Certified Annual Shareholder Report of a Management Investment Company · Form N-CSR
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N-CSR · Certified Annual Shareholder Report of a Management Investment Company
Document Table of Contents
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-7436
----------------------------------------------
THE DFA INVESTMENT TRUST COMPANY
--------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
1299 Ocean Avenue, 11th Floor, Santa Monica, CA 90401
--------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
Catherine L. Newell, Esquire, Vice President and Secretary
The DFA Investment Trust Company,
1299 Ocean Avenue, 11th Floor, Santa Monica, CA 90401
--------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: 310-395-8005
Date of fiscal year end: November 30
Date of reporting period: November 30, 2003
ITEM 1. REPORTS TO STOCKHOLDERS.
================================================================================
THE DFA INVESTMENT TRUST COMPANY
THE GLOBAL VALUE SERIES
THE GLOBAL LARGE COMPANY SERIES
THE GLOBAL SMALL COMPANY SERIES
ANNUAL REPORT
YEAR ENDED NOVEMBER 30, 2003
================================================================================
THE DFA INVESTMENT TRUST COMPANY
ANNUAL REPORT
TABLE OF CONTENTS
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PAGE
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THE DFA INVESTMENT TRUST COMPANY
Management's Discussion and Analysis 1
Schedules of Investments 3
The Global Value Series 3
The Global Large Company Series 3
The Global Small Company Series 3
Statements of Assets and Liabilities 4
Statements of Operations 5
Statements of Changes in Net Assets 6
Financial Highlights 7
Notes to Financial Statements 8
Report of Independent Certified Public Accountants 12
DFA INVESTMENT DIMENSIONS GROUP INC. -- LARGE CAP INTERNATIONAL PORTFOLIO
Schedule of Investments 13
Statement of Assets and Liabilities 24
Statement of Operations 25
Statements of Changes in Net Assets 26
Financial Highlights 27
Notes to Financial Statements 28
Report of Independent Certified Public Accountants 32
THE DFA INVESTMENT TRUST COMPANY
Schedules of Investments 33
The U.S. Large Company Series 33
The U.S. Large Cap Value Series 38
The U.S. Small Cap Series 41
The DFA International Value Series 70
The Japanese Small Company Series 78
The Pacific Rim Small Company Series 88
The United Kingdom Small Company Series 96
The Continental Small Company Series 102
Statements of Assets and Liabilities 116
Statements of Operations 118
Statements of Changes in Net Assets 120
Financial Highlights 124
Notes to Financial Statements 128
Report of Independent Certified Public Accountants 134
FUND MANAGEMENT 135
This report is submitted for the information of the Funds' shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
MANAGEMENT'S DISCUSSION AND ANALYSIS
GLOBAL EQUITY MARKET REVIEW YEAR ENDED NOVEMBER 30, 2003
Global equity markets generally had positive returns for the year under
review. For the year ended November 30, 2003, large cap U.S. stocks rose 15.09%
as measured by the S&P 500(R) Index. When expressed in local currencies, prices
rose in nine of the ten largest country constituents of the MSCI EAFE Index. Net
returns were enhanced considerably by appreciation in the euro, Japanese yen,
Swiss franc, British pound, Australian dollar and Swedish krona relative to the
U.S. dollar. The overall effect of currency exchange rate changes was a material
improvement in returns for U.S. dollar-based investors: total return for the
MSCI EAFE Index (net dividends) was 7.64% in local currency and 24.23% in U.S.
dollars.
% TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2003
------------------------------------------------
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LOCAL
CURRENCY U.S. DOLLAR
TEN LARGEST NON-U.S. DEVELOPED MARKETS RETURN RETURN
----------------------------------------- -------- -----------
United Kingdom 8.75% 20.20%
Japan 10.89% 23.83%
France 4.36% 25.05%
Switzerland 6.19% 21.02%
Germany 13.35% 35.77%
Netherlands -7.05% 11.00%
Australia 6.24% 35.23%
Italy 8.50% 29.46%
Spain 11.80% 34.09%
Sweden 14.22% 35.75%
----------
Source: Morgan Stanley Capital International
Mirroring the U.S. experience, large company growth stocks were the
poorest-performing asset class in non-U.S. markets, while small company stocks
had the best relative results.
% TOTAL RETURN FOR YEAR ENDED NOVEMBER 30, 2003 (U.S. DOLLARS)
--------------------------------------------------------------
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MSCI EAFE Small Cap Index 45.99%
Citigroup EPAC Extended Market Index (int'l. small companies) 41.90%
Russell 2000 Index 36.28%
MSCI EAFE Value Index (net dividends) 27.79%
MSCI EAFE Index (net dividends) 24.23%
MSCI EAFE Growth Index (net dividends) 20.62%
Russell 1000 Value Index 17.17%
Russell 1000 Growth Index 16.75%
S&P 500 Index 15.09%
GLOBAL EQUITY PORTFOLIOS' PERFORMANCE OVERVIEW
GLOBAL LARGE COMPANY SERIES
The Global Large Company Series seeks to capture the returns of global
large company stocks by purchasing shares of the U.S. Large Company Series and
the Large Cap International Portfolio. The investment strategy employs a
disciplined, quantitative approach, emphasizing broad diversification and
consistent exposure to global large company stocks, but does not attempt to
track closely a specific equity index. The U.S. Large Company Series and the
Large Cap International Portfolio held a total of 1,232 stocks in twenty-two
developed country markets as of
1
November 30, 2003. The Series and the Portfolio were essentially fully invested
in equities throughout the period: cash equivalents averaged less than 2.5% of
their respective assets.
As a result of the Global Large Company Series' diversified investment
approach, performance was determined principally by broad structural trends in
global equity markets, rather than the behavior of a limited number of stocks.
For the year ended November 30, 2003, international stocks generally
underperformed U.S. stocks; total returns were 24.23% for the MSCI EAFE Index
(net dividends) and 15.09% for the S&P 500(R)Index of U.S. stocks. Total return
for the Global Large Company Series over this period was 19.11%.
GLOBAL VALUE SERIES
The Global Value Series seeks to capture the returns of global large
company value stocks by purchasing shares of two Master Funds that invest in
such stocks: U.S. Large Cap Value Series and DFA International Value Series. The
investment strategy employs a disciplined, quantitative approach, emphasizing
broad diversification and consistent exposure to global large company value
stocks, but does not attempt to track closely a specific equity index. The
Master Funds held a combined total of 811 stocks in twenty-two developed country
markets, as of November 30, 2003, and were essentially fully invested in
equities throughout the period: cash equivalents averaged less than 2.5% of
Master Fund assets.
As a result of the Global Value Series' diversified investment approach,
performance was principally determined by broad structural trends in global
equity markets, rather than the behavior of a limited number of stocks. For the
year ended November 30, 2003, value stocks outperformed growth stocks in both
the U.S. and international markets. Total returns were 17.17% for the Russell
1000 Value Index, 16.75% for the Russell 1000 Growth Index, 27.79% for the MSCI
EAFE Value Index (net dividends), and 24.23% for the MSCI EAFE Growth Index (net
dividends). Total return for the Global Value Series over this period was
27.99%.
GLOBAL SMALL COMPANY SERIES
The Global Small Company Series seeks to capture the returns of global
small company stocks by purchasing shares of five Master Funds that individually
invest in small company stocks in the United States, the United Kingdom,
continental Europe, Japan and the Pacific Rim region, respectively. The
investment strategy employs a disciplined, quantitative approach, emphasizing
broad diversification and consistent exposure to small company stocks, but does
not attempt to track closely a specific equity index. As of November 30, 2003,
the Master Funds held a combined total of 7,153 stocks in twenty-one developed
country markets, and were essentially fully invested in equities throughout the
period: cash equivalents averaged less than 2.0% of each Master Fund's assets.
As a result of the Series' diversified investment approach, performance
was determined principally by broad structural trends in global equity markets,
rather than the behavior of a limited number of stocks. For the year ended
November 30, 2003, small company stocks outperformed large company stocks in
both the U.S. and international markets. Total returns were 36.28% for the
Russell 2000 Index, 15.09% for the S&P 500 Index, 41.90% for the Citigroup EPAC
Extended Market Index, and 24.23% for the MSCI EAFE Index (net dividends). Total
return for the Global Small Company Series over this period was 46.17%.
2
THE DFA INVESTMENT TRUST COMPANY
SCHEDULES OF INVESTMENTS
NOVEMBER 30, 2003
THE GLOBAL VALUE SERIES
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VALUE+
-------------
Investment in The U.S. Large Cap Value Series of The DFA Investment
Trust Company (50.0%) (3,032,037 Shares, Cost $38,798,104) $ 46,723,694
Investment in The DFA International Value Series of The DFA Investment
Trust Company (50.0%) (3,771,056 Shares, Cost $42,198,913) 46,761,101
-------------
Total Investments(100%) (Cost $80,997,016)++ $ 93,484,795
=============
----------
++ The cost for federal income tax purposes is $81,104,434
THE GLOBAL LARGE COMPANY SERIES
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VALUE+
-------------
Investment in The U.S. Large Company Series of The DFA Investment
Trust Company (49.4%) (Cost $19,481,231) $ 22,233,341
Investment in the Large Cap International Portfolio of the DFA Investment
Dimensions Group Inc. (50.6%) (1,516,573 Shares, Cost $19,944,392) 22,217,794
-------------
Total Investments(100%) (Cost $39,425,623)++ $ 44,451,135
=============
----------
++ The cost for federal income tax purposes is $39,987,707
THE GLOBAL SMALL COMPANY SERIES
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VALUE+
-------------
Investment in The U.S. Small Cap Series of The DFA Investment Trust
Company (50.1%) (4,630,997 Shares, Cost $48,239,483) $ 64,093,004
Investment in The Japanese Small Company Series of The DFA
Investment Trust Company (13.3%) (Cost $16,591,671) 16,959,788
Investment in The Pacific Rim Small Company Series of The DFA
Investment Trust Company (7.0%) (Cost $7,784,450) 8,951,115
Investment in The United Kingdom Small Company Series of The DFA
Investment Trust Company (7.9%) (Cost $7,618,486) 10,097,855
Investment in The Continental Small Company Series of The DFA
Investment Trust Company (21.7%) (Cost $20,219,982) 27,771,219
-------------
Total Investments (100%) (Cost $100,454,072)++ $ 127,872,981
=============
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++ The cost for federal income tax purposes is $100,596,092
----------
+ See Note B to Financial Statements
See accompanying Notes to Financial Statements.
3
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 2003
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
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THE THE
THE GLOBAL GLOBAL
GLOBAL LARGE SMALL
VALUE COMPANY COMPANY
SERIES SERIES SERIES
----------- ----------- ------------
ASSETS:
Investments at Value $ 93,485 $ 44,451 $ 127,873
Cash 58 7 34
Receivables:
From Advisor -- 6 --
Fund Shares Sold 839 289 130
----------- ----------- ------------
Total Assets 94,382 44,753 128,037
----------- ----------- ------------
LIABILITIES:
Payables:
Investment Securities Purchased 839 289 130
Due to Advisor 42 -- 25
Accrued Expenses and Other Liabilities 13 4 10
----------- ----------- ------------
Total Liabilities 894 293 165
----------- ----------- ------------
NET ASSETS $ 93,488 $ 44,460 $ 127,872
=========== =========== ============
SHARES OUTSTANDING $.01 PAR VALUE
(Unlimited Number of Shares Authorized) 9,062,567 5,956,770 10,298,165
=========== =========== ============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE $ 10.32 $ 7.46 $ 12.42
=========== =========== ============
Investments at Cost $ 80,997 $ 39,453 $ 100,454
=========== =========== ============
NET ASSETS CONSIST OF:
Paid-in Capital 79,920 41,438 94,360
Accumulated Net Investment Income (Loss) 1,165 233 1,158
Accumulated Net Realized Gain (Loss) (85) (2,237) 4,906
Accumulated Net Realized Foreign Exchange Gain (Loss) -- -- 16
Unrealized Appreciation (Depreciation) from Investment
Securities, Foreign Currency and Futures 12,488 5,026 27,422
Unrealized Net Foreign Exchange Gain (Loss) -- -- 10
----------- ----------- ------------
Total Net Assets $ 93,488 $ 44,460 $ 127,872
=========== =========== ============
See accompanying Notes to Financial Statements.
4
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2003
(AMOUNTS IN THOUSANDS)
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THE THE
THE GLOBAL GLOBAL
GLOBAL LARGE SMALL
VALUE COMPANY COMPANY
SERIES SERIES SERIES
--------- -------- ---------
INVESTMENT INCOME
Income Distributions Received from The DFA
Investment Trust Company $ 1,332 $ 196 $ 363
Dividends (Net of Foreign Taxes Withheld of $0,
$0 and $104, respectively) -- 259 981
Interest -- 4 16
Income from Securities Lending -- 2 73
Expenses Allocated from Master Funds -- (8) (117)
--------- -------- ---------
Total Investment Income 1,332 453 1,316
--------- -------- ---------
EXPENSES
Accounting & Transfer Agent Fees 31 31 35
Legal Fees 2 1 5
Audit Fees 6 2 5
Shareholders' Reports 8 2 4
Trustee's Fees and Expenses -- 1 1
--------- -------- ---------
Total Expenses 47 37 50
Fees Waived, Expenses Reimbursed, and/or Previously
Waived Fees Recovered by Advisor 42 (34) 36
--------- -------- ---------
Net Expenses 89 3 86
--------- -------- ---------
NET INVESTMENT INCOME (LOSS) 1,243 450 1,230
--------- -------- ---------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENT SECURITIES AND FOREIGN CURRENCY
Capital Gain Distributions Received from The DFA
Investment Trust Company 26 -- --
Net Realized Gain (Loss) on Investment Securities Sold (40) (597) 5,073
Net Realized Gain (Loss) on Futures -- 60 --
Net Realized Gain (Loss) on Foreign Currency
Transactions -- 16 --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 16,930 6,294 30,137
Futures -- (8) --
Translation of Foreign Currency Denominated Amounts -- -- 10
--------- -------- ---------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND
FOREIGN CURRENCY 16,916 5,749 35,236
--------- -------- ---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 18,159 $ 6,199 $ 36,466
========= ======== =========
See accompanying Notes to Financial Statements.
5
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
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THE THE
GLOBAL GLOBAL LARGE
VALUE SERIES COMPANY SERIES
------------------- -------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2003 2002 2003 2002
-------- -------- -------- --------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 1,243 $ 553 $ 450 $ 179
Capital Gain Distributions Received from the DFA Investment Trust
Company 26 12 -- --
Net Realized Gain (Loss) on Investment
Securities Sold (40) (13) (597) (920)
Net Realized Gain (Loss) on Futures -- -- 60 (170)
Net Realized Gain (Loss) on Foreign Currency
Transactions -- -- -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 16,930 (3,671) 6,294 (1,166)
Futures -- -- (8) 27
Translation of Foreign Currency Denominated Amounts -- -- -- --
-------- -------- -------- --------
Net Increase (Decrease) in Net Assets Resulting
from Operations 18,159 (3,119) 6,199 (2,050)
-------- -------- -------- --------
Distributions From:
Net Investment Income (609) (141) (327) (97)
Net Long-Term Gains (12) (172) -- --
-------- -------- -------- --------
Total Distributions (621) (313) (327) (97)
-------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued 28,091 41,549 17,366 15,744
Shares Issued in Lieu of Cash Distributions 529 292 278 82
Shares Redeemed -- (17) (139) --
-------- -------- -------- --------
Net Increase (Decrease) from Capital Share
Transactions 28,620 41,824 17,505 15,826
-------- -------- -------- --------
Total Increase (Decrease) 46,158 38,392 23,377 13,679
NET ASSETS
Beginning of Period 47,330 8,938 21,083 7,404
-------- -------- -------- --------
End of Period $ 93,488 $ 47,330 $ 44,460 $ 21,083
======== ======== ======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 3,200 4,779 2,619 2,313
Shares Issued in Lieu of Cash Distributions 67 34 46 11
Shares Redeemed -- (2) (23) --
-------- -------- -------- --------
3,267 4,811 2,642 2,324
======== ======== ======== ========
THE
GLOBAL SMALL
COMPANY SERIES
----------------------
YEAR YEAR
ENDED ENDED
NOV. 30, NOV. 30,
2003 2002
---------- ---------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 1,230 $ 397
Capital Gain Distributions Received from the DFA Investment Trust
Company -- 35
Net Realized Gain (Loss) on Investment
Securities Sold 5,073 (41)
Net Realized Gain (Loss) on Futures -- --
Net Realized Gain (Loss) on Foreign Currency
Transactions 16 5
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 30,137 (2,575)
Futures -- --
Translation of Foreign Currency Denominated Amounts 10 3
---------- ---------
Net Increase (Decrease) in Net Assets Resulting
from Operations 36,466 (2,176)
---------- ---------
Distributions From:
Net Investment Income (465) (74)
Net Long-Term Gains -- (14)
---------- ---------
Total Distributions (465) (88)
---------- ---------
Capital Share Transactions (1):
Shares Issued 49,714 38,614
Shares Issued in Lieu of Cash Distributions 395 75
Shares Redeemed (1,458) --
---------- ---------
Net Increase (Decrease) from Capital Share
Transactions 48,651 38,689
---------- ---------
Total Increase (Decrease) 84,652 36,425
NET ASSETS
Beginning of Period 43,220 6,795
---------- ---------
End of Period $ 127,872 $ 43,220
========== =========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 5,345 4,276
Shares Issued in Lieu of Cash Distributions 48 9
Shares Redeemed (128) --
---------- ---------
5,265 4,285
========== =========
See accompanying Notes to Financial Statements.
6
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
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THE GLOBAL
VALUE SERIES
------------------------------------------------------
YEAR YEAR YEAR YEAR AUG. 27
ENDED ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2003 2002 2001 2000 1999
--------- --------- -------- -------- ---------
Net Asset Value, Beginning of Period $ 8.17 $ 9.07 $ 9.52 $ 9.67 $ 10.00
--------- --------- -------- -------- ---------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 2.11 0.11 0.15 0.14 0.06
Net Gain (Loss) on Securities
(Realized and Unrealized) 0.14 (0.72) (0.18) (0.01) (0.39)
--------- --------- -------- -------- ---------
Total from Investrment Operations 2.25 (0.61) (0.03) 0.13 (0.33)
-------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.10) (0.13) (0.04) (0.18) --
Net Realized Gains -- (0.16) (0.38) (0.10) --
--------- --------- -------- -------- ---------
Total Distributions (0.10) (0.29) (0.42) (0.28) --
-------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 10.32 $ 8.17 $ 9.07 $ 9.52 $ 9.67
=================================================================================================
Total Return 28.01% (6.84)% (0.49)% 1.39% (3.30)%#
-------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 93,488 $ 44,330 $ 8,938 $ 2,638 $ 917
Ratio of Expenses to Average
Net Assets (1) 0.368% 0.375% 0.375% 0.47% 0.50%*
Ratio of Expenses to Average Net
Assets (excluding waivers and
assumption of expenses, and/or
recovery of previously waived
fees) (1) 0.298% 0.465% 0.805% 2.03% 5.22%*
Ratio of Net Investment Income to
Average Net Assets 1.96% 2.17% 2.21% 2.18% 2.62%*
Ratio of Net Investment Income to
Average Net Assets (excluding waivers
and assumption of expenses) 2.03% 2.08% 1.78% 0.62% (2.32)%
Portfolio Turnover Rate N/A N/A N/A N/A N/A
-------------------------------------------------------------------------------------------------
THE GLOBAL LARGE
COMPANY SERIES
-------------------------------------------
YEAR YEAR YEAR AUG. 21
ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2003 2002 2001 2000
--------- --------- -------- --------
Net Asset Value, Beginning of Period $ 6.36 $ 7.47 $ 8.91 $ 10.00
--------- --------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.10 0.10 0.10 0.02
Net Gain (Loss) on Securities
(Realized and Unrealized) 1.09 (1.12) (1.46) (1.11)
--------- --------- -------- --------
Total from Investrment Operations 1.19 (1.02) (1.36) (1.09)
--------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.09) (0.09) (0.08) --
Net Realized Gains -- -- -- --
--------- --------- -------- --------
Total Distributions (0.09) (0.09) (0.08) --
--------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 7.46 $ 6.36 $ 7.47 $ 8.91
======================================================================================
Total Return 19.07% (13.80)% (15.41)% (10.90)%#
--------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 44,460 $ 21,083 $ 7,404 $ 190
Ratio of Expenses to Average
Net Assets (1) 0.25% 0.25% 0.25% 0.25%*
Ratio of Expenses to Average Net
Assets (excluding waivers and
assumption of expenses, and/or
recovery of previously waived
fees) (1) 0.37% 0.57% 0.88% 3.37%*
Ratio of Net Investment Income to
Average Net Assets 1.29% 1.01% 0.44% 0.63%*
Ratio of Net Investment Income to
Average Net Assets (excluding waivers
and assumption of expenses) 1.17% 0.69% (0.19)% (2.49)%
Portfolio Turnover Rate N/A N/A N/A N/A
--------------------------------------------------------------------------------------
THE GLOBAL SMALL
COMPANY SERIES
--------------------------------------------
YEAR YEAR YEAR AUG. 21
ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2003 2002 2001 2000
---------- --------- -------- --------
Net Asset Value, Beginning of Period $ 8.59 $ 9.08 $ 9.10 $ 10.00
---------- --------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.13 0.10 0.10 0.04
Net Gain (Loss) on Securities
(Realized and Unrealized) 3.79 (0.47) 0.07 (0.92)
---------- --------- -------- --------
Total from Investrment Operations 3.92 (0.37) 0.17 (0.88)
--------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.09) (0.10) (0.05) (0.02)
Net Realized Gains -- (0.02) (0.14) --
---------- --------- -------- --------
Total Distributions (0.09) (0.12) (0.19) (0.02)
--------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 12.42 $ 8.59 $ 9.08 $ 9.10
======================================================================================
Total Return 46.17% 4.20% 1.87% (8.80)%#
--------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 127,872 $ 43,220 $ 6,795 $ 759
Ratio of Expenses to Average
Net Assets (1) 0.30% 0.375% 0.375% 0.375%*
Ratio of Expenses to Average Net
Assets (excluding waivers and
assumption of expenses, and/or
recovery of previously waived
fees) (1) 0.26% 0.455% 1.065% 2.55%*
Ratio of Net Investment Income to
Average Net Assets 1.55% 1.81% 1.98% 2.62%*
Ratio of Net Investment Income to
Average Net Assets (excluding waivers
and assumption of expenses) 1.59% 1.73% 1.29% 0.45%
Portfolio Turnover Rate N/A N/A N/A N/A
--------------------------------------------------------------------------------------
* Annualized
# Non-annualized
(1) Represents the combined ratio for the Series and its respective pro-rata
share of its Master Fund Series'.
N/A Refer to the respective Master Fund Series
See accompanying Notes to Financial Statements.
7
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust" or "ITC") is an open-end
management investment company registered under the Investment Company Act of
1940. The Trust consists of twenty-five investment portfolios, of which three
(the "Global Funds" or "Feeder Funds") are presented in this section of the
report and eight (the "Master Funds") are presented elsewhere in this report.
The Global Funds achieve their investment objectives by investing in other
series within the Trust or a portfolio of DFA Investment Dimensions Group Inc.
("IDG") (collectively, the "Master Funds").
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GLOBAL FUND (FEEDER FUND) MASTER FUNDS
------------------------------- ----------------------------------------------
The Global Value Series The U.S. Large Cap Value Series (ITC)
The DFA International Value Series (ITC)
The Global Large Company Series The U.S. Large Company Series (ITC)
Large Cap International Portfolio (IDG)
The Global Small Company Series The U.S. Small Cap Series (ITC)
The Japanese Small Company Series (ITC)
The United Kingdom Small Company Series (ITC)
The Pacific Rim Small Company Series (ITC)
The Continental Small Company Series (ITC)
At November 30, 2003, all of the Global Funds owned less than 7% of its
Master Funds' net assets.
The financial statements of the Master Funds are included in this report
and should be read in conjunction with the financial statements of the Global
Funds.
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America for
investment companies. Such policies are consistently followed by the Trust in
the preparation of its financial statements. The preparation of financial
statements in accordance with accounting principles generally accepted in the
United States of America may require management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates and those
differences could be material.
1. SECURITY VALUATION: The shares of the Master Funds held by the Global
Funds are valued at their respective daily net asset values where the Master
Funds are organized as regulated investment companies for federal income tax
purposes. The U.S. Large Company Series, The Japanese Small Company Series, The
United Kingdom Small Company Series, The Pacific Rim Small Company Series and
The Continental Small Company Series are organized as partnerships (the
"Partnerships"). The Global Funds reflect their proportionate interest in the
net assets of those corresponding Master Funds.
8
2. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Trustees may defer payment of a percentage
of their total fees earned as a Trustee. These deferred amounts may be treated
as though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Trustees' Fees and
Expenses.
3. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on the accrual basis. Expenses directly attributable to a
Global Fund are directly charged. Common expenses are allocated using methods
approved by the Board of Trustees, generally based on average net assets.
The Global Large Company Series and The Global Small Company Series each
accrue their respective share of income and expenses daily on their investment
in their corresponding Partnerships. All of the net investment income and
realized and unrealized gains and losses from the security transactions and
foreign currency of the Partnerships are allocated pro-rata among its investors
at the time of such determination.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Master Funds. The Global Funds are not
subject to a management fee.
Effective August 21, 2000, the Advisor has agreed to reimburse the Global
Funds to the extent necessary to keep the annual combined expenses of the Feeder
Funds and their respective Master Funds to not more than the following
percentages of average daily net assets:
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The Global Large Company Series 0.25 of 1%
The Global Small Company Series 0.375 of 1%
Also, effective August 24, 2000, the Advisor has agreed to reimburse The
Global Value Series to the extent necessary to keep the annual combined expenses
of the Feeder Fund and its respective Master Funds to not more than 0.375 of 1%
of average daily net assets. Until August 24, 2000, the Advisor had agreed to
reimburse The Global Value Series to the extent necessary to keep the annual
combined expenses of the Feeder Fund and its respective Master Funds to not more
than 0.50 of 1% of average daily net assets. At any time that the direct and
indirect expenses of the Global Funds are less than 0.25 of 1% for Global Large
Company Series and 0.375 of 1% for Global Small Company Series and Global Value
Series of its assets on an annualized basis, the Advisor retains the right to
seek reimbursement for any fees previously waived during the prior thirty-six
months. For the Global Large Company Series, at November 30, 2003, approximately
$108,000 of previously waived fees were subject to future reimbursement to the
Advisor over various periods not exceeding November 30, 2006
Certain officers of the Global Funds are also officers, directors and
shareholders of the Advisor.
D. DEFERRED COMPENSATION:
At November 30, 2003, the total liability for deferred compensation to
Trustees is included in Accrued Expenses and Other Liabilities as follows:
[Download Table]
The Global Value Series $ 921
The Global Large Company Series 425
The Global Small Company Series 1,140
9
E. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since it is the
intention of the Global Funds to continue to qualify as a regulated investment
company under Subchapter M of the Internal Revenue Code and distribute
substantially all of its taxable income and capital gains to shareholders.
Because income tax regulations differ from accounting principles generally
accepted in the United States of America, the timing and character of income and
capital gain distributions determined in accordance with tax regulations can
differ from income and capital gains recognized for financial reporting
purposes. Accordingly, the character of distributions and the composition of net
assets for tax purposes can differ from those reflected in the financial
statements. These book/tax differences may be temporary or permanent in nature.
To the extent these differences are permanent, they are charged or credited to
paid in capital, accumulated net realized gain (loss) or undistributed net
investment income as appropriate, in the period the differences arise. These
reclassifications have no effect on net assets or net asset value per share.
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
At November 30, 2003, gross unrealized appreciation and depreciation for
federal income tax purposes of investment securities and foreign currencies was
as follows (amounts in thousands):
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GROSS UNREALIZED GROSS UNREALIZED
APPRECIATION DEPRECIATION NET
---------------- ---------------- --------
The Global Value Series $ 12,380 -- $ 12,380
The Global Large Company Series 5,026 $ (563) 4,463
The Global Small Company Series 27,277 -- 27,277
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at November 30, its fiscal year end. As of November 30,
2003, the following Global Funds had capital loss carryforwards for federal
income tax purposes (amounts in thousands):
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EXPIRES ON NOVEMBER 30
-------------------------------
2008 2009 2010 2011 TOTAL
---- ------ ------ ------ -------
The Global Large Company Series $ 8 $ 556 $ 625 $ 484 $ 1,673
Certain of the Master Fund's held by The Global Small Company Series
investments are in securities considered to be "passive foreign investment
companies", for which any unrealized appreciation (mark to market) and/or
realized gains are required to be included in distributable net investment
income for tax purposes. The Global Small Company Series received unrealized
appreciation/(depreciation) (mark to market) and realized gains on the sale of
passive foreign investment companies of $131,789 and $29,084 respectively, which
are included in distributable net investment income for tax purposes,
accordingly, such gains have been reclassified from accumulated net realized
gains to accumulated net investment income.
F. LINE OF CREDIT:
The Trust, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit with its domestic
custodian bank. Each portfolio is permitted to borrow, subject to its investment
limitations, up to a maximum of $50 million, as long as total borrowings under
the line of credit do not exceed $50 million in the aggregate. Borrowings under
the line of credit are charged interest at the then current federal funds rate
plus 1%. Each portfolio is individually, and not jointly liable for its
particular advances under the line of credit. There is no commitment fee on the
unused portion of the line of credit, since this is not a committed facility.
The agreement for the discretionary line of credit may be terminated at any
time. There were no borrowings under the discretionary line of credit by the
Global Funds during the year ended November 30, 2003.
10
The Global Funds, together with other Dimensional-advised portfolios, have
also entered into an additional $150 million unsecured line of credit with its
international custodian bank. Each portfolio is permitted to borrow, subject to
investment limitations, up to a maximum of $150 million, as long as total
borrowings under the line of credit do not exceed $150 million in the aggregate.
Borrowings under the line of credit are charged interest at rates agreed to by
the parties at the time of borrowing. There is no commitment fee on the unused
line of credit. The agreement for the line of credit expires in April 2004.
There were no borrowings by the Global Funds under the line of credit with the
international custodian bank during the year ended November 30, 2003.
11
REPORT OF INDEPENDENT CERTIFIED PUBLIC ACCOUNTANTS
TO THE SHAREHOLDERS OF THE GLOBAL FUNDS, AS DEFINED, AND
BOARD OF TRUSTEES OF THE DFA INVESTMENT TRUST COMPANY
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of The Global Value Series, The Global
Large Company Series and The Global Small Company Series (constituting
portfolios within The DFA Investment Trust Company, hereafter referred to as the
"Global Funds") at November 30, 2003, and the results of each of their
operations, the changes in each of their net assets and the financial highlights
for each of the periods indicated, in conformity with accounting principles
generally accepted in the United States of America. These financial statements
and financial highlights (hereafter referred to as "financial statements") are
the responsibility of the Global Funds' management; our responsibility is to
express an opinion on these financial statements based on our audits. We
conducted our audits of these financial statements in accordance with auditing
standards generally accepted in the United States of America, which require that
we plan and perform the audit to obtain reasonable assurance about whether the
financial statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles used and
significant estimates made by management, and evaluating the overall financial
statement presentation. We believe that our audits, which included confirmation
of securities at November 30, 2003 by correspondence with the transfer agent of
the investee funds, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Fort Lauderdale, Florida
January 15, 2004
12
LARGE CAP INTERNATIONAL PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2003
[Download Table]
SHARES VALUE+
-------------- -----------------
UNITED KINGDOM -- (24.0%)
COMMON STOCKS -- (24.0%)
3I Group P.L.C. 45,865 $ 480,390
* AWG P.L.C. 7,986 73,001
Aegis Group P.L.C. 66,140 113,752
Aggreko P.L.C. 11,000 26,391
* Alliance Unichem P.L.C. 24,000 207,416
Amec P.L.C. 20,143 94,836
Amvescap P.L.C. 54,800 388,305
* Arm Holdings P.L.C. 70,000 144,469
Associated British Ports Holdings P.L.C. 22,200 163,415
Aviva P.L.C. 167,475 1,333,602
BAA P.L.C. 75,662 614,858
BAE Systems P.L.C. 216,193 647,902
BBA Group P.L.C. 32,900 134,811
BG Group P.L.C. 256,980 1,209,897
BOC Group P.L.C. 34,279 477,833
BP Amoco P.L.C. 1,565,989 10,928,042
BPB P.L.C. 34,000 201,302
BT Group P.L.C. 632,919 1,891,333
* BTG P.L.C. 4,000 13,415
Balfour Beatty P.L.C. 24,382 90,996
Barclays P.L.C. 477,928 4,212,612
Barratt Developments P.L.C. 16,000 134,700
Berkeley Group P.L.C. 9,120 125,795
Boots Group P.L.C. 58,761 718,545
Brambles Industries P.L.C. 49,055 147,222
* British Airways P.L.C. 73,000 286,255
British American Tobacco P.L.C. 150,799 1,891,990
British Land Co. P.L.C. 35,452 337,942
* British Sky Broadcasting Group P.L.C. 141,100 1,635,619
Bunzl P.L.C. 32,078 244,817
Cable and Wireless P.L.C. 165,774 377,770
Cadbury Schweppes P.L.C. 147,035 936,923
* Canary Wharf Group P.L.C. 40,100 166,555
Capita Group P.L.C. 45,000 193,485
Carlton Communications P.L.C. 40,197 159,698
Carnival P.L.C. 14,729 516,771
Cattles P.L.C. 23,503 129,351
* Celltech P.L.C. 16,000 96,725
Centrica P.L.C. 304,552 991,271
Close Brothers Group P.L.C. 8,600 102,057
Cobham P.L.C. 7,650 148,806
Compass Group P.L.C. 158,612 953,407
* Corus Group P.L.C. 176,384 99,349
Davis Service Group P.L.C. 11,000 67,728
De la Rue P.L.C. 12,250 60,888
Diageo P.L.C. 223,519 2,787,068
Dixons Group P.L.C. 133,374 313,111
EMI Group P.L.C. 52,888 154,405
Electrocomponents P.L.C. 29,117 171,515
Emap P.L.C. 17,000 246,913
Enterprise Inns P.L.C. 12,000 193,072
FKI P.L.C. 39,662 75,035
Firstgroup P.L.C. 28,000 130,022
Friends Provident P.L.C. 118,000 262,306
GKN P.L.C. 51,160 235,589
Glaxosmithkline P.L.C. 429,162 $ 9,676,517
Granada Compass P.L.C. 195,974 414,571
Great Portland Estates P.L.C. 13,760 57,270
Great Universal Stores P.L.C. 71,695 933,734
HBOS P.L.C. 280,495 3,521,625
# HSBC Holdings P.L.C. 775,337 11,747,935
Hammerson P.L.C. 18,700 199,723
Hanson P.L.C. 50,000 348,703
Hays P.L.C. 120,259 262,674
Hilton Group P.L.C. 115,400 419,770
IMI P.L.C. 25,000 146,511
Imperial Chemical Industries P.L.C. 80,509 267,237
Imperial Tobacco Group P.L.C. 52,275 957,500
Intercontinental Hotels Group P.L.C. 52,091 481,320
* International Power P.L.C. 75,802 147,969
Invensys P.L.C. 250,836 86,281
Johnson Matthey P.L.C. 14,575 252,927
Kelda Group P.L.C. 26,600 206,211
Kesa Electricals P.L.C. 32,274 135,992
Kidde P.L.C. 59,000 105,785
Kingfisher P.L.C. 167,047 792,226
Land Securities Group P.L.C. 31,946 527,452
Legal and General Group P.L.C. 468,371 801,509
Liberty International P.L.C. 21,000 236,929
Lloyds TSB Group P.L.C. 411,242 2,906,929
Logicacmg P.L.C. 33,214 156,805
MFI Furniture Group P.L.C. 43,800 106,216
Man Group P.L.C. 21,694 532,425
Marks & Spencer Group P.L.C. 172,434 796,274
Misys P.L.C. 38,060 186,556
* Mitchells & Butlers P.L.C. 49,091 196,722
* My Travel Group P.L.C. 22,000 4,351
# National Grid Group P.L.C. 225,790 1,526,133
Next P.L.C. 20,660 396,187
Novar P.L.C. 21,464 47,252
Nycomed Amersham P.L.C. 47,379 613,587
Ocean Group P.L.C. 20,863 273,238
Pearson P.L.C. 55,818 622,077
Peninsular & Oriental Steam Navigation P.L.C. 48,886 205,990
Persimmon P.L.C. 19,000 152,277
Pilkington P.L.C. 91,182 140,355
Provident Financial P.L.C. 17,113 179,683
Prudential Corp. P.L.C. 145,039 1,113,161
RMC Group P.L.C. 18,000 189,615
Rank Group P.L.C. 40,651 202,752
Reckitt Benckiser P.L.C. 51,053 1,114,238
Reed International P.L.C. 89,700 738,964
Rentokill Initial P.L.C. 125,200 469,414
Reuters Holdings Group P.L.C. 101,040 426,619
Rexam P.L.C. 34,874 257,908
Rio Tinto P.L.C. 77,775 1,857,964
Rolls Royce Group P.L.C. 120,144 368,321
Royal & Sun Alliance Insurance Group P.L.C. 198,242 288,955
Royal Bank of Scotland Group P.L.C. 215,755 6,022,468
SSL International P.L.C. 12,000 65,785
Sabmiller P.L.C. 72,000 718,836
13
[Download Table]
SHARES VALUE+
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Safeway P.L.C. 62,948 $ 303,676
Sage Group P.L.C. 86,600 269,955
Sainsbury (J.) P.L.C. 137,481 709,939
Schroders P.L.C. 15,000 167,687
Scottish & Newcastle P.L.C. 62,580 395,000
Scottish Hydro-Electric P.L.C. 61,800 693,528
Scottish Power P.L.C. 135,465 837,570
Securicor P.L.C. 35,700 54,031
Serco Group P.L.C. 24,933 75,579
Severn Trent P.L.C. 23,300 289,527
Shell Transport & Trading Co., P.L.C. 705,511 4,465,260
Signet Group P.L.C. 119,518 207,097
Slough Estates P.L.C. 28,200 204,186
Smith & Nephew P.L.C. 67,907 521,472
Smiths Industries P.L.C. 39,199 448,998
* Spirent P.L.C. 47,960 54,440
Stagecoach Holdings P.L.C. 93,831 130,715
* TI Automotive P.L.C. Series A 18,000 0
Tate & Lyle P.L.C. 32,700 179,967
Taylor Woodrow P.L.C. 38,814 159,544
Tesco P.L.C. 534,253 2,285,626
Tomkins P.L.C. 53,707 249,858
Unilever P.L.C. 212,459 1,845,277
United Business Media P.L.C. 22,000 189,658
United Utilities P.L.C. 53,900 458,406
Vodafone Group P.L.C. 4,196,424 9,635,089
WPP Group P.L.C. 84,000 804,692
Whitbread P.L.C. 19,911 247,073
William Hill P.L.C. 30,000 201,741
Wimpey (George) P.L.C. 26,386 154,747
Wolseley P.L.C. 39,909 511,012
Zeneca Group P.L.C. 124,200 5,637,105
-----------------
TOTAL -- COMMON STOCKS
(Cost $119,647,689) 126,536,166
-----------------
INVESTMENT IN CURRENCY -- (0.0%)
* British Pound Sterling
(Cost $26,644) 27,421
-----------------
TOTAL -- UNITED KINGDOM
(Cost $119,674,333) 126,563,587
-----------------
JAPAN -- (20.4%)
COMMON STOCKS -- (20.4%)
AEON Co., Ltd. 18,000 581,812
Acom Co., Ltd. 7,500 302,684
Aderans Co., Ltd. 1,900 32,077
Advantest Corp. 5,570 398,220
Aeon Credit Service, Ltd. 2,700 115,130
Aiful Corp. 5,000 299,032
Ajinomoto Co., Inc. 35,000 375,183
*# All Nippon Airways Co., Ltd. 81,000 185,637
Alps Electric Co., Ltd. 9,000 127,374
Amada Co., Ltd. 22,000 108,072
Amano Corp. 3,000 20,544
*# Anritsu Corp. 6,000 40,979
Aoyama Trading Co., Ltd. 2,600 49,617
Ariake Japan Co., Ltd. 1,100 34,350
Asahi Breweries, Ltd. 27,000 223,850
Asahi Glass Co., Ltd. 62,000 456,282
Asahi Kasei Corp. 75,000 358,154
Asatsu-Dk, Inc. 2,600 $ 61,961
* Ashikaga Financial Group, Inc. 41,000 30,323
Autobacs Seven Co., Ltd. 1,800 38,870
Avex Inc. 1,000 17,348
Bandai Co., Ltd. 5,000 113,221
# Bank of Yokohama, Ltd. 60,000 254,200
Bellsystem24, Inc. 170 35,701
Benesse Corp. 5,000 109,569
Bridgestone Corp. 48,000 637,692
CSK Corp. 3,600 120,964
Canon, Inc. 49,000 2,263,879
Capcom Co., Ltd. 2,000 21,914
Casio Computer Co., Ltd. 14,000 137,162
Central Glass Co., Ltd. 10,000 60,080
Central Japan Railway Co. 125 998,676
Chiba Bank, Ltd. 44,000 178,780
Chubu Electric Power Co., Ltd. 41,200 825,731
Chugai Pharmaceutical Co., Ltd. 28,800 389,189
Citizen Watch Co., Ltd. 15,000 121,759
Coca-Cola West Japan Co., Ltd. 3,600 63,999
# Comsys Holdings Corp. 5,000 25,886
Credit Saison Co., Ltd. 8,900 186,907
Dai Nippon Ink & Chemicals, Inc. 37,000 68,581
Dai Nippon Printing Co., Ltd. 42,000 579,072
*# Dai Nippon Screen Mfg. Co., Ltd. 7,000 48,320
Daicel Chemical Industries, Ltd. 14,000 57,907
*# Daiei, Inc. 12,000 22,243
Daifuku Co., Ltd. 3,000 12,053
Dai-Ichi Pharmaceutical Co., Ltd. 14,400 242,323
Daikin Industries, Ltd. 13,000 268,262
Daimaru, Inc. 12,000 63,440
Daito Trust Construction Co., Ltd. 6,800 191,855
Daiwa House Industry Co., Ltd. 30,000 284,880
Daiwa Securities Co., Ltd. 74,000 476,351
Denki Kagaku Kogyo KK 22,000 64,682
Denso Corp. 49,500 924,283
Dentsu, Inc. 69 292,960
Dowa Mining Co., Ltd. 16,000 78,305
East Japan Railway Co. 224 1,022,644
Ebara Corp. 13,000 50,447
Elsai Co., Ltd. 16,600 420,608
Familymart Co., Ltd. 4,200 90,888
Fanuc, Ltd. 13,400 787,948
Fast Retailing Co., Ltd. 5,500 324,416
Fuji Electric Co., Ltd. 31,000 66,801
Fuji Photo Film Co., Ltd. 28,000 792,549
Fuji Soft ABC, Inc. 1,000 27,758
Fuji Television Network, Inc. 56 276,625
Fujikura, Ltd. 17,000 95,152
Fujisawa Pharmaceutical Co., Ltd. 17,000 317,431
Fujitsu Support & Service, Inc. 2,000 34,332
* Fujitsu, Ltd. 112,000 616,655
# Fukuoka Bank, Ltd. 30,000 123,265
Furukawa Electric Co., Ltd. 30,000 99,982
Gunma Bank, Ltd. 25,000 107,971
Gunze, Ltd. 8,000 33,674
Hankyu Department Stores, Inc. 7,000 46,147
Hino Motors, Ltd. 28,000 165,668
Hirose Electric Co., Ltd. 2,100 245,626
Hitachi Cable, Ltd. 18,000 63,440
Hitachi Chemical Co., Ltd. 10,500 159,149
14
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SHARES VALUE+
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Hitachi Software Engineering Co., Ltd. 3,000 $ 80,807
* Hitachi Zosen Corp. 20,000 31,045
Hitachi, Ltd. 188,000 1,107,195
* Hokugin Financial Group, Inc. 51,000 77,767
Honda Motor Co., Ltd. 54,500 2,229,365
House Foods Corp. 4,000 42,695
Hoya Corp. 6,500 569,759
Isetan Co., Ltd. 10,000 103,908
* Ishihara Sangyo Kaisha, Ltd. 12,000 21,804
Ishikawajima-Harima Heavy Industries Co., Ltd. 58,000 69,905
Ito En, Ltd. 2,200 83,966
Itochu Corp. 82,000 246,329
Itochu Techno-Science Corp. 3,000 84,916
Ito-Yokado Co., Ltd. 23,000 764,427
JFE Holdings, Inc. 31,500 737,742
JGC Corp. 12,000 94,887
Japan Airlines System Corp. 104,000 266,837
Joyo Bank, Ltd. 48,000 148,137
Jsr Corp., Tokyo 13,000 281,912
Kajima Corp. 49,000 156,145
Kaken Pharmaceutical Co., Ltd. 3,000 14,901
Kamigumi Co., Ltd. 14,000 90,248
* Kanebo, Ltd. 19,000 19,083
Kaneka Corp. 17,000 118,125
Kansai Electric Power Co., Inc. 53,900 902,599
Kao Corp. 33,000 673,439
Katokichi Co., Ltd. 2,000 31,702
# Kawasaki Heavy Industries, Ltd. 67,000 72,800
Kawasaki Kisen Kaisha, Ltd. 30,000 116,417
# Keihin Electric Express Railway Co., Ltd. 24,000 138,714
Keio Electric Railway Co., Ltd. 34,000 174,160
Keyence Corp. 2,400 539,299
Kikkoman Corp. 9,000 59,578
Kinden Corp. 14,000 61,742
*# Kinki Nippon Railway Co., Ltd. 86,280 241,855
Kirin Brewery Co., Ltd. 52,000 415,449
Kokuyo Co., Ltd. 6,000 64,701
Komatsu, Ltd. 55,000 313,367
Komori Corp. 2,000 24,288
Konami Co., Ltd. 6,200 159,359
Konica Corp. 27,000 319,503
# Koyo Seiko Co. 9,000 83,409
Kubota Corp. 74,000 270,270
Kuraray Co., Ltd. 20,000 149,014
Kurita Water Industries, Ltd. 7,000 77,849
Kyocera Corp. 10,700 651,653
Kyowa Exeo Corp. 5,000 25,886
Kyowa Hakko Kogyo Co., Ltd. 23,000 130,205
Kyushu Electric Power Co., Inc. 26,500 436,021
Lawson Inc. 5,400 195,252
*# Lopro Corp. 2,100 9,165
Mabuchi Motor Co., Ltd. 2,600 187,546
Makita Corp. 7,000 64,171
Marubeni Corp. 72,000 118,335
Marui Co., Ltd. 19,000 233,336
Matsumotokiyoshi Co., Ltd. 1,200 52,045
Matsushita Electric Industrial Co., Ltd. 137,188 1,767,461
Matsushita Electric Works, Ltd. 41,000 295,371
Meiji Dairies Corp. 10,000 38,623
Meiji Seika Kaisha, Ltd. Tokyo 17,000 $ 63,486
Meitec Corp. 1,800 63,276
Millea Holdings, Inc. 65 700,329
Minebea Co., Ltd. 18,000 91,709
Mitsubishi Chemical Corp. 113,000 257,944
Mitsubishi Corp. 87,000 798,347
Mitsubishi Electric Corp. 120,000 473,338
Mitsubishi Estate Co., Ltd. 72,000 642,951
Mitsubishi Gas Chemical Co., Inc. 27,000 80,615
Mitsubishi Heavy Industries, Ltd. 178,000 474,580
Mitsubishi Logistics Corp. 7,000 54,903
* Mitsubishi Materials Corp. 50,000 72,133
*# Mitsubishi Paper Mills, Ltd. 13,000 17,568
Mitsubishi Rayon Co., Ltd. 30,000 106,282
Mitsubishi Tokyo Financial Group, Inc. 354 2,650,733
Mitsui & Co., Ltd. 88,000 592,184
Mitsui Chemicals, Inc. 44,000 234,624
Mitsui Engineering and Shipbuilding Co., Ltd. 36,000 45,690
Mitsui Fudosan Co., Ltd. 41,000 357,515
Mitsui Marine & Fire Insurance Co., Ltd. 82,790 617,599
Mitsui Mining and Smelting Co., Ltd. 26,000 96,147
Mitsui O.S.K. Lines, Ltd. 63,000 255,981
Mitsui Trust Holdings 42,000 204,401
# Mitsukoshi, Ltd. 23,000 84,633
Mitsumi Electric Co., Ltd. 3,700 35,608
* Mizuho Holdings, Inc. 446 1,164,682
Mori Seiki Co., Ltd. 4,000 24,763
Murata Manufacturing Co., Ltd. 12,700 724,754
NEC Corp. 92,000 666,983
NGK Insulators, Ltd. 16,000 102,557
NGK Spark Plug Co., Ltd. 11,000 90,696
NSK, Ltd. 28,000 97,663
NTN Corp. 22,000 100,237
NTT Data Corp. 157 576,278
NTT Docomo, Inc. 1,529 3,294,778
Namco, Ltd. 2,200 55,643
Net One Systems Co., Ltd. 13 91,518
* Nichii Gakkan Co. 1,760 90,796
Nichirei Corp. 13,000 39,290
Nidec Corp. 3,600 355,004
Nikko Cordial Corp. 103,000 520,079
* Nikon Corp. 18,000 224,671
Nintendo Co., Ltd., Kyoto 7,900 667,951
Nippon Express Co., Ltd. 56,000 242,878
Nippon Kayaku Co., Ltd. 9,000 43,225
Nippon Meat Packers, Inc., Osaka 10,000 96,603
Nippon Mining Holdings, Inc. 41,500 131,108
Nippon Mitsubishi Oil Corp. 81,000 400,119
Nippon Sanso Corp. 14,000 55,351
Nippon Sheet Glass Co., Ltd. 20,000 51,863
Nippon Shokubai Co., Ltd. 9,000 64,262
Nippon Steel Corp. 381,000 730,552
Nippon System Development Co., Ltd. 900 15,605
Nippon Telegraph & Telephone Corp. 892 4,275,932
Nippon Unipac Holding, Tokyo 57 274,279
Nippon Yusen KK 63,000 246,777
Nishimatsu Construction Co., Ltd. 10,000 33,053
Nissan Chemical Industries, Ltd. 7,000 60,016
Nissan Motor Co., Ltd. 253,100 2,893,364
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Nisshin Seifun Group, Inc. 12,000 $ 96,640
Nisshinbo Industries, Inc. 9,000 44,458
Nissin Food Products Co., Ltd. 6,000 142,714
Nitto Denko Corp. 9,200 464,536
* Nomura Research Institute, Ltd. 2,300 219,668
Nomura Securities Co., Ltd. 110,000 1,747,626
Noritake Co., Ltd. 4,000 12,966
Obayashi Corp. 38,000 145,380
Obic Co., Ltd. 500 103,178
Oji Paper Co., Ltd. 59,000 344,239
* Oki Electric Industry Co., Ltd. 30,000 113,404
Okumura Corp. 11,000 43,088
Olympus Optical Co., Ltd. 14,000 299,763
Omron Corp. 12,000 230,643
Onward Kashiyama Co., Ltd. 8,000 87,728
Oracle Corp. Japan 7,100 351,370
*# Orient Corp. 31,000 60,290
Oriental Land Co., Ltd. 5,200 282,980
Orix Corp. 4,260 312,343
Osaka Gas Co., Ltd. 132,000 345,909
Paris Miki, Inc. 1,900 30,464
Pioneer Electronic Corp. 9,000 230,095
Promise Co., Ltd. 6,500 276,571
Q.P. Corp. 6,000 47,608
* Resona Holdings, Inc. 635,000 794,330
Ricoh Co., Ltd., Tokyo 40,000 729,730
Rohm Co., Ltd. 6,600 767,750
SMC Corp. 3,800 453,141
Saizeriya Co., Ltd. 1,300 12,285
Sanden Corp. 7,000 36,432
Sankyo Co, Ltd. 4,900 155,698
Sankyo Co., Ltd. 25,000 450,146
*# Sanrio Co., Ltd. 3,000 21,941
Sanyo Electric Co., Ltd. 104,000 465,303
Sapporo Breweries, Ltd. 11,000 26,516
Secom Co., Ltd. 13,000 472,425
* Sega Enterprises, Ltd. 9,200 84,927
Seino Transportation Co., Ltd. 7,000 49,662
* Seiyu, Ltd. 28,000 89,481
Sekisui Chemical Co., Ltd. 27,000 120,060
Sekisui House, Ltd. 39,000 367,851
Seven-Eleven Japan Co., Ltd. 46,000 1,331,447
Seventy-seven (77) Bank, Ltd. 16,000 84,733
Sharp Corp. Osaka 62,000 927,849
Shimachu Co., Ltd. 2,200 41,481
Shimamura Co., Ltd. 1,700 105,707
Shimano, Inc. 6,600 129,264
Shimizu Corp. 38,000 130,807
Shin-Etsu Chemical Co., Ltd. 23,600 870,563
Shionogi & Co., Ltd. 19,000 314,180
Shiseido Co., Ltd. 21,000 235,656
Shizuoka Bank, Ltd. 42,000 293,755
* Showa Denko KK 59,000 123,366
Showa Shell Sekiyu KK 18,000 138,386
Skylark Co., Ltd. 5,000 74,416
* Snow Brand Milk Products Co., Ltd. 12,000 35,281
Softbank Corp. 18,800 712,381
Sony Corp. 51,800 1,797,298
Stanley Electric Co., Ltd. 9,000 170,928
Sumitomo Bakelite Co., Ltd. 9,000 56,784
Sumitomo Chemical Co., Ltd. 92,000 328,451
Sumitomo Corp. 59,000 $ 366,326
Sumitomo Electric Industries, Ltd. 38,000 310,884
Sumitomo Forestry Co., Ltd. 6,000 46,567
* Sumitomo Heavy Industries, Ltd. 31,000 60,290
Sumitomo Metal Industries, Ltd. Osaka 269,000 230,880
Sumitomo Metal Mining Co., Ltd. 29,000 183,236
# Sumitomo Mitsui Financial Group, Inc. 250 1,223,192
Sumitomo Osaka Cement Co., Ltd. 14,000 24,927
Sumitomo Realty & Development Co., Ltd. 20,000 155,953
Sumitomo Trust & Banking Co., Ltd. 76,000 407,341
Suruga Bank, Ltd. 12,000 68,700
Suzuken Co., Ltd. 3,400 91,737
TDK Corp. 7,400 481,081
THK Co., Ltd. 5,800 116,773
TIS, Inc. 2,000 63,002
Taiheiyo Cement Corp. 45,000 102,310
Taisei Corp. 46,000 149,105
Taisho Pharmaceutical Co., Ltd. 18,000 313,915
Taiyo Yuden Co., Ltd. 5,000 58,574
# Takara Shuzo Co., Ltd. 10,000 80,533
# Takashimaya Co., Ltd. 16,000 110,153
Takeda Chemical Industries, Ltd. 49,000 1,879,109
Takefuji Corp. 7,800 420,909
Takuma Co., Ltd. 2,000 10,464
Teijin, Ltd. 43,000 117,001
Teikoku Oil Co., Ltd. 12,000 53,251
Terumo Corp. 10,500 188,103
Tobu Railway Co., Ltd. 43,000 146,448
Toda Corp. 14,000 34,898
Toho Co., Ltd. 9,800 112,747
Tohuku Electric Power Co., Inc. 26,600 423,094
Tokyo Broadcasting System, Inc. 10,000 155,132
Tokyo Electric Power Co., Ltd. 75,700 1,569,020
Tokyo Electron, Ltd. 10,100 714,710
# Tokyo Gas Co., Ltd. 157,000 537,573
Tokyo Style Co., Ltd. 4,000 38,641
# Tokyu Corp. 59,000 274,206
TonenGeneral Sekiyu KK 24,000 195,471
Toppan Printing Co., Ltd. 37,000 339,189
Toray Industries, Inc. 72,000 280,058
Toshiba Corp. 180,000 663,988
Tosoh Corp. 30,000 79,985
Tostem Inax Holding Corp. 17,240 302,708
Toto, Ltd. 19,000 146,768
Toyo Seikan Kaisha, Ltd. 11,300 129,385
Toyo Suisan Kaisha, Ltd. 5,000 49,808
Toyobo Co., Ltd. 37,000 72,297
Toyoda Gosei Co., Ltd. 6,300 180,049
Toyota Industries Corp. 15,300 287,085
Toyota Motor Credit Corp. 202,100 6,071,121
* Trans Cosmos, Inc. 1,000 23,649
* Trend Micro Inc. 6,500 164,399
* UFJ Holdings, Inc. 282 1,205,040
UNY Co., Ltd. 9,000 87,683
USS Co., Ltd. 1,400 92,038
Ube Industries, Ltd. 37,000 70,946
Uni-Charm Corp. 3,500 167,138
Union Tool Co. 800 25,566
Ushio Inc. 7,000 110,318
Wacoal Corp. 7,000 55,478
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World Co., Ltd. 2,000 $ 58,802
Yakult Honsha Co., Ltd. 8,000 109,569
Yamada Denki Co., Ltd. 5,300 157,277
Yamaha Corp. 11,000 196,558
Yamaha Motor Co., Ltd. 15,000 152,301
Yamanouchi Pharmaceutical Co., Ltd. 20,200 580,990
Yamato Transport Co., Ltd. 24,000 282,688
Yamazaki Baking Co., Ltd. 9,000 69,029
Yasuda Fire & Marine Insurance Co., Ltd. 52,000 386,012
Yokogawa Electric Corp. 12,000 156,465
-----------------
TOTAL COMMON STOCKS
(Cost $127,463,511) 107,464,611
-----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Japanese Yen
(Cost $103,841) 105,137
-----------------
TOTAL -- JAPAN
(Cost $127,567,352) 107,569,748
-----------------
FRANCE -- (9.5%)
COMMON STOCKS -- (9.5%)
AXA 93,464 1,795,963
Accor SA 10,940 458,992
# Air France 11,600 176,596
Air Liquide SA 5,250 843,303
Air Liquide SA 10,266 1,656,402
* Alcatel SA 68,050 888,332
* Alstom SA 21,944 45,244
Arcelor SA 27,100 439,528
* Atos Origin 2,500 164,825
Aventis 42,365 2,445,248
BNP Paribas SA 47,818 2,694,069
Bouygues 17,670 548,600
* Business Objects SA 5,500 186,516
* Cap Gemini SA 7,550 372,875
Carrefour 37,950 2,044,847
Casino Guichard Perrachon 5,000 465,704
Cie Generale D'Optique Essilor Intenational SA 5,570 277,692
Compagnie de Saint-Gobain 18,336 820,287
Compagnie Francaise d'Etudes et de
Construction Technip SA 1,790 192,578
Dassault Systemes SA 6,900 307,937
* France Telecom SA 116,252 2,996,114
Gecina SA 1,400 192,995
Generale des Establissements
Michelin SA Series B 7,309 290,005
Groupe Danone 7,242 1,128,551
* Hermes International SA 1,900 351,202
Imerys SA 1,000 197,790
* Klepierre SA 1,800 102,922
L'Oreal 35,800 2,656,398
LVMH (Louis Vuitton Moet Hennessy) 25,935 1,786,058
LaFarge SA 9,716 773,930
LaFarge SA Prime Fidelity 8,604 689,995
Lagardere S.C.A. SA 7,700 419,973
Pechiney SA Series A 4,755 273,369
Pernod-Ricard SA 3,950 419,754
Peugeot SA 13,200 620,901
Pinault Printemps Redoute SA 6,200 $ 607,945
# Publicis Groupe 10,300 325,340
Renault SA 15,100 1,003,686
SEB SA Prime Fidelity 900 110,474
SGE (Societe Generale d'Enterprise SA) 4,340 347,264
Sanofi Synthelabo 38,756 2,624,864
Schneider SA 12,199 751,635
Societe BIC SA 3,600 160,058
Societe Generale, Paris 23,128 1,851,970
Societe Television Francaise 1 11,500 371,515
Sodexho Alliance SA 8,766 248,830
Ste des Autoroutes du Sud de la France 12,000 388,387
Stmicroelectronics NV 47,700 1,319,695
Suez (ex Suez Lyonnaise des Eaux) 53,220 921,854
Thales SA 9,624 300,065
Thomson Multimedia 15,000 317,542
Total SA 35,006 5,656,552
Unibail SA 2,500 221,764
Valeo SA 5,000 194,493
* Veolia Environnement SA 20,600 484,738
* Vivendi Universal SA 56,736 1,302,407
* Wanadoo SA 75,800 582,434
Zodiac SA 4,360 129,041
-----------------
TOTAL COMMON STOCKS
(Cost $47,754,672) 49,948,048
-----------------
RIGHTS/WARRANTS -- (0.0%)
* Alstom SA Rights 12/10/03 21,944 11,837
* Alstom SA Warrants 01/09/04 21,944 7,891
-----------------
TOTAL RIGHTS/WARRANTS
(Cost $68,940) 19,728
-----------------
TOTAL -- FRANCE
(Cost $47,823,612) 49,967,776
-----------------
SWITZERLAND -- (7.1%)
COMMON STOCKS -- (7.1%)
*# ABB, Ltd. 76,410 374,744
Adecco SA 12,273 761,413
* Ciba Spezialitaetenchemie
Holding AG 4,525 316,959
Cie Financiere Richemont AG
Series A 46,023 1,139,254
* Clariant AG 10,381 146,554
Credit Swisse Group 78,497 2,604,989
* Fischer (Georg) AG, Schaffhausen 145 24,789
* Forbo Holding AG, Eglisau 102 28,405
Geberit AG 274 119,543
Givaudan SA 573 261,962
Holcim, Ltd. 13,278 578,791
* Kudelski SA 3,084 98,886
Kuoni Reisen Holding AG 180 58,481
* Logitech International SA 3,319 143,777
Lonza Group AG 2,970 142,444
Nestle SA, Cham und Vevey 25,180 5,853,232
Novartis AG 166,060 7,013,797
Phonak Holding AG 4,487 98,229
* Publicitas Holding SA, Lausanne 104 28,158
Roche Holding AG Bearer 10,560 1,402,995
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Roche Holding AG Genusschein 45,153 $ 4,069,191
* Schindler Holding AG 210 47,922
* Schindler Holding AG 340 86,794
Serono SA 769 529,434
Societe Generale de Surveillance
Holding SA 530 311,181
Sulzer AG, Winterthur 165 41,291
Swatch Group AG 2,692 308,720
Swiss Reinsurance Co., Zurich 21,255 1,320,299
Swisscom AG 4,369 1,313,012
Syngenta AG 6,949 425,470
Synthes-Stratec Inc. 723 657,161
Tecan Group AG 627 24,469
The Swatch Group AG 18,164 419,422
UBS AG 77,901 5,016,754
Unaxis Holding AG 912 125,577
Valora Holding AG 209 49,634
* Zimmer Holdings, Inc. 3,010 197,916
* Zurich Financial SVCS AG 9,504 1,224,098
-----------------
TOTAL COMMON STOCKS
(Cost $31,469,590) 37,365,747
-----------------
RIGHTS/WARRANTS -- (0.0%)
* ABB, Ltd. Rights
(Cost $168,543) 76,410 95,164
-----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Swiss Francs
(Cost $696) 704
-----------------
TOTAL -- SWITZERLAND
(Cost $31,638,829) 37,461,615
-----------------
GERMANY -- (6.1%)
COMMON STOCKS -- (6.1%)
Adidas-Salomon AG 2,200 227,854
Aixtron AG 2,400 14,701
Allianz AG 19,808 2,218,908
Altana AG 7,400 448,407
BASF AG 30,200 1,495,121
Bayer AG 38,700 1,044,253
* Bayerische Vereinsbank AG 27,648 644,618
# Beiersdorf AG 4,000 449,761
Commerzbank AG 28,850 556,790
Continental AG 6,400 222,867
* D. Logistics AG 1,200 3,237
DaimlerChrysler AG 53,252 2,023,553
Deutsche Bank AG 30,788 2,142,413
Deutsche Boerse AG 5,900 297,398
Deutsche Lufthansa AG 20,200 309,458
Deutsche Post AG 58,900 1,117,675
* Deutsche Telekom AG 217,620 3,592,131
Douglas Holding AG 1,500 40,996
E.ON AG 35,798 2,023,298
* Epcos AG 2,800 63,940
Fresenius Medical Care AG 3,400 216,418
Gehe AG 4,100 185,287
* Heidelberger Zement AG 4,694 191,480
* Hypo Real Estate Holding AG 6,387 137,430
* Infineon Technologies AG 38,200 542,627
Karstadt Quelle AG 5,350 142,373
Linde AG 5,800 280,537
MAN AG 7,450 201,829
Merck KGAA 1,900 $ 74,522
Metro AG 16,040 690,269
Munchener Rueckversicherungs-Gesellschaft AG 11,957 1,355,199
Preussag AG 8,736 164,202
Puma AG 500 78,936
Rwe AG (Neu) 800 23,399
Rwe AG (NEU) Series A 27,650 891,593
SAP AG (Systeme Anwendungen
Produkte in der Datenverarbeitung) 16,700 2,567,398
* SGL Carbon AG 700 10,363
Schering AG 10,400 522,481
Siemens AG 45,475 3,317,055
Suedzucker AG 8,100 147,587
ThyssenKrupp AG 27,200 504,078
Volkswagen AG 16,970 845,225
* WCM Beteiligungs AG 11,608 17,115
-----------------
TOTAL -- GERMANY
(Cost $37,343,995) 32,044,782
-----------------
NETHERLANDS -- (4.6%)
COMMON STOCKS -- (4.6%)
ABN-AMRO Holding NV 106,058 2,334,186
AKZO Nobel NV 18,300 634,847
Aegon NV 98,407 1,312,927
Buhrmann NV 6,020 45,752
DSM NV 6,000 276,546
Elsevier NV 47,200 572,588
* Getronics NV 11,878 24,490
Hagemeyer NV 4,866 13,416
Heineken NV 25,462 949,232
IHC Caland NV 1,624 75,922
Ing Groep NV 133,923 2,868,792
KLM (Koninklijke Luchtvaart Mij) NV 2,377 37,583
* Koninklijke Ahold NV 59,558 429,790
* Koninklijke KPN NV 159,376 1,249,453
* Koninklijke Numico NV 9,912 251,893
Koninklijke Philips Electronics NV 85,512 2,429,376
Koninklijke Vendex KBB NV 5,978 77,536
* Norit NV 31,250 590,372
Oce NV 4,991 71,315
Royal Dutch Petroleum Co.,
Den Haag 135,400 6,083,278
TNT Post Groep NV 30,670 661,768
Unilever NV 37,142 2,228,378
VNU NV 16,240 505,955
Vedior NV 9,852 149,158
Wolters Kluwer NV 17,458 264,731
-----------------
TOTAL COMMON STOCKS
(Cost $26,423,627) 24,139,284
-----------------
RIGHTS/WARRANTS -- (0.0%)
* Koninklijke Ahold NV Rights
(Cost $242,263) 59,558 55,687
-----------------
TOTAL -- NETHERLANDS
(Cost $26,665,890) 24,194,971
-----------------
AUSTRALIA -- (4.5%)
COMMON STOCKS -- (4.5%)
AMP, Ltd. 91,391 393,476
Amcor, Ltd. 54,361 324,912
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Ansell, Ltd. 12,403 $ 58,606
Aristocrat Leisure, Ltd. 25,692 35,880
Australia & New Zealand Banking
Group, Ltd. 101,955 1,240,889
* Australia & New Zealand Banking
Group, Ltd. New 17,703 214,694
Australian Gas Light Co. 28,700 222,626
Australian Stock Exchange, Ltd. 5,600 62,849
BHP Billiton, Ltd. 251,046 2,047,272
BHP Steel Ltd. 46,541 168,048
Boral, Ltd. 35,635 128,927
Brambles Industries, Ltd. 60,916 201,440
CSL, Ltd. 10,561 123,723
CSR, Ltd. 55,115 69,393
Coca-Cola Amatil, Ltd. 34,816 153,424
Cochlear, Ltd. 3,100 64,042
Coles Myer, Ltd. 80,217 431,855
Commonwealth Bank of Australia 84,793 1,693,430
Computershare, Ltd. 34,090 79,676
Deutsche Office Trust 44,700 36,226
Foster's Group, Ltd. 148,012 471,246
Futuris Corp., Ltd. 41,185 41,722
General Property Trust 75,385 158,736
Harvey Norman Holdings, Ltd. 61,980 128,267
Iluka Resources, Ltd. 15,365 45,028
Insurance Australiz Group, Ltd. 110,967 335,636
James Hardies Industries NL 30,184 156,601
John Fairfax Holdings, Ltd. 53,773 135,407
Leighton Holdings, Ltd. 15,898 133,674
Lend Lease Corp., Ltd. 27,586 209,593
Lion Nathan, Ltd. 33,100 138,917
Macquarie Bank, Ltd. 14,314 351,951
Macquarie Infrastructure Group 68,847 162,904
Mayne Group, Ltd. 48,877 125,554
Mirvac, Ltd. 45,206 142,947
National Australia Bank, Ltd. 100,764 2,108,638
Newcrest Mining, Ltd. 21,576 199,839
News Corp., Ltd. 87,233 744,205
News Corp., Ltd. Pref Ordinary 179,084 1,262,159
Onesteel, Ltd. 36,025 49,007
Orica, Ltd. 17,211 160,406
Origin Energy, Ltd. 39,246 132,620
Paperlinx, Ltd. 29,331 96,357
# Patrick Corp., Ltd. 11,186 117,285
Publishing and Broadcasting, Ltd. 44,156 372,871
QBE Insurance Group, Ltd. 42,480 313,225
Rinker Group, Ltd. 62,315 263,332
Rio Tinto, Ltd. 24,954 631,443
Santos, Ltd. 38,543 180,167
* Scigen 11,443 654
Sonic Healthcare, Ltd. 16,529 83,962
* Sons of Gwalia, Ltd. 7,201 17,612
Southcorp, Ltd. 49,137 98,133
Stockland Trust Group 30,030 110,821
* Stockland Trust Group Issue 03 1,030 3,727
Suncorp-Metway, Ltd. 35,901 323,425
Tab, Ltd. 27,500 82,183
# Tabcorp Holdings, Ltd. 23,050 186,471
Telstra Corp., Ltd. 430,100 1,534,315
Toll Holdings, Ltd. 19,382 119,491
Transurban Group 31,438 95,544
* WMC Resources, Ltd. 74,453 $ 263,445
WMC, Ltd. 75,646 322,951
Wesfarmers, Ltd. 24,851 507,097
Westfield Holdings, Ltd. 37,309 389,563
* Westfield Trust 2,312 5,655
Westpac Banking Corp. 119,761 1,325,883
Woodside Petroleum, Ltd. 43,999 437,449
Woolworths, Ltd. 68,685 563,603
-----------------
TOTAL COMMON STOCKS
(Cost $18,155,683) 23,593,109
-----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Australian Dollar
(Cost $3,404) 3,438
-----------------
RIGHTS/WARRANTS -- (0.0%)
* AMP, Ltd. Rights 12/09/03
(Cost $0) 90,460 0
-----------------
TOTAL -- AUSTRALIA
(Cost $18,159,087) 23,596,547
-----------------
ITALY -- (3.8%)
COMMON STOCKS -- (3.8%)
* Acea SpA 4,000 23,303
*# Alitalia Linee Aeree Italiane SpA Series A 50,000 16,063
Alleanza Assicurazioni SpA 37,112 386,148
Assicurazioni Generali SpA, Trieste 58,514 1,461,763
* Autogrill SpA, Novara 10,000 132,579
Banca Fideuram SpA 45,000 283,199
Banca Monte Dei Paschi di Siena SpA 112,000 367,865
* Banca Nazionale del Lavoro SpA 100,000 234,351
Banca Popolare di Milano 14,520 86,331
Banco Popolare di Verona e Novara SpA 16,000 263,911
Benetton Group SpA 6,950 89,476
* Bipop-Carire SpA 161,000 126,604
Bulgari SpA 13,000 120,148
* Capitalia SpA 100,360 317,603
Credito Italiano 288,000 1,446,525
* E.Biscom SpA 1,000 65,930
Eni SpA 184,000 3,136,439
Ente Nazionale per L'Energia Elettrica SpA 278,000 1,776,198
* Fiat SpA 34,866 272,920
Finmeccanica SpA 385,000 295,366
Gruppo Editoriale L'espresso SpA 16,000 95,898
Intesabci SpA 271,942 1,023,588
Italcementi SpA 6,680 82,397
Luxottica Group SpA 20,000 351,226
Mediaset SpA 54,000 612,356
Mediobanca SpA 34,000 357,028
Mediolanum SpA 33,000 247,237
Mondadori (Arnoldo) Editore SpA 10,500 87,099
Parmalat Finanziaria SpA 28,600 78,509
* Pirelli & Co. SpA 93,332 88,720
RAS SpA (Riunione Adriatica di Sicurta) 29,303 471,745
SAI SpA (Sta Assicuratrice Industriale), Torino 2,000 35,003
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* SNAM Rete Gas SpA 86,000 $ 338,136
SNIA SpA 23,120 51,410
San Paolo-IMI SpA 66,607 856,720
* Seat Pagine Gialle SpA 8,018 7,766
* Seat Pagine Gialle SpA, Torino 3,041 1,444
Telecom Italia Mobile SpA 387,740 1,993,964
*# Telecom Italia SpA 701,433 2,030,592
* Tiscali SpA 13,000 105,500
-----------------
TOTAL COMMON STOCKS
(Cost $19,376,525) 19,819,060
-----------------
PREFERRED STOCKS -- (0.0%)
* Fiat SpA
(Cost $43,046) 3,000 13,953
-----------------
RIGHTS/WARRANTS -- (0.0%)
* Fiat SpA Warrants 01/31/07
(Cost $0) 1,677 537
-----------------
TOTAL -- ITALY
(Cost $19,419,571) 19,833,550
-----------------
SPAIN -- (3.2%)
COMMON STOCKS -- (3.2%)
Acciona SA 3,400 191,882
Acerinox SA 3,500 161,864
* Antena 3 Television 898 37,751
# Autopistas Concesionaria
Espanola SA 25,253 354,175
Banco Bilbao Vizcaya SA 182,100 2,182,877
Banco Popular Espanol SA, Madrid 12,500 655,403
# Banco Santander Central
Hispanoamerica SA 271,784 2,824,635
* Coporacion Financiera Reunida SA 6,070 69,270
Corporacion Mapfre Compania
Internacional de Reaseguros SA 9,700 125,113
Endesa SA, Madrid 60,300 990,278
Fomento de Construcciones y
Contratas SA 7,080 242,642
Gas Natural SA, Buenos Aires 25,500 525,455
Grupo Dragados SA, Madrid 8,700 181,150
Grupo Ferrovial SA 7,500 226,559
Iberdrola SA 51,300 884,907
Iberia Lineas Aereas de Espana SA 47,600 127,813
Indra Sistemas SA 7,600 91,559
Industria de Diseno Textil SA 35,500 788,539
Metrovacesa SA 3,442 104,842
OCP Construcciones SA, Madrid 3,400 146,765
Promotora de Informaciones SA 11,700 154,276
Repsol SA 69,500 1,213,846
Sociedad General de Aguas de
Barcelona SA 6,192 87,957
* Sociedad General de Aguas de
Barcelona SA Rights 61 866
Sol Melia SA 8,400 59,711
Tabacalera SA 15,900 424,460
* Tele Pizza SA 7,000 11,748
* Telefonica de Espana SA 282,457 3,656,752
Telefonica Publicidad e
Informacion SA 19,300 102,490
Union Fenosa SA 16,300 $ 267,101
Vallehermoso SA 12,700 179,032
*# Zeltia SA 10,500 67,968
-----------------
TOTAL COMMON STOCKS
(Cost $14,527,275) 17,139,686
-----------------
RIGHTS/WARRANTS -- (0.0%)
* Sociedad General de Aguas de
Barcelona SA Rights
(Cost $0) 92 11
-----------------
TOTAL -- SPAIN
(Cost $14,527,275) 17,139,697
-----------------
SWEDEN -- (2.1%)
COMMON STOCKS -- (2.1%)
* Alfa Laval AB 6,100 87,188
Assa Abloy AB Series B 17,200 195,763
Atlas Copco AB Series A 7,200 257,276
Atlas Copco AB Series B 3,600 119,109
Axfood AB 2,700 60,031
Billerud AB 3,200 47,432
Castellum AB 2,200 46,585
Drott Series AB 4,700 82,417
Electrolux AB Series B 18,500 389,289
Eniro AB 8,200 73,252
Gambro AB Series A 11,300 93,468
Gambro AB Series B 2,700 22,333
Getinge AB 9,600 90,205
Hennes & Mauritz AB Series B 40,800 953,033
Hoganas AB Series B 1,300 26,925
Holmen AB Series B 4,300 149,098
* Modern Times Group AB Series B 1,800 36,090
* Netcom AB Series B 6,700 341,824
Nordic Baltic Holdings AB 163,948 1,084,873
OMHEX AB 4,500 50,621
SSAB Swedish Steel Series A 3,500 57,669
SSAB Swedish Steel Series B 1,400 22,141
Sandvik AB 14,200 451,967
Securitas AB Series B 18,700 227,684
Skandia Insurance AB 55,200 186,287
Skandinaviska Enskilda Banken Series A 37,900 494,058
Skanska AB Series B 19,500 161,294
Svenska Cellulosa AB Series B 12,700 489,942
Svenska Handelsbanken Series A 38,400 708,938
Svenska Kullagerfabriken AB Series A 2,300 84,316
Svenska Kullagerfabriken AB Series B 4,600 168,328
Swedish Match AB (Frueher Svenska Taendsticks AB) 18,400 165,588
* Telefon AB L.M. Ericsson Series B 908,800 1,467,341
Telia AB 257,100 1,143,258
Trelleborg AB Series B 4,200 65,034
Volvo AB Series A 7,400 204,193
Volvo AB Series B 16,600 480,023
* WM-Data AB Series B 8,500 17,211
-----------------
TOTAL COMMON STOCKS
(Cost $10,930,903) 10,802,084
-----------------
20
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SHARES VALUE+
-------------- -----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Swedish Krona
(Cost $28,642) $ 32,007
-----------------
TOTAL -- SWEDEN
(Cost $10,959,545) 10,834,091
-----------------
FINLAND -- (1.7%)
COMMON STOCKS -- (1.7%)
Amer-Yhtymae Oyj Series A 1,500 62,753
* Elisa Communications Corp. 8,363 114,785
Fortum Oyj 51,253 513,009
KCI Konecranes International Oyj 700 22,522
Kesko Oyj 6,400 111,242
Kone Corp. 3,800 204,845
Metso Oyj 7,044 82,412
Nokia Oyj 302,166 5,444,074
Nokian Renkaat Oyj 500 39,138
Orion-Yhtyma Oyj Series B 2,000 44,736
Outokumpu Oyj Series A 9,300 124,302
Pohjola Group P.L.C. Series D 2,200 54,168
* Rautaruukki Oyj Series K 8,700 64,138
Sampo Insurance Co., Ltd. 33,600 332,689
Stora Enso Oyj Series R 43,400 584,237
Tietoenator Corp. 2,800 77,869
Upm-Kymmene Oyj 45,800 847,131
Uponor Oyj Series A 2,300 66,859
Wartsila Corp. Oyj Series B 2,900 53,883
-----------------
TOTAL -- FINLAND
(Cost $7,597,096) 8,844,792
-----------------
HONG KONG -- (1.6%)
COMMON STOCKS -- (1.6%)
ASM Pacific Technology, Ltd. 12,000 46,972
Bank of East Asia, Ltd. 63,198 198,554
CLP Holdings, Ltd. 110,400 535,915
Cathay Pacific Airways, Ltd. 146,000 281,987
Cheung Kong Holdings, Ltd. 105,600 832,828
Cheung Kong Infrastructure Holdings, Ltd. 99,000 223,716
Esprit Holdings, Ltd. 54,541 174,165
Giordano International, Ltd. 40,000 17,769
Hang Lung Properties, Ltd. 113,500 140,298
Hang Seng Bank, Ltd. 87,900 1,128,982
Henderson Land Development Co., Ltd. 83,000 332,372
Hong Kong Electric Holdings, Ltd. 93,707 375,247
Hong Kong Exchanges & Clearing, Ltd. 48,000 98,271
Hopewell Holdings, Ltd. 38,000 55,290
Hutchison Whampoa, Ltd. 195,500 1,428,558
Hysan Development Co., Ltd. 41,242 58,945
I-Cable Communications, Ltd. 9,854 2,347
Johnson Electric Holdings, Ltd. 168,000 224,972
Li & Fung, Ltd. 126,000 215,778
New World Development Co., Ltd. 92,043 57,480
* PCCW, Ltd. 235,265 157,524
Shangri-La Asia, Ltd. 99,872 89,375
Sino Land Co., Ltd. 178,200 92,928
Smartone Telecommunications Holdings, Ltd. 23,000 22,359
South China Morning Post (Holdings), Ltd. 39,198 $ 17,918
Sung Hungkai Properties, Ltd. 109,706 882,868
Swire Pacific, Ltd. Series A 42,500 251,728
Techtronic Industries Co., Ltd. 28,000 76,793
Television Broadcasts, Ltd. 20,000 100,434
Texwinca Holdings, Ltd. 60,000 44,036
Wharf Holdings, Ltd. 107,542 268,637
* Yue Yuen Industrial (Holdings), Ltd. 69,000 191,906
-----------------
TOTAL -- HONG KONG
(Cost $9,292,530) 8,626,952
-----------------
BELGIUM -- (1.0%)
COMMON STOCKS -- (1.0%)
AGFA-Gevaert NV, Mortsel 7,300 181,139
Barco (New) NV 400 31,718
Bekaert SA 700 39,186
Cie Martime Belge SA 300 17,765
Cofinimmo SA 200 25,845
Colruyt SA Halle 1,700 159,664
D'Ieteren SA 290 61,739
Delhaize Freres & cie le Lion SA
Molenbeek-Saint Jean 3,600 174,127
Dexia SA 31,800 506,607
Electrabel SA 2,800 822,325
* Exmar NV 300 12,047
Fortis AG 51,779 956,480
Groupe Bruxelles Lambert 2,500 124,637
Interbrew SA 17,200 424,732
KBC Bancassurance Holding SA 15,700 686,929
* Mobistar SA 2,500 130,661
Omega Pharma SA 500 14,079
Solvay SA 4,400 340,989
UCB SA 7,600 243,428
* Umicore-Strip VVPR 55 36
Union Miniere SA 1,155 77,118
-----------------
TOTAL -- BELGIUM
(Cost $5,285,799) 5,031,251
-----------------
SINGAPORE -- (0.8%)
COMMON STOCKS -- (0.8%)
Allgreen Properties, Ltd. 41,000 24,734
Capitaland, Ltd. 115,500 104,518
*# Chartered Semiconductor Manufacturing, Ltd. 112,000 104,599
City Developments, Ltd. 32,000 111,374
Comfortdelgro Corp., Ltd. 81,000 36,179
Creative Technology Co., Ltd. 3,000 31,672
Cycle & Carriage, Ltd. 5,982 20,993
DBS Group Holdings, Ltd. 67,000 544,109
Fraser & Neave, Ltd. 11,100 74,046
Haw Par Brothers International, Ltd. 2,248 5,790
Keppel Corp., Ltd. 32,000 103,021
Keppel Land, Ltd. 22,000 20,419
* Neptune Orient Lines, Ltd. 47,000 57,798
Overseas Chinese Banking Corp., Ltd. 59,300 409,340
Overseas Union Enterprise, Ltd. 6,000 23,493
Parkway Holdings, Ltd. 20,000 10,847
Sembcorp Industries, Ltd. 78,000 57,915
Sembcorp Logistics, Ltd. 39,000 43,210
21
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SHARES VALUE+
-------------- -----------------
Sembcorp Marine, Ltd. 55,000 $ 30,947
Singapore Airlines, Ltd. 56,000 393,058
Singapore Land, Ltd. 11,000 25,013
Singapore Press Holdings 16,000 180,983
Singapore Technologies Engineering, Ltd. 132,000 150,842
Singapore Telecommunications, Ltd. 802,000 832,742
Smrt Corporation, Ltd. 59,000 19,850
*# St Assembly test Services, Ltd. 38,000 46,510
United Overseas Bank, Ltd. 70,000 523,806
United Overseas Land, Ltd. 22,000 23,864
Venture Manufacturing (Singapore), Ltd. 10,000 109,634
Wing Tai Holdings, Ltd. 19,000 8,707
-----------------
TOTAL COMMON STOCKS
(Cost $5,264,075) 4,130,013
-----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Singapore Dollars
(Cost $39,640) 40,252
-----------------
TOTAL -- SINGAPORE
(Cost $5,303,715) 4,170,265
-----------------
DENMARK -- (0.7%)
COMMON STOCKS -- (0.7%)
Bang & Olufsen Holding A.S Series B 290 10,980
Carlsberg A.S. Series B 1,820 75,948
Coloplast A.S. Series B 970 82,206
DSV, De Sammensluttede Vognmaend A.S. 880 34,454
Dampskibsselskabet Svendborg A.S. 147 1,053,957
Danisco A.S. 2,450 100,659
Danske Bank A.S. 33,656 713,073
East Asiatic Co., Ltd. 900 34,367
* FLS Industries 890 9,536
* GN Great Nordic A.S. 9,620 61,068
Group 4 Falck A.S. 3,480 68,685
H. Lundbeck A.S. 11,002 172,831
ISS A.S. 1,763 81,807
Koebenhavns Lufthavne 280 30,902
NKT Holding A.S. 1,100 20,293
* Neg Micon A.S. 2,460 26,555
Novo-Nordisk A.S. Series B 14,150 542,599
Novozymes A.S. Series B 2,830 98,944
* TK Development 614 1,682
Tele Danmark A.S. 10,210 342,164
* Topdanmark A.S. 1,300 65,769
Vestas Wind Systems A.S. 4,400 66,284
* William Demant Holding 3,260 101,373
-----------------
TOTAL COMMON STOCKS
(Cost $3,348,554) 3,796,136
-----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Danish Krone
(Cost $5,953) 6,312
-----------------
TOTAL -- DENMARK
(Cost $3,354,507) 3,802,448
-----------------
IRELAND -- (0.7%)
COMMON STOCKS -- (0.7%)
Allied Irish Banks P.L.C. 62,710 $ 928,374
Bank of Ireland P.L.C. 68,607 847,081
CRH P.L.C. 35,877 667,463
DCC P.L.C. 4,814 63,189
* Elan Corp. P.L.C. 22,161 119,542
Fyffes P.L.C. 17,987 33,205
* Grafton Group P.L.C. 10,992 70,494
Greencore Group P.L.C. 13,193 48,235
Independent News & Media P.L.C. 40,374 97,763
Irish Permanent P.L.C. 18,325 258,108
Kerry Group P.L.C. 11,740 208,984
* Ryanair Holdings P.L.C. 32,702 250,884
Waterford Wedgwood P.L.C. 45,211 15,175
-----------------
TOTAL -- IRELAND
(Cost $3,466,285) 3,608,497
-----------------
NORWAY -- (0.4%)
COMMON STOCKS -- (0.4%)
* Aker Kvaerner ASA 755 12,503
Den Norske Bank ASA Series A 36,500 220,387
* Merkantildata ASA 6,800 4,883
* Nera ASA 6,300 13,388
Norsk Hydro ASA 15,700 898,498
Norske Skogindustrier ASA Series A 5,000 95,993
* Opticom ASA 600 7,518
Orkla ASA Series A 11,471 254,689
Schibsted ASA 2,700 45,901
Smedvig ASA Series A 3,800 25,617
* Statoil Den Norske Stats Oljeselskap ASA 24,085 240,023
* Storebrand ASA 14,500 88,614
* Tandberg ASA Series A 5,600 40,625
Telenor ASA 42,921 258,528
Tomra Systems ASA 9,596 52,238
-----------------
TOTAL -- NORWAY
(Cost $1,958,395) 2,259,405
-----------------
PORTUGAL -- (0.4%)
COMMON STOCKS -- (0.4%)
BPI SGPS SA 44,098 139,554
Banco Comercial Portugues SA 162,985 334,090
Banco Espirito Santo e Comercial de Lisboa 16,320 241,605
Brisa Auto Estradas de Portugal SA 13,500 85,769
Cimpor Cimentos de Portugal SA 30,900 148,162
Electricidade de Portugal SA 117,800 293,716
* Jeronimo Martins (Estabelecimentos
Jeronimo Martins & Filho
Administracao e Participacoes
Financeiros SA) 5,600 59,073
* PT Multimedia Servicos de
Telecomunicacoes e Multimedia
SGPS SA 4,000 72,931
Portugal Telecom SA 62,730 590,289
* Sonae SGPS SA 108,923 91,398
-----------------
TOTAL -- PORTUGAL
(Cost $2,385,068) 2,056,587
-----------------
22
[Enlarge/Download Table]
SHARES VALUE+
-------------- -----------------
GREECE -- (0.3%)
COMMON STOCKS -- (0.3%)
Alpha Credit Bank 7,170 $ 188,915
Athens Water Supply & Sewage Co.S.A. 4,100 31,160
Attica Enterprises S.A. Holdings 3,130 12,982
Bank of Piraeus S.A. 6,510 66,487
Commercial Bank of Greece 2,500 52,684
EFG Eurobank Ergasias S.A. 11,390 191,695
Hellenic Bottling Co. S.A. 9,200 201,376
Hellenic Duty Free Shops S.A. 2,000 35,338
Hellenic Petroleum S.A. 10,100 82,328
Hellenic Technodomiki S.A. 3,900 23,001
Hellenic Tellecommunication
Organization Co. S.A. 20,900 250,533
Intracom S.A. 3,310 21,347
Mailis (M.J.) S.A. 2,800 10,271
National Bank of Greece 10,010 225,826
Panafon Hellenic Telecommunications
Co. S.A. 15,380 113,568
Public Power Corp. of Greece 9,600 217,727
Titan Cement Co. 1,140 43,265
Viohalco 2,800 14,701
-----------------
TOTAL -- GREECE
(Cost $1,631,190) 1,783,204
-----------------
NEW ZEALAND -- (0.2%)
COMMON STOCKS -- (0.2%)
Auckland International Airport, Ltd. 18,875 80,085
Carter Holt Harvey, Ltd. 91,400 103,375
Contact Energy, Ltd. 18,722 65,080
Fisher & Paykel Apppliances Holdings, Ltd. 14,080 34,009
Fisher & Paykel Healthcare Corp. 6,279 48,749
Fletcher Building, Ltd. 27,182 69,997
Independent Newspapers, Ltd. (Auckland) 25,700 82,603
Sky City Entertainment Group, Ltd. 19,414 56,569
* Sky Network Television, Ltd. 17,139 56,949
Telecom Corporation of New Zealand, Ltd. 118,062 392,293
* Tower, Ltd. 25,408 20,457
Warehouse Group, Ltd. 14,200 48,091
-----------------
TOTAL COMMON STOCKS
(Cost $735,788) 1,058,257
-----------------
INVESTMENT IN CURRENCY -- (0.0%)
* New Zealand Dollar
(Cost $30,053) 38,790
-----------------
TOTAL -- NEW ZEALAND
(Cost $765,841) 1,097,047
-----------------
AUSTRIA -- (0.2%)
COMMON STOCKS -- (0.2%)
BWT AG 880 13,914
Bohler Uddeholm AG 480 31,031
Erste Bank der Oesterreichischen
Sparkassen AG 1,259 143,826
Flughafen Wien AG 579 $ 24,639
* Immofinanz Immobilien Anlagen AG 3,422 25,761
Mayr-Melnhof Karton AG 472 50,588
Oesterreichische
Elektrizitaetswirtschafts AG 810 82,678
Omv AG 1,557 220,629
* RHI AG, Wien 778 12,282
* Telekom Austria AG 8,470 98,283
* VA Technologie AG 805 22,378
Voestalpine AG 825 32,586
Wienerberger AG 4,007 101,493
-----------------
TOTAL -- AUSTRIA
(Cost $698,180) 860,088
-----------------
EMU -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
* Euro Currency
(Cost $177,078) 179,750
-----------------
CANADA -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
* Canadian Dollars
(Cost $4,972) 5,825
-----------------
FACE
AMOUNT
--------------
(000)
TEMPORARY CASH
INVESTMENTS -- (6.7%)
Repurchase Agreement, PNC Capital Markets, Inc.
0.82%, 12/01/03 (Collateralized by $11,326,000
FHLB Notes 1.875%, 02/15/05, valued at
$11,410,945) to be repurchased at $11,242,768
(Cost $11,242,000) $ 11,242 11,242,000
Repurchase agreements in a Pooled Cash Account,
Mizuho Securities USA, 1.05%, 12/01/03
(Collateralized by $36,304,000 U.S. Treasury
Obligations, rates ranging from 2.625% to
8.875%, maturities ranging from 11/15/06 to
05/15/29, valued at $24,311,361) to be
repurchased at $24,311,488 (Cost $24,311,361)^ 24,311 24,311,361
-----------------
TOTAL TEMPORARY CASH
INVESTMENTS
(Cost $35,553,361) 35,553,361
-----------------
TOTAL INVESTMENTS-- (100.0%)
(Cost $531,253,506)++ $ 527,085,836
=================
------
+ See Note B to Financial Statements.
^ Security purchased with cash proceeds from securities on loan
* Non-Income Producing Securities
# Total or Partial Securities on Loan
++ The cost for federal income tax purposes is $533,387,789.
See accompanying Notes to Financial Statements.
23
THE DFA INVESTMENT TRUST COMPANY
LARGE CAP INTERNATIONAL PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 2003
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
[Download Table]
ASSETS:
Investments at Value (including $22,960 of securities on loan) $ 527,086
Cash 16
Receivables:
Dividends, Interest and Tax Reclaims 1,187
Fund Shares Sold 589
Securities Lending Income 8
Prepaid Expenses and Other Assets 11
------------
Total Assets 528,897
------------
LIABILITIES:
Payables:
Collateral on Securities Loaned 24,311
Investment Securities Purchased 140
Fund Shares Redeemed 132
Due to Advisor 102
Accrued Expenses and Other Liabilities 89
------------
Total Liabilities 24,774
------------
NET ASSETS $ 504,123
============
SHARES OUTSTANDING, $.01 PAR VALUE
(Authorized 150,000,000) 34,404,746
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 14.65
============
Investments at Cost $ 531,254
============
NET ASSETS CONSIST OF:
Paid-In Capital $ 522,361
Accumulated Net Investment Income (Loss) 7,754
Accumulated Net Realized Gain/(Loss) (21,958)
Accumulated Net Realized Foreign Exchange Gain (Loss) 99
Unrealized Appreciation (Depreciation) of Investment Securities (4,168)
Unrealized Net Foreign Exchange Gain (Loss) 35
------------
Total Net Assets $ 504,123
============
See accompanying Notes to Financial Statements.
24
DFA INVESTMENT DIMENSIONS GROUP INC.
LARGE CAP INTERNATIONAL PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2003
(AMOUNTS IN THOUSANDS)
[Download Table]
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $754) $ 9,336
Interest 121
Income from Securities Lending 252
------------
Total Investment Income 9,709
------------
EXPENSES
Investment Advisory Services 958
Accounting & Transfer Agent Fees 441
Custodian Fees 162
Legal Fees 5
Audit Fees 23
Filing Fees 32
Shareholders' Reports 20
Directors' Fees and Expenses 6
Other 4
------------
Total Expenses 1,651
------------
NET INVESTMENT INCOME (LOSS) 8,058
------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT
SECURITIES AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Foreign Currency Transactions 99
Change in Unrealized Appreciation (Depreciation) of
Investment Securities and Foreign Currency 81,602
Translation of Foreign Currency Denominated Amounts 21
------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY 81,722
------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 89,780
============
See accompanying Notes to Financial Statements.
25
DFA INVESTMENT DIMENSIONS GROUP INC.
LARGE CAP INTERNATIONAL PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
[Enlarge/Download Table]
YEAR YEAR
ENDED ENDED
NOV. 30, NOV. 30,
2003 2002
--------- ---------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 8,058 $ 5,747
Net Realized Gain (Loss) on Investment Securities Sold -- (19,061)
Net Realized Gain (Loss) on Foreign Currency Transactions 99 (2)
Change in Unrealized Appreciation (Depreciation) of Investment Securities
and Foreign Currency 81,602 (27,967)
Translation of Foreign Currency Denominated Amounts 21 24
--------- ---------
Net Increase (Decrease) in Net Assets Resulting from Operations 89,780 (41,259)
--------- ---------
Distributions From:
Net Investment Income (5,772) (5,281)
--------- ---------
Total Distributions (5,772) (5,281)
--------- ---------
Capital Share Transactions (1):
Shares Issued 179,697 169,995
Shares Issued in Lieu of Cash Distributions 5,551 5,227
Shares Redeemed (102,500) (136,186)
--------- ---------
Net Increase (Decrease) from Capital Share Transactions 82,748 39,036
--------- ---------
Total Increase (Decrease) 166,756 (7,504)
NET ASSETS
Beginning of Period 337,367 344,871
--------- ---------
End of Period $ 504,123 $ 337,367
========= =========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 14,472 13,227
Shares Issued in Lieu of Cash Distributions 483 386
Shares Redeemed (8,433) (10,549)
--------- ---------
6,522 3,064
========= =========
See accompanying Notes to Financial Statements.
26
DFA INVESTMENT DIMENSIONS GROUP INC.
LARGE CAP INTERNATIONAL PORTFOLIO
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
[Enlarge/Download Table]
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2003 2002 2001 2000 1999
----------- ----------- ----------- ----------- -----------
Net Asset Value, Beginning of Period $ 12.10 $ 13.90 $ 17.30 $ 19.41 $ 16.28
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.25 0.22 0.25 0.23 0.20
Net Gains (Losses) on Securities (Realized
and Unrealized) 2.51 (1.79) (3.38) (1.96) 3.19
----------- ----------- ----------- ----------- -----------
Total from Investment Operations 2.76 (1.57) (3.13) (1.73) 3.39
----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS
Net Investment Income (0.21) (0.23) (0.22) (0.21) (0.26)
Net Realized Gains -- -- (0.05) (0.17) --
----------- ----------- ----------- ----------- -----------
Total Distributions (0.21) (0.23) (0.27) (0.38) (0.26)
----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Period $ 14.65 $ 12.10 $ 13.90 $ 17.30 $ 19.41
=========== =========== =========== =========== ===========
Total Return 23.32% (11.50)% (18.42)% (9.19)% 21.12%
Net Assets, End of Period (thousands) $ 504,123 $ 337,367 $ 344,871 $ 358,638 $ 268,340
Ratio of Expenses to Average Net Assets 0.43% 0.44% 0.45% 0.47% 0.53%
Ratio of Net Investment Income to Average Net
Assets 2.10% 1.74% 1.65% 1.21% 1.38%
Portfolio Turnover Rate 1% 9% 4% 1% 2%
See accompanying Notes to Financial Statements.
27
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end
management investment company whose shares are offered without a sales charge
generally to institutional investors and clients of registered investment
advisors. The Fund consists of forty portfolios, of which the Large Cap
International Portfolio (the "Portfolio") is presented in this report.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Fund's maximum exposure under these arrangements is unknown
as this would involve future claims that may be made against the Fund and/or its
affiliates that have not yet occurred. However, based on experience, the Fund
expects the risk of loss to be remote.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America for
investment companies. Such policies are consistently followed by the Fund in the
preparation of its financial statements. The preparation of financial statements
in accordance with accounting principles generally accepted in the United States
of America may require management to make estimates and assumptions that affect
the reported amounts and disclosures in the financial statements. Actual results
could differ from those estimates and those differences could be material.
1. Security Valuation: Securities held by the Portfolio which are listed
on a securities exchange are valued at the last quoted sale price. Price
information on listed securities is taken from the exchange where the security
is primarily traded. Unlisted securities for which market quotations are readily
available are valued at the mean between the most recent bid and asked prices.
Securities for which quotations are not readily available are valued in good
faith at fair value using methods approved by the Board of Directors.
The Portfolio values its investment securities at fair value based upon
procedures approved by the Board on days when significant events occur after the
close of the principal exchange on which the securities are traded, and as a
result, are expected to materially affect the value of the investments.
2. Foreign Currency: Securities and other assets and liabilities of the
Portfolio whose values are initially expressed in foreign currencies are
translated to U.S. dollars at the mean price of such currency against U.S.
dollars last quoted by a major bank. Dividend and interest income and certain
expenses are translated to U.S. dollars at the rate of exchange on their
respective accrual dates. Receivables and payables denominated in foreign
currencies are marked to market daily based on daily exchange rates and exchange
gains or losses are realized upon ultimate receipt or disbursement.
The Portfolio does not isolate the effect of fluctuations in foreign
exchange rates from the effect of fluctuations in the market prices of
securities held whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of the Portfolio
and the U.S. dollar equivalent amounts actually received or paid.
3. Deferred Compensation Plan: Each eligible Director of the Fund may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Directors may defer payment of a
percentage of their total fees earned as a Director. These deferred amounts may
be treated as though such amounts had been invested in shares of the following
funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA
International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year
Global Fixed Income Portfolio.
28
Contributions made under the Plan and the change in unrealized appreciation
(depreciation) and income, are included in Directors' Fees and Expenses. At
November 30, 2003, the total liability for deferred compensation to Directors is
included in Accrued Expenses and Other Liabilities in the amount of $5,650.
4. Other: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on an accrual basis. Expenses directly attributable to the
Portfolio are directly charged. Common expenses are allocated using methods
approved by the Board of Directors, generally based on average net assets.
The Portfolio may be subject to taxes imposed by countries in which it
invests, with respect to its investments in issuers existing or operating in
such countries. Such taxes are generally based on income earned or
repatriated and capital gains realized on the sale of such investments. The
Portfolio accrues such taxes when the related income or capital gains are
known. Some countries require governmental approval for the repatriation of
investment income, capital or the proceeds of sales earned by foreign
investors. In addition, if there is deterioration in a country's balance of
payments or for other reasons, a country may impose temporary restrictions on
foreign capital remittances abroad.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Portfolio. The Advisor provides
administrative services including supervision of services provided by others,
providing information to the shareholders and to the Board of Directors, and
other administrative services.
For the year ended November 30, 2003, the Portfolio's advisory fees were
accrued daily and paid monthly to the Advisor at an effective annual rate of
0.25 of 1%.
Certain officers of the Portfolio are also officers, directors and
shareholders of the Advisor.
D. PURCHASES AND SALES OF SECURITIES:
For the year ended November 30, 2003, the Portfolio made the following
purchases and sales of investment securities other than U.S. Government
Securities and short-term securities (amounts in thousands):
[Download Table]
Purchases $ 89,343
Sales 3,082
E. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since the Portfolio
intends to continue to qualify as a regulated investment company under
Subchapter M of the Internal Revenue Code and distribute substantially all of
its taxable income and capital gains to shareholders. Because income tax
regulations differ from accounting principles generally accepted in the United
States of America, the timing and character of income and capital gain
distributions determined in accordance with tax regulations can differ from
income and capital gains recognized for financial reporting purposes.
Accordingly, the character of distributions and the composition of net assets
for tax purposes can differ from those reflected in the financial statements.
These book/tax differences may be temporary or permanent in nature. To the
extent these differences are permanent, they are charged or credited to paid in
capital, accumulated net realized gain (loss) or undistributed net investment
income as appropriate, in the period the differences arise. These
reclassifications have no effect on net assets or net asset value per share.
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
The components of distributable earnings on a tax basis do not differ
materially from book basis distributable earnings, which are disclosed in the
Statements of Assets and Liabilities.
29
At November 30, 2003, gross unrealized appreciation and depreciation for
federal income tax purposes of investment securities and foreign currencies was
as follows (amounts in thousands):
[Download Table]
Gross Unrealized Appreciation $ 69,658
Gross Unrealized Depreciation (75,960)
---------
Net $ 6,302
=========
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at November 30, its fiscal year end. As of November 30,
2003, the Portfolio had a capital loss carryforward for federal income tax
purposes in the amount of approximately $21,144,000, with $2,431,000,
$18,180,000 and $533,000 expiring on November 30, 2009, 2010 and 2011,
respectively.
F. FINANCIAL INSTRUMENTS:
In accordance with the Portfolio's Investment Objectives and Policies, the
Portfolio may invest in certain financial instruments that have off-balance
sheet risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. Repurchase Agreements: The Portfolio may purchase money market
instruments subject to the counterparty's agreement to repurchase them at an
agreed upon date and price. The counterparty will be required on a daily basis
to maintain the value of the collateral subject to the agreement at not less
than the repurchase price (including accrued interest). The agreements are
conditioned upon the collateral being deposited under the Federal Reserve
book-entry system with the Portfolio's custodian or a third party sub-custodian.
In the event of default or bankruptcy by the other party to the agreement,
retention of the collateral may be subject to legal proceedings.
The open repurchase agreement was entered into on November 28, 2003.
2. Foreign Markets Risks. Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States, including the possibility of future political and economic
developments and the level of foreign governmental supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid and
more volatile than the major securities markets in the United States.
Consequently, acquisition and disposition of securities by the Portfolio may be
inhibited.
G. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit with its domestic
custodian bank. Each portfolio is permitted to borrow, subject to its investment
limitations, up to a maximum of $50 million, as long as total borrowings under
the line of credit do not exceed $50 million in the aggregate. Borrowings under
the line of credit are charged interest at the then current federal funds rate
plus 1%. Each portfolio is individually, and not jointly liable for its
particular advances under the line of credit. There is no commitment fee on the
unused portion of the line of credit, since this is not a committed facility.
The agreement for the discretionary line of credit may be terminated at any
time. There were no borrowings under the discretionary line of credit during the
year ended November 30, 2003.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit with its
international custodian bank. Each portfolio is permitted to borrow, subject to
investment limitations, up to a maximum of $150 million, as long as total
borrowings under the line of credit do not exceed $150 million in the aggregate.
Borrowings under the line of credit are charged interest at rates agreed to by
the parties at the time of borrowing. There is no commitment fee on the unused
line of credit. The agreement for the line of credit expires in April 2004.
There were no borrowings by the Portfolio during the year ended November 30,
2003.
30
H. SECURITIES LENDING:
As of November 30, 2003, some of the Fund's portfolios had securities on
loan to broker/dealers, for which each portfolio held cash collateral. Each
portfolio invests the cash collateral, as described below, and records a
liability for the return of the collateral, during the period the securities
are on loan. However, in the event of default or bankruptcy by the other party
to the agreement, realization and/or retention of the collateral may be subject
to legal proceedings. In the event that the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is insufficient
to cover the value of loaned securities and provided such collateral
insufficiency is not the result of investment losses, PNCBank, National
Association, the lending agent, has agreed to pay the amount of the shortfall to
the portfolio or, at the option of the lending agent, to replace the securities.
Each portfolio, along with other portfolios of the Fund, invests the cash
collateral received from securities on loan in a pooled cash account, which
invests in repurchase agreements collateralized by U.S. government securities.
Securities pledged as collateral for repurchase agreements are held by a
custodian bank until the agreements mature.
31
REPORT OF INDEPENDENT CERTIFIED PUBLIC ACCOUNTANTS
TO THE SHAREHOLDERS OF LARGE CAP INTERNATIONAL PORTFOLIO AND
BOARD OF DIRECTORS OF DFA INVESTMENT DIMENSIONS GROUP INC.
In our opinion, the accompanying statement of assets and liabilities, including
the schedule of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of Large Cap International Portfolio
(one of the portfolios constituting DFA Investment Dimensions Group Inc.,
hereafter referred to as the "Portfolio") at November 30, 2003, the results of
its operations for the year then ended, the changes in its net assets for each
of the two years in the period then ended and the financial highlights for each
of the five years in the period then ended, in conformity with accounting
principles generally accepted in the United States of America. These financial
statements and financial highlights (hereafter referred to as "financial
statements") are the responsibility of the Portfolio's management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with auditing standards generally accepted in the United States of America,
which require that we plan and perform the audit to obtain reasonable assurance
about whether the financial statements are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at November 30, 2003 by correspondence with the
custodian, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Fort Lauderdale, Florida
January 15, 2004
32
THE U.S. LARGE COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2003
[Download Table]
SHARES VALUE+
-------------- -----------------
COMMON STOCKS -- (83.7%)
3M Co. 234,000 $ 18,495,360
Abbott Laboratories 467,100 20,645,820
Ace, Ltd. 83,200 3,032,640
*# ADC Telecommunications, Inc. 240,300 591,138
# Adobe Systems, Inc. 69,700 2,880,004
*# Advanced Micro Devices, Inc. 103,700 1,864,526
* AES Corp. 185,200 1,642,724
Aetna, Inc. 45,900 2,955,042
AFLAC, Inc. 153,700 5,528,589
* Agilent Technologies, Inc. 140,900 3,984,652
Air Products & Chemicals, Inc. 67,900 3,255,126
Alberto-Culver Co. Class B 17,600 1,074,832
# Albertson's, Inc. 109,700 2,334,416
Alcoa, Inc. 253,000 8,300,930
* Allegheny Energy, Inc. 37,600 404,200
Allegheny Technologies, Inc. 24,200 198,440
Allergan, Inc. 39,000 2,914,470
* Allied Waste Industries, Inc. 62,600 779,370
# Allstate Corp. 210,400 8,495,952
# Alltel Corp. 93,200 4,232,212
* Altera Corp. 114,300 2,895,219
# Altria Group, Inc. 606,700 31,548,400
Ambac Financial Group, Inc. 32,000 2,200,000
# Amerada Hess Corp. 27,000 1,278,990
# Ameren Corp. 48,400 2,135,892
# American Electric Power Co., Inc. 118,000 3,267,420
# American Express Co. 384,800 17,589,208
*# American Greetings Corp. Class A 19,800 418,176
American International Group, Inc. 780,000 45,201,000
American Power Conversion Corp. 59,000 1,289,740
* American Standard Companies, Inc. 21,600 2,153,520
# AmerisourceBergen Corp. 33,500 2,120,215
* Amgen, Inc. 385,900 22,193,109
AmSouth Bancorporation 104,800 2,514,152
Anadarko Petroleum Corp. 74,500 3,347,285
Analog Devices, Inc. 109,200 5,432,700
*# Andrew Corp. 45,800 539,066
Anheuser-Busch Companies, Inc. 247,200 12,809,904
* Anthem, Inc. 41,300 2,978,556
# AON Corp. 93,500 2,051,390
Apache Corp. 48,400 3,475,120
Apartment Investment & Management Co. Class A 28,100 956,805
* Apollo Group, Inc.(Class A) 52,500 3,624,075
* Apple Computer, Inc. 108,400 2,267,728
Applera Corporation - Applied Biosystems Group 62,500 1,341,875
* Applied Materials, Inc. 495,500 12,040,650
* Applied Micro Circuits Corp. 91,100 588,506
Archer-Daniels Midland Co. 192,800 2,755,112
Ashland, Inc. 20,400 810,696
# AT&T Corp. 235,500 4,669,965
* AT&T Wireless Services, Inc. 811,100 6,083,250
Autodesk, Inc. 33,400 775,548
Automatic Data Processing, Inc. 178,800 6,835,524
* AutoNation, Inc. 82,300 1,446,834
* Autozone, Inc. 26,700 2,554,122
* Avaya, Inc. 124,600 $ 1,694,560
# Avery Dennison Corp. 33,100 1,823,148
Avon Products, Inc. 70,600 4,836,100
B B & T Corp. 161,400 6,352,704
# Baker Hughes, Inc. 100,100 2,888,886
Ball Corp. 16,800 939,960
# Bank of America Corp. 446,900 33,709,667
Bank of New York Co., Inc. 230,300 7,065,604
Bank One Corp. 337,900 14,651,344
Bard (C.R.), Inc. 15,500 1,171,800
Bausch & Lomb, Inc. 15,900 798,657
Baxter International, Inc. 182,000 5,063,240
Bear Stearns Companies, Inc. 29,800 2,159,308
Becton Dickinson & Co. 76,000 3,042,280
* Bed, Bath and Beyond, Inc. 88,400 3,734,016
Bellsouth Corp. 552,300 14,376,369
Bemis Co., Inc. 15,900 723,450
Best Buy Co., Inc. 96,400 5,976,800
* Big Lots, Inc. 34,900 511,634
* Biogen Idec, Inc. 51,405 1,962,643
Biomet, Inc. 76,700 2,743,559
* BJ Services, Co. 47,400 1,511,586
# Black & Decker Corp. 23,200 1,076,248
# Block (H. & R.), Inc. 53,700 2,915,373
* BMC Software, Inc. 68,000 1,130,840
Boeing Co. 251,400 9,651,246
Boise Cascade Corp. 17,500 516,425
* Boston Scientific Corp. 246,000 8,828,940
# Bristol Myers Squibb Co. 579,500 15,269,825
* Broadcom Corp. 88,700 3,231,341
# Brown-Forman Corp. Class B 18,000 1,651,320
Brunswick Corp. 27,100 814,355
Burlington Northern Santa Fe Corp. 111,300 3,313,401
# Burlington Resources, Inc. 60,000 3,012,000
* Calpine Corp. 114,500 488,915
# Campbell Soup Co. 122,700 3,142,347
# Capital One Financial Corp. 67,900 4,054,988
# Cardinal Health, Inc. 133,400 8,156,076
# Carnival Corp. 188,300 6,626,277
# Caterpillar, Inc. 103,200 7,848,360
* Cendant Corp. 303,100 6,716,696
CenterPoint Energy, Inc. 91,400 886,580
# Centex Corp. 18,500 2,023,900
CenturyTel, Inc. 43,100 1,409,370
Charter One Financial, Inc. 67,500 2,242,350
ChevronTexaco Corp. 319,500 23,994,450
* Chiron Corp. 55,700 2,986,634
# Chubb Corp. 56,000 3,665,200
* CIENA Corp. 140,800 996,864
CIGNA Corp. 42,000 2,253,300
# Cincinnati Financial Corp. 48,000 1,945,440
# Cinergy Corp. 53,100 1,940,805
Cintas Corp. 50,900 2,379,066
Circuit City Stores, Inc. 62,400 812,448
*# Cisco Sytems, Inc. 2,098,300 47,547,478
Citigroup, Inc. 1,540,000 72,441,600
*# Citizens Communications Co. 84,900 922,014
*# Citrix Systems, Inc. 49,200 1,181,784
33
[Download Table]
SHARES VALUE+
-------------- -----------------
Clear Channel Communications, Inc. 183,900 $ 7,688,859
# Clorox Co. 64,800 3,040,416
*# CMS Energy Corp. 43,100 340,059
Coca-Cola Co. 734,800 34,168,200
# Coca-Cola Enterprises, Inc. 135,300 2,793,945
Colgate-Palmolive Co. 160,800 8,442,000
* Comcast Corp. Class A 672,800 21,112,464
Comerica, Inc. 52,400 2,732,660
# Computer Associates International, Inc. 173,000 4,030,900
* Computer Sciences Corp. 55,900 2,314,260
* Compuware Corp. 114,400 654,368
*# Comverse Technology, Inc. 56,300 1,082,649
Conagra, Inc. 160,500 3,932,250
* Concord EFS, Inc. 145,500 1,671,795
# ConocoPhilips 203,300 11,535,242
# Consolidated Edison, Inc. 67,300 2,712,190
Constellation Energy Group 49,900 1,878,236
* Convergys Corp. 42,700 655,018
Cooper Industries, Ltd. 27,600 1,480,740
Cooper Tire & Rubber Co. 22,100 442,221
Coors (Adolph) Co. Class B 10,900 600,699
*# Corning, Inc. 398,100 4,562,226
* Costco Wholesale Corp. 136,700 4,896,594
Countrywide Financial Corp. 40,600 4,287,360
Crane Co. 17,700 514,893
CSX Corp. 64,000 2,168,960
# Cummins, Inc. 12,400 575,980
CVS Corp. 118,000 4,420,280
# Dana Corp. 44,400 717,948
# Danaher Corp. 45,700 3,802,240
# Darden Restaurants, Inc. 49,100 1,016,861
# Deere & Co. 71,600 4,384,068
*# Dell, Inc. 767,800 26,489,100
Delphi Automotive Systems Corp. 167,500 1,470,650
# Delta Air Lines, Inc. 37,000 463,980
Deluxe Corp. 15,900 655,080
Devon Energy Corp. 69,400 3,425,584
# Dillards, Inc. Class A 25,000 421,250
Disney (Walt) Co. 611,100 14,110,299
Dollar General Corp. 99,700 2,105,664
# Dominion Resources, Inc. 96,600 5,822,082
# Donnelley (R.R.) & Sons Co. 33,900 951,234
Dover Corp. 60,500 2,322,595
# Dow Chemical Co. 274,600 10,311,230
# Dow Jones & Co., Inc. 24,300 1,205,280
# DTE Energy Co. 50,300 1,896,813
Duke Energy Corp. 270,400 4,878,016
DuPont (E.I.) de Nemours & Co., Inc. 297,900 12,350,934
*# Dynegy, Inc. 112,000 448,000
Eastman Chemical Co. 23,100 823,977
# Eastman Kodak Co. 85,700 2,087,652
# Eaton Corp. 22,500 2,317,275
* eBay, Inc. 192,000 10,723,200
Ecolab, Inc. 77,700 2,037,294
* Edison International 97,500 1,990,950
# El Paso Corp. 179,500 1,274,450
* Electronic Arts, Inc. 88,000 3,892,240
# Electronic Data Systems Corp. 143,400 3,100,308
*# EMC Corp. 655,800 9,010,692
Emerson Electric Co. 125,900 7,684,936
Engelhard Corp. 37,500 $ 1,118,250
Entergy Corp. 68,100 3,599,766
EOG Resources, Inc. 34,300 1,438,542
Equifax, Inc. 42,000 992,460
Equity Office Properties Trust 119,300 3,308,189
Equity Residential Corp. 81,900 2,404,584
Exelon Corp. 97,500 6,027,450
*# Express Scripts, Inc. Class A 23,500 1,521,155
Exxon Mobil Corp. 1,984,200 71,768,514
Family Dollar Stores, Inc. 51,400 1,983,012
Federal Home Loan Mortgage Corporation 208,100 11,324,802
Federal National Mortgage Association 291,100 20,377,000
Federated Department Stores, Inc. 55,400 2,719,586
Federated Investors, Inc. 32,500 934,375
FedEx Corp. 89,200 6,484,840
# Fifth Third Bancorp 170,400 9,905,352
First Data Corp. 221,300 8,376,205
# First Tennessee National Corp. 37,700 1,681,420
FirstEnergy Corp. 97,400 3,374,910
* Fiserv, Inc. 57,800 2,167,500
FleetBoston Financial Corp. 314,600 12,772,760
# Fluor Corp. 24,400 894,504
# Ford Motor Co. 547,700 7,229,640
*# Forest Laboratories, Inc. 109,100 5,961,224
Fortune Brands, Inc. 43,400 2,965,088
FPL Group, Inc. 54,900 3,488,895
Franklin Resources, Inc. 75,000 3,587,250
# Freeport McMoran Copper & Gold, Inc. Class B 50,300 2,189,559
Gannett Co., Inc. 80,700 6,988,620
# Gap, Inc. 267,100 5,742,650
* Gateway, Inc. 96,900 432,174
General Dynamics Corp. 59,000 4,771,330
General Electric Co. 2,995,200 85,872,384
# General Mills, Inc. 111,400 5,014,114
# General Motors Corp. 167,600 7,169,928
# Genuine Parts Co. 52,000 1,636,960
* Genzyme Corp. 66,400 3,103,536
# Georgia-Pacific Corp. 75,900 2,071,311
Gillette Co. 304,900 10,284,277
Golden West Financial Corp. 45,500 4,590,950
Goodrich (B.F.) Co. 35,100 965,601
*# Goodyear Tire & Rubber Co. 52,400 353,700
Grainger (W.W.), Inc. 27,300 1,262,898
# Great Lakes Chemical Corp. 15,100 342,921
Guidant Corp. 92,100 5,228,517
# Halliburton Co. 131,000 3,058,850
# Harley-Davidson, Inc. 90,500 4,268,885
# Harrahs Entertainment, Inc. 32,900 1,574,923
# Hartford Financial Services Group, Inc. 84,400 4,642,000
# Hasbro, Inc. 51,900 1,147,509
HCA, Inc. 149,400 6,261,354
# Health Management Associates, Inc. 71,700 1,842,690
# Heinz (H.J.) Co. 105,200 3,797,720
* Hercules, Inc. 33,200 333,328
Hershey Foods Corp. 39,000 3,030,300
Hewlett-Packard Co. 912,800 19,798,632
# Hilton Hotels Corp. 112,900 1,847,044
34
[Download Table]
SHARES VALUE+
-------------- -----------------
# Home Depot, Inc. 687,100 $ 25,257,796
Honeywell International, Inc. 257,100 7,633,299
* Humana, Inc. 48,400 1,080,772
Huntington Bancshares, Inc. 68,300 1,501,917
Illinois Tool Works, Inc. 92,100 7,193,010
# IMS Health, Inc. 71,500 1,646,645
Ingersoll-Rand Co., Ltd. Class A 51,100 3,185,574
# Intel Corp. 1,946,300 65,064,809
# International Business Machines Corp. 517,200 46,827,288
# International Flavors & Fragrances, Inc. 28,200 915,654
International Game Technology 103,200 3,580,008
# International Paper Co. 143,300 5,332,193
* Interpublic Group of Companies, Inc. 117,000 1,667,250
* Intuit, Inc. 61,400 3,087,192
ITT Industries, Inc. 27,600 1,819,392
* Jabil Circuit, Inc. 59,500 1,636,845
Janus Capital Group, Inc. 71,600 995,956
*# JDS Uniphase Corp. 427,600 1,470,944
Jefferson-Pilot Corp. 42,500 2,062,525
John Hancock Financial Services, Inc. 86,500 3,178,875
# Johnson & Johnson 887,300 43,735,017
Johnson Controls, Inc. 26,700 2,922,048
Jones Apparel Group, Inc. 37,900 1,307,550
JP Morgan Chase & Co. 608,900 21,530,704
KB Home Corp. 14,100 971,208
Kellogg Co. 122,000 4,363,940
Kerr-McGee Corp. 30,100 1,263,899
KeyCorp 125,900 3,498,761
KeySpan Corp. 47,500 1,673,425
Kimberly Clark Corp. 151,400 8,208,908
Kinder Morgan, Inc. 36,900 2,011,050
* King Pharmaceuticals, Inc. 72,100 930,811
* KLA-Tencor Corp. 56,900 3,334,909
Knight Ridder, Inc. 24,000 1,785,120
* Kohls Corp. 101,500 4,904,480
* Kroger Co. 224,700 4,237,842
Leggett and Platt, Inc. 57,500 1,169,550
# Lehman Brothers Holdings, Inc. 82,200 5,935,662
* Lexmark International Group, Inc. 38,300 2,964,420
Lilly (Eli) & Co. 335,700 23,015,592
Limited Brands, Inc. 155,900 2,793,728
Lincoln National Corp. 53,200 2,085,972
Linear Technology Corp. 93,600 4,037,904
Liz Claiborne, Inc. 32,600 1,141,326
# Lockheed Martin Corp. 134,800 6,192,712
Loews Corp. 55,400 2,361,702
* Louisiana-Pacific Corp. 31,300 566,217
Lowe's Companies, Inc. 234,200 13,653,860
* LSI Logic Corp. 113,200 1,060,684
*# Lucent Technologies, Inc. 1,243,800 3,980,160
Manor Care, Inc. 26,600 939,512
Marathon Oil Corp. 92,700 2,744,847
Marriott International, Inc. Class A 69,700 3,194,351
Marsh & McLennan Co., Inc. 159,300 7,079,292
Marshall & Isley Corp. 67,900 2,519,090
Masco Corp. 140,500 3,821,600
*# Mattel, Inc. 131,300 2,657,512
Maxim Integrated Products, Inc. 97,100 5,056,968
# May Department Stores Co. 86,300 2,558,795
Maytag Corp. 23,500 $ 621,340
MBIA, Inc. 43,400 2,522,408
MBNA Corp. 382,000 9,366,640
McCormick & Co., Inc. 41,800 1,199,242
# McDonalds Corp. 380,400 9,749,652
McGraw-Hill Companies, Inc. 57,200 3,918,200
McKesson Corp. 86,900 2,537,480
MeadWestavco Corp. 59,900 1,528,648
* Medco Health Solutions, Inc. 80,900 2,947,187
* Medimmune, Inc. 74,600 1,775,480
Medtronic, Inc. 363,800 16,443,760
Mellon Financial Corp. 128,700 3,706,560
Merck & Co., Inc. 669,300 27,173,580
*# Mercury Interactive Corp. 25,800 1,207,440
Meredith Corp. 14,900 713,561
# Merrill Lynch & Co., Inc. 279,500 15,861,625
# MetLife, Inc. 227,300 7,430,437
# MGIC Investment Corp. 29,400 1,556,730
*# Micron Technology, Inc. 182,300 2,371,723
Microsoft Corp. 3,232,900 83,085,530
* Millipore Corp. 14,600 625,026
Molex, Inc. 57,100 1,836,336
Monsanto Co. 78,300 2,123,496
* Monster Worldwide, Inc. 33,600 808,416
Moody's Corp. 44,600 2,554,688
Morgan Stanley Dean Witter & Co. 325,200 17,977,056
Motorola, Inc. 695,700 9,767,628
* Nabors Industries, Ltd. 43,800 1,625,856
National City Corp. 183,600 6,159,780
* National Semiconductor Corp. 54,900 2,455,128
*# Navistar International Corp. 20,400 879,240
* NCR Corp. 28,300 987,670
* Network Appliance Corp. 102,200 2,361,842
New York Times Class A 44,700 2,051,730
# Newell Rubbermaid, Inc. 82,100 1,877,627
Newmont Mining Corp. 129,200 6,219,688
* Nextel Communications Corp. Class A 309,600 7,842,168
Nicor, Inc. 13,200 432,564
Nike, Inc. Class B 78,800 5,299,300
NiSource, Inc. 78,500 1,628,875
* Noble Corp. 39,900 1,379,742
Nordstrom, Inc. 40,500 1,397,250
Norfolk Southern Corp. 116,700 2,498,547
# North Fork Bancorporation, Inc. 45,400 1,812,822
Northern Trust Corp. 66,100 2,964,585
# Northrop Grumman Corp. 54,700 5,066,861
* Novell, Inc. 111,000 1,054,500
* Novellus Systems, Inc. 45,200 1,977,952
Nucor Corp. 23,400 1,312,974
* Nvidia Corp. 47,600 1,006,740
Occidental Petroleum Corp. 114,400 4,196,192
* Office Depot, Inc. 92,700 1,469,295
Omnicom Group, Inc. 56,800 4,524,688
*# Oracle Systems Corp. 1,564,700 18,792,047
Paccar, Inc. 34,800 2,791,308
* Pactiv Corp. 47,100 1,056,924
Pall Corp. 37,200 953,064
* Parametric Technology Corp. 79,500 271,890
# Parker-Hannifin Corp. 35,300 1,941,147
Paychex, Inc. 112,600 4,331,722
# Penney (J.C.) Co., Inc. 81,200 2,020,256
35
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SHARES VALUE+
-------------- -----------------
Peoples Energy Corp. 10,900 $ 438,180
*# Peoplesoft, Inc. 108,800 2,301,120
# Pepsi Bottling Group, Inc. 80,000 1,846,400
Pepsico, Inc. 515,900 24,825,108
PerkinElmer, Inc. 37,900 640,889
Pfizer, Inc. 2,327,800 78,097,690
* PG&E Corp.(Holding Co.) 123,100 3,092,272
* Phelps Dodge Corp. 26,600 1,693,888
Pinnacle West Capital Corp. 27,300 1,074,801
Pitney Bowes, Inc. 70,000 2,782,500
# Plum Creek Timber Co., Inc. 54,700 1,456,661
* PMC Sierra, Inc. 50,900 1,036,833
* Power-One, Inc. 24,800 209,064
PPG Industries, Inc. 50,700 2,964,429
# PPL Corp. 52,900 2,162,552
Praxair, Inc. 48,700 3,495,686
Principal Financial Group, Inc. 96,700 3,201,737
# Procter & Gamble Co. 387,600 37,302,624
Progress Energy, Inc. 72,800 3,190,096
# Progressive Corp. 64,900 5,068,690
ProLogis 53,700 1,637,850
* Providian Financial Corp. 86,800 980,840
Prudential Financial, Inc. 163,100 6,378,841
Public Service Enterprise Group, Inc. 67,700 2,777,054
Pulte Homes Inc. 18,400 1,757,936
* Q Logic Corp. 28,200 1,602,606
# Qualcomm, Inc. 237,300 10,571,715
* Quest Diagnostics, Inc. 31,400 2,291,258
* Qwest Communications International, Inc. 506,800 1,854,888
*# Radioshack Corp. 49,500 1,541,925
Raytheon Co. 123,700 3,427,727
Reebok International, Ltd. 17,700 712,248
Regions Financial Corp. 66,600 2,471,526
# RJ Reynolds Tobacco Holdings, Inc. 25,200 1,391,040
*# Robert Half International, Inc. 50,900 1,133,034
# Rockwell Collins, Inc. 53,600 1,441,304
Rockwell International Corp. 55,200 1,835,400
Rohm & Haas Co. 66,500 2,669,975
* Rowan Companies, Inc. 28,100 594,877
Ryder System, Inc. 18,900 589,491
# Sabre Holdings Corp. 43,000 896,550
Safeco Corp. 41,300 1,545,859
* Safeway, Inc. 132,000 2,739,000
* Saint Jude Medical, Inc. 51,400 3,255,676
Saint Paul Companies, Inc. 68,100 2,526,510
* Sanmina Corp. 152,400 1,857,756
# Sara Lee Corp. 232,400 4,775,820
# SBC Communications, Inc. 993,600 23,131,008
Schering-Plough Corp. 439,200 7,049,160
Schlumberger, Ltd. 174,200 8,173,464
Schwab (Charles) Corp. 404,900 4,696,840
Scientific-Atlanta, Inc. 44,500 1,285,160
*# Sealed Air Corp. 25,400 1,340,358
# Sears, Roebuck & Co. 84,500 4,661,020
# Sempra Energy 66,900 1,894,608
# Sherwin-Williams Co. 43,700 1,417,191
* Siebel Systems, Inc. 147,700 1,946,686
# Sigma-Aldrich Corp. 21,100 1,130,327
# Simon Property Group, Inc. 57,500 2,728,375
SLM Corp. 134,800 $ 5,005,124
Snap-On, Inc. 17,500 525,350
* Solectron Corp. 248,100 1,451,385
Southern Co. 217,800 6,375,006
SouthTrust Corp. 100,900 3,243,935
# Southwest Airlines Co. 234,000 4,207,320
# Sprint Corp. 270,000 4,047,300
* Sprint Corp.(PCS Group) 309,200 1,419,228
Stanley Works 25,500 834,105
* Staples, Inc. 146,500 3,977,475
*# Starbucks Corp. 116,900 3,748,983
# Starwood Hotels and Resorts Worldwide, Inc. 60,100 2,071,647
State Street Corp. 99,500 5,070,520
Stryker Corp. 59,500 4,819,500
* Sun Microsystems, Inc. 965,500 4,122,685
* Sungard Data Systems, Inc. 85,200 2,302,104
# Sunoco, Inc. 23,000 1,104,230
Suntrust Banks, Inc. 84,100 5,975,305
# Supervalu, Inc. 40,000 1,032,800
*# Symantec Corp. 90,600 2,974,398
Symbol Technologies, Inc. 68,900 961,155
Synovus Financial Corp. 90,000 2,579,400
# Sysco Corp. 194,200 7,053,344
# T.Rowe Price Group, Inc. 37,000 1,555,480
Target Corp. 272,300 10,543,456
# Teco Energy, Inc. 56,100 728,178
Tektronix, Inc. 25,400 699,770
* Tellabs, Inc. 123,400 987,200
# Temple-Inland, Inc. 16,200 915,786
* Tenet Healthcare Corp. 138,600 2,024,946
* Teradyne, Inc. 56,400 1,419,588
# Texas Instruments, Inc. 517,500 15,400,800
# Textron, Inc. 40,500 2,018,520
# The Goldman Sachs Group, Inc. 141,800 13,624,144
* Thermo-Electron Corp. 48,500 1,159,150
# Thomas & Betts Corp. 17,500 364,000
# Tiffany & Co. 43,400 1,968,190
* Time Warner, Inc. 1,349,100 21,963,348
TJX Companies, Inc. 152,600 3,447,234
Torchmark Corp. 34,100 1,503,810
*# Toys R Us, Inc. 63,800 749,012
* Transocean, Inc. 95,600 1,852,728
Travelers Property Casualty Corp. Series B 300,900 4,694,040
Tribune Co. 93,800 4,582,130
Tupperware Corp. 17,500 269,675
# TXU Corp. 96,300 2,132,082
# Tyco International, Ltd. 597,100 13,703,445
U.S.Bancorp 575,900 15,958,189
# Union Pacific Corp. 76,200 4,852,416
Union Planters Corp. 58,600 2,022,286
*# Unisys Corp. 98,400 1,605,888
# United Parcel Service, Inc. 336,500 24,487,105
# United States Steel Corp. 30,900 767,865
United Technologies Corp. 140,200 12,015,140
Unitedhealth Group, Inc. 178,300 9,610,370
*# Univision Communications, Inc. Class A 96,300 3,474,504
# Unocal Corp. 77,300 2,456,594
UnumProvident Corp. 88,500 1,321,305
36
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SHARES VALUE+
-------------- -----------------
UST, Inc. 49,800 $ 1,792,302
* Veritas Software Co. 127,300 4,840,073
Verizon Communications, Inc. 824,100 27,005,757
VF Corp. 32,200 1,328,894
# Viacom, Inc. Class B 525,000 20,643,000
# Visteon Corp. 39,100 306,935
Vulcan Materials Co. 30,300 1,347,441
Wachovia Corp. 398,300 18,222,225
# Walgreen Co. 306,400 11,278,584
Wal-Mart Stores, Inc. 1,306,200 72,676,968
# Washington Mutual, Inc. 276,100 12,648,141
# Waste Management, Inc. 177,000 5,205,570
* Waters Corp. 36,800 1,176,864
* Watson Pharmaceuticals, Inc. 32,300 1,522,622
* Wellpoint Health Networks, Inc. 43,900 4,104,211
Wells Fargo & Co. 502,200 28,791,126
Wendy's International, Inc. 33,900 1,316,337
Weyerhaeuser Co. 65,500 3,733,500
# Whirlpool Corp. 20,600 1,407,392
Williams Companies, Inc. 154,900 1,452,962
Winn-Dixie Stores, Inc. 42,200 381,066
Worthington Industries, Inc. 25,700 368,024
# Wrigley (Wm.) Jr. Co 67,300 3,709,576
Wyeth 398,100 15,685,140
XCEL Energy, Inc. 119,100 1,988,970
* Xerox Corp. 236,400 2,879,352
* Xilinx, Inc. 101,900 3,830,421
# XL Capital, Ltd. 40,800 3,068,160
*# Yahoo!, Inc. 194,200 $ 8,346,716
* Yum! Brands, Inc. 87,800 3,028,222
* Zimmer Holdings, Inc. 67,800 4,469,376
Zions Bancorp 26,900 1,658,923
-----------------
TOTAL COMMON STOCKS
(Cost $2,433,299,579) 2,926,111,543
-----------------
FACE
AMOUNT
--------------
(000)
TEMPORARY CASH
INVESTMENTS -- (16.3%)
Repurchase Agreement, PNC Capital Markets
Inc. 0.82% 12/01/03 (collateralized by
$65,802,000 FMC Discount Notes 1.11%,
03/25/04, valued at $65,555,243) to be
repurchased at $64,590,413 (Cost $64,586,000) $ 64,586 64,586,000
Repurchase agreements in a Pooled Cash
Account, UBS Warburg and Deutsche Bank
Securities Inc., 1.01% and 1.02%
respectively, 12/01/03 (Collateralized by
$407,137,000 U.S. Treasury Obligations, rates
ranging from 5.50% to 8.875%, maturities
ranging from 08/15/04 to 05/15/30, valued at
$503,698,795) to be repurchased at
$490,835,464 (Cost $490,793,933)^ 490,794 490,793,933
-----------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $555,379,933) 555,379,933
-----------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,988,679,512)++ $ 3,481,491,476
=================
----------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Total or Partial Securities on Loan
^ Security purchased with cash proceeds from securities on loan
++ The cost for federal income tax purposes is $3,129,062,752.
See accompanying Notes to Financial Statements.
37
THE U.S. LARGE CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2003
[Download Table]
SHARES VALUE+
-------------- -----------------
COMMON STOCKS (82.2%)
* 3COM Corp. 606,100 $ 4,533,628
A. G. Edwards, Inc. 17,500 642,950
* Advanced Micro Devices, Inc. 504,800 9,076,304
Aetna, Inc. 539,626 34,741,122
*# Agere Systems, Inc. Class A 8,652 30,628
* Agere Systems, Inc. Class B 212,364 717,790
* Agilent Technologies, Inc. 50,600 1,430,968
Albertson's, Inc. 486,800 10,359,104
* Allegheny Corp. 17,583 3,622,098
Alliant Energy Corp. 212,900 5,205,405
* Allied Waste Industries, Inc. 205,800 2,562,210
Allstate Corp. 1,179,300 47,620,134
Ambac Financial Group, Inc. 23,200 1,595,000
# Amerada Hess Corp. 158,200 7,493,934
American Financial Group, Inc. 177,400 4,349,848
American National Insurance Co. 46,700 3,919,531
*# American Tower Corp. 119,400 1,358,772
*# Americredit Corp. 224,000 3,012,800
Anadarko Petroleum Corp. 441,600 19,841,088
Apache Corp. 64,995 4,666,641
* Apple Computer, Inc. 197,300 4,127,516
* Applied Micro Circuits Corp. 213,200 1,377,272
Archer-Daniels Midland Co. 2,375,260 33,942,465
*# Arrow Electronics, Inc. 308,200 7,205,716
Ashland, Inc. 297,600 11,826,624
# Astoria Financial Corp. 40,500 1,513,890
AT&T Corp. 1,246,380 24,715,715
* AT&T Wireless Services, Inc. 5,137,837 38,533,777
* AutoNation, Inc. 2,057,600 36,172,608
* Avnet, Inc. 187,800 4,005,774
AVX Corp. 125,400 1,893,540
Bank of Hawaii Corp. 337,800 13,968,030
*# Barnes & Noble, Inc. 13,000 431,340
Bausch & Lomb, Inc. 11,800 592,714
Bear Stearns Companies, Inc. 373,770 27,083,374
Belo Corp. Class A 324,200 9,210,522
* Big Lots, Inc. 253,500 3,716,310
# Blockbuster, Inc. Class A 23,300 397,964
Boise Cascade Corp. 213,400 6,297,434
* Borders Group, Inc. 34,000 764,320
Borg-Warner, Inc. 100,800 7,963,200
# Bowater, Inc. 168,400 6,887,560
Brunswick Corp. 297,600 8,942,880
Burlington Northern Santa Fe Corp. 1,283,000 38,194,910
* Cavco Industries, Inc. 11,450 269,075
* Cendant Corp. 311,800 6,909,488
* CheckFree Corp. 56,200 1,552,244
Chubb Corp. 108,900 7,127,505
* CIENA Corp. 164,600 1,165,368
# Cincinnati Financial Corp. 551,580 22,355,537
Circuit City Stores, Inc. 332,000 4,322,640
Clear Channel Communications, Inc. 710,900 29,722,729
* CNA Financial Corp. 635,600 14,866,684
# Coca-Cola Enterprises, Inc. 1,785,400 36,868,510
* Comcast Corp. Class A 1,585,448 49,751,358
*# Comcast Corp. Special Class A
Non-Voting 927,100 27,952,065
Commerce Group, Inc. 93,100 $ 3,724,931
Commercial Federal Corp. 98,900 2,670,300
* Compuware Corp. 35,800 204,776
*# Comverse Technology, Inc. 111,500 2,144,145
ConocoPhilips 220,400 12,505,496
*# Corning, Inc. 998,300 11,440,518
Countrywide Financial Corp. 410,000 43,296,000
*# Cox Communications, Inc. 1,000,000 33,900,000
*# Crown Castle International Corp. 352,900 4,379,489
CSX Corp. 577,800 19,581,642
# Cummins, Inc. 143,100 6,646,995
Curtiss-Wright Corp-Cl B W/I 13,565 1,105,548
# Dana Corp. 510,700 8,258,019
# Delta Air Lines, Inc. 402,500 5,047,350
# Diamond Offshore Drilling, Inc. 237,900 4,175,145
# Dillards, Inc. Class A 48,900 823,965
Disney (Walt) Co. 906,600 20,933,394
Eastman Chemical Co. 108,200 3,859,494
# Electronic Data Systems Corp. 570,200 12,327,724
* Fairchild Semiconductor Corp. Class A 86,300 2,243,800
Federated Department Stores, Inc. 618,200 30,347,438
First American Financial Corp. 106,500 3,152,400
First Citizens Bancshares, Inc. 10,300 1,137,017
FleetBoston Financial Corp. 331,300 13,450,780
Florida East Coast Industries, Inc. 68,139 2,078,240
# Foot Locker, Inc. 175,000 3,867,500
# Ford Motor Co. 2,964,200 39,127,440
# General Motors Corp. 1,112,300 47,584,194
* General Motors Corp. Class H 826,438 13,718,871
# Georgia-Pacific Corp. 462,300 12,616,167
*# Goodyear Tire & Rubber Co. 203,900 1,376,325
Harris Corp. 151,400 5,869,778
Hartford Financial Services Group, Inc. 400,800 22,044,000
* Hearst-Argyle Television, Inc. 238,600 5,857,630
Helmerich & Payne, Inc. 146,800 3,537,880
Hibernia Corp. 274,500 6,272,325
# Hollinger International, Inc. Class A 268,700 4,275,017
# Horton (D.R.), Inc. 589,215 25,748,696
*# Human Genome Sciences, Inc. 23,900 305,920
* Humana, Inc. 618,900 13,820,037
Ikon Office Solutions, Inc. 7,300 61,831
Independence Community Bank Corp. 12,500 462,250
* Ingram Micro, Inc. 269,200 3,924,936
* Instinet Group, Inc. 15,200 81,472
* InterActiveCorp 394,400 12,956,040
# International Paper Co. 1,215,775 45,238,988
*# Invitrogen Corp. 50,100 3,415,317
*# JDS Uniphase Corp. 1,095,700 3,769,208
John Hancock Financial Services, Inc. 358,800 13,185,900
JP Morgan Chase & Co. 2,244,400 79,361,984
Kerr-McGee Corp. 138,200 5,803,018
KeyCorp 941,600 26,167,064
Labranche & Co., Inc. 19,700 162,919
LaFarge North America, Inc. 257,500 9,810,750
38
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SHARES VALUE+
-------------- -----------------
* Lear Corp. 110,900 $ 6,558,626
* Level 3 Communications, Inc. 195,500 1,071,340
* Liberty Media Corp. 4,139,400 45,740,370
Lincoln National Corp. 334,400 13,111,824
Loews Corp. 636,800 27,146,784
* LSI Logic Corp. 425,400 3,985,998
Lubrizol Corp. 182,000 5,483,660
*# Lucent Technologies, Inc. 1,193,800 3,820,160
# Lyondell Chemical Co. 447,200 6,636,448
Mandalay Resort Group 234,400 10,067,480
Marathon Oil Corp. 911,450 26,988,035
# May Department Stores Co. 63,100 1,870,915
MBIA, Inc. 248,850 14,463,162
MeadWestavco Corp. 758,431 19,355,159
MetLife, Inc. 1,376,400 44,994,516
*# Metro-Goldwyn-Mayer, Inc. 261,100 4,308,150
# MGIC Investment Corp. 116,900 6,189,855
*# MGM Grand, Inc. 238,300 8,931,484
*# Micron Technology, Inc. 597,900 7,778,679
*# Mony Group, Inc. 51,200 1,613,824
Nationwide Financial Services, Inc. 81,500 2,660,160
* NCR Corp. 12,300 429,270
Norfolk Southern Corp. 1,537,600 32,920,016
# Northrop Grumman Corp. 320,271 29,666,703
* Novell, Inc. 74,600 708,700
Nucor Corp. 15,000 841,650
Occidental Petroleum Corp. 650,800 23,871,344
# Odyssey Re Holdings Corp. 22,300 510,447
Old Republic International Corp. 334,275 12,388,232
Omnicare, Inc. 30,900 1,233,528
* Owens-Illinois, Inc. 264,400 2,982,432
* Pacificare Health Systems, Inc. 25,000 1,627,750
* Pactiv Corp. 342,600 7,687,944
* PanAmSat Corp. 250,100 5,524,709
*# Park Place Entertainment Corp. 802,900 8,398,334
Peabody Energy Corp. 54,600 1,840,020
# Penney (J.C.) Co., Inc. 1,120,000 27,865,600
PepsiAmericas, Inc. 192,000 3,012,480
* Phelps Dodge Corp. 287,085 18,281,573
# PMI Group, Inc. 121,700 4,530,891
* Pride International, Inc. 253,400 4,041,730
Principal Financial Group, Inc. 424,200 14,045,262
Protective Life Corp. 91,500 3,005,775
* Providian Financial Corp. 368,300 4,161,790
Pulte Homes Inc. 124,200 11,866,068
Questar Corp. 251,000 8,564,120
* Qwest Communications International, Inc. 2,000,600 7,322,196
Radian Group, Inc. 155,200 7,659,120
* Radio One, Inc. 5,000 87,800
Rayonier, Inc. 147,781 5,479,738
Raytheon Co. 1,084,000 30,037,640
Reinsurance Group of America, Inc. 64,100 2,381,315
*# Rite Aid Corp. 969,800 5,964,270
# RJ Reynolds Tobacco Holdings, Inc. 251,326 13,873,195
Ryder System, Inc. 275,400 8,589,726
Safeco Corp. 486,400 18,205,952
Saint Paul Companies, Inc. 695,326 25,796,595
* Saks, Inc. 743,200 11,430,416
* Sanmina Corp. 639,900 7,800,381
# Sears, Roebuck & Co. 387,700 21,385,532
* Smithfield Foods, Inc. 68,400 $ 1,603,980
* Smurfit-Stone Container Corp. 469,026 7,673,265
* Solectron Corp. 1,155,300 6,758,505
Sovereign Bancorp, Inc. 781,020 17,697,913
# Sprint Corp. 1,610,400 24,139,896
StanCorp Financial Group, Inc. 20,000 1,251,200
# Starwood Hotels and Resorts Worldwide, Inc. 573,500 19,768,545
Steelcase, Inc. Class A 47,400 587,760
* Sun Microsystems, Inc. 2,143,700 9,153,599
# Sunoco, Inc. 298,800 14,345,388
# Supervalu, Inc. 565,200 14,593,464
* Tech Data Corp. 69,000 2,541,960
Telephone & Data Systems, Inc. 71,700 4,495,590
* Tellabs, Inc. 665,800 5,326,400
# Temple-Inland, Inc. 131,300 7,422,389
* Tenet Healthcare Corp. 466,400 6,814,104
# Textron, Inc. 123,000 6,130,320
# Thomas & Betts Corp. 46,900 975,520
Tidewater, Inc. 100,900 2,785,849
* Time Warner, Inc. 5,860,700 95,412,196
Torchmark Corp. 33,300 1,468,530
* Toys R Us, Inc. 819,300 9,618,582
* Triad Hospitals, Inc. 100,300 3,470,380
Tyson Foods, Inc. Class A 912,556 12,456,389
# Union Pacific Corp. 824,200 52,485,056
Unionbancal Corp. 86,600 4,932,736
* Unisys Corp. 124,900 2,038,368
* United States Cellular Corp. 72,800 2,518,880
# United States Steel Corp. 326,200 8,106,070
Unitrin, Inc. 223,800 8,466,354
UnumProvident Corp. 838,989 12,526,106
Valero Energy Corp. 158,000 6,809,800
Valhi, Inc. 158,500 2,190,470
* VeriSign, Inc. 166,300 2,695,723
Viacom, Inc. Class B 2,189,200 86,079,344
*# Vishay Intertechnology, Inc. 265,716 5,582,693
* Vitesse Semiconductor, Inc. 2,800 20,440
* WebMD Corp. 25,800 236,070
Weis Markets, Inc. 20,800 738,400
Wesco Financial Corp. 13,540 4,726,137
* Westport Resources Corp. 30,800 834,680
# Weyerhaeuser Co. 407,500 23,227,500
Worthington Industries, Inc. 133,200 1,907,424
* Xerox Corp. 75,000 913,500
-----------------
TOTAL COMMON STOCKS
(Cost $2,138,684,770) 2,481,591,024
-----------------
FACE
AMOUNT
--------------
(000)
TEMPORARY CASH
INVESTMENTS -- (17.8%)
Repurchase Agreement, PNC
Capital Markets, Inc. 0.82%,
12/01/03 (Collateralized by
$30,415,000 FMC Discount
Notes 1.11%, 03/25/04,
valued at $30,300,944) to be
repurchased at $29,855,040 $ 29,853 29,853,000
39
[Enlarge/Download Table]
FACE
AMOUNT VALUE+
-------------- -----------------
(000)
Repurchase agreements in a Pooled Cash Account,
UBS Warburg and Deutsche Bank Securities
Inc., 1.01% and 1.02% respectively, 12/01/03
(Collateralized by $407,522,000 U.S. Treasury
Obligations, rates ranging from 5.50% to 8.875%,
maturities ranging from 08/15/04 to 05/15/30,
valued at $504,174,949) to be repurchased
at $491,299,458 (Cost $491,257,888)^ $ 491,258 $ 491,257,888
-----------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $521,110,888) 521,110,888
-----------------
TOTAL INVESTMENTS-- (100.0%)
(Cost $2,659,795,658) ++ $ 3,002,701,912
=================
----------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Total or Partial Securities on Loan
^ Security purchased with cash proceeds from securities on loan
++ The cost for federal income tax purposes is $2,659,939,034
See accompanying Notes to Financial Statements.
40
THE U.S. SMALL CAP SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2003
[Download Table]
SHARES VALUE+
------ ------
COMMON STOCKS -- (91.0%)
* 1-800 CONTACTS, Inc. 19,654 $ 415,682
* 1-800-FLOWERS.COM, Inc. 41,597 487,101
1st Source Corp. 28,641 642,990
# 21st Century Holding Co. 1,100 16,929
* 24/7 Real Media, Inc. 15,900 24,009
* 3-D Systems Corp. 11,500 104,650
* 4Kids Entertainment, Inc. 19,800 531,630
* 7-Eleven, Inc. 134,600 2,207,440
*# 8X8, Inc. 19,200 144,192
* @Road, Inc. 79,200 997,128
* A. B. Watley Group, Inc. 9,400 2,162
* A.C. Moore Arts & Crafts, Inc. 28,900 634,933
* A.D.A.M., Inc. 700 1,512
*# aaiPharma, Inc. 47,250 859,005
* Aames Financial Corp. 240 761
* AAON, Inc. 13,100 246,804
* AAR Corp. 46,883 490,396
Aaron Rents, Inc. Class A 5,700 113,202
Aaron Rents, Inc. Class B 21,600 457,920
* Abaxis, Inc. 18,300 370,392
ABC Bancorp 8,310 139,774
* Abgenix, Inc. 131,934 1,486,896
Abington Bancorp, Inc. 3,200 122,112
*# Abiomed, Inc. 31,570 233,271
* Ablest, Inc. 2,100 11,445
ABM Industries, Inc. 74,100 1,174,485
Abrams Industries, Inc. 200 830
* ABX Air, Inc. 66,600 263,070
* Acacia Research-Acacia
Technologies Common Stock 20,960 115,280
* Acacia Research-CombiMatrix Corp. 10,434 42,049
* Access Pharmaceuticals, Inc. 14,400 68,400
*# Acclaim Entertainment, Inc. 55,700 36,205
* Accredo Health, Inc. 49,137 1,443,589
* Ace Cash Express, Inc. 10,100 194,819
* Ace Comm Corp. 7,500 18,150
Aceto Corp. 15,500 299,134
* Aclara Biosciences, Inc. 49,571 158,627
* Acme Communications, Inc. 24,600 209,100
* Acme United Corp. 3,400 17,850
* ACT Manufacturing, Inc. 4,600 92
* ACT Teleconferencing, Inc. 14,400 23,760
* Actel Corp. 37,400 1,025,134
* Acterna Corp. 122,100 3,052
Action Performance Companies, Inc. 26,800 520,456
* ActivCard Corp. 59,991 521,322
* Active Power, Inc. 63,100 212,016
* Activision, Inc. 123,343 1,887,148
* Actuant Corp. 35,280 1,095,444
* Actuate Corp. 90,600 285,390
Acuity Brands, Inc. 27,700 660,645
* Acxiom Corp. 4,000 66,440
* Adams Resources & Energy, Inc. 4,200 48,804
* Adaptec, Inc. 162,200 1,428,982
* ADE Corp. 13,300 334,495
* Adept Technology, Inc. 7,100 12,780
* Administaff, Inc. 39,300 587,928
* Adolor Corp. 69,800 $ 1,377,154
* Advanced Digital Information Corp. 94,200 1,429,014
* Advanced Energy Industries, Inc. 48,400 1,277,760
*# Advanced Magnetics, Inc. 6,600 94,050
Advanced Marketing Services, Inc. 28,550 332,607
* Advanced Materials Group, Inc. 237 69
* Advanced Medical Optics, Inc. 43,600 859,356
* Advanced Neuromodulation
Systems, Inc. 29,000 1,223,510
* Advanced Nutraceuticals, Inc. 700 343
* Advanced Photonix, Inc. Class A 9,000 22,590
* Advanced Power Technology, Inc. 15,600 128,076
Advanta Corp. Class A 14,717 184,698
Advanta Corp. Class B Non-Voting 24,994 320,923
* Advent Software, Inc. 48,700 852,737
Advo, Inc. 44,850 1,354,918
* Aehr Test Systems 7,100 27,470
* AEP Industries, Inc. 12,300 88,929
* AeroCentury Corp. 300 936
* Aeroflex, Inc. 98,950 1,255,675
* Aeropostale, Inc. 55,600 1,734,164
*# Aerosonic Corp. 3,900 44,265
* Aether Systems, Inc. 63,842 317,295
* Aetrium, Inc. 9,300 33,015
* AFC Enterprises, Inc. 39,800 686,550
* Affiliated Managers Group, Inc. 26,100 1,735,650
* Affinity Technology Group, Inc. 29,100 2,561
* Aftermarket Technology Corp. 36,300 483,153
* AG Services America, Inc. 5,400 45,630
* Agile Software Corp. 77,000 846,230
*# Agility Capital, Inc. 5,900 38
Agilysys, Inc. 47,488 534,715
* Air Methods Corp. 13,400 121,270
Airgas, Inc. 62,500 1,211,250
* Airnet Systems, Inc. 10,100 35,249
* Airspan Networks, Inc. 23,000 55,430
* Airtran Holdings, Inc. 124,100 1,831,716
* AK Steel Holding Corp. 162,400 487,200
*# Akamai Technologies, Inc. 179,200 2,404,864
* Akorn, Inc. 19,500 36,075
*# Aksys, Ltd. 44,600 322,904
Alabama National Bancorporation 17,900 966,600
Alamo Group, Inc. 12,500 184,125
* Alaris Medical, Inc. 107,200 1,705,552
* Alaska Air Group, Inc. 40,000 1,150,400
* Alaska Communications
Systems Group, Inc. 22,200 110,756
Albany International Corp. Class A 41,872 1,298,451
* Albany Molecular Research, Inc. 47,678 672,260
Albemarle Corp. 61,900 1,751,770
* Alcide Corp. 2,300 35,558
* Alderwoods Group, Inc. 6,000 53,160
* Aldila, Inc. 4,633 16,447
Alexander & Baldwin, Inc. 53,800 1,692,548
* Alexion Pharmaceuticals, Inc. 32,700 613,125
Alfa Corp. 119,799 1,520,249
Alico, Inc. 7,000 244,300
*# Align Technology, Inc. 86,612 1,559,882
41
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* Alkermes, Inc. 133,011 $ 1,739,784
* All American Semiconductor, Inc. 4,000 18,120
* Allegheny Energy, Inc. 168,700 1,813,525
Allegheny Technologies, Inc. 121,800 998,760
Allegiant Bancorp, Inc. 26,163 733,872
Allen Organ Co. Class B 800 38,200
* Alliance Gaming Corp. 69,060 1,809,372
* Alliance Imaging, Inc. 85,400 328,790
* Alliance Semiconductor Corp. 52,500 433,650
* Allied Defense Group, Inc. 6,200 130,386
* Allied Healthcare International, Inc. 19,300 107,308
* Allied Healthcare Products, Inc. 6,700 27,202
* Allied Holdings, Inc. 8,300 38,097
* Allied Motion Technologies, Inc. 2,900 12,847
* Allmerica Financial Corp. 64,500 1,764,075
*# Allos Therapeutics, Inc. 38,900 106,586
* Allou Health Care, Inc. Class A 7,100 362
* Alloy, Inc. 59,000 317,420
* Allscripts Healthcare Solutions, Inc. 57,900 314,397
* Almost Family, Inc. 1,600 13,520
* Alpha Technologies Group, Inc. 7,100 10,295
Alpharma, Inc. Class A 58,900 1,186,835
Alpine Group, Inc. 22,000 21,010
* Alteon, Inc. 61,700 104,273
*# Alterra Healthcare Corp. 23,700 3
* Altris Software, Inc. 1,202 673
Ambassadors Group, Inc. 9,800 209,524
Ambassadors, Inc. 9,800 128,184
* AMC Entertainment, Inc. 50,500 765,075
* Amcast Industrial Corp. 8,500 19,975
Amcol International Corp. 42,500 608,600
Amcore Financial, Inc. 37,460 1,020,785
* Amedisys, Inc. 1,400 19,404
* AMEN Properties, Inc. 1,975 3,713
*# Amerco, Inc. 13,900 379,192
* America Services Group, Inc. 9,400 311,140
* America West Holdings Corp.
Class B 50,100 756,510
* American Banknote Corp. 88 58
American Biltrite, Inc. 3,400 22,882
* American Building Control, Inc. 14,000 23,800
# American Business Financial
Services, Inc. 4,613 19,010
# American Capital Strategies, Ltd. 56,600 1,655,550
* American Claims Evaluation, Inc. 1,000 2,040
* American Dental Partners, Inc. 7,200 75,600
* American Eagle Outfitters, Inc. 39,800 734,310
* American Ecology Corp. 14,350 66,584
*# American Greetings Corp. Class A 78,700 1,662,144
*# American Healthways, Inc. 23,550 1,090,836
American Home Mortgage
Holdings, Inc. 25,926 581,779
* American Indemnity Financial
Escrow 800 800
* American Independence Corp. 8,400 91,056
* American Italian Pasta Co. 27,000 1,026,000
* American Locker Group, Inc. 300 3,645
* American Management Systems,
Inc. 63,467 946,293
* American Medical Electronics,
Inc. (Escrow-Bonus) 4,400 0
* American Medical Electronics,
Inc. (Escrow-Earnings) 4,400 $ 0
* American Medical Security Group,
Inc. 19,900 447,551
* American Medical Systems Holdings,
Inc. 59,500 1,352,435
* American Pacific Corp. 7,100 67,095
* American Physicians Capital, Inc. 13,100 216,150
* American Physicians Services
Group, Inc. 100 825
* American Retirement Corp. 25,000 77,500
* American Science & Engineering,
Inc. 10,500 135,975
American Shared Hospital Services 3,700 22,940
American Software, Inc. Class A 26,700 164,205
American States Water Co. 22,950 556,996
* American Superconductor Corp. 39,500 417,120
* American Technical Ceramics Corp. 8,000 56,800
American Vanguard Corp. 414 13,248
* American West Bancorporation 3,229 72,330
American Woodmark Corp. 11,500 598,000
Americana Bancorp, Inc. 2,712 41,548
* America's Car-Mart, Inc. 11,200 328,832
*# Americredit Corp. 38,000 511,100
* AMERIGROUP Corp. 35,900 1,576,369
AmeriServe Financial, Inc. 20,100 100,500
* Ameristar Casinos, Inc. 39,700 923,422
Ameron International Corp. 7,800 257,400
# AmerUs Group Co. 46,844 1,684,042
*# Ames Department Stores, Inc. 12,800 19
Ametek, Inc. 36,300 1,716,990
* Amistar Corp. 1,600 3,296
* AML Communications, Inc. 7,800 9,438
* AMN Healthcare Services, Inc. 56,800 964,464
Ampco-Pittsburgh Corp. 9,600 102,912
* Ampex Corp. Class A 5,925 8,206
Amrep Corp. 6,500 100,750
* Amsurg Corp. 29,889 1,112,170
* Amtech Systems, Inc. 1,900 13,205
* Amwest Insurance Group, Inc. 1,394 11
* AMX Corp. 11,000 74,800
* Anacomp, Inc. 5 70
* Anadigics, Inc. 45,000 301,500
* Analex Corp. 21,800 73,902
Analogic Corp. 21,000 882,000
* Analysts International Corp. 35,500 110,050
*# Analytical Surveys, Inc. 730 2,059
* Anaren, Inc. 32,500 486,525
Anchor Bancorp Wisconsin, Inc. 35,140 881,663
Andersons, Inc. 8,200 137,678
*# Andrew Corp. 116,709 1,373,665
* Andrx Group 47,610 1,045,516
* Angeion Corp. 215 456
Angelica Corp. 12,400 256,060
* Angelo & Maxie's, Inc. 2,016 4,445
* Anika Therapeutics, Inc. 9,900 85,013
* Anixter International, Inc. 54,300 1,251,615
* Ann Taylor Stores Corp. 62,800 2,495,672
* Ansoft Corp. 18,400 229,448
* AnswerThink, Inc. 66,600 398,934
* Ansys, Inc. 22,600 872,134
42
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* Anteon International Corp. 52,600 $ 2,007,216
* Anthony and Sylvan Pools Corp. 3,768 16,768
*# Antigenics, Inc. 59,213 730,688
* AP Pharma, Inc. 30,100 63,842
* APA Optics, Inc. 11,800 29,500
* APAC Teleservices, Inc. 106,450 299,124
*# Aphton Corp. 37,139 228,405
Apogee Enterprises, Inc. 41,200 487,396
Applica, Inc. 35,300 257,690
* Applied Extrusion Technologies,
Inc. 18,300 45,567
* Applied Films Corp. 21,361 708,972
* Applied Imaging Corp. 15,800 22,120
Applied Industrial Technologies,
Inc. 28,700 680,190
* Applied Innovation, Inc. 15,100 98,301
* Applied Molecular Evolution, Inc. 31,200 553,488
Applied Signal Technologies, Inc. 16,100 350,980
* Applix, Inc. 19,200 69,888
* Apria Healthcare Group, Inc. 54,100 1,466,651
* Apropos Technology, Inc. 26,900 107,600
Aptargroup, Inc. 38,500 1,344,035
* aQuantive, Inc. 89,425 925,549
* Aquila, Inc. 292,700 1,047,866
*# Aradigm Corp. 58,700 108,595
*# Arch Capital Group, Ltd. 18,400 680,064
Arch Chemicals, Inc. 33,022 755,874
# Arch Coal, Inc. 73,400 1,944,366
Arctic Cat, Inc. 22,430 533,161
*# Ardent Communications, Inc. 19,200 134
* Arena Pharmaceuticals, Inc. 42,378 291,984
* Argonaut Group, Inc. 32,101 513,616
* Argonaut Technologies, Inc. 12,000 15,120
* Argosy Gaming Corp. 43,800 1,109,892
* Ariad Pharmaceuticals, Inc. 68,200 562,650
* Ariba, Inc. 283,000 894,280
* Ark Restaurants Corp. 2,700 34,290
Arkansas Best Corp. 37,100 1,164,198
* Arlington Hospitality, Inc. 4,900 18,669
* Armor Holdings, Inc. 41,500 1,006,375
*# Armstrong Holdings, Inc. 4,400 3,828
*# Arotech Corp 1,600 4,112
* Arqule, Inc. 34,274 168,628
* Array BioPharma, Inc. 47,315 248,404
Arrhythmia Research Technology,
Inc. 1,800 25,020
* Arris Group, Inc. 119,300 769,485
Arrow Financial Corp. 9,941 275,863
Arrow International, Inc. 64,900 1,745,810
* Art Technology Group, Inc. 100,500 170,850
* Artesyn Technologies, Inc. 69,300 546,777
* Arthrocare Corp. 30,210 743,166
* Artisan Components, Inc. 33,200 686,211
* Artisoft, Inc. 2,400 10,320
* Arts Way Manufacturing Co., Inc. 200 981
* ASA International. Ltd. 640 1,510
ASB Financial Corp. 1,000 23,500
* Asbury Automotive Group, Inc. 43,100 719,770
* Ascential Software Corp. 75,379 1,907,089
* Ashworth, Inc. 18,671 152,169
* Ask Jeeves, Inc. 66,600 1,286,712
* Aspect Communications Corp. 81,500 $ 1,199,680
* Aspect Medical Systems, Inc. 29,100 276,741
* Aspen Technology, Inc. 59,979 461,239
* Aspeon, Inc. 900 9
* Astea International, Inc. 2,900 7,395
* Astec Industries, Inc. 28,600 377,234
Astro-Med, Inc. 4,200 67,914
* Astronics Corp. 5,500 27,197
* Astronics Corp. Class B 2,225 11,681
*# AstroPower, Inc. 6,550 4,716
* ASV, Inc. 14,400 407,808
* Asyst Technologies, Inc. 58,900 1,074,925
* ATA Holdings Corp. 10,900 99,190
* Atari, Inc. 178,709 732,707
* AtheroGenics, Inc. 54,800 783,640
* Atlantic American Corp. 21,100 55,915
* Atlantic Coast Airlines, Inc. 68,000 743,240
* Atlantic Premium Brands, Ltd. 2,000 3,600
* Atlantis Plastics, Inc. 3,300 36,036
*# Atlas Air Worldwide Holdings, Inc. 41,400 27,324
* ATMI, Inc. 46,300 1,064,900
Atmos Energy Corp. 63,400 1,562,810
* ATP Oil & Gas Corp. 36,700 185,702
Atrion Corp. 1,700 81,600
* Atrix Labs, Inc. 31,400 636,164
* ATS Medical, Inc. 2,200 8,272
* Atwood Oceanics, Inc. 19,900 511,231
* Audiovox Corp. Class A 28,900 400,843
* August Technology Corp. 25,000 500,000
* Ault, Inc. 4,500 12,150
* Aura Systems, Inc. 5,295 371
* Aurora Foods, Inc. 42,644 682
*# Authentidate Holding Corp. 35,400 450,288
* autobytel.com, Inc. 56,300 543,858
* Avalon Holding Corp. Class A 1,550 4,038
* Avanex Corp. 104,200 493,908
*# Avanir Pharmaceuticals Class A 58,000 84,100
* Avant Immunotherapeutics, Inc. 97,034 255,199
* Avatar Holdings, Inc. 8,700 294,495
* Avatech Solutions, Inc. 1,851 463
* Avi Biopharma, Inc. 46,800 229,320
* Aviall, Inc. 47,100 753,600
* Avici Systems Inc. 17,743 152,590
*# Avid Technology, Inc. 37,100 1,961,848
* Avigen, Inc. 30,100 195,650
Avista Corp. 72,400 1,277,136
* Avocent Corp. 52,600 2,014,054
* Avteam, Inc. Class A 11,400 12
* Aware, Inc. 34,059 113,416
* Axcelis Technologies, Inc. 148,300 1,701,001
*# Axonyx, Inc. 1,300 4,966
* Axsys Technologies, Inc. 4,700 65,377
* AXT, Inc. 32,500 111,150
* Aztar Corp. 51,100 1,136,975
* AZZ, Inc. 8,200 99,876
Badger Meter, Inc. 3,200 120,320
* Badger Paper Mills, Inc. 1,000 4,610
Bairnco Corp. 7,300 48,691
* Baker (Michael) Corp. 7,600 80,560
Balchem Corp. 4,700 107,630
Baldor Electric Co. 49,133 1,066,186
43
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Baldwin & Lyons, Inc. Class B 12,625 $ 315,372
* Baldwin Technology, Inc. Class A 13,300 39,900
* Ballantyne Omaha, Inc. 11,900 24,990
* Bally Total Fitness Holding Corp. 50,400 352,800
* Bancinsurance Corp. 5,700 37,449
Bandag, Inc. 12,700 517,525
Bandag, Inc. Class A 9,600 370,560
Bank of Granite Corp. 16,400 392,616
Bank of The Ozarks 7,600 322,240
BankAtlantic Bancorp, Inc. Class A 11,285 214,076
* Bankrate, Inc. 7,000 95,760
* BankUnited Financial Corp. Class A 42,100 1,071,445
Banner Corp. 16,160 406,424
Banta Corp. 38,200 1,520,360
Barnes Group, Inc. 33,800 1,011,634
* barnesandnoble.com, inc. 71,925 204,986
* Barnwell Industries, Inc. 400 10,160
* Barra, Inc. 28,900 1,062,942
* Barrett Business Services, Inc. 5,800 85,840
* Barry (R.G.) Corp. 9,500 56,525
Bassett Furniture Industries, Inc. 16,700 273,880
* Bay View Capital Corp. 92,550 561,778
* Baycorp Holdings, Ltd. 484 6,372
* Bayou Steel Corp. Class A 13,500 67
* BCT International, Inc. 2,700 5,359
* BE Aerospace, Inc. 53,900 309,925
* Beasley Broadcast Group, Inc. 10,900 161,560
* Beazer Homes USA, Inc. 12,553 1,339,531
*# Bebe Stores, Inc. 38,600 1,092,766
BEI Technologies, Inc. 21,800 385,206
Bel Fuse, Inc. Class A 2,600 68,315
Bel Fuse, Inc. Class B 5,250 152,302
Belden, Inc. 37,296 734,731
* Bell Industries, Inc. 8,900 24,030
* Bell Microproducts, Inc. 38,100 328,041
* Benchmark Electronics, Inc. 51,000 1,873,230
* Benihana, Inc. 1,000 13,900
* Benihana, Inc. Class A 150 1,987
* Bentley Pharmaceuticals, Inc. 28,160 344,960
Berry Petroleum Corp. Class A 44,700 854,664
* Bethlehem Steel Corp. 37,300 597
* Beverly Enterprises 160,700 1,258,281
* Beyond.com Corp. 3,140 39
BHA Group Holdings, Inc. Class A 6,100 153,110
* Big 4 Ranch, Inc. 3,200 0
* Big City Radio, Inc. 6,400 9,280
* Big Dog Holdings, Inc. 1,500 5,745
* BindView Development Corp. 70,300 207,385
* Bio Imaging Technologies, Inc. 13,300 95,095
* Bioanalytical Systems, Inc. 4,600 20,424
* Biocryst Pharmaceuticals, Inc. 26,500 217,035
*# BioLase Technology, Inc. 32,300 396,321
* Bio-Logic Systems Corp. 4,200 24,906
* BioMarin Pharmaceutical, Inc. 95,285 700,345
* Bionova Holdings Corp. 3,570 1,000
* Bio-Rad Laboratories, Inc. Class A 20,000 1,025,000
* Bio-Reference Laboratories, Inc. 17,112 302,369
* BioReliance Corp. 11,900 550,851
* Biosite, Inc. 23,200 622,920
* Biosource International, Inc. 9,600 70,080
* Biospecifics Technologies Corp. 4,500 7,114
* BioSphere Medical, Inc. 20,200 $ 60,802
* Bitstream, Inc. 8,400 35,532
BIW, Ltd. 800 14,312
Black Box Corp. 27,200 1,190,000
Black Hills Corp. 48,059 1,550,383
Blair Corp. 12,100 302,500
* Blonder Tongue Laboratories, Inc. 9,800 31,360
* Blount International, Inc. 33,300 200,133
* Blue Coat Systems, Inc. 12,586 264,180
* Blue Rhino Corp. 35,700 449,106
* Bluegreen Corp. 32,765 206,419
Blyth, Inc. 38,100 1,144,905
* BMC Industries, Inc. 14,000 700
* BNS Co. Class A 4,120 23,072
Bob Evans Farms, Inc. 52,000 1,604,720
* Boca Resorts, Inc. 56,045 800,323
* Bogen Communications
International, Inc. 12,500 61,250
* Bolt Technology Corp. 5,400 20,790
* Bombay Co., Inc. 52,600 538,098
* Bone Care International, Inc. 21,421 289,183
* Bontex, Inc. 200 120
Bon-Ton Stores, Inc. 12,000 160,800
* Books-a-Million, Inc. 18,300 82,350
* Borland Software Corp. 121,500 1,059,480
Boston Acoustics, Inc. 4,600 46,966
* Boston Beer Company, Inc. Class A 16,400 301,760
* Boston Biomedical, Inc. 6,700 16,750
* Boston Communications Group, Inc. 27,300 245,700
Boston Private Financial Holdings,
Inc. 33,200 860,876
Bostonfed Bancorp, Inc. 4,300 139,105
* Bottomline Technologies, Inc. 24,904 224,136
Bowne & Co., Inc. 50,700 747,318
Boyd Gaming Corp. 96,100 1,572,196
* Boyds Collection, Ltd. 117,317 504,463
*# Bradley Pharmaceuticals, Inc.
Class A 15,251 358,704
Brady (W.H.) Co. Class A 31,200 1,196,520
* Brass Eagle, Inc. 8,300 76,692
* Braun Consulting, Inc. 22,300 55,750
*# Breed Technologies, Inc. 36,800 1,104
Bridgford Foods Corp. 10,400 87,370
Briggs & Stratton Corp. 27,300 1,842,750
* Brigham Exploration Co. 41,315 295,774
* Bright Horizons Family Solutions,
Inc. 6,600 250,133
* Brightpoint, Inc. 27,100 608,937
* BrightStar Information Technology
Group, Inc. 13,600 1,360
* Brillian Corp. 7,049 56,181
*# Brilliant Digital Entertainment, Inc. 18,000 7,740
*# BriteSmile, Inc. 314 9,498
* Broadview Media, Inc. 200 1,450
* BroadVision, Inc. 49,300 231,710
*# Brocade Communications Systems,
Inc. 17,800 108,402
Brookline Bancorp, Inc. 86,491 1,299,095
* Brooks Automation, Inc. 55,639 1,352,028
* Brookstone, Inc. 19,550 464,117
* Brooktrout, Inc. 18,462 271,761
44
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* Brown (Tom), Inc. 51,200 $ 1,431,552
Brown Shoe Company, Inc. 27,000 943,110
* Bruker BioSciences Corp. 102,500 510,450
* Brush Engineered Materials, Inc. 24,800 334,304
Bryn Mawr Bank Corp. 1,600 38,000
BSB Bancorp, Inc. 13,685 442,710
* BSQUARE Corp. 19,700 29,156
* BTU International, Inc. 6,800 28,628
* Buca, Inc. 25,171 142,216
* Buckeye Technology, Inc. 54,583 557,292
Buckle, Inc. 30,000 656,400
Building Materials Holding Corp. 19,200 290,880
* Bull Run Corp. 3,700 4,033
Burlington Coat Factory Warehouse
Corp. 65,849 1,389,414
* Bush Industries, Inc. Class A 14,600 49,786
* Butler International, Inc. 8,400 13,188
Butler Manufacturing Co. 7,600 157,396
C & D Technologies, Inc. 38,000 760,760
C & F Financial Corp. 300 13,650
* C-COR.net Corp. 54,900 647,820
*# C-Phone Corp. 11,700 135
* Cable Design Techologies Corp. 62,187 631,820
* Cabot Microelectronics Corp. 26,800 1,422,812
Cabot Oil & Gas Corp. Class A 48,700 1,293,472
* Cache, Inc. 6,600 142,487
* Caci International, Inc. Class A 37,000 1,841,490
Cadmus Communications Corp. 8,900 108,135
* Cagle's, Inc. Class A 2,000 14,450
* Cal Dive International, Inc. 56,500 1,197,800
Calavo Growers 9,600 106,752
Calgon Carbon Corp. 57,600 354,240
* California Amplifier, Inc. 22,100 216,359
* California Coastal Communities, Inc. 10,000 110,500
California First National Bancorp 10,400 120,068
* California Micro Devices Corp. 34,800 298,584
* California Pizza Kitchen, Inc. 28,300 523,550
California Water Service Group 25,400 664,464
* Caliper Technologies Corp. 41,474 265,019
Callaway Golf Co. 113,300 1,861,519
* Callon Petroleum Corp. 20,362 187,330
* Calloways Nursery, Inc. 1,200 708
Cal-Maine Foods, Inc. 10,500 223,020
* Calton, Inc. 4,480 3,360
* CAM Commerce Solutions, Inc. 3,000 20,700
Cambrex Corp. 38,100 924,306
* Cambridge Heart, Inc. 7,800 8,970
Camco Financial Corp. 7,516 132,958
* Candela Corp. 14,555 298,814
*# Candies, Inc. 35,450 71,963
* Candlewood Hotel Co., Inc. 1,500 60
*# Cannon Express, Inc. Class A 200 245
* Cannondale Corp. 7,100 1,420
* Cantel Medical Corp. 13,240 208,133
* Canterbury Consulting Group, Inc. 1,571 1,485
* Canyon Resources Corp. 23,900 93,210
* Capital Corp. of the West 5,046 192,505
* Capital Crossing Bank 5,900 248,856
* Capital Pacific Holdings, Inc. 14,500 49,300
* Capital Senior Living Corp. 27,600 168,360
Capital Southwest Corp. 300 18,300
Capitol Bancorp, Ltd. 8,564 $ 246,643
* Caprius, Inc. 548 110
* Capstone Turbine Corp. 16,300 28,199
* Captaris, Inc. 45,800 271,594
* Captiva Software Corp. 4,400 57,732
* Caraustar Industries, Inc. 41,084 478,629
Carbo Ceramics, Inc. 22,900 1,000,501
* Cardiac Sciences, Inc. 104,800 374,136
* Cardima, Inc. 21,200 22,472
* CardioDynamics International Corp. 69,261 450,196
*# CardioGenesis Corp. 32,100 25,038
* Cardiotech International, Inc. 23,063 144,605
* Career Blazers, Inc. Trust Units 800 0
* Career Education Corp. 1 51
Carpenter Technology Corp. 33,600 900,480
* Carreker Corp. 21,871 327,190
* Carriage Services, Inc. Class A 25,400 83,566
* Carrier Access Corp. 35,789 533,256
* Carrington Laboratories, Inc. 9,800 41,748
*# Carrizo Oil & Gas, Inc. 14,100 105,750
Cascade Corp. 18,000 482,400
Cascade Natural Gas Corp. 16,100 322,000
* Casella Waste Systems, Inc. Class A 33,869 453,845
Casey's General Stores, Inc. 74,200 1,296,274
Cash America International, Inc. 41,400 802,332
* Castle (A.M.) & Co. 15,437 71,010
Castle Energy Corp. 6,600 37,620
* Casual Male Retail Group, Inc. 53,800 462,680
* Catalina Lighting, Inc. 1,760 21,544
* Catalina Marketing Corp. 80,100 1,484,253
* Catalyst International, Inc. 7,600 11,400
* Catalytica Energy Systems, Inc. 12,891 45,118
* Catapult Communications Corp. 19,300 291,816
# Cathay Bancorp, Inc. 38,961 2,025,972
Cato Corp. Class A 29,200 609,696
* Cavalier Homes, Inc. 18,060 51,471
Cavalry Bancorp, Inc. 500 9,715
* Cavco Industries, Inc. 3,852 90,522
CCA Industries, Inc. 9,600 71,760
CCBT Financial Companies, Inc. 8,600 227,814
* CCC Information Services Group,
Inc. 25,700 433,302
*# CD Warehouse, Inc. 3,300 7
* CD&L, Inc. 2,600 2,132
CDI Corp. 29,200 989,880
* CEC Entertainment Inc. 38,500 1,935,780
* Celadon Group, Inc. 10,700 145,520
* Celebrity, Inc. Escrow Shares 1,300 0
* Celeritek, Inc. 17,700 142,485
* Cell Genesys, Inc. 58,852 767,430
*# Cell Therapeutics, Inc. 50,900 458,100
* Cellegy Pharmaceuticals, Inc. 46,100 131,385
* CellStar Corp. 29,948 411,785
* Centene Corp. 32,300 991,610
* Centennial Communications Corp. 49,800 245,016
Center Bancorp, Inc. 1,800 38,214
Center Finl CO 6,480 161,806
*# CenterSpan Communication Corp. 8,400 588
Centex Construction Products, Inc. 25,000 1,465,000
* Centillium Communications, Inc. 51,269 281,979
* Centra Software, Inc. 39,900 143,640
45
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Central Bancorp, Inc. 1,600 $ 56,816
* Central European Distribution Corp. 15,918 500,144
* Central Garden & Pet Co. 25,200 668,052
Central Pacific Financial Corp. 24,000 662,400
Central Parking Corp. 52,137 727,311
Central Vermont Public Service
Corp. 17,900 427,810
* Century Aluminum Co. 31,600 524,560
Century Bancorp Income Class A 1,000 37,210
* Century Business Services, Inc. 125,757 584,770
* Cepheid, Inc. 52,964 409,412
* Ceradyne, Inc. 15,100 644,921
Cerberonics, Inc. Class A 200 2,220
* Ceres Group, Inc. 30,495 159,184
*# Cerner Corp. 49,309 2,200,661
* Cerus Corp. 33,000 112,200
CFS Bancorp, Inc. 17,720 250,738
CH Energy Group, Inc. 23,600 1,036,040
* Chad Therapeutics 10,000 27,050
* Champion Enterprises, Inc. 88,200 636,804
Champion Industries, Inc. 9,674 41,975
* Championship Auto Racing Teams, Inc. 15,500 8,215
* Champps Entertainment, Inc. 18,340 126,913
* Channell Commercial Corp. 6,600 30,690
* Charles and Colvard, Ltd. 19,800 96,624
* Charles River Associates, Inc. 9,000 293,850
* Charlotte Russe Holding, Inc. 31,900 480,095
* Charming Shoppes, Inc. 169,633 1,056,814
* Chart Industries 23 690
*# Charter Communications, Inc. 35,900 144,318
Charter Financial Corp. 21,511 720,618
Chase Corp. 4,000 50,080
* Chattem, Inc. 28,700 459,774
* Chaus (Bernard), Inc. 11,100 11,322
* Checkers Drive-In Restaurant, Inc. 17,207 157,616
* Checkpoint Systems, Inc. 49,300 953,955
Chemical Financial Corp. 35,516 1,287,455
Cherokee, Inc. 8,100 181,845
Chesapeake Corp. 22,102 508,346
Chesapeake Utilities Corp. 7,600 190,836
Chester Valley Bancorp 575 12,920
* Chicago Pizza & Brewery, Inc. 28,622 407,291
Chicago Rivet & Machine Co. 200 5,325
* Children's Place Retail Stores, Inc. 39,900 1,143,933
* Childtime Learning Centers, Inc. 5,200 11,440
* ChipPAC, Inc. 142,900 1,110,333
* Chiquita Brands International, Inc. 59,896 1,269,196
Chittenden Corp. 54,783 1,870,292
* Choice Hotels International, Inc. 53,600 1,894,760
* Cholestech Corp. 20,800 153,920
* Chordiant Software, Inc. 95,100 417,489
Christopher & Banks Corp. 56,013 1,515,152
* ChromaVision Medical Systems, Inc. 20,200 22,018
* Chromcraft Revington, Inc. 6,000 69,900
* Chronimed, Inc. 18,101 162,547
Church & Dwight Co., Inc. 32,300 1,308,473
Churchill Downs, Inc. 14,400 528,754
*# Chyron Corp. 33,400 15,030
* Ciber, Inc. 95,012 865,559
* Cima Laboratories, Inc. 19,900 656,302
* Cimarex Energy Co. 14,004 $ 323,772
* Cincinnati Bell, Inc. 311,500 1,778,665
* Ciphergen Biosystems, Inc. 43,200 449,712
* Ciprico, Inc. 4,900 24,745
CIRCOR International, Inc. 20,690 455,180
* Cirrus Logic, Inc. 126,800 1,090,480
# Citizens Banking Corp. 60,533 1,908,000
* Citizens, Inc. Class A 50,526 500,212
City Holding Co. 24,986 889,502
* CKE Restaurants, Inc. 86,400 604,800
Clarcor, Inc. 37,700 1,650,883
* Clark, Inc. 26,924 441,823
* Clarus Corp. 24,700 172,653
* Clayton Williams Energy, Inc. 9,200 209,300
*# Clean Harbors, Inc. 20,200 186,446
*# Clearone Communications, Inc. 11,300 31,357
Cleco Corp. 70,900 1,260,602
* Cleveland Cliffs, Inc. 15,500 598,300
*# Click2learn, Inc. 9,700 20,661
*# ClickAction, Inc. Escrow 7,900 395
Clinical Data Inc. 1,787 15,359
* Closure Medical Corp. 20,700 734,850
*# CMS Energy Corp. 216,075 1,704,832
* CNA Surety Corp. 56,118 543,222
*# CNE Group, Inc. 2,000 1,120
*# CNET Networks, Inc. 211,700 1,581,399
CNS, Inc. 20,300 247,660
Coachmen Industries, Inc. 22,600 389,850
* Coast Dental Services, Inc. 2,066 13,212
Coast Distribution System 4,000 22,200
Coastal Bancorp, Inc. 5,800 203,000
* Coastcast Corp. 7,600 15,238
CoBiz, Inc. 8,550 154,242
* Cobra Electronics Corp. 6,100 43,371
Coca-Cola Bottling Co.
Consolidated 6,000 322,260
* Coeur d'Alene Mines Corp. 239,000 1,238,020
* Cogent Communications Group, Inc. 1,013 1,236
Cognex Corp. 64,800 1,780,056
* Cognitronics Corp. 4,250 14,025
* Coherent, Inc. 44,002 1,053,408
Cohu, Inc. 31,900 670,538
* Coinstar, Inc. 32,200 541,926
* Coldwater Creek, Inc. 23,850 342,486
Cole (Kenneth) Productions, Inc.
Class A 17,150 512,785
* Cole National Corp. Class A 14,800 310,504
* Collagenex Pharmaceuticals, Inc. 12,200 126,392
* Collins & Aikman Corp. 121,860 435,040
Collins Industries, Inc. 7,000 37,800
Columbia Banking System, Inc. 20,131 422,751
* Columbia Laboratories, Inc. 59,000 305,620
* Columbus McKinnon Corp. 22,300 137,814
* Comarco, Inc. 10,200 96,696
* Comdial Corp. 600 1,800
* Comforce Corp. 13,277 6,771
* Comfort Systems USA, Inc. 56,900 273,689
Commerce Group, Inc. 32,900 1,316,329
*# Commerce One, Inc. 44,400 51,504
Commercial Bancshares, Inc. 4,532 152,185
46
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Commercial Federal Corp. 64,900 $ 1,752,300
Commercial Metals Co. 44,700 1,150,578
# Commercial National Financial Corp. 3,200 82,384
Commonwealth Industries, Inc. 23,515 172,365
* Commscope, Inc. 88,800 1,417,248
Communications Systems, Inc. 8,200 56,498
Community Bank System, Inc. 19,400 944,780
Community Bankshares, Inc. 210 3,970
Community First Bankshares, Inc. 56,900 1,622,788
Community Trust Bancorp, Inc. 13,730 450,076
* Community West Bancshares 5,500 45,980
* Competitive Technologies, Inc. 6,100 14,823
*# Compex Technologies, Inc. 16,654 150,719
* Compucom Systems, Inc. 74,464 338,811
* CompuCredit Corp. 70,231 1,663,070
* Compudyne Corp. 11,104 109,485
* Computer Access Technology Corp. 41,000 190,650
* Computer Horizons Corp. 37,400 139,128
* Computer Network Technology Corp. 40,700 404,965
Computer Programs & Systems, Inc. 15,700 293,511
* Computer Task Group, Inc. 31,300 130,834
CompX International, Inc. 5,100 32,181
* Comstock Resources, Inc. 48,000 782,400
* Comtech Telecommunications Corp. 11,100 370,052
* Concepts Direct, Inc. 700 269
* Conceptus, Inc. 32,400 421,200
* Concerto Software, Inc. 12,100 144,232
* Concord Camera Corp. 42,956 518,479
* Concord Communications, Inc. 26,700 591,138
* Concur Technologies, Inc. 48,031 477,908
* Concurrent Computer Corp. 93,600 377,208
* Cone Mills Corp. 24,800 1,426
* Congoleum Corp. Class A 3,600 2,340
* Conmed Corp. 43,065 915,562
Connecticut Bancshares, Inc. 13,356 689,570
Connecticut Water Services, Inc. 7,600 220,932
* Connetics Corp. 47,500 838,375
* Conrad Industries, Inc. 7,200 20,268
*# Consolidated Freightways Corp. 550 3
* Consolidated Graphics, Inc. 19,182 576,419
Consolidated Tokoma Land Co. 6,100 187,575
*# Continental Airlines, Inc. 98,700 1,840,755
* Continental Materials Corp. 200 5,458
*# Convera Corp. 50,644 198,018
* Convergence Systems, Inc. 1 45
*# Cooker Restaurant Corp. 6,500 39
Cooper Companies, Inc. 40,200 1,835,130
Cooper Tire & Rubber Co. 83,900 1,678,839
Cooperative Bankshares, Inc. 1,400 35,756
* Copart, Inc. 134,800 1,617,600
* Copper Mountain Networks, Inc. 8,810 82,911
* Corautus Genetics, Inc. 1,542 9,052
* Core Molding Technologies, Inc. 7,700 22,638
* Corillian Corp. 54,700 325,465
* Corio, Inc. 103,600 257,964
* Corixa Corp. 82,097 467,132
Corn Products International, Inc. 48,800 1,691,408
* Cornell Companies, Inc. 19,800 249,480
* Correctional Services Corp. 10,112 25,988
* Corrections Corporation of America 52,500 $ 1,470,000
* Corrpro Companies, Inc. 7,275 10,912
Corus Bankshares, Inc. 18,272 1,138,346
* Corvel Corp. 10,900 378,775
* Cosine Communications, Inc. 14,421 111,619
* Cost Plus, Inc. 32,575 1,523,533
* CoStar Group, Inc. 25,890 1,087,380
* Cost-U-Less, Inc. 3,000 9,900
Cotton States Life Insurance Co. 6,330 112,364
Courier Corp. 2,850 158,203
* Covance, Inc. 30,200 789,126
* Covansys Corp. 40,100 360,900
* Covenant Transport, Inc. Class A 18,830 354,757
Covest Bancshares, Inc. 2,425 66,396
* Covista Communications, Inc. 3,000 8,250
CPAC, Inc. 5,120 31,636
* CPI Aerostructures, Inc. 7,166 85,992
CPI Corp. 11,200 258,160
Craftmade International, Inc. 7,300 195,275
Crawford & Co. Class A 27,300 195,741
Crawford & Co. Class B 25,300 183,425
* Cray, Inc. 104,000 1,088,880
*# Credence Systems Corp. 95,247 1,234,401
* Credit Acceptance Corp. 63,469 952,035
*# Cree Research, Inc. 51,000 936,870
* Criticare Systems, Inc. 16,200 55,080
Crompton Corp. 166,800 1,009,140
* Cross (A.T.) Co. Class A 14,700 95,991
* Cross Country Healthcare, Inc. 47,657 710,089
* Crossroads Systems, Inc. 36,500 111,690
* Crown Andersen, Inc. 1,000 2,350
*# Crown Castle International Corp. 30,500 378,505
* Crown Financial Group, Inc. 6,600 16,698
* Crown Holdings, Inc. 247,400 1,855,500
* Crown Media Holdings, Inc. 110,542 973,875
*# Cryolife, Inc. 29,600 158,656
* CSG Systems International, Inc. 78,500 909,815
* CSK Auto Corp. 68,300 1,245,792
* CSP, Inc. 3,500 18,480
CSS Industries, Inc. 12,900 383,259
CT Communications, Inc. 27,860 398,398
CTS Corp. 53,759 659,085
Cubic Corp. 40,100 1,186,158
* Cubist Pharmaceuticals, Inc. 48,425 601,438
* Culp, Inc. 17,300 194,798
* Cumulus Media, Inc. Class A 74,993 1,432,366
* CUNO, Inc. 24,208 1,031,503
* CuraGen Corp. 72,960 459,648
* Curative Health Services Inc. 18,400 238,832
* Curis, Inc. 56,050 304,912
Curtiss-Wright Corp. 5,800 475,078
* Cutter & Buck, Inc. 15,124 117,211
* CV Therapeutics, Inc. 39,805 715,296
CVB Financial Corp. 65,615 1,343,139
* Cyberguard Corp. 32,045 275,235
* Cyberonics, Inc. 34,000 934,660
* Cyberoptics Corp. 8,100 80,676
* Cybersource Corp. 49,200 244,524
* Cybex International, Inc. 8,700 10,788
* Cycle Ctry Acc 5,000 22,950
*# CycleLogic, Inc. 29 3
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* Cygnus, Inc. 3,500 $ 315
*# Cymer, Inc. 41,200 1,910,444
* Cysive, Inc. 32,600 104,972
* Cytec Industries, Inc. 51,000 1,848,750
* Cytogen Corp. 16,570 187,241
*# Cytrx Corp. 1,700 3,757
D & K Healthcare Resources, Inc. 20,530 277,566
* D A Consulting Group, Inc. 6,700 536
* Daily Journal Corp. 200 6,065
* Daisytek International Corp. 3,586 117
* Daktronics, Inc. 27,900 517,852
*# Dan River, Inc. Class A 28,900 22,253
* Danielson Holding Corp. 33,400 47,428
* Darling International, Inc. 94,200 261,876
* Data I/O Corp. 7,600 26,136
* Data Systems & Software, Inc. 7,300 20,367
* Datakey, Inc. 1,000 580
* Datalink Corp. 13,300 51,737
* Dataram Corp. 8,400 35,364
Datascope Corp. 21,634 752,431
* Datastream Systems, Inc. 20,100 149,745
* Datatec Systems, Inc. 7,000 8,120
* DataTRAK International, Inc. 5,200 32,760
* Datawatch Corp. 2,066 11,590
* Dave and Busters, Inc. 13,200 183,612
* Davel Communications, Inc. 94 3
* Daw Technologies, Inc. 3,575 0
* Dawson Geophysical Co. 5,400 43,956
* Daxor Corp. 4,600 69,920
Deb Shops, Inc. 19,299 382,506
* Deckers Outdoor Corp. 9,200 154,560
* Decora Industries, Inc. 5,500 82
Decorator Industries, Inc. 2,762 17,442
* Del Global Technologies Corp. 10,927 26,225
* Del Laboratories, Inc. 9,506 229,587
* Delphax Technologies, Inc. 6,100 19,337
Delphi Financial Group, Inc. Class A 25,500 1,354,050
Delta and Pine Land Co. 57,200 1,444,300
Delta Apparel, Inc. 5,240 86,198
* Delta Financial Corp. 23,500 168,260
Delta Natural Gas Co., Inc. 2,500 58,325
* Delta Woodside Industries, Inc. 5,850 10,179
Deltic Timber Corp. 17,500 495,600
* Denali, Inc. 4,300 0
* Denbury Resources, Inc. 81,000 1,023,840
* Dendreon Corp. 65,981 522,570
* Dendrite International, Inc. 60,774 1,039,235
* Department 56, Inc. 19,700 278,361
* DepoMed, Inc. 13,600 92,344
* Detrex Corp. 500 762
* Devcon International Corp. 3,600 25,740
* DHB Industries, Inc. 60,900 457,968
Diagnostic Products Corp. 40,200 1,818,246
* Diametrics Medical, Inc. 22,900 12,595
* DiamondCluster International, Inc. 41,300 390,698
* Diedrich Coffee, Inc. 4,025 16,301
* Digene Corp. 27,800 1,105,050
* Digi International, Inc. 30,333 259,954
* Digimarc Corp. 26,665 376,243
*# Digital Angel Corp. 11,000 24,750
* Digital Generation Systems, Inc. 99,500 186,065
* Digital Impact, Inc. 47,900 $ 135,078
* Digital Insight Corp. 49,000 1,164,730
* Digital Lightwave, Inc. 400 376
* Digital River, Inc. 45,800 1,053,858
* DigitalThink Inc. 75,457 224,862
* Digitas, Inc. 89,557 780,041
Dime Community Bancorp, Inc. 38,100 1,171,575
Dimon, Inc. 67,429 455,146
* Diodes, Inc. 12,150 247,252
* Dionex Corp. 31,810 1,494,434
* Directrix, Inc. 813 7
* Discovery Partners International 36,853 212,605
* Display Technologies, Inc. 11,330 28
* Ditech Communications Corp. 45,780 803,439
* Diversa Corp. 63,108 530,107
* Diversified Corporate Resources, Inc. 800 592
* Dixie Group, Inc. 15,000 121,500
* Dixon Ticonderoga Co. 1,900 7,030
* DJ Orthopedics, Inc. 26,900 698,055
* DLB Oil & Gas, Inc. 1,300 0
* Docent, Inc. 20,121 98,190
* DocuCorp International, Inc. 15,973 159,411
* Document Sciences Corp. 14,200 63,900
* Documentum, Inc. 69,800 2,094,000
* Dollar Thrifty Automotive Group, Inc. 37,100 936,775
* Dominion Homes, Inc. 5,800 176,378
Donegal Group, Inc. Class A 6,066 121,927
Donegal Group, Inc. Class B 2,933 55,404
* Dot Hill Systems Corp. 64,660 1,102,453
* DoubleClick, Inc. 85,582 817,308
*# DOV Pharmaceutical, Inc. 24,494 262,821
Dover Downs Gaming & Entertainment, Inc. 9,910 90,181
Dover Motorsports, Inc. 22,500 94,050
Downey Financial Corp. 36,476 1,761,791
* DPAC Technologies Corp. 20,900 39,292
* Drew Industries, Inc. 9,700 261,318
*# Drexler Technology Corp. 15,800 236,368
* Dril-Quip, Inc. 25,900 387,205
* DRS Technologies, Inc. 33,700 893,050
* Drugstore.com, Inc. 104,600 696,636
* DSP Group, Inc. 42,500 1,023,825
* DT Industries, Inc. 10,300 11,124
* DualStar Technologies Corp. 2,400 972
* Duane Reade, Inc. 36,021 499,971
* Duckwall-ALCO Stores, Inc. 4,100 61,377
* Ducommun, Inc. 14,200 316,234
* DuPont Photomasks, Inc. 26,555 616,607
# Duquesne Light Holdings, Inc. 104,700 1,808,169
* Dura Automotive Systems, Inc. 23,400 241,254
* DuraSwitch Industries, Inc. 10,500 21,682
* Duratek, Inc. 13,500 135,540
*# Durect Corp. 72,787 163,771
* DUSA Pharmaceuticals, Inc. 20,900 112,233
* DVI, Inc. 14,500 1,015
*# Dyax Corp. 36,800 222,272
* Dycom Industries, Inc. 72,066 1,826,873
*# Dynacq Healthcare, Inc. 22,200 409,790
* Dynamex, Inc. 16,600 170,980
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* Dynamic Materials Corp. 2,000 $ 6,100
* Dynamics Research Corp. 12,500 201,862
*# Dynegy, Inc. 65,700 262,800
*# E Com Ventures, Inc. 2,175 25,578
* E-Loan, Inc. 91,300 284,856
E-Z-EM, Inc. 8,562 98,891
* E.piphany, Inc. 110,587 873,637
* Eagle Food Centers, Inc. 2,575 58
* EarthLink, Inc. 198,675 1,907,280
East West Bancorp, Inc. 33,700 1,765,206
Eastern Co. 4,950 70,983
* EasyLink Services Corp. 7,969 10,519
* Eateries, Inc. 3,000 9,750
* Echelon Corp. 60,271 726,266
* Eclipsys Corp. 17,600 179,168
* Ecogen, Inc. 1,364 205
* eCollege.com 25,100 557,220
Ecology & Environment, Inc.
Class A 2,000 19,160
Edelbrock Corp. 5,470 65,038
* Eden Bioscience Corp. 12,800 19,840
* EDGAR Online, Inc. 16,400 32,800
* Edge Petroleum Corp. 9,300 73,842
* Edgewater Technology, Inc. 11,569 57,382
Edo Corp. 29,600 615,680
Educational Development Corp. 1,800 20,520
* Educational Insights, Inc. 2,400 1,356
EFC Bancorp, Inc. 4,600 103,776
*# EFJ, Inc. 7,800 37,050
* eFunds Corp. 70,206 1,218,074
* EGL, Inc. 70,800 1,300,596
* El Paso Electric Co. 108,600 1,379,220
* Elcom International, Inc. 21,800 4,796
* Electro Rent Corp. 29,166 405,407
* Electro Scientific Industries, Inc. 33,300 800,865
*# Electroglas, Inc. 31,200 123,240
* Electronics Boutique Holdings
Corp. 37,130 903,744
*# Electronics for Imaging, Inc. 71,100 1,962,360
* Elizabeth Arden, Inc. 35,500 721,005
ElkCorp 28,600 727,012
* eLoyalty Corp. 6,700 24,120
* ELXSI Corp. 1,800 8,100
* Embarcadero Technologies, Inc. 39,100 564,213
* Embrex, Inc. 11,400 145,122
EMC Insurance Group, Inc. 11,300 231,085
* Emcor Group, Inc. 22,500 924,750
* EMCORE Corp. 55,311 280,980
* Emerging Vision, Inc. 25,700 3,855
* Emeritus Corp. 14,100 90,522
* Emerson Radio Corp. 41,322 145,040
* Emisphere Technologies, Inc. 27,100 162,600
*# Emmis Communications Corp.
Class A 69,400 1,572,604
Empire District Electric Co. 34,200 723,672
* EMS Technologies, Inc. 16,032 340,680
*# En Pointe Technologies, Inc. 6,500 12,018
* Encore Acquisition Co. 44,600 961,576
* Encore Medical Corp. 14,400 97,632
* Encore Wire Corp. 20,300 343,882
* Encysive Pharmaceuticals, Inc. 66,600 498,834
* Endocardial Solutions, Inc. 29,600 $ 222,592
*# Endocare, Inc. 29,100 120,183
* Endologix, Inc. 41,900 159,220
Energen Corp. 41,300 1,608,222
* Energy Conversion Devices, Inc. 31,800 273,480
* Energy Partners, Ltd. 48,100 584,415
Energy West, Inc. 1,700 10,149
EnergySouth, Inc. 6,500 222,950
* Enesco Group, Inc. 20,300 219,849
Engineered Support Systems, Inc. 36,781 1,949,393
* ENGlobal Corp. 1,700 3,910
* Enherent Corp. 17,400 1,609
*# Enlighten Software Solutions, Inc. 1,600 2
Ennis Business Forms, Inc. 23,600 348,808
* EnPro Industries, Inc. 29,900 296,309
* Entegris, Inc. 108,064 1,387,542
* Enterrasys Networks, Inc. 307,100 1,317,459
* Entravision Communications Corp. 105,000 953,400
*# Entremed, Inc. 47,500 184,775
* Entrust, Inc. 95,000 405,650
* Environmental Elements Corp. 5,000 1,350
* Environmental Technologies Corp. 3,700 92
* Environmental Tectonics Corp. 7,100 55,451
* Enzo Biochem, Inc. 44,866 827,778
* Enzon Pharmaceuticals, Inc. 51,600 556,764
* EP Medsystems, Inc. 14,900 52,448
* EpicEdge, Inc. 21,900 985
* Epicor Software Corp. 65,842 815,782
*# Epimmune, Inc. 11,800 21,594
* EPIQ Systems, Inc. 26,250 458,062
* EPIX Medical, Inc. 33,028 595,495
* ePlus, Inc. 10,300 128,750
* ePresence, Inc. 25,100 91,866
*# Equimed Inc. Nevis 2,250 0
* Equity Marketing, Inc. 5,700 78,147
* Equity Oil Co. 12,600 43,835
*# eResearch Technology, Inc. 54,300 1,547,550
* Ergo Science Corp. 7,150 14,300
ESB Financial Corp. 11,762 191,132
* Escalon Medical Corp. 3,200 22,560
* Esco Technologies, Inc. 19,200 816,000
* eSpeed, Inc. 37,600 886,608
* Esperion Therapeutics, Inc. 50,324 1,156,949
Espey Manufacturing & Electronics
Corp. 400 9,820
* ESS Technology, Inc. 57,600 960,768
* Esterline Technologies Corp. 31,600 732,488
Ethan Allen Interiors, Inc. 34,800 1,416,360
* Ethyl Corp. 24,700 503,880
* Euronet Worldwide, Inc. 38,652 650,513
* European Micro Holdings, Inc. 4,600 87
* Evans & Sutherland Computer
Corp. 10,400 48,568
* Evans Systems, Inc. 4,000 320
* Evercel, Inc. 1,666 1,916
* Evergreen Resources, Inc. 58,700 1,645,361
*# Evergreen Solar, Inc. 13,500 27,000
* Everlast Worldwide, Inc. 1,500 4,095
EverTrust Financial Group, Inc. 1,900 57,570
* Evolving Systems, Inc. 12,600 215,460
*# Exabyte Corp. 3,500 2,485
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* Exact Sciences Corp. 28,705 $ 298,532
* Exactech, Inc. 10,800 170,100
* Exar Corp. 60,708 1,177,128
* Excel Technology, Inc. 16,600 522,900
* EXE Technologies, Inc. 4,214 29,713
* Exelixis, Inc. 106,743 718,380
* Exponent, Inc. 6,700 152,224
Extended Stay America, Inc. 106,000 1,568,800
* Extended Systems, Inc. 11,100 50,505
*# Extreme Networks, Inc. 175,500 1,721,655
*# Exult, Inc. 161,081 1,158,172
* Ezcorp, Inc. Class A Non-Voting 10,800 79,812
* Ezenia! Inc. 13,600 4,760
F.N.B. Corp. 42,220 1,400,860
* F5 Networks, Inc. 40,400 1,043,128
* Fab Industries, Inc. 5,200 29,380
*# Factory 2-U Stores, Inc. 26,949 65,756
Factset Research Systems, Inc. 37,900 1,570,955
* Fairchild Corp. Class A 33,352 170,095
* Falcon Products, Inc. 11,800 55,932
*# FalconStor Software, Inc. 68,800 546,960
* Famous Dave's of America, Inc. 16,420 81,936
* Fargo Electronics 18,600 264,492
Farmer Brothers Co. 1,900 608,000
*# Faro Technologies, Inc. 11,800 306,340
FBL Financial Group, Inc. Class A 26,000 679,900
* Featherlite, Inc. 6,500 18,525
Fedders Corp. 44,810 281,855
Federal Screw Works 1,562 51,546
Federal Signal Corp. 72,000 1,090,800
*# Federal-Mogul Corp. 57,900 16,791
* FEI Co. 32,200 773,122
* Female Health Co. 9,300 25,575
Ferro Corp. 61,200 1,389,240
FFLC Bancorp 5,400 159,840
* Fibermark, Inc. 6,900 12,282
*# Fiberstars, Inc. 4,600 33,534
Fidelity Bankshares, Inc. 22,184 615,606
* Fidelity Federal Bancorp 2,500 3,875
Fidelity Southern Corp. 8,800 121,880
* Filenet Corp. 54,787 1,434,872
* Financial Federal Corp. 27,700 911,053
* Financial Industries Corp. 9,762 139,206
* Findwhat.Com 32,100 486,315
*# Finisar Corp. 125,496 501,984
* Finish Line, Inc. Class A 28,000 857,080
* Finishmaster, Inc. 800 7,568
* Finlay Enterprises, Inc. 9,400 152,750
* Firebrand Financial Group, Inc. 9,100 59
First Albany Companies, Inc. 9,098 126,016
First Aviation Services, Inc. 6,200 25,110
First Bancorp 6,210 192,510
* First Cash Financial Services, Inc. 14,400 382,464
First Charter Corp. 44,333 902,620
First Citizens Bancshares, Inc. 1,300 143,507
First Commonwealth Financial
Corp. 88,908 1,293,611
First Community Bancorp 23,500 866,680
* First Consulting Group, Inc. 37,428 197,246
First Defiance Financial Corp. 6,859 191,572
First Essex Bancorp 9,300 530,286
First Federal Bancshares of Arkansas,
Inc. 2,900 $ 112,375
First Federal Capital Corp. 29,731 696,597
First Financial Bancorp 66,225 1,059,600
First Financial Bankshares, Inc. 15,395 652,902
First Financial Corp. 2,550 75,939
First Financial Holdings, Inc. 18,900 595,350
First Franklin Corp. 300 5,379
* First Horizon Pharmaceutical Corp. 51,664 588,970
First Indiana Corp. 21,917 408,752
* First Investors Financial Services
Group, Inc. 5,400 22,896
First Keystone Financial, Inc. 2,000 53,500
First M&F Corp. 2,100 76,314
* First Mariner Bank Corp. 4,900 83,202
First Merchants Corp. 27,708 702,398
First Midwest Bancorp, Inc. 7,375 237,622
First Midwest Financial, Inc. 2,400 53,760
First Mutual Bancshares, Inc. 4,558 113,449
First Niagara Financial Group, Inc. 106,185 1,612,950
First Oak Brook Bancshares, Inc.
Class A 3,150 97,965
First Place Financial Corp. 19,051 352,062
First Republic Bank 19,950 743,137
First SecurityFed Financial, Inc. 4,400 135,472
First Sentinel Bancorp, Inc. 41,508 787,822
First State Bancorporation 10,576 364,766
First United Corp. 3,500 86,030
* First Virtual Communications, Inc. 4,150 9,379
First Years, Inc. 8,100 111,456
Firstbank Corp. 2,700 86,400
FirstBank NW Corp. 2,928 89,568
* FirstCity Financial Corp. 7,900 48,972
FirstFed America Bancorp, Inc. 12,352 321,893
* FirstFed Financial Corp. 25,500 1,198,500
* Firstwave Technologies, Inc. 2,600 13,026
* Fischer Imaging Corp. 9,100 41,405
Flag Financial Corp. 6,500 85,442
# Flagstar Bancorp, Inc. 70,500 1,560,165
Flamemaster Corp. 247 1,660
* Flanders Corp. 39,060 218,345
*# Fleetwood Enterprises, Inc. 57,900 588,843
# Fleming Companies, Inc. 18,882 214
Flexsteel Industries, Inc. 6,100 124,989
*# Flir Systems, Inc. 51,800 1,785,028
* Florida Banks, Inc. 5,700 90,630
Florida East Coast Industries, Inc. 21,900 667,950
Florida Public Utilities Co. 3,866 61,547
Florida Rock Industries, Inc. 34,300 1,972,250
FloridaFirst Bancorp 2,400 67,680
* Flow International Corp. 23,000 80,753
Flowers Foods, Inc. 67,725 1,767,622
* Flowserve Corp. 82,900 1,764,112
Flushing Financial Corp. 18,831 512,203
*# FMC Corp. 52,900 1,583,826
FMS Financial Corp. 3,300 64,482
FNB Corp. 2,700 61,884
FNB Financial Services Corp. 2,100 47,922
* Foamex International, Inc. 36,600 163,236
* FOCUS Enhancements, Inc. 3,132 6,702
* Foodarama Supermarkets, Inc. 1,100 28,325
50
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Foothill Independent Bancorp 6,014 $ 137,119
* Footstar, Inc. 28,200 141,846
Forest City Enterprises, Inc.
Class B 4,500 212,625
* Forest Oil Corp. 67,470 1,690,123
* Forgent Networks, Inc. 36,900 124,353
* Forrester Research, Inc. 33,684 618,438
* Forward Air Corp., Inc. 31,950 908,658
* Fossil, Inc. 62,812 1,830,970
* Foster (L.B.) Co. Class A 10,000 60,000
*# Foster Wheeler, Ltd. 40,600 35,728
* Fotoball USA, Inc. 3,600 14,904
* Fountain Powerboat Industries, Inc. 4,700 14,805
*# FPIC Insurance Group, Inc. 13,946 291,471
Frankfort First Bancorp, Inc. 850 17,425
Franklin Bancorp, Inc. 3,489 71,891
* Franklin Covey Co. 19,300 29,529
Franklin Electric Co., Inc. 10,800 676,620
* Franklin Electronic Publishers, Inc. 7,900 23,700
# Fred's, Inc. 50,250 1,675,837
* FreeMarkets, Inc. 63,000 379,890
# Fremont General Corp. 106,100 1,854,628
Frequency Electronics, Inc. 8,300 86,735
Fresh Brands, Inc. 5,100 55,539
* Fresh Choice, Inc. 5,900 11,505
* Friede Goldman Halter, Inc. 1,083 1
Friedman Industries, Inc. 6,158 18,967
Friedmans, Inc. Class A 31,140 212,686
* Friendly Ice Cream Corp. 7,300 79,351
Frisch's Restaurants, Inc. 4,900 131,320
* Frontier Airlines, Inc. 52,161 843,965
Frontier Oil Corp. 38,400 664,320
* Frozen Food Express Industries, Inc. 16,607 110,270
FSF Financial Corp. 2,300 69,575
* FSI International, Inc. 44,500 292,810
* FTD, Inc. 2,000 49,240
*# FTI Consulting, Inc. 62,525 1,373,674
*# FuelCell Energy, Inc. 59,054 794,867
Fuller (H.B.) Co. 42,409 1,131,048
*# FX Energy, Inc. 19,400 97,000
G & K Services, Inc. Class A 28,500 1,032,270
* G-III Apparel Group, Ltd. 6,700 70,015
GA Financial, Inc. 5,300 152,322
Gabelli Asset Management, Inc. 9,800 367,500
* Gadzooks, Inc. 13,600 65,960
* Gaiam, Inc. 5,500 30,299
* Galaxy Nutritional Foods, Inc. 11,500 31,855
* Galey & Lord, Inc. 9,600 67
*# Galyan's Trading Co. 24,937 332,909
* GameStop Corp. 31,400 507,110
* GameTech International, Inc. 11,100 42,513
* Garden Fresh Restaurant Corp. 5,700 84,246
*# Gardenburger, Inc. 4,000 980
* Gardner Denver Machinery, Inc. 23,588 550,072
* Gartner Group, Inc. 80,500 1,040,060
* Gateway, Inc. 148,600 662,756
GATX Corp. 71,700 1,742,310
* Gaylord Entertainment Co. 55,963 1,683,927
GB & T Bancshares, Inc. 700 16,261
* GC Companies, Inc. 200 83
* Gehl Co. 5,400 83,165
* Genaera Corp. 23,000 $ 88,090
* Genaissance Pharmaceuticals, Inc. 34,000 99,246
Gencorp, Inc. 66,011 660,770
* Gene Logic, Inc. 66,682 324,741
* Genecor International, Inc. 88,308 1,397,033
* Genelabs Technologies, Inc. 49,600 94,240
* General Binding Corp. 13,300 247,513
* General Cable Corp. 49,700 418,971
* General Communications, Inc.
Class A 77,200 675,500
* General DataComm Industries, Inc. 1,310 2,365
* General Employment Enterprises,
Inc. 3,100 4,479
* Genesco, Inc. 32,600 528,120
* Genesee & Wyoming, Inc. 18,500 467,310
* Genesee Corp. Class B 200 738
* Genesis Health 51,500 1,617,615
* Genesis Microchip, Inc. 37,462 691,174
* Geneva Financial Corp. 2,600 2,340
* Genlyte Group, Inc. 18,900 999,054
*# Genome Therapeutics Corp. 39,000 118,131
*# Genta, Inc. 79,400 797,970
* Gentek, Inc. 10,900 44
* Gentiva Health Services, Inc. 13,950 182,326
*# Genus, Inc. 48,321 343,079
* GenVec, Inc. 75,219 268,532
Georgia Gulf Corp. 48,700 1,386,976
* Gerber Scientific, Inc. 33,000 274,230
* Geron Corp. 57,509 702,760
Getty Realty Corp. (Holding Co.) 3,900 97,617
Gevity HR, Inc. 27,400 616,500
* Giant Group, Ltd. 2,200 4,400
* Giant Industries, Inc. 12,300 150,060
Gibraltar Steel Corp. 18,600 453,468
* Giga-Tronics, Inc. 4,600 9,775
Glacier Bancorp, Inc. 29,048 919,950
* Glacier Water Services, Inc. 3,600 72,864
Glatfelter (P.H.) Co. 64,400 771,512
* Glenayre Technologies, Inc. 96,927 289,812
* Global e-Point, Inc. 3,008 15,160
* Global Imaging Systems, Inc. 32,200 943,782
* Global Payment Technologies, Inc. 5,500 18,562
* Global Power Equipment Group,
Inc. 66,900 420,801
* Globecomm Systems, Inc. 16,500 115,500
* GlobespanVirata, Inc. 200,028 1,228,172
* Glowpoint, Inc. 40,750 75,795
*# GoAmerica, Inc. 43,600 23,108
Gold Banc Corp. 58,365 770,418
Golden Enterprises, Inc. 11,800 30,208
* Golden State Vintners, Inc. 5,100 15,963
* Good Guys, Inc. 31,100 63,444
* Goodrich Petroleum Corp. 9,000 46,350
*# Goodyear Tire & Rubber Co. 155,900 1,052,325
Goody's Family Clothing, Inc. 43,942 466,664
Gorman-Rupp Co. 7,975 190,602
* Gottschalks, Inc. 12,700 49,022
* GP Strategies Corp. 14,560 107,016
* Gradco Systems, Inc. 230 2,225
* Graftech International, Ltd. 134,300 1,590,112
Graham Corp. 1,000 9,030
51
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Granite Construction, Inc. 62,300 $ 1,373,715
* Graphic Packaging Corp. 37,700 133,458
Gray Television, Inc. 56,360 730,426
Gray Television, Inc. Class A 6,800 89,216
* Great American Financial Resources,
Inc. 9,900 149,985
* Great Atlantic & Pacific Tea Co., Inc. 57,800 439,280
# Great Lakes Chemical Corp. 75,800 1,721,418
Great Southern Bancorp, Inc. 6,800 290,700
# Greater Bay Bancorp 72,446 1,883,596
Greater Communications Bancorp 3,600 64,872
* Green Mountain Coffee, Inc. 9,600 223,104
Green Mountain Power Corp. 6,800 154,632
*# Greenbriar Corp. 674 2,123
* Greenbrier Companies, Inc. 14,100 204,027
Greene County Bancshares, Inc. 1,900 45,600
* Greens Worldwide, Inc. 2,502 88
Grey Global Group, Inc. 200 136,433
* Grey Wolf, Inc. 296,200 1,004,118
* GRIC Communications, Inc. 40,100 249,021
* Griffin Land & Nurseries, Inc.
Class A 2,200 31,834
* Griffon Corp. 44,380 866,298
* Gristede's Foods, Inc. 1,200 1,218
* Group 1 Automotive, Inc. 34,000 1,179,800
* Group 1 Software, Inc. 16,450 293,468
* Grubb & Ellis Co. 14,900 13,857
* GSI Commerce, Inc. 61,000 597,800
*# GSV, Inc. 1,800 220
* GTC Biotherapeutics, Inc. 39,598 109,290
* GTSI Corp. 11,500 138,575
Guaranty Bancshares, Inc. 3,000 61,950
Guaranty Federal Bancshares, Inc. 3,000 58,155
Guaranty Financial Corp. 1,000 20,005
* Guess, Inc. 64,800 920,160
* Guilford Mills, Inc. 533 6,396
*# Guilford Pharmaceuticals, Inc. 43,447 296,743
* Guitar Center, Inc. 34,800 1,011,636
* Gulf Island Fabrication, Inc. 17,137 305,039
* Gulfmark Offshore, Inc. 19,800 277,794
* Gundle/SLT Environmental, Inc. 11,000 212,850
* Gymboree Corp. 44,400 755,244
* Ha-Lo Industries, Inc. 64,900 71
* Haemonetics Corp. 36,100 824,524
Haggar Corp. 6,300 109,242
* Hain Celestial Group, Inc. 51,088 1,178,600
* Halifax Corp. 1,000 5,070
* Hall Kinion Associates, Inc. 18,000 73,782
* Hammons (John Q.) Hotels, Inc.
Class A 5,200 35,594
* Hampshire Group, Ltd. 4,000 124,120
Hancock Fabrics, Inc. 28,000 397,600
Hancock Holding Co. 20,150 1,153,587
Handleman Co. 36,523 642,805
* Hanger Orthopedic Group, Inc. 31,100 525,590
Hanmi Financial Corp. 5,500 113,685
* Hanover Compressor Co. 121,600 1,157,632
Harbor Florida Bancshares, Inc. 35,698 1,083,434
Hardinge, Inc. 8,800 91,080
Harland (John H.) Co. 42,000 1,150,800
Harleysville Group, Inc. 43,667 855,873
Harleysville National Corp. 35,207 $ 1,083,671
* Harmonic, Inc. 101,660 883,425
* Harolds Stores, Inc. 2,308 8,540
* Harris Interactive, Inc. 83,200 574,080
Harrodsburg First Financial Bancorp,
Inc. 1,100 24,387
* Hartmarx Corp. 33,600 144,480
* Harvard Bioscience, Inc. 44,300 318,960
* Harvest Natural Resources, Inc. 52,900 391,989
* Hastings Entertainment, Inc. 11,300 50,285
* Hastings Manufacturing Co. 700 3,017
* Hauppauge Digital, Inc. 8,800 23,496
* Hauser, Inc. 5,050 252
Haverty Furniture Co., Inc. 15,700 335,352
Haverty Furniture Co., Inc. Class A 400 8,780
* Hawaiian Holdings, Inc. 29,875 82,156
* Hawk Corp. 8,500 28,985
Hawkins, Inc. 10,200 134,742
* Hawthorne Financial Corp. 16,800 452,760
* Headwaters, Inc. 41,700 795,636
* Headway Corporate Resources,
Inc. 12,000 90
* HealthAxis, Inc. 750 2,137
Healthcare Services Group, Inc. 11,100 219,669
* HealthExtras, Inc. 48,650 612,990
Heartland Express, Inc. 59,573 1,445,837
* Hecla Mining Co. 164,600 1,221,332
* Hector Communications Corp. 3,500 49,157
* HEI, Inc. 6,000 18,000
Heico Corp. 13,800 254,886
Heico Corp. Class A 5,532 81,874
* Heidrick & Struggles International,
Inc. 27,400 658,970
Helix Technology Corp. 39,100 848,470
Helmerich & Payne, Inc. 18,600 448,260
*# Hemispherx Biopharma, Inc. 56,500 145,770
Henry Jack & Associates, Inc. 44,242 916,694
* Hercules, Inc. 166,300 1,669,652
* Heritage Commerce Corp. 2,800 35,000
Heritage Financial Corp. 7,500 165,075
* Herley Industries, Inc. 21,000 405,720
* Hexcel Corp. 58,000 402,520
HF Financial Corp. 3,300 59,400
*# Hi-Shear Technology Corp. 8,600 23,564
* Hi-Tech Pharmacal, Inc. 10,850 220,038
* HI/FN, Inc. 10,400 114,608
* Hibbett Sporting Goods, Inc. 23,100 716,562
Hickory Tech Corp. 13,900 168,190
# Hilb Rogal Hamilton Co. 53,600 1,559,760
* Hines Horticulture, Inc. 22,000 90,860
Hirsch International Corp. Class A 3,300 3,597
* HMI Industries, Inc. 2,200 1,815
HMN Financial, Inc. 4,400 108,416
* HMS Holdings Corp. 27,595 118,383
* Hoenig Group Escrow 7,900 1,817
* Holiday RV Superstores, Inc. 930 5
# Hollinger International, Inc. Class A 100,900 1,605,319
* Hollis-Eden Pharmaceuticals, Inc. 28,600 392,678
Holly Corp. 18,600 494,016
* Hollywood Entertainment Corp. 85,373 1,166,195
* Hollywood Media Corp. 28,500 63,840
52
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* Hologic, Inc. 29,700 $ 446,688
Home Federal Bancorp 4,300 123,001
Home Loan Financial Corp. 1,700 34,000
* Home Products International, Inc. 7,800 10,374
* Homegold Financial, Inc. 6,100 49
* HomeStore, Inc. 10,700 37,557
Hooper Holmes, Inc. 101,200 620,356
HopFed Bancorp, Inc. 2,100 37,086
Horace Mann Educators Corp. 59,038 797,603
Horizon Financial Corp. 15,465 273,576
* Horizon Health Corp. 9,900 226,116
* Horizon Offshore, Inc. 39,600 177,408
* Horizon Organic Holding Corp. 13,400 320,796
* Hot Topic, Inc. 66,200 1,972,760
* Houston Exploration Co. 45,297 1,545,081
* Hovnanian Enterprises, Inc.
Class B 1,150 106,087
* HPSC, Inc. 2,100 29,988
* Hub Group, Inc. Class A 7,000 112,280
* Hudson Highland Group, Inc. 2,130 42,983
Hudson River Bancorp, Inc. 22,082 767,570
* Hudson Technologies, Inc. 5,100 4,335
* Huffy Corp. 22,505 153,709
Hughes Supply, Inc. 35,269 1,611,793
Humboldt Bancorp 18,165 317,343
* Hurco Companies, Inc. 5,600 16,240
* Hutchinson Technology, Inc. 38,800 1,263,716
* Huttig Building Products, Inc. 5,300 14,310
* Hycor Biomedical, Inc. 8,000 33,360
* Hydril Co. 23,200 553,784
* Hypercom Corp. 74,200 377,678
* HyperFeed Technologies, Inc. 1,450 8,555
* Hyperion Solutions Corp 56,024 1,858,876
* I-many, Inc. 47,900 45,505
* I-Stat Corp. 30,200 380,520
* I-Trax Inc. 9,200 27,140
* I.C. Isaacs & Co., Inc. 7,200 5,580
Iberiabank Corp. 8,000 463,840
* Ibis Technology Corp. 14,800 240,500
*# icad, Inc. 3,600 20,520
* Ico, Inc. 14,320 17,327
* ICT Group, Inc. 17,923 241,244
*# ICU Medical, Inc. 20,350 693,731
Idacorp, Inc. 57,300 1,684,620
* Identix, Inc. 128,612 666,210
Idex Corp. 42,200 1,666,056
*# IDEXX Laboratories, Inc. 26,400 1,250,040
* iDine Rewards Network, Inc. 34,100 371,690
* IDT Corp. 34,478 648,186
* IDT Corp. Class B 29,500 570,235
* IDX Systems Corp. 44,051 1,127,706
* iGate Capital Corp. 77,112 490,432
* IGEN, Inc. 30,900 1,825,881
* IGI, Inc. 2,100 3,549
* Igo Escrow Share 4,100 0
IHOP Corp. 32,200 1,255,800
* II-VI, Inc. 21,370 486,381
Ikon Office Solutions, Inc. 149,560 1,266,773
* ILEX Oncology, Inc. 58,300 1,216,721
* Illumina, Inc. 47,961 329,012
ILX Resorts, Inc. 2,900 20,010
* Image Entertainment, Inc. 27,400 $ 134,260
*# ImageWare Systems, Inc. 5,500 13,585
# Imation Corp. 9,900 336,105
# IMC Global, Inc. 172,658 1,255,224
* IMCO Recycling, Inc. 22,500 169,875
* Immersion Corp. 29,800 157,940
* Immucor, Inc. 36,875 851,812
* ImmunoGen, Inc. 60,853 287,835
* Immunomedics, Inc. 74,800 288,728
* IMPAC Medical Systems, Inc. 10,400 257,296
*# Impath, Inc. 21,600 65,880
* Impax Laboratoroes, Inc. 78,844 1,111,700
* Impco Technologies, Inc. 24,700 161,785
* Imperial Sugar Co. 4,420 49,018
*# Imperial Sugar Company 14,551 0
* Implant Sciences Corp. 8,700 65,598
* Impreso, Inc. 5,300 9,699
* Incyte Genomics, Inc. 107,930 652,976
Independence Holding Co. 2,750 63,126
Independent Bank Corp. MA 21,900 640,575
Independent Bank Corp. MI 28,786 839,112
* Indevus Pharmaceuticals, Inc. 70,594 400,974
* Index Development Partners, Inc. 9,800 392
* Indus International, Inc. 34,900 104,700
* Industrial Distribution Group, Inc. 8,700 41,325
* Inet Technologies, Inc. 58,057 745,452
* Infinity, Inc. 11,398 42,742
*# Infocrossing, Inc. 5,300 52,942
* InFocus Corp. 59,189 468,777
* Infonet Services Corp. 98,800 187,720
* Informatica Corp. 119,800 1,351,344
*# Information Architects Corp. 1,080 97
* Information Holdings, Inc. 30,900 687,525
* Information Resources, Inc. 3,600 17,640
* Inforte Corp. 16,400 141,040
* InfoSpace, Inc. 46,946 1,232,332
* infoUSA, Inc. 76,762 652,477
Ingles Market, Inc. Class A 14,800 149,480
* Inkine Pharmaceutical Co., Inc. 21,400 111,922
* Innodata Corp. 20,300 84,245
* Innotrac Corp. 11,600 105,444
* Innovative Clinical Solutions, Ltd. 968 8
* Innovative Gaming Corp. 830 12
* Innovative Solutions & Support, Inc. 12,700 190,246
* Innovex, Inc. 27,200 255,680
* Input/Output, Inc. 76,800 300,288
* Insight Communications Co., Inc. 73,575 716,620
* Insight Enterprises, Inc. 69,279 1,295,517
* Insightful Corp. 6,300 14,301
* Insignia Systems, Inc. 17,250 39,847
* Insilco Holding Co. 192 48
* Insite Vision, Inc. 18,000 7,200
* Insituform East, Inc. 1,700 2,584
* Insituform Technologies, Inc.
Class A 39,719 597,771
* Insmed, Inc. 56,718 167,885
* Inspire Pharmaceuticals, Inc. 47,580 823,134
* Insteel Industries, Inc. 4,700 3,995
* Instinet Group, Inc. 38,600 206,896
* Insurance Auto Auctions, Inc. 17,279 219,443
* InsWeb Corp. 1,633 8,165
53
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Integra Bank Corp. 25,183 $ 562,840
* Integra Lifesciences Corp. 40,100 1,258,739
* Integral Systems, Inc. 9,200 197,248
* Integral Vision, Inc. 3,300 577
* IntegraMed America, Inc. 3,100 19,778
* Integrated Bio 9,500 92,150
* Integrated Device Technology, Inc. 69,483 1,309,755
* Integrated Electrical Services, Inc. 54,300 425,712
* Integrated Information Systems, Inc. 820 287
* Integrated Silicon Solution, Inc. 41,800 781,660
* Integrated Telecom Express, Inc. 600 0
* Integrity Media, Inc. 1,900 11,400
*# Intelli-Check, Inc. 12,500 83,750
* Intellidata Technologies Corp. 69,500 114,675
* Intelligent Systems Corp. 4,500 8,190
* Intelligroup, Inc. 16,100 85,008
Inter Parfums, Inc. 18,550 377,307
* Interactive Data Corp. 58,013 977,519
* Interactive Intelligence, Inc. 15,300 86,292
* InterCept Group, Inc. 30,300 320,271
Interchange Financial Services
Corp. 12,600 289,296
* Interdigital Communications Corp. 84,500 1,730,560
* Interep National Radio Sales, Inc. 4,600 9,798
* Interface, Inc. Class A 69,757 396,917
* Interferon Scientific, Inc. 2,435 89
*# Intergraph Corp. 67,600 1,717,040
* Interland, Inc. 18,610 127,478
* Interlink Electronics, Inc. 9,700 67,900
* Intermagnetics General Corp. 25,095 565,390
Intermet Corp. 38,400 187,008
*# InterMune, Inc. 47,700 1,006,947
International Aluminum Corp. 2,100 53,550
* International Microcomputer
Software, Inc. 5,100 6,783
* International Multifoods Corp. 29,000 517,070
* International Remote Imaging
Systems, Inc. 10,100 50,399
* International Shipholding Corp. 6,100 82,350
* Internet Commerce Corp. 4,000 3,840
* Internet Pictures Corp. 4,350 9,657
* Internet Security Systems, Inc. 74,700 1,267,659
* Interphase Corp. 5,400 92,340
Interpool, Inc. 38,000 577,600
* Interpore International, Inc. 26,700 325,206
Interstate Bakeries Corp. 65,700 1,034,775
* Interstate Hotels & Resorts, Inc. 23,840 128,259
Inter-Tel, Inc. 37,500 907,500
* Intervoice, Inc. 50,618 529,464
* Interwoven, Inc. 56,207 841,990
* Intest Corp. 8,600 48,504
* Intevac, Inc. 12,000 203,880
* Intrado, Inc. 23,600 470,820
* Intraware, Inc. 14,200 30,956
* Introgen Therapeutics, Inc. 34,975 245,524
* Intrusion, Inc. 16,200 12,150
* Intuitive Surgical, Inc. 3,908 59,675
Invacare Corp. 42,900 1,673,100
* Inveresk Resh 25,507 561,409
* Inverness Medical Innovations, Inc. 7,461 176,826
* Investment Technology Group, Inc. 70,700 1,251,390
* INVESTools, Inc. 4,283 $ 5,825
Investors Title Co. 1,400 42,840
* Invision Technologies, Inc. 25,400 757,428
* Invivo Corp. 6,600 139,663
* Iomed, Inc. 7,200 16,200
Iomega Corp. 76,295 418,860
* Ion Networks, Inc. 6,500 325
* Ionics, Inc. 26,300 845,545
* Iridex Corp. 6,800 37,298
Irwin Financial Corp. 41,200 1,246,712
Isco, Inc. 5,635 54,885
* Isis Pharmaceuticals, Inc. 83,300 498,967
*# Island Pacific, Inc. 55,300 122,766
* Isle of Capri Casinos, Inc. 53,200 1,072,033
*# Isolagen Inc. 14,800 98,124
* Iteris Holdings, Inc. 300 615
* ITLA Capital Corp. 5,800 291,276
* Itron, Inc. 30,700 589,133
* ITXC Corp. 45,200 178,540
* Ixia 93,400 1,189,916
* IXYS Corp. 49,124 412,642
* J & J Snack Foods Corp. 12,200 439,200
* J Net Enterprises, Inc. 8,400 9,660
* J. Alexander's Corp. 6,700 50,250
* J. Jill Group, Inc. 29,400 374,556
* j2 Global Communication, Inc. 34,332 975,715
* Jack in the Box, Inc. 54,000 1,125,900
# Jacksonville Bancorp, Inc. 1,600 59,768
* Jaclyn, Inc. 1,300 6,175
* Jaco Electronics, Inc. 5,659 39,899
* Jacuzzi Brands, Inc. 112,378 724,838
* Jakks Pacific, Inc. 36,923 501,784
* Jarden Corp. 39,150 1,059,007
* JDA Software Group, Inc. 42,812 780,035
Jefferies Group, Inc. 49,900 1,560,872
* Jennifer Convertibles, Inc. 1,300 4,355
JLG Industries, Inc. 65,100 979,104
* JLM Industries, Inc. 6,500 8,937
* JMAR Industries, Inc. 23,700 38,631
* Jo-Ann Stores, Inc. 8,575 171,929
* Johnson Outdoors, Inc. 6,700 96,815
* Jones Lang LaSalle, Inc. 46,800 980,460
* Jos. A. Bank Clothiers, Inc. 10,000 412,100
* Joule, Inc. 1,500 2,272
* Journal Register Co. 61,500 1,226,925
* Joy Global, Inc. 73,200 1,537,200
* JPS Industries, Inc. 9,200 20,056
* Juno Lighting, Inc. 980 21,442
* Jupitermedia Corp. 28,080 141,804
K Swiss, Inc. Class A 18,300 891,393
* K-Tel International, Inc. 3,800 237
* K-Tron International, Inc. 2,400 40,704
* K-V Pharmaceutical Co. Class A 46,050 1,201,905
* K-V Pharmaceutical Co. Class B 15,375 406,054
* K2, Inc. 42,462 649,669
* Kadant, Inc. 20,420 366,539
* Kaiser Aluminum Corp. 80,100 6,408
Kaman Corp. Class A 34,200 440,154
*# Kansas City Southern Industries,
Inc. 92,600 1,231,580
* Katy Industries, Inc. 8,300 51,045
54
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Kaydon Corp. 42,100 $ 1,028,082
* KBK Capital Corp. 2,200 4,290
* KCS Energy, Inc. 57,400 520,044
* Keane, Inc. 98,164 1,384,112
* Keith Companies, Inc. 9,600 136,896
Keithley Instruments, Inc. 19,800 357,390
Kellwood Co. 39,776 1,521,034
Kelly Services, Inc. 49,905 1,421,294
* Kemet Corp. 134,823 1,779,664
* Kendle International, Inc. 18,903 129,486
Kennametal, Inc. 35,200 1,353,088
* Kennedy-Wilson, Inc. 8,800 53,152
* Kensey Nash Corp. 17,200 361,716
*# Keravision, Inc. 7,400 7
Kewaunee Scientific Corp. 2,000 22,600
* Key Energy Group, Inc. 183,400 1,670,774
* Key Technology, Inc. 4,700 65,424
* Key Tronic Corp. 8,600 18,395
* Keynote Systems, Inc. 18,600 229,524
* Keystone Automotive Industries,
Inc. 22,240 541,989
* Keystone Consolidated Industries,
Inc. 2,100 262
* Kforce, Inc. 46,100 389,545
* KFX, Inc. 70,100 419,899
Kimball International, Inc. Class B 35,200 521,664
* Kindred Healthcare, Inc. 26,500 1,367,135
* Kirby Corp. 36,200 1,086,000
* Kirklands, Inc. 17,200 359,480
* Kit Manufacturing Co. 300 0
Klamath First Bancorp, Inc. 6,800 174,420
Knape & Vogt Manufacturing Co. 2,290 25,785
* Knight Trading Group, Inc. 50,956 735,295
* Knight Transportation, Inc. 56,025 1,357,486
* Koala Corp. 6,500 747
* Komag Inc. 34,709 572,351
* Kontron Mobile Computing, Inc. 8,900 3,355
* Kopin Corp. 103,587 733,396
* Korn/Ferry International 56,400 565,692
*# Kos Pharmaceuticals, Inc. 32,100 1,428,450
* Kosan Biosciences, Inc. 37,224 354,000
Koss Corp. 3,600 65,880
* Kroll, Inc. 62,560 1,498,312
* Kronos, Inc. 38,900 1,523,713
* Kulicke & Soffa Industries, Inc. 75,034 1,236,560
* KVH Industries, Inc. 17,300 545,642
* Kyphon, Inc. 57,700 1,580,980
* La Jolla Pharmceutical Co. 76,200 220,980
La-Z-Boy, Inc. 82,000 1,656,400
* LaBarge, Inc. 15,700 98,125
* LabOne, Inc. 17,650 511,674
* Labor Ready, Inc. 60,800 693,120
Labranche & Co., Inc. 54,800 453,196
Laclede Group, Inc. 28,000 819,000
* LaCrosse Footwear, Inc. 5,800 31,900
Ladish Co., Inc. 19,500 160,095
Lakeland Bancorp, Inc. 13,119 209,904
* Lakeland Industries, Inc. 2,420 31,291
* Lakes Entertainment, Inc. 10,975 158,029
* Lamson & Sessions Co. 20,000 117,000
Lance, Inc. 62,400 874,224
* Lancer Corp. 9,325 $ 51,194
Landamerica Financial Group, Inc. 27,900 1,434,060
Landauer, Inc. 12,400 466,240
* Landec Corp. 31,790 206,635
Landry's Restaurants, Inc. 41,400 1,015,128
* Landstar Systems, Inc. 36,400 1,310,400
* Lannet Co., Inc. 30,030 538,138
* Lantronix, Inc. 15,000 16,800
* Larscom, Inc. 1,157 5,854
* Laserscope 25,950 415,200
* Latitude Communications, Inc. 28,400 110,760
* Lattice Semiconductor Corp. 165,266 1,565,069
Lawson Products, Inc. 9,600 325,728
* Lawson Software, Inc. 146,808 1,239,060
* Layne Christensen Co. 11,600 120,640
* Lazare Kaplan International, Inc. 8,700 58,725
* LCA-Vision, Inc. 16,150 270,997
* LCC International, Inc. Class A 21,900 107,529
* Learning Tree International, Inc. 25,600 444,672
* Lecroy Corp. 10,100 168,670
* Lectec Corp. 3,900 1,950
Leesport Financial Corp. 525 12,758
Lennox International, Inc. 87,905 1,494,385
* Lesco, Inc. 18,300 233,691
*# Level 8 Systems, Inc. 4,629 1,805
* Lexar Media, Inc. 87,097 1,860,392
* Lexent, Inc. 39,200 57,232
* Lexicon Genetics, Inc. 91,200 478,800
Libbey, Inc. 20,400 597,924
* Liberate Technologies, Inc. 106,300 390,653
Liberty Corp. 27,300 1,213,485
Liberty Homes, Inc. Class A 200 1,020
* Lifecell Corp. 37,700 211,120
* Lifecore Biomedical, Inc. 19,300 129,310
* Lifeline Systems, Inc. 4,100 143,500
# Lifetime Hoan Corp. 15,862 222,068
* Ligand Pharmaceuticals, Inc.
Class B 103,477 1,384,522
* Lightbridge, Inc. 40,121 386,365
* Lightning Rod Software, Inc. 580 696
* LightPath Technologies, Inc. 1,850 5,421
* Lin TV Corp. 39,300 882,285
Lincoln Electric Holdings 62,062 1,571,410
Lindsay Manufacturer Co. 17,600 428,912
*# Linens 'n Things, Inc. 66,300 1,949,883
* Lionbridge Technologies, Inc. 31,197 336,928
* Lipid Sciences, Inc. 10,258 25,440
Liquid Audio, Inc. 19,100 5,253
*# Liquidmetal Technologies, Inc. 5,500 11,550
Lithia Motors, Inc. Class A 20,910 518,986
* Littlefuse, Inc. 32,500 968,175
* LMI Aerospace, Inc. 7,900 14,141
LNB Bancorp, Inc. 1,200 25,020
# LNR Property Corp. 29,900 1,323,075
* Local Financial Corp. 9,500 188,765
* Lodgenet Entertainment Corp. 18,900 341,145
* Lodgian, Inc. 155 967
*# Log On America, Inc. 600 2
* Logic Devices, Inc. 6,700 12,261
* LogicVision, Inc. 12,600 56,574
* Logility, Inc. 13,200 64,152
55
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* Lojack Corp. 22,100 $ 195,806
Lone Star Steakhouse & Saloon,
Inc. 31,300 722,091
* Lone Star Technologies, Inc. 42,200 584,470
Longs Drug Stores Corp. 56,200 1,376,900
Longview Fibre Co. 76,000 833,720
* LookSmart, Ltd. 142,767 212,723
* LOUD Technologies, Inc. 12,400 36,580
* Louisiana-Pacific Corp. 105,900 1,915,731
Lowrance Electronics, Inc. 2,200 44,990
LSB Bancshares, Inc. NC 5,156 97,294
LSB Corp. 4,300 74,609
LSI Industries, Inc. 29,327 365,121
* LTX Corp. 78,100 1,302,708
* Luby's, Inc. 39,700 149,272
Lufkin Industries, Inc. 6,400 166,336
* Luminex Corp. 44,555 470,055
* Lydall, Inc. 23,300 285,192
* Lynch Corp. 1,500 16,028
* Lynch Interactive Corp. 2,800 65,870
* M & F Worldwide Corp. 19,500 270,075
* M-Wave, Inc. 2,900 1,711
M/I Schottenstein Homes, Inc. 21,600 828,360
MacDermid, Inc. 46,500 1,525,200
* Mace Security International, Inc. 11,200 22,400
* Mac-Gray Corp. 12,600 63,000
* Macromedia, Inc. 74,488 1,527,749
* Macrovision Corp. 73,100 1,673,990
* Madden (Steven), Ltd. 19,600 419,048
MAF Bancorp, Inc. 37,659 1,653,607
* Magic Lantern Group, Inc. 1,700 2,363
*# Magma Design Automation, Inc. 48,283 1,136,099
* Magna Entertainment Corp. 22,300 104,810
* Magnetek, Inc. 36,400 234,780
* Magnum Hunter Resources, Inc. 98,302 883,735
* MAI Systems Corp. 3,400 459
* MAII Holdings, Inc. 3,400 0
* Mail-Well, Inc. 83,000 313,740
* Main Street & Main, Inc. 15,500 37,975
Main Street Banks, Inc. 28,000 741,440
Maine & Maritimes Corp. 1,600 55,200
* MAIR Holdings, Inc. 30,516 232,227
* Major Automotive Companies, Inc. 3,280 2,066
* Management Network Group, Inc. 34,000 109,752
* Manatron, Inc. 1,102 9,367
* Manchester Technologies, Inc. 8,000 26,400
*# Manhattan Associates, Inc. 43,400 1,320,662
Manitowoc Co., Inc. 39,650 1,070,550
* Mannatech, Inc. 13,500 164,700
* Manning (Greg) Auctions, Inc. 9,200 103,500
* Manufacturers' Services Ltd. 47,800 291,580
* Manugistic Group, Inc. 108,900 725,274
* Mapics, Inc. 34,056 411,056
* Mapinfo Corp. 23,100 204,435
* Marimba, Inc. 37,200 191,208
Marine Products Corp. 17,020 278,277
* MarineMax, Inc. 29,375 558,125
* Marisa Christina, Inc. 6,700 10,720
Maritrans, Inc. 7,800 129,558
*# MarketWatch.com, Inc. 26,041 230,723
* MarkWest Hydrocarbon, Inc. 9,350 107,525
* Marlton Technologies, Inc. 7,800 $ 4,251
Marsh Supermarkets, Inc. Class A 1,600 17,584
Marsh Supermarkets, Inc. Class B 4,500 49,500
* Martek Biosciences Corp. 31,500 1,913,310
* Marten Transport, Ltd. 6,300 151,956
* Martha Stewart Living
Omnimedia, Ltd. 28,300 276,774
* Mascotech, Inc. 60,200 0
MASSBANK Corp. 4,700 189,692
Massey Energy Co. 110,600 1,537,340
* Mastec, Inc. 70,850 940,888
* Material Sciences Corp. 21,300 202,137
* Matria Healthcare, Inc. 15,269 311,946
*# Matritech, Inc. 30,500 62,525
* Matrix Bancorp, Inc. 6,500 59,410
* Matrix Service Co. 24,400 389,180
* MatrixOne, Inc. 83,200 495,040
* Matrixx Initiatives, Inc. 14,200 239,270
Matthews International Corp.
Class A 48,400 1,377,948
* Mattson Technology, Inc. 67,445 1,035,281
* Maui Land & Pineapple Company,
Inc. 10,200 319,260
* Maverick Tube Corp. 62,900 1,162,392
* Max & Ermas Restaurants, Inc. 2,300 42,838
* Maxco, Inc. 3,100 8,138
Maxcor Financial Group, Inc. 9,372 122,773
* Maxicare Health Plans, Inc. 3,580 895
*# Maxim Pharmaceuticals, Inc. 33,833 240,891
* Maximus, Inc. 31,300 1,186,270
* Maxwell Shoe Company, Inc. 21,600 379,944
* Maxwell Technologies, Inc. 20,760 167,118
* Maxxam, Inc. 8,900 142,400
* Maxygen, Inc. 52,137 565,686
* Mayor's Jewelers, Inc. 20,300 15,225
* Mays (J.W.), Inc. 200 2,724
MB Financial, Inc. 25,800 1,340,568
* McDATA Corp. 121,454 1,292,271
McGrath Rent Corp. 18,200 498,498
*# McMoran Exploration Co. 25,064 450,149
McRae Industries, Inc. Class A 2,600 23,790
* Meade Instruments Corp. 29,800 125,160
* Meadow Valley Corp. 2,400 3,958
* Meadowbrook Insurance Group,
Inc. 13,900 55,600
*# Measurement Specialties, Inc. 12,900 176,601
* Mechanical Technology, Inc. 4,700 23,500
* Medarex, Inc. 117,170 796,756
* MedCath Corp. 17,249 163,676
*# Med-Design Corp. 24,500 90,895
* Media 100, Inc. 7,100 5,325
* Media Arts Group, Inc. 20,600 81,164
Media General, Inc. Class A 3,100 207,359
* MediaBay, Inc. 14,700 19,257
* Mediacom Communications Corp. 136,000 1,048,560
* Medialink Worldwide, Inc. 5,900 18,290
* Medical Action Industries, Inc. 14,900 247,340
* Medical Staffing Network Holdings,
Inc. 44,300 431,925
* Medicore, Inc. 3,800 8,759
*# Medifast, Inc. 15,900 241,680
56
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* Medquist, Inc. 64,700 $ 995,733
* MedSource Technologies, Inc. 40,500 187,110
* Medstone International, Inc. 3,900 18,412
* MEDTOX Scientific, Inc. 5,030 28,168
* Memberworks, Inc. 17,500 474,775
* Mens Warehouse, Inc. 59,100 1,816,143
Mentor Corp. 69,600 1,534,680
*# Mentor Graphics Corp. 102,400 1,500,160
Mercantile Bank Corp. 1,200 41,160
Merchants Bancshares, Inc. 6,150 181,425
Merchants Group, Inc. 1,300 31,636
* Mercury Air Group, Inc. 4,950 24,255
* Mercury Computer Systems, Inc. 31,500 754,425
* Merge Technologies, Inc. 17,094 299,145
Meridian Bioscience, Inc. 20,583 213,446
*# Meridian Resource Corp. 75,300 343,368
* Merit Medical Systems, Inc. 28,725 899,093
* Meritage Corp. 18,200 1,149,330
* Merix Corp. 21,619 451,405
* Merrimac Industries, Inc. 2,860 17,017
* Mesa Air Group, Inc. 47,200 568,760
Mesa Labs, Inc. 3,300 29,849
* Mestek, Inc. 5,400 101,520
* Meta Group, Inc. 12,700 71,374
* MetaSolv, Inc. 40,000 96,000
Methode Electronics, Inc. Class A 34,100 437,503
Met-Pro Corp. 8,100 122,310
# Metris Companies, Inc. 84,700 377,762
*# Metro One Telecommunications,
Inc. 33,950 65,863
MetroCorp. Bancshares, Inc. 7,000 99,015
* Metrologic Instruments, Inc. 16,200 441,288
* Metromedia International Group,
Inc. 44,700 6,817
MFB Corp. 1,300 40,983
* MFRI, Inc. 4,900 13,083
MGE Energy, Inc. 26,492 848,009
* MGI Pharma, Inc. 45,100 1,730,487
MGP Ingredients, Inc. 8,000 94,400
* Michael Anthony Jewelers, Inc. 7,400 15,059
* Micrel, Inc. 122,273 2,090,868
*# Micro Component Technology, Inc. 14,052 21,078
* Micro Linear Corp. 12,000 72,000
* MicroFinancial, Inc. 13,000 41,470
* Micromuse, Inc. 117,493 945,819
* Micros Systems, Inc. 27,100 1,172,346
* Micros to Mainframes, Inc. 4,900 6,664
* Microsemi Corp. 43,500 1,054,005
* MicroStrategy, Inc. 10,200 550,800
* Microtek Medical Holdings, Inc. 63,210 258,529
* Micro-Therapeutics, Inc. 21,500 79,980
* Microtune, Inc. 63,300 138,627
* Microvision, Inc. 26,746 207,282
* Midas, Inc. 22,600 342,390
Middleby Corp. 13,100 446,985
Middlesex Water Co. 8,400 168,000
Midland Co. 6,600 139,788
Mid-State Bancshares 34,896 902,062
*# Midway Games, Inc. 69,900 236,262
Midwest Banc Holdings, Inc. 26,050 570,495
* Midwest Express Holdings, Inc. 22,400 92,960
*# Mikohn Gaming Corp. 19,600 $ 85,456
Milacron, Inc. 58,600 135,952
*# Millennium Cell, Inc. 44,800 116,928
Millennium Chemicals, Inc. 94,900 1,026,818
* Miller Industries, Inc. 9,280 57,536
* Millerbuilding Systems Escrow
Shares 3,200 960
* Millicom International Cellular S.A. 81 6,480
* Miltope Group, Inc. 5,800 34,916
* MIM Corp. 31,700 223,485
Mine Safety Appliances Co. 12,000 805,560
Minerals Technologies, Inc. 26,100 1,395,045
* Minorplanet Systems USA, Inc. 4,460 1,962
Minuteman International, Inc. 1,000 9,230
* MIPS Technologies, Inc. 22,200 120,990
*# Miravant Medical Technologies 1,800 1,854
* Misonix, Inc. 9,300 37,860
* Mission Resources Corp. 34,200 61,560
* Mississippi Chemical Corp. 4,742 379
* Mitcham Industries, Inc. 8,700 17,922
* Mitek Systems, Inc. 11,100 25,097
* Mity Enterprises, Inc. 5,000 92,100
* MKS Instruments, Inc. 72,242 2,001,826
*# MKTG Services, Inc. 471 2,859
* Mobile Mini, Inc. 21,547 425,122
* Mobility Electronics, Inc. 34,800 389,760
* Mobius Management Systems, Inc. 17,100 256,671
Mocon, Inc. 5,500 47,190
* Modem Media, Inc. 1,800 11,358
Modine Manufacturing Co. 50,295 1,283,025
* Mod-Pac Corp. 2,750 21,533
* Mod-Pac Corp. Class B 1,112 8,707
* Modtech Holdings, Inc. 18,852 156,283
* Moldflow Corp. 15,109 169,976
* Molecular Devices Corp. 34,540 684,928
* Monaco Coach Corp. 43,150 1,003,669
* Monarch Casino and Resort, Inc. 8,000 81,120
* Mondavi (Robert) Corp. Class A 14,400 504,000
* Monolithic System Technology, Inc. 45,933 342,660
* Monro Muffler Brake, Inc. 12,300 272,445
* Monterey Pasta Co. 21,300 81,579
*# Mony Group, Inc. 6,100 192,272
* Moog, Inc. Class A 12,800 556,800
* Moog, Inc. Class B 2,200 96,404
* Moore Medical Corp. 3,100 20,770
* Morgan Group Holding Co. 4,400 550
* Morgan's Foods, Inc. 900 1,350
* Morton Industrial Group, Inc.
Class A 1,000 600
* Mossimo, Inc. 16,600 82,170
* Mother's Work, Inc. 7,654 193,340
* Motor Car Parts & Accessories,
Inc. 2,500 14,075
Movado Group, Inc. 12,000 326,280
*# Movie Gallery, Inc. 48,800 863,272
* MPS Group, Inc. 154,000 1,416,800
* MPW Industrial Services Group 5,000 11,175
* MRO Software, Inc. 36,800 507,840
* MRV Communications, Inc. 153,500 615,535
MSC Industrial Direct Co., Inc.
Class A 33,100 871,854
57
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* MSC Software Corp. 45,300 $ 446,205
* MTC Technologies, Inc. 14,800 443,260
*# MTI Technology Corp. 1,300 3,185
* MTR Gaming Group, Inc. 40,714 451,925
MTS Systems Corp. 32,140 596,840
* Mueller Industries, Inc. 50,445 1,630,382
* Multi Color Corp. 1,500 43,125
* Multimedia Games, Inc. 19,700 806,321
MutualFirst Financial, Inc. 2,000 51,180
Myers Industries, Inc. 39,563 495,724
* Mykrolis Corp. 59,800 947,232
* Myriad Genetics, Inc. 40,600 479,892
Mystic Financial, Inc. 1,575 44,179
* Nabi Biopharmaceuticals 69,550 749,054
Nacco Industries, Inc. Class A 6,500 507,000
*# Nanogen, Inc. 36,600 120,780
* Nanometrics, Inc. 17,194 251,032
* Nanophase Technologies Corp. 23,598 126,485
* Napco Security Systems, Inc. 2,150 17,469
Nara Bancorp, Inc. 7,000 153,370
Nash-Finch Co. 17,900 359,969
* Nashua Corp. 5,800 50,924
* Nassda Corp. 38,875 274,069
*# Nastech Pharmaceutical Co., Inc. 14,500 145,725
* NATCO Group, Inc. Class A 16,800 100,800
* Nathans Famous, Inc. 7,000 36,260
* National Beverage Corp. 18,100 272,948
* National Dentex Corp. 3,500 73,850
* National Equipment Services, Inc. 7,600 532
* National Home Health Care Corp. 5,465 48,311
* National Medical Health Card
Systems, Inc. 7,200 165,600
National Penn Bancshares, Inc. 36,284 1,215,514
National Presto Industries, Inc. 6,800 242,080
* National Processing, Inc. 116,000 2,813,000
* National Research Corp. 7,000 108,423
* National RV Holdings, Inc. 11,900 127,925
* National Steel Corp. Class B 2,000 8
* National Technical Systems, Inc. 8,600 49,364
* National Western Life Insurance Co.
Class A 1,000 146,205
* Natrol, Inc. 10,000 29,000
* Natural Alternatives International,
Inc. 5,400 32,022
Nature's Sunshine Products, Inc. 20,466 165,365
* Natus Medical, Inc. 14,600 54,896
# Nautilus Group, Inc. 48,900 695,847
*# Navarre Corp. 32,400 230,364
* Navidec, Inc. 644 692
* Navigant Consulting, Inc. 65,300 1,129,690
*# Navigant International, Inc. 23,200 322,480
* Navigators Group, Inc. 8,400 267,204
NBT Bancorp 48,956 1,071,157
* NCI Building Systems, Inc. 26,900 626,501
* NCO Group, Inc. 38,332 885,469
* NCO Portfolio Management, Inc. 1,945 14,588
# NDChealth Corp. 52,800 1,412,400
* Nektar Therapeutics 83,269 1,097,485
Nelson (Thomas), Inc. 13,100 230,560
*# Neoforma, Inc. 27,937 445,875
* Neogen Corp. 6,100 128,283
* NeoMagic Corp. 45,900 $ 148,716
* NEON Systems, Inc. 8,600 30,960
* Neopharm, Inc. 28,217 506,213
* Neose Technologies, Inc. 25,900 218,337
* Neoware Systems, Inc. 6,900 115,713
Net Perceptions, Inc. 22,600 7,684
* Net2Phone, Inc. 47,200 297,360
NetBank, Inc. 57,533 753,682
* Netegrity, Inc. 52,100 638,225
* Netflix, Inc. 37,200 1,822,800
* Netguru, Inc. 17,200 20,468
* NetIQ Corp. 85,487 1,024,989
* NetManage, Inc. 10,442 56,387
* Netopia, Inc. 32,100 491,130
* NetRatings, Inc. 47,563 481,338
* Netscout System, Inc. 43,000 374,960
* NetSolve, Inc. 12,100 99,704
* Network Engines, Inc. 50,700 529,308
* Network Equipment Technologies,
Inc. 34,500 358,800
*# Network Plus Corp. 14,500 17
* Neurobiological Technologies, Inc. 2,700 12,015
* Neurogen Corp. 26,417 168,567
Nevada Chemicals, Inc. 2,500 12,723
* Nevada Gold & Casinos, Inc. 15,850 188,615
* New Brunswick Scientific Co., Inc. 7,660 46,718
* New Century Equity Holdings Corp. 33,400 10,688
# New Century Financial Corp. 51,150 1,946,258
New England Business Services, Inc. 19,800 594,000
* New Focus, Inc. 83,129 406,501
New Hampshire Thrift BancShares,
Inc. 200 6,200
* New Horizons Worldwide, Inc. 10,200 62,730
New Jersey Resources Corp. 40,800 1,566,720
Newmil Bancorp, Inc. 4,400 117,876
* Newpark Resources, Inc. 121,300 487,626
* Newport Corp. 54,718 931,848
* Newtek Business Services, Inc. 2,600 15,444
* Niagara Corp. 8,200 23,124
* NIC, Inc. 87,400 615,296
Nitches, Inc. 864 4,018
NL Industries, Inc. 68,800 1,230,144
* NMS Communications Corp. 51,800 303,030
* NMT Medical, Inc. 11,500 40,250
NN, Inc. 15,250 177,205
* Nobel Learning Communities, Inc. 6,500 31,850
* Nobility Homes, Inc. 4,100 43,706
Noble International, Ltd. 11,660 196,005
* Noel Group, Inc. 8,000 24
# Noland Co. 200 7,413
Nordson Corp. 49,600 1,612,496
* Norstan, Inc. 19,500 60,450
* North America Galvanizing &
Coatings, Inc. 6,700 9,179
* North American Scientific, Inc. 14,300 143,000
North Central Bancshares, Inc. 1,700 65,467
* North Coast En 9,200 98,440
North Pittsburgh Systems, Inc. 22,000 405,438
Northeast Bancorp 900 18,225
Northeast Pennsylvania Financial
Corp. 4,400 85,800
58
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Northern Technologies International
Corp. 3,000 $ 14,985
*# Northfield Laboratories, Inc. 21,700 125,860
* Northland Cranberries, Inc. 6,900 4,968
Northrim BanCorp, Inc. 6,068 138,542
*# Northwest Airlines Corp. 128,800 1,701,448
Northwest Bancorp, Inc. 71,404 1,565,890
Northwest Natural Gas Co. 38,600 1,177,300
* Northwest Pipe Co. 6,300 93,240
* Novadigm, Inc. 28,200 104,340
*# Novamed Eyecare, Inc. 19,300 46,320
* Novavax, Inc. 45,200 259,900
* Novell, Inc. 6,970 66,215
* Noven Pharmaceuticals, Inc. 33,308 457,319
* Novoste Corp. 23,100 115,731
*# NPS Pharmaceuticals, Inc. 55,200 1,665,936
* NS Group, Inc. 31,300 233,811
* NTN Communications, Inc. 63,793 248,793
* Nu Horizons Electronics Corp. 23,700 190,074
*# Nucentrix Broadband Networks,
Inc. 10,400 16,120
* NuCo2, Inc. 16,000 201,280
* Nuevo Energy Co. 28,900 570,486
NUI Corp. 29,892 467,212
* Numerex Corp. Class A 10,800 42,120
NuSkin Enterprises, Inc. 46,400 805,968
* Nutraceutical International Corp. 15,776 204,299
* Nutramax Products, Inc. 3,300 3
* Nutrition 21, Inc. 11,400 10,830
* Nuvelo, Inc. 110,467 431,926
NWH, Inc. 4,200 81,606
* NYFIX, Inc. 46,481 387,187
Nymagic, Inc. 8,700 233,421
* O'Charleys, Inc. 31,250 532,813
* O.I. Corp. 2,700 19,265
Oak Hill Financial, Inc. 3,000 93,000
Oakley, Inc. 98,800 1,294,280
* OAO Technology Solutions, Inc. 17,700 55,224
* Obie Media Corp. 5,900 16,019
* Oceaneering International, Inc. 36,300 793,155
OceanFirst Financial Corp. 19,732 520,333
* Ocular Sciences, Inc. 35,700 1,022,091
* Ocwen Financial Corp. 94,934 659,791
* Odd Job Stores, Inc. 12,700 38,735
* Odetics, Inc. Series B 200 80
* Odyssey Healthcare, Inc. 53,800 1,915,818
* Officemax, Inc. 159,500 1,567,885
* Offshore Logistics, Inc. 33,800 853,450
*# Oglebay Norton Co. 5,300 9,858
*# Ohio Casualty Corp. 88,600 1,507,086
* Oil States International, Inc. 67,131 843,165
Oil-Dri Corp. of America 4,200 62,958
* Old Dominion Freight Lines, Inc. 24,000 764,880
Olin Corp. 87,552 1,594,322
* Olympic Steel, Inc. 9,600 54,192
* OM Group, Inc. 42,500 1,028,925
Omega Financial Corp. 8,200 311,600
* Omega Protein Corp. 35,700 223,125
* Omnicell, Inc. 33,600 442,176
*# OmniVision Technologies, Inc. 32,000 2,085,120
* Omnova Solutions, Inc. 13,900 50,735
* Omtool, Ltd. 1,785 $ 12,816
* On Assignment, Inc. 35,200 178,464
* On Command Corp. 23,100 42,851
* ON Semiconductor Corp. 385,900 2,539,222
* On Technology Corp. 44,000 173,096
* On2.cCom, Inc. 75,000 120,000
* One Price Clothing Stores, Inc. 2,957 1,656
# Oneida, Ltd. 24,900 118,275
* OneSource Information Services,
Inc. 11,900 117,084
* Online Resources Corp. 22,300 143,612
* Onyx Acceptance Corp. 5,100 56,202
* Onyx Pharmacueticals, Inc. 43,700 1,257,686
* ONYX Software Corp. 20,800 83,845
* OPENT Technologies, Inc. 29,300 527,107
* OpenTV Corp. 40,846 141,736
* Openwave Systems Inc. 51,299 617,127
* Opinion Research Corp. 6,700 37,989
* Oplink Communications, Inc. 53,100 126,909
* Opti, Inc. 11,600 16,472
* Optical Communication Products,
Inc. 44,350 176,070
* Optical Sensors, Inc. 1,633 6,695
* OpticNet, Inc. 5,600 6
* Optika, Inc. 8,200 35,670
* Option Care, Inc. 31,300 311,122
* OraSure Technologies, Inc. 65,900 549,606
* Orbit International Corp. 1,582 10,598
* Orbital Sciences Corp. 71,900 659,323
* Oregon Steel Mills, Inc. 38,800 115,236
*# Orleans Homebuilders, Inc. 11,300 320,242
* Orphan Medical, Inc. 10,300 96,820
*# Orthodontic Centers of America,
Inc. 76,951 545,583
* Orthologic Corp. 49,126 354,690
Oshkosh B'Gosh, Inc. Class A 14,500 313,200
Oshkosh Truck Corp. Class B 32,200 1,510,180
* OSI Pharmaceutical, Inc. 58,773 1,747,321
*# OSI Systems, Inc. 21,800 405,044
* Osteotech, Inc. 25,600 195,840
Otter Tail Co. 38,600 1,051,078
Outlook Group Corp. 2,400 12,000
* Overland Storage, Inc. 19,475 382,879
Overseas Shipholding Group, Inc. 53,525 1,506,729
* Overstock Com 24,400 385,764
Owens & Minor, Inc. 50,600 1,073,226
* Owosso Corp. 4,700 376
Oxford Industries, Inc. 7,500 512,100
*# Oxigene, Inc. 12,600 123,606
* Oxis International, Inc. 7,900 4,582
* OYO Geospace Corp. 5,100 67,779
* P&F Industries, Inc. Class A 1,300 11,050
* P.F. Chang's China Bistro, Inc. 35,500 1,916,290
* Pacific Aerospace & Electronics,
Inc. 128 14
Pacific Capital Bancorp 50,933 1,881,974
Pacific Crest Capital, Inc. 2,120 54,548
* Pacific Mercantile Bancorp 5,900 54,280
* Pacific Premier Bancorp, Inc. 2,400 23,160
* Packaging Dynamics Corp. 4,120 44,702
* Packeteer, Inc. 48,100 912,409
59
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* Pac-West Telecomm, Inc. 23,100 $ 51,282
* Pain Therapeutics, Inc. 53,027 323,465
* Palatin Technologies, Inc. 62 192
*# Paligent, Inc. 347 16
* Palm Harbor Homes, Inc. 33,011 627,209
* Palmone Inc. 46,984 703,350
* Palmsource Inc. 13,781 352,656
* PAM Transportation Services, Inc. 16,150 315,733
Pamrapo Bancorp, Inc. 5,100 126,327
* Panavision, Inc. 3,600 21,330
*# Panera Bread Co. 39,600 1,543,608
* Pantry, Inc. 9,900 228,007
*# Papa John's International, Inc. 26,900 709,891
* Par Technology Corp. 7,800 61,854
* Paradyne Networks Corp. 55,455 254,538
* Paragon Technologies, Inc. 4,200 40,278
* Parallel Petroleum Corp. 31,000 118,079
* Parametric Technology Corp. 388,388 1,328,287
* Parexel International Corp. 38,400 709,632
Park Bancorp, Inc. 1,200 34,188
Park Electrochemical Corp. 28,750 734,563
* Parker Drilling Co. 137,000 327,430
*# Parkervision, Inc. 19,300 193,000
* Park-Ohio Holdings Corp. 10,400 76,232
Parkvale Financial Corp. 5,700 152,019
* Parlex Corp. 6,300 51,345
* Parlux Fragrances, Inc. 9,900 32,165
* ParthusCeva, Inc. 10,833 94,789
* Party City Corp. 24,722 355,008
* Pathmark Stores, Inc. 42,179 306,220
* Patient Infosystems, Inc. 8,800 2,552
Patina Oil & Gas Corp. 44,465 1,995,589
Patrick Industries, Inc. 4,500 38,610
Patriot Bank Corp. 6,930 154,193
* Patriot Transportation Holding, Inc. 2,500 74,525
* Paula Financial, Inc. 6,100 9,455
* Paul-Son Gaming Corp. 4,100 24,518
* Paxar Corp. 58,600 770,590
* Paxson Communications Corp. 88,700 425,760
* Payless Cashways, Inc. 160 0
* Payless ShoeSource, Inc. 102,100 1,315,048
* PC Connection, Inc. 37,150 325,063
* PC Mall, Inc. 10,700 142,952
* PC-Tel, Inc. 37,700 337,415
* PDF Solutions, Inc. 33,959 375,926
* PDI, Inc. 21,500 621,350
* PDS Gaming Corp. 1,100 2,200
* PEC Solutions, Inc. 38,000 684,380
* Pediatric Services of America, Inc. 6,100 53,070
* Pediatrix Medical Group, Inc. 32,200 1,727,852
* Peerless Manufacturing Co. 3,000 35,565
* Peerless Systems Corp. 23,100 78,540
* Peet's Coffee & Tea, Inc. 19,150 322,103
*# Pegasus Communications Corp. 7,570 151,930
* Pegasus Solutions, Inc. 37,233 442,328
* Pegasystems, Inc. 51,900 415,200
* Pemco Aviation Group, Inc. 950 26,975
* Pemstar, Inc. 61,000 229,360
Penford Corp. 7,300 105,339
Penn Engineering & Manufacturing
Corp. Class A 1,200 17,400
Penn Engineering & Manufacturing
Corp. Non-Voting 15,000 $ 246,000
* Penn National Gaming, Inc. 59,300 1,400,666
* Penn Treaty American Corp. 24,800 39,928
Penn Virginia Corp. 12,600 591,066
Penn-America Group, Inc. 22,100 322,881
Pennfed Financial Services, Inc. 7,400 238,643
Penns Woods Bancorp, Inc. 770 34,565
* Penwest Pharmaceuticals Co. 27,400 421,960
Peoples Bancorp, Inc. 300 7,140
Pep Boys - Manny, Moe & Jack 78,600 1,611,300
* Perceptron, Inc. 12,850 95,090
* Performance Technologies, Inc. 19,100 257,659
* Pericom Semiconductor Corp. 38,800 454,736
* Perini Corp. 22,600 203,626
* Perot Systems Corp. 60,900 755,160
Perrigo Co. 104,800 1,581,432
* Perry Ellis International, Inc. 11,700 283,854
* Per-Se Technologies, Inc. 45,600 640,680
* Pervasive Software, Inc. 24,590 183,196
* Petrocorp, Inc. 6,900 93,426
* Petroleum Development Corp. 23,133 328,489
PFF Bancorp, Inc. 25,400 949,960
*# Pfsweb, Inc. 9 14
* Pharmacopeia, Inc. 52,900 661,250
* Pharmacyclics, Inc. 23,700 151,680
*# Pharmanetics, Inc. 9,500 20,235
* PharmChem, Inc. 5,100 1,428
*# Pharmos Corp. 6,200 22,816
* Philadelphia Consolidated Holding
Corp. 31,400 1,589,782
Phillips-Van Heusen Corp. 45,500 800,800
* Phoenix Gold International, Inc. 1,000 1,350
* Phoenix Technologies, Ltd. 36,390 316,957
* Photo Control Corp. 1,000 2,290
* Photoelectron Corp. 9,900 99
* PhotoMedex, Inc. 14,000 26,180
* Photon Dynamics, Inc. 23,400 954,954
* Photronics, Inc. 45,800 845,926
*# Physiometrix, Inc. 7,400 13,690
* Piccadilly Cafeterias, Inc. 10,400 1,872
* Pico Holdings, Inc. 12,300 184,746
# Piedmont Natural Gas Co. 32,500 1,331,850
Pilgrims Pride Corp. Class B 54,300 811,785
* Pinnacle Entertainment, Inc. 38,900 355,157
* Pinnacle Systems, Inc. 98,500 821,490
* Pioneer Drilling Co. 1,500 5,580
* Pixelworks, Inc. 51,000 673,200
* Pizza Inn, Inc. 10,000 30,000
* Plains Exploration & Production Co. 40,325 564,953
* Plains Resources, Inc. 40,100 622,352
* Planar Systems, Inc. 21,400 509,320
* Plantronics, Inc. 58,800 1,801,632
* PlanVista Corp. 16,600 31,540
* Plato Learning, Inc. 24,566 243,940
* Play By Play Toys and Novelties,
Inc. 3,300 8
* Playboy Enterprises, Inc. Class A 4,700 70,970
* Playboy Enterprises, Inc. Class B 31,800 515,478
* Playtex Products, Inc. 87,400 605,682
* Plexus Corp. 63,900 1,134,225
60
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*# Plug Power, Inc. 91,544 $ 530,040
* PLX Technology, Inc. 35,700 335,580
* Plymouth Rubber, Inc. Class B 200 60
# PMA Capital Corp. Class A 43,700 173,489
PNM Resources, Inc. 57,400 1,607,774
Pocahontas Bancorp, Inc. 4,400 62,040
* Point Therapeutics, Inc. 660 2,756
* Point West Capital Corp. 3,400 0
* Point.360 9,000 44,910
PolyMedica Corp. 37,200 964,224
* Polyone Corp. 94,200 560,490
Pomeroy IT Solutions, Inc. 17,895 261,446
Pope & Talbot, Inc. 22,300 302,165
* Porta Systems Corp. 9,600 192
* Portal Software, Inc. 32,720 247,036
* Possis Medical, Inc. 26,600 453,264
Potlatch Corp. 43,000 1,386,750
* Powell Industries, Inc. 15,190 256,103
* Power Intergrations, Inc. 44,400 1,608,612
* PowerCerv Corp. 1,755 140
* Power-One, Inc. 124,600 1,050,378
* Powerwave Technologies, Inc. 92,900 692,105
* Pozen, Inc. 42,500 499,800
* PPT Vision, Inc. 6,800 7,344
* PRAECIS Pharmaceuticals, Inc. 75,606 574,606
* Premier Financial Bancorp 5,200 41,860
*# Premier Laser Systems, Inc.
Class A 3,400 34
*# Pre-Paid Legal Services, Inc. 25,350 674,564
Presidential Life Corp. 40,500 587,250
* Presstek, Inc. 51,298 412,949
*# PRG-Schultz International, Inc. 82,000 405,900
* Price Communications Corp. 81,300 1,044,705
* Priceline.com, Inc. 45,116 859,911
* Pricesmart, Inc. 4,400 29,916
* Prima Energy Corp. 19,062 564,235
* Prime Hospitality Corp. 67,100 739,442
* Prime Medical Services, Inc. 34,900 176,943
* PRIMEDIA, Inc. 386,838 1,121,830
* Primus Knowledge Solutions, Inc. 16,500 73,425
* Princeton Review, Inc. 14,600 116,800
* Printronix, Inc. 5,800 95,642
*# Priority Healthcare Corp. 55,616 1,275,275
* Private Business, Inc. 945 1,342
*# Proassurance Corp. 43,450 1,342,605
* Procom Technology, Inc. 5,400 2,403
* Procurenet, Inc. 19,700 20
* Progenics Pharmaceuticals, Inc. 19,400 340,276
Programmers Paradise, Inc. 5,200 37,024
Progress Financial Corp. 7,098 215,992
* Progress Software Corp. 52,300 1,096,208
* ProQuest Co. 42,400 1,280,480
* ProsoftTraining.com 7,300 4,745
Prosperity Bancshares, Inc. 27,500 595,650
* Protection One, Inc. 95,000 42,750
*# Protein Design Labs, Inc. 140,500 1,947,330
Proton Energy Systems, Inc. 47,250 123,795
* Provant, Inc. 13,000 13
Providence & Worcester Railroad
Co. 3,000 27,240
Provident Bancorp, Inc. 5,200 249,340
Provident Bankshares Corp. 36,677 $ 1,065,834
Provident Financial Group, Inc. 20,000 619,200
Provident Financial Holdings, Inc. 5,550 185,981
* Province Healthcare Co. 73,125 1,121,006
* Proxim Corp. 67,269 94,849
*# ProxyMed, Inc. 1,320 21,292
* PSS World Medical, Inc. 100,500 1,030,125
Psychemedics Corp. 5,225 42,061
* Psychiatric Solutions, Inc. 9,033 137,482
* PTEK Holdings, Inc. 80,328 700,460
Pulaski Financial Corp. 5,400 86,346
Pulitzer, Inc. 11,100 588,300
* Puma Technology, Inc. 71,685 433,694
* Pure World, Inc. 7,600 17,252
* PW Eagle, Inc. 7,000 27,993
Pyramid Breweries, Inc. 5,700 18,126
* Qad, Inc. 49,083 605,193
* QEP Co., Inc. 2,125 25,075
* QRS Corp. 23,000 234,370
* QuadraMed Corp. 27,006 67,110
Quaker Chemical Corp. 13,720 359,876
Quaker City Bancorp, Inc. 2,734 115,457
Quaker Fabric Corp. 23,350 203,846
* Quality Dining, Inc. 11,400 32,946
* Quality Systems, Inc. 9,100 389,480
* Qualstar Corp. 5,500 28,325
Quanex Corp. 23,200 917,096
* Quanta Services, Inc. 171,200 1,309,680
* Quantum Corp.- DLT 55,500 175,380
* Quantum Fuel Systems
Technologies Worldwide, Inc. 14,100 98,559
* Quest Software, Inc. 120,400 1,787,940
*# Questcor Pharmaceuticals, Inc. 26,800 18,224
* Quicklogic Corp. 34,900 217,776
* Quidel Corp. 43,600 374,960
* Quigley Corp. 16,200 137,538
* Quiksilver, Inc. 77,500 1,393,450
* Quinton Cardiology Systems, Inc. 24,200 192,390
* Quipp, Inc. 1,400 17,150
Quixote Corp. 12,491 307,778
*# Quokka Sports, Inc. 1,128 15
* Quovadx, Inc. 46,726 227,556
* R & B, Inc. 8,400 117,600
* R H Donnelley Corp. 46,200 1,859,550
* Radiant Systems, Inc. 40,800 289,680
* Radiologix, Inc. 30,300 92,415
* RadiSys Corp. 26,762 492,421
* Radyne ComStream, Inc. 9,500 65,645
* Rag Shops, Inc. 2,415 8,187
* Railamerica, Inc. 45,700 518,695
* Rainbow Rentals, Inc. 5,900 43,666
* Rainbow Technologies, Inc. 38,900 482,360
* Ralcorp Holdings, Inc. 43,400 1,314,152
* Ramtron International Corp. 31,000 76,880
* Range Resources Corp. 84,000 663,600
* Rare Hospitality International, Inc. 49,282 1,232,050
Raven Industries, Inc. 11,800 326,742
* Rayovac Corp. 48,700 876,113
* Raytech Corp. 14,400 53,280
* RC2 Corp. 24,000 510,720
* RCM Technologies, Inc. 10,500 76,440
61
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*# RCN Corp. 82,600 $ 84,252
* Reading International, Inc. Class A 18,149 113,250
* Reading International, Inc. Class B 1,060 6,254
* RealNetworks , Inc. 228,600 1,364,742
*# Redhook Ale Brewery, Inc. 9,300 27,705
Redwood Empire Bancorp 5,250 132,589
* Reeds Jewelers, Inc. 440 488
Regal-Beloit Corp. 34,004 702,183
* Regeneration Technologies, Inc. 38,552 400,941
* Regeneron Pharmaceuticals, Inc. 74,600 960,848
* Regent Communications, Inc. 64,413 419,329
Regis Corp. 43,100 1,764,945
* Register.Com, Inc. 44,100 213,885
* Rehabcare Group, Inc. 23,800 422,688
* Reliability, Inc. 6,300 6,867
Reliance Steel & Aluminum Co. 47,757 1,407,876
* Reliant Resources, Inc. 11,600 76,096
* Reliv International, Inc. 11,532 65,617
* Relm Wireless Corp. 7,600 11,476
* Remec, Inc. 88,350 991,287
* RemedyTemp, Inc. 6,600 72,402
* Remington Oil & Gas Corp. 40,200 717,570
*# Renaissance Learning, Inc. 46,200 1,071,840
* Rentrak Corp. 13,600 108,664
* Rent-Way, Inc. 46,300 343,083
* Repligen Corp. 44,800 216,384
* Reptron Electronics, Inc. 8,800 1,496
# Republic Bancorp, Inc. 94,783 1,303,270
Republic Bancorp, Inc. Class A 14,500 285,650
Republic Bankshares, Inc. 19,865 592,573
* Republic First Bancorp, Inc. 6,334 82,405
* Res-Care, Inc. 33,685 247,585
* ResMed, Inc. 41,300 1,610,700
Resource America, Inc. 25,351 330,324
* Resources Connection, Inc. 33,968 930,044
* Respironics, Inc. 39,400 1,792,700
* Restoration Hardware, Inc. 45,300 277,689
* Retail Ventures Inc. 48,200 260,280
* Retek, Inc. 77,900 808,602
*# Revlon, Inc. 55,200 132,480
* Rex Stores Corp. 16,100 253,253
* Rexhall Industries, Inc. 3,542 10,325
* RF Monolithics, Inc. 10,100 88,577
*# Rhythms NetConnections, Inc. 8,900 1
Richardson Electronics, Ltd. 15,627 159,395
* Rigel Pharmaceuticals, Inc. 2,222 36,019
Riggs National Corp. 40,602 696,730
* Right Management Consultants,
Inc. 31,162 556,865
* Rimage Corp. 8,600 131,580
* Rita Medical Systems, Inc. 26,700 113,475
* Riverside Group, Inc. 1,000 19
Riverview Bancorp, Inc. 4,500 96,210
Rivianna Foods, Inc. 16,700 492,483
* Riviera Holdings Corp. 3,600 19,602
RLI Corp. 35,800 1,295,960
* RMH Teleservices, Inc. 19,300 99,588
* Roadhouse Grill, Inc. 13,340 3,335
# Roadway Corp. 23,200 1,183,200
Roanoke Electric Steel Corp. 9,900 95,535
Robbins & Myers, Inc. 19,400 427,964
* Robocom Systems, Inc. 800 $ 600
* Robotic Vision Systems, Inc. 17,400 11,571
* Rochester Medical Corp. 5,300 47,435
Rock of Ages Co. 4,400 25,476
Rock-Tenn Co. Class A 61,200 973,080
Rocky Mountain Chocolate Factory,
Inc. 2,433 29,196
* Rocky Shoes & Boots, Inc. 4,500 77,850
* Rofin-Sinar Technologies, Inc. 13,000 418,210
* Rogers Corp. 24,200 1,062,380
* Rogue Wave Software, Inc. 11,000 72,270
* Rohn Industries, Inc. 34,500 690
Rollins, Inc. 67,700 1,508,356
Roper Industries, Inc. 38,500 1,930,390
* Ross Systems, Inc. 2,600 46,826
Roto-Rooter, Inc. 14,400 530,064
* Rouge Industries, Inc. Class A 15,000 1,200
* Roxio, Inc. 1,629 8,813
Royal Bancshares of Pennsylvania
Class A 4,344 115,550
Royal Gold, Inc. 30,735 654,963
* Royale Energy, Inc. 3,273 29,457
RPC, Inc. 28,600 287,430
* RSA Security, Inc. 90,300 1,327,410
* RTI International Metals, Inc. 30,000 406,500
* RTW, Inc. 5,150 33,264
* Rubio's Restaurants, Inc. 12,795 77,410
Ruddick Corp. 65,900 1,113,710
* Rudolph Technologies, Inc. 23,900 553,285
* Rural Cellular Corp. Class A 2,800 26,460
* Rural/Metro Corp. 14,000 27,440
* Rush Enterprises, Inc. Class A 7,000 54,110
* Rush Enterprises, Inc. Class B 7,000 57,260
Russ Berrie & Co., Inc. 30,900 1,030,515
Russell Corp. 44,900 825,711
* Ryan's Family Steak Houses, Inc. 59,200 878,528
Ryerson Tull, Inc. 35,000 315,350
* S&K Famous Brands, Inc. 2,100 37,548
S&T Bancorp, Inc. 39,600 1,203,048
* S1 Corp. 101,898 899,759
* Saba Software, Inc. 18,800 71,478
* Safeguard Scientifics, Inc. 173,900 594,738
* SafeNet, Inc. 19,860 660,146
* Safety Components International,
Inc. 118 1,392
* Saga Communications, Inc.
Class A 27,325 477,368
* Salem Communications Corp. 25,640 635,103
*# Salton, Inc. 15,700 211,322
*# Samsonite Corp. 518 352
* San Filippo (John B.) & Son, Inc. 8,200 326,360
* Sanchez Computer Associates, Inc. 39,855 173,369
Sanders Morris Harris Group, Inc. 24,500 243,775
Sanderson Farms, Inc. 19,500 670,410
* Sands Regent Casino Hotel 2,000 8,280
Sandy Spring Bancorp, Inc. 20,800 829,920
* Sangamo BioSciences, Inc. 36,400 165,984
* Sapient Corp. 177,323 996,555
*# Satcon Technology Corp. 28,300 73,580
Saucony, Inc. Class A 2,700 45,846
Saucony, Inc. Class B 3,500 58,100
62
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Sauer-Danfoss, Inc. 49,600 $ 793,600
* Savient Pharmaceuticals, Inc. 76,600 378,404
* Saxon Capital, Inc. 17,400 328,338
* SBA Communications Corp. 64,000 221,440
* SBE, Inc. 3,500 28,840
* SBS Technologies, Inc. 22,530 330,065
* ScanSoft, Inc. 139,960 839,760
* ScanSource, Inc. 21,200 927,288
Schawk, Inc. Class A 22,200 301,920
* Scheid Vineyards, Inc. 2,200 9,251
*# Schick Technologies, Inc. 9,000 69,750
* Schieb (Earl), Inc. 2,200 5,819
* Schlotzskys, Inc. 7,200 18,144
* Schmitt Industries, Inc. 2,466 6,239
Schnitzer Steel Industries, Inc.
Class A 16,001 865,814
* Scholastic Corp. 52,700 1,748,586
* Schuff International, Inc. 7,000 10,010
Schulman (A.), Inc. 41,487 811,071
Schweitzer-Maudoit International, Inc. 20,900 579,348
* Sciclone Pharmaceuticals, Inc. 62,000 455,700
* Scientific Games Corp. 90,158 1,465,969
* Scientific Learning Corp. 4,400 20,284
* Scientific Technologies, Inc. 6,700 31,088
* SCM Microsystems, Inc. 21,663 179,803
* SCP Pool Corp. 49,500 1,773,090
SCPIE Holdings, Inc. 9,300 92,535
* SCS Transportation, Inc. 