
2004 35,086 317 35,403
2003 17,698 10,965 28,663
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
At November 30, 2004, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
[Enlarge/Download Table]
TOTAL NET
UNDISTRIBUTED DISTRIBUTABLE
NET UNDISTRIBUTED CAPITAL EARNINGS
INVESTMENT LONG-TERM LOSS (ACCUMULATED
INCOME CAPITAL GAINS CARRYFORWARD LOSS)
------------- ------------- ------------- -------------
The Enhanced U.S. Large Company Series $ 1,842 -- $ (11,188) $ (9,346)
The U.S. Large Cap Value Series 13,203 $ 3,947 -- 17,150
The U.S. Small XM Value Series 11,290 14,101 -- 25,391
The U.S. Small Cap Value Series 92,387 511,749 -- 604,136
The U.S. Small Cap Series 23,732 94,427 -- 118,159
The U.S. Micro Cap Series 54,927 216,958 -- 271,885
The DFA International Value Series 22,727 104,819 -- 127,546
The DFA One-Year Fixed Income Series 3,162 -- (4,145) (983)
The DFA Two-Year Global Fixed Income Series 4,286 -- (6,273) (1,987)
172
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at November 30, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
As of November 30, 2004, the following Series' had capital loss carryforwards
available to offset future realized capital gains through the indicated
expiration dates (amounts in thousands):
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EXPIRES ON NOVEMBER 30,
-----------------------
2010 2012 TOTAL
----------- --------- ----------
The Enhanced U.S. Large Company Series $ 11,188 -- $ 11,188
The DFA One-Year Fixed Income Series -- $ 4,145 4,145
The DFA Two-Year Global Fixed Income Series -- 6,273 6,273
Certain of the Series' investments are in securities considered to be
"passive foreign investment companies", for which any unrealized appreciation
(depreciation) (mark to market) and/or realized gains are required to be
included in distributable net investment income for tax purposes. During the
year ended November 30, 2004, the following Series' had unrealized appreciation
(depreciation) (mark to market) and realized gains on the sale of passive
foreign investment companies, which are included in distributable net investment
income for tax purposes, accordingly, such gains have been reclassified from
accumulated net realized gains to accumulated net investment income.
[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 May 31, 2005, the total cost and aggregate gross unrealized appreciation
and depreciation of securities for federal income tax purposes were different
from amounts reported for financial reporting purposes (amounts in thousands):
[Enlarge/Download Table]
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
------------- ------------ -------------- -------------
The U.S. Large Company Series $ 3,395,166 $ 1,107,748 $ (400,895) $ 706,853
The Enhanced U.S. Large Company Series 270,875 144 (1,070) (926)
The U.S. Large Cap Value Series 3,977,265 1,216,187 (229,627) 986,560
The U.S. Small XM Value Series 188,686 31,429 (26,259) 5,170
The U.S. Small Cap Value Series 5,739,649 1,627,915 (585,236) 1,042,679
The U.S. Small Cap Series 2,388,147 538,573 (308,350) 230,223
The U.S. Micro Cap Series 2,910,535 1,022,374 (426,599) 595,775
The DFA International Value Series 3,763,356 692,851 (91,304) 601,547
The Japanese Small Company Series 998,112 125,118 (116,956) 8,162
The Pacific Rim Small Company Series 395,866 71,148 (65,001) 6,147
The United Kingdom Small Company Series 376,376 125,938 (30,226) 95,712
The Continental Small Company Series 724,615 315,673 (34,206) 281,467
The Emerging Markets Series 982,065 469,044 (63,451) 405,593
The Emerging Markets Small Cap Series 283,589 84,408 (26,370) 58,038
The DFA One-Year Fixed Income Series 2,094,206 573 (9,008) (8,435)
The DFA Two-Year Global Fixed Income Series 1,875,204 1,634 (14,809) (13,175)
173
G. COMPONENTS OF NET ASSETS:
At May 31, 2005, net assets consisted of (amounts in thousands):
[Enlarge/Download Table]
UNREALIZED
ACCUMULATED APPRECIATION
NET REALIZED (DEPRECIATION)
GAIN (LOSS) OF INVESTMENT
ACCUMULATED OF INVESTMENT ACCUMULATED SECURITIES, UNREALIZED
NET SECURITIES, NET REALIZED FUTURES, NET FOREIGN
INVESTMENT FUTURES AND FOREIGN SWAP CONTRACTS EXCHANGE NUMBER OF
PAID-IN INCOME SWAP EXCHANGE AND FOREIGN GAIN TOTAL NET SHARES
CAPITAL (LOSS) CONTRACTS GAIN (LOSS) CURRENCY (LOSS) ASSETS AUTHORIZED
----------- ----------- ------------- ------------ -------------- ----------- ----------- ----------
The Enhanced U.S. Large
Company Series $ 275,826 $ 564 $ (3,280) $ 1,046 $ (3,476) -- $ 270,680 Unlimited
The U.S. Large Cap Value
Series 3,752,794 14,963 33,814 -- 986,560 -- 4,788,131 Unlimited
The U.S. Small XM Value
Series 176,606 (249) 9,794 -- 5,277 -- 191,428 Unlimited
The U.S. Small Cap Value
Series 5,126,701 13,820 409,701 -- 1,045,268 -- 6,595,490 Unlimited
The U.S. Small Cap Series 2,178,692 6,252 83,430 -- 233,132 -- 2,501,506 Unlimited
The U.S. Micro Cap Series 2,575,996 7,255 156,433 -- 597,015 -- 3,336,699 Unlimited
The DFA International
Value Series 2,771,495 49,058 54,235 (82) 601,647 $ (292) 3,476,061 Unlimited
The DFA One-Year Fixed
Income Series 2,102,449 5,922 (9,102) -- (8,334) -- 2,090,935 Unlimited
The DFA Two-Year Global
Fixed Income Series 1,889,729 12,985 (12,376) 7,070 (13,175) -- 1,884,233 Unlimited
H. FINANCIAL INSTRUMENTS:
In accordance with the Series' investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. REPURCHASE AGREEMENTS: The Series may purchase money market instruments
subject to the counterparty's agreement to repurchase them at an agreed upon
date and price. The counterparty will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
with the Trust's custodian or a third party sub-custodian. In the event of
default or bankruptcy by the other party to the agreement, retention of the
collateral may be subject to legal proceedings. All open repurchase agreements
were entered into on May 31, 2005.
2. FORWARD CURRENCY CONTRACTS: The Enhanced U.S. Large Company Series and
The DFA Two-Year Global Fixed Income Series may enter into forward foreign
currency contracts only to hedge against adverse changes in the relationship of
the U.S. dollar to foreign currencies. At May 31, 2005, there were no
outstanding forward foreign currency contracts.
Risks may arise upon entering into these contracts from the potential
inability of counterparties to meet the terms of their contracts and from
unanticipated movements in the value of foreign currency relative to the U.S.
dollar.
3. FOREIGN MARKET RISKS: Investments in foreign markets may involve certain
consideration and risks not typically associated with investments in the United
States, including the possibility of future political and economic developments
and the level of foreign government supervision and regulation of foreign
securities markets. These markets are generally smaller, less liquid and more
volatile than the major securities markets in the United States. Consequently,
acquisition and disposition of securities by the Series may be inhibited.
4. FUTURES CONTRACTS: During the six months ended May 31, 2005, The U.S.
Large Company Series ("Large Company") and The Enhanced U.S. Large Company
Series ("Enhanced") entered into futures contracts in accordance with their
investment objectives. Upon entering into a futures contract, Large Company and
Enhanced deposit cash or pledge U.S. Government securities to a broker, equal to
the minimum "initial margin" requirements of the exchange
174
on which the contract is traded. Subsequent payments are received from or paid
to the broker each day, based on the daily fluctuation in the market value of
the contract. These receipts or payments are known as "variation margin" and are
recorded daily by Large Company and Enhanced as unrealized gains or losses until
the contracts are closed. When the contracts are closed, Large Company and
Enhanced record a realized gain or loss equal to the difference between the
value of the contract at the time it was opened and the value at the time it was
closed.
At May 31, 2005, Large Company had outstanding 260 long futures contracts
on the S&P 500 Index, all of which expire on June 17, 2005. The value of such
contracts on May 31, 2005 was $77,499,500, which resulted in an unrealized gain
of $1,607,600. Approximately $4,160,000 of cash has been segregated as
collateral for the open futures contracts and has been accounted for as cash on
the Statement of Assets and Liabilities. At May 31, 2005, Enhanced had
outstanding 845 long futures contracts on the S&P 500 Index which expire on June
17, 2005. The value of such contracts on May 31, 2005 was $251,873,375, which
resulted in an unrealized loss of $3,301,225. The securities in Enhanced have
been segregated as collateral for the open futures contracts.
Risks arise upon entering into futures contracts from potential imperfect
price correlations between the futures contracts and the underlying securities
and from the possibility of an illiquid secondary market for these instruments
and from the possibility that the Series could lose more than the initial margin
requirements.
5. EQUITY INDEX SWAPS: Enhanced may enter into equity index swaps in
accordance with its investment objectives. A swap agreement obligates two
parties to exchange returns realized on a notional amount agreed upon by both
parties. The obligations of the parties are calculated on a net basis based on
the daily fluctuations in the indices on which the agreement is based. The daily
net fluctuation is recorded as unrealized gains or losses by Enhanced. At the
termination of the agreement, Enhanced will receive from or pay to the
counterparty, the accumulated net unrealized gain or loss, which will then be
recorded as realized.
At May 31, 2005, Enhanced had an outstanding equity index swap with Morgan
Stanley dated April 15, 2005 (which represents approximately 6% of the net
assets of Enhanced), terminating on October 15, 2005. The notional value of the
swap was $17,139,300 and Enhanced had recorded net unrealized appreciation of
$714,809, owed to Enhanced as of May 31, 2005. Payments made by Enhanced are
based on the London Interbank Offered Rate (LIBOR) plus 0.07% per annum
calculated on the original notional amount plus accumulated interest added on
the monthly LIBOR reset date. Payments received by Enhanced are based on the
daily value of the S&P 500 Index plus accumulated dividends as expressed in
Index points calculated on the original notional amount.
Risks arise upon entering into equity index swap agreements in the event of
the default or bankruptcy of a swap agreement counterparty where the swap
agreement counterparty would not be able to pay any unrealized appreciation upon
termination of the agreement, and in the event of unfavorable market and
interest changes resulting in a liability of the Series.
I. LINE OF CREDIT:
The Trust, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2004
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each portfolio is individually, and not jointly,
liable for its particular advances under the line of credit. There is no
commitment fee on the unused portion of the line of credit, since this is not a
committed facility. The agreement for the discretionary line of credit may be
terminated by either party at any time. The agreement for the line of credit
expires on June 27, 2006. For the six months ended May 31, 2005, borrowings
under the line of credit were as follows:
[Enlarge/Download Table]
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING
INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED THE PERIOD
------------- ------------ ----------- -------- ---------------
The U.S. Small XM Value Series 3.34% $ 2,582,295 21 $ 5,030 $ 4,910,000
The DFA International Value Series 3.76% 241,250 1 25 241,250
The Japanese Small Company Series 3.15% 200,000 1 18 200,000
The Pacific Rim Small Company Series 3.76% 300,000 4 125 300,000
The United Kingdom Small Company Series 3.49% 2,053,000 4 797 2,700,000
175
At May 31, 2005, The DFA International Value Series had an outstanding
borrowing under the line of credit of $241,250 plus accrued interest. There were
no other outstanding borrowings under the line of credit at May 31, 2005.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
3, 2005 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Each portfolio is individually, and not jointly liable for its
particular advances under the line of credit. Borrowings under the line of
credit are charged interest at rates agreed to by the parties at the time of
borrowing. There is no commitment fee on the unused line of credit. The
agreement for the line of credit expires on April 2, 2006. There were no
borrowings by the Trust under the line of credit during the six months ended May
31, 2005.
J. SECURITIES LENDING:
As of May 31, 2005, some of the Series' portfolios had securities on loan
to brokers/dealers, for which each portfolio held cash collateral. Each
portfolio invests the cash collateral, as described below, and records a
liability for the return of the collateral, during the period the securities are
on loan. Loans of securities are required at all times to be secured by
collateral at least equal to 100% of the market value of the securities on loan.
However, in the event of default or bankruptcy by the other party to the
agreement, realization and/or retention of the collateral may be subject to
legal proceedings. In the event that the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is insufficient
to cover the value of loaned securities and provided such collateral
insufficiency is not the result of investment losses, the lending agent has
agreed to pay the amount of the shortfall to the portfolio or, at the option of
the lending agent, to replace the securities.
The cash collateral received by each portfolio from securities on loan is
invested in repurchase agreements collateralized by U.S. government securities.
Securities pledged as collateral for the repurchase agreements are held by a
custodian bank until the agreements are repurchased.
The Portfolios paid fees for securities lending for the six month period
ended May 31, 2005, which have been netted against Income from Securities
Lending on the Statements of Operations. These fees are presented below (amounts
in thousands):
[Download Table]
The U.S. Large Company Series $ 23
The U.S. Large Cap Value Series 126
The U.S. Small XM Value Series 10
The U.S. Small Cap Value Series 514
The U.S. Small Cap Series 363
The U.S. Micro Cap Series 637
The DFA International Value Series 1,219
The Japanese Small Company Series 740
The Pacific Rim Small Company Series 154
The United Kingdom Small Company Series 16
The Continental Small Company Series 408
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.
176
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Fund and the Trust
uses in voting proxies relating to securities held in the portfolio is available
without charge, upon request, by calling collect: (310) 395-8005. Information
regarding how the Advisor votes these proxies is available from the EDGAR
database on the SEC's website at http://www.sec.gov and from the Advisor's
website at http://www.dfaus.com and reflects the twelve-month period beginning
July 1 and ending June 30.
177
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
At the Board meeting held on December 15, 2004 (the "December Meeting"),
the Board of Directors of DFA Investment Dimensions Group Inc. and the Board of
Trustees of The DFA Investment Trust Company (together, the "Board") considered
the continuation of the investment advisory/management agreements for each
portfolio or series (collectively, the "Funds") and, if applicable, a Fund's
sub-advisory agreement. For certain Funds, Dimensional Fund Advisors Ltd. or DFA
Australia Limited serve as a sub-advisor. (The investment advisory/management
agreements and the sub-advisory agreements are referred to as the "Advisory
Agreements," and the Advisor and sub-advisors are referred to as the "Advisor.")
Prior to the December Meeting, independent counsel to the Independent Board
Members sent to the Advisor a request for information, which identified the
information that the Independent Board Members wished to receive in order to
consider the continuation of the Advisory Agreements. The Independent Board
Members, met with their independent counsel in advance of the Meeting to discuss
the materials provided by the Advisor, the independent reports prepared by
Lipper Analytical Services, Inc., and issues related to the continuation of the
Advisory Agreements.
At the December Meeting, the Board considered a number of factors when
considering the continuation of each Advisory Agreement for a Fund, including:
(i) the nature, extent and quality of services provided by the Advisor to each
Fund; (ii) the performance of each Fund and the Advisor; (iii) the fees and
expenses borne by each Fund; (iv) the profitability realized by the Advisor from
the relationship with each Fund; (v) whether economies of scale are realized by
the Advisor with respect to each Fund as it grows larger, and the extent to
which this is reflected in the level of the advisory fee charged; (vi)
comparisons of the services to be rendered and the amounts to be paid under
other advisory contracts; and (vii) any benefits to be derived by the Advisor
from its relationship with each Fund.
When considering the nature and quality of the services provided by the
Advisor to a Fund, the Board reviewed: (a) the scope and depth of the Advisor's
organization; (b) the experience and expertise of its investment professionals
currently providing management services to the Fund; and (c) the Advisor's
investment advisory capabilities. The Board evaluated the Advisor's portfolio
management process. The Board also considered the nature and character of
non-investment management services provided by the Advisor. After analyzing the
caliber of services provided by the Advisor to each Fund, both quantitatively
and qualitatively, including the impact of these services on investment
performance, the Board concluded that the nature, extent and quality of services
provided to each Fund were consistent with the operational requirements of the
Fund and met the needs of the shareholders of the Fund.
In considering the performance of each Fund, the Board analyzed the Lipper
reports, which compared the performance of each Fund with other funds in its
respective peer group and peer universe, and noted that the performance of most
Funds compared favorably with their peer groups. At the Board's request, the
Advisor specifically addressed the factors that contributed to the comparative
performance of the DFA Real Estate Securities Portfolio, DFA Short-Term
Municipal Bond Portfolio, U.S. Micro Cap Series, U.S. Small Cap Series, DFA
One-Year Fixed Income Series and DFA Two-Year Global Fixed Income Series. The
Board concluded that the Advisor's explanations provided a sound basis for
understanding the performance of these Funds. The Board determined, among other
things, that the performance of each Fund was acceptable as compared with
relevant performance standards.
When considering the fees and expenses borne by each Fund, and considering
the reasonableness of the management fees paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Lipper reports. The Board
concluded that the advisory fees and total expenses of each Fund over various
periods were favorable in relation to their peer funds, and that the advisory
fees were fair, both on an absolute basis and in comparison with the fees of
other funds identified in the peer groups and the industry at large.
The Board considered the profitability of each Fund to the Advisor by
reviewing the profitability analysis provided by the Advisor, including
information about its fee revenues and income. The Board reviewed the overall
profitability of the Advisor, and the compensation that it received for
providing services to each Fund, including administrative
178
fees paid by the feeder portfolios. The Board considered the profitability to
the Advisor of managing the Funds and other "non-1940 Act registered" investment
vehicles. Upon closely examining the Advisor's profitability, the Board
concluded, among other things, that it was reasonable.
The Board also discussed whether economies of scale are realized by the
Advisor with respect to each Fund as it grows larger, and the extent to which
this is reflected in the level of advisory fees charged. For several reasons,
the Board concluded that economies of scale and the reflection of such economies
of scale in the level of advisory fees charged were inapplicable to each Fund at
the present time, due to the current level of fees and expenses and the
profitability of the Fund.
After full consideration of the factors discussed above, with no single
factor identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel, concluded
that the continuation of the Advisory Agreement for each Fund was in the best
interests of the Fund and its shareholders.
NEW EMERGING MARKETS CORE EQUITY PORTFOLIO
At the Board meeting on March 23, 2005 (the " March Meeting"), the Board of
Directors of the DFA Investment Dimensions Group Inc. considered the approval of
the Advisory Agreement between the Fund and the Advisor for the Emerging Markets
Core Equity Portfolio (the "Core Equity Portfolio"), a new portfolio.
At the March Meeting, the Board considered a number of factors when
considering the approval of the Advisory Agreement for the Core Equity
Portfolio, including: (i) the nature, extent and quality of services that will
be provided by the Advisor to the Core Equity Portfolio; (ii) the performance of
the Advisor; (iii) the fees and expenses that will be borne by the Core Equity
Portfolio; (iv) the profitability realized by the Advisor from the relationship
with the Core Equity Portfolio; (v) whether economies of scale will be realized
by the Advisor with respect to the Core Equity Portfolio as it grows larger, and
the extent to which this is reflected in the level of the advisory fee charged;
(vi) comparisons of the services to be rendered and the amounts to be paid under
other advisory contracts; and (vii) any benefits to be derived by the Advisor
from its relationship with the Core Equity Portfolio.
When considering the nature, extent and quality of the services that will
be provided by the Advisor to the Core Equity Portfolio, the Board reviewed the
experience and expertise of Advisor's investment professionals that will furnish
management services to the Core Equity Portfolio. The Board also evaluated the
Advisor's investment advisory capabilities (as had been discussed at the
December Meeting) and the portfolio management process described for the Core
Equity Portfolio. The Board concluded that the nature, extent and quality of
services that the Advisor was proposing to provide to the Core Equity Portfolio
appeared to be consistent with the Core Equity Portfolio's anticipated
operational requirements.
The Board also considered the proposed fees and anticipated expenses for
the Core Equity Portfolio and compared the fees to be charged by the Advisor to
the fees charged by the Advisor to other relevant Funds, and to the funds in its
anticipated peer group for comparable services. The Board concluded, among other
things, that the proposed advisory fee and anticipated total expenses of the
Core Equity Portfolio appeared to compare favorably to expected peer funds, and
that the proposed advisory fee was fair, both on an absolute basis and in
comparison with funds likely to be in the peer group. The Board also concluded
that economies of scale and the reflection of such economies of scale in the
level of advisory fee charged were inapplicable to the Core Equity Portfolio, at
the present time.
The Board also noted that, as the Core Equity Portfolio had not yet
commenced investment operations, there was no investment performance for either
the Core Equity Portfolio or the Advisor in managing the Core Equity Portfolio
for the Board to evaluate; however, the Board noted its analysis at the December
Meeting of similar investment products that are managed by the Advisor.
Furthermore, the Board noted that the Advisor had not realized any profitability
from its relationship with the Core Equity Portfolio because the Core Equity
Portfolio had not yet commenced investment operations.
179
After full consideration of the factors discussed above, with no single
factor identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel, concluded
that the approval of the Advisory Agreement for the Core Equity Portfolio was in
the best interests of the Portfolio and its shareholders.
180
================================================================================
DFA INVESTMENT DIMENSIONS GROUP INC.
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO
TAX-MANAGED U.S. EQUITY PORTFOLIO
TAX-MANAGED U.S. SMALL CAP VALUE PORTFOLIO
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
SEMI-ANNUAL REPORT
SIX MONTHS ENDED MAY 31, 2005
(UNAUDITED)
================================================================================
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
[Download Table]
PAGE
------
DFA INVESTMENT DIMENSIONS GROUP INC.
Disclosure of Fund Expenses 1
Disclosure of Portfolio Holdings 3
Schedules of Investments
Tax-Managed U.S. Marketwide Value Portfolio 5
Tax-Managed U.S. Equity Portfolio 5
Tax-Managed U.S. Small Cap Value Portfolio 6
Tax-Managed U.S. Small Cap Portfolio 9
Tax-Managed DFA International Value Portfolio 12
Statements of Assets and Liabilities 17
Statements of Operations 18
Statements of Changes in Net Assets 20
Financial Highlights 22
Notes to Financial Statements 25
THE DFA INVESTMENT TRUST COMPANY
Disclosure of Fund Expenses 32
Disclosure of Portfolio Holdings 33
Schedules of Investments
The Tax-Managed U.S. Marketwide Value Series 35
The Tax-Managed U.S. Equity Series 38
Statements of Assets and Liabilities 41
Statements of Operations 42
Statements of Changes in Net Assets 43
Financial Highlights 44
Notes to Financial Statements 45
VOTING PROXIES ON FUND PORTFOLIO SECURITIES 48
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS 49
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
[THIS PAGE INTENTIONALLY LEFT BLANK]
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the
impact of fees on your investment. All mutual funds have operating expenses. As
a shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees (in dollars) of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Tables below illustrate your fund's costs in two ways.
- ACTUAL FUND RETURN. This section helps you to estimate the actual
expenses after fee waivers that you paid over the period. The "Ending
Account Value" shown is derived from the fund's actual return, and
"Expenses Paid During Period" shows the dollar amount that would have
been paid by an investor who started with $1,000 in the fund. You may
use the information here, together with the amount you invested, to
estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
- HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you
compare your fund's costs with those of other mutual funds. It assumes
that the fund had an annual return of 5% before expenses, but that the
expense ratio is unchanged. In this case -- because the return used is
not the fund's actual return -- the results do not apply to your
investment. The example is useful in making comparisons because the
Securities and Exchange Commission ("SEC") requires all mutual funds
to calculate expenses based on a 5% annual return. You can assess your
fund's cost by comparing this hypothetical example with the
hypothetical examples that appear in shareholder reports of other
funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs
(if any). The "Annualized Expense Ratio" represents the actual expenses for the
six month period indicated.
FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005
EXPENSE TABLES
[Enlarge/Download Table]
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/01/04 05/31/05 RATIO PERIOD*
------------ ------------ ------------ ------------
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,043.10 0.41% $ 2.09
Hypothetical 5% Annual Return $ 1,000.00 $ 1,022.96 0.41% $ 2.07
TAX-MANAGED U.S. EQUITY PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,027.90 0.25% $ 1.26
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.75 0.25% $ 1.26
TAX-MANAGED U.S. SMALL CAP VALUE PORTFOLIO
Actual Fund Return $ 1,000.00 $ 994.90 0.55% $ 2.74
Hypothetical 5% Annual Return $ 1,000.00 $ 1,022.26 0.55% $ 2.77
1
[Enlarge/Download Table]
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/01/04 05/31/05 RATIO PERIOD*
------------ ------------ ------------ ------------
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
Actual Fund Return $ 1,000.00 $ 996.50 0.55% $ 2.74
Hypothetical 5% Annual Return $ 1,000.00 $ 1,022.26 0.55% $ 2.77
TAX-MANAGED DFA INTERNATIONAL PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,031.10 0.61% $ 3.09
Hypothetical 5% Annual Return $ 1,000.00 $ 1,021.96 0.61% $ 3.08
----------
*Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in the
most recent fiscal half-year, then divided by 365.
2
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete Schedule
of Investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For DFA Investment
Dimensions Group Inc., this would be for the fiscal quarters ending August 31
and February 28 (February 29 during leap year). The Form N-Q filing must be made
within 60 days of the end of the quarter. DFA Investment Dimensions Group Inc.
filed its most recent Form N-Q with the SEC on April 29, 2005. It is available
upon request, without charge, by calling collect: (310) 395-8005 or by mailing a
request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa
Monica, California 90401, or by visiting the SEC's website at
http://www.sec.gov, or they may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the
operation of the Public Reference Room).
The SEC has also amended certain regulations to permit a fund to include in
its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu
of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings
reports the fund's 50 largest holdings in unaffiliated issuers and any
investments that exceed one percent of the fund's net assets at the end of the
reporting period. The amendments also require that the Summary Schedule of
Portfolio Holdings identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the
SEC on Form N-CSR within ten days after mailing the annual report to
shareholders. It will be available, upon request, without charge, by calling
collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors,
Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C. (call
1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a Schedule of Investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
[Download Table]
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO
Investment Companies 100.0%
-----
100.0%
=====
TAX-MANAGED U.S. EQUITY PORTFOLIO
Investment Companies 100.0%
-----
100.0%
=====
3
[Download Table]
TAX-MANAGED U.S. SMALL CAP VALUE PORTFOLIO
Consumer Discretionary 21.6%
Industrials 18.5
Information Technology 15.7
Financials 14.6
Materials 8.9
Energy 8.1
Health Care 6.6
Consumer Staples 4.2
Telecommunication Services 1.0
Utilities 0.4
Other 0.4
-----
100.0%
=====
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
Information Technology 20.5%
Consumer Discretionary 20.2
Industrials 14.9
Health Care 14.2
Financials 10.7
Energy 7.2
Materials 5.0
Consumer Staples 3.3
Utilities 2.5
Telecommunication Services 1.3
Other 0.2
-----
100.0%
=====
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
Financials 34.0%
Consumer Discretionary 17.8
Industrials 13.6
Materials 12.7
Telecommunication Services 5.9
Consumer Staples 5.2
Energy 3.6
Utilities 3.5
Information Technology 1.9
Health Care 1.2
Other 0.4
REITS 0.2
-----
100.0%
=====
4
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULES OF INVESTMENTS
MAY 31, 2005
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO
(UNAUDITED)
[Download Table]
VALUE+
------
Investment in The Tax-Managed U.S. Marketwide Value Series of
The DFA Investment Trust Company $ 1,421,515,435
----------------
Total Investments (100%) (Cost $1,050,767,462) $ 1,421,515,435
================
TAX-MANAGED U.S. EQUITY PORTFOLIO
(UNAUDITED)
[Download Table]
VALUE+
------
Investment in The Tax-Managed U.S. Equity Series of
The DFA Investment Trust Company $ 792,181,828
----------------
Total Investments (100%) (Cost $679,956,201) $ 792,181,828
================
----------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
5
TAX-MANAGED U.S. SMALL CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
[Enlarge/Download Table]
SHARES VALUE+
----------------- -----------------
COMMON STOCKS -- (94.7%)
Consumer Discretionary -- (20.5%)
* 4Kids Entertainment, Inc. 107,900 $ 2,050,100
* A.C. Moore Arts & Crafts, Inc. 18,357 546,304
* Acme Communications, Inc. 133,720 529,531
Action Performance Companies, Inc. 123,200 1,146,992
* Advanced Marketing Services, Inc. 102,695 418,482
* Aftermarket Technology Corp. 147,685 2,265,488
* Alderwoods Group, Inc. 33,700 466,745
* All American Semiconductor, Inc. 9,600 45,984
* Alloy, Inc. 107,699 553,573
Ambassadors Group, Inc. 12,840 464,166
American Axle & Manufacturing Holdings, Inc. 186,200 3,854,340
* American Biltrite, Inc. 900 8,460
American Greetings Corp. Class A 135,300 3,515,094
* America's Car-Mart, Inc. 32,700 699,780
Ameristar Casinos, Inc. 11,400 585,276
* AMS Health Sciences, Inc. 2,100 3,759
Andersons, Inc. 9,300 305,040
* AnnTaylor Stores Corp. 169,975 4,378,556
* Applica, Inc. 254,300 727,298
Arctic Cat, Inc. 19,200 414,720
* Arlington Hospitality, Inc. 8,200 10,250
ArvinMeritor, Inc. 24,400 351,360
* Ashworth, Inc. 121,725 1,168,560
* Audiovox Corp. Class A 134,243 1,963,975
* # Avatar Holdings, Inc. 16,400 785,560
* Aztar Corp. 123,900 3,957,366
* Ballantyne of Omaha, Inc. 22,700 98,745
* # Bally Total Fitness Holding Corp. 23,900 72,656
Bandag, Inc. 12,150 562,302
Bandag, Inc. Class A 18,100 755,675
* Barry (R.G.) Corp. 10,900 49,050
Bassett Furniture Industries, Inc. 47,586 929,355
Beazer Homes USA, Inc. 165,177 8,830,362
* Big Lots, Inc. 435,700 5,515,962
Blair Corp. 55,600 2,171,180
# Blockbuster, Inc. Class A 310,100 2,831,213
* Bluegreen Corp. 211,700 3,569,262
Bob Evans Farms, Inc. 131,039 3,066,313
* Bombay Co., Inc. 349,600 1,863,368
Bon-Ton Stores, Inc. 95,232 1,720,842
Books-A-Million, Inc. 81,786 688,638
Borders Group, Inc. 3,400 85,986
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BorgWarner, Inc. 220,000 11,761,200
Boston Acoustics, Inc. 7,500 111,450
Bowl America, Inc. Class A 3,528 47,258
Boyd Gaming Corp. 137,800 7,284,108
* Boyds Collection, Ltd. 390,000 854,100
* # Brillian Corp. 42,070 131,258
* Brookstone, Inc. 78,825 1,587,535
Brown Shoe Company, Inc. 119,400 4,190,940
* Buca, Inc. 148,260 756,126
Building Materials Holding Corp. 85,135 5,280,924
Burlington Coat Factory Warehouse Corp. 229,655 7,613,063
Cadmus Communications Corp. 14,444 229,660
Callaway Golf Co. 291,490 3,407,518
* Capital Pacific Holdings, Inc. 40,800 168,096
* Carriage Services, Inc. 147,100 864,948
* Casual Male Retail Group, Inc. 128,542 906,221
* Catalina Lighting, Inc. 1,720 14,190
Cato Corp. Class A 28,900 834,054
* Cavalier Homes, Inc. 75,800 276,670
* Cavco Industries, Inc. 14,958 402,520
CBRL Group, Inc. 180,891 7,365,882
* Championship Auto Racing Teams, Inc. 28,300 4,669
* Champps Entertainment, Inc. 105,098 846,039
* Charles and Colvard, Ltd. 31,967 646,373
* Charlotte Russe Holding, Inc. 145,895 1,743,445
* Charming Shoppes, Inc. 412,392 3,723,900
* Checkers Drive-In Restaurants, Inc. 62,667 901,778
* Chromcraft Revington, Inc. 17,300 207,600
Coachmen Industries, Inc. 97,600 1,195,600
* Coastcast Corp. 10,800 25,110
* Cobra Electronics Corp. 28,700 203,770
* # Collins & Aikman Corp. 374,500 42,506
* Concord Camera Corp. 127,800 166,140
Cooper Tire & Rubber Co. 290,200 5,525,408
* Cost-U-Less, Inc. 2,500 20,900
* Cox Radio, Inc. 154,200 2,508,834
* Crown Media Holdings, Inc. 24 225
* CSK Auto Corp. 55,400 937,922
CSS Industries, Inc. 24,000 739,200
* Culp, Inc. 93,700 407,595
* Cumulus Media, Inc. Class A 190,177 2,375,311
Cutter & Buck, Inc. 49,200 645,996
* Dave & Busters, Inc. 44,900 806,404
Deb Shops, Inc. 21,025 635,165
* Deckers Outdoor Corp. 2,400 58,128
Delta Apparel, Inc. 3,940 115,718
* Delta Woodside Industries, Inc. 2,425 1,576
* Department 56, Inc. 65,400 729,864
Dillards, Inc. Class A 320,100 7,656,792
* Dixie Group, Inc. 110,207 1,633,268
* # Dominion Homes, Inc. 55,408 860,486
Dover Motorsports, Inc. 72,711 418,815
* drugstore.com, Inc. 12,000 41,280
* Duckwall-ALCO Stores, Inc. 5,600 110,600
* Dura Automotive Systems, Inc. 175,354 748,762
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* eCost.com, Inc. 39,083 123,580
* EMAK Worldwide, Inc. 4,400 48,400
* Emerson Radio Corp. 38,388 99,041
* # Emmis Communications Corp. Class A 177,300 3,148,848
* Enesco Group, Inc. 124,000 477,400
* Entercom Communications Corp. 56,800 1,885,760
* Entravision Communications Corp. 219,900 1,633,857
* Fairchild Corp. Class A 175,500 403,650
* Famous Dave's of America, Inc. 39,900 432,915
# Fedders Corp. 13,400 29,748
Finish Line, Inc. Class A 83,200 1,657,344
* Finlay Enterprises, Inc. 74,287 964,245
* # Fleetwood Enterprises, Inc. 141,800 1,357,026
Flexsteel Industries, Inc. 6,000 84,060
Foot Locker, Inc. 112,600 2,973,766
* # Footstar, Inc. 67,700 286,032
* Fox & Hound Restaurant Group 4,700 57,810
* Franklin Covey Co. 6,600 40,920
* Franklin Electronic Publishers, Inc. 900 3,375
Fred's, Inc. 18,100 268,423
* # Friedmans, Inc. Class A 142,100 139,258
Frisch's Restaurants, Inc. 8,500 209,100
Furniture Brands International, Inc. 201,500 4,052,165
* # Gadzooks, Inc. 25,500 1,122
* Gaiam, Inc. 18,824 112,197
* # GameStop Corp. 21,500 626,940
GameTech International, Inc. 18,400 51,152
* Gaylord Entertainment Co. 146,415 6,153,822
* G-III Apparel Group, Ltd. 12,700 91,440
* Goodyear Tire & Rubber Co. 3,700 53,243
Goody's Family Clothing, Inc. 176,854 1,255,663
* Gottschalks, Inc. 18,300 196,725
Gray Television, Inc. 203,728 2,393,804
Gray Television, Inc. Class A 3,400 37,604
* Group 1 Automotive, Inc. 160,700 4,292,297
* Guess, Inc. 45,000 757,800
* Gymboree Corp. 153,098 2,027,018
Haggar Corp. 15,100 278,746
* Ha-Lo Industries, Inc. 21,800 15
Hancock Fabrics, Inc. 105,000 618,450
Handleman Co. 147,002 2,668,086
* Harris Interactive, Inc. 66,139 326,065
* Hartmarx Corp. 137,900 1,307,292
* Hastings Entertainment, Inc. 94,800 565,956
Haverty Furniture Co., Inc. 700 9,891
* Hayes Lemmerz International, Inc. 27,960 181,740
Hollinger International, Inc. Class A 21,100 195,175
* Hollywood Media Corp. 3,100 14,384
* Hovnanian Enterprises, Inc. Class A 13,500 838,350
IHOP Corp. 73,400 3,494,574
* Image Entertainment, Inc. 8,914 35,745
* IMPCO Technologies, Inc. 102,740 341,097
* Infosonics Corp. 14,800 44,252
* Insight Communications Co., Inc. 259,700 2,934,610
* Insight Enterprises, Inc. 152,460 2,985,167
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* Interactive Data Corp. 7,600 163,628
* Interface, Inc. Class A 182,877 1,399,009
* Interstate Hotels & Resorts, Inc. 86,200 396,520
* Isle of Capri Casinos, Inc. 67,662 1,683,431
* J. Alexander's Corp. 12,700 94,361
* J. Jill Group, Inc. 50,004 637,551
* Jack in the Box, Inc. 20,200 837,896
* Jakks Pacific, Inc. 188,104 3,888,110
* Jo-Ann Stores, Inc. 146,800 3,926,900
* Johnson Outdoors, Inc. 11,000 192,610
* K2, Inc. 302,514 3,808,651
KB Home 29,600 1,999,184
Kellwood Co. 107,630 2,707,971
* Keystone Automotive Industries, Inc. 63,000 1,243,620
Kimball International, Inc. Class B 158,563 1,950,325
K-Swiss, Inc. Class A 75,100 2,410,710
* La Quinta Corp. 637,700 5,528,859
* Lakeland Industries, Inc. 1,411 18,375
* # Lakes Entertainment, Inc. 102,654 1,275,989
* Lamar Advertising Co. 1,244 52,024
Landry's Restaurants, Inc. 154,750 4,637,857
* Laureate Education, Inc. 7,600 354,920
* Lazare Kaplan International, Inc. 16,500 142,230
# La-Z-Boy, Inc. 239,044 3,191,237
* Learning Care Group, Inc. 13,500 49,950
Lennar Corp. Class B 16,400 881,336
Levitt Corp. Class A 92 2,650
Liberty Corp. 71,200 2,571,032
Lifetime Hoan Corp. 22,300 380,438
* Lin TV Corp. 100,600 1,463,730
* Linens 'n Things, Inc. 174,300 4,247,691
Lithia Motors, Inc. Class A 101,245 2,693,117
* Lodgian, Inc. 100 950
Lone Star Steakhouse & Saloon, Inc. 134,600 4,066,266
* Luby's, Inc. 196,100 1,615,864
M/I Homes, Inc. 84,800 4,280,704
* Madden (Steven), Ltd. 101,223 1,797,720
* Magna Entertainment Corp. 57,500 305,900
* Main Street Restaurant Group, Inc. 78,800 272,648
Marine Products Corp. 18,295 276,254
* MarineMax, Inc. 40,800 1,122,816
* Max & Erma's Restaurants, Inc. 1,349 19,911
McRae Industries, Inc. Class A 12,800 150,016
MDC Holdings, Inc. 79,342 5,729,286
* Meade Instruments Corp. 174,513 481,656
Media General, Inc. Class A 96,800 5,914,480
* Michael Anthony Jewelers, Inc. 6 17,580
* Midas, Inc. 806 18,941
Modine Manufacturing Co. 134,147 4,078,069
Monaco Coach Corp. 192,485 3,158,679
* Monro Muffler Brake, Inc. 17,550 471,568
* Mothers Work, Inc. 42,787 583,187
* # Motorcar Parts of America, Inc. 7,500 78,937
Movado Group, Inc. 121,400 2,046,804
Movie Gallery, Inc. 179,244 5,728,638
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* Nathan's Famous, Inc. 14,310 118,616
National Presto Industries, Inc. 10,900 467,065
* National RV Holdings, Inc. 84,000 745,080
* Navigant International, Inc. 124,919 1,581,475
Nelson (Thomas), Inc. 29,200 678,900
* Nobel Learning Communities, Inc. 4,900 42,875
Noble International, Ltd. 4,834 99,822
* O'Charleys, Inc. 146,335 2,717,441
* # Oneida, Ltd. 52,000 122,200
* Opinion Research Corp. 30,600 215,424
# Orleans Homebuilders, Inc. 3,200 71,680
Oxford Industries, Inc. 68,100 2,435,256
* # Palm Harbor Homes, Inc. 133,941 2,508,715
* Payless ShoeSource, Inc. 256,200 4,311,846
* # PC Mall, Inc. 32,378 160,242
* # Pegasus Communications Corp. 27,609 173,246
Pep Boys - Manny, Moe & Jack 213,000 2,845,680
* Perry Ellis International, Inc. 86,521 1,730,420
PETsMART, Inc. 2,405 76,407
Phillips-Van Heusen Corp. 148,000 4,586,520
Pier 1 Imports, Inc. 41,500 696,785
* Pinnacle Entertainment, Inc. 127,200 2,217,096
* Pomeroy IT Solutions, Inc. 104,611 1,317,052
Pulitzer, Inc. 37,500 2,398,500
# Quaker Fabric Corp. 69,000 240,120
* # Quantum Fuel Systems Technologies Worldwide, Inc. 136,375 579,594
* R&B, Inc. 14,000 188,300
* Radio One, Inc. 80,545 1,016,478
Raytech Corp. 45,640 70,742
* RC2 Corp. 32,891 1,185,392
* Reading International, Inc. Class A 4,320 28,771
* Reading International, Inc. Class B 3,380 21,970
* Regent Communications, Inc. 364,145 2,184,870
* Rent-Way, Inc. 226,100 2,095,947
* Reptron Electronics, Inc. 294 412
* Restoration Hardware, Inc. 72,924 516,302
* Retail Ventures, Inc. 270,800 3,051,916
* Rex Stores Corp. 95,975 1,343,650
* # Rockford Corp. 58,300 152,163
* Rocky Shoes & Boots, Inc. 3,500 103,565
* Rubio's Restaurants, Inc. 62,600 572,790
Russ Berrie & Co., Inc. 87,800 1,142,278
Russell Corp. 212,040 3,965,148
* Ryan's Restaurant Group, Inc. 272,657 3,806,292
Ryland Group, Inc. 93,626 6,413,381
* S&K Famous Brands, Inc. 3,700 59,200
* Safety Components International, Inc. 129 1,800
Saks, Inc. 234,700 4,022,758
* # Salton, Inc. 102,600 106,704
Saucony, Inc. Class A 2,000 39,800
Saucony, Inc. Class B 23,998 470,361
Sauer-Danfoss, Inc. 36,100 709,365
* Scholastic Corp. 130,675 4,902,926
Service Corp. International 482,000 3,653,560
* # Sharper Image Corp. 111,364 1,480,028
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* Shiloh Industries, Inc. 126,642 1,432,321
* Shoe Carnival, Inc. 118,951 2,180,372
* # Shoe Pavilion, Inc. 6,600 31,284
* ShopKo Stores, Inc. 263,000 6,235,730
* Six Flags, Inc. 707,200 3,118,752
* Skechers U.S.A., Inc. Class A 79,500 1,007,265
Skyline Corp. 18,000 703,800
* Smith & Wollensky Restaurant Group, Inc. 55,300 347,837
Sonic Automotive, Inc. 114,500 2,441,140
* Source Interlink Companies, Inc. 35,598 347,080
* Southern Energy Homes, Inc. 15,300 89,505
* Spanish Broadcasting System, Inc. 163,835 1,417,173
Spartan Motors, Inc. 18,600 199,764
* Sport-Haley, Inc. 7,000 24,570
* Stage Stores, Inc. 61,424 2,398,607
* Stamps.com, Inc. 7,334 163,988
Standard Motor Products, Inc. 113,200 1,275,764
Standard Pacific Corp. 108,900 8,725,068
Stanley Furniture, Inc. 2,500 105,625
* Stein Mart, Inc. 38,361 922,966
* Steinway Musical Instruments, Inc. 66,700 1,888,944
Stewart Enterprises, Inc. 364,040 2,155,117
* Stoneridge, Inc. 186,700 1,459,994
Stride Rite Corp. 243,111 2,890,590
# Superior Industries International, Inc. 146,200 3,311,430
Superior Uniform Group, Inc. 2,800 38,780
Syms Corp. 120,000 1,569,600
* Systemax, Inc. 198,200 1,262,534
* Tag-It Pacific, Inc. 20,700 48,438
Tandy Brand Accessories, Inc. 1,000 13,140
* Tarrant Apparel Group 73,211 199,134
* TBC Corp. 68,500 1,748,805
Technical Olympic USA, Inc. 32,562 713,108
* Tenneco Automotive, Inc. 50,200 753,000
* The Dress Barn, Inc. 80,200 1,451,620
The Marcus Corp. 137,200 3,022,516
* The Mens Warehouse, Inc. 1,800 92,466
* The Rowe Companies 13,000 50,180
* The Sports Authority, Inc. 112,193 3,590,176
* The Sports Club Co., Inc. 1,200 1,980
* Toll Brothers, Inc. 16,159 1,496,162
* Tower Automotive, Inc. 13,649 1,447
Traffix, Inc. 104,900 503,520
* Trans World Entertainment Corp. 256,800 3,338,400
* Transpro, Inc. 54,600 370,734
Triarc Companies, Inc. Class A 8,100 126,765
* Tweeter Home Entertainment Group, Inc. 211,798 749,765
* Unifi, Inc. 504,900 1,620,729
Unifirst Corp. 63,800 2,335,080
United Auto Group, Inc. 181,700 5,596,360
* United Retail Group, Inc. 30,366 210,740
* Universal Electronics, Inc. 6,756 112,690
* Vail Resorts, Inc. 120,600 3,316,500
* ValueVision Media, Inc. Class A 132,021 1,270,042
# Visteon Corp. 402,700 3,072,601
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* Warnaco Group, Inc. 29,681 633,393
* WCI Communities, Inc. 175,200 5,238,480
* West Marine, Inc. 75,000 1,244,250
* Westcoast Hospitality Corp. 23,500 161,915
* # Wet Seal, Inc. Class A 98,825 420,994
* Whitehall Jewelers, Inc. 97,200 704,700
* William Lyon Homes, Inc. 37,200 3,348,000
* Wilsons The Leather Experts, Inc. 46,900 275,303
Wolverine World Wide, Inc. 12,550 288,399
* Worldwide Restaurant Concepts, Inc. 189,700 1,215,977
* Zapata Corp. 9,360 60,559
-----------------
Total Consumer Discretionary
(Cost $338,449,358) 480,705,093
-----------------
Industrials -- (17.5%)
* AAR Corp. 245,000 3,929,800
* ABX Air, Inc. 75,538 568,046
Aceto Corp. 43,099 313,330
* Active Power, Inc. 259,147 694,514
Administaff, Inc. 134,295 2,868,541
* AGCO Corp. 178,900 3,284,604
* AirNet Systems, Inc. 89,100 444,609
Alamo Group, Inc. 44,000 897,600
* Alaska Air Group, Inc. 144,200 4,256,784
Albany International Corp. Class A 84,500 2,642,315
Alexander & Baldwin, Inc. 132,565 5,892,514
* Allied Defense Group, Inc. 50,400 1,201,536
* Allied Holdings, Inc. 6,400 7,040
Ambassadors International, Inc. 41,300 529,466
* Amerco, Inc. 43,600 2,318,648
* # America West Holdings Corp. Class B 125,700 703,920
* American Superconductor Corp. 45,774 405,100
Ameron International Corp. 55,300 1,824,900
Ampco-Pittsburgh Corp. 19,600 225,988
Amrep Corp. 11,000 238,810
* APAC Customer Services, Inc. 69,269 66,498
Apogee Enterprises, Inc. 87,520 1,224,405
Applied Industrial Technologies, Inc. 138,450 4,214,418
Applied Signal Technologies, Inc. 35,772 626,010
Arkansas Best Corp. 78,615 2,573,069
* Armor Holdings, Inc. 18,600 702,150
* Artesyn Technologies, Inc. 194,017 1,596,760
* Astec Industries, Inc. 79,662 1,746,988
* AstroPower, Inc. 600 1
* Ault, Inc. 13,600 33,864
* Aviall, Inc. 71,600 2,203,848
* Axsys Technologies, Inc. 11,600 197,664
* AZZ, Inc. 30,000 480,300
* Baker (Michael) Corp. 16,500 284,790
Banta Corp. 12,700 557,784
Barnes Group, Inc. 107,400 3,295,032
Bowne & Co., Inc. 226,000 2,994,500
* BTU International, Inc. 10,400 39,416
* Butler International, Inc. 18,400 60,720
C&D Technologies, Inc. 171,400 1,254,648
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* Capstone Turbine Corp. 144,062 144,062
Cascade Corp. 63,200 2,225,904
* Casella Waste Systems, Inc. Class A 56,049 639,519
* Catalytica Energy Systems, Inc. 68,300 134,551
CDI Corp. 132,400 2,825,416
* Celadon Group, Inc. 36,700 664,270
Central Parking Corp. 251,518 4,250,654
* Century Business Services, Inc. 457,859 1,836,015
* Cenveo, Inc. 42,500 356,150
Champion Industries, Inc. 3,900 16,380
* Channell Commercial Corp. 3,600 21,672
* # Chart Industries, Inc. 24 1,282
Chicago Rivet & Machine Co. 200 5,956
CIRCOR International, Inc. 111,605 2,762,224
* Columbus McKinnon Corp. 68,100 642,864
* Comfort Systems USA, Inc. 275,700 1,734,153
* # Compudyne Corp. 55,403 335,188
CompX International, Inc. 4,200 60,690
* Consolidated Graphics, Inc. 41,200 1,743,996
* # Continental Airlines, Inc. 250,900 3,477,474
* Cornell Companies, Inc. 121,800 1,563,912
* Correctional Services Corp. 84,300 243,619
* Corrections Corporation of America 111,300 4,017,930
* Covenant Transport, Inc. Class A 109,540 1,520,415
* Cross (A.T.) Co. Class A 31,700 159,451
# Cubic Corp. 129,200 2,273,920
* Distributed Energy Systems Corp. 266,665 885,328
* Dollar Thrifty Automotive Group, Inc. 96,400 3,469,436
* DRS Technologies, Inc. 13,100 616,748
* Ducommun, Inc. 85,700 1,409,765
* Dycom Industries, Inc. 93,255 1,831,528
* EGL, Inc. 66,700 1,269,301
* Electro Rent Corp. 137,758 1,618,656
ElkCorp 24,200 798,600
* EMCOR Group, Inc. 53,400 2,536,500
* Encore Wire Corp. 125,699 1,382,689
* # Energy Conversion Devices, Inc. 2,311 44,556
Engineered Support Systems, Inc. 25,770 1,005,030
* EnPro Industries, Inc. 150,700 4,079,449
* ESCO Technologies, Inc. 13,200 1,118,700
Espey Manufacturing & Electronics Corp. 400 10,740
* Esterline Technologies Corp. 95,700 3,722,730
* Evergreen Solar, Inc. 7,950 40,147
* Exponent, Inc. 12,900 319,533
Federal Signal Corp. 167,800 2,622,714
* First Consulting Group, Inc. 196,793 1,019,388
* Flanders Corp. 49,500 493,515
Florida East Coast Industries, Inc. 77,300 3,251,238
* # Flow International Corp. 60 390
* Flowserve Corp. 191,700 5,649,399
* # FLYi, Inc. 82,200 62,472
* Foster (L.B.) Co. Class A 12,800 115,200
* Foster Wheeler, Ltd. 155 2,294
* Frontier Airlines, Inc. 267,770 3,269,472
* Frozen Food Express Industries, Inc. 113,076 1,215,567
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* FTI Consulting, Inc. 29,600 650,904
* # FuelCell Energy, Inc. 103,591 843,231
G & K Services, Inc. Class A 67,261 2,647,393
* Gardner Denver Machinery, Inc. 59,800 2,293,330
GATX Corp. 179,700 5,996,589
* Gehl Co. 57,158 1,714,054
Gencorp, Inc. 213,100 4,027,590
* General Binding Corp. 1,702 35,214
* General Cable Corp. 79,800 1,117,998
* Genesee & Wyoming, Inc. 83,825 2,342,070
* Genlyte Group, Inc. 67,616 3,012,969
Gevity HR, Inc. 10,900 186,935
Gorman-Rupp Co. 9,500 192,850
* # GP Strategies Corp. 102,400 727,040
Granite Construction, Inc. 97,600 2,288,720
Greenbrier Companies, Inc. 3,300 91,476
* Griffon Corp. 132,850 2,647,700
Hardinge, Inc. 17,200 278,950
* Hawaiian Holdings, Inc. 28,163 150,390
* Hawk Corp. 18,100 202,539
Heico Corp. 76,303 1,609,993
Heico Corp. Class A 26,390 443,088
* Heidrick & Struggles International, Inc. 5,900 148,149
* Herley Industries, Inc. 115,541 2,023,123
Hughes Supply, Inc. 189,200 4,919,200
Hunt (J.B.) Transport Services, Inc. 354,910 7,126,593
* Hurco Companies, Inc. 4,618 80,399
* Huttig Building Products, Inc. 16,156 176,262
* ICT Group, Inc. 7,100 65,959
IKON Office Solutions, Inc. 544,700 5,278,143
* Industrial Distribution Group, Inc. 90,692 797,183
* Innotrac Corp. 53,300 452,517
* Insituform Technologies, Inc. Class A 133,680 1,983,811
* # Integrated Electrical Services, Inc. 316,300 480,776
Interpool, Inc. 41,700 905,724
* Jacuzzi Brands, Inc. 307,500 3,139,575
JLG Industries, Inc. 138,300 3,525,267
Joy Global, Inc. 44,700 1,678,038
* JPS Industries, Inc. 1,400 6,720
* Kadant, Inc. 104,428 2,140,774
Kaman Corp. Class A 144,689 2,238,339
* Kansas City Southern 253,200 5,061,468
* Keith Companies, Inc. 24,200 511,830
Kelly Services, Inc. Class A 127,860 3,555,787
Kennametal, Inc. 102,400 4,505,600
* Key Technology, Inc. 7,100 78,100
* Kforce, Inc. 133,742 1,075,286
* KVH Industries, Inc. 25,400 235,966
* LaBarge, Inc. 3,000 42,570
* Ladish Co., Inc. 59,600 661,560
* Laidlaw International, Inc. 27,100 602,704
* Lancer Corp. 4,200 72,660
* Layne Christensen Co. 15,800 273,340
Lennox International, Inc. 138,000 2,931,120
LSI Industries, Inc. 128,756 1,749,794
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* Lydall, Inc. 128,692 1,060,422
* Mac-Gray Corp. 51,700 450,824
* Magnetek, Inc. 255,600 564,876
* MAIR Holdings, Inc. 160,164 1,527,965
Manpower, Inc. 7,875 313,661
* Mastec, Inc. 217,400 1,839,204
* Maxco, Inc. 2,700 11,802
McGrath Rentcorp. 67,818 1,563,205
* Meadow Valley Corp. 1,000 5,280
Mercury Air Group, Inc. 14,000 48,440
* Merrimac Industries, Inc. 12,700 113,030
* # Mesa Air Group, Inc. 181,169 1,155,858
* # Midwest Air Group, Inc. 149,200 292,432
* Miller Industries, Inc. 47,700 570,015
* Misonix, Inc. 52,906 304,844
* Mobile Mini, Inc. 62,725 2,315,807
* # Modtech Holdings, Inc. 120,784 748,861
* Moog, Inc. Class A 44,812 1,360,044
Mueller Industries, Inc. 79,900 2,157,300
NACCO Industries, Inc. Class A 25,200 2,583,000
* Nashua Corp. 10,700 96,300
* # National Patent Development Corp. 56,200 131,508
* National Technical Systems, Inc. 16,200 73,548
* NCI Building Systems, Inc. 79,400 2,742,476
* NCO Group, Inc. 155,684 3,091,884
* NES Rentals Holdings, Inc. 28 274
* New Horizons Worldwide, Inc. 15,300 55,233
* North America Galvanizing & Coatings, Inc. 36 73
* Old Dominion Freight Line, Inc. 19,125 582,739
* On Assignment, Inc. 196,423 1,041,042
* Orbital Sciences Corp. 97,106 942,899
Outlook Group Corp. 8,000 63,200
* P.A.M. Transportation Services, Inc. 65,308 1,076,276
* Park-Ohio Holdings Corp. 30,300 462,075
* Peerless Manufacturing Co. 2,400 33,384
* Perini Corp. 2,200 33,176
* PHH Corp. 100 2,399
* Pico Holdings, Inc. 72,537 1,877,983
* Powell Industries, Inc. 45,735 842,439
* Power-One, Inc. 1,767 9,683
Precision Castparts Corp. 72,982 5,672,891
Preformed Line Products Co. 4,400 150,172
* PRG-Schultz International, Inc. 238,187 919,402
Providence & Worcester Railroad Co. 10,700 141,775
* Quanta Services, Inc. 440,000 3,973,200
* Quipp, Inc. 900 9,706
* RailAmerica, Inc. 276,500 3,226,755
Raven Industries, Inc. 16,900 430,612
* RCM Technologies, Inc. 84,800 390,080
Regal-Beloit Corp. 101,232 2,601,662
* RemedyTemp, Inc. 52,700 519,095
* # Riviera Tool Co. 841 912
Robbins & Myers, Inc. 96,900 2,291,685
* Rush Enterprises, Inc. Class A 54,825 788,932
* Rush Enterprises, Inc. Class B 7,100 103,305
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Ryder System, Inc. 193,600 7,112,864
* SCS Transportation, Inc. 115,162 2,101,706
* Sequa Corp. Class A 5,900 342,200
* Shaw Group, Inc. 267,000 5,380,050
* SIFCO Industries, Inc. 600 2,058
* Sitel Corp. 457,500 905,850
Skywest, Inc. 231,704 4,226,281
Smith (A.O.) Corp. 82,100 2,574,656
* SOURCECORP, Inc. 75,355 1,613,351
* Spherion Corp. 437,700 2,394,219
Standard Register Co. 99,500 1,412,900
Standex International Corp. 5,300 141,828
* Sterling Construction Co., Inc. 29,800 219,924
Stewart & Stevenson Services, Inc. 150,300 3,590,667
* Stonepath Group, Inc. 65,100 45,570
* Strategic Distribution, Inc. 3,490 35,947
Supreme Industries, Inc. 15,720 102,966
* Swift Transportation Co., Inc. 180,807 4,438,812
Sypris Solutions, Inc. 107,685 1,135,000
TB Wood's Corp. 36,700 212,126
* Team, Inc. 2,700 51,300
* TeamStaff, Inc. 70,500 115,620
Tecumseh Products Co. Class A 51,375 1,404,592
Tecumseh Products Co. Class B 6,900 189,232
* TeleTech Holdings, Inc. 120,136 981,511
* Terex Corp. 221,500 8,753,680
* Tetra Tech, Inc. 11,535 138,997
The Brink's Co. 26,094 814,394
* The Geo Group, Inc. 21,200 514,524
* The Lamson & Sessions Co. 81,800 890,802
* Thomas & Betts Corp. 104,100 3,214,608
Thomas Industries, Inc. 77,100 3,073,977
Timken Co. 176,100 4,138,350
Todd Shipyards Corp. 25,250 486,062
* Trailer Bridge, Inc. 12,300 95,940
* Transport Corp. of America 2,000 12,500
* TRC Companies, Inc. 103,700 1,182,180
Tredegar Industries, Inc. 197,800 3,016,450
Trinity Industries, Inc. 197,700 5,745,162
* Triumph Group, Inc. 107,000 3,796,360
Twin Disc, Inc. 3,500 76,125
* U.S. Xpress Enterprises, Inc. Class A 15,716 191,892
United Industrial Corp. 25,687 890,055
* United Rentals, Inc. 275,400 5,530,032
* United Stationers, Inc. 13,600 666,808
Universal Forest Products, Inc. 106,237 4,228,233
* URS Corp. 152,200 5,148,926
* # US Airways Group, Inc. Class A 2,050 1,865
* USA Truck, Inc. 14,200 287,550
Valmont Industries, Inc. 63,800 1,528,010
Viad Corp. 81,800 2,274,040
Vicor Corp. 101,713 1,352,783
* VL Dissolution Corp. 4,834 0
* Volt Information Sciences, Inc. 122,200 2,401,230
Walter Industries, Inc. 117,711 4,990,946
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* Washington Group International, Inc. 3,600 172,836
* Waste Connections, Inc. 47,600 1,765,008
Waste Industries USA, Inc. 87,000 1,255,410
* Water Pik Technologies, Inc. 44,500 826,810
Watsco, Inc. Class A 122,200 5,400,018
Watts Water Technologies, Inc. 77,900 2,713,257
Werner Enterprises, Inc. 237,334 4,464,253
* Westaff, Inc. 68,800 238,736
* Willis Lease Finance Corp. 24,000 195,600
* Wolverine Tube, Inc. 134,800 971,908
Woodward Governor Co. 17,789 1,376,335
* Xanser Corp. 141,700 313,157
* Yellow Roadway Corp. 33,131 1,748,654
York International Corp. 84,000 3,460,800
-----------------
Total Industrials
(Cost $280,761,038) 411,387,180
-----------------
Information Technology -- (15.1%)
* 3Com Corp. 111,119 406,696
* Actel Corp. 171,076 2,530,214
* ActivCard Corp. 233,794 963,231
* Activision, Inc. 2,324 36,626
* Adaptec, Inc. 275,275 1,095,594
* Adept Technology, Inc. 6,850 55,142
* Advanced Digital Information Corp. 346,228 2,378,586
* Advanced Energy Industries, Inc. 73,895 704,958
* Advanced Power Technology, Inc. 74,110 478,009
* Aehr Test Systems 4,700 14,194
* Aeroflex, Inc. 164,224 1,313,792
* Agile Software Corp. 336,224 2,168,645
Agilysys, Inc. 201,353 3,096,809
* Airspan Networks, Inc. 35,774 171,000
Allen Organ Co. Class B 400 22,270
* # Alliance Semiconductor Corp. 286,514 481,344
American Software, Inc. Class A 86,100 444,276
* American Technical Ceramics Corp. 17,200 179,568
* Amkor Technology, Inc. 30,474 108,183
* Amtech Systems, Inc. 3,600 21,564
* Anadigics, Inc. 223,611 366,722
* Analex Corp. 90,600 296,262
* Analysts International Corp. 173,737 571,595
* Anaren, Inc. 160,237 1,897,206
* Andrew Corp. 246,942 3,274,451
* Anixter International, Inc. 94,800 3,584,388
* AnswerThink, Inc. 205,687 814,521
* APA Enterprises, Inc. 50,800 80,264
* Applied Films Corp. 101,928 2,741,863
* Applied Innovation, Inc. 69,100 336,517
* Applied Micro Circuits Corp. 1,196,632 3,434,334
* Apropos Technology, Inc. 148,040 380,463
* Ariba, Inc. 184,551 1,131,298
* Arris Group, Inc. 411,406 3,562,776
* # Aspen Technology, Inc. 74,827 392,093
* Astea International, Inc. 560 4,138
Astro-Med, Inc. 11,570 101,237
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* Atmel Corp. 81,207 243,621
* # Avici Systems, Inc. 96,868 432,031
* Avnet, Inc. 3,652 76,400
* Avocent Corp. 44,000 1,232,000
* Aware, Inc. 139,000 917,400
* Axcelis Technologies, Inc. 248,931 1,655,391
* AXT, Inc. 55,055 69,369
* BearingPoint, Inc. 652,600 4,274,530
Bel Fuse, Inc. Class A 1,014 25,644
Belden CDT, Inc. 255,250 5,135,630
* Bell Industries, Inc. 31,600 69,836
* Bell Microproducts, Inc. 232,722 1,908,320
* Benchmark Electronics, Inc. 153,150 4,850,260
Black Box Corp. 116,309 3,998,703
Bogen Communications International, Inc. 34,900 166,647
* # Bookham, Inc. 73,200 204,960
* Borland Software Corp. 48,256 308,838
* Bottomline Technologies, Inc. 46,710 634,322
* Brightpoint, Inc. 78,975 1,484,730
* Brooks Automation, Inc. 43,800 660,504
* Brooktrout, Inc. 73,495 732,745
* CalAmp Corp. 180,043 1,188,284
* Captaris, Inc. 284,719 1,030,683
* Carrier Access Corp. 81,601 393,317
* C-COR, Inc. 95,719 658,547
* CDC Corp. 18,940 47,350
Celeritek, Inc. 73,205 60,028
* Celestica, Inc. 13,655 174,101
* CellStar Corp. 144,781 188,215
* Centillium Communications, Inc. 291,523 638,435
* Checkpoint Systems, Inc. 178,900 3,152,218
* Ciber, Inc. 475,500 3,875,325
* Ciena Corp. 639,643 1,394,422
* Ciprico, Inc. 12,500 54,375
* Cirrus Logic, Inc. 135,707 702,962
* Clarus Corp. 147,200 1,133,440
* ClearOne Communications, Inc. 35,300 117,902
* Coherent, Inc. 108,816 3,572,429
Cohu, Inc. 45,205 868,840
* Comarco, Inc. 38,100 304,419
* # Commerce One, Inc. 110 14
* CommScope, Inc. 162,127 2,743,189
Communications Systems, Inc. 26,500 267,650
* Computer Horizons Corp. 154,480 447,992
* Computer Network Technology Corp. 154,195 770,975
* Computer Task Group, Inc. 84,700 296,450
* Conexant Systems, Inc. 4,800 6,864
* # Convera Corp. 12,817 55,241
* Copper Mountain Networks, Inc. 38,400 35,328
* Cosine Communications, Inc. 69,066 162,305
* Covansys Corp. 55,627 681,431
* Credence Systems Corp. 276,870 2,192,810
* Crossroads Systems, Inc. 29,232 27,478
CTS Corp. 247,538 2,636,280
* Cyberoptics Corp. 3,341 42,965
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* Cypress Semiconductor Corp. 66,700 862,431
* Datalink Corp. 72,600 178,596
* Dataram Corp. 18,600 108,996
* Datastream Systems, Inc. 14,500 85,985
* Delphax Technologies, Inc. 4,500 16,799
* Digi International, Inc. 79,374 931,057
* Digimarc Corp. 112,593 574,224
* Digital Insight Corp. 123,322 2,681,020
* Digitas, Inc. 59,083 654,049
* Diodes, Inc. 17,795 591,684
* Ditech Communications Corp. 74,600 537,866
* DoubleClick, Inc. 344,816 2,837,836
* Dynamics Research Corp. 7,200 107,208
* E.piphany, Inc. 437,974 1,528,529
* Echelon Corp. 117,959 810,378
* Edgewater Technology, Inc. 53,038 230,715
* eFunds Corp. 62,800 1,269,816
* Electro Scientific Industries, Inc. 87,050 1,561,677
* Electroglas, Inc. 151,540 522,813
* Electronics for Imaging, Inc. 171,686 3,262,034
* eLoyalty Corp. 30,300 149,985
* EMCORE Corp. 170,082 675,226
* EMS Technologies, Inc. 107,375 1,449,563
* Emulex Corp. 117,100 2,213,190
* Entrust, Inc. 33,500 137,015
* ePlus, Inc. 77,351 959,230
* ESS Technology, Inc. 247,390 1,019,247
* Evans & Sutherland Computer Corp. 20,490 105,216
* Exar Corp. 284,148 4,091,731
* Extended Systems, Inc. 24,632 83,995
Fair Isaac Corp. 78,608 2,692,324
* Fairchild Semiconductor Corp. Class A 45,900 656,370
* FEI Co. 30,500 635,010
* Forrester Research, Inc. 21,847 360,476
Frequency Electronics, Inc. 9,200 107,640
* FSI International, Inc. 238,585 897,080
* Genesis Microchip, Inc. 84,719 1,402,099
* Gerber Scientific, Inc. 185,800 1,371,204
* # Giga-Tronics, Inc. 205 830
* Glenayre Technologies, Inc. 183,430 586,976
* Global Imaging Systems, Inc. 11,500 365,585
* Globecomm Systems, Inc. 69,500 386,420
* # Glowpoint, Inc. 81,567 108,484
* GoRemote Internet Communications, Inc. 13,900 21,684
* GTSI Corp. 65,777 538,056
* HI/FN, Inc. 39,200 260,288
* Hutchinson Technology, Inc. 95,600 3,954,972
* Hypercom Corp. 380,500 2,416,175
* # Ibis Technology Corp. 64,287 81,002
* Identix, Inc. 2,400 13,176
* iGATE Capital Corp. 273,440 1,194,933
Imation Corp. 140,600 5,309,056
* InFocus Corp. 269,572 1,121,420
* Informatica Corp. 48,000 411,840
Inforte Corp. 101,550 348,317
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* InfoSpace, Inc. 25,300 858,176
* Ingram Micro, Inc. 90,500 1,430,805
* Innovex, Inc. 156,011 527,317
* InsWeb Corp. 12,300 34,440
* Integrated Device Technology, Inc. 372,457 4,555,149
* Integrated Silicon Solution, Inc. 297,109 1,946,064
* Intergraph Corp. 91,520 2,872,813
* Interland, Inc. 133,229 253,135
* # Internet Commerce Corp. 23,500 38,070
* Internet Security Systems, Inc. 32,689 725,696
* Interwoven, Inc. 267,678 2,130,717
* Intrado, Inc. 10,000 127,900
* # Intrusion, Inc. 14,325 40,397
* Iomega Corp. 350,100 1,081,809
* iPass, Inc. 143,800 887,246
* iVillage, Inc. 12,340 74,410
* IXYS Corp. 120,949 1,672,725
* Jaco Electronics, Inc. 21,850 68,609
* JDA Software Group, Inc. 218,213 2,819,312
* Keane, Inc. 219,500 2,945,690
* Kemet Corp. 508,400 3,558,800
* Key Tronic Corp. 5,000 18,400
* Keynote Systems, Inc. 78,600 911,760
* Komag, Inc. 109,508 3,159,306
* Lattice Semiconductor Corp. 443,614 1,872,051
* Lawson Software, Inc. 9,900 58,608
* LeCroy Corp. 29,810 490,673
* Lightbridge, Inc. 212,290 1,333,181
* LogicVision, Inc. 55,899 100,618
* LTX Corp. 71,539 342,672
* Management Network Group, Inc. 137,063 322,098
* Manchester Technologies, Inc. 16,900 105,963
* Manugistic Group, Inc. 426,797 768,235
* Mapinfo Corp. 93,695 1,167,440
* MatrixOne, Inc. 73,100 334,067
* Maxtor Corp. 828,166 4,546,631
* McDATA Corp. 355,204 1,353,327
* MedQuist, Inc. 140,400 1,826,604
* Merix Corp. 158,129 1,146,435
* MetaSolv, Inc. 62,880 130,162
Methode Electronics, Inc. 16,843 201,105
* Metrologic Instruments, Inc. 6,755 93,624
* Micro Linear Corp. 24,400 142,740
* Micromuse, Inc. 45,600 286,368
* Microtune, Inc. 168,810 746,140
* MIPS Technologies, Inc. 2,828 24,377
* MKS Instruments, Inc. 175,586 2,932,286
* Moldflow Corp. 43,700 576,840
* Motive, Inc. 84,000 729,960
* MPS Group, Inc. 605,600 5,680,528
* MRO Software, Inc. 179,600 2,694,000
* MRV Communications, Inc. 68,256 126,274
* # MSC.Software Corp. 155,100 1,595,204
* MTM Technologies, Inc. 4,000 15,880
MTS Systems Corp. 63,700 2,032,667
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* # Nanometrics, Inc. 113,109 1,275,870
* # Napco Security Systems, Inc. 6,080 56,118
* Neoforma, Inc. 152,764 1,046,433
* NeoMagic Corp. 3,717 1,375
* Neoware Systems, Inc. 101,671 1,028,911
* Net2Phone, Inc. 334,897 535,835
* NetIQ Corp. 213,266 2,354,457
* NetRatings, Inc. 169,900 2,314,038
* Netscout System, Inc. 234,739 1,445,992
* Network Engines, Inc. 56,700 96,390
* Network Equipment Technologies, Inc. 237,600 1,328,184
* Newport Corp. 277,713 3,901,868
* Nu Horizons Electronics Corp. 142,069 835,369
* NumereX Corp. Class A 9,400 45,214
* NYFIX, Inc. 174,417 880,806
* Omtool, Ltd. 1,028 6,014
* Opent Technologies, Inc. 154,303 1,248,311
* Oplink Communications, Inc. 37,073 55,239
* OPTi, Inc. 43,753 73,505
* Optical Cable Corp. 39,251 175,059
* Optical Communication Products, Inc. 45,766 81,921
* OSI Systems, Inc. 110,691 1,649,296
* Overland Storage, Inc. 118,550 1,148,750
* OYO Geospace Corp. 39,600 647,935
* # PalmOne, Inc. 50,400 1,432,368
* PalmSource, Inc. 54,788 549,524
* Paradyne Networks Corp. 106,400 209,608
Park Electrochemical Corp. 132,850 3,082,120
* Parlex Corp. 55,600 328,040
* Paxar Corp. 136,500 2,405,130
* PC Connection, Inc. 198,908 1,016,420
* PC-Tel, Inc. 184,367 1,347,723
* PEC Solutions, Inc. 27,474 426,122
* Peerless Systems Corp. 14,200 51,404
* Pegasus Solutions, Inc. 184,122 1,981,153
* Pegasystems, Inc. 185,003 1,104,468
* Pemstar, Inc. 139,701 164,847
* Perceptron, Inc. 78,535 512,834
* Performance Technologies, Inc. 45,300 304,869
* Pericom Semiconductor Corp. 219,254 1,756,225
* Pervasive Software, Inc. 89,205 413,019
* Phoenix Technologies, Ltd. 143,115 1,162,094
* Photronics, Inc. 212,793 4,900,623
* Pinnacle Systems, Inc. 286,694 1,694,362
* Pixelworks, Inc. 16,779 143,796
* Planar Systems, Inc. 129,957 1,044,854
* PLATO Learning, Inc. 124,041 947,673
* Plexus Corp. 288,217 3,962,984
* PLX Technology, Inc. 83,330 634,975
* Polycom, Inc. 102,610 1,755,657
* Powerwave Technologies, Inc. 330,926 3,021,354
* Presstek, Inc. 47,089 402,140
Printronix, Inc. 14,100 223,908
* Procom Technology, Inc. 1,200 1,920
Programmers Paradise, Inc. 100 1,027
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* Quantum Corp. 1,113,600 2,895,360
* QuickLogic Corp. 175,562 767,206
* Quovadx, Inc. 136,510 371,307
* Radiant Systems, Inc. 32,944 344,594
* RadiSys Corp. 135,819 2,196,193
* Raindance Communictions, Inc. 78,706 161,347
* Register.com, Inc. 116,300 726,875
* REMEC, Inc. 44,417 277,607
* RF Monolithics, Inc. 32,177 202,715
Richardson Electronics, Ltd. 76,300 679,070
* Riverstone Networks, Inc. 247,600 173,939
* Rofin-Sinar Technologies, Inc. 44,059 1,423,106
* RSA Security, Inc. 300 3,690
* Rudolph Technologies, Inc. 43,099 621,488
* S1 Corp. 63,500 284,480
* Safeguard Scientifics, Inc. 403,100 399,069
* SafeNet, Inc. 86,100 2,705,262
* SBS Technologies, Inc. 128,499 1,247,725
* ScanSoft, Inc. 532,220 2,160,813
* SCM Microsystems, Inc. 105,448 313,181
* Seachange International, Inc. 3,500 27,650
* Segue Software, Inc. 6,600 33,000
* Selectica, Inc. 289,600 918,032
* Semitool, Inc. 140,900 1,235,693
* Silicon Storage Technology, Inc. 29,350 100,964
* SimpleTech, Inc. 261,622 915,677
* Sipex Corp. 155,700 256,905
* Skyworks Solutions, Inc. 185,550 1,174,532
* Somera Communications, Inc. 41,225 57,303
* SonicWALL, Inc. 465,873 2,879,095
* Spectrum Control, Inc. 64,600 457,368
SS&C Technologies, Inc. 68,500 2,048,150
* Standard Microsystems Corp. 121,800 1,980,468
* Stellent, Inc. 236,305 1,788,829
* Stratos International, Inc. 103,540 446,257
* SumTotal Systems, Inc. 61,462 257,526
Sunrise Telecom, Inc. 62,500 100,000
* Suntron Corp. 3,925 5,142
* Sycamore Networks, Inc. 738,397 2,495,782
* Sykes Enterprises, Inc. 264,701 2,191,724
* Symmetricom, Inc. 246,628 2,781,964
TALX Corp. 14,850 414,612
Technitrol, Inc. 138,764 1,821,971
* TechTeam Global, Inc. 84,200 1,178,800
Tektronix, Inc. 1,635 37,065
* # Telular Corp. 49,379 192,578
* Terayon Communication Systems, Inc. 64,134 203,305
* Tessco Technologies, Inc. 2,500 31,850
* TheStreet.com, Inc. 76,670 237,677
* THQ, Inc. 37,900 1,057,031
* Three-Five Systems, Inc. 157,100 105,257
* TIBCO Software, Inc. 59,720 378,625
* Tier Technologies, Inc. Class B 199,819 1,766,400
* TII Network Technologies, Inc. 5,200 7,592
* Tollgrade Communications, Inc. 110,270 835,847
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* Transcat, Inc. 7,000 32,410
* Triquint Semiconductor, Inc. 345,912 1,172,642
* TTM Technologies, Inc. 167,138 1,327,076
* Tumbleweed Communications Corp. 12,000 26,400
* Tyler Technologies, Inc. 73,200 476,532
* Ulticom, Inc. 108,807 1,001,024
* Ultratech, Inc. 62,501 1,095,643
* Unova, Inc. 216,200 4,449,396
* ValueClick, Inc. 149,100 1,598,352
* Veeco Instruments, Inc. 100,650 1,516,796
* Verity, Inc. 264,258 2,254,121
* Viasat, Inc. 52,100 1,057,109
* Vicon Industries, Inc. 11,200 33,040
* Visual Networks, Inc. 2,700 3,483
* Vitesse Semiconductor, Inc. 189,214 473,035
* Vitria Technology, Inc. 108,025 345,680
* Vyyo, Inc. 58,778 363,248
* WatchGuard Technologies, Inc. 287,509 1,043,658
* webMethods, Inc. 37,748 189,872
* White Electronics Designs Corp. 202,374 1,009,846
Wireless Telecom Group, Inc. 55,300 139,909
Woodhead Industries, Inc. 45,090 578,505
* # Zhone Technologies, Inc. 277,659 752,456
* Zomax, Inc. 281,119 773,077
* Zones, Inc. 450 1,665
* Zoran Corp. 293,771 3,625,134
* Zygo Corp. 139,047 1,345,975
-----------------
Total Information Technology
(Cost $315,272,428) 354,917,919
-----------------
Financials -- (13.8%)
1st Source Corp. 122,612 2,670,489
21st Century Insurance Group 353,100 4,918,683
ABC Bancorp 7,632 135,468
* ACE Cash Express, Inc. 14,100 307,521
Advanta Corp. Class A 57,400 1,316,182
Advanta Corp. Class B Non-Voting 88,400 2,180,828
* Aether Systems, Inc. 359,199 1,124,293
Alfa Corp. 137,222 1,965,019
* Allmerica Financial Corp. 62,300 2,175,516
American Financial Group, Inc. 28,200 914,244
* American Independence Corp. 19,866 263,224
* American Physicians Capital, Inc. 65,970 2,285,860
American Physicians Services Group, Inc. 1,900 23,560
* AmeriCredit Corp. 71,400 1,775,718
* AmeriServe Financial, Inc. 132,718 724,640
AmerUs Group Co. 110,400 5,253,936
* Arch Capital Group, Ltd. 8,800 392,920
* Argonaut Group, Inc. 174,794 3,660,186
ASB Financial Corp. 2,500 55,937
* Atlantic American Corp. 29,400 88,788
Baldwin & Lyons, Inc. Class B 36,450 936,765
* Bancinsurance Corp. 11,695 60,814
Bank of Hawaii Corp. 88,100 4,293,113
BankUnited Financial Corp. Class A 102,550 2,534,010
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Banner Corp. 77,115 2,052,030
Bay View Capital Corp. 25,590 405,601
Berkley (W.R.) Corp. 184,612 6,546,342
Beverly Hills Bancorp, Inc. 68,657 717,466
* BNS Holding, Inc. Class A 8,500 58,650
Brookline Bancorp, Inc. 213,756 3,249,091
California First National Bancorp 12,200 141,520
Camco Financial Corp. 9,500 137,085
Capital Corp. of the West 10,767 261,100
* Capital Crossing Bank 28,400 922,432
Cash America International, Inc. 97,600 1,678,720
Cathay General Bancorp 63,954 2,174,436
Central Bancorp, Inc. 3,500 90,545
* Ceres Group, Inc. 258,880 1,483,382
CFS Bancorp, Inc. 36,225 474,910
Chemical Financial Corp. 53,439 1,708,979
Citizens South Banking Corp. 17,267 218,082
* # Citizens, Inc. 140,383 812,818
City Holding Co. 45,004 1,520,235
Clark, Inc. 142,800 2,070,600
* CNA Surety Corp. 243,291 3,362,282
Columbia Banking System, Inc. 60,202 1,480,969
Commerce Group, Inc. 72,900 4,344,840
Commercial Capital Bancorp, Inc. 31,994 542,298
Commercial Federal Corp. 162,300 4,059,123
Community Bank System, Inc. 116,800 2,721,440
Community Trust Bancorp, Inc. 27,690 819,901
Community West Bancshares 14,800 180,264
* # CompuCredit Corp. 210,700 6,643,371
* Consumer Portfolio Services, Inc. 69,915 307,626
Corus Bankshares, Inc. 37,800 1,939,896
* Credit Acceptance Corp. 115,568 1,630,664
Delphi Financial Group, Inc. Class A 135,465 5,743,716
Delta Financial Corp. 25,900 234,395
Dime Community Bancshares 90,487 1,366,354
Donegal Group, Inc. Class A 24,816 458,103
Donegal Group, Inc. Class B 4,000 65,880
Downey Financial Corp. 113,800 8,537,276
EMC Insurance Group, Inc. 1,000 17,840
* Epoch Holding Corp. 18,000 81,000
F.N.B. Corp. 30,627 569,050
FBL Financial Group, Inc. Class A 102,977 2,754,635
Fidelity Southern Corp. 2,000 32,440
Financial Federal Corp. 12,200 455,060
* Financial Industries Corp. 41,366 353,679
* Firebrand Financial Group, Inc. 1,000 70
First American Corp. 86,300 3,339,810
First Bancorp 7,826 163,563
* First Bank of Delaware 1,320 4,356
* First Cash Financial Services, Inc. 52,400 911,760
First Charter Corp. 27,400 604,170
First Citizens BancShares, Inc. 10,300 1,344,459
First Commonwealth Financial Corp. 82 1,096
First Community Bancorp 48,364 2,136,722
First Community Bancshares, Inc. 295 8,874
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First Defiance Financial Corp. 12,400 331,576
First Federal Bancshares of Arkansas, Inc. 13,000 318,370
First Indiana Corp. 69,115 1,862,649
* First Investors Financial Services Group, Inc. 6,900 32,947
* First Mariner Bancorp 4,900 81,683
First Merchants Corp. 108,568 2,700,086
First Mutual Bancshares, Inc. 6,887 170,109
First Niagara Financial Group, Inc. 389,383 5,069,767
# First PacTrust Bancorp, Inc. 16,919 418,576
First Place Financial Corp. 93,223 1,835,561
First Republic Bank 87,150 2,795,772
First State Bancorporation 30,040 554,538
FirstBank NW Corp. 1,700 44,455
* FirstFed Financial Corp. 75,600 4,096,008
Flagstar Bancorp, Inc. 225,300 4,451,928
Flushing Financial Corp. 39,375 665,044
FNB Corp. 11,300 209,050
FNB Financial Services Corp. 2,500 52,975
* FPIC Insurance Group, Inc. 70,097 2,086,087
Fremont General Corp. 193,400 4,160,034
Great American Financial Resources, Inc. 59,100 996,426
Guaranty Federal Bancshares, Inc. 8,000 186,000
Harbor Florida Bancshares, Inc. 14,200 505,094
Harleysville Group, Inc. 132,896 2,699,118
HCC Insurance Holdings, Inc. 27,000 1,058,670
HMN Financial, Inc. 16,300 491,200
Horace Mann Educators Corp. 163,100 2,968,420
Horizon Financial Corp. 22,848 459,245
IBERIABANK Corp. 7,700 453,068
Independence Community Bank Corp. 201,797 7,563,352
Independent Bank Corp. MI 19,057 536,264
Infinity Property & Casualty Corp. 93,820 3,002,240
* Instinet Group, Inc. 13,900 73,392
Integra Bank Corp. 70,628 1,560,173
* Investment Technology Group, Inc. 52,800 1,042,272
Investors Title Co. 1,100 38,742
Irwin Financial Corp. 115,300 2,420,147
* ITLA Capital Corp. 18,200 906,724
Jefferies Group, Inc. 40,100 1,419,941
* Jones Lang LaSalle, Inc. 17,600 746,416
* Kennedy-Wilson, Inc. 13,500 139,320
* KNBT Bancorp, Inc. 6,694 99,815
* Knight Capital Group, Inc. 358,500 2,706,675
* LaBranche & Co., Inc. 198,000 1,094,940
LandAmerica Financial Group, Inc. 87,600 4,923,120
MAF Bancorp, Inc. 122,438 5,210,961
MB Financial, Inc. 17,624 673,061
MBT Financial Corp. 4,775 91,298
MCG Capital Corp. 150,063 2,401,008
* Meadowbrook Insurance Group, Inc. 249,000 1,282,350
Medallion Finanacial Corp. 86,800 803,768
Meta Financial Group, Inc. 3,400 71,740
* Metris Companies, Inc. 254,700 3,306,006
MicroFinancial, Inc. 26,500 103,085
Midland Co. 11,800 377,010
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* National Western Life Insurance Co. Class A 500 91,687
* Navigators Group, Inc. 81,830 2,720,029
NetBank, Inc. 39,562 328,760
NewMil Bancorp, Inc. 4,000 122,000
* Newtek Business Services, Inc. 23,100 59,829
North Central Bancshares, Inc. 3,500 135,590
Northrim BanCorp, Inc. 12,210 279,243
NYMAGIC, Inc. 8,000 163,600
OceanFirst Financial Corp. 27,950 600,925
* # Ocwen Financial Corp. 447,400 3,234,702
# Odyssey Re Holdings Corp. 254,770 6,142,505
Ohio Casualty Corp. 228,300 5,456,370
* Pacific Mercantile Bancorp 28,900 407,952
* Pacific Premier Bancorp, Inc. 1,789 18,734
Parkvale Financial Corp. 1,900 52,820
Partners Trust Financial Group, Inc. 21,761 224,574
* # Penn Treaty American Corp. 137,000 305,510
Pennfed Financial Services, Inc. 30,400 441,408
PFF Bancorp, Inc. 61,710 1,792,058
* Philadelphia Consolidated Holding Corp. 8,799 725,654
* Piper Jaffray Companies, Inc. 78,800 2,227,676
* PMA Capital Corp. Class A 235,510 1,749,839
Pocahontas Bancorp, Inc. 9,400 131,600
Presidential Life Corp. 189,395 2,869,334
* ProAssurance Corp. 92,180 3,606,082
Provident Financial Services, Inc. 17,303 307,647
Pulaski Financial Corp. 9,744 217,194
* Republic First Bancorp, Inc. 1,478 19,692
RLI Corp. 104,700 4,579,578
* RTW, Inc. 43,900 425,830
* SCPIE Holdings, Inc. 4,900 54,978
Selective Insurance Group, Inc. 105,169 5,061,784
Simmons First National Corp. Class A 77,403 1,899,470
Sky Financial Group, Inc. 6,442 185,465
Sound Federal Bancorp, Inc. 54,557 868,547
* Standard Management Corp. 19,400 34,920
State Auto Financial Corp. 109,415 2,954,205
State Financial Services Corp. Class A 13,447 533,846
Sterling Bancorp 6,097 128,952
* Sterling Financial Corp. 76,610 2,708,163
Stewart Information Services Corp. 68,600 2,692,550
* Stifel Financial Corp. 41,413 874,643
* Stratus Properties, Inc. 13,550 226,014
* Sun Bancorp, Inc. 97,703 2,026,360
Susquehanna Bancshares, Inc. 76,629 1,744,076
SWS Group, Inc. 67,900 1,076,215
Texas United Bancshares, Inc. 961 16,712
TF Financial Corp. 1,100 31,900
* The Banc Corp. 106,342 1,116,591
The Colonial BancGroup, Inc. 1,900 42,351
# The Phoenix Companies, Inc. 409,500 4,709,250
TierOne Corp. 120,198 2,899,777
Timberland Bancorp, Inc. 8,400 193,284
* Trammell Crow Co. 228,900 5,161,695
* Triad Guaranty, Inc. 49,198 2,666,532
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UICI 242,900 6,108,935
UMB Financial Corp. 82,988 4,622,432
Umpqua Holdings Corp. 133,473 3,111,256
* Unico American Corp. 9,400 86,010
Union Bankshares Corp. 41 1,487
* United America Idemnity, Ltd. 33,755 575,523
United Community Financial Corp. 195,441 2,054,085
* # United Financial Mortgage Corp. 19,450 84,218
United Fire & Casualty Co. 8,800 346,456
Unity Bancorp, Inc. 11,186 137,028
* Universal American Financial Corp. 247,824 4,693,787
Unizan Financial Corp. 32,222 821,339
* USA Mobility, Inc. 30,096 796,340
Vesta Insurance Group, Inc. 221,600 558,432
Washington Savings Bank, FSB 800 6,928
Webster Financial Corp. 8,134 381,485
Wesbanco, Inc. 100,698 2,977,640
Westbank Corp. 3,087 51,985
Westcorp, Inc. 51,740 2,506,286
Westwood Holdings Group, Inc. 8,775 148,210
* WFS Financial, Inc. 25,200 1,228,500
Willow Grove Bancorp, Inc. 37,222 567,487
* Wilshire Enterprises, Inc. 11,000 82,500
Wintrust Financial Corp. 1,200 60,084
* World Acceptance Corp. 49,900 1,299,895
Yardville National Bancorp 56,800 1,926,088
Zenith National Insurance Corp. 14,300 905,905
-----------------
Total Financials
(Cost $213,647,526) 323,834,019
-----------------
Materials -- (8.4%)
* AEP Industries, Inc. 42,899 739,150
Airgas, Inc. 120,800 2,899,200
* AK Steel Holding Corp. 4,454 34,073
Albemarle Corp. 124,200 4,724,568
* Aleris International, Inc. 129,786 3,091,503
Allegheny Technologies, Inc. 44,847 953,447
AMCOL International Corp. 38,500 746,900
* American Pacific Corp. 4,200 34,020
Applied Extrusion Technologies, Inc. 300 0
Aptargroup, Inc. 40,200 2,010,000
Arch Chemicals, Inc. 139,700 3,292,729
Atlantis Plastics, Inc. 1,700 10,557
* Badger Paper Mills, Inc. 400 1,336
Bairnco Corp. 10,900 121,753
* Brush Engineered Materials, Inc. 136,400 1,934,152
* Buckeye Technologies, Inc. 263,900 2,182,453
Calgon Carbon Corp. 188,400 1,678,644
Cambrex Corp. 194,000 3,511,400
* Caraustar Industries, Inc. 184,031 1,932,326
Carpenter Technology Corp. 100,800 5,443,200
* Castle (A.M.) & Co. 71,850 1,005,182
* Century Aluminum Co. 113,500 2,543,535
Chesapeake Corp. 132,721 2,769,887
Cleveland-Cliffs, Inc. 25,400 1,489,202
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Commercial Metals Co. 238,800 6,247,008
CPAC, Inc. 12,500 62,375
Crompton Corp. 34,200 524,970
Cytec Industries, Inc. 109,400 4,557,604
# Eagle Materials, Inc. 50,900 4,462,403
* Eden Bioscience Corp. 18,442 11,065
* FMC Corp. 7,200 399,240
Friedman Industries, Inc. 3,340 25,685
Fuller (H.B.) Co. 99,191 3,213,788
Gibraltar Industries, Inc. 98,050 1,917,858
Glatfelter (P.H.) Co. 269,400 3,017,280
* Graphic Packaging Corp. 48,700 182,625
Great Lakes Chemical Corp. 187,500 6,356,250
* ICO, Inc. 24,600 57,564
Kronos Worldwide, Inc. 53,012 1,675,179
LaFarge North America, Inc. 35,400 2,137,098
* Lesco, Inc. 74,800 1,009,800
Longview Fibre Co. 234,100 4,674,977
Louisiana-Pacific Corp. 370,500 9,329,190
* Material Sciences Corp. 123,100 1,501,820
* Metals USA, Inc. 123,073 2,605,455
Minerals Technologies, Inc. 116,500 7,840,450
Myers Industries, Inc. 222,457 2,480,396
* NewMarket Corp. 110,800 1,505,772
Niagara Corp. 14,900 127,395
* NL Industries, Inc. 123,200 1,872,640
NN, Inc. 46,663 592,153
* Northwest Pipe Co. 24,900 551,784
Olin Corp. 7,100 133,267
* # Olympic Steel, Inc. 96,756 1,519,069
* OM Group, Inc. 95,800 2,414,160
* OMNOVA Solutions, Inc. 15,800 64,148
* Oregon Steel Mills, Inc. 132,500 2,339,950
* Owens-Illinois, Inc. 54,100 1,390,911
Penford Corp. 7,800 120,822
* PolyOne Corp. 40,480 272,026
Pope & Talbot, Inc. 122,100 1,346,763
Potlatch Corp. 119,600 6,182,124
Quaker Chemical Corp. 45,200 800,040
Quanex Corp. 87,600 4,545,564
Reliance Steel & Aluminum Co. 139,426 5,366,507
Roanoke Electric Steel Corp. 10,600 212,530
Rock-Tenn Co. Class A 226,000 2,601,260
RPM International, Inc. 234,300 4,123,680
* RTI International Metals, Inc. 151,573 4,151,584
# Ryerson Tull, Inc. 163,600 2,489,992
Schnitzer Steel Industries, Inc. Class A 94,789 2,191,522
Schulman (A.), Inc. 196,995 3,222,838
Schweitzer-Maudoit International, Inc. 94,800 2,841,156
Sensient Technologies Corp. 178,700 3,636,545
* Southwall Technologies, Inc. 20,400 27,336
Spartech Corp. 135,000 2,731,050
Steel Dynamics, Inc. 183,300 4,928,937
Steel Technologies, Inc. 88,367 1,767,340
Stepan Co. 10,600 224,826
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* Stillwater Mining Co. 39,900 269,325
Summa Industries, Inc. 15,200 117,040
* Synalloy Corp. 7,400 85,470
* Terra Industries, Inc. 437,400 2,777,490
Texas Industries, Inc. 100,700 4,634,214
* The Mosaic Co. 12,400 162,192
* # Titanium Metals Corp. 9,750 414,765
* U.S. Concrete, Inc. 234,564 1,435,532
United States Steel Corp. 19,800 787,446
* Universal Stainless & Alloy Products, Inc. 23,800 298,690
Valhi, Inc. 57,700 1,069,758
Vulcan International Corp. 400 19,640
Wausau-Mosinee Paper Corp. 274,200 3,427,500
Wellman, Inc. 278,300 3,128,092
Worthington Industries, Inc. 275,500 4,617,380
* # Zoltek Companies, Inc. 106,583 1,061,567
-----------------
Total Materials
(Cost $138,032,043) 198,041,089
-----------------
Energy -- (7.7%)
Adams Resources & Energy, Inc. 2,200 37,070
Arch Coal, Inc. 51,000 2,470,950
* Atwood Oceanics, Inc. 1,100 63,019
* Bolt Technology Corp. 5,600 32,760
* Brigham Exploration Co. 5,000 42,300
Cabot Oil & Gas Corp. 85,050 2,666,317
* Callon Petroleum Co. 146,600 2,074,390
Castle Energy Corp. 45,800 595,400
Chesapeake Energy Corp. 53,200 1,089,004
* # Cimarex Energy Co. 42,600 1,603,038
* Clayton Williams Energy, Inc. 35,700 975,324
* Comstock Resources, Inc. 131,300 2,996,266
* Dawson Geophysical Co. 4,600 95,680
* Denbury Resources, Inc. 136,400 4,362,072
* Dril-Quip, Inc. 50,900 1,392,115
* Edge Petroleum Corp. 52,514 715,766
* Energy Partners, Ltd. 86,500 1,976,525
* Forest Oil Corp. 168,200 6,687,632
* Giant Industries, Inc. 90,700 2,613,067
Gulf Island Fabrication, Inc. 23,700 476,370
* Gulfmark Offshore, Inc. 139,796 3,503,288
* Hanover Compressor Co. 319,200 3,329,256
* Harvest Natural Resources, Inc. 69,800 756,632
Helmerich & Payne, Inc. 170,300 7,062,341
Holly Corp. 66,000 2,523,180
* # Horizon Offshore, Inc. 86,666 27,300
* Houston Exploration Co. 108,612 5,535,954
* # Infinity, Inc. 16,650 137,362
* Input/Output, Inc. 460,800 2,732,544
* Key Energy Group, Inc. 400,100 4,397,099
* Lone Star Technologies, Inc. 700 29,015
Lufkin Industries, Inc. 40,400 1,164,732
* Magnum Hunter Resources, Inc. 244,820 3,784,917
Maritrans, Inc. 10,600 253,234
MarkWest Hydrocarbon, Inc. 23,374 510,488
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Massey Energy Co. 271,970 10,995,747
* # Matrix Service Co. 158,023 652,635
* Meridian Resource Corp. 410,265 1,858,500
* Mission Resources Corp. 73,790 521,695
* Mitcham Industries, Inc. 55,000 386,100
* NATCO Group, Inc. Class A 73,200 787,632
* Newfield Exploration Co. 2,978 114,504
* Newpark Resources, Inc. 524,400 3,198,840
Noble Energy, Inc. 25,258 1,878,437
* NS Group, Inc. 2,080 59,946
* Oceaneering International, Inc. 5,300 193,450
* Offshore Logistics, Inc. 89,400 2,800,008
* Oil States International, Inc. 117,500 2,721,300
Overseas Shipholding Group, Inc. 113,600 6,940,960
* Parallel Petroleum Corp. 36,950 251,629
* Parker Drilling Co. 121,100 690,270
Patterson-UTI Energy, Inc. 11,800 312,582
Penn Virginia Corp. 51,980 2,145,215
* Petroleum Development Corp. 42,750 1,117,057
* Plains Exploration & Production Co. 148,812 4,546,207
* Pride International, Inc. 171,049 3,857,155
Range Resources Corp. 128,000 2,956,800
Resource America, Inc. 104,439 3,548,837
RPC, Inc. 21,300 314,601
* Seabulk International, Inc. 180,000 3,529,800
* SEACOR Holdings, Inc. 63,350 3,678,101
* Spinnaker Exploration Co. 129,500 3,971,765
St. Mary Land & Exploration Co. 20,000 520,400
* Stone Energy Corp. 103,052 4,434,328
* Superior Energy Services, Inc. 63,600 995,340
* Swift Energy Corp. 134,400 4,589,760
* Tel Offshore Trust 3,559 25,874
Tesoro Petroleum Corp. 121,973 5,318,023
* TETRA Technologies, Inc. 43,000 1,186,800
* TransMontaigne, Inc. 305,000 2,525,400
* # U.S. Energy Corp. Wyoming 4,600 18,492
* Unit Corp. 71,100 2,774,322
* Universal Compression Holdings, Inc. 121,600 4,158,720
USEC, Inc. 329,800 4,501,770
* Veritas DGC, Inc. 105,900 2,859,300
Vintage Petroleum, Inc. 373,100 10,305,022
* W-H Energy Services, Inc. 56,600 1,226,522
* Whiting Petroleum Corp. 10,218 353,338
World Fuel Services Corp. 52,200 1,375,470
-----------------
Total Energy
(Cost $94,945,927) 179,911,061
-----------------
Health Care -- (6.3%)
* Abiomed, Inc. 10,644 99,734
* Accelrys, Inc. 245,787 1,297,755
* Air Methods Corp. 97,710 662,474
* Albany Molecular Research, Inc. 205,967 2,453,067
* Allied Healthcare International, Inc. 2,100 14,532
* Allied Healthcare Products, Inc. 17,500 90,475
* Allos Therapeutics, Inc. 13,800 28,980
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* Allscripts Healthcare Solutions, Inc. 2,400 39,264
Alpharma, Inc. Class A 326,300 4,199,481
* American Dental Partners, Inc. 24,200 581,526
American Shared Hospital Services 9,600 57,600
Analogic Corp. 77,653 3,299,476
* Angeion Corp. 6 14
* Arena Pharmaceuticals, Inc. 239,209 1,638,582
* Arqule, Inc. 90,526 592,945
Atrion Corp. 4,000 261,400
* ATS Medical, Inc. 72,258 234,838
* Avigen, Inc. 191,424 572,358
* Beverly Enterprises, Inc. 166,500 2,059,605
* Bio-Rad Laboratories, Inc. Class A 12,300 662,724
* BioScrip, Inc. 231,863 1,212,643
* Biosource International, Inc. 27,000 274,320
* Bruker BioSciences Corp. 458,833 1,927,099
* Caliper Life Sciences, Inc. 241,481 1,487,523
* Candela Corp. 54,915 561,780
* Cantel Medical Corp. 14,725 452,073
* Capital Senior Living Corp. 224,900 1,362,894
* Cardiac Sciences, Inc. 4,373 4,286
* # Cell Genesys, Inc. 86,126 500,392
* Cerus Corp. 15,009 61,387
Chemed Corp. 13,400 566,552
* Cholestech Corp. 8,290 75,853
CNS, Inc. 32,700 686,700
* Coast Dental Services, Inc. 1,766 6,358
* Compex Technologies, Inc. 101,520 381,715
* Conmed Corp. 93,719 2,937,153
* Cross Country Healthcare, Inc. 221,309 3,751,188
* # CryoLife, Inc. 28,900 209,525
* # CuraGen Corp. 122,723 525,254
* # Curative Health Services, Inc. 87,136 223,940
D&K Healthcare Resources, Inc. 117,979 962,709
Datascope Corp. 37,124 1,130,055
* Dendreon Corp. 12,738 67,384
* # Digital Angel Corp. 163,300 640,136
* Discovery Partners International, Inc. 235,325 694,209
* DJ Orthopedics, Inc. 17,300 480,075
* DUSA Pharmaceuticals, Inc. 18,900 211,491
* # Dynacq Healthcare, Inc. 17,000 80,070
* Emisphere Technologies, Inc. 25,409 98,587
* Encore Medical Corp. 45,362 230,439
E-Z-EM, Inc. 3,600 52,992
* First Horizon Pharmaceutical Corp. 162,172 3,048,834
* Fischer Imaging Corp. 3,200 8,896
* Five Star Quality Care, Inc. 38,100 259,842
* Gene Logic, Inc. 277,587 935,468
* Genesis HealthCare Corp. 45,108 1,961,747
* Gentiva Health Services, Inc. 16,300 259,007
* GTC Biotherapeutics, Inc. 18,924 25,358
* Guilford Pharmaceuticals, Inc. 2,767 6,973
* Hanger Orthopedic Group, Inc. 212,100 1,081,710
* Harvard Bioscience, Inc. 238,374 767,564
* HealthTronics Surgical Services, Inc. 136,007 1,725,929
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* Hi-Tech Pharmacal, Inc. 11,600 348,696
* HMS Holdings Corp. 82,400 510,880
* Hologic, Inc. 18,128 667,292
Hooper Holmes, Inc. 519,300 2,077,200
* Horizon Health Corp. 22,880 1,003,288
* Human Genome Sciences, Inc. 138,991 1,567,818
* Humana, Inc. 172,224 6,262,065
* Illumina, Inc. 3,867 40,603
* ImmunoGen, Inc. 126,750 755,430
* Impath, Inc. 49,705 220,690
* Incyte Corp. 50,700 386,841
* IntegraMed America, Inc. 2,300 24,035
* Intermagnetics General Corp. 14,395 415,584
* Iridex Corp. 6,200 37,200
* Kendle International, Inc. 111,321 1,283,531
Kewaunee Scientific Corp. 5,000 39,950
* Kindred Healthcare, Inc. 124,200 4,791,636
* LabOne, Inc. 8,800 339,152
LCA-Vision, Inc. 48,846 2,158,016
* Lexicon Genetics, Inc. 18,718 90,595
* Lifecore Biomedical, Inc. 59,233 755,813
* LifePoint Hospitals, Inc. 7,464 335,731
Manor Care, Inc. 69,100 2,685,226
* Matria Healthcare, Inc. 56,950 1,622,505
* Maxim Pharmaceuticals, Inc. 151,629 230,476
* Maxygen, Inc. 120,127 940,594
* Medarex, Inc. 89 675
* MedCath Corp. 91,959 2,382,658
* Medical Staffing Network Holdings, Inc. 242,500 1,316,775
* MEDTOX Scientific, Inc. 21,900 131,400
Mesa Laboratories, Inc. 60 749
* Microtek Medical Holdings, Inc. 254,531 895,949
* Molecular Devices Corp. 126,296 2,440,039
* Nabi Biopharmaceuticals 115,000 1,413,350
* Nanogen, Inc. 23,000 93,840
National Home Health Care Corp. 9,481 125,813
* Natus Medical, Inc. 44,000 444,400
NDCHealth Corp. 185,800 3,114,008
* Neose Technologies, Inc. 24,300 63,909
* Neurogen Corp. 89,520 605,155
* New Brunswick Scientific Co., Inc. 8,738 46,748
* NMT Medical, Inc. 5,900 51,625
* North American Scientific, Inc. 84,509 253,527
* NovaMed, Inc. 113,374 701,785
* Novoste Corp. 41,007 34,036
* Nutraceutical International Corp. 17,800 234,782
NWH, Inc. 20,800 312,000
* # OCA, Inc. 437,100 1,792,110
Omnicare, Inc. 148,000 5,671,360
Option Care, Inc. 80,607 1,072,073
* Orthologic Corp. 81,505 330,910
* Oscient Pharmaceutical Corp. 244,355 403,186
* Osteotech, Inc. 138,714 400,883
* PacifiCare Health Systems, Inc. 164,800 10,354,384
* Parexel International Corp. 61,985 1,131,226
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* PDI, Inc. 42,752 513,024
* Pediatric Services of America, Inc. 60,841 802,493
* Pediatrix Medical Group, Inc. 22,600 1,664,038
Perrigo Co. 19,926 309,650
* Pharmacopia Drug Discovery, Inc. 58,148 281,436
* # Pharmacyclics, Inc. 28,677 229,990
PolyMedica Corp. 85,900 3,015,090
* PRAECIS Pharmaceuticals, Inc. 154,200 101,772
* PSS World Medical, Inc. 121,739 1,429,216
* Pure World, Inc. 5,600 11,088
* Quidel Corp. 123,239 539,787
* Radiologix, Inc. 153,500 603,255
* RehabCare Group, Inc. 47,500 1,320,025
* Res-Care, Inc. 99,600 1,327,668
* Rochester Medical Corp. 3,400 35,224
* Sangamo BioSciences, Inc. 141,655 531,206
* Savient Pharmaceuticals, Inc. 79,700 267,792
* Schein (Henry), Inc. 11,811 475,865
* Seattle Genetics, Inc. 13,700 66,171
* Sequenom, Inc. 47,150 44,792
* Serologicals Corp. 780 16,762
* Sonic Innovations, Inc. 167,695 729,473
* Specialty Laboratories, Inc. 73,100 600,882
* SRI/Surgical Express, Inc. 19,100 86,618
* # Staar Surgical Co. 52,457 206,156
* Strategic Diagnostics, Inc. 51,150 143,731
* # Sunrise Senior Living, Inc. 76,100 3,968,615
* Synovis Life Technologies, Inc. 97,805 748,208
* Theragenics Corp. 282,600 969,318
* Third Wave Technologies, Inc. 56,259 211,534
* Thoratec Corp. 175,637 2,624,017
* Titan Pharmaceuticals, Inc. 115,900 249,185
* Transgenomic, Inc. 5,100 3,468
* # Transkaryotic Therapies, Inc. 2,140 72,739
* Triad Hospitals, Inc. 16,700 847,024
* Tripos, Inc. 4,500 16,200
* TriZetto Group, Inc. 3,708 51,467
Valeant Pharmaceuticals International 1,671 34,473
* Viasys Healthcare, Inc. 15,800 367,350
* Vical, Inc. 90,846 345,215
* Virologic, Inc. 130,019 354,952
Vital Signs, Inc. 9,669 407,742
West Pharmaceutical Services, Inc. 6,100 169,824
* Wilson Greatbatch Technologies, Inc. 146,700 3,526,668
* Zoll Medical Corp. 31,622 750,706
-----------------
Total Health Care
(Cost $99,631,925) 147,267,051
-----------------
Consumer Staples -- (4.1%)
* Alico, Inc. 8,600 442,900
Alliance One International, Inc. 501,975 3,217,660
# American Italian Pasta Co. 123,900 2,850,939
Cal-Maine Foods, Inc. 25,500 165,495
Casey's General Stores, Inc. 183,817 3,316,059
* Central Garden & Pet Co. 47,568 2,109,641
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Chiquita Brands International, Inc. 147,300 4,283,484
Corn Products International, Inc. 295,200 6,520,968
Flowers Foods, Inc. 127,225 4,153,896
* # Great Atlantic & Pacific Tea Co., Inc. 245,500 6,120,315
* Griffin Land & Nurseries, Inc. Class A 1,900 45,600
* Hain Celestial Group, Inc. 126,981 2,285,658
Imperial Sugar Co. (New) 89,205 1,373,757
Ingles Market, Inc. Class A 62,932 795,460
# Inter Parfums, Inc. 17,450 309,737
* # Interstate Bakeries Corp. 170,600 1,115,724
J & J Snack Foods Corp. 18,840 929,942
J. M. Smucker Co. 28,274 1,408,328
* Katy Industries, Inc. 1,000 3,490
Lance, Inc. 215,350 3,807,388
Longs Drug Stores Corp. 136,300 5,593,752
* M&F Worldwide Corp. 152,938 1,956,077
Marsh Supermarkets, Inc. Class A 3,100 34,875
MGP Ingredients, Inc. 56,841 475,191
* Monterey Pasta Co. 131,331 396,620
Nash Finch Co. 71,948 2,559,910
* Natrol, Inc. 11,400 31,920
Nature's Sunshine Products, Inc. 50,008 823,632
* NeighborCare, Inc. 8,700 261,087
Oil-Dri Corp. of America 27,600 471,960
* Omega Protein Corp. 164,529 1,168,156
* # Parlux Fragrances, Inc. 12,900 322,242
* Pathmark Stores, Inc. 258,315 2,311,919
* Performance Food Group Co. 152,982 4,139,693
Pilgrim's Pride Corp. 160,000 5,640,000
* PriceSmart, Inc. 155,215 1,086,505
Pyramid Breweries, Inc. 12,400 23,426
Ralcorp Holdings, Inc. 4,900 186,886
* # Redhook Ale Brewery, Inc. 32,600 99,430
Ruddick Corp. 149,700 3,597,291
* San Filippo (John B.) & Son, Inc. 62,875 1,329,806
Sanderson Farms, Inc. 6,850 259,615
* # Scheid Vineyards, Inc. 13,600 78,880
Seaboard Corp. 2,800 3,766,000
* Smart & Final Food, Inc. 160,100 1,737,085
* Spartan Stores, Inc. 118,729 1,531,604
Tasty Baking Co. 64,600 516,800
The Topps Co., Inc. 83,078 774,287
Universal Corp. 99,300 4,408,920
* Weider Nutrition International, Inc. 600 2,448
Weis Markets, Inc. 78,328 2,877,771
* Wild Oats Markets, Inc. 126,330 1,419,949
* # Winn-Dixie Stores, Inc. 673,300 706,965
-----------------
Total Consumer Staples
(Cost $70,659,592) 95,847,143
-----------------
Telecommunication Services -- (0.9%)
* American Tower Corp. 6,370 114,915
* Boston Communications Group, Inc. 151,871 211,101
* Crown Castle International Corp. 97,200 1,728,216
CT Communications, Inc. 85,425 1,033,643
29
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D&E Communications, Inc. 57,964 468,929
* General Communications, Inc. Class A 153,306 1,263,241
Hector Communications Corp. 3,300 75,900
* IDT Corp. 89,400 1,206,006
* IDT Corp. Class B 413,600 5,666,320
* LCC International, Inc. Class A 166,586 594,712
* Metro One Telecommunications, Inc. 2,048 1,925
* Premiere Global Services, Inc. 75,745 852,131
* Price Communications Corp. 106,780 1,835,548
* SBA Communications Corp. 3,655 40,863
SureWest Communications 84,758 2,017,240
* TALK America Holdings, Inc. 235,532 2,093,879
* Teleglobe International Holdings, Ltd. 29,070 69,187
* Time Warner Telecom, Inc. 279,631 1,426,118
* Wireless Facilities, Inc. 90,931 468,295
* WQN, Inc. 4,800 9,456
* Xeta Corp. 41,300 132,160
-----------------
Total Telecommunication Services
(Cost $19,201,782) 21,309,785
-----------------
Utilities -- (0.4%)
* BayCorp Holdings, Ltd. 182 2,521
Chesapeake Utilities Corp. 2,400 69,168
Delta Natural Gas Co., Inc. 1,700 43,724
* Dynegy, Inc. 128,850 599,153
Empire District Electric Co. 1,400 32,172
Energen Corp. 18,100 1,179,758
New Jersey Resources Corp. 49,300 2,223,430
* Reliant Energy, Inc. 13,200 162,360
South Jersey Industries, Inc. 51,600 2,925,720
* Southern Union Co. 76,301 1,867,096
-----------------
Total Utilities
(Cost $6,052,784) 9,105,102
-----------------
Real Estate Investment Trusts -- (0.0%)
New Century Financial Corp. 1,950 99,353
-----------------
Total Real Estate Investment Trusts 99,353
(Cost $14,495)
-----------------
Other -- (0.0%)
* ePresence, Inc. Escrow Shares 49,500 6,435
* Petrocorp, Inc. Escrow Shares 4,900 294
* Suburban Lodges of America, Inc. Escrow Shares 29,300 0
* Trump Entertainment Resorts, Inc. 27 359
-----------------
Total Other 7,088
(Cost $81,194)
-----------------
TOTAL COMMON STOCKS
(Cost $1,576,750,092) 2,222,431,883
-----------------
RIGHTS/WARRANTS -- (0.0%)
Other -- (0.0%)
* # Angeion Corp. Warrants 10/31/20 6 0
* Chart Industries, Inc. Warrants 09/15/10 25 637
* Chiquita Brands International, Inc. Warrants 03/19/09 11,137 121,505
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* Del Global Technologies Corp. Warrants 03/28/08 131 197
* Foster Wheelers, Ltd. Warrants 09/24/07 3,100 0
* # RCN Corp. Warrants 12/21/06 14 0
* Timco Aviation Services, Inc. Warrants 02/27/07 5,332 1
* Trump Entertainment Resorts, Inc. Warrants 05/23/06 3,054 0
* Virologic, Inc. Contingent Value Rights 267,979 46,896
-----------------
Total Other
(Cost $390,111) 169,236
-----------------
Consumer Discretionary -- (0.0%)
* Lodgian, Inc. Class A Warrants 11/25/07 118 4
* Lodgian, Inc. Class B Warrants 11/25/09 363 7
-----------------
Total Consumer Discretionary
(Cost $0) 11
-----------------
TOTAL RIGHTS/WARRANTS
(Cost $390,111) 169,247
-----------------
FACE
AMOUNT VALUE+
----------------- -----------------
(000)
BONDS -- (0.0%)
Other -- (0.0%)
* Del Global Technologies Corp. Subordinated Promissory Note
6.000%, 03/28/07 $ 0 0
* Timco Aviation Services, Inc. Jr. Subordinated Note
8.000%, 01/02/07 2 0
-----------------
Total Other
(Cost $0) 0
-----------------
TOTAL BONDS
(Cost $0) 0
-----------------
TEMPORARY CASH INVESTMENTS -- (5.3%)
^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.92%, 06/01/05
(Collateralized by $259,490,000 U.S. STRIPS 6.125%, 11/15/27, valued
at $93,237,352 to be repurchased at $91,415,273 (Cost $91,407,859) 91,408 91,407,859
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $33,152,000 FHLMC Notes 4.00%, 09/22/09, valued at
$33,193,440) to be repurchased at $32,704,625 (Cost $32,702,000) 32,702 32,702,000
-----------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $124,109,859) 124,109,859
-----------------
TOTAL INVESTMENTS - (100.0%)
(Cost $1,701,250,062) $ 2,346,710,989
=================
31
----------
+ See Note B to Financial Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
32
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
[Download Table]
SHARES VALUE+
----------------- -----------------
COMMON STOCKS -- (95.7%)
Information Technology -- (19.8%)
* 3Com Corp. 56,000 $ 204,960
* Access Integrated Technologies, Inc. 700 4,410
* Actel Corp. 26,264 388,445
* ActivCard Corp. 50,089 206,367
* Activision, Inc. 121,800 1,919,568
* Actuate Corp. 72,574 155,308
Acxiom Corp. 49,200 907,740
* Adaptec, Inc. 100,344 399,369
* ADDvantage Technologies Group, Inc. 2,600 8,138
* ADE Corp. 1,000 22,430
* Adept Technology, Inc. 660 5,313
Adtran, Inc. 33,700 740,389
* Advanced Digital Information Corp. 60,700 417,009
* Advanced Energy Industries, Inc. 33,500 319,590
* Advanced Power Technology, Inc. 14,800 95,460
* Advent Software, Inc. 39,578 793,935
* Aehr Test Systems 1,400 4,228
* Aeroflex, Inc. 68,103 544,824
* Agile Software Corp. 60,800 392,160
Agilysys, Inc. 25,800 396,804
* Airspan Networks, Inc. 54,700 261,466
* Akamai Technologies, Inc. 39,800 558,792
Allen Organ Co. Class B 700 38,973
* Alliance Semiconductor Corp. 25,668 43,122
* Altiris, Inc. 11,000 206,800
American Software, Inc. Class A 17,693 91,296
* American Technical Ceramics Corp. 4,900 51,156
* Amkor Technology, Inc. 138,800 492,740
* Amtech Systems, Inc. 1,200 7,188
* Anadigics, Inc. 25,106 41,174
* Analex Corp. 20,200 66,054
* Analysts International Corp. 34,400 113,176
* Anaren, Inc. 23,498 278,216
* Andrew Corp. 94,717 1,255,947
* Anixter International, Inc. 32,818 1,240,849
* Ansoft Corp. 11,834 263,898
* AnswerThink, Inc. 63,997 253,428
* Ansys, Inc. 18,000 600,120
* Anteon International Corp. 10,200 450,738
* Apogee Technology, Inc. 6,400 7,744
* Applied Films Corp. 18,505 497,785
* Applied Innovation, Inc. 8,400 40,908
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* Applied Micro Circuits Corp. 213,969 614,091
* Applix, Inc. 3,800 18,316
* Apropos Technology, Inc. 25,900 66,563
* aQuantive, Inc. 63,300 974,187
* Ariba, Inc. 50,558 309,921
* Arris Group, Inc. 109,900 951,734
* Ask Jeeves, Inc. 25,000 760,250
* Aspect Communications Corp. 57,400 551,040
* # Aspen Technology, Inc. 49,400 258,856
* Astea International, Inc. 100 739
Astro-Med, Inc. 1,741 15,234
* Asyst Technologies, Inc. 46,400 195,344
* Atari, Inc. 130,838 323,170
* Atmel Corp. 77,023 231,069
* ATMI, Inc. 22,400 629,440
* August Technology Corp. 22,500 255,825
* Authentidate Holding Corp. 54,600 160,524
* autobytel.com, Inc. 43,600 211,896
* # Avanex Corp. 23,729 23,966
* Avici Systems, Inc. 15,480 69,041
* Avid Technology, Inc. 17,000 996,880
* Avocent Corp. 37,990 1,063,720
* Aware, Inc. 34,100 225,060
* Axcelis Technologies, Inc. 76,500 508,725
* Axesstel, Inc. 18,300 68,259
* # AXS-One, Inc. 27,000 45,360
* AXT, Inc. 11,591 14,605
* Bankrate, Inc. 1,300 23,751
* BearingPoint, Inc. 147,200 964,160
BEI Technologies, Inc. 10,800 277,668
Bel Fuse, Inc. Class A 700 17,703
Belden CDT, Inc. 28,950 582,474
* Bell Industries, Inc. 4,400 9,724
* Bell Microproducts, Inc. 41,634 341,399
* Benchmark Electronics, Inc. 33,700 1,067,279
* BindView Development Corp. 49,560 154,627
* Bitstream, Inc. 3,900 10,764
Black Box Corp. 11,438 393,238
* Blonder Tongue Laboratories, Inc. 1,300 3,770
* Blue Coat Systems, Inc. 15,500 300,855
Bogen Communications International, Inc. 5,100 24,353
* # Bookham, Inc. 789 2,209
* Borland Software Corp. 55,556 355,558
* Bottomline Technologies, Inc. 22,381 303,934
* Brightpoint, Inc. 23,625 444,150
* # BroadVision, Inc. 18,259 25,563
* Brocade Communications Systems, Inc. 165,126 645,643
* Brooks Automation, Inc. 38,460 579,977
* Brooktrout, Inc. 17,800 177,466
* Cabot Microelectronics Corp. 12,000 375,960
* CACI International, Inc. Class A 17,900 1,153,834
* CalAmp Corp. 32,900 217,140
* California Micro Devices Corp. 22,495 107,976
* Callidus Software 4,335 14,956
* CAM Commerce Solutions, Inc. 1,400 22,036
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* Captaris, Inc. 46,100 166,882
* Captiva Software Corp. 9,500 127,490
* Carreker Corp. 11,700 61,425
* Carrier Access Corp. 48,100 231,842
* Catalyst Semiconductor, Inc. 26,350 119,629
* Catapult Communications Corp. 18,300 257,481
* CCC Information Services Group, Inc. 13,600 317,968
* C-COR, Inc. 52,192 359,081
* CDC Corp. 1,811 4,528
Celeritek, Inc. 1,000 820
* Celestica, Inc. 5,050 64,388
* CellStar Corp. 27,713 36,027
* Centillium Communications, Inc. 47,500 104,025
* Centra Software, Inc. 27,300 46,956
* Cenuco, Inc. 10,400 34,424
* CEVA, Inc. 27,325 198,926
* CheckFree Corp. 23,900 892,187
* Checkpoint Systems, Inc. 41,400 729,468
* Cherokee International Corp. 14,562 59,850
* Chordiant Software, Inc. 57,342 98,055
* Ciber, Inc. 82,751 674,421
* Ciena Corp. 143,800 313,484
* Ciprico, Inc. 700 3,045
* Cirrus Logic, Inc. 97,893 507,086
* Citrix Systems, Inc. 3,000 75,480
* Clarus Corp. 22,400 172,480
* ClearOne Communications, Inc. 900 3,006
* CMGI, Inc. 34,000 74,120
* CNET Networks, Inc. 65,500 679,890
Cognex Corp. 22,600 586,696
* Cognitronics Corp. 2,300 8,694
* Coherent, Inc. 26,400 866,712
Cohu, Inc. 18,800 361,336
* Comarco, Inc. 5,800 46,342
* # Commerce One, Inc. 1,966 248
* CommScope, Inc. 47,800 808,776
Communications Systems, Inc. 2,900 29,290
* Computer Horizons Corp. 39,000 113,100
* Computer Network Technology Corp. 34,200 171,000
* Computer Task Group, Inc. 23,700 82,950
* Comtech Telecommunications Corp. 22,458 812,306
* Concord Communications, Inc. 25,700 434,844
* Concur Technologies, Inc. 20,800 199,472
* Concurrent Computer Corp. 44,955 81,818
* Conexant Systems, Inc. 1,422 2,033
* Convera Corp. 37,755 162,724
* Copper Mountain Networks, Inc. 3,250 2,990
* Corillian Corp. 47,134 151,536
* Cosine Communications, Inc. 13,200 31,020
* Covansys Corp. 31,600 387,100
* Cray, Inc. 91,768 133,981
* Credence Systems Corp. 68,564 543,027
* # Cree, Inc. 49,600 1,489,984
* Crossroads Systems, Inc. 967 909
* CSG Systems International, Inc. 41,600 791,232
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* CSP, Inc. 1,400 13,734
CTS Corp. 28,500 303,525
* Cyberguard Corp. 46,801 300,462
* Cyberoptics Corp. 14,235 183,062
* Cybersource Corp. 39,400 264,374
* Cymer, Inc. 31,700 900,597
* Cypress Semiconductor Corp. 106,900 1,382,217
* Daktronics, Inc. 18,644 434,219
* Dataram Corp. 13,233 77,545
* Datastream Systems, Inc. 8,300 49,219
* Datawatch Corp. 532 2,234
* Delphax Technologies, Inc. 5,000 18,665
* Digi International, Inc. 30,100 353,073
* Digimarc Corp. 24,681 125,873
* Digital Insight Corp. 43,700 950,038
* Digital River, Inc. 15,100 415,552
* Digital Theater Systems, Inc. 19,600 334,964
* Digitas, Inc. 74,633 826,187
* Diodes, Inc. 6,900 229,425
* Dionex Corp. 10,200 457,470
* Ditech Communications Corp. 41,900 302,099
* DocuCorp International, Inc. 16,277 109,056
* Dot Hill Systems Corp. 69,500 369,045
* DoubleClick, Inc. 101,356 834,160
* DSP Group, Inc. 25,600 602,112
* Dynamics Research Corp. 9,400 139,966
* E.piphany, Inc. 87,546 305,536
* EarthLink, Inc. 113,401 1,203,185
* Echelon Corp. 42,951 295,073
* eCollege.com 32,161 332,223
* EDGAR Online, Inc. 19,600 56,644
* Edgewater Technology, Inc. 8,267 35,961
* EFJ, Inc. 700 4,970
* eFunds Corp. 42,700 863,394
* Electro Scientific Industries, Inc. 27,800 498,732
* Electroglas, Inc. 32,160 110,952
* Electronics for Imaging, Inc. 41,800 794,200
* eLoyalty Corp. 2,400 11,880
* Embarcadero Technologies, Inc. 24,557 140,220
* EMCORE Corp. 73,265 290,862
* EMS Technologies, Inc. 16,700 225,450
* Emulex Corp. 54,200 1,024,380
* Endwave Corp. 2,600 93,730
* Entegris, Inc. 63,357 614,563
* Enterrasys Networks, Inc. 23,190 21,567
* Entrust, Inc. 87,050 356,035
* Epicor Software Corp. 23,900 294,687
* EPIQ Systems, Inc. 26,885 439,570
* ePlus, Inc. 13,170 163,321
* Equinix, Inc. 16,900 643,890
* ESS Technology, Inc. 50,800 209,296
* Euronet Worldwide, Inc. 16,600 465,464
* Evans & Sutherland Computer Corp. 4,900 25,162
* Exar Corp. 54,993 791,899
* Excel Technology, Inc. 16,378 410,269
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* Extended Systems, Inc. 200 682
* Extreme Networks, Inc. 100,716 460,272
* F5 Networks, Inc. 16,879 864,374
Factset Research Systems, Inc. 18,800 601,788
Fair Isaac Corp. 27,471 940,882
* Fairchild Semiconductor Corp. Class A 13,900 198,770
* # FalconStor Software, Inc. 27,200 198,832
* Fargo Electronics 17,087 308,420
* Faro Technologies, Inc. 12,700 353,314
* FEI Co. 29,694 618,229
* Filenet Corp. 28,100 782,866
* FindWhat.com 35,811 190,515
* Finisar Corp. 91,931 109,398
* Flir Systems, Inc. 26,000 696,800
* Forgent Networks, Inc. 33,352 60,034
* FormFactor, Inc. 24,500 637,490
* Forrester Research, Inc. 28,303 467,000
* Foundry Networks, Inc. 113,000 1,044,120
Frequency Electronics, Inc. 1,500 17,550
* FSI International, Inc. 39,824 149,738
* Gartner Group, Inc. 40,900 405,728
* Gartner, Inc. 4,600 45,264
* Gateway, Inc. 173,750 601,175
* Genesis Microchip, Inc. 29,389 486,388
* Gerber Scientific, Inc. 33,900 250,182
* Giga-Tronics, Inc. 200 810
* Glenayre Technologies, Inc. 82,471 263,907
* # Global e-Point, Inc. 18 54
* Global Imaging Systems, Inc. 20,300 645,337
* Globecomm Systems, Inc. 7,600 42,256
* Glowpoint, Inc. 29,319 38,994
* GoRemote Internet Communications, Inc. 22,873 35,682
* GSE Systems, Inc. 800 1,416
* GTSI Corp. 11,687 95,600
* Harmonic, Inc. 71,000 442,330
* Hauppauge Digital, Inc. 2,675 10,299
Helix Technology Corp. 22,400 282,464
Henry Jack & Associates, Inc. 19,100 337,879
* Hewitt Associates, Inc. Class A 4,900 124,705
* HI/FN, Inc. 4,800 31,872
* HomeStore, Inc. 88,435 184,829
* Hutchinson Technology, Inc. 22,100 914,277
* Hypercom Corp. 66,900 424,815
* Hyperion Solutions Corp. 22,070 973,949
* I.D. Systems, Inc. 685 10,248
* # Ibis Technology Corp. 2,256 2,843
* Identix, Inc. 107,621 590,839
* iGATE Capital Corp. 75,919 331,766
* # ImageWare Systems, Inc. 1,900 6,327
Imation Corp. 18,800 709,888
* Immersion Corp. 25,100 147,086
* Indus International, Inc. 11,400 25,650
* # Infocrossing, Inc. 24,501 268,531
* InFocus Corp. 50,853 211,548
* Informatica Corp. 88,200 756,756
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Inforte Corp. 11,600 39,788
* InfoSpace, Inc. 27,600 936,192
infoUSA, Inc. 58,164 702,621
* Innodata Isogen, Inc. 26,900 80,431
* Innovex, Inc. 22,300 75,374
Integral Systems, Inc. 4,700 102,225
* Integrated Circuit Systems, Inc. 34,600 733,174
* Integrated Device Technology, Inc. 88,828 1,086,366
* Integrated Silicon Solution, Inc. 52,593 344,484
* Intelli-Check, Inc. 5,700 31,407
* Intelligent Systems Corp. 700 1,456
* # Intellisync Corp. 90,437 241,467
* Interactive Intelligence, Inc. 15,204 74,196
* Interdigital Communications Corp. 29,600 546,416
* Intergraph Corp. 31,700 995,063
* Interland, Inc. 19,110 36,309
* Interlink Electronics, Inc. 18,750 100,125
* Intermix Media, Inc. 34,900 206,957
* Internet Commerce Corp. 1,100 1,782
* Internet Security Systems, Inc. 39,900 885,780
* Interphase Corp. 3,200 22,560
Intersil Corp. 7,688 144,227
Inter-Tel, Inc. 20,000 410,600
* Intervoice, Inc. 29,900 267,904
* Interwoven, Inc. 48,262 384,166
* Intest Corp. 3,800 13,638
* Intevac, Inc. 26,084 271,534
* Intrado, Inc. 28,900 369,631
* Intraware, Inc. 2,000 780
* # Intrusion, Inc. 1,600 4,512
* Iomega Corp. 78,200 241,638
* iPass, Inc. 33,900 209,163
* # IPIX Corp. 4,300 11,481
* I-Sector Corp. 4,600 37,444
* # Island Pacific, Inc. 29 5
* Iteris, Inc. 15,300 40,239
* Itron, Inc. 23,700 974,307
* iVillage, Inc. 73,400 442,602
* Ixia 53,300 980,187
* IXYS Corp. 44,794 619,501
* j2 Global Communication, Inc. 15,900 557,772
* Jaco Electronics, Inc. 150 471
* JDA Software Group, Inc. 38,700 500,004
* Jupitermedia Corp. 29,200 532,900
* Keane, Inc. 52,824 708,898
Keithley Instruments, Inc. 10,600 156,138
* Kemet Corp. 103,316 723,212
* Key Tronic Corp. 800 2,944
* Keynote Systems, Inc. 11,900 138,040
* Kintera, Inc. 5,800 17,922
* Komag, Inc. 33,500 966,475
* Kopin Corp. 90,475 348,329
* Kronos, Inc. 16,337 737,779
* Kulicke & Soffa Industries, Inc. 59,100 343,371
Landauer, Inc. 5,500 268,675
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* # LaserCard Corp. 10,634 63,804
* Lattice Semiconductor Corp. 120,200 507,244
* Lawson Software, Inc. 122,000 722,240
* LeCroy Corp. 18,400 302,864
* # Lexar Media, Inc. 96,100 482,422
* Lightbridge, Inc. 37,209 233,673
* Lionbridge Technologies, Inc. 47,198 235,046
* Littlefuse, Inc. 18,100 544,448
* LogicVision, Inc. 27,000 48,600
* Logility, Inc. 1,700 7,650
* LoJack Corp. 16,700 246,158
Lowrance Electronics, Inc. 3,500 72,625
* LTX Corp. 67,499 323,320
* Macromedia, Inc. 37,240 1,646,753
* Macrovision Corp. 32,900 691,229
* Magma Design Automation, Inc. 37,641 299,999
* Management Network Group, Inc. 27,345 64,261
* Manchester Technologies, Inc. 900 5,643
* Manhattan Associates, Inc. 31,100 660,564
* Manugistic Group, Inc. 88,588 159,458
* Mapinfo Corp. 32,374 403,380
* MatrixOne, Inc. 69,900 319,443
* Mattson Technology, Inc. 64,478 504,218
Maximus, Inc. 20,600 706,374
* Maxtor Corp. 217,924 1,196,403
* Maxwell Technologies, Inc. 19,700 202,516
* McDATA Corp. 80,100 305,181
* Mechanical Technology, Inc. 1,900 6,783
* MedQuist, Inc. 30,859 401,476
* MEMC Electronic Materials, Inc. 11,500 157,550
* Mentor Graphics Corp. 68,500 704,180
* Merix Corp. 24,078 174,566
* MetaSolv, Inc. 49,155 101,751
Methode Electronics, Inc. 23,300 278,202
* Metrologic Instruments, Inc. 29,200 404,712
* Micrel, Inc. 49,081 569,340
* Micro Linear Corp. 16,500 96,525
* Micromuse, Inc. 38,000 238,640
* Micros Systems, Inc. 21,600 971,568
* Microsemi Corp. 45,400 936,602
* MicroStrategy, Inc. 6,200 345,340
* Microtune, Inc. 70,700 312,494
* # Midway Games, Inc. 47,600 421,260
* Mindspeed Technologies, Inc. 50,752 72,575
* MIPS Technologies, Inc. 50,691 436,956
* MKS Instruments, Inc. 40,781 681,043
* Mobility Electronics, Inc. 34,100 300,080
* Mobius Management Systems, Inc. 9,100 56,147
Mocon, Inc. 1,500 14,250
* Moldflow Corp. 17,200 227,040
* Monolithic System Technology, Inc. 29,700 165,429
* Motive, Inc. 10,400 90,376
* MPS Group, Inc. 86,400 810,432
* MRO Software, Inc. 30,600 459,000
* MRV Communications, Inc. 108,800 201,280
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* MSC.Software Corp. 32,600 335,291
* MSGI Security Solutions, Inc. 154 1,117
* MTM Technologies, Inc. 1,200 4,764
MTS Systems Corp. 16,100 513,751
* Mykrolis Corp. 51,100 689,339
* Nanometrics, Inc. 22,000 248,160
* # Napco Security Systems, Inc. 3,360 31,013
* Neoforma, Inc. 19,675 134,774
* NeoMagic Corp. 1,042 386
* NEON Systems, Inc. 4,800 14,880
* Neoware Systems, Inc. 26,700 270,204
* Net2Phone, Inc. 36,000 57,600
* NETGEAR, Inc. 16,100 316,687
* NetIQ Corp. 64,300 709,872
* NetManage, Inc. 9,157 58,147
* Netopia, Inc. 24,300 81,284
* NetRatings, Inc. 39,100 532,542
* Netscout System, Inc. 38,490 237,098
* Network Engines, Inc. 19,000 32,300
* Network Equipment Technologies, Inc. 40,300 225,277
* Newport Corp. 50,138 704,439
* NIC, Inc. 65,600 287,984
* Niku Corp. 16,400 246,656
* NMS Communications Corp. 77,402 251,557
* Novatel Wireless, Inc. 28,500 355,395
* Novell, Inc. 117,700 688,545
* Nu Horizons Electronics Corp. 24,395 143,443
* Nuance Communications, Inc. 25,700 121,047
* NumereX Corp. Class A 1,100 5,291
* NYFIX, Inc. 45,725 230,911
* O.I. Corp. 1,000 11,875
* # OmniVision Technologies, Inc. 43,800 692,916
* ON Semiconductor Corp. 141,800 638,100
* Online Resources Corp. 18,700 182,138
* ONYX Software Corp. 21,600 72,360
* Opent Technologies, Inc. 30,427 246,154
* Openwave Systems, Inc. 35,800 556,690
* Opsware, Inc. 68,700 341,439
* OPTi, Inc. 2,700 4,536
* Optical Cable Corp. 6,700 29,882
* Optical Communication Products, Inc. 37,248 66,674
* OSI Systems, Inc. 20,100 299,490
* Overland Storage, Inc. 20,962 203,122
* OYO Geospace Corp. 5,300 86,719
* Packeteer, Inc. 31,900 378,653
* # PalmOne, Inc. 44,900 1,276,058
* PalmSource, Inc. 24,139 242,114
* Panavision, Inc. 700 3,850
* PAR Technology Corp. 700 20,055
* Paradyne Networks Corp. 47,955 94,471
* Parametric Technology Corp. 90,200 543,004
Park Electrochemical Corp. 17,100 396,720
* # Parkervision, Inc. 21,713 97,709
* Parlex Corp. 7,300 43,070
* # Path 1 Network Technologies, Inc. 6,900 27,600
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* Paxar Corp. 38,231 673,630
* PC Connection, Inc. 38,683 197,670
* PC-Tel, Inc. 33,400 244,154
* PDF Solutions, Inc. 31,799 373,320
* PEC Solutions, Inc. 34,500 535,095
* Peerless Systems Corp. 15,100 54,662
* Pegasus Solutions, Inc. 31,800 342,168
* Pegasystems, Inc. 47,928 286,130
* Pemstar, Inc. 15,512 18,304
* Perceptron, Inc. 13,235 86,425
* Performance Technologies, Inc. 15,750 105,998
* Pericom Semiconductor Corp. 41,106 329,259
* Perot Systems Corp. 97,000 1,253,240
* Pervasive Software, Inc. 31,400 145,382
* Phoenix Technologies, Ltd. 39,800 323,176
* Photon Dynamics, Inc. 22,200 428,682
* Photronics, Inc. 39,195 902,661
* Pinnacle Systems, Inc. 71,100 420,201
* Pixelworks, Inc. 31,300 268,241
* Planar Systems, Inc. 17,100 137,484
Plantronics, Inc. 7,600 261,592
* PLATO Learning, Inc. 34,258 261,731
* Plexus Corp. 55,300 760,375
* Plumtree Software, Inc. 300 1,380
* PLX Technology, Inc. 40,100 305,562
* PMC-Sierra, Inc. 66,500 583,205
* Polycom, Inc. 71,600 1,225,076
* Portal Software, Inc. 44,748 88,154
* Power Intergrations, Inc. 31,035 739,254
* Powerwave Technologies, Inc. 83,261 760,173
* Presstek, Inc. 36,100 308,294
Printronix, Inc. 1,200 19,056
* Private Business, Inc. 454 735
* Progress Software Corp. 34,500 1,006,365
QAD, Inc. 21,600 151,632
Quality Systems, Inc. 8,200 493,066
* Quantum Corp. 211,800 550,680
* Quest Software, Inc. 84,800 1,121,480
* QuickLogic Corp. 39,098 170,858
* Quovadx, Inc. 37,133 101,002
* Radiant Systems, Inc. 37,194 389,049
* RadiSys Corp. 25,011 404,428
* Raindance Communictions, Inc. 73,006 149,662
* Rambus, Inc. 51,800 794,094
* Ramtron International Corp. 27,800 75,891
* RealNetworks, Inc. 121,000 618,310
* Red Hat, Inc. 62,800 793,792
* Redback Networks, Inc. 69,636 396,925
* Register.com, Inc. 30,001 187,506
* REMEC, Inc. 37,953 237,211
Renaissance Learning, Inc. 18,953 374,701
Reynolds & Reynolds Co. 400 10,916
* RF Micro Devices, Inc. 135,600 630,540
* RF Monolithics, Inc. 10,700 67,410
Richardson Electronics, Ltd. 11,700 104,130
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* Rimage Corp. 4,200 88,830
* Riverstone Networks, Inc. 87,600 61,539
* Rofin-Sinar Technologies, Inc. 20,400 658,920
* Rogers Corp. 12,600 521,514
* RSA Security, Inc. 51,200 629,760
* Rudolph Technologies, Inc. 21,300 307,146
* S1 Corp. 90,100 403,648
* Saba Software, Inc. 13,100 53,186
* Safeguard Scientifics, Inc. 80,700 79,893
* SafeNet, Inc. 20,950 658,249
* Sandisk Corp. 83,200 2,170,688
* Sapient Corp. 76,800 645,120
* SatCon Technology Corp. 14,000 19,180
* SBE, Inc. 100 217
* SBS Technologies, Inc. 21,300 206,823
* ScanSoft, Inc. 116,888 474,565
* ScanSource, Inc. 9,200 451,628
* Scientific Learning Corp. 4,300 25,671
* SCM Microsystems, Inc. 21,528 63,938
* Seachange International, Inc. 34,150 269,785
* Secure Computing Corp. 25,256 283,372
* SeeBeyond Technology Corp. 95,664 285,079
* Segue Software, Inc. 4,000 20,000
* Selectica, Inc. 38,991 123,601
* Semitool, Inc. 33,400 292,918
* Semtech Corp. 47,777 871,452
* Serena Software, Inc. 31,400 614,498
* Sigma Designs, Inc. 21,400 169,060
* Silicon Image, Inc. 29,700 348,678
* Silicon Laboratories, Inc. 21,800 604,514
* Silicon Storage Technology, Inc. 60,900 209,496
* SimpleTech, Inc. 68,026 238,091
* Sipex Corp. 30,700 50,655
* Sirenza Microdevices, Inc. 49,402 159,074
* Skyworks Solutions, Inc. 108,100 684,273
* SM&A 18,300 160,308
* Somera Communications, Inc. 9,700 13,483
* Sonic Solutions, Inc. 23,300 356,024
* SonicWALL, Inc. 85,255 526,876
* Sonus Networks, Inc. 29,500 131,275
SpectraLink Corp. 14,600 168,192
* Spectrum Control, Inc. 5,700 40,356
* SPSS, Inc. 14,650 256,082
* SRA International, Inc. 15,234 517,194
* SRS Labs, Inc. 22,600 126,766
SS&C Technologies, Inc. 17,700 529,230
* Staktek Holdings, Inc. 51,936 142,305
* Standard Microsystems Corp. 22,400 364,224
StarTek, Inc. 1,100 15,345
* # STATS ChipPAC, Ltd. 10,636 76,792
* SteelCloud, Inc. 2,200 5,148
* Stellent, Inc. 42,466 321,468
* Storage Technology Corp. 2,400 77,472
* Stratasys, Inc. 10,500 339,780
* Stratex Networks, Inc. 65,441 114,522
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* Stratos International, Inc. 19,009 81,929
* SumTotal Systems, Inc. 27,584 115,577
* Sunair Electronics, Inc. 300 2,763
Sunrise Telecom, Inc. 16,400 26,240
* Supertex, Inc. 21,512 374,094
* SupportSoft, Inc. 64,409 333,639
* Sybase, Inc. 61,300 1,250,520
* Sycamore Networks, Inc. 207,500 701,350
* Sykes Enterprises, Inc. 49,385 408,908
* Symmetricom, Inc. 57,675 650,574
* Synaptics, Inc. 17,900 344,217
* Synplicity, Inc. 34,660 211,426
Syntel, Inc. 21,179 331,663
* Take-Two Interactive Software, Inc. 43,200 1,112,832
TALX Corp. 16,164 451,299
* Taser International, Inc. 3,500 39,690
Technitrol, Inc. 33,700 442,481
* TechTeam Global, Inc. 11,200 156,800
* Tekelec 35,400 481,794
Tektronix, Inc. 883 20,018
* TeleCommunication Systems, Inc. 47,400 121,818
* # Telkonet, Inc. 38,600 162,120
* Tellabs, Inc. 50 411
* Telular Corp. 19,343 75,438
* Terayon Communication Systems, Inc. 79,000 250,430
* Tessco Technologies, Inc. 1,200 15,288
* Therma-Wave, Inc. 22,859 35,660
* TheStreet.com, Inc. 27,900 86,490
* THQ, Inc. 33,850 944,077
* Three-Five Systems, Inc. 1,300 871
* TIBCO Software, Inc. 184,000 1,166,560
* Tier Technologies, Inc. Class B 25,701 227,197
* TII Network Technologies, Inc. 1,800 2,628
* Titan Corp. 44,710 983,620
* Tollgrade Communications, Inc. 15,600 118,248
* Track Data Corp. 900 1,980
* Transact Technologies, Inc. 2,550 25,067
* Transaction Systems Architects, Inc. 19,500 444,210
* Transcat, Inc. 300 1,389
* Trident Microsystems, Inc. 27,750 587,745
* Trimble Navigation, Ltd. 28,100 1,115,851
* Triquint Semiconductor, Inc. 139,633 473,356
Troy Group, Inc. 6,957 18,088
TSR, Inc. 1,000 5,854
* TTM Technologies, Inc. 54,140 429,872
* Tumbleweed Communications Corp. 63,331 139,328
* Tut Systems, Inc. 33,100 99,962
* Tyler Technologies, Inc. 59,100 384,741
* Ulticom, Inc. 48,864 449,549
* Ultimate Software Group, Inc. 15,300 243,576
* Ultratech, Inc. 26,100 457,533
United Online, Inc. 55,341 716,113
* Universal Display Corp. 32,928 309,523
* Unova, Inc. 55,900 1,150,422
* VA Software Corp. 17,028 28,777
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* ValueClick, Inc. 77,258 828,206
* Varian Semiconductor Equipment Associates, Inc. 30,800 1,249,864
* Veeco Instruments, Inc. 31,500 474,705
* VendingData Corp. 8,000 15,200
* Verilink Corp. 19,700 31,323
* Verint Systems, Inc. 14,800 518,000
* Verity, Inc. 42,790 364,999
* Verso Technologies, Inc. 48 12
* Viasat, Inc. 36,400 738,556
* Vicon Industries, Inc. 2,000 5,900
Video Display Corp. 2,680 34,572
* Viewpoint Corp. 64,046 92,867
* Vignette Corp. 49,000 56,840
* Viisage Technology, Inc. 55,321 236,774
* Virage Logic Corp. 23,000 253,920
* Vishay Intertechnology, Inc. 53,393 688,775
* Visual Networks, Inc. 17,700 22,833
* Vitesse Semiconductor, Inc. 176,000 440,000
* Vitria Technology, Inc. 39,020 124,864
* Vyyo, Inc. 23,591 145,792
* WatchGuard Technologies, Inc. 34,728 126,063
* WebEx Communications, Inc. 23,600 633,896
* WebMethods, Inc. 59,591 299,743
* Websense, Inc. 13,400 719,714
* WebSideStory, Inc. 6,300 72,135
* Westell Technologies, Inc. 51,800 310,282
* Western Digital Corp. 54,700 821,047
* White Electronics Designs Corp. 35,681 178,048
* Wind River Systems, Inc. 72,187 1,183,145
Wireless Telecom Group, Inc. 8,300 20,999
* Witness Systems, Inc. 28,400 493,592
* WJ Communications, Inc. 71,180 143,072
Woodhead Industries, Inc. 5,400 69,282
X-Rite, Inc. 18,500 204,610
* Zhone Technologies, Inc. 107,054 290,116
* # Zix Corp. 26,173 86,109
* Zomax, Inc. 46,703 128,433
* Zoran Corp. 53,633 661,831
* Zygo Corp. 27,680 267,942
-----------------
Total Information Technology
(Cost $165,203,794) 210,239,954
-----------------
Consumer Discretionary -- (19.3%)
* 1-800 CONTACTS, Inc. 14,667 286,593
* 1-800-FLOWERS.COM, Inc. 33,700 249,717
* 4Kids Entertainment, Inc. 17,800 338,200
* 99 Cents Only Stores 56,666 686,792
* A.C. Moore Arts & Crafts, Inc. 23,800 708,288
Aaron Rents, Inc. 21,900 495,159
Aaron Rents, Inc. Class A 4,275 86,440
* Acme Communications, Inc. 23,400 92,664
Acme United Corp. 1,100 18,722
Action Performance Companies, Inc. 13,100 121,961
* Advanced Marketing Services, Inc. 13,580 55,338
Advo, Inc. 11,750 364,837
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* Aeropostale, Inc. 17,450 475,512
* AFC Enterprises, Inc. 7,600 193,800
* Aftermarket Technology Corp. 28,292 433,999
* Alderwoods Group, Inc. 5,600 77,560
* Alliance Gaming Corp. 56,800 737,832
* Alloy, Inc. 39,013 200,527
Ambassadors Group, Inc. 5,200 187,980
American Axle & Manufacturing Holdings, Inc. 13,100 271,170
American Eagle Outfitters, Inc. 60,600 1,714,980
American Greetings Corp. Class A 41,900 1,088,562
* America's Car-Mart, Inc. 14,400 308,160
Ameristar Casinos, Inc. 10,300 528,802
* AMS Health Sciences, Inc. 4,100 7,339
Andersons, Inc. 900 29,520
* AnnTaylor Stores Corp. 55,475 1,429,036
Applebees International, Inc. 42,525 1,159,657
* Applica, Inc. 31,000 88,660
* Arbitron, Inc. 300 12,102
Arctic Cat, Inc. 10,200 220,320
* Argosy Gaming Corp. 20,500 950,585
Ark Restaurants Corp. 700 19,012
* Arlington Hospitality, Inc. 1,000 1,250
ArvinMeritor, Inc. 7,700 110,880
* Asbury Automotive Group, Inc. 61,700 906,990
* Ashworth, Inc. 21,300 204,480
* Audiovox Corp. Class A 25,366 371,105
* # Avatar Holdings, Inc. 2,300 110,170
* Aztar Corp. 30,500 974,170
* Ballantyne of Omaha, Inc. 2,800 12,180
* Bally Total Fitness Holding Corp. 47,600 144,704
Bandag, Inc. 4,400 203,632
* Barry (R.G.) Corp. 8,800 39,600
Bassett Furniture Industries, Inc. 6,300 123,039
* Beasley Broadcast Group, Inc. 6,800 109,344
Beazer Homes USA, Inc. 29,165 1,559,161
# Bebe Stores, Inc. 45,925 1,768,572
* Benihana, Inc. 1,500 21,900
* Benihana, Inc. Class A 225 3,328
* Big Dog Holdings, Inc. 2,600 17,602
* Big Lots, Inc. 92,300 1,168,518
* BJ's Restaurants, Inc. 18,000 331,200
Blair Corp. 6,200 242,110
Blockbuster, Inc. Class A 81,300 742,269
Blockbuster, Inc. Class B 32,400 277,020
* Blount International, Inc. 28,500 503,310
* Bluegreen Corp. 37,200 627,192
Blyth, Inc. 21,600 612,144
Bob Evans Farms, Inc. 21,100 493,740
* Bombay Co., Inc. 57,500 306,475
Bon-Ton Stores, Inc. 11,300 204,191
Books-A-Million, Inc. 18,300 154,086
BorgWarner, Inc. 12,500 668,250
Boston Acoustics, Inc. 600 8,916
Boyd Gaming Corp. 29,100 1,538,226
* Boyds Collection, Ltd. 83,683 183,266
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* Bright Horizons Family Solutions, Inc. 4,000 148,040
* Brillian Corp. 271 846
* Brookstone, Inc. 25,000 503,500
Brown Shoe Company, Inc. 13,400 470,340
* Buca, Inc. 26,127 133,248
Buckle, Inc. 22,200 876,012
Building Materials Holding Corp. 11,500 713,345
Burlington Coat Factory Warehouse Corp. 26,825 889,249
* Cache, Inc. 23,300 304,764
Cadmus Communications Corp. 2,700 42,930
* California Coastal Communities, Inc. 4,200 124,278
* California Pizza Kitchen, Inc. 23,200 556,800
Callaway Golf Co. 26,000 303,940
* Candie's, Inc. 29,291 155,535
* Capital Pacific Holdings, Inc. 6,700 27,604
* Career Education Corp. 30,470 1,056,395
* CarMax, Inc. 12,800 326,784
Carmike Cinemas, Inc. 10,900 356,539
* Carriage Services, Inc. 27,200 159,936
* Carter's, Inc. 100 4,665
* Casual Male Retail Group, Inc. 47,200 332,760
Catalina Marketing Corp. 23,300 559,200
Cato Corp. Class A 13,500 389,610
* Cavalier Homes, Inc. 24,400 89,060
* Cavco Industries, Inc. 7,400 199,134
CBRL Group, Inc. 22,100 899,912
* CEC Entertainment, Inc. 23,700 961,035
* Champion Enterprises, Inc. 37,900 368,767
* Championship Auto Racing Teams, Inc. 3,600 594
* Champps Entertainment, Inc. 19,149 154,149
* Charles and Colvard, Ltd. 18,400 372,048
* Charlotte Russe Holding, Inc. 28,400 339,380
* Charming Shoppes, Inc. 99,700 900,291
* Checkers Drive-In Restaurants, Inc. 18,000 259,020
* Cheesecake Factory, Inc. 16,875 595,856
Cherokee, Inc. 3,100 109,492
* Chicos FAS, Inc. 81,500 2,788,115
Choice Hotels International, Inc. 25,700 1,685,920
Christopher & Banks Corp. 22,534 412,372
* Chromcraft Revington, Inc. 4,000 48,000
Churchill Downs, Inc. 6,500 279,890
* Citadel Broadcasting Co. 23,400 277,758
CKE Restaurants, Inc. 47,126 777,579
Claire's Stores, Inc. 35,500 837,090
Coachmen Industries, Inc. 9,800 120,050
* Coastcast Corp. 2,000 4,650
* Cobra Electronics Corp. 3,100 22,010
* Coldwater Creek, Inc. 30,880 693,874
Collegiate Pacific, Inc. 6,000 52,920
* # Collins & Aikman Corp. 69,157 7,849
* Columbia Sportswear Co. 11,350 512,112
* Concord Camera Corp. 4,689 6,096
* Conn's, Inc. 5,500 104,995
Cooper Tire & Rubber Co. 29,300 557,872
* Corinthian Colleges, Inc. 51,600 797,736
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* Cost Plus, Inc. 27,150 631,509
Courier Corp. 16,200 567,648
* Cox Radio, Inc. 33,300 541,791
Craftmade International, Inc. 3,900 65,087
* Crown Media Holdings, Inc. 32,955 309,447
* CSK Auto Corp. 39,400 667,042
CSS Industries, Inc. 6,900 212,520
* Culp, Inc. 17,400 75,690
* Cumulus Media, Inc. Class A 46,100 575,789
Cutter & Buck, Inc. 13,100 172,003
* Cycle Country Accessories Corp. 7,200 24,048
* Dave & Busters, Inc. 7,700 138,292
Deb Shops, Inc. 5,200 157,092
* Deckers Outdoor Corp. 4,300 104,146
Delta Apparel, Inc. 940 27,608
* Delta Woodside Industries, Inc. 75 49
* Department 56, Inc. 20,900 233,244
* DeVry, Inc. 49,400 1,015,170
* Diedrich Coffee, Inc. 1,500 6,271
* Digital Generation Systems, Inc. 24,300 26,487
Dillards, Inc. Class A 22,000 526,240
* Dixie Group, Inc. 17,750 263,055
* Dominion Homes, Inc. 10,000 155,300
Dover Downs Gaming & Entertainment, Inc. 4,900 57,967
Dover Motorsports, Inc. 10,000 57,600
* Drew Industries, Inc. 11,000 451,000
* drugstore.com, Inc. 117,555 404,389
* Duckwall-ALCO Stores, Inc. 1,500 29,625
* Dura Automotive Systems, Inc. 29,779 127,156
* # E Com Ventures, Inc. 125 1,781
* eCost.com, Inc. 20,762 65,649
* Education Management Corp. 23,300 756,085
* Electronics Boutique Holdings Corp. 17,200 1,020,132
* ELXSI Corp. 1,000 3,300
* EMAK Worldwide, Inc. 2,800 30,800
* Emerson Radio Corp. 39,600 102,168
* # Emmis Communications Corp. Class A 43,800 777,888
* Enesco Group, Inc. 21,000 80,850
* Entercom Communications Corp. 14,500 481,400
* Entravision Communications Corp. 57,000 423,510
Escalade, Inc. 2,400 34,728
Ethan Allen Interiors, Inc. 19,400 605,280
* Fab Industries, Inc. 1,000 3,000
* Fairchild Corp. Class A 33,200 76,360
* Famous Dave's of America, Inc. 17,300 187,705
Fedders Corp. 65 144
Finish Line, Inc. Class A 33,400 665,328
* Finlay Enterprises, Inc. 9,700 125,906
* # Fleetwood Enterprises, Inc. 66,800 639,276
Flexsteel Industries, Inc. 1,200 16,812
* Foamex International, Inc. 3,612 5,526
* # Footstar, Inc. 12,300 51,967
* Fossil, Inc. 36,225 773,404
* Fox & Hound Restaurant Group 15,255 187,636
* Franklin Covey Co. 1,900 11,780
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* Franklin Electronic Publishers, Inc. 1,300 4,875
Fred's, Inc. 32,787 486,231
* Friedmans, Inc. Class A 5,800 5,684
* Friendly Ice Cream Corp. 2,000 21,200
Frisch's Restaurants, Inc. 1,100 27,060
Furniture Brands International, Inc. 21,900 440,409
* Gaiam, Inc. 6,300 37,550
* # GameStop Corp. 17,100 498,636
GameTech International, Inc. 5,100 14,178
* Gander Mountain Co. 400 4,956
* Gaylord Entertainment Co. 33,250 1,397,497
* Genesco, Inc. 25,900 887,075
Gentek, Inc. 13,600 148,376
* Getty Images, Inc. 19,200 1,436,928
* G-III Apparel Group, Ltd. 1,700 12,240
* Goodyear Tire & Rubber Co. 125,200 1,801,628
Goody's Family Clothing, Inc. 31,708 225,127
Gray Television, Inc. 19,280 226,540
Gray Television, Inc. Class A 200 2,212
* Group 1 Automotive, Inc. 29,300 782,603
* GSI Commerce, Inc. 33,790 501,444
Gtech Holdings, Inc. 67,600 1,909,024
* Guess, Inc. 46,200 778,008
* Guitar Center, Inc. 14,100 803,559
* Gymboree Corp. 41,200 545,488
Haggar Corp. 2,000 36,920
* Ha-Lo Industries, Inc. 16,600 12
* Hammons (John Q.) Hotels, Inc. Class A 1,600 36,976
* Hampshire Group, Ltd. 1,000 39,760
Hancock Fabrics, Inc. 11,100 65,379
Handleman Co. 27,170 493,135
* Harris Interactive, Inc. 70,260 346,382
* Hartmarx Corp. 43,800 415,224
* Hastings Entertainment, Inc. 11,800 70,446
* Hayes Lemmerz International, Inc. 36,000 234,000
* Hibbett Sporting Goods, Inc. 21,012 737,941
Hollinger International, Inc. Class A 25,400 234,950
* Hollywood Media Corp. 44,413 206,076
* Hot Topic, Inc. 24,725 530,846
* Hovnanian Enterprises, Inc. Class A 15,900 987,390
IHOP Corp. 11,300 537,993
* Image Entertainment, Inc. 28,800 115,488
* IMPCO Technologies, Inc. 34,500 114,540
* Infosonics Corp. 1,800 5,382
* Insight Communications Co., Inc. 53,921 609,307
* Insight Enterprises, Inc. 41,500 812,570
* Insignia Systems, Inc. 11,000 9,900
* Interactive Data Corp. 45,600 981,768
* Interface, Inc. Class A 61,550 470,857
* Interstate Hotels & Resorts, Inc. 31,700 145,820
* INVESTools, Inc. 46,400 169,360
* Isle of Capri Casinos, Inc. 29,300 728,984
* ITT Educational Services, Inc. 20,800 944,112
* J. Alexander's Corp. 5,100 37,893
* J. Jill Group, Inc. 26,250 334,687
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* Jack in the Box, Inc. 30,200 1,252,696
* Jakks Pacific, Inc. 34,800 719,316
* Jarden Corp. 15,300 778,464
* Jo-Ann Stores, Inc. 25,800 690,150
* Johnson Outdoors, Inc. 2,900 50,779
* Jos. A. Bank Clothiers, Inc. 12,187 480,412
* Journal Register Co. 27,600 458,436
* K2, Inc. 52,747 664,085
KB Home 21,200 1,431,848
Kellwood Co. 12,213 307,279
Kenneth Cole Productions, Inc. Class A 8,850 266,385
* Keystone Automotive Industries, Inc. 21,271 419,890
Kimball International, Inc. Class B 17,500 215,250
* Kirkland's, Inc. 13,600 120,904
Koss Corp. 1,000 17,040
* # Krispy Kreme Doughnuts, Inc. 33,650 272,228
K-Swiss, Inc. Class A 18,000 577,800
* La Quinta Corp. 146,500 1,270,155
* LaCrosse Footwear, Inc. 2,500 24,750
* Lakeland Industries, Inc. 798 10,398
* Lakes Entertainment, Inc. 27,900 346,797
* Lamar Advertising Co. 183 7,653
Landry's Restaurants, Inc. 15,050 451,048
* Laureate Education, Inc. 25,500 1,190,850
* Lazare Kaplan International, Inc. 200 1,724
La-Z-Boy, Inc. 21,116 281,899
* Learning Care Group, Inc. 1,500 5,550
* Leather Factory, Inc. 4,500 19,395
Levitt Corp. Class A 18,337 528,106
Libbey, Inc. 6,800 129,540
Liberty Corp. 6,900 249,159
Liberty Homes, Inc. Class B 100 475
Lifetime Hoan Corp. 7,000 119,420
* Lin TV Corp. 23,600 343,380
* Linens 'n Things, Inc. 38,900 947,993
Lithia Motors, Inc. Class A 11,800 313,880
* Lodgenet Entertainment Corp. 13,300 225,568
Lone Star Steakhouse & Saloon, Inc. 15,100 456,171
* Luby's, Inc. 33,900 279,336
M/I Homes, Inc. 10,300 519,944
* Madden (Steven,) Ltd. 19,300 342,768
* Magna Entertainment Corp. 7,900 42,028
* Main Street Restaurant Group, Inc. 17,600 60,896
* # Manning (Greg) Auctions, Inc. 24,300 231,579
Marine Products Corp. 10,035 151,528
* MarineMax, Inc. 22,700 624,704
* # Martha Stewart Living Omnimedia, Inc. 19,000 492,100
* Marvel Enterprises, Inc. 39,600 842,292
* Max & Erma's Restaurants, Inc. 300 4,428
# Maytag Corp. 1,800 26,262
McRae Industries, Inc. Class A 1,300 15,236
MDC Holdings, Inc. 20,493 1,479,800
* Meade Instruments Corp. 30,300 83,628
Media General, Inc. Class A 10,500 641,550
* Mediacom Communications Corp. 68,900 418,912
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* Meritage Homes Corp. 17,600 1,279,872
# Meritage Hospitality Group, Inc. 1,000 5,180
* Mestek, Inc. 3,700 95,201
* Mexican Restaurants, Inc. 500 4,920
* Michael Anthony Jewelers, Inc. 1 2,930
Michaels Stores, Inc. 41,100 1,730,721
* Midas, Inc. 17,600 413,600
* Mikohn Gaming Corp. 19,200 242,112
* Mity Enterprises, Inc. 2,400 35,280
Modine Manufacturing Co. 15,800 480,320
Monaco Coach Corp. 27,750 455,377
* Monarch Casino & Resort, Inc. 5,000 100,500
* Monro Muffler Brake, Inc. 5,250 141,067
* Mossimo, Inc. 2,300 9,775
* Mothers Work, Inc. 4,800 65,424
* Motorcar Parts of America, Inc. 200 2,105
Movado Group, Inc. 14,000 236,040
Movie Gallery, Inc. 26,100 834,156
* MTR Gaming Group, Inc. 35,000 359,100
* # Multimedia Games, Inc. 34,033 363,132
* Nathan's Famous, Inc. 3,100 25,696
National Presto Industries, Inc. 2,200 94,270
* National RV Holdings, Inc. 15,500 137,485
Nautilus Group, Inc. 22,350 598,309
* # Navarre Corp. 39,800 358,200
* Navigant International, Inc. 22,420 283,837
Nelson (Thomas), Inc. 10,500 244,125
* # Netflix, Inc. 45,100 644,479
* Nevada Gold & Casinos, Inc. 14,300 157,157
* Nobel Learning Communities, Inc. 3,200 28,000
Nobility Homes, Inc. 1,900 47,671
Noble International, Ltd. 5,400 111,510
* NTN Communications, Inc. 50,500 110,090
* Nutri/System, Inc. 28,000 343,280
Oakley, Inc. 73,900 1,086,330
* O'Charleys, Inc. 25,500 473,535
* # Oneida, Ltd. 11,800 27,730
* Opinion Research Corp. 4,800 33,792
* O'Reilly Automotive, Inc. 9,200 511,060
Orleans Homebuilders, Inc. 24,800 555,520
OshKosh B'Gosh, Inc. Class A 5,910 152,951
* # Overstock.com, Inc. 11,000 421,190
Oxford Industries, Inc. 13,200 472,032
* P & F Industries, Inc. Class A 1,200 19,500
* P.F. Chang's China Bistro, Inc. 10,400 616,408
* Pacific Sunwear of California, Inc. 40,725 855,225
* Palm Harbor Homes, Inc. 28,731 538,132
* Panera Bread Co. 10,600 669,920
* Pantry, Inc. 22,300 862,787
* Papa John's International, Inc. 14,600 569,400
* Party City Corp. 28,400 379,708
* Payless ShoeSource, Inc. 59,300 998,019
* PC Mall, Inc. 17,200 85,125
* # Pegasus Communications Corp. 12,000 75,300
* Penn National Gaming, Inc. 39,600 1,289,772
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Pep Boys - Manny, Moe & Jack 55,600 742,816
* Perry Ellis International, Inc. 15,100 302,000
* PetMed Express, Inc. 23,964 169,186
PETsMART, Inc. 33,900 1,077,003
Phillips-Van Heusen Corp. 17,400 539,226
Pier 1 Imports, Inc. 47,600 799,204
* Pinnacle Entertainment, Inc. 46,800 815,724
* Playboy Enterprises, Inc. Class A 2,400 27,528
* Playboy Enterprises, Inc. Class B 34,600 438,382
Polaris Industries, Inc. 10,600 556,182
* Pomeroy IT Solutions, Inc. 18,400 231,656
# Pre-Paid Legal Services, Inc. 10,100 380,467
* # Priceline.com, Inc. 20,684 495,382
* PRIMEDIA, Inc. 85,374 311,615
* Princeton Review, Inc. 13,188 72,138
* ProQuest Co. 15,600 500,760
* Provide Commerce 11,100 256,521
Pulitzer, Inc. 3,900 249,444
* QEP Co., Inc. 200 2,076
Quaker Fabric Corp. 16,041 55,823
* Quantum Fuel Systems Technologies Worldwide, Inc. 58,600 249,050
* Quiksilver, Inc. 69,000 1,098,480
* R&B, Inc. 7,400 99,530
* R.H. Donnelley Corp. 11,100 682,428
* Radio One, Inc. 16,100 203,182
* Radio One, Inc. 2,150 27,090
* Rare Hospitality International, Inc. 27,750 861,082
Raytech Corp. 22,260 34,503
* RC2 Corp. 24,100 868,564
Reader's Digest Association, Inc. 24,500 415,030
* Reading International, Inc. Class A 560 3,730
* Reading International, Inc. Class B 1,140 7,410
* Red Robin Gourmet Burgers, Inc. 900 49,392
* RedEnvelope, Inc. 1,900 18,905
# Reebok International, Ltd. 25,000 1,017,750
* Regent Communications, Inc. 64,357 386,142
Regis Corp. 25,600 967,168
* Rent-A-Center, Inc. 20,250 479,115
* Rentrak Corp. 13,600 136,680
* Rent-Way, Inc. 42,100 390,267
* Reptron Electronics, Inc. 58 81
* Restoration Hardware, Inc. 53,000 375,240
* Retail Ventures, Inc. 52,000 586,040
* Rex Stores Corp. 16,425 229,950
* Riviera Holdings Corp. 3,300 66,825
* Rockford Corp. 3,040 7,934
* Rocky Shoes & Boots, Inc. 1,500 44,385
* Rubio's Restaurants, Inc. 13,048 119,389
Ruby Tuesday, Inc. 34,900 882,621
Russ Berrie & Co., Inc. 17,000 221,170
Russell Corp. 24,400 456,280
* Ryan's Restaurant Group, Inc. 50,950 711,262
Ryland Group, Inc. 32,456 2,223,236
* S&K Famous Brands, Inc. 900 14,400
* Safety Components International, Inc. 14 195
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* Saga Communications, Inc. Class A 24,675 340,515
Saks, Inc. 36,600 627,324
* Salem Communications Corp. 24,800 450,616
* # Salton, Inc. 800 832
Saucony, Inc. Class A 300 5,970
Saucony, Inc. Class B 1,500 29,400
Sauer-Danfoss, Inc. 16,000 314,400
* Schieb (Earl), Inc. 100 337
* Scholastic Corp. 32,079 1,203,604
* Scientific Games Corp. 41,800 996,094
SCP Pool Corp. 30,837 1,104,581
* Select Comfort Corp. 13,500 328,050
Service Corp. International 205,700 1,559,206
* Sharper Image Corp. 18,050 239,884
* Shiloh Industries, Inc. 23,498 265,762
* Shoe Carnival, Inc. 18,934 347,060
* Shoe Pavilion, Inc. 600 2,844
* ShopKo Stores, Inc. 35,700 846,447
* # Shuffle Master, Inc. 19,575 536,355
Sinclair Broadcast Group, Inc. Class A 16,000 140,960
* Six Flags, Inc. 110,300 486,423
* Skechers U.S.A., Inc. Class A 30,068 380,962
Skyline Corp. 3,800 148,580
* Smith & Wesson Holding Corp. 33,200 126,160
* Smith & Wollensky Restaurant Group, Inc. 7,100 44,659
Sonesta International Hotels Corp. Class A 800 25,600
Sonic Automotive, Inc. 18,100 385,892
* Sonic Corp. 29,362 998,308
* Sotheby's Holdings, Inc. Class A 17,700 248,331
* Source Interlink Companies, Inc. 31,124 303,459
* Southern Energy Homes, Inc. 5,200 30,420
* Spanish Broadcasting System, Inc. 42,512 367,729
* SPAR Group, Inc. 2,372 5,076
Spartan Motors, Inc. 11,000 118,140
Speedway Motorsports, Inc. 24,200 830,060
* Sport Chalet, Inc. 2,300 33,580
* Sport-Haley, Inc. 600 2,106
* Sportsman's Guide, Inc. 9,075 154,266
* Stage Stores, Inc. 14,506 566,459
* Stamps.com, Inc. 24,625 550,615
Standard Motor Products, Inc. 9,500 107,065
Standard Pacific Corp. 14,900 1,193,788
Stanley Furniture, Inc. 3,900 164,775
Station Casinos, Inc. 26,350 1,715,385
* Steak n Shake Co. 33,882 697,630
* Stein Mart, Inc. 39,318 945,991
* Steinway Musical Instruments, Inc. 11,900 337,008
Stewart Enterprises, Inc. 112,300 664,816
* Stoneridge, Inc. 27,000 211,140
* Strattec Security Corp. 3,400 172,142
Strayer Education, Inc. 7,700 669,900
Stride Rite Corp. 32,400 385,236
Sturm Ruger & Co., Inc. 15,700 127,798
* Sunterra Corp. 1,200 18,720
# Superior Industries International, Inc. 16,600 375,990
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Superior Uniform Group, Inc. 700 9,695
Syms Corp. 16,800 219,744
* Systemax, Inc. 44,400 282,828
* Tag-It Pacific, Inc. 27,700 64,818
Talbots, Inc. 27,400 812,410
Tandy Brand Accessories, Inc. 2,500 32,850
* Tarrant Apparel Group 11,900 32,368
* TBC Corp. 26,800 684,204
Technical Olympic USA, Inc. 34,541 756,448
* Tenneco Automotive, Inc. 58,500 877,500
* The Children's Place Retail Stores, Inc. 26,800 1,251,828
* The Dress Barn, Inc. 39,800 720,380
The Marcus Corp. 15,500 341,465
* The Mens Warehouse, Inc. 24,601 1,263,753
The Neiman Marcus Group, Inc. 6,400 617,920
* The Sports Authority, Inc. 26,539 849,248
Thor Industries, Inc. 32,800 995,808
* Timberland Co. Class A 4,200 154,812
* # TiVo, Inc. 41,200 277,688
* Too, Inc. 34,400 683,872
* Tower Automotive, Inc. 5,100 541
* Tractor Supply Co. 23,600 1,048,312
Traffix, Inc. 8,500 40,800
* Trans World Entertainment Corp. 43,800 569,400
* Transpro, Inc. 8,200 55,678
Triarc Companies, Inc. Class A 15,700 245,705
Triarc Companies, Inc. Class B 25,000 360,000
* Tuesday Morning Corp. 12,500 379,875
Tupperware Corp. 16,000 361,600
* Tweeter Home Entertainment Group, Inc. 36,400 128,856
* Unifi, Inc. 81,600 261,936
Unifirst Corp. 7,500 274,500
United Auto Group, Inc. 32,710 1,007,468
* United Retail Group, Inc. 14,628 101,518
* Universal Electronics, Inc. 20,200 336,936
* Universal Technical Institute, Inc. 600 18,330
* Urban Outfitters, Inc. 31,500 1,680,210
* Vail Resorts, Inc. 31,250 859,375
* Valassis Communications, Inc. 16,300 565,447
* ValueVision Media, Inc. Class A 47,702 458,893
* Varsity Group, Inc. 16,862 101,509
* Vertrue, Inc. 7,600 287,280
Visteon Corp. 49,600 378,448
* Warnaco Group, Inc. 40,338 860,813
* WCI Communities, Inc. 38,700 1,157,130
* Wells-Gardner Electronics Corp. 13,147 44,700
* West Marine, Inc. 25,924 430,079
* Westcoast Hospitality Corp. 2,200 15,158
* # Wet Seal, Inc. Class A 51,200 218,112
* Whitehall Jewelers, Inc. 18,800 136,300
* Wickes, Inc. 1,800 5
Wiley (John) & Sons, Inc. Class A 700 27,125
* William Lyon Homes, Inc. 10,900 981,000
* Wilsons The Leather Experts, Inc. 57,250 336,057
Winnebago Industries, Inc. 20,600 673,414
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* # WMS Industries, Inc. 24,900 791,073
Wolverine World Wide, Inc. 31,200 716,976
World Wrestling Federation Entertainment, Inc. 11,600 125,744
* Worldwide Restaurant Concepts, Inc. 38,700 248,067
Yankee Candle Co., Inc. 17,700 558,435
* Young Broadcasting, Inc. Class A 16,770 96,595
* Zapata Corp. 4,800 31,056
-----------------
Total Consumer Discretionary
(Cost $117,619,046) 205,689,503
-----------------
Industrials -- (14.3%)
* 3-D Systems Corp. 13,900 294,680
* AAON, Inc. 6,600 118,140
* AAR Corp. 44,800 718,592
ABM Industries, Inc. 27,400 522,518
* ABX Air, Inc. 24,000 180,480
Aceto Corp. 12,531 91,100
* Active Power, Inc. 69,530 186,340
* Actuant Corp. 9,520 428,400
Acuity Brands, Inc. 9,400 230,770
Administaff, Inc. 30,000 640,800
* Aerosonic Corp. 300 1,551
* AGCO Corp. 58,869 1,080,835
* AirNet Systems, Inc. 15,100 75,349
* Airtran Holdings, Inc. 70,900 691,984
* # Akorn, Inc. 28,100 82,614
Alamo Group, Inc. 6,000 122,400
* Alaska Air Group, Inc. 28,800 850,176
Albany International Corp. Class A 26,264 821,275
Alexander & Baldwin, Inc. 11,400 506,730
* Alliant Techsystems, Inc. 8,100 580,770
* Allied Defense Group, Inc. 6,400 152,576
* Allied Holdings, Inc. 300 330
Ambassadors International, Inc. 11,000 141,020
* Amerco, Inc. 24,978 1,328,330
* # America West Holdings Corp. Class B 47,441 265,670
American Ecology Corp. 2,700 34,182
* American Locker Group, Inc. 500 2,305
* American Science & Engineering, Inc. 8,700 331,557
* American Superconductor Corp. 35,559 314,697
American Woodmark Corp. 14,600 490,706
Ameron International Corp. 6,500 214,500
Ametek, Inc. 23,600 902,228
Ampco-Pittsburgh Corp. 900 10,377
* # AMR Corp. 44,200 570,180
Amrep Corp. 1,900 41,249
Angelica Corp. 2,700 71,469
* APAC Customer Services, Inc. 27,644 26,538
Apogee Enterprises, Inc. 24,471 342,349
Applied Industrial Technologies, Inc. 17,850 543,354
Applied Signal Technologies, Inc. 9,500 166,250
* ARGON ST, Inc. 9,500 326,135
Arkansas Best Corp. 15,200 497,496
* Armor Holdings, Inc. 32,700 1,234,425
* # Arotech Corp. 32,500 34,450
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* Artesyn Technologies, Inc. 50,800 418,084
* Astec Industries, Inc. 27,000 592,110
* Astronics Corp. 2,937 23,643
* # AstroPower, Inc. 87 0
* ASV, Inc. 13,024 472,771
* Avalon Holding Corp. Class A 200 978
* Aviall, Inc. 32,100 988,038
* Axsys Technologies, Inc. 1,200 20,448
* AZZ, Inc. 3,600 57,636
* Baker (Michael) Corp. 3,900 67,314
Baldor Electric Co. 15,200 382,280
Banta Corp. 15,600 685,152
Barnes Group, Inc. 13,400 411,112
* BE Aerospace, Inc. 37,100 536,837
Bowne & Co., Inc. 26,000 344,500
Brady Co. Class A 20,800 635,856
Briggs & Stratton Corp. 18,000 609,480
* BTU International, Inc. 7,351 27,860
* Butler International, Inc. 3,500 11,550
C&D Technologies, Inc. 5,400 39,528
* Capstone Turbine Corp. 56,579 56,579
Carlisle Companies, Inc. 8,700 603,084
Cascade Corp. 10,900 383,898
* Casella Waste Systems, Inc. Class A 27,812 317,335
* Catalytica Energy Systems, Inc. 8,800 17,336
CDI Corp. 14,600 311,564
* Celadon Group, Inc. 16,400 296,840
Central Parking Corp. 29,626 500,679
* Century Business Services, Inc. 89,239 357,848
* Cenveo, Inc. 66,000 553,080
* Ceradyne, Inc. 23,975 553,583
* # Chart Industries, Inc. 5 267
Chase Corp. 600 8,448
CIRCOR International, Inc. 13,245 327,814
Clarcor, Inc. 29,000 814,610
* Clean Harbors, Inc. 13,400 278,050
* Coinstar, Inc. 29,200 553,048
* Columbus McKinnon Corp. 23,419 221,075
* Comfort Systems USA, Inc. 52,000 327,080
* Compudyne Corp. 11,000 66,550
* COMSYS IT Partners, Inc. 48 812
* Conrad Industries, Inc. 1,500 1,958
* Consolidated Graphics, Inc. 15,500 656,115
* Continental Airlines, Inc. 57,850 801,801
* Copart, Inc. 63,000 1,561,770
* Cornell Companies, Inc. 21,200 272,208
* Correctional Services Corp. 9,900 28,610
* Corrections Corporation of America 34,300 1,238,230
* CoStar Group, Inc. 9,300 373,674
* Covenant Transport, Inc. Class A 18,700 259,556
* CPI Aerostructures, Inc. 7,500 69,975
* CRA International, Inc. 4,400 250,756
Crane Co. 27,900 732,933
* Cross (A.T.) Co. Class A 6,100 30,683
Cubic Corp. 21,600 380,160
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* CUNO, Inc. 11,500 817,650
Curtiss-Wright Corp. 4,000 218,720
* # Delta Air Lines, Inc. 96,100 369,985
* DHB Industries, Inc. 29,700 233,442
* DiamondCluster International, Inc. 30,800 402,864
* Distributed Energy Systems Corp. 53,230 176,724
* Dollar Thrifty Automotive Group, Inc. 22,000 791,780
Donaldson Co., Inc. 8,800 282,480
* DRS Technologies, Inc. 17,400 819,192
* Ducommun, Inc. 14,784 243,197
* Duratek, Inc. 8,700 190,791
* Dycom Industries, Inc. 42,734 839,296
* Dynamex, Inc. 17,200 309,428
Eastern Co. 550 12,150
Ecology & Environment, Inc. Class A 400 2,600
EDO Corp. 16,400 466,908
* EGL, Inc. 38,600 734,558
* Electro Rent Corp. 32,054 376,635
ElkCorp 17,300 570,900
* EMCOR Group, Inc. 13,100 622,250
* Encore Wire Corp. 30,650 337,150
* # Energy Conversion Devices, Inc. 24,600 474,288
Engineered Support Systems, Inc. 26,914 1,049,646
Ennis, Inc. 19,300 306,677
* EnPro Industries, Inc. 27,400 741,718
* Environmental Tectonics Corp. 2,800 15,204
* ESCO Technologies, Inc. 9,700 822,075
Espey Manufacturing & Electronics Corp. 200 5,370
* Essex Corp. 300 5,610
* Esterline Technologies Corp. 23,200 902,480
* Evergreen Solar, Inc. 40,560 204,828
* Exponent, Inc. 2,700 66,879
* ExpressJet Holdings, Inc. 50,000 431,500
Federal Signal Corp. 17,600 275,088
* Fiberstars, Inc. 10,500 99,225
* First Aviation Services, Inc. 1,600 6,560
* First Consulting Group, Inc. 35,212 182,398
* Flanders Corp. 35,300 351,941
* Flight Safety Technologies, Inc. 400 640
Florida East Coast Industries, Inc. 19,700 828,582
* # Flow International Corp. 15,264 99,216
* Flowserve Corp. 46,000 1,355,620
* # FLYi, Inc. 38 29
Forward Air Corp. 14,725 395,366
* Foster (L.B.) Co. Class A 200 1,800
* Foster Wheeler, Ltd. 60 888
Franklin Electric Co., Inc. 4,000 153,680
* Frontier Airlines, Inc. 46,460 567,277
* Frozen Food Express Industries, Inc. 28,900 310,675
* FTI Consulting, Inc. 37,650 827,924
* # FuelCell Energy, Inc. 56,500 459,910
G & K Services, Inc. Class A 14,048 552,929
* Gardner Denver Machinery, Inc. 21,800 836,030
GATX Corp. 16,300 543,931
* Gehl Co. 9,405 282,037
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Gencorp, Inc. 38,400 725,760
* General Binding Corp. 5,500 113,795
* General Cable Corp. 42,700 598,227
* Genesee & Wyoming, Inc. 21,248 593,669
* Genlyte Group, Inc. 20,200 900,112
Gevity HR, Inc. 20,200 346,430
* Global Payment Technologies, Inc. 2,400 10,800
* Global Power Equipment Group, Inc. 59,300 454,238
Gorman-Rupp Co. 2,625 53,288
* GP Strategies Corp. 14,800 105,080
Graco, Inc. 30,712 1,071,542
* Graftech International, Ltd. 23,500 103,400
Graham Corp. 300 6,066
Granite Construction, Inc. 21,850 512,383
Greenbrier Companies, Inc. 3,100 85,932
* Griffon Corp. 32,580 649,319
Hardinge, Inc. 1,300 21,083
Harland (John H.) Co. 18,400 693,128
Harsco Corp. 8,500 493,255
* Hawaiian Holdings, Inc. 1,000 5,340
* Hawk Corp. 3,500 39,165
Healthcare Services Group, Inc. 10,350 193,545
Heartland Express, Inc. 40,449 811,002
Heico Corp. 8,997 189,837
Heico Corp. Class A 18,068 303,362
* Heidrick & Struggles International, Inc. 23,500 590,085
* Herley Industries, Inc. 19,900 348,449
* Hexcel Corp. 22,000 359,480
* Hi-Shear Technology Corp. 2,200 8,008
* Hub Group, Inc. Class A 6,000 164,880
* Hudson Highland Group, Inc. 4,410 70,604
Hughes Supply, Inc. 23,600 613,600
Hunt (J.B.) Transport Services, Inc. 82,800 1,662,624
* Hurco Companies, Inc. 1,200 20,892
* Huttig Building Products, Inc. 4,000 43,640
* ICT Group, Inc. 10,469 97,257
IDEX Corp. 19,800 760,518
* II-VI, Inc. 31,900 525,393
IKON Office Solutions, Inc. 50,700 491,283
* Imagistics International, Inc. 1,100 29,634
* Industrial Distribution Group, Inc. 15,003 131,876
* Infrasource Services, Inc. 3,700 40,700
* Innotrac Corp. 5,500 46,695
* Innovative Solutions & Support, Inc. 13,200 457,248
* Insituform Technologies, Inc. Class A 30,600 454,104
* # Integrated Electrical Services, Inc. 25,200 38,304
* International Shipholding Corp. 1,100 16,060
Interpool, Inc. 6,800 147,696
* Jacuzzi Brands, Inc. 79,100 807,611
JLG Industries, Inc. 37,900 966,071
Joy Global, Inc. 47,550 1,785,027
* JPS Industries, Inc. 1,800 8,640
* Kadant, Inc. 18,792 385,236
Kaman Corp. Class A 16,900 261,443
* Kansas City Southern 56,000 1,119,440
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Kaydon Corp. 13,000 371,020
* Keith Companies, Inc. 8,600 181,890
Kelly Services, Inc. Class A 14,300 397,683
Kelly Services, Inc. Class B 200 5,950
Kennametal, Inc. 15,400 677,600
* Key Technology, Inc. 900 9,900
* Kforce, Inc. 48,878 392,979
* Kirby Corp. 21,400 912,924
Knight Transportation, Inc. 27,637 675,725
* Korn/Ferry International 41,800 662,948
* K-Tron International, Inc. 600 17,160
* KVH Industries, Inc. 24,000 222,960
* LaBarge, Inc. 18,600 263,934
* Labor Ready, Inc. 37,800 780,192
* Ladish Co., Inc. 17,600 195,360
* Laidlaw International, Inc. 65,000 1,445,600
* Lancer Corp. 2,700 46,710
* Landstar Systems, Inc. 34,098 1,150,467
Lawson Products, Inc. 2,500 107,000
* Layne Christensen Co. 4,700 81,310
* Learning Tree International, Inc. 20,820 267,953
Lennox International, Inc. 36,600 777,384
Lincoln Electric Holdings, Inc. 23,300 763,308
Lindsay Manufacturer Co. 9,100 182,091
* LMI Aerospace, Inc. 1,600 7,238
LSI Industries, Inc. 17,850 242,582
* Lydall, Inc. 24,500 201,880
* Mac-Gray Corp. 7,400 64,528
* Magnetek, Inc. 42,400 93,704
* MAIR Holdings, Inc. 30,885 294,643
Manpower, Inc. 8,413 335,090
* Mastec, Inc. 52,808 446,756
* Maxco, Inc. 300 1,311
McGrath Rentcorp. 20,400 470,220
Mercury Air Group, Inc. 600 2,076
* Mercury Computer Systems, Inc. 22,265 643,459
* Merrimac Industries, Inc. 1,300 11,570
* # Mesa Air Group, Inc. 41,900 267,322
Met-Pro Corp. 2,133 30,737
* # Microvision, Inc. 20,500 132,635
Middleby Corp. 9,900 546,480
* Midwest Air Group, Inc. 20,777 40,723
* Milacron, Inc. 68,619 149,589
* Miller Industries, Inc. 8,500 101,575
Mine Safety Appliances Co. 16,500 755,865
* Misonix, Inc. 10,523 60,634
* Mobile Mini, Inc. 19,900 734,708
* # Modtech Holdings, Inc. 20,700 128,340
* Monster Worldwide, Inc. 13,500 356,130
* Moog, Inc. Class A 16,875 512,156
* Moog, Inc. Class B 450 13,815
MSC Industrial Direct Co., Inc. Class A 10,900 339,317
* MTC Technologies, Inc. 8,300 278,299
Mueller Industries, Inc. 19,055 514,485
Multi-Color Corp. 3,075 80,873
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NACCO Industries, Inc. Class A 3,800 389,500
* Nashua Corp. 1,400 12,600
* National Patent Development Corp. 10,800 25,272
* National Technical Systems, Inc. 900 4,086
* Navigant Consulting, Inc. 39,300 901,542
* NCI Building Systems, Inc. 20,800 718,432
* NCO Group, Inc. 28,749 570,955
* NES Rentals Holdings, Inc. 6 59
* New Horizons Worldwide, Inc. 1,228 4,433
Nordson Corp. 16,100 500,549
* # Northwest Airlines Corp. 60,700 369,663
* NuCo2, Inc. 12,600 298,368
* Odyssey Marine Exploration, Inc. 39,300 189,033
* Old Dominion Freight Line, Inc. 21,825 665,008
* On Assignment, Inc. 36,230 192,019
* Orbital Sciences Corp. 60,383 586,319
Oshkosh Truck Corp. Class B 16,200 1,291,788
Outlook Group Corp. 400 3,160
* P.A.M. Transportation Services, Inc. 14,161 233,373
* Paragon Technologies, Inc. 1,900 20,425
* Park-Ohio Holdings Corp. 6,400 97,600
* Patriot Transportation Holding, Inc. 1,500 78,450
* Peerless Manufacturing Co. 900 12,519
* Perini Corp. 34,800 524,784
* Pico Holdings, Inc. 11,800 305,502
* Pinnacle Airlines Corp. 1,100 10,780
* Plug Power, Inc. 59,601 370,718
* Portfolio Recovery Associates, Inc. 14,700 579,327
* Powell Industries, Inc. 13,168 242,555
* Power-One, Inc. 41,241 226,001
Precision Castparts Corp. 7,683 597,200
Preformed Line Products Co. 600 20,478
* PRG-Schultz International, Inc. 65,280 251,981
Providence & Worcester Railroad Co. 1,900 25,175
* PW Eagle, Inc. 4,200 27,636
* Quanta Services, Inc. 102,500 925,575
* Quipp, Inc. 2,507 27,038
Quixote Corp. 5,100 99,348
* RailAmerica, Inc. 48,200 562,494
Raven Industries, Inc. 11,200 285,376
* RCM Technologies, Inc. 4,900 22,540
* Refac 40 200
Regal-Beloit Corp. 16,200 416,340
* RemedyTemp, Inc. 7,600 74,860
* Resources Connection, Inc. 24,752 493,060
Robbins & Myers, Inc. 11,300 267,245
Rollins, Inc. 40,950 835,380
Roper Industries, Inc. 1,200 83,880
* Rush Enterprises, Inc. Class A 20,236 291,196
* Rush Enterprises, Inc. Class B 2,900 42,195
Ryder System, Inc. 18,100 664,994
Schawk, Inc. 4,300 103,458
* School Specialty, Inc. 900 35,298
* SCS Transportation, Inc. 20,466 373,505
* Sequa Corp. Class A 3,400 197,200
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* Sequa Corp. Class B 1,600 94,816
* Shaw Group, Inc. 61,900 1,247,285
* Sholodge, Inc. 2,100 8,243
Simpson Manufacturing Co., Inc. 28,800 827,712
* Sirva, Inc. 300 2,355
* Sitel Corp. 77,400 153,252
Skywest, Inc. 23,020 419,885
* SL Industries, Inc. 2,400 40,968
Smith (A.O.) Corp. 10,000 313,600
Smith (A.O.) Corp. Convertible Class A 200 6,272
* Smithway Motor Xpress Corp. Class A 700 4,200
* SOURCECORP, Inc. 15,285 327,252
* Spacehab, Inc. 3,036 4,281
* Sparton Corp. 3,704 36,966
* Spherion Corp. 66,600 364,302
* # Spherix, Inc. 5,300 9,063
* Spire Corp. 3,100 13,640
* Standard Parking Corp. 600 9,006
Standard Register Co. 13,500 191,700
Standex International Corp. 11,000 294,360
* Stericycle, Inc. 14,800 734,376
* Sterling Construction Co., Inc. 7,400 54,612
Stewart & Stevenson Services, Inc. 23,300 556,637
* Stonepath Group, Inc. 500 350
* Strategic Distribution, Inc. 800 8,240
Supreme Industries, Inc. 4,110 26,921
* Swift Transportation Co., Inc. 54,450 1,336,748
Sypris Solutions, Inc. 11,368 119,819
TB Wood's Corp. 4,700 27,166
* Team, Inc. 3,000 57,000
* TeamStaff, Inc. 11,000 18,040
Technology Research Corp. 1,143 5,726
Tecumseh Products Co. Class A 4,439 121,362
* Teledyne Technologies, Inc. 23,000 727,260
* TeleTech Holdings, Inc. 93,985 767,857
Tennant Co. 7,600 283,480
* Terex Corp. 40,708 1,608,780
* Tetra Tech, Inc. 45,213 544,817
The Brink's Co. 23,518 733,997
* The Geo Group, Inc. 18,100 439,287
* The Lamson & Sessions Co. 21,400 233,046
The Manitowoc Co., Inc. 16,300 660,639
* Thomas & Betts Corp. 37,700 1,164,176
Thomas Industries, Inc. 11,200 446,544
Todd Shipyards Corp. 2,050 39,463
Toro Co. 35,200 1,515,360
* Transport Corp. of America 3,000 18,750
* Transtechnology Corp. 2,700 20,183
* TRC Companies, Inc. 20,100 229,140
Tredegar Industries, Inc. 22,600 344,650
* Trex Co., Inc. 12,800 493,440
Trinity Industries, Inc. 20,100 584,106
* Triumph Group, Inc. 19,300 684,764
* Tufco Technologies, Inc. 1,800 11,142
* # TurboChef Technologies, Inc. 11,166 123,943
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* U.S. Xpress Enterprises, Inc. Class A 2,900 35,409
* Ultralife Batteries, Inc. 4,000 65,280
United Industrial Corp. 7,300 252,945
* United Rentals, Inc. 67,900 1,363,432
* United Stationers, Inc. 33,066 1,621,226
Universal Forest Products, Inc. 13,700 545,260
* UQM Technologies, Inc. 23,000 69,000
* URS Corp. 36,600 1,238,178
* # US Airways Group, Inc. Class A 31,500 28,665
* USA Truck, Inc. 1,300 26,325
Valley National Gases, Inc. 1,100 15,070
Valmont Industries, Inc. 20,100 481,395
* Valpey Fisher Corp. 1,300 4,108
* Versar, Inc. 5,600 17,360
Viad Corp. 19,800 550,440
Vicor Corp. 26,000 345,800
* VL Dissolution Corp. 1,011 0
* Volt Information Sciences, Inc. 17,200 337,980
Wabash National Corp. 23,200 577,912
Wabtec Corp. 25,094 519,446
Walter Industries, Inc. 36,400 1,543,360
* Washington Group International, Inc. 22,600 1,085,026
* Waste Connections, Inc. 37,400 1,386,792
Waste Industries USA, Inc. 14,400 207,792
* Water Pik Technologies, Inc. 8,500 157,930
Watsco, Inc. Class A 19,200 848,448
Watson Wyatt & Co. Holdings 15,000 394,800
Watts Water Technologies, Inc. 13,900 484,137
Werner Enterprises, Inc. 34,032 640,142
* WESCO International, Inc. 32,714 955,249
* West Corp. 1,900 66,766
* Westaff, Inc. 10,800 37,476
* Willis Lease Finance Corp. 4,900 39,935
* Wolverine Tube, Inc. 21,600 155,736
Woodward Governor Co. 6,200 479,694
WSI Industries, Inc. 100 287
* Xanser Corp. 12,100 26,741
* # Yellow Roadway Corp. 30,409 1,604,987
York International Corp. 18,000 741,600
-----------------
Total Industrials
(Cost $90,776,523) 151,970,408
-----------------
Health Care -- (13.6%)
* # aaiPharma, Inc. 29 8
* Abaxis, Inc. 10,600 110,770
* Abgenix, Inc. 58,400 420,480
* Abiomed, Inc. 27,000 252,990
* Able Laboratories, Inc. 16,200 69,174
* Acacia Research-CombiMatrix 38,520 110,938
* Accelr8 Technology Corp. 12 29
* Accelrys, Inc. 30,705 162,122
* Access Pharmaceuticals, Inc. 13,300 31,654
* Accredo Health, Inc. 38,744 1,736,506
* Adolor Corp. 41,800 399,608
* Advanced Magnetics, Inc. 5,700 51,015
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* Advanced Medical Optics, Inc. 45,441 1,754,500
* Advanced Neuromodulation Systems, Inc. 23,550 837,438
* Advancis Pharmaceutical Corp. 6,000 26,760
* # ADVENTRX Pharmaceuticals, Inc. 27,700 59,278
* Air Methods Corp. 16,800 113,904
* # Aksys, Ltd. 31,568 94,704
* Albany Molecular Research, Inc. 35,900 427,569
* Alexion Pharmaceuticals, Inc. 24,595 559,536
* Align Technology, Inc. 42,700 310,429
* Alkermes, Inc. 21,500 249,400
* Alliance Imaging, Inc. 53,000 531,590
* Allied Healthcare International, Inc. 16,800 116,256
* Allied Healthcare Products, Inc. 1,000 5,170
* Allos Therapeutics, Inc. 40,898 85,886
* Allscripts Healthcare Solutions, Inc. 47,388 775,268
Alpharma, Inc. Class A 17,900 230,373
* Amedisys, Inc. 17,600 531,696
* America Services Group, Inc. 14,100 277,629
* American Dental Partners, Inc. 4,900 117,747
* American Healthways, Inc. 14,500 569,415
* American Medical Systems Holdings, Inc. 56,100 1,119,756
* American Retirement Corp. 22,300 305,287
American Shared Hospital Services 1,300 7,800
* AMERIGROUP Corp. 26,400 1,035,936
* AMICAS, Inc. 67,500 287,550
* AMN Healthcare Services, Inc. 30,300 437,532
* Amsurg Corp. 20,000 539,200
* Amylin Pharmaceuticals, Inc. 22,700 362,746
Analogic Corp. 8,400 356,916
* Andrx Corp. 63,993 1,278,580
* Angeion Corp. 25 60
* AngioDynamics, Inc. 1,455 28,751
* Anika Therapeutics, Inc. 6,048 91,506
* # Antigenics, Inc. 39,830 266,861
* AP Pharma, Inc. 15,850 25,360
* # Aphton Corp. 3,498 2,414
* Applera Corp. - Celera Genomics Group 64,202 636,884
* Applied Imaging Corp. 300 426
* Apria Healthcare Group, Inc. 31,300 985,950
* Aradigm Corp. 9,700 10,476
* Arena Pharmaceuticals, Inc. 46,100 315,785
* Ariad Pharmaceuticals, Inc. 49,100 296,073
* Arqule, Inc. 50,139 328,410
* Array BioPharma, Inc. 52,900 330,096
# Arrhythmia Research Technology, Inc. 1,200 21,480
Arrow International, Inc. 21,000 709,800
* Arthrocare Corp. 16,839 542,889
* Aspect Medical Systems, Inc. 23,000 739,680
* # AtheroGenics, Inc. 25,800 367,650
Atrion Corp. 600 39,210
* ATS Medical, Inc. 34,460 111,995
* AVANIR Pharmaceuticals Class A 84,500 209,560
* Avant Immunotherapeutics, Inc. 28,980 41,152
* # AVI BioPharma, Inc. 55,230 130,343
* Avigen, Inc. 28,633 85,613
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* # AXM Pharma, Inc. 16,200 28,998
* Bentley Pharmaceuticals, Inc. 26,300 286,407
* Beverly Enterprises, Inc. 113,800 1,407,706
* Bioanalytical Systems, Inc. 2,100 13,335
* BioCryst Pharmaceuticals, Inc. 26,100 121,626
* Bioenvision, Inc. 22,591 147,293
* Bio-Imaging Technologies, Inc. 13,000 39,260
# BioLase Technology, Inc. 9,400 66,364
* Bio-Logic Systems Corp. 2,800 16,771
* BioMarin Pharmaceutical, Inc. 37,700 256,360
* Bio-Rad Laboratories, Inc. Class A 10,658 574,253
* Bio-Rad Laboratories, Inc. Class B 400 21,530
* Bio-Reference Laboratories, Inc. 16,700 245,490
* BioSante Pharmaceuticals, Inc. 18,600 68,820
* BioScrip, Inc. 55,472 290,119
* Biosite, Inc. 13,500 738,585
* Biosource International, Inc. 6,300 64,008
* Biospecifics Technologies Corp. 700 770
* BioSphere Medical, Inc. 16,507 77,748
* Bone Care International, Inc. 17,692 579,236
* # Bradley Pharmaceuticals, Inc. 23,500 235,235
* Bruker BioSciences Corp. 96,854 406,787
* Caliper Life Sciences, Inc. 57,404 353,609
* CancerVax Corp. 22,078 65,792
* Candela Corp. 33,600 343,728
* Cantel Medical Corp. 17,697 543,298
* Capital Senior Living Corp. 39,100 236,946
* Caraco Pharmaceutical Laboratories, Ltd. 25,700 184,526
* Cardiac Sciences, Inc. 3,083 3,021
* CardioDynamics International Corp. 33,885 75,225
* Cardiotech International, Inc. 15,200 28,424
* # Cell Genesys, Inc. 37,507 217,916
* # Cell Therapeutics, Inc. 48,000 142,560
* Cellegy Pharmaceuticals, Inc. 18,995 34,191
* Centene Corp. 22,400 720,160
* Cepheid, Inc. 32,150 292,565
* # Cerner Corp. 18,500 1,208,975
* Cerus Corp. 18,557 75,898
Chemed Corp. 15,400 651,112
* Cholestech Corp. 23,100 211,365
* Ciphergen Biosystems, Inc. 22,981 47,341
* Closure Medical Corp. 10,000 269,700
CNS, Inc. 14,900 312,900
* Coast Dental Services, Inc. 233 839
* Collagenex Pharmaceuticals, Inc. 20,300 100,079
* Columbia Laboratories, Inc. 18,440 47,944
* Compex Technologies, Inc. 17,700 66,552
Computer Programs & Systems, Inc. 8,900 301,532
* Conceptus, Inc. 28,940 154,250
* Conmed Corp. 25,650 803,871
* Connetics Corp. 18,000 400,860
Cooper Companies, Inc. 25,123 1,659,374
* Corgentech, Inc. 17,291 41,498
* Corixa Corp. 44,278 188,181
* Cortech, Inc. 1,100 3,624
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* Cortex Pharmaceuticals, Inc. 2,300 5,382
* Corvel Corp. 6,900 183,126
* Cotherix, Inc. 14,500 131,950
* Covance, Inc. 29,200 1,274,872
* Coventry Health Care, Inc. 4,012 279,315
* Critical Therapeutics, Inc. 7,150 41,899
* Criticare Systems, Inc. 12,900 59,856
* Cross Country Healthcare, Inc. 37,752 639,896
* CryoLife, Inc. 29,650 214,962
* Cubist Pharmaceuticals, Inc. 25,600 256,256
* CuraGen Corp. 65,200 279,056
* Curative Health Services, Inc. 6,839 17,576
* Curis, Inc. 61,300 242,748
* CV Therapeutics, Inc. 17,600 355,872
* Cyberonics, Inc. 13,700 499,913
* Cypress Bioscience, Inc. 33,600 408,240
* Cytogen Corp. 8,452 45,810
D&K Healthcare Resources, Inc. 10,304 84,081
Datascope Corp. 11,407 347,229
* DaVita, Inc. 30,250 1,393,315
* Daxor Corp. 2,600 53,560
* Del Global Technologies Corp. 523 1,472
* Dendreon Corp. 68,415 361,915
* Dendrite International, Inc. 44,700 692,850
* DepoMed, Inc. 28,878 127,641
Diagnostic Products Corp. 15,200 661,808
* Digene Corp. 9,600 241,536
* # Digital Angel Corp. 63,000 246,960
* Discovery Laboratories, Inc. 36,000 253,800
* Discovery Partners International, Inc. 39,900 117,705
* Diversa Corp. 66,151 330,755
* DJ Orthopedics, Inc. 24,500 679,875
* DOV Pharmaceutical, Inc. 13,800 208,380
* # Durect Corp. 52,798 189,545
* DUSA Pharmaceuticals, Inc. 22,950 256,810
* Dyax Corp. 32,600 151,590
* # Dynacq Healthcare, Inc. 5,200 24,492
* Eclipsys Corp. 1,600 21,472
* Elite Pharmaceuticals, Inc. 18,900 56,700
* Embrex, Inc. 11,400 127,908
* Emeritus Corp. 3,000 39,600
* Emisphere Technologies, Inc. 21,780 84,506
* Encore Medical Corp. 66,674 338,704
* Encysive Pharmaceuticals, Inc. 39,400 401,880
* Endo Pharmaceuticals Holdings, Inc. 20,100 408,030
* Endologix, Inc. 40,600 176,610
* Enpath Medical, Inc. 7,506 50,065
* Entremed, Inc. 48,400 129,228
* Enzo Biochem, Inc. 24,090 367,854
* EP Medsystems, Inc. 1,200 3,120
* Epimmune, Inc. 3,293 2,888
* EPIX Pharmaceuticals, Inc. 30,100 238,693
* eResearch Technology, Inc. 32,150 393,516
* Exact Sciences Corp. 36,041 104,519
* Exactech, Inc. 3,000 40,200
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* Exelixis, Inc. 52,042 365,335
E-Z-EM, Inc. 1,700 25,024
* First Horizon Pharmaceutical Corp. 43,300 814,040
* Fischer Imaging Corp. 900 2,502
* Five Star Quality Care, Inc. 19,700 134,354
* Genaissance Pharmaceuticals, Inc. 6,850 6,233
* Gene Logic, Inc. 46,700 157,379
* Genesis HealthCare Corp. 23,356 1,015,752
* Gentiva Health Services, Inc. 2,326 36,960
* GenVec, Inc. 30,492 56,410
* Geron Corp. 62,900 503,200
* GTC Biotherapeutics, Inc. 3,590 4,811
* Guilford Pharmaceuticals, Inc. 46,303 116,684
* Haemonetics Corp. 17,000 691,900
* Hanger Orthopedic Group, Inc. 26,320 134,232
* Harvard Bioscience, Inc. 42,485 136,802
* HealthExtras, Inc. 32,900 563,906
* HealthTronics Surgical Services, Inc. 45,207 573,677
* # Hemispherx Biopharma, Inc. 18,085 28,936
* Hi-Tech Pharmacal, Inc. 11,750 353,205
* HMS Holdings Corp. 32,140 199,268
* Hollis-Eden Pharmaceuticals, Inc. 29,680 251,983
* Hologic, Inc. 21,500 791,415
Hooper Holmes, Inc. 61,800 247,200
* Horizon Health Corp. 4,800 210,480
* Human Genome Sciences, Inc. 114,796 1,294,899
* # Hythiam, Inc. 2,300 13,294
* ICOS Corp. 19,924 430,358
* ICU Medical, Inc. 16,050 529,168
* IDEXX Laboratories, Inc. 17,600 1,016,048
* IDX Systems Corp. 21,038 671,112
* I-Flow Corp. 19,700 321,898
* Illumina, Inc. 35,557 373,348
* # Immtech International, Inc. 7,700 97,944
* Immucor, Inc. 29,643 993,041
* ImmunoGen, Inc. 63,161 376,440
* # Immunomedics, Inc. 46,100 82,980
* Impath, Inc. 14,800 65,712
* Impax Laboratoroes, Inc. 13,300 218,120
* # Implant Sciences Corp. 7,500 21,300
* Incyte Corp. 61,700 470,771
* Indevus Pharmaceuticals, Inc. 30,237 103,713
* Inhibitex, Inc. 12,800 86,912
* InKine Pharmaceutical Co., Inc. 16,800 38,304
* Insmed, Inc. 757 961
* Inspire Pharmaceuticals, Inc. 41,600 270,400
* Integra LifeSciences Holdings 15,800 528,036
* IntegraMed America, Inc. 1,300 13,585
* Intermagnetics General Corp. 23,178 669,149
* InterMune, Inc. 13,300 159,733
* # Interpharm Holdings, Inc. 11,990 15,587
* IntraBiotics Pharmaceuticals, Inc. 9,000 31,050
* # Introgen Therapeutics, Inc. 28,300 202,062
* Intuitive Surgical, Inc. 23,474 1,161,963
Invacare Corp. 19,300 860,973
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* Inverness Medical Innovations, Inc. 3,218 91,069
* Iomed, Inc. 4,900 10,290
* Iridex Corp. 2,700 16,200
* IRIS International, Inc. 18,400 351,624
* Isis Pharmaceuticals, Inc. 36,600 133,956
* Isolagen, Inc. 31,100 126,577
* Ista Pharmaceuticals, Inc. 21,378 169,314
* I-Trax, Inc. 12,600 19,530
* Kendle International, Inc. 19,600 225,988
* # Kensey Nash Corp. 11,900 323,680
* Keryx Biopharmaceuticals, Inc. 17,800 217,872
Kewaunee Scientific Corp. 300 2,397
* Kindred Healthcare, Inc. 33,500 1,292,430
* Kos Pharmaceuticals, Inc. 24,270 1,401,107
* Kosan Biosciences, Inc. 38,398 181,623
* K-V Pharmaceutical Co. Class A 18,600 370,140
* K-V Pharmaceutical Co. Class B 6,925 138,777
* Kyphon, Inc. 13,200 378,708
* LabOne, Inc. 18,600 716,844
* Lannet Co., Inc. 28,000 140,000
* Laserscope 14,400 495,792
LCA-Vision, Inc. 17,400 768,732
* Lexicon Genetics, Inc. 72,671 351,728
* Lifecell Corp. 33,500 444,210
* Lifecore Biomedical, Inc. 17,100 218,196
* Lifeline Systems, Inc. 1,700 55,352
* LifePoint Hospitals, Inc. 10,676 480,206
* Ligand Pharmaceuticals, Inc. Class B 11,500 67,160
* Lipid Sciences, Inc. 24,300 128,304
* Luminex Corp. 30,409 302,874
* Magellan Health Services, Inc. 22,208 721,094
* Martek Biosciences Corp. 17,600 658,064
* Matria Healthcare, Inc. 19,299 549,829
* Matrixx Initiatives, Inc. 14,300 150,722
Matthews International Corp. Class A 16,100 595,539
* Maxim Pharmaceuticals, Inc. 16,168 24,575
* Maxygen, Inc. 34,507 270,190
* Medarex, Inc. 67,300 510,134
* MedCath Corp. 23,680 613,549
* Medical Action Industries, Inc. 15,547 275,648
* Medical Staffing Network Holdings, Inc. 43,400 235,662
# Medicis Pharmaceutical Corp. Class A 15,200 428,336
* MEDTOX Scientific, Inc. 5,184 31,104
* Memory Pharmaceuticals Corp. 542 1,344
* Memry Corp. 18,000 28,800
Mentor Corp. 23,400 957,294
* Merge Technologies, Inc. 17,437 303,404
Meridian Bioscience, Inc. 9,487 173,138
* Merit Medical Systems, Inc. 28,511 417,116
Mesa Laboratories, Inc. 4,800 59,904
* Metropolitan Health Networks, Inc. 43,400 112,406
* MGI Pharma, Inc. 22,400 519,680
* Micro Therapeutics, Inc. 61,415 245,660
* Microtek Medical Holdings, Inc. 64,500 227,040
* Milestone Scientific, Inc. 3,200 7,520
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* Molecular Devices Corp. 21,300 411,516
* Molina Healthcare, Inc. 1,800 77,040
* Myogen, Inc. 500 3,310
* Myriad Genetics, Inc. 29,900 492,154
* Nabi Biopharmaceuticals 50,317 618,396
* Nanogen, Inc. 57,300 233,784
* # Nastech Pharmaceutical Co., Inc. 23,600 286,740
* National Dentex Corp. 3,900 73,125
National Healthcare Corp. 300 9,915
National Home Health Care Corp. 3,097 41,097
* National Medical Health Card Systems, Inc. 5,100 117,402
National Research Corp. 2,900 41,267
* Natus Medical, Inc. 26,100 263,610
NDCHealth Corp. 31,800 532,968
* Nektar Therapeutics 55,122 1,007,630
* Neogen Corp. 9,300 135,417
* Neopharm, Inc. 26,521 260,171
* Neose Technologies, Inc. 37,728 99,225
* Neurocrine Biosciences, Inc. 12,805 482,364
* Neurogen Corp. 48,593 328,489
* New Brunswick Scientific Co., Inc. 3,751 20,068
* NMT Medical, Inc. 18,100 158,375
* North American Scientific, Inc. 12,900 38,700
* Northfield Laboratories, Inc. 24,387 318,494
* NovaMed, Inc. 34,185 211,605
* # Novavax, Inc. 45,347 62,125
* Noven Pharmaceuticals, Inc. 23,601 424,818
* NPS Pharmaceuticals, Inc. 20,300 234,871
* Nutraceutical International Corp. 19,000 250,610
* Nuvelo, Inc. 20,913 155,174
NWH, Inc. 3,200 48,000
* # OCA, Inc. 74,600 305,860
* Odyssey Healthcare, Inc. 36,400 482,664
* Omnicell, Inc. 24,300 157,950
* Onyx Pharmaceuticals, Inc. 15,100 377,349
Option Care, Inc. 34,912 464,330
* OraSure Technologies, Inc. 33,800 280,878
* Orchid Biosciences, Inc. 27,660 268,855
* Orphan Medical, Inc. 2,000 21,280
* Orthologic Corp. 59,400 241,164
* Oscient Pharmaceutical Corp. 55,000 90,750
* OSI Pharmaceuticals, Inc. 10,300 382,851
* Osteotech, Inc. 21,886 63,251
Owens & Minor, Inc. 21,200 657,200
* Oxigene, Inc. 8,500 39,015
* PacifiCare Health Systems, Inc. 31,300 1,966,579
* Pain Therapeutics, Inc. 52,458 275,405
* PainCare Holdings, Inc. 57,700 236,570
* Palomar Medical Technologies, Inc. 8,800 201,080
* Par Pharmaceutical Companies, Inc. 23,000 736,000
* Parexel International Corp. 35,500 647,875
* PDI, Inc. 18,366 220,392
* Pediatric Services of America, Inc. 10,600 139,814
* Pediatrix Medical Group, Inc. 17,700 1,303,251
* Penwest Pharmaceuticals Co. 25,104 303,256
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Perrigo Co. 44,300 688,422
* Per-Se Technologies, Inc. 21,033 398,996
* Pharmaceutical Products Development Service, Inc. 15,000 725,700
* Pharmacopia Drug Discovery, Inc. 13,750 66,550
* Pharmacyclics, Inc. 29,800 238,996
* PhotoMedex, Inc. 26,800 57,352
PolyMedica Corp. 16,500 579,150
* Possis Medical, Inc. 26,500 279,045
* Pozen, Inc. 29,100 214,467
* PRAECIS Pharmaceuticals, Inc. 1,337 882
* Priority Healthcare Corp. 25,968 594,148
* Progenics Pharmaceuticals, Inc. 16,752 335,040
* Protein Design Labs, Inc. 49,000 935,900
* ProxyMed, Inc. 5,305 33,793
* PSS World Medical, Inc. 65,060 763,804
* Psychiatric Solutions, Inc. 12,100 495,495
* QLT, Inc. 10,700 110,959
* QuadraMed Corp. 18,800 28,764
* Quidel Corp. 44,900 196,662
* # Quigley Corp. 10,200 90,270
* Quinton Cardiology Systems, Inc. 18,491 147,743
* Radiation Therapy Services, Inc. 500 10,350
* Radiologix, Inc. 31,300 123,009
* Regeneration Technologies, Inc. 43,019 289,518
* Regeneron Pharmaceuticals, Inc. 53,475 333,149
* RehabCare Group, Inc. 20,900 580,811
* Renal Care Group, Inc. 7,050 325,992
* Renovis, Inc. 16,400 217,300
* Repligen Corp. 22,515 51,559
* Res-Care, Inc. 31,149 415,216
* ResMed, Inc. 2,500 156,175
* Respironics, Inc. 11,717 783,164
* Rigel Pharmaceuticals, Inc. 2,300 41,147
* Rita Medical Systems, Inc. 64,500 171,570
* Rochester Medical Corp. 2,400 24,864
* Sangamo BioSciences, Inc. 38,200 143,250
* Savient Pharmaceuticals, Inc. 38,100 128,016
* Schein (Henry), Inc. 20,400 821,916
* Schick Technologies, Inc. 500 9,550
* Sciclone Pharmaceuticals, Inc. 65,253 162,480
* Seattle Genetics, Inc. 61,000 294,630
* # Senesco Technologies, Inc. 12,600 27,468
* Sequenom, Inc. 8,700 8,265
* SeraCare Life Sciences, Inc. 880 11,906
* Serologicals Corp. 29,200 627,508
* SFBC International, Inc. 16,350 572,414
* Sierra Health Services, Inc. 19,600 1,294,972
* # Sirna Therapeutics, Inc. 50,502 111,104
* Sonic Innovations, Inc. 31,035 135,002
* SonoSite, Inc. 18,500 567,950
* Sonus Pharmaceuticals, Inc. 31,600 102,384
Span-American Medical System, Inc. 200 2,060
* Specialty Laboratories, Inc. 32,800 269,616
* Spectranetics Corp. 25,100 143,321
* Spectrum Pharmaceuticals, Inc. 22,700 118,267
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* SRI/Surgical Express, Inc. 2,900 13,152
* Staar Surgical Co. 33,979 133,537
Steris Corp. 52,100 1,260,820
* Stratagene Corp. 2,093 17,937
* Strategic Diagnostics, Inc. 30,300 85,143
* Sun Healthcare Group, Inc. 15,200 106,400
* Suncoast Naturals, Inc. 442 50
* Sunrise Senior Living, Inc. 18,000 938,700
* SuperGen, Inc. 67,765 340,858
* SurModics, Inc. 13,500 532,170
* Sybron Dental Specialties, Inc. 21,400 793,298
* Symbion, Inc. 1,487 35,093
* Synovis Life Technologies, Inc. 17,300 132,345
* Synthetech, Inc. 10,400 6,271
* Tanox, Inc. 59,000 584,100
* Techne Corp. 14,000 652,400
* Telik, Inc. 16,800 239,568
* The Medicines Co. 23,500 515,590
* Theragenics Corp. 46,400 159,152
* Thermo Electron Corp. 2,925 76,986
* Third Wave Technologies, Inc. 53,862 202,521
* Thoratec Corp. 60,595 905,289
* Titan Pharmaceuticals, Inc. 44,378 95,413
* Transgenomic, Inc. 1,350 918
* Transkaryotic Therapies, Inc. 35,357 1,201,784
* Triad Hospitals, Inc. 3,596 182,389
* Trimeris, Inc. 19,473 197,651
* TriPath Imaging, Inc. 40,400 347,036
* Tripos, Inc. 7,234 26,042
* TriZetto Group, Inc. 46,700 648,196
* U.S. Physical Therapy, Inc. 16,700 267,701
* United Surgical Partners International, Inc. 22,000 1,059,080
* United Therapeutics Corp. 17,862 892,386
* Urologix, Inc. 23,612 103,184
Utah Medical Products, Inc. 2,000 43,520
* V.I. Technologies, Inc. 4,176 12,319
Valeant Pharmaceuticals International 30,500 629,215
* Varian, Inc. 30,700 1,142,040
* # Vascular Solutions, Inc. 14,400 172,512
* Vaxgen, Inc. 15,000 149,100
* VCA Antech, Inc. 20,500 507,580
* Ventana Medical Systems, Inc. 14,400 608,400
* Ventiv Health, Inc. 23,900 485,170
* Vertex Pharmaceuticals, Inc. 30,400 423,168
* Viasys Healthcare, Inc. 7,360 171,120
* Vical, Inc. 30,168 114,638
* Vicuron Pharmaceuticals, Inc. 16,000 263,680
* Virbac Corp. 9,500 31,113
* Virologic, Inc. 84,338 230,243
* # ViroPharma, Inc. 18,700 81,345
* VistaCare, Inc. 212 3,782
* Vital Images, Inc. 16,050 286,493
Vital Signs, Inc. 11,400 480,738
* Vivus, Inc. 43,600 103,768
* WebMD Corp. 6,500 61,295
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West Pharmaceutical Services, Inc. 17,600 489,984
* Wilson Greatbatch Technologies, Inc. 28,600 687,544
* Wright Medical Group, Inc. 23,000 633,420
Young Innovations, Inc. 4,500 167,130
* Zevex International, Inc. 600 2,463
* Zila, Inc. 54,269 157,380
* Zoll Medical Corp. 12,600 299,124
* Zymogenetics, Inc. 35,500 618,055
-----------------
Total Health Care
(Cost $97,980,872) 144,340,267
-----------------
Financials -- (10.2%)
1st Source Corp. 15,779 343,667
1st State Bancorp, Inc. 1,400 41,622
21st Century Insurance Group 40,100 558,593
ABC Bancorp 1,008 17,892
* # Acacia Research-Acacia Technologies 16,490 92,509
* Accredited Home Lenders Holding Co. 16,100 675,717
* ACE Cash Express, Inc. 17,818 388,611
Advanta Corp. Class A 9,900 227,007
Advanta Corp. Class B Non-Voting 11,500 283,705
* Aether Systems, Inc. 66,310 207,550
* Affiliated Managers Group, Inc. 16,500 1,100,550
* # Aixtron AG 19,074 61,800
Alabama National Bancorporation 9,400 591,072
Alfa Corp. 52,148 746,759
* Allmerica Financial Corp. 35,800 1,250,136
Amcore Financial, Inc. 15,961 444,673
Amegy Bancorporation, Inc. 47,100 838,851
* American Independence Corp. 5,224 69,218
* American Physicians Capital, Inc. 11,800 408,870
American Physicians Services Group, Inc. 500 6,200
* American West Bancorporation 3,926 77,617
Americana Bancorp 400 5,724
* AmeriCredit Corp. 110,300 2,743,161
* AmeriServe Financial, Inc. 27,110 148,021
AmerUs Group Co. 10,000 475,900
Anchor Bancorp Wisconsin, Inc. 18,909 522,267
* Arch Capital Group, Ltd. 2,100 93,765
* Argonaut Group, Inc. 35,831 750,301
Arrow Financial Corp. 2,129 57,483
ASB Financial Corp. 200 4,475
Associated Banc-Corp 2,755 92,072
ASTA Funding, Inc. 5,300 147,976
* Atlantic American Corp. 5,300 16,006
Baldwin & Lyons, Inc. Class A 250 6,787
Baldwin & Lyons, Inc. Class B 4,075 104,727
* Bancinsurance Corp. 2,600 13,520
BancorpSouth, Inc. 28,050 626,917
Bank of Granite Corp. 8,525 154,814
Bank of The Ozarks, Inc. 10,241 323,820
BankAtlantic Bancorp, Inc. Class A 8,700 154,338
BankUnited Financial Corp. Class A 24,059 594,498
Banner Corp. 9,110 242,417
Bay View Capital Corp. 2,337 37,041
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Berkley (W.R.) Corp. 22,612 801,822
Beverly Hills Bancorp, Inc. 7,711 80,580
* BFC Financial Corp. 22,605 204,349
* BNCCORP, Inc. 1,000 14,740
* BNS Holding, Inc. Class A 1,280 8,832
BOK Financial Corp. 1,621 73,302
Boston Private Financial Holdings, Inc. 15,400 376,992
Bristol West Holdings, Inc. 1,100 19,030
Brookline Bancorp, Inc. 30,368 461,594
Brown & Brown, Inc. 14,100 628,296
California First National Bancorp 3,400 39,440
Camco Financial Corp. 1,400 20,202
Capital Corp. of the West 3,065 74,326
* Capital Crossing Bank 5,800 188,384
Capital Properties, Inc. 550 12,694
Capitol Bancorp, Ltd. 1,700 52,615
* Cardinal Financial Corp. 28,622 260,460
Cash America International, Inc. 21,200 364,640
Cathay General Bancorp 20,904 710,736
Center Financial Corp. 6,200 132,494
Central Bancorp, Inc. 300 7,761
* Central Coast Bancorp 756 12,784
Central Pacific Financial Corp. 16,500 585,750
* Ceres Group, Inc. 49,916 286,019
CFS Bancorp, Inc. 8,800 115,368
Charter Financial Corp. 1,500 52,200
Chemical Financial Corp. 12,105 387,118
Chittenden Corp. 25,645 673,181
Citizens Banking Corp. 15,825 458,608
Citizens South Banking Corp. 2,500 31,575
* Citizens, Inc. 56,885 329,364
City Holding Co. 13,600 459,408
City National Corp. 153 10,868
Clark, Inc. 20,548 297,946
* CNA Surety Corp. 49,469 683,662
CNB Financial Corp. 2,500 37,562
CoBiz, Inc. 2,475 44,500
Columbia Banking System, Inc. 13,809 339,701
Commerce Group, Inc. 7,100 423,160
Commercial Bancshares, Inc. 781 30,451
Commercial Capital Bancorp, Inc. 21,846 370,290
Commercial Federal Corp. 15,400 385,154
Commercial National Financial Corp. 600 12,750
Community Bancorp, Inc. 1,000 40,500
Community Bancorp, Inc. 210 6,355
Community Bank System, Inc. 14,100 328,530
Community Trust Bancorp, Inc. 3,606 106,774
Community West Bancshares 2,300 28,014
* CompuCredit Corp. 44,400 1,399,932
Consolidated-Tokoma Land Co. 1,600 122,800
* Consumer Portfolio Services, Inc. 15,600 68,640
Corus Bankshares, Inc. 15,310 785,709
* Credit Acceptance Corp. 40,300 568,633
CVB Financial Corp. 19,411 357,939
* # Danielson Holding Corp. 22,100 359,125
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* Dearborn Bancorp, Inc. 1,337 36,821
Delphi Financial Group, Inc. Class A 13,950 591,480
Delta Financial Corp. 16,400 148,420
Dime Community Bancshares 33,275 502,452
Donegal Group, Inc. Class A 3,621 66,844
Donegal Group, Inc. Class B 444 7,313
Downey Financial Corp. 13,600 1,020,272
East West Bancorp, Inc. 22,800 766,992
EFC Bancorp, Inc. 900 24,300
* E-Loan, Inc. 101,427 289,067
EMC Insurance Group, Inc. 1,100 19,624
* Encore Capital Group, Inc. 19,500 299,520
* Epoch Holding Corp. 2,900 13,050
ESB Financial Corp. 2,937 39,121
* eSpeed, Inc. 36,183 310,088
* EZCORP, Inc. Class A Non-Voting 1,000 9,510
F.N.B. Corp. 12,172 226,156
FBL Financial Group, Inc. Class A 11,800 315,650
Federal Agriculture Mortgage Corporation 15,500 286,440
Fidelity Bancorp, Inc. 292 6,142
Fidelity Bankshares, Inc. 20,474 506,731
Fidelity Southern Corp. 1,600 25,952
Financial Federal Corp. 21,200 790,760
* Financial Industries Corp. 10,541 90,126
* Firebrand Financial Group, Inc. 1,700 119
* First Acceptance Corp. 56,400 504,780
First Albany Companies, Inc. 4,983 28,652
First American Corp. 7,600 294,120
First Bancorp 1,308 27,337
* First Bank of Delaware 2,750 9,075
* First Cash Financial Services, Inc. 20,300 353,220
First Charter Corp. 14,600 321,930
First Commonwealth Financial Corp. 33,253 444,260
First Community Bancorp 11,045 487,968
First Community Bancshares, Inc. 9,903 297,882
First Defiance Financial Corp. 700 18,718
First Federal Bancshares of Arkansas, Inc. 2,400 58,776
First Federal Bankshares, Inc. 200 4,516
First Financial Bancorp 24,262 436,716
First Financial Bankshares, Inc. 2,500 103,850
First Financial Corp. 1,800 48,780
First Financial Holdings, Inc. 10,700 304,308
First Financial Service Corp. 220 5,643
First Indiana Corp. 12,106 326,257
* First Investors Financial Services Group, Inc. 400 1,910
First Keystone Financial, Inc. 200 3,462
* First Mariner Bancorp 2,200 36,674
First Merchants Corp. 13,062 324,852
First Midwest Bancorp, Inc. 21,422 743,129
First Mutual Bancshares, Inc. 92 2,272
First Niagara Financial Group, Inc. 57,653 750,642
First Oak Brook Bancshares, Inc. 6,450 177,955
First PacTrust Bancorp, Inc. 1,300 32,162
First Place Financial Corp. 11,067 217,909
First Republic Bank 17,775 570,222
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First State Bancorporation 13,222 244,078
First United Corp. 800 16,192
First West Virginia Bancorp, Inc. 400 7,920
FirstBank NW Corp. 545 14,252
* FirstCity Financial Corp. 16,542 215,046
* FirstFed Financial Corp. 14,300 774,774
Flag Financial Corp. 1,600 23,840
Flagstar Bancorp, Inc. 29,550 583,908
Flushing Financial Corp. 16,050 271,084
FNB Corp. 1,400 25,900
FNB Corp. 439 11,787
FNB Financial Services Corp. 1,275 27,017
Foothill Independent Bancorp 2,182 44,916
* FPIC Insurance Group, Inc. 13,074 389,082
* Franklin Bank Corp. 20,500 350,550
Fremont General Corp. 38,500 828,135
Fulton Financial Corp. 1,672 36,333
Gabelli Asset Management, Inc. 3,200 139,680
Gateway Financial Holdings, Inc. 4,950 89,149
Glacier Bancorp, Inc. 13,437 313,766
Gold Banc Corp. 24,900 345,861
Great American Financial Resources, Inc. 8,200 138,252
Great Southern Bancorp, Inc. 2,000 62,420
* Greater Atlantic Financial Corp. 1,300 7,540
Greater Bay Bancorp 28,274 710,526
Greater Communications Bancorp 2,152 34,432
* Grubb & Ellis Co. 5,100 30,600
GS Financial Corp. 400 7,162
Guaranty Bancshares, Inc. 400 8,164
Guaranty Federal Bancshares, Inc. 900 20,925
Hancock Holding Co. 18,069 584,713
Hanmi Financial Corp. 8,500 136,595
Harbor Florida Bancshares, Inc. 22,100 786,097
Harleysville Group, Inc. 13,200 268,092
Harleysville National Corp. 23,243 536,216
HCC Insurance Holdings, Inc. 12,300 482,283
Heartland Financial USA, Inc. 8,466 167,457
Heritage Commerce Corp. 4,700 87,044
Heritage Financial Corp. 1,000 21,750
HF Financial Corp. 770 17,517
Hilb Rogal Hamilton Co. 19,900 678,391
HMN Financial, Inc. 3,600 108,486
Home Federal Bancorp 900 21,960
HopFed Bancorp, Inc. 500 8,010
Horace Mann Educators Corp. 17,600 320,320
Horizon Financial Corp. 6,297 126,570
Hudson United Bancorp 18,600 635,190
IBERIABANK Corp. 6,560 385,990
ILX Resorts, Inc. 300 2,943
Independence Community Bank Corp. 34,971 1,310,713
Independence Holding Co. 1,584 27,958
Independent Bank Corp. MA 13,700 382,641
Independent Bank Corp. MI 15,959 449,086
Infinity Property & Casualty Corp. 9,300 297,600
Integra Bank Corp. 15,355 339,192
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Interchange Financial Services Corp. 3,987 72,404
* Investment Technology Group, Inc. 41,000 809,340
Irwin Financial Corp. 15,500 325,345
* ITLA Capital Corp. 2,300 114,586
Jefferies Group, Inc. 24,600 871,086
* Jones Lang LaSalle, Inc. 23,100 979,671
* Kennedy-Wilson, Inc. 2,800 28,896
* KNBT Bancorp, Inc. 2,285 34,083
* Knight Capital Group, Inc. 87,900 663,645
* LaBranche & Co., Inc. 5,300 29,309
Lakeland Bancorp, Inc. 89 1,355
LandAmerica Financial Group, Inc. 8,900 500,180
Landmark Bancorp, Inc. 120 3,201
LSB Corp. 1,100 17,655
MAF Bancorp, Inc. 28,320 1,205,299
Main Street Banks, Inc. 18,874 497,707
MASSBANK Corp. 900 32,085
* Matrix Bancorp, Inc. 2,700 34,560
MB Financial, Inc. 15,900 607,221
MBT Financial Corp. 14,583 278,827
MCG Capital Corp. 11,300 180,800
* Meadowbrook Insurance Group, Inc. 42,400 218,360
Medallion Finanacial Corp. 12,600 116,676
Mercantile Bank Corp. 2,315 94,568
Merchants Bancshares, Inc. 3,250 86,060
Merchants Group, Inc. 1,400 35,140
Meta Financial Group, Inc. 600 12,660
* Metris Companies, Inc. 65,300 847,594
MetroCorp. Bancshares, Inc. 1,400 29,120
MFB Corp. 200 5,254
MicroFinancial, Inc. 12,500 48,625
Mid Penn Bancorp, Inc. 210 5,271
Midland Co. 4,000 127,800
Mid-State Bancshares 19,232 514,841
Midwest Banc Holdings, Inc. 14,550 291,000
Nara Bancorp, Inc. 13,035 181,056
National Penn Bancshares, Inc. 19,196 454,561
National Security Group, Inc. 1,000 21,010
* National Western Life Insurance Co. Class A 1,700 311,737
* Navigators Group, Inc. 14,918 495,874
NBT Bancorp, Inc. 17,538 415,651
NetBank, Inc. 28,156 233,976
New Hampshire Thrift Bancshares, Inc. 200 3,230
NewMil Bancorp, Inc. 1,600 48,800
* Newtek Business Services, Inc. 53,457 138,454
North Central Bancshares, Inc. 400 15,496
Northeast Bancorp 200 4,384
Northrim BanCorp, Inc. 2,630 60,148
Northway Financial, Inc. 200 6,398
Northwest Bancorp, Inc. 27,846 554,135
Norwood Financial Corp. 300 10,227
NYMAGIC, Inc. 5,500 112,475
Oak Hill Financial, Inc. 1,200 31,116
OceanFirst Financial Corp. 11,429 245,723
* Ocwen Financial Corp. 78,500 567,555
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# Odyssey Re Holdings Corp. 34,000 819,740
Ohio Casualty Corp. 54,600 1,304,940
Old National Bancorp 27,500 545,325
Pacific Capital Bancorp 36,977 1,249,823
* Pacific Mercantile Bancorp 4,200 59,287
* Pacific Premier Bancorp, Inc. 4,020 42,097
Parkvale Financial Corp. 1,200 33,360
Partners Trust Financial Group, Inc. 4,719 48,700
* Penn Treaty American Corp. 45,600 101,688
Pennfed Financial Services, Inc. 1,600 23,232
Peoples Community Bancorp 1,100 23,705
PFF Bancorp, Inc. 14,070 408,593
* Philadelphia Consolidated Holding Corp. 16,699 1,377,167
Pinnacle Bancshares, Inc. 100 1,411
* Pinnacle Financial Partners, Inc. 11,120 248,421
* Piper Jaffray Companies, Inc. 16,700 472,109
* PMA Capital Corp. Class A 46,000 341,780
Pocahontas Bancorp, Inc. 1,600 22,400
* Premier Financial Bancorp 100 1,087
Presidential Life Corp. 22,575 342,011
Princeton National Bancorp, Inc. 1,400 43,050
PrivateBancorp, Inc. 3,600 121,644
* ProAssurance Corp. 25,600 1,001,472
Prosperity Bancshares, Inc. 18,037 489,163
Provident Bancorp, Inc. 32,285 378,057
Provident Bankshares Corp. 15,781 499,311
Provident Financial Holdings, Inc. 1,350 37,557
Provident Financial Services, Inc. 6,699 119,108
* PSB Bancorp, Inc. 500 6,115
Pulaski Financial Corp. 1,400 31,206
Renasant Corp. 2,250 68,445
Republic Bancorp, Inc. 39,069 539,348
Republic Bancorp, Inc. Class A 1,102 25,148
* Republic First Bancorp, Inc. 3,080 41,026
* Rewards Network, Inc. 28,600 146,146
Riverview Bancorp, Inc. 900 19,350
RLI Corp. 12,100 529,254
* RTW, Inc. 2,000 19,400
S&T Bancorp, Inc. 11,868 417,160
Salisbury Bancorp, Inc. 200 8,100
Sanders Morris Harris Group, Inc. 21,000 343,350
Sandy Spring Bancorp, Inc. 11,950 396,740
* SCPIE Holdings, Inc. 900 10,098
Seacoast Banking Corp. of Florida 11,701 237,179
* Security National Financial Corp. Class A 1,852 6,149
Selective Insurance Group, Inc. 11,600 558,308
* Siebert Financial Corp. 8,500 25,075
Simmons First National Corp. Class A 11,102 272,443
Sky Financial Group, Inc. 1,638 47,158
Sound Federal Bancorp, Inc. 5,558 88,483
South Financial Group, Inc. 17,434 475,076
Southern Missouri Bancorp, Inc. 400 6,000
Southwest Bancorp, Inc. 8,555 154,845
Southwest Georgia Financial Corp. 1,320 30,360
* Standard Management Corp. 2,900 5,220
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State Auto Financial Corp. 22,400 604,800
State Financial Services Corp. Class A 4,000 158,800
Sterling Bancorp 13,843 292,779
Sterling Bancshares, Inc. 36,250 493,000
* Sterling Financial Corp. 19,790 699,576
Stewart Information Services Corp. 13,400 525,950
* Stifel Financial Corp. 14,200 299,904
* Stratus Properties, Inc. 2,150 35,862
* Sun Bancorp, Inc. 21,573 447,424
* Superior Essex, Inc. 17,644 295,890
Susquehanna Bancshares, Inc. 19,154 435,945
* SVB Financial Group 26,200 1,251,312
* SVB Financial Services, Inc. 231 4,645
SWS Group, Inc. 12,698 201,263
Synergy Financial Group, Inc. 7,400 89,392
Teche Holding Co. 400 14,460
* Tejon Ranch Co. 7,100 368,490
Texas Regional Banchshares, Inc. Class A 24,567 707,284
Texas United Bancshares, Inc. 575 9,999
TF Financial Corp. 400 11,600
* The Banc Corp. 27,480 288,540
The Colonial BancGroup, Inc. 2,096 46,720
The Phoenix Companies, Inc. 40,100 461,150
TierOne Corp. 15,246 367,810
Timberland Bancorp, Inc. 1,500 34,515
* Tradestation Group, Inc. 33,100 243,947
* Trammell Crow Co. 41,300 931,315
* Triad Guaranty, Inc. 11,674 632,731
Trico Bancshares 2,400 48,960
TrustCo Bank Corp. NY 8,160 101,592
Trustmark Corp. 30,734 878,070
UCBH Holdings, Inc. 31,600 540,360
UICI 39,400 990,910
UMB Financial Corp. 8,505 473,728
Umpqua Holdings Corp. 26,965 628,554
* Unico American Corp. 1,200 10,980
Union Community Bancorp 400 6,592
* United America Idemnity, Ltd. 6,536 111,439
United Bankshares, Inc. 19,607 655,854
United Community Banks, Inc. 18,673 466,452
United Community Financial Corp. 22,500 236,475
United Financial Corp. 165 4,038
* United Financial Mortgage Corp. 6,200 26,846
United Fire & Casualty Co. 600 23,622
* United PanAm Financial Corp. 6,500 154,830
Unity Bancorp, Inc. 2,535 31,054
* Universal American Financial Corp. 59,200 1,121,248
Unizan Financial Corp. 10,573 269,506
* USA Mobility, Inc. 21,000 555,660
USB Holding Co., Inc. 4,074 86,084
Vesta Insurance Group, Inc. 26,000 65,520
Waddell & Reed Financial, Inc. 8,900 170,613
Washington Banking Co. 1,349 19,291
Washington Savings Bank, FSB 500 4,330
Washington Trust Bancorp, Inc. 11,554 325,707
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Webster Financial Corp. 3,036 142,388
Wesbanco, Inc. 14,700 434,679
West Bancorporation 12,071 214,985
West Coast Bancorp 13,060 284,186
Westamerica Bancorporation 513 27,009
Westbank Corp. 661 11,131
Westcorp, Inc. 13,560 656,846
Westwood Holdings Group, Inc. 1,603 27,075
* WFS Financial, Inc. 23,600 1,150,500
Willow Grove Bancorp, Inc. 5,100 77,755
* Wilshire Enterprises, Inc. 800 6,000
Wintrust Financial Corp. 12,950 648,406
* World Acceptance Corp. 22,900 596,545
WVS Financial Corp. 500 8,550
Yardville National Bancorp 7,100 240,761
Zenith National Insurance Corp. 2,500 158,375
-----------------
Total Financials
(Cost $71,005,288) 108,713,599
-----------------
Energy -- (6.9%)
* Abraxas Petroleum Corp. 1,500 4,110
Arch Coal, Inc. 22,100 1,070,745
* ATP Oil & Gas Corp. 28,200 594,738
* Atwood Oceanics, Inc. 14,389 824,346
Barnwell Industries, Inc. 400 24,500
Berry Petroleum Corp. Class A 22,500 1,070,100
* Bolt Technology Corp. 2,300 13,455
* Brigham Exploration Co. 55,900 472,914
Cabot Oil & Gas Corp. 29,450 923,257
* Cal Dive International, Inc. 26,400 1,198,560
* Callon Petroleum Co. 24,900 352,335
CARBO Ceramics, Inc. 7,600 544,464
* Carrizo Oil & Gas, Inc. 8,500 128,180
Castle Energy Corp. 4,900 63,700
* Cheniere Energy, Inc. 23,000 673,900
Chesapeake Energy Corp. 146,800 3,004,996
* # Cimarex Energy Co. 8,406 316,318
* Clayton Williams Energy, Inc. 6,700 183,044
* Comstock Resources, Inc. 33,100 755,342
* Dawson Geophysical Co. 1,900 39,520
* Delta Petroleum Corp. 49,900 569,858
* Denbury Resources, Inc. 42,530 1,360,109
* Dril-Quip, Inc. 23,400 639,990
* Edge Petroleum Corp. 21,600 294,408
* Encore Acquisition Co. 28,200 1,051,860
* Endeavour International Corp. 90,200 296,758
* Energy Partners, Ltd. 37,000 845,450
ENSCO International, Inc. 6,049 201,432
* Forest Oil Corp. 34,130 1,357,009
Frontier Oil Corp. 17,000 831,470
* Giant Industries, Inc. 16,300 469,603
* Goodrich Petroleum Corp. 17,400 308,154
* Grey Wolf, Inc. 144,700 950,679
Gulf Island Fabrication, Inc. 13,541 272,174
* Gulfmark Offshore, Inc. 26,000 651,560
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* Hanover Compressor Co. 73,600 767,648
* Harvest Natural Resources, Inc. 49,684 538,575
Helmerich & Payne, Inc. 19,000 787,930
Holly Corp. 20,000 764,600
* Houston Exploration Co. 24,547 1,251,161
* Hydril Co. 11,600 602,156
* Infinity, Inc. 15,700 129,525
* Input/Output, Inc. 100,600 596,558
* KCS Energy, Inc. 27,800 390,590
* Key Energy Group, Inc. 100,300 1,102,297
* # KFX, Inc. 53,700 707,229
* Lone Star Technologies, Inc. 26,100 1,081,845
Lufkin Industries, Inc. 8,600 247,938
* Magnum Hunter Resources, Inc. 68,700 1,062,102
Maritrans, Inc. 1,700 40,613
MarkWest Hydrocarbon, Inc. 2,904 63,423
Massey Energy Co. 24,830 1,003,877
* Matrix Service Co. 25,100 103,663
* Maverick Tube Corp. 36,800 1,111,728
* # McMoran Exploration Co. 18,400 340,584
* Meridian Resource Corp. 88,900 402,717
* Mission Resources Corp. 57,800 408,646
* Mitcham Industries, Inc. 14,196 99,656
* NATCO Group, Inc. Class A 19,200 206,592
* National-Oilwell, Inc. 13,536 609,120
* Newfield Exploration Co. 342 13,150
* Newpark Resources, Inc. 114,100 696,010
Noble Energy, Inc. 18,227 1,355,546
* NS Group, Inc. 25,000 720,500
* Oceaneering International, Inc. 22,700 828,550
* Offshore Logistics, Inc. 22,300 698,436
* Oil States International, Inc. 43,800 1,014,408
* # OMNI Energy Services Corp. 1,200 1,956
Overseas Shipholding Group, Inc. 12,000 733,200
* Parallel Petroleum Corp. 40,390 275,056
* Parker Drilling Co. 111,600 636,120
Patterson-UTI Energy, Inc. 31,249 827,786
Penn Virginia Corp. 10,220 421,779
* Petroleum Development Corp. 20,400 533,052
* Pioneer Drilling Co. 1,600 22,384
* Plains Exploration & Production Co. 64,371 1,966,534
Pogo Producing Co. 6,800 336,192
* Pride International, Inc. 37,000 834,350
Range Resources Corp. 52,500 1,212,750
* Remington Oil & Gas Corp. 23,500 728,500
* Rentech, Inc. 47,350 70,078
Resource America, Inc. 15,800 536,884
Rowan Companies, Inc. 6,500 178,750
* Royale Energy, Inc. 2,974 16,238
RPC, Inc. 13,200 194,964
* Seabulk International, Inc. 23,933 469,326
* SEACOR Holdings, Inc. 15,900 923,154
* Southwestern Energy Co. 25,400 1,772,920
* Spinnaker Exploration Co. 29,200 895,564
St. Mary Land & Exploration Co. 102,265 2,660,935
46
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* Stone Energy Corp. 27,384 1,178,334
* Superior Energy Services, Inc. 62,100 971,865
* Swift Energy Corp. 30,500 1,041,575
* Syntroleum Corp. 44,683 387,402
* Tel Offshore Trust 998 7,255
Tesoro Petroleum Corp. 51,700 2,254,120
* # Teton Petroleum Co. 14,400 50,400
* TETRA Technologies, Inc. 26,150 721,740
* Tipperary Corp. 4,600 21,482
* Toreador Resources Corp. 3,200 68,736
* TransMontaigne, Inc. 54,676 452,717
* # Tri-Valley Corp. 16,100 192,234
* # U.S. Energy Corp. Wyoming 5,600 22,512
* Unit Corp. 35,000 1,365,700
* Universal Compression Holdings, Inc. 27,900 954,180
USEC, Inc. 35,463 484,070
* Veritas DGC, Inc. 36,100 974,700
Vintage Petroleum, Inc. 51,700 1,427,954
Western Gas Resources, Inc. 16,000 513,120
* Westmoreland Coal Co. 6,800 146,064
* W-H Energy Services, Inc. 34,000 736,780
* Whiting Petroleum Corp. 2,664 92,121
World Fuel Services Corp. 17,800 469,030
-----------------
Total Energy
(Cost $35,218,390) 72,888,974
-----------------
Materials -- (4.8%)
* AEP Industries, Inc. 10,400 179,192
Airgas, Inc. 59,500 1,428,000
* AK Steel Holding Corp. 113,200 865,980
Albemarle Corp. 18,400 699,936
* Aleris International, Inc. 28,386 676,155
Allegheny Technologies, Inc. 24,079 511,920
AMCOL International Corp. 21,000 407,400
* American Pacific Corp. 2,900 23,490
American Vanguard Corp. 5,132 91,863
Applied Extrusion Technologies, Inc. 156 0
Aptargroup, Inc. 16,500 825,000
Arch Chemicals, Inc. 15,340 361,564
Atlantis Plastics, Inc. 3,400 21,114
* Badger Paper Mills, Inc. 300 1,002
Bairnco Corp. 2,000 22,340
Balchem Corp. 2,700 74,790
* Brush Engineered Materials, Inc. 24,700 350,246
* Buckeye Technologies, Inc. 49,400 408,538
Calgon Carbon Corp. 34,700 309,177
Cambrex Corp. 25,300 457,930
* Caraustar Industries, Inc. 35,300 370,650
Carpenter Technology Corp. 14,800 799,200
* Castle (A.M. ) & Co. 7,800 109,122
* Century Aluminum Co. 27,641 619,435
* CFC International, Inc. 100 1,843
Chesapeake Corp. 15,225 317,746
Cleveland-Cliffs, Inc. 21,100 1,237,093
* Coeur d'Alene Mines Corp. 225,600 751,248
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Commercial Metals Co. 40,600 1,062,096
Compass Minerals International, Inc. 300 6,759
* Constar International, Inc. 10,700 34,240
* Continental Materials Corp. 1,000 31,190
* # Core Molding Technologies, Inc. 1,800 16,920
Crompton Corp. 46,772 717,950
* Crown Holdings, Inc. 73,800 1,098,882
Cytec Industries, Inc. 21,300 887,358
Deltic Timber Corp. 10,700 414,090
* Devcon International Corp. 600 7,050
Eagle Materials, Inc. 9,900 867,933
Eagle Materials, Inc. Class B 6,700 569,835
Ferro Corp. 20,400 392,496
Florida Rock Industries, Inc. 20,825 1,362,996
* FMC Corp. 21,057 1,167,611
Fuller (H.B.) Co. 13,900 450,360
Georgia Gulf Corp. 31,600 1,004,248
Gibraltar Industries, Inc. 17,850 349,146
Glatfelter (P.H.) Co. 33,800 378,560
* Graphic Packaging Corp. 110,700 415,125
Great Lakes Chemical Corp. 23,600 800,040
Hawkins, Inc. 3,200 39,360
* Headwaters, Inc. 27,300 903,084
* Hecla Mining Co. 85,737 384,102
* Hercules, Inc. 33,900 468,498
Kronos Worldwide, Inc. 2,772 87,595
* Landec Corp. 39,094 234,173
* Lesco, Inc. 9,100 122,850
Longview Fibre Co. 40,200 802,794
Louisiana-Pacific Corp. 61,400 1,546,052
Lyondell Chemical Co. 31,860 756,356
MacDermid, Inc. 19,000 553,090
* Material Sciences Corp. 22,700 276,940
* Maxxam, Inc. 3,900 90,675
Metal Management, Inc. 32,600 598,862
* Metals USA, Inc. 26,115 552,855
Minerals Technologies, Inc. 14,200 955,660
* Mines Management, Inc. 300 1,713
* Mod-Pac Corp. 1,350 21,531
* Mod-Pac Corp. Class B 168 2,486
Myers Industries, Inc. 25,370 282,876
* Nanophase Technologies Corp. 21,500 140,180
* NewMarket Corp. 20,500 278,595
Niagara Corp. 900 7,695
* NL Industries, Inc. 16,000 243,200
NN, Inc. 10,200 129,438
Northern Technologies International Corp. 5,100 24,990
* Northwest Pipe Co. 3,900 86,424
Olin Corp. 18,900 354,753
* Olympic Steel, Inc. 15,700 246,490
* OM Group, Inc. 31,900 803,880
* OMNOVA Solutions, Inc. 9,400 38,164
* Oregon Steel Mills, Inc. 37,100 655,186
* Owens-Illinois, Inc. 73,200 1,881,972
Packaging Dynamics Corp. 3,440 48,504
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Penford Corp. 500 7,745
* PolyOne Corp. 54,300 364,896
Pope & Talbot, Inc. 15,600 172,068
Potlatch Corp. 13,900 718,491
Quaker Chemical Corp. 8,980 158,946
Quanex Corp. 13,950 723,866
Reliance Steel & Aluminum Co. 16,100 619,689
Roanoke Electric Steel Corp. 800 16,040
Rock of Ages Corp. 1,600 9,712
Rock-Tenn Co. Class A 26,800 308,468
Royal Gold, Inc. 13,200 231,660
* RTI International Metals, Inc. 29,000 794,310
Ryerson Tull, Inc. 18,500 281,570
Schnitzer Steel Industries, Inc. Class A 13,450 310,964
Schulman (A.), Inc. 23,600 386,096
Schweitzer-Maudoit International, Inc. 10,700 320,679
* Scotts Co. Class A 12,000 851,640
Sensient Technologies Corp. 21,200 431,420
Silgan Holdings, Inc. 7,100 404,700
* Southwall Technologies, Inc. 800 1,072
Spartech Corp. 17,300 349,979
Steel Dynamics, Inc. 36,800 989,552
Steel Technologies, Inc. 9,400 188,000
* Stillwater Mining Co. 71,800 484,650
Summa Industries, Inc. 3,100 23,870
* Symyx Technologies, Inc. 16,981 432,676
* Terra Industries, Inc. 83,200 528,320
Texas Industries, Inc. 10,500 483,210
* The Mosaic Co. 39,168 512,317
* # Titanium Metals Corp. 5,850 248,859
* U.S. Concrete, Inc. 43,218 264,494
* Universal Stainless & Alloy Products, Inc. 5,100 64,005
Valhi, Inc. 16,900 313,326
Vulcan International Corp. 200 9,820
Wausau-Mosinee Paper Corp. 38,500 481,250
* Webco Industries, Inc. 200 1,150
Wellman, Inc. 24,500 275,380
* Williams Industries, Inc. 1,500 5,229
Worthington Industries, Inc. 30,770 515,705
* # Zoltek Companies, Inc. 22,500 224,100
-----------------
Total Materials
(Cost $31,715,325) 51,087,806
-----------------
Consumer Staples -- (3.2%)
* 7-Eleven, Inc. 54,100 1,614,885
* Alico, Inc. 700 36,050
Alliance One International, Inc. 67,600 433,316
# American Italian Pasta Co. 14,000 322,140
* Atlantic Premium Brands, Ltd. 2,500 2,875
* Boston Beer Co., Inc. Class A 9,300 196,323
* Bridgford Foods Corp. 1,000 7,760
Calavo Growers, Inc. 4,400 45,729
Cal-Maine Foods, Inc. 17,800 115,522
Casey's General Stores, Inc. 26,700 481,668
CCA Industries, Inc. 3,660 36,783
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* Central European Distribution Corp. 13,650 455,227
* Central Garden & Pet Co. 16,800 745,080
* Chattem, Inc. 23,000 986,700
Chiquita Brands International, Inc. 34,200 994,536
Church & Dwight Co., Inc. 18,100 654,496
Corn Products International, Inc. 25,600 565,504
* Cruzan International, Inc. 200 2,790
* Darling International, Inc. 73,400 273,048
Delta & Pine Land Co. 14,800 399,600
Dreyer's Grand Ice Cream Holdings, Inc. Class A 9,900 803,385
* Elizabeth Arden, Inc. 22,300 468,746
Farmer Brothers Co. 3,000 72,000
Flowers Foods, Inc. 24,150 788,497
* Foodarama Supermarkets, Inc. 100 3,100
* Fresh Brands, Inc. 1,200 8,088
* # Great Atlantic & Pacific Tea Co., Inc. 47,500 1,184,175
* Green Mountain Coffee, Inc. 8,742 290,846
* Griffin Land & Nurseries, Inc. Class A 1,200 28,800
* Hain Celestial Group, Inc. 28,551 513,918
* Hines Horticulture, Inc. 7,100 25,205
Imperial Sugar Co. (New) 15,430 237,622
Ingles Market, Inc. Class A 7,100 89,744
* # Integrated Biopharma, Inc. 10,200 45,390
Inter Parfums, Inc. 8,465 150,254
* Interstate Bakeries Corp. 37,200 243,288
J & J Snack Foods Corp. 12,118 598,144
J. M. Smucker Co. 10,434 519,718
* Katy Industries, Inc. 300 1,047
Lancaster Colony Corp. 18,720 822,557
Lance, Inc. 29,600 523,328
Longs Drug Stores Corp. 20,800 853,632
* M&F Worldwide Corp. 27,300 349,167
# Mannatech, Inc. 10,200 164,322
* Maui Land & Pineapple Co., Inc. 7,700 318,087
* # Medifast, Inc. 11,305 34,706
MGP Ingredients, Inc. 5,500 45,980
* Monterey Pasta Co. 20,400 61,608
Nash Finch Co. 11,300 402,054
* National Beverage Corp. 7,800 63,960
* Natrol, Inc. 5,100 14,280
Nature's Sunshine Products, Inc. 9,059 149,202
* NBTY, Inc. 51,300 1,140,912
* NeighborCare, Inc. 29,700 891,297
Nu Skin Enterprises, Inc. Class A 19,000 429,210
Oil-Dri Corp. of America 800 13,680
* Omega Protein Corp. 34,771 246,874
* # Parlux Fragrances, Inc. 13,500 337,230
* Pathmark Stores, Inc. 44,900 401,855
* Peet's Coffee & Tea, Inc. 14,500 411,655
* Performance Food Group Co. 35,700 966,042
Pilgrim's Pride Corp. 26,000 916,500
* Playtex Products, Inc. 53,500 576,730
* PriceSmart, Inc. 28,350 198,450
Pyramid Breweries, Inc. 5,400 10,202
Ralcorp Holdings, Inc. 23,300 888,662
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* # Redhook Ale Brewery, Inc. 5,500 16,775
Reliv International, Inc. 10,393 109,126
* Revlon, Inc. 98,972 293,947
Ruddick Corp. 28,600 687,258
* San Filippo (John B.) & Son, Inc. 11,300 238,995
Sanderson Farms, Inc. 11,400 432,060
* Scheid Vineyards, Inc. 2,700 15,660
Scope Industries 400 27,960
Seaboard Corp. 270 363,150
* Seneca Foods Corp. Class B 400 6,610
* Smart & Final Food, Inc. 31,900 346,115
* Smithfield Foods, Inc. 3,600 107,388
* Spartan Stores, Inc. 29,820 384,678
* Spectrum Brands, Inc. 18,800 695,036
* Star Scientific, Inc. 69,417 402,619
Stephan Co. 900 4,005
Tasty Baking Co. 7,600 60,800
The Topps Co., Inc. 36,100 336,452
* Tofutti Brands, Inc. 800 2,520
Tootsie Roll Industries, Inc. 15,226 471,245
* United Natural Foods, Inc. 22,400 726,656
United-Guardian, Inc. 900 6,822
Universal Corp. 11,000 488,400
* # USANA Health Services, Inc. 9,300 408,270
Vector Group, Ltd. 5,735 98,355
* Vermont Pure Holdings, Ltd. 2,300 4,186
Village Super Market, Inc. 700 31,185
* Vita Food Products, Inc. 1,600 3,600
WD-40 Co. 10,400 301,392
* Weider Nutrition International, Inc. 3,900 15,912
Weis Markets, Inc. 14,393 528,799
* Wild Oats Markets, Inc. 37,500 421,500
* # Winn-Dixie Stores, Inc. 153,600 161,280
-----------------
Total Consumer Staples
(Cost $20,864,669) 33,872,937
-----------------
Utilities -- (2.4%)
* Allegheny Energy, Inc. 91,300 2,207,634
ALLETE, Inc. 19,600 940,800
American States Water Co. 12,766 357,193
* Aquila, Inc. 213,800 799,612
Artesian Resources Corp. Class A 1,462 47,179
Atmos Energy Corp. 14,100 398,889
Avista Corp. 18,900 333,207
* BayCorp Holdings, Ltd. 239 3,310
BIW, Ltd. 2,200 40,040
Black Hills Corp. 12,800 468,736
California Water Service Group 15,153 546,720
* # Calpine Corp. 396,300 1,180,974
Cascade Natural Gas Corp. 7,400 142,228
Central Vermont Public Service Corp. 9,400 197,400
CH Energy Group, Inc. 5,200 235,040
Chesapeake Utilities Corp. 2,400 69,168
Cleco Corp. 19,500 407,355
* CMS Energy Corp. 115,106 1,522,852
51
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Connecticut Water Services, Inc. 1,800 45,036
Delta Natural Gas Co., Inc. 1,300 33,436
Duquesne Light Holdings, Inc. 26,200 498,586
* Dynegy, Inc. 216,500 1,006,725
* El Paso Electric Co. 55,900 1,121,913
Empire District Electric Co. 19,100 438,918
Energen Corp. 12,500 814,750
* Energy West, Inc. 3,100 25,420
EnergySouth, Inc. 4,850 130,562
Florida Public Utilities Co. 566 10,018
Green Mountain Power Corp. 2,100 61,362
IDACORP, Inc. 17,300 489,936
Laclede Group, Inc. 13,200 394,680
MGE Energy, Inc. 9,840 354,240
Middlesex Water Co. 666 12,880
New Jersey Resources Corp. 14,800 667,480
Nicor, Inc. 15,300 604,350
Northwest Natural Gas Co. 10,800 390,960
NorthWestern Corp. 18,212 527,784
Otter Tail Corp. 12,000 305,520
Peoples Energy Corp. 14,800 632,700
Piedmont Natural Gas Co. 7,600 185,896
PNM Resources, Inc. 21,750 633,795
* Reliant Energy, Inc. 62,500 768,750
RGC Resources, Inc. 600 16,164
SEMCO Energy, Inc. 12,700 69,596
* # Sierra Pacific Resources 101,400 1,211,730
South Jersey Industries, Inc. 6,058 343,489
* Southern Union Co. 50,658 1,239,616
Southwest Gas Corp. 14,600 364,708
Southwest Water Co. 12,791 136,096
UGI Corp. 26,000 689,260
UIL Holdings Corp. 5,489 284,550
Unisource Energy Corp. 13,000 374,010
Westar Energy, Inc. 17,200 396,804
WGL Holdings, Inc. 20,200 657,308
-----------------
Total Utilities
(Cost $17,619,471) 25,837,365
-----------------
Telecommunication Services -- (1.2%)
* @Road, Inc. 80,900 223,284
Alaska Communications Systems Group, Inc. 4,950 46,877
* American Tower Corp. 64,600 1,165,384
* Boston Communications Group, Inc. 25,700 35,723
* # Broadwing Corp. 74,752 366,285
* Centennial Communications Corp. 31,000 405,790
* Cincinnati Bell, Inc. 115,000 454,250
* # Cogent Communications Group, Inc. 3,305 76,048
* Commonwealth Telephone Enterprises, Inc. 14,459 755,483
* Crown Castle International Corp. 100,200 1,781,556
CT Communications, Inc. 10,000 121,000
D&E Communications, Inc. 6,297 50,943
* General Communications, Inc. Class A 69,829 575,391
Hector Communications Corp. 1,700 39,100
* IDT Corp. 16,600 223,934
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* IDT Corp. Class B 69,000 945,300
* LCC International, Inc. Class A 29,200 104,244
* Metro One Telecommunications, Inc. 260 244
* Moscow CableCom Corp. 1,000 5,550
* Nextel Partners, Inc. 12,213 290,059
North Pittsburgh Systems, Inc. 11,000 206,360
* Pac-West Telecomm, Inc. 1,900 1,976
* Premiere Global Services, Inc. 48,200 542,250
* Price Communications Corp. 46,110 792,631
* Rural Cellular Corp. Class A 4,400 21,208
* SBA Communications Corp. 50,300 562,354
* SunCom Wireless Holdings, Inc. 38,200 80,220
SureWest Communications 8,900 211,820
* TALK America Holdings, Inc. 39,700 352,933
* Teleglobe International Holdings, Ltd. 1,550 3,689
* Time Warner Telecom, Inc. 60,077 306,393
* UbiquiTel, Inc. 57,100 395,132
* US LEC Corp. 29,800 74,500
* Western Wireless Corp. 22,000 875,820
* Wireless Facilities, Inc. 87,004 448,071
* WQN, Inc. 1,900 3,743
* Xeta Corp. 1,761 5,635
-----------------
Total Telecommunication Services
(Cost $8,689,489) 12,551,180
-----------------
Real Estate Investment Trusts -- (0.0%)
Saxon Capital, Inc. 11,700 198,081
-----------------
Total Real Estate Investment Trusts
(Cost $129,402) 198,081
-----------------
Other -- (0.0%)
* Bush Industries, Inc. Escrow 300 7
* Denali, Inc. 1,100 0
* ePresence, Inc. Escrow Shares 8,100 1,053
* Hoenig Group Escrow Shares 3,200 0
* Petrocorp, Inc. Escrow Shares 5,200 312
* Suburban Lodges of America, Inc. Escrow Shares 4,100 0
* Trump Entertainment Resorts, Inc. 1 16
-----------------
Total Other
(Cost $6,826) 1,388
-----------------
TOTAL COMMON STOCKS
(Cost $656,829,095) 1,017,391,462
-----------------
RIGHTS/WARRANTS -- (0.0%)
Other -- (0.0%)
* A IntelliCheck, Inc. Rights 06/30/05 60 0
* # Angeion Corp. Warrants 10/31/20 25 0
* Chart Industries, Inc. Warrants 09/15/10 6 153
* Chiquita Brands International, Inc. Warrants 03/19/09 463 5,051
* Del Global Technologies Corp. Warrants 03/28/08 442 663
* Foster Wheelers, Ltd. Warrants 09/24/07 1,200 0
* Optical Cable Corp. Warrants 10/24/07 4,294 0
* # RCN Corp. Warrants 12/21/06 31 0
* Timco Aviation Services, Inc. Warrants 02/27/07 1,484 0
53
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* Trico Marine Services, Inc. Warrants 03/15/08 Series B 26 41
* Trico Marine Services, Inc. Warrants 03/15/10 Series A 26 104
* Trump Entertainment Resorts, Inc. Warrants 05/23/06 132 0
* Virologic, Inc. Contingent Value Rights 69,238 12,117
-----------------
Total Other
(Cost $41,699) 18,129
-----------------
Consumer Discretionary -- (0.0%)
* Lodgian, Inc. Class A Warrants 11/25/07 96 4
* Lodgian, Inc. Class B Warrants 11/25/09 295 6
-----------------
Total Consumer Discretionary
(Cost $0) 10
-----------------
Consumer Staples -- (0.0%)
* Cruzan International, Inc. Rights 06/21/05 40 0
-----------------
TOTAL RIGHTS/WARRANTS
(Cost $41,699) 18,139
-----------------
FACE
AMOUNT VALUE+
----------------- -----------------
(000)
BONDS -- (0.0%)
Other -- (0.0%)
* Del Global Technologies Corp. Subordinated Promissory Note
6.000%, 03/28/07 $ 1 0
* Timco Aviation Services, Inc. Jr. Subordinated Note
8.000%, 01/02/07 0 0
-----------------
Total Other
(Cost $0) 0
-----------------
TOTAL BONDS
(Cost $0) 0
-----------------
TEMPORARY CASH INVESTMENTS -- (4.3%)
^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.92%, 06/01/05
(Collateralized by $96,250,000 U.S. STRIPS 6.125%, 11/15/27, valued
at $34,583,588) to be repurchased at $33,907,651 (Cost $33,904,901) 33,905 33,904,901
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $11,903,000 FHLMC Notes 4.00%, 09/22/09, valued at
$11,917,879) to be repurchased at $11,741,943 (Cost $11,741,000) 11,741 11,741,000
-----------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $45,645,901) 45,645,901
-----------------
TOTAL INVESTMENTS - (100.0%)
(Cost $702,516,695) $ 1,063,055,502
=================
54
----------
+ 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.
55
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
[Enlarge/Download Table]
SHARES VALUE+
----------------- -----------------
UNITED KINGDOM -- (16.7%)
COMMON STOCKS -- (16.6%)
Alliance & Leicester P.L.C. 79,000 $ 1,229,311
Allied Domecq P.L.C. 80,900 1,018,959
Amvescap P.L.C. 215,444 1,263,886
Anglo America P.L.C. 539,581 12,856,076
Arriva P.L.C. 107,620 1,040,821
Associated British Foods P.L.C. 427,300 6,212,279
Associated British Ports Holdings P.L.C. 187,900 1,666,080
Aviva P.L.C. 1,228,415 13,743,769
BAA P.L.C. 640,043 7,240,224
BAE Systems P.L.C. 1,664,136 8,151,427
Barratt Developments P.L.C. 122,817 1,474,953
BBA Group P.L.C. 260,385 1,422,449
Bellway P.L.C. 57,000 882,425
BG Group P.L.C. 558,000 4,225,635
Bovis Homes Group P.L.C. 66,000 820,433
BPB P.L.C. 88,200 821,662
Bradford & Bingley P.L.C. 201,640 1,129,748
Brambles Industries P.L.C. 394,000 2,154,051
Britannic P.L.C. 101,500 942,042
* British Airways P.L.C. 601,931 2,998,395
British Land Co. P.L.C. 285,776 4,521,249
British Vita P.L.C. 115,600 750,488
Brixton P.L.C. 139,200 930,965
Cable and Wireless P.L.C. 806,637 1,964,443
Carnival P.L.C. 13,300 728,127
Carphone Warehouse Group P.L.C. 100,000 298,849
* Chorion P.L.C. 38 212
* Colt Telecom Group P.L.C. 856,000 808,351
* Corus Group P.L.C. 2,532,150 2,089,101
De Vere Group P.L.C. 19,737 191,345
* Dimension Data Holdings P.L.C. 587,000 347,767
Dixons Group P.L.C. 666,805 1,829,446
* Easyjet P.L.C. 205,323 840,999
* Egg P.L.C. 71,932 144,360
Emap P.L.C. 10,874 158,999
FKI P.L.C. 332,000 582,605
Friends Provident P.L.C. 912,000 2,893,809
GKN P.L.C. 350,004 1,603,588
Great Universal Stores P.L.C. 106,250 1,636,021
Greene King P.L.C. 41,000 918,061
Hammerson P.L.C. 157,600 2,599,525
Hanson P.L.C. 389,879 3,595,775
HBOS P.L.C. 189,910 2,762,317
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* Henderson Group P.L.C. 220,500 249,335
Hilton Group P.L.C. 947,720 4,891,692
IMI P.L.C. 57,000 427,331
InterContinental Hotels Group P.L.C. 359,382 4,173,590
International Power P.L.C. 810,635 2,852,229
Isoft Group P.L.C. 73,395 534,600
Johnson Matthey P.L.C. 5,321 94,552
Kesa Electricals P.L.C. 85,791 417,334
Kingfisher P.L.C. 837,051 3,912,820
Land Securities Group P.L.C. 148,732 3,858,221
Liberty International P.L.C. 177,700 3,159,716
London Merchant Securities P.L.C. 128,173 533,962
Lonmin P.L.C. 3,252 60,672
Marks & Spencer Group P.L.C. 350,751 2,151,977
Mersey Docks & Harbour Co. P.L.C. 40,360 707,078
MFI Furniture Group P.L.C. 140,317 272,680
Millennium and Copthorne Hotels P.L.C. 156,573 1,012,755
Mitchells & Butlers P.L.C. 296,123 1,742,332
Northern Foods P.L.C. 27,000 76,960
Northern Rock P.L.C. 25,000 334,639
* O2 P.L.C. 4,595,000 10,645,655
Pearson P.L.C. 431,530 5,162,599
Peninsular & Oriental Steam Navigation P.L.C. 406,011 2,290,095
Persimmon P.L.C. 152,773 2,073,941
Pilkington P.L.C. 772,588 1,626,476
Pillar Property P.L.C. 48,357 734,122
Quintain Estates & Development P.L.C. 66,315 652,433
Rank Group P.L.C. 79,681 388,167
Rio Tinto P.L.C. 18,664 554,058
* Rolls Royce Group P.L.C. 904,007 4,457,406
* Rolls Royce Group P.L.C. Class B 45,200,350 82,133
Royal & Sun Alliance Insurance Group P.L.C. 653,162 914,738
Sabmiller P.L.C. 108,976 1,673,486
Sainsbury (J.) P.L.C. 963,031 5,007,219
Schroders P.L.C. 117,000 1,610,208
Scottish & Newcastle P.L.C. 500,670 4,325,965
Scottish Power P.L.C. 1,059,052 8,921,062
Shire Pharmaceuticals Group P.L.C. 252,000 2,674,376
Signet Group P.L.C. 47,556 88,846
Singer & Friedlander Group P.L.C. 88,568 501,994
Slough Estates P.L.C. 238,000 2,223,502
Smith (DS) Holdings P.L.C. 220,800 618,512
Smith (WH) P.L.C. 88,241 573,737
Somerfield P.L.C. 284,129 1,018,674
Stagecoach Group P.L.C. 562,048 1,129,561
Stanley Leisure P.L.C. 69,055 683,998
Tate & Lyle P.L.C. 247,930 2,133,259
Taylor Woodrow P.L.C. 329,527 1,896,951
* The Berkeley Group Holdings P.L.C. 69,621 1,046,235
* Thus Group P.L.C. 63,187 16,082
Trinity Mirror P.L.C. 166,578 1,885,784
Urbium P.L.C. 23 264
Vodafone Group P.L.C. 13,804,032 34,751,921
Westbury P.L.C. 58,674 495,005
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Whitbread P.L.C. 150,143 2,479,030
Wilson Bowden P.L.C. 48,000 994,219
Wimpey (George) P.L.C. 227,205 1,759,460
Wolverhampton & Dudley Breweries P.L.C. 37,368 752,538
Woolworths Group P.L.C. 764,448 486,175
WPP Group P.L.C. 324,000 3,453,295
XANSA P.L.C. 2,938 4,910
Xstrata P.L.C. 140,572 2,519,772
-----------------
TOTAL COMMON STOCKS
(Cost $187,447,533) 250,263,365
-----------------
INVESTMENT IN CURRENCY -- (0.1%)
* British Pound Sterling 459,560
-----------------
(Cost $461,967)
TOTAL -- UNITED KINGDOM
(Cost $187,909,500) 250,722,925
-----------------
JAPAN -- (14.7%)
COMMON STOCKS -- (14.4%)
Acom Co., Ltd. 13,300 851,240
Aichi Bank, Ltd. 2,200 207,357
# Aichi Steel Corp. 74,000 377,482
AIOI Insurance Co., Ltd. 247,700 1,227,253
Aisin Seiki Co., Ltd. 91,600 2,032,714
Akita Bank, Ltd. 57,000 257,751
Alfresa Holdings Corp. 2,800 128,584
# Alpine Electronics, Inc. 19,200 273,306
Alps Electric Co., Ltd. 31,000 468,384
Amada Co., Ltd. 126,000 855,543
Amano Corp. 8,000 83,065
# Anritsu Corp. 47,000 282,402
Aoyama Trading Co., Ltd. 20,100 486,988
Asahi Breweries, Ltd. 84,000 1,019,066
Asahi Denka Kogyo KK 5,000 51,357
Asahi Kasei Corp. 109,000 531,110
Asatsu-Dk, Inc. 15,800 454,047
* Ashikaga Financial Group, Inc. 90,000 0
Autobacs Seven Co., Ltd. 11,000 343,608
Awa Bank, Ltd. 64,000 381,797
Bank of Iwate, Ltd. 5,800 330,269
# Bank of Kyoto, Ltd. 101,000 847,399
Bank of Nagoya, Ltd. 64,000 375,735
Bosch Automotive Systems Corp. 19,000 94,200
Canon Sales Co., Inc. 22,000 389,753
Casio Computer Co., Ltd. 13,000 181,299
Chiba Bank, Ltd. 268,000 1,818,563
Chudenko Corp. 21,400 335,482
Chugoku Bank, Ltd. 77,400 905,063
Citizen Watch Co., Ltd. 82,000 716,350
Coca-Cola West Japan Co., Ltd. 27,200 608,442
Comsys Holdings Corp. 46,000 387,741
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Cosmo Oil Co., Ltd. 235,000 859,223
Dai Nippon Ink & Chemicals, Inc. 229,000 676,476
Dai Nippon Pharmaceutical Co., Ltd. 50,000 479,351
Dai Nippon Printing Co., Ltd. 160,000 2,524,224
Daibiru Corp. 23,000 169,308
Daicel Chemical Industries, Ltd. 136,000 706,010
Daido Steel Co., Ltd. 162,000 657,917
* Daiei, Inc. 1,000 17,282
Daihatsu Motor Co., Ltd. 166,000 1,224,129
Dai-Ichi Pharmaceutical Co., Ltd. 36,900 825,769
Daio Paper Corp. 15,000 115,879
Daishi Bank, Ltd. 120,000 500,126
Daiwa House Industry Co., Ltd. 202,200 2,229,204
Daiwa Securities Co., Ltd. 17,000 107,340
Denki Kagaku Kogyo KK 4,000 13,949
# Ebara Corp. 111,000 398,979
Edion Corp. 12,800 152,592
Eighteenth Bank, Ltd. 2,000 9,422
Ezaki Glico Co., Ltd. 45,000 359,174
Fuji Electric Co., Ltd. 229,000 694,628
Fuji Fire & Marine Insurance Co., Ltd. 155,000 459,881
Fuji Heavy Industries 248,000 1,035,354
Fuji Oil Co., Ltd. 26,100 271,457
Fuji Photo Film Co., Ltd. 190,000 5,916,762
Fuji Television Network, Inc. 126 258,247
Fujikura, Ltd. 122,000 618,302
Fujitsu, Ltd. 127,000 694,477
Fukui Bank, Ltd. 36,000 136,503
# Fukuoka Bank, Ltd. 201,000 1,226,623
Fukuyama Transporting Co., Ltd. 104,000 408,825
* Furukawa Electric Co., Ltd. 33,000 136,241
Futaba Corp. 10,000 270,669
Futaba Industrial Co., Ltd. 24,000 455,970
Glory, Ltd. 23,500 397,113
Gunma Bank, Ltd. 162,000 963,545
Gunze, Ltd. 87,000 381,152
Hachijuni Bank, Ltd. 173,000 1,141,955
Hankyu Corp. 218,000 801,929
# Hankyu Department Stores, Inc. 41,000 246,176
Hanshin Electric Railway Co., Ltd. 102,000 380,440
Heiwa Corp. 42,800 616,009
Higo Bank, Ltd. 91,000 649,482
Hino Motors, Ltd. 22,000 121,864
Hiroshima Bank, Ltd. 132,000 571,102
Hitachi Cable, Ltd. 146,000 629,496
Hitachi Construction Machinery Co., Ltd. 3,000 35,422
Hitachi High-Technologies Corp. 9,000 139,347
Hitachi Koki Co., Ltd. 4,000 37,281
Hitachi Kokusai Electric, Inc. 31,000 271,128
Hitachi Maxell, Ltd. 37,100 450,905
Hitachi Metals, Ltd. 58,000 369,644
Hitachi Software Engineering Co., Ltd. 12,000 200,140
Hitachi Transport System, Ltd. 24,000 199,898
Hitachi, Ltd. 1,317,000 7,869,144
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Hokkoku Bank, Ltd. 108,000 470,698
Hokuetsu Paper Mills, Ltd. 61,000 331,725
Hokugin Financial Group, Inc. 131,000 416,831
Hosiden Corp. 800 8,240
House Foods Corp. 41,000 577,569
Hyakugo Bank, Ltd. 80,000 490,647
Hyakujishi Bank, Ltd. 90,000 510,812
* Ishikawajima-Harima Heavy Industries Co., Ltd. 398,000 565,750
Itochu Corp. 147,000 709,540
Itoham Foods, Inc. 78,000 355,266
Iyo Bank, Ltd. 99,000 789,283
Japan Airport Terminal Co., Ltd. 27,000 252,156
JGC Corp. 10,000 113,296
Joyo Bank, Ltd. 274,000 1,393,003
JSAT Corp. 40 93,006
Juroku Bank, Ltd. 127,000 679,931
Kadokawa Holdings, Inc. 1,900 67,562
Kagoshima Bank, Ltd. 62,000 471,773
Kajima Corp. 21,000 71,657
Kamigumi Co., Ltd. 102,000 760,036
Kandenko Co., Ltd. 69,000 405,809
Kansai Paint Co., Ltd., Osaka 57,000 354,354
Kanto Auto Works, Ltd., Yokosuka 11,200 131,539
# Katokichi Co., Ltd. 51,900 362,742
Kawasaki Heavy Industries, Ltd. 681,000 1,218,688
Keiyo Bank, Ltd. 63,000 300,899
Kikkoman Corp. 73,000 660,958
Kinden Corp. 90,000 665,894
Kirin Brewery Co., Ltd. 283,000 2,768,128
Kissei Pharmaceutical Co., Ltd. 21,000 400,644
Kiyo Bank, Ltd. 16,000 30,125
Kobe Steel, Ltd. 1,389,000 2,415,870
Koito Manufacturing Co., Ltd. 48,000 516,086
Kokuyo Co., Ltd. 48,000 615,433
Komatsu, Ltd. 154,000 1,149,983
Komori Corp. 27,000 408,944
Konica Corp. 18,000 160,791
Kubota Corp. 147,000 812,584
Kuraray Co., Ltd. 121,000 1,072,166
# Kuraya Sanseido, Inc. 41,300 550,302
Kureha Chemical Industry Co., Ltd. 58,000 235,847
Kyocera Corp. 38,500 2,945,563
KYORIN Pharmaceutical Co., Ltd. 25,000 311,830
Lintec Corp. 2,000 30,042
Lion Corp. 36,000 188,097
Maeda Corp. 38,000 209,634
Makita Corp. 55,000 1,070,956
Marubeni Corp. 400,000 1,262,399
Marui Co., Ltd. 113,100 1,569,379
Maruichi Steel Tube, Ltd. 36,000 767,999
Matsushita Electric Industrial Co., Ltd. 907,998 13,525,613
Matsushita Electric Works, Ltd. 177,000 1,463,012
Meiji Seika Kaisha, Ltd. Tokyo 122,000 593,820
Michinoku Bank, Ltd. 45,000 208,706
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Millea Holdings, Inc. 569 7,535,312
Mitsubishi Gas Chemical Co., Inc. 148,000 728,743
Mitsubishi Heavy Industries, Ltd. 1,178,000 3,031,970
Mitsubishi Logistics Corp. 51,000 486,392
Mitsubishi Materials Corp. 348,000 761,694
Mitsubishi Rayon Co., Ltd. 20,000 80,595
Mitsubishi Securities Co., Ltd. 126,000 1,049,916
Mitsui Chemicals, Inc. 195,000 1,105,803
Mitsui Engineering and Shipbuilding Co., Ltd. 407,000 877,629
Mitsui Marine & Fire Insurance Co., Ltd. 529,000 4,807,941
Mitsui Trust Holdings 170,000 1,658,123
Mitsumi Electric Co., Ltd. 21,700 229,681
# Mori Seiki Co., Ltd. 25,500 263,658
Morinaga Milk Industry Co., Ltd. 69,000 284,734
Musashino Bank, Ltd. 10,000 457,064
Nagase & Co., Ltd. 41,000 400,288
Namco, Ltd. 7,600 102,574
Nanto Bank, Ltd. 86,000 441,463
NGK Insulators, Ltd. 113,000 1,176,354
NGK Spark Plug Co., Ltd. 70,000 787,233
NHK Spring Co., Ltd. 16,000 132,537
Nichicon Corp. 30,200 396,879
Nichirei Corp. 65,000 243,561
Nifco, Inc. 17,000 266,464
Nihon Unisys, Ltd. 32,700 306,122
Nippon Broadcasting System, Inc. 7,000 409,149
Nippon Express Co., Ltd. 140,000 636,420
Nippon Kayaku Co., Ltd. 68,000 366,745
Nippon Meat Packers, Inc., Osaka 70,000 864,836
Nippon Mining Holdings, Inc. 148,000 807,111
Nippon Mitsubishi Oil Corp. 479,800 3,129,262
Nippon Paint Co., Ltd. 84,000 293,557
Nippon Sanso Corp. 18,000 89,962
Nippon Sheet Glass Co., Ltd. 165,000 644,691
Nippon Shinpan Co., Ltd. 90,000 438,300
Nippon Shokubai Co., Ltd. 58,000 464,769
Nippon Steel Corp. 353,000 820,631
Nippon Suisan Kaisha, Ltd. 55,000 208,714
Nippon Television Network Corp. 8,040 1,124,622
Nippon Unipac Holding, Tokyo 223 866,716
Nipponkoa Insurance Co., Ltd. 173,000 1,196,364
# Nishimatsu Construction Co., Ltd. 103,000 347,297
Nishi-Nippon Bank, Ltd. 20,400 83,804
Nissay Dowa General Insurance Co., Ltd. 125,000 628,873
Nisshin Seifun Group, Inc. 72,000 708,066
Nisshin Steel Co., Ltd. 305,000 742,374
Nisshinbo Industries, Inc. 80,000 613,785
* # Nissho Iwai-Nichmen Holdings Corp. 65,500 252,944
NOK Corp. 2,000 54,091
Noritsu Koki Co., Ltd. 3,000 62,113
Noritz Corp. 1,000 15,711
NSK, Ltd. 159,000 770,645
NTN Corp. 96,000 519,404
Obayashi Corp. 192,000 971,013
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Ogaki Kyoritsu Bank, Ltd. 11,000 65,032
Oita Bank, Ltd. 28,000 181,159
Oji Paper Co., Ltd. 185,000 978,447
Okumura Corp. 85,000 457,804
Onward Kashiyama Co., Ltd. 84,000 1,021,297
PanaHome Corp. 55,000 287,228
Pioneer Electronic Corp. 37,100 611,326
Q.P. Corp. 47,700 414,794
Rengo Co., Ltd. 70,000 361,786
* Resona Holdings, Inc. 267,250 508,316
Rinnai Corp. 16,100 404,298
Ryosan Co., Ltd. 7,000 170,747
Sakata Seed Corp. 5,000 66,186
San In Godo Bank, Ltd. 53,000 506,069
Sankyo Co., Ltd. 40,000 813,338
Santen Pharmaceutical Co., Ltd. 18,500 417,655
Sanwa Shutter Corp. 48,000 268,171
Sanyo Electric Co., Ltd. 395,000 1,071,374
Sanyo Shinpan Finance Co., Ltd. 14,000 969,534
Sapporo Breweries, Ltd. 94,000 468,650
Sapporo Hokuyo Holdings, Inc. 112 808,683
Seino Transportation Co., Ltd. 65,000 568,237
Sekisui Chemical Co., Ltd. 171,000 1,184,392
Sekisui House, Ltd. 224,000 2,193,159
Seventy-seven (77) Bank, Ltd. 117,000 735,725
SFCG Co., Ltd. 4,370 1,110,447
Shiga Bank, Ltd. 93,000 575,266
Shikoku Bank, Ltd. 52,000 278,604
Shima Seiki Manufacturing Co., Ltd. 2,000 49,199
Shimachu Co., Ltd. 19,100 475,002
Shimadzu Corp. 39,000 231,011
Shinko Securities Co., Ltd. 397,000 1,199,738
Shizuoka Bank, Ltd. 237,000 2,042,742
Showa Denko KK 78,000 184,798
Showa Shell Sekiyu KK 55,000 532,583
Sohgo Security Services Co.,Ltd. 20,100 255,965
Stanley Electric Co., Ltd. 7,000 108,512
Sumitomo Bakelite Co., Ltd. 23,000 143,073
Sumitomo Corp. 205,000 1,637,266
Sumitomo Electric Industries, Ltd. 237,000 2,485,847
Sumitomo Forestry Co., Ltd. 50,000 434,719
Sumitomo Metal Mining Co., Ltd. 119,000 761,299
Sumitomo Mitsui Financial Group, Inc. 43 283,031
Sumitomo Osaka Cement Co., Ltd. 135,000 324,219
Sumitomo Rubber 86,000 912,927
Suzuken Co., Ltd. 28,100 746,034
Suzuki Motor Corp. 27,000 440,080
Taiheiyo Cement Corp. 284,000 735,474
Taisei Corp. 205,000 678,684
Taiyo Yuden Co., Ltd. 34,000 377,772
Takara Standard Co., Ltd. 63,000 402,795
Takashimaya Co., Ltd. 76,000 636,353
Takefuji Corp. 45,210 2,796,356
Tanabe Seiyaku Co., Ltd. 13,000 134,217
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Teijin, Ltd. 294,000 1,290,803
Teikoku Oil Co., Ltd. 91,000 614,401
The Nisshin Oillio Group, Ltd. 33,000 186,355
Toda Corp. 120,000 490,376
Toho Bank, Ltd. 64,000 262,123
Tokai Tokyo Securities Co., Ltd. 81,000 238,526
Tokuyama Corp. 75,000 553,288
Tokyo Broadcasting System, Inc. 66,000 1,109,557
Tokyo Dome Corp. 40,000 217,612
# Tokyo Steel Manufacturing Co., Ltd. 49,100 643,351
Tokyo Style Co., Ltd. 50,000 508,650
Tokyo Tatemono Co., Ltd. 68,000 469,774
Toppan Printing Co., Ltd. 221,000 2,246,292
Toray Industries, Inc. 232,000 1,027,790
Toshiba TEC Corp. 96,000 424,267
Tostem Inax Holding Corp. 82,840 1,409,200
Toto, Ltd. 74,000 585,343
Toyo Ink Manufacturing Co., Ltd. 89,000 345,920
Toyo Seikan Kaisha, Ltd. 73,000 1,265,443
Toyo Suisan Kaisha, Ltd. 32,000 501,718
Toyobo Co., Ltd. 46,000 104,220
Toyoda Machine Works, Ltd. 20,000 193,166
Toyota Auto Body Co., Ltd. 32,000 626,544
Toyota Industries Corp. 83,600 2,243,415
TV Asahi Corp. 182 372,770
* UFJ Tsubasa Securities Co. Ltd. 62,000 210,652
UNY Co., Ltd. 91,000 987,013
Victor Co. of Japan, Ltd. 42,000 328,301
Wacoal Corp. 54,000 717,957
Yamagata Bank, Ltd. 52,000 247,039
Yamaguchi Bank, Ltd. 74,000 837,050
Yamaha Corp. 41,500 606,099
Yamanashi Chuo Bank, Ltd. 55,000 330,149
Yamatake Corp. 3,500 57,748
Yamato Kogyo Co., Ltd. 8,000 91,669
Yamazaki Baking Co., Ltd. 107,000 919,325
Yasuda Fire & Marine Insurance Co., Ltd. 304,840 3,079,721
# Yasuda Trust & Banking Co., Ltd. 517,000 784,029
Yodogawa Steel Works, Ltd. 39,000 205,893
Yokohama Rubber Co., Ltd. 127,000 521,814
York-Benimaru Co., Ltd. 12,000 333,579
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TOTAL COMMON STOCKS
(Cost $171,671,002) 217,341,493
-----------------
INVESTMENT IN CURRENCY -- (0.3%)
* Japanese Yen 4,183,353
-----------------
(Cost $4,209,155)
TOTAL -- JAPAN
(Cost $175,880,157) 221,524,846
=================
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FRANCE -- (9.9%)
COMMON STOCKS -- (9.9%)
Accor SA 7,550 348,089
Air France 157,437 2,505,720
Air Liquide SA Primes De Fid 02 2,553 445,795
Arcelor SA 30,300 602,496
Assurances Generales de France (AGF) 131,350 10,535,586
# AXA 646,709 15,785,280
# BNP Paribas SA 290,552 19,532,407
Bongrain SA 2,870 176,835
# Bouygues 20,545 790,083
* Business Objects SA 37,144 1,066,589
* Cap Gemini SA 59,817 1,908,291
* Club Mediterranee SA 3,600 172,689
* CNP Assurances 6,807 456,247
Compagnie de Saint-Gobain 111,078 6,389,107
Compagnie Francaise d'Etudes et de Construction Technip SA 33,072 1,460,787
Credit Agricole SA 45,600 1,182,436
Credit Industriel et Commercial 3,760 851,646
Dior (Christian) SA 12,314 893,222
Eiffage SA 12,699 1,013,445
Esso SA 2,900 488,572
Euler-Hermes SA 4,001 302,497
Eurafrance 5,435 461,540
* European Aeronautic Defence & Space Co. 82,700 2,444,618
# Faurecia SA 14,460 1,084,511
# Fimalac SA 21,341 977,301
* France Telecom SA 99,963 2,842,161
* Gecina SA 30,840 3,740,002
Generale des Establissements Michelin SA Series B 41,295 2,608,441
Groupe Danone 2,843 261,204
# Havas SA 116,035 685,702
Imerys SA 18,000 1,297,155
LaFarge SA 42,261 3,824,206
LaFarge SA Prime Fidelity 12,295 1,121,111
Lagardere S.C.A. SA 14,400 1,025,295
L'Oreal 2,249 162,850
Nexans 4,485 165,391
# Pernod-Ricard SA 7,875 1,216,347
# Peugeot SA 98,698 5,906,948
# Pinault Printemps Redoute SA 60,708 6,008,823
Rallye SA 1,501 74,544
Remy Cointreau SA 27,450 1,158,370
# Renault SA 116,929 10,003,656
SA Fromageries Bel la Vache Qui Rit 500 85,380
Sagem SA 4,853 91,839
# Schneider SA 66,253 4,871,199
* # Scor SA 168,769 345,821
SEB SA Prime Fidelite 2002 880 90,395
SEB SA Prime Fidelity 1,430 147,023
# Societe BIC SA 19,397 1,041,474
# Societe des Ciments de Francais 15,238 1,392,647
Societe du Louvre SA 400 58,071
# Societe Generale Paris 46,221 4,541,695
Sodexho Alliance SA 68,892 2,211,704
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# Suez (ex Suez Lyonnaise des Eaux) 179,598 4,830,533
Thales SA 1,800 71,850
# Thomson Multimedia 93,226 2,367,030
Unibail SA 13,937 1,771,324
Valeo SA 33,059 1,383,523
Vallourec (Usines a Tubes de Lorraine Escaut et Vallourec Reunies) 1,660 384,383
Veolia Environnement SA 40,500 1,534,255
Vinci SA 5,280 395,335
# Vivendi Universal SA 251,818 7,668,906
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TOTAL COMMON STOCKS
(Cost $116,105,564) 149,262,382
-----------------
RIGHTS/WARRANTS -- (0.0%)
* Air France Warrants 11/06/07 10,700 4,872
* Rallye SA Series B Warrants 11/30/05 5,000 369
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TOTAL RIGHTS/WARRANTS
(Cost $15,851) 5,241
-----------------
TOTAL -- FRANCE
(Cost $116,121,415) 149,267,623
-----------------
GERMANY -- (6.7%)
COMMON STOCKS -- (6.7%)
* Aachener und Muenchener Beteiligungs AG 37,610 3,038,569
Aareal Bank AG 9,500 275,760
Allianz AG 13,419 1,579,965
Altana AG 832 49,397
Audi AG 1,000 292,873
Axel Springer Verlag AG 1,100 129,107
BASF AG 50,700 3,364,767
Bayer AG 152,871 5,133,321
Bayerische Motorenwerke AG 90,504 3,913,171
* Bayerische Vereinsbank AG 238,758 5,866,985
BHW Holding AG 6,300 108,105
Bilfinger & Berger Bau AG 9,900 469,968
# Commerzbank AG 226,100 4,910,609
# Continental AG 25,400 1,798,802
# DaimlerChrysler AG 326,991 13,182,996
Deutsche Bank AG 172,120 13,390,767
# Deutsche Lufthansa AG 128,822 1,624,413
Dyckerhoff AG DM50 1,000 46,269
E.ON AG 86,960 7,549,341
Fraport AG 30,003 1,238,801
Gehe AG 970 79,465
Hannover Rueckversicherungs AG 12,636 481,740
* Heidelberger Druckmaschinen AG 26,316 812,481
Heidelberger Zement AG 50,080 3,202,942
Hochtief AG 24,431 830,180
Hypo Real Estate Holding AG 12,025 473,567
* Infineon Technologies AG 251,247 2,212,627
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* IVG Immobilien AG 2,300 41,784
* Karstadt Quelle AG 112,668 1,238,887
* Koelnische Rueckversicherungs 80 7,659
* Lanxess 15,337 325,371
* # Linde AG 25,045 1,699,632
# MAN AG 19,406 860,869
Merck KGAA 14,998 1,171,483
* MG Technologies AG 82,546 935,937
Munchener Rueckversicherungs-Gesellschaft AG 45,980 5,027,270
# Preussag AG 68,068 1,687,533
Rwe AG (NEU) Series A 808 49,348
Suedzucker AG 60,262 1,137,066
ThyssenKrupp AG 237,687 4,363,646
Volkswagen AG 129,028 5,678,532
Wuestenrot & Wuerttemberg AG 2,500 42,115
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TOTAL -- GERMANY
(Cost $86,993,746) 100,324,120
-----------------
SWITZERLAND -- (5.8%)
COMMON STOCKS -- (5.8%)
* ABB, Ltd. 65,475 427,602
Baloise-Holding 13,700 715,362
Banque Cantonale Vaudoise 4,955 1,094,351
Berner Kantonalbank 6,668 983,307
Ciba Spezialitaetenchemie Holding AG 47,300 2,812,301
Cie Financiere Richemont AG Series A 393,600 11,983,201
* Clariant AG 55,300 775,144
Credit Swisse Group 441,790 17,673,401
Ems-Chemie Holding AG 10,050 872,704
Givaudan SA 7,680 4,571,258
Helvetia Patria Holding 4,457 667,414
Holcim, Ltd. 120,362 7,316,653
Jelmoli Holding AG 40 54,329
* Julius Baer Holding AG 3,935 239,703
* Kuoni Reisen Holding AG 490 194,352
Lonza Group AG 9,000 548,968
Luzerner Kantonalbank AG 4,000 768,796
* PSP Swiss Property AG 30,000 1,323,535
Rieters Holdings AG 5,340 1,447,232
* Saurer AG 1,500 85,452
Schindler Holding AG 750 269,901
Sig Holding AG 6,375 1,355,453
* Sika Finanz AG, Baar 1,810 1,136,957
Societe Generale de Surveillance Holding SA 2,300 1,615,290
St. Galler Kantonalbank 4,902 1,248,129
# Swatch Group AG 11,500 1,521,037
* Swiss Life AG 34,000 4,489,302
# Swiss Reinsurance Co., Zurich 76,906 4,760,661
* Syngenta AG 77,200 7,980,743
* Valiant Holding AG 9,300 819,273
* Valora Holding AG 4,120 904,043
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* Zurich Financial SVCS AG 44,600 7,408,694
-----------------
TOTAL COMMON STOCKS
(Cost $67,117,082) 88,064,548
-----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Swiss Francs 1,301
-----------------
(Cost $1,316)
TOTAL -- SWITZERLAND
(Cost $67,118,398) 88,065,849
-----------------
AUSTRALIA -- (4.6%)
COMMON STOCKS -- (4.6%)
Amcor, Ltd. 386,605 1,977,526
AMP, Ltd. 560,564 2,785,945
Ansell, Ltd. 102,749 712,314
APN News & Media, Ltd. 178,333 685,811
Australand Property Group 341,105 363,050
AWB, Ltd. 154,907 519,823
AXA Asia Pacific Holdings, Ltd. 1,183,515 4,147,084
Bluescope Steel, Ltd. 413,911 2,514,348
Boral, Ltd. 340,361 1,522,695
Brambles Industries, Ltd. 173,370 1,038,734
Brickworks, Ltd. 24,359 185,561
Caltex Australia, Ltd. 188,779 2,146,965
* Challenger Financial Services Group, Ltd. 112,873 284,112
Commonwealth Bank of Australia 330,975 9,245,825
CSR, Ltd. 559,868 1,044,857
Downer Group, Ltd. 176,817 704,414
Foster's Group, Ltd. 41,862 170,356
Futuris Corp., Ltd. 166,147 211,738
Iluka Resources, Ltd. 55,899 259,040
Insurance Australiz Group, Ltd. 513,321 2,260,973
John Fairfax Holdings, Ltd. 190,835 601,161
Lend Lease Corp., Ltd. 247,138 2,276,785
Lion Nathan, Ltd. 361,743 2,004,102
Mayne Group, Ltd. 342,797 1,195,714
Mirvac, Ltd. 370,843 934,332
National Australia Bank, Ltd. 321,107 7,621,737
Onesteel, Ltd. 355,531 673,309
Origin Energy, Ltd. 359,179 1,934,693
Pacific Brands, Ltd. 124,127 211,285
Paperlinx, Ltd. 269,041 470,296
Publishing and Broadcasting, Ltd. 176,876 2,031,194
Quantas Airways, Ltd. 1,627,040 3,946,691
Rinker Group, Ltd. 415,659 3,859,362
# Rio Tinto, Ltd. 43,435 1,389,620
Santos, Ltd. 359,488 2,730,571
Seven Network, Ltd. 130,150 699,774
Suncorp-Metway, Ltd. 5,624 83,100
Telstra Corp., Ltd. 11,561 43,803
WMC Resources, Ltd. 558,201 3,251,655
-----------------
TOTAL COMMON STOCKS
(Cost $44,490,094) 68,740,355
-----------------
12
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INVESTMENT IN CURRENCY -- (0.0%)
* Australian Dollar 3,871
-----------------
(Cost $3,994)
TOTAL -- AUSTRALIA
(Cost $44,494,088) 68,744,226
-----------------
NETHERLANDS -- (4.3%)
COMMON STOCKS -- (4.3%)
ABN AMRO Holding NV 111,836 2,597,226
Aegon NV 583,202 7,466,997
AM NV 27,562 288,525
Buhrmann NV 39,038 357,760
DSM NV 60,412 4,043,945
Hunter Douglas NV 29,158 1,507,729
IHC Caland NV 11,144 714,569
ING Groep NV 714,673 19,774,477
* Koninklijke Ahold NV 539,799 4,074,728
Koninklijke KPN NV 712,489 5,665,965
Koninklijke Nedlloyd NV 10,349 710,173
Koninklijke Philips Electronics NV 438,251 11,210,074
Koninklijke Vopak NV 35,898 821,704
Nutreco Holding NV 9,513 306,315
NV Holdingsmij de Telegraaf 15,225 327,064
Oce NV 68,471 992,056
Univar NV 15,400 463,958
Vedior NV 50,525 717,636
* # Versatel Telecom International NV 110,500 265,259
VNU NV 118,474 3,222,815
-----------------
TOTAL COMMON STOCKS
(Cost $60,173,760) 65,528,975
-----------------
RIGHTS/WARRANTS -- (0.0%)
* Nutreco Holding NV Coupons 06/07/05 9,513 0
-----------------
(Cost $0)
TOTAL -- NETHERLANDS
(Cost $60,173,760) 65,528,975
-----------------
SPAIN -- (4.2%)
COMMON STOCKS -- (4.2%)
# Acciona SA 22,208 2,037,674
Acerinox SA 138,400 1,997,360
Actividades de Construccion y Servicios SA 27,369 727,167
Arcelor SA 25,464 504,646
# Autopistas Concesionaria Espanola SA 120,001 2,676,406
Banco de Andalucia 2,475 218,136
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Banco de Sabadell SA 92,200 2,418,217
Banco Pastor SA 1,500 55,994
Banco Santander Central Hispanoamerica SA 1,365,866 15,602,914
Cementos Portland SA 19,232 1,320,523
Corporacion Mapfre Compania Internacional de Reaseguros SA 107,303 1,563,729
# Ebro Puleva SA 85,295 1,534,358
# Endesa SA, Madrid 260,283 5,664,817
Fomento de Construcciones y Contratas SA 20,600 1,134,646
# Gas Natural SA, Buenos Aires 19,200 538,194
Grupo Ferrovial SA 2,300 141,547
Iberia Lineas Aereas de Espana SA 521,257 1,647,718
Inmobiliaria Colonial SA ICSA 27,400 1,421,527
Inmobiliaria Urbis SA 65,963 1,119,369
Metrovacesa SA 13,647 826,838
Red Electrica de Espana SA 24,600 609,512
Repsol SA 567,226 14,184,779
* Sociedad General de Aguas de Barcelona SA 1,126 22,627
Sociedad General de Aguas de Barcelona SA Class A 112,639 2,268,611
Sol Melia SA 118,706 1,245,918
Vallehermoso SA 58,015 1,169,158
-----------------
TOTAL COMMON STOCKS
(Cost $41,167,784) 62,652,385
-----------------
RIGHTS/WARRANTS -- (0.0%)
* Metrovacesa SA Bonus Rights 05/25/05 12,500 32,917
-----------------
(Cost $0)
TOTAL -- SPAIN
(Cost $41,167,784) 62,685,302
-----------------
SWEDEN -- (2.9%)
COMMON STOCKS -- (2.9%)
* ASEA AB 13,500 88,054
Atlas Copco AB Series A 39,600 603,948
* Atlas Copco AB Series A Redemption Shares 13,200 35,479
Atlas Copco AB Series B 19,800 278,032
* Atlas Copco AB Series B Redemption Shares 6,600 17,740
Electrolux AB Series B 33,600 734,499
Fabege AB 61,020 1,231,246
Gambro AB Series A 145,400 1,928,446
Gambro AB Series B 43,900 584,918
Holmen AB Series B 42,700 1,148,411
Invik and Co. AB Series B 75,950 619,882
NCC AB Series B 24,800 363,897
Nordic Baltic Holdings AB 1,286,400 11,750,174
Skandinaviska Enskilda Banken Series A 95,400 1,641,113
SKF AB Series A 30,800 314,917
* SKF AB Series A Redemption Shares 7,700 25,767
SKF AB Series B 39,600 404,541
* SKF AB Series B Redemption Shares 9,900 33,129
SSAB Swedish Steel Series A 41,000 996,709
SSAB Swedish Steel Series B 12,600 295,934
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Svenska Cellulosa AB Series B 107,500 3,659,750
# Tele2 AB Series B 53,700 512,986
* # Tele2 AB Series B Redemption Shares 17,900 23,936
Telia AB 1,293,000 6,399,048
* Transcom Worldwide SA Series A 385 2,302
* Transcom Worldwide SA Series B 715 4,506
Trelleborg AB Series B 40,800 633,851
Volvo AB Series A 69,600 2,749,485
Volvo AB Series B 143,500 5,866,778
* Wihlborgs Fastigheter AB 12,204 287,020
-----------------
TOTAL COMMON STOCKS
(Cost $33,327,535) 43,236,498
-----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Swedish Krona 473,484
-----------------
(Cost $478,917)
RIGHTS/WARRANTS -- (0.0%)
* SSAB Svenskt AB Series B Redemption Rights 05/18/05 12,600 7,281
-----------------
(Cost $0)
TOTAL -- SWEDEN
(Cost $33,806,452) 43,717,263
-----------------
ITALY -- (2.8%)
COMMON STOCKS -- (2.8%)
* Alitalia Linee Aeree Italiane SpA Series A 2,070,000 658,062
# Banca Monte Dei Paschi di Siena SpA 915,125 3,286,378
* # Banca Nazionale del Lavoro SpA 1,011,192 3,408,599
# Banca Popolare di Lodi Scarl 171,100 1,668,782
Banca Popolare di Milano 379,940 3,849,341
# Benetton Group SpA 61,500 558,078
Buzzi Unicem SpA 106,000 1,525,249
# Caltagirone Editore SpA 110,950 990,753
Capitalia SpA 492,295 2,572,069
# CIR SpA (Cie Industriale Riunite), Torino 625,000 1,727,383
# Compagnia Assicuratrice Unipol SpA 300,630 1,190,678
* E.Biscom SpA 12,000 523,970
* Edison SpA 300,721 681,292
Erg SpA 84,573 1,310,395
* # Fiat SpA 214,230 1,443,434
# IFIL Finanziaria Partecipazioni SpA 360,850 1,489,589
Intesabci SpA 524,600 2,450,053
# Italcementi SpA 151,960 2,346,693
Italmobiliare SpA, Milano 17,226 1,070,085
Milano Assicurazioni SpA 316,000 1,796,443
# Pirelli & Co. SpA 1,013,332 1,118,343
# SAI SpA (Sta Assicuratrice Industriale), Torino 57,183 1,490,372
# San Paolo-IMI SpA 250,263 3,475,937
* Seat Pagine Gialle SpA 1,104,001 448,665
* SNIA SpA 84,682 29,421
Societe Cattolica di Assicurazoni Scarl SpA 4,400 192,478
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* Sorin SpA 127,023 380,235
* Tiscali SpA 21,922 65,426
-----------------
TOTAL COMMON STOCKS
(Cost $30,193,767) 41,748,203
-----------------
RIGHTS/WARRANTS -- (0.0%)
* Fiat SpA Warrants 01/31/07 17,880 4,180
-----------------
(Cost $0)
TOTAL -- ITALY
(Cost $30,193,767) 41,752,383
-----------------
HONG KONG -- (2.8%)
COMMON STOCKS -- (2.8%)
Cheung Kong Holdings, Ltd. 839,000 7,630,923
China Overseas Land & Investment, Ltd. 1,670,000 312,281
China Travel International Investment, Ltd. 1,316,000 362,324
China Unicom, Ltd. 1,818,000 1,457,757
Chinese Estates Holdings, Ltd. 232,000 197,529
Citic Pacific, Ltd. 300,000 834,522
# Great Eagle Holdings, Ltd. 151,808 345,605
Hang Lung Development Co., Ltd. 560,000 955,137
Henderson Land Development Co., Ltd. 551,000 2,506,211
Hong Kong and Shanghai Hotels, Ltd. 341,486 356,706
Hopewell Holdings, Ltd. 352,000 869,332
Hutchison Whampoa, Ltd. 1,186,000 10,292,013
Hysan Development Co., Ltd. 465,605 936,684
# Kerry Properties, Ltd. 619,484 1,355,433
Miramar Hotel & Investment Co., Ltd. 106,000 159,208
MTR Corp., Ltd. 1,199,419 2,206,897
New World Development Co., Ltd. 1,372,190 1,431,592
Shanghai Industrial Holdings, Ltd. 321,000 622,059
# Shangri-La Asia, Ltd. 1,086,063 1,639,695
Shun Tak Holdings, Ltd. 46,000 43,308
# Sino Land Co., Ltd. 2,331,700 2,387,749
Sung Hungkai Properties, Ltd. 5,000 47,585
Tsim Sha Tsui Properties, Ltd. 255,000 440,702
Wharf Holdings, Ltd. 770,600 2,513,124
Wheelock and Co., Ltd. 1,073,000 1,545,403
Wheelock Properties, Ltd. 445,000 228,272
-----------------
TOTAL COMMON STOCKS
(Cost $33,875,222) 41,678,051
-----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Hong Kong Dollars 38,936
-----------------
(Cost $38,841)
TOTAL -- HONG KONG
(Cost $33,914,063) 41,716,987
-----------------
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BELGIUM -- (1.9%)
COMMON STOCKS -- (1.9%)
Ackermans & Van Haaren SA 1,842 73,090
AGFA-Gevaert NV, Mortsel 31,600 904,679
Banque Nationale de Belgique 160 657,235
# Bekaert SA 8,500 630,136
Cofinimmo SA 487 77,342
Compagnie Maritime Belge 2,020 65,961
* Cumerio 22,499 310,087
* Cumerio VVPR 720 27
# Delhaize Freres & cie le Lion SA Molenbeek-Saint Jean 98,550 5,815,604
# Dexia SA 93,080 2,019,559
D'Ieteren SA 304 60,364
Euronav SA 2,020 59,833
Fortis AG 51,720 1,406,962
Interbrew SA 148,399 4,904,054
KBC Bancassurance Holding SA 95,143 7,713,005
Solvay SA 10,900 1,182,216
# Tessenderlo Chemie 9,995 387,133
* Umicore-Strip VVPR 720 97
Union Miniere SA 22,499 1,767,279
-----------------
TOTAL -- BELGIUM
(Cost $20,521,650) 28,034,663
-----------------
FINLAND -- (1.6%)
COMMON STOCKS -- (1.6%)
Fortum Oyj 538,483 8,156,939
Huhtamaki Van Leer Oyj 64,400 977,835
Kemira GrowHow Oyj 15,049 116,589
Kemira Oyj 70,823 942,763
Kesko Oyj 71,100 1,704,156
Metso Oyj 93,027 1,862,506
M-Real Oyj Series B 114,400 617,524
* Neste Oil Oyj 134,620 3,006,686
Okobank Class A 8,400 134,005
Outokumpu Oyj Series A 121,900 1,681,293
Rautaruukki Oyj Series K 16,100 226,807
Stora Enso Oyj Series R 166,200 2,183,709
Upm-Kymmene Oyj 139,100 2,689,412
Wartsila Corp. Oyj Series B 10,350 311,374
-----------------
TOTAL -- FINLAND
(Cost $11,944,508) 24,611,598
-----------------
IRELAND -- (1.4%)
COMMON STOCKS -- (1.4%)
Allied Irish Banks P.L.C. 262,190 5,440,168
Bank of Ireland P.L.C. 200,203 3,039,372
CRH P.L.C. 334,589 8,447,362
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DCC P.L.C. 7,379 146,298
* Elan Corp. P.L.C. 123,571 943,425
Independent News & Media P.L.C. 35,273 108,450
Irish Permanent P.L.C. 180,152 2,996,210
-----------------
TOTAL -- IRELAND
(Cost $17,383,182) 21,121,285
-----------------
DENMARK -- (1.2%)
COMMON STOCKS -- (1.2%)
Carlsberg A.S. Series B 21,787 1,066,621
# Codan A.S. 41,260 2,018,624
Danisco A.S. 26,020 1,791,567
Danske Bank A.S. 199,426 5,722,701
* Jyske Bank A.S. 29,350 1,121,282
Koebenhavns Lufthavne 620 137,208
Nordea AB 21,596 197,307
Rockwool, Ltd. 6,150 426,846
Sydbank A.S. 22,100 458,469
Tele Danmark A.S. 123,130 5,428,778
* Topdanmark A.S. 3,830 275,005
-----------------
TOTAL -- DENMARK
(Cost $13,952,738) 18,644,408
-----------------
NORWAY -- (1.0%)
COMMON STOCKS -- (1.0%)
* Aker Kvaerner OGEP ASA 18,187 687,220
Aker Yards ASA 11,213 410,895
Den Norske Bank ASA Series A 230,400 2,228,487
* Fred Olsen Energy ASA 4,000 80,267
Norsk Hydro ASA 87,380 7,081,911
Norske Skogindustrier ASA Series A 90,300 1,386,831
Odfjell ASA Series A 7,600 144,939
Orkla ASA Series A 33,450 1,140,151
Prosafe ASA 4,150 124,703
Smedvig ASA Series A 5,400 94,534
Storebrand ASA 173,400 1,442,694
Wilhelmsen (Wilhelm), Ltd. ASA Series A 7,150 181,695
Yara International ASA 3,400 50,274
-----------------
TOTAL COMMON STOCKS
(Cost $12,392,201) 15,054,601
-----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Norwegian Krone 3,765
-----------------
(Cost $3,836)
TOTAL -- NORWAY
(Cost $12,396,037) 15,058,366
-----------------
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SINGAPORE -- (0.8%)
COMMON STOCKS -- (0.8%)
Cycle & Carriage, Ltd. 14,000 103,129
DBS Group Holdings, Ltd. 119,000 990,871
Fraser & Neave, Ltd. 154,710 1,454,886
Haw Par Brothers International, Ltd. 1,594 5,065
Keppel Corp., Ltd. 471,000 3,266,511
Keppel Land, Ltd. 67,000 91,479
Neptune Orient Lines, Ltd. 283,000 566,035
Overseas Chinese Banking Corp., Ltd. 53,000 441,478
SembCorp Industries, Ltd. 333,700 456,465
Singapore Airlines, Ltd. 438,800 3,018,505
Singapore Land, Ltd. 123,000 382,699
United Overseas Bank, Ltd. 46,000 394,208
# United Overseas Land, Ltd. 231,000 304,101
-----------------
TOTAL -- SINGAPORE
(Cost $7,197,908) 11,475,432
-----------------
AUSTRIA -- (0.4%)
COMMON STOCKS -- (0.4%)
Bank Austria Creditanstalt AG 20,389 2,005,067
Boehler-Uddeholm AG 2,145 276,835
OMV AG 2,984 1,045,090
Telekom Austria AG 44,047 820,951
Voestalpine AG 20,565 1,386,496
-----------------
TOTAL COMMON STOCKS
(Cost $3,013,095) 5,534,439
-----------------
RIGHTS/WARRANTS -- (0.0%)
* Boehler-Uddeholm AG Rights 06/02/05 2,145 0
-----------------
(Cost $0)
TOTAL -- AUSTRIA
(Cost $3,013,095) 5,534,439
-----------------
GREECE -- (0.3%)
COMMON STOCKS -- (0.3%)
* Agricultural Bank of Greece S.A. 8,700 63,015
Alpha Credit Bank 28,080 771,812
Bank of Greece 9,390 1,185,414
Bank of Piraeus S.A. 5,000 89,391
* Commercial Bank of Greece 17,600 539,154
Hellenic Petroleum S.A. 66,160 636,135
Hellenic Telecommunication Organization Co. S.A. 64,300 1,145,558
Intracom S.A. 101,820 522,626
-----------------
TOTAL -- GREECE
(Cost $4,137,847) 4,953,105
-----------------
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PORTUGAL -- (0.3%)
COMMON STOCKS -- (0.3%)
Banco Comercial Portugues SA 413,241 1,069,306
Banco Espirito Santo e Comercial de Lisboa 92,784 1,456,573
BPI SGPS SA 203,600 770,268
Cimpor Cimentos de Portugal SA 61,612 330,514
Jeronimo Martins SGPS SA 12,492 174,842
Portucel-Empresa Produtora de Pasta de Papel SA 593,270 1,023,040
-----------------
TOTAL -- PORTUGAL
(Cost $4,629,478) 4,824,543
-----------------
NEW ZEALAND -- (0.2%)
COMMON STOCKS -- (0.2%)
Air New Zealand, Ltd. 140,078 143,624
Auckland International Airport, Ltd. 373,744 538,496
Carter Holt Harvey, Ltd. 833,536 1,046,949
Contact Energy, Ltd. 35,243 174,573
Fletcher Building, Ltd. 113,984 500,208
-----------------
TOTAL COMMON STOCKS
(Cost $1,771,480) 2,403,850
-----------------
INVESTMENT IN CURRENCY -- (0.0%)
* New Zealand Dollar 2,007
-----------------
(Cost $2,036)
TOTAL -- NEW ZEALAND
(Cost $1,773,516) 2,405,857
-----------------
EMU -- (0.1%)
INVESTMENT IN CURRENCY -- (0.1%)
* Euro Currency 1,761,604
-----------------
(Cost $1,797,743)
FACE
AMOUNT VALUE +
----------------- -----------------
(000)
TEMPORARY CASH INVESTMENTS -- (15.4%)
^ Repurchase Agreement, Deutsche Bank Securities & Morgan Stanley
2.96%, 06/01/05 (Collateralized by $414,900,953 U.S. TIPS 1.875%,
07/15/13 & U.S. STRIPS, maturities ranging from 05/15/19 to
02/15/20, valued at $231,053,508) to be repurchased at
$226,539,652 (Cost $226,521,027) $ 226,521 226,521,027
20
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Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $5,959,000 FNMA Notes 2.95%, 11/14/07, valued
at $5,951,551) to be repurchased at $5,863,471 (Cost $5,863,000) 5,863 5,863,000
-----------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $232,384,027) 232,384,027
-----------------
TOTAL INVESTMENTS - (100.0%)
(Cost $1,208,904,859) $ 1,504,859,826
-----------------
----------
+ Securities have been fair valued. See Note B to Financial Statements.
^ Security purchased with cash proceeds from securities on loan.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
See accompanying Notes to Financial Statements.
21
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
(UNAUDITED)
[Enlarge/Download Table]
TAX-MANAGED TAX-MANAGED
U.S. MARKETWIDE TAX-MANAGED U.S. SMALL CAP
VALUE U.S. EQUITY VALUE
PORTFOLIO PORTFOLIO PORTFOLIO
--------------- --------------- ---------------
ASSETS:
Investments at Value (including $0, $0 and $83,753 of
securities on loan, respectively) $ 1,421,515 $ 792,182 $ 2,346,711
Receivables:
Investment Securities Sold -- -- 7,019
Dividends and Interest -- -- 1,153
Securities Lending Income -- -- 153
Fund Shares Sold 1,834 970 1,355
Prepaid Expenses and Other Assets -- 39 12
--------------- --------------- ---------------
Total Assets 1,423,349 793,191 2,356,403
--------------- --------------- ---------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned -- -- 91,408
Investment Securities Purchased 926 911 12,117
Fund Shares Redeemed 908 59 655
Due to Advisor 172 92 907
Accrued Expenses and Other Liabilities 45 23 164
--------------- --------------- ---------------
Total Liabilities 2,051 1,085 105,251
--------------- --------------- ---------------
NET ASSETS $ 1,421,298 $ 792,106 $ 2,251,152
=============== =============== ===============
SHARES OUTSTANDING $0.01 PAR VALUE 103,195,380 63,519,060 98,924,007
=============== =============== ===============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE $ 13.77 $ 12.47 $ 22.76
=============== =============== ===============
Investments at Cost $ 1,050,767 $ 679,956 $ 1,701,250
=============== =============== ===============
TAX-MANAGED
TAX-MANAGED DFA INTERNATIONAL
U.S. SMALL CAP VALUE
PORTFOLIO PORTFOLIO
--------------- -----------------
ASSETS:
Investments at Value (including $31,423 and $213,243 of
securities on loan, respectively) $ 1,063,056 $ 1,504,860
Cash 1 15
Receivables:
Investment Securities Sold 4,489 3,406
Dividends, Interest, and Tax Reclaims 315 3,453
Securities Lending Income 84 399
Fund Shares Sold 1,130 1,092
Prepaid Expenses and Other Assets 1 30
--------------- -----------------
Total Assets 1,069,076 1,513,255
--------------- -----------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 33,905 226,521
Investment Securities Purchased 3,693 7,718
Fund Shares Redeemed 172 230
Due to Advisor 414 530
Accrued Expenses and Other Liabilities 77 150
--------------- -----------------
Total Liabilities 38,261 235,149
--------------- -----------------
NET ASSETS $ 1,030,815 $ 1,278,106
=============== =================
SHARES OUTSTANDING $0.01 PAR VALUE 50,443,384 91,640,943
=============== =================
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE $ 20.44 $ 13.95
=============== =================
Investments at Cost $ 702,517 $ 1,208,905
=============== =================
See accompanying Notes to Financial Statements.
17
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2005
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
[Enlarge/Download Table]
TAX-MANAGED TAX-MANAGED
U.S. MARKETWIDE TAX-MANAGED U.S. SMALL
VALUE U.S. EQUITY CAP VALUE
PORTFOLIO PORTFOLIO PORTFOLIO
---------------- ---------------- ----------------
INVESTMENT INCOME
Dividends $ 10,303 $ 5,282 $ 9,209
Interest 174 110 251
Income from Securities Lending 93 36 589
Expenses Allocated from Master Funds (1,584) (331) --
---------------- ---------------- ----------------
Total Investment Income 8,986 5,097 10,049
---------------- ---------------- ----------------
EXPENSES
Investment Advisory Services -- -- 5,383
Administrative Services 981 531 --
Accounting & Transfer Agent Fees 33 18 309
Custodian Fees -- -- 102
Legal Fees 6 3 12
Audit Fees 1 1 37
Filing Fees 29 27 30
Shareholders' Reports 11 6 20
Directors' Fees and Expenses 5 2 9
Other 4 -- 17
---------------- ---------------- ----------------
Total Expenses 1,070 588 5,919
Fees Waived, Expenses Reimbursed, and/or Previously
Waived Fees Recovered by Advisor (Note C) -- (37) --
---------------- ---------------- ----------------
Net Expenses 1,070 551 5,919
---------------- ---------------- ----------------
NET INVESTMENT INCOME (LOSS) 7,916 4,546 4,130
---------------- ---------------- ----------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 12,464 (2,650) 100,201
Change in Unrealized Appreciation (Depreciation)
of Investment Securities 34,390 17,573 (116,808)
---------------- ---------------- ----------------
NET GAIN (LOSS) 46,854 14,923 (16,607)
---------------- ---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 54,770 $ 19,469 $ (12,477)
================ ================ ================
See accompanying Notes to Financial Statements.
18
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TAX-MANAGED TAX-MANAGED
U.S. SMALL DFA INTERNATIONAL
CAP VALUE
PORTFOLIO PORTFOLIO
--------------- -----------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0 and $2,467, respectively) $ 3,015 $ 21,128
Interest 135 134
Income from Securities Lending 399 948
--------------- -----------------
Total Investment Income 3,549 22,210
--------------- -----------------
EXPENSES
Investment Advisory Services 2,462 3,022
Accounting & Transfer Agent Fees 141 398
Custodian Fees 47 144
Legal Fees 5 8
Audit Fees 17 18
Filing Fees 23 28
Shareholders' Reports 9 10
Directors' Fees and Expenses 4 4
Other 10 22
--------------- -----------------
Total Expenses 2,718 3,654
--------------- -----------------
NET INVESTMENT INCOME (LOSS) 831 18,556
--------------- -----------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 3,293 12,154
Net Realized Gain (Loss) on Foreign Currency Transactions -- 169
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency (7,011) (1,194)
Translation of Foreign Currency Denominated Amounts -- (198)
--------------- -----------------
NET GAIN (LOSS) (3,718) 10,931
--------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ (2,887) $ 29,487
=============== =================
See accompanying Notes to Financial Statements.
19
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
[Enlarge/Download Table]
TAX-MANAGED TAX-MANAGED TAX-MANAGED
U.S. MARKETWIDE U.S. EQUITY U.S. SMALL CAP
VALUE PORTFOLIO PORTFOLIO VALUE PORTFOLIO
-------------------------- -------------------------- --------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004 2005 2004
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 7,916 $ 9,346 $ 4,546 $ 6,595 $ 4,130 $ 8,023
Net Realized Gain (Loss) on
Investment Securities Sold 12,464 1,052 (2,650) 206 100,201 153,147
Change in Unrealized Appreciation
(Depreciation) of
Investment Securities 34,390 169,859 17,573 47,212 (116,808) 200,871
----------- ----------- ----------- ----------- ----------- -----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations 54,770 180,257 19,469 54,013 (12,477) 362,041
----------- ----------- ----------- ----------- ----------- -----------
Distributions From:
Net Investment Income (6,540) (7,026) (5,314) (5,216) (5,791) (7,014)
Net Long-Term Gains -- -- -- -- (34,407) --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (6,540) (7,026) (5,314) (5,216) (40,198) (7,014)
----------- ----------- ----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued 225,160 359,314 181,435 264,799 311,117 447,201
Shares Issued in Lieu of
Cash Distributions 6,014 6,572 5,275 5,203 36,363 6,276
Shares Redeemed (55,333) (98,729) (27,647) (48,663) (122,371) (311,135)
----------- ----------- ----------- ----------- ----------- -----------
Net Increase (Decrease) from
Capital Share Transactions 175,841 267,157 159,063 221,339 225,109 142,342
----------- ----------- ----------- ----------- ----------- -----------
Total Increase (Decrease) 224,071 440,388 173,218 270,136 172,434 497,369
NET ASSETS
Beginning of Period 1,197,227 756,839 618,888 348,752 2,078,718 1,581,349
----------- ----------- ----------- ----------- ----------- -----------
End of Period $ 1,421,298 $ 1,197,227 $ 792,106 $ 618,888 $ 2,251,152 $ 2,078,718
=========== =========== =========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 16,631 29,799 14,719 22,827 13,571 21,563
Shares Issued in Lieu of Cash
Distributions 443 550 425 454 1,570 313
Shares Redeemed (4,099) (8,210) (2,240) (4,224) (5,340) (15,041)
----------- ----------- ----------- ----------- ----------- -----------
12,975 22,139 12,904 19,057 9,801 6,835
=========== =========== =========== =========== =========== ===========
See accompanying Notes to Financial Statements.
20
[Enlarge/Download Table]
TAX-MANAGED TAX-MANAGED
U.S. SMALL CAP DFA INTERNATIONAL
PORTFOLIO VALUE PORTFOLIO
---------------------------- ----------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
------------ ------------ ------------ ------------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 831 $ 636 $ 18,556 $ 16,503
Net Realized Gain (Loss) on
Investment Securities Sold 3,293 18,956 12,154 4,514
Net Realized Gain (Loss) on Foreign
Currency Transactions -- -- 169 (304)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency (7,011) 100,609 (1,194) 205,170
Translation of Foreign Currency
Denominated Amounts -- -- (198) 147
------------ ------------ ------------ ------------
Net Increase (Decrease) in Net
Assets Resulting from Operations (2,887) 120,201 29,487 226,030
------------ ------------ ------------ ------------
Distributions From:
Net Investment Income (879) (552) (8,216) (24,542)
------------ ------------ ------------ ------------
Total Distributions (879) (552) (8,216) (24,542)
------------ ------------ ------------ ------------
Capital Share Transactions (1):
Shares Issued 135,337 222,592 228,503 290,800
Shares Issued in Lieu of Cash
Distributions 870 547 7,774 23,798
Shares Redeemed (59,859) (87,917) (61,717) (108,953)
------------ ------------ ------------ ------------
Net Increase (Decrease) from
Capital Share Transactions 76,348 135,222 174,560 205,645
------------ ------------ ------------ ------------
Total Increase (Decrease) 72,582 254,871 195,831 407,133
NET ASSETS
Beginning of Period 958,233 703,362 1,082,275 675,142
------------ ------------ ------------ ------------
End of Period $ 1,030,815 $ 958,233 $ 1,278,106 $ 1,082,275
============ ============ ============ ============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 6,641 11,936 16,026 24,124
Shares Issued in Lieu of Cash
Distributions 42 31 561 2,046
Shares Redeemed (2,921) (4,710) (4,346) (9,050)
------------ ------------ ------------ ------------
3,762 7,257 12,241 17,120
============ ============ ============ ============
See accompanying Notes to Financial Statements.
21
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
[Enlarge/Download Table]
TAX-MANAGED U.S.
MARKETWIDE VALUE PORTFOLIO
---------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
-----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 13.27 $ 11.12 $ 9.09 $ 11.46 $ 10.77 $ 10.64
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.08 0.11 0.04 0.05 0.12 0.17
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.49 2.13 2.02 (2.39) 0.77 0.12
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.57 2.24 2.06 (2.34) 0.89 0.29
-----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.07) (0.09) (0.03) (0.03) (0.16) (0.16)
Return of Capital -- -- -- -- (0.04) --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.07) (0.09) (0.03) (0.03) (0.20) (0.16)
-----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 13.77 $ 13.27 $ 11.12 $ 9.09 $ 11.46 $ 10.77
Total Return 4.31%# 20.24% 22.79% (20.43)% 8.17% 2.80%
-----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,421,298 $ 1,197,227 $ 756,839 $ 478,946 $ 574,286 $ 259,457
Ratio of Expenses to Average Net Assets** 0.41%* 0.42% 0.43% 0.42% 0.44% 0.50%
Ratio of Expenses to Average Net Assets
(excluding waivers and assumption of
expenses and/or recovery of previously
waived fees)** 0.41%* 0.42% 0.43% 0.42% 0.44% 0.50%
Ratio of Net Investment Income to Average Net
Assets 1.21%* 0.97% 0.43% 0.44% 0.97% 1.75%
Portfolio Turnover Rate of Master Fund Series 7%# 5% 6% 15% 11% 39%
TAX-MANAGED U.S.
EQUITY PORTFOLIO
-------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR SEPT. 25,
ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001
---------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 12.23 $ 11.05 $ 9.40 $ 11.78 $ 10.00
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.08 0.14 0.07 0.04 0.01
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.26 1.18 1.63 (2.41) 1.77
----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.34 1.32 1.70 (2.37) 1.78
---------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.10) (0.14) (0.05) (0.01) --
Return of Capital -- -- -- -- --
----------- ----------- ----------- ----------- -----------
Total Distributions (0.10) (0.14) (0.05) (0.01) --
---------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 12.47 $ 12.23 $ 11.05 $ 9.40 $ 11.78
Total Return 2.79%# 12.03% 18.21% (20.16)% 17.80%#
---------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 792,106 $ 618,888 $ 348,752 $ 198,251 $ 81,550
Ratio of Expenses to Average Net Assets** 0.25%* 0.25% 0.25% 0.25% 0.25%*
Ratio of Expenses to Average Net Assets
(excluding waivers and assumption of
expenses and/or recovery of previously
waived fees)** 0.26%* 0.29% 0.29% 0.34% 0.71%*
Ratio of Net Investment Income to Average Net
Assets 1.29%* 1.37% 0.87% 0.50% 0.57%*
Portfolio Turnover Rate of Master Fund Series 2%# 5% 13% 11% 4%#
* Annualized
# Non-annualized
** Represents the combined ratios for the respective portfolio and its
respective pro-rata share of the Master Fund Series.
See accompanying Notes to Financial Statements.
22
[Enlarge/Download Table]
TAX-MANAGED U.S. SMALLCAP VALUE PORTFOLIO
---------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
-----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 23.32 $ 19.22 $ 13.34 $ 14.63 $ 12.08 $ 11.19
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.04 0.09 0.04 0.02 0.06 0.09
Net Gains (Losses) on Securities (Realized and
Unrealized) (0.15) 4.09 5.86 (1.25) 2.58 0.86
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations (0.11) 4.18 5.90 (1.23) 2.64 0.95
-----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.06) (0.08) (0.02) (0.06) (0.09) (0.06)
Net Realized Gains (0.39) -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.45) (0.08) (0.02) (0.06) (0.09) (0.06)
-----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 22.76 $ 23.32 $ 19.22 $ 13.34 $ 14.63 $ 12.08
Total Return (0.51)%# 21.84% 44.29% (8.47)% 22.01% 8.50%
-----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 2,251,152 $ 2,078,718 $ 1,581,349 $ 987,471 $ 834,773 $ 435,729
Ratio of Expenses to Average Net Assets 0.55%* 0.56% 0.56% 0.56% 0.57% 0.60%
Ratio of Net Investment Income to Average
Net Assets 0.38%* 0.45% 0.27% 0.13% 0.53% 0.88%
Portfolio Turnover Rate 9%# 21% 13% 11% 12% 50%
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
23
[Enlarge/Download Table]
TAX-MANAGED U.S.
SMALL CAP PORTFOLIO
---------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
---------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 20.53 $ 17.84 $ 12.55 $ 14.54 $ 12.95 $ 12.19
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.02 0.01 0.01 0.01 0.05 0.05
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.09) 2.69 5.29 (1.96) 1.59 0.74
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations (0.07) 2.70 5.30 (1.95) 1.64 0.79
---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.02) (0.01) (0.01) (0.04) (0.05) (0.03)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.02) (0.01) (0.01) (0.04) (0.05) (0.03)
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 20.44 $ 20.53 $ 17.84 $ 12.55 $ 14.54 $ 12.95
Total Return (0.35)%# 15.17% 42.27% (13.45)% 12.69% 6.50%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,030,815 $ 958,233 $ 703,362 $ 436,262 $ 382,381 $ 163,739
Ratio of Expenses to Average Net Assets 0.55%* 0.56% 0.57% 0.57% 0.58% 0.61%
Ratio of Net Investment Income
to Average Net Assets 0.17%* 0.08% 0.10% 0.07% 0.40% 0.45%
Portfolio Turnover Rate 7%# 7% 19% 10% 12% 54%
TAX-MANAGED DFA
INTERNATIONAL VALUE PORTFOLIO
---------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
---------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 13.63 $ 10.84 $ 8.24 $ 9.20 $ 10.20 $ 10.24
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.21 0.22 0.17 0.14 0.11 0.13
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.21 2.93 2.59 (0.98) (1.00) (0.12)
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.42 3.15 2.76 (0.84) (0.89) 0.01
---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.10) (0.36) (0.16) (0.12) (0.11) (0.05)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.10) (0.36) (0.16) (0.12) (0.11) (0.05)
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 13.95 $ 13.63 $ 10.84 $ 8.24 $ 9.20 $ 10.20
Total Return 3.11%# 29.69% 34.20% (9.29)% (8.83)% 0.04%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,278,106 $ 1,082,275 $ 675,142 $ 405,917 $ 288,440 $ 111,350
Ratio of Expenses to Average Net Assets 0.61%* 0.65% 0.66% 0.68% 0.76% 0.81%
Ratio of Net Investment Income
to Average Net Assets 3.08%* 1.91% 2.08% 1.84% 1.91% 1.86%
Portfolio Turnover Rate 3%# 7% 25% 8% 4% 6%
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
24
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company. The Fund offers thirty-seven portfolios, five of which (the
"Portfolios") are included in this report. The remaining portfolios are
presented in separate reports.
The Tax-Managed U.S. Marketwide Value Portfolio and Tax-Managed U.S. Equity
Portfolio (the "Feeder Funds") invest all of their assets in The Tax-Managed
U.S. Marketwide Value Series and The Tax-Managed U.S. Equity Series (each, a
"Series"), respectively, each a corresponding series or "master fund" of The DFA
Investment Trust Company. At May 31, 2005, the Feeder Funds owned 70% and 100%,
respectively, of their respective Series.
The financial statements of the Series are included elsewhere in this
report and should be read in conjunction with the financial statements of the
Feeder Funds.
Tax-Managed U.S. Small Cap Value Portfolio, Tax-Managed U.S. Small Cap
Portfolio and Tax-Managed DFA International Value Portfolio are organized as
stand-alone registered investment companies.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: Securities held by Tax-Managed U.S. Small Cap
Value Portfolio and Tax-Managed U.S Small Cap Portfolio which are listed on a
securities exchange and for which market quotations are readily available are
valued at the last quoted sale price of the day. Securities held by these
portfolios that are listed on NASDAQ are valued at the NASDAQ Official Closing
Price ("NOCP"). If there is no last reported sale price or NOCP for the day,
these portfolios value the securities at the mean between the quoted bid and
asked prices. Securities held by Tax-Managed DFA International Value Portfolio
which are listed on a securities exchange are valued at the last quoted sale
price. Price information on listed securities is taken from the exchange where
the security is primarily traded. Unlisted securities for which market
quotations are readily available are valued at the mean between the most recent
bid and asked prices. Securities for which quotations are not readily available,
or for which market quotations have become unreliable, are valued in good faith
at fair value using methods approved by the Board of Directors.
The Tax-Managed DFA International Value Portfolio (the "International
Portfolio") will also apply a fair value price in the circumstances described
below. Generally, trading in foreign securities markets is completed each day at
various times prior to the close of the New York Stock Exchange (NYSE). For
example, trading in the Japanese securities markets is completed each day at the
close of the Tokyo Stock Exchange (generally 11:00 p.m. PT), which is fourteen
hours prior to the close of the NYSE (generally 1:00 p.m. PT) and the time that
the net asset value of the International Portfolio is computed. Due to the time
differences between the closings of the relevant foreign securities exchanges
and the time the International Portfolio prices its shares at the close of the
NYSE, the International Portfolio will fair value its foreign investments when
it is determined that the market quotations for the foreign investments are
either unreliable or not readily available. The fair value prices will attempt
to reflect the impact of the U.S. financial markets' perceptions and trading
activities on the International Portfolio's foreign investments since the last
closing prices of the foreign investments were calculated on their primary
foreign securities markets or exchanges. For these purposes, the Board of
Directors of the Fund has determined that movements in relevant indices or other
appropriate market indicators, after the close of the Tokyo Stock Exchange or
the London Stock Exchange, demonstrate that market
25
quotations may be unreliable, and may trigger fair value pricing. Consequently,
fair valuation of portfolio securities may occur on a daily basis. The fair
value pricing by the Fund utilizes data furnished by an independent pricing
service (and that data draws upon, among other information, the market values of
foreign investments). The fair value prices of portfolio securities generally
will be used when it is determined that the use of such prices will have a
material impact on the net asset value of the International Portfolio. When the
International Portfolio uses fair value pricing, the values assigned to the
International Portfolio's foreign investments may not be the quoted or published
prices of the investments on their primary markets or exchanges.
For the Tax-Managed U.S. Marketwide Value Portfolio and Tax-Managed U.S.
Equity Portfolio, the investment reflects their proportionate interest in the
net assets of their respective Series.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and
liabilities of the Tax-Managed DFA International Value Portfolio whose values
are initially expressed in foreign currencies, are translated to U.S. dollars
using the mean between the most recently quoted bid and asked prices for the
U.S. dollar as quoted by generally recognized reliable sources. Dividend and
interest income and certain expenses are translated to U.S. dollars at the rate
of exchange on their respective accrual dates. Receivables and payables
denominated in foreign currencies are marked to market daily based on daily
exchange rates and exchange gains or losses are realized upon ultimate receipt
or disbursement.
The Tax-Managed DFA International Value Portfolio does not isolate the
effect of fluctuations in foreign exchange rates from the effect of fluctuations
in the market prices of securities whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between the amount of interest,
dividends and foreign withholding taxes recorded on the books of the Tax-Managed
DFA International Value Portfolio and the U.S. dollar equivalent amounts
actually received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Directors may defer payment of a
percentage of their total fees earned as a Director. These deferred amounts may
be treated as though such amounts had been invested in shares of the following
funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA
International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income, are included in Directors'
Fees and Expenses.
4. OTHER: Security transactions are accounted for on the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on the accrual basis. Expenses directly attributable to a
Portfolio are directly charged. Common expenses of the Fund or Portfolios are
allocated using methods approved by the Board of Directors, generally based on
average net assets.
The Feeder Funds record, on a daily basis, their respective share of income
and expenses on their investment in their respective Series, which are treated
as partnerships for federal income tax purposes. All of the net investment
income and realized and unrealized gains and losses from the security
transactions are allocated pro-rata among their investors at the time of such
determination.
The Tax-Managed DFA International Value Portfolio may be subject to taxes
imposed by countries in which it invests, with respect to its investments in
issuers existing or operating in such countries. Such taxes are generally based
on income earned or repatriated and capital gains realized on the sale of such
investments. The portfolio accrues such taxes when the related income or capital
gains are earned. 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 abroad.
26
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or "the Advisor") provides
investment advisory services to each of the Portfolios except the Feeder Funds.
The Advisor provides administrative services to the Feeder Funds, including
supervision of services provided by others, providing information to
shareholders and the Board of Directors, and other administrative services. For
the six months ended May 31, 2005, the Portfolios' advisory fees were accrued
daily and paid monthly to the Advisor based on the following effective annual
rates of average daily net assets:
[Download Table]
Tax-Managed U.S. Small Cap Value Portfolio 0.50 of 1%
Tax Managed U.S. Small Cap Portfolio 0.50 of 1%
Tax Managed DFA International Value Portfolio 0.50 of 1%
For the six months ended May 31, 2005, the Feeder Funds accrued and paid
monthly to the Advisor an administration fee based on an effective annual rate
of 0.15 of 1% of average daily net assets.
Pursuant to a Fee Expense Waiver and Assumption Agreement for the
Tax-Managed U.S. Equity Portfolio, the Advisor has contractually agreed to waive
its administration fee and assume the expenses of the Portfolio (up to the
amount of fees paid to the Advisor based on the Portfolio's assets invested in
its master fund) to the extent necessary to reduce the Portfolio's expenses when
its total operating expenses exceed 0.25% of the average net assets of the
Portfolio on an annualized basis. At any time that the annualized expenses of
the Tax-Managed U.S. Equity Portfolio are less than 0.25% of the Portfolio's
average net assets on an annualized basis, the Advisor retains the right to seek
reimbursement for any fees previously waived and/or any expenses previously
assumed to the extent that such reimbursement will not cause the Portfolio's
annualized expenses to exceed 0.25% of its average net assets. The Tax-Managed
U.S. Equity Portfolio is not obligated to reimburse the Advisor for fees waived
or expenses assumed by the Advisor more than thirty-six months prior to the date
of such reimbursement. The Fee Expense Waiver and Assumption Agreement will
remain in effect for a period of one year from April 1, 2005 to April 1, 2006,
and shall continue to remain in effect from year to year thereafter unless
terminated by the Fund or the Advisor. At May 31, 2005, Tax-Managed U.S. Equity
Portfolio had approximately $367,700 of previously waived fees subject to future
reimbursement to the Advisor over various periods not exceeding May 31, 2008.
Certain officers of the Fund are also officers, directors and shareholders
of the Advisor.
D. DEFERRED COMPENSATION:
At May 31, 2005, the total liability for deferred compensation to Directors
is included in Accrued Expenses and Other Liabilities as follows:
[Download Table]
Tax-Managed U.S. Marketwide Value Portfolio $ 20,439
Tax-Managed U.S. Equity Portfolio 10,944
Tax-Managed U.S. Small Cap Value Portfolio 34,235
Tax-Managed U.S. Small Cap Portfolio 15,715
Tax-Managed DFA International Value Portfolio 18,839
E. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 2005, the Portfolios made the following
purchases and sales of investment securities other than short-term securities
(amounts in thousands):
[Download Table]
OTHER INVESTMENT
SECURITIES
---------------------------
PURCHASES SALES
------------ ------------
Tax-Managed U.S. Small Cap Value Portfolio $ 379,467 $ 201,226
Tax-Managed U.S. Small Cap Portfolio 137,593 68,032
Tax-Managed DFA International Value Portfolio 219,026 39,411
There were no purchases or sales of U.S. Government Securities during the
six months ended May 31, 2005.
27
F. FEDERAL INCOME TAXES:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code for
federal income tax purposes and to distribute substantially all of its taxable
income and net capital gains to shareholders. Accordingly, no provision has been
made for federal income taxes.
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2004 and November 30, 2003 were as follows (amounts
in thousands):
[Enlarge/Download Table]
ORDINARY
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAIN TOTAL
--------------- --------------- ---------------
Tax-Managed U.S. Marketwide Value Portfolio
2004 $ 7,026 -- $ 7,026
2003 1,935 -- 1,935
Tax-Managed U.S. Equity Portfolio
2004 5,216 -- 5,216
2003 1,091 -- 1,091
Tax-Managed U.S. Small Cap Value Portfolio
2004 7,014 -- 7,014
2003 1,454 -- 1,454
Tax-Managed U.S. Small Cap Portfolio
2004 552 -- 552
2003 344 -- 344
Tax-Managed DFA International Value Portfolio
2004 24,542 -- 24,542
2003 7,505 -- 7,505
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
At November 30, 2004, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
[Enlarge/Download Table]
TOTAL NET
DISTRIBUTABLE
UNDISTRIBUTED UNDISTRIBUTED CAPITAL EARNINGS/
NET INVESTMENT LONG-TERM LOSS (ACCUMULATED)
INCOME CAPITAL GAINS CARRYFORWARD LOSS)
-------------- -------------- -------------- --------------
Tax-Managed U.S. Marketwide Value Portfolio $ 3,444 -- $ (180,882) $ (177,438)
Tax-Managed U.S. Equity Portfolio 3,310 -- (35,393) (32,083)
Tax-Managed U.S. Small Cap Value Portfolio 3,703 $ 34,361 -- 38,064
Tax-Managed U.S. Small Cap Portfolio 471 -- (87,376) (86,905)
Tax-Managed DFA International Value Portfolio 6,385 -- (20,973) (14,588)
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at November 30, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
As of November 30, 2004, the following Portfolios had capital loss carryforwards
available to offset future realized capital gains through the indicated
expiration dates (amount in thousands):
[Enlarge/Download Table]
EXPIRES ON NOVEMBER 30,
-------------------------------------------------
2008 2009 2010 2011 TOTAL
---------- ---------- ---------- ---------- ----------
Tax-Managed U.S. Marketwide Value Portfolio $ 11,968 $ 19,886 $ 133,556 $ 15,472 $ 180,882
Tax-Managed U.S. Equity Portfolio -- -- 22,901 12,492 35,393
Tax-Managed U.S. Small Cap Portfolio -- -- 52,168 35,208 87,376
Tax-Managed DFA International Value Portfolio -- 1,701 19,272 -- 20,973
28
Certain of the investments held by the Tax-Managed DFA International Value
Portfolio are in securities considered to be "passive foreign investment
companies", for which any unrealized appreciation (depreciation) (mark to
market) and/or realized gains are required to be included in distributable net
investment income for tax purposes. During the year ended November 30, 2004, the
Portfolio had unrealized appreciation (depreciation) (mark to market) of
$4,570,262 and $148,925 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.
At May 31, 2005, the total cost and aggregate gross unrealized appreciation
and depreciation of securities for federal income tax purposes were different
from amounts reported for financial reporting purposes (amounts in thousands):
[Enlarge/Download Table]
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
-------------- -------------- -------------- --------------
Tax-Managed U.S. Marketwide Value Portfolio $ 1,051,299 $ 422,179 $ (51,963) $ 370,216
Tax-Managed U.S. Equity Portfolio 680,387 131,906 (20,111) 111,795
Tax-Managed U.S. Small Cap Value Portfolio 1,702,163 749,823 (105,275) 644,548
Tax-Managed U.S. Small Cap Portfolio 703,643 398,240 (38,827) 359,413
Tax-Managed DFA International Value Portfolio 1,209,225 309,187 (13,553) 295,634
G. FINANCIAL INSTRUMENTS:
In accordance with the Portfolios' investment objectives and policies, the
Portfolios may invest in certain financial instruments which have off-balance
sheet risk and concentrations of credit risk. These instruments and their
significant corresponding risks are described below:
1. REPURCHASE AGREEMENTS: The Portfolios may purchase money market
instruments subject to the counterparty's agreement to repurchase them at an
agreed upon date and price. The counterparty will be required on a daily basis
to maintain the value of the collateral subject to the agreement at not less
than the repurchase price (including accrued interest). The agreements are
conditioned upon the collateral being deposited under the Federal Reserve
book-entry system with the Fund's custodian or a third party sub-custodian. In
the event of default or bankruptcy by the other party to the agreement,
retention of the collateral may be subject to legal proceedings. All open
repurchase agreements were entered into on May 31, 2005.
2. FOREIGN MARKET RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States, including the possibility of future political and economic
developments and the level of foreign governmental supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid and
more volatile than the major securities markets in the United States.
Consequently, acquisition and disposition of securities by the Portfolios may be
inhibited.
H. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured line of credit effective June 2004 with its
domestic custodian bank. Each portfolio is permitted to borrow, subject to its
investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line are charged interest at the then current federal funds
rate plus 1%. Each portfolio is individually, and not jointly liable for its
particular advances under the line of credit. There is no commitment fee on the
unused portion of the line of credit, since this is not a committed facility.
The
29
agreement for the discretionary line of credit may be terminated by either party
at any time. The agreement for the line of credit expires on June 27, 2006. For
the six months ended May 31, 2005, borrowings under the line of credit were as
follows:
[Enlarge/Download Table]
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING
INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED THE PERIOD
------------- ------------- ------------- ------------- ---------------
Tax-Managed U.S. Small Cap Value Portfolio 3.00% $ 112,000 4 $ 37 $ 112,000
Tax-Managed U.S. Small Cap Portfolio 2.75% 959,250 4 293 1,299,000
There were no outstanding borrowings under the line of credit as of May 31,
2005.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
3, 2005 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Each portfolio is individually, and not jointly liable for its
particular advances under the line of credit. Borrowings under the line of
credit are charged interest at rates agreed to by the parties at the time of
borrowing. There is no commitment fee on the unused line of credit. The
agreement for the line of credit expires on April 2, 2006. There were no
borrowings under the line of credit with the international custodian bank during
the six months ended May 31, 2005.
I. COMPONENTS OF NET ASSETS:
At May 31, 2005, net assets consisted of (amounts in thousands):
[Enlarge/Download Table]
UNREALIZED
ACCUMULATED ACCUMULATED ACCUMULATED APPRECIATION UNREALIZED
NET NET REALIZED NET REALIZED (DEPRECIATION) NET FOREIGN
INVESTMENT GAIN (LOSS) FOREIGN OF INVESTMENT EXCHANGE
PAID-IN INCOME OF INVESTMENTS EXCHANGE SECURITIES AND GAIN TOTAL NET AUTHORIZED
CAPITAL (LOSS) SECURITIES GAIN (LOSS) FOREIGN CURRENCY (LOSS) ASSETS SHARES
----------- ----------- -------------- ------------ ---------------- ----------- ----------- -----------
Tax-Managed
U.S. Marketwide
Value Portfolio $ 1,214,690 $ 4,812 $ (168,952) -- $ 370,748 -- $ 1,421,298 150,000,000
Tax-Managed
U.S. Equity
Portfolio 715,854 2,495 (38,469) -- 112,226 -- 792,106 100,000,000
Tax-Managed
U.S. Small Cap
Value Portfolio 1,504,593 2,017 99,081 -- 645,461 -- 2,251,152 150,000,000
Tax-Managed
U.S. Small Cap
Portfolio 755,221 412 (85,357) -- 360,539 -- 1,030,815 100,000,000
Tax-Managed
DFA Value
International
Portfolio 979,050 12,143 (9,140) $ 169 295,955 $ (71) 1,278,106 150,000,000
J. SECURITIES LENDING:
As of May 31, 2005, some of the Fund's portfolios had securities on loan to
broker/dealers, for which each portfolio held cash collateral. Each portfolio
invests the cash collateral, as described below, and records a liability for the
return of the collateral, during the period the securities are on loan. Loans of
securities are required at all times to be secured by collateral at least equal
to 100% of the market value of the securities on loan. However, in the event of
default or bankruptcy by the other party to the agreement, realization and/or
retention of the collateral may be subject to legal proceedings. In the event
that the borrower fails to return loaned securities, and cash collateral being
maintained by the borrower is insufficient to cover the value of loaned
securities and provided such collateral insufficiency is not the result of
investment losses, the lending agent has agreed to pay the amount of the
shortfall to the portfolio or, at the option of the lending agent, to replace
the securities.
30
The cash collateral received by each portfolio from securities on loan is
invested in repurchase agreements collateralized by U.S. government securities.
Securities pledged as collateral for the repurchase agreements are held by a
custodian bank until the agreements are repurchased.
The Portfolios paid fees for securities lending for the six month period
ended May 31, 2005, which have been netted against the Income from Securities
Lending on the Statements of Operations. These fees are presented below (in
thousands):
[Download Table]
Tax-Managed U.S. Small Cap Value Portfolio $ 148
Tax-Managed U.S. Small Cap Portfolio 100
Tax-Managed DFA International Value Portfolio 410
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.
31
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the
impact of fees on your investment. All mutual funds have operating expenses. As
a shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees (in dollars) of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Tables below illustrate your fund's costs in two ways.
- ACTUAL FUND RETURN. This section helps you to estimate the actual
expenses after fee waivers that you paid over the period. The "Ending
Account Value" shown is derived from the fund's actual return, and
"Expenses Paid During Period" shows the dollar amount that would have
been paid by an investor who started with $1,000 in the fund. You may
use the information here, together with the amount you invested, to
estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
- HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you
compare your fund's costs with those of other mutual funds. It assumes
that the fund had an annual return of 5% before expenses, but that the
expense ratio is unchanged. In this case -- because the return used is
not the fund's actual return -- the results do not apply to your
investment. The example is useful in making comparisons because the
Securities and Exchange Commission ("SEC") requires all mutual funds
to calculate expenses based on a 5% annual return. You can assess your
fund's cost by comparing this hypothetical example with the
hypothetical examples that appear in shareholder reports of other
funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs
(if any). The "Annualized Expense Ratio" represents the actual expenses for the
six month period indicated.
FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005
EXPENSE TABLES
[Enlarge/Download Table]
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/01/04 05/31/05 RATIO PERIOD*
------------ ------------ ------------ ------------
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
Actual Fund Return $ 1,000.00 $ 1,044.50 0.24% $ 1.22
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.80 0.24% $ 1.21
THE TAX-MANAGED U.S. EQUITY SERIES
Actual Fund Return $ 1,000.00 $ 1,028.80 0.09% $ 0.46
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.55 0.09% $ 0.45
----------
*Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in the
most recent fiscal half-year, then divided by 365.
32
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete Schedule
of Investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For The DFA Investment
Trust Company, this would be for the fiscal quarters ending August 31 and
February 28 (February 29 during leap year). The Form N-Q filing must be made
within 60 days of the end of the quarter. The DFA Investment Trust Company filed
its most recent Form N-Q with the SEC on April 29, 2005. It is available upon
request, without charge, by calling collect: (310) 395-8005 or by mailing a
request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa
Monica, California 90401, or by visiting the SEC's website at
http://www.sec.gov, or they may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the
operation of the Public Reference Room).
The SEC has also amended certain regulations to permit a fund to include in
its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu
of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings
reports the fund's 50 largest holdings in unaffiliated issuers and any
investments that exceed one percent of the fund's net assets at the end of the
reporting period. The amendments also require that the Summary Schedule of
Portfolio Holdings identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the
SEC on Form N-CSR within ten days after mailing the annual report to
shareholders. It will be available, upon request, without charge, by calling
collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors,
Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C. (call
1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a Schedule of Investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
[Download Table]
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
Financials 27.5%
Consumer Discretionary 20.8
Energy 12.1
Industrials 10.5
Information Technology 8.7
Materials 6.0
Telecommunication Services 5.4
Health Care 4.4
Consumer Staples 4.2
Utilities 0.4
-----
100.0%
=====
33
[Download Table]
THE TAX-MANAGED U.S. EQUITY SERIES
Financials 18.3%
Information Technology 16.3
Consumer Discretionary 14.3
Health Care 14.3
Industrials 10.8
Consumer Staples 9.7
Energy 7.8
Materials 3.1
Utilities 3.1
Telecommunication Services 2.3
-----
100.0%
=====
34
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
[Download Table]
SHARES VALUE+
----------------- -----------------
COMMON STOCKS -- (96.9%)
Financials -- (26.7%)
1st Source Corp. 13,200 $ 287,496
21st Century Insurance Group 55,000 766,150
A.G. Edwards, Inc. 48,600 2,007,666
* ACE Cash Express, Inc. 600 13,086
Advanta Corp. Class A 14,400 330,192
Advanta Corp. Class B Non-Voting 15,000 370,050
* Aether Systems, Inc. 4,000 12,520
Alfa Corp. 31,257 447,600
* Allmerica Financial Corp. 24,800 866,016
Allstate Corp. 613,600 35,711,520
AMBAC Financial Group, Inc. 98,300 7,092,345
American Capital Strategies, Ltd. 66,823 2,340,141
American Financial Group, Inc. 73,500 2,382,870
* American Independence Corp. 1,266 16,774
American National Insurance Co. 24,200 2,792,680
* American Physicians Capital, Inc. 3,500 121,275
* American West Bancorporation 666 13,167
* AmeriCredit Corp. 67,900 1,688,673
* AmeriServe Financial, Inc. 800 4,368
AmerUs Group Co. 36,100 1,717,999
AmSouth Bancorporation 2,500 66,650
AON Corp. 263,700 6,574,041
* Arch Capital Group, Ltd. 3,900 174,135
* Argonaut Group, Inc. 7,850 164,379
Associated Banc-Corp 1,004 33,554
Astoria Financial Corp. 6,500 179,010
Baldwin & Lyons, Inc. Class B 2,600 66,820
* Bancinsurance Corp. 1,800 9,360
Bank of America Corp. 28,000 1,296,960
Bank of Hawaii Corp. 60,500 2,948,165
BankUnited Financial Corp. Class A 14,300 353,353
Banner Corp. 8,566 227,941
Bay View Capital Corp. 2,790 44,221
BB&T Corp. 437 17,454
Bear Stearns Companies, Inc. 115,222 11,411,587
Berkley (W.R.) Corp. 35,437 1,256,596
Beverly Hills Bancorp, Inc. 4,000 41,800
Brookline Bancorp, Inc. 39,125 594,700
Cash America International, Inc. 20,700 356,040
* Ceres Group, Inc. 3,006 17,224
CFS Bancorp, Inc. 3,023 39,632
Chemical Financial Corp. 15,205 486,256
1
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Chubb Corp. 180,500 15,203,515
Cincinnati Financial Corp. 151,932 5,996,756
Citigroup, Inc. 45,069 2,123,201
Citizens South Banking Corp. 1,842 23,264
* # Citizens, Inc. 1,400 8,106
City Holding Co. 6,500 219,570
Clark, Inc. 6,300 91,350
* CNA Financial Corp. 114,500 3,157,910
* CNA Surety Corp. 14,500 200,390
Columbia Banking System, Inc. 6,623 162,926
Comerica, Inc. 72,600 4,056,888
Commerce Bancshares, Inc. 1,701 82,924
Commerce Group, Inc. 19,100 1,138,360
Commercial Capital Bancorp, Inc. 6,669 113,040
Commercial Federal Corp. 34,300 857,843
Community Bank System, Inc. 23,900 556,870
Community West Bancshares 400 4,872
Compass Bancshares, Inc. 2,700 120,339
* # CompuCredit Corp. 36,500 1,150,845
Corus Bankshares, Inc. 13,400 687,688
Countrywide Financial Corp. 462,798 17,202,202
* Credit Acceptance Corp. 35,400 499,494
Delphi Financial Group, Inc. Class A 22,500 954,000
Delta Financial Corp. 300 2,715
Dime Community Bancshares 19,912 300,671
Donegal Group, Inc. Class A 3,133 57,835
Downey Financial Corp. 23,100 1,732,962
* E*TRADE Financial Corp. 204,800 2,529,280
* Epoch Holding Corp. 600 2,700
F.N.B. Corp. 7,300 135,634
FBL Financial Group, Inc. Class A 21,400 572,450
Fidelity National Financial, Inc. 90,335 3,251,157
Financial Federal Corp. 2,100 78,330
* Financial Industries Corp. 2,444 20,896
First American Corp. 76,600 2,964,420
* First Bank of Delaware 550 1,815
* First Cash Financial Services, Inc. 2,700 46,980
First Charter Corp. 7,900 174,195
First Citizens BancShares, Inc. 3,900 509,067
First Community Bancorp 4,200 185,556
First Community Bancshares, Inc. 3,000 90,240
First Indiana Corp. 8,749 235,786
* First Mariner Bancorp 300 5,001
First Merchants Corp. 10,441 259,668
First Niagara Financial Group, Inc. 65,869 857,614
# First PacTrust Bancorp, Inc. 600 14,844
First Place Financial Corp. 9,953 195,975
First Republic Bank 10,200 327,216
First State Bancorporation 4,000 73,840
* FirstFed Financial Corp. 7,800 422,604
Flagstar Bancorp, Inc. 41,300 816,088
* FPIC Insurance Group, Inc. 3,400 101,184
Fremont General Corp. 54,000 1,161,540
Gold Banc Corp. 4,100 56,949
Great American Financial Resources, Inc. 2,300 38,778
2
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Hancock Holding Co. 4,000 129,440
Harbor Florida Bancshares, Inc. 5,200 184,964
Harleysville Group, Inc. 19,500 396,045
Hartford Financial Services Group, Inc. 281,700 21,068,343
HCC Insurance Holdings, Inc. 11,800 462,678
Heritage Commerce Corp. 800 14,816
Hibernia Corp. 1,800 57,870
HMN Financial, Inc. 3,596 108,365
Horace Mann Educators Corp. 31,000 564,200
Horizon Financial Corp. 1,900 38,190
Huntington Bancshares, Inc. 2,500 58,300
ILX Resorts, Inc. 200 1,962
Independence Community Bank Corp. 77,287 2,896,717
IndyMac Bancorp, Inc. 33,000 1,357,950
Infinity Property & Casualty Corp. 14,800 473,600
* Instinet Group, Inc. 46,400 244,992
Integra Bank Corp. 4,100 90,569
Irwin Financial Corp. 17,400 365,226
* ITLA Capital Corp. 400 19,928
Janus Capital Group, Inc. 244,500 3,755,520
Jefferies Group, Inc. 22,800 807,348
Jefferson-Pilot Corp. 109,000 5,493,600
* Jones Lang LaSalle, Inc. 600 25,446
JPMorgan Chase & Co. 1,593,648 56,972,916
* Kennedy-Wilson, Inc. 900 9,288
KeyCorp 215,100 7,046,676
* Knight Capital Group, Inc. 74,400 561,720
* LaBranche & Co., Inc. 2,500 13,825
LandAmerica Financial Group, Inc. 17,100 961,020
Lehman Brothers Holdings, Inc. 91,071 8,396,746
Lincoln National Corp. 137,300 6,251,269
Loews Corp. 181,500 13,666,950
MAF Bancorp, Inc. 22,900 974,624
Manulife Financial Corp. 284,353 13,066,020
* Matrix Bancorp, Inc. 100 1,280
MBIA, Inc. 125,050 6,994,046
MCG Capital Corp. 18,300 292,800
* Meadowbrook Insurance Group, Inc. 6,200 31,930
Medallion Finanacial Corp. 7,400 68,524
Mercantile Bankshares Corp. 2,381 124,122
Merrill Lynch & Co., Inc. 189,200 10,265,992
MetLife, Inc. 759,500 33,873,700
* Metris Companies, Inc. 20,400 264,792
MGIC Investment Corp. 111,000 6,808,740
Midland Co. 2,000 63,900
National City Corp. 5,788 200,033
* National Western Life Insurance Co. Class A 900 165,037
Nationwide Financial Services, Inc. 47,500 1,813,550
* Navigators Group, Inc. 2,900 96,396
New York Community Bancorp, Inc. 215,500 3,926,410
* Newtek Business Services, Inc. 1,400 3,626
North Fork Bancorporation, Inc. 92,970 2,534,362
Northwest Bancorp, Inc. 2,200 43,780
OceanFirst Financial Corp. 2,300 49,450
* # Ocwen Financial Corp. 39,300 284,139
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# Odyssey Re Holdings Corp. 53,300 1,285,063
Ohio Casualty Corp. 44,300 1,058,770
Old Republic International Corp. 143,650 3,571,139
* Pacific Mercantile Bancorp 1,000 14,116
* Pelican Financial, Inc. 300 1,953
* # Penn Treaty American Corp. 500 1,115
PFF Bancorp, Inc. 31,500 914,760
* Piper Jaffray Companies, Inc. 3,100 87,637
* PMA Capital Corp. Class A 7,357 54,663
PMI Group, Inc. 117,100 4,426,380
* Premier Financial Bancorp 400 4,350
Presidential Life Corp. 21,758 329,634
Principal Financial Group, Inc. 308,100 12,290,109
* ProAssurance Corp. 15,200 594,624
Protective Life Corp. 62,000 2,491,780
Provident Financial Holdings, Inc. 675 18,778
Provident Financial Services, Inc. 1,828 32,502
* Providian Financial Corp. 117,300 2,090,286
Prudential Financial, Inc. 517,500 32,762,925
Radian Group, Inc. 123,704 5,675,540
Regions Financial Corp. 119,637 4,029,374
Reinsurance Group of America, Inc. 54,700 2,502,525
* Republic First Bancorp, Inc. 616 8,205
RLI Corp. 18,400 804,816
Safeco Corp. 110,000 5,919,100
Sanders Morris Harris Group, Inc. 1,100 17,985
Selective Insurance Group, Inc. 23,000 1,106,990
Simmons First National Corp. Class A 7,811 191,682
Sound Federal Bancorp, Inc. 5,736 91,317
South Financial Group, Inc. 61,153 1,666,419
Sovereign Bancorp, Inc. 348,618 7,781,154
StanCorp Financial Group, Inc. 26,200 1,961,070
* Standard Management Corp. 100 180
State Auto Financial Corp. 24,300 656,100
* Sterling Financial Corp. 11,259 398,006
Stewart Information Services Corp. 13,700 537,725
* Stifel Financial Corp. 400 8,448
* Stratus Properties, Inc. 500 8,340
* Sun Bancorp, Inc. 3,115 64,605
Susquehanna Bancshares, Inc. 13,802 314,134
* SVB Financial Group 2,380 113,669
SWS Group, Inc. 10,800 171,180
TD Banknorth, Inc. 1,270 38,075
* The Banc Corp. 4,100 43,050
# The Phoenix Companies, Inc. 77,600 892,400
The St. Joe Corp. 1,600 126,192
The St. Paul Travelers Companies, Inc. 637,800 24,159,864
The Toronto Dominion Bank 705 29,984
* The Washtenaw Group, Inc. 100 125
TierOne Corp. 14,000 337,750
Torchmark Corp. 93,500 4,932,125
* Trammell Crow Co. 27,900 629,145
Transatlantic Holdings, Inc. 58,100 3,318,091
* Triad Guaranty, Inc. 5,600 303,520
UICI 45,600 1,146,840
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UMB Financial Corp. 17,470 973,079
Umpqua Holdings Corp. 26,100 608,391
UnionBanCal Corp. 500 31,385
* United America Idemnity, Ltd. 3,722 63,460
United Community Financial Corp. 34,000 357,340
Unitrin, Inc. 57,300 2,852,967
Unity Bancorp, Inc. 1,543 18,902
* Universal American Financial Corp. 46,391 878,646
UnumProvident Corp. 218,100 4,004,316
Vesta Insurance Group, Inc. 13,700 34,524
Wachovia Corp. 49,732 2,523,899
Washington Federal, Inc. 43,820 999,972
Washington Mutual, Inc. 650,900 26,882,170
Webster Financial Corp. 44,000 2,063,600
Wesbanco, Inc. 8,859 261,961
Wesco Financial Corp. 1,110 397,691
Westcorp, Inc. 42,720 2,069,357
* WFS Financial, Inc. 9,100 443,625
Whitney Holding Corp. 8,775 278,255
Willow Grove Bancorp, Inc. 4,600 70,132
* Wilshire Enterprises, Inc. 600 4,500
Wintrust Financial Corp. 600 30,042
* World Acceptance Corp. 1,130 29,436
Yardville National Bancorp 3,100 105,121
-----------------
Total Financials
(Cost $415,724,285) 549,621,621
-----------------
Consumer Discretionary -- (20.2%)
* 4Kids Entertainment, Inc. 2,300 43,700
* Acme Communications, Inc. 1,000 3,960
Action Performance Companies, Inc. 10,900 101,479
* Advanced Marketing Services, Inc. 8,500 34,637
* Aftermarket Technology Corp. 5,900 90,506
* Alderwoods Group, Inc. 2,800 38,780
* All American Semiconductor, Inc. 800 3,832
* Alloy, Inc. 1,200 6,168
Ambassadors Group, Inc. 600 21,690
American Axle & Manufacturing Holdings, Inc. 44,300 917,010
American Greetings Corp. Class A 32,500 844,350
* AnnTaylor Stores Corp. 39,375 1,014,300
* Applica, Inc. 4,600 13,156
ArvinMeritor, Inc. 200 2,880
* Ashworth, Inc. 3,300 31,680
* Audiovox Corp. Class A 23,900 349,657
* AutoNation, Inc. 321,100 6,418,789
* # Avatar Holdings, Inc. 1,700 81,430
* Aztar Corp. 30,900 986,946
* # Bally Total Fitness Holding Corp. 1,100 3,344
Bandag, Inc. 4,500 208,260
Bandag, Inc. Class A 2,600 108,550
* Barnes & Noble, Inc. 30,500 1,154,425
Bassett Furniture Industries, Inc. 5,679 110,911
Beazer Homes USA, Inc. 36,603 1,956,796
Belo Corp. Class A 106,600 2,620,228
* Big Lots, Inc. 71,900 910,254
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Blair Corp. 5,800 226,490
# Blockbuster, Inc. Class A 45,400 414,502
* Bluegreen Corp. 8,400 141,624
Bob Evans Farms, Inc. 24,200 566,280
* Bombay Co., Inc. 11,800 62,894
Bon-Ton Stores, Inc. 10,249 185,199
Books-A-Million, Inc. 5,000 42,100
Borders Group, Inc. 72,400 1,830,996
BorgWarner, Inc. 46,200 2,469,852
Boyd Gaming Corp. 42,300 2,235,978
* Boyds Collection, Ltd. 8,800 19,272
* # Brillian Corp. 1,375 4,290
* Brookstone, Inc. 1,375 27,692
Brown Shoe Company, Inc. 15,800 554,580
Brunswick Corp. 51,400 2,212,256
* Buca, Inc. 700 3,570
Building Materials Holding Corp. 8,900 552,067
Burlington Coat Factory Warehouse Corp. 51,900 1,720,485
* Cache, Inc. 1,050 13,734
* Caesars Entertainment, Inc. 247,700 5,337,935
* California Coastal Communities, Inc. 700 20,713
Callaway Golf Co. 53,200 621,908
* Capital Pacific Holdings, Inc. 5,700 23,484
* CarMax, Inc. 2,229 56,906
* Carriage Services, Inc. 1,800 10,584
* Casual Male Retail Group, Inc. 6,869 48,426
Cato Corp. Class A 400 11,544
* Cavalier Homes, Inc. 5,800 21,170
* Cavco Industries, Inc. 6,050 162,805
CBRL Group, Inc. 60,100 2,447,272
Centex Corp. 121,000 7,923,080
* Champion Enterprises, Inc. 4,300 41,839
* Champps Entertainment, Inc. 1,703 13,709
* Charles and Colvard, Ltd. 1,000 20,220
* Charlotte Russe Holding, Inc. 4,600 54,970
* Charming Shoppes, Inc. 47,400 428,022
* Checkers Drive-In Restaurants, Inc. 3,100 44,609
* Chromcraft Revington, Inc. 700 8,400
Circuit City Stores, Inc. 169,700 2,781,383
Clear Channel Communications, Inc. 480,400 14,042,092
Coachmen Industries, Inc. 9,000 110,250
* Cobra Electronics Corp. 1,200 8,520
* Coldwater Creek, Inc. 572 12,853
* # Collins & Aikman Corp. 20,300 2,304
* Comcast Corp. Class A 637,624 20,531,493
* Comcast Corp. Special Class A Non-Voting 322,500 10,203,900
* Concord Camera Corp. 7,081 9,205
Cooper Tire & Rubber Co. 51,100 972,944
* Cox Radio, Inc. 15,900 258,693
* Crown Media Holdings, Inc. 4,277 40,161
CSS Industries, Inc. 2,550 78,540
* Culp, Inc. 1,000 4,350
* Cumulus Media, Inc. Class A 16,200 202,338
Cutter & Buck, Inc. 4,100 53,833
Dana Corp. 164,900 2,234,395
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* Dave & Busters, Inc. 3,400 61,064
* Deckers Outdoor Corp. 1,900 46,018
Delta Apparel, Inc. 300 8,811
* Department 56, Inc. 3,800 42,408
* Diedrich Coffee, Inc. 400 1,672
Dillards, Inc. Class A 74,100 1,772,472
Disney (Walt Co.) 569,300 15,621,592
* Dixie Group, Inc. 11,100 164,502
* # Dominion Homes, Inc. 3,000 46,590
Dover Motorsports, Inc. 9,000 51,840
* Drew Industries, Inc. 700 28,700
* drugstore.com, Inc. 22,804 78,446
* Dura Automotive Systems, Inc. 3,100 13,237
Eastman Kodak Co. 189,000 4,966,920
* eCost.com, Inc. 2,776 8,778
* # Emmis Communications Corp. Class A 15,400 273,504
* Enesco Group, Inc. 3,500 13,475
* Entercom Communications Corp. 18,700 620,840
* Entravision Communications Corp. 55,400 411,622
* Fairchild Corp. Class A 7,900 18,170
* Famous Dave's of America, Inc. 1,900 20,615
Federated Department Stores, Inc. 171,600 11,574,420
Finish Line, Inc. Class A 23,400 466,128
* Finlay Enterprises, Inc. 4,300 55,814
* # Fleetwood Enterprises, Inc. 39,500 378,015
Foot Locker, Inc. 32,000 845,120
Ford Motor Co. 1,362,440 13,597,151
Fortune Brands, Inc. 2,000 173,000
Furniture Brands International, Inc. 38,800 780,268
GameTech International, Inc. 800 2,224
* Gaylord Entertainment Co. 34,760 1,460,963
# General Motors Corp. 318,700 10,048,611
Genuine Parts Co. 3,800 163,248
* Getty Images, Inc. 11,400 853,176
* G-III Apparel Group, Ltd. 500 3,600
* Goodyear Tire & Rubber Co. 32,700 470,553
Goody's Family Clothing, Inc. 35,300 250,630
* Gottschalks, Inc. 2,400 25,800
Gray Television, Inc. 34,740 408,195
* Group 1 Automotive, Inc. 18,700 499,477
* # GSI Commerce, Inc. 2,800 41,552
* Guess, Inc. 11,000 185,240
* Gymboree Corp. 9,000 119,160
* Ha-Lo Industries, Inc. 19,500 14
Hancock Fabrics, Inc. 9,700 57,133
Handleman Co. 25,400 461,010
Harrahs Entertainment, Inc. 2,600 186,706
* Harris Interactive, Inc. 7,600 37,468
* Hartmarx Corp. 8,000 75,840
Hasbro, Inc. 226,200 4,564,716
* Hastings Entertainment, Inc. 5,000 29,850
* Hayes Lemmerz International, Inc. 1,100 7,150
Hearst-Argyle Television, Inc. 46,800 1,168,128
Hilton Hotels Corp. 42,400 1,027,352
Horton (D.R.), Inc. 110,340 3,814,454
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* IAC/InterActiveCorp 244,522 5,990,789
IHOP Corp. 8,900 423,729
* Image Entertainment, Inc. 4,800 19,248
* IMPCO Technologies, Inc. 3,700 12,284
* Infosonics Corp. 900 2,691
* Insight Communications Co., Inc. 15,650 176,845
* Insight Enterprises, Inc. 16,100 315,238
* Interactive Data Corp. 23 495
* Interface, Inc. Class A 19,800 151,470
International Speedway Corp. Class A 800 43,728
* Interstate Hotels & Resorts, Inc. 4,600 21,160
* J. Jill Group, Inc. 500 6,375
* Jack in the Box, Inc. 2,100 87,108
* Jakks Pacific, Inc. 8,700 179,829
* Jarden Corp. 700 35,616
* Jo-Ann Stores, Inc. 7,300 195,275
* Johnson Outdoors, Inc. 500 8,755
Jones Apparel Group, Inc. 112,000 3,573,920
* # Jos. A. Bank Clothiers, Inc. 962 37,922
* K2, Inc. 18,324 230,699
KB Home 2,000 135,080
Kellwood Co. 94,600 2,380,136
* Keystone Automotive Industries, Inc. 4,700 92,778
Kimball International, Inc. Class B 16,482 202,729
Knight-Ridder, Inc. 500 31,540
* La Quinta Corp. 65,600 568,752
* LaCrosse Footwear, Inc. 400 3,960
* # Lakes Entertainment, Inc. 1,600 19,888
* Lamar Advertising Co. 66 2,760
Landry's Restaurants, Inc. 25,100 752,247
* Laureate Education, Inc. 15,349 716,798
* Lazare Kaplan International, Inc. 500 4,310
# La-Z-Boy, Inc. 32,300 431,205
Lear Corp. 59,000 2,224,300
Leggett & Platt, Inc. 1,500 39,960
Lennar Corp. Class A 34,400 1,995,544
Lennar Corp. Class B 4,240 227,858
Levitt Corp. Class A 100 2,880
Libbey, Inc. 2,400 45,720
Liberty Corp. 12,900 465,819
* Liberty Media Corp. Class A 1,307,600 13,585,964
* Liberty Media International, Inc. Class A 61,041 2,558,228
Limited Brands, Inc. 149,500 3,075,215
* Lin TV Corp. 9,300 135,315
* Linens 'n Things, Inc. 15,800 385,046
Lithia Motors, Inc. Class A 12,200 324,520
Lone Star Steakhouse & Saloon, Inc. 41,400 1,250,694
* Luby's, Inc. 3,600 29,664
M/I Homes, Inc. 11,400 575,472
* Madden (Steven), Ltd. 900 15,984
* Magna Entertainment Corp. 7,000 37,240
* Main Street Restaurant Group, Inc. 1,300 4,498
* MarineMax, Inc. 7,200 198,144
May Department Stores Co. 184,600 7,044,336
McRae Industries, Inc. Class A 2,100 24,612
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MDC Holdings, Inc. 20,364 1,470,484
* Meade Instruments Corp. 14,250 39,330
Media General, Inc. Class A 19,600 1,197,560
* MGM Mirage 183,800 7,000,942
Michaels Stores, Inc. 61,600 2,593,976
Modine Manufacturing Co. 25,400 772,160
Monaco Coach Corp. 18,000 295,380
* Monro Muffler Brake, Inc. 900 24,183
* Mothers Work, Inc. 200 2,726
Movado Group, Inc. 16,200 273,132
Movie Gallery, Inc. 17,300 552,908
* National RV Holdings, Inc. 2,500 22,175
* Navigant International, Inc. 5,200 65,832
News Corp. Class A 248,924 4,015,144
* Nobel Learning Communities, Inc. 400 3,500
Nordstrom, Inc. 1,900 115,976
* O'Charleys, Inc. 5,508 102,284
* Office Depot, Inc. 215,300 4,245,716
OfficeMax, Inc. 43,400 1,317,190
* # Oneida, Ltd. 2,600 6,110
* Opinion Research Corp. 5,200 36,608
# Orleans Homebuilders, Inc. 600 13,440
Oxford Industries, Inc. 14,500 518,520
* # Palm Harbor Homes, Inc. 6,800 127,364
* Payless ShoeSource, Inc. 23,600 397,188
* # PC Mall, Inc. 2,300 11,383
* # Pegasus Communications Corp. 2,500 15,687
Penney (J.C.) Co., Inc. 235,200 11,703,552
Pep Boys - Manny, Moe & Jack 62,500 835,000
* Perry Ellis International, Inc. 1,900 38,000
PETsMART, Inc. 78,300 2,487,591
Phillips-Van Heusen Corp. 24,600 762,354
Pier 1 Imports, Inc. 18,600 312,294
* Pinnacle Entertainment, Inc. 10,300 179,529
* Pomeroy IT Solutions, Inc. 10,400 130,936
Pulitzer, Inc. 6,200 396,552
Pulte Homes, Inc. 141,022 10,781,132
# Quaker Fabric Corp. 7,500 26,100
* Radio One, Inc. 7,900 99,698
* RC2 Corp. 3,900 140,556
# Reebok International, Ltd. 27,200 1,107,312
* Regent Communications, Inc. 32,400 194,400
* Rent-Way, Inc. 9,500 88,065
* Restoration Hardware, Inc. 4,500 31,860
* Retail Ventures, Inc. 9,300 104,811
* Rex Stores Corp. 4,150 58,100
* Riviera Holdings Corp. 900 18,225
* # Rockford Corp. 3,600 9,396
* Rocky Shoes & Boots, Inc. 300 8,877
* Rubio's Restaurants, Inc. 3,400 31,110
Russ Berrie & Co., Inc. 11,900 154,819
Russell Corp. 26,600 497,420
* Ryan's Restaurant Group, Inc. 41,450 578,642
Ryland Group, Inc. 22,000 1,507,000
Saks, Inc. 124,950 2,141,643
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* # Salton, Inc. 500 520
Saucony, Inc. Class B 300 5,880
Sauer-Danfoss, Inc. 6,000 117,900
* Scholastic Corp. 12,482 468,325
* Sears Holdings Corp. 25,579 3,752,439
Service Corp. International 178,300 1,351,514
* # Sharper Image Corp. 2,600 34,554
Sherwin-Williams Co. 3,500 155,575
* Shiloh Industries, Inc. 4,000 45,240
* Shoe Carnival, Inc. 6,800 124,644
* ShopKo Stores, Inc. 16,100 381,731
Sinclair Broadcast Group, Inc. Class A 17,600 155,056
* Six Flags, Inc. 35,000 154,350
* Skechers U.S.A., Inc. Class A 5,800 73,486
Skyline Corp. 1,000 39,100
* Smith & Wollensky Restaurant Group, Inc. 3,700 23,273
Snap-On, Inc. 42,400 1,463,224
Sonic Automotive, Inc. 23,100 492,492
* Source Interlink Companies, Inc. 7,400 72,150
* Southern Energy Homes, Inc. 3,200 18,720
* Spanish Broadcasting System, Inc. 200 1,730
* Sport Chalet, Inc. 500 7,300
* Stage Stores, Inc. 3,900 152,295
* Stamps.com, Inc. 1,853 41,433
Standard Motor Products, Inc. 11,000 123,970
Standard Pacific Corp. 21,700 1,738,604
Starwood Hotels & Resorts Worldwide, Inc. 105,800 5,921,626
* Stein Mart, Inc. 3,168 76,222
* Steinway Musical Instruments, Inc. 1,600 45,312
Stewart Enterprises, Inc. 36,500 216,080
* Stoneridge, Inc. 16,200 126,684
Stride Rite Corp. 30,089 357,758
# Superior Industries International, Inc. 19,100 432,615
Syms Corp. 4,200 54,936
* Systemax, Inc. 1,600 10,192
* Tag-It Pacific, Inc. 700 1,638
* TBC Corp. 9,400 239,982
* The Children's Place Retail Stores, Inc. 700 32,697
* The DIRECTV Group, Inc. 26,179 390,852
* The Dress Barn, Inc. 12,300 222,630
The Marcus Corp. 17,100 376,713
* The Mens Warehouse, Inc. 7,000 359,590
The Neiman Marcus Group, Inc. 13,700 1,322,735
* The Sports Authority, Inc. 9,303 297,696
* Time Warner, Inc. 1,542,800 26,844,720
* Toll Brothers, Inc. 34,400 3,185,096
* Toys R Us, Inc. 147,400 3,861,880
Traffix, Inc. 18,100 86,880
* Trans World Entertainment Corp. 40,100 521,300
* # Transpro, Inc. 8,100 54,999
Triarc Companies, Inc. Class A 6,100 95,465
Tribune Co. 321,500 11,631,870
* # Tweeter Home Entertainment Group, Inc. 2,100 7,434
* Unifi, Inc. 9,100 29,211
Unifirst Corp. 5,900 215,940
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United Auto Group, Inc. 37,000 1,139,600
* Univision Communications, Inc. Class A 117,130 3,116,829
* Vail Resorts, Inc. 10,900 299,750
* ValueVision Media, Inc. Class A 10,000 96,200
Viacom, Inc. Class A 54,900 1,890,756
Viacom, Inc. Class B 1,448,200 49,658,778
# Visteon Corp. 62,200 474,586
* WCI Communities, Inc. 15,700 469,430
* West Marine, Inc. 8,000 132,720
* Westcoast Hospitality Corp. 300 2,067
* # Wet Seal, Inc. Class A 1,700 7,242
* Whitehall Jewelers, Inc. 5,842 42,354
* Wickes, Inc. 400 1
* William Lyon Homes, Inc. 9,100 819,000
* # WMS Industries, Inc. 4,400 139,788
* Worldwide Restaurant Concepts, Inc. 12,900 82,689
* XM Satellite Radio Holdings, Inc. 20,800 667,888
* Zapata Corp. 1,600 10,352
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Total Consumer Discretionary
(Cost $340,617,339) 416,140,403
-----------------
Energy -- (11.7%)
Amerada Hess Corp. 91,800 8,523,630
Anadarko Petroleum Corp. 237,634 17,988,894
Apache Corp. 247,346 14,534,051
Arch Coal, Inc. 18,995 920,308
Ashland, Inc. 68,800 4,699,040
* # ATP Oil & Gas Corp. 1,400 29,526
* Brigham Exploration Co. 1,100 9,306
Burlington Resources, Inc. 321,400 16,288,552
Cabot Oil & Gas Corp. 25,650 804,127
* Callon Petroleum Co. 10,900 154,235
* Carrizo Oil & Gas, Inc. 700 10,556
Castle Energy Corp. 2,300 29,900
Chesapeake Energy Corp. 216,700 4,435,849
* # Cimarex Energy Co. 6,111 229,957
* Clayton Williams Energy, Inc. 5,900 161,188
* Comstock Resources, Inc. 13,300 303,506
ConocoPhillips 627,694 67,690,521
* Dawson Geophysical Co. 400 8,320
* Denbury Resources, Inc. 24,100 770,718
Devon Energy Corp. 163,800 7,518,420
Diamond Offshore Drilling, Inc. 80,300 3,794,175
* Dril-Quip, Inc. 2,600 71,110
* Edge Petroleum Corp. 3,100 42,253
* Energy Partners, Ltd. 9,800 223,930
ENSCO International, Inc. 85,046 2,832,032
EOG Resources, Inc. 107,900 5,383,131
* FMC Technologies, Inc. 19 599
* Forest Oil Corp. 46,950 1,866,732
* Giant Industries, Inc. 4,400 126,764
* Grey Wolf, Inc. 10,400 68,328
Gulf Island Fabrication, Inc. 2,900 58,290
* Gulfmark Offshore, Inc. 7,500 187,950
* Hanover Compressor Co. 25,500 265,965
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* Harvest Natural Resources, Inc. 3,800 41,192
Helmerich & Payne, Inc. 40,300 1,671,241
* # Horizon Offshore, Inc. 6,000 1,890
* Houston Exploration Co. 13,400 682,998
* Input/Output, Inc. 24,200 143,506
# Kerr-McGee Corp. 139,090 10,273,187
* Key Energy Group, Inc. 50,600 556,094
* Lone Star Technologies, Inc. 6,300 261,135
* Magnum Hunter Resources, Inc. 24,600 380,316
Marathon Oil Corp. 289,900 14,057,251
MarkWest Hydrocarbon, Inc. 726 15,856
Massey Energy Co. 34,600 1,398,878
* # Matrix Service Co. 4,000 16,520
* Maverick Tube Corp. 13,900 419,919
* Meridian Resource Corp. 20,200 91,506
* Mission Resources Corp. 4,700 33,229
* NATCO Group, Inc. Class A 3,500 37,660
* National-Oilwell, Inc. 3,679 165,555
* Newfield Exploration Co. 50,780 1,952,491
* Newpark Resources, Inc. 26,400 161,040
Noble Energy, Inc. 18,700 1,390,719
Occidental Petroleum Corp. 14,500 1,060,095
* Offshore Logistics, Inc. 15,100 472,932
* Oil States International, Inc. 17,700 409,932
Overseas Shipholding Group, Inc. 36,600 2,236,260
* Parallel Petroleum Corp. 4,400 29,964
* Parker Drilling Co. 26,700 152,190
Peabody Energy Corp. 69,800 3,332,252
Penn Virginia Corp. 2,400 99,048
* Petroleum Development Corp. 1,600 41,808
Pioneer Natural Resources Co. 98,600 3,956,818
* Plains Exploration & Production Co. 20,910 638,800
Pogo Producing Co. 60,300 2,981,232
* Pride International, Inc. 60,000 1,353,000
Range Resources Corp. 19,100 441,210
Resource America, Inc. 16,600 564,068
Rowan Companies, Inc. 66,200 1,820,500
* Seabulk International, Inc. 7,641 149,840
* SEACOR Holdings, Inc. 12,550 728,653
* Southwestern Energy Co. 2,100 146,580
* Spinnaker Exploration Co. 12,200 374,174
* Stone Energy Corp. 11,800 507,754
Sunoco, Inc. 29,300 3,005,301
* Swift Energy Corp. 25,900 884,485
* # Tel Offshore Trust 357 2,595
Tesoro Petroleum Corp. 30,900 1,347,240
* TETRA Technologies, Inc. 7,900 218,040
Tidewater, Inc. 51,200 1,771,520
* Toreador Resources Corp. 500 10,740
* TransMontaigne, Inc. 14,100 116,748
* Unit Corp. 15,100 589,202
* Universal Compression Holdings, Inc. 11,600 396,720
USEC, Inc. 61,700 842,205
Valero Energy Corp. 216,400 14,849,368
* Veritas DGC, Inc. 3,600 97,200
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Vintage Petroleum, Inc. 62,800 1,734,536
* Whiting Petroleum Corp. 366 12,656
-----------------
Total Energy
(Cost $140,357,768) 241,159,712
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Industrials -- (10.2%)
* AAR Corp. 12,500 200,500
* ABX Air, Inc. 11,774 88,540
* Active Power, Inc. 10,200 27,336
Administaff, Inc. 2,100 44,856
* AGCO Corp. 47,700 875,772
* AirNet Systems, Inc. 1,000 4,990
Alamo Group, Inc. 3,100 63,240
* Alaska Air Group, Inc. 15,700 463,464
Albany International Corp. Class A 17,000 531,590
Alexander & Baldwin, Inc. 40,000 1,778,000
* Allegheny Corp. 2,310 647,378
* Allied Defense Group, Inc. 200 4,768
* Allied Holdings, Inc. 1,000 1,100
* Allied Waste Industries, Inc. 145,000 1,117,950
Ambassadors International, Inc. 3,900 49,998
* # America West Holdings Corp. Class B 2,400 13,440
American Power Conversion Corp. 1,300 33,098
* American Superconductor Corp. 3,800 33,630
Ameron International Corp. 6,300 207,900
* # AMR Corp. 4,100 52,890
Amrep Corp. 500 10,855
Apogee Enterprises, Inc. 9,100 127,309
Applied Industrial Technologies, Inc. 21,450 652,938
Applied Signal Technologies, Inc. 2,400 42,000
Arkansas Best Corp. 15,700 513,861
* Armor Holdings, Inc. 8,200 309,550
* Artesyn Technologies, Inc. 30,500 251,015
* Astec Industries, Inc. 9,800 214,914
* # AstroPower, Inc. 2,200 2
* Aviall, Inc. 5,100 156,978
* Axsys Technologies, Inc. 450 7,668
* AZZ, Inc. 3,600 57,636
Banta Corp. 13,000 570,960
Barnes Group, Inc. 7,500 230,100
Bowne & Co., Inc. 29,200 386,900
Burlington Northern Santa Fe Corp. 311,900 15,414,098
C&D Technologies, Inc. 17,800 130,296
Cascade Corp. 3,500 123,270
* Casella Waste Systems, Inc. Class A 6,400 73,024
* Catalytica Energy Systems, Inc. 1,000 1,970
CDI Corp. 13,500 288,090
* Celadon Group, Inc. 2,000 36,200
Cendant Corp. 978,379 20,751,419
Central Parking Corp. 30,100 508,690
* Century Business Services, Inc. 42,800 171,628
* Cenveo, Inc. 11,600 97,208
* Ceradyne, Inc. 1,950 45,026
* Channell Commercial Corp. 700 4,214
* # Chart Industries, Inc. 3 160
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CIRCOR International, Inc. 12,950 320,513
* Clean Harbors, Inc. 3,200 66,400
* Comfort Systems USA, Inc. 15,500 97,495
* # Compudyne Corp. 1,000 6,050
* Consolidated Graphics, Inc. 5,700 241,281
* # Continental Airlines, Inc. 20,100 278,586
* Cornell Companies, Inc. 3,700 47,508
* Correctional Services Corp. 1,500 4,335
* Corrections Corporation of America 11,900 429,590
* Covenant Transport, Inc. Class A 13,900 192,932
* Cross (A.T.) Co. Class A 1,100 5,533
CSX Corp. 205,700 8,553,006
# Cubic Corp. 31,500 554,400
Curtiss-Wright Corp. 1,272 69,553
Deere & Co. 2,300 152,145
* DiamondCluster International, Inc. 1,180 15,434
* Distributed Energy Systems Corp. 1,900 6,308
* Dollar Thrifty Automotive Group, Inc. 22,900 824,171
Donnelley (R.R.) & Sons Co. 10,300 342,475
* Ducommun, Inc. 1,000 16,450
* Dycom Industries, Inc. 21,099 414,384
* Dynamex, Inc. 700 12,593
Eaton Corp. 3,100 185,535
* EGL, Inc. 10,800 205,524
* Electro Rent Corp. 3,500 41,125
* EMCOR Group, Inc. 4,700 223,250
* Encore Wire Corp. 7,050 77,550
* EnPro Industries, Inc. 6,900 186,783
* ESCO Technologies, Inc. 400 33,900
* Esterline Technologies Corp. 9,200 357,880
* Exponent, Inc. 500 12,385
Federal Signal Corp. 28,600 447,018
FedEx Corp. 4,782 427,606
* First Consulting Group, Inc. 400 2,072
* Flanders Corp. 1,800 17,946
Florida East Coast Industries, Inc. 9,500 399,570
* Flowserve Corp. 35,500 1,046,185
* # FLYi, Inc. 61 46
* Foster (L.B.) Co. Class A 700 6,300
* Foster Wheeler, Ltd. 175 2,590
* Frontier Airlines, Inc. 15,400 188,034
* Frozen Food Express Industries, Inc. 4,300 46,225
* FuelCell Energy, Inc. 5,272 42,914
G & K Services, Inc. Class A 13,243 521,244
* Gardner Denver Machinery, Inc. 2,355 90,314
GATX Corp. 45,397 1,514,898
* Gehl Co. 1,100 32,987
Gencorp, Inc. 24,200 457,380
* General Binding Corp. 2,400 49,656
* Genesee & Wyoming, Inc. 4,700 131,318
* Genlyte Group, Inc. 11,000 490,160
* Global Payment Technologies, Inc. 400 1,800
* # GP Strategies Corp. 7,600 53,960
Granite Construction, Inc. 15,300 358,785
* Griffon Corp. 23,170 461,778
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* Hawk Corp. 600 6,714
Healthcare Services Group, Inc. 900 16,830
Heico Corp. 8,700 183,570
Heico Corp. Class A 1,170 19,644
* Heidrick & Struggles International, Inc. 6,200 155,682
* Herley Industries, Inc. 5,500 96,305
* Hexcel Corp. 2,200 35,948
* Hub Group, Inc. Class A 1,000 27,480
* Hudson Highland Group, Inc. 4,680 74,927
Hughes Supply, Inc. 64,100 1,666,600
Hunt (J.B.) Transport Services, Inc. 100,000 2,008,000
* Huttig Building Products, Inc. 4,100 44,731
IDEX Corp. 12,750 489,728
IKON Office Solutions, Inc. 111,100 1,076,559
* Industrial Distribution Group, Inc. 1,300 11,427
* Innotrac Corp. 200 1,698
* Innovative Solutions & Support, Inc. 900 31,176
* Insituform Technologies, Inc. Class A 5,600 83,104
* # Integrated Electrical Services, Inc. 21,600 32,832
Interpool, Inc. 4,500 97,740
* Jacuzzi Brands, Inc. 15,200 155,192
JLG Industries, Inc. 39,300 1,001,757
# Joy Global, Inc. 7,500 281,550
* Kadant, Inc. 5,657 115,969
Kaman Corp. Class A 17,392 269,054
* # Kansas City Southern 29,300 585,707
* Keith Companies, Inc. 2,400 50,760
Kelly Services, Inc. Class A 23,904 664,770
Kennametal, Inc. 32,400 1,425,600
* Kforce, Inc. 1,676 13,475
* Kirby Corp. 8,300 354,078
* Korn/Ferry International 12,700 201,422
* K-Tron International, Inc. 200 5,720
* LaBarge, Inc. 1,900 26,961
* Labor Ready, Inc. 4,000 82,560
* Ladish Co., Inc. 3,000 33,300
* Laidlaw International, Inc. 7,100 157,904
* Lancer Corp. 700 12,110
* Layne Christensen Co. 800 13,840
Lennox International, Inc. 45,700 970,668
Lockheed Martin Corp. 133,500 8,662,815
LSI Industries, Inc. 8,950 121,631
* Lydall, Inc. 4,800 39,552
* Mac-Gray Corp. 2,000 17,440
* Magnetek, Inc. 2,100 4,641
* MAIR Holdings, Inc. 6,100 58,194
Manpower, Inc. 36,700 1,461,761
* Mastec, Inc. 21,500 181,890
McGrath Rentcorp. 6,008 138,484
* Merrimac Industries, Inc. 1,100 9,790
* # Mesa Air Group, Inc. 12,000 76,560
Middleby Corp. 500 27,600
* # Midwest Air Group, Inc. 300 588
* Miller Industries, Inc. 8,200 97,990
Mine Safety Appliances Co. 3,900 178,659
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* Misonix, Inc. 4,400 25,353
* Mobile Mini, Inc. 5,900 217,828
* # Modtech Holdings, Inc. 1,800 11,160
* Monster Worldwide, Inc. 19,713 520,029
* Moog, Inc. Class A 7,762 235,577
Mueller Industries, Inc. 25,800 696,600
NACCO Industries, Inc. Class A 6,900 707,250
* Nashua Corp. 400 3,600
* # National Patent Development Corp. 7,600 17,784
* NCI Building Systems, Inc. 14,700 507,738
* NCO Group, Inc. 13,097 260,106
* NES Rentals Holdings, Inc. 5 49
* New Horizons Worldwide, Inc. 607 2,191
Norfolk Southern Corp. 428,600 13,680,912
Northrop Grumman Corp. 243,724 13,580,301
* Old Dominion Freight Line, Inc. 450 13,712
* On Assignment, Inc. 2,500 13,250
* Orbital Sciences Corp. 22,813 221,514
* P.A.M. Transportation Services, Inc. 400 6,592
Paccar, Inc. 3,825 270,619
Parker Hannifin Corp. 2,600 156,858
* Park-Ohio Holdings Corp. 2,800 42,700
* Patriot Transportation Holding, Inc. 200 10,460
* PHH Corp. 36,038 864,552
* Pico Holdings, Inc. 9,700 251,133
* Powell Industries, Inc. 1,400 25,788
* Power-One, Inc. 22,100 121,108
Precision Castparts Corp. 50,855 3,952,959
Preformed Line Products Co. 300 10,239
* PRG-Schultz International, Inc. 3,474 13,410
Providence & Worcester Railroad Co. 1,500 19,875
* PW Eagle, Inc. 500 3,290
* Quanta Services, Inc. 33,700 304,311
* RailAmerica, Inc. 17,300 201,891
Raytheon Co. 403,000 15,781,480
* RCM Technologies, Inc. 800 3,680
Regal-Beloit Corp. 19,600 503,720
* RemedyTemp, Inc. 3,200 31,520
Robbins & Myers, Inc. 11,700 276,705
* Rush Enterprises, Inc. Class A 3,600 51,804
* Rush Enterprises, Inc. Class B 500 7,275
Ryder System, Inc. 83,000 3,049,420
* SCS Transportation, Inc. 10,900 198,925
* Sequa Corp. Class A 3,300 191,400
* Sequa Corp. Class B 900 53,334
* Shaw Group, Inc. 23,300 469,495
Skywest, Inc. 37,100 676,704
* SL Industries, Inc. 400 6,828
Smith (A.O.) Corp. 16,300 511,168
Smith (A.O.) Corp. Convertible Class A 2,200 68,992
* SOURCECORP, Inc. 6,000 128,460
Southwest Airlines Co. 736,600 10,717,530
* Spherion Corp. 23,500 128,545
SPX Corp. 62,500 2,775,625
Standard Register Co. 15,000 213,000
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Steelcase, Inc. Class A 41,600 536,640
Stewart & Stevenson Services, Inc. 16,800 401,352
* Strategic Distribution, Inc. 200 2,060
Supreme Industries, Inc. 610 3,996
* Swift Transportation Co., Inc. 22,820 560,231
Sypris Solutions, Inc. 9,401 99,087
TB Wood's Corp. 5,400 31,212
Tecumseh Products Co. Class A 9,184 251,091
Teleflex, Inc. 24,600 1,376,370
* TeleTech Holdings, Inc. 25,100 205,067
* Terex Corp. 22,800 901,056
* Tetra Tech, Inc. 18,600 224,130
Textron, Inc. 67,500 5,217,075
The Brink's Co. 20,300 633,563
* The Geo Group, Inc. 1,800 43,686
* The Lamson & Sessions Co. 12,800 139,392
* Thomas & Betts Corp. 63,600 1,963,968
Thomas Industries, Inc. 11,400 454,518
Timken Co. 79,100 1,858,850
Todd Shipyards Corp. 1,100 21,175
* Transport Corp. of America 500 3,125
* TRC Companies, Inc. 3,200 36,480
Tredegar Industries, Inc. 31,000 472,750
Trinity Industries, Inc. 38,300 1,112,998
* Triumph Group, Inc. 4,600 163,208
* Tufco Technologies, Inc. 300 1,857
* U.S. Xpress Enterprises, Inc. Class A 800 9,768
Union Pacific Corp. 251,400 16,833,744
* United Rentals, Inc. 58,300 1,170,664
* United Stationers, Inc. 9,700 475,591
Universal Forest Products, Inc. 16,700 664,660
* URS Corp. 15,400 520,982
* USA Truck, Inc. 1,900 38,475
Valmont Industries, Inc. 6,900 165,255
* Valpey Fisher Corp. 100 316
Viad Corp. 8,400 233,520
Vicor Corp. 16,500 219,450
* Volt Information Sciences, Inc. 13,400 263,310
Walter Industries, Inc. 30,140 1,277,936
* Waste Connections, Inc. 14,550 539,514
Waste Industries USA, Inc. 16,100 232,323
* Water Pik Technologies, Inc. 6,100 113,338
Watsco, Inc. Class A 23,900 1,056,141
Watts Water Technologies, Inc. 9,300 323,919
Werner Enterprises, Inc. 76,432 1,437,686
* WESCO International, Inc. 700 20,440
* Westaff, Inc. 3,700 12,839
* Willis Lease Finance Corp. 1,200 9,780
* Wolverine Tube, Inc. 100 721
Woodward Governor Co. 4,800 371,376
* Xanser Corp. 10,600 23,426
* # Yellow Roadway Corp. 30,728 1,621,824
York International Corp. 8,100 333,720
-----------------
Total Industrials
(Cost $136,644,525) 209,346,970
-----------------
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Information Technology -- (8.5%)
* 3Com Corp. 178,500 653,310
* Actel Corp. 7,800 115,362
* ActivCard Corp. 10,100 41,612
* Activision, Inc. 15,033 236,920
* Adaptec, Inc. 18,100 72,038
* ADC Telecommunications, Inc. 24,628 447,244
* ADE Corp. 2,600 58,318
* Adept Technology, Inc. 140 1,127
* Advanced Digital Information Corp. 23,300 160,071
* Advanced Energy Industries, Inc. 1,700 16,218
* Advanced Micro Devices, Inc. 78,300 1,284,120
* Advanced Power Technology, Inc. 1,200 7,740
* Aeroflex, Inc. 16,800 134,400
* Agile Software Corp. 8,700 56,115
Agilysys, Inc. 23,700 364,506
* # Alliance Semiconductor Corp. 5,800 9,744
American Software, Inc. Class A 4,300 22,188
* American Technical Ceramics Corp. 500 5,220
* Amkor Technology, Inc. 300 1,065
* Anadigics, Inc. 1,700 2,788
* Analex Corp. 200 654
* Analysts International Corp. 300 987
* Anaren, Inc. 8,600 101,824
* Andrew Corp. 74,173 983,534
* Anixter International, Inc. 4,500 170,145
* AnswerThink, Inc. 16,800 66,528
* APA Enterprises, Inc. 3,693 5,835
* Apple Computer, Inc. 292,000 11,595,320
* Applied Films Corp. 4,600 123,740
* Applied Innovation, Inc. 900 4,383
* Applied Micro Circuits Corp. 96,400 276,668
* aQuantive, Inc. 9,600 147,744
* Ariba, Inc. 11,550 70,802
* Arris Group, Inc. 59,400 514,404
* Arrow Electronics, Inc. 54,300 1,517,685
* Aspect Communications Corp. 8,200 78,720
* # Aspen Technology, Inc. 3,100 16,244
Astro-Med, Inc. 200 1,750
* Atmel Corp. 43,308 129,924
* August Technology Corp. 6,800 77,316
* autobytel.com, Inc. 7,300 35,478
* # Avici Systems, Inc. 100 446
* Avid Technology, Inc. 44 2,580
* Avnet, Inc. 56,100 1,173,612
* Avocent Corp. 19,500 546,000
AVX Corp. 169,300 2,011,284
* Aware, Inc. 20,400 134,640
* Axcelis Technologies, Inc. 51,300 341,145
* BearingPoint, Inc. 62,300 408,065
Belden CDT, Inc. 18,550 373,226
* Bell Industries, Inc. 2,700 5,967
* Bell Microproducts, Inc. 9,600 78,720
* Benchmark Electronics, Inc. 12,600 399,042
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Black Box Corp. 18,400 632,592
* Blonder Tongue Laboratories, Inc. 500 1,450
Bogen Communications International, Inc. 700 3,343
* Borland Software Corp. 12,900 82,560
* Bottomline Technologies, Inc. 1,000 13,580
* Brightpoint, Inc. 1,750 32,900
* Broadcom Corp. 19,700 699,153
* Brooktrout, Inc. 3,300 32,901
* CalAmp Corp. 1,900 12,540
* Captaris, Inc. 10,800 39,096
* Carreker Corp. 2,200 11,550
* Carrier Access Corp. 200 964
* C-COR, Inc. 8,100 55,728
* Celestica, Inc. 462 5,891
* CellStar Corp. 5,000 6,500
* Centillium Communications, Inc. 6,200 13,578
* CheckFree Corp. 13,400 500,222
* Checkpoint Systems, Inc. 24,200 426,404
* Ciber, Inc. 32,200 262,430
* Ciena Corp. 30,000 65,400
* Clarus Corp. 8,800 67,760
* CNET Networks, Inc. 38,000 394,440
* Coherent, Inc. 13,100 430,073
Cohu, Inc. 7,081 136,097
* Comarco, Inc. 8,700 69,513
* CommScope, Inc. 17,800 301,176
Computer Associates International, Inc. 176,412 4,810,755
* Computer Horizons Corp. 9,600 27,840
* Computer Network Technology Corp. 3,000 15,000
* Computer Sciences Corp. 38,200 1,769,042
* Computer Task Group, Inc. 5,600 19,600
* Compuware Corp. 173,400 1,187,790
* Comtech Telecommunications Corp. 1,200 43,404
* Comverse Technology, Inc. 219,026 5,153,682
* Conexant Systems, Inc. 37,010 52,924
* # Convera Corp. 5,700 24,567
* Convergys Corp. 66,100 900,943
* # Copper Mountain Networks, Inc. 700 644
* Corning, Inc. 453,100 7,104,608
* Cosine Communications, Inc. 800 1,880
* Covansys Corp. 21,000 257,250
* Credence Systems Corp. 17,100 135,432
* # Cree, Inc. 18,800 564,752
CTS Corp. 29,600 315,240
* Cyberoptics Corp. 600 7,716
* Cybersource Corp. 6,500 43,615
* Cypress Semiconductor Corp. 45,700 590,901
* Datastream Systems, Inc. 2,930 17,375
* Delphax Technologies, Inc. 400 1,493
Diebold, Inc. 200 10,012
* Digi International, Inc. 4,200 49,266
* Digimarc Corp. 2,400 12,240
* Digital Insight Corp. 7,900 171,746
* Digitas, Inc. 11,981 132,630
* Diodes, Inc. 3,000 99,750
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* Ditech Communications Corp. 13,400 96,614
* DoubleClick, Inc. 49,200 404,916
* E.piphany, Inc. 14,200 49,558
* Echelon Corp. 3,200 21,984
* eFunds Corp. 16,300 329,586
* Electro Scientific Industries, Inc. 7,800 139,932
* Electroglas, Inc. 200 690
Electronic Data Systems Corp. 482,100 9,497,370
* Electronics for Imaging, Inc. 24,000 456,000
* eLoyalty Corp. 300 1,485
* EMC Corp. 26,550 373,293
* EMS Technologies, Inc. 6,300 85,050
* Emulex Corp. 3,400 64,260
* Entrust, Inc. 58,000 237,220
* ePlus, Inc. 2,100 26,042
* ESS Technology, Inc. 10,300 42,436
* Exar Corp. 14,000 201,600
* Extreme Networks, Inc. 31,632 144,558
Fair Isaac Corp. 12,922 442,579
* Fairchild Semiconductor Corp. Class A 49,666 710,224
* Faro Technologies, Inc. 1,400 38,948
* Forrester Research, Inc. 700 11,550
* FSI International, Inc. 1,800 6,768
* GameStop Corp. Class B 7,593 203,796
* Gateway, Inc. 13,150 45,499
* Genesis Microchip, Inc. 9,200 152,260
* Gerber Scientific, Inc. 3,500 25,830
* Glenayre Technologies, Inc. 400 1,280
* Globecomm Systems, Inc. 10,200 56,712
* GTSI Corp. 1,600 13,088
* Harmonic, Inc. 2,400 14,952
Harris Corp. 35,200 1,011,648
* Hauppauge Digital, Inc. 1,200 4,620
* Hewitt Associates, Inc. Class A 1,100 27,995
Hewlett-Packard Co. 2,267,400 51,039,174
* HI/FN, Inc. 2,300 15,272
* Hutchinson Technology, Inc. 17,900 740,523
* Hypercom Corp. 22,000 139,700
* Identix, Inc. 27,179 149,213
* iGATE Capital Corp. 19,300 84,341
Imation Corp. 31,300 1,181,888
* InFocus Corp. 9,100 37,856
* Informatica Corp. 400 3,432
Inforte Corp. 6,700 22,981
* InfoSpace, Inc. 8,500 288,320
* Ingram Micro, Inc. 76,100 1,203,141
* Innovex, Inc. 4,500 15,210
* Integrated Device Technology, Inc. 49,000 599,270
* Integrated Silicon Solution, Inc. 6,500 42,575
* Intergraph Corp. 26,900 844,391
* Interland, Inc. 4,700 8,930
* Interlink Electronics, Inc. 1,700 9,078
* International Rectifier Corp. 22,300 1,065,494
* Internet Security Systems, Inc. 13,900 308,580
* Interphase Corp. 1,100 7,755
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Intersil Corp. 135,200 2,536,352
* Interwoven, Inc. 8,300 66,068
* Intest Corp. 600 2,153
* Iomega Corp. 7,000 21,630
* iPass, Inc. 7,900 48,743
* # IPIX Corp. 1,700 4,539
* Iron Mountain, Inc. 450 12,915
* IXYS Corp. 13,190 182,418
* Jaco Electronics, Inc. 1,400 4,396
* JDA Software Group, Inc. 10,000 129,200
* Keane, Inc. 26,300 352,946
* Kemet Corp. 27,800 194,600
* Keynote Systems, Inc. 12,100 140,360
* Komag, Inc. 400 11,540
* Kulicke & Soffa Industries, Inc. 8,500 49,385
* Lattice Semiconductor Corp. 13,200 55,704
* Lawson Software, Inc. 5,800 34,336
* LeCroy Corp. 1,200 19,752
* Lightbridge, Inc. 3,000 18,840
* LogicVision, Inc. 10,600 19,080
* Logility, Inc. 1,000 4,500
* LSI Logic Corp. 180,300 1,327,008
* LTX Corp. 15,351 73,531
* Macromedia, Inc. 19,900 879,978
* Manugistic Group, Inc. 5,221 9,398
* Mapinfo Corp. 6,700 83,482
* Maxtor Corp. 131,100 719,739
* Maxwell Technologies, Inc. 700 7,196
* McAfee, Inc. 2,200 63,096
* McDATA Corp. 10,300 39,243
* MedQuist, Inc. 8,300 107,983
* Merix Corp. 6,300 45,675
Methode Electronics, Inc. 1,000 11,940
* Metrologic Instruments, Inc. 6,432 89,148
* Micro Linear Corp. 4,200 24,570
* Micromuse, Inc. 22,000 138,160
* Micron Technology, Inc. 281,800 3,094,164
* Microsemi Corp. 17,900 369,277
* Microtune, Inc. 5,600 24,752
* # Midway Games, Inc. 3,000 26,550
* MIPS Technologies, Inc. 80 690
* MKS Instruments, Inc. 16,400 273,880
* Mobius Management Systems, Inc. 1,300 8,021
* Moldflow Corp. 2,000 26,400
* Motive, Inc. 5,000 43,450
* MPS Group, Inc. 86,100 807,618
* MRO Software, Inc. 30,300 454,500
* # MSC.Software Corp. 8,500 87,423
* Nanometrics, Inc. 2,200 24,816
* Napco Security Systems, Inc. 380 3,507
National Semiconductor Corp. 8,000 160,960
* NCR Corp. 12,500 457,875
* Neoforma, Inc. 7,800 53,430
* NEON Systems, Inc. 700 2,170
* Neoware Systems, Inc. 400 4,048
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* Net2Phone, Inc. 200 320
* NetIQ Corp. 14,900 164,496
* Netopia, Inc. 300 1,004
* NetRatings, Inc. 23,200 315,984
* Netscout System, Inc. 22,100 136,136
* Network Engines, Inc. 1,700 2,890
* Network Equipment Technologies, Inc. 26,700 149,253
* Newport Corp. 16,600 233,230
* NIC, Inc. 8,000 35,120
* Novell, Inc. 205,000 1,199,250
* Nu Horizons Electronics Corp. 12,600 74,088
* NYFIX, Inc. 9,700 48,985
* O.I. Corp. 200 2,375
* Opent Technologies, Inc. 23,600 190,924
* Openwave Systems, Inc. 2,500 38,875
* OSI Systems, Inc. 4,800 71,520
* Overland Storage, Inc. 2,800 27,132
* OYO Geospace Corp. 2,500 40,905
* # PalmOne, Inc. 4,015 114,106
* PalmSource, Inc. 1,543 15,476
* Panavision, Inc. 600 3,300
* PAR Technology Corp. 600 17,190
* Paradyne Networks Corp. 10,200 20,094
Park Electrochemical Corp. 14,500 336,400
* Parlex Corp. 3,300 19,470
* Paxar Corp. 11,600 204,392
* PC Connection, Inc. 14,861 75,940
* PC-Tel, Inc. 4,800 35,088
* Pegasus Solutions, Inc. 5,900 63,484
* Pegasystems, Inc. 19,704 117,633
* Perceptron, Inc. 900 5,877
* Performance Technologies, Inc. 1,400 9,422
* Pericom Semiconductor Corp. 5,400 43,254
* Pervasive Software, Inc. 700 3,241
* Phoenix Technologies, Ltd. 7,400 60,088
* Photon Dynamics, Inc. 2,000 38,620
* Photronics, Inc. 13,200 303,996
* Pinnacle Systems, Inc. 19,258 113,815
* Pixelworks, Inc. 10,700 91,699
* Planar Systems, Inc. 1,200 9,648
* PLATO Learning, Inc. 13,300 101,612
* Plexus Corp. 13,700 188,375
* PLX Technology, Inc. 3,800 28,956
* Polycom, Inc. 41,200 704,932
* Powerwave Technologies, Inc. 27,700 252,901
* Presstek, Inc. 4,500 38,430
* # Procom Technology, Inc. 900 1,440
* Quantum Corp. 45,300 117,780
* QuickLogic Corp. 6,100 26,657
* Quovadx, Inc. 6,364 17,310
* RadiSys Corp. 7,300 118,041
* RealNetworks, Inc. 22,800 116,508
* Register.com, Inc. 5,600 35,000
* REMEC, Inc. 4,906 30,663
* RF Monolithics, Inc. 5,299 33,384
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Richardson Electronics, Ltd. 13,800 122,820
* Rofin-Sinar Technologies, Inc. 900 29,070
* RSA Security, Inc. 18,400 226,320
* Rudolph Technologies, Inc. 4,600 66,332
Sabre Holdings Corp. 107,600 2,159,532
* Safeguard Scientifics, Inc. 8,000 7,920
* SafeNet, Inc. 7,518 236,216
* Sandisk Corp. 47,000 1,226,230
* Sanmina-SCI Corp. 199,900 1,025,487
* SBS Technologies, Inc. 1,200 11,652
* ScanSoft, Inc. 15,600 63,336
Scientific-Atlanta, Inc. 46,700 1,555,110
* SCM Microsystems, Inc. 7,900 23,463
* Seachange International, Inc. 7,500 59,250
* Selectica, Inc. 29,569 93,734
* Semitool, Inc. 26,400 231,528
* Silicon Storage Technology, Inc. 30,500 104,920
* SimpleTech, Inc. 7,700 26,950
* Sipex Corp. 30,000 49,500
* Skyworks Solutions, Inc. 50,180 317,639
* Solectron Corp. 363,400 1,326,410
* SonicWALL, Inc. 36,200 223,716
* Spectrum Control, Inc. 3,500 24,780
SS&C Technologies, Inc. 1,450 43,355
* Standard Microsystems Corp. 7,300 118,698
* Stellent, Inc. 6,775 51,287
* Storage Technology Corp. 40,100 1,294,428
* Stratasys, Inc. 600 19,416
* # Stratos International, Inc. 200 862
* SumTotal Systems, Inc. 100 419
* Sun Microsystems, Inc. 899,500 3,427,095
Sunrise Telecom, Inc. 14,900 23,840
* Sycamore Networks, Inc. 89,600 302,848
* Sykes Enterprises, Inc. 16,200 134,136
* Symmetricom, Inc. 9,542 107,634
* Tech Data Corp. 27,100 972,890
Technitrol, Inc. 8,200 107,666
* TechTeam Global, Inc. 5,000 70,000
Tektronix, Inc. 1,766 40,035
* Tellabs, Inc. 165,072 1,356,892
* Telular Corp. 3,400 13,260
* Teradyne, Inc. 72,300 940,623
* TheStreet.com, Inc. 6,700 20,770
* THQ, Inc. 12,086 337,079
* Three-Five Systems, Inc. 3,000 2,010
* TIBCO Software, Inc. 72,100 457,114
* Tier Technologies, Inc. Class B 8,900 78,676
* Titan Corp. 1,700 37,400
* Tollgrade Communications, Inc. 4,400 33,352
* Triquint Semiconductor, Inc. 22,500 76,275
* TTM Technologies, Inc. 12,400 98,456
* Tyler Technologies, Inc. 25,700 167,307
* Ulticom, Inc. 21,900 201,480
* Ultratech, Inc. 5,500 96,415
* Unisys Corp. 135,000 977,400
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United Online, Inc. 18,300 236,802
* Unova, Inc. 29,300 602,994
* ValueClick, Inc. 20,400 218,688
* Veeco Instruments, Inc. 16,900 254,683
* VeriSign, Inc. 88,500 2,862,975
* Veritas Software Corp. 1 25
* Verity, Inc. 12,900 110,037
* Viasat, Inc. 10,900 221,161
* Vicon Industries, Inc. 300 885
Video Display Corp. 600 7,740
* Vishay Intertechnology, Inc. 67,111 865,732
* Vitesse Semiconductor, Inc. 49,800 124,500
* Vitria Technology, Inc. 200 640
* Vyyo, Inc. 1,400 8,652
* WatchGuard Technologies, Inc. 15,600 56,628
* White Electronics Designs Corp. 3,400 16,966
* Wind River Systems, Inc. 5,590 91,620
Wireless Telecom Group, Inc. 5,500 13,915
* Witness Systems, Inc. 4,100 71,258
Woodhead Industries, Inc. 5,000 64,150
* Xerox Corp. 158,800 2,154,916
* Yahoo!, Inc. 52 1,934
* # Zhone Technologies, Inc. 1,200 3,252
* Zomax, Inc. 14,600 40,150
* Zoran Corp. 11,932 147,241
* Zygo Corp. 15,000 145,200
-----------------
Total Information Technology
(Cost $126,680,241) 174,495,544
-----------------
Materials -- (5.8%)
* AEP Industries, Inc. 4,600 79,258
Airgas, Inc. 78,300 1,879,200
Albemarle Corp. 24,100 916,764
Alcoa, Inc. 2,552 69,159
* Aleris International, Inc. 2,363 56,287
Allegheny Technologies, Inc. 4,200 89,292
* American Pacific Corp. 500 4,050
Aptargroup, Inc. 6,500 325,000
Arch Chemicals, Inc. 17,100 403,047
Bowater, Inc. 47,400 1,488,360
* Brush Engineered Materials, Inc. 5,700 80,826
* Buckeye Technologies, Inc. 12,000 99,240
Cabot Corp. 51,800 1,502,200
Calgon Carbon Corp. 26,900 239,679
Cambrex Corp. 16,700 302,270
* Caraustar Industries, Inc. 16,500 173,250
Carpenter Technology Corp. 20,000 1,080,000
* Century Aluminum Co. 24,600 551,286
Chesapeake Corp. 14,700 306,789
Cleveland-Cliffs, Inc. 600 35,178
Commercial Metals Co. 37,200 973,152
* # Continental Materials Corp. 100 3,119
* Crown Holdings, Inc. 64,500 960,405
Cytec Industries, Inc. 13,500 562,410
* Devcon International Corp. 300 3,525
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# Eagle Materials, Inc. 19,381 1,699,132
Eagle Materials, Inc. Class B 4,115 349,981
Eastman Chemical Co. 22,900 1,346,062
* FMC Corp. 10,200 565,590
Fuller (H.B.) Co. 14,200 460,080
Georgia-Pacific Corp. 246,200 8,159,068
Gibraltar Industries, Inc. 11,400 222,984
Glatfelter (P.H.) Co. 34,700 388,640
* Graphic Packaging Corp. 4,600 17,250
Great Lakes Chemical Corp. 36,200 1,227,180
International Paper Co. 303,312 9,769,680
Kronos Worldwide, Inc. 371 11,724
LaFarge North America, Inc. 65,400 3,948,198
* Landec Corp. 3,300 19,767
* Lesco, Inc. 3,500 47,250
Longview Fibre Co. 44,200 882,674
Louisiana-Pacific Corp. 128,500 3,235,630
Lubrizol Corp. 55,600 2,188,972
Lyondell Chemical Co. 185,455 4,402,702
Martin Marietta Materials, Inc. 24,300 1,483,515
* Material Sciences Corp. 3,900 47,580
MeadWestavco Corp. 165,800 4,755,144
* Metals USA, Inc. 1,000 21,170
Minerals Technologies, Inc. 18,600 1,251,780
Monsanto Co. 118,700 6,765,900
Myers Industries, Inc. 25,150 280,423
* NewMarket Corp. 4,600 62,514
Newmont Mining Corp. 2,294 85,429
* NL Industries, Inc. 14,500 220,400
NN, Inc. 6,300 79,947
* Northwest Pipe Co. 500 11,080
Nucor Corp. 71,600 3,791,936
Olin Corp. 448 8,409
* # Olympic Steel, Inc. 2,500 39,250
* OM Group, Inc. 9,300 234,360
* OMNOVA Solutions, Inc. 10,340 41,980
* Oregon Steel Mills, Inc. 6,000 105,960
* Owens-Illinois, Inc. 77,200 1,984,812
* Pactiv Corp. 1,800 41,130
Phelps Dodge Corp. 70,800 6,187,920
* PolyOne Corp. 2,300 15,456
Pope & Talbot, Inc. 9,100 100,373
Potlatch Corp. 25,100 1,297,419
Quaker Chemical Corp. 2,700 47,790
Quanex Corp. 18,150 941,804
Reliance Steel & Aluminum Co. 25,900 996,891
Rock of Ages Corp. 300 1,821
Rock-Tenn Co. Class A 23,500 270,485
Rohm & Haas Co. 900 41,985
RPM International, Inc. 92,000 1,619,200
* RTI International Metals, Inc. 20,900 572,451
# Ryerson Tull, Inc. 22,200 337,884
Schnitzer Steel Industries, Inc. Class A 13,200 305,184
Schulman (A.), Inc. 26,300 430,268
Schweitzer-Maudoit International, Inc. 10,500 314,685
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* Sealed Air Corp. 38,700 2,004,273
Sensient Technologies Corp. 32,200 655,270
* Smurfit-Stone Container Corp. 202,200 2,197,914
Spartech Corp. 20,900 422,807
Steel Dynamics, Inc. 35,900 965,351
Steel Technologies, Inc. 10,400 208,000
Stepan Co. 1,100 23,331
* Stillwater Mining Co. 10,200 68,850
Summa Industries, Inc. 2,200 16,940
Temple-Inland, Inc. 77,000 2,750,440
* Terra Industries, Inc. 34,200 217,170
Texas Industries, Inc. 23,600 1,086,072
* The Mosaic Co. 56 732
* U.S. Concrete, Inc. 11,700 71,604
United States Steel Corp. 100,400 3,992,908
* Universal Stainless & Alloy Products, Inc. 500 6,275
Valhi, Inc. 90,900 1,685,286
Wausau-Mosinee Paper Corp. 35,000 437,500
Wellman, Inc. 25,300 284,372
Weyerhaeuser Co. 231,500 14,850,725
Worthington Industries, Inc. 68,000 1,139,680
* # Zoltek Companies, Inc. 16,800 167,328
-----------------
Total Materials
(Cost $87,434,500) 119,173,473
-----------------
Telecommunication Services -- (5.2%)
Alltel Corp. 500 29,085
* American Tower Corp. 66,700 1,203,268
AT&T Corp. 497,400 9,346,146
* Boston Communications Group, Inc. 2,600 3,614
CenturyTel, Inc. 3,100 101,649
Citizens Communications Co. 128,600 1,754,104
* Crown Castle International Corp. 93,300 1,658,874
CT Communications, Inc. 7,941 96,086
D&E Communications, Inc. 5,068 41,000
* General Communications, Inc. Class A 16,180 133,323
Hector Communications Corp. 200 4,600
* IDT Corp. 11,100 149,739
* IDT Corp. Class B 27,700 379,490
* LCC International, Inc. Class A 3,800 13,566
* # Level 3 Communications, Inc. 37,700 78,416
* Premiere Global Services, Inc. 3,900 43,875
* Price Communications Corp. 12,038 206,933
* Qwest Communications International, Inc. 97,900 383,768
SBC Communications, Inc. 2,459,600 57,505,448
Sprint Corp. 875,888 20,749,787
SureWest Communications 6,150 146,370
* TALK America Holdings, Inc. 3,300 29,337
Telephone & Data Systems, Inc. 47,900 1,856,125
* Telephone & Data Systems, Inc. Special Shares 45,400 1,725,200
* Time Warner Telecom, Inc. 13,200 67,320
* United States Cellular Corp. 21,900 1,030,176
Verizon Communications, Inc. 235,900 8,346,142
* Wireless Facilities, Inc. 17,600 90,640
* WQN, Inc. 300 591
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* Xeta Corp. 78 250
-----------------
Total Telecommunication Services
(Cost $101,183,276) 107,174,922
-----------------
Health Care -- (4.2%)
* Accelrys, Inc. 15,400 81,312
Aetna, Inc. 183,800 14,338,238
* Air Methods Corp. 2,700 18,306
* Albany Molecular Research, Inc. 7,100 84,561
* Alexion Pharmaceuticals, Inc. 1,500 34,125
* Align Technology, Inc. 100 727
* Allied Healthcare International, Inc. 1,200 8,304
* Allied Healthcare Products, Inc. 400 2,068
* Allscripts Healthcare Solutions, Inc. 8,928 146,062
Alpharma, Inc. Class A 18,900 243,243
* America Services Group, Inc. 600 11,814
* American Dental Partners, Inc. 1,800 43,254
* American Retirement Corp. 3,200 43,808
American Shared Hospital Services 600 3,600
AmerisourceBergen Corp. 136,372 8,805,540
* AMN Healthcare Services, Inc. 7,000 101,080
Analogic Corp. 9,533 405,057
* Arena Pharmaceuticals, Inc. 2,400 16,440
* Arqule, Inc. 3,500 22,925
* Aspect Medical Systems, Inc. 1,500 48,240
Atrion Corp. 200 13,070
* ATS Medical, Inc. 200 650
* Avigen, Inc. 2,900 8,671
* Beverly Enterprises, Inc. 19,200 237,504
* Bio-Logic Systems Corp. 450 2,695
* BioMarin Pharmaceutical, Inc. 9,028 61,390
* Bio-Rad Laboratories, Inc. Class A 3,500 188,580
* BioScrip, Inc. 2,500 13,075
* Biosource International, Inc. 2,600 26,416
* Bruker BioSciences Corp. 20,600 86,520
* Caliper Life Sciences, Inc. 14,800 91,168
* Candela Corp. 5,300 54,219
* Capital Senior Living Corp. 9,600 58,176
* Cardiac Sciences, Inc. 2,000 1,960
* # Cell Genesys, Inc. 3,700 21,497
Chemed Corp. 2,400 101,472
Cigna Corp. 69,000 6,710,250
* Ciphergen Biosystems, Inc. 6,501 13,392
* Community Health Systems, Inc. 700 25,459
* Compex Technologies, Inc. 2,000 7,520
* Conmed Corp. 14,650 459,131
Cooper Companies, Inc. 537 35,469
* Cross Country Healthcare, Inc. 11,600 196,620
* # CryoLife, Inc. 1,100 7,975
* # CuraGen Corp. 5,400 23,112
* Curative Health Services, Inc. 7,300 18,761
D&K Healthcare Resources, Inc. 13,600 110,976
Datascope Corp. 6,217 189,245
* DaVita, Inc. 21,800 1,004,108
* # Dendreon Corp. 7,500 39,675
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* # Digital Angel Corp. 5,300 20,776
* Discovery Partners International, Inc. 8,900 26,255
* DUSA Pharmaceuticals, Inc. 5,400 60,426
* Dyax Corp. 15,200 70,680
Eli Lilly & Co. 676 39,411
* Emisphere Technologies, Inc. 6,000 23,280
* Encore Medical Corp. 7,100 36,068
* Exelixis, Inc. 5,300 37,206
* First Horizon Pharmaceutical Corp. 5,765 108,382
* Gene Logic, Inc. 4,061 13,686
* Genesis HealthCare Corp. 100 4,349
* Gentiva Health Services, Inc. 2,300 36,547
* Genzyme Corp. 28 1,747
* Hanger Orthopedic Group, Inc. 9,000 45,900
* Harvard Bioscience, Inc. 14,900 47,978
* Health Net, Inc. 17,100 585,333
* HealthTronics Surgical Services, Inc. 6,919 87,802
* HMS Holdings Corp. 3,400 21,080
* Hologic, Inc. 5,600 206,136
Hooper Holmes, Inc. 53,300 213,200
* Horizon Health Corp. 48 2,105
* Human Genome Sciences, Inc. 11,700 131,976
* Humana, Inc. 89,500 3,254,220
* Illumina, Inc. 24,400 256,200
* ImmunoGen, Inc. 4,000 23,840
* Impath, Inc. 600 2,664
* Inspire Pharmaceuticals, Inc. 5,100 33,150
* IntegraMed America, Inc. 200 2,090
* Invitrogen Corp. 30,600 2,427,498
* Kendle International, Inc. 1,668 19,232
* Kindred Healthcare, Inc. 10,700 412,806
* King Pharmaceuticals, Inc. 8,300 78,518
* Lexicon Genetics, Inc. 9,053 43,817
* LifePoint Hospitals, Inc. 2,871 129,138
Manor Care, Inc. 29,800 1,158,028
* Matria Healthcare, Inc. 1,700 48,433
* Maxim Pharmaceuticals, Inc. 6,100 9,272
* Maxygen, Inc. 7,100 55,593
McKesson Corp. 229,000 9,221,830
* Medarex, Inc. 15,300 115,974
* MedCath Corp. 2,000 51,820
* Medco Health Solutions, Inc. 87,300 4,365,000
* Medical Staffing Network Holdings, Inc. 3,900 21,177
* MEDTOX Scientific, Inc. 3,650 21,900
* Microtek Medical Holdings, Inc. 1,300 4,576
* Millennium Pharmaceuticals, Inc. 131,300 1,098,981
* Molecular Devices Corp. 5,000 96,600
* Nabi Biopharmaceuticals 16,200 199,098
* # Nanogen, Inc. 200 816
* Natus Medical, Inc. 3,300 33,330
NDCHealth Corp. 21,700 363,692
* Nektar Therapeutics 3,390 61,969
* Neopharm, Inc. 1,610 15,794
* Neose Technologies, Inc. 200 526
* Neurogen Corp. 2,200 14,872
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* NMT Medical, Inc. 1,500 13,125
* North American Scientific, Inc. 5,800 17,400
* Nutraceutical International Corp. 1,518 20,022
* Nuvelo, Inc. 21 156
* # OCA, Inc. 13,500 55,350
Omnicare, Inc. 64,800 2,483,136
* Onyx Pharmaceuticals, Inc. 1,900 47,481
Option Care, Inc. 3,000 39,900
* Oscient Pharmaceutical Corp. 1,500 2,475
* Osteotech, Inc. 170 491
* PacifiCare Health Systems, Inc. 31,500 1,979,145
* Pain Therapeutics, Inc. 10,631 55,813
* Parexel International Corp. 7,800 142,350
* PDI, Inc. 3,300 39,600
* Pediatric Services of America, Inc. 1,000 13,190
* Pediatrix Medical Group, Inc. 5,100 375,513
PerkinElmer, Inc. 92,800 1,775,264
Perrigo Co. 2,700 41,958
* Pharmacopia Drug Discovery, Inc. 7,900 38,236
* # Pharmacyclics, Inc. 2,900 23,258
PolyMedica Corp. 10,600 372,060
* Protein Design Labs, Inc. 14,850 283,635
* PSS World Medical, Inc. 59,059 693,353
* Quidel Corp. 2,200 9,636
* Radiologix, Inc. 1,000 3,930
* Res-Care, Inc. 1,610 21,461
* Respironics, Inc. 1,936 129,402
* Sangamo BioSciences, Inc. 8,400 31,500
* Savient Pharmaceuticals, Inc. 11,289 37,931
* Schein (Henry), Inc. 26,513 1,068,209
* Serologicals Corp. 3,450 74,140
* SFBC International, Inc. 1,500 52,515
* Sonic Innovations, Inc. 800 3,480
* Specialty Laboratories, Inc. 6,900 56,718
* SRI/Surgical Express, Inc. 700 3,174
* Staar Surgical Co. 8,200 32,226
* Strategic Diagnostics, Inc. 400 1,124
* # Sunrise Senior Living, Inc. 10,100 526,715
* Synovis Life Technologies, Inc. 500 3,825
* Tenet Healthcare Corp. 191,150 2,316,738
* Theragenics Corp. 4,700 16,121
* Thermo Electron Corp. 73,345 1,930,440
* Third Wave Technologies, Inc. 12,200 45,872
* Thoratec Corp. 12,440 185,854
* # Transkaryotic Therapies, Inc. 1,500 50,985
* Triad Hospitals, Inc. 36,462 1,849,353
* TriPath Imaging, Inc. 7,000 60,130
* TriZetto Group, Inc. 21,640 300,363
* United Therapeutics Corp. 800 39,968
* Urologix, Inc. 11,772 51,444
* Viasys Healthcare, Inc. 5,517 128,270
* Virologic, Inc. 15,880 43,352
* Watson Pharmaceuticals, Inc. 58,200 1,749,492
* WebMD Corp. 155,020 1,461,839
* WellPoint, Inc. 52,339 6,961,087
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* Wilson Greatbatch Technologies, Inc. 6,100 146,644
* Zoll Medical Corp. 400 9,496
-----------------
Total Health Care
(Cost $46,544,475) 87,646,582
-----------------
Consumer Staples -- (4.1%)
Albertson's, Inc. 288,700 6,059,813
Alliance One International, Inc. 67,900 435,239
# American Italian Pasta Co. 13,100 301,431
Archer-Daniels-Midland Co. 657,865 13,058,620
* BJ's Wholesale Club, Inc. 500 15,075
Cal-Maine Foods, Inc. 16 104
Casey's General Stores, Inc. 36,600 660,264
* Central Garden & Pet Co. 7,100 314,885
Chiquita Brands International, Inc. 12,200 354,776
Coca-Cola Enterprises, Inc. 424,200 9,281,496
* Constellation Brands, Inc. 38,600 1,073,466
Corn Products International, Inc. 65,300 1,442,477
* Dean Foods Co. 67,000 2,610,990
* Del Monte Foods Co. 6,400 66,816
Farmer Brothers Co. 5,000 120,000
Flowers Foods, Inc. 39,150 1,278,247
* Foodarama Supermarkets, Inc. 100 3,100
* Genesee Corp. Class B 100 207
* Great Atlantic & Pacific Tea Co., Inc. 11,800 294,174
* Griffin Land & Nurseries, Inc. Class A 400 9,600
* Hain Celestial Group, Inc. 15,100 271,800
* Hines Horticulture, Inc. 1,600 5,680
Imperial Sugar Co. (New) 2,000 30,800
Ingles Market, Inc. Class A 5,000 63,200
* # Interstate Bakeries Corp. 14,600 95,484
J & J Snack Foods Corp. 700 34,552
J. M. Smucker Co. 46,482 2,315,268
Kraft Foods, Inc. 507,200 16,453,568
Lance, Inc. 14,100 249,288
Longs Drug Stores Corp. 29,800 1,222,992
* M&F Worldwide Corp. 6,200 79,298
MGP Ingredients, Inc. 5,800 48,488
Molson Coors Brewing Co. 9,900 578,853
* Monterey Pasta Co. 7,500 22,650
# Nash Finch Co. 8,900 316,662
* Natrol, Inc. 900 2,520
* Omega Protein Corp. 2,800 19,880
* Pathmark Stores, Inc. 9,720 86,994
PepsiAmericas, Inc. 169,900 4,114,978
* Performance Food Group Co. 8,600 232,716
Pilgrim's Pride Corp. 30,700 1,082,175
* PriceSmart, Inc. 1,750 12,250
Ralcorp Holdings, Inc. 900 34,326
* Redhook Ale Brewery, Inc. 5,900 17,995
Reynolds American, Inc. 98,300 8,150,053
Ruddick Corp. 15,400 370,062
* San Filippo (John B.) & Son, Inc. 1,100 23,265
Seaboard Corp. 1,100 1,479,500
* Smart & Final Food, Inc. 7,800 84,630
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* Smithfield Foods, Inc. 60,100 1,792,783
* Spartan Stores, Inc. 6,700 86,430
Supervalu, Inc. 79,700 2,610,972
Tasty Baking Co. 3,800 30,400
The Topps Co., Inc. 10,300 95,996
Tyson Foods, Inc. Class A 229,230 4,231,586
Universal Corp. 17,900 794,760
Weis Markets, Inc. 13,600 499,664
* Wild Oats Markets, Inc. 1,000 11,240
* # Winn-Dixie Stores, Inc. 37,900 39,795
-----------------
Total Consumer Staples
(Cost $67,241,213) 85,074,333
-----------------
Utilities -- (0.3%)
* BayCorp Holdings, Ltd. 34 471
* CMS Energy Corp. 25,775 341,003
Dominion Resources, Inc. 1,194 83,950
* Dynegy, Inc. 69,100 321,315
Energen Corp. 11,300 736,534
New Jersey Resources Corp. 10,300 464,530
Questar Corp. 36,800 2,319,872
* Reliant Energy, Inc. 142,800 1,756,440
South Jersey Industries, Inc. 9,000 510,300
* Southern Union Co. 24,657 603,360
-----------------
Total Utilities
(Cost $2,958,188) 7,137,775
-----------------
Real Estate Investment Trusts -- (0.0%)
New Century Financial Corp. 2,000 101,900
-----------------
Total Real Estate Investment Trusts
(Cost $14,972) 101,900
-----------------
Other -- (0.0%)
* # ePresence, Inc. Escrow Shares 6,400 832
* Petrocorp, Inc. Escrow Shares 900 54
* Suburban Lodges of America, Inc. Escrow Shares 900 0
-----------------
Total Other 886
(Cost $0)
TOTAL COMMON STOCKS
(Cost $1,465,400,782) 1,997,074,121
-----------------
RIGHTS/WARRANTS -- (0.0%)
Other -- (0.0%)
* Chart Industries, Inc. Warrants 09/15/10 3 76
* Chiquita Brands International, Inc. Warrants 03/19/09 1,687 18,405
* Foster Wheelers, Ltd. Warrants 09/24/07 3,500 0
* # RCN Corp. Warrants 12/21/06 8 0
* Timco Aviation Services, Inc. Warrants 02/27/07 229 0
* Virologic, Inc. Contingent Value Rights 15,980 2,797
-----------------
Total Other
(Cost $49,691) 21,278
-----------------
TOTAL RIGHTS/WARRANTS
(Cost $49,691) 21,278
-----------------
31
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FACE
AMOUNT VALUE
----------------- -----------------
(000)
BONDS -- (0.0%)
Other -- (0.0%)
* Timco Aviation Services, Inc. Jr. Subordinated Note
8.000%, 01/02/07 $ 0 0
-----------------
Total Other
(Cost $0) 0
-----------------
TOTAL BONDS
(Cost $0) 0
-----------------
TEMPORARY CASH INVESTMENTS -- (3.1%)
^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.94%, 06/01/05
(Collateralized by $77,415,000 U.S. STRIPS 6.125%, 11/15/27, valued
at $27,815,984) to be repurchased at $27,272,582 (Cost $27,270,355) 27,270 27,270,355
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $36,556,000 FHLMC Notes 4.00%, 09/22/09, valued at
$36,601,695) to be repurchased at $36,062,895 (Cost $36,060,000) 36,060 36,060,000
-----------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $63,330,355) 63,330,355
-----------------
TOTAL INVESTMENTS - (100.0%)
(Cost $1,528,780,828) $ 2,060,425,754
=================
----------
+ See Note B to Financial Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
32
THE TAX-MANAGED U.S. EQUITY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
[Download Table]
SHARES VALUE+
----------------- -----------------
COMMON STOCKS -- (97.6%)
Financials -- (17.8%)
1st Source Corp. 700 $ 15,246
21st Century Insurance Group 3,000 41,790
A.G. Edwards, Inc. 5,000 206,550
ABC Bancorp 200 3,550
* # Acacia Research-Acacia Technologies 210 1,178
* Accredited Home Lenders Holding Co. 1,400 58,758
* ACE Cash Express, Inc. 900 19,629
Advanta Corp. Class A 600 13,758
Advanta Corp. Class B Non-Voting 800 19,736
* Aether Systems, Inc. 1,200 3,756
* Affiliated Managers Group, Inc. 2,350 156,745
AFLAC, Inc. 36,600 1,520,730
* # Aixtron AG 306 991
Alabama National Bancorporation 1,000 62,880
Alfa Corp. 3,200 45,824
* Allmerica Financial Corp. 3,800 132,696
Allstate Corp. 38,057 2,214,917
AMBAC Financial Group, Inc. 7,400 533,910
Amcore Financial, Inc. 1,200 33,432
Amegy Bancorporation, Inc. 4,700 83,707
American Capital Strategies, Ltd. 3,900 136,578
American Express Co. 86,900 4,679,565
American Financial Group, Inc. 4,500 145,890
American International Group, Inc. 154,200 8,565,810
American National Insurance Co. 500 57,700
* American Physicians Capital, Inc. 500 17,325
* American West Bancorporation 133 2,629
* AmeriCredit Corp. 10,300 256,161
* AmeriServe Financial, Inc. 700 3,822
* Ameritrade Holding Corp. 28,100 417,566
AmerUs Group Co. 2,500 118,975
AmSouth Bancorporation 21,100 562,526
Anchor Bancorp Wisconsin, Inc. 1,300 35,906
AON Corp. 13,800 344,034
* Arch Capital Group, Ltd. 100 4,465
* Argonaut Group, Inc. 1,400 29,316
Associated Banc-Corp 7,314 244,434
* Assurant, Inc. 4,400 154,660
Astoria Financial Corp. 5,950 163,863
BancorpSouth, Inc. 4,000 89,400
Bank of America Corp. 214,252 9,924,153
Bank of Hawaii Corp. 2,900 141,317
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Bank of New York Co., Inc. 43,600 1,256,552
Bank of The Ozarks, Inc. 1,100 34,782
BankAtlantic Bancorp, Inc. Class A 2,500 44,350
BankUnited Financial Corp. Class A 1,700 42,007
Banner Corp. 600 15,966
Bay View Capital Corp. 320 5,072
BB&T Corp. 30,578 1,221,285
Bear Stearns Companies, Inc. 8,200 812,128
Berkley (W.R. ) Corp. 9,087 322,225
* BFC Financial Corp. 1,000 9,040
Blackrock, Inc. 1,400 109,228
BOK Financial Corp. 4,529 204,801
Boston Private Financial Holdings, Inc. 1,800 44,064
Brookline Bancorp, Inc. 2,800 42,560
Brown & Brown, Inc. 5,000 222,800
Capital One Financial Corp. 15,100 1,138,540
* Capitalsource, Inc. 5,500 104,940
Capitol Federal Financial 3,900 129,168
* Cardinal Financial Corp. 700 6,370
Cash America International, Inc. 1,600 27,520
Cathay General Bancorp 3,452 117,368
* CB Richard Ellis Group, Inc. 2,300 88,458
Center Financial Corp. 1,000 21,370
Central Pacific Financial Corp. 1,500 53,250
* Ceres Group, Inc. 1,000 5,730
Chemical Financial Corp. 1,076 34,410
Chittenden Corp. 2,475 64,969
Chubb Corp. 10,700 901,261
Cincinnati Financial Corp. 7,571 298,827
CIT Group, Inc. 2,700 114,534
Citigroup, Inc. 281,044 13,239,983
Citizens Banking Corp. 2,300 66,654
* # Citizens, Inc. 1,657 9,594
City Holding Co. 1,100 37,158
City National Corp. 2,800 198,884
Clark, Inc. 900 13,050
* CNA Financial Corp. 17,800 490,924
* CNA Surety Corp. 1,900 26,258
Columbia Banking System, Inc. 1,055 25,953
Comerica, Inc. 9,800 547,624
# Commerce Bancorp, Inc. 10,000 277,500
Commerce Bancshares, Inc. 4,204 204,945
Commerce Group, Inc. 1,900 113,240
Commercial Capital Bancorp, Inc. 1,449 24,561
Commercial Federal Corp. 1,300 32,513
Community Bank System, Inc. 1,200 27,960
Compass Bancshares, Inc. 7,200 320,904
* # CompuCredit Corp. 4,100 129,273
Corus Bankshares, Inc. 1,144 58,710
Countrywide Financial Corp. 42,198 1,568,500
* Credit Acceptance Corp. 2,291 32,326
Cullen Frost Bankers, Inc. 2,700 120,447
CVB Financial Corp. 6,483 119,547
* # Danielson Holding Corp. 3,500 56,875
Delphi Financial Group, Inc. Class A 1,800 76,320
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Delta Financial Corp. 600 5,430
Dime Community Bancshares 2,050 30,955
Downey Financial Corp. 2,200 165,044
* E*TRADE Financial Corp. 26,900 332,215
East West Bancorp, Inc. 3,500 117,740
Eaton Vance Corp. 8,200 199,752
* E-Loan, Inc. 3,000 8,550
* Encore Capital Group, Inc. 1,400 21,504
Erie Indemnity Co. 3,657 189,433
* eSpeed, Inc. 2,100 17,997
F.N.B. Corp. 2,025 37,624
FBL Financial Group, Inc. Class A 700 18,725
Federal Agriculture Mortgage Corporation 300 5,544
Federated Investors, Inc. 300 8,883
Fidelity Bankshares, Inc. 1,500 37,125
Fidelity National Financial, Inc. 5,066 182,325
Fifth Third Bancorp 30,671 1,307,198
Financial Federal Corp. 1,200 44,760
* First Acceptance Corp. 3,000 26,850
First American Corp. 4,600 178,020
* First Cash Financial Services, Inc. 1,250 21,750
First Charter Corp. 1,500 33,075
First Citizens BancShares, Inc. 100 13,053
First Commonwealth Financial Corp. 3,300 44,088
First Community Bancorp 1,000 44,180
First Community Bancshares, Inc. 300 9,024
First Financial Bancorp 2,000 36,000
First Financial Holdings, Inc. 600 17,064
First Horizon National Corp. 7,200 304,056
First Indiana Corp. 700 18,865
* First Marblehead Corp. 1,400 62,510
First Merchants Corp. 400 9,948
First Midwest Bancorp, Inc. 2,400 83,256
First Niagara Financial Group, Inc. 4,984 64,892
First Place Financial Corp. 500 9,845
First Republic Bank 1,350 43,308
First State Bancorporation 1,000 18,460
* FirstCity Financial Corp. 500 6,500
* FirstFed Financial Corp. 1,200 65,016
FirstMerit Corp. 4,500 114,750
Flagstar Bancorp, Inc. 2,800 55,328
Flushing Financial Corp. 1,000 16,890
Forest City Enterprises, Inc. Class A 300 19,005
Forest City Enterprises, Inc. Class B 150 9,601
* FPIC Insurance Group, Inc. 700 20,832
* Franklin Bank Corp. 500 8,550
Franklin Resources, Inc. 18,200 1,312,948
Fremont General Corp. 5,400 116,154
Frontier Financial Corp. 700 17,430
Fulton Financial Corp. 6,697 145,526
Gabelli Asset Management, Inc. 600 26,190
Gallagher (Arthur J. ) & Co. 4,700 129,814
Gateway Financial Holdings, Inc. 330 5,943
Glacier Bancorp, Inc. 1,656 38,673
Gold Banc Corp. 1,200 16,668
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Golden West Financial Corp. 22,500 1,408,950
Great American Financial Resources, Inc. 400 6,744
Greater Bay Bancorp 2,500 62,825
* Grubb & Ellis Co. 100 600
Hancock Holding Co. 1,800 58,248
Harbor Florida Bancshares, Inc. 1,200 42,684
Harleysville Group, Inc. 700 14,217
Harleysville National Corp. 1,256 28,976
Hartford Financial Services Group, Inc. 16,300 1,219,077
HCC Insurance Holdings, Inc. 4,900 192,129
Heartland Financial USA, Inc. 500 9,890
Hibernia Corp. 7,900 253,985
Hilb Rogal Hamilton Co. 2,500 85,225
Horace Mann Educators Corp. 1,100 20,020
Horizon Financial Corp. 100 2,010
# Hudson City Bancorp, Inc. 10,500 361,725
Hudson United Bancorp 2,300 78,545
Huntington Bancshares, Inc. 13,400 312,488
IBERIABANK Corp. 500 29,420
Independence Community Bank Corp. 4,702 176,231
Independent Bank Corp. MA 700 19,551
Independent Bank Corp. MI 600 16,884
IndyMac Bancorp, Inc. 3,200 131,680
Infinity Property & Casualty Corp. 500 16,000
* Instinet Group, Inc. 23,100 121,968
Integra Bank Corp. 1,100 24,299
* Investment Technology Group, Inc. 2,350 46,389
Investors Financial Services Corp. 4,900 203,301
Irwin Financial Corp. 1,100 23,089
Janus Capital Group, Inc. 16,700 256,512
Jefferies Group, Inc. 4,100 145,181
Jefferson-Pilot Corp. 6,000 302,400
* Jones Lang LaSalle, Inc. 2,400 101,784
JPMorgan Chase & Co. 199,052 7,116,109
KeyCorp 22,500 737,100
* Knight Capital Group, Inc. 4,700 35,485
LandAmerica Financial Group, Inc. 1,100 61,820
Legg Mason, Inc. 7,450 612,241
Lehman Brothers Holdings, Inc. 20,095 1,852,759
Leucadia National Corp. 7,650 305,158
Lincoln National Corp. 7,500 341,475
Loews Corp. 13,300 1,001,490
M&T Bank Corp. 6,400 653,696
MAF Bancorp, Inc. 1,100 46,816
Main Street Banks, Inc. 1,200 31,644
Manulife Financial Corp. 18,253 838,725
* Markel Corp. 900 307,575
Marsh & McLennan Companies, Inc. 28,600 830,544
Marshall & Ilsley Corp. 13,800 600,438
MB Financial, Inc. 1,950 74,470
MBIA, Inc. 7,100 397,103
MBNA Corp. 71,850 1,515,316
MBT Financial Corp. 900 17,208
MCG Capital Corp. 500 8,000
* Meadowbrook Insurance Group, Inc. 100 515
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Medallion Finanacial Corp. 100 926
Mellon Financial Corp. 23,300 646,808
Mercantile Bankshares Corp. 4,400 229,372
Mercury General Corp. 3,000 165,600
Merrill Lynch & Co., Inc. 68,800 3,733,088
MetLife, Inc. 52,700 2,350,420
* Metris Companies, Inc. 3,600 46,728
MGIC Investment Corp. 7,000 429,380
MicroFinancial, Inc. 400 1,556
Midland Co. 200 6,390
Mid-State Bancshares 1,100 29,447
Midwest Banc Holdings, Inc. 900 18,000
MoneyGram International, Inc. 5,800 107,590
Moody's Corp. 6,500 281,255
Morgan Stanley 69,200 3,388,032
Nara Bancorp, Inc. 1,300 18,057
National City Corp. 34,351 1,187,171
National Penn Bancshares, Inc. 1,775 42,032
* National Western Life Insurance Co. Class A 100 18,337
Nationwide Financial Services, Inc. 2,300 87,814
* Navigators Group, Inc. 500 16,620
NBT Bancorp, Inc. 1,700 40,290
* Nelnet, Inc. Class A 2,300 84,870
New York Community Bancorp, Inc. 11,477 209,111
* Newtek Business Services, Inc. 900 2,331
North Fork Bancorporation, Inc. 26,305 717,074
Northern Trust Corp. 13,000 596,960
Northwest Bancorp, Inc. 2,600 51,740
Nuveen Investments 3,300 118,965
OceanFirst Financial Corp. 126 2,709
* # Ocwen Financial Corp. 3,555 25,703
# Odyssey Re Holdings Corp. 4,000 96,440
Ohio Casualty Corp. 3,200 76,480
Old National Bancorp 3,340 66,232
Old Republic International Corp. 7,950 197,637
Pacific Capital Bancorp 2,333 78,855
Partners Trust Financial Group, Inc. 363 3,746
* # Penn Treaty American Corp. 600 1,338
Peoples Bank CT 8,025 227,188
PFF Bancorp, Inc. 1,260 36,590
* Philadelphia Consolidated Holding Corp. 1,600 131,952
* Pinnacle Financial Partners, Inc. 500 11,170
* Piper Jaffray Companies, Inc. 1,004 28,383
* PMA Capital Corp. Class A 800 5,944
PMI Group, Inc. 6,300 238,140
PNC Financial Services Group, Inc. 15,600 852,540
Presidential Life Corp. 1,100 16,665
Principal Financial Group, Inc. 21,300 849,657
* ProAssurance Corp. 2,200 86,064
Progressive Corp. 14,700 1,412,229
Prosperity Bancshares, Inc. 1,800 48,816
Protective Life Corp. 3,900 156,741
Provident Bancorp, Inc. 1,435 16,804
Provident Bankshares Corp. 1,286 40,689
* Providian Financial Corp. 21,400 381,348
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Prudential Financial, Inc. 37,700 2,386,787
Radian Group, Inc. 6,500 298,220
Raymond James Financial, Inc. 5,350 143,968
Regions Financial Corp. 32,459 1,093,219
Reinsurance Group of America, Inc. 4,000 183,000
Republic Bancorp, Inc. 3,649 50,374
* Rewards Network, Inc. 700 3,577
RLI Corp. 1,600 69,984
S&T Bancorp, Inc. 1,517 53,323
Safeco Corp. 7,300 392,813
Sanders Morris Harris Group, Inc. 1,218 19,914
Sandy Spring Bancorp, Inc. 700 23,240
Schwab (Charles) Corp. 95,700 1,085,238
Seacoast Banking Corp. of Florida 800 16,216
SEI Investments Co. 7,160 248,882
Selective Insurance Group, Inc. 900 43,317
Simmons First National Corp. Class A 589 14,454
Sky Financial Group, Inc. 5,600 161,224
SLM Corp. 27,400 1,322,598
Sound Federal Bancorp, Inc. 100 1,592
South Financial Group, Inc. 2,501 68,152
Southwest Bancorp, Inc. 700 12,670
Sovereign Bancorp, Inc. 25,200 562,464
StanCorp Financial Group, Inc. 2,200 164,670
State Auto Financial Corp. 2,500 67,500
State Street Corp. 23,800 1,142,400
Sterling Bancorp 900 19,035
Sterling Bancshares, Inc. 2,600 35,360
* Sterling Financial Corp. 1,478 52,247
Stewart Information Services Corp. 900 35,325
* Stifel Financial Corp. 300 6,336
Student Loan Corp. 1,300 279,019
* Sun Bancorp, Inc. 971 20,139
SunTrust Banks, Inc. 20,217 1,488,173
* Superior Essex, Inc. 700 11,739
Susquehanna Bancshares, Inc. 1,200 27,312
* SVB Financial Group 2,700 128,952
Synovus Financial Corp. 17,500 508,725
T. Rowe Price Group, Inc. 8,800 525,008
TCF Financial Corp. 7,400 191,586
TD Banknorth, Inc. 4,655 139,557
* Tejon Ranch Co. 100 5,190
Texas Regional Banchshares, Inc. Class A 3,025 87,090
* The Banc Corp. 800 8,400
The Colonial BancGroup, Inc. 8,200 182,778
The Goldman Sachs Group, Inc. 34,700 3,383,250
# The Phoenix Companies, Inc. 2,700 31,050
The St. Joe Corp. 5,500 433,785
The St. Paul Travelers Companies, Inc. 36,907 1,398,037
The Toronto Dominion Bank 2,233 94,969
TierOne Corp. 900 21,712
Torchmark Corp. 7,600 400,900
* Tradestation Group, Inc. 2,100 15,477
* Trammell Crow Co. 2,400 54,120
Transatlantic Holdings, Inc. 2,350 134,209
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* Triad Guaranty, Inc. 700 37,940
TrustCo Bank Corp. NY 2,700 33,615
Trustmark Corp. 2,800 79,996
U.S. Bancorp 102,900 3,018,057
UCBH Holdings, Inc. 6,000 102,600
UICI 2,400 60,360
UMB Financial Corp. 700 38,990
Umpqua Holdings Corp. 1,845 43,007
UnionBanCal Corp. 8,300 520,991
* United America Idemnity, Ltd. 310 5,286
United Bankshares, Inc. 2,200 73,590
United Community Banks, Inc. 2,550 63,699
United Community Financial Corp. 700 7,357
Unitrin, Inc. 3,400 169,286
* Universal American Financial Corp. 3,771 71,423
UnumProvident Corp. 12,500 229,500
* USA Mobility, Inc. 600 15,876
Valley National Bancorp 5,706 136,145
Vesta Insurance Group, Inc. 500 1,260
Wachovia Corp. 84,892 4,308,269
Waddell & Reed Financial, Inc. 32,700 626,859
Washington Federal, Inc. 4,402 100,454
Washington Mutual, Inc. 47,200 1,949,360
Washington Trust Bancorp, Inc. 900 25,371
Webster Financial Corp. 3,000 140,700
Wells Fargo & Co. 93,900 5,672,499
Wesbanco, Inc. 32 946
Wesco Financial Corp. 100 35,828
West Bancorporation 700 12,467
West Coast Bancorp 700 15,232
Westamerica Bancorporation 1,700 89,505
Westcorp, Inc. 3,700 179,228
Westwood Holdings Group, Inc. 125 2,111
* WFS Financial, Inc. 2,700 131,625
Whitney Holding Corp. 3,900 123,669
Willow Grove Bancorp, Inc. 100 1,525
Wilmington Trust Corp. 3,700 132,571
Wintrust Financial Corp. 1,550 77,609
* World Acceptance Corp. 1,400 36,470
Zions Bancorporation 5,700 403,788
-----------------
Total Financials
(Cost $128,532,742) 143,473,100
-----------------
Information Technology -- (16.0%)
* 3Com Corp. 20,000 73,200
* Actel Corp. 1,100 16,269
* ActivCard Corp. 1,600 6,592
* Activision, Inc. 13,100 206,456
Acxiom Corp. 5,600 103,320
* Adaptec, Inc. 4,200 16,716
* ADC Telecommunications, Inc. 7,228 131,260
* ADDvantage Technologies Group, Inc. 500 1,565
Adobe Systems, Inc. 31,800 1,051,308
Adtran, Inc. 4,570 100,403
* Advanced Digital Information Corp. 2,860 19,648
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* Advanced Energy Industries, Inc. 2,000 19,080
* Advanced Micro Devices, Inc. 26,900 441,160
* Advent Software, Inc. 1,900 38,114
* Aeroflex, Inc. 3,800 30,400
* Affiliated Computer Services, Inc. Class A 8,400 434,532
* Agere Systems, Inc. Class A 1 15
* Agile Software Corp. 2,100 13,545
* Agilent Technologies, Inc. 32,300 775,523
Agilysys, Inc. 2,000 30,760
* Airspan Networks, Inc. 857 4,096
* Akamai Technologies, Inc. 32,000 449,280
* Alliance Data Systems Corp. 5,000 188,600
* # Alliance Semiconductor Corp. 100 168
* Altera Corp. 22,000 488,180
* Altiris, Inc. 1,300 24,440
* Amkor Technology, Inc. 10,400 36,920
Amphenol Corp. 5,300 224,667
Analog Devices, Inc. 23,898 886,138
* Anaren, Inc. 700 8,288
* Andrew Corp. 10,032 133,024
* Anixter International, Inc. 2,600 98,306
* Ansoft Corp. 600 13,380
* AnswerThink, Inc. 2,000 7,920
* Ansys, Inc. 1,800 60,012
* Anteon International Corp. 2,100 92,799
* Apogee Technology, Inc. 500 605
* Apple Computer, Inc. 46,500 1,846,515
* Applied Films Corp. 600 16,140
Applied Materials, Inc. 113,000 1,854,330
* Applied Micro Circuits Corp. 12,800 36,736
* aQuantive, Inc. 3,400 52,326
* Ariba, Inc. 1,641 10,059
* Arris Group, Inc. 5,379 46,582
* Arrow Electronics, Inc. 7,500 209,625
* Ask Jeeves, Inc. 2,241 68,149
* Aspect Communications Corp. 3,400 32,640
* Asyst Technologies, Inc. 1,900 7,999
* Atari, Inc. 7,400 18,278
* Atmel Corp. 26,300 78,900
* ATMI, Inc. 1,900 53,390
* August Technology Corp. 400 4,548
* Authentidate Holding Corp. 800 2,352
* autobytel.com, Inc. 800 3,888
Autodesk, Inc. 15,200 601,616
Automatic Data Processing, Inc. 37,400 1,638,120
* # Avanex Corp. 3,400 3,434
* Avaya, Inc. 8,400 76,860
* # Avici Systems, Inc. 300 1,338
* Avid Technology, Inc. 2,100 123,144
* Avnet, Inc. 6,600 138,072
* Avocent Corp. 400 11,200
AVX Corp. 10,000 118,800
* Aware, Inc. 600 3,960
* Axcelis Technologies, Inc. 5,500 36,575
* BEA Systems, Inc. 26,400 222,552
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* BearingPoint, Inc. 8,200 53,710
BEI Technologies, Inc. 900 23,139
Bel Fuse, Inc. Class B 300 8,970
Belden CDT, Inc. 1,600 32,192
* Bell Microproducts, Inc. 1,100 9,020
* Benchmark Electronics, Inc. 2,600 82,342
* BindView Development Corp. 1,400 4,368
* BISYS Group, Inc. 8,100 123,930
* Blue Coat Systems, Inc. 700 13,587
* BMC Software, Inc. 14,200 241,684
* # Bookham, Inc. 80 224
* Borland Software Corp. 2,000 12,800
* Bottomline Technologies, Inc. 500 6,790
* Brightpoint, Inc. 850 15,980
* Broadcom Corp. 16,100 571,389
* # BroadVision, Inc. 963 1,348
* Brocade Communications Systems, Inc. 16,600 64,906
* Brooks Automation, Inc. 2,624 39,570
* Brooktrout, Inc. 500 4,985
* Cabot Microelectronics Corp. 1,700 53,261
* CACI International, Inc. Class A 1,900 122,474
* Cadence Design Systems, Inc 18,600 259,842
* California Micro Devices Corp. 600 2,880
* Captaris, Inc. 500 1,810
* Captiva Software Corp. 300 4,026
* Carreker Corp. 500 2,625
* Carrier Access Corp. 1,600 7,712
* Catalyst Semiconductor, Inc. 500 2,270
* Catapult Communications Corp. 350 4,925
* CCC Information Services Group, Inc. 500 11,690
* C-COR, Inc. 2,998 20,626
CDW Corp. 5,200 302,536
Celeritek, Inc. 560 459
* Celestica, Inc. 175 2,231
* CellStar Corp. 1,000 1,300
* Centillium Communications, Inc. 90 197
* Centra Software, Inc. 400 688
* # Cenuco, Inc. 160 530
* Ceridian Corp. 10,200 194,514
* Certegy, Inc. 3,500 131,425
* CEVA, Inc. 200 1,456
* CheckFree Corp. 6,000 223,980
* Checkpoint Systems, Inc. 2,400 42,288
* Cherokee International Corp. 200 822
* Chordiant Software, Inc. 2,900 4,959
* Ciber, Inc. 3,100 25,265
* Ciena Corp. 17,700 38,586
* Cirrus Logic, Inc. 4,200 21,756
* Cisco Sytems, Inc. 383,900 7,439,982
* Citrix Systems, Inc. 10,300 259,148
* CMGI, Inc. 4,200 9,156
* CNET Networks, Inc. 8,500 88,230
Cognex Corp. 2,700 70,092
* Cognizant Technology Solutions Corp. 7,945 381,360
* Coherent, Inc. 1,500 49,245
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Cohu, Inc. 1,300 24,986
* CommScope, Inc. 3,500 59,220
Computer Associates International, Inc. 39,844 1,086,546
* Computer Network Technology Corp. 800 4,000
* Computer Sciences Corp. 12,100 560,351
* Compuware Corp. 26,416 180,950
* Comtech Telecommunications Corp. 1,200 43,404
* Comverse Technology, Inc. 13,400 315,302
* Concord Communications, Inc. 600 10,152
* Concur Technologies, Inc. 1,800 17,262
* Concurrent Computer Corp. 1,700 3,094
* Conexant Systems, Inc. 11,311 16,175
* # Convera Corp. 900 3,879
* Convergys Corp. 9,200 125,396
* Corillian Corp. 900 2,894
* Corning, Inc. 86,700 1,359,456
* Covansys Corp. 1,100 13,475
* Cray, Inc. 5,000 7,300
* Credence Systems Corp. 3,100 24,552
* # Cree, Inc. 4,900 147,196
* CSG Systems International, Inc. 3,100 58,962
CTS Corp. 1,400 14,910
* # Cyberguard Corp. 1,052 6,754
* Cyberoptics Corp. 410 5,273
* Cybersource Corp. 1,800 12,078
* Cymer, Inc. 2,200 62,502
* Cypress Semiconductor Corp. 8,400 108,612
* Daktronics, Inc. 1,200 27,948
* Dell, Inc. 138,900 5,540,721
Diebold, Inc. 4,600 230,276
* Digi International, Inc. 1,332 15,624
* Digimarc Corp. 1,000 5,100
* Digital Insight Corp. 2,200 47,828
* Digital River, Inc. 1,000 27,520
* Digital Theater Systems, Inc. 1,000 17,090
* Digitas, Inc. 5,400 59,778
* Dionex Corp. 1,200 53,820
* Ditech Communications Corp. 2,200 15,862
* DocuCorp International, Inc. 400 2,680
* Dot Hill Systems Corp. 2,000 10,620
* DoubleClick, Inc. 7,100 58,433
* DSP Group, Inc. 500 11,760
* DST Systems, Inc. 5,200 251,472
* Dynamics Research Corp. 500 7,445
* EarthLink, Inc. 9,600 101,856
* Echelon Corp. 1,700 11,679
* eCollege.com 1,000 10,330
* EDGAR Online, Inc. 400 1,156
* eFunds Corp. 3,000 60,660
* Electro Scientific Industries, Inc. 924 16,577
* Electroglas, Inc. 700 2,415
* Electronic Arts, Inc. 17,800 935,212
Electronic Data Systems Corp. 32,100 632,370
* Electronics for Imaging, Inc. 2,100 39,900
* Embarcadero Technologies, Inc. 491 2,804
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* EMC Corp. 155,812 2,190,717
* EMS Technologies, Inc. 200 2,700
* Emulex Corp. 4,900 92,610
* Endwave Corp. 100 3,605
* Entegris, Inc. 4,600 44,620
* Enterrasys Networks, Inc. 3,822 3,554
* Entrust, Inc. 3,800 15,542
* Epicor Software Corp. 2,700 33,291
* EPIQ Systems, Inc. 1,000 16,350
* Equinix, Inc. 1,500 57,150
* ESS Technology, Inc. 1,400 5,768
* Euronet Worldwide, Inc. 2,010 56,360
* Exar Corp. 2,000 28,800
* Excel Technology, Inc. 700 17,535
* Extreme Networks, Inc. 7,700 35,189
* F5 Networks, Inc. 2,300 117,783
Factset Research Systems, Inc. 3,050 97,631
Fair Isaac Corp. 4,735 162,174
* Fairchild Semiconductor Corp. Class A 7,534 107,736
* # FalconStor Software, Inc. 2,700 19,737
* Fargo Electronics 500 9,025
* Faro Technologies, Inc. 900 25,038
* FEI Co. 1,900 39,558
* Filenet Corp. 2,500 69,650
* FindWhat.com 1,600 8,512
* Finisar Corp. 2,000 2,380
First Data Corp. 53,115 2,009,340
* Fiserv, Inc. 12,700 546,100
* Flir Systems, Inc. 4,000 107,200
* Forgent Networks, Inc. 600 1,080
* FormFactor, Inc. 2,200 57,244
* Forrester Research, Inc. 1,300 21,450
* Foundry Networks, Inc. 8,687 80,268
* Freescale Semiconductor, Inc. Class B 12,344 249,349
* FSI International, Inc. 1,000 3,760
* GameStop Corp. Class B 1,657 44,474
* Gartner Group, Inc. 4,700 46,624
* Gartner, Inc. 900 8,856
* Gateway, Inc. 19,500 67,470
* Genesis Microchip, Inc. 1,000 16,550
* Gerber Scientific, Inc. 300 2,214
* Glenayre Technologies, Inc. 1,978 6,330
* Global Imaging Systems, Inc. 1,400 44,506
* Global Payments, Inc. 900 62,370
* # Glowpoint, Inc. 400 532
* Harmonic, Inc. 4,100 25,543
Harris Corp. 8,400 241,416
Helix Technology Corp. 1,500 18,915
Henry Jack & Associates, Inc. 5,900 104,371
* Hewitt Associates, Inc. Class A 720 18,324
Hewlett-Packard Co. 181,200 4,078,812
* HomeStore, Inc. 7,000 14,630
* Hutchinson Technology, Inc. 1,700 70,329
* Hypercom Corp. 2,411 15,310
* Hyperion Solutions Corp. 2,600 114,738
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* # Ibis Technology Corp. 300 378
* Identix, Inc. 5,900 32,391
* iGATE Capital Corp. 1,100 4,807
Imation Corp. 1,900 71,744
* Immersion Corp. 300 1,758
* # Infocrossing, Inc. 1,100 12,056
* InFocus Corp. 1,800 7,488
* Informatica Corp. 4,900 42,042
* InfoSpace, Inc. 2,200 74,624
infoUSA, Inc. 3,100 37,448
* Ingram Micro, Inc. 10,000 158,100
* Innodata Isogen, Inc. 600 1,794
* Innovex, Inc. 200 676
* Integrated Circuit Systems, Inc. 4,500 95,355
* Integrated Device Technology, Inc. 6,200 75,826
Intel Corp. 399,800 10,766,614
* # Intelli-Check, Inc. 200 1,102
* # Intellisync Corp. 1,500 4,005
* Interactive Intelligence, Inc. 100 488
* Interdigital Communications Corp. 2,900 53,534
* Intergraph Corp. 2,100 65,919
* Interland, Inc. 900 1,710
* Interlink Electronics, Inc. 500 2,670
* # Intermix Media, Inc. 100 593
International Business Machines Corp. 104,000 7,857,200
* International Rectifier Corp. 4,600 219,788
* Internet Security Systems, Inc. 3,000 66,600
Intersil Corp. 8,700 163,212
Inter-Tel, Inc. 1,700 34,901
* Intervideo, Inc. 300 4,554
* Intervoice, Inc. 1,900 17,024
* Interwoven, Inc. 1,575 12,537
* Intevac, Inc. 500 5,205
* Intrado, Inc. 600 7,674
* Intuit, Inc. 11,200 484,064
* Iron Mountain, Inc. 8,725 250,408
* Iteris, Inc. 100 263
* Itron, Inc. 1,500 61,665
* iVillage, Inc. 4,500 27,135
* Ixia 3,600 66,204
* IXYS Corp. 2,100 29,043
* j2 Global Communication, Inc. 1,600 56,128
* Jabil Circuit, Inc. 13,700 400,451
* JDA Software Group, Inc. 1,300 16,796
* JDS Uniphase Corp. 79,000 120,870
* Juniper Networks, Inc. 36,288 930,424
* Jupitermedia Corp. 2,000 36,500
* Keane, Inc. 3,800 50,996
Keithley Instruments, Inc. 700 10,311
* Kemet Corp. 4,000 28,000
* Kintera, Inc. 200 618
KLA-Tencor Corp. 13,100 594,871
* Komag, Inc. 1,800 51,930
* Kopin Corp. 4,300 16,555
* Kronos, Inc. 1,850 83,546
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* Kulicke & Soffa Industries, Inc. 3,000 17,430
* Lam Research Corp. 8,900 273,052
Landauer, Inc. 500 24,425
* LaserCard Corp. 500 3,000
* Lattice Semiconductor Corp. 3,900 16,458
* Lawson Software, Inc. 6,102 36,124
* LeCroy Corp. 500 8,230
* # Lexar Media, Inc. 4,900 24,598
* Lexmark International, Inc. 5,200 355,888
* Lightbridge, Inc. 900 5,652
Linear Technology Corp. 20,000 749,400
* Lionbridge Technologies, Inc. 2,200 10,956
* Littlefuse, Inc. 1,400 42,112
* LogicVision, Inc. 99 178
* LoJack Corp. 900 13,266
* LSI Logic Corp. 24,700 181,792
* LTX Corp. 3,500 16,765
* Lucent Technologies, Inc. 225,500 633,655
* Macromedia, Inc. 4,100 181,302
* Macrovision Corp. 3,200 67,232
* Magma Design Automation, Inc. 2,200 17,534
* Manhattan Associates, Inc. 1,200 25,488
* Manugistic Group, Inc. 500 900
* Mapinfo Corp. 1,200 14,952
* MatrixOne, Inc. 3,100 14,167
Maxim Integrated Products, Inc. 21,300 839,220
Maximus, Inc. 1,300 44,577
* Maxtor Corp. 15,000 82,350
* Maxwell Technologies, Inc. 500 5,140
* McAfee, Inc. 10,000 286,800
* McDATA Corp. 2,700 10,287
* Mechanical Technology, Inc. 100 357
* MedQuist, Inc. 1,600 20,816
* MEMC Electronic Materials, Inc. 12,000 164,400
* Mentor Graphics Corp. 4,700 48,316
* Mercury Interactive Corp. 5,200 234,624
* Merix Corp. 400 2,900
* MetaSolv, Inc. 1,500 3,105
* Metrologic Instruments, Inc. 1,500 20,790
* Micrel, Inc. 5,100 59,160
* Micro Linear Corp. 200 1,170
Microchip Technology, Inc. 13,050 386,802
* Micromuse, Inc. 2,400 15,072
* Micron Technology, Inc. 39,000 428,220
* Micros Systems, Inc. 2,200 98,956
* Microsemi Corp. 3,400 70,142
Microsoft Corp. 664,800 17,151,840
* MicroStrategy, Inc. 1,000 55,700
* Microtune, Inc. 1,984 8,769
* # Midway Games, Inc. 4,800 42,480
* # Mindspeed Technologies, Inc. 4,700 6,721
* MIPS Technologies, Inc. 2,600 22,412
* MKS Instruments, Inc. 2,100 35,070
* Mobility Electronics, Inc. 1,100 9,680
* Moldflow Corp. 500 6,600
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Molex, Inc. 5,000 132,450
* Monolithic System Technology, Inc. 121 674
Motorola, Inc. 164,600 2,859,102
* MPS Group, Inc. 4,400 41,272
* MRO Software, Inc. 1,700 25,500
* MRV Communications, Inc. 6,300 11,655
* # MSC.Software Corp. 900 9,257
MTS Systems Corp. 1,400 44,674
* Mykrolis Corp. 2,206 29,759
* Nanometrics, Inc. 500 5,640
National Instruments Corp. 4,950 115,088
National Semiconductor Corp. 21,900 440,628
* NCR Corp. 12,000 439,560
* Neoforma, Inc. 700 4,795
* NeoMagic Corp. 20 7
* Neoware Systems, Inc. 500 5,060
* Net2Phone, Inc. 800 1,280
* NETGEAR, Inc. 1,000 19,670
* NetIQ Corp. 2,600 28,704
* Netopia, Inc. 500 1,673
* NetRatings, Inc. 1,323 18,019
* Netscout System, Inc. 900 5,544
* Network Appliance, Inc. 20,900 601,084
* Network Engines, Inc. 600 1,020
* Network Equipment Technologies, Inc. 1,000 5,590
* Newport Corp. 2,000 28,100
* NIC, Inc. 3,400 14,926
* Niku Corp. 600 9,024
* NMS Communications Corp. 2,600 8,450
* Novatel Wireless, Inc. 1,900 23,693
* Novell, Inc. 25,400 148,590
* Novellus Systems, Inc. 9,463 252,189
* Nu Horizons Electronics Corp. 100 588
* Nvidia Corp. 10,600 288,214
* NYFIX, Inc. 800 4,040
* # OmniVision Technologies, Inc. 3,500 55,370
* ON Semiconductor Corp. 9,000 40,500
* Online Resources Corp. 600 5,844
* ONYX Software Corp. 300 1,005
* Openwave Systems, Inc. 3,533 54,938
* Opsware, Inc. 5,000 24,850
* Optical Communication Products, Inc. 700 1,253
* Oracle Corp. 290,550 3,724,851
* OSI Systems, Inc. 200 2,980
* Overland Storage, Inc. 500 4,845
* Packeteer, Inc. 2,000 23,740
* # PalmOne, Inc. 3,000 85,260
* PalmSource, Inc. 709 7,111
* Paradyne Networks Corp. 858 1,690
* Parametric Technology Corp. 15,850 95,417
Park Electrochemical Corp. 1,300 30,160
* # Parkervision, Inc. 600 2,700
* Paxar Corp. 2,200 38,764
Paychex, Inc. 22,200 641,136
* PC Connection, Inc. 1,100 5,621
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* PC-Tel, Inc. 500 3,655
* PDF Solutions, Inc. 1,400 16,436
* PEC Solutions, Inc. 1,900 29,469
* Pegasus Solutions, Inc. 200 2,152
* Pegasystems, Inc. 1,500 8,955
* Perot Systems Corp. 7,600 98,192
* Phoenix Technologies, Ltd. 100 812
* Photon Dynamics, Inc. 1,100 21,241
* Photronics, Inc. 2,100 48,363
* Pinnacle Systems, Inc. 3,700 21,867
* Pixelworks, Inc. 1,000 8,570
* Planar Systems, Inc. 500 4,020
Plantronics, Inc. 3,100 106,702
* PLATO Learning, Inc. 600 4,584
* Plexus Corp. 1,900 26,125
* PLX Technology, Inc. 1,600 12,192
* PMC-Sierra, Inc. 10,500 92,085
* Polycom, Inc. 400 6,844
* Portal Software, Inc. 1,000 1,970
* Power Intergrations, Inc. 1,800 42,876
* Powerwave Technologies, Inc. 1,300 11,869
* Presstek, Inc. 1,900 16,226
* Progress Software Corp. 2,200 64,174
QAD, Inc. 1,700 11,934
* QLogic Corp. 5,600 179,312
Qualcomm, Inc. 107,600 4,009,176
Quality Systems, Inc. 1,200 72,156
* Quantum Corp. 7,400 19,240
* Quest Software, Inc. 6,000 79,350
* QuickLogic Corp. 900 3,933
* Quovadx, Inc. 439 1,194
* Radiant Systems, Inc. 1,600 16,736
* RadiSys Corp. 1,260 20,374
* Raindance Communictions, Inc. 200 410
* Rambus, Inc. 5,700 87,381
* RealNetworks, Inc. 10,300 52,633
* Red Hat, Inc. 10,800 136,512
* Redback Networks, Inc. 2,400 13,680
* REMEC, Inc. 1,627 10,174
Renaissance Learning, Inc. 1,687 33,352
Reynolds & Reynolds Co. 3,700 100,973
* RF Micro Devices, Inc. 10,800 50,220
* RF Monolithics, Inc. 300 1,890
Richardson Electronics, Ltd. 400 3,560
* Riverstone Networks, Inc. 1,800 1,265
* Rofin-Sinar Technologies, Inc. 500 16,150
* Rogers Corp. 1,000 41,390
* RSA Security, Inc. 4,400 54,120
* Rudolph Technologies, Inc. 900 12,978
* S1 Corp. 4,300 19,264
Sabre Holdings Corp. 8,200 164,574
* Safeguard Scientifics, Inc. 2,000 1,980
* SafeNet, Inc. 987 31,012
* Sandisk Corp. 12,198 318,246
* Sanmina-SCI Corp. 31,700 162,621
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* Sapient Corp. 6,600 55,440
* SBS Technologies, Inc. 500 4,855
* ScanSoft, Inc. 4,130 16,768
* ScanSource, Inc. 900 44,181
Scientific-Atlanta, Inc. 10,800 359,640
* SCM Microsystems, Inc. 400 1,188
* Seachange International, Inc. 1,600 12,640
* Secure Computing Corp. 900 10,098
* SeeBeyond Technology Corp. 4,600 13,708
* Selectica, Inc. 600 1,902
* Semitool, Inc. 1,700 14,909
* Semtech Corp. 4,300 78,432
* Serena Software, Inc. 2,600 50,882
* Siebel Systems, Inc. 35,189 324,443
* # Sigma Designs, Inc. 500 3,950
* Silicon Image, Inc. 3,900 45,786
* Silicon Laboratories, Inc. 2,000 55,460
* Silicon Storage Technology, Inc. 4,900 16,856
* SimpleTech, Inc. 2,327 8,145
* Skyworks Solutions, Inc. 8,500 53,805
* SM&A 500 4,380
* Solectron Corp. 62,200 227,030
* SonicWALL, Inc. 3,100 19,158
* Sonus Networks, Inc. 3,200 14,240
SpectraLink Corp. 1,000 11,520
* SPSS, Inc. 600 10,488
* SRA International, Inc. 2,200 74,690
* SRS Labs, Inc. 600 3,365
SS&C Technologies, Inc. 1,700 50,830
* Standard Microsystems Corp. 300 4,878
StarTek, Inc. 600 8,370
* # STATS ChipPAC, Ltd. 1,392 10,050
* Stellent, Inc. 500 3,785
* Storage Technology Corp. 7,400 238,872
* Stratasys, Inc. 800 25,888
* Stratex Networks, Inc. 1,800 3,150
* Sun Microsystems, Inc. 225,900 860,679
* Sungard Data Systems, Inc. 18,000 624,780
* Supertex, Inc. 600 10,434
* SupportSoft, Inc. 2,400 12,432
* Sybase, Inc. 5,000 102,000
* Sycamore Networks, Inc. 11,858 40,080
* Sykes Enterprises, Inc. 1,700 14,076
* Symantec Corp. 42,600 963,186
Symbol Technologies, Inc. 16,400 188,764
* Symmetricom, Inc. 2,800 31,584
* Synaptics, Inc. 1,500 28,845
* Synopsys, Inc. 7,396 133,646
* Synplicity, Inc. 700 4,270
Syntel, Inc. 2,100 32,886
* Take-Two Interactive Software, Inc. 4,700 121,072
TALX Corp. 1,500 41,880
* Taser International, Inc. 600 6,804
* Tech Data Corp. 3,600 129,240
Technitrol, Inc. 1,600 21,008
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* Tekelec 3,900 53,079
Tektronix, Inc. 5,645 127,972
* TeleCommunication Systems, Inc. 1,100 2,827
* # Telkonet, Inc. 2,200 9,240
* Tellabs, Inc. 28,115 231,105
* Telular Corp. 300 1,170
* Teradyne, Inc. 12,500 162,625
* Terayon Communication Systems, Inc. 3,600 11,412
* Terremark Worldwide, Inc. 7,600 52,288
Texas Instruments, Inc. 113,800 3,145,432
* Therma-Wave, Inc. 700 1,092
* TheStreet.com, Inc. 610 1,891
* THQ, Inc. 2,400 66,936
* TIBCO Software, Inc. 13,700 86,858
* Tier Technologies, Inc. Class B 500 4,420
* Titan Corp. 5,200 114,400
Total System Services, Inc. 13,000 316,550
* Transaction Systems Architects, Inc. 2,100 47,838
* Trident Microsystems, Inc. 1,400 29,652
* Trimble Navigation, Ltd. 3,295 130,844
* Triquint Semiconductor, Inc. 2,800 9,492
* TTM Technologies, Inc. 2,700 21,438
* Tumbleweed Communications Corp. 1,400 3,080
* Tut Systems, Inc. 700 2,114
* Tyler Technologies, Inc. 2,400 15,624
* Ulticom, Inc. 2,500 23,000
* Ultimate Software Group, Inc. 1,200 19,104
* Ultratech, Inc. 1,700 29,801
* Unisys Corp. 21,400 154,936
United Online, Inc. 3,650 47,231
* Universal Display Corp. 1,700 15,980
* Unova, Inc. 3,800 78,204
* VA Software Corp. 2 3
* ValueClick, Inc. 5,100 54,672
* Varian Semiconductor Equipment Associates, Inc. 2,400 97,392
* Veeco Instruments, Inc. 1,900 28,633
* # Verilink Corp. 500 795
* Verint Systems, Inc. 1,700 59,500
* VeriSign, Inc. 15,500 501,425
* Veritas Software Corp. 23,100 574,497
* Verity, Inc. 1,500 12,795
* Viasat, Inc. 1,700 34,493
* Viewpoint Corp. 900 1,305
* Vignette Corp. 2,600 3,016
* # Viisage Technology, Inc. 2,600 11,128
* Virage Logic Corp. 200 2,208
* Vishay Intertechnology, Inc. 14,212 183,335
* Vitesse Semiconductor, Inc. 11,900 29,750
* Vitria Technology, Inc. 1,100 3,520
* Vyyo, Inc. 500 3,090
* WatchGuard Technologies, Inc. 600 2,178
* WebEx Communications, Inc. 2,500 67,150
* webMethods, Inc. 2,300 11,569
* Websense, Inc. 1,300 69,823
* Westell Technologies, Inc. 3,000 17,970
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* Western Digital Corp. 12,400 186,124
* White Electronics Designs Corp. 400 1,996
* Wind River Systems, Inc. 4,800 78,672
Wireless Telecom Group, Inc. 500 1,265
* Witness Systems, Inc. 1,600 27,808
Woodhead Industries, Inc. 100 1,283
* Xerox Corp. 66,100 896,977
Xilinx, Inc. 21,900 607,725
X-Rite, Inc. 1,200 13,272
* Yahoo!, Inc. 78,000 2,901,600
* Zebra Technologies Corp. Class A 4,350 185,658
* # Zhone Technologies, Inc. 1,500 4,065
* # Zix Corp. 971 3,195
* Zoran Corp. 1,805 22,274
* Zygo Corp. 500 4,840
-----------------
Total Information Technology
(Cost $114,164,926) 128,397,268
-----------------
Health Care -- (14.0%)
* # aaiPharma, Inc. 348 97
Abbott Laboratories 87,200 4,206,528
* Abgenix, Inc. 5,400 38,880
* Abiomed, Inc. 1,100 10,307
* # Able Laboratories, Inc. 1,000 4,270
* # Acacia Research-CombiMatrix 461 1,328
* Accredo Health, Inc. 2,850 127,737
* Adolor Corp. 2,400 22,944
* Advanced Medical Optics, Inc. 3,481 134,409
* Advanced Neuromodulation Systems, Inc. 1,250 44,450
* Advancis Pharmaceutical Corp. 100 446
* # ADVENTRX Pharmaceuticals, Inc. 900 1,926
Aetna, Inc. 11,300 881,513
* Affymetrix, Inc. 3,600 192,564
* Air Methods Corp. 500 3,390
* # Aksys, Ltd. 900 2,700
* Albany Molecular Research, Inc. 1,000 11,910
* Alexion Pharmaceuticals, Inc. 1,600 36,400
* Align Technology, Inc. 3,100 22,537
* Alkermes, Inc. 5,000 58,000
Allergan, Inc. 7,900 610,749
* Alliance Imaging, Inc. 2,600 26,078
* Allied Healthcare International, Inc. 100 692
* Allos Therapeutics, Inc. 800 1,680
* Allscripts Healthcare Solutions, Inc. 2,300 37,628
Alpharma, Inc. Class A 1,500 19,305
* Amedisys, Inc. 1,000 30,210
* America Services Group, Inc. 850 16,737
* American Healthways, Inc. 1,900 74,613
* American Medical Systems Holdings, Inc. 3,900 77,844
* American Pharmaceutical Partners, Inc. 4,300 188,856
* American Retirement Corp. 1,800 24,642
* AMERIGROUP Corp. 3,500 137,340
AmerisourceBergen Corp. 8,000 516,560
* Amgen, Inc. 80,158 5,016,288
* AMICAS, Inc. 1,600 6,816
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* AMN Healthcare Services, Inc. 1,900 27,436
* Amsurg Corp. 1,850 49,876
* Amylin Pharmaceuticals, Inc. 5,200 83,096
Analogic Corp. 700 29,743
* Andrx Corp. 4,800 95,904
* Anika Therapeutics, Inc. 400 6,052
* # Antigenics, Inc. 2,600 17,420
* # Aphton Corp. 1,000 690
Applera Corp. - Applied Biosystems Group 7,300 156,293
* Applera Corp. - Celera Genomics Group 2,800 27,776
* Apria Healthcare Group, Inc. 3,200 100,800
* Arena Pharmaceuticals, Inc. 1,100 7,535
* Ariad Pharmaceuticals, Inc. 2,900 17,487
* Array BioPharma, Inc. 2,300 14,352
Arrow International, Inc. 2,700 91,260
* Arthrocare Corp. 1,000 32,240
* Aspect Medical Systems, Inc. 1,200 38,592
* # AtheroGenics, Inc. 1,500 21,375
* ATS Medical, Inc. 300 975
* AVANIR Pharmaceuticals Class A 5,200 12,896
* Avant Immunotherapeutics, Inc. 566 804
* AVI BioPharma, Inc. 800 1,888
* Avigen, Inc. 200 598
Bard (C.R.), Inc. 7,200 491,400
* Barr Laboratories, Inc. 6,525 331,601
Bausch & Lomb, Inc. 3,700 288,933
Baxter International, Inc. 34,500 1,273,050
Beckman Coulter, Inc. 4,200 294,252
Becton Dickinson & Co. 16,200 930,690
* Bentley Pharmaceuticals, Inc. 1,000 10,890
* Beverly Enterprises, Inc. 5,700 70,509
* BioCryst Pharmaceuticals, Inc. 897 4,180
* Bioenvision, Inc. 1,900 12,388
* Biogen Idec, Inc. 23,755 928,821
# BioLase Technology, Inc. 1,000 7,060
* BioMarin Pharmaceutical, Inc. 2,200 14,960
Biomet, Inc. 17,500 659,575
* Bio-Rad Laboratories, Inc. Class A 200 10,776
* BioSante Pharmaceuticals, Inc. 400 1,480
* BioScrip, Inc. 845 4,419
* Biosite, Inc. 1,200 65,652
* Biosource International, Inc. 100 1,016
* BioSphere Medical, Inc. 300 1,413
* Bone Care International, Inc. 1,500 49,110
* Boston Scientific Corp. 49,400 1,338,246
* # Bradley Pharmaceuticals, Inc. 900 9,009
Bristol-Myers Squibb Co. 97,200 2,464,992
* Bruker BioSciences Corp. 4,210 17,682
* Caliper Life Sciences, Inc. 900 5,544
* CancerVax Corp. 200 596
* Candela Corp. 758 7,754
* Cantel Medical Corp. 1,150 35,305
* Caraco Pharmaceutical Laboratories, Ltd. 100 718
* Cardiac Sciences, Inc. 1,600 1,568
Cardinal Health, Inc. 29,182 1,690,513
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* CardioDynamics International Corp. 1,500 3,330
* Caremark Rx, Inc. 30,898 1,379,905
* Celgene Corp. 9,900 419,166
* # Cell Genesys, Inc. 2,495 14,496
* # Cell Therapeutics, Inc. 2,000 5,940
* Centene Corp. 2,700 86,805
* Cephalon, Inc. 1,840 78,053
* Cepheid, Inc. 2,300 20,930
* # Cerner Corp. 2,400 156,840
* Cerus Corp. 500 2,045
* Charles River Laboratories International, Inc. 4,620 222,176
Chemed Corp. 1,600 67,648
* Chiron Corp. 13,000 488,020
* Cholestech Corp. 400 3,660
Cigna Corp. 9,500 923,875
* Closure Medical Corp. 800 21,576
CNS, Inc. 900 18,900
* Collagenex Pharmaceuticals, Inc. 400 1,972
* Columbia Laboratories, Inc. 100 260
* Community Health Systems, Inc. 6,100 221,857
* Compex Technologies, Inc. 400 1,504
Computer Programs & Systems, Inc. 600 20,328
* Conceptus, Inc. 1,000 5,330
* Conmed Corp. 2,100 65,814
* Connetics Corp. 2,100 46,767
Cooper Companies, Inc. 3,165 209,048
* Corgentech, Inc. 200 480
* Corixa Corp. 2,000 8,500
* Cotherix, Inc. 100 910
* Covance, Inc. 4,100 179,006
* Coventry Health Care, Inc. 6,705 466,802
* Critical Therapeutics, Inc. 300 1,758
* Criticare Systems, Inc. 100 464
* Cross Country Healthcare, Inc. 1,600 27,120
* # CryoLife, Inc. 200 1,450
* Cubist Pharmaceuticals, Inc. 3,000 30,030
* Curative Health Services, Inc. 200 514
* Curis, Inc. 1,600 6,336
* CV Therapeutics, Inc. 2,100 42,462
* Cyberonics, Inc. 1,400 51,086
* Cypress Bioscience, Inc. 1,800 21,870
* # Cytogen Corp. 200 1,084
* Cytyc Corp. 4,200 98,322
D&K Healthcare Resources, Inc. 500 4,080
Dade Behring Holdings, Inc. 3,000 200,550
Datascope Corp. 1,300 39,572
* DaVita, Inc. 5,950 274,057
* # Dendreon Corp. 3,366 17,806
* Dendrite International, Inc. 2,600 40,300
Dentsply International, Inc. 5,650 322,333
* DepoMed, Inc. 1,003 4,433
Diagnostic Products Corp. 1,800 78,372
* Digene Corp. 1,200 30,192
* # Digital Angel Corp. 1,300 5,096
* Discovery Laboratories, Inc. 2,500 17,625
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* Diversa Corp. 2,700 13,500
* DJ Orthopedics, Inc. 1,600 44,400
* DOV Pharmaceutical, Inc. 1,200 18,120
* # Durect Corp. 100 359
* DUSA Pharmaceuticals, Inc. 600 6,714
* Dyax Corp. 1,400 6,510
* # Dynacq Healthcare, Inc. 500 2,355
* Edwards Lifesciences Corp. 3,200 146,272
Eli Lilly & Co. 63,100 3,678,730
* # Elite Pharmaceuticals, Inc. 400 1,200
* Emisphere Technologies, Inc. 700 2,716
* Encore Medical Corp. 3,100 15,748
* Encysive Pharmaceuticals, Inc. 3,500 35,700
* Endologix, Inc. 800 3,480
* Entremed, Inc. 300 801
* Enzo Biochem, Inc. 2,206 33,686
* Eon Labs, Inc. 4,700 144,008
* EPIX Pharmaceuticals, Inc. 1,200 9,516
* eResearch Technology, Inc. 2,550 31,212
* Exact Sciences Corp. 900 2,610
* Exelixis, Inc. 4,400 30,888
* Express Scripts, Inc. 4,700 434,233
* First Horizon Pharmaceutical Corp. 2,300 43,240
* Fisher Scientific International, Inc. 8,148 508,924
* Forest Laboratories, Inc. 22,100 852,618
* Genaissance Pharmaceuticals, Inc. 65 59
* Gene Logic, Inc. 500 1,685
* Genentech, Inc. 61,700 4,889,725
* Genesis HealthCare Corp. 950 41,316
* Gen-Probe, Inc. 1,000 38,860
* Gentiva Health Services, Inc. 200 3,178
* Genzyme Corp. 16,068 1,002,483
* # Geron Corp. 3,400 27,200
* Gilead Sciences, Inc. 26,400 1,077,120
* GTC Biotherapeutics, Inc. 100 134
Guidant Corp. 17,800 1,315,242
* Guilford Pharmaceuticals, Inc. 1,300 3,276
* Haemonetics Corp. 1,600 65,120
* Hanger Orthopedic Group, Inc. 1,000 5,100
* Harvard Bioscience, Inc. 1,000 3,220
HCA, Inc. 31,194 1,684,476
Health Management Associates, Inc. 17,200 433,784
* Health Net, Inc. 8,300 284,109
* HealthExtras, Inc. 2,200 37,708
* HealthTronics Surgical Services, Inc. 2,200 27,918
* # Hemispherx Biopharma, Inc. 102 163
Hillenbrand Indutries, Inc. 3,700 186,702
* Hi-Tech Pharmacal, Inc. 500 15,030
* HMS Holdings Corp. 500 3,100
* # Hollis-Eden Pharmaceuticals, Inc. 500 4,245
* Hologic, Inc. 1,200 44,172
Hooper Holmes, Inc. 2,500 10,000
* Hospira, Inc. 7,420 282,554
* Human Genome Sciences, Inc. 8,500 95,880
* Humana, Inc. 11,700 425,412
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* ICOS Corp. 3,400 73,440
* ICU Medical, Inc. 850 28,025
* IDEXX Laboratories, Inc. 2,300 132,779
* IDX Systems Corp. 2,000 63,800
* I-Flow Corp. 1,200 19,608
* Illumina, Inc. 2,100 22,050
* ImClone Systems, Inc. 1,200 39,768
* # Immtech International, Inc. 500 6,360
* Immucor, Inc. 2,637 88,340
* ImmunoGen, Inc. 2,300 13,708
* # Immunomedics, Inc. 1,400 2,520
* Impath, Inc. 1,000 4,440
* Impax Laboratoroes, Inc. 2,900 47,560
* # Implant Sciences Corp. 200 568
IMS Health, Inc. 15,100 370,705
* Incyte Corp. 3,888 29,665
* # Insmed, Inc. 200 254
* Inspire Pharmaceuticals, Inc. 2,800 18,200
* Integra LifeSciences Holdings 1,900 63,498
* Intermagnetics General Corp. 1,800 51,966
* InterMune, Inc. 1,800 21,618
* # Introgen Therapeutics, Inc. 100 714
* Intuitive Surgical, Inc. 2,000 99,000
Invacare Corp. 2,100 93,681
* Invitrogen Corp. 3,700 293,521
* IRIS International, Inc. 800 15,288
* Isis Pharmaceuticals, Inc. 1,000 3,660
* # Isolagen, Inc. 1,000 4,070
* Ista Pharmaceuticals, Inc. 800 6,336
* IVAX Corp. 16,925 332,576
Johnson & Johnson 172,900 11,601,590
* Kendle International, Inc. 100 1,153
* # Kensey Nash Corp. 800 21,760
* Keryx Biopharmaceuticals, Inc. 1,400 17,136
* Kindred Healthcare, Inc. 2,600 100,308
* Kinetic Concepts, Inc. 2,500 160,625
* King Pharmaceuticals, Inc. 12,900 122,034
* Kos Pharmaceuticals, Inc. 2,400 138,552
* Kosan Biosciences, Inc. 1,060 5,014
* K-V Pharmaceutical Co. Class A 2,050 40,795
* Kyphon, Inc. 2,500 71,725
* LabOne, Inc. 1,400 53,956
* Laboratory Corp. of America Holdings 9,300 450,585
* Lannet Co., Inc. 850 4,250
* Laserscope 1,300 44,759
LCA-Vision, Inc. 1,450 64,061
* Lexicon Genetics, Inc. 4,000 19,360
* Lifecell Corp. 1,600 21,216
* Lifecore Biomedical, Inc. 500 6,380
* LifePoint Hospitals, Inc. 612 27,528
* Ligand Pharmaceuticals, Inc. Class B 3,800 22,192
* Lincare Holdings, Inc. 6,572 288,905
* # Lipid Sciences, Inc. 800 4,224
* Luminex Corp. 1,734 17,271
* Magellan Health Services, Inc. 1,700 55,199
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Manor Care, Inc. 5,500 213,730
* Martek Biosciences Corp. 1,900 71,041
* Matria Healthcare, Inc. 1,200 34,188
* Matrixx Initiatives, Inc. 500 5,270
Matthews International Corp. Class A 2,000 73,980
* Maxygen, Inc. 2,000 15,660
McKesson Corp. 19,800 797,346
* Medarex, Inc. 6,000 45,480
* MedCath Corp. 1,300 33,683
* Medco Health Solutions, Inc. 18,531 926,550
* Medical Action Industries, Inc. 500 8,865
* Medical Staffing Network Holdings, Inc. 1,400 7,602
# Medicis Pharmaceutical Corp. Class A 3,500 98,630
* Medimmune, Inc. 14,122 372,821
Medtronic, Inc. 82,300 4,423,625
Mentor Corp. 2,400 98,184
Merck & Co., Inc. 88,300 2,864,452
* Merge Technologies, Inc. 600 10,440
Meridian Bioscience, Inc. 600 10,950
* Merit Medical Systems, Inc. 1,611 23,569
* Metropolitan Health Networks, Inc. 1,200 3,108
* MGI Pharma, Inc. 4,400 102,080
* Micro Therapeutics, Inc. 1,700 6,800
* Microtek Medical Holdings, Inc. 1,300 4,576
* Millennium Pharmaceuticals, Inc. 20,400 170,748
* Millipore Corp. 3,000 154,470
* Molecular Devices Corp. 1,000 19,320
* Molina Healthcare, Inc. 100 4,280
Mylan Laboratories, Inc. 9,825 162,113
* Myogen, Inc. 100 662
* Myriad Genetics, Inc. 1,800 29,628
* Nabi Biopharmaceuticals 3,700 45,473
* # Nanogen, Inc. 1,400 5,712
* # Nastech Pharmaceutical Co., Inc. 800 9,720
National Healthcare Corp. 100 3,305
* National Medical Health Card Systems, Inc. 500 11,510
* Natus Medical, Inc. 600 6,060
NDCHealth Corp. 2,300 38,548
* Nektar Therapeutics 5,600 102,368
* Neogen Corp. 100 1,456
* Neopharm, Inc. 1,401 13,744
* Neurocrine Biosciences, Inc. 2,000 75,340
* NMT Medical, Inc. 200 1,750
* North American Scientific, Inc. 600 1,800
* Northfield Laboratories, Inc. 1,600 20,896
* NovaMed, Inc. 700 4,333
* # Novavax, Inc. 70 96
* Noven Pharmaceuticals, Inc. 1,400 25,200
* NPS Pharmaceuticals, Inc. 1,100 12,727
* Nutraceutical International Corp. 300 3,957
* Nuvelo, Inc. 1,545 11,464
* # OCA, Inc. 2,100 8,610
* Odyssey Healthcare, Inc. 2,550 33,813
Omnicare, Inc. 7,300 279,736
* Onyx Pharmaceuticals, Inc. 2,000 49,980
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Option Care, Inc. 1,950 25,935
* OraSure Technologies, Inc. 2,600 21,606
* Orchid Biosciences, Inc. 800 7,776
* Orthologic Corp. 1,300 5,278
* Oscient Pharmaceutical Corp. 2,100 3,465
* OSI Pharmaceuticals, Inc. 3,300 122,661
* Osteotech, Inc. 100 289
Owens & Minor, Inc. 2,200 68,200
* Oxigene, Inc. 400 1,836
* PacifiCare Health Systems, Inc. 6,400 402,112
* Pain Therapeutics, Inc. 2,400 12,600
* PainCare Holdings, Inc. 1,600 6,560
* Palomar Medical Technologies, Inc. 1,000 22,850
* Par Pharmaceutical Companies, Inc. 700 22,400
* Parexel International Corp. 1,800 32,850
* Patterson Companies, Inc. 8,000 363,120
* PDI, Inc. 800 9,600
* Pediatrix Medical Group, Inc. 1,500 110,445
* Penwest Pharmaceuticals Co. 1,200 14,496
PerkinElmer, Inc. 7,800 149,214
Perrigo Co. 4,367 67,863
* Per-Se Technologies, Inc. 1,800 34,146
Pfizer, Inc. 428,880 11,965,752
* Pharmaceutical Products Development Service, Inc. 3,500 169,330
* Pharmacopia Drug Discovery, Inc. 78 378
* # Pharmacyclics, Inc. 22 176
* PhotoMedex, Inc. 300 642
PolyMedica Corp. 1,400 49,140
* Possis Medical, Inc. 700 7,371
* Pozen, Inc. 800 5,896
* Priority Healthcare Corp. 1,800 41,184
* Progenics Pharmaceuticals, Inc. 1,200 24,000
* Protein Design Labs, Inc. 5,700 108,870
* PSS World Medical, Inc. 3,800 44,612
* Psychiatric Solutions, Inc. 1,200 49,140
* QLT, Inc. 1,000 10,370
Quest Diagnostics, Inc. 6,500 682,500
* Quidel Corp. 100 438
* Quigley Corp. 500 4,425
* Quinton Cardiology Systems, Inc. 500 3,995
* Radiation Therapy Services, Inc. 200 4,140
* Radiologix, Inc. 700 2,751
* Regeneration Technologies, Inc. 1,500 10,095
* Regeneron Pharmaceuticals, Inc. 3,300 20,559
* RehabCare Group, Inc. 1,300 36,127
* Renal Care Group, Inc. 4,150 191,896
* Renovis, Inc. 1,300 17,225
* Repligen Corp. 1,700 3,893
* Res-Care, Inc. 500 6,665
* ResMed, Inc. 2,100 131,187
* Respironics, Inc. 2,325 155,403
* Rigel Pharmaceuticals, Inc. 300 5,367
* Sangamo BioSciences, Inc. 400 1,500
* Savient Pharmaceuticals, Inc. 2,400 8,064
* Schein (Henry), Inc. 5,700 229,653
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Schering-Plough Corp. 100,200 1,953,900
* Sciclone Pharmaceuticals, Inc. 500 1,245
* Seattle Genetics, Inc. 1,000 4,830
* # Senesco Technologies, Inc. 200 436
* Sepracor, Inc. 5,700 346,332
* Serologicals Corp. 2,100 45,129
* SFBC International, Inc. 1,150 40,262
* Sierra Health Services, Inc. 1,800 118,926
* # Sirna Therapeutics, Inc. 1,300 2,860
* Sonic Innovations, Inc. 100 435
* SonoSite, Inc. 1,500 46,050
* # Sonus Pharmaceuticals, Inc. 400 1,296
* Specialty Laboratories, Inc. 1,100 9,042
* Spectranetics Corp. 700 3,997
* Spectrum Pharmaceuticals, Inc. 500 2,605
* St. Jude Medical, Inc. 21,300 854,556
* Staar Surgical Co. 700 2,751
Steris Corp. 5,000 121,000
* Strategic Diagnostics, Inc. 100 281
Stryker Corp. 27,400 1,333,010
* Suncoast Naturals, Inc. 21 2
* # Sunrise Senior Living, Inc. 1,000 52,150
* SuperGen, Inc. 2,800 14,084
* SurModics, Inc. 1,200 47,304
* Sybron Dental Specialties, Inc. 2,400 88,968
* Symbion, Inc. 100 2,360
* Synovis Life Technologies, Inc. 500 3,825
* Tanox, Inc. 2,800 27,720
* Techne Corp. 2,633 122,698
* Telik, Inc. 2,700 38,502
* Tenet Healthcare Corp. 32,600 395,112
* The Medicines Co. 2,800 61,432
* Theragenics Corp. 667 2,288
* Thermo Electron Corp. 10,300 271,096
* Third Wave Technologies, Inc. 335 1,260
* Thoratec Corp. 3,100 46,314
* Titan Pharmaceuticals, Inc. 900 1,935
* # Transkaryotic Therapies, Inc. 1,900 64,581
* Triad Hospitals, Inc. 5,200 263,744
* Trimeris, Inc. 1,200 12,180
* TriPath Imaging, Inc. 2,000 17,180
* TriZetto Group, Inc. 2,400 33,312
* U.S. Physical Therapy, Inc. 600 9,618
* United Surgical Partners International, Inc. 2,000 96,280
* United Therapeutics Corp. 1,300 64,948
UnitedHealth Group, Inc. 95,964 4,661,931
Universal Health Services, Inc. 3,700 216,191
* V.I. Technologies, Inc. 100 295
Valeant Pharmaceuticals International 5,300 109,339
* Varian Medical Systems, Inc. 8,200 308,402
* Varian, Inc. 2,400 89,280
* # Vascular Solutions, Inc. 500 5,990
* Vaxgen, Inc. 1,000 9,940
* VCA Antech, Inc. 5,000 123,800
* Ventana Medical Systems, Inc. 2,100 88,725
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* Ventiv Health, Inc. 1,500 30,450
* Vertex Pharmaceuticals, Inc. 4,400 61,248
* Viasys Healthcare, Inc. 462 10,742
* Vical, Inc. 100 380
* Vicuron Pharmaceuticals, Inc. 3,400 56,032
* Virbac Corp. 100 328
* Virologic, Inc. 3,140 8,572
* # ViroPharma, Inc. 500 2,175
* # Vital Images, Inc. 600 10,710
Vital Signs, Inc. 900 37,953
* Vivus, Inc. 1,200 2,856
* Waters Corp. 6,900 268,065
* Watson Pharmaceuticals, Inc. 7,300 219,438
* WebMD Corp. 20,800 196,144
* WellChoice, Inc. 6,100 348,310
* WellPoint, Inc. 22,245 2,958,585
West Pharmaceutical Services, Inc. 1,600 44,544
* Wilson Greatbatch Technologies, Inc. 1,400 33,656
* Wright Medical Group, Inc. 2,100 57,834
Wyeth 72,400 3,139,988
* Zila, Inc. 1,500 4,350
* Zimmer Holdings, Inc. 15,200 1,164,016
* Zymogenetics, Inc. 3,400 59,194
-----------------
Total Health Care
(Cost $95,582,173) 112,308,020
-----------------
Consumer Discretionary -- (14.0%)
* 1-800 CONTACTS, Inc. 800 15,632
* 1-800-FLOWERS.COM, Inc. 166 1,230
* 4Kids Entertainment, Inc. 1,000 19,000
* 99 Cents Only Stores 4,000 48,480
* A.C. Moore Arts & Crafts, Inc. 1,195 35,563
Aaron Rents, Inc. 2,800 63,308
Abercrombie & Fitch Co. 5,600 321,048
* Acme Communications, Inc. 400 1,584
Action Performance Companies, Inc. 400 3,724
* Advance Auto Parts, Inc. 4,300 254,861
* Advanced Marketing Services, Inc. 700 2,852
Advo, Inc. 1,850 57,442
* Aeropostale, Inc. 3,200 87,200
* AFC Enterprises, Inc. 1,200 30,600
* Aftermarket Technology Corp. 1,400 21,476
Aldila, Inc. 200 4,648
* Alliance Gaming Corp. 3,300 42,867
* Alloy, Inc. 1,000 5,140
* Amazon.com, Inc. 23,200 823,832
Ambassadors Group, Inc. 600 21,690
American Axle & Manufacturing Holdings, Inc. 3,500 72,450
American Eagle Outfitters, Inc. 9,600 271,680
American Greetings Corp. Class A 4,500 116,910
* America's Car-Mart, Inc. 1,050 22,470
Ameristar Casinos, Inc. 1,600 82,144
* AnnTaylor Stores Corp. 4,675 120,428
* Apollo Group, Inc. Class A 10,250 804,625
Applebees International, Inc. 5,400 147,258
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* Arbitron, Inc. 400 16,136
Arctic Cat, Inc. 800 17,280
* Argosy Gaming Corp. 1,500 69,555
* Asbury Automotive Group, Inc. 3,800 55,860
* Ashworth, Inc. 600 5,760
* Audiovox Corp. Class A 800 11,704
* AutoNation, Inc. 16,300 325,837
* Autozone, Inc. 4,000 362,080
* # Avatar Holdings, Inc. 100 4,790
* Aztar Corp. 2,400 76,656
* # Bally Total Fitness Holding Corp. 1,500 4,560
Bandag, Inc. 400 18,512
* Barnes & Noble, Inc. 4,800 181,680
* Barry (R.G.) Corp. 100 450
* Beasley Broadcast Group, Inc. 405 6,512
Beazer Homes USA, Inc. 2,700 144,342
# Bebe Stores, Inc. 3,800 146,338
* Bed Bath and Beyond, Inc. 17,800 723,570
Belo Corp. Class A 5,500 135,190
Best Buy Co., Inc. 20,500 1,115,815
* Big Lots, Inc. 5,200 65,832
* BJ's Restaurants, Inc. 1,100 20,240
Black & Decker Corp. 5,200 454,064
Blair Corp. 200 7,810
# Blockbuster, Inc. Class A 8,100 73,953
Blockbuster, Inc. Class B 4,600 39,330
* Blount International, Inc. 1,700 30,022
* Bluegreen Corp. 1,400 23,604
Blyth, Inc. 2,600 73,684
Bob Evans Farms, Inc. 1,100 25,740
* Bombay Co., Inc. 1,100 5,863
Bon-Ton Stores, Inc. 600 10,842
Borders Group, Inc. 4,400 111,276
BorgWarner, Inc. 4,100 219,186
Boyd Gaming Corp. 5,900 311,874
* Boyds Collection, Ltd. 3,200 7,008
* # Brillian Corp. 25 78
* Brinker International, Inc. 5,800 218,196
* Brookstone, Inc. 1,125 22,657
Brown Shoe Company, Inc. 900 31,590
Brunswick Corp. 7,800 335,712
Buckle, Inc. 300 11,838
Building Materials Holding Corp. 800 49,624
Burlington Coat Factory Warehouse Corp. 1,700 56,355
* Cablevision Systems New York Group Class A 11,900 304,402
* Cache, Inc. 665 8,698
* Caesars Entertainment, Inc. 17,200 370,660
* California Pizza Kitchen, Inc. 1,200 28,800
Callaway Golf Co. 2,800 32,732
* Candie's, Inc. 800 4,248
* Capital Pacific Holdings, Inc. 100 412
* Career Education Corp. 6,400 221,888
* CarMax, Inc. 6,399 163,366
Carmike Cinemas, Inc. 900 29,439
* Carter's, Inc. 200 9,330
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* Casual Male Retail Group, Inc. 1,900 13,395
Catalina Marketing Corp. 3,200 76,800
Cato Corp. Class A 900 25,974
* Cavalier Homes, Inc. 600 2,190
* Cavco Industries, Inc. 300 8,073
CBRL Group, Inc. 3,000 122,160
* CEC Entertainment, Inc. 2,300 93,265
Centex Corp. 8,500 556,580
* Champion Enterprises, Inc. 900 8,757
* Champps Entertainment, Inc. 500 4,025
* Charles and Colvard, Ltd. 800 16,176
* Charlotte Russe Holding, Inc. 1,000 11,950
* Charming Shoppes, Inc. 5,400 48,762
* # Charter Communications, Inc. 5,525 6,298
* Checkers Drive-In Restaurants, Inc. 100 1,439
* Cheesecake Factory, Inc. 4,800 169,488
* Chicos FAS, Inc. 10,500 359,205
Choice Hotels International, Inc. 1,700 111,520
Christopher & Banks Corp. 1,950 35,685
* Chromcraft Revington, Inc. 100 1,200
Circuit City Stores, Inc. 10,200 167,178
* Citadel Broadcasting Co. 3,700 43,919
CKE Restaurants, Inc. 3,100 51,150
Claire's Stores, Inc. 5,900 139,122
Clear Channel Communications, Inc. 29,935 875,000
* Coach, Inc. 23,300 676,632
Coachmen Industries, Inc. 500 6,125
* Coldwater Creek, Inc. 2,830 63,590
# Collegiate Pacific, Inc. 200 1,764
* # Collins & Aikman Corp. 3,600 409
* Columbia Sportswear Co. 3,000 135,360
* Comcast Corp. Class A 98,224 3,162,813
* Comcast Corp. Special Class A Non-Voting 55,700 1,762,348
* Concord Camera Corp. 900 1,170
* Conn's, Inc. 100 1,909
Cooper Tire & Rubber Co. 2,400 45,696
* Corinthian Colleges, Inc. 5,500 85,030
* Cost Plus, Inc. 1,600 37,216
* Cox Radio, Inc. 2,600 42,302
* Crown Media Holdings, Inc. 3,800 35,682
* CSK Auto Corp. 2,600 44,018
CSS Industries, Inc. 150 4,620
* Culp, Inc. 400 1,740
* Cumulus Media, Inc. Class A 2,700 33,723
Cutter & Buck, Inc. 300 3,939
Dana Corp. 7,000 94,850
Darden Restaurants, Inc. 9,850 319,928
Deb Shops, Inc. 100 3,021
* Deckers Outdoor Corp. 100 2,422
Delphi Corp. 24,500 106,575
* Department 56, Inc. 500 5,580
* DeVry, Inc. 4,400 90,420
Dillards, Inc. Class A 4,800 114,816
Disney (Walt) Co. 140,100 3,844,344
* Dixie Group, Inc. 390 5,780
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Dollar General Corp. 20,600 403,966
* Dollar Tree Stores, Inc. 7,300 181,040
Dow Jones & Co., Inc. 3,400 120,700
* DreamWorks Animation SKG, Inc. 2,400 70,560
* Drew Industries, Inc. 600 24,600
* drugstore.com, Inc. 4,900 16,856
Eastman Kodak Co. 17,400 457,272
* eBay, Inc. 63,100 2,398,431
EchoStar Communications Corp. Class A 12,800 374,144
* eCost.com, Inc. 603 1,907
* Education Management Corp. 4,500 146,025
* Electronics Boutique Holdings Corp. 1,500 88,965
* EMAK Worldwide, Inc. 100 1,100
* Emerson Radio Corp. 1,400 3,612
* # Emmis Communications Corp. Class A 2,800 49,728
* Enesco Group, Inc. 500 1,925
* Entercom Communications Corp. 2,900 96,280
* Entravision Communications Corp. 2,800 20,804
Ethan Allen Interiors, Inc. 1,900 59,280
Family Dollar Stores, Inc. 10,300 264,401
* Famous Dave's of America, Inc. 100 1,085
Federated Department Stores, Inc. 11,200 755,440
Finish Line, Inc. Class A 3,700 73,704
* # Fleetwood Enterprises, Inc. 3,800 36,366
Foot Locker, Inc. 10,700 282,587
Ford Motor Co. 86,860 866,863
Fortune Brands, Inc. 8,100 700,650
* Fossil, Inc. 3,650 77,927
* Fox & Hound Restaurant Group 300 3,690
Fred's, Inc. 2,575 38,187
* # Friedmans, Inc. Class A 50 49
Furniture Brands International, Inc. 2,400 48,264
* # GameStop Corp. 1,200 34,992
Gannett Co., Inc. 16,600 1,236,036
Gap, Inc. 54,600 1,146,600
* Gaylord Entertainment Co. 1,737 73,006
* Gemstar-TV Guide International, Inc. 26,800 91,120
General Motors Corp. 13,400 422,502
* Genesco, Inc. 1,500 51,375
Gentex Corp. 8,400 150,192
Genuine Parts Co. 9,600 412,416
* Getty Images, Inc. 3,900 291,876
* Goodyear Tire & Rubber Co. 12,700 182,753
Gray Television, Inc. 1,800 21,150
* Group 1 Automotive, Inc. 1,200 32,052
* # GSI Commerce, Inc. 2,200 32,648
Gtech Holdings, Inc. 6,600 186,384
* Guess, Inc. 2,700 45,468
* Guitar Center, Inc. 1,600 91,184
* Gymboree Corp. 2,100 27,804
H&R Block, Inc. 9,600 479,232
Handleman Co. 900 16,335
Harley-Davidson, Inc. 19,400 951,182
Harman International Industries, Inc. 5,000 414,300
Harrahs Entertainment, Inc. 6,300 452,403
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* Harris Interactive, Inc. 2,223 10,959
Harte-Hanks, Inc. 5,500 161,095
* Hartmarx Corp. 2,100 19,908
Hasbro, Inc. 12,400 250,232
* Hayes Lemmerz International, Inc. 600 3,900
Hearst-Argyle Television, Inc. 3,100 77,376
* Hibbett Sporting Goods, Inc. 1,325 46,534
Hilton Hotels Corp. 25,700 622,711
Hollinger International, Inc. Class A 4,300 39,775
* Hollywood Media Corp. 1,000 4,640
Home Depot, Inc. 141,300 5,560,155
Horton (D.R.), Inc. 20,889 722,133
* Hot Topic, Inc. 2,425 52,065
* Hovnanian Enterprises, Inc. Class A 3,200 198,720
* IAC/InterActiveCorp 44,435 1,088,657
IHOP Corp. 1,200 57,132
* Image Entertainment, Inc. 500 2,005
* IMPCO Technologies, Inc. 600 1,992
* Insight Communications Co., Inc. 1,572 17,764
* Insight Enterprises, Inc. 3,100 60,698
* Interactive Data Corp. 6,100 131,333
* Interface, Inc. Class A 3,200 24,480
International Game Technology 20,300 572,054
International Speedway Corp. Class A 1,900 103,854
* Interpublic Group of Companies, Inc. 26,700 329,478
* INVESTools, Inc. 1,000 3,650
* Isle of Capri Casinos, Inc. 1,800 44,784
* ITT Educational Services, Inc. 3,000 136,170
* J. Jill Group, Inc. 1,150 14,662
* Jack in the Box, Inc. 2,200 91,256
* Jakks Pacific, Inc. 1,300 26,871
* Jarden Corp. 1,850 94,128
* Jo-Ann Stores, Inc. 1,200 32,100
Johnson Controls, Inc. 12,200 691,252
* Johnson Outdoors, Inc. 100 1,751
Jones Apparel Group, Inc. 7,500 239,325
* # Jos. A. Bank Clothiers, Inc. 925 36,463
* Journal Register Co. 2,800 46,508
* K2, Inc. 2,560 32,230
KB Home 6,600 445,764
Kellwood Co. 800 20,128
Kenneth Cole Productions, Inc. Class A 700 21,070
* Keystone Automotive Industries, Inc. 1,200 23,688
Kimball International, Inc. Class B 500 6,150
* Kirkland's, Inc. 400 3,556
Knight-Ridder, Inc. 4,600 290,168
* Kohl's Corp. 20,900 1,017,621
* # Krispy Kreme Doughnuts, Inc. 1,450 11,730
K-Swiss, Inc. Class A 1,800 57,780
* La Quinta Corp. 11,600 100,572
* # Lakes Entertainment, Inc. 100 1,243
* Lamar Advertising Co. 6,000 250,920
Landry's Restaurants, Inc. 1,100 32,967
* Laureate Education, Inc. 3,300 154,110
# La-Z-Boy, Inc. 1,600 21,360
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Lear Corp. 1,600 60,320
Lee Enterprises, Inc. 2,400 99,600
Leggett & Platt, Inc. 11,300 301,032
Lennar Corp. Class A 8,400 487,284
Lennar Corp. Class B 2,360 126,826
Levitt Corp. Class A 1,200 34,560
Libbey, Inc. 600 11,430
Liberty Corp. 800 28,888
* Liberty Media Corp. Class A 186,825 1,941,112
* Liberty Media Corp. Class B 1,900 20,520
* Liberty Media International, Inc. Class A 8,041 336,998
* Liberty Media International, Inc. Class B 95 4,253
Limited Brands, Inc. 22,760 468,173
* Lin TV Corp. 1,400 20,370
* Linens 'n Things, Inc. 2,000 48,740
Lithia Motors, Inc. Class A 500 13,300
Liz Claiborne, Inc. 7,700 289,135
* LKG Corp. 100 2,482
* Lodgenet Entertainment Corp. 900 15,264
Lone Star Steakhouse & Saloon, Inc. 600 18,126
Lowe's Companies, Inc. 48,400 2,768,964
* Luby's, Inc. 100 824
M/I Homes, Inc. 1,300 65,624
* Madden (Steven), Ltd. 100 1,776
* Magna Entertainment Corp. 300 1,596
* # Manning (Greg) Auctions, Inc. 900 8,577
* MarineMax, Inc. 1,200 33,024
Marriott International, Inc. Class A 14,800 999,592
* # Martha Stewart Living Omnimedia, Inc. 1,500 38,850
* Marvel Enterprises, Inc. 6,200 131,874
Mattel, Inc. 27,000 490,860
May Department Stores Co. 13,200 503,712
# Maytag Corp. 2,500 36,475
McDonald's Corp. 74,700 2,311,218
McGraw-Hill Companies, Inc. 23,800 1,039,108
MDC Holdings, Inc. 3,003 216,847
Media General, Inc. Class A 1,100 67,210
* Mediacom Communications Corp. 5,700 34,656
Meredith Corp. 2,800 138,880
* Meritage Homes Corp. 1,700 123,624
* Mestek, Inc. 100 2,573
* MGM Mirage 19,200 731,328
Michaels Stores, Inc. 7,400 311,614
* Midas, Inc. 1,000 23,500
* Mikohn Gaming Corp. 1,300 16,393
Modine Manufacturing Co. 1,600 48,640
* Mohawk Industries, Inc. 4,854 404,921
Monaco Coach Corp. 1,500 24,615
Movado Group, Inc. 2,200 37,092
Movie Gallery, Inc. 3,150 100,674
* MTR Gaming Group, Inc. 1,800 18,468
* # Multimedia Games, Inc. 1,400 14,938
* National RV Holdings, Inc. 300 2,661
# Nautilus Group, Inc. 1,900 50,863
* Navigant International, Inc. 500 6,330
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Neiman-Marcus Group, Inc. 1,300 126,165
Nelson (Thomas), Inc. 800 18,600
* # Netflix, Inc. 3,000 42,870
* Nevada Gold & Casinos, Inc. 300 3,297
* New Frontier Media, Inc. 100 600
Newell Rubbermaid, Inc. 13,900 316,781
News Corp. Class A 158,328 2,553,831
News Corp., Inc. Class B When Issued 59,800 999,258
NIKE, Inc. Class B 11,700 961,740
Noble International, Ltd. 400 8,260
Nordstrom, Inc. 9,000 549,360
* NTN Communications, Inc. 700 1,526
* Nutri/System, Inc. 1,800 22,068
* NVR, Inc. 400 303,600
Oakley, Inc. 4,200 61,740
* O'Charleys, Inc. 700 12,999
* Office Depot, Inc. 21,450 422,994
OfficeMax, Inc. 6,200 188,170
Omnicom Group, Inc. 11,800 966,302
* O'Reilly Automotive, Inc. 3,738 207,646
# Orleans Homebuilders, Inc. 1,300 29,120
OshKosh B'Gosh, Inc. Class A 500 12,940
Outback Steakhouse, Inc. 4,700 207,975
* # Overstock.com, Inc. 1,100 42,119
Oxford Industries, Inc. 1,200 42,912
* P.F. Chang's China Bistro, Inc. 1,500 88,905
* Pacific Sunwear of California, Inc. 4,500 94,500
* # Palm Harbor Homes, Inc. 1,000 18,730
* Panera Bread Co. 1,900 120,080
* Pantry, Inc. 1,300 50,297
* Papa John's International, Inc. 900 35,100
* Party City Corp. 1,000 13,370
* Payless ShoeSource, Inc. 4,000 67,320
* # PC Mall, Inc. 500 2,475
* Pegasus Communications Corp. 1,000 6,275
* Penn National Gaming, Inc. 4,900 159,593
Penney (J.C.) Co., Inc. 18,600 925,536
Pep Boys - Manny, Moe & Jack 2,600 34,736
* Perry Ellis International, Inc. 600 12,000
* Petco Animal Supplies, Inc. 3,300 99,297
* PetMed Express, Inc. 700 4,942
PETsMART, Inc. 9,400 298,638
Phillips-Van Heusen Corp. 2,300 71,277
Pier 1 Imports, Inc. 4,300 72,197
* Pinnacle Entertainment, Inc. 2,300 40,089
* Pixar, Inc. 7,164 377,758
* # Playboy Enterprises, Inc. Class B 1,800 22,806
Polaris Industries, Inc. 2,800 146,916
Polo Ralph Lauren Corp. 4,000 155,000
* Pomeroy IT Solutions, Inc. 100 1,259
# Pre-Paid Legal Services, Inc. 1,000 37,670
* # Priceline.com, Inc. 2,100 50,295
* PRIMEDIA, Inc. 10,400 37,960
* Princeton Review, Inc. 600 3,282
* ProQuest Co. 1,600 51,360
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* Provide Commerce 600 13,866
Pulitzer, Inc. 500 31,980
Pulte Homes, Inc. 8,900 680,405
# Quaker Fabric Corp. 400 1,392
* # Quantum Fuel Systems Technologies Worldwide, Inc. 1,200 5,100
* Quiksilver, Inc. 8,300 132,136
* R.H. Donnelley Corp. 2,000 122,960
* Radio One, Inc. 1,100 13,882
* Radio One, Inc. 500 6,300
RadioShack Corp. 9,700 244,052
* Rare Hospitality International, Inc. 2,100 65,163
Raytech Corp. 1,000 1,550
* RC2 Corp. 1,600 57,664
Reader's Digest Association, Inc. 6,122 103,707
* Red Robin Gourmet Burgers, Inc. 400 21,952
# Reebok International, Ltd. 3,300 134,343
* Regent Communications, Inc. 1,653 9,918
Regis Corp. 2,700 102,006
* Rent-A-Center, Inc. 5,050 119,483
* Rentrak Corp. 500 5,025
* Rent-Way, Inc. 1,600 14,832
* Restoration Hardware, Inc. 1,100 7,788
* Retail Ventures, Inc. 2,200 24,794
* Rex Stores Corp. 500 7,000
Ross Stores, Inc. 9,500 267,710
* Rubio's Restaurants, Inc. 300 2,745
Ruby Tuesday, Inc. 4,000 101,160
Russ Berrie & Co., Inc. 800 10,408
Russell Corp. 1,500 28,050
* Ryan's Restaurant Group, Inc. 1,850 25,826
Ryland Group, Inc. 3,400 232,900
* Saga Communications, Inc. Class A 1,225 16,905
Saks, Inc. 8,600 147,404
* Salem Communications Corp. 1,400 25,438
* # Salton, Inc. 498 518
* Scholastic Corp. 2,800 105,056
* Scientific Games Corp. 5,100 121,533
SCP Pool Corp. 3,350 119,997
Scripps (E.W.) Co. 8,500 434,350
* Sears Holdings Corp. 7,338 1,076,485
* Select Comfort Corp. 2,200 53,460
Service Corp. International 20,900 158,422
* # Sharper Image Corp. 968 12,865
Sherwin-Williams Co. 7,800 346,710
* Shiloh Industries, Inc. 1,000 11,310
* Shoe Carnival, Inc. 500 9,165
* ShopKo Stores, Inc. 1,200 28,452
* # Shuffle Master, Inc. 1,925 52,745
Sinclair Broadcast Group, Inc. Class A 2,600 22,906
* Six Flags, Inc. 4,600 20,286
* Skechers U.S.A., Inc. Class A 1,300 16,471
* Smith & Wesson Holding Corp. 500 1,900
Snap-On, Inc. 3,100 106,981
Sonic Automotive, Inc. 1,200 25,584
* Sonic Corp. 3,425 116,450
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* Sotheby's Holdings, Inc. Class A 2,600 36,478
* Source Interlink Companies, Inc. 1,800 17,550
* Spanish Broadcasting System, Inc. 2,600 22,490
Spartan Motors, Inc. 300 3,222
Speedway Motorsports, Inc. 2,900 99,470
* Sportsman's Guide, Inc. 600 10,199
* Stage Stores, Inc. 700 27,335
* Stamps.com, Inc. 1,250 27,950
Standard Motor Products, Inc. 100 1,127
Standard Pacific Corp. 2,400 192,288
Stanley Furniture, Inc. 100 4,225
Staples, Inc. 46,350 997,915
* Starbucks Corp. 22,300 1,220,925
Starwood Hotels & Resorts Worldwide, Inc. 13,000 727,610
Station Casinos, Inc. 4,700 305,970
* Steak n Shake Co. 1,800 37,062
* Stein Mart, Inc. 2,400 57,744
* Steinway Musical Instruments, Inc. 200 5,664
Stewart Enterprises, Inc. 5,100 30,192
* Stoneridge, Inc. 1,600 12,512
Strayer Education, Inc. 600 52,200
Stride Rite Corp. 1,900 22,591
Sturm Ruger & Co., Inc. 600 4,884
# Superior Industries International, Inc. 248 5,617
* Systemax, Inc. 100 637
* Tag-It Pacific, Inc. 700 1,638
Talbots, Inc. 3,258 96,600
Target Corp. 58,700 3,152,190
* Tarrant Apparel Group 70 190
* TBC Corp. 1,600 40,848
Technical Olympic USA, Inc. 3,500 76,650
* Tempur-Pedic International, Inc. 5,100 118,983
* Tenneco Automotive, Inc. 3,000 45,000
* The Children's Place Retail Stores, Inc. 1,500 70,065
* The DIRECTV Group, Inc. 94,600 1,412,378
* The Dress Barn, Inc. 1,900 34,390
The Marcus Corp. 1,200 26,436
The McClatchey Co. 1,200 82,800
* The Mens Warehouse, Inc. 2,300 118,151
The Neiman Marcus Group, Inc. 1,800 173,790
The New York Times Co. Class A 8,600 269,782
* The Sports Authority, Inc. 1,296 41,472
The Stanley Works 4,700 209,667
The TJX Companies, Inc. 31,400 720,002
Thor Industries, Inc. 4,000 121,440
Tiffany & Co. 9,300 289,509
* Timberland Co. Class A 3,600 132,696
* Time Warner, Inc. 314,900 5,479,260
* # TiVo, Inc. 4,500 30,330
* Toll Brothers, Inc. 5,200 481,468
* Too, Inc. 2,200 43,736
* # Tower Automotive, Inc. 1,738 184
* Toys R Us, Inc. 12,200 319,640
* Tractor Supply Co. 2,400 106,608
Traffix, Inc. 100 480
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* Trans World Entertainment Corp. 1,530 19,890
Triarc Companies, Inc. Class A 1,300 20,345
Triarc Companies, Inc. Class B 2,000 28,800
Tribune Co. 22,500 814,050
* TRW Automotive Holdings Corp. 900 18,333
* Tuesday Morning Corp. 2,200 66,858
Tupperware Corp. 2,200 49,720
* Unifi, Inc. 1,300 4,173
Unifirst Corp. 800 29,280
United Auto Group, Inc. 2,300 70,840
* UnitedGlobalCom, Inc. 22,800 207,480
* Universal Electronics, Inc. 800 13,344
* Universal Technical Institute, Inc. 200 6,110
* Univision Communications, Inc. Class A 17,005 452,503
* Urban Outfitters, Inc. 4,700 250,698
V.F. Corp. 7,100 400,653
* Vail Resorts, Inc. 2,200 60,500
* Valassis Communications, Inc. 2,300 79,787
* ValueVision Media, Inc. Class A 2,432 23,396
* Varsity Group, Inc. 400 2,408
* Vertrue, Inc. 500 18,900
Viacom, Inc. Class A 8,900 306,516
Viacom, Inc. Class B 107,300 3,679,317
# Visteon Corp. 4,600 35,098
* Warnaco Group, Inc. 2,400 51,216
Washington Post Co. 100 83,000
* WCI Communities, Inc. 2,500 74,750
* Weight Watchers International, Inc. 6,200 301,630
Wendy's International, Inc. 7,000 315,910
* West Marine, Inc. 1,300 21,567
Westwood One, Inc. 6,100 121,085
Whirlpool Corp. 3,700 254,560
* Whitehall Jewelers, Inc. 458 3,320
Wiley (John) & Sons, Inc. Class A 3,200 124,000
* William Lyon Homes, Inc. 1,000 90,000
* Williams-Sonoma, Inc. 6,900 271,377
* Wilsons The Leather Experts, Inc. 1,100 6,457
# Winnebago Industries, Inc. 2,200 71,918
* # WMS Industries, Inc. 1,900 60,363
Wolverine World Wide, Inc. 3,550 81,579
World Wrestling Federation Entertainment, Inc. 1,100 11,924
* Worldwide Restaurant Concepts, Inc. 900 5,769
* XM Satellite Radio Holdings, Inc. 13,200 423,852
Yankee Candle Co., Inc. 2,900 91,495
* Young Broadcasting, Inc. Class A 400 2,304
Yum! Brands, Inc. 19,100 979,639
-----------------
Total Consumer Discretionary
(Cost $94,325,407) 112,298,594
-----------------
Industrials -- (10.6%)
* 3-D Systems Corp. 200 4,240
3M Co. 43,500 3,334,275
* AAR Corp. 1,600 25,664
ABM Industries, Inc. 2,500 47,675
* ABX Air, Inc. 600 4,512
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Aceto Corp. 1,500 10,905
* Active Power, Inc. 1,500 4,020
* Actuant Corp. 1,400 63,000
Acuity Brands, Inc. 600 14,730
Adesa, Inc. 5,700 129,846
Administaff, Inc. 1,600 34,176
* AGCO Corp. 5,900 108,324
* Airtran Holdings, Inc. 5,200 50,752
* # Akorn, Inc. 600 1,764
* Alaska Air Group, Inc. 1,200 35,424
Albany International Corp. Class A 1,900 59,413
Alexander & Baldwin, Inc. 1,800 80,010
* Allegheny Corp. 108 30,267
* Alliant Techsystems, Inc. 2,550 182,835
* Allied Defense Group, Inc. 200 4,768
* Allied Waste Industries, Inc. 21,200 163,452
* Amerco, Inc. 200 10,636
* # America West Holdings Corp. Class B 1,300 7,280
American Power Conversion Corp. 11,100 282,606
* American Science & Engineering, Inc. 500 19,055
American Standard Companies, Inc. 13,400 573,520
* American Superconductor Corp. 1,800 15,930
American Woodmark Corp. 1,200 40,332
Ameron International Corp. 200 6,600
Ametek, Inc. 4,500 172,035
* # AMR Corp. 8,400 108,360
* APAC Customer Services, Inc. 400 384
Apogee Enterprises, Inc. 500 6,995
Applied Industrial Technologies, Inc. 750 22,830
Applied Signal Technologies, Inc. 500 8,750
ARAMARK Corp. 4,200 109,662
* ARGON ST, Inc. 1,000 34,330
Arkansas Best Corp. 1,600 52,368
* Armor Holdings, Inc. 2,200 83,050
* Artesyn Technologies, Inc. 1,500 12,345
* Astec Industries, Inc. 1,360 29,825
* ASV, Inc. 800 29,040
Avery Dennison Corp. 5,700 298,965
* Aviall, Inc. 2,100 64,638
Baldor Electric Co. 1,900 47,785
Banta Corp. 1,500 65,880
Barnes Group, Inc. 1,100 33,748
* BE Aerospace, Inc. 3,200 46,304
Boeing Co. 51,400 3,284,460
Bowne & Co., Inc. 1,500 19,875
Brady Co. Class A 2,200 67,254
Briggs & Stratton Corp. 2,900 98,194
Burlington Northern Santa Fe Corp. 4,800 237,216
C&D Technologies, Inc. 400 2,928
C. H. Robinson Worldwide, Inc. 5,700 325,869
* Capstone Turbine Corp. 1,400 1,400
Carlisle Companies, Inc. 2,100 145,572
Cascade Corp. 700 24,654
* Casella Waste Systems, Inc. Class A 1,600 18,256
Caterpillar, Inc. 19,300 1,816,323
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CDI Corp. 700 14,938
* Celadon Group, Inc. 500 9,050
Cendant Corp. 64,276 1,363,294
Central Parking Corp. 1,400 23,660
* Century Business Services, Inc. 3,400 13,634
* Cenveo, Inc. 1,900 15,922
* Ceradyne, Inc. 1,575 36,367
* # Chart Industries, Inc. 2 107
* ChoicePoint, Inc. 5,300 208,078
Cintas Corp. 7,100 286,627
CIRCOR International, Inc. 600 14,850
Clarcor, Inc. 3,000 84,270
* Clean Harbors, Inc. 900 18,675
CNF, Inc. 3,700 164,835
* Coinstar, Inc. 1,700 32,198
* Columbus McKinnon Corp. 500 4,720
* Comfort Systems USA, Inc. 1,700 10,693
* Consolidated Graphics, Inc. 900 38,097
* # Continental Airlines, Inc. 3,400 47,124
* Copart, Inc. 5,624 139,419
* Cornell Companies, Inc. 500 6,420
Corporate Executive Board Co. 2,900 202,362
* Corrections Corporation of America 2,500 90,250
* CoStar Group, Inc. 1,100 44,198
* Covenant Transport, Inc. Class A 499 6,926
* CPI Aerostructures, Inc. 200 1,866
Crane Co. 3,600 94,572
* Cross (A.T.) Co. Class A 100 503
CSX Corp. 12,700 528,066
# Cubic Corp. 1,200 21,120
Cummins, Inc. 2,500 169,875
* CUNO, Inc. 1,100 78,210
Curtiss-Wright Corp. 700 38,276
Danaher Corp. 22,600 1,245,938
Deere & Co. 14,900 985,635
* # Delta Air Lines, Inc. 100 385
Deluxe Corp. 2,200 88,902
* DHB Industries, Inc. 2,000 15,720
* DiamondCluster International, Inc. 2,070 27,076
* Distributed Energy Systems Corp. 600 1,992
* Dollar Thrifty Automotive Group, Inc. 1,100 39,589
Donaldson Co., Inc. 14,900 478,290
Donnelley (R.R.) & Sons Co. 10,200 339,150
Dover Corp. 12,400 469,588
* DRS Technologies, Inc. 1,600 75,328
* Ducommun, Inc. 300 4,935
* Duratek, Inc. 100 2,193
* Dycom Industries, Inc. 3,033 59,568
* Dynamex, Inc. 500 8,995
Eaton Corp. 10,000 598,500
EDO Corp. 1,400 39,858
* EGL, Inc. 3,100 58,993
* Electro Rent Corp. 1,400 16,450
ElkCorp 1,300 42,900
* EMCOR Group, Inc. 600 28,500
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Emerson Electric Co. 23,600 1,568,692
* Encore Wire Corp. 1,500 16,500
* # Energy Conversion Devices, Inc. 1,600 30,848
Engineered Support Systems, Inc. 2,625 102,375
Ennis, Inc. 500 7,945
* EnPro Industries, Inc. 1,000 27,070
Equifax, Inc. 8,900 308,741
* ESCO Technologies, Inc. 900 76,275
* Essex Corp. 100 1,870
* Esterline Technologies Corp. 1,500 58,350
* Evergreen Solar, Inc. 3,200 16,160
Expeditors International of Washington, Inc. 7,300 372,154
* ExpressJet Holdings, Inc. 3,300 28,479
Fastenal Co. 4,900 284,788
Federal Signal Corp. 2,000 31,260
FedEx Corp. 21,400 1,913,588
* Fiberstars, Inc. 300 2,835
* First Consulting Group, Inc. 500 2,590
* Flanders Corp. 1,600 15,952
Florida East Coast Industries, Inc. 2,200 92,532
* Flowserve Corp. 3,900 114,933
Fluor Corp. 1,500 86,175
* # FLYi, Inc. 454 345
Forward Air Corp. 2,550 68,468
* Frontier Airlines, Inc. 1,600 19,536
* Frozen Food Express Industries, Inc. 700 7,525
* FTI Consulting, Inc. 2,825 62,122
* # FuelCell Energy, Inc. 2,900 23,606
G & K Services, Inc. Class A 1,200 47,232
* Gardner Denver Machinery, Inc. 1,800 69,030
GATX Corp. 2,400 80,088
Gencorp, Inc. 2,600 49,140
* General Cable Corp. 2,600 36,426
General Dynamics Corp. 13,200 1,425,336
General Electric Co. 618,808 22,574,116
* Genesee & Wyoming, Inc. 1,450 40,513
* Genlyte Group, Inc. 2,000 89,120
Gevity HR, Inc. 1,500 25,725
* Global Power Equipment Group, Inc. 2,900 22,214
Goodrich (B.F.) Co. 6,700 280,462
* # GP Strategies Corp. 100 710
Graco, Inc. 3,925 136,943
* Graftech International, Ltd. 2,900 12,760
Granite Construction, Inc. 2,000 46,900
* Griffon Corp. 1,900 37,867
Harland (John H.) Co. 1,600 60,272
Harsco Corp. 2,600 150,878
* Hawk Corp. 100 1,119
Heartland Express, Inc. 4,669 93,613
Heico Corp. 600 12,660
Heico Corp. Class A 840 14,104
* Heidrick & Struggles International, Inc. 1,200 30,132
* Herley Industries, Inc. 600 10,506
Herman Miller, Inc. 4,600 133,906
* Hexcel Corp. 2,100 34,314
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Honeywell International, Inc. 51,800 1,876,714
* Hub Group, Inc. Class A 700 19,236
Hubbell, Inc. 2,700 122,688
* Hudson Highland Group, Inc. 420 6,724
Hughes Supply, Inc. 2,600 67,600
Hunt (J.B.) Transport Services, Inc. 10,800 216,864
* Hurco Companies, Inc. 200 3,482
* Huttig Building Products, Inc. 100 1,091
* ICT Group, Inc. 400 3,716
IDEX Corp. 3,250 124,833
* II-VI, Inc. 1,800 29,646
IKON Office Solutions, Inc. 6,400 62,016
Illinois Tool Works, Inc. 18,800 1,587,284
* Infrasource Services, Inc. 100 1,100
* # Integrated Electrical Services, Inc. 400 608
Interpool, Inc. 100 2,172
ITT Industries, Inc. 6,300 598,500
* Jacobs Engineering Group, Inc. 3,800 199,804
* Jacuzzi Brands, Inc. 4,900 50,029
* JetBlue Airways Corp. 6,800 147,764
JLG Industries, Inc. 3,100 79,019
Joy Global, Inc. 5,350 200,839
* Kadant, Inc. 600 12,300
Kaman Corp. Class A 500 7,735
* # Kansas City Southern 3,200 63,968
Kaydon Corp. 1,500 42,810
* Keith Companies, Inc. 300 6,345
Kelly Services, Inc. Class A 1,100 30,591
Kennametal, Inc. 2,100 92,400
* Kforce, Inc. 2,400 19,296
* Kirby Corp. 1,800 76,788
Knight Transportation, Inc. 2,725 66,626
* Korn/Ferry International 2,400 38,064
* KVH Industries, Inc. 400 3,716
L-3 Communications Holdings, Inc. 7,900 559,162
* LaBarge, Inc. 700 9,933
* Labor Ready, Inc. 2,300 47,472
* Ladish Co., Inc. 700 7,770
* Laidlaw International, Inc. 6,500 144,560
* Lancer Corp. 100 1,730
* Landstar Systems, Inc. 3,700 124,838
* Learning Tree International, Inc. 600 7,722
Lennox International, Inc. 3,200 67,968
Lincoln Electric Holdings, Inc. 2,300 75,348
Lindsay Manufacturer Co. 1,000 20,010
Lockheed Martin Corp. 25,000 1,622,250
LSI Industries, Inc. 925 12,571
* Lydall, Inc. 500 4,120
* Magnetek, Inc. 700 1,547
* MAIR Holdings, Inc. 300 2,862
Manpower, Inc. 6,087 242,445
Masco Corp. 25,900 829,318
* Mastec, Inc. 3,100 26,226
McGrath Rentcorp. 1,286 29,642
* Mercury Computer Systems, Inc. 1,500 43,350
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* # Mesa Air Group, Inc. 300 1,914
* # Microvision, Inc. 500 3,235
Middleby Corp. 600 33,120
* # Midwest Air Group, Inc. 500 980
* Milacron, Inc. 1,852 4,037
* Miller Industries, Inc. 100 1,195
Mine Safety Appliances Co. 2,200 100,782
* Mobile Mini, Inc. 1,000 36,920
* # Modtech Holdings, Inc. 200 1,240
* Monster Worldwide, Inc. 7,600 200,488
* Moog, Inc. Class A 225 6,829
MSC Industrial Direct Co., Inc. Class A 2,700 84,051
* MTC Technologies, Inc. 500 16,765
Mueller Industries, Inc. 2,100 56,700
NACCO Industries, Inc. Class A 300 30,750
* # National Patent Development Corp. 100 234
* Navigant Consulting, Inc. 2,700 61,938
* Navistar International Corp. 4,300 131,193
* NCI Building Systems, Inc. 1,500 51,810
* NCO Group, Inc. 1,300 25,818
Nordson Corp. 2,100 65,289
Norfolk Southern Corp. 29,100 928,872
Northrop Grumman Corp. 9,328 519,756
* # Northwest Airlines Corp. 2,500 15,225
* NuCo2, Inc. 500 11,840
* Odyssey Marine Exploration, Inc. 800 3,848
* Old Dominion Freight Line, Inc. 1,500 45,705
* Orbital Sciences Corp. 3,100 30,101
Oshkosh Truck Corp. Class B 2,600 207,324
* P.A.M. Transportation Services, Inc. 500 8,240
Paccar, Inc. 11,500 813,625
Pall Corp. 7,700 224,763
Parker Hannifin Corp. 8,000 482,640
* Park-Ohio Holdings Corp. 100 1,525
Pentair, Inc. 6,700 298,217
* Perini Corp. 1,500 22,620
* PHH Corp. 2,958 70,962
* Pico Holdings, Inc. 200 5,178
Pitney Bowes, Inc. 11,900 530,859
* # Plug Power, Inc. 4,571 28,432
* Portfolio Recovery Associates, Inc. 1,000 39,410
* Powell Industries, Inc. 400 7,368
* Power-One, Inc. 4,600 25,208
Precision Castparts Corp. 4,654 361,755
* PRG-Schultz International, Inc. 3,900 15,054
* Quanta Services, Inc. 4,265 38,513
Quixote Corp. 300 5,844
* RailAmerica, Inc. 1,600 18,672
Raven Industries, Inc. 648 16,511
Raytheon Co. 26,300 1,029,908
Rebublic Services, Inc. 9,900 351,252
Regal-Beloit Corp. 1,100 28,270
* Republic Airways Holdings, Inc. 100 1,276
* Resources Connection, Inc. 2,600 51,792
Robbins & Myers, Inc. 700 16,555
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Robert Half International, Inc. 11,400 284,316
Rockwell Automation, Inc. 11,800 606,166
Rockwell Collins, Inc. 11,900 587,741
Rollins, Inc. 3,850 78,540
Roper Industries, Inc. 2,900 202,710
* Rush Enterprises, Inc. Class A 700 10,073
Ryder System, Inc. 3,500 128,590
Schawk, Inc. 100 2,406
* SCS Transportation, Inc. 750 13,688
* Sequa Corp. Class B 100 5,926
* Shaw Group, Inc. 3,400 68,510
Simpson Manufacturing Co., Inc. 3,200 91,968
* Sirva, Inc. 100 785
* Sitel Corp. 2,114 4,186
Skywest, Inc. 1,700 31,008
Smith (A.O.) Corp. 500 15,680
* SOURCECORP, Inc. 500 10,705
Southwest Airlines Co. 54,200 788,610
* Spherion Corp. 2,800 15,316
* # Spherix, Inc. 300 513
SPX Corp. 3,700 164,317
* Standard Parking Corp. 100 1,501
Standard Register Co. 1,200 17,040
Standex International Corp. 500 13,380
Steelcase, Inc. Class A 3,300 42,570
* Stericycle, Inc. 2,900 143,898
Stewart & Stevenson Services, Inc. 1,800 43,002
Supreme Industries, Inc. 110 721
* Swift Transportation Co., Inc. 4,600 112,930
Sypris Solutions, Inc. 800 8,432
Tecumseh Products Co. Class A 300 8,202
* Teledyne Technologies, Inc. 1,900 60,078
Teleflex, Inc. 1,900 106,305
* TeleTech Holdings, Inc. 4,800 39,216
Tennant Co. 500 18,650
* Terex Corp. 3,500 138,320
* Tetra Tech, Inc. 3,300 39,765
Textron, Inc. 8,400 649,236
The Brink's Co. 3,800 118,598
* The Geo Group, Inc. 700 16,989
* The Lamson & Sessions Co. 1,500 16,335
The Manitowoc Co., Inc. 1,800 72,954
* The New Dun & Bradstreet Corp. 4,100 251,904
* Thomas & Betts Corp. 4,300 132,784
Thomas Industries, Inc. 800 31,896
Timken Co. 4,900 115,150
Todd Shipyards Corp. 100 1,925
Toro Co. 2,800 120,540
* TRC Companies, Inc. 800 9,120
Tredegar Industries, Inc. 1,100 16,775
* Trex Co., Inc. 900 34,695
Trinity Industries, Inc. 2,400 69,744
* Triumph Group, Inc. 800 28,384
* # TurboChef Technologies, Inc. 1,000 11,100
Union Pacific Corp. 16,100 1,078,056
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United Defense Industries, Inc. 2,700 201,177
United Industrial Corp. 800 27,720
United Parcel Service, Inc. 36,900 2,717,685
* United Rentals, Inc. 4,700 94,376
* United Stationers, Inc. 2,300 112,769
United Technologies Corp. 32,100 3,425,070
Universal Forest Products, Inc. 1,100 43,780
* UQM Technologies, Inc. 400 1,200
* URS Corp. 2,000 67,660
Valmont Industries, Inc. 1,600 38,320
Viad Corp. 1,450 40,310
Vicor Corp. 1,800 23,940
* Volt Information Sciences, Inc. 1,000 19,650
W.W. Grainger, Inc. 5,600 304,584
Wabash National Corp. 1,900 47,329
Wabtec Corp. 2,900 60,030
Walter Industries, Inc. 2,400 101,760
* Washington Group International, Inc. 1,700 81,617
* Waste Connections, Inc. 3,300 122,364
Waste Management, Inc. 34,100 1,005,609
* Water Pik Technologies, Inc. 100 1,858
Watsco, Inc. Class A 1,600 70,704
Watson Wyatt & Co. Holdings 1,900 50,008
Watts Water Technologies, Inc. 1,600 55,728
Werner Enterprises, Inc. 4,641 87,297
* WESCO International, Inc. 2,600 75,920
* West Corp. 4,700 165,158
* Wolverine Tube, Inc. 500 3,605
Woodward Governor Co. 700 54,159
* # Yellow Roadway Corp. 3,744 197,608
York International Corp. 2,400 98,880
-----------------
Total Industrials
(Cost $70,920,991) 84,906,237
-----------------
Consumer Staples -- (9.4%)
* 7-Eleven, Inc. 6,700 199,995
Alberto-Culver Co. Class B 6,050 268,196
Albertson's, Inc. 15,200 319,048
Alliance One International, Inc. 800 5,128
Altria Group, Inc. 90,600 6,082,884
# American Italian Pasta Co. 700 16,107
Anheuser-Busch Companies, Inc. 45,200 2,117,620
Archer-Daniels-Midland Co. 43,100 855,535
Avon Products, Inc. 29,400 1,168,356
* BJ's Wholesale Club, Inc. 4,600 138,690
* Boston Beer Co., Inc. Class A 700 14,777
Brown-Forman Corp. Class B 3,800 226,556
Cal-Maine Foods, Inc. 1,300 8,437
Campbell Soup Co. 24,000 744,720
Casey's General Stores, Inc. 3,000 54,120
* Central European Distribution Corp. 1,150 38,352
* Central Garden & Pet Co. 1,400 62,090
* Chattem, Inc. 1,300 55,770
Chiquita Brands International, Inc. 1,800 52,344
Church & Dwight Co., Inc. 4,250 153,680
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Clorox Co. 11,200 654,192
Coca-Cola Co. 140,400 6,266,052
Coca-Cola Enterprises, Inc. 31,700 693,596
Colgate-Palmolive Co. 31,200 1,559,064
ConAgra, Inc. 27,500 719,125
* Constellation Brands, Inc. 13,800 383,778
Corn Products International, Inc. 4,400 97,196
Costco Wholesale Corp. 32,000 1,453,440
CVS Corp. 26,400 1,448,040
* Darling International, Inc. 3,400 12,648
* Dean Foods Co. 10,150 395,545
* Del Monte Foods Co. 14,200 148,248
Delta & Pine Land Co. 300 8,100
Dreyer's Grand Ice Cream Holdings, Inc. Class A 2,200 178,530
* Elizabeth Arden, Inc. 2,000 42,040
* Energizer Holdings, Inc. 3,500 220,080
Estee Lauder Companies, Inc. 9,000 351,810
Flowers Foods, Inc. 2,475 80,809
General Mills, Inc. 19,700 975,150
Gillette Co. 52,800 2,784,672
* # Great Atlantic & Pacific Tea Co., Inc. 2,300 57,339
* Green Mountain Coffee, Inc. 497 16,535
* Hain Celestial Group, Inc. 700 12,600
Heinz (H.J.) Co. 20,100 731,037
Hershey Foods Corp. 12,100 776,941
* Hines Horticulture, Inc. 100 355
Hormel Foods Corp. 8,700 257,694
Imperial Sugar Co. (New) 100 1,540
* # Integrated Biopharma, Inc. 300 1,335
# Inter Parfums, Inc. 800 14,200
* # Interstate Bakeries Corp. 1,000 6,540
J & J Snack Foods Corp. 600 29,616
J. M. Smucker Co. 3,676 183,102
Kellogg Co. 24,200 1,100,858
Kimberly-Clark Corp. 27,100 1,743,343
Kraft Foods, Inc. 31,000 1,005,640
Lancaster Colony Corp. 2,100 92,274
Lance, Inc. 1,600 28,288
Loews Corp. - Carolina Group 1,500 44,820
Longs Drug Stores Corp. 2,300 94,392
* M&F Worldwide Corp. 1,100 14,069
* Maui Land & Pineapple Co., Inc. 100 4,131
McCormick & Co., Inc. 7,700 260,568
Molson Coors Brewing Co. 1,800 105,246
* Monterey Pasta Co. 500 1,510
# Nash Finch Co. 1,000 35,580
* National Beverage Corp. 400 3,280
Nature's Sunshine Products, Inc. 1,060 17,458
* NBTY, Inc. 4,400 97,856
* # NeighborCare, Inc. 1,900 57,019
Nu Skin Enterprises, Inc. Class A 3,900 88,101
* Omega Protein Corp. 700 4,970
* # Parlux Fragrances, Inc. 400 9,992
* Pathmark Stores, Inc. 1,200 10,740
* Peet's Coffee & Tea, Inc. 1,000 28,390
43
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PepsiAmericas, Inc. 9,400 227,668
PepsiCo, Inc. 104,900 5,905,870
* Performance Food Group Co. 1,900 51,414
Pilgrim's Pride Corp. 5,000 176,250
* Playtex Products, Inc. 3,500 37,730
Procter & Gamble Co. 151,100 8,333,165
Ralcorp Holdings, Inc. 1,900 72,466
# Reliv International, Inc. 500 5,250
* Revlon, Inc. 12,800 38,016
Reynolds American, Inc. 7,100 588,661
* Rite Aid Corp. 26,800 106,128
Ruddick Corp. 2,200 52,866
* Safeway, Inc. 30,300 666,903
* San Filippo (John B.) & Son, Inc. 400 8,460
Sanderson Farms, Inc. 1,450 54,955
Sara Lee Corp. 38,000 771,020
Seaboard Corp. 100 134,500
* Smart & Final Food, Inc. 1,700 18,445
* Smithfield Foods, Inc. 8,100 241,623
* Spartan Stores, Inc. 1,200 15,480
* Spectrum Brands, Inc. 2,900 107,213
* # Star Scientific, Inc. 4,100 23,780
Supervalu, Inc. 7,700 252,252
Sysco Corp. 38,192 1,419,215
* The Kroger Co. 47,900 803,283
The Topps Co., Inc. 2,300 21,436
Tootsie Roll Industries, Inc. 2,538 78,551
Tyson Foods, Inc. Class A 15,800 291,668
* United Natural Foods, Inc. 2,200 71,368
Universal Corp. 1,000 44,400
* # USANA Health Services, Inc. 1,200 52,680
UST, Inc. 7,500 334,200
# Vector Group, Ltd. 100 1,715
Walgreen Co. 67,200 3,046,848
Wal-Mart Stores, Inc. 263,348 12,437,926
WD-40 Co. 800 23,184
Weis Markets, Inc. 1,400 51,436
Whole Foods Market, Inc. 4,300 511,614
* Wild Oats Markets, Inc. 1,500 16,860
* # Winn-Dixie Stores, Inc. 4,700 4,935
Wrigley (Wm.) Jr. Co. 12,300 839,721
-----------------
Total Consumer Staples
(Cost $70,310,417) 75,933,034
-----------------
Energy -- (7.6%)
Amerada Hess Corp. 5,200 482,820
Anadarko Petroleum Corp. 16,100 1,218,770
Apache Corp. 22,498 1,321,982
Arch Coal, Inc. 4,100 198,645
Ashland, Inc. 3,800 259,540
* # ATP Oil & Gas Corp. 1,700 35,853
* Atwood Oceanics, Inc. 1,000 57,290
Baker Hughes, Inc. 21,700 1,002,323
Berry Petroleum Corp. Class A 1,300 61,828
BJ Services Co. 10,800 543,780
44
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* Brigham Exploration Co. 2,500 21,150
Burlington Resources, Inc. 26,500 1,343,020
Cabot Oil & Gas Corp. 3,150 98,752
* Cal Dive International, Inc. 2,600 118,040
* Callon Petroleum Co. 800 11,320
CARBO Ceramics, Inc. 1,100 78,804
* Carrizo Oil & Gas, Inc. 400 6,032
* Cheniere Energy, Inc. 3,400 99,620
Chesapeake Energy Corp. 21,400 438,058
ChevronTexaco Corp. 111,700 6,007,226
* # Cimarex Energy Co. 2,756 103,708
* Clayton Williams Energy, Inc. 400 10,928
* Comstock Resources, Inc. 2,700 61,614
ConocoPhillips 43,506 4,691,687
CONSOL Energy, Inc. 5,700 272,745
* Cooper Cameron Corp. 4,000 236,440
* Delta Petroleum Corp. 2,500 28,550
* Denbury Resources, Inc. 3,800 121,524
Devon Energy Corp. 5,796 266,036
Diamond Offshore Drilling, Inc. 8,400 396,900
* Dril-Quip, Inc. 1,300 35,555
* Edge Petroleum Corp. 1,000 13,630
El Paso Corp. 36,900 381,546
* Encore Acquisition Co. 2,200 82,060
* Endeavour International Corp. 4,200 13,818
* Energy Partners, Ltd. 2,300 52,555
ENSCO International, Inc. 10,191 339,360
EOG Resources, Inc. 16,200 808,218
Exxon Mobil Corp. 381,500 21,440,300
* FMC Technologies, Inc. 4,491 141,691
* Forest Oil Corp. 3,900 155,064
Frontier Oil Corp. 1,700 83,147
* Giant Industries, Inc. 600 17,286
* Goodrich Petroleum Corp. 1,400 24,794
* Grant Prideco, Inc. 2,700 64,854
* Grey Wolf, Inc. 11,400 74,898
Gulf Island Fabrication, Inc. 700 14,070
* Gulfmark Offshore, Inc. 1,200 30,072
Halliburton Co. 31,600 1,350,584
* Hanover Compressor Co. 3,100 32,333
* Harvest Natural Resources, Inc. 2,500 27,100
Helmerich & Payne, Inc. 3,400 140,998
Holly Corp. 1,700 64,991
* Houston Exploration Co. 2,000 101,940
* Hydril Co. 1,200 62,292
* # Infinity, Inc. 400 3,300
* Input/Output, Inc. 4,700 27,871
* KCS Energy, Inc. 2,800 39,340
# Kerr-McGee Corp. 8,995 664,371
* Key Energy Group, Inc. 8,400 92,316
* # KFX, Inc. 3,400 44,778
Kinder Morgan, Inc. 7,000 543,970
* Lone Star Technologies, Inc. 1,800 74,610
* Magnum Hunter Resources, Inc. 3,800 58,748
Marathon Oil Corp. 19,100 926,159
45
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MarkWest Hydrocarbon, Inc. 121 2,643
Massey Energy Co. 5,400 218,322
* # Matrix Service Co. 1,000 4,130
* Maverick Tube Corp. 2,200 66,462
* # McMoran Exploration Co. 800 14,808
* Meridian Resource Corp. 4,300 19,479
* Mission Resources Corp. 2,600 18,382
* Mitcham Industries, Inc. 500 3,510
Murphy Oil Corp. 6,000 586,500
* NATCO Group, Inc. Class A 200 2,152
* National-Oilwell, Inc. 10,534 474,030
* Newfield Exploration Co. 8,600 330,670
* Newpark Resources, Inc. 5,500 33,550
Noble Energy, Inc. 6,121 455,219
* NS Group, Inc. 1,400 40,348
Occidental Petroleum Corp. 24,600 1,798,506
* Oceaneering International, Inc. 1,800 65,700
* Offshore Logistics, Inc. 1,400 43,848
* Oil States International, Inc. 3,200 74,112
* # OMNI Energy Services Corp. 500 815
Overseas Shipholding Group, Inc. 2,400 146,640
* Parallel Petroleum Corp. 1,600 10,896
* Parker Drilling Co. 5,600 31,920
Patterson-UTI Energy, Inc. 10,700 283,443
Peabody Energy Corp. 8,400 401,016
Penn Virginia Corp. 1,100 45,397
* Petrohawk Energy Corp. 300 2,622
* Petroleum Development Corp. 600 15,678
Pioneer Natural Resources Co. 9,907 397,568
* Plains Exploration & Production Co. 3,974 121,406
Pogo Producing Co. 4,200 207,648
Premcor, Inc. 5,800 393,646
* Pride International, Inc. 9,500 214,225
* Quicksilver Resources, Inc. 2,500 130,500
Range Resources Corp. 5,500 127,050
* Remington Oil & Gas Corp. 1,900 58,900
* Rentech, Inc. 900 1,332
Resource America, Inc. 1,300 44,174
Rowan Companies, Inc. 7,400 203,500
RPC, Inc. 300 4,431
* SEACOR Holdings, Inc. 700 40,642
Smith International, Inc. 6,800 399,568
* Southwestern Energy Co. 2,300 160,540
* Spinnaker Exploration Co. 1,400 42,938
St. Mary Land & Exploration Co. 14,900 387,698
* Stone Energy Corp. 1,600 68,848
Sunoco, Inc. 4,700 482,079
* Superior Energy Services, Inc. 4,800 75,120
* Swift Energy Corp. 1,700 58,055
* Syntroleum Corp. 2,200 19,074
* # Tel Offshore Trust 55 400
Tesoro Petroleum Corp. 4,300 187,480
* TETRA Technologies, Inc. 1,450 40,020
The Williams Companies, Inc. 43,100 793,471
Tidewater, Inc. 3,100 107,260
46
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* TransMontaigne, Inc. 1,900 15,732
* # Tri-Valley Corp. 900 10,746
* Unit Corp. 3,100 120,962
* Universal Compression Holdings, Inc. 1,400 47,880
Unocal Corp. 15,900 906,141
USEC, Inc. 2,100 28,665
Valero Energy Corp. 17,500 1,200,850
* Veritas DGC, Inc. 2,200 59,400
Vintage Petroleum, Inc. 4,700 129,814
Western Gas Resources, Inc. 5,200 166,764
* Westmoreland Coal Co. 400 8,592
* W-H Energy Services, Inc. 1,800 39,006
World Fuel Services Corp. 1,400 36,890
XTO Energy, Inc. 22,533 701,227
-----------------
Total Energy
(Cost $42,940,400) 61,054,644
-----------------
Materials -- (3.0%)
* AEP Industries, Inc. 300 5,169
Air Products & Chemicals, Inc. 13,900 837,197
Airgas, Inc. 4,800 115,200
* AK Steel Holding Corp. 6,400 48,960
Albemarle Corp. 2,700 102,708
Alcoa, Inc. 53,300 1,444,430
* Aleris International, Inc. 1,900 45,258
Allegheny Technologies, Inc. 6,221 132,258
AMCOL International Corp. 1,500 29,100
* American Pacific Corp. 100 810
American Vanguard Corp. 300 5,370
Aptargroup, Inc. 2,400 120,000
Arch Chemicals, Inc. 1,100 25,927
Ball Corp. 6,800 255,340
Bemis Co., Inc. 6,000 162,960
Bowater, Inc. 2,800 87,920
* Brush Engineered Materials, Inc. 1,300 18,434
* Buckeye Technologies, Inc. 2,000 16,540
Cabot Corp. 3,000 87,000
Calgon Carbon Corp. 2,200 19,602
Cambrex Corp. 1,100 19,910
* Caraustar Industries, Inc. 1,500 15,750
Carpenter Technology Corp. 1,500 81,000
* Century Aluminum Co. 2,200 49,302
* CFC International, Inc. 200 3,686
Chesapeake Corp. 500 10,435
Cleveland-Cliffs, Inc. 1,400 82,082
* Coeur d'Alene Mines Corp. 12,600 41,958
Commercial Metals Co. 3,600 94,176
Compass Minerals International, Inc. 300 6,759
Crompton Corp. 7,528 115,555
* Crown Holdings, Inc. 9,900 147,411
Cytec Industries, Inc. 2,600 108,316
Dow Chemical Co. 53,500 2,423,015
DuPont (E.I.) de Nemours & Co., Inc. 51,300 2,385,963
# Eagle Materials, Inc. 1,277 111,955
Eagle Materials, Inc. Class B 596 50,690
47
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Eastman Chemical Co. 4,400 258,632
Ecolab, Inc. 17,100 552,843
Engelhard Corp. 7,600 223,440
Ferro Corp. 2,000 38,480
Florida Rock Industries, Inc. 2,600 170,170
* FMC Corp. 2,600 144,170
Freeport-McMoRan Copper & Gold, Inc. Class B 9,500 335,350
Georgia Gulf Corp. 2,200 69,916
Georgia-Pacific Corp. 14,400 477,216
Gibraltar Industries, Inc. 250 4,890
Glatfelter (P.H.) Co. 1,100 12,320
* Graphic Packaging Corp. 10,900 40,875
Great Lakes Chemical Corp. 2,300 77,970
* Greif, Inc. Class A 400 29,072
* Headwaters, Inc. 2,400 79,392
* Hecla Mining Co. 6,363 28,506
* Hercules, Inc. 6,800 93,976
International Flavors & Fragrances, Inc. 4,800 178,032
International Paper Co. 27,100 872,891
Kronos Worldwide, Inc. 1,683 53,183
LaFarge North America, Inc. 3,400 205,258
* Landec Corp. 900 5,391
Longview Fibre Co. 300 5,991
Louisiana-Pacific Corp. 6,400 161,152
Lubrizol Corp. 3,300 129,921
Lyondell Chemical Co. 11,620 275,859
MacDermid, Inc. 1,900 55,309
Martin Marietta Materials, Inc. 2,900 177,045
* Material Sciences Corp. 800 9,760
MeadWestavco Corp. 9,600 275,328
Metal Management, Inc. 1,100 20,207
* Metals USA, Inc. 900 19,053
Minerals Technologies, Inc. 1,300 87,490
Monsanto Co. 17,735 1,010,895
Myers Industries, Inc. 887 9,890
* # Nanophase Technologies Corp. 600 3,912
Neenah Paper, Inc. 615 18,407
* NewMarket Corp. 800 10,872
Newmont Mining Corp. 27,700 1,031,548
* NL Industries, Inc. 2,400 36,480
NN, Inc. 300 3,807
Nucor Corp. 9,400 497,824
Olin Corp. 3,000 56,310
* OM Group, Inc. 1,500 37,800
* Oregon Steel Mills, Inc. 2,100 37,086
* Owens-Illinois, Inc. 10,400 267,384
Packaging Corp. of America 6,300 137,592
Packaging Dynamics Corp. 140 1,974
* Pactiv Corp. 2,200 50,270
Phelps Dodge Corp. 6,700 585,580
* PolyOne Corp. 4,300 28,896
Pope & Talbot, Inc. 500 5,515
Potlatch Corp. 1,400 72,366
PPG Industries, Inc. 9,600 627,744
Praxair, Inc. 20,000 937,400
48
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Quaker Chemical Corp. 400 7,080
Quanex Corp. 1,400 72,646
Reliance Steel & Aluminum Co. 2,000 76,980
Rock-Tenn Co. Class A 1,000 11,510
Rohm & Haas Co. 13,300 620,445
Royal Gold, Inc. 1,200 21,060
RPM International, Inc. 6,500 114,400
* RTI International Metals, Inc. 1,500 41,085
# Ryerson Tull, Inc. 800 12,176
Schnitzer Steel Industries, Inc. Class A 1,600 36,992
Schulman (A.), Inc. 700 11,452
* Scotts Co. Class A 2,300 163,231
* Sealed Air Corp. 5,700 295,203
Sensient Technologies Corp. 2,300 46,805
Sigma-Aldrich Corp. 4,400 263,604
Silgan Holdings, Inc. 1,100 62,700
* Smurfit-Stone Container Corp. 16,851 183,170
Sonoco Products Co. 500 13,315
Spartech Corp. 1,500 30,345
Steel Dynamics, Inc. 2,900 77,981
Steel Technologies, Inc. 500 10,000
* Stillwater Mining Co. 5,100 34,425
* Symyx Technologies, Inc. 1,700 43,316
Temple-Inland, Inc. 6,400 228,608
* Terra Industries, Inc. 5,100 32,385
Texas Industries, Inc. 1,200 55,224
* The Mosaic Co. 2,900 37,932
* Titanium Metals Corp. 200 8,508
United States Steel Corp. 7,300 290,321
Valhi, Inc. 7,100 131,634
Valspar Corp. 3,000 142,200
Vulcan Materials Co. 6,100 365,573
Wausau-Mosinee Paper Corp. 2,300 28,750
* Webco Industries, Inc. 100 575
Wellman, Inc. 1,100 12,364
Weyerhaeuser Co. 14,200 910,930
Worthington Industries, Inc. 4,700 78,772
* # Zoltek Companies, Inc. 1,200 11,952
-----------------
Total Materials
(Cost $21,375,423) 24,532,435
-----------------
Utilities -- (3.0%)
* AES Corp. 44,300 659,627
AGL Resources, Inc. 3,800 133,912
* Allegheny Energy, Inc. 10,000 241,800
ALLETE, Inc. 800 38,400
Alliant Energy Corp. 4,600 126,960
Ameren Corp. 8,700 474,846
American Electric Power Co., Inc. 19,300 688,817
American States Water Co. 500 13,990
Aqua America, Inc. 5,925 161,812
* Aquila, Inc. 12,900 48,246
Atmos Energy Corp. 3,300 93,357
Avista Corp. 1,200 21,156
* BayCorp Holdings, Ltd. 6 83
49
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Black Hills Corp. 500 18,310
California Water Service Group 1,000 36,080
* # Calpine Corp. 33,200 98,936
Cascade Natural Gas Corp. 500 9,610
CenterPoint Energy, Inc. 13,100 160,606
CH Energy Group, Inc. 500 22,600
Cinergy Corp. 6,900 284,487
Cleco Corp. 700 14,623
* CMS Energy Corp. 13,500 178,605
Consolidated Edison, Inc. 11,500 523,365
Constellation Energy Group 8,100 432,945
Dominion Resources, Inc. 16,900 1,188,239
DPL, Inc. 6,800 172,108
DTE Energy Co. 7,400 351,796
Duke Energy Corp. 46,800 1,286,064
# Duquesne Light Holdings, Inc. 3,900 74,217
* Dynegy, Inc. 19,300 89,745
Edison International 22,500 826,875
* El Paso Electric Co. 2,600 52,182
Empire District Electric Co. 500 11,490
Energen Corp. 2,500 162,950
Energy East Corp. 6,300 176,400
EnergySouth, Inc. 98 2,638
Entergy Corp. 11,100 797,313
Equitable Resources, Inc. 3,200 203,392
Exelon Corp. 40,200 1,883,370
FirstEnergy Corp. 16,000 708,800
FPL Group, Inc. 18,400 747,960
Great Plains Energy, Inc. 3,100 97,650
Hawaiian Electric Industries, Inc. 3,100 79,980
IDACORP, Inc. 500 14,160
KeySpan Corp. 6,700 266,258
Laclede Group, Inc. 400 11,960
MDU Resources Group, Inc. 5,100 146,829
MGE Energy, Inc. 800 28,800
National Fuel Gas Co. 3,300 92,400
New Jersey Resources Corp. 1,400 63,140
Nicor, Inc. 1,700 67,150
NiSource, Inc. 18,700 450,670
Northeast Utilities, Inc. 5,200 103,012
Northwest Natural Gas Co. 500 18,100
NorthWestern Corp. 1,600 46,368
NSTAR 2,200 128,788
OGE Energy Corp. 3,600 99,900
Oneok, Inc. 4,200 129,570
Otter Tail Corp. 400 10,184
Peoples Energy Corp. 1,600 68,400
Pepco Holdings, Inc. 8,000 180,320
PG&E Corp. 29,900 1,069,523
Piedmont Natural Gas Co. 2,900 70,934
Pinnacle West Capital Corp. 4,100 180,892
PNM Resources, Inc. 2,550 74,307
PPL Corp. 8,800 506,088
Progress Energy, Inc. 11,800 521,914
Public Service Enterprise Group, Inc. 10,800 599,400
50
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Puget Energy, Inc. 3,900 88,725
Questar Corp. 5,700 359,328
* Reliant Energy, Inc. 20,899 257,058
SCANA Corp. 4,700 198,011
SEMCO Energy, Inc. 100 548
Sempra Energy 13,500 535,545
* # Sierra Pacific Resources 6,300 75,285
South Jersey Industries, Inc. 300 17,010
Southern Co. 36,800 1,249,360
* Southern Union Co. 7,745 189,539
Southwest Gas Corp. 700 17,486
Southwest Water Co. 935 9,948
TECO Energy, Inc. 11,100 196,248
TXU Corp. 19,900 1,597,572
UGI Corp. 5,900 156,409
UIL Holdings Corp. 200 10,368
Unisource Energy Corp. 500 14,385
Vectren Corp. 2,900 79,141
Westar Energy, Inc. 3,300 76,131
WGL Holdings, Inc. 1,800 58,572
Wisconsin Energy Corp. 5,300 192,390
WPS Resources Corp. 1,800 99,234
Xcel Energy, Inc. 16,700 307,781
-----------------
Total Utilities
(Cost $18,285,562) 24,131,483
-----------------
Telecommunication Services -- (2.2%)
* @Road, Inc. 2,803 7,736
Alltel Corp. 17,600 1,023,792
* American Tower Corp. 16,100 290,444
AT&T Corp. 30,600 574,974
BellSouth Corp. 79,600 2,130,096
* Boston Communications Group, Inc. 394 548
* Centennial Communications Corp. 3,900 51,051
* Cincinnati Bell, Inc. 9,400 37,130
Citizens Communications Co. 15,700 214,148
* # Cogent Communications Group, Inc. 1,700 39,117
* Commonwealth Telephone Enterprises, Inc. 1,500 78,375
* Crown Castle International Corp. 15,900 282,702
CT Communications, Inc. 500 6,050
* General Communications, Inc. Class A 3,400 28,016
* IDT Corp. 800 10,792
* IDT Corp. Class B 3,500 47,950
* # Level 3 Communications, Inc. 16,500 34,320
* Nextel Communications, Inc. 56,500 1,705,170
* Nextel Partners, Inc. 11,200 266,000
* NII Holdings, Inc. 4,300 256,280
North Pittsburgh Systems, Inc. 600 11,256
* Premiere Global Services, Inc. 4,200 47,250
* Price Communications Corp. 2,505 43,061
* # Qwest Communications International, Inc. 98,500 386,120
* SBA Communications Corp. 2,400 26,832
SBC Communications, Inc. 134,800 3,151,624
Sprint Corp. 81,350 1,927,182
SureWest Communications 400 9,520
51
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* TALK America Holdings, Inc. 700 6,223
* Teleglobe International Holdings, Ltd. 50 119
Telephone & Data Systems, Inc. 3,200 124,000
* Telephone & Data Systems, Inc. Special Shares 3,200 121,600
* Time Warner Telecom, Inc. 2,300 11,730
* UbiquiTel, Inc. 5,300 36,676
* United States Cellular Corp. 3,600 169,344
Verizon Communications, Inc. 126,000 4,457,880
* Western Wireless Corp. 4,700 187,107
* Wireless Facilities, Inc. 4,800 24,720
-----------------
Total Telecommunication Services
(Cost $16,214,925) 17,826,935
-----------------
Real Estate Investment Trusts -- (0.0%)
New Century Financial Corp. 400 20,380
-----------------
Total Real Estate Investment Trusts
(Cost $2,906) 20,380
-----------------
Other -- (0.0%)
* Bush Industries, Inc. Escrow 100 2
* Petrocorp, Inc. Escrow Shares 100 6
-----------------
Total Other
(Cost $0) 8
-----------------
TOTAL COMMON STOCKS
(Cost $672,655,872) 784,882,138
-----------------
RIGHTS/WARRANTS -- (0.0%)
Other -- (0.0%)
* Chart Industries, Inc. Warrants 09/15/10 2 51
* Trico Marine Services, Inc. Warrants 03/15/08 Series B 1 2
* Trico Marine Services, Inc. Warrants 03/15/10 Series A 1 4
* Virologic, Inc. Contingent Value Rights 340 59
-----------------
Total Other
(Cost $438) 116
-----------------
TOTAL RIGHTS/WARRANTS
(Cost $438) 116
-----------------
FACE
AMOUNT VALUE+
----------------- -----------------
(000)
TEMPORARY CASH INVESTMENTS -- (2.4%)
^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.92%, 06/01/05
(Collateralized by $15,350,000 U.S. STRIPS 6.125%, 11/15/27, valued
at $5,515,409) to be repurchased at $5,407,073 (Cost $5,406,634) $ 5,407 5,406,634
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $13,857,000 FHLMC Notes 4.00%, 09/22/09, valued at
$13,874,321) to be repurchased at $13,670,097 (Cost $13,669,000) 13,669 13,669,000
-----------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $19,075,634) 19,075,634
-----------------
TOTAL INVESTMENTS - (100.0%)
(Cost $691,731,944) $ 803,957,888
=================
52
----------
+ 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.
53
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 2005
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
[Enlarge/Download Table]
THE TAX-MANAGED THE TAX-MANAGED
U.S. MARKETWIDE U.S. EQUITY
VALUE SERIES SERIES
--------------- ---------------
ASSETS:
Investments at Value (including $26,163 and $5,114 of
securities on loan, respectively) $ 2,060,426 $ 803,958
Receivables:
Investment Securities Sold 7,965 48
Dividends and Interest 2,495 1,144
Securities Lending Income 39 8
Fund Shares Sold 1,273 911
Prepaid Expenses and Other Assets 11 3
--------------- ---------------
Total Assets 2,072,209 806,072
--------------- ---------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 27,270 5,407
Investment Securities Purchased 24,244 8,401
Due to Advisor 327 32
Accrued Expenses and Other Liabilities 129 49
--------------- ---------------
Total Liabilities 51,970 13,889
--------------- ---------------
NET ASSETS $ 2,020,239 $ 792,183
=============== ===============
Investments at Cost $ 1,528,781 $ 691,732
=============== ===============
See accompanying Notes to Financial Statements.
41
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2005
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
[Enlarge/Download Table]
THE TAX-MANAGED THE TAX-MANAGED
U.S. MARKETWIDE U.S. EQUITY
VALUE SERIES SERIES
--------------- ---------------
INVESTMENT INCOME
Dividends $ 14,650 $ 5,283
Interest 247 109
Income from Securities Lending 132 36
--------------- ---------------
Total Investment Income 15,029 5,428
--------------- ---------------
EXPENSES
Investment Advisory Services 1,861 177
Accounting & Transfer Agent Fees 261 99
Custodian Fees 88 34
Legal Fees 4 1
Audit Fees 8 3
Shareholders' Reports 15 5
Trustees' Fees and Expenses 7 3
Other 8 9
--------------- ---------------
Total Expenses 2,252 331
--------------- ---------------
NET INVESTMENT INCOME (LOSS) 12,777 5,097
--------------- ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 17,987 (2,650)
Change in Unrealized Appreciation (Depreciation) of Investment
Securities 49,089 17,573
--------------- ---------------
NET GAIN (LOSS) 67,076 14,923
--------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 79,853 $ 20,020
=============== ===============
See accompanying Notes to Financial Statements.
42
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
[Enlarge/Download Table]
THE TAX-MANAGED THE TAX-MANAGED
U.S. MARKETWIDE VALUE SERIES U.S. EQUITY SERIES
------------------------------ ------------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
------------- ------------- ------------- -------------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 12,777 $ 15,669 $ 5,097 $ 7,333
Net Realized Gain (Loss) on Investment
Securities Sold 17,987 1,597 (2,650) 206
Change in Unrealized Appreciation
(Depreciation) of Investment Securities 49,089 241,813 17,573 47,213
------------- ------------- ------------- -------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 79,853 259,079 20,020 54,752
------------- ------------- ------------- -------------
Transactions in Interest:
Contributions 240,957 386,040 158,447 226,792
Withdrawals (3,184) (27,739) (5,234) (11,352)
------------- ------------- ------------- -------------
Net Increase (Decrease) from
Transactions in Interest 237,773 358,301 153,213 215,440
------------- ------------- ------------- -------------
Total Increase (Decrease) 317,626 617,380 173,233 270,192
NET ASSETS
Beginning of Period 1,702,613 1,085,233 618,950 348,758
------------- ------------- ------------- -------------
End of Period $ 2,020,239 $ 1,702,613 $ 792,183 $ 618,950
============= ============= ============= =============
See accompanying Notes to Financial Statements.
43
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
[Enlarge/Download Table]
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
---------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
---------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period N/A N/A N/A N/A N/A N/A
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized) -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations -- -- -- -- -- --
---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- -- --
Net Realized Gains -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions N/A N/A N/A N/A N/A N/A
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A N/A N/A N/A N/A N/A
Total Return 4.45%# 20.49% 22.88% (20.25)% 8.30% 3.07%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 2,020,239 $ 1,702,613 $ 1,085,233 $ 674,358 $ 690,795 $ 314,021
Ratio of Expenses to Average Net
Assets 0.24%* 0.25% 0.25% 0.25% 0.25% 0.26%
Ratio of Net Investment Income to
Average Net Assets 1.38%* 1.14% 0.61% 0.61% 1.17% 1.98%
Portfolio Turnover Rate 7%# 5% 6% 15% 11% 39%
THE TAX-MANAGED U.S. EQUITY SERIES
------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR SEPT. 25,
ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001
------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period N/A N/A N/A N/A N/A
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized) -- -- -- -- --
----------- ----------- ----------- ----------- -----------
Total From Investment Operations -- -- -- -- --
------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- --
Net Realized Gains -- -- -- -- --
----------- ----------- ----------- ----------- -----------
Total Distributions N/A N/A N/A N/A N/A
------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A N/A N/A N/A N/A
Total Return 2.88%# 12.20% 18.49% (20.12)% 15.72%#
------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 792,183 $ 618,950 $ 348,758 $ 198,247 $ 81,548
Ratio of Expenses to Average Net
Assets 0.09%* 0.10% 0.10% 0.12% 0.20%*
Ratio of Net Investment Income to
Average Net Assets 1.44%* 1.52% 1.02% 0.63% 0.62%*
Portfolio Turnover Rate 2%# 5% 13% 11% 4%*#
* Annualized
# Non-annualized
N/A Not applicable as The Tax-Managed U.S. Marketwide Value Series and The
Tax-Managed U.S. Equity Series are organized as partnerships and do not have
unitized values.
See accompanying Notes to Financial Statements.
44
DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust currently consists of twenty-one series, of which The Tax-Managed U.S.
Marketwide Value Series and The Tax-Managed U.S. Equity Series (the "Series")
are presented in this report.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: Securities held by the Series which are listed on
a securities exchange and for which market quotations are readily available are
valued at the last quoted sale price of the day. Securities held by the Series
that are listed on NASDAQ are valued at the NASDAQ Official Closing Price
("NOCP"). If there is no last reported sale price or NOCP for the day, the
Series values the securities at the mean between the quoted bid and asked
prices. Price information on listed securities is taken from the exchange where
the security is primarily traded. Unlisted securities for which market
quotations are readily available are valued at the mean between the most recent
bid and asked prices. Securities for which quotations are not readily available,
or for which market quotations have become unreliable, are valued in good faith
at fair value using methods approved by the Board of Trustees.
2. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Trustees may defer payment of a percentage
of their total fees earned as a Trustee. These deferred amounts may be treated
as though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Trustees' Fees and
Expenses.
3. OTHER: Security transactions are accounted for on the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on the accrual basis. Discount and premium on debt securities
purchased are amortized over the lives of the respective securities utilizing
the effective interest method. Expenses directly attributable to a Series are
directly charged. Common expenses of the Trust are allocated using methods
approved by the Board of Trustees, generally based on average net assets.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Series. For the six months ended May 31,
2005, the Series' advisory fees were accrued daily and paid monthly to the
Advisor based on the following effective annual rates of average daily net
assets:
[Download Table]
The Tax-Managed U.S. Marketwide Value Series 0.20 of 1%
The Tax-Managed U.S. Equity Series 0.05 of 1%
Certain officers of the Series are also officers, directors and
shareholders of the Advisor.
45
D. DEFERRED COMPENSATION:
At May 31, 2005, the total liability for deferred compensation to Trustees
is included in Accrued Expenses and Other Liabilities as follows:
[Download Table]
The Tax-Managed U.S. Marketwide Value Series $ 29,098
The Tax-Managed U.S. Equity Series 10,945
E. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 2005, the Series made the following
purchases and sales of investment securities other than short-term securities
(amounts in thousands):
[Download Table]
OTHER INVESTMENT
SECURITIES
--------------------
PURCHASES SALES
--------- ---------
The Tax-Managed U.S. Marketwide Value Series $ 359,133 $ 123,276
The Tax-Managed U.S. Equity Series 173,563 17,267
There were no purchases or sales of U.S. Government securities during the
six months ended May 31, 2005.
F. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since the Series are
treated as partnerships for federal income tax purposes. Any interest, dividends
and gains or loses have been deemed to have been "passed through" to their
respective partners.
At May 31, 2005, the total cost and aggregate gross unrealized appreciation
and depreciation of securities for federal income tax purposes were different
from amounts reported for financial reporting purposes (amounts in thousands):
[Enlarge/Download Table]
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
----------- ------------ ------------ --------------
The Tax-Managed U.S. Marketwide Value Series $ 1,529,505 $ 583,575 $ (52,655) $ 530,920
The Tax-Managed U.S. Equity Series 692,163 131,906 (20,111) 111,795
G. FINANCIAL INSTRUMENTS
In accordance with the Series' investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. The instrument and its significant
corresponding risks are described below:
REPURCHASE AGREEMENTS: The Series may purchase money market instruments
subject to the counterparty's agreement to repurchase them at an agreed upon
date and price. The counterparty will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
or with the Trust's custodian or a third party sub-custodian. In the event of
default or bankruptcy by the other party to the agreement, retention of the
collateral may be subject to legal proceedings. All open repurchase agreements
were entered into on May 31, 2005.
H. LINE OF CREDIT:
The Trust, together with other Dimensional-advised series, has entered into
a $50 million unsecured discretionary line of credit effective June 2004 with
its domestic custodian bank. Each series is permitted to borrow, subject to its
investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line are charged interest at the then current federal funds
rate plus 1%. Each series is individually, and not jointly liable for its
particular advances under the line
46
of credit. There is no commitment fee on the unused portion of the line of
credit, since this is not a committed facility. The agreement for the
discretionary line of credit may be terminated by either party at any time. The
agreement for the line of credit expires on June 27, 2006. There were no
borrowings under the discretionary line of credit by the Series during the six
months ended May 31, 2005.
The Trust, together with other Dimensional-advised series, has also entered
into an additional $150 million unsecured line of credit effective April 3, 2005
with its international custodian bank. Each series is permitted to borrow,
subject to investment limitations, up to a maximum of $150 million, as long as
total borrowings under the line of credit do not exceed $150 million in the
aggregate. Each series is individually, and not jointly liable for its
particular advances under the line of credit. Borrowings under the line of
credit are charged interest at rates agreed to by the parties at the time of
borrowing. There is no commitment fee on the unused line of credit. The
agreement for the line of credit expires on April 2, 2006. There were no
borrowings by the Series under the line of credit during the six months ended
May 31, 2005.
I. SECURITIES LENDING:
As of May 31, 2005, the Series had securities on loan to brokers/dealers,
for which each Series held cash collateral. Each Series invests the cash
collateral, as described below, and records a liability for the return of the
collateral, during the period the securities are on loan. Loans of securities
are required at all times to be secured by collateral at least equal to 100% of
the market value of the securities on loan. However, in the event of default or
bankruptcy by the other party to the agreement, realization and/or retention of
the collateral may be subject to legal proceedings. In the event that the
borrower fails to return loaned securities, and cash collateral being maintained
by the borrower is insufficient to cover the value of loaned securities and
provided such collateral insufficiency is not the result of investment losses,
the lending agent has agreed to pay the amount of the shortfall to the Series
or, at the option of the lending agent, to replace the securities.
The cash collateral received by the Series from securities on loan is
invested in repurchase agreements collateralized by U.S. government securities.
Securities pledged as collateral for the repurchase agreements are held by a
custodian bank until the agreements are repurchased.
The Series paid fees for securities lending for the period ended May 31,
2005, which have been netted against the Income from Securities Lending on the
Statements of Operations. These fees are presented below (amounts in thousands):
[Download Table]
The Tax-Managed U.S. Marketwide Value Series $ 33
The Tax-Managed U.S. Equity Series 9
J. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
47
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Trust and the Fund
uses in voting proxies relating to securities held in the portfolios is
available without charge, upon request, by calling collect: (310) 395-8005.
Information regarding how the Advisor votes these proxies is available from the
EDGAR database on the SEC's website at http://www.sec.gov and from the Advisor's
website at http://www.dfaus.com and reflects the twelve-month period beginning
July 1 and ending June 30.
48
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
At the Board meeting held on December 15, 2004 (the "Meeting"), the Board
of Directors of DFA Investment Dimensions Group Inc. and the Board of Trustees
of The DFA Investment Trust Company (together, the "Board") considered the
continuation of the investment advisory/management agreements for each portfolio
or series (collectively, the "Funds"). (The investment advisory/management
agreements are referred to as the "Advisory Agreements.")
Prior to the Meeting, independent counsel to the Independent Board Members
sent to the Advisor a request for information, which identified the information
that the Independent Board Members wished to receive in order to consider the
continuation of the Advisory Agreements. The Independent Board Members, met with
their independent counsel in advance of the Meeting to discuss the materials
provided by the Advisor, the independent reports prepared by Lipper Analytical
Services, Inc., and issues related to the continuation of the Advisory
Agreements.
At the Meeting, the Board considered a number of factors when considering
the continuation of each Advisory Agreement for a Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to each Fund;
(ii) the performance of each Fund and the Advisor; (iii) the fees and expenses
borne by each Fund; (iv) the profitability realized by the Advisor from the
relationship with each Fund; (v) whether economies of scale are realized by the
Advisor with respect to each Fund as it grows larger, and the extent to which
this is reflected in the level of the advisory fee charged; (vi) comparisons of
the services to be rendered and the amounts to be paid under other advisory
contracts; and (vii) any benefits to be derived by the Advisor from its
relationship with each Fund.
When considering the nature and quality of the services provided by the
Advisor to a Fund, the Board reviewed: (a) the scope and depth of the Advisor's
organization; (b) the experience and expertise of its investment professionals
currently providing management services to the Fund; and (c) the Advisor's
investment advisory capabilities. The Board evaluated the Advisor's portfolio
management process. The Board also considered the nature and character of
non-investment management services provided by the Advisor. After analyzing the
caliber of services provided by the Advisor to each Fund, both quantitatively
and qualitatively, including the impact of these services on investment
performance, the Board concluded that the nature, extent and quality of services
provided to each Fund were consistent with the operational requirements of the
Fund and met the needs of the shareholders of the Fund.
In considering the performance of each Fund, the Board analyzed the Lipper
reports, which compared the performance of each Fund with other funds in its
respective peer group and peer universe, and noted that the performance of the
Tax-Managed U.S. Small Cap Value Portfolio and Tax-Managed DFA International
Value Portfolio compared favorably with their peer groups. At the Board's
request, the Advisor specifically addressed the factors that contributed to the
comparative performance of the Tax-Managed U.S. Marketwide Value Series, the
Tax-Managed U.S. Small Cap Portfolio and the Tax-Managed U.S. Equity Series. The
Board concluded that the Advisor's explanations provided a sound basis for
understanding the performance of these Funds. The Board determined, among other
things, that the performance of each Fund was acceptable as compared with
relevant performance standards.
When considering the fees and expenses borne by each Fund, and considering
the reasonableness of the management fees paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Lipper reports. The Board
concluded that the advisory fees and total expenses of each Fund over various
periods were favorable in relation to their peer funds, and that the advisory
fees were fair, both on an absolute basis and in comparison with the fees of
other funds identified in the peer groups and the industry at large.
The Board considered the profitability of each Fund to the Advisor by
reviewing the profitability analysis provided by the Advisor, including
information about its fee revenues and income. The Board reviewed the overall
profitability of the Advisor, and the compensation that it received for
providing services to each Fund, including administrative fees paid by the
feeder portfolios. The Board considered the profitability to the Advisor of
managing the Funds and other "non-1940 Act registered" investment vehicles. Upon
closely examining the Advisor's profitability, the Board concluded, among other
things, that it was reasonable.
49
The Board also discussed whether economies of scale are realized by the
Advisor with respect to each Fund as it grows larger, and the extent to which
this is reflected in the level of advisory fees charged. For several reasons,
the Board concluded that economies of scale and the reflection of such economies
of scale in the level of advisory fees charged were inapplicable to each Fund at
the present time, due to the current level of fees and expenses and the
profitability of the Fund.
After full consideration of the factors discussed above, with no single
factor identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel, concluded
that the continuation of the Advisory Agreement for each Fund was in the best
interests of the Fund and its shareholders.
50
ITEM 2. CODE OF ETHICS.
Not applicable when filing a semi-annual report to shareholders.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable when filing a semi-annual report to shareholders.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable when filing a semi-annual report to shareholders.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
This item is not applicable to the Registrant.
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. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANIES.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
None.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Based on their evaluation of the Registrant's disclosure controls and
procedures as of a date within 90 days of the filing date of this Form
N-CSR (the "Report"), the Registrant's Principal Executive Officer and
Principal Financial Officer believe that the disclosure controls and
procedures (as defined in Rule 30a-3(c) under the Investment Company
Act of 1940, as amended) are effectively designed to ensure that
information required to be disclosed by the Registrant in the Report
is recorded, processed, summarized and reported by the filing date,
including ensuring that information required to be disclosed in the
Report is accumulated and communicated to the Registrant's officers
that are making certifications in the Report, as appropriate, to allow
timely decisions regarding required disclosure. The Registrant's
management, including the Principal Executive Officer and the
Principal Financial Officer, recognizes that any set of controls and
procedures, no matter how well designed and operated, can provide only
reasonable assurance of achieving the desired control objectives.
(b) There were no changes in the Registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the 1940 Act)
that occurred during the second fiscal quarter of the period covered
by this report that have materially affected, or are
reasonably likely to materially affect, the Registrant's internal
control over financial reporting.
ITEM 12. EXHIBITS.
(a)(1) This item is not applicable.
(a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of
2002 are filed herewith.
(a)(3) This item is not applicable.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of
2002 are filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the Registrant has duly caused this Report to be
signed on its behalf by the undersigned, thereunto duly authorized.
The DFA Investment Trust Company
By: /s/ David G. Booth
--------------------------------
David G. Booth
Chairman, Trustee, President,
Chief Executive Officer and Chief Investment Officer
Date: August 4, 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
The DFA Investment Trust Company
Date: August 4, 2005
By: /s/ Michael T. Scardina
--------------------------------
Michael T. Scardina
Principal Financial Officer
The DFA Investment Trust Company
Date: August 4, 2005
Dates Referenced Herein and Documents Incorporated by Reference
| Referenced-On Page |
---|
This ‘N-CSRS’ Filing | | Date | | First | | Last | | | Other Filings |
---|
| | |
| | 5/31/08 | | 14 | | 948 | | | NSAR-A |
| | 6/27/06 | | 16 | | 1,047 |
| | 4/2/06 | | 17 | | 1,047 |
| | 4/1/06 | | 14 | | 948 |
| | 10/15/05 | | 816 |
Filed on / Effective on: | | 8/5/05 | | | | | | | N-PX/A |
| | 8/4/05 | | 1,054 |
| | 6/17/05 | | 268 | | 816 |
For Period End: | | 5/31/05 | | 1 | | 1,047 | | | N-CSRS/A, NSAR-A |
| | 4/29/05 | | 6 | | 954 | | | N-Q |
| | 4/15/05 | | 816 |
| | 4/5/05 | | 280 | | 441 |
| | 4/3/05 | | 16 | | 1,047 |
| | 4/1/05 | | 14 | | 948 |
| | 3/30/05 | | 14 | | | | | POS AMI |
| | 3/23/05 | | 820 |
| | 12/15/04 | | 819 | | 1,049 |
| | 12/1/04 | | 1 | | 953 |
| | 11/30/04 | | 15 | | 950 | | | N-CSR, N-CSR/A, NSAR-B |
| | 7/9/04 | | 6 | | 954 |
| | 11/30/03 | | 15 | | 949 | | | N-CSR, NSAR-B |
| | 1/1/02 | | 14 | | 1,045 |
| | 11/30/00 | | 425 | | | | | N-30D, NSAR-B |
| List all Filings |
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