Filed On 8/9/04 2:03pm ET · SEC File 811-03258 · Accession Number 1047469-4-25782
As Of Filer Filing As/For/On Docs:Pgs Issuer Agent
8/09/04 Dfa Investment Dimensions Gr..Inc N-CSRS 5/31/04 3:1074 Merrill Corp/New/- FA
Certified Semi-Annual Shareholder Report of a Management Investment Company · Form N-CSR
Filing Table of Contents
Document/Exhibit Description Pages Size
1: N-CSRS Certified Semi-Annual Shareholder Report of a 1,069± 4,070K
Management Investment Company
2: EX-99.CERT Miscellaneous Exhibit 4 17K
3: EX-99.906CERT Miscellaneous Exhibit 1 7K
N-CSRS · Certified Semi-Annual Shareholder Report of a Management Investment Company
Document Table of Contents
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-3258
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DFA INVESTMENT DIMENSIONS GROUP INC.
--------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
1299 Ocean Avenue, 11th Floor, Santa Monica, CA 90401
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(Address of principal executive offices) (Zip code)
Catherine L. Newell, Esquire, Vice President and Secretary
DFA Investment Dimensions Group Inc.,
1299 Ocean Avenue, 11th Floor, Santa Monica, CA 90401
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(Name and address of agent for service)
Registrant's telephone number, including area code: 310-395-8005
Date of fiscal year end: November 30
Date of reporting period: December 1, 2003 - May 31, 2004
ITEM 1. REPORTS TO STOCKHOLDERS.
DFA INVESTMENT DIMENSIONS GROUP INC.
VA SMALL VALUE PORTFOLIO
VA LARGE VALUE PORTFOLIO
VA INTERNATIONAL VALUE PORTFOLIO
VA INTERNATIONAL SMALL PORTFOLIO
VA SHORT-TERM FIXED PORTFOLIO
VA GLOBAL BOND PORTFOLIO
SEMI-ANNUAL REPORT
SIX MONTHS ENDED MAY 31, 2004
(UNAUDITED)
DFA INVESTMENT DIMENSIONS GROUP INC.
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
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PAGE
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Schedules of Investments
VA Small Value Portfolio 1
VA Large Value Portfolio 12
VA International Value Portfolio 14
VA International Small Portfolio 21
Statements of Net Assets
VA Short-Term Fixed Portfolio 32
VA Global Bond Portfolio 34
Statements of Assets and Liabilities
VA Small Value Portfolio 36
VA Large Value Portfolio 36
VA International Value Portfolio 37
VA International Small Portfolio 37
Statements of Operations 38
Statements of Changes in Net Assets 40
Financial Highlights 43
Notes to Financial Statements 46
Voting Proxies on Fund Portfolio Securities 52
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
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VA SMALL VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
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SHARES VALUE+
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COMMON STOCKS -- (94.6%)
1st Source Corp. 4,100 $ 93,070
* 24/7 Real Media, Inc. 200 1,162
* Aames Financial Corp. 560 1,646
* AAR Corp. 7,700 73,766
ABC Bancorp 1,100 21,637
*# Abraxas Petroleum Corp. 1,000 1,800
* ABX Air, Inc. 6,600 29,700
* Accelrys, Inc. 3,800 37,962
* Aclara Biosciences, Inc. 8,100 30,780
* Acme Communications, Inc. 3,700 28,638
* Acme Metals, Inc. 1,000 4
* ACT Teleconferencing, Inc. 1,900 4,885
* Active Power, Inc. 9,470 33,145
* Adaptec, Inc. 24,246 198,575
* Adept Technology, Inc. 1,700 1,615
* Advanced Digital Information Corp. 1,400 12,530
* Advanced Power Technology, Inc. 1,900 25,099
Advanta Corp. Class A 2,300 37,168
Advanta Corp. Class B Non-Voting 3,900 61,854
* Advent Software, Inc. 100 1,892
* Aehr Test Systems 1,000 4,000
* AEP Industries, Inc. 1,400 14,909
* Aether Systems, Inc. 10,300 35,123
* Aetrium, Inc. 900 8,262
* Agile Software Corp. 5,000 40,000
Agilysys, Inc. 7,700 94,787
* Air Methods Corp. 2,000 15,880
*# Airnet Communications Corp. 200 164
* Airnet Systems, Inc. 2,200 9,416
* Airspan Networks, Inc. 6,300 34,965
* AK Steel Holding Corp. 23,400 107,172
* Akamai Technologies, Inc. 3,800 56,468
Alamo Group, Inc. 1,700 26,605
* Alaska Air Group, Inc. 6,400 131,840
* Alaska Communications Systems
Group, Inc. 1,700 10,965
* Alderwoods Group, Inc. 500 6,455
Aldila, Inc. 433 6,586
Alexander & Baldwin, Inc. 7,700 245,399
Alico, Inc. 1,000 35,300
* All American Semiconductor, Inc. 260 2,369
Allegheny Technologies, Inc. 4,100 49,241
* Alliance Semiconductor Corp. 8,800 52,536
* Allied Defense Group, Inc. 1,900 33,326
* Allied Healthcare International, Inc. 3,000 15,090
* Allied Healthcare Products, Inc. 1,700 9,231
* Allied Holdings, Inc. 1,200 6,120
* Allied Motion Technologies, Inc. 400 2,068
* Allmerica Financial Corp. 7,100 228,265
* Allou Health Care, Inc. Class A 500 0
* Alloy, Inc. 9,200 46,092
* Allscripts Healthcare Solutions, Inc. 1,000 8,239
* Alpha Technologies Group, Inc. 520 728
Alpharma, Inc. Class A 9,400 184,052
*# Alterra Healthcare Corp. 3,000 0
Ambassadors, Inc. 1,200 $ 15,396
* AMC Entertainment, Inc. 5,700 86,070
* Amcast Industrial Corp. 700 2,835
* Amerco, Inc. 1,500 37,515
* America West Holdings Corp. Class B 3,000 30,060
* American Building Control, Inc. 1,400 2,618
* American Dental Partners, Inc. 900 15,345
* American Greetings Corp. Class A 10,900 228,900
* American Independence Corp. 266 4,144
* American Medical Security Group,
Inc. 3,000 77,490
American Pacific Corp. 700 5,110
* American Physicians Capital, Inc. 1,900 43,795
* American Physicians Services Group,
Inc. 500 4,900
* American Retirement Corp. 2,200 9,900
American Shared Hospital Services 400 2,272
American Software, Inc. Class A 2,700 17,253
* American Superconductor Corp. 1,000 12,560
* American Technical Ceramics Corp. 200 1,770
* AmeriServe Financial, Inc. 3,100 17,825
Ameron International Corp. 1,800 55,998
# AmerUs Group Co. 6,800 267,580
* Ames Department Stores, Inc. 2,200 4
Ampco-Pittsburgh Corp. 1,400 18,158
Amrep Corp. 600 10,308
* Anadigics, Inc. 7,200 35,496
Analogic Corp. 2,700 124,551
* Analysts International Corp. 5,300 15,847
* Anaren, Inc. 3,800 60,496
Andersons, Inc. 1,000 17,260
*# Andrew Corp. 357 7,015
Angelica Corp. 1,900 42,370
* Angelo & Maxie's, Inc. 250 267
* AnswerThink, Inc. 4,150 26,606
* APA Optics, Inc. 800 2,000
Apogee Enterprises, Inc. 200 1,992
* Applica, Inc. 5,700 55,974
* Applied Extrusion Technologies, Inc. 3,100 3,255
Applied Industrial Technologies, Inc. 4,300 115,025
* Applied Innovation, Inc. 1,600 6,400
* Applied Micro Circuits Corp. 6,355 34,253
* Apropos Technology, Inc. 3,800 15,428
* Arch Capital Group, Ltd. 600 23,148
Arch Chemicals, Inc. 4,204 111,532
* Arena Pharmaceuticals, Inc. 6,100 35,746
* Argonaut Group, Inc. 6,100 106,018
* Argonaut Technologies, Inc. 400 652
* Ariba, Inc. 18,900 41,202
* Arlington Hospitality, Inc. 400 1,360
*# Armstrong Holdings, Inc. 3,900 3,432
* Arqule, Inc. 5,300 30,740
* Arris Group, Inc. 13,860 87,595
* Artesyn Technologies, Inc. 2,800 25,592
* Ascential Software Corp. 6,675 107,134
* Ashworth, Inc. 2,900 23,171
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* Aspen Technology, Inc. 5,900 $ 37,229
*# Astea International, Inc. 240 2,498
* Astec Industries, Inc. 4,200 72,702
*# AstroPower, Inc. 900 36
* ATA Holdings Corp. 800 5,080
* Atlantic American Corp. 1,900 5,643
* Atlantis Plastics, Inc. 600 9,270
* Atlas Air Worldwide Holdings, Inc. 1,500 78
* ATP Oil & Gas Corp. 200 1,184
Atrion Corp. 200 8,648
* ATS Medical, Inc. 1,300 6,110
* Atwood Oceanics, Inc. 2,600 103,532
* Audiovox Corp. Class A 4,300 59,856
* Ault, Inc. 100 298
* Aurora Foods, Inc. 51 0
* AutoImmune, Inc. 1,100 962
* Avalon Holding Corp. Class A 262 696
* Avanex Corp. 6,800 21,080
* Avatar Holdings, Inc. 1,000 41,840
* Avici Systems Inc. 2,675 28,248
* Avigen, Inc. 5,300 18,762
*# Avteam, Inc. Class A 1,500 2
* Aware, Inc. 4,506 14,644
* Axeda Systems, Inc. 1,000 1,128
* Axsys Technologies, Inc. 1,000 19,350
* AXT, Inc. 5,006 10,613
* Aztar Corp. 8,300 200,113
* AZZ, Inc. 900 13,410
Bairnco Corp. 900 7,290
* Baker (Michael) Corp. 200 2,870
Baldwin & Lyons, Inc. Class B 750 18,112
* Baldwin Technology, Inc. Class A 1,400 5,180
* Ballantyne Omaha, Inc. 1,200 3,504
* Bally Total Fitness Holding Corp. 8,200 37,720
* Bancinsurance Corp. 625 5,131
Bandag, Inc. Class A 900 35,703
* BankUnited Financial Corp. Class A 1,300 33,917
Banner Corp. 2,773 80,972
* Barry (R.G.) Corp. 1,300 2,769
Bassett Furniture Industries, Inc. 2,800 53,281
* Bay View Capital Corp. 12,725 25,959
* BE Aerospace, Inc. 400 2,552
# Beazer Homes USA, Inc. 1,300 131,001
Belden, Inc. 4,958 83,790
* Bell Industries, Inc. 1,860 5,487
* Bell Microproducts, Inc. 6,250 39,812
* Bethlehem Steel Corp. 5,400 17
* Beverly Enterprises 14,600 123,808
* Big 4 Ranch, Inc. 300 0
* Biosource International, Inc. 1,000 7,211
Blair Corp. 1,800 46,260
* Bluegreen Corp. 6,100 73,078
* BMC Industries, Inc. 2,400 150
* BNS Co. Class A 240 1,476
Bob Evans Farms, Inc. 2,900 74,501
* Boca Resorts, Inc. 8,902 160,058
* Bogen Communications International,
Inc. 1,000 5,025
* Bolt Technology Corp. 300 1,380
* Bombay Co., Inc. 8,000 46,560
Bon-Ton Stores, Inc. 2,900 37,091
* Bookham Technologies P.L.C. 11,574 $ 12,153
* Books-a-Million, Inc. 2,700 16,200
* Boston Biomedical, Inc. 200 632
Bostonfed Bancorp, Inc. 1,000 33,600
Bowne & Co., Inc. 6,700 106,664
* Boyds Collection, Ltd. 9,600 27,456
* Braun Consulting, Inc. 1,900 3,192
* BrightStar Information Technology
Group, Inc. 1,100 40
* Brillian Corp. 850 7,183
* Brush Engineered Materials, Inc. 3,300 57,486
* BSQUARE Corp. 3,700 3,585
* BTU International, Inc. 1,700 8,976
* Buca, Inc. 4,852 25,570
* Buckeye Technology, Inc. 8,423 84,988
Building Materials Holding Corp. 2,900 49,909
Burlington Coat Factory Warehouse
Corp. 10,711 203,937
* Bush Industries, Inc. Class A 900 603
* Butler International, Inc. 1,000 2,480
* Cable Design Techologies Corp. 12,576 104,884
Cadmus Communications Corp. 700 9,646
Calgon Carbon Corp. 9,400 58,092
* California Coastal Communities, Inc. 1,000 16,050
California First National Bancorp 1,000 13,160
* Caliper Life Sciences, Inc. 8,008 42,522
* Callon Petroleum Corp. 3,038 39,859
* Cannondale Corp. 900 126
* Canterbury Consulting Group, Inc. 142 117
* Capital Pacific Holdings, Inc. 1,200 4,830
* Capital Senior Living Corp. 5,600 28,840
* Capstone Turbine Corp. 13,100 36,549
* Captaris, Inc. 7,000 42,350
* Caraustar Industries, Inc. 6,800 90,984
* Cardiotech International, Inc. 842 3,157
Carpenter Technology Corp. 5,435 165,333
* Carriage Services, Inc. Class A 3,900 20,085
* Carrington Laboratories, Inc. 1,000 4,290
* Carrizo Oil & Gas, Inc. 100 846
Cascade Corp. 2,400 58,680
Casey's General Stores, Inc. 10,400 169,832
* Castle (A.M.) & Co. 1,600 13,584
Castle Energy Corp. 1,000 10,865
* Casual Male Retail Group, Inc. 1,700 11,560
* Catalina Lighting, Inc. 120 1,286
* Catalytica Energy Systems, Inc. 1,100 3,685
* Cavalier Homes, Inc. 3,300 18,612
* Celadon Group, Inc. 1,200 17,304
* Celebrity, Inc. Escrow Shares 125 0
Celeritek, Inc. 3,000 10,560
* CellStar Corp. 4,500 27,225
* Central Garden & Pet Co. 3,700 137,529
Central Parking Corp. 7,685 142,096
* Century Aluminum Co. 2,200 50,974
* Century Business Services, Inc. 18,227 75,095
* Cenveo, Inc. 6,300 19,467
* Ceres Group, Inc. 7,413 46,109
CFS Bancorp, Inc. 2,700 36,585
* Champion Enterprises, Inc. 4,000 37,400
Champion Industries, Inc. 1,000 4,580
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* Championship Auto Racing Teams,
Inc. 1,100 $ 129
* Champps Entertainment, Inc. 2,700 24,216
* Channell Commercial Corp. 100 450
* Charming Shoppes, Inc. 27,141 232,327
* Chart Industries 3 90
*# Charter Communications, Inc. 35,057 134,969
Chesapeake Corp. 4,600 99,912
* Chromcraft Revington, Inc. 100 1,415
* Chronimed, Inc. 3,000 22,200
* Ciber, Inc. 9,800 87,220
* Cincinnati Bell, Inc. 15,500 63,860
* Ciprico, Inc. 1,000 4,655
CIRCOR International, Inc. 3,205 62,946
* Cirrus Logic, Inc. 8,100 60,183
* Citizens, Inc. Class A 1,215 8,286
* CKE Restaurants, Inc. 3,700 37,444
* Clark, Inc. 4,036 70,549
* Clarus Corp. 5,300 62,858
*# CMS Energy Corp. 25,925 223,473
* CNA Surety Corp. 8,530 88,712
* CNET Networks, Inc. 8,100 78,246
Coachmen Industries, Inc. 3,400 54,944
* Coast Dental Services, Inc. 333 1,032
Coast Distribution System 800 5,112
* Coastcast Corp. 1,000 2,150
* Cobra Electronics Corp. 1,000 8,970
*# Coeur d'Alene Mines Corp. 2,500 11,725
* Cogent Communications Group, Inc. 96 38
* Coherent, Inc. 7,197 194,967
* Collins & Aikman Corp. 19,300 102,483
* Columbus McKinnon Corp. 3,100 16,427
* Comarco, Inc. 1,000 7,120
* Comdial Corp. 40 104
* Comforce Corp. 2,000 3,960
* Comfort Systems USA, Inc. 8,700 61,335
Commerce Group, Inc. 900 40,788
*# Commerce One, Inc. 4,350 4,437
Commercial Federal Corp. 9,100 254,982
Commercial Metals Co. 6,800 204,680
* Commonwealth Industries, Inc. 3,500 31,325
Communications Systems, Inc. 1,000 7,900
Community Bank System, Inc. 5,200 114,504
Community Trust Bancorp, Inc. 932 29,050
* Compex Technologies, Inc. 2,900 17,342
* Compucom Systems, Inc. 11,963 53,714
* CompuCredit Corp. 9,900 173,646
* Computer Access Technology Corp. 2,800 13,020
* Computer Horizons Corp. 4,300 15,351
* Computer Network Technology Corp. 6,200 37,448
* Computer Task Group, Inc. 4,200 18,270
* CompX International, Inc. 200 3,250
* Concord Camera Corp. 6,500 20,085
* Conexant Systems, Inc. 14,934 70,488
* Congoleum Corp. Class A 1,000 2,250
* Conmed Corp. 6,300 160,335
* Consolidated Graphics, Inc. 2,428 97,484
* Consumer Portfolio Services, Inc. 2,800 12,572
*# Continental Airlines, Inc. 15,850 169,436
* Convera Corp. 1,700 4,828
*# Cooker Restaurant Corp. 500 3
Cooper Tire & Rubber Co. 9,900 $ 208,791
* Corixa Corp. 1,200 6,084
Corn Products International, Inc. 7,100 307,998
* Cornell Companies, Inc. 2,852 38,074
* Correctional Services Corp. 3,000 9,300
* Corrpro Companies, Inc. 375 622
* Cosine Communications, Inc. 2,000 7,960
* Covansys Corp. 700 7,616
* Covanta Energy Corp. 100 0
* Covenant Transport, Inc. Class A 2,800 43,876
CPAC, Inc. 1,000 5,790
*# Credence Systems Corp. 9,400 131,694
* Credit Acceptance Corp. 6,600 99,330
* Criticare Systems, Inc. 600 1,860
Crompton Corp. 4,200 25,074
* Cross (A.T.) Co. Class A 1,800 10,152
* Cross Country Healthcare, Inc. 6,928 115,074
* Crossroads Systems, Inc. 2,700 4,919
* Crown Andersen, Inc. 100 175
* Crown Financial Group, Inc. 500 600
* Crown Media Holdings, Inc. 9,400 85,070
*# Cryolife, Inc. 2,700 13,770
* CSP, Inc. 266 1,915
CSS Industries, Inc. 1,500 52,350
CT Communications, Inc. 3,700 50,690
CTS Corp. 8,500 92,650
* Culp, Inc. 2,500 18,500
* Cumulus Media, Inc. Class A 6,300 116,802
* CuraGen Corp. 11,661 58,305
* Curis, Inc. 2,800 12,485
Cutter & Buck, Inc. 2,350 24,346
* Cybersource Corp. 2,900 24,505
* Cybex International, Inc. 1,400 5,236
* Cytrx Corp. 700 854
D & K Healthcare Resources, Inc. 4,019 48,107
* D A Consulting Group, Inc. 200 1
D&E Communications, Inc. 1,100 14,256
* Dan River, Inc. Class A 2,500 269
* Danielson Holding Corp. 3,000 28,620
* Data I/O Corp. 1,500 4,290
* Data Systems & Software, Inc. 1,500 2,505
* Datalink Corp. 1,300 4,745
* Dataram Corp. 800 6,440
* Dave and Busters, Inc. 1,400 26,180
* Dawson Geophysical Co. 300 4,455
Deb Shops, Inc. 1,700 40,783
Delphi Financial Group, Inc. Class A 6,111 246,151
Delta Apparel, Inc. 420 9,484
* Delta Financial Corp. 1,800 10,962
* Delta Woodside Industries, Inc. 525 709
* Denali, Inc. 1,100 110
* Devcon International Corp. 400 4,600
* DiamondCluster International, Inc. 500 4,845
* Digi International, Inc. 3,500 36,365
* Digimarc Corp. 700 7,910
* Digital Angel Corp. 5,500 17,710
Dimon, Inc. 10,800 66,420
* Discovery Partners International 5,800 30,102
Distributed Energy Systems Corp. 7,300 23,360
* Dixie Group, Inc. 2,400 28,344
* Dollar Thrifty Automotive Group, Inc. 5,900 154,698
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* Dominion Homes, Inc 800 $ 24,408
Donegal Group, Inc. Class A 666 13,973
Donegal Group, Inc. Class B 333 6,833
* Donnkenny, Inc. 350 420
* DoubleClick, Inc. 2,800 23,744
Dover Motorsports, Inc. 3,300 15,147
* Drugstore.com, Inc. 6,900 32,016
* DT Industries, Inc. 1,300 42
* Duane Reade, Inc. 4,800 79,200
* Duckwall-ALCO Stores, Inc. 1,000 17,240
* Ducommun, Inc. 1,900 35,815
* DuPont Photomasks, Inc. 4,000 88,320
* Dura Automotive Systems, Inc. 3,414 32,296
* DVI, Inc. 1,800 30
* Dynegy, Inc. 43,000 188,770
*# E Com Ventures, Inc. 250 2,312
E-Z-EM, Inc. 327 6,115
* E.piphany, Inc. 16,400 77,080
Eagle Materials, Inc. 400 26,680
* EarthLink, Inc. 7,200 72,288
Eastern Co. 300 4,722
Ecology & Environment, Inc. Class A 200 2,000
* Eden Bioscience Corp. 2,500 2,750
* Edgewater Technology, Inc. 1,567 9,700
* eFunds Corp. 6,000 96,060
Electro Rent Corp. 4,900 53,606
* Electroglas, Inc. 4,212 22,113
* eLoyalty Corp. 1,000 6,330
EMC Insurance Group, Inc. 1,200 24,336
* EMCORE Corp. 1,700 5,032
* Emisphere Technologies, Inc. 2,100 10,668
* EMS Technologies, Inc. 2,400 52,224
*# ENBC Corp. 1,600 8
* Endologix, Inc. 100 494
* Enesco Group, Inc. 3,100 29,853
* Entravision Communications Corp. 14,300 115,830
* Entrust, Inc. 3,100 14,260
* Environmental Elements Corp. 600 93
* ePlus, Inc. 1,600 18,848
* ePresence, Inc. 2,300 9,292
* Equity Oil Co. 2,300 9,775
* Esterline Technologies Corp. 4,649 117,062
* Ethyl Corp. 3,240 65,027
* Evans & Sutherland Computer Corp. 900 4,486
*# Evergreen Solar, Inc. 2,200 6,666
* Exabyte Corp. 100 83
* Exar Corp. 9,000 143,370
* Exelixis, Inc. 724 6,675
* Exponent, Inc. 400 9,972
* Ezcorp, Inc. Class A Non-Voting 2,100 17,073
* Fab Industries, Inc. 500 1,750
* Factory 2-U Stores, Inc. 3,200 3,008
* Fairchild Corp. Class A 4,913 22,108
* Falcon Products, Inc. 1,600 6,000
* FalconStor Software, Inc. 1,200 8,304
* Famous Dave's of America, Inc. 2,000 15,744
FBL Financial Group, Inc. Class A 5,600 158,872
* Featherlite, Inc. 1,000 4,490
Fedders Corp. 270 1,199
*# Federal-Mogul Corp. 5,000 1,325
* Fibermark, Inc. 400 40
Fidelity Southern Corp. 500 $ 6,750
* Finishmaster, Inc. 500 5,087
* Finlay Enterprises, Inc. 2,700 52,866
* Firebrand Financial Group, Inc. 300 11
First Citizens Bancshares, Inc. 1,200 139,200
First Defiance Financial Corp. 700 17,514
First Federal Bancshares of Arkansas,
Inc. 400 8,080
* First Horizon Pharmaceutical Corp. 6,600 116,985
First Indiana Corp. 3,200 63,136
* First Investors Financial Services
Group, Inc. 500 2,735
First Keystone Financial, Inc. 100 2,700
First Place Financial Corp. 2,875 47,265
First Republic Bank 2,000 81,520
* Fischer Imaging Corp. 300 885
* Flanders Corp. 4,300 30,745
* Fleetwood Enterprises, Inc. 200 2,680
*# Fleming Companies, Inc. 3,230 15
Flexsteel Industries, Inc. 600 12,972
* Flow International Corp. 1,900 5,320
Flowers Foods, Inc. 1,050 24,538
* Flowserve Corp. 13,000 272,350
* Foodarama Supermarkets, Inc. 100 4,025
*# Footstar, Inc. 3,400 14,790
* Forest Oil Corp. 8,000 199,200
* Forgent Networks, Inc. 2,600 3,328
* Foster (L.B.) Co. Class A 1,800 14,040
* Foster Wheeler, Ltd. 6,100 7,198
*# FPIC Insurance Group, Inc. 2,100 56,700
* Franklin Covey Co. 3,400 8,330
* Franklin Electronic Publishers, Inc. 500 2,140
* Fresh Choice, Inc. 500 830
* Friede Goldman Halter, Inc. 100 0
Friedman Industries, Inc. 636 2,480
Friedmans, Inc. Class A 4,200 13,272
* Frontier Airlines, Inc. 7,700 71,610
* Frozen Food Express Industries, Inc. 3,500 23,975
* FSI International, Inc. 4,700 32,383
* FuelCell Energy, Inc. 1,500 23,805
* G-III Apparel Group, Ltd. 600 5,409
GA Financial, Inc. 200 7,004
*# Gadzooks, Inc. 1,600 2,840
* Gaiam, Inc. 1,300 7,904
* Galey & Lord, Inc. 500 2
*# Galyan's Trading Co. 3,800 38,190
GameTech International, Inc. 1,600 7,216
* Gateway, Inc. 46,500 188,325
GATX Corp. 10,800 260,388
* Gaylord Entertainment Co. 9,049 260,159
* Gehl Co. 900 15,291
* Genaissance Pharmaceuticals, Inc. 1,500 6,538
Gencorp, Inc. 10,700 121,552
* Gene Logic, Inc. 7,600 29,944
* General Cable Corp. 900 7,209
* General Communications, Inc.
Class A 4,700 37,271
* Genesee & Wyoming, Inc. 4,401 100,607
* Genesis Microchip, Inc. 3,099 50,049
* Genlyte Group, Inc. 400 23,508
* Gerber Scientific, Inc. 4,900 30,576
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* Giant Group, Ltd. 400 $ 950
* Giant Industries, Inc. 2,200 41,184
* Gibraltar Packaging Group, Inc. 900 1,890
Gibraltar Steel Corp. 1,800 52,110
Glatfelter (P.H.) Co. 10,500 128,520
* Glenayre Technologies, Inc. 7,600 19,228
* Globecomm Systems, Inc. 1,400 8,204
* Glowpoint, Inc. 3,800 8,246
* GoAmerica, Inc. 370 333
* Golden State Vintners, Inc. 1,000 8,170
* Goodyear Tire & Rubber Co. 32,400 281,880
Goody's Family Clothing, Inc. 4,200 50,148
Gorman-Rupp Co. 900 23,850
* Gottschalks, Inc. 1,400 7,252
* GP Strategies Corp. 1,500 11,250
* Gradco Systems, Inc. 16 157
* Graphic Packaging Corp. 4,600 29,716
Gray Television, Inc. 9,339 131,587
Gray Television, Inc. Class A 1,000 12,800
Great American Financial Resources,
Inc. 2,000 30,500
* Great Atlantic & Pacific Tea Co., Inc. 9,200 63,756
* Greenbrier Companies, Inc. 1,200 20,676
* Group 1 Automotive, Inc. 4,900 157,290
* GTC Biotherapeutics, Inc. 6,700 10,988
* GTSI Corp. 2,100 25,032
Guaranty Federal Bancshares, Inc. 100 1,970
*# Guilford Pharmaceuticals, Inc. 1,900 11,780
* Gulfmark Offshore, Inc. 4,200 56,490
* Ha-Lo Industries, Inc. 3,600 5
Haggar Corp. 600 12,096
* Hain Celestial Group, Inc. 7,800 138,060
* Hall Kinion Associates, Inc. 2,100 8,694
Handleman Co. 4,191 93,878
* Hanger Orthopedic Group, Inc. 4,700 77,550
* Hanover Compressor Co. 20,502 214,656
Hardinge, Inc. 1,000 11,900
Harleysville Group, Inc. 6,973 131,720
* Hartmarx Corp. 2,800 16,884
* Hastings Entertainment, Inc. 1,100 8,557
Haverty Furniture Co., Inc. 2,200 38,610
* Hawaiian Holdings, Inc. 3,200 15,520
* Hawk Corp. 2,300 12,017
* HEI, Inc. 100 255
Heico Corp. 2,000 29,420
Heico Corp. Class A 401 4,740
Helmerich & Payne, Inc. 9,300 232,035
* Hexcel Corp. 4,700 39,950
HF Financial Corp. 330 4,894
Hirsch International Corp. Class A 600 624
HMN Financial, Inc. 750 18,847
* HMS Holdings Corp. 3,600 19,440
* Hoenig Group Escrow Shares 500 115
Holly Corp. 1,900 66,025
* Hollywood Media Corp. 3,100 10,106
* Home Products International, Inc. 1,000 1,290
* HomeStore, Inc. 3,200 13,344
Horace Mann Educators Corp. 10,266 173,803
Horizon Financial Corp. 1,767 32,548
* Horizon Health Corp. 1,300 29,900
* Horizon Offshore, Inc. 7,100 8,662
* Houston Exploration Co. 6,600 $ 311,916
* Hub Group, Inc. Class A 1,000 32,720
* Huffy Corp. 2,900 3,364
Hughes Supply, Inc. 4,340 234,360
* Human Genome Sciences, Inc. 2,400 26,088
* Hurco Companies, Inc. 1,000 13,490
* Huttig Building Products, Inc. 500 4,125
* Hypercom Corp. 11,200 75,264
* I-many, Inc. 4,000 5,000
* Ico, Inc. 2,200 4,686
* Identix, Inc. 9,878 71,615
* IDT Corp. 4,900 86,191
* IDT Corp. Class B 1,400 25,200
* iGate Capital Corp. 8,008 35,716
IHOP Corp. 300 10,800
Ikon Office Solutions, Inc. 22,900 252,358
# IMC Global, Inc. 8,080 100,596
* IMCO Recycling, Inc. 3,100 39,060
* ImmunoGen, Inc. 5,800 46,458
* Impco Technologies, Inc. 1,900 10,887
* Imperial Sugar Co. 1,916 22,628
* Imperial Sugar Company 2,100 0
* Incyte Genomics, Inc. 9,259 66,387
* Industrial Distribution Group, Inc. 1,800 13,050
* InFocus Corp. 9,500 76,570
* Infonet Services Corp. 36,600 62,952
* Information Holdings, Inc. 2,744 73,320
* Inforte Corp. 2,200 23,804
* InfoSpace, Inc. 3,200 117,056
Ingles Market, Inc. Class A 2,200 23,320
* Innotrac Corp. 1,200 11,100
* Innovative Clinical Solutions, Ltd. 52 0
* Innovex, Inc. 4,000 21,560
* Input/Output, Inc. 8,000 55,200
* Insight Communications Co., Inc. 10,837 103,602
* Insight Enterprises, Inc. 5,864 107,663
* Insmed, Inc. 1,600 3,678
* Instinet Group, Inc. 3,500 23,065
* Insurance Auto Auctions, Inc. 2,713 44,385
* InsWeb Corp. 333 1,582
* Integrated Electrical Services, Inc. 8,600 77,400
* Integrated Information Systems, Inc. 200 25
* Integrated Telecom Express, Inc. 100 0
* Integrity Media, Inc. 200 1,272
* Intelligent Systems Corp. 500 925
* InterCept Group, Inc. 4,700 69,983
* Interface, Inc. Class A 10,200 71,400
* Interland, Inc. 4,600 13,386
Intermet Corp. 6,172 25,367
International Aluminum Corp. 500 14,815
* International Shipholding Corp. 400 5,682
*# Internet Commerce Corp. 400 556
Interpool, Inc. 13,950 235,406
Iomega Corp. 12,100 58,564
* Ionics, Inc. 5,000 126,300
* Iridex Corp. 500 3,475
Isco, Inc. 200 3,186
* ITLA Capital Corp. 1,000 40,100
* ITXC Corp. 4,900 11,564
* iVillage, Inc. 3,700 25,493
* IXYS Corp. 2,291 21,421
5
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SHARES VALUE+
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* J Net Enterprises, Inc. 800 $ 1,200
* J. Alexander's Corp. 1,000 7,150
* Jaclyn, Inc. 200 1,016
* Jaco Electronics, Inc. 550 2,740
* Jacuzzi Brands, Inc. 8,000 68,320
* Jakks Pacific, Inc. 6,100 108,458
* JDA Software Group, Inc. 6,400 80,960
* Jo-Ann Stores, Inc. 3,600 103,068
* Johnson Outdoors, Inc. 1,500 28,605
* JPS Industries, Inc. 1,000 2,481
* K2, Inc. 8,597 126,548
* Kadant, Inc. 3,000 60,690
* Kaiser Aluminum Corp. 1,400 49
Kaman Corp. Class A 5,500 64,790
* Kansas City Southern Industries, Inc. 15,000 195,000
* Katy Industries, Inc. 800 4,680
* Keane, Inc. 4,400 63,140
* Keith Companies, Inc. 1,114 15,618
* Kellstrom Industries, Inc. 1,200 2
Kellwood Co. 4,318 175,743
Kelly Services, Inc. 5,000 138,700
* Kemet Corp. 20,712 251,651
* Kendle International, Inc. 2,900 21,750
* Kennedy-Wilson, Inc. 1,000 6,800
* Key Technology, Inc. 200 2,620
* Key Tronic Corp. 1,000 3,580
* Keynote Systems, Inc. 1,700 22,185
* Keystone Consolidated Industries,
Inc. 98 13
* Kforce, Inc. 4,285 39,251
Kimball International, Inc. Class B 5,271 72,951
* Kindred Healthcare, Inc. 8,800 218,592
* Kirby Corp. 100 3,540
Knape & Vogt Manufacturing Co. 550 7,161
* Knight Trading Group, Inc. 4,300 49,278
* Koala Corp. 800 312
# Labranche & Co., Inc. 14,030 125,709
* LaCrosse Footwear, Inc. 900 7,074
Ladish Co., Inc. 2,200 19,140
* Lakes Entertainment, Inc. 3,650 45,114
* Lamson & Sessions Co. 2,800 21,140
* Lancer Corp. 1,300 8,320
Landamerica Financial Group, Inc. 4,100 163,549
Landry's Restaurants, Inc. 6,700 201,000
* Lantronix, Inc. 2,300 2,875
*# Large Scale Biology Corp. 1,000 1,540
* Lattice Semiconductor Corp. 24,700 192,907
* Layne Christensen Co. 1,500 25,290
* Lazare Kaplan International, Inc. 1,000 8,800
* LCC International, Inc. Class A 3,700 15,318
* Lesco, Inc. 2,700 34,911
* Lexicon Genetics, Inc. 2,000 14,020
* Liberate Technologies, Inc. 10,900 28,612
Liberty Corp. 3,610 168,045
* Lightbridge, Inc. 5,300 27,931
* LightPath Technologies, Inc. 287 1,220
Lithia Motors, Inc. Class A 3,168 75,779
* LMI Aerospace, Inc. 300 375
LNR Property Corp. 4,350 218,587
* Lodgian, Inc. 6 89
* Logic Devices, Inc. 1,100 1,760
* LogicVision, Inc. 1,100 $ 3,288
Lone Star Steakhouse & Saloon, Inc. 5,300 134,620
Longs Drug Stores Corp. 9,000 192,780
Longview Fibre Co. 12,300 156,948
Louisiana-Pacific Corp. 7,000 161,700
LSI Industries, Inc. 3,000 34,500
* Luby's, Inc. 5,000 27,600
Lufkin Industries, Inc. 700 21,175
* Lydall, Inc. 3,600 31,788
* M & F Worldwide Corp. 3,800 49,400
* Mac-Gray Corp. 1,700 10,897
MAF Bancorp, Inc. 590 25,990
*# Magna Entertainment Corp. 2,000 10,440
* Magnetek, Inc. 7,000 54,670
* Magnum Hunter Resources, Inc. 16,584 167,001
* MAII Holdings, Inc. 400 4
* Main Street & Main, Inc. 3,800 7,790
* MAIR Holdings, Inc. 4,500 36,000
* Management Network Group, Inc. 5,900 13,865
* Manchester Technologies, Inc. 1,000 3,779
* Manugistic Group, Inc. 9,600 42,720
* Mapinfo Corp. 1,200 12,000
* Marimba, Inc. 2,100 17,178
*# Marisa Christina, Inc. 600 780
Maritrans, Inc. 500 7,325
* MarketWatch.com, Inc. 800 9,104
MarkWest Hydrocarbon, Inc. 330 3,531
* Marlton Technologies, Inc. 200 118
Marsh Supermarkets, Inc. Class A 300 4,094
Marsh Supermarkets, Inc. Class B 400 5,528
* Marten Transport, Ltd. 200 3,472
Massey Energy Co. 14,800 364,376
* Mastec, Inc. 10,200 43,554
* Material Sciences Corp. 3,100 32,085
* Matria Healthcare, Inc. 1,900 41,515
* Maxco, Inc. 700 2,310
Maxcor Financial Group, Inc. 1,400 15,638
* Maxicare Health Plans, Inc. 100 12
*# Maxim Pharmaceuticals, Inc. 2,600 23,166
* Maxwell Shoe Company, Inc. 1,000 22,330
* Maxxam, Inc. 1,000 25,250
* Maxygen, Inc. 5,000 50,200
* Mayor's Jewelers, Inc. 3,400 1,972
McRae Industries, Inc. Class A 200 1,990
* Meade Instruments Corp. 4,400 14,080
* Meadowbrook Insurance Group, Inc. 5,800 29,406
* Medarex, Inc. 5,200 43,524
* MedCath Corp. 3,315 66,963
* Media 100, Inc. 500 11
Media General, Inc. Class A 1,000 68,820
*# Medialink Worldwide, Inc. 500 1,800
* Medicore, Inc. 500 1,635
* Medquist, Inc. 7,100 87,543
* Mens Warehouse, Inc. 6,800 177,412
* Mercury Air Group, Inc. 600 3,600
* Meridian Resource Corp. 4,900 36,162
* Merrimac Industries, Inc. 200 1,850
* MetaSolv, Inc. 7,807 22,016
*# Metris Companies, Inc. 13,900 104,945
* Metro One Telecommunications, Inc. 5,500 9,185
* Metromedia International Group, Inc. 700 245
6
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SHARES VALUE+
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MGP Ingredients, Inc. 600 $ 21,390
* Michael Anthony Jewelers, Inc. 500 713
* Micro Component Technology, Inc. 1,000 1,370
* Micro Linear Corp. 1,100 6,633
* MicroFinancial, Inc. 2,300 6,670
* Microtek Medical Holdings, Inc. 4,100 18,495
* Microtune, Inc. 5,600 19,152
*# Midway Games, Inc. 3,900 42,276
* Midwest Express Holdings, Inc. 3,800 15,010
* Mikohn Gaming Corp. 1,700 8,347
* Milacron, Inc. 7,800 34,944
* Miller Industries, Inc. 1,200 10,932
Minerals Technologies, Inc. 4,100 235,750
* MIPS Technologies, Inc. 2,800 19,432
* Misonix, Inc. 900 7,578
* Mission Resources Corp. 5,200 27,976
* Mitcham Industries, Inc. 1,000 4,200
* MKS Instruments, Inc. 900 21,024
* Mobile Mini, Inc. 3,200 68,224
* Modem Media, Inc. 1,100 6,171
Modine Manufacturing Co. 7,003 211,140
* Modtech Holdings, Inc. 3,163 22,141
* Moldflow Corp. 1,000 11,160
* Mondavi (Robert) Corp. Class A 2,100 73,122
* Mony Group, Inc. 4,300 134,332
* Motor Car Parts & Accessories, Inc. 200 1,700
Movado Group, Inc. 1,837 56,396
* MPS Group, Inc. 25,200 279,216
* MRV Communications, Inc. 9,500 25,270
* MSC Software Corp. 7,300 65,262
Mueller Industries, Inc. 7,741 253,131
Myers Industries, Inc. 6,334 85,572
Nacco Industries, Inc. Class A 800 70,992
*# Nanogen, Inc. 2,200 14,982
* Nanometrics, Inc. 2,600 33,254
*# Napco Security Systems, Inc. 1,000 8,800
Nash-Finch Co. 2,636 49,557
* Nashua Corp. 500 4,615
* NATCO Group, Inc. Class A 2,200 16,808
* Nathans Famous, Inc. 1,400 8,525
* National Home Health Care Corp. 200 2,020
National Presto Industries, Inc. 800 31,520
* National Research Corp. 300 5,040
* National RV Holdings, Inc. 2,000 23,800
* National Technical Systems, Inc. 1,100 5,466
* Natrol, Inc. 1,000 2,750
* Natural Alternatives International, Inc. 200 2,194
* Natus Medical, Inc. 2,000 10,260
* Navidec, Inc. 38 66
* Navigant International, Inc. 3,500 60,830
* Navigators Group, Inc. 1,100 31,790
* NCI Building Systems, Inc. 4,300 125,001
* NCO Group, Inc. 5,814 144,129
* Neoforma, Inc. 3,900 44,343
* NeoMagic Corp. 5,100 20,910
* NES Rentals Holdings, Inc. 5 41
* Net2Phone, Inc. 5,900 25,223
NetBank, Inc. 2,148 23,027
* Netegrity, Inc. 1,100 10,362
* NetIQ Corp. 12,500 165,625
* NetRatings, Inc. 7,539 105,471
* Netscout System, Inc. 3,600 $ 24,804
* Network Equipment Technologies,
Inc. 4,100 30,176
* Neurogen Corp. 2,400 22,584
* New Brunswick Scientific Co., Inc. 609 3,703
* New Horizons Worldwide, Inc. 750 4,381
* Newpark Resources, Inc. 15,200 85,880
* Newport Corp. 8,700 126,411
* Niagara Corp. 1,200 4,842
* NMS Communications Corp. 2,000 17,200
* NMT Medical, Inc. 1,200 4,566
* Nobel Learning Communities, Inc. 200 1,315
* Norstan, Inc. 1,800 5,796
* North America Galvanizing &
Coatings, Inc. 100 200
* North American Scientific, Inc. 1,800 16,110
* Northland Cranberries, Inc. 450 297
* Northwest Pipe Co. 500 7,350
* Novamed Eyecare, Inc. 3,500 12,705
* NS Group, Inc. 100 1,330
* Nu Horizons Electronics Corp. 3,700 30,081
NUI Corp. 57 775
* Nuvelo, Inc. 377 3,280
NWH, Inc. 400 7,506
* NYFIX, Inc. 6,400 32,256
Nymagic, Inc. 1,000 25,700
* O.I. Corp. 400 3,364
* Obie Media Corp. 500 1,765
* Ocwen Financial Corp. 7,252 90,215
* Odd Job Stores, Inc. 1,000 1,615
* Offshore Logistics, Inc. 5,000 114,850
*# Oglebay Norton Co. 500 70
* Ohio Casualty Corp. 14,636 274,425
* Oil States International, Inc. 11,216 159,267
Oil-Dri Corp. of America 100 1,607
* Olympic Steel, Inc. 1,700 24,140
* Omega Protein Corp. 5,900 63,720
* Omnova Solutions, Inc. 1,300 6,708
* On Assignment, Inc. 5,300 31,111
* One Price Clothing Stores, Inc. 543 11
*# Oneida, Ltd. 2,600 3,224
* Onyx Acceptance Corp. 700 10,605
* Opinion Research Corp. 600 4,164
* Oplink Communications, Inc. 1,100 2,211
* Opti, Inc. 1,200 1,860
* Oregon Steel Mills, Inc. 6,400 72,128
*# Orthodontic Centers of America, Inc. 11,600 99,180
* Orthologic Corp. 1,900 15,257
* Oscient Pharmaceutical Corp. 2,300 10,787
* OSI Systems, Inc. 3,000 66,990
Outlook Group Corp. 400 2,460
Overseas Shipholding Group, Inc. 7,200 274,608
* OYO Geospace Corp. 100 1,749
* Pacific Premier Bancorp, Inc. 700 8,057
* Pain Therapeutics, Inc. 900 7,038
*# Palmone Inc 4,700 99,781
* Par Technology Corp. 1,000 10,400
* Paradyne Networks Corp. 1,500 7,095
Park Electrochemical Corp. 2,150 53,664
* Parker Drilling Co. 19,600 62,916
* Park-Ohio Holdings Corp. 1,700 20,570
7
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SHARES VALUE+
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Parkvale Financial Corp. 100 $ 2,658
* Parlex Corp. 2,100 12,747
* Parlux Fragrances, Inc. 2,400 21,936
* Pathmark Stores, Inc. 6,848 46,224
* Patrick Industries, Inc. 1,000 10,300
* Paula Financial, Inc. 300 855
* Payless Cashways, Inc. 34 0
* PC Connection, Inc. 5,000 38,350
* PC-Tel, Inc. 3,200 35,008
* Pediatric Services of America, Inc. 1,200 14,880
* Peerless Systems Corp. 700 875
* Pegasus Solutions, Inc. 5,100 58,650
* Pemstar, Inc. 9,345 24,577
Penford Corp. 400 6,880
* Penn Treaty American Corp. 2,700 5,751
Penn Virginia Corp. 900 56,070
Penn-America Group, Inc. 3,550 46,860
* Penton Media, Inc. 200 138
Pep Boys - Manny, Moe & Jack 8,300 203,267
* Perceptron, Inc. 1,800 12,060
* Pericom Semiconductor Corp. 4,900 52,479
* Perry Ellis International, Inc. 1,600 38,368
* Petrocorp, Inc. Escrow Shares 1,700 102
* Pharmacopia Drug Discovery, Inc. 1,700 11,832
* Pharmacyclics, Inc. 1,500 17,955
* PharmChem, Inc. 500 80
Phillips-Van Heusen Corp. 6,300 119,259
* Phoenix Technologies, Ltd. 5,400 35,640
* Photronics, Inc. 6,100 107,848
* Piccadilly Cafeterias, Inc. 1,100 1
* Pico Holdings, Inc. 1,780 32,485
Pilgrims Pride Corp. Class B 2,100 56,448
Pinnacle Bancshares, Inc. 200 2,970
* Pinnacle Entertainment, Inc. 5,200 59,280
* Plains Exploration & Production Co. 2,045 36,401
* Play By Play Toys and Novelties, Inc. 500 1
* Plexus Corp. 6,600 96,954
PMA Capital Corp. Class A 6,551 45,660
Pocahontas Bancorp, Inc. 1,100 18,783
* Polyone Corp. 6,000 41,340
Pomeroy IT Solutions, Inc. 2,700 34,344
Pope & Talbot, Inc. 2,500 41,825
Potlatch Corp. 300 11,325
* Power-One, Inc. 900 9,072
* Powerwave Technologies, Inc. 11,101 88,919
* PPT Vision, Inc. 300 423
* PRAECIS Pharmaceuticals, Inc. 7,957 33,181
Preformed Line Products Co. 200 5,500
Presidential Life Corp. 7,000 118,440
*# PRG-Schultz International, Inc. 12,600 56,826
* Pricesmart, Inc. 1,550 8,541
* Prime Hospitality Corp. 10,792 106,949
* Prime Medical Services, Inc. 5,386 31,508
* Primus Knowledge Solutions, Inc. 864 1,840
* Printronix, Inc. 300 4,350
* Procom Technology, Inc. 900 1,098
Programmers Paradise, Inc. 400 2,956
* Progressive Software Holding, Inc. 30 0
* Protection One, Inc. 12,900 2,516
Providence & Worcester Railroad Co. 200 2,040
* Province Healthcare Co. 9,300 148,986
* ProxyMed, Inc. 32 $ 608
* PSS World Medical, Inc. 3,300 33,165
* PTEK Holdings, Inc. 2,100 22,029
Pulitzer, Inc. 1,600 75,280
* Pure World, Inc. 520 998
Pyramid Breweries, Inc. 300 657
Quaker Fabric Corp. 4,050 32,279
* Quality Dining, Inc. 1,400 3,150
Quanex Corp. 3,600 160,380
* Quanta Services, Inc. 26,000 137,800
* Quantum Corp.- DLT 6,300 18,585
* Quantum Fuel Systems Technologies
Worldwide, Inc. 300 1,503
* Quicklogic Corp. 2,500 7,498
* Quigley Corp. 300 2,382
* Quovadx, Inc. 8,493 9,088
* R & B, Inc. 1,100 20,625
* Radiologix, Inc. 4,400 17,424
* Rag Shops, Inc. 210 693
* Railamerica, Inc. 7,966 101,567
* Raytech Corp. 3,300 6,765
* RCM Technologies, Inc. 1,500 8,025
* Reading International, Inc. Class A 1,091 9,208
* Reading International, Inc. Class B 60 495
*# Redhook Ale Brewery, Inc. 1,000 2,180
* Refac 60 290
Regal-Beloit Corp. 5,306 108,508
* Regent Communications, Inc. 9,600 56,640
* Register.Com, Inc. 4,200 21,924
* Reliability, Inc. 500 550
Reliance Steel & Aluminum Co. 6,700 245,153
* Relm Wireless Corp. 400 960
* Remec, Inc. 7,600 49,780
* Rent-Way, Inc. 6,500 60,450
* Reptron Electronics, Inc. 1,000 0
* Reptron Electronics, Inc. 39 285
* Republic First Bancorp, Inc. 300 3,570
* Res-Care, Inc. 4,700 65,189
Resource America, Inc. 3,800 82,840
* Restoration Hardware, Inc. 3,700 24,827
* Retail Ventures Inc. 7,428 53,704
* Rex Stores Corp. 2,450 30,135
Riggs National Corp. 7,000 152,880
Riverview Bancorp, Inc. 300 6,237
* Riviera Tool Co. 300 1,002
RLI Corp. 4,200 151,074
* Roadhouse Grill, Inc. 1,150 288
Roanoke Electric Steel Corp. 1,700 22,355
Robbins & Myers, Inc. 3,200 70,720
*# Robotic Vision Systems, Inc. 360 1,206
* Rochester Medical Corp. 200 1,624
Rock of Ages Co. 500 4,065
* Rockford Corp. 2,200 10,890
Rock-Tenn Co. Class A 8,700 139,809
* Rocky Shoes & Boots, Inc. 100 2,046
* RTI International Metals, Inc. 4,600 66,746
* RTW, Inc. 700 4,524
* Rubio's Restaurants, Inc. 2,500 16,550
Ruddick Corp. 6,396 131,502
* Rural/Metro Corp. 1,300 1,625
* Rush Enterprises, Inc. Class A 500 5,905
8
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* Rush Enterprises, Inc. Class B 500 $ 6,069
Russell Corp. 7,800 127,764
* Ryan's Family Steak Houses, Inc. 2,300 38,709
Ryerson Tull, Inc. 5,429 72,803
* S&K Famous Brands, Inc. 300 5,108
* Safeguard Scientifics, Inc. 25,900 66,045
*# Salton, Inc. 2,500 14,150
* Sands Regent Casino Hotel 400 2,732
* Satcon Technology Corp. 1,300 3,575
Saucony, Inc. Class B 300 6,054
Sauer-Danfoss, Inc. 800 12,432
* SBS Technologies, Inc. 1,800 33,300
* ScanSoft, Inc. 2,186 11,455
* Scheid Vineyards, Inc. 200 1,002
* Schlotzskys, Inc. 1,000 1,519
* Schuff International, Inc. 1,200 2,808
# Schulman (A.), Inc. 6,200 123,814
Schweitzer-Maudoit International, Inc. 1,800 50,670
* SCM Microsystems, Inc. 2,800 17,836
SCPIE Holdings, Inc. 1,200 10,452
* SCS Transportation, Inc. 3,200 72,800
Seaboard Corp. 200 74,800
* Seabulk International, Inc. 7,100 62,977
* Seacor Smit, Inc. 4,161 166,606
* Secom General Corp. 80 101
* SED International Holdings, Inc. 100 152
* SEEC, Inc. 500 125
* Selas Corp. of America 500 1,500
* Selectica, Inc. 9,800 42,934
Selective Insurance Group, Inc. 6,000 216,780
* SEMX Corp. 800 120
* Sequa Corp. Class A 200 9,830
* Sequenom, Inc. 8,400 13,524
* Service Corp. International 45,600 328,320
*# Shaw Group, Inc. 13,670 161,306
* Shiloh Industries, Inc. 1,100 11,968
* Shoe Carnival, Inc. 2,800 38,584
* Sholodge, Inc. 600 4,050
* Shopko Stores, Inc. 6,100 83,204
* Sifco Industries, Inc. 400 1,640
* Sight Resource Corp. 1,300 59
*# Silicon Graphics, Inc. 12,400 23,436
Simmons First National Corp. Class A 400 9,636
* Sipex Corp. 3,200 20,640
* Sitel Corp. 14,800 46,324
* Six Flags, Inc. 22,300 156,100
* Skechers U.S.A., Inc. Class A 3,600 41,400
Skyline Corp. 900 36,018
* Skyworks Solutions, Inc. 26,100 233,334
* SL Industries, Inc. 200 2,160
* Smart & Final Food, Inc. 5,000 77,700
* SmartDisk Corp. 200 36
* Smith & Wollensky Restaurant Group,
Inc. 2,000 12,880
Smith (A.O.) Corp. 4,500 132,525
Smith (A.O.) Corp. Convertible
Class A 300 8,835
* Smithway Motor Xpress Corp.
Class A 600 1,482
* Sola International, Inc. 5,200 100,828
* Somera Communications, Inc. 7,400 10,360
Sonic Automotive, Inc. 6,687 $ 146,780
* Sonic Foundry, Inc. 1,700 2,669
* SonicWALL, Inc. 13,400 106,664
* Sourcecorp, Inc. 3,400 87,312
South Jersey Industries, Inc. 2,500 104,975
* Southern Energy Homes, Inc. 1,600 6,584
* Southwall Technologies, Inc. 2,300 1,035
* Southwestern Energy Co. 3,700 94,572
*# Spacehab, Inc. 900 3,699
* Spartan Stores, Inc. 4,000 17,364
* Sparton Corp. 551 4,612
* Spectrum Control, Inc. 700 5,733
* Spherion Corp. 13,100 121,044
* Spinnaker Exploration Co. 6,968 232,243
* Sport Chalet, Inc. 600 7,500
* Sport Supply Group, Inc. 300 353
* Sports Club Co., Inc. 1,900 3,040
* SportsLine.Com, Inc. 2,100 2,100
* Stamps.com, Inc. 4,500 59,445
Standard Commercial Corp. 2,856 47,095
* Standard Management Corp. 700 2,415
Standard Motor Products, Inc.
Class A 3,600 50,400
Standard Register Co. 5,000 60,950
Starrett (L.S.) Co. Class A 200 3,146
State Financial Services Corp.
Class A 500 14,210
* Steel Dynamics, Inc. 8,500 217,600
Steel Technologies, Inc. 2,100 44,835
* Steinway Musical Instruments, Inc. 1,400 47,600
* Stellent, Inc. 4,400 35,068
Stepan Co. 500 12,125
Stephan Co. 200 912
Stewart & Stevenson Services, Inc. 6,000 101,700
* Stewart Enterprises, Inc. 23,800 178,976
Stewart Information Services Corp. 3,500 119,525
* Stifel Financial Corp. 551 13,830
* Stillwater Mining Co. 18,300 277,245
* Stoneridge, Inc. 5,800 90,828
* StorageNetworks, Inc. Escrow Shares 10,100 274
Strategic Distribution, Inc. 200 2,598
* Stratos International, Inc. 2,561 14,572
* Stratus Properties, Inc. 650 8,125
Stride Rite Corp. 8,500 89,675
* Suburban Lodges of America, Inc.
Escrow Shares 2,200 0
* Summa Industries, Inc. 200 1,912
* SumTotal Systems, Inc. 1,636 10,552
* Sunrise Senior Living, Inc. 4,400 158,576
Sunrise Telecom, Inc. 4,600 12,236
* Suntron Corp. 325 2,512
Superior Uniform Group, Inc. 800 13,200
Supreme Industries, Inc. 520 3,510
* Swift Energy Corp. 6,000 121,200
SWS Group, Inc. 3,600 58,032
* Sycamore Networks, Inc. 54,500 240,345
* Sykes Enterprises, Inc. 7,700 48,202
* Sylvan, Inc. 400 4,820
* Symmetricom, Inc. 5,439 42,968
* Syms Corp. 3,600 29,304
* Synalloy Corp. 1,000 9,320
9
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SHARES VALUE+
------ ------
Sypris Solutions, Inc. 900 $ 17,100
* Systemax, Inc. 5,600 34,720
* T-3 Energy Services, Inc. 100 658
Tandy Brand Accessories, Inc. 500 6,720
* Tarrant Apparel Group 3,400 6,426
Tasty Baking Co. 2,500 23,575
TB Woods Corp. 700 5,355
* TBA Entertainment Corp. 500 330
* TeamStaff, Inc. 2,200 5,016
* TechTeam Global, Inc. 3,300 25,347
Tecumseh Products Co. Class A 2,900 107,648
Tecumseh Products Co. Class B 100 3,799
* Tegal Corp. 1,200 1,992
* Teletech Holdings, Inc. 10,650 80,088
* Tenneco Automotive, Inc. 1,100 14,047
* Terayon Communication Systems,
Inc. 10,000 27,500
* Terex Corp. 7,300 215,277
* Terra Industries, Inc. 16,800 77,784
* Tesoro Petroleum Corp. 14,200 338,244
Texas Industries, Inc. 4,400 162,140
* The Banc Corp. 3,200 21,888
* The Dress Barn, Inc. 3,300 57,783
The Marcus Corp. 4,600 74,520
The Phoenix Companies, Inc. 21,500 251,765
* The Rowe Companies 300 1,365
* Theragenics Corp. 6,300 26,901
* TheStreet.com, Inc. 1,200 4,512
* Third Wave Technologies 1,100 5,335
Thomas & Betts Corp. 1,000 24,460
* THQ, Inc. 4,700 99,123
* Three-Five Systems, Inc. 4,500 24,120
* TIBCO Software, Inc. 1,700 14,110
* Tickets.com, Inc. 1,000 475
* TII Network Technologies, Inc. 1,200 1,680
Timberland Bancorp, Inc. 200 4,440
* Timco Aviation Services, Inc. 110 44
* Time Warner Telecom, Inc. 8,600 36,636
* Tipperary Corp. 1,000 3,270
Titan International, Inc. 2,000 21,300
* Titan Pharmaceuticals, Inc. 5,100 16,830
* Titanium Metals Corp. 470 42,418
* TLC Vision Corp. 75 779
Todd Shipyards Corp. 600 10,560
* Torch Offshore, Inc. 3,500 9,240
* Tower Automotive, Inc. 12,400 46,004
Traffix, Inc. 1,900 13,186
* Trailer Bridge, Inc. 1,000 5,550
* Trammell Crow Co. 6,600 83,886
* Trans World Entertainment Corp. 7,600 75,848
* Transgenomic, Inc. 3,600 5,580
* Transkaryotic Therapies, Inc. 5,600 80,752
* Transmeta Corp. 11,700 25,506
* Transmontaigne Oil Co. 7,900 45,978
* Transpro, Inc. 2,400 14,220
* Transtechnology Corp. 500 3,450
Tredegar Industries, Inc. 7,919 114,430
* Trenwick Group, Ltd. 1,225 11
* Trestle Holdings Inc. 40 100
* Triad Guaranty, Inc. 2,800 160,888
*# Trico Marine Services, Inc. 6,200 1,426
Trinity Industries, Inc. 9,800 $ 280,378
* Tripos, Inc. 200 1,118
* Triquint Semiconductor, Inc. 20,400 113,832
* Triumph Group 3,300 104,973
* TriZetto Group, Inc. 6,100 39,833
* Trover Solutions, Inc. 1,000 6,800
* Trump Hotels & Casino Resorts, Inc. 6,000 11,820
* Tumbleweed Communications Corp. 400 1,992
* Tweeter Home Entertainment Group,
Inc. 5,100 33,966
Twin Disc, Inc. 200 4,400
* U.S. Concrete, Inc. 5,600 39,088
* U.S. Xpress Enterprises, Inc. Class A 1,000 12,950
* UICI 10,200 202,776
* Ulticom, Inc. 3,600 33,840
UMB Financial Corp. 4,395 223,486
* Unico American Corp. 500 2,946
* Unifi, Inc. 11,500 26,795
Unifirst Corp. 1,900 49,400
* Uni-Marts, Inc. 500 1,095
* Uniroyal Technology Corp. 700 1
* United American Healthcare Corp., 700 3,200
United Auto Group, Inc. 8,790 254,295
United Community Financial Corp. 6,000 72,660
United Fire & Casualty Co. 1,000 55,350
* United Rentals, Inc. 12,900 220,590
* United Retail Group, Inc. 2,300 6,325
* Universal Access Global Holdings,
Inc. 5 5
* Universal American Financial Corp. 8,000 87,600
* Universal Compression Holdings, Inc. 6,814 201,626
Universal Forest Products, Inc. 2,731 79,090
* Universal Stainless & Alloy Products,
Inc. 800 8,665
Unizan Financial Corp. 3,900 100,542
* Unova, Inc. 1,000 17,350
* Urologix, Inc. 200 2,810
* URS Corp. 8,100 203,958
* US Oncology, Inc. 14,748 216,206
* USA Truck, Inc. 1,400 16,254
Usec, Inc. 18,130 141,958
USF Corp. 5,777 166,089
* Vail Resorts, Inc. 6,331 94,648
Valhi, Inc. 1,840 20,424
* ValueClick, Inc. 7,200 78,768
* Valuevision Media, Inc. Class A 200 2,400
* Vans, Inc. 3,800 77,558
* Variflex, Inc. 1,200 8,040
* Vastera, Inc. 9,600 33,120
* Venturi Partners, Inc. 4 55
* Verilink Corp. 500 2,250
* Veritas DGC, Inc. 7,100 135,894
* Verso Technologies, Inc. 692 1,097
* Verticalbuyer Inc. 53 0
Vesta Insurance Group, Inc. 7,700 45,815
* VIA NET.WORKS, Inc. 500 440
* Vical, Inc. 4,200 23,142
* Vicon Industries, Inc. 200 1,054
* Vicor Corp. 2,700 37,530
* Vignette Corp. 25,500 42,075
Vintage Petroleum, Inc. 13,200 205,788
10
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SHARES VALUE+
------ ------
Virco Manufacturing Corp. 547 $ 3,747
* Vista Medical Technologies, Inc. 125 185
Visteon Corp. 27,500 301,400
* Volt Information Sciences, Inc. 4,900 125,930
* Vyyo, Inc. 2,700 19,818
Walter Industries, Inc. 7,372 93,846
*# Warnaco Group, Inc. 1,000 1
Washington Savings Bank FSB 600 6,234
Waste Industries USA, Inc. 1,700 19,210
* WatchGuard Technologoes, Inc. 6,100 39,711
* Water Pik Technologies, Inc. 1,000 16,690
* Waterlink, Inc. 1,500 1
Watsco, Inc. Class A 2,800 73,276
Watts Water Technologies, Inc. 4,200 101,934
Wausau-Mosinee Paper Corp. 12,629 192,087
Waypoint Financial Corp. 33 904
* Webco Industries, Inc. 1,000 4,905
* Weider Nutrition International, Inc. 1,000 4,640
Weis Markets, Inc. 2,500 85,375
Wellman, Inc. 9,200 73,140
* Wells-Gardner Electronics Corp. 266 1,248
* Westaff, Inc. 2,400 6,240
Westbank Corp. 1,102 20,751
* Westcoast Hospitality Corp. 1,000 5,770
* Western Power & Equipment Corp. 112 41
* Whitehall Jewelers, Inc. 3,500 28,035
*# WHX Corp. 733 1,187
* Wickes, Inc. 1,200 150
* Willis Lease Finance Corp. 800 6,600
* Wilshire Financial Services Group,
Inc. 8 72
* Wilshire Oil Co. of Texas 515 2,580
* Wilsons The Leather Experts, Inc. 4,400 14,740
* Wind River Systems, Inc. 7,762 79,871
* Wiser Oil Co. 1,300 13,741
* Wolverine Tube, Inc. 2,600 29,588
Woodward Governor Co. 1,071 71,168
* Worldwide Restaurant Concepts, Inc. 7,000 23,380
* Wyndham International, Inc. 700 623
* Xanser Corp. 5,300 13,409
* Xeta Corp. 1,000 5,099
* Zapata Corp. 230 15,640
*# Zoltek Companies, Inc. 2,600 18,928
* Zomax, Inc. 6,500 24,765
* Zones, Inc. 500 1,350
* Zoran Corp. 8,531 149,890
* Zygo Corp. 3,300 34,980
* Zymetx, Inc. 200 11
---------------
TOTAL COMMON STOCKS
(Cost $45,020,344) 53,659,202
---------------
RIGHTS/WARRANTS -- (0.0%)
* Chart Industries, Inc. Warrants
09/15/10 3 23
* Chiquita Brands International, Inc.
Warrants 03/19/09 1,148 5,419
* Danielson Holding Corp. Rights
06/09/04 3,000 0
* Imperial Credit Industries, Inc.
Warrants 01/31/08 62 $ 0
* Imperial Sugar Co. Warrants
08/29/08 71 143
* Lodgian, Inc. Class A Warrants
11/25/07 24 5
* Lodgian, Inc. Class B Warrants
11/25/09 74 17
* Magnum Hunter Resources Warrants
03/21/05 160 96
* Miltope Group, Inc. Contigent Value
Rights 500 0
* Orbital Science Corp. Warrants
08/31/04 30 235
* PMR Corp. Contingent Value Rights
08/05/04 1,100 1
* Timco Aviation Services Warrants
02/27/07 373 0
---------------
TOTAL RIGHTS/WARRANTS
(Cost $60,968) 5,939
---------------
FACE
AMOUNT
------
(000)
BONDS -- (0.0%)
* Timco Aviation Services, Inc. Jr
Subordinated Note 8.00% 01/02/07
(Cost $0) $ 0 0
---------------
TEMPORARY CASH
INVESTMENTS -- (5.4%)
Repurchase Agreement, PNC Capital
Markets, Inc. 0.89%, 06/01/04
(Collateralized by $890,000 FHLB
Floating Rate Notes, 10/03/05,
valued at $888,888) to be
repurchased at $875,087
(Cost $875,000) 875 875,000
Repurchase Agreement, Merrill Lynch
Triparty Repo 0.96%, 06/01/04
(Collateralized by $2,240,000
U.S. Treasury Obligations 1.875%,
11/30/05, valued at $2,252,141)
to be repurchased at $2,205,819
(Cost $2,205,584)^ 2,206 2,205,584
---------------
TOTAL TEMPORARY CASH
INVESTMENTS
(Cost $3,080,584) 3,080,584
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $48,161,896)++ $ 56,745,725
===============
----------
+ 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 $48,173,013.
See accompanying Notes to Financial Statements.
11
VA LARGE VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
· Download Table
SHARES VALUE+
------ ------
COMMON STOCKS -- (93.2%)
* 3COM Corp. 11,600 $ 75,052
*# Advanced Micro Devices, Inc. 9,300 144,615
Aetna, Inc. 9,100 738,920
* Agere Systems, Inc. Class A 671 1,704
* Agere Systems, Inc. Class B 16,482 40,381
* Alaska Air Group, Inc. 1,900 39,140
# Albertson's, Inc. 10,600 248,358
* Allegheny Corp. 112 29,848
Alliant Energy Corp. 5,000 124,900
* Allied Waste Industries, Inc. 2,200 29,172
* Allmerica Financial Corp. 2,800 90,020
Allstate Corp. 34,900 1,534,902
Amerada Hess Corp. 4,000 282,360
American Financial Group, Inc. 3,500 105,735
American National Insurance Co. 1,610 151,034
*# American Tower Corp. 9,700 134,151
* Americredit Corp. 7,700 136,290
Anadarko Petroleum Corp. 9,100 496,132
Apache Corp. 5,354 216,088
* Apple Computer, Inc. 8,200 230,092
* Applied Micro Circuits Corp. 8,100 43,659
Archer-Daniels Midland Co. 44,532 740,567
* Arrow Electronics, Inc. 3,300 89,859
Ashland, Inc. 4,400 207,460
Astoria Financial Corp. 3,600 137,772
AT&T Corp. 40,340 668,837
* AT&T Wireless Services, Inc. 95,842 1,357,123
* AutoNation, Inc. 36,000 600,120
* Avnet, Inc. 5,300 124,020
AVX Corp. 2,600 41,184
Bear Stearns Companies, Inc. 6,910 560,125
Belo Corp. Class A 6,500 191,230
# Blockbuster, Inc. Class A 2,000 31,320
Boise Cascade Corp. 4,800 168,720
Borders Group, Inc. 800 18,264
Borg-Warner, Inc. 2,800 116,032
Bowater, Inc. 2,700 114,021
Burlington Northern Santa Fe Corp. 24,600 810,324
* Caesars Entertainment, Inc. 11,300 155,601
* Cavco Industries, Inc. 175 6,639
Cendant Corp. 6,800 155,992
*# CheckFree Corp. 1,500 45,990
Chubb Corp. 4,100 276,217
*# CIENA Corp. 8,700 31,320
CIGNA Corp. 900 61,020
* Cincinnati Bell, Inc. 2,800 11,536
Cincinnati Financial Corp. 11,224 479,847
Circuit City Stores, Inc. 10,700 128,079
Clear Channel Communications, Inc. 31,062 1,233,161
*# CNA Financial Corp. 12,000 360,240
Coca-Cola Enterprises, Inc. 28,300 779,665
* Comcast Corp. Class A 40,032 1,158,926
* Comcast Corp. Special Class A
Non-Voting 26,900 762,615
Commercial Federal Corp. 3,200 89,664
* Compuware Corp. 5,800 46,110
* Comverse Technology, Inc. 4,900 86,583
ConocoPhilips 5,800 425,314
* Corning, Inc. 24,100 $ 298,599
Countrywide Financial Corp. 14,599 941,636
* Cox Communications, Inc. 30,300 951,723
*# Crown Castle International Corp. 6,700 98,691
CSX Corp. 14,100 445,560
# Cummins, Inc. 2,100 122,304
Dana Corp. 8,700 162,255
*# Delta Air Lines, Inc. 5,900 35,990
Devon Energy Corp. 500 29,680
# Diamond Offshore Drilling, Inc. 6,561 148,213
Dillards, Inc. Class A 900 18,009
Disney (Walt) Co. 19,900 467,053
Eastman Chemical Co. 3,000 139,020
Electronic Data Systems Corp. 14,400 235,440
Federated Department Stores, Inc. 12,300 586,833
First American Financial Corp. 3,800 98,648
Foot Locker, Inc. 9,300 219,480
Ford Motor Co. 90,100 1,337,985
General Motors Corp. 27,700 1,257,303
Georgia-Pacific Corp. 12,500 447,750
* Goodyear Tire & Rubber Co. 3,700 32,190
Harris Corp. 3,200 147,968
Hartford Financial Services Group,
Inc. 9,400 621,528
Hearst-Argyle Television, Inc. 2,200 57,530
Hibernia Corp. 3,200 76,800
Hollinger International, Inc. Class A 5,000 88,000
Horton (D.R.), Inc. 14,982 432,980
* Humana, Inc. 11,200 191,184
Ikon Office Solutions, Inc. 2,500 27,550
* Ingram Micro, Inc. 7,500 108,375
* Instinet Group, Inc. 900 5,931
* InterActiveCorp 32,100 1,003,446
International Paper Co. 29,463 1,235,384
* Invitrogen Corp. 1,000 69,450
* JDS Uniphase Corp. 35,700 123,165
JP Morgan Chase & Co. 24,400 898,896
Kennametal, Inc. 1,200 51,120
Kerr-McGee Corp. 4,600 226,550
KeyCorp 21,700 681,597
LaFarge North America, Inc. 5,900 259,954
Lear Corp. 3,900 230,997
*# Level 3 Communications, Inc. 6,800 26,520
* Liberty Media Corp. 137,800 1,513,044
Lincoln National Corp. 8,800 417,912
Loews Corp. 12,800 737,664
Louisiana-Pacific Corp. 3,600 83,160
* LSI Logic Corp. 14,300 117,260
Lubrizol Corp. 2,000 66,220
*# Lucent Technologies, Inc. 92,100 328,797
Lyondell Chemical Co. 7,700 127,204
Manulife Financial Corp. 8,534 331,290
Marathon Oil Corp. 14,000 466,760
Massey Energy Co. 2,300 56,626
MBIA, Inc. 7,600 420,964
MeadWestavco Corp. 12,941 357,431
MetLife, Inc. 36,900 1,311,795
* Metro-Goldwyn-Mayer, Inc. 7,300 86,797
MGIC Investment Corp. 2,300 167,900
12
· Download Table
SHARES VALUE+
------ ------
* MGM Grand, Inc. 6,600 $ 293,106
*# Micron Technology, Inc. 12,500 187,875
* Mony Group, Inc. 2,600 81,224
Motorola, Inc. 4,000 79,080
Nationwide Financial Services, Inc. 3,000 109,650
* NetIQ Corp. 1,500 19,875
Norfolk Southern Corp. 24,300 588,789
Northrop Grumman Corp. 9,649 995,101
Occidental Petroleum Corp. 6,000 265,200
# Odyssey Re Holdings Corp. 1,900 47,975
Old Republic International Corp. 9,725 221,341
* Owens-Illinois, Inc. 6,000 88,980
* Pacificare Health Systems, Inc. 800 29,544
* PanAmSat Corp. 7,000 162,610
Peabody Energy Corp. 1,100 54,714
Penney (J.C.) Co., Inc. 16,600 593,948
PepsiAmericas, Inc. 4,700 99,828
* Phelps Dodge Corp. 4,624 313,970
PMI Group, Inc. 5,000 215,850
Pogo Producing Co. 3,000 136,440
* Pride International, Inc. 6,900 108,468
Principal Financial Group, Inc. 16,200 566,190
Protective Life Corp. 3,500 129,430
Pulte Homes Inc. 4,800 253,200
Questar Corp. 4,800 175,920
*# Qwest Communications International,
Inc. 53,900 202,125
Radian Group, Inc. 5,200 239,200
* Radio One, Inc. 1,000 17,280
Rayonier, Inc. 1,246 52,332
Raytheon Co. 21,200 704,900
Reinsurance Group of America, Inc. 3,100 123,225
* Rite Aid Corp. 8,500 42,670
RJ Reynolds Tobacco Holdings, Inc. 6,046 339,785
Rohm & Haas Co. 900 34,686
Ryder System, Inc. 4,500 167,175
Safeco Corp. 7,800 327,210
Saint Paul Companies, Inc. 14,712 583,772
Saks, Inc. 10,000 150,100
* Sanmina Corp. 17,900 189,382
SBC Communications, Inc. 6,300 149,310
# Sears, Roebuck & Co. 11,400 433,200
* Service Corp. International 10,100 72,720
* Smithfield Foods, Inc. 1,500 43,485
* Smurfit-Stone Container Corp. 12,963 235,408
* Solectron Corp. 24,000 132,000
# Sprint Corp. 46,400 824,064
StanCorp Financial Group, Inc. 1,900 121,771
Starwood Hotels and Resorts
Worldwide, Inc. 11,500 485,070
Steelcase, Inc. Class A 1,200 14,160
* Sun Microsystems, Inc. 22,000 93,060
Sunoco, Inc. 5,100 313,803
Supervalu, Inc. 10,000 310,200
* Tech Data Corp. 2,900 116,406
Telephone & Data Systems, Inc. 3,000 214,950
* Tellabs, Inc. 12,600 100,044
Temple-Inland, Inc. 2,900 189,428
* Tenet Healthcare Corp. 22,300 265,816
Textron, Inc. 4,000 218,600
* The DIRECTV Group, Inc. 15,558 273,976
* Thermo-Electron Corp. 1,000 30,780
Thomas & Betts Corp. 1,800 44,028
Tidewater, Inc. 2,100 $ 58,044
* Time Warner, Inc. 130,900 2,230,536
Torchmark Corp. 1,800 97,542
* Toys R Us, Inc. 14,100 221,652
* Triad Hospitals, Inc. 4,000 141,440
Tyson Foods, Inc. Class A 12,481 256,110
Union Pacific Corp. 16,400 956,448
Unionbancal Corp. 1,000 57,590
* Unisys Corp. 1,800 24,408
* United States Cellular Corp. 2,600 92,586
United States Steel Corp. 5,700 173,052
Unitrin, Inc. 4,700 188,470
# UnumProvident Corp. 14,982 218,138
# Valero Energy Corp. 5,700 376,827
Valhi, Inc. 6,500 72,150
* VeriSign, Inc. 5,800 105,212
Viacom, Inc. Class A 2,000 74,540
Viacom, Inc. Class B 55,900 2,062,151
* Vishay Intertechnology, Inc. 7,000 132,090
* Vitesse Semiconductor, Inc. 2,100 11,466
Wachovia Corp. 800 37,768
* WebMD Corp. 800 7,088
Weis Markets, Inc. 1,700 58,055
Wesco Financial Corp. 400 150,780
* Westport Resources Corp. 1,000 34,600
Weyerhaeuser Co. 11,100 671,328
Worthington Industries, Inc. 2,100 40,194
*# Xerox Corp. 2,000 27,080
---------------
TOTAL COMMON STOCKS
(Cost $55,066,853) 60,645,935
---------------
FACE
AMOUNT
------
(000)
TEMPORARY CASH
INVESTMENTS -- (6.8%)
Repurchase Agreement, PNC Capital
Markets, Inc. 0.89%, 06/01/04
(Collateralized by $442,000
U.S. Treasury Notes 6.00%,
08/15/04, valued at $454,155) to be
repurchased at $447,044
(Cost $447,000) $ 447 447,000
Repurchase Agreement, Merrill Lynch
Triparty Repo 0.96%, 06/01/04
(Collateralized by $4,020,000
U.S. Treasury Obligations 1.875%,
11/30/05, valued at $4,041,789) to
be repurchased at $3,962,156
(Cost $3,961,733)^ 3,962 3,961,733
---------------
TOTAL TEMPORARY CASH
INVESTMENTS
(Cost $4,408,733) 4,408,733
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $59,475,586)++ $ 65,054,668
===============
----------
+ 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 $59,475,844.
See accompanying Notes to Financial Statements.
13
VA INTERNATIONAL VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
· Download Table
SHARES VALUE+
------ ------
UNITED KINGDOM -- (22.8%)
COMMON STOCKS -- (22.8%)
Abbey National P.L.C. 36,455 $ 300,094
Aggregate Industries P.L.C. 34,604 53,474
Alliance & Leicester P.L.C. 5,000 75,642
Amvescap P.L.C. 18,100 121,430
Associated British Foods P.L.C. 21,352 250,749
Associated British Ports Holdings
P.L.C. 8,200 65,756
Aviva P.L.C. 58,252 568,711
* AWG P.L.C. 1,017 11,449
BAA P.L.C. 28,892 288,224
BAE Systems P.L.C. 78,107 294,684
Barclays P.L.C 281 2,454
Barratt Developments P.L.C. 6,000 63,131
BBA Group P.L.C. 7,630 35,532
Berkeley Group P.L.C. 3,170 53,569
BPB P.L.C. 6,900 49,201
Brambles Industries P.L.C. 16,000 62,171
Britannic P.L.C. 2,600 16,423
* British Airways P.L.C. 35,189 163,535
British Land Co. P.L.C. 13,167 161,768
British Vita P.L.C. 5,000 23,611
Brixton P.L.C. 6,000 31,923
BT Group P.L.C. 101,509 340,850
* Cable and Wireless P.L.C. 55,585 125,683
* Canary Wharf Group P.L.C. 9,000 48,849
Carnival P.L.C. 2,697 121,038
* Colt Telecom Group P.L.C. 60,600 93,356
* Cookson Group P.L.C. 27,401 21,774
* Corus Group P.L.C. 69,902 43,332
DeVere Group P.L.C. 1,125 9,084
* Duelguide Units P.L.C. 247 2,436
* Easyjet P.L.C. 6,000 21,899
FKI P.L.C. 14,000 28,462
Friends Provident P.L.C. 39,000 98,855
Galen Holdings P.L.C. 4,000 53,133
GKN P.L.C. 16,764 70,509
Great Portland Estates P.L.C. 5,483 26,394
Greene King P.L.C. 1,929 32,211
Hammerson P.L.C. 6,600 81,868
Hanson P.L.C. 19,898 151,947
HBOS P.L.C. 7,611 99,720
* HHG P.L.C. 26,280 20,719
Hilton Group P.L.C. 40,083 194,986
Inchcape P.L.C. 833 24,066
Intercontinental Hotels Group P.L.C. 17,683 169,510
* International Power P.L.C. 37,626 100,205
* Invensys P.L.C. 12,650 3,766
ITV P.L.C. 38,905 84,705
Johnson Matthey P.L.C. 3,193 51,897
Kelda Group P.L.C. 3,261 29,407
Kingfisher P.L.C. 19,000 99,598
Land Securities Group P.L.C. 12,576 269,575
Liberty International P.L.C. 5,856 79,448
Lonmin P.L.C. 1,660 29,027
* Lonrho Africa P.L.C. 1,587 $ 297
Mersey Docks & Harbour Co. P.L.C. 2,050 25,941
Millennium and Copthorne Hotels
P.L.C. 3,601 20,900
Mitchells & Butlers P.L.C. 10,364 49,268
* MM02 P.L.C. 208,000 372,267
Morrison (Wm.) Supermarkets P.L.C. 17,789 74,487
* Mothercare P.L.C. 935 5,820
Northern Rock P.L.C. 4,000 53,133
Pearson P.L.C. 19,508 237,457
Peninsular & Oriental Steam
Navigation P.L.C. 10,183 40,031
Pilkington P.L.C. 10,366 17,185
Pillar Property P.L.C. 2,931 30,082
Rank Group P.L.C. 10,621 59,772
RMC Group P.L.C. 6,000 60,383
Rolls Royce Group P.L.C. 38,783 160,587
* Rolls Royce Group P.L.C. 1,939,150 3,555
Royal & Sun Alliance Insurance
Group P.L.C. 72,815 108,098
Sabmiller P.L.C. 6,997 84,558
Sainsbury (J.) P.L.C. 52,449 261,826
Schroders P.L.C. 5,000 55,551
Scottish & Newcastle P.L.C. 10,300 80,563
Scottish Power P.L.C. 35,501 257,379
Severn Trent P.L.C. 2,995 44,356
* Shire Pharmaceuticals Group P.L.C. 11,000 99,930
Signet Group P.L.C. 24,903 53,747
Singer & Friedlander Group P.L.C. 4,652 20,049
Slough Estates P.L.C. 11,282 88,811
Smith (David S.) Holdings P.L.C. 9,600 27,461
Smith (W.H.) P.L.C. 4,000 26,244
Somerfield P.L.C. 13,528 35,558
Stagecoach Holdings P.L.C. 32,000 48,113
Stanley Leisure Organisation P.L.C. 3,423 29,436
Tate & Lyle P.L.C. 4,000 22,150
Taylor Woodrow P.L.C. 13,845 64,391
The Big Food Group P.L.C. 9,264 17,017
* Thus Group P.L.C. 7,258 3,464
Trinity Mirror P.L.C. 5,830 66,328
Uniq P.L.C. 1,300 4,135
United Business Media P.L.C. 3,000 24,324
United Utilities P.L.C. 4,670 46,457
Vodafone Group P.L.C. 592,283 1,395,953
Westbury P.L.C. 3,082 24,206
Whitbread P.L.C. 8,578 125,770
Wilson Bowden P.L.C. 4,000 75,951
Wimpey (George) P.L.C. 6,703 45,265
Wincanton P.L.C. 1,300 5,011
Wolverhampton & Dudley Breweries
P.L.C. 1,800 27,109
Woolworths Group P.L.C. 35,000 28,422
XANSA P.L.C. 4,275 6,616
---------------
TOTAL -- UNITED KINGDOM
(Cost $8,506,276) 9,836,756
---------------
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JAPAN -- (19.8%)
COMMON STOCKS -- (19.8%)
# Aichi Steel Corp. 4,000 $ 16,451
AIOI Insurance Co., Ltd. 8,500 36,981
Aisin Seiki Co., Ltd. 6,900 127,933
Amada Co., Ltd. 8,000 45,506
Aoyama Trading Co., Ltd. 1,100 25,559
Asahi Breweries, Ltd. 8,000 84,315
* Ashikaga Financial Group, Inc. 9,000 81
Bank of Kyoto, Ltd. 5,000 32,972
Bank of Yokohama, Ltd. 15,000 85,702
Canon Sales Co., Inc. 2,000 25,412
Casio Computer Co., Ltd. 3,000 39,984
Chiba Bank, Ltd. 10,000 57,547
Chudenko Corp. 1,030 17,724
Chugoku Bank, Ltd. 5,400 54,585
Citizen Watch Co., Ltd. 3,000 31,354
Coca-Cola West Japan Co., Ltd. 1,000 24,142
Cosmo Oil Co., Ltd. 10,000 24,447
Dai Nippon Ink & Chemicals, Inc. 12,000 27,255
Dai Nippon Printing Co., Ltd. 13,000 198,831
Daicel Chemical Industries, Ltd. 4,000 17,391
Daido Steel Co., Ltd. 5,000 11,997
Daihatsu Motor Co., Ltd. 6,000 35,280
Daishi Bank, Ltd. 5,000 17,173
Daiwa House Industry Co., Ltd. 7,000 79,025
Ebara Corp. 7,000 31,485
Ezaki Glico Co., Ltd. 2,200 15,642
Fuji Electric Co., Ltd. 12,000 29,516
Fuji Heavy Industries 6,000 29,583
Fuji Photo Film Co., Ltd. 2,000 59,446
Fujikura, Ltd. 6,000 28,719
Fukuoka Bank, Ltd. 11,000 56,966
Fukuoka City Bank, Ltd. 4,712 14,985
Fukuyama Transporting Co., Ltd. 4,000 18,220
* Furukawa Electric Co., Ltd. 15,000 55,723
Gunma Bank, Ltd. 12,000 55,211
Gunze, Ltd. 4,000 19,085
Hachijuni Bank, Ltd. 9,000 53,813
Heiwa Corp 1,800 26,982
Higo Bank, Ltd. 3,000 17,231
Hiroshima Bank, Ltd. 11,000 49,033
Hitachi Cable, Ltd. 5,000 22,463
Hitachi Koki Co., Ltd. 2,000 11,178
Hitachi Maxell, Ltd. 2,300 33,727
Hitachi Metals, Ltd. 5,000 23,876
Hitachi Transport System, Ltd. 2,000 15,189
Hitachi, Ltd. 61,000 418,032
Hokkoku Bank, Ltd. 5,000 23,942
Hokugin Financial Group, Inc. 7,000 14,187
House Foods Corp. 2,000 25,729
Hyakugo Bank, Ltd. 4,000 23,795
Hyakujishi Bank, Ltd. 3,000 18,562
* Ishikawajima-Harima Heavy
Industries Co., Ltd. 22,000 31,366
Iyo Bank, Ltd. 7,000 47,010
Joyo Bank, Ltd. 20,000 78,799
Juroku Bank, Ltd. 5,000 21,132
Kagoshima Bank, Ltd. 5,000 28,028
Kajima Corp. 13,000 42,470
Kamigumi Co., Ltd. 4,000 26,292
Kandenko Co., Ltd. 3,000 $ 15,892
Kawasaki Heavy Industries, Ltd. 16,000 23,898
Kinden Corp. 2,000 11,134
Kirin Brewery Co., Ltd. 13,000 123,539
Kiyo Bank, Ltd. 5,000 9,795
Kobe Steel, Ltd. 45,000 65,691
Kokuyo Co., Ltd. 2,000 24,363
Komatsu, Ltd. 14,000 84,309
Komori Corp. 1,000 14,735
Konica Corp. 5,000 67,685
Kuraray Co., Ltd. 6,000 45,094
Kyudenko Corp. 2,000 9,226
Lion Corp. 5,000 28,822
Maeda Corp. 2,000 8,533
Makita Corp. 2,000 28,068
Marubeni Corp. 22,000 50,175
Maruetsu, Inc. 3,000 16,512
Marui Co., Ltd. 6,000 79,994
Maruichi Steel Tube, Ltd. 2,000 30,062
Matsushita Electric Industrial Co., Ltd. 40,818 566,194
Matsushita Electric Works, Ltd. 4,000 33,383
Meiji Seika Kaisha, Ltd. Tokyo 6,000 24,335
Mitsubishi Gas Chemical Co., Inc. 5,000 18,801
Mitsubishi Heavy Industries, Ltd. 56,000 146,502
Mitsubishi Materials Corp. 20,000 38,248
* Mitsubishi Motors Corp. 14,000 27,603
Mitsubishi Securities Co., Ltd. 2,000 23,711
Mitsui Chemicals, Inc. 14,000 67,908
Mitsui Trust Holdings 19,000 126,474
Mizuho Holdings, Inc. 132 567,011
Mizuno Corp. 2,000 9,332
Nagase & Co., Ltd. 2,000 16,636
Nanto Bank, Ltd. 3,000 13,704
NGK Spark Plug Co., Ltd. 3,000 26,993
Nichicon Corp. 1,900 24,204
Nihon Unisys, Ltd. 2,600 19,273
Nikko Cordial Corp. 7,000 36,604
Nippon Broadcasting System, Inc. 500 24,438
Nippon Electric Glass Co., Ltd. 2,000 42,876
Nippon Kayaku Co., Ltd. 4,000 20,301
Nippon Light Metal Co., Ltd. 8,000 18,937
Nippon Meat Packers, Inc., Osaka 5,000 54,442
Nippon Mitsubishi Oil Corp. 36,100 205,162
Nippon Sheet Glass Co., Ltd. 7,000 23,168
Nippon Shinpan Co., Ltd. 6,000 20,476
Nishimatsu Construction Co., Ltd. 4,000 13,584
Nishi-Nippon Bank, Ltd. 6,000 27,001
Nissay Dowa General Insurance Co.,
Ltd. 5,000 25,121
Nisshin Seifun Group, Inc. 3,000 27,578
Nisshin Steel Co., Ltd. 23,000 46,387
Nisshinbo Industries, Inc. 3,000 19,881
* Nissho Iwai-Nichmen Holdings Corp. 770 4,101
Nittetsu Mining Co., Ltd. 2,000 7,296
Nitto Boseki Co., Ltd. 7,000 14,643
NSK, Ltd. 9,000 40,730
NTN Corp. 4,000 18,491
Obayashi Corp. 9,000 42,961
Okumura Corp. 4,000 19,653
Onward Kashiyama Co., Ltd. 2,000 32,252
PanaHome Corp. 4,000 21,512
15
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* Resona Holdings, Inc. 70,000 $ 120,366
San In Godo Bank, Ltd. 3,000 23,573
Sankyo-Tateyama Holdings, Inc. 3,000 9,582
Sanwa Shutter Corp. 3,000 15,388
Sanyo Shinpan Finance Co., Ltd. 600 32,922
Sapporo Hokuyo Holdings, Inc. 6 31,396
Seino Transportation Co., Ltd. 2,000 19,019
Sekisui Chemical Co., Ltd. 8,000 59,026
Sekisui House, Ltd. 13,000 135,416
Seventy-seven (77) Bank, Ltd. 9,000 53,049
SFCG Co., Ltd. 180 31,572
Shiga Bank, Ltd. 4,000 19,847
Shimachu Co., Ltd. 1,200 29,906
Shinko Securities Co., Ltd. 11,000 36,534
Shinmaywa Industries, Ltd. 2,000 7,496
Shiseido Co., Ltd. 7,000 82,864
Shizuoka Bank, Ltd. 6,000 48,897
Showa Shell Sekiyu KK 3,000 25,090
* Snow Brand Milk Products Co., Ltd. 2,000 6,551
Sumitomo Corp. 9,000 69,434
Sumitomo Electric Industries, Ltd. 17,000 163,541
Sumitomo Forestry Co., Ltd. 3,000 30,890
Sumitomo Metal Industries, Ltd.
Osaka 50,000 56,093
Sumitomo Mitsui Financial Group,
Inc. 25 183,934
Sumitomo Osaka Cement Co., Ltd. 10,000 24,188
Sumitomo Trust & Banking Co., Ltd. 13,000 79,911
Taiheiyo Cement Corp. 11,600 25,337
Taisei Corp. 14,000 46,630
Taiyo Yuden Co., Ltd. 2,000 28,841
Takashimaya Co., Ltd. 3,000 33,045
Tanabe Seiyaku Co., Ltd. 4,000 35,060
Teijin, Ltd. 22,000 71,064
Toda Corp. 4,000 14,748
Tokuyama Corp. 6,000 25,650
Tokyo Broadcasting System, Inc. 3,000 53,224
Tokyo Steel Manufacturing Co., Ltd. 1,500 21,334
Tokyo Style Co., Ltd. 1,000 11,310
Tokyo Tatemono Co., Ltd. 4,000 19,329
Toppan Printing Co., Ltd. 16,000 194,698
Tostem Inax Holding Corp. 4,848 99,344
Toto, Ltd. 3,000 32,237
* Toyo Engineering Corp. 3,000 6,355
Toyo Seikan Kaisha, Ltd. 5,100 83,671
Toyota Auto Body Co., Ltd. 2,000 30,455
Toyota Industries Corp. 3,700 80,688
UNY Co., Ltd. 2,000 24,695
Victor Co. of Japan, Ltd. 2,000 23,507
Wacoal Corp. 2,000 21,206
Yamaguchi Bank, Ltd. 2,000 20,388
Yamaha Corp. 2,000 30,381
Yamato Kogyo Co., Ltd. 2,000 22,748
Yamazaki Baking Co., Ltd. 5,000 46,324
Yasuda Trust & Banking Co., Ltd. 40,000 79,057
Yodogawa Steel Works, Ltd. 4,000 15,565
Yokogawa Electric Corp. 3,000 38,819
Yokohama Rubber Co., Ltd. 8,000 29,425
---------------
TOTAL COMMON STOCKS
(Cost $8,422,716) 8,542,118
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Japanese Yen
(Cost $1,305) $ 1,303
---------------
TOTAL -- JAPAN
(Cost $8,424,021) 8,543,421
---------------
FRANCE -- (9.9%)
COMMON STOCKS -- (9.9%)
AGF (Assurances Generales de
France SA) 2,795 169,464
Air France 1,500 24,539
Alcan, Inc. 598 23,631
* Alcatel SA 3,600 51,876
* Alstom SA 14,517 16,686
Arcelor SA 2,700 45,311
AXA 19,681 404,815
BNP Paribas SA 8,750 534,891
* Cap Gemini SA 1,927 73,910
# Compagnie de Saint-Gobain 4,852 244,420
Compagnie Francaise d'Etudes et de
Construction Technip SA 213 28,695
Credit Agricole SA 4,351 106,990
Dior (Christian) SA 600 37,992
* Euro Disney SCA 15,675 7,078
France Telecom SA 4,000 96,650
Gecina SA 400 31,205
Generale des Establissements
Michelin SA Series B 2,000 97,721
Havas SA 4,286 22,753
Imerys SA 200 45,500
LaFarge SA 1,714 146,961
LaFarge SA Prime Fidelity 1,725 149,455
Lagardere S.C.A. SA 550 33,596
Peugeot SA 3,600 203,299
Pinault Printemps Redoute SA 1,370 143,237
# Rallye SA 400 20,260
Remy Cointreau SA 600 20,034
Renault SA 3,788 282,270
Schneider SA 2,445 164,701
Societe BIC SA 700 30,367
Societe des Ciments de Francais 500 38,874
Societe Generale, Paris 2,000 169,639
Suez (ex Suez Lyonnaise des Eaux) 8,700 169,427
Thomson Multimedia 2,806 53,543
Unibail SA 600 59,697
Valeo SA 1,200 48,701
* Veolia Environnement SA 2,800 74,935
* Vivendi Universal SA 16,150 412,145
---------------
TOTAL COMMON STOCKS
(Cost $3,312,465) 4,285,268
---------------
RIGHTS/WARRANTS -- (0.0%)
* Rallye SA Series B Warrants 11/30/05
(Cost $161) 400 83
---------------
TOTAL -- FRANCE
(Cost $3,312,626) 4,285,351
---------------
SWITZERLAND -- (7.8%)
COMMON STOCKS -- (7.7%)
* Ascom Holding AG 1,600 16,659
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Baloise-Holding 4,700 $ 189,406
Banque Cantonale Vaudoise 110 12,102
Berner Kantonalbank 400 47,512
* Ciba Spezialitaetenchemie Holding AG 2,500 170,809
Cie Financiere Richemont AG
Series A 16,000 412,134
Clariant AG 6,900 95,261
Converium Holding AG 1,400 71,353
* Credit Swisse Group 2,300 79,128
* Crossair AG, Basel 1,100 10,532
Ems-Chemie Holding AG 350 29,149
* Fischer (Georg) AG, Schaffhausen 120 26,162
Givaudan SA 252 134,764
Helvetia Patria Holding 580 102,022
Holcim, Ltd. 3,542 184,334
Pargesa Holding SA, Geneve 50 143,802
PSP Swiss Property AG 1,200 41,849
Rieters Holdings AG 130 32,969
Schindler Holding AG 250 76,244
Sig Holding AG 600 102,640
St. Galler Kantonalbank 260 52,290
Sulzer AG, Winterthur 170 42,339
* Swiss Life AG 1,200 151,258
Swiss Reinsurance Co., Zurich 4,500 279,344
* Syngenta AG 2,300 182,451
* Unaxis Holding AG 500 56,626
* Valiant Holding AG 600 49,944
Valora Holding AG 360 85,235
* Zimmer Holdings, Inc. 1,472 124,388
* Zurich Financial SVCS AG 1,992 313,420
---------------
TOTAL COMMON STOCKS
(Cost $3,046,735) 3,316,126
---------------
INVESTMENT IN CURRENCY -- (0.1%)
* Swiss Francs
(Cost $41,948) 42,239
---------------
RIGHTS/WARRANTS -- (0.0%)
* Ems-Chemie Holdings AG Options
06/08/04 350 276
* Swiss Life Holdings AG Rights
06/02/04 900 0
---------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 276
---------------
TOTAL -- SWITZERLAND
(Cost $3,088,683) 3,358,641
---------------
GERMANY -- (6.9%)
COMMON STOCKS -- (6.9%)
Aachener und Muenchener
Beteiligungs AG 434 31,324
Aareal Bank AG 500 16,949
Allianz AG 250 26,136
* Bankgesellschaft Berlin AG 2,700 6,587
BASF AG 9,300 476,592
Bayer AG 5,842 167,291
* Bayerische Vereinsbank AG 5,740 96,964
Bilfinger & Berger Bau AG 600 19,731
Commerzbank AG 7,850 128,227
DaimlerChrysler AG 8,238 366,645
# Deutsche Bank AG 7,222 $ 568,494
Deutsche Lufthansa AG 4,100 58,873
E.ON AG 2,643 184,142
* Heidelberger Druckmaschinen AG 690 21,871
Heidelberger Zement AG 498 21,939
Hochtief AG 1,200 26,337
* Hypo Real Estate Holding AG 1,025 28,814
* Infineon Technologies AG 5,767 78,124
Linde AG 1,333 69,029
MAN AG 1,000 36,938
Merck KGAA 700 39,032
Munchener
Rueckversicherungs-Gesellschaft
AG 1,836 188,215
Preussag AG 1,400 27,175
ThyssenKrupp AG 5,500 91,996
* Vattenfall Europe AG 1,195 37,222
# Vereins & Westbank AG 1,206 37,379
Volkswagen AG 2,550 111,704
---------------
TOTAL -- GERMANY
(Cost $2,903,417) 2,963,730
---------------
NETHERLANDS -- (4.4%)
COMMON STOCKS -- (4.4%)
ABN-AMRO Holding NV 1,799 38,339
Aegon NV 32,424 391,590
* Air France 1,622 26,351
Buhrmann NV 2,250 21,440
DSM NV 1,763 87,060
* Hagemeyer NV 10,343 22,145
* Hunter Douglas NV 700 32,624
ING Groep NV 18,952 428,103
* Koninklijke Ahold NV 26,332 205,985
Koninklijke KPN NV 10,000 72,738
Koninklijke Philips Electronics NV 11,794 322,126
Nutreco Holding NV 713 21,918
Oce NV 1,832 27,265
Vedior NV 2,800 41,749
* Versatel Telecom International NV 9,750 19,444
VNU NV 5,353 157,619
---------------
TOTAL COMMON STOCKS
(Cost $1,528,113) 1,916,496
---------------
RIGHTS/WARRANTS -- (0.0%)
* Air France Warrants 11/06/07 1,475 1,855
* ING Groep NV Coupons 06/17/05 18,952 0
---------------
TOTAL RIGHTS/WARRANTS
(Cost $3,451) 1,855
---------------
TOTAL -- NETHERLANDS
(Cost $1,531,564) 1,918,351
---------------
AUSTRALIA -- (4.3%)
COMMON STOCKS -- (4.3%)
Amcor, Ltd. 5,962 27,633
AMP Limited 32,014 127,247
Ansell, Ltd. 2,901 16,336
AXA Asia Pacific Holdings, Ltd. 48,716 117,982
BHP Steel Ltd 15,800 69,860
Boral, Ltd. 13,942 58,304
Caltex Australia, Ltd. 5,940 36,611
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Commonwealth Bank of Australia 11,513 $ 269,660
CSR, Ltd. 16,261 22,380
Downer Group, Ltd. 7,012 15,729
Insurance Australiz Group, Ltd. 20,495 66,598
Lend Lease Corp., Ltd. 10,795 77,358
Lion Nathan, Ltd. 13,356 62,882
Mayne Group, Ltd. 19,469 41,590
Mirvac, Ltd. 13,935 42,202
Orica, Ltd. 3,706 38,702
Origin Energy, Ltd. 5,119 19,263
Paperlinx, Ltd. 7,150 24,827
Publishing and Broadcasting, Ltd. 9,155 80,583
Quantas Airways, Ltd. 51,971 127,236
Rinker Group, Ltd. 16,261 86,930
Rio Tinto, Ltd. 10,197 254,462
Santos, Ltd. 11,627 56,235
Seven Network, Ltd. 4,748 17,270
* Southcorp, Ltd. 12,651 28,531
WMC Resources, Ltd. 22,514 74,171
---------------
TOTAL COMMON STOCKS
(Cost $1,322,620) 1,860,582
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Australian Dollar
(Cost $9,187) 8,716
---------------
TOTAL -- AUSTRALIA
(Cost $1,331,807) 1,869,298
---------------
ITALY -- (3.5%)
COMMON STOCKS -- (3.5%)
*# Alitalia Linee Aeree Italiane SpA
Series A 20,000 5,730
* Banca Antoniana Popolare Veneta
SpA 1,441 28,739
Banca Monte Dei Paschi di Siena
SpA 46,521 144,282
* Banca Nazionale del Lavoro SpA 43,671 91,504
Banca Popolare di Lodi Scarl 5,460 50,023
Banca Popolare di Milano 7,333 43,156
Banca Popolare Rights 1,500 13,738
Benetton Group SpA 2,904 32,893
Caltagirone Editore SpA 2,375 18,077
Capitalia SpA 43,125 127,468
CIR SpA (Cie Industriale Riunite),
Torino 15,000 30,511
# Compagnia Assicuratrice Unipol
SpA 11,570 45,158
* Edison SpA 42,867 74,262
* Fiat SpA 14,800 104,834
* IFIL Finanziaria Partecipazioni SpA 16,604 58,825
Immsi SpA 3,500 5,925
Intesabci SpA 31,021 111,362
Italcementi SpA 5,200 65,063
Milano Assicurazioni SpA 6,000 22,584
Pirelli & Co. SpA 53,332 54,723
SAI SpA (Sta Assicuratrice
Industriale), Torino 2,059 45,807
San Paolo-IMI SpA 7,244 82,946
* Sirti SpA 867 2,130
SNIA SpA 3,536 1,065
* Sorin SpA 5,304 $ 13,602
# Telecom Italia SpA 83,229 255,236
---------------
TOTAL COMMON STOCKS
(Cost $1,652,008) 1,529,643
---------------
RIGHTS/WARRANTS -- (0.0%)
* Fiat SpA Warrants 01/31/07
(Cost $0) 990 219
---------------
TOTAL -- ITALY
(Cost $1,652,008) 1,529,862
---------------
SPAIN -- (3.4%)
COMMON STOCKS -- (3.4%)
# Acerinox SA 2,500 137,003
Arcelor SA 2,132 35,814
Banco de Sabadell SA 3,672 75,595
Banco Pastor SA 1,200 35,606
Banco Santander Central
Hispanoamerica SA 9,500 100,951
Cementos Portland SA 334 20,036
* Centros Comerciales Carrefour SA 3,038 58,589
Corporacion Mapfre Compania
Internacional de Reaseguros SA 4,300 48,933
Ebro Puleva SA 1,846 22,506
Endesa SA, Madrid 9,528 175,895
Iberia Lineas Aereas de Espana SA 10,900 31,306
Inmobiliaria Urbis SA 2,296 25,402
OCP Construcciones SA, Madrid 3,639 177,616
Repsol SA 21,824 461,717
Sociedad General de Aguas de
Barcelona SA 1,751 29,156
* Sociedad General de Aguas de
Barcelona SA 17 285
Sol Melia SA 3,325 28,636
---------------
TOTAL -- SPAIN
(Cost $1,087,265) 1,465,046
---------------
SWEDEN -- (2.1%)
COMMON STOCKS -- (2.1%)
* Ainax AB 483 13,581
Atlas Copco AB Series A 1,200 44,303
Billerud AB 3,432 53,427
Gambro AB Series A 2,500 22,553
Holmen AB Series B 2,300 65,931
Nordic Baltic Holdings AB 11,500 77,929
Skandinaviska Enskilda Banken
Series A 4,700 67,770
SSAB Swedish Steel Series A 1,200 20,073
Svenska Cellulosa AB Series B 2,900 112,375
Svenska Kullagerfabriken AB Series B 1,900 69,320
Telia AB 23,000 97,232
Trelleborg AB Series B 1,400 25,374
Volvo AB Series A 2,400 74,843
# Volvo AB Series B 5,100 166,721
---------------
TOTAL COMMON STOCKS
(Cost $697,748) 911,432
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INVESTMENT IN CURRENCY -- (0.0%)
* Swedish Krona
(Cost $7,561) $ 7,733
---------------
TOTAL -- SWEDEN
(Cost $705,309) 919,165
---------------
FINLAND -- (2.1%)
COMMON STOCKS -- (2.1%)
Fortum Oyj 42,280 496,430
Huhtamaki Van Leer Oyj 5,200 68,230
Kemira Oyj 3,800 47,997
Kesko Oyj 4,800 94,501
Metso Oyj 2,997 36,704
M-real Oyj Series B 6,800 57,861
Outokumpu Oyj Series A 5,000 75,752
Wartsila Corp. Oyj Series B 1,400 28,591
---------------
TOTAL -- FINLAND
(Cost $500,052) 906,066
---------------
HONG KONG -- (1.6%)
COMMON STOCKS -- (1.6%)
Cheung Kong Holdings, Ltd. 10,000 75,109
Great Eagle Holdings, Ltd. 7,957 12,381
Hang Lung Development Co., Ltd. 25,000 34,000
Hong Kong and Shanghai Hotels, Ltd. 18,416 10,621
Hopewell Holdings, Ltd. 14,000 24,352
Hutchison Whampoa, Ltd. 12,000 81,139
Hysan Development Co., Ltd. 19,169 30,853
I-Cable Communications, Ltd. 5,245 2,015
Kerry Properties, Ltd. 14,730 23,832
New World Development Co., Ltd. 100,513 77,977
* Paliburg Holdings, Ltd. 45,000 1,016
Shangri-La Asia, Ltd. 52,738 51,808
Sino Land Co., Ltd. 47,722 27,832
Tsim Sha Tsui Properties, Ltd. 12,000 14,640
Wharf Holdings, Ltd. 52,457 147,861
Wheelock and Co., Ltd. 52,000 62,320
---------------
TOTAL COMMON STOCKS
(Cost $890,350) 677,756
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Hong Kong Dollars
(Cost $6,277) 6,277
---------------
TOTAL -- HONG KONG
(Cost $896,627) 684,033
---------------
IRELAND -- (1.5%)
COMMON STOCKS -- (1.5%)
Allied Irish Banks P.L.C. 3,751 53,141
CRH P.L.C. 7,379 156,726
* Elan Corp. P.L.C. 12,964 306,152
Independent News & Media P.L.C. 14,109 33,376
Irish Permanent P.L.C. 5,651 85,021
---------------
TOTAL -- IRELAND
(Cost $355,165) 634,416
---------------
DENMARK -- (1.2%)
COMMON STOCKS -- (1.2%)
Danisco A.S. 870 41,232
Danske Bank A.S. 9,200 209,179
* Jyske Bank A.S. 1,500 $ 79,086
Nordea AB 14,330 97,724
Tele Danmark A.S. 1,900 64,099
---------------
TOTAL COMMON STOCKS
(Cost $306,160) 491,320
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Danish Krone
(Cost $10,797) 11,089
---------------
TOTAL -- DENMARK
(Cost $316,957) 502,409
---------------
BELGIUM -- (1.1%)
COMMON STOCKS -- (1.1%)
Algemene Mij Voor Nijverheidskredit
Almanij 342 20,745
Bekaert SA 1,000 57,787
Cofinimmo SA 220 28,208
Dexia SA 3,231 54,077
Fortis AG 6,944 147,611
Groupe Bruxelles Lambert 1,600 98,854
Suez (ex Suez Lyonnaise des Eaux) 2,500 48,488
* Umicore-Strip VVPR 30 6
Union Miniere SA 630 38,246
---------------
TOTAL COMMON STOCKS
(Cost $387,237) 494,022
---------------
RIGHTS/WARRANTS -- (0.0%)
* Cofinimmo SA Rights 06/11/04
(Cost $0) 220 0
---------------
TOTAL -- BELGIUM
(Cost $387,237) 494,022
---------------
SINGAPORE -- (0.8%)
COMMON STOCKS -- (0.8%)
DBS Group Holdings, Ltd. 4,000 33,106
Fraser & Neave, Ltd. 8,100 64,242
Haw Par Brothers International, Ltd. 163 448
Keppel Corp., Ltd. 24,000 93,842
Neptune Orient Lines, Ltd. 23,000 28,974
Singapore Airlines, Ltd. 4,000 24,704
Singapore Land, Ltd. 9,000 20,432
United Industrial Corp., Ltd. 43,000 21,693
United Overseas Bank, Ltd. 4,000 30,529
United Overseas Land, Ltd. 12,000 15,965
---------------
TOTAL COMMON STOCKS
(Cost $333,005) 333,935
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Singapore Dollars
(Cost $5,071) 5,103
---------------
TOTAL -- SINGAPORE
(Cost $338,076) 339,038
---------------
NORWAY -- (0.5%)
COMMON STOCKS -- (0.5%)
* Aker Kvaerner ASA 1,600 25,547
Norsk Hydro ASA 720 44,680
Norske Skogindustrier ASA Series A 4,700 78,354
19
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SHARES VALUE+
------ ------
Storebrand ASA 12,400 $ 83,289
---------------
TOTAL COMMON STOCKS
(Cost $235,925) 231,870
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Norwegian Krone
(Cost $4,783) 4,910
---------------
TOTAL -- NORWAY
(Cost $240,708) 236,780
---------------
GREECE -- (0.4%)
COMMON STOCKS -- (0.4%)
Commercial Bank of Greece 1,600 42,360
EFG Eurobank Ergasias S.A. 2,500 55,646
Hellenic Petroleum S.A. 4,900 37,451
Hellenic Tellecommunication
Organization Co. S.A. 3,520 46,252
---------------
TOTAL -- GREECE
(Cost $147,349) 181,709
---------------
PORTUGAL -- (0.3%)
COMMON STOCKS -- (0.3%)
Banco Espirito Santo e Comercial de
Lisboa 4,800 79,035
Portugal Telecom SA 4,794 49,116
---------------
TOTAL -- PORTUGAL
(Cost $82,367) 128,151
---------------
AUSTRIA -- (0.2%)
COMMON STOCKS -- (0.2%)
Voestalpine AG 726 32,395
Wienerberger AG 1,109 37,583
---------------
TOTAL COMMON STOCKS
(Cost $39,911) 69,978
---------------
RIGHTS/WARRANTS -- (0.0%)
* Wienerberger AG Rights 06/02/04
(Cost $0) 1,109 0
---------------
TOTAL -- AUSTRIA
(Cost $39,911) 69,978
---------------
NEW ZEALAND -- (0.1%)
COMMON STOCKS -- (0.1%)
Carter Holt Harvey, Ltd.
(Cost $49,996) 43,500 $ 53,567
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* New Zealand Dollar
(Cost $4,898) 6,053
---------------
TOTAL -- NEW ZEALAND
(Cost $54,894) 59,620
---------------
EMU -- (0.1%)
INVESTMENT IN CURRENCY -- (0.1%)
* Euro Currency
(Cost $43,631) 43,805
---------------
FACE
AMOUNT
------
(000)
TEMPORARY CASH
INVESTMENTS -- (5.2%)
Repurchase Agreement, PNC Capital
Markets, Inc. 0.89%, 06/01/04
(Collateralized by $237,000 FHLB
Notes 3.375%, 06/15/04,
valued at $240,851) to be
repurchased at $237,023
(Cost $237,000) $ 237 237,000
Repurchase Agreement, Mizuho
Securities USA 1.00%, 06/01/04
(Collateralized by $8,316,000
U.S. STRIPS 6.125%, 08/15/29,
valued at $2,025,861) to be
repurchased at $1,986,196
(Cost $1,985,975)^ 1,986 1,985,975
---------------
TOTAL TEMPORARY CASH
INVESTMENTS
(Cost $2,222,975) 2,222,975
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $38,168,425)++ $ 43,193,121
===============
----------
+ 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 $38,168,947.
See accompanying Notes to Financial Statements.
20
VA INTERNATIONAL SMALL PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
· Download Table
SHARES VALUE+
------ ------
JAPAN -- (26.9%)
COMMON STOCKS -- (26.7%)
Achilles Corp. 6,000 $ 10,806
Advan Co., Ltd. 2,000 19,754
Aica Kogyo Co., Ltd. 3,000 35,730
Aichi Tokei Denki Co., Ltd. 3,000 8,667
Aida Engineering, Ltd. 3,000 13,437
Air Water, Inc. 4,000 24,597
* Akai Electric Co., Ltd. 9,000 81
Alfresa Holdings Corp. 1,800 86,641
* Arai-Gumi, Ltd. 600 1,211
# Asahi Denka Kogyo KK 3,000 25,147
Asahi Diamond Industrial Co., Ltd. 5,000 27,951
Asahi Kogyosha Co., Ltd. 3,000 8,575
Asahi Organic Chemicals Industry Co.,
Ltd. 3,000 8,426
Ashimori Industry Co., Ltd. 3,000 5,964
Asics Corp. 7,000 19,131
* Azel Corp., Tokyo 2,000 2,133
Bando Chemical Industries, Ltd. 5,000 15,784
# Best Denki Co., Ltd. 5,000 22,518
Cecile Co., Ltd. 2,400 21,767
Central Finance Co., Ltd. 4,000 14,327
* Chiba Kogyo Bank, Ltd. 800 5,733
Chiyoda Co., Ltd. 1,700 26,413
* Chori Co., Ltd. 5,000 6,423
* Chugai Mining Co., Ltd. 5,000 3,610
CKD Corp. 2,000 14,098
*# Clarion Co., Ltd. 10,000 16,185
Cleanup Corp. 2,000 21,509
CMK Corp. 3,000 41,490
Coca Cola Central Japan Co., Ltd. 3 21,259
*# Columbia Music Entertainment, Inc. 3,000 2,932
Cosel Co., Ltd. 800 24,167
Daibiru Corp. 4,000 24,376
Dai-Dan Co., Ltd. 3,000 13,987
* Daiei, Inc. 21,000 62,213
Daihen Corp. 11,000 23,078
Daiken Corp. 9,000 41,147
* Daikyo, Inc. 14,000 31,169
Dainichiseika Colour & Chemicals
Manufacturing Co., Ltd. 4,000 19,150
Daisan Bank, Ltd. 4,000 15,180
Daiwa Kosho Lease Co., Ltd. 8,000 39,015
Daiwabo Co., Ltd. 8,000 9,783
Denki Kogyo Co., Ltd. 3,000 11,277
Densei-Lambda KK 1,000 8,525
Edion Corp. 3,737 40,326
Ehime Bank, Ltd. 6,000 20,866
Exedy Corp. 4,000 61,542
* FDK Corp. 7,000 17,083
France Bed Holdings Co., Ltd. 4,000 16,250
* Fuji Kosan Co., Ltd. 6,000 6,457
Fuji Kyuko Co., Ltd. 5,000 17,731
* Fuji Spinning Co., Ltd., Tokyo 4,000 4,885
Fujicco Co., Ltd. 2,000 23,342
* Fujiko Co., Ltd. 4,000 $ 72
Fujirebio, Inc. 1,000 13,137
Fujita Kanko, Inc. 12,000 46,640
Fujitsu Business Systems, Ltd. 2,000 26,713
*# Fujiya Co., Ltd. 10,000 14,814
* Furukawa Battery Co., Ltd. 3,000 5,324
* Furukawa Co., Ltd. 18,000 18,668
Fuso Pharmaceutical Industries, Ltd. 5,000 15,851
Gakken Co., Ltd. 3,000 5,020
Godo Steel, Ltd. 6,000 18,569
Hanwa Co., Ltd. 10,000 31,690
Heiwado Co., Ltd. 4,000 51,416
Hitachi Koki Co., Ltd. 8,000 44,710
Hitachi Kokusai Electric, Inc. 1,320 9,151
Hitachi Medical Corp. 2,000 25,462
Hitachi Plant Engineering &
Construction Co., Ltd. 6,000 23,159
Hokkaido Coca Cola Bottling Co.,
Ltd. 3,000 17,894
Hokkaido Gas Co., Ltd. 4,000 9,706
Hokuriku Electric Industry Co., Ltd. 4,000 7,168
Homac Corp. 3,000 26,974
# Horiba, Ltd. 2,000 27,986
* Howa Machinery, Ltd. 5,000 5,477
Ichikoh Industries, Ltd. 4,000 9,599
Iino Kaiun Kaisha, Ltd. 9,000 37,485
Inabata and Co., Ltd., Osaka 4,000 28,465
Inageya Co., Ltd. 2,000 18,318
Ines Corp. 3,600 35,418
Iseki & Co., Ltd. 14,000 34,778
Ishihara Sangyo Kaisha, Ltd. 12,000 23,528
Itochu Enex Co., Ltd. 4,000 20,303
Itochu Shokuh Co., Ltd. 900 33,001
Iwasaki Electric Co., Ltd. 4,000 14,164
* Iwatsu Electric Co., Ltd. 3,000 6,457
Izumiya Co., Ltd. 7,000 45,179
Japan Digital Laboratory Co., Ltd. 2,300 24,911
Japan Medical Dynamic Marketing
Inc. 770 8,983
# Japan Pulp and Paper Co., Ltd. 5,000 16,292
Japan Steel Works, Ltd. 21,000 30,014
Japan Storage Battery Co., Ltd. 24,000 53,852
Japan Transcity Corp. 3,000 7,450
Japan Vilene Co., Ltd. 3,000 9,669
Japan Wool Textile Co., Ltd. 6,000 29,826
Jeol, Ltd. 5,000 32,282
Joshin Denki Co., Ltd. 2,000 7,202
* Juki Corp. 7,000 24,502
Kagawa Bank, Ltd. 3,000 15,578
# Kagome Co., Ltd. 4,000 36,707
# Kaken Pharmaceutical Co., Ltd. 7,000 38,097
Kanagawa Chuo Kotsu Co., Ltd. 4,000 23,366
* Kanebo, Ltd. 20,000 16,092
* Kanematsu Corp. 10,500 16,628
* Kanematsu-NNK Corp. 3,000 7,138
Kanto Auto Works, Ltd., Yokosuka 3,000 29,530
21
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SHARES VALUE+
------ ------
Kanto Denka Kogyo Co., Ltd. 4,000 $ 19,379
Kanto Natural Gas Development Co.,
Ltd. 4,000 22,412
Kawada Industries, Inc. 2,000 5,113
* Kawai Musical Instruments
Manufacturing Co., Ltd. 5,000 6,921
Kayaba Industry Co., Ltd. 16,000 54,713
Keiyo Co., Ltd. 2,000 9,505
* Kenwood Corp. 10,000 24,693
Kita-Nippon Bank, Ltd. 400 18,769
* Kokusai Kogyo Co., Ltd. 2,000 6,273
Konami Sports Corp. 1,900 33,080
Kosei Securities Co., Ltd. 4,000 9,021
Kurabo Industries, Ltd. 13,000 22,119
Kurimoto, Ltd. 11,000 21,948
Kuroda Electric Co., Ltd. 600 25,425
Kyodo Printing Co., Ltd. 9,000 31,468
Kyodo Shiryo Co., Ltd. 5,000 5,745
Life Corp. 2,000 21,041
Maeda Road Construction Co., Ltd. 10,000 69,269
Marudai Food Co., Ltd. 5,000 9,277
Maruetsu, Inc. 9,000 49,537
Maruha Group, Inc. 18,000 29,966
Marusan Securities Co., Ltd. 6,000 35,751
Maruyama Manufacturing Co., Inc. 3,000 4,393
* Maruzen Co., Ltd. 4,000 8,284
* Matsuo Bridge Co., Ltd. 3,000 7,336
Matsuzakaya Co., Ltd. 9,000 39,220
Max Co., Ltd. 2,000 21,984
Meidensha Corp. 14,000 28,792
Meito Sangyo Co., Ltd. 2,000 32,557
# Melco Holdings, Inc. 1,400 35,467
Mercian Corp. 10,000 24,463
Mikuni Coca-Cola Bottling Co., Ltd. 3,000 26,313
Ministop Co., Ltd. 1,500 24,547
* Misawa Homes Holdings, Inc. 9,000 25,180
* Mitsubishi Cable Industries, Ltd. 14,000 16,715
Mitsubishi Paper Mills, Ltd. 13,000 19,563
Mitsubishi Plastics, Inc. 16,000 39,915
Mitsubishi Shindoh Co., Ltd. 3,000 6,516
Mitsubishi Steel Manufacturing Co.,
Ltd. 5,000 6,749
Mitsuboshi Belting, Ltd. 8,000 29,766
Mitsui Home Co., Ltd. 4,000 21,419
* Mitsui Mining Co., Ltd. 2,500 2,918
Mitsui-Soko Co., Ltd. 10,000 30,082
Mitsumi Electric Co., Ltd. 3,000 30,705
Mitsuuroko Co., Ltd. 3,000 18,176
Miura Co., Ltd. 2,000 31,211
Miyazaki Bank, Ltd. 6,000 22,457
Mizuno Corp. 9,000 41,995
* Momiji Holdings, Inc. 14 30,014
Mori Seiki Co., Ltd. 2,400 20,045
Morinaga & Co., Ltd. 16,000 34,804
Nachi-Fujikoshi Corp. 13,000 41,068
Nagano Bank, Ltd. 6,000 18,920
Nakamuraya Co., Ltd. 3,000 8,883
Nakayama Steel Works, Ltd. 5,000 15,947
NEC Infrontia Corp. 3,000 8,253
NEC Tokin Corp. 2,000 9,552
Nichias Corp. 4,000 14,660
Nichiha Corp. 4,000 $ 58,979
Nichimo Co., Ltd. 5,000 10,082
Nichireki Co., Ltd. 2,000 6,948
Nichiro Corp. 5,000 7,099
Nifco, Inc. 2,000 30,687
Nikkiso Co., Ltd. 4,000 16,664
Nippon Beet Sugar Manufacturing
Co., Ltd. 5,000 8,594
Nippon Carbon Co., Ltd. 5,000 7,548
# Nippon Chemical Industrial Co., Ltd. 2,000 6,948
Nippon Chemi-Con Corp. 5,000 25,928
Nippon Concrete Industries Co., Ltd. 3,000 4,596
Nippon Densetsu Kogyo Co., Ltd. 2,000 8,005
Nippon Flour Mills Co., Ltd. 17,000 75,731
* Nippon Kasei Chemical Co., Ltd. 5,000 6,503
Nippon Konpo Unyu Soko Co., Ltd. 2,000 18,034
Nippon Seiki Co., Ltd. 4,000 32,728
Nippon Shinpan Co., Ltd. 21,000 71,666
Nippon Shinyaku Co., Ltd. 3,000 16,968
Nippon Signal Co., Ltd. 3,000 16,082
Nippon Suisan Kaisha, Ltd. 18,000 43,163
Nippon Synthetic Chemical Industry
Co., Ltd. 3,000 6,437
Nippon Unipac Holding, Tokyo 0 4,105
* Nissan Diesel Motor Co., Ltd. 18,000 41,462
Nissan Shatai Co., Ltd. 11,000 71,706
Nissha Printing Co., Ltd. 3,000 44,877
Nisshin Fire & Marine Insurance Co.,
Ltd. 19,000 63,059
Nissin Co., Ltd. 13,200 46,238
Nissin Kogyo Co., Ltd. 1,000 23,905
Nittetsu Mining Co., Ltd. 3,000 10,944
Nitto Boseki Co., Ltd. 18,000 37,654
Nitto Electric Works, Ltd. 3,000 24,695
Noritake Co., Ltd. 8,000 31,861
Noritz Corp. 2,600 40,493
Odakyu Real Estate Co., Ltd. 4,000 10,057
Okamoto Industries, Inc. 9,000 22,968
Okuwa Co., Ltd. 3,000 34,811
Organo Corp. 4,000 19,016
OSG Corp. 6,000 63,581
* Pacific Metals Co., Ltd. 7,000 26,501
# Parco Co., Ltd. 2,000 11,887
* Pasco Corp. 1,000 2,788
* Penta-Ocean Construction Co., Ltd. 36,000 61,887
# Pentax Corp. 5,000 24,291
* Prima Meat Packers, Ltd. 5,000 5,344
Raito Kogyo Co., Ltd. 2,400 10,526
Rasa Industries, Ltd. 3,000 7,212
Rheon Automatic Machinery Co., Ltd. 2,000 6,116
Riken Corp. 7,000 23,039
Riken Vitamin Co., Ltd. 2,000 36,079
Rohto Pharmaceutical Co., Ltd. 2,000 19,630
Roland Corp. 2,000 32,407
Ryobi, Ltd. 5,000 17,384
Ryosan Co., Ltd. 1,500 31,506
Ryoyo Electro Corp. 2,000 25,694
Sagami Co., Ltd. 3,000 10,532
Sakata Inx Corp. 3,000 14,791
Sakata Seed Corp. 2,000 25,163
Sanden Corp. 7,000 40,398
22
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SHARES VALUE+
------ ------
Sanki Engineering Co., Ltd. 5,000 $ 31,887
Sankyo-Tateyama Holdings, Inc. 16,000 51,102
Sankyu, Inc., Tokyo 20,000 36,013
* Sansui Electric Co., Ltd. 14,000 4,448
Sanyo Electric Credit Co., Ltd. 2,400 51,669
Sanyo Special Steel Co., Ltd. 7,000 10,838
* Sasebo Heavy Industries Co., Ltd.,
Tokyo 7,000 7,286
* Sato Corp. 1,100 27,379
Seiko Corp. 3,307 20,800
Senshukai Co., Ltd. 3,000 28,844
Shikoku Chemicals Corp. 3,000 10,939
Shimizu Bank, Ltd. 400 18,903
* Shindengen Electric Manufacturing
Co., Ltd. 3,000 10,362
Shin-Etsu Polymer Co., Ltd. 5,000 30,147
Shinki Co., Ltd. 3,000 17,551
Shinko Electric Co., Ltd. 6,000 15,368
Shinmaywa Industries, Ltd. 5,000 18,741
Sho-Bond Corp. 2,000 11,687
Showa Electric Wire & Cable Co.,
Ltd., Kawasaki 12,000 14,965
Showa Sangyo Co., Ltd. 10,000 22,815
Sinanen Co., Ltd. 3,000 13,039
SMK Corp. 5,000 22,270
Sorun Corp. 2,000 11,701
SRL, Inc. 3,000 32,072
Starzen Corp. 4,000 7,695
# Sumitomo Light Metal Industries,
Ltd. 11,000 18,847
* Sumitomo Mitsui Construction Co.,
Ltd. 6,600 7,622
Sumitomo Precision Products Co.,
Ltd., Amagasaki City 2,000 5,981
# Sumitomo Warehouse Co., Ltd. 9,000 34,129
Sun Wave Corp. 2,000 7,582
SXL Corp. 3,000 5,620
Sysmex Corp. 900 26,203
T.Hasegawa Co., Ltd. 1,600 25,200
Taisei Rotec Corp. 3,000 4,914
Taito Corp. 25 37,371
Taiyo Toyo Sanso Co., Ltd. 9,000 33,068
* Takaoka Electric Manufacturing Co.,
Ltd., Tokyo 4,000 5,433
# Takara Co., Ltd. 3,700 18,148
Takasago International Corp. 3,000 13,985
Takasago Thermal Engineering Co.,
Ltd. 6,000 37,783
Takashima & Co., Ltd. 4,000 7,194
Takiron Co., Ltd. 3,000 11,566
Takuma Co., Ltd. 6,000 38,846
Tamura Corp. 4,000 22,103
Tasaki Shinju Co., Ltd. 2,000 7,628
* TC Properties Co., Ltd. 10,500 57,191
*# TC Properties Co., Ltd. 42,000 0
TCM Corp. 5,000 10,459
* Teac Corp. 5,000 8,125
Tenma Corp. 2,000 31,730
The Nisshin Oillio Group, Ltd. 10,000 32,891
Toa Corp. 12,000 16,933
Toa Doro Kogyo Co., Ltd. 3,000 5,998
* Toabo Corp. 6,000 $ 5,704
Toagosei Co., Ltd. 26,000 55,994
Tochigi Bank, Ltd. 3,000 16,808
Toei Co., Ltd. 14,000 52,886
Toenec Corp. 3,000 10,318
Toho Zinc Co., Ltd. 4,000 8,559
Tohoku Pioneer Corp. 2,000 39,489
Tokai Carbon Co., Ltd. 12,000 37,701
Tokai Tokyo Securities Co., Ltd. 4,000 11,542
Tokico, Ltd. 4,000 14,182
Toko, Inc. 8,000 28,430
Tokushima Bank, Ltd. 7,000 45,142
Tokushu Paper Manufacturing Co.,
Ltd. 3,000 12,765
Tokyo Kikai Seisakusho, Ltd. 6,000 16,829
Tokyo Leasing Co., Ltd. 2,200 25,869
* Tokyo Rope Manufacturing Co., Ltd. 4,000 6,626
Tokyo Tatemono Co., Ltd. 15,000 72,484
* Tokyo Tekko Co., Ltd. 3,000 10,327
Tokyo Theatres Co., Inc., Tokyo 6,000 6,837
Tokyo Tomin Bank, Ltd. 3,700 90,882
Tokyu Store Chain Corp. 4,000 20,200
Tonami Transportation Co., Ltd. 3,000 9,663
Topy Industries, Ltd. 16,000 49,018
Torii Pharmaceutical Co., Ltd. 2,000 38,550
Toshiba Machine Co., Ltd. 6,000 23,527
* Totoku Electric Co., Ltd., Tokyo 3,000 4,403
* Toyo Communication Equipment Co.,
Ltd. 4,000 21,430
Toyo Corp. 3,000 33,170
Toyo Electric Co., Ltd. 5,000 14,471
*# Toyo Engineering Corp. 11,000 23,302
Toyo Kohan Co., Ltd. 3,000 9,903
# Toyo Radiator Co., Ltd. 5,000 25,917
Toyo Tire & Rubber Co., Ltd. 8,000 20,259
Trusco Nakayama Corp. 2,300 38,066
Tsubaki Nakashima Co., Ltd. 5,000 63,130
Tsubakimoto Chain Co. 9,000 29,861
Tsukishima Kikai Co., Ltd. 3,000 19,420
Tsumura & Co. 3,000 38,475
Tsutsumi Jewelry Co., Ltd. 2,000 58,929
* Unitika, Ltd. 33,000 37,385
Wakachiku Construction Co., Ltd. 4,000 5,618
Yamagata Bank, Ltd. 6,000 26,281
Yamatake Corp. 5,000 48,579
Yamato Kogyo Co., Ltd. 6,000 68,245
Yodogawa Steel Works, Ltd. 9,000 35,022
Yokohama Reito Co., Ltd. 3,000 19,517
Yomiuri Land Co., Ltd. 3,000 9,875
Yondenko Corp. 2,100 8,730
Yonekyu Corp. 2,000 18,736
Yoshimoto Kogyo Co., Ltd. 2,000 18,601
Yurtec Corp. 4,000 17,599
Zenrin Co., Ltd. 3,000 30,044
---------------
TOTAL COMMON STOCKS
(Cost $7,163,828) 7,595,421
---------------
INVESTMENT IN CURRENCY -- (0.2%)
* Japanese Yen
(Cost $77,350) 77,211
---------------
23
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SHARES VALUE+
------ ------
RIGHTS/WARRANTS -- (0.0%)
* Kanematsu Corp. Warrants 03/31/06
(Cost $0) 525 $ 0
---------------
TOTAL -- JAPAN
(Cost $7,241,178) 7,672,632
---------------
UNITED KINGDOM -- (19.3%)
COMMON STOCKS -- (19.0%)
Abbot Group P.L.C. 7,000 22,376
* Acambis P.L.C. 3,063 18,205
Aegis Group P.L.C. 25,390 41,082
AGA Food Service Group P.L.C. 5,765 25,807
Aggreko P.L.C. 10,000 27,437
Alba P.L.C. 1,765 24,536
* Anite Group P.L.C. 7,470 6,575
* Arena Leisure P.L.C. 8,000 6,782
Arla Foods UK P.L.C. 17,677 17,974
Arm Holdings P.L.C. 23,000 49,488
Arriva P.L.C. 4,870 34,816
Atkins Ws P.L.C. 4,015 40,714
Avis Europe P.L.C. 13,658 23,592
Balfour Beatty P.L.C. 9,245 42,337
Bellway P.L.C. 4,000 55,369
Benchmark Group P.L.C. 4,000 20,294
Bespak P.L.C. 1,360 13,400
* Biocompatibles International P.L.C. 1,050 3,467
Body Shop International P.L.C. 8,000 22,764
Bodycote International P.L.C. 10,262 27,011
Bovis Homes Group P.L.C. 5,000 46,870
BPP Holdings P.L.C. 2,800 16,211
* Bradstock Group P.L.C. 840 678
Brammer (H.) P.L.C. 1,933 4,712
Britannic P.L.C. 9,041 57,109
British Polythene Industries P.L.C. 2,000 10,686
British Vita P.L.C. 6,900 32,584
Brixton P.L.C. 6,000 31,923
Brown (N) Group P.L.C. 9,990 18,819
* Cairn Energy P.L.C. 5,080 98,438
Capital & Regional P.L.C. 2,587 23,362
Capital Radio P.L.C. 3,300 27,525
Carillion P.L.C. 6,204 18,962
Carpetright P.L.C. 4,000 72,928
Carphone Warehouse Group P.L.C. 16,000 40,333
* Charter P.L.C. 8,148 18,600
* Chesnara P.L.C. 3,500 6,738
Chrysalis Group P.L.C. 5,000 16,934
City Restaurant Group P.L.C. 9,500 14,622
Close Brothers Group P.L.C. 2,580 38,007
Communisis P.L.C. 4,553 8,593
Computacenter P.L.C. 4,000 28,602
* Cookson Group P.L.C. 64,000 50,857
* Countrywide P.L.C. 7,000 36,000
Courts P.L.C. 2,320 11,163
Cox Insurance Holdings P.L.C. 16,333 20,520
Crest Nicholson P.L.C. 3,560 21,957
Croda International P.L.C. 4,000 20,524
Daejan Holdings P.L.C. 472 17,857
Dairy Crest Group P.L.C. 3,000 22,350
* Danka Business Systems P.L.C. 7,000 6,853
Davis Service Group P.L.C. 5,666 38,081
De la Rue P.L.C. 8,387 50,090
Delta P.L.C. 6,000 $ 8,694
Derwent Valley Holdings P.L.C. 2,000 30,647
DeVere Group P.L.C. 5,000 40,374
Devro P.L.C. 8,000 15,447
DFS Furniture Co. P.L.C. 3,000 23,651
* Dimension Data Holdings P.L.C. 53,000 29,726
Diploma P.L.C. 1,500 14,620
* Elementis P.L.C. 13,000 8,534
* Enodis P.L.C. 11,200 17,052
Euromoney Institutional Investors
P.L.C. 3,960 27,505
Findel P.L.C. 3,443 24,171
First Choice Holidays P.L.C. 16,491 36,201
FKI P.L.C. 26,756 54,394
Forth Ports P.L.C. 2,265 47,371
French Connection Group P.L.C. 2,765 21,979
Geest P.L.C. 3,387 36,326
Go-Ahead Group P.L.C. 2,000 45,180
Grainger Trust, Ltd. 719 22,364
Great Portland Estates P.L.C. 6,900 33,216
Greene King P.L.C. 3,589 59,931
Greggs P.L.C. 640 39,714
Guiness Peat Group P.L.C. 24,545 29,971
GWR Group P.L.C. 4,000 18,779
Halma P.L.C. 9,000 24,681
Headlam Group P.L.C. 3,793 28,432
Henlys Group P.L.C. 2,800 820
Heywood Williams Group P.L.C. 5,000 7,126
Hiscox P.L.C. 11,700 33,082
Hit Entertainment P.L.C. 6,000 32,845
* Homeserve P.L.C. 1,473 18,089
House of Fraser P.L.C. 8,000 17,004
Hunting P.L.C. 5,163 13,790
Incepta Group P.L.C. 2,677 4,100
* Intertek Group P.L.C. 4,000 39,707
Intserve P.L.C. 9,249 42,949
* Invensys P.L.C. 141,375 42,093
Isoft Group P.L.C. 6,502 46,112
ITV P.L.C. 31,040 67,581
* ITV P.L.C. Convertible Shares 2,938 3,932
JJB Sports P.L.C. 12,000 55,549
Kidde P.L.C. 18,000 37,523
Laing (John) P.L.C. 6,013 23,575
Laird Group P.L.C. 6,800 35,796
* Lastminute.com P.L.C. 7,000 23,708
* London Clubs International P.L.C. 10,500 24,476
London Merchant Securities P.L.C. 10,109 32,099
Low & Bonar P.L.C. 5,000 9,867
Luminar P.L.C. 2,561 20,685
Macfarlane Group P.L.C. 6,000 2,755
Manchester United P.L.C. 12,980 57,428
Marshalls P.L.C. 6,680 35,126
* Matalan P.L.C. 13,000 43,431
McAlpine (Alfred) P.L.C. 4,577 23,240
McBride P.L.C. 6,500 16,873
McCarthy & Stone P.L.C. 4,000 40,191
Meggitt P.L.C. 14,819 68,245
Menzies (John) P.L.C. 3,000 23,865
* Merant P.L.C. 3,575 12,454
Mersey Docks & Harbour Co. P.L.C. 3,580 45,302
MFI Furniture Group P.L.C. 9,600 26,297
24
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Michael Page International P.L.C. 12,000 $ 37,234
Millennium and Copthorne Hotels
P.L.C. 7,144 41,463
Minerva P.L.C. 5,000 22,006
Mitie Group P.L.C. 8,969 18,892
Molins P.L.C. 1,360 4,051
* Morgan Crucible Company P.L.C. 10,153 22,352
Mowlem (John) & Co. P.L.C. 8,996 31,104
National Express Group P.L.C. 2,000 25,554
Nestor Healthcare Group P.L.C. 3,700 9,096
NHP P.L.C. 5,900 21,409
Northern Foods P.L.C. 16,000 45,402
* Northgate Information Solutions
P.L.C. 22,083 24,163
Northgate P.L.C. 2,070 23,852
Novar P.L.C. 21,548 49,375
* NXT P.L.C. 3,360 6,082
Paladin Resources P.L.C. 10,902 24,298
Paragon Group of Companies P.L.C. 3,000 17,833
* Parity Group P.L.C. 11,250 2,066
Pendragon P.L.C. 3,803 21,543
Pennon Group P.L.C. 2,281 30,802
* Photo-Me International P.L.C. 11,000 19,014
PHS Group P.L.C. 20,000 28,238
Pilkington P.L.C. 1,406 2,331
Pillar Property P.L.C. 4,000 41,054
* Premier Oil P.L.C. 4,000 38,908
* Psion P.L.C. 18,000 18,722
Quintain Estates & Development
P.L.C. 5,000 36,460
RAC P.L.C. 2,900 35,250
Raven Mount P.L.C. 13,000 22,762
Redrow P.L.C. 11,802 71,619
Reg Vardy P.L.C. 2,009 19,550
Regent Inns P.L.C. 4,883 3,479
Renishaw P.L.C. 2,904 24,865
Rotork P.L.C. 4,858 33,976
Salvesen (Christian) P.L.C. 12,000 10,904
* Scapa Group P.L.C. 6,600 3,409
Securicor P.L.C. 21,000 46,424
Senior P.L.C. 12,000 7,998
Serco Group P.L.C. 10,914 40,448
Shaftesbury P.L.C. 5,000 23,648
Shanks & McEwan Group P.L.C. 8,000 17,324
SIG P.L.C. 4,300 28,390
Singer & Friedlander Group P.L.C. 6,844 29,496
* Skyepharma P.L.C. 24,000 26,277
SMG P.L.C. 10,000 20,351
Smith (David S.) Holdings P.L.C. 10,800 30,893
Smith (W.H.) P.L.C. 8,000 52,488
Somerfield P.L.C. 16,000 42,055
* South Staffordshire Group P.L.C. 368 4,993
Spectris P.L.C. 5,378 45,313
Spirax-Sarco Engineering P.L.C. 2,000 20,076
* Spirent P.L.C. 42,716 50,493
SSL International P.L.C. 8,710 50,888
St. Ives P.L.C. 3,000 19,798
St. Modwen Properties P.L.C. 23,000 120,896
Stanley Leisure Organisation P.L.C. 4,088 35,154
T&F Informa Group P.L.C. 9,100 60,103
Taylor Nelson AGB P.L.C. 6,000 22,178
TBI P.L.C. 18,000 $ 21,391
The Big Food Group P.L.C. 13,821 25,387
* Thus Group P.L.C. 53,000 25,295
Tibbett & Britten Group P.L.C. 2,300 18,855
Topps Tiles P.L.C. 7,700 22,113
Transport Development Group P.L.C. 4,126 15,519
Tullow Oil P.L.C. 10,957 20,578
Ultra Electronics Holdings P.L.C. 1,924 19,793
* Vernalis P.L.C. 1,500 1,401
Victrex P.L.C. 3,288 19,729
Viridian Group P.L.C. 3,000 32,416
Vitec Group P.L.C. 2,000 12,771
VT Group P.L.C. 7,300 35,481
Weir Group P.L.C. 5,000 26,875
Westbury P.L.C. 5,170 40,605
Wetherspoon (J.D.) P.L.C. 7,000 36,945
Wolverhampton & Dudley Breweries
P.L.C. 2,034 30,633
Wood Group (John) P.L.C. 15,000 39,160
Woolworths Group P.L.C. 70,622 57,348
Yates Group P.L.C. 3,399 6,234
Yule Catto & Co. P.L.C. 6,493 28,588
---------------
TOTAL COMMON STOCKS
(Cost $4,800,746) 5,442,108
---------------
INVESTMENT IN CURRENCY -- (0.3%)
* British Pound Sterling
(Cost $73,000) 73,221
---------------
TOTAL -- UNITED KINGDOM
(Cost $4,873,746) 5,515,329
---------------
SWITZERLAND -- (5.2%)
COMMON STOCKS -- (5.0%)
* Actelion, Ltd. 500 54,936
* Agie Charmilles Holding AG 200 13,989
Bank Sarasin & Cie Series B, Basel 10 14,213
Barry Callebaut AG 200 46,021
Bobst Group SA 800 25,560
Caisse d'Epargne Cantonale Vaudoise,
Lausanne 50 44,337
Clariant AG 1,900 26,231
Converium Holding AG 1,100 56,063
Conzzeta Holdings AG 27 24,108
EGL (Elektrizitaets-Gesellschaft
Laufenberg) AG, Laufenberg 100 67,036
Energiedienst Holding AG 100 31,096
* Fischer (Georg) AG, Schaffhausen 100 21,802
* Forbo Holding AG, Eglisau 51 13,215
Geberit AG 80 51,512
* Generali (Switzerland) Holdings,
Adliswil 80 11,973
Kaba Holding AG 90 18,104
* Kudelski SA 900 27,580
Kuoni Reisen Holding AG 70 27,796
* Logitech International SA 1,200 55,424
Luzerner Kantonalbank AG 200 31,955
* Micronas Semi 800 35,433
* Moevenpick-Holding, Zuerich 40 25,069
Oz Holding AG 200 13,368
* Phoenix Mecano AG, Stein am Rhein 50 14,273
25
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Phonak Holding AG 1,200 $ 35,875
PSP Swiss Property AG 1,347 46,975
Rieters Holdings AG 100 25,361
Sarna Kunststoff Holding AG 150 14,309
Schweizerische National Versicherungs
Gesellschaft 30 14,357
Scintilla AG 40 33,622
Sig Holding AG 1,100 188,174
* Sika Finanz AG, Baar 90 45,244
Sulzer AG, Winterthur 160 39,849
* Unaxis Holding AG 300 33,975
* Valiant Holding AG 400 33,296
Valora Holding AG 100 23,676
* Von Roll Holding AG 1,359 1,343
* Von Roll Holding AG, Gerlafingen 1,359 1,391
Vontobel Holdings AG 2,200 46,861
* Zimmer Holdings, Inc. 868 73,348
---------------
TOTAL COMMON STOCKS
(Cost $1,086,405) 1,408,750
---------------
INVESTMENT IN CURRENCY -- (0.2%)
* Swiss Francs
(Cost $67,027) 67,397
---------------
TOTAL -- SWITZERLAND
(Cost $1,153,432) 1,476,147
---------------
AUSTRALIA -- (5.1%)
COMMON STOCKS -- (4.9%)
ABC Learning Centres, Ltd. 999 2,387
Adelaide Bank, Ltd. 6,122 36,602
Adsteam Marine, Ltd. 21,488 22,691
* Austar United Communications, Ltd. 33,059 16,520
* Australian Magnesium Corp., Ltd. 8,556 152
Bank of Queensland, Ltd. 7,864 54,302
* BayCorp Advantage, Ltd. 20,300 39,358
Cabcharge Austalia, Ltd. 13,000 30,151
*# Chemeq, Ltd. 5,304 21,800
* Climax Mining, Ltd. 2,546 162
* Clough, Ltd. 14,720 4,834
Coates Hire, Ltd. 19,624 46,723
Cochlear, Ltd. 1,678 24,536
Crane Group, Ltd. 5,076 30,443
Downer Group, Ltd. 22,208 49,817
Futuris Corp., Ltd. 30,136 33,333
* Graincorp, Ltd. Series A 3,700 32,442
Gunns, Ltd. 5,884 56,037
GWA International, Ltd. 13,074 27,137
Hills Industries, Ltd. 22,430 59,217
Iluka Resources, Ltd. 7,450 21,125
* Incitec Pivot, Ltd. 1,622 20,810
ION, Ltd. 18,964 20,166
Jones (David), Ltd. 37,253 42,519
* Macquarie Goodman Management,
Ltd. 12,779 29,680
McGuigan Simeon Wines, Ltd. 9,203 30,999
Mia Group, Ltd. 61,200 37,058
Miller's Retail, Ltd. 23,770 24,070
* Minara Resources, Ltd. 16,026 28,799
* Novogen, Ltd. 884 3,195
Nufarm, Ltd. 6,407 27,189
* Oxiana, Ltd. 55,648 $ 32,962
Pacific Group, Ltd. 9,528 27,835
* Petsec Energy, Ltd. 4,391 3,625
Ramsay Health Care, Ltd. 11,400 43,704
* Resolute Mining, Ltd. 2,027 1,820
Ridley Corp., Ltd. 41,891 38,307
* Rural Press, Ltd. 5,574 29,961
Salmat, Ltd. 7,085 17,650
* Scigen 16,313 744
* SFE Corp., Ltd. 6,232 28,840
Sigma Co., Ltd. 4,386 23,778
Sims Group, Ltd. 6,376 50,032
* Sons of Gwalia, Ltd. 6,721 12,912
Southern Cross Broadcasting
(Australia), Ltd. 5,499 42,329
Spotless Group, Ltd. 9,828 34,731
STW Communications Group, Ltd. 14,118 31,739
Thakral Holdings Group 87,685 40,661
Timbercorp, Ltd. 27,351 26,511
Transfield Services, Ltd. 8,307 30,548
* Village Roadshow, Ltd. 11,681 15,428
---------------
TOTAL COMMON STOCKS
(Cost $1,224,101) 1,408,371
---------------
INVESTMENT IN CURRENCY -- (0.2%)
* Australian Dollar
(Cost $49,977) 50,063
---------------
TOTAL -- AUSTRALIA
(Cost $1,274,078) 1,458,434
---------------
GERMANY -- (4.6%)
COMMON STOCKS -- (4.6%)
Aareal Bank AG 1,300 44,067
Andreae-Noris Zahn AG, Anzag 580 20,506
* Articon Integralis AG 400 1,422
Ava Allgemeine Handelsgesellschaft
der Verbraucher AG 700 27,475
AWD Holding AG 1,300 43,752
* Baader Wertpapier Handelsbank AG 1,100 8,069
Beate Uhse AG 1,700 22,551
Beru AG 500 37,770
Bilfinger & Berger Bau AG 2,000 65,769
Binding-Brauerei AG 70 86,966
*# Brau und Brunnen AG 300 30,039
* CBB Holding AG 933 43
Comdirect Bank AG 2,500 22,201
* DAB Bank AG 3,800 28,766
* Deutz AG 4,400 19,106
Douglas Holding AG 900 24,020
* Duerr Beteiligungs AG 500 12,519
* Epcos AG 1,600 32,472
# Feilmann AG 700 38,957
GFK AG 1,300 43,856
* Gildemeister AG 2,400 17,820
* Harpen AG 1,250 27,859
IVG Immobilien AG 4,500 51,995
Iwka AG 1,166 24,733
K & S Aktiengesellschaft AG 2,000 63,787
KWS Kleinwanzlebener Saatzucht AG 15 10,509
MVV Energie AG 2,000 32,952
26
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* MWG Biotech AG 1,000 $ 1,507
* Pfleiderer AG 2,100 15,836
* Phoenix AG, Hamburg 1,000 18,322
Rheinmetall Berlin AG 990 37,987
Rhoen Klinikum AG 600 28,226
Salzgitter AG 3,100 36,817
* SAP Systems Integrations AG 1,800 45,057
Schwarz Pharma AG 2,400 67,504
* Senator Entertainment AG 1,400 444
* Singulus Technologies AG 700 13,357
Sixt AG 900 14,529
* Strabag AG 166 11,225
Stuttgarter Hofbraeu AG 1,000 31,988
Sued-Chemie AG 200 7,083
Takkt AG 3,000 22,533
United Internet AG 2,000 50,211
* Vereinigte Deutsche Nickel-Werke AG 3,650 4,907
*# Vossloh AG 800 38,495
* WCM Beteiligungs AG 11,166 15,853
---------------
TOTAL -- GERMANY
(Cost $1,189,633) 1,301,862
---------------
FRANCE -- (4.4%)
COMMON STOCKS -- (4.4%)
* Alstom SA 16,106 18,513
* Altran Technologies SA 3,544 38,154
April Group SA 1,900 36,792
Beneteau SA 400 24,074
Boiron SA 1,200 28,091
Bongrain SA 339 22,803
Carbone Lorraine 400 14,964
Clarins SA 555 34,607
* Club Mediterranee SA 600 25,418
* CS Communication et Systemes 321 8,761
* Damartex SA 300 8,751
* DMC (Dollfus Mieg et Cie) 600 3,921
Electricite de Strasbourg 300 38,484
Elior 3,100 26,613
Euler-Hermes SA 962 53,097
* Euro Disney SCA 25,300 11,425
Fimalac SA 1,066 41,669
Fonciere Lyonnaise SA 800 34,482
Gaumont 411 27,547
* Generale de Geophysique SA 556 27,509
Guyenne et Gascogne SA 300 34,231
*# Infogrames Entertainment SA 2,887 8,409
Lisi SA 500 23,497
Manitou SA 400 44,382
Marionnaud Parfumeries Retails
Perfumes 735 25,985
* Metaleurop SA 1,500 989
Neopost SA 600 34,027
* Nexans 508 16,683
Norbert Dentressangle 600 29,638
Nord Est SA 390 19,552
NRJ Group 2,200 44,670
Remy Cointreau SA 800 26,712
Rodriguez Group SA 600 32,550
* Scor SA 23,400 34,288
SEB SA Prime Fidelite 2002 330 37,111
Selectibail 775 23,735
SILIC (Societe Immobiliere de
Location pour L'industrie et le
Commerce) 640 $ 43,259
Skis Rossignol SA 648 10,688
Societe du Louvre SA 700 67,173
Somfy Interational SA 300 56,393
Sopra SA 500 22,278
SR Teleperformance 1,656 37,902
Vallourec (Usines a Tubes de Lorraine
Escaut et Vallourec Reunies) 400 34,899
Zodiac SA 1,053 34,222
---------------
TOTAL -- FRANCE
(Cost $1,073,369) 1,268,948
---------------
SINGAPORE -- (3.3%)
COMMON STOCKS -- (3.3%)
Amtek Engineering, Ltd. 18,750 12,698
Ascott Group, Ltd. 204,000 49,261
Bukit Sembawang Estates, Ltd. 1,000 7,909
Cerebos Pacific, Ltd. 15,000 26,989
Ch Offshore, Ltd. 17,400 3,784
China Aviation Oil (Singapore) Corp.,
Ltd. 127,680 120,731
Chuan Hup Holdings, Ltd. 87,000 25,112
Fu Yu Manufacturing, Ltd. 63,000 32,620
GK Goh Holdings, Ltd. 17,000 7,889
Guocoland, Ltd. 42,900 26,720
Hong Leong Asia, Ltd. 46,000 44,374
Hotel Plaza, Ltd. 25,000 8,185
Hotel Properties, Ltd. 32,000 19,200
Huan Hsin Holdings, Ltd. 44,000 24,376
Hwa Hong Corp., Ltd. 85,000 23,221
* Interra Resources, Ltd. 2,400 269
Jurong Technologies Industrial Corp.,
Ltd. 55,000 45,154
* K1 Ventures, Ltd. 120,000 18,386
Keppel Telecommunications and
Transportation, Ltd. 72,000 33,987
Kim Eng Holdings, Ltd. 65,000 46,248
Labroy Marine, Ltd. 100,000 27,611
MCL Land, Ltd. 48,000 38,703
Metro Holdings, Ltd. 83,000 23,968
* Orchard Parade Holdings, Ltd. 11,239 2,674
Robinson & Co., Ltd. 9,600 32,436
SBS Transit, Ltd. 23,000 20,293
Singapore Food Industries, Ltd. 71,000 33,807
Straits Trading Co., Ltd. 61,200 67,986
* Tuan Sing Holdings, Ltd. 44,000 2,315
UOB-Kay Hian Holdings, Ltd. 107,000 61,408
WBL Corp., Ltd. 22,000 39,621
Wing Tai Holdings, Ltd. 29,166 14,603
---------------
TOTAL COMMON STOCKS
(Cost $788,666) 942,538
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Singapore Dollars
(Cost $11,935) 12,016
---------------
TOTAL -- SINGAPORE
(Cost $800,601) 954,554
---------------
27
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HONG KONG -- (3.2%)
COMMON STOCKS -- (3.2%)
ALCO Holdings, Ltd. 68,000 $ 18,309
* Allied Group, Ltd. 276,000 22,656
* Allied Properties, Ltd. 21,300 8,533
Asia Financial Holdings, Ltd. 54,874 12,184
* Asia Standard International Group,
Ltd. 116,666 4,344
Associated International Hotels, Ltd. 48,000 37,800
Cafe de Coral Holdings, Ltd. 78,000 72,059
* Century City International Holdings,
Ltd. 394,000 4,437
Champion Technology Holdings, Ltd. 21,258 3,409
Chaoda Modern Agriculture
(Holdings), Ltd. 62,000 19,129
Chen Hsong Holdings, Ltd. 72,000 42,474
* China Aerospace International
Holdings, Ltd. 46,800 2,790
* China Everbright Technology, Ltd. 206,000 8,461
China Hong-Kong Photo Products
Holdings, Ltd. 90,000 5,547
China Motor Bus Co., Ltd. 1,600 10,113
China Online (Bermuda), Ltd. 29,600 3,784
China Pharmaceutical Enterprise and
Investment Corp., Ltd. 112,000 33,793
China Resources Land, Ltd. 202,000 26,873
City Telecom (H.K.), Ltd. 30,000 5,676
Continental Mariner Investment Co.,
Ltd. 60,000 10,511
Cross Harbour Tunnel Co., Ltd. 30,278 15,656
Digital China Holdings, Ltd. 83,000 23,946
* DigitalHongKong.com 329 4
Dynamic Holdings, Ltd. 92,000 10,451
Elec & Eltek International Holdings,
Ltd. 132,000 23,741
* Founder Holdings, Ltd. 122,000 13,276
Four Seas Frozen Food Holdings, Ltd. 22,620 3,566
Four Seas Mercantile Holdings, Ltd. 60,000 21,555
* Fujian Holdings, Ltd. 16,800 387
Global China Group Holdings, Ltd. 244,000 13,765
Gold Peak Industries (Holdings), Ltd. 81,250 23,968
Goldlion Holdings, Ltd. 37,000 2,845
Grande Holdings, Ltd. 28,000 30,695
* Great Wall Cybertech, Ltd. 713,200 915
Guangdong Brewery Holdings, Ltd. 168,000 38,174
GZI Transport, Ltd. 68,000 19,186
Hang Ten Group Holdings, Ltd. 9,356 14
Harbour Centre Development, Ltd. 9,000 8,896
Hengan International Group Co., Ltd. 96,000 56,202
* Heritage International Holdings, Ltd. 230 1
* Hong Kong Construction Holdings,
Ltd. 27,000 1,643
* Interchina Holdings Co., Ltd. 280,000 7,508
* Lai Sun Development Co., Ltd. 86,000 1,693
Liu Chong Hing Investment, Ltd. 18,000 11,364
Moulin International Holdings, Ltd. 21,998 13,899
New Asia Realty & Trust Co., Ltd. 50,000 18,883
Ngai Lik Industrial Holdings, Ltd. 94,000 36,501
Pacific Century Insurance Holdings,
Ltd. 50,000 18,892
* QPL International Holdings, Ltd. 23,000 5,721
SCMP Group, Ltd. 60,000 24,027
Sea Holdings, Ltd. 38,000 $ 9,299
Shaw Brothers Hong Kong, Ltd. 20,000 19,502
Shell Electric Manufacturing
(Holdings) Co., Ltd. 3,481 785
* Shougang Concord International
Enterprises Co., Ltd. 90,000 4,436
Silver Grant International Industries,
Ltd. 40,000 8,304
Sun Hung Kai & Co., Ltd. 59,000 13,866
Tai Cheung Holdings, Ltd. 25,000 9,152
Varitronix International, Ltd. 19,000 18,753
Wing On Co. International, Ltd. 18,000 18,458
---------------
TOTAL COMMON STOCKS
(Cost $1,199,260) 902,811
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Hong Kong Dollars
(Cost $3,406) 3,408
---------------
RIGHTS/WARRANTS -- (0.0%)
* Heritage International Holdings, Ltd.
Warrants 04/12/05
(Cost $0) 46 0
---------------
TOTAL -- HONG KONG
(Cost $1,202,666) 906,219
---------------
ITALY -- (3.1%)
COMMON STOCKS -- (3.1%)
* Acea SpA 6,000 42,632
* Aem Torino SpA 10,500 19,662
*# Alitalia Linee Aeree Italiane SpA
Series A 120,000 34,381
Banca Intermobiliare di Investimenti e
Gestoni SpA 5,000 33,421
Banco di Desio e della Brianza SpA 5,000 24,110
Banco Piccolo Valellinese Scarl SpA 3,375 33,398
Beni Stabili SpA, Roma 40,000 29,248
Caltagirone Editore SpA 3,000 22,834
Caltagirone SpA 3,250 20,214
CIR SpA (Cie Industriale Riunite),
Torino 17,000 34,579
* Cirio Finanziaria SpA 45,000 9,562
Class Editore SpA 3,000 6,414
Credito Emiliano SpA 7,080 54,570
De Longhi SpA 8,000 28,166
* E.Biscom SpA 1,000 58,177
Erg SpA 5,000 31,447
Ericsson SpA 966 38,351
Gewiss SpA 6,000 27,701
Gruppo Editoriale L'espresso SpA 3,896 23,927
* Immobiliare Lombardia SpA 7,400 1,510
*# Impregilo SpA 19,000 10,153
Merloni Elettrodomestici SpA 2,500 42,740
Milano Assicurazioni SpA 11,000 41,405
Pirelli & C.Real Estate SpA 1,000 35,619
* Premafin Finanziaria SpA Holding di
Partecipazioni, Roma 21,959 28,137
Recordati Industria Chimica e
Farmaceutica SpA 1,000 19,479
* Saeco International Group SpA 6,000 26,435
* SMI STA Metallurgica Italiana SpA 31,000 8,210
28
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SNIA SpA 5,304 $ 1,598
Societe Cattolica di Assicurazoni
Scarl SpA 990 38,462
* Sorin SpA 7,956 20,403
Vianini Lavori SpA 5,720 34,918
---------------
TOTAL -- ITALY
(Cost $718,140) 881,863
---------------
NETHERLANDS -- (2.6%)
COMMON STOCKS -- (2.6%)
AM NV 1,228 10,786
* ASM International NV 1,000 21,526
Boskalis Westminster NV 1,282 31,338
Buhrmann NV 2,960 28,205
* Getronics NV 6,960 19,246
Grolsche NV 800 24,324
* Hagemeyer NV 12,600 26,978
Imtech NV 1,285 33,133
* Ispat International NV 4,900 62,301
* Kendrion NV 1,337 3,680
Koninklijke Frans Maas Groep NV 810 26,910
Koninklijke Nedlloyd NV 1,315 40,102
Koninklijke Vendex KBB NV 3,900 72,546
Koninklijke Vopak NV 1,100 18,108
* Laurus NV 24,100 32,079
New Skies Satellites NV 5,400 43,713
Nutreco Holding NV 1,308 40,209
NV Holdingsmij de Telegraaf 1,000 22,143
Randstad Holdings NV 2,500 65,675
* Semiconductor Industries NV 1,100 7,186
Stork NV 900 17,787
Twentsche Kabel Holding NV 677 18,545
United Services Group NV 815 11,346
Univar NV 550 9,218
* Van Der Mollen Holding NV 995 7,579
* Versatel Telecom International NV 19,200 38,290
* Wegener Arcade NV . 1,631 15,941
---------------
TOTAL COMMON STOCKS
(Cost $653,092) 748,894
---------------
RIGHTS/WARRANTS -- (0.0%)
* AM NV Coupons 06/04/04 1,228 0
* Koninklijke Vopak NV Coupons
06/04/04 1,100 0
---------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 0
---------------
TOTAL -- NETHERLANDS
(Cost $653,092) 748,894
---------------
SWEDEN -- (2.5%)
COMMON STOCKS -- (2.5%)
Addtech AB Series B 2,500 14,623
Axfood AB 1,800 45,210
Bergman & Beving AB Series B 2,500 17,967
Bilia AB Series A 2,975 36,753
Billerud AB 2,100 32,691
* Capio AB 2,700 26,160
Carbo AB 2,400 59,332
Castellum AB 1,500 35,381
Eniro AB 5,400 42,415
Haldex AB 1,680 $ 26,388
Hoganas AB Series B 1,300 32,195
Kinnevik Industrifoervaltnings AB
Series B 2,100 65,118
Lagercrantz Group AB Series B 2,500 7,222
* LGP Allgon Holding AB 980 7,756
Lindex AB 700 19,615
* Lundin Petroleum AB 6,500 37,214
* Modern Times Group AB Series B 1,700 30,556
Observer AB 2,880 10,449
* OMHEX AB 2,900 38,476
Rottneros Bruk AB 11,700 15,163
* Scribona AB Series A 1,500 2,921
Tietoenator Corp. AB 1,015 30,100
Trelleborg AB Series B 3,600 65,248
WM-Data AB Series B 8,800 19,638
---------------
TOTAL COMMON STOCKS
(Cost $554,679) 718,591
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Swedish Krona
(Cost $4,946) 5,072
---------------
TOTAL -- SWEDEN
(Cost $559,625) 723,663
---------------
GREECE -- (2.5%)
COMMON STOCKS -- (2.5%)
Aktor Technical Co. S.A. 5,400 29,635
Athens Water Supply & Sewage Co.
S.A. 4,400 30,341
Attica Enterprises S.A. Holdings 7,500 30,271
Babis Vovos S.A. 2,600 52,044
* Bank of Attica S.A. 6,400 31,290
Bank of Piraeus S.A. 10,297 119,960
Germanos S.A. 1,900 50,867
Hellenic Duty Free Shops S.A. 3,700 67,957
Hellenic Technodomiki S.A. 3,800 18,955
Heracles General Cement Co. 5,400 52,253
Hyatt Regency S.A. 4,700 51,894
Intracom S.A. 5,500 27,670
J&P-Avax S.A. 5,200 27,974
* Lambrakis Press S.A. 5,806 23,605
N.B.G. Real Estate Development Co. 6,100 24,803
Technical Olympic S.A. 5,500 25,710
Viohalco S.A. 9,200 58,262
---------------
TOTAL -- GREECE
(Cost $615,850) 723,491
---------------
FINLAND -- (2.2%)
COMMON STOCKS -- (2.2%)
Amer-Yhtymae Oyj Series A 1,100 56,464
Finnair Oyj 3,800 24,348
Finnlines Oyj 900 24,848
Huhtamaki Van Leer Oyj 4,350 57,077
KCI Konecranes International Oyj 600 20,730
Kemira Oyj 4,600 58,102
Kesko Oyj 2,400 47,251
Nokian Renkaat Oyj 390 36,039
Okobank Class A 3,200 31,822
# Pohjola Group P.L.C. Series D 6,600 64,296
29
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SHARES VALUE+
------ ------
Rautaruukki Oyj Series K 6,200 $ 46,157
* Stonesoft Corp. 2,191 1,608
Uponor Oyj Series A 1,500 47,702
Viking Line AB 400 9,914
Wartsila Corp. Oyj Series B 2,600 53,098
Yit-Yhtymae Oyj 2,600 51,699
---------------
TOTAL -- FINLAND
(Cost $441,392) 631,155
---------------
SPAIN -- (1.9%)
COMMON STOCKS -- (1.9%)
Abengoa SA 2,800 22,856
* Amper SA 1,600 8,036
# Banco de Valencia SA 3,661 76,345
Banco Pastor SA 1,200 35,606
Campofrio Alimentacion SA 1,466 21,099
Compania de Distribucion Integral
Logista SA 1,100 35,304
Cortefiel SA 3,300 33,429
Europistas Concesionaria Espanola
SA 3,356 20,960
Faes Farma SA 1,900 28,232
* Faes Farma SA Issue 04 211 3,135
Grupo Empresarial Ence SA 1,200 31,704
Inmobiliaria Colonial SA ICSA 2,400 58,187
Inmobiliaria Urbis SA 4,600 50,892
Prosegur Cia de Seguridad SA 2,200 34,427
* Puleva Biotech SA 244 808
Recoletos Grupo de Comunicacion
SA 3,300 23,815
* Uralita SA 1,900 19,815
Viscofan Industria Navarra de
Envolturas Celulosicas SA 2,730 25,321
---------------
TOTAL COMMON STOCKS
(Cost $331,706) 529,971
---------------
RIGHTS/WARRANTS -- (0.0%)
* Faes Farma SA Rights 06/08/04
(Cost $0) 1 2
---------------
TOTAL -- SPAIN
(Cost $331,706) 529,973
---------------
DENMARK -- (1.6%)
COMMON STOCKS -- (1.6%)
* Alm. Brand A.S. 778 19,158
Bang & Olufsen Holding A.S. Series B 450 26,169
Coloplast A.S. Series B 808 78,538
DFDS A.S., Copenhagen 384 14,655
DSV, De Sammensluttede Vognmaend
A.S. 450 20,723
* FLS Industries 1,240 16,795
GN Great Nordic A.S. 5,000 37,540
* Jyske Bank A.S. 1,110 58,524
Koebenhavns Lufthavne 290 41,133
NKT Holding A.S. 960 18,783
* SAS Danmark A.S. 1,739 15,455
Sydbank A.S. 160 22,900
* Topdanmark A.S. 1,450 87,678
* Treka A.S. 700 8,750
---------------
TOTAL COMMON STOCKS
(Cost $323,264) 466,801
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Danish Krone
(Cost $4,321) $ 4,377
---------------
TOTAL -- DENMARK
(Cost $327,585) 471,178
---------------
NORWAY -- (1.4%)
COMMON STOCKS -- (1.4%)
* Aker Kvaerner ASA 2,300 36,723
Ekornes ASA 1,600 30,968
Hafslund ASA 4,500 23,445
Nera ASA 4,600 12,206
Prosafe ASA 1,400 30,673
Rieber and Son ASA Series A 3,600 29,801
Schibsted ASA 3,600 63,257
Smedvig ASA Series A 2,600 24,430
Tandberg ASA Series A 5,200 52,369
* Tandberg Television ASA 2,600 16,404
Tomra Systems ASA 9,200 37,039
Wilhelmshaven (Wilhelm), Ltd. ASA 1,400 38,910
---------------
TOTAL COMMON STOCKS
(Cost $309,766) 396,225
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Norwegian Krone
(Cost $6,346) 6,439
---------------
TOTAL -- NORWAY
(Cost $316,112) 402,664
---------------
BELGIUM -- (1.4%)
COMMON STOCKS -- (1.4%)
Ackermans & Van Haaren SA 1,200 28,655
Barco (New) NV 500 43,687
Bekaert SA 500 28,893
Brederode SA 592 12,014
Cie Martime Belge SA 300 28,204
Cofinimmo SA 220 28,208
Deceuninck SA 1,300 42,053
D'Ieteren SA 100 19,907
Exmar NV 300 16,468
Immobel (Cie Immobiliere de
Belgique SA) 200 8,104
Omega Pharma SA 1,200 58,045
* Solvus SA 703 10,417
* Solvus SA Interim Strip VVPR 3 0
Spector Photo Group SA 188 2,205
Tessenderlo Chemie 800 28,004
* Umicore-Strip VVPR 25 5
Union Miniere SA 525 31,872
---------------
TOTAL COMMON STOCKS
(Cost $320,590) 386,741
---------------
RIGHTS/WARRANTS -- (0.0%)
* Cofinimmo SA Rights 06/11/04
(Cost $0) 220 0
---------------
TOTAL -- BELGIUM
(Cost $320,590) 386,741
---------------
30
· Download Table
SHARES VALUE+
------ ------
NEW ZEALAND -- (1.2%)
COMMON STOCKS -- (1.2%)
Cavalier Corp., Ltd. 8,600 $ 25,766
New Zealand Refining Co., Ltd. 3,208 38,381
Port of Tauranga, Ltd. 11,600 37,134
Ports of Auckland 4,770 22,002
Powerco, Ltd. 29,806 39,873
* Tower, Ltd. 54,915 54,902
Trustpower, Ltd. 36,000 94,969
Waste Management NZ, Ltd. 13,200 38,221
---------------
TOTAL COMMON STOCKS
(Cost $217,671) 351,248
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* New Zealand Dollar
(Cost $4,469) 4,277
---------------
TOTAL -- NEW ZEALAND
(Cost $222,140) 355,525
---------------
IRELAND -- (1.2%)
COMMON STOCKS -- (1.2%)
DCC P.L.C. 2,250 36,614
* FBD Holdings P.L.C. 1,308 23,639
Fyffes P.L.C. 13,698 26,809
Glanbia P.L.C. 12,578 34,148
Greencore Group P.L.C. 7,093 26,838
IAWS Group P.L.C. 4,260 47,945
Independent News & Media P.L.C. 14,619 34,583
Jurys Hotel Group P.L.C. 2,702 32,863
Kingspan Group P.L.C. 7,161 42,412
United Drug P.L.C. 8,908 29,263
Waterford Wedgwood P.L.C. 26,372 6,318
---------------
TOTAL -- IRELAND
(Cost $275,438) 341,432
---------------
AUSTRIA -- (1.1%)
COMMON STOCKS -- (1.1%)
* Agrana Beteiligungs AG 319 25,716
Bohler Uddeholm AG 385 29,359
* Ca Immobilien Invest AG 851 20,288
Flughafen Wien AG 543 30,220
* Immofinanz Immobilien Anlagen AG 6,040 47,738
* Lenzing AG 106 21,996
Mayr-Melnhof Karton AG 420 50,419
Oberbank AG 305 28,016
* RHI AG, Wien 833 17,300
* VA Technologie AG 444 23,694
Voestalpine AG 752 33,555
---------------
TOTAL -- AUSTRIA
(Cost $250,416) 328,301
---------------
PORTUGAL -- (0.8%)
COMMON STOCKS -- (0.8%)
* Jeronimo Martins (Estabelecimentos
Jeronimo Martins & Filho
Administracao e Participacoes
Financeiros SA) 5,800 68,455
Portucel-Empresa Produtora de Pasta
de Papel SA 20,700 $ 34,870
Sociedade de Investimento e Gestao
SGPS SA 6,200 28,337
* Sonaecom SGPS SA 13,800 50,741
Teixeira Duarte Engenharia e
Construcoes SA 22,200 32,501
---------------
TOTAL -- PORTUGAL
(Cost $150,438) 214,904
---------------
EMU -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
* Euro Currency
(Cost $12,377) 12,401
---------------
MALAYSIA -- (0.0%)
COMMON STOCKS -- (0.0%)
* Promet Berhad
(Cost $20,472) 23,000 1,755
---------------
FACE
AMOUNT
------
(000)
TEMPORARY CASH
INVESTMENTS -- (4.5%)
Repurchase Agreement, PNC Capital
Markets, Inc. 0.89%, 06/01/04
(Collateralized by $531,000 FHLB
Notes 3.375%, 06/15/04,
valued at $539,629) to be
repurchased at $531,053
(Cost $531,000) $ 531 531,000
Repurchase Agreement, Mizuho
Securities USA 1.00%, 06/01/04
(Collateralized by $776,000
U.S. Treasury Obligations 4.25%,
11/15/03, valued at $757,036)
to be repurchased at $742,188
(Cost $742,106)^ 742 742,106
---------------
TOTAL TEMPORARY CASH
INVESTMENTS
(Cost $1,273,106) 1,273,106
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $25,297,182)++ $ 28,581,171
===============
----------
+ 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 $25,297,852.
See accompanying Notes to Financial Statements.
31
VA SHORT-TERM FIXED PORTFOLIO
STATEMENT OF NET ASSETS
MAY 31, 2004
(UNAUDITED)
· Download Table
FACE
AMOUNT VALUE+
------ ------
(000)
UNITED STATES -- (84.1%)
COMMERCIAL PAPER -- (42.3%)
AIG Funding, Inc.
0.980%, 06/08/04 $ 300 $ 299,940
Barton Capital Corp.
1.030%, 06/11/04 1,000 999,708
CDC Commercial Paper Corp.
1.010%, 06/02/04 600 599,983
0.990%, 06/10/04 600 599,847
Ciesco L.P.
1.030%, 06/17/04 1,100 1,099,486
Compass Securitization LLC
1.030%, 06/16/04 800 799,650
Electricite de France
1.020%, 06/17/04 700 699,683
Govco, Inc.
1.050%, 07/01/04 1,000 999,117
KFW International Finance, Inc.
1.010%, 06/22/04 300 299,821
Kittyhawk Funding Corp.
1.030%, 06/01/04 1,000 1,000,000
1.030%, 06/15/04 700 699,711
Marsh & McLennan Co., Inc.
1.010%, 06/22/04 700 699,584
Novartis Finance Corp.
1.010%, 06/03/04 1,000 999,943
Pfizer, Inc.
1.040%, 07/12/04 300 299,638
Rabobank
1.030%, 06/01/04 1,200 1,200,000
Sheffield Receivables Corp.
1.040%, 06/22/04 1,200 1,199,250
Siemens Capital Corp.
1.010%, 06/02/04 1,100 1,099,969
UBS Finance Delaware, Inc.
1.015%, 06/01/04 1,000 1,000,000
USAA Capital Corp.
0.990%, 06/01/04 300 300,000
Wal-Mart Stores, Inc.
1.050%, 07/20/04 600 599,117
Westpac Capital Corp.
1.010%, 06/08/04 1,000 999,802
Windmill Funding Corp.
1.030%, 06/03/04 1,100 1,099,935
---------------
TOTAL COMMERCIAL PAPER
(Cost $17,594,296) 17,594,184
---------------
AGENCY OBLIGATIONS -- (24.2%)
Federal Farm Credit Bank
2.500%, 11/15/05 595 595,926
1.850%, 03/03/06 200 197,162
Federal Home Loan Bank
2.250%, 12/15/05 800 797,166
2.375%, 02/15/06 900 895,558
5.125%, 03/06/06 830 864,560
2.250%, 05/15/06 1,200 1,187,158
Federal Home Loan Mortgage
Corporation
5.250%, 01/15/06 $ 1,700 $ 1,773,205
Federal National Mortgage Association
5.500%, 02/15/06 1,510 1,581,530
2.125%, 04/15/06 1,800 1,779,984
2.250%, 05/15/06 400 395,477
---------------
TOTAL AGENCY OBLIGATIONS
(Cost $10,169,319) 10,067,726
---------------
BONDS -- (17.6%)
Bayerische Landesbank
2.500%, 04/28/06 1,100 1,085,914
Citigroup, Inc.
6.750%, 12/01/05 900 955,073
General Electric Capital Corp.
5.350%, 03/30/06 800 835,780
Gillette Co.
4.000%, 06/30/05 800 814,864
KFW International Finance, Inc.
2.500%, 10/17/05 800 803,659
Swiss Bank Corp. New York
6.750%, 07/15/05 900 944,462
Toyota Motor Credit Corp.
2.070%, 10/31/05 900 900,691
Wells Fargo & Co.
7.250%, 08/24/05 900 953,101
---------------
TOTAL BONDS
(Cost $7,338,452) 7,293,544
---------------
TOTAL -- UNITED STATES
(Cost $35,102,067) 34,955,454
---------------
SUPRANATIONAL ORGANIZATION
OBLIGATIONS -- (8.4%)
BONDS -- (8.4%)
African Development Bank
3.250%, 07/29/05 900 910,340
Asian Development Bank
2.375%, 03/15/06 300 299,865
Inter-American Development Bank
6.125%, 03/08/06 700 742,560
Nordic Investment Bank
2.750%, 01/11/06 1,100 1,102,647
World Bank (International Bank for
Reconstruction & Development)
Corporate Bonds
5.000%, 03/28/06 400 416,660
---------------
TOTAL -- SUPRANATIONAL
ORGANIZATION OBLIGATIONS
(Cost $3,510,610) 3,472,072
---------------
32
· Enlarge/Download Table
FACE
AMOUNT VALUE+
------ ------
(000)
CANADA -- (3.8%)
BONDS -- (3.8%)
Export Development Corp.
2.750%, 12/12/05 $ 400 $ 402,549
Ontario, Province of
6.000%, 02/21/06 1,100 1,157,670
---------------
TOTAL -- CANADA
(Cost $1,584,359) 1,560,219
---------------
FINLAND -- (2.5%)
BONDS -- (2.5%)
Republic of Finland
5.875%, 02/27/06
(Cost $1,069,847) 1,000 1,056,053
---------------
TEMPORARY CASH INVESTMENTS -- (0.6%)
Repurchase Agreement, PNC Capital Markets,
Inc. 0.89%, 06/01/04 (Collateralized by $286,000
FNMA Discount Notes, 12/10/04, valued at $283,855)
to be repurchased at $260,026^
(Cost $260,000) 260 260,000
---------------
TOTAL INVESTMENTS -- (99.4%)
(Cost $41,526,883)++ 41,303,798
---------------
OTHER ASSETS AND LIABILITIES -- (0.6%)
Interest Receivable 264,720
Payable to Advisor (8,674)
Other Liabilities in Excess of Other Assets (16,638)
---------------
239,408
---------------
NET ASSETS -- (100.0%)
Applicable to 4,099,571 Outstanding $.01 Par Value Shares
(50,000,000 Shares Authorized) $ 41,543,206
===============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 10.13
===============
----------
+ See Note B to Financial Statements.
++ The cost for federal income tax purposes is $41,526,883.
^ Effective yield of 1.46%.
See accompanying Notes to Financial Statements.
33
VA GLOBAL BOND PORTFOLIO
STATEMENT OF NET ASSETS
MAY 31, 2004
(UNAUDITED)
· Download Table
FACE
AMOUNT VALUE+
------ ------
(000)
UNITED STATES -- (59.6%)
AGENCY OBLIGATIONS -- (36.0%)
Federal Farm Credit Bank
3.625%, 10/24/08 $ 2,000 $ 1,962,286
Federal Home Loan Bank
5.500%, 08/15/08 570 601,354
5.800%, 09/02/08 1,200 1,280,191
3.625%, 11/14/08 1,300 1,275,242
3.000%, 04/15/09 700 661,982
Federal Home Loan Mortgage
Corporation
3.625%, 09/15/08 500 491,989
5.125%, 10/15/08 1,300 1,356,711
5.750%, 03/15/09 1,790 1,908,881
3.375%, 04/15/09 300 288,721
Federal National Mortgage Association
3.250%, 08/15/08 100 97,116
5.250%, 01/15/09 300 313,392
3.250%, 02/15/09 2,700 2,589,967
Tennessee Valley Authority
5.375%, 11/13/08 1,430 1,515,800
---------------
TOTAL AGENCY OBLIGATIONS
(Cost $14,782,227) 14,343,632
---------------
BONDS -- (23.6%)
Bayerische Landesbank
2.875%, 10/15/08 300 283,183
5.875%, 12/01/08 300 320,386
Citigroup, Inc.
3.625%, 02/09/09 200 193,791
Fifth Third Bank
3.375%, 08/15/08 700 681,790
General Electric Capital Corp.
4.250%, 01/15/08 700 707,790
Gillette Co.
2.875%, 03/15/08 700 678,914
2.500%, 06/01/08 200 189,664
Procter & Gamble Co.
6.125%, 05/08/08 600 643,080
4.300%, 08/15/08 170 172,540
Siemens Capital Co., Ltd.
6.000%, 02/11/08 800 855,840
Toyota Motor Credit Corp.
2.875%, 08/01/08 800 767,546
US Bank NA
3.400%, 03/02/09 950 909,855
Wal-Mart Stores, Inc.
3.375%, 10/01/08 800 777,353
Wells Fargo & Co.
3.125%, 04/01/09 1,100 1,041,556
Westdeutsche Landesbank
6.050%, 01/15/09 1,100 1,172,959
---------------
TOTAL BONDS
(Cost $9,582,261) 9,396,247
---------------
TOTAL -- UNITED STATES
(Cost $24,364,488) 23,739,879
---------------
SUPRANATIONAL ORGANIZATION
OBLIGATIONS -- (8.5%)
BONDS -- (8.5%)
African Development Bank
3.250%, 08/01/08 $ 800 $ 777,181
European Investment Bank
5.375%, 09/16/08 800 845,776
Inter-American Development Bank
3.375%, 03/17/08 400 395,905
5.375%, 11/18/08 400 424,704
World Bank (International Bank for
Reconstruction & Development)
Corporate Bonds
5.000%, 10/29/08 900 941,400
---------------
TOTAL -- SUPRANATIONAL
ORGANIZATION OBLIGATIONS
(Cost $3,453,595) 3,384,966
---------------
GERMANY -- (7.1%)
BONDS -- (7.1%)
Deutsche Postbank
5.500%, 02/17/09 300 316,920
KFW International Finance, Inc.
3.250%, 03/30/09 1,100 1,066,738
Landesbank Baden-Wuerttemberg
Foerderbank
3.000%, 09/30/08 800 769,520
Landwirtschaft Rentenbank
3.250%, 06/16/08 500 489,537
3.875%, 09/04/08 200 199,626
---------------
TOTAL -- GERMANY
(Cost $2,920,657) 2,842,341
---------------
CANADA -- (6.8%)
BONDS -- (6.8%)
BP Canada Finance
3.625%, 01/15/09 225 220,076
Canada Mortgage and Housing Corp.
3.375%, 12/01/08 500 491,335
Canadian Government
5.250%, 11/05/08 900 954,360
Province of Ontario
5.500%, 10/01/08 800 843,953
Province of British Columbia
5.375%, 10/29/08 200 211,580
---------------
TOTAL -- CANADA
(Cost $2,776,511) 2,721,304
---------------
FRANCE -- (4.3%)
BONDS -- (4.3%)
Dexia Credit Local de France
5.500%, 01/21/09 600 633,120
Total Capital SA
3.500%, 01/05/09 1,100 1,074,920
---------------
TOTAL -- FRANCE
(Cost $1,755,168) 1,708,040
---------------
34
· Enlarge/Download Table
FACE
AMOUNT VALUE+
------ ------
(000)
NETHERLANDS -- (3.8%)
BONDS -- (3.8%)
Nederlandse Waterschapbank
2.750%, 12/30/08 $ 700 $ 663,600
Rabobank
5.500%, 09/17/08 800 845,200
---------------
TOTAL -- NETHERLANDS
(Cost $1,545,756) 1,508,800
---------------
FACE
AMOUNT@
-------
(000)
SWEDEN -- (2.9%)
BONDS -- (2.9%)
Sweden Government Bond
5.000%, 01/28/09
(Cost $1,130,404) 8,200 1,149,831
---------------
FACE
AMOUNT
------
(000)
AUSTRIA -- (1.9%)
BONDS -- (1.9%)
Republic of Austria
6.250%, 05/19/08
(Cost $769,840) $ 700 $ 760,522
---------------
JAPAN -- (1.9%)
BONDS -- (1.9%)
Nippon Telegraph & Telephone Corp.
6.000%, 03/25/08
(Cost $761,467) 700 748,987
---------------
SPAIN -- (1.3%)
BONDS -- (1.3%)
Spain (Kingdom of)
5.875%, 07/28/08
(Cost $548,408) 500 537,640
---------------
TEMPORARY CASH INVESTMENTS -- (0.8%)
Repurchase Agreement, PNC Capital Markets, Inc. 0.89%,
06/01/04 (Collateralized by $300,000
FHLB Notes 3.375%, 06/15/04, valued at $304,875) to be
repurchased at $300,030 (Cost $300,000) 300 300,000
---------------
TOTAL INVESTMENTS -- (98.9%)
(Cost $40,326,294)++ 39,402,310
---------------
OTHER ASSETS AND LIABILITIES -- (1.1%)
Interest Receivable 476,065
Payable to Advisor (8,297)
Other Liabilities in Excess of Other Assets (4,884)
---------------
462,884
---------------
NET ASSETS -- (100.0%)
Applicable to 3,890,006 Outstanding $.01 Par Value Shares
(50,000,000 Shares Authorized) $ 39,865,194
===============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 10.25
===============
----------
+ See Note B to Financial Statements.
@ Denominated in local currency or the Euro.
++ The cost for federal income tax purposes is $40,326,294.
See accompanying Notes to Financial Statements.
35
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 2004
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
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VA SMALL VA LARGE
VALUE VALUE
PORTFOLIO PORTFOLIO
--------------- ---------------
ASSETS:
Investments at Value (including $2,076 and $3,778 of securities
on loan, respectively) $ 56,746 $ 65,055
Receivables:
Investment Securities Sold 411 --
Fund Shares Sold 24 36
Dividends, Interest, and Tax Reclaims 27 106
Securities Lending Income 2 --
--------------- ---------------
Total Assets 57,210 65,197
--------------- ---------------
LIABILITIES:
Payables:
Collateral on Securities Loaned 2,206 3,962
Investment Securities Purchased 80 150
Due to Advisor 22 12
Accrued Expenses and Other Liabilities 25 13
--------------- ---------------
Total Liabilities 2,333 4,137
--------------- ---------------
NET ASSETS $ 54,877 $ 61,060
=============== ===============
SHARES OUTSTANDING $.01 PAR VALUE (50,000,000 Shares Authorized) 3,699,220 4,483,451
=============== ===============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 14.83 $ 13.62
=============== ===============
Investments at Cost $ 48,162 $ 59,476
=============== ===============
See accompanying Notes to Financial Statements.
36
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VA VA
INTERNATIONAL INTERNATIONAL
VALUE SMALL
PORTFOLIO PORTFOLIO
--------------- ---------------
ASSETS:
Investments at Value (including $1,893 and $737 of securities on
loan, respectively) $ 43,193 $ 28,581
Cash 16 16
Receivables:
Investment Securities Sold 33 66
Fund Shares Sold 7
Dividends, Interest, and Tax Reclaims 164 114
Securities Lending Income 4 2
--------------- ---------------
Total Assets 43,417 28,779
--------------- ---------------
LIABILITIES:
Payables:
Collateral on Securities Loaned 1,986 742
Fund Shares Redeemed -- 1
Investment Securities Purchased 66 498
Due to Advisor 13 13
Accrued Expenses and Other Liabilities 14 8
--------------- ---------------
Total Liabilities 2,079 1,262
--------------- ---------------
NET ASSETS $ 41,338 $ 27,517
=============== ===============
SHARES OUTSTANDING $.01 PAR VALUE (50,000,000 Shares Authorized) 3,329,326 2,813,037
=============== ===============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 12.42 $ 9.78
=============== ===============
Investments at Cost $ 38,168 $ 25,297
=============== ===============
See accompanying Notes to Financial Statements.
37
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2004
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
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VA
VA SMALL VA LARGE INTERNATIONAL
VALUE VALUE VALUE
PORTFOLIO PORTFOLIO PORTFOLIO
--------------- --------------- ---------------
INVESTMENT INCOME
Dividends and Tax Reclaims (Net of Foreign Taxes Withheld of $0,
$0 and $65, respectively) $ 168 $ 423 $ 562
Interest 3 3 2
Income from Securities Lending 10 2 12
--------------- --------------- ---------------
Total Investment Income 181 428 576
--------------- --------------- ---------------
EXPENSES
Investment Advisory Services 132 70 76
Accounting & Transfer Agent Fees 27 29 24
Custodian Fees 3 3 12
Legal Fees 3 -- --
Audit Fees 3 1 1
Shareholders' Reports 5 9 4
Other -- 1 1
--------------- --------------- ---------------
Total Expenses 173 113 118
--------------- --------------- ---------------
NET INVESTMENT INCOME (LOSS) 8 315 458
--------------- --------------- ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES
AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment Securities Sold 3,964 572 797
Change in Unrealized Appreciation (Depreciation) of
Investment Securities and Foreign Currency 364 3,569 3,065
Translation of Foreign Currency Denominated Amounts -- -- (3)
--------------- --------------- ---------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN
CURRENCY 4,328 4,141 3,859
--------------- --------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 4,336 $ 4,456 $ 4,317
=============== =============== ===============
See accompanying Notes to Financial Statements.
38
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VA VA
INTERNATIONAL SHORT-TERM VA GLOBAL
SMALL FIXED BOND
PORTFOLIO PORTFOLIO PORTFOLIO
--------------- --------------- ---------------
INVESTMENT INCOME
Dividends and Tax Reclaims (Net of Foreign Taxes Withheld of $36,
$0, and $0, respectively) $ 344 -- --
Interest 3 $ 278 $ 595
Income from Securities Lending 10 -- --
--------------- --------------- ---------------
Total Investment Income 357 278 595
--------------- --------------- ---------------
EXPENSES
Investment Advisory Services 63 47 45
Accounting & Transfer Agent Fees 16 9 23
Custodian Fees 11 2 2
Audit Fees 1 1 1
Shareholders' Reports 2 4 4
Other 2 3 2
--------------- --------------- ---------------
Total Expenses 95 66 77
--------------- --------------- ---------------
NET INVESTMENT INCOME (LOSS) 262 212 518
--------------- --------------- ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES
AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment Securities Sold 187 26 (89)
Net Realized Gain (Loss) on Foreign Currency Transactions 3 -- 1
Change in Unrealized Appreciation (Depreciation) of
Investment Securities and Foreign Currency 2,504 (151) (659)
Translation of Foreign Currency Denominated Amounts (2) -- (16)
--------------- --------------- ---------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN
CURRENCY 2,692 (125) (763)
--------------- --------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 2,954 $ 87 $ (245)
=============== =============== ===============
See accompanying Notes to Financial Statements.
39
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
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VA SMALL VALUE PORTFOLIO VA LARGE VALUE PORTFOLIO
---------------------------- ----------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2004 2003 2004 2003
------------ ------------ ------------ ------------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 8 $ 50 $ 315 $ 503
Net Realized Gain (Loss) on
Investment Securities Sold 3,964 4,589 572 (381)
Change in Unrealized Appreciation
(Depreciation) of
Investment Securities 364 11,600 3,569 7,444
------------ ------------ ------------ ------------
Net Increase (Decrease) in Net
Assets Resulting from
Operations 4,336 16,239 4,456 7,566
------------ ------------ ------------ ------------
Distributions From:
Net Investment Income (57) (90) (553) (442)
Net Short-Term Gains (1,650) (6) -- --
Net Long-Term Gains (2,959) (2,206) -- --
------------ ------------ ------------ ------------
Total Distributions (4,666) (2,302) (553) (442)
------------ ------------ ------------ ------------
Capital Share Transactions (1):
Shares Issued 6,723 6,571 10,338 8,041
Shares Issued in Lieu of Cash
Distributions 4,666 2,302 553 442
Shares Redeemed (4,233) (6,901) (1,849) (5,282)
------------ ------------ ------------ ------------
Net Increase (Decrease) from
Capital Share Transactions 7,156 1,972 9,042 3,201
------------ ------------ ------------ ------------
Total Increase (Decrease) 6,826 15,909 12,945 10,325
NET ASSETS
Beginning of Period 48,051 32,142 48,115 37,790
------------ ------------ ------------ ------------
End of Period $ 54,877 $ 48,051 $ 61,060 $ 48,115
============ ============ ============ ============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 447 607 759 732
Shares Issued in Lieu of Cash
Distributions 333 237 42 43
Shares Redeemed (280) (613) (139) (491)
------------ ------------ ------------ ------------
500 231 662 284
============ ============ ============ ============
See accompanying Notes to Financial Statements.
40
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VA INTERNATIONAL VALUE PORTFOLIO VA INTERNATIONAL SMALL PORTFOLIO
--------------------------------- ---------------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2004 2003 2004 2003
-------------- -------------- -------------- --------------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 458 $ 558 $ 262 $ 334
Net Realized Gain (Loss) on
Investment Securities Sold 797 1,324 187 1,006
Net Realized Gain (Loss) on
Foreign Currency Transactions -- 9 3 5
Change in Unrealized Appreciation
(Depreciation) of Investment Securities
and Foreign Currency 3,065 6,936 2,504 5,863
Translation of Foreign Currency
Denominated Amounts (3) 2 (2) 1
-------------- -------------- -------------- --------------
Net Increase (Decrease) in Net
Assets Resulting from
Operations 4,317 8,829 2,954 7,209
-------------- -------------- -------------- --------------
Distributions From:
Net Investment Income (525) (513) (403) (262)
Net Short-Term Gains -- -- (300) --
Net Long-Term Gains (1,123) -- (691) --
-------------- -------------- -------------- --------------
Total Distributions (1,648) (513) (1,394) (262)
-------------- -------------- -------------- --------------
Capital Share Transactions (1):
Shares Issued 6,130 5,407 4,300 3,788
Shares Issued in Lieu of Cash
Distributions 1,648 513 1,394 262
Shares Redeemed (2,809) (4,724) (1,551) (3,657)
-------------- -------------- -------------- --------------
Net Increase (Decrease) from
Capital Share Transactions 4,969 1,196 4,143 393
-------------- -------------- -------------- --------------
Total Increase (Decrease) 7,638 9,512 5,703 7,340
NET ASSETS
Beginning of Period 33,700 24,188 21,814 14,474
-------------- -------------- -------------- --------------
End of Period $ 41,338 $ 33,700 $ 27,517 $ 21,814
============== ============== ============== ==============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 494 581 441 516
Shares Issued in Lieu of Cash
Distributions 144 62 158 44
Shares Redeemed (231) (501) (159) (499)
-------------- -------------- -------------- --------------
407 142 440 61
============== ============== ============== ==============
See accompanying Notes to Financial Statements.
41
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VA SHORT-TERM FIXED PORTFOLIO VA GLOBAL BOND PORTFOLIO
--------------------------------- ---------------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2004 2003 2004 2003
-------------- -------------- -------------- --------------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 212 $ 422 $ 518 $ 915
Net Realized Gain (Loss) on
Investment Securities Sold 26 305 (89) 1,232
Net Realized Gain (Loss) on
Foreign Currency Transactions -- -- 1 (49)
Change in Unrealized Appreciation
(Depreciation) of Investment Securities
and Foreign Currency (151) (212) (650) (982)
Translation of Foreign Currency
Denominated Amounts -- -- (16) 27
-------------- -------------- -------------- --------------
Net Increase (Decrease) in Net
Assets Resulting from
Operations 87 515 (236) 1,143
-------------- -------------- -------------- --------------
Distributions From:
Net Investment Income (409) (630) (891) (718)
Net Short-Term Gains (245) (376) (299) (179)
Net Long-Term Gains (58) -- (935) (118)
-------------- -------------- -------------- --------------
Total Distributions (712) (1,006) (2,125) (1,015)
-------------- -------------- -------------- --------------
Capital Share Transactions (1):
Shares Issued 10,780 11,164 10,485 9,338
Shares Issued in Lieu of Cash
Distributions 712 1,006 2,125 1,015
Shares Redeemed (3,907) (6,631) (2,723) (4,625)
-------------- -------------- -------------- --------------
Net Increase (Decrease) from
Capital Share Transactions 7,585 5,541 9,887 5,728
-------------- -------------- -------------- --------------
Total Increase (Decrease) 6,960 5,050 7,526 5,656
NET ASSETS
Beginning of Period 34,583 29,533 32,339 26,483
-------------- -------------- -------------- --------------
End of Period $ 41,543 $ 34,583 $ 39,865 $ 32,339
============== ============== ============== ==============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 1,060 1,085 994 855
Shares Issued in Lieu of Cash
Distributions 70 99 206 96
Shares Redeemed (384) (645) (261) (425)
-------------- -------------- -------------- --------------
746 539 939 526
============== ============== ============== ==============
See accompanying Notes to Financial Statements.
42
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
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VA SMALL VALUE PORTFOLIO
------------------------------------------------------------
SIX MONTHS YEAR YEAR
ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30,
2004 2003 2002
-----------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 15.02 $ 10.83 $ 11.45
--------------- --------------- ---------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- 0.02 0.03
Net Gains (Losses) on Securities
(Realized and Unrealized) 1.27 4.94 0.10
--------------- --------------- ---------------
Total from Investment Operations 1.27 4.96 0.13
-----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.02) (0.03) (0.07)
Net Realized Gains (1.44) (0.74) (0.68)
--------------- --------------- ---------------
Total Distributions (1.46) (0.77) (0.75)
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 14.83 $ 15.02 $ 10.83
=============================================================================================================================
Total Return 9.11%# 49.71% 0.91%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 54,877 $ 48,051 $ 32,142
Ratio of Expenses to Average Net
Assets 0.66%* 0.68% 0.67%
Ratio of Net Investment Income
to Average Net Assets 0.03%* 0.14% 0.32%
Portfolio Turnover Rate 18%# 40% 31%
-----------------------------------------------------------------------------------------------------------------------------
VA SMALL VALUE PORTFOLIO
------------------------------------------------------------
YEAR YEAR YEAR
ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30,
2001 2000 1999
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 11.01 $ 12.78 $ 13.11
--------------- --------------- ---------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.07 0.10 0.07
Net Gains (Losses) on Securities
(Realized and Unrealized) 2.31 0.58 0.76
--------------- --------------- ---------------
Total from Investment Operations 2.38 0.68 0.83
-----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.10) (0.07) (0.04)
Net Realized Gains (1.84) (2.38) (1.12)
--------------- --------------- ---------------
Total Distributions (1.94) (2.45) (1.16)
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 11.45 $ 11.01 $ 12.78
=============================================================================================================================
Total Return 25.51% 6.62% 7.10%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 25,115 $ 19,132 $ 19,088
Ratio of Expenses to Average Net
Assets 0.64% 0.68% 0.67%
Ratio of Net Investment Income
to Average Net Assets 0.63% 0.86% 0.51%
Portfolio Turnover Rate 19% 42% 47%
-----------------------------------------------------------------------------------------------------------------------------
VA LARGE VALUE PORTFOLIO
------------------------------------------------------------
SIX MONTHS YEAR YEAR
ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30,
2004 2003 2002
-----------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 12.59 $ 10.69 $ 12.68
--------------- --------------- ---------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.07 0.13 0.12
Net Gains (Losses) on Securities
(Realized and Unrealized) 1.11 1.90 (1.94)
--------------- --------------- ---------------
Total from Investment Operations 1.18 2.03 (1.82)
-----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.15) (0.13) (0.17)
Net Realized Gains -- -- --
--------------- --------------- ---------------
Total Distributions (0.15) (0.13) (0.17)
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 13.62 $ 12.59 $ 10.69
=============================================================================================================================
Total Return 9.38%# 19.21% (14.57)%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 61,060 $ 48,115 $ 37,790
Ratio of Expenses to Average Net
Assets 0.40%* 0.37% 0.40%
Ratio of Net Investment Income
to Average Net Assets 1.13%* 1.16% 1.15%
Portfolio Turnover Rate 2%# 7% 9%
-----------------------------------------------------------------------------------------------------------------------------
VA LARGE VALUE PORTFOLIO
------------------------------------------------------------
YEAR YEAR YEAR
ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30,
2001 2000 1999
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 13.02 $ 16.00 $ 16.51
--------------- --------------- ---------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.16 0.27 0.25
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.72 (0.14) 0.38
--------------- --------------- ---------------
Total from Investment Operations 0.88 0.13 0.63
-----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.27) (0.25) (0.07)
Net Realized Gains (0.95) (2.86) (1.07)
--------------- --------------- ---------------
Total Distributions (1.22) (3.11) (1.14)
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 12.68 $ 13.02 $ 16.00
=============================================================================================================================
Total Return 7.15% 1.52% 4.24%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 36,634 $ 30,396 $ 32,282
Ratio of Expenses to Average Net
Assets 0.41% 0.45% 0.43%
Ratio of Net Investment Income
to Average Net Assets 1.33% 2.02% 1.54%
Portfolio Turnover Rate 13% 29% 52%
-----------------------------------------------------------------------------------------------------------------------------
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
43
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VA INTERNATIONAL VALUE PORTFOLIO
------------------------------------------------------------
SIX MONTHS YEAR YEAR
ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30,
2004 2003 2002
-----------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 11.53 $ 8.70 $ 9.44
--------------- --------------- ---------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.15 0.20 0.17
Net Gains (Losses) on Securities
(Realized and Unrealized) 1.31 2.81 (0.69)
--------------- --------------- ---------------
Total from Investment Operations 1.46 3.01 (0.52)
-----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.18) (0.18) (0.19)
Net Realized Gains (0.39) -- (0.03)
--------------- --------------- ---------------
Total Distributions (0.57) (0.18) (0.22)
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 12.42 $ 11.53 $ 8.70
=============================================================================================================================
Total Return 13.13%# 35.49% (5.71)%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 41,338 $ 33,700 $ 24,188
Ratio of Expenses to Average Net
Assets 0.62%* 0.63% 0.63%
Ratio of Net Investment Income
to Average Net Assets 2.39%* 2.07% 1.82%
Portfolio Turnover Rate 5%# 21% 2%
-----------------------------------------------------------------------------------------------------------------------------
VA INTERNATIONAL VALUE PORTFOLIO
------------------------------------------------------------
YEAR YEAR YEAR
ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30,
2001 2000 1999
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 11.46 $ 12.73 $ 11.65
--------------- --------------- ---------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.20 0.12 0.20
Net Gains (Losses) on Securities
(Realized and Unrealized) (1.36) (0.29) 1.66
--------------- --------------- ---------------
Total from Investment Operations (1.16) (0.17) 1.86
-----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.22) (0.21) (0.21)
Net Realized Gains (0.64) (0.89) (0.57)
--------------- --------------- ---------------
Total Distributions (0.86) (1.10) (0.78)
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 9.44 $ 11.46 $ 12.73
=============================================================================================================================
Total Return (11.12)% (1.68)% 17.21%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 21,264 $ 21,032 $ 23,617
Ratio of Expenses to Average Net
Assets 0.64% 0.66% 0.65%
Ratio of Net Investment Income
to Average Net Assets 1.92% 1.71% 1.70%
Portfolio Turnover Rate 8% 7% 20%
-----------------------------------------------------------------------------------------------------------------------------
VA INTERNATIONAL SMALL PORTFOLIO
------------------------------------------------------------
SIX MONTHS YEAR YEAR
ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30,
2004 2003 2002
-----------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 9.19 $ 6.26 $ 6.40
--------------- --------------- ---------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.09 0.17 0.13
Net Gains (Losses) on Securities
(Realized and Unrealized) 1.09 2.87 (0.11)
--------------- --------------- ---------------
Total from Investment Operations 1.18 3.04 0.02
-----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.17) (0.11) (0.14)
Net Realized Gains (0.42) -- (0.02)
--------------- --------------- ---------------
Total Distributions (0.59) (0.11) (0.16)
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 9.78 $ 9.19 $ 6.26
=============================================================================================================================
Total Return 13.46%# 49.54% 0.27%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 27,517 $ 21,814 $ 14,474
Ratio of Expenses to Average Net
Assets 0.75%* 0.78% 0.77%
Ratio of Net Investment Income
to Average Net Assets 2.06%* 1.92% 1.70%
Portfolio Turnover Rate 2%# 27% 6%
-----------------------------------------------------------------------------------------------------------------------------
VA INTERNATIONAL SMALL PORTFOLIO
------------------------------------------------------------
YEAR YEAR YEAR
ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30,
2001 2000 1999
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 7.64 $ 8.31 $ 7.78
--------------- --------------- ---------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.17 0.15 0.12
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.58) (0.53) 1.04
--------------- --------------- ---------------
Total from Investment Operations (0.41) (0.38) 1.16
-----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.20) (0.19) (0.13)
Net Realized Gains (0.63) (0.10) (0.50)
--------------- --------------- ---------------
Total Distributions (0.83) (0.29) (0.63)
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 6.40 $ 7.64 $ 8.31
=============================================================================================================================
Total Return (6.17)% (4.81)% 16.44%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 11,783 $ 11,367 $ 13,308
Ratio of Expenses to Average Net
Assets 0.77% 0.80% 0.79%
Ratio of Net Investment Income
to Average Net Assets 2.07% 1.95% 1.53%
Portfolio Turnover Rate 8% 12% 14%
-----------------------------------------------------------------------------------------------------------------------------
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
44
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VA SHORT-TERM FIXED PORTFOLIO
------------------------------------------------------------
SIX MONTHS YEAR YEAR
ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30,
2004 2003 2002
-----------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 10.31 $ 10.50 $ 10.58
--------------- --------------- ---------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.06 0.13 0.24
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.03) 0.03 0.11
--------------- --------------- ---------------
Total from Investment Operations 0.03 0.16 0.35
-----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.12) (0.22) (0.42)
Net Realized Gains (0.09) (0.13) (0.01)
--------------- --------------- ---------------
Total Distributions (0.21) (0.35) (0.43)
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 10.13 $ 10.31 $ 10.50
=============================================================================================================================
Total Return 0.31%# 1.60% 3.37%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 41,543 $ 34,583 $ 29,533
Ratio of Expenses to Average Net
Assets 0.35%* 0.36% 0.37%
Ratio of Net Investment Income
to Average Net Assets 1.13%* 1.31% 2.37%
Portfolio Turnover Rate 68%# 160% 145%
-----------------------------------------------------------------------------------------------------------------------------
VA SHORT-TERM FIXED PORTFOLIO
------------------------------------------------------------
YEAR YEAR YEAR
ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30,
2001 2000 1999
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 10.58 $ 10.42 $ 10.09
--------------- --------------- ---------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.45 0.59 0.46
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.15 0.04 (0.02)
--------------- --------------- ---------------
Total from Investment Operations 0.60 0.63 0.44
-----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.60) (0.47) (0.10)
Net Realized Gains -- -- (0.01)
--------------- --------------- ---------------
Total Distributions (0.60) (0.47) (0.11)
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 10.58 $ 10.58 $ 10.42
=============================================================================================================================
Total Return 6.02% 6.30% 4.39%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 23,476 $ 20,409 $ 22,135
Ratio of Expenses to Average Net
Assets 0.38% 0.40% 0.40%
Ratio of Net Investment Income
to Average Net Assets 4.40% 5.72% 4.91%
Portfolio Turnover Rate 71% 33% 30%
-----------------------------------------------------------------------------------------------------------------------------
VA GLOBAL BOND PORTFOLIO
------------------------------------------------------------
SIX MONTHS YEAR YEAR
ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30,
2004 2003 2002
-----------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 10.95 $ 10.91 $ 10.67
--------------- --------------- ---------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.13 0.31 0.33
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.12) 0.14 0.38
--------------- --------------- ---------------
Total from Investment Operations 0.01 0.45 0.71
-----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.30) (0.29) (0.39)
Net Realized Gains (0.41) (0.12) (0.08)
--------------- --------------- ---------------
Total Distributions (0.71) (0.41) (0.47)
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 10.25 $ 10.95 $ 10.91
=============================================================================================================================
Total Return 0.04%# 4.29% 7.05%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 39,865 $ 32,339 $ 26,483
Ratio of Expenses to Average Net
Assets 0.43%* 0.43% 0.46%
Ratio of Net Investment Income
to Average Net Assets 2.87%* 3.09% 3.96%
Portfolio Turnover Rate 39%# 107% 82%
-----------------------------------------------------------------------------------------------------------------------------
VA GLOBAL BOND PORTFOLIO
------------------------------------------------------------
YEAR YEAR YEAR
ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30,
2001 2000 1999
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 10.68 $ 10.69 $ 10.30
--------------- --------------- ---------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.41 0.78 0.36
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.32 (0.18) 0.04
--------------- --------------- ---------------
Total from Investment Operations 0.73 0.60 0.40
-----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.74) (0.59) (0.01)
Net Realized Gains -- (0.02) --
--------------- --------------- ---------------
Total Distributions (0.74) (0.61) (0.01)
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 10.67 $ 10.68 $ 10.69
=============================================================================================================================
Total Return 7.29% 5.89% 3.85%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 20,852 $ 16,237 $ 13,153
Ratio of Expenses to Average Net
Assets 0.43% 0.47% 0.49%
Ratio of Net Investment Income
to Average Net Assets 4.09% 4.35% 3.74%
Portfolio Turnover Rate 159% 85% 44%
-----------------------------------------------------------------------------------------------------------------------------
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
45
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end
management investment company. The Fund consists of thirty-six portfolios, six
of which (the "VA Portfolios") are included in this report. Thirty portfolios
are presented in separate reports. The VA Portfolios are only available through
a select group of insurance products.
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. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America 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 VA Small Value Portfolio and VA
Large Value Portfolio (the "Domestic Equity Portfolios") which are listed on a
securities exchange and for which market quotations are readily available are
valued at the last quoted sale price of the day. Securities held by the
portfolios that are listed on Nasdaq are valued at the Nasdaq Official Closing
Price ("NOCP"). If there is no last reported sale price or NOCP for the day, the
Portfolios value the securities at the mean between the quoted bid and asked
prices. Securities held by VA International Value Portfolio and VA International
Small Portfolio (the "International Equity Portfolios") which are listed on a
securities exchange are valued at the last quoted sale price. Price information
on listed securities is taken from the exchange where the security is primarily
traded.
The International Equity Portfolios will also apply a fair value price in
the circumstances described below. Generally, trading in foreign securities
markets is completed each day at various times prior to the close of the New
York Stock Exchange (NYSE). For example, trading in the Japanese securities
markets is completed each day at the close of the Tokyo Stock Exchange
(generally 11:00 p.m. PT), which is fourteen hours prior to the close of the New
York Stock Exchange (NYSE) (generally 1:00 p.m. PT) and the time that the net
asset values of the International Equity Portfolios are computed. Due to the
time differences between the closings of the relevant foreign securities
exchanges and the time the International Equity Portfolios price their shares at
the close of the NYSE, the International Equity Portfolios will fair value their
foreign investments when it is determined that the market quotations for the
foreign investments are either unreliable or not readily available. The fair
value prices will attempt to reflect the impact of the U.S. financial markets'
perceptions and trading activities on the International Equity Portfolios'
foreign investments since the last closing prices of the foreign investments
were calculated on their primary foreign securities markets or exchanges. For
these purposes, the Board of Directors of the Funds have determined that
movements in relevant indices or other appropriate market indicators, after the
close of the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that
market quotations may be unreliable, and may trigger fair value pricing.
Consequently, fair valuation of portfolio securities may occur on a daily basis.
The fair value pricing by the International Equity Portfolios utilizes data
furnished by an independent pricing service (and that data draws upon, among
other information, the market values of foreign investments). The fair value
prices of portfolio securities generally will be used when it is determined that
the use of such prices will have a material impact on the net asset value of a
fund. When an International Equity Portfolio uses fair value pricing, the values
assigned to the International Equity Portfolio's foreign investments may not be
the quoted or published prices of the investments on their primary markets or
exchanges.
46
Unlisted securities for which market quotations are readily available are
valued at the mean between the most recent bid and asked prices. Securities for
which quotations are not readily available, or for which market quotations have
become unreliable, are valued in good faith at fair value using methods approved
by the Board of Directors.
Securities held by VA Short-Term Fixed Portfolio and VA Global Bond
Portfolio are valued on the basis of prices provided by a pricing service when
such prices are believed to reflect the fair market value of such securities.
Securities for which quotations are not readily available are valued in good
faith at fair value using methods approved by the Board of Directors.
2. FOREIGN CURRENCY: Securities and other assets and liabilities of the
International Equity Portfolios and VA Global Bond Portfolio whose values are
initially expressed in foreign currencies are translated to U.S. dollars using
the mean betwen the most recently quoted bid and asked prices for the U.S.
dollar as quoted by generally recognized reliable sources. Dividend and interest
income and certain expenses are translated to U.S. dollars at the rate of
exchange on their respective accrual dates. Receivables and payables denominated
in foreign currencies are marked to market daily based on daily exchange rates
and exchange gains or losses are realized upon ultimate receipt or disbursement.
VA Global Bond Portfolio also enters into forward foreign currency contracts
solely for the purpose of hedging against fluctuations in currency exchange
rates. These contracts are also marked to market daily based on daily exchange
rates.
The International Equity Portfolios do not isolate the effect of
fluctuations in foreign exchange rates from the effect of fluctuations in the
market prices of securities whether realized or unrealized. However, VA Global
Bond Portfolio does isolate the effect of fluctuations in foreign currency rates
when determining the gain or loss upon the sale or maturity of foreign currency
denominated debt obligations pursuant to U.S. Federal income tax regulations;
such amounts are categorized as foreign exchange gain or loss for both financial
reporting and income tax reporting purposes.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amount of interest,
dividends and foreign withholding taxes recorded on the books of the
International Equity Portfolios and VA Global Bond Portfolio and the U.S. dollar
equivalent amounts actually received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Directors may defer payment of a
percentage of their total fees earned as a Director. These deferred amounts may
be treated as though such amounts had been invested in shares of the following
funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA
International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income are included in Directors'
Fees and Expenses.
4. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on the accrual basis. Discount and premium on debt securities
purchased are amortized over the lives of the respective securities. Expenses
directly attributable to a VA Portfolio are directly charged. Common expenses of
the Fund or Porfolios are allocated using methods approved by the Board of
Directors, generally based on average net assets.
The International Equity Portfolios may be subject to taxes imposed by
countries in which they invest, with respect to their investments in issues
existing or operating in such countries. Such taxes are generally based on
income earned or repatriated and capital gains realized on the sale of such
investments. The International Equity Portfolios accrue such taxes when the
related income or capital gains are earned. Some countries require governmental
approval for the repatriation of investment income, capital or the proceeds of
sales earned by foreign investors. In addition, if there is a deterioration in a
country's balance of payments or for other reasons, a country may impose
temporary restrictions on foreign capital remittances abroad.
47
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or "the Advisor") provides
investment advisory services to the VA Portfolios. For the six months ended May
31, 2004, the VA Portfolios' advisory fees were accrued daily and paid monthly
to the Advisor based on the following effective annual rates:
· Download Table
VA Small Value Portfolio 0.50 of 1%
VA Large Value Portfolio 0.25 of 1%
VA International Value Portfolio 0.40 of 1%
VA International Small Portfolio 0.50 of 1%
VA Short-Term Fixed Portfolio 0.25 of 1%
VA Global Bond Portfolio 0.25 of 1%
Certain officers of the VA Portfolios are also officers, directors and
shareholders of the Advisor.
D. DEFERRED COMPENSATION:
At May 31, 2004, the total liability for deferred compensation to
Directors is included in Accrued Expenses and Other Liabilities as follows:
· Download Table
VA Small Value Portfolio $ 741
VA Large Value Portfolio 772
VA International Value Portfolio 534
VA International Small Portfolio 353
VA Short-Term Fixed Portfolio 517
VA Global Bond Portfolio 497
E. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 2004, the VA Portfolios made the
following purchases and sales of investment securities other than U.S.
Government Securities and short-term securities (amounts in thousands):
· Enlarge/Download Table
U.S. GOVERNMENT OTHER INVESTMENT
SECURITIES SECURITIES
----------------------------------- -----------------------------------
PURCHASES SALES PURCHASES SALES
--------------- --------------- --------------- ---------------
VA Small Value Portfolio -- -- $ 11,083 $ 9,124
VA Large Value Portfolio -- -- 10,199 1,106
VA International Value Portfolio -- -- 5,939 1,768
VA International Small Portfolio -- -- 16,077 425
VA Short-Term Fixed Portfolio $ 10,309 $ 4,453 8,208 10,273
VA Global Bond Portfolio 9,181 4,167 11,546 9,596
F. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since it is each
Portfolio's intention 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.
48
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
At May 31, 2004, gross unrealized appreciation and depreciation for
federal income tax purposes of investment securities and foreign currencies was
as follows (amounts in thousands):
· Enlarge/Download Table
GROSS UNREALIZED GROSS UNREALIZED
APPRECIATION DEPRECIATION NET
---------------- ---------------- ---------------
VA Small Value Portfolio $ 12,746 $ (4,173) $ 8,573
VA Large Value Portfolio 11,418 (5,839) 5,579
VA International Value Portfolio 8,494 (3,470) 5,024
VA International Small Portfolio 7,011 (3,728) 3,283
VA Short-Term Fixed Portfolio 5 (228) (223)
VA Global Bond Portfolio 70 (994) (924)
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at November 30, its fiscal year end. As of May 31, 2004,
the following Portfolio had capital loss carryforwards for federal income tax
purposes (amounts in thousands):
· Enlarge/Download Table
EXPIRES ON NOVEMBER 30,
---------------------------------------------------------------------------
2009 2010 2011 TOTAL
--------------- --------------- --------------- ---------------
VA Large Value Portfolio $ 568 $ 1,561 $ 380 $ 2,509
Certain of the Portfolio's investments are in securities considered to be
"passive foreign investment companies", for which any unrealized
appreciation/(depreciation) (mark to market) and/or realized gains are required
to be included in distributable net investment income for tax purposes. During
the year ended November 30, 2003, the following Portfolio's had unrealized
appreciation/(depreciation) (mark to market) and realized gains on the sale of
passive foreign investment investment companies, which are included in
distributable net investment income for tax purposes, accordingly, such gains
have been reclassified from accumulated net realized gains to accumulated net
investment income.
· Download Table
MARK TO MARKET REALIZED GAINS
--------------- ---------------
VA International Value Portfolio $ 50,446 $ 99,124
VA International Small Portfolio 80,584 105,625
G. FINANCIAL INSTRUMENTS:
In accordance with the VA Portfolios' Investment Objectives and Policies,
the VA Portfolios may invest in certain financial instruments which have
off-balance sheet risk and concentrations of credit risk. These instruments and
their significant corresponding risks are described below:
1. REPURCHASE AGREEMENTS: The VA Portfolios may purchase money market
instruments subject to the counterparty's agreement to repurchase them at an
agreed upon date and price. The counterparty will be required on a daily basis
to maintain the value of the collateral subject to the agreement at not less
than the repurchase price (including accrued interest). The agreements are
conditioned upon the collateral being deposited under the Federal Reserve
book-entry system with The VA Portfolio's custodian or a third party
sub-custodian. In the event of default or bankruptcy by the other party to the
agreement, retention of the collateral may be subject to legal proceedings. All
open repurchase agreements were entered into on May 28, 2004.
2. FOWARD CURRENCY CONTRACTS: VA Global Bond Portfolio may enter into
forward foreign currency contracts only to hedge against adverse changes in the
relationship of the U.S. dollar to foreign currencies. At May 31, 2004, VA
Global Bond Portfolio had entered into the following contract and the net
unrealized foreign exchange loss is reflected in the accompanying financial
statements:
· Enlarge/Download Table
UNREALIZED
FOREIGN
SETTLEMENT CONTRACT VALUE AT EXCHANGE
DATE CURRENCY SOLD AMOUNT MAY 31, 2004 GAIN (LOSS)
--------- ------------------------------- ------------- ------------- -----------
06/28/04 8,700,883 Swedish Krona $ 1,149,474 $ 1,166,062 $ (16,588)
49
Risks may arise upon entering into these contracts from the potential
inability of the counter-parties to meet the terms of their contracts and from
unanticipated movements in the value of foreign currency relative to the U.S.
dollar and are generally limited to unrealized appreciation, if any, on the
contracts.
3. FOREIGN MARKETS RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States, including the possibility of future political and economic
developments and the level of foreign governmental supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid and
more volatile than the major securities markets in the United States.
Consequently, acquisition and disposition of securities by the Fund may be
inhibited.
H. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2003
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. For the six months ended May 31, 2004 borrowings under
the discretionary line of credit were as follows:
· Enlarge/Download Table
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING
INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED THE PERIOD
------------- ------------ ----------- -------- ----------------
VA International Value Portfolio 1.74% $ 22,000 1 $ 1 $ 22,000
There were no outstanding borrowings under the line of credit at May 31,
2004.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
2004 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. There is no commitment fee on
the unused line of credit. The agreement for the line of credit expires in April
2005. There were no borrowings by the VA Portfolios under the line of credit
during the six months ended May 31, 2004.
I. COMPONENTS OF NET ASSETS:
At May 31, 2004 net assets consisted of (amounts in thousands):
· Enlarge/Download Table
VA
VA SMALL VA LARGE INTERNATIONAL
VALUE VALUE VALUE
PORTFOLIO PORTFOLIO PORTFOLIO
--------------- --------------- ---------------
Paid-in Capital $ 42,363 $ 57,191 $ 35,142
Accumulated Net Investment Income (Loss) (10) 230 278
Accumulated Net Realized Gain (Loss) 3,940 (1,940) 892
Unrealized Appreciation (Depreciation) of Investment Securities and
Foreign Currency 8,584 5,579 5,025
Unrealized Net Foreign Exchange Gain (Loss) -- -- 1
--------------- --------------- ---------------
$ 54,877 $ 61,060 $ 41,338
=============== =============== ===============
50
· Enlarge/Download Table
VA
INTERNATIONAL VA SHORT- VA GLOBAL
SMALL TERM FIXED BOND
PORTFOLIO PORTFOLIO PORTFOLIO
--------------- --------------- ---------------
Paid-In Capital $ 23,906 $ 41,593 $ 40,452
Accumulated Net Investment Income (Loss) 77 145 444
Accumulated Net Realized Gain (Loss) 246 28 (92)
Accumulated Net Realized Foreign Exchange Gain (Loss) 3 -- 1
Unrealized Appreciation (Depreciation) of Investment Securities and
Foreign Currency 3,284 (223) (924)
Unrealized Net Foreign Exchange Gain (Loss) 1 -- (16)
--------------- --------------- ---------------
$ 27,517 $ 41,543 $ 39,865
=============== =============== ===============
J. SECURITIES LENDING:
As of May 31, 2004, some of the Fund's portfolios had securities on loan
to broker/dealers, for which each portfolio held cash collateral. Each portfolio
invests the cash collateral, as described below, and records a liability for the
return of the collateral, during the period the securities are on loan. Loans of
securities are required at all times to be secured by collateral at least equal
to 100% of the market value of the securities on loan. However, in the event of
default or bankruptcy by the other party to the agreement, realization and/or
retention of the collateral may be subject to legal proceedings. In the event
that the borrower fails to return loaned securities, and cash collateral being
maintained by the borrower is insufficient to cover the value of loaned
securities and provided such collateral insufficiency is not the result of
investment losses, PNCBank, National Association, the lending agent, has agreed
to pay the amount of the shortfall to the portfolio or, at the option of the
lending agent, to replace the securities.
Cash collateral of each Portfolio received from securities on loan is
invested along with cash collateral from the other Portfolios in repurchase
agreements collateralized by U.S. government securities. These investments are
accounted for separately for each Portfolio. Securities pledged as collateral
for the repurchase agreements are held by a custodian bank until the agreements
mature.
51
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the VA Portfolios use in
voting proxies relating to securities held in their portfolio's is available
without charge, upon request, by calling collect: (310) 395-8005. Information
regarding how the Advisor votes these proxies will become available from the
EDGAR database on the SEC's website at http://www.sec.gov no later than August
31, 2004 when the Fund files its first report on Form N-PX and will reflect the
twelve-month period beginning July 1, 2003 and ending June 30, 2004.
52
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================================================================================
DFA Investment Dimensions Group Inc.
Dimensional Investment Group Inc.
The DFA Investment Trust Company
SEMI-ANNUAL REPORT
Six Months Ended May 31, 2004
(Unaudited)
================================================================================
DFA INVESTMENT DIMENSIONS GROUP INC.
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
· Download Table
PAGE
----
Schedules of Investments
U.S. Large Company Portfolio 1
Enhanced U.S. Large Company Portfolio 1
U.S. Large Cap Value Portfolio 1
U.S. Small XM Value Portfolio 1
U.S. Small Cap Value Portfolio 2
U.S. Small Cap Portfolio 2
U.S. Micro Cap Portfolio 2
DFA Real Estate Securities Portfolio 3
Large Cap International Portfolio 5
International Small Company Portfolio 19
Japanese Small Company Portfolio 19
Pacific Rim Small Company Portfolio 20
United Kingdom Small Company Portfolio 20
Continental Small Company Portfolio 20
DFA International Small Cap Value Portfolio 21
Emerging Markets Portfolio 46
Emerging Markets Small Cap Portfolio 46
DFA One-Year Fixed Income Portfolio 46
DFA Two-Year Global Fixed Income Portfolio 46
DFA Five-Year Government Portfolio 47
DFA Five-Year Global Fixed Income Portfolio 48
DFA Intermediate Government Fixed Income Portfolio 50
DFA Short-Term Municipal Bond Portfolio 51
Statements of Assets and Liabilities 56
Statements of Operations 59
Statements of Changes in Net Assets 65
Financial Highlights 71
Notes to Financial Statements 83
Voting Proxies on Fund Portfolio Securities 282
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
· Download Table
PAGE
----
Statement of Assets and Liabilities 94
Statement of Operations 95
Statements of Changes in Net Assets 96
Financial Highlights 97
Notes to Financial Statements 98
Voting Proxies on Fund Portfolio Securities 282
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
ii
THE DFA INVESTMENT TRUST COMPANY
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
· Download Table
PAGE
----
Schedules of Investments
The U.S. Large Company Series 100
The Enhanced U.S. Large Company Series 105
The U.S. Large Cap Value Series 107
The U.S. Small XM Value Series 110
The U.S. Small Cap Value Series 115
The U.S. Small Cap Series 129
The U.S. Micro Cap Series 157
The DFA International Value Series 180
The Japanese Small Company Series 188
The Pacific Rim Small Company Series 199
The United Kingdom Small Company Series 209
The Continental Small Company Series 215
The Emerging Markets Series 230
The Emerging Markets Small Cap Series 237
The DFA One-Year Fixed Income Series 252
The DFA Two-Year Global Fixed Income Series 254
Statements of Assets and Liabilities 256
Statements of Operations 258
Statements of Changes in Net Assets 262
Financial Highlights 266
Notes to Financial Statements 274
Voting Proxies on Fund Portfolio Securities 282
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
iii
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DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULES OF INVESTMENTS
U.S. LARGE COMPANY PORTFOLIO
MAY 31, 2004
(UNAUDITED)
· Download Table
VALUE+
------
Investment in The U.S. Large Company Series of The DFA
Investment Trust Company $ 1,232,707,564
---------------
Total Investments (100%) (Cost $1,025,889,393)++ $ 1,232,707,564
===============
----------
++The cost for federal income tax purposes is $1,075,973,554.
ENHANCED U.S. LARGE COMPANY PORTFOLIO
MAY 31, 2004
(UNAUDITED)
· Enlarge/Download Table
SHARES VALUE+
------ ------
Investment in The Enhanced U.S. Large Company Series of The DFA
Investment Trust Company 20,467,890 $ 172,544,313
---------------
Total Investments (100%) (Cost $157,037,954)++ $ 172,544,313
===============
----------
++The cost for federal income tax purposes is $190,773,152.
U.S. LARGE CAP VALUE PORTFOLIO
MAY 31, 2004
(UNAUDITED)
· Enlarge/Download Table
SHARES VALUE+
------ ------
Investment in The U.S. Large Cap Value Series of The DFA
Investment Trust Company 126,917,987 $ 2,138,568,081
---------------
Total Investments (100%) (Cost $1,725,779,400)++ $ 2,138,568,081
===============
----------
++The cost for federal income tax purposes is $1,835,185,574.
U.S. SMALL XM VALUE PORTFOLIO
MAY 31, 2004
(UNAUDITED)
· Download Table
SHARES VALUE+
------ ------
Investment in The U.S. Small XM Value Series of The DFA
Investment Trust Company 11,783,393 $ 131,502,666
---------------
Total Investments (100%) (Cost $111,003,088)++ $ 131,502,666
===============
----------
++The cost for federal income tax purposes is $113,269,308.
----------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
1
U.S. SMALL CAP VALUE PORTFOLIO
MAY 31, 2004
(UNAUDITED)
· Enlarge/Download Table
SHARES VALUE+
------ ------
Investment in The U.S. Small Cap Value Series of The DFA
Investment Trust Company 232,310,192 $ 4,769,328,242
---------------
Total Investments (100%) (Cost $3,389,867,400)++ $ 4,769,328,242
===============
----------
++The cost for federal income tax purposes is $3,555,737,377.
U.S. SMALL CAP PORTFOLIO
MAY 31, 2004
(UNAUDITED)
· Download Table
SHARES VALUE+
------ ------
Investment in The U.S. Small Cap Series of The DFA
Investment Trust Company 104,889,996 $ 1,524,051,642
---------------
Total Investments (100%) (Cost $1,238,856,568)++ $ 1,524,051,642
===============
----------
++The cost for federal income tax purposes is $1,307,733,543.
U.S. MICRO CAP PORTFOLIO
MAY 31, 2004
(UNAUDITED)
· Download Table
SHARES VALUE+
------ ------
Investment in The U.S. Micro Cap Series of The DFA
Investment Trust Company 254,180,878 $ 2,737,528,056
---------------
Total Investments (100%) (Cost $1,815,025,357)++ $ 2,737,528,056
===============
----------
++The cost for federal income tax purposes is $1,912,334,161.
----------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
2
DFA REAL ESTATE SECURITIES PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
· Download Table
SHARES VALUE+
------ ------
COMMON STOCKS -- (95.4%)
Acadia Realty Trust 138,000 $ 1,766,400
Agree Realty Corp. 32,200 782,460
* Alexander's, Inc. 11,900 1,917,090
# Alexandria Real Estate Equities, Inc. 96,900 5,324,655
AMB Property Corp. 412,500 13,633,125
American Land Lease Inc. 34,800 636,840
* American Real Estate Partners, L.P. 19,400 354,050
* American Spectrum Realty, Inc. 1,200 10,500
AmeriVest Properties, Inc. 91,500 553,575
AMLI Residential Properties Trust 107,300 2,976,502
Apartment Investment &
Management Co. Class A 214,000 6,180,320
# Archstone-Smith Trust 956,755 27,793,733
Arden Realty Group, Inc. 321,000 9,517,650
Associated Estates Realty Corp. 95,400 763,200
AvalonBay Communities, Inc. 350,700 19,095,615
Bedford Property Investors, Inc. 80,900 2,380,887
BNP Residential Properties, Inc. 24,600 314,880
Boston Properties, Inc. 521,600 25,746,176
* Boykin Lodging Trust, Inc. 87,100 638,443
# Brandywine Realty Trust 225,300 6,060,570
BRE Properties, Inc. Class A 245,600 8,497,760
* Burnham Pacific Properties, Inc. 82,100 10,139
Camden Property Trust 194,100 9,066,411
Capital Automotive 177,286 4,875,365
Carramerica Realty Corp. 259,500 7,608,540
CBL & Associates Properties, Inc. 150,200 8,008,664
# Centerpoint Properties Corp. 115,000 8,469,750
# Chelsea Property Group Inc. 216,200 11,886,676
Colonial Properties Trust 131,000 5,034,330
# Commercial Net Lease Realty, Inc. 249,775 4,263,659
Cornerstone Realty Income Trust, Inc. 276,100 2,266,781
Corporate Office Properties Trust 151,600 3,517,120
Cousins Properties, Inc. 237,700 7,437,633
Crescent Real Estate Equities, Inc. 486,300 8,169,840
Developers Diversified Realty Corp. 425,099 14,619,155
Duke Realty Investments, Inc. 677,000 21,907,720
Eastgroup Properties, Inc. 102,100 3,241,675
Entertainment Properties Trust 101,300 3,646,800
Equity Inns, Inc. 222,700 1,964,214
Equity Office Properties Trust 1,975,163 53,230,643
Equity One, Inc. 340,976 6,069,373
Equity Residential Corp. 1,372,900 40,418,176
# Essex Property Trust 112,000 7,341,600
Federal Realty Investment Trust 241,700 9,643,830
* Felcor Lodging Trust, Inc. 289,800 3,083,472
# First Industrial Realty Trust, Inc. 201,300 7,214,592
* First Union Real Estate Equity &
Mortgage Investments 106,100 319,361
* Five Star Quality Care, Inc. 40,830 159,237
Gables Residential Trust 143,200 4,833,000
General Growth Properties 1,067,000 31,348,460
Glenborough Realty Trust, Inc. 153,200 2,912,332
Glimcher Realty Trust 171,500 3,829,595
* Golf Trust America, Inc. 37,800 83,916
Heritage Property Investment Trust 227,900 $ 6,139,626
Hersha Hospitality Trust 53,500 532,860
Highwood Properties, Inc. 262,400 5,964,352
* HMG Courtland Properties, Inc. 2,400 21,840
Home Properties of New York, Inc. 160,090 6,336,362
Hospitality Properties Trust 329,200 13,474,156
* Host Marriott Corp. 1,570,800 19,258,008
HRPT Properties Trust 857,100 8,442,435
Humphrey Hospitality Trust 48,600 203,974
Innkeepers USA Trust 183,100 1,642,407
Jameson Inns, Inc. 61,042 159,930
Keystone Property Trust 129,900 3,107,208
# Kilroy Realty Corp. 137,800 4,701,736
# Kimco Realty Corp. 542,650 24,934,767
Koger Equity, Inc. 121,500 2,697,300
Kramont Realty Trust 116,700 1,881,204
* La Quinta Corp. 859,100 6,434,659
Lasalle Hotel Properties Trust 122,600 2,960,790
Lexington Corporate Properties Trust 214,400 4,105,760
# Liberty Property Trust 412,700 16,462,603
Macerich Co. 288,700 13,063,675
Mack-California Realty Corp. 296,600 11,852,136
Maguire Properties, inc. 198,900 4,892,940
Malan Realty Investors, Inc. 19,100 91,298
Manufactured Home Communities, Inc. 110,300 3,424,815
Maxus Realty Trust, Inc. 1,700 19,831
* Meristar Hospitality Corp. 63,700 404,495
Mid-America Apartment
Communities, Inc. 97,100 3,425,688
Mills Corp. 260,600 11,453,370
Mission West Properties, Inc. 85,700 1,039,541
Monmouth Real Estate Investment
Corp. Class A 77,525 573,685
# New Plan Excel Realty Trust, Inc. 487,600 11,609,756
One Liberty Properties, Inc. 46,000 825,700
Pan Pacific Retail Properties, Inc. 197,731 9,095,626
* Paragon Real Estate &
Investment Trust 10,700 2,033
Parkway Properties, Inc. 53,600 2,146,680
Pennsylvania Real Estate
Investment Trust 175,481 5,843,517
* Philips International Realty
Corp. 14,400 6,336
# Post Properties, Inc. 200,500 5,834,550
Prentiss Properties Trust 217,100 7,164,300
Presidential Realty Corp. Class B 2,100 15,299
Price Legacy Corp. 32,217 591,504
* Prime Group Realty Trust 116,000 610,160
ProLogis 884,600 28,360,276
PS Business Parks, Inc. 105,500 4,082,850
Public Storage, Inc. 628,800 28,918,512
Ramco-Gershenson Properties Trust 81,900 1,981,980
# Realty Income Corp. 191,200 7,638,440
Reckson Associates Realty Corp. 322,301 8,386,272
Regency Centers Corp. 165,900 6,685,770
Roberts Realty Investment 13,100 122,878
3
· Enlarge/Download Table
SHARES VALUE+
------ ------
Rouse Co. 492,700 $ 22,491,755
Saul Centers, Inc. 77,700 2,296,035
Senior Housing Properties Trust 310,900 5,061,452
Shurgard Storage Centers, Inc. Class A 223,600 8,385,000
Simon Property Group, Inc. 989,800 51,043,986
Sizeler Property Investors, Inc. 64,300 589,631
SL Green Realty Corp. 188,900 8,594,950
Sovran Self Storage, Inc. 71,000 2,670,310
Summit Properties, Inc. 166,600 3,860,122
Sun Communities, Inc. 93,300 3,450,234
Tanger Factory Outlet Centers, Inc. 64,600 2,507,772
* Tarragon Realty Investors, Inc. 54,338 760,732
Taubman Centers, Inc. 243,700 5,434,510
Town & Country Trust 84,600 2,058,318
Trizec Properties, Inc. 732,700 12,096,877
U.S. Restaurant Properties, Inc. 108,500 1,722,980
United Dominion Realty Trust, Inc. 624,900 12,460,506
United Mobile Homes, Inc. 40,500 536,625
Urstadt Biddle Properties Class A 89,700 1,237,860
Urstadt Biddle Properties, Inc. 19,800 267,696
Vornado Realty Trust 615,600 33,642,540
Washington Real Estate Investment Trust 203,900 5,764,253
Weingarten Realty Investors 419,300 12,985,721
Winston Hotels, Inc. 127,300 1,187,709
---------------
TOTAL COMMON STOCKS
(Cost $766,131,846) 942,159,954
---------------
FACE
AMOUNT
------
(000)
TEMPORARY CASH INVESTMENTS -- (4.6%)
Repurchase Agreement, PNC Capital Markets, Inc.
0.89%, 06/01/04 (Collateralized by $10,168,000 FHLB
Discount Notes 1.625%, 06/15/05, valued at $10,206,638)
to be repurchased at $10,001,989
(Cost $10,001,000) $ 10,001 10,001,000
Repurchase Agreement, Merrill Lynch Triparty
Repo 0.96%, 06/01/04 (Collateralized by
$35,445,000 U.S. Treasury Obligations 2.125%, 08/31/04,
valued at $35,726,762) to be repurchased at $35,026,686
(Cost $35,022,950)^ 35,023 35,022,950
---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $45,023,950) 45,023,950
---------------
TOTAL INVESTMENTS (100.0%)
(Cost $811,155,796)++ $ 987,183,904
===============
----------
+ 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 $812,245,002.
See accompanying Notes to Financial Statements.
4
LARGE CAP INTERNATIONAL PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
· Download Table
SHARES VALUE+
------ ------
UNITED KINGDOM -- (22.4%)
COMMON STOCKS -- (21.8%)
3I Group P.L.C. 46,244 $ 519,059
Abbey National P.L.C. 113,033 930,477
Aegis Group P.L.C. 83,410 134,961
Aggregate Industries P.L.C. 102,663 158,646
Aggreko P.L.C. 20,000 54,875
Alliance & Leicester P.L.C. 39,509 597,705
Alliance Unichem P.L.C. 36,707 425,655
Allied Domecq P.L.C. 86,312 717,778
Amec P.L.C. 20,420 100,316
Amvescap P.L.C. 72,635 487,298
Antofagasta P.L.C. 18,852 311,463
Arm Holdings P.L.C. 81,867 176,150
Arriva P.L.C. 14,532 103,890
Associated British Foods P.L.C. 105,111 1,234,381
Associated British Ports Holdings
P.L.C. 25,743 206,433
Aviva P.L.C. 181,082 1,767,893
* AWG P.L.C. 11,429 128,663
BAA P.L.C. 85,607 854,008
BAE Systems P.L.C. 244,805 923,606
Balfour Beatty P.L.C. 31,669 145,027
Barclays P.L.C. 518,582 4,529,560
Barratt Developments P.L.C. 18,632 196,042
BBA Group P.L.C. 33,869 157,722
Bellway P.L.C. 8,267 114,434
Berkeley Group P.L.C. 10,535 178,027
BG Group P.L.C. 282,618 1,721,754
BHP Billiton P.L.C. 197,451 1,662,400
BOC Group P.L.C. 37,915 619,229
Boots Group P.L.C. 61,958 746,330
BP Amoco P.L.C. 1,755,679 15,336,949
BPB P.L.C. 38,502 274,542
Bradford & Bingley P.L.C. 50,958 259,587
Brambles Industries P.L.C. 56,451 219,350
* British Airways P.L.C. 144,628 672,133
British American Tobacco P.L.C. 215,156 3,154,686
British Land Co. P.L.C. 38,039 467,343
British Sky Broadcasting Group P.L.C. 224,474 2,521,164
Brixton P.L.C. 18,052 96,044
BT Group P.L.C. 687,240 2,307,637
* BTG P.L.C. 5,600 11,712
Bunzl P.L.C. 35,893 301,705
* Cable and Wireless P.L.C. 190,789 431,393
Cadbury Schweppes P.L.C. 165,347 1,406,588
* Cairn Energy P.L.C. 12,046 233,422
* Canary Wharf Group P.L.C. 40,100 217,648
Capita Group P.L.C. 52,090 295,620
Carnival P.L.C. 16,498 740,408
Carpetright P.L.C. 3,639 66,346
Carphone Warehouse Group P.L.C. 74,224 187,104
Cattles P.L.C. 24,078 144,612
* Celltech P.L.C. 22,212 221,556
Centrica P.L.C. 341,281 1,332,076
Close Brothers Group P.L.C. 10,800 159,099
Cobham P.L.C. 8,902 $ 222,156
Collins Stewart Tullett P.L.C. 17,814 143,559
* Colt Telecom Group P.L.C. 171,894 264,807
Compass Group P.L.C. 172,356 1,076,284
Computacenter P.L.C. 9,463 67,666
* Cookson Group P.L.C. 130,539 103,732
* Corus Group P.L.C. 328,172 203,433
Davis Service Group P.L.C. 15,000 100,813
De la Rue P.L.C. 12,250 73,161
Diageo P.L.C. 242,323 3,216,108
Dixons Group P.L.C. 155,894 435,407
* Easyjet P.L.C. 36,683 133,889
* Egg P.L.C. 44,910 132,460
Electrocomponents P.L.C. 33,949 220,347
Emap P.L.C. 20,531 286,337
EMI Group P.L.C. 61,510 246,846
Enterprise Inns P.L.C. 27,237 306,458
First Choice Holidays P.L.C. 31,231 68,558
Firstgroup P.L.C. 32,236 162,991
FKI P.L.C. 39,662 80,632
Friends Provident P.L.C. 140,267 355,540
Galen Holdings P.L.C. 17,950 238,436
Gallaher Group P.L.C. 52,359 640,575
* General Electric Co. 22,898 710,406
GKN P.L.C. 57,264 240,851
Glaxosmithkline P.L.C. 474,682 9,932,322
Great Portland Estates P.L.C. 13,760 66,239
Great Universal Stores P.L.C. 81,129 1,207,797
Hammerson P.L.C. 20,700 256,768
Hanson P.L.C. 58,957 450,214
Hays P.L.C. 140,670 318,714
HBOS P.L.C. 308,670 4,044,215
* HHG P.L.C. 284,569 224,349
Hilton Group P.L.C. 123,435 600,457
HSBC Holdings P.L.C. 879,895 13,050,087
ICAP P.L.C. 57,946 301,495
IMI P.L.C. 28,268 190,626
Imperial Chemical Industries P.L.C. 95,296 381,164
Imperial Tobacco Group P.L.C. 58,335 1,295,985
Inchcape P.L.C. 6,503 187,873
Intercontinental Hotels Group P.L.C. 57,738 553,478
* International Power P.L.C. 86,376 230,036
* Intertek Group P.L.C. 11,060 109,790
* Invensys P.L.C. 407,608 121,362
Isoft Group P.L.C. 19,129 135,663
ITV P.L.C. 285,888 622,441
* ITV P.L.C. Convertible Shares 7,428 9,942
Jardine Lloyd Thompson Group P.L.C. 18,114 155,728
Johnson Matthey P.L.C. 17,203 279,605
Johnston Press P.L.C. 26,959 270,193
Kelda Group P.L.C. 29,200 263,323
Kesa Electricals P.L.C. 32,274 168,268
Kidde P.L.C. 59,000 122,991
Kingfisher P.L.C. 186,504 977,652
Land Securities Group P.L.C. 36,335 778,866
Legal and General Group P.L.C. 524,402 855,166
5
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SHARES VALUE+
------ ------
Liberty International P.L.C. 30,108 $ 408,471
Lloyds TSB Group P.L.C. 459,645 3,626,343
Logicacmg P.L.C. 33,214 113,996
Lonmin P.L.C. 11,312 197,806
Man Group P.L.C. 27,385 820,778
Manchester United P.L.C. 12,673 56,070
* Marconi Corp. P.L.C. 15,946 190,148
Marks & Spencer Group P.L.C. 179,849 1,185,293
* Matalan P.L.C. 16,817 56,183
Meggitt P.L.C. 22,329 102,830
MFI Furniture Group P.L.C. 43,800 119,980
Millennium and Copthorne Hotels
P.L.C. 19,218 111,540
Misys P.L.C. 43,945 167,700
Mitchells & Butlers P.L.C. 41,579 197,658
* MM02 P.L.C. 613,859 1,098,652
Morrison (Wm.) Supermarkets P.L.C. 232,964 975,482
*# My Travel Group P.L.C. 22,000 3,524
National Express Group P.L.C. 11,282 144,153
National Grid Group P.L.C. 247,008 1,959,476
Next P.L.C. 20,660 525,069
Northern Foods P.L.C. 37,322 105,906
Northern Rock P.L.C. 32,854 436,411
Novar P.L.C. 31,464 72,096
Ocean Group P.L.C. 23,727 307,112
Pearson P.L.C. 63,897 777,773
Peninsular & Oriental Steam
Navigation P.L.C. 53,886 211,835
Pennon Group P.L.C. 9,163 123,733
Persimmon P.L.C. 23,227 255,847
Pilkington P.L.C. 115,030 190,695
Premier Farnell P.L.C. 25,039 111,100
Provident Financial P.L.C. 17,113 199,304
Prudential Corp. P.L.C. 160,312 1,318,172
* Punch Taverns, Ltd. 19,772 186,003
RAC P.L.C. 8,737 106,201
Rank Group P.L.C. 47,588 267,811
Reckitt Benckiser P.L.C. 65,675 1,780,561
Reed International P.L.C. 101,697 979,650
Rentokill Initial P.L.C. 145,356 391,163
Reuters Holdings Group P.L.C. 111,737 745,544
Rexam P.L.C. 43,852 354,989
Rio Tinto P.L.C. 84,341 2,029,587
RMC Group P.L.C. 20,763 208,954
Rolls Royce Group P.L.C. 143,381 593,690
* Rolls Royce Group P.L.C. 6,007,200 11,014
Royal & Sun Alliance Insurance
Group P.L.C. 215,936 320,569
Royal Bank of Scotland Group P.L.C. 248,949 7,524,576
Sabmiller P.L.C. 97,983 1,184,117
Sage Group P.L.C. 104,202 338,210
Sainsbury (J.) P.L.C. 201,257 1,004,677
Schroders P.L.C. 27,720 307,973
Scottish & Newcastle P.L.C. 78,609 614,853
Scottish Hydro-Electric P.L.C. 68,595 870,529
Scottish Power P.L.C. 148,763 1,078,520
Securicor P.L.C. 35,700 78,920
Serco Group P.L.C. 32,613 120,867
Severn Trent P.L.C. 27,608 408,877
Shell Transport & Trading Co., P.L.C. 771,058 5,556,283
* Shire Pharmaceuticals Group P.L.C. 37,357 339,373
Signet Group P.L.C. 134,651 290,609
Slough Estates P.L.C. 31,300 $ 246,391
Smith & Nephew P.L.C. 73,281 770,584
Smith (W.H.) P.L.C. 18,540 121,640
Smiths Industries P.L.C. 43,759 559,394
Somerfield P.L.C. 37,078 97,458
* Spirent P.L.C. 72,279 85,439
SSL International P.L.C. 12,000 70,109
Stagecoach Holdings P.L.C. 93,831 141,078
Standard Chartered P.L.C. 105,639 1,744,426
Tate & Lyle P.L.C. 43,737 242,197
Taylor Nelson AGB P.L.C. 30,623 113,192
Taylor Woodrow P.L.C. 43,614 202,843
Tesco P.L.C. 614,199 2,803,361
* TI Automotive P.L.C. Series A 18,000 0
Tomkins P.L.C. 60,314 287,485
Travis Perkins P.L.C. 9,101 223,740
Trinity Mirror P.L.C. 23,499 267,350
Unilever P.L.C. 244,455 2,322,184
United Business Media P.L.C. 25,000 202,704
United Utilities P.L.C. 58,301 579,979
Viridian Group P.L.C. 9,554 103,233
Vodafone Group P.L.C. 5,367,560 12,650,813
Whitbread P.L.C. 23,799 348,938
William Hill P.L.C. 32,901 327,066
Wilson Bowden P.L.C. 8,193 155,566
Wimpey (George) P.L.C. 30,536 206,209
Wolseley P.L.C. 45,455 683,135
WPP Group P.L.C. 94,636 942,826
Xstrata P.L.C. 76,145 963,094
Zeneca Group P.L.C. 134,465 6,243,049
---------------
TOTAL COMMON STOCKS
(Cost $158,308,824) 176,427,506
---------------
INVESTMENT IN CURRENCY -- (0.6%)
* British Pound Sterling
(Cost $5,026,893) 5,018,287
---------------
TOTAL -- UNITED KINGDOM
(Cost $163,335,717) 181,445,793
---------------
JAPAN -- (18.9%)
COMMON STOCKS -- (18.6%)
Acom Co., Ltd. 7,500 502,924
Aderans Co., Ltd. 1,900 39,634
Advantest Corp. 6,370 450,813
AEON Co., Ltd. 22,400 938,977
Aeon Credit Service, Ltd. 2,700 177,308
Aiful Corp. 6,600 646,148
AIOI Insurance Co., Ltd. 33,000 143,574
Aisin Seiki Co., Ltd. 17,400 322,614
Ajinomoto Co., Inc. 35,000 402,293
Alfresa Holdings Corp. 700 33,694
# All Nippon Airways Co., Ltd. 92,000 282,256
Alps Electric Co., Ltd. 9,000 113,594
Amada Co., Ltd. 22,000 125,140
Amano Corp. 3,000 24,128
# Anritsu Corp. 6,000 37,577
Aoyama Trading Co., Ltd. 2,600 60,411
Ariake Japan Co., Ltd. 1,210 32,962
Arisawa Manufacturing Co., Ltd. 600 26,837
Asahi Breweries, Ltd. 27,000 284,563
Asahi Glass Co., Ltd. 82,000 866,820
6
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SHARES VALUE+
------ ------
Asahi Kasei Corp. 75,000 $ 369,106
Asatsu-Dk, Inc. 2,600 67,208
* Ashikaga Financial Group, Inc. 41,000 371
Autobacs Seven Co., Ltd. 1,800 50,821
Avex Inc. 1,000 16,123
Awa Bank, Ltd. 5,000 28,718
Bandai Co., Ltd. 5,000 124,164
Bank of Kyoto, Ltd. 10,000 65,943
Bank of Yokohama, Ltd. 60,000 342,809
Bellsystem24, Inc. 170 37,344
Benesse Corp. 5,000 151,962
Bridgestone Corp. 55,000 917,873
Brother Industries, Ltd. 13,000 119,048
C&S Co., Ltd. 2,800 63,854
Calsonic Corp. 4,000 27,145
Canon, Inc. 49,000 2,419,819
Capcom Co., Ltd. 2,000 20,487
Casio Computer Co., Ltd. 14,000 186,593
Central Glass Co., Ltd. 10,000 74,666
Central Japan Railway Co. 181 1,457,986
Chiba Bank, Ltd. 44,000 253,206
Chubu Electric Power Co., Ltd. 41,200 858,876
Chugai Pharmaceutical Co., Ltd. 42,000 636,144
Chugoku Bank, Ltd. 6,000 60,650
Chugoku Electric Power Co., Ltd. 22,100 371,908
Citizen Watch Co., Ltd. 15,000 156,770
Coca-Cola West Japan Co., L