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Filed On 8/5/05 12:16pm ET ˇ SEC File 811-03258 ˇ Accession Number 1047469-5-20842
As Of Filer Filing As/For/On Docs:Pgs Issuer Agent
8/05/05 Dfa Investment Dimensions Gr..Inc N-CSRS 5/31/05 3:978 Merrill Corp/New/- FA
Certified Semi-Annual Shareholder Report of a Management Investment Company ˇ Form N-CSR
Filing Table of Contents
Document/Exhibit Description Pages Size
1: N-CSRS Certified Semi-Annual Shareholder Report of a 973 4,753K
Management Investment Company
2: EX-99.CERT Miscellaneous Exhibit 4 17K
3: EX-99.906CERT Miscellaneous Exhibit 1 7K
N-CSRS ˇ Certified Semi-Annual Shareholder Report of a Management Investment Company
Document Table of Contents
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-3258
--------------------------------------------
DFA INVESTMENT DIMENSIONS GROUP INC.
--------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
1299 Ocean Avenue, 11th Floor, Santa Monica, CA 90401
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(Address of principal executive offices) (Zip code)
Catherine L. Newell, Esquire, Vice President and Secretary
DFA Investment Dimensions Group Inc.,
1299 Ocean Avenue, 11th Floor, Santa Monica, CA 90401
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(Name and address of agent for service)
Registrant's telephone number, including area code: 310-395-8005
Date of fiscal year end: November 30
Date of reporting period: December 1, 2004 - May 31, 2005
ITEM 1. REPORTS TO STOCKHOLDERS.
DFA INVESTMENT DIMENSIONS GROUP INC.
VA SMALL VALUE PORTFOLIO
VA LARGE VALUE PORTFOLIO
VA INTERNATIONAL VALUE PORTFOLIO
VA INTERNATIONAL SMALL PORTFOLIO
VA SHORT-TERM FIXED PORTFOLIO
VA GLOBAL BOND PORTFOLIO
SEMI-ANNUAL REPORT
SIX MONTHS ENDED MAY 31, 2005
(UNAUDITED)
DFA INVESTMENT DIMENSIONS GROUP INC.
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
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PAGE
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Disclosure of Fund Expenses 1
Disclosure of Portfolio Holdings 3
Schedules of Investments
VA Small Value Portfolio 5
VA Large Value Portfolio 16
VA International Value Portfolio 19
VA International Small Portfolio 26
Statements of Net Assets
VA Short-Term Fixed Portfolio 39
VA Global Bond Portfolio 41
Statements of Assets and Liabilities
VA Small Value Portfolio 43
VA Large Value Portfolio 43
VA International Value Portfolio 44
VA International Small Portfolio 44
Statements of Operations 45
Statements of Changes in Net Assets 47
Financial Highlights 50
Notes to Financial Statements 53
Voting Proxies on Fund Portfolio Securities 60
Board Approval of Investment Advisory Agreements 61
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
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DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the
impact of fees on your investment. All mutual funds have operating expenses. As
a shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees (in dollars) of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Tables below illustrate your fund's costs in two ways.
- ACTUAL FUND RETURN. This section helps you to estimate the actual
expenses after fee waivers that you paid over the period. The "Ending
Account Value" shown is derived from the fund's actual return, and
"Expenses Paid During Period" shows the dollar amount that would have
been paid by an investor who started with $1,000 in the fund. You may
use the information here, together with the amount you invested, to
estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
- HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you
compare your fund's costs with those of other mutual funds. It assumes
that the fund had an annual return of 5% before expenses but that the
expense ratio is unchanged. In this case -- because the return used is
not the fund's actual return -- the results do not apply to your
investment. The example is useful in making comparisons because the
Securities and Exchange Commission ("SEC") requires all mutual funds to
calculate expenses based on a 5% annual return. You can assess your
fund's cost by comparing this hypothetical example with the hypothetical
examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight
and help you compare ongoing costs only and do not reflect any transactional
costs (if any). The "Annualized Expense Ratio" represents the actual expenses
for the six month period indicated.
FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005
EXPENSE TABLES
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BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/01/04 05/31/05 RATIO PERIOD*
------------ ------------ ------------ ------------
VA SMALL VALUE PORTFOLIO
Actual Fund Return $ 1,000.00 $ 984.90 0.64% $ 3.17
Hypothetical 5% Annual Return $ 1,000.00 $ 1,021.81 0.64% $ 3.23
VA LARGE VALUE PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,046.20 0.39% $ 1.99
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.06 0.39% $ 1.97
VA INTERNATIONAL VALUE PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,025.90 0.60% $ 3.03
Hypothetical 5% Annual Return $ 1,000.00 $ 1,022.01 0.60% $ 3.02
1
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BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/01/04 05/31/05 RATIO PERIOD*
------------ ------------ ------------ ------------
VA INTERNATIONAL SMALL PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,048.10 0.73% $ 3.73
Hypothetical 5% Annual Return $ 1,000.00 $ 1,021.36 0.73% $ 3.68
VA SHORT-TERM FIXED PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,008.80 0.36% $ 1.80
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.20 0.36% $ 1.82
VA GLOBAL BOND PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,019.80 0.42% $ 2.11
Hypothetical 5% Annual Return $ 1,000.00 $ 1,022.91 0.42% $ 2.12
----------
*Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in
the most recent fiscal half-year, then divided by 365.
2
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete Schedule
of Investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For DFA Investment
Dimensions Group Inc., this would be for the fiscal quarters ending August 31
and February 28 (February 29 during leap year). The Form N-Q filing must be made
within 60 days of the end of the quarter. DFA Investment Dimensions Group Inc.
filed its most recent Form N-Q with the SEC on April 29, 2005. It is available
upon request, without charge, by calling collect: (310) 395-8005 or by mailing a
request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa
Monica, California 90401, or by visiting the SEC's website at
http://www.sec.gov, or they may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the
operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a Schedule of Investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
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VA SMALL VALUE PORTFOLIO
Consumer Discretionary 22.8%
Industrials 18.6
Information Technology 16.9
Financials 15.2
Materials 8.4
Energy 6.1
Health Care 5.0
Consumer Staples 4.7
Telecommunication Services 1.3
Utilities 0.5
Other 0.5
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100.0%
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VA LARGE VALUE PORTFOLIO
Consumer Discretionary 27.9%
Financials 26.1
Energy 9.5
Industrials 9.1
Information Technology 6.2
Materials 6.0
Health Care 5.6
Consumer Staples 4.9
Telecommunication Services 4.1
Utilities 0.6
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100.0%
=====
3
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VA INTERNATIONAL VALUE PORTFOLIO
Financials 36.7%
Consumer Discretionary 16.2
Industrials 13.1
Materials 12.5
Telecommunication Services 5.7
Utilities 4.4
Consumer Staples 4.3
Energy 2.9
Information Technology 2.1
Other 0.9
Health Care 0.9
REITS 0.3
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100.0%
=====
VA INTERNATIONAL SMALL PORTFOLIO
Industrials 26.2%
Consumer Discretionary 20.4
Financials 15.2
Materials 9.2
Consumer Staples 8.8
Information Technology 8.2
Health Care 5.5
Energy 3.1
Utilities 1.9
Telecommunication Services 0.7
REITS 0.6
Other 0.2
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100.0%
=====
VA SHORT-TERM FIXED PORTFOLIO
Government 43.1%
Foreign Government 22.5
Foreign Corporate 14.5
Supranational 12.5
Corporate 7.4
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100.0%
=====
VA GLOBAL BOND PORTFOLIO
Foreign Government 43.4%
Foreign Corporate 17.0
Corporate 16.7
Government 13.4
Supranational 9.5
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100.0%
=====
4
VA SMALL VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
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SHARES VALUE+
--------------- ---------------
COMMON STOCKS -- (97.9%)
1st Source Corp. 4,500 $ 98,010
21st Century Insurance Group 12,400 172,732
*3Com Corp. 54,300 198,738
*4Kids Entertainment, Inc. 2,400 45,600
*AAR Corp. 8,900 142,756
ABC Bancorp 1,320 23,430
*Abraxas Petroleum Corp. 1,000 2,740
*ABX Air, Inc. 700 5,264
*Accelrys, Inc. 8,205 43,322
*ACE Cash Express, Inc. 1,900 41,439
Aceto Corp. 1,100 7,997
*Acme Communications, Inc. 3,800 15,048
*ACT Teleconferencing, Inc. 1,200 708
*Actel Corp. 4,300 63,597
Action Performance Companies, Inc. 4,000 37,240
*ActivCard Corp. 7,521 30,987
*Active Power, Inc. 10,070 26,988
*Adaptec, Inc. 28,646 114,011
*Adept Technology, Inc. 340 2,737
*Advanced Digital Information Corp. 11,500 79,005
*Advanced Marketing Services, Inc. 3,300 13,447
*Advanced Power Technology, Inc. 2,200 14,190
Advanta Corp. Class A 2,300 52,739
Advanta Corp. Class B Non-Voting 4,500 111,015
*Aehr Test Systems 1,000 3,020
*Aeroflex, Inc. 11,500 92,000
*Aether Systems, Inc. 11,500 35,995
*Aetrium, Inc. 700 1,806
*Aftermarket Technology Corp. 2,675 41,034
*Agile Software Corp. 9,700 62,565
Agilysys, Inc. 8,400 129,192
*Air Methods Corp. 2,500 16,950
*AirNet Systems, Inc. 2,200 10,978
*Airspan Networks, Inc. 4,900 23,422
*Akamai Technologies, Inc. 1,900 26,676
Alamo Group, Inc. 1,700 34,680
*Alaska Air Group, Inc. 8,300 245,016
Alaska Communications Systems Group, Inc. 1,700 16,099
*Albany Molecular Research, Inc. 5,700 67,887
*Alderwoods Group, Inc. 800 11,080
*Aleris International, Inc. 15 357
Alexander & Baldwin, Inc. 6,700 297,815
Alfa Corp. 9,500 136,040
*All American Semiconductor, Inc. 260 1,245
Alliance One International, Inc. 20,968 134,405
*Alliance Semiconductor Corp. 9,200 15,456
*Allied Defense Group, Inc. 1,900 45,296
*Allied Healthcare International, Inc. 3,400 23,528
*Allied Healthcare Products, Inc. 1,700 8,789
*Allied Holdings, Inc. 1,200 1,320
*Allied Motion Technologies, Inc. 400 1,912
*Allmerica Financial Corp. 500 17,460
*Alloy, Inc. 9,200 47,288
*Alpha Technologies Group, Inc. 520 23
Alpharma, Inc. Class A 12,300 $ 158,301
Ambassadors International, Inc. 1,200 15,384
*Amcast Industrial Corp. 700 14
*Amerco, Inc. 1,300 69,134
*#America West Holdings Corp. Class B 4,900 27,440
American Axle & Manufacturing Holdings, Inc. 9,800 202,860
American Greetings Corp. Class A 10,700 277,986
#American Italian Pasta Co. 3,300 75,933
*American Pacific Corp. 700 5,670
*American Physicians Capital, Inc. 2,400 83,160
American Physicians Services Group, Inc 500 6,200
American Shared Hospital Services 400 2,400
American Software, Inc. Class A 2,700 13,932
*American Technical Ceramics Corp. 400 4,176
*AmeriServe Financial, Inc. 3,300 18,018
Ameron International Corp. 1,800 59,400
AmerUs Group Co. 4,400 209,396
Ampco-Pittsburgh Corp. 1,400 16,142
Amrep Corp. 600 13,026
*AMS Health Sciences, Inc. 100 179
*Anadigics, Inc. 8,000 13,120
*Analex Corp. 2,800 9,156
Analogic Corp. 2,900 123,221
*Analysts International Corp. 5,600 18,424
*Anaren, Inc. 4,700 55,648
Andersons, Inc. 1,000 32,800
Angelica Corp. 1,900 50,293
*Anixter International, Inc. 70 2,647
*AnswerThink, Inc. 6,650 26,334
*APA Enterprises, Inc. 800 1,264
*Applica, Inc. 6,700 19,162
*Applied Films Corp. 2,600 69,940
Applied Industrial Technologies, Inc. 8,250 251,130
*Applied Innovation, Inc. 1,600 7,792
*Applied Micro Circuits Corp. 55,255 158,582
*Apropos Technology, Inc. 4,000 10,280
*Arch Capital Group, Ltd. 600 26,790
Arch Chemicals, Inc. 3,804 89,660
*Arena Pharmaceuticals, Inc. 6,700 45,895
*Argonaut Group, Inc. 7,000 146,580
*Argonaut Technologies, Inc. 400 376
*Ariba, Inc. 11,850 72,640
Arkansas Best Corp. 3,500 114,555
*Arlington Hospitality, Inc. 400 500
*Armstrong Holdings, Inc. 1,400 4,298
*Arqule, Inc. 6,600 43,230
*Arris Group, Inc. 15,060 130,420
*Art Technology Group, Inc. 1,172 1,266
ArvinMeritor, Inc. 12,200 175,680
*Ashworth, Inc. 3,500 33,600
*Aspen Technology, Inc. 5,900 30,916
*Astea International, Inc. 240 1,774
Astro-Med, Inc. 1,100 9,625
5
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SHARES VALUE+
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*AstroPower, Inc. 27 $ 0
*#ATA Holdings Corp. 800 720
*Atlantic American Corp. 1,900 5,738
Atlantis Plastics, Inc. 579 3,596
*Atmel Corp. 4,400 13,200
Atrion Corp. 200 13,070
*ATS Medical, Inc. 5,500 17,875
*Audiovox Corp. Class A 5,000 73,150
*Ault, Inc. 100 249
*AutoImmune, Inc. 900 796
*Avalon Holding Corp. Class A 262 1,281
*#Avanex Corp. 6,800 6,868
*#Avatar Holdings, Inc. 1,000 47,900
*Avici Systems, Inc. 2,975 13,268
*Avigen, Inc. 5,300 15,847
*Aware, Inc. 5,206 34,360
*Axcelis Technologies, Inc. 15,100 100,415
*AXT, Inc. 5,006 6,308
*Aztar Corp. 4,900 156,506
*AZZ, Inc. 900 14,409
Bairnco Corp. 900 10,053
Baldwin & Lyons, Inc. Class B 1,450 37,265
*Baldwin Technology Co., Inc. Class A 1,400 4,200
*Ballantyne of Omaha, Inc. 1,200 5,220
*Bally Total Fitness Holding Corp. 8,200 24,928
*Bancinsurance Corp. 625 3,250
Bandag, Inc. 1,700 78,676
Bandag, Inc. Class A 900 37,575
BankUnited Financial Corp. Class A 4,200 103,782
Banner Corp. 2,773 73,790
Barnes Group, Inc. 1,400 42,952
*Barry (R.G.) Corp. 1,300 5,850
Bassett Furniture Industries, Inc. 3,100 60,543
Bay View Capital Corp. 1,272 20,161
*BearingPoint, Inc. 35,900 235,145
Belden CDT, Inc. 8,246 165,910
*Bell Industries, Inc. 1,860 4,111
*Bell Microproducts, Inc. 7,150 58,630
*Benchmark Electronics, Inc. 3,300 104,511
*Beverly Enterprises, Inc. 5,900 72,983
Beverly Hills Bancorp, Inc. 3,908 40,839
*Big 4 Ranch, Inc. 300 0
*Big Lots, Inc. 22,000 278,520
*BioScrip, Inc. 6,260 32,740
*Biosource International, Inc. 1,000 10,160
Black Box Corp. 4,000 137,520
Blair Corp. 1,800 70,290
Blockbuster, Inc. Class A 8,402 76,710
*Bluegreen Corp. 7,000 118,020
*BNS Holding, Inc. Class A 240 1,656
Bob Evans Farms, Inc. 8,300 194,220
Bogen Communications International, Inc. 1,000 4,775
*Bolt Technology Corp. 300 1,755
*Bombay Co., Inc. 10,100 53,833
Bon-Ton Stores, Inc. 3,200 57,824
*#Bookham, Inc. 5,797 16,232
Books-A-Million, Inc. 2,700 22,734
*Borland Software Corp. 4,900 31,360
*Boston Communications Group, Inc. 3,500 4,865
Bowne & Co., Inc. 9,400 $ 124,550
*Boyds Collection, Ltd. 11,800 25,842
*BPZ Energy, Inc. 38 175
*Brillian Corp. 850 2,652
Brookline Bancorp, Inc. 10,600 161,120
*Brooktrout, Inc. 1,500 14,955
Brown Shoe Company, Inc. 3,600 126,360
*Bruker BioSciences Corp. 12,553 52,723
*Brush Engineered Materials, Inc. 3,200 45,376
*BTU International, Inc. 1,700 6,443
*Buca, Inc. 4,852 24,745
*Buckeye Technologies, Inc. 9,723 80,409
Building Materials Holding Corp. 372 23,075
Burlington Coat Factory Warehouse Corp. 11,611 384,905
*Butler International, Inc. 1,000 3,300
C&D Technologies, Inc. 4,600 33,672
*C-COR, Inc. 7,600 52,288
*CalAmp Corp. 3,700 24,420
Calgon Carbon Corp. 9,600 85,536
*California Coastal Communities, Inc. 1,000 29,590
California First National Bancorp 1,000 11,600
*Caliper Life Sciences, Inc. 8,008 49,329
Callaway Golf Co. 12,200 142,618
*Callon Petroleum Co. 4,538 64,213
Cal-Maine Foods, Inc. 3,600 23,364
Cambrex Corp. 6,800 123,080
*Canterbury Consulting Group, Inc. 142 46
*Capital Pacific Holdings, Inc. 1,200 4,944
*Capital Senior Living Corp. 7,400 44,844
*Capstone Turbine Corp. 13,100 13,100
*Captaris, Inc. 7,800 28,236
*Caraustar Industries, Inc. 7,400 77,700
*Cardiac Sciences, Inc. 5,000 4,900
*Cardiotech International, Inc. 842 1,575
Carpenter Technology Corp. 5,935 320,490
*Carriage Services, Inc. 4,100 24,108
*Carrier Access Corp. 6,100 29,402
*Carrington Laboratories, Inc. 1,000 3,720
Casey's General Stores, Inc. 10,700 193,028
Cash America International, Inc. 500 8,600
*Castle (A.M.) & Co. 1,600 22,384
Castle Energy Corp. 1,800 23,400
*Catalina Lighting, Inc. 120 990
*Catalytica Energy Systems, Inc. 2,000 3,940
*Cavalier Homes, Inc. 3,300 12,045
CDI Corp. 3,200 68,288
*Celebrity, Inc. Escrow Shares 125 0
Celeritek, Inc. 3,000 2,460
*#Cell Genesys, Inc. 5,400 31,374
*CellStar Corp. 4,800 6,240
*Centillium Communications, Inc. 2,400 5,256
*Central Garden & Pet Co. 3,300 146,355
Central Parking Corp. 9,085 153,536
*Century Business Services, Inc. 19,127 76,699
*Cenveo, Inc. 3,900 32,682
*Ceres Group, Inc. 8,513 48,779
CFS Bancorp, Inc. 3,100 40,641
Champion Industries, Inc. 1,000 4,200
*Championship Auto Racing Teams, Inc. 1,100 181
6
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SHARES VALUE+
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*Champps Entertainment, Inc. 3,000 $ 24,150
*Channell Commercial Corp. 100 602
*Charlotte Russe Holding, Inc. 3,534 42,231
*Charming Shoppes, Inc. 29,641 267,658
*#Charter Communications, Inc. 35,057 39,965
*Checkpoint Systems, Inc. 5,300 93,386
Chemical Financial Corp. 3,500 111,930
Chesapeake Corp. 5,500 114,785
Chiquita Brands International, Inc. 7,400 215,192
*Chromcraft Revington, Inc. 100 1,200
*Ciber, Inc. 18,600 151,590
*Ciena Corp. 24,000 52,320
*Cincinnati Bell, Inc. 15,500 61,225
*Ciprico, Inc. 1,000 4,350
CIRCOR International, Inc. 3,805 94,174
*Cirrus Logic, Inc. 7,700 39,886
*Citizens, Inc. 5,201 30,114
Clark, Inc. 5,236 75,922
*Clarus Corp. 4,500 34,650
*CMS Energy Corp. 1,725 22,822
*CNA Surety Corp. 9,130 126,177
Coachmen Industries, Inc. 4,100 50,225
*Coast Dental Services, Inc. 333 1,199
Coast Distribution System, Inc. 800 3,632
*Coastcast Corp. 1,000 2,325
*Cobra Electronics Corp. 1,000 7,100
*Coeur d'Alene Mines Corp. 2,500 8,325
*Cogent Communications Group, Inc. 4 92
*Coherent, Inc. 7,697 252,693
*Collins & Aikman Corp. 13,000 1,475
*Columbus McKinnon Corp. 800 7,552
*Comarco, Inc. 1,000 7,990
*Comforce Corp. 2,000 3,880
*Comfort Systems USA, Inc. 10,600 66,674
*#Commerce One, Inc. 4,310 543
Commercial Federal Corp. 10,200 255,102
Commercial Metals Co. 5,600 146,496
Communications Systems, Inc. 1,000 10,100
Community Bank System, Inc. 5,700 132,810
*Compex Technologies, Inc. 3,000 11,280
*CompuCredit Corp. 10,400 327,912
*Compudyne Corp. 1,200 7,260
*Computer Horizons Corp. 5,600 16,240
*Computer Network Technology Corp. 7,200 36,000
*Computer Task Group, Inc. 4,200 14,700
CompX International, Inc. 200 2,890
*COMSYS IT Partners, Inc. 4 68
*Concord Camera Corp. 6,500 8,450
*Conexant Systems, Inc. 14,234 20,355
*Congoleum Corp. Class A 1,000 4,200
*Conmed Corp. 6,500 203,710
*Consolidated Graphics, Inc. 728 30,816
*Consumer Portfolio Services, Inc. 4,389 19,312
*Continental Airlines, Inc. 18,350 254,331
*Convera Corp. 1,700 7,327
*Cooker Restaurant Corp. 500 3
Cooper Tire & Rubber Co. 13,200 251,328
*Copper Mountain Networks, Inc. 400 368
*Corixa Corp. 1,200 5,100
Corn Products International, Inc. 5,000 110,450
*Cornell Companies, Inc. 3,652 46,892
*Correctional Services Corp. 3,000 $ 8,670
*Corrpro Companies, Inc. 375 300
*Cosine Communications, Inc. 2,200 5,170
*Covenant Transport, Inc. Class A 3,300 45,804
CPAC, Inc. 1,000 4,990
*Cray, Inc. 200 292
*Credence Systems Corp. 16,400 129,888
*Credit Acceptance Corp. 6,200 87,482
*Criticare Systems, Inc. 600 2,784
*Cross (A.T.) Co. Class A 1,800 9,054
*Cross Country Healthcare, Inc. 7,728 130,990
*Crossroads Systems, Inc. 2,700 2,538
*Crown Andersen, Inc. 100 102
*Crown Media Holdings, Inc. 5,300 49,767
*CSP, Inc. 266 2,609
CSS Industries, Inc. 1,500 46,200
CT Communications, Inc. 4,600 55,660
CTS Corp. 9,000 95,850
Cubic Corp. 3,700 65,120
*Culp, Inc. 2,800 12,180
*Cumulus Media, Inc. Class A 14,400 179,856
*CuraGen Corp. 12,161 52,049
*Curative Health Services, Inc. 4,500 11,565
*Curis, Inc. 2,700 10,692
Cutter & Buck, Inc. 2,350 30,855
*Cybex International, Inc. 1,400 4,284
*#CytRx Corp. 700 595
D&E Communications, Inc. 3,408 27,571
D&K Healthcare Resources, Inc. 4,019 32,795
*#Danielson Holding Corp. 1,050 17,062
*Data I/O Corp. 1,500 4,350
*Data Systems & Software, Inc. 1,500 1,800
*Datalink Corp. 1,300 3,198
*Dataram Corp. 700 4,102
Datascope Corp. 2,100 63,924
*Dave & Busters, Inc. 1,400 25,144
Delphi Financial Group, Inc. Class A 7,511 318,466
Delta Apparel, Inc. 420 12,335
*Delta Woodside Industries, Inc. 525 341
*Denali, Inc. 1,100 0
*Department 56, Inc. 2,500 27,900
*Devcon International Corp. 400 4,700
*Digimarc Corp. 4,100 20,910
*#Digital Angel Corp. 5,600 21,952
*Discovery Partners International, Inc. 6,500 19,175
*Distributed Energy Systems Corp. 8,300 27,556
*Dixie Group, Inc. 2,900 42,978
*Dollar Thrifty Automotive Group, Inc. 6,900 248,331
*Dominion Homes, Inc. 2,200 34,166
Donegal Group, Inc. Class A 2,521 46,538
Donegal Group, Inc. Class B 444 7,313
*DoubleClick, Inc. 24,200 199,166
Dover Motorsports, Inc. 4,100 23,616
*drugstore.com, Inc. 6,900 23,736
*DT Industries, Inc. 100 0
*Duckwall-ALCO Stores, Inc. 1,000 19,750
*Ducommun, Inc. 2,100 34,545
*Dura Automotive Systems, Inc. 4,514 19,275
*Dynegy, Inc. 32,000 148,800
*E Com Ventures, Inc. 50 712
*E.piphany, Inc. 18,400 64,216
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Eastern Co. 300 $ 6,627
*Echelon Corp. 7,160 49,189
Ecology & Environment, Inc. Class A 200 1,300
*Eden Bioscience Corp. 1,600 960
*Edge Petroleum Corp. 2,200 29,986
*Edgewater Technology, Inc. 1,567 6,816
*Electro Rent Corp. 5,400 63,450
*Electro Scientific Industries, Inc. 4,900 87,906
*Electroglas, Inc. 4,512 15,566
*Electronics for Imaging, Inc. 9,700 184,300
*eLoyalty Corp. 900 4,455
EMC Insurance Group, Inc. 1,200 21,408
*EMCOR Group, Inc. 2,400 114,000
*EMCORE Corp. 8,100 32,157
*Emerson Radio Corp. 4,400 11,352
*Emisphere Technologies, Inc. 2,100 8,148
*Emmis Communications Corp. Class A 7,200 127,872
*EMS Technologies, Inc. 2,400 32,400
*ENBC Corp. 300 0
*Encore Medical Corp. 8,600 43,688
*Encore Wire Corp. 2,815 30,965
*Endologix, Inc. 100 435
*Enesco Group, Inc. 3,700 14,245
*EnPro Industries, Inc. 3,700 100,159
*Entravision Communications Corp. 15,800 117,394
*Entrust, Inc. 3,100 12,679
*ePlus, Inc. 1,900 23,562
*Epoch Holding Corp. 800 3,600
*ePresence, Inc. Escrow Shares 2,300 299
*ESS Technology, Inc. 7,100 29,252
*Esterline Technologies Corp. 5,549 215,856
*Evans & Sutherland Computer Corp. 900 4,621
*Evergreen Solar, Inc. 2,200 11,110
*Exar Corp. 10,200 146,880
*EZCORP, Inc. Class A Non-Voting 2,100 19,971
*Fab Industries, Inc. 500 1,500
*Fairchild Corp. Class A 5,813 13,370
*FalconStor Software, Inc. 1,200 8,772
FBL Financial Group, Inc. Class A 7,100 189,925
*Featherlite, Inc. 1,350 5,602
Fedders Corp. 270 599
Federal Signal Corp. 8,700 135,981
*#Federal-Mogul Corp. 5,000 3,000
*FEI Co. 4,700 97,854
Fidelity Southern Corp. 470 7,623
*Finlay Enterprises, Inc. 2,700 35,046
*Firebrand Financial Group, Inc. 300 21
*First Bank of Delaware 330 1,089
First Citizens BancShares, Inc. 1,200 156,636
*First Consulting Group, Inc. 4,100 21,238
First Defiance Financial Corp. 700 18,718
First Federal Bancshares of Arkansas, Inc. 400 9,796
*First Horizon Pharmaceutical Corp. 500 9,400
First Indiana Corp. 2,800 75,460
*First Investors Financial Services Group, Inc. 500 2,387
First Keystone Financial, Inc. 100 1,731
First Merchants Corp. 3,000 74,610
First Niagara Financial Group, Inc. 13,600 177,072
First Place Financial Corp. 3,075 $ 60,547
*Fischer Imaging Corp. 300 834
*Five Star Quality Care, Inc. 2,100 14,322
Flagstar Bancorp, Inc. 8,700 171,912
*Fleetwood Enterprises, Inc. 5,600 53,592
Flexsteel Industries, Inc. 600 8,406
*Flow International Corp. 1,900 12,350
*Flowserve Corp. 14,400 424,368
*Foodarama Supermarkets, Inc. 100 3,100
*#Footstar, Inc. 3,400 14,365
*Forgent Networks, Inc. 2,600 4,680
*Forrester Research, Inc. 2,000 33,000
*Foster (L.B.) Co. Class A 1,800 16,200
*Foster Wheeler, Ltd. 305 4,514
*FPIC Insurance Group, Inc. 2,500 74,400
*Franklin Covey Co. 3,400 21,080
*Franklin Electronic Publishers, Inc. 500 1,875
Friedman Industries, Inc. 36 277
*Friedmans, Inc. Class A 4,200 4,116
*Frontier Airlines, Inc. 10,900 133,089
*Frozen Food Express Industries, Inc. 1,300 13,975
*FSI International, Inc. 6,500 24,440
*FTI Consulting, Inc. 6,200 136,338
*#FuelCell Energy, Inc. 4,900 39,886
Fuller (H.B.) Co. 4,900 158,760
Furniture Brands International, Inc. 9,600 193,056
*G-III Apparel Group, Ltd. 600 4,320
*Gadzooks, Inc. 1,600 70
*Gaiam, Inc. 1,300 7,748
GameTech International, Inc. 1,600 4,448
*Gateway, Inc. 44,400 153,624
GATX Corp. 12,800 427,136
*Gaylord Entertainment Co. 11,149 468,592
*Gehl Co. 1,000 29,988
*Genaissance Pharmaceuticals, Inc. 1,500 1,365
*Gene Logic, Inc. 8,200 27,634
*Genesee & Wyoming, Inc. 2,601 72,672
*Genesis HealthCare Corp. 3,200 139,168
*Genesis Microchip, Inc. 5,899 97,628
*Gerber Scientific, Inc. 5,500 40,590
*Giant Industries, Inc. 3,400 97,954
Gibraltar Industries, Inc. 5,300 103,668
*Gibraltar Packaging Group, Inc. 900 1,867
Glatfelter (P.H.) Co. 11,400 127,680
*Glenayre Technologies, Inc. 7,600 24,320
*Globecomm Systems, Inc. 1,400 7,784
*Glowpoint, Inc. 3,800 5,054
*GoAmerica, Inc. 21 146
Goody's Family Clothing, Inc. 5,900 41,890
*Gottschalks, Inc. 1,400 15,050
*GP Strategies Corp. 1,500 10,650
Granite Construction, Inc. 5,800 136,010
*Graphic Packaging Corp. 4,100 15,375
Gray Television, Inc. 10,939 128,533
Gray Television, Inc. Class A 1,000 11,060
Great American Financial Resources, Inc. 2,000 33,720
*Great Atlantic & Pacific Tea Co., Inc. 7,300 181,989
Great Lakes Chemical Corp. 100 3,390
*Group 1 Automotive, Inc. 5,600 149,576
*GTC Biotherapeutics, Inc. 6,700 8,978
8
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SHARES VALUE+
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*GTSI Corp. 2,100 $ 17,178
Guaranty Federal Bancshares, Inc. 100 2,325
*Guilford Pharmaceuticals, Inc. 1,900 4,788
*Gulfmark Offshore, Inc. 5,200 130,312
*Ha-Lo Industries, Inc. 3,600 3
Haggar Corp. 600 11,076
*Hain Celestial Group, Inc. 9,000 162,000
Hancock Fabrics, Inc. 3,500 20,615
Handleman Co. 4,191 76,067
*Hanger Orthopedic Group, Inc. 5,800 29,580
*Hanover Compressor Co. 24,002 250,341
Hardinge, Inc. 1,000 16,218
Harleysville Group, Inc. 7,273 147,715
*Harris Interactive, Inc. 11,100 54,723
*Hartmarx Corp. 6,400 60,672
*Harvard Bioscience, Inc. 5,100 16,422
*Hastings Entertainment, Inc. 3,300 19,701
Haverty Furniture Co., Inc. 3,300 46,629
*Hawaiian Holdings, Inc. 3,200 17,088
*Hawk Corp. 1,900 21,261
*Hayes Lemmerz International, Inc. 6,800 44,200
*HEI, Inc. 100 305
Heico Corp. 2,200 46,420
Heico Corp. Class A 2,001 33,597
*Herley Industries, Inc. 3,300 57,783
*Hexcel Corp. 4,700 76,798
HF Financial Corp. 330 7,507
*HI/FN, Inc. 2,500 16,600
*Hirsch International Corp. Class A 600 600
HMN Financial, Inc. 750 22,601
*HMS Holdings Corp. 3,400 21,080
*Hoenig Group Escrow Shares 500 0
*Hollywood Media Corp. 3,100 14,384
*HomeStore, Inc. 3,200 6,688
Hooper Holmes, Inc. 19,200 76,800
Horace Mann Educators Corp. 11,066 201,401
*#Horizon Offshore, Inc. 6,900 2,173
*Houston Exploration Co. 6,600 336,402
Hughes Supply, Inc. 1,680 43,680
*Hypercom Corp. 11,200 71,120
*I-many, Inc. 4,000 6,320
*#Ibis Technology Corp. 1,200 1,512
*ICO, Inc. 2,200 5,148
*Identix, Inc. 8,678 47,642
*IDT Corp. 6,300 84,987
*IDT Corp. Class B 16,800 230,160
*iGATE Capital Corp. 8,508 37,180
IKON Office Solutions, Inc. 25,000 242,250
Imation Corp. 6,100 230,336
*ImmunoGen, Inc. 5,800 34,568
*IMPCO Technologies, Inc. 1,900 6,308
*Imperial Sugar Co. 2,100 0
Imperial Sugar Co. (New) 2,416 37,206
*Industrial Distribution Group, Inc. 1,900 16,701
Infinity Property & Casualty Corp. 3,300 105,600
*InFocus Corp. 10,600 44,096
Inforte Corp. 3,100 10,633
*Infosonics Corp. 600 1,794
Ingles Market, Inc. Class A 3,000 37,920
*Innotrac Corp. 1,000 8,490
*Innovex, Inc. 4,300 14,534
*Input/Output, Inc. 11,000 $ 65,230
*Insight Communications Co., Inc. 13,537 152,968
*Insight Enterprises, Inc. 8,764 171,599
*Insituform Technologies, Inc. Class A 4,800 71,232
*#Insmed, Inc. 1,600 2,032
*Instinet Group, Inc. 3,500 18,480
*InsWeb Corp. 333 932
*Integrated Device Technology, Inc. 14,700 179,781
*#Integrated Electrical Services, Inc. 11,100 16,872
*Integrated Silicon Solution, Inc. 6,600 43,230
*Intelligent Systems Corp. 500 1,040
*Interface, Inc. Class A 11,000 84,150
*Interland, Inc. 4,600 8,740
International Aluminum Corp. 500 17,250
*International Shipholding Corp. 400 5,840
*Internet Commerce Corp. 400 648
Interpool, Inc. 13,950 302,994
*Interstate Hotels & Resorts, Inc. 2,300 10,580
*Interwoven, Inc. 7,000 55,720
*IntriCon Corp. 500 950
*Iomega Corp. 13,600 42,024
*Iridex Corp. 500 3,000
Irwin Financial Corp. 5,100 107,049
*ITLA Capital Corp. 1,000 49,820
*iVillage, Inc. 2,100 12,663
*iVow, Inc. 125 56
*J. Alexander's Corp. 1,000 7,430
*J. Jill Group, Inc. 3,200 40,800
*Jaclyn, Inc. 200 1,230
*Jaco Electronics, Inc. 550 1,727
*Jacuzzi Brands, Inc. 500 5,105
*Jakks Pacific, Inc. 6,300 130,221
*JDA Software Group, Inc. 7,400 95,608
*Jo-Ann Stores, Inc. 4,300 115,025
*Johnson Outdoors, Inc. 1,500 26,265
*JPS Industries, Inc. 1,000 4,800
*K2, Inc. 12,697 159,855
*Kadant, Inc. 3,900 79,950
Kaman Corp. Class A 6,200 95,914
*Kansas City Southern 17,500 349,825
*Katy Industries, Inc. 800 2,792
*Keane, Inc. 8,700 116,754
*Kellstrom Industries, Inc. 1,200 1
Kellwood Co. 7,718 194,185
Kelly Services, Inc. Class A 5,500 152,955
*Kemet Corp. 24,912 174,384
*Kendle International, Inc. 3,100 35,743
*Kennedy-Wilson, Inc. 500 5,160
*Key Energy Group, Inc. 600 6,594
*Key Technology, Inc. 100 1,100
*Key Tronic Corp. 1,000 3,680
*Keynote Systems, Inc. 1,700 19,720
*Keystone Consolidated Industries, Inc. 98 17
Kimball International, Inc. Class B 5,971 73,443
*Kindred Healthcare, Inc. 9,300 358,794
Knape & Vogt Manufacturing Co. 550 6,187
*Knight Capital Group, Inc. 22,000 166,100
La-Z-Boy, Inc. 9,400 125,490
*LaBranche & Co., Inc. 14,530 80,351
*LaCrosse Footwear, Inc. 900 8,910
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*Ladish Co., Inc. 2,200 $ 24,420
*Lakes Entertainment, Inc. 50 621
*Lancer Corp. 1,300 22,490
LandAmerica Financial Group, Inc. 4,700 264,140
Landry's Restaurants, Inc. 7,200 215,784
*Lantronix, Inc. 2,300 3,151
*Large Scale Biology Corp. 800 656
*Lattice Semiconductor Corp. 26,200 110,564
*Lazare Kaplan International, Inc. 1,000 8,620
*LCC International, Inc. Class A 4,600 16,422
*LeCroy Corp. 300 4,938
*Lesco, Inc. 2,700 36,450
Libbey, Inc. 1,900 36,195
Liberate Technologies, Inc. 10,900 3,379
Liberty Corp. 4,310 155,634
*Lightbridge, Inc. 6,000 37,680
*LightPath Technologies, Inc. 287 746
*Lin TV Corp. 4,800 69,840
*Linens `n Things, Inc. 8,100 197,397
Lithia Motors, Inc. Class A 3,868 102,889
*LMI Aerospace, Inc. 300 1,357
*Lodgian, Inc. 2,806 26,657
*Logic Devices, Inc. 1,100 1,474
*LogicVision, Inc. 1,100 1,980
Lone Star Steakhouse & Saloon, Inc. 5,300 160,113
Longs Drug Stores Corp. 9,700 398,088
Longview Fibre Co. 13,300 265,601
LSI Industries, Inc. 5,000 67,950
*LTX Corp. 1,900 9,101
*Luby's, Inc. 5,700 46,968
Lufkin Industries, Inc. 1,400 40,362
*Lydall, Inc. 3,900 32,136
*M&F Worldwide Corp. 4,700 60,113
M/I Homes, Inc. 2,500 126,200
*Mac-Gray Corp. 2,300 20,056
*Madden (Steven), Ltd. 2,100 37,296
MAF Bancorp, Inc. 4,690 199,606
*Magna Entertainment Corp. 2,000 10,640
*Magnetek, Inc. 6,500 14,365
*Magnum Hunter Resources, Inc. 22,444 346,984
*Main Street Restaurant Group, Inc. 3,800 13,148
*MAIR Holdings, Inc. 4,800 45,792
*Management Network Group, Inc. 7,100 16,685
*Manchester Technologies, Inc. 1,000 6,270
*Manugistic Group, Inc. 14,000 25,200
*Marisa Christina, Inc. 600 546
Maritrans, Inc. 500 11,945
*Marlton Technologies, Inc. 200 162
Marsh Supermarkets, Inc. Class A 300 3,375
Marsh Supermarkets, Inc. Class B 400 5,060
*Marten Transport, Ltd. 200 3,922
*Mastec, Inc. 12,400 104,904
*Material Sciences Corp. 3,100 37,820
*Matrix Service Co. 2,800 11,564
*Maxco, Inc. 700 3,060
*Maxim Pharmaceuticals, Inc. 2,000 3,040
Maximus, Inc. 800 27,432
*Maxtor Corp. 17,200 94,428
*Maxxam, Inc. 1,000 23,250
*Maxygen, Inc. 6,400 50,112
*Mayor's Jewelers, Inc. 3,400 1,938
*McDATA Corp. 14,600 $ 55,626
MCG Capital Corp. 8,500 136,000
McRae Industries, Inc. Class A 200 2,344
*MDI, Inc. 1,400 714
*Meade Instruments Corp. 4,700 12,972
*Meadowbrook Insurance Group, Inc. 7,000 36,050
Medallion Finanacial Corp. 3,200 29,632
*MedCath Corp. 3,415 88,483
Media General, Inc. Class A 2,400 146,640
*#Medialink Worldwide, Inc. 500 1,575
*Medical Staffing Network Holdings, Inc. 5,100 27,693
*MedQuist, Inc. 7,100 92,371
Mercury Air Group, Inc. 600 2,076
*Meridian Resource Corp. 12,700 57,531
*Merix Corp. 3,100 22,475
*Merrimac Industries, Inc. 200 1,780
*#Mesa Air Group, Inc. 5,100 32,538
*Metals USA, Inc. 3,200 67,744
*MetaSolv, Inc. 7,807 16,160
Methode Electronics, Inc. 300 3,582
*Metris Companies, Inc. 15,100 195,998
*Metro One Telecommunications, Inc. 5,300 4,982
MGP Ingredients, Inc. 2,600 21,736
*Micro Linear Corp. 1,100 6,435
MicroFinancial, Inc. 2,300 8,947
*Microtek Medical Holdings, Inc. 7,500 26,400
*Microtune, Inc. 5,200 22,984
*Midwest Air Group, Inc. 4,700 9,212
*Milacron, Inc. 11,326 24,691
Minerals Technologies, Inc. 4,600 309,580
*Misonix, Inc. 900 5,186
*Mitcham Industries, Inc. 900 6,318
*MKS Instruments, Inc. 11,000 183,700
*Mobile Mini, Inc. 600 22,152
Modine Manufacturing Co. 7,103 215,931
*#Modtech Holdings, Inc. 3,163 19,611
*Molecular Devices Corp. 2,800 54,096
Monaco Coach Corp. 5,300 86,973
*Monterey Pasta Co. 4,700 14,194
*Mothers Work, Inc. 700 9,541
*Motorcar Parts of America, Inc. 200 2,105
Movado Group, Inc. 4,274 72,060
*MPS Group, Inc. 27,300 256,074
*MRV Communications, Inc. 9,500 17,575
*MSC.Software Corp. 7,800 80,223
Mueller Industries, Inc. 7,841 211,707
Myers Industries, Inc. 8,387 93,515
NACCO Industries, Inc. Class A 800 82,000
*Nanogen, Inc. 6,700 27,336
*Nanometrics, Inc. 2,800 31,584
Nash Finch Co. 2,936 104,463
*Nashua Corp. 500 4,500
*Nathan's Famous, Inc. 1,100 9,118
National Home Health Care Corp. 200 2,654
*National Patent Development Corp. 1,500 3,510
National Presto Industries, Inc. 800 34,280
*National RV Holdings, Inc. 2,200 19,514
*National Technical Systems, Inc. 1,100 4,994
*Natrol, Inc. 1,000 2,800
*Natural Alternatives International, Inc. 200 1,512
10
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SHARES VALUE+
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*Navigant International, Inc. 3,800 $ 48,108
*Navigators Group, Inc. 2,700 89,748
*NCI Building Systems, Inc. 3,500 120,890
*NCO Group, Inc. 7,914 157,172
*Neoforma, Inc. 3,000 20,550
*NeoMagic Corp. 4,600 1,702
*Neose Technologies, Inc. 800 2,104
*NES Rentals Holdings, Inc. 5 49
*Net2Phone, Inc. 10,700 17,120
NetBank, Inc. 2,148 17,850
*NetIQ Corp. 14,100 155,664
*NetRatings, Inc. 4,239 57,735
*Netscout System, Inc. 3,900 24,024
*Network Engines, Inc. 1,300 2,210
*Network Equipment Technologies, Inc. 6,000 33,540
*Neurogen Corp. 5,500 37,180
*New Brunswick Scientific Co., Inc. 609 3,258
*New Horizons Worldwide, Inc. 1,250 4,512
*NewMarket Corp. 3,240 44,032
*Newpark Resources, Inc. 15,200 92,720
*Newport Corp. 9,900 139,095
*Newtek Business Services, Inc. 800 2,072
Niagara Corp. 1,200 10,260
*NMS Communications Corp. 1,600 5,200
*NMT Medical, Inc. 500 4,375
NN, Inc. 2,200 27,918
*Nobel Learning Communities, Inc. 200 1,750
*North America Galvanizing & Coatings, Inc. 100 204
*North American Scientific, Inc. 2,000 6,000
*Northwest Pipe Co. 500 11,080
*Nu Horizons Electronics Corp. 4,200 24,696
NWH, Inc. 400 6,000
*NYFIX, Inc. 6,400 32,320
NYMAGIC, Inc. 1,000 20,450
*O'Charleys, Inc. 4,029 74,819
*O.I. Corp. 400 4,750
*#OCA, Inc. 13,000 53,300
*Ocwen Financial Corp. 11,252 81,352
*Odd Job Stores, Inc. 1,000 150
*Offshore Logistics, Inc. 5,900 184,788
Ohio Casualty Corp. 15,636 373,700
*Oil States International, Inc. 1,416 32,795
Oil-Dri Corp. of America 100 1,710
*Olympic Steel, Inc. 1,800 28,260
*OM Group, Inc. 5,100 128,520
*Omega Protein Corp. 5,900 41,890
*OMNOVA Solutions, Inc. 800 3,248
*On Assignment, Inc. 6,200 32,860
*One Price Clothing Stores, Inc. 443 0
*#Oneida, Ltd. 2,600 6,110
*Opent Technologies, Inc. 2,800 22,652
*Oplink Communications, Inc. 1,100 1,639
*OPTi, Inc. 1,200 2,016
*Optical Cable Corp. 1,000 4,460
*Optical Communication Products, Inc. 600 1,074
*Orbital Sciences Corp. 9,100 88,361
*Oregon Steel Mills, Inc. 6,400 113,024
*Orthologic Corp. 5,200 21,112
*Oscient Pharmaceutical Corp. 2,900 4,785
*OSI Systems, Inc. 3,800 $ 56,620
*Osteotech, Inc. 3,000 8,670
Outlook Group Corp. 400 3,160
*Overland Storage, Inc. 2,500 24,225
Overseas Shipholding Group, Inc. 600 36,660
*OYO Geospace Corp. 1,400 22,907
*Pacific Premier Bancorp, Inc. 700 7,330
*Palm Harbor Homes, Inc. 4,107 76,924
*PalmSource, Inc. 2,300 23,069
*Paradyne Networks Corp. 1,500 2,955
Park Electrochemical Corp. 2,050 47,560
*Parker Drilling Co. 19,500 111,150
Parkvale Financial Corp. 100 2,780
*Parlex Corp. 2,100 12,390
*Pathmark Stores, Inc. 7,048 63,080
*Patrick Industries, Inc. 1,000 8,956
PAULA Financial 300 528
*Paxar Corp. 5,600 98,672
*Payless Cashways, Inc. 34 0
*Payless ShoeSource, Inc. 17,700 297,891
*PC Connection, Inc. 5,900 30,149
*PC Mall, Inc. 1,200 5,939
*PC-Tel, Inc. 4,800 35,088
*Pediatric Services of America, Inc. 1,600 21,104
*Peerless Systems Corp. 700 2,534
*Pegasus Solutions, Inc. 5,400 58,104
*Pegasystems, Inc. 5,700 34,029
*Pemstar, Inc. 9,345 11,027
Penford Corp. 400 6,196
*Penn Treaty American Corp. 6,200 13,826
Pep Boys - Manny, Moe & Jack 15,100 201,736
*Perceptron, Inc. 1,800 11,754
*Performance Food Group Co. 8,100 219,186
*Performance Technologies, Inc. 1,700 11,441
*Pericom Semiconductor Corp. 6,100 48,861
*Perry Ellis International, Inc. 2,400 48,000
*Pervasive Software, Inc. 3,500 16,205
*Petrocorp, Inc. Escrow Shares 1,700 102
*Pharmacopia Drug Discovery, Inc. 1,700 8,228
*PHH Corp. 6,800 163,132
Phillips-Van Heusen Corp. 7,100 220,029
*Phoenix Technologies, Ltd. 630 5,116
*Photronics, Inc. 6,500 149,695
*Pico Holdings, Inc. 1,780 46,084
Pinnacle Bancshares, Inc. 200 2,822
*Pinnacle Entertainment, Inc. 7,800 135,954
*Pinnacle Systems, Inc. 6,894 40,744
*Piper Jaffray Companies, Inc. 3,600 101,772
*Planar Systems, Inc. 2,300 18,492
*PLATO Learning, Inc. 3,900 29,796
*Plexus Corp. 9,400 129,250
*PMA Capital Corp. Class A 7,451 55,361
Pocahontas Bancorp, Inc. 1,100 15,400
*PolyOne Corp. 5,400 36,288
*Pomeroy IT Solutions, Inc. 3,200 40,288
Pope & Talbot, Inc. 2,900 31,987
Potlatch Corp. 5,200 268,788
*Power-One, Inc. 7,659 41,971
*Powerwave Technologies, Inc. 18,801 171,653
*PPT Vision, Inc. 75 95
*PRAECIS Pharmaceuticals, Inc. 10,357 6,836
11
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SHARES VALUE+
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Preformed Line Products Co. 200 $ 6,826
Presidential Life Corp. 7,200 109,080
*PRG-Schultz International, Inc. 12,600 48,636
*Price Communications Corp. 10,100 173,619
*PriceSmart, Inc. 3,875 27,125
Printronix, Inc. 300 4,764
*Procom Technology, Inc. 900 1,440
Providence & Worcester Railroad Co. 200 2,650
Provident Financial Services, Inc. 9,500 168,910
Pulitzer, Inc. 2,100 134,316
*Pure World, Inc. 520 1,030
Pyramid Breweries, Inc. 300 567
Quaker Chemical Corp. 1,600 28,320
Quaker Fabric Corp. 4,050 14,094
Quanex Corp. 1,850 95,996
*Quanta Services, Inc. 28,900 260,967
*Quantum Corp. 32,700 85,020
*Quantum Fuel Systems Technologies Worldwide, Inc. 1,800 7,650
*QuickLogic Corp. 6,000 26,220
*Quidel Corp. 4,500 19,710
*Quovadx, Inc. 8,493 23,101
*R&B, Inc. 2,200 29,590
*Radio One, Inc. 3,600 45,432
*Radiologix, Inc. 4,600 18,078
*RadiSys Corp. 3,100 50,127
*RailAmerica, Inc. 9,166 106,967
*Raindance Communictions, Inc. 8,100 16,605
Raytech Corp. 3,300 5,115
*RCM Technologies, Inc. 1,500 6,900
*Reading International, Inc. Class A 1,091 7,266
*Reading International, Inc. Class B 60 390
*#Redhook Ale Brewery, Inc. 1,000 3,050
*Refac 60 300
Regal-Beloit Corp. 6,006 154,354
*Regent Communications, Inc. 12,500 75,000
*Register.com, Inc. 3,900 24,375
*Reliability, Inc. 300 60
Reliance Steel & Aluminum Co. 7,500 288,675
*Relm Wireless Corp. 400 940
*REMEC, Inc. 4,727 29,547
*RemedyTemp, Inc. 1,900 18,715
*Rent-Way, Inc. 6,400 59,328
*Reptron Electronics, Inc. 39 55
*Republic First Bancorp, Inc. 369 4,923
*Res-Care, Inc. 4,700 62,651
*Retail Ventures, Inc. 8,328 93,857
*Rex Stores Corp. 2,450 34,300
Richardson Electronics, Ltd. 2,200 19,580
Riverview Bancorp, Inc. 300 6,450
*Riviera Tool Co. 300 325
RLI Corp. 5,600 244,944
Roanoke Electric Steel Corp. 1,700 34,085
Robbins & Myers, Inc. 3,700 87,505
*Robotic Vision Systems, Inc. 360 12
Rock of Ages Corp. 500 3,035
*Rockford Corp. 2,200 5,742
Rock-Tenn Co. Class A 8,900 102,439
*Rocky Shoes & Boots, Inc. 100 2,959
*Rofin-Sinar Technologies, Inc. 100 3,230
*RTI International Metals, Inc. 5,100 139,689
*RTW, Inc. 700 $ 6,790
*Rubio's Restaurants, Inc. 1,986 18,172
Ruddick Corp. 1,296 31,143
*Rudolph Technologies, Inc. 2,400 34,608
*Rural/Metro Corp. 1,300 9,762
*Rush Enterprises, Inc. Class A 2,300 33,097
*Rush Enterprises, Inc. Class B 500 7,275
Russ Berrie & Co., Inc. 3,000 39,030
Russell Corp. 8,100 151,470
*Ryan's Restaurant Group, Inc. 7,100 99,116
Ryerson Tull, Inc. 6,529 99,371
*S&K Famous Brands, Inc. 300 4,800
*Safeguard Scientifics, Inc. 27,700 27,423
*SafeNet, Inc. 5,940 186,635
*#Salton, Inc. 3,000 3,120
*San Filippo (John B.) & Son, Inc. 1,400 29,610
*Sands Regent Casino Hotel 400 3,784
*SatCon Technology Corp. 1,300 1,781
Saucony, Inc. Class B 300 5,880
*SBS Technologies, Inc. 2,800 27,188
*ScanSoft, Inc. 16,986 68,963
*Scheid Vineyards, Inc. 200 1,160
Schnitzer Steel Industries, Inc. Class A 3,600 83,232
*Scholastic Corp. 4,200 157,584
*Schuff International, Inc. 1,200 3,690
Schulman (A.), Inc. 7,000 114,520
Schweitzer-Maudoit International, Inc. 2,400 71,928
*SCM Microsystems, Inc. 3,000 8,910
*SCPIE Holdings, Inc. 1,200 13,464
*SCS Transportation, Inc. 3,900 71,175
Seaboard Corp. 200 269,000
*Seabulk International, Inc. 7,100 139,231
*SEACOR Holdings, Inc. 4,861 282,230
*Secom General Corp. 80 114
*Selectica, Inc. 9,800 31,066
Selective Insurance Group, Inc. 7,200 346,536
Sensient Technologies Corp. 7,600 154,660
*Sequa Corp. Class A 200 11,600
*Sequenom, Inc. 8,400 7,980
Service Corp. International 39,300 297,894
*Sharper Image Corp. 2,800 37,212
*Shaw Group, Inc. 16,170 325,825
*Shiloh Industries, Inc. 2,600 29,406
*Shoe Carnival, Inc. 4,300 78,819
*Sholodge, Inc. 600 2,355
*ShopKo Stores, Inc. 9,900 234,729
*SIFCO Industries, Inc. 400 1,372
*#Silicon Graphics, Inc. 12,400 10,044
*Silicon Storage Technology, Inc. 15,700 54,008
Simmons First National Corp. Class A 2,600 63,804
*SimpleTech, Inc. 8,300 29,050
*Sipex Corp. 3,500 5,775
*Sitel Corp. 16,300 32,274
*Six Flags, Inc. 24,100 106,281
Skyline Corp. 900 35,190
Skywest, Inc. 9,300 169,632
*Skyworks Solutions, Inc. 26,200 165,846
*Smart & Final Food, Inc. 5,200 56,420
12
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*Smith & Wollensky Restaurant Group, Inc. 2,000 $ 12,580
Smith (A.O.) Corp. 5,700 178,752
Smith (A.O.) Corp. Convertible Class A 300 9,408
*Smithway Motor Xpress Corp. Class A 600 3,600
*Somera Communications, Inc. 7,400 10,286
Sonic Automotive, Inc. 7,287 155,359
*#Sonic Foundry, Inc. 1,700 2,176
*Sonic Innovations, Inc. 3,428 14,912
*SonicWALL, Inc. 15,500 95,790
Sound Federal Bancorp, Inc. 2,100 33,432
*SOURCECORP, Inc. 3,700 79,217
South Jersey Industries, Inc. 3,300 187,110
*Southern Energy Homes, Inc. 1,600 9,360
*Southwall Technologies, Inc. 2,300 3,082
*Spacehab, Inc. 900 1,269
*Spanish Broadcasting System, Inc. 6,000 51,900
*Spartan Stores, Inc. 1,900 24,510
Spartech Corp. 5,600 113,288
*Sparton Corp. 578 5,768
*Spectrum Control, Inc. 700 4,956
*Spherion Corp. 14,200 77,674
*Spinnaker Exploration Co. 8,768 268,915
*Sport Chalet, Inc. 600 8,760
*Sport Supply Group, Inc. 300 942
*SRI/Surgical Express, Inc. 400 1,814
*Stage Stores, Inc. 2,600 101,530
*Standard Management Corp. 700 1,260
*Standard Microsystems Corp. 3,000 48,780
Standard Motor Products, Inc. 4,600 51,842
Standard Register Co. 4,900 69,580
Starrett (L.S.) Co. Class A 200 3,414
State Auto Financial Corp. 1,200 32,400
Steel Dynamics, Inc. 7,600 204,364
Steel Technologies, Inc. 2,900 58,000
*Steinway Musical Instruments, Inc. 1,600 45,312
*Stellent, Inc. 4,900 37,093
Stepan Co. 500 10,605
Stephan Co. 200 890
*Sterling Financial Corp. 3,200 113,120
Stewart & Stevenson Services, Inc. 600 14,334
Stewart Enterprises, Inc. 26,000 153,920
Stewart Information Services Corp. 4,100 160,925
*Stifel Financial Corp. 1,234 26,062
*Stillwater Mining Co. 17,200 116,100
*Stone Energy Corp. 4,800 206,544
*Stoneridge, Inc. 5,800 45,356
*StorageNetworks, Inc. Escrow Shares 10,100 274
*Strategic Diagnostics, Inc. 2,300 6,463
*Strategic Distribution, Inc. 200 2,060
*Stratos International, Inc. 3,061 13,193
*Stratus Properties, Inc. 650 10,842
Stride Rite Corp. 7,100 84,419
*Suburban Lodges of America, Inc. Escrow Shares 2,200 0
Summa Industries, Inc. 200 1,540
*SumTotal Systems, Inc. 1,793 7,513
*Sun Bancorp, Inc. 2,835 58,798
*Suncoast Naturals, Inc. 13 $ 1
*Sunrise Senior Living, Inc. 4,900 255,535
Sunrise Telecom, Inc. 6,000 9,600
*Suntron Corp. 325 426
#Superior Industries International, Inc. 4,500 101,925
Superior Uniform Group, Inc. 800 11,080
Supreme Industries, Inc. 520 3,406
SureWest Communications 2,600 61,880
Susquehanna Bancshares, Inc. 7,300 166,148
*Swift Energy Corp. 7,300 249,295
SWS Group, Inc. 4,100 64,985
*Sycamore Networks, Inc. 64,400 217,672
*Sykes Enterprises, Inc. 9,700 80,316
Syms Corp. 3,600 47,088
*Synalloy Corp. 1,000 11,550
*Synovis Life Technologies, Inc. 1,500 11,475
Sypris Solutions, Inc. 4,700 49,538
*Systemax, Inc. 6,800 43,316
*T-3 Energy Services, Inc. 100 710
*Tag-It Pacific, Inc. 1,300 3,042
*TALK America Holdings, Inc. 4,392 39,045
Tandy Brand Accessories, Inc. 500 6,570
*Tarrant Apparel Group 3,400 9,248
Tasty Baking Co. 2,500 20,000
TB Wood's Corp. 700 4,046
*TeamStaff, Inc. 2,200 3,608
Technitrol, Inc. 7,100 93,223
*TechTeam Global, Inc. 3,000 42,000
Tecumseh Products Co. Class A 3,400 92,956
Tecumseh Products Co. Class B 100 2,742
*Tegal Corp. 1,200 1,272
*Tel Offshore Trust 326 2,370
*Teleglobe International Holdings, Ltd. 1,225 2,915
*Telular Corp. 300 1,170
*Terayon Communication Systems, Inc. 10,000 31,700
*Terra Industries, Inc. 17,400 110,490
Tesoro Petroleum Corp. 1,500 65,400
*Tetra Tech, Inc. 3,700 44,585
Texas Industries, Inc. 5,600 257,712
*The Banc Corp. 1,300 13,650
The Marcus Corp. 5,000 110,150
The Phoenix Companies, Inc. 24,000 276,000
*The Rowe Companies 300 1,158
*The Sports Authority, Inc. 4,700 150,400
*The Sports Club Co., Inc. 1,900 3,135
The Topps Co., Inc. 3,800 35,416
*Theragenics Corp. 7,800 26,754
*TheStreet.com, Inc. 1,200 3,720
*Third Wave Technologies, Inc. 87 327
Thomas Industries, Inc. 3,000 119,610
*Three-Five Systems, Inc. 5,100 3,417
*Tier Technologies, Inc. Class B 6,000 53,040
TierOne Corp. 2,600 62,725
*TII Network Technologies, Inc. 1,200 1,752
Timberland Bancorp, Inc. 200 4,602
*Time Warner Telecom, Inc. 10,300 52,530
*Tipperary Corp. 1,000 4,670
*Titan Pharmaceuticals, Inc. 5,600 12,040
Todd Shipyards Corp. 600 11,550
*Tollgrade Communications, Inc. 2,100 15,918
13
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*#Torch Offshore, Inc. 3,000 $ 368
*#Tower Automotive, Inc. 8,900 943
Traffix, Inc. 2,100 10,080
*Trailer Bridge, Inc. 1,000 7,800
*Trans World Entertainment Corp. 8,600 111,800
*Transgenomic, Inc. 1,500 1,020
*Transmeta Corp. 600 486
*TransMontaigne, Inc. 9,600 79,488
*Transpro, Inc. 2,400 16,296
*Transtechnology Corp. 500 3,738
*TRC Companies, Inc. 2,100 23,940
Tredegar Industries, Inc. 9,419 143,640
*Trenwick Group, Ltd. 1,225 6
*Trestle Holdings, Inc. 40 64
*Triad Guaranty, Inc. 2,800 151,760
Trinity Industries, Inc. 10,000 290,600
*Tripos, Inc. 200 720
*Triquint Semiconductor, Inc. 28,600 96,954
*Triumph Group, Inc. 3,800 134,824
*Trump Entertainment Resorts, Inc. 1 22
*TTM Technologies, Inc. 2,100 16,674
*Tumbleweed Communications Corp. 400 880
*Tweeter Home Entertainment Group, Inc. 5,700 20,178
Twin Disc, Inc. 200 4,350
*U.S. Concrete, Inc. 6,200 37,944
*U.S. Xpress Enterprises, Inc. Class A 1,000 12,210
UICI 6,400 160,960
UMB Financial Corp. 4,795 267,082
Umpqua Holdings Corp. 6,800 158,508
*Unico American Corp. 500 4,575
*Unifi, Inc. 12,800 41,088
Unifirst Corp. 2,100 76,860
*United America Idemnity, Ltd. 2,753 46,939
*United American Healthcare Corp. 700 1,505
United Auto Group, Inc. 11,890 366,212
United Community Financial Corp. 6,900 72,519
United Fire & Casualty Co. 2,000 78,740
*United Rentals, Inc. 19,600 393,568
*United Retail Group, Inc. 3,000 20,820
*Universal Compression Holdings, Inc. 8,214 280,919
Universal Corp. 4,600 204,240
*Universal Stainless & Alloy Products, Inc. 800 10,040
Unizan Financial Corp. 2,527 64,413
*Urologix, Inc. 200 874
*URS Corp. 11,300 382,279
*USA Truck, Inc. 800 16,200
USEC, Inc. 21,930 299,345
*Vail Resorts, Inc. 6,831 187,853
Valhi, Inc. 2,440 45,238
*ValueVision Media, Inc. Class A 1,600 15,392
*Veeco Instruments, Inc. 3,600 54,252
*Verilink Corp. 500 795
*Veritas DGC, Inc. 5,600 151,200
*Verity, Inc. 7,100 60,563
*Verso Technologies, Inc. 692 180
Vesta Insurance Group, Inc. 9,000 22,680
Viad Corp. 1,300 36,140
*Vical, Inc. 4,900 $ 18,620
*Vicon Industries, Inc. 200 590
*Vignette Corp. 25,500 29,580
*Virco Manufacturing Corp. 547 3,938
*Virologic, Inc. 13,770 37,592
Visteon Corp. 32,900 251,027
*Vitesse Semiconductor, Inc. 21,400 53,500
*Vitria Technology, Inc. 4,700 15,040
*Volt Information Sciences, Inc. 4,900 96,285
*Vyyo, Inc. 1,100 6,798
*Warnaco Group, Inc. 7,400 157,916
*Washington Group International, Inc. 4,400 211,244
Waste Industries USA, Inc. 1,700 24,531
*WatchGuard Technologies, Inc. 7,700 27,951
*Water Pik Technologies, Inc. 1,000 18,580
Wausau-Mosinee Paper Corp. 12,329 154,113
*WCI Communities, Inc. 8,000 239,200
*Webco Industries, Inc. 1,000 5,750
*webMethods, Inc. 8,260 41,548
*Weider Nutrition International, Inc. 1,000 4,080
Weis Markets, Inc. 3,700 135,938
Wellman, Inc. 9,200 103,408
*Wells-Gardner Electronics Corp. 279 949
Wesbanco, Inc. 1,400 41,398
*West Marine, Inc. 3,300 54,747
*Westaff, Inc. 2,400 8,328
Westbank Corp. 902 15,190
*Westcoast Hospitality Corp. 1,000 6,890
*Western Power & Equipment Corp. 112 146
*White Electronics Designs Corp. 3,900 19,461
*Whitehall Jewelers, Inc. 3,500 25,375
*Whiting Petroleum Corp. 2,400 82,992
*Wickes, Inc. 1,200 4
*Wild Oats Markets, Inc. 300 3,372
*Willis Lease Finance Corp. 800 6,520
Willow Grove Bancorp, Inc. 1,700 25,918
*Wilshire Enterprises, Inc. 515 3,863
*Wilson Greatbatch Technologies, Inc. 3,000 72,120
*Wilsons The Leather Experts, Inc. 4,200 24,654
*#Winn-Dixie Stores, Inc. 15,600 16,380
Wireless Telecom Group, Inc. 2,800 7,084
*Wolverine Tube, Inc. 3,900 28,119
Woodhead Industries, Inc. 2,000 25,660
*Worldwide Restaurant Concepts, Inc. 7,000 44,870
*Xanser Corp. 5,300 11,713
*Xeta Corp. 1,200 3,840
*Yellow Roadway Corp. 2,203 116,274
*Zapata Corp. 1,840 11,905
*Zhone Technologies, Inc. 15,100 40,921
*Zoll Medical Corp. 1,100 26,114
*#Zoltek Companies, Inc. 900 8,964
*Zomax, Inc. 10,300 28,325
*Zones, Inc. 500 1,850
*Zoran Corp. 9,931 122,549
*Zygo Corp. 4,000 38,720
*ZymeTx, Inc. 100 6
---------------
TOTAL COMMON STOCKS
(Cost $59,481,385) 66,362,109
---------------
14
ˇ Enlarge/Download Table
SHARES VALUE+
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Chart Industries, Inc. Warrants 09/15/10 3 $ 76
*Chiquita Brands International, Inc. Warrants 03/19/09 1,148 12,525
*Foster Wheelers, Ltd. Warrants 09/24/07 6,100 0
*Imperial Credit Industries, Inc. Warrants 01/31/08 62 0
*Imperial Sugar Co. Warrants 08/29/08 71 50
*Lodgian, Inc. Class A Warrants 11/25/07 24 1
*Lodgian, Inc. Class B Warrants 11/25/09 74 1
*Milltope Group, Inc. Contigent Value Rights 500 0
PMR Corp. Contingent Value Rights 1,100 0
*Timco Aviation Services, Inc. Warrants 02/27/07 373 0
*Trico Marine Services, Inc. Warrants Series B 03/15/08 69 110
*Trico Marine Services, Inc. Warrants Series A 03/15/10 69 276
*Trump Entertainment Resorts, Inc. Warrants 05/23/06 188 0
*Virologic, Inc. Contingent Value Rights 13,770 2,410
---------------
TOTAL RIGHTS/WARRANTS
(Cost $86,849) 15,449
---------------
FACE
AMOUNT
---------------
(000)
BONDS -- (0.0%)
*Timco Aviation Services, Inc. Jr. Subordinated Note 8.000%, 01/02/07 $ 0 0
TOTAL BONDS ---------------
(Cost $0) 0
---------------
TEMPORARY CASH INVESTMENTS -- (2.1%)
^Repurchase Agreement, Merrill Lynch Triparty Repo 2.94%, 06/01/05
(Collateralized by $465,000 U.S. TIPS 3.375%, 01/15/07, valued at
$597,445) to be repurchased at $582,191 (Cost $582,143) 582 582,143
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $845,000 FHLMC Notes 4.00%, 09/22/09, valued at
$846,056) to be repurchased at $833,067 (Cost $833,000) 833 833,000
---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $1,415,143) 1,415,143
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $60,983,377) $ 67,792,701
===============
----------
+ See Note B to Financial Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
15
VA LARGE VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
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SHARES VALUE+
--------------- ---------------
COMMON STOCKS -- (98.0%)
*3Com Corp. 16,400 $ 60,024
A.G. Edwards, Inc. 3,200 132,192
Aetna, Inc. 18,200 1,419,782
*AGCO Corp. 3,100 56,916
*Agere Systems, Inc. Class A 1,715 23,328
Albertson's, Inc. 18,800 394,612
*Allegheny Corp. 114 31,948
Alliant Energy Corp. 5,000 138,000
*Allied Waste Industries, Inc. 16,900 130,299
*Allmerica Financial Corp. 2,800 97,776
Allstate Corp. 34,900 2,031,180
Amerada Hess Corp. 4,400 408,540
American Financial Group, Inc. 4,500 145,890
American Greetings Corp. Class A 3,000 77,940
American National Insurance Co. 1,610 185,794
*American Tower Corp. 8,300 149,732
*AmeriCredit Corp. 7,700 191,499
AmerisourceBergen Corp. 5,500 355,135
AmerUs Group Co. 2,600 123,734
Anadarko Petroleum Corp. 12,600 953,820
*Andrew Corp. 7,600 100,776
Apache Corp. 5,354 314,601
*Applied Micro Circuits Corp. 8,100 23,247
Archer-Daniels-Midland Co. 44,532 883,960
*Arrow Electronics, Inc. 6,300 176,085
Ashland, Inc. 4,400 300,520
Astoria Financial Corp. 5,400 148,716
AT&T Corp. 40,340 757,989
*AutoNation, Inc. 36,000 719,640
*Avnet, Inc. 6,300 131,796
AVX Corp. 4,600 54,648
*Barnes & Noble, Inc. 2,800 105,980
Bear Stearns Companies, Inc. 6,910 684,366
Belo Corp. Class A 6,500 159,770
Blockbuster, Inc. Class A 2,000 18,260
Borders Group, Inc. 800 20,232
BorgWarner, Inc. 2,800 149,688
Bowater, Inc. 2,700 84,780
Burlington Northern Santa Fe Corp. 24,600 1,215,732
*Caesars Entertainment, Inc. 15,400 331,870
*Cavco Industries, Inc. 350 9,418
Cendant Corp. 14,900 316,029
*CheckFree Corp. 1,300 48,529
Chesapeake Energy Corp. 7,900 161,713
Chubb Corp. 5,100 429,573
*Ciena Corp. 8,700 18,966
*Cincinnati Bell, Inc. 2,800 11,060
Cincinnati Financial Corp. 11,785 465,154
Circuit City Stores, Inc. 10,700 175,373
Clear Channel Communications, Inc. 31,062 907,942
*CNA Financial Corp. 13,000 358,540
Coca-Cola Enterprises, Inc. 28,300 619,204
*Comcast Corp. Class A 43,832 1,411,390
*Comcast Corp. Special Class A Non-Voting 26,900 851,116
Commercial Federal Corp. 3,200 $ 80,032
*Computer Sciences Corp. 9,900 458,469
*Compuware Corp. 13,200 90,420
*Comverse Technology, Inc. 4,900 115,297
ConocoPhillips 5,800 625,472
Corn Products International, Inc. 1,800 39,762
*Corning, Inc. 24,100 377,888
Countrywide Financial Corp. 29,198 1,085,290
*Crown Castle International Corp. 6,700 119,126
CSX Corp. 14,100 586,278
Dana Corp. 8,700 117,885
*#Delta Air Lines, Inc. 5,900 22,715
Devon Energy Corp. 1,000 45,900
Diamond Offshore Drilling, Inc. 6,561 310,007
Dillards, Inc. Class A 3,700 88,504
Disney (Walt) Co. 19,900 546,056
Electronic Data Systems Corp. 26,900 529,930
Federated Department Stores, Inc. 12,300 829,635
Fidelity National Financial, Inc. 4,600 165,554
First American Corp. 5,200 201,240
Ford Motor Co. 91,500 913,170
*Forest Oil Corp. 3,100 123,256
*Freescale Semiconductor, Inc. Class B 441 8,908
General Motors Corp. 29,900 942,747
Georgia-Pacific Corp. 13,900 460,646
*Goodyear Tire & Rubber Co. 3,700 53,243
Hartford Financial Services Group, Inc. 14,600 1,091,934
Hearst-Argyle Television, Inc. 3,200 79,872
Hewlett-Packard Co. 14,400 324,144
Hibernia Corp. 3,200 102,880
Horton (D.R.), Inc. 19,976 690,570
*Humana, Inc. 3,300 119,988
*IAC/InterActiveCorp 33,100 810,950
IKON Office Solutions, Inc. 2,900 28,101
Independence Community Bank Corp. 4,100 153,668
*Ingram Micro, Inc. 7,900 124,899
*Instinet Group, Inc. 900 4,752
International Paper Co. 29,463 949,003
Intersil Corp. 8,400 157,584
*Invitrogen Corp. 2,000 158,660
Janus Capital Group, Inc. 12,300 188,928
*JDS Uniphase Corp. 35,700 54,621
JPMorgan Chase & Co. 24,400 872,300
Kennametal, Inc. 1,200 52,800
#Kerr-McGee Corp. 7,610 562,075
KeyCorp 21,700 710,892
Kraft Foods, Inc. 11,800 382,792
LaFarge North America, Inc. 5,900 356,183
*Laidlaw International, Inc. 200 4,448
Lear Corp. 3,900 147,030
Lehman Brothers Holdings, Inc. 1,200 110,640
*#Level 3 Communications, Inc. 6,800 14,144
*Liberty Media Corp. Class A 137,800 1,431,742
16
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*Liberty Media International, Inc. Class A 6,890 $ 288,760
Lincoln National Corp. 9,800 446,194
Loews Corp. 12,800 963,840
Louisiana-Pacific Corp. 6,300 158,634
*LSI Logic Corp. 20,100 147,936
Lubrizol Corp. 2,000 78,740
*Lucent Technologies, Inc. 92,100 258,801
Lyondell Chemical Co. 5,100 121,074
Marathon Oil Corp. 18,000 872,820
May Department Stores Co. 2,300 87,768
MBIA, Inc. 7,600 425,068
McKesson Corp. 11,300 455,051
MeadWestavco Corp. 12,941 371,148
*Medco Health Solutions, Inc. 11,700 585,000
MetLife, Inc. 40,200 1,792,920
MGIC Investment Corp. 4,700 288,298
*MGM Mirage 3,800 144,742
*Micron Technology, Inc. 31,900 350,262
*Millennium Pharmaceuticals, Inc. 15,900 133,083
Motorola, Inc. 4,000 69,480
Nationwide Financial Services, Inc. 3,000 114,540
*NetIQ Corp. 1,500 16,560
New York Community Bancorp, Inc. 7,700 140,294
Norfolk Southern Corp. 24,300 775,656
Northrop Grumman Corp. 19,298 1,075,285
Occidental Petroleum Corp. 6,000 438,660
#Odyssey Re Holdings Corp. 1,900 45,809
OfficeMax, Inc. 4,800 145,680
Old Republic International Corp. 9,725 241,763
Overseas Shipholding Group, Inc. 1,100 67,210
*Owens-Illinois, Inc. 6,000 154,260
*PacifiCare Health Systems, Inc. 3,000 188,490
Penney (J.C.) Co., Inc. 16,600 826,016
PepsiAmericas, Inc. 4,700 113,834
Phelps Dodge Corp. 4,624 404,138
*PHH Corp. 340 8,157
PMI Group, Inc. 5,000 189,000
Pogo Producing Co. 3,000 148,320
*Pride International, Inc. 6,900 155,595
Principal Financial Group, Inc. 16,200 646,218
Protective Life Corp. 3,500 140,665
Prudential Financial, Inc. 18,700 1,183,897
Pulte Homes, Inc. 4,800 366,960
Questar Corp. 4,800 302,592
*Qwest Communications International, Inc. 53,900 211,288
Radian Group, Inc. 5,200 238,576
*Radio One, Inc. 1,000 12,620
Raytheon Co. 21,200 830,192
Reinsurance Group of America, Inc. 3,100 141,825
Reynolds American, Inc. 6,046 501,274
*Rite Aid Corp. 8,500 33,660
Rohm & Haas Co. 900 41,985
Ryder System, Inc. 4,500 165,330
Safeco Corp. 7,800 419,718
Saks, Inc. 10,000 171,400
*Sanmina-SCI Corp. 27,200 $ 139,536
SBC Communications, Inc. 16,600 388,108
*Sears Holdings Corp. 3,588 526,360
Service Corp. International 10,300 78,074
*Smithfield Foods, Inc. 2,400 71,592
*Smurfit-Stone Container Corp. 12,963 140,908
*Solectron Corp. 25,700 93,805
Sovereign Bancorp, Inc. 1,300 29,016
Sprint Corp. 46,400 1,099,216
StanCorp Financial Group, Inc. 1,900 142,215
Steelcase, Inc. Class A 1,200 15,480
*Sun Microsystems, Inc. 22,000 83,820
Sunoco, Inc. 5,100 523,107
Supervalu, Inc. 10,000 327,600
*Tech Data Corp. 2,900 104,110
Telephone & Data Systems, Inc. 3,000 116,250
*Telephone & Data Systems, Inc. Special Shares 3,000 114,000
*Tellabs, Inc. 24,100 198,102
Temple-Inland, Inc. 5,800 207,176
*Tenet Healthcare Corp. 23,200 281,184
Textron, Inc. 4,000 309,160
The St. Paul Travelers Companies, Inc. 35,012 1,326,255
*Thermo Electron Corp. 3,500 92,120
*Thomas & Betts Corp. 1,800 55,584
Tidewater, Inc. 3,000 103,800
*Time Warner, Inc. 155,600 2,707,440
Torchmark Corp. 1,800 94,950
*Toys R Us, Inc. 14,100 369,420
Transatlantic Holdings, Inc. 300 17,133
*Triad Hospitals, Inc. 4,000 202,880
Tribune Co. 16,500 596,970
Tyson Foods, Inc. Class A 13,481 248,859
Union Pacific Corp. 16,400 1,098,144
UnionBanCal Corp. 1,000 62,770
*United States Cellular Corp. 2,600 122,304
Unitrin, Inc. 4,700 234,013
*Univision Communications, Inc. Class A 12,500 332,625
UnumProvident Corp. 14,982 275,070
Valero Energy Corp. 14,400 988,128
Valhi, Inc. 6,500 120,510
*VeriSign, Inc. 5,800 187,630
Viacom, Inc. Class A 2,000 68,880
Viacom, Inc. Class B 73,000 2,503,170
*Vishay Intertechnology, Inc. 8,200 105,780
*Vitesse Semiconductor, Inc. 2,100 5,250
*Watson Pharmaceuticals, Inc. 6,700 201,402
*WebMD Corp. 800 7,544
Weis Markets, Inc. 1,700 62,458
Wesco Financial Corp. 400 143,312
Weyerhaeuser Co. 12,100 776,215
Worthington Industries, Inc. 2,100 35,196
*Xerox Corp. 2,000 27,140
---------------
TOTAL COMMON STOCKS
(Cost $62,470,368) 74,756,691
---------------
17
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FACE
AMOUNT VALUE+
--------------- ---------------
(000)
TEMPORARY CASH INVESTMENTS -- (2.0%)
^Repurchase Agreement, Merrill Lynch Triparty Repo 2.94%, 06/01/05
(Collateralized by $535,000 U.S. TIPS 3.375%, 01/15/07, valued at
$687,383) to be repurchased at $668,205 (Cost $668,150) $ 668 $ 668,150
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $831,000 FHLMC Notes 4.00%, 09/22/09, valued at
$832,039) to be repurchased at $819,066 (Cost $819,000) 819 819,000
---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $1,487,150) 1,487,150
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $63,957,518) $ 76,243,841
===============
----------
+ See Note B to Financial Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
18
VA INTERNATIONAL VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
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SHARES VALUE+
--------------- ---------------
UNITED KINGDOM -- (18.1%)
COMMON STOCKS -- (18.1%)
Alliance & Leicester P.L.C. 5,000 $ 77,805
Amvescap P.L.C. 18,100 106,182
Anglo America P.L.C. 13,069 311,382
Associated British Foods P.L.C. 21,663 314,946
Associated British Ports Holdings P.L.C. 8,200 72,708
Aviva P.L.C. 59,326 663,752
AWG P.L.C. 1,017 16,547
BAA P.L.C. 29,923 338,492
BAE Systems P.L.C. 80,147 392,584
Barclays P.L.C 289 2,739
Barratt Developments P.L.C. 6,000 72,056
BBA Group P.L.C. 7,632 41,693
BPB P.L.C. 6,900 64,280
Brambles Industries P.L.C. 16,000 87,474
Britannic P.L.C. 2,600 24,131
*British Airways P.L.C. 35,189 175,287
British Land Co. P.L.C. 13,425 212,396
British Vita P.L.C. 5,000 32,461
Brixton P.L.C. 6,000 40,128
Cable and Wireless P.L.C. 56,132 136,701
Carnival P.L.C. 2,710 148,363
*Castle Acquistions P.L.C. 1 64
*Colt Telecom Group P.L.C. 60,600 57,227
*Cookson Group P.L.C. 2,740 16,182
*Corus Group P.L.C. 69,902 57,671
De Vere Group P.L.C. 803 7,785
*Easyjet P.L.C. 6,000 24,576
FKI P.L.C. 14,000 24,568
Friends Provident P.L.C. 39,000 123,748
GKN P.L.C. 17,346 79,473
Great Portland Estates P.L.C. 4,386 28,714
Greene King P.L.C. 1,929 43,194
Hammerson P.L.C. 6,600 108,863
Hanson P.L.C. 19,898 183,515
HBOS P.L.C. 7,819 113,730
*Henderson Group P.L.C. 12,500 14,135
Hilton Group P.L.C. 41,465 214,023
Inchcape P.L.C. 833 29,585
InterContinental Hotels Group P.L.C. 15,788 183,350
International Power P.L.C. 50,042 176,073
*Invensys P.L.C. 12,650 2,589
Johnson Matthey P.L.C. 3,193 56,738
Kelda Group P.L.C. 3,261 38,141
Kingfisher P.L.C. 19,238 89,929
Land Securities Group P.L.C. 12,669 328,643
Liberty International P.L.C. 5,856 104,127
Lonmin P.L.C. 1,696 31,642
*Lonrho Africa P.L.C. 1,587 397
Mersey Docks & Harbour Co. P.L.C. 2,050 35,915
Millennium and Copthorne Hotels P.L.C. 3,625 23,447
Mitchells & Butlers P.L.C. 10,364 60,980
Morrison (Wm.) Supermarkets P.L.C. 17,789 61,132
Northern Rock P.L.C. 4,000 $ 53,542
*O2 P.L.C. 208,000 481,893
Pearson P.L.C. 19,974 238,958
Peninsular & Oriental Steam Navigation P.L.C. 10,606 59,823
Pilkington P.L.C. 10,732 22,593
Pillar Property P.L.C. 2,403 36,481
Rank Group P.L.C. 10,621 51,740
*Rolls Royce Group P.L.C. 39,697 195,735
*Rolls Royce Group P.L.C. Class B 1,984,850 3,607
Royal & Sun Alliance Insurance Group P.L.C. 72,815 101,976
Sainsbury (J.) P.L.C. 48,518 252,266
Schroders P.L.C. 5,000 68,812
Scottish & Newcastle P.L.C. 10,790 93,229
Scottish Power P.L.C. 36,334 306,064
Severn Trent P.L.C. 2,995 55,114
Shire Pharmaceuticals Group P.L.C. 11,000 116,739
Signet Group P.L.C. 25,363 47,384
Singer & Friedlander Group P.L.C. 4,652 26,367
Slough Estates P.L.C. 11,282 105,401
Smith (DS) Holdings P.L.C. 9,600 26,892
Smith (WH) P.L.C. 2,880 18,726
Somerfield P.L.C. 13,582 48,695
Stanley Leisure P.L.C. 3,498 34,648
Tate & Lyle P.L.C. 4,000 34,417
Taylor Woodrow P.L.C. 14,195 81,715
*The Berkeley Group Holdings P.L.C. 3,170 47,637
*Thus Group P.L.C. 7,258 1,847
Trinity Mirror P.L.C. 5,830 66,000
Uniq P.L.C. 1,300 3,549
United Business Media P.L.C. 3,000 27,256
United Utilities P.L.C. 4,670 57,530
Vodafone Group P.L.C. 605,748 1,524,982
Westbury P.L.C. 3,082 26,001
Whitbread P.L.C. 7,550 124,668
Wilson Bowden P.L.C. 4,000 82,852
Wimpey (George) P.L.C. 6,862 53,139
Wincanton P.L.C. 1,300 5,980
Wolverhampton & Dudley Breweries P.L.C. 1,800 36,249
Woolworths Group P.L.C. 35,855 22,803
---------------
TOTAL COMMON STOCKS
(Cost $7,878,700) 10,295,573
---------------
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling
(Cost $27,715) 27,568
---------------
TOTAL -- UNITED KINGDOM
(Cost $7,906,415) 10,323,141
---------------
JAPAN -- (15.8%)
COMMON STOCKS -- (15.7%)
Aichi Steel Corp. 4,000 20,404
AIOI Insurance Co., Ltd. 8,500 42,114
Aisin Seiki Co., Ltd. 6,900 153,119
19
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SHARES VALUE+
--------------- ---------------
Amada Co., Ltd. 8,000 $ 54,320
Aoyama Trading Co., Ltd. 1,100 26,651
Asahi Breweries, Ltd. 8,000 97,054
*Ashikaga Financial Group, Inc. 9,000 0
Bank of Kyoto, Ltd. 5,000 41,950
Bank of Yokohama, Ltd. 15,000 85,801
Canon Sales Co., Inc. 2,000 35,432
Casio Computer Co., Ltd. 3,000 41,838
Chiba Bank, Ltd. 10,000 67,857
Chudenko Corp. 1,030 16,147
Chugoku Bank, Ltd. 5,400 63,144
Citizen Watch Co., Ltd. 3,000 26,208
Coca-Cola West Japan Co., Ltd. 1,000 22,369
Cosmo Oil Co., Ltd. 10,000 36,563
Dai Nippon Ink & Chemicals, Inc. 12,000 35,449
Dai Nippon Printing Co., Ltd. 13,000 205,093
Daicel Chemical Industries, Ltd. 4,000 20,765
Daido Steel Co., Ltd. 5,000 20,306
Daihatsu Motor Co., Ltd. 6,000 44,246
Daishi Bank, Ltd. 5,000 20,839
Daiwa House Industry Co., Ltd. 7,000 77,173
Ebara Corp. 7,000 25,161
Ezaki Glico Co., Ltd. 2,200 17,560
Fuji Electric Co., Ltd. 12,000 36,400
Fuji Heavy Industries 6,000 25,049
Fuji Photo Film Co., Ltd. 7,000 217,986
Fujikura, Ltd. 6,000 30,408
Fukuoka Bank, Ltd. 11,000 67,129
Fukuyama Transporting Co., Ltd. 4,000 15,724
Gunma Bank, Ltd. 12,000 71,374
Gunze, Ltd. 4,000 17,524
Hachijuni Bank, Ltd. 9,000 59,408
Heiwa Corp. 1,800 25,907
Higo Bank, Ltd. 3,000 21,412
Hiroshima Bank, Ltd. 11,000 47,592
Hitachi Cable, Ltd. 5,000 21,558
Hitachi Koki Co., Ltd. 2,000 18,640
Hitachi Maxell, Ltd. 2,300 27,954
Hitachi Metals, Ltd. 5,000 31,866
Hitachi Transport System, Ltd. 2,000 16,658
Hitachi, Ltd. 61,000 364,478
Hokkoku Bank, Ltd. 5,000 21,792
Hokugin Financial Group, Inc. 7,000 22,273
House Foods Corp. 2,000 28,174
Hyakugo Bank, Ltd. 4,000 24,532
Hyakujishi Bank, Ltd. 3,000 17,027
*Ishikawajima-Harima Heavy Industries Co., Ltd. 22,000 31,273
Iyo Bank, Ltd. 7,000 55,808
Joyo Bank, Ltd. 20,000 101,679
Juroku Bank, Ltd. 5,000 26,769
Kagoshima Bank, Ltd. 5,000 38,046
Kajima Corp. 13,000 44,359
Kamigumi Co., Ltd. 4,000 29,805
Kandenko Co., Ltd. 3,000 17,644
Kawasaki Heavy Industries, Ltd. 16,000 28,633
Kinden Corp. 2,000 14,798
Kirin Brewery Co., Ltd. 13,000 127,158
Kiyo Bank, Ltd. 5,000 9,414
Kobe Steel, Ltd. 45,000 78,268
Kokuyo Co., Ltd. 2,000 25,643
Komatsu, Ltd. 14,000 $ 104,544
Komori Corp. 1,000 15,146
Konica Corp. 5,000 44,664
Kuraray Co., Ltd. 6,000 53,165
Kyocera Corp. 2,400 183,619
Lion Corp. 5,000 26,125
Maeda Corp. 2,000 11,033
Makita Corp. 2,000 38,944
Marubeni Corp. 22,000 69,432
Marui Co., Ltd. 6,000 83,256
Maruichi Steel Tube, Ltd. 2,000 42,667
Matsushita Electric Industrial Co., Ltd. 40,818 608,028
Matsushita Electric Works, Ltd. 4,000 33,062
Meiji Seika Kaisha, Ltd. Tokyo 6,000 29,204
Millea Holdings, Inc. 19 251,406
Mitsubishi Gas Chemical Co., Inc. 5,000 24,620
Mitsubishi Heavy Industries, Ltd. 56,000 144,134
Mitsubishi Materials Corp. 20,000 43,776
*Mitsubishi Motors Corp. 14,000 17,310
Mitsubishi Securities Co., Ltd. 2,000 16,665
Mitsui Chemicals, Inc. 14,000 79,391
Mitsui Marine & Fire Insurance Co., Ltd. 17,000 154,508
Mitsui Trust Holdings 19,000 185,320
Nagase & Co., Ltd. 2,000 19,526
Nanto Bank, Ltd. 3,000 15,400
NGK Spark Plug Co., Ltd. 3,000 33,739
Nichicon Corp. 1,900 24,969
Nihon Unisys, Ltd. 2,600 24,340
Nikko Cordial Corp. 7,000 30,611
Nippon Electric Glass Co., Ltd. 4,000 61,689
Nippon Kayaku Co., Ltd. 4,000 21,573
Nippon Light Metal Co., Ltd. 8,000 19,259
Nippon Meat Packers, Inc., Osaka 5,000 61,774
Nippon Mitsubishi Oil Corp. 36,100 235,445
Nippon Sheet Glass Co., Ltd. 7,000 27,351
Nippon Shinpan Co., Ltd. 6,000 29,220
Nishimatsu Construction Co., Ltd. 4,000 13,487
Nishi-Nippon Bank, Ltd. 9,298 38,197
Nissay Dowa General Insurance Co., Ltd. 5,000 25,155
Nisshin Seifun Group, Inc. 3,000 29,503
Nisshin Steel Co., Ltd. 23,000 55,982
Nisshinbo Industries, Inc. 3,000 23,017
*Nissho Iwai-Nichmen Holdings Corp. 770 2,974
Nitto Boseki Co., Ltd. 7,000 14,188
NSK, Ltd. 9,000 43,621
NTN Corp. 4,000 21,642
Obayashi Corp. 9,000 45,516
Okumura Corp. 4,000 21,544
Onward Kashiyama Co., Ltd. 2,000 24,317
PanaHome Corp. 4,000 20,889
Pioneer Electronic Corp. 1,100 18,126
*Resona Holdings, Inc. 70,000 133,142
San In Godo Bank, Ltd. 3,000 28,645
Sankyo-Tateyama Holdings, Inc. 3,000 7,504
Sanwa Shutter Corp. 3,000 16,761
Sapporo Hokuyo Holdings, Inc. 6 43,322
Seino Transportation Co., Ltd. 2,000 17,484
Sekisui Chemical Co., Ltd. 8,000 55,410
Sekisui House, Ltd. 13,000 127,282
20
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SHARES VALUE+
--------------- ---------------
Seventy-seven (77) Bank, Ltd. 9,000 $ 56,594
SFCG Co., Ltd. 180 45,739
Shiga Bank, Ltd. 4,000 24,743
Shimachu Co., Ltd. 1,200 29,843
Shinko Securities Co., Ltd. 11,000 33,242
Shiseido Co., Ltd. 7,000 84,051
Shizuoka Bank, Ltd. 6,000 51,715
Showa Shell Sekiyu KK 3,000 29,050
Sumitomo Corp. 9,000 71,880
Sumitomo Electric Industries, Ltd. 17,000 178,310
Sumitomo Forestry Co., Ltd. 3,000 26,083
Sumitomo Metal Industries, Ltd. Osaka 50,000 84,119
Sumitomo Mitsui Financial Group, Inc. 10 69,788
Sumitomo Osaka Cement Co., Ltd. 10,000 24,016
Sumitomo Trust & Banking Co., Ltd. 13,000 76,890
Taiheiyo Cement Corp. 11,600 30,040
Taisei Corp. 14,000 46,349
Taiyo Yuden Co., Ltd. 2,000 22,222
Takashimaya Co., Ltd. 3,000 25,119
Tanabe Seiyaku Co., Ltd. 4,000 41,298
Teijin, Ltd. 22,000 96,591
Toda Corp. 4,000 16,346
Tokuyama Corp. 6,000 44,263
Tokyo Broadcasting System, Inc. 3,000 50,434
Tokyo Steel Manufacturing Co., Ltd. 1,500 19,654
Tokyo Style Co., Ltd. 1,000 10,173
Tokyo Tatemono Co., Ltd. 4,000 27,634
Toppan Printing Co., Ltd. 16,000 162,627
Tostem Inax Holding Corp. 4,848 82,470
Toto, Ltd. 3,000 23,730
Toyo Seikan Kaisha, Ltd. 5,100 88,408
Toyota Auto Body Co., Ltd. 2,000 39,159
UNY Co., Ltd. 2,000 21,693
Victor Co. of Japan, Ltd. 2,000 15,633
Wacoal Corp. 2,000 26,591
Yamaguchi Bank, Ltd. 2,000 22,623
Yamaha Corp. 2,000 29,210
Yamato Kogyo Co., Ltd. 2,000 22,917
Yamazaki Baking Co., Ltd. 5,000 42,959
Yasuda Fire & Marine Insurance Co., Ltd. 8,000 80,822
Yasuda Trust & Banking Co., Ltd. 40,000 60,660
Yodogawa Steel Works, Ltd. 4,000 21,117
Yokogawa Electric Corp. 3,000 37,008
Yokohama Rubber Co., Ltd. 8,000 32,870
---------------
TOTAL COMMON STOCKS
(Cost $8,574,765) 8,977,031
---------------
INVESTMENT IN CURRENCY -- (0.1%)
*Japanese Yen
(Cost $48,367) 48,102
---------------
TOTAL -- JAPAN
(Cost $8,623,132) 9,025,133
---------------
FRANCE -- (10.7%)
COMMON STOCKS -- (10.7%)
Air France 4,757 75,711
*Alcatel SA 3,600 39,326
*Alstom SA 14,517 $ 13,227
Arcelor SA 2,700 53,688
Assurances Generales de France (AGF) 3,880 311,215
#AXA 33,108 808,121
#BNP Paribas SA 15,253 1,025,385
*Cap Gemini SA 1,927 61,475
Compagnie de Saint-Gobain 5,496 316,125
Compagnie Francaise d'Etudes et de Construction Technip SA 852 37,633
Credit Agricole SA 4,351 112,824
Dior (Christian) SA 600 43,522
*European Aeronautic Defence & Space Co. 2,159 63,820
*Gecina SA 400 48,508
Generale des Establissements Michelin SA Series B 2,000 126,332
Havas SA 4,286 25,328
Imerys SA 800 57,651
#LaFarge SA 2,048 185,324
LaFarge SA Prime Fidelity 1,786 162,855
Lagardere S.C.A. SA 550 39,161
Peugeot SA 4,558 272,790
Pinault Printemps Redoute SA 2,116 209,440
Rallye SA 400 19,865
Remy Cointreau SA 600 25,320
#Renault SA 5,526 472,767
Schneider SA 3,378 248,365
Societe BIC SA 700 37,585
Societe des Ciments de Francais 500 45,696
Societe Generale Paris 2,000 196,521
Sodexho Alliance SA 1,144 36,727
#Suez (ex Suez Lyonnaise des Eaux) 8,700 233,998
Thomson Multimedia 4,117 104,532
Unibail SA 600 76,257
Valeo SA 1,200 50,220
#Vivendi Universal SA 16,150 491,835
---------------
TOTAL COMMON STOCKS
(Cost $4,417,589) 6,129,149
---------------
RIGHTS/WARRANTS -- (0.0%)
*Air France Warrants 11/06/07 1,475 672
*Rallye SA Series B Warrants 11/30/05 400 30
---------------
TOTAL RIGHTS/WARRANTS
(Cost $3,611) 702
---------------
TOTAL -- FRANCE
(Cost $4,421,200) 6,129,851
---------------
GERMANY -- (6.9%)
COMMON STOCKS -- (6.9%)
*Aachener und Muenchener Beteiligungs AG 434 35,064
Aareal Bank AG 500 14,514
Allianz AG 937 110,323
BASF AG 9,300 617,206
Bayer AG 5,842 196,171
Bayerische Motorenwerke AG 869 37,573
*Bayerische Vereinsbank AG 9,092 223,417
Bilfinger & Berger Bau AG 600 28,483
21
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--------------- ---------------
Commerzbank AG 7,850 $ 170,492
DaimlerChrysler AG 13,658 550,637
#Deutsche Bank AG 7,652 595,318
Deutsche Lufthansa AG 4,920 62,040
E.ON AG 2,643 229,449
*Heidelberger Druckmaschinen AG 690 21,303
Heidelberger Zement AG 995 63,637
Hochtief AG 1,200 40,777
Hypo Real Estate Holding AG 1,025 40,366
*Infineon Technologies AG 7,954 70,048
*Lanxess 584 12,389
*Linde AG 1,333 90,462
MAN AG 1,000 44,361
Merck KGAA 700 54,676
Munchener Rueckversicherungs-Gesellschaft AG 2,651 289,850
Preussag AG 1,400 34,709
ThyssenKrupp AG 6,606 121,278
Volkswagen AG 3,893 171,331
---------------
TOTAL -- GERMANY
(Cost $3,445,172) 3,925,874
---------------
SWITZERLAND -- (6.8%)
COMMON STOCKS -- (6.8%)
Baloise-Holding 4,700 245,416
Banque Cantonale Vaudoise 110 24,294
Ciba Spezialitaetenchemie Holding AG 2,500 148,642
Cie Financiere Richemont AG Series A 16,000 487,122
*Clariant AG 6,900 96,718
*Converium Holding AG 1,400 10,971
Credit Swisse Group 12,888 515,573
Ems-Chemie Holding AG 350 30,393
*Fischer (Georg) AG, Schaffhausen 120 35,573
Givaudan SA 252 149,994
Helvetia Patria Holding 580 86,852
Holcim, Ltd. 3,542 215,314
Pargesa Holding SA, Geneve 50 180,192
*PSP Swiss Property AG 1,200 52,941
Rieters Holdings AG 130 35,232
Schindler Holding AG 250 89,967
Sig Holding AG 600 127,572
St. Galler Kantonalbank 260 66,200
Sulzer AG, Winterthur 170 70,699
*Swiss Life AG 1,200 158,446
Swiss Reinsurance Co., Zurich 4,500 278,561
*Syngenta AG 2,300 237,768
Unaxis Holding AG 500 70,157
*Valiant Holding AG 600 52,856
*Valora Holding AG 360 78,994
*Zurich Financial SVCS AG 1,992 330,900
---------------
TOTAL COMMON STOCKS
(Cost $3,253,723) 3,877,347
---------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs
(Cost $4,644) 4,580
---------------
TOTAL -- SWITZERLAND
(Cost $3,258,367) 3,881,927
---------------
AUSTRALIA -- (5.2%)
COMMON STOCKS -- (5.2%)
Amcor, Ltd. 15,397 $ 78,757
AMP, Ltd. 32,427 161,159
Ansell, Ltd. 2,901 20,111
AXA Asia Pacific Holdings, Ltd. 48,716 170,703
Bluescope Steel, Ltd. 15,800 95,979
Boral, Ltd. 14,642 65,505
Caltex Australia, Ltd. 5,940 67,555
Commonwealth Bank of Australia 17,134 478,640
CSR, Ltd. 16,261 30,347
Downer Group, Ltd. 7,330 29,202
Insurance Australiz Group, Ltd. 21,447 94,465
Lend Lease Corp., Ltd. 10,795 99,450
Lion Nathan, Ltd. 13,356 73,994
Mayne Group, Ltd. 19,995 69,745
Mirvac, Ltd. 15,031 37,870
National Australia Bank, Ltd. 14,254 338,330
Orica, Ltd. 3,849 45,661
Origin Energy, Ltd. 6,097 32,841
Paperlinx, Ltd. 7,150 12,499
Publishing and Broadcasting, Ltd. 9,155 105,133
Quantas Airways, Ltd. 54,928 133,238
Rinker Group, Ltd. 16,261 150,982
#Rio Tinto, Ltd. 10,456 334,520
Santos, Ltd. 11,860 90,085
Seven Network, Ltd. 4,748 25,529
WMC Resources, Ltd. 23,297 135,711
---------------
TOTAL COMMON STOCKS
(Cost $1,804,155) 2,978,011
---------------
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar
(Cost $178) 172
---------------
TOTAL -- AUSTRALIA
(Cost $1,804,333) 2,978,183
---------------
SPAIN -- (4.6%)
COMMON STOCKS -- (4.6%)
Acciona SA 679 62,301
Acerinox SA 10,000 144,318
Actividades de Construccion y Servicios SA 10,917 290,054
Arcelor SA 2,132 42,252
Banco de Sabadell SA 3,672 96,309
Banco Pastor SA 1,200 44,795
Banco Santander Central Hispanoamerica SA 66,955 764,858
Cementos Portland SA 334 22,933
Corporacion Mapfre Compania Internacional de Reaseguros SA 4,300 62,664
Ebro Puleva SA 1,846 33,207
Endesa SA, Madrid 17,283 376,148
Iberia Lineas Aereas de Espana SA 10,900 34,455
Inmobiliaria Urbis SA 2,296 38,962
Repsol SA 21,824 545,759
*Sociedad General de Aguas de Barcelona SA 17 342
Sociedad General de Aguas de Barcelona SA Class A 1,768 35,609
22
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SHARES VALUE+
--------------- ---------------
Sol Melia SA 3,325 $ 34,899
---------------
TOTAL -- SPAIN
(Cost $1,767,538) 2,629,865
---------------
NETHERLANDS -- (4.4%)
COMMON STOCKS -- (4.4%)
ABN AMRO Holding NV 1,851 42,987
Aegon NV 33,144 424,358
Buhrmann NV 2,295 21,032
DSM NV 1,763 118,014
*Hagemeyer NV 10,343 24,572
Hunter Douglas NV 723 37,386
ING Groep NV 29,391 813,227
*Koninklijke Ahold NV 26,332 198,770
Koninklijke KPN NV 17,293 137,520
Koninklijke Philips Electronics NV 17,613 450,525
Nutreco Holding NV 713 22,958
Oce NV 1,832 26,543
Vedior NV 2,800 39,770
*Versatel Telecom International NV 9,750 23,405
VNU NV 5,488 149,289
---------------
TOTAL COMMON STOCKS
(Cost $1,972,836) 2,530,356
---------------
RIGHTS/WARRANTS -- (0.0%)
*Nutreco Holding NV Coupons 06/07/05
(Cost $0) 713 0
---------------
TOTAL -- NETHERLANDS
(Cost $1,972,836) 2,530,356
---------------
HONG KONG -- (3.1%)
COMMON STOCKS -- (3.1%)
Cheung Kong Holdings, Ltd. 33,000 300,144
China Unicom, Ltd. 50,000 40,092
Great Eagle Holdings, Ltd. 8,040 18,304
Hang Lung Development Co., Ltd. 41,000 69,930
Henderson Land Development Co., Ltd. 13,000 59,130
Hong Kong and Shanghai Hotels, Ltd. 18,633 19,463
Hopewell Holdings, Ltd. 14,000 34,576
Hutchison Whampoa, Ltd. 46,000 399,184
Hysan Development Co., Ltd. 19,736 39,704
I-Cable Communications, Ltd. 5,245 1,835
Kerry Properties, Ltd. 14,939 32,687
MTR Corp., Ltd. 24,500 45,079
New World Development Co., Ltd. 128,124 133,670
Shangri-La Asia, Ltd. 53,287 80,451
Sino Land Co., Ltd. 48,736 49,907
Sung Hungkai Properties, Ltd. 16,000 152,273
Tsim Sha Tsui Properties, Ltd. 12,000 20,739
Wharf Holdings, Ltd. 52,457 171,076
Wheelock and Co., Ltd. 69,000 99,378
---------------
TOTAL COMMON STOCKS
(Cost $1,691,540) 1,767,622
---------------
INVESTMENT IN CURRENCY -- (0.0%)
*Hong Kong Dollars
(Cost $15,816) 15,825
---------------
TOTAL -- HONG KONG
(Cost $1,707,356) 1,783,447
---------------
ITALY -- (2.9%)
COMMON STOCKS -- (2.9%)
*Alitalia Linee Aeree Italiane SpA Series A 20,000 $ 6,358
Banca Antoniana Popolare Veneta SpA 1,441 46,004
#Banca Monte Dei Paschi di Siena SpA 46,521 167,065
#*Banca Nazionale del Lavoro SpA 58,953 198,723
Banca Popolare di Lodi Scarl 7,110 69,346
Banca Popolare di Milano 7,333 74,294
Benetton Group SpA 2,904 26,352
Caltagirone Editore SpA 2,375 21,208
Capitalia SpA 43,125 225,313
CIR SpA (Cie Industriale Riunite), Torino 15,000 41,457
Compagnia Assicuratrice Unipol SpA 11,570 45,824
*Edison SpA 42,867 97,117
*Fiat SpA 14,800 99,719
Immsi SpA 3,500 6,715
Intesabci SpA 31,021 144,878
Italcementi SpA 5,200 80,303
Milano Assicurazioni SpA 6,000 34,110
Pirelli & Co. SpA 53,332 58,859
SAI SpA (Sta Assicuratrice Industriale), Torino 2,059 53,664
San Paolo-IMI SpA 7,244 100,613
*Seat Pagine Gialle SpA 47,508 19,307
*Sirti SpA 867 2,012
*SNIA SpA 3,536 1,229
*Sorin SpA 5,304 15,877
---------------
TOTAL COMMON STOCKS
(Cost $1,434,710) 1,636,347
---------------
RIGHTS/WARRANTS -- (0.0%)
*Fiat SpA Warrants 01/31/07
(Cost $0) 990 232
---------------
TOTAL -- ITALY
(Cost $1,434,710) 1,636,579
---------------
FINLAND -- (2.7%)
COMMON STOCKS -- (2.7%)
Fortum Oyj 42,280 640,457
Huhtamaki Van Leer Oyj 5,200 78,956
Kemira GrowHow Oyj 807 6,252
Kemira Oyj 3,800 50,584
Kesko Oyj 4,800 115,048
Metso Oyj 2,997 60,003
M-Real Oyj Series B 6,800 36,706
*Neste Oil Oyj 10,570 236,077
Outokumpu Oyj Series A 5,000 68,962
Stora Enso Oyj Series R 6,600 86,718
Upm-Kymmene Oyj 5,600 108,273
Wartsila Corp. Oyj Series B 2,100 63,177
---------------
TOTAL -- FINLAND
(Cost $701,397) 1,551,213
---------------
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SWEDEN -- (2.5%)
COMMON STOCKS -- (2.4%)
Atlas Copco AB Series A 3,600 $ 54,904
*Atlas Copco AB Series A Redeemable Shares 1,200 3,225
Billerud AB 3,432 41,472
Electrolux AB Series B 3,100 67,766
Gambro AB Series A 2,500 33,158
Holmen AB Series B 2,300 61,858
Nordic Baltic Holdings AB 22,500 205,718
Skandinaviska Enskilda Banken Series A 4,700 80,852
*SKF AB Redeemable Shares Series B 1,900 6,358
SKF AB Series B 7,600 77,639
SSAB Swedish Steel Series A 1,200 29,172
Svenska Cellulosa AB Series B 2,900 98,728
Tele2 AB 3,600 34,390
*Tele2 AB Series B Redemption Shares 1,200 1,605
Telia AB 49,500 244,975
Trelleborg AB Series B 1,400 21,750
Volvo AB Series A 2,400 94,810
Volvo AB Series B 5,100 208,506
---------------
TOTAL COMMON STOCKS
(Cost $1,027,720) 1,366,886
---------------
INVESTMENT IN CURRENCY -- (0.1%)
*Swedish Krona
(Cost $32,234) 31,817
---------------
RIGHTS/WARRANTS -- (0.0%)
*SSAB Svenskt AB Redemption Rights 05/23/05
(Cost $0) 1,200 581
---------------
TOTAL -- SWEDEN
(Cost $1,059,954) 1,399,284
---------------
BELGIUM -- (1.7%)
COMMON STOCKS -- (1.7%)
Bekaert SA 1,000 74,134
Cofinimmo SA 220 34,939
*Cumerio 630 8,683
*Cumerio VVPR 30 1
Delhaize Freres & cie le Lion SA Molenbeek-Saint Jean 3,186 188,011
Dexia SA 3,231 70,103
Fortis AG 11,183 304,216
Groupe Bruxelles Lambert 1,600 136,091
Interbrew SA 756 24,983
KBC Bancassurance Holding SA 461 37,372
Suez (ex Suez Lyonnaise des Eaux) 2,500 67,300
*Umicore-Strip VVPR 30 4
Union Miniere SA 630 49,486
---------------
TOTAL -- BELGIUM
(Cost $747,956) 995,323
---------------
IRELAND -- (1.4%)
COMMON STOCKS -- (1.4%)
Allied Irish Banks P.L.C. 7,144 148,230
Bank of Ireland P.L.C. 7,118 108,062
CRH P.L.C. 11,713 $ 295,718
*Elan Corp. P.L.C. 12,964 98,976
Independent News & Media P.L.C. 14,713 45,236
Irish Permanent P.L.C. 5,651 93,985
---------------
TOTAL -- IRELAND
(Cost $654,190) 790,207
---------------
DENMARK -- (1.3%)
COMMON STOCKS -- (1.3%)
Codan A.S. 450 22,016
Danisco A.S. 870 59,903
Danske Bank A.S. 9,200 264,002
*Jyske Bank A.S. 3,000 114,611
Nordea AB 14,330 130,923
Tele Danmark A.S. 3,300 145,496
---------------
TOTAL -- DENMARK
(Cost $389,533) 736,951
---------------
NORWAY -- (1.1%)
COMMON STOCKS -- (1.1%)
*Aker Kvaerner OGEP ASA 990 37,409
Aker Yards ASA 610 22,353
Den Norske Bank ASA Series A 5,000 48,361
Norsk Hydro ASA 4,260 345,262
Norske Skogindustrier ASA Series A 4,700 72,183
Storebrand ASA 12,400 103,168
---------------
TOTAL -- NORWAY
(Cost $565,614) 628,736
---------------
SINGAPORE -- (0.6%)
COMMON STOCKS -- (0.6%)
DBS Group Holdings, Ltd. 4,000 33,307
Fraser & Neave, Ltd. 8,100 76,172
Neptune Orient Lines, Ltd. 23,000 46,003
Singapore Airlines, Ltd. 8,000 55,032
Singapore Land, Ltd. 9,000 28,002
United Industrial Corp., Ltd. 43,000 26,535
United Overseas Bank, Ltd. 4,000 34,279
United Overseas Land, Ltd. 12,000 15,797
---------------
TOTAL COMMON STOCKS
(Cost $284,055) 315,127
---------------
INVESTMENT IN CURRENCY -- (0.0%)
*Singapore Dollars
(Cost $311) 310
---------------
TOTAL -- SINGAPORE
(Cost $284,366) 315,437
---------------
GREECE -- (0.4%)
COMMON STOCKS -- (0.4%)
*Commercial Bank of Greece 1,600 49,014
EFG Eurobank Ergasias S.A. 2,500 77,019
Hellenic Petroleum S.A. 4,900 47,114
Hellenic Telecommunication Organization Co. S.A. 3,520 62,712
---------------
TOTAL -- GREECE
(Cost $147,349) 235,859
---------------
24
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PORTUGAL -- (0.4%)
COMMON STOCKS -- (0.4%)
Banco Comercial Portugues SA 10,787 $ 27,913
Banco Espirito Santo e Comercial de Lisboa 4,800 75,353
BPI SGPS SA 16,311 61,708
Portugal Telecom SA 4,794 49,153
---------------
TOTAL -- PORTUGAL
(Cost $177,682) 214,127
---------------
AUSTRIA -- (0.3%)
COMMON STOCKS -- (0.3%)
Bank Austria Creditanstalt AG 548 53,891
Voestalpine AG 726 48,947
Wienerberger AG 1,109 49,148
---------------
TOTAL -- AUSTRIA
(Cost $93,446) 151,986
---------------
EMU -- (0.2%)
INVESTMENT IN CURRENCY -- (0.2%)
*Euro Currency
TOTAL -- EMU
(Cost $112,805) 110,552
---------------
NEW ZEALAND -- (0.2%)
COMMON STOCKS -- (0.2%)
Air New Zealand, Ltd. 19,338 19,828
Carter Holt Harvey, Ltd. 32,625 40,978
Fletcher Building, Ltd. 8,419 36,946
---------------
TOTAL -- NEW ZEALAND
(Cost $97,072) 97,752
---------------
FACE
AMOUNT
---------------
(000)
TEMPORARY CASH INVESTMENTS -- (8.7%)
^Repurchase Agreement, Deutsche Bank Securities 2.96%, 06/01/05
(Collateralized by $4,426,338 U.S. TIPS 1.875%, 07/15/13, valued at
$4,777,872) to be repurchased at $4,684,188 (Cost $4,683,803) $ 4,684 4,683,803
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $260,000 FNMA Notes 2.95%, 11/14/07, valued at
$259,675) to be repurchased at $255,020 (Cost $255,000) 255 255,000
---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $4,938,803) 4,938,803
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $46,311,226) $ 57,010,586
===============
----------
+ Securities have been fair valued. See Note B to Financial Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
25
VA INTERNATIONAL SMALL PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
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SHARES VALUE+
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JAPAN -- (29.4%)
COMMON STOCKS -- (29.3%)
Achilles Corp. 6,000 $ 10,879
Aderans Co., Ltd. 2,400 55,571
Advan Co., Ltd. 2,000 26,076
Aica Kogyo Co., Ltd. 3,000 34,330
Aichi Bank, Ltd. 300 28,276
Aichi Tokei Denki Co., Ltd. 3,000 9,195
Air Water, Inc. 4,000 29,954
*Akai Electric Co., Ltd. 9,000 83
Akebono Brake Industry Co., Ltd. 4,000 22,436
Akita Bank, Ltd. 7,000 31,654
Alpine Electronics, Inc. 2,900 41,281
Amano Corp. 3,000 31,149
Anritsu Corp. 5,000 30,043
AOC Holdings, Inc. 3,100 43,266
Aomori Bank, Ltd. 6,000 23,528
*Arai-Gumi, Ltd. 600 1,174
Ariake Japan Co., Ltd. 900 21,214
Asahi Denka Kogyo KK 3,000 30,814
Asahi Diamond Industrial Co., Ltd. 5,000 31,277
Asahi Kogyosha Co., Ltd. 3,000 11,229
Asahi Organic Chemicals Industry Co., Ltd. 3,000 10,146
Ashimori Industry Co., Ltd. 3,000 7,241
Asics Corp. 14,000 61,995
*Azel Corp., Tokyo 2,000 3,536
Bando Chemical Industries, Ltd. 5,000 21,340
Bank of Saga, Ltd. 6,000 22,274
Belluna Co., Ltd. 700 20,184
#Best Denki Co., Ltd. 5,000 19,239
BSL Corp. 9,000 17,096
Canon Electronics, Inc. 1,000 26,360
Canon Finetech, Inc. 2,000 37,825
Capcom Co., Ltd. 2,000 18,735
*Cecile Co., Ltd. 2,400 21,368
Central Finance Co., Ltd. 4,000 17,370
*Chiba Kogyo Bank, Ltd. 800 6,441
Chiyoda Co., Ltd. 1,700 27,722
*Chori Co., Ltd. 5,000 9,964
*Chugai Mining Co., Ltd. 5,000 3,118
Chukyo Bank, Ltd. 7,000 23,397
CKD Corp. 2,000 14,221
*Clarion Co., Ltd. 10,000 17,032
Cleanup Corp. 2,000 19,296
CMK Corp. 3,000 47,872
Coca-Cola Central Japan Co., Ltd. 3 25,104
*Columbia Music Entertainment, Inc. 3,000 2,999
Cosel Co., Ltd. 800 21,301
Cosmo Securities Co., Ltd. 23,000 42,099
Culture Convenience Club Co., Ltd. 1,700 29,992
Daibiru Corp. 4,000 29,445
Dai-Dan Co., Ltd. 3,000 17,377
*Daiei, Inc. 2,100 36,292
Daifuku Co., Ltd. 5,000 41,699
Daihen Corp. 11,000 28,672
Daiken Corp. 9,000 $ 38,272
*Daikyo, Inc. 14,000 28,313
Dainichiseika Colour & Chemicals Manufacturing Co., Ltd. 4,000 20,545
Daisan Bank, Ltd. 7,000 24,929
Daiwa Kosho Lease Co., Ltd. 8,000 40,724
Daiwabo Co., Ltd. 8,000 12,315
Denki Kogyo Co., Ltd. 3,000 17,076
Densei-Lambda KK 1,000 12,849
Denyo Co., Ltd. 2,000 17,216
Edion Corp. 3,737 44,550
Ehime Bank, Ltd. 6,000 20,180
Eighteenth Bank, Ltd. 6,000 28,267
Exedy Corp. 4,000 65,924
Fancl Corp. 900 33,098
*FDK Corp. 7,000 11,270
France Bed Holdings Co., Ltd. 13,000 30,496
Fuji Co.,Ltd 1,500 26,530
*Fuji Kosan Co., Ltd. 6,000 9,566
Fuji Kyuko Co., Ltd. 5,000 17,891
*Fuji Spinning Co., Ltd., Tokyo 4,000 4,687
Fujicco Co., Ltd. 2,000 29,502
*Fujiko Co., Ltd. 4,000 0
Fujirebio, Inc. 2,500 49,139
Fujita Kanko, Inc. 12,000 52,996
Fujitsu Business Systems, Ltd. 2,000 29,389
Fujitsu Fronttec, Ltd. 2,000 20,493
Fujiya Co., Ltd. 10,000 21,321
*Furukawa Battery Co., Ltd. 3,000 7,200
*Furukawa Co., Ltd. 18,000 21,768
Fuso Pharmaceutical Industries, Ltd. 5,000 17,327
Gakken Co., Ltd. 3,000 8,371
Godo Steel, Ltd. 6,000 18,603
Hanshin Sogo Bank, Ltd. 21,000 41,665
Hanwa Co., Ltd. 10,000 33,197
Heiwado Co., Ltd. 4,000 60,965
Hitachi Koki Co., Ltd. 8,000 74,562
Hitachi Kokusai Electric, Inc. 4,320 37,783
Hitachi Medical Corp. 2,000 26,318
Hitachi Plant Engineering & Construction Co., Ltd. 6,000 28,967
Hitachi Transport System, Ltd. 3,000 24,987
*Hitachi Zosen Corp. 34,500 44,648
Hogy Medical Co., Ltd. 1,100 46,857
Hokkaido Coca-Cola Bottling Co., Ltd. 3,000 21,138
Hokkaido Gas Co., Ltd. 4,000 11,482
Hokuetsu Paper Mills, Ltd. 7,000 38,067
Hokuriku Electric Industry Co., Ltd. 4,000 9,665
Hokuto Corp. 1,000 18,269
Homac Corp. 3,000 29,863
Horiba, Ltd. 2,000 40,276
Hosiden Corp. 2,400 24,719
*Howa Machinery, Ltd. 5,000 6,130
Ichikoh Industries, Ltd. 4,000 9,918
Iino Kaiun Kaisha, Ltd. 9,000 41,403
Inaba Denki Sangyo Co., Ltd. 1,000 27,840
26
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Inabata and Co., Ltd., Osaka 4,000 $ 32,861
Inageya Co., Ltd. 2,000 17,946
Ines Corp. 3,600 29,952
Iseki & Co., Ltd. 14,000 35,727
Ishihara Sangyo Kaisha, Ltd. 24,000 52,557
Itochu Enex Co., Ltd. 4,000 26,779
Itochu Shokuh Co., Ltd. 900 34,441
Itoki Crebio Corp. 3,000 16,716
Iwasaki Electric Co., Ltd. 4,000 15,394
Iwatani International Corp. 11,000 28,436
Iwatsu Electric Co., Ltd. 3,000 6,562
Izumiya Co., Ltd. 7,000 46,143
Japan Cash Machine Co., Ltd. 1,700 37,774
Japan Digital Laboratory Co., Ltd. 2,300 27,934
Japan Medical Dynamic Marketing, Inc. 770 8,440
Japan Pulp and Paper Co., Ltd. 5,000 16,397
Japan Steel Works, Ltd. 21,000 42,413
*Japan Storage Battery Co., Ltd. 24,000 48,904
Japan Transcity Corp. 3,000 11,562
Japan Vilene Co., Ltd. 3,000 16,885
Japan Wool Textile Co., Ltd. 6,000 40,168
Jeol, Ltd. 5,000 27,461
*JFE Shoji Holdings, Inc. 8,000 27,710
Joshin Denki Co., Ltd. 2,000 8,353
Juki Corp. 7,000 27,552
Kagawa Bank, Ltd. 3,000 17,011
Kagome Co., Ltd. 4,000 41,612
#Kaken Pharmaceutical Co., Ltd. 7,000 45,762
Kanagawa Chuo Kotsu Co., Ltd. 4,000 19,884
*Kanebo, Ltd. 2,000 5,559
*Kanematsu Corp. 10,500 13,544
*Kanematsu-NNK Corp. 3,000 5,479
Kanto Auto Works, Ltd., Yokosuka 4,900 57,548
Kanto Denka Kogyo Co., Ltd. 4,000 13,845
Kanto Natural Gas Development Co., Ltd. 4,000 25,443
Kawada Industries, Inc. 2,000 4,961
*Kawai Musical Instruments Manufacturing Co., Ltd. 5,000 10,734
Kayaba Industry Co., Ltd. 16,000 53,563
*Keiyo Co., Ltd. 2,000 7,648
Kenwood Corp. 10,000 18,850
Kibun Food Chemifa Co., Ltd. 1,000 23,606
Kinki Coca-Cola Bottling Co., Ltd. 3,000 31,683
Kita-Nippon Bank, Ltd. 400 18,921
Kitz Corp. 4,000 18,607
Kiyo Bank, Ltd. 26,000 48,953
*Kokusai Kogyo Co., Ltd. 2,000 6,394
Konami Sports Corp. 1,900 30,341
Kosei Securities Co., Ltd. 4,000 7,719
Kurabo Industries, Ltd. 13,000 31,376
Kureha Chemical Industry Co., Ltd. 12,000 48,796
Kurimoto, Ltd. 11,000 30,899
Kuroda Electric Co., Ltd. 1,200 28,935
Kyodo Printing Co., Ltd. 9,000 38,786
Kyodo Shiryo Co., Ltd. 5,000 9,072
*Kyushu-Shinwa Holdings, Inc. 10,000 15,137
Life Corp. 2,000 24,709
Maeda Corp. 6,000 33,100
Maeda Road Construction Co., Ltd. 10,000 70,264
Makino Milling Machine Co., Ltd. 4,000 $ 23,681
Mars Engineering Corp. 700 18,552
Marudai Food Co., Ltd. 5,000 13,667
Maruetsu, Inc. 9,000 41,794
Maruha Group, Inc. 18,000 45,639
Marusan Securities Co., Ltd. 6,000 37,767
Maruyama Manufacturing Co., Inc. 3,000 24,677
*Maruzen Co., Ltd. 4,000 7,103
*Matsuo Bridge Co., Ltd. 3,000 5,698
Matsuzakaya Co., Ltd. 9,000 41,714
Max Co., Ltd. 2,000 23,487
Meidensha Corp. 14,000 32,858
Meito Sangyo Co., Ltd. 2,000 34,069
Melco Holdings, Inc. 1,400 31,898
Mercian Corp. 10,000 28,000
Michinoku Bank, Ltd. 5,000 23,190
Mikuni Coca-Cola Bottling Co., Ltd. 3,000 28,717
Ministop Co., Ltd. 1,500 28,158
*Misawa Homes Holdings, Inc. 1,600 56,669
*Mitsubishi Cable Industries, Ltd. 14,000 16,171
#Mitsubishi Paper Mills, Ltd. 13,000 17,402
Mitsubishi Plastics, Inc. 16,000 43,269
Mitsubishi Shindoh Co., Ltd. 3,000 7,001
Mitsubishi Steel Manufacturing Co., Ltd. 5,000 10,011
Mitsuboshi Belting, Ltd. 8,000 46,655
Mitsui Home Co., Ltd. 4,000 19,462
*Mitsui Mining Co., Ltd. 2,500 7,036
Mitsui-Soko Co., Ltd. 10,000 33,858
Mitsumi Electric Co., Ltd. 3,000 31,753
Mitsuuroko Co., Ltd. 3,000 20,714
Miura Co., Ltd. 2,000 39,991
Miyazaki Bank, Ltd. 6,000 24,904
Mizuno Corp. 9,000 40,528
*Momiji Holdings, Inc. 14 31,234
Mori Seiki Co., Ltd. 5,800 59,969
Morinaga & Co., Ltd. 16,000 40,986
MOS Food Services, Inc. 2,000 29,240
Nabtesco Corp. 5,000 31,684
Nachi-Fujikoshi Corp. 13,000 44,120
Nagano Bank, Ltd. 6,000 18,469
Nakamuraya Co., Ltd. 3,000 11,054
Nakayama Steel Works, Ltd. 5,000 19,578
NEC Infrontia Corp. 3,000 10,914
NEC Tokin Corp. 2,000 12,169
Nichias Corp. 4,000 16,141
Nichiha Corp. 4,000 58,387
Nichimo Co., Ltd. 5,000 13,300
Nichireki Co., Ltd. 2,000 7,651
Nichiro Corp. 5,000 9,579
Nifco, Inc. 2,000 31,349
Nikkiso Co., Ltd. 4,000 23,787
Nippon Beet Sugar Manufacturing Co., Ltd. 5,000 11,091
Nippon Carbon Co., Ltd. 5,000 8,825
Nippon Chemical Industrial Co., Ltd. 2,000 6,245
Nippon Chemi-Con Corp. 5,000 31,173
Nippon Concrete Industries Co., Ltd. 3,000 9,730
Nippon Densetsu Kogyo Co., Ltd. 2,000 11,865
Nippon Flour Mills Co., Ltd. 17,000 77,201
*#Nippon Kasei Chemical Co., Ltd. 5,000 12,252
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Nippon Konpo Unyu Soko Co., Ltd. 2,000 $ 21,061
#Nippon Seiki Co., Ltd. 4,000 51,035
Nippon Shinyaku Co., Ltd. 3,000 24,036
Nippon Signal Co., Ltd. 3,000 17,413
Nippon Soda Co., Ltd. 8,000 25,756
Nippon Suisan Kaisha, Ltd. 18,000 68,307
Nippon Synthetic Chemical Industry Co., Ltd. 3,000 8,044
Nippon System Development Co., Ltd. 1,200 22,607
Nippon Thompson Co., Ltd. 3,000 21,373
Nippon Unipac Holding, Tokyo 1 3,265
Nissha Printing Co., Ltd. 3,000 46,216
Nisshin Fire & Marine Insurance Co., Ltd. 19,000 70,617
*#Nissho Iwai-Nichmen Holdings Corp. 7,700 29,735
Nissin Kogyo Co., Ltd. 1,000 37,853
Nittetsu Mining Co., Ltd. 3,000 12,063
Nitto Boseki Co., Ltd. 18,000 36,485
Nitto Electric Works, Ltd. 3,000 34,115
NOF Corp. 7,000 25,985
Noritake Co., Ltd. 8,000 33,159
Noritz Corp. 2,600 40,848
Odakyu Real Estate Co., Ltd. 4,000 10,748
Oita Bank, Ltd. 5,000 32,350
Okamoto Industries, Inc. 9,000 32,563
Okamura Corp. 3,000 21,008
Okinawa Electric Power Co., Ltd. 525 24,676
Okuma Corp. 7,000 39,754
Okuwa Co., Ltd. 3,000 33,981
Olympic Corp. 1,800 20,012
Organo Corp. 4,000 18,300
Osaka Steel Co., Ltd. 2,100 25,898
Pacific Metals Co., Ltd. 7,000 29,310
Paramount Bed Co., Ltd. 1,700 40,151
Parco Co., Ltd. 2,000 12,585
*Pasco Corp. 1,000 2,502
*Penta-Ocean Construction Co., Ltd. 36,000 52,459
Pentax Corp. 5,000 16,633
*Prima Meat Packers, Ltd. 5,000 6,970
Raito Kogyo Co., Ltd. 2,400 9,199
Rasa Industries, Ltd. 3,000 9,544
Resorttrust, Inc. 700 17,683
Rheon Automatic Machinery Co., Ltd. 2,000 6,766
Ricoh Leasing Co., Ltd. 1,000 23,433
Right On Co., Ltd. 900 32,597
Riken Corp. 7,000 34,289
Riken Technos Corp. 5,000 19,634
Riken Vitamin Co., Ltd. 2,000 54,978
Rohto Pharmaceutical Co., Ltd. 2,000 24,650
Roland Corp. 2,000 34,136
Ryobi, Ltd. 11,000 47,850
Ryosan Co., Ltd. 1,500 36,589
Ryoyo Electro Corp. 2,000 32,442
Sagami Co., Ltd. 3,000 11,463
Saibu Gas Co., Ltd. 12,000 24,526
Saizeriya Co., Ltd. 1,700 20,262
Sakata INX Corp. 3,000 15,654
Sakata Seed Corp. 2,000 26,474
Sanden Corp. 7,000 28,940
Sanki Engineering Co., Ltd. 5,000 35,451
Sankyo-Tateyama Holdings, Inc. 16,000 40,020
Sankyu, Inc., Tokyo 20,000 $ 56,218
*Sanrio Co., Ltd. 2,100 20,960
*Sansui Electric Co., Ltd. 28,000 5,396
Sanyo Chemical Industries, Ltd. 7,000 50,623
Sanyo Electric Credit Co., Ltd. 2,400 49,002
Sanyo Shokai, Ltd. 4,000 21,281
Sanyo Special Steel Co., Ltd. 7,000 21,710
*Sasebo Heavy Industries Co., Ltd., Tokyo 7,000 13,653
Sato Corp. 2,100 46,020
Seiko Corp. 3,307 17,806
Senshukai Co., Ltd. 3,000 25,577
Shikoku Chemicals Corp. 3,000 12,484
Shimizu Bank, Ltd. 400 19,927
Shindengen Electric Manufacturing Co., Ltd. 3,000 9,878
Shin-Etsu Polymer Co., Ltd. 5,000 37,430
Shinki Co., Ltd. 3,000 27,197
Shinko Electric Co., Ltd. 6,000 16,623
Shinmaywa Industries, Ltd. 5,000 24,776
*Sho-Bond Corp. 2,000 15,527
Shochiku Co., Ltd. 4,000 25,136
Showa Electric Wire & Cable Co., Ltd., Kawasaki 12,000 14,951
Showa Sangyo Co., Ltd. 10,000 28,384
Sinanen Co., Ltd. 3,000 15,405
SMK Corp. 5,000 22,985
*Snow Brand Milk Products Co., Ltd. 6,500 18,502
Sorun Corp. 2,000 12,615
SS Pharmaceutical Co., Ltd., Tokyo 8,000 54,401
Starzen Corp. 4,000 12,293
Sumitomo Light Metal Industries, Ltd. 11,000 17,930
*Sumitomo Mitsui Construction Co., Ltd. 6,600 5,259
Sumitomo Precision Products Co., Ltd., Amagasaki City 2,000 7,743
Sumitomo Titanium Corp. 300 39,269
#Sumitomo Warehouse Co., Ltd. 9,000 46,033
Sun Wave Corp. 2,000 6,212
*SXL Corp. 3,000 3,713
T.Hasegawa Co., Ltd. 1,600 25,984
Tabai Espec Corp. 2,000 20,896
Tadano, Ltd. 6,000 30,434
Taisei Rotec Corp. 3,000 6,053
Taito Corp. 25 35,564
Takamatsu Corp. 800 24,447
Takaoka Electric Manufacturing Co., Ltd., Tokyo 4,000 7,905
*#Takara Co., Ltd. 3,700 11,712
Takasago International Corp. 3,000 14,186
Takasago Thermal Engineering Co., Ltd. 6,000 42,294
Takashima & Co., Ltd. 4,000 9,944
Takiron Co., Ltd. 3,000 13,147
Takuma Co., Ltd. 6,000 41,612
Tamura Corp. 4,000 15,308
Tasaki Shinju Co., Ltd. 2,000 8,211
*#TC Properties Co., Ltd. 42,000 0
TCM Corp. 5,000 11,559
*Teac Corp. 5,000 7,275
28
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SHARES VALUE+
--------------- ---------------
Teikoku Hormone Manufacturing Co., Ltd. 2,000 $ 19,250
Tenma Corp. 2,000 37,964
The Nisshin Oillio Group, Ltd. 10,000 56,471
Toa Corp. 12,000 22,550
Toa Doro Kogyo Co., Ltd. 3,000 9,613
*Toabo Corp. 6,000 6,302
Toagosei Co., Ltd. 26,000 106,327
Tochigi Bank, Ltd. 7,000 43,078
Toei Co., Ltd. 14,000 68,458
Toenec Corp. 3,000 12,662
Toho Bank, Ltd. 6,000 24,574
Toho Real Estate Co., Ltd. 4,000 17,998
Toho Titanium Co., Ltd. 1,000 36,957
Toho Zinc Co., Ltd. 4,000 9,649
Tohoku Pioneer Corp. 2,000 25,348
Tokai Carbon Co., Ltd. 12,000 50,684
Tokai Tokyo Securities Co., Ltd. 14,000 41,227
Toko, Inc. 8,000 21,763
Tokushima Bank, Ltd. 7,000 58,769
Tokushu Paper Manufacturing Co., Ltd. 3,000 14,158
Tokyo Dome Corp. 5,000 27,202
Tokyo Kikai Seisakusho, Ltd. 6,000 16,777
Tokyo Leasing Co., Ltd. 4,200 59,134
Tokyo Rope Manufacturing Co., Ltd. 4,000 7,215
#Tokyo Tekko Co., Ltd. 3,000 9,501
Tokyo Theatres Co., Inc., Tokyo 6,000 12,713
Tokyo Tomin Bank, Ltd. 3,700 93,499
Tokyu Store Chain Corp. 4,000 18,851
Tonami Transportation Co., Ltd. 3,000 10,165
Topcon Corp. 2,000 31,603
Topy Industries, Ltd. 16,000 53,083
Torii Pharmaceutical Co., Ltd. 2,000 42,540
Toshiba Machine Co., Ltd. 6,000 32,673
Toshiba Plant Kensetsu Co., Ltd. 4,000 17,371
*Totoku Electric Co., Ltd., Tokyo 3,000 6,090
Touei Housing Corp. 900 19,357
*Toyama Chemicals Co., Ltd. 7,000 24,225
*Toyo Communication Equipment Co., Ltd. 4,000 16,222
Toyo Corp. 3,000 35,069
Toyo Electric Co., Ltd. 5,000 19,229
Toyo Engineering Corp. 11,000 29,990
Toyo Kohan Co., Ltd. 3,000 13,983
#Toyo Radiator Co., Ltd. 5,000 22,398
Toyo Tire & Rubber Co., Ltd. 8,000 32,183
Trans Cosmos, Inc. 1,500 51,168
Trusco Nakayama Corp. 2,300 42,400
Tsubaki Nakashima Co., Ltd. 5,000 61,482
Tsubakimoto Chain Co. 9,000 40,578
Tsukishima Kikai Co., Ltd. 3,000 25,257
Tsumura & Co. 3,000 52,323
Tsurumi Manufacturing Co., Ltd. 2,000 17,122
Tsutsumi Jewelry Co., Ltd. 2,000 53,187
Unitika, Ltd. 33,000 39,300
Wakachiku Construction Co., Ltd. 4,000 7,772
Xebio Co., Ltd. 800 22,492
Yamagata Bank, Ltd. 11,000 52,258
Yamaichi Electronics Co., Ltd. 1,600 19,527
Yamatake Corp. 5,000 82,497
Yamato Kogyo Co., Ltd. 6,000 $ 68,752
Yodogawa Steel Works, Ltd. 9,000 47,514
Yokohama Reito Co., Ltd. 3,000 23,020
Yomiuri Land Co., Ltd. 3,000 17,124
Yondenko Corp. 2,100 11,580
Yonekyu Corp. 2,000 22,979
Yoshimoto Kogyo Co., Ltd. 2,000 33,303
Yurtec Corp. 4,000 22,037
Zenrin Co., Ltd. 3,000 44,859
Zuken, Inc. 2,000 19,174
---------------
TOTAL COMMON STOCKS
(Cost $9,734,573) 10,828,084
---------------
INVESTMENT IN CURRENCY -- (0.1%)
*Japanese Yen
(Cost $21,568) 21,450
---------------
RIGHTS/WARRANTS -- (0.0%)
*BSL Corp. Rights 06/10/05 900 0
*Kanematsu Corp. Warrants 03/31/06 525 0
---------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 0
---------------
TOTAL -- JAPAN
(Cost $9,756,141) 10,849,534
---------------
UNITED KINGDOM -- (20.0%)
COMMON STOCKS -- (19.7%)
Abbot Group P.L.C. 7,000 27,797
Aberdeen Asset Management P.L.C. 13,438 28,673
*Acambis P.L.C. 3,063 12,097
Aegis Group P.L.C. 25,390 45,024
AGA Food Service Group P.L.C. 5,765 31,950
Aggreko P.L.C. 10,000 35,240
Alba P.L.C. 1,765 14,438
*Anite Group P.L.C. 7,470 8,566
Arena Leisure P.L.C. 8,000 5,646
Arla Foods UK P.L.C. 17,677 20,528
Arm Holdings P.L.C. 23,000 45,266
Arriva P.L.C. 4,870 47,099
*Ashtead Group P.L.C. 11,464 18,598
Atkins (WS) P.L.C. 4,015 50,121
*Autonomy Corp. P.L.C. 4,802 21,853
Avis Europe P.L.C. 13,658 16,379
Aviva P.L.C. 2,074 23,204
Babcock International Group P.L.C. 10,808 29,227
Balfour Beatty P.L.C. 9,360 54,927
Belhaven Brewery Group P.L.C. 2,168 19,060
Bellway P.L.C. 4,000 61,925
Bespak P.L.C. 1,360 12,531
*Biocompatibles International P.L.C. 1,050 3,680
Blacks Leisure Group P.L.C. 2,366 18,155
Body Shop International P.L.C. 8,000 31,998
Bodycote International P.L.C. 10,262 30,939
Bovis Homes Group P.L.C. 5,000 62,154
BPP Holdings P.L.C. 2,800 17,584
*Bradstock Group P.L.C. 840 672
Brammer P.L.C. 1,933 5,395
Britannic P.L.C. 9,041 83,911
British Polythene Industries P.L.C. 2,000 13,514
British Vita P.L.C. 6,900 44,796
29
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SHARES VALUE+
--------------- ---------------
Brixton P.L.C. 6,000 $ 40,128
Brown (N) Group P.L.C. 9,990 24,376
BSS Group P.L.C. 1,469 30,382
*BTG P.L. 8,348 21,346
*Cambridge Antibody Technology Group P.L.C. 1,746 19,343
Capital & Regional P.L.C. 2,587 36,636
Capital Radio P.L.C. 5,709 30,933
Care UK P.L.C. 2,594 19,875
Carillion P.L.C. 6,204 27,796
Carpetright P.L.C. 4,000 62,881
*Charter P.L.C. 8,148 40,030
Chemring Group P.L.C. 2,294 19,725
Chesnara P.L.C. 3,500 8,396
Chrysalis Group P.L.C. 5,000 13,335
City Restaurant Group P.L.C. 9,500 22,678
Close Brothers Group P.L.C. 2,580 34,232
Collins Stewart Tullett P.L.C. 2,626 20,134
*Colt Telecom Group P.L.C. 40,792 38,521
Communisis P.L.C. 4,553 8,755
Computacenter P.L.C. 7,985 35,951
*Cookson Group P.L.C. 6,400 37,795
Countrywide P.L.C. 7,000 34,010
*Courts P.L.C. 2,320 569
Cox Insurance Holdings P.L.C. 16,333 27,474
Cranswick P.L.C. 1,948 21,146
Crest Nicholson P.L.C 3,560 24,744
Croda International P.L.C. 4,000 27,370
Daejan Holdings P.L.C. 472 23,902
Dairy Crest Group P.L.C. 6,206 53,818
*Dana Petroleum P.L.C. 3,699 34,543
*Danka Business Systems P.L.C. 7,000 2,236
Davis Service Group P.L.C. 5,666 45,632
Dawson Holdings P.L.C. 6,455 16,930
De La Rue P.L.C. 8,387 57,650
De Vere Group P.L.C. 3,571 34,620
Delta P.L.C. 6,000 12,948
Derwent Valley Holdings P.L.C. 2,000 41,732
Development Securities P.L.C. 1,186 10,202
Devro P.L.C. 8,000 17,756
Dicom Group P.L.C. 1,206 19,618
*Dimension Data Holdings P.L.C. 53,000 31,400
Diploma P.L.C. 1,500 18,499
Domestic & General Group P.L.C. 1,796 24,133
Domino Printing Sciences P.L.C. 6,574 28,493
*Easyjet P.L.C. 7,991 32,731
*Elementis P.L.C. 13,000 11,129
*Enodis P.L.C. 11,200 22,374
Euromoney Institutional Investors P.L.C. 3,960 29,923
Expro International Group P.L.C. 2,391 17,380
Filtronic P.L.C. 3,555 12,757
Findel P.L.C. 3,443 29,549
First Choice Holidays P.L.C. 16,491 54,175
First Technology P.L.C. 3,768 19,809
FKI P.L.C. 26,756 46,952
Forth Ports P.L.C. 2,265 54,443
Freeport P.L.C. 1,304 9,884
French Connection Group P.L.C. 2,765 13,888
Future Network P.L.C. 13,448 21,134
Game Group P.L.C. 17,436 25,568
Games Workshop Group P.L.C. 493 $ 3,669
Geest P.L.C. 3,432 41,222
Go-Ahead Group P.L.C. 2,000 49,045
Grainger Trust P.L.C. 3,595 26,000
Great Portland Estates P.L.C. 5,520 36,138
Greene King P.L.C. 3,589 80,364
Greggs P.L.C. 640 54,909
Guiness Peat Group P.L.C. 48,045 61,081
*Gyrus Group P.L.C. 4,115 19,591
Halma P.L.C. 18,397 48,765
Hardys & Hansons P.L.C. 1,640 19,194
Headlam Group P.L.C. 3,793 28,241
Helical Bar P.L.C. 823 19,873
Helphire Group P.L.C. 5,799 22,545
*Heywood Williams Group P.L.C. 5,000 8,460
Hiscox P.L.C. 11,700 35,667
Holidaybreak P.L.C. 2,376 27,547
Homeserve P.L.C. 3,150 53,088
House of Fraser P.L.C. 8,000 14,381
Hunting P.L.C. 5,163 21,977
Huntleigh Technology P.L.C. 2,894 18,686
Huntsworth P.L.C. 8,396 3,025
Intertek Group P.L.C. 4,000 54,887
Intserve P.L.C. 9,249 60,017
*Invensys P.L.C. 141,375 28,938
Isoft Group P.L.C. 6,502 47,360
Jardine Lloyd Thompson Group P.L.C. 6,949 44,133
JJB Sports P.L.C. 12,000 39,540
JKX Oil and Gas P.L.C. 6,993 17,506
Johnson Service Group P.L.C. 2,872 24,307
Kier Group P.L.C. 1,776 29,022
Kiln P.L.C. 11,852 19,287
Kingston Communications P.L.C. 5,793 7,121
Laing (John) P.L.C. 6,013 26,884
Laird Group P.L.C. 6,800 38,364
*Lastminute.com P.L.C. 16,815 50,509
*London Clubs International P.L.C. 10,500 23,700
London Merchant Securities P.L.C. 16,445 68,509
London Scottish Bank P.L.C. 9,849 19,955
Low & Bonar P.L.C. 5,000 10,131
Luminar P.L.C. 2,561 24,036
*Macfarlane Group P.L.C. 6,000 3,674
Manchester United P.L.C. 12,980 70,165
Marshalls P.L.C. 5,652 29,894
Matalan P.L.C. 13,000 43,546
McAlpine (Alfred) P.L.C. 4,577 29,671
McBride P.L.C. 6,500 17,860
McCarthy & Stone P.L.C. 4,000 41,427
*Melrose Resources P.L.C. 4,114 18,324
Menzies (John) P.L.C. 3,000 30,251
Mersey Docks & Harbour Co. P.L.C. 3,580 62,719
MFI Furniture Group P.L.C. 31,043 60,326
Michael Page International P.L.C. 21,322 73,090
Millennium and Copthorne Hotels P.L.C. 7,144 46,209
Minerva P.L.C. 5,000 23,487
Mitie Group P.L.C. 8,969 26,023
*Molins P.L.C. 1,360 3,456
*Morgan Crucible Company P.L.C. 10,153 33,320
Mothercare P.L.C. 3,573 18,298
Mouchel Parkman P.L.C. 5,135 22,356
30
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SHARES VALUE+
--------------- ---------------
Mowlem (John) & Co. P.L.C. 9,138 $ 29,870
Mucklow (A & J) Group P.L.C. 1,478 9,625
National Express Group P.L.C. 2,000 31,545
Nestor Healthcare Group P.L.C. 3,700 9,319
Northern Foods P.L.C. 16,000 45,606
*Northgate Information Solutions P.L.C. 22,083 27,861
Northgate P.L.C. 2,070 33,582
*NXT P.L.C. 3,360 4,169
Paladin Resources P.L.C. 10,902 36,806
Parity Group P.L.C. 11,250 1,577
Pendragon P.L.C. 3,803 20,400
Pennon Group P.L.C. 2,365 43,339
Photo-Me International P.L.C. 11,000 17,943
PHS Group P.L.C. 20,000 35,381
Pilkington P.L.C. 1,455 3,063
Pillar Property P.L.C. 3,280 49,795
Premier Farnell P.L.C. 10,889 32,103
*Premier Oil P.L.C. 4,000 42,742
*Primback Units 3,000 0
Psion P.L.C. 18,000 20,049
PZ Cuzzons P.L.C. 797 18,989
Raven Mount P.L.C. 13,000 14,790
Redrow P.L.C. 11,802 85,523
Reg Vardy P.L.C. 2,009 17,947
*Regent Inns P.L.C. 4,883 6,832
Renishaw P.L.C. 2,904 36,400
RM P.L.C. 5,970 19,504
Rotork P.L.C. 4,858 43,794
RPC Group P.L.C. 4,083 18,817
RPS Group P.L.C. 9,770 26,357
Salvesen (Christian) P.L.C. 12,000 12,765
Savills P.L.C. 2,754 34,088
Scapa Group P.L.C. 6,600 2,994
Senior P.L.C. 12,000 8,781
Serco Group P.L.C. 11,001 50,359
Shaftesbury P.L.C. 5,000 33,382
Shanks & McEwan Group P.L.C. 8,000 19,777
SIG P.L.C. 4,300 44,939
Singer & Friedlander Group P.L.C. 6,844 38,791
*Skyepharma P.L.C. 24,000 23,521
SMG P.L.C. 10,000 16,544
Smith (DS) Holdings P.L.C. 19,364 54,243
Smith (WH) P.L.C. 10,824 70,377
*Soco International P.L.C. 3,613 32,143
Somerfield P.L.C. 30,098 107,909
Spectris P.L.C. 5,378 48,322
Spirax-Sarco Engineering P.L.C. 2,000 25,779
*Spirent P.L.C. 42,716 35,955
SSL International P.L.C. 8,710 44,185
St. Ives P.L.C. 3,000 19,661
St. Modwen Properties P.L.C. 23,000 174,121
Stanley Leisure P.L.C. 4,178 41,384
*Surfcontrol P.L.C. 2,188 20,225
T&F Informa Group P.L.C. 9,100 67,394
Taylor Nelson AGB P.L.C. 6,000 23,424
*The Innovation Group P.L.C. 32,039 19,368
The Peacock Group P.L.C. 5,571 24,086
*Thus Group P.L.C. 53,000 13,490
Topps Tiles P.L.C. 7,700 26,593
Transport Development Group P.L.C. 4,126 16,228
TT Electronics P.L.C. 6,965 20,879
Tullow Oil P.L.C. 10,957 $ 33,299
U.K. Coal P.L.C. 7,301 16,597
Ultra Electronics Holdings P.L.C. 1,924 27,781
Uniq P.L.C. 7,440 20,310
Unite Group P.L.C. 5,545 28,652
*Vernalis P.L.C. 1,916 2,320
Victrex P.L.C. 3,288 26,041
Viridian Group P.L.C. 3,000 40,421
Vitec Group P.L.C. 2,000 10,931
VT Group P.L.C. 7,300 45,132
Weir Group P.L.C. 10,306 57,926
Wembley P.L.C. 1,429 20,115
Westbury P.L.C. 5,170 43,617
Wetherspoon (J.D.) P.L.C. 7,000 35,291
Whatman P.L.C. 6,385 30,133
Wincanton P.L.C. 5,790 26,634
*Wolfson Microelectronics P.L.C. 7,866 22,257
Wolverhampton & Dudley Breweries P.L.C. 3,644 73,385
Wood Group (John) P.L.C. 24,689 65,756
Woolworths Group P.L.C. 71,508 45,478
Workspace Group P.L.C. 8,430 36,323
WSP Group P.L.C. 4,191 20,003
XAAR P.L.C. 5,056 19,622
XANSA P.L.C. 18,423 30,787
Yule Catto & Co. P.L.C. 6,673 29,521
---------------
TOTAL COMMON STOCKS
(Cost $6,110,573) 7,292,853
---------------
INVESTMENT IN CURRENCY -- (0.3%)
*British Pound Sterling
(Cost $111,743) 111,099
---------------
TOTAL -- UNITED KINGDOM
(Cost $6,222,316) 7,403,952
---------------
AUSTRALIA -- (6.8%)
COMMON STOCKS -- (6.8%)
ABB Grain, Ltd. 4,855 21,619
ABC Learning Centres, Ltd. 1,012 4,043
Adelaide Bank, Ltd. 6,259 51,402
Adelaide Brighton, Ltd. 18,856 24,607
Adsteam Marine, Ltd. 22,129 33,235
Arrow Pharmaceuticals, Ltd. 27,475 53,898
*Austar United Communications, Ltd. 80,355 53,370
Austereo Group, Ltd. 21,665 28,581
*Australian Magnesium Corp., Ltd. 8,556 64
Australian Pharmaceutical Industries, Ltd. 11,702 25,619
Australian Pipeline Trust 13,387 36,853
*Australian Wealth Management, Ltd. 37,606 27,268
Bank of Queensland, Ltd. 8,203 68,151
BayCorp Advantage, Ltd. 20,300 44,820
Bendigo Bank, Ltd. 4,756 34,769
Cabcharge Austalia, Ltd. 13,000 44,294
Centennial Coal, Ltd. 8,613 32,696
*Chemeq, Ltd. 5,304 4,745
*Climax Mining, Ltd. 2,546 162
*Clough, Ltd. 14,720 5,493
Coates Hire, Ltd. 20,244 63,723
Cochlear, Ltd. 1,678 40,854
Corporate Express Australia, Ltd. 5,746 23,433
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Crane Group, Ltd. 5,445 $ 32,785
DCA Group, Ltd. 26,763 70,200
Downer Group, Ltd. 23,218 92,497
Envestra, Ltd. 33,400 28,471
Futuris Corp., Ltd. 31,411 40,030
GasNet Australia Group 10,600 19,663
Graincorp, Ltd. Series A 3,700 31,807
#Great Southern Plantations, Ltd. 12,990 34,748
GUD Holdings, Ltd. 3,179 16,294
Gunns, Ltd. 23,536 68,503
GWA International, Ltd. 13,074 28,335
*Hardman Resources NL 22,630 31,004
Hills Industries, Ltd. 23,793 73,946
Iluka Resources, Ltd. 16,296 75,517
Incitec Pivot, Ltd. 3,943 46,893
ION, Ltd. 19,918 0
Jones (David), Ltd. 37,253 50,561
MacArthur Coal, Ltd. 8,111 42,181
Macquarie Goodman Group 14,278 43,137
McGuigan Simeon Wines, Ltd. 9,639 28,365
Miller's Retail, Ltd. 24,501 14,593
Minara Resources, Ltd. 16,026 22,649
*Novogen, Ltd. 884 3,521
Nufarm, Ltd. 11,772 78,323
*Oxiana, Ltd. 55,648 36,019
Pacific Group, Ltd. 9,528 10,887
*Petsec Energy, Ltd. 4,391 3,659
*PMP, Ltd. 17,571 16,495
Primary Health Care, Ltd. 5,491 34,120
Ramsay Health Care, Ltd. 11,400 68,991
Reece Australia, Ltd. 4,332 39,313
*Resolute Mining, Ltd. 2,027 1,374
Ridley Corp., Ltd. 43,890 44,611
Rural Press, Ltd. 5,574 42,846
Salmat, Ltd. 7,085 25,353
*Scigen 16,313 615
SFE Corp., Ltd. 6,232 47,365
Sigma Co., Ltd. 4,386 27,129
Sims Group, Ltd. 6,376 64,877
*Sons of Gwalia, Ltd. 6,721 0
Southern Cross Broadcasting (Australia), Ltd. 5,775 53,105
Spotless Group, Ltd. 10,288 37,996
STW Communications Group, Ltd. 14,807 31,057
Thakral Holdings Group 87,685 51,629
Timbercorp, Ltd. 28,195 40,724
Transfield Services, Ltd. 8,307 44,094
United Group, Ltd. 5,101 32,498
*Village Roadshow, Ltd. 11,681 22,480
Worley Group, Ltd. 7,845 41,638
---------------
TOTAL COMMON STOCKS
(Cost $1,972,784) 2,516,597
---------------
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar
(Cost $3,620) 3,575
---------------
TOTAL -- AUSTRALIA
(Cost $1,976,404) 2,520,172
---------------
SWITZERLAND -- (4.9%)
COMMON STOCKS -- (4.8%)
*Actelion, Ltd. 800 $ 81,071
Agie Charmilles Holding AG 200 16,093
Bank Sarasin & Cie Series B, Basel 10 16,829
Banque Privee Edmond de Rothschild SA, Geneve 2 25,406
*Barry Callebaut AG 200 53,030
*Berna Biotech 1,303 9,537
Bobst Group SA 800 31,547
Caisse d'Epargne Cantonale Vaudoise, Lausanne 50 44,528
*Clariant AG 1,900 26,632
*Converium Holding AG 7,300 57,205
Conzzeta Holdings AG 27 30,244
*Emmi AG 111 10,172
Ems-Chemie Holding AG 300 26,051
Energiedienst Holding AG 100 32,440
*Fischer (Georg) AG, Schaffhausen 100 29,644
*Forbo Holding AG, Eglisau 51 9,722
Galenica Holding, Ltd. AG, Bern 122 20,088
Generali (Switzerland) Holdings, Adliswil 80 20,207
Kaba Holding AG 90 24,187
Kudelski SA 1,700 59,840
*Kuoni Reisen Holding AG 120 47,596
*Leica Geosystems Holdings AG 90 26,853
*Logitech International SA 1,200 71,461
Luzerner Kantonalbank AG 200 38,440
*Micronas Semi 800 29,971
*Moevenpick-Holding, Zuerich 40 9,317
OZ Holding AG 200 11,767
Phoenix Mecano AG, Stein am Rhein 50 12,262
Phonak Holding AG 3,000 109,995
*PSP Swiss Property AG 1,947 85,897
Publicitas Holding SA, Lausanne 70 20,402
Rieters Holdings AG 100 27,102
SAIA-Burgess Electronics AG 37 20,603
*Sarna Kunststoff Holding AG 150 15,188
*Saurer AG 500 28,484
Schweizerische National Versicherungs Gesellschaft 30 15,120
Sig Holding AG 1,100 233,882
*Sika Finanz AG, Baar 90 56,534
Sulzer AG, Winterthur 160 66,540
*Swiss Prime Site AG 375 17,949
Unaxis Holding AG 600 84,189
*Valiant Holding AG 400 35,238
*Valora Holding AG 100 21,943
*Von Roll Holding AG, Gerlafingen 2,718 4,793
Vontobel Holdings AG 2,200 47,563
---------------
TOTAL COMMON STOCKS
(Cost $1,417,484) 1,763,562
---------------
INVESTMENT IN CURRENCY -- (0.1%)
*Swiss Francs
(Cost $40,110) 39,726
---------------
TOTAL -- SWITZERLAND
(Cost $1,457,594) 1,803,288
---------------
32
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SHARES VALUE+
--------------- ---------------
FRANCE -- (4.7%)
COMMON STOCKS -- (4.7%)
*Altran Technologies SA 3,544 $ 31,368
April Group SA 1,900 63,623
Beneteau SA 400 30,953
Boiron SA 1,200 29,346
Bongrain SA 339 20,887
*Bricorama SA 121 7,651
Carbone Lorraine 488 22,226
*CBo Territoria 887 3,165
Cie Financiere Pour La Location
D'Immeubles Industriels &
Commerciaux SA 157 9,725
Clarins SA 666 40,945
*Club Mediterranee SA 600 28,781
*CS Communication et Systemes 321 11,071
Damartex SA 300 11,204
*DMC (Dollfus Mieg et Cie) 600 3,256
Electricite de Strasbourg 300 39,883
Elior 4,894 57,611
*Euro Disney SCA 25,300 3,115
Fimalac SA 1,182 54,129
Gaumont 411 28,270
*Generale de Geophysique SA 556 45,796
GFI Informatique SA 1,729 10,296
Groupe Bourbon SA 887 54,419
Groupe Steria 502 18,349
Guyenne et Gascogne SA 300 36,437
Iliad SA 2,500 88,184
*#Infogrames Entertainment SA 4,330 6,751
Lisi SA 500 30,607
Manitou SA 1,600 59,143
*Metaleurop SA 1,500 997
Neopost SA 600 53,566
Nexans 508 18,733
Norbert Dentressangle 600 31,625
NRJ Group 2,200 45,287
Pierre & Vacances 106 10,714
Plastic Omnium SA 372 9,791
Provimi SA 469 10,021
Remy Cointreau SA 1,495 63,088
*Rhodia SA 3,263 5,470
Rodriguez Group SA 600 29,279
*Scor SA 34,348 70,382
SEB SA Prime Fidelite 2002 330 33,898
SILIC (Societe Immobiliere de Location pour L'industrie et le Commerce) 640 58,965
Skis Rossignol SA 648 15,098
Societe du Louvre SA 700 101,624
Somfy Interational SA 300 60,719
Sopra SA 500 26,122
SR Teleperformance 1,656 48,783
Taittinger SA 94 35,986
Vallourec (Usines a Tubes de Lorraine Escaut et Vallourec Reunies) 400 92,623
Zodiac SA 1,053 51,178
---------------
TOTAL -- FRANCE
(Cost $1,219,567) 1,721,140
---------------
GERMANY -- (4.2%)
COMMON STOCKS -- (4.2%)
Aareal Bank AG 1,300 $ 37,736
Andreae-Noris Zahn AG, Anzag 580 24,961
*Articon Integralis AG 400 1,479
Ava Allgemeine Handelsgesellschaft der Verbraucher AG 700 39,637
*AWD Holding AG 1,300 51,226
*Baader Wertpapier Handelsbank AG 1,100 6,073
Beate Uhse AG 1,700 16,260
Bilfinger & Berger Bau AG 2,000 94,943
Comdirect Bank AG 2,500 19,405
#DAB Bank AG 3,800 27,078
Deutsche Euroshop AG 373 19,606
*Deutz AG 4,400 20,229
Douglas Holding AG 900 30,545
*Duerr Beteiligungs AG 500 8,561
*Epcos AG 1,600 20,483
Feilmann AG 700 46,049
GFK AG 1,560 57,525
*Gildemeister AG 2,400 16,114
Harpen AG 1,250 32,913
*IVG Immobilien AG 4,500 81,751
Iwka AG 1,166 27,648
*Jenoptik AG 939 10,103
K & S Aktiengesellschaft AG 2,000 106,795
*Kontron AG 1,249 9,952
KWS Kleinwanzlebener Saatzucht AG 15 12,824
Leoni AG 328 25,310
Mobilcom AG 1,478 32,382
MVV Energie AG 2,000 39,862
*MWG Biotech AG 1,000 490
Paragon AG 1,157 22,592
*Pfleiderer AG 2,100 33,072
Rheinmetall Berlin AG 990 50,224
Rhoen Klinikum AG 600 39,580
Salzgitter AG 3,100 72,531
Schwarz Pharma AG 2,400 105,137
*Senator Entertainment AG 140 245
*SGL Carbon AG 1,609 18,954
*Singulus Technologies AG 700 8,456
Sixt AG 900 17,787
Software AG 756 28,920
Stada Arzneimittel AG 1,067 32,905
*Strabag AG 166 10,157
Stuttgarter Hofbraeu AG 1,000 34,209
Sued-Chemie AG 200 8,446
Takkt AG 3,000 27,660
*Techem AG 557 22,792
United Internet AG 2,000 51,795
Vossloh AG 800 38,000
*WCM Beteiligungs AG 11,166 6,042
---------------
TOTAL -- GERMANY
(Cost $1,221,461) 1,547,444
---------------
HONG KONG -- (3.8%)
COMMON STOCKS -- (3.8%)
ALCO Holdings, Ltd. 68,000 26,380
Allied Group, Ltd. 27,600 38,227
Allied Properties, Ltd. 21,300 13,042
Asia Aluminum Holdings, Ltd. 186,000 20,512
33
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Asia Financial Holdings, Ltd. 54,874 $ 14,432
Asia Standard International Group, Ltd. 116,666 5,081
Associated International Hotels, Ltd. 48,000 45,570
Cafe de Coral Holdings, Ltd. 78,000 89,166
*Century City International Holdings, Ltd. 394,000 5,431
Champion Technology Holdings, Ltd. 22,057 3,365
Chaoda Modern Agriculture (Holdings), Ltd. 168,000 69,484
Chen Hsong Holdings, Ltd. 72,000 41,355
*China Aerospace International Holdings, Ltd. 46,800 2,518
*China Everbright Technology, Ltd. 206,000 8,188
China Hong-Kong Photo Products Holdings, Ltd. 90,000 8,459
*China Insurance International Holdings Co., Ltd. 40,000 14,627
China Motor Bus Co., Ltd. 1,600 12,939
China Online (Bermuda), Ltd. 20,720 3,348
*China Pharmaceutical Enterprise and Investment Corp., Ltd. 112,000 23,007
China Resources Land, Ltd. 202,000 32,349
City Telecom (H.K.), Ltd. 30,000 3,069
CNPC (Hong Kong), Ltd. 140,000 20,463
Continental Mariner Investment Co., Ltd. 60,000 10,004
Cross Harbour Tunnel Co., Ltd. 30,658 29,547
*Digital China Holdings, Ltd. 83,000 24,763
*DigitalHongKong.com 329 11
Dynamic Holdings, Ltd. 92,000 14,116
*Founder Holdings, Ltd. 122,000 7,661
Fountain Set Holdings, Ltd. 28,000 15,077
Four Seas Frozen Food Holdings, Ltd. 22,620 3,311
Four Seas Mercantile Holdings, Ltd. 60,000 20,822
Giordano International, Ltd. 66,000 43,220
*Global China Group Holdings, Ltd. 244,000 11,907
Gold Peak Industries (Holdings), Ltd. 81,250 16,374
Goldlion Holdings, Ltd. 37,000 4,740
Grande Holdings, Ltd. 28,000 26,422
*Great Wall Cybertech, Ltd. 713,200 917
Guangdong Brewery Holdings, Ltd. 168,000 57,086
GZI Transport, Ltd. 68,000 22,033
Hang Ten Group Holdings, Ltd. 93 13
Harbour Centre Development, Ltd. 9,000 14,951
Hengan International Group Co., Ltd. 96,000 62,244
*Hertigage International Holdings, Ltd. 11 0
*Hong Kong Construction Holdings, Ltd. 27,000 1,835
*Interchina Holdings Co., Ltd. 280,000 3,554
*Lai Sun Development Co., Ltd. 86,000 1,323
Liu Chong Hing Bank, Ltd. 31,000 45,319
Liu Chong Hing Investment, Ltd. 18,000 16,850
Miramar Hotel & Investment Co., Ltd. 20,000 30,039
Moulin International Holdings, Ltd. 21,998 14,278
Ngai Lik Industrial Holdings, Ltd. 94,000 25,307
Oriental Press Group, Ltd. 74,000 23,492
Pacific Century Insurance Holdings, Ltd. 50,000 19,553
Pacific Century Premium Developments, Ltd. 60,000 18,234
*QPL International Holdings, Ltd. 23,000 $ 2,711
Road King Infrastructure, Ltd. 28,000 19,956
SA SA International Holdings, Ltd. 46,000 21,256
SCMP Group, Ltd. 122,000 52,841
Sea Holdings, Ltd. 38,000 15,120
Shell Electric Manufacturing (Holdings) Co., Ltd. 3,725 688
*Shougang Concord International Enterprises Co., Ltd. 90,000 6,446
Silver Grant International Industries, Ltd. 40,000 18,830
Sun Hung Kai & Co., Ltd. 59,000 15,590
Tai Cheung Holdings, Ltd. 25,000 13,051
TCL International Holdings, Ltd. 144,000 25,837
Varitronix International, Ltd. 20,009 18,217
Wheelock Properties, Ltd. 124,000 63,609
Wing On Co. International, Ltd. 18,000 25,423
---------------
TOTAL COMMON STOCKS
(Cost $1,509,083) 1,385,590
---------------
INVESTMENT IN CURRENCY -- (0.0%)
*Hong Kong Dollars
(Cost $1,565) 1,568
---------------
TOTAL -- HONG KONG
(Cost $1,510,648) 1,387,158
---------------
ITALY -- (2.8%)
COMMON STOCKS -- (2.8%)
Acea SpA 6,000 67,698
Aem Torino SpA 10,500 25,797
*Alitalia Linee Aeree Italiane SpA Series A 120,000 38,148
Banca Intermobiliare di Investimenti e Gestoni SpA 5,000 40,289
Banco di Desio e della Brianza SpA 5,000 40,590
Banco Piccolo Valellinese Scarl SpA 3,375 51,008
Beni Stabili SpA, Roma 40,000 38,414
Caltagirone Editore SpA 3,000 26,789
Caltagirone SpA 3,250 25,507
CIR SpA (Cie Industriale Riunite), Torino 17,000 46,985
*Cirio Finanziaria SpA 45,000 9,635
Class Editore SpA 3,000 6,287
Credito Emiliano SpA 7,080 79,797
De Longhi SpA 8,000 29,494
Erg SpA 5,000 77,471
Gewiss SpA 6,000 36,328
Gruppo Editoriale L'espresso SpA 3,896 22,259
*Immobiliare Lombardia SpA 7,400 2,048
Impregilo SpA 1,900 15,209
Merloni Elettrodomestici SpA 2,500 31,127
Milano Assicurazioni SpA 11,000 62,534
Pirelli & C.Real Estate SpA 1,000 52,894
Premafin Finanziaria SpA Holding di Partecipazioni, Roma 21,959 42,517
Recordati SpA 4,000 27,294
*SNIA SpA 5,304 1,843
Societe Cattolica di Assicurazoni Scarl SpA 990 43,308
*Sorin SpA 7,956 23,816
34
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*STA Metallurgica Italiana SpA 15,500 $ 12,419
Vianini Lavori SpA 5,720 48,940
---------------
TOTAL -- ITALY
(Cost $650,361) 1,026,445
---------------
SWEDEN -- (2.7%)
COMMON STOCKS -- (2.7%)
Addtech AB Series B 2,500 21,825
Axfood AB 1,800 44,779
Bergman & Beving AB Series B 2,500 28,096
Bilia AB Series A 2,975 50,417
Billerud AB 2,100 25,376
*Boliden AB 5,500 22,501
*Capio AB 2,700 42,549
Carbo AB 2,400 58,485
Castellum AB 1,500 57,835
D. Carnegie & Co. AB 2,150 22,085
*Elekta AB 800 30,206
Eniro AB 5,400 61,478
Haldex AB 1,680 29,732
Hoganas AB Series B 1,300 34,273
Invik and Co. AB Series B 7,350 59,989
Kungsleden AB 1,400 34,744
Lagercrantz Group AB Series B 2,500 6,269
Lindex AB 700 31,133
*Lundin Petroleum AB 6,500 46,951
*Modern Times Group AB Series B 1,700 52,430
Nibe Industrier AB 100 2,691
Nobia AB 1,700 27,177
Observer AB 2,880 11,630
*OMHEX AB 5,300 63,953
Rottneros Bruk AB 11,700 10,953
*Scribona AB Series A 1,500 2,928
*Telelogic AB 9,000 20,334
Tietoenator Corp. AB 1,015 31,136
Trelleborg AB Series B 3,600 55,928
WM-Data AB Series B 8,800 22,923
---------------
TOTAL COMMON STOCKS
(Cost $710,579) 1,010,806
---------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swedish Krona
(Cost $2,873) 2,806
---------------
TOTAL -- SWEDEN
(Cost $713,452) 1,013,612
---------------
SINGAPORE -- (2.6%)
COMMON STOCKS -- (2.6%)
Amtek Engineering, Ltd. 18,750 10,002
Ascott Group, Ltd. 204,000 59,206
Bukit Sembawang Estates, Ltd. 1,000 7,970
Cerebos Pacific, Ltd. 15,000 28,030
CH Offshore, Ltd. 17,400 3,642
*China Aviation Oil (Singapore) Corp., Ltd. 127,680 73,921
Chuan Hup Holdings, Ltd. 87,000 38,614
Fu Yu Manufacturing, Ltd. 78,750 23,774
GK Goh Holdings, Ltd. 17,000 9,328
Guocoland, Ltd. 42,900 34,701
Hong Leong Asia, Ltd. 46,000 26,323
Hotel Plaza, Ltd. 25,000 $ 13,424
Hotel Properties, Ltd. 32,000 24,171
Hwa Hong Corp., Ltd. 85,000 29,595
*Interra Resources, Ltd. 480 56
Jurong Technologies Industrial Corp., Ltd. 55,000 52,923
K1 Ventures, Ltd. 120,000 19,031
Keppel Telecommunications and Transportation, Ltd. 72,000 37,368
Kim Eng Holdings, Ltd. 65,000 48,725
Labroy Marine, Ltd. 100,000 44,261
MCL Land, Ltd. 48,000 35,372
Metro Holdings, Ltd. 83,000 25,109
*Orchard Parade Holdings, Ltd. 11,239 2,522
Robinson & Co., Ltd. 9,600 33,983
SBS Transit, Ltd. 23,000 29,930
Singapore Food Industries, Ltd. 71,000 42,543
Straits Trading Co., Ltd. 61,200 82,892
*Tuan Sing Holdings, Ltd. 44,000 2,495
UOB-Kay Hian Holdings, Ltd. 107,000 59,922
WBL Corp., Ltd. 22,000 40,608
---------------
TOTAL -- COMMON STOCKS
(Cost $745,692) 940,441
---------------
INVESTMENT IN CURRENCY -- (0.0%)
*Singapore Dollars
(Cost $3,720) 3,709
---------------
TOTAL -- SINGAPORE
(Cost $749,412) 944,150
---------------
FINLAND -- (2.5%)
COMMON STOCKS -- (2.5%)
Amer-Yhtymae Oyj Series A 3,300 56,085
Elcoteq Network Oyj 500 9,810
Finnair Oyj 3,800 32,389
Finnlines Oyj 1,800 30,748
Huhtamaki Van Leer Oyj 4,350 66,049
KCI Konecranes International Oyj 600 24,508
Kemira GrowHow Oyj 977 7,569
Kemira Oyj 4,600 61,233
Kesko Oyj 2,400 57,524
Nokian Renkaat Oyj 3,900 69,591
Okobank Class A 3,200 51,050
Pohjola Group P.L.C. Series D 6,600 83,773
Raisio Group P.L.C. Series V 4,000 10,731
Rautaruukki Oyj Series K 6,200 87,342
*Stonesoft Corp. 2,191 1,807
Uponor Oyj Series A 3,000 55,646
Viking Line AB 400 12,084
Wartsila Corp. Oyj Series B 3,900 117,329
Yit-Yhtymae Oyj 2,600 83,974
---------------
TOTAL -- FINLAND
(Cost $461,940) 919,242
---------------
NETHERLANDS -- (2.4%)
COMMON STOCKS -- (2.4%)
Aalberts Industries NV 569 25,048
AFC Ajax NV 864 9,991
AM NV 1,364 14,279
*ASM International NV 1,000 14,596
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Athlon Groep NV 411 $ 10,146
Boskalis Westminster NV 1,282 46,538
Buhrmann NV 4,178 38,289
*Draka Holding NV 762 10,147
Eriks Group NV 272 10,234
*Fox Kids Europe NV 783 12,904
Getronics NV 20,370 33,313
Grolsche NV 800 23,246
*Hagemeyer NV 12,600 29,935
Heijmans NV 496 21,188
Imtech NV 1,285 42,352
Kas Bank NV 488 9,401
*Kendrion NV 1,337 2,400
Koninklijke Bam NV 502 31,676
Koninklijke Frans Maas Groep NV 810 27,429
Koninklijke Nedlloyd NV 1,315 90,239
Koninklijke Ten Cate NV 114 9,593
Koninklijke Vopak NV 1,141 26,117
*Laurus NV 4,820 16,342
Nutreco Holding NV 1,308 42,117
NV Holdingsmij de Telegraaf 1,000 21,482
Oce NV 2,356 34,135
Opg Groep NV Series A 453 28,928
*Semiconductor Industries NV 1,100 5,535
Sligro Food Group NV 462 19,910
Stork NV 900 35,739
Twentsche Kabel Holding NV 677 29,476
United Services Group NV 815 24,125
Univar NV 550 16,570
Van Der Mollen Holding NV 995 5,016
*Versatel Telecom International NV 19,200 46,090
Wegener Arcade NV 1,631 20,269
---------------
TOTAL COMMON STOCKS
(Cost $812,040) 884,795
---------------
RIGHTS/WARRANTS -- (0.0%)
*Boskalis Westminster NV Coupons 06/02/05 1,282 0
*Eriks Group NV Coupons 06/01/05 136 0
*Nutreco Holding NV Coupons 06/07/05 1,308 0
---------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 0
---------------
TOTAL -- NETHERLANDS
(Cost $812,040) 884,795
---------------
DENMARK -- (1.7%)
COMMON STOCKS -- (1.7%)
*Alm. Brand A.S. 778 26,778
Bang & Olufsen Holding A.S. Series B 450 28,943
Coloplast A.S. 1,616 91,043
DFDS A.S., Copenhagen 384 23,399
DSV, De Sammensluttede Vognmaend A.S. 450 34,900
FLS Industries Series B 1,240 23,065
GN Great Nordic A.S. 5,000 57,428
*Jyske Bank A.S. 2,220 84,813
Koebenhavns Lufthavne 290 64,178
NKT Holding A.S. 960 37,347
*SAS Danmark A.S. 1,739 15,697
Sydbank A.S. 1,600 $ 33,192
*Topdanmark A.S. 1,450 104,114
Treka A.S. 700 18,195
---------------
TOTAL -- DENMARK
(Cost $323,264) 643,092
---------------
GREECE -- (1.7%)
COMMON STOCKS -- (1.7%)
Aktor Technical Co. S.A 6,480 25,626
Athens Water Supply & Sewage Co. S.A. 4,400 30,820
Attica Holdings S.A. 7,500 26,533
Babis Vovos S.A. 2,600 44,087
Bank of Attica S.A. 6,400 37,205
Egnatia Bank S.A. 2,980 9,893
Germanos S.A. 1,900 59,486
Hellenic Duty Free Shops S.A. 3,700 61,054
Hellenic Technodomiki S.A. 4,560 23,781
Heracles General Cement Co. 5,400 59,114
Hyatt Regency S.A. 4,700 54,048
Iaso S.A. 2,560 9,410
Intracom S.A. 5,500 28,231
J&P-Avax S.A. 5,200 24,294
Kego S.A. 4,390 5,885
*Lambrakis Press S.A. 5,806 20,737
*N.B.G. Real Estate Development Co. 6,100 27,054
Technical Olympic S.A. 5,500 31,582
Viohalco S.A. 9,200 59,029
---------------
TOTAL -- GREECE
(Cost $562,288) 637,869
---------------
SPAIN -- (1.7%)
COMMON STOCKS -- (1.7%)
Abengoa SA 2,800 30,146
*Amper SA 1,600 10,132
Banco de Valencia SA 3,734 108,617
Banco Pastor SA 1,200 44,795
Campofrio Alimentacion SA 1,466 24,360
Compania de Distribucion Integral Logista SA 1,100 54,971
Cortefiel SA 3,300 75,767
Europistas Concesionaria Espanola SA 3,356 22,955
Faes Farma SA 2,111 39,506
Grupo Empresarial Ence SA 1,200 32,738
Inmobiliaria Urbis SA 4,600 78,060
Prosegur Cia de Seguridad SA 2,200 46,144
*Puleva Biotech SA 244 807
*Uralita SA 5,700 28,436
Viscofan Industria Navarra de Envolturas Celulosicas SA 2,730 26,465
---------------
TOTAL COMMON STOCKS
(Cost $271,498) 623,899
---------------
RIGHTS/WARRANTS -- (0.0%)
*Banco Valencia SA Rights 06/07/05 3,734 2,252
*Faes Farma SA Rights 07/06/05 2,111 4,884
---------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 7,136
---------------
TOTAL -- SPAIN
(Cost $271,498) 631,035
---------------
36
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BELGIUM -- (1.5%)
COMMON STOCKS -- (1.5%)
Ackermans & Van Haaren SA 1,200 $ 47,616
Barco (New) NV 500 36,319
Bekaert SA 500 37,067
Brederode SA 592 14,886
Cofinimmo SA 365 57,967
Compagnie Maritime Belge 1,500 48,981
*Cumerio 525 7,236
*Cumerio VVPR 25 1
Deceuninck SA 1,300 38,040
D'Ieteren SA 185 36,734
Euronav SA 1,500 44,431
Exmar NV 300 18,059
*Immobel (Cie Immobiliere de Belgique SA) 200 8,601
Omega Pharma SA 1,200 61,172
*Solvus SA 703 13,474
*Solvus SA Interim Strip VVPR 3 0
Spector Photo Group SA 188 1,505
Telindus Group SA 888 9,826
Tessenderlo Chemie 800 30,986
*Umicore-Strip VVPR 25 3
Union Miniere SA 525 41,238
Warehouses de Pauw Sicafi 184 8,031
---------------
TOTAL -- BELGIUM
(Cost $383,257) 562,173
---------------
NORWAY -- (1.5%)
COMMON STOCKS -- (1.5%)
*Aker Kvaerner OGEP ASA 1,423 53,770
Aker Yards ASA 877 32,137
Ekornes ASA 1,600 31,174
*Nera ASA 4,600 9,763
Prosafe ASA 1,400 42,069
Rieber and Son ASA Series A 3,600 28,735
Schibsted ASA 3,600 95,022
Smedvig ASA Series A 2,600 45,516
Tandberg ASA Series A 5,200 55,593
*Tandberg Television ASA 2,600 29,737
Tomra Systems ASA 9,200 39,723
Wilhelmsen (Wilhelm), Ltd. ASA Series A 2,800 71,153
---------------
TOTAL COMMON STOCKS
(Cost $279,441) 534,392
---------------
INVESTMENT IN CURRENCY -- (0.0%)
*Norwegian Krone
(Cost $3,963) 3,936
---------------
TOTAL -- NORWAY
(Cost $283,404) 538,328
---------------
IRELAND -- (1.3%)
COMMON STOCKS -- (1.3%)
DCC P.L.C. 2,250 44,609
FBD Holdings P.L.C. 1,308 38,227
Fyffes P.L.C. 13,698 38,422
Glanbia P.L.C. 12,578 40,766
Greencore Group P.L.C. 7,282 30,598
IAWS Group P.L.C. 4,260 $ 63,934
Independent News & Media P.L.C. 15,021 46,183
Jurys Hotel Group P.L.C. 2,702 50,493
Kingspan Group P.L.C. 7,161 83,356
United Drug P.L.C. 9,000 37,767
*Waterford Wedgwood P.L.C. 70,325 3,548
---------------
TOTAL -- IRELAND
(Cost $281,132) 477,903
---------------
NEW ZEALAND -- (1.2%)
COMMON STOCKS -- (1.2%)
Cavalier Corp., Ltd. 8,600 22,084
New Zealand Refining Co., Ltd. 3,208 76,166
Port of Tauranga, Ltd. 11,600 38,353
Ports of Auckland 4,770 26,512
*Tower, Ltd. 47,501 69,304
Trustpower, Ltd. 36,022 143,022
Waste Management NZ, Ltd. 13,200 57,135
---------------
TOTAL -- NEW ZEALAND
(Cost $186,575) 432,576
---------------
AUSTRIA -- (0.9%)
COMMON STOCKS -- (0.9%)
Agrana Beteiligungs AG 319 28,602
Boehler-Uddeholm AG 385 49,688
*CA Immobilien Anlagen AG 1,029 25,810
Flughafen Wien AG 543 34,778
Lenzing AG 106 25,112
Mayr-Melnhof Karton AG 420 59,863
Oberbank AG 305 30,089
*RHI AG, Wien 833 22,962
Voestalpine AG 752 50,700
---------------
TOTAL COMMON STOCKS
(Cost $197,082) 327,604
---------------
RIGHTS/WARRANTS -- (0.0%)
*Boehler-Uddeholm AG Rights 06/02/05 385 0
*CA Immobilien Anlagen AG Rights 06/01/05 1,029 13
---------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 13
---------------
TOTAL -- AUSTRIA
(Cost $197,082) 327,617
---------------
PORTUGAL -- (0.7%)
COMMON STOCKS -- (0.7%)
Jeronimo Martins SGPS SA 7,618 106,624
Portucel-Empresa Produtora de Pasta de Papel SA 20,700 35,695
Sociedade de Investimento e Gestao SGPS SA 6,200 35,138
*Sonaecom SGPS SA 13,800 59,505
Teixeira Duarte Engenharia e Construcoes SA 22,200 30,048
---------------
TOTAL -- PORTUGAL
(Cost $161,416) 267,010
---------------
37
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SHARES VALUE+
--------------- --------------
EMU -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*Euro Currency $ 14,915
---------------
TOTAL -- EMU
(Cost $15,856) 14,915
---------------
MALAYSIA -- (0.0%)
COMMON STOCKS -- (0.0%)
*Promet Berhad 23,000 0
---------------
TOTAL -- MALAYSIA
(Cost $19,272) 0
---------------
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FACE
AMOUNT
---------------
(000)
TEMPORARY CASH INVESTMENTS -- (1.0%)
^Repurchase Agreement, Deutsche Bank Securities 2.96%, 06/01/05
(Collateralized by $352,586 U.S. TIPS 1.875%, 07/15/13, valued at
$380,588) to be repurchased at $373,126
(Cost $373,095) $ 373 373,095
---------------
TOTAL INVESTMENTS-- (100.0%)
(Cost $29,809,475) $ 36,926,545
===============
----------
+ Securities have been fair valued. See Note B to Financial Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
38
VA SHORT-TERM FIXED PORTFOLIO
STATEMENT OF NET ASSETS
MAY 31, 2005
(UNAUDITED)
ˇ Download Table
FACE
AMOUNT
(000) VALUE+
--------------- ---------------
UNITED STATES -- (75.0%)
COMMERCIAL PAPER -- (34.9%)
Barclays US Funding Corp.
3.020%, 06/03/05 $ 1,300 $ 1,299,784
Barton Capital Corp.
3.070%, 07/20/05 1,300 1,294,474
Canadian Wheat Board
2.960%, 06/27/05 500 498,912
CBA (DE) Finance, Inc.
3.060%, 07/12/05 1,300 1,295,459
Ciesco L.P. 3.020%,
06/15/05 1,400 1,398,350
Compass Securitization LLC
3.030%, 06/15/05 500 499,411
3.040%, 06/29/05 800 798,097
Dexia Delaware LLC
2.870%, 06/08/05 1,000 999,419
Govco, Inc.
3.070%, 07/06/05 800 797,609
3.130%, 07/25/05 500 497,637
KFW International Finance, Inc.
3.040%, 06/01/05 500 500,000
Nestle Capital Corp.
2.860%, 06/03/05 600 599,900
2.880%, 06/06/05 700 699,709
Network Rail Finance P.L.C
3.010%, 06/07/05 800 799,601
3.080%, 07/13/05 400 398,567
Paccar Financial Corp.
2.910%, 06/03/05 900 899,850
3.100%, 08/10/05 400 397,542
Total Capital SA
3.050%, 07/11/05 1,300 1,295,576
UBS Finance Delaware, Inc.
3.010%, 06/17/05 500 499,335
Windmill Funding Corp.
3.100%, 07/18/05 1,100 1,095,518
---------------
TOTAL COMMERCIAL PAPER
(Cost $16,565,035) 16,564,750
---------------
AGENCY OBLIGATIONS -- (25.7%)
Federal Farm Credit Bank
2.600%, 09/07/06 900 887,687
2.750%, 09/29/06 200 197,496
Federal Home Loan Bank
1.875%, 06/15/06 1,800 1,767,303
3.500%, 08/15/06 1,000 997,829
2.875%, 02/15/07 1,200 1,182,829
Federal Home Loan Mortgage Corporation
2.750%, 08/15/06 700 692,283
2.750%, 10/15/06 2,600 2,566,931
Federal National Mortgage Association
3.125%, 07/15/06 $ 1,400 $ 1,391,655
2.375%, 02/15/07 1,000 977,331
5.250%, 04/15/07 1,500 1,538,414
---------------
TOTAL AGENCY OBLIGATIONS
(Cost $12,285,296) 12,199,758
---------------
BONDS -- (14.4%)
Citigroup, Inc.
5.750%, 05/10/06 1,200 1,220,664
General Electric Capital Corp.
2.970%, 07/26/06 800 792,218
KFW International Finance, Inc.
5.250%, 06/28/06 800 811,501
Landesbank Baden-Wuerttemberg
4.150%, 03/30/07 1,200 1,203,617
Toyota Motor Credit Corp.
2.900%, 07/14/06 1,200 1,184,828
US Bank NA
2.850%, 11/15/06 700 688,965
Wal-Mart Stores, Inc.
5.450%, 08/01/06 600 610,430
Wells Fargo & Co.
5.900%, 05/21/06 300 305,557
---------------
TOTAL BONDS
(Cost $6,876,220) 6,817,780
---------------
TOTAL -- UNITED STATES
(Cost $35,726,551) 35,582,288
---------------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (8.3%)
BONDS -- (8.3%)
Asian Development Bank
4.875%, 02/05/07 1,300 1,327,664
European Investment Bank
3.000%, 08/15/06 1,200 1,192,763
International Finance Corp.
5.250%, 05/02/06 400 404,458
4.750%, 04/30/07 1,000 1,017,760
---------------
TOTAL SUPRANATIONAL
ORGANIZATION OBLIGATIONS
(Cost $3,958,855) 3,942,645
---------------
AUSTRIA -- (2.8%)
BONDS -- (2.8%)
Oesterreichische Kontrollbank AG
5.125%, 03/20/07
(Cost $1,326,859) 1,300 1,332,035
---------------
SPAIN -- (2.6%)
BONDS -- (2.6%)
Institut de Credito Oficial
4.625%, 11/29/06
(Cost $1,222,980) 1,200 1,212,581
---------------
39
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FACE
AMOUNT
(000) VALUE+
--------------- ---------------
CANADA -- (2.3%)
BONDS -- (2.3%)
Ontario, Province of
2.650%, 12/15/06
(Cost $1,080,047) $ 1,100 $ 1,081,401
---------------
GERMANY -- (2.1%)
BONDS -- (2.1%)
Landwirtschaft Rentenbank
4.875%, 03/12/07
(Cost $1,016,073) 1,000 1,017,023
---------------
SWEDEN -- (2.1%)
BONDS -- (2.1%)
Swedish Export Credit Corp.
2.875%, 01/26/07
(Cost $990,877) 1,000 984,240
---------------
NORWAY -- (1.9%)
BONDS -- (1.9%)
Eksportfinans ASA
5.750%, 06/06/06
(Cost $927,970) 900 917,986
---------------
UNITED KINGDOM -- (1.5%)
BONDS -- (1.5%)
BP Capital Markets P.L.C.
2.750%, 12/29/06
(Cost $686,154) 700 688,949
---------------
TEMPORARY CASH INVESTMENTS -- (1.2%)
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $575,000 FHLMC Notes 4.00%, 09/22/09, valued at
$575,719) to be repurchased at $567,046
(Cost $567,000) 567 567,000
---------------
TOTAL INVESTMENTS -- (99.8%)
(Cost $47,503,366) 47,326,148
---------------
OTHER ASSETS AND LIABILITIES -- (0.2%)
Interest Receivable 272,609
Due to Advisor (9,870)
Other Liabilities in Excess of Other Assets (149,908)
---------------
112,831
---------------
NET ASSETS -- (100.0%)
Applicable to 4,673,537 Outstanding $0.01 Par Value Shares (50,000,000
Shares Authorized) $ 47,438,979
===============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 10.15
===============
----------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
40
VA GLOBAL BOND PORTFOLIO
STATEMENT OF NET ASSETS
MAY 31, 2005
(UNAUDITED)
ˇ Enlarge/Download Table
FACE
AMOUNT VALUE+
--------------- ---------------
(000)
UNITED STATES -- (31.3%)
BONDS -- (18.4%)
Citigroup, Inc.
4.250%, 07/29/09 $ 1,400 $ 1,401,670
General Electric Capital Corp.
3.250%, 06/15/09 1,260 1,215,606
Gillette Co.
3.800%, 09/15/09 1,000 988,277
Pfizer, Inc.
5.625%, 04/15/09 600 630,922
Procter & Gamble Co.
6.875%, 09/15/09 1,039 1,149,991
US Bank NA
3.400%, 03/02/09 950 924,044
Wal-Mart Stores, Inc.
6.875%, 08/10/09 1,200 1,322,776
Wells Fargo & Co.
3.125%, 04/01/09 1,100 1,061,696
Westdeutsche Landesbank
6.050%, 01/15/09 1,100 1,162,080
---------------
TOTAL BONDS
(Cost $9,964,687) 9,857,062
---------------
AGENCY OBLIGATIONS -- (12.9%)
Federal Farm Credit Bank
4.125%, 04/15/09 500 503,005
Federal Home Loan Bank
3.000%, 04/15/09 500 483,521
4.000%, 11/13/09 1,200 1,198,354
3.875%, 01/15/10 300 298,825
Federal Home Loan Mortgage Corporation
5.750%, 03/15/09 1,270 1,350,670
@3.750%, 07/15/09 700 897,841
6.625%, 09/15/09 680 750,194
Federal National Mortgage Association
3.250%, 02/15/09 1,500 1,463,217
---------------
TOTAL AGENCY OBLIGATIONS
(Cost $7,002,334) 6,945,627
---------------
TOTAL -- UNITED STATES
(Cost $16,967,021) 16,802,689
---------------
CANADA -- (12.4%)
BONDS -- (12.4%)
BP Canada Finance
3.625%, 01/15/09 225 222,528
**British Columbia, Province of
6.250%, 12/01/09 1,500 1,332,110
**Canada Housing Trust
4.650%, 09/15/09 1,800 1,500,174
**Canada, Goverment of
4.250%, 09/01/09 1,250 1,031,509
**Ontario, Province of
6.200%, 11/19/09 $ 1,500 $ 1,328,131
**Toyota Credit Canada
4.250%, 06/17/09 1,000 815,573
4.750%, 06/29/09 500 414,710
---------------
TOTAL -- CANADA
(Cost $6,529,171) 6,644,735
---------------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (9.2%)
BONDS -- (9.2%)
Asian Development Bank
5.948%, 05/20/09 1,000 1,070,007
European Investment Bank
3.375%, 03/16/09 1,200 1,180,297
~4.000%, 04/15/09 800 113,017
Inter-American Development Bank
5.375%, 11/18/08 400 420,269
**5.625%, 06/29/09 940 809,250
International Finance Corp.
3.750%, 06/30/09 400 397,601
World Bank (International Bank for Reconstruction & Development)
5.125%, 03/13/09 900 939,015
---------------
TOTAL -- SUPRANATIONAL ORGANIZATION OBLIGATIONS
(Cost $4,897,361) 4,929,456
---------------
GERMANY -- (8.1%)
BONDS -- (8.1%)
@Bundesrepublik Deutschland
5.375%, 01/04/10 500 687,936
Deutsche Postbank AG
5.500%, 02/17/09 300 315,778
KFW-Kreditanstalt Fuer Wiederaufbau AG
~3.750%, 01/28/09 400 55,905
@3.500%, 04/17/09 1,000 1,273,739
**Landesbank Baden-Wuerttemberg Foerderbank
4.500%, 01/26/09 650 534,882
**Landwirtschaftliche Rentenbank
4.250%, 09/01/09 1,800 1,474,187
---------------
TOTAL -- GERMANY
(Cost $4,457,957) 4,342,427
---------------
FRANCE -- (7.7%)
BONDS -- (7.7%)
Dexia Credit Local
5.500%, 01/21/09 600 629,775
@ERAP
3.750%, 04/25/10 500 643,860
41
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FACE
AMOUNT VALUE+
--------------- ---------------
(000)
@French Republic
3.000%, 01/12/10 $ 1,000 $ 1,250,434
Total Capital SA
3.500%, 01/05/09 1,100 1,081,334
@UNEDIC
3.000%, 02/02/10 400 499,045
---------------
TOTAL -- FRANCE
(Cost $4,245,620) 4,104,448
---------------
NETHERLANDS -- (7.6%)
BONDS -- (7.6%)
Bank Nederlandse Gemeenten NV
4.375%, 09/15/09 700 708,727
@Dutch Government Bond
3.000%, 01/15/10 1,100 1,375,873
Nederlandse Waterschapsbank NV
2.750%, 12/30/08 700 671,493
~Rabobank
4.250%, 01/05/09 1,600 1,304,153
---------------
TOTAL -- NETHERLANDS
(Cost $4,163,867) 4,060,246
---------------
SWEDEN -- (7.0%)
BONDS -- (7.0%)
Kommuninvest I Sverige AB
~4.100%, 05/11/09 6,000 848,072
4.000%, 01/21/10 500 499,522
~Stockholm, Sweden
3.375%, 03/08/10 6,700 925,749
~Swedish Government
4.000%, 12/01/09 10,300 1,464,241
---------------
TOTAL -- SWEDEN
(Cost $3,921,435) 3,737,584
---------------
AUSTRIA -- (4.6%)
BONDS -- (4.6%)
@Asfinag
3.250%, 10/19/09 1,100 1,388,007
Austria, Republic of
5.250%, 10/05/09 1,000 1,049,461
---------------
TOTAL -- AUSTRIA
(Cost $2,479,440) 2,437,468
---------------
NORWAY -- (2.4%)
BONDS -- (2.4%)
Eksportfinans ASA
4.375%, 07/15/09
(Cost $1,282,733) 1,270 1,282,480
---------------
UNITED KINGDOM --(2.3%)
BONDS -- (2.3%)
@Network Rail Finance P.L.C
3.125%, 03/30/09
(Cost $1,294,511) 1,000 1,254,942
---------------
SPAIN -- (2.2%)
BONDS -- (2.2%)
Institut de Credito Oficial
3.875%, 07/15/09
(Cost $1,191,801) $ 1,200 $ 1,197,075
---------------
FINLAND -- (2.0%)
BONDS -- (2.0%)
Republic of Finland
3.250%, 05/15/09
(Cost $1,068,143) 1,100 1,079,404
---------------
EMU -- (0.5%)
INVESTMENT IN CURRENCY -- (0.5%)
*Euro Currency
(Cost $262,875) 257,129
---------------
AUSTRALIA -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar
(Cost $263) 360
---------------
TEMPORARY CASH INVESTMENTS -- (1.2%)
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $677,000 FNMA Notes 2.95%, 11/14/07, valued at
$676,154) to be repurchased at $666,053 (Cost $666,000) 666 666,000
---------------
TOTAL INVESTMENTS -- (98.5%)
(Cost $53,428,198) 52,796,443
---------------
OTHER ASSETS AND LIABILITIES -- (1.5%)
Interest Receivable 729,947
Other Assets in Excess of Other
Liabilities 106,646
Due to Advisor (11,012)
---------------
825,581
---------------
NETASSETS -- (100.0%) Applicable to 5,081,162 Outstanding $0.01 Par Value
Shares (50,000,000 Shares Authorized) $ 53,622,024
===============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 10.55
===============
----------
+ See Note B to Financial Statements.
@ Denominated in Euro Currency.
** Denominated in Canadian Dollars.
~ Denominated in Swedish Krona.
* Non-Income Producing Securities.
See accompanying Notes to Financial Statements.
42
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
(UNAUDITED)
ˇ Enlarge/Download Table
VA SMALL VA LARGE
VALUE VALUE
PORTFOLIO PORTFOLIO
------------- -------------
ASSETS:
Investments at Value (including $461 and $645 of securities on loan, respectively) $ 67,793 $ 76,244
Cash 1 1
Receivables:
Investment Securities Sold 241 19
Dividends and Interest 38 108
Securities Lending Income 2 2
------------- -------------
Total Assets 68,075 76,374
------------- -------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 582 668
Investment Securities Purchased 326 --
Fund Shares Redeemed 374 190
Due to Advisor 27 15
Accrued Expenses and Other Liabilities 16 19
------------- -------------
Total Liabilities 1,325 892
------------- -------------
NET ASSETS $ 66,750 $ 75,482
============= =============
SHARES OUTSTANDING $0.01 PAR VALUE (50,000,000 Shares Authorized) 4,483,246 4,853,491
============= =============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 14.89 $ 15.55
============= =============
Investments at Cost $ 60,983 $ 63,958
============= =============
See accompanying Notes to Financial Statements.
43
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VA VA
INTERNATIONAL INTERNATIONAL
VALUE SMALL
PORTFOLIO PORTFOLIO
------------- -------------
ASSETS:
Investments at Value (including $4,640 and $388 of securities on loan, respectively) $ 57,011 $ 36,927
Cash 16 1
Receivables:
Investment Securities Sold 18 33
Dividends, Interest, and Tax Reclaims 184 144
Securities Lending Income 6 1
Fund Shares Sold 35 23
------------- -------------
Total Assets 57,270 37,129
------------- -------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 4,684 373
Investment Securities Purchased 218 165
Fund Shares Redeemed 62 136
Due to Advisor 18 15
Loan Payable -- 60
Accrued Expenses and Other Liabilities 16 16
------------- -------------
Total Liabilities 4,998 765
------------- -------------
NET ASSETS $ 52,272 $ 36,364
============= =============
SHARES OUTSTANDING $0.01 PAR VALUE (50,000,000 Shares Authorized) 3,689,881 3,211,658
============= =============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 14.17 $ 11.32
============= =============
Investments at Cost $ 46,311 $ 29,809
============= =============
See accompanying Notes to Financial Statements.
44
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2005
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
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VA
VA SMALL VA LARGE INTERNATIONAL
VALUE VALUE VALUE
PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------- -------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0, $0 and $109, respectively) $ 306 $ 490 $ 942
Interest 9 7 4
Income from Securities Lending 13 6 22
------------- ------------- -------------
Total Investment Income 328 503 968
------------- ------------- -------------
EXPENSES
Investment Advisory Services 161 91 104
Accounting & Transfer Agent Fees 33 37 33
Custodian Fees 3 4 10
Legal Fees 1 1 1
Audit Fees 1 1 1
Filing Fees 1 -- --
Shareholders' Reports 6 7 5
Directors' Fees and Expenses -- 1 --
Other 1 1 --
------------- ------------- -------------
Total Expenses 207 143 154
------------- ------------- -------------
NET INVESTMENT INCOME (LOSS) 121 360 814
------------- ------------- -------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 5,828 1,184 684
Net Realized Gain (Loss) on Foreign Currency Transactions -- -- 11
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency (6,834) 1,707 (304)
Translation of Foreign Currency Denominated Amounts -- -- (10)
------------- ------------- -------------
NET GAIN (LOSS) (1,006) 2,891 381
------------- ------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ (885) $ 3,251 $ 1,195
============= ============= =============
See accompanying Notes to Financial Statements.
45
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VA VA
INTERNATIONAL SHORT-TERM VA GLOBAL
SMALL FIXED BOND
PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------- -------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $49, $0 and $0, respectively) $ 521 -- --
Interest 4 $ 620 $ 890
Income from Securities Lending 7 -- --
------------- ------------- -------------
Total Investment Income 532 620 890
------------- ------------- -------------
EXPENSES
Investment Advisory Services 91 56 61
Accounting & Transfer Agent Fees 23 11 30
Custodian Fees 10 2 3
Legal Fees 2 1 1
Audit Fees 1 1 1
Shareholders' Reports 3 5 4
Other 2 4 2
------------- ------------- -------------
Total Expenses 132 80 102
------------- ------------- -------------
NET INVESTMENT INCOME (LOSS) 400 540 788
------------- ------------- -------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 852 (118) (266)
Net Realized Gain (Loss) on Foreign Currency Transactions (1) -- 486
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 392 1 (691)
Translation of Foreign Currency Denominated Amounts (8) -- 728
------------- ------------- -------------
NET GAIN (LOSS) 1,235 (117) 257
------------- ------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 1,635 $ 423 $ 1,045
============= ============= =============
See accompanying Notes to Financial Statements.
46
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
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VA SMALL VALUE PORTFOLIO VA LARGE VALUE PORTFOLIO
--------------------------------- ---------------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
--------------- --------------- --------------- ---------------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 121 $ 172 $ 360 $ 674
Net Realized Gain (Loss) on Investment Securities Sold 5,828 6,777 1,184 1,668
Change in Unrealized Appreciation (Depreciation) of
Investment Securities (6,834) 5,424 1,707 8,569
--------------- --------------- --------------- ---------------
Net Increase (Decrease) in Net Assets Resulting
from Operations (885) 12,373 3,251 10,911
--------------- --------------- --------------- ---------------
Distributions From:
Net Investment Income (227) (57) (699) (553)
Net Short-Term Gains (1,474) (1,650) -- --
Net Long-Term Gains (5,299) (2,959) -- --
--------------- --------------- --------------- ---------------
Total Distributions (7,000) (4,666) (699) (553)
--------------- --------------- --------------- ---------------
Capital Share Transactions (1):
Shares Issued 8,594 11,135 7,538 15,452
Shares Issued in Lieu of Cash Distributions 7,000 4,666 699 553
Shares Redeemed (5,526) (6,992) (4,878) (4,907)
--------------- --------------- --------------- ---------------
Net Increase (Decrease) from Capital Share
Transactions 10,068 8,809 3,359 11,098
--------------- --------------- --------------- ---------------
Total Increase (Decrease) 2,183 16,516 5,911 21,456
NET ASSETS
Beginning of Period 64,567 48,051 69,571 48,115
--------------- --------------- --------------- ---------------
End of Period $ 66,750 $ 64,567 $ 75,482 $ 69,571
=============== =============== =============== ===============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 579 738 493 1,130
Shares Issued in Lieu of Cash Distributions 459 333 46 42
Shares Redeemed (364) (461) (319) (359)
--------------- --------------- --------------- ---------------
674 610 220 813
=============== =============== =============== ===============
See accompanying Notes to Financial Statements.
47
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VA INTERNATIONAL VALUE PORTFOLIO VA INTERNATIONAL SMALL PORTFOLIO
--------------------------------- ---------------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
--------------- --------------- --------------- ---------------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 814 $ 805 $ 400 $ 467
Net Realized Gain (Loss) on Investment Securities Sold 684 654 852 763
Net Realized Gain (Loss) on Foreign Currency
Transactions 11 (2) (1) 14
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency (304) 9,044 392 5,946
Translation of Foreign Currency Denominated Amounts (10) 4 (8) 5
--------------- --------------- --------------- ---------------
Net Increase (Decrease) in Net Assets Resulting
from Operations 1,195 10,505 1,635 7,195
--------------- --------------- --------------- ---------------
Distributions From:
Net Investment Income (934) (526) (633) (403)
Net Short-Term Gains (141) -- (88) (300)
Net Long-Term Gains (463) (1,123) (572) (691)
--------------- --------------- --------------- ---------------
Total Distributions (1,538) (1,649) (1,293) (1,394)
--------------- --------------- --------------- ---------------
Capital Share Transactions (1):
Shares Issued 5,815 10,091 4,148 8,324
Shares Issued in Lieu of Cash Distributions 1,538 1,649 1,293 1,394
Shares Redeemed (3,684) (5,350) (3,238) (3,514)
--------------- --------------- --------------- ---------------
Net Increase (Decrease) from Capital Share
Transactions 3,669 6,390 2,203 6,204
--------------- --------------- --------------- ---------------
Total Increase (Decrease) 3,326 15,246 2,545 12,005
NET ASSETS
Beginning of Period 48,946 33,700 33,819 21,814
--------------- --------------- --------------- ---------------
End of Period $ 52,272 $ 48,946 $ 36,364 $ 33,819
=============== =============== =============== ===============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 400 802 360 837
Shares Issued in Lieu of Cash Distributions 109 144 118 158
Shares Redeemed (255) (432) (280) (354)
--------------- --------------- --------------- ---------------
254 514 198 641
=============== =============== =============== ===============
See accompanying Notes to Financial Statements.
48
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VA SHORT-TERM FIXED PORTFOLIO VA GLOBAL BOND PORTFOLIO
--------------------------------- ---------------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
--------------- --------------- --------------- ---------------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 540 $ 545 $ 788 $ 1,186
Net Realized Gain (Loss) on Investment Securities Sold (118) (96) (266) (198)
Net Realized Gain (Loss) on Foreign Currency
Transactions -- -- 486 (250)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 1 (106) (691) 333
Translation of Foreign Currency Denominated Amounts -- -- 728 (104)
--------------- --------------- --------------- ---------------
Net Increase (Decrease) in Net Assets Resulting
from Operations 423 343 1,045 967
--------------- --------------- --------------- ---------------
Distributions From:
Net Investment Income (584) (409) (877) (891)
Net Short-Term Gains -- (245) -- (299)
Net Long-Term Gains -- (58) -- (935)
--------------- --------------- --------------- ---------------
Total Distributions (584) (712) (877) (2,125)
--------------- --------------- --------------- ---------------
Capital Share Transactions (1):
Shares Issued 8,073 15,786 10,156 16,461
Shares Issued in Lieu of Cash Distributions 584 712 877 2,125
Shares Redeemed (2,633) (9,136) (2,134) (5,212)
--------------- --------------- --------------- ---------------
Net Increase (Decrease) from Capital Share
Transactions 6,024 7,362 8,899 13,374
--------------- --------------- --------------- ---------------
Total Increase (Decrease) 5,863 6,993 9,067 12,216
NET ASSETS
Beginning of Period 41,576 34,583 44,555 32,339
--------------- --------------- --------------- ---------------
End of Period $ 47,439 $ 41,576 $ 53,622 $ 44,555
=============== =============== =============== ===============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 798 1,552 976 1,567
Shares Issued in Lieu of Cash Distributions 58 71 84 206
Shares Redeemed (260) (899) (204) (500)
--------------- --------------- --------------- ---------------
596 724 856 1,273
=============== =============== =============== ===============
See accompanying Notes to Financial Statements.
49
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
ˇ Enlarge/Download Table
VA SMALL VALUE PORTFOLIO
---------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30 NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
-----------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 16.95 $ 15.02 $ 10.83 $ 11.45 $ 11.01 $ 12.78
----------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.03 0.05 0.02 0.03 0.07 0.10
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.24) 3.34 4.94 0.10 2.31 0.58
----------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations (0.21) 3.39 4.96 0.13 2.38 0.68
-----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.06) (0.02) (0.03) (0.07) (0.10) (0.07)
Net Realized Gains (1.79) (1.44) (0.74) (0.68) (1.84) (2.38)
----------- ---------- ---------- ---------- ---------- ----------
Total Distributions (1.85) (1.46) (0.77) (0.75) (1.94) (2.45)
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 14.89 $ 16.95 $ 15.02 $ 10.83 $ 11.45 $ 11.01
=============================================================================================================================
Total Return (1.51)%# 24.62% 49.71% 0.91% 25.51% 6.62%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 66,750 $ 64,567 $ 48,051 $ 32,142 $ 25,115 $ 19,132
Ratio of Expenses to Average Net Assets 0.64%* 0.63% 0.68% 0.67% 0.64% 0.68%
Ratio of Net Investment Income to Average
Net Assets 0.38%* 0.31% 0.14% 0.32% 0.63% 0.86%
Portfolio Turnover Rate 20%# 30% 40% 31% 19% 42%
VA LARGE VALUE PORTFOLIO
---------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
-----------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 15.01 $ 12.59 $ 10.69 $ 12.68 $ 13.02 $ 16.00
----------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.07 0.15 0.13 0.12 0.16 0.27
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.62 2.42 1.90 (1.94) 0.72 (0.14)
----------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations 0.69 2.57 2.03 (1.82) 0.88 0.13
LESS DISTRIBUTIONS
Net Investment Income (0.15) (0.15) (0.13) (0.17) (0.27) (0.25)
Net Realized Gains -- -- -- -- (0.95) (2.86)
----------- ---------- ---------- ---------- ---------- ----------
Total Distributions (0.15) (0.15) (0.13) (0.17) (1.22) (3.11)
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 15.55 $ 15.01 $ 12.59 $ 10.69 $ 12.68 $ 13.02
=============================================================================================================================
Total Return 4.62%# 20.55% 19.21% (14.57)% 7.15% 1.52%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 75,482 $ 69,571 $ 48,115 $ 37,790 $ 36,634 $ 30,396
Ratio of Expenses to Average Net Assets 0.39%* 0.40% 0.40% 0.40% 0.41% 0.45%
Ratio of Net Investment Income to Average
Net Assets 0.99%* 1.13% 1.27% 1.15% 1.33% 2.02%
Portfolio Turnover Rate 5%# 8% 7% 9% 13% 29%
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
50
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VA INTERNATIONAL VALUE PORTFOLIO
---------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
-----------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 14.25 $ 11.53 $ 8.70 $ 9.44 $ 11.46 $ 12.73
----------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.23 0.25 0.20 0.17 0.20 0.12
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.14 3.04 2.81 (0.69) (1.36) (0.29)
----------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations 0.37 3.29 3.01 (0.52) (1.16) (0.17)
-----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.27) (0.18) (0.18) (0.19) (0.22) (0.21)
Net Realized Gains (0.18) (0.39) -- (0.03) (0.64) (0.89)
----------- ---------- ---------- ---------- ---------- ----------
Total Distributions (0.45) (0.57) (0.18) (0.22) (0.86) (1.10)
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 14.17 $ 14.25 $ 11.53 $ 8.70 $ 9.44 $ 11.46
=============================================================================================================================
Total Return 2.59%# 29.80% 35.49% (5.71)% (11.12)% (1.68)%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 52,272 $ 48,946 $ 33,700 $ 24,188 $ 21,264 $ 21,032
Ratio of Expenses to Average Net Assets 0.60%* 0.61% 0.63% 0.63% 0.64% 0.66%
Ratio of Net Investment Income to Average
Net Assets 3.14%* 1.98% 2.07% 1.82% 1.92% 1.71%
Portfolio Turnover Rate 3%# 8% 21% 2% 8% 7%
VA INTERNATIONAL SMALL PORTFOLIO
---------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
-----------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 11.22 $ 9.19 $ 6.26 $ 6.40 $ 7.64 $ 8.31
----------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.13 0.20 0.15 0.13 0.17 0.15
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.40 2.42 2.89 (0.11) (0.58) (0.53)
----------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations 0.53 2.62 3.04 0.02 (0.41) (0.38)
-----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.21) (0.17) (0.11) (0.14) (0.20) (0.19)
Net Realized Gains (0.22) (0.42) -- (0.02) (0.63) (0.10)
----------- ---------- ---------- ---------- ---------- ----------
Total Distributions (0.43) (0.59) (0.11) (0.16) (0.83) (0.29)
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 11.32 $ 11.22 $ 9.19 $ 6.26 $ 6.40 $ 7.64
=============================================================================================================================
Total Return 4.81%# 30.17% 49.54% 0.27% (6.17)% (4.81)%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 36,364 $ 33,819 $ 21,814 $ 14,474 $ 11,783 $ 11,367
Ratio of Expenses to Average Net Assets 0.73%* 0.77% 0.78% 0.77% 0.77% 0.80%
Ratio of Net Investment Income to Average
Net Assets 2.21%* 1.70% 1.92% 1.70% 2.07% 1.95%
Portfolio Turnover Rate 5%# 9% 27% 6% 8% 12%
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
51
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VA SHORT-TERM FIXED PORTFOLIO
---------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
-----------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 10.20 $ 10.31 $ 10.50 $ 10.58 $ 10.58 $ 10.42
----------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.12 0.14 0.13 0.24 0.45 0.59
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.03) (0.04) 0.03 0.11 0.15 0.04
----------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations 0.09 0.10 0.16 0.35 0.60 0.63
-----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.14) (0.12) (0.22) (0.42) (0.60) (0.47)
Net Realized Gains -- (0.09) (0.13) (0.01) -- --
----------- ---------- ---------- ---------- ---------- ----------
Total Distributions (0.14) (0.21) (0.35) (0.43) (0.60) (0.47)
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 10.15 $ 10.20 $ 10.31 $ 10.50 $ 10.58 $ 10.58
=============================================================================================================================
Total Return 0.88%# 1.01% 1.60% 3.37% 6.02% 6.30%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 47,439 $ 41,576 $ 34,583 $ 29,533 $ 23,476 $ 20,409
Ratio of Expenses to Average Net Assets 0.36%* 0.35% 0.36% 0.37% 0.38% 0.40%
Ratio of Net Investment Income to Average
Net Assets 2.42%* 1.38% 1.31% 2.37% 4.40% 5.72%
Portfolio Turnover Rate 37%# 141% 160% 145% 71% 33%
VA GLOBAL BOND PORTFOLIO
---------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
-----------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 10.55 $ 10.95 $ 10.91 $ 10.67 $ 10.68 $ 10.69
----------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.25 0.22 0.31 0.33 0.41 0.78
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.04) 0.09 0.14 0.38 0.32 (0.18)
----------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations 0.21 0.31 0.45 0.71 0.73 0.60
-----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.21) (0.30) (0.29) (0.39) (0.74) (0.59)
Net Realized Gains -- (0.41) (0.12) (0.08) -- (0.02)
----------- ---------- ---------- ---------- ---------- ----------
Total Distributions (0.21) (0.71) (0.41) (0.47) (0.74) (0.61)
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 10.55 $ 10.55 $ 10.95 $ 10.91 $ 10.67 $ 10.68
=============================================================================================================================
Total Return 1.98%# 2.97% 4.29% 7.05% 7.29% 5.89%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 53,622 $ 44,555 $ 32,339 $ 26,483 $ 20,852 $ 16,237
Ratio of Expenses to Average Net Assets 0.42%* 0.42% 0.43% 0.46% 0.43% 0.47%
Ratio of Net Investment Income to Average
Net Assets 3.26%* 3.01% 3.09% 3.96% 4.09% 4.35%
Portfolio Turnover Rate 33%# 86% 107% 82% 159% 85%
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
52
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company. The Fund consists of thirty-seven portfolios, six of which
(the "Portfolios") are included in this report. Thirty-one portfolios are
presented in separate reports. The Portfolios are only available through a
select group of insurance products.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: Securities held by VA Small Value Portfolio and VA
Large Value Portfolio (the "Domestic Equity Portfolios") which are listed on a
securities exchange and for which market quotations are readily available are
valued at the last quoted sale price of the day. Securities held by the Domestic
Equity Portfolios that are listed on NASDAQ are valued at the NASDAQ Official
Closing Price ("NOCP"). If there is no last reported sale price or NOCP for the
day, the Portfolios value the securities at the mean between the quoted bid and
asked prices. Securities held by VA International Value Portfolio and VA
International Small Portfolio (the "International Equity Portfolios") which are
listed on a securities exchange are valued at the last quoted sale price. Price
information on listed securities is taken from the exchange where the security
is primarily traded. Unlisted securities for which market quotations are readily
available are valued at the mean between the most recent bid and asked prices.
Securities for which quotations are not readily available, or for which market
quotations have become unreliable, are valued in good faith at fair value using
methods approved by the Board of Directors.
The International Equity Portfolios will also apply a fair value price in
the circumstances described below. Generally, trading in foreign securities
markets is completed each day at various times prior to the close of the New
York Stock Exchange (NYSE). For example, trading in the Japanese securities
markets is completed each day at the close of the Tokyo Stock Exchange
(generally 11:00 p.m. PT), which is fourteen hours prior to the close of the New
York Stock Exchange (NYSE) (generally 1:00 p.m. PT) and the time that the net
asset values of the International Equity Portfolios are computed. Due to the
time differences between the closings of the relevant foreign securities
exchanges and the time the International Equity Portfolios price their shares at
the close of the NYSE, the International Equity Portfolios will fair value their
foreign investments when it is determined that the market quotations for the
foreign investments are either unreliable or not readily available. The fair
value prices will attempt to reflect the impact of the U.S. financial markets'
perceptions and trading activities on the International Equity Portfolios'
foreign investments since the last closing prices of the foreign investments
were calculated on their primary foreign securities markets or exchanges. For
these purposes, the Board of Directors of the Funds have determined that
movements in relevant indices or other appropriate market indicators, after the
close of the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that
market quotations may be unreliable, and may trigger fair value pricing.
Consequently, fair valuation of portfolio securities may occur on a daily basis.
The fair value pricing by the International Equity Portfolios utilizes data
furnished by an independent pricing service (and that data draws upon, among
other information, the market values of foreign investments). The fair value
prices of portfolio securities generally will be used when it is determined that
the use of such prices will have a material impact on the net asset value of a
fund. When an International Equity Portfolio uses fair value pricing, the values
assigned to the
53
International Equity Portfolio's foreign investments may not be the quoted or
published prices of the investments on their primary markets or exchanges.
Securities held by VA Short-Term Fixed Portfolio and VA Global Bond
Portfolio are valued at the mean between the most recently quoted bid and asked
prices or prices provided by a pricing service when such prices are believed to
reflect the current market value of such securities. Securities for which
quotations are not readily available, or for which market quotations have become
unreliable, are valued in good faith at fair value using methods approved by the
Board of Directors.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and
liabilities of the International Equity Portfolios and VA Global Bond Portfolio
whose values are initially expressed in foreign currencies are translated to
U.S. dollars using the mean betwen the most recently quoted bid and asked prices
for the U.S. dollar as quoted by generally recognized reliable sources. Dividend
and interest income and certain expenses are translated to U.S. dollars at the
rate of exchange on their respective accrual dates. Receivables and payables
denominated in foreign currencies are marked to market daily based on daily
exchange rates and exchange gains or losses are realized upon ultimate receipt
or disbursement. VA Global Bond Portfolio also enters into forward foreign
currency contracts solely for the purpose of hedging against fluctuations in
currency exchange rates. These contracts are also marked to market daily based
on daily exchange rates.
The International Equity Portfolios do not isolate the effect of
fluctuations in foreign exchange rates from the effect of fluctuations in the
market prices of securities whether realized or unrealized. However, VA Global
Bond Portfolio does isolate the effect of fluctuations in foreign currency rates
when determining the gain or loss upon the sale or maturity of foreign currency
denominated debt obligations pursuant to U.S. federal income tax regulations;
such amounts are categorized as foreign exchange gain or loss for both financial
reporting and income tax reporting purposes.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amount of interest,
dividends and foreign withholding taxes recorded on the books of the
International Equity Portfolios and VA Global Bond Portfolio and the U.S. dollar
equivalent amounts actually received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Directors may defer payment of a
percentage of their total fees earned as a Director. These deferred amounts may
be treated as though such amounts had been invested in shares of the following
funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA
International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income are included in Directors'
Fees and Expenses.
4. OTHER: Security transactions are accounted for on the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on the accrual basis. Discount and premium on debt securities
purchased are amortized over the lives of the respective securities. Expenses
directly attributable to a VA Portfolio are directly charged. Common expenses of
the Fund are allocated using methods approved by the Board of Directors,
generally based on average net assets.
The International Equity Portfolios may be subject to taxes imposed by
countries in which they invest, with respect to their investments in issues
existing or operating in such countries. Such taxes are generally based on
income earned or repatriated and capital gains realized on the sale of such
investments. The International Equity Portfolios accrue such taxes when the
related income or capital gains are earned. Some countries require governmental
approval for the repatriation of investment income, capital or the proceeds of
sales earned by foreign investors. In addition, if there is a deterioration in a
country's balance of payments or for other reasons, a country may impose
temporary restrictions on foreign capital remittances abroad.
54
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or "the Advisor") provides
investment advisory services to the Portfolios. For the six months ended May 31,
2005, the VA Portfolios' advisory fees were accrued daily and paid monthly to
the Advisor based on the following effective annual rates:
ˇ Download Table
VA Small Value Portfolio 0.50 of 1%
VA Large Value Portfolio 0.25 of 1%
VA International Value Portfolio 0.40 of 1%
VA International Small Portfolio 0.50 of 1%
VA Short-Term Fixed Portfolio 0.25 of 1%
VA Global Bond Portfolio 0.25 of 1%
Certain officers of the Fund are also officers, directors and shareholders
of the Advisor.
D. DEFERRED COMPENSATION:
At May 31, 2005, the total liability for deferred compensation to Directors
is included in Accrued Expenses and Other Liabilities as follows:
ˇ Download Table
VA Small Value Portfolio $ 1,032
VA Large Value Portfolio 1,153
VA International Value Portfolio 822
VA International Small Portfolio 579
VA Short-Term Fixed Portfolio 698
VA Global Bond Portfolio 744
E. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 2005, the Portfolios made the following
purchases and sales of investment securities other than short-term securities
(amounts in thousands):
ˇ Enlarge/Download Table
U.S. GOVERNMENT OTHER INVESTMENT
SECURITIES SECURITIES
------------------------- -------------------------
PURCHASES SALES PURCHASES SALES
----------- ----------- ----------- -----------
VA Small Value Portfolio -- -- $ 16,426 $ 12,812
VA Large Value Portfolio -- -- 5,711 3,645
VA International Value Portfolio -- -- 4,363 1,544
VA International Small Portfolio -- -- 3,045 1,762
VA Short-Term Fixed Portfolio $ 5,629 $ 3,812 10,574 6,451
VA Global Bond Portfolio 3,907 8,829 23,311 6,882
F. FEDERAL INCOME TAXES:
Each VA Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code for
federal income tax purposes and to distribute substantially all of its taxable
income and net capital gains to shareholders. Accordingly, no provision has been
made for federal income taxes.
55
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2004 and November 30, 2003 were as follows (amounts
in thousands):
ˇ Download Table
ORDINARY
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAIN TOTAL
------------- ------------- -------------
VA Small Value Portfolio
2004 $ 1,707 $ 2,959 $ 4,666
2003 96 2,206 2,302
VA Large Value Portfolio
2004 553 -- 553
2003 442 -- 442
VA International Value Portfolio
2004 526 1,123 1,649
2003 513 -- 513
VA International Small Portfolio
2004 703 691 1,394
2003 262 -- 262
VA Short-Term Fixed Portfolio
2004 654 58 712
2003 1,006 -- 1,006
VA Global Bond Portfolio
2004 1,192 933 2,125
2003 897 118 1,015
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
At November 30, 2004, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
ˇ Enlarge/Download Table
TOTAL NET
DISTRIBUTABLE
UNDISTRIBUTED UNDISTRIBUTED CAPITAL EARNINGS
NET INVESTMENT LONG-TERM LOSS (ACCUMULATED
INCOME CAPITAL GAINS CARRYFORWARD LOSSES)
--