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Filed On 8/9/04 2:19pm ET · SEC File 811-07436 · Accession Number 1047469-4-25789
As Of Filer Filing As/For/On Docs:Pgs Issuer Agent
8/09/04 Dfa Investment Trust Co N-CSRS 5/31/04 3:1136 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 1,131± 2,856K
Management Investment Company
2: EX-99.CERT Miscellaneous Exhibit 4 11K
3: EX-99.906CERT Miscellaneous Exhibit 1 4K
N-CSRS · Certified Semi-Annual Shareholder Report of a Management Investment Company
Document Table of Contents
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-7436
----------------------------------------------
THE DFA INVESTMENT TRUST COMPANY
--------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
1299 Ocean Avenue, 11th Floor, Santa Monica, CA 90401
--------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
Catherine L. Newell, Esquire, Vice President and Secretary
The DFA Investment Trust Company,
1299 Ocean Avenue, 11th Floor, Santa Monica, CA 90401
--------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: 310-395-8005
Date of fiscal year end: November 30
Date of reporting period: December 1, 2003 - May 31, 2004
ITEM 1. REPORTS TO STOCKHOLDERS.
THE DFA INVESTMENT TRUST COMPANY
THE GLOBAL VALUE SERIES
THE GLOBAL LARGE COMPANY SERIES
THE GLOBAL SMALL COMPANY SERIES
SEMI-ANNUAL REPORT
SIX MONTHS ENDED MAY 31, 2004
(UNAUDITED)
THE DFA INVESTMENT TRUST COMPANY
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
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PAGE
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THE DFA INVESTMENT TRUST COMPANY
Schedules of Investments 1
The Global Value Series 1
The Global Large Company Series 1
The Global Small Company Series 1
Statements of Assets and Liabilities 2
Statements of Operations 3
Statements of Changes in Net Assets 4
Financial Highlights 5
Notes to Financial Statements 7
DFA INVESTMENT DIMENSIONS GROUP INC. -- LARGE CAP INTERNATIONAL PORTFOLIO
Schedule of Investments 10
Statement of Assets and Liabilities 24
Statement of Operations 25
Statements of Changes in Net Assets 26
Financial Highlights 27
Notes to Financial Statements 28
THE DFA INVESTMENT TRUST COMPANY
Schedules of Investments 32
The U.S. Large Company Series 32
The U.S. Large Cap Value Series 37
The U.S. Small Cap Series 40
The DFA International Value Series 68
The Japanese Small Company Series 76
The Pacific Rim Small Company Series 87
The United Kingdom Small Company Series 97
The Continental Small Company Series 103
Statements of Assets and Liabilities 118
Statements of Operations 120
Statements of Changes in Net Assets 122
Financial Highlights 126
Notes to Financial Statements 130
VOTING PROXIES ON FUND PORTFOLIO SECURITIES 136
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
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THE DFA INVESTMENT TRUST COMPANY
SCHEDULES OF INVESTMENTS
MAY 31, 2004
THE GLOBAL VALUE SERIES
(UNAUDITED)
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VALUE+
------
Investment in The U.S. Large Cap Value Series of The DFA Investment
Trust Company (49.7%) (3,638,327 Shares, Cost $52,330,229) $ 61,305,810
Investment in The DFA International Value Series of The DFA Investment
Trust Company (50.3%) (4,454,305 Shares, Cost $48,158,824) 62,137,555
--------------
Total Investments(100%) (Cost $100,489,053)++ $ 123,443,365
==============
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++The cost for federal income tax purposes is $100,603,912.
THE GLOBAL LARGE COMPANY SERIES
(UNAUDITED)
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VALUE+
------
Investment in The U.S. Large Company Series of The DFA Investment
Trust Company (50.0%) (Cost $27,158,783) $ 31,196,793
Investment in The Large Cap International Portfolio of DFA Investment
Dimensions Group Inc. (50.0%) (1,979,239 Shares, Cost $27,151,860) 31,192,807
--------------
Total Investments(100%) (Cost $54,310,643)++ $ 62,389,600
==============
----------
++The cost for federal income tax purposes is $54,891,075.
THE GLOBAL SMALL COMPANY SERIES
(UNAUDITED)
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VALUE+
------
Investment in The U.S. Small Cap Series of The DFA Investment
Trust Company (49.5%) (5,167,651 Shares, Cost $56,035,037) $ 75,085,973
Investment in The Japanese Small Company Series of The DFA
Investment Trust Company (14.2%) (Cost $17,638,002) 21,644,875
Investment in The Pacific Rim Small Company Series of The DFA
Investment Trust Company (6.0%) (Cost $8,560,436) 9,237,488
Investment in The United Kingdom Small Company Series of The DFA
Investment Trust Company (9.9%) (Cost $11,208,914) 15,007,136
Investment in The Continental Small Company Series of The DFA
Investment Trust Company (20.4%) (Cost $20,788,400) 31,091,842
--------------
Total Investments(100%) (Cost $114,230,789)++ $ 152,067,314
==============
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++The cost for federal income tax purposes is $114,263,639.
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
1
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 2004
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
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THE GLOBAL THE GLOBAL
THE GLOBAL LARGE SMALL
VALUE COMPANY COMPANY
SERIES SERIES SERIES
-------------- -------------- --------------
ASSETS:
Investments at Value $ 123,443 $ 62,390 $ 152,067
Cash 18 21 20
Receivables:
From Advisor -- 7 --
Fund Shares Sold 143 214 43
-------------- -------------- --------------
Total Assets 123,604 62,632 152,130
-------------- -------------- --------------
LIABILITIES:
Payables:
Investment Securities Purchased 143 214 43
Due to Advisor 19 -- --
Accrued Expenses and Other Liabilities 12 6 12
-------------- -------------- --------------
Total Liabilities 174 220 55
-------------- -------------- --------------
NET ASSETS $ 123,430 $ 62,412 $ 152,075
============== ============== ==============
SHARES OUTSTANDING $.01 PAR VALUE
(Unlimited Number of Shares Authorized) 10,902,825 7,843,251 11,727,776
============== ============== ==============
NET ASSET VALUE AND REDEMPTION PRICE
PER SHARE $ 11.32 $ 7.96 $ 12.97
============== ============== ==============
Investments at Cost $ 100,489 $ 54,321 $ 114,231
============== ============== ==============
NET ASSETS CONSIST OF:
Paid-in Capital $ 100,473 $ 56,351 $ 112,340
Accumulated Net Investment Income (Loss) 114 180 669
Accumulated Net Realized Gain (Loss) (111) (2,198) 1,223
Unrealized Appreciation (Depreciation) from Investment
Securities, Foreign Currency and Futures 22,954 8,079 37,840
Unrealized Net Foreign Exchange Gain (Loss) -- -- 3
-------------- -------------- --------------
Total Net Assets $ 123,430 $ 62,412 $ 152,075
============== ============== ==============
See accompanying Notes to Financial Statements.
2
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2004
(AMOUNT IN THOUSANDS)
(UNAUDITED)
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THE GLOBAL THE GLOBAL
THE GLOBAL LARGE SMALL
VALUE COMPANY COMPANY
SERIES SERIES SERIES
-------------- -------------- --------------
INVESTMENT INCOME
Income Distributions Received from The DFA
Investment Trust Company $ 448 $ 403 $ 92
Dividends (Net of Foreign Taxes Withheld of $0, $0 and
$107, respectively) -- 228 981
Interest -- 2 7
Income from Securities Lending -- 1 77
Expenses Allocated from Master Funds -- (7) (106)
-------------- -------------- --------------
Total Investment Income 448 627 1,051
-------------- -------------- --------------
EXPENSES
Accounting & Transfer Agent Fees 16 17 19
Legal Fees 1 -- 2
Audit Fees 2 1 3
Shareholders' Reports 3 1 2
-------------- -------------- --------------
Total Expenses 22 19 26
Fees Waived, Expenses Reimbursed and/or Previously
Waived Fees Recovered by Advisor (Note C) 14 (13) --
-------------- -------------- --------------
Net Expenses 36 6 26
-------------- -------------- --------------
NET INVESTMENT INCOME (LOSS) 412 621 1,025
-------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT
SECURITIES AND FOREIGN CURRENCY
Capital Gain Distributions Received from The DFA Investment
Trust Company -- -- 28
Net Realized Gain (Loss) on Investment Securities Sold (3) (14) 1,207
Net Realized Gain (Loss) on Futures -- 53 --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 10,466 3,071 10,418
Futures -- (18) --
Translation of Foreign Currency Denominated Amounts -- -- (7)
-------------- -------------- --------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN
CURRENCY 10,463 3,092 11,646
-------------- -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 10,875 $ 3,713 $ 12,671
============== ============== ==============
See accompanying Notes to Financial Statements.
3
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
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THE GLOBAL THE GLOBAL LARGE THE GLOBAL SMALL
VALUE SERIES COMPANY SERIES COMPANY SERIES
------------------------ ------------------------ ------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30, MAY 31, NOV. 30,
2004 2003 2004 2003 2004 2003
----------- --------- ----------- --------- ----------- ---------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 412 $ 1,243 $ 621 $ 450 $ 1,025 $ 1,230
Capital Gain Distributions Received
from The DFA Investment Trust
Company -- 26 -- -- 28 --
Net Realized Gain (Loss) on
Investment Securities Sold (3) (40) (14) (597) 1,207 5,073
Net Realized Gain (Loss) on Futures -- -- 53 60 -- --
Net Realized Gain (Loss) on
Foreign Currency Transactions -- -- -- -- -- 16
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency 10,466 16,930 3,071 6,294 10,418 30,137
Futures -- -- (18) (8) -- --
Translation of Foreign Currency
Denominated Amounts -- -- -- -- (7) 10
----------- --------- ----------- --------- ----------- ---------
Net Increase (Decrease) in Net Assets
Resulting from Operations 10,875 18,159 3,713 6,199 12,671 36,466
----------- --------- ----------- --------- ----------- ---------
Distributions From:
Net Investment Income (1,463) (609) (674) (327) (1,530) (465)
Net Short-Term Gains -- -- -- -- (371) --
Net Long-Term Gains (23) (12) -- -- (4,547) --
----------- --------- ----------- --------- ----------- ---------
Total Distributions (1,486) (621) (674) (327) (6,448) (465)
----------- --------- ----------- --------- ----------- ---------
Capital Share Transactions (1):
Shares Issued 19,286 28,091 14,788 17,366 11,818 49,714
Shares Issued in Lieu of Cash Distributions 1,267 529 573 278 6,162 395
Shares Redeemed -- -- (448) (139) -- (1,458)
----------- --------- ----------- --------- ----------- ---------
Net Increase (Decrease) from Capital Share
Transactions 20,553 28,620 14,913 17,505 17,980 48,651
----------- --------- ----------- --------- ----------- ---------
Total Increase (Decrease) 29,942 46,158 17,952 23,377 24,203 84,652
NET ASSETS
Beginning of Period 93,488 47,330 44,460 21,083 127,872 43,220
----------- --------- ----------- --------- ----------- ---------
End of Period $ 123,430 $ 93,488 $ 62,412 $ 44,460 $ 152,075 $ 127,872
=========== ========= =========== ========= =========== =========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 1,721 3,200 1,868 2,619 916 5,345
Shares Issued in Lieu of Cash Distributions 119 67 75 46 514 48
Shares Redeemed -- -- (57) (23) -- (128)
----------- --------- ----------- --------- ----------- ---------
1,840 3,267 1,886 2,642 1,430 5,265
=========== ========= =========== ========= =========== =========
See accompanying Notes to the Financial Statements.
4
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
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THE GLOBAL VALUE SERIES
---------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR AUG. 27
ENDED ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
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(UNAUDITED)
Net Asset Value, Beginning of Period $ 10.32 $ 8.17 $ 9.07 $ 9.52 $ 9.67 $ 10.00
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.04 2.11 0.11 0.15 0.14 0.06
Net Loss on Securities (Realized and Unrealized) 1.12 0.14 (0.72) (0.18) (0.01) (0.39)
---------- ---------- ---------- ---------- ---------- ----------
Total From Investrment Operations 1.16 2.25 (0.61) (0.03) 0.13 (0.33)
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LESS DISTRIBUTIONS
Net Investment Income (0.16) (0.10) (0.13) (0.04) (0.18) --
Net Realized Gains -- -- (0.16) (0.38) (0.10) --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions (0.16) (0.10) (0.29) (0.42) (0.28) --
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Net Assets, End of Period $ 11.32 $ 10.32 $ 8.17 $ 9.07 $ 9.52 $ 9.67
=================================================================================================================================
Total Return 11.35%# 28.01% (6.84)% (0.49)% 1.39% (3.30)%#
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 123,430 $ 93,488 $ 44,330 $ 8,938 $ 2,638 $ 917
Ratio of Expenses to Average Net Assets(1) 0.255%* 0.368% 0.375% 0.375% 0.47% 0.50%*
Ratio of Expenses to Average Net Assets (excluding
waivers and assumption of expenses and/or
recovery of previously waived fees)(1) 0.225%* 0.298% 0.465% 0.805% 2.03% 5.22%*
Ratio of Net Investment Income to Average Net Assets 0.73%* 1.96% 2.17% 2.21% 2.18% 2.62%*
Ratio of Net Investment Income to Average Net Assets
(excluding waivers and assumption of expenses
and/or recovery of previously waived fees) 0.76%* 2.03% 2.08% 1.78% 0.62% (2.32)%*
Portfolio Turnover Rate N/A N/A N/A N/A N/A N/A
THE GLOBAL LARGE COMPANY SERIES
--------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR AUG. 21
ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
--------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 7.46 $ 6.36 $ 7.47 $ 8.91 $ 10.00
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.09 0.10 0.10 0.10 0.02
Net Loss on Securities (Realized and Unrealized) 0.52 1.09 (1.12) (1.46) (1.11)
---------- ---------- ---------- ---------- ----------
Total From Investrment Operations 0.61 1.19 (1.02) (1.36) (1.09)
--------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.11) (0.09) (0.09) (0.08) --
Net Realized Gains -- -- -- -- --
---------- ---------- ---------- ---------- ----------
Total Distributions (0.11) (0.09) (0.09) (0.08) --
--------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period $ 7.96 $ 7.46 $ 6.36 $ 7.47 $ 8.91
====================================================================================================================
Total Return 8.22%# 19.07% (13.80)% (15.41)% (10.90)%#
--------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 62,412 $ 44,460 $ 21,083 $ 7,404 $ 190
Ratio of Expenses to Average Net Assets(1) 0.25%* 0.25% 0.25% 0.25% 0.25%*
Ratio of Expenses to Average Net Assets (excluding
waivers and assumption of expenses and/or
recovery of previously waived fees)(1) 0.30%* 0.37% 0.57% 0.88% 3.37%*
Ratio of Net Investment Income to Average Net Assets 2.02%* 1.29% 1.01% 0.44% 0.63%*
Ratio of Net Investment Income to Average Net Assets
(excluding waivers and assumption of expenses
and/or recovery of previously waived fees) 1.97%* 1.17% 0.69% (0.19)% (2.49)%*
Portfolio Turnover Rate N/A N/A N/A N/A N/A
* Annualized
# Non-annualized
(1) Represents the combined ratio for the Series and its respective pro-rata
share of its Master Fund Series'.
N/A Refer to the respective Master Fund Series.
See accompanying Notes to Financial Statements.
5
[Enlarge/Download Table]
THE GLOBAL SMALL COMPANY SERIES
------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR AUG. 21
ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
--------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 12.42 $ 8.59 $ 9.08 $ 9.10 $ 10.00
--------- --------- --------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.09 0.13 0.10 0.10 0.04
Net Loss on Securities (Realized and Unrealized) 1.08 3.79 (0.47) 0.07 (0.92)
--------- --------- --------- --------- ---------
Total From Investrment Operations 1.17 3.92 (0.37) 0.17 (0.88)
--------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.15) (0.09) (0.10) (0.05) (0.02)
Net Realized Gains (0.47) -- (0.02) (0.14) --
--------- --------- --------- --------- ---------
Total Distributions (0.62) (0.09) (0.12) (0.19) (0.02)
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period $ 12.97 $ 12.42 $ 8.59 $ 9.08 $ 9.10
================================================================================================================================
Total Return 9.84%# 46.17% 4.20% 1.87% (8.80)%#
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 152,075 $ 127,872 $ 43,220 $ 6,795 $ 759
Ratio of Expenses to Average Net Assets(1) 0.22%* 0.30% 0.375% 0.375% 0.375%*
Ratio of Expenses to Average Net Assets (excluding waivers
and assumption of expenses and/or recovery of previously
waived fees)(1) 0.22%* 0.26% 0.455% 1.065% 2.55%*
Ratio of Net Investment Income to Average Net Assets 1.41%* 1.55% 1.81% 1.98% 2.62%*
Ratio of Net Investment Income to Average Net Assets
(excluding waivers and assumption of expenses and/or
recovery of previously waived fees) 1.41%* 1.59% 1.73% 1.29% 0.45%*
Portfolio Turnover Rate N/A N/A N/A N/A N/A
* Annualized
# Non-annualized
(1) Represents the combined ratio for the Series and its respective pro-rata
share of its Master Fund Series'.
N/A Refer to the respective Master Fund Series.
See accompanying Notes to Financial Statements.
6
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust" or "ITC") is an open-end
management investment company registered under the Investment Company Act of
1940. The Trust consists of twenty-one investment portfolios, of which three
(the "Global Funds" or "Feeder Funds") are presented in this section of the
report and eight (the "Master Funds") are presented elsewhere in this report.
The Global Funds achieve their investment objectives by investing in other
series within the Trust or a portfolio of DFA Investment Dimensions Group Inc.
("IDG") (collectively, the "Master Funds").
GLOBAL FUND (FEEDER FUND)
The Global Value Series
The Global Large Company Series
The Global Small Company Series
MASTER FUNDS
The U.S. Large Cap Value Series (ITC)
The DFA International Value Series (ITC)
The U.S. Large Company Series (ITC)
Large Cap International Portfolio (IDG)
The U.S. Small Cap Series (ITC)
The Japanese Small Company Series (ITC)
The United Kingdom Small Company Series (ITC)
The Pacific Rim Small Company Series (ITC)
The Continental Small Company Series (ITC)
At May 31, 2004, no one Global Fund owned more than 5% of any one Master
Funds' total net assets.
The financial statements of the Master Funds are included in this report
and should be read in conjunction with the financial statements of the Global
Funds.
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in the preparation of its
financial statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America may
require management to make estimates and assumptions that affect the reported
amounts and disclosures in the financial statements. Actual results could differ
from those estimates and those differences could be material.
1. SECURITY VALUATION: The shares of the Master Funds held by the Global
Funds are valued at their respective daily net asset values where the Master
Funds are organized as regulated investment companies for federal income tax
purposes. The U.S. Large Company Series, The Japanese Small Company Series, The
United Kingdom Small Company Series, The Pacific Rim Small Company Series and
The Continental Small Company Series are organized as partnerships (the
"Partnerships"). The Global Funds reflect their proportionate interest in the
net assets of those corresponding Master Funds.
7
2. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Trustees may defer payment of a percentage
of their total fees earned as a Trustee. These deferred amounts may be treated
as though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Trustees' Fees and
Expenses.
3. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on the accrual basis. Expenses directly attributable to a
Global Fund are directly charged. Common expenses of the Trust or Global Funds
are allocated using methods approved by the Board of Trustees, generally based
on average net assets.
The Global Large Company Series and The Global Small Company Series each
accrue their respective share of income and expenses daily on their investment
in their corresponding Partnerships. All of the net investment income and
realized and unrealized gains and losses from the security transactions and
foreign currency of the Partnerships are allocated pro-rata among its investors
at the time of such determination.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Master Funds. The Global Funds are not
subject to a management fee.
The Advisor has agreed to waive its fees and to assume each Global Fund's
expenses (including the expenses the Global Funds bear as a shareholder of their
Master Funds) to the extent necessary to limit the expenses of each Global Fund
to the following rates as a percentage of average net assets on an annualized
basis: 0.375% for The Global Value Series; 0.25% for The Global Large Company
Series; and 0.375% for The Global Small Company Series. At any time that the
annualized expenses of a Global Fund are less than the rate listed above for
such Global Fund on an annualized basis, the Advisor retains the right to seek
reimbursement for any fees previously waived and/or expenses previously assumed
to the extent that such reimbursement will not cause the Global Funds'
annualized expenses to exceed the applicable percentage of average net assets as
listed above. The Global Funds are not obligated to reimburse the Advisor for
fees waived or expenses assumed by the Advisor more than thirty-six months prior
to the date of such reimbursement. The expense waiver shall remain in effect for
a period of one year from April 1, 2004 to April 1, 2005, and shall continue in
effect from year to year thereafter unless terminated by the Trust to the
Advisor. At May 31, 2004, The Global Large Company Series had approximately
$121,000 of previously waived fees subject to future reimbursement to the
Advisor over various periods not exceeding May 31, 2007.
Certain officers of the Global Funds are also officers, directors and
shareholders of the Advisor.
D. DEFERRED COMPENSATION:
At May 31, 2004, the total liability for deferred compensation to Trustees
is included in Accrued Expenses and Other Liabilities as follows:
[Download Table]
The Global Value Series $ 1,560
The Global Large Company Series 773
The Global Small Company Series 2,034
E. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since it is the
intention of each of the Global Funds to continue to qualify as a regulated
investment company under Subchapter M of the Internal Revenue Code and
distribute substantially all of its taxable income and capital gains to
shareholders. Because income tax regulations differ from accounting principles
generally accepted in the United States of America, the timing and character of
income and capital
8
gain distributions determined in accordance with tax regulations can differ from
income and capital gains recognized for financial reporting purposes.
Accordingly, the character of distributions and the composition of net assets
for tax purposes can differ from those reflected in the financial statements.
These book/tax differences may be temporary or permanent in nature. To the
extent these differences are permanent, they are charged or credited to paid in
capital, accumulated net realized gain (loss) or undistributed net investment
income as appropriate, in the period the differences arise. These
reclassifications have no effect on net assets or net asset value per share.
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
At 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):
[Download Table]
GROSS UNREALIZED GROSS UNREALIZED
APPRECIATION DEPRECIATION NET
---------------- ---------------- --------
The Global Value Series $ 22,954 $ (115) $ 22,839
The Global Large Company Series 8,069 (570) 7,499
The Global Small Company Series 37,837 (33) 37,804
For federal income tax purposes, the Trust measures its capital loss
carryforwards annually at November 30, its fiscal year end. As of November 30,
2003, the following Global Fund had capital loss carryforwards for federal
income tax purposes (amounts in thousands):
[Download Table]
EXPIRES ON NOVEMBER 30
----------------------
2008 2009 2010 2011 TOTAL
---- ---- ---- ---- -----
The Global Large Company Series $ 8 $ 556 $ 625 $ 484 $ 1,673
Certain of the Master Fund's held by The Global Small Company Series
investments are in securities considered to be "passive foreign investment
companies", for which any unrealized appreciation (mark to market) and/or
realized gains are required to be included in distributable net investment
income for tax purposes. At November 30, 2003, the Global Small Company Series
received unrealized appreciation/(depreciation) (mark to market) and realized
gains on the sale of passive foreign investment companies of $131,789 and
$29,084 respectively, which are included in distributable net investment income
for tax purposes, accordingly, such gains have been reclassified from
accumulated net realized gains to accumulated net investment income.
F. LINE OF CREDIT:
The Trust, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit 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. There were no borrowings under the discretionary line of
credit by the Global Funds during the six months ended May 31, 2004.
The Global Funds, together with other Dimensional-advised portfolios, have
also entered into an additional $150 million unsecured line of credit effective
April 2004 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. There is no commitment fee on
the unused line of credit. The agreement for the line of credit expires in April
2005. There were no borrowings by the Global Funds under the line of credit with
the international custodian bank during the six months ended May 31, 2004.
9
LARGE CAP INTERNATIONAL PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
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SHARES VALUE+
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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
10
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SHARES VALUE+
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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
11
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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., Ltd. 3,600 86,913
Comsys Holdings Corp. 5,000 37,096
Cosmo Oil Co., Ltd. 14,000 34,226
Credit Saison Co., Ltd. 8,900 253,597
CSK Corp. 3,600 139,210
Dai Nippon Ink & Chemicals, Inc. 37,000 84,035
Dai Nippon Pharmaceutical Co., Ltd. 4,000 30,315
Dai Nippon Printing Co., Ltd. 46,000 703,554
# Dai Nippon Screen Mfg. Co., Ltd. 11,000 68,670
Daicel Chemical Industries, Ltd. 19,000 82,608
Daido Steel Co., Ltd. 11,000 26,393
*# Daiei, Inc. 12,000 35,550
Daifuku Co., Ltd. 3,000 13,823
Daihatsu Motor Co., Ltd. 20,000 117,602
# Dai-Ichi Pharmaceutical Co., Ltd. 14,400 238,249
Daikin Industries, Ltd. 14,000 331,516
Daimaru, Inc. 12,000 105,291
Daishi Bank, Ltd. 8,000 27,477
Daito Trust Construction Co., Ltd. 8,300 298,653
Daiwa House Industry Co., Ltd. 30,000 338,677
Daiwa Securities Co., Ltd. 74,000 516,545
Denki Kagaku Kogyo KK 22,000 69,487
Denso Corp. 67,700 1,452,863
Dentsu, Inc. 166 429,387
* Disco Corp. 500 22,531
Dowa Mining Co., Ltd. 16,000 88,312
East Japan Railway Co. 235 1,214,356
Ebara Corp. 13,000 58,473
Elsai Co., Ltd. 18,600 483,700
Ezaki Glico Co., Ltd. 3,000 21,331
Familymart Co., Ltd. 5,200 152,091
Fanuc, Ltd. 17,800 1,040,257
Fast Retailing Co., Ltd. 8,100 580,586
Fuji Electric Co., Ltd. 40,000 98,385
Fuji Heavy Industries 37,000 182,428
Fuji Oil Co., Ltd. 1,900 $ 22,155
Fuji Photo Film Co., Ltd. 28,000 832,251
Fuji Soft ABC, Inc. 1,000 33,797
Fuji Television Network, Inc. 124 282,562
Fujikura, Ltd. 17,000 81,371
Fujisawa Pharmaceutical Co., Ltd. 19,500 431,552
Fujitsu Support & Service, Inc. 2,000 36,142
Fujitsu, Ltd. 122,000 823,924
# Fukuoka Bank, Ltd. 30,000 155,361
Funai Electric Co., Ltd. 2,100 289,323
* Furukawa Electric Co., Ltd. 30,000 111,446
Futaba Industrial Co., Ltd. 1,400 21,662
Glory, Ltd. 1,600 22,659
Gunma Bank, Ltd. 25,000 115,023
Gunze, Ltd. 8,000 38,169
Hachijuni Bank, Ltd. 26,000 155,460
* Hamamatsu Photonics K.K 1,400 24,269
* Hankyu Corp. 45,000 173,437
Hankyu Department Stores, Inc. 10,000 88,536
Hanshin Electric Railway Co., Ltd. 7,000 22,722
Higo Bank, Ltd. 5,000 28,719
Hikari Tsushin, Inc. 2,700 107,760
Hino Motors, Ltd. 32,000 192,668
Hirose Electric Co., Ltd. 2,100 229,734
Hiroshima Bank, Ltd. 30,000 133,727
Hitachi Cable, Ltd. 18,000 80,868
Hitachi Chemical Co., Ltd. 10,500 177,964
# Hitachi Construction Machinery Co., Ltd. 8,000 95,325
Hitachi High-Technologies Corp. 6,400 88,886
* Hitachi Information Systems, Ltd. 900 28,320
Hitachi Metals, Ltd. 5,000 23,876
Hitachi Software Engineering Co., Ltd. 3,000 62,268
* Hitachi Zosen Corp. 20,000 31,662
Hitachi, Ltd. 198,000 1,356,892
Hokkaido Electric Power Co., Inc. 10,800 179,934
Hokkoku Bank, Ltd. 9,000 43,096
Hokuetsu Paper Mills, Ltd. 4,000 21,465
Hokugin Financial Group, Inc. 51,000 103,361
Hokuriku Electric Power Co., Inc. 10,700 175,154
Honda Motor Co., Ltd. 60,600 2,609,772
* Hosiden Corp. 1,900 23,881
House Foods Corp. 4,000 51,457
Hoya Corp. 6,500 670,874
Hyakugo Bank, Ltd. 5,000 29,744
Hyakujishi Bank, Ltd. 8,000 49,499
Ibiden Co., Ltd. 4,200 56,634
Isetan Co., Ltd. 10,000 134,999
Ishihara Sangyo Kaisha, Ltd. 12,000 23,528
* Ishikawajima-Harima Heavy Industries Co., Ltd. 58,000 82,691
* Isuzu Motors, Ltd. 18,000 42,449
ITO EN, Ltd. 2,200 94,608
* Itochu Corp. 82,000 336,206
Itochu Techno-Science Corp. 3,000 116,848
Ito-Yokado Co., Ltd. 23,000 933,435
Iyo Bank, Ltd. 9,000 60,441
Izumi Co., Ltd. 1,000 24,401
*# Japan Airlines System Corp. 156,000 454,464
Japan Aviation Electronics Industry, Ltd. 2,000 23,124
12
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JFE Holdings, Inc. 35,200 $ 761,672
JGC Corp. 12,000 100,676
Joyo Bank, Ltd. 48,000 189,116
Jsr Corp., Tokyo 15,400 327,550
Juroku Bank, Ltd. 12,000 50,718
Kagoshima Bank, Ltd. 4,000 22,422
Kajima Corp. 57,000 186,213
Kaken Pharmaceutical Co., Ltd. 3,000 16,327
Kamigumi Co., Ltd. 14,000 92,021
* Kanebo, Ltd. 19,000 15,287
Kaneka Corp. 17,000 156,916
* Kankaku Securities Co., Ltd. 34,000 78,330
Kansai Electric Power Co., Inc. 65,200 1,142,713
Kansai Paint Co., Ltd., Osaka 6,000 35,302
Kao Corp. 33,000 771,757
Katokichi Co., Ltd. 2,000 35,274
# Kawasaki Heavy Industries, Ltd. 67,000 100,072
# Kawasaki Kisen Kaisha, Ltd. 30,000 138,130
KDDI Corp. 257 1,496,407
# Keihin Electric Express Railway Co., Ltd. 24,000 142,820
Keio Electric Railway Co., Ltd. 34,000 179,838
* Keisei Electric Railway Co., Ltd. 7,000 23,701
Keyence Corp. 3,000 692,837
Kikkoman Corp. 9,000 72,534
Kinden Corp. 14,000 77,935
Kinki Nippon Railway Co., Ltd. 86,280 317,155
Kirin Brewery Co., Ltd. 60,000 570,179
Kissei Pharmaceutical Co., Ltd. 1,000 21,363
* Kobayashi Pharmaceutical Co., Ltd. 900 23,938
Kobe Steel, Ltd. 146,000 213,130
* Koei Co., Ltd. 800 19,834
Kokuyo Co., Ltd. 6,000 73,090
Komatsu, Ltd. 55,000 331,215
* Komeri Co., Ltd. 1,100 31,230
Komori Corp. 4,000 58,940
Konami Co., Ltd. 6,200 137,719
Konica Corp. 32,000 433,182
Kose Corp. 1,650 56,383
# Koyo Seiko Co. 9,000 91,192
Kubota Corp. 88,000 407,172
Kuraray Co., Ltd. 20,000 150,315
Kuraya Sanseido, Inc. 2,600 38,905
Kurita Water Industries, Ltd. 7,000 89,155
Kyocera Corp. 10,700 895,258
Kyowa Exeo Corp. 5,000 32,821
Kyowa Hakko Kogyo Co., Ltd. 23,000 150,438
Kyushu Electric Power Co., Inc. 26,500 455,883
Lawson Inc. 5,400 197,954
Lion Corp. 7,000 40,350
# Lopro Corp. 2,100 12,780
Mabuchi Motor Co., Ltd. 2,600 174,468
Makita Corp. 7,000 98,239
Marubeni Corp. 72,000 164,210
Marui Co., Ltd. 19,000 253,314
Matsumotokiyoshi Co., Ltd. 2,400 65,709
Matsushita Electric Industrial Co., Ltd. 144,188 2,000,059
Matsushita Electric Works, Ltd. 27,000 225,335
# Mazda Motor Corp. 58,000 187,959
Meiji Dairies Corp. 16,000 78,617
Meiji Seika Kaisha, Ltd. Tokyo 17,000 $ 68,951
Meitec Corp. 1,800 63,022
Millea Holdings, Inc. 99 1,282,446
Minebea Co., Ltd. 18,000 79,080
Mitsubishi Chemical Corp. 132,000 311,523
Mitsubishi Corp. 91,000 899,060
Mitsubishi Electric Corp. 130,000 641,791
Mitsubishi Estate Co., Ltd. 84,000 1,034,189
Mitsubishi Gas Chemical Co., Inc. 27,000 101,526
Mitsubishi Heavy Industries, Ltd. 178,000 465,667
Mitsubishi Logistics Corp. 7,000 61,026
Mitsubishi Materials Corp. 50,000 95,619
*# Mitsubishi Motors Corp. 61,000 120,268
# Mitsubishi Paper Mills, Ltd. 13,000 19,563
# Mitsubishi Pharma Corp. 25,000 262,308
Mitsubishi Rayon Co., Ltd. 30,000 104,931
Mitsubishi Securities Co., Ltd. 21,000 248,969
Mitsubishi Tokyo Financial Group, Inc. 456 3,939,324
Mitsui & Co., Ltd. 96,000 730,350
Mitsui Chemicals, Inc. 44,000 213,424
Mitsui Engineering and Shipbuilding Co., Ltd. 36,000 60,884
Mitsui Fudosan Co., Ltd. 41,000 465,534
Mitsui Marine & Fire Insurance Co., Ltd. 82,790 737,114
Mitsui Mining and Smelting Co., Ltd. 26,000 102,918
Mitsui O.S.K. Lines, Ltd. 74,000 350,934
Mitsui Trust Holdings 51,000 339,482
Mitsukoshi, Ltd. 23,000 112,160
Mitsumi Electric Co., Ltd. 3,700 37,869
Mizuho Holdings, Inc. 741 3,182,993
Mori Seiki Co., Ltd. 4,000 33,408
Murata Manufacturing Co., Ltd. 12,700 755,950
Musashino Bank, Ltd. 600 21,676
# Nagoya Railroad Co., Ltd. 40,000 144,075
Namco, Ltd. 2,200 55,228
NEC Corp. 112,000 821,212
NEC Fielding, Ltd. 1,800 48,574
Net One Systems Co., Ltd. 13 52,302
* Net One Systems Co., Ltd. 13 47,872
NGK Insulators, Ltd. 19,000 135,158
NGK Spark Plug Co., Ltd. 11,000 98,975
NHK Spring Co., Ltd. 5,000 28,844
Nichicon Corp. 2,000 25,478
Nichii Gakkan Co. 1,760 81,154
Nichirei Corp. 13,000 41,638
Nidec Corp. 4,400 477,964
Nikko Cordial Corp. 130,000 679,794
Nikon Corp. 21,000 225,777
Nintendo Co., Ltd., Kyoto 9,500 970,835
Nippon Electric Glass Co., Ltd. 7,000 150,066
Nippon Express Co., Ltd. 65,000 351,295
Nippon Kayaku Co., Ltd. 9,000 45,677
Nippon Light Metal Co., Ltd. 11,000 26,038
Nippon Meat Packers, Inc., Osaka 10,000 108,883
Nippon Mining Holdings, Inc. 41,500 191,669
Nippon Mitsubishi Oil Corp. 81,000 460,336
Nippon Sanso Corp. 14,000 64,078
Nippon Sheet Glass Co., Ltd. 20,000 66,195
Nippon Shinpan Co., Ltd. 7,000 23,889
Nippon Shokubai Co., Ltd. 9,000 65,924
Nippon Steel Corp. 414,000 838,992
13
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Nippon System Development Co., Ltd. 900 $ 17,430
Nippon Telegraph & Telephone Corp. 1,288 6,357,386
Nippon Television Network Corp. 700 107,784
Nippon Unipac Holding, Tokyo 57 278,536
Nippon Yusen KK 63,000 269,392
Nipponkoa Insurance Co., Ltd. 42,000 241,573
Nishimatsu Construction Co., Ltd. 10,000 33,959
* Nishi-Nippon Railroad Co., Ltd. 8,000 24,567
Nissan Chemical Industries, Ltd. 10,000 71,605
Nissan Motor Co., Ltd. 346,700 3,517,006
Nissay Dowa General Insurance Co., Ltd. 13,000 65,314
Nisshin Seifun Group, Inc. 12,000 110,312
Nisshin Steel Co., Ltd. 39,000 78,657
Nisshinbo Industries, Inc. 9,000 59,643
* Nissho Iwai-Nichmen Holdings Corp. 4,000 21,304
Nissin Food Products Co., Ltd. 6,000 145,845
Nitto Denko Corp. 9,200 497,905
NOK Corp. 9,000 321,808
Nomura Research Institute, Ltd. 2,600 263,409
Nomura Securities Co., Ltd. 110,000 1,686,068
Noritake Co., Ltd. 4,000 15,930
NSK, Ltd. 28,000 126,715
NTN Corp. 22,000 101,703
NTT Data Corp. 225 662,537
NTT Docomo, Inc. 3,227 6,062,934
Obayashi Corp. 38,000 181,392
Obic Co., Ltd. 500 101,506
Odakyu Electric Railway Co., Ltd. 36,000 190,675
Ogaki Kyoritsu Bank, Ltd. 8,000 43,151
Oji Paper Co., Ltd. 59,000 375,304
* Okasan Securities Co., Ltd. 4,000 23,395
* Oki Electric Industry Co., Ltd. 30,000 110,733
# Okumura Corp. 11,000 54,045
Olympus Optical Co., Ltd. 14,000 252,132
Omron Corp. 13,000 287,928
Ono Pharmaceutical Co., Ltd. 7,200 315,165
Onward Kashiyama Co., Ltd. 8,000 129,010
Oracle Corp. Japan 9,900 485,281
* Orient Corp. 31,000 82,736
Oriental Land Co., Ltd. 7,600 465,447
Orix Corp. 4,260 433,351
Osaka Gas Co., Ltd. 132,000 353,445
OSG Corp. 2,000 21,194
* Otsuka Corp. 700 32,235
Paris Miki, Inc. 1,900 41,208
* Park24 Co., Ltd. 700 21,081
Pioneer Electronic Corp. 9,000 230,680
Promise Co., Ltd. 6,500 427,262
Q.P. Corp. 6,000 48,855
* Resona Holdings, Inc. 845,000 1,452,994
Ricoh Co., Ltd., Tokyo 43,000 833,967
Rinnai Corp. 1,100 33,419
Rohm Co., Ltd. 6,600 805,032
* Ryoshoku, Ltd. 800 24,125
* Sagami Railway Co., Ltd. 9,000 26,851
Saizeriya Co., Ltd. 1,300 17,872
San In Godo Bank, Ltd. 4,000 31,430
Sanden Corp. 7,000 40,398
Sanken Electric Co., Ltd. 4,000 52,466
Sankyo Co, Ltd. 4,900 165,987
Sankyo Co., Ltd. 25,000 $ 500,094
# Sanrio Co., Ltd. 3,000 35,843
Santen Pharmaceutical Co., Ltd. 2,200 32,047
Sanwa Shutter Corp. 6,000 30,777
Sanyo Electric Co., Ltd. 104,000 406,313
# Sapporo Breweries, Ltd. 19,000 61,704
Sapporo Hokuyo Holdings, Inc. 9 47,094
Secom Co., Ltd. 13,000 523,812
* Sega Enterprises, Ltd. 9,200 92,706
# Seibu Railway Co., Ltd. 25,000 316,436
Seino Transportation Co., Ltd. 7,000 66,565
* Seiyu, Ltd. 28,000 97,100
Sekisui Chemical Co., Ltd. 27,000 199,213
Sekisui House, Ltd. 44,000 458,332
Seven-Eleven Japan Co., Ltd. 64,000 2,020,038
Seventy-seven (77) Bank, Ltd. 20,000 117,886
SFCG Co., Ltd. 280 49,113
Sharp Corp. Osaka 65,000 1,100,035
Shiga Bank, Ltd. 5,000 24,809
Shikoku Bank, Ltd. 4,000 23,834
Shikoku Electric Power Co., Inc. 13,200 225,432
Shima Seiki Manufacturing Co., Ltd. 700 23,560
Shimachu Co., Ltd. 2,200 54,828
Shimadzu Corp. 6,000 30,922
Shimamura Co., Ltd. 1,700 135,205
Shimano, Inc. 6,600 155,881
Shimizu Corp. 38,000 158,915
Shin-Etsu Chemical Co., Ltd. 23,600 827,058
Shinko Securities Co., Ltd. 38,000 126,207
Shionogi & Co., Ltd. 19,000 310,420
Shiseido Co., Ltd. 21,000 248,593
Shizuoka Bank, Ltd. 42,000 342,281
Showa Denko KK 59,000 126,440
Showa Shell Sekiyu KK 18,000 150,542
Skylark Co., Ltd. 5,000 95,411
SMBC Friend Securities Co., Ltd. 6,000 28,362
SMC Corp. 4,300 459,590
* Snow Brand Milk Products Co., Ltd. 12,000 39,306
# Softbank Corp. 23,200 887,315
* Sohgo Security Services Co.,Ltd. 2,100 26,414
Sony Corp. 51,800 1,906,056
Square Enix Co., Ltd. 3,900 100,080
Stanley Electric Co., Ltd. 9,000 148,003
* Sumisho Computer Systems Corp. 900 25,775
Sumitomo Bakelite Co., Ltd. 9,000 59,847
Sumitomo Chemical Co., Ltd. 106,000 497,308
Sumitomo Corp. 68,000 524,611
Sumitomo Corporation's Leasing, Ltd. 900 30,862
Sumitomo Electric Industries, Ltd. 44,000 423,281
Sumitomo Forestry Co., Ltd. 6,000 61,781
* Sumitomo Heavy Industries, Ltd. 31,000 79,627
Sumitomo Metal Industries, Ltd. Osaka 314,000 352,262
Sumitomo Metal Mining Co., Ltd. 29,000 172,737
Sumitomo Mitsui Financial Group, Inc. 250 1,785,159
Sumitomo Osaka Cement Co., Ltd. 14,000 33,863
* Sumitomo Real Estate Sales Co., Ltd. 600 24,800
Sumitomo Realty & Development Co., Ltd. 26,000 280,341
Sumitomo Rubber 6,000 49,914
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# Sumitomo Trust & Banking Co., Ltd. 96,000 $ 590,116
Suruga Bank, Ltd. 12,000 79,231
Suzuken Co., Ltd. 4,080 127,327
Suzuki Motor Corp. 32,900 535,659
* T&D Holdings, Inc. 5,900 247,157
Taiheiyo Cement Corp. 45,000 98,289
Taisei Corp. 52,000 173,197
Taisho Pharmaceutical Co., Ltd. 23,000 467,703
Taiyo Yuden Co., Ltd. 5,000 72,102
Takara Shuzo Co., Ltd. 10,000 75,615
Takashimaya Co., Ltd. 16,000 176,239
Takeda Chemical Industries, Ltd. 49,000 2,036,715
# Takefuji Corp. 10,350 688,656
Takuma Co., Ltd. 2,000 12,949
*# TC Properties Co., Ltd. 45,300 246,737
TDK Corp. 7,400 519,527
Teijin, Ltd. 50,000 161,509
Teikoku Oil Co., Ltd. 12,000 61,276
Terumo Corp. 10,500 247,672
THK Co., Ltd. 5,800 102,990
TIS, Inc. 2,000 79,629
Tobu Railway Co., Ltd. 43,000 182,543
Toda Corp. 14,000 51,620
Toho Co., Ltd. 9,800 140,802
Toho Gas Co., Ltd. 19,000 63,457
Tohuku Electric Power Co., Inc. 26,600 428,341
* Tokai Rubber Industries, Ltd. 2,000 24,335
Tokuyama Corp. 5,000 21,375
Tokyo Broadcasting System, Inc. 10,000 177,415
Tokyo Electric Power Co., Ltd. 79,600 1,702,382
Tokyo Electron, Ltd. 10,100 576,617
# Tokyo Gas Co., Ltd. 157,000 552,371
* Tokyo Seimitsu Co., Ltd. 800 26,986
Tokyo Steel Manufacturing Co., Ltd. 3,400 48,357
Tokyo Style Co., Ltd. 4,000 45,240
# Tokyu Corp. 59,000 290,525
* Tokyu Land Corp. 9,000 27,950
TonenGeneral Sekiyu KK 24,000 203,755
Toppan Printing Co., Ltd. 37,000 450,239
Toray Industries, Inc. 72,000 331,440
Toshiba Corp. 180,000 773,677
Tosoh Corp. 30,000 103,501
Tostem Inax Holding Corp. 20,240 414,753
Toto, Ltd. 19,000 204,171
Toyo Seikan Kaisha, Ltd. 11,300 185,388
Toyo Suisan Kaisha, Ltd. 5,000 60,419
Toyobo Co., Ltd. 37,000 87,044
Toyoda Gosei Co., Ltd. 6,300 154,288
Toyota Auto Body Co., Ltd. 1,800 27,410
Toyota Industries Corp. 15,300 333,655
Toyota Motor Credit Corp. 235,000 8,480,299
Toyota Tsusho Corp. 13,000 119,294
Trans Cosmos, Inc. 1,000 26,338
Trend Micro Inc. 8,000 301,186
* Ube Industries, Ltd. 37,000 54,602
UFJ Holdings, Inc. 343 1,712,536
UFJ Tsubasa Securities Co. Ltd. 28,000 128,216
Uni-Charm Corp. 3,500 169,838
Union Tool Co. 800 28,220
UNY Co., Ltd. 9,000 111,128
Ushio Inc. 7,000 132,341
USS Co., Ltd. 1,400 $ 112,717
Victor Co. of Japan, Ltd. 6,000 70,521
Vodafone Holdings KK 164 446,266
Wacoal Corp. 7,000 74,220
World Co., Ltd. 2,000 63,573
# Yakult Honsha Co., Ltd. 8,000 110,434
# Yamada Denki Co., Ltd. 5,300 176,988
Yamaguchi Bank, Ltd. 7,000 71,358
Yamaha Corp. 11,000 167,098
Yamaha Motor Co., Ltd. 15,000 214,919
Yamanouchi Pharmaceutical Co., Ltd. 20,200 649,044
Yamato Transport Co., Ltd. 24,000 341,338
Yamazaki Baking Co., Ltd. 9,000 83,383
Yaskawa Electric Corp. 8,000 51,465
Yasuda Fire & Marine Insurance Co., Ltd. 60,000 523,163
# Yasuda Trust & Banking Co., Ltd. 208,000 411,095
Yokogawa Electric Corp. 12,000 155,275
Yokohama Rubber Co., Ltd. 7,000 25,747
York-Benimaru Co., Ltd. 800 22,901
Zeon Corp. 6,000 43,893
---------------
TOTAL COMMON STOCKS
(Cost $158,024,572) 150,988,104
---------------
INVESTMENT IN CURRENCY -- (0.3%)
* Japanese Yen
(Cost $2,441,305) 2,467,881
---------------
TOTAL -- JAPAN
(Cost $160,465,877) 153,455,985
---------------
FRANCE -- (8.0%)
COMMON STOCKS -- (8.0%)
Accor SA 10,940 453,950
# AGF (Assurances Generales de France SA) 11,361 688,832
Air France 14,686 240,250
Air Liquide SA 5,550 973,540
Air Liquide SA 10,266 1,811,500
Alcan, Inc. 2,587 102,229
* Alcatel SA 71,900 1,036,072
* Alstom SA 40,620 46,690
Arcelor SA 29,800 500,100
* Atos Origin 4,218 248,323
* Aventis 44,765 3,554,401
AXA 98,764 2,031,458
BNP Paribas SA 50,518 3,088,183
Bollore Technologies SA 203 62,209
Bouygues 21,845 753,697
* Business Objects SA 5,500 120,680
* Cap Gemini SA 7,550 289,581
Carrefour 40,100 1,958,722
Casino Guichard Perrachon 7,609 664,848
Cie Generale D'Optique Essilor Intenational SA 5,570 345,753
Clarins SA 370 23,072
Compagnie de Saint-Gobain 19,436 979,092
Compagnie Francaise d'Etudes et de Construction Technip SA 1,790 241,150
Dassault Systemes SA 8,054 368,200
Dior (Christian) SA 11,036 698,793
Eiffage SA 942 73,293
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Euler-Hermes SA 1,833 $ 101,171
Faurecia SA 312 20,219
Fimalac SA 560 21,890
# France Telecom SA 202,365 4,889,626
Gecina SA 3,700 288,642
Generale des Establissements Michelin SA Series B 8,009 391,323
Groupe Danone 7,642 1,319,021
Havas SA 12,513 66,426
* Hermes International SA 2,997 589,201
Imerys SA 1,000 227,498
* JC Decaux SA 9,528 203,418
Klepierre SA 1,862 128,138
LaFarge SA 9,716 833,066
LaFarge SA Prime Fidelity 8,604 745,456
# Lagardere S.C.A. SA 7,700 470,346
L'Oreal 51,116 3,970,231
LVMH (Louis Vuitton Moet Hennessy) 37,151 2,656,305
Metropole Television SA 3,117 87,213
Neopost SA 1,118 63,403
Pernod-Ricard SA 3,950 494,674
Peugeot SA 14,309 808,056
Pinault Printemps Redoute SA 8,640 903,333
Publicis Groupe 13,617 401,386
Remy Cointreau SA 1,518 50,686
Renault SA 18,294 1,363,211
Rexel SA 3,619 149,501
* SA Des Galeries Lafayette 559 108,320
Sagem SA 2,048 224,440
Sanofi Synthelabo 55,603 3,680,703
Schneider SA 12,889 868,235
* Scor SA 28,551 41,835
SEB SA Prime Fidelite 2002 764 85,917
SEB SA Prime Fidelity 990 111,222
Societe BIC SA 3,600 156,173
Societe des Ciments de Francais 737 57,300
Societe Generale d'Enterprise SA 4,640 445,642
Societe Generale, Paris 24,826 2,105,734
Societe Television Francaise 1 14,555 452,486
Sodexho Alliance SA 9,712 252,749
Somfy Interational SA 134 25,189
# Ste des Autoroutes du Sud de la France 19,738 753,313
Stmicroelectronics NV 53,696 1,210,496
# Suez (ex Suez Lyonnaise des Eaux) 56,220 1,094,851
Thales SA 13,084 461,738
Thomson Multimedia 15,000 286,223
Total SA 35,906 6,745,359
Unibail SA 2,500 248,738
Valeo SA 5,000 202,923
*# Veolia Environnement SA 26,535 710,143
* Vivendi Universal SA 59,936 1,529,557
* Wanadoo SA 43,078 419,616
* Wendel Investissement 3,203 151,900
Zodiac SA 4,460 144,946
---------------
TOTAL -- FRANCE
(Cost $59,763,136) 65,173,806
---------------
SWITZERLAND -- (6.2%)
COMMON STOCKS -- (6.0%)
* ABB, Ltd. 153,897 $ 862,658
* Actelion, Ltd. 1,600 175,795
* Adecco SA 16,373 788,292
Baloise-Holding 3,300 132,988
* BKW FMB Energie AG 90 38,808
* Ciba Spezialitaetenchemie Holding AG 4,525 309,165
Cie Financiere Richemont AG Series A 46,023 1,185,479
Clariant AG 15,571 214,972
* Credit Swisse Group 78,497 2,700,557
* Fischer (Georg) AG, Schaffhausen 145 31,613
* Forbo Holding AG, Eglisau 102 26,429
Geberit AG 274 176,430
# Givaudan SA 573 306,427
# Holcim, Ltd. 17,803 926,510
Julius Baer Holding AG 540 157,036
* Kudelski SA 3,084 94,509
Kuehne & Nagel International AG 1,500 197,277
Kuoni Reisen Holding AG 180 71,474
* Lindt & Spruengli AG 7 77,698
* Logitech International SA 3,319 153,293
Lonza Group AG 2,970 145,088
Nestle SA, Cham und Vevey 26,340 6,857,764
Nobel Biocare Holding AG 1,700 252,717
# Novartis AG 208,860 9,394,211
Phonak Holding AG 4,487 134,144
Publicitas Holding SA, Lausanne 104 32,371
Roche Holding AG Bearer 17,260 2,375,601
Roche Holding AG Genusschein 45,853 4,829,271
Schindler Holding AG 210 60,066
Schindler Holding AG 1,030 314,126
# Serono SA 1,109 676,087
# Societe Generale de Surveillance Holding SA 770 444,043
Straumann Holding AG 1,000 207,067
Sulzer AG, Winterthur 165 41,094
# Swatch Group AG 2,692 375,609
* Swiss Life AG 2,140 269,743
# Swiss Reinsurance Co., Zurich 21,255 1,319,433
# Swisscom AG 7,449 2,315,607
* Syngenta AG 7,449 590,903
# Synthes, Inc. 10,130 1,192,705
Tecan Group AG 627 26,776
# The Swatch Group AG 18,164 516,560
# UBS AG 77,901 5,590,760
* Unaxis Holding AG 912 103,285
Valora Holding AG 209 49,484
* Zimmer Holdings, Inc. 3,010 254,353
* Zurich Financial SVCS AG 9,504 1,495,356
---------------
TOTAL COMMON STOCKS
(Cost $39,080,073) 48,491,634
---------------
INVESTMENT IN CURRENCY -- (0.2%)
* Swiss Francs
(Cost $1,225,916) 1,241,865
---------------
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RIGHTS/WARRANTS -- (0.0%)
* Swiss Life Holdings AG
Rights 06/02/04
(Cost $0) 1,380 $ 0
---------------
TOTAL -- SWITZERLAND
(Cost $40,305,989) 49,733,499
---------------
GERMANY -- (5.5%)
COMMON STOCKS -- (5.5%)
Aachener und Muenchener Beteiligungs AG 596 43,017
Adidas-Salomon AG 2,400 284,395
* Aixtron AG 2,400 14,104
Allianz AG 22,867 2,390,586
Altana AG 11,010 716,347
BASF AG 31,350 1,606,578
Bayer AG 40,100 1,148,303
# Bayerische Motorenwerke AG 44,192 1,875,896
* Bayerische Vereinsbank AG 46,769 790,055
# Beiersdorf AG 7,703 870,744
Commerzbank AG 31,673 517,366
# Continental AG 7,400 333,098
* D. Logistics AG 1,200 2,542
DaimlerChrysler AG 56,252 2,503,585
# Deutsche Bank AG 31,988 2,517,999
# Deutsche Boerse AG 5,900 314,241
Deutsche Lufthansa AG 30,202 433,678
Deutsche Post AG 98,718 1,982,253
* Deutsche Telekom AG 290,398 4,888,094
Douglas Holding AG 1,500 40,034
E.ON AG 37,998 2,647,377
* Epcos AG 2,800 56,825
* Fraport AG 3,274 94,674
* Freenet.De AG 854 78,372
Fresenius Medical Care AG 5,195 384,298
Gehe AG 6,588 375,683
* Hannover Rueckversicherungs AG 3,742 127,269
* Heidelberger Druckmaschinen AG 2,678 84,886
Heidelberger Zement AG 7,569 333,452
Hochtief AG 2,695 59,148
* Hypo Real Estate Holding AG 6,387 179,544
* Infineon Technologies AG 43,704 592,044
Karstadt Quelle AG 7,555 156,042
# Linde AG 7,404 383,412
MAN AG 8,122 300,011
Medion AG 2,346 88,925
Merck KGAA 2,700 150,552
*# Metro AG 29,088 1,410,639
MG Technologies AG 11,945 155,452
# Munchener Rueckversicherungs-Gesellschaft AG 15,448 1,583,629
Oldenburgische Landesbank AG 637 50,562
# Preussag AG 9,786 189,951
Puma AG 800 194,765
Rwe AG (Neu) 800 31,294
Rwe AG (NEU) Series A 29,611 1,302,004
# SAP AG (Systeme Anwendungen
Produkte in der Datenverarbeitung) 21,517 3,477,864
Schering AG 10,800 589,631
* SGL Carbon AG 1,750 16,780
Siemens AG 47,475 3,359,921
Stada Arzneimittel AG 1,121 $ 58,007
Suedzucker AG 13,568 270,754
ThyssenKrupp AG 36,653 613,081
* T-Online International AG 76,305 878,324
United Internet AG 1,321 33,164
Volkswagen AG 20,257 887,366
* WCM Beteiligungs AG 11,608 16,481
---------------
TOTAL -- GERMANY
(Cost $48,582,936) 44,485,098
---------------
NETHERLANDS -- (3.9%)
COMMON STOCKS -- (3.9%)
ABN-AMRO Holding NV 122,634 2,612,136
Aegon NV 117,874 1,423,571
* Air France 2,614 42,466
AKZO Nobel NV 20,687 745,101
Buhrmann NV 6,020 57,363
DSM NV 7,868 388,534
Elsevier NV 57,907 807,817
* Getronics NV 27,590 76,293
* Hagemeyer NV 21,897 46,884
Heineken Holding NV Series A 27,038 793,539
Heineken NV 56,719 1,874,693
* Hunter Douglas NV 3,502 163,215
IHC Caland NV 2,124 100,190
ING Groep NV 166,457 3,760,069
* Koninklijke Ahold NV 145,070 1,134,825
Koninklijke KPN NV 199,776 1,453,124
* Koninklijke Numico NV 12,248 389,125
Koninklijke Philips Electronics NV 90,808 2,480,208
Koninklijke Vendex KBB NV 5,978 111,200
* Norit NV 34,890 611,540
Oce NV 4,991 74,278
Randstad Holdings NV 8,050 211,474
Royal Dutch Petroleum Co., Den Haag 143,761 7,191,425
TNT Post Groep NV 45,904 1,030,728
Unilever NV 39,438 2,591,402
Vedior NV 15,338 228,694
VNU NV 19,323 568,964
Wolters Kluwer NV 21,861 370,518
---------------
TOTAL COMMON STOCKS
(Cost $32,721,347) 31,339,376
---------------
RIGHTS/WARRANTS -- (0.0%)
* Air France Warrants 11/06/07 2,377 2,990
* ING Groep NV Coupons 06/17/05 166,457 0
---------------
TOTAL RIGHTS/WARRANTS
(Cost $4,469) 2,990
---------------
TOTAL -- NETHERLANDS
(Cost $32,725,816) 31,342,366
---------------
AUSTRALIA -- (3.9%)
COMMON STOCKS -- (3.8%)
Amcor, Ltd. 61,317 284,200
AMP Limited 111,330 442,508
Ansell, Ltd. 12,403 69,843
APN News & Media, Ltd. 23,741 69,246
Aristocrat Leisure, Ltd. 25,976 79,469
Australand Property Group 30,781 35,790
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Australia & New Zealand Banking Group, Ltd. 121,193 $ 1,559,324
Australian Gas Light Co. 31,475 264,612
Australian Stock Exchange, Ltd. 5,600 61,366
AWB, Ltd. 15,115 52,837
AXA Asia Pacific Holdings, Ltd. 139,317 337,403
Bendigo Bank, Ltd. 5,694 42,157
BHP Billiton, Ltd. 261,912 2,247,754
BHP Steel Ltd. 51,941 229,657
* Billabong International, Ltd. 10,606 62,337
Boral, Ltd. 36,452 152,438
Brambles Industries, Ltd. 66,718 280,980
Brickworks, Ltd. 5,844 35,756
* Burns, Philp & Co., Ltd. 90,152 40,508
Caltex Australia, Ltd. 12,048 74,257
Coca-Cola Amatil, Ltd. 35,542 180,045
Cochlear, Ltd. 3,100 45,330
Coles Myer, Ltd. 94,099 569,176
Commonwealth Bank of Australia 87,566 2,050,990
Computershare, Ltd. 34,090 73,930
CSL, Ltd. 10,618 174,368
CSR, Ltd. 55,115 75,854
* Davids Limited 27,928 52,024
Deutsche Office Trust 44,700 39,515
Flight Centre, Ltd. 4,194 52,790
Foodland Associates, Ltd. 6,090 80,175
Foster's Group, Ltd. 150,976 491,118
Futuris Corp., Ltd. 42,265 46,748
General Property Trust 75,385 184,635
Harvey Norman Holdings, Ltd. 91,545 178,160
Iluka Resources, Ltd. 15,365 43,569
Insurance Australiz Group, Ltd. 119,754 389,137
James Hardies Industries NL 30,184 129,520
John Fairfax Holdings, Ltd. 55,963 138,133
Leighton Holdings, Ltd. 23,641 136,245
Lend Lease Corp., Ltd. 31,264 224,042
Lion Nathan, Ltd. 43,600 205,274
Macquarie Bank, Ltd. 14,533 345,861
Macquarie Infrastructure Group 69,634 156,484
Mayne Group, Ltd. 49,547 105,844
Mirvac, Ltd. 46,875 141,960
National Australia Bank, Ltd. 106,524 2,276,671
National Foods, Ltd. 9,831 30,489
Newcrest Mining, Ltd. 21,576 194,614
News Corp., Ltd. 158,899 1,459,558
News Corp., Ltd. Pref Ordinary 284,248 2,414,182
Onesteel, Ltd. 36,779 58,978
Orica, Ltd. 17,659 184,413
Origin Energy, Ltd. 46,223 173,944
* Oxiana, Ltd. 52,556 31,130
Paperlinx, Ltd. 29,331 101,845
Patrick Corp., Ltd. 33,558 116,879
Perpetual Trustees Australia, Ltd. 1,977 62,085
Publishing and Broadcasting, Ltd. 60,779 534,981
QBE Insurance Group, Ltd. 47,261 420,847
Quantas Airways, Ltd. 163,543 400,387
Rinker Group, Ltd. 62,315 333,130
Rio Tinto, Ltd. 35,325 881,520
* Rural Press, Ltd. 5,203 27,966
Santos, Ltd. 38,543 186,416
* Scigen 11,443 522
Sigma Co., Ltd. 7,216 $ 39,120
Sonic Healthcare, Ltd. 16,529 103,940
* Sons of Gwalia, Ltd. 7,201 13,834
* Southcorp, Ltd. 49,137 110,815
St. George Bank, Ltd. 30,907 483,474
* Stockland Trust Group 1,070 3,993
Stockland Trust Group 31,060 116,961
Suncorp-Metway, Ltd. 36,688 361,170
Tab, Ltd. 27,500 93,375
Tabcorp Holdings, Ltd. 29,534 282,115
Telstra Corp., Ltd. 603,648 2,017,761
Ten Network Holdings, Ltd. 17,535 35,911
Toll Holdings, Ltd. 19,556 149,255
Transurban Group 32,295 103,709
Washington H. Soul Pattinson & Co., Ltd. 10,671 47,205
Wesfarmers, Ltd. 24,851 500,669
West Australian Newspapers Holdings, Ltd. 10,881 51,267
Westfield Holdings, Ltd. 37,309 388,868
* Westfield Trust 57 169
Westfield Trust 2,312 7,013
Westpac Banking Corp. 126,435 1,549,889
WMC Resources, Ltd. 75,345 248,221
WMC, Ltd. 75,646 286,789
Woodside Petroleum, Ltd. 56,079 633,847
Woolworths, Ltd. 69,050 580,794
---------------
TOTAL COMMON STOCKS
(Cost $23,701,372) 30,834,090
---------------
INVESTMENT IN CURRENCY -- (0.1%)
* Australian Dollar
(Cost $467,463) 472,133
---------------
TOTAL -- AUSTRALIA
(Cost $24,168,835) 31,306,223
---------------
ITALY -- (3.0%)
COMMON STOCKS -- (3.0%)
* Acea SpA 4,000 28,421
* AEM SpA 24,480 45,849
*# Alitalia Linee Aeree Italiane SpA Series A 50,000 14,325
Alleanza Assicurazioni SpA 43,804 479,196
Assicurazioni Generali SpA, Trieste 58,514 1,516,664
* Autogrill SpA, Novara 10,000 141,983
* Banca Antoniana Popolare Veneta SpA 9,599 191,443
Banca Fideuram SpA 50,948 291,817
Banca Monte Dei Paschi di Siena SpA 135,554 420,411
* Banca Nazionale del Lavoro SpA 101,562 212,802
Banca Popolare di Lodi Scarl 9,804 89,821
Banca Popolare di Milano 14,520 85,453
Banco Popolare di Verona e Novara SpA 16,000 262,526
Benetton Group SpA 6,950 78,722
Bulgari SpA 13,000 125,702
Capitalia SpA 100,360 296,643
# Cassa di Risparmio di Firenze SpA 21,455 36,802
# Compagnia Assicuratrice Unipol SpA 11,382 44,424
Credito Italiano 327,819 1,532,769
18
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* E.Biscom SpA 1,000 $ 58,177
*# Edison SpA 167,195 289,643
# Eni SpA 198,578 4,035,829
# Ente Nazionale per L'Energia Elettrica SpA 370,835 3,033,887
* Fiat SpA 39,286 278,277
* Finecogroup SpA 14,490 85,108
# Finmeccanica SpA 385,000 290,622
Gruppo Editoriale L'espresso SpA 16,000 98,264
# Intesabci SpA 316,482 1,136,135
Italcementi SpA 6,680 83,581
# Luxottica Group SpA 24,655 399,314
Mediaset SpA 66,880 732,927
Mediobanca SpA 34,000 389,312
# Mediolanum SpA 33,000 222,156
Mondadori (Arnoldo) Editore SpA 10,500 100,070
Pirelli & Co. SpA 93,332 95,767
RAS SpA (Riunione Adriatica di Sicurta) 38,672 693,268
SAI SpA (Sta Assicuratrice Industriale), Torino 3,906 86,897
Saipem SpA 16,937 154,273
San Paolo-IMI SpA 66,607 762,673
Seat Pagine Gialle SpA 8,018 3,182
* Seat Pagine Gialle SpA, Torino 3,041 1,290
SNAM Rete Gas SpA 105,674 444,900
SNIA SpA 9,248 2,786
Societe Cattolica di Assicurazoni Scarl SpA 934 36,287
* Sorin SpA 13,872 35,574
Telecom Italia Mobile SpA 485,179 2,629,586
# Telecom Italia SpA 701,433 2,151,065
* Tiscali SpA 13,000 56,965
---------------
TOTAL COMMON STOCKS
(Cost $22,777,237) 24,283,588
---------------
PREFERRED STOCKS -- (0.0%)
* Fiat SpA
(Cost $43,047) 3,000 12,827
---------------
RIGHTS/WARRANTS -- (0.0%)
* Fiat SpA Warrants 01/31/07
(Cost $0) 1,677 372
---------------
TOTAL -- ITALY
(Cost $22,820,284) 24,296,787
---------------
SPAIN -- (2.8%)
COMMON STOCKS -- (2.8%)
Acciona SA 4,613 291,583
# Acerinox SA 3,500 191,804
* Antena 3 Television 898 45,629
# Autopistas Concesionaria Espanola SA 37,894 638,828
# Banco Bilbao Vizcaya SA 182,100 2,412,663
Banco de Andalucia 655 57,893
Banco de Sabadell SA 10,406 214,226
# Banco de Valencia SA 4,181 87,190
Banco Pastor SA 1,281 38,009
# Banco Popular Espanol SA, Madrid 14,722 827,598
Banco Santander Central Hispanoamerica SA 271,784 2,888,095
Bankinter SA 3,867 $ 144,643
Cementos Portland SA 1,338 80,262
* Centros Comerciales Carrefour SA 20,065 386,964
# Cia Espanola de Petroleous SA 10,942 361,073
Compania de Distribucion Integral Logista SA 1,457 46,762
*# Coporacion Financiera Reunida SA 6,070 65,427
Corporacion Mapfre Compania Internacional de
Reaseguros SA 12,760 145,206
Ebro Puleva SA 2,892 35,259
* Enagas SA 11,325 127,113
Endesa SA, Madrid 60,300 1,113,186
Fomento de Construcciones y Contratas SA 9,577 344,921
* Gamesa Corporacion Technologica SA 3,024 135,615
# Gas Natural SA, Buenos Aires 35,972 859,438
# Grupo Ferrovial SA 10,223 402,422
Iberdrola SA 51,300 1,034,950
Iberia Lineas Aereas de Espana SA 57,296 164,560
Indra Sistemas SA 7,600 97,182
Industria de Diseno Textil SA 51,131 1,175,582
# Metrovacesa SA 3,614 138,483
OCP Construcciones SA, Madrid 7,622 372,022
Promotora de Informaciones SA 13,866 239,702
Red Electrica de Espana S.A. 6,151 101,948
Repsol SA 75,700 1,601,540
Sociedad General de Aguas de Barcelona SA 6,192 103,104
* Sociedad General de Aguas de Barcelona SA 61 1,024
* Sogecable SA 5,430 224,757
# Sol Melia SA 8,400 72,344
Tabacalera SA 15,900 486,536
* Tele Pizza SA 7,000 12,734
# Telefonica de Espana SA 282,457 4,103,377
# Telefonica Publicidad e
Informacion SA 23,179 160,049
Union Fenosa SA 19,200 409,593
# Vallehermoso SA 17,641 259,758
# Zardoya Otis SA 9,831 200,448
*# Zeltia SA 10,500 76,366
---------------
TOTAL -- SPAIN
(Cost $18,314,874) 22,977,868
---------------
SWEDEN -- (2.0%)
COMMON STOCKS -- (1.9%)
* Ainax AB 1,922 53,962
Alfa Laval AB 7,600 117,372
Assa Abloy AB Series B 20,500 237,744
Atlas Copco AB Series A 9,300 343,347
Atlas Copco AB Series B 3,600 122,519
Axfood AB 2,700 67,815
Billerud AB 3,200 49,816
* Bostads AB Drott 1,175 21,119
Castellum AB 2,200 51,893
* Drott Series AB 4,700 65,734
Electrolux AB Series B 18,500 367,329
Eniro AB 8,200 64,408
Gambro AB Series A 15,300 138,024
Gambro AB Series B 5,200 46,202
19
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Getinge AB 11,600 $ 135,280
Hennes & Mauritz AB Series B 57,900 1,433,926
Hoganas AB Series B 1,300 32,195
Holmen AB Series B 4,300 123,263
* Lundin Petroleum AB 9,000 51,527
* Modern Times Group AB Series B 1,800 32,353
Netcom AB Series B 8,700 374,460
Nordic Baltic Holdings AB 201,048 1,362,396
* OMHEX AB 6,500 86,239
Sandvik AB 16,700 567,170
Scania AB 4,000 123,357
Scania AB Series B 5,400 169,290
Securitas AB Series B 20,900 258,050
Skandia Insurance AB 63,500 254,688
Skandinaviska Enskilda Banken
Series A 53,100 765,653
Skanska AB Series B 19,500 162,968
SSAB Swedish Steel Series A 3,500 58,546
SSAB Swedish Steel Series B 1,400 22,660
Svenska Cellulosa AB Series B 12,700 492,126
Svenska Handelsbanken Series A 45,800 891,156
Svenska Kullagerfabriken AB
Series A 2,300 83,186
Svenska Kullagerfabriken AB
Series B 5,200 189,719
Swedish Match AB (Frueher
Svenska Taendsticks AB) 20,400 215,211
Tele2 AB Series A 800 34,189
* Telefon AB L.M. Ericsson Series B 950,800 2,658,934
# Telia AB 381,900 1,614,475
Tietoenator Corp. AB 3,400 100,829
Trelleborg AB Series B 4,200 76,123
# Volvo AB Series A 8,900 277,542
# Volvo AB Series B 20,900 683,228
WM-Data AB Series B 8,500 18,969
---------------
TOTAL COMMON STOCKS
(Cost $13,843,369) 15,096,992
---------------
INVESTMENT IN CURRENCY -- (0.1%)
* Swedish Krona
(Cost $643,514) 647,648
---------------
TOTAL -- SWEDEN
(Cost $14,486,883) 15,744,640
---------------
HONG KONG -- (1.3%)
COMMON STOCKS -- (1.3%)
ASM Pacific Technology, Ltd. 12,000 47,890
Bank of East Asia, Ltd. 64,910 184,206
Cathay Pacific Airways, Ltd. 176,000 332,237
Cheung Kong Holdings, Ltd. 105,600 793,150
Cheung Kong Infrastructure
Holdings, Ltd. 99,000 240,040
China Merchants Holdings
(International) Co., Ltd. 54,000 71,316
China Unicom, Ltd. 232,000 176,330
CLP Holdings, Ltd. 110,400 584,908
CNOOC, Ltd. 712,500 303,260
Dah Sing Financial Holdings, Ltd. 3,600 24,187
Esprit Holdings, Ltd. 54,541 237,325
Giordano International, Ltd. 40,000 24,496
Hang Lung Development Co., Ltd. 24,000 32,640
Hang Lung Properties, Ltd. 113,500 $ 147,677
Hang Seng Bank, Ltd. 103,000 1,304,014
Henderson Investment, Ltd. 72,000 84,964
Henderson Land Development Co.,
Ltd. 97,000 417,942
* Hong Kong and China Gas Co., Ltd. 51,000 80,526
Hong Kong Electric Holdings, Ltd. 93,707 391,998
Hong Kong Exchanges & Clearing,
Ltd. 48,000 99,557
Hopewell Holdings, Ltd. 38,000 66,099
Hutchison Whampoa, Ltd. 218,500 1,477,411
Hysan Development Co., Ltd. 41,242 66,380
I-Cable Communications, Ltd. 9,854 3,786
Johnson Electric Holdings, Ltd. 168,000 158,097
Kerry Properties, Ltd. 18,000 29,122
Kowloon Motor Bus Holdings, Ltd. 1,200 5,894
* Legend Group, Ltd. 174,000 54,657
Li & Fung, Ltd. 126,000 186,333
* MTR Corp., Ltd. 18,500 27,017
New World Development Co., Ltd. 128,860 99,968
NWS Holdings Ltd. 27,000 32,198
* PCCW, Ltd. 235,265 159,917
SCMP Group, Ltd. 39,198 15,697
Shangri-La Asia, Ltd. 99,872 98,111
Sino Land Co., Ltd. 180,644 105,354
Smartone Telecommunications
Holdings, Ltd. 23,000 24,652
Sung Hungkai Properties, Ltd. 118,706 1,007,851
Swire Pacific, Ltd. Series A 42,500 274,021
Techtronic Industries Co., Ltd. 28,000 84,287
Television Broadcasts, Ltd. 20,000 87,987
Texwinca Holdings, Ltd. 60,000 47,707
Wharf Holdings, Ltd. 107,542 303,130
Wheelock and Co., Ltd. 29,000 34,755
Wing Hang Bank, Ltd. 4,500 26,303
# Yue Yuen Industrial (Holdings), Ltd. 69,000 171,914
---------------
TOTAL COMMON STOCKS
(Cost $10,956,855) 10,227,311
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Hong Kong Dollars
(Cost $166,551) 166,537
---------------
TOTAL -- HONG KONG
(Cost $11,123,406) 10,393,848
---------------
FINLAND -- (1.2%)
COMMON STOCKS -- (1.2%)
Amer-Yhtymae Oyj Series A 1,500 76,996
* Elisa Communications Corp. 10,063 125,447
Fortum Oyj 90,288 1,060,115
KCI Konecranes International Oyj 700 24,185
Kemira Oyj 4,000 50,523
Kesko Oyj 6,400 126,002
Kone Corp. 5,140 296,022
Metso Oyj 10,444 127,906
M-real Oyj Series B 9,000 76,581
Nokia Oyj 342,121 4,686,868
Nokian Renkaat Oyj 500 46,203
Orion-Yhtyma Oyj Series A 200 5,052
Orion-Yhtyma Oyj Series B 2,000 50,850
Outokumpu Oyj Series A 15,900 240,890
20
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Pohjola Group P.L.C. Series D 9,600 $ 93,522
Rautaruukki Oyj Series K 8,700 64,769
Sampo Insurance Co., Ltd. 58,700 582,159
Sanoma-Wsoy Oyj Series A 1,391 24,797
Sanoma-Wsoy Oyj Series B 13,063 232,680
Stora Enso Oyj Series R 67,900 880,090
Tietoenator Corp. 2,800 82,623
Upm-Kymmene Oyj 45,800 822,604
Uponor Oyj Series A 2,300 73,143
Wartsila Corp. Oyj Series B 2,900 59,225
---------------
TOTAL -- FINLAND
(Cost $9,986,195) 9,909,252
---------------
BELGIUM -- (0.8%)
COMMON STOCKS -- (0.8%)
AGFA-Gevaert NV, Mortsel 7,300 177,527
Algemene Mij Voor Nijverheidskredit
Almanij 6,572 398,651
Barco (New) NV 400 34,950
Bekaert SA 700 40,451
Cie Martime Belge SA 300 28,204
Cofinimmo SA 200 25,644
Colruyt SA Halle 1,700 185,219
* Delhaize Freres & cie le Lion SA
Molenbeek-Saint Jean 3,600 168,319
# Dexia SA 50,657 847,840
D'Ieteren SA 290 57,729
# Electrabel SA 2,900 945,514
Exmar NV 300 16,468
# Fortis AG 53,679 1,141,072
Groupe Bruxelles Lambert 2,500 154,459
Interbrew SA 23,590 720,029
KBC Bancassurance Holding SA 15,700 899,884
* Mobistar SA 2,500 156,404
Omega Pharma SA 500 24,185
Solvay SA 4,400 354,131
# UCB SA 7,600 353,722
* Umicore-Strip VVPR 55 10
Union Miniere SA 1,155 70,118
---------------
TOTAL COMMON STOCKS
(Cost $6,205,870) 6,800,530
---------------
RIGHTS/WARRANTS -- (0.0%)
* Cofinimmo SA Rights 06/11/04
(Cost $0) 200 0
---------------
TOTAL -- BELGIUM
(Cost $6,205,870) 6,800,530
---------------
DENMARK -- (0.7%)
COMMON STOCKS -- (0.7%)
Bang & Olufsen Holding A.S. Series B 290 16,864
Carlsberg A.S. Series B 3,475 170,044
Codan A.S. 500 20,955
Coloplast A.S. Series B 970 94,284
Dampskibsselskabet Svendborg A.S. 254 1,654,295
Danisco A.S. 2,450 116,113
Danske Bank A.S. 37,056 842,536
DSV, De Sammensluttede
Vognmaend A.S. 880 40,525
East Asiatic Co., Ltd. 900 39,974
* FLS Industries 890 $ 12,054
GN Great Nordic A.S. 9,620 72,227
Group 4 Falck A.S. 3,480 80,626
H. Lundbeck A.S. 14,002 310,827
ISS A.S. 1,763 84,298
* Jyske Bank A.S. 1,330 70,123
Koebenhavns Lufthavne 280 39,715
NKT Holding A.S. 1,100 21,523
Novo-Nordisk A.S. Series B 14,150 650,675
Novozymes A.S. Series B 2,830 123,960
Sydbank A.S. 240 34,350
Tele Danmark A.S. 12,110 408,545
* TK Development 614 1,321
* Topdanmark A.S. 1,300 78,608
* Vestas Wind Systems A.S. 4,400 58,650
* Vestas Wind Systems A.S. Issue 04 1,466 19,015
* William Demant Holding 3,260 120,615
---------------
TOTAL COMMON STOCKS
(Cost $4,396,887) 5,182,722
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Danish Krone
(Cost $300,967) 303,474
---------------
RIGHTS/WARRANTS -- (0.0%)
* Vestas Wind Systems A.S.
Rights 06/03/04
(Cost $0) 2 3
---------------
TOTAL -- DENMARK
(Cost $4,697,854) 5,486,199
---------------
SINGAPORE -- (0.7%)
COMMON STOCKS -- (0.7%)
Allgreen Properties, Ltd. 41,000 22,901
* Capitacommercial Trust 23,100 13,854
Capitaland, Ltd. 115,500 88,169
* Chartered Semiconductor
Manufacturing, Ltd. 112,000 94,556
City Developments, Ltd. 32,000 98,314
Comfortdelgro Corp., Ltd. 81,000 54,323
Creative Technology Co., Ltd. 3,000 30,155
Cycle & Carriage, Ltd. 5,982 22,853
DBS Group Holdings, Ltd. 75,000 620,736
Fraser & Neave, Ltd. 11,100 88,035
Great Eastern Holdings, Ltd. 14,000 96,910
Haw Par Brothers International, Ltd. 2,248 6,174
Keppel Corp., Ltd. 32,000 125,122
Keppel Land, Ltd. 22,000 21,457
* MobileOne, Ltd. 23,000 20,372
Neptune Orient Lines, Ltd. 47,000 59,208
Overseas Chinese Banking Corp., Ltd. 63,300 446,081
Overseas Union Enterprise, Ltd. 6,000 23,753
Parkway Holdings, Ltd. 20,000 13,547
Sembcorp Industries, Ltd. 78,000 66,029
Sembcorp Logistics, Ltd. 39,000 43,725
Sembcorp Marine, Ltd. 55,000 28,477
Singapore Airlines, Ltd. 73,000 450,855
Singapore Land, Ltd. 11,000 24,973
Singapore Press Holdings 16,000 192,484
Singapore Technologies
Engineering, Ltd. 155,000 175,864
21
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SHARES VALUE+
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Singapore Telecommunications, Ltd. 1,178,000 $ 1,513,742
Smrt Corporation, Ltd. 59,000 22,684
*# St Assembly Test Services, Ltd. 38,000 32,922
United Overseas Bank, Ltd. 76,000 580,046
United Overseas Land, Ltd. 22,000 29,269
Venture Manufacturing
(Singapore), Ltd. 10,000 106,490
Wing Tai Holdings, Ltd. 22,166 11,098
---------------
TOTAL COMMON STOCKS
(Cost $6,124,378) 5,225,178
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Singapore Dollars
(Cost $148,956) 149,994
---------------
RIGHTS/WARRANTS -- (0.0%)
* City Developments, Ltd. Warrants
(Cost $0) 3,200 5,080
---------------
TOTAL -- SINGAPORE
(Cost $6,273,334) 5,380,252
---------------
IRELAND -- (0.6%)
COMMON STOCKS -- (0.6%)
Allied Irish Banks P.L.C. 68,071 964,365
Anglo Irish Bank Corp. P.L.C. 24,997 395,909
Bank of Ireland P.L.C. 72,629 859,837
CRH P.L.C. 39,532 839,639
DCC P.L.C. 4,814 78,338
* Elan Corp. P.L.C. 28,990 684,614
Fyffes P.L.C. 17,987 35,203
* Grafton Group P.L.C. 15,596 112,207
Greencore Group P.L.C. 13,520 51,156
IAWS Group P.L.C. 8,593 96,712
Independent News & Media P.L.C. 66,416 157,114
Irish Permanent P.L.C. 18,325 275,706
Kerry Group P.L.C. 17,981 371,082
* Ryanair Holdings P.L.C. 32,702 173,280
Waterford Wedgwood P.L.C. 57,541 13,785
---------------
TOTAL -- IRELAND
(Cost $4,533,816) 5,108,947
---------------
EMU -- (0.6%)
INVESTMENT IN CURRENCY -- (0.6%)
* Euro Currency
(Cost $4,593,583) 4,624,056
---------------
NORWAY -- (0.4%)
COMMON STOCKS -- (0.4%)
* Aker Kvaerner ASA 755 12,055
Den Norske Bank ASA Series A 46,600 295,667
* Merkantildata ASA 6,800 5,109
Nera ASA 6,300 16,717
Norsk Hydro ASA 16,900 1,048,742
Norske Skogindustrier ASA Series A 5,000 83,355
* Opticom ASA 600 5,867
Orkla ASA Series A 11,471 291,205
Schibsted ASA 2,700 47,443
Smedvig ASA Series A 3,800 35,706
Statoil Den Norske Stats
Oljeselskap ASA 52,301 654,843
Storebrand ASA 14,500 97,394
Tandberg ASA Series A 5,600 56,397
Telenor ASA 71,341 $ 512,476
Tomra Systems ASA 9,200 37,039
* Yara International ASA 16,900 125,403
---------------
TOTAL COMMON STOCKS
(Cost $2,600,205) 3,325,418
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Norwegian Krone
(Cost $196,132) 197,907
---------------
TOTAL -- NORWAY
(Cost $2,796,337) 3,523,325
---------------
GREECE -- (0.3%)
COMMON STOCKS -- (0.3%)
Alpha Credit Bank 10,164 265,914
Athens Water Supply & Sewage Co.
S.A. 4,100 28,272
Attica Enterprises S.A. Holdings 3,130 12,633
Bank of Piraeus S.A. 6,510 75,842
Commercial Bank of Greece 3,700 97,957
* Cosmote Mobile Telecommunications
S.A. 9,750 162,962
EFG Eurobank Ergasias S.A. 17,470 388,853
Hellenic Bottling Co. S.A. 13,170 328,899
Hellenic Duty Free Shops S.A. 2,000 36,733
Hellenic Petroleum S.A. 13,100 100,125
Hellenic Technodomiki S.A. 3,900 19,454
Hellenic Tellecommunication
Organization Co. S.A. 32,460 426,517
Intracom S.A. 3,310 16,652
* Mailis (M.J.) S.A. 2,800 9,530
National Bank of Greece 13,285 400,093
Public Power Corp. of Greece 13,790 344,431
Titan Cement Co. 1,140 49,824
Viohalco S.A. 2,800 17,732
---------------
TOTAL -- GREECE
(Cost $2,300,943) 2,782,423
---------------
PORTUGAL -- (0.3%)
COMMON STOCKS -- (0.3%)
Banco Comercial Portugues SA 172,715 400,276
Banco Espirito Santo e Comercial
de Lisboa 17,995 296,298
BPI SGPS SA 44,098 160,901
Brisa Auto Estradas de
Portugal SA 24,268 168,200
Cimpor Cimentos de Portugal SA 34,848 182,831
Electricidade de Portugal SA 144,658 392,082
* Jeronimo Martins (Estabelecimentos
Jeronimo Martins & Filho
Administracao e Participacoes
Financeiros SA) 5,600 66,095
Portugal Telecom SA 62,730 642,692
PT Multimedia Servicos de
Telecomunicacoes e Multimedia
SGPS SA 5,286 110,918
Sonae SGPS SA 108,923 113,125
---------------
TOTAL -- PORTUGAL
(Cost $2,631,882) 2,533,418
---------------
22
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AUSTRIA -- (0.2%)
COMMON STOCKS -- (0.2%)
Bohler Uddeholm AG 480 $ 36,603
BWT AG 880 21,533
Erste Bank der Oesterreichischen
Sparkassen AG 2,731 422,201
EVN AG 674 35,492
Flughafen Wien AG 579 32,223
* Immofinanz Immobilien Anlagen AG 8,273 65,386
Mayr-Melnhof Karton AG 472 56,661
Oesterreichische
Elektrizitaetswirtschafts AG 810 134,482
OMV AG 1,728 303,035
* RHI AG, Wien 778 16,158
* Telekom Austria AG 20,547 286,633
* VA Technologie AG 805 42,959
Voestalpine AG 1,479 65,995
Wienerberger AG 4,007 135,793
---------------
TOTAL COMMON STOCKS
(Cost $1,160,576) 1,655,154
---------------
RIGHTS/WARRANTS -- (0.0%)
* Wienerberger AG Rights 06/02/04
(Cost $0) 4,007 0
---------------
TOTAL -- AUSTRIA
(Cost $1,160,576) 1,655,154
---------------
NEW ZEALAND -- (0.2%)
COMMON STOCKS -- (0.2%)
Auckland International Airport, Ltd. 18,875 79,616
Carter Holt Harvey, Ltd. 128,700 158,483
Contact Energy, Ltd. 29,322 103,787
Fisher & Paykel Apppliances
Holdings, Ltd. 14,080 40,461
Fisher & Paykel Healthcare Corp. 6,279 49,973
Fletcher Building, Ltd. 28,054 77,841
Independent Newspapers, Ltd.
(Auckland) 21,417 65,514
Sky City Entertainment Group, Ltd. 28,614 85,272
* Sky Network Television, Ltd. 17,139 57,470
Telecom Corporation of
New Zealand, Ltd. 133,816 465,524
* Tower, Ltd. 25,408 $ 25,402
Warehouse Group, Ltd. 14,200 38,332
---------------
TOTAL COMMON STOCKS
(Cost $887,116) 1,247,675
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* New Zealand Dollar
(Cost $37,056) 37,470
---------------
TOTAL -- NEW ZEALAND
(Cost $924,172) 1,285,145
---------------
FACE
AMOUNT
------
(000)
TEMPORARY CASH
INVESTMENTS -- (16.1%)
Repurchase Agreement, PNC Capital
Markets, Inc. 0.89%, 06/01/04
(Collateralized by $14,225,000 FMC
Discount Notes 1.13%, 08/12/04,
valued at $14,189,438) to be
repurchased at $13,980,382
(Cost $13,979,000) $ 13,979 13,979,000
Repurchase Agreement, Mizuho
Securities USA 1.00%, 06/01/04
(Collateralized by $122,482,000
U.S. Treasury Obligations 2.625%,
05/15/08, valued at $119,112,191)
to be repurchased at $116,789,323
(Cost $116,776,348)^ 116,776 116,776,348
---------------
TOTAL TEMPORARY
CASH INVESTMENTS
(Cost $130,755,348) 130,755,348
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $772,953,663)++ $ 810,199,962
===============
----------
+ 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 $773,766,551.
See accompanying Notes to Financial Statements.
23
DFA INVESTMENT DIMENSIONS GROUP INC.
LARGE CAP INTERNATIONAL PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2004
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
[Download Table]
ASSETS:
Investments at Value (Includes $110,577 of securities on loan) $ 810,200
Cash 16
Receivables:
Dividends and Interest 2,338
Fund Shares Sold 1,173
Securities Lending Income 112
Prepaid Expenses and Other Assets 24
-------------
Total Assets 813,863
-------------
LIABILITIES:
Payables:
Collateral on Securities Loaned 116,776
Investment Securities Purchased 21,901
Fund Shares Redeemed 141
Due to Advisor 135
Accrued Expenses and Other Liabilities 102
-------------
Total Liabilities 139,055
-------------
NET ASSETS $ 674,808
=============
SHARES OUTSTANDING, $.01 PAR VALUE
(Authorized 150,000,000) 42,815,655
=============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 15.76
=============
Investments at Cost $ 772,954
=============
NET ASSETS CONSIST OF:
Paid-in Capital $ 652,508
Accumulated Net Investment Income (Loss) 6,302
Accumulated Net Realized Gain/(Loss) (21,225)
Accumulated Net Realized Foreign Exchange Gain (Loss) 54
Unrealized Appreciation (Depreciation) of Investment Securities 37,246
Unrealized Net Foreign Exchange Gain (Loss) (77)
=============
Total Net Assets $ 674,808
=============
See accompanying Notes to Financial Statements.
24
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2004
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
[Download Table]
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $904) $ 8,876
Interest 55
Income from Securities Lending 305
-------------
Total Investment Income 9,236
-------------
EXPENSES
Investment Advisory Services 779
Accounting & Transfer Agent Fees 299
Custodian Fees 133
Legal Fees 3
Audit Fees 13
Filing Fees 15
Shareholders' Reports 9
Directors' Fees and Expenses 3
Other 15
-------------
Total Expenses 1,269
-------------
NET INVESTMENT INCOME (LOSS) 7,967
-------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES AND
FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment Securities Sold 733
Net Realized Gain (Loss) on Foreign Currency Transactions 54
Change in Unrealized Appreciation (Depreciation) of Investment
Securities and Foreign Currency 41,414
Translation of Foreign Currency Denominated Amounts (112)
-------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY 42,089
-------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 50,056
=============
See accompanying Notes to Financial Statements.
25
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
[Enlarge/Download Table]
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2004 2003
----------- -----------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 7,967 $ 8,058
Net Realized Gain (Loss) on Investment Securities Sold 733 --
Net Realized Gain (Loss) on Foreign Currency Transactions 54 99
Change in Unrealized Appreciation (Depreciation) of Investment Securities
and Foreign Currency 41,414 81,602
Translation of Foreign Currency Denominated Amounts (112) 21
----------- -----------
Net Increase (Decrease) in Net Assets Resulting from Operations 50,056 89,780
----------- -----------
Distributions From:
Net Investment Income (9,522) (5,772)
----------- -----------
Total Distributions (9,522) (5,772)
----------- -----------
Capital Share Transactions (1):
Shares Issued 163,365 179,697
Shares Issued in Lieu of Cash Distributions 9,243 5,551
Shares Redeemed (42,457) (102,500)
----------- -----------
Net Increase (Decrease) from Capital Share Transactions 130,151 82,748
----------- -----------
Total Increase (Decrease) 170,685 166,756
NET ASSETS
Beginning of Period 504,123 337,367
----------- -----------
End of Period $ 674,808 $ 504,123
=========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 10,498 14,472
Shares Issued in Lieu of Cash Distributions 615 483
Shares Redeemed (2,702) (8,433)
----------- -----------
8,411 6,522
=========== ===========
See accompanying Notes to Financial Statements.
26
DFA INVESTMENT DIMENSIONS GROUP INC.
LARGE CAP INTERNATIONAL PORTFOLIO
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
[Enlarge/Download Table]
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
----------- --------- --------- --------- --------- ---------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 14.65 $ 12.10 $ 13.90 $ 17.30 $ 19.41 $ 16.28
----------- --------- --------- --------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.18 0.25 0.22 0.25 0.23 0.20
Net Gains (Losses) on Securities (Realized
and Unrealized) 1.19 2.51 (1.79) (3.38) (1.96) 3.19
----------- --------- --------- --------- --------- ---------
Total from Investment Operations 1.37 2.76 (1.57) (3.13) (1.73) 3.39
----------- --------- --------- --------- --------- ---------
LESS DISTRIBUTIONS
Net Investment Income (0.26) (0.21) (0.23) (0.22) (0.21) (0.26)
Net Realized Gains -- -- -- (0.05) (0.17) --
----------- --------- --------- --------- --------- ---------
Total Distributions (0.26) (0.21) (0.23) (0.27) (0.38) (0.26)
----------- --------- --------- --------- --------- ---------
Net Asset Value, End of Period $ 15.76 $ 14.65 $ 12.10 $ 13.90 $ 17.30 $ 19.41
=========== ========= ========= ========= ========= =========
Total Return 9.42%# 23.32% (11.50)% (18.42)% (9.19)% 21.12%
Net Assets, End of Period (thousands) $ 674,808 $ 504,123 $ 337,367 $ 344,871 $ 358,638 $ 268,340
Ratio of Expenses to Average Net Assets 0.41%* 0.43% 0.44% 0.45% 0.47% 0.53%
Ratio of Net Investment Income to Average Net
Assets 2.56%* 2.10% 1.74% 1.65% 1.21% 1.38%
Portfolio Turnover Rate 0%# 1% 9% 4% 1% 2%
----------
* Annualized
# Non-Annualized
See accompanying Notes to Financial Statements.
27
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company whose shares are offered without a sales charge generally to
institutional investors and clients of registered investment advisors. The Fund
consists of thirty-six portfolios, of which the Large Cap International
Portfolio (the "Portfolio") is presented in this report.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Fund's maximum exposure under these arrangements is unknown
as this would involve future claims that may be made against the Fund and/or its
affiliates that have not yet occurred. However, based on experience, the Fund
expects the risk of loss to be remote.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in the preparation of its
financial statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America may
require management to make estimates and assumptions that affect the reported
amounts and disclosures in the financial statements. Actual results could differ
from those estimates and those differences could be material.
1. SECURITY VALUATION: Securities held by the Portfolio which are listed
on a securities exchange are valued at the last quoted sale price. Price
information on listed securities is taken from the exchange where the security
is primarily traded. Unlisted securities for which market quotations are readily
available are valued at the mean between the quoted bid and asked prices.
Securities for which quotations are not readily available, or for which market
quotations have become unreliable, are valued in good faith at fair value using
methods approved by the Board of Directors.
The Portfolio will also apply a fair value price in the circumstances
described below. Generally, trading in foreign securities markets is completed
each day at various times prior to the close of the New York Stock Exchange
(NYSE). For example, trading in the Japanese securities markets is completed
each day at the close of the Tokyo Stock Exchange (generally 11:00 p.m. PT),
which is fourteen hours prior to the close of the NYSE (generally 1:00 p.m. PT)
and the time that the net asset value of the Portfolio is computed. Due to the
time differences between the closings of the relevant foreign securities
exchanges and the time the Portfolio prices its shares at the close of the NYSE,
the Portfolio will fair value its foreign investments when it is determined that
the market quotations for the foreign investments are either unreliable or not
readily available. The fair value prices will attempt to reflect the impact of
the U.S. financial markets' perceptions and trading activities on the
Portfolio's foreign investments since the last closing prices of the foreign
investments were calculated on their primary foreign securities markets or
exchanges. For these purposes, the Board of Directors of the Portfolio has
determined that movements in relevant indices or other appropriate market
indicators, after the close of the Tokyo Stock Exchange or the London Stock
Exchange, demonstrate that market quotations may be unreliable, and may trigger
fair value pricing. Consequently, fair valuation of portfolio securities may
occur on a daily basis. The fair value pricing by the Portfolio utilizes data
furnished by an independent pricing service (and that data draws upon, among
other information, the market values of foreign investments). The fair value
prices of portfolio securities generally will be used when it is determined that
the use of such prices will have a material impact on the net asset value of the
Portfolio. When the Portfolio uses fair value pricing, the values assigned to
the Portfolio's foreign investments may not be the quoted or published prices of
the investments on their primary markets or exchanges.
28
2. FOREIGN CURRENCY: Securities and other assets and liabilities of the
Portfolio whose values are initially expressed in foreign currencies are
translated to U.S. dollars using the mean between the most recently quoted bid
and asked prices for the U.S. dollar as quoted by generally recognized reliable
sources. Dividend and interest income and certain expenses are translated to
U.S. dollars at the rate of exchange on their respective accrual dates.
Receivables and payables denominated in foreign currencies are marked to market
daily based on daily exchange rates and exchange gains or losses are realized
upon ultimate receipt or disbursement.
The Portfolio does not isolate the effect of fluctuations in foreign
exchange rates from the effect of fluctuations in the market prices of
securities held whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of the Portfolio
and the U.S. dollar equivalent amounts actually received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Directors may defer payment of a
percentage of their total fees earned as a Director. These deferred amounts may
be treated as though such amounts had been invested in shares of the following
funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA
International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income, are included in Directors'
Fees and Expenses. At May 31, 2004, the total liability for deferred
compensation to Directors is included in Accrued Expenses and Other Liabilities
in the amount of $8,692.
4. OTHER: Security transactions are accounted for on the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on an accrual basis. Expenses directly attributable to the
Portfolio are directly charged. Common expenses of the Fund or Portfolios are
allocated using methods approved by the Board of Directors, generally based on
average net assets.
The Portfolio may be subject to taxes imposed by countries in which it
invests, with respect to its investments in issuers existing or operating in
such countries. Such taxes are generally based on income earned or repatriated
and capital gains realized on the sale of such investments. The Portfolio
accrues such taxes when the related income or capital gains are known. Some
countries require governmental approval for the repatriation of investment
income, capital or the proceeds of sales earned by foreign investors. In
addition, if there is deterioration in a country's balance of payments or for
other reasons, a country may impose temporary restrictions on foreign capital
remittances abroad.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Portfolio. The Advisor provides
administrative services including supervision of services provided by others,
providing information to the shareholders and to the Board of Directors, and
other administrative services.
For the six months ended May 31, 2004, the Portfolio's advisory fees were
accrued daily and paid monthly to the Advisor at an effective annual rate of
0.25 of 1%.
Certain officers of the Portfolio are also officers, directors and
shareholders of the Advisor.
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 2004, the Portfolio made the following
purchases and sales of investment securities other than U.S. Government
Securities and short-term securities (amounts in thousands):
[Download Table]
Purchases $ 132,971
Sales 2,989
29
E. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since the Portfolio
intends to continue to qualify as a regulated investment company under
Subchapter M of the Internal Revenue Code and distribute substantially all of
its taxable income and capital gains to shareholders. Because income tax
regulations differ from accounting principles generally accepted in the United
States of America, the timing and character of income and capital gain
distributions determined in accordance with tax regulations can differ from
income and capital gains recognized for financial reporting purposes.
Accordingly, the character of distributions and the composition of net assets
for tax purposes can differ from those reflected in the financial statements.
These book/tax differences may be temporary or permanent in nature. To the
extent these differences are permanent, they are charged or credited to paid in
capital, accumulated net realized gain (loss) or undistributed net investment
income as appropriate, in the period the differences arise. These
reclassifications have no effect on net assets or net asset value per share.
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
The components of distributable earnings on a tax basis do not differ
materially from book basis distributable earnings, which are disclosed in the
Statements of Assets and Liabilities.
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):
[Download Table]
Gross Unrealized Appreciation $ 101,098
Gross Unrealized Depreciation (64,665)
---------
Net $ 36,433
=========
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at November 30, its fiscal year end. As of November 30,
2003, the Portfolio had a capital loss carryforward for federal income tax
purposes in the amount of approximately $21,144,000, with $2,431,000,
$18,180,000 and $533,000 expiring on November 30, 2009, 2010 and 2011,
respectively.
F. FINANCIAL INSTRUMENTS:
In accordance with the Portfolio's Investment Objectives and Policies, the
Portfolio may invest in certain financial instruments that have off-balance
sheet risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. REPURCHASE AGREEMENTS: The Portfolio may purchase money market
instruments subject to the counterparty's agreement to repurchase them at an
agreed upon date and price. The counterparty will be required on a daily basis
to maintain the value of the collateral subject to the agreement at not less
than the repurchase price (including accrued interest). The agreements are
conditioned upon the collateral being deposited under the Federal Reserve
book-entry system with the Portfolio's custodian or a third party sub-custodian.
In the event of default or bankruptcy by the other party to the agreement,
retention of the collateral may be subject to legal proceedings.
The open repurchase agreement was entered into on May 28, 2004.
2. FOREIGN MARKETS RISKS. Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States, including the possibility of future political and economic
developments and the level of foreign governmental supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid and
more volatile than the major securities markets in the United States.
Consequently, acquisition and disposition of securities by the Portfolio may be
inhibited.
30
G. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 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. There were no borrowings under the discretionary line of
credit by the Portfolio during the six months ended 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 Portfolio during the six months ended May
31, 2004.
H. 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. 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.
31
THE U.S. LARGE COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
[Download Table]
SHARES VALUE+
------ ------
COMMON STOCKS -- (87.5%)
3M Co. 244,400 $ 20,666,464
Abbott Laboratories 487,700 20,098,117
Ace, Ltd. 87,100 3,586,778
* ADC Telecommunications, Inc. 251,500 638,810
# Adobe Systems, Inc. 74,400 3,320,472
*# Advanced Micro Devices, Inc. 108,700 1,690,285
* AES Corp. 194,200 1,813,828
Aetna, Inc. 47,800 3,881,360
* Affiliated Computer Services, Inc.
Class A 42,700 2,127,314
AFLAC, Inc. 159,900 6,491,940
* Agilent Technologies, Inc. 148,300 3,811,310
Air Products & Chemicals, Inc. 70,900 3,542,873
Alberto-Culver Co. Class B 28,300 1,330,666
# Albertson's, Inc. 114,400 2,680,392
Alcoa, Inc. 271,400 8,494,820
*# Allegheny Energy, Inc. 39,600 564,300
Allegheny Technologies, Inc. 25,200 302,652
Allergan, Inc. 40,900 3,636,010
* Allied Waste Industries, Inc. 99,900 1,324,674
# Allstate Corp. 219,400 9,649,212
Alltel Corp. 97,400 4,931,362
*# Altera Corp. 118,100 2,703,309
Altria Group, Inc. 638,400 30,624,048
Ambac Financial Group, Inc. 33,300 2,302,695
Amerada Hess Corp. 28,000 1,976,520
Ameren Corp. 56,700 2,506,140
# American Electric Power Co., Inc. 123,200 3,914,064
American Express Co. 401,200 20,340,840
American International Group, Inc. 813,800 59,651,540
American Power Conversion Corp. 61,900 1,120,390
* American Standard Companies, Inc. 67,500 2,532,600
AmerisourceBergen Corp. 35,000 2,099,300
*# Amgen, Inc. 402,400 22,011,280
AmSouth Bancorporation 109,500 2,790,060
Anadarko Petroleum Corp. 78,500 4,279,820
# Analog Devices, Inc. 116,600 5,730,890
*# Andrew Corp. 49,600 974,640
Anheuser-Busch Companies, Inc. 254,100 13,535,907
*# Anthem, Inc. 43,100 3,815,643
AON Corp. 97,900 2,704,977
Apache Corp. 101,100 4,080,396
Apartment Investment & Management
Co. Class A 29,200 843,296
* Apollo Group, Inc. (Class A) 54,900 5,149,620
*# Apple Computer, Inc. 115,300 3,235,318
# Applera Corporation - Applied
Biosystems Group 64,300 1,246,134
* Applied Materials, Inc. 524,500 10,469,020
* Applied Micro Circuits Corp. 96,900 522,291
Archer-Daniels Midland Co. 202,100 3,360,923
Ashland, Inc. 21,700 1,023,155
# AT&T Corp. 247,500 4,103,550
* AT&T Wireless Services, Inc. 849,800 12,033,168
# Autodesk, Inc. 35,200 1,262,272
Automatic Data Processing, Inc. 183,900 $ 8,170,677
*# AutoNation, Inc. 85,800 1,430,286
* Autozone, Inc. 27,200 2,359,600
*# Avaya, Inc. 132,500 2,097,475
Avery Dennison Corp. 34,500 2,036,880
Avon Products, Inc. 73,500 6,516,510
B B & T Corp. 170,500 6,424,440
Baker Hughes, Inc. 104,400 3,552,732
Ball Corp. 17,500 1,195,425
# Bank of America Corp. 640,659 53,257,983
Bank of New York Co., Inc. 241,300 7,255,891
Bank One Corp. 349,200 16,918,740
Bard (C.R.), Inc. 16,200 1,817,154
Bausch & Lomb, Inc. 16,400 1,000,728
# Baxter International, Inc. 190,300 5,983,032
Bear Stearns Companies, Inc. 32,400 2,626,344
Becton Dickinson & Co. 78,800 3,965,216
* Bed, Bath and Beyond, Inc. 93,100 3,467,975
Bellsouth Corp. 571,100 14,254,656
Bemis Co., Inc. 33,500 922,925
# Best Buy Co., Inc. 101,300 5,344,588
* Big Lots, Inc. 36,400 532,168
*# Biogen Idec, Inc. 102,200 6,351,730
# Biomet, Inc. 79,800 3,201,576
* BJ Services, Co. 49,700 2,081,933
Black & Decker Corp. 24,500 1,468,285
# Block (H.&R.), Inc. 55,600 2,716,060
*# BMC Software, Inc. 70,200 1,238,328
# Boeing Co. 262,800 12,036,240
Boise Cascade Corp. 27,200 956,080
* Boston Scientific Corp. 255,400 11,314,220
Bristol Myers Squibb Co. 605,400 15,298,458
*# Broadcom Corp. 94,400 3,984,624
Brown-Forman Corp. Class B 37,800 1,816,290
Brunswick Corp. 29,200 1,182,600
Burlington Northern Santa Fe Corp. 116,100 3,824,334
Burlington Resources, Inc. 61,700 4,130,198
*# Calpine Corp. 128,900 488,531
# Campbell Soup Co. 128,200 3,270,382
# Capital One Financial Corp. 72,000 5,044,320
Cardinal Health, Inc. 135,700 9,188,247
* Caremark Rx, Inc. 142,200 4,436,640
# Carnival Corp. 196,500 8,372,865
# Caterpillar, Inc. 108,300 8,160,405
# Cendant Corp. 314,300 7,210,042
CenterPoint Energy, Inc. 95,500 1,035,220
Centex Corp. 39,000 1,891,110
CenturyTel, Inc. 45,000 1,345,050
Charter One Financial, Inc. 69,400 3,050,824
# ChevronTexaco Corp. 333,600 30,157,440
*# Chiron Corp. 58,500 2,617,875
Chubb Corp. 58,600 3,947,882
*# CIENA Corp. 179,900 647,640
# CIGNA Corp. 44,000 2,983,200
Cincinnati Financial Corp. 52,605 2,248,864
Cinergy Corp. 55,500 2,081,805
32
[Download Table]
SHARES VALUE+
------ ------
Cintas Corp. 53,400 $ 2,423,292
Circuit City Stores, Inc. 65,600 785,232
* Cisco Sytems, Inc. 2,143,400 47,476,310
# Citigroup, Inc. 1,606,500 74,589,795
* Citizens Communications Co. 88,700 1,126,490
* Citrix Systems, Inc. 51,200 1,077,760
# Clear Channel Communications, Inc. 192,000 7,622,400
Clorox Co. 65,500 3,429,580
*# CMS Energy Corp. 50,200 432,724
Coca-Cola Co. 762,600 39,159,510
Coca-Cola Enterprises, Inc. 143,100 3,942,405
Colgate-Palmolive Co. 166,100 9,500,920
* Comcast Corp. Class A 702,100 20,325,795
Comerica, Inc. 54,700 3,096,567
Computer Associates International,
Inc. 181,500 4,911,390
* Computer Sciences Corp. 58,500 2,550,015
* Compuware Corp. 119,900 953,205
* Comverse Technology, Inc. 60,100 1,061,967
Conagra, Inc. 167,500 4,710,100
ConocoPhilips 213,500 15,655,955
Consolidated Edison, Inc. 75,000 2,944,500
Constellation Energy Group 52,200 1,996,128
* Convergys Corp. 44,700 656,196
Cooper Industries, Ltd. 28,700 1,633,030
Cooper Tire & Rubber Co. 23,000 485,070
# Coors (Adolph) Co. Class B 11,400 734,730
*# Corning, Inc. 420,500 5,209,995
# Costco Wholesale Corp. 142,900 5,398,762
Countrywide Financial Corp. 86,100 5,553,450
# Crane Co. 18,500 558,515
# CSX Corp. 66,700 2,107,720
# Cummins, Inc. 13,300 774,592
CVS Corp. 123,600 5,151,648
# Dana Corp. 46,400 865,360
# Danaher Corp. 96,000 4,514,880
Darden Restaurants, Inc. 51,400 1,156,500
Deere & Co. 75,900 4,986,630
* Dell, Inc. 798,600 28,094,748
Delphi Automotive Systems Corp. 174,700 1,780,193
*# Delta Air Lines, Inc. 38,500 234,850
Deluxe Corp. 15,800 676,556
Devon Energy Corp. 72,600 4,309,536
Dillards, Inc. Class A 26,000 520,260
Disney (Walt) Co. 638,600 14,987,942
# Dollar General Corp. 105,100 2,038,940
Dominion Resources, Inc. 101,200 6,372,564
Donnelley (R.R.) & Sons Co. 68,200 2,063,732
Dover Corp. 63,400 2,470,064
Dow Chemical Co. 290,700 11,598,930
# Dow Jones & Co., Inc. 25,500 1,222,215
DTE Energy Co. 52,700 2,119,067
Duke Energy Corp. 283,100 5,645,014
DuPont (E.I.) de Nemours & Co., Inc. 311,200 13,443,840
*# Dynegy, Inc. 117,500 515,825
* E Trade Group, Inc. 116,600 1,330,406
# Eastman Chemical Co. 24,100 1,116,794
Eastman Kodak Co. 89,400 2,340,492
Eaton Corp. 47,900 2,794,965
* eBay, Inc. 201,500 17,893,200
Ecolab, Inc. 80,200 2,446,902
Edison International 101,600 $ 2,452,624
El Paso Corp. 200,100 1,442,721
*# Electronic Arts, Inc. 93,300 4,742,439
# Electronic Data Systems Corp. 149,900 2,450,865
* EMC Corp. 754,400 8,479,456
# Emerson Electric Co. 131,500 7,850,550
Engelhard Corp. 39,100 1,183,557
Entergy Corp. 71,400 3,899,154
# EOG Resources, Inc. 35,800 1,912,794
# Equifax, Inc. 43,400 1,063,734
Equity Office Properties Trust 124,700 3,360,665
Equity Residential Corp. 86,900 2,558,336
Exelon Corp. 205,400 6,839,820
* Express Scripts, Inc. Class A 24,200 1,893,892
# Exxon Mobil Corp. 2,044,900 88,441,925
# Family Dollar Stores, Inc. 53,700 1,684,032
Federal Home Loan Mortgage
Corporation 214,700 12,536,333
Federal National Mortgage
Association 303,000 20,513,100
Federated Department Stores, Inc. 56,400 2,690,844
Federated Investors, Inc. 33,900 1,009,542
FedEx Corp. 93,100 6,850,298
Fifth Third Bancorp 176,200 9,565,898
# First Data Corp. 277,800 12,025,962
# First Horizon National Corp. 39,200 1,825,544
# FirstEnergy Corp. 102,800 4,009,200
* Fiserv, Inc. 60,700 2,295,674
# Fluor Corp. 25,600 1,034,752
# Ford Motor Co. 571,200 8,482,320
* Forest Laboratories, Inc. 114,700 7,270,833
Fortune Brands, Inc. 45,400 3,418,620
FPL Group, Inc. 57,500 3,665,625
Franklin Resources, Inc. 77,800 3,911,784
# Freeport McMoran Copper & Gold,
Inc. Class B 61,100 2,054,793
Gannett Co., Inc. 84,500 7,419,100
Gap, Inc. 279,400 6,747,510
* Gateway, Inc. 117,100 474,255
# General Dynamics Corp. 61,800 5,909,934
General Electric Co. 3,181,800 99,017,616
# General Mills, Inc. 117,000 5,387,850
# General Motors Corp. 175,300 7,956,867
# Genuine Parts Co. 54,300 2,043,852
* Genzyme Corp. 69,900 3,046,242
Georgia-Pacific Corp. 79,100 2,833,362
Gillette Co. 314,100 13,534,569
Golden West Financial Corp. 47,400 5,155,698
Goodrich (B.F.) Co. 36,600 1,025,898
*# Goodyear Tire & Rubber Co. 54,700 475,890
Grainger (W.W.), Inc. 28,500 1,551,825
Great Lakes Chemical Corp. 15,800 391,524
Guidant Corp. 97,200 5,281,848
Halliburton Co. 136,600 3,966,864
Harley-Davidson, Inc. 94,500 5,432,805
Harrahs Entertainment, Inc. 34,700 1,783,580
Hartford Financial Services Group,
Inc. 91,000 6,016,920
Hasbro, Inc. 54,500 1,071,470
# HCA, Inc. 154,600 6,003,118
Health Management Associates, Inc. 75,800 1,666,842
33
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SHARES VALUE+
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Heinz (H.J.) Co. 109,800 $ 4,099,932
* Hercules, Inc. 34,600 366,068
Hershey Foods Corp. 40,500 3,593,565
# Hewlett-Packard Co. 951,500 20,209,860
Hilton Hotels Corp. 118,300 2,052,505
# Home Depot, Inc. 709,600 25,488,832
Honeywell International, Inc. 267,900 9,028,230
* Hospira, Inc. 48,770 1,250,463
* Humana, Inc. 50,500 862,035
# Huntington Bancshares, Inc. 71,500 1,620,905
# Illinois Tool Works, Inc. 96,100 8,637,468
IMS Health, Inc. 74,700 1,858,536
Ingersoll-Rand Co., Ltd. Class A 54,700 3,571,910
Intel Corp. 2,022,000 57,728,100
International Business Machines
Corp. 529,900 46,943,841
International Flavors & Fragrances,
Inc. 29,200 1,050,616
International Game Technology 108,100 4,248,330
International Paper Co. 149,900 6,285,307
*# Interpublic Group of Companies, Inc. 129,400 1,860,772
* Intuit, Inc. 61,900 2,425,242
ITT Industries, Inc. 28,800 2,319,840
* Jabil Circuit, Inc. 62,400 1,766,544
Janus Capital Group, Inc. 75,000 1,227,750
* JDS Uniphase Corp. 447,900 1,545,255
Jefferson-Pilot Corp. 44,000 2,258,520
# Johnson & Johnson 925,600 51,565,176
Johnson Controls, Inc. 58,800 3,170,496
Jones Apparel Group, Inc. 39,400 1,515,718
JP Morgan Chase & Co. 642,100 23,654,964
KB Home Corp. 14,600 961,848
# Kellogg Co. 128,600 5,452,640
# Kerr-McGee Corp. 31,400 1,546,450
KeyCorp 130,800 4,108,428
# KeySpan Corp. 49,600 1,755,840
Kimberly Clark Corp. 156,400 10,306,760
Kinder Morgan, Inc. 38,400 2,304,000
* King Pharmaceuticals, Inc. 75,200 1,004,672
* KLA-Tencor Corp. 61,200 2,948,616
Knight Ridder, Inc. 24,900 1,891,902
* Kohls Corp. 106,100 5,046,116
*# Kroger Co. 232,300 3,877,087
# Leggett and Platt, Inc. 59,800 1,511,744
# Lehman Brothers Holdings, Inc. 86,500 6,543,725
* Lexmark International Group, Inc. 40,100 3,782,232
Lilly (Eli) & Co. 350,500 25,821,335
# Limited Brands, Inc. 145,200 2,802,360
Lincoln National Corp. 55,500 2,635,695
Linear Technology Corp. 97,400 3,862,884
Liz Claiborne, Inc. 34,000 1,166,200
Lockheed Martin Corp. 140,700 6,970,278
Loews Corp. 57,900 3,336,777
# Louisiana-Pacific Corp. 33,000 762,300
# Lowe's Companies, Inc. 245,300 13,140,721
* LSI Logic Corp. 118,200 969,240
*# Lucent Technologies, Inc. 1,329,100 4,744,887
M & T Bank Corp. 38,000 3,441,660
Manor Care, Inc. 27,900 874,107
Marathon Oil Corp. 106,200 3,540,708
# Marriott International, Inc. Class A 71,800 3,541,894
Marsh & McLennan Co., Inc. 165,300 $ 7,293,036
Marshall & Isley Corp. 70,600 2,905,190
Masco Corp. 141,100 4,084,845
# Mattel, Inc. 134,100 2,344,068
# Maxim Integrated Products, Inc. 102,300 5,199,909
# May Department Stores Co. 90,000 2,579,400
Maytag Corp. 24,500 638,960
MBIA, Inc. 45,000 2,492,550
MBNA Corp. 398,500 10,121,900
# McCormick & Co., Inc. 42,800 1,517,260
McDonalds Corp. 393,500 10,388,400
# McGraw-Hill Companies, Inc. 59,600 4,644,032
McKesson Corp. 90,800 3,123,520
# MeadWestavco Corp. 62,700 1,731,774
* Medco Health Solutions, Inc. 84,300 2,953,029
* Medimmune, Inc. 77,200 1,858,204
# Medtronic, Inc. 378,100 18,110,990
Mellon Financial Corp. 134,200 3,950,848
Merck & Co., Inc. 693,800 32,816,740
* Mercury Interactive Corp. 28,100 1,347,114
Meredith Corp. 15,700 823,622
Merrill Lynch & Co., Inc. 302,800 17,199,040
MetLife, Inc. 237,100 8,428,905
MGIC Investment Corp. 30,700 2,241,100
* Micron Technology, Inc. 190,000 2,855,700
# Microsoft Corp. 3,366,600 88,709,910
* Millipore Corp. 15,200 835,848
Molex, Inc. 59,400 1,743,984
Monsanto Co. 82,900 2,860,050
* Monster Worldwide, Inc. 35,300 893,443
# Moody's Corp. 46,400 3,034,096
Morgan Stanley Dean Witter & Co. 342,200 18,311,122
# Motorola, Inc. 730,100 14,434,077
Mylan Laboratories, Inc. 85,400 1,905,274
* Nabors Industries, Ltd. 45,700 1,891,980
National City Corp. 189,000 6,707,610
* National Semiconductor Corp. 111,000 2,405,370
*# Navistar International Corp. 21,500 815,925
* NCR Corp. 29,500 1,423,080
*# Network Appliance Corp. 107,600 2,130,480
New York Times Class A 46,700 2,177,621
# Newell Rubbermaid, Inc. 85,600 2,017,592
Newmont Mining Corp. 134,800 5,352,908
* Nextel Communications Corp.
Class A 342,900 7,931,277
# Nicor, Inc. 13,700 455,936
Nike, Inc. Class B 82,100 5,841,415
# NiSource, Inc. 81,900 1,659,294
* Noble Corp. 41,900 1,443,874
# Nordstrom, Inc. 42,900 1,739,595
Norfolk Southern Corp. 121,900 2,953,637
# North Fork Bancorporation, Inc. 53,200 2,048,200
Northern Trust Corp. 68,800 2,954,960
Northrop Grumman Corp. 58,200 6,002,166
* Novell, Inc. 117,500 1,070,425
* Novellus Systems, Inc. 47,800 1,591,262
Nucor Corp. 24,400 1,606,740
*# Nvidia Corp. 50,500 1,190,790
Occidental Petroleum Corp. 121,100 5,352,620
* Office Depot, Inc. 96,900 1,583,346
Omnicom Group, Inc. 59,300 4,736,291
34
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SHARES VALUE+
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* Oracle Systems Corp. 1,630,400 $ 18,456,128
Paccar, Inc. 54,600 3,046,680
* Pactiv Corp. 49,100 1,157,778
Pall Corp. 39,200 947,856
* Parametric Technology Corp. 83,200 403,520
Parker-Hannifin Corp. 37,000 2,055,720
Paychex, Inc. 117,700 4,414,927
# Penney (J.C.) Co., Inc. 85,100 3,044,878
# Peoples Energy Corp. 11,700 484,614
* Peoplesoft, Inc. 113,400 2,027,592
# Pepsi Bottling Group, Inc. 81,000 2,349,000
Pepsico, Inc. 533,400 28,467,558
PerkinElmer, Inc. 39,600 772,596
Pfizer, Inc. 2,378,100 84,042,054
*# PG&E Corp. (Holding Co.) 130,700 3,724,950
* Phelps Dodge Corp. 28,900 1,962,310
Pinnacle West Capital Corp. 28,500 1,148,265
# Pitney Bowes, Inc. 72,900 3,231,657
# Plum Creek Timber Co., Inc. 57,100 1,788,372
* PMC Sierra, Inc. 53,900 759,990
PNC Financial Services Group 86,500 4,775,665
* Power-One, Inc. 26,000 262,080
PPG Industries, Inc. 53,400 3,193,320
PPL Corp. 55,300 2,386,195
Praxair, Inc. 101,400 3,750,786
Principal Financial Group, Inc. 100,000 3,495,000
Procter & Gamble Co. 403,000 43,451,460
# Progress Energy, Inc. 76,400 3,255,404
Progressive Corp. 67,700 5,806,629
ProLogis 56,500 1,811,390
* Providian Financial Corp. 90,500 1,230,800
# Prudential Financial, Inc. 168,600 7,468,980
Public Service Enterprise Group, Inc. 73,700 3,107,192
Pulte Homes Inc. 39,100 2,062,525
*# Q Logic Corp. 29,600 908,720
Qualcomm, Inc. 251,200 16,847,984
Quest Diagnostics, Inc. 32,300 2,782,645
*# Qwest Communications International,
Inc. 550,800 2,065,500
Radioshack Corp. 51,200 1,555,968
Raytheon Co. 138,400 4,601,800
Reebok International, Ltd. 18,400 667,000
Regions Financial Corp. 69,200 2,630,984
# RJ Reynolds Tobacco Holdings, Inc. 26,300 1,478,060
Robert Half International, Inc. 53,400 1,494,132
Rockwell Collins, Inc. 55,600 1,670,224
Rockwell International Corp. 58,400 1,977,424
Rohm & Haas Co. 69,400 2,674,676
*# Rowan Companies, Inc. 32,500 714,350
Ryder System, Inc. 20,300 754,145
Sabre Holdings Corp. 43,700 1,114,350
# Safeco Corp. 43,200 1,812,240
*# Safeway, Inc. 137,900 3,111,024
* Saint Jude Medical, Inc. 53,800 4,102,788
Saint Paul Companies, Inc. 211,227 8,381,487
* Sanmina Corp. 161,800 1,711,844
# Sara Lee Corp. 246,700 5,649,430
SBC Communications, Inc. 1,031,700 24,451,290
Schering-Plough Corp. 458,900 7,755,410
Schlumberger, Ltd. 183,600 10,496,412
# Schwab (Charles) Corp. 423,100 4,146,380
# Scientific-Atlanta, Inc. 47,600 $ 1,638,392
* Sealed Air Corp. 26,500 1,332,155
# Sears, Roebuck & Co. 69,300 2,633,400
Sempra Energy 70,900 2,365,933
# Sherwin-Williams Co. 45,400 1,784,220
* Siebel Systems, Inc. 154,700 1,670,760
Sigma-Aldrich Corp. 21,600 1,233,576
Simon Property Group, Inc. 63,600 3,279,852
SLM Corp. 140,700 5,393,031
Snap-On, Inc. 18,200 612,066
* Solectron Corp. 299,900 1,649,450
# Southern Co. 228,400 6,605,328
SouthTrust Corp. 103,000 3,488,610
Southwest Airlines Co. 246,300 3,820,113
# Sprint Corp. 443,300 7,873,008
# Stanley Works 25,300 1,101,815
Staples, Inc. 155,800 4,296,964
* Starbucks Corp. 123,500 5,019,040
Starwood Hotels and Resorts
Worldwide, Inc. 63,700 2,686,866
State Street Corp. 104,600 5,064,732
Stryker Corp. 124,400 6,325,740
* Sun Microsystems, Inc. 1,025,300 4,337,019
* Sungard Data Systems, Inc. 89,600 2,482,816
Sunoco, Inc. 24,100 1,482,873
# Suntrust Banks, Inc. 88,100 5,733,548
Supervalu, Inc. 41,900 1,299,738
* Symantec Corp. 97,100 4,447,180
Symbol Technologies, Inc. 72,100 1,062,033
Synovus Financial Corp. 94,100 2,423,075
Sysco Corp. 201,100 7,541,250
T. Rowe Price Group, Inc. 39,300 1,892,688
Target Corp. 284,200 12,703,740
# Teco Energy, Inc. 58,600 712,576
Tektronix, Inc. 26,400 833,184
* Tellabs, Inc. 129,600 1,029,024
Temple-Inland, Inc. 17,000 1,110,440
* Tenet Healthcare Corp. 145,000 1,728,400
* Teradyne, Inc. 59,600 1,328,484
Texas Instruments, Inc. 540,300 14,107,233
# Textron, Inc. 43,000 2,349,950
The Goldman Sachs Group, Inc. 150,800 14,161,628
* Thermo-Electron Corp. 51,600 1,588,248
# Thomas & Betts Corp. 18,200 445,172
Tiffany & Co. 45,700 1,616,409
* Time Warner, Inc. 1,420,300 24,201,912
TJX Companies, Inc. 157,000 3,910,870
Torchmark Corp. 35,300 1,912,907
* Toys R Us, Inc. 66,600 1,046,952
* Transocean, Inc. 99,800 2,667,654
Tribune Co. 103,100 4,978,699
TXU Corp. 101,000 3,774,370
# Tyco International, Ltd. 623,700 19,203,723
U.S. Bancorp 598,800 16,826,280
Union Pacific Corp. 80,700 4,706,424
Union Planters Corp. 58,800 1,770,468
* Unisys Corp. 103,400 1,402,104
United Parcel Service, Inc. 352,200 25,259,784
# United States Steel Corp. 35,300 1,071,708
United Technologies Corp. 161,100 13,630,671
# Unitedhealth Group, Inc. 195,200 12,736,800
35
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SHARES VALUE+
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* Univision Communications, Inc.
Class A 100,600 $ 3,274,530
Unocal Corp. 80,800 2,878,904
# UnumProvident Corp. 92,400 1,345,344
# UST, Inc. 51,700 1,931,512
# Valero Energy Corp. 40,500 2,677,455
*# Veritas Software Co. 133,500 3,551,100
Verizon Communications, Inc. 861,400 29,787,212
# VF Corp. 33,700 1,583,226
Viacom, Inc. Class B 545,600 20,127,184
Visteon Corp. 40,700 446,072
# Vulcan Materials Co. 31,700 1,418,892
Wachovia Corp. 410,000 19,356,100
Walgreen Co. 319,700 11,192,697
Wal-Mart Stores, Inc. 1,349,800 75,224,354
Washington Mutual, Inc. 280,500 12,252,240
# Waste Management, Inc. 179,900 5,173,924
* Waters Corp. 37,900 1,746,432
* Watson Pharmaceuticals, Inc. 33,700 1,258,695
* Wellpoint Health Networks, Inc. 48,400 5,398,536
# Wells Fargo & Co. 527,700 31,028,760
Wendy's International, Inc. 35,600 1,345,324
Weyerhaeuser Co. 73,200 4,427,136
# Whirlpool Corp. 21,700 1,443,701
Williams Companies, Inc. 161,600 1,924,656
# Winn-Dixie Stores, Inc. 44,200 279,786
Worthington Industries, Inc. 26,900 514,866
# Wrigley (Wm.) Jr. Co. 70,100 4,402,280
Wyeth 415,400 14,954,400
XCEL Energy, Inc. 124,400 2,113,556
*# Xerox Corp. 248,800 3,368,752
# Xilinx, Inc. 107,600 3,925,248
# XL Capital, Ltd. 42,800 3,195,020
*# Yahoo!, Inc. 415,000 12,723,900
* Yum! Brands, Inc. 91,800 3,442,500
* Zimmer Holdings, Inc. 75,400 6,435,390
Zions Bancorp 28,000 1,716,400
---------------
TOTAL COMMON STOCKS
(Cost $2,587,575,053) 3,253,108,973
---------------
FACE
AMOUNT VALUE+
------ ------
(000)
TEMPORARY CASH
INVESTMENTS -- (12.5%)
Repurchase Agreement, PNC Capital
Markets, Inc. 0.89%, 06/01/04
(Collateralized by $65,199,000
FHLB Floating Rate Notes,
10/03/05, valued at $65,117,501) to
be repurchased at $64,161,344
(Cost $64,155,000) $ 64,155 $ 64,155,000
Repurchase Agreement, Merrill Lynch
Triparty Repo 0.96%, 06/01/04
(Collateralized by $392,750,000
U.S. Treasury Obligations rates
ranging from 1.875% to 6.75%,
maturities ranging from 05/15/05 to
11/30/05, valued at $410,731,038)
to be repurchased at $402,719,403
(Cost $402,676,451)^ 402,676 402,676,451
---------------
TOTAL TEMPORARY CASH
INVESTMENTS
(Cost $466,831,451) 466,831,451
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,054,406,505)++ $ 3,719,940,424
===============
----------
+ See Note B to Financial Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
++ The cost for federal income tax purposes is $3,216,721,011.
See accompanying Notes to Financial Statements.
36
THE U.S. LARGE CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
[Download Table]
SHARES VALUE+
------ ------
COMMON STOCKS -- (85.3%)
* 3COM Corp. 606,100 $ 3,921,467
A. G. Edwards, Inc. 17,500 654,500
*# Advanced Micro Devices, Inc. 504,800 7,849,640
Aetna, Inc. 539,626 43,817,631
* Agere Systems, Inc. Class A 8,652 21,976
* Agere Systems, Inc. Class B 212,364 520,292
# Albertson's, Inc. 538,100 12,607,683
* Allegheny Corp. 17,934 4,779,411
Alliant Energy Corp. 212,900 5,318,242
* Allied Waste Industries, Inc. 255,800 3,391,908
* Allmerica Financial Corp. 98,000 3,150,700
Allstate Corp. 1,618,800 71,194,824
Ambac Financial Group, Inc. 23,200 1,604,280
Amerada Hess Corp. 196,432 13,866,135
American Financial Group, Inc. 177,400 5,359,254
American National Insurance Co. 46,700 4,380,927
*# American Tower Corp. 336,000 4,646,880
*# Americredit Corp. 374,000 6,619,800
Anadarko Petroleum Corp. 627,078 34,188,293
Apache Corp. 129,990 5,246,396
* Apple Computer, Inc. 197,300 5,536,238
* Applied Micro Circuits Corp. 213,200 1,149,148
Archer-Daniels Midland Co. 2,475,260 41,163,574
* Arrow Electronics, Inc. 308,200 8,392,286
Ashland, Inc. 297,600 14,031,840
Astoria Financial Corp. 40,500 1,549,935
AT&T Corp. 1,937,780 32,128,392
* AT&T Wireless Services, Inc. 5,388,737 76,304,516
*# AutoNation, Inc. 2,057,600 34,300,192
* Avnet, Inc. 199,900 4,677,660
AVX Corp. 125,400 1,986,336
Bank of America Corp. 82,170 6,830,792
Bank of Hawaii Corp. 327,500 14,229,875
* Barnes & Noble, Inc. 13,000 389,220
Bausch & Lomb, Inc. 11,800 720,036
Bear Stearns Companies, Inc. 373,770 30,297,796
Belo Corp. Class A 324,200 9,537,964
* Big Lots, Inc. 253,500 3,706,170
# Blockbuster, Inc. Class A 23,300 364,878
Boise Cascade Corp. 213,400 7,501,010
Borders Group, Inc. 34,000 776,220
Borg-Warner, Inc. 201,600 8,354,304
Bowater, Inc. 168,400 7,111,532
Burlington Northern Santa Fe Corp. 1,283,000 42,262,020
* Caesars Entertainment, Inc. 845,900 11,648,043
* Cavco Industries, Inc. 11,450 434,402
# Cendant Corp. 311,800 7,152,692
*# CheckFree Corp. 56,200 1,723,092
Chubb Corp. 258,900 17,442,093
*# CIENA Corp. 164,600 592,560
Cincinnati Financial Corp. 579,159 24,759,047
Circuit City Stores, Inc. 531,900 6,366,843
Clear Channel Communications, Inc. 1,428,466 56,710,100
*# CNA Financial Corp. 635,600 19,080,712
Coca-Cola Enterprises, Inc. 1,785,400 49,187,770
* Comcast Corp. Class A 2,432,666 $ 70,425,681
* Comcast Corp. Special Class A
Non-Voting 927,100 26,283,285
Commerce Group, Inc. 93,100 4,219,292
Commercial Federal Corp. 98,900 2,771,178
* Compuware Corp. 35,800 284,610
* Comverse Technology, Inc. 111,500 1,970,205
ConocoPhilips 220,400 16,161,932
*# Corning, Inc. 998,300 12,368,937
Countrywide Financial Corp. 819,999 52,889,935
*# Cox Communications, Inc. 1,421,400 44,646,174
*# Crown Castle International Corp. 468,900 6,906,897
# CSX Corp. 577,800 18,258,480
# Cummins, Inc. 143,100 8,334,144
Curtiss-Wright Corp-Cl B W/I 27,130 1,214,067
# Dana Corp. 510,700 9,524,555
*# Delta Air Lines, Inc. 402,500 2,455,250
# Diamond Offshore Drilling, Inc. 298,241 6,737,264
Dillards, Inc. Class A 48,900 978,489
Disney (Walt) Co. 906,600 21,277,902
# Eastman Chemical Co. 108,200 5,013,988
Electronic Data Systems Corp. 746,200 12,200,370
Federated Department Stores, Inc. 618,200 29,494,322
First American Financial Corp. 156,500 4,062,740
First Citizens Bancshares, Inc. 10,300 1,194,800
Florida East Coast Industries, Inc. 68,139 2,465,269
Foot Locker, Inc. 175,000 4,130,000
# Ford Motor Co. 4,185,900 62,160,615
# General Motors Corp. 1,395,700 63,350,823
Georgia-Pacific Corp. 684,200 24,508,044
*# Goodyear Tire & Rubber Co. 203,900 1,773,930
Harris Corp. 151,400 7,000,736
Hartford Financial Services Group,
Inc. 487,000 32,200,440
Hearst-Argyle Television, Inc. 238,600 6,239,390
Helmerich & Payne, Inc. 146,800 3,662,660
Hibernia Corp. 274,500 6,588,000
Hollinger International, Inc. Class A 257,600 4,533,760
Horton (D.R.), Inc. 818,872 23,665,401
* Human Genome Sciences, Inc. 23,900 259,793
* Humana, Inc. 618,900 10,564,623
Ikon Office Solutions, Inc. 123,700 1,363,174
Independence Community Bank Corp. 12,500 469,000
* Ingram Micro, Inc. 336,900 4,868,205
* Instinet Group, Inc. 15,200 100,168
*# InterActiveCorp 1,496,500 46,780,590
International Paper Co. 1,215,775 50,977,446
*# Invitrogen Corp. 50,100 3,479,445
* JDS Uniphase Corp. 1,095,700 3,780,165
JP Morgan Chase & Co. 2,244,400 82,683,696
# Kerr-McGee Corp. 207,658 10,227,156
KeyCorp 941,600 29,575,656
# Labranche & Co., Inc. 19,700 176,512
LaFarge North America, Inc. 257,500 11,345,450
Lear Corp. 110,900 6,568,607
*# Level 3 Communications, Inc. 195,500 762,450
37
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SHARES VALUE+
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* Liberty Media Corp. 6,276,100 $ 68,911,578
Lincoln National Corp. 418,500 19,874,565
Loews Corp. 636,800 36,698,784
# Louisiana-Pacific Corp. 94,500 2,182,950
* LSI Logic Corp. 647,300 5,307,860
Lubrizol Corp. 182,000 6,026,020
*# Lucent Technologies, Inc. 1,193,800 4,261,866
Lyondell Chemical Co. 447,200 7,387,744
Manulife Financial Corp. 425,285 16,509,564
Marathon Oil Corp. 961,450 32,054,743
# May Department Stores Co. 63,100 1,808,446
MBIA, Inc. 327,250 18,126,378
# MeadWestavco Corp. 758,431 20,947,864
MetLife, Inc. 1,830,500 65,074,275
*# Metro-Goldwyn-Mayer, Inc. 261,100 3,104,479
MGIC Investment Corp. 116,900 8,533,700
* MGM Grand, Inc. 390,100 17,324,341
* Micron Technology, Inc. 767,000 11,528,010
*# Mony Group, Inc. 51,200 1,599,488
Nationwide Financial Services, Inc. 94,300 3,446,665
Norfolk Southern Corp. 1,537,600 37,256,048
Northrop Grumman Corp. 427,771 44,116,023
Nucor Corp. 15,000 987,750
Occidental Petroleum Corp. 650,800 28,765,360
# Odyssey Re Holdings Corp. 50,500 1,275,125
Old Republic International Corp. 501,412 11,412,137
* Owens-Illinois, Inc. 314,400 4,662,552
* Pacificare Health Systems, Inc. 50,000 1,846,500
* Pactiv Corp. 55,100 1,299,258
*# PanAmSat Corp. 350,100 8,132,823
# Peabody Energy Corp. 54,600 2,715,804
# Penney (J.C.) Co., Inc. 1,120,000 40,073,600
PepsiAmericas, Inc. 192,000 4,078,080
* Phelps Dodge Corp. 287,085 19,493,072
# PMI Group, Inc. 191,100 8,249,787
Pogo Producing Co. 69,200 3,147,216
*# Pride International, Inc. 303,400 4,769,448
Principal Financial Group, Inc. 746,100 26,076,195
Protective Life Corp. 141,500 5,232,670
* Providian Financial Corp. 483,100 6,570,160
Pulte Homes Inc. 248,400 13,103,100
# Questar Corp. 251,000 9,199,150
*# Qwest Communications
International, Inc. 2,000,600 7,502,250
Radian Group, Inc. 211,300 9,719,800
* Radio One, Inc. 22,900 395,712
Rayonier, Inc. 500 21,000
Raytheon Co. 1,311,300 43,600,725
Reinsurance Group of America, Inc. 114,100 4,535,475
* Rite Aid Corp. 969,800 4,868,396
# RJ Reynolds Tobacco Holdings, Inc. 251,326 14,124,521
Ryder System, Inc. 275,400 10,231,110
# Safeco Corp. 486,400 20,404,480
Saint Paul Companies, Inc. 695,326 27,590,536
Saks, Inc. 743,200 11,155,432
* Sanmina Corp. 639,900 6,770,142
SBC Communications, Inc. 430,200 10,195,740
# Sears, Roebuck & Co. 493,500 18,753,000
* Service Corp. International 237,100 1,707,120
* Smithfield Foods, Inc. 68,400 1,982,916
*# Smurfit-Stone Container Corp. 617,026 11,205,192
* Solectron Corp. 1,155,300 $ 6,354,150
# Sovereign Bancorp, Inc. 781,020 16,987,185
# Sprint Corp. 2,161,500 38,388,240
StanCorp Financial Group, Inc. 20,000 1,281,800
Starwood Hotels and Resorts
Worldwide, Inc. 573,500 24,190,230
Steelcase, Inc. Class A 47,400 559,320
* Sun Microsystems, Inc. 2,143,700 9,067,851
Sunoco, Inc. 298,800 18,385,164
Supervalu, Inc. 565,200 17,532,504
*# Tech Data Corp. 119,000 4,776,660
# Telephone & Data Systems, Inc. 89,300 6,398,345
* Tellabs, Inc. 716,800 5,691,392
Temple-Inland, Inc. 131,300 8,576,516
* Tenet Healthcare Corp. 1,047,300 12,483,816
# Textron, Inc. 123,000 6,721,950
* The DIRECTV Group, Inc. 680,337 11,980,735
# Thomas & Betts Corp. 46,900 1,147,174
Tidewater, Inc. 100,900 2,788,876
* Time Warner, Inc. 7,039,080 119,945,923
Torchmark Corp. 127,200 6,892,968
* Toys R Us, Inc. 819,300 12,879,396
* Triad Hospitals, Inc. 147,000 5,197,920
# Tyson Foods, Inc. Class A 912,556 18,725,649
Union Pacific Corp. 824,200 48,067,344
Unionbancal Corp. 86,600 4,987,294
* Unisys Corp. 113,200 1,534,992
* United States Cellular Corp. 122,800 4,372,908
# United States Steel Corp. 326,200 9,903,432
Unitrin, Inc. 223,800 8,974,380
# UnumProvident Corp. 913,089 13,294,576
# Valero Energy Corp. 306,800 20,282,548
Valhi, Inc. 158,500 1,759,350
* VeriSign, Inc. 166,300 3,016,682
Viacom, Inc. Class B 3,061,100 112,923,979
*# Vishay Intertechnology, Inc. 315,716 5,957,561
* Vitesse Semiconductor, Inc. 2,800 15,288
* WebMD Corp. 25,800 228,588
Weis Markets, Inc. 20,800 710,320
Wesco Financial Corp. 13,540 5,103,903
* Westport Resources Corp. 30,800 1,065,680
# Weyerhaeuser Co. 565,400 34,195,392
Worthington Industries, Inc. 133,200 2,549,448
*# Xerox Corp. 75,000 1,015,500
---------------
TOTAL COMMON STOCKS
(Cost $2,572,821,731) 3,122,322,882
---------------
FACE
AMOUNT
------
(000)
TEMPORARY CASH
INVESTMENTS -- (14.7%)
Repurchase Agreement, PNC Capital
Markets, Inc. 0.89%, 06/01/04
(Collateralized by $67,332,000
FNMA Discount Notes, 12/10/04,
valued at $66,827,010) to be
repurchased at $65,845,511
(Cost $65,839,000) $ 65,839 65,839,000
38
[Enlarge/Download Table]
FACE
AMOUNT VALUE+
------ ------
(000)
Repurchase Agreement, Merrill Lynch Triparty Repo
0.96%, 06/01/04 (Collateralized by
$471,136,000 U.S. Treasury Obligations rates ranging
from 1.625% to 6.00%, maturities ranging from 08/15/04
to 02/15/12, valued at $483,699,189) to be repurchased
at $474,263,981 (Cost $474,213,398)^ $ 474,213 $ 474,213,398
---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $540,052,398) 540,052,398
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,112,874,129)++ $ 3,662,375,280
===============
----------
+ See Note B to Financial Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
++ The cost for federal income tax purposes is $3,112,874,157.
See accompanying Notes to Financial Statements.
39
THE U.S. SMALL CAP SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
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SHARES VALUE+
------ ------
COMMON STOCKS -- (92.0%)
* 1-800 CONTACTS, Inc. 23,636 $ 347,449
* 1-800-FLOWERS.COM, Inc. 47,097 451,660
1st Source Corp. 34,441 781,811
# 21st Century Holding Co. 1,100 21,461
21st Century Insurance Group 76,800 1,005,312
* 24/7 Real Media, Inc. 3,180 18,476
* 3-D Systems Corp. 22,000 265,958
* 4Kids Entertainment, Inc. 23,500 508,775
* 7-Eleven, Inc. 16,600 285,022
*# 8X8, Inc. 19,200 50,880
* 99 Cents Only Stores 5,500 106,755
* @Road, Inc. 94,700 841,883
* A. B. Watley Group, Inc. 9,400 1,880
* A.C. Moore Arts & Crafts, Inc. 34,900 924,850
* A.D.A.M., Inc. 700 1,470
*# aaiPharma, Inc. 47,250 217,822
* Aames Financial Corp. 240 706
* AAON, Inc. 13,100 250,996
* AAR Corp. 58,083 556,435
Aaron Rents, Inc. Class A 5,700 151,050
Aaron Rents, Inc. Class B 21,600 642,600
* Abaxis, Inc. 18,300 341,661
ABC Bancorp 8,310 163,458
* Abgenix, Inc. 150,134 2,270,026
*# Abiomed, Inc. 38,270 472,634
* Able Laboratories, Inc. 30,200 561,720
* Ablest, Inc. 2,100 11,130
ABM Industries, Inc. 87,600 1,666,152
Abrams Industries, Inc. 200 840
* ABX Air, Inc. 66,600 299,700
* Acacia Research-Acacia
Technologies Common Stock 20,960 129,952
* Acacia Research-CombiMatrix Corp. 10,434 41,214
* Accelrys, Inc. 52,900 528,471
* Access Pharmaceuticals, Inc. 26,300 147,543
*# Acclaim Entertainment, Inc. 55,700 23,450
* Accredo Health, Inc. 44,343 1,613,198
* Ace Cash Express, Inc. 23,042 548,400
* Ace Comm Corp. 7,500 18,300
Aceto Corp. 28,550 458,798
* Aclara Biosciences, Inc. 60,171 228,650
* Acme Communications, Inc. 28,600 221,364
* Acme United Corp. 3,400 23,800
* ACT Manufacturing, Inc. 4,600 25
* ACT Teleconferencing, Inc. 25,700 66,075
* Actel Corp. 46,200 922,152
* Acterna Corp. 122,100 3,052
Action Performance Companies, Inc. 33,000 499,950
* ActivCard Corp. 74,043 473,135
* Active Power, Inc. 76,200 266,700
* Activision, Inc. 97,214 1,537,925
* Actuant Corp. 42,480 1,454,090
* Actuate Corp. 110,500 413,270
Acuity Brands, Inc. 27,700 683,082
Adams Resources & Energy, Inc. 4,200 58,380
* Adaptec, Inc. 187,800 $ 1,538,082
*# Addvantage Technologies Group, Inc. 1,700 9,222
* ADE Corp. 13,300 279,300
* Adept Technology, Inc. 7,000 6,650
* Administaff, Inc. 47,800 790,612
* Adolor Corp. 69,800 974,408
* Advanced Digital Information Corp. 115,500 1,033,725
* Advanced Energy Industries, Inc. 55,300 847,749
* Advanced Magnetics, Inc. 12,300 120,663
Advanced Marketing Services, Inc. 32,350 358,114
* Advanced Materials Group, Inc. 237 115
* Advanced Medical Optics, Inc. 52,400 1,839,240
* Advanced Neuromodulation
Systems, Inc. 33,200 1,083,316
* Advanced Nutraceuticals, Inc. 700 3,150
*# Advanced Photonix, Inc. Class A 9,000 21,240
* Advanced Power Technology, Inc. 18,195 240,356
Advanta Corp. Class A 18,317 296,003
Advanta Corp. Class B Non-Voting 30,994 491,565
* Advent Software, Inc. 59,400 1,123,848
Advo, Inc. 53,850 1,724,277
* Aehr Test Systems 7,100 28,400
* AEP Industries, Inc. 13,000 138,437
* AeroCentury Corp. 300 771
* Aeroflex, Inc. 133,450 1,702,822
* Aeropostale, Inc. 102,250 2,688,152
* Aerosonic Corp. 3,900 27,300
* Aether Systems, Inc. 74,742 254,870
* Aetrium, Inc. 9,300 85,374
* AFC Enterprises, Inc. 39,800 805,950
*# Affiliated Managers Group, Inc. 39,150 1,908,562
* Affinity Technology Group, Inc. 29,100 2,386
* Aftermarket Technology Corp. 41,150 602,436
* Agile Software Corp. 89,900 719,200
*# Agility Capital, Inc. 5,900 38
Agilysys, Inc. 57,788 711,370
* Air Methods Corp. 19,470 154,592
Airgas, Inc. 62,500 1,361,250
* Airnet Systems, Inc. 17,400 74,472
* Airspan Networks, Inc. 62,500 346,875
* Airtran Holdings, Inc. 151,400 2,107,488
* AK Steel Holding Corp. 195,400 894,932
*# Akamai Technologies, Inc. 165,213 2,455,065
*# Akorn, Inc. 19,500 64,350
*# Aksys, Ltd. 53,000 322,240
Alabama National Bancorporation 27,689 1,421,553
Alamo Group, Inc. 12,500 195,625
* Alaris Medical, Inc. 114,300 2,540,889
* Alaska Air Group, Inc. 48,200 992,920
* Alaska Communications Systems
Group, Inc. 22,200 143,190
Albany International Corp. Class A 50,272 1,532,793
* Albany Molecular Research, Inc. 56,978 720,202
Albemarle Corp. 74,581 2,146,441
* Alcide Corp. 2,300 47,288
* Alderwoods Group, Inc. 6,000 77,460
40
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SHARES VALUE+
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Aldila, Inc. 4,633 $ 70,468
Alexander & Baldwin, Inc. 58,000 1,848,460
* Alexion Pharmaceuticals, Inc. 39,500 791,975
Alfa Corp. 144,161 1,967,798
Alico, Inc. 7,000 247,100
* Align Technology, Inc. 106,612 2,032,025
* Alkermes, Inc. 157,411 2,266,718
* All American Semiconductor, Inc. 4,000 36,440
*# Allegheny Energy, Inc. 151,400 2,157,450
Allegheny Technologies, Inc. 145,700 1,749,857
Allen Organ Co. Class B 800 40,000
* Alliance Gaming Corp. 90,860 1,971,662
* Alliance Imaging, Inc. 86,400 331,776
* Alliance Semiconductor Corp. 62,500 373,125
* Allied Defense Group, Inc. 12,400 217,496
* Allied Healthcare International, Inc. 36,000 181,080
* Allied Healthcare Products, Inc. 6,700 36,381
* Allied Holdings, Inc. 8,300 42,330
* Allied Motion Technologies, Inc. 2,900 14,993
* Allmerica Financial Corp. 40,600 1,305,290
*# Allos Therapeutics, Inc. 55,700 103,045
* Allou Health Care, Inc. Class A 7,100 1
* Alloy, Inc. 71,200 356,712
* Allscripts Healthcare Solutions, Inc. 66,000 543,774
* Almost Family, Inc. 1,600 12,648
* Alpha Technologies Group, Inc. 7,100 9,940
Alpharma, Inc. Class A 70,700 1,384,306
* Alpine Group, Inc. 13,500 27,567
* Alteon, Inc. 61,700 80,210
*# Alterra Healthcare Corp. 4,900 0
* Altiris, Inc. 47,200 1,262,600
Ambassadors Group, Inc. 9,800 201,782
Ambassadors, Inc. 9,800 125,734
* AMC Entertainment, Inc. 60,600 915,060
* Amcast Industrial Corp. 8,500 34,425
Amcol International Corp. 52,700 880,090
Amcore Financial, Inc. 45,460 1,321,522
* Amedisys, Inc. 20,993 523,146
* AMEN Properties, Inc. 1,975 4,916
* Amerco, Inc. 13,900 347,639
* America Services Group, Inc. 12,700 457,200
* America West Holdings Corp.
Class B 60,100 602,202
* American Banknote Corp. 88 25
American Biltrite, Inc. 3,400 33,150
* American Building Control, Inc. 14,000 26,180
*# American Business Financial
Services, Inc. 5,074 16,644
* American Claims Evaluation, Inc. 1,000 2,890
* American Dental Partners, Inc. 10,500 179,025
* American Eagle Outfitters, Inc. 40,860 1,183,306
* American Ecology Corp. 14,350 125,562
* American Greetings Corp. Class A 89,600 1,881,600
*# American Healthways, Inc. 57,800 1,187,790
* American Indemnity Financial Escrow 800 800
* American Independence Corp. 8,400 130,872
American Italian Pasta Co. 30,600 895,356
* American Locker Group, Inc. 300 3,396
* American Medical Electronics, Inc.
(Escrow-Bonus) 4,400 0
* American Medical Electronics, Inc.
(Escrow-Earnings) 4,400 $ 0
* American Medical Security Group,
Inc. 24,200 625,086
* American Medical Systems
Holdings, Inc. 59,500 1,864,135
American Pacific Corp. 7,100 51,830
* American Physicians Capital, Inc. 14,800 341,140
* American Physicians Services
Group, Inc. 100 980
* American Retirement Corp. 42,900 193,050
* American Science & Engineering,
Inc. 12,400 214,024
American Shared Hospital Services 5,100 28,968
American Software, Inc. Class A 32,300 206,397
American States Water Co. 27,450 642,330
* American Superconductor Corp. 49,300 619,208
* American Technical Ceramics Corp. 8,000 70,800
American Vanguard Corp. 621 23,846
* American West Bancorporation 3,552 63,652
American Woodmark Corp. 13,700 788,298
Americana Bancorp, Inc. 2,712 44,070
* America's Car-Mart, Inc. 12,900 380,550
* AMERIGROUP Corp. 44,300 1,868,131
* AmeriServe Financial, Inc. 24,000 138,000
Ameristar Casinos, Inc. 48,500 1,592,740
Ameron International Corp. 13,700 426,207
# AmerUs Group Co. 46,844 1,843,311
* Ames Department Stores, Inc. 12,800 22
Ametek, Inc. 400 10,804
* Amistar Corp. 1,600 3,608
* AML Communications, Inc. 7,800 11,310
* AMN Healthcare Services, Inc. 58,700 892,240
Ampco-Pittsburgh Corp. 9,600 124,512
* Ampex Corp. Class A 5,925 10,369
Amrep Corp. 6,500 111,670
* Amsurg Corp. 54,333 1,230,654
* Amtech Systems, Inc. 1,900 9,652
* AMX Corp. 11,000 109,890
* Anacomp, Inc. 0 12
* Anadigics, Inc. 54,600 269,178
* Analex Corp. 25,800 92,880
Analogic Corp. 24,500 1,130,185
* Analysts International Corp. 41,200 123,188
*# Analytical Surveys, Inc. 730 1,825
* Anaren, Inc. 36,800 585,856
Anchor Bancorp Wisconsin, Inc. 41,240 1,087,499
Andersons, Inc. 8,200 141,532
*# Andrew Corp. 3,409 66,987
* Angeion Corp. 215 318
Angelica Corp. 16,100 359,030
* Angelo & Maxie's, Inc. 2,016 2,157
* Anika Therapeutics, Inc. 9,900 139,600
Anixter International, Inc. 65,900 2,009,950
* Ansoft Corp. 22,500 334,350
* AnswerThink, Inc. 84,800 543,653
* Ansys, Inc. 27,600 1,189,008
* Anteon International Corp. 63,500 1,870,710
* Anthony and Sylvan Pools Corp. 3,768 15,826
*# Antigenics, Inc. 81,113 654,582
* AP Pharma, Inc. 37,123 123,248
41
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* APA Optics, Inc. 11,800 $ 29,500
* APAC Teleservices, Inc. 106,450 237,383
* Aphton Corp. 63,639 287,012
Apogee Enterprises, Inc. 49,500 493,020
* Apogee Technology, Inc. 1,300 11,479
* Applica, Inc. 42,800 420,296
* Applied Extrusion Technologies, Inc. 22,600 23,730
* Applied Films Corp. 26,361 713,065
* Applied Imaging Corp. 15,800 18,486
Applied Industrial Technologies, Inc. 34,000 909,500
* Applied Innovation, Inc. 15,100 60,400
Applied Signal Technologies, Inc. 19,700 615,625
* Applix, Inc. 23,900 105,160
* Apria Healthcare Group, Inc. 54,100 1,519,128
* Apropos Technology, Inc. 30,400 123,424
Aptargroup, Inc. 38,500 1,565,025
* aQuantive, Inc. 108,925 1,095,785
* Aquila, Inc. 331,800 1,330,518
*# Aradigm Corp. 92,337 100,647
* Arch Capital Group, Ltd. 5,900 227,622
Arch Chemicals, Inc. 40,622 1,077,702
Arch Coal, Inc. 73,400 2,385,500
* Arch Wireless, Inc. 35,100 1,112,319
Arctic Cat, Inc. 26,830 618,431
*# Ardent Communications, Inc. 12,900 32
* Arena Pharmaceuticals, Inc. 45,878 268,845
* Argonaut Group, Inc. 46,301 804,711
* Argonaut Technologies, Inc. 12,000 19,560
* Argosy Gaming Corp. 52,900 1,881,124
* Ariad Pharmaceuticals, Inc. 92,800 996,672
*# Ariba, Inc. 532,400 1,160,632
* Ark Restaurants Corp. 2,700 59,670
Arkansas Best Corp. 44,900 1,337,571
* Arlington Hospitality, Inc. 4,900 16,660
* Armor Holdings, Inc. 51,400 1,922,360
*# Armstrong Holdings, Inc. 4,400 3,872
*# Arotech Corp 57,100 145,034
* Arqule, Inc. 51,674 299,709
* Array BioPharma, Inc. 51,415 487,414
# Arrhythmia Research Technology, Inc. 3,900 49,608
* Arris Group, Inc. 147,400 931,568
Arrow Financial Corp. 9,941 292,265
Arrow International, Inc. 73,300 2,211,461
* Art Technology Group, Inc. 100,500 137,685
Artesian Resources Corp. Class A 700 19,096
* Artesyn Technologies, Inc. 69,300 633,402
* Arthrocare Corp. 38,310 937,829
* Artisan Components, Inc. 40,500 1,025,865
* Artisoft, Inc. 2,400 6,264
* Arts Way Manufacturing Co., Inc. 200 1,036
* ASA International. Ltd. 640 2,880
ASB Financial Corp. 1,000 23,000
* Asbury Automotive Group, Inc. 98,100 1,402,830
* Ascential Software Corp. 66,079 1,060,568
* Ashworth, Inc. 23,371 186,734
*# Ask Jeeves, Inc. 78,400 3,167,360
* Aspect Communications Corp. 105,200 1,350,768
* Aspect Medical Systems, Inc. 35,000 532,700
* Aspen Technology, Inc. 73,579 464,283
* Aspeon, Inc. 900 9
*# Astea International, Inc. 2,900 30,189
* Astec Industries, Inc. 35,500 $ 614,505
Astro-Med, Inc. 9,130 96,778
* Astronics Corp. 5,500 27,830
* Astronics Corp. Class B 2,225 10,680
*# AstroPower, Inc. 6,550 262
* ASV, Inc. 22,800 690,156
* Asyst Technologies, Inc. 84,500 864,435
*# ATA Holdings Corp. 21,179 134,487
* Atari, Inc. 209,809 583,269
* AtheroGenics, Inc. 66,600 1,564,434
* Atlantic American Corp. 21,100 62,667
* Atlantic Coast Airlines, Inc. 68,000 383,520
* Atlantic Premium Brands, Ltd. 2,000 2,600
* Atlantis Plastics, Inc. 4,400 67,980
* Atlas Air Worldwide Holdings, Inc. 11,000 572
* ATMI, Inc. 55,900 1,432,158
# Atmos Energy Corp. 93,300 2,312,907
* ATP Oil & Gas Corp. 53,900 319,088
Atrion Corp. 1,700 73,508
* Atrix Labs, Inc. 38,900 1,061,581
* ATS Medical, Inc. 2,200 10,340
* Atwood Oceanics, Inc. 24,900 991,518
* Audiovox Corp. Class A 34,300 477,456
* August Technology Corp. 31,800 427,710
* Ault, Inc. 4,500 13,410
* Aura Systems, Inc. 5,295 199
* Aurora Foods, Inc. 44 0
*# Authentidate Holding Corp. 50,900 641,340
* autobytel.com, Inc. 73,800 771,210
* Avalon Holding Corp. Class A 1,550 4,115
* Avanex Corp. 229,116 710,260
* Avanir Pharmaceuticals Class A 58,000 80,620
* Avant Immunotherapeutics, Inc. 133,134 323,516
* Avatar Holdings, Inc. 8,700 364,008
Avatech Solutions, Inc. 1,851 1,481
* Avi Biopharma, Inc. 61,400 138,764
* Aviall, Inc. 57,700 1,001,672
* Avici Systems Inc. 21,343 225,382
*# Avid Technology, Inc. 45,100 2,346,102
* Avigen, Inc. 37,800 133,812
Avista Corp. 87,000 1,475,520
* Avocent Corp. 52,600 1,802,602
* Avteam, Inc. Class A 11,400 17
* Aware, Inc. 40,959 133,117
* Axcelis Technologies, Inc. 177,900 2,143,695
* Axonyx, Inc. 1,300 6,448
*# AXS-One, Inc. 50,400 149,184
* Axsys Technologies, Inc. 4,700 90,945
* AXT, Inc. 38,200 80,984
* Aztar Corp. 62,100 1,497,231
* AZZ, Inc. 8,200 122,180
Badger Meter, Inc. 3,200 134,464
* Badger Paper Mills, Inc. 1,000 5,135
Bairnco Corp. 7,300 59,130
* Baker (Michael) Corp. 7,600 109,060
Balchem Corp. 4,700 122,670
Baldor Electric Co. 59,233 1,371,836
Baldwin & Lyons, Inc. Class B 12,625 304,894
* Baldwin Technology, Inc. Class A 13,300 49,210
* Ballantyne Omaha, Inc. 11,900 34,748
* Bally Total Fitness Holding Corp. 57,800 265,880
42
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* Bancinsurance Corp. 5,700 $ 46,797
Bandag, Inc. 16,400 694,868
Bandag, Inc. Class A 9,600 380,832
Bank of Granite Corp. 16,400 317,668
Bank of The Ozarks 15,200 367,840
BankAtlantic Bancorp, Inc. Class A 11,285 180,560
* Bankrate, Inc. 7,000 79,450
* BankUnited Financial Corp. Class A 51,400 1,341,026
Banner Corp. 20,197 589,752
Banta Corp. 46,600 2,033,624
Barnes Group, Inc. 41,400 1,099,998
Barnwell Industries, Inc. 400 18,384
Barra, Inc. 33,000 1,350,030
* Barrett Business Services, Inc. 5,800 78,532
* Barry (R.G.) Corp. 9,500 20,235
Bassett Furniture Industries, Inc. 20,815 396,089
* Bay View Capital Corp. 92,550 188,802
* Baycorp Holdings, Ltd. 484 6,423
* BE Aerospace, Inc. 65,700 419,166
* Beasley Broadcast Group, Inc. 12,303 188,482
# Beazer Homes USA, Inc. 12,553 1,264,966
* Bebe Stores, Inc. 69,900 1,396,602
BEI Technologies, Inc. 26,500 706,755
Bel Fuse, Inc. Class A 2,600 78,679
Bel Fuse, Inc. Class B 5,250 190,785
Belden, Inc. 40,696 687,762
* Bell Industries, Inc. 8,900 26,255
* Bell Microproducts, Inc. 48,900 311,493
* Benchmark Electronics, Inc. 74,000 2,155,620
* Benihana, Inc. 1,000 14,500
* Benihana, Inc. Class A 150 2,196
* Bentley Pharmaceuticals, Inc. 37,060 466,956
Berry Petroleum Corp. Class A 44,700 1,218,075
*# Bethlehem Steel Corp. 37,300 119
* Beverly Enterprises 193,200 1,638,336
* Beyond.com Corp. 3,140 44
BHA Group Holdings, Inc. Class A 6,100 199,043
* Big 4 Ranch, Inc. 3,200 0
* Big City Radio, Inc. 6,400 832
* Big Dog Holdings, Inc. 1,500 7,216
* BindView Development Corp. 84,700 258,335
* Bio Imaging Technologies, Inc. 18,500 104,340
* Bioanalytical Systems, Inc. 4,600 18,515
* Biocryst Pharmaceuticals, Inc. 38,700 417,960
*# BioLase Technology, Inc. 43,200 509,328
* Bio-Logic Systems Corp. 4,200 26,082
* BioMarin Pharmaceutical, Inc. 112,885 689,727
* Bio-Rad Laboratories, Inc. Class A 20,000 1,122,400
* Bio-Reference Laboratories, Inc. 20,912 319,744
* BioSante Pharmaceuticals, Inc. 25,300 192,280
*# Biosite, Inc. 28,100 1,117,537
* Biosource International, Inc. 9,600 69,226
* Biospecifics Technologies Corp. 4,500 6,750
* BioSphere Medical, Inc. 24,600 75,768
* BioTime, Inc. 11,000 19,800
* Bioveris Corp. 30,900 388,104
* Bitstream, Inc. 8,400 19,152
BIW, Ltd. 800 15,588
Black Box Corp. 32,300 1,471,265
Black Hills Corp. 57,559 1,686,479
Blair Corp. 13,700 352,090
* Blonder Tongue Laboratories, Inc. 9,800 $ 30,870
* Blount International, Inc. 43,400 433,132
* Blue Coat Systems, Inc. 18,786 522,251
* Blue Martini Software, Inc. 19,500 87,535
* Bluegreen Corp. 45,665 547,067
Blyth, Inc. 38,100 1,243,965
* BMC Industries, Inc. 14,000 875
* BNS Co. Class A 4,120 25,338
Bob Evans Farms, Inc. 63,338 1,627,153
* Boca Resorts, Inc. 68,745 1,236,035
* Bogen Communications International,
Inc. 12,500 62,812
* Bolt Technology Corp. 5,400 24,840
* Bombay Co., Inc. 62,900 366,078
* Bone Care International, Inc. 25,821 551,278
* Bontex, Inc. 200 30
Bon-Ton Stores, Inc. 20,900 267,311
* Bookham Technologies P.L.C. 98,279 103,193
* Books-a-Million, Inc. 18,300 109,800
* Borland Software Corp. 145,900 1,283,920
Boston Acoustics, Inc. 4,600 50,600
* Boston Beer Company, Inc. Class A 16,400 313,240
* Boston Biomedical, Inc. 6,700 21,172
* Boston Communications Group, Inc. 33,000 349,800
Boston Private Financial Holdings,
Inc. 49,100 1,123,899
Bostonfed Bancorp, Inc. 4,300 144,480
* Bottomline Technologies, Inc. 27,904 267,878
Bowne & Co., Inc. 62,000 987,040
# Boyd Gaming Corp. 103,200 2,399,400
* Boyds Collection, Ltd. 121,517 347,539
* Bradley Pharmaceuticals, Inc.
Class A 25,251 587,843
Brady (W.H.) Co. Class A 37,400 1,543,872
* Braun Consulting, Inc. 30,100 50,568
* Breed Technologies, Inc. 36,800 975
Bridgford Foods Corp. 10,400 80,080
Briggs & Stratton Corp. 27,300 2,071,524
* Brigham Exploration Co. 60,182 512,811
* Bright Horizons Family Solutions, Inc. 6,600 326,106
* Brightpoint, Inc. 34,700 386,558
* BrightStar Information Technology
Group, Inc. 10,700 385
* Brillian Corp. 7,049 59,571
* Brilliant Digital Entertainment, Inc. 18,000 1,278
*# BriteSmile, Inc. 785 8,635
* Broadview Media, Inc. 200 1,220
* BroadVision, Inc. 59,800 206,848
* Brocade Communications Systems,
Inc. 17,800 106,622
# Brookline Bancorp, Inc. 106,091 1,534,076
* Brooks Automation, Inc. 75,239 1,554,438
* Brookstone, Inc. 35,875 692,746
* Brooktrout, Inc. 23,462 225,704
Brown Shoe Company, Inc. 32,500 1,343,225
* Bruker BioSciences Corp. 166,445 792,278
* Brush Engineered Materials, Inc. 30,100 524,342
Bryn Mawr Bank Corp. 1,600 32,960
BSB Bancorp, Inc. 16,785 583,279
* BSQUARE Corp. 19,000 18,411
* BTU International, Inc. 11,900 62,832
43
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* Buca, Inc. 33,971 $ 179,027
* Buckeye Technology, Inc. 65,183 657,696
Buckle, Inc. 30,000 842,700
Building Materials Holding Corp. 24,100 414,761
* Bull Run Corp. 3,700 2,016
Burlington Coat Factory
Warehouse Corp. 75,549 1,438,453
* Bush Industries, Inc. Class A 6,500 4,355
* Butler International, Inc. 8,400 20,832
C & D Technologies, Inc. 49,600 809,968
C & F Financial Corp. 300 11,280
* C-COR.net Corp. 75,800 673,862
*# C-Phone Corp. 8,900 156
* Cable Design Techologies Corp. 85,487 712,962
*# Cabot Microelectronics Corp. 42,300 1,317,645
Cabot Oil & Gas Corp. Class A 58,400 2,149,120
* Cache, Inc. 18,700 486,387
* Caci International, Inc. Class A 52,400 1,946,136
Cadmus Communications Corp. 8,900 122,642
* Cagle's, Inc. Class A 2,000 21,820
* Cal Dive International, Inc. 67,800 1,904,502
Calavo Growers 16,200 165,888
Calgon Carbon Corp. 67,400 416,532
* California Amplifier, Inc. 26,800 201,000
* California Coastal Communities, Inc. 10,000 160,500
California First National Bancorp 10,400 136,864
* California Micro Devices Corp. 38,000 511,480
* California Pizza Kitchen, Inc. 34,000 641,920
California Water Service Group 30,500 867,725
* Caliper Life Sciences, Inc. 56,174 298,284
Callaway Golf Co. 136,000 2,200,480
* Callidus Software 32,000 228,480
* Callon Petroleum Corp. 25,162 330,125
* Calloways Nursery, Inc. 1,200 198
# Cal-Maine Foods, Inc. 39,100 539,580
* Calton, Inc. 4,480 1,926
* CAM Commerce Solutions, Inc. 3,000 56,737
Cambrex Corp. 51,700 1,181,345
* Cambridge Heart, Inc. 6,600 4,290
Camco Financial Corp. 7,516 107,704
* Candela Corp. 39,910 415,064
* Candies, Inc. 45,550 114,786
* Candlewood Hotel Co., Inc. 1,500 85
* Cannon Express, Inc. Class A 200 36
* Cannondale Corp. 6,400 896
* Cantel Medical Corp. 16,740 287,928
* Canterbury Consulting Group, Inc. 1,571 1,296
* Canyon Resources Corp. 48,600 158,436
Capital Corp. of the West 5,046 181,656
* Capital Crossing Bank 5,900 374,060
* Capital Pacific Holdings, Inc. 14,500 58,362
* Capital Senior Living Corp. 42,200 217,330
Capital Southwest Corp. 300 22,650
Capitol Bancorp, Ltd. 8,564 215,984
* Caprius, Inc. 548 110
* Capstone Turbine Corp. 74,000 206,460
* Captaris, Inc. 57,600 348,480
* Captiva Software Corp. 4,400 44,308
* Caraustar Industries, Inc. 51,184 684,842
# Carbo Ceramics, Inc. 28,600 1,999,140
* Cardiac Sciences, Inc. 136,100 340,250
* Cardima, Inc. 6,300 $ 5,418
* CardioDynamics International Corp. 85,661 563,649
*# CardioGenesis Corp. 32,100 21,507
* Cardiotech International, Inc. 31,263 117,236
* Career Blazers, Inc. Trust Units 800 0
* Carmike Cinemas, Inc. 19,700 721,020
Carpenter Technology Corp. 40,400 1,228,968
* Carreker Corp. 21,871 199,682
* Carriage Services, Inc. Class A 28,700 147,805
* Carrier Access Corp. 59,989 667,078
* Carrington Laboratories, Inc. 9,800 42,042
* Carrizo Oil & Gas, Inc. 14,100 119,286
Cascade Corp. 20,800 508,560
Cascade Natural Gas Corp. 20,100 399,387
* Casella Waste Systems, Inc. Class A 40,669 568,553
Casey's General Stores, Inc. 84,800 1,384,784
Cash America International, Inc. 48,200 972,194
* Castle (A.M.) & Co. 15,437 131,060
Castle Energy Corp. 6,600 71,709
* Casual Male Retail Group, Inc. 63,100 429,080
* Catalina Lighting, Inc. 1,760 18,865
* Catalina Marketing Corp. 90,800 1,533,612
* Catalyst International, Inc. 7,600 10,640
* Catalyst Semiconductor, Inc. 28,040 224,881
* Catalytica Energy Systems, Inc. 15,391 51,560
* Catapult Communications Corp. 22,600 373,126
Cathay Bancorp, Inc. 38,961 2,460,387
Cato Corp. Class A 35,000 771,050
* Cavalier Homes, Inc. 32,060 180,818
Cavalry Bancorp, Inc. 500 7,530
* Cavco Industries, Inc. 3,852 146,141
CCA Industries, Inc. 11,800 91,450
* CCC Information Services Group,
Inc. 25,700 372,136
* CD Warehouse, Inc. 3,300 7
* CD&L, Inc. 2,600 3,640
CDI Corp. 35,300 1,171,607
* CEC Entertainment Inc. 69,550 2,137,271
* Celadon Group, Inc. 14,000 201,880
* Celebrity, Inc. Escrow Shares 1,300 0
Celeritek, Inc. 22,200 78,144
* Cell Genesys, Inc. 79,352 815,739
*# Cell Therapeutics, Inc. 88,200 617,400
* Cellegy Pharmaceuticals, Inc. 46,100 187,166
* CellStar Corp. 33,948 205,385
* Centene Corp. 36,200 1,305,010
* Centennial Communications Corp. 49,800 359,556
Center Bancorp, Inc. 1,890 22,189
Center Finl CO 12,960 191,160
*# CenterSpan Communication Corp. 8,400 714
* Centillium Communications, Inc. 64,069 211,428
* Centra Software, Inc. 45,500 99,190
Central Bancorp, Inc. 1,600 56,880
*# Central European Distribution Corp. 19,418 587,977
* Central Garden & Pet Co. 30,300 1,126,251
Central Pacific Financial Corp. 28,400 687,280
Central Parking Corp. 63,137 1,167,403
Central Vermont Public Service Corp. 21,700 423,367
* Century Aluminum Co. 55,390 1,283,386
Century Bancorp Income Class A 1,000 32,700
* Century Business Services, Inc. 141,857 584,451
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* Cenveo, Inc. 84,800 $ 262,032
* Cepheid, Inc. 74,706 683,560
* Ceradyne, Inc. 28,650 953,185
Cerberonics, Inc. Class A 200 1,852
* Ceres Group, Inc. 54,395 338,337
*# Cerner Corp. 49,309 2,108,453
* Cerus Corp. 39,700 85,355
* CEVA, Inc. 10,833 86,664
CFS Bancorp, Inc. 21,420 290,241
CH Energy Group, Inc. 28,700 1,305,850
* Chad Therapeutics 10,000 42,500
* Champion Enterprises, Inc. 126,100 1,179,035
Champion Industries, Inc. 9,674 44,307
* Championship Auto Racing Teams,
Inc. 8,900 1,041
* Champps Entertainment, Inc. 21,340 191,398
* Channell Commercial Corp. 6,600 29,700
* Charles and Colvard, Ltd. 23,800 139,944
* Charles River Associates, Inc. 9,000 305,370
* Charlotte Russe Holding, Inc. 38,600 713,714
* Charming Shoppes, Inc. 200,877 1,719,507
* Chart Industries 23 690
*# Charter Communications, Inc. 142,500 548,625
Charter Financial Corp. 22,811 770,784
Chase Corp. 4,000 59,200
* Chattem, Inc. 35,000 930,300
* Chaus (Bernard), Inc. 1,300 1,300
* Checkers Drive-In Restaurant, Inc. 21,107 216,347
* Checkpoint Systems, Inc. 67,700 1,168,502
Chemed Corp. 20,900 986,898
Chemical Financial Corp. 42,938 1,504,977
* Cheniere Energy, Inc. 31,200 471,120
Cherokee, Inc. 8,100 186,300
Chesapeake Corp. 32,802 712,459
Chesapeake Utilities Corp. 9,000 209,970
Chester Valley Bancorp 575 11,759
* Chicago Pizza & Brewery, Inc. 35,022 469,995
Chicago Rivet & Machine Co. 200 5,829
* Children's Place Retail Stores, Inc. 45,400 1,075,072
* Childtime Learning Centers, Inc. 5,200 13,884
*# ChipPAC, Inc. 155,100 1,008,150
* Chiquita Brands International, Inc. 72,996 1,278,890
Chittenden Corp. 66,083 2,141,750
Choice Hotels International, Inc. 53,600 2,567,440
* Cholestech Corp. 25,300 241,615
* Chordiant Software, Inc. 122,500 474,075
Christopher & Banks Corp. 68,013 1,292,247
*# ChromaVision Medical Systems, Inc. 20,200 27,068
* Chromcraft Revington, Inc. 6,000 84,900
* Chronimed, Inc. 21,901 162,067
Churchill Downs, Inc. 14,400 545,472
*# Chyron Corp. 33,400 20,040
* Ciber, Inc. 117,312 1,044,077
* Cima Laboratories, Inc. 19,900 643,168
* Cimarex Energy Co. 14,004 394,773
* Cincinnati Bell, Inc. 447,700 1,844,524
* Ciphergen Biosystems, Inc. 52,200 407,682
* Ciprico, Inc. 4,900 22,809
CIRCOR International, Inc. 26,290 516,336
* Cirrus Logic, Inc. 151,800 1,127,874
Citizens Banking Corp. 67,033 2,010,320
Citizens South Banking Corp. 14,029 $ 181,676
*# Citizens, Inc. Class A 57,326 390,963
City Holding Co. 30,086 903,182
* CKE Restaurants, Inc. 103,800 1,050,456
Clarcor, Inc. 45,700 1,938,137
* Clark, Inc. 31,124 544,048
* Clarus Corp. 29,800 353,428
*# Clayton Williams Energy, Inc. 9,200 211,048
*# Clean Harbors, Inc. 25,100 182,979
* Clearone Communications, Inc. 11,300 66,387
Cleco Corp. 84,700 1,469,545
* Cleveland Cliffs, Inc. 19,200 900,288
*# ClickAction, Inc. Escrow 7,900 395
Clinical Data Inc. 1,787 20,157
* Closure Medical Corp. 25,642 638,999
* CMG Information Services, Inc. 66,700 131,399
*# CMS Energy Corp. 273,775 2,359,940
* CNA Surety Corp. 67,918 706,347
*# CNE Group, Inc. 2,000 820
* CNET Networks, Inc. 241,100 2,329,026
CNS, Inc. 24,800 249,736
Coachmen Industries, Inc. 28,000 452,480
* Coast Dental Services, Inc. 2,066 6,405
Coast Distribution System 5,600 35,784
* Coastcast Corp. 7,600 16,340
CoBiz, Inc. 12,825 177,498
* Cobra Electronics Corp. 6,100 54,717
Coca-Cola Bottling Co. Consolidated 6,000 333,420
*# Coeur d'Alene Mines Corp. 457,200 2,144,268
* Cogent Communications Group, Inc. 8,913 3,565
Cognex Corp. 64,800 2,147,472
* Cognitronics Corp. 4,250 15,045
* Coherent, Inc. 53,846 1,458,688
Cohu, Inc. 38,600 731,470
*# Coinstar, Inc. 38,200 664,680
* Coldwater Creek, Inc. 23,850 634,648
Cole (Kenneth) Productions, Inc.
Class A 19,450 636,987
* Cole National Corp. Class A 14,800 336,108
* Collagenex Pharmaceuticals, Inc. 25,400 249,428
* Collins & Aikman Corp. 142,960 759,118
Collins Industries, Inc. 7,000 39,970
Columbia Banking System, Inc. 25,547 542,107
* Columbia Laboratories, Inc. 71,600 219,096
* Columbus McKinnon Corp. 25,800 136,714
* Comarco, Inc. 10,200 72,624
* Comdial Corp. 600 1,560
* Comforce Corp. 13,277 26,288
* Comfort Systems USA, Inc. 65,500 461,775
Commerce Group, Inc. 33,100 1,500,092
*# Commerce One, Inc. 51,000 52,020
Commercial Bancshares, Inc. 5,665 144,741
Commercial Federal Corp. 71,900 2,014,638
Commercial Metals Co. 52,300 1,574,230
Commercial National Financial Corp. 3,200 80,800
* Commonwealth Industries, Inc. 28,815 257,894
*# Commonwealth Telephone
Enterprises, Inc. 38,100 1,615,440
*# Commscope, Inc. 110,400 1,904,400
Communications Systems, Inc. 8,200 64,780
Community Bank System, Inc. 48,600 1,070,172
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Community Bankshares, Inc. 210 $ 3,906
Community First Bankshares, Inc. 63,200 2,028,720
Community Trust Bancorp, Inc. 13,730 427,964
Community West Bancshares 5,500 46,612
* Competitive Technologies, Inc. 6,100 22,265
* Compex Technologies, Inc. 21,854 130,687
* Compucom Systems, Inc. 90,241 405,182
* CompuCredit Corp. 81,131 1,423,038
*# Compudyne Corp. 14,404 143,320
* Computer Access Technology Corp. 41,000 190,650
* Computer Horizons Corp. 37,400 133,518
* Computer Network Technology Corp. 47,000 283,880
Computer Programs & Systems, Inc. 18,000 349,020
* Computer Task Group, Inc. 35,900 156,165
* CompX International, Inc. 5,100 82,875
* Comstock Resources, Inc. 62,400 1,173,744
* Comtech Telecommunications Corp. 25,600 454,144
* Concepts Direct, Inc. 700 124
* Conceptus, Inc. 44,836 467,639
* Concord Camera Corp. 48,356 149,420
* Concord Communications, Inc. 30,000 342,600
* Concur Technologies, Inc. 57,631 625,873
* Concurrent Computer Corp. 106,000 214,120
* Conexant Systems, Inc. 237,333 1,120,212
* Congoleum Corp. Class A 3,600 8,100
* Conmed Corp. 53,111 1,351,675
Connecticut Water Services, Inc. 7,600 191,132
*# Connetics Corp. 63,400 1,354,858
* Conrad Industries, Inc. 7,200 16,358
* Consolidated Freightways Corp. 550 1
* Consolidated Graphics, Inc. 24,282 974,922
Consolidated Tokoma Land Co. 6,100 204,045
* Consumer Portfolio Services, Inc. 1,500 6,735
*# Continental Airlines, Inc. 119,100 1,273,179
* Continental Materials Corp. 200 5,858
*# Convera Corp. 60,916 173,001
* Convergence Systems, Inc. 1 45
*# Cooker Restaurant Corp. 6,500 39
Cooper Companies, Inc. 39,200 2,163,840
Cooper Tire & Rubber Co. 83,900 1,769,451
Cooperative Bankshares, Inc. 1,400 32,200
* Copart, Inc. 134,800 3,322,820
*# Copper Mountain Networks, Inc. 11,310 143,524
*# Corautus Genetics, Inc. 1,542 8,866
* Core Molding Technologies, Inc. 7,700 26,950
* Corillian Corp. 63,800 307,516
* Corinthian Colleges, Inc. 18,900 536,949
* Corio, Inc. 108,400 244,984
* Corixa Corp. 100,097 507,492
Corn Products International, Inc. 57,600 2,498,688
* Cornell Companies, Inc. 23,800 317,730
* Correctional Services Corp. 20,512 63,587
* Corrections Corporation of America 63,100 2,414,206
* Corrpro Companies, Inc. 7,275 12,076
Corus Bankshares, Inc. 50,444 1,971,352
* Corvel Corp. 10,900 253,207
* Cosine Communications, Inc. 16,721 66,550
* Cost Plus, Inc. 39,175 1,288,466
* CoStar Group, Inc. 32,391 1,340,340
* Cost-U-Less, Inc. 3,000 17,310
Cotton States Life Insurance Co. 6,330 125,809
Courier Corp. 4,275 $ 166,853
* Covansys Corp. 48,200 524,416
* Covenant Transport, Inc. Class A 22,130 346,777
* Covista Communications, Inc. 3,000 9,000
CPAC, Inc. 5,120 29,645
* CPI Aerostructures, Inc. 9,566 102,356
CPI Corp. 11,200 173,824
Craftmade International, Inc. 8,700 180,960
Crawford & Co. Class A 27,300 133,224
Crawford & Co. Class B 25,300 125,235
* Cray, Inc. 127,300 1,003,124
*# Credence Systems Corp. 114,047 1,597,798
* Credit Acceptance Corp. 71,369 1,074,103
*# Cree Research, Inc. 51,000 1,173,510
* Critical Path, Inc. 33,200 63,080
* Criticare Systems, Inc. 20,300 62,930
Crompton Corp. 206,100 1,230,417
* Cross (A.T.) Co. Class A 14,700 82,908
* Cross Country Healthcare, Inc. 55,657 924,463
* Crossroads Systems, Inc. 42,500 77,435
* Crown Andersen, Inc. 1,000 1,750
* Crown Financial Group, Inc. 6,600 7,920
* Crown Holdings, Inc. 247,400 2,209,282
* Crown Media Holdings, Inc. 127,651 1,155,242
*# Cryolife, Inc. 41,800 213,180
* CSG Systems International, Inc. 96,800 1,847,912
* CSK Auto Corp. 83,600 1,433,740
* CSP, Inc. 3,500 25,203
CSS Industries, Inc. 12,900 450,210
CT Communications, Inc. 30,860 422,782
CTS Corp. 64,959 708,053
Cubic Corp. 48,100 1,082,731
* Cubist Pharmaceuticals, Inc. 72,425 719,904
* Culp, Inc. 19,600 145,040
* Cumulus Media, Inc. Class A 90,093 1,670,324
* CUNO, Inc. 30,408 1,395,119
* CuraGen Corp. 85,560 427,800
* Curative Health Services Inc. 23,100 243,012
* Curis, Inc. 74,150 330,635
Curtiss-Wright Corp. 11,600 545,780
Cutter & Buck, Inc. 18,524 191,909
* CV Therapeutics, Inc. 56,405 737,777
CVB Financial Corp. 87,076 1,809,439
* Cyberguard Corp. 42,022 355,506
* Cyberonics, Inc. 42,100 826,002
* Cyberoptics Corp. 14,300 299,013
* Cybersource Corp. 59,900 506,155
* Cybex International, Inc. 8,700 32,538
*# Cycle Ctry Acc 6,300 33,705
*# CycleLogic, Inc. 29 3
* Cygnus, Inc. 1,300 338
* Cymer, Inc. 63,700 2,344,160
Cytec Industries, Inc. 62,000 2,496,740
* Cytogen Corp. 27,070 351,910
*# Cytrx Corp. 1,700 2,074
D & K Healthcare Resources, Inc. 28,330 339,110
* D A Consulting Group, Inc. 6,700 37
D&E Communications, Inc. 17,374 225,167
* Daily Journal Corp. 200 6,600
* Daktronics, Inc. 33,879 791,075
*# Dan River, Inc. Class A 27,400 2,945
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* Danielson Holding Corp. 33,400 $ 318,636
* Darling International, Inc. 114,700 395,715
* Data I/O Corp. 7,600 21,736
* Data Systems & Software, Inc. 7,300 12,191
* Datakey, Inc. 1,000 750
* Datalink Corp. 13,300 48,545
* Dataram Corp. 14,400 115,920
Datascope Corp. 26,634 924,999
* Datastream Systems, Inc. 20,100 125,826
* Datatec Systems, Inc. 7,000 3,605
* DataTRAK International, Inc. 5,200 57,460
* Datawatch Corp. 4,132 17,437
* Dave and Busters, Inc. 13,200 246,840
* Davel Communications, Inc. 94 1
* Dawson Geophysical Co. 5,400 80,190
* Daxor Corp. 4,600 96,830
Deb Shops, Inc. 19,299 462,983
* Deckers Outdoor Corp. 9,200 230,000
* Decora Industries, Inc. 5,500 32
Decorator Industries, Inc. 2,762 22,096
* Del Global Technologies Corp. 10,927 24,859
* Del Laboratories, Inc. 9,506 273,773
* Delphax Technologies, Inc. 6,100 39,040
Delphi Financial Group, Inc. Class A 46,350 1,866,978
*# Delta Air Lines, Inc. 195,200 1,190,720
Delta and Pine Land Co. 68,900 1,597,102
Delta Apparel, Inc. 5,240 118,319
* Delta Financial Corp. 28,900 176,001
Delta Natural Gas Co., Inc. 2,800 65,016
* Delta Woodside Industries, Inc. 5,850 7,897
Deltic Timber Corp. 21,771 772,435
* Denali, Inc. 4,300 430
* Denbury Resources, Inc. 98,100 1,805,040
* Dendreon Corp. 103,881 1,137,497
* Dendrite International, Inc. 73,874 1,240,344
* Department 56, Inc. 23,700 374,460
*# DepoMed, Inc. 78,000 593,580
* Detrex Corp. 500 787
* Devcon International Corp. 3,600 41,400
* DHB Industries, Inc. 73,300 691,219
Diagnostic Products Corp. 52,200 2,198,664
*# Diametrics Medical, Inc. 2,500 275
* DiamondCluster International, Inc. 58,884 570,586
* Diedrich Coffee, Inc. 4,025 15,899
* Digene Corp. 35,000 1,365,350
* Digi International, Inc. 37,548 390,124
* Digimarc Corp. 37,265 421,094
*# Digital Angel Corp. 55,000 177,100
*# Digital Generation Systems, Inc. 114,900 166,605
* Digital Impact, Inc. 56,900 101,282
* Digital Insight Corp. 63,100 1,219,092
*# Digital Lightwave, Inc. 49,700 81,508
* Digital River, Inc. 57,000 1,790,370
* Digitas, Inc. 113,157 1,046,702
Dime Community Bancorp, Inc. 67,700 1,157,670
Dimon, Inc. 78,529 482,953
* Diodes, Inc. 12,150 265,234
* Dionex Corp. 38,310 1,929,292
* Directrix, Inc. 813 3
* Discovery Partners International 41,953 217,736
* Display Technologies, Inc. 11,330 23
Distributed Energy Systems Corp. 59,250 $ 189,600
* Ditech Communications Corp. 58,480 1,205,273
* Diversa Corp. 77,608 730,291
* Diversified Corporate Resources, Inc. 800 1,120
* Dixie Group, Inc. 18,500 218,485
* Dixon Ticonderoga Co. 1,900 7,125
* DJ Orthopedics, Inc. 38,800 905,204
* DLB Oil & Gas, Inc. 1,300 0
* DocuCorp International, Inc. 18,773 167,643
* Document Sciences Corp. 14,200 74,962
* Dollar Thrifty Automotive Group, Inc. 45,400 1,190,388
* Dominion Homes, Inc. 5,800 176,958
Donegal Group, Inc. Class A 6,066 127,265
Donegal Group, Inc. Class B 2,933 60,185
* Dot Hill Systems Corp. 70,760 672,220
* DoubleClick, Inc. 164,482 1,394,807
* DOV Pharmaceutical, Inc. 30,394 457,734
Dover Downs Gaming &
Entertainment, Inc. 9,910 106,235
Dover Motorsports, Inc. 26,200 120,258
Downey Financial Corp. 36,476 1,929,580
*# DPAC Technologies Corp. 20,900 16,469
* Drew Industries, Inc. 18,400 685,400
*# Drexler Technology Corp. 20,500 348,500
* Dril-Quip, Inc. 31,100 513,772
* DRS Technologies, Inc. 48,500 1,357,515
* Drugstore.com, Inc. 133,100 617,584
* DSP Group, Inc. 51,900 1,366,008
* DT Industries, Inc. 10,300 335
* Duane Reade, Inc. 36,021 594,346
* Duckwall-ALCO Stores, Inc. 4,100 70,684
* Ducommun, Inc. 17,100 322,335
* DuPont Photomasks, Inc. 32,755 723,230
Duquesne Light Holdings, Inc. 104,700 2,013,381
* Dura Automotive Systems, Inc. 28,100 265,826
* DuraSwitch Industries, Inc. 10,500 31,384
* Duratek, Inc. 13,500 175,500
*# Durect Corp. 91,387 322,596
*# DUSA Pharmaceuticals, Inc. 29,500 311,520
* DVI, Inc. 11,300 186
* Dyax Corp. 56,000 551,600
* Dycom Industries, Inc. 87,266 2,154,598
*# Dynacq Healthcare, Inc. 22,200 139,860
* Dynamex, Inc. 19,900 261,486
* Dynamic Materials Corp. 2,000 6,120
* Dynamics Research Corp. 14,598 239,553
* Dynegy, Inc. 84,700 371,833
*# E Com Ventures, Inc. 2,175 20,119
* E-Loan, Inc. 108,400 264,496
E-Z-EM, Inc. 8,562 160,109
* E.piphany, Inc. 127,687 600,129
Eagle Materials, Inc. 25,000 1,667,500
* EarthLink, Inc. 198,575 1,993,693
East West Bancorp, Inc. 41,300 2,505,671
Eastern Co. 4,950 77,913
* EasyLink Services Corp. 7,969 10,200
* Echelon Corp. 72,571 778,687
* Eclipsys Corp. 17,600 244,288
* eCollege.com 36,200 609,246
Ecology & Environment, Inc. Class A 2,000 20,000
Edelbrock Corp. 5,470 82,323
47
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* Eden Bioscience Corp. 12,800 $ 14,080
*# EDGAR Online, Inc. 16,400 16,072
* Edge Petroleum Corp. 23,100 319,935
* Edgewater Technology, Inc. 11,569 71,612
Edo Corp. 35,800 768,984
Educational Development Corp. 1,800 19,611
EFC Bancorp, Inc. 4,600 109,250
* EFJ, Inc. 7,800 64,740
* eFunds Corp. 86,006 1,376,956
* EGL, Inc. 84,700 1,937,936
* El Paso Electric Co. 108,600 1,569,270
* Elcom International, Inc. 3,500 560
Electro Rent Corp. 39,266 429,570
* Electro Scientific Industries, Inc. 33,300 760,239
* Electroglas, Inc. 37,600 197,400
* Electronics Boutique Holdings Corp. 44,730 1,232,759
* Electronics for Imaging, Inc. 84,900 2,356,824
* Elizabeth Arden, Inc. 42,200 930,088
ElkCorp. 35,300 875,440
* eLoyalty Corp. 6,700 42,411
* ELXSI Corp. 1,800 6,570
* Embarcadero Technologies, Inc. 47,750 541,007
* Embrex, Inc. 14,600 188,048
EMC Insurance Group, Inc. 11,300 229,164
* Emcor Group, Inc. 27,100 1,148,498
* EMCORE Corp. 65,111 192,729
* Emerging Vision, Inc. 25,700 3,341
* Emeritus Corp. 14,100 80,370
* Emerson Radio Corp. 45,422 152,164
* Emisphere Technologies, Inc. 33,000 167,640
* Emmis Communications Corp.
Class A 82,800 1,805,040
Empire District Electric Co. 45,400 908,908
* EMS Technologies, Inc. 19,932 433,720
* En Pointe Technologies, Inc. 6,500 12,285
* Encore Acquisition Co. 54,800 1,539,880
* Encore Capital Grooup, Inc. 31,700 483,108
* Encore Medical Corp. 74,500 520,010
* Encore Wire Corp. 25,965 791,024
* Encysive Pharmaceuticals, Inc. 94,800 871,686
* Endocardial Solutions, Inc. 39,300 382,389
* Endocare, Inc. 25,800 76,755
* Endologix, Inc. 57,000 281,580
Energen Corp. 41,300 1,850,240
* Energy Conversion Devices, Inc. 43,105 540,106
* Energy Partners, Ltd. 58,000 769,660
* Energy West, Inc. 3,900 25,545
EnergySouth, Inc. 7,971 290,304
* Enesco Group, Inc. 25,600 246,528
Engineered Support Systems, Inc. 45,881 2,404,164
* ENGlobal Corp. 1,700 2,839
* Enherent Corp. 17,400 2,610
*# Enlighten Software Solutions, Inc. 1,600 3
Ennis Business Forms, Inc. 28,800 444,960
* EnPro Industries, Inc. 35,200 680,768
* Entegris, Inc. 125,864 1,428,556
* Enterrasys Networks, Inc. 378,100 741,076
* Entravision Communications Corp. 106,817 865,218
* Entremed, Inc. 66,600 141,858
* Entrust, Inc. 114,400 526,240
* Environmental Elements Corp. 5,000 775
* Environmental Technologies Corp. 3,700 $ 26
* Environmental Tectonics Corp. 7,100 52,540
* Enzo Biochem, Inc. 53,066 708,962
* Enzon Pharmaceuticals, Inc. 51,600 741,492
* EP Medsystems, Inc. 14,900 43,210
* EpicEdge, Inc. 21,900 208
* Epicor Software Corp. 79,442 1,063,728
* Epimmune, Inc. 22,900 39,159
* EPIQ Systems, Inc. 31,150 455,724
* EPIX Medical, Inc. 40,828 997,428
* ePlus, Inc. 14,300 168,454
* ePresence, Inc. 25,100 101,404
*# Equimed Inc. Nevis 2,250 0
* Equinix, Inc. 27,300 858,585
* Equity Marketing, Inc. 5,700 73,188
* Equity Oil Co. 16,000 68,000
*# eResearch Technology, Inc. 92,100 2,329,209
* Ergo Science Corp. 7,150 17,160
ESB Financial Corp. 11,762 149,142
*# Escalon Medical Corp. 3,200 43,456
* Esco Technologies, Inc. 23,200 1,143,760
* eSpeed, Inc. 50,500 957,985
Espey Manufacturing & Electronics
Corp. 400 9,044
* ESS Technology, Inc. 70,800 811,368
* Esterline Technologies Corp. 36,500 919,070
Ethan Allen Interiors, Inc. 34,800 1,356,156
* Ethyl Corp. 30,300 608,121
* Euronet Worldwide, Inc. 53,952 1,240,356
* European Micro Holdings, Inc. 4,600 264
* Evans & Sutherland Computer Corp. 10,400 51,844
* Evans Systems, Inc. 4,000 360
* Evercel, Inc. 766 295
* Evergreen Resources, Inc. 58,700 2,221,795
*# Evergreen Solar, Inc. 26,400 79,992
* Everlast Worldwide, Inc. 1,500 4,050
EverTrust Financial Group, Inc. 2,850 55,461
* Evolving Systems, Inc. 12,600 50,148
*# Exabyte Corp. 1,000 830
* Exact Sciences Corp. 44,505 281,272
* Exactech, Inc. 10,800 216,000
* Exar Corp. 70,108 1,116,820
* Excel Technology, Inc. 20,400 657,900
* Exelixis, Inc. 124,818 1,150,822
* Exponent, Inc. 6,700 167,031
* ExpressJet Holdings, Inc. 88,400 1,053,728
* Extended Systems, Inc. 11,100 55,167
* Extreme Networks, Inc. 202,100 1,075,172
* Exult, Inc. 192,081 1,187,061
* Ezcorp, Inc. Class A Non-Voting 10,800 87,804
* Ezenia! Inc. 200 140
F.N.B. Corp. 81,720 1,631,131
* F5 Networks, Inc. 61,300 1,819,997
* Fab Industries, Inc. 5,200 18,200
*# Factory 2-U Stores, Inc. 26,949 25,332
# Factset Research Systems, Inc. 57,000 2,491,470
* Fairchild Corp. Class A 40,052 180,234
* Falcon Products, Inc. 11,800 44,250
*# FalconStor Software, Inc. 81,300 562,596
* Famous Dave's of America, Inc. 22,120 174,129
* Fargo Electronics 22,200 252,192
48
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Farmer Brothers Co. 19,000 $ 542,640
* Faro Technologies, Inc. 24,400 652,456
FBL Financial Group, Inc. Class A 38,700 1,097,919
* Featherlite, Inc. 6,500 29,185
Fedders Corp. 53,810 238,916
Federal Screw Works 1,562 58,263
# Federal Signal Corp. 84,700 1,508,507
*# Federal-Mogul Corp. 57,900 15,343
* FEI Co. 58,700 1,464,565
* Female Health Co. 9,300 29,295
Ferro Corp. 73,800 1,889,280
FFLC Bancorp 5,400 137,322
* Fibermark, Inc. 3,000 300
*# Fiberstars, Inc. 10,900 92,966
Fidelity Bankshares, Inc. 27,022 914,424
* Fidelity Federal Bancorp 2,500 4,200
Fidelity Southern Corp. 8,800 118,800
* Filenet Corp. 69,380 1,897,543
* Financial Federal Corp. 32,500 1,015,300
* Financial Industries Corp. 12,482 142,919
* Findwhat.Com 39,600 917,136
*# Finisar Corp. 333,296 663,259
* Finish Line, Inc. Class A 34,100 1,135,530
* Finishmaster, Inc. 800 8,140
* Finlay Enterprises, Inc. 19,000 372,020
* Firebrand Financial Group, Inc. 9,100 328
First Albany Companies, Inc. 9,098 95,256
* First Aviation Services, Inc. 6,200 30,132
First Bancorp 6,210 189,405
* First Cash Financial Services, Inc. 29,000 597,400
First Charter Corp. 52,633 1,102,135
First Citizens Bancshares, Inc. 1,300 150,800
First Commonwealth Financial Corp. 104,509 1,391,015
First Community Bancorp 27,000 980,100
First Community Bancshares, Inc. 5,500 148,500
* First Consulting Group, Inc. 44,128 230,348
First Defiance Financial Corp. 6,859 171,612
First Federal Bancshares of
Arkansas, Inc. 5,800 117,160
First Federal Capital Corp. 38,084 1,033,600
First Financial Bancorp 78,048 1,329,157
First Financial Bankshares, Inc. 15,395 624,267
First Financial Corp. 2,550 74,001
First Financial Holdings, Inc. 22,600 666,700
First Franklin Corp. 300 5,550
* First Horizon Pharmaceutical Corp. 64,564 1,144,397
First Indiana Corp. 26,617 525,153
* First Investors Financial Services
Group, Inc. 5,400 29,538
First Keystone Financial, Inc. 2,000 54,000
First M&F Corp. 2,100 69,489
* First Mariner Bank Corp. 4,900 87,367
First Merchants Corp. 32,408 778,764
First Midwest Bancorp, Inc. 7,375 252,594
First Midwest Financial, Inc. 2,400 53,760
First Mutual Bancshares, Inc. 5,013 116,251
First National Bankshares of Florida 28,320 551,107
First Niagara Financial Group, Inc. 142,929 1,779,466
First Oak Brook Bancshares, Inc.
Class A 3,150 91,350
First PacTrust Bancorp, Inc. 8,200 176,710
First Place Financial Corp. 22,751 $ 374,026
First Republic Bank 27,350 1,114,786
First SecurityFed Financial, Inc. 4,400 155,540
First Sentinel Bancorp, Inc. 41,508 866,687
First State Bancorporation 12,876 408,555
First United Corp. 3,500 73,360
* First Virtual Communications, Inc. 4,150 6,557
First Years, Inc. 8,100 135,675
Firstbank Corp. 2,835 75,269
FirstBank NW Corp. 2,928 76,860
* FirstCity Financial Corp. 18,200 141,960
* FirstFed Financial Corp. 30,700 1,267,603
* Firstwave Technologies, Inc. 2,600 7,774
* Fischer Imaging Corp. 9,100 26,845
Flag Financial Corp. 6,500 81,250
Flagstar Bancorp, Inc. 103,400 2,229,304
* Flamemaster Aerospace Corp.
Restricted 4 0
Flamemaster Corp. 278 1,162
* Flanders Corp. 45,560 325,754
* Fleetwood Enterprises, Inc. 70,500 944,700
*# Fleming Companies, Inc. 15,082 72
Flexsteel Industries, Inc. 6,100 131,882
* Flir Systems, Inc. 55,800 2,745,360
* Florida Banks, Inc. 5,700 119,472
Florida East Coast Industries, Inc. 57,400 2,076,732
Florida Public Utilities Co. 3,866 73,454
Florida Rock Industries, Inc. 39,850 1,584,037
* Flow International Corp. 27,600 77,280
Flowers Foods, Inc. 79,925 1,867,847
* Flowserve Corp. 96,700 2,025,865
Flushing Financial Corp. 33,714 590,332
* FMC Corp. 59,000 2,393,630
FMS Financial Corp. 3,300 56,100
FNB Corp. 2,700 52,380
FNB Financial Services Corp. 2,625 48,562
*# Foamex International, Inc. 41,000 184,090
* FOCUS Enhancements, Inc. 3,132 4,316
* Foodarama Supermarkets, Inc. 1,100 44,275
Foothill Independent Bancorp 6,555 133,788
*# Footstar, Inc. 27,600 120,060
Forest City Enterprises, Inc. Class B 4,500 226,125
* Forest Oil Corp. 75,170 1,871,733
* Forgent Networks, Inc. 39,400 50,432
* Forrester Research, Inc. 37,384 684,875
* Forward Air Corp., Inc. 38,750 1,195,437
* Fossil, Inc. 94,218 2,238,620
* Foster (L.B.) Co. Class A 10,000 78,000
*# Foster Wheeler, Ltd. 40,600 47,908
* Fountain Powerboat Industries, Inc. 4,700 22,560
*# FPIC Insurance Group, Inc. 17,946 484,542
Frankfort First Bancorp, Inc. 850 18,156
* Frankfort Tower Industries, Inc. 14,700 73
# Franklin Bancorp, Inc. 3,489 69,431
* Franklin Covey Co. 19,300 47,285
Franklin Electric Co., Inc. 10,800 686,880
* Franklin Electronic Publishers, Inc. 7,900 33,812
Fred's, Inc. 70,450 1,480,859
* FreeMarkets, Inc. 67,900 463,078
Frequency Electronics, Inc. 8,300 116,532
Fresh Brands, Inc. 5,100 42,131
49
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* Fresh Choice, Inc. 5,900 $ 9,794
* Friede Goldman Halter, Inc. 1,083 2
Friedman Industries, Inc. 6,158 24,016
Friedmans, Inc. Class A 35,240 111,358
* Friendly Ice Cream Corp. 7,300 96,214
Frisch's Restaurants, Inc. 4,900 139,895
* Frontier Airlines, Inc. 59,961 557,637
Frontier Oil Corp. 47,800 945,006
* Frozen Food Express Industries, Inc. 27,607 189,108
FSF Financial Corp. 2,300 79,580
* FSI International, Inc. 50,700 349,323
* FTI Consulting, Inc. 76,425 1,280,119
* FuelCell Energy, Inc. 85,854 1,362,503
Fuller (H.B.) Co. 51,309 1,374,568
*# FX Energy, Inc. 19,400 162,378
G & K Services, Inc. Class A 34,200 1,345,770
* G-III Apparel Group, Ltd. 6,700 60,400
GA Financial, Inc. 5,300 185,606
Gabelli Asset Management, Inc. 11,100 465,312
* Gadzooks, Inc. 13,600 24,140
* Gaiam, Inc. 5,500 33,440
* Galaxy Nutritional Foods, Inc. 11,500 22,425
* Galey & Lord, Inc. 6,400 32
*# Galyan's Trading Co. 29,537 296,847
* GameStop Corp. 37,700 588,874
GameTech International, Inc. 11,100 50,061
* Gardenburger, Inc. 4,000 880
* Gardner Denver Machinery, Inc. 34,688 908,479
* Gartner Group, Inc. 80,500 986,125
* Gateway, Inc. 140,600 569,430
GATX Corp. 85,200 2,054,172
* Gaylord Entertainment Co. 69,463 1,997,061
GB & T Bancshares, Inc. 700 19,089
* GC Companies, Inc. 200 125
* Gehl Co. 8,900 151,211
* Genaera Corp. 23,000 82,110
* Genaissance Pharmaceuticals, Inc. 41,300 180,027
Gencorp, Inc. 80,111 910,061
* Gene Logic, Inc. 66,682 262,727
* Genecor International, Inc. 102,608 1,541,172
* Genelabs Technologies, Inc. 149,610 388,986
* General Binding Corp. 13,300 178,619
* General Cable Corp. 70,700 566,307
* General Communications, Inc.
Class A 92,600 734,318
* General DataComm Industries, Inc. 1,310 458
* General Employment Enterprises,
Inc. 3,100 4,820
* Genesco, Inc. 39,200 983,920
* Genesee & Wyoming, Inc. 33,750 771,525
* Genesee Corp. Class B 200 765
* Genesis HealthCare Corp. 31,450 814,240
* Genesis Microchip, Inc. 37,462 605,011
* Geneva Financial Corp. 2,600 1,950
* Genlyte Group, Inc. 24,500 1,439,865
*# Genta, Inc. 131,800 303,140
* Gentek, Inc. 10,900 44
* Gentiva Health Services, Inc. 13,950 221,526
*# Genus, Inc. 67,221 174,707
* GenVec, Inc. 90,669 286,514
Georgia Gulf Corp. 58,600 1,981,852
* Gerber Scientific, Inc. 38,600 $ 240,864
* Geron Corp. 73,209 539,550
Gevity HR, Inc. 35,000 917,350
* Giant Group, Ltd. 2,200 5,225
* Giant Industries, Inc. 20,800 389,376
Gibraltar Steel Corp. 18,600 538,470
* Giga-Tronics, Inc. 4,600 7,314
Glacier Bancorp, Inc. 43,660 1,153,497
* Glacier Water Services, Inc. 3,600 66,456
Glatfelter (P.H.) Co. 75,600 925,344
* Glenayre Technologies, Inc. 113,627 287,476
* Global e-Point, Inc. 3,008 11,882
* Global Imaging Systems, Inc. 39,500 1,337,470
* Global Payment Technologies, Inc. 5,500 20,185
* Global Power Equipment Group, Inc. 83,400 552,942
* Globecomm Systems, Inc. 16,500 96,690
*# Glowpoint, Inc. 49,850 108,174
* GoAmerica, Inc. 2,850 2,562
Gold Banc Corp. 63,565 1,041,195
Golden Enterprises, Inc. 11,800 34,338
* Golden State Vintners, Inc. 5,100 41,667
* Goodrich Petroleum Corp. 30,600 252,450
*# Goodyear Tire & Rubber Co. 180,900 1,573,830
Goody's Family Clothing, Inc. 43,942 524,667
*# GoRemote Internet Communications,
Inc. 64,900 129,800
Gorman-Rupp Co. 7,975 211,337
* Gottschalks, Inc. 12,700 65,786
* GP Strategies Corp. 14,560 109,200
* Gradco Systems, Inc. 230 2,254
* Graftech International, Ltd. 171,300 1,627,350
Graham Corp. 1,000 11,000
Granite Construction, Inc. 74,600 1,409,940
* Graphic Packaging Corp. 102,600 662,796
Gray Television, Inc. 74,060 1,043,505
Gray Television, Inc. Class A 6,800 87,040
Great American Financial Resources,
Inc. 18,300 279,075
* Great Atlantic & Pacific Tea Co., Inc. 69,300 480,249
Great Lakes Chemical Corp. 91,200 2,259,936
Great Southern Bancorp, Inc. 6,800 378,896
Greater Bay Bancorp 72,446 2,079,925
Greater Communications Bancorp 3,600 50,580
* Green Mountain Coffee, Inc. 12,200 245,342
Green Mountain Power Corp. 7,700 197,967
* Greenbriar Corp. 674 1,938
* Greenbrier Companies, Inc. 14,100 242,943
Greene County Bancshares, Inc. 1,900 39,805
* Greens Worldwide, Inc. 2,502 56
Grey Global Group, Inc. 200 151,000
* Grey Wolf, Inc. 335,300 1,223,845
* Griffin Land & Nurseries, Inc. Class A 2,200 55,649
* Griffon Corp. 53,280 1,240,358
* Gristede's Foods, Inc. 1,200 1,020
* Group 1 Automotive, Inc. 38,700 1,242,270
* Group 1 Software, Inc. 16,450 376,047
* Grubb & Ellis Co. 14,900 15,049
* GSI Commerce, Inc. 73,754 604,783
*# GSV, Inc. 1,800 216
* GTC Biotherapeutics, Inc. 59,964 98,341
* GTSI Corp. 14,600 174,032
50
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Guaranty Bancshares, Inc. 3,000 $ 57,375
Guaranty Federal Bancshares, Inc. 3,000 59,100
* Guess, Inc. 79,080 1,217,832
*# Guilford Pharmaceuticals, Inc. 61,047 378,491
* Guitar Center, Inc. 43,800 1,879,020
Gulf Island Fabrication, Inc. 21,537 409,203
* Gulfmark Offshore, Inc. 34,200 459,990
* Gymboree Corp. 54,900 800,991
* Ha-Lo Industries, Inc. 64,900 91
* Haemonetics Corp. 44,800 1,218,560
Haggar Corp. 6,300 127,008
* Hain Celestial Group, Inc. 59,188 1,047,628
* Halifax Corp. 1,000 4,500
* Hall Kinion Associates, Inc. 18,000 74,520
* Hammons (John Q.) Hotels, Inc.
Class A 5,200 48,880
* Hampshire Group, Ltd. 4,000 115,920
Hancock Fabrics, Inc. 32,200 374,164
Hancock Holding Co. 53,400 1,467,432
Handleman Co. 41,923 939,075
* Hanger Orthopedic Group, Inc. 36,252 598,158
Hanmi Financial Corp. 5,500 144,925
* Hanover Compressor Co. 153,900 1,611,333
Harbor Florida Bancshares, Inc. 42,898 1,204,147
Hardinge, Inc. 8,800 104,720
Harland (John H.) Co. 47,100 1,427,130
Harleysville Group, Inc. 49,967 943,877
Harleysville National Corp. 41,107 1,025,620
* Harmonic, Inc. 122,360 781,880
* Harolds Stores, Inc. 2,308 5,816
* Harris Interactive, Inc. 106,200 790,128
Harrodsburg First Financial Bancorp,
Inc. 1,100 21,422
* Hartmarx Corp. 33,600 202,608
* Harvard Bioscience, Inc. 52,700 247,690
* Harvest Natural Resources, Inc. 63,100 801,370
* Hastings Entertainment, Inc. 11,300 87,903
* Hastings Manufacturing Co. 700 1,802
* Hauppauge Digital, Inc. 8,800 55,977
Haverty Furniture Co., Inc. 15,700 275,535
Haverty Furniture Co., Inc. Class A 400 7,220
*# Hawaiian Holdings, Inc. 29,875 144,894
* Hawk Corp. 8,500 44,412
Hawkins, Inc. 10,200 122,502
* Hawthorne Financial Corp. 17,910 630,969
* Headwaters, Inc. 59,800 1,249,820
* HealthAxis, Inc. 750 1,642
Healthcare Services Group, Inc. 16,650 258,741
* HealthExtras, Inc. 66,050 1,007,262
Heartland Express, Inc. 89,936 2,178,250
Heartland Financial USA, Inc. 5,779 101,132
* Hecla Mining Co. 208,400 1,352,516
* Hector Communications Corp. 3,500 70,000
* HEI, Inc. 6,000 15,300
Heico Corp. 16,700 245,657
Heico Corp. Class A 7,465 88,236
* Heidrick & Struggles International,
Inc. 34,000 949,960
Helix Technology Corp. 46,953 933,426
Helmerich & Payne, Inc. 54,900 1,369,755
*# Hemispherx Biopharma, Inc. 73,500 255,045
Henry Jack & Associates, Inc. 18,642 $ 361,655
* Hercules, Inc. 200,800 2,124,464
* Heritage Commerce Corp. 2,800 39,732
Heritage Financial Corp. 7,500 142,125
* Herley Industries, Inc. 25,400 521,970
* Hexcel Corp. 69,400 589,900
HF Financial Corp. 3,630 53,833
*# Hi-Shear Technology Corp. 8,600 27,004
* Hi-Tech Pharmacal, Inc. 14,250 264,907
* HI/FN, Inc. 10,400 101,400
* Hibbett Sporting Goods, Inc. 40,870 1,061,803
Hickory Tech Corp. 13,900 156,097
Hilb Rogal Hamilton Co. 64,400 2,290,708
* Hines Horticulture, Inc. 22,000 95,480
Hirsch International Corp. Class A 3,300 3,432
HMN Financial, Inc. 4,400 110,572
* HMS Holdings Corp. 34,395 185,733
* Hoenig Group Escrow Shares 7,900 1,817
* Holiday RV Superstores, Inc. 930 5
Hollinger International, Inc. Class A 100,900 1,775,840
* Hollis-Eden Pharmaceuticals, Inc. 33,553 345,260
Holly Corp. 18,600 646,350
* Hollywood Entertainment Corp. 105,773 1,404,665
* Hollywood Media Corp. 44,600 145,396
* Hologic, Inc. 36,300 746,328
Home Federal Bancorp 4,300 114,595
Home Loan Financial Corp. 1,700 34,850
* Home Products International, Inc. 7,800 10,062
* HomeStore, Inc. 69,828 291,183
Hooper Holmes, Inc. 113,800 637,280
HopFed Bancorp, Inc. 2,100 36,414
Horace Mann Educators Corp. 73,638 1,246,691
Horizon Financial Corp. 18,284 336,791
* Horizon Health Corp. 9,900 227,700
* Horizon Medical Products, Inc. 19,400 36,860
* Horizon Offshore, Inc. 51,300 62,586
* Hot Topic, Inc. 86,800 1,875,748
* Houston Exploration Co. 49,997 2,362,858
* Hovnanian Enterprises, Inc. Class A 50,300 1,775,590
* Hub Group, Inc. Class A 7,000 229,040
* Hudson Highland Group, Inc. 2,130 59,107
Hudson River Bancorp, Inc. 51,564 898,761
* Hudson Technologies, Inc. 5,100 5,508
* Huffy Corp. 27,005 31,326
Hughes Supply, Inc. 36,569 1,974,726
Humboldt Bancorp 20,410 381,055
* Hurco Companies, Inc. 5,600 75,544
* Hutchinson Technology, Inc. 46,900 1,238,629
* Huttig Building Products, Inc. 5,300 43,725
* Hycor Biomedical, Inc. 8,000 42,000
* Hydril Co. 28,800 828,288
* Hypercom Corp. 91,600 615,552
* HyperFeed Technologies, Inc. 1,450 5,481
* Hyperion Solutions Corp 64,124 2,541,875
* I-Flow Corp. 35,800 484,374
* I-many, Inc. 47,900 59,875
*# I-Sector Corporation 5,900 50,740
* I-Trax Inc. 30,300 101,505
* I.C. Isaacs & Co., Inc. 7,200 7,272
Iberiabank Corp. 11,520 674,726
* Ibis Technology Corp. 18,800 144,760
51
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*# icad, Inc. 3,600 $ 12,672
* Ico, Inc. 14,320 30,502
* ICT Group, Inc. 19,274 220,495
* ICU Medical, Inc. 24,650 821,091
Idacorp, Inc. 68,700 1,786,200
* Identix, Inc. 152,412 1,104,987
Idex Corp. 42,200 2,012,940
* IDT Corp. 37,478 659,238
* IDT Corp. Class B 29,500 531,000
* IDX Systems Corp. 53,951 1,571,593
* iGate Capital Corp. 88,012 392,534
* IGI, Inc. 2,100 4,620
* Igo Escrow Share 4,100 0
IHOP Corp. 36,200 1,303,200
* II-VI, Inc. 24,370 628,259
Ikon Office Solutions, Inc. 136,960 1,509,299
* ILEX Oncology, Inc. 62,400 1,444,560
* Illumina, Inc. 55,861 354,159
ILX Resorts, Inc. 2,900 29,203
* Image Entertainment, Inc. 32,900 113,505
*# ImageWare Systems, Inc. 5,500 15,345
Imation Corp. 59,100 2,432,556
# IMC Global, Inc. 184,158 2,292,767
* IMCO Recycling, Inc. 26,200 330,120
* Immersion Corp. 39,400 169,026
*# Immtech International, Inc. 14,900 212,325
* Immucor, Inc. 36,875 1,146,075
* ImmunoGen, Inc. 69,053 553,115
* Immunomedics, Inc. 84,800 513,888
* IMPAC Medical Systems, Inc. 10,400 121,472
* Impath, Inc. 21,600 122,040
* Impax Laboratoroes, Inc. 96,544 2,138,450
* Impco Technologies, Inc. 31,600 181,068
* Imperial Sugar Co. 15,420 182,110
*# Imperial Sugar Company 14,551 0
*# Implant Sciences Corp. 12,500 173,500
* Impreso, Inc. 5,300 12,614
* Incyte Genomics, Inc. 123,730 887,144
Independence Holding Co. 2,750 90,337
Independent Bank Corp. MA 24,700 655,044
Independent Bank Corp. MI 35,204 891,717
*# Indevus Pharmaceuticals, Inc. 85,094 708,833
* Index Development Partners, Inc. 5,700 313
* Indus International, Inc. 34,900 88,995
* Industrial Distribution Group, Inc. 15,500 112,375
* INEI Corp. 1,700 2,380
* Inet Technologies, Inc. 65,957 587,677
Infinity Property & Casualty Corp. 33,460 1,043,952
* Infinity, Inc. 15,398 56,203
*# Infocrossing, Inc. 25,100 331,320
* InFocus Corp. 67,089 540,737
* Infonet Services Corp. 133,400 229,448
* Informatica Corp. 145,100 1,125,976
* Information Architects Corp. 1,080 324
* Information Holdings, Inc. 35,400 945,888
* Inforte Corp. 18,500 200,170
* InfoSpace, Inc. 53,446 1,955,055
* infoUSA, Inc. 98,962 890,658
Ingles Market, Inc. Class A 17,405 184,493
* Inkine Pharmaceutical Co., Inc. 21,400 87,954
* Innodata Corp. 36,300 139,755
* Innotrac Corp. 11,600 $ 107,300
* Innovative Clinical Solutions, Ltd. 968 6
* Innovative Solutions & Support, Inc. 12,700 253,759
* Innovex, Inc. 31,500 169,785
* Input/Output, Inc. 90,300 623,070
* Insight Communications Co., Inc. 83,175 795,153
* Insight Enterprises, Inc. 82,079 1,506,970
* Insightful Corp. 6,300 27,147
* Insignia Systems, Inc. 19,250 25,602
*# Insite Vision, Inc. 18,000 14,040
* Insituform Technologies, Inc. Class A 45,019 688,791
* Insmed, Inc. 65,218 149,936
* Inspire Pharmaceuticals, Inc. 54,180 928,103
* Instinet Group, Inc. 36,500 240,535
* Insurance Auto Auctions, Inc. 19,961 326,562
* InsWeb Corp. 1,633 7,757
Integra Bank Corp. 30,683 644,036
*# Integra Lifesciences Corp. 51,200 1,641,984
Integral Systems, Inc. 9,200 161,644
*# Integral Vision, Inc. 2,200 3,630
* IntegraMed America, Inc. 3,100 22,568
*# Integrated Bio 17,100 237,690
* Integrated Electrical Services, Inc. 64,400 579,600
* Integrated Information Systems, Inc. 820 102
* Integrated Silicon Solution, Inc. 58,400 928,560
* Integrated Telecom Express, Inc. 600 0
* Integrity Media, Inc. 1,900 12,084
* Intelli-Check, Inc. 17,300 129,577
* Intellidata Technologies Corp. 65,500 49,780
* Intelligent Systems Corp. 4,500 8,325
* Intelligroup, Inc. 29,500 116,230
*# Intellisync Corp. 101,786 257,519
Inter Parfums, Inc. 18,550 466,903
* Interactive Data Corp. 58,013 983,320
* Interactive Intelligence, Inc. 26,100 147,465
* InterCept Group, Inc. 36,500 543,485
Interchange Financial Services Corp. 12,600 289,170
* Interdigital Communications Corp. 100,000 1,696,000
* Interep National Radio Sales, Inc. 4,600 8,970
* Interface, Inc. Class A 78,157 547,099
* Interferon Scientific, Inc. 2,435 101
* Intergraph Corp. 73,300 1,842,762
* Interland, Inc. 31,610 91,985
* Interlink Electronics, Inc. 9,700 97,485
* Intermagnetics General Corp. 28,395 836,801
Intermet Corp. 43,500 178,785
* InterMune, Inc. 54,200 770,182
International Aluminum Corp. 2,100 62,223
* International Microcomputer
Software, Inc. 5,100 6,630
* International Multifoods Corp. 32,800 818,688
* International Shipholding Corp. 6,100 86,650
*# Internet Commerce Corp. 4,000 5,560
* Internet Security Systems, Inc. 84,700 1,339,954
*# Interpharm Holdings, Inc. 31,700 102,074
* Interphase Corp. 5,400 51,295
Interpool, Inc. 38,000 641,250
* Interpore International, Inc. 30,400 438,672
Interstate Bakeries Corp. 77,200 810,600
* Interstate Hotels & Resorts, Inc. 49,540 265,039
Inter-Tel, Inc. 42,800 1,056,304
52
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* Intervoice, Inc. 59,818 $ 838,050
* Interwoven, Inc. 68,607 632,557
* Intest Corp. 8,600 49,450
* Intevac, Inc. 12,000 108,000
* IntraBiotics Pharmaceuticals, Inc. 8,500 120,955
* Intrado, Inc. 28,900 480,318
* Intraware, Inc. 14,200 28,258
* Introgen Therapeutics, Inc. 45,075 296,548
*# Intrusion, Inc. 4,050 8,015
* Intuitive Surgical, Inc. 56,123 928,274
Invacare Corp. 48,600 2,015,442
* Inveresk Resh 63,807 1,919,315
* Inverness Medical Innovations, inc. 7,461 144,669
* Investment Technology Group, Inc. 76,000 1,037,400
* INVESTools, Inc. 4,283 8,780
Investors Title Co. 1,400 38,717
* Invision Technologies, Inc. 27,200 1,355,920
* Iomed, Inc. 10,500 30,765
Iomega Corp. 87,595 423,960
* Ion Networks, Inc. 4,200 336
*# Ionatron, Inc. 17,500 103,075
* Ionics, Inc. 38,400 969,984
*# IPIX Corp. 4,350 36,496
* Iridex Corp. 6,800 47,260
*# IRIS International, Inc. 24,100 202,151
Irwin Financial Corp. 50,400 1,282,680
Isco, Inc. 5,635 89,760
* Isis Pharmaceuticals, Inc. 94,400 609,824
*# Island Pacific, Inc. 73,700 58,223
* Isle of Capri Casinos, Inc. 53,200 1,031,016
* Isolagen Inc. 44,700 394,254
* Iteris Holdings, Inc. 300 810
* ITLA Capital Corp. 5,800 232,580
* Itron, Inc. 34,900 720,336
* ITXC Corp. 45,200 106,672
* iVillage, Inc. 63,600 438,204
* Ixia 102,300 958,551
* IXYS Corp. 55,824 521,954
* J & J Snack Foods Corp. 15,100 600,376
* J Net Enterprises, Inc. 8,400 12,600
* J. Alexander's Corp. 9,200 65,780
* J. Jill Group, Inc. 33,800 690,534
* j2 Global Communication, Inc. 39,332 974,254
* Jack in the Box, Inc. 61,800 1,728,546
* Jaclyn, Inc. 1,300 6,604
* Jaco Electronics, Inc. 5,659 28,190
* Jacuzzi Brands, Inc. 127,678 1,090,370
* Jakks Pacific, Inc. 42,623 757,837
* Jarden Corp. 45,450 1,590,750
* JDA Software Group, Inc. 48,712 616,207
* Jennifer Convertibles, Inc. 1,300 4,108
JLG Industries, Inc. 73,800 931,356
* JMAR Industries, Inc. 23,700 52,614
* Jo-Ann Stores, Inc. 37,075 1,061,457
* Johnson Outdoors, Inc. 6,700 127,769
* Jones Lang LaSalle, Inc. 53,600 1,351,792
* Jos. A. Bank Clothiers, Inc. 17,700 576,843
* Journal Register Co. 71,200 1,381,280
Joy Global, Inc. 85,500 2,351,250
* JPS Industries, Inc. 9,200 22,825
* Juno Lighting, Inc. 980 33,065
* Jupitermedia Corp. 43,780 $ 450,934
K Swiss, Inc. Class A 45,200 904,000
* K-Tron International, Inc. 2,400 51,216
* K-V Pharmaceutical Co. Class A 55,450 1,413,975
* K-V Pharmaceutical Co. Class B 20,975 572,617
* K2, Inc. 60,663 892,959
* Kadant, Inc. 23,420 473,787
* Kaiser Aluminum Corp. 14,500 507
Kaman Corp. Class A 38,300 451,174
* Kansas City Southern Industries, Inc. 105,600 1,372,800
* Katy Industries, Inc. 8,300 48,555
Kaydon Corp. 47,900 1,285,157
* KBK Capital Corp. 2,200 2,475
* KCS Energy, Inc. 82,900 1,037,079
*# Keane, Inc. 107,864 1,547,848
* Keith Companies, Inc. 11,400 159,828
Keithley Instruments, Inc. 23,200 501,352
Kellwood Co. 45,476 1,850,873
Kelly Services, Inc. 53,005 1,470,359
* Kemet Corp. 146,923 1,785,114
* Kendle International, Inc. 22,203 166,522
Kennametal, Inc. 35,200 1,499,520
* Kennedy-Wilson, Inc. 8,800 59,840
* Kensey Nash Corp. 19,300 616,442
*# Keravision, Inc. 4,300 13
Kewaunee Scientific Corp. 2,000 21,530
* Key Energy Group, Inc. 221,900 2,147,992
* Key Technology, Inc. 4,700 61,570
* Key Tronic Corp. 8,600 30,788
* Keynote Systems, Inc. 18,600 242,730
* Keystone Automotive Industries, Inc. 25,858 711,095
* Keystone Consolidated Industries, Inc. 2,100 283
* Kforce, Inc. 52,200 478,152
* KFX, Inc. 92,500 818,625
Kimball International, Inc. Class B 41,100 568,824
* Kindred Healthcare, Inc. 61,878 1,537,050
* Kirby Corp. 41,200 1,458,480
* Kirklands, Inc. 17,200 202,100
Knape & Vogt Manufacturing Co. 2,290 29,816
* Knight Trading Group, Inc. 50,956 583,956
* Knight Transportation, Inc. 63,625 1,551,177
* Koala Corp. 6,500 2,535
* Komag Inc. 46,609 675,830
* Kontron Mobile Computing, Inc. 8,900 3,471
* Kopin Corp. 119,087 645,452
* Korn/Ferry International 64,400 894,516
* Kos Pharmaceuticals, Inc. 52,000 1,730,040
* Kosan Biosciences, Inc. 48,424 525,885
Koss Corp. 3,600 75,456
* Krispy Kreme Doughnuts, Inc. 25,000 536,750
* Kroll, Inc. 66,560 2,432,102
Kronos Worldwide, Inc. 34,941 1,083,171
* Kronos, Inc. 52,500 2,177,700
* Kulicke & Soffa Industries, Inc. 85,734 983,369
* KVH Industries, Inc. 23,828 321,440
* Kyphon, Inc. 67,900 1,662,871
* La Jolla Pharmceutical Co. 109,100 294,570
La-Z-Boy, Inc. 89,400 1,649,430
* LaBarge, Inc. 26,800 203,680
* LabOne, Inc. 28,994 902,003
* Labor Ready, Inc. 70,000 851,900
53
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# Labranche & Co., Inc. 101,700 $ 911,232
Laclede Group, Inc. 32,600 888,024
* LaCrosse Footwear, Inc. 5,800 45,588
Ladish Co., Inc. 19,500 169,650
Lakeland Bancorp, Inc. 13,119 206,624
* Lakeland Industries, Inc. 2,420 52,635
* Lakes Entertainment, Inc. 21,950 271,302
* Lamson & Sessions Co. 23,400 176,670
Lance, Inc. 62,400 951,600
* Lancer Corp. 9,325 59,680
Landamerica Financial Group, Inc. 31,700 1,264,513
Landauer, Inc. 14,200 582,342
* Landec Corp. 36,190 256,587
Landry's Restaurants, Inc. 47,100 1,413,000
* Landstar Systems, Inc. 48,600 2,362,932
* Lannet Co., Inc. 33,430 566,639
* Lantronix, Inc. 15,000 18,750
*# Large Scale Biology Corp. 42,800 65,912
* Larscom, Inc. 1,157 5,785
* Laserscope 34,750 996,283
* Lattice Semiconductor Corp. 188,666 1,473,481
* Laureate Education, Inc. 69,700 2,559,384
Lawson Products, Inc. 9,600 337,440
* Lawson Software, Inc. 167,308 1,199,598
* Layne Christensen Co. 11,600 195,576
* Lazare Kaplan International, Inc. 8,700 76,560
* LCA-Vision, Inc. 22,650 543,600
* LCC International, Inc. Class A 30,900 127,926
* Learning Tree International, Inc. 29,100 417,585
* Lecroy Corp. 10,100 186,143
* Lectec Corp. 3,900 3,120
Leesport Financial Corp. 525 12,416
Lennox International, Inc. 100,005 1,648,082
* Lesco, Inc. 18,300 236,619
* Level 8 Systems, Inc. 3,729 1,007
* Levitt Corp. Series A 2,821 67,789
* Lexar Media, Inc. 129,897 1,228,826
* Lexicon Genetics, Inc. 107,600 754,276
Libbey, Inc. 23,200 591,832
* Liberate Technologies, Inc. 106,300 279,038
Liberty Corp. 30,900 1,438,395
Liberty Homes, Inc. Class A 200 910
* Lifecell Corp. 44,600 455,812
* Lifecore Biomedical, Inc. 21,900 153,300
* Lifeline Systems, Inc. 8,200 169,166
Lifetime Hoan Corp. 18,462 377,714
*# Ligand Pharmaceuticals, Inc. Class B 119,977 2,452,330
* Lightbridge, Inc. 45,021 237,261
* Lightning Rod Software, Inc. 580 641
* LightPath Technologies, Inc. 1,850 7,863
* Lin TV Corp. 44,600 1,012,420
Lincoln Electric Holdings 69,262 2,147,122
Lindsay Manufacturer Co. 20,000 458,000
* Linens `n Things, Inc. 71,600 2,174,492
* Lionbridge Technologies, Inc. 31,197 244,273
*# Lipid Sciences, Inc. 41,758 177,472
*# Liquidmetal Technologies, Inc. 68,495 85,619
Lithia Motors, Inc. Class A 24,810 593,455
* Littlefuse, Inc. 37,500 1,483,500
* LMI Aerospace, Inc. 7,900 9,875
LNB Bancorp, Inc. 1,200 23,340
LNR Property Corp. 33,600 $ 1,688,400
* Local Financial Corp. 9,500 207,005
* Lodgenet Entertainment Corp. 22,200 438,894
* Lodgian, Inc. 51 755
* Log On America, Inc. 600 4
* Logic Devices, Inc. 6,700 10,720
* LogicVision, Inc. 28,200 84,290
* Logility, Inc. 13,200 58,740
* Lojack Corp. 25,700 205,600
Lone Star Steakhouse & Saloon, Inc. 35,800 909,320
* Lone Star Technologies, Inc. 48,400 973,808
Longs Drug Stores Corp. 63,700 1,364,454
Longview Fibre Co. 86,800 1,107,568
* LookSmart, Ltd. 177,867 416,209
* LOUD Technologies, Inc. 12,400 30,752
Louisiana-Pacific Corp. 37,200 859,320
Lowrance Electronics, Inc. 5,792 196,401
LSB Bancshares, Inc. NC 5,156 78,577
LSB Corp. 4,300 66,650
LSI Industries, Inc. 33,527 385,561
* LTX Corp. 103,500 1,102,275
* Luby's, Inc. 39,700 219,144
Lufkin Industries, Inc. 6,400 193,600
* Luminex Corp. 51,955 517,991
* Lydall, Inc. 26,900 237,527
* Lynch Corp. 1,500 21,000
* Lynch Interactive Corp. 2,800 100,772
* M & F Worldwide Corp. 30,400 395,200
* M-Wave, Inc. 2,900 4,640
M/I Schottenstein Homes, Inc. 23,000 976,810
MacDermid, Inc. 51,500 1,604,740
*# Mace Security International, Inc. 11,200 62,832
* Mac-Gray Corp. 12,600 80,766
* Macromedia, Inc. 117,485 3,054,610
* Macrovision Corp. 83,800 1,951,702
* Madden (Steven), Ltd. 22,700 438,337
MAF Bancorp, Inc. 44,927 1,979,034
* Magic Lantern Group, Inc. 1,700 1,539
* Magma Design Automation, Inc. 56,783 1,084,555
*# Magna Entertainment Corp. 21,200 110,664
* Magnetek, Inc. 55,900 436,579
* Magnum Hunter Resources, Inc. 117,102 1,179,217
* MAI Systems Corp. 3,400 850
* MAII Holdings, Inc. 3,400 34
* Main Street & Main, Inc. 25,200 51,660
Main Street Banks, Inc. 32,000 846,720
Maine & Maritimes Corp. 1,600 48,880
* MAIR Holdings, Inc. 33,716 269,728
* Major Automotive Companies, Inc. 3,280 2,066
* Management Network Group, Inc. 47,100 110,685
* Manatron, Inc. 1,102 8,948
* Manchester Technologies, Inc. 8,000 30,232
* Manhattan Associates, Inc. 51,300 1,462,050
Manitowoc Co., Inc. 45,150 1,433,513
# Mannatech, Inc. 13,500 137,160
*# Manning (Greg) Auctions, Inc. 9,200 122,084
* Manugistic Group, Inc. 128,100 570,045
* Mapics, Inc. 47,156 469,202
* Mapinfo Corp. 33,400 334,000
* Marimba, Inc. 44,800 366,464
Marine Products Corp. 25,530 467,199
54
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* MarineMax, Inc. 29,375 $ 782,844
* Marisa Christina, Inc. 6,700 8,710
Maritrans, Inc. 7,800 114,270
* MarketWatch.com, Inc. 41,820 475,912
MarkWest Hydrocarbon, Inc. 9,350 100,045
* Marlton Technologies, Inc. 7,800 4,602
Marsh Supermarkets, Inc. Class A 1,600 21,832
Marsh Supermarkets, Inc. Class B 4,500 62,190
* Marten Transport, Ltd. 9,450 164,052
*# Martha Stewart Living
Omnimedia, Ltd. 32,100 293,715
MASSBANK Corp. 4,700 156,416
Massey Energy Co. 110,600 2,722,972
* Mastec, Inc. 81,450 347,792
* Material Sciences Corp. 24,200 250,470
* Matria Healthcare, Inc. 17,369 379,513
* Matritech, Inc. 30,500 35,685
* Matrix Bancorp, Inc. 6,500 77,350
* Matrix Service Co. 29,100 310,788
* MatrixOne, Inc. 83,200 568,256
*# Matrixx Initiatives, Inc. 15,200 130,872
Matthews International Corp. Class A 54,700 1,728,520
* Mattson Technology, Inc. 84,645 902,316
* Maui Land & Pineapple Company,
Inc. 10,200 334,254
* Maverick Tube Corp. 71,400 1,642,200
* Max & Ermas Restaurants, Inc. 2,300 38,525
* Maxco, Inc. 3,100 10,230
Maxcor Financial Group, Inc. 11,672 130,376
* Maxicare Health Plans, Inc. 980 118
*# Maxim Pharmaceuticals, Inc. 47,233 420,846
* Maximus, Inc. 37,200 1,336,968
* Maxwell Shoe Company, Inc. 23,700 529,221
* Maxwell Technologies, Inc. 24,360 387,080
* Maxxam, Inc. 8,900 224,725
* Maxygen, Inc. 58,537 587,711
* Mayor's Jewelers, Inc. 20,300 11,774
* Mays (J.W.), Inc. 200 2,762
MB Financial, Inc. 45,500 1,532,895
MBT Financial Corp. 11,069 193,708
* McDATA Corp. 130,554 620,132
MCG Capital Corp. 64,442 998,207
McGrath Rent Corp. 20,569 640,724
*# McMoran Exploration Co. 28,164 403,308
McRae Industries, Inc. Class A 2,600 25,870
* Meade Instruments Corp. 33,400 106,880
* Meadow Valley Corp. 2,400 5,220
* Meadowbrook Insurance Group, Inc. 29,800 151,086
* Measurement Specialties, Inc. 12,900 256,452
* Mechanical Technology, Inc. 4,700 24,205
* Medarex, Inc. 134,470 1,125,514
* MedCath Corp. 27,449 554,470
*# Med-Design Corp. 28,300 59,147
* Media 100, Inc. 7,100 160
Media General, Inc. Class A 3,100 213,342
* Media Services Group, Inc. 471 3,989
* MediaBay, Inc. 11,800 6,018
* Mediacom Communications Corp. 154,100 1,248,210
*# Medialink Worldwide, Inc. 5,900 21,240
* Medical Action Industries, Inc. 16,900 297,609
* Medical Staffing Network Holdings,
Inc. 51,200 $ 337,408
* Medicore, Inc. 3,800 12,426
* Medifast, Inc. 17,000 125,630
* Medquist, Inc. 64,700 797,751
* MedSource Technologies, Inc. 46,500 323,640
* MEDTOX Scientific, Inc. 5,030 51,306
* Memberworks, Inc. 17,500 500,850
* Mens Warehouse, Inc. 63,100 1,646,279
# Mentor Corp. 73,900 2,368,495
* Mentor Graphics Corp. 118,800 1,899,612
Mercantile Bank Corp. 1,260 41,051
Merchants Bancshares, Inc. 6,150 156,887
Merchants Group, Inc. 1,300 33,800
* Mercury Air Group, Inc. 4,950 29,700
* Mercury Computer Systems, Inc. 36,000 807,480
* Merge Technologies, Inc. 21,494 354,436
Meridian Bioscience, Inc. 25,236 255,666
* Meridian Resource Corp. 106,300 784,494
* Merit Medical Systems, Inc. 44,382 643,983
* Meritage Corp. 22,500 1,534,275
* Merix Corp. 32,013 342,539
* Merrimac Industries, Inc. 2,860 26,455
* Mesa Air Group, Inc. 53,935 413,681
Mesa Labs, Inc. 3,300 32,736
* Mestek, Inc. 5,400 85,104
* Meta Group, Inc. 12,700 58,420
* Metals USA, Inc. 27,600 411,240
* MetaSolv, Inc. 66,600 187,812
Methode Electronics, Inc. Class A 34,100 375,782
Met-Pro Corp. 8,100 120,690
* Metris Companies, Inc. 98,500 743,675
* Metro One Telecommunications, Inc. 39,650 66,216
MetroCorp. Bancshares, Inc. 7,000 105,350
* Metrologic Instruments, Inc. 36,100 535,002
* Metromedia International Group, Inc. 10,600 3,710
MFB Corp. 1,300 44,701
* MFRI, Inc. 4,900 14,627
MGE Energy, Inc. 30,992 940,297
# MGP Ingredients, Inc. 8,000 285,200
* Michael Anthony Jewelers, Inc. 7,400 10,545
* Micrel, Inc. 157,673 2,328,830
* Micro Component Technology, Inc. 14,052 19,251
* Micro Linear Corp. 12,000 72,360
* MicroFinancial, Inc. 15,200 44,080
* Micromuse, Inc. 117,493 695,559
* Micros Systems, Inc. 30,752 1,335,559
* Microsemi Corp. 100,500 1,230,120
* MicroStrategy, Inc. 10,200 489,702
* Microtek Medical Holdings, Inc. 72,910 328,897
* Micro-Therapeutics, Inc. 51,763 225,687
* Microtune, Inc. 63,300 216,486
*# Microvision, Inc. 36,446 310,884
* Midas, Inc. 26,000 497,900
Middleby Corp. 15,700 960,369
Middlesex Water Co. 8,400 165,144
Midland Co. 6,600 172,392
Mid-State Bancshares 40,096 899,754
*# Midway Games, Inc. 115,900 1,256,356
Midwest Banc Holdings, Inc. 30,050 687,845
* Midwest Express Holdings, Inc. 29,600 116,920
55
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* Mikohn Gaming Corp. 37,300 $ 183,143
* Milacron, Inc. 74,300 332,864
*# Milestone Scientific, Inc. 14,000 26,600
* Millennium Cell, Inc. 59,500 130,900
Millennium Chemicals, Inc. 101,800 1,728,564
* Miller Industries, Inc. 9,280 84,541
* Millerbuilding Systems Escrow
Shares 3,200 960
* Miltope Group, Inc. Contigent
Value Right 5,800 0
* MIM Corp. 38,000 297,920
* Mindspeed Technologies, Inc. 46,300 239,371
Mine Safety Appliances Co. 62,800 1,875,836
Minerals Technologies, Inc. 34,800 2,001,000
* Minorplanet Systems USA, Inc. 892 437
Minuteman International, Inc. 1,000 13,000
* MIPS Technologies, Inc. 66,200 459,428
*# Miravant Medical Technologies 1,800 5,274
* Misonix, Inc. 10,600 89,252
* Mission Resources Corp. 55,800 300,204
* Mitcham Industries, Inc. 8,700 36,540
* Mitek Systems, Inc. 11,100 6,938
* Mity Enterprises, Inc. 5,000 91,250
* MKS Instruments, Inc. 90,707 2,118,916
* Mobile Mini, Inc. 23,709 505,476
* Mobility Electronics, Inc. 47,000 389,160
* Mobius Management Systems, Inc. 17,100 102,600
Mocon, Inc. 5,500 42,680
* Modem Media, Inc. 9,500 53,295
Modine Manufacturing Co. 56,595 1,706,339
* Mod-Pac Corp. 2,750 23,128
* Mod-Pac Corp. Class B 1,112 9,352
* Modtech Holdings, Inc. 22,452 157,164
* Moldflow Corp. 17,886 199,608
* Molecular Devices Corp. 34,540 588,907
Monaco Coach Corp. 49,850 1,248,244
* Monarch Casino and Resort, Inc. 8,000 113,040
* Mondavi (Robert) Corp. Class A 16,300 567,566
* Monolithic System Technology, Inc. 49,133 342,948
* Monro Muffler Brake, Inc. 12,300 304,794
* Monterey Pasta Co. 24,200 87,120
* Mony Group, Inc. 6,100 190,564
* Moog, Inc. Class A 19,200 597,120
* Moog, Inc. Class B 3,300 118,388
* Morgan Group Holding Co. 4,400 330
* Morgan's Foods, Inc. 900 1,715
* Mossimo, Inc. 16,600 62,250
* Mother's Work, Inc. 8,854 195,319
* Motor Car Parts & Accessories, Inc. 2,500 21,250
Movado Group, Inc. 14,500 445,150
Movie Gallery, Inc. 56,000 1,041,040
* MPS Group, Inc. 185,800 2,058,664
* MPW Industrial Services Group 5,000 11,750
* MRO Software, Inc. 42,100 601,609
* MRV Communications, Inc. 178,900 475,874
* MSC Software Corp. 51,700 462,198
* MTC Technologies, Inc. 14,800 392,940
*# MTI Technology Corp. 1,300 3,848
* MTM Technologies, Inc. 4,900 8,183
* MTR Gaming Group, Inc. 48,468 451,237
MTS Systems Corp. 35,940 799,306
Mueller Industries, Inc. 58,145 $ 1,901,342
* Multi Color Corp. 2,250 35,145
*# Multimedia Games, Inc. 48,750 1,100,288
MutualFirst Financial, Inc. 2,000 44,265
Myers Industries, Inc. 50,063 676,351
* Mykrolis Corp. 69,900 1,132,380
* Myriad Genetics, Inc. 46,100 764,799
Mystic Financial, Inc. 1,575 45,069
* Nabi Biopharmaceuticals 97,150 1,632,120
Nacco Industries, Inc. Class A 6,500 576,810
*# Nanogen, Inc. 52,800 359,568
* Nanometrics, Inc. 20,394 260,839
*# Nanophase Technologies Corp. 29,498 212,091
*# Napco Security Systems, Inc. 4,300 37,840
Nara Bancorp, Inc. 19,500 600,210
Nash-Finch Co. 20,200 379,760
* Nashua Corp. 5,800 53,534
* Nassda Corp. 44,875 236,491
*# Nastech Pharmaceutical Co., Inc. 20,300 242,179
* NATCO Group, Inc. Class A 16,800 128,352
* Nathans Famous, Inc. 7,000 42,623
National Beverage Corp. 36,200 342,814
* National Dentex Corp. 3,500 106,418
* National Home Health Care Corp. 5,465 55,197
*# National Medical Health Card
Systems, Inc. 12,600 453,726
National Penn Bancshares, Inc. 40,784 1,169,277
National Presto Industries, Inc. 6,800 267,920
* National Processing, Inc. 116,000 3,336,160
* National Research Corp. 7,000 117,600
* National RV Holdings, Inc. 17,300 205,870
* National Steel Corp. Class B 200 1
* National Technical Systems, Inc. 8,600 42,733
* National Western Life Insurance Co.
Class A 1,000 146,150
* Natrol, Inc. 10,000 27,500
* Natural Alternatives International, Inc. 5,400 59,238
Nature's Sunshine Products, Inc. 24,550 365,795
* Natus Medical, Inc. 14,600 74,898
Nautilus Group, Inc. 55,400 834,878
* Navarre Corp. 43,600 536,280
* Navidec, Inc. 644 1,117
* Navigant Consulting, Inc. 77,200 1,578,740
*# Navigant International, Inc. 26,700 464,046
* Navigators Group, Inc. 21,371 617,622
NBT Bancorp 55,077 1,196,823
* NCI Building Systems, Inc. 33,100 962,217
* NCO Group, Inc. 45,884 1,137,477
# NDChealth Corp. 60,800 1,357,664
* NeighborCare, Inc. 73,800 2,214,000
* Nektar Therapeutics 89,769 1,929,136
Nelson (Thomas), Inc. 22,300 522,266
* Neoforma, Inc. 33,814 384,465
* Neogen Corp. 7,625 122,000
* NeoMagic Corp. 53,900 220,990
* NEON Systems, Inc. 8,600 30,186
* Neopharm, Inc. 39,417 433,587
* Neose Technologies, Inc. 33,900 283,743
* Neoware Systems, Inc. 23,800 205,632
* NES Rentals Holdings, Inc. 36 293
Net Perceptions, Inc. 22,600 20,340
56
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* Net2Phone, Inc. 74,200 $ 317,205
NetBank, Inc. 57,533 616,754
* Netegrity, Inc. 63,700 600,054
*# Netflix, Inc. 74,400 2,456,688
* Netguru, Inc. 17,200 25,972
* NetIQ Corp. 91,787 1,216,178
* NetManage, Inc. 10,442 68,395
* Netopia, Inc. 38,800 225,040
* NetRatings, Inc. 57,363 802,508
* Netscout System, Inc. 51,600 355,524
* NetSolve, Inc. 12,100 120,419
* Network Engines, Inc. 61,400 195,252
* Network Equipment Technologies,
Inc. 40,800 300,288
*# Network Plus Corp. 14,500 25
* Neurobiological Technologies, Inc. 2,700 10,800
* Neurogen Corp. 74,113 697,403
Nevada Chemicals, Inc. 2,500 13,300
* Nevada Gold & Casinos, Inc. 20,350 299,145
* New Brunswick Scientific Co., Inc. 7,660 46,573
* New Century Equity Holdings Corp. 21,200 4,770
New Century Financial Corp. 51,150 2,230,652
New England Business Services, Inc. 22,600 991,462
New Hampshire Thrift BancShares,
Inc. 200 5,960
* New Horizons Worldwide, Inc. 10,200 59,578
New Jersey Resources Corp. 46,600 1,829,982
Newmil Bancorp, Inc. 4,400 119,900
* Newpark Resources, Inc. 142,500 805,125
* Newport Corp. 65,418 950,524
* Newtek Business Services, Inc. 45,088 216,873
* Niagara Corp. 8,200 33,087
* NIC, Inc. 117,100 646,392
Nitches, Inc. 864 5,581
NL Industries, Inc. 78,876 985,950
* NMS Communications Corp. 62,000 533,200
* NMT Medical, Inc. 11,500 43,758
NN, Inc. 15,250 181,018
* Nobel Learning Communities, Inc. 6,500 42,738
Nobility Homes, Inc. 4,100 85,075
Noble International, Ltd. 14,360 414,286
* Noel Group, Inc. 8,000 24
# Noland Co. 200 8,556
Nordson Corp. 59,277 2,242,449
* Norstan, Inc. 22,400 72,128
* North America Galvanizing &
Coatings, Inc. 6,700 13,400
* North American Scientific, Inc. 17,600 157,520
North Central Bancshares, Inc. 1,700 64,294
North Pittsburgh Systems, Inc. 25,066 483,774
Northeast Bancorp 900 17,429
Northeast Pennsylvania Financial
Corp. 4,400 77,110
Northern Technologies International
Corp. 3,000 14,160
*# Northfield Laboratories, Inc. 32,300 424,745
* Northland Cranberries, Inc. 4,400 2,904
Northrim BanCorp, Inc. 6,068 121,368
*# Northwest Airlines Corp. 147,700 1,493,247
Northwest Bancorp, Inc. 79,904 1,777,065
# Northwest Natural Gas Co. 44,200 1,286,662
* Northwest Pipe Co. 6,300 $ 92,610
* Novamed Eyecare, Inc. 36,300 131,769
* Novavax, Inc. 59,000 277,300
* Noven Pharmaceuticals, Inc. 39,408 755,845
* Novoste Corp. 27,800 83,400
*# NPS Pharmaceuticals, Inc. 62,900 1,365,559
* NS Group, Inc. 35,500 472,150
* NTN Communications, Inc. 89,193 267,579
* Nu Horizons Electronics Corp. 28,400 230,892
*# Nucentrix Broadband Networks, Inc. 10,400 23,140
* NuCo2, Inc. 16,000 313,120
NUI Corp. 29,892 406,232
* Numerex Corp. Class A 10,800 49,680
NuSkin Enterprises, Inc. 101,400 2,271,360
* Nutraceutical International Corp. 18,976 465,102
* Nutramax Products, Inc. 3,300 3
* Nutrition 21, Inc. 4,900 3,185
* Nuvelo, Inc. 40,322 350,801
NWH, Inc. 4,200 78,813
* NYFIX, Inc. 50,081 252,408
Nymagic, Inc. 8,700 223,590
* O'Charleys, Inc. 38,050 692,891
* O.I. Corp. 2,700 22,707
Oak Hill Financial, Inc. 3,000 95,550
Oakley, Inc. 115,700 1,552,694
* Obie Media Corp. 5,900 20,827
* Oceaneering International, Inc. 42,200 1,333,942
OceanFirst Financial Corp. 22,032 491,314
* Ocular Sciences, Inc. 41,600 1,389,856
* Ocwen Financial Corp. 115,234 1,433,511
* Odd Job Stores, Inc. 12,700 20,511
* Odetics, Inc. Series B 200 750
* Odyssey Healthcare, Inc. 61,500 1,042,425
* Offshore Logistics, Inc. 38,400 882,048
*# Oglebay Norton Co. 2,500 350
* Ohio Casualty Corp. 103,700 1,944,375
* Oil States International, Inc. 83,831 1,190,400
Oil-Dri Corp. of America 4,200 67,494
* Old Dominion Freight Lines, Inc. 40,950 1,137,182
Olin Corp. 117,452 1,932,085
* Olympic Steel, Inc. 9,600 136,320
* OM Group, Inc. 48,200 1,286,458
Omega Financial Corp. 8,200 270,436
* Omega Protein Corp. 39,200 423,360
* OMNI Energy Services Corp. 18,900 94,500
* Omnicell, Inc. 41,500 554,025
* OmniVision Technologies, Inc. 75,500 1,768,210
* Omnova Solutions, Inc. 13,900 71,724
* Omtool, Ltd. 3,570 37,485
* On Assignment, Inc. 42,800 251,236
*# ON Semiconductor Corp. 397,951 2,304,136
* On2.cCom, Inc. 75,000 55,500
* One Price Clothing Stores, Inc. 2,957 59
*# Oneida, Ltd. 28,900 35,836
* OneSource Information Services, Inc. 11,900 104,958
* Online Resources Corp. 30,000 221,400
* Onyx Acceptance Corp. 5,100 77,265
* Onyx Pharmacueticals, Inc. 54,800 2,573,956
* ONYX Software Corp. 23,800 91,630
* OPENT Technologies, Inc. 33,900 472,227
* OpenTV Corp. 39,946 101,063
57
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* Openwave Systems Inc. 106,599 $ 1,190,711
* Opinion Research Corp. 6,700 46,498
* Oplink Communications, Inc. 53,100 106,731
* Opsware, Inc. 80,250 647,618
* Opti, Inc. 11,600 17,980
* Optical Cable Corp. 8,700 46,797
* Optical Communication Products,
Inc. 74,050 167,353
* Optical Sensors, Inc. 1,633 6,777
* Optika, Inc. 8,200 29,766
Option Care, Inc. 35,800 482,226
* OraSure Technologies, Inc. 75,500 557,945
* Orbit International Corp. 1,582 11,202
* Orbital Sciences Corp. 82,800 1,039,140
*# Orchid Biosciences, Inc. 9,381 68,012
* Oregon Steel Mills, Inc. 45,000 507,150
* Orleans Homebuilders, Inc. 28,600 523,380
* Orphan Medical, Inc. 10,300 92,288
*# Orthodontic Centers of America, Inc. 85,151 728,041
* Orthologic Corp. 58,713 471,465
*# Oscient Pharmaceutical Corp. 128,400 602,196
Oshkosh B'Gosh, Inc. Class A 17,000 383,690
*# OSI Systems, Inc. 24,800 553,784
* Osteotech, Inc. 29,100 181,584
Otter Tail Co. 43,800 1,119,528
Outlook Group Corp. 2,400 14,760
* Overland Storage, Inc. 23,075 330,434
Overseas Shipholding Group, Inc. 59,725 2,277,912
*# Overstock Com 28,400 1,022,116
Owens & Minor, Inc. 66,700 1,614,140
Oxford Industries, Inc. 27,500 1,013,375
* Oxigene, Inc. 12,600 92,862
* Oxis International, Inc. 7,900 5,293
* OYO Geospace Corp. 5,100 89,194
* P&F Industries, Inc. Class A 1,300 10,173
* P.F. Chang's China Bistro, Inc. 43,300 1,959,758
Pacific Capital Bancorp 57,833 2,131,146
* Pacific Mercantile Bancorp 5,900 64,310
* Pacific Premier Bancorp, Inc. 3,900 44,889
Packaging Dynamics Corp. 4,120 55,002
* Packeteer, Inc. 55,800 797,382
* Pac-West Telecomm, Inc. 23,100 27,258
* Pain Therapeutics, Inc. 60,115 470,099
* Palatin Technologies, Inc. 62 233
* Paligent, Inc. 347 73
* Palm Harbor Homes, Inc. 38,811 735,080
*# Palmone Inc. 78,284 1,661,969
* Palmsource Inc. 21,681 439,040
* PAM Transportation Services, Inc. 19,250 356,125
Pamrapo Bancorp, Inc. 5,100 126,888
* Panavision, Inc. 3,600 23,310
*# Panera Bread Co. 44,900 1,558,928
* Pantry, Inc. 33,700 611,655
*# Papa John's International, Inc. 30,000 872,700
* Par Technology Corp. 7,800 81,120
* Paradyne Networks Corp. 97,955 463,327
* Paragon Technologies, Inc. 4,200 42,000
* Parallel Petroleum Corp. 42,900 169,412
* Parametric Technology Corp. 447,395 2,169,866
* Parexel International Corp. 44,400 878,676
Park Bancorp, Inc. 1,200 36,864
Park Electrochemical Corp. 33,650 $ 839,904
* Parker Drilling Co. 160,200 514,242
*# Parkervision, Inc. 19,300 106,922
* Park-Ohio Holdings Corp. 10,400 125,840
Parkvale Financial Corp. 5,700 151,506
* Parlex Corp. 13,800 83,766
* Parlux Fragrances, Inc. 9,900 90,486
* Party City Corp. 29,522 433,678
* Pathmark Stores, Inc. 49,179 331,958
* Patient Infosystems, Inc. 733 2,566
Patina Oil & Gas Corp. 64,930 1,716,749
* Patrick Industries, Inc. 4,500 46,350
# Patriot Bank Corp. 6,930 194,872
* Patriot Transportation Holding, Inc. 2,500 90,438
* Paula Financial, Inc. 6,100 17,385
* Paul-Son Gaming Corp. 4,100 16,031
* Paxar Corp. 67,300 1,240,339
* Paxson Communications Corp. 98,100 275,661
* Payless Cashways, Inc. 160 0
* Payless ShoeSource, Inc. 115,700 1,897,480
* PC Connection, Inc. 39,750 304,883
* PC Mall, Inc. 18,400 303,416
* PC-Tel, Inc. 37,700 412,438
* PDF Solutions, Inc. 43,159 387,999
* PDI, Inc. 24,498 705,542
* PDS Gaming Corp. 1,100 2,046
* PEC Solutions, Inc. 43,600 453,440
* Pediatric Services of America, Inc. 10,900 135,160
* Pediatrix Medical Group, Inc. 32,200 2,128,420
* Peerless Manufacturing Co. 3,000 32,130
* Peerless Systems Corp. 24,300 30,375
* Peet's Coffee & Tea, Inc. 22,311 508,245
*# Pegasus Communications Corp. 8,770 142,249
* Pegasus Solutions, Inc. 40,533 466,130
* Pegasystems, Inc. 60,259 512,804
* Pemco Aviation Group, Inc. 950 30,865
* Pemstar, Inc. 73,200 192,516
Penford Corp. 7,300 125,560
Penn Engineering & Manufacturing
Corp. Class A 1,200 18,360
Penn Engineering & Manufacturing
Corp. Non-Voting 15,000 263,100
* Penn National Gaming, Inc. 67,800 2,032,644
* Penn Treaty American Corp. 24,800 52,824
Penn Virginia Corp. 15,500 965,650
Penn-America Group, Inc. 24,500 323,400
Pennfed Financial Services, Inc. 7,400 224,072
Penns Woods Bancorp, Inc. 770 33,534
* Penwest Pharmaceuticals Co. 31,400 346,028
Peoples Bancorp, Inc. 300 7,463
Pep Boys - Manny, Moe & Jack 84,400 2,066,956
* Perceptron, Inc. 13,850 92,795
* Performance Technologies, Inc. 21,600 234,144
* Pericom Semiconductor Corp. 41,800 447,678
* Perini Corp. 39,200 427,280
* Perot Systems Corp. 60,900 828,849
Perrigo Co. 110,900 2,269,014
* Perry Ellis International, Inc. 13,600 326,128
* Per-Se Technologies, Inc. 50,000 650,000
* Pervasive Software, Inc. 37,339 227,768
* PetMed Express, Inc. 15,565 132,303
58
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* Petrocorp, Inc. Escrow Shares 6,900 $ 414
* Petroleum Development Corp. 27,133 666,658
PFF Bancorp, Inc. 28,700 1,142,834
* Pfsweb, Inc. 9 15
* Pharmacopia Drug Discovery, Inc. 26,450 184,092
* Pharmacyclics, Inc. 32,600 390,222
*# Pharmanetics, Inc. 9,500 6,650
* PharmChem, Inc. 5,100 816
* Pharmos Corp. 6,200 20,956
* Philadelphia Consolidated Holding
Corp. 37,200 2,108,496
Phillips-Van Heusen Corp. 52,200 988,146
* Phoenix Gold International, Inc. 1,000 1,240
* Phoenix Technologies, Ltd. 38,990 257,334
* Photo Control Corp. 1,000 2,750
* PhotoMedex, Inc. 49,800 176,790
* Photon Dynamics, Inc. 28,100 906,787
* Photronics, Inc. 53,300 942,344
* Physiometrix, Inc. 7,400 12,580
* Piccadilly Cafeterias, Inc. 10,400 10
* Pico Holdings, Inc. 12,300 224,475
Piedmont Natural Gas Co. 32,500 1,332,825
Pilgrims Pride Corp. Class B 29,500 792,960
* Pinnacle Entertainment, Inc. 59,800 681,720
* Pinnacle Systems, Inc. 115,400 838,958
* Pioneer Drilling Co. 1,500 9,630
* Pixelworks, Inc. 51,000 922,080
* Pizza Inn, Inc. 10,000 29,200
* Plains Exploration & Production Co. 98,563 1,754,421
* Plains Resources, Inc. 40,100 687,314
* Planar Systems, Inc. 24,800 313,720
* Plantronics, Inc. 27,700 1,101,075
* Plato Learning, Inc. 39,066 411,756
* Play By Play Toys and Novelties, Inc. 3,300 8
* Playboy Enterprises, Inc. Class A 4,700 51,700
* Playboy Enterprises, Inc. Class B 47,100 568,968
* Playtex Products, Inc. 104,100 744,315
* Plexus Corp. 73,000 1,072,370
* Plug Power, Inc. 124,043 944,215
* PLX Technology, Inc. 40,500 603,855
* Plymouth Rubber, Inc. Class B 200 68
PMA Capital Corp. Class A 51,800 361,046
PNM Resources, Inc. 68,400 2,055,420
Pocahontas Bancorp, Inc. 4,400 75,130
*# Point Therapeutics, Inc. 660 4,125
* Point.360 9,000 28,980
PolyMedica Corp. 44,600 1,289,386
* Polyone Corp. 94,200 649,038
Pomeroy IT Solutions, Inc. 20,195 256,880
Pope & Talbot, Inc. 26,700 446,691
* Porta Systems Corp. 9,600 1,056
* Portal Software, Inc. 70,020 322,092
* Possis Medical, Inc. 30,200 861,304
Potlatch Corp. 50,100 1,891,275
* Powell Industries, Inc. 18,090 309,158
* Power Intergrations, Inc. 51,900 1,429,326
PowerCerv Corp. 1,755 1,106
* Power-One, Inc. 141,700 1,428,336
*# Powerwave Technologies, Inc. 107,800 863,478
* Pozen, Inc. 48,500 481,120
* PPT Vision, Inc. 6,800 9,588
* PRAECIS Pharmaceuticals, Inc. 88,204 $ 367,811
Preformed Line Products Co. 1,200 33,000
* Premier Financial Bancorp 5,200 47,892
*# Premier Laser Systems, Inc. Class A 3,400 2
*# Pre-Paid Legal Services, Inc. 27,750 653,790
Presidential Life Corp. 49,400 835,848
* Presstek, Inc. 58,198 600,021
*# PRG-Schultz International, Inc. 104,100 469,491
* Price Communications Corp. 95,970 1,386,767
*# Priceline.com, Inc. 45,116 1,182,039
* Pricesmart, Inc. 9,600 52,896
* Prima Energy Corp. 22,062 840,562
* Prime Hospitality Corp. 76,400 757,124
* Prime Medical Services, Inc. 38,628 225,974
* PRIMEDIA, Inc. 437,638 1,304,161
* Primus Knowledge Solutions, Inc. 16,500 35,145
* Primus Telecommunications Group,
Inc. 86,000 521,160
* Princeton Review, Inc. 14,600 104,098
* Printronix, Inc. 5,800 84,100
* Priority Healthcare Corp. 62,636 1,265,247
* Private Business, Inc. 945 2,174
* Proassurance Corp. 49,450 1,635,312
* Procom Technology, Inc. 5,400 6,588
* Procurenet, Inc. 19,700 20
* Progenics Pharmaceuticals, Inc. 28,500 500,175
Programmers Paradise, Inc. 5,200 38,428
* Progress Software Corp. 60,700 1,135,697
* ProQuest Co. 48,300 1,259,664
* ProsoftTraining.com 500 380
Prosperity Bancshares, Inc. 34,200 800,622
* Protection One, Inc. 91,400 17,823
* Protein Design Labs, Inc. 13,144 256,439
Providence & Worcester Railroad Co. 3,000 30,600
Provident Bancorp, Inc. 23,047 240,611
Provident Bankshares Corp. 41,877 1,208,151
Provident Financial Group, Inc. 19,500 780,780
Provident Financial Holdings, Inc. 8,325 207,293
* Province Healthcare Co. 82,825 1,326,857
* Proxim Corp. 67,269 89,468
* ProxyMed, Inc. 2,692 51,148
* PSS World Medical, Inc. 114,600 1,151,730
Psychemedics Corp. 5,225 57,475
* Psychiatric Solutions, Inc. 19,633 486,506
* PTEK Holdings, Inc. 97,928 1,027,265
Pulaski Financial Corp. 5,400 90,180
Pulitzer, Inc. 14,700 691,635
* Pure World, Inc. 7,600 14,592
* PW Eagle, Inc. 7,000 24,010
Pyramid Breweries, Inc. 5,700 12,483
* Qad, Inc. 57,783 610,766
* QEP Co., Inc. 2,125 32,279
* QRS Corp. 26,700 146,583
*# QuadraMed Corp. 27,006 82,368
Quaker Chemical Corp. 16,320 418,282
Quaker City Bancorp, Inc. 2,734 149,331
Quaker Fabric Corp. 28,550 227,544
* Quality Dining, Inc. 11,400 25,650
* Quality Systems, Inc. 10,100 471,973
* Qualstar Corp. 5,500 32,753
Quanex Corp. 27,900 1,242,945
59
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* Quanta Services, Inc. 194,000 $ 1,028,200
* Quantum Corp.- DLT 91,700 270,515
* Quantum Fuel Systems Technologies
Worldwide, Inc. 50,930 255,159
* Quest Software, Inc. 134,100 1,784,871
*# Questcor Pharmaceuticals, Inc. 26,800 22,512
* Quicklogic Corp. 39,000 116,961
* Quidel Corp. 53,544 299,311
* Quigley Corp. 19,300 153,223
* Quiksilver, Inc. 94,700 2,194,199
* Quinton Cardiology Systems, Inc. 24,200 253,858
* Quipp, Inc. 1,400 21,000
Quixote Corp. 13,691 287,511
*# Quokka Sports, Inc. 1,128 14
* Quovadx, Inc. 62,047 66,390
* R & B, Inc. 8,400 157,500
* R H Donnelley Corp. 52,800 2,275,680
* Radiant Systems, Inc. 64,344 288,905
* Radiologix, Inc. 36,100 142,956
* RadiSys Corp. 31,662 527,489
*# Radyne ComStream, Inc. 9,500 82,840
* Rag Shops, Inc. 2,415 7,970
* Railamerica, Inc. 56,100 715,275
* Raindance Communictions, Inc. 73,896 161,093
* Ralcorp Holdings, Inc. 49,400 1,647,490
* Ramtron International Corp. 37,700 185,107
Range Resources Corp. 96,300 1,143,081
* Rare Hospitality International, Inc. 57,382 1,467,832
Raven Industries, Inc. 15,355 488,135
* Rayovac Corp. 57,900 1,569,090
* Raytech Corp. 16,400 33,620
* RC2 Corp. 29,594 827,448
* RCM Technologies, Inc. 10,500 56,175
*# RCN Corp. 82,600 14,868
* Reading International, Inc. Class A 18,149 153,178
* Reading International, Inc. Class B 1,060 8,745
* RealNetworks , Inc. 287,000 1,724,870
*# Redhook Ale Brewery, Inc. 9,300 20,274
Redwood Empire Bancorp 5,250 118,913
Regal-Beloit Corp. 40,404 826,262
* Regeneration Technologies, Inc. 44,352 407,151
* Regeneron Pharmaceuticals, Inc. 84,100 944,443
* Regent Communications, Inc. 75,913 447,887
* Register.Com, Inc. 44,100 230,202
* Rehabcare Group, Inc. 27,500 686,950
* Reliability, Inc. 6,300 6,930
Reliance Steel & Aluminum Co. 54,557 1,996,241
Reliv International, Inc. 25,132 267,153
*# Relm Wireless Corp. 7,600 18,240
* Remec, Inc. 96,850 634,368
* RemedyTemp, Inc. 6,600 85,945
* Remington Oil & Gas Corp. 46,000 954,040
# Renaissance Learning, Inc. 52,600 1,104,074
* Rentrak Corp. 16,500 146,850
* Rent-Way, Inc. 46,300 430,590
* Repligen Corp. 51,000 127,500
* Reptron Electronics, Inc. 8,800 0
*# Reptron Electronics, Inc. 343 2,504
Republic Bancorp, Inc. 108,783 1,445,726
Republic Bancorp, Inc. Class A 15,225 293,081
* Republic First Bancorp, Inc. 6,334 75,375
* Res-Care, Inc. 37,785 $ 524,078
* ResMed, Inc. 41,300 2,098,040
Resource America, Inc. 29,551 644,212
* Resources Connection, Inc. 38,668 1,648,030
* Respironics, Inc. 37,200 1,978,668
* Restoration Hardware, Inc. 55,600 373,076
* Retail Ventures Inc. 56,600 409,218
* Retek, Inc. 93,100 607,012
* Revlon, Inc. 162,400 532,672
* Rewards Network, Inc. 41,600 410,176
* Rex Stores Corp. 18,600 228,780
* Rexhall Industries, Inc. 3,542 6,163
* RF Monolithics, Inc. 12,700 121,666
*# Rhythms NetConnections, Inc. 8,900 1
Richardson Electronics, Ltd. 18,527 209,540
* Rigel Pharmaceuticals, Inc. 2,222 39,463
Riggs National Corp. 49,299 1,076,690
* Rimage Corp. 8,600 121,518
* Rita Medical Systems, Inc. 30,350 150,840
* Riverside Group, Inc. 1,000 33
Riverview Bancorp, Inc. 4,500 93,555
Rivianna Foods, Inc. 16,700 438,208
* Riviera Holdings Corp. 3,600 31,284
RLI Corp. 42,000 1,510,740
* Roadhouse Grill, Inc. 13,340 3,335
Roanoke Electric Steel Corp. 9,900 130,185
Robbins & Myers, Inc. 24,600 543,660
*# Robotic Vision Systems, Inc. 3,480 11,658
* Rochester Medical Corp. 5,300 43,036
Rock of Ages Co. 4,400 35,772
*# Rockford Corp. 14,600 72,270
Rock-Tenn Co. Class A 61,200 983,484
Rocky Mountain Chocolate Factory,
Inc. 4,015 38,745
* Rocky Shoes & Boots, Inc. 4,500 92,070
* Rofin-Sinar Technologies, Inc. 25,300 662,126
* Rogers Corp. 27,500 1,689,875
Rollins, Inc. 77,100 1,880,469
* Ross Systems, Inc. 2,600 47,297
*# Roxio, Inc. 1,629 7,282
Royal Bancshares of Pennsylvania
Class A 4,430 101,181
Royal Gold, Inc. 35,335 492,217
* Royale Energy, Inc. 3,523 49,812
RPC, Inc. 28,600 391,820
* RSA Security, Inc. 104,200 1,911,028
* RTI International Metals, Inc. 36,000 522,360
* RTW, Inc. 5,150 33,284
* Rubio's Restaurants, Inc. 18,495 122,437
Ruddick Corp. 78,800 1,620,128
* Rudolph Technologies, Inc. 28,400 528,240
* Rural Cellular Corp. Class A 2,800 25,172
* Rural/Metro Corp. 14,000 17,500
* Rush Enterprises, Inc. Class A 7,000 82,670
* Rush Enterprises, Inc. Class B 7,000 84,959
Russ Berrie & Co., Inc. 34,500 931,500
Russell Corp. 54,500 892,710
* Ryan's Family Steak Houses, Inc. 71,800 1,208,394
Ryerson Tull, Inc. 41,800 560,538
* S&K Famous Brands, Inc. 2,100 35,753
S&T Bancorp, Inc. 45,400 1,357,460
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* S1 Corp. 120,498 $ 1,131,476
* Saba Software, Inc. 22,900 80,150
* Safeguard Scientifics, Inc. 203,500 518,925
* SafeNet, Inc. 39,904 929,763
* Safety Components International, Inc. 118 1,578
* Saga Communications, Inc. Class A 30,925 579,844
* Salem Communications Corp. 30,440 913,200
*# Salton, Inc. 18,500 104,710
* San Filippo (John B.) & Son, Inc. 17,893 445,894
Sanders Morris Harris Group, Inc. 29,532 397,205
Sanderson Farms, Inc. 33,400 1,536,400
* Sands Regent Casino Hotel 2,000 13,660
Sandy Spring Bancorp, Inc. 23,756 831,460
* Sangamo BioSciences, Inc. 42,450 266,162
* Sapient Corp. 200,923 1,205,538
* Satcon Technology Corp. 46,700 128,425
Saucony, Inc. Class A 2,700 55,077
Saucony, Inc. Class B 3,500 70,630
Sauer-Danfoss, Inc. 49,600 770,784
* Savient Pharmaceuticals, Inc. 76,600 185,372
* Saxon Capital, Inc. 17,400 415,338
* SBA Communications Corp. 88,500 341,610
* SBE, Inc. 3,500 12,215
* SBS Technologies, Inc. 25,730 476,005
* ScanSoft, Inc. 217,760 1,141,062
* ScanSource, Inc. 21,200 1,128,900
Schawk, Inc. Class A 22,200 294,150
* Scheid Vineyards, Inc. 2,200 11,022
* Schick Technologies, Inc. 9,000 86,850
* Schieb (Earl), Inc. 2,200 7,282
* Schlotzskys, Inc. 7,200 10,937
* Schmitt Industries, Inc. 2,466 6,042
Schnitzer Steel Industries, Inc.
Class A 62,351 1,724,629
* Scholastic Corp. 64,381 1,818,119
* Schuff International, Inc. 7,000 16,380
Schulman (A.), Inc. 49,687 992,249
Schweitzer-Maudoit International, Inc. 25,500 717,825
* Sciclone Pharmaceuticals, Inc. 75,746 376,458
* Scientific Games Corp. 106,058 1,964,194
* Scientific Learning Corp. 4,400 24,244
* Scientific Technologies, Inc. 6,700 38,391
* SciQuest, Inc. 5,900 35,459
* SCM Microsystems, Inc. 25,663 163,473
SCP Pool Corp. 56,700 2,282,175
SCPIE Holdings, Inc. 9,300 81,003
* SCS Transportation, Inc. 24,350 553,963
Seaboard Corp. 1,400 523,600
* Seabulk International, Inc. 46,800 415,116
* Seachange International, Inc. 46,200 689,766
Seacoast Banking Corp. 14,808 296,752
Seacoast Financial Services Corp. 11,076 379,464
*# Seacor Smit, Inc. 33,500 1,341,340
* Seattle Genetics, Inc. 67,634 466,675
* Secom General Corp. 140 177
Second Bancorp, Inc. 9,900 316,008
* Secure Computing Corp. 60,274 534,028
* SED International Holdings, Inc. 825 1,254
* SeeBeyond Technology Corp. 142,000 428,840
* SEEC, Inc. 3,000 750
* Segue Software, Inc. 9,500 35,008
* Selas Corp. of America 4,750 $ 14,250
* Select Comfort Corp. 61,300 1,661,230
Select Medical Corp. 103,800 1,391,958
* Selectica, Inc. 66,500 291,337
Selective Insurance Group, Inc. 47,079 1,700,964
SEMCO Energy, Inc. 47,900 274,946
* Semitool, Inc. 48,500 555,325
* Semtech Corp. 69,436 1,744,232
* SEMX Corp. 4,600 690
* Seneca Foods Corp. Class A 200 3,750
* Seneca Foods Corp. Class B 1,300 24,141
# Sensient Technologies Corp. 81,200 1,640,240
* Sensytech, Inc. 10,414 224,640
* Sequa Corp. Class A 6,900 339,135
* Sequa Corp. Class B 2,600 131,820
* Sequenom, Inc. 64,500 103,845
* SeraCare Life Sciences, Inc. 4,080 46,512
*# Serena Software, Inc. 66,400 1,410,336
* Serologicals Corp. 41,950 718,604
* Service Corp. International 261,400 1,882,080
* ServiceWare Technologies, Inc. 2,900 1,682
* Servotronics, Inc. 1,100 4,285
* SFBC International, Inc. 24,750 602,168
* Shared Technologies Cellular, Inc. 10,100 6
* Sharper Image Corp. 25,800 727,560
*# Shaw Group, Inc. 107,487 1,268,347
* Sheffield Pharmceuticals, Inc. 25 0
* Shiloh Industries, Inc. 13,500 146,880
* Shoe Carnival, Inc. 20,879 287,713
* Shoe Pavilion, Inc. 6,200 14,477
* Sholodge, Inc. 5,100 34,425
* Shopko Stores, Inc. 49,700 677,908
*# Shuffle Master, Inc. 42,387 1,418,693
* Siebert Financial Corp. 22,300 93,437
Sierra Bancorp 1,700 25,840
* Sierra Health Services, Inc. 45,936 1,965,601
*# Sierra Pacific Resources 199,300 1,486,778
* Sifco Industries, Inc. 5,400 22,140
*# Sigma Designs, Inc. 34,800 232,464
* Sigmatron International, Inc. 2,200 26,730
Silgan Holdings, Inc. 31,200 1,308,528
*# Silicon Graphics, Inc. 340,500 643,545
* Silicon Image, Inc. 125,089 1,488,559
* Silicon Storage Technology, Inc. 158,500 2,052,575
* Silicon Valley Bancshares 59,500 2,223,515
* Siliconix, Inc. 37,437 1,803,340
* Simclar, Inc. 6,500 19,305
Simmons First National Corp. Class A 24,000 578,160
* SimpleTech, Inc. 75,057 282,214
Simpson Manufacturing Co., Inc. 41,300 2,263,240
* Sinclair Broadcast Group, Inc.
Class A 78,000 861,900
* Sipex Corp. 56,200 362,490
* Sirenza Microdevices, Inc. 54,466 218,409
*# Sirna Therapeutics, Inc. 42,625 133,843
* Sitel Corp. 122,200 382,486
* Six Flags, Inc. 157,905 1,105,335
SJW Corp. 9,000 292,500
* Skechers U.S.A., Inc. Class A 31,800 365,700
Skyline Corp. 8,300 332,166
Skywest, Inc. 98,446 1,647,002
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*# Skyworks Solutions, Inc. 186,317 $ 1,665,674
* SL Industries, Inc. 5,900 63,720
* SM&A 33,300 269,730
* Smart & Final Food, Inc. 50,700 787,878
* SmartDisk Corp. 2,500 450
* Smith & Wollensky Restaurant
Group, Inc. 13,400 86,296
Smith (A.O.) Corp. 34,600 1,018,970
Smith (A.O.) Corp. Convertible
Class A 3,750 110,438
* Smith Micro Software, Inc. 21,400 44,512
* Smithway Motor Xpress Corp.
Class A 4,000 9,880
* Sola International, Inc. 54,300 1,052,877
* Somera Communications, Inc. 59,150 82,810
Sonic Automotive, Inc. 50,800 1,115,060
* Sonic Corp. 100,537 2,229,911
*# Sonic Foundry, Inc. 42,300 66,411
* Sonic Innovations, Inc. 34,700 355,675
* Sonic Solutions 36,800 782,000
* SonicWALL, Inc. 116,800 929,728
* SonoSite, Inc. 24,645 525,678
* Sonus Networks, Inc. 54,057 294,611
*# Sonus Pharmaceuticals, Inc. 30,900 145,230
* Sorrento Networks Corp. 17,800 52,154
* Sotheby's Holdings, Inc. Class A 80,900 1,206,219
Sound Federal Bancorp, Inc. 21,108 273,349
* Source Information Management, Inc. 39,200 411,600
* Source Media, Inc. 27,400 219
* Sourcecorp, Inc. 26,602 683,139
South Financial Group, Inc. 60,927 1,679,148
South Jersey Industries, Inc. 23,064 968,457
Southern Banc Company, Inc. 200 3,675
* Southern Energy Homes, Inc. 13,825 56,890
* Southern Union Co. 88,194 1,774,463
Southside Banchares, Inc. 315 5,733
* Southwall Technologies, Inc. 14,200 6,390
Southwest Bancorp, Inc. 11,400 195,168
Southwest Bancorporation of Texas,
Inc. 54,700 2,291,930
Southwest Gas Corp. 58,700 1,326,620
Southwest Water Co. 25,170 305,564
* Southwestern Energy Co. 61,200 1,564,272
*# Spacehab, Inc. 21,100 86,721
Span-American Medical System, Inc. 2,400 28,296
* Spanish Broadcasting System, Inc. 63,000 607,950
* SPAR Group, Inc. 2,900 3,857
Spartan Motors, Inc. 20,845 241,594
* Spartan Stores, Inc. 31,675 137,501
Spartech Corp. 50,000 1,144,000
* Sparton Corp. 7,938 66,441
* Specialty Laboratories, Inc. 38,600 348,172
SpectraLink Corp. 32,200 484,288
* Spectranetics Corp. 41,502 248,597
* Spectrum Control, Inc. 13,000 106,470
* SpectRx, Inc. 8,900 16,910
# Speedway Motorsports, Inc. 67,190 2,258,928
* Spescom Software, Inc. 1,202 649
* Spherion Corp. 102,320 945,437
* Spherix, Inc. 12,100 72,479
* Spiegel, Inc. Class A Non-Voting 100 6
* Spinnaker Exploration Co. 57,090 $ 1,902,810
* Spire Corp. 6,700 32,897
* Sport Chalet, Inc. 2,700 33,750
* Sport Supply Group, Inc. 8,900 10,458
* Sport-Haley, Inc. 2,700 14,418
* Sports Club Co., Inc. 20,100 32,160
* SportsLine.Com, Inc. 33,400 33,400
* Sportsman's Guide, Inc. 8,000 154,080
* SPSS, Inc. 27,637 460,156
* SRA International, Inc. 29,500 1,143,715
* SRI/Surgical Express, Inc. 6,100 42,151
* SRS Labs, Inc. 24,330 113,378
SS&C Technologies, Inc. 31,850 732,232
# St. Mary Land & Exploration Co. 50,500 1,641,755
* Staar Surgical Co. 31,300 236,628
* Stamps.com, Inc. 37,023 489,074
*# Standard Automotive Corp. 4,400 0
Standard Commercial Corp. 21,129 348,417
* Standard Management Corp. 7,600 26,220
* Standard Microsystems Corp. 30,600 754,902
Standard Motor Products, Inc. Class A 29,300 410,200
Standard Register Co. 40,300 491,257
Standex International Corp. 20,800 539,136
Stanley Furniture, Inc. 6,700 277,179
Star Buffet, Inc. 2,800 18,116
*# Star Scientific, Inc. 78,311 241,198
* Starbiz Restrictive Shares 2 0
* Starcraft Corp. 2,756 30,096
Starrett (L.S.) Co. Class A 4,800 75,504
StarTek, Inc. 24,400 813,984
State Auto Financial Corp. 67,520 2,056,659
State Financial Services Corp.
Class A 7,800 221,676
* Steak n Shake Co. 46,318 814,734
*# Steel Dynamics, Inc. 83,458 2,136,525
Steel Technologies, Inc. 20,150 430,203
* SteelCloud Co. 12,100 30,008
* Stein Mart, Inc. 71,416 1,031,247
* Steinway Musical Instruments, Inc. 12,500 425,000
* Stellent, Inc. 37,200 296,484
* Stemcells, Inc. 2,600 3,562
Stepan Co. 8,400 203,700
Stephan Co. 3,500 15,960
Sterling Bancorp 26,176 736,593
Sterling Bancshares 75,899 996,554
* Sterling Financial Corp. 37,370 1,192,113
Stewart & Stevenson Services, Inc. 48,702 825,499
* Stewart Enterprises, Inc. 183,033 1,376,408
Stewart Information Services Corp. 28,400 969,860
* Stifel Financial Corp. 6,100 153,110
* Stillwater Mining Co. 148,000 2,242,200
* Stone Energy Corp. 45,063 2,023,329
* Stonepath Group, Inc. 67,200 169,344
* Stoneridge, Inc. 43,600 682,776
* StorageNetworks, Inc. Escrow
Shares 60,800 1,648
* Stratasys, Inc. 17,400 451,878
* Strategic Diagnostics, Inc. 32,700 132,762
Strategic Distribution, Inc. 3,029 39,347
* Stratesec, Inc. 7,300 58
* Stratex Networks, Inc. 142,518 417,578
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* Stratos International, Inc. 20,936 $ 119,126
* Strattec Security Corp. 4,100 238,866
* Stratus Properties, Inc. 7,050 88,125
Strayer Ed, Inc. 8,300 967,697
Stride Rite Corp. 65,100 686,805
Sturm Ruger & Co., Inc. 45,700 541,545
* Suburban Lodges of America, Inc.
Escrow Shares 18,500 0
Suffolk Bancorp 8,600 273,136
* Summa Industries, Inc. 5,200 49,712
Summit Bancshares, Inc. 2,000 56,500
Summit Bank Corp. 2,520 42,336
* SumTotal Systems, Inc. 28,067 181,032
* Sun Bancorp, Inc. 23,736 528,