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Dfa Investment Dimensions Group Inc · N-30D · For 5/31/00

Filed On 8/8/00 5:23pm ET   ·   SEC File 811-03258   ·   Accession Number 912057-0-35365

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

 8/08/00  Dfa Investment Dimensions Gr..Inc N-30D       5/31/00    1:152                                    Merrill Corp/FA

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

Document/Exhibit                   Description                      Pages   Size 

 1: N-30D       Annual or Semi-Annual Report Mailed to               152±   613K 
                          Shareholders                                           


Document Table of Contents

Page (sequential) | (alphabetic) Top
 
11st Page
4The Tax-Managed U.S. 5-10 Value Portfolio
18The Tax-Managed U.S. 6-10 Small Company Portfolio
44The Tax-Managed DFA International Value Portfolio
51Statements of Assets and Liabilities
52Statements of Operations
53Statements of Changes in Net Assets
55Financial Highlights
60The Dfa Investment Trust Company
"THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES Schedule of Investments
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-------------------------------------------------------------------------------- DFA Investment Dimensions Group Inc. Tax-Managed U.S. Marketwide Value Portfolio Tax-Managed U.S. 5-10 Value Portfolio Tax-Managed U.S. 6-10 Small Company Portfolio Tax-Managed DFA International Value Portfolio Semi-Annual Report Six Months Ended May 31, 2000 (Unaudited) -------------------------------------
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DFA INVESTMENT DIMENSIONS GROUP INC. SEMI-ANNUAL REPORT (UNAUDITED) TABLE OF CONTENTS [Download Table] PAGE -------- DFA INVESTMENT DIMENSIONS GROUP INC. Schedules of Investments The Tax-Managed U.S. Marketwide Value Portfolio......... 1 The Tax-Managed U.S. 5-10 Value Portfolio............... 2-15 The Tax-Managed U.S. 6-10 Small Company Portfolio....... 16-41 The Tax-Managed DFA International Value Portfolio....... 42-48 Statements of Assets and Liabilities........................ 49 Statements of Operations.................................... 50 Statements of Changes in Net Assets......................... 51-52 Financial Highlights........................................ 53 Notes to Financial Statements............................... 54-57 THE DFA INVESTMENT TRUST COMPANY -- THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES Schedule of Investments..................................... 58-63 Statement of Assets and Liabilities......................... 64 Statement of Operations..................................... 65 Statements of Changes in Net Assets......................... 66 Financial Highlights........................................ 67 Notes to Financial Statements............................... 68-69 This report is submitted for the information of the Fund's shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. i
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DFA INVESTMENT DIMENSIONS GROUP INC. SCHEDULE OF INVESTMENTS THE TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO MAY 31, 2000 (UNAUDITED) [Download Table] VALUE+ ------ Investment in The Tax-Managed U.S. Marketwide Value Series of The DFA Investment Trust Company $206,360,866 ------------ Total Investments (100%) (Cost $193,593,563)++................. $206,360,866 ============ -------------- ++ The cost for federal income tax purposes is $194,047,972. -------------- + See Note B to Financial Statements. See accompanying Notes to Financial Statements. 1
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THE TAX-MANAGED U.S. 5-10 VALUE PORTFOLIO SCHEDULE OF INVESTMENTS MAY 31, 2000 (UNAUDITED) [Download Table] SHARES VALUE+ ------ ------ COMMON STOCKS -- (98.3%) *3-D Systems Corp..................................... 10,600 $ 124,881 *3Dfx Interactive, Inc................................ 32,500 240,703 *A.C. Moore Arts & Crafts, Inc........................ 12,700 73,223 AAR Corp.............................................. 64,900 900,487 ABC Bancorp........................................... 6,360 63,202 *ABC Rail Products Corp............................... 9,400 59,044 Abington Bancorp, Inc................................. 7,000 65,187 *Abraxas Petroleum Corp............................... 6,500 9,685 *Accel International Corp............................. 6,800 4,781 *Acceptance Insurance Companies, Inc.................. 28,500 146,062 Aceto Corp............................................ 14,800 158,175 *Acme Electric Corp................................... 4,100 33,953 *Acorn Products, Inc.................................. 2,400 3,750 *ACT Networks, Inc.................................... 12,900 150,366 *Action Performance Companies, Inc.................... 27,700 222,466 *Acuson Corp.......................................... 7,300 89,425 *Adac Laboratories.................................... 25,000 482,031 Adams Resources & Energy, Inc......................... 2,200 36,437 *ADE Corp............................................. 12,200 186,812 *Adecco SA ADR........................................ 4,909 488,139 *Adept Technology, Inc................................ 11,200 234,500 *Advance Lighting Technologies, Inc................... 13,000 136,094 *Advanced Magnetics, Inc.............................. 4,100 27,675 *Advanced Neuromodulation Systems, Inc................ 6,700 82,075 *Advanced Radio Telecom Corp.......................... 10,000 103,750 Advanta Corp. Class A................................. 24,900 419,409 Advanta Corp. Class B Non-Voting...................... 35,700 431,747 Advest Group, Inc..................................... 20,800 397,800 *Aehr Test Systems.................................... 4,700 27,906 *AEP Industries, Inc.................................. 5,800 95,881 *Aerovox, Inc......................................... 9,000 28,969 *Aetrium, Inc......................................... 6,700 36,222 *Aftermarket Technology Corp.......................... 49,500 292,359 *AG Services America, Inc............................. 1,300 21,206 Agco Corp............................................. 143,300 1,791,250 *Agribiotech, Inc..................................... 39,200 1,274 *Agribrands International, Inc........................ 17,900 741,731 *AHT Corp............................................. 10,100 11,994 *Air Methods Corp..................................... 7,100 24,850 Airborne Freight Corp................................. 87,300 1,762,369 *Airgas, Inc.......................................... 106,400 571,900 *Airnet Systems, Inc.................................. 7,100 31,728 AK Steel Holding Corp................................. 41,295 400,045 Alamo Group, Inc...................................... 23,400 279,337 *Alaska Air Group, Inc................................ 43,400 1,350,825 *Albany International Corp. Class A................... 21,920 313,730 Albemarle Corp........................................ 16,800 369,600 *Aldila, Inc.......................................... 9,000 14,484 Alexander & Baldwin, Inc.............................. 80,300 1,856,937 Alfa Corp............................................. 3,800 64,719 Alico, Inc............................................ 9,000 138,375 *Align-Rite International, Inc........................ 4,600 94,875 Allen Organ Co. Class B............................... 400 25,725 SHARES VALUE+ ------ ------ *Allen Telecom, Inc................................... 29,000 $ 464,000 Alliance Bancorp...................................... 12,600 222,469 *Alliance Pharmaceuticals Corp........................ 9,800 84,219 *Alliance Semiconductor Corp.......................... 40,500 1,002,375 *Allied Healthcare Products, Inc...................... 17,500 57,969 *Allied Holdings, Inc................................. 19,300 123,037 Allied Products Corp.................................. 9,200 12,075 *Allied Research Corp................................. 9,900 76,725 *Allin Communications Corp............................ 12,400 29,450 *Allou Health & Beauty Care, Inc. Class A............. 6,900 47,437 *Alltrista Corp....................................... 3,600 88,425 *Alphanet Solutions, Inc.............................. 8,800 40,700 *Alternative Resources Corp........................... 26,300 36,984 *Alterra Healthcare Corp.............................. 53,200 103,075 Ambanc Holding Co., Inc............................... 11,800 170,731 *Ambassadors, Inc..................................... 13,200 179,437 *AMC Entertainment, Inc............................... 28,800 136,800 Amcast Industrial Corp................................ 21,300 183,712 *Amdocs, Ltd.......................................... 6,616 409,778 *Amerco, Inc.......................................... 27,400 480,356 *America West Holdings Corp. Class B.................. 87,575 1,559,930 American Annuity Group, Inc........................... 1,000 17,062 American Biltrite, Inc................................ 900 11,869 *American Coin Merchandising, Inc..................... 9,200 24,150 *American Dental Technologies, Inc.................... 800 1,050 *American Freightways Corp............................ 77,200 1,150,762 *American Healthcorp, Inc............................. 10,900 43,600 *American Homepatient, Inc............................ 4,600 1,518 *American Homestar Corp............................... 34,600 34,059 *American Indemnity Financial Escrow.................. 1,500 1,500 *American Medical Security Group, Inc................. 24,700 162,094 *American Pacific Corp................................ 17,000 101,469 *American Physicians Services Group, Inc.............. 3,300 10,158 *American Retirement Corp............................. 38,300 210,650 *American Shared Hospital Services.................... 2,100 6,169 *American Skiing Co................................... 21,700 37,975 *American Software, Inc. Class A...................... 18,500 73,133 *American Technical Ceramics Corp..................... 6,400 219,200 *Amerihost Properties, Inc............................ 5,900 20,466 *Ameripath, Inc....................................... 30,700 263,348 *Ameristar Casinos, Inc............................... 12,100 48,022 Ameron, Inc........................................... 9,600 352,800 Amerus Life Holdings, Inc. Class A.................... 37,800 753,637 *Ames Department Stores, Inc.......................... 25,000 296,094 *AMF Bowling, Inc..................................... 25,800 24,187 Ampco-Pittsburgh Corp................................. 23,100 255,544 Amplicon, Inc......................................... 14,900 148,069 *Amrep Corp........................................... 6,400 41,600 *Amtran, Inc.......................................... 29,000 410,531 *Anadigics, Inc....................................... 450 15,623 Analogic Corp......................................... 1,400 50,487 Andersons, Inc........................................ 1,400 12,337 2
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THE TAX-MANAGED U.S. 5-10 VALUE PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------ ------ Andover Bancorp, Inc.................................. 2,200 $ 63,937 *Angeion Corp......................................... 130 179 *Anicom, Inc.......................................... 60,700 300,655 *Ann Taylor Stores Corp............................... 40,300 1,047,800 Apogee Enterprises, Inc............................... 66,800 271,375 *Applica, Inc......................................... 35,700 526,575 *Applied Extrusion Technologies, Inc.................. 28,300 166,262 *Applied Films Corp................................... 3,000 69,000 *Applied Graphics Technologies, Inc................... 23,300 80,822 Applied Industrial Technologies, Inc.................. 30,100 524,869 *Applied Magnetics Corp............................... 5,000 119 *Applied Microsystems Corp............................ 6,400 35,600 Applied Signal Technologies, Inc...................... 7,500 75,937 *Aquila Biopharmaceuticals, Inc....................... 2,200 5,156 *Arch Capital Group, Ltd.............................. 22,600 341,119 Arch Chemicals, Inc................................... 53,900 929,775 Arch Coal, Inc........................................ 91,900 689,250 Arctic Cat, Inc....................................... 20,600 222,094 Argonaut Group, Inc................................... 36,900 666,506 *Ariel Corp........................................... 7,600 20,662 *Arkansas Best Corp................................... 23,500 259,969 Armstrong Holdings, Inc............................... 54,900 943,594 Arnold Industries, Inc................................ 59,300 680,097 *Arqule, Inc.......................................... 12,600 86,625 Arvin Industries, Inc................................. 35,700 642,600 ASB Financial Corp.................................... 2,500 21,953 *Ashworth, Inc........................................ 20,700 88,622 *Astea International, Inc............................. 24,500 53,977 Astro-Med, Inc........................................ 5,400 31,725 *Atchison Casting Corp................................ 7,000 49,437 *Atlanta Sosnoff Capital Corp......................... 3,800 36,575 *Atlantic American Corp............................... 29,400 91,875 *Atrion Corp.......................................... 5,000 59,375 *Audiovox Corp. Class A............................... 18,700 353,547 *Ault, Inc............................................ 4,700 27,466 *Aurora Foods, Inc.................................... 36,100 128,606 *Auspex Systems, Inc.................................. 23,400 111,881 Avado Brands, Inc..................................... 23,700 33,698 *Avatar Holdings, Inc................................. 19,300 381,778 *Aviation Sales Co.................................... 4,100 27,419 *Avid Technology, Inc................................. 59,100 594,694 *Avis Group Holdings, Inc............................. 74,900 1,441,825 *Avteam, Inc. Class A................................. 18,401 36,581 *Axsys Technologies, Inc.............................. 9,000 132,187 *Aztar Corp........................................... 71,600 912,900 Aztec Manufacturing Co................................ 3,200 51,200 *Badger Paper Mills, Inc.............................. 400 1,737 Bairnco Corp.......................................... 10,900 78,344 Baker (J.), Inc....................................... 33,800 215,475 *Baker (Michael) Corp................................. 9,100 59,150 Baldwin & Lyons, Inc. Class B......................... 14,300 259,187 *Baldwin Technology, Inc. Class A..................... 1,000 2,125 *Ballantyne Omaha, Inc................................ 17,500 42,656 *Bancinsurance Corp................................... 1,585 6,538 Bandag, Inc........................................... 12,750 316,359 Bandag, Inc. Class A.................................. 23,200 527,800 *Bank Plus Corp....................................... 30,500 84,828 *Bank United Financial Corp. Class A.................. 27,600 177,675 BankAtlantic Bancorp, Inc. Class A.................... 1,545 5,890 BankAtlantic Bancorp, Inc. Class B.................... 8,500 48,609 Banta Corp............................................ 18,400 340,400 *Barrett Business Services, Inc....................... 3,000 16,687 SHARES VALUE+ ------ ------ *Barrett Resources Corp............................... 5,100 $ 201,769 *Barringer Technologies, Inc.......................... 13,800 84,956 *Barry (R.G.) Corp.................................... 10,700 36,781 *Basin Exploration, Inc............................... 10,700 177,887 Bassett Furniture Industries, Inc..................... 19,200 234,600 *Battle Mountain Gold Co.............................. 63,200 122,450 Bay View Capital Corp................................. 39,607 401,021 *Baycorp Holdings, Ltd................................ 3,200 26,000 *Bayou Steel Corp. Class A............................ 7,650 17,212 *Be Aerospace, Inc.................................... 19,700 136,053 *Beazer Homes USA, Inc................................ 21,300 391,387 *Bel Fuse, Inc. Class A............................... 3,500 63,656 *Belco Oil & Gas Corp................................. 20,200 157,812 *Bell Microproducts, Inc.............................. 14,000 181,125 *Benchmark Electronics, Inc........................... 18,900 642,600 *Benton Oil & Gas Co.................................. 24,300 66,825 Bergen Brunswig Corp. Class A......................... 182,497 946,703 Berkley (W.R.) Corp................................... 56,600 1,246,969 *Berlitz International, Inc........................... 21,500 239,187 *Bethlehem Steel Corp................................. 202,634 785,207 *Beverly Enterprises.................................. 217,700 653,100 BHA Group Holdings, Inc. Class A...................... 7,185 72,748 *BI, Inc.............................................. 18,700 99,344 Bindley Western Industries, Inc....................... 28,300 539,469 *Bio Vascular, Inc.................................... 10,300 29,934 *Bionx Implants, Inc.................................. 1,200 2,625 *Bio-Rad Laboratories, Inc. Class A................... 9,200 213,325 *BioReliance Corp..................................... 9,000 45,281 *Biosource International, Inc......................... 8,600 58,587 Birmingham Steel Corp................................. 44,700 173,212 Blair Corp............................................ 14,900 286,825 Block Drug Co., Inc. Class A.......................... 27,744 768,162 *Blonder Tongue Laboratories, Inc..................... 4,700 32,312 BMC Industries, Inc................................... 56,000 213,500 Bob Evans Farms, Inc.................................. 78,100 1,059,231 *Boca Research, Inc................................... 8,100 44,044 *Boca Resorts, Inc.................................... 58,000 500,250 *Bolt Technology Corp................................. 5,600 25,200 *Bombay Co., Inc...................................... 53,040 169,065 *Bon-Ton Stores, Inc.................................. 9,800 21,897 *Books-a-Million, Inc................................. 20,200 68,806 *Borders Group, Inc................................... 8,500 119,531 Borg Warner Automotive, Inc........................... 41,000 1,629,750 *Boron, Lepore and Associates, Inc.................... 29,600 226,625 *Boston Biomedical, Inc............................... 3,300 12,066 *Boston Communications Group, Inc..................... 13,500 138,797 Bostonfed Bancorp, Inc................................ 1,500 19,687 Bowl America, Inc. Class A............................ 3,200 24,800 Bowne & Co., Inc...................................... 86,800 873,425 *Boyd Gaming Corp..................................... 63,700 314,519 *Brass Eagle, Inc..................................... 8,000 39,000 *Bridgestreet Accomodations, Inc...................... 7,200 19,800 *Brightpoint, Inc..................................... 33,500 389,437 *BrightStar Information Technology Group, Inc......... 13,200 51,150 *Brookdale Living Communities......................... 10,200 138,975 Brookline Bancorp, Inc................................ 47,200 461,675 *Brooks Automation, Inc............................... 6,200 247,225 *Brown & Sharpe Manufacturing Co. Class A............. 24,900 56,025 *Brown (Tom), Inc..................................... 34,500 752,531 Brown Shoe Company, Inc............................... 23,100 275,756 3
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THE TAX-MANAGED U.S. 5-10 VALUE PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------ ------ *Brunswick Technologies, Inc.......................... 5,700 $ 50,053 Brush Wellman, Inc.................................... 21,700 378,394 BSB Bancorp, Inc...................................... 4,500 85,922 *BTU International, Inc............................... 8,100 70,116 *Budget Group, Inc.................................... 77,000 293,562 *Buffets, Inc......................................... 58,500 678,234 *Building Materials Holding Corp...................... 30,500 283,078 Burlington Coat Factory Warehouse Corp................ 104,780 1,329,396 *Burlington Industries, Inc........................... 64,500 213,656 *Bush Boake Allen, Inc................................ 6,250 203,906 Bush Industries, Inc. Class A......................... 15,850 270,441 *Business Resource Group.............................. 4,100 25,497 *Butler International, Inc............................ 800 6,550 Butler Manufacturing Co............................... 12,800 285,600 *BWAY Corp............................................ 16,100 115,719 *C.P. Clare Corp...................................... 23,100 151,594 Cadmus Communications Corp............................ 18,900 164,194 Calgon Carbon Corp.................................... 93,400 612,937 *Caliber Learning Network, Inc........................ 30,300 82,378 *California Coastal Communities, Inc.................. 9,800 56,044 *California Micro Devices Corp........................ 6,600 93,431 *Callon Petroleum Co.................................. 5,100 77,775 Cal-Maine Foods, Inc.................................. 11,400 38,119 Camco Financial Corp.................................. 7,700 69,300 *Cameron Ashley Building Products, Inc................ 15,500 279,969 *Cannondale Corp...................................... 18,000 129,375 *Canterbury Information Technology, Inc............... 7,000 18,594 *Capital Corp. of the West............................ 4,200 41,212 *Capital Crossing Bank................................ 14,200 145,550 *Capital Pacific Holdings, Inc........................ 16,900 46,475 *Capital Senior Living Corp........................... 17,300 41,087 *Capital Trust, Inc................................... 11,300 43,787 Capitol Transamerica Corp............................. 14,650 164,812 Caraustar Industries, Inc............................. 8,300 137,209 *Carbide/Graphite Group, Inc.......................... 14,500 62,078 *Caredata.com, Inc.................................... 11,400 45,600 *Carematrix, Inc...................................... 24,400 17,919 *Caribiner International, Inc......................... 33,200 24,900 *Carmike Cinemas, Inc. Class A........................ 16,700 88,719 Carpenter Technology Corp............................. 52,800 1,092,300 *Carriage Services, Inc. Class A...................... 16,300 46,862 *Carrington Laboratories, Inc......................... 22,900 50,809 *Carson, Inc.......................................... 18,300 74,344 Carter-Wallace, Inc................................... 23,000 460,000 Cascade Corp.......................................... 8,800 99,000 *Casella Waste Systems, Inc. Class A.................. 20,700 269,100 Casey's General Stores, Inc........................... 1,700 20,081 Cash America International, Inc....................... 25,000 256,250 *Casino Data Systems.................................. 23,200 102,587 *Castle & Cooke, Inc.................................. 39,200 730,100 Castle (A.M.) & Co.................................... 3,200 39,800 *Castle Dental Centers, Inc........................... 4,600 11,212 Castle Energy Corp.................................... 17,000 102,797 *Catalina Lighting, Inc............................... 10,800 43,200 Cato Corp. Class A.................................... 26,700 331,247 Cavalier Homes, Inc................................... 1,000 1,500 *CB Richard Ellis Services, Inc....................... 30,000 301,875 CBRL Group, Inc....................................... 78,500 1,135,797 *Celadon Group, Inc................................... 11,800 159,669 SHARES VALUE+ ------ ------ *Celeris Corporation.................................. 6,966 $ 19,265 *Celeritek, Inc....................................... 6,700 322,228 Cenit Bancorp, Inc.................................... 3,700 41,162 *Centigram Communications Corp........................ 8,600 161,519 Central Bancorp, Inc.................................. 3,500 56,984 *Central Garden & Pet Co.............................. 6,300 71,859 Century Aluminum Co................................... 25,100 256,491 *Century Business Services, Inc....................... 29,400 76,716 *Ceradyne, Inc........................................ 8,400 69,300 *Cerprobe Corp........................................ 9,300 115,087 *CFM Technologies, Inc................................ 8,400 65,625 *Champion Enterprises, Inc............................ 92,600 526,662 Champion Industries, Inc.............................. 8,900 25,309 *Champps Entertainment, Inc........................... 1,000 3,906 *Charming Shoppes, Inc................................ 145,700 860,541 *Chart House Enterprises, Inc......................... 13,900 73,844 *Chase Industries, Inc................................ 15,050 139,212 *Check Technology Corp................................ 5,900 30,053 *Checkers Drive-In Restaurant, Inc.................... 5,637 12,067 *Checkpoint System, Inc............................... 72,600 576,262 Chemed Corp........................................... 8,300 251,594 *Chemfab Corp......................................... 13,050 130,500 Chemfirst, Inc........................................ 15,700 327,737 *Cherry Corp.......................................... 10,000 201,250 Chesapeake Corp....................................... 26,500 866,219 Chesapeake Utilities Corp............................. 4,000 70,750 Chicago Rivet & Machine Co............................ 400 8,900 *Children's Comprehensive Services, Inc............... 17,200 38,700 *Childtime Learning Centers, Inc...................... 4,700 31,725 Chiquita Brands International, Inc.................... 65,800 259,087 *Chromcraft Revington, Inc............................ 2,100 23,362 *Chronimed, Inc....................................... 6,600 43,312 *Chyron Corp.......................................... 27,000 67,500 CICOR International, Inc.............................. 11,600 122,525 *CIDCO, Inc........................................... 34,700 106,269 *Ciprico, Inc......................................... 6,500 70,281 Circle International, Inc............................. 8,300 156,922 *Circuit City Stores, Inc. (Carmax Group)............. 28,600 76,862 *Citadel Holding Corp. Class A........................ 4,720 14,750 *Citation Holding Corp. Class B....................... 1,180 3,687 City Holding Co....................................... 40,600 403,462 CKE Restaurants, Inc.................................. 113,200 374,975 *Clean Harbors, Inc................................... 21,300 39,272 Cleveland Cliffs, Inc................................. 25,100 638,481 *Clintrials Research, Inc............................. 25,200 81,506 CNA Surety Corp....................................... 8,000 100,000 *CNS, Inc............................................. 29,600 118,400 Coachmen Industries, Inc.............................. 37,400 446,462 *Coast Dental Services, Inc........................... 8,700 17,808 Coastal Bancorp, Inc.................................. 15,050 226,691 *Coastcast Corp....................................... 8,100 154,912 *Cobra Electronic Corp................................ 7,500 41,250 *Coeur d'Alene Mines Corp. ID......................... 15,000 36,562 *Coherent, Inc........................................ 18,300 1,030,519 *Coinmach Laundry Corp................................ 16,200 219,206 Cole National Corp. Class A........................... 19,900 125,619 *Columbia Banking System, Inc......................... 9,240 100,774 Columbus McKinnon Corp................................ 23,500 324,594 *Comdial Corp......................................... 9,500 86,836 *Comforce Corp........................................ 19,000 38,000 4
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THE TAX-MANAGED U.S. 5-10 VALUE PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------ ------ *Comfort Systems USA, Inc............................. 32,500 $ 197,031 *Command Systems, Inc................................. 3,800 7,006 Commerce Group, Inc................................... 38,600 1,047,025 Commercial Federal Corp............................... 82,900 1,321,219 Commercial Metals Co.................................. 34,200 899,887 Commonwealth Bancorp, Inc............................. 7,400 85,562 Commonwealth Industries, Inc.......................... 40,000 246,250 Communications Systems, Inc........................... 3,400 46,537 Community Financial Corp.............................. 3,000 33,562 Community Financial Group, Inc........................ 3,400 44,625 Community Savings Bankshares, Inc..................... 16,600 175,337 Community Trust Bancorp, Inc.......................... 5,170 74,803 *Compucom Systems, Inc................................ 63,900 153,759 Comsat Corp. Series 1................................. 38,900 953,050 *Comshare, Inc........................................ 10,500 40,031 *Comstock Resources, Inc.............................. 42,800 321,000 *Concentrex, Inc...................................... 5,200 23,562 *Concord Camera Corp.................................. 19,600 332,587 *Condor Technology Solutions, Inc..................... 14,400 6,075 *Cone Mills Corp. NC.................................. 36,900 212,175 *Congoleum Corp. Class A.............................. 2,800 8,750 *Consolidated Freightways Corp........................ 24,500 111,781 *Consolidated Graphics, Inc........................... 21,300 220,987 Cooper Tire & Rubber Co............................... 182,000 2,195,375 *CoorsTek, Inc........................................ 9,775 315,244 *Core Materials Corp.................................. 700 1,094 Corn Products International, Inc...................... 59,600 1,463,925 *Cornell Corrections, Inc............................. 23,000 166,750 Corning, Inc.......................................... 8,010 1,549,434 *Correctional Services Corp........................... 14,400 63,450 *Corrpro Companies, Inc............................... 11,000 41,250 Corus Bankshares, Inc................................. 20,000 496,250 *Cost-U-Less, Inc..................................... 2,500 4,141 *Cotelligent Group, Inc............................... 24,000 109,500 Courier Corp.......................................... 1,500 38,812 *Covenant Transport, Inc. Class A..................... 30,200 310,494 *Coventry Health Care, Inc............................ 80,700 955,791 Covest Bancshares, Inc................................ 3,500 36,422 CPAC, Inc............................................. 8,800 60,500 *Craig (Jenny), Inc................................... 49,800 71,587 *Craig Corp........................................... 900 3,656 *Credit Acceptance Corp............................... 13,900 77,319 *Cross (A.T.) Co. Class A............................. 21,600 132,300 Cross Timbers Oil Co.................................. 23,200 471,250 *Crossman Communities, Inc............................ 14,100 249,834 *Crown Central Petroleum Corp. Class A................ 6,600 59,812 *Crown Central Petroleum Corp. Class B................ 7,000 63,437 *Crown Vantage, Inc................................... 10,800 2,531 *CSP, Inc............................................. 6,061 37,692 *CSS Industries, Inc.................................. 16,000 320,000 *CTB International Corp............................... 17,600 114,675 Cubic Corp............................................ 15,800 316,000 Culp, Inc............................................. 10,800 68,175 *Curative Health Services, Inc........................ 10,500 56,602 *Cyberoptics Corp..................................... 5,000 186,406 *Cybex International, Inc............................. 7,300 19,619 *Cylink Corp.......................................... 16,100 222,381 *Cyrk, Inc............................................ 24,300 139,725 *D A Consulting Group, Inc............................ 8,300 18,286 Dain Rauscher Corp.................................... 9,300 554,512 SHARES VALUE+ ------ ------ *Damark International, Inc. Class A................... 7,600 $ 143,212 *Dan River, Inc. (GA) Class A......................... 28,600 143,000 *Danielson Holding Corp............................... 3,000 14,250 *Darling International, Inc........................... 1,000 1,187 *Data I/O Corp........................................ 6,100 22,875 Data Research Association, Inc........................ 600 3,094 *Data Systems & Software, Inc......................... 10,200 45,900 *DataTRAK International, Inc.......................... 7,900 42,956 *Dataware Technologies, Inc........................... 2,800 7,437 *Datron Systems, Inc.................................. 3,800 44,056 *Datum, Inc........................................... 6,500 101,156 *Dave and Busters, Inc................................ 18,500 127,187 *Dawson Geophysical Co................................ 9,400 91,356 *Dayton Superior Corp. Class A........................ 5,600 142,800 *Deckers Outdoor Corp................................. 12,000 40,500 *Del Global Technologies Corp......................... 7,100 59,462 *Delia's, Inc......................................... 14,900 37,250 *Delphi Financial Group, Inc. Class A................. 16,398 549,333 *Delta Financial Corp................................. 1,900 3,325 Delta Natural Gas Co., Inc............................ 2,800 42,262 Deltic Timber Corp.................................... 1,300 27,787 Designs, Inc.......................................... 500 766 *Detection Systems, Inc............................... 8,000 79,000 Detroit Diesel Corp................................... 32,200 507,150 Dexter Corp........................................... 4,000 173,000 *Digi International, Inc.............................. 26,800 138,187 Dime Community Bancorp, Inc........................... 11,100 180,375 *Diodes, Inc.......................................... 4,600 125,350 *Discount Auto Parts, Inc............................. 2,500 25,000 *Dixie Group, Inc..................................... 12,719 45,311 *Dollar Thrifty Automotive Group, Inc................. 34,000 612,000 Donegal Group, Inc.................................... 6,000 41,719 *Donna Karan International, Inc....................... 21,900 154,669 Donnelly Corp. Class A................................ 5,600 80,850 Downey Financial Corp................................. 35,700 1,062,075 *Dress Barn, Inc...................................... 24,700 525,647 *DRS Technologies, Inc................................ 9,500 108,062 *Drug Emporium, Inc................................... 17,900 20,417 *Drypers Corp......................................... 13,000 23,359 DT Industries, Inc.................................... 10,800 108,675 *Duckwall-Alco Stores, Inc............................ 1,300 11,212 *Ducommun, Inc........................................ 10,300 115,231 *Dura Automotive Systems, Inc......................... 1,085 12,918 *Dura Pharmaceuticals, Inc............................ 43,000 503,906 *DVI, Inc............................................. 24,500 352,187 *Dwyer Group, Inc..................................... 7,600 19,000 *Dynamics Research Corp............................... 8,800 62,150 *E Com Ventures, Inc.................................. 5,200 15,762 Eagle Bancshares, Inc................................. 700 8,181 Earthgrains Co........................................ 42,700 704,550 *ECC International Corp............................... 10,800 32,400 Edelbrock Corp........................................ 4,200 48,037 Edo Corp.............................................. 5,600 36,050 *Educational Insights, Inc............................ 2,800 3,456 *EduTrek International, Inc........................... 4,700 6,316 *EFTC Corp............................................ 15,700 33,117 *Elantec Semiconductor, Inc........................... 3,000 114,469 *Elcom International, Inc............................. 3,900 20,353 *Elcotel, Inc......................................... 10,200 18,966 *Elder-Beerman Stores Corp............................ 21,200 96,725 *Electro Rent Corp.................................... 10,100 109,837 *Electroglas, Inc..................................... 12,200 321,775 5
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THE TAX-MANAGED U.S. 5-10 VALUE PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------ ------ *Elite Information Group, Inc......................... 11,000 $ 70,125 Ellett Brothers, Inc.................................. 4,500 18,562 EMC Insurance Group, Inc.............................. 1,000 8,062 *Emcor Group, Inc..................................... 8,400 186,375 Empire Federal Bancorp, Inc........................... 1,800 19,912 *EMS Technologies, Inc................................ 9,800 158,331 *Encad, Inc........................................... 16,800 58,800 *Encompass Services Corp.............................. 95,125 558,859 *Encore Wire Corp..................................... 15,000 94,219 *Endosonics Corp...................................... 11,800 50,334 Energen Corp.......................................... 24,300 537,637 Enesco Group, Inc..................................... 27,500 110,000 Engineered Support Systems, Inc....................... 6,500 82,062 Engle Homes, Inc...................................... 21,300 204,347 Enhance Financial Services Group, Inc................. 63,500 873,125 Ennis Business Forms, Inc............................. 500 3,687 *Enserch Exploration Corp............................. 82,900 424,862 *Equinox Systems, Inc................................. 6,000 34,875 *Equity Marketing, Inc................................ 4,400 44,550 *Esco Electronics Corp................................ 17,700 311,962 Eskimo Pie Corp....................................... 3,600 35,437 Espey Manufacturing & Electronics Corp................ 400 5,750 *Esterline Technologies Corp.......................... 26,200 356,975 Ethyl Corp............................................ 112,200 287,512 *Evans & Sutherland Computer Corp..................... 5,900 46,647 Everest Re Group, Ltd................................. 2,100 71,400 *Exabyte Corp......................................... 33,000 139,219 *Exar Corp............................................ 12,900 885,666 *Exponent, Inc........................................ 11,400 89,419 *Extended Stay America, Inc........................... 215,400 1,938,600 *Extended Systems, Inc................................ 5,000 161,250 Ezcorp, Inc. Class A Non-Voting....................... 9,000 19,687 *E-Z-Em, Inc. Class A................................. 3,700 25,437 *Fairchild Corp. Class A.............................. 11,400 54,150 Falcon Products, Inc.................................. 9,200 90,850 *Farm Family Holdings, Inc............................ 3,500 94,500 Farrel Corp........................................... 6,000 9,750 FBL Financial Group, Inc. Class A..................... 7,000 102,375 *Featherlite Manufacturing, Inc....................... 400 1,387 Federal-Mogul Corp.................................... 92,400 918,225 *FEI Co............................................... 30,500 551,859 FFLC Bancorp.......................................... 1,700 21,781 *Fibermark, Inc....................................... 12,700 132,556 Fidelity National Financial, Inc...................... 35,800 554,900 *Finish Line, Inc. Class A............................ 1,500 10,406 *Finishmaster, Inc.................................... 9,000 48,937 Finova Group, Inc..................................... 77,100 920,381 First American Financial Corp......................... 91,600 1,522,850 First Bell Bancorp, Inc............................... 6,400 91,400 First Charter Corp.................................... 31,700 506,209 First Citizens Bancshares, Inc. NC.................... 12,200 735,812 First Defiance Financial Corp......................... 6,100 50,516 First Essex Bancorp................................... 8,800 144,925 First Federal Bancshares of Arkansas, Inc............. 4,000 60,500 First Indiana Corp.................................... 700 12,228 *First Investors Financial Services Group, Inc........ 13,000 61,344 First Mariner Bank Corp............................... 1,300 8,369 First Midwest Financial, Inc.......................... 3,400 33,681 SHARES VALUE+ ------ ------ First Niagara Financial Group, Inc.................... 37,300 $ 341,528 First Northern Capital Corp........................... 13,500 180,141 *First Republic Bank.................................. 13,800 232,875 First Savings Bancorp, Inc. North Carolina............ 5,400 97,200 First Sentinel Bancorp, Inc........................... 43,300 337,605 *First Team Sports, Inc............................... 8,100 17,339 First Washington Bancorp, Inc......................... 7,300 105,622 FirstBank NW Corp..................................... 1,000 10,125 Firstfed America Bancorp, Inc......................... 5,100 59,287 *FirstFed Financial Corp. DE.......................... 11,000 147,812 Firstspartan Financial Corp........................... 5,000 87,500 *Fischer Imaging Corp................................. 3,200 8,600 Flagstar Bancorp, Inc................................. 17,100 160,847 *Flander Corp......................................... 33,900 120,769 Fleetwood Enterprises, Inc............................ 45,700 651,225 Fleming Companies, Inc................................ 54,800 770,625 Flexsteel Industries, Inc............................. 7,100 91,634 *Florsheim Group, Inc................................. 300 741 Flushing Financial Corp............................... 18,200 262,762 FNB Financial Services Corp........................... 2,300 28,175 *Foilmark, Inc........................................ 7,100 27,291 *Forcenergy, Inc...................................... 19,700 15,464 *Forest Oil Corp...................................... 21,800 347,437 *Foster (L.B.) Co. Class A............................ 7,900 26,416 Foster Wheeler Corp................................... 34,900 294,469 *Foundation Health Systems, Inc....................... 50,000 600,000 *FPIC Insurance Group, Inc............................ 15,000 193,594 Frankfort First Bancorp, Inc.......................... 200 2,375 Franklin Bank National Associaton Southfield, MI...... 9,300 80,212 *Franklin Covey Co.................................... 28,400 220,100 *Franklin Electronic Publishers, Inc.................. 3,900 25,350 Freds, Inc. Class A................................... 12,800 219,200 Fremont General Corp.................................. 103,800 454,125 *French Fragrances, Inc............................... 18,300 140,681 Frequency Electronics, Inc............................ 9,200 156,400 *Fresh America Corp................................... 11,500 25,156 *Fresh Choice, Inc.................................... 4,000 14,437 *Fresh Foods, Inc..................................... 4,500 13,219 *Friede Goldman International......................... 13,469 113,645 *Friedman Billings Ramsey Group, Inc. Class A......... 15,900 101,362 Friedman Industries, Inc.............................. 6,840 22,232 Friedmans, Inc. Class A............................... 7,200 43,425 Frisch's Restaurants, Inc............................. 7,500 73,125 *Fritz Companies, Inc................................. 27,100 282,009 Frozen Food Express Industries, Inc................... 6,700 16,959 FSF Financial Corp.................................... 4,200 51,975 *FSI International, Inc............................... 21,800 314,056 *FTI Consulting, Inc.................................. 7,000 65,625 GA Financial, Inc..................................... 3,500 41,125 *Gadzooks, Inc........................................ 10,600 151,050 Gainsco, Inc.......................................... 27,300 143,325 *Galey & Lord, Inc.................................... 13,400 32,662 *GameTech International, Inc.......................... 6,600 42,075 Garan, Inc............................................ 1,000 20,500 *Garden Fresh Restaurant Corp......................... 13,200 143,550 *Gasonics International, Inc.......................... 1,400 38,150 *GC Companies, Inc.................................... 4,600 121,612 *Gehl Co.............................................. 10,100 180,853 Gencorp, Inc.......................................... 74,000 726,125 6
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THE TAX-MANAGED U.S. 5-10 VALUE PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------ ------ General Binding Corp.................................. 18,000 $ 135,000 General Cable Corp.................................... 33,700 280,131 *General Communications, Inc. Class A................. 60,000 288,750 *Genesee & Wyoming, Inc............................... 6,000 109,875 *Genicom Corp......................................... 8,800 1,012 *Genlyte Group, Inc................................... 28,700 583,866 *Genome Therapeutics Corp............................. 8,000 124,250 *Gensym Corp.......................................... 7,700 28,033 *Gentiva Health Services.............................. 17,300 150,834 *Gerber Childrenswear, Inc............................ 11,300 59,325 Gerber Scientific, Inc................................ 13,300 159,600 *Getty Petroleum Marketing, Inc....................... 9,200 33,350 *Giant Industries, Inc................................ 17,400 153,337 Gibraltar Steel Corp.................................. 19,500 308,953 *Giga-Tronics, Inc.................................... 2,800 21,175 *G-III Apparel Group, Ltd............................. 10,300 47,637 Glatfelter (P.H.) Co.................................. 63,100 745,369 *Glenayre Technologies, Inc........................... 69,900 574,491 *Global Sources, Ltd.................................. 541 14,928 *Global Vacation Group, Inc........................... 20,000 51,250 *Globe Business Resources, Inc........................ 4,600 58,794 Golden Enterprises, Inc............................... 300 937 *Golden State Vintners, Inc........................... 5,400 25,987 *Good Guys, Inc....................................... 17,100 45,956 *Goodys Family Clothing............................... 50,300 275,078 Gorman-Rupp Co........................................ 7,700 134,269 *Gottschalks, Inc..................................... 18,000 91,125 *Government Technology Services, Inc.................. 5,200 15,762 *GP Strategies Corp................................... 9,900 37,744 Granite Construction, Inc............................. 19,000 495,187 *Graphic Packaging International Corp................. 12,300 42,281 Great Atlantic & Pacific Tea Co., Inc................. 55,200 1,014,300 *Greenbriar Corp...................................... 2,200 3,300 Greenbrier Companies, Inc............................. 4,100 31,262 *Grey Wolf, Inc....................................... 16,500 82,500 *Griffin Land & Nurseries, Inc. Class A............... 1,900 25,650 *Griffon Corp......................................... 49,700 301,306 *Group 1 Automotive, Inc.............................. 12,800 147,200 *GT Interactive Software Corp......................... 47,100 98,616 Guaranty Federal Bancshares, Inc...................... 7,500 74,766 *Guest Supply, Inc.................................... 5,800 101,862 Guilford Mills, Inc................................... 9,300 61,031 *Gulf Island Fabrication, Inc......................... 9,800 169,969 *Gulfmark Offshore, Inc............................... 14,800 319,125 *Gundle/SLT Environmental, Inc........................ 5,400 16,875 *Gymboree Corp........................................ 33,200 92,856 *GZA Geoenvironmental Technologies, Inc............... 1,600 9,800 Haggar Corp........................................... 15,100 175,066 *Hagler Bailly, Inc................................... 24,100 43,681 *Halifax Corp......................................... 2,000 10,375 Hallmark Capital Corp................................. 2,900 24,650 *Ha-Lo Industries, Inc................................ 33,100 184,119 Hancock Fabrics, Inc.................................. 5,600 26,250 Hancock Holding Co.................................... 4,300 136,525 *Handleman Co......................................... 24,400 237,900 *Hanger Orthopedic Group, Inc......................... 10,800 51,975 Harbor Florida Bancshares, Inc........................ 21,500 227,766 *Harding Lawson Associates Group, Inc................. 6,800 77,137 SHARES VALUE+ ------ ------ Hardinge Brothers, Inc................................ 5,500 $ 53,109 Harleysville Group, Inc............................... 8,900 150,744 Harman International Industries, Inc.................. 2,900 167,837 Harmon Industries, Inc................................ 3,600 48,150 Hartford Life, Inc. Class A........................... 36,700 1,841,881 *Hartmarx Corp........................................ 33,500 75,375 *Hastings Entertainment, Inc.......................... 18,300 24,305 *Hauser, Inc.......................................... 1,900 2,612 Haven Bancorp, Inc.................................... 11,100 199,106 *Hawaiian Airlines, Inc............................... 20,500 51,250 *Hawk Corp............................................ 15,000 102,187 *Hawker Pacific Aerospace............................. 6,000 33,750 *Hawthorne Financial Corp............................. 8,900 72,312 HCC Insurance Holdings, Inc........................... 27,700 472,631 *Headway Corporate Resources, Inc..................... 2,500 7,969 *Health Management Systems, Inc....................... 15,000 62,109 *Health Systems Design Corp........................... 5,000 28,125 *Healthcare Recoveries, Inc........................... 13,700 47,736 *Healthcare Services Group, Inc....................... 19,500 87,750 Healthplan Services Corp.............................. 15,500 37,781 *Hector Communications Corp........................... 4,300 54,825 Heico Corp............................................ 20,000 262,500 Heilig-Meyers Co...................................... 69,000 116,437 *Hello Direct, Inc.................................... 3,900 48,506 Helmerich & Payne, Inc................................ 3,900 145,275 *Herley Industries, Inc............................... 3,500 56,656 *Hexcel Corp.......................................... 23,300 180,575 *High Plains Corp..................................... 22,400 50,400 *Highlands Insurance Group, Inc....................... 7,400 53,650 *Hirsch International Corp. Class A................... 900 1,266 *Hi-Tech Pharmacal, Inc............................... 6,700 26,067 HMN Financial, Inc.................................... 6,000 67,875 *HMT Technology Corp.................................. 72,000 123,750 *Holiday RV Superstores, Inc.......................... 500 2,094 Holly Corp............................................ 11,000 110,000 *Hollywood Entertainment Corp......................... 26,100 179,845 *Hologic, Inc......................................... 25,900 148,925 *Home Products International, Inc..................... 10,300 44,419 *Homestead Village, Inc............................... 3,900 15,844 Horizon Financial Corp................................ 10,000 93,437 *Horizon Health Corp.................................. 8,800 53,350 *Horizon Offshore, Inc................................ 31,400 354,231 *Horizon Pharmacies, Inc.............................. 6,600 24,750 Horton (D.R.), Inc.................................... 131,100 1,712,494 *Hotelworks.com, Inc.................................. 27,900 10,462 *Houston Exploration Co............................... 24,500 612,500 *Hovnanian Enterprises, Inc. Class A.................. 6,200 34,100 *HPSC, Inc............................................ 3,600 33,975 *HS Resources, Inc.................................... 25,900 869,269 *Hub Group, Inc. Class A.............................. 6,300 79,734 Hudson River Bancorp, Inc............................. 31,600 309,087 Huffy Corp............................................ 7,600 24,700 Hughes Supply, Inc.................................... 1,300 24,700 *Humana, Inc.......................................... 167,500 942,187 Hunt (J.B.) Transport Services, Inc................... 24,400 394,212 Hunt Corp............................................. 15,100 151,944 *Huntco, Inc. Class A................................. 7,100 21,744 *Hurco Companies, Inc................................. 3,500 15,312 *Hutchinson Technology, Inc........................... 43,100 507,772 *Hypercom Corp........................................ 44,300 553,750 *Hyseq, Inc........................................... 12,100 280,191 Iberiabank Corp....................................... 5,300 79,169 7
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THE TAX-MANAGED U.S. 5-10 VALUE PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------ ------ *ICT Group, Inc....................................... 10,400 $ 73,125 *IDT Corp............................................. 6,000 195,562 *IEC Electronics Corp................................. 2,400 4,575 *IFR Systems, Inc..................................... 11,000 62,906 *IHOP Corp............................................ 16,100 283,762 *II-VI, Inc........................................... 8,200 315,187 Ikon Office Solutions, Inc............................ 236,400 1,182,000 *Ikos Systems, Inc.................................... 3,600 30,656 *Il Fornaio (America) Corp............................ 6,200 53,475 *Imation Corp......................................... 41,300 1,169,306 IMCO Recycling, Inc................................... 5,100 34,106 *Imperial Credit Industries, Inc...................... 36,100 126,350 Imperial Sugar Co..................................... 5,900 8,112 *In Focus Systems, Inc................................ 15,400 429,756 *Inacom Corp.......................................... 75,640 12,859 Independence Community Bank Corp...................... 93,600 1,251,900 Independent Bank East................................. 10,344 135,118 *Industrial Distribution Group, Inc................... 1,000 2,375 *Industrial Holdings, Inc............................. 10,000 11,562 *Industri-Matematik International Corp................ 2,000 10,500 *Inference Corp. Class A.............................. 2,000 12,375 *Infinium Software, Inc............................... 3,300 10,622 *Information Management Associates, Inc............... 12,000 52,500 *Information Resources, Inc........................... 3,100 15,403 Ingles Market, Inc. Class A........................... 15,000 148,125 *Ingram Micro, Inc.................................... 145,800 2,460,375 *Innotrac Corp........................................ 19,600 96,775 *Innovative Clinical Solutions, Ltd................... 16,100 2,817 *Innoveda, Inc........................................ 33,000 147,469 Innovex, Inc.......................................... 12,800 110,000 *Inprise Corp......................................... 29,700 165,670 *Input/Output, Inc.................................... 40,400 318,150 *Insignia Financial Group, Inc........................ 34,400 389,150 *Inso Corp............................................ 26,700 94,284 *Inspire Insurance Solutions, Inc..................... 45,700 158,522 Insteel Industries, Inc............................... 7,400 42,550 *Insurance Auto Auctions, Inc......................... 21,500 417,234 *IntegraMed America, Inc.............................. 3,600 11,250 *Integrated Device Technology, Inc.................... 16,400 780,025 *Integrated Electrical Services, Inc.................. 16,500 81,469 *Integrated Measurement System, Inc................... 8,900 132,387 *Integrated Silicon Solution, Inc..................... 19,100 566,434 *Inter Parfums, Inc................................... 7,800 91,650 Interface, Inc. Class A............................... 1,000 4,375 *Intergraph Corp...................................... 58,200 325,556 *Interim Services, Inc................................ 58,300 1,173,287 *Interlinq Software Corp.............................. 5,300 14,906 *Intermagnetics General Corp.......................... 11,800 134,225 *International Aircraft Investors..................... 6,000 30,750 International Multifoods Corp......................... 25,000 348,437 *International Rectifier Corp......................... 38,000 1,567,500 *International Speciality Products, Inc............... 13,000 70,687 *International Total Services, Inc.................... 6,500 6,500 *Interphase Corp...................................... 1,400 19,775 Interpool, Inc........................................ 21,100 168,800 *Interstate National Dealers Services, Inc............ 4,600 25,012 *Intervoice, Inc...................................... 1,449 20,467 *Intevac, Inc......................................... 3,500 10,937 Investors Title Co.................................... 1,300 14,300 SHARES VALUE+ ------ ------ *Invision Technologies, Inc........................... 18,400 $ 74,175 *Invivo Corp.......................................... 2,000 20,125 *Ionics, Inc.......................................... 19,200 552,000 *IRI International Corp............................... 52,000 464,750 *Iridex Corp.......................................... 6,200 52,700 *Isle of Capri Casinos, Inc........................... 23,700 323,653 *Isolyser Co., Inc.................................... 8,300 29,309 *IT Group, Inc ....................................... 36,100 209,831 *ITLA Capital Corp.................................... 6,200 80,987 *Itron, Inc........................................... 20,700 96,384 *IVI Checkmate Corp................................... 43,700 128,369 *J & J Snack Foods Corp............................... 12,000 178,875 *J. Alexander's Corp.................................. 12,800 49,600 *J. Jill Group, Inc................................... 24,000 147,750 *Jackpot Enterprises, Inc............................. 8,800 101,750 Jacksonville Bancorp, Inc............................. 2,200 28,187 *Jaco Electronics, Inc................................ 8,700 141,647 *Jacobson Stores, Inc................................. 13,900 78,187 *Jan Bell Marketing, Inc.............................. 2,600 5,687 *Jason, Inc........................................... 16,400 165,025 *JDA Software Group, Inc.............................. 16,100 250,053 Jefferies Group, Inc.................................. 23,400 472,387 Jefferson Savings Bancorp, Inc........................ 23,900 260,659 *JLK Direct Distribution, Inc. Class A................ 5,000 34,687 *JLM Industries, Inc.................................. 9,700 36,678 *Johnson Outdoors, Inc................................ 16,600 146,806 *Jos. A. Bank Clothiers, Inc.......................... 16,400 74,312 *JPM Co............................................... 5,300 27,328 *JPS Industries, Inc.................................. 18,000 67,219 *Jps Packaging Company................................ 5,800 16,312 Justin Industries, Inc................................ 29,700 517,894 K Swiss, Inc. Class A................................. 19,100 251,284 *K2, Inc.............................................. 8,400 59,325 *Kaiser Aluminum Corp................................. 67,350 298,866 *Kaiser Ventures, Inc................................. 9,300 120,319 Kaman Corp. Class A................................... 55,500 553,266 *Kasper A.S.L., Ltd................................... 7,000 18,047 Katy Industries, Inc.................................. 13,300 128,844 *KCS Energy, Inc...................................... 26,100 29,362 *Kellstrom Industries, Inc............................ 13,500 67,922 Kellwood Co........................................... 35,400 597,375 *Kendle International, Inc............................ 500 3,156 Kennametal, Inc....................................... 50,900 1,342,487 *Kent Electronics Corp................................ 12,800 355,200 *Kentucky Electric Steel, Inc......................... 4,800 10,200 Kentucky First Bancorp, Inc........................... 400 4,075 Kewaunee Scientific Corp.............................. 5,000 58,281 *Key Energy Group, Inc................................ 73,800 802,575 *Key Production Co., Inc.............................. 12,500 200,781 *Key Technology, Inc.................................. 7,100 61,459 *Key Tronic Corp...................................... 7,400 20,119 *Keystone Automotive Industries, Inc.................. 13,700 100,395 *kforce.com, Inc...................................... 101,900 1,308,778 Kimball International, Inc. Class B................... 18,200 294,044 *Kinark Corp.......................................... 1,300 1,706 *Kinnard Investment, Inc.............................. 5,200 41,275 *Kitty Hawk, Inc...................................... 4,100 1,917 Klamath First Bancorp, Inc............................ 2,700 30,206 *KLLM Transport Services, Inc......................... 4,200 33,469 *Kulicke & Soffa Industries, Inc...................... 4,400 221,650 *KVH Industries, Inc.................................. 2,900 15,134 LabOne, Inc........................................... 9,000 46,406 8
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THE TAX-MANAGED U.S. 5-10 VALUE PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------ ------ LaCrosse Footwear, Inc................................ 6,100 $ 24,591 *Ladish Co., Inc...................................... 28,500 248,484 *Lakes Gaming, Inc.................................... 12,000 98,625 *Lam Research Corp.................................... 1,600 51,450 *Lamson & Sessions Co................................. 19,500 156,000 *Lancer Corp.......................................... 1,000 3,625 *Landair Corp......................................... 2,600 10,644 Landamerica Financial Group, Inc...................... 10,500 193,594 Landrys Seafood Restaurants, Inc...................... 41,500 324,219 *Larscom, Inc......................................... 6,300 31,500 *Layne Christensen Co................................. 13,100 58,131 *Lazare Kaplan International, Inc..................... 12,500 109,375 La-Z-Boy, Inc......................................... 12,744 204,700 *Leapnet, Inc......................................... 25,788 82,602 *Lechters, Inc........................................ 12,900 19,753 Lennar Corp........................................... 62,500 1,179,688 Lennox International, Inc............................. 17,420 204,685 Lesco, Inc............................................ 11,700 182,081 *Level 8 Systems, Inc................................. 567 11,110 *Liberty Corp......................................... 18,800 660,350 Liberty Financial Companies, Inc...................... 57,300 1,350,131 *Life Financial Corp.................................. 10,300 40,556 Lifetime Hoan Corp.................................... 12,500 103,906 Lillian Vernon Corp................................... 1,000 9,750 Lindberg Corp......................................... 1,800 14,175 *LMI Aerospace, Inc................................... 7,600 21,613 LNR Property Corp..................................... 33,900 656,813 *Loews Cineplex Entertainment Corp.................... 44,200 116,025 *Logic Devices, Inc................................... 6,100 14,297 Lone Star Steakhouse Saloon........................... 55,700 590,072 *Lone Star Technologies, Inc.......................... 19,100 1,012,300 Longs Drug Stores Corp................................ 39,600 799,425 Longview Fibre Co..................................... 64,300 771,600 *Louis Dreyfus Natural Gas Corp....................... 37,700 1,211,113 LTV Corp.............................................. 113,700 298,463 *LTX Corp............................................. 15,300 402,103 Luby's Cafeterias, Inc................................ 29,900 263,494 Lufkin Industries, Inc................................ 9,100 154,131 *Lumisy, Inc.......................................... 13,100 32,341 *Lunar Corp........................................... 6,600 73,013 *Lydall, Inc.......................................... 5,500 57,406 *Lynch Corp........................................... 400 12,350 M.A. Hanna Co......................................... 56,000 654,500 *M.H. Meyerson & Co., Inc............................. 4,000 14,875 *Mac-Gray Corp........................................ 10,300 31,544 *Mackie Designs, Inc.................................. 800 5,475 *Made2Manage Systems, Inc............................. 8,000 51,500 *Magnetek, Inc........................................ 27,500 232,031 *Magnum Hunter Resources, Inc......................... 20,100 108,038 *Mail-Well, Inc....................................... 65,600 615,000 *Main Street & Main, Inc.............................. 11,000 36,438 Main Street Bancorp, Inc.............................. 11,500 96,852 *Manchester Equipment Co., Inc........................ 12,200 53,375 *Manor Care, Inc...................................... 75,000 529,688 *Manugistic Group, Inc................................ 16,000 465,000 Marcus Corp........................................... 26,100 285,469 *Marine Drilling Companies, Inc....................... 22,500 646,875 *Marine Transport Corp................................ 11,000 28,875 Maritrans, Inc........................................ 17,900 106,281 Mark IV Industries, Inc............................... 39,900 847,875 *MarkWest Hydrocarbon, Inc............................ 20,300 170,013 Marsh Supermarkets, Inc. Class A...................... 3,100 50,375 SHARES VALUE+ ------ ------ *Material Sciences Corp............................... 26,700 $ 287,025 *Matrix Pharmaceutical, Inc........................... 19,700 171,144 *Matrix Service Co.................................... 17,000 82,875 *Maverick Tube Corp................................... 13,900 488,672 *Max & Ermas Restaurants, Inc......................... 1,400 12,075 *Maxco, Inc........................................... 2,700 21,094 *Maxicare Health Plans, Inc........................... 8,400 13,650 *Maxwell Shoe Company, Inc............................ 16,600 126,056 *Maxwell Technologies, Inc............................ 9,300 130,781 *Maxxam, Inc.......................................... 900 22,950 *Maynard Oil Co....................................... 5,800 97,150 *Mazel Stores, Inc.................................... 18,000 157,500 *MB Financial, Inc.................................... 13,100 145,328 McGrath Rent Corp..................................... 5,000 78,438 *McNaughton Apparel Group, Inc........................ 8,200 78,156 *McWhorter Technologies, Inc.......................... 17,000 332,563 MDC Holdings, Inc..................................... 38,200 737,738 *Meadow Valley Corp................................... 3,400 12,963 Meadowbrook Insurance Group, Inc...................... 6,300 33,863 *Mechanical Dynamics, Inc............................. 1,900 11,281 Medford Bancorp, Inc.................................. 12,400 185,225 *Media 100, Inc....................................... 6,000 106,125 *Media Arts Group, Inc................................ 14,600 56,575 *Medialink Worldwide, Inc............................. 6,000 43,125 *Medical Action Industries, Inc....................... 1,200 4,763 *Medical Alliance, Inc................................ 15,000 58,125 *Medical Assurance, Inc............................... 12,680 144,235 *Medical Resources, Inc............................... 7,300 420 *Medstone International, Inc.......................... 6,400 34,200 *MEMC Electronic Materials, Inc....................... 38,000 581,875 *Meridian Medical Technology, Inc..................... 3,000 25,875 *Meridian Resource Corp............................... 9,900 52,594 *MeriStar Hotels & Resorts, Inc....................... 34,700 99,763 *Merit Medical Systems, Inc........................... 12,800 63,200 *Merix Corp........................................... 5,700 156,928 *Mesa Air Group, Inc.................................. 10,500 62,836 *Mesa Labs, Inc....................................... 1,000 4,453 *Metal Management, Inc................................ 36,100 49,073 Metals USA, Inc....................................... 24,800 130,200 *Metatec Corp. Class A................................ 7,900 21,725 *Metrocall, Inc....................................... 37,500 120,703 *Metromedia International Group, Inc.................. 113,500 489,469 *MFRI, Inc............................................ 4,900 19,294 MI Schottenstein Homes, Inc........................... 9,000 153,000 *Michael Anthony Jewelers, Inc........................ 9,600 24,000 Michael Foods, Inc.................................... 1,400 32,069 *Michaels Stores, Inc................................. 35,600 1,521,900 *Micro Linear Corp.................................... 13,600 71,825 *Microage, Inc........................................ 30,700 14,583 *Microcide Pharmaceuticals, Inc....................... 6,500 48,547 MicroFinancial, Inc................................... 3,000 28,500 *Microsemi Corp....................................... 10,400 225,225 *Microtest, Inc....................................... 7,900 58,756 *Microtouch Systems, Inc.............................. 7,300 64,559 Midcoast Energy Resources, Inc........................ 10,100 161,600 *Middleby Corp........................................ 12,500 83,594 Midland Co............................................ 3,700 93,425 *Midway Airlines Corp................................. 9,700 57,594 *Midwest Grain Products, Inc.......................... 2,900 20,391 Mikasa, Inc........................................... 12,900 124,163 *Mikohn Gaming Corp................................... 12,700 80,566 Milacron, Inc......................................... 28,300 447,494 9
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THE TAX-MANAGED U.S. 5-10 VALUE PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------ ------ Millennium Chemicals, Inc............................. 91,800 $ 1,767,150 *Miller Building Systems, Inc......................... 5,400 30,544 *Miller Industries, Inc............................... 28,500 65,906 *MIM Corp............................................. 16,200 29,869 Minntech Corp......................................... 9,100 67,113 *Minolta-QMS, Inc..................................... 3,761 12,458 *Mitcham Industries, Inc.............................. 19,700 116,045 *Mobile America Corp.................................. 2,300 6,038 *Modis Professional Services, Inc..................... 50,000 512,500 *Modtech Holdings, Inc................................ 16,300 175,734 *Monarch Dental Corp.................................. 9,600 27,750 *Monro Muffler Brake, Inc............................. 9,400 78,431 *Moog, Inc. Class A................................... 14,300 305,663 *Moore Medical Corp................................... 2,600 22,750 *Morrison Knudsen Corp................................ 22,300 172,825 *Motor Car Parts & Accessories, Inc................... 7,500 7,631 Movado Group, Inc..................................... 18,800 180,069 *Movie Gallery, Inc................................... 14,700 49,153 *MRV Communications, Inc.............................. 24,600 655,744 *MS Carriers, Inc..................................... 22,100 426,116 MTS Systems Corp...................................... 33,060 240,202 *NABI, Inc............................................ 41,800 242,309 Nacco Industries, Inc. Class A........................ 9,000 339,750 *NAHC, Inc............................................ 31,200 4,212 *Napco Security Systems, Inc.......................... 4,400 16,775 Nash Finch Co......................................... 12,800 99,600 Nashua Corp........................................... 5,500 45,375 *Nastech Pharmaceutical Co., Inc...................... 3,000 11,766 *Nathans Famous, Inc.................................. 16,800 49,350 *National Equipment Services, Inc..................... 57,200 325,325 *National Home Health Care Corp....................... 8,600 35,475 National Presto Industries, Inc....................... 17,600 546,700 *National Processing, Inc............................. 7,600 88,825 *National Record Mart, Inc............................ 4,400 7,081 *National RV Holdings, Inc............................ 15,600 176,475 National Steel Corp. Class B.......................... 48,400 254,100 National Technical Systems, Inc....................... 9,100 28,438 *National Techteam, Inc............................... 22,800 76,238 *National Western Life Insurance Co. Class A.......... 600 44,381 *NationsRent, Inc..................................... 7,600 28,025 *Natural Microsystems Corp............................ 9,100 586,097 *Natural Wonders, Inc................................. 900 1,013 *Navigators Group, Inc................................ 1,200 10,575 NCH Corp.............................................. 6,000 240,000 *NCI Building Systems, Inc............................ 27,200 464,100 *NCO Group, Inc....................................... 93 2,217 *NCS Healthcare, Inc.................................. 7,700 6,978 Nelson (Thomas), Inc.................................. 10,600 74,863 *Netmanage, Inc....................................... 50,600 138,359 *Network Computing Devices, Inc....................... 12,900 20,559 *Network Equipment Technologies, Inc.................. 39,300 420,019 *Neurocrine Biosciences, Inc.......................... 15,700 333,625 *New Brunswick Scientific Co., Inc.................... 6,566 34,472 *New Century Financial Corp........................... 16,000 147,500 *New Day Runner, Inc.................................. 100 164 *Newmark Homes Corp................................... 21,100 125,281 Newmil Bancorp, Inc................................... 4,000 40,500 *Newpark Resources, Inc............................... 34,200 286,425 *Nexthealth, Inc...................................... 1,000 2,813 *Niagara Corp......................................... 16,500 71,156 SHARES VALUE+ ------ ------ *NMT Medical, Inc..................................... 11,200 $ 42,525 NN Ball & Roller, Inc................................. 2,300 20,377 *Nobel Learning Communities, Inc...................... 4,900 35,372 *Noodle Kidoodle, Inc................................. 18,300 54,900 *Norstan, Inc......................................... 14,200 70,113 *Nortek, Inc.......................................... 27,800 595,963 North Central Bancshares, Inc......................... 3,500 50,094 North Fork Bancorporation, Inc........................ 42,000 695,625 Northeast Bancorp..................................... 200 1,600 Northeast Pennsylvania Financial Corp................. 4,200 41,475 Northland Cranberries, Inc. Class A................... 20,000 79,375 Northrim Bank......................................... 8,300 70,809 Northwest Bancorp, Inc................................ 1,600 12,150 *Northwest Pipe Co.................................... 8,100 109,097 *Novametrix Medical Systems, Inc...................... 5,900 36,967 *NPC International, Inc............................... 38,900 361,041 *NPS Pharmaceuticals, Inc............................. 1,300 16,453 *NS Group, Inc........................................ 51,800 948,588 *Nu Horizons Electronics Corp......................... 9,345 161,785 *Nuevo Energy Co...................................... 28,700 554,269 *Numerex Corp. Class A................................ 11,700 107,859 *Nutraceutical International Corp..................... 27,400 98,897 Nymagic, Inc.......................................... 4,000 56,250 *Oak Technology, Inc.................................. 39,800 588,294 *Objective Systems Integrators, Inc................... 39,000 287,016 *Oceaneering International, Inc....................... 16,540 322,530 OceanFirst Financial Corp............................. 20,100 342,956 *O'Charleys, Inc...................................... 13,000 182,406 *ODS Networks, Inc.................................... 14,800 215,525 *Officemax, Inc....................................... 229,900 1,250,081 *Offshore Logistics, Inc.............................. 29,300 411,116 Ogden Corp............................................ 73,700 635,663 Oglebay Norton Co..................................... 8,000 167,000 Ohio Casualty Corp.................................... 86,700 1,037,691 *Old Dominion Freight Lines, Inc...................... 8,500 77,563 Olin Corp............................................. 22,000 343,750 *Olympic Steel, Inc................................... 6,800 29,538 *Omega Protein Corp................................... 7,000 19,688 *Omega Worldwide, Inc................................. 16,600 68,475 *OMNI Energy Services Corp............................ 2,500 1,797 Omnicare, Inc......................................... 152,800 2,521,200 *Omtool, Ltd.......................................... 9,600 17,400 *On Command Corp...................................... 3,100 50,763 *Ontrack Data International, Inc...................... 10,800 79,988 *Onyx Acceptance Corp................................. 5,700 23,513 *Opta Food Ingredients, Inc........................... 15,800 35,797 *Opti, Inc............................................ 22,600 90,400 *Option Care, Inc..................................... 4,100 26,778 *Orbital Sciences Corp................................ 18,300 224,175 Oregon Steel Mills, Inc............................... 45,500 99,531 *Orleans Homebuilders, Inc............................ 1,400 2,275 *Oroamerica, Inc...................................... 100 728 *Orthologic Corp...................................... 28,900 133,663 Oshkosh Truck Corp. Class B........................... 1,500 45,891 *Oshman's Sporting Goods, Inc......................... 5,300 16,563 *OSI Pharmaceutical, Inc.............................. 15,600 156,000 *OSI Systems, Inc..................................... 12,700 75,803 *Osmonics, Inc........................................ 20,100 180,900 *Outlook Group Corp................................... 4,800 26,700 *Overland Data........................................ 5,700 46,491 Overseas Shipholding Group, Inc....................... 60,700 1,407,481 10
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THE TAX-MANAGED U.S. 5-10 VALUE PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------ ------ Owosso Corp........................................... 6,600 $ 13,819 Oxford Industries, Inc................................ 8,500 131,219 *OYO Geospace Corp.................................... 500 8,000 *PAM Transportation Services, Inc..................... 5,200 44,200 *Pameco Corp.......................................... 3,200 8,400 Pamrapo Bancorp, Inc.................................. 3,900 77,269 *Panera Bread CO...................................... 13,800 117,300 *Par Technology Corp.................................. 7,400 28,213 Park Electrochemical Corp............................. 12,500 313,281 *Parker Drilling Co................................... 112,100 679,606 Parker-Hannifin Corp.................................. 1,604 66,867 *Park-Ohio Holdings Corp.............................. 8,800 74,250 Parkvale Financial Corp............................... 2,400 42,900 *Parlex Corp.......................................... 3,700 82,209 *Parlux Fragrances, Inc............................... 17,500 53,047 Patina Oil & Gas Corp................................. 17,100 296,044 Patrick Industries, Inc............................... 8,800 57,750 *Patterson Energy, Inc................................ 8,200 198,081 *Paul Harris Stores, Inc.............................. 14,200 38,163 Paula Financial, Inc.................................. 6,800 18,275 *Paul-Son Gaming Corp................................. 3,700 11,100 *Paxar Corp........................................... 34,800 350,175 *Paxson Communications Corp........................... 55,500 430,125 *PBOC Holdings, Inc................................... 30,900 281,963 *PC Service Source, Inc............................... 600 675 *PCD, Inc............................................. 6,200 27,125 *P-Com, Inc........................................... 21,800 160,094 *Pediatrix Medical Group, Inc......................... 18,800 133,950 Peerless Manufacturing Co............................. 1,200 17,175 *Peerless Systems Corp................................ 18,500 43,938 Penford Corp.......................................... 7,800 140,156 *Penn Treaty American Corp............................ 6,200 122,063 Penn Virginia Corp.................................... 11,000 245,438 Penn-America Group, Inc............................... 2,000 18,375 Pennfed Financial Services, Inc....................... 14,300 191,263 *Pentacon, Inc........................................ 40,100 73,934 Pep Boys - Manny, Moe & Jack.......................... 80,400 572,850 *Perceptron, Inc...................................... 12,800 50,800 *Perini Corp.......................................... 5,800 16,675 *Perrigo Co........................................... 34,400 209,625 *Perry Ellis International, Inc....................... 8,200 79,822 *Per-Se Technologies, Inc............................. 6,600 43,106 *Petco Animal Supplies, Inc........................... 29,000 550,094 *Petrocorp, Inc....................................... 5,800 40,963 *Petroglyph Energy, Inc............................... 2,600 5,281 *Petroleum Development Corp........................... 28,600 152,831 *PetSmart, Inc........................................ 33,500 99,977 PFF Bancorp, Inc...................................... 14,800 206,275 *Pharmchem Laboratories, Inc.......................... 1,000 2,719 *Phar-Mor, Inc........................................ 7,800 13,163 *Philadelphia Consolidated Holding Corp............... 11,800 199,494 *Phillips (R.H.), Inc................................. 8,600 23,919 Phillips-Van Heusen Corp.............................. 54,300 471,731 *Phoenix International, Ltd........................... 5,800 11,147 Phoenix Investment Partners, Ltd...................... 44,300 371,013 *Phoenix Technologies, Ltd............................ 4,800 86,250 *PhotoWorks, Inc...................................... 14,300 43,123 Piccadilly Cafeterias, Inc............................ 11,000 31,625 *Pico Holdings, Inc................................... 5,860 63,178 *Picturetel Corp...................................... 60,900 187,458 Pier 1 Imports, Inc. DE............................... 52,100 442,850 SHARES VALUE+ ------ ------ *Piercing Pagoda, Inc................................. 3,600 $ 51,300 Pilgrim Pride Corp.................................... 19,400 155,200 Pillowtex Corp........................................ 20,500 97,375 *Pinnacle Entertainment, Inc.......................... 22,700 432,719 *Pioneer Natural Resources Co......................... 139,900 2,089,756 Pioneer Standard Electronics, Inc..................... 33,700 403,347 Pitt-Des Moines, Inc.................................. 11,700 272,025 Pittston Brink's Group................................ 23,852 362,252 *Planar Systems, Inc.................................. 13,800 133,256 *PLM International, Inc............................... 9,800 72,888 PMR Corp.............................................. 7,300 25,322 Pocahontas Bancorp, Inc............................... 9,500 56,406 *Policy Management Systems Corp....................... 33,400 340,263 *Polymedica Industries, Inc........................... 7,000 186,375 Polymer Group, Inc.................................... 36,100 263,981 *Pomeroy Computer Resource, Inc....................... 10,200 149,494 Pope & Talbot, Inc.................................... 16,100 298,856 *Powell Industries, Inc............................... 2,800 23,406 *PPT Vision, Inc...................................... 4,000 18,500 Precision Castparts Corp.............................. 37,400 1,823,250 *Premiumwear, Inc..................................... 800 10,525 Presidential Life Corp................................ 49,900 734,466 *Price Communications Corp............................ 44,591 1,017,232 *Pride International, Inc............................. 63,600 1,617,825 *Primark Corp......................................... 46,700 1,214,200 *Prime Hospitality Corp............................... 18,500 159,563 *Prime Medical Services, Inc.......................... 19,400 152,169 *Printronix, Inc...................................... 4,300 61,409 Professional Bancorp, Inc............................. 1,820 6,370 *Professionals Group, Inc............................. 7,500 124,453 *Programmers Paradise, Inc............................ 2,800 9,538 *ProMedCo Management Company.......................... 15,500 18,164 *Protocol Systems, Inc................................ 10,000 155,313 *Provant, Inc......................................... 30,500 115,328 *Provident Financial Holdings, Inc.................... 5,000 73,438 *PSS World Medical, Inc............................... 3,100 26,156 *PTEK Holdings, Inc................................... 68,800 236,500 Pulaski Financial Corp................................ 5,100 59,288 Pulte Corp............................................ 66,100 1,466,594 *Pure Resources, Inc.................................. 20,780 311,700 *Pure World, Inc...................................... 7,200 22,275 PXRE Group, Ltd....................................... 1,000 14,875 *Qad, Inc............................................. 4,600 17,538 *QEP Co., Inc......................................... 3,000 24,656 *Quaker Fabric Corp................................... 24,200 132,344 *Quality Dining, Inc.................................. 18,600 61,031 Quality Systems, Inc.................................. 5,800 41,869 Quanex Corp........................................... 23,600 345,150 *Quantum Corp-Hard Disk Drive Group................... 1,836 17,327 *Quest Diagnostics, Inc............................... 22,500 1,504,688 *Quipp, Inc........................................... 900 16,819 *Quorum Health Group, Inc............................. 115,000 1,112,266 *R & B, Inc........................................... 3,600 9,450 *Racing Champions Corp................................ 31,700 52,008 *Radiance Medical Systems, Inc........................ 11,100 103,889 *RailWorks Corp....................................... 17,100 159,244 *Rainforest Cafe, Inc................................. 4,000 11,875 Range Resources Corp.................................. 16,000 45,000 Raven Industries, Inc................................. 5,500 74,938 *Raytel Med Corp...................................... 11,900 29,750 *RCM Technologies, Inc................................ 16,700 134,122 11
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THE TAX-MANAGED U.S. 5-10 VALUE PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------ ------ *RDO Equipment Co. Class A............................ 7,300 $ 41,063 *Read-Rite Corp....................................... 10,500 20,672 *Recoton Corp......................................... 16,900 139,953 *Redhook Ale Brewery, Inc............................. 2,900 5,030 *Reebok International, Ltd............................ 2,800 38,850 *Reliability, Inc..................................... 11,100 45,094 Reliance Group Holdings, Inc.......................... 183,500 424,344 Reliance Steel and Aluminum Co........................ 12,600 263,813 *Remington Oil & Gas Corp............................. 4,500 29,391 *Renaissance Worldwide, Inc........................... 75,100 166,628 *Rent-Way, Inc........................................ 12,500 333,594 *Reptron Electronics, Inc............................. 13,000 132,438 *Republic Bankshares, Inc............................. 8,800 86,350 Republic Group, Inc................................... 9,400 86,950 *Research Partners International, Inc................. 5,400 8,269 *ResortQuest International, Inc....................... 9,700 46,075 Resource America, Inc................................. 38,600 266,581 Resource Bancshares Mortgage Group, Inc............... 27,000 129,938 *Respironics, Inc..................................... 10,600 170,263 *Rex Stores Corp...................................... 12,100 255,613 *RF Monolithics, Inc.................................. 3,800 34,556 Richardson Electronics, Ltd........................... 11,100 136,322 *Riddell Sports, Inc.................................. 9,100 28,438 Riggs National Corp................................... 47,500 691,719 *Right Management Consultants, Inc.................... 7,400 75,850 RLI Corp.............................................. 14,000 509,250 *RMH Teleservices, Inc................................ 3,400 21,250 *Roadhouse Grill, Inc................................. 6,000 33,750 Roadway Express, Inc.................................. 7,500 161,016 Roanoke Electric Steel Corp........................... 11,200 148,050 Robbins & Myers, Inc.................................. 5,300 114,613 *Robinson Nugent, Inc................................. 3,900 43,875 *Robotic Vision Systems, Inc.......................... 21,000 248,719 *Rochester Medical Corp............................... 4,600 40,250 *Rock of Ages Co...................................... 5,300 26,500 Rock-Tenn Co. Class A................................. 37,400 357,638 *Rocky Shoes & Boots, Inc............................. 3,000 15,469 *Rofin-Sinar Technologies, Inc........................ 10,700 130,072 *Rogue Wave Software, Inc............................. 10,300 44,097 Rollins Truck Leasing Corp............................ 87,800 828,613 Rouge Industries, Inc. Class A........................ 15,200 68,400 *Royal Appliance Manufacturing Co..................... 2,000 12,250 RPC, Inc.............................................. 20,700 219,938 *RTI International Metals, Inc........................ 11,000 143,000 *RTW, Inc............................................. 14,700 59,259 *Rush Enterprises, Inc................................ 5,000 34,688 Russ Berrie & Co., Inc................................ 10,100 191,269 Russell Corp.......................................... 37,700 838,825 *Ryans Family Steak Houses, Inc....................... 58,200 527,438 Ryerson Tull, Inc..................................... 42,400 418,700 Ryland Group, Inc..................................... 17,300 383,844 *S&K Famous Brands, Inc............................... 4,600 31,625 *S3, Inc.............................................. 24,492 391,107 *Safety 1st, Inc...................................... 5,700 78,553 *Safety Components International, Inc................. 4,500 203 *Safety-Kleen Corp.................................... 117,000 73,125 *San Filippo (John B.) & Son, Inc..................... 12,100 42,350 Sanderson Farms, Inc.................................. 4,000 26,875 *Saucony, Inc. Class A................................ 7,100 76,103 *Saucony, Inc. Class B................................ 4,500 45,000 *Savoir Technology Group, Inc......................... 6,600 52,388 SHARES VALUE+ ------ ------ *Scan-Optics, Inc..................................... 12,700 $ 12,502 *Scheid Vineyards, Inc................................ 3,000 11,438 *Schein (Henry), Inc.................................. 54,300 958,734 *Schieb (Earl), Inc................................... 3,400 10,838 *Schlotzskys, Inc..................................... 11,700 70,566 Schnitzer Steel Industries, Inc. Class A.............. 12,400 184,838 *Schuff Steel Company................................. 7,000 22,750 Schulman (A.), Inc.................................... 41,400 492,919 SCPIE Holdings, Inc................................... 19,200 466,800 Seaboard Corp......................................... 3,300 607,200 *Seacor Smit, Inc..................................... 19,700 1,263,263 *SED International Holdings, Inc...................... 19,200 61,800 *SEEC, Inc............................................ 6,200 28,191 *Segue Software, Inc.................................. 8,000 68,500 *Seitel, Inc.......................................... 37,700 320,450 Selas Corp. of America................................ 6,300 34,650 Selective Insurance Group, Inc........................ 41,700 772,753 *Semitool, Inc........................................ 23,600 334,088 *SEMX Corp............................................ 5,800 45,856 *Sensormatic Electronics Corp......................... 155,800 2,444,113 *SeraCare, Inc........................................ 8,700 21,206 Service Corp. International........................... 136,000 425,000 *Shaw Group, Inc...................................... 12,700 554,038 *Sheldahl, Inc........................................ 17,000 79,953 *Shiloh Industries, Inc............................... 12,800 131,200 *Shoe Carnival, Inc................................... 18,000 131,063 *Shoe Pavilion, Inc................................... 4,600 7,188 *Shopko Stores, Inc................................... 41,600 764,400 *Sierra Health Services, Inc.......................... 26,500 110,969 Sifco Industries, Inc................................. 1,000 6,125 *Sight Resource Corp.................................. 1,000 891 *Signal Technology Corp............................... 6,700 99,244 *Silicon Storage Technology, Inc...................... 5,400 401,119 *Silicon Valley Group, Inc............................ 46,200 1,228,631 *Silverleaf Resorts, Inc.............................. 10,300 36,694 *Simione Central Holdings, Inc........................ 940 2,564 *Simon Transportation Services, Inc................... 7,400 42,319 Simpson Industries, Inc............................... 22,700 200,044 *Simula, Inc.......................................... 9,300 18,019 *Sinclair Broadcast Group, Inc. Class A............... 63,900 526,177 *Sitel Corp........................................... 48,100 279,581 *Sizzler International, Inc........................... 23,500 69,031 SJW Corp.............................................. 2,500 282,500 *Skyepharma P.L.C. ADR................................ 366 5,010 Skyline Corp.......................................... 6,100 125,813 SLI, Inc.............................................. 15,500 201,500 *Smart & Final Food, Inc.............................. 7,800 63,863 *SMC Corp............................................. 7,500 29,766 Smith (A.O.) Corp..................................... 8,400 176,400 *Smithway Motor Express Corp. Class A................. 600 1,538 *Softech, Inc......................................... 1,400 1,531 *Software Spectrum, Inc............................... 7,700 111,409 *Sola International, Inc.............................. 29,500 147,500 *Sonic Automotive, Inc................................ 37,000 360,750 *SOS Staffing Services, Inc........................... 18,200 55,169 *Sound Advice, Inc.................................... 900 8,916 South Financial Group, Inc............................ 34,900 438,431 South Jersey Industries, Inc.......................... 20,900 544,706 *Southern Energy Homes, Inc........................... 5,000 5,625 12
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THE TAX-MANAGED U.S. 5-10 VALUE PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------ ------ *Southwall Technologies, Inc.......................... 7,000 $ 58,406 Southwestern Energy Co................................ 28,400 262,700 Sovereign Bancorp, Inc................................ 5,840 40,059 *Spacehab, Inc........................................ 12,600 55,913 *Spacelabs Medical, Inc............................... 18,200 206,456 Spartan Motors, Inc................................... 21,000 93,188 *Sparton Corp......................................... 5,700 23,513 *Special Metals Corp.................................. 20,500 48,047 *Spectrian Corp....................................... 11,200 169,400 *Spectrum Control, Inc................................ 10,000 99,375 *SpeedFam-IPEC, Inc................................... 31,367 412,672 Spiegel, Inc. Class A Non-Voting...................... 20,500 156,633 *Splash Technology Holdings, Inc...................... 11,500 90,922 *Sport Supply Group, Inc.............................. 9,700 46,075 *Sport-Haley, Inc..................................... 6,000 25,781 *Sports Authority, Inc................................ 38,200 81,175 *Sports Club Co., Inc................................. 2,300 7,763 *Sportsman's Guide, Inc............................... 3,000 8,813 Springs Industries, Inc. Class A...................... 18,200 864,500 *SPS Technologies, Inc................................ 8,300 291,538 *SS&C Technologies, Inc............................... 21,000 96,141 St. Francis Capital Corp.............................. 4,800 66,150 St. Mary Land & Exploration Co........................ 7,400 266,631 *Staffmark, Inc....................................... 39,100 193,056 *Standard Management Corp............................. 10,300 35,084 *Standard Microsystems Corp........................... 19,600 255,413 Standard Pacific Corp. DE............................. 60,200 684,775 Standard Register Co.................................. 2,000 27,125 *Stanley Furniture, Inc............................... 3,000 67,781 *STAR Telecommunications, Inc......................... 38,600 80,819 *Starter Corp......................................... 15,000 83 State Auto Financial Corp............................. 56,700 634,331 State Financial Services Corp. Class A................ 11,600 117,813 Staten Island Bancorp, Inc............................ 51,900 879,056 Steel Technologies, Inc............................... 14,700 109,791 *Steinway Musical Instruments, Inc.................... 7,000 121,625 Stepan Co............................................. 10,600 231,875 Stephan Co............................................ 4,000 14,500 *Sterile Recoveries, Inc.............................. 8,100 54,169 Sterling Bancorp...................................... 2,800 44,450 *Sterling Financial Corp. WA.......................... 6,300 65,166 Stewart & Stevenson Services, Inc..................... 45,700 636,944 Stewart Enterprises, Inc.............................. 242,000 975,563 Stewart Information Services Corp..................... 3,100 39,138 Stifel Financial Corp................................. 7,510 71,345 *STM Wireless, Inc. Class A........................... 8,400 37,275 Stone & Webster, Inc.................................. 5,500 5,328 *Stoneridge, Inc...................................... 27,500 309,375 *Strategic Distribution, Inc.......................... 37,500 79,688 *Stratus Properties, Inc.............................. 18,800 86,950 Stride Rite Corp...................................... 67,911 445,666 *Strouds, Inc......................................... 5,000 10,391 *Suburban Lodges of America, Inc...................... 14,300 80,438 *Successories, Inc.................................... 4,300 8,197 *Summa Industries, Inc................................ 5,500 59,984 *Sun Healthcare Group, Inc............................ 10,000 650 *Sunbeam Corp......................................... 101,400 316,875 *Sunburst Hospitality Corp............................ 10,700 47,481 *Sunrise Assisted Living, Inc......................... 39,300 715,997 *Sunrise Medical, Inc................................. 20,200 89,638 *Sunrise Resources, Inc............................... 8,000 39,375 SHARES VALUE+ ------ ------ *Sunterra Corp........................................ 57,300 $ 19,697 *Superior National Insurance Group, Inc............... 29,200 2,628 Superior Surgical Manufacturing Co., Inc.............. 2,800 24,150 *Suprema Specialties, Inc............................. 4,000 35,500 *Surety Capital Corp.................................. 3,700 694 Susquehanna Bancshares, Inc........................... 4,600 62,819 *Swift Energy Corp.................................... 17,200 441,825 *Swiss Army Brands, Inc............................... 6,100 32,216 *Sybron Chemicals, Inc................................ 2,200 43,450 *Sylvan Learning Systems, Inc......................... 42,000 475,125 *Sylvan, Inc.......................................... 6,200 60,838 *Symmetricom, Inc..................................... 17,200 258,000 *Symons International Group, Inc...................... 7,400 5,203 *Symphonix Devices, Inc............................... 2,300 8,338 *Syms Corp............................................ 1,000 3,438 Synalloy Corp. DE..................................... 12,200 91,500 *Synaptic Pharmaceutical Corp......................... 10,600 50,350 *Synbiotics Corp...................................... 13,400 30,150 *Systemax, Inc........................................ 54,400 370,600 *T&W Financial Corp................................... 4,000 0 Tab Products Co....................................... 7,100 34,169 *Tandy Brand Accessories, Inc......................... 6,200 40,881 *Tandy Crafts, Inc.................................... 17,800 53,400 Tasty Baking Co....................................... 7,000 83,563 *TBA Entertainment Corp............................... 6,100 23,828 *TBC Corp............................................. 30,100 145,327 TCBY Enterprises, Inc................................. 28,600 143,000 *TCSI Corp............................................ 31,700 57,456 *TEAM America Corp.................................... 500 1,883 *Team, Inc............................................ 2,300 5,606 *Tech Data Corp....................................... 10,600 398,494 *Tech-Sym Corp........................................ 9,800 214,375 Tecumseh Products Co. Class A......................... 28,500 1,286,953 Tecumseh Products Co. Class B......................... 10,600 457,788 *Tegal Corp........................................... 18,700 80,352 Tektronix, Inc........................................ 4,700 251,450 *Telcom Semiconductor, Inc............................ 8,500 211,438 *Telescape International, Inc......................... 300 2,344 *Telxon Corp.......................................... 17,500 272,344 Tenneco Automotive, Inc............................... 45,900 335,644 *Terex Corp........................................... 13,400 213,563 Terra Industries, Inc................................. 19,600 41,650 *Tesoro Petroleum Corp................................ 46,300 474,575 *Tesseract Group, Inc................................. 10,400 3,250 *Tetra Technologies, Inc.............................. 18,200 235,463 Texas Industries, Inc................................. 26,700 765,956 TF Financial Corp..................................... 1,100 15,538 *TFC Enterprises, Inc................................. 15,800 33,081 *Thermedics, Inc...................................... 28,900 243,844 *Thermo Ecotek Corp................................... 1,000 7,813 *Thermo Terratech, Inc................................ 7,800 58,500 Thermoretec Corp...................................... 5,200 36,400 *Thermotrex Corp...................................... 15,700 156,019 Thomas Industries, Inc................................ 3,300 66,000 *Thorn Apple Valley, Inc.............................. 6,000 555 *Three Rivers Bancorp, Inc............................ 10,400 83,525 *Tier Technologies, Inc. Class B...................... 10,900 54,841 *TII Industries, Inc.................................. 10,800 21,431 Timberland Bancorp, Inc............................... 2,700 25,059 Timken Co............................................. 70,700 1,334,463 13
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THE TAX-MANAGED U.S. 5-10 VALUE PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------ ------ Titan International, Inc.............................. 20,900 $ 124,094 Titanium Metals Corp.................................. 26,400 115,500 *Todd Shipyards Corp.................................. 12,900 91,913 *Toll Brothers, Inc................................... 44,700 866,063 Toro Co............................................... 3,600 113,400 *Total Entertainment Restaurant Corp.................. 1,000 2,375 *Total Renal Care Holdings, Inc....................... 103,000 405,563 *Tower Air, Inc....................................... 9,700 1,407 *Tower Automotive, Inc................................ 62,100 861,638 *Tractor Supply Co.................................... 10,900 165,544 *Transact Technologies, Inc........................... 5,500 55,688 *Transcoastal Marine Services, Inc.................... 13,500 6,539 *Transfinancial Holdings, Inc......................... 4,700 8,225 *Transmation, Inc..................................... 7,000 16,953 *Transmedia Network, Inc.............................. 12,100 37,056 *Transportation Components, Inc....................... 32,800 63,550 Transpro, Inc......................................... 9,200 41,400 Transtechnology Corp.................................. 3,400 29,325 *TRC Companies, Inc................................... 7,600 79,800 *Trend-Lines, Inc. Class A............................ 1,850 2,341 Trenwick Group, Inc................................... 21,800 327,000 *Trex Medical Corp.................................... 15,500 29,063 *Triad Hospitals, Inc................................. 1,500 32,156 *Trico Marine Services, Inc........................... 54,400 528,700 *Trident Microsystems, Inc............................ 14,100 118,528 *Tridex Corp.......................................... 8,500 6,508 Trinity Industries, Inc............................... 68,000 1,500,250 *Triple S Plastics, Inc............................... 3,000 48,563 *Tripos, Inc.......................................... 2,500 40,000 *Triumph Group........................................ 11,300 316,400 *TRM Copy Centers Corp................................ 6,800 34,425 *Trump Hotels & Casino Resorts, Inc................... 34,500 94,875 Tucker Anthony Sutro Corp............................. 15,100 258,588 Tuscarora, Inc........................................ 1,300 16,494 Twin Disc, Inc........................................ 3,700 57,350 *Twinlab Corp......................................... 39,100 279,809 *Tyler Technologies, Inc.............................. 19,700 78,800 U.S. Bancorp, Inc..................................... 9,200 42,263 *U.S. Home & Garden, Inc.............................. 4,400 11,138 U.S. Industries, Inc.................................. 107,000 1,444,500 *U.S. Office Products, Co............................. 300 305 *U.S. Vision, Inc..................................... 1,900 3,266 *Ubics, Inc........................................... 5,500 13,922 *Ugly Duckling Corp................................... 27,100 195,628 *UICI................................................. 75,400 367,575 *Ultimate Electronics, Inc............................ 5,100 126,863 *Ultrak, Inc.......................................... 17,700 118,369 *Ultralife Batteries, Inc............................. 11,900 89,622 *Ultratech Stepper, Inc............................... 14,600 205,313 UMB Financial Corp.................................... 21,170 781,967 *Unicapital Corp...................................... 68,700 47,231 Unico American Corp................................... 3,200 19,650 *Unifab International, Inc............................ 12,600 92,138 *Unifi, Inc........................................... 90,200 1,150,050 *Union Acceptance Corp. Class A....................... 7,700 38,259 *Unit Corp............................................ 33,300 439,144 *United Auto Group, Inc............................... 29,200 260,975 United Community Financial Corp....................... 53,500 315,984 United Industrial Corp................................ 21,200 186,825 *United Natural Foods, Inc............................ 14,200 215,219 *United Rentals, Inc.................................. 92,700 1,506,375 *United Retail Group, Inc............................. 16,500 131,484 SHARES VALUE+ ------ ------ *United Road Services, Inc............................ 600 $ 2,400 *United States Energy Corp............................ 6,970 20,039 United Wisconsin Services, Inc........................ 4,400 25,300 *Universal American Financial Corp.................... 9,200 34,500 Universal Forest Products, Inc........................ 32,000 421,000 *Universal Stainless & Alloy Products, Inc............ 10,800 74,250 *Uno Restaurant Corp.................................. 9,020 109,368 *Unova, Inc........................................... 17,400 240,338 *Urocor, Inc.......................................... 12,800 48,000 *Urologix, Inc........................................ 14,900 62,859 *URS Corp............................................. 22,300 292,688 *US Oncology, Inc..................................... 120,351 575,428 *US Xpress Enterprises, Inc. Class A.................. 15,600 109,688 *USA Floral Products, Inc............................. 13,500 11,180 *USA Truck, Inc....................................... 5,900 38,719 *Usec, Inc............................................ 35,500 164,188 *UTI Energy Corp...................................... 4,400 188,100 *Utilx Corp........................................... 7,900 29,625 *V.I. Technologies, Inc............................... 2,400 17,400 *Vail Resorts, Inc.................................... 36,300 580,800 Valero Energy Corp.................................... 40,000 1,170,000 *Value City Department Stores, Inc.................... 33,300 330,919 *Valuevision International, Inc. Class A.............. 15,900 460,603 *Vans, Inc............................................ 12,100 189,063 *Varco International, Inc............................. 40,700 885,225 *Vari L Co., Inc...................................... 6,500 62,867 *Varian Medical Systems, Inc.......................... 12,000 495,750 *Variflex, Inc........................................ 4,800 27,750 *Venator Group, Inc................................... 346,300 3,744,369 *Verilink Corp........................................ 13,800 95,738 *Veritas DGC, Inc..................................... 22,100 610,513 Vesta Insurance Group, Inc............................ 26,500 157,344 *Vestcom International, Inc........................... 9,800 38,588 *Veterinary Centers of America, Inc................... 36,400 494,813 *Viasoft, Inc......................................... 10,000 82,969 *Vicon Industries, Inc................................ 6,000 19,125 *Vicorp Restaurants, Inc.............................. 14,300 269,466 Vintage Petroleum, Inc................................ 55,800 1,325,250 Virginia Gas Co....................................... 7,600 20,188 *Vishay Intertechnology, Inc.......................... 49,625 3,510,969 *VisionAmerica, Inc................................... 10,500 6,891 *Volt Information Sciences, Inc....................... 26,000 750,750 *VTEL Corp............................................ 28,300 101,703 Vulcan International Corp............................. 400 13,225 *Vysis, Inc........................................... 2,000 15,688 Wabash National Corp.................................. 29,500 377,969 *Wackenhut Corp. Class A.............................. 5,800 77,213 *Wackenhut Corp. Class B Non-Voting................... 6,700 55,275 *Walker Interactive Systems, Inc...................... 17,400 55,191 Wallace Computer Services, Inc........................ 57,400 574,000 Walter Industries, Inc................................ 7,600 82,175 Warnaco Group, Inc.................................... 70,800 477,900 *Warrantech Corp...................................... 13,000 11,375 *Washington Homes, Inc................................ 12,700 68,263 Washington Savings Bank FSB........................... 1,600 5,100 *Waste Connections, Inc............................... 35,800 693,625 *Waterlink, Inc....................................... 3,500 9,625 Watsco, Inc. Class A.................................. 35,300 522,881 Watts Industries, Inc. Class A........................ 26,500 301,438 *Webb (Del) Corp...................................... 27,100 413,275 Weider Nutrition International, Inc................... 12,000 39,000 14
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THE TAX-MANAGED U.S. 5-10 VALUE PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------ ------ *Weirton Steel Corp................................... 45,800 $ 208,963 Wellman, Inc.......................................... 54,000 1,063,125 Wells Fargo Company................................... 364 16,471 Werner Enterprises, Inc............................... 61,000 764,406 *West Marine, Inc..................................... 30,400 246,050 Westbank Corp......................................... 2,800 24,150 *Westcoast Hospitality Corp........................... 23,500 182,125 Westcorp, Inc......................................... 38,200 415,425 Westerfed Financial Corp.............................. 4,600 65,838 *Western Water Co..................................... 1,100 258 *Weston (Roy F.), Inc. Class A........................ 5,800 18,306 *Wet Seal, Inc. Class A............................... 14,100 162,150 *WFS Financial, Inc................................... 20,400 321,938 *Williams Clayton Energy, Inc......................... 8,300 215,281 *Willis Lease Finance Corp............................ 6,300 47,644 *Wilshire Oil Co. of Texas............................ 11,000 37,813 *Wisconsin Central Transportation Corp................ 67,600 883,025 *Wiser Oil Co......................................... 11,700 35,100 *WLR Foods, Inc....................................... 7,400 34,225 Wolohan Lumber Co..................................... 5,600 62,650 *Wolverine Tube, Inc.................................. 11,900 196,350 Wolverine World Wide, Inc............................. 6,500 73,125 Woodward Governor Co.................................. 16,800 410,025 *Workgroup Technology Corp............................ 4,300 2,956 World Fuel Services Corp.............................. 8,400 57,225 *Worldpages.com, Inc.................................. 20,500 143,500 *Worldtex, Inc........................................ 6,500 2,641 *WPI Group, Inc....................................... 2,200 3,128 *Xetel Corp........................................... 13,600 23,800 *Xtra Corp............................................ 19,600 883,225 Yardville National Bancorp............................ 8,600 90,569 *Yellow Corp.......................................... 45,200 741,563 York Financial Corp................................... 4,095 51,443 York Group, Inc....................................... 8,000 29,000 York International Corp............................... 57,000 1,489,125 *Zap.com Corp......................................... 380 1,188 *Zapata Corp.......................................... 10,300 38,625 *Zemex Corp........................................... 2,200 17,875 Zenith National Insurance Corp........................ 22,800 541,500 *Ziff-Davis, Inc...................................... 21,000 177,188 SHARES VALUE+ ------ ------ *Zoltek Companies, Inc................................ 17,000 $ 113,156 *Zygo Corp............................................ 4,100 134,531 *Zymetx, Inc.......................................... 4,400 9,213 ------------ TOTAL COMMON STOCKS (Cost $313,053,523).................................. 352,916,627 ------------ RIGHTS/WARRANTS -- (0.0%) *Associates First Capital Corp. (Residual Value Obligation)......................................... 52,100 2,371 *Skyepharma P.L.C. Contingent Payment Rights.......... 4,600 0 *Westcorp, Inc. Rights 06/15/00....................... 38,200 8,356 ------------ TOTAL RIGHTS/WARRANTS (Cost $0)............................................ 10,727 ------------ [Download Table] PREFERRED STOCKS -- (0.0%) *O'Sullivan Industries Holdings 12% (Senior Preferred) (Cost $0)........................................... 19,700 9,948 ------ ------ ------------ [Download Table] TEMPORARY CASH INVESTMENTS -- (1.7%) FACE AMOUNT ------ (000) Repurchase Agreement, PNC Capital Markets Inc. 5.95%, 06/01/2000 (Collateralized by U.S. Treasury Notes 5.875%, 10/31/01, valued at $6,043,651) to be repurchased at $5,953,984. (Cost $5,953,000)................................ $ 5,953 5,953,000 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $319,006,523)++.... $358,890,302 ============ [Download Table] -------------------------------------------------------------------------------- + See Note B to Financial Statements. * Non-Income Producing Securities ++ The cost for federal income tax purposes is $319,625,124. See accompanying Notes to Financial Statements. 15
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THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO SCHEDULE OF INVESTMENTS MAY 31, 2000 (UNAUDITED) [Download Table] SHARES VALUE+ ------ ------ COMMON STOCKS -- (94.7%) *@plan, Inc........................................... 1,000 $ 6,062 *1-800 CONTACTS, Inc.................................. 1,300 37,212 *21st Century Holding Co.............................. 700 3,631 *3-D Systems Corp..................................... 2,300 27,097 *3Dfx Interactive, Inc................................ 4,900 36,291 *3DO Co............................................... 7,200 40,275 *4Front Software International, Inc................... 2,900 40,509 *800-Jr Cigar, Inc.................................... 2,600 26,081 *8X8, Inc............................................. 4,700 35,984 *A Consulting Team, Inc............................... 1,100 7,219 *A.C. Moore Arts & Crafts, Inc........................ 1,900 10,955 *Aames Financial Corp................................. 240 195 *AAON, Inc............................................ 1,600 38,950 AAR Corp.............................................. 6,900 95,737 Aaron Rents, Inc. Class A............................. 700 10,412 *Aastrom Biosciences, Inc............................. 7,600 20,069 *Abaxis, Inc.......................................... 3,500 21,766 ABC Bancorp........................................... 840 8,347 *ABC Rail Products Corp............................... 2,700 16,959 *Abgenix, Inc......................................... 1,000 78,844 Abington Bancorp, Inc................................. 500 4,656 *Abiomed, Inc......................................... 2,000 76,375 *Able Telcom Holding Corp............................. 1,500 2,859 ABM Industries, Inc................................... 5,600 129,850 *Acacia Research Corp................................. 3,600 56,925 *Accel International Corp............................. 500 352 *Acceptance Insurance Companies, Inc.................. 3,600 18,450 *Access Worldwide Communications, Inc................. 1,900 2,553 *Acclaim Entertainment, Inc........................... 13,800 32,991 *Ace Cash Express, Inc................................ 2,500 36,094 *Ace Comm Corp........................................ 2,300 12,722 Aceto Corp............................................ 1,500 16,031 Ackerley Group, Inc................................... 4,700 56,987 *Acme Electric Corp................................... 500 4,141 *Acorn Products, Inc.................................. 200 312 *ACT Manufacturing, Inc............................... 4,050 127,702 *ACT Networks, Inc.................................... 2,600 30,306 *Actel Corp........................................... 5,500 159,672 *Action Performance Companies, Inc.................... 4,100 32,928 *Active Voice Corp.................................... 2,600 17,469 *Activision, Inc...................................... 6,300 39,080 *Actrade International, Ltd........................... 2,200 33,275 *Actuate Corp......................................... 4,200 97,519 *Acuson Corp.......................................... 6,900 84,525 *Adac Laboratories.................................... 5,200 100,262 *adam.com, Inc........................................ 1,000 3,625 Adams Resources & Energy, Inc......................... 800 13,250 *Adaptive Broadband Corp.............................. 1,000 26,469 *ADE Corp............................................. 3,300 50,531 *Adecco SA ADR........................................ 241 23,964 *Adept Technology, Inc................................ 2,400 50,250 *Administaff, Inc..................................... 3,400 176,587 *Advance Lighting Technologies, Inc................... 5,100 53,391 *Advance Paradigm, Inc................................ 4,200 65,887 SHARES VALUE+ ------ ------ *Advanced Aerodynamics & Structures, Inc.............. 700 $ 2,461 *Advanced Digital Information Corp.................... 2,000 25,312 *Advanced Magnetics, Inc.............................. 1,700 11,475 Advanced Marketing Services, Inc...................... 3,250 60,023 *Advanced Neuromodulation Systems, Inc................ 1,800 22,050 *Advanced Photonix, Inc. Class A...................... 2,700 5,062 *Advanced Polymer Systems, Inc........................ 5,000 17,187 *Advanced Radio Telecom Corp.......................... 7,200 74,700 *Advanced Technical Products, Inc..................... 100 419 *Advanced Tissue Sciences, Inc........................ 15,000 58,828 Advanta Corp. Class A................................. 2,600 43,794 Advanta Corp. Class B Non-Voting...................... 3,700 44,747 *Advantage Learning Systems, Inc...................... 8,100 105,300 *Advantica Restaurant Group, Inc...................... 1,100 808 Advest Group, Inc..................................... 2,300 43,987 *Advo, Inc............................................ 5,300 170,262 *Aehr Test Systems.................................... 1,700 10,094 *AEP Industries, Inc.................................. 700 11,572 *Aeroflex, Inc........................................ 4,600 165,600 *Aerosonic Corp....................................... 1,000 9,750 *Aerovox, Inc......................................... 1,500 4,828 *Aetrium, Inc......................................... 2,200 11,894 *Affiliated Managers Group, Inc....................... 3,500 117,250 *Affinity Technology Group, Inc....................... 2,900 2,130 *Aftermarket Technology Corp.......................... 5,000 29,531 *AG Services America, Inc............................. 1,300 21,206 *Ag-Chem Equipment Co., Inc........................... 900 5,737 Agco Corp............................................. 8,200 102,500 *Agribrands International, Inc........................ 2,500 103,594 *AHL Services, Inc.................................... 3,400 26,137 *AHT Corp............................................. 2,700 3,206 *Air Methods Corp..................................... 800 2,800 *Airgas, Inc.......................................... 8,200 44,075 *Airtran Holdings, Inc................................ 13,100 53,833 AK Steel Holding Corp................................. 1,024 9,920 *Akamai Technologies, Inc............................. 536 35,895 *Akorn, Inc........................................... 4,600 36,872 *Aksys, Ltd........................................... 3,700 29,022 Alabama National Bancorporation....................... 1,000 18,937 Alamo Group, Inc...................................... 1,500 17,906 *Alaris Medical, Inc.................................. 8,900 12,794 *Albany International Corp. Class A................... 6,268 89,711 *Alcatel SA........................................... 1,532 83,590 *Alcide Corp.......................................... 600 8,175 *Alexion Pharmaceuticals, Inc......................... 3,000 111,844 Alfa Corp............................................. 9,900 168,609 *Algos Pharmaceutical Corp............................ 1,900 23,928 Alico, Inc............................................ 700 10,762 *Align-Rite International, Inc........................ 700 14,437 *Alkermes, Inc........................................ 2,200 80,506 *All American Semiconductor, Inc...................... 800 8,300 Allegiant Bancorp, Inc................................ 1,600 14,550 *Allen Telecom, Inc................................... 7,000 112,000 Alliance Bancorp...................................... 2,600 45,906 *Alliance Gaming Corp................................. 600 919 16
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THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------ ------ *Alliance Pharmaceuticals Corp........................ 11,700 $ 100,547 *Alliance Semiconductor Corp.......................... 6,200 153,450 *Allied Healthcare Products, Inc...................... 800 2,650 *Allied Holdings, Inc................................. 1,600 10,200 *Allied Research Corp................................. 1,100 8,525 *Allin Communications Corp............................ 1,500 3,562 *Allou Health & Beauty Care, Inc. Class A............. 1,300 8,937 *Alltrista Corp....................................... 1,400 34,387 *Alpha Microsystems, Inc.............................. 2,700 10,378 *Alpha Technologies Group, Inc........................ 1,400 12,206 *Alphanet Solutions, Inc.............................. 1,600 7,400 Alpharma, Inc. Class A................................ 4,000 198,000 *Alpine Group, Inc.................................... 1,380 9,142 *Alternative Resources Corp........................... 1,600 2,250 *Alterra Healthcare Corp.............................. 1,500 2,906 *Alyn Corp............................................ 700 459 *Alysis Technologies, Inc............................. 600 1,856 Ambanc Holding Co., Inc............................... 400 5,787 *Ambassadors, Inc..................................... 2,000 27,187 *AMBI, Inc............................................ 7,600 21,612 Amcast Industrial Corp................................ 800 6,900 Amcol International Corp.............................. 6,700 111,387 Amcore Financial, Inc................................. 7,100 138,228 *Amdocs, Ltd.......................................... 223 13,812 *Amerco, Inc.......................................... 2,200 38,569 *America Services Group, Inc.......................... 200 3,200 *America West Holdings Corp. Class B.................. 3,300 58,781 *American Aircarriers Support, Inc.................... 1,800 8,494 American Bank of Connecticut.......................... 500 9,812 *American Classic Voyages Co.......................... 5,200 98,962 *American Dental Partners, Inc........................ 1,500 11,156 *American Ecology Corp................................ 2,700 9,281 *American Freightways Corp............................ 5,300 79,003 *American Healthcorp, Inc............................. 2,000 8,000 *American Italian Pasta Co............................ 3,600 88,425 *American Medical Security Group, Inc................. 4,200 27,562 *American Pacific Corp................................ 1,600 9,550 *American Physicians Services Group, Inc.............. 200 616 *American Retirement Corp............................. 4,300 23,650 *American Science & Engineering, Inc.................. 1,200 6,000 *American Shared Hospital Services.................... 1,000 2,937 *American Skiing Co................................... 1,500 2,625 *American Software, Inc. Class A...................... 4,500 17,789 American States Water Company......................... 2,200 65,587 *American Superconductor Corp......................... 4,800 128,850 *American Technical Ceramics Corp..................... 1,500 51,375 *American Wagering, Inc............................... 1,600 5,350 American Woodmark Corp................................ 1,800 34,031 *American Xtal Technology, Inc........................ 4,700 163,912 *Amerihost Properties, Inc............................ 1,000 3,469 *Ameripath, Inc....................................... 5,400 46,322 *Amerisource Health Corp.............................. 2,500 60,937 *Ameristar Casinos, Inc............................... 3,000 11,906 Ameron, Inc........................................... 1,000 36,750 Amerus Life Holdings, Inc. Class A.................... 6,400 127,600 Ametek, Inc........................................... 8,000 166,500 *AMF Bowling, Inc..................................... 4,900 4,594 *AML Communications, Inc.............................. 1,600 4,950 SHARES VALUE+ ------ ------ Ampco-Pittsburgh Corp................................. 900 $ 9,956 *Ampex Corp. Class A.................................. 13,200 23,100 Amplicon, Inc......................................... 1,200 11,925 *Amrep Corp........................................... 1,400 9,100 *Amsurg Corp. Class B................................. 900 5,428 *Amtran, Inc.......................................... 1,200 16,987 Amwest Insurance Group, Inc........................... 200 975 *Anacomp, Inc......................................... 3,500 9,844 *Anadigics, Inc....................................... 1,800 62,494 Analogic Corp......................................... 3,200 115,400 Analysts International Corp........................... 5,600 45,325 *Anaren Microwave, Inc................................ 600 60,544 Anchor Bancorp Wisconsin, Inc......................... 5,100 78,891 Anchor Financial Corp................................. 1,600 43,600 *Anchor Gaming, Inc................................... 2,400 107,325 Andover Bancorp, Inc.................................. 1,600 46,500 *Andrea Electronics Corp.............................. 3,300 22,275 *Anesta Corp.......................................... 3,300 48,778 *Angeion Corp......................................... 600 825 *Anicom, Inc.......................................... 5,000 24,766 *Anika Therapeutics, Inc.............................. 2,400 5,925 *Ann Taylor Stores Corp............................... 7,200 187,200 *Ansoft Corp.......................................... 2,900 25,103 *AnswerThink Consulting Group, Inc.................... 5,200 92,300 *Ansys, Inc........................................... 4,100 44,972 *Anthony and Sylvan Pools Corp........................ 357 2,927 *APAC Teleservices, Inc............................... 9,800 86,669 *Apex, Inc............................................ 5,200 188,987 *Aphton Corp.......................................... 3,800 77,662 Apogee Enterprises, Inc............................... 6,600 26,812 Applebees International, Inc.......................... 1,200 38,587 *Applica, Inc......................................... 4,600 67,850 *Applied Analytical Industries, Inc................... 4,300 33,123 *Applied Digital Solutions, Inc....................... 12,500 40,430 *Applied Extrusion Technologies, Inc.................. 2,900 17,037 *Applied Films Corp................................... 1,500 34,500 *Applied Imaging Corp................................. 3,300 8,044 Applied Industrial Technologies, Inc.................. 5,200 90,675 *Applied Innovation, Inc.............................. 3,800 26,244 *Applied Microsystems Corp............................ 1,700 9,456 *Applied Science & Technology, Inc.................... 3,600 73,125 Applied Signal Technologies, Inc...................... 2,100 21,262 *Applix, Inc.......................................... 2,800 16,625 *Apria Healthcare Group, Inc.......................... 2,200 31,625 *Aquila Biopharmaceuticals, Inc....................... 2,000 4,687 *Aradigm Corp......................................... 4,300 60,066 *Arch Capital Group, Ltd.............................. 3,400 51,319 Arch Chemicals, Inc................................... 5,800 100,050 Arch Coal, Inc........................................ 5,700 42,750 *Arch Communications Group, Inc....................... 15,100 75,972 Arctic Cat, Inc....................................... 4,400 47,437 Area Bancshares Corp.................................. 3,200 63,700 Argonaut Group, Inc................................... 3,000 54,187 *Argosy Gaming Corp................................... 7,100 112,269 *Arguss Holdings, Inc................................. 3,300 55,069 *ARI Network Services, Inc............................ 1,200 3,712 *Ariad Pharmaceuticals, Inc........................... 6,100 50,039 *Ariel Corp........................................... 3,300 8,972 *ARIS Corp............................................ 3,200 11,500 *Arkansas Best Corp................................... 4,700 51,994 Arm Financial Group, Inc. Class A..................... 2,000 47 *Armor Holdings, Inc.................................. 5,900 64,531 17
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THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------ ------ Armstrong Holdings, Inc............................... 2,500 $ 42,969 Arnold Industries, Inc................................ 5,000 57,344 *Aronex Pharmaceuticals, Inc.......................... 5,700 14,428 *Arqule, Inc.......................................... 3,400 23,375 *Arrhythmia Research Technology, Inc.................. 700 1,225 Arrow Financial Corp.................................. 1,875 28,125 Arrow International, Inc.............................. 5,600 185,850 *Artesyn Technologies, Inc............................ 7,400 162,800 *Artisan Components, Inc.............................. 3,500 27,344 *Artisoft, Inc........................................ 3,800 39,662 Arvin Industries, Inc................................. 6,500 117,000 *Ascent Pediatrics, Inc............................... 500 742 *Asche Transportation Services, Inc................... 300 544 *Ashworth, Inc........................................ 3,400 14,556 *ASI Solutions, Inc................................... 600 3,825 *Aspen Technology, Inc................................ 5,200 107,087 *Aspeon, Inc.......................................... 2,200 12,272 Associated Materials, Inc............................. 1,400 21,700 *Astea International, Inc............................. 3,600 7,931 *Astec Industries, Inc................................ 4,800 124,050 Astro-Med, Inc........................................ 500 2,937 *Astronics Corp....................................... 700 6,125 *AstroPower, Inc...................................... 2,800 38,587 *ASV, Inc............................................. 2,400 29,625 *Asyst Technologies, Inc.............................. 1,400 56,306 *ATG, Inc............................................. 3,500 7,656 *Atlantic American Corp............................... 2,500 7,812 *Atlantic Coast Airlines, Inc......................... 4,700 142,909 *Atlantic Data Services, Inc.......................... 3,200 13,200 *Atlantic Premium Brands, Ltd......................... 600 1,650 *Atlantis Plastics, Inc............................... 400 2,800 *ATMI, Inc............................................ 800 30,675 Atmos Energy Corp..................................... 7,900 144,669 *Atrion Corp.......................................... 200 2,375 *Atrix Labs, Inc...................................... 2,900 21,206 *ATS Medical, Inc..................................... 4,500 44,859 *Atwood Oceanics, Inc................................. 2,100 114,844 *Audiovox Corp. Class A............................... 3,400 64,281 *Ault, Inc............................................ 1,100 6,428 *Aurora Biosciences Corp.............................. 4,900 232,291 *Auspex Systems, Inc.................................. 7,000 33,469 *Autoimmune, Inc...................................... 4,200 5,447 *Autote Corp. Class A................................. 7,300 22,356 Avado Brands, Inc..................................... 1,200 1,706 *Avant Corp........................................... 9,800 153,431 *Avant Immunotherapeutics, Inc........................ 12,500 60,937 *Avatar Holdings, Inc................................. 2,100 41,541 Avert, Inc............................................ 800 15,775 *Avi Biopharma, Inc................................... 4,100 40,231 *Aviall, Inc.......................................... 2,800 15,050 *Avid Technology, Inc................................. 6,100 61,381 *Avigen, Inc.......................................... 3,800 113,525 *Aviron............................................... 4,900 119,284 *Avis Group Holdings, Inc............................. 3,100 59,675 Avista Corp........................................... 7,600 170,050 Avnet, Inc............................................ 67 4,636 *AVT Corporation...................................... 7,900 71,470 *Avteam, Inc. Class A................................. 2,700 5,358 *Aware, Inc........................................... 2,200 97,831 *Axent Technologies, Inc.............................. 7,200 131,625 *Axsys Technologies, Inc.............................. 800 11,750 *Axys Pharmaceuticals, Inc............................ 8,700 33,712 SHARES VALUE+ ------ ------ *Aztar Corp........................................... 10,900 $ 138,975 Aztec Manufacturing Co................................ 1,200 19,200 *Bacou USA, Inc....................................... 3,500 69,125 Badger Meter, Inc..................................... 500 15,875 Bairnco Corp.......................................... 2,000 14,375 Baker (J.), Inc....................................... 3,500 22,312 *Baker (Michael) Corp................................. 1,700 11,050 *Balanced Care Corp................................... 3,300 5,569 Balchem Corp.......................................... 1,200 12,225 Baldor Electric Co.................................... 9,000 168,750 Baldwin & Lyons, Inc. Class B......................... 1,100 19,937 *Baldwin Technology, Inc. Class A..................... 1,500 3,187 *Ballantyne Omaha, Inc................................ 3,100 7,556 *Bally Total Fitness Holding Corp..................... 6,000 138,375 Bancfirst Ohio Corp................................... 700 10,872 *Bancinsurance Corp................................... 600 2,475 Bancorp Connecticut, Inc.............................. 500 7,344 Bandag, Inc........................................... 1,100 27,294 Bandag, Inc. Class A.................................. 1,200 27,300 Bangor Hydro-Electric Co.............................. 1,800 26,775 Bank of Granite Corp.................................. 2,200 42,900 Bank of The Ozarks.................................... 500 8,344 *Bank Plus Corp....................................... 2,900 8,066 *Bank United Financial Corp. Class A.................. 4,500 28,969 Bank West Financial Corp.............................. 600 3,862 BankAtlantic Bancorp, Inc. Class A.................... 150 572 BankAtlantic Bancorp, Inc. Class B.................... 1,300 7,434 *BankFirst Corp....................................... 2,300 18,112 *Banknorth Group, Inc................................. 2,737 38,232 Banta Corp............................................ 6,600 122,100 Barnes Group, Inc..................................... 4,700 78,431 *Barnett, Inc......................................... 4,100 38,822 *Barra, Inc........................................... 3,500 150,828 *Barrett Business Services, Inc....................... 700 3,894 *Barringer Technologies, Inc.......................... 1,700 10,466 *Basin Exploration, Inc............................... 3,700 61,512 Bassett Furniture Industries, Inc..................... 3,000 36,656 *Battle Mountain Gold Co.............................. 26,200 50,762 Bay State Bancorp, Inc................................ 500 9,187 *Baycorp Holdings, Ltd................................ 1,200 9,750 *Bayou Steel Corp. Class A............................ 2,700 6,075 *Be Aerospace, Inc.................................... 6,200 42,819 Beauticontrol Cosmetics, Inc.......................... 700 2,516 *Beazer Homes USA, Inc................................ 1,200 22,050 *bebe stores, inc..................................... 4,800 42,750 *BEI Electronics, Inc................................. 1,900 2,523 BEI Technologies, Inc................................. 1,900 33,725 *Bel Fuse, Inc. Class A............................... 700 12,731 *Belco Oil & Gas Corp................................. 7,900 61,719 Belden, Inc........................................... 6,100 166,987 *Bell and Howell Co................................... 2,900 62,169 Bell Industries, Inc.................................. 600 1,575 *Bell Microproducts, Inc.............................. 2,300 29,756 *Bellwether Exploration Co............................ 3,500 29,805 *Benchmark Electronics, Inc........................... 4,100 139,400 *Bentley Pharmaceuticals, Inc......................... 2,700 17,212 *Benton Oil & Gas Co.................................. 7,400 20,350 Bergen Brunswig Corp. Class A......................... 13,500 70,031 *Beringer Wine Estates Holdings, Inc.................. 2,200 83,669 Berry Petroleum Corp. Class A......................... 5,300 83,144 *Beverly Enterprises.................................. 12,300 36,900 BHA Group Holdings, Inc. Class A...................... 500 5,062 18
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THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------ ------ *BI, Inc.............................................. 1,200 $ 6,375 *Big City Radio, Inc.................................. 1,200 5,475 Big Dog Holdings, Inc................................. 1,200 5,400 *Billing Information Concepts Corp.................... 10,600 49,191 Bindley Western Industries, Inc....................... 8,466 161,383 *BindView Development Corp............................ 11,600 81,019 *Bio Technology General Corp.......................... 10,800 113,737 *Bio Vascular, Inc.................................... 1,800 5,231 *Bioanalytical Systems, Inc........................... 400 1,050 *Biocryst Pharmaceuticals, Inc........................ 4,200 98,700 *Bio-Logic Systems Corp............................... 800 4,650 *Biomatrix, Inc....................................... 5,800 107,662 *Bionova Holdings Corp................................ 4,100 8,200 *Bionx Implants, Inc.................................. 2,200 4,812 *Bio-Rad Laboratories, Inc. Class A................... 2,500 57,969 *BioReliance Corp..................................... 2,000 10,062 *Biosite Diagnostics, Inc............................. 3,300 74,559 *Biosource International, Inc......................... 2,000 13,625 *Biospecifics Technologies Corp....................... 1,100 2,991 *Biospherics, Inc..................................... 2,500 15,469 *BioTransplant, Inc................................... 2,900 17,400 Birmingham Steel Corp................................. 1,900 7,362 *Bitstream, Inc....................................... 1,800 9,281 *Black Hawk Gaming & Development, Inc................. 400 2,737 Black Hills Corp...................................... 5,400 129,262 Blair Corp............................................ 2,100 40,425 Blanch (E.W.) Holdings, Inc........................... 3,300 84,769 *BLC Financial Services, Inc.......................... 2,000 3,750 Block Drug Co., Inc. Class A.......................... 3,451 95,550 *Blonder Tongue Laboratories, Inc..................... 1,500 10,312 *Blount International, Inc............................ 7,700 105,394 *Blue Rhino Corp...................................... 1,700 14,609 *Blue Wave Systems, Inc............................... 3,900 43,022 *Bluegreen Corp....................................... 6,300 19,687 BMC Industries, Inc................................... 6,800 25,925 Bob Evans Farms, Inc.................................. 3,300 44,756 *Boca Research, Inc................................... 2,900 15,769 *Boca Resorts, Inc.................................... 10,100 87,112 *Bogen Communications International, Inc.............. 1,300 8,084 *BOK Financial Corp................................... 1,442 23,342 *Bolder Technologies Corp............................. 1,400 8,028 *Bolt Technology Corp................................. 1,300 5,850 *Bombay Co., Inc...................................... 4,400 14,025 *Bone Care International, Inc......................... 700 13,759 *Bon-Ton Stores, Inc.................................. 2,500 5,586 *Books-a-Million, Inc................................. 3,400 11,581 *Boron, Lepore and Associates, Inc.................... 3,100 23,734 Boston Acoustics, Inc................................. 1,000 10,625 *Boston Beer Company, Inc. Class A.................... 3,300 28,050 *Boston Biomedical, Inc............................... 1,000 3,656 *Boston Communications Group, Inc..................... 4,200 43,181 Boston Private Financial Holdings, Inc................ 1,700 16,681 Bostonfed Bancorp, Inc................................ 500 6,562 *Boundless Corp....................................... 1,100 7,837 Bowne & Co., Inc...................................... 9,000 90,562 *Boyd Gaming Corp..................................... 15,600 77,025 *Bradley Pharmaceuticals, Inc. Class A................ 2,000 2,219 Brady (W.H.) Co. Class A.............................. 5,200 156,650 SHARES VALUE+ ------ ------ *Brass Eagle, Inc..................................... 1,400 $ 6,825 *Brauns Fashions Corp................................. 1,350 30,037 *Bridgestreet Accomodations, Inc...................... 2,000 5,500 Bridgford Foods Corp.................................. 1,000 10,594 *Brigham Exploration Co............................... 1,400 3,675 *Brightpoint, Inc..................................... 12,100 140,662 *BrightStar Information Technology Group, Inc......... 2,200 8,525 *Brilliant Digital Entertainment, Inc................. 3,600 20,700 *Brio Technology, Inc................................. 1,400 19,950 *Britesmile, Inc...................................... 5,900 43,697 *Broadvision, Inc..................................... 2,079 74,519 *Brookdale Living Communities......................... 2,300 31,337 Brookline Bancorp, Inc................................ 6,900 67,491 *Brooks Automation, Inc............................... 1,300 51,837 *Brookstone, Inc...................................... 2,000 28,375 *Brooktrout Technology, Inc........................... 3,000 67,687 *Brown & Sharpe Manufacturing Co. Class A............. 1,200 2,700 *Brown (Tom), Inc..................................... 7,000 152,687 Brown and Brown, Inc.................................. 3,400 158,525 *Brunswick Technologies, Inc.......................... 1,000 8,781 Brush Wellman, Inc.................................... 4,100 71,494 BSB Bancorp, Inc...................................... 2,600 49,644 BT Financial Corp..................................... 3,300 57,131 *BTG, Inc............................................. 1,800 14,625 *BTU International, Inc............................... 1,400 12,119 *Buckeye Technology, Inc.............................. 8,800 167,750 *Buckle, Inc.......................................... 5,400 73,237 *Buffets, Inc......................................... 8,300 96,228 *Building Materials Holding Corp...................... 3,200 29,700 *Bull Run Corp. GA.................................... 3,400 9,722 Burlington Coat Factory Warehouse Corp................ 11,600 147,175 *Burlington Industries, Inc........................... 10,300 34,119 *Burns International Services Corp.................... 5,000 58,125 *Bush Boake Allen, Inc................................ 4,800 156,600 Bush Industries, Inc. Class A......................... 2,500 42,656 *Business Resource Group.............................. 1,300 8,084 *Butler International, Inc............................ 2,350 19,241 Butler Manufacturing Co............................... 1,700 37,931 *BYL Bancorp.......................................... 600 6,169 C & D Technologies, Inc............................... 1,900 137,750 *C.P. Clare Corp...................................... 2,400 15,750 *Cable Design Techologies Corp........................ 4,200 116,287 Cabot Oil & Gas Corp. Class A......................... 6,200 154,612 *Cache, Inc........................................... 1,800 6,750 *Caci International, Inc. Class A..................... 2,800 55,212 *Cadiz, Inc........................................... 7,000 47,250 Cadmus Communications Corp............................ 1,400 12,162 *Cal Dive International, Inc.......................... 3,100 142,697 Calgon Carbon Corp.................................... 9,700 63,656 *Caliber Learning Network, Inc........................ 2,400 6,525 *Calico Commerce, Inc................................. 121 1,486 *California Amplifier, Inc............................ 3,000 67,594 *California Coastal Communities, Inc.................. 2,500 14,297 *California Micro Devices Corp........................ 2,600 36,806 California Water Service Group........................ 3,200 74,600 *Callon Petroleum Co.................................. 2,400 36,600 Cal-Maine Foods, Inc.................................. 1,800 6,019 *Calton Inc........................................... 5,400 7,087 Cambrex Corp.......................................... 2,500 105,312 19
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THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------ ------ *Cambridge Heart, Inc................................. 3,500 $ 8,641 *Cambridge Technology Partners, Inc................... 2,500 20,000 Camco Financial Corp.................................. 1,400 12,600 *Cameron Ashley Building Products, Inc................ 1,800 32,512 Cameron Financial Corp................................ 100 1,178 *Candela Laser Corp................................... 2,750 27,930 *Candies, Inc......................................... 1,700 2,311 *Cannondale Corp...................................... 1,900 13,656 *Cantel Industries, Inc. Class B...................... 400 2,625 *Canterbury Information Technology, Inc............... 2,400 6,375 *Capital Corp. of the West............................ 500 4,906 *Capital Crossing Bank................................ 500 5,125 *Capital Pacific Holdings, Inc........................ 2,800 7,700 *Capital Senior Living Corp........................... 800 1,900 Capitol Bancorp, Ltd.................................. 1,700 19,125 Capitol Transamerica Corp............................. 1,000 11,250 Caraustar Industries, Inc............................. 5,100 84,309 *Carbide/Graphite Group, Inc.......................... 2,100 8,991 Carbo Ceramics, Inc................................... 2,900 90,625 *Cardima, Inc......................................... 3,300 4,022 *Cardiotech International, Inc........................ 1,300 1,869 *Caredata.com, Inc.................................... 800 3,200 *Career Education Corp................................ 2,000 79,875 *CareerEngine Network, Inc............................ 500 906 *Carey International, Inc............................. 900 8,353 *Caribiner International, Inc......................... 2,300 1,725 *Carmike Cinemas, Inc. Class A........................ 900 4,781 Carpenter Technology Corp............................. 3,900 80,681 *Carreker-Antinori, Inc............................... 4,600 50,025 *Carriage Services, Inc. Class A...................... 900 2,587 *Carrington Laboratories, Inc......................... 1,900 4,216 *Carrizo Oil & Gas, Inc............................... 2,600 16,372 *Carson, Inc.......................................... 2,000 8,125 Carter-Wallace, Inc................................... 8,200 164,000 Cascade Corp.......................................... 2,900 32,625 Cascade Natural Gas Corp.............................. 2,800 49,700 Casey's General Stores, Inc........................... 10,500 124,031 Cash America International, Inc....................... 6,300 64,575 *Casino Data Systems.................................. 4,600 20,341 *Castle & Cooke, Inc.................................. 4,300 80,087 Castle (A.M.) & Co.................................... 3,500 43,531 *Castle Dental Centers, Inc........................... 600 1,462 Castle Energy Corp.................................... 1,400 8,466 *Catalina Lighting, Inc............................... 1,400 5,600 *Catalyst International, Inc.......................... 2,000 12,500 *Catalytica, Inc...................................... 6,500 61,547 Cathay Bancorp, Inc................................... 600 27,356 Cato Corp. Class A.................................... 5,600 69,475 Catskill Financial Corp............................... 900 14,850 Cavalier Homes, Inc................................... 3,600 5,400 CBRL Group, Inc....................................... 7,500 108,516 CCBT Financial Companies, Inc......................... 1,700 25,022 *CCC Information Services Group, Inc.................. 5,500 54,312 *C-COR Electronics, Inc............................... 1,200 26,437 *CDI Corp............................................. 4,800 103,500 *CDNOW/N2K, Inc....................................... 8,200 24,344 *Celadon Group, Inc................................... 1,600 21,650 *Celeris Corporation.................................. 300 830 *Celeritek, Inc....................................... 500 24,047 *Cell Genesys, Inc.................................... 2,900 51,928 SHARES VALUE+ ------ ------ *Cell Therapeutics, Inc............................... 5,300 $ 87,119 *Cellegy Pharmaceuticals, Inc......................... 3,000 14,531 *Cellstar Corp........................................ 15,000 41,484 *Cellular Technical Services.......................... 500 3,656 *Cel-Sci Corp......................................... 1,300 3,900 *Centennial Bancorp................................... 2,200 18,906 *Centennial Cellular Corp............................. 4,500 71,437 *CenterSpan Communication Corp........................ 1,100 15,572 Centex Construction Products, Inc..................... 3,800 114,000 *Centigram Communications Corp........................ 1,200 22,537 Central Bancorp, Inc.................................. 100 1,628 *Central Garden & Pet Co.............................. 1,600 18,250 Central Parking Corp.................................. 5,000 131,562 Central Vermont Public Service Corp................... 2,300 25,156 Centura Banks, Inc.................................... 2,250 97,312 Century Aluminum Co................................... 5,100 52,116 Century South Banks, Inc.............................. 2,700 53,325 *Cephalon, Inc........................................ 1,000 51,687 *Ceradyne, Inc........................................ 2,000 16,500 *Ceres Group, Inc..................................... 2,700 16,031 *Cerner Corp.......................................... 4,000 91,125 *Cerprobe Corp........................................ 2,400 29,700 *Cerus Corp........................................... 2,500 97,031 *CFM Technologies, Inc................................ 1,600 12,500 CFW Communications Co................................. 3,300 124,884 CH Energy Group, Inc.................................. 3,400 109,437 *Chad Therapeutics.................................... 1,000 875 *Champion Enterprises, Inc............................ 5,000 28,437 Champion Industries, Inc.............................. 1,900 5,403 *Championship Auto Racing Teams, Inc.................. 3,100 60,644 *Champps Entertainment, Inc........................... 2,900 11,328 *Charles and Colvard, Ltd............................. 1,800 11,137 *Charles River Associates, Inc........................ 2,200 39,394 *Charming Shoppes, Inc................................ 24,700 145,884 *Chart House Enterprises, Inc......................... 2,900 15,406 Chart Industries, Inc................................. 6,000 26,250 *Chase Industries, Inc................................ 1,800 16,650 *Chattem, Inc......................................... 2,400 28,650 *Chaus (Bernard), Inc................................. 2,400 1,950 *Check Technology Corp................................ 1,200 6,112 *Checkpoint System, Inc............................... 7,500 59,531 *Cheesecake Factory, Inc.............................. 5,000 198,906 Chemed Corp........................................... 2,600 78,812 *Chemfab Corp......................................... 150 1,500 Chemfirst, Inc........................................ 4,600 96,025 Chemical Financial Corp............................... 3,570 98,844 *Cherokee, Inc........................................ 2,100 15,028 *Cherry Corp.......................................... 2,500 50,312 *Chesapeake Biological Laboratories, Inc. Class A..... 600 1,556 Chesapeake Corp....................................... 3,500 114,406 *Chesapeake Energy Corp............................... 17,700 101,775 Chesapeake Utilities Corp............................. 1,300 22,994 *Chicos Fas, Inc...................................... 3,100 56,091 *Children's Comprehensive Services, Inc............... 1,400 3,150 *Children's Place Retail Stores, Inc.................. 6,400 122,400 Chiquita Brands International, Inc.................... 6,600 25,987 *Chirex, Inc.......................................... 3,700 64,287 Chittenden Corp....................................... 1,421 39,344 *Choicepoint, Inc..................................... 2,625 106,148 20
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THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------ ------ *Cholestech Corp...................................... 3,000 $ 22,500 *ChromaVision Medical Systems, Inc.................... 3,900 41,925 *Chromcraft Revington, Inc............................ 1,900 21,137 *Chronimed, Inc....................................... 2,400 15,750 Church & Dwight Co., Inc.............................. 9,700 176,419 Churchill Downs, Inc.................................. 2,500 56,406 *Chyron Corp.......................................... 8,000 20,000 CICOR International, Inc.............................. 750 7,922 *CIDCO, Inc........................................... 3,400 10,412 *Cima Laboratories, Inc............................... 2,700 39,741 *Ciprico, Inc......................................... 1,200 12,975 Circle International, Inc............................. 4,400 83,187 *Circuit City Stores, Inc. (Carmax Group)............. 2,400 6,450 *Circuit Systems, Inc................................. 400 381 *Cirrus Logic, Inc.................................... 5,100 88,772 *Citadel Holding Corp. Class A........................ 560 1,750 *Citation Computer System, Inc........................ 1,000 3,609 *Citation Holding Corp. Class B....................... 140 437 *Citizens, Inc. Class A............................... 4,940 30,257 City Holding Co....................................... 4,200 41,737 City National Corp.................................... 153 5,967 *Civic Bancorp........................................ 900 12,628 CKE Restaurants, Inc.................................. 4,600 15,237 Clarcor, Inc.......................................... 6,100 107,894 *Clark/Bardes Holdings, Inc........................... 1,900 27,906 *Clean Harbors, Inc................................... 1,000 1,844 *click2learn.com, Inc................................. 4,200 50,137 *ClickAction, Inc..................................... 2,600 33,881 *Clintrials Research, Inc............................. 4,600 14,878 *Closure Medical Corp................................. 3,300 55,584 *CMG Information Services, Inc........................ 11 526 CMP Media Group, Inc.................................. 1,300 37,700 CNA Surety Corp....................................... 8,700 108,750 CNBT Bancshares, Inc.................................. 900 11,025 *CNS, Inc............................................. 2,900 11,600 Coachmen Industries, Inc.............................. 3,900 46,556 *Coast Dental Services, Inc........................... 1,300 2,661 *Coast Distribution System............................ 400 850 Coastal Bancorp, Inc.................................. 1,600 24,100 *Coastcast Corp....................................... 1,500 28,687 *Cobalt Group, Inc.................................... 4,200 27,300 *Cobra Electronic Corp................................ 1,600 8,800 Coca-Cola Bottling Co. Consolidated................... 1,200 58,462 *Coeur d'Alene Mines Corp. ID......................... 9,300 22,669 *Cognitronics Corp.................................... 500 5,125 *Coherent, Inc........................................ 3,600 202,725 *Cohesion Technologies, Inc........................... 800 8,450 Cohu, Inc............................................. 3,000 106,125 *Coinmach Laundry Corp................................ 2,500 33,828 *Coinstar, Inc........................................ 5,100 47,255 Cold Metal Products, Inc.............................. 600 2,250 *Coldwater Creek, Inc................................. 2,300 52,828 *Cole (Kenneth) Productions, Inc. Class A............. 750 25,078 Cole National Corp. Class A........................... 2,500 15,781 *Collagenex Pharmaceuticals, Inc...................... 2,200 22,069 *Collateral Therapeutics, Inc......................... 3,300 76,519 *Collins & Aikman Corp................................ 15,400 91,437 Collins Industries, Inc............................... 1,500 7,125 Colorado Business Bankshares, Inc..................... 700 9,122 *Colorado Medtech, Inc................................ 3,000 15,094 SHARES VALUE+ ------ ------ *Columbia Banking System, Inc......................... 2,300 $ 25,084 *Columbia Laboratories, Inc........................... 7,300 69,350 *Columbia Sportswear Co............................... 6,300 165,769 *Columbus Energy Corp................................. 300 2,100 Columbus McKinnon Corp................................ 3,700 51,106 *Com21, Inc........................................... 5,500 108,797 *Comarco, Inc......................................... 200 5,756 *Comdial Corp......................................... 2,300 21,023 *Comfort Systems USA, Inc............................. 3,700 22,431 *Command Systems, Inc................................. 1,500 2,766 Commercial Bank of New York........................... 1,300 15,437 Commercial Metals Co.................................. 1,400 36,837 Commonwealth Bancorp, Inc............................. 2,600 30,062 Commonwealth Industries, Inc.......................... 3,300 20,316 Communications Systems, Inc........................... 1,700 23,269 Community Bank System, Inc............................ 1,400 31,850 Community Financial Corp.............................. 400 4,475 Community Financial Group, Inc........................ 100 1,312 Community First Bankshares, Inc....................... 1,700 28,209 Community Savings Bankshares, Inc..................... 2,000 21,125 Community Trust Bancorp, Inc.......................... 2,475 35,810 Community West Bancshares............................. 500 3,062 *Compass Bancshares, Inc.............................. 697 14,158 *Competitive Technologies, Inc........................ 1,500 18,000 *Complete Business Solutions, Inc..................... 3,700 83,481 *Comptek Research, Inc................................ 1,200 20,475 *Compucom Systems, Inc................................ 12,100 29,116 *Computer Horizons Corp............................... 8,300 92,856 *Computer Learning Centers, Inc....................... 1,100 1,066 *Computer Motion, Inc................................. 1,700 13,016 *Computer Network Technology Corp..................... 6,000 74,812 *Computer Outsourcing Services, Inc................... 1,200 18,150 *Computer Sciences Corp............................... 127 12,184 Computer Task Group, Inc.............................. 500 3,594 *Computrac, Inc....................................... 1,300 1,219 *Computron Software, Inc.............................. 6,100 12,200 CompX International, Inc.............................. 1,200 22,650 *Comshare, Inc........................................ 2,200 8,387 *Comstock Resources, Inc.............................. 6,300 47,250 *Comtech Telecommunications Corp...................... 1,800 22,781 *Conceptus, Inc....................................... 1,900 9,322 *Concord Camera Corp.................................. 5,500 93,328 *Concord Communications, Inc.......................... 4,000 99,000 *Concurrent Computer Corp............................. 13,400 114,319 *Condor Technology Solutions, Inc..................... 1,200 506 *Cone Mills Corp. NC.................................. 4,300 24,725 *Congoleum Corp. Class A.............................. 1,100 3,437 *Conmed Corp.......................................... 3,800 91,556 Connecticut Water Services, Inc....................... 1,200 32,812 *Connitics Corp....................................... 5,700 50,231 *Conrad Industries, Inc............................... 1,000 5,719 *Consolidated Delivery and Logistics, Inc............. 1,500 2,625 *Consolidated Freightways Corp........................ 5,400 24,637 *Consolidated Graphics, Inc........................... 3,200 33,200 *Consolidated Products, Inc........................... 5,800 57,637 Consolidated Tokoma Land Co........................... 1,600 19,000 *Cooker Restaurant Corp............................... 500 1,187 Cooper Companies, Inc................................. 3,500 120,750 *CoorsTek, Inc........................................ 1,775 57,244 *Copart, Inc.......................................... 4,400 77,687 *Copytele, Inc........................................ 8,400 14,437 21
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THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------ ------ *Cordiant Communications Group P.L.C. ADR............. 519 $ 9,958 *Core Materials Corp.................................. 1,000 1,562 *Core, Inc............................................ 1,300 7,475 *Corixa Corp.......................................... 5,200 165,262 *Cornell Corrections, Inc............................. 900 6,525 Corning, Inc.......................................... 1,931 373,528 *Correctional Services Corp........................... 1,100 4,847 *Corrpro Companies, Inc............................... 1,900 7,125 *Corsair Communications, Inc.......................... 4,400 99,275 Corus Bankshares, Inc................................. 2,900 71,956 *Corvas International, Inc............................ 5,300 33,456 *Corvel Corp.......................................... 800 21,850 *Cost Plus, Inc....................................... 3,050 88,927 *CoStar Group, Inc.................................... 3,000 62,812 *Cotelligent Group, Inc............................... 3,700 16,881 Cotton States Life Insurance Co....................... 1,300 10,725 *Coulter Pharmaceutical, Inc.......................... 4,300 79,953 *Covance, Inc......................................... 14,300 101,887 *Covenant Transport, Inc. Class A..................... 1,400 14,394 *Coventry Health Care, Inc............................ 11,800 139,756 *Covol Technologies, Inc.............................. 1,700 2,603 *Coyote Network Systems, Inc.......................... 1,600 9,550 CPAC, Inc............................................. 1,500 10,312 CPB, Inc.............................................. 1,800 42,300 *C-Phone Corp......................................... 2,200 2,269 CPI Corp.............................................. 1,800 40,162 Craftmade International, Inc.......................... 1,300 6,378 *Craig Corp........................................... 300 1,219 Crawford & Co. Class A................................ 1,600 16,700 Crawford & Co. Class B................................ 2,600 30,550 *Cray, Inc............................................ 7,900 27,527 *Creative Biomolecules, Inc........................... 9,600 49,050 *Creative Computers, Inc.............................. 2,600 12,025 *Credence Systems Corp................................ 2,000 109,250 *Credit Acceptance Corp............................... 3,900 21,694 *Credit Management Solutions.......................... 1,500 6,141 *Creditrust Corp...................................... 2,600 1,341 *Crescent Operating, Inc.............................. 1,100 1,616 *Cross (A.T.) Co. Class A............................. 3,700 22,662 Cross Timbers Oil Co.................................. 5,600 113,750 *Crossman Communities, Inc............................ 2,300 40,753 *Crosswalk.com, Inc................................... 1,900 4,631 *Crown Central Petroleum Corp. Class A................ 1,200 10,875 *Crown Central Petroleum Corp. Class B................ 1,000 9,062 Crown Crafts, Inc..................................... 600 862 *Crown Vantage, Inc................................... 1,000 234 *Crown-Andersen, Inc.................................. 100 462 *Crusader Holding Corp................................ 1,000 8,062 *Cryolife, Inc........................................ 2,900 49,844 *CSK Auto Corp........................................ 5,500 82,500 *CT Communications, Inc............................... 900 28,687 *CTB International Corp............................... 2,400 15,637 *CTC Communications Group, Inc........................ 3,150 78,159 CTG Resources, Inc.................................... 2,200 86,625 CTS Corp.............................................. 200 11,037 Cubic Corp............................................ 2,200 44,000 *Cubist Pharmaceuticals, Inc.......................... 4,100 117,619 *Cumulus Media, Inc. Class A.......................... 6,400 73,200 SHARES VALUE+ ------ ------ *Cunningham Graphics International, Inc............... 500 $ 10,953 *CUNO, Inc............................................ 3,300 91,781 *CuraGen Corp......................................... 2,200 66,275 *Curative Health Services, Inc........................ 2,400 12,937 Curtiss-Wright Corp................................... 2,000 69,625 *Cuseeme Networks, Inc................................ 2,100 18,900 *Cutter & Buck, Inc................................... 2,600 26,162 *CV Therapeutics, Inc................................. 3,600 149,062 CVB Financial Corp.................................... 4,900 75,337 *CVF Technologies Corp................................ 1,700 4,037 *Cyanotech Corp....................................... 2,800 3,719 *Cybercash, Inc....................................... 6,200 26,737 *Cyberian Outpost, Inc................................ 5,900 25,075 *Cyberonics, Inc...................................... 4,500 80,016 *Cyberoptics Corp..................................... 1,300 48,466 *Cybersource Corp..................................... 6,400 91,400 *Cybex Corp........................................... 1,950 65,691 *Cygnus, Inc.......................................... 6,400 51,600 *Cylink Corp.......................................... 7,400 102,212 *Cymer, Inc........................................... 900 28,434 *Cyrk, Inc............................................ 3,100 17,825 *Cytogen Corp......................................... 17,900 71,880 *Cytrx Corp........................................... 1,900 2,078 *Cytyc Corp........................................... 1,400 70,219 *D A Consulting Group, Inc............................ 1,300 2,864 Dain Rauscher Corp.................................... 400 23,850 *Daisytek International Corp.......................... 4,300 43,537 *Daktronics, Inc...................................... 1,800 16,341 *Dal-Tile International, Inc.......................... 10,900 98,781 *Damark International, Inc. Class A................... 1,600 30,150 *Dan River, Inc. (GA) Class A......................... 4,300 21,500 *Danielson Holding Corp............................... 3,500 16,625 *Daou Systems, Inc.................................... 3,500 4,922 *Darling International, Inc........................... 600 712 *Data Broadcasting Corp............................... 8,600 39,372 *Data Dimensions, Inc................................. 2,700 4,894 *Data I/O Corp........................................ 1,800 6,750 *Data Race, Inc....................................... 5,700 25,116 *Data Systems & Software, Inc......................... 1,500 6,750 *Dataram Corp......................................... 1,650 29,391 Datascope Corp........................................ 3,800 142,856 *Datastream Systems, Inc.............................. 4,900 49,612 *DataTRAK International, Inc.......................... 600 3,262 *Dataware Technologies, Inc........................... 2,000 5,312 *Datawatch Corp....................................... 2,300 4,636 *Datron Systems, Inc.................................. 300 3,478 *Datum, Inc........................................... 300 4,669 *Dave and Busters, Inc................................ 1,200 8,250 *Davel Communications, Inc............................ 1,600 2,775 *Davox Corp........................................... 2,900 60,447 *Daw Technologies, Inc................................ 2,500 3,008 *Dawson Geophysical Co................................ 1,100 10,691 *Daxor Corp........................................... 900 11,025 *Dayton Superior Corp. Class A........................ 1,200 30,600 Deb Shops, Inc........................................ 2,600 32,256 *Deckers Outdoor Corp................................. 1,800 6,075 Decorator Industries, Inc............................. 300 1,462 *Del Global Technologies Corp......................... 1,500 12,562 *Del Monte Foods Co................................... 7,000 59,500 *Delco Remy International, Inc........................ 3,300 24,956 *Delia's, Inc......................................... 3,000 7,500 22
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THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------ ------ *Delphi Financial Group, Inc. Class A................. 2,900 $ 97,150 Delta Woodside Industries, Inc........................ 2,300 5,175 *Deltek Systems, Inc.................................. 4,200 45,019 Deltic Timber Corp.................................... 3,100 66,262 *Denali, Inc.......................................... 1,100 2,320 *Dendrite International, Inc.......................... 250 6,273 *Dense-Pac Microsystems, Inc.......................... 4,800 27,300 *Department 56, Inc................................... 1,400 12,512 *DepoMed, Inc......................................... 1,800 6,750 *Detection Systems, Inc............................... 1,300 12,837 Detroit Diesel Corp................................... 2,300 36,225 Dexter Corp........................................... 1,500 64,875 *Diacrin, Inc......................................... 4,300 29,294 Diagnostic Products Corp.............................. 2,700 84,037 *Diametrics Medical, Inc.............................. 6,500 46,922 *Dianon Systems, Inc.................................. 1,400 29,312 *Diedrich Coffee, Inc................................. 2,500 6,172 *Digene Corp.......................................... 3,100 92,225 *Digi International, Inc.............................. 3,800 19,594 *Digital Biometrics, Inc.............................. 3,600 12,712 *Digital Courier Technologies, Inc.................... 1,000 4,406 *Digital Generation Systems, Inc...................... 7,000 31,937 *Digital Lightwave, Inc............................... 2,700 148,331 *Digital Power Corp................................... 200 575 *Digital River, Inc................................... 5,400 61,087 Dime Community Bancorp, Inc........................... 3,100 50,375 Dimon, Inc............................................ 3,700 8,325 *Diodes, Inc.......................................... 1,500 40,875 *Dionex Corp.......................................... 1,800 63,450 *Dispatch Management Services Corp.................... 1,200 1,500 *Display Technologies, Inc............................ 2,000 5,437 *Diversified Corporate Resources, Inc................. 200 550 *Dixie Group, Inc..................................... 700 2,494 *Dixon Ticonderoga Co................................. 300 1,106 *DocuCorp International, Inc.......................... 3,100 14,580 *Document Sciences Corp............................... 2,200 4,606 *Documentum, Inc...................................... 1,700 93,872 *Dollar Thrifty Automotive Group, Inc................. 4,800 86,400 Donegal Group, Inc.................................... 1,000 6,953 *Donna Karan International, Inc....................... 3,200 22,600 Donnelly Corp. Class A................................ 1,100 15,881 *Dot Hill Systems Corp................................ 6,040 52,850 Dover Downs Entertainment, Inc........................ 2,200 25,987 Downey Financial Corp................................. 5,600 166,600 *Dress Barn, Inc...................................... 3,900 82,997 *Drew Industries, Inc................................. 1,100 7,700 *Drexler Technology Corp.............................. 2,000 23,000 Dreyer's Grand Ice Cream, Inc......................... 5,500 116,703 *Dril-Quip, Inc....................................... 3,400 146,625 *DRS Technologies, Inc................................ 2,400 27,300 *Drug Emporium, Inc................................... 2,600 2,966 *Dryclean USA, Inc.................................... 1,400 2,275 *Drypers Corp......................................... 1,800 3,234 *DSET Corp............................................ 2,700 51,131 *DSP Group, Inc....................................... 1,000 44,594 DT Industries, Inc.................................... 1,500 15,094 *DualStar Technologies Corp........................... 2,700 11,053 *Duane Reade, Inc..................................... 4,400 131,725 *Duckwall-Alco Stores, Inc............................ 1,000 8,625 *Ducommun, Inc........................................ 1,900 21,256 *Dunn Computer Corp................................... 1,900 3,652 *DuPont Photomasks, Inc............................... 1,000 57,531 SHARES VALUE+ ------ ------ *Dura Automotive Systems, Inc......................... 1,300 $ 15,478 *Dura Pharmaceuticals, Inc............................ 11,100 130,078 *Duramed Pharmaceuticals, Inc......................... 5,900 30,422 *DVI, Inc............................................. 3,600 51,750 *Dwyer Group, Inc..................................... 1,800 4,500 *Dyersburg Corp....................................... 500 102 *Dynamic Healthcare Technologies, Inc................. 1,900 2,078 *Dynamics Research Corp............................... 1,500 10,594 *E Com Ventures, Inc.................................. 1,500 4,547 *e.spire Communications, Inc.......................... 13,000 49,359 Eagle Bancshares, Inc................................. 900 10,519 *Eagle Point Software Corp............................ 400 1,850 Earthgrains Co........................................ 10,600 174,900 *EarthShell Corp...................................... 25,000 100,781 East West Bancorp, Inc................................ 4,700 57,722 *Eateries, Inc........................................ 500 1,844 *ECC International Corp............................... 2,100 6,300 *Echelon Corp......................................... 5,000 268,750 *Eclipse Surgical Technologies, Inc................... 7,500 25,781 *Eclipsys Corp........................................ 2,000 13,937 *Eco Soil Systems, Inc................................ 3,600 5,512 *Ecogen, Inc.......................................... 2,100 3,314 Ecology & Environment, Inc. Class A................... 200 1,175 *Edge Petroleum Corp.................................. 1,400 4,331 Edo Corp.............................................. 1,700 10,944 *Education Management Corp............................ 7,200 120,150 Educational Development Corp.......................... 400 1,087 *eFax.com, Inc........................................ 2,600 2,762 EFC Bancorp, Inc...................................... 500 4,562 *Egghead.com, Inc..................................... 7,400 25,322 *eGlobe, Inc.......................................... 5,700 17,545 *El Paso Electric Co.................................. 13,700 162,687 *Elan Corp. P.L.C. ADR................................ 3,773 150,213 *Elantec Semiconductor, Inc........................... 2,800 106,837 *Elcom International, Inc............................. 7,700 40,184 Elcor Corp............................................ 4,900 93,406 *Elcotel, Inc......................................... 2,700 5,020 *Elder-Beerman Stores Corp............................ 3,500 15,969 *Electric Fuel Corp................................... 4,300 24,322 *Electro Rent Corp.................................... 5,900 64,162 *Electro Scientific Industries, Inc................... 2,600 122,606 *Electroglas, Inc..................................... 4,000 105,500 *Electronic Processing, Inc........................... 800 8,800 *Elite Information Group, Inc......................... 1,900 12,112 Ellett Brothers, Inc.................................. 400 1,650 *E-Loan, Inc.......................................... 5,000 23,984 *eLOT, Inc............................................ 16,000 43,250 *Eloyalty Corp........................................ 3,800 56,762 *Embrex, Inc.......................................... 1,700 29,856 EMC Insurance Group, Inc.............................. 1,100 8,869 *Emcee Broadcast Products, Inc........................ 1,000 3,156 *Emcor Group, Inc..................................... 2,000 44,375 *EMCORE Corp.......................................... 1,200 79,800 *Emergent Information Technologies, Inc............... 3,200 9,350 *Emerging Vision, Inc................................. 5,500 12,633 *Emeritus Corp........................................ 1,600 4,700 *Emisphere Technologies, Inc.......................... 4,300 169,984 Empire District Electric Co........................... 4,300 101,587 Empire Federal Bancorp, Inc........................... 100 1,106 *EMS Technologies, Inc................................ 1,700 27,466 23
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THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------ ------ *En Pointe Technologies, Inc.......................... 1,600 $ 16,850 *Encad, Inc........................................... 2,400 8,400 *Encompass Services Corp.............................. 17,725 104,134 *Encore Med Corp...................................... 1,800 4,078 *Encore Wire Corp..................................... 1,500 9,422 *Endocardial Solutions, Inc........................... 2,500 20,781 *Endosonics Corp...................................... 3,500 14,930 Energen Corp.......................................... 7,500 165,937 *Energy Biosystems Corp............................... 1,300 11,334 *Energy Conversion Devices, Inc....................... 3,200 58,400 Energynorth, Inc...................................... 600 35,400 Energysouth, Inc...................................... 900 17,437 Engineered Support Systems, Inc....................... 1,300 16,412 *Engineering Animation, Inc........................... 3,000 28,734 Engle Homes, Inc...................................... 1,900 18,228 Enhance Financial Services Group, Inc................. 3,800 52,250 Ennis Business Forms, Inc............................. 3,200 23,600 *Enserch Exploration Corp............................. 2,500 12,812 *Entrade, Inc......................................... 4,100 26,394 *Entremed, Inc........................................ 3,000 65,531 *Environmental Elements Corp.......................... 600 825 *Environmental Tectonics Corp......................... 1,700 16,150 *Enzo Biochem, Inc.................................... 2,000 70,500 *Enzon, Inc........................................... 1,300 37,497 *EP Medsystems, Inc................................... 2,200 10,175 *Epicor Software Corp................................. 10,400 37,375 *Epimmune, Inc........................................ 1,800 10,012 *Epitope, Inc......................................... 2,900 30,178 *EPIX Medical, Inc.................................... 2,300 31,697 *ePlus, Inc........................................... 1,600 32,250 *ePresence, Inc....................................... 6,100 51,087 *Equinox Systems, Inc................................. 800 4,650 *Equity Marketing, Inc................................ 1,300 13,162 *Ergo Science Corp.................................... 2,100 2,592 *Escalon Medical Corp................................. 600 994 *Esco Electronics Corp................................ 2,900 51,112 *eShare Communications, Inc........................... 5,300 31,137 Eskimo Pie Corp....................................... 600 5,906 *ESS Technology, Inc.................................. 8,500 111,828 Ethan Allen Interiors, Inc............................ 5,000 116,250 E'town Corp........................................... 1,700 112,731 *Evans & Sutherland Computer Corp..................... 1,900 15,022 *Evans Systems, Inc................................... 800 362 *Evergreen Resources, Inc............................. 2,900 79,659 *Evolving Systems, Inc................................ 3,100 12,109 *Exabyte Corp......................................... 5,700 24,047 *Exactech, Inc........................................ 500 7,375 *Exar Corp............................................ 900 61,791 *Excalibur Technologies Corp.......................... 3,600 103,725 *Excel Legacy Corp.................................... 3,000 8,625 *Excel Technology, Inc................................ 2,400 75,750 *eXcelon Corp......................................... 7,300 47,906 *Excelsior-Henderson Motorcycle Manufacturing Co...... 1,100 132 Exide Corp............................................ 5,400 45,900 *Exponent, Inc........................................ 1,300 10,197 *Extended Systems, Inc................................ 1,900 61,275 Ezcorp, Inc. Class A Non-Voting....................... 2,700 5,906 *Ezenia! Inc.......................................... 3,400 15,300 F & M National Corp................................... 4,900 116,069 F.N.B. Corp........................................... 4,200 76,912 SHARES VALUE+ ------ ------ Fab Industries, Inc................................... 500 $ 5,000 *Factory 2-U Stores, Inc.............................. 3,100 108,209 *Factual Data Corp.................................... 1,300 10,887 Fair, Isaac & Co., Inc................................ 2,800 117,950 *Fairchild Corp. Class A.............................. 2,200 10,450 *Fairfield Communities, Inc........................... 11,100 93,656 Falcon Products, Inc.................................. 1,700 16,787 *Fansteel, Inc........................................ 1,700 6,800 *Farm Family Holdings, Inc............................ 500 13,500 Farmer Brothers Co.................................... 100 16,750 *Faro Technologies, Inc............................... 2,300 6,253 *Faroudja, Inc........................................ 2,500 7,969 *Fatbrain.com, Inc.................................... 2,300 15,202 FBL Financial Group, Inc. Class A..................... 3,200 46,800 FCNB Corp............................................. 2,000 24,312 *Featherlite Manufacturing, Inc....................... 1,300 4,509 Fedders Corp.......................................... 3,800 23,037 *FEI Co............................................... 6,900 124,847 Ferro Corp............................................ 4,300 95,137 FFLC Bancorp.......................................... 199 2,550 FFY Financial Corp.................................... 600 6,637 *Fibermark, Inc....................................... 1,500 15,656 *Fiberstars, Inc...................................... 800 6,275 Fidelity Bancorp, Inc. Delaware....................... 200 3,512 Fidelity Bankshares, Inc.............................. 1,400 21,787 *Fidelity Federal Bancorp............................. 300 581 *Fidelity Holdings, Inc............................... 6,450 16,327 Fidelity National Corp................................ 1,800 11,194 Fidelity National Financial, Inc...................... 2,400 37,200 *Fieldworks, Inc...................................... 1,800 1,856 *Filenet Corp......................................... 3,200 67,300 *Financial Federal Corp............................... 3,000 53,250 *Finish Line, Inc. Class A............................ 4,700 32,606 *Finlay Enterprises, Inc.............................. 1,000 11,406 First Albany Companies, Inc........................... 1,470 27,379 *First American Health Concepts, Inc.................. 200 525 *First Aviation Services, Inc......................... 1,400 9,362 First Bell Bancorp, Inc............................... 1,100 15,709 *First Cash, Inc...................................... 2,200 9,281 First Commonwealth Financial Corp..................... 12,600 122,850 *First Consulting Group, Inc.......................... 5,900 45,909 First Defiance Financial Corp......................... 1,300 10,766 First Essex Bancorp................................... 1,500 24,703 First Federal Capital Corp............................ 1,100 11,722 First Federal of East Hartford........................ 300 8,662 First Financial Bankshares, Inc....................... 1,600 46,900 First Financial Holdings, Inc......................... 2,700 42,272 First Indiana Corp.................................... 3,200 55,900 First International Bancorp, Inc...................... 2,100 17,784 *First Investors Financial Services Group, Inc........ 400 1,887 First Merchants Corp.................................. 2,100 44,756 First Midwest Financial, Inc.......................... 600 5,944 First Mutual Bancshares, Inc.......................... 220 2,186 First Niagara Financial Group, Inc.................... 6,600 60,431 First Northern Capital Corp........................... 1,900 25,353 *First Republic Bank.................................. 900 15,187 First Savings Bancorp, Inc. North Carolina............ 300 5,400 First SecurityFed Financial, Inc...................... 500 5,687 First Sentinel Bancorp, Inc........................... 10,800 84,206 First Source Corp..................................... 1,114 20,017 24
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THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------ ------ *First Team Sports, Inc............................... 1,500 $ 3,211 First United Bancshares, Inc.......................... 2,600 43,956 First Washington Bancorp, Inc......................... 1,900 27,491 First Years, Inc...................................... 2,000 18,562 *FirstCity Financial Corp............................. 1,300 2,844 Firstfed America Bancorp, Inc......................... 900 10,462 *FirstFed Financial Corp. DE.......................... 1,800 24,187 *Firstwave Technologies, Inc.......................... 1,400 4,966 *Fischer Imaging Corp................................. 1,400 3,762 Flagstar Bancorp, Inc................................. 2,600 24,456 *Flander Corp......................................... 6,400 22,800 Fleetwood Enterprises, Inc............................ 3,500 49,875 Fleming Companies, Inc................................ 9,800 137,812 Flexsteel Industries, Inc............................. 800 10,325 *flightserv.com....................................... 5,300 6,625 *Flir Systems, Inc.................................... 2,200 15,262 *Flooring America, Inc................................ 1,900 5,225 *Florida Banks, Inc................................... 1,400 7,306 Florida Public Utilities Co........................... 200 2,925 Florida Rock Industries, Inc.......................... 4,600 181,987 *Florsheim Group, Inc................................. 1,700 4,197 *Flour City International, Inc........................ 1,100 3,162 *Flow International Corp.............................. 2,900 29,997 Flowserve Corp........................................ 7,500 120,000 Flushing Financial Corp............................... 2,400 34,650 FNB Financial Services Corp........................... 1,100 13,475 *Focal, Inc........................................... 3,400 12,856 *Foilmark, Inc........................................ 1,500 5,766 *Foodarama Supermarkets, Inc.......................... 100 2,700 Foothill Independent Bancorp.......................... 500 4,844 *Footstar, Inc........................................ 4,200 150,675 *Forest Oil Corp...................................... 13,500 215,156 *Forrester Resh, Inc.................................. 1,200 71,137 *Forward Air Corp., Inc............................... 4,750 152,000 *Fossil, Inc.......................................... 8,000 160,000 *Foster (L.B.) Co. Class A............................ 2,000 6,687 Foster Wheeler Corp................................... 8,100 68,344 *Fotoball USA, Inc.................................... 300 1,237 *Fountain Powerboat Industries, Inc................... 500 1,203 *Four Kids Entertainment, Inc......................... 3,000 55,312 *Fourth Shift Corp.................................... 2,100 9,023 *FPIC Insurance Group, Inc............................ 2,400 30,975 Franklin Bank National Associaton Southfield, MI...... 300 2,587 *Franklin Covey Co.................................... 3,300 25,575 Franklin Electric Co., Inc............................ 1,000 69,656 *Franklin Electronic Publishers, Inc.................. 2,000 13,000 Freds, Inc. Class A................................... 2,400 41,100 Fremont General Corp.................................. 3,800 16,625 *French Fragrances, Inc............................... 3,300 25,369 Frequency Electronics, Inc............................ 1,500 25,500 *Fresh America Corp................................... 1,000 2,187 *Fresh Choice, Inc.................................... 1,100 3,970 *Fresh Foods, Inc..................................... 1,100 3,231 *Friede Goldman International......................... 7,900 66,656 *Friedman Billings Ramsey Group, Inc. Class A......... 3,400 21,675 Friedman Industries, Inc.............................. 735 2,389 *Friendly Ice Cream Corp.............................. 700 3,347 Frisch's Restaurants, Inc............................. 1,100 10,725 *Fritz Companies, Inc................................. 9,200 95,737 Frontier Adjusters of America, Inc.................... 1,200 4,725 SHARES VALUE+ ------ ------ *Frontier Airlines, Inc............................... 4,400 $ 58,025 *Frontier Oil Corp.................................... 6,800 47,600 Frozen Food Express Industries, Inc................... 3,300 8,353 FSF Financial Corp.................................... 500 6,187 *FSI International, Inc............................... 6,200 89,319 *FTI Consulting, Inc.................................. 1,600 15,000 *FuelCell Energy, Inc................................. 1,900 82,412 Fuller (H.B.) Co...................................... 2,800 108,325 *Funco, Inc........................................... 1,200 29,512 *Furr's/Bishop's, Inc................................. 2,000 5,750 *Fusion Medical Technologies, Inc..................... 2,500 31,953 *FVC.COM, Inc......................................... 4,200 23,625 *FX Energy, Inc....................................... 1,400 10,587 *FYI, Inc............................................. 3,800 124,450 G & K Services, Inc. Class A.......................... 1,900 47,559 *Gadzooks, Inc........................................ 1,800 25,650 Gainsco, Inc.......................................... 5,200 27,300 *Galagen, Inc......................................... 2,100 4,069 *Galey & Lord, Inc.................................... 2,300 5,606 Gallagher (Arthur J.) & Co............................ 3,400 131,537 *GameTech International, Inc.......................... 2,300 14,662 Garan, Inc............................................ 500 10,250 *Garden Fresh Restaurant Corp......................... 500 5,437 *Gardenburger, Inc.................................... 1,200 6,525 *Gardner Denver Machinery, Inc........................ 3,000 52,500 *Gart Sports Co....................................... 700 3,981 *Gasonics International, Inc.......................... 3,700 100,825 *Gaylord Container Corp. Class A...................... 10,600 42,400 GBC Bancorp........................................... 2,300 66,053 *GC Companies, Inc.................................... 2,000 52,875 *Geerling & Wade, Inc................................. 700 2,494 *Gehl Co.............................................. 1,100 19,697 *Geltex Pharmaceuticals, Inc.......................... 3,900 75,928 *Gencor Industries, Inc............................... 500 3,156 Gencorp, Inc.......................................... 8,300 81,444 *Gene Logic, Inc...................................... 6,300 133,284 *Genelabs Technologies, Inc........................... 10,200 34,584 General Binding Corp.................................. 1,700 12,750 General Cable Corp.................................... 9,000 74,812 *General Chemical Group, Inc.......................... 1,700 1,647 *General Communications, Inc. Class A................. 11,300 54,381 *General Datacomm Industries, Inc..................... 5,000 19,687 General Employment Enterprises, Inc................... 1,000 3,500 *General Magic, Inc................................... 10,300 27,198 *General Semiconductor, Inc........................... 7,500 118,125 *Genesco, Inc......................................... 5,500 84,906 *Genesee & Wyoming, Inc............................... 900 16,481 Genesis Worldwide, Inc................................ 500 500 *Genlyte Group, Inc................................... 2,700 54,928 *Genome Therapeutics Corp............................. 5,200 80,762 *Genrad, Inc.......................................... 7,500 54,844 *Gensym Corp.......................................... 1,600 5,825 Gentek, Inc........................................... 4,400 59,400 *Gentiva Health Services.............................. 850 7,411 *Genus, Inc........................................... 4,700 25,850 *Genzyme Transgenics Corp............................. 7,100 131,572 Georgia Gulf Corp..................................... 6,200 155,000 *Geoworks............................................. 4,500 48,516 *Gerald Stevens, Inc.................................. 9,700 19,097 *Gerber Childrenswear, Inc............................ 1,600 8,400 Gerber Scientific, Inc................................ 5,600 67,200 25
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THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------ ------ *Geron Corp........................................... 5,400 $ 97,706 *Getty Petroleum Marketing, Inc....................... 1,400 5,075 Getty Realty Corp. (Holding Co.)...................... 2,700 30,206 *Giant Industries, Inc................................ 2,100 18,506 Gibraltar Steel Corp.................................. 1,200 19,012 *Giga Information Group, Inc.......................... 2,500 12,266 *Giga-Tronics, Inc.................................... 1,100 8,319 *G-III Apparel Group, Ltd............................. 1,300 6,012 *Gilead Sciences, Inc................................. 341 18,734 *Gilman & Ciocia, Inc................................. 1,900 10,153 *Gish Biomedical, Inc................................. 700 1,509 *GK Intelligent Systems, Inc.......................... 1,400 280 *Glacier Water Services, Inc.......................... 100 1,212 Glatfelter (P.H.) Co.................................. 6,300 74,419 *Glenayre Technologies, Inc........................... 12,400 101,912 *Gliatech, Inc........................................ 1,900 35,566 *Global Payment Technologies, Inc..................... 1,000 6,250 *Global Sources, Ltd.................................. 71 1,959 *Global Sports, Inc................................... 4,600 25,012 *Global Technologies, Ltd............................. 2,100 7,809 *Global Vacation Group, Inc........................... 700 1,794 *Globe Business Resources, Inc........................ 1,200 15,337 *Globecomm Systems, Inc............................... 2,900 31,628 Gold Banc Corp........................................ 7,600 42,987 Golden Enterprises, Inc............................... 2,400 7,500 *Golden State Vintners, Inc........................... 1,000 4,812 *Good Guys, Inc....................................... 4,100 11,019 *Goodrich Petroleum Corp.............................. 1,100 4,675 *Goodys Family Clothing............................... 6,600 36,094 Gorman-Rupp Co........................................ 2,100 36,619 *Gottschalks, Inc..................................... 3,100 15,694 *Government Technology Services, Inc.................. 2,300 6,972 *GP Strategies Corp................................... 2,700 10,294 Graco, Inc............................................ 5,100 163,519 *Gradco Systems, Inc.................................. 700 1,302 *Grand Union Co....................................... 400 337 Granite Construction, Inc............................. 6,800 177,225 Granite State Bankshares, Inc......................... 1,100 18,150 *Graphic Packaging International Corp................. 7,200 24,750 Gray Communications Systems, Inc...................... 700 7,919 *Great Plains Software................................ 1,400 58,362 Great Southern Bancorp, Inc........................... 1,000 16,812 Greater Bay Bancorp................................... 2,500 114,609 *Green Mountain Coffee, Inc........................... 500 9,000 Green Mountain Power Corp............................. 1,100 8,731 Greenbrier Companies, Inc............................. 3,100 23,637 *Grey Wolf, Inc....................................... 31,900 159,500 *Griffon Corp......................................... 7,100 43,044 *Group 1 Automotive, Inc.............................. 4,400 50,600 *Grow Biz International, Inc.......................... 300 1,462 *Grubb & Ellis Co..................................... 3,900 21,694 *GSV, Inc............................................. 1,900 950 *GT Interactive Software Corp......................... 20,600 43,131 *Gtech Holdings, Inc.................................. 5,100 112,519 *GTS Duratek, Inc..................................... 2,700 21,937 Guaranty Federal Bancshares, Inc...................... 800 7,975 *Guess, Inc........................................... 4,300 65,575 *Guest Supply, Inc.................................... 1,300 22,831 Guilford Mills, Inc................................... 3,800 24,937 *Guilford Pharmaceuticals, Inc........................ 5,900 82,231 *Guitar Center, Inc................................... 5,500 70,469 SHARES VALUE+ ------ ------ *Gulf Island Fabrication, Inc......................... 2,900 $ 50,297 *Gulfmark Offshore, Inc............................... 2,000 43,125 *Gumtech International, Inc........................... 1,700 18,647 *Gundle/SLT Environmental, Inc........................ 1,200 3,750 *Gymboree Corp........................................ 6,100 17,061 *GZA Geoenvironmental Technologies, Inc............... 400 2,450 *Hadco Corp........................................... 1,400 123,550 *Haemonetics Corp..................................... 6,300 135,056 Haggar Corp........................................... 1,000 11,594 *Hagler Bailly, Inc................................... 2,700 4,894 *Hain Celestial Group, Inc............................ 6,256 184,371 *Hall Kinion Associates, Inc.......................... 3,200 81,800 Hallmark Capital Corp................................. 500 4,250 *Ha-Lo Industries, Inc................................ 22,400 124,600 *Hamilton Bancorp, Inc................................ 2,500 42,969 *Hammons (John Q.) Hotels, Inc. Class A............... 1,200 4,950 Hancock Fabrics, Inc.................................. 4,700 22,031 Hancock Holding Co.................................... 2,700 85,725 *Handleman Co......................................... 7,300 71,175 *Hanger Orthopedic Group, Inc......................... 4,100 19,731 *Hanover Direct, Inc.................................. 34,600 54,062 *Harbinger Corp....................................... 3,800 57,000 Harbor Florida Bancshares, Inc........................ 6,700 70,978 *Harding Lawson Associates Group, Inc................. 1,000 11,344 Hardinge Brothers, Inc................................ 1,400 13,519 *Harken Energy Corp................................... 1,000 750 Harland (John H.) Co.................................. 7,600 116,850 Harleysville Group, Inc............................... 2,800 47,425 Harleysville National Corp. PA........................ 1,500 44,484 Harman International Industries, Inc.................. 100 5,787 Harmon Industries, Inc................................ 2,200 29,425 *Harolds Stores, Inc.................................. 600 1,500 Harris Financial, Inc................................. 6,700 41,456 *Hartmarx Corp........................................ 5,800 13,050 *Harvard Industries, Inc.............................. 2,000 9,062 *Harvey Entertainment Co.............................. 800 2,450 *Hastings Entertainment, Inc.......................... 2,100 2,789 *Hauppauge Digital, Inc............................... 2,200 18,769 *Hauser, Inc.......................................... 500 687 Haven Bancorp, Inc.................................... 1,800 32,287 *Hawaiian Airlines, Inc............................... 4,100 10,250 *Hawk Corp............................................ 1,700 11,581 *Hawker Pacific Aerospace............................. 1,100 6,187 Hawkins Chemical, Inc................................. 2,200 17,325 *Hawthorne Financial Corp............................. 1,400 11,375 *Hayes Lemmerz International, Inc..................... 7,600 109,725 HCC Insurance Holdings, Inc........................... 12,300 209,869 *Headway Corporate Resources, Inc..................... 2,200 7,012 *Health Management Systems, Inc....................... 600 2,484 *Health Risk Management, Inc.......................... 1,200 6,975 *Health Systems Design Corp........................... 1,300 7,312 *HealthAxis, Inc...................................... 1,200 6,337 *Healthcare Recoveries, Inc........................... 2,200 7,666 *Healthcare Services Group, Inc....................... 600 2,700 *Healthcare.com Corp.................................. 5,400 13,837 *HealthGrades.com, Inc................................ 500 578 Healthplan Services Corp.............................. 3,400 8,287 *Heartland Express, Inc............................... 6,000 105,937 *Heartport, Inc....................................... 6,400 20,200 26
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THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------ ------ *Hearx, Ltd........................................... 2,200 $ 8,662 *Hecla Mining Co...................................... 4,200 4,462 *Hector Communications Corp........................... 500 6,375 *HEI, Inc............................................. 1,000 12,125 Heico Corp............................................ 1,600 21,000 Heilig-Meyers Co...................................... 7,500 12,656 Helix Technology Corp................................. 800 27,225 *Hello Direct, Inc.................................... 1,000 12,437 *Hemispherx Biopharma, Inc............................ 6,600 38,362 Henry Jack & Associates, Inc.......................... 4,000 173,875 Herbalife International, Inc. Class A................. 1,000 8,687 Heritage Financial Corp............................... 1,000 7,906 *Herley Industries, Inc............................... 900 14,569 *Heska Corp........................................... 6,500 13,203 *Hexcel Corp.......................................... 300 2,325 HF Financial Corp..................................... 400 3,462 *HI/FN, Inc........................................... 302 8,767 *Hibbett Sporting Goods, Inc.......................... 500 9,703 *Hickory Tech Corp.................................... 3,400 44,625 *High Plains Corp..................................... 3,200 7,200 *Highlands Insurance Group, Inc....................... 1,300 9,425 Hilb Rogal Hamilton Co................................ 3,200 100,200 *Hines Horticulture, Inc.............................. 4,300 28,622 *Hi-Shear Technology Corp............................. 1,700 3,400 *Hi-Tech Pharmacal, Inc............................... 900 3,502 HMN Financial, Inc.................................... 1,200 13,575 *HMT Technology Corp.................................. 6,900 11,859 *Hoenig Group, Inc.................................... 1,700 15,778 *Holiday RV Superstores, Inc.......................... 1,400 5,862 *Hollis-Eden Pharmaceuticals, Inc..................... 2,800 25,025 Holly Corp............................................ 1,700 17,000 *Hollywood Casino Corp. Class A....................... 5,200 26,325 *Hollywood Entertainment Corp......................... 11,500 79,242 *Hologic, Inc......................................... 3,800 21,850 *Holt's Cigar Holdings, Inc........................... 204 1,128 Home Federal Bancorp.................................. 900 14,794 *Home Products International, Inc..................... 1,800 7,762 *Homeland Holding Corp................................ 900 3,544 Hooper Holmes, Inc.................................... 11,600 118,900 Horace Mann Educators Corp............................ 5,200 88,400 Horizon Financial Corp................................ 500 4,672 *Horizon Medical Products, Inc........................ 1,600 3,400 *Horizon Offshore, Inc................................ 3,800 42,869 *Horizon Organic Holding Corp......................... 2,400 23,100 *Horizon Pharmacies, Inc.............................. 1,500 5,625 *Hot Topic, Inc....................................... 2,500 63,828 *Hotelworks.com, Inc.................................. 2,100 787 *HotJobs.com, Ltd..................................... 6,300 73,041 *Houston Exploration Co............................... 2,900 72,500 *Hovnanian Enterprises, Inc. Class A.................. 1,600 8,800 *HS Resources, Inc.................................... 4,700 157,744 HSB Group, Inc........................................ 2,900 84,281 *HTE, Inc............................................. 500 508 *Hub Group, Inc. Class A.............................. 700 8,859 Hudson River Bancorp, Inc............................. 3,300 32,278 *Hudson Technologies, Inc............................. 500 1,047 Hughes Supply, Inc.................................... 4,500 85,500 Hunt (J.B.) Transport Services, Inc................... 5,300 85,628 Hunt Corp............................................. 2,600 26,162 *Huntco, Inc. Class A................................. 1,100 3,369 *Hurco Companies, Inc................................. 1,200 5,250 Hussmann International, Inc........................... 10,300 297,412 SHARES VALUE+ ------ ------ *Hutchinson Technology, Inc........................... 6,200 $ 73,044 *Hycor Biomedical, Inc................................ 1,500 7,500 *Hypercom Corp........................................ 8,600 107,500 *HyperFeed Technologies, Inc.......................... 1,500 4,406 *Hyperion Solutions Corp.............................. 3,100 97,456 *Hyseq, Inc........................................... 3,100 71,784 Iberiabank Corp....................................... 1,300 19,419 *Ibis Technology Corp................................. 2,100 75,469 *ICT Group, Inc....................................... 1,200 8,437 *ICU Medical, Inc..................................... 1,600 30,050 *Identix, Inc......................................... 7,800 100,425 *IDEXX Laboratories, Inc.............................. 7,300 181,359 *IDG Books Worldwide, Inc............................. 2,900 26,009 *IDT Corp............................................. 4,800 156,450 *IDX Systems Corp..................................... 6,900 102,206 *IEC Electronics Corp................................. 1,500 2,859 *IFR Systems, Inc..................................... 1,200 6,862 *iGate Capital Corp................................... 2,500 38,984 *IGEN, Inc............................................ 3,900 51,797 *IGI, Inc............................................. 1,000 1,437 *Igo Corp............................................. 4,000 15,000 *IHOP Corp............................................ 4,000 70,500 *II-VI, Inc........................................... 1,300 49,969 *Ikos Systems, Inc.................................... 2,100 17,883 *Il Fornaio (America) Corp............................ 1,400 12,075 *ilife.com, Inc....................................... 1,300 2,641 *Image Entertainment, Inc............................. 3,300 13,097 *Imation Corp......................................... 1,000 28,312 *Imatron, Inc......................................... 20,100 41,770 *Imclone Systems, Inc................................. 900 63,787 IMCO Recycling, Inc................................... 3,000 20,062 *Immucor, Inc......................................... 2,000 16,062 *Immune Response Corp. DE............................. 6,500 43,773 *Immunogen, Inc....................................... 8,000 55,250 *Immunomedics, Inc.................................... 3,100 38,459 *Impath, Inc.......................................... 1,700 92,491 *Impco Technologies, Inc.............................. 1,300 37,294 *Imperial Credit Industries, Inc...................... 2,900 10,150 Imperial Sugar Co..................................... 3,200 4,400 *Impreso.com, Inc..................................... 500 2,047 *IMR Global Corp...................................... 9,600 158,700 *In Focus Systems, Inc................................ 5,800 161,856 *In Home Health, Inc.................................. 500 1,023 *Incyte Pharmaceuticals, Inc.......................... 1,100 58,059 Independence Community Bank Corp...................... 2,559 34,227 Independent Bank Corp. MA............................. 2,800 34,912 Independent Bank East................................. 2,200 28,737 *Indus International, Inc............................. 6,800 40,375 *Industrial Data Systems Corp......................... 800 900 *Industrial Distribution Group, Inc................... 400 950 *Industrial Holdings, Inc............................. 1,500 1,734 *Industri-Matematik International Corp................ 7,900 41,475 *Inference Corp. Class A.............................. 1,300 8,044 *Infinium Software, Inc............................... 3,100 9,978 *Infocure Corp........................................ 4,400 19,112 *Infonautics Corp. Class A............................ 600 2,456 *Information Architects Corp.......................... 7,100 49,478 *Information Management Associates, Inc............... 1,900 8,312 *Information Resource Engineering, Inc................ 1,100 15,744 27
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THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------ ------ *Information Resources, Inc........................... 1,700 $ 8,447 *Informix Corp........................................ 2,073 14,803 *infoUSA, Inc......................................... 12,500 62,891 *Ingenuus Corp........................................ 8,600 12,631 Ingles Market, Inc. Class A........................... 2,300 22,712 *Inhale Therapeutic Systems........................... 2,100 152,906 *Innerdyne, Inc....................................... 5,300 29,481 *Innotrac Corp........................................ 2,800 13,825 *Innovative Gaming Corp. of America................... 800 588 *Innoveda, Inc........................................ 3,200 14,300 Innovex, Inc.......................................... 3,700 31,797 *Inprise Corp......................................... 5,800 32,353 *Input/Output, Inc.................................... 3,100 24,413 *Insight Enterprises, Inc............................. 1,600 72,650 *Insignia Financial Group, Inc........................ 4,200 47,513 *Insite Vision, Inc................................... 5,100 20,081 *Insituform Technologies, Inc. Class A................ 2,400 83,025 *Inso Corp............................................ 2,000 7,063 *Inspire Insurance Solutions, Inc..................... 3,800 13,181 Insteel Industries, Inc............................... 1,600 9,200 *Insurance Auto Auctions, Inc......................... 2,300 44,634 *Integ, Inc........................................... 1,900 3,295 Integra Bank Corp..................................... 4,260 84,401 *Integra Lifesciences Corp............................ 4,100 28,956 *Integral Vision, Inc................................. 1,800 3,150 *IntegraMed America, Inc.............................. 1,000 3,125 *Integrated Measurement System, Inc................... 1,900 28,263 *Integrated Silicon Solution, Inc..................... 5,900 174,972 *INTELFILM Corp....................................... 1,200 3,150 *Intellidata Technologies Corp........................ 9,700 59,109 *Intelligroup, Inc.................................... 4,100 38,886 *Inter Parfums, Inc................................... 1,500 17,625 *InterCept Group, Inc................................. 2,600 44,281 Interchange Financial Services Corp................... 600 7,650 *InterDent, Inc....................................... 2,100 6,694 *Interdigital Communications Corp..................... 5,800 93,344 *Interface Systems, Inc............................... 1,200 8,438 Interface, Inc. Class A............................... 11,600 50,750 *Intergraph Corp...................................... 4,900 27,409 *Interlink Electronics................................ 3,250 70,484 *Interlinq Software Corp.............................. 400 1,125 *Interlogix, Inc...................................... 1,300 28,681 *Interlott Technologies, Inc.......................... 300 1,763 *Intermagnetics General Corp.......................... 3,300 37,538 Intermet Corp......................................... 6,300 43,411 *International Aircraft Investors..................... 1,000 5,125 *International FiberCom, Inc.......................... 7,600 109,013 *International Microcomputer Software, Inc............ 300 198 International Multifoods Corp......................... 4,700 65,506 *International Remote Imaging Systems, Inc............ 1,800 2,588 International Shipholding Corp........................ 600 4,575 *International Speciality Products, Inc............... 6,800 36,975 *International Speedway Corp. Class A................. 12 513 *International Total Services, Inc.................... 300 300 *Interneuron Pharmaceuticals, Inc..................... 6,100 9,436 *Interphase Corp...................................... 1,500 21,188 *Interplay Entertainment Corp......................... 5,300 9,441 Interpool, Inc........................................ 2,000 16,000 *Interpore International.............................. 3,400 25,978 SHARES VALUE+ ------ ------ *Interstate National Dealers Services, Inc............ 900 $ 4,894 *Intertan, Inc........................................ 6,000 63,375 Inter-Tel, Inc........................................ 6,600 93,019 *Intervoice, Inc...................................... 8,017 113,240 Interwest Bancorp..................................... 3,200 48,700 *Intest Corp.......................................... 2,100 30,581 *Intevac, Inc......................................... 2,300 7,188 *IntraNet Solutions, Inc.............................. 5,000 98,438 *Intuit, Inc.......................................... 869 31,474 Invacare Corp......................................... 5,700 141,075 *Inverness Medical Technology, Inc.................... 4,100 31,775 *Investment Technology Group, Inc..................... 1,600 54,000 Investors Financial Services Corp..................... 1,500 121,781 *Invision Technologies, Inc........................... 3,100 12,497 *Invivo Corp.......................................... 900 9,056 *Iomed, Inc........................................... 1,300 7,150 *Ion Networks, Inc.................................... 3,600 21,769 *Ionics, Inc.......................................... 3,200 92,000 *IRI International Corp............................... 8,200 73,288 *Iridex Corp.......................................... 1,000 8,500 *Iron Mountain, Inc................................... 1,870 68,255 Irwin Financial Corp.................................. 4,300 61,947 *Isco, Inc............................................ 500 2,242 *Isis Pharmaceuticals, Inc............................ 8,900 82,881 *Isle of Capri Casinos, Inc........................... 7,600 103,788 *Isolyser Co., Inc.................................... 10,300 36,372 *I-Stat Corp.......................................... 3,600 52,762 *ITC Learning Corp.................................... 800 1,975 *ITLA Capital Corp.................................... 700 9,144 *Itron, Inc........................................... 3,000 13,969 *ITT Educational Services, Inc........................ 6,100 101,413 *iTurf, Inc. Class A.................................. 100 347 *Ivex Packaging Corp.................................. 5,200 46,800 *IVI Checkmate Corp................................... 4,500 13,219 *J & J Snack Foods Corp............................... 1,800 26,831 *J. Alexander's Corp.................................. 1,700 6,588 *J. Jill Group, Inc................................... 2,000 12,313 *Jackpot Enterprises, Inc............................. 600 6,938 *Jaco Electronics, Inc................................ 300 4,884 *Jacobson Stores, Inc................................. 1,200 6,750 *Jakks Pacific, Inc................................... 3,800 55,219 *Jan Bell Marketing, Inc.............................. 2,000 4,375 *Jason, Inc........................................... 4,100 41,256 *JDA Software Group, Inc.............................. 6,100 94,741 Jefferies Group, Inc.................................. 5,500 111,031 Jefferson Savings Bancorp, Inc........................ 1,500 16,359 *JFAX.com, Inc........................................ 3,000 4,594 JLG Industries, Inc................................... 8,800 85,800 *JLK Direct Distribution, Inc. Class A................ 1,000 6,938 *JMAR Industries, Inc................................. 5,100 21,038 *Johnson Outdoors, Inc................................ 600 5,306 *Jones Lang LaSalle, Inc.............................. 7,500 115,781 *Jos. A. Bank Clothiers, Inc.......................... 1,300 5,891 *Journal Register Co.................................. 7,400 96,200 *JPM Co............................................... 1,500 7,734 *JPS Industries, Inc.................................. 1,800 6,722 *Judge.com, Inc....................................... 2,800 3,150 *Juno Lighting, Inc................................... 70 525 Justin Industries, Inc................................ 5,100 88,931 *JWGenesis Financial Corp............................. 2,150 17,738 K Swiss, Inc. Class A................................. 1,900 24,997 28
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THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------ ------ *K2, Inc.............................................. 2,500 $ 17,656 *Kaiser Aluminum Corp................................. 7,900 35,056 *Kaiser Ventures, Inc................................. 2,100 27,169 Kaman Corp. Class A................................... 1,200 11,963 *Kaneb Services, Inc.................................. 6,300 30,713 Katy Industries, Inc.................................. 2,100 20,344 Kaye Group, Inc....................................... 800 5,400 *KBK Capital Corp..................................... 500 2,094 *KCS Energy, Inc...................................... 1,900 2,138 Kellwood Co........................................... 2,400 40,500 *Kendle International, Inc............................ 2,900 18,306 *Kennedy-Wilson, Inc.................................. 900 4,641 *Kensey Nash Corp..................................... 1,500 14,438 *Kent Electronics Corp................................ 5,600 155,400 *Keravision, Inc...................................... 1,000 5,281 *Key Energy Group, Inc................................ 9,900 107,663 *Key Production Co., Inc.............................. 2,300 36,944 *Key Technology, Inc.................................. 500 4,328 *Key Tronic Corp...................................... 1,500 4,078 *Keystone Automotive Industries, Inc.................. 3,800 27,847 *Keystone Consolidated Industries, Inc................ 1,000 3,875 *kforce.com, Inc...................................... 11,600 148,988 *KFX, Inc............................................. 6,100 10,675 Kimball International, Inc. Class B................... 5,500 88,859 *King Pharmaceuticals, Inc............................ 945 50,558 *Kinnard Investment, Inc.............................. 1,200 9,525 *Kirby Corp........................................... 4,900 108,413 Klamath First Bancorp, Inc............................ 700 7,831 Knape & Vogt Manufacturing Co......................... 400 6,063 *Knight Transportation, Inc........................... 3,000 45,656 *Koala Corp........................................... 1,300 18,688 Kollmorgen Corp....................................... 2,100 48,038 *Komag, Inc........................................... 14,800 30,988 *Kos Pharmaceuticals, Inc............................. 4,600 72,019 *Koss Corp............................................ 500 8,359 *Krauses Furniture, Inc............................... 4,400 5,500 *Kroll-O'Gara Co...................................... 4,400 23,513 *Kronos, Inc.......................................... 2,750 79,664 *K-Tel International, Inc............................. 2,400 4,425 *K-Tron International, Inc............................ 200 3,156 *Kulicke & Soffa Industries, Inc...................... 800 40,300 *Kushner-Locke Co..................................... 2,800 5,513 *K-V Pharmaceutical Co. Class A....................... 2,400 46,050 *K-V Pharmaceutical Co. Class B....................... 1,300 25,919 *KVH Industries, Inc.................................. 1,500 7,828 *La Jolla Pharmceutical Co............................ 6,100 21,159 *LaBarge, Inc......................................... 3,700 6,475 LabOne, Inc........................................... 2,900 14,953 *Labor Ready, Inc..................................... 10,700 100,313 *Laboratory Corp. of America Holdings, Inc............ 3,080 221,375 Laclede Gas Co........................................ 4,000 78,750 LaCrosse Footwear, Inc................................ 1,300 5,241 *Ladish Co., Inc...................................... 2,700 23,541 *Lakeland Industries, Inc............................. 200 1,275 *Lakes Gaming, Inc.................................... 2,100 17,259 *Lamson & Sessions Co................................. 3,400 27,200 Lance, Inc............................................ 7,200 70,200 *Lancer Corp.......................................... 2,300 8,338 *Landair Corp......................................... 600 2,456 Landamerica Financial Group, Inc...................... 3,400 62,688 SHARES VALUE+ ------ ------ Landauer, Inc......................................... 200 $ 3,700 *Landec Corp.......................................... 3,200 16,400 Landrys Seafood Restaurants, Inc...................... 6,200 48,438 *Landstar Systems, Inc................................ 1,200 63,600 *Larscom, Inc......................................... 2,000 10,000 *Laser Pacific Media Corp............................. 1,500 5,555 *Laser Power Corp..................................... 1,700 3,719 *Laser Technology, Inc................................ 1,000 1,500 *Laser Vision Centers, Inc............................ 6,300 29,728 *Laserscope........................................... 2,500 2,930 *LaserSight Corporation............................... 2,100 10,697 *Lason, Inc........................................... 4,800 12,450 *Launch Media, Inc.................................... 200 1,744 Lawrence Savings Bank MA.............................. 500 3,609 Lawson Products, Inc.................................. 2,000 47,938 *Lazare Kaplan International, Inc..................... 800 7,000 La-Z-Boy, Inc......................................... 1,416 22,745 *LCA-Vision, Inc...................................... 10,236 28,469 *LCC International, Inc. Class A...................... 2,500 36,953 *Leapnet, Inc......................................... 4,102 13,139 *Learn2.com, Inc...................................... 12,700 24,408 *Learning Tree International, Inc..................... 4,300 226,825 *Lecroy Corp.......................................... 1,900 20,069 *Lectec Corp.......................................... 800 2,150 Lennox International, Inc............................. 1,340 15,745 Lesco, Inc............................................ 1,700 26,456 *Level 8 Systems, Inc................................. 3,341 65,463 Libbey, Inc........................................... 3,200 96,800 Liberty Bancorp, Inc.................................. 300 2,072 *Liberty Corp......................................... 2,500 87,813 *Life Financial Corp.................................. 1,300 5,119 *Lifecell Corp........................................ 3,400 20,081 *Lifecore Biomedical, Inc............................. 2,500 18,203 Lifetime Hoan Corp.................................... 1,200 9,975 *Ligand Pharmaceuticals, Inc. Class B................. 7,200 76,725 *Lightbridge, Inc..................................... 4,200 91,219 Lillian Vernon Corp................................... 800 7,800 Lilly Industry, Inc. Class A.......................... 4,500 64,969 Lindberg Corp......................................... 900 7,088 Lindsay Manufacturer Co............................... 3,100 58,125 *Lithia Motors, Inc. Class A.......................... 1,600 19,400 *Littlefuse, Inc...................................... 3,900 156,244 *LJL Biosystems, Inc.................................. 2,500 22,734 *LLEX Oncology, Inc................................... 5,400 134,831 *LLX Resorts, Inc..................................... 400 813 LNR Property Corp..................................... 5,100 98,813 *Lodgenet Entertainment Corp.......................... 2,400 56,025 *Loews Cineplex Entertainment Corp.................... 9,900 25,988 *Logic Devices, Inc................................... 1,700 3,984 *Logility, Inc........................................ 3,300 13,303 *Lojack Corp.......................................... 1,600 11,050 Lone Star Steakhouse Saloon........................... 8,300 87,928 *Lone Star Technologies, Inc.......................... 4,500 238,500 Longs Drug Stores Corp................................ 1,900 38,356 Longview Fibre Co..................................... 12,900 154,800 *Loronix Information Systems, Inc..................... 1,300 43,388 *Louis Dreyfus Natural Gas Corp....................... 1,200 38,550 *Lowrance Electronics, Inc............................ 500 2,063 *LSB Industries, Inc.................................. 700 569 LSI Industries, Inc................................... 2,000 34,313 LTV Corp.............................................. 5,000 13,125 *LTX Corp............................................. 1,300 34,166 29
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THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------ ------ Luby's Cafeterias, Inc................................ 1,500 $ 13,219 Lufkin Industries, Inc................................ 1,300 22,019 *Lumisy, Inc.......................................... 1,800 4,444 *Lunar Corp........................................... 2,100 23,231 *Lydall, Inc.......................................... 3,900 40,706 *Lynch Corp........................................... 300 9,263 *Lynch Interactive Corp............................... 200 21,000 *Lynx Therapeutics, Inc............................... 2,800 44,888 M.A. Hanna Co......................................... 11,300 132,069 *M.H. Meyerson & Co., Inc............................. 1,600 5,950 *Mace Security International, Inc..................... 4,300 8,331 *Mac-Gray Corp........................................ 1,200 3,675 *Mackie Designs, Inc.................................. 2,400 16,425 *Madden (Steven), Ltd................................. 2,400 38,325 *Made2Manage Systems, Inc............................. 700 4,506 Madison Gas & Electric Co............................. 3,200 60,100 MAF Bancorp, Inc...................................... 4,400 86,900 *Magainin Pharmaceuticals, Inc........................ 6,700 23,031 *Magellan Health Services, Inc........................ 3,700 7,863 *Magnetek, Inc........................................ 5,800 48,938 *Magnum Hunter Resources, Inc......................... 5,000 26,875 *Mail.com, Inc........................................ 1,271 7,050 *Mail-Well, Inc....................................... 9,800 91,875 *Main Street & Main, Inc.............................. 2,000 6,625 *Mallon Resources Corp................................ 2,000 15,281 *Manchester Equipment Co., Inc........................ 1,600 7,000 *Manhattan Associates, Inc............................ 4,900 92,947 Manitowoc Co., Inc.................................... 600 19,613 *Manugistic Group, Inc................................ 4,100 119,156 *Mapics, Inc.......................................... 4,400 22,344 *Mapinfo Corp......................................... 1,750 51,461 Marcus Corp........................................... 1,700 18,594 *Marine Drilling Companies, Inc....................... 700 20,125 *Marine Transport Corp................................ 2,000 5,250 *MarineMax, Inc....................................... 3,800 34,913 Maritrans, Inc........................................ 2,400 14,250 *Marketing Services, Inc.............................. 7,500 38,672 *MarkWest Hydrocarbon, Inc............................ 800 6,700 Marsh Supermarkets, Inc. Class B...................... 400 4,125 *Martek Biosciences Corp.............................. 3,500 64,859 MascoTech, Inc........................................ 11,200 144,200 Massbank Corp. Reading, MA............................ 300 8,869 *Material Sciences Corp............................... 3,800 40,850 *Matria Healthcare, Inc............................... 9,200 31,338 *Matritech, Inc....................................... 5,600 24,850 *Matrix Pharmaceutical, Inc........................... 5,700 49,519 *Matrix Service Co.................................... 2,200 10,725 Matthews International Corp. Class A.................. 2,700 68,006 *Mattson Technology, Inc.............................. 3,300 100,031 *Maverick Tube Corp................................... 4,400 154,688 *Max & Ermas Restaurants, Inc......................... 200 1,725 *Maxco, Inc........................................... 300 2,344 *Maxicare Health Plans, Inc........................... 1,700 2,763 *Maxim Pharmaceuticals, Inc........................... 1,200 46,163 *Maximus, Inc......................................... 5,300 109,975 *Maxtor Corp.......................................... 15,500 162,266 *Maxwell Shoe Company, Inc............................ 1,800 13,669 *Maxwell Technologies, Inc............................ 1,900 26,719 *Maxxam, Inc.......................................... 1,400 35,700 *Maynard Oil Co....................................... 900 15,075 *Mazel Stores, Inc.................................... 900 7,875 *McClain Industries, Inc.............................. 400 1,938 SHARES VALUE+ ------ ------ McGrath Rent Corp..................................... 2,500 $ 39,219 *McMoran Exploration Co............................... 4,000 62,250 *McNaughton Apparel Group, Inc........................ 1,500 14,297 *McWhorter Technologies, Inc.......................... 2,500 48,906 MDC Holdings, Inc..................................... 4,700 90,769 *Meade Instruments Corp............................... 2,000 99,063 *Meadow Valley Corp................................... 300 1,144 Meadowbrook Insurance Group, Inc...................... 1,700 9,138 *Measurement Specialties, Inc......................... 500 12,750 MECH Financial, Inc................................... 900 31,078 *Mechanical Dynamics, Inc............................. 1,600 9,500 Medford Bancorp, Inc.................................. 1,600 23,900 *Media 100, Inc....................................... 2,200 38,913 *Media Arts Group, Inc................................ 2,600 10,075 *MediaBay, Inc........................................ 3,400 11,156 *Medialink Worldwide, Inc............................. 1,100 7,906 *Medical Action Industries, Inc....................... 900 3,572 *Medical Alliance, Inc................................ 1,200 4,650 *Medical Assurance, Inc............................... 5,850 66,544 *Medicalcontrol, Inc.................................. 200 1,250 *Medicis Pharmaceutical Corp. Class A................. 2,500 116,875 *Medimmune, Inc....................................... 165 25,632 *Medplus, Inc......................................... 1,200 6,188 *Medstone International, Inc.......................... 700 3,741 *MEDTOX Scientific, Inc............................... 600 5,175 *Memberworks, Inc..................................... 3,700 119,441 *MEMC Electronic Materials, Inc....................... 1,200 18,375 *Mens Warehouse, Inc.................................. 301 6,001 Mentor Corp. MN....................................... 6,100 146,781 *Mentor Graphics Corp................................. 8,000 136,750 *Mercator Software, Inc............................... 1,100 32,622 Merchants Bancshares, Inc............................. 400 7,900 Merchants New York Bancorp, Inc....................... 4,700 80,047 *Mercury Air Group, Inc............................... 1,700 8,075 *Mercury Computer Systems, Inc........................ 2,000 62,813 Meridian Diagnostics, Inc............................. 2,900 19,575 *Meridian Medical Technology, Inc..................... 500 4,313 *Meridian Resource Corp............................... 9,200 48,875 *Merisel, Inc......................................... 8,000 6,375 *MeriStar Hotels & Resorts, Inc....................... 7,500 21,563 *Merit Medical Systems, Inc........................... 1,900 9,381 *Merix Corp........................................... 1,600 44,050 *Mesa Air Group, Inc.................................. 6,800 40,694 *Mesa Labs, Inc....................................... 300 1,336 *Mesaba Holdings, Inc................................. 3,400 39,206 *Messagemedia, Inc.................................... 13,800 40,969 *Meta Group, Inc...................................... 2,000 49,688 *Metacreations Corp................................... 6,200 44,369 *Metal Management, Inc................................ 2,600 3,534 Metals USA, Inc....................................... 3,800 19,950 *Metamor Worldwide, Inc............................... 8,700 198,741 *Metatec Corp. Class A................................ 1,500 4,125 Methode Electronics, Inc. Class A..................... 3,400 121,975 Met-Pro Corp.......................................... 1,600 13,600 *Metricom, Inc........................................ 900 19,913 *Metro Information Services, Inc...................... 3,000 29,906 *Metro One Telecommunications, Inc.................... 2,300 22,928 *Metrocall, Inc....................................... 4,200 13,519 MetroCorp. Bancshares, Inc............................ 1,400 10,281 *Metrologic Instruments, Inc.......................... 500 7,813 *Metromedia International Group, Inc.................. 21,800 94,013 30
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THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------ ------ *Metropolitan Financial Corp.......................... 1,500 $ 6,188 Metrowest Bank MA..................................... 3,600 21,150 MFB Corp.............................................. 100 1,656 *MFRI, Inc............................................ 400 1,575 *MGI Pharma, Inc...................................... 3,800 83,125 MI Schottenstein Homes, Inc........................... 1,600 27,200 *Miami Computer Supply Corp........................... 3,000 60,750 Michael Foods, Inc.................................... 5,000 114,531 *Michaels Stores, Inc................................. 900 38,475 *Micro Component Technology, Inc...................... 1,900 10,747 *Micro Linear Corp.................................... 2,200 11,619 *Microage, Inc........................................ 4,200 1,995 *Microcide Pharmaceuticals, Inc....................... 2,200 16,431 MicroFinancial, Inc................................... 500 4,750 *Micrografx, Inc...................................... 2,800 9,188 *Micros Systems, Inc.................................. 3,100 97,941 *Micros to Mainframes, Inc............................ 1,200 7,125 *Microsemi Corp....................................... 3,400 73,631 *Microtest, Inc....................................... 2,100 15,619 *Micro-Therapeutics, Inc.............................. 2,500 13,828 *Microtouch Systems, Inc.............................. 800 7,075 *Microvision, Inc..................................... 2,100 56,306 *Microware Systems Corp............................... 3,800 11,163 *Microwave Power Dynamics, Inc........................ 2,700 13,289 Mid America Banccorp.................................. 2,336 54,604 *Mid Atlantic Medical Services, Inc................... 12,200 150,975 Midas, Inc............................................ 4,100 106,344 Midcoast Energy Resources, Inc........................ 3,100 49,600 *Middleby Corp........................................ 2,500 16,719 Middlesex Water Co.................................... 1,000 29,313 *Midway Airlines Corp................................. 900 5,344 *Midway Games, Inc.................................... 9,500 62,344 Midwest Banc Holdings, Inc............................ 1,100 15,091 *Midwest Express Holdings, Inc........................ 3,500 72,844 Mikasa, Inc........................................... 1,800 17,325 *Mikohn Gaming Corp................................... 700 4,441 Milacron, Inc......................................... 7,200 113,850 *Milestone Scientific, Inc............................ 1,800 2,700 *Millennium Pharmaceuticals, Inc...................... 1,288 107,669 *Miller Building Systems, Inc......................... 500 2,828 *Miller Industries, Inc............................... 11,700 27,056 *MIM Corp............................................. 4,700 8,666 *Mining Services International Corp................... 700 1,444 Minntech Corp......................................... 500 3,688 *Minolta-QMS, Inc..................................... 3,305 10,948 *MIPS Technologies, Inc............................... 3,300 83,119 *Miravant Medical Technologies........................ 4,500 55,547 Mississippi Chemical Corp............................. 1,300 7,556 Mississippi Valley Bancshares, Inc.................... 1,800 40,725 *Mitcham Industries, Inc.............................. 1,900 11,192 *Mity-Lite, Inc....................................... 1,000 13,688 *Mobile America Corp.................................. 700 1,838 *Mobile Mini, Inc..................................... 2,900 60,356 *Mobius Management Systems, Inc....................... 4,500 18,422 MOCON, Inc............................................ 1,600 9,075 *Modine Manufacturing Co.............................. 4,500 90,422 *Modtech Holdings, Inc................................ 2,600 28,031 *Molecular Biosystems, Inc............................ 1,200 825 *Molecular Devices Corp............................... 1,900 101,294 *Monaco Coach Corp.................................... 2,362 33,954 *Monarch Casino and Resort, Inc....................... 900 4,275 *Mondavi (Robert) Corp. Class A....................... 2,000 63,063 SHARES VALUE+ ------ ------ *Monro Muffler Brake, Inc............................. 2,000 $ 16,688 Monterey Bay Bancorp, Inc............................. 300 2,672 *Monterey Pasta Co.................................... 2,600 10,238 *Moog, Inc. Class A................................... 700 14,963 *Moore Medical Corp................................... 300 2,625 Morgan Keegan, Inc.................................... 5,900 95,138 *Morgan's Foods, Inc.................................. 200 500 *Morrison Knudsen Corp................................ 5,200 40,300 Morrison Management Specialists, Inc.................. 2,640 71,775 *Morton's Restaurant Group, Inc....................... 1,100 20,213 *Mossimo, Inc......................................... 2,300 1,150 *Mother's Work, Inc................................... 200 2,113 *Motient Corp......................................... 6,700 60,509 *Motor Car Parts & Accessories, Inc................... 200 204 *Motor Cargo Industries, Inc.......................... 600 3,000 Movado Group, Inc..................................... 900 8,620 *Movie Gallery, Inc................................... 1,100 3,678 *MRV Communications, Inc.............................. 1,400 37,319 *MS Carriers, Inc..................................... 2,500 48,203 *MSC Industrial Direct Co., Inc. Class A.............. 3,400 78,413 *MSC Software Corp.................................... 3,500 30,188 *MTI Technology Corp.................................. 8,000 56,250 MTS Systems Corp...................................... 1,000 7,266 *Multiple Zones International, Inc.................... 2,700 11,348 *Musicland Stores Corp................................ 6,600 48,675 Myers Industries, Inc................................. 3,900 53,138 *Myriad Genetics, Inc................................. 1,100 86,247 *N & F Worldwide Corp................................. 1,000 5,125 *NABI, Inc............................................ 7,100 41,158 *Nanogen, Inc......................................... 4,800 119,100 *Nanometrics, Inc..................................... 1,800 44,213 *Nanophase Technologies Corp.......................... 3,400 25,606 *Napro Biotherapeutics, Inc........................... 5,700 32,419 Nash Finch Co......................................... 2,200 17,119 Nashua Corp........................................... 1,500 12,375 *Nastech Pharmaceutical Co., Inc...................... 1,300 5,098 *Nathans Famous, Inc.................................. 1,200 3,525 *National Beverage Corp............................... 1,500 12,750 National City Bancorp................................. 800 11,600 National Commerce Bancorp............................. 302 5,729 *National Dentex Corp................................. 700 11,047 *National Discount Brokers Group, Inc................. 4,200 105,000 *National Home Health Care Corp....................... 500 2,063 National Penn Bancshares, Inc......................... 3,500 76,781 *National Processing, Inc............................. 10,200 119,213 *National Record Mart, Inc............................ 800 1,288 *National Research Corp............................... 700 3,828 *National RV Holdings, Inc............................ 450 5,091 National Steel Corp. Class B.......................... 3,500 18,375 National Technical Systems, Inc....................... 1,700 5,313 *National Techteam, Inc............................... 2,600 8,694 *NationsRent, Inc..................................... 8,500 31,344 *Natrol, Inc.......................................... 500 2,102 *Natural Microsystems Corp............................ 1,300 83,728 *Natural Wonders, Inc................................. 400 450 Natures Sunshine Products, Inc........................ 4,300 32,788 *Nautica Enterprises, Inc............................. 6,900 85,172 *Navarre Corp......................................... 2,300 4,133 *Navigant Consulting, Inc............................. 10,400 48,100 *Navigant International, Inc.......................... 3,300 29,906 31
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THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------ ------ *Navigators Group, Inc................................ 500 $ 4,406 NBT Bancorp........................................... 3,700 37,000 *NBTY, Inc............................................ 8,100 129,347 NCH Corp.............................................. 500 20,000 *NCI Building Systems, Inc............................ 3,600 61,425 *NCO Group, Inc....................................... 5,032 119,982 *NCS Healthcare, Inc.................................. 1,600 1,450 *Neff Corp. Class A................................... 4,000 15,250 Nelson (Thomas), Inc.................................. 3,100 21,894 *Neogen Corp.......................................... 1,500 9,094 *Neopharm, Inc........................................ 1,900 26,956 *Neorx Corp........................................... 5,500 79,578 *Neose Technologies, Inc.............................. 3,400 94,988 *Neotherapeutics, Inc................................. 2,200 24,338 *Netguru, Inc......................................... 3,300 55,894 *Netmanage, Inc....................................... 16,000 43,750 *Netopia, Inc......................................... 4,100 136,453 *NetRadio Corp........................................ 1,000 2,656 *Netrix Corp.......................................... 7,900 86,653 *Netscout System, Inc................................. 3,500 41,672 *Netspeak Corp........................................ 2,300 22,784 *Network Computing Devices, Inc....................... 3,200 5,100 *Network Equipment Technologies, Inc.................. 5,400 57,713 *Network Peripherals, Inc............................. 4,000 71,125 *Neurocrine Biosciences, Inc.......................... 4,800 102,000 *Neurogen Corp........................................ 3,900 91,894 *New Brunswick Scientific Co., Inc.................... 1,210 6,353 New England Business Services, Inc.................... 2,700 39,825 *New Era of Networks, Inc............................. 3,100 66,166 *New Horizons Worldwide, Inc.......................... 1,475 25,720 New Jersey Resources Corp............................. 3,600 139,500 *New World Coffee - Manhattan Bagel................... 2,200 4,469 *Newcor, Inc.......................................... 400 850 Newmil Bancorp, Inc................................... 700 7,088 *Newpark Resources, Inc............................... 3,500 29,313 Newport Corp.......................................... 600 102,319 *Newsedge Corp........................................ 3,600 7,144 *Nexell Therapeutics, Inc............................. 16,800 58,013 *Nexthealth, Inc...................................... 1,400 3,938 *Niagara Corp......................................... 900 3,881 NL Industries, Inc.................................... 5,200 90,350 *NMT Medical, Inc..................................... 2,200 8,353 NN Ball & Roller, Inc................................. 3,000 26,578 *Nobel Learning Communities, Inc...................... 1,200 8,663 *Nobility Homes....................................... 900 4,556 *Noble International, Ltd............................. 1,400 12,600 *Noodle Kidoodle, Inc................................. 1,500 4,500 Nordson Corp.......................................... 1,600 77,850 *Norstan, Inc......................................... 1,000 4,938 *North American Scientific, Inc....................... 1,700 28,581 North Central Bancshares, Inc......................... 200 2,863 North Fork Bancorporation, Inc........................ 1,800 29,813 North Pittsburgh Systems, Inc......................... 2,700 33,834 Northeast Pennsylvania Financial Corp................. 1,400 13,825 Northern Technologies International................... 300 1,988 *Northfield Laboratories, Inc......................... 2,800 30,975 Northland Cranberries, Inc. Class A................... 4,600 18,256 Northrim Bank......................................... 700 5,972 Northwest Bancorp, Inc................................ 9,400 71,381 Northwest Natural Gas Co.............................. 5,000 109,375 SHARES VALUE+ ------ ------ *Northwest Pipe Co.................................... 1,300 $ 17,509 Northwestern Corp..................................... 5,800 134,850 *Novadigm, Inc........................................ 4,100 53,941 *Novamed Eyecare, Inc................................. 500 3,313 *Novametrix Medical Systems, Inc...................... 2,000 12,531 *Novavax, Inc......................................... 4,800 28,500 *Noven Pharmaceuticals, Inc........................... 4,300 80,356 *Novoste Corp......................................... 2,800 105,700 *NPC International, Inc............................... 4,500 41,766 *NPS Pharmaceuticals, Inc............................. 5,000 63,281 *NS Group, Inc........................................ 5,400 98,888 *Nstor Technology..................................... 5,700 16,388 *NTN Communications, Inc.............................. 6,700 15,913 *Nu Horizons Electronics Corp......................... 2,330 40,338 *Nucentrix Broadband Networks, Inc.................... 2,100 44,363 *NuCo2, Inc........................................... 1,100 6,325 *Nuevo Energy Co...................................... 4,400 84,975 NUI Corp.............................................. 3,200 89,600 *Number Nine Visual Technology Corp................... 700 53 *Numerex Corp. Class A................................ 2,700 24,891 *NuSkin Enterprises, Inc.............................. 200 1,325 *Nutraceutical International Corp..................... 1,400 5,053 *NYFIX, Inc........................................... 4,275 114,223 Nymagic, Inc.......................................... 1,600 22,500 *O.I. Corp............................................ 300 1,167 *Oak Technology, Inc.................................. 9,003 133,076 *Oakley, Inc.......................................... 8,100 78,469 Oakwood Homes Corp.................................... 9,400 27,025 *OAO Technology Solutions, Inc........................ 4,500 13,711 *Objective Systems Integrators, Inc................... 9,000 66,234 *Oceaneering International, Inc....................... 5,800 113,100 OceanFirst Financial Corp............................. 3,300 56,306 *O'Charleys, Inc...................................... 3,900 54,722 *Ocular Sciences, Inc................................. 5,700 78,197 *Ocwen Financial Corp................................. 17,900 102,925 *ODS Networks, Inc.................................... 4,700 68,444 *Odwalla, Inc......................................... 1,000 6,094 *Officemax, Inc....................................... 2,500 13,594 *Offshore Logistics, Inc.............................. 5,300 74,366 Ogden Corp............................................ 12,400 106,950 Oglebay Norton Co..................................... 1,000 20,875 Ohio Casualty Corp.................................... 2,500 29,922 Oil-Dri Corp. of America.............................. 400 3,875 *Old Dominion Freight Lines, Inc...................... 800 7,300 Olin Corp............................................. 4,400 68,750 *Olympic Steel, Inc................................... 1,000 4,344 Omega Financial Corp.................................. 1,700 39,259 *Omega Protein Corp................................... 2,400 6,750 *Omega Research, Inc.................................. 2,400 7,688 *Omega Worldwide, Inc................................. 2,500 10,313 *OMNI Energy Services Corp............................ 100 72 *Omni Nutraceuticals, Inc............................. 5,400 17,719 *Omtool, Ltd.......................................... 2,500 4,531 *On Assignment, Inc................................... 5,400 139,725 *On Command Corp...................................... 5,500 90,063 *On Technology Corp................................... 3,600 10,350 *One Price Clothing Stores, Inc....................... 900 2,138 Oneida, Ltd........................................... 3,300 62,906 Oneok, Inc............................................ 200 5,825 *Ontrack Data International, Inc...................... 1,000 7,406 *Onyx Acceptance Corp................................. 1,200 4,950 32
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THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------ ------ *Onyx Pharmacueticals, Inc............................ 3,500 $ 24,281 *Open Market, Inc..................................... 8,800 93,225 *Opta Food Ingredients, Inc........................... 600 1,359 *Opti, Inc............................................ 2,200 8,800 *Optical Cable Corp................................... 3,800 90,606 *Optical Sensors, Inc................................. 1,800 1,125 *Optika Imaging Systems, Inc.......................... 1,900 12,053 *Option Care, Inc..................................... 2,300 15,022 *ORBIT/FR, Inc........................................ 1,500 4,219 *Orbital Sciences Corp................................ 9,400 115,150 Oregon Trail Financial Corp........................... 300 2,897 *O'Reilly Automotive, Inc............................. 6,800 92,013 *Organogenesis, Inc................................... 8,500 75,438 *Oriole Homes Corp. Class A Convertible............... 100 188 *Oriole Homes Corp. Class B........................... 200 325 *Oroamerica, Inc...................................... 600 4,369 *Orphan Medical, Inc.................................. 1,300 9,141 *OrthAlliance, Inc.................................... 3,300 19,491 *Orthodontic Centers of America, Inc.................. 9,600 220,200 *Orthologic Corp...................................... 6,800 31,450 Oshkosh B'Gosh, Inc. Class A.......................... 2,800 47,338 Oshkosh Truck Corp. Class B........................... 3,200 97,900 *Oshman's Sporting Goods, Inc......................... 600 1,875 *OSI Pharmaceutical, Inc.............................. 5,400 54,000 *OSI Systems, Inc..................................... 2,400 14,325 *Osicom Technologies, Inc............................. 2,200 93,088 *Osmonics, Inc........................................ 2,800 25,200 *Osteotech, Inc....................................... 2,800 25,069 *Ostex International, Inc............................. 2,500 4,922 Ottawa Financial Corp................................. 1,520 28,833 Otter Tail Power Co................................... 4,800 101,100 *Outlook Group Corp................................... 400 2,225 *Overland Data........................................ 2,500 20,391 Overseas Shipholding Group, Inc....................... 4,500 104,344 Owens & Minor, Inc.................................... 6,500 70,281 Oxford Industries, Inc................................ 1,500 23,156 *Oxigene, Inc......................................... 2,600 29,088 *Oxis International, Inc.............................. 2,000 3,250 *OYO Geospace Corp.................................... 1,100 17,600 *P.F. Chang's China Bistro, Inc....................... 2,000 64,313 *Pacific Aerospace and Electronics, Inc............... 4,300 5,442 Pacific Capital Bancorp............................... 3,000 80,625 *Pacific Gateway Exchange, Inc........................ 4,900 15,695 *Pacific Sunwear of California, Inc................... 1,000 16,063 *Packaged Ice, Inc.................................... 4,800 16,800 *Pagasus Systems, Inc................................. 2,000 27,938 *Paging Network, Inc.................................. 6,500 4,367 *Pairgain Technologies, Inc........................... 7,100 203,681 *Palm Harbor Homes, Inc............................... 2,600 40,300 *PAM Transportation Services, Inc..................... 900 7,650 Pamrapo Bancorp, Inc.................................. 200 3,963 *Panavision, Inc...................................... 500 3,625 *Panera Bread CO...................................... 2,100 17,850 *Panja, Inc........................................... 1,900 19,297 *Papa John's International, Inc....................... 1,500 37,500 *Par Technology Corp.................................. 1,600 6,100 Paragon Technologies, Inc............................. 400 2,600 *Parallel Petroleum Corp.............................. 1,800 4,894 *Paravant, Inc........................................ 3,500 9,789 Park Electrochemical Corp............................. 2,100 52,631 SHARES VALUE+ ------ ------ *Parker Drilling Co................................... 17,400 $ 105,488 Parker-Hannifin Corp.................................. 79 3,293 *Parkervision, Inc.................................... 2,400 72,450 *Park-Ohio Holdings Corp.............................. 2,200 18,563 Parkvale Financial Corp............................... 1,200 21,450 *Parlex Corp.......................................... 1,000 22,219 *Parlux Fragrances, Inc............................... 1,600 4,850 *Pathogenesis Corp.................................... 3,300 49,809 *Patient Infosy....................................... 1,600 1,250 Patina Oil & Gas Corp................................. 3,300 57,131 Patrick Industries, Inc............................... 1,100 7,219 Patriot Bank Corp..................................... 1,200 9,525 *Patterson Energy, Inc................................ 6,500 157,016 *Paul Harris Stores, Inc.............................. 2,200 5,913 *Paul-Son Gaming Corp................................. 300 900 *Paxar Corp........................................... 10,200 102,638 *Paxson Communications Corp........................... 13,400 103,850 *PBOC Holdings, Inc................................... 4,100 37,413 *PC Connection, Inc................................... 2,850 115,603 *PC Service Source, Inc............................... 500 563 *P-Com, Inc........................................... 12,900 94,734 *Peapod, Inc.......................................... 3,600 7,538 *Pediatrix Medical Group, Inc......................... 3,900 27,788 *Peerless Systems Corp................................ 1,400 3,325 *Pegasystems, Inc..................................... 7,200 43,425 Penford Corp.......................................... 1,500 26,953 *Penn National Gaming, Inc............................ 1,400 19,513 Penn Virginia Corp.................................... 1,800 40,163 *Pennaco Energy, Inc.................................. 3,800 57,950 Penn-America Group, Inc............................... 700 6,431 Pennfed Financial Services, Inc....................... 800 10,700 *Pentacon, Inc........................................ 1,300 2,397 Penton Media, Inc..................................... 3,800 106,400 *Penwest Pharmaceuticals Company...................... 2,800 32,375 Peoples Bancshares, Inc. Massachusetts................ 600 10,463 Pep Boys - Manny, Moe & Jack.......................... 1,600 11,400 *Perceptron, Inc...................................... 1,600 6,350 *Performance Food Group Co............................ 2,800 88,463 *Performance Technologies, Inc........................ 2,650 26,914 *Pericom Semiconductor Corp........................... 1,900 77,900 *Perini Corp.......................................... 1,400 4,025 Permanent Bancorp, Inc................................ 1,000 19,125 *Perrigo Co........................................... 16,300 99,328 *Perry Ellis International, Inc....................... 1,700 16,548 *Per-Se Technologies, Inc............................. 2,833 18,503 *Personnel Group of America, Inc...................... 3,200 12,800 *Pervasive Software, Inc.............................. 3,100 15,597 *Petco Animal Supplies, Inc........................... 4,200 79,669 *Petrocorp, Inc....................................... 800 5,650 *Petroglyph Energy, Inc............................... 600 1,219 *Petroleum Development Corp........................... 4,000 21,375 *PetSmart, Inc........................................ 22,300 66,552 PFF Bancorp, Inc...................................... 1,400 19,513 *Pharmaceutical Products Development Service Co....... 6,200 102,494 *Pharmaceutical Resources, Inc........................ 6,100 36,600 *Pharmacopeia, Inc.................................... 5,200 113,588 *Pharmacyclics........................................ 3,800 160,669 *Pharmanetics, Inc.................................... 1,500 23,438 *Pharmchem Laboratories, Inc.......................... 1,400 3,806 *Phar-Mor, Inc........................................ 2,400 4,050 33
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THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------ ------ *Philadelphia Consolidated Holding Corp............... 2,500 $ 42,266 *Phillips (R.H.), Inc................................. 1,300 3,616 Phillips-Van Heusen Corp.............................. 4,400 38,225 *Phoenix International, Ltd........................... 1,700 3,267 Phoenix Investment Partners, Ltd...................... 4,400 36,850 *Phoenix Technologies, Ltd............................ 6,200 111,406 *Photoelectron Corp................................... 1,600 6,800 *Photon Dynamics, Inc................................. 500 30,141 *PhotoWorks, Inc...................................... 3,300 9,952 *Photronics, Inc...................................... 2,900 69,872 Piccadilly Cafeterias, Inc............................ 2,100 6,038 *Picturetel Corp...................................... 10,200 31,397 Pier 1 Imports, Inc. DE............................... 12,500 106,250 *Piercing Pagoda, Inc................................. 1,800 25,650 Pilgrim Pride Corp.................................... 4,900 39,200 Pilgrim's Pride Corp.................................. 900 5,344 Pillowtex Corp........................................ 2,900 13,775 *Pilot Network Services, Inc.......................... 3,700 36,884 *Pinnacle Entertainment, Inc.......................... 6,600 125,813 *Pinnacle Global Group, Inc........................... 700 2,581 *Pinnacle Systems, Inc................................ 1,300 31,078 *Pioneer Group, Inc................................... 5,300 221,109 *Pioneer Natural Resources Co......................... 700 10,456 Pioneer Standard Electronics, Inc..................... 5,400 64,631 Pitt-Des Moines, Inc.................................. 1,200 27,900 Pittston Brink's Group................................ 1,018 15,461 Pizza Inn, Inc........................................ 2,300 8,194 *PJ America, Inc...................................... 1,100 11,928 *Plains Resources, Inc................................ 3,500 53,375 *Planar Systems, Inc.................................. 2,100 20,278 *Platinum Entertainment, Inc.......................... 1,500 820 *Plato Learning, Inc.................................. 1,400 17,588 *Playboy Enterprises, Inc. Class A.................... 900 10,744 *Playboy Enterprises, Inc. Class B.................... 3,600 47,250 *Playtex Products, Inc................................ 100 1,163 *Plexus Corp.......................................... 1,600 133,650 *Pliant Systems, Inc.................................. 900 4,584 *PLM International, Inc............................... 700 5,206 PMR Corp.............................................. 800 2,775 *Point West Capital Corp.............................. 500 1,859 *Polymedica Industries, Inc........................... 2,600 69,225 Polymer Group, Inc.................................... 8,000 58,500 *Polyvision Corp...................................... 2,600 6,500 *Pomeroy Computer Resource, Inc....................... 2,400 35,175 Pope & Talbot, Inc.................................... 3,000 55,688 *Porta Systems Corp................................... 1,900 3,325 *Possis Medical, Inc.................................. 3,800 28,975 *Power Intergrations, Inc............................. 4,300 100,781 *Powercerv Corp....................................... 2,600 3,534 *Power-One, Inc....................................... 2,100 185,194 *Powerwave Technologies, Inc.......................... 4,900 265,366 *PPT Vision, Inc...................................... 1,100 5,088 Precision Castparts Corp.............................. 1,700 82,875 Premier Financial Bancorp............................. 1,300 9,709 *Premiumwear, Inc..................................... 200 2,631 *Pre-Paid Legal Services, Inc......................... 4,700 141,881 Presidential Life Corp................................ 3,000 44,156 *Presstek, Inc........................................ 5,500 104,844 *PRI Automation, Inc.................................. 1,200 61,688 *Price Communications Corp............................ 2,543 58,012 *Pricesmart, Inc...................................... 400 14,350 SHARES VALUE+ ------ ------ *Pride International, Inc............................. 2,500 $ 63,594 *Prima Energy Corp.................................... 2,150 89,763 *Primark Corp......................................... 5,000 130,000 *Prime Hospitality Corp............................... 4,700 40,538 *Prime Medical Services, Inc.......................... 4,100 32,159 Primex Technologies, Inc.............................. 2,100 40,622 *Primix Solutions, Inc................................ 2,900 14,953 *Primus Telecommunications Group, Inc................. 1,000 26,094 *Princeton Video Image, Inc........................... 2,000 12,594 *Printrak International, Inc.......................... 2,900 20,934 *Printronix, Inc...................................... 1,200 17,138 *Printware, Inc....................................... 300 844 *Priority Healthcare Corp............................. 1,900 97,375 *ProBusiness Services, Inc............................ 5,900 157,456 *Procom Technology, Inc............................... 2,300 57,572 Professional Bancorp, Inc............................. 200 700 *Professional Detailing, Inc.......................... 3,400 90,419 *Professionals Group, Inc............................. 1,800 29,869 *Progenics Pharmaceuticals, Inc....................... 2,400 24,975 *Programmers Paradise, Inc............................ 1,000 3,406 Progress Financial Corp............................... 1,415 16,803 *Progress Software Corp............................... 7,100 109,828 *Project Software & Development, Inc.................. 4,400 96,663 *Prophet 21, Inc...................................... 100 1,338 *Protein Design Labs, Inc............................. 700 74,659 *Protocol Systems, Inc................................ 2,000 31,063 *Provant, Inc......................................... 4,700 17,772 Provident Bancorp, Inc................................ 1,000 15,438 Provident Bankshares Corp............................. 5,300 77,347 *Provident Financial Holdings, Inc.................... 800 11,750 *Province Healthcare Co............................... 3,100 86,800 *Proxymed, Inc........................................ 3,600 4,838 *PRWW, Ltd............................................ 1,400 11,113 *PSC, Inc............................................. 1,200 5,438 *PSS World Medical, Inc............................... 6,500 54,844 *PSW Technologies, Inc................................ 1,900 18,406 Psychemedics Corp..................................... 4,300 20,425 *PTEK Holdings, Inc................................... 11,700 40,219 Public Service Co. of New Mexico...................... 10,000 166,875 Pulaski Financial Corp................................ 700 8,138 *Puma Technology, Inc................................. 2,200 48,469 *Pure Resources, Inc.................................. 3,441 51,615 *Pure World, Inc...................................... 1,700 5,259 PXRE Group, Ltd....................................... 2,200 32,725 *Qad, Inc............................................. 7,600 28,975 *QC Optics, Inc....................................... 600 788 *QRS Corp............................................. 2,900 79,659 *Quad Systems Corp.................................... 400 619 *QuadraMed Corp....................................... 5,000 11,328 Quaker Chemical Corp.................................. 2,200 36,438 *Quaker Fabric Corp................................... 3,100 16,953 *Quality Dining, Inc.................................. 3,100 10,172 Quality Systems, Inc.................................. 1,200 8,663 Quanex Corp........................................... 1,400 20,475 *Quantum Corp-Hard Disk Drive Group................... 177 1,670 Queens County Bancorp................................. 4,200 82,819 *Quest Educational Corporation........................ 2,700 25,523 *Questcor Pharmaceuticals, Inc........................ 4,900 6,431 *Quidel Corp.......................................... 4,900 30,778 *Quigley Corp......................................... 1,000 1,719 34
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THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------ ------ *Quiksilver, Inc...................................... 4,400 $ 59,950 *Quintel Entertainment, Inc........................... 3,100 7,314 *Quipp, Inc........................................... 100 1,869 Quixote Corp.......................................... 1,600 22,800 *Quokka Sports, Inc................................... 8,900 39,772 *Quorum Health Group, Inc............................. 9,000 87,047 *R H Donnelley Corp................................... 7,400 136,900 *Racing Champions Corp................................ 3,100 5,086 *Radiance Medical Systems, Inc........................ 2,400 22,463 *Radiant Systems, Inc................................. 5,300 82,978 *Radiologix, Inc...................................... 3,900 15,844 *RadiSys Corp......................................... 211 8,288 *Railamerica, Inc..................................... 2,467 13,029 *RailWorks Corp....................................... 3,600 33,525 *Rainbow Rentals, Inc................................. 1,100 11,413 *Rainbow Technologies, Inc............................ 2,400 75,825 *Rainforest Cafe, Inc................................. 4,800 14,250 *Ralcorp Holdings, Inc................................ 7,600 96,900 Range Resources Corp.................................. 3,900 10,969 *Rare Hospitality International, Inc.................. 2,400 66,300 *Rare Medium Corp..................................... 1,800 24,581 Raven Industries, Inc................................. 500 6,813 *Rawlings Sporting Goods, Inc......................... 1,600 9,350 *Rayovac Corp......................................... 6,900 122,475 *Raytech Corp. DE..................................... 300 919 *Raytel Med Corp...................................... 1,700 4,250 *RCM Technologies, Inc................................ 700 5,622 *RDO Equipment Co. Class A............................ 1,100 6,188 *Read-Rite Corp....................................... 12,500 24,609 *Recoton Corp......................................... 2,300 19,047 *Redhook Ale Brewery, Inc............................. 700 1,214 Redwood Empire Bancorp................................ 700 13,344 *Reebok International, Ltd............................ 18,900 262,238 *Refac................................................ 300 956 Regal Beloit Corp..................................... 4,200 70,350 *Regeneron Pharmaceuticals, Inc....................... 5,400 109,688 *Regent Communications, Inc........................... 2,000 11,125 Regis Corp............................................ 10,200 122,400 *Rehabcare Group, Inc................................. 1,400 60,200 *Rehabilicare, Inc.................................... 2,100 5,447 *Reliability, Inc..................................... 1,300 5,281 Reliance Group Holdings, Inc.......................... 8,800 20,350 Reliance Steel and Aluminum Co........................ 5,500 115,156 Reliastar Financial Corp.............................. 250 12,875 *Relm Wireless Corp................................... 1,000 2,469 *Remec, Inc........................................... 5,100 173,081 *Remedy Corp.......................................... 700 29,159 *RemedyTemp, Inc...................................... 1,400 26,031 *Remington Oil & Gas Corp............................. 4,300 28,084 *Renaissance Worldwide, Inc........................... 11,400 25,294 *Rent-A-Center, Inc................................... 5,100 103,275 *Rentrak Corp......................................... 2,100 7,481 *Rent-Way, Inc........................................ 4,400 117,425 *Repligen Corp........................................ 5,600 25,375 *Reptron Electronics, Inc............................. 1,200 12,225 Republic Bancorp, Inc................................. 9,004 88,352 Republic Bancorp, Inc. Class A........................ 2,900 18,714 *Republic Bankshares, Inc............................. 2,100 20,606 *Republic First Bancorp, Inc.......................... 800 3,525 Republic Group, Inc................................... 1,100 10,175 Republic Security Financial Corp...................... 12,200 50,134 *Res-Care, Inc........................................ 4,900 37,669 SHARES VALUE+ ------ ------ *Research Partners International, Inc................. 1,700 $ 2,603 *ResMed, Inc.......................................... 2,600 62,400 *ResortQuest International, Inc....................... 3,800 18,050 Resource Bancshares Mortgage Group, Inc............... 206 991 *Respironics, Inc..................................... 6,600 106,013 *Response Oncology, Inc............................... 1,100 1,066 *Restoration Hardware, Inc............................ 1,700 10,758 *Revlon, Inc.......................................... 5,000 35,000 *Rex Stores Corp...................................... 600 12,675 *Rexx Environmental Corp.............................. 500 2,438 *RF Monolithics, Inc.................................. 1,200 10,913 *Ribozyme Pharmaceuticals............................. 3,000 37,219 Richardson Electronics, Ltd........................... 2,300 28,247 Richmond County Financial Corp........................ 5,800 108,569 Riggs National Corp................................... 2,100 30,581 *Right Management Consultants, Inc.................... 1,200 12,300 *Right Start, Inc..................................... 1,100 4,194 *Rimage Corp.......................................... 1,600 24,550 Riverview Bancorp, Inc................................ 400 3,538 Rivianna Foods, Inc................................... 2,800 46,638 *Riviera Holdings Corporation......................... 1,100 8,113 RLI Corp.............................................. 1,700 61,838 *RMH Teleservices, Inc................................ 1,700 10,625 *RMI.Net, Inc......................................... 3,600 10,631 *Roadhouse Grill, Inc................................. 1,900 10,688 Roadway Express, Inc.................................. 3,900 83,728 Roanoke Electric Steel Corp........................... 2,200 29,081 Robbins & Myers, Inc.................................. 2,100 45,413 *Robertson-Ceco Corp.................................. 1,600 18,300 *Robinson Nugent, Inc................................. 1,000 11,250 *Robotic Vision Systems, Inc.......................... 6,900 81,722 *Rochester Medical Corp............................... 1,100 9,625 *Rock of Ages Co...................................... 700 3,500 Rock-Tenn Co. Class A................................. 2,300 21,994 *Rofin-Sinar Technologies, Inc........................ 2,300 27,959 *Rogers Corp.......................................... 1,600 49,500 *Rogue Wave Software, Inc............................. 2,100 8,991 *Rohn Industries, Inc................................. 13,200 41,869 Rollins Truck Leasing Corp............................ 5,600 52,850 Rollins, Inc.......................................... 7,500 89,063 *Ross Systems, Inc.................................... 4,700 6,536 *Rottlund, Inc........................................ 500 1,156 Rouge Industries, Inc. Class A........................ 500 2,250 Rowe Furniture Corp................................... 2,600 11,375 *Royal Appliance Manufacturing Co..................... 3,500 21,438 Royal Bancshares of Pennsylvania Class A.............. 100 1,525 *Royal Energy, Inc.................................... 300 919 *Royal Gold, Inc...................................... 3,500 9,133 RPC, Inc.............................................. 6,500 69,063 *RSA Security, Inc.................................... 1,500 86,250 *RTI International Metals, Inc........................ 2,000 26,000 *RTW, Inc............................................. 2,500 10,078 *Rubio's Restaurants, Inc............................. 500 3,906 Ruby Tuesday, Inc..................................... 15,600 154,050 Ruddick Corp.......................................... 11,600 160,950 *Rural Cellular Corp. Class A......................... 300 20,306 *Rush Enterprises, Inc................................ 900 6,244 Russ Berrie & Co., Inc................................ 4,100 77,644 Russell Corp.......................................... 3,100 68,975 *RWD Technologies, Inc................................ 3,000 12,656 35
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THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------ ------ *Ryans Family Steak Houses, Inc....................... 7,100 $ 64,344 Ryerson Tull, Inc..................................... 2,400 23,700 Ryland Group, Inc..................................... 1,300 28,844 *S&K Famous Brands, Inc............................... 900 6,188 S&T Bancorp, Inc...................................... 5,400 97,031 *S3, Inc.............................................. 4,924 78,664 *Sabratek Corp........................................ 600 32 *Safeguard Health Enterprises, Inc.................... 500 488 *Safety 1st, Inc...................................... 1,700 23,428 *Safety Components International, Inc................. 500 23 *Saga Communications, Inc. Class A.................... 2,900 59,813 *SAGA Systems, Inc.................................... 7,200 105,750 *Salton/Maxim Housewares, Inc......................... 2,200 69,713 *Sames Corp........................................... 200 3,400 *Samsonite Corp....................................... 3,200 15,300 *San Filippo (John B.) & Son, Inc..................... 1,100 3,850 *Sanchez Computer Associates, Inc..................... 5,000 84,375 Sanderson Farms, Inc.................................. 1,300 8,734 *Sandy Spring Bancorp, Inc............................ 1,900 41,503 *Sangstat Medical Corp................................ 3,500 93,625 *Santa Cruz Operation, Inc............................ 8,800 36,575 *Satcon Technology Corp............................... 2,500 40,156 *Saucony, Inc. Class A................................ 500 5,359 *Saucony, Inc. Class B................................ 700 7,000 Sauer, Inc............................................ 5,500 47,438 *Savoir Technology Group, Inc......................... 2,600 20,638 *SBE, Inc............................................. 600 11,231 *SBS Technologies, Inc................................ 1,300 42,250 *Scan-Optics, Inc..................................... 700 689 *ScanSoft, Inc........................................ 9,190 22,257 *ScanSource, Inc...................................... 1,100 30,456 *SCB Computer Technology, Inc......................... 2,900 6,163 *SCC Communications Corp.............................. 2,200 12,169 Schawk, Inc. Class A.................................. 4,500 35,719 *Scheid Vineyards, Inc................................ 200 763 *Schein (Henry), Inc.................................. 8,400 148,313 *Schein Pharmaceutical, Inc........................... 6,600 134,888 *Scherer Healthcare, Inc.............................. 400 1,488 *Schick Technologies, Inc............................. 500 938 *Schieb (Earl), Inc................................... 400 1,275 *Schmitt Industries, Inc.............................. 1,000 2,688 Schnitzer Steel Industries, Inc. Class A.............. 1,100 16,397 *Schuff Steel Company................................. 1,800 5,850 *Schuler Homes, Inc................................... 2,000 12,375 Schulman (A.), Inc.................................... 3,000 35,719 Schultz Sav-O Stores, Inc............................. 1,200 13,650 Schweitzer-Maudoit International, Inc................. 3,100 42,625 *Sciclone Pharmaceuticals, Inc........................ 6,200 52,216 *Scientific Games Holdings Corp....................... 2,400 57,900 *Scios-Nova, Inc...................................... 9,600 41,400 *SCM Microsystems, Inc................................ 1,300 89,944 *Scott Technologies, Inc.............................. 3,600 65,363 *SCP Pool Corp........................................ 2,300 77,769 SCPIE Holdings, Inc................................... 2,400 58,350 Seaboard Corp......................................... 250 46,000 *Seachange International, Inc......................... 1,950 50,334 *Seacor Smit, Inc..................................... 500 32,063 Seaway Food Town, Inc................................. 1,300 19,866 Second Bancorp, Inc................................... 1,900 29,331 *Secure Computing Corp................................ 6,000 69,188 *SED International Holdings, Inc...................... 1,400 4,506 SHARES VALUE+ ------ ------ *SEEC, Inc............................................ 1,200 $ 5,456 *Segue Software, Inc.................................. 1,900 16,269 *Select Comfort Corp.................................. 2,000 7,594 Selective Insurance Group, Inc........................ 3,300 61,153 SEMCO Energy, Inc..................................... 3,500 46,813 *Semitool, Inc........................................ 5,600 79,275 *SEMX Corp............................................ 1,200 9,488 *Sensory Science Corp................................. 2,800 7,350 *Sequa Corp. Class A.................................. 1,400 66,763 *SeraCare, Inc........................................ 1,700 4,144 *Servotronics, Inc.................................... 200 750 *Shared Technologies Cellular, Inc.................... 1,800 2,813 *Sharper Image Corp................................... 2,400 26,925 *Shaw Group, Inc...................................... 3,100 135,238 *Sheffield Medical Technologies, Inc.................. 7,000 28,875 *Sheldahl, Inc........................................ 2,400 11,288 *Shiloh Industries, Inc............................... 1,300 13,325 *Shoe Carnival, Inc................................... 2,700 19,659 *Shoe Pavilion, Inc................................... 600 938 *Sholodge, Inc........................................ 500 2,031 *Shop At Home, Inc.................................... 7,100 29,953 *Shopko Stores, Inc................................... 7,600 139,650 Shoreline Financial Corp.............................. 500 6,750 *Shuffle Master, Inc.................................. 1,400 20,606 *SICOR, Inc........................................... 8,000 68,250 *Siebert Financial Corp............................... 5,700 42,394 *Sierra Health Services, Inc.......................... 6,800 28,475 *SierraCities.com, Inc................................ 3,800 15,259 *Sight Resource Corp.................................. 900 802 *Sigma Designs, Inc................................... 3,100 10,947 *Signal Technology Corp............................... 1,600 23,700 *Silgan Holdings, Inc................................. 700 6,606 *Silicon Storage Technology, Inc...................... 1,200 89,138 *Silicon Valley Bancshares............................ 3,400 111,669 *Silicon Valley Group, Inc............................ 4,000 106,375 *Simon Transportation Services, Inc................... 600 3,431 Simpson Industries, Inc............................... 3,600 31,725 *Simpson Manufacturing Co., Inc....................... 100 4,763 *Simula, Inc.......................................... 1,400 2,713 *Sipex Corp........................................... 5,500 120,484 *Sirius Satellite Radio, Inc.......................... 2,300 86,969 *Sitel Corp........................................... 15,200 88,350 *Sizzler International, Inc........................... 5,800 17,038 *Skyepharma P.L.C. ADR................................ 87 1,198 Skyline Corp.......................................... 500 10,313 *SkyMall, Inc......................................... 2,100 5,119 Skywest, Inc.......................................... 2,500 95,391 SL Industries, Inc.................................... 1,100 9,419 SLI, Inc.............................................. 8,600 111,800 *SMC Corp............................................. 500 1,984 Smith (A.O.) Corp..................................... 700 14,700 *Smith Micro Software, Inc............................ 3,200 21,600 Smucker (J.M.) Co. Class A............................ 2,800 49,525 Smucker (J.M.) Co. Class B............................ 2,900 48,756 *Socrates Technolgies Corp............................ 3,300 3,713 *Softech, Inc......................................... 1,600 1,750 *Softnet Systems, Inc................................. 6,700 71,397 *Software Spectrum, Inc............................... 500 7,234 *Sola International, Inc.............................. 6,200 31,000 *Somnus Medical Technologies, Inc..................... 2,900 8,519 *Sonic Automotive, Inc................................ 6,000 58,500 *Sonic Corp........................................... 3,700 102,328 36
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THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------ ------ *Sonic Foundry, Inc................................... 1,700 $ 24,066 *Sonic Solutions...................................... 2,300 9,523 *Sonus Pharmaceuticals, Inc........................... 1,800 5,231 *SOS Staffing Services, Inc........................... 2,500 7,578 *Sound Advice, Inc.................................... 800 7,925 *Source Media, Inc.................................... 3,200 17,550 South Financial Group, Inc............................ 1,600 20,100 South Jersey Industries, Inc.......................... 2,300 59,944 *Southern Union Co.................................... 3,573 61,634 *Southwall Technologies, Inc.......................... 1,500 12,516 Southwest Bancorp, Inc................................ 1,000 16,563 *Southwest Bancorporation of Texas, Inc............... 7,000 138,906 Southwest Securities Group, Inc....................... 3,000 87,000 Southwest Water Co.................................... 1,100 14,506 Southwestern Energy Co................................ 6,200 57,350 *Spacelabs Medical, Inc............................... 1,900 21,553 Span-American Medical System, Inc..................... 200 728 *SPAR Group, Inc...................................... 1,000 2,563 Spartan Motors, Inc................................... 1,200 5,325 *Sparton Corp......................................... 700 2,888 *Spatial Technology, Inc.............................. 2,300 8,050 *Special Metals Corp.................................. 2,400 5,625 *Specialty Equipment Co., Inc......................... 3,800 80,275 *SpectraLink Corp..................................... 4,700 70,647 *Spectranetics Corp................................... 5,800 27,006 *Spectra-Physics Laser, Inc........................... 1,400 55,125 *Spectrian Corp....................................... 2,300 34,788 *Spectrum Control, Inc................................ 2,200 21,863 *SpectRx, Inc......................................... 1,600 17,300 *SpeedFam-IPEC, Inc................................... 7,352 96,725 *Speizman Industries, Inc............................. 300 1,088 *Spire Corp........................................... 300 1,406 *Splash Technology Holdings, Inc...................... 2,800 22,138 *Sport Chalet, Inc.................................... 600 2,925 *Sport Supply Group, Inc.............................. 1,800 8,550 *Sport-Haley, Inc..................................... 300 1,289 *Sports Club Co., Inc................................. 3,500 11,813 *SportsLine USA, Inc.................................. 5,900 67,850 *Sportsman's Guide, Inc............................... 900 2,644 Springs Industries, Inc. Class A...................... 2,100 99,750 *SPS Technologies, Inc................................ 2,500 87,813 *SPSS, Inc............................................ 1,900 47,500 *Spyglass, Inc........................................ 2,000 62,063 *SRS Labs, Inc........................................ 2,300 21,419 *SS&C Technologies, Inc............................... 3,100 14,192 *SSE Telecom, Inc..................................... 1,200 3,300 St. Francis Capital Corp.............................. 1,000 13,781 St. Joseph Light & Power Co........................... 1,700 35,806 St. Mary Land & Exploration Co........................ 3,400 122,506 *Staar Surgical Co.................................... 2,900 39,603 *Staff Leasing, Inc................................... 4,300 15,386 *Staffmark, Inc....................................... 7,300 36,044 Standard Commercial Corp.............................. 3,200 10,000 *Standard Management Corp............................. 1,600 5,450 *Standard Microsystems Corp........................... 3,100 40,397 Standard Motor Products, Inc. Class A................. 2,600 25,188 Standard Pacific Corp. DE............................. 5,700 64,838 Standard Register Co.................................. 2,300 31,194 Standex International Corp............................ 2,500 42,031 *Stanley Furniture, Inc............................... 1,400 31,631 SHARES VALUE+ ------ ------ *Star Buffet, Inc..................................... 200 $ 531 *STAR Telecommunications, Inc......................... 5,800 12,144 *Starmet Corp......................................... 1,000 2,844 Starrett (L.S.) Co. Class A........................... 500 10,156 *Startec Global Communications Corp................... 2,000 23,063 *StarTek, Inc......................................... 1,700 107,738 *Starter Corp......................................... 800 4 State Financial Services Corp. Class A................ 1,800 18,281 Staten Island Bancorp, Inc............................ 1,800 30,488 *Station Casinos, Inc................................. 2,800 75,950 *Steel Dynamics, Inc.................................. 9,000 84,094 Steel Technologies, Inc............................... 1,000 7,469 *Stein Mart, Inc...................................... 6,600 51,356 *Steinway Musical Instruments, Inc.................... 2,100 36,488 *Stemcells, Inc....................................... 4,900 12,480 Stepan Co............................................. 600 13,125 *Stericycle, Inc...................................... 3,000 61,031 *Sterile Recoveries, Inc.............................. 1,100 7,356 Sterling Bancorp...................................... 1,600 25,400 Sterling Bancshares................................... 5,200 58,013 *Sterling Financial Corp. WA.......................... 1,600 16,550 Stewart & Stevenson Services, Inc..................... 2,700 37,631 Stewart Enterprises, Inc.............................. 6,700 27,009 Stifel Financial Corp................................. 1,500 14,250 *STM Wireless, Inc. Class A........................... 1,400 6,213 Stone & Webster, Inc.................................. 2,800 2,713 *Stone Energy Corp.................................... 500 30,781 *Stoneridge, Inc...................................... 4,400 49,500 *Storage Computer Corp................................ 2,400 16,800 *Strategic Diagnostics, Inc........................... 3,300 19,697 *Strategic Distribution, Inc.......................... 3,000 6,375 *Stratesec, Inc....................................... 1,700 4,250 *Strattec Security Corp............................... 900 31,219 *Stratus Properties, Inc.............................. 2,700 12,488 Strayer Ed, Inc....................................... 3,100 77,016 Stride Rite Corp...................................... 700 4,594 *Strouds, Inc......................................... 700 1,455 *Structural Dynamics Research Corp.................... 7,100 80,541 Sturm Ruger & Co., Inc................................ 5,500 55,000 *Styleclick.com, Inc.................................. 1,500 15,609 *Suburban Lodges of America, Inc...................... 1,100 6,188 *Success Bancshares, Inc.............................. 100 1,025 *Successories, Inc.................................... 600 1,144 *Summa Industries, Inc................................ 500 5,453 *Summit Technology, Inc............................... 9,300 172,370 *Sunair Electronics, Inc.............................. 400 1,050 *Sunbeam Corp......................................... 26,500 82,813 *Sunburst Hospitality Corp............................ 3,800 16,863 *Sunglass Hut International, Inc...................... 11,300 67,977 *Sunquest Information Systems, Inc.................... 3,100 23,250 *Sunrise Assisted Living, Inc......................... 5,400 98,381 *Sunrise Resources, Inc............................... 700 3,445 *Sunrise Technologies International, Inc.............. 9,200 80,213 *SunSource, Inc....................................... 1,300 5,850 *Superconductor Technologies, Inc..................... 2,800 39,375 *Supergen, Inc........................................ 2,300 54,122 *Superior Consultant Holdings Corp.................... 2,100 16,439 *Superior Energy Services, Inc........................ 12,000 121,500 *Superior National Insurance Group, Inc............... 1,000 90 37
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THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------ ------ Superior Surgical Manufacturing Co., Inc.............. 700 $ 6,038 Superior Telecom, Inc................................. 5,000 54,375 *Supertex, Inc........................................ 2,400 68,175 *Suprema Specialties, Inc............................. 1,100 9,763 *Supreme Industries, Inc.............................. 1,816 9,194 *SurModics, Inc....................................... 1,600 37,900 Susquehanna Bancshares, Inc........................... 7,800 106,519 *SVI Holdings, Inc.................................... 8,100 62,269 *Swift Energy Corp.................................... 4,400 113,025 *Swiss Army Brands, Inc............................... 700 3,697 *Sybron Chemicals, Inc................................ 1,600 31,600 *Sylvan, Inc.......................................... 1,100 10,794 *Symix Systems, Inc................................... 1,500 15,047 *Symmetricom, Inc..................................... 3,000 45,000 *Symphonix Devices, Inc............................... 2,400 8,700 Synalloy Corp. DE..................................... 1,300 9,750 *Synaptic Pharmaceutical Corp......................... 2,200 10,450 *Synbiotics Corp...................................... 1,800 4,050 *Sync Research, Inc................................... 700 2,319 *Syncor International Corp. DE........................ 2,300 113,706 *Syntel, Inc.......................................... 7,700 93,603 *Syntellect, Inc...................................... 2,400 11,700 *Synthetech, Inc...................................... 2,900 9,425 *Syntroleum Corp...................................... 5,400 96,694 *System Software Associates, Inc...................... 350 17 *Systemax, Inc........................................ 4,800 32,700 *Systems & Computer Technology Corp................... 6,400 118,200 Tab Products Co....................................... 1,000 4,813 *Taco Cabana, Inc..................................... 2,300 14,734 *Tag-It Pacific, Inc.................................. 1,400 6,738 *Taitron Components, Inc.............................. 1,100 3,300 *Take Two Interactive Software........................ 4,700 42,447 *TALK.com, Inc........................................ 10,600 73,538 *TALX Corp............................................ 1,100 16,534 *Tandy Brand Accessories, Inc......................... 500 3,297 *Tandy Crafts, Inc.................................... 2,400 7,200 *Targeted Genetics Corp............................... 7,300 51,556 *Tarrant Apparel Group................................ 3,200 26,000 Tasty Baking Co....................................... 1,600 19,100 *TBA Entertainment Corp............................... 1,600 6,250 TCBY Enterprises, Inc................................. 1,700 8,500 *TCI International, Inc............................... 700 4,638 *TCSI Corp............................................ 4,500 8,156 *Team, Inc............................................ 1,600 3,900 *Techdyne, Inc........................................ 600 1,500 *Techne Corp.......................................... 1,400 111,956 *Technical Chemicals & Products, Inc.................. 1,200 956 *Technisource, Inc.................................... 2,100 8,597 Technitrol, Inc....................................... 1,700 117,300 Technology Research Corp.............................. 600 1,181 *Technology Solutions Corp............................ 8,800 42,213 *Tech-Sym Corp........................................ 500 10,938 *Tegal Corp........................................... 2,200 9,453 Tejon Ranch Co........................................ 2,500 56,875 *Tekelec.............................................. 4,400 144,925 *Telcom Semiconductor, Inc............................ 3,500 87,063 *Telescan, Inc........................................ 3,300 23,616 *Telescape International, Inc......................... 1,600 12,500 *TeleSpectrum Worldwide, Inc.......................... 7,800 34,125 *Teletouch Communications, Inc........................ 800 1,700 SHARES VALUE+ ------ ------ *Telular Corp......................................... 2,400 $ 20,475 *Telxon Corp.......................................... 3,300 51,356 Tennant Co............................................ 1,800 64,350 Tenneco Automotive, Inc............................... 6,800 49,725 *Terex Corp........................................... 5,500 87,656 Terra Industries, Inc................................. 7,500 15,938 *Terremark Worldwide, Inc............................. 9,200 18,400 *Tesoro Petroleum Corp................................ 6,500 66,625 *TESSCO Technologies, Inc............................. 900 15,244 *Tesseract Group, Inc................................. 400 125 *Tetra Tech, Inc...................................... 5,750 127,039 *Tetra Technologies, Inc.............................. 2,700 34,931 *Texas Biotechnology Corp............................. 7,900 76,531 Texas Industries, Inc................................. 4,200 120,488 Texas Regional Banchshares, Inc. Class A.............. 2,900 78,300 *TFC Enterprises, Inc................................. 1,100 2,303 *Thackeray Corp....................................... 500 1,531 *Theglobe.com, Inc.................................... 6,100 9,436 *Theragenics Corp..................................... 5,900 52,731 *Thermedics, Inc...................................... 8,300 70,031 *Thermo Cardiosystems, Inc............................ 8,100 79,481 *Thermo Ecotek Corp................................... 1,000 7,813 *Thermo Fibertek, Inc................................. 12,200 74,725 *Thermo Terratech, Inc................................ 1,900 14,250 Thermoretec Corp...................................... 800 5,600 *Thermotrex Corp...................................... 700 6,956 Thistle Group Holdings Co............................. 1,600 10,750 *Thomas Group, Inc.................................... 1,000 9,750 Thomas Industries, Inc................................ 3,200 64,000 Thor Industries, Inc.................................. 2,400 56,100 *Thoratec Laboratories Corp........................... 4,300 52,675 *T-HQ, Inc............................................ 3,650 35,245 *Three-Five Systems, Inc.............................. 2,199 137,987 *Tier Technologies, Inc. Class B...................... 2,000 10,063 *TII Industries, Inc.................................. 1,800 3,572 Timberland Bancorp, Inc............................... 500 4,641 Timberline Software Corp.............................. 2,600 20,069 *Tipperary Corp....................................... 3,600 10,350 *Titan Corp........................................... 1,783 63,965 Titan International, Inc.............................. 600 3,563 *Titan Pharmaceuticals, Inc........................... 3,100 78,663 Titanium Metals Corp.................................. 1,300 5,688 *TMBR/Sharp Drilling, Inc............................. 400 4,700 *T-Netix, Inc......................................... 2,500 12,344 *Todd Shipyards Corp.................................. 1,900 13,538 *Todd-AO Corp. Class A................................ 1,600 32,300 *Tofutti Brands, Inc.................................. 1,300 3,006 *Tokheim Corp......................................... 2,500 3,438 *Toll Brothers, Inc................................... 5,600 108,500 *Tollgrade Communications, Inc........................ 600 39,713 *Topps, Inc........................................... 9,200 96,888 *Toreador Royalty Corp................................ 500 2,719 Toro Co............................................... 2,600 81,900 *Total Entertainment Restaurant Corp.................. 500 1,188 *Total Renal Care Holdings, Inc....................... 5,900 23,231 *Tower Automotive, Inc................................ 4,700 65,213 *Towne Services, Inc.................................. 3,000 2,297 *Track Data Corp...................................... 12,500 14,648 *Tractor Supply Co.................................... 1,800 27,338 *Trammell Crow Co..................................... 7,400 92,963 *Trans World Airlines, Inc............................ 3,400 8,288 38
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THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------ ------ *Trans World Entertainment Corp....................... 10,600 $ 105,834 *Transact Technologies, Inc........................... 1,100 11,138 *Transaction Systems Architects, Inc.................. 1,500 18,234 *Transcoastal Marine Services, Inc.................... 1,100 533 *Transkaryotic Therapies, Inc......................... 4,500 112,641 *Transmation, Inc..................................... 300 727 *Transmedia Network, Inc.............................. 2,700 8,269 *Transport Corp. of America........................... 1,700 10,306 *Transport Industries, Inc............................ 300 1,575 *Transportation Components, Inc....................... 1,700 3,294 Transtechnology Corp.................................. 1,200 10,350 *TransTexas Gas Corp.................................. 300 0 *Transworld Healthcare, Inc........................... 400 618 *Travelocity.com, Inc................................. 2,800 49,700 *Travis Boats & Motors, Inc........................... 900 4,669 *TRC Companies, Inc................................... 1,300 13,650 *TREEV, Inc........................................... 1,300 8,511 *Trega Biosciences, Inc............................... 3,900 10,603 *Trendwest Resorts, Inc............................... 3,400 78,306 Trenwick Group, Inc................................... 1,601 24,015 *Trex Medical Corp.................................... 6,400 12,000 *Triad Guaranty, Inc.................................. 2,700 50,034 *Triangle Pharmaceuticals, Inc........................ 7,500 47,813 *Triarc Companies, Inc. Class A....................... 3,900 80,925 Trico Bancshares...................................... 300 4,763 *Trico Marine Services, Inc........................... 5,700 55,397 *Trident Microsystems, Inc............................ 2,600 21,856 *Tridex Corp.......................................... 600 459 *Trimble Navigation, Ltd.............................. 4,600 203,838 *Trimeris, Inc........................................ 3,100 136,303 *TriPath Imaging, Inc................................. 5,602 27,572 *Triple S Plastics, Inc............................... 800 12,950 *Tripos, Inc.......................................... 700 11,200 *Triumph Group........................................ 1,700 47,600 *TRM Copy Centers Corp................................ 1,400 7,088 *Tropical Sportswear International Corp............... 300 6,881 *Troy Group, Inc...................................... 100 931 *Trump Hotels & Casino Resorts, Inc................... 5,500 15,125 Trust Co. of New Jersey............................... 3,900 71,297 Trustco Bank Corp. NY................................. 10,600 129,519 *TSR, Inc............................................. 1,000 5,672 Tucker Anthony Sutro Corp............................. 5,600 95,900 *Tuesday Morning Corp................................. 7,800 81,413 *Tufco Technologies, Inc.............................. 400 4,025 *TurboChef Technologies, Inc.......................... 3,100 12,981 Tuscarora, Inc........................................ 1,900 24,106 Twin Disc, Inc........................................ 100 1,550 *Twinlab Corp......................................... 2,800 20,038 *Tyler Technologies, Inc.............................. 8,700 34,800 U.S. Bancorp, Inc..................................... 1,300 5,972 *U.S. Franchise Systems, Inc.......................... 3,400 18,381 *U.S. Plastic Lumber Corp............................. 6,300 28,547 *U.S. Vision, Inc..................................... 700 1,203 *Ubics, Inc........................................... 1,300 3,291 *Ucar International, Inc.............................. 5,900 72,275 UCBH Holdings, Inc.................................... 1,900 47,738 *UFP Technologies, Inc................................ 1,000 2,625 UGI Corp.............................................. 5,500 121,688 *Ugly Duckling Corp................................... 3,000 21,656 *UICI................................................. 1,500 7,313 *Ultimate Electronics, Inc............................ 2,000 49,750 SHARES VALUE+ ------ ------ *Ultimate Software Group, Inc......................... 3,200 $ 25,500 *Ultrak, Inc.......................................... 2,300 15,381 *Ultralife Batteries, Inc............................. 2,200 16,569 *Ultratech Stepper, Inc............................... 4,300 60,469 Umpqua Holdings Corp.................................. 800 6,625 Unico American Corp................................... 600 3,684 *UniComp, Inc......................................... 1,500 4,031 *Unidigital, Inc...................................... 1,200 2,700 *Unifab International, Inc............................ 1,400 10,238 *Unifi, Inc........................................... 9,700 123,675 Unifirst Corp......................................... 500 4,094 *Unify Corp........................................... 3,600 48,038 *Unique Mobility, Inc................................. 3,300 23,100 *Uniroyal Technology Corp............................. 4,900 78,094 Unisource Energy Corp................................. 6,500 99,938 *Unit Corp............................................ 6,800 89,675 United Community Financial Corp....................... 4,200 24,806 United Guardian, Inc.................................. 400 1,750 United Illuminating Co................................ 2,900 137,388 United Industrial Corp................................ 2,500 22,031 United National Bancorp............................... 3,200 58,800 *United Natural Foods, Inc............................ 3,700 56,078 *United Retail Group, Inc............................. 1,600 12,750 *United Security Bancorporation....................... 1,500 14,109 *United States Energy Corp............................ 1,800 5,175 United Wisconsin Services, Inc........................ 3,400 19,550 Unitil Corp........................................... 900 23,400 Unity Bancorp, Inc.................................... 700 2,953 *Universal American Financial Corp.................... 9,300 34,875 Universal Corporation................................. 2,400 55,650 *Universal Electronics, Inc........................... 2,700 59,316 Universal Forest Products, Inc........................ 4,000 52,625 *Universal Stainless & Alloy Products, Inc............ 300 2,063 *Uno Restaurant Corp.................................. 2,300 27,888 *Unova, Inc........................................... 5,500 75,969 *Urocor, Inc.......................................... 1,900 7,125 *Urologix, Inc........................................ 2,300 9,703 *URS Corp............................................. 100 1,313 *Ursus Telecom Corp................................... 1,400 12,031 *US Can Corp.......................................... 500 8,250 *US LEC Corp.......................................... 2,000 38,250 *US Oncology, Inc..................................... 12,300 58,809 *US Xpress Enterprises, Inc. Class A.................. 3,400 23,906 *USA Detergents, Inc.................................. 2,700 6,919 *USA Networks, Inc.................................... 4,644 87,801 *USA Truck, Inc....................................... 1,900 12,469 *USABancShares.com, Inc............................... 1,100 3,592 *USANA, Inc........................................... 2,000 8,938 USB Holding Co., Inc.................................. 3,360 42,000 *USData Corp.......................................... 2,500 12,109 *Usec, Inc............................................ 500 2,313 *Utah Medical, Inc.................................... 500 3,500 *UTI Energy Corp...................................... 3,600 153,900 *Utilx Corp........................................... 1,500 5,625 *V.I. Technologies, Inc............................... 3,900 28,275 *Vail Resorts, Inc.................................... 6,800 108,800 *Valence Technology, Inc.............................. 7,400 107,994 *Valentis, Inc........................................ 5,300 40,081 Valley National Bancorp............................... 8 229 *Valley National Gases, Inc........................... 899 4,496 Valmont Industries, Inc............................... 4,700 92,531 39
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THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------ ------ *Value City Department Stores, Inc.................... 6,600 $ 65,588 *Valuevision International, Inc. Class A.............. 2,100 60,834 *Vans, Inc............................................ 2,700 42,188 *Varco International, Inc............................. 11,231 244,280 *Vari L Co., Inc...................................... 1,200 11,606 *Varian Medical Systems, Inc.......................... 2,100 86,756 *Variflex, Inc........................................ 500 2,891 *Vari-Lite International, Inc......................... 1,600 1,750 *VDI Media............................................ 1,800 12,094 Vector Group, Ltd..................................... 5,505 61,931 *Veeco Instruments, Inc............................... 1,300 58,541 *Ventana Medical Systems, Inc......................... 2,800 105,263 *Venture Catalyst, Inc................................ 1,000 3,844 *Veramark Technologies, Inc........................... 1,600 5,950 *Verdant Brands, Inc.................................. 500 695 *Verilink Corp........................................ 2,800 19,425 *Veritas DGC, Inc..................................... 5,200 143,650 *Verity, Inc.......................................... 200 6,769 *Vermont Pure Holdings, Ltd........................... 2,100 7,219 *Versar, Inc.......................................... 600 1,275 *Vertel Corp.......................................... 5,500 64,281 *Vertex Pharmaceuticals, Inc.......................... 800 59,075 Vesta Insurance Group, Inc............................ 3,800 22,563 *Vestcom International, Inc........................... 1,800 7,088 *Veterinary Centers of America, Inc................... 4,300 58,453 *Viasat, Inc.......................................... 2,100 81,244 *Viasoft, Inc......................................... 10,300 85,458 *Vical, Inc........................................... 3,900 73,247 *Vicorp Restaurants, Inc.............................. 800 15,075 *Vidamed, Inc......................................... 1,800 3,206 *Video Display Corp................................... 300 2,128 *Video Services Corp.................................. 1,300 4,063 Vintage Petroleum, Inc................................ 6,200 147,250 *Vion Pharmaceuticals, Inc............................ 4,100 28,188 *Virbac Corp.......................................... 2,200 5,638 Virginia Gas Co....................................... 1,100 2,922 *ViroPharma, Inc...................................... 3,000 33,656 *Virtualfund.Com, Inc................................. 3,200 6,350 *VisionAmerica, Inc................................... 1,100 722 *Vista Eyecare, Inc................................... 1,500 469 *VISTA Information Solutions, Inc..................... 5,000 10,938 *Visual Data Corp..................................... 1,700 5,977 Vital Signs, Inc...................................... 2,400 49,950 *Vitech America, Inc.................................. 1,550 9,252 *Vivus, Inc........................................... 6,400 37,000 *Vodavi Technology, Inc............................... 500 1,203 *Volt Information Sciences, Inc....................... 3,000 86,625 *V-ONE Corp........................................... 600 2,006 *Voxware, Inc......................................... 2,700 12,488 *VTEL Corp............................................ 4,900 17,609 *Vysis, Inc........................................... 2,000 15,688 Wabash National Corp.................................. 4,600 58,938 Wabtec Corp........................................... 594 6,683 *Wackenhut Corp. Class A.............................. 800 10,650 *Wackenhut Corrections Corp........................... 2,500 16,250 *Walker Interactive Systems, Inc...................... 2,900 9,198 *Wall Street Deli, Inc................................ 100 109 Wallace Computer Services, Inc........................ 8,100 81,000 Walter Industries, Inc................................ 10,000 108,125 Warnaco Group, Inc.................................... 9,900 66,825 *Warrantech Corp...................................... 800 700 Warren Bancorp, Inc................................... 1,400 10,544 SHARES VALUE+ ------ ------ Warwick Community Bancorp, Inc........................ 600 $ 6,600 Washington Banking Co................................. 800 6,600 *Washington Homes, Inc................................ 1,600 8,600 Washington Savings Bank FSB........................... 400 1,275 Washington Trust Bancorp, Inc......................... 2,200 32,863 *Waste Connections, Inc............................... 4,300 83,313 Watsco, Inc. Class A.................................. 4,900 72,581 Watts Industries, Inc. Class A........................ 3,400 38,675 Wausau-Mosinee Paper Corp............................. 10,600 98,050 *Wavo Corp............................................ 5,700 6,502 WD-40 Co.............................................. 600 11,681 *Webb (Del) Corp...................................... 1,800 27,450 *Webco Industries, Inc................................ 700 2,756 *Webhire, Inc......................................... 2,900 7,794 *WebLink Wireless, Inc................................ 7,400 46,944 Weider Nutrition International, Inc................... 1,800 5,850 *Weirton Steel Corp................................... 8,300 37,869 Wellman, Inc.......................................... 6,200 122,063 Wells Fargo Company................................... 365 16,516 *Wells-Gardner Electronics Corp....................... 925 3,180 Werner Enterprises, Inc............................... 4,700 58,897 Wesbanco, Inc......................................... 4,000 93,750 *Wesley Jessen Vision Care, Inc....................... 3,700 136,669 West Coast Bancorp.................................... 1,200 13,050 *West Marine, Inc..................................... 3,400 27,519 West Pharmaceutical Services, Inc..................... 2,900 68,150 *West Teleservices Corp............................... 1,900 50,172 *Westaff, Inc......................................... 3,200 13,800 *Westcoast Hospitality Corp........................... 2,500 19,375 Westcorp, Inc......................................... 5,300 57,638 *Westell Technologies, Inc............................ 2,590 42,816 Westerfed Financial Corp.............................. 400 5,725 *Western Digital Corp................................. 4,100 19,219 Western Gas Resources, Inc............................ 6,400 145,200 *Weston (Roy F.), Inc. Class A........................ 700 2,209 *WFS Financial, Inc................................... 1,500 23,672 *White Electronics Designs Corp....................... 3,500 34,781 *Whitehall Jewellers, Inc............................. 4,150 53,950 *Whitman Education Group, Inc......................... 900 1,238 *WHX Corp............................................. 2,800 16,450 *Wickes Lumber Co..................................... 1,600 8,600 *Wild Oats Markets, Inc............................... 5,750 53,008 *William Lyon Homes................................... 5,200 33,150 *Williams Clayton Energy, Inc......................... 1,800 46,688 *Williams Controls, Inc............................... 1,900 3,147 *Williams Industries, Inc............................. 300 844 *Wilshire Oil Co. of Texas............................ 800 2,750 *Wilsons The Leather Experts, Inc..................... 3,300 51,563 *Wind River Systems, Inc.............................. 4,316 156,050 Winnebago Industries, Inc............................. 4,400 61,600 *Wire One Technologies, Inc........................... 800 4,875 *Wireless Telecom Group, Inc.......................... 3,400 8,075 *Wireless Xcessories Group............................ 1,000 1,297 *Wisconsin Central Transportation Corp................ 6,400 83,600 *Wiser Oil Co......................................... 1,800 5,400 *WLR Foods, Inc....................................... 500 2,313 *WMF Group, Ltd....................................... 2,100 18,342 *WMS Industries, Inc.................................. 6,100 75,488 Wolohan Lumber Co..................................... 500 5,594 Wolverine World Wide, Inc............................. 8,300 93,375 Woodhead Industries, Inc.............................. 2,300 37,159 40
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THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------ ------ Woodward Governor Co.................................. 2,300 $ 56,134 *Workflow Management, Inc............................. 2,600 31,606 *Workgroup Technology Corp............................ 1,600 1,100 *World Acceptance Corp................................ 3,800 19,594 *World Access, Inc.................................... 4,500 47,109 World Fuel Services Corp.............................. 3,000 20,438 *Worldpages.com, Inc.................................. 8,800 61,600 *Worldtex, Inc........................................ 1,400 569 *WSI Industries, Inc.................................. 200 800 Wynns International, Inc.............................. 3,700 49,950 *Xceed, Inc........................................... 4,300 53,884 *Xetel Corp........................................... 1,900 3,325 *Xicor, Inc........................................... 4,200 28,481 *Xoma, Ltd............................................ 3,100 10,027 X-Rite, Inc........................................... 4,200 44,494 *Xtra Corp............................................ 2,400 108,150 Yardville National Bancorp............................ 1,300 13,691 *Yellow Corp.......................................... 5,000 82,031 York Financial Corp................................... 735 9,233 York Group, Inc....................................... 1,800 6,525 *Young Broadcasting, Inc. Class A..................... 2,400 55,425 *Youthstream Media Networks, Inc...................... 2,000 11,063 *Zamba Corporation.................................... 6,200 30,031 *Zap.com Corp......................................... 34 106 *Zapata Corp.......................................... 4,000 15,000 *Zaring National Corp................................. 400 1,338 *Zemex Corp........................................... 800 6,500 Zenith National Insurance Corp........................ 3,400 80,750 *Zevex International, Inc............................. 700 3,391 *ZixIt Corp........................................... 3,100 80,988 *Zoll Medical Corp.................................... 300 14,981 *Zoltek Companies, Inc................................ 3,700 24,628 *Zomax, Inc........................................... 2,000 35,563 *Zoran Corp........................................... 1,000 39,625 *Zygo Corp............................................ 2,300 75,469 *Zymetx, Inc.......................................... 1,400 2,931 ------------ TOTAL COMMON STOCKS (Cost $111,975,567).................................. 117,085,454 ------------ SHARES VALUE+ ------ ------ RIGHTS/WARRANTS -- (0.0%) *Associates First Capital Corp. (Residual Value Obligation)......................................... 3,900 $ 178 *Elan Corp. P.L.C. Contingent Payment Rights.......... 9,800 5,206 *Skyepharma P.L.C. Contingent Payment Rights.......... 1,100 0 *TransTexas Gas Corp. Warrants 06/30/02............... 3 0 *Westcorp, Inc. Rights 06/15/00....................... 5,300 1,159 ------------ TOTAL RIGHTS/WARRANTS (Cost $0)............................................ 6,543 ------------ [Download Table] PREFERRED STOCKS -- (0.0%) *O'Sullivan Industries Holdings 12% (Senior Preferred) (Cost $0)........................................... 1,600 808 ------ ------ ------------ [Download Table] TEMPORARY CASH INVESTMENTS -- (5.3%) FACE AMOUNT ------ (000) Repurchase Agreement, PNC Capital Markets Inc. 5.95%, 06/01/2000 (Collateralized by U.S. Treasury Notes 5.875%, 10/31/01, valued at $6,629,480) to be repurchased at $6,532,079. (Cost $6,531,000)................................... $ 6,531 6,531,000 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $118,506,567)++................................ $123,623,805 ============ [Download Table] -------------------------------------------------------------------------------- + See Note B to Financial Statements. * Non-Income Producing Securities ++ The cost for federal income tax purposes is $118,584,542. See accompanying Notes to Financial Statements. 41
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THE TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO SCHEDULE OF INVESTMENTS MAY 31, 2000 (UNAUDITED) [Download Table] SHARES VALUE+ ------ ------ JAPAN -- (26.7%) COMMON STOCKS -- (26.7%) Aichi Bank, Ltd....................................... 300 $ 20,618 Aisin Seiki Co., Ltd.................................. 4,000 49,036 Akita Bank, Ltd....................................... 8,000 27,119 Amada Co., Ltd........................................ 17,000 146,831 Amano Corp............................................ 6,000 50,429 *Aomori Bank, Ltd..................................... 11,000 50,977 *Ashikaga Bank, Ltd................................... 11,000 22,475 Autobacs Seven Co., Ltd............................... 2,300 67,072 Awa Bank, Ltd......................................... 15,000 71,465 *Bandai Co., Ltd...................................... 2,000 69,840 Bank of Iwate, Ltd.................................... 200 7,225 Bank of Kyoto, Ltd.................................... 20,000 103,831 Bank of Nagoya, Ltd................................... 12,000 70,100 Bank of Yokohama, Ltd................................. 26,000 111,075 Best Denki Co., Ltd................................... 4,000 24,778 Brother Industries, Ltd............................... 6,000 14,265 Canon Sales Co., Inc.................................. 9,000 129,139 Casio Computer Co., Ltd............................... 7,000 66,961 Chiba Bank, Ltd....................................... 52,000 226,013 Chiyoda Fire and Marine Insurance Co., Ltd............ 23,000 73,694 Chudenko Corp......................................... 4,000 57,915 Chugoku Bank, Ltd..................................... 12,000 105,763 Chuo Mitsui Trust and Banking Co., Ltd................ 20,100 80,829 Citizen Watch Co., Ltd................................ 19,000 163,223 Cosmo Oil Co., Ltd.................................... 37,000 51,544 Dai Nippon Pharmaceutical Co., Ltd.................... 8,000 85,071 Dai Tokyo Fire & Marine Insurance Co., Ltd............ 24,000 78,012 Daicel Chemical Industries, Ltd....................... 25,000 73,833 Daido Steel Co., Ltd.................................. 25,000 52,705 Dai-Ichi Pharmaceutical Co., Ltd...................... 2,000 37,056 Daimaru, Inc.......................................... 18,000 51,321 Daio Paper Corp....................................... 6,000 46,362 Daishi Bank, Ltd...................................... 23,000 84,374 Daito Trust Construction Co., Ltd..................... 8,100 154,214 Daiwa Bank, Ltd....................................... 40,000 101,416 Daiwa House Industry Co., Ltd......................... 35,000 259,717 Daiwa Securities Co., Ltd............................. 17,000 206,826 Denki Kagaku Kogyo KK................................. 4,000 13,225 Dowa Fire & Marine Insurance Co., Ltd................. 19,000 46,585 Eighteenth Bank, Ltd.................................. 2,000 6,668 Ezaki Glico Co., Ltd.................................. 2,000 9,269 Fujikura, Ltd......................................... 22,000 104,611 Fukuoka City Bank, Ltd................................ 8,000 36,406 Fukuyama Transporting Co., Ltd........................ 17,000 102,939 Futaba Corp........................................... 3,000 111,725 Futaba Industrial Co., Ltd............................ 3,000 38,588 General Sekiyu KK..................................... 19,000 38,820 Gunma Bank, Ltd....................................... 31,000 168,999 *Hachijuni Bank, Ltd.................................. 35,000 224,286 Hankyu Department Stores, Inc......................... 11,000 54,247 Higo Bank, Ltd........................................ 12,000 44,356 SHARES VALUE+ ------ ------ *Hino Motors, Ltd..................................... 22,000 $ 58,639 Hiroshima Bank, Ltd................................... 37,000 138,825 Hitachi Cable, Ltd.................................... 22,000 198,189 Hitachi Construction Machinery Co., Ltd............... 3,000 12,928 Hitachi Maxell, Ltd................................... 1,000 24,425 Hitachi Metals, Ltd................................... 18,000 148,781 Hitachi, Ltd.......................................... 77,000 953,963 Hokkoku Bank, Ltd..................................... 21,000 82,693 Hokuetsu Paper Mills, Ltd............................. 3,000 23,376 *Hokuriku Bank, Ltd................................... 40,000 92,501 House Foods Corp...................................... 6,000 89,101 Hyakugo Bank, Ltd. (105th Bank)....................... 16,000 70,137 Hyakujishi Bank, Ltd.................................. 20,000 120,734 Inax Corp............................................. 16,000 91,386 *Ishikawajima-Harima Heavy Industries Co., Ltd........ 80,000 123,334 *Itochu Corp.......................................... 31,000 125,238 Itoham Foods, Inc..................................... 11,000 45,154 *Iyo Bank, Ltd........................................ 19,000 115,932 Izumiya Co., Ltd...................................... 5,000 32,737 Japan Airport Terminal Co., Ltd....................... 6,000 49,036 *Japan Energy Corp.................................... 67,000 62,224 Joyo Bank, Ltd........................................ 60,000 233,480 Juroku Bank, Ltd...................................... 21,000 93,420 Kagoshima Bank, Ltd................................... 12,000 41,681 Kajima Corp........................................... 21,000 52,268 Kamigumi Co., Ltd..................................... 18,000 86,092 Kandenko Co., Ltd..................................... 10,000 37,149 Kansai Paint Co., Ltd., Osaka......................... 3,000 7,439 Katokichi Co., Ltd.................................... 1,000 25,075 *Kawasaki Heavy Industries, Ltd....................... 85,000 111,307 Kinden Corp........................................... 15,000 81,495 Kissei Pharmaceutical Co., Ltd........................ 3,000 48,618 Kiyo Bank, Ltd........................................ 16,000 39,081 Koa Fire & Marine Insurance Co., Ltd.................. 17,000 46,102 *Kobe Steel, Ltd...................................... 169,000 119,285 Koito Manufacturing Co., Ltd.......................... 6,000 29,310 Kokuyo Co., Ltd....................................... 7,000 104,667 Komatsu, Ltd.......................................... 59,000 363,287 Komori Corp........................................... 5,000 78,802 Konica Corp........................................... 18,000 110,332 Kubota Corp........................................... 88,000 310,564 Kyushu Matsushita Electric Co., Ltd................... 3,000 33,991 *Lintec Corp.......................................... 2,000 19,745 Lion Corp............................................. 8,000 34,103 Makita Corp........................................... 8,000 76,006 *Marubeni Corp........................................ 43,000 114,214 Maruichi Steel Tube, Ltd.............................. 5,000 56,513 Matsushita Electric Industrial Co., Ltd............... 60,000 1,418,156 Michinoku Bank, Ltd................................... 9,000 54,330 Mitsubishi Gas Chemical Co., Inc...................... 30,000 77,734 Mitsubishi Heavy Industries, Ltd...................... 229,000 795,412 *Mitsubishi Materials Corp............................ 66,000 219,438 *Mitsubishi Motors Corp............................... 8,000 26,004 Mitsubishi Rayon Co. Ltd.............................. 20,000 52,751 42
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THE TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------ ------ Mori Seiki Co., Ltd................................... 6,000 $ 89,157 Musashino Bank, Ltd................................... 1,700 65,995 Mycal Corp............................................ 18,000 54,497 NHK Spring Co., Ltd................................... 16,000 58,249 *NKK Corp............................................. 231,000 148,029 NOK Corp.............................................. 2,000 10,439 NTN Corp.............................................. 27,000 88,266 Nanto Bank, Ltd....................................... 16,000 83,362 National House Industrial Co., Ltd.................... 11,000 63,032 Nichido Fire and Marine Insurance Co., Ltd............ 28,000 143,023 Nichirei Corp......................................... 19,000 55,760 Nippon Kayaku Co., Ltd................................ 11,000 52,510 Nippon Meat Packers, Inc., Osaka...................... 6,000 81,356 Nippon Mitsubishi Oil Company......................... 99,000 405,470 Nippon Sanso Corp..................................... 18,000 54,832 Nippon Sheet Glass Co., Ltd........................... 7,000 63,385 Nippon Shinpan Co., Ltd............................... 15,000 30,787 Nippon Shokubai Co., Ltd.............................. 11,000 50,569 Nishimatsu Construction Co., Ltd...................... 14,000 50,188 Nishi-Nippon Bank, Ltd................................ 27,000 106,320 *Nissan Motor Co., Ltd................................ 25,000 131,182 Nissei Sangyo Co., Ltd................................ 5,000 64,082 Nisshin Steel Co., Ltd................................ 57,000 59,819 Nisshinbo Industries, Inc............................. 16,000 72,812 *Nissho Iwai Corp..................................... 50,000 46,900 Noritz Corp........................................... 1,000 12,426 North Pacific Bank, Ltd............................... 18,000 91,943 Obayashi Corp......................................... 45,000 171,349 Okumura Corp.......................................... 14,000 42,257 Omron Corp............................................ 2,000 50,987 Onward Kashiyama Co., Ltd............................. 3,000 40,121 Pioneer Electronic Corp............................... 5,000 152,774 Q.P. Corp............................................. 9,000 69,626 *Rinnai Corp.......................................... 1,400 30,295 Ryosan Co., Ltd....................................... 2,000 41,514 Sakura Bank, Ltd...................................... 73,000 540,339 San In Godo Bank, Ltd................................. 11,000 57,618 Sanwa Shutter Corp.................................... 11,000 34,734 Sanyo Electric Co., Ltd............................... 112,000 827,973 *Sanyo Shinpan Finance Co., Ltd....................... 2,000 72,440 Sapporo Breweries, Ltd................................ 8,000 30,834 Seino Transportation Co., Ltd......................... 8,000 36,554 Sekisui Chemical Co., Ltd............................. 32,000 109,960 Sekisui House, Ltd.................................... 48,000 467,183 Shiga Bank, Ltd....................................... 14,000 63,060 *Shikoku Bank, Ltd.................................... 13,000 77,873 *Shima Seiki Manufacturing Co., Ltd................... 2,000 49,779 Shimachu Co., Ltd..................................... 3,000 50,095 Shimadzu Corp......................................... 11,000 56,801 Shimizu Corp.......................................... 18,000 42,628 *Shinko Securities Co., Ltd., Tokyo................... 21,000 86,399 Showa Shell Sekiyu KK................................. 23,000 94,414 Snow Brand Milk Products Co., Ltd..................... 20,000 100,302 Stanley Electric Co., Ltd............................. 7,000 59,810 Sumitomo Forestry Co., Ltd............................ 10,000 62,224 *Sumitomo Metal Industries, Ltd. Osaka................ 246,000 169,064 *Sumitomo Metal Mining Co., Ltd....................... 34,000 143,673 *Sumitomo Osaka Cement Co., Ltd....................... 4,000 15,603 Sumitomo Realty & Development Co., Ltd................ 27,000 100,302 SHARES VALUE+ ------ ------ Sumitomo Trust & Banking Co., Ltd..................... 18,000 $ 130,225 Suruga Bank, Ltd...................................... 4,000 68,874 *Suzuken Co., Ltd..................................... 800 28,679 Taiheiyo Cement Corp.................................. 55,000 82,238 Taisei Corp........................................... 57,000 78,347 *Takara Standard Co., Ltd............................. 1,000 4,133 Takashimaya Co., Ltd.................................. 10,000 90,086 Tanabe Seiyaku Co., Ltd............................... 13,000 87,773 Teikoku Oil Co., Ltd.................................. 20,000 59,438 Thermal Engineering Co., Ltd.......................... 1,000 5,554 *Toda Corp............................................ 19,000 74,112 Toho Bank, Ltd........................................ 11,000 41,885 Tokuyama Corp......................................... 10,000 56,559 Tokyo Style Co., Ltd.................................. 6,000 54,052 Toppan Printing Co., Ltd.............................. 47,000 498,481 Toray Industries, Inc................................. 36,000 137,079 Toshiba TEC Corp...................................... 17,000 64,732 Tostem Corp........................................... 5,000 82,424 Toto, Ltd............................................. 25,000 168,098 Toyo Seikan Kaisha, Ltd............................... 15,000 265,103 Toyo Suisan Kaisha, Ltd............................... 6,000 53,494 Toyo Trust & Banking Co., Ltd......................... 26,000 87,894 Toyobo Co., Ltd....................................... 46,000 74,762 Toyoda Machine Works, Ltd............................. 8,000 75,041 Toyota Tsusho Corp.................................... 17,000 56,996 UNY Co., Ltd.......................................... 11,000 135,667 *Victor Co. of Japan, Ltd............................. 15,000 88,182 Wacoal Corp........................................... 9,000 75,477 Yamagata Bank, Ltd.................................... 12,000 61,630 Yamaguchi Bank........................................ 11,000 72,635 Yamaha Corp........................................... 13,000 118,319 Yamatake-Honeywell Co., Ltd........................... 5,000 49,687 Yamazaki Baking Co., Ltd.............................. 13,000 120,130 *Yasuda Trust & Banking Co., Ltd...................... 85,000 104,992 Yodogawa Steel Works, Ltd............................. 5,000 12,538 Yokogawa Electric Corp................................ 14,000 117,019 Yokohama Rubber Co., Ltd.............................. 21,000 49,343 *Zexel Corp........................................... 19,000 25,057 ----------- TOTAL COMMON STOCKS (Cost $19,822,053)................................... 21,390,742 ----------- INVESTMENT IN CURRENCY -- (0.0%) *Japanese Yen (Cost $5,014)....................................... 5,005 ----------- TOTAL -- JAPAN (Cost $19,827,067)................................... 21,395,747 ----------- UNITED KINGDOM -- (18.7%) COMMON STOCKS -- (18.7%) *3I Group P.L.C....................................... 12,000 227,075 Abbey National P.L.C.................................. 66,200 880,153 Aggregate Industries P.L.C............................ 49,303 50,664 Alliance & Leicester P.L.C............................ 25,000 223,458 *Allied Domecq P.L.C.................................. 49,200 244,886 Allied Zurich P.L.C................................... 77,000 863,189 Antofagasta Holdings P.L.C............................ 8,200 40,876 Arjo Wiggins Appleton P.L.C........................... 38,700 145,914 Arriva P.L.C.......................................... 6,570 23,028 Associated British Foods P.L.C........................ 37,920 250,238 Associated British Ports Holdings P.L.C............... 13,900 60,355 BAA P.L.C............................................. 49,654 362,183 43
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THE TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------ ------ *BG Group P.L.C....................................... 171,000 $ 1,024,931 BPB P.L.C............................................. 21,700 120,009 Barratt Developments P.L.C............................ 9,000 31,075 *Bass P.L.C........................................... 17,600 192,302 Beazer Group P.L.C.................................... 3,000 5,672 Berkeley Group P.L.C.................................. 4,760 39,772 *Blue Circle Industries P.L.C......................... 25,000 158,999 *Bodycote International P.L.C......................... 4,120 12,686 Britannic P.L.C....................................... 8,900 121,654 British Airways P.L.C................................. 49,000 265,130 British Land Co. P.L.C................................ 25,300 151,264 British Vita P.L.C.................................... 10,300 39,720 *British-Borneo Petroleum Syndicate P.L.C............. 9,800 10,180 Brixton Estate P.L.C.................................. 9,700 31,172 Burford Holdings P.L.C................................ 4,000 5,949 CGU P.L.C............................................. 107,349 1,630,218 *Canary Wharf Group P.L.C............................. 33,000 176,337 Capital Shopping Centres P.L.C........................ 15,000 80,153 Caradon P.L.C......................................... 13,000 30,798 Carillion P.L.C....................................... 2,968 4,725 Chelsfield P.L.C...................................... 11,099 53,253 *Chorion P.L.C........................................ 1,168 755 Cookson Group P.L.C................................... 9,152 28,214 *Corus Group P.L.C.................................... 177,900 260,589 *Debenhams P.L.C...................................... 18,000 60,804 *Elementis P.L.C...................................... 10,194 12,342 Enterprise Oil P.L.C.................................. 3,000 21,389 Glynwed International P.L.C........................... 11,000 38,474 Great Universal Stores P.L.C.......................... 49,200 305,556 Halifax P.L.C......................................... 86,000 845,178 Hammerson P.L.C....................................... 14,100 86,830 Hanson P.L.C.......................................... 30,300 214,898 Hilton Group P.L.C.................................... 55,200 203,793 IMI P.L.C............................................. 10,000 40,805 Johnson Matthey P.L.C................................. 5,000 57,172 *LaPorte P.L.C........................................ 6,000 47,980 *Laporte P.L.C. Series B.............................. 48,000 717 Lasmo P.L.C........................................... 62,600 111,346 Lex Service P.L.C..................................... 5,600 34,737 Lonmin P.L.C.......................................... 4,392 40,701 Marks & Spencer P.L.C................................. 140,820 524,104 Millennium and Copthorne Hotels P.L.C................. 12,647 74,574 *Morgan Crucible Company P.L.C........................ 8,072 25,880 Morrison (Wm.) Supermarkets P.L.C..................... 10,019 21,939 *National Power P.L.C................................. 55,800 306,511 *Northern Foods P.L.C................................. 27,000 46,612 Northern Rock P.L.C................................... 20,000 97,156 Peninsular & Oriental Steam Navigation Co............. 30,214 316,578 Pilkington P.L.C...................................... 51,254 63,203 Pillar Property P.L.C................................. 1,700 7,928 Powergen P.L.C........................................ 31,000 203,877 RMC Group P.L.C....................................... 12,000 150,845 *Railtrack Group P.L.C................................ 23,356 293,246 Rank Group P.L.C...................................... 35,000 73,763 Rexam P.L.C........................................... 13,122 46,092 Rio Tinto P.L.C....................................... 16,511 243,582 Rolls-Royce P.L.C..................................... 77,662 285,560 Royal & Sun Alliance Insurance Group P.L.C............ 67,042 398,827 SHARES VALUE+ ------ ------ Safeway P.L.C......................................... 48,849 $ 178,703 Sainsbury (J.) P.L.C.................................. 94,137 429,155 Scottish & Newcastle P.L.C............................ 30,500 263,501 Signet Group P.L.C.................................... 45,000 33,631 Slough Estates P.L.C.................................. 19,000 101,953 *Smith (David S.) Holdings P.L.C...................... 14,000 30,238 *Smith (W.H.) P.L.C................................... 12,000 69,055 *Stagecoach Holdings P.L.C............................ 77,000 69,055 Tate & Lyle P.L.C..................................... 18,400 68,894 Taylor Woodrow P.L.C.................................. 14,463 32,859 Thistle Hotels P.L.C.................................. 17,000 32,525 Trinity P.L.C......................................... 4,130 32,964 Unigate P.L.C......................................... 10,700 48,939 Weir Group P.L.C...................................... 3,000 9,282 Whitbread P.L.C....................................... 22,198 186,053 Wilson Bowden P.L.C................................... 4,000 35,664 *Wimpey (George) P.L.C................................ 7,900 13,166 *Wolseley P.L.C....................................... 28,000 142,086 ----------- TOTAL COMMON STOCKS (Cost $16,152,063)................................... 14,928,298 ----------- INVESTMENT IN CURRENCY -- (0.0%) *British Pound Sterling (Cost $28,580)...................................... 28,281 ----------- TOTAL -- UNITED KINGDOM (Cost $16,180,643)................................... 14,956,579 ----------- FRANCE -- (10.2%) COMMON STOCKS -- (10.2%) AGF (Assurances Generales de France SA)............... 12,600 636,848 *Air Liquide.......................................... 950 132,595 Banque Nationale de Paris............................. 3,900 349,932 *Bull SA.............................................. 10,200 87,027 Christian Dior SA..................................... 1,200 272,656 Colas SA.............................................. 400 73,747 *Credit Lyonnais SA................................... 1,200 51,237 De la Rue Imperiale de Lyon........................... 29 55,322 Eiffage SA............................................ 800 43,662 Eridania Beghin-Say SA................................ 1,600 145,936 Esso SA............................................... 500 29,190 *Euro Disney SCA...................................... 65,450 47,345 *Faurecia SA.......................................... 800 33,535 Fimalac SA............................................ 300 43,402 Fonciere Lyonnaise SA................................. 500 51,193 Fromageries Bel la Vache qui Rit...................... 100 63,713 GTM Entrepose......................................... 900 75,120 Generale des Establissements Michelin SA Series B..... 9,200 302,890 Groupe Danone......................................... 2,650 617,108 Imerys................................................ 1,100 135,679 LaFarge SA............................................ 5,850 450,300 *LaFarge SA Prime Fidelite 2002....................... 1,550 119,310 Labinal SA............................................ 400 49,041 Lapeyre SA............................................ 1,500 71,225 Pechiney SA Series A.................................. 1,700 69,527 Pernod-Ricard SA...................................... 3,300 172,914 Peugeot SA............................................ 3,200 652,892 Rallye SA............................................. 1,600 85,618 *Remy Cointreau SA.................................... 1,500 32,413 SEB SA................................................ 400 24,706 *SEB SA Prime Fidelite 2002........................... 300 18,530 44
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THE TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------ ------ Saint-Gobain.......................................... 6,100 $ 845,745 *Societe des Ciments de Francais...................... 2,300 116,250 Societe Generale, Paris............................... 29,200 1,674,908 Thomson-CSF........................................... 1,800 69,444 Usinor................................................ 16,600 198,594 Valeo SA.............................................. 5,600 282,005 ----------- TOTAL -- FRANCE (Cost $8,396,291).................................... 8,181,559 ----------- GERMANY -- (8.3%) COMMON STOCKS -- (8.3%) AGIV AG fuer Industrie & Verkehrswesen................ 400 7,122 BASF AG............................................... 12,400 504,841 BHW Holding AG, Berlin................................ 7,300 126,600 *Bankgesellschaft Berlin AG........................... 7,350 114,175 Bayer AG.............................................. 14,200 547,835 Bayerische Motorenwerke AG............................ 2,600 76,195 Bayerische Vereinsbank AG............................. 6,000 381,719 Bilfinger & Berger Bau AG, Mannheim................... 300 4,465 Commerzbank AG........................................ 19,950 731,742 Continental AG........................................ 5,100 92,940 DBV Holding AG........................................ 400 13,911 DaimlerChrysler AG, Stuttgart......................... 16,200 892,421 Degussa-Huels AG...................................... 2,000 61,209 *Deutsche Bank AG..................................... 11,900 898,338 Deutsche Lufthansa AG................................. 5,300 126,813 Deutsche Pfandbrief und Hypothekenbank AG, Depfa...... 1,400 145,547 Dresdner Bank AG...................................... 9,400 379,215 Fresenius Medical Care AG............................. 600 49,245 *Gehe AG.............................................. 900 29,797 *Heidelberger Druckmaschinen AG....................... 1,100 71,614 Heidelberger Zement AG, Heidelberg.................... 820 48,062 Hochtief AG........................................... 1,050 33,254 *Hoechst AG........................................... 9,600 287,569 Linde AG.............................................. 2,133 86,841 MAN AG................................................ 4,450 151,872 Merck KGAA............................................ 1,200 38,283 *Stinnes AG........................................... 1,200 23,037 Thyssen Krupp AG...................................... 7,900 139,203 Veba AG............................................... 7,700 385,757 Vereins & Westbank AG................................. 600 15,135 Volkswagen AG......................................... 5,350 215,334 ----------- TOTAL -- GERMANY (Cost $6,828,497).................................... 6,680,091 ----------- SWITZERLAND -- (5.7%) COMMON STOCKS -- (5.7%) Ascom Holding AG, Bern................................ 40 120,355 Baloise-Holding, Basel................................ 710 662,670 Ciba Spezialitaetenchemie Holding AG.................. 8,100 498,189 Credit Suisse Holding, Zuerich (Namen)................ 1,120 208,143 Financiere Richemont AG............................... 95 235,400 Fischer (Georg) AG, Schaffhausen (Namen).............. 350 110,473 Helvetia Patria Holding, St. Gallen................... 180 140,178 Interallianz Bank AG, Zuerich......................... 450 122,656 Jelmoli Holding AG, Zuerich........................... 40 51,682 SHARES VALUE+ ------ ------ *Rieter Holding AG, Winterthur........................ 220 $ 144,072 Roche Holding AG, Basel............................... 35 406,787 Sairgroup, Zuerich.................................... 1,350 248,099 Saurer AG, Arbon...................................... 150 84,956 Schindler Holding AG, Hergiswil Partizipsch........... 75 115,487 Schweizerische Lebensversicherungs und Rentenanstalt....................................... 300 171,682 Sig Schweizerische Industrie-Gesellschaft Holding AG, Neuhausen AM Rheinfall.............................. 120 67,257 Sika Finanz AG, Baar.................................. 240 81,133 *Sulzer AG, Winterthur................................ 440 295,152 Sulzer Medic AG....................................... 390 86,744 Swatch Group AG....................................... 90 109,647 *UBS AG............................................... 3,860 518,655 *Unaxis Holding AG.................................... 200 46,608 ----------- TOTAL COMMON STOCKS (Cost $4,564,149).................................... 4,526,025 ----------- INVESTMENT IN CURRENCY -- (0.0%) *Swiss Francs (Cost $14,069)...................................... 14,365 ----------- RIGHTS/WARRANTS -- (0.0%) *Baloise-Holding, Basel Put Options 06/16/00 (Cost $0)........................................... 710 2,341 ----------- TOTAL -- SWITZERLAND (Cost $4,578,218).................................... 4,542,731 ----------- NETHERLANDS -- (4.7%) COMMON STOCKS -- (4.7%) ABN-AMRO Holding NV................................... 28,381 644,855 Asr Verzekeringsgroep NV.............................. 603 31,037 Buhrmann NV........................................... 5,734 173,624 DSM NV................................................ 6,048 196,313 Fortis (NL)........................................... 1,800 47,075 Hagemeyer NV.......................................... 1,636 38,689 Ing Groep NV.......................................... 18,900 1,123,715 *Ispat International NV............................... 1,400 12,724 KLM (Koninklijke Luchtvaart Mij) NV................... 230 5,109 Koninklijke KPN NV.................................... 4,790 430,011 Koninklijke Vopak NV.................................. 3,100 70,436 *NV Holdingsmij de Telegraaf.......................... 800 19,253 Oce NV................................................ 5,030 70,905 Royal Philips Electronics NV, Eindhoven............... 20,688 918,247 Vedior NV, Amsterdam.................................. 1,633 18,779 Vendex KBB NV......................................... 303 5,367 ----------- TOTAL COMMON STOCKS (Cost $3,157,355).................................... 3,806,139 ----------- RIGHTS/WARRANTS -- (0.0%) *Asr Verzekeringsgroep NV Rights 05/26/00............. 603 0 *Fortis (NL) Rights 06/19/00.......................... 1,800 0 ----------- TOTAL RIGHTS/WARRANTS (Cost $0)............................................ 0 ----------- TOTAL -- NETHERLANDS (Cost $3,157,355).................................... 3,806,139 ----------- 45
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THE TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------ ------ ITALY -- (4.3%) COMMON STOCKS -- (4.2%) Assicurazioni Generali SpA, Trieste................... 3,640 $ 109,037 Banca di Roma......................................... 485,000 521,307 Banca Popolare di Milano.............................. 24,000 155,359 Banca Popolare di Verona-Banco San Geminiano e San Prospero Scarl...................................... 18,000 174,778 Banca Toscana......................................... 25,000 81,611 CIR SpA (Cie Industriale Riunite), Torino............. 17,500 55,830 Cartiere Burgo SpA.................................... 4,000 37,764 *Compagnia di Partecipazioni Assicurative Industriali SpA................................................. 138,400 175,843 Fabbrica Italiana Magneti Marelli SpA................. 22,500 114,349 Fiat SpA.............................................. 33,000 833,355 IFIL Finanziaria Partecipazioni SpA................... 23,000 173,842 *Immsi SpA............................................ 6,500 9,102 Italcementi Fabriche Riunite Cemento SpA, Bergamo..... 14,040 126,562 Milano Assicurazioni SpA.............................. 27,000 83,383 Montedison SpA........................................ 20,000 33,757 Parmalat Finanziaria SpA.............................. 140,000 173,202 RAS SpA (Riunione Adriatica di Sicurta)............... 35,700 333,732 SAI SpA (Sta Assicuratrice Industriale), Torino....... 3,500 53,168 *SNIA SpA............................................. 45,000 42,776 Sirti SpA............................................. 6,500 11,875 Toro Assicurazioni Cia Anonima d'Assicurazione di Torino SpA.......................................... 5,000 73,450 ----------- TOTAL COMMON STOCKS (Cost $3,537,843).................................... 3,325,811 ----------- PREFERRED STOCKS -- (0.1%) Fiat SpA (Cost $47,699)...................................... 3,000 48,271 ----------- TOTAL -- ITALY (Cost $3,585,542).................................... 3,374,082 ----------- SWEDEN -- (3.3%) COMMON STOCKS -- (3.2%) Assidomaen AB......................................... 9,850 169,940 *Avesta Sheffield AB.................................. 7,400 27,012 Gambro AB Series A.................................... 21,000 156,107 Gambro AB Series B.................................... 7,900 58,288 Holmen AB Series B.................................... 7,500 191,389 *Kinnevik Industrifoervaltnings AB Series B........... 1,100 33,807 NCC AB Series B....................................... 7,100 55,142 Perstorp AB Series B.................................. 4,900 59,802 SSAB Swedish Steel Series A........................... 6,800 72,051 SSAB Swedish Steel Series B........................... 1,100 11,350 Skandinaviska Enskilda Banken Series A................ 23,000 250,082 Svedala Industri...................................... 2,400 30,622 Svenska Cellulosa AB Series B......................... 19,400 388,515 Svenska Kullagerfabriken AB Series A.................. 3,200 55,741 Svenska Kullagerfabriken AB Series B.................. 5,400 98,557 Trelleborg AB Series B................................ 5,300 35,282 SHARES VALUE+ ------ ------ Volvo AB Series A..................................... 11,600 $ 267,701 Volvo AB Series B..................................... 25,400 601,672 ----------- TOTAL COMMON STOCKS (Cost $2,789,977).................................... 2,563,060 ----------- INVESTMENT IN CURRENCY -- (0.1%) *Swedish Krona (Cost $82,138)...................................... 83,113 ----------- RIGHTS/WARRANTS -- (0.0%) *Kinnevik Industrifoervaltnings AB Series B Rights 06/21/00............................................ 1,100 610 *Volvo AB Series A Redemption Rights 06/30/00......... 9,100 5,654 *Volvo AB Series B Redemption Rights 06/30/00......... 21,000 13,397 ----------- TOTAL RIGHTS/WARRANTS (Cost $0)............................................ 19,661 ----------- TOTAL -- SWEDEN (Cost $2,872,115).................................... 2,665,834 ----------- FINLAND -- (3.0%) COMMON STOCKS -- (3.0%) Fortum Oyj............................................ 66,706 247,453 Huhtamaki Van Leer Oyj................................ 5,900 184,943 Kemira Oyj............................................ 12,700 67,135 Kesko Oyj............................................. 22,100 219,508 Metra Oyj Series B.................................... 3,700 66,912 Metsa-Serla Oyj Series B.............................. 30,800 238,510 Metso Oyj............................................. 24,868 322,877 Outokumpu Oyj Series A................................ 27,900 297,557 Rautaruukki Oy Series K............................... 2,100 10,614 Sanitec Oyj........................................... 1,094 10,653 Stora Enso Oyj Series A............................... 18,800 179,582 Stora Enso Oyj Series R............................... 24,300 227,613 Upm-Kymmene Oyj....................................... 11,800 297,659 ----------- TOTAL -- FINLAND (Cost $2,658,818).................................... 2,371,016 ----------- SPAIN -- (2.7%) COMMON STOCKS -- (2.7%) Aceralia Corporacion Siderurgica SA................... 13,400 140,179 Acerinox SA........................................... 2,300 77,642 Aguas de Barcelona SA................................. 9,200 124,142 Aumar (Autopistas del Mare Nostrum SA)................ 7,100 107,065 Autopistas Concesionaria Espanola SA.................. 30,740 290,785 Azucarera Ebro Agricolas SA........................... 7,600 92,262 Banco Pastor SA, La Coruna............................ 500 20,254 Cementos Portland SA.................................. 1,100 22,963 Cia Espanola de Petroleous SA......................... 31,000 275,995 Corporacion Mapfre Compania Internacional de Reaseguros SA, Majadah Onda......................... 6,400 89,268 Endesa SA, Madrid..................................... 19,000 391,531 Fomento de Construcciones y Contratas SA.............. 3,200 71,225 Grupo Dragados SA, Madrid............................. 16,100 118,255 Hidroelectrica del Cantabrico SA...................... 9,000 183,125 46
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THE TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------ ------ Metrovacesa SA........................................ 4,800 $ 83,244 Vallehermoso SA....................................... 14,900 95,623 ----------- TOTAL -- SPAIN (Cost $2,338,586).................................... 2,183,558 ----------- AUSTRALIA -- (2.3%) COMMON STOCKS -- (2.2%) AMP, Ltd.............................................. 10,800 93,782 Amcor, Ltd............................................ 26,507 76,216 Boral, Ltd............................................ 20,438 22,037 CSR, Ltd.............................................. 41,610 95,903 Colonial, Ltd......................................... 27,269 146,374 Goodman Fielder, Ltd.................................. 39,765 28,130 *Hanson P.L.C......................................... 1,879 12,671 MIM Holdings.......................................... 59,199 27,694 Mayne Nickless, Ltd................................... 12,095 20,838 National Australia Bank, Ltd.......................... 22,689 337,825 Normandy Mining, Ltd.................................. 56,396 26,704 North, Ltd............................................ 31,998 50,383 Orica, Ltd............................................ 6,863 27,799 *Origin Energy, Ltd................................... 20,438 16,091 Pacific Dunlop, Ltd................................... 35,261 33,594 *Paperlinx, Ltd....................................... 5,241 9,090 *Pasminco, Ltd........................................ 56,902 29,541 Quantas Airways, Ltd.................................. 50,864 94,017 Rio Tinto, Ltd........................................ 18,843 269,112 Santos, Ltd........................................... 18,673 47,938 Seven Network, Ltd.................................... 6,410 24,135 St. George Bank, Ltd.................................. 18,335 122,173 Suncorp-Metway Limited................................ 4,757 22,408 WMC, Ltd.............................................. 36,229 148,545 ----------- TOTAL COMMON STOCKS (Cost $1,959,416).................................... 1,783,000 ----------- INVESTMENT IN CURRENCY -- (0.1%) *Australian Dollar (Cost $40,532)...................................... 40,503 ----------- RIGHTS/WARRANTS -- (0.0%) *AMP, Ltd. Contingent Payment Rights (Cost $0)........................................... 10,499 0 ----------- TOTAL -- AUSTRALIA (Cost $1,999,948).................................... 1,823,503 ----------- HONG KONG -- (2.0%) COMMON STOCKS -- (2.0%) Amoy Properties, Ltd.................................. 205,000 121,679 CDL Hotels International, Ltd......................... 46,000 11,807 *China Overseas Land & Investment, Ltd................ 238,000 19,243 Great Eagle Holdings, Ltd............................. 32,000 42,094 Hang Lung Development Co., Ltd........................ 94,000 59,112 Hong Kong and Shanghai Hotels, Ltd.................... 31,500 14,553 Hysan Development Co., Ltd............................ 78,000 84,587 Kerry Properties, Ltd................................. 63,000 61,448 New World Development Co., Ltd........................ 161,000 161,165 *New World Infrastructure, Ltd........................ 38,400 31,047 Shangri-La Asia, Ltd.................................. 66,000 67,338 Sino Land Co., Ltd.................................... 197,115 66,405 Swire Pacific, Ltd. Series A.......................... 68,500 395,598 Tsim Sha Tsui Properties, Ltd......................... 74,000 46,535 SHARES VALUE+ ------ ------ Wharf Holdings, Ltd................................... 177,600 $ 319,097 Wheelock and Co., Ltd................................. 154,000 95,855 ----------- TOTAL COMMON STOCKS (Cost $2,082,609).................................... 1,597,563 ----------- INVESTMENT IN CURRENCY -- (0.0%) *Hong Kong Dollars (Cost $10,916)...................................... 10,917 ----------- TOTAL -- HONG KONG (Cost $2,093,525).................................... 1,608,480 ----------- EMU -- (1.7%) INVESTMENT IN CURRENCY -- (1.7%) *Euro Currency (Cost $1,304,769)................................... 1,331,470 ----------- DENMARK -- (1.0%) COMMON STOCKS -- (1.0%) Carlsberg A.S. Series B............................... 2,960 95,596 Danisco A.S........................................... 2,970 106,618 Den Danske Bank A.S................................... 2,700 311,906 FLS Industries........................................ 1,440 22,001 Jyske Bank A.S........................................ 2,640 49,190 *Nordic Baltic Holding AB............................. 21,596 138,152 Realdanmark A.S....................................... 2,784 90,604 ----------- TOTAL COMMON STOCKS (Cost $793,628)...................................... 814,067 ----------- INVESTMENT IN CURRENCY -- (0.0%) *Danish Krone (Cost $1,037)....................................... 1,073 ----------- TOTAL -- DENMARK (Cost $794,665)...................................... 815,140 ----------- SINGAPORE -- (0.8%) COMMON STOCKS -- (0.8%) Centrepoint Properties, Ltd........................... 119,050 109,906 Fraser & Neave, Ltd................................... 31,000 92,117 Keppel Corp., Ltd..................................... 88,000 167,559 Keppel Land, Ltd...................................... 73,000 67,393 Keppel Tatlee Bank, Ltd............................... 52,000 91,211 *Neptune Orient Lines, Ltd............................ 51,000 38,549 Singapore Land, Ltd................................... 35,000 55,939 United Industrial Corp., Ltd.......................... 45,000 18,435 ----------- TOTAL COMMON STOCKS (Cost $877,310)...................................... 641,109 ----------- INVESTMENT IN CURRENCY -- (0.0%) *Singapore Dollars (Cost $3,286)....................................... 3,295 ----------- TOTAL -- SINGAPORE (Cost $880,596)...................................... 644,404 ----------- BELGIUM -- (0.8%) COMMON STOCKS -- (0.8%) *AGFA-Gevaert NV, Mortsel............................. 2,800 56,037 Bekaert SA............................................ 1,000 51,471 *Heidelberger Zement AG............................... 466 26,578 *Heidelberger Zement AG VVPR.......................... 466 4 Solvay SA............................................. 5,100 340,542 47
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THE TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO CONTINUED [Download Table] SHARES VALUE+ ------ ------ Tessenderlo Chemie.................................... 1,700 $ 67,636 Union Miniere SA...................................... 2,100 74,241 ----------- TOTAL -- BELGIUM (Cost $650,044)...................................... 616,509 ----------- PORTUGAL -- (0.5%) COMMON STOCKS -- (0.5%) Banco Comercial Portugues SA.......................... 10,000 48,874 Banco Espirito Santo e Comercial de Lisboa............ 3,200 74,637 Cimpor Cimentos de Portugal SA........................ 6,360 96,909 Portugal Telecom SA................................... 13,000 141,058 ----------- TOTAL -- PORTUGAL (Cost $340,093)...................................... 361,478 ----------- IRELAND -- (0.4%) COMMON STOCKS -- (0.4%) *Allied Irish Banks P.L.C............................. 3,465 31,813 *Bank of Ireland...................................... 3,968 23,405 Independent News & Media P.L.C........................ 12,214 95,149 Jefferson Smurfit Group P.L.C......................... 85,525 166,564 ----------- TOTAL -- IRELAND (Cost $343,367)...................................... 316,931 ----------- NORWAY -- (0.4%) COMMON STOCKS -- (0.4%) Bergesen Dy ASA Series A.............................. 4,600 94,959 Christiania Bank Og Kreditkasse....................... 3,700 18,992 Den Norske Bank ASA Series A.......................... 11,900 42,226 *Kvaerner ASA......................................... 3,100 35,629 Norske Skogindustrier ASA Series A.................... 1,200 36,823 *Petroleum Geo Services ASA........................... 4,400 78,310 ----------- TOTAL COMMON STOCKS (Cost $309,512)...................................... 306,939 ----------- INVESTMENT IN CURRENCY -- (0.0%) *Norwegian Krone (Cost $5,758)....................................... 5,823 ----------- TOTAL -- NORWAY (Cost $315,270)...................................... 312,762 ----------- SHARES VALUE+ ------ ------ AUSTRIA -- (0.2%) COMMON STOCKS -- (0.2%) *Bank Austria AG...................................... 1,478 $ 69,768 Voest-Alpine Stahl AG................................. 3,003 82,993 ----------- TOTAL -- AUSTRIA (Cost $173,426)...................................... 152,761 ----------- NEW ZEALAND -- (0.1%) COMMON STOCKS -- (0.1%) Carter Holt Harvey, Ltd............................... 75,400 60,605 Lion Nathan, Ltd...................................... 23,800 47,450 ----------- TOTAL -- NEW ZEALAND (Cost $132,894)...................................... 108,055 ----------- [Download Table] TEMPORARY CASH INVESTMENTS -- (2.2%) FACE AMOUNT ------ (000) Repurchase Agreement, PNC Capital Markets Inc. 5.95%, 06/01/2000 (Collateralized by U.S. Treasury Notes 7.75%, 02/15/01, valued at $1,763,278) to be repurchased at $1,736,287. (Cost $1,736,000)................................... $ 1,736 1,736,000 ----------- TOTAL INVESTMENTS -- (100.0%) (Cost $81,187,729)++................................. $80,033,100 =========== [Download Table] -------------------------------------------------------------------------------- + See Note B to Financial Statements. * Non-Income Producing Securities ++ The cost for federal income tax purposes is $81,187,729. See accompanying Notes to Financial Statements. 48
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DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES MAY 31, 2000 (UNAUDITED) [Enlarge/Download Table] THE TAX-MANAGED THE TAX-MANAGED THE TAX-MANAGED THE TAX-MANAGED U.S. MARKETWIDE U.S. 5-10 U.S. 6-10 SMALL DFA INTERNATIONAL VALUE PORTFOLIO VALUE PORTFOLIO COMPANY PORTFOLIO VALUE PORTFOLIO --------------- --------------- ----------------- ----------------- (AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS) ASSETS: Investments at Value...................... $ 206,361 $ 358,890 $ 123,624 $ 80,033 Collateral for Securities Loaned.......... -- 5,850 7,517 5,735 Cash...................................... -- -- -- 19 Receivables: Dividends, Interest and Tax Reclaims.... -- 418 90 356 Investment Securities Sold.............. -- 6,266 909 -- Fund Shares Sold........................ 649 3,098 976 1,018 Prepaid Expenses and Other Assets......... 30 31 17 17 ------------ ----------- ----------- ----------- Total Assets.......................... 207,040 374,553 133,133 87,178 ------------ ----------- ----------- ----------- LIABILITIES: Payable for Collateral on Securities Loaned.................................. -- 5,850 7,517 5,735 Payable for Investment Securities Purchased............................... 649 2,304 128 1,278 Payable for Fund Shares Redeemed.......... -- 299 189 8 Accrued Expenses and Other Liabilities.... 44 184 66 51 ------------ ----------- ----------- ----------- Total Liabilities..................... 693 8,637 7,900 7,072 ------------ ----------- ----------- ----------- NET ASSETS................................ $ 206,347 $ 365,916 $ 125,233 $ 80,106 ============ =========== =========== =========== SHARES OUTSTANDING $.01 PAR VALUE (Authorized 100,000,000 )............... 19,352,630 30,518,674 9,581,695 7,914,316 ============ =========== =========== =========== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE......................... $ 10.66 $ 11.99 $ 13.07 $ 10.12 ============ =========== =========== =========== Investments at Cost....................... $ 193,594 $ 319,007 $ 118,506 $ 81,187 ============ =========== =========== =========== See accompanying Notes to Financial Statements. 49
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DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED MAY 31, 2000 (AMOUNTS IN THOUSANDS) (UNAUDITED) [Enlarge/Download Table] THE TAX-MANAGED THE TAX-MANAGED THE TAX-MANAGED THE TAX-MANAGED U.S. MARKETWIDE U.S. 5-10 U.S. 6-10 SMALL DFA INTERNATIONAL VALUE PORTFOLIO VALUE PORTFOLIO COMPANY PORTFOLIO VALUE PORTFOLIO --------------- --------------- ----------------- ----------------- INVESTMENT INCOME Net Investment Income Received from The DFA Investment Trust Company.......... $ 1,569 -- -- -- Dividends (Net of Foreign Taxes Withheld of $0, $0, $0 and $102, respectively)......................... -- $ 1,741 $ 333 $ 913 Interest................................ -- 242 107 108 Income from Securities Lending.......... -- 91 92 26 -------- ------------- ------------ ----------- Total Investment Income............. 1,569 2,074 532 1,047 -------- ------------- ------------ ----------- EXPENSES Investment Advisory Services............ -- 833 270 153 Administrative Fees..................... 117 -- -- -- Accounting & Transfer Agent Fees........ 35 66 24 41 Custodian's Fees........................ -- 18 6 54 Legal Fees.............................. 4 2 1 1 Audit Fees.............................. -- 11 2 1 Filing Fees............................. 14 29 10 9 Shareholders' Reports................... 4 4 1 1 Other................................... 2 3 1 2 -------- ------------- ------------ ----------- Total Expenses...................... 176 966 315 262 -------- ------------- ------------ ----------- NET INVESTMENT INCOME................... 1,393 1,108 217 785 -------- ------------- ------------ ----------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY Net Realized Gain (Loss) on Investment Securities Sold....................... (11,010) (5,153) 3,869 90 Net Realized Loss on Foreign Currency Transactions.......................... -- -- -- (33) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............................ 14,414 25,897 (2,644) (1,279) Translation of Foreign Currency Denominated Amounts................. -- -- -- (34) -------- ------------- ------------ ----------- NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY.................... 3,404 20,744 1,225 (1,256) -------- ------------- ------------ ----------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............... $ 4,797 $ 21,852 $ 1,442 $ (471) ======== ============= ============ =========== See accompanying Notes to Financial Statements. 50
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