SA FUNDS INVESTMENT TRUST (Form: N

SECURITIES AND EXCHANGE COMMISSION
FORM N-CSR
Certified annual shareholder report of registered management investment companies filed on Form
N-CSR
Filing Date: 2004-08-30 | Period of Report: 2004-06-30
SEC Accession No. 0001047469-04-027550
(HTML Version on secdatabase.com)
FILER
SA FUNDS INVESTMENT TRUST
CIK:1075065| IRS No.: 770216379 | State of Incorp.:DE | Fiscal Year End: 0630
Type: N-CSR | Act: 40 | File No.: 811-09195 | Film No.: 041005882
Mailing Address
1190 SARATOGA AVENUE
SUITE 200
SAN JOSE CA 95129
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Business Address
1190 SARATOGA AVENUE
SUITE 200
SAN JOSE CA 95129
408-260-3100
<Page>
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: 811-09195
--------SA FUNDS - INVESTMENT TRUST
-------------------------------------------------------------------------------(Exact name of registrant as specified in charter)
1190 Saratoga Avenue, Suite 200, San Jose, California 95129
-------------------------------------------------------------------------------(Address of principal executive offices) (zip code)
Jennifer S. Fromm, Esq.
Senior Legal Counsel
Loring Ward Group Inc.
10100 Santa Monica Boulevard, Suite 1050
Los Angeles, California 90067
(Name and address of agent for service)
Copy to:
R. Darrell Mounts, Esq.
Kirkpatrick & Lockhart LLP
1800 Massachusetts Avenue, NW, 2nd Floor
Washington, D.C. 20036
Karen Jacoppo-Wood, Esq.
State Street Bank and Trust Company
One Federal Street, 9th Floor
Boston, Massachusetts 02110
Registrant's telephone number, including area code: 310-229-4464
Date of fiscal year end: June 30
Date of reporting period: June 30, 2004
<Page>
ITEM 1.
<Page>
REPORTS TO SHAREHOLDERS.
[SA FUNDS LOGO]
[GRAPHIC]
A WORLD OF INVESTMENT POSSIBILITIES
ANNUAL REPORT
JUNE 30, 2004
<Page>
TABLE OF CONTENTS
<Table>
<S>
MANAGEMENT DISCUSSION AND ANALYSIS
PORTFOLIOS OF INVESTMENTS
SA Fixed Income Fund
SA U.S. Market Fund
SA U.S. HBtM Fund
SA U.S. Small Company Fund
SA International HBtM Fund
SA International Small Company Fund
STATEMENTS OF ASSETS AND LIABILITIES
STATEMENTS OF OPERATIONS
STATEMENTS OF CHANGES IN NET ASSETS
FINANCIAL HIGHLIGHTS
NOTES TO FINANCIAL STATEMENTS
REPORT OF INDEPENDENT AUDITORS
PROXY VOTING POLICIES AND PROCEDURES
TRUSTEES AND OFFICERS' INFORMATION
PAGE
<C>
1
8
10
26
29
50
58
60
62
64
68
74
81
82
82
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Please Consider the Environment Before Printing This Document
FINANCIAL STATEMENTS OF DFA INVESTMENT DIMENSIONS GROUP INC & DFA
INVESTMENT TRUST COMPANY
</Table>
85
Any information in this shareholder report regarding market or economic trends
or the factors influencing the Trust's performance are statements of the opinion
of Trust management as of the date of this report. These statements should not
be relied upon for any other purposes. Past performance is no guarantee of
future results, and there is no guarantee that Fund objectives will be achieved.
<Page>
SA Fixed Income Fund
The inclination that the Federal Reserve Board would raise interest rates
some time this year was realized at the end of the year at its June meeting.
Although the anticipation of rate increases had already affected bond prices,
many feel that further increases may continue to impact bond returns.
Following the trend of fiscal 2003, fund average maturity continued to
extend. At the end of fiscal 2004, the average maturity of the portfolio was
4.31 years.
During the year, the allocation to global bonds varied greatly. At one
point the portfolio had roughly 80% in U.S. bonds because the U.S. yield curve
was fairly normal while global markets had inverted characteristics. At the end
of the fiscal year, approximately 65% of the portfolio was invested in U.S.
bonds.
[CHART]
Comparison of Change in Value of a $10,000 Investment in SA Fixed Income Fund
vs. the Lehman Brothers Aggregate Bond Index
<Table>
<Caption>
<S>
7/29/99
9/30/99
12/31/99
3/31/2000
6/30/2000
9/30/2000
12/31/2000
3/31/2001
6/30/2001
9/30/2001
12/31/2001
3/31/2002
6/30/2002
9/30/2002
12/31/2002
3/31/2003
6/30/2003
9/30/2003
12/31/2003
3/31/2004
6/30/2004
</Table>
SA FIXED INCOME FUND
<C>
$ 10,000.00
$ 10,073.00
$ 10,147.00
$ 10,268.00
$ 10,390.00
$ 10,559.28
$ 10,746.21
$ 10,922.30
$ 11,001.21
$ 11,296.27
$ 11,310.91
$ 11,262.64
$ 11,725.88
$ 12,355.73
$ 12,509.83
$ 12,627.61
$ 12,921.85
$ 12,845.84
$ 12,762.39
$ 13,130.22
$ 12,679.43
LEHMAN AGGREGATE BOND INDEX
<C>
$ 10,000.00
$ 10,111.00
$ 10,099.00
$ 10,322.00
$ 10,500.00
$ 10,817.35
$ 11,273.17
$ 11,614.38
$ 11,679.20
$ 12,218.24
$ 12,222.73
$ 12,234.73
$ 12,687.52
$ 13,269.59
$ 13,477.93
$ 13,665.28
$ 14,006.91
$ 13,986.70
$ 14,031.56
$ 14,403.78
$ 14,390.42
The Lehman Brothers Aggregate Bond Index is a market capitalization
weighted broad index of U.S. investment-grade fixed income securities with
maturities of over one year.
PERFORMANCE INFORMATION
<Table>
<Caption>
ANNUALIZED
YEAR ENDED
INCEPTION TO
JUNE 30, 2004
JUNE 30, 2004
---------------------------------------------------------------------<S>
<C>
<C>
SA Fixed Income Fund
(1.88)%
4.94%(a)
Lehman Aggregate Bond Index
2.74%
7.68%(b)
</Table>
(a)
(b)
From commencement of operations (July 29, 1999)
Performance for the benchmark is not available from July 29, 1999
(commencement of operations). For that reason, performance is shown from
July 31, 1999.
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
"TOTAL RETURN" IS CALCULATED INCLUDING REINVESTMENT OF ALL INCOME DIVIDENDS AND
DISTRIBUTIONS. RESULTS REPRESENT PAST PERFORMANCE AND DO NOT INDICATE FUTURE
RESULTS. THE VALUE OF AN INVESTMENT IN A FUND AND THE RETURN ON INVESTMENT BOTH
WILL FLUCTUATE, SO THAT REDEMPTION PROCEEDS MAY BE HIGHER OR LOWER THAN AN
INVESTOR'S ORIGINAL COST. THE RETURNS SHOWN DO NOT REFLECT THE DEDUCTION OF
TAXES THAT AN INVESTOR WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND
SHARES.
1
<Page>
SA U.S. Market Fund
The Fund invests in a sampling of common stocks that are traded on a
principal U.S. exchange or on the over-the-counter market in the U.S. The Fund's
returns in fiscal 2004 generally reflected the performance of the U.S.
marketplace. The overall U.S. equity market, measured by broad market indices
such as the S&P 500 Index and the Wilshire 5000 Total Market Index, showed
positive gains for the first part of fiscal 2004, with many of the broad-market
indexes earning double-digit returns for the year. Market returns were pushed up
by strong corporate profits, low inflation, and an overall robust economy.
However, returns showed signs of leveling off toward the latter part of the
fiscal year due to the threat of higher interest rates, higher oil prices and
uncertainty in Iraq.
[CHART]
Comparison of Change in Value of a $10,000 Investment in SA U.S. Market Fund
vs. the Wilshire 5000 Total Market Index
<Table>
<Caption>
<S>
8/5/99
9/30/99
12/31/99
3/31/2000
6/30/2000
9/30/2000
12/31/2000
3/31/2001
6/30/2001
9/30/2001
12/31/2001
3/31/2002
6/30/2002
9/30/2002
12/31/2002
3/31/2003
6/30/2003
9/30/2003
12/31/2003
3/31/2004
6/30/2004
</Table>
SA U.S. MARKET FUND
<C>
$ 10,000.00
$ 9,740.00
$ 11,150.00
$ 11,830.00
$ 11,590.00
$ 11,949.98
$ 10,931.01
$ 9,754.06
$ 10,327.43
$ 8,756.83
$ 9,796.15
$ 9,887.00
$ 8,655.12
$ 7,180.38
$ 7,704.63
$ 7,460.98
$ 8,668.73
$ 8,942.63
$ 10,010.02
$ 10,203.89
$ 10,326.34
WILSHIRE 5000 INDEX
<C>
$ 10,000.00
$ 9,648.00
$ 11,410.00
$ 11,846.00
$ 11,314.00
$ 11,334.02
$ 10,163.22
$ 8,915.15
$ 9,581.64
$ 8,059.20
$ 9,056.22
$ 9,143.35
$ 7,990.33
$ 6,647.01
$ 7,167.41
$ 6,946.33
$ 8,093.18
$ 8,392.94
$ 9,434.12
$ 9,680.61
$ 9,804.95
The Wilshire 5000 Total Market Index is a market capitalization weighted
broad index of all U.S.-headquartered equity securities.
PERFORMANCE INFORMATION
<Table>
<Caption>
ANNUALIZED
YEAR ENDED
INCEPTION TO
JUNE 30, 2004
JUNE 30, 2004
----------------------------------------------------------------------<S>
<C>
<C>
SA U.S. Market Fund
19.12%
0.66%(a)
Wilshire 5000 Index
21.15%
(0.40)%(b)
</Table>
(a)
(b)
From commencement of operations (August 5, 1999)
Performance for the benchmark is not available from August 5, 1999
(commencement of operations). For that reason, performance is shown from
July 31, 1999.
"TOTAL RETURN" IS CALCULATED INCLUDING REINVESTMENT OF ALL INCOME DIVIDENDS AND
DISTRIBUTIONS. RESULTS REPRESENT PAST PERFORMANCE AND DO NOT INDICATE FUTURE
RESULTS. THE VALUE OF AN INVESTMENT IN A FUND AND THE RETURN ON INVESTMENT BOTH
WILL FLUCTUATE, SO THAT REDEMPTION PROCEEDS MAY BE HIGHER OR LOWER THAN AN
INVESTOR'S ORIGINAL COST. THE RETURNS SHOWN DO NOT REFLECT THE DEDUCTION OF
TAXES THAT AN INVESTOR WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
SHARES.
2
<Page>
SA U.S. HBtM Fund
The Fund invests in common stocks of large U.S. companies, traded on a
principal U.S. exchange or on the over-the-counter market in the U.S., that the
Fund's investment sub-adviser believes are value stocks. The Fund also seeks to
minimize the impact of federal taxes on returns by deferring net capital gains
and minimizing dividend income. The Fund's returns in fiscal 2004 closely
tracked the performance of large U.S. value companies. The sustained economic
recovery was a key contributing factor to the large performance increase over
the year. Returns for the U.S. value asset class continued on their upward trend
in the early part of the fiscal year due to the improved economic outlook.
Strong corporate profits and low inflation helped to boost returns. However,
returns showed signs of leveling off toward the latter part of the fiscal year
due to the threat of higher interest rates, higher oil prices and uncertainty in
Iraq.
[CHART]
Comparison of Change in Value of a $10,000 Investment in U.S. HBtM Fund
vs. the Russell 1000 Value Index
<Table>
<Caption>
<S>
8/5/99
9/30/99
12/31/99
3/31/2000
6/30/2000
9/30/2000
12/31/2000
3/31/2001
6/30/2001
9/30/2001
12/31/2001
3/31/2002
6/30/2002
9/30/2002
12/31/2002
3/31/2003
6/30/2003
9/30/2003
12/31/2003
3/31/2004
6/30/2004
</Table>
SA U.S. HBtM FUND
<C>
$ 10,000.00
$ 9,270.00
$ 9,410.00
$ 9,010.00
$ 8,620.00
$ 9,410.56
$ 10,216.65
$ 10,450.84
$ 11,179.08
$ 9,199.78
$ 10,302.65
$ 10,476.96
$ 8,909.59
$ 7,128.32
$ 7,783.28
$ 7,364.67
$ 8,884.79
$ 9,171.36
$ 10,616.35
$ 10,903.28
$ 11,056.99
RUSSELL 1000 VALUE INDEX
<C>
$ 10,000.00
$ 9,334.28
$ 9,788.30
$ 9,768.87
$ 9,259.30
$ 10,121.60
$ 10,486.13
$ 9,872.12
$ 10,353.79
$ 9,219.52
$ 9,899.52
$ 10,304.40
$ 9,426.67
$ 7,656.22
$ 8,362.24
$ 7,955.50
$ 9,329.91
$ 9,522.41
$ 10,873.55
$ 11,202.25
$ 11,300.94
The Russell 1000 Value Index is comprised of companies with the lowest
price-to-book ratios within the Russell 1000 Index. The Russell 1000 Index is a
market capitalization weighted broad index of 1000 large capitalization U.S.
companies.
PERFORMANCE INFORMATION
<Table>
<Caption>
ANNUALIZED
YEAR ENDED
INCEPTION TO
JUNE 30, 2004
JUNE 30, 2004
---------------------------------------------------------------------<S>
<C>
<C>
SA U.S. HBtM Fund
24.46%
2.07%(a)
Russell 1000 Value Index
21.13%
2.52%(b)
</Table>
(a)
(b)
From commencement of operations (August 5, 1999)
Performance for the benchmark is not available from August 5, 1999
(commencement of operations). For that reason, performance is shown from
July 31, 1999.
"TOTAL RETURN" IS CALCULATED INCLUDING REINVESTMENT OF ALL INCOME DIVIDENDS AND
DISTRIBUTIONS. RESULTS REPRESENT PAST PERFORMANCE AND DO NOT INDICATE FUTURE
RESULTS. THE VALUE OF AN INVESTMENT IN A FUND AND THE RETURN ON INVESTMENT BOTH
WILL FLUCTUATE, SO THAT REDEMPTION PROCEEDS MAY BE HIGHER OR LOWER THAN AN
INVESTOR'S ORIGINAL COST. THE RETURNS SHOWN DO NOT REFLECT THE DEDUCTION OF
TAXES THAT AN INVESTOR WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND
SHARES.
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
3
<Page>
SA U.S. Small Company Fund
The Fund invests in equity securities of small cap companies traded on a
principal U.S. exchange or on the over-the-counter market in the U.S. The Fund
also seeks to minimize the impact of federal taxes on returns by deferring net
capital gains and minimizing dividend income. The Fund's returns in fiscal 2004
compared well with the performance of small U.S. companies. The U.S. small asset
class in fiscal 2004 was one of the highest performing asset classes. The U.S.
small asset class continued its ascent through the first three quarters of
fiscal 2004, due to the strong economic outlook, positive corporate profits, and
low expected inflation. However, returns showed signs of leveling off toward the
latter part of the fiscal year due to the threat of higher interest rates,
higher oil prices and uncertainty in Iraq.
[CHART]
Comparison of Change in Value of a $10,000 Investment in SA U.S. Small Company
Fund vs. the Russell 2000 Index
<Table>
<Caption>
<S>
8/5/99
9/30/99
12/31/99
3/31/2000
6/30/2000
9/30/2000
12/31/2000
3/31/2001
6/30/2001
9/30/2001
12/31/2001
3/31/2002
6/30/2002
9/30/2002
12/31/2002
3/31/2003
6/30/2003
9/30/2003
12/31/2003
3/31/2004
6/30/2004
</Table>
SA U.S. SMALL CO. FUND
<C>
$ 10,000
$ 10,030
$ 11,460
$ 12,430
$ 12,580
$ 13,271
$ 12,202
$ 11,540
$ 13,714
$ 10,757
$ 13,284
$ 13,705
$ 12,271
$ 9,674
$ 10,255
$ 9,744
$ 12,180
$ 13,372
$ 15,327
$ 16,179
$ 16,279
RUSSELL 2000 INDEX
<C>
$ 10,000
$ 9,943
$ 11,745
$ 12,544
$ 12,036
$ 12,709
$ 11,831
$ 11,062
$ 12,643
$ 10,015
$ 12,126
$ 12,609
$ 11,556
$ 9,083
$ 9,642
$ 9,209
$ 11,366
$ 12,397
$ 14,198
$ 15,086
$ 15,157
The Russell 2000 Index is a market capitalization weighted broad index of
2000 small capitalization U.S. companies.
PERFORMANCE INFORMATION
<Table>
<Caption>
ANNUALIZED
YEAR ENDED
INCEPTION TO
JUNE 30, 2004
JUNE 30, 2004
---------------------------------------------------------------------<S>
<C>
<C>
SA U.S. Small Company Fund
33.66%
10.45%(a)
Russell 2000 Index
33.35%
8.82%(b)
</Table>
(a)
(b)
From commencement of operations (August 5, 1999)
Performance for the benchmark is not available from August 5, 1999
(commencement of operations). For that reason, performance is shown from
July 31, 1999.
"TOTAL RETURN" IS CALCULATED INCLUDING REINVESTMENT OF ALL INCOME DIVIDENDS AND
DISTRIBUTIONS. RESULTS REPRESENT PAST PERFORMANCE AND DO NOT INDICATE FUTURE
RESULTS. THE VALUE OF AN INVESTMENT IN A FUND AND THE RETURN ON INVESTMENT BOTH
WILL FLUCTUATE, SO THAT REDEMPTION PROCEEDS MAY BE HIGHER OR LOWER THAN AN
INVESTOR'S ORIGINAL COST. THE RETURNS SHOWN DO NOT REFLECT THE DEDUCTION OF
TAXES THAT AN INVESTOR WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND
SHARES.
4
<Page>
SA International HBtM Fund
The Fund invests in common stocks of large non-U.S. companies that the
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Fund's investment sub-adviser believes are value stocks at the time of purchase.
The Fund also seeks to minimize the impact of federal taxes on returns by
deferring net capital gains and minimizing dividend income. International large
value company performance in fiscal 2004 was robust throughout the countries
represented within the Fund. Strong global economic growth and earnings coupled
with a weakening dollar propelled the returns of the Fund past 35% for the
fiscal year. The returns from international value markets outpaced the
performance of the U.S. market during the 12 months. However, returns showed
signs of leveling off toward the latter part of the fiscal year due to the
threat of higher interest rates, higher oil prices and uncertainty in Iraq.
[CHART]
Comparison of Change in Value of a $10,000 Investment in SA International HBtM
Fund vs. the MSCI EAFE Value Index
<Table>
<Caption>
<S>
8/5/99
9/30/99
12/31/99
3/31/2000
6/30/2000
9/30/2000
12/31/2000
3/31/2001
6/30/2001
9/30/2001
12/31/2001
3/31/2002
6/30/2002
9/30/2002
12/31/2002
3/31/2003
6/30/2003
9/30/2003
12/31/2003
3/31/2004
6/30/2004
</Table>
SA INTERNATIONAL HBTM FUND
<C>
$ 10,000
$ 9,910
$ 10,036
$ 9,594
$ 10,036
$ 9,554
$ 10,024
$ 9,237
$ 9,519
$ 8,133
$ 8,739
$ 8,831
$ 8,750
$ 6,967
$ 7,443
$ 6,917
$ 8,443
$ 9,309
$ 10,862
$ 11,517
$ 11,632
MSCI EAFE VALUE INDEX
<C>
$ 10,000
$ 9,919
$ 10,803
$ 10,598
$ 10,747
$ 10,265
$ 10,484
$ 9,339
$ 9,387
$ 8,224
$ 8,574
$ 8,703
$ 8,512
$ 6,782
$ 7,236
$ 6,647
$ 8,148
$ 8,934
$ 10,588
$ 11,095
$ 11,119
The Morgan Stanley Capital International (MSCI) Europe, Australasia, Far
East (EAFE) Value Index is comprised of companies within the MSCI EAFE Index
having characteristics such as low market-to-book ratios. The MSCI EAFE Index is
an index of securities listed on the stock exchanges of 21 developed market
countries other than the United States.
PERFORMANCE INFORMATION
<Table>
<Caption>
ANNUALIZED
YEAR ENDED
INCEPTION TO
JUNE 30, 2004
JUNE 30, 2004
---------------------------------------------------------------------<S>
<C>
<C>
SA International HBtM Fund
37.76%
3.13%(a)
MSCI EAFE Value Index
36.47%
2.18%(b)
</Table>
(a)
(b)
From commencement of operations (August 5, 1999)
Performance for the benchmark is not available from August 5, 1999
(commencement of operations). For that reason, performance is shown from
July 31, 1999.
"TOTAL RETURN" IS CALCULATED INCLUDING REINVESTMENT OF ALL INCOME DIVIDENDS AND
DISTRIBUTIONS. RESULTS REPRESENT PAST PERFORMANCE AND DO NOT INDICATE FUTURE
RESULTS. THE VALUE OF AN INVESTMENT IN A FUND AND THE RETURN ON INVESTMENT BOTH
WILL FLUCTUATE, SO THAT REDEMPTION PROCEEDS MAY BE HIGHER OR LOWER THAN AN
INVESTOR'S ORIGINAL COST. THE RETURNS SHOWN DO NOT REFLECT THE DEDUCTION OF
TAXES THAT AN INVESTOR WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND
SHARES.
5
<Page>
SA International Small Company Fund
International small company performance in fiscal 2004 was robust across
all of the regions represented within the Fund. Strong global economic growth
and earnings coupled with a weakening dollar propelled the returns of the Fund
past 40% for the fiscal year. The returns from international small markets
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Please Consider the Environment Before Printing This Document
outpaced the performance of the U.S market during the 12 months. However,
returns showed signs of leveling off toward the latter part of the fiscal year
due to the threat of higher interest rates, higher oil prices and uncertainty in
Iraq.
The Fund is a feeder fund that invests in the International Small Company
Portfolio of DFA Investment Dimensions Group (the "Portfolio"). The Portfolio
invests in the following four international series of DFA Investment Trust
Company:
THE JAPANESE SMALL COMPANY SERIES: The series seeks to capture premium
returns and diversification benefits by investing in a broad cross-section of
small companies on a market cap-weighted basis. The series provides access to a
broad and diverse group of readily marketable stocks of Japanese small companies
that are traded in the Japanese securities markets.
THE PACIFIC RIM SMALL COMPANY SERIES: The series seeks to capture premium
returns and diversification benefits by investing in a broad cross-section of
small companies on a market cap-weighted basis. The series provides access to a
broad and diverse group of readily marketable stocks of small companies located
in Australia, New Zealand and Pacific Rim Asian countries, whose shares are
traded principally in securities markets located in those countries.
THE UNITED KINGDOM SMALL COMPANY SERIES: The series seeks to capture
premium returns and diversification benefits by investing in a broad
cross-section of small companies on a market cap-weighted basis. The series
provides access to a broad and diverse group of readily marketable stocks of
United Kingdom small companies that are traded principally on the London Stock
Exchange.
THE CONTINENTAL SMALL COMPANY SERIES: The series seeks to capture premium
returns and diversification benefits by investing in a broad cross-section of
small companies on a market cap-weighted basis. The series provides access to a
broad and diverse group of readily marketable stocks of small companies
organized in certain European countries, whose shares are traded principally in
securities markets located in those countries. During fiscal 2004, the series
was authorized to invest in Austria, Belgium, Denmark, Finland, France, Germany,
Greece, Ireland, Italy, Netherlands, Norway, Portugal, Spain, Sweden and
Switzerland.
6
<Page>
[CHART]
Comparison of Change in Value of a $10,000 Investment in SA International Small
Company Fund vs. the Salomon Smith Barney Extended Market Index -- EPAC (EMI)
<Table>
<Caption>
<S>
8/5/99
9/30/99
12/31/99
3/31/2000
6/30/2000
9/30/2000
12/31/2000
3/31/2001
6/30/2001
9/30/2001
12/31/2001
3/31/2002
6/30/2002
9/30/2002
12/31/2002
3/31/2003
6/30/2003
9/30/2003
12/31/2003
3/31/2004
6/30/2004
</Table>
SA INTERNATIONAL SMALL CO. FUND
<C>
$ 10,000
$ 10,278
$ 10,259
$ 10,635
$ 10,584
$ 9,975
$ 9,500
$ 8,981
$ 9,576
$ 8,303
$ 8,468
$ 9,047
$ 9,624
$ 8,363
$ 8,507
$ 8,465
$ 10,409
$ 11,921
$ 13,309
$ 15,001
$ 15,012
SALOMON SMITH BARNEY
EXTENDED MARKET INDEX
<C>
$ 10,000
$ 10,145
$ 10,024
$ 11,166
$ 11,019
$ 10,385
$ 9,829
$ 8,779
$ 8,995
$ 7,619
$ 8,217
$ 8,698
$ 8,880
$ 7,234
$ 7,515
$ 7,153
$ 8,814
$ 9,977
$ 11,495
$ 12,496
$ 12,608
Salomon Smith Barney Extended Market Index -- EPAC (EMI) is compiled by
Salomon Smith Barney. The EMI defines the small-capitalization equity universe,
representing the bottom 20% of the available capitalization, and 75% of the
number of issues, of each country in the Salomon Smith Barney Broad Market Index
(SB BMI). The index is calculated gross of withholding taxes and is
capitalization weighted.
For comparative purposes, the SA International Small Company Fund uses a
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
blended return which is calculated using the Fund's respective target weightings
against corresponding EMI regions. For the period prior to April 1, 2002, the
blended return was calculated using 35%, 35%, 15% and 15% of the Europe ex UK,
Japan, United Kingdom and Asia Pacific ex Japan EMI Indexes, respectively. For
the period subsequent to April 1, 2002, the blended return was calculated using
42%, 29%, 15% and 14% of the Europe ex UK, Japan, United Kingdom and Asia
Pacific ex Japan EMI Indexes, respectively.
PERFORMANCE INFORMATION
<Table>
<Caption>
ANNUALIZED
YEAR ENDED
INCEPTION TO
JUNE 30, 2004
JUNE 30, 2004
-----------------------------------------------------------------------------<S>
<C>
<C>
SA International Small Company Fund
44.21%
8.63%(a)
Salomon Smith Barney Extended Market Index
43.03%
4.82%(b)
</Table>
(a)
(b)
From commencement of operations (August 5, 1999)
Performance for the benchmark is not available from August 5, 1999
(commencement of operations). For that reason, performance is shown from
July 31, 1999.
"TOTAL RETURN" IS CALCULATED INCLUDING REINVESTMENT OF ALL INCOME DIVIDENDS AND
DISTRIBUTIONS. RESULTS REPRESENT PAST PERFORMANCE AND DO NOT INDICATE FUTURE
RESULTS. THE VALUE OF AN INVESTMENT IN A FUND AND THE RETURN ON INVESTMENT BOTH
WILL FLUCTUATE, SO THAT REDEMPTION PROCEEDS MAY BE HIGHER OR LOWER THAN AN
INVESTOR'S ORIGINAL COST. THE RETURNS SHOWN DO NOT REFLECT THE DEDUCTION OF
TAXES THAT AN INVESTOR WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND
SHARES.
7
<Page>
SA Fixed Income Fund
PORTFOLIO OF INVESTMENTS -- AS OF JUNE 30, 2004
<Table>
<Caption>
FACE
AMOUNT
VALUE+
----------------------------------------------------------------------------------------<S>
<C>
<C>
BONDS AND NOTES -- 97.7%
AUSTRIA -- 1.3%
Republic of Austria, 6.250%,
5/19/08
USD 3,300,000
$
3,582,770
--------------CANADA -- 8.2%
BP Canada Finance Co., 3.625%,
1/15/09
Canada Mortgage & Housing Corp.,
3.375%, 12/01/08
Government of Canada, 5.250%,
11/05/08
Province of British Columbia, 5.375%,
10/29/08
Province of Ontario, 5.500%,
10/01/08
USD
4,525,000
4,430,790
USD
3,450,000
3,391,395
USD
5,500,000
5,812,235
USD
1,300,000
1,369,892
USD
7,550,000
7,982,562
--------------22,986,874
---------------
FINLAND -- 2.8%
Republic of Finland, 3.250%,
5/15/09
USD
8,000,000
7,703,600
---------------
FRANCE -- 4.2%
Dexia Credit Local, 5.500%, 1/21/09
Total Capital SA, 3.500%, 1/05/09
USD
USD
4,600,000
7,200,000
4,821,945
7,012,800
--------------11,834,745
---------------
USD
USD
1,700,000
7,200,000
1,782,413
6,991,668
GERMANY -- 7.7%
DSL Bank AG, 5.500%, 2/17/09
KfW Group, 3.250%, 3/30/09
Landeskreditbank Baden
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Please Consider the Environment Before Printing This Document
Wuerttemberg -- Foerderbank,
3.000%, 9/30/08
Landwirtschaftliche Rentenbank,
3.750%, 6/15/09
USD
5,000,000
4,773,635
USD
8,100,000
7,937,279
--------------21,484,995
---------------
USD
4,000,000
4,275,936
---------------
USD
5,000,000
4,717,020
USD
5,200,000
5,477,758
--------------10,194,778
---------------
SPAIN -- 1.3%
Kingdom of Spain, 5.875%, 7/28/08
USD
3,500,000
3,754,111
---------------
SWEDEN -- 2.9%
Government of Sweden, 5.000%,
1/28/09 Series 1043
SEK 58,000,000
8,022,750
---------------
USD
4,800,000
$
USD
1,700,000
1,608,271
USD
USD
2,100,000
2,470,000
2,241,349
2,402,846
USD
1,355,000
1,463,517
USD
5,000,000
5,297,140
USD 13,000,000
12,805,169
JAPAN -- 1.5%
Nippon Telegraph & Telephone Corp.,
6.000%, 3/25/08
NETHERLANDS -- 3.7%
Nederlandse Waterschapsbank,
2.750%, 12/30/08
Rabobank Nederland -Cooperatieve Centrale
Raiffeisen -- Boerenleenbank
BA, 5.500%, 9/17/08
UNITED STATES -- 64.1%
African Development Bank, 3.250%,
8/01/08
Bayerische Landesbank Girozentrale,
2.875%, 10/15/08
Bayerische Landesbank Girozentrale,
5.875%, 12/01/08
Citigroup, Inc., 3.625%, 2/09/09
European Coal & Steel, 6.375%,
3/26/08
European Investment Bank, 5.375%,
9/16/08
Federal Farm Credit Bank, 3.625%,
10/24/08
Federal Home Loan Bank, 3.000%,
4/15/09
Federal Home Loan Bank, 3.500%,
2/13/09
Federal Home Loan Bank, 3.625%,
11/14/08
Federal Home Loan Bank, 5.500%,
8/15/08
Federal Home Loan Mortgage Corp.,
3.375%, 4/15/09
Federal Home Loan Mortgage Corp.,
3.625%, 9/15/08
Federal Home Loan Mortgage Corp.,
5.125%, 10/15/08
Federal Home Loan Mortgage Corp.,
5.750%, 3/15/09
Federal National Mortgage
Association, 3.250%, 8/15/08
Federal National Mortgage
Association, 3.250%, 2/15/09
Federal National Mortgage
Association, 5.250%, 1/15/09
Fifth Third Bank, 3.375%, 8/15/08
General Electric Capital Corp.,
4.250%, 1/15/08
Interamerican Development Bank,
3.375%, 3/17/08
Interamerican Development Bank,
5.375%, 11/18/08
International Bank of
Reconstruction & Development,
5.000%, 10/29/08
Procter & Gamble Co., 4.300%,
8/15/08
Procter & Gamble Co., 6.125%,
5/08/08
Siemens Capital Corp., 6.000%,
4,668,754
USD
5,700,000
5,417,274
USD
4,000,000
3,900,912
USD
4,000,000
3,939,284
USD
4,000,000
4,229,004
USD
3,000,000
2,891,925
USD
3,000,000
2,960,220
USD 11,500,000
12,012,774
USD
4,000,000
4,271,184
USD
8,500,000
8,280,453
USD 12,000,000
11,573,688
USD
USD
4,600,000
4,000,000
4,823,298
3,887,004
USD
4,000,000
4,053,384
USD
2,800,000
2,778,193
USD
3,200,000
3,406,573
USD
6,000,000
6,236,058
USD
1,800,000
1,826,591
USD
6,000,000
6,435,474
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
2/11/08
Tennessee Valley Authority, 5.375%,
11/13/08 Series G
The Gillette Co., 2.500%, 6/01/08
The Gillette Co., 2.875%, 3/15/08
</Table>
USD
5,000,000
5,309,415
USD 11,140,000
USD 1,600,000
USD 4,550,000
11,739,399
1,524,310
4,430,317
8
<Page>
<Table>
<Caption>
FACE
AMOUNT
VALUE+
----------------------------------------------------------------------------------------<S>
<C>
<C>
BONDS AND NOTES (CONTINUED)
UNITED STATES (CONTINUED)
Toyota Motor Credit Corp., 2.875%,
8/01/08
USD 6,350,000
$
6,075,344
US Bank N.A., 3.400%, 3/02/09
USD 6,800,000
6,523,335
Wal-Mart Stores, Inc., 3.375%,
10/01/08
USD 5,200,000
5,059,142
Wells Fargo & Co., 3.125%,
4/01/09
USD 7,500,000
7,126,935
Westdeutsche Landesbank,
6.050%, 1/15/09
USD 7,500,000
7,993,290
--------------179,191,826
--------------TOTAL BONDS AND NOTES
(Identified Cost $278,277,112)
273,032,385
--------------<Caption>
SHARES
-------------<C>
<S>
SHORT-TERM INVESTMENTS -- 0.7%
UNITED STATES -- 0.7%
SSgA Government Money Market
Fund
SSgA Money Market Fund
511
1,876,699
TOTAL SHORT-TERM INVESTMENTS
(Identified Cost $1,877,210)
<C>
511
1,876,699
--------------1,877,210
--------------1,877,210
---------------
TOTAL INVESTMENTS -- 98.4%
(IDENTIFIED COST $280,154,322)#
Cash and Other Assets,
Less Liabilities -- 1.6%
274,909,595
4,564,736
--------------$
279,474,331
===============
NET ASSETS -- 100%
</Table>
+
#
See Note 1.
At June 30, 2004, the aggregate cost of investment securities for income
tax purposes was $280,154,322. Net unrealized depreciation aggregated
$5,244,727 of which $93,833 related to appreciated investment securities
and $5,338,560 related to depreciated investment securities.
Key to abbreviations:
SEK -- Swedish Krona
USD -- U.S. Dollar
Ten Largest Sector Holdings at June 30, 2004
(As a percentage of Net Assets):
<Table>
<Caption>
INDUSTRY
-------<S>
Government Agency
Banks
Foreign Government/Agency
Financial Services
Supranational Organizations
Diversified Operations
Cosmetics & Toiletries
PERCENTAGE
---------<C>
31.8%
22.7%
14.9%
7.2%
6.9%
5.6%
2.8%
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Oil & Gas
Retail -- General
Telephone
</Table>
2.5%
1.8%
1.5%
SEE NOTES TO FINANCIAL STATEMENTS.
9
<Page>
SA U.S. Market Fund
PORTFOLIO OF INVESTMENTS -- AS OF JUNE 30, 2004
<Table>
<Caption>
SHARES
VALUE+
----------------------------------------------------------------------------------<S>
<C>
<C>
COMMON STOCKS -- 98.8%
ADVERTISING -- 0.2%
Getty Images, Inc.*
1,300
$
78,000
Interpublic Group of Cos., Inc.
10,070
138,261
Lamar Advertising Co. Class A*
1,700
73,695
Omnicom Group, Inc.
4,500
341,505
--------------631,461
--------------AEROSPACE/DEFENSE -- 1.5%
Alliant Techsystems, Inc.*
Armor Holdings, Inc.*
Boeing Co.
DRS Technologies, Inc.*
Engineered Support Systems, Inc.
General Dynamics Corp.
Goodrich Corp.
Honeywell International, Inc.
Northrop Grumman Corp.
Raytheon Co.
Rockwell Collins
Teledyne Technologies, Inc.*
The Titan Corp.*
United Defense Industries, Inc.*
United Technologies Corp.
AGRICULTURAL OPERATIONS -- 0.1%
AGCO Corp.*
Delta & Pine Land Co.
Monsanto Co.
AIRLINES -- 0.2%
AirTran Holdings, Inc.*
Alaska Air Group, Inc.*
AMR Corp.*
Continental Airlines, Inc. Class B*
Delta Air Lines, Inc.
JetBlue Airways Corp.*
Northwest Airlines Corp. Class A*
SkyWest, Inc.
Southwest Airlines Co.
APPLIANCES -- 0.0%
Maytag Corp.
Whirlpool Corp.
AUTO & RELATED -- 1.1%
Advance Auto Parts, Inc.*
American Axle & Manufacturing
Holdings, Inc.
Asbury Automotive Group, Inc.*
AutoZone, Inc.*
675
400
18,500
500
300
4,400
2,600
20,600
8,044
10,100
4,300
500
1,000
1,200
11,300
42,754
13,600
945,165
15,950
17,553
436,920
84,058
754,578
431,963
361,277
143,276
10,010
12,980
42,000
1,033,724
--------------4,345,808
---------------
1,900
500
5,817
38,703
10,975
223,955
--------------273,633
---------------
800
700
2,800
700
1,500
2,500
1,200
600
17,400
11,312
16,709
33,908
7,959
10,680
73,450
13,344
10,446
291,798
--------------469,606
---------------
1,400
1,400
34,314
96,040
--------------130,354
---------------
1,800
79,524
1,100
900
2,000
39,996
13,500
160,200
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
BorgWarner, Inc.
CarMax, Inc.*
CSK Auto Corp.*
Cummins Engine Co., Inc.
Dana Corp.
Delphi Automotive Systems Corp.
Dollar Thrifty Automotive Group, Inc.*
Ford Motor Co.
General Motors Corp.
Harley-Davidson, Inc.
Johnson Controls, Inc.
Lear Corp.
Monaco Coach Corp.
Navistar International Corp.*
O'Reilly Automotive, Inc.*
Oshkosh Truck Corp.
PACCAR, Inc.
Rent-A-Center, Inc.*
Superior Industries International, Inc.
Thor Industries, Inc.
United Auto Group, Inc.
United Rentals, Inc.*
Visteon Corp.
Winnebago Industries, Inc.
BANKS/SAVINGS & LOANS -- 5.7%
Alabama National BanCorp.
AMCORE Financial, Inc.
Associated Banc-Corp.
Astoria Financial Corp.
BancorpSouth, Inc.
Bank of America Corp.
Bank of New York Co., Inc.
Bank One Corp.
Banknorth Group, Inc.
BankUnited Financial Corp. Class A*
BB&T Corp.
BOK Financial Corp.
Brookline Bancorp, Inc.
Capitol Federal Financial
Cathay Bancorp, Inc.
Charter One Financial, Inc.
Chemical Financial Corp.
Chittenden Corp.
City National Corp.
Comerica, Inc.
Commerce Bancshares, Inc.
Commercial Federal Corp.
Community First Bankshares, Inc.
Compass Bancshares, Inc.
Corus Bankshares, Inc.
CVB Financial Corp.
Dime Community Bancshares
Downey Financial Corp.
East West Bancorp, Inc.
Fifth Third Bancorp.
First Charter Corp.
First Financial Bancorp.
</Table>
1,000
2,273
500
800
1,500
13,400
500
42,200
12,300
7,100
4,600
1,700
200
1,500
1,000
600
3,825
1,650
300
1,600
600
1,200
1,800
400
43,770
49,711
$
8,570
50,000
29,400
143,112
13,720
660,430
573,057
439,774
245,548
100,283
5,634
58,140
45,200
34,386
221,812
49,384
10,035
53,536
18,390
21,468
21,006
14,912
--------------3,204,498
---------------
300
500
2,419
1,600
1,400
48,933
18,700
22,400
3,900
500
13,179
1,086
800
1,500
300
4,862
100
500
1,000
4,200
1,512
600
500
2,700
800
687
600
300
600
12,450
600
630
16,641
15,080
71,675
58,528
31,542
4,140,710
551,276
1,142,400
126,672
12,900
487,228
42,647
11,736
44,850
20,010
214,852
3,689
17,575
65,700
230,496
69,469
16,260
16,095
116,100
32,888
14,963
10,488
15,975
18,420
669,561
13,074
11,164
10
<Page>
<Table>
<Caption>
SHARES
VALUE+
----------------------------------------------------------------------------------<S>
<C>
<C>
COMMON STOCKS (CONTINUED)
BANKS/SAVINGS & LOANS (CONTINUED)
First Horizon National Corp.
2,800
$
127,316
First National Bankshares of Florida
568
10,755
First Niagara Financial Group, Inc.
1,000
12,000
FirstFed Financial Corp.*
300
12,480
Flagstar Bancorp, Inc.
600
11,928
FNB Corp.
551
11,240
Fulton Financial Corp.
2,291
46,164
Golden West Financial Corp.
3,700
393,495
Greater Bay Bancorp.
900
26,010
GreenPoint Financial Corp.
2,750
109,175
Hancock Holding Co.
200
5,812
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Harleysville National Corp.
Hibernia Corp. Class A
Hudson City Bancorp, Inc.
Hudson United Bancorp.
Huntington Bancshares, Inc.
Independence Community Bank Corp.
M&T Bank Corp.
MAF Bancorp, Inc.
Marshall & Ilsley Corp.
MB Financial, Inc.
Mercantile Bankshares Corp.
National Commerce Financial Corp.
National Penn Bancshares, Inc.
NBT Bancorp, Inc.
New York Community Bancorp, Inc.
North Fork Bancorp., Inc.
Northern Trust Corp.
Northwest Bancorp, Inc.
Ocwen Financial Corp.*
Old National Bancorp.
Pacific Capital Bancorp.
People's Bank
PFF Bancorp, Inc.
PNC Bank Corp.
Provident Bankshares Corp.
Provident Financial Group, Inc.
Republic Bancorp, Inc.
Riggs National Corp.
S&T Bancorp, Inc.
Silicon Valley Bancshares*
SouthTrust Corp.
Sovereign Bancorp, Inc.
Sterling Financial Corp.
Sun Trust Banks, Inc.
TCF Financial Corp.
Texas Regional Bancshares, Inc. Class A
The Colonial BancGroup, Inc.
TrustCo Bank Corp. NY
Trustmark Corp.
U.S. Bancorp.
UCBH Holdings, Inc.
UMB Financial Corp.
UnionBanCal Corp.
United Bankshares, Inc.
United Community Banks, Inc.
Valley National Bancorp.
Wachovia Corp.
Washington Federal, Inc.
Washington Mutual, Inc.
Waypoint Financial Corp.
Webster Financial Corp.
Westamerica Bancorp.
Westcorp.
Wintrust Financial Corp.
Zions Bancorp.
BROADCASTING -- 0.9%
Charter Communications, Inc. Class A*
Clear Channel Communications, Inc.
Comcast Corp. Class A*
Comcast Corp. Class A Special*
Cumulus Media, Inc. Class A*
Fox Entertainment Group, Inc. Class A*
Gray Television, Inc.
Hearst-Argyle Television, Inc.
Liberty Media International, Inc. Series A*
Mediacom Communications Corp.*
Sinclair Broadcast Group, Inc. Class A
The DIRECTV Group, Inc.*
TiVo, Inc.*
UnitedGlobalCom, Inc. Class A*
Univision Communications, Inc. Class A*
BUILDING & CONSTRUCTION -- 0.6%
Beazer Homes USA, Inc.
Cavco Industries, Inc.*
Centex Corp.
D.R. Horton, Inc.
400
3,700
4,500
900
5,500
1,984
2,800
400
4,900
450
1,800
4,900
400
600
6,265
3,600
5,300
900
200
1,245
667
2,100
300
6,800
200
800
1,331
500
415
500
7,900
7,400
440
6,800
1,600
550
2,200
1,380
1,100
46,115
700
300
3,500
500
150
1,791
29,200
1,770
19,750
600
800
500
900
300
2,700
10,240
89,910
150,480
33,552
125,950
72,218
244,440
17,072
191,541
16,565
84,276
159,250
11,896
13,404
122,982
136,980
224,084
20,610
2,408
30,913
18,753
65,415
11,172
360,944
5,768
31,568
18,501
10,560
13,272
19,825
306,599
163,540
14,023
441,932
92,880
25,250
39,974
18,078
31,812
1,270,929
27,664
15,486
197,400
16,250
$
3,777
45,276
1,299,400
42,480
763,140
16,554
37,616
26,225
40,905
15,153
165,915
--------------16,509,846
---------------
2,900
14,700
32,525
10,000
800
10,200
200
1,000
3,210
1,500
2,200
1,399
1,100
7,800
6,050
11,368
543,165
911,676
276,100
13,448
272,340
2,778
25,780
119,091
11,730
22,594
23,923
7,799
56,628
193,176
--------------2,491,596
---------------
200
50
2,800
5,625
20,062
1,985
128,100
159,750
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Dycom Industries, Inc.*
Emcor Group, Inc.*
Florida Rock Industries, Inc.
Granite Construction, Inc.
Hovnanian Enterprises, Inc. Class A*
Jacobs Engineering Group, Inc.*
KB HOME
Lafarge Corp.
Lennar Corp.
Lennar Corp. Class B
M.D.C. Holdings, Inc.
Martin Marietta Materials, Inc.
Masco Corp.
Meritage Corp.*
Modine Manufacturing Co.
NVR, Inc.*
Pulte Corp.
Ryland Group, Inc.
Simpson Manufacturing Co., Inc.
Standard Pacific Corp.
Texas Industries, Inc.
</Table>
700
300
750
500
800
1,200
1,100
1,700
2,800
100
583
1,200
10,700
200
400
100
2,800
500
400
500
300
19,600
13,194
31,627
9,115
27,768
47,256
75,493
73,610
125,216
4,143
37,085
53,196
333,626
13,760
12,740
48,420
145,684
39,100
22,448
24,650
12,351
11
<Page>
<Table>
<Caption>
SHARES
VALUE+
----------------------------------------------------------------------------------<S>
<C>
<C>
COMMON STOCKS (CONTINUED)
BUILDING & CONSTRUCTION (CONTINUED)
The Shaw Group, Inc.*
1,000
$
10,130
Toll Brothers, Inc.*
1,600
67,712
URS Corp.*
600
16,440
Vulcan Materials Co.
2,400
114,120
WCI Communities, Inc.*
600
13,386
William Lyon Homes, Inc.*
200
18,430
York International Corp.
500
20,535
--------------1,740,732
--------------BUSINESS SERVICES -- 1.4%
Acxiom Corp.
ADVO, Inc.
Ariba, Inc.*
Aspect Communications Corp.*
Automatic Data Processing, Inc.
Banta Corp.
BEA Systems, Inc.*
BearingPoint, Inc.*
Brady Corp. Class A
Catalina Marketing Corp.*
CDI Corp.
Ceridian Corp.*
Certegy, Inc.
ChoicePoint, Inc.*
Cintas Corp.
CSG Systems International, Inc.*
Ecolab, Inc.
Electronic Data Systems Corp.
Expeditors International of Washington, Inc.
Exult, Inc.*
Fair, Issac & Co., Inc.
First Data Corp.
Fiserv, Inc.*
Foundry Networks, Inc.*
FTI Consulting, Inc.*
Gartner, Inc. Class A*
Global Payments, Inc.
Harte-Hanks, Inc.
Hudson Highland Group, Inc.*
Iron Mountain, Inc.*
John H. Harland Co.
Keane, Inc.*
Kelly Services, Inc. Class A
Manpower, Inc.
MAXIMUS, Inc.*
MPS Group, Inc.*
NCO Group, Inc.*
Paychex, Inc.
Resources Connection, Inc.*
1,700
400
3,200
800
13,000
500
9,800
4,700
300
800
300
3,600
300
1,966
4,100
800
6,200
10,600
2,500
1,900
1,600
21,191
4,650
2,900
1,100
600
240
2,550
135
2,100
500
1,100
500
1,900
400
1,400
500
9,050
300
42,211
13,168
6,336
11,360
544,440
22,205
80,556
41,689
13,830
14,632
10,380
81,000
11,640
89,768
195,447
16,560
196,540
202,990
123,525
10,222
53,408
943,423
180,838
40,803
18,150
7,932
10,805
62,246
4,139
101,346
14,675
15,059
14,900
96,463
14,184
16,968
13,345
306,614
11,733
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Robert Half International, Inc.
SEI Investments Co.
TeleTech Holdings, Inc.*
Tetra Tech, Inc.*
The Corporate Executive Board Co.
The Reynolds & Reynolds Co. Class A
Watson Wyatt & Co. Holdings
Westwood One, Inc.*
CHEMICALS -- 1.3%
Air Products & Chemicals, Inc.
Airgas, Inc.
Albemarle Corp.
Ashland, Inc.
Cabot Corp.
Cabot Microelectronics Corp.*
Crompton Corp.
Cytec Industries, Inc.
Dionex Corp.*
Dow Chemical Co.
E.I. du Pont de Nemours & Co.
Eastman Chemical Co.
Engelhard Corp.
Ferro Corp.
FMC Corp.*
Georgia Gulf Corp.
Great Lakes Chemical Corp.
H.B. Fuller Co.
Hercules, Inc.*
IMC Global, Inc.
Kronos Worldwide Inc.
Lubrizol Corp.
Lyondell Chemical Co.
MacDermid, Inc.
Millennium Chemicals, Inc.
Minerals Technologies, Inc.
NL Industries, Inc.
Olin Corp.
OM Group, Inc.*
Praxair, Inc.
Rohm & Haas Co.
RPM, Inc.
Sigma-Aldrich Corp.
Spartech Corp.
The Valspar Corp.
Valhi, Inc.
COMMERCIAL SERVICES -- 0.2%
Alliance Data Systems Corp.*
Aramark Corp. Class B
Arbitron, Inc.*
Central Parking Corp.
Convergys Corp.*
Deluxe Corp.
Plexus Corp.*
Polycom, Inc.*
Quanta Services, Inc.*
R.H. Donnelley Corp.*
Veritas DGC, Inc.*
Weight Watchers International, Inc.*
4,100
2,500
500
1,000
800
1,500
500
2,200
122,057
72,600
4,385
16,320
46,232
$
34,695
13,325
52,360
--------------4,017,504
---------------
5,500
1,500
500
1,500
1,400
300
1,800
500
300
22,500
21,900
1,700
2,700
500
500
600
800
500
1,300
1,800
710
900
3,900
600
900
300
800
700
400
7,800
5,400
2,100
1,700
500
1,000
1,960
288,475
35,865
15,825
79,215
56,980
9,183
11,340
22,725
16,551
915,750
972,798
78,591
87,237
13,340
21,555
21,516
21,648
14,200
15,847
24,120
24,282
32,958
67,821
20,310
15,588
17,400
11,600
12,334
13,204
311,298
224,532
31,920
101,337
12,970
50,390
22,285
--------------3,692,990
---------------
1,800
2,300
300
200
2,900
900
800
1,800
1,400
500
700
2,400
76,050
66,148
10,956
3,738
44,660
39,150
10,800
40,338
8,708
21,870
16,205
93,936
--------------432,559
---------------
</Table>
12
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VALUE+
----------------------------------------------------------------------------------<S>
<C>
<C>
COMMON STOCKS (CONTINUED)
COMMUNICATION SERVICES -- 0.0%
West Corp.*
1,100
$
28,765
---------------
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
COMMUNICATIONS EQUIPMENT -- 0.1%
Andrew Corp.*
Arris Group, Inc.*
Finisar Corp.*
L-3 Communications Holdings, Inc.
Sonus Networks, Inc.*
Tekelec*
COMPUTER EQUIPMENT -- 2.0%
Adaptec, Inc.*
Advanced Digital Information Corp.*
Brocade Communications Systems, Inc.*
Electronics for Imaging, Inc.*
EMC Corp.*
Emulex Corp.*
Hutchinson Technology, Inc.*
Imation Corp.
Ingram Micro, Inc. Class A*
Insight Enterprises, Inc.*
Intel Corp.
Kronos, Inc.*
Maxtor Corp.*
McDATA Corp. Class A*
MEMC Electronic Materials, Inc.*
Mentor Graphics Corp.*
PalmOne, Inc.*
SanDisk Corp.*
Semtech Corp.*
Silicon Storage Technology, Inc.*
Storage Technology Corp.*
Varian Semiconductor Equipment
Associates, Inc.*
VERITAS Software Corp.*
Western Digital Corp.*
Whitney Holding Corp.
COMPUTER SERVICES -- 2.0%
Affiliated Computer Services, Inc.
Class A*
Anteon International Corp.*
Avocent Corp.*
Black Box Corp.
Cadence Design Systems, Inc.*
Cisco Systems, Inc.*
Cognizant Technology Solutions Corp.*
Computer Sciences Corp.*
Compuware Corp.*
Diebold, Inc.
DST Systems, Inc.*
Extreme Networks, Inc.*
FactSet Research Systems, Inc.
GTECH Holdings Corp.
Intergraph Corp.*
Jack Henry & Associates, Inc.
MICROS Systems, Inc.*
NCR Corp.*
Network Appliance, Inc.*
Perot Systems Corp. Class A*
Sun Microsystems, Inc.*
SunGard Data Systems, Inc.*
Sybase, Inc.*
Syntel, Inc.
The BISYS Group, Inc.*
Unisys Corp.*
Wind River Systems, Inc.*
COMPUTER SOFTWARE -- 3.8%
3Com Corp.*
Activision, Inc.*
Adobe Systems, Inc.
Ascential Software Corp.*
Autodesk, Inc.
BMC Software, Inc.*
Borland Software Corp.*
CheckFree Corp.*
3,200
1,200
900
2,300
3,600
900
64,032
7,128
1,782
153,640
17,208
16,353
--------------260,143
---------------
1,100
800
5,700
600
57,932
1,500
400
500
2,800
800
150,600
500
4,400
1,500
3,700
800
500
3,200
1,200
1,300
2,500
9,306
7,760
34,086
16,956
660,425
21,465
9,836
21,305
40,516
14,208
4,156,560
20,600
29,172
8,070
36,556
12,376
17,385
69,408
28,248
13,390
72,500
500
9,400
3,700
750
19,280
260,380
32,042
33,502
--------------5,645,332
---------------
2,800
400
1,100
300
5,800
156,200
2,800
4,500
7,700
1,700
2,500
1,400
500
1,200
700
1,800
300
2,300
8,300
1,700
72,300
6,300
1,700
600
2,400
7,300
1,300
148,232
13,048
40,414
14,178
84,854
3,701,940
71,148
208,935
50,820
89,879
120,225
7,728
23,635
$
55,572
18,102
36,180
14,391
114,057
178,699
22,559
313,782
163,800
30,600
9,930
33,744
101,324
15,288
--------------5,683,064
---------------
8,200
2,325
5,700
471
2,500
5,400
800
1,800
51,250
36,968
265,050
7,531
107,025
99,900
6,792
54,000
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Citrix Systems, Inc.*
Computer Associates International, Inc.
Electronic Arts, Inc.*
Enterasys Networks, Inc.*
eResearch Technology, Inc.*
FileNET Corp.*
Hyperion Solutions Corp.*
Informatica Corp.*
Internet Security Systems, Inc.*
Intuit, Inc.*
Lawson Software, Inc.*
Macromedia, Inc.*
Mercury Interactive Corp.*
Microsoft Corp.
Midway Games, Inc.*
National Instruments Corp.
NetIQ Corp.*
Network Associates, Inc.
Novell, Inc.*
NVIDIA Corp.*
Openwave Systems, Inc.*
Oracle Corp.*
PalmSource, Inc.*
Parametric Technology Corp.*
PeopleSoft, Inc.*
Progress Software Corp.*
Quest Software, Inc.*
Red Hat, Inc.*
SERENA Software, Inc.*
Siebel Systems, Inc.*
Symantec Corp.*
Take-Two Interactive Software, Inc.*
</Table>
3,700
12,700
7,200
1,700
600
500
500
1,300
600
4,300
900
1,000
1,800
235,300
1,000
1,350
500
3,600
8,200
3,600
900
122,000
154
4,200
4,664
600
1,100
3,800
1,000
12,100
6,800
500
75,332
356,362
392,760
3,587
16,800
15,785
21,860
9,919
9,204
165,894
6,372
24,550
89,694
6,720,168
11,520
41,377
6,600
65,268
68,798
73,800
11,430
1,455,460
2,640
21,000
86,284
13,002
14,190
87,286
19,090
129,228
297,704
15,320
13
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VALUE+
----------------------------------------------------------------------------------<S>
<C>
<C>
COMMON STOCKS (CONTINUED)
COMPUTER SOFTWARE (CONTINUED)
THQ, Inc.*
500
$
11,450
TIBCO Software, Inc.*
4,400
37,180
WebMD Corp.*
6,800
63,376
--------------11,068,806
--------------COMPUTERS -- 2.5%
Apple Computer, Inc.*
Dell, Inc.*
Gateway, Inc.*
Hewlett-Packard Co.
International Business Machines Corp.
8,900
56,300
4,900
68,101
37,800
289,606
2,016,666
22,050
1,436,931
3,332,070
--------------7,097,323
---------------
CONSUMER PRODUCTS -- 2.4%
Avon Products, Inc.
Blyth, Inc.
Clorox Co.
Colgate-Palmolive Co.
Energizer Holdings, Inc.*
Estee Lauder Companies, Inc. Class A
Fortune Brands, Inc.
Fossil, Inc.*
Gillette Co.
Hasbro, Inc.
IDEXX Laboratories, Inc.*
International Flavors & Fragrances, Inc.
Jarden Corp.*
Mattel, Inc.
Newell Rubbermaid, Inc.
Playtex Products, Inc.*
Procter & Gamble Co.
Russ Berrie & Co., Inc.
The Scotts Co. Class A*
The Yankee Candle Co., Inc.*
Tupperware Corp.
11,400
500
5,000
11,600
800
3,000
3,200
900
24,100
3,500
800
2,000
400
10,300
6,600
1,000
62,000
400
600
1,100
600
525,996
17,245
268,900
678,020
36,000
146,340
241,376
24,525
1,021,840
66,500
50,352
74,800
14,396
187,975
155,100
7,820
3,375,280
7,772
38,328
32,175
11,658
---------------
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
6,982,398
--------------CONTAINERS & GLASS -- 0.0%
Crown Holdings, Inc.*
Owens-Illinois, Inc.*
Silgan Holdings, Inc.
3,000
3,000
300
29,910
50,280
12,093
--------------92,283
---------------
CONTAINERS -- PAPER/PLASTIC -- 0.1%
Bemis Co., Inc.
Graphic Packaging Corp.*
Longview Fibre Co.
Sealed Air Corp.*
Sonoco Products Co.
2,600
3,600
900
1,900
1,700
73,450
31,140
13,257
101,213
43,350
--------------262,410
---------------
353
178
25,070
12,327
--------------37,397
---------------
CONSTRUCTION MATERIALS -- 0.0%
Eagle Materials, Inc.
Eagle Materials, Inc. Class B
DISTRIBUTION/WHOLESALE -- 0.2%
CDW Corp.
Fastenal Co.
Genuine Parts Co.
Grainger, Inc.
Hughes Supply, Inc.
Owens & Minor, Inc.
SCP Pool Corp.
United Natural Foods, Inc.*
United Stationers, Inc.*
DIVERSIFIED OPERATIONS -- 2.0%
3M Co.
Barnes Group, Inc.
Carlisle Cos., Inc.
Cendant Corp.
Chemed Corp.
Corning, Inc.*
Crane Co.
Danaher Corp.
Federal Signal Corp.
Fidelity National Financial, Inc.
Florida East Coast Industries, Inc.
Harsco Corp.
Hawaiian Electric Industries, Inc.
Hillenbrand Industries, Inc.
Illinois Tool Works, Inc.
ITT Industries, Inc.
Jefferson-Pilot Corp.
Kroll, Inc.*
Lancaster Colony Corp.
Lockheed Martin Corp.
Mathews International Corp. Class A
Pentair, Inc.
PerkinElmer, Inc.
PPG Industries, Inc.
Roper Industries, Inc.
Sensient Technologies Corp.
Teleflex, Inc.
Textron, Inc.
Trinity Industries, Inc.
Universal Corp.
UNOVA, Inc.*
Viad Corp.
EDUCATION -- 0.2%
Apollo Group, Inc. Class A*
Career Education Corp.*
Corinthian Colleges, Inc.*
DeVry, Inc.*
1,900
1,700
4,200
2,000
700
500
400
600
500
$
121,144
96,611
166,656
115,000
41,251
12,950
18,000
17,346
19,860
--------------608,818
---------------
17,300
400
600
24,448
200
32,900
1,100
7,400
600
4,115
500
800
1,800
1,500
6,800
2,200
3,100
700
500
9,800
500
2,200
4,500
4,100
800
600
700
2,900
600
500
800
1,600
1,557,173
11,592
37,350
598,487
9,700
429,674
34,529
383,690
11,166
153,654
19,325
37,600
46,980
90,675
652,052
182,600
157,480
25,816
20,820
510,384
16,470
74,008
90,180
256,209
45,520
12,888
35,105
172,115
19,074
25,470
16,200
43,216
--------------5,777,202
---------------
4,150
2,200
1,800
1,100
366,404
100,232
44,532
30,162
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Education Management Corp.*
ITT Educational Services, Inc.*
Laureate Education, Inc.*
Renaissance Learning, Inc.
Strayer Education, Inc.
1,400
900
1,000
500
200
46,004
34,218
38,240
11,210
22,314
--------------693,316
---------------
</Table>
14
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VALUE+
----------------------------------------------------------------------------------<S>
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<C>
COMMON STOCKS (CONTINUED)
ELECTRIC UTILITIES -- 0.1%
Duquesne Light Holdings, Inc.
1,000
$
19,310
Great Plains Energy, Inc.
1,700
50,490
NSTAR
1,100
52,668
Texas Genco Holdings, Inc.
1,955
88,151
Weststar Energy, Inc.
1,100
21,901
--------------232,520
--------------ELECTRICAL EQUIPMENT -- 2.8%
Avid Technology, Inc.*
Axcelis Technologies, Inc.*
Belden, Inc.
Checkpoint Systems, Inc.*
Credence Systems Corp.*
Fairchild Semiconductor Corp. Class A*
FLIR Systems, Inc.*
General Electric Co.
GrafTech International Ltd.*
Lincoln Electric Holdings, Inc.
Littelfuse, Inc.*
Microchip Technology, Inc.
Molex, Inc.
Paxar Corp.*
Power Integrations, Inc.*
Power-One, Inc.*
Rogers Corp.*
Veeco Instruments, Inc.*
Xilinx, Inc.
ELECTRONICS -- 2.7%
Advanced Micro Devices, Inc.*
Aeroflex, Inc.*
Agere Systems, Inc. Class A*
Agere Systems, Inc. Class B*
Agilent Technologies, Inc.*
Altera Corp.*
AMETEK, Inc.
Amkor Technology, Inc.*
Amphenol Corp. Class A*
Analog Devices, Inc.
Anixter International, Inc.
Applied Materials, Inc.*
Applied Micro Circuits Corp.*
Arrow Electronics, Inc.*
Atmel Corp.*
ATMI, Inc.*
Avnet, Inc.*
AVX Corp.
Benchmark Electronics, Inc.*
Broadcom Corp. Class A*
Brooks Automation, Inc.*
Coherent, Inc.*
Conexant Systems, Inc.
Cree, Inc.*
Cubic Corp.
Curtiss-Wright Corp. Class B
Cymer, Inc.*
Cypress Semiconductor Corp.*
DSP Group, Inc.*
Emerson Electric Co.
300
1,400
500
600
900
2,100
700
229,300
1,100
900
400
4,950
2,000
700
400
1,200
300
400
8,300
16,371
17,416
10,715
10,758
12,420
34,377
38,430
7,429,320
11,506
30,681
16,964
156,123
64,160
13,664
9,960
13,176
20,970
10,324
276,473
--------------8,193,808
---------------
8,500
1,100
368
9,048
11,500
9,000
1,500
3,800
2,000
9,000
600
37,100
5,500
2,300
10,400
500
2,922
3,500
700
5,400
500
400
9,217
1,300
500
38
500
2,700
500
9,300
135,150
15,763
847
19,453
336,720
199,980
46,350
31,084
66,640
423,720
20,418
727,902
29,260
61,686
61,568
13,655
66,329
50,575
20,370
252,558
10,075
11,940
39,910
30,264
10,465
2,043
18,720
38,313
13,620
591,015
$
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Entegris, Inc.*
Exar Corp.*
Gentex Corp.
Harman International Industries, Inc.
Hubbell, Inc. Class B
Integrated Circuit Systems, Inc.*
Integrated Device Technology, Inc.*
International Rectifier Corp.*
Intersil Corp. Class A
Jabil Circuit, Inc.*
KEMET Corp.*
KLA-Tencor Corp.*
Lam Research Corp.*
Lattice Semiconductor Corp.*
Linear Technology Corp.
LSI Logic Corp.*
Maxim Integrated Products, Inc.
Micrel, Inc.*
Micron Technology, Inc.*
Microsemi Corp.*
MKS Instruments, Inc.*
National Semiconductor Corp.*
Newport Corp.*
Novellus Systems, Inc.*
OmniVision Technologies, Inc.*
ON Semiconductor Corp.*
PMC-Sierra, Inc.*
QLogic Corp.*
Rambus, Inc.*
Rockwell International Corp.
Sanmina Corp.*
Silicon Image, Inc.*
Silicon Laboratories, Inc.*
Siliconix, Inc.*
Skyworks Solutions, Inc.*
Solectron Corp.*
Synopsys, Inc.*
Tech Data Corp.*
Technitrol, Inc.*
Tektronix, Inc.
Teradyne, Inc.*
Texas Instruments, Inc.
Thermo Electron Corp.*
Thomas & Betts Corp.*
Trimble Navigation Ltd.*
TriQuint Semiconductor, Inc.*
Vishay Intertechnology, Inc.*
Vitesse Semiconductor Corp.*
Wilson Greatbatch Technologies, Inc.*
Zoran Corp.*
1,000
600
1,500
1,600
900
1,300
2,100
1,200
2,800
4,800
1,500
4,700
2,700
1,600
7,400
8,300
7,136
1,800
13,400
800
800
8,200
600
3,056
1,000
4,300
3,400
2,300
4,400
4,500
10,520
1,000
1,100
400
3,000
20,500
3,700
1,300
500
2,000
4,200
41,500
3,995
1,100
750
1,900
3,200
4,300
300
700
11,570
8,796
59,520
145,600
42,039
35,308
29,064
49,704
60,648
120,864
18,330
232,086
72,360
11,216
292,078
63,246
374,069
21,870
205,154
11,368
18,256
180,318
9,702
96,081
15,950
21,586
48,790
61,157
78,188
168,795
95,732
13,130
50,985
19,848
26,190
132,635
105,191
50,869
10,950
68,040
95,340
1,003,470
122,806
29,953
20,842
10,374
59,456
20,984
8,385
12,845
--------------7,868,131
---------------
</Table>
15
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SHARES
VALUE+
----------------------------------------------------------------------------------<S>
<C>
<C>
COMMON STOCKS (CONTINUED)
ENERGY -- 1.3%
Centerpoint Energy, Inc.
6,100
$
70,150
ChevronTexaco Corp.
25,656
2,414,486
CONSOL Energy, Inc.
1,800
64,800
DTE Energy Co.
3,700
149,998
Energy East Corp.
2,700
65,475
Entergy Corp.
5,500
308,055
Kinder Morgan, Inc.
3,000
177,870
Peabody Energy Corp.
1,400
78,386
Progress Energy, Inc.
5,900
259,895
Sempra Energy
5,500
189,365
--------------3,778,480
--------------ENVIROMENTAL SERVICES -- 0.0%
Headwaters, Inc.*
Mine Safety Appliances Co.
Rollins, Inc.
500
600
900
12,965
20,220
20,709
---------------
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
53,894
--------------FACILITY SERVICES -- 0.0%
ABM Industries, Inc.
FINANCIAL SERVICES -- 8.1%
A.G. Edwards, Inc.
Affiliated Managers Group, Inc.*
Ambac Financial Group, Inc.
American Capital Strategies Ltd.
American Express Co.
AmeriCredit Corp.*
Ameritrade Holding Corp.*
AmSouth Bancorporation
Bank of Hawaii Corp.
BlackRock, Inc.
Capital One Financial Corp.
Charles Schwab Corp.
Citigroup, Inc.
Citizens Banking Corp.
Commerce Bancorp, Inc.
CompuCredit Corp.*
Countrywide Credit Industries, Inc.
Credit Acceptance Corp.*
Cullen/Frost Bankers, Inc.
Digital Insight Corp.*
Dun & Bradstreet Corp.*
E*Trade Group, Inc.*
Eaton Vance Corp.
eFunds Corp.*
Equifax, Inc.
First Commonwealth Financial Corp.
First Midwest Bancorp, Inc.
FirstMerit Corp.
Franklin Resources, Inc.
Fremont General Corp.
H&R Block, Inc.
IndyMac Bancorp, Inc.
Instinet Group, Inc.*
Interactive Data Corp.*
Investment Technology Group, Inc.*
Investors Financial Services Corp.
Irwin Financial Corp.
J.P. Morgan Chase & Co.
Janus Capital Group, Inc.
Jefferies Group, Inc.
KeyCorp
Knight Trading Group, Inc.*
LaBranche & Co., Inc.
Legg Mason, Inc.
Lehman Brothers Holdings, Inc.
MBIA, Inc.
MBNA Corp.
MCG Capital Corp.
Mellon Financial Corp.
Merrill Lynch & Co., Inc.
Morgan Stanley Dean Witter & Co.
National City Corp.
National Processing, Inc.*
New Century Financial Corp.
Piper Jaffray Cos., Inc.*
PRG-Schultz International, Inc.*
Protective Life Corp.
Providian Financial Corp.*
Raymond James Financial, Inc.
Regions Financial Corp.
Sky Financial Group, Inc.
SLM Corp.
South Financial Group, Inc.
Southwest Bancorporation of Texas, Inc.
State Street Corp.
Susquehanna Bancshares, Inc.
Synovus Financial Corp.
T. Rowe Price Group, Inc.
The Bear Stearns Cos., Inc.
The Goldman Sachs Group, Inc.
The Student Loan Corp.
UICI*
Union Planters Corp.
Waddell & Reed Financial, Inc. Class A
Wells Fargo & Co.
WFS Financial, Inc.
800
15,576
---------------
1,700
600
2,550
1,200
31,000
3,500
9,300
7,700
2,500
300
5,200
32,800
118,465
500
1,700
700
6,700
800
900
600
1,600
8,100
1,500
800
2,800
1,200
500
1,500
5,500
1,500
4,300
1,100
7,300
1,400
500
1,300
400
49,940
5,300
1,000
10,000
1,800
500
1,500
6,600
3,500
30,650
300
10,200
21,300
24,100
13,400
600
550
360
1,000
1,400
5,800
1,500
4,900
1,900
12,200
800
500
7,400
800
6,300
3,000
2,500
11,200
400
700
4,050
15,600
40,740
900
57,851
30,222
187,272
33,624
1,592,780
68,355
105,555
196,119
113,050
19,149
355,576
315,208
5,508,622
15,525
93,517
12,110
470,675
12,056
40,275
12,438
86,256
90,315
57,315
14,000
69,300
15,564
17,605
39,555
275,440
26,475
205,024
34,760
38,544
24,388
6,395
56,654
10,560
1,936,174
87,397
30,920
298,900
18,036
4,210
136,515
496,650
199,920
790,463
4,614
299,166
1,149,774
1,271,757
469,134
17,250
25,751
16,283
5,470
54,138
85,086
39,675
179,095
46,987
493,490
22,672
22,060
362,896
20,128
159,516
151,200
210,775
1,054,592
54,600
16,667
120,731
344,916
2,331,550
44,559
$
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Wilmington Trust Corp.
FOOD & BEVERAGES -- 4.0%
Adolph Coors Co. Class B
American Italian Pasta Co. Class A
Anheuser-Busch Cos., Inc.
Archer-Daniels-Midland Co.
Brown Forman Corp. Class B
Campbell Soup Co.
Chiquita Brands International, Inc.*
Coca-Cola Co.
Coca-Cola Enterprises, Inc.
ConAgra, Inc.
</Table>
1,500
55,830
--------------23,437,676
---------------
800
300
17,900
15,577
1,000
9,900
300
58,500
11,000
11,800
57,872
9,144
966,600
261,382
48,270
266,112
6,276
2,953,080
318,890
319,544
16
<Page>
<Table>
<Caption>
SHARES
VALUE+
----------------------------------------------------------------------------------<S>
<C>
<C>
COMMON STOCKS (CONTINUED)
FOOD & BEVERAGES (CONTINUED)
Constellation Brands, Inc. Class A*
1,800
$
66,834
Corn Products International, Inc.
700
32,585
Dean Foods Co.*
3,784
141,181
Del Monte Foods Co.*
3,788
38,486
Dreyer's Grand Ice Cream Holdings, Inc.
700
55,363
Flowers Foods, Inc.
750
19,613
General Mills, Inc.
9,100
432,523
H.J. Heinz Co.
8,500
333,200
Hain Celestial Group, Inc.*
100
1,810
Hershey Foods Corp.
4,800
222,096
Hormel Foods Corp.
3,300
102,630
Interstate Bakeries Corp.
1,300
14,105
Kellogg Co.
9,900
414,315
Kraft Foods, Inc. Class A
13,300
421,344
McCormick & Co., Inc.
2,700
91,800
Panera Bread Co. Class A*
300
10,764
PepsiAmericas, Inc.
3,400
72,216
PepsiCo, Inc.
40,990
2,208,541
Performance Food Group Co.*
800
21,232
Pilgrim's Pride Corp.
1,500
43,410
Ralcorp Holdings, Inc.*
500
17,600
Sanderson Farms, Inc.
400
21,448
Sara Lee Corp.
19,000
436,810
Smithfield Foods, Inc.*
2,700
79,380
SYSCO Corp.
14,200
509,354
The J.M. Smucker Co.
1,329
61,027
Tootsie Roll Industries, Inc.
530
17,225
Tyson Foods, Inc. Class A
5,502
115,267
Wm. Wrigley Jr. Co.
4,400
277,420
--------------11,486,749
--------------FOREST & PAPER PRODUCTS -- 0.7%
Georgia-Pacific Group
International Paper Co.
Kimberly-Clark Corp.
P.H. Glatfelter Co.
Smurfit-Stone Container Corp.
Wausau-Mosinee Paper Corp.
Weyerhaeuser Co.
FUNERAL SERVICES -- 0.0%
Service Corp. International*
Stewart Enterprises, Inc. Class A*
HEALTH CARE -- 0.0%
Inveresk Research Group, Inc.*
6,105
11,624
11,000
700
5,600
800
5,300
225,763
519,593
724,680
9,856
111,720
13,840
334,536
--------------1,939,988
---------------
5,200
1,900
38,324
15,466
--------------53,790
---------------
600
18,504
---------------
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
HEALTH CARE -- BIOTECHNOLOGY -- 2.2%
Affymetrix, Inc.*
Amgen, Inc.*
AtheroGenics, Inc.*
Biogen Idec, Inc.*
Cambrex Corp.
Charles River Laboratories International, Inc.*
Chiron Corp.*
CUNO, Inc.*
Enzon, Inc.*
Genencor International, Inc.*
Genentech, Inc.*
Genta, Inc.*
Genzyme Corp.*
Gilead Sciences, Inc.*
ICOS Corp.*
ImClone Systems, Inc.*
Integra LifeSciences Holdings*
Martek Biosciences Corp.*
Medarex, Inc.*
Medtronic, Inc.
Nabi Biopharmaceuticals*
Pharmaceutical Product Development, Inc.*
Protein Design Labs, Inc.*
Tanox, Inc.*
Techne Corp.*
Telik, Inc.*
The Medicines Co.*
Trimeris, Inc.*
Vicuron Phamaceuticals, Inc.*
VISX, Inc.*
HEALTH CARE -- DRUGS -- 4.7%
Abbott Laboratories
Accredo Health, Inc.*
Alkermes, Inc.*
Alpharma, Inc. Class A
American Pharmaceutical Partners, Inc.*
AmerisourceBergen Corp.
Amylin Pharmaceuticals, Inc.*
Andrx Group*
Barr Laboratories, Inc.*
Bristol-Myers Squibb Co.
Celgene Corp.*
Cephalon, Inc.*
Connetics Corp.*
Eli Lilly & Co.
Eon Labs, Inc.*
Forest Laboratories, Inc.*
Impax Laboratories, Inc.*
IVAX Corp.*
K-V Pharmaceutical Co. Class A*
King Pharmaceuticals, Inc.*
Kos Pharmaceuticals, Inc.*
Ligand Pharmaceuticals, Inc. Class B*
Medicis Pharmaceutical Corp. Class A
MedImmune, Inc.*
Millennium Pharmaceuticals, Inc.*
Mylan Laboratories, Inc.
Neurocrine Biosciences, Inc.*
</Table>
1,100
30,552
600
7,505
500
800
4,500
300
500
900
25,500
800
4,900
5,100
1,300
900
400
600
1,300
29,100
600
1,000
1,900
800
800
500
600
300
400
700
36,003
1,667,223
11,418
474,691
12,615
$
39,096
200,880
16,005
6,380
14,733
1,433,100
2,000
231,917
341,700
38,792
77,211
14,108
33,702
9,477
1,417,752
8,532
31,770
36,347
15,256
34,760
11,935
18,306
4,329
5,024
18,704
--------------6,263,766
---------------
34,900
1,100
900
700
1,450
2,459
1,700
1,400
2,425
42,700
1,800
1,300
600
27,100
2,000
8,100
300
4,350
500
4,949
300
900
1,000
5,930
7,200
6,425
800
1,422,524
42,845
12,240
14,336
44,051
146,999
38,760
39,102
81,723
1,046,150
103,068
70,200
12,120
1,894,561
81,860
458,703
5,814
104,356
11,545
56,666
9,891
15,642
39,950
138,762
99,360
130,106
41,480
17
<Page>
<Table>
<Caption>
SHARES
VALUE+
----------------------------------------------------------------------------------<S>
<C>
<C>
COMMON STOCKS (CONTINUED)
HEALTH CARE -- DRUGS (CONTINUED)
NPS Pharmaceuticals, Inc.*
500
$
10,500
Onyx Pharmaceuticals, Inc.*
700
29,652
OSI Pharmaceuticals, Inc.*
1,000
70,440
Par Pharmaceutical Cos., Inc.*
700
24,647
Pfizer, Inc.
172,775
5,922,727
Priority Healthcare Corp. Class B*
500
11,475
Sepracor, Inc.*
1,900
100,510
Tularik, Inc.*
600
14,880
Valeant Pharmaceuticals International
1,500
30,000
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Vertex Pharmaceuticals, Inc.*
Watson Pharmaceuticals, Inc.*
Wyeth
Zymogenetics, Inc.*
HEALTH CARE -- PRODUCTS -- 4.1%
Abgenix, Inc.*
Advanced Medical Optics, Inc.*
Align Technology, Inc.*
Allergan, Inc.
American Medical Systems Holdings, Inc.*
Apogent Technologies, Inc.*
Arrow International, Inc.
Bausch & Lomb, Inc.
Beckman Coulter, Inc.
Becton, Dickinson & Co.
Biomet, Inc.
Boston Scientific Corp.*
C.R. Bard, Inc.
CONMED, Corp.*
Cooper Cos., Inc.
Cyberonics, Inc.*
Cytyc Corp.*
Datascope Corp.
DENTSPLY International, Inc.
Diagnostic Products Corp.
Guidant Corp.
Haemonetics Corp.*
Henry Schein, Inc.*
Hospira, Inc.*
Human Genome Sciences, Inc.*
Invacare Corp.
Invitrogen Corp.*
Johnson & Johnson
Mentor Corp.
Merck & Co., Inc.
MGI Pharma, Inc.*
NeighborCare, Inc.*
Nektar Therapeutics*
Ocular Sciences, Inc.*
Perrigo Co.
PolyMedica Corp.
PSS World Medical, Inc.*
ResMed, Inc.*
Respironics, Inc.*
Schering-Plough Corp.
Sola International, Inc.*
St. Jude Medical, Inc.*
Stryker Corp.
Sybron Dental Specialties, Inc.*
Thoratec Corp.*
Varian Medical Systems, Inc.*
Wright Medical Group, Inc.*
Zimmer Holdings, Inc.*
HEALTH CARE -- SERVICES -- 2.2%
American Healthways, Inc.*
Amerigroup Corp.*
Anthem, Inc.*
Apria Healthcare Group, Inc.*
Baxter International, Inc.
Beverly Enterprises, Inc.*
Cardinal Health, Inc.
Caremark Rx, Inc.*
Centene Corp.*
Cerner Corp.*
Community Health Care*
Covance, Inc.*
Coventry Health Care, Inc.*
DaVita, Inc.*
Express Scripts, Inc.*
First Health Group Corp.*
Genesis HealthCare Corp.*
HCA-The Healthcare Corp.
Health Management Associates, Inc.
Class A
Health Net, Inc.*
Humana, Inc.*
1,500
2,600
32,000
400
16,260
69,940
1,157,120
7,600
--------------13,628,565
---------------
1,200
288
700
3,200
500
1,900
800
1,100
2,500
5,600
6,100
18,400
2,400
500
600
400
2,200
300
1,800
500
6,900
500
1,000
3,440
2,100
500
1,300
70,312
700
53,300
1,400
800
1,700
400
1,100
500
1,100
500
800
35,300
300
4,200
8,800
500
800
1,600
400
5,880
14,064
12,260
13,300
286,464
16,850
60,800
23,936
71,577
152,500
290,080
271,084
787,520
135,960
13,700
37,902
13,344
55,814
11,907
93,780
21,970
385,572
14,825
63,140
94,944
24,423
22,360
93,587
3,916,379
24,003
2,531,750
37,814
25,064
33,932
15,200
20,867
15,520
12,320
$
25,480
47,000
652,344
5,169
317,730
484,000
14,925
8,584
126,960
14,240
518,616
--------------11,931,560
---------------
500
400
3,018
800
14,700
1,700
10,400
10,100
400
400
2,200
1,100
1,400
2,100
1,900
6,600
150
11,200
13,310
19,680
270,292
22,960
507,297
14,620
728,520
332,694
15,420
17,832
58,894
42,438
68,460
64,743
150,537
103,026
4,356
465,808
6,000
2,500
3,100
134,520
66,250
52,390
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
IDX Systems Corp.*
IMS Health, Inc.
Kindred Healthcare, Inc.*
Laboratory Corporation of America
Holdings*
Lincare Holdings, Inc.*
Manor Care, Inc.
McKesson HBOC, Inc.
Medco Health Solutions, Inc.*
MedQuist, Inc.*
NDCHealth Corp.
Odyssey Healthcare, Inc.*
Omnicare, Inc.
Oxford Health Plans, Inc.
PacifiCare Health Systems, Inc.*
Patterson Dental Co.
Pediatrix Medical Group, Inc.*
Province Healthcare Co.*
Quest Diagnostics, Inc.
Renal Care Group, Inc.*
Select Medical Corp.
</Table>
400
5,600
600
12,756
131,264
15,810
3,300
2,200
2,000
7,000
6,529
500
600
400
2,200
2,000
2,100
1,600
600
800
2,500
1,350
1,200
131,010
72,292
65,360
240,310
244,837
5,725
13,920
7,528
94,182
110,080
81,186
122,384
41,910
13,720
212,375
44,726
16,104
18
<Page>
<Table>
<Caption>
SHARES
VALUE+
----------------------------------------------------------------------------------<S>
<C>
<C>
COMMON STOCKS (CONTINUED)
HEALTH CARE -- SERVICES (CONTINUED)
Sierra Health Services, Inc.*
400
$
17,880
STERIS Corp.*
1,100
24,816
Sunrise Assisted Living, Inc.
200
7,828
Tenet Healthcare Corp.*
11,150
149,522
Triad Hospitals, Inc.*
1,787
66,530
United Surgical Partners International, Inc.*
400
15,788
UnitedHealth Group, Inc.
13,756
856,311
Universal Health Services, Inc. Class B
1,300
59,657
US Oncology, Inc.*
1,500
22,080
VCA Antech, Inc.*
800
35,856
WellChoice, Inc.*
1,700
70,380
Wellpoint Health Networks, Inc.*
2,300
257,623
--------------6,415,797
--------------HOUSEHOLD PRODUCTS -- 0.1%
Alberto-Culver Co. Class B
Black & Decker Corp.
Church & Dwight Co., Inc.
Ethan Allen Interiors, Inc.
Furniture Brands International, Inc.
2,200
1,900
800
800
1,000
110,308
118,047
36,624
28,728
25,050
--------------318,757
---------------
INSTRUMENTS -- SCIENTIFIC -- 0.1%
Advanced Neuromodulation Systems, Inc.*
Applera Corp. -- Applied Biosystems Group
FEI Co.*
Fisher Scientific International, Inc.*
Kyphon, Inc.*
Millipore Corp.*
Waters Corp.*
300
2,600
1,400
1,300
500
1,000
2,700
9,840
56,550
33,474
75,075
14,090
56,370
129,006
--------------374,405
---------------
700
1,400
12,200
1,200
1,100
16,900
1,600
62,345
400
400
7,600
2,000
9,058
119,000
497,882
16,800
37,180
786,695
48,912
4,443,952
36,932
16,560
216,372
60,900
INSURANCE -- 4.6%
21st Century Insurance Group
Aetna, Inc.
AFLAC, Inc.
Alfa Corp.
Allmerica Financial Corp.*
Allstate Corp.
American Financial Group, Inc.
American International Group, Inc.
American National Insurance Co.
AmerUs Group Co.
Aon Corp.
Arthur J. Gallagher & Co.
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Brown & Brown, Inc.
Chubb Corp.
CIGNA Corp.
Cincinnati Financial Corp.
CNA Financial Corp.*
CNA Surety Corp.*
Delphi Financial Group, Inc. Class A
Erie Indemnity Co. Class A
Harleysville Group, Inc.
Hartford Financial Services Group, Inc.
HCC Insurance Holdings, Inc.
Hilb, Rogal & Hamilton Co.
Horace Mann Educators Corp.
Infinity Property & Casualty Corp.
LandAmerica Financial Group, Inc.
Lincoln National Corp.
Loews Corp.
Manulife Financial Corp.
Markel Corp.*
Marsh & McLennan Cos., Inc.
Mercury General Corp.
MetLife, Inc.
MGIC Investment Corp.
MONY Group, Inc.*
Nationwide Financial Services, Inc.
Class A
Odyssey Re Holdings Corp.
Ohio Casualty Corp.*
Old Republic International Corp.
Philadelphia Consolidated Holding Corp.*
Principal Financial Group, Inc.
ProAssurance Corp.*
Prudential Financial, Inc.
Radian Group, Inc.
Reinsurance Group of America, Inc.
RLI Corp.
Safeco Corp.
Selective Insurance Group, Inc.
St. Paul Cos., Inc.
StanCorp Financial Group, Inc.
State Auto Financial Corp.
Stewart Information Services Corp.
The Commerce Group, Inc.
The First American Corp.
The Phoenix Companies, Inc.
The PMI Group, Inc.
The Progressive Corp.
Torchmark, Inc.
Transatlantic Holdings, Inc.
Triad Guaranty, Inc.*
Unitrin, Inc.
UnumProvident Corp.
W.R. Berkley Corp.
INTERNET SERVICES -- 0.9%
Akamai Technologies, Inc.*
Ask Jeeves, Inc.*
CACI International, Inc. Class A*
CMGI, Inc.*
CNET Networks, Inc.*
Digital River, Inc.*
DoubleClick, Inc.*
EarthLink, Inc.*
</Table>
1,400
4,100
3,400
4,095
6,100
900
450
1,200
600
7,000
1,400
300
700
400
300
4,300
4,500
6,163
100
12,600
1,000
18,200
2,400
400
$
60,340
279,538
233,954
178,214
180,499
9,855
20,025
56,136
11,310
481,180
46,774
10,704
12,236
13,200
11,679
203,175
269,820
249,601
27,750
571,788
49,650
652,470
182,064
12,520
1,100
1,000
700
4,000
300
7,700
500
13,300
2,100
1,200
500
3,300
500
16,041
500
600
300
500
2,000
1,300
2,300
5,200
2,700
1,200
200
1,500
5,900
1,825
41,371
24,000
14,091
94,880
18,021
267,806
17,055
618,051
100,590
48,780
18,250
145,200
19,940
650,302
33,500
18,432
10,131
24,685
51,780
15,925
100,096
443,560
145,260
97,188
11,640
63,900
93,810
78,384
--------------13,381,353
---------------
2,200
1,000
300
2,700
2,900
400
2,000
2,300
39,490
39,030
12,132
5,265
32,103
13,052
15,540
23,805
19
<Page>
<Table>
<Caption>
SHARES
VALUE+
----------------------------------------------------------------------------------<S>
<C>
<C>
COMMON STOCKS (CONTINUED)
INTERNET SERVICES (CONTINUED)
F5 Networks, Inc.*
400
$
10,592
InterActiveCorp*
15,296
461,021
Juniper Networks, Inc.*
12,706
312,186
Monster Worldwide, Inc.*
2,400
61,728
Netflix, Inc.*
800
28,760
Priceline.com, Inc.*
100
2,693
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Qwest Communications International, Inc.*
Real Networks, Inc.*
RSA Security, Inc.*
S1 Corp.*
Total System Services, Inc.
United Online, Inc.*
ValueClick, Inc.*
VeriSign, Inc.*
WebEx Communications, Inc.*
Yahoo!, Inc.*
42,429
1,900
900
1,300
4,300
1,050
1,100
5,815
600
32,310
152,320
12,996
18,423
12,922
94,170
18,491
13,178
115,719
13,056
1,173,822
--------------2,682,494
---------------
600
400
500
600
100
1,000
2,000
6,000
800
700
2,500
9,200
8,300
500
1,300
5,100
1,800
3,000
700
600
2,916
900
400
1,800
500
10,296
13,432
18,800
16,800
1,982
26,570
81,600
90,000
40,128
21,973
135,250
171,672
320,380
24,320
89,232
254,388
35,136
140,820
18,774
19,920
80,802
17,226
14,524
13,068
16,720
5,000
1,850
900
500
224,250
89,540
8,730
14,900
--------------2,011,233
---------------
MACHINERY -- 0.6%
Albany International Corp. Class A
Baldor Electric Co.
CARBO Ceramics, Inc.
Caterpillar, Inc.
Deere & Co.
Dover Corp.
Flowserve Corp.*
Graco, Inc.
IDEX Corp.
Joy Global, Inc.
Kennametal, Inc.
National-Oilwell, Inc.*
SPX Corp.
Tecumseh Products Co. Class A
Terex Corp.*
The Manitowoc Co., Inc.
Universal Compression Holdings, Inc.*
Woodward Governor Co.
400
400
200
8,200
5,500
4,900
800
1,350
600
700
700
1,900
1,600
700
800
400
300
200
13,424
9,340
$
13,650
651,408
385,770
206,290
19,952
41,918
20,610
20,958
32,060
59,831
74,304
28,833
27,304
13,540
9,204
14,422
--------------1,642,818
---------------
MANUFACTURING -- 0.5%
American Standard Cos., Inc.*
AptarGroup, Inc.
Ball Corp.
Briggs & Stratton Corp.
CLARCOR, Inc.
Cognex Corp.
Donaldson Co., Inc.
Eaton Corp.
Leggett & Platt, Inc.
Lennox International, Inc.
Nordson Corp.
5,200
500
1,400
500
400
500
6,600
4,300
4,600
1,100
400
209,612
21,845
100,870
44,175
18,320
19,240
193,380
278,382
122,866
19,910
17,348
LEISURE -- 0.7%
Alliance Gaming Corp.*
Ameristar Casinos, Inc.
Argosy Gaming Co.*
Aztar Corp.*
Boca Resorts, Inc. Class A*
Boyd Gaming Corp.
Brunswick Corp.
Caesars Entertainment, Inc.*
Choice Hotels International, Inc.
Gaylord Entertainment Co.*
Harrah's Entertainment, Inc.
Hilton Hotels Corp.
International Game Technology
International Speedway Corp. Class A
Mandalay Resort Group
Marriott International, Inc. Class A
Marvel Enterprises, Inc.*
MGM Mirage, Inc.*
Multimedia Games, Inc.*
Penn National Gaming, Inc.*
Sabre Holdings Corp. Class A
Scientific Games Corp. Class A*
Shuffle Master, Inc.*
Six Flags, Inc.*
Speedway Motorsports, Inc.
Starwood Hotels & Resorts Worldwide,
Inc. Class B
Station Casinos, Inc.
Topps Co., Inc.
WMS Industries, Inc.*
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Packaging Corp. of America
Pall Corp.
Polaris Industries, Inc.
Quanex Corp.
Rayovac Corp.*
The Brink's Co.
Varco International, Inc.*
Varian, Inc.*
Wabtec Corp.
Zebra Technologies Corp. Class A*
METALS & MINING -- 0.6%
Alcoa, Inc.
Arch Coal, Inc.
Cleveland-Cliffs, Inc.*
Coeur d'Alene Mines Corp.*
Commercial Metals Co.
Freeport-McMoran Copper & Gold, Inc.
Class B
Hecla Mining Co.*
Kaiser Aluminum Corp.*(a)
Kaydon Corp.
Massey Energy Co.
MSC Industrial Direct Co., Inc. Class A
Mueller Industries, Inc.
Newmont Mining Corp.
</Table>
2,100
2,500
800
200
500
1,000
1,800
500
800
1,050
50,190
65,475
38,400
9,740
14,050
34,250
39,402
21,075
14,432
91,350
--------------1,424,312
---------------
20,900
1,200
200
3,000
400
690,327
43,908
11,278
12,240
12,980
4,100
1,600
2,200
500
1,400
500
300
9,600
135,915
9,120
88
15,465
39,494
16,420
10,740
372,096
20
<Page>
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<Caption>
SHARES
VALUE+
----------------------------------------------------------------------------------<S>
<C>
<C>
COMMON STOCKS (CONTINUED)
METALS & MINING (CONTINUED)
Phelps Dodge Corp.
2,000
$
155,020
Precision Castparts Corp.
1,512
82,691
Stillwater Mining Co.*
1,200
18,012
--------------1,625,794
--------------MULTIMEDIA -- 2.3%
A.H. Belo Corp. Series A
Cox Radio, Inc. Class A*
Emmis Communications Corp. Class A*
Entercom Communications Corp.*
Gannett Co., Inc.
Gemstar-TV Guide International, Inc.*
Liberty Media Corp. Class A
Macrovision Corp.*
McGraw-Hill Cos, Inc.
Media General, Inc. Class A
Meredith Corp.
Metro-Goldwyn-Mayer, Inc. *
Pixar, Inc.*
The E.W. Scripps Co. Class A
The Liberty Corp.
Time Warner, Inc.*
Tribune Co.
Viacom, Inc. Class A
Viacom, Inc. Class B
Walt Disney Co.
XM Satellite Radio Holdings, Inc. Class A*
OFFICE EQUIPMENT -- 0.3%
Global Imaging Systems, Inc.*
IKON Office Solutions, Inc.
Lexmark International Group, Inc.
Class A*
Pitney Bowes, Inc.
Xerox Corp.*
1,900
500
500
700
6,000
8,961
64,200
600
4,600
400
700
5,400
1,200
1,400
100
101,000
7,900
1,400
38,415
45,000
4,200
51,015
8,690
10,490
26,110
509,100
43,013
577,158
15,018
352,222
25,688
38,472
65,340
83,412
147,000
4,695
1,775,580
359,766
50,890
1,372,184
1,147,050
114,618
--------------6,777,511
---------------
400
2,900
14,664
33,263
3,100
5,600
17,400
299,243
247,800
252,300
--------------847,270
---------------
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
OFFICE FURNISHINGS & SUPPLIES -- 0.1%
Avery Dennison Corp.
Herman Miller, Inc.
HNI Corp.
Steelcase, Inc. Class A
OIL & GAS -- 5.1%
AGL Resources, Inc.
Amerada Hess Corp.
Anadarko Petroleum Corp.
Apache Corp.
Aquila, Inc.*
Atmos Energy Corp.
Baker Hughes, Inc.
BJ Services Co.*
Burlington Resources, Inc.
Cabot Oil & Gas Corp. Class A
Cal Dive International, Inc.*
Chesapeake Energy Corp.
Cimarex Energy Co.*
Comstock Resources, Inc.*
ConocoPhillips
Cooper Cameron Corp.*
Denbury Resources, Inc.*
Devon Energy Corp.
Diamond Offshore Drilling, Inc.
El Paso Corp.
Encore Aquisition Co.*
Energen Corp.
ENSCO International, Inc.
EOG Resources, Inc.
Equitable Resources, Inc.
Evergreen Resources, Inc.*
Exxon Mobil Corp.
FMC Technologies, Inc.*
Forest Oil Corp.*
Grey Wolf, Inc.*
Halliburton Co.
Hanover Compressor Co.*
Helmerich & Payne, Inc.
Houston Exploration Co.*
Kerr-McGee Corp.
Key Energy Services, Inc.*
Marathon Oil Corp.
Murphy Oil Corp.
National Fuel Gas Co.
New Jersey Resources Corp.
Newfield Exploration Co.*
Nicor, Inc.
Noble Energy, Inc.
Occidental Petroleum Corp.
Oceaneering International, Inc.*
Oil States International, Inc.*
ONEOK, Inc.
Patina Oil & Gas Corp.
Patterson-UTI Energy, Inc.
Piedmont Natural Gas Co., Inc.
Pioneer Natural Resources Co.
Pogo Producing Co.
Premcor, Inc.*
Pride International, Inc.*
Range Resources Corp.
Rowan Cos., Inc.*
SEACOR SMIT, Inc.*
Smith International, Inc.*
Southern Union Co.
Southwestern Energy Co.*
Spinnaker Exploration Co.*
St. Mary Land & Exploration Co.
Stone Energy Corp.*
Sunoco, Inc.
Superior Energy Services, Inc.*
Tesoro Petroleum Corp.*
</Table>
2,700
1,200
500
100
172,827
34,728
21,165
1,400
--------------230,120
---------------
4,300
2,200
6,000
7,784
2,600
500
8,000
3,800
9,400
500
400
5,200
212
600
16,400
1,300
600
2,870
2,600
14,053
500
500
3,300
2,800
1,400
600
156,964
1,500
1,000
2,900
10,600
1,200
900
500
3,252
2,900
8,200
2,200
1,800
500
1,100
500
1,200
8,500
400
600
2,200
2,050
1,600
1,600
2,900
1,400
1,900
2,400
1,000
2,300
300
2,300
1,278
600
300
3,400
1,400
1,900
1,200
1,000
124,915
174,218
351,600
338,993
9,256
12,800
301,200
174,192
340,092
21,150
12,128
76,544
6,409
11,676
1,251,156
63,310
12,570
189,420
61,958
110,738
13,950
23,995
96,030
167,188
72,394
24,240
6,970,771
43,200
27,320
12,296
320,756
14,280
23,535
25,920
174,860
27,376
310,288
162,140
45,000
20,790
61,314
16,985
61,200
411,485
13,700
9,180
48,378
61,233
53,456
68,320
101,732
69,160
71,250
41,064
14,600
55,959
13,179
128,248
26,940
17,202
11,814
121,210
63,952
120,878
12,060
27,600
$
21
<Page>
<Table>
<Caption>
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
SHARES
VALUE+
----------------------------------------------------------------------------------<S>
<C>
<C>
COMMON STOCKS (CONTINUED)
OIL & GAS (CONTINUED)
Tidewater, Inc.
1,100
$
32,780
UGI Corp.
750
24,075
Unit Corp.*
700
22,015
Unocal Corp.
6,300
239,400
Valero Energy Corp.
3,100
228,656
Vintage Petroleum, Inc.
600
10,182
Western Gas Resources, Inc.
1,600
51,968
Williams Cos., Inc.
12,500
148,750
XTO Energy, Inc.
6,182
184,162
--------------14,864,741
--------------PAPER & RELATED PRODUCTS -- 0.1%
American Greetings Corp. Class A*
Boise Cascade Corp.
Bowater, Inc.
Louisiana-Pacific Corp.
MeadWestvaco Corp.
Potlatch Corp.
Temple-Inland, Inc.
700
2,100
1,000
2,100
4,440
400
1,100
16,226
79,044
41,590
49,665
130,492
16,656
76,175
--------------409,848
---------------
PERSONAL CARE -- 0.0%
Nu Skin Enterprises, Inc. Class A
Revlon, Inc. Class A*
1,100
2,000
27,852
5,900
--------------33,752
---------------
PHOTO EQUIPMENT & SUPPLIES -- 0.1%
Eastman Kodak Co.
Lexar Media, Inc.*
6,900
700
186,162
4,676
--------------190,838
---------------
PRINTING -- 0.1%
R. R. Donnelley & Sons Co.
Valassis Communications, Inc.*
5,300
800
175,006
24,376
--------------199,382
---------------
PUBLISHING -- 0.2%
Dow Jones & Co., Inc.
Hollinger International, Inc. Class A
John Wiley & Sons, Inc. Class A
Journal Register Co.*
Knight-Ridder, Inc.
Lee Enterprises, Inc.
ProQuest Co.*
Scholastic Corp.*
The McClatchy Co. Class A
The New York Times Co. Class A
The Reader's Digest Association, Inc.
1,300
900
1,000
600
1,800
800
500
300
400
3,600
1,000
58,630
15,111
32,000
12,000
129,600
38,408
13,625
8,985
28,060
160,956
15,990
--------------513,365
---------------
REAL ESTATE -- 0.1%
Catellus Development Corp.
Corrections Corp. of America*
Jones Lang LaSalle, Inc.*
LNR Property Corp.
The St. Joe Co.
1,859
600
600
300
1,400
45,824
23,694
16,260
16,275
55,580
--------------157,633
---------------
RESTAURANTS -- 0.7%
Applebee's International, Inc.
Bob Evans Farms, Inc.
Brinker International, Inc.*
CBRL Group, Inc.
CEC Entertainment, Inc.*
Darden Restaurants, Inc.
4,388
700
2,100
900
600
3,600
$
101,000
19,166
71,652
27,765
17,706
73,980
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
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IHOP Corp.
Jack in the Box, Inc.*
Krispy Kreme Doughnuts, Inc.*
Landry's Seafood Restaurants, Inc.
McDonald's Corp.
Outback Steakhouse, Inc.
P.F. Chang's China Bistro, Inc.*
RARE Hospitality International, Inc.*
Ruby Tuesday, Inc.
Ryan's Restaurant Group, Inc.*
Sonic Corp.*
Starbucks Corp.*
The Cheesecake Factory*
Wendy's International, Inc.
Yum! Brands, Inc.*
RETAIL -- FOOD -- 0.4%
Albertson's, Inc.
Kroger Co.*
Ruddick Corp.
Safeway, Inc.*
SUPERVALU, Inc.
Weis Markets, Inc.
Whole Foods Market, Inc.
Winn-Dixie Stores, Inc.
RETAIL -- GENERAL -- 2.9%
7-Eleven, Inc.*
99 Cents Only Stores*
Bebe stores, Inc.*
Big Lots, Inc.*
BJ's Wholesale Club, Inc.*
Casey's General Stores, Inc.
CVS Corp.
Dillards, Inc. Class A
Dollar General Corp.
Family Dollar Stores, Inc.
Federated Department Stores, Inc.
Fred's, Inc.
J.C. Penney Co., Inc.
Kmart Holding Corp.*
Longs Drug Stores Corp.
May Department Stores Co.
Sears, Roebuck & Co.
Target Corp.
TJX Cos., Inc.
Wal-Mart Stores, Inc.
400
500
1,000
100
30,200
1,800
300
500
1,200
800
1,350
9,500
900
2,500
6,900
14,304
14,850
19,090
2,989
785,200
74,448
12,345
12,450
32,940
12,640
30,713
413,060
35,811
87,100
256,818
--------------2,116,027
---------------
8,800
17,900
900
10,700
3,200
400
1,500
2,500
233,552
325,780
20,205
271,138
97,952
14,020
143,175
18,000
--------------1,123,822
---------------
2,400
1,166
600
2,200
1,300
800
9,500
1,800
7,425
3,800
4,300
500
6,700
2,200
600
6,400
5,800
20,100
12,100
102,900
42,840
17,781
12,000
31,812
32,500
14,640
399,190
40,140
145,233
115,596
211,130
11,045
252,992
157,960
14,322
175,936
219,008
853,647
292,094
5,429,004
--------------8,468,870
---------------
</Table>
22
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VALUE+
----------------------------------------------------------------------------------<S>
<C>
<C>
COMMON STOCKS (CONTINUED)
RETAIL -- SPECIALTY -- 3.7%
Abercrombie & Fitch Co. Class A
2,100
$
81,375
Aeropostale, Inc.*
600
16,146
Amazon.com, Inc.*
9,700
527,680
American Eagle Outfitters, Inc.*
1,400
40,474
AnnTaylor Stores Corp.*
1,350
39,123
AutoNation, Inc.*
5,500
94,050
Barnes & Noble, Inc.*
1,500
50,970
Bed Bath & Beyond, Inc.*
7,200
276,840
Best Buy Co., Inc.
7,750
393,235
Blockbuster, Inc. Class A
600
9,108
Borders Group, Inc.
1,200
28,128
Burlington Coat Factory Warehouse Corp.
600
11,580
Callaway Golf Co.
800
9,072
Chico's FAS, Inc.*
1,900
85,804
Children's Place Retail Stores, Inc.*
2,200
51,744
Christopher & Banks Corp.
200
3,542
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Circuit City Stores-Circuit City Group
Claire's Stores, Inc.
Copart, Inc.*
Cost Plus, Inc.*
Costco Wholesale Corp.
Dollar Tree Stores, Inc.*
eBay, Inc.*
Foot Locker, Inc.
Group 1 Automotive, Inc.*
Guitar Center, Inc.*
Hollywood Entertainment Corp.*
Home Depot, Inc.
Hot Topic, Inc.*
Kohl's Corp.*
La-Z-Boy, Inc.
Linens 'n Things, Inc.*
Liz Claiborne, Inc.
Lowe's Cos., Inc.
Michaels Stores, Inc.
NBTY, Inc.*
Nordstrom, Inc.
Office Depot, Inc.*
Pacific Sunwear of California, Inc.*
Payless ShoeSource, Inc.*
Pep Boys -- Manny, Moe & Jack
PETCO Animal Supplies, Inc.*
PETsMART, Inc.
Pier 1 Imports, Inc.
RadioShack Corp.
Regis Corp.
Rite Aid Corp.*
Ross Stores, Inc.
Saks, Inc.
Select Comfort Corp.*
Sonic Automotive, Inc. Class A
Staples, Inc.
Talbots, Inc.
The Gap, Inc.
The Limited, Inc.
The Men's Wearhouse, Inc.*
The Nautilus Group, Inc.
The Neiman Marcus Group, Inc. Class A
The Sherwin Williams Co.
The Sports Authority, Inc.*
Tiffany & Co.
Too, Inc.*
Toys "R" Us, Inc.*
Tractor Supply Co.*
Tuesday Morning Corp.*
Urban Outfitters, Inc.*
V.F. Corp.
Walgreen Co.
Williams-Sonoma, Inc.*
STEEL -- 0.2%
Allegheny Technologies, Inc.
Carpenter Technology Corp.
Maverick Tube Corp.*
Nucor Corp.
Reliance Steel & Aluminum Co.
Schnitzer Steel Industries, Inc. Class A
Steel Dynamics, Inc.*
The Timken Co.
United States Steel Corp.
Worthington Industries, Inc.
TELECOMMUNICATIONS -- 4.4%
ADC Telecommunications, Inc.*
Adtran, Inc.
Advanced Fibre Communications, Inc.*
ALLTEL Corp.
American Tower Corp. Class A*
AT&T Corp.
AT&T Wireless Services, Inc.*
BellSouth Corp.
Cablevision Systems Corp. Class A*
CenturyTel, Inc.
CIENA Corp.*
4,200
2,000
1,850
300
10,000
2,500
15,800
3,500
400
300
700
53,850
600
7,500
600
500
2,200
17,300
1,400
1,500
3,000
7,500
2,050
1,100
700
1,000
3,500
1,700
3,900
900
9,300
3,300
5,000
500
200
10,900
1,300
19,700
11,380
500
500
500
3,400
300
3,500
500
5,100
400
600
700
2,400
24,600
2,800
54,390
43,400
49,395
9,735
410,700
68,575
1,452,810
85,190
13,284
13,341
9,352
1,895,520
12,294
317,100
10,788
14,655
79,156
909,115
77,000
44,085
127,830
134,325
40,118
16,401
17,745
32,210
113,575
30,073
111,657
40,131
48,546
88,308
75,000
14,200
4,430
319,479
50,895
477,725
$
212,806
13,195
9,755
27,825
141,270
10,770
128,975
8,350
81,243
16,728
17,400
42,637
116,880
890,766
92,288
--------------10,842,292
---------------
1,300
300
700
1,600
2,500
500
800
1,500
2,700
1,900
23,465
10,215
18,382
122,816
100,800
16,980
22,904
39,735
94,824
39,007
--------------489,128
---------------
14,600
3,100
1,500
6,900
5,000
17,420
53,813
44,000
5,600
700
10,500
41,464
103,447
30,300
349,278
76,000
254,855
770,602
1,153,680
110,040
21,028
39,060
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Cincinnati Bell, Inc.*
Citizens Communications Co.
Commonwealth Telephone Enterprises, Inc.*
CommScope, Inc.*
Comverse Technology, Inc.*
Cox Communications, Inc. Class A*
Crown Castle International Corp.*
EchoStar Communications Corp. Class A*
Harris Corp.
InfoSpace, Inc.*
InterDigital Communications Corp.*
JDS Uniphase Corp.*
Level 3 Communications, Inc.*
Lucent Technologies, Inc.*
</Table>
3,000
5,700
300
800
4,200
14,200
4,917
5,500
1,500
500
900
34,490
13,100
82,300
13,320
68,970
13,431
17,160
83,748
394,618
72,526
169,125
76,125
19,020
16,929
130,717
46,505
311,094
23
<Page>
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SHARES
VALUE+
----------------------------------------------------------------------------------<S>
<C>
<C>
COMMON STOCKS (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
Motorola, Inc.
51,500
$
939,875
Nextel Communications, Inc. Class A*
25,500
679,830
Nextel Partners, Inc. Class A*
3,700
58,904
NII Holdings, Inc. Class B*
1,500
50,535
PanAmSat Corp.*
3,000
69,660
Plantronics, Inc.*
900
37,890
Price Communications Corp.
525
7,749
QUALCOMM, Inc.
17,700
1,291,746
RF Micro Devices, Inc.*
3,300
24,750
SBC Communications, Inc.
72,800
1,765,400
Scientific-Atlanta, Inc.
3,700
127,650
Sprint Corp.
32,000
563,200
Sycamore Networks, Inc.*
3,300
13,959
Symbol Technologies, Inc.
5,650
83,281
Telephone & Data Systems, Inc.
1,200
85,440
Tellabs, Inc.*
10,000
87,400
United States Cellular Corp.*
1,100
42,405
Verizon Communications
66,500
2,406,635
Western Wireless Corp. Class A*
1,900
54,929
Wireless Facilities, Inc.*
700
6,881
--------------12,781,161
--------------TEXTILE & APPAREL -- 0.4%
Charming Shoppes, Inc.
Coach, Inc.*
Columbia Sportswear Co.*
Jones Apparel Group, Inc.
Kellwood Co.
Mohawk Industries, Inc.*
NIKE, Inc. Class B
Oakley, Inc.
Oxford Industries, Inc.
Polo Ralph Lauren Corp.
Quiksilver, Inc.*
Reebok International Ltd.
The Warnaco Group, Inc.*
Timberland Co. Class A*
Wolverine World Wide, Inc.
2,100
4,500
800
3,000
400
1,643
4,000
1,100
300
1,100
1,000
1,300
300
500
800
18,753
203,355
43,696
118,440
17,420
120,481
303,000
14,234
13,068
37,895
23,810
46,774
6,381
32,295
21,000
--------------1,020,602
---------------
TIRES & RUBBER -- 0.0%
Cooper Tire & Rubber Co.
Goodyear Tire & Rubber Co.*
900
2,300
20,700
20,907
--------------41,607
---------------
49,200
1,900
4,000
2,462,460
128,421
144,000
--------------2,734,881
---------------
TOBACCO -- 0.9%
Altria Group, Inc.
R.J. Reynolds Tobacco Holdings, Inc.
UST, Inc.
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
TOOLS -- HAND HELD -- 0.1%
Snap-on, Inc.
Stanley Works
Toro Co.
1,200
1,800
300
TRANSPORTATION -- 1.1%
ABX Air, Inc.*
Alexander & Baldwin, Inc.
Arkansas Best Corp.
Burlington Northern Santa Fe Corp.
C.H. Robinson Worldwide, Inc.
CNF Transportation, Inc.
CSX Corp.
EGL, Inc.*
FedEx Corp.
Forward Air Corp.*
GATX Corp.
Heartland Express, Inc.
J.B. Hunt Transport Services, Inc.
Kansas City Southern Industries, Inc.*
Kirby Corp.*
Knight Transportation, Inc.*
Landstar Systems, Inc.*
Norfolk Southern Corp.
Overseas Shipholding Group, Inc.
Ryder System, Inc.
Swift Transportation Co., Inc.*
Union Pacific Corp.
United Parcel Service, Inc. Class B
USF Corp.
Werner Enterprises, Inc.
Yellow Roadway Corp.*
UTILITIES -- 2.4%
AES Corp.*
Allegheny Energy, Inc.*
ALLETE
Alliant Energy Corp.
Ameren Corp.
American Electric Power Co., Inc.
American Power Conversion Corp.
Aqua America, Inc.
Avista Corp.
Black Hills Corp.
Calpine Corp.*
CH Energy Group, Inc.
Cinergy Corp.
Cleco Corp.
CMS Energy Corp.
Consolidated Edison, Inc.
Constellation Energy Group
Dominion Resources, Inc.
DPL, Inc.
Duke Energy Corp.
Dynegy, Inc. Class A*
Edison International
El Paso Electric Co.*
Exelon Corp.
FirstEnergy Corp.
FPL Group, Inc.
FuelCell Energy, Inc.*
</Table>
600
500
400
4,600
1,900
1,000
5,200
800
7,200
300
500
600
1,600
1,000
500
500
800
8,400
900
1,600
1,500
6,200
12,000
2,400
1,000
1,000
15,100
2,500
5,400
2,100
4,000
9,500
4,800
1,876
800
500
8,300
300
4,300
600
1,900
5,000
4,000
7,100
2,800
22,000
3,200
7,800
1,200
14,500
7,200
4,400
900
40,260
82,044
21,021
--------------143,325
--------------$
4,098
16,725
13,168
161,322
87,096
41,560
170,404
21,280
588,168
11,220
13,600
16,416
61,728
15,500
19,450
14,365
42,296
222,768
39,717
64,112
26,925
368,590
902,040
84,312
21,100
39,860
--------------3,067,820
--------------149,943
38,525
179,820
54,768
171,840
304,000
94,320
37,614
14,736
15,750
35,856
13,932
163,400
10,788
17,347
198,800
151,600
447,868
54,376
446,380
13,632
199,446
18,528
482,705
269,352
281,380
10,512
24
<Page>
<Table>
<Caption>
SHARES
VALUE+
----------------------------------------------------------------------------------<S>
<C>
<C>
COMMON STOCKS (CONTINUED)
UTILITIES (CONTINUED)
IDACORP, Inc.
600
$
16,200
KeySpan Corp.
3,500
128,450
MDU Resources Group, Inc.
6,450
154,993
NiSource, Inc.
5,737
118,297
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Northeast Utilities
Northwest Natural Gas Co.
OGE Energy Corp.
Otter Tail Power Co.
Parker-Hannifin Corp.
Peoples Energy Corp.
Pepco Holdings, Inc.
PG&E Corp.*
Pinnacle West Capital Corp.
PNM Resources, Inc.
PPL Corp.
Public Service Enterprise Group, Inc.
Puget Energy, Inc.
Questar Corp.
Reliant Resources, Inc.*
SCANA Corp.
Sierra Pacific Resources
Southern Co.
Southwest Gas Corp.
TECO Energy, Inc.
TXU Corp.
UIL Holdings Corp.
Unisource Energy Corp.
Vectren Corp.
WGL Holdings, Inc.
Wisconsin Energy Corp.
WPS Resources Corp.
Xcel Energy, Inc.
WASTE MANAGEMENT -- 0.2%
Allied Waste Industries, Inc.*
Republic Services, Inc. Class A
Stericycle, Inc.*
Waste Connections, Inc.*
Waste Management, Inc.
OTHER -- 3.5%
DFA U.S. MicroCap Portfolio
2,300
500
1,700
500
2,900
700
3,800
9,200
2,200
750
4,300
5,700
1,900
1,700
5,944
2,400
1,900
16,100
500
3,500
7,100
200
600
1,700
900
2,400
800
9,600
44,781
15,250
43,299
13,430
172,434
29,505
69,464
257,048
88,858
15,577
197,370
228,171
41,629
65,688
64,374
87,288
14,649
469,315
12,065
41,965
287,621
9,738
14,910
42,653
25,848
78,264
37,080
160,416
--------------6,923,848
---------------
7,100
3,900
900
750
13,900
93,578
112,866
46,566
22,245
426,035
--------------701,290
---------------
722,362
10,250,314
---------------
TOTAL COMMON STOCKS
(Identified Cost $258,484,780)
285,887,261
---------------
SHORT-TERM INVESTMENTS -- 1.0%
OTHER -- 1.0%
SSgA Government Money Market Fund
SSgA Money Market Fund
821
2,909,974
TOTAL SHORT-TERM INVESTMENTS
(Identified Cost $2,910,795)
$
821
2,909,974
--------------2,910,795
---------------
TOTAL INVESTMENTS -- 99.8%
(IDENTIFIED COST $261,395,575)#
Cash and Other Assets,
Less Liabilities -- 0.2%
288,798,056
675,202
--------------$
289,473,258
===============
NET ASSETS -- 100%
</Table>
+
*
#
(a)
See Note 1.
Non-income producing security
At June 30, 2004, the aggregate cost of investment securities for income
tax purposes was $261,395,736. Net unrealized appreciation aggregated
$27,402,320, of which $39,985,000 related to appreciated investment
securities and $12,582,680 related to depreciated investment securities.
Bankrupt security/delisted.
SEE NOTES TO FINANCIAL STATEMENTS.
25
<Page>
SA U.S. HBtM Fund
PORTFOLIO OF INVESTMENTS -- AS OF JUNE 30, 2004
<Table>
<Caption>
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
SHARES
VALUE+
----------------------------------------------------------------------------------<S>
<C>
<C>
COMMON STOCKS -- 98.8%
AEROSPACE/DEFENSE -- 2.9%
Northrop Grumman Corp.
51,000
$
2,738,700
Raytheon Co.
55,700
1,992,389
--------------4,731,089
--------------AGRICULTURAL OPERATIONS -- 0.5%
Monsanto Co.
22,300
858,550
---------------
AIRLINES -- 0.0%
Delta Air Lines, Inc.
10,000
71,200
---------------
11,300
248,600
79,200
700
6,300
11,391
221,480
3,890,590
3,689,928
27,132
112,707
132,933
--------------8,074,770
---------------
5,800
2,000
9,800
212,164
54,200
216,580
--------------482,944
---------------
87,072
124,962
56,300
7,700
7,000
18,605
2,800
13,006
3,217,310
3,502,685
1,554,443
205,590
180,460
690,245
45,108
222,403
--------------9,618,244
---------------
BUILDING & CONSTRUCTION -- 0.7%
Lafarge Corp.
Pulte Corp.
11,800
10,800
510,940
561,924
--------------1,072,864
---------------
BUSINESS SERVICES -- 0.7%
Electronic Data Systems Corp.
61,900
1,185,385
---------------
CHEMICALS -- 0.9%
Ashland, Inc.
Eastman Chemical Co.
Lubrizol Corp.
Lyondell Chemical Co.
Valhi, Inc.
10,400
8,400
1,800
22,500
1,800
549,224
388,332
65,916
391,275
20,466
--------------1,415,213
---------------
COMPUTER EQUIPMENT -- 0.2%
Ingram Micro, Inc. Class A*
22,500
325,575
---------------
COMPUTER SERVICES -- 0.5%
Compuware Corp.*
Sun Microsystems, Inc.*
Unisys Corp.*
24,800
97,600
14,000
163,680
423,584
194,320
--------------781,584
---------------
AUTO & RELATED -- 4.9%
Dana Corp.
Ford Motor Co.
General Motors Corp.
Navistar International Corp.*
United Rentals, Inc.*
Visteon Corp.
BANKS/SAVINGS & LOANS -- 0.3%
Astoria Financial Corp.
Commercial Federal Corp.
Sovereign Bancorp, Inc.
BROADCASTING -- 5.8%
Clear Channel Communications, Inc.
Comcast Corp. Class A*
Comcast Corp. Class A Special*
Fox Entertainment Group, Inc. Class A*
Hearst-Argyle Television, Inc.
Liberty Media International, Inc. Series A*
Radio One, Inc. Class A*
The DIRECTV Group, Inc.*
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
COMPUTER SOFTWARE -- 0.3%
3Com Corp.*
CheckFree Corp.*
WebMD Corp.*
36,100
9,100
8,100
$
CONTAINERS & GLASS -- 0.2%
Owens-Illinois, Inc.*
19,000
318,440
---------------
DIVERSIFIED OPERATIONS -- 1.4%
Cendant Corp.
PerkinElmer, Inc.
Textron, Inc.
57,900
5,800
12,300
1,417,392
116,232
730,005
--------------2,263,629
---------------
ELECTRONICS -- 3.4%
Advanced Micro Devices, Inc.*
Agere Systems, Inc. Class A*
Agere Systems, Inc. Class B*
Applied Micro Circuits Corp.*
Arrow Electronics, Inc.*
Avnet, Inc.*
AVX Corp.
Curtiss-Wright Corp. Class B
Intersil Corp. Class A
LSI Logic Corp.*
Micron Technology, Inc.*
Rockwell International Corp.
Sanmina Corp.*
Solectron Corp.*
Tech Data Corp.*
Thermo Electron Corp.*
Thomas & Betts Corp.*
Vishay Intertechnology, Inc.*
32,500
674
16,561
22,500
8,800
16,500
12,900
258
9,500
38,200
83,200
3,700
43,000
74,900
8,200
9,000
5,000
33,900
516,750
1,550
35,606
119,700
236,016
374,550
186,405
13,873
205,770
291,084
1,273,792
138,787
391,300
484,603
320,866
276,660
136,150
629,862
--------------5,633,324
---------------
8,400
470,316
---------------
FINANCIAL SERVICES -- 5.1%
A.G. Edwards, Inc.
AmeriCredit Corp.*
Instinet Group, Inc.*
J.P. Morgan Chase & Co.
Janus Capital Group, Inc.
KeyCorp
LaBranche & Co., Inc.
MBIA, Inc.
Protective Life Corp.
Providian Financial Corp.*
The Bear Stearns Cos., Inc.
2,700
21,800
3,100
101,200
15,500
9,700
3,500
20,200
9,600
38,700
14,860
91,881
425,754
16,368
3,923,524
255,595
289,933
29,470
1,153,824
371,232
567,729
1,252,847
--------------8,378,157
---------------
FOOD & BEVERAGES -- 3.4%
Archer-Daniels-Midland Co.
Coca-Cola Enterprises, Inc.
Kraft Foods, Inc. Class A
PepsiAmericas, Inc.
Smithfield Foods, Inc.*
Tyson Foods, Inc. Class A
91,996
65,900
23,700
15,300
13,500
33,107
1,543,693
1,910,441
750,816
324,972
396,900
693,591
--------------5,620,413
---------------
ENERGY -- 0.3%
Peabody Energy Corp.
225,625
273,000
75,492
--------------574,117
---------------
</Table>
26
<Page>
<Table>
<Caption>
SHARES
VALUE+
----------------------------------------------------------------------------------<S>
<C>
<C>
COMMON STOCKS (CONTINUED)
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
FOREST & PAPER PRODUCTS -- 3.2%
Georgia-Pacific Group
International Paper Co.
Smurfit-Stone Container Corp.
Weyerhaeuser Co.
36,200
29,000
33,900
31,600
$
FUNERAL SERVICES -- 0.2%
Service Corp. International*
39,200
288,904
---------------
HEALTH CARE -- DRUGS -- 0.2%
Millennium Pharmaceuticals, Inc.*
26,600
367,080
---------------
1,500
4,900
4,100
97,605
56,987
295,159
--------------449,751
---------------
22,900
7,400
63,800
16,700
387,010
286,084
855,558
621,741
--------------2,150,393
---------------
INSURANCE -- 18.6%
Allmerica Financial Corp.*
Allstate Corp.
American Financial Group, Inc.
American National Insurance Co.
Chubb Corp.
CIGNA Corp.
Cincinnati Financial Corp.
CNA Financial Corp.*
Hartford Financial Services Group, Inc.
Lincoln National Corp.
Loews Corp.
Manulife Financial Corp.
MetLife, Inc.
MGIC Investment Corp.
MONY Group, Inc.*
Nationwide Financial Services, Inc. Class A
Odyssey Re Holdings Corp.
Old Republic International Corp.
Principal Financial Group, Inc.
Radian Group, Inc.
Reinsurance Group of America, Inc.
Safeco Corp.
St. Paul Cos., Inc.
StanCorp Financial Group, Inc.
The First American Corp.
The PMI Group, Inc.
Torchmark, Inc.
Unitrin, Inc.
UnumProvident Corp.
8,100
99,900
13,400
3,500
25,600
7,300
23,565
36,300
37,300
25,400
26,600
33,306
107,300
9,400
4,200
7,600
8,700
26,300
45,100
13,300
8,400
20,400
29,800
4,700
17,800
16,900
13,900
10,100
42,700
273,780
4,650,345
409,638
323,155
1,745,408
502,313
1,025,549
1,074,117
2,564,002
1,200,150
1,594,936
1,348,893
3,846,705
713,084
131,460
285,836
208,800
623,836
1,568,578
637,070
341,460
897,600
1,208,092
314,900
460,842
735,488
747,820
430,260
678,930
--------------30,543,047
---------------
INTERNET SERVICES -- 1.9%
InterActiveCorp*
Qwest Communications International, Inc.*
90,398
131,900
$
HEALTH CARE -- PRODUCTS -- 0.3%
Bausch & Lomb, Inc.
Human Genome Sciences, Inc.*
Invitrogen Corp.*
HEALTH CARE -- SERVICES -- 1.3%
Humana, Inc.*
PacifiCare Health Systems, Inc.*
Tenet Healthcare Corp.*
Triad Hospitals, Inc.*
LEISURE -- 1.5%
Caesars Entertainment, Inc.*
MGM Mirage, Inc.*
Starwood Hotels & Resorts Worldwide, Inc.
Class B
1,338,676
1,296,300
676,305
1,994,592
--------------5,305,873
---------------
2,724,596
473,521
--------------3,198,117
---------------
35,000
19,200
525,000
901,248
24,200
1,085,370
--------------2,511,618
---------------
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
MACHINERY -- 0.2%
SPX Corp.
7,600
352,944
---------------
METALS & MINING -- 0.3%
Phelps Dodge Corp.
7,200
558,072
---------------
MULTIMEDIA -- 11.0%
A.H. Belo Corp. Series A
Cox Radio, Inc. Class A*
Liberty Media Corp. Class A
Metro-Goldwyn-Mayer, Inc. *
Time Warner, Inc.*
Viacom, Inc. Class A
Viacom, Inc. Class B
Walt Disney Co.
14,100
2,200
379,200
20,400
348,300
17,400
153,100
71,300
378,585
38,236
3,409,008
246,840
6,123,114
632,490
5,468,732
1,817,437
--------------18,114,442
---------------
OFFICE EQUIPMENT -- 0.2%
IKON Office Solutions, Inc.
23,300
267,251
---------------
6,100
85,400
---------------
OIL & GAS -- 7.8%
Amerada Hess Corp.
Anadarko Petroleum Corp.
Apache Corp.
ConocoPhillips
Devon Energy Corp.
Diamond Offshore Drilling, Inc.
Helmerich & Payne, Inc.
Kerr-McGee Corp.
Marathon Oil Corp.
Occidental Petroleum Corp.
Pogo Producing Co.
Pride International, Inc.*
Rowan Cos., Inc.*
Sunoco, Inc.
Tidewater, Inc.
Valero Energy Corp.
12,518
35,726
21,482
18,800
1,200
24,798
3,900
14,967
49,000
16,300
10,700
25,900
2,500
6,500
7,800
20,100
991,300
2,093,544
935,541
1,434,252
79,200
590,936
101,985
804,776
1,854,160
789,083
528,580
443,149
60,825
413,530
232,440
1,482,576
--------------12,835,877
---------------
PAPER & RELATED PRODUCTS -- 1.5%
Boise Cascade Corp.
Bowater, Inc.
Louisiana-Pacific Corp.
MeadWestvaco Corp.
Temple-Inland, Inc.
12,400
10,900
14,200
28,813
5,400
466,736
453,331
335,830
846,814
373,950
--------------2,476,661
---------------
OFFICE FURNISHINGS & SUPPLIES -- 0.1%
Steelcase, Inc. Class A
</Table>
27
<Page>
<Table>
<Caption>
SHARES
VALUE+
----------------------------------------------------------------------------------<S>
<C>
<C>
COMMON STOCKS (CONTINUED)
PUBLISHING -- 0.0%
Hollinger International, Inc. Class A
2,600
$
43,654
--------------RETAIL -- FOOD -- 0.8%
Albertson's, Inc.
SUPERVALU, Inc.
36,600
11,700
971,364
358,137
--------------1,329,501
---------------
RETAIL -- GENERAL -- 3.0%
Dillards, Inc. Class A
Federated Department Stores, Inc.
10,300
25,900
229,690
1,271,690
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
J.C. Penney Co., Inc.
May Department Stores Co.
Sears, Roebuck & Co.
35,700
22,500
37,000
1,348,032
618,525
1,397,120
--------------4,865,057
---------------
36,600
4,300
4,500
5,700
28,600
8,500
18,900
31,800
625,860
146,114
68,310
133,608
370,370
44,370
283,500
506,574
--------------2,178,706
---------------
3,600
6,300
9,300
3,000
276,336
166,887
326,616
61,590
--------------831,429
---------------
29,400
112,740
301,909
24,700
13,200
14,000
84,100
28,400
2,000
15,000
36,600
19,300
17,400
125,100
7,700
54,911
7,200
446,880
1,649,386
4,323,337
91,884
58,608
279,160
2,337,139
418,900
101,500
53,250
138,348
448,146
421,950
2,201,760
548,240
479,922
277,560
--------------14,275,970
---------------
TIRES & RUBBER -- 0.1%
Cooper Tire & Rubber Co.
Goodyear Tire & Rubber Co.*
2,300
12,400
52,900
112,716
--------------165,616
---------------
TOBACCO -- 0.5%
R.J. Reynolds Tobacco Holdings, Inc.
12,100
$
817,839
---------------
TRANSPORTATION -- 3.8%
Alexander & Baldwin, Inc.
Burlington Northern Santa Fe Corp.
CSX Corp.
Norfolk Southern Corp.
Ryder System, Inc.
Union Pacific Corp.
3,700
22,800
31,100
55,900
13,900
36,800
123,765
799,596
1,019,147
1,482,468
556,973
2,187,760
--------------6,169,709
---------------
4,500
117,360
---------------
25,800
340,044
---------------
RETAIL -- SPECIALTY -- 1.3%
AutoNation, Inc.*
Barnes & Noble, Inc.*
Blockbuster, Inc. Class A
Borders Group, Inc.
Circuit City Stores-Circuit City Group
Rite Aid Corp.*
Saks, Inc.
Toys "R" Us, Inc.*
STEEL -- 0.5%
Nucor Corp.
The Timken Co.
United States Steel Corp.
Worthington Industries, Inc.
TELECOMMUNICATIONS -- 8.7%
American Tower Corp. Class A*
AT&T Corp.
AT&T Wireless Services, Inc.*
CIENA Corp.*
Cincinnati Bell, Inc.*
Comverse Technology, Inc.*
Cox Communications, Inc. Class A*
Crown Castle International Corp.*
Harris Corp.
Level 3 Communications, Inc.*
Lucent Technologies, Inc.*
PanAmSat Corp.*
SBC Communications, Inc.
Sprint Corp.
Telephone & Data Systems, Inc.
Tellabs, Inc.*
United States Cellular Corp.*
UTILITIES -- 0.1%
Alliant Energy Corp.
WASTE MANAGEMENT -- 0.2%
Allied Waste Industries, Inc.*
TOTAL COMMON STOCKS
(Identified Cost $139,913,890)
162,516,129
---------------
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
SHORT-TERM INVESTMENTS -- 1.5%
OTHER -- 1.5%
SSgA Government Money Market Fund
SSgA Money Market Fund
714
2,566,074
TOTAL SHORT-TERM INVESTMENTS
(Identified Cost $2,566,788)
714
2,566,074
--------------2,566,788
---------------
TOTAL INVESTMENTS -- 100.3%
(IDENTIFIED COST $142,480,678)#
Liabilities, Less Cash and
Other Assets -- (0.3%)
165,082,917
(527,763)
--------------$
164,555,154
===============
NET ASSETS -- 100%
</Table>
+
*
#
See Note 1.
Non-income producing security
At June 30, 2004, the aggregate cost of investment securities for income
tax purposes was $142,480,678. Net unrealized appreciation aggregated
$22,602,239, of which $28,872,215 related to appreciated investment
securities and $6,269,976 related to depreciated investment securities.
SEE NOTES TO FINANCIAL STATEMENTS.
28
<Page>
SA U.S. Small Company Fund
PORTFOLIO OF INVESTMENTS -- AS OF JUNE 30, 2004
<Table>
<Caption>
SHARES
VALUE+
----------------------------------------------------------------------------------<S>
<C>
<C>
COMMON STOCKS -- 98.6%
ADVERTISING -- 0.1%
Equity Marketing, Inc.*
800
$
9,960
Traffix, Inc.
200
1,316
ValueVision International, Inc. Class A*
5,000
65,100
--------------76,376
--------------AEROSPACE/DEFENSE -- 1.0%
AAR Corp.
Armor Holdings, Inc.*
BE Aerospace, Inc.*
DRS Technologies, Inc.*
Ducommun, Inc.*
EDO Corp.
Engineered Support Systems, Inc.
GenCorp, Inc.
HEICO Corp.
HEICO Corp. Class A
Herley Industries, Inc.*
Hexcel Corp.*
Innovative Solutions and Support, Inc.*
Kaman Corp. Class A
Ladish Co., Inc.*
MTC Technologies, Inc.*
Orbital Sciences Corp. Class A*
REMEC, Inc.*
Sensytech, Inc.*
Teledyne Technologies, Inc.*
The Allied Defense Group, Inc.*
The Fairchild Corp. Class A*
The Titan Corp.*
Triumph Group, Inc.*
United Industrial Corp.
3,800
4,300
3,300
3,500
855
2,800
3,350
6,700
1,200
120
1,800
5,900
1,300
3,200
1,200
1,000
7,800
7,400
700
4,900
600
2,900
5,600
2,200
1,600
43,130
146,200
25,014
111,650
18,280
67,536
196,008
89,713
21,900
1,674
35,172
68,322
25,376
44,768
10,200
25,820
107,718
46,768
16,268
98,098
10,782
12,412
72,688
70,246
37,360
--------------1,403,103
---------------
AGRICULTURAL OPERATIONS -- 0.2%
AGCO Corp.*
Delta & Pine Land Co.
Embrex, Inc.*
LESCO, Inc.*
3,000
6,100
1,100
1,300
61,110
133,895
14,894
17,654
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
--------------227,553
--------------AIRLINES -- 0.7%
AirTran Holdings, Inc.*
Alaska Air Group, Inc.*
America West Holding Corp. Class B*
Atlantic Coast Airlines Holdings, Inc.*
Continental Airlines, Inc. Class B*
Delta Air Lines, Inc.
ExpressJet Holdings, Inc.*
Frontier Airlines, Inc.*
MAIR Holdings, Inc.*
Mesa Air Group, Inc.*
Northwest Airlines Corp. Class A*
SkyWest, Inc.
US Airways Group, Inc. Class A*
11,800
5,000
4,700
5,400
9,300
18,600
8,100
4,350
2,000
3,500
13,800
6,900
800
166,852
119,350
42,676
30,996
105,741
132,432
98,334
47,328
16,320
28,315
153,456
120,129
1,880
--------------1,063,809
---------------
AUTO & RELATED -- 1.7%
A.S.V., Inc.*
Aftermarket Technology Corp.*
American Axle & Manufacturing Holdings, Inc.
Arctic Cat, Inc.
ArvinMeritor, Inc.
Asbury Automotive Group, Inc.*
Bandag, Inc.
Coachmen Industries, Inc.
Collins & Aikman Corp.*
CSK Auto Corp.*
Dollar Thrifty Automotive Group, Inc.*
Dura Automotive Systems, Inc.*
IMPCO Technologies, Inc.*
Insurance Auto Auctions, Inc.*
Lithia Motors, Inc. Class A
LoJack Corp.*
Midas, Inc.*
Monaco Coach Corp.
National R.V. Holdings, Inc.*
Noble International Ltd.
Oshkosh Truck Corp.
Raytech Corp.*
Rent-Way, Inc.*
Skyline Corp.
Spartan Motors, Inc.
Standard Motor Products, Inc.
Strattec Security Corp.*
Superior Industries International, Inc.
Tenneco Automotive, Inc.*
Thor Industries, Inc.
Tower Automotive, Inc.*
United Auto Group, Inc.
United Rentals, Inc.*
Visteon Corp.
Wabash National Corp.*
Winnebago Industries, Inc.
1,500
3,100
300
2,100
500
8,200
1,200
1,600
10,440
7,000
3,800
1,400
2,000
1,200
1,797
1,600
3,000
4,650
1,100
1,200
2,600
1,400
3,200
500
2,400
2,100
300
3,700
5,800
6,800
5,900
4,700
7,600
12,900
3,800
4,700
$
BANKS/SAVINGS & LOANS -- 6.8%
1st Source Corp.
ACE Cash Express, Inc.*
Alabama National Bancorp.
AMCORE Financial, Inc.
Anchor Bancorp Wisconsin, Inc.
BancorpSouth, Inc.
BankUnited Financial Corp. Class A*
Banner Corp.
Bay View Capital Corp.*
Boston Private Financial Holdings, Inc.
Brookline Bancorp, Inc.
BSB Bancorp, Inc.
Cathay Bancorp, Inc.
Center Financial Corp.
Central Pacific Financial Corp.
CFS Bancorp, Inc.
</Table>
2,561
1,700
2,358
3,500
3,400
1,600
4,000
1,260
5,600
3,700
7,648
1,200
2,909
1,200
2,400
1,100
46,965
51,150
10,908
57,813
9,785
123,000
53,436
25,584
58,360
119,980
104,272
12,810
12,660
20,400
44,530
14,064
52,200
130,990
16,225
29,724
149,006
2,324
28,800
20,325
29,400
30,933
20,529
123,765
76,734
227,528
21,476
144,055
135,964
150,543
104,690
175,216
--------------2,436,144
--------------63,974
43,673
130,798
105,560
89,896
36,048
103,200
36,616
11,536
85,692
112,196
42,660
194,030
18,180
66,000
14,575
29
<Page>
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
<Table>
<Caption>
SHARES
VALUE+
----------------------------------------------------------------------------------<S>
<C>
<C>
COMMON STOCKS (CONTINUED)
BANKS/SAVINGS & LOANS (CONTINUED)
Charter Financial Corp.
2,228
$
75,752
Chemical Financial Corp.
3,372
124,393
Chittenden Corp.
3,850
135,328
Columbia Banking System, Inc.
1,583
35,143
Commercial Capital Bancorp, Inc.*
2,319
40,281
Commercial Federal Corp.
4,496
121,842
Community Bank Systems, Inc.
3,800
86,602
Community First Bankshares, Inc.
4,900
157,731
Community Trust Bancorp, Inc.
726
22,143
Corus Bankshares, Inc.
3,400
139,774
CVB Financial Corp.
7,292
158,820
Dime Community Bancshares
5,950
104,006
Downey Financial Corp.
700
37,275
East West Bancorp, Inc.
6,400
196,480
Fidelity Bankshares, Inc.
2,000
70,900
First Charter Corp.
4,300
93,697
First Citizens BancShares, Inc.
200
24,400
First Community Bancorp.
2,200
84,568
First Community Bancshares, Inc.
1,361
45,594
First Federal Capital Corp.
2,800
77,924
First Financial Bancorp.
6,165
109,244
First Financial Holdings, Inc.
1,800
51,858
First Indiana Corp.
1,600
30,480
First Merchants Corp.
2,577
66,873
First National Bankshares of Florida
3,173
60,137
First Niagara Financial Group, Inc.
10,593
127,116
First PacTrust Bancorp, Inc.
200
4,448
First Place Financial Corp.
1,600
29,712
First Republic Bank
2,150
92,622
First Sentinel Bancorp, Inc.
3,300
67,815
First State Bancorp.
900
27,648
FirstFed Financial Corp.*
2,400
99,840
Flagstar Bancorp, Inc.
6,050
120,274
Flushing Financial Corp.
2,900
51,185
FNB Corp.
5,981
122,012
Glacier Bancorp, Inc.
3,512
98,933
Gold Banc Corp., Inc.
5,100
79,050
Greater Bay Bancorp.
5,700
164,730
Hancock Holding Co.
5,200
151,112
Harbor Florida Bancshares, Inc.
3,544
97,495
Harleysville National Corp.
3,940
100,864
Heartland Financial USA, Inc.
1,100
20,185
Horizon Financial Corp.
1,300
25,870
Hudson River Bancorp, Inc.
4,200
71,694
Hudson United Bancorp.
500
18,640
Humboldt Bancorp.
1,320
27,601
IBERIABANK Corp.
1,100
65,098
Independent Bank Corp.-MA
1,782
51,589
Independent Bank Corp.-MI
2,696
68,478
Integra Bank Corp.
2,200
48,466
Lakeland Bancorp, Inc.
1,653
26,679
MAF Bancorp, Inc.
2,795
119,291
Main Street Banks, Inc.
2,700
75,870
MB Financial, Inc.
4,000
147,240
MBT Financial Corp.
2,100
$
38,262
Mid-State Bancshares
3,300
77,583
Midwest Banc Holdings, Inc.
2,300
51,290
Nara Bancorp, Inc.
3,000
51,390
National Penn Bancshares, Inc.
3,615
107,510
NBT Bancorp, Inc.
4,560
101,870
Northwest Bancorp, Inc.
6,200
141,980
OceanFirst Financial Corp.
1,478
35,398
Ocwen Financial Corp.*
10,200
122,808
Online Resources Corp.*
1,600
10,848
Pacific Capital Bancorp.
5,467
153,777
People's Bank
1,800
56,070
PFF Bancorp, Inc.
2,480
92,355
Prosperity Bancshares, Inc.
2,900
70,615
Provident Bankshares Corp.
5,040
145,354
Provident Financial Group, Inc.
2,000
78,920
Republic Bancorp, Inc.
8,928
124,099
Riggs National Corp.
4,100
86,592
S&T Bancorp, Inc.
4,000
127,920
Sandy Spring Bancorp, Inc.
2,100
72,975
Seacoast Banking Corp. of Florida
1,600
33,488
Second Bancorp, Inc.
600
18,774
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Silicon Valley Bancshares*
Simmons First National Corp. Class A
Sound Federal Bancorp, Inc.
Southwest Bancorp, Inc.
State Financial Services Corp. Class A
Sterling Bancorp.
Sterling Bancshares, Inc.
Sterling Financial Corp.
Sun Bancorp, Inc.
Texas Regional Bancshares, Inc. Class A
The Banc Corp.*
TierOne Corp.
TrustCo Bank Corp. NY
UCBH Holdings, Inc.
UMB Financial Corp.
Umpqua Holdings Corp.
United Bankshares, Inc.
United Community Banks, Inc.
United Community Financial Corp.
Washington Trust Bancorp, Inc.
Waypoint Financial Corp.
Webster Financial Corp.
WesBanco, Inc.
West Coast Bancorp.
Westcorp.
Willow Grove Bancorp, Inc.
Wintrust Financial Corp.
Yardville National Bancorp.
BROADCASTING -- 0.9%
4Kids Entertainment, Inc.*
Acacia Research-Acacia Technologies*
</Table>
4,500
2,000
1,100
1,200
1,100
1,875
6,300
3,085
1,470
3,646
2,500
2,600
10,434
3,000
2,600
4,012
4,400
5,647
4,000
1,500
4,170
456
2,800
1,747
5,360
800
3,050
900
178,425
52,060
14,762
21,900
32,626
51,788
89,397
98,319
31,252
167,388
16,275
55,926
136,685
118,560
134,212
84,212
143,000
142,191
52,000
38,955
115,050
21,441
81,564
37,456
243,612
12,728
154,056
22,500
--------------9,655,654
---------------
1,800
2,200
43,056
14,190
30
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VALUE+
----------------------------------------------------------------------------------<S>
<C>
<C>
COMMON STOCKS (CONTINUED)
BROADCASTING (CONTINUED)
Acme Communications, Inc.*
1,700
$
11,730
Beasley Broadcast Group, Inc. Class A*
900
13,464
Charter Communications, Inc. Class A*
40,300
157,976
Crown Media Holdings, Inc. Class A*
11,800
100,536
Cumulus Media, Inc. Class A*
5,700
95,817
Digital Generation Systems, Inc.*
7,500
11,100
Entravision Communications Corp.*
7,400
56,832
Gray Television, Inc.
5,700
79,173
Insight Communications Co., Inc.*
6,700
62,042
Lin Tv Corp. Class A*
3,100
65,720
Mediacom Communications Corp.*
12,700
99,314
NTN Communications, Inc.*
3,700
11,618
Paxson Communications Corp.*
5,000
16,250
Regent Communications, Inc.*
5,600
34,664
Saga Communications, Inc. Class A*
2,200
40,150
Salem Communications Corp. Class A*
2,500
67,825
Sinclair Broadcast Group, Inc. Class A
6,000
61,620
Spanish Broadcasting System, Inc. Class A*
4,800
44,688
TiVo, Inc.*
12,800
90,752
UnitedGlobalCom, Inc. Class A*
4,600
33,396
World Wrestling Federation
Entertainment, Inc.
3,200
40,800
--------------1,252,713
--------------BUILDING & CONSTRUCTION -- 2.4%
Ampco-Pittsburgh Corp.
Apogee Enterprises, Inc.
Beazer Homes USA, Inc.
Cavalier Homes, Inc.*
Champion Enterprises, Inc.*
Comfort Systems USA, Inc.*
Drew Industries, Inc.
Dycom Industries, Inc.*
ElkCorp
Emcor Group, Inc.*
1,000
2,800
1,825
800
11,100
5,300
1,500
6,300
2,900
2,100
12,860
29,120
183,066
4,280
101,898
33,867
61,050
176,400
69,426
92,358
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Fleetwood Enterprises, Inc.*
Florida Rock Industries, Inc.
Foster Wheeler Ltd.*
Granite Construction, Inc.
Hovnanian Enterprises, Inc. Class A*
Insituform Technologies, Inc. Class A*
Integrated Electrical Services, Inc.*
M.D.C. Holdings, Inc.
M/I Schottenstein Homes, Inc.
Meritage Corp.*
Modine Manufacturing Co.
Modtech Holdings, Inc.*
NCI Building Systems, Inc.*
Orleans Homebuilders, Inc.*
Palm Harbor Homes, Inc.*
Perini Corp.*
Ryland Group, Inc.
Simpson Manufacturing Co., Inc.
Standard Pacific Corp.
Texas Industries, Inc.
The Shaw Group, Inc.*
Trex Co., Inc.*
URS Corp.*
WCI Communities, Inc.*
William Lyon Homes, Inc.*
York International Corp.
BUSINESS SERVICES -- 3.2%
Acxiom Corp.
Administaff, Inc.*
ADVO, Inc.
Ambassadors International, Inc.
AMN Healthcare Services, Inc.*
aQuantive, Inc.*
Ariba, Inc.*
Aspect Communications Corp.*
Banta Corp.
Bowne & Co., Inc.
Brady Corp. Class A
Catalina Marketing Corp.*
CDI Corp.
Century Business Services, Inc.*
Charles River Associates, Inc.*
CIBER, Inc.*
Clark, Inc.*
Concur Technologies, Inc.*
Consolidated Graphics, Inc.*
CorVel Corp.*
Cross Country Healthcare, Inc.*
CSG Systems International, Inc.*
DiamondCluster International, Inc.*
DocuCorp International, Inc.*
Electro Rent Corp.
ePlus, Inc.*
Exult, Inc.*
First Consulting Group, Inc.*
Forrester Research, Inc.*
FTI Consulting, Inc.*
Gartner, Inc. Class A*
Gevity HR, Inc.
Heidrick & Struggles International, Inc.*
infoUSA, Inc.*
John H. Harland Co.
Keane, Inc.*
Kelly Services, Inc. Class A
Kforce, Inc.*
Korn/Ferry International*
Labor Ready, Inc.*
MAXIMUS, Inc.*
Microstrategy, Inc. Class A*
MPS Group, Inc.*
Navigant Consulting, Inc.*
Navigant International, Inc.*
NCO Group, Inc.*
On Assignment, Inc.*
</Table>
8,000
8,325
1,200
6,250
2,800
3,700
5,100
1,629
2,000
1,800
4,500
1,200
2,900
2,500
2,900
3,100
2,300
3,200
2,100
2,700
8,500
2,100
4,800
5,200
1,600
3,100
116,400
351,065
1,680
113,937
97,188
60,199
41,055
103,621
81,200
123,840
143,325
9,264
94,395
48,175
51,417
33,077
179,860
179,584
103,530
$
111,159
86,105
79,275
131,520
116,012
147,440
127,317
--------------3,495,965
---------------
1,700
3,300
4,600
1,000
4,200
8,400
35,100
8,800
3,700
5,600
3,100
7,500
2,800
11,000
1,000
8,200
2,000
3,700
2,000
300
4,500
7,900
4,500
1,600
3,500
1,200
15,100
1,900
3,000
6,375
7,000
4,000
2,600
7,600
4,200
8,300
4,100
2,900
5,700
6,200
3,000
800
11,500
6,400
2,000
4,036
3,200
42,211
54,780
151,432
12,790
64,218
82,992
69,498
124,960
164,317
88,760
142,910
137,175
96,880
47,960
30,950
67,404
37,100
39,590
88,100
8,505
81,675
163,530
39,105
14,016
36,645
12,780
81,238
10,488
55,950
105,187
92,540
104,760
77,168
77,064
123,270
113,627
122,180
27,376
110,409
96,100
106,380
34,160
139,380
137,216
35,580
107,721
18,880
31
<Page>
<Table>
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
<Caption>
SHARES
VALUE+
----------------------------------------------------------------------------------<S>
<C>
<C>
COMMON STOCKS (CONTINUED)
BUSINESS SERVICES (CONTINUED)
PDI, Inc.*
2,100
$
63,693
QRS Corp.*
1,900
12,445
Resources Connection, Inc.*
3,500
136,885
SITEL Corp.*
6,700
28,274
SM&A*
1,500
12,975
Spherion Corp.*
9,000
91,260
TeamStaff, Inc.*
2,100
5,080
TeleTech Holdings, Inc.*
11,700
102,609
Tetra Tech, Inc.*
8,400
137,088
The Corporate Executive Board Co.
1,400
80,906
The Keith Cos., Inc.*
800
11,520
TRC Cos., Inc.*
1,650
27,522
Watson Wyatt & Co. Holdings
5,200
138,580
--------------4,525,794
--------------CHEMICALS -- 2.5%
A. Schulman, Inc.
Aceto Corp.
Airgas, Inc.
Albemarle Corp.
Arch Chemicals, Inc.
Cabot Microelectronics Corp.*
Crompton Corp.
Cytec Industries, Inc.
Dionex Corp.*
Ferro Corp.
FMC Corp.*
Georgia Gulf Corp.
Great Lakes Chemical Corp.
H.B. Fuller Co.
Hawkins, Inc.
Hercules, Inc.*
IMC Global, Inc.
Kronos Worldwide Inc.
Landec Corp.*
MacDermid, Inc.
Millennium Chemicals, Inc.
Minerals Technologies, Inc.
NewMarket Corp.*
NL Industries, Inc.
Olin Corp.
OM Group, Inc.*
PolyOne Corp.
Quaker Chemical Corp.
RPM, Inc.
Solutia, Inc.*(a)
Spartech Corp.
Symyx Technologies*
Terra Industries, Inc.*
TETRA Technologies, Inc.*
Valhi, Inc.
WD-40 Co.
Wellman, Inc.
5,900
1,950
2,700
4,100
3,200
4,000
16,000
3,400
3,000
6,000
3,500
5,000
5,600
3,700
1,200
14,000
11,500
2,734
1,900
4,500
8,900
2,000
5,000
6,800
8,300
3,700
2,000
1,100
2,000
5,000
4,400
4,700
9,100
3,050
700
2,600
3,500
126,791
34,320
64,557
129,765
92,224
122,440
100,800
154,530
165,510
160,080
150,885
179,300
151,536
105,080
14,376
170,660
154,100
93,503
12,977
152,325
154,148
116,000
107,350
98,600
146,246
122,137
14,880
30,382
30,400
1,150
114,136
113,364
51,233
81,892
7,959
77,844
28,455
--------------3,631,935
---------------
COMMERCIAL SERVICES -- 1.0%
Central Parking Corp.
Cenveo, Inc.*
CoStar Group, Inc.*
Euronet Worldwide, Inc.*
ICT Group, Inc.*
McGrath Rentcorp
Medifast, Inc.*
Memberworks, Inc.*
Mobile Mini, Inc.*
Newtek Business Services, Inc.*
Plexus Corp.*
Polycom, Inc.*
Pre-Paid Legal Services, Inc.*
Protection One, Inc.*
Quanta Services, Inc.*
R.H. Donnelley Corp.*
Rewards Network, Inc.*
Source Information Management Co.*
4,800
4,100
2,700
4,900
900
1,500
900
1,500
1,900
2,800
5,500
7,000
2,300
9,400
16,000
3,600
2,200
2,000
$
89,712
12,013
124,011
113,337
8,226
55,425
4,779
44,430
53,979
10,500
74,250
156,870
54,809
2,726
99,520
157,464
19,800
22,240
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
SOURCECORP, Inc.*
StarTek, Inc.
The Management Network Group, Inc.*
UniFirst Corp.
Veritas DGC, Inc.*
Viisage Technology, Inc.*
COMMUNICATION SERVICES -- 0.1%
West Corp.*
COMMUNICATIONS EQUIPMENT -- 1.2%
Aether Systems, Inc.*
ANADIGICS, Inc.*
Andrew Corp.*
Applied Signal Technology, Inc.
Arris Group, Inc.*
Avanex Corp.*
Avici Systems, Inc.*
Brooktrout, Inc.*
Captaris, Inc.*
Centillium Communications, Inc.*
Ceradyne, Inc.*
Digi International, Inc.*
Ditech Communications Corp.*
Finisar Corp.*
Inter-Tel, Inc.
InterVoice-Brite, Inc.*
Ixia*
KVH Industries, Inc.*
MasTec, Inc.*
Network Equipment Technologies, Inc.*
North Pittsburgh Systems, Inc.
Optical Communication Products, Inc.*
Paradyne Networks, Inc.*
Performance Technologies, Inc.*
Proxim Corp. Class A*
SBA Communications Corp.*
</Table>
2,100
2,100
3,800
1,300
5,100
3,800
57,792
75,180
9,462
37,817
118,065
33,136
--------------1,435,543
---------------
3,300
86,295
---------------
6,200
4,000
10,450
1,200
12,100
19,200
1,900
900
3,500
4,200
2,550
2,600
4,900
27,100
3,800
4,800
8,300
1,200
5,800
3,300
1,700
3,400
3,900
1,600
2,456
4,700
21,328
20,636
209,104
42,060
71,874
74,688
24,707
9,729
22,610
16,086
91,214
27,872
114,366
53,658
94,886
55,056
81,672
15,276
31,494
26,928
34,085
8,296
21,450
15,056
2,908
20,915
32
<Page>
<Table>
<Caption>
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VALUE+
----------------------------------------------------------------------------------<S>
<C>
<C>
COMMON STOCKS (CONTINUED)
COMMUNICATIONS EQUIPMENT (CONTINUED)
SeaChange International, Inc.*
3,800
$
64,144
Sirenza Microdevices, Inc.*
2,100
8,820
Somera Communications, Inc.*
1,900
3,059
Sonus Networks, Inc.*
14,500
69,310
SpectraLink Corp.
2,700
40,230
Tekelec*
8,600
156,262
Terayon Communication Systems, Inc.*
7,400
17,316
ViaSat, Inc.*
3,700
92,315
Vyyo, Inc.*
1,200
7,764
Zhone Technologies, Inc.*
10,100
39,390
--------------1,706,564
--------------COMPUTER EQUIPMENT -- 2.1%
Adaptec, Inc.*
Advanced Digital Information Corp.*
Agilysys, Inc.
Airspan Networks, Inc.*
California Micro Devices Corp.*
Computer Network Technology Corp.*
Concurrent Computer Corp.*
Cray, Inc.*
Dot Hill Systems Corp.*
Drexler Technology Corp.*
Electronics for Imaging, Inc.*
Hutchinson Technology, Inc.*
Imation Corp.
Immersion Corp.*
Insight Enterprises, Inc.*
Iomega Corp.
12,900
8,800
3,776
2,700
2,000
3,300
4,300
12,100
6,100
1,000
4,300
3,600
3,500
900
6,350
7,200
109,134
85,360
52,071
14,958
23,060
19,767
8,514
80,102
68,381
13,330
121,518
88,524
149,135
4,293
112,776
40,176
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Komag, Inc.*
Kronos, Inc.*
Maxwell Technologies, Inc.*
McDATA Corp. Class A*
Mentor Graphics Corp.*
Mercury Computer Systems, Inc.*
Mobility Electronics, Inc.*
MTS Systems Corp.
NeoMagic Corp.*
NYFIX, Inc.*
PalmOne, Inc.*
RadiSys Corp.*
Rimage Corp.*
Riverstone Networks, Inc.*
SCM Microsystems, Inc.*
Semtech Corp.*
Sigma Designs, Inc.*
Silicon Graphics, Inc.*
Silicon Storage Technology, Inc.*
Standard Microsystems Corp.*
Stratasys, Inc.*
Stratex Networks, Inc.*
Synaptics, Inc.*
TALX Corp.
Trident Microsystems, Inc.*
Varian Semiconductor Equipment Associates, Inc.*
Verity, Inc.*
Virage Logic Corp.*
Western Digital Corp.*
Whitney Holding Corp.
COMPUTER SERVICES -- 1.7%
3D Systems Corp.*
Analysts International Corp.*
Anteon International Corp.*
Aspen Technology, Inc.*
Avocent Corp.*
BindView Development Corp.*
Black Box Corp.
Catapult Communications Corp.*
CompuCom Systems, Inc.*
Computer Horizons Corp.*
Computer Programs & Systems, Inc.
Computer Task Group, Inc.*
Covansys Corp.*
CyberGuard Corp.*
Dynamics Research Corp.*
Extreme Networks, Inc.*
FactSet Research Systems, Inc.
Infocrossing, Inc.*
Inforte Corp.*
Intelligroup, Inc.*
Intergraph Corp.*
Jack Henry & Associates, Inc.
Manhattan Associates, Inc.*
MICROS Systems, Inc.*
NetScout Systems, Inc.*
NetSolve, Inc.*
Overland Storage, Inc.*
PEC Solutions, Inc.*
Pegasus Solutions, Inc.*
Perot Systems Corp. Class A*
Pomeroy Computer Resources, Inc.
Radiant Systems, Inc.*
Safeguard Scientifics, Inc.*
Sapient Corp.*
SimpleTech, Inc.*
SRA International, Inc. Class A*
Sykes Enterprises, Inc.*
Syntel, Inc.
TechTeam Global, Inc.*
Tier Technologies, Inc. Class B*
Tyler Technologies, Inc.*
Viewpoint Corp.*
Wind River Systems, Inc.*
Zomax, Inc.*
3,800
4,000
2,100
10,900
10,500
3,000
3,000
2,700
2,500
5,600
5,948
2,200
1,200
5,000
2,000
6,600
1,700
28,700
14,400
2,200
1,050
10,700
3,700
1,789
2,700
3,400
5,900
2,300
17,000
450
53,086
164,800
27,090
58,642
162,435
74,400
25,260
63,315
7,250
27,384
206,812
40,854
18,012
6,550
13,000
155,364
13,566
63,140
148,320
51,304
25,998
31,565
70,855
43,705
$
30,267
131,104
79,709
20,930
147,220
20,102
--------------2,973,138
---------------
800
4,500
4,600
5,800
836
2,500
2,300
1,211
4,800
3,800
900
400
3,300
2,600
1,100
15,900
4,400
1,700
1,100
1,500
5,500
9,600
4,800
3,000
3,600
1,200
1,500
3,000
3,200
6,600
1,000
2,800
15,500
17,700
4,600
2,300
5,200
6,400
1,700
1,800
6,900
4,500
13,100
6,000
9,152
13,860
150,052
42,108
30,715
8,750
108,698
27,853
21,792
15,162
18,342
1,580
34,089
21,216
19,790
87,768
207,988
22,950
11,109
7,770
142,230
192,960
148,224
143,910
23,724
11,880
19,935
35,790
42,016
87,582
11,920
13,132
35,650
106,377
15,686
97,336
39,312
105,920
15,334
17,532
65,274
8,865
154,056
22,620
--------------2,418,009
---------------
</Table>
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
33
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VALUE+
----------------------------------------------------------------------------------<S>
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<C>
COMMON STOCKS (CONTINUED)
COMPUTER SOFTWARE -- 4.1%
@Road, Inc.*
7,000
$
53,550
Acclaim Entertainment, Inc.*
300
102
ActivCard Corp.*
5,100
37,026
Activision, Inc.*
10,612
168,731
Actuate Corp.*
5,000
19,750
Advent Software, Inc.*
5,000
90,350
Agile Software Corp.*
7,800
68,250
Altiris, Inc.*
3,900
107,679
American Software, Inc. Class A
1,600
9,744
Ansoft Corp.*
1,100
16,786
ANSYS, Inc.*
2,300
108,100
Ascential Software Corp.*
2,325
37,177
Authentidate Holding Corp.*
4,600
50,278
Borland Software Corp.*
12,100
102,729
Bottomline Technologies, Inc.*
2,200
23,210
Callidus Software, Inc.*
2,200
11,440
Chordiant Software, Inc.*
7,437
33,913
Clarus Corp.*
1,900
21,983
Concord Communications, Inc.*
2,400
27,384
Convera Corp.*
4,100
9,471
Corio, Inc.*
5,500
11,935
Datastream Systems, Inc.*
6,200
40,176
Dendrite International, Inc.*
6,600
122,628
Digitas, Inc.*
10,244
112,991
Echelon Corp.*
5,600
62,664
Embarcadero Technologies, Inc.*
2,900
35,844
Enterasys Networks, Inc.*
29,000
61,190
Epicor Software Corp.*
7,000
98,350
EPIQ Systems, Inc.*
2,000
29,000
eResearch Technology, Inc.*
6,750
189,000
FalconStor Software, Inc.*
5,600
43,232
FileNET Corp.*
5,800
183,106
Hypercom Corp.*
7,600
64,220
Hyperion Solutions Corp.*
4,000
174,880
Identix, Inc.*
12,084
90,267
Informatica Corp.*
11,800
90,034
Intellisync Corp.*
4,200
12,054
Interactive Intelligence, Inc.*
2,000
11,960
Internet Security Systems, Inc.*
7,300
111,982
Interwoven, Inc.*
5,619
56,752
JDA Software Group, Inc.*
3,500
46,095
Lawson Software, Inc.*
14,800
104,784
Macromedia, Inc.*
7,780
190,999
Magma Design Automation, Inc.*
5,300
101,919
Manugistics Group, Inc.*
9,400
30,738
MAPICS, Inc.*
3,300
34,848
MapInfo Corp.*
2,400
25,440
MatrixOne, Inc.*
6,800
46,988
MetaSolv, Inc.*
2,800
7,952
Micromuse, Inc.*
8,200
54,858
Midway Games, Inc.*
10,900
125,568
Moldflow Corp.*
900
9,828
MRO Software, Inc.*
3,048
41,483
MSC Software Corp.*
3,600
32,220
Neoware Systems, Inc.*
1,000
8,270
Netegrity, Inc.*
4,800
$
40,608
NetIQ Corp.*
7,400
97,680
Netopia, Inc.*
2,600
17,160
Omnicell, Inc.*
3,300
48,213
On2 Technologies, Inc.*
3,800
2,622
Openwave Systems, Inc.*
9,533
121,069
OPNET Technologies, Inc.*
2,900
37,990
Opsware, Inc.*
12,500
99,000
Packeteer, Inc.*
4,900
79,135
PalmSource, Inc.*
1,768
30,304
Parametric Technology Corp.*
33,200
166,000
PDF Solutions, Inc.*
3,200
27,104
Pegasystems, Inc.*
4,100
35,875
Per-Se Technologies, Inc.*
4,200
61,068
Pervasive Software, Inc.*
2,300
14,375
Phoenix Technology Ltd.*
5,700
39,843
Pinnacle Systems, Inc.*
8,600
61,490
PLATO Learning, Inc.*
2,800
27,748
Portal Software, Inc.*
4,540
16,480
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Progress Software Corp.*
QAD, Inc.*
Quest Software, Inc.*
Raindance Communications, Inc.
ScanSoft, Inc.*
Secure Computing Corp.*
SERENA Software, Inc.*
SPSS, Inc.*
SS&C Technologies, Inc.
SupportSoft, Inc.*
Synplicity, Inc.*
Take-Two Interactive Software, Inc.*
TeleCommunication Systems, Inc. Class A
The InterCept Group, Inc.*
THQ, Inc.*
TIBCO Software, Inc.*
Tradestation Group, Inc.*
Transaction Systems Architects, Inc. Class A*
Ulticom, Inc.*
Ultimate Software Group, Inc.*
VA Software Corp.*
Vastera, Inc.*
Vitria Technology, Inc.*
Witness Systems, Inc.*
COMPUTERS -- 0.0%
Gateway, Inc.*
Merge Technologies, Inc.*
CONSUMER PRODUCTS -- 0.8%
Blyth, Inc.
Central Garden & Pet Co.*
CNS, Inc.
Department 56, Inc.*
</Table>
5,400
4,300
11,400
3,100
14,952
5,000
5,800
1,832
3,600
4,900
3,300
3,800
1,500
2,800
4,900
10,500
4,900
5,300
5,940
2,100
3,600
4,800
3,238
5,000
117,018
45,623
147,060
6,448
74,012
58,250
110,722
32,921
67,320
42,532
19,797
116,432
8,520
45,864
112,210
88,725
35,231
114,109
69,498
21,210
8,820
14,400
9,944
60,750
--------------5,913,088
---------------
5,000
1,500
22,500
21,945
--------------44,445
---------------
2,800
2,200
1,900
1,500
96,572
78,694
19,059
23,100
34
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COMMON STOCKS (CONTINUED)
CONSUMER PRODUCTS (CONTINUED)
Fossil, Inc.*
6,975
$
190,069
IDEXX Laboratories, Inc.*
2,400
151,056
Jarden Corp.*
3,850
138,561
Maxwell Shoe Co., Inc. Class A*
1,100
25,564
Playtex Products, Inc.*
8,600
67,252
Russ Berrie & Co., Inc.
2,700
52,461
The Scotts Co. Class A*
600
38,328
The Yankee Candle Co., Inc.*
3,300
96,525
Tupperware Corp.
8,200
159,326
--------------1,136,567
--------------CONTAINERS & GLASS -- 0.3%
Crown Holdings, Inc.*
Owens-Illinois, Inc.*
Silgan Holdings, Inc.
14,800
7,300
2,600
147,556
122,348
104,806
--------------374,710
---------------
CONTAINERS -- PAPER/PLASTIC -- 0.3%
Graphic Packaging Corp.*
Longview Fibre Co.
Packaging Dynamics Corp.
Rock-Tenn Co. Class A
25,500
7,700
320
4,900
220,575
113,421
4,432
83,055
--------------421,483
---------------
2,100
3,800
149,142
26,790
CONSTRUCTION MATERIALS -- 0.1%
Eagle Materials, Inc.
U.S. Concrete, Inc.*
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
--------------175,932
--------------DISTRIBUTION/WHOLESALE -- 1.1%
Advanced Marketing Services, Inc.
Aviall, Inc.*
Bell Microproducts, Inc.*
Brightpoint, Inc.*
Building Materials Holding Corp.
Central European Distribution Corp.*
Handleman Co.
Hughes Supply, Inc.
Keystone Automotive Industries, Inc.*
Nash-Finch Co.
Navarre Corp.*
NuCo2, Inc.*
Owens & Minor, Inc.
Reliv' International, Inc.
ScanSource, Inc.*
SCP Pool Corp.
United Natural Foods, Inc.*
United Stationers, Inc.*
Watsco, Inc.
WESCO International, Inc.*
DIVERSIFIED OPERATIONS -- 2.3%
Actuant Corp. Class A*
Acuity Brands, Inc.
AMERCO*
Ameron International Corp.
Barnes Group, Inc.
Blount International, Inc.*
Carlisle Cos., Inc.
Chemed Corp.
Cornell Corrections, Inc.*
Digimarc Corp.*
EnPro Industries, Inc.*
ESCO Technologies, Inc.*
Esterline Technologies Corp.*
Federal Signal Corp.
Florida East Coast Industries, Inc.
Griffon Corp.*
Kroll, Inc.*
Lancaster Colony Corp.
Lydall, Inc.*
Mathews International Corp. Class A
Myers Industries, Inc.
NACCO Industries, Inc. Class A
PerkinElmer, Inc.
Raven Industries, Inc.
Roper Industries, Inc.
Sensient Technologies Corp.
Standex International Corp.
Sturm, Ruger & Co., Inc.
Tredegar Corp.
Trinity Industries, Inc.
Universal Corp.
UNOVA, Inc.*
Vector Group Ltd.
Volt Information Sciences, Inc.*
Walter Industries, Inc.
World Fuel Services Corp.
Zoltek Cos., Inc.*
EDUCATION -- 0.5%
Corinthian Colleges, Inc.*
Education Management Corp.*
ITT Educational Services, Inc.*
Laureate Education, Inc.*
Learning Tree International, Inc.*
Renaissance Learning, Inc.
Strayer Education, Inc.
The Geo Group, Inc.*
2,700
4,500
3,200
3,150
1,800
1,950
3,300
2,300
1,700
1,700
3,600
1,800
5,500
1,400
1,900
4,275
5,400
3,400
2,900
6,400
34,857
85,545
25,888
43,313
34,074
50,524
76,428
135,539
47,413
42,551
51,804
35,460
142,450
13,160
112,898
192,375
156,114
135,048
81,403
117,760
--------------1,614,604
---------------
3,600
800
2,500
800
3,200
2,300
1,200
1,600
1,700
2,100
3,100
2,100
3,200
6,700
3,700
4,450
5,132
1,100
1,800
4,500
3,707
1,000
10,033
1,000
2,200
6,900
1,700
3,800
4,900
4,300
2,800
8,500
6,304
2,200
5,500
1,600
1,800
140,364
21,600
$
59,375
27,304
92,736
29,279
74,700
77,600
23,120
28,035
71,238
112,056
94,496
124,687
143,005
99,146
189,268
45,804
17,586
148,230
52,269
95,000
201,061
35,530
125,180
148,212
46,240
46,018
79,037
136,697
142,632
172,125
99,288
69,322
74,910
72,128
12,870
--------------3,228,148
---------------
1,400
1,800
3,200
3,600
2,400
4,922
1,600
2,800
34,636
59,148
121,664
137,664
34,824
110,351
178,512
57,120
--------------733,919
---------------
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
ELECTRIC UTILITIES -- 0.1%
Duquesne Light Holdings, Inc.
Weststar Energy, Inc.
ELECTRICAL EQUIPMENT -- 2.3%
Active Power, Inc.*
Advanced Energy Industries, Inc.*
Advanced Power Technology, Inc.*
</Table>
4,500
1,400
86,895
27,874
--------------114,769
---------------
6,300
4,200
900
20,097
66,024
11,205
35
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----------------------------------------------------------------------------------<S>
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COMMON STOCKS (CONTINUED)
ELECTRICAL EQUIPMENT (CONTINUED)
Artesyn Technologies, Inc.*
5,000
$
45,000
August Technology Corp.*
1,700
21,318
Avid Technology, Inc.*
3,300
180,081
Axcelis Technologies, Inc.*
14,900
185,356
Belden, Inc.
2,800
60,004
C&D Technologies, Inc.
3,500
62,405
Cable Design Technologies Corp.*
6,300
66,780
Celeritek, Inc.
1,200
4,608
Checkpoint Systems, Inc.*
5,600
100,408
Cohu, Inc.
3,200
60,928
Credence Systems Corp.*
8,980
123,924
CyberOptics Corp.*
700
18,186
Distributed Energy Systems Corp.*
4,700
12,784
FLIR Systems, Inc.*
4,400
241,560
Genlyte Group, Inc.*
1,800
113,184
GrafTech International Ltd.*
14,300
149,578
Helix Technology Corp.
3,400
72,522
Ibis Technology Corp.*
400
2,432
Input/Output, Inc.*
6,100
50,569
Intermagnetics General Corp.*
2,410
82,012
Invision Technologies, Inc.*
2,000
99,800
Lincoln Electric Holdings, Inc.
5,700
194,313
Littelfuse, Inc.*
3,100
131,471
LTX Corp.*
9,700
104,857
Meade Instruments Corp.*
3,300
10,527
Measurement Specialties, Inc.*
800
17,280
Paxar Corp.*
5,500
107,360
Photon Dynamics, Inc.*
2,300
80,661
Power Integrations, Inc.*
4,600
114,540
Power-One, Inc.*
13,362
146,715
Rogers Corp.*
2,600
181,740
SBS Technologies, Inc.*
1,700
27,319
SIPEX Corp.*
3,600
20,520
Veeco Instruments, Inc.*
4,700
121,307
Vicor Corp.*
4,600
84,042
Woodhead Industries, Inc.
1,700
26,282
--------------3,219,699
--------------ELECTRONICS -- 5.3%
Actel Corp.*
Aeroflex, Inc.*
Alliance Semiconductor Corp.*
American Superconductor Corp.*
AMETEK, Inc.
Analogic Corp.
Anixter International, Inc.
Apogee Technology, Inc.*
Artisan Components, Inc.*
Asyst Technologies, Inc.*
ATMI, Inc.*
Audiovox Corp. Class A*
Avnet, Inc.*
Benchmark Electronics, Inc.*
Bookham Technology Plc ADR*
Brillian Corp.*
Brooks Automation, Inc.*
California Amplifier, Inc.*
Capstone Turbine Corp.*
Catalyst Semiconductor, Inc.*
3,500
10,300
3,300
3,300
6,000
2,000
4,800
700
3,700
6,000
5,000
2,600
1,799
4,950
12,556
375
7,124
825
8,800
1,700
$
64,750
147,599
19,635
43,164
185,400
84,860
163,344
5,915
95,460
62,040
136,550
43,888
40,837
144,045
12,054
3,022
143,549
5,833
19,152
11,558
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
CEVA, Inc.*
ChipPAC, Inc.*
Cirrus Logic, Inc.*
Coherent, Inc.*
CompuDyne Corp.*
Conexant Systems, Inc.
Cree, Inc.*
CTS Corp.
Cubic Corp.
Cymer, Inc.*
Cypress Semiconductor Corp.*
Daktronics, Inc.*
DSP Group, Inc.*
DuPont Photomasks, Inc.*
Electro Scientific Industries, Inc.*
Electroglas, Inc.*
EMCORE Corp.*
Emerson Radio Corp.*
Energy Conversion Devices, Inc.*
Entegris, Inc.*
ESS Technology, Inc.*
Exar Corp.*
Excel Technology, Inc.*
Fargo Electronics, Inc.*
FARO Technologies, Inc.
Genesis Microchip, Inc.*
Genus, Inc.*
II-VI, Inc.*
InFocus Corp.*
Innovex, Inc.*
Integrated Device Technology, Inc.*
Integrated Silicon Solution, Inc.*
Itron, Inc.*
IXYS Corp.*
Keithley Instruments, Inc.
KEMET Corp.*
Kopin Corp.*
LaBarge, Inc.*
Lamson & Sessions Co.*
Lattice Semiconductor Corp.*
LeCroy Corp.*
Lifeline Systems, Inc.*
Lowrance Electronics, Inc.
LSI Industries, Inc.
MagneTek, Inc.*
Mattson Technology, Inc.*
Merix Corp.*
Methode Electronics, Inc. Class A
Micrel, Inc.*
Microsemi Corp.*
Mindspeed Technologies, Inc.*
</Table>
800
11,600
11,700
4,100
1,100
15,933
5,100
4,700
3,700
4,100
4,000
2,600
4,700
2,600
2,800
2,400
4,100
3,200
3,000
10,900
5,100
5,500
1,600
1,700
1,600
3,100
2,300
2,200
5,000
1,400
5,800
4,800
2,700
4,400
1,800
10,500
8,300
1,600
1,300
13,359
1,300
1,800
500
2,000
2,700
6,500
2,100
3,100
13,800
8,900
13,800
6,328
72,732
70,317
122,385
12,595
68,990
118,728
56,682
77,441
153,504
56,760
64,870
128,028
52,858
79,268
12,840
13,366
10,016
33,780
126,113
54,621
80,630
53,200
18,887
41,072
42,687
7,866
67,452
42,500
6,398
80,272
58,608
61,938
34,672
39,870
128,310
42,413
12,080
10,452
93,647
23,413
42,588
15,479
23,000
22,518
78,130
23,814
40,207
167,670
126,469
68,448
36
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VALUE+
----------------------------------------------------------------------------------<S>
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<C>
COMMON STOCKS (CONTINUED)
ELECTRONICS (CONTINUED)
MIPS Technologies, Inc. Class A*
4,500
$
27,540
MKS Instruments, Inc.*
6,400
146,048
Molecular Devices Corp.*
2,370
42,139
Monolithic System Technology, Inc.*
3,700
27,861
Nanometrics, Inc.*
1,100
12,518
Nassda Corp.*
3,600
14,904
Newport Corp.*
5,300
85,701
Nu Horizons Electronics Corp.*
2,200
19,800
OmniVision Technologies, Inc.*
6,600
105,270
ON Semiconductor Corp.*
27,200
136,544
OSI Systems, Inc.*
1,900
37,867
Park Electrochemical Corp.
2,600
65,650
Parlex Corp.*
800
5,200
Pemstar, Inc.*
5,000
11,600
Pericom Semiconductor Corp.*
2,800
29,988
Photronics, Inc.*
4,800
90,912
Pixelworks, Inc.*
3,400
52,088
Planar Systems, Inc.*
1,700
22,763
PLX Technology, Inc.*
3,100
53,506
PMC-Sierra, Inc.*
8,000
114,800
QuickLogic Corp.*
2,200
7,678
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Rambus, Inc.*
Ramtron International Corp.*
Richardson Electronics, Ltd.
Rudolph Technologies, Inc.*
Silicon Image, Inc.*
Siliconix, Inc.*
Skyworks Solutions, Inc.*
Sonic Solutions*
Spectrum Control, Inc.*
Stoneridge, Inc.*
Superconductor Technologies, Inc.*
Supertex, Inc.*
Sypris Solutions, Inc.
Technitrol, Inc.*
Thomas & Betts Corp.*
Three-Five Systems, Inc.
Transmeta Corp.*
TranSwitch Corp.*
Trimble Navigation Ltd.*
Tripath Technology, Inc.*
TriQuint Semiconductor, Inc.*
Ultimate Electronics, Inc.*
Ultratech Stepper, Inc.*
Universal Display Corp.*
Universal Electronics, Inc.*
Vialta, Inc.*
Vitesse Semiconductor Corp.*
White Electronic Designs Corp.*
Wilson Greatbatch Technologies, Inc.*
Xicor, Inc.*
Zoran Corp.*
Zygo Corp.*
ENERGY -- 0.3%
Arotech Corp.*
BayCorp Holdings Ltd.*
KFx, Inc.*
Plug Power, Inc.*
Quantum Fuel Systems Technologies Worldwide, Inc.*
South Jersey Industries, Inc.
Syntroleum Corp.*
Watts Industries, Inc. Class A
8,900
2,000
1,100
2,300
11,800
3,300
12,400
3,200
1,200
2,600
5,800
1,400
1,900
5,600
5,600
1,500
22,000
7,500
6,900
3,500
18,700
1,600
3,200
3,100
2,100
1,952
32,200
2,700
3,400
3,700
5,761
1,900
158,153
9,060
12,188
41,837
154,934
163,746
108,252
68,000
9,564
44,200
7,134
22,876
36,461
122,640
152,488
7,650
48,180
13,275
191,751
11,375
102,102
7,904
52,096
33,294
36,813
703
157,136
14,148
95,030
55,981
105,714
21,261
--------------7,555,890
---------------
5,000
68
6,800
11,663
2,800
2,000
3,500
3,100
$
10,450
850
51,816
87,239
17,024
88,000
23,170
83,545
--------------362,094
---------------
ENVIROMENTAL SERVICES -- 0.4%
Calgon Carbon Corp.
Duratek, Inc.*
Flanders Corp.*
Headwaters, Inc.*
Mine Safety Appliances Co.
Rollins, Inc.
5,100
1,900
3,100
5,000
5,200
6,400
34,170
28,709
25,637
129,650
175,240
147,264
--------------540,670
---------------
FACILITY SERVICES -- 0.1%
ABM Industries, Inc.
6,800
132,396
---------------
FINANCIAL SERVICES -- 2.8%
Advanta Corp. Class A
Advanta Corp. Class B
Affiliated Managers Group, Inc.*
American Capital Strategies Ltd.
AmeriServ Financial, Inc.
Cash America International, Inc.
Citizens Banking Corp.
Citizens South Banking Corp.
City Holding Co.
CoBiz, Inc.
Coinstar, Inc.*
CompuCredit Corp.*
Credit Acceptance Corp.*
Delta Financial Corp.
Digital Insight Corp.*
E-Loan, Inc.*
eFunds Corp.*
Encore Capital Group, Inc.*
eSPEED, Inc. Class A*
1,600
2,600
1,050
3,300
2,700
4,300
2,600
1,200
2,300
1,575
2,800
6,600
5,500
1,500
5,600
6,936
7,200
3,100
4,100
35,088
59,592
52,889
92,466
14,985
98,900
80,730
15,816
72,634
21,782
61,516
114,180
82,885
11,925
116,088
18,727
126,000
40,951
72,365
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Financial Federal Corp.*
First Albany Cos., Inc.
First Commonwealth Financial Corp.
Fremont General Corp.
Gabelli Asset Management, Inc. Class A
IndyMac Bancorp, Inc.
Interactive Data Corp.*
Investment Technology Group, Inc.*
Irwin Financial Corp.
Jefferies Group, Inc.
Knight Trading Group, Inc.*
LaBranche & Co., Inc.
MCG Capital Corp.
</Table>
3,000
1,147
9,700
7,700
800
2,800
5,000
6,100
4,000
4,800
9,200
8,400
5,800
105,780
11,516
125,809
135,905
34,000
88,480
87,100
78,019
105,600
148,416
92,184
70,728
89,204
37
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<Caption>
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VALUE+
----------------------------------------------------------------------------------<S>
<C>
<C>
COMMON STOCKS (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
Metris Cos., Inc.
8,700
$
75,603
National Processing, Inc.*
7,600
218,500
Netbank, Inc.
1,700
18,581
New Century Financial Corp.
3,600
168,552
Piper Jaffray Cos., Inc.*
2,500
114,001
PRG-Schultz International, Inc.*
7,200
39,384
Resource America, Inc.
2,300
54,280
Sanders Morris Harris Group, Inc.
2,500
36,875
Sky Financial Group, Inc.
601
14,863
South Financial Group, Inc.
4,000
113,360
Southwest Bancorporation of Texas, Inc.
4,500
198,540
Stifel Financial Corp.
1,100
29,920
Susquehanna Bancshares, Inc.
5,200
130,832
SWS Group, Inc.
2,434
37,240
UICI*
5,600
133,336
Unizan Financial Corp.
2,600
67,860
Westwood Holdings Group, Inc.
258
4,644
WFS Financial, Inc.
2,400
118,824
World Acceptance Corp.*
3,800
69,654
--------------4,007,109
--------------FOOD & BEVERAGES -- 1.4%
American Italian Pasta Co. Class A
American States Water Co.
Cal-Maine Foods, Inc.
Chiquita Brands International, Inc.*
Corn Products International, Inc.
Del Monte Foods Co.*
Flowers Foods, Inc.
Green Mountian Coffee, Inc.*
Hain Celestial Group, Inc.*
Imperial Sugar Co.*
Interstate Bakeries Corp.
J & J Snack Foods Corp.*
John B. Sanfilippo & Son, Inc.*
Lance, Inc.
M&F Worldwide Corp.*
Panera Bread Co. Class A*
Peet's Coffee & Tea, Inc.*
Performance Food Group Co.*
Pilgrim's Pride Corp.
Ralcorp Holdings, Inc.*
Sanderson Farms, Inc.
Scheid Vineyards, Inc. Class A*
Tasty Baking Co.
The Boston Beer Co., Inc. Class A*
The J.M. Smucker Co.
The Robert Mondavi Corp. Class A*
Triarc Cos., Inc.
Triarc Cos., Inc. Class B
2,700
1,950
2,400
5,200
2,500
5,800
5,350
600
4,879
900
5,800
1,000
1,300
4,900
1,700
4,000
1,700
2,800
6,700
3,800
2,800
100
800
900
2,670
1,100
2,700
4,000
82,296
45,318
33,600
108,784
116,375
58,928
139,902
11,142
88,310
12,069
62,930
40,830
34,736
75,460
23,290
143,520
42,483
74,312
193,898
133,760
150,136
512
7,552
18,126
122,560
40,722
27,891
40,680
--------------1,930,122
---------------
FOREST & PAPER PRODUCTS -- 0.4%
Buckeye Technologies, Inc.*
Caraustar Industries, Inc.*
4,600
4,300
52,900
60,673
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Chesapeake Corp.
Deltic Timber Corp.
P.H. Glatfelter Co.
Pope & Talbot, Inc.
Schweitzer-Mauduit International, Inc.
Universal Forest Products, Inc.
Wausau-Mosinee Paper Corp.
FUNERAL SERVICES -- 0.1%
Carriage Services, Inc.*
Service Corp. International*
Stewart Enterprises, Inc. Class A*
HEALTH CARE -- 0.1%
Inveresk Research Group, Inc.*
HEALTH CARE -- BIOTECHNOLOGY -- 3.2%
Acacia Research-CombiMatrix*
Aclara Biosciences, Inc.*
Affymetrix, Inc.*
Alexion Pharmaceuticals, Inc.*
Antigenics, Inc.*
Arena Pharmaceuticals, Inc.*
ArQule, Inc.*
AtheroGenics, Inc.*
AVANT Immunotherapeutics, Inc.*
Avigen, Inc.*
BioCryst Pharmaceuticals, Inc.*
Bioenvision, Inc.*
BioMarin Pharmaceutical, Inc.*
BioSante Pharmaceuticals, Inc.*
BioSource International, Inc.*
BioSphere Medical, Inc.*
Cambrex Corp.
Cell Genesys, Inc.*
Ciphergen Biosystems, Inc.*
Conceptus, Inc.*
Cryolife, Inc.*
CUNO, Inc.*
CuraGen Corp.*
Curis, Inc.*
CYTOGEN Corp.*
Digene Corp.*
Diversa Corp.*
Dyax Corp.*
Emisphere Technologies, Inc.*
Encysive Pharmaceuticals, Inc.*
EntreMed, Inc.*
Enzo Biochem, Inc.
Enzon, Inc.*
Exact Sciences Corp.*
Exelixis, Inc.*
Genaissance Pharmaceuticals, Inc.*
Gene Logic, Inc.*
Genelabs Technologies, Inc.*
</Table>
2,700
1,400
6,100
2,800
2,100
2,500
6,700
$
72,036
53,760
85,888
55,356
64,323
80,625
115,910
--------------641,471
---------------
100
800
13,700
504
5,896
111,518
--------------117,918
---------------
5,300
163,452
---------------
1,228
3,600
3,500
2,800
6,800
3,600
3,300
5,500
7,100
1,600
2,800
100
7,700
500
1,500
2,500
3,600
6,700
2,400
3,200
2,300
2,700
5,900
5,400
2,000
3,100
5,400
4,000
2,500
7,400
3,300
4,150
4,700
2,100
11,500
1,600
4,300
7,000
5,342
16,200
114,555
52,080
58,208
19,656
17,391
104,665
18,886
5,392
19,320
871
46,200
3,845
10,590
8,000
90,828
69,613
17,568
36,000
12,121
144,045
35,459
23,868
31,800
113,243
54,702
47,000
10,250
62,900
6,633
62,250
59,972
12,915
116,035
6,672
17,415
16,170
38
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<Table>
<Caption>
SHARES
VALUE+
----------------------------------------------------------------------------------<S>
<C>
<C>
COMMON STOCKS (CONTINUED)
HEALTH CARE -- BIOTECHNOLOGY (CONTINUED)
Genencor International, Inc.*
8,900
$
145,693
Genta, Inc.*
8,600
21,500
GenVec, Inc.*
4,000
12,280
Geron Corp.*
5,100
41,259
GTC Biotherapeutics, Inc.*
3,000
4,710
Guilford Pharmaceuticals, Inc.*
3,000
14,250
Harvard Bioscience, Inc.*
3,900
17,472
Hemispherx Biopharma, Inc.*
3,200
11,008
ICOS Corp.*
500
14,920
Immunomedics, Inc.*
5,500
26,785
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Incyte Genomics, Inc.*
Integra LifeSciences Holdings*
InterMune, Inc.*
Introgen Therapeutics, Inc.*
Isolagen, Inc.*
Kosan Biosciences, Inc.*
Lexicon Genetics, Inc.*
LifeCell Corp.*
Lipid Sciences, Inc.*
Martek Biosciences Corp.*
Matritech, Inc.*
Maxygen, Inc.*
Medarex, Inc.*
Myriad Genetics, Inc.*
Nabi Biopharmaceuticals*
Nanogen, Inc.*
Neose Technologies, Inc.*
Northfield Laboratories, Inc.*
Novavax, Inc.*
Nuvelo, Inc.*
Orchid Biosciences, Inc.*
Oscient Pharmaceutical Corp.*
Pharmaceutical Product Development, Inc.*
PRAECIS Pharmaceuticals, Inc.*
Progenics Pharmaceuticals, Inc.*
Protein Design Labs, Inc.*
Regeneration Technologies, Inc.*
Regeneron Pharmaceuticals, Inc.*
Repligen Corp.*
Sangamo BioSciences, Inc.*
Savient Pharmaceuticals, Inc.*
Seattle Genetics, Inc.*
Sequenom, Inc.*
Serologicals Corp.*
Sirna Therapeutics, Inc.*
Tanox, Inc.*
Techne Corp.*
Telik, Inc.*
The Medicines Co.*
Third Wave Technologies, Inc.*
Titan Pharmaceuticals, Inc.*
Transkaryotic Therapies, Inc.*
Trimeris, Inc.*
Vical, Inc.*
Vicuron Phamaceuticals, Inc.*
Virologic, Inc.*
VISX, Inc.*
HEALTH CARE -- DRUGS -- 3.3%
aaiPharma, Inc.*
Able Laboratories, Inc.*
Accelrys, Inc.*
Access Pharmaceuticals, Inc.
Accredo Health, Inc.*
Adolor Corp.*
Alkermes, Inc.*
Alpharma, Inc. Class A
Alteon, Inc.*
American Pharmaceutical Partners, Inc.*
Andrx Group*
Aphton Corp.*
ARIAD Pharmaceuticals, Inc.*
Array BioPharma, Inc.*
Atrix Laboratories, Inc.*
Bradley Pharmaceuticals, Inc. Class A*
Cell Therapeutics, Inc.*
Cellegy Pharmaceuticals, Inc.*
CIMA Labs, Inc.*
CollaGenex Pharmaceuticals, Inc.*
Connetics Corp.*
Corixa Corp.*
Cubist Pharmaceuticals, Inc.*
CV Therapeutics, Inc.*
D & K Healthcare Resources, Inc.
Dendreon Corp.*
DOV Pharmaceutical, Inc.*
Durect Corp.*
DUSA Pharmaceuticals, Inc.*
First Horizon Pharmaceutical Corp.*
Hi-Tech Pharmacal Co., Inc.*
ILEX Oncology, Inc.*
10,900
4,300
4,826
1,400
2,700
3,300
10,100
3,200
1,700
1,700
3,100
4,166
11,000
3,500
9,200
3,400
1,800
2,400
3,300
2,766
1,400
10,300
4,800
6,800
1,900
9,400
3,700
7,000
2,400
2,100
5,800
5,900
2,500
4,000
200
7,000
1,700
6,600
4,800
4,700
1,300
4,500
2,400
2,600
8,100
4,000
6,800
83,276
151,661
74,417
5,978
27,756
26,070
79,184
36,128
7,446
95,489
3,999
44,034
80,190
52,220
130,824
22,848
14,994
34,224
17,787
26,609
10,780
52,633
152,496
25,840
31,996
179,822
39,701
73,710
5,904
12,642
14,384
41,477
3,650
79,960
588
133,490
73,865
157,542
146,448
21,103
3,497
67,320
34,632
$
15,158
101,736
9,800
181,696
--------------4,545,541
---------------
3,600
2,500
3,600
300
3,150
5,800
11,600
5,100
4,500
6,150
2,800
1,500
7,200
3,000
2,900
1,700
6,000
2,200
1,700
1,500
5,300
7,201
5,000
4,700
1,200
8,300
1,700
3,500
1,500
5,400
600
5,100
19,512
51,400
35,496
1,896
122,692
73,544
157,760
104,448
5,310
186,837
78,204
6,000
53,928
23,850
99,412
47,430
44,220
8,470
57,341
14,130
107,060
33,629
55,500
78,772
14,400
101,675
23,732
12,215
14,250
102,060
9,804
127,449
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Immtech International, Inc.*
ImmunoGen, Inc.*
Impax Laboratories, Inc.*
Indevus Pharmaceuticals, Inc.*
Integrated Biopharma, Inc.*
IntraBiotics Pharmaceuticals, Inc.
Isis Pharmaceuticals, Inc.*
K-V Pharmaceutical Co. Class A*
K-V Pharmaceutical Co. Class B*
Kos Pharmaceuticals, Inc.*
Lannett Co., Inc.*
Ligand Pharmaceuticals, Inc. Class B*
Maxim Pharmaceuticals, Inc.*
Medicis Pharmaceutical Corp. Class A
NeoPharm, Inc.
Neurocrine Biosciences, Inc.*
Neurogen Corp.*
NPS Pharmaceuticals, Inc.*
</Table>
900
5,000
8,700
7,200
600
500
6,700
4,200
700
4,100
3,650
9,700
3,300
1,600
2,949
1,500
5,100
5,600
11,106
30,550
168,606
44,280
4,896
1,950
38,458
96,978
17,675
135,177
54,823
168,586
31,845
63,920
30,463
77,775
38,148
117,600
39
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<Table>
<Caption>
SHARES
VALUE+
----------------------------------------------------------------------------------<S>
<C>
<C>
COMMON STOCKS (CONTINUED)
HEALTH CARE -- DRUGS (CONTINUED)
Omega Protein Corp.*
2,700
$
26,190
Onyx Pharmaceuticals, Inc.*
4,100
173,676
OSI Pharmaceuticals, Inc.*
5,100
359,244
Pain Therapeutics, Inc.*
4,100
33,046
Par Pharmaceutical Cos., Inc.*
1,500
52,815
Penwest Pharmaceuticals Co.*
1,400
17,934
PetMed Express, Inc.*
2,200
17,642
Pharmacopeia Drug Discovery, Inc.*
1,800
10,224
Pharmacyclics, Inc.*
2,300
23,391
POZEN, Inc.*
3,700
25,308
Priority Healthcare Corp. Class B*
5,900
135,405
SciClone Pharmaceuticals, Inc.*
5,500
28,105
Star Scientific, Inc.*
5,400
21,384
Super-Gen, Inc.*
4,400
28,380
The Quigley Corp.*
2,100
20,937
Tularik, Inc.*
8,500
210,800
United Therapeutics Corp.*
2,800
71,820
Valeant Pharmaceuticals International
7,500
150,000
VaxGen, Inc.*
3,300
46,728
Vertex Pharmaceuticals, Inc.*
12,558
136,129
ViroPharma, Inc.*
2,400
4,296
VIVUS, Inc.*
3,200
11,648
Zymogenetics, Inc.*
8,200
155,800
--------------4,766,164
--------------HEALTH CARE -- PRODUCTS -- 4.7%
1-800 CONTACTS, Inc.*
Abaxis, Inc.*
Abgenix, Inc.*
ABIOMED, Inc.*
Advanced Medical Optics, Inc.*
Aksys Ltd.*
Align Technology, Inc.*
American Medical Systems Holdings, Inc.*
Arrow International, Inc.
ArthroCare Corp.*
Aspect Medical Systems, Inc.*
AVI BioPharma, Inc.*
Bentley Pharmaceuticals, Inc.*
BioLase Technology, Inc.*
Biosite Diagnostics, Inc.*
Bioveris Corp.*
Bone Care International, Inc.*
Caliper Life Sciences, Inc.
Candela Corp.*
Cantel Medical Corp.*
Cardiac Science, Inc.*
CardioDynamics International Corp.*
Cerus Corp.*
Cholestech Corp.*
Closure Medical Corp.*
Columbia Laboratories, Inc.*
1,300
2,800
13,300
2,700
4,100
3,300
8,900
5,600
5,200
3,000
3,200
1,800
2,500
2,600
2,300
1,800
2,600
2,200
2,700
900
8,900
4,900
1,700
1,700
1,800
4,300
19,286
53,144
155,876
33,966
174,537
19,239
169,100
188,720
155,584
87,240
59,104
4,392
34,350
34,996
103,316
14,976
60,892
10,230
26,460
19,395
21,805
24,745
4,080
13,855
45,198
14,878
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Compex Technologies, Inc.*
CONMED, Corp.*
Cooper Cos., Inc.
Cyberonics, Inc.*
Cypress Bioscience, Inc.*
Cytyc Corp.*
Datascope Corp.
DepoMed, Inc.*
Diagnostic Products Corp.
Digital Angel Corp.*
DJ Orthopedics, Inc.*
Encore Medical Corp.*
Endocare, Inc.*
Endologix, Inc.*
EPIX Medical, Inc.*
Haemonetics Corp.*
Hanger Orthopedic Group, Inc.*
Hollis-Eden Pharmaceuticals, Inc.*
I Trax, Inc.*
I-Flow Corp.
ICU Medical, Inc.*
Illumina, Inc.*
Immucor, Inc.*
IMPAC Medical Systems, Inc.*
Inspire Pharmaceuticals, Inc.*
Invacare Corp.
Kensey Nash Corp.*
La Jolla Pharmaceutical Co.*
Landauer, Inc.
Laserscope*
Lifecore Biomedical, Inc.*
Luminex Corp.*
Matrixx Initiatives, Inc.*
Medical Action Industries, Inc.*
Mentor Corp.
Meridian Bioscience, Inc.
Merit Medical Systems, Inc.*
MGI Pharma, Inc.*
Micro Therapeutics, Inc.*
Microtek Medical Holdings, Inc.*
Nastech Pharmaceutical Co., Inc.*
NeighborCare, Inc.*
Nektar Therapeutics*
North American Scientific, Inc.*
Noven Pharmaceuticals, Inc.*
Nutraceutical International Corp.*
Ocular Sciences, Inc.*
OraSure Technologies, Inc.*
OrthoLogic Corp.*
Osteotech, Inc.*
Perrigo Co.
PolyMedica Corp.
Possis Medical, Inc.*
PSS World Medical, Inc.*
Quidel Corp.*
Quinton Cardiology Systmems, Inc.*
</Table>
1,500
3,850
5,600
3,500
200
3,700
1,900
5,300
3,800
800
3,800
4,300
2,000
1,800
3,600
4,000
3,000
2,500
300
2,797
1,950
3,300
3,275
700
5,100
2,900
1,700
5,800
1,100
3,100
1,800
3,200
1,400
900
5,600
2,000
4,444
7,000
2,897
4,200
900
5,700
7,300
900
3,500
1,300
3,378
6,100
4,500
1,400
8,400
4,200
2,500
9,400
3,900
1,200
$
9,225
105,490
353,752
116,760
2,664
93,869
75,411
26,235
166,972
2,640
87,400
27,090
5,000
8,802
75,960
118,600
35,160
30,125
1,317
33,172
65,384
20,955
106,601
10,241
85,272
129,688
58,650
14,094
49,126
85,405
10,980
32,192
14,266
16,560
192,024
22,158
70,793
189,070
12,254
21,504
9,180
178,581
145,708
7,560
77,070
27,703
128,364
59,353
39,015
9,086
159,348
130,368
85,375
105,280
22,971
12,156
40
<Page>
<Table>
<Caption>
SHARES
VALUE+
----------------------------------------------------------------------------------<S>
<C>
<C>
COMMON STOCKS (CONTINUED)
HEALTH CARE -- PRODUCTS (CONTINUED)
ResMed, Inc.*
2,600
$
132,496
Respironics, Inc.*
3,000
176,250
Sola International, Inc.*
4,500
77,535
Sonic Innovations, Inc.*
2,200
12,496
SONUS Pharmaceuticals, Inc.*
1,600
7,442
STAAR Surgical Co.*
1,900
14,820
Sybron Dental Specialties, Inc.*
5,800
173,130
Synovis Life Technologies, Inc.*
1,300
13,975
The Spectranetics Corp.*
2,400
13,440
Theragenics Corp.*
1,800
8,316
Thoratec Corp.*
7,302
78,350
TriPath Imaging, Inc.*
4,900
46,109
Urologix, Inc.*
1,400
21,616
USANA Health Sciences, Inc.*
2,900
90,132
Vascular Solutions, Inc.
1,400
14,518
Ventana Medical Systems, Inc.*
2,400
114,072
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Vital Signs, Inc.
West Pharmaceutical Services, Inc.
Wright Medical Group, Inc.*
Zila, Inc.*
Zoll Medical Corp.*
HEALTH CARE -- SERVICES -- 2.9%
Air Methods Corp.*
Albany Molecular Research, Inc.*
Alliance Imaging, Inc.*
Allied Healthcare International, Inc.*
Allscripts Heathcare Solutions, Inc.*
Amedisys, Inc.*
America Service Group, Inc.*
American Healthways, Inc.*
American Medical Security Group, Inc.*
American Retirement Corp.*
Amerigroup Corp.*
AmSurg Corp.*
Angelica Corp.
Beverly Enterprises, Inc.*
Bio-Reference Laboratories, Inc.*
Capital Senior Living Corp.*
Celera Genomics Group -- Applera Corp.*
Centene Corp.*
Cerner Corp.*
CHRONIMED, Inc.*
Covance, Inc.*
Curative Health Services, Inc.*
Discovery Partners International*
Dynacq Healthcare, Inc.*
Genesis HealthCare Corp.*
HMS Holdings Corp.*
Hooper Holmes, Inc.
IDX Systems Corp.*
IMPATH, Inc.*
Kendle International, Inc.*
Kindred Healthcare, Inc.*
LabOne, Inc.*
LCA-Vision, Inc.*
Matria Healthcare, Inc.*
MedCath Corp.*
Medical Staffing Network Holdings, Inc.*
MedQuist, Inc.*
MIM Corp.*
National Medical Health Card Systems, Inc.*
NDCHealth Corp.
NovaMed Eyecare, Inc.*
Odyssey Healthcare, Inc.*
Option Care, Inc.
Orthodontic Centers of America, Inc.*
PAREXEL International Corp.*
Pediatric Services of America, Inc.*
Pediatrix Medical Group, Inc.*
Prime Medical Services, Inc.*
Province Healthcare Co.*
Psychiatric Solutions, Inc.*
Quality Systems, Inc.*
RehabCare Group, Inc.*
Res-Care, Inc.*
Select Medical Corp.
SFBC International, Inc.*
Sierra Health Services, Inc.*
Specialty Laboratories, Inc.*
STERIS Corp.*
Sunrise Assisted Living, Inc.
The TriZetto Group, Inc.*
U.S. Physical Therapy, Inc.*
United Surgical Partners International, Inc.*
US Oncology, Inc.*
VCA Antech, Inc.*
VitalWorks, Inc.*
HOUSEHOLD PRODUCTS -- 0.3%
American Woodmark Corp.
Applica, Inc.
Bassett Furniture Industries, Inc.
Church & Dwight Co., Inc.
1,900
2,000
5,000
4,000
1,300
55,176
84,600
178,000
19,640
45,604
--------------6,707,060
---------------
100
3,900
5,000
3,400
4,700
1,500
600
4,900
1,900
1,600
3,500
4,350
800
16,000
800
2,000
501
2,750
3,200
1,500
3,300
1,300
5,000
1,300
2,600
2,500
7,800
4,500
1,700
2,300
5,500
2,600
2,000
1,000
1,500
3,300
4,200
2,600
907
5,500
1,000
5,450
2,350
5,600
3,900
200
2,800
1,600
6,850
2,000
800
2,100
2,400
9,200
1,850
3,800
2,600
1,300
3,100
5,100
1,800
3,900
9,600
5,300
4,300
855
50,427
22,850
16,728
36,848
49,560
20,850
130,438
51,775
8,064
172,200
109,315
20,088
137,600
10,608
9,620
5,767
106,012
142,656
12,225
127,314
11,258
25,500
7,670
75,504
14,875
44,772
143,505
9,350
17,825
$
144,925
82,628
58,260
25,070
30,000
21,252
48,090
22,620
24,344
127,600
3,450
102,569
35,861
45,864
77,220
2,538
195,580
12,704
117,477
49,860
39,272
55,923
30,480
123,464
57,961
169,860
23,296
29,328
121,334
34,170
24,678
153,933
141,312
237,546
14,878
--------------4,077,406
---------------
1,000
2,800
1,500
1,600
59,850
24,920
32,640
73,248
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Craftmade International, Inc.
Enesco Group, Inc.*
Ethan Allen Interiors, Inc.
Kimball International, Inc. Class B
Libbey, Inc.
Lifetime Hoan Corp.
Oneida Ltd.
Quaker Fabric Corp.
Restoration Hardware, Inc.*
Salton, Inc.*
200
1,500
100
3,000
1,600
1,000
1,500
2,400
3,000
1,900
3,960
13,440
3,552
44,250
44,416
22,790
2,430
18,502
21,930
10,184
--------------376,112
---------------
</Table>
41
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<Table>
<Caption>
SHARES
VALUE+
----------------------------------------------------------------------------------<S>
<C>
<C>
COMMON STOCKS (CONTINUED)
INSTRUMENTS -- SCIENTIFIC -- 0.6%
Advanced Neuromodulation Systems, Inc.*
3,200
$
104,960
Bruker BioSciences Corp.*
11,938
58,138
Cepheid, Inc.*
5,900
68,086
Endocardial Solutions, Inc.*
3,100
32,085
FEI Co.*
5,300
126,723
Intuitive Surgical, Inc.*
5,400
102,600
IRIS International, Inc.*
600
4,530
Kyphon, Inc.*
6,000
169,080
Metrologic Instruments, Inc.*
2,500
49,850
Microvision, Inc.*
1,800
15,120
SurModics, Inc.*
2,600
64,064
Therma-Wave, Inc.*
2,400
11,832
Vital Images, Inc.*
100
1,240
X-Rite, Inc.
2,300
33,442
--------------841,750
--------------INSURANCE -- 2.2%
21St Century Insurance Group
Alfa Corp.
Allmerica Financial Corp.*
American Physicians Capital, Inc.*
AmerUs Group Co.
Argonaut Group, Inc.*
Ceres Group, Inc.*
Citizens, Inc. Class A
CNA Surety Corp.*
Crawford & Co. Class A
Crawford & Co. Class B
Delphi Financial Group, Inc. Class A
FBL Financial Group, Inc. Class A
Financial Industries Corp.*
FPIC Insurance Group, Inc.*
Harleysville Group, Inc.
HCC Insurance Holdings, Inc.
HealthExtras, Inc.*
Hilb, Rogal & Hamilton Co.
Horace Mann Educators Corp.
Infinity Property & Casualty Corp.
LandAmerica Financial Group, Inc.
Meadowbrook Insurance Group, Inc.*
Ohio Casualty Corp.*
Penn-America Group, Inc.
Philadelphia Consolidated Holding Corp.*
PMA Capital Corp. Class A
Presidential Life Corp.
ProAssurance Corp.*
Reinsurance Group of America, Inc.
RLI Corp.
RTW, Inc.*
Selective Insurance Group, Inc.
State Auto Financial Corp.
Stewart Information Services Corp.
The Commerce Group, Inc.
The Navigators Group, Inc.*
The Phoenix Companies, Inc.
Triad Guaranty, Inc.*
Universal American Financial Corp.*
11,100
10,395
5,000
1,300
1,600
3,700
4,500
4,247
5,000
800
1,300
2,550
3,200
900
1,400
4,000
1,000
4,400
4,300
5,700
3,100
2,400
1,900
6,100
1,400
2,900
3,100
4,200
3,500
500
3,200
250
3,300
5,100
2,500
1,400
1,500
11,300
1,900
7,600
$
143,634
145,530
169,000
30,095
66,240
68,191
27,630
34,825
54,750
3,776
6,409
113,475
90,432
8,352
34,566
75,400
33,410
72,908
153,424
99,636
102,300
93,432
10,070
122,793
19,600
174,203
27,900
75,684
119,385
20,325
116,800
1,610
131,604
156,672
84,425
69,118
43,335
138,425
110,580
83,448
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Vesta Insurance Group, Inc.
Zenith National Insurance Corp.
INTERNET SERVICES -- 3.1%
1-800-FLOWERS.COM, Inc. Class A*
Akamai Technologies, Inc.*
Alloy Online, Inc.*
Answerthink, Inc.*
Ask Jeeves, Inc.*
Autobytel, Inc.*
Blue Coat Systems, Inc.*
BroadVision, Inc.*
CACI International, Inc. Class A*
CMGI, Inc.*
CNET Networks, Inc.*
Corillian Corp.*
CyberSource Corp.*
Digital River, Inc.*
DoubleClick, Inc.*
Drugstore.com, Inc.*
E. piphany, Inc.*
Earthlink, Inc.*
eCollege.Com*
Entrust Technologies, Inc.*
Equinix, Inc.*
F5 Networks, Inc.*
FindWhat.com*
FreeMarkets, Inc.*
GoRemote Internet Communications, Inc.
GSI Commerce, Inc.*
Harris Interactive, Inc.*
iGATE Capital Corp.*
Interland, Inc.*
iVillage, Inc.*
j2 Global Communications, Inc.*
Jupitermedia Corp.*
LookSmart Ltd.*
Marimba, Inc.*
MarketWatch.com, Inc.*
Modem Media, Inc.*
Neoforma, Inc.*
Net2Phone, Inc.*
Netflix, Inc.*
NetRatings, Inc.*
Network Engines, Inc.*
NIC, Inc.*
Overstock.com, Inc.*
PC-Tel, Inc.*
Priceline.com, Inc.*
Quovadx, Inc.*
Real Networks, Inc.*
</Table>
4,700
500
30,409
24,300
--------------3,188,101
---------------
3,300
8,900
4,300
4,100
6,000
5,100
1,400
3,000
4,400
3,200
17,500
2,200
3,600
4,800
15,100
9,600
9,200
12,600
2,200
6,300
2,600
5,500
3,200
7,200
1,800
4,900
6,700
5,100
500
7,300
3,500
3,100
12,100
900
3,242
1,200
2,100
4,800
4,800
4,400
3,400
7,700
2,900
2,300
5,300
2,000
25,300
26,862
159,755
26,445
23,493
234,180
46,308
46,886
12,606
177,936
6,240
193,725
11,088
30,096
156,624
117,327
33,504
44,436
130,410
35,200
28,350
88,244
145,640
74,048
46,944
3,312
47,187
45,024
20,298
1,405
46,355
97,300
43,896
26,257
7,317
38,029
6,312
25,494
21,744
172,560
71,676
9,248
55,209
113,332
27,140
142,729
2,400
173,052
42
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<Table>
<Caption>
SHARES
VALUE+
----------------------------------------------------------------------------------<S>
<C>
<C>
COMMON STOCKS (CONTINUED)
INTERNET SERVICES (CONTINUED)
Register.com, Inc.*
4,400
$
26,224
Retek, Inc.*
6,600
40,524
RSA Security, Inc.*
8,600
176,042
S1 Corp.*
10,200
101,388
SafeNet, Inc.*
3,372
93,337
SeeBeyond Technology Corp.*
9,900
37,323
Selectica, Inc.*
3,600
17,100
SonicWALL, Inc.*
10,700
92,020
Stamps.com, Inc.*
3,650
37,194
Stellent, Inc.*
3,100
26,474
TheStreet.com, Inc.*
2,300
8,556
Tumbleweed Communications Corp.*
3,800
16,188
United Online, Inc.*
8,950
157,609
ValueClick, Inc.*
11,900
142,562
Vignette Corp.*
16,100
26,726
WatchGuard Technologies, Inc.*
3,900
28,158
WebEx Communications, Inc.*
6,500
141,440
webMethods, Inc.*
6,200
53,134
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Websense, Inc.*
ZixIt Corp.*
LEISURE -- 2.1%
Alliance Gaming Corp.*
Ambassadors Group, Inc.
AMC Entertainment, Inc.*
Ameristar Casinos, Inc.
Argosy Gaming Co.*
Atari, Inc.*
Aztar Corp.*
Bally Total Fitness Holding Corp.*
Bluegreen Corp.*
Boca Resorts, Inc. Class A*
Boyd Gaming Corp.
Carmike Cinemas, Inc.
Choice Hotels International, Inc.
Churchill Downs, Inc.
Dover Downs Gaming & Entertainment, Inc.
Gaylord Entertainment Co.*
Interstate Hotels & Resorts, Inc.*
Isle of Capri Casinos, Inc.*
K2, Inc.*
Magna Entertainment Corp. Class A*
Mikohn Gaming Corp.*
MTR Gaming Group, Inc.*
Multimedia Games, Inc.*
Nevada Gold & Casinos, Inc.*
Penn National Gaming, Inc.*
Pinnacle Entertainment, Inc.*
Prime Hospitality Corp.*
Scientific Games Corp. Class A*
Shuffle Master, Inc.*
Six Flags, Inc.*
Speedway Motorsports, Inc.
The Marcus Corp.
Topps Co., Inc.
Vail Resorts, Inc.*
WMS Industries, Inc.*
MACHINERY -- 2.2%
A.O. Smith Corp.
Alamo Group, Inc.
Albany International Corp. Class A
Applied Industrial Technologies, Inc.
Astec Industries, Inc.*
Baldor Electric Co.
BEI Technologies, Inc.
CARBO Ceramics, Inc.
Cascade Corp.
Columbus McKinnon Corp.*
Dril-Quip, Inc.*
Flowserve Corp.*
FSI International, Inc.*
Gardner Denver, Inc.*
Gehl Co.*
Gerber Scientific, Inc.*
Global Power Equipment Group, Inc.*
Graco, Inc.
Gulf Islands Fabrication, Inc.
IDEX Corp.
JLG Industries, Inc.
Joy Global, Inc.
Kadant, Inc.*
Kennametal, Inc.
Kulicke and Soffa Industries, Inc.*
Lindsay Manufacturing Co.
Lone Star Technologies, Inc.*
Lufkin Industries, Inc.
Milacron, Inc.
National-Oilwell, Inc.*
Powell Industries, Inc.*
Presstek, Inc.*
Regal-Beloit Corp.
Robbins & Myers, Inc.
Rofin-Sinar Technologies, Inc.*
Sauer, Inc.
Semitool, Inc.*
3,500
4,000
130,305
31,760
--------------4,477,687
---------------
7,600
1,000
4,400
4,000
4,100
15,400
5,200
2,600
4,100
5,400
8,400
1,600
4,100
1,000
700
3,922
2,700
4,100
4,700
2,000
2,400
4,000
5,200
2,000
5,200
5,000
6,300
8,000
3,475
13,000
3,400
2,900
4,500
3,900
4,500
130,416
23,510
67,628
134,320
154,160
37,114
145,600
13,000
56,580
107,028
223,188
63,120
205,656
40,700
7,875
123,112
14,553
71,545
73,790
11,800
11,592
43,800
139,464
26,900
172,640
63,050
66,906
153,120
126,177
94,380
$
113,696
50,025
43,650
74,724
134,100
--------------3,018,919
---------------
2,500
1,000
3,600
2,700
2,400
4,900
2,100
2,400
1,700
1,600
2,400
6,100
3,500
2,700
800
2,900
6,300
2,775
1,300
3,900
6,100
5,900
1,800
1,200
7,100
1,200
4,000
700
3,500
541
1,200
4,000
3,300
1,700
1,700
2,700
2,800
79,475
15,900
120,816
81,324
45,192
114,415
59,451
163,800
53,125
11,312
44,880
152,134
27,335
75,330
16,200
20,474
50,526
86,164
28,119
133,965
84,729
176,646
41,634
54,960
77,816
28,824
110,240
22,386
14,000
17,036
20,496
42,040
73,458
38,165
43,163
46,089
31,696
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Stewart & Stevenson Services, Inc.
Tecumseh Products Co. Class A
Tennant Co.
Terex Corp.*
The Manitowoc Co., Inc.
The Middleby Corp.
Thomas Industries, Inc.
Universal Compression Holdings, Inc.*
Woodward Governor Co.
4,500
1,700
1,200
4,400
4,300
1,300
2,300
4,300
1,800
80,640
70,023
49,740
150,172
145,555
71,006
76,360
131,924
129,798
--------------3,208,533
---------------
</Table>
43
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SHARES
VALUE+
----------------------------------------------------------------------------------<S>
<C>
<C>
COMMON STOCKS (CONTINUED)
MANUFACTURING -- 1.7%
Applied Films Corp.*
1,900
$
55,138
AptarGroup, Inc.
1,800
78,642
Briggs & Stratton Corp.
2,600
229,710
CLARCOR, Inc.
3,600
164,880
Cognex Corp.
5,300
203,944
Encore Wire Corp.*
2,000
55,140
Fedders Corp.
4,200
18,270
Foamex International, Inc.*
2,900
14,123
Hologic, Inc.*
2,600
60,450
Huffy Corp.*
1,700
1,955
Jacuzzi Brands, Inc.*
10,500
84,630
JAKKS Pacific, Inc.*
3,800
79,002
Lennox International, Inc.
7,100
128,510
Mykrolis Corp.*
6,600
114,972
Nanophase Technologies Corp.*
1,300
9,711
Nordson Corp.
4,500
195,165
Polaris Industries, Inc.
1,000
48,000
Quanex Corp.
2,500
121,750
Quixote Corp.
900
18,045
Rayovac Corp.*
5,500
154,550
SonoSite, Inc.*
2,000
47,820
Steinway Musical Instruments, Inc.*
900
31,581
The Brink's Co.
6,000
205,500
TTM Technologies, Inc.*
5,700
67,545
Varco International, Inc.*
1,000
21,890
Varian, Inc.*
3,900
164,385
Wabtec Corp.
6,500
117,260
--------------2,492,568
--------------METALS & MINING -- 1.2%
AMCOL International Corp.
Arch Coal, Inc.
Brush Engineered Materials, Inc.*
Canyon Resources Corp.*
Century Aluminum Co.
CIRCOR International, Inc.
Cleveland-Cliffs, Inc.*
Coeur d'Alene Mines Corp.*
Commercial Metals Co.
Commonwealth Industries, Inc.
Generale Cable Corp.*
Hecla Mining Co.*
Intermet Corp.
Kaydon Corp.
Liquidmetal Technologies, Inc.*
Massey Energy Co.
Metals USA, Inc.*
MSC Industrial Direct Co., Inc. Class A
Mueller Industries, Inc.
Royal Gold, Inc.
RTI International Metals, Inc.*
Stillwater Mining Co.*
USEC, Inc.
Wolverine Tube, Inc.*
3,900
1,900
2,200
3,400
4,700
1,700
1,400
32,100
4,100
2,100
5,100
17,300
2,300
4,200
500
6,400
2,200
2,000
3,500
2,100
2,900
10,800
11,200
1,500
73,905
69,521
41,580
13,226
116,513
34,663
78,946
130,968
133,045
21,714
43,605
98,610
9,890
129,906
710
180,544
39,336
65,680
125,300
29,757
46,255
162,108
98,224
16,350
--------------1,760,356
---------------
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
MULTIMEDIA -- 0.3%
Emmis Communications Corp. Class A*
LodgeNet Entertainment Corp.*
Macrovision Corp.*
Martha Stewart Living Omnimedia, Inc.
Class A*
Media General, Inc. Class A
Pegasus Communications Corp.*
The Liberty Corp.
Young Broadcasting, Inc. Class A*
5,100
1,500
6,900
$
1,900
400
500
2,200
2,300
17,100
25,688
12,230
103,290
30,245
--------------493,008
---------------
OFFICE EQUIPMENT -- 0.1%
Global Imaging Systems, Inc.*
IKON Office Solutions, Inc.
3,500
6,800
128,310
77,996
--------------206,306
---------------
OFFICE FURNISHINGS & SUPPLIES -- 0.1%
Ennis Business Forms, Inc.
Interface, Inc.*
Standard Register Co.
1,600
6,000
2,800
31,200
52,380
33,320
--------------116,900
---------------
1,100
27,400
5,700
2,800
1,900
3,000
5,200
4,200
5,700
1,800
2,000
2,300
1,200
900
4,900
6,600
1,400
3,900
2,400
4,900
400
3,900
2,850
3,500
1,200
2,500
27,900
12,000
4,600
4,600
1,600
1,900
2,700
31,955
97,544
145,920
21,476
79,325
88,230
47,736
177,660
172,824
25,668
20,420
45,011
36,276
21,510
95,354
138,270
23,800
108,810
115,176
74,970
16,008
157,560
77,862
74,165
26,400
20,725
118,296
142,800
68,586
120,290
59,840
1,881
139,968
OIL & GAS -- 4.4%
AGL Resources, Inc.
Aquila, Inc.*
Atmos Energy Corp.
ATP Oil & Gas Corp.*
Atwood Oceanics, Inc.*
Berry Petroleum Co. Class A
Brigham Exploration Co.*
Cabot Oil & Gas Corp. Class A
Cal Dive International, Inc.*
Callon Petroleum Co.*
Carrizo Oil & Gas, Inc.*
Cheniere Energy, Inc.*
Cimarex Energy Co.*
Clayton Williams Energy, Inc.*
Comstock Resources, Inc.*
Denbury Resources, Inc.*
Edge Petroleum Corp.*
Encore Aquisition Co.*
Energen Corp.
Energy Partners Ltd.*
EnergySouth, Inc.
Evergreen Resources, Inc.*
Forest Oil Corp.*
Frontier Oil Corp.
Giant Industries, Inc.*
Goodrich Petroleum Corp.*
Grey Wolf, Inc.*
Hanover Compressor Co.*
Harvest Natural Resources, Inc.*
Helmerich & Payne, Inc.
Holly Corp.
Horizon Offshore, Inc.*
Houston Exploration Co.*
</Table>
106,998
24,750
172,707
44
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<Table>
<Caption>
SHARES
VALUE+
----------------------------------------------------------------------------------<S>
<C>
<C>
COMMON STOCKS (CONTINUED)
OIL & GAS (CONTINUED)
Hydril Co.*
2,200
$
69,300
KCS Energy, Inc.*
7,800
103,896
Kerr-McGee Corp.
381
20,463
Key Energy Services, Inc.*
14,400
135,936
Magnum Hunter Resources, Inc.*
9,600
99,648
Matrix Service Co.*
1,400
12,810
McMoRan Exploration Co.*
2,100
32,718
Mission Resources Corp.*
5,300
30,210
NATCO Group, Inc. Class A*
2,200
16,962
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
New Jersey Resources Corp.
Newpark Resources, Inc.*
Oceaneering International, Inc.*
Oil States International, Inc.*
ONEOK, Inc.
Parallel Petroleum Corp.*
Parker Drilling Co.*
Patina Oil & Gas Corp.
Penn Virginia Corp.
Petroleum Development Corp.*
Piedmont Natural Gas Co., Inc.
Plains Exploration & Production Co.*
Plains Resources, Inc.*
Prima Energy Corp.*
Range Resources Corp.
Remington Oil & Gas Corp.*
SEACOR SMIT, Inc.*
SEMCO Energy, Inc.
Southern Union Co.
Southwestern Energy Co.*
Spinnaker Exploration Co.*
St. Mary Land & Exploration Co.
Stone Energy Corp.*
Superior Energy Services, Inc.*
Swift Energy Co.*
Tesoro Petroleum Corp.*
The Meridian Resource Corp.*
TransMontaigne, Inc.*
Trico Marine Services, Inc.*
UGI Corp.
Unit Corp.*
Vintage Petroleum, Inc.
W-H Energy Services, Inc.*
Western Gas Resources, Inc.
3,250
11,200
3,200
6,800
3,000
2,800
11,200
5,312
2,600
1,900
1,300
7,757
3,400
1,950
9,100
3,800
2,500
2,800
4,572
4,300
3,700
3,800
2,937
10,400
4,200
7,100
10,200
3,600
3,100
2,400
4,800
9,700
3,800
2,600
135,135
69,440
109,600
104,040
65,970
14,199
42,784
158,669
93,886
52,098
55,510
142,341
57,630
77,161
132,860
89,680
109,825
16,296
96,378
123,281
145,706
135,470
134,162
104,520
92,652
195,960
70,788
19,368
1,395
77,040
150,960
164,609
74,480
84,448
--------------6,312,600
---------------
PAPER & RELATED PRODUCTS -- 0.3%
American Greetings Corp. Class A*
Louisiana-Pacific Corp.
Potlatch Corp.
3,600
8,400
3,500
83,448
198,660
145,740
--------------427,848
---------------
PERSONAL CARE -- 0.3%
Chattem, Inc.*
Elizabeth Arden, Inc.*
Nature's Sunshine Products, Inc.
Nu Skin Enterprises, Inc. Class A
Revlon, Inc. Class A*
2,900
3,800
1,700
8,400
26,300
83,723
79,952
24,208
$
212,688
77,585
--------------478,156
---------------
PHOTO EQUIPMENT & SUPPLIES -- 0.1%
American Science & Engineering, Inc.*
Concord Camera Corp.*
Lexar Media, Inc.*
800
2,700
11,800
16,736
8,910
78,824
--------------104,470
---------------
PUBLISHING -- 0.6%
Cadmus Communications Corp.
Hollinger International, Inc. Class A
Information Holdings, Inc.*
Journal Register Co.*
Playboy Enterprises, Inc. Class B*
PRIMEDIA, Inc.*
ProQuest Co.*
Pulitzer, Inc.
Scholastic Corp.*
Thomas Nelson, Inc.
1,000
8,700
2,700
6,700
4,200
41,200
4,000
900
5,600
1,400
14,750
146,073
73,899
134,000
48,762
114,536
109,000
44,010
167,720
31,836
--------------884,586
---------------
REAL ESTATE -- 0.4%
Avatar Holdings, Inc.*
Corrections Corp. of America*
HomeStore.com, Inc.*
Jones Lang LaSalle, Inc.*
500
4,600
15,800
4,100
20,800
181,654
63,042
111,110
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
LNR Property Corp.
Trammell Crow Co.*
RESTAURANTS -- 1.4%
AFC Enterprises, Inc.*
Applebee's International, Inc.
Bob Evans Farms, Inc.
Buca, Inc.*
California Pizza Kitchen, Inc.*
CBRL Group, Inc.
CEC Entertainment, Inc.*
Champps Entertainment, Inc.*
Checkers Drive-In Restaurants, Inc.*
Chicago Pizza & Brewery, Inc.*
CKE Restaurants, Inc.*
Dave & Buster's, Inc.*
Famous Dave's of America, Inc.*
IHOP Corp.
Jack in the Box, Inc.*
Landry's Seafood Restaurants, Inc.
Lone Star Steakhouse & Saloon, Inc.
Luby's, Inc.*
O' Charley's, Inc.*
P.F. Chang's China Bistro, Inc.*
Papa John's International, Inc.*
RARE Hospitality International, Inc.*
Ruby Tuesday, Inc.
Ryan's Restaurant Group, Inc.*
</Table>
2,400
4,500
130,200
63,450
--------------570,256
---------------
2,800
2,475
3,700
1,500
2,600
1,200
5,650
500
1,000
2,300
8,700
1,400
1,145
2,700
4,700
3,900
3,200
3,000
3,000
4,100
2,500
5,409
1,200
6,300
60,200
56,975
101,306
7,995
49,816
37,020
166,731
4,130
11,550
34,983
115,971
26,306
8,794
96,552
139,590
116,571
87,008
20,730
51,570
168,715
73,850
134,684
32,940
99,540
45
<Page>
<Table>
<Caption>
SHARES
VALUE+
----------------------------------------------------------------------------------<S>
<C>
<C>
COMMON STOCKS (CONTINUED)
RESTAURANTS (CONTINUED)
Sonic Corp.*
7,650
$
174,037
The Steak n Shake Co.*
4,100
74,702
Total Entertainment Restaurant Corp.*
900
12,177
Worldwide Restaurant Concepts, Inc.
900
3,141
--------------1,967,584
--------------RETAIL -- FOOD -- 0.4%
Calavo Growers, Inc.
Ingles Markets, Inc.
Pathmark Stores, Inc.*
Ruddick Corp.
Smart & Final, Inc.*
The Great Atlantic & Pacific Tea Co., Inc.*
Weis Markets, Inc.
Wild Oats Markets, Inc.*
Winn-Dixie Stores, Inc.
900
1,100
3,700
5,600
3,600
4,100
3,100
3,900
19,800
11,653
12,287
28,194
125,720
43,272
31,406
108,655
54,873
142,560
--------------558,620
---------------
RETAIL -- GENERAL -- 0.6%
7-Eleven, Inc.*
Bebe stores, Inc.*
Casey's General Stores, Inc.
Duane Reade, Inc.*
Electronics Boutique Holdings Corp.*
Fred's, Inc.
Longs Drug Stores Corp.
ShopKo Stores, Inc.*
The Pantry, Inc.*
8,400
6,200
6,974
2,400
3,600
6,287
4,900
4,400
3,000
149,940
124,000
127,624
39,192
94,824
138,880
116,963
62,216
65,400
--------------919,039
---------------
RETAIL -- SPECIALTY -- 4.6%
A.C. Moore Arts & Crafts, Inc.*
Action Performance Cos., Inc.
Aeropostale, Inc.*
America's Car-Mart, Inc.*
3,000
2,000
7,350
700
82,530
30,140
197,788
21,021
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
American Eagle Outfitters, Inc.*
AnnTaylor Stores Corp.*
Blair Corp.
Brookstone, Inc.*
Burlington Coat Factory Warehouse Corp.
Cache, Inc.*
Callaway Golf Co.
Casual Male Retail Group, Inc.*
Charlotte Russe Holding, Inc.*
Children's Place Retail Stores, Inc.*
Christopher & Banks Corp.
Claire's Stores, Inc.
Coldwater Creek, Inc.*
Copart, Inc.*
Cost Plus, Inc.*
Deb Shops, Inc.
Finlay Enterprises, Inc.*
First Cash Financial Services, Inc.*
Footstar, Inc.*
Friedman's, Inc. Class A
Galyan's Trading Co.*
GameStop Corp.*
Genesco, Inc.*
Goody's Family Clothing, Inc.
Group 1 Automotive, Inc.*
GTSI Corp.*
Guitar Center, Inc.*
Hancock Fabrics, Inc.
Hibbett Sporting Goods, Inc.*
Hollywood Entertainment Corp.*
Hot Topic, Inc.*
J. Jill Group, Inc.*
Jo-Ann Stores, Inc.*
Jos. A. Bank Clothiers, Inc.*
K-Swiss, Inc. Class A
Kenneth Cole Productions, Inc. Class A
La-Z-Boy, Inc.
Linens 'n Things, Inc.*
MarineMax, Inc.*
Mothers Work, Inc.*
Movado Group, Inc.
Movie Gallery, Inc.
NBTY, Inc.*
Pacific Sunwear of California, Inc.*
Party City Corp.*
Payless ShoeSource, Inc.*
PC Connection, Inc.*
PC Mall, Inc.*
Pep Boys -- Manny, Moe & Jack
Pier 1 Imports, Inc.
RC2 Corp.*
Regis Corp.
Retail Ventures, Inc.*
Rex Stores Corp.*
Select Comfort Corp.*
Sharper Image Corp.*
Shoe Carnival, Inc.*
Sonic Automotive, Inc. Class A
Sotheby's Holdings, Inc. Class A*
Stage Stores, Inc.*
Stein Mart, Inc.*
Systemax, Inc.*
TBC Corp.*
The Bombay Co., Inc.*
The Bon-Ton Stores, Inc.
The Boyds Collection Ltd.*
The Buckle, Inc.
The Cato Corp. Class A
The Dress Barn, Inc.*
The Gymboree Corp.*
The Men's Wearhouse, Inc.*
The Nautilus Group, Inc.
The Sports Authority, Inc.*
Too, Inc.*
Tractor Supply Co.*
Transport World Entertainment Corp.*
</Table>
4,300
4,275
1,000
2,550
5,800
1,800
10,500
4,100
3,200
3,500
5,437
6,600
2,475
8,050
3,297
1,900
1,200
1,950
1,400
1,600
1,900
2,500
3,000
3,300
3,000
2,500
4,400
1,700
3,900
9,700
6,775
2,750
3,000
1,200
4,300
1,700
6,800
3,100
2,300
400
2,000
4,396
2,100
6,675
1,700
9,500
2,000
1,200
5,400
1,900
2,800
3,900
3,700
1,575
5,500
2,400
1,200
4,000
6,700
1,900
6,730
4,400
3,300
3,600
1,600
7,400
1,700
2,900
4,100
3,900
4,400
4,600
3,521
4,800
3,600
5,400
$
124,313
123,889
28,900
51,128
111,940
24,318
119,070
29,930
68,416
82,320
96,289
143,220
65,513
214,935
106,988
45,714
22,584
41,496
8,400
5,072
31,692
38,050
70,890
34,221
99,630
28,625
195,668
21,675
106,665
129,592
138,820
64,872
88,200
37,668
86,903
58,259
122,264
90,861
65,964
8,228
34,500
85,942
61,719
130,630
21,233
141,645
13,160
22,656
136,890
33,611
99,400
173,901
28,638
19,294
156,200
75,336
18,012
88,600
106,932
71,554
109,430
29,480
78,540
22,068
23,456
24,568
48,025
65,105
70,192
59,904
116,116
89,746
126,404
80,160
150,552
54,108
46
<Page>
<Table>
<Caption>
SHARES
VALUE+
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
----------------------------------------------------------------------------------<S>
<C>
<C>
COMMON STOCKS (CONTINUED)
RETAIL -- SPECIALTY (CONTINUED)
Tuesday Morning Corp.*
5,300
$
153,700
Tweeter Home Entertainment Group, Inc.*
1,900
10,260
Urban Outfitters, Inc.*
4,600
280,186
West Marine, Inc.*
2,900
77,865
Wet Seal, Inc.*
2,475
12,944
Whitehall Jewellers, Inc.*
1,700
12,716
Wilsons The Leather Experts, Inc.*
1,900
7,391
--------------6,587,430
--------------STEEL -- 1.1%
AK Steel Holding Corp.*
Allegheny Technologies, Inc.
Carpenter Technology Corp.
Material Sciences Corp.
Maverick Tube Corp.*
NS Group, Inc.*
Oregon Steel Mills, Inc.*
Reliance Steel & Aluminum Co.
Ryerson Tull, Inc.
Schnitzer Steel Industries, Inc. Class A
Steel Dynamics, Inc.*
Steel Technologies, Inc.
The Timken Co.
Valmont Industries, Inc.
Worthington Industries, Inc.
16,300
11,300
3,400
900
6,400
2,300
3,500
3,900
3,200
4,750
5,400
1,900
2,400
3,600
6,000
85,901
203,965
115,770
9,585
168,064
37,812
51,590
157,248
50,816
161,310
154,602
41,952
63,576
82,440
123,180
--------------1,507,811
---------------
TELECOMMUNICATIONS -- 2.2%
Anaren Microwave, Inc.*
APAC Telecommunications Corp.*
Arch Wireless, Inc. Class A*
Aware, Inc.*
Boston Communications Group, Inc.*
C-Cor.net Corp.*
Carrier Access Corp.*
CellStar Corp.*
Centennial Communications Corp. Class A*
Cincinnati Bell, Inc.*
Commonwealth Telephone Enterprises, Inc.*
CommScope, Inc.*
Comtech Telecommunications Corp.*
CT Communications, Inc.
D&E Communications, Inc.
EMS Technologies, Inc.*
General Communication, Inc. Class A*
Glenayre Technologies, Inc.*
GulfMark Offshore, Inc.*
Harmonic, Inc.*
Hickory Tech Corp.
IDT Corp.*
IDT Corp. Class B*
Inet Technologies, Inc.*
Infonet Services Corp. Class B*
InfoSpace, Inc.*
InterDigital Communications Corp.*
Intrado, Inc.*
LCC International, Inc. Class A*
Lightbridge, Inc.*
Metro One Telecommunications, Inc.*
MRV Communications, Inc.*
NMS Communications Corp.*
Plantronics, Inc.*
Powerwave Technologies, Inc.*
Price Communications Corp.
Primus Telecommunications Group, Inc.*
PTEK Holdings, Inc.*
RCN Corp.*(a)
RF Micro Devices, Inc.*
Spherix, Inc.*
SR Telecom, Inc.*
SureWest Communications
Sycamore Networks, Inc.*
SymmetriCom, Inc.*
Talk America Holdings, Inc.*
Telular Corp.*
Time Warner Telecom, Inc. Class A*
2,900
6,900
2,700
2,700
2,100
5,200
4,700
2,400
9,500
36,800
3,200
8,000
1,650
1,900
1,700
1,300
6,700
5,000
2,200
10,000
700
2,500
1,600
5,600
5,000
4,800
8,600
2,400
1,200
3,100
4,100
10,900
6,300
5,000
8,900
7,925
13,500
9,300
5,000
5,000
1,400
255
1,908
27,100
5,684
3,066
500
5,400
47,386
11,937
76,923
10,665
21,525
53,508
56,024
17,664
67,925
163,392
143,264
171,600
37,224
28,595
22,814
25,259
53,198
11,500
34,716
85,200
7,077
45,075
29,504
69,832
8,750
182,592
161,766
38,616
5,880
17,360
6,027
29,866
46,494
210,500
68,530
116,973
68,580
107,229
650
37,500
7,140
933
60,293
114,633
50,588
23,516
3,595
22,626
$
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Tollgrade Communications, Inc.*
Triton PCS Holdings, Inc. Class A*
UbiquiTel, Inc.*
US LEC Corp. Class A*
Westell Technologies, Inc. Class A*
Western Wireless Corp. Class A*
Wireless Facilities, Inc.*
TEXTILE & APPAREL -- 1.4%
Ashworth, Inc.*
Brown Shoe Co., Inc.
Charming Shoppes, Inc.*
Cherokee, Inc.
Columbia Sportswear Co.*
Culp, Inc.*
Cutter & Buck, Inc.
DHB Industries, Inc.*
G & K Services, Inc. Class A
Guess?, Inc.*
Haggar Corp.
Kellwood Co.
Oakley, Inc.
Oshkosh B' Gosh, Inc. Class A
Oxford Industries, Inc.
Perry Ellis International, Inc.*
Phillips-Van Heusen Corp.
Quiksilver, Inc.*
Reebok International Ltd.
Russell Corp.
Skechers U.S.A., Inc. Class A*
Steven Madden Ltd.*
Stride Rite Corp.
</Table>
1,200
7,300
11,300
4,200
6,900
9,800
10,900
12,744
31,828
47,686
17,052
35,190
283,318
107,147
--------------3,217,409
---------------
2,000
2,700
13,600
700
750
1,500
1,200
6,500
2,500
6,600
800
3,300
11,000
1,400
2,600
800
4,000
6,700
1,100
4,400
1,900
1,400
5,100
16,620
110,511
121,448
17,563
40,965
11,670
12,360
98,670
100,475
106,260
16,120
143,715
142,340
34,958
113,256
20,208
77,000
159,527
39,578
79,024
24,700
27,958
56,253
47
<Page>
<Table>
<Caption>
SHARES
VALUE+
----------------------------------------------------------------------------------<S>
<C>
<C>
COMMON STOCKS (CONTINUED)
TEXTILE & APPAREL (CONTINUED)
The Dixie Group, Inc.*
1,200
$
14,208
The Finish Line, Inc. Class A*
2,800
84,476
The Warnaco Group, Inc.*
6,400
136,128
Unifi, Inc.*
4,300
12,599
Vans, Inc.*
1,800
36,990
Wolverine World Wide, Inc.
5,900
154,875
--------------2,010,455
--------------TIRES & RUBBER -- 0.1%
Cooper Tire & Rubber Co.
Goodyear Tire & Rubber Co.*
1,800
12,100
41,400
109,989
--------------151,389
---------------
TOBACCO -- 0.0%
DIMON, Inc.
Standard Commercial Corp.
4,300
1,500
24,596
27,075
--------------51,671
---------------
TOOLS -- HAND HELD -- 0.2%
Toro Co.
3,200
224,224
---------------
TRANSPORTATION -- 2.0%
ABX Air, Inc.*
Alexander & Baldwin, Inc.
Arkansas Best Corp.
Celadon Group, Inc.*
Covenant Transport, Inc. Class A*
Dynamex, Inc.*
EGL, Inc.*
Forward Air Corp.*
Frozen Food Express Industries, Inc.*
4,300
2,500
3,100
1,200
1,300
1,100
6,600
3,200
1,900
29,369
83,625
102,052
21,120
22,217
15,301
175,560
119,680
13,034
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
GATX Corp.
Genesee & Wyoming, Inc. Class A*
Heartland Express, Inc.
Interpool, Inc.
J.B. Hunt Transport Services, Inc.
Kansas City Southern Industries, Inc.*
Kirby Corp.*
Knight Transportation, Inc.*
Landstar Systems, Inc.*
Maritrans, Inc.
Offshore Logistics, Inc.*
Old Dominion Freight Line, Inc.*
Overseas Shipholding Group, Inc.
P.A.M. Transportation Services, Inc.*
RailAmerica, Inc.*
Ryder System, Inc.
SCS Transportation, Inc.*
Seabulk International, Inc.*
Stonepath Group, Inc.*
Swift Transportation Co., Inc.*
USA Truck, Inc.*
USF Corp.
Werner Enterprises, Inc.
Yellow Roadway Corp.*
6,000
2,550
6,962
2,700
7,000
8,715
3,400
5,200
3,900
1,100
3,200
3,435
3,800
1,100
4,600
600
1,800
2,500
3,500
680
1,000
3,850
2,375
5,392
163,200
60,435
190,480
44,685
270,060
135,083
132,260
149,396
206,193
16,555
89,984
101,264
167,694
21,010
67,160
24,042
47,502
20,625
7,490
12,206
12,090
$
135,250
50,113
214,925
--------------2,921,660
---------------
UTILITIES -- 1.8%
Allegheny Energy, Inc.*
Avista Corp.
Black Hills Corp.
California Water Service Group
Cascade Natural Gas Corp.
Central Vermont Public Service Corp.
CH Energy Group, Inc.
Chesapeake Utilities Corp.
Cleco Corp.
CMS Energy Corp.
Dynegy, Inc. Class A*
El Paso Electric Co.*
Empire District Electric Co.
FuelCell Energy, Inc.*
Green Mountain Power Corp.
IDACORP, Inc.
Ionics, Inc.*
MGE Energy, Inc.
Middlesex Water Co.
Northwest Natural Gas Co.
NUI Corp.
Otter Tail Power Co.
Peoples Energy Corp.
PNM Resources, Inc.
Reliant Resources, Inc.*
Sierra Pacific Resources
Southwest Gas Corp.
Southwest Water Co.
The Laclede Group, Inc.
UIL Holdings Corp.
Unisource Energy Corp.
Unitil Corp.
WGL Holdings, Inc.
WPS Resources Corp.
5,000
6,300
3,900
2,400
1,200
1,500
2,200
600
6,200
10,300
13,900
7,400
3,300
7,600
800
4,600
3,100
2,800
999
4,100
2,900
3,614
700
6,150
5,000
16,400
4,700
1,836
2,900
2,200
5,000
500
1,000
1,200
77,050
116,046
122,850
66,120
26,484
30,735
102,168
13,620
111,476
94,039
59,214
114,256
66,363
88,768
20,880
124,200
87,575
91,364
19,361
125,050
42,340
97,072
29,505
127,735
54,150
126,444
113,411
22,987
79,489
107,118
124,250
13,175
28,720
55,620
--------------2,579,635
---------------
WASTE MANAGEMENT -- 0.3%
Casella Waste Systems, Inc. Class A*
Clean Harbors, Inc.*
Darling International, Inc.*
IMCO Recycling, Inc.*
Stericycle, Inc.*
Waste Connections, Inc.*
3,400
1,200
6,200
1,700
3,200
4,650
44,710
11,376
26,040
22,474
165,568
137,919
--------------408,087
---------------
TOTAL COMMON STOCKS
(Identified Cost $106,570,474)
140,976,422
---------------
</Table>
48
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
<Page>
<Table>
<Caption>
SHARES
VALUE+
----------------------------------------------------------------------------------<S>
<C>
<C>
WARRANTS -- 0.0%
OIL & GAS -- 0.0%
Magnum Hunter Resources, Inc. expires 03/21/05*
580
$
290
--------------TOTAL WARRANTS
(Identified Cost $586)
290
--------------SHORT-TERM INVESTMENTS -- 2.0%
OTHER -- 2.0%
SSgA Government Money Market Fund
SSgA Money Market Fund
691
2,922,301
TOTAL SHORT-TERM INVESTMENTS
(Identified Cost $2,922,992)
691
2,922,301
--------------2,922,992
---------------
TOTAL INVESTMENTS -- 100.6%
(IDENTIFIED COST $109,494,052)#
Liabilities, Less Cash and
Other Assets -- (0.6%)
143,899,704
(867,517)
--------------$
143,032,187
===============
NET ASSETS -- 100%
</Table>
+
*
#
(a)
See Note 1.
Non-income producing security
At June 30, 2004, the aggregate cost of investment securities for income
tax purposes was $109,647,489. Net unrealized appreciation aggregated
$34,252,215 of which $40,813,053 related to appreciated investment
securities and $6,560,838 related to depreciated investment securities.
Bankrupt security/delisted.
SEE NOTES TO FINANCIAL STATEMENTS.
49
<Page>
SA INTERNATIONAL HBTM FUND
PORTFOLIO OF INVESTMENTS -- AS OF JUNE 30, 2004
<Table>
<Caption>
FACE
AMOUNT
VALUE+
----------------------------------------------------------------------------------<S>
<C>
<C>
BONDS AND NOTES -- 0.0%
UNITED KINGDOM -- 0.0%
Duelguide Plc, 1.000%, 4/30/14(b)
$
15,202
$
27,560
--------------TOTAL BONDS AND NOTES
(Identified Cost $27,799)
27,560
---------------
<Caption>
<S>
COMMON STOCKS -- 97.9%
AUSTRALIA -- 4.3%
Amcor Ltd.
AMP Ltd.
Ansell Ltd.
APN News & Media Ltd.
AWB Ltd.
AXA Asia Pacific Holdings Ltd.
BHP Steel Ltd.
Boral Ltd.
Brambles Industries Ltd.
Caltex Australia Ltd.
Commonwealth Bank of Australia
CSR Ltd.
Downer EDI Ltd.
Insurance Australia Group Ltd.
SHARES
-----------<C>
72,749
237,052
31,286
32,743
45,306
323,615
140,605
108,608
97,659
60,104
23,743
177,338
52,169
97,011
<C>
352,458
1,043,025
168,321
96,046
145,494
755,814
658,731
487,687
407,297
385,614
537,692
273,654
116,041
337,162
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Lend Lease Corp. Ltd.
Lion Nathan Ltd.
Mayne Nickless Ltd.
Mirvac Group
National Australia Bank Ltd.
OneSteel Ltd.
Orica Ltd.
Origin Energy Ltd.
PaperlinX Ltd.
Qantas Airways Ltd.
QBE Insurance Group Ltd.
Rinker Group Ltd.
Rio Tinto Ltd.
Santos Ltd.
Seven Network Ltd.
Southcorp Ltd.
St. George Bank Ltd.
Wesfarmers Ltd.
WMC Resources Ltd.
AUSTRIA -- 0.3%
Bank Austria Creditanstalt
Boehler-Uddeholm AG
Flughafen Wien AG
OMV AG
Telekom Austria AG
Voest-Alpine Stahl AG
BELGIUM -- 1.3%
Ackermans & van Haaren NV
Algemene Maatschappij voor
Nijverheidskredit NV (Almanij)
Banque Nationale de Belgique (BNB)
Bekaert NV
Cofinimmo
Delhaize Group
Dexia
Fortis
S.A. D'Ieteren NV
Solvay SA
Tessenderlo Chemie NV
Umicore
Union Miniere SA
CANADA -- 0.0%
Alcan, Inc.
DENMARK -- 1.3%
Carlsberg A/S
Codan A/S
Danisco A/S
Danske Bank
Jyske Bank A/S
Rockwool International AS
Sydbank AS
TDC A/S
FINLAND -- 1.8%
Fortum Corp.
Huhtamaki Van Leer Oyj, Series 1
Kemira Oyj
Kesko Oyj
Metra Oyj, Class B
Metsa-Serla Oyj, Series B
Metso Oyj
Oko Bank (OKO Osuuspankkien Keskuspankki Oyj)
Outokumpu Oyj
Rautaruukki Oyj
Stora Enso Oyj
UPM-Kymmene Oyj
76,320
99,368
123,429
129,565
10,187
68,123
33,866
75,939
82,826
354,147
13,770
104,850
6,531
108,707
42,091
138,478
10,859
2,761
222,293
545,354
468,299
292,563
387,261
211,296
117,907
355,458
297,708
279,226
866,510
122,515
586,694
163,202
523,646
150,676
302,244
166,209
56,424
760,218
--------------12,418,446
---------------
1,801
803
630
958
9,800
5,900
105,741
66,709
36,375
186,722
149,814
291,065
--------------836,426
---------------
937
24,539
18,400
90
3,700
248
9,463
9,049
22,000
154
4,700
6,100
210
4,410
$
1,099,359
292,490
213,405
33,562
484,705
150,348
487,727
32,528
384,152
217,340
33
277,992
--------------3,698,180
---------------
1,469
60,487
---------------
6,925
6,170
5,730
55,903
4,170
1,850
580
29,380
366,576
264,929
295,806
1,326,160
238,850
81,861
85,073
955,772
--------------3,615,027
---------------
135,757
11,200
24,100
19,100
9,500
32,800
26,690
6,400
35,000
22,100
43,000
20,900
1,736,338
143,931
324,386
379,231
212,924
297,655
338,115
68,759
560,630
178,480
584,018
398,167
---------------
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
5,222,634
--------------FRANCE -- 10.8%
Accor SA
Air France
Alstom
Assurances Generales de France
Axa
BNP Paribas SA
Bongrain SA
Cap Gemini SA*
Ciments Francais
Club Mediterranee*
Compagnie de Saint-Gobain
</Table>
9,300
38,596
94,360
19,004
122,689
47,998
1,018
15,114
2,280
1,200
35,588
392,980
658,663
105,745
1,155,818
2,704,998
2,955,473
70,619
607,358
178,023
56,612
1,776,038
50
<Page>
<Table>
<Caption>
SHARES
VALUE+
----------------------------------------------------------------------------------<S>
<C>
<C>
COMMON STOCKS (CONTINUED)
FRANCE (CONTINUED)
Compagnie Generele des
Etablissements Michelin, Class B
9,463
$
523,896
Credit Agricole SA
73,976
1,802,203
Credit Industriel et Commercial
500
91,845
Eiffage SA
1,444
118,992
Euler Hermes SA
1,453
78,583
Eurazeo
1,170
76,104
Faurecia
2,942
202,476
Financiere Marc de Lacharriere SA
3,894
155,627
France Telecom SA
8,300
216,561
Galeries Lafayette SA
700
137,962
Gecina
1,600
125,903
Havas SA
30,007
156,440
Imerys SA
2,400
140,033
Lafarge SA
14,046
1,254,121
Lagardere S.C.A.
6,500
406,571
Nexans SA
1,400
52,013
Pinault-Printemps-Redoute SA
12,024
1,236,891
PSA Peugoet Citroen
30,890
1,722,192
Rallye SA
1,100
61,448
Remy Cointreau SA
6,788
222,008
Renault SA
22,840
1,741,619
Rexel SA
2,713
115,004
Schneider Electric SA
15,997
1,093,161
SCOR*
45,000
70,163
SEB SA
550
65,656
Societe BIC SA
5,416
241,327
Societe Generale
20,200
1,718,702
Sodexho Alliance SA
9,350
246,691
Suez SA
69,300
1,444,329
Technip-Coflexip SA
1,566
212,691
Thomson
25,175
497,090
Valeo SA
9,506
396,589
Vallourec SA
580
56,979
Vivendi Environnement
17,000
480,211
Vivendi Universal SA*
110,876
3,079,322
--------------30,903,730
--------------GERMANY -- 7.6%
Aareal Bank AG
Allianz AG
AMB Generali Holding AG
BASF AG
Bayer AG
Bayerische Hypo-und Vereinsbank AG*
Bilfinger Berger AG
Commerzbank AG
Continental AG
DaimlerChrysler AG
Deutsche Bank AG
Deutsche Lufthansa AG
Deutsche Telekom AG
Fraport AG
Hannover Rueckversicherungs-AG
Heidelberg Zement
2,000
3,813
3,501
15,750
46,011
69,308
2,054
52,793
2,000
83,253
36,656
39,180
50,300
9,166
2,700
10,358
$
71,015
413,510
264,275
843,951
1,328,290
1,234,279
71,056
931,167
96,571
3,894,161
2,883,539
533,567
884,745
256,127
90,214
516,669
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Heidelberger Druckmaschinen AG*
Hochtief AG
Hypo Real Estate Holding AG*
Infineon Technologies AG*
IVG Immobilen AG
KarstadtQuelle AG
Linde AG
MAN AG
Merck KGaA
MG Technologies AG
Muenchener Rueckversicherungs-Gesellschaft AG
Preussag AG
T-Online International AG*
Thyssen Krupp AG
Veba AG
Vereins-und Westbank AG
Volkswagen AG
GREECE -- 0.5%
Agricultural Bank of Greece*
Alpha Bank A.E.
Bank of Greece
Commercial Bank of Greece
Hellenic Petroleum SA
Hellenic Telecommunications Organization SA
Intracom SA
HONG KONG -- 2.3%
Cheung Kong (Holdings) Ltd.
Cheung Kong Infrastructure Holdings Ltd.
China Overseas Land & Investment Ltd.
China Travel International Investment
Hong Kong Ltd.
Citic Pacific Ltd.
Great Eagle Holdings Ltd.
Hang Lung Development Co., Ltd.
Henderson Land Development Co., Ltd.
Hongkong and Shanghai Hotels Ltd.
Hopewell Holdings Ltd.
Hutchison Whampoa Ltd.
Hysan Development Co., Ltd.
i-CABLE Communications Ltd.
Kerry Properties Ltd.
New Asia Realty & Trust Co. Ltd.
New World Development Co., Ltd.
Shanghai Industrial Holdings Ltd.
Shangri-La Asia Ltd.
Sino Land Co., Ltd.
Tsim Sha Tsui Properties Ltd.
Wharf (Holdings) Ltd.
Wheelock and Co., Ltd.
9,086
4,410
6,500
11,500
7,308
11,843
7,513
5,050
3,959
19,825
4,700
17,334
9,700
54,631
28,100
750
30,787
300,376
104,750
190,894
154,510
87,861
258,080
414,018
184,419
238,712
250,665
510,104
331,498
110,712
932,309
2,029,756
24,009
1,302,057
--------------21,737,866
---------------
8,900
6,840
1,810
11,200
24,460
26,360
19,640
54,639
174,301
191,594
294,137
203,796
341,641
84,689
--------------1,344,797
---------------
100,000
87,000
544,000
737,208
209,700
94,158
110,000
32,000
22,401
174,000
232,000
40,500
107,000
179,000
138,640
20,300
175,109
50,000
450,858
57,000
226,090
655,879
58,253
289,000
320,000
18,898
78,362
34,608
234,240
999,423
24,535
216,066
1,222,066
206,190
7,743
267,164
18,590
332,376
104,869
220,301
365,793
70,205
822,570
385,656
--------------6,670,721
---------------
</Table>
51
<Page>
<Table>
<Caption>
SHARES
VALUE+
----------------------------------------------------------------------------------<S>
<C>
<C>
COMMON STOCKS (CONTINUED)
IRELAND -- 1.7%
Allied Irish Banks Plc
23,598
$
365,920
Bank of Ireland
67,929
906,878
CRH Plc
77,782
1,648,584
Elan Corp. Plc*
58,575
1,446,268
Irish Life & Permanent Plc
34,224
527,356
--------------4,895,006
--------------ITALY -- 3.2%
Alitalia SpA*
Banca Antonveneta SpA
720,000
14,000
205,664
288,032
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Banca Monte dei Paschi di Siena SpA
Banca Nazionale del Lavoro SpA
Banca Popolare di Lodi
Banca Popolare di Milano
Benetton Group SpA
Buzzi Unicem SpA
C.I.R.-Compagnie Industriali Riunite SpA
Caltagirone Editore SpA
Capitalia SpA
Compagnia Assicuratrice Unipol SpA
e.Biscom SpA*
Edison SpA*
ERG SpA
Fiat SpA*
Ifil (Finanziiaria di partecipazioni) SpA
Italcementi SpA
Italmobiliare SpA
Milano Assicurazioni
Pirelli & Co. SpA
SAI SpA
SanPaolo IMI SpA
Societa' Cattolica di Assicurazioni SpA
Telecom Italia SpA
Tiscali SpA*
JAPAN -- 18.8%
Aichi Steel Corp.
Aisin Seiki Co., Ltd.
Amada Co., Ltd.
Anritsu Corp.
Aomori Bank Ltd.
Aoyama Trading Co., Ltd.
Asahi Breweries Ltd.
Asahi Kasei Corp.
Asahi National Broadcasting Co., Ltd.
ASATSU-DK, Inc.
Ashikaga Financial Group, Inc.*(a)(b)
Autobacs Seven Co., Ltd.
Awa Bank Ltd.
Bank of Kyoto Ltd.
Bank of Nagoya Ltd.
Benesse Corp.
Canon Sales Co., Inc.
Casio Computer Co., Ltd.
Chiba Bank Ltd.
Chudenko Corp.
Chugoku Bank Ltd.
Citizen Watch Co.
Coca-Cola West Japan Co., Ltd.
COMSYS Holdings Corp.
Cosmo Oil Co., Ltd.
Dai Nippon Printing Co., Ltd.
Dai-Tokyo Fire and Marine Insurance Co., Ltd.
Daicel Chemical Industries Ltd.
Daido Steel Co., Ltd.
Daihatsu Motor Co., Ltd.
Dainippon Ink and Chemicals, Inc.
Dainippon Pharmaceutical Co., Ltd.
Daishi Bank Ltd.
Daiwa House Industry Co., Ltd.
Denso Corp.
Dowa Fire & Marine Insurance Co., Ltd.
Ebara Corp.
Ezaki Glico Co., Ltd.
Fuji Electric Co., Ltd.
Fuji Heavy Industries Ltd.
Fuji Photo Film
Fujikura Ltd.
Fukuyama Transporting Co., Ltd.
Futaba Industrial Co., Ltd.
Futuba Corp.
General Sekiyu K.K
Glory Ltd.
Gunma Bank Ltd.
GUNZE Ltd.
Hachijuni Bank Ltd.
Hankyu Corp.*
Hankyu Department Stores, Inc.
Hanshin Electric Railway Co., Ltd.
Heiwa Corp.
Higo Bank Ltd.
283,375
256,953
35,500
71,760
21,000
13,000
66,251
20,702
270,000
31,000
2,000
143,555
18,000
92,800
173,000
19,180
4,000
33,000
106,664
23,500
50,709
3,300
183,809
35,000
907,821
597,819
348,102
461,529
240,453
167,062
139,612
163,659
845,239
118,947
109,507
248,657
118,838
777,713
630,086
256,995
190,998
131,043
110,308
524,130
611,509
133,656
572,059
157,318
--------------9,056,756
---------------
15,000
24,200
34,000
10,000
6,000
6,000
45,000
112,000
35
4,600
8,000
3,300
20,000
27,000
18,000
7,100
8,000
16,000
76,000
5,700
20,000
18,000
6,700
9,000
56,000
44,000
68,000
30,000
35,000
38,000
64,000
14,000
29,000
49,000
30,300
33,000
20,000
13,000
60,000
70,000
46,000
37,000
25,000
6,000
1,000
2,000
6,000
43,000
20,000
49,000
59,000
4,000
30,000
9,300
22,000
68,590
503,498
223,879
65,298
24,253
162,147
495,084
578,719
65,938
119,054
73
107,742
124,560
189,638
94,984
232,457
110,769
241,730
464,292
93,049
218,574
203,466
165,440
72,925
161,836
701,376
300,370
157,209
94,426
274,196
163,885
115,232
99,986
567,324
703,846
182,285
97,490
94,280
161,873
391,787
1,438,749
207,764
131,236
103,160
27,345
17,102
88,673
216,288
103,526
324,441
233,097
34,826
95,478
147,140
136,211
$
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Hino Motors Ltd.
Hiroshima Bank Ltd.
Hitachi Cable Ltd.
Hitachi Kokusai Electric, Inc.
Hitachi Ltd.
Hitachi Maxell Ltd.
Hitachi Metals Ltd.
Hokkoku Bank Ltd.
Hokuetsu Paper Mills, Ltd.
Hokugin Financial Group, Inc.
House Foods Corp.
Hyakugo Bank Ltd.
Hyakujushi Bank Ltd.
Ishikawajima-Harima Heavy Industries Co., Ltd.
Itochu Corp.
Itoham Foods, Inc.
Iyo Bank Ltd.
</Table>
8,000
40,000
31,000
9,000
279,000
8,000
28,000
31,000
13,000
79,000
8,000
23,000
21,000
109,000
71,000
13,000
27,000
57,799
214,002
147,140
69,304
1,916,219
123,279
152,362
152,810
72,761
202,295
112,817
146,399
128,291
179,432
318,167
66,222
187,663
52
<Page>
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SHARES
VALUE+
----------------------------------------------------------------------------------<S>
<C>
<C>
COMMON STOCKS (CONTINUED)
JAPAN (CONTINUED)
Japan Airport Terminal Co., Ltd.
2,000
$
21,217
JFE Holdings, Inc.
32,000
782,843
Joyo Bank Ltd.
72,000
319,356
Juroku Bank Ltd.
33,000
138,827
Kagoshima Bank Co., Ltd.
17,000
102,611
Kamigumi Co., Ltd.
24,000
174,055
Kandenko Co., Ltd.
10,000
55,329
Kansai Paint Co., Inc.
12,000
73,090
Katokichi Co., Ltd.
4,500
89,716
Kawasaki Heavy Industries Ltd.
122,000
196,369
Kikkoman Corp.
16,000
136,961
Kinden Corp.
23,000
143,454
Kirin Brewery Co., Ltd.
77,000
759,824
Kissei Pharmaceutical Co., Ltd.
4,000
89,807
Kobe Steel Ltd.
249,000
371,183
Koito Manufacturing Co., Ltd.
14,000
102,684
Kokusai Securities Co., Ltd.
22,000
288,317
Kokuyo Co., Ltd.
11,000
138,424
Komatsu Ltd.
67,000
405,021
Komori Corp.
6,000
98,935
Koyo Seiko Co., Ltd.
10,000
118,432
Kubota Corp.
73,000
387,215
Kuraray Co., Ltd.
32,000
261,338
Kuraya Sanseido, Inc.
11,900
179,352
Kureha Chemical Industry Co., Ltd.
17,000
70,739
Kyorin Pharmaceutical Co., Ltd.
7,000
102,236
Kyowa Hakko Kogyo Co., Ltd.
13,000
93,566
Lion Corp.
11,000
64,283
Makita Corp.
13,000
194,504
Marubeni Corp.
132,000
323,526
Marui Co., Ltd.
30,000
403,311
Maruichi Steel Tube Ltd.
8,000
128,035
Matsushita Electric Industrial Co., Ltd.
161,000
2,280,754
Matsushita Electric Works Ltd.
20,000
181,078
Meiji Seika Kaisha Ltd.
32,000
142,229
Michinoku Bank Ltd.
13,000
74,306
Millea Holdings, Inc.
105
1,555,627
Mitsubishi Gas Chemical Co., Inc.
39,000
161,214
Mitsubishi Heavy Industries Ltd.
300,000
812,108
Mitsubishi Logistics Corp.*
14,000
132,388
Mitsubishi Material Corp.
89,000
199,415
Mitsubishi Motor Corp.*
124,000
201,856
Mitsubishi Rayon Co., Ltd.
9,000
34,899
Mitsui Chemicals, Inc.
46,000
229,695
Mitsui Engineering & Shipbuilding Co., Ltd.
73,000
127,514
Mitsui Trust Holdings, Inc.
50,000
365,815
Mitsumi Electric Co., Ltd.
5,800
66,940
Mizuho Asset Trust & Banking Co., Ltd.
192,000
379,277
Mori Seiki Co., Ltd.
3,000
26,147
Musashino Bank Ltd.
2,800
104,221
Nagase & Co., Ltd.
11,000
100,498
National House Industrial Co., Ltd.
15,000
88,481
NGK Insulators, Ltd.
28,000
225,598
NGK Spark Plug Co., Ltd.
19,000
$
181,929
NHK Spring Co., Ltd.
5,000
31,460
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Nichicon Corp.
Nichirei Corp.
Nihon Unisys Ltd.
Nikko Cordial Corp.
Nippon Broadcasting System, Inc.
Nippon Electric Glass Co., Ltd.
Nippon Kayaku Co., Ltd.
Nippon Meat Packers, Inc.
Nippon Mining Holdings, Inc.
Nippon Mitsubishi Oil Corp.
Nippon Paint Co., Ltd.
Nippon Sanso Corp.
Nippon Sheet Glass Co., Ltd.
Nippon Shinpan Co., Ltd.
Nippon Shokubai Co., Ltd.
Nippon Steel Corp.
Nippon Television Network Corp.
Nipponkoa Insurance Co., Ltd.
Nishi-Nippon Bank Ltd.
Nishimatsu Construction Co., Ltd.
Nisshin Flour Milling Co., Ltd.
Nisshin Steel Co., Ltd.
Nisshinbo Industries, Inc.
Nissho Iwai-Nichimen Holdings Corp.*
NSK Ltd.
NTN Corp.
Obayashi Corp.
Oki Electric Industry Co., Ltd.*
Okumura Corp.
Onward Kashiyama Co., Ltd.
Pioneer Corp.
Q.P. Corp.
Rengo Co., Ltd.
Rinnai Corp.
San-In Godo Bank Ltd.
Santen Pharmaceutical Co., Ltd.
Sanwa Shutter Corp.
Sapporo Breweries Ltd.
Sapporo Hokuyo Holdings, Inc.
Seino Transportation Co., Ltd.
Sekisui Chemical Co., Ltd.
Sekisui House Ltd.
Shiga Bank Ltd.
Shikoku Bank Ltd.
Shima Seiki Mfg., Ltd.
Shimachu Co., Ltd.
Shimadzu Corp.
Shinko Electric Industries Co., Ltd.
Shinko Securities Co., Ltd.
Shohkoh Fund & Co., Ltd.
Showa Shell Sekiyu K.K.
Sumitomo Bakelite Co. Ltd.
Sumitomo Corp.
Sumitomo Electric Industries Ltd.
</Table>
7,300
26,000
9,800
86,000
2,700
9,000
14,000
20,000
66,500
134,000
22,000
9,000
37,000
20,000
9,000
274,000
2,280
6,000
38,000
24,000
19,000
98,000
23,000
13,600
46,000
15,000
60,000
25,000
18,000
15,000
6,300
13,000
20,000
1,100
15,000
2,000
17,000
32,000
32
14,000
45,000
62,000
19,000
6,000
1,000
4,600
9,000
2,000
64,000
920
13,000
18,000
84,000
67,000
98,473
91,307
82,813
416,059
136,056
188,486
76,565
245,827
327,802
841,904
83,698
48,068
146,179
80,113
71,690
573,835
373,241
38,411
174,457
83,625
192,528
198,070
172,692
69,029
228,433
75,724
322,100
100,370
94,490
240,066
162,477
112,351
104,257
33,399
120,993
31,204
90,640
117,061
202,808
144,296
379,030
686,652
103,041
37,807
33,929
124,734
45,928
68,956
235,877
184,261
116,631
125,767
608,423
681,979
53
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<Caption>
SHARES
VALUE+
----------------------------------------------------------------------------------<S>
<C>
<C>
COMMON STOCKS (CONTINUED)
JAPAN (CONTINUED)
Sumitomo Forestry Co., Ltd.
15,000
$
172,024
Sumitomo Metal Industries Ltd.
239,000
281,961
Sumitomo Metal Mining Co.
18,000
117,207
Sumitomo Osaka Cement Co., Ltd.
38,000
104,257
Sumitomo Realty & Development Co., Ltd.
15,000
185,468
Sumitomo Rubber Industries Ltd.
5,000
44,767
Suzuken Co., Ltd.
7,200
223,220
Suzuki Motor Corp.
8,000
140,619
Taiheiyo Cement Corp.
93,000
231,341
Taisei Corp.
63,000
237,377
Taiyo Yuden Co., Ltd.
9,000
126,508
Takara Standard Co., Ltd.
9,000
53,830
Takashimaya Co., Ltd.
26,000
300,078
Takefuji Corp.
13,250
958,503
Teijin Ltd.
77,000
287,311
Teikoku Oil Co., Ltd.
27,000
144,945
The 77 Bank Ltd.
34,000
231,341
The Bank of Fukuoka Ltd.
53,000
313,604
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
The Bank of Iwate Ltd.
The Fuji Fire & Marine Insurance Co.
The Fukui Bank Ltd.
The Fukuoka City Bank Ltd.
The Furukawa Electric Co., Ltd.
The Nanto Bank Ltd.
The Shizuoka Bank Ltd.
The Sumitomo Trust and Banking Co., Ltd.
The Suruga Bank, Ltd.
The Yamanashi Chuo Bank Ltd.
The Yasuda Fire & Marine Insurance Co., Ltd.
The Yokohama Rubber Co., Ltd.
Toda Corp.
Toho Bank Ltd.
Tokuyama Corp.
Tokyo Broadcasting System, Inc.
Tokyo Steel Manufacturing Co., Ltd.
Tokyo Style Co., Ltd.
Tokyo Tatemono Co., Ltd.
Toppan Printing Co., Ltd.
Toray Industries, Inc.
Toshiba Tec Corp.
Tostem Corp.
Toto Ltd.
Toyo Ink Manufacturing Co., Ltd.
Toyo Seikan Kaisha Ltd.
Toyo Suisan Kaisha Ltd.
Toyota Auto Body Co., Ltd.
Toyota Tsusho Corp.
UFJ Tsubasa Securities Co., Ltd.
Uny Co., Ltd.
Victor Company of Japan Ltd.
Wacoal Corp.
Yamagata Bank Ltd.
Yamaguchi Bank Ltd.
Yamaha Corp.
Yamatake Corp.
Yamazaki Baking Co., Ltd.
Yokogawa Electric Corp.
York-Benimaru Co., Ltd.
1,200
41,000
11,000
9,000
59,000
21,000
67,000
81,000
17,000
17,000
69,000
30,000
26,000
18,000
22,000
16,000
12,200
9,000
18,000
62,000
110,000
24,000
26,000
15,000
23,000
18,000
9,000
7,000
23,000
40,000
16,000
9,000
12,000
15,000
18,000
12,000
2,000
19,000
8,000
4,200
58,384
112,488
46,779
28,726
251,443
97,947
590,681
575,582
129,974
103,388
703,599
120,444
106,287
69,468
104,422
280,946
210,874
102,556
102,227
700,261
517,079
108,866
559,971
157,483
90,658
308,491
118,112
111,711
233,481
168,641
204,417
101,733
127,303
$
68,590
193,424
196,442
20,358
186,273
106,452
124,450
--------------53,742,951
---------------
21,800
6,266
366,453
104,719
--------------471,172
---------------
NETHERLANDS -- 4.9%
ABN AMRO Holding NV
Aegon NV
AM NV
Buhrmann NV
DSM NV
Hagemeyer NV
Hunter Douglas NV
IHC Caland NV
ING Groep NV
Koninklijke (Royal) KPN NV
Koninklijke Ahold NV*
Koninklijke Vopak NV
N.V. Holdingmaatschappij De Telegraaf
New Skies Satellites NV
Nutreco Holding NV
Oce NV
Royal Nedlloyd NV
Univar NV
Vedior NV
Versatel Telecom International*
VNU NV
43,289
276,388
16,739
24,467
19,339
88,169
8,935
2,855
56,066
224,511
249,832
4,566
800
20,300
6,081
15,619
4,855
2,200
14,459
83,108
45,636
948,091
3,336,381
157,001
243,492
950,047
186,874
435,349
132,951
1,324,903
1,711,964
1,962,865
75,363
17,882
158,750
200,737
253,039
166,180
38,321
210,998
161,974
1,326,914
--------------14,000,076
---------------
NEW ZEALAND -- 0.2%
Auckland International Airport Ltd.
Carter Holt Harvey Ltd.
24,915
292,800
106,214
383,355
--------------489,569
---------------
LUXEMBOURG -- 0.2%
Arcelor
Arcelor, New
NORWAY -- 0.8%
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Aker Kvaerner ASA
Aker Yards ASA*
Den Norske Bank ASA
Norsk Hydro ASA
Norske Skogindustrier ASA
Storebrand ASA
Telenor ASA
Yara International ASA*
3,773
2,326
77,500
11,780
23,200
28,100
19,823
1,800
69,680
32,217
528,900
765,686
413,395
192,174
137,856
14,544
--------------2,154,452
---------------
PORTUGAL -- 0.4%
Banco BPI SA
Banco Comercial Portugues SA
</Table>
44,492
44,789
162,587
104,750
54
<Page>
<Table>
<Caption>
SHARES
VALUE+
----------------------------------------------------------------------------------<S>
<C>
<C>
COMMON STOCKS (CONTINUED)
PORTUGAL (CONTINUED)
Banco Espirito Santo SA
26,382
$
438,012
Cimpor- Cimentos de Portugal SGPS SA
29,000
141,300
Portucel -- Empresa Produtora de Pasta e Papel SA
143,000
257,799
--------------1,104,448
--------------SINGAPORE -- 1.0%
DBS Group Holdings Ltd.
Fraser & Neave Ltd.
Haw Par Corp., Ltd.
Keppel Corporation Ltd.
Neptune Orient Lines Ltd.
Oversea-Chinese Banking Corp., Ltd.
SembCorp Industries Ltd.
Singapore Airlines Ltd.
Singapore Land Ltd.
United Overseas Bank Ltd.
United Overseas Land Ltd.
SPAIN -- 3.6%
Acerinox SA
ACS, Actividades de Construccion y Servicios SA
Antena 3 Television SA*
Autopistas, Concesionaria Espanola SA
Azucarera Ebro Agricolas SA
Banco Bilbao Vizcaya Argentaria SA
Banco de Andalucia
Banco De Sabadell SA
Banco Pastor SA
Banco Santander Central Hispano SA
Cementos Portland SA
Corporacion Mapfre
Endesa SA
Fomento de Construcciones y Contratas SA
Gas Natural SDG SA
Iberia Lineas Aereas de Espana SA
Inmobiliaria Colonial SA
Inmobiliaria Urbis SA
Metrovacesa SA
Red Electrica de Espana
Repsol-YPF SA
Sociedad General de Aguas de Barcelona SA,
Class A
Sol Melia SA
Telefonica SA
Vallehermoso SA
SWEDEN -- 3.1%
Ainax AB*
Billerud
52,000
30,300
817
134,000
97,000
20,000
104,000
153,000
15,000
20,000
62,000
435,020
246,442
2,421
548,829
132,993
140,591
80,962
995,527
38,517
155,696
83,925
--------------2,860,923
---------------
7,900
2,910
34
38,049
18,600
15,900
1,700
30,438
5,642
24,715
5,187
27,950
51,974
6,200
15,200
179,152
6,100
13,900
2,430
2,800
148,945
450,259
49,094
1,802
663,696
223,168
212,658
145,368
659,962
171,057
256,798
306,753
342,842
1,002,822
230,041
364,563
515,011
156,039
153,569
93,121
47,681
3,265,737
26,580
22,542
10,091
14,200
453,279
202,918
149,346
194,591
--------------10,312,175
---------------
3,670
3,781
120,692
61,794
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Bostadssktiebolaget Drott
Castellum AB
Drott AB, Series B
Electrolux AB, Series B
Gambro AB, Series A
Gambro AB, Series B
Industriforvaltnings AB Kinnevik, Series B
Mo Och Domsjoe AB (MoDo), Series B
NCC AB
Nordea AB
Nordic Baltic Holding AB
Skandia Forsakrings AB
Skandinaviska Enskilda Banken AB, Series A
SKF AB, Series A
SKF AB, Series B
SSAB Svenskt Stal AB, Series A
SSAB Svenskt Stal AB, Series B
Svenska Cellulosa AB (SCA), Series B
Tele2 AB, Series B
TeliaSonera AB
Trelleborg AB, Series B
Volvo AB, Series A
Volvo AB, Series B
Wihlborgs Fastigheter AB
SWITZERLAND -- 7.6%
Baloise Holdings Ltd.
Bank Sarasin & Cie AG
Banque Cantonale Vaudoise
Berner Kantonalbank
Ciba Specialty Chemicals AG*
Compagnie Financiere Richemont AG
Compagnie vaudoise d'electricite (CVE)
Converium Holding AG
Credit Suisse Group
Ems-Chemie Holding AG
Georg Fischer AG*
Givaudan SA
Helvetia Patria Holding
Holcim Ltd.
Kuoni Reisen Holding AG, Series B
Lonza Group AG
Luzerner Kantonalbank
PSP Swiss Property AG
Rieter Holding AG
SIG Holding AG
Sika AG
St. Galler Kantonalbank
Swatch Group AG, Series B
Swiss Life Holding*
Swiss Re
Syngenta AG
Unaxis Holding AG
Valiant Holding
Valora Holding AG
Zurich Financial Services*
1,675
1,400
12,300
21,200
42,500
12,100
4,500
11,600
6,900
152,100
5,716
94,100
23,800
1,600
2,900
11,400
3,500
31,200
2,300
271,500
11,300
17,900
39,000
1,700
33,496
33,670
$
160,165
407,042
412,237
116,563
147,389
336,008
64,636
1,096,389
41,124
390,104
344,698
58,889
106,544
192,373
56,969
1,185,650
100,850
1,150,791
195,190
600,552
1,357,693
22,419
--------------8,793,927
---------------
16,000
70
1,400
3,000
11,800
101,600
180
5,900
78,980
1,900
120
1,380
1,240
33,577
200
2,100
700
10,400
430
3,300
310
1,700
1,700
7,093
21,200
20,200
1,800
2,700
1,420
23,900
695,263
107,357
128,605
357,656
850,196
2,653,822
150,970
307,041
2,807,421
158,978
27,750
799,185
219,394
1,826,499
86,109
106,434
111,830
377,985
114,035
597,052
170,613
355,779
221,344
990,096
1,377,602
1,694,225
202,732
223,221
327,239
3,775,242
--------------21,821,675
---------------
</Table>
55
<Page>
<Table>
<Caption>
SHARES
VALUE+
----------------------------------------------------------------------------------<S>
<C>
<C>
COMMON STOCKS (CONTINUED)
UNITED KINGDOM -- 22.1%
Abbey National Plc
224,451
$
2,088,453
Aggregate Industries Plc
187,114
278,160
Alliance & Leicester Group Treasury Plc
20,000
306,562
Allied Domecq Plc
12,800
109,180
Amvescap Plc
104,200
710,280
Arriva Plc
19,049
142,280
Associated British Foods Plc
115,460
1,323,934
Associates British Ports Holdings Plc
43,400
318,064
BAA Plc
156,215
1,567,525
BAE Systems Plc
458,443
1,822,213
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Barratt Developments Plc
BBA Group Plc
Bellway Plc
Berkeley Group Plc
Big Food Group Plc
Bodycote International Plc
Bovis Homes Group Plc
BPB Plc
Brambles Industries Plc
Britannic Plc
British Airways Plc*
British Land Company Plc
British Vita Plc
Brixton Estate Plc
BT Group Plc
Cable & Wireless Plc
Caradon Plc
Carnival Plc
Celltech Group Plc*
CGU Plc
COLT Telecom Group Plc*
Corus Group Plc*
De Vere Group Plc
Derwent Valley Holdings Plc
Dixons Group Plc
DS Smith Plc
Duelguide Plc*(b)
easyJet Plc*
F.I. Group Plc
FKI Plc
Friends Provident Plc
Galen Holdings Plc
George Wimpey Plc
GKN Plc
Glynwed International Plc
Great Portland Estates Plc
Great Universal Stores Plc
Greene King Plc
Hammerson Plc
Hanson Plc
HBOS Plc
HHG Plc*
Hilton Group Plc
IMI Plc
InterContinental Hotels Group Plc
International Power Plc*
Invensys Plc*
ITV Plc
ITV Plc, Convertible*
J Sainsbury Plc
Kesa Electricals Plc
Kingfisher Plc
Land Securities Group Plc
Lex Service Plc
Liberty International Plc
Logica Plc
London Merchant Securities Plc
Luminar Plc
Marks & Spencer Group Plc
Mersey Docks & Harbour Co.
Millennium & Copthorne Hotels Plc
Mitchells & Butlers Plc
mm02 Plc*
National Express Group Plc
Northern Foods Plc
Northern Rock Plc
Pearson Plc
Peninsular and Oriental Steam Navigation Co.
Persimmon Plc
Pilkington Plc
Pillar Property Plc
Premier Oil Plc*
Quintain Estates & Development Plc
Rank Group Plc
RMC Group Plc
Rolls-Royce Group Plc
Royal & Sun Alliance Insurance Group Plc
Royal Bank of Scotland Group Plc
SABMiller Plc
Schroders Plc
Scottish & Newcastle Plc
Scottish Power Plc
Shire Pharmaceuticals Group Plc*
Signet Group Plc
34,875
54,587
12,000
18,840
50,094
5,475
16,000
14,200
81,000
27,300
158,000
73,240
28,386
32,600
520,439
329,112
8,651
7,285
23,000
322,649
220,000
616,366
16,674
7,337
151,546
56,526
2,832
57,000
18,565
76,668
251,489
14,000
51,822
97,483
5,000
29,651
30,861
10,413
40,357
107,597
68,503
194,598
239,113
10,000
107,829
163,100
125,716
392,293
11,165
303,420
25,883
296,423
17,966
8,500
48,304
30,030
35,567
6,000
140,715
11,402
41,726
69,152
1,265,000
13,000
10,000
5,000
106,479
108,322
37,740
154,477
15,850
11,224
17,000
27,850
38,000
237,042
429,888
2,843
145,942
28,000
134,688
274,587
69,702
23,865
$
372,711
269,668
165,337
422,669
93,540
15,633
152,864
105,225
312,780
182,750
789,138
920,808
132,255
171,392
1,872,857
774,150
19,291
353,683
228,915
3,328,256
320,068
444,171
133,005
115,322
454,004
166,011
26
164,820
27,430
170,612
669,070
176,395
346,669
442,701
20,304
138,686
473,040
191,609
509,582
739,775
847,592
160,965
1,196,429
67,349
1,138,690
415,436
41,024
821,423
12,549
1,566,326
135,726
1,538,266
377,493
109,409
666,411
99,628
111,549
44,869
925,384
141,388
257,193
349,144
2,127,054
158,846
30,638
65,582
1,293,341
432,030
432,407
273,050
166,947
112,524
137,762
151,468
418,164
1,081,855
642,959
81,847
1,887,767
311,166
1,060,335
1,984,974
608,437
49,538
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Singer & Friedlander Group Plc
Slough Estates Plc
Smith W.H. Plc
Somerfield Plc
Stagecoach Holdings Plc
Stanley Leisure Plc
Tate & Lyle Plc
Taylor Woodrow Plc
Thus Group Plc*
Trinity Mirror Plc
Uniq Plc
United Business Media Plc
Vodafone Group Plc
Westbury Plc
</Table>
25,157
61,006
33,000
72,374
195,352
18,593
70,423
85,291
196,897
42,590
2,050
24,000
3,974,639
16,666
106,265
496,308
189,049
203,699
316,968
141,149
421,311
397,384
92,808
501,875
6,021
220,594
8,700,796
130,448
56
<Page>
<Table>
<Caption>
SHARES
VALUE+
----------------------------------------------------------------------------------<S>
<C>
<C>
COMMON STOCKS (CONTINUED)
UNITED KINGDOM (CONTINUED)
Whitbread Plc
44,115
$
657,804
William Morrison Supermarkets Plc
116,366
488,900
Wilson Bowden Plc
13,000
246,990
Wincanton Plc
2,050
8,827
Wolverhampton & Dudley Breweries Plc
9,700
152,463
Woolworths Group Plc
186,497
155,526
--------------63,221,992
--------------UNITED STATES -- 0.1%
Zimmer Holdings, Inc.*
4,232
TOTAL COMMON STOCKS
(Identified Cost $219,080,706)
WARRANTS -- 0.0%
FRANCE -- 0.0%
Air France, expires 06/11/07*
Rallye SA, expires 11/30/05*
HONG KONG -- 0.0%
China Travel International Investment,
expires 05/31/06*
ITALY -- 0.0%
Fiat SpA, expires 01/31/07*
279,806,698
---------------
7,600
1,100
9,998
295
--------------10,293
---------------
22,000
649
---------------
4,800
1,111
---------------
TOTAL WARRANTS
(Identified Cost $9,435)
SHORT-TERM INVESTMENTS -- 1.4%
UNITED STATES -- 1.4%
SSgA Government Money Market Fund
SSgA Money Market Fund
TOTAL SHORT-TERM INVESTMENTS
(Identified Cost $4,050,527)
TOTAL INVESTMENTS -- 99.3%
(IDENTIFIED COST $223,168,467)#
Cash and Other Assets,
Less Liabilities -- 0.7%
NET ASSETS -- 100%
373,262
---------------
12,053
---------------
1,586
4,048,941
1,586
4,048,941
--------------4,050,527
--------------4,050,527
--------------283,896,838
2,005,513
--------------$
285,902,351
===============
</Table>
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
+
*
#
(a)
(b)
See Note 1.
Non-income producing security
At June 30, 2004, the aggregate cost of investment securities for income
tax purposes was $223,213,328. Net unrealized appreciation aggregated
$60,683,510 of which $63,402,295 related to appreciated investment
securities and $2,718,785 related to depreciated investment securities.
Bankrupt/delisted security.
Securities were valued at fair value. See Note 1 to Financial Statements.
Total market value of such investments amounted to $27,659, which
represented 0.01% of net assets.
Ten Largest Sector Holdings at June 30, 2004
(As a percentage of Net Assets):
<Table>
<Caption>
INDUSTRY
-------<S>
Banks/Savings & Loans
Insurance
Telecommunications
Financial Services
Building & Construction
Diversified Operations
Auto & Related
Chemicals
Oil & Gas
Food & Beverages
</Table>
PERCENTAGE
---------<C>
10.5%
9.2%
7.3%
7.2%
6.6%
4.0%
3.3%
3.1%
3.0%
2.9%
SEE NOTES TO FINANCIAL STATEMENTS.
57
<Page>
SA International Small Company Fund
PORTFOLIO OF INVESTMENTS -- AS OF JUNE 30, 2004
<Table>
<Caption>
SHARES
VALUE+
----------------------------------------------------------------------------------<S>
<C>
<C>
MUTUAL FUNDS -- 99.9%
OTHER -- 99.9%
DFA International Small Company
Portfolio
7,911,675
$
101,823,258
--------------TOTAL MUTUAL FUNDS
(Identified Cost $69,403,451)
101,823,258
--------------SHORT-TERM INVESTMENTS -- 0.0%
OTHER -- 0.0%
SSgA Government Money Market Fund
SSgA Money Market Fund
2
2
TOTAL SHORT-TERM INVESTMENTS
(Identified Cost $4)
2
2
--------------4
---------------
TOTAL INVESTMENTS -- 99.9%
(IDENTIFIED COST $69,403,455)#
Cash and Other Assets,
Less Liabilities -- 0.1%
101,823,262
65,738
--------------$
101,889,000
===============
NET ASSETS-- 100%
</Table>
+ See Note 1.
# At June 30, 2004, the aggregate cost of investment securities for income
tax purposes was $70,610,865. Net unrealized appreciation aggregated
$31,212,397, which related solely to appreciated investment securities.
SEE NOTES TO FINANCIAL STATEMENTS.
58
<Page>
(This page has been left blank intentionally.)
<Page>
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
STATEMENTS OF ASSETS & LIABILITIES -- JUNE 30, 2004
<Table>
<Caption>
SA
SA
FIXED INCOME
U.S. MARKET
FUND
FUND
-----------------------------------------------------------------------------------------<S>
<C>
<C>
ASSETS
Investments in securities, at market
$
273,032,385
$
285,887,261
Short-term investments (at amortized cost)
1,877,210
2,910,795
Cash
307
335
Foreign currency
7
-Receivable for investments sold
7,941,671
-Dividends and interest receivable
3,944,154
282,726
Receivable for fund shares sold
938,884
844,724
Receivable due from the Manager (Note 2)
77,846
23,202
Receivable for tax reclaims
--Prepaid expenses
113
227
------------------------------TOTAL ASSETS
287,812,577
289,949,270
------------------------------LIABILITIES
Payable for investments purchased
Payable for fund shares redeemed
Unrealized depreciation on forward foreign
currency exchange contract (Note 1)
Advisory fees payable (Note 2)
Sub-Advisory fees payable (Note 2)
Administration fee payable (Note 2)
Trustees' fees payable (Note 2)
Shareholder servicing fee payable (Note 2)
Accrued expenses and other liabilities
TOTAL LIABILITIES
NET ASSETS
NET ASSETS CONSIST OF:
Capital paid in
Undistributed net investment income
Accumulated net realized gain/(loss)
Net unrealized appreciation/(depreciation) on:
Investments
Foreign currency translations
NET ASSETS
SHARES OF BENEFICIAL INTEREST OUTSTANDING
NET ASSET VALUE PER SHARE
IDENTIFIED COST OF INVESTMENTS
COST OF FOREIGN CURRENCY
</Table>
7,900,099
13,320
-143,060
69,725
146,633
42,862
46,682
1,639
7,529
109,757
---------------8,338,246
----------------
-150,470
11,575
47,305
1,639
7,872
114,091
---------------476,012
----------------
$
279,474,331
================
$
289,473,258
================
$
$
285,225,110
33,522
(470,246)
269,361,718
432,561
(7,723,502)
(5,244,727)
(69,328)
----------------
27,402,481
-----------------
$
279,474,331
================
$
289,473,258
================
$
27,682,657
10.10
$
$
280,154,322
7
$
$
28,602,241
10.12
261,395,575
--
SEE NOTES TO FINANCIAL STATEMENTS.
60
<Page>
<Table>
<Caption>
SA
SA U.S.
SA INTERNATIONAL
U.S. HBtM
SMALL COMPANY
SA INTERNATIONAL
SMALL COMPANY
FUND
FUND
HBtM FUND
FUND
-------------------------------------------------------------------------------------------------------------------------------<S>
<C>
<C>
<C>
<C>
ASSETS
Investments in securities, at market
$
162,516,129
$
140,976,712
$
279,846,311
$
101,823,258
Short-term investments (at amortized cost)
2,566,788
2,922,992
4,050,527
4
Cash
107
98,269
988
1
Foreign currency
--2,302,982
-Receivable for investments sold
-167,413
921,188
-Dividends and interest receivable
180,620
66,136
467,993
-Receivable for fund shares sold
351,014
362,403
791,493
241,244
Receivable due from the Manager (Note 2)
34,786
38,463
16,498
-Receivable for tax reclaims
--150,142
-Prepaid expenses
227
227
227
227
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
TOTAL ASSETS
LIABILITIES
Payable for investments purchased
Payable for fund shares redeemed
Unrealized depreciation on forward foreign
currency exchange contract (Note 1)
Advisory fees payable (Note 2)
Sub-Advisory fees payable (Note 2)
Administration fee payable (Note 2)
Trustees' fees payable (Note 2)
Shareholder servicing fee payable (Note 2)
Accrued expenses and other liabilities
TOTAL LIABILITIES
NET ASSETS
NET ASSETS CONSIST OF:
Capital paid in
Undistributed net investment income
Accumulated net realized gain/(loss)
Net unrealized appreciation/(depreciation) on:
Investments
Foreign currency translations
NET ASSETS
SHARES OF BENEFICIAL INTEREST OUTSTANDING
NET ASSET VALUE PER SHARE
IDENTIFIED COST OF INVESTMENTS
COST OF FOREIGN CURRENCY
</Table>
---------------165,649,671
----------------
---------------144,632,615
----------------
---------------288,548,349
----------------
---------------102,064,734
----------------
820,578
40,672
1,299,343
72,268
2,135,634
104,337
-28,021
-85,087
35,343
26,836
1,639
7,572
76,790
---------------1,094,517
----------------
-72,624
42,457
23,061
1,639
7,548
81,488
---------------1,600,428
----------------
-147,545
86,257
46,385
1,639
7,961
116,240
---------------2,645,998
----------------
-63,100
-16,661
1,640
7,506
58,806
---------------175,734
----------------
$
164,555,154
================
$
143,032,187
================
$
285,902,351
================
$
101,889,000
================
$
$
$
$
142,744,356
187,289
(978,730)
110,835,949
-(2,209,414)
34,405,652
-----------------
60,728,371
20,838
----------------
32,419,807
-----------------
$
164,555,154
================
$
143,032,187
================
$
285,902,351
================
$
101,889,000
================
$
15,254,549
10.79
142,480,678
--
$
$
8,804,916
16.24
$
25,579,980
11.18
109,494,052
--
$
$
223,168,467
2,282,176
61
<Page>
STATEMENTS OF OPERATIONS -- YEAR ENDED JUNE 30, 2004
<Table>
<Caption>
SA
SA
FIXED INCOME
U.S. MARKET
FUND
FUND
-----------------------------------------------------------------------------------------<S>
<C>
<C>
INVESTMENT INCOME
INCOME:
Dividends
$
-$
3,585,868
Interest
7,470,071
22,356
Less: Taxes witheld
-(157)
-------------------------------
EXPENSES:
Advisory fees (Note 2)
Sub-Advisory fee (Note 2)
Shareholder servicing fees (Note 2)
Administration fees (Note 2)
Deferred expense reimbursement (Note 2)
Sub-Administration fees (Note 2)
Trustees' fees and expenses (Note 2)
Custody and accounting fees (Note 2)
Transfer agent fees
Professional fees
Registration fees
Other expenses
TOTAL EXPENSES BEFORE WAIVERS AND REIMBURSEMENTS:
Less: Fee waiver by Advisor
Fee waiver by Sub-Advisor
Expense offsets and other waivers
NET EXPENSES
69,942,684
587,466
(1,060,957)
22,602,239
-----------------
$
TOTAL INCOME
230,316,993
1,968,766
(7,132,617)
7,470,071
----------------
3,608,067
----------------
1,459,860
426,728
561,485
224,594
-93,434
10,879
90,975
42,612
48,550
36,464
21,436
----------------
1,461,337
112,410
562,053
224,821
-93,428
10,879
179,807
43,962
48,614
30,253
19,996
----------------
3,017,017
(559,158)
(191,088)
(20,833)
----------------
2,787,560
(288,310)
(50,349)
(20,833)
----------------
2,245,938
----------------
2,428,068
----------------
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
$
$
7,222,177
14.11
69,403,455
--
NET INVESTMENT INCOME (LOSS)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
REALIZED GAIN (LOSS) ON:
Investments
Foreign currency transactions
Distributions from other Registered Investment
Companies
INCREASE (DECREASE) IN UNREALIZED APPRECIATION/
DEPRECIATION ON:
Investments
Foreign currency translations
Net realized and unrealized gain (loss) on
investments and change in unrealized
appreciation (depreciation)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS
5,224,133
----------------
1,179,999
----------------
1,580,302
203,637
333,009
17
--
110,936
(11,033,826)
(88,081)
----------------
34,191,245
-----------------
(9,337,968)
----------------
34,635,207
----------------
$
(4,113,835)
================
$
35,815,206
================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
62
<Page>
<Table>
<Caption>
SA
SA U.S.
SA INTERNATIONAL
U.S. HBtM
SMALL COMPANY
SA INTERNATIONAL
SMALL COMPANY
FUND
FUND
HBtM FUND
FUND
---------------------------------------------------------------------------------------------------------------------------------<S>
<C>
<C>
<C>
<C>
INVESTMENT INCOME
INCOME:
Dividends
$
1,835,058
$
922,811
$
6,098,255
$
2,080,936
Interest
15,160
12,705
43,781
-Less: Taxes witheld
(751)
(14)
(665,862)
-------------------------------------------------------------TOTAL INCOME
EXPENSES:
Advisory fees (Note 2)
Sub-Advisory fee (Note 2)
Shareholder servicing fees (Note 2)
Administration fees (Note 2)
Deferred expense reimbursement (Note 2)
Sub-Administration fees (Note 2)
Trustees' fees and expenses (Note 2)
Custody and accounting fees (Note 2)
Transfer agent fees
Professional fees
Registration fees
Other expenses
TOTAL EXPENSES BEFORE WAIVERS AND REIMBURSEMENTS:
Less: Fee waiver by Advisor
Fee waiver by Sub-Advisor
Expense offsets and other waivers
NET EXPENSES
NET INVESTMENT INCOME (LOSS)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
REALIZED GAIN (LOSS) ON:
Investments
Foreign currency transactions
Distributions from other Registered Investment
Companies
INCREASE (DECREASE) IN UNREALIZED
APPRECIATION/DEPRECIATION ON:
Investments
Foreign currency translations
1,849,467
----------------
935,502
----------------
5,476,174
----------------
2,080,936
----------------
811,656
337,149
312,175
124,870
-72,463
10,879
78,020
43,128
48,551
25,669
17,895
----------------
719,893
420,860
276,882
110,753
-68,895
10,879
190,479
43,103
48,550
22,928
15,583
----------------
1,441,607
842,785
554,464
221,786
265,139
92,592
10,879
225,877
44,150
46,134
26,539
19,700
----------------
514,299
-197,807
79,123
3,766
62,556
10,879
39,794
42,688
46,279
19,682
16,733
----------------
1,882,455
(299,575)
(151,015)
(20,833)
----------------
1,928,805
(301,827)
(188,511)
(20,833)
----------------
3,791,652
-(377,499)
(20,833)
----------------
1,033,606
--(20,833)
----------------
1,411,032
----------------
1,417,634
----------------
3,393,320
----------------
1,012,773
----------------
438,435
----------------
(482,132)
----------------
2,082,854
----------------
1,068,163
----------------
2,493,283
92
4,457,130
--
--
--
--
--
21,983,739
-----------------
24,643,939
-----------------
53,299,376
19,534
----------------
24,358,504
-----------------
Net realized and unrealized gain (loss) on
investments and change in unrealized
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
9,565,817
(10,052)
1,486,114
--
appreciation (depreciation)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS
24,477,114
----------------
29,101,069
----------------
62,874,675
----------------
25,844,618
----------------
$
24,915,549
================
$
28,618,937
================
$
64,957,529
================
$
26,912,781
================
</Table>
63
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
SA FIXED INCOME FUND
----------------------------------YEAR ENDED
YEAR ENDED
6/30/2004
6/30/2003
-----------------------------------------------------------------------------------------<S>
<C>
<C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income
$
5,224,133
$
4,460,597
Net realized gain (loss) on investments and
foreign currency transactions
1,783,939
5,751,630
Net increase (decrease) in unrealized
appreciation (depreciation)
(11,121,907)
3,552,001
------------------------------Net increase (decrease) from operations
(4,113,835)
13,764,228
------------------------------DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
(6,002,605)
(3,694,430)
Net realized gains
(7,016,590)
(884,410)
------------------------------TOTAL DISTRIBUTIONS
(13,019,195)
(4,578,840)
------------------------------SHARE TRANSACTIONS
Proceeds from sales of shares
152,836,926
96,600,299
Value of distributions reinvested
8,817,716
3,354,989
Cost of shares redeemed
(44,106,666)
(46,103,702)
------------------------------TOTAL SHARE TRANSACTIONS
117,547,976
53,851,586
------------------------------TOTAL INCREASE IN NET ASSETS
100,414,946
63,036,974
NET ASSETS
Beginning of Period
End of Period
UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT
INCOME, END OF PERIOD
CAPITAL SHARE TRANSACTIONS
Shares sold by subscription
Issued for distributions reinvested
Shares redeemed
179,059,385
---------------$
279,474,331
================
116,022,411
---------------$
179,059,385
================
$
$
33,522
14,621,743
857,120
(4,214,362)
---------------11,264,501
================
Net increase in fund shares
(35)
9,055,986
313,715
(4,311,516)
---------------5,058,185
================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
64
<Page>
<Table>
<Caption>
SA U.S. MARKET FUND
SA U.S. HBtM FUND
---------------------------------------------------------------------YEAR ENDED
YEAR ENDED
YEAR ENDED
YEAR ENDED
6/30/2004
6/30/2003
6/30/2004
6/30/2003
---------------------------------------------------------------------------------------------------------------------------------<S>
<C>
<C>
<C>
<C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income
$
1,179,999
$
810,125
$
438,435
$
305,142
Net realized gain (loss) on investments and
foreign currency transactions
443,962
(2,046,904)
2,493,375
(2,053,293)
Net increase (decrease) in unrealized
appreciation (depreciation)
34,191,245
6,194,276
21,983,739
5,346,832
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Net increase (decrease) from operations
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Net realized gains
TOTAL DISTRIBUTIONS
SHARE TRANSACTIONS
Proceeds from sales of shares
Value of distributions reinvested
Cost of shares redeemed
TOTAL SHARE TRANSACTIONS
TOTAL INCREASE IN NET ASSETS
NET ASSETS
Beginning of Period
End of Period
UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT
INCOME, END OF PERIOD
CAPITAL SHARE TRANSACTIONS
Shares sold by subscription
Issued for distributions reinvested
Shares redeemed
---------------35,815,206
----------------
---------------4,957,497
----------------
---------------24,915,549
----------------
---------------3,598,681
----------------
(1,153,538)
----------------(1,153,538)
----------------
(590,344)
----------------(590,344)
----------------
(413,852)
----------------(413,852)
----------------
(181,441)
----------------(181,441)
----------------
124,197,121
794,363
(30,749,207)
---------------94,242,277
---------------128,903,945
78,478,697
445,631
(30,774,853)
---------------48,149,475
---------------52,516,628
70,539,416
296,345
(19,334,268)
---------------51,501,493
---------------76,003,190
46,140,184
143,792
(18,813,453)
---------------27,470,523
---------------30,887,763
160,569,313
---------------$
289,473,258
================
108,052,685
---------------$
160,569,313
================
88,551,964
---------------$
164,555,154
================
57,664,201
---------------$
88,551,964
================
$
$
$
$
432,561
12,910,840
82,062
(3,200,815)
---------------9,792,087
================
Net increase in fund shares
406,083
10,148,251
58,559
(4,003,582)
---------------6,203,228
================
</Table>
65
<Page>
<Table>
<Caption>
SA U.S. SMALL COMPANY
----------------------------------YEAR ENDED
YEAR ENDED
6/30/2004
6/30/2003
-----------------------------------------------------------------------------------------<S>
<C>
<C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss)
$
(482,132) $
(212,839)
Net realized gain (loss) on investments and
foreign currency transactions
4,457,130
(2,489,047)
Net increase (decrease) in unrealized
appreciation (depreciation)
24,643,939
5,288,388
------------------------------Net increase (decrease) from operations
28,618,937
2,586,502
------------------------------DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
--Net realized gains
--------------------------------TOTAL DISTRIBUTIONS
--------------------------------SHARE TRANSACTIONS
Proceeds from sales of shares
55,183,019
32,029,600
Value of distributions reinvested
--Cost of shares redeemed
(16,919,753)
(12,320,336)
------------------------------TOTAL SHARE TRANSACTIONS
38,263,266
19,709,264
------------------------------TOTAL INCREASE IN NET ASSETS
66,882,203
22,295,766
NET ASSETS
Beginning of Period
End of Period
UNDISTRIBUTED NET INVESTMENT INCOME, END OF PERIOD
CAPITAL SHARE TRANSACTIONS
Shares sold by subscription
Issued for distributions reinvested
Shares redeemed
76,149,984
---------------$
143,032,187
================
53,854,218
---------------$
76,149,984
================
$
$
--
3,665,977
-(1,130,095)
----------------
--
3,071,518
-(1,201,512)
----------------
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
187,289
6,990,572
29,111
(1,940,365)
---------------5,079,318
================
162,614
6,031,389
18,870
(2,461,777)
---------------3,588,482
================
Net increase in fund shares
2,535,882
================
1,870,006
================
</Table>
SEE NOTE TO FINANCIAL STATEMENTS.
66
<Page>
<Table>
<Caption>
SA INTERNATIONAL HBtM FUND
SA INTERNATIONAL SMALL COMPANY FUND
---------------------------------------------------------------------YEAR ENDED
YEAR ENDED
YEAR ENDED
YEAR ENDED
6/30/2004
6/30/2003
6/30/2004
6/30/2003
---------------------------------------------------------------------------------------------------------------------------------<S>
<C>
<C>
<C>
<C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss)
$
2,082,854
$
1,479,685
$
1,068,163
$
195,122
Net realized gain (loss) on investments and
foreign currency transactions
9,555,765
(13,381,688)
1,486,114
(1,116,898)
Net increase (decrease) in unrealized
appreciation (depreciation)
53,318,910
11,565,147
24,358,504
6,414,067
------------------------------------------------------------Net increase (decrease) from operations
64,957,529
(336,856)
26,912,781
5,492,291
------------------------------------------------------------DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
(1,980,137)
(718,941)
(506,706)
(223,401)
Net realized gains
----------------------------------------------------------------TOTAL DISTRIBUTIONS
(1,980,137)
(718,941)
(506,706)
(223,401)
------------------------------------------------------------SHARE TRANSACTIONS
Proceeds from sales of shares
113,736,865
94,511,358
41,578,850
42,332,764
Value of distributions reinvested
1,387,833
569,260
367,109
180,162
Cost of shares redeemed
(47,091,570)
(63,348,445)
(20,929,059)
(32,609,260)
------------------------------------------------------------TOTAL SHARE TRANSACTIONS
68,033,128
31,732,173
21,016,900
9,903,666
------------------------------------------------------------TOTAL INCREASE IN NET ASSETS
131,010,520
30,676,376
47,422,975
15,172,556
NET ASSETS
Beginning of Period
End of Period
UNDISTRIBUTED NET INVESTMENT INCOME, END OF PERIOD
CAPITAL SHARE TRANSACTIONS
Shares sold by subscription
Issued for distributions reinvested
Shares redeemed
154,891,831
---------------$
285,902,351
================
124,215,455
---------------$
154,891,831
================
54,466,025
---------------$
101,889,000
================
39,293,469
---------------$
54,466,025
================
$
$
$
$
1,968,766
11,253,001
136,463
(4,720,210)
---------------6,669,254
================
Net increase in fund shares
1,606,295
12,976,779
80,746
(8,697,369)
---------------4,360,156
================
587,466
3,399,455
30,239
(1,735,358)
---------------1,694,336
================
</Table>
67
<Page>
FINANCIAL HIGHLIGHTS
<Table>
<Caption>
SA FIXED
INCOME FUND
------------------------------------------------YEAR ENDED
YEAR ENDED
YEAR ENDED
JUNE 30, 2004
JUNE 30, 2003
JUNE 30, 2002
----------------------------------------------------------------------------------------------------------<S>
<C>
<C>
<C>
Net Asset Value, Beginning of Period
$
10.91
$
10.21
$
9.87
------------------------------------INCOME FROM INVESTMENT OPERATIONS:
Net investment income
Net realized and unrealized gain (loss)
on investments
Total from investment operations
0.24
(0.44)
------------(0.20)
-------------
0.31
0.30
0.72
------------1.03
-------------
0.34
------------0.64
-------------
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
26,009
5,094,689
23,068
(3,880,114)
---------------1,237,643
================
LESS DISTRIBUTIONS:
Dividends from net investment income
Distributions from capital gains
Total distributions
Net asset value, end of period
Total return (1)
Net assets, end of period (000s)
Ratio of net expenses to average net assets (2)
Ratio of gross expenses to average net assets (2)(3)
Ratio of net investment income to average
net assets (2)
Portfolio turnover rate (1)
(0.27)
(0.34)
------------(0.61)
-------------
(0.26)
(0.07)
------------(0.33)
-------------
(0.28)
(0.02)
------------(0.30)
-------------
$
10.10
=============
$
10.91
=============
$
10.21
=============
$
(1.88)%
279,474
1.00%
1.34%
$
2.33%
83%
Without giving effect to the voluntary expense
limitations described in Note 2 to the
Financial Statements, net investment
income per share would have been (3)
$
0.20
10.19%
179,059
0.89%
1.40%
$
3.00%
85%
$
0.27
6.59%
116,022
0.85%
1.59%
3.59%
77%
$
0.24
<Caption>
SA FIXED
INCOME FUND
-------------------------------YEAR ENDED
PERIOD ENDED
JUNE 30, 2001
JUNE 30, 2000*
-------------------------------(I CLASS)
(I CLASS)
<C>
<C>
$
10.04
$
10.00
--------------------------
<S>
Net Asset Value, Beginning of Period
INCOME FROM INVESTMENT OPERATIONS:
Net investment income
Net realized and unrealized gain (loss)
on investments
Total from investment operations
LESS DISTRIBUTIONS:
Dividends from net investment income
Distributions from capital gains
Total distributions
Net asset value, end of period
Total return (1)
Net assets, end of period (000s)
Ratio of net expenses to average net assets (2)
Ratio of gross expenses to average net assets (2)(3)
Ratio of net investment income to average
net assets (2)
Portfolio turnover rate (1)
Without giving effect to the voluntary expense
limitations described in Note 2 to the
Financial Statements, net investment
income per share would have been (3)
</Table>
*
(1)
(2)
(3)
0.44
0.35
0.13
------------0.57
-------------
0.03
-------------0.38
--------------
(0.74)
-------------(0.74)
-------------
(0.34)
--------------(0.34)
--------------
$
9.87
=============
$
10.04
=============
5.88%
45,455
0.87%
2.06%
$
$
4.20%
135%
$
0.31
3.90%
15,165
1.00%
3.08%
4.35%
20%
$
0.18
From commencement of operations, July 29, 1999.
Periods less than one year are not annualized.
Annualized for periods less than one year.
Gross expenses before waivers and reimbursement of expenses.
SEE NOTES TO FINANCIAL STATEMENTS.
68
<Page>
<Table>
<Caption>
SA U.S.
MARKET FUND
------------------------------------------------YEAR ENDED
YEAR ENDED
YEAR ENDED
JUNE 30, 2004
JUNE 30, 2003
JUNE 30, 2002
-----------------------------------------------------------------------------------------------------------
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
<S>
Net Asset Value, Beginning of Period
INCOME FROM INVESTMENT OPERATIONS:
Net investment income
Net realized and unrealized gain (loss)
on investments
Total from investment operations
LESS DISTRIBUTIONS:
Dividends from net investment income
Distributions from capital gains
Total distributions
Net asset value, end of period
Total return (1)
Net assets, end of period (000s)
Ratio of net expenses to average net assets (2)
Ratio of gross expenses to average net assets (2)(3)
Ratio of net investment income to average
net assets (2)
Portfolio turnover rate (1)
Without giving effect to the voluntary expense
limitations described in Note 2 to the
Financial Statements, net investment
income (loss) per share would have been (3)
<C>
$
8.54
-------------
<C>
$
8.57
-------------
<C>
$
10.26
-------------
0.04
0.05
0.03
1.59
------------1.63
-------------
(0.04)
------------0.01
-------------
(1.69)
------------(1.66)
-------------
(0.05)
-------------(0.05)
-------------
(0.04)
-------------(0.04)
-------------
(0.03)
-------------(0.03)
-------------
$
10.12
=============
$
8.54
=============
$
8.57
=============
$
19.12%
289,473
1.08%
1.24%
$
0.52%
1%
$
0.03
0.17%
160,569
0.97%
1.38%
0.67%
2%
$
0.02
<Caption>
SA U.S.
MARKET FUND
---------------------------------YEAR ENDED
PERIOD ENDED
JUNE 30, 2001
JUNE 30, 2000*
-----------------------------------------------------------------------------------------(I CLASS)
(I CLASS)
<S>
<C>
<C>
Net Asset Value, Beginning of Period
$
11.59
$
10.00
-------------------------INCOME FROM INVESTMENT OPERATIONS:
Net investment income
Net realized and unrealized gain (loss)
on investments
0.04
Total from investment operations
LESS DISTRIBUTIONS:
Dividends from net investment income
Distributions from capital gains
Total distributions
Net asset value, end of period
Total return (1)
Net assets, end of period (000s)
Ratio of net expenses to average net assets (2)
Ratio of gross expenses to average net assets (2)(3)
Ratio of net investment income to average
net assets (2)
Portfolio turnover rate (1)
Without giving effect to the voluntary expense
limitations described in Note 2 to the
Financial Statements, net investment
income (loss) per share would have been (3)
</Table>
*
(1)
(2)
(3)
0.02
(1.30)
------------(1.26)
-------------
1.57
-------------1.59
--------------
(0.04)
(0.03)
------------(0.07)
-------------
------------------------------
$
10.26
=============
$
11.59
==============
(10.89)%
55,605
0.95%
1.87%
$
$
0.44%
16%
$
(0.04)
$
15.90%
16,188
1.08%
3.33%
0.43%
1%
$
From commencement of operations, August 5, 1999.
Periods less than one year are not annualized.
Annualized for periods less than one year.
Gross expenses before waivers and reimbursement of expenses.
SEE NOTES TO FINANCIAL STATEMENTS.
69
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(0.09)
(16.20)%
108,053
0.92%
1.52%
0.43%
1%
$
(0.01)
<Page>
<Table>
<Caption>
SA U.S.
HBtM FUND
-------------------------------------------------YEAR ENDED
YEAR ENDED
YEAR ENDED
JUNE 30, 2004
JUNE 30, 2003
JUNE 30, 2002
-----------------------------------------------------------------------------------------------------------<S>
<C>
<C>
<C>
Net Asset Value, Beginning of Period
$
8.70
$
8.75
$
11.02
--------------------------------------INCOME FROM INVESTMENT OPERATIONS:
Net investment income
Net realized and unrealized gain (loss)
on investments
Total from investment operations
LESS DISTRIBUTIONS:
Dividends from net investment income
Distributions from capital gains
Total distributions
Net asset value, end of period
Total return (1)
Net assets, end of period (000s)
Ratio of net expenses to average net assets (2)
Ratio of gross expenses to average net assets (2)(3)
Ratio of net investment income to average
net assets (2)
Portfolio turnover rate (1)
Without giving effect to the voluntary expense
limitations described in Note 2 to the
Financial Statements, net investment
loss per share would have been (3)
0.03
0.03
2.09
------------2.12
-------------
(0.06)
-------------(0.03)
--------------
(2.24)
-------------(2.23)
--------------
(0.03)
-------------(0.03)
-------------
(0.02)
--------------(0.02)
--------------
(0.04)
--------------(0.04)
--------------
$
10.79
=============
$
8.70
==============
$
8.75
==============
$
24.46%
164,555
1.13%
1.51%
$
0.35%
9%
$
(0.00)**
(0.27)%
88,552
1.08%
1.75%
$
(0.02)
SA U.S.
HBtM FUND
-------------------------------YEAR ENDED
PERIOD ENDED
JUNE 30, 2001
JUNE 30, 2000*
-----------------------------------------------------------------------------------------(I CLASS)
(I CLASS)
<S>
<C>
<C>
Net Asset Value, Beginning of Period
$
8.62
$
10.00
--------------------------
Total from investment operations
LESS DISTRIBUTIONS:
Dividends from net investment income
Distributions from capital gains
Total distributions
Net asset value, end of period
Total return (1)
Net assets, end of period (000s)
Ratio of net expenses to average net assets (2)
Ratio of gross expenses to average net assets (2)(3)
Ratio of net investment income to average
net assets (2)
Portfolio turnover rate (1)
Without giving effect to the voluntary expense
limitations described in Note 2 to the
Financial Statements, net investment
0.08
0.06
2.46
------------2.54
-------------
(1.44)
-------------(1.38)
--------------
(0.11)
(0.03)
------------(0.14)
-------------
------------------------------
$
11.02
=============
$
8.62
==============
$
29.69%
29,578
1.07%
2.61%
$
0.47%
7%
<Caption>
INCOME FROM INVESTMENT OPERATIONS:
Net investment income
Net realized and unrealized gain (loss)
on investments
0.01
$
1.03%
26%
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(13.80)%
6,987
1.13%
5.67%
1.57%
3%
(20.31)%
57,664
1.05%
1.92%
0.23%
3%
$
(0.04)
loss per share would have been (3)
</Table>
*
**
(1)
(2)
(3)
$
(0.04)
$
(0.12)
From commencement of operations, August 5, 1999.
Amount rounds to less than $0.01 per share.
Periods less than one year are not annualized.
Annualized for periods less than one year.
Gross expenses before waivers and reimbursement of expenses.
SEE NOTES TO FINANCIAL STATEMENTS.
70
<Page>
<Table>
<Caption>
SA U.S.
SMALL COMPANY FUND
------------------------------------------------YEAR ENDED
YEAR ENDED
YEAR ENDED
JUNE 30, 2004
JUNE 30, 2003
JUNE 30, 2002
----------------------------------------------------------------------------------------------------------<S>
<C>
<C>
<C>
Net Asset Value, Beginning of Period
$
12.15
$
12.24
$
13.68
------------------------------------INCOME FROM INVESTMENT OPERATIONS:
Net investment loss
Net realized and unrealized gain (loss)
on investments
(0.05)
Total from investment operations
LESS DISTRIBUTIONS:
Distributions from capital gains
Total distributions
Net asset value, end of period
Total return (1)
Net assets, end of period (000s)
Ratio of net expenses to average net assets (2)
Ratio of gross expenses to average net assets (2)(3)
Ratio of net investment loss to average net assets (2)
Portfolio turnover rate (1)
Without giving effect to the voluntary expense
limitations described in Note 2 to the
Financial Statements, net investment loss
per share would have been (3)
(0.03)
(0.05)
4.14
------------4.09
-------------
(0.06)
------------(0.09)
-------------
(1.39)
------------(1.44)
-------------
---------------------------
---------------------------
---------------------------
$
16.24
=============
$
12.15
=============
$
12.24
=============
$
$
33.66%
143,032
1.28%
1.74%
(0.44)%
6%
(0.11)
$
$
(0.74)%
76,150
1.26%
2.11%
(0.38)%
7%
(0.11)
<Caption>
SA U.S.
SMALL COMPANY FUND
-------------------------------YEAR ENDED
PERIOD ENDED
JUNE 30, 2001
JUNE 30, 2000*
-----------------------------------------------------------------------------------------(I CLASS)
(I CLASS)
<S>
<C>
<C>
Net Asset Value, Beginning of Period
$
12.58
$
10.00
-------------------------INCOME FROM INVESTMENT OPERATIONS:
Net investment loss
Net realized and unrealized gain (loss)
on investments
Total from investment operations
LESS DISTRIBUTIONS:
Distributions from capital gains
Total distributions
Net asset value, end of period
Total return (1)
(0.03)
(0.01)
1.16
------------1.13
-------------
2.59
-------------2.58
--------------
(0.03)
------------(0.03)
-------------
-----------------------------
$
13.68
=============
$
12.58
==============
9.02%
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25.80%
$
$
(10.52)%
53,854
1.25%
2.38%
(0.51)%
5%
(0.15)
Net assets, end of period (000s)
Ratio of net expenses to average net assets (2)
Ratio of gross expenses to average net assets (2)(3)
Ratio of net investment loss to average net assets (2)
Portfolio turnover rate (1)
Without giving effect to the voluntary expense
limitations described in Note 2 to the
Financial Statements, net investment loss
per share would have been (3)
</Table>
*
(1)
(2)
(3)
$
29,252
1.26%
3.32%
(0.28)%
17%
$
6,836
1.28%
6.62%
(0.18)%
4%
$
(0.22)
$
(0.30)
From commencement of operations, August 5, 1999.
Periods less than one year are not annualized.
Annualized for periods less than one year.
Gross expenses before waivers and reimbursement of expenses.
SEE NOTES TO FINANCIAL STATEMENTS.
71
<Page>
<Table>
<Caption>
SA INTERNATIONAL
HBtM FUND
----------------------------------------------------------YEAR ENDED
YEAR ENDED
YEAR ENDED
JUNE 30, 2004
JUNE 30, 2003
JUNE 30, 2002
----------------------------------------------------------------------------------------------------------------------<S>
<C>
<C>
<C>
Net Asset Value, Beginning of Period
$
8.19
$
8.54
$
9.41
------------------------------------INCOME FROM INVESTMENT OPERATIONS:
Net investment income
Net realized and unrealized gain (loss)
on investments
Total from investment operations
LESS DISTRIBUTIONS:
Dividends from net investment income
Distributions from capital gains
Total distributions
Net asset value, end of period
Total return (1)
Net assets, end of period (000s)
Ratio of net expenses to average net assets (2)
Ratio of gross expenses to average net assets (2)
Ratio of net investment income to average
net assets (2)
Portfolio turnover rate (1)
Without giving effect to the voluntary expense
limitations described in Note 2 to the
Financial Statements, net investment
income per share would have been (3)
0.08
0.07
3.00
------------3.08
-------------
(0.38)
------------(0.31)
-------------
(0.79)
------------(0.76)
-------------
(0.09)
-------------(0.09)
-------------
(0.04)
-------------(0.04)
-------------
(0.07)
(0.04)
------------(0.11)
-------------
$
11.18
=============
$
8.19
=============
$
8.54
=============
$
37.76%
285,902
1.53%
1.71%(4)
$
0.94%
12%
$
0.07
(3.51)%
154,892
1.47%
1.71%(3)
$
0.07
SA INTERNATIONAL
HBtM FUND
------------------------------------YEAR ENDED
PERIOD ENDED
JUNE 30, 2001
JUNE 30, 2000*
------------------------------------------------------------------------------------------------(I CLASS)
(I CLASS)
<S>
<C>
<C>
Net Asset Value, Beginning of Period
$
9.99
$
10.00
--------------------------
Total from investment operations
0.09
(0.60)
------------(0.51)
-------------
LESS DISTRIBUTIONS:
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$
1.18%
13%
<Caption>
INCOME FROM INVESTMENT OPERATIONS:
Net investment income
Net realized and unrealized gain (loss)
on investments
0.03
0.11
(0.08)
-------------0.03
--------------
(8.08)%
124,215
1.45%
1.80%(3)
0.91%
3%
$
0.02
Dividends from net investment income
Distributions from capital gains
Total distributions
Net asset value, end of period
Total return (1)
Net assets, end of period (000s)
Ratio of net expenses to average net assets (2)
Ratio of gross expenses to average net assets (2)
Ratio of net investment income to average
net assets (2)
Portfolio turnover rate (1)
Without giving effect to the voluntary expense
limitations described in Note 2 to the
Financial Statements, net investment
income per share would have been (3)
</Table>
*
**
(1)
(2)
(3)
(4)
(0.06)
(0.01)
------------(0.07)
-------------
(0.04)
--------------(0.04)
--------------
$
9.41
=============
$
9.99
=============
$
(5.15)%
60,642
1.47%
2.10%(3)
$
1.27%
12%
$
0.05
0.36%
21,192
1.53%
3.66%(3)
2.22%
2%
$
0.00**
From commencement of operations, August 5, 1999.
Amount rounds to less than $0.01 per share.
Periods less than one year are not annualized.
Annualized for periods less than one year.
Gross expenses before waivers and reimbursement of expenses.
Gross expenses include effect of $265,139 of expense recapture by manager,
an increase of 0.12% on an annualized basis.
SEE NOTES TO FINANCIAL STATEMENTS.
72
<Page>
<Table>
<Caption>
SA INTERNATIONAL SMALL
COMPANY FUND
----------------------------------------------------------YEAR ENDED
YEAR ENDED
YEAR ENDED
JUNE 30, 2004
JUNE 30, 2003
JUNE 30, 2002
----------------------------------------------------------------------------------------------------------------------<S>
<C>
<C>
<C>
Net Asset Value, Beginning of Period
$
9.85
$
9.16
$
9.18
------------------------------------INCOME FROM INVESTMENT OPERATIONS:
Net investment income
Net realized and unrealized gain (loss)
on investments
Total from investment operations
LESS DISTRIBUTIONS:
Dividends from net investment income
Distributions from capital gains
Total distributions
Net asset value, end of period
Total return (1)
Net assets, end of period (000s)
Ratio of net expenses to average net assets (2)
Ratio of gross expenses to average net assets (2)
Ratio of net investment income to average
net assets (2)
Portfolio turnover rate (1)
Without giving effect to the voluntary expense
limitations described in Note 2 to the
Financial Statements, net investment
income (loss) per share would have been (3)
0.16
0.04
0.01
4.18
------------4.34
-------------
0.70
------------0.74
-------------
0.03
------------0.04
-------------
(0.08)
-------------(0.08)
-------------
(0.05)
-------------(0.05)
-------------
(0.06)
-------------(0.06)
-------------
$
14.11
=============
$
9.85
=============
$
9.16
=============
$
44.21%
101,889
1.28%
1.31%(4)
$
1.35%
N/A
$
0.16
8.16%
54,466
1.28%
1.62%(3)
0.47%
N/A
$
0.01
<Caption>
SA INTERNATIONAL SMALL
COMPANY FUND
------------------------------------YEAR ENDED
PERIOD ENDED
JUNE 30, 2001
JUNE 30, 2000*
-------------------------------------------------------------------------------------------------
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$
0.47%
39,293
1.28%
1.92%(3)
0.39%
N/A
$
(0.01)
<S>
Net Asset Value, Beginning of Period
INCOME FROM INVESTMENT OPERATIONS:
Net investment income
Net realized and unrealized gain (loss)
on investments
Total from investment operations
LESS DISTRIBUTIONS:
Dividends from net investment income
Distributions from capital gains
Total distributions
Net asset value, end of period
Total return (1)
Net assets, end of period (000s)
Ratio of net expenses to average net assets (2)
Ratio of gross expenses to average net assets (2)
Ratio of net investment income to average
net assets (2)
Portfolio turnover rate (1)
Without giving effect to the voluntary expense
limitations described in Note 2 to the
Financial Statements, net investment
income (loss) per share would have been (3)
</Table>
*
(1)
(2)
(3)
(4)
N/A
(I CLASS)
<C>
$
10.42
-------------
(I CLASS)
<C>
$
10.00
--------------
0.05
0.17
(1.11)
------------(1.06)
-------------
0.47
-------------0.64
--------------
-(0.18)
------------(0.18)
-------------
(0.22)
--------------(0.22)
--------------
$
9.18
=============
$
10.42
==============
$
(10.15)%
17,850
1.29%
3.04%(3)
0.68%
N/A
$
(0.08)
From commencement of operations, August 5, 1999.
Periods less than one year are not annualized.
Annualized for periods less than one year.
Gross expenses before waivers and reimbursement of expenses.
Gross expenses include effect of $3,766 expense recapture by manager, an
increase of less than 0.005% on an annualized basis.
Refer to financial statements of the respective Master Fund, included
elsewhere in this report.
SEE NOTES TO FINANCIAL STATEMENTS.
73
<Page>
SA Funds
NOTES TO FINANCIAL STATEMENTS -- JUNE 30, 2004
1.
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
SA Funds -- Investment Trust (the "Trust") was organized as a Delaware
business trust on June 16, 1998. The Agreement and Declaration of Trust permits
the Trust to offer separate portfolios ("Funds") of shares of beneficial
interest and different classes of shares of each Fund. The Trust currently
offers six Funds, each of which is registered under the Investment Company Act
of 1940 (the "1940 Act"), and is a diversified mutual fund as defined in the
1940 Act. The Trust currently offers the following Funds:
SA
SA
SA
SA
SA
SA
$
Fixed Income Fund
U.S. Market Fund
U.S. HBtM Fund
U.S. Small Company Fund
International HBtM Fund
International Small Company Fund
All of the Funds commenced investment operations on August 5, 1999 with the
exception of SA Fixed Income Fund, which commenced operations on July 29, 1999.
Prior to October 30, 2000, the Funds offered two classes of shares -- Class
I and Class S. Effective after the close of business on August 11, 2000, the
Class S shares of all SA Funds were consolidated into Class I shares, such that
the Funds no longer had Class S shares outstanding. The Trust's Board of
Trustees then eliminated the Trust's multi-class plan, effective October 30,
2000, and all outstanding shares of the Funds are now designated as "shares"
(without a class denomination).
Effective October 30, 2000, SA International Small Company Fund became a
feeder fund in a master/feeder relationship, such that it invests all of its
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5.84%
5,613
1.28%
7.08%(3)
0.95%
25%
$
(0.86)
investable assets in the International Small Company Portfolio, a series of DFA
Investment Dimensions Group (the "DFA International Small Company Portfolio" or
the "Master Fund"). (Prior to the effective date, SA International Small Company
Fund was a fund of funds.) The investment objective and fundamental policies of
the Master Fund are the same as those of SA International Small Company Fund. As
of June 30, 2004, SA International Small Company Fund held approximately 7.54%
of the Master Fund. The performance of SA International Small Company Fund is
directly affected by the performance of the Master Fund. The financial
statements of the Master Fund are included elsewhere in this report and should
be read in conjunction with the financial statements of SA International Small
Company Fund.
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
and disclosures in the financial statements. Actual results could differ from
those estimates. The following summarizes the significant accounting policies of
the Funds:
SECURITY VALUATION -- Equity securities listed on an exchange for which
market quotations are readily available are valued according to the official
closing price, if any, or at their last sale price on the exchange where
primarily traded, or in the absence of such reported sales, at the mean between
the most recent quoted bid and asked prices. Price information for these listed
securities is taken from the exchange where the security is principally traded.
Unlisted equity securities ("over-the-counter" or "OTC") for which market
quotations are readily available are valued at the mean between the most recent
quoted bid and asked prices. In the event that market quotations are not readily
available for either exchange listed or OTC securities, such securities will be
valued at "fair value" as determined in good faith in accordance with the
Trust's valuation procedures by a pricing and investment committee
74
<Page>
(the "pricing committee") appointed by the Board of Trustees of the Trust.
Long-term and short-term debt securities are valued based upon prices provided
by pricing services approved by the Board of Trustees. Debt securities for which
market quotations are not readily available are valued at fair value as
determined in good faith by the pricing committee. Certain Funds may hold
securities traded in foreign markets. Foreign securities are valued at the
market price in the foreign market. However, if events occurring after the close
of the foreign market (but before the close of regular trading on the New York
Stock Exchange) are believed to materially affect the value of those securities,
such securities are valued at fair value as determined in good faith by the
pricing committee. Any determinations of fair value made by the pricing
committee are presented to the Board of Trustees for ratification.
The shares of SSgA Government Money Market Fund and SSgA Money Market Fund
held by the Funds, shares of the DFA U.S. MicroCap Portfolio held by SA U.S.
Market Fund, and shares of the Master Fund held by SA International Small
Company Fund are valued at the respective daily net asset value of the purchased
fund. Valuation of securities by the Master Fund is discussed in the Master
Fund's Notes to Financial Statements, which are included elsewhere in this
report.
REPURCHASE AGREEMENTS -- The Funds may agree to purchase securities from
financial institutions such as member banks of the Federal Reserve System or any
foreign bank or any domestic broker/dealer that is recognized as a reporting
government securities dealer, subject to the seller's agreement to repurchase
them at an agreed-upon time and price. Dimensional Fund Advisors, Inc. ("DFA" or
the Funds' "Sub-Adviser"), will review and continuously monitor the
creditworthiness of the seller under a repurchase agreement, and will require
the seller to maintain liquid assets segregated on the books of the Fund or the
Fund's custodian in an amount that is greater than the repurchase price. Default
by, or bankruptcy of, the seller would, however, expose a Fund to possible loss
because of adverse market action or delays in connection with the disposition of
underlying obligations except with respect to repurchase agreements secured by
U.S. government securities.
FOREIGN CURRENCY TRANSLATION AND FOREIGN INVESTMENTS -- The books and
records of the Funds are maintained in U.S. dollars. The value of securities,
currencies and other assets and liabilities denominated in currencies other than
U.S. dollars is translated into U.S. dollars based upon foreign currency
exchange rates prevailing at the end of the period. Purchases and sales of
investment securities are translated at contractual currency exchange rates
established at the time of the trade. Income and expenses are translated at
prevailing exchange rates on the respective dates of such transactions.
The results of operations resulting from changes in foreign exchange rates
on investments are not reported separately from fluctuations arising from
changes in market prices of securities held. All such fluctuations are included
with net realized and unrealized gain or loss on investments.
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Please Consider the Environment Before Printing This Document
SA Fixed Income Fund, SA International HBtM Fund and SA International Small
Company Fund may purchase foreign securities. Investing in foreign securities
and foreign governments involves special risks and considerations not typically
associated with investing in U.S. companies and securities of the U.S.
government. These risks include revaluation of currencies and the risk of
appropriation. Moreover, the markets for securities of many foreign companies
and foreign governments may be less liquid and the prices of such securities may
be more volatile than those of securities of comparable U.S. companies and the
U.S. government.
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS -- Each Fund that may invest in
foreign securities may enter into forward foreign currency exchange contracts. A
forward foreign currency exchange contract is an agreement between two parties
to buy or sell currency at a set price on a future date. By entering into a
forward contract for the purchase or sale for a fixed amount of dollars of the
amount of foreign currency involved in the underlying
75
<Page>
security transactions, a Fund may be able to protect itself against a possible
loss resulting from an adverse change in the relationship between the U.S.
dollar and the applicable foreign currency during the period between the date
the security is purchased or sold and the date on which payment is made or
received.
The market value of the contract will fluctuate with changes in currency
exchange rates. The contract is marked-to-market daily using the forward
currency exchange rate, and the change in market value is recorded as unrealized
appreciation (depreciation) on foreign currency translations in the Funds'
Statements of Assets and Liabilities. When the contract is closed, realized gain
or loss is recognized, which is equal to the difference between the value of the
contract at the time it was opened and the value at the time it was closed, and
recorded as realized gain (loss) on foreign currency transactions in the Funds'
Statements of Operations.
Forward foreign currency exchange contracts may involve risks from the
potential inability of counterparties to meet the terms of their contracts and
from unanticipated movements in the value of a foreign currency relative to the
U.S. dollar.
At June 30, 2004, SA Fixed Income Fund had the following open forward
foreign currency exchange contract:
<Table>
<Caption>
<S>
Swedish Krona (sell)
</Table>
DELIVERY
DATE
--------<C>
7/28/2004
LOCAL
CURRENCY
AMOUNT
--------<C>
61,799,580
AGGREGATE
FACE
AMOUNT
-----------<C>
$ 8,136,877
INVESTMENT TRANSACTIONS, INCOME AND EXPENSES -- Investments in securities
are accounted for as of trade date (the date the buy or sell is executed).
Dividend income is recorded on the ex-dividend date. Interest income is recorded
on an accrual basis and includes amortization of discounts and premiums based on
the effective interest method. Gains and losses are determined on the identified
cost basis, which is the same as for federal income tax purposes.
Expenses directly attributable to a specific Fund are charged to the
respective Fund. Expenses that cannot be attributed to a particular Fund are
apportioned among the Funds evenly or based on relative net assets.
INDEMNIFICATIONS -- Under the Funds' organizational documents, its officers
and trustees are indemnified against certain liability arising out of the
performance of their duties to the Funds. In addition, in the normal course of
business the Funds enter into contracts that contain a variety of
representations and warranties which provide general indemnifications. The
Funds' maximum exposures under these arrangements are unknown as this would
involve future claims that may be made against the Funds that have not yet
occurred. However, the Funds expect the risk of loss to be remote.
FEDERAL INCOME TAXES -- The Funds' policy is to comply with the
requirements of the Internal Revenue Code that are applicable to regulated
investment companies and to distribute all of their taxable income to their
shareholders. Therefore, no income tax provision is required.
76
<Page>
As of June 30, 2004, the following Funds have realized capital loss
carryforwards, for U.S. federal income tax purposes, available to be used to
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Please Consider the Environment Before Printing This Document
TOTAL
VALUE
-----------<C>
$ 8,206,602
UNREALIZED
DEPRECIATION
-----------<C>
$
69,725
offset future realized capital gains:
<Table>
<Caption>
EXPIRING
JUNE 30, 2010
------------<C>
$
4,768,231
----
FUND
---<S>
SA U.S. Market Fund
SA U.S. HBtM Fund
SA U.S. Small Company Fund
SA International HBtM Fund
</Table>
EXPIRING
JUNE 30, 2011
------------<C>
$
2,955,110
978,730
2,055,978
7,087,756
As of June 30, 2004, the following Funds have elected for federal income
tax purposes to defer the current year post October 31 capital and currency
losses as though the losses were incurred on the first day of the next fiscal
year:
<Table>
<Caption>
POST OCTOBER
CAPITAL LOSS
------------<C>
$
470,246
FUND
---<S>
SA Fixed Income Fund
</Table>
POST OCTOBER
CURRENCY LOSS
------------<C>
$
36,203
The tax character of distributions paid to shareholders during 2004 and
2003 were as follows:
<Table>
<Caption>
<S>
SA Fixed Income Fund
SA U.S. Market Fund
SA U.S. HBtM Fund
SA International HBtM Fund
SA International Small Company Fund
</Table>
ORDINARY
INCOME
-----------<C>
$ 9,260,227
1,153,538
413,852
1,980,137
506,706
2004
LONG-TERM
CAPITAL GAIN
------------<C>
$
3,758,968
-----
TOTAL
------------<C>
$ 13,019,195
1,153,538
413,852
1,980,137
506,706
ORDINARY
INCOME
-----------<C>
$ 4,480,549
590,344
181,441
718,941
223,401
2003
LONG-TERM
CAPITAL GAIN
------------<C>
$
98,291
-----
TOTAL
------------<C>
$
4,578,840
590,344
181,441
718,941
223,401
<Table>
<Caption>
<S>
SA Fixed Income Fund
SA U.S. Market Fund
SA U.S. HBtM Fund
SA International HBtM Fund
SA International Small Company Fund
</Table>
Income and capital gain distributions are determined in accordance with
income tax regulations, which may differ from generally accepted accounting
principles. These differences are primarily due to differing treatments of
income and gains on various investment securities held by the Funds, timing
differences and differing characterizations of distributions made by the Funds.
Permanent book and tax basis differences relating to shareholder distributions
will result in reclassifications to paid-in capital.
77
<Page>
As of June 30, 2004, the components of distributable earnings on a tax
basis were:
<Table>
<Caption>
<S>
SA Fixed Income Fund
SA U.S. Market Fund
SA U.S. HBtM Fund
SA U.S. Small Company Fund
UNDISTRIBUTED
ORDINARY INCOME
--------------<C>
$
-432,561
187,289
--
UNDISTRIBUTED
LONG-TERM
CAPITAL GAINS
--------------<C>
$
-----
UNREALIZED
APPRECIATION/
(DEPRECIATION)
--------------<C>
$
(5,244,330)
27,402,320
22,602,239
34,252,215
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
POST OCTOBER
CAPITAL/
CURRENCY LOSS
--------------<C>
$
(506,449)
----
CAPITAL LOSS
CARRYFORWARD
--------------<C>
$
-(7,723,341)
(978,730)
(2,055,978)
SA International HBtM Fund
SA International Small Company Fund
</Table>
1,977,427
587,466
-146,453
60,695,687
31,212,397
Undistributed net investment income and accumulated undistributed net
realized gain (loss) on investments and foreign currency transactions may
include temporary book and tax differences which will reverse in a subsequent
period. During any particular year net realized gains from investment
transactions, in excess of available capital loss carry forwards, would be
taxable to the Funds if not distributed and, therefore, would be distributed to
shareholders annually.
DISTRIBUTIONS TO SHAREHOLDERS -- Each Fund, excluding SA Fixed Income Fund,
declares and pays its net investment income, if any, annually. SA Fixed Income
Fund declares and pays its net investment income, if any, quarterly. All of the
Funds declare and pay distributions from net realized capital gains, if any, at
least annually. Dividends to shareholders are recorded on the ex-dividend date.
2.
AGREEMENTS AND TRANSACTIONS WITH AFFILIATES
The Trust has an Investment Advisory and Administrative Services Agreement
with Assante Asset Management Inc. (the "Manager"), under which the Manager
manages the investments of, and provides administrative services to, each Fund.
The Manager is an indirect, wholly-owned subsidiary of Loring Ward International
Ltd., which is a publicly traded financial services company located in Winnipeg,
Canada. For the advisory services provided, the Manager is entitled to a fee
from each Fund computed daily and payable monthly at the rate of 0.65% of each
Fund's average daily net assets.
The Trust and the Manager have jointly entered into a Sub-Advisory
Agreement with DFA. For the sub-advisory services provided, DFA is entitled to a
fee computed daily and payable monthly at an annual rate based on each Fund's
average daily net assets as set forth below. SA International Small Company Fund
will not pay a fee to DFA for sub-advisory services for as long as it remains a
feeder fund. However, DFA receives an administration fee from the Master Fund
and also receives advisory fees for providing advisory services to the funds in
which the Master Fund invests.
<Table>
<Caption>
SUBADVISORY
FEES
-------<C>
0.19%
0.05%
0.27%
0.38%
0.38%
FUND
---<S>
SA Fixed Income Fund
SA U.S. Market Fund
SA U.S. HBtM Fund
SA U.S. Small Company Fund
SA International HBtM Fund
</Table>
78
<Page>
During the year ended June 30, 2004, DFA voluntarily agreed to waive its
sub-advisory fees to the extent that the gross aggregate sub-advisory fees
exceeded 0.16% of the aggregate average net assets of the Funds, as calculated
monthly. This waiver was allocated to each of the Funds based on each Fund's pro
rata portion of the gross aggregate sub-advisory fees.
The Trust has a Shareholder Servicing Agreement with the Manager. For the
shareholder services provided the Manager is paid an annual service fee at the
rate of 0.25% of the value of the average daily net assets of each Fund.
For the administrative services provided, the Manager is entitled to a fee
from each Fund computed daily and payable monthly at a rate of 0.10% of the
average daily net assets of each Fund.
The Manager has contractually agreed to waive its management fees and/or to
reimburse expenses to the extent necessary to limit each Fund's total operating
expenses to the amounts shown in the table below. This agreement will remain in
effect until July 15, 2009, at which time the agreement may be continued,
modified or eliminated and net expenses will be adjusted as necessary.
<Table>
<Caption>
FUND
---<S>
SA Fixed Income Fund
SA U.S. Market Fund
SA U.S. HBtM Fund
EXPENSE
LIMIT
------<C>
1.00%
1.08%
1.13%
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
---
(7,087,756)
--
SA U.S. Small Company Fund
SA International HBtM Fund
SA International Small Company Fund
1.28%
1.53%
1.28%
</Table>
The Manager may elect to recapture any amounts waived or reimbursed subject
to the following conditions: (1) the Manager must request reimbursement within
three years from the end of the year in which the waiver/reimbursement is made,
(2) the Board of Trustees must approve the reimbursement, (3) reimbursement will
be made if, and to the extent that, the relevant fund does not exceed its
operating expense limitation after giving effect to the reimbursement, and (4)
the Manager may not request or receive reimbursements for the reductions and
waivers before payment of the relevant Fund's operating expenses for the current
year. During the year ended June 30, 2004, the Manager recaptured $265,139 from
SA International HBtM Fund and $3,766 from SA International Small Company Fund
pursuant to these conditions. As of June 30, 2004, the following amounts are
subject to this recapture through June 30, 2005, June 30, 2006 and June 30, 2007
respectively.
<Table>
<Caption>
FUND
---<S>
SA Fixed Income Fund
SA U.S. Market Fund
SA U.S. HBtM Fund
SA U.S. Small Company Fund
SA International HBtM Fund
SA International Small Company Fund
</Table>
EXPIRES
JUNE 30, 2005
------------<C>
$
395,919
423,018
247,032
288,110
-150,060
EXPIRES
JUNE 30, 2006
------------<C>
$
582,528
417,716
304,739
327,523
34,978
90,225
EXPIRES
JUNE 30, 2007
------------<C>
$
559,158
288,310
299,575
301,827
---
TRUSTEES' FEES AND EXPENSES -- For their services as trustees, the trustees
who are not "interested persons" (as defined in the 1940 Act) receive an annual
retainer fee of $20,000 per year, as well as reimbursement for expenses incurred
in connection with attendance at such meetings. Interested trustees receive no
compensation for their services as trustees.
79
<Page>
SUB-ADMINISTRATION FEES -- State Street Bank and Trust Company ("State
Street") serves as sub-administrator for the Trust, pursuant to a
Sub-Administration Agreement with the Trust and the Manager of the Trust.
Effective January 1, 2004 State Street receives a fee that is calculated daily
and paid monthly at an annual rate based on the average daily net assets of each
Fund as follows: 0.04% of the first $750 million of net assets, plus 0.03% of
net assets between $750 million and $1.5 billion, plus 0.02% of net assets over
$1.5 billion, subject to a minimum fee of $68,700 annually per Fund. Prior to
December 31, 2003, State Street received a fee that was calculated daily and
paid monthly at an annual rate based on the average daily net assets of each
Fund as follows: 0.06% of the first $750 million of net assets, plus 0.04% of
net assets between $750 million and $1.5 billion, plus 0.02% of net assets over
$1.5 billion, subject to a minimum fee of $85,000 annually per Fund. State
Street contractually agreed to waive $250,000 of its fees to the Funds each year
for the calendar years 2002 and 2003.
3.
PURCHASES AND SALES OF SECURITIES
Excluding short-term investments, each Fund's purchases and sales of
securities for the year ended June 30, 2004 were as follows:
<Table>
<Caption>
<S>
SA Fixed Income Fund
SA U.S. Market Fund
SA U.S. HBtM Fund
SA U.S. Small Company Fund
SA International HBtM Fund
SA International Small Company Fund
PURCHASES
--------------------------------U.S. GOVERNMENT
OTHER
----------------------------<C>
<C>
$
117,124,441
$
182,254,189
-96,287,541
-63,452,666
-45,467,613
-95,970,759
N/A
N/A
</Table>
<Table>
<Caption>
SALES
--------------------------------U.S. GOVERNMENT
OTHER
-----------------------------
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Please Consider the Environment Before Printing This Document
<S>
SA Fixed Income Fund
SA U.S. Market Fund
SA U.S. HBtM Fund
SA U.S. Small Company Fund
SA International HBtM Fund
SA International Small Company Fund
<C>
$
55,012,224
----N/A
</Table>
N/A -- Refer to the Master Fund's financial statements.
80
<Page>
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE BOARD OF TRUSTEES AND SHAREHOLDERS OF
SA FUNDS -- INVESTMENT TRUST
In our opinion, the accompanying statement of assets and liabilities, including
the portfolios of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of SA Fixed Income Fund,
SAInternational HBtM Fund, SA International Small Company Fund, SA U.S. HBtM
Fund, SA U.S. Market Fund, and SA U.S. Small Company Fund (constituting SA Funds
-- Investment Trust, hereafter referred to as the "Trust") at June 30, 2004, the
results of each of their operations for the year then ended, the changes in each
of their net assets for each of the two years in the period then ended and the
financial highlights for each of the periods presented in conformity with
accounting principles generally accepted in the United States of America. These
financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Trust's management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with the standards of the Public Company Accounting Oversight Board (United
States), which require that we plan and perform the audits to obtain reasonable
assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which include confirmation of securities at June 20, 2004 by
correspondence with the custodian and brokers, provide a reasonable basis for
our opinion.
PricewaterhouseCoopers LLP
August 12, 2004
81
<Page>
SA Funds
ADDITIONAL INFORMATION (UNAUDITED)
PROXY VOTING POLICIES AND PROCEDURES
A description of the policies and procedures that are used by the Funds'
Sub-Adviser to vote proxies relating to the Funds' portfolio securities is
available without charge, upon request, by calling (800) 366-7266. Information
regarding how the investment sub-adviser votes these proxies will become
available by calling the same number and on the website of the U.S. Securities
and Exchange Commission at http://www.sec.gov when the Funds file their first
report on Form N-PX which is due by August 31, 2004 covering the Funds' proxy
voting record for the 12-month period ended June 30, 2004.
TRUSTEES AND OFFICERS' INFORMATION
The Trustees and executive officers of the Trust, their respective dates of
birth and their principal occupations during the past five years are listed
below. The Board of Trustees governs each Fund and is responsible for protecting
the interests of shareholders. The Trustees are experienced executives who meet
periodically throughout the year to oversee each Fund's activities, review
contractual arrangements with companies that provide services to each Fund, and
review each Fund's performance. All of the Trustees are independent of the
Trust's Manager, Sub-Adviser and Distributor; that is, they have no financial
interest in the Manager, Sub-Adviser or Distributor.
Those individuals listed in the table below whose names are marked with an
asterisk (*) are interested persons of the Trust (as defined by the 1940 Act) by
virtue of, among other considerations, their relationships with the Trust, the
Manager, the Sub-Adviser, the Distributor or any entity directly or indirectly
controlling, controlled by or under common control with any of those companies.
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
<C>
$
124,014,672
1,320,555
11,655,268
6,472,822
25,582,462
N/A
Each Trustee and executive officer of the Trust oversees all Funds of the Trust.
<Table>
<Caption>
NAME, ADDRESS
AND DATE OF BIRTH
----------------<S>
Bryan W.Brown
c/o Assante Asset
Management Inc.
1190 Saratoga Avenue,
Suite 200
San Jose, CA 95129
DOB: 02/09/45
OTHER TRUSTEESHIPS
HELD BY TRUSTEE
-----------------<C>
None
POSITION(S) HELD WITH FUND
-------------------------<C>
Trustee (since April 1999)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
------------------------------------------<C>
Self-Employed Management Consultant
(since 1992).
Mark A.Schimbor
c/o Assante Asset
Management Inc.
1190 Saratoga Avenue,
Suite 200
San Jose, CA 95129
DOB: 11/07/45
Trustee (since July 2000)
Senior Vice President, Lee Hecht Harrison
(career consulting company) (since
2002); Senior Management Consultant,
Lee Hect Harrison (1999-2009); Instructor,
Finance Department for U.C. Berkeley
Extension (since 1998.
None
Harold M.Shefrin
c/o Assante Asset
Management Inc.
1190 Saratoga Avenue,
Suite 200
San Jose, CA 95129
DOB: 07/27/48
</Table>
Trustee (since April 1999)
Professor of Finance, Santa Clara
University (since 1978).
None
82
<Page>
<Table>
<Caption>
NAME, ADDRESS
AND DATE OF BIRTH
----------------<S>
Alexander B.Potts*
1190 Saratoga Avenue
Suite 200
San Jose, CA 95129
DOB: 06/14/67
POSITION(S)HELD WITH FUND
-------------------------<C>
President and Chief
Executive Officer (since
August 2000)
OTHER TRUSTEESHIPS
PRINCIPAL OCCUPATION(S)DURING PAST 5 YEARS
HELD BY TRUSTEE
-----------------------------------------------------------<C>
<C>
Executive Vice President and General
N/A
Manager, Assante Asset Management Inc.
(since August 2000); President and Chief
Executive Officer, Assante Capital
Management Inc. (since April 2001); Chief
Compliance Officer, Assante Capital
Management Inc. (October 2000 -May 2001); Vice President of Advisor Services
and Investment Operations, RWB Advisory
Services Inc. (October 1998 -September 2000); Vice President of Advisor
Services and Investment Operations,
Reinhardt, Werba, Bowen Inc. (April 1990 -October 1998).
Denis E.Taillieu*
360 Main St.
Suite 1500
Winnipeg, Manitoba,
R3C 3Z3
DOB: 07/20/52
Chief Financial and
Accounting Officer and
Treasurer (since March 2004)
Chief Financial Officer, Loring Ward
International Ltd. (since November 2003);
Chief Financial Officer, Assante
Corporation (April 1999 -November 2003).
Jennifer S.Fromm*
10100 Santa Monica
Boulevard Suite 1050
Los Angeles, CA 90067
DOB: 08/24/73
Vice President, Secretary
and Compliance Officer
(since September 2000)
Associate General Counsel, Loring Ward
N/A
Group Inc. (since January 2004); Senior Legal
Counsel, Loring Ward Capital Management
Inc. (formerly Assante Global Advisors
Inc.) (June 2002 -- January 2004); Secretary,
Assante Asset Management Inc. and Assante
Capital Management Inc. (since January 2002);
Vice President and Senior Mutual Fund
Counsel, Assante Asset Management Inc.
(September 2000 -- January 2004); Associate
Counsel, State Street Corporation
(financial services company) (August 1999 -September 2000).
</Table>
The Trust's Board of Trustees has appointed a standing Audit Committee
consisting of those Trustees who are not "interested persons" (as defined in the
1940 Act). The Audit Committee oversees the audit process and provides
assistance to the Trustees in fulfilling their responsibilities to the
shareholders, potential shareholders and investment community relating to fund
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
N/A
accounting, the reporting practices of the Trust and the quality and integrity
of the financial reports of the Trust. The Trust's Audit Committee met three
times during the fiscal year ended June 30, 2004.
83
<Page>
SA Funds
TAX INFORMATION NOTICE (UNAUDITED)
For Federal income tax purposes, the following information is furnished
with respect to the distributions of the Funds for its fiscal year ended June
30, 2004:
FOREIGN TAX CREDITS -- The SA International HBtM Fund has made an election
under Internal Revenue Code Section 853 to pass through foreign taxes paid by
the Fund to its shareholders. For the year ended June 30, 2004, the total amount
that will be passed through to shareholders and the foreign source income for
information reporting purposes will be $665,862 (all of which represents taxes
withheld) and $6,098,255, respectively.
CAPITAL GAINS DISTRIBUTIONS -- On December 23, 2003 the following Fund
declared a long term capital gain distribution in the following amount:
<Table>
<Caption>
LONG TERM
CAPITAL GAIN
DISTRIBUTION AMOUNT
------------------<C>
$
3,758,968
FUND
---<S>
SA Fixed Income Fund
</Table>
CORPORATE DIVIDENDS RECEIVED REDUCTION -- The following Funds paid
distributions from ordinary income that qualify for the corporate dividends
received deduction. The percentage that qualifies is noted below:
<Table>
<S>
SA U.S. HBtM Fund
SA U.S. Market Fund
<C>
100%
100%
</Table>
QUALIFIED DIVIDEND INCOME -- For the fiscal year ended June 30, 2004
certain dividends paid by the Funds may be designated as qualified dividend
income and subject to a maximum tax rate of 15% as provided by the Jobs and
Growth Tax Relief Reconciliation Act of 2003. Complete information will be
reported in conjunction with your 2004 Form 1099-DIV.
84
<Page>
SELECTED FINANCIAL STATEMENTS OF DFA INVESTMENT DIMENSIONS GROUP INC.
INTERNATIONAL SMALL COMPANY PORTFOLIO
TABLE OF CONTENTS
<Table>
<Caption>
PAGE
---<C>
86
<S>
Schedule of Investments -- June 30, 2004 (Unaudited)
Schedule of Investments -- November 30, 2003
87
Statement of Assets and Liabilities -- June 30, 2004 (Unaudited)
88
Statement of Assets and Liabilities -- November 30, 2003
89
Statement of Operations
90
Statements of Changes in Net Assets
91
Financial Highlights
92
Notes to Financial Statements
93
Report of Independent Registered Certified Public Accounting Firm
</Table>
97
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85
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
INTERNATIONAL SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
VALUE
----------------<C>
<S>
Investment in The Japanese Small Company Series of The DFA Investment Trust
Company (29.7%) (Cost $310,460,537)
Investment in The Pacific Rim Small Company Series of The DFA Investment Trust
Company (12.1%) (Cost $155,619,190)
Investment in The United Kingdom Small Company Series of The DFA Investment Trust
Company (20.3%) (Cost $210,898,233)
Investment in The Continental Small Company Series of The DFA Investment Trust
Company (37.8%) (Cost $357,377,237)
Temporary Cash Investments (0.1%)
Repurchase Agreement, PNC Capital Markets Inc. 1.28%, 07/01/04 (Collateralized by
$1,285,000 FHLMC Notes 1.85%, 11/17/05, valued at $1,288,213) to be repurchased
at $1,285,046 (Cost $1,285,000)
$
401,252,573
164,346,295
274,370,862
510,330,627
1,285,000
----------------$
1,351,585,357
=================
Total Investments (100%) (Cost $1,035,640,197)++
</Table>
---------++ The cost for federal income tax purposes is $1,036,018,262.
See accompanying Notes to Financial Statements.
86
<Page>
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2003
<Table>
<Caption>
VALUE+
----------------<C>
<S>
Investment in The Japanese Small Company Series of The DFA Investment Trust
Company (26.8%) (Cost $247,518,637)
Investment in The Pacific Rim Small Company Series of The DFA Investment Trust
Company (14.0%) (Cost $111,457,252)
Investment in The United Kingdom Small Company Series of The DFA Investment Trust
Company (15.3%) (Cost $105,088,482)
Investment in The Continental Small Company Series of The DFA Investment Trust
Company (43.6%) (Cost $292,806,851)
Temporary Cash Investments (0.3%)
Repurchase Agreement, PNC Capital Markets Inc. 0.82%, 12/01/03 (Collateralized by
$2,898,000 FHLB Notes 1.875%, 02/15/05, valued at $2,919,735) to be repurchased
at $2,876,197 (Cost $2,876,000)
$
127,432,216
138,605,642
396,264,638
2,876,000
----------------$
909,196,292
=================
Total Investments (100%) (Cost $759,747,222)++
</Table>
---------+ See Note B to Financial Statements.
++ The cost for federal income tax purposes is $761,571,637.
See accompanying Notes to Financial Statements.
87
<Page>
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2004
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
<Table>
<S>
ASSETS:
Investments at Value (Cost $1,035,640)
<C>
$
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Please Consider the Environment Before Printing This Document
244,017,796
1,351,585
Cash
Prepaid Expenses and Other Assets
16
38
------------1,351,639
-------------
Total Assets
LIABILITIES:
Payable to Advisor
Accrued Expenses and Other Liabilities
432
62
------------494
-------------
Total Liabilities
NET ASSETS
$
1,351,145
=============
SHARES OUTSTANDING $.01 PAR VALUE
(Authorized 100,000,000)
104,976,526
=============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE
NET ASSETS CONSIST OF:
Paid-in Capital
Accumulated Net Investment Income (Loss)
Accumulated Net Realized Gain (Loss)
Accumulated Net Realized Foreign Exchange Gain (Loss)
Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency
Unrealized Net Foreign Exchange Gain (Loss)
Total Net Assets
$
12.87
=============
$
1,017,239
478
17,652
(270)
315,945
101
------------$
1,351,145
=============
</Table>
See accompanying Notes to Financial Statements.
88
<Page>
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 2003
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<Table>
<S>
ASSETS:
Investments at Value (Cost $759,747)
Cash
Receivable for Fund Shares Sold
Prepaid Expenses and Other Assets
<C>
$
909,196
16
1,156
20
------------910,388
-------------
Total Assets
LIABILITIES:
Payables:
Fund Shares Redeemed
Due to Advisor
Accrued Expenses and Other Liabilities
171
298
32
------------501
-------------
Total Liabilities
NET ASSETS
$
909,887
=============
SHARES OUTSTANDING $.01 PAR VALUE
(Authorized 100,000,000)
82,731,629
=============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE
NET ASSETS CONSIST OF:
Paid-in Capital
Accumulated Net Investment Income (Loss)
Accumulated Net Realized Gain (Loss)
Accumulated Net Realized Foreign Exchange Gain (Loss)
Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency
Unrealized Net Foreign Exchange Gain (Loss)
Total Net Assets
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
$
11.00
=============
$
749,865
11,283
(1,208)
309
149,449
189
------------$
909,887
=============
</Table>
See accompanying Notes to Financial Statements.
89
<Page>
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2003
(AMOUNTS IN THOUSANDS)
<Table>
<S>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $1,642)
Interest
Income from Securities Lending
Expenses Allocated From Master Funds
<C>
$
15,561
299
1,152
(1,841)
------------15,171
-------------
Total Investment Income
EXPENSES
Administrative Services
Accounting & Transfer Agent Fees
Legal Fees
Audit Fees
Filing Fees
Shareholders' Reports
Directors' Fees and Expenses
2,535
35
15
3
34
32
11
------------2,665
------------12,506
-------------
Total Expenses
NET INVESTMENT INCOME (LOSS)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment Securities Sold
Net Realized Gain (Loss) on Foreign Currency Transactions
Change in Unrealized Appreciation (Depreciation) of
Investment Securities and Foreign Currency
Translation of Foreign Currency Denominated Amounts
10,185
309
249,662
102
------------260,258
-------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS
$
272,764
=============
</Table>
See accompanying Notes to Financial Statements.
90
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
<S>
INCREASE (DECREASE) IN NET ASSETS OPERATIONS:
Net Investment Income (Loss)
Net Realized Gain (Loss) on Investment Securities Sold
Net Realized Gain (Loss) on Foreign Currency Transactions
Change in Unrealized Appreciation (Depreciation) of
Investment Securities and Foreign Currency
Translation of Foreign Currency Denominated Amounts
Net Increase (Decrease) in Net Assets Resulting from Operations
Distributions From:
Net Investment Income
Total Distributions
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Please Consider the Environment Before Printing This Document
YEAR
ENDED
NOV. 30,
2003
--------<C>
YEAR
ENDED
NOV. 30,
2002
---------<C>
$
$
12,506
10,185
309
7,813
305
222
249,662
102
--------272,764
---------
(19,049)
123
---------(10,586)
----------
(8,564)
--------(8,564)
---------
(6,930)
---------(6,930)
----------
Capital Share Transactions (1):
Shares Issued
Shares Issued in Lieu of Cash Distributions
Shares Redeemed
Net Increase (Decrease) From Capital Shares Transactions
Total Increase (Decrease)
NET ASSETS
Beginning of Period
End of Period
(1) SHARES ISSUED AND REDEEMED:
Shares Issued
Shares Issued in Lieu of Cash Distributions
Shares Redeemed
281,724
8,551
(109,166)
--------181,109
--------445,309
218,575
6,917
(99,598)
---------125,894
---------108,378
464,578
--------$ 909,887
=========
356,200
---------$ 464,578
==========
31,592
1,199
(12,776)
--------20,015
=========
28,394
948
(13,054)
---------(16,288)
==========
</Table>
See accompanying Notes to Financial Statements.
91
<Page>
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
<S>
Net Asset Value, Beginning of Period
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss)
Net Gains (Losses) on Securities (Realized
and Unrealized)
Total From Investment Operations
LESS DISTRIBUTIONS
Net Investment Income
Net Realized Gains
Total Distributions
Net Asset Value, End of Period
Total Return
Net Assets, End of Period (thousands)
Ratio of Expenses to Average Net Assets (1)
Ratio of Net Investment Income to Average Net
Assets
Portfolio Turnover Rate
</Table>
YEAR
ENDED
NOV. 30,
2003
-----------<C>
$
7.41
------------
YEAR
ENDED
NOV. 30,
2002
-----------<C>
$
7.67
------------
YEAR
ENDED
NOV. 30,
2001
-----------<C>
$
8.49
------------
YEAR
ENDED
NOV. 30,
2000
-----------<C>
$
9.13
------------
YEAR
ENDED
NOV. 30,
1999
-----------<C>
$
7.82
------------
0.16
0.14
0.15
0.17
0.15
3.57
-----------3.73
------------
(0.25)
-----------(0.11)
------------
(0.67)
-----------(0.52)
------------
(0.62)
-----------(0.45)
------------
1.31
-----------1.46
------------
(0.14)
------------(0.14)
-----------$
11.00
============
51.28%
(0.15)
------------(0.15)
-----------$
7.41
============
(1.39)%
(0.17)
(0.13)
-----------(0.30)
-----------$
7.67
============
(6.36)%
(0.19)
------------(0.19)
-----------$
8.49
============
(5.01)%
(0.15)
------------(0.15)
-----------$
9.13
============
19.07%
$
$
$
$
$
909,887
0.71%
1.97%
N/A
464,578
0.71%
1.83%
N/A
---------(1) Represents the combined ratios for the portfolio and its respective pro-rata
share of its Master Fund Series.
N/A Refer to the respective Master Fund Series.
See accompanying Notes to Financial Statements.
92
<Page>
NOTES TO FINANCIAL STATEMENTS
NOVEMBER 30, 2003
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company whose shares are offered, without a sales charge, generally
to institutional investors and clients of registered investment advisors. One of
the Fund's forty portfolios (the "Portfolio") is included in this report. Of the
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356,200
0.72%
2.02%
N/A
309,060
0.71%
2.10%
N/A
250,442
0.75%
1.76%
N/A
remaining thirty-nine portfolios, six portfolios are only available through a
select group of insurance products and are presented in a separate report,
twenty-nine are presented in separate reports, and four have not commenced
operations.
The Portfolio (the "Feeder Fund") invests in four series of The DFA
Investment Trust Company (the "Master Funds"):
<Table>
<Caption>
PORTFOLIO (FEEDER FUND)
------------------------------------<S>
International Small Company Portfolio
SERIES (MASTER FUNDS)
--------------------------------------<C>
The Japanese Small Company Series
The Pacific Rim Small Company Series
The United Kingdom Small Company Series
The Continental Small Company Series
</Table>
The Portfolio also invests in short term temporary cash investments from
time to time.
The financial statements of the Master Funds are included elsewhere in this
report and should be read in conjunction with these financial statements.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Fund's maximum exposure under these arrangements is unknown
as this would involve future claims that may be made against the Fund and/or its
affiliates that have not yet occurred. However, based on experience, the Fund
expects the risk of loss to be remote.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America for
investment companies. Such policies are consistently followed by the Fund in
preparation of its financial statements. The preparation of financial statements
in accordance with accounting principles generally accepted in the United States
of America may require management to make estimates and assumptions that affect
the reported amounts and disclosures in the financial statements. Actual results
could differ from those estimates and those differences could be material.
1. SECURITY VALUATION: Master Fund shares held by the Feeder Fund reflect
its proportionate interest in the net assets of the corresponding Master Funds.
2. FOREIGN CURRENCY: Securities and other assets and liabilities of the
Portfolio whose values are initially expressed in foreign currencies are
translated to U.S. dollars using the mean between the most recently quoted bid
and asked prices for the U.S. dollar. Dividend and interest income and certain
expenses are translated to U.S. dollars at the rate of exchange on their
respective accrual dates. Receivables and payables denominated in foreign
currencies are marked to market daily based on daily exchange rates and exchange
gains or losses are realized upon ultimate receipt or disbursement.
The Portfolio does not isolate the effect of fluctuations in foreign
exchange rates from the effect of fluctuations in the market prices of
securities whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
93
<Page>
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of the Portfolio
and the U.S. dollar equivalent amounts actually received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Directors may defer payment of a percentage of
their total fees earned as a Director. These deferred amounts may be treated as
though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Directors' Fees and
Expenses. At November 30, 2003, the total liability for deferred compensation to
Directors is included in Accrued Expenses and Other Liabilities in the amount of
$9,228.
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PERCENTAGE
OWNERSHIP
AT 11/30/03
----------<C>
86%
81%
86%
88%
4. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on an accrual basis. Expenses directly attributable to the
Portfolio are directly charged. Common expenses are allocated using methods
approved by the Board of Directors, generally based on average net assets.
The Portfolio accrues its respective share of income and expenses daily on
its investment in its corresponding Master Funds, which are treated as
partnerships for federal income tax purposes. All of the net investment income
and realized and unrealized gains and losses from the security transactions and
foreign currency of the Master Funds are allocated pro rata among its investors
at the time of such determination.
The Portfolio may be subject to taxes imposed by countries in which the
Master Funds invest, with respect to its investments in issuers existing or
operating in such countries. Such taxes are generally based on income earned or
repatriated and capital gains realized on the sale of such investments. The
Portfolio accrues such taxes when the related income or capital gains are
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.
C. INVESTMENT ADVISOR AND ADMINISTRATOR:
Dimensional Fund Advisors Inc. ("DFA" or the "Advisor") provides
administrative services to the Portfolio, including supervision of services
provided by others, providing information to shareholders and the Board of
Directors, and other administrative services. For the year ended November 30,
2003, the Portfolio's administrative fees were accrued daily and paid monthly to
the Advisor based on an effective annual rate of 0.40 of 1% of average daily net
assets.
The Advisor has agreed to waive its administration fee and to assume the
Portfolio's other direct expenses to the extent necessary to limit the direct
expenses of the Portfolio to 0.45% of its average net assets on an annualized
basis. This fee waiver and expense assumption arrangement does not include the
indirect expenses the Portfolio bears as a shareholder of the International
Master Funds. At any time that the direct expenses of the Portfolio are less
than 0.45% of its average net assets on an annualized basis, the Advisor retains
the right to seek reimbursement for any fees previously waived and/or expenses
previously assumed to the extent that such reimbursement will not cause the
Portfolio's direct expenses to exceed 0.45% of average net assets on an
annualized basis. The Portfolio is not obligated to reimburse the Advisor for
fees waived or expenses previously assumed by the Advisor more than thirty-six
months prior to the date of such reimbursement. The expense waiver will remain
in effect for a period of one year from April 1, 2003 to April 1, 2004, and
shall continue to remain in effect from year to year thereafter unless
terminated by the Fund or the Advisor. At November 30, 2003, there were no
waivers or fees subject to future reimbursement to the Advisor.
Certain officers of the Portfolio are also officers, and shareholders of
the Advisor.
94
<Page>
D. FEDERAL INCOME TAX:
No provision for federal income taxes is required since it is the
Portfolio's intention to continue to qualify as a regulated investment company
under Subchapter M of the Internal Revenue Code and distribute substantially all
of its taxable income and capital gains to shareholders. Because income tax
regulations differ from accounting principles generally accepted in the United
States of America, the timing and character of income and capital gain
distributions determined in accordance with tax regulations can differ from
income and capital gains recognized for financial reporting purposes.
Accordingly, the character of distributions and the composition of net assets
for tax purposes can differ from those reflected in the financial statements.
These book/tax differences may be temporary or permanent in nature. To the
extent these differences are permanent, they are charged or credited to paid in
capital, accumulated net realized gain (loss) or undistributed net investment
income as appropriate, in the period the differences arise. These
reclassifications have no effect on net assets or net value per share.
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
The components of distributed earnings on a tax basis do not differ
materially from book basis distributable earnings, which are disclosed in the
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Statement of Assets and Liabilities.
At November 30, 2003, gross unrealized appreciation and depreciation for
federal income tax purposes of investment securities was as follows (amounts in
thousands):
<Table>
<S>
Gross Unrealized Appreciation
Gross Unrealized Depreciation
<C>
$
151,739
(4,114)
----------$
147,625
===========
Net
</Table>
At November 30, 2003, the Portfolio had capital loss carryforwards for
federal income tax purposes of approximately $2,088,000 of which $1,816,000 and
$272,000 will expire on November 30, 2009 and November 30, 2010, respectively.
During the year ended November 30, 2003, the Portfolio utilized capital
loss carryforwards to offset realized capital gains for federal income tax
purposes in the approximate amount of $10,052,000.
During the year ended November 30, 2003, the Portfolio realized net foreign
currency gains, which increased distributable net income for tax purposes;
accordingly gains in the amount of $309,404 have been reclassified from
accumulated net realized gains to accumulated net investment income.
Certain of the Portfolios' investments are in securities considered to be
"passive foreign investment companies", for which any unrealized appreciation
(depreciation) (mark to market) and/or realized gains are required to be
included in distributable net investment income for tax purposes. The Portfolio
had unrealized appreciation (mark to market) and realized gains on the sale of
passive foreign investment companies, which are included in distributable net
investment income for tax purposes, accordingly, such gains have been
reclassified from accumulated net realized gains to accumulated net investment
income.
<Table>
<Caption>
<S>
International Small Company Portfolio
</Table>
MARK TO MARKET
-------------<C>
$ 1,824,415
REALIZED GAINS
-------------<C>
$
1,016,120
E. FINANCIAL INSTRUMENTS:
In accordance with the Portfolio's Investment Objectives and Policies, the
Portfolio may invest, either directly or through its investment in a
corresponding Master Fund, in certain financial instruments that have
off-balance sheet risk and concentrations of credit risk. These instruments and
their significant corresponding risks are described below:
1. REPURCHASE AGREEMENTS: The Portfolio may purchase money market
instruments subject to the counterparty's agreement to repurchase them at an
agreed upon date and price. The counterparty will be required on a daily basis
to maintain the value of the collateral subject to the agreement at not less
than the repurchase price (including accrued interest). The agreements are
conditioned upon the collateral being deposited under the Federal Reserve
book-entry system with the Fund's custodian or a third party sub-custodian. In
the event of default or bankruptcy by the other party to the agreement,
retention of the collateral may be subject to legal proceedings.
All open repurchase agreements were entered into on November 28, 2003.
95
<Page>
2. FOREIGN MARKETS RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States, including the possibility of future political and economic
developments and the level of foreign governmental supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid and
more volatile than the major securities markets in the United States.
Consequently, acquisition and disposition of securities by the Fund may be
inhibited.
F. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit with its domestic
custodian bank. Each portfolio is permitted to borrow, subject to its investment
limitations, up to a maximum of $50 million, as long as total borrowings under
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the line of credit do not exceed $50 million in the aggregate. Borrowings under
the line are charged interest at the then current federal funds rate plus 1%.
Each portfolio is individually, and not jointly liable for its particular
advances under the line of credit. There is no commitment fee on the unused
portion of the line of credit, since this is not a committed facility. The
agreement for the discretionary line of credit may be terminated at any time.
There were no borrowings under the line of credit during the year ended November
30, 2003.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit with its
international custodian bank. Each portfolio is permitted to borrow, subject to
investment limitations, up to a maximum of $150 million, as long as total
borrowings under the line of credit do not exceed $150 million in the aggregate.
Borrowings under the line of credit are charged interest at rates agreed to by
the parties at the time of borrowing. There is no commitment fee on the unused
line of credit. The agreement of the line of credit expires in April 2004. There
were no borrowings by the Portfolio under the line of credit during the year
ended November 30, 2003.
G. REIMBURSEMENT FEES:
Until March 30, 2002, shares of the Portfolio were sold at a public
offering price equal to the current net asset value of such shares plus a
reimbursement fee. Reimbursement fees are recorded as an addition to paid in
capital. The reimbursement fee for the Portfolio was 0.675% of the net asset
value of its shares and were recorded as an addition to paid-in capital.
Effective March 30, 2002, the Portfolio no longer charges reimbursement fees.
96
<Page>
REPORT OF INDEPENDENT REGISTERED CERTIFIED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS OF INTERNATIONAL SMALL COMPANY PORTFOLIO AND
BOARD OF DIRECTORS OF DFA INVESTMENT DIMENSIONS GROUP INC.
In our opinion, the accompanying statement of assets and liabilities, including
the schedule of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of International Small Company
Portfolio (constituting a portfolio within DFA Investment Dimensions Group Inc.,
hereafter referred to as the "Portfolio") at November 30, 2003, the results of
its operations for the year then ended, the changes in its net assets for each
of the two years in the period then ended and the financial highlights for each
of the five years in the period then ended, in conformity with accounting
principles generally accepted in the United States of America. These financial
statements and financial highlights (hereafter referred to as "financial
statements") are the responsibility of the Portfolio's management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with the standards of the Public Company Accounting Oversight Board (United
States), which require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at November 30, 2003 by
correspondence with the transfer agent of the investee funds, provide a
reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Fort Lauderdale, Florida
January 15, 2004
97
<Page>
SELECTED FINANCIAL STATEMENTS OF THE DFA INVESTMENT TRUST COMPANY
THE JAPANESE SMALL COMPANY SERIES
THE PACIFIC RIM SMALL COMPANY SERIES
THE UNITED KINGDOM SMALL COMPANY SERIES
THE CONTINENTAL SMALL COMPANY SERIES
TABLE OF CONTENTS
<Table>
<Caption>
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Please Consider the Environment Before Printing This Document
<S>
Schedules of Investments -- June 30, 2004 (Unaudited)
The Japanese Small Company Series
The Pacific Rim Small Company Series
The United Kingdom Small Company Series
The Continental Small Company Series
PAGE
---<C>
99
110
120
126
Schedules of Investments -- November 30, 2003
The Japanese Small Company Series
The Pacific Rim Small Company Series
The United Kingdom Small Company Series
The Continental Small Company Series
141
151
159
165
Statements of Assets and Liabilities -- June 30, 2004 (Unaudited)
179
Statements of Assets and Liabilities -- November 30, 2003
180
Statements of Operations
181
Statements of Changes in Net Assets
182
Financial Highlights
183
Notes to Financial Statements
185
Report of Independent Registered Certified Public Accounting Firm
189
Voting Proxies on Fund Portfolio Securities
</Table>
190
98
<Page>
THE JAPANESE SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
<S>
JAPAN -- (78.9%)
COMMON STOCKS -- (78.7%)
*A&A Material Corp.
*ABILIT Corp.
Achilles Corp.
Aderans Co., Ltd.
#Advan Co., Ltd.
ADVANEX, Inc.
*Aeon Fantasy Co., Ltd.
Ahresty Corp.
Aichi Bank, Ltd.
#Aichi Corp.
*Aichi Machine Industry Co., Ltd.
Aichi Tokei Denki Co., Ltd.
Aida Engineering, Ltd.
Aigan Co., Ltd.
Aiphone Co., Ltd.
Airport Facilities Co., Ltd.
#Airtech Japan, Ltd.
Aisan Industry Co., Ltd.
*Akai Electric Co., Ltd.
Akebono Brake Industry Co., Ltd.
Akita Bank, Ltd.
Allied Material Corp.
*Allied Telesis Holdings KK
#Allied Telesis KK
Aloka Co., Ltd.
#Alpha Systems Inc.
#Alpine Electronics, Inc.
Alps Logistics Co., Ltd.
Altech Co., Ltd.
*Altech Corp.
Amano Corp.
Amatsuji Steel Ball Manufacturing
Co., Ltd.
Ando Corp.
Anest Iwata Corp.
Anrakutei Co., Ltd.
SHARES
--------------<C>
123,000
22,000
549,000
2,850
36,000
78,000
11,500
28,300
13,200
119,900
153,000
67,000
113,000
33,500
32,000
79,970
12,100
80,500
363,000
141,000
42,000
37,700
92,700
10,300
43,000
19,600
9,100
21,000
14,000
5,800
154,000
42,000
120,000
74,000
24,000
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Please Consider the Environment Before Printing This Document
VALUE+
--------------<C>
$
124,468
120,395
1,068,311
61,415
477,840
425,762
274,472
274,994
904,251
563,983
553,016
199,852
534,326
218,176
568,922
428,703
112,094
840,232
3,327
740,608
169,203
602,727
433,277
77,241
354,301
318,626
123,131
540,231
65,966
102,883
1,375,761
418,290
296,529
184,942
169,559
*AOC Holdings, Inc.
AOI Advertising Promotion, Inc.
AOI Electronics Co., Ltd.
Aoki International Co., Ltd.
Aomori Bank, Ltd.
*Apic Yamada Corp.
*Arai-Gumi, Ltd.
Arakawa Chemical Industries, Ltd.
Araya Industrial Co., Ltd.
*Argo 21 Corp.
Ariake Japan Co., Ltd.
Aronkasei Co., Ltd.
As One Corp.
#Asahi Denka Kogyo KK
Asahi Diamond Industrial Co., Ltd.
Asahi Kogyosha Co., Ltd.
#Asahi Organic Chemicals Industry
Co., Ltd.
#Asahi Pretec Corp.
*#Asahi Soft Drinks Co., Ltd.
*#Asahi Tec Corp.
*#Asahi Techno Glass Corp.
Asanuma Corp.
#Ashimori Industry Co., Ltd.
Asia Air Survey Co., Ltd.
Asia Securities Printing Co., Ltd.
Asics Corp.
*Asics Trading Co., Ltd.
Asunaro Construction., Ltd.
Ataka Constuction & Engineering
Co., Ltd.
Atom Corp.
#Atsugi Co., Ltd.
Aucnet, Inc.
#Avex Inc.
*Azel Corp., Tokyo
Bando Chemical Industries, Ltd.
Bank of Okinawa, Ltd.
Bank of Saga, Ltd.
Bank of the Ryukyus, Ltd.
*Banpresto Co., Ltd.
#Best Denki Co., Ltd.
#BSL Corp.
Bull Dog Sauce Co., Ltd.
Bunka Shutter Co., Ltd.
Cabin Co., Ltd.
#CAC Corp.
Calpis Co., Ltd.
Canon Electronics, Inc.
#Canon Finetech, Inc.
Capcom Co., Ltd.
*Catena Corp.
*Cats, Inc.
#Cecile Co., Ltd.
Central Finance Co., Ltd.
Central Security Patrols Co., Ltd.
#CFS Corp.
*Chiba Kogyo Bank, Ltd.
#Chino Corp.
Chiyoda Co., Ltd.
Chofu Seisakusho Co., Ltd.
*Chori Co., Ltd.
Chuetsu Pulp and Paper Co., Ltd.
*#Chugai Mining Co., Ltd.
#Chugai Ro Co., Ltd.
#Chugoku Marine Paints, Ltd.
#Chugokukogyo Co., Ltd.
Chukyo Bank, Ltd.
Chuo Denki Kogyo co., Ltd.
Chuo Gyorui Co., Ltd.
Chuo Spring Co., Ltd., Nagoya
CKD Corp.
*#Clarion Co., Ltd.
Cleanup Corp.
#CMK Corp.
Coca Cola Central Japan Co., Ltd.
</Table>
111,100
21,000
14,500
78,100
163,000
20,000
34,450
23,800
84,000
13,200
5,300
53,000
22,500
169,000
112,000
48,000
677,858
148,767
264,234
1,084,610
661,186
125,708
66,046
306,587
161,106
100,890
158,216
214,463
618,395
1,691,774
681,056
146,118
157,000
30,800
81,500
86,000
95,000
123,000
84,000
6,000
29,000
333,000
7,000
29,000
462,026
402,130
767,077
174,751
646,699
230,560
180,916
15,969
261,347
1,105,365
98,895
215,868
$
38,000
16,600
322,000
15,000
14,600
89,000
213,000
33,900
113,000
45,880
11,700
214,000
210,950
26,000
134,000
67,000
31,100
125,000
43,000
67,070
55,300
46,000
15,400
64,100
180,000
31,400
47,500
80,600
70,000
64,400
54,500
256,000
176,000
188,600
139,000
111,000
45,000
44,000
30,000
61,000
91,000
113,000
587,000
71,000
62,000
139
142,358
195,625
388,212
248,069
268,199
103,511
726,299
766,550
429,840
805,287
165,375
1,001,411
432,493
280,718
644,762
162,183
218,957
904,994
994,650
1,218,159
612,994
143,412
423
586,579
670,461
255,587
340,416
558,281
239,942
1,078,559
1,077,481
372,998
441,587
159,320
366,233
616,089
173,154
164,054
163,581
118,505
365,757
784,478
1,018,964
812,466
981,110
993,539
SHARES
VALUE+
99
<Page>
<Table>
<Caption>
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
<S>
#Colowide Co., Ltd.
*#Columbia Music Entertainment, Inc.
Commuture Corp.
Computer Engineering & Consulting, Ltd.
*Co-Op Chemical Co., Ltd.
*Core Corp.
#Corona Corp.
#Cosel Co., Ltd.
Create Medic Co., Ltd.
Credia Co., Ltd.
Cresco, Ltd.
CTI Engineering Co., Ltd.
*#Culture Convenience Club Co., Ltd.
*Cybozu, Inc.
*D&M Holdings, Inc.
#Dai Nippon Toryo, Ltd.
Daibiru Corp.
Dai-Dan Co., Ltd.
Daido Kogyo Co., Ltd.
Daidoh, Ltd.
Daifuku Co., Ltd.
Daihen Corp.
#Daiho Corp.
Dai-Ichi Jitsugyo Co., Ltd.
Dai-Ichi Kogyo Seiyaku Co., Ltd.
#Daiken Corp.
Daiki Co., Ltd.
Daiko Clearing Services Corp.
*Daikoku Denki Co., Ltd.
*#Daikyo, Inc.
Daimei Telecom Engineering Corp.
Dainichi Co., Ltd.
#Dainichiseika Colour & Chemicals
Manufacturing Co., Ltd.
#Dainippon Shigyo Co., Ltd.
Daisan Bank, Ltd.
#Daiseki Co., Ltd.
#Daiso Co., Ltd.
*Daisue Construction Co., Ltd.
Daisyo Corp.
Daito Seiki Co., Ltd.
*Daito Woolen Spinning & Weaving
Co., Ltd., Tokyo
Daiwa Industries, Ltd.
Daiwa Kosho Lease Co., Ltd.
*#Daiwa Seiko, Inc.
Daiwabo Co., Ltd.
Daiwabo Information System Co.,
Ltd.
Danto Corp.
DC Co., Ltd.
Denki Kogyo Co., Ltd.
#Denny's Japan Co., Ltd.
Densei-Lambda KK
#Denyo Co., Ltd.
#Descente, Ltd.
*Dia Kensetsu Co., Ltd.
Diamond Computer Service Co.,
Ltd.
*Dijet Industrial Co., Ltd.
Doshisha Co., Ltd.
#Doutor Coffee Co., Ltd.
DTS Corp.
*Dydo Drinco Inc.
*#Dynic Corp.
Eagle Industry Co., Ltd.
*Echo Trading Co., Ltd.
*Econach Co., Ltd.
*Eco-Tech Construction Co., Ltd.
Edion Corp.
Ehime Bank, Ltd.
#Eiken Chemical Co., Ltd.
Eikoh, Inc.
*Eizo Nanao Corp.
Elna Co., Ltd.
Enplas Corp.
*#Enshu, Ltd.
Ensuiko Sugar Refining Co., Ltd.
Exedy Corp.
*F.D.C. Products, Inc.
*Fancl Corp.
*#FDK Corp.
--------------<C>
29,000
212,000
71,202
29,800
80,000
8,200
44,300
33,400
7,000
14,000
11,600
19,000
53,200
28
134,000
193,000
60,000
65,000
60,000
54,000
176,000
215,000
96,000
80,000
47,000
208,000
41,300
25,000
15,400
444,000
65,000
27,200
--------------<C>
$
330,576
230,626
574,427
352,897
90,722
196,274
646,775
1,044,058
64,849
282,499
125,585
113,394
690,893
64,327
480,975
294,553
414,886
332,167
119,769
468,637
902,628
471,222
215,571
231,773
139,720
1,030,965
437,963
161,015
337,060
997,878
435,867
131,130
163,000
25,000
156,000
35,400
112,000
151,500
32,000
18,000
890,725
116,922
598,551
590,568
327,526
170,418
397,402
54,395
42,000
82,000
225,000
145,000
217,000
45,208
250,658
1,277,805
169,518
284,217
22,000
42,000
33,000
111,000
51,000
34,584
38,000
119,000
141,200
307,601
175,941
76,575
432,459
1,033,921
305,465
245,424
477,629
202,514
37,700
34,000
15,000
34,200
21,200
17,600
52,000
78,000
4,000
26,000
241,000
112,316
232,000
54,000
8,000
20,900
22,000
29,800
69,000
51,000
71,000
7,200
5,900
178,000
478,594
58,519
662,718
608,839
497,603
560,699
159,776
438,158
53,362
12,664
0
1,527,330
805,106
506,530
59,266
615,780
57,962
974,298
124,646
102,934
1,259,826
117,804
194,575
607,785
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
$
Fine Sinter Co., Ltd.
*First Baking Co., Ltd.
Foster Electric Co., Ltd.
FP Corp.
#France Bed Holdings Co., Ltd.
*#Fudo Construction Co., Ltd.
*#Fuji Co.,Ltd.
*Fuji Corp, Ltd.
Fuji Kiko Co., Ltd.
*#Fuji Kosan Co., Ltd.
Fuji Kyuko Co., Ltd.
*#Fuji Spinning Co., Ltd., Tokyo
Fujicco Co., Ltd.
*Fujii & Co., Ltd.
*Fujiko Co., Ltd.
Fujikura Kasei Co., Ltd.
Fujikura Rubber, Ltd.
#Fujirebio, Inc.
*#Fujita Corp.
#Fujita Kanko, Inc.
Fujitec Co., Ltd.
*Fujitsu Access, Ltd.
Fujitsu Business Systems, Ltd.
Fujitsu Devices, Inc.
Fujitsu Fronttec, Ltd.
*#Fujitsu General, Ltd.
*#Fujiya Co., Ltd.
Fukuda Corp.
Fukushima Bank, Ltd.
*Fukusima Industries Corp.
*Fukusuke Corp.
Fumakilla, Ltd.
*Furukawa Battery Co., Ltd.
*#Furukawa Co., Ltd.
Fuso Lexel Inc.
Fuso Pharmaceutical
Industries, Ltd.
*Ga-jo-en Kanko KK
Gakken Co., Ltd.
*Generas Corp.
#Genki Sushi Co., Ltd.
</Table>
31,000
67,000
32,000
38,800
193,000
40,200
29,900
21,000
71,000
130,000
170,000
163,000
46,000
44,000
55,000
43,000
34,000
75,000
200,500
194,000
145,000
36,000
45,300
38,000
41,500
161,000
190,000
65,000
271,000
10,500
95,000
24,000
45,000
643,000
17,000
97,424
123,242
295,816
802,358
668,597
202,377
579,429
229,633
243,150
158,976
609,869
216,615
586,721
403
1,008
361,417
209,004
1,031,304
252,151
763,124
738,784
198,956
614,017
487,845
395,286
843,896
331,327
296,796
461,513
127,228
0
47,730
81,909
722,861
136,839
157,000
37,000
168,000
64,000
17,200
538,337
0
391,266
587
226,042
SHARES
--------------<C>
10,000
6,200
242,000
76,000
31,000
39,000
84,000
90,000
127,000
29,000
36,400
57,000
32,000
22,000
78,000
405,000
15,000
24,300
37,000
21,600
128,000
48,000
15,000
63,000
288,000
41,000
22,700
20,000
153,000
76,000
59,000
12,000
23,000
VALUE+
--------------<C>
$
31,061
41,348
1,120,249
144,116
279,594
66,818
117,365
204,498
377,412
302,797
498,482
167,865
53,112
31,690
164,787
1,459,465
184,463
192,100
270,572
313,667
156,036
123,913
208,330
512,201
793,950
331,224
171,693
82,496
981,902
590,473
826,330
32,697
167,863
100
<Page>
<Table>
<Caption>
<S>
Geostar Corp.
Global-Dining, Inc.
Godo Steel, Ltd.
*Goldwin, Inc.
#Gourmet Kineya Co., Ltd.
*Graphtec Corp.
#Gro-BeLS Co., Ltd.
*GSI Creoss Corp.
Gun-Ei Chemical Industry Co., Ltd.
Hagoromo Foods Corp.
Hakuto Co., Ltd.
Hakuyosha Co., Ltd.
Haltec Corp.
*Hamai Co., Ltd.
Hanshin Sogo Bank, Ltd.
Hanwa Co., Ltd.
Happinet Corp.
Harashin Co., Ltd.
Harima Chemicals, Inc.
Haruyama Trading Co., Ltd.
*#Hayashikane Sangyo Co., Ltd.
*Hazama Corp.
Heiwado Co., Ltd.
Hibiya Engineering, Ltd.
Higashi-Nippon Bank, Ltd.
Hisaka Works, Ltd.
Hitachi Business Solution Co., Ltd.
Hitachi Kiden Kogyo, Ltd.
Hitachi Koki Co., Ltd.
#Hitachi Kokusai Electric, Inc.
Hitachi Medical Corp.
Hitachi Metals Techno, Ltd.
*Hitachi Mobile Co., Ltd.
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Hitachi Plant Engineering &
Construction Co., Ltd.
Hitachi Powdered Metal Co., Ltd.
Hitachi Tool Engineering, Ltd.
#Hochiki Corp.
*Hodogaya Chemical Co., Ltd.
*Hohsui Corp.
Hokkai Can Co., Ltd., Tokyo
#Hokkaido Bank, Ltd.
Hokkaido Coca Cola Bottling Co.,
Ltd.
Hokkaido Gas Co., Ltd.
Hokko Chemical Industry Co., Ltd.
#Hokuetsu Bank, Ltd.
Hokuriku Electric Industry Co., Ltd.
Hokuriku Electrical Construction
Co., Ltd.
Hokuriku Gas Co., Ltd.
*Hokushin Co., Ltd.
#Hokuto Corp.
#Homac Corp.
Honshu Chemical Industry Co., Ltd.
#Horiba, Ltd.
Horipro, Inc.
*#Hosokawa Micron Corp.
*#Howa Machinery, Ltd.
*#Ichida and Co., Ltd.
Ichikawa Co., Ltd.
Ichiken Co., Ltd.
#Ichikoh Industries, Ltd.
Ichiyoshi Securities Co., Ltd.
#Icom, Inc.
Idec Izumi Corp.
Ihara Chemical Industry Co., Ltd.
#Iino Kaiun Kaisha, Ltd.
*#Ikegami Tsushinki Co., Ltd.
i-Logistics Corp.
*Imasen Electric Industrial Co., Ltd.
Impact 21 Co., Ltd.
*#Impress Corp.
Inaba Denki Sangyo Co., Ltd.
#Inaba Seisa Kusho Co., Ltd.
Inabata and Co., Ltd., Osaka
Inageya Co., Ltd.
Ines Corp.
I-Net Corp.
#Information Services InternationalDentsu, Ltd.
Intec, Inc.
#Inui Steamship Co., Ltd.
ISE Chemicals Corp.
#Iseki & Co., Ltd.
Ishihara Sangyo Kaisha, Ltd.
Ishii Hyoki Co., Ltd.
*#Ishii Iron Works Co., Ltd.
*#Ishikawa Seisakusho, Ltd.
Ishikawajima Construction Materials
Co., Ltd.
Ishikawajima Transport Machinery
Co., Ltd.
Ishizuka Glass Co., Ltd.
Itochu Enex Co., Ltd.
#Itochu Shokuh Co., Ltd.
Itoki Crebio Corp.
Iwaki & Co., Ltd.
#Iwasaki Electric Co., Ltd.
Iwatani International Corp.
*Iwatsu Electric Co., Ltd.
*Izuhakone Railway Co., Ltd.
*#Izukyu Corp.
Izumiya Co., Ltd.
*#Izutsuya Co., Ltd.
Jac Holdings Co., Ltd.
Jaccs Co., Ltd.
*Jalux, Inc.
Jamco Corp.
*#Janome Sewing Machine Co., Ltd.
Japan Business Computer Co., Ltd.
#Japan Carlit Co., Ltd.
Japan Cash Machine Co., Ltd.
Japan Digital Laboratory Co., Ltd.
Japan Foundation Engineering Co.,
Ltd.
Japan Information Processing
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
177,000
46,000
39,000
42,000
100,000
56,000
106,000
580,000
718,471
313,759
332,916
200,515
363,413
69,792
262,236
1,204,977
64,000
87,000
41,000
350,000
112,000
398,913
214,048
143,955
724,530
222,229
36,000
64,000
39,900
51,700
66,500
7,000
54,000
23,400
40,000
181,000
23,400
49,000
48,000
141,000
87,000
23,600
54,500
80,000
161,000
102,000
35,000
15,800
30,600
178
40,500
28,400
95,000
83,000
80,400
12,000
104,621
185,388
63,342
910,224
484,944
36,440
800,859
196,942
288,721
228,594
46,326
161,808
77,143
403,127
726,640
539,661
500,144
192,960
701,680
204,714
68,457
139,702
752,414
258,766
924,782
475,660
768,282
789,242
916,446
68,113
$
51,800
65,000
31,000
38,000
348,000
133,000
8,600
52,000
75,000
705,342
474,775
107,974
139,149
952,082
295,222
99,204
72,057
108,452
18,000
50,767
16,000
49,000
149,300
20,700
56,000
38,000
110,000
389,000
145,000
300
11,700
135,000
123,000
11,000
207,000
14,400
18,000
224,000
34,000
28,000
29,810
53,900
40,081
112,698
833,164
777,823
175,042
105,601
455,010
984,439
346,151
37,117
87,688
913,174
252,870
81,118
1,339,855
302,016
82,446
378,275
245,626
179,671
1,059,535
689,942
49,200
215,508
Service Co., Ltd.
#Japan Kenzai Co., Ltd.
Japan Maintenance Co., Ltd.
Japan Medical Dynamic Marketing
Inc.
Japan Oil Transportation Co., Ltd.
#Japan Pulp and Paper Co., Ltd.
</Table>
31,800
33,440
27,000
236,556
276,152
218,015
26,100
45,000
229,000
336,918
103,607
763,132
SHARES
--------------<C>
124,000
51,000
19,000
590,000
529,000
94,000
101,000
138,000
11,600
12,740
119,000
34,000
59
49,000
101,000
274,000
24,900
98,000
42,300
24,000
321,000
153,000
48,000
17,000
15,000
27,000
38,400
126,350
68,900
51,400
146,000
100,000
87,800
33,000
59,000
55,000
100,000
43,000
723,000
534,500
45,500
60,000
87,100
83,000
VALUE+
--------------<C>
$
578,881
169,339
42,239
936,306
1,294,442
270,625
341,878
769,020
212,178
169,473
893,872
60,173
74,321
159,001
158,665
1,113,339
541,194
350,649
561,591
66,059
375,835
542,543
119,140
287,518
570,558
972,263
755,299
703,672
659,779
706,471
857,440
916
221,980
250,260
466,030
300,885
586,211
224,701
679,871
883,900
552,423
154,671
972,496
470,533
104,000
45,500
59,000
46,000
132,000
17,000
55,000
60,300
82,000
48,600
76,000
575,306
372,334
192,678
170,757
819,240
51,827
577,651
848,186
156,878
55,316
250,308
99,000
36,000
151,234
41,410
126,000
549,000
57,900
26,000
112
40,000
48,000
172,593
1,612,797
252,429
186,309
170,927
143,150
236,932
101
<Page>
<Table>
<Caption>
<S>
*Japan Radio Co., Ltd.
Japan Servo Co., Ltd.
Japan Steel Tower Co., Ltd.
#Japan Steel Works, Ltd.
#Japan Storage Battery Co., Ltd.
#Japan Transcity Corp.
Japan Vilene Co., Ltd.
Japan Wool Textile Co., Ltd.
Jastec Co., Ltd.
Jeans Mate Corp.
#Jeol, Ltd.
*#Jidosha Denki Kogyo Co., Ltd.
*Jiec Co., Ltd.
JMS Co., Ltd.
Joban Kosan Co., Ltd.
J-Oil Mills, Inc.
Joint Corp.
#Joshin Denki Co., Ltd.
Jsp Corp.
Juel Verite Ohkubo Co., Ltd.
*#Jujiya Co., Ltd.
*#Juki Corp.
*Jyomo Co., Ltd.
K.R.S. Corp.
Kabuki-Za Co., Ltd.
#Kadokawa Holdings, Inc.
#Kaga Electronics Co., Ltd.
Kagawa Bank, Ltd.
#Kagome Co., Ltd.
Kahma Co., Ltd.
#Kaken Pharmaceutical Co., Ltd.
*Kakuei (L.) Corp.
*#Kamagai Gumi Co., Ltd.
Kameda Seika Co., Ltd.
Kamei Corp.
Kanaden Corp.
Kanagawa Chuo Kotsu Co., Ltd.
Kanamoto Co., Ltd.
*#Kanebo, Ltd.
*#Kanematsu Corp.
Kanematsu Electronics, Ltd.
*#Kanematsu-NNK Corp.
Kanto Auto Works, Ltd., Yokosuka
#Kanto Denka Kogyo Co., Ltd.
Kanto Natural Gas Development
Co., Ltd.
#Kanto Tsukuba Bank, Ltd.
Kasai Kogyo Co., Ltd.
Kasei (C.I.) Co., Ltd.
#Kasumi Co., Ltd.
Katakura Chikkarin Co., Ltd.
Katakura Industries Co., Ltd.
#Kato Sangyo Co., Ltd.
#Kato Works Co., Ltd.
Katsumura Construction Co., Ltd.
Kawada Industries, Inc.
*#Kawai Musical Instruments
Manufacturing Co., Ltd.
*Kawasaki Kasei Chemicals, Ltd.
Kawashima Textile Manufacturers,
Ltd.
*Kawasho Corp.
Kawasho Gecoss Corp.
Kawasumi Laboratories, Inc.
Kawatetsu Systems, Inc.
Kayaba Industry Co., Ltd.
*Keihanshin Real Estate Co., Ltd.
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
$
#Keihin Co., Ltd.
Keiiyu Co., Ltd.
Keiyo Co., Ltd.
#Kentucky Fried Chicken Japan, Ltd.
*#Kenwood Corp.
#Key Coffee, Inc.
Kibun Food Chemifa Co., Ltd.
*Kimmon Manufacturing Co., Ltd.
*Kimura Chemical Plants Co., Ltd.
Kinki Coca-Cola Bottling Co., Ltd.
*#Kinki Nippon Tourist Co., Ltd.
#Kinki Sharyo Co., Ltd., Nagaokakyo
*Kinsho Corp.
#Kinugawa Rubber Industrial Co.,
Ltd.
Kioritz Corp.
*Kirindo Co., Ltd.
#Kishu Paper Co., Ltd.
Kisoji Co., Ltd.
#Kitagawa Iron Works Co., Ltd.
Kita-Nippon Bank, Ltd.
Kitano Construction Corp.
Kitazawa Sangyo Co., Ltd.
Kitz Corp.
Koa Corp.
Koatsu Gas Kogyo Co., Ltd.
Kobayashi Yoko Co., Ltd.
Kodensha Co., Ltd.
Koekisha Co., Ltd.
#Kohnan Shoji Co., Ltd.
Kohsoku Corp.
Koike Sanso Kogyo Co., Ltd.
Koito Industries, Ltd.
#Kojima Co., Ltd.
*Kokune Corp.
*Kokusai Kogyo Co., Ltd.
Komai Tekko, Inc.
#Komatsu Electronics Metals Co.,
Ltd.
Komatsu Seiren Co., Ltd.
Komatsu Wall Industry Co., Ltd.
Konaka Co., Ltd.
#Konami Sports Corp.
Kondotec, Inc.
Konishi Co., Ltd.
Kosaido Co., Ltd.
#Kosei Securities Co., Ltd.
*#Kubotek Corp.
Kumiai Chemical Industry Co., Ltd.,
Tokyo
Kurabo Industries, Ltd.
Kureha Chemical Industry Co., Ltd.
#Kurimoto, Ltd.
#Kuroda Electric Co., Ltd.
Kurosaki Harima Corp.
Kyoden Co., Ltd.
Kyodo Printing Co., Ltd.
</Table>
100,000
15,000
139,900
55,000
382,000
33,000
42,000
41,000
27,000
97,000
133,000
101,000
21,000
187,933
183,286
730,074
1,035,772
997,930
449,907
771,697
53,523
41,016
907,792
424,672
285,230
68,609
107,000
96,000
7,100
125,000
34,400
124,000
13,006
124,000
17,500
234,000
67,300
78,000
16,900
14,000
9,600
29,500
24,000
71,000
66,000
61,800
42,000
60,000
53,000
248,784
234,125
82,363
216,875
477,300
237,527
617,062
252,199
43,706
1,037,203
610,306
270,657
356,976
41,322
236,129
685,693
283,872
161,511
282,270
880,991
385
195,657
134,438
46,800
53,000
17,300
29,700
43,800
12,500
28,000
34,000
137,000
147
620,141
261,580
319,654
418,475
849,540
70,587
265,081
295,428
317,962
245,256
108,000
372,000
36,000
202,000
31,200
125,000
79,000
152,000
253,597
721,957
150,666
447,214
1,354,321
220,962
932,805
602,989
SHARES
--------------<C>
145,000
44,000
53,000
36,000
44,800
167,000
15,400
VALUE+
--------------<C>
$
176,197
168,346
124,449
105,361
591,981
313,659
385,986
97,000
128
348,579
297,391
30,000
22,000
32,000
140,000
487,000
54,000
90,895
165,159
206,959
702,409
1,022,258
138,776
102
<Page>
<Table>
<Caption>
<S>
#Kyodo Shiryo Co., Ltd.
Kyoei Sangyo Co., Ltd.
#Kyoei Tanker Co., Ltd.
Kyokuto Boeki Kaisha, Ltd.
Kyokuto Kaihatsu Kogyo Co., Ltd.
Kyokuyo Co., Ltd.
Kyoritsu Maintenance Co., Ltd.
Kyosan Electric Manufacturing Co.,
Ltd.
Kyoto Kimono Yuzen Co., Ltd.
Kyowa Electronic Instruments Co.,
Ltd.
Kyowa Exeo Corp.
Kyowa Leather Cloth Co., Ltd.
Kyudenko Corp.
Kyushu-Shinwa Holdings, Inc.
#Laox Co., Ltd.
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Life Corp.
*Link Consulting Associates - Japan
Corp.
*Lonseal Corp.
*Look, Inc.
Macnica, Inc.
Maeda Corp.
Maeda Road Construction Co., Ltd.
Maezawa Industries, Inc.
Maezawa Kaisei Industries Co.,
Ltd.
Maezawa Kyuso Industries Co.,
Ltd.
*Magara Construction Co., Ltd.
#Makino Milling Machine Co., Ltd.
*Mamiya-Op Co., Ltd.
Marche Corp.
#Mars Engineering Corp.
Marubeni Construction Material
Lease Co., Ltd.
*Marubeni Telecom Co., Ltd.
Marubun Corp.
Marudai Food Co., Ltd.
*Maruei Department Store Co., Ltd.
#Maruetsu, Inc.
Maruha Group, Inc.
Maruishi Cycle Industries, Ltd.
Marusan Securities Co., Ltd.
Maruwa Co., Ltd.
Maruwn Corp.
Maruya Co., Ltd.
Maruyama Manufacturing Co., Inc.
*#Maruzen Co., Ltd.
Maruzen Co., Ltd. - General
Commercial Kitchen Appliances &
Equipment
Maruzen Showa Unyu Co., Ltd.
Maspro Denkoh Corp.
Matsuda Sangyo Co., Ltd.
Matsui Construction Co., Ltd.
*Matsuo Bridge Co., Ltd.
#Matsuya Co., Ltd.
Matsuya Foods Co., Ltd.
#Matsuzakaya Co., Ltd.
Max Co., Ltd.
*Maxvalu Tohok Co., Ltd.
#Megachips Corp.
Meidensha Corp.
*#Meiji Machine Co., Ltd.
#Meiji Shipping Co., Ltd.
Meisei Industrial Co., Ltd.
Meito Sangyo Co., Ltd.
Meito Transportation Co., Ltd.
#Meiwa Estate Co., Ltd.
Meiwa Industry Co., Ltd.
*Meiwa Trading Co., Ltd.
Melco Holdings, Inc.
Mercian Corp.
Mikuni Coca-Cola Bottling Co., Ltd.
#Milbon Co., Ltd.
#Mimasu Semiconductor Industry
Co., Ltd.
Ministop Co., Ltd.
Mirai Group Co., Ltd.
Miroku Jyoho Service Co., Ltd.
*Misawa Homes Holdings, Inc.
#Misawa Resort Co., Ltd.
Mito Securities Co., Ltd.
Mitsuba Corp.
*Mitsubishi Cable Industries, Ltd.
*Mitsubishi Kakoki Kaisha, Ltd.
#Mitsubishi Paper Mills, Ltd.
Mitsubishi Pencil Co., Ltd.
#Mitsubishi Plastics, Inc.
Mitsubishi Shindoh Co., Ltd.
#Mitsubishi Steel Manufacturing
Co., Ltd.
Mitsuboshi Belting, Ltd.
Mitsui High-Tec, Inc.
Mitsui Home Co., Ltd.
#Mitsui Knowledge Industry Co., Ltd.
*#Mitsui Matsushima Co., Ltd.
*Mitsui Mining Co., Ltd.
Mitsui Sugar Co., Ltd.
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
49,400
558,217
18,800
69,000
50,000
28,400
38,000
155,000
27,700
189,623
66,031
262,734
917,193
178,973
1,092,978
147,216
20,600
324,905
25,400
61,000
141,000
58,000
10,700
22,200
286,862
70,082
947,494
91,860
112,529
1,636,231
54,000
80
44,600
189,000
72,000
27,000
477,000
214,000
106,000
17,500
44,000
14,000
73,000
179,000
97,845
102,910
360,779
379,240
184,101
170,141
918,022
17,651
665,583
289,865
126,476
107,730
134,941
500,259
30,000
156,000
32,300
34,500
40,000
37,000
84,000
30,300
189,077
84,000
12,900
39,100
378,050
90,000
47,000
29,000
41,700
22,000
34,000
15,000
55,000
9,000
212,000
76,000
14,900
187,023
486,237
362,681
296,728
140,265
106,555
382,091
670,033
899,656
968,304
110,562
405,843
866,765
121,897
169,025
116,493
709,881
193,984
374,523
43,645
129,639
229,690
578,747
724,397
444,442
$
33,200
45,500
49,000
22,500
262,900
90,000
113,000
60,000
277,000
117,000
505,000
61,000
333,000
82,000
507,093
826,406
92,038
208,966
828,919
259,461
399,395
377,664
372,935
205,448
786,434
498,138
916,138
199,444
253,000
153,000
68,400
97,000
20,100
90,000
177,500
145,000
360,038
676,880
826,384
534,102
229,195
127,711
240,755
360,816
Mitsui-Soko Co., Ltd.
Mitsumi Electric Co., Ltd.
#Mitsumura Printing Co., Ltd.
Mitsuuroko Co., Ltd.
Miura Co., Ltd.
Miura Printing Corp.
Miyaji Engineering Group
Miyazaki Bank, Ltd.
#Miyoshi Oil & Fat Co., Ltd.
#Miyuki Keori Co., Ltd.
Mizuno Corp.
*Momiji Holdings, Inc.
Mori Seiki Co., Ltd.
Morinaga & Co., Ltd.
*#Morishita Jinton Co., Ltd.
Morita Corp.
#Moritex Corp.
Morozoff, Ltd., Osaka
Mory Industries, Inc.
Mos Food Services, Inc.
Moshi Moshi Hotline, Inc.
#MR Max Corp.
*Mutoh Industries, Ltd.
</Table>
221,000
34,800
49,000
107,000
66,400
16,000
90,000
275,000
120,000
50,000
205,000
340
19,900
419,000
32,800
74,000
15,000
50,000
66,000
47,000
8,700
56,300
78,000
711,479
406,508
342,509
696,140
1,120,321
54,960
161,777
1,056,766
241,418
179,909
1,012,327
734,678
175,037
979,538
159,972
405,650
144,665
98,946
174,541
571,579
673,234
191,982
195,243
SHARES
--------------<C>
38,000
67,000
210,000
13,000
433,000
122,000
27,000
56,000
109,000
76,000
85,000
49,000
186,000
36,000
196,000
15,800
VALUE+
--------------<C>
$
205,907
434,261
1,115,778
119,885
1,573,266
375,511
45,655
436,843
108,549
141,686
266,717
139,109
774,300
163,280
641,810
462,845
65,000
180,000
66,000
62,000
43,900
67,900
237,000
58,000
1,190
64,980
54,000
85,000
44,000
289,000
24,500
32,100
19,440
54,000
32,000
27,000
85,000
50,000
103,000
105,000
11,000
26,000
648,568
898,898
367,147
767,199
0
249,362
880,285
176,081
1,091
1,055,537
110,153
99,538
165,785
448,745
412,239
785,547
485,241
626,577
146,173
66,713
1,194,598
107,062
191,018
778,677
35,900
58,242
56,000
35,000
81,000
107,000
52,000
80,000
111,000
104,948
203,208
267,912
465,051
174,199
170,093
647,218
103
<Page>
<Table>
<Caption>
<S>
Mutow Co., Ltd.
Myojo Foods Co., Ltd.
Nabtesco Corp.
#NAC Co., Ltd.
#Nachi-Fujikoshi Corp.
Nagano Bank, Ltd.
*Nagano Japan Radio Co., Ltd.
#Nagatanien Co., Ltd.
*#Naigai Co., Ltd.
Nakabayashi Co., Ltd.
#Nakamuraya Co., Ltd.
*Nakano Corp.
#Nakayama Steel Works, Ltd.
Nakayo Telecommunications, Inc.
#NEC Infrontia Corp.
*NEC Mobiling, Ltd.
#NEC System Integration &
Construction, Ltd.
#NEC Tokin Corp.
Neturen Co., Ltd., Tokyo
New Japan Radio Co., Ltd.
*New Real Property KK
#Nichia Steel Works, Ltd.
#Nichias Corp.
#Nichiban Co., Ltd.
*Nichiboshin, Ltd.
Nichiha Corp.
Nichimo Co., Ltd.
*Nichimo Corp.
Nichireki Co., Ltd.
Nichiro Corp.
Nidec Tosok Corp.
Nihon Dempa Kogyo Co., Ltd.
Nihon Eslead Corp.
#Nihon Inter Electronics Corp.
Nihon Kagaku Sangyo Co., Ltd.
*Nihon Kentetsu Co., Ltd.
Nihon Kohden Corp.
Nihon Matai Co., Ltd.
Nihon Nohyaku Co., Ltd.
#Nihon Parkerizing Co., Ltd.
Nihon Seiko Co., Ltd.
Nihon Shokuh Kako Co., Ltd.
*Nihon Spindle Manufacturing Co.,
Ltd.
Nihon Tokushu Toryo Co., Ltd.
Nikken Chemicals Co., Ltd.
Nikkiso Co., Ltd.
Nikko Co., Ltd., Akashi
*Nippei Toyama Corp.
Nippo Corp.
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
*Nippon Avionics Co., Ltd.
Nippon Beet Sugar Manufacturing
Co., Ltd.
*#Nippon Carbide Industries Co., Inc.,
Tokyo
#Nippon Carbon Co., Ltd.
#Nippon Ceramic Co., Ltd.
Nippon Chemical Industrial Co.,
Ltd.
Nippon Chemi-Con Corp.
*Nippon Chemiphar Co., Ltd.
Nippon Chutetsukan KK
Nippon Concrete Industries Co.,
Ltd.
*Nippon Conlux Co., Ltd.
*Nippon Conveyor Co., Ltd.
#Nippon Denko Co., Ltd.
Nippon Densetsu Kogyo Co., Ltd.
Nippon Denwa Shisetu Co., Ltd.
Nippon Felt Co., Ltd.
#Nippon Fine Chemical Co., Ltd.
Nippon Flour Mills Co., Ltd.
*Nippon Foil Mfg., Co., Ltd.
#Nippon Formula Feed Manufacturing
Co., Ltd.
Nippon Gas Co., Ltd.
Nippon Hume Corp.
#Nippon Kanzai Co., Ltd.
*#Nippon Kasei Chemical Co., Ltd.
*Nippon Kinzoku Co., Ltd.
#Nippon Koei Co., Ltd., Tokyo
Nippon Konpo Unyu Soko Co., Ltd.
*#Nippon Koshuha Steel Co., Ltd.
*#Nippon Metal Industry Co., Ltd.
Nippon Pigment Co., Ltd.
Nippon Pillar Packing Co., Ltd.
Nippon Piston Ring Co., Ltd.
Nippon Road Co., Ltd.
#Nippon Seiki Co., Ltd.
Nippon Seisen Co., Ltd.
Nippon Sharyo, Ltd.
Nippon Shinyaku Co., Ltd.
Nippon Signal Co., Ltd.
Nippon Soda Co., Ltd.
Nippon Suisan Kaisha, Ltd.
#Nippon Synthetic Chemical Industry
Co., Ltd.
Nippon System Development Co.,
Ltd.
Nippon Systemware Co., Ltd.
Nippon Thompson Co., Ltd.
Nippon Tungsten Co., Ltd.
Nippon Valqua Industries, Ltd.
*#Nippon Yakin Kogyo Co., Ltd.
Nippon Yusoki Co., Ltd.
Nishishiba Electric Co., Ltd.
*#Nissan Diesel Motor Co., Ltd.
*Nissei Corp.
Nissei Plastic Industrial Co., Ltd.
*Nisseki House Industry Co., Ltd.
#Nissha Printing Co., Ltd.
#Nisshin Fire & Marine Insurance Co.,
Ltd.
Nisshin Fudosan Co., Ltd.
Nissho Electronics Corp.
#Nissin Co., Ltd.
Nissin Corp.
Nissin Electric Co., Ltd.
Nissin Kogyo Co., Ltd.
Nissin Sugar Manufacturing Co.,
Ltd.
Nissui Pharmaceutical Co., Ltd.
Nitchitsu Co., Ltd.
</Table>
40,000
160,376
243,000
441,603
101,000
177,000
37,000
178,970
298,802
509,370
131,000
197,000
49,000
44,000
498,579
1,023,101
200,037
89,603
$
65,000
30,000
43,000
159,000
93,000
104,000
28,000
40,000
186,000
21,000
118,398
191,083
45,873
647,569
435,601
376,841
100,934
161,525
915,376
44,440
100,000
62,000
43,000
32,700
154,000
93,000
137,000
115,000
221,000
230,000
11,000
33,000
133,000
147,000
85,000
39,000
233,000
111,000
109,000
215,000
238,000
182,280
441,548
103,632
532,850
209,062
169,023
339,615
1,129,136
299,883
369,465
32,252
225,208
259,009
288,055
723,118
167,326
691,340
770,671
659,453
633,184
634,804
152,000
358,811
40,600
20,000
117,000
44,000
119,000
117,500
49,000
28,000
378,000
31,700
35,000
260,000
81,000
893,200
169,194
941,158
107,413
304,787
387,320
153,115
49,301
1,180,034
377,956
262,613
2,383
1,295,287
293,000
22,400
49,900
413,200
150,000
162,000
33,800
1,041,177
247,678
427,357
1,706,282
362,484
578,266
959,069
74,000
34,000
14,000
136,013
204,448
26,363
SHARES
--------------<C>
46,400
VALUE+
--------------<C>
$
776,651
104
<Page>
<Table>
<Caption>
<S>
Nitta Corp.
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Nittan Valve Co., Ltd.
Nittetsu Mining Co., Ltd.
#Nittetsu Steel Sheet Corp.
Nitto Boseki Co., Ltd.
Nitto Electric Works, Ltd.
#Nitto Flour Milling Co., Ltd.
Nitto Kohki Co., Ltd.
Nitto Seiko Co., Ltd.
#Nitto Seimo Co., Ltd.
*#Nittoc Construction Co., Ltd.
*#NIWS Co., Ltd.
Noda Corp.
NOF Corp.
Nohmi Bosai, Ltd.
#Nomura Co., Ltd.
Noritake Co., Ltd.
Noritz Corp.
Nosan Corp.
Obayashi Road Corp.
Odakyu Construction Co., Ltd.
Odakyu Real Estate Co., Ltd.
Oenon Holdings, Inc.
*Ohki Corp.
*Ohmori Co., Ltd.
Oie Sangyo Co., Ltd.
Oiles Corp.
Oita Bank, Ltd.
Okabe Co., Ltd.
#Okamoto Industries, Inc.
*Okamoto Machine Tool Works, Ltd.
Okamura Corp.
Okaya Electric Industries Co., Ltd.
Oki Electric Cable Co., Ltd.
Okinawa Electric Power Co., Ltd.
*OKK Corp.
*Okuma and Howa Machinery, Ltd.
*#Okuma Corp.
#Okura Industrial Co., Ltd.
Okuwa Co., Ltd.
Olympic Corp.
#O-M, Ltd.
*Omikenshi Co., Ltd.
Ono Sokki Co., Ltd.
*Onoken Co., Ltd.
Organo Corp.
*Orient Watch Co., Ltd.
#Oriental Construction Co., Ltd.
Oriental Yeast Co., Ltd.
#Origin Electric Co., Ltd.
Osaka Securities Finance Co., Ltd.
Osaka Steel Co., Ltd.
#Osaki Electric Co., Ltd.
Oyo Corp.
#P.S. Mitsubishi Construction Co., Ltd.
Pacific Industrial Co., Ltd.
*Pacific Metals Co., Ltd.
Parco Co., Ltd.
*Pasco Corp.
Patlite Corp.
PCA Corp.
*Penta-Ocean Construction Co., Ltd.
#Pentax Corp.
Petrolub International Co., Ltd.
*#PIA Corp.
Pigeon Corp.
Pilot Corp.
Piolax, Inc.
Pocket Card Co., Ltd.
#Pokka Corp.
Poplar Co., Ltd.
Posful Corp.
*#Press Kogyo Co., Ltd.
*#Prima Meat Packers, Ltd.
Pulstec Industrial Co., Ltd.
#Q'Sai Co., Ltd.
Raito Kogyo Co., Ltd.
Rasa Industries, Ltd.
*#Renown D'urban Holdings, Inc.
#Resorttrust Inc.
Rheon Automatic Machinery Co.,
Ltd.
Rhythm Watch Co., Ltd.
Ricoh Elemex Corp.
Ricoh Leasing Co., Ltd.
58,000
132,000
117,000
364,000
72,100
54,000
36,000
56,000
32,000
61,000
58
2,800
39,000
59,000
61,000
320,000
11,200
201,000
65,000
29,000
58,000
74,000
73,000
18,400
13,200
32,500
87,000
29,000
212,000
75,000
24,000
32,000
56,000
22,900
101,000
69,000
193,000
96,000
73,000
36,100
46,000
53,000
43,000
11,000
101,000
12,000
39,000
52,000
54,000
54,000
72,200
56,000
45,800
46,500
86,000
44,000
124,000
111,500
13,440
12,000
574,000
180,000
24,800
8,800
37,000
65
19,600
41,000
48,000
13,560
36,900
162,000
355,000
21,200
51,600
84,900
119,000
53,880
42,600
40,000
344,000
35,000
10,000
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
$
301,986
509,802
268,330
795,452
640,169
137,195
735,936
112,588
92,630
139,789
174,810
18,780
154,433
318,413
456,259
1,394,027
180,081
400,725
131,458
84,204
155,251
211,419
669
9,530
108,350
739,695
437,469
99,293
568,445
224,831
196,248
104,250
117,568
914,473
176,318
136,291
766,144
602,469
1,028,394
477,948
76,106
59,321
296,899
131,724
530,389
4,509
202,289
467,112
313,354
169,674
942,609
279,611
499,588
198,932
387,975
208,916
863,468
335,835
281,061
155,327
1,097,600
934,674
110,659
203,297
616,735
204,575
373,775
550,221
224,894
192,522
235,928
430,954
425,457
138,601
525,326
389,585
325,249
903,144
1,219,691
123,252
724,300
169,545
293,139
Right On Co., Ltd.
Rikei Corp.
Riken Corp.
Riken Keiki Co., Ltd.
Riken Technos Corp.
Riken Vitamin Co., Ltd.
Ringer Hut Co., Ltd.
Rion Co., Ltd.
#Rock Field Co., Ltd.
Rohto Pharmaceutical Co., Ltd.
Roland Corp.
#Roland DG Corp.
Royal Co., Ltd.
Ryobi, Ltd.
Ryoden Trading Co., Ltd.
Ryosan Co., Ltd.
Ryoyo Electro Corp.
S Foods, Inc.
*#S Science Co., Ltd.
#S.T. Chemical Co., Ltd.
*#Saeki Kensetsu Kogyo Co., Ltd.
#Sagami Chain Co., Ltd.
Sagami Co., Ltd.
Sagami Rubber Industries Co., Ltd.
*#Saibu Gas Co., Ltd.
*Sailor Pen Co., Ltd.
#Saizeriya Co., Ltd.
Sakai Chemical Industry Co., Ltd.
Sakai Heavy Industries, Ltd.
*Sakai Ovex Co., Ltd.
Sakata Inx Corp.
Sakata Seed Corp.
*Sakurada Co., Ltd.
Sala Corp.
San-Ai Oil Co., Ltd.
#Sanix, Inc.
Sankei Building Co., Ltd.
Sanki Engineering Co., Ltd.
Sanko Co., Ltd.
</Table>
25,200
22,500
193,000
33,000
93,000
37,000
38,300
5,000
25,300
83,000
40,600
8,200
71,000
265,000
70,000
10,300
48,400
28,000
285,000
48,000
71,000
37,000
51,000
15,000
280,000
74,000
78,100
162,000
60,000
85,000
92,000
78,900
38,000
56,000
134,000
65,000
69,000
120,000
12,000
1,070,919
61,619
739,907
185,323
345,885
705,048
406,504
23,864
413,872
948,390
707,349
400,044
1,059,379
1,085,731
418,359
236,084
683,185
188,557
110,190
618,183
82,381
328,727
191,473
41,497
544,166
240,864
1,076,097
690,917
149,607
179,220
533,233
1,047,891
55,238
248,336
492,563
447,893
402,138
875,352
80,802
SHARES
--------------<C>
VALUE+
--------------<C>
105
<Page>
<Table>
<Caption>
<S>
Sanko Metal Industrial Co., Ltd.,
Tokyo
Sankyo Seiko Co., Ltd.
#Sankyu, Inc., Tokyo
Sanoh Industrial Co., Ltd.
#Sanrio Co., Ltd.
Sanshin Electronics Co., Ltd.
Sanyo Denki Co., Ltd.
#Sanyo Electric Credit Co., Ltd.
Sanyo Engineering & Construction,
Inc.
Sanyo Industries, Ltd., Tokyo
#Sanyo Special Steel Co., Ltd.
*#Sasebo Heavy Industries Co., Ltd.,
Tokyo
*Sata Construction Co., Ltd.,
Gumma
*Sato Corp.
Sato Shoji Corp.
Satori Electric Co., Ltd.
Sawafugji Electric Co., Ltd.
*Secom Joshinetsu Co., Ltd.
Secom Techno Service Co., Ltd.
*Seibu Electric Industry Co., Ltd.
#Seijo Corp.
Seika Corp.
*Seikitokyu Kogyo Co., Ltd.
Seiko Corp.
#Seiren Co., Ltd.
#Sekisui Jushi Co., Ltd.
Sekisui Plastics Co., Ltd.
Sekiwa Real Eastate, Ltd.
Sekiwa Real Estate Chubu, Ltd.
Senko Co., Ltd.
*Senshu Electric Co., Ltd.
54,000
86,000
415,000
53,000
58,600
57,000
95,000
48,600
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
$
108,273
410,140
871,026
337,459
693,603
453,274
577,597
1,084,914
34,000
48,000
283,000
134,008
124,422
544,144
201,000
238,848
61,000
7,000
31,000
24,480
31,000
14,100
19,500
24,000
17,400
145,000
86,000
180,407
92,000
73,000
145,000
36,000
7,000
205,000
13,500
62,282
181,117
207,925
342,301
79,211
263,060
716,599
101,792
258,224
251,952
98,156
1,463,670
705,340
453,662
438,525
429,197
42,052
785,182
214,546
Senshukai Co., Ltd.
Shaddy Co., Ltd.
#Shibaura Mechatronics Corp.
Shibusawa Warehouse Co., Ltd.
#Shibuya Kogyo Co., Ltd.
*Shikibo, Ltd.
Shikoku Chemicals Corp.
Shikoku Coca-Cola Bottling Co.,
Ltd.
Shimizu Bank, Ltd.
Shin Nippon Air Technologies Co.,
Ltd.
Shinagawa Refractories Co., Ltd.
*Shindengen Electric Manufacturing
Co., Ltd.
Shin-Etsu Polymer Co., Ltd.
#Shinkawa, Ltd.
Shin-Keisei Electric Railway Co.,
Ltd.
Shinki Co., Ltd.
#Shinko Electric Co., Ltd.
Shinko Plantech Co., Ltd.
Shinko Shoji Co., Ltd.
Shin-Kobe Electric Machinery Co.,
Ltd.
Shinmaywa Industries, Ltd.
#Shinsho Corp.
#Shinwa Kaiun Kaisha, Ltd.
Shinyei Kaisha
Shiraishi Corp.
Shiroki Co., Ltd.
Shizuki Electric Co., Inc.
Shizuokagas Co., Ltd.
*#Sho-Bond Corp.
Shobunsha Publications, Inc.
*#Shochiku Co., Ltd.
#Shoei Co., Ltd.
Shoei Foods Corp.
Shoko Co., Ltd.
Shokusan Bank, Ltd.
Showa Aircraft Industry Co., Ltd.
Showa Corp.
Showa Electric Wire & Cable Co.,
Ltd., Kawasaki
#Showa Highpolymer Co., Ltd.
Showa Mining Co., Ltd.
#Showa Sangyo Co., Ltd.
Showa Tansan Co., Ltd.
#Siix Corp.
Silver Ox Inc.
*#Silver Seiko, Ltd.
Sinanen Co., Ltd.
Sintokogio, Ltd., Nagoya
SMK Corp.
Snow Brand Seed Co., Ltd.
SNT Corp.
Soda Nikka Co., Ltd.
#Sodick Co., Ltd.
*Sofmap Co., Ltd.
Software Research Associates, Inc.
Sogo Medical Co., Ltd.
*Sokkisha Co., Ltd.
Sonton Food Industry Co., Ltd.
#Sorun Corp.
#Sotetsu Rosen Co., Ltd.
Sotoh Co., Ltd.
Space Co., Ltd.
*SPC Electronics Corp.
SPK Corp.
SRL, Inc.
SS Pharmaceutical Co., Ltd., Tokyo
Star Micronics Co., Ltd.
Starzen Corp.
#Stella Chemifa Corp.
Subaru Enterprise Co., Ltd.
#Sumida Corp.
Suminoe Textile Co., Ltd.
*#Sumitomo Coal Mining Co., Ltd.
Sumitomo Densetsu Co., Ltd.
#Sumitomo Light Metal Industries,
Ltd.
*#Sumitomo Mitsui Construction Co.,
Ltd.
Sumitomo Pipe & Tube Co., Ltd.
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
75,000
32,200
79,000
115,000
54,000
155,000
89,000
813,501
387,354
553,501
281,668
444,566
205,919
331,946
37,000
15,500
455,577
762,964
31,180
104,000
214,269
240,682
129,000
124,000
30,200
490,802
734,618
651,620
97,000
61,000
257,000
27,000
29,000
336,410
498,328
779,487
29,881
227,035
71,000
203,000
110,000
257,000
54,000
25,000
132,000
47,000
70,000
46,200
25,000
165,000
28,800
14,000
156,000
98,000
47,000
18,400
292,728
871,506
219,871
678,733
138,398
41,289
328,001
127,668
277,573
295,453
344,493
975,856
390,250
77,811
249,210
333,540
265,046
211,284
$
329,000
86,000
66,000
282,000
21,000
9,000
30,000
228,000
160,000
89,000
127,000
16,000
31,000
35,000
69,000
9,300
6,200
8,800
40,000
27,000
41,000
44,000
12,000
19,180
29,000
7,800
66,900
25,000
89,000
126,000
17,500
36,000
26,290
122,000
200,000
50,700
512,773
254,490
101,915
668,333
70,446
175,724
69,838
111,227
817,691
454,757
578,978
63,896
151,477
89,517
580,955
54,767
67,310
135,225
118,699
236,139
242,124
255,728
194,861
184,279
121,786
117,007
719,992
163,023
785,478
274,177
317,773
117,310
853,624
233,344
247,695
179,032
493,000
863,542
413,600
52,000
506,504
149,111
Sumitomo Precision Products Co.,
Ltd., Amagasaki City
#Sumitomo Seika Chemicals Co.,
Ltd.
Sumitomo Tita
</Table>
84,000
280,046
102,000
7,800
291,416
248,118
SHARES
--------------<C>
235,000
80,000
3,200
55,000
15,400
13,200
129,000
39,800
63,700
34,000
17,000
25,100
42,100
201,000
70,000
114,000
90,000
35,600
97,000
6,700
140,000
70,000
573
232,000
31,000
94,000
29,300
22,100
VALUE+
--------------<C>
$
998,812
331,281
181,178
341,864
245,932
152,309
274,574
1,233,120
1,016,934
478,225
826,581
153,969
519,672
782,207
293,782
178,006
99,558
330,539
1,430,143
165,286
266,753
180,052
899,534
1,002,453
197,496
287,911
832,542
406,320
156,000
34,500
224,000
17,050
30,000
26,000
156,000
232,842
81,851
1,207,471
168,124
180,176
238
787,156
132,000
60,000
874,377
125,325
42,000
118,000
136,000
113,000
74,000
26,000
53,000
26,500
261,003
481,699
979,632
596,000
359,437
110,551
221,699
118,035
106,000
5,000
74,000
579,000
146,000
11,000
113,000
32,200
27,000
217,265
42,062
270,794
0
321,085
41,430
189,483
177,465
302,638
38,000
42,000
39,000
73,000
224,000
37,000
56,400
29,000
41,000
155,000
348,673
287,604
200,320
286,416
355,422
140,181
998,430
307,514
151,463
232,474
106
<Page>
<Table>
<Caption>
<S>
#Sumitomo Warehouse Co., Ltd.
Sun Wave Corp.
Sundrug Co., Ltd.
SunTelephone Co., Ltd.
#Suruga Corp.
*Suzutan Co., Ltd.
SXL Corp.
Sysmex Corp.
#T.Hasegawa Co., Ltd.
#Tabai Espec Corp.
Tachihi Enterprise Co., Ltd.
Tachikawa Corp.
Tachi-S Co., Ltd.
Tadano, Ltd.
Taihei Dengyo Kaisha, Ltd.
*Taihei Kogyo Co., Ltd.
*#Taiheiyo Kouhatsu, Inc.
Taiho Kogyo Co., Ltd.
Taikisha, Ltd.
*Taisei Lamick Co., Ltd.
Taisei Rotec Corp.
#Taito Co., Ltd.
Taito Corp.
#Taiyo Toyo Sanso Co., Ltd.
Takada Kiko Co., Ltd.
Takagi Securities Co., Ltd.
Takamatsu Corp.
Takano Co., Ltd.
*Takaoka Electric Manufacturing Co.,
Ltd., Tokyo
*Taka-Q Co., Ltd.
#Takara Co., Ltd.
Takara Printing Co., Ltd.
Takara Standard Co., Ltd.
*Takarabune Corp.
#Takasago International Corp.
Takasago Thermal Engineering Co.,
Ltd.
#Takashima & Co., Ltd.
Takigami Steel Construction Co.,
Ltd.
#Takiron Co., Ltd.
Takuma Co., Ltd.
#Tamura Corp.
*Tamura Taiko Holdings, Inc.
Tanseisha Co., Ltd.
#Tasaki Shinju Co., Ltd.
#Tateho Chemical Industries Co., Ltd.
Tatsuta Electric Wire & Cable Co.,
Ltd.
Taya Co., Ltd.
Tayca Corp.
*#TC Properties Co., Ltd.
TCM Corp.
*TDF Corp.
*Teac Corp.
Techno Ryowa, Ltd.
Tecmo, Ltd.
Teikoku Hormone Manufacturing
Co., Ltd.
Teikoku Piston Ring Co., Ltd.
Teikoku Sen-I Co., Ltd.
Teikoku Tsushin Kogyo Co., Ltd.
Tekken Corp.
Ten Allied Co., Ltd.
Tenma Corp.
Teraoka Seisakusho Co., Ltd.
Tetra Co., Ltd., Tokyo
The Daito Bank, Ltd.
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
$
#The Nisshin Oillio Group, Ltd.
Three F Co., Ltd.
Tigers Polymer Corp.
*#Titan Kogyo KK
#TKC Corp.
#Toa Corp.
Toa Doro Kogyo Co., Ltd.
Toa Oil Co., Ltd.
*Toabo Corp.
Toagosei Co., Ltd.
*#Tobu Store Co., Ltd.
TOC Co., Ltd.
*Tocalo Co., Ltd.
Tochigi Bank, Ltd.
Tochigi Fuji Industrial Co., Ltd.
Toda Kogyo Corp.
#Todentu Corp.
Toei Co., Ltd.
Toenec Corp.
Tohcello Co., Ltd.
Toho Co., Ltd.
*Toho Rayon Co., Ltd.
Toho Real Estate Co., Ltd.
#Toho Titanium Co., Ltd.
#Toho Zinc Co., Ltd.
Tohoku Bank, Ltd.
Tohoku Misawa Homes Co., Ltd.
Tohoku Pioneer Corp.
Tohoku Telecommunications
Construction Co., Ltd.
*Tohpe Corp.
#Tohto Suisan Co., Ltd.
#Tokai Carbon Co., Ltd.
#Tokai Corp.
*#Tokai Kanko Co., Ltd.
Tokai Konetsu Kogyo Co., Ltd.
#Tokai Pulp & Paper Co., Ltd.
Tokai Senko KK, Nagoya
Tokai Tokyo Securities Co., Ltd.
Tokico, Ltd.
Tokimec, Inc.
Toko Electric Corp.
Toko, Inc.
Tokushima Bank, Ltd.
Tokushu Paper Manufacturing
Co., Ltd.
Tokyo Biso Kogyo Corp.
Tokyo Denpa Co., Ltd.
Tokyo Dome Corp.
*Tokyo Electron Device, Ltd.
Tokyo Energy & Systems, Inc.
Tokyo Kikai Seisakusho, Ltd.
Tokyo Leasing Co., Ltd.
Tokyo Nissan Auto Sales Co., Ltd.
Tokyo Rakutenchi Co., Ltd.
</Table>
346,000
12,200
27,000
36,000
48,300
301,000
65,000
145,000
73,000
544,719
71,000
94,000
8,000
126,000
51,000
68,000
57,000
228,000
157,000
47,000
43,000
203,000
98,000
44,000
189,000
92,000
24,000
34,000
1,584,891
94,731
139,710
94,411
820,239
494,583
149,902
265,052
80,823
1,425,098
169,419
809,476
241,947
710,232
155,989
284,313
140,171
996,835
592,528
147,308
363,403
420,597
380,444
732,682
459,891
183,115
93,687
746,602
17,000
36,000
54,000
316,000
120,000
333,000
15,000
88,000
47,000
366,250
189,000
119,000
39,000
151,000
111,200
109,463
42,322
102,698
1,171,239
490,829
103,829
66,927
321,792
89,489
1,159,099
673,963
266,917
127,762
606,124
751,233
80,000
13,000
11,000
251,000
48
49,000
132,000
96,900
97,000
92,000
370,903
79,657
165,293
1,105,567
363,833
213,773
393,867
1,423,995
256,997
361,942
SHARES
--------------<C>
VALUE+
--------------<C>
107
<Page>
<Table>
<Caption>
<S>
*Tokyo Rope Manufacturing Co.,
Ltd.
Tokyo Sangyo Co., Ltd.
Tokyo Soir Co., Ltd.
*#Tokyo Tekko Co., Ltd.
Tokyo Theatres Co., Inc., Tokyo
#Tokyotokeiba Co., Ltd.
#Tokyu Community Corp.
*#Tokyu Department Store Co., Ltd.
Tokyu Livable Inc.
Tokyu Recreation Corp.
Tokyu Store Chain Corp.
Toli Corp.
Tomato Bank, Ltd.
Tomen Electronics Corp.
Tomoe Corp.
#Tomoegawa Paper Co., Ltd.
Tomoku Co., Ltd.
#Tomy Co., Ltd.
232,000
36,500
34,000
67,000
116,000
422,000
22,800
406,000
22,200
48,000
175,000
106,000
189,000
13,700
56,000
55,000
136,000
32,400
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
$
393,168
108,912
95,305
323,532
140,554
736,473
336,893
678,692
528,621
248,157
912,557
268,729
433,177
764,404
98,674
193,551
388,415
531,595
Tonami Transportation Co., Ltd.
Topcon Corp.
Topre Corp.
#Topy Industries, Ltd.
#Torigoe Co., Ltd.
Torii Pharmaceutical Co., Ltd.
Torishima Pump Manufacturing Co.,
Ltd., Osaka
Tose Co., Ltd.
#Toshiba Ceramics Co., Ltd.
Toshiba Machine Co., Ltd.
#Toshiba Plant Kensetsu Co., Ltd.
Tosho Printing Co., Ltd.
*Totenko Co., Ltd.
Totetsu Kogyo Co., Ltd.
*Totoku Electric Co., Ltd., Tokyo
Tottori Bank, Ltd.
#Touei Housing Corp.
*Toukei Computer Co., Ltd.
#Towa Bank, Ltd.
*Towa Corp.
Towa Meccs Corp.
*#Towa Real Estate Development Co.,
Ltd.
Toyo Bussan Co., Ltd.
*Toyo Communication Equipment
Co., Ltd.
*#Toyo Construction Co., Ltd.
#Toyo Corp.
#Toyo Electric Co., Ltd.
*#Toyo Engineering Corp.
*#Toyo Kanetsu KK
Toyo Kohan Co., Ltd.
#Toyo Radiator Co., Ltd.
Toyo Securities Co., Ltd.
*Toyo Shutter Co., Ltd.
*Toyo Sugar Refining Co., Ltd.
Toyo Tire & Rubber Co., Ltd.
Toyo Wharf & Warehouse Co., Ltd.
#Trans Cosmos, Inc.
Trusco Nakayama Corp.
Tsubaki Nakashima Co., Ltd.
Tsubakimoto Chain Co.
Tsubakimoto Kogyo Co., Ltd.
Tsudakoma Corp.
*Tsugami Corp.
Tsukamoto Co., Ltd.
Tsukishima Kikai Co., Ltd.
Tsurumi Manufacturing Co., Ltd.
#Tsutsumi Jewelry Co., Ltd.
Tsutsunaka Plastic Industry Co., Ltd.
Tsuzuki Denki Co., Ltd.
Tsuzuki Densan Co., Ltd.
TYK Corp.
U.Store Co., Ltd.
Ube Material Industries, Ltd.
Uchida Yoko Co., Ltd.
Ueki Corp.
#Unicafe, Inc.
Unimat Offisco Corp.
*Unitika, Ltd.
U-Shin, Ltd.
Utoc Corp.
*Valor Co., Ltd.
Vital-Net, Inc.
Wakachiku Construction Co., Ltd.
#Wakamoto Pharmaceutical Co.,
Ltd.
Wakodo Co., Ltd.
Warabeya Nichiyo Co., Ltd.
Watabe Wedding Corp.
#Watami Food Service Co., Ltd.
Weathernews, Inc.
*Wondertable, Ltd.
Wood One Co., Ltd.
Xebio Co., Ltd.
*#XNET Corp.
Yachiyo Musen Denki Co., Ltd.
Yahagi Construction Co., Ltd.
#Yaizu Suisankagaku Industry Co.,
Ltd.
Yamagata Bank, Ltd.
Yamaichi Electronics Co., Ltd.
Yamamura Glass Co., Ltd.
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
165,000
78,000
81,000
351,000
35,000
44,600
552,887
871,431
553,318
1,292,032
157,319
930,023
47,000
9,800
350,000
294,000
139,000
103,000
35,000
53,000
62,000
148,000
37,800
10,010
340,000
33,000
75,000
309,836
160,244
1,292,161
1,278,063
712,272
365,281
67,522
234,772
106,246
549,752
1,797,454
111,683
789,364
373,054
103,602
80,000
24,200
215,811
219,719
89,000
398,000
49,200
67,000
473,000
220,000
152,000
118,000
113,000
77,000
60,000
332,000
118,000
34,800
52,800
61,000
174,000
44,000
101,000
124,000
44,000
70,000
44,000
31,100
52,000
36,000
14,200
67,000
37,300
116,000
85,000
47,000
10,360
32,600
756,000
32,000
68,000
12,000
64,800
206,000
555,258
396,613
583,222
221,848
1,258,895
353,110
562,736
593,354
434,927
94,370
74,108
1,018,360
222,134
1,123,821
946,598
791,388
597,726
99,433
245,889
328,912
93,944
470,892
254,541
1,036,138
221,934
161,993
69,838
178,518
331,228
279,422
354,037
81,412
150,508
409,457
1,005,498
201,801
112,524
337,752
517,214
331,963
$
48,000
4,600
21,160
11,400
64,200
11,900
8,000
86,000
12,000
45
16,800
59,000
146,811
156,555
293,832
293,656
611,292
128,860
10,156
807,366
368,991
233,319
149,607
206,949
20,100
68,000
24,700
189,000
190,297
312,359
274,994
444,959
Yamatake Corp.
*Yamatane Corp.
Yamato Corp.
Yamato International, Inc.
Yamato Kogyo Co., Ltd.
Yamaura Corp.
Yamazen Co., Ltd.
Yaoko Co., Ltd.
*Yaskawa Information Systems
Corp.
Yasuda Warehouse Co., Ltd.
Yellow Hat, Ltd., Tokyo
Yodogawa Steel Works, Ltd.
Yokogawa Bridge Corp.
#Yokohama Reito Co., Ltd.
Yokowo Co., Ltd.
#Yomeishu Seizo Co., Ltd.
Yomiuri Land Co., Ltd.
Yondenko Corp.
#Yonekyu Corp.
Yonex Co., Ltd.
</Table>
51,400
131,000
36,000
43,000
118,000
19,000
140,000
29,000
527,603
205,285
202,502
299,723
1,589,690
51,968
371,475
629,379
8,000
61,000
39,600
285,000
55,400
63,000
32,300
52,000
157,000
63,800
41,500
33,000
90,473
339,187
343,235
1,219,563
315,419
453,949
464,704
382,274
525,916
289,280
446,627
276,301
SHARES
--------------<C>
34,100
60,000
69,000
237,000
60,000
31,000
35,600
69,000
122,000
VALUE+
--------------<C>
$
341,046
558,942
152,732
412,904
145,648
109,434
183,062
281,563
591,932
25,740
10,000
57,200
19,300
74,000
39,000
27,700
524,652
144,386
667,909
411,198
760,473
198,178
335,126
---------------
108
<Page>
<Table>
<Caption>
<S>
Yorozu Corp.
Yoshimoto Kogyo Co., Ltd.
Yuasa Funashoku Co., Ltd.
*#Yuasa Trading Co., Ltd.
*#Yuken Kogyo Co., Ltd.
Yuki Gosei Kogyo Co., Ltd.
Yukiguni Maitake Co., Ltd.
Yuraku Real Estate Co., Ltd.
Yurtec Corp.
#Yushin Precision Equipment Co.,
Ltd.
Yushiro Chemical Industry Co., Ltd.
#Zenrin Co., Ltd.
Zensho Co., Ltd.
#Zeria Pharmacetical Co., Ltd.
Z-Plus Co., Ltd.
*Zuken, Inc.
TOTAL COMMON STOCKS
(Cost $494,727,122)
475,975,149
---------------
INVESTMENT IN CURRENCY -- (0.2%)
*Japanese Yen
(Cost $1,483,525)
1,472,341
---------------
RIGHTS/WARRANTS -- (0.0%)
*BSL Corp. Rights
*Kanematsu Corp. Warrants 03/31/06
42,190
20,125
TOTAL RIGHTS/WARRANTS
(Cost $0)
0
0
--------------0
---------------
TOTAL -- JAPAN
(Cost $496,210,647)
477,447,490
---------------
<Caption>
<S>
TEMPORARY CASH
INVESTMENTS -- (21.1%)
Repurchase Agreement, PNC Capital Markets, Inc. 1.28%, 07/01/04
(Collateralized by $5.328,000 FHLMC Notes 1.85%, 11/17/05, valued at
$5,341,320) to be repurchased at $5,262,187
(Cost $5,262,000)
Repurchase Agreement, Mizuho Securities USA 1.30%, 07/01/04
(Collateralized by $284,802,588 U.S. Treasury Obligations, maturities
ranging from 8/15/06 to 11/15/28, valued at $124,721,695) to be
repurchased at $122,180,585 (Cost $122,176,173)@
FACE
AMOUNT
--------------(000)
<C>
<C>
$
$
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
5,262
122,176
VALUE+
---------------
5,262,000
122,176,173
---------------
TOTAL TEMPORARY CASH
INVESTMENTS
(Cost $127,438,173)
127,438,173
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $623,648,820)++
$
604,885,663
===============
</Table>
---------+
See Note B to Financial Statements.
@
Security purchased with cash proceeds from securities on loan.
*
Non-Income Producing Securities.
#
Total or Partial Securities on Loan.
++
The cost for federal income tax purposes is $626,708,790.
See accompanying Notes to Financial Statements.
109
<Page>
THE PACIFIC RIM SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
<S>
AUSTRALIA -- (34.6%)
COMMON STOCKS -- (33.8%)
*A.I., Ltd.
A.P. Eagers, Ltd.
AAV, Ltd.
ABB Grain, Ltd.
#ABC Learning Centres, Ltd.
*Acclaim Exploration NL
*Adacel Technologies, Ltd.
ADCorp Australia, Ltd.
Adelaide Bank, Ltd.
Adsteam Marine, Ltd.
Adtrans Group, Ltd.
*Agenix, Ltd.
*AGT Biosciences, Ltd.
AJ Lucas Group, Ltd.
Alesco Corp., Ltd.
*Alkane Exploration, Ltd.
*Allegiance Mining NL
Altium, Ltd.
Amalgamated Holdings, Ltd.
*Amcom Telecommunications, Ltd.
*Amity Oil NL
*Amrad Corp., Ltd.
*Anateus Energy, Ltd.
Anvil Mining NL
APN News & Media, Ltd.
ARB Corporation, Ltd.
*Arc Energy NL
Ariadne Australia, Ltd.
*Arrow Pharmaceuticals, Ltd.
Aspen Group, Ltd.
*Atlas Pacific, Ltd.
*AuIron Energy, Ltd.
Ausdrill, Ltd.
*Ausmelt, Ltd.
Auspine, Ltd.
*Austal, Ltd.
*Austar United
Communications, Ltd.
Austereo Group, Ltd.
Austin Group, Ltd.
*Austral Coal, Ltd.
Australian Agricultural Co., Ltd.
*#Australian Magnesium Corp., Ltd.
Australian Pharmaceutical
Industries, Ltd.
Australian Pipeline Trust
*Australian Worldwide
Exploration, Ltd.
*Auto Group, Ltd.
SHARES
--------------<C>
129,195
25,977
111,200
13,743
197,376
435,905
113,249
119,617
121,149
402,319
29,000
267,186
31,650
62,800
106,190
185,165
274,272
162,100
213,820
596,711
222,481
135,523
193,687
343,284
1
116,670
321,280
270,353
67,458
16,183
82,585
709,175
118,742
36,118
73,367
356,800
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
VALUE+
--------------<C>
$
10,834
130,516
177,793
65,698
510,204
16,877
36,339
92,227
704,089
408,762
75,203
123,385
12,467
68,949
490,792
28,594
27,850
40,975
504,451
62,852
98,311
60,739
12,548
107,610
3
288,002
191,099
58,796
367,536
1,697
8,694
59,555
53,281
10,618
202,093
312,503
1,020,744
526,966
70,265
373,084
344,519
332,383
586,693
535,040
32,887
177,846
305,893
4,438
235,609
310,614
422,537
578,160
465,421
41,309
494,648
16,463
#Autron Corporation, Ltd.
#AV Jennings Homes, Ltd.
Bank of Queensland, Ltd.
*BayCorp Advantage, Ltd.
*Baxter Group, Ltd.
Beach Petroleum NL
*Beaconsfield Gold NL
*#Bendigo Mining NL
*Beyond International, Ltd.
*Biota Holdings, Ltd.
Blackmores, Ltd.
*Blina Diamonds, Ltd.
Bolnisi Gold NL
Brazin, Ltd.
*BreakFree, Ltd.
Bridgestone Australia, Ltd.
*Broadcast Services Australia, Ltd.
#Burswood, Ltd.
#Cabcharge Austalia, Ltd.
Campbell Brothers, Ltd.
Candle Australia, Ltd.
*Cape Range Wireless, Ltd.
Capral Aluminium, Ltd.
Casinos Austria International, Ltd.
*CDS Technologies, Ltd.
Cedar Woods Properties, Ltd.
*Cellestis, Ltd.
Cellnet Telecommunications
Group, Ltd.
*Centamin Egypt, Ltd.
Centennial Coal, Ltd.
#Central Equity, Ltd.
*Charter Pacific Corp., Ltd.
*Charters Towers Gold Mines, Ltd.
*#Chemeq, Ltd.
*Child Care Centres Australia, Ltd.
*Chiquita Brands South Pacific, Ltd.
*Circadian Technologies, Ltd.
Citect Corp., Ltd.
*Climax Mining, Ltd.
*Clough, Ltd.
*Clover Corp., Ltd.
*Cluff Resources Pacific NL
CMI, Ltd.
Coates Hire, Ltd.
Cochlear, Ltd.
Coffey International, Ltd.
Collection House, Ltd.
Colorado Group, Ltd.
Commander Communications, Ltd.
Consolidated Minerals, Ltd.
*Coplex Resources NL
*Corporate Express Australia, Ltd.
Count Financial, Ltd.
Coventry Group, Ltd.
*CPI, Ltd.
Crane Group, Ltd.
Croesus Mining NL
Danks Holdings, Ltd.
*#DCA Group, Ltd.
Devine, Ltd.
*Dioro Exploraration NL
*Dominion Mining, Ltd.
</Table>
989,247
350,188
216,517
244,068
18,589
1,898,119
89,078
171,212
61,256
97,808
27,894
13,703
228,822
159,875
40,510
49,000
205,703
110,988
196,800
88,210
65,879
1,698,199
167,379
258,299
35,200
50,913
128,411
$
181,116
480,672
1,471,175
499,742
60,968
358,869
31,026
105,208
12,169
38,412
195,490
0
41,871
165,086
60,518
91,795
37,906
104,309
473,597
407,347
74,161
47,466
263,578
177,257
49,013
60,397
215,890
91,100
996,437
456,316
129,405
72,823
258,700
120,000
62,315
162,390
40,370
109,822
870,299
817,737
159,500
911,746
32,784
249,075
15,767
13,768
176,200
156,248
197,200
258,222
231,400
189,544
299,500
60,180
68,585
96,182
798,235
10,425
313,931
168,183
297,142
168,015
75,972
133,160
1,026,333
189,955
20,392
22,742
405,008
61,045
72,516
56,050
94,709
48,055
251,521
33,604
15,404
46,007
588,626
250,720
53,134
176,014
559,550
201,366
215,178
14,507
664,628
196,573
240,659
27,862
605,483
247,160
90,582
573,617
77,636
16,751
51,832
SHARES
--------------<C>
245,549
275,761
120,600
230,514
325,630
VALUE+
--------------<C>
$
550,812
62,887
68,764
456,913
4,109
67,364
225,700
67,716
157,591
133,100
4,933
229,639
33,491
120,106
390,767
110
<Page>
<Table>
<Caption>
<S>
Downer Group, Ltd.
*Dragon Mining NL
*Emporer Mines, Ltd.
*Energy Developments, Ltd.
*Energy World Corp., Ltd.
*Environmental Solutions
International, Ltd.
Equigold NL
Equinox Resources, Ltd.
Evans & Tate, Ltd.
Fantastic Holdings, Ltd.
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
FKP, Ltd.
Fleetwood Corp., Ltd.
*Forest Enterprises Australia, Ltd.
*Fortescue Metals Group, Ltd.
Funtastic, Ltd.
Futuris Corp., Ltd.
Gale Pacific, Ltd.
Gazal Corp., Ltd.
*Giants Reef Mining, Ltd.
*Globe International, Ltd.
*Gold Aura
*Golden West Refining Corp., Ltd.
*Goldstream Mining NL
Gowing Bros., Ltd.
*Gradipore, Ltd.
Graincorp, Ltd. Series A
*Grand Hotel Group
GRD NL
#Great Southern Plantations, Ltd.
Green's Foods, Ltd.
GUD Holdings, Ltd.
Gunns, Ltd.
*Gutnick Resources NL
GWA International, Ltd.
*Gympie Gold, Ltd.
*#Hardman Resources NL
Harvey World Travel, Ltd.
Health Communication
Network, Ltd.
Healthscope, Ltd.
*Henry Walker Eltin Group, Ltd.
*Herald Resources, Ltd.
HGL, Ltd.
#Hills Industries, Ltd.
*Horizon Oil NL
#Housewares International, Ltd.
HPAL, Ltd.
*Hutchison Telecommunications
(Australia), Ltd.
IInet, Ltd.
Iluka Resources, Ltd.
*Imdex, Ltd.
Incitec Pivot, Ltd.
*Independent Practioner
Network, Ltd.
#Infomedia, Ltd.
Institute of Drug Technology
Australia, Ltd.
Integrated Group, Ltd.
*Intellect Holdings, Ltd.
*International All Sports, Ltd.
Investor Group, Ltd.
ION, Ltd.
Iress Market Technology, Ltd.
IWL, Ltd.
*Ixla, Ltd.
*JDV, Ltd.
#Jones (David), Ltd.
Jubilee Mines NL
K&S Corp., Ltd.
*Kagara Zinc, Ltd.
Kaz Group, Ltd.
*Keycorp, Ltd.
*Kimberley Diamond Co. NL
Kingsgate Consolidated NL
Kresta Holdings, Ltd.
*Lakes Oil NL
Lemarne Corp., Ltd.
*Leyshon Resources, Ltd.
Lighting Corp., Ltd.
*LionOre Mining International, Ltd.
*Lynas Gold NL
#MacArthur Coal, Ltd.
*MacMahon Holdings, Ltd.
*Macmin Silver, Ltd.
*Macquarie Corporate
Telecommunications, Ltd.
*Macquarie Goodman
Management, Ltd.
Magellan Petroleum Australia, Ltd.
*Magnesium International, Ltd.
Maryborough Sugar Factory, Ltd.
*Matrix Oil NL
MaxiTRANS Industries, Ltd.
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
197,911
77,785
211,476
107,508
188,261
738,371
60,756
71,177
819,928
712,348
2,635
17,330
105,681
59,479
86,855
78,059
383,087
379,594
373,144
129,747
114,428
13,201
17,866
348,105
302,445
497,372
52,100
390,640
415,657
57,876
38,423
285,911
816,827
122,353
129,179
44,359
242,499
249
4,346
28,942
104,019
38,498
654,136
185,281
457,670
760,490
85,258
716,602
121,243
2,378
717,976
117,983
668,494
52,522
106,000
133,652
287,948
69,910
67,969
271,884
752,832
289,080
193,847
87,828
341,059
174,591
33,385
82,579
734,264
30,091
435,327
216,998
1,065,400
136,659
226,628
135,662
33,588
265,587
276,359
717,918
10,962
442,750
1,372,241
598,900
67,598
309,557
44,372
94,900
403,028
58,815
110,445
342,085
176,883
295,600
89,921
84,981
658,594
224,549
86,000
208,900
1,324,705
156,412
274,068
136,284
185,695
1,183,489
20,790
103,357
112,500
25,843
433,768
265,423
593,580
305,531
56,041
121,548
24,872
13,170
233,266
418,587
397,107
62,895
1,441
42,501
759,941
632,319
150,649
134,752
366,736
156,896
247,730
336,328
64,857
39,054
32,149
22,498
60,716
118,280
121,417
374,101
112,238
28,084
$
350,192
55,084
315,172
32,760
656,061
600
557,000
266,414
791,829
30,243
27,565
2,163
17,072
140,301
#McGuigan Simeon Wines, Ltd.
McPherson's, Ltd.
*Medica Holdings, Ltd.
Melbourne IT, Ltd.
*Metabolic Pharmaceuticals, Ltd.
*#Metal Storm, Ltd.
Mia Group, Ltd.
#Miller's Retail, Ltd.
*Mincor Resources NL
Monadelphous Group, Ltd.
*#Mosaic Oil NL
*MPI Mines, Ltd.
*MXL, Ltd.
#MYOB, Ltd.
Namoi Cotton Cooperative, Ltd.
National Can Industries, Ltd.
*Norwood Abbey, Ltd.
*Novogen, Ltd.
*Novus Petroleum, Ltd.
Nufarm, Ltd.
*#Nylex, Ltd.
Oakton, Ltd.
#Oamps, Ltd.
*#Orbital Engine Corp., Ltd.
OrotonGroup, Ltd.
*Oxiana, Ltd.
Pacific Group, Ltd.
Pacific Hydro, Ltd.
*Palm Springs, Ltd.
</Table>
258,538
69,231
31,587
33,350
700,000
791,640
237,000
478,989
333,960
18,988
387,324
128,416
512,804
477,320
142,585
97,017
245,896
117,933
288,634
170,495
1,110,199
90,396
176,480
537,358
76,854
1,240,871
175,645
375,596
222,804
847,559
218,978
11,714
19,325
466,213
210,270
161,650
452,109
166,792
75,584
54,221
144,213
43,179
460,764
40,505
100,736
157,406
435,569
380,313
741,586
205,296
74,713
373,099
52,136
145,673
723,533
503,162
715,590
23,561
SHARES
--------------<C>
327,800
322,766
58,078
18,000
VALUE+
--------------<C>
$
29,677
269,807
16,677
31,974
12,267
281,015
263,500
917,246
203,974
4,329
99,965
455,871
43,405
108,200
251,655
343,890
110,422
96,941
10,606
64,000
193,456
210,595
85,867
24,788
75,160
260,390
160,472
180,970
159,973
0
66,390
523,258
16,141
90,952
14,200
424,733
71,981
45,717
369
446
769,225
378,957
77,652
61,763
121,686
39,866
265,911
100,338
23,875
7,401
151,355
12,000
132,283
859,797
159,501
399,993
91,651
287,264
29,264
45,370
593,143
10,418
273,120
11,373
0
516
577,677
4,616
250,004
105,953
918,633
140,636
28,886
251,325
2,142
94,618
528,193
50,906
291,718
27,629
111
<Page>
<Table>
<Caption>
<S>
*Pan Pacific Petroleum NL
*Pan Pharmaceuticals, Ltd.
*Panbio, Ltd.
*Payce Consolidated, Ltd.
*Peppercorn Management
Group, Ltd.
*Peptech, Ltd.
*Perilya Mines NL
*Perseverance Corp., Ltd.
*Petsec Energy, Ltd.
*Plantcorp NL
Plaspak Group, Ltd.
*PMP, Ltd.
*Polartechnics, Ltd.
Port Bouvard, Ltd.
*Port Douglas Reef Resorts, Ltd.
Portman, Ltd.
*#PowerTel, Ltd. Series B
*Prana Biotechnology, Ltd.
*Precious Metals Australia, Ltd.
*Preston Resources NL
Primary Health Care, Ltd.
Prime Television, Ltd.
*Primelife Corp., Ltd.
*#Progen Industries, Ltd.
Programmed Maintenance
Service, Ltd.
Queensland Cotton Holdings, Ltd.
*Quiktrak Networks P.L.C.
Entitlement Shares
*Quiktrak Networks, Ltd.
Ramsay Health Care, Ltd.
Raptis Group, Ltd.
Rebel Sport, Ltd.
*Redfire Resources NL
Reece Australia, Ltd.
*Reinsurance Australia Corp., Ltd.
*Reliance Mining, Ltd.
*Resolute Mining, Ltd.
*Resonance Health, Ltd.
RG Capital Radio, Ltd.
#Ridley Corp., Ltd.
Roberts, Ltd.
*Roc Oil Co., Ltd.
Rock Building Society, Ltd.
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Ross Human Directions, Ltd.
*Rural Press, Ltd.
S8, Ltd.
Salmat, Ltd.
Schaffer Corp., Ltd.
SDI, Ltd.
*Sedimentary Holdings, Ltd.
Select Harvests, Ltd.
*Senetas Corp., Ltd.
Servcorp, Ltd.
Seven Network, Ltd.
*SFE Corp., Ltd.
Sigma Co., Ltd.
*Silex System, Ltd.
Sims Group, Ltd.
*Sino Gold, Ltd.
*Sirtex Medical, Ltd.
Skilled Engineering, Ltd.
Smorgon Steel Group, Ltd.
*SMS Management &
Technology, Ltd.
*Solution 6 Holdings, Ltd.
*Sons of Gwalia, Ltd.
Southern Cross Broadcasting
(Australia), Ltd.
*#Southern Pacific Petroleum NL
SP Telecommunications, Ltd.
SPC Ardmona, Ltd.
Spotless Group, Ltd.
*St. Barbara Mines, Ltd.
Star Games, Ltd.
*Starpharma Holdings, Ltd.
*Straits Resources, Ltd.
*Strategic Minerals Corp. NL
*Strathfield Group, Ltd.
*Striker Resources NL
#STW Communications Group, Ltd.
Sunland Group, Ltd.
Sydney Aquarium, Ltd.
*#Sydney Gas, Ltd.
Symex Holdings, Ltd.
Tandou, Ltd.
*Tap Oil, Ltd.
Technology One, Ltd.
Tectonic Resources NL
*Television & Media Services, Ltd.
#Tempo Service, Ltd.
Thakral Holdings Group
The Gribbles Group, Ltd.
Ticor, Ltd.
#Timbercorp, Ltd.
*Titan Resources NL
*Tooth & Co., Ltd.
Transfield Services, Ltd.
Triako Resources, Ltd.
Troy Resources NL
Trust Company of Australia, Ltd.
*Uecomm, Ltd.
#United Group, Ltd.
*Unitract, Ltd.
UXC, Ltd.
*VeCommerce, Ltd.
*#Ventracor, Ltd.
*Victoria Petroleum NL
#Villa World, Ltd.
*#Village Roadshow, Ltd.
*Virotec International NL
Vision Systems, Ltd.
*Voicenet (Australia), Ltd.
Volante Group, Ltd.
Waterco, Ltd.
Watpac, Ltd.
Wattyl, Ltd.
*Webster, Ltd.
Wide Bay Capricorn
Building Society, Ltd.
*Worley Group, Ltd.
</Table>
42,066
38,633
80,476
125,225
33,766
40,163
264,237
45,548
240,406
156,000
89,971
171,270
43,694
235,100
77,055
148,713
43,309
147,971
859,647
112
<Page>
<Table>
<Caption>
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
$
22,437
209,092
57,224
324,844
337,718
245,383
35,924
212,718
8,894
224,093
324,331
770,888
250,616
135,609
620,490
226,486
69,645
299,800
656,944
329,600
402,138
195,425
79,843
259,583
378,720
59,938
698,740
318,303
345,724
211,501
375,500
132,410
107,300
212,913
358,100
336,916
435,484
238,716
349,278
49,135
351,119
163,000
3,410
269,296
587,800
155,738
2,000,584
184,359
948,383
780,300
455,148
369,115
188,493
153,000
169,962
25,400
72,048
41,099
845,897
170,233
52,133
181,293
13,680
331,714
463,964
185,574
591,536
298,151
274,105
495,284
125,700
22,304
133,333
136,317
33,551
495,559
116,818
300,118
329,129
700,037
12,682
98,175
56,388
172,020
52,741
36,544
17,997
543,926
254,203
182,491
216,116
137,913
3,887
286,963
230,516
32,268
44,936
128,901
425,478
232,146
418,496
400,164
38,213
15,017
609,870
28,682
138,999
230,882
234,045
608,657
66,034
86,322
12,877
324,752
6,525
169,166
747,300
153,817
170,374
13,190
112,068
39,840
74,469
318,258
17,416
26,958
200,135
124,424
406,134
<S>
*Yates, Ltd.
SHARES
--------------<C>
60,281
TOTAL COMMON STOCKS
(Cost $68,895,030)
VALUE+
--------------<C>
$
2,277
--------------73,088,988
---------------
INVESTMENT IN CURRENCY -- (0.7%)
*Australian Dollar
(Cost $1,485,536)
1,506,352
---------------
PREFERRED STOCKS -- (0.1%)
*Southern Cross Broadcasting
(Australia), Ltd.
*Village Roadshow, Ltd. 2% Class A
11,744
55,477
TOTAL PREFERRED STOCKS
(Cost $203,292)
100,870
53,283
--------------154,153
---------------
RIGHTS/WARRANTS -- (0.0%)
*Amity Oil, Ltd. Options 09/04/04
*Axon Instruments, Inc.
Options 01/02/07
*Gradipore, Ltd. Options 09/01/04
*Metal Storm, Ltd.
Options 08/06/04
Mosaic Oil Rights
*SP Telecommunications,
Ltd. Rights 07/15/04
1
0
16,148
17,371
0
2,178
1
48,416
0
0
141,468
24,637
---------------
TOTAL RIGHTS/WARRANTS
(Cost $98)
26,815
---------------
TOTAL -- AUSTRALIA
(Cost $70,583,955)
74,776,308
---------------
SINGAPORE -- (23.9%)
COMMON STOCKS -- (23.9%)
*Acma, Ltd.
*Airocean Group, Ltd.
*Alliance Technology &
Development, Ltd.
Amtek Engineering, Ltd.
*Apollo Enterprises, Ltd.
Armstrong Industrial Corp.
ASA Group Holdings, Ltd.
Ascott Group, Ltd.
Aussino Group, Ltd.
Benjamin (F.J.) Holdings, Ltd.
#Beyonics Technology, Ltd.
*Blu Inc. Group, Ltd.
Bonvests Holdings, Ltd.
#Brilliant Manufacturing, Ltd.
*Broadway Industrial Group, Ltd.
Bukit Sembawang Estates, Ltd.
Central Properties, Ltd.
Ch Offshore, Ltd.
*Chemical Industries (Far East), Ltd.
*China Merchants Holdings
Pacific, Ltd.
#Chip Eng Seng Corp., Ltd.
Chosen Holdings, Ltd.
Chuan Hup Holdings, Ltd.
Chuan Soon Huat Industrial
Group, Ltd.
CIH, Ltd.
*CK Tang, Ltd.
*Compact Metal Industries, Ltd.
Courts Singapore, Ltd.
*CSC Holdings, Ltd.
CSE Global, Ltd.
CWT Distribution, Ltd.
*Eagle Brand Holdings, Ltd.
#Eastern Asia Technology, Ltd.
Eastgate Technology, Ltd.
*Econ International, Ltd.
ECS Holdings, Ltd.
Eng Wah Organisation, Ltd.
*Firstlink Investments Corp., Ltd.
*Freight Links Express
Holdings, Ltd.
Frontline Technologies Corp., Ltd.
Fu Yu Manufacturing, Ltd.
3,040,700
1,649,000
115,097
311,939
156,000
799,625
193,000
1,460,000
586,000
1,807,250
967,000
1,095,000
1,556,640
729,000
825,000
1,855,000
461,000
71,334
66,000
823,200
105,910
9,510
531,424
51,543
136,625
97,068
458,296
315,075
143,438
391,314
104,161
237,205
748,367
65,876
539,472
1,417,754
177,308
49,278
652,000
1,775,000
1,284,000
4,385,000
194,065
134,555
183,940
1,302,787
614,000
475,542
614,000
643,000
495,000
672,000
1,262,000
461,500
5,158,000
1,844,260
870,000
2,267,000
1,375,000
265,000
995,000
109,037
797,724
129,920
13,093
202,016
11,330
420,738
131,978
255,413
338,316
73,675
59,227
268,535
48,115
145,252
3,368,000
3,170,000
1,819,000
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
$
207,687
269,000
977,699
Fuji Offset Plates
Manufacturing, Ltd.
GB Holdings, Ltd.
#Ges International, Ltd.
GK Goh Holdings, Ltd.
Goodpack, Ltd.
*Goodwood Park Hotel, Ltd.
GP Industries, Ltd.
Guocoland, Ltd.
Hiap Moh Corp., Ltd.
Ho Bee Investment, Ltd.
Hong Fok Corp., Ltd.
Hong Leong Asia, Ltd.
*Horizon Education &
Technologies, Ltd.
Hotel Grand Central, Ltd.
Hotel Plaza, Ltd.
Hotel Properties, Ltd.
Hour Glass, Ltd.
#HTL International Holdings, Ltd.
Huan Hsin Holdings, Ltd.
Hup Seng Huat, Ltd.
Hwa Hong Corp., Ltd.
#IDT Holdings, Ltd.
*Inno-Pacific Holdings, Ltd.
Innovalues Precision, LTd.
International Factors
(Singapore), Ltd.
*Internet Technology Group, Ltd.
*Interra Resources, Ltd.
*Intraco, Ltd.
Isetan (Singapore), Ltd.
#Jaya Holdings, Ltd.
JK Yaming International, Ltd.
Jurong Cement, Ltd.
Jurong Engineering, Ltd.
#Jurong Technologies
Industrial Corp., Ltd.
*K1 Ventures, Ltd.
Keppel Telecommunications and
Transportation, Ltd.
Khong Guan Flour Milling, Ltd.
Kian Ann Engineering, Ltd.
Kian Ho Bearings, Ltd.
Koh Brothers, Ltd.
*L & M Group Investments, Ltd.
Labroy Marine, Ltd.
*Lantrovision (S), Ltd.
</Table>
33,750
200,000
2,909,000
1,494,000
1,592,000
24,307
1,516,000
1,215,000
34,874
761,000
1,796,000
1,048,000
6,094
102,294
1,120,245
678,889
872,535
0
908,366
734,639
6,177
119,728
252,422
988,735
2,054,000
875,280
1,189,000
1,675,000
298,000
1,471,875
1,138,400
900,200
2,488,000
718,000
680,000
520,000
156,052
185,687
405,532
994,735
114,385
881,587
617,790
99,180
665,909
940,771
10,049
193,745
290,000
874,408
185,430
292,500
122,500
2,733,000
907,000
132,500
137,000
90,289
23,033
19,516
61,381
203,915
1,322,205
205,938
63,908
189,859
1,446,000
5,340,500
1,050,099
842,855
2,058,000
19,000
868,000
521,000
1,494,000
7,107,100
3,343,000
1,117,500
1,001,705
18,201
95,821
50,234
74,049
61,892
946,590
65,530
SHARES
--------------<C>
1,600,000
526,000
1,477,000
473,000
372,000
1,134,030
931,000
VALUE+
--------------<C>
$
233,694
35,271
43,427
33,420
90,047
136,031
294,493
588,000
1,427,000
3,410,000
2,256,960
1,994,000
1,263,000
1,450,000
63,063
1,147,030
317,832
624,852
361,664
217,452
478,121
1,043,000
941,000
1,084,022
1,638,000
708,000
2,193,000
1,096,500
734,000
1,240,000
459,750
359,122
620,755
252,837
1,013,043
84,932
485,003
183,021
334,744
238,694
75,077
113
<Page>
<Table>
<Caption>
<S>
Lee Kim Tah Holdings, Ltd.
*Leong Hin Holdings, Ltd.
*Liang Huat Aluminum, Ltd.
*Lion Asiapac, Ltd.
Low Keng Huat Singapore, Ltd.
Lum Chang Holdings, Ltd.
#Magnecomp International, Ltd.
*Manufacturing Integration
Technology, Ltd.
MCL Land, Ltd.
*Mediaring.Com, Ltd.
Metro Holdings, Ltd.
MMI Holdings, Ltd.
Multi-Chem, Ltd.
Nera Telecommunications, Ltd.
New Toyo Intenational
Holdings, Ltd.
Norelco Centreline Holdings, Ltd.
*Orchard Parade Holdings, Ltd.
#Osim International, Ltd.
Ossia International, Ltd.
Pan-United Corp., Ltd.
*Pan-United Marine, Ltd.
PCI, Ltd.
Pentex-Schweizer Circuits, Ltd.
Pertama Holdings, Ltd.
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Popular Holdings, Ltd.
#PSC Corp., Ltd.
Qian Hu Corp., Ltd.
Robinson & Co., Ltd.
Rotary Engineering, Ltd.
San Teh, Ltd.
SBS Transit, Ltd.
Sea View Hotel, Ltd.
*Seatown Corp., Ltd.
Sembawang Kimtrans, Ltd.
Sin Soon Huat, Ltd.
Sing Investments & Finance, Ltd.
#Singapore Food Industries, Ltd.
Singapore Reinsurance Corp., Ltd.
*Singapore Shipping Corp., Ltd.
Singapura Finance, Ltd.
SMB United, Ltd.
SNP Corp., Ltd.
*SP Corp., Ltd.
Ssangyong Cement
(Singapore), Ltd.
Stamford Land Corp., Ltd.
Straits Trading Co., Ltd.
*Sunright, Ltd.
Superbowl Holdings, Ltd.
Superior Metal Printing, Ltd.
*Thakral Corp., Ltd.
Tiong Woon Corp. Holding, Ltd.
*Transmarco, Ltd.
Trek 2000 International, Ltd.
TSM Resources, Ltd.
*#TT International, Ltd.
*Tuan Sing Holdings, Ltd.
*Ultro Technologies, Ltd.
Unisteel Technology, Ltd.
United Engineers, Ltd.
United Overseas Insurance, Ltd.
United Pulp & Paper Co., Ltd.
UOB-Kay Hian Holdings, Ltd.
Vicom, Ltd.
WBL Corp., Ltd.
*Xpress Holdings, Ltd.
*Yongnam Holdi
1,813,000
4,088,000
408,200
284,832
1,624,000
838,406
1,011,000
66,000
101,000
1,295,000
1,307,000
94,500
1,707,000
1,540,935
1,930,000
139,250
2,010,000
466,495
454,000
505,775
250,204
142,357
951,571
569,068
231,829
940,982
159,761
1,759
113,522
53,481
92,312
803,169
228,487
337,634
111,710
223,495
247,326
17,094
236,000
3,229,000
1,117,200
378,000
490,000
490,500
6,028,000
906,000
106,500
1,004,000
1,502,000
1,758,000
3,362,000
530,000
974,000
846,666
125,500
1,602,000
354,000
120,000
647,000
1,392,000
1,004,000
137,215
442,016
1,370,031
81,634
76,809
53,079
494,613
198,596
56,678
360,752
319,738
323,130
175,667
43,541
754,853
820,938
$
261,311
904,896
94,874
66,313
1,198,328
56,469
14,656
---------------
TOTAL COMMON STOCKS
(Cost $56,992,506)
51,628,709
---------------
INVESTMENT IN CURRENCY -- (0.0%)
*Singapore Dollars
(Cost $32,850)
32,671
---------------
RIGHTS/WARRANTS -- (0.0%)
*Acma, Ltd. Warrants 11/16/04
(Cost $0)
236,300
TOTAL -- SINGAPORE
(Cost $57,025,356)
686
--------------51,662,066
---------------
HONG KONG -- (23.7%)
COMMON STOCKS -- (23.6%)
*139 Holdings, Ltd.
ABC Communications
(Holdings), Ltd.
Aeon Credit Service (Asia) Co., Ltd.
ALCO Holdings, Ltd.
*Allan International Holdings, Ltd.
*Allied Group, Ltd.
*Allied Properties, Ltd.
*Anex International Holdings, Ltd.
*Applied International Holdings, Ltd.
*APT Satellite Holdings, Ltd.
*Artel Solutions Group Holdings, Ltd.
Arts Optical International
Holdings, Ltd.
Asia Aluminum Holdings, Ltd.
*Asia Commercial Holdings, Ltd.
Asia Financial Holdings, Ltd.
*Asia Logistics Technologies, Ltd.
Asia Satellite Telecommunications
Holdings, Ltd.
*Asia Standard International
Group, Ltd.
*Asia Tele-Net &
Technology Corp., Ltd.
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
21,659.53
19,835
252,521.23
381,918.84
162,868.71
115,174.10
456,999.54
392,955.28
22,333.69
622,795.14
217,372.14
136,073.64
79,121
437,078
209,430
106,457
466,654
299,485
2,113
11,302
141,959
83,608
121,763.06
82,905.23
361,009.28
708,958.25
33,240.12
150,478
73,633
4,559
389,606
4,893
140,483.31
142,764
546,987.03
218,809
84,849.52
16,673
Associated International
Hotels, Ltd.
Automated Systems Holdings, Ltd.
Baltrans Holdings, Ltd.
*Beijing Development
(Hong Kong), Ltd.
*Bossini International Holdings, Ltd.
Bright International Group, Ltd.
Cafe de Coral Holdings, Ltd.
*Capital Prosper, Ltd.
*Capital Strategic Investment, Ltd.
*Cash Financial
Services Group, Ltd.
*Casil Telecommunications
Holdings, Ltd.
*Catic International Holdings, Ltd.
CCT Telecom Holdings, Ltd.
</Table>
494,247.27
66,119.50
140,424.00
679,632
53,731
114,858
131,136.84
101,452.10
100,592.80
148,262.73
25,826.05
10,623.67
23,393
197,679
72,820
153,247
3,644
3,424
758.37
994
89,142.43
133,523.93
397,271.02
72,945
90,083
57,285
SHARES
--------------<C>
13,360.67
VALUE+
--------------<C>
$
4,271
113,321.54
284,073.23
24,345
9,303
698,637.63
214,246
203,983.81
588,525.54
171,573.35
136,969.43
189,206
684,842
29,567
3,379
201,040.35
125,422.49
276,142
38,886
360,642.76
145,558.76
180,960
7,981
90,989.52
42,375.36
324,700.28
521,141.85
219,681.37
26,979
3,474
193,040
119,061
190,333
390,548.98
121,386
159,125.73
34,686.83
145,176
4,523
22,909.41
328,776.07
26,465.98
43,935.08
371,714.53
13,163
466,003
218
46,121
58,965
117,819.53
250,207.83
450,023.10
352,730.10
30,911.31
31,038.81
261,986.26
273,332.15
113,609
132,062
331,229
406,066
18,774
6,126
42,517
66,672
123,334.18
176,216.30
107,614
76,190
293,684.75
293,825.26
241,581
60,588
218,546.94
120,993.64
102,105.22
21,102.94
78,218.06
21,818.04
393,106.77
104,502
172,417
90,052
17,166
59,437
20,219
198,918
114
<Page>
<Table>
<Caption>
<S>
*CEC International Holdings, Ltd.
*Celestial Asia Securities
Holdings, Ltd.
Central China Enterprises, Ltd.
#Champion Technology
Holdings, Ltd.
Chaoda Modern Agriculture
(Holdings), Ltd.
Chen Hsong Holdings, Ltd.
Cheuk Nang (Holdings), Ltd.
*Cheung Tai Hong Holdings, Ltd.
Chevalier International
Holdings, Ltd.
Chevalier Itech Holdings, Ltd.
*China Aerospace International
Holdings, Ltd.
*China Bio-Medical Group Limited
*China City Natural Gas
Holdings, Ltd.
*China Digicontent Co., Ltd.
*China Everbright International, Ltd.
*China Everbright Technology, Ltd.
*China Gas Holdings, Ltd.
China Hong-Kong Photo Products
Holdings, Ltd.
#China Insurance International
Holdings Co., Ltd.
*China Investments Holdings, Ltd.
*China Motion Telecom
International, Ltd.
China Motor Bus Co., Ltd.
*China Nan Feng Group, Ltd.
China National Aviation Co., Ltd.
China Online (Bermuda), Ltd.
China Pharmaceutical Enterprise
and Investment Corp., Ltd.
China Rare Earth Holdings, Ltd.
China Resources Land, Ltd.
China Resources Logic, Ltd.
*China Rich Holdings, Ltd.
*China Sci-Tech Holdings, Ltd.
*China Star Entertainment, Ltd.
*China Strategic Holdings, Ltd.
#China Travel International
Investment, Ltd.
Chinney Investments, Ltd.
Chow Sang Sang Holdings
International, Ltd.
Chuangs China Investments, Ltd.
*Chuang's Consortium
International, Ltd.
Chun Wo Holdings, Ltd.
Chung Tai Printing Holdings, Ltd.
*CITIC 21CN Co., Ltd.
*CITIC Resources Holdings, Ltd.
City e Solutions, Ltd.
#City Telecom (H.K.), Ltd.
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
*Clear Media, Ltd.
*Climax International Co., Ltd.
CNPC (Hong Kong), Ltd.
*CNT Group, Ltd.
*Coastal Greenland, Ltd.
*Compass Pacific Holdings, Ltd.
*Computer & Technologies
Holdings, Ltd.
Continental Holdings, Ltd.
Continental Mariner
Investment Co., Ltd.
*COSCO International Holdings, Ltd.
#Coslight Technology International
Group, Ltd.
*Cosmos Machinery
Enterprises, Ltd.
*Crocodile Garments, Ltd.
Cross Harbour Tunnel Co., Ltd.
*Culturecom Holdings, Ltd.
*Dah Hwa International
Holdings, Ltd.
*Dan Form Holdings Co., Ltd.
Daqing Petroleum &
Chemical Group, Ltd.
Dickson Concepts
International, Ltd.
Digital China Holdings, Ltd.
*DVN Holdings, Ltd.
*Dynamic Global Holdings, Ltd.
Dynamic Holdings, Ltd.
*Easyknit International
Holdings, Ltd.
*Eforce Holdings, Ltd.
Egana Jewelry and Pearls
#Eganagoldfeil Holdings Ltd.
Elec & Eltek International
Holdings, Ltd.
*Emperor International
Holdings, Ltd.
*e-New Media Co., Ltd.
*eSun Holdings, Ltd.
*Extrawell Pharmaceutical
Holdings, Ltd.
*Ezcom Holdings, Ltd.
*Fairwood Holdings, Ltd.
#Far East Consortium
International, Ltd.
*Far East Hotels &
Entertainment, Ltd.
Far East Pharmaceutical
Technology Co., Ltd.
First Sign International
Holdings, Ltd.
Fong's Industries Co., Ltd.
*Forefront International
Holdings, Ltd.
*Fortuna International
Holdings, Ltd.
*Foundation Group, Ltd.
*Founder Holdings, Ltd.
Fountain Set Holdings, Ltd.
Four Seas Frozen Food
Holdings, Ltd.
Four Seas Mercantile
Holdings, Ltd.
*Fujian Holdings, Ltd.
Fujikon Industrial Holdings, Ltd.
</Table>
69,365.30
43,243.86
136,990.42
209,578.42
76,069.93
41,338.05
$
59,614
1,028
126,892
79,994
45,673
25,530
119,243.28
11,387.73
71,244
10,366
233,935.56
254,478.49
218,936
319,254
170,805.16
239,103
204,209.05
233,171.34
809,675.41
402,894.33
38,849
54,560
196,053
218,554
26,689.20
369,604.56
16,355
85,881
97,446.24
71,762
425,800.47
482,065.52
155,673.82
171,836.19
73,697.63
472,987
386,607
167,244
30,402
28,942
240,844.46
58,657.47
36,135.19
516,480.32
3,581
42,246
56,354
366,220
220,630.60
574,886
170,108.75
53,368.97
307,898.66
47,679
8,335
25,053
107,587.42
147,989.83
53,958.43
99,660
2,791
10,413
381,830.80
346,160
296,334.25
76,364
179,832.19
28,038
66,965.40
119,924.81
57,078
109,793
235,946.57
48,086
28,545.93
73,561.44
317,714.83
158,964.13
13,349
854
188,722
150,998
47,195.77
57,667
204,725.86
414,647.11
102,553.19
227,698
6,717
60,276
SHARES
--------------<C>
151,016.35
VALUE+
--------------<C>
$
92,283
476,277.24
270,990.06
237,080.03
318,169.07
594,834.63
82,527
155,181
120,492
42,407
504,882
115
<Page>
<Table>
<Caption>
<S>
*Fushan Holdings, Ltd.
*GeoMaxima Energy
Holdings, Ltd.
*Global China Group Holdings, Ltd.
Global Green Tech Group, Ltd.
*Global Tech (Holdings), Ltd.
Glorious Sun Enterprises, Ltd.
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Gold Peak Industries
(Holdings), Ltd.
*Goldbond Group Holdings,
Ltd. New
Golden Resources Development
International, Ltd.
*Gold-Face Holdings, Ltd.
Goldlion Holdings, Ltd.
Golik Holdings, Ltd.
Good Fellow Group, Ltd.
*Gorient Holdings, Ltd.
*Great Wall Cybertech, Ltd.
Group Sense (International), Ltd.
Guangdong Brewery
Holdings, Ltd.
*Guangnan Holdings, Ltd.
Guangzhou Investment Co., Ltd.
*Guo Xin Group, Ltd.
*Guorun Holdings Ltd.
GZI Transport, Ltd.
Hang Fung Gold Technology, Ltd.
Hang Ten Group Holdings, Ltd.
Hanny Holdings, Ltd.
*Hansom Eastern Holdings, Ltd.
Harbour Centre Development, Ltd.
Harbour Ring International
Holdings, Ltd.
*Hen Fung Holdings, Ltd.
Henderson China Holdings, Ltd.
Hengan International
Group Co., Ltd.
High Fashion International, Ltd.
*HKR International, Ltd.
*Hon Kwok Land
Investment Co., Ltd.
Hong Kong Catering
Management, Ltd.
*Hong Kong Construction
Holdings, Ltd.
Hong Kong Ferry
(Holdings) Co., Ltd.
*Hong Kong Parkview Group, Ltd.
*Hong Kong Pharmaceuticals
Holdings, Ltd.
Hongkong Chinese, Ltd.
*Hop Hing Holdings, Ltd.
Hopson Development
Holdings, Ltd.
*Hsin Chong Construction
Group, Ltd.
*Huabao International
Holdings, Ltd.
*Hualing Holdings, Ltd.
Hung Hing Printing Group, Ltd.
*Hycomm Wireless, Ltd.
I-Cable Communications, Ltd.
*I-China Holdings, Ltd.
IDT International, Ltd.
*Imagi International Holdings, Ltd.
*Innomaxx Biotechnology Group, Ltd.
*Interchina Holdings Co., Ltd.
*Inworld Group, Ltd.
*ITC Corp., Ltd.
JCG Holdings, Ltd.
*Junefield Department
Store Group, Ltd.
K Wah International Holdings, Ltd.
K. Wah Construction Materials, Ltd.
*Kader Holdings Co., Ltd.
Karrie International Holdings, Ltd.
Keck Seng Investments
(Hong Kong), Ltd.
Kee-Shing Holdings Co., Ltd.
Kin Yat Hldgs
*King Fook Holdings, Ltd.
*King Pacific International
Holdings, Ltd.
Kingdee International Software
Group Co., Ltd.
Kingmaker Footwear Holdings, Ltd.
*Kong Sun Holdings, Ltd.
Kowloon Development Co., Ltd.
*KPI Co., Ltd.
KTP Holdings, Ltd.
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
383,593.09
299,689
224,288.63
41,928
251,172.36
253,673.76
277,707.35
36,697.63
174,648.84
324,283.33
523,578.15
187,147.36
63,594
138,714
114,701
35,914
170,359
57
20,251
231,237
216,480.80
379,363.44
227,871.68
43,829.59
91,909.80
484,433.13
133,973.77
843,926.05
341,137.09
157,892.27
327,054.05
573,296
212,193
218,883
37,562
65,802
497,862
136,184
833
80,716
29,433
522,190
170,236.19
56,737.43
241,333.55
168,197
33,967
393,280
125,188.58
46,841.60
421,687.91
135,998
38,519
590,459
391,518.66
93,608
146,228.26
64,378
895,471.68
55,875
611,598.39
447,940.46
654,764
72,438
234,877.69
474,698.46
89,342.79
54,844
254,513
31,744
218,657.77
295,923
185,793.91
76,528
71,251.96
126,091.24
145,376.72
79,885.62
73,240.12
214,112.41
196,524.30
69,849.15
190,351.23
589,636.12
331,259.05
141,326.41
37,544.14
2,986
42,397
145,804
44,358
72,873
8,672
967,949
27,427
51,205
175,399
18,358
141,491
3,472
$
253,551.98
260,097.81
40,694.90
144,251.99
226,923.25
519,888
242,702
9,210
141,251
133,732
254,372.88
130,828.61
118,251.57
181,677.24
72,699
88,101
62,176
21,964
216,178.12
217,361
63,901.00
2,966.89
124,921.81
298,891.91
32,578.02
101,965.88
408,250
11
7,045
470,145
5,580
57,553
*Kwong Sang Hong
International, Ltd.
Kwoon Chung Bus Holdings, Ltd.
*Lai Sun Development Co., Ltd.
*Lai Sun Garment
(International), Ltd.
Lam Soon (Hong Kong), Ltd.
*Le Saunda Holdings, Ltd.
*Leadership Publishing Group, Ltd.
*Leading Spirit High-Tech
Holdings Co., Ltd.
Lerado Group (Holding) Co., Ltd.
*LifeTec Group, Ltd.
Lippo, Ltd.
Liu Chong Hing Bank, Ltd.
Liu Chong Hing Investment, Ltd.
Luk Fook Holdings
(International), Ltd.
Luks Industrial Group, Ltd.
Lung Kee (Bermuda)
Holdings, Ltd.
*MACRO-LINK International
Holdings, Ltd.
*Mae Holdings, Ltd.
*Magnificent Estates, Ltd.
*Magnum International
Holdings, Ltd.
Mainland Headwear
Holdings, Ltd.
*Mansion House Group, Ltd.
Matrix Holdings, Ltd.
*Mei Ah Entertainment Group, Ltd.
Melbourne Enterprises, Ltd.
</Table>
330,113.80
59,614.66
523,572.27
118,654
80,207
130,464
1,048,801.01
605,979.72
30,395.27
33,506.81
75,092
99,965
20,298
1,612
47,644.76
197,113.26
41,153.99
753,982.10
175,565.46
700,929.98
2,962
185,917
32,918
251,708
172,445
404,375
124,723.90
484,411.62
112,766
102,093
186,566.33
488,254
59,198.54
71,123.38
73,715.93
30,561
4,016
48,703
27,697.54
3,615
141,753.55
64,301.98
98,064.03
24,937.54
380,497.73
132,722
57,550
85,490
35,896
162,128
SHARES
--------------<C>
69,528.06
218,971.43
205,164.09
173,248.98
VALUE+
--------------<C>
$
52,703
238,827
21,393
129,399
98,564.64
94,458.90
411,504.72
134,217.92
127,876.48
182,764.60
17,004.76
56,023.03
0
81,457.68
101,172
12,300
429,253
129,755
68,575
86,745
13,539
58,465
82
148,484
94,660.04
129,971.82
301,331.44
82,208.74
121,088.30
381,923.10
80,229.55
93,858.21
68,805
111,582
600,518
79,618
105,679
207,282
82,901
76,265
193,751.88
188,394
362,856.91
116,839.29
524,253
18,211
195,097.22
163,972.74
210,051
214,804
27,204.68
34,225
60,347.19
219,189.20
405,947.62
125,499.54
373,920.72
58,859
81,243
280,649
73,713
60,730
116
<Page>
<Table>
<Caption>
<S>
Midas International Holdings, Ltd.
Midland Realty (Holding), Ltd.
*Millennium Group, Ltd.
Min Xin Holdings, Ltd.
Miramar Hotel &
Investment Co., Ltd.
*Morning Star Resources, Ltd.
Moulin International Holdings, Ltd.
Nanyang Holdings, Ltd.
*National Electronics Holdings, Ltd.
*New China Merchants Dichain
New Island Printing Holdings, Ltd.
*New World China Land, Ltd.
*New World Cyberbase, Ltd.
*New World TMT, Ltd.
Newocean Green Energy
Holdings, Ltd.
*Next Media, Ltd.
Ngai Lik Industrial Holdings, Ltd.
*#Onfem Holdings, Ltd.
Orient Power Holdings, Ltd.
*Oriental Metals, Ltd.
Oriental Press Group, Ltd.
Oriental Watch Holdings, Ltd.
Pacific Andes International
Holdings, Ltd.
Pacific Century Insurance
Holdings, Ltd.
*Pacific Plywood Holdings, Ltd.
Paul Y. ITC Construction
Holdings, Ltd.
Peace Mark Holdings, Ltd.
Pegasus International
Holdings, Ltd.
Perfectech International
Holdings, Ltd.
Pico Far East Holdings, Ltd.
Playmates Holdings, Ltd.
Pokfulam Development Co., Ltd.
*Poly Investments Holdings, Ltd.
Prime Success International
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Group, Ltd.
Proview International
Holdings, Ltd.
*#QPL International Holdings, Ltd.
Quality Healthcare Asia, Ltd.
*Rainbow International
Holdings, Ltd.
Raymond Industrial, Ltd.
*#Regal Hotels International
Holdings, Ltd.
*Rexcapital International
Holdings, Ltd.
*Riche Multi-Media Holdings, Ltd.
*Rivera Holdings, Ltd.
*Riverhill Holdings, Ltd.
Road King Infrastructure, Ltd.
*Roadshow Holdings, Ltd.
S.A.S.Dragon Holdings, Ltd.
SA SA International Holdings, Ltd.
Safety Godown Co., Ltd.
Saint Honore Holdings, Ltd.
*San Miguel Brewery
Hong Kong, Ltd.
SCMP Group, Ltd.
Sea Holdings, Ltd.
*Seapower Resources
International, Ltd.
*SEEC Media Group, Ltd.
Shanghai Allied Cement, Ltd.
*Shanghai Century Holdings, Ltd.
*Shanghai Land Holdings, Ltd.
#Shanghai Real Estates, Ltd.
Shaw Brothers Hong Kong, Ltd.
Shell Electric Manufacturing
(Holdings) Co., Ltd.
Shenyin Wanguo
(Hong Kong), Ltd.
Shenzhen International
Holdings, Ltd.
Shougang Concord Century
Holdings, Ltd.
*Shougang Concord Grand
(Group), Ltd.
*Shougang Concord International
Enterprises Co., Ltd.
*Shougang Concord Technology
Holdings, Ltd.
*Shui On Construction &
Materials, Ltd.
*Shun Ho Resources
Holdings, Ltd.
*Shun Ho Technology
Holdings, Ltd.
Silver Grant International
Industries, Ltd.
*Sincere Co., Ltd.
#Singamas Container
Holdings, Ltd.
Sino Golf Holdings, Ltd.
*Sinocan Holdings, Ltd.
*Sino-I.com, Ltd.
#Sinolink Worldwide Holdings, Ltd.
Sinopec Kantons Holdings, Ltd.
*Skynet (International Group)
Holdings, Ltd.
SNP Leefung Holdings, Ltd.
*Softbank Investment International
(Strategic), Ltd.
*Solartech International
Holdings, Ltd.
South China Brokerage Co., Ltd.
South China Industries, Ltd.
Southeast Asia Properties &
Finance, Ltd.
Starlight International
Holdings, Ltd. (New)
Starlite Holdings, Ltd.
*Stelux Holdings International, Ltd.
*Styland Holdings, Ltd.
Sun Hing Vision Group
Holdings, Ltd.
Sun Hung Kai & Co., Ltd.
*Sun Innovation Holdings, Ltd.
</Table>
100,862.43
148,089
76,521.20
389,337.95
118,231.61
220,169
277,518
29,450
2,966.89
107,946.37
7
203,966
417,868.49
383,826
500,586.88
307,436.34
109,017.03
4,153.63
297,361.31
229,622.44
92,780.61
310,362.89
350,230.82
34,300.46
10,768
287,336
118,189
28
322,907
149,805
196,356
733,872
134,448
27,896
294,823.95
164,314.61
327,831.89
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
$
133,754
162,602
190,329
409,962.65
151,478.63
228,069.56
219,780.39
125,256.32
240,236.66
111,170.88
1,770
171,314
69,705
110,130
64,756
163,680
134,315
177,634.62
126,940
118,130.56
83,177
184,029.93
186,161
171,999.34
157,523
115,584.40
122,042
558,617.98
207,394
468,788.21
172,694
544,963.71
436,724
65,344.62
20,435
251,854.88
43,562
276,771.19
107,881.82
452,448
22,633
166,731.25
90,155.10
8,124.78
254,835.42
366,057.09
224,412.65
436,088
81,585
1,750
452,792
450,619
227,915
130.47
22,861.13
313
21,461
255,551.15
90,838
90,479.01
67,010.38
207,590.82
1,853
29,914
61,966
74,979.78
37,842
177,529.58
87,556.60
394,714.69
49,250.27
180,032
73,160
48,144
326
129,389.63
304,866.55
43,489.16
169,872
458,057
3,247
117
<Page>
<Table>
<Caption>
<S>
*Sun Media Group Holdings, Ltd.
*Sunday Communications, Ltd.
Sunway International Holdings, Ltd.
*Suwa International Holdings, Ltd.
*Tack Hsin Holdings, Ltd.
Tai Cheung Holdings, Ltd.
Tai Fook Securities Group, Ltd.
Tai Sang Land Development, Ltd.
Tak Shun Technology Group, Ltd.
Tak Sing Alliance Holdings, Ltd.
#Tan Chong International, Ltd.
TCC International Holdings, Ltd.
*Technology Venture Holdings, Ltd.
*Termbray Industries International
(Holdings), Ltd.
Tern Properties Co., Ltd.
*The Sun's Group, Ltd.
*Tian An China
Investments Co., Ltd.
Tian Teck Land, Ltd.
#Tianjin Development
Holdings, Ltd.
*Titan Petrochemicals
Group, Ltd.
*Tomorrow International
Holdings, Ltd. New
Tonic Industries Holdings., Ltd.
Top Form International, Ltd.
*Tristate Holdings, Ltd.
Truly International Holdings, Ltd.
Tungtex (Holdings) Co., Ltd.
*Tysan Holdings, Ltd.
*U-Cyber Technology Holdings, Ltd.
*United Power Investment, Ltd.
*Universal Holdings Ltd.
*Universe International
Holdings, Ltd.
U-Right International
Holdings, Ltd.
USI Holdings, Ltd.
Van Shung Chong Holdings, Ltd.
*Vanda Systems & Communications
Holdings, Ltd.
#Varitronix International, Ltd.
Veeko International Holdings, Ltd.
Victory City International
Holdings, Ltd.
Vitasoy International Holdings, Ltd.
*Wah Ha Realty Co., Ltd.
*Wah Nam International
Wai Kee Holdings, Ltd.
Wang ON Group Ltd New
*Wellnet Holdings, Ltd.
*Winfoong International, Ltd.
Wing On Co. International, Ltd.
Wing Shan International, Ltd.
*Winsan China Investment
Group, Ltd.
Wong's International
(Holdings), Ltd.
*Wonson International
Holdings, Ltd.
World Houseware (Holdings), Ltd.
*#Xinao Gas Holdings, Ltd.
Y. T. Realty Group, Ltd.
Yangtzekiang Garment
Manufacturing Co., Ltd.
*Yanion International Holdings, Ltd.
*Yaohan International
Holdings, Ltd.
*Yau Lee Holdings, Ltd.
YGM Trading, Ltd.
Yip's Chemical Holdings, Ltd.
Yugang International, Ltd.
*Yunnan Enterprises Holdings, Ltd.
SHARES
--------------<C>
118,796.87
62,744.57
39,964.77
92,722.75
77,870.03
290,047.67
87,488.38
154,106.55
76,942.87
199,501.93
99,232.33
160,411.04
28,246.88
VALUE+
--------------<C>
$
35,351
275,097
32,127
27,524
8,341
339,579
85,849
118,553
87,372
102,580
127,409
197,392
16,780
186,934.99
12,227.29
265,399.44
125,591
12,554
21,801
1,174,519.33
253,019.62
274,866
325,029
396,394.96
381,969
46,456.68
42,876
15,714.32
68,429.43
75,578.90
90,655.79
143,492.04
120,389.27
124,796.17
66,985.93
182,286.15
107,230.04
18,288
49,081
237,955
23,054
141,684
296,193
38,489
6,337
34,274
20,382
24,176.77
4,456
99,021.50
291,463.41
31,302.05
110,336
116,935
52,238
269,666.02
481,824.90
32,829.94
139,874
502,747
38,385
207,984.12
309,855.37
58,916.14
80,252.55
176,173.77
46,310.87
83,045.76
729,748.15
257,410.03
134,213.35
306,152
332,417
42,505
745
226,746
5,550
28,715
583,708
99,260
46,242
18,395.61
63,839
203,523.90
80,295
42,953.17
127,775.14
232,803.29
393,834.27
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
$
7,779
22,557
488,041
56,553
123,327.61
21,610.57
78,492
8,934
231,484.47
68,224.18
113,778.83
153,513.59
350,896.98
44,743.21
0
25,968
134,656
139,370
104,427
12,341
*Zhu Kuan Development Co., Ltd.
35,290.30
TOTAL COMMON STOCKS
(Cost $76,465,512)
27,489
--------------51,046,119
---------------
INVESTMENT IN CURRENCY -- (0.1%)
*Hong Kong Dollars
(Cost $108,641)
108,629
---------------
RIGHTS/WARRANTS -- (0.0%)
China Travel International Investment,
Ltd. Warrants 05/31/06
*Easyknit International
Holdings, Ltd. Rights 06/07/04
*Quality Healthcare Asia,
Ltd. Warrants 01/12/04
124,800
3,760
141,430
0
26,760
755
---------------
TOTAL RIGHTS/WARRANTS
(Cost $0)
4,515
---------------
TOTAL -- HONG KONG
(Cost $76,574,153)
51,159,263
---------------
NEW ZEALAND -- (9.0%)
COMMON STOCKS -- (8.9%)
*AFFCO Holdings, Ltd.
Cavalier Corp., Ltd.
CDL Hotels NZ, Ltd.
CDL Investments NZ, Ltd.
Colonial Motor Co., Ltd.
*Cue Energy Resources NL
DB Breweries, Ltd.
Ebos Group, Ltd.
*Evergreen Forests, Ltd.
Hallenstein Glassons
Holdings, Ltd.
Hellaby Holdings, Ltd.
Horizon Energy Distribution, Ltd.
Met Lifecare, Ltd.
Michael Hill International, Ltd.
*New Zealand Oil & Gas, Ltd.
New Zealand Refining Co., Ltd.
*New Zealand Rural
Properties, Ltd.
Northland Port Corp.
(New Zealand), Ltd.
Nuplex Industries, Ltd.
*Pacific Retail Group, Ltd.
Port of Tauranga, Ltd.
Powerco, Ltd.
*Provenco Group, Ltd.
Pyne Gould Guinness, Ltd.
</Table>
1,935,950
283,674
1,387,344
306,025
126,795
452,354
312,589
112,108
323,301
444,740
876,085
389,891
51,047
239,163
20,928
1,596,895
270,628
76,521
241,638
201,679
40,420
270,895
156,746
584,872
38,372
449,517
649,082
99,247
414,798
600,313
257,305
0
219,997
376,878
271,267
194,156
541,952
804,832
281,600
229,634
369,175
915,455
270,166
1,790,345
1,064,343
116,560
259,111
297,321
SHARES
--------------<C>
VALUE+
--------------<C>
118
<Page>
<Table>
<Caption>
<S>
Restaurant Brand
New Zealand, Ltd.
*Richina Pacific, Ltd.
*Rubicon, Ltd.
Ryman Healthcare Group, Ltd.
Sanford, Ltd.
Scott Technology, Ltd.
*Seafresh Fisheries
South Port New Zealand, Ltd.
Steel & Tube Holdings, Ltd.
*Tasman Farms
Taylors Group, Ltd.
Tourism Holdings, Ltd.
*Trans Tasman Properties, Ltd.
Waste Management NZ, Ltd.
Williams & Kettle, Ltd.
Wrightson, Ltd.
309,644
995,760
415,999
418,047
60,843
80,520
30,744
379,638
157,056
29,646
84,779
402,452
2,311,308
430,471
57,558
597,701
TOTAL COMMON STOCKS
(Cost $13,683,313)
$
88,877
526,899
721,215
1,252,330
122,789
1,432
26,448
1,006,623
0
51,854
1,053,121
456,213
530,041
1,303,996
108,308
533,844
--------------19,310,331
---------------
INVESTMENT IN CURRENCY -- (0.1%)
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
*New Zealand Dollar
(Cost $122,643)
123,291
---------------
TOTAL -- NEW ZEALAND
(Cost $13,805,956)
19,433,622
---------------
UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
*Exergy, Inc.
MALAYSIA -- (0.1%)
COMMON STOCKS --(0.1%)
*Autoways Holdings Berhad
*Promet Berhad
*Rekapacific Berhad
*RNC Corp. Berhad
*Saship Holdings Berhad
*Wing Tiek Holdings Berhad
7,260
0
---------------
10,000
1,143,000
473,000
33,000
223,520
95,800
3,395
87,229
0
3,560
52,351
22,437
---------------
TOTAL MALAYSIA
(Cost $1,212,987)
168,972
---------------
</Table>
<Table>
<Caption>
<S>
TEMPORARY CASH
INVESTMENTS -- (8.7%)
Repurchase Agreement,
Mizuho Securities USA 1.30%, 06/01/04 (Collateralized by $15,806,000
U.S. Treasury Obligations, 10.375%, maturities ranging from
11/26/04 to 11/15/12, valued at $17,119,249) to be repurchased at
$16,784,183 Cost $16,784,183@
Repurchase Agreement, PNC Capital Markets, Inc. 1.28%, 07/01/04
(Collateralized by $2,128,000 FHLMC Notes 1.85%, 11/17/05, valued at
$2,133,320) to be repurchased at $2,101,075
(Cost $2,101,000)
FACE
AMOUNT
--------------(000)
<C>
<C>
$
$
16,784
2,101
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $18,885,183)
VALUE+
---------------
16,784,183
2,101,000
--------------18,885,183
---------------
TOTAL INVESTMENTS - (100.0%)
(Cost $238,087,590)++
$
216,085,414
===============
</Table>
---------+
See Note B to Financial Statements.
@
Security purchased with cash proceeds from securities on loan.
*
Non-Income Producing Securities.
#
Total or Partial Securities on Loan.
++
The cost for federal income tax purposes is $238,139,601.
See accompanying Notes to Financial Statements.
119
<Page>
THE UNITED KINGDOM SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
<S>
UNITED KINGDOM -- (95.8%)
COMMON STOCKS -- (92.0%)
4imprint P.L.C.
600 Group P.L.C.
Abacus Group P.L.C.
Abbeycrest P.L.C.
Abbot Group P.L.C.
Aberdeen Asset Management P.L.C.
Acal P.L.C.
SHARES
--------------<C>
50,375
100,910
75,000
42,590
239,595
352,266
33,999
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
VALUE+
--------------<C>
$
120,039
142,725
408,215
53,729
776,014
518,775
298,543
*Acambis P.L.C.
*Advanced Medical Solutions P.L.C.
*Advanced Power Components, Ltd.
AEA Technology P.L.C.
AGA Food Service Group P.L.C.
Aggreko P.L.C.
*AIM Group P.L.C.
*Air Partner P.L.C.
*Airflow Streamlines P.L.C.
Airsprung Furniture Group P.L.C.
Alba P.L.C.
Alexandra P.L.C.
Alexon Group P.L.C.
*Alizyme P.L.C.
Alpha Airports Group P.L.C.
Alphameric P.L.C.
*Alterian P.L.C.
Alumasc Group P.L.C.
Alvis P.L.C.
Amberley Group P.L.C.
Amec P.L.C.
Amstrad P.L.C.
*Anglesey Mining P.L.C.
Anglo Eastern Plantations P.L.C.
Anglo Pacific Group P.L.C.
*Anite Group P.L.C.
*Antisoma P.L.C.
*API Group P.L.C.
*Applied Optical Technologies P.L.C.
*Arena Leisure P.L.C.
*Argonaut Games, Ltd.
Arla Foods UK P.L.C.
Arm Holdings P.L.C.
Arriva P.L.C.
*Ashtead Group P.L.C.
Ashtenne Holdings P.L.C.
Atkins Ws P.L.C.
Atrium Underwriting P.L.C.
Austin Reed Group P.L.C.
Autologic Holdings P.L.C.
*Autonomy Corp. P.L.C.
Avesco P.L.C.
Aveva Group P.L.C.
Avis Europe P.L.C.
Avon Rubber P.L.C.
*AWG P.L.C.
*AWG P.L.C. Redeemable Shares
*Axis-Shield P.L.C.
Axon Group P.L.C.
Babcock International Group P.L.C.
Baggeridge Brick P.L.C.
*Bailey (C.H.) P.L.C.
*Bailey (C.H.) P.L.C. Class
*Baltimore Technologies P.L.C.
Barr (A.G.) P.L.C.
Beattie (James) P.L.C.
Belhaven Brewery Group P.L.C.
Bellway P.L.C.
Ben Bailey P.L.C.
Benchmark Group P.L.C.
Bespak P.L.C.
*Biocompatibles International P.L.C.
*Bioquell P.L.C.
Biotrace International P.L.C.
Birse Group P.L.C.
Black Arrow Group P.L.C.
Blacks Leisure Group P.L.C.
Bloomsbury Publishing P.L.C.
*BNB Resources P.L.C.
Body Shop International P.L.C.
Bodycote International P.L.C.
*Bookham Technology P.L.C.
Boot (Henry) P.L.C.
Bovis Homes Group P.L.C.
BPP Holdings P.L.C.
*Bradstock Group P.L.C.
Brammer (H.) P.L.C.
*Brandon Hire P.L.C.
Brewin Dolphin Holdings P.L.C.
*Bristol Water Group P.L.C.
Britannic P.L.C.
British Polythene Industries P.L.C.
British Vita P.L.C.
Brixton P.L.C.
137,000
29,802
47,871
87,065
174,500
354,341
32,063
11,763
20,500
58,000
105,025
86,243
116,632
182,900
392,541
172,688
39,937
100,245
191,010
200,000
49,000
149,652
55,000
57,166
98,309
467,715
389,246
51,500
75,383
711,974
100,000
1,167,454
127,000
129,697
435,651
93,880
139,007
77,002
68,999
58,180
160,350
29,998
28,257
1,184,768
36,672
16,000
5,312,000
58,284
76,340
310,464
98,000
109,500
10,000
60,656
43,000
132,247
39,070
127,364
26,000
138,813
55,918
45,777
50,194
75,000
421,901
56,500
60,959
94,003
89,395
389,367
413,815
397,825
51,423
157,801
106,500
5,200
119,123
37,654
260,332
31,800
253,592
56,740
247,486
296,900
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
$
864,762
4,592
10,275
334,235
710,985
1,060,357
49,424
87,542
21,748
71,524
1,543,142
151,892
747,604
435,672
624,584
267,021
57,286
259,824
1,102,178
42,257
243,697
593,000
3,865
171,526
110,960
451,078
119,660
62,246
33,082
588,081
12,708
1,234,052
278,567
971,878
218,589
674,334
1,531,404
275,835
181,704
293,135
734,966
51,305
286,920
2,256,886
153,042
170,480
9,392
188,437
177,115
722,487
283,166
15,390
6,619
48,425
539,632
303,702
334,336
1,762,575
190,863
693,674
514,062
162,990
144,899
170,360
99,713
64,039
480,563
418,967
28,776
1,152,713
1,189,316
393,191
346,238
1,514,427
580,525
4,149
298,617
86,591
350,471
229,778
1,705,497
300,620
1,158,453
1,565,851
*Broadcastle P.L.C.
*Brown & Jackson P.L.C.
Brown (N) Group P.L.C.
BSS Group P.L.C.
*BTG P.L.C.
Burtonwood Brewery P.L.C.
Business Post Group P.L.C.
BWD Securities P.L.C.
Caffyns P.L.C.
*Cairn Energy P.L.C.
*Cambridge Antibody Technology
Group P.L.C.
*Cammell Laird Holdings P.L.C.
Capital & Regional P.L.C.
Capital Radio P.L.C.
Carclo P.L.C.
Care UK P.L.C.
Carillion P.L.C.
*Carlisle Holdings, Ltd.
Carpetright P.L.C.
Carr's Milling Industries P.L.C.
</Table>
42,033
445,542
468,107
47,905
220,220
38,000
105,019
29,403
6,000
183,836
59,565
536,249
901,003
637,614
434,352
266,487
938,531
252,221
78,438
4,723,079
58,733
256,158
83,991
110,198
100,463
64,835
286,809
8,709
125,839
19,000
549,471
27,873
820,482
883,255
90,393
340,287
965,506
52,992
2,408,503
115,417
SHARES
--------------<C>
79,000
10,000
298,612
18,000
627,680
59,041
67,918
216,904
51,533
49,000
92,900
230,438
485,500
53,263
286,082
30,000
21,389
275,712
44,733
46,666
433,380
152,907
28,361
60,000
31,538
257,000
11,100
237,134
36,601
51,000
2,289,168
50,000
50,497
1,535,192
30,700
606,344
24,413
111,482
185,800
110,722
452,393
54,941
267,250
28,278
176,035
22,000
338
25,000
165,769
98,651
277,731
74,000
227,016
VALUE+
--------------<C>
$
265,470
10,707
49,000
53,662
252,195
89,677
312,512
657,802
41,227
386,820
171,844
154,637
428,071
109,439
1,024,746
121,704
84,365
411,308
398,854
21,141
686,615
883,867
202,485
110,442
242,144
376,769
38,206
498,558
57,214
348,642
1,756,224
39,563
285,291
300,598
173,028
458,570
79,738
446,607
1,111,929
305,233
587,808
375,699
1,702,870
67,397
915,613
62,392
80
999,607
1,293,192
533,132
311,875
204,813
1,591,031
120
<Page>
<Table>
<Caption>
<S>
Castings P.L.C.
*Celtic P.L.C.
*Cenes Pharmaceuticals P.L.C.
Chamberlin & Hill P.L.C.
Chapelthorpe P.L.C.
Character Group P.L.C.
Charles Taylor Consulting P.L.C.
*Charter P.L.C.
*Che Group P.L.C.
Chemring Group P.L.C.
*Chesnara P.L.C.
*Chime Communications P.L.C.
Chloride Group P.L.C.
Christie Group P.L.C.
Chrysalis Group P.L.C.
Churchill China P.L.C.
*City North Group P.L.C.
City Restaurant Group P.L.C.
Clarkson (Horace) P.L.C.
*Clinical Computing P.L.C.
Clinton Cards P.L.C.
*CLS Holdings P.L.C.
CML Microsystems P.L.C.
Colefax Group P.L.C.
Collins Stewart Tullett P.L.C.
*Colt Telecom Group P.L.C.
Comino Group P.L.C.
Communisis P.L.C.
Compel Group P.L.C.
Computacenter P.L.C.
*Cookson Group P.L.C.
Coral Products P.L.C.
*Corin Group P.L.C.
*Corporate Services Group P.L.C.
Cosalt P.L.C.
*Costain Group P.L.C.
*Country & Metropolitan P.L.C.
Countryside Property P.L.C.
*Countrywide P.L.C.
Courts P.L.C.
Cox Insurance Holdings P.L.C.
Cranswick P.L.C.
Crest Nicholson P.L.C.
Creston P.L.C.
Croda International P.L.C.
Cropper (James) P.L.C.
*Culver Holdings P.L.C.
Daejan Holdings P.L.C.
Dairy Crest Group P.L.C.
*Dana Petroleum P.L.C.
*Danka Business Systems P.L.C.
Dart Group P.L.C.
Davis Service Group P.L.C.
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
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Dawson Holdings P.L.C.
*Dawson International P.L.C.
*DCS Group P.L.C.
De la Rue P.L.C.
Dechra Pharmaceiticals P.L.C.
Dee Valley Group P.L.C.
Delta P.L.C.
Deltron Electronics P.L.C.
*Densitron International P.L.C.
Derwent Valley Holdings P.L.C.
Detica Group P.L.C.
Development Securities P.L.C.
DeVere Group P.L.C.
Devro P.L.C.
Dewhurst P.L.C.
Dewhurst P.L.C. Class A
Non-Voting
DFS Furniture Co. P.L.C.
Diagonal P.L.C.
Dickinson Legg Group P.L.C.
Dicom Group P.L.C.
*Dimension Data Holdings P.L.C.
Diploma P.L.C.
Domestic & General Group P.L.C.
Domino Printing Sciences P.L.C.
Domnick Hunter Group P.L.C.
*Dowding & Mills P.L.C.
DRS Data Research Services P.L.C.
DTZ Holdings P.L.C.
*Duelguide Units P.L.C.
*Durlacher Corp. P.L.C.
Dyson Group P.L.C.
East Surrey Holdings P.L.C.
*Easyjet P.L.C.
*Easynet Group P.L.C.
*Easyscreen P.L.C.
*Ebookers P.L.C.
*Edinburgh Oil & Gas P.L.C.
*Eidos P.L.C.
Eldridge Pope & Co. P.L.C.
Eleco P.L.C.
Electronic Data Processing P.L.C.
*Elementis P.L.C.
*Emerald Energy P.L.C.
*Emess P.L.C.
Ennstone P.L.C.
*Enodis P.L.C.
*Entertainment Rights P.L.C.
Estates & General P.L.C.
Eurocopy P.L.C.
*Eurodis Electron P.L.C.
Euromoney Institutional Investors
P.L.C.
European Colour P.L.C.
European Motor Holdings P.L.C.
*European Telecom P.L.C.
*Evans of Leeds Contingent Units
P.L.C.
Expro International Group P.L.C.
Fenner P.L.C.
*Ferguson International Holdings
P.L.C.
Ferraris Group P.L.C.
*Fibernet Group P.L.C.
*FII Group P.L.C.
Filtronic P.L.C.
Financial Objects P.L.C.
Findel P.L.C.
First Choice Holidays P.L.C.
First Technology P.L.C.
Fisher (James) & Sons P.L.C.
</Table>
83,245
100,688
10,000
236,201
67,432
4,214
234,235
45,452
74,175
90,000
29,314
50,000
132,501
213,653
9,000
$
238,286
14,699
2,915
1,486,821
183,671
54,282
347,070
57,819
22,978
1,420,034
307,739
340,793
1,060,502
418,136
23,421
15,500
135,600
104,323
11,935
30,000
939,000
30,191
47,868
355,935
47,242
336,440
26,825
114,500
3,971
15,272
42,750
164,541
335,116
158,575
72,275
102,112
47,564
183,310
25,000
104,685
55,200
573,383
6,178,398
288,250
295,323
524,429
343,617
10,000
41,051
1,230,802
33,731
1,066,542
87,737
4,714
425,845
540,502
308,437
503,958
1,526,113
325,091
67,085
29,499
329,970
38,729
33,049
232,842
927,582
970,861
329,127
39,340
505,403
140,599
357,113
69,207
57,146
58,931
391,652
148,657
42,923
200,733
969,795
64,398
46,125
28,674
103,315
146,258
82,090
118,325
7,000
1,003,243
27,709
479,781
0
80,000
88,349
144,722
0
442,145
294,977
89,105
63,540
70,153
41,166
98,438
7,000
142,288
797,150
128,111
76,000
43,630
131,202
156,746
5,039
378,651
5,317
1,083,131
1,814,334
709,586
386,282
SHARES
--------------<C>
750,350
43,333
142,983
VALUE+
--------------<C>
$
1,683,084
16,306
3,031,357
121
<Page>
<Table>
<Caption>
<S>
FKI P.L.C.
Forminster P.L.C.
Forth Ports P.L.C.
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Fortress Holdings P.L.C.
*Fortune Oil P.L.C.
Freeport P.L.C.
French Connection Group P.L.C.
Fuller, Smith & Turner P.L.C.
Series A
Fulmar P.L.C.
Future Network P.L.C.
Galliford Try P.L.C.
Game Group P.L.C.
Games Workshop Group P.L.C.
Gaming International P.L.C.
*Garton Engineering P.L.C.
*Gaskell P.L.C.
GB Group P.L.C.
Geest P.L.C.
Get Group P.L.C.
Gibbs & Dandy P.L.C.
Gleeson (M.J.) Group P.L.C.
*Global Natural Energy P.L.C.
*Glotel P.L.C.
Go-Ahead Group P.L.C.
Goldshield Group P.L.C.
Gowrings P.L.C.
Grainger Trust, Ltd.
Great Portland Estates P.L.C.
Greene King P.L.C.
*Greenwich Resources P.L.C.
Greggs P.L.C.
*Gresham Computing P.L.C.
Guiness Peat Group P.L.C.
GWR Group P.L.C.
*Gyrus Group P.L.C.
Halma P.L.C.
Halstead (James) Group P.L.C.
*Hampson Industries P.L.C.
*Hampton Trust P.L.C.
Hardy Underwriting Group P.L.C.
Hardys & Hansons P.L.C.
*Hartstone Group P.L.C.
*Harvey Nash Group P.L.C.
Havelock Europa P.L.C.
*Hawtin P.L.C.
Haynes Publishing Group P.L.C.
Headlam Group P.L.C.
Heath (Samuel) & Sons P.L.C.
Helical Bar P.L.C.
Helphire Group P.L.C.
Hercules Property Services P.L.C.
Heywood Williams Group P.L.C.
Highbury House Communications
P.L.C.
Highway Insurance Holdings P.L.C.
Hill & Smith Holdings P.L.C.
Hiscox P.L.C.
Hit Entertainment P.L.C.
Hitachi Capital (UK) P.L.C.
Holidaybreak P.L.C.
Homeserve P.L.C.
Homestyle Group P.L.C.
Hornby P.L.C.
House of Fraser P.L.C.
Hunting P.L.C.
Huntleigh Technology P.L.C.
Huntsworth P.L.C.
*Hyder Consulting P.L.C.
*IAF Group P.L.C.
*ICM Computer Group P.L.C.
IFX Group P.L.C.
*Imagination Technologies Group
P.L.C.
*IMS Group P.L.C.
Incepta Group P.L.C.
Inchcape P.L.C.
*Incisive Media P.L.C.
*Independent Media Distribution
P.L.C.
*Industrial & Commercial Holdings
P.L.C.
Infast Group P.L.C.
*Intec Telecom Systems P.L.C.
Intelek P.L.C.
Intertek Group P.L.C.
Intserve P.L.C.
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120,728
1,905,243
48,808
186,807
60,756
237,541
296,494
1,411,673
20,000
107,500
430,444
517,870
534,000
41,013
14,000
10,248
36,000
250,000
97,588
13,200
9,000
22,471
11,004
49,741
74,825
42,212
5,000
39,359
309,799
92,950
438,664
26,000
65,768
1,025,981
206,864
110,664
489,564
52,208
250,757
232,050
40,318
48,000
240,263
183,750
27,660
196,500
14,703
152,974
7,500
46,000
159,600
25,132
140,400
237,571
143,111
475,272
459,644
515,969
504,582
13,329
0
10,436
77,095
1,012,198
51,360
52,488
409,681
40,291
116,742
1,561,210
202,464
5,577
1,174,957
1,453,807
1,715,972
18,894
1,608,153
415,860
1,223,261
991,768
399,834
1,430,212
458,889
97,365
7,364
174,501
459,161
8,396
249,280
51,798
46,452
83,908
1,156,347
54,065
780,084
639,427
128,125
218,842
439,166
467,933
86,850
387,778
228,773
82,134
92,974
86,400
76,141
10,000
395,650
223,174
79,938
399,368
16,308
30,000
27,265
34,486
135,619
286,396
151,607
1,156,281
953,534
295,254
864,076
1,048,700
141,524
212,444
819,984
541,120
543,864
139,432
41,592
13,057
143,863
65,982
$
239,934
75,000
280,643
20,000
119,677
387,713
6,121
434,293
639,003
295,868
21,621
29,866
5,000
301,224
371,865
99,880
70,100
179,459
136
121,617
434,134
20,309
730,274
878,396
*Invensys P.L.C.
Inveresk P.L.C.
*IQE P.L.C.
ISIS Asset Management P.L.C.
Isoft Group P.L.C.
Isotron P.L.C.
Ite Group P.L.C.
Itnet P.L.C.
*Itouch International P.L.C.
Jarvis P.L.C.
*Jarvis Porter Group P.L.C.
JJB Sports P.L.C.
JKX Oil and Gas P.L.C.
John David Group P.L.C.
Johnson Service Group P.L.C.
Johnston Group P.L.C.
*Kalamazoo Computer Group P.L.C.
KBC Advanced Technologies P.L.C.
Keller Group P.L.C.
Kensington Group P.L.C.
*Kewill Systems P.L.C.
Kidde P.L.C.
Kier Group P.L.C.
Kiln P.L.C.
*Kingston Communications P.L.C.
Kleeneze P.L.C.
*Knowledge Support Systems Group
P.L.C.
*La Fitness P.L.C.
Laing (John) P.L.C.
Laird Group P.L.C.
Lambert Howarth Group P.L.C.
*Lastminute.com P.L.C.
*Laura Ashley Holdings P.L.C.
Lavendon Group P.L.C.
*Leeds United P.L.C.
Lincat Group P.L.C.
</Table>
5,864,457
150,000
132,400
268,751
210,764
50,325
374,735
98,785
120,000
230,379
99,894
366,085
234,386
114,500
125,535
26,000
56,120
25,000
123,128
84,884
88,409
232,000
51,293
316,219
639,901
84,300
1,926,245
40,454
21,192
1,002,466
1,660,576
423,903
445,429
346,118
61,749
326,605
33,514
1,770,342
521,278
438,158
917,367
136,738
1,781
15,461
483,553
681,300
106,511
504,359
591,875
466,285
804,743
183,454
25,000
53,738
301,961
184,690
38,049
392,251
1,178,470
50,092
66,000
19,000
363
189,364
1,272,165
1,016,615
186,781
1,290,085
284,116
114,165
180
134,800
SHARES
--------------<C>
39,000
27,000
20,000
293,962
22,308
324,905
263,000
53,160
60,000
132,598
99,500
191,787
298,631
228,287
42,500
16,800
24,837
VALUE+
--------------<C>
$
279,988
141,753
18,380
695,611
741,992
1,021,465
559,847
296,069
93,926
285,927
746,611
68,954
105,726
109,463
135,131
67,175
119,811
310,972
510,356
32,184
134,904
349,767
225,800
135,800
257,606
2,403,900
94,790
43,000
406,173
1,150,739
58,247
186,660
84,701
550,636
196,111
229,159
194,968
77,266
126,658
659,558
513,463
360,317
186,588
330,843
67,404
1,114,565
619,747
2,061,737
308,906
89,527
780,906
71,432
1,714,028
122
<Page>
<Table>
<Caption>
<S>
Linton Park P.L.C.
Linx Printing Technologies P.L.C.
Litho Supplies P.L.C.
*London Clubs International P.L.C.
London Industrial P.L.C.
London Merchant Securities P.L.C.
London Scottish Bank P.L.C.
Lookers P.L.C.
*Lorien P.L.C.
Low & Bonar P.L.C.
Luminar P.L.C.
Lupus Capital P.L.C.
*M.L. Laboratories P.L.C.
Macfarlane Group P.L.C.
Macro 4 P.L.C.
Maiden Group P.L.C.
Mallett P.L.C.
Management Consulting Group
P.L.C.
Manchester United P.L.C.
Manganese Bronze Holdings P.L.C.
*Marchpole Holdings P.L.C.
Marlborough Stirling P.L.C.
Marshalls P.L.C.
*Martin International Holdings P.L.C.
*Marylebone Warwick Balfour Group
P.L.C.
Matalan P.L.C.
Mayflower Corp. P.L.C.
McAlpine (Alfred) P.L.C.
McBride P.L.C.
McCarthy & Stone P.L.C.
McKay Securities P.L.C.
*Medical Solutions P.L.C.
*Medisys P.L.C.
Meggitt P.L.C.
*Melrose Resouces P.L.C.
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
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Mentmore P.L.C.
Menzies (John) P.L.C.
*Merant P.L.C.
Merchant Retail Group P.L.C.
Merrydown P.L.C.
Mersey Docks & Harbour Co. P.L.C.
Metal Bulletin P.L.C.
Metalrax Group P.L.C.
MFI Furniture Group P.L.C.
Mice Group P.L.C.
Michael Page International P.L.C.
*Microgen P.L.C.
Millennium and Copthorne Hotels
P.L.C.
Minerva P.L.C.
Mitie Group P.L.C.
Molins P.L.C.
Monsoon P.L.C.
*Morgan Crucible Company P.L.C.
Morgan Sindall P.L.C.
Morse P.L.C.
Moss Brothers Group P.L.C.
Mothercare P.L.C.
*Mouchel Parkman P.L.C.
Mowlem (John) & Co. P.L.C.
MS International P.L.C.
MSB International P.L.C.
Mtl Instruments Group P.L.C.
Mucklow (A & J) Group P.L.C.
*Music Choice Europe P.L.C.
*My Travel Group P.L.C.
National Express Group P.L.C.
*Ncipher P.L.C.
Nestor Healthcare Group P.L.C.
*Netstore P.L.C.
*New Avesco P.L.C.
Newcastle United P.L.C.
NHP P.L.C.
Nichols P.L.C.
Nord Anglia Education P.L.C.
Northamber P.L.C.
Northern Foods P.L.C.
Northgate P.L.C.
Novar P.L.C.
*NSB Retail P.L.C.
*NXT P.L.C.
Ocean Wilsons Holdings, Ltd.
*OEM P.L.C.
*Orbis P.L.C.
*Osmetech P.L.C.
Ottakar's P.L.C.
Owen (H.R.) P.L.C.
*Oxford Biomedica, Ltd.
Oxford Instruments P.L.C.
*Pace Micro Technology P.L.C.
Paladin Resources P.L.C.
*Palmaris Capital P.L.C.
Paragon Group of Companies
P.L.C.
Parity Group P.L.C.
Park Group P.L.C.
Partridge Fine Arts P.L.C.
Pendragon P.L.C.
Penna Consulting P.L.C.
Peterhouse Group P.L.C.
*Pharmagene P.L.C.
*Photo-Me International P.L.C.
PHS Group P.L.C.
*Phytopharm P.L.C.
Pillar Property P.L.C.
Pittards P.L.C.
Planit Holdings P.L.C.
*Plantation & General P.L.C.
*Plasmon P.L.C.
Portmeirion Group P.L.C.
Porvair P.L.C.
*PPL Therapeutics P.L.C.
Premier Farnell P.L.C.
*Premier Oil P.L.C.
*Pressac P.L.C.
Primary Health Properties P.L.C.
*Probus Estates P.L.C.
*Protherics P.L.C.
*Provalis P.L.C.
30,000
90,835
172,500
185,666
59,927
104,554
95,500
358,740
60,855
139,909
498,237
98,405
150,516
772,896
531,809
518,026
98,586
1,302,060
386,450
532,449
167,646
182,055
1,624,340
108,367
80,633
266,135
500,000
68,000
71,000
374,238
69,599
196,986
163,400
91,481
138,761
341,969
71,500
16,000
14,748
175,000
125,172
628,934
25,000
26,695
180,200
96,618
29,998
148,923
281,875
66,550
32,586
75,888
527,042
118,200
555,943
461,606
101,922
84,250
12,000
11,428
669,354
30,000
34,000
412,582
63,163
359,299
427,630
42,500
499,066
1,185,258
1,273,742
216,426
232,754
938,411
537,705
480,072
227,518
591,571
521,140
1,098,923
65,247
20,125
58,908
1,008,555
38,071
91,223
307,006
77,638
468,943
68,651
28,561
110,729
1,003,638
160,176
137,561
114,915
1,618,415
1,496,331
1,244,339
206,048
166,886
238,163
8,161
3,047
51,652
218,783
136,950
138,972
263,165
342,033
1,032,596
11,699
153,200
241,406
291,600
58,000
239,375
33,000
85,427
160,000
662,586
692,231
56,696
173,398
60,985
235,000
70,623
100,000
22,856
62,000
43,529
18,000
105,748
78,129
23,784
83,333
506,828
375,538
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
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$
959,666
50,157
157,279
64,688
1,518,572
82,650
328,190
119,651
1,185,693
1,032,627
169,741
1,832,306
61,109
122,299
23,053
381,512
66,319
128,460
4,736
80,603
1,063,639
14,821
106,117
1,247
498,239
50,612
PSD Group P.L.C.
*Psion P.L.C.
PZ Cuzzons P.L.C.
</Table>
43,500
587,351
30,398
218,368
663,266
613,382
SHARES
--------------<C>
158,950
50,736
159,000
VALUE+
--------------<C>
$
10,855
51,700
24,509
158,650
130
142,900
35,000
40,384
30,000
206,250
212,951
257,485
155,333
103,597
162,667
369,979
42,469
150,501
144,000
381,092
114,409
30,683
220,000
119,174
15,000
111,051
151,416
58,166
185,440
55,682
428,749
47,200
116,100
257,158
9,100
174,255
21,140
25,000
334,415
444,589
104,000
163,581
34,563
58,467
61,989
29,000
84,032
27,118
664,050
396,524
233,359
150,000
26,211
26,713
171,500
311,671
14,500
61,310
204,780
344,465
157,030
348,089
53,000
222,438
41,600
877,889
1,290,979
790
1,845,050
22,691
236,507
26,716
34,275
1,394,811
41,000
193,789
1,049,405
129,427
421,025
416,022
1,414,095
220,302
119,962
386,318
282,559
0
273,658
0
251,541
630,108
370,505
1,330,308
339,784
55,913
441,331
402,976
609,429
45,891
112,974
195,069
23,802
350,852
398,156
864,094
93,025
1,348
462,594
1,023,070
128,258
186,354
184,786
1,542,572
281,977
905,662
99,731
186,050
15,018
819,984
668,066
41,687
130,495
45,493
178,036
1,173,303
307,619
71,075
945,017
29,517
1,028,483
123
<Page>
<Table>
<Caption>
<S>
*QA P.L.C.
*Quantica P.L.C.
*Queens Moat Houses P.L.C.
Quintain Estates & Development
P.L.C.
*QXL Ricardo P.L.C.
RAC P.L.C.
Radamec Group P.L.C.
Radstone Technology P.L.C.
Ransom (William) & Son P.L.C.
*Redbus Imterhouse P.L.C.
Redrow P.L.C.
*Redstone P.L.C.
Reed Health Group P.L.C.
Reg Vardy P.L.C.
Regent Inns P.L.C.
*Regus Group P.L.C.
Reliance Security Group P.L.C.
Renishaw P.L.C.
Renold P.L.C.
*Retail Decisions P.L.C.
Ricardo P.L.C.
Richmond Foods P.L.C.
*Richmond Oil & Gas P.L.C.
RM P.L.C.
*RMS Communications P.L.C.
*Robert Walters P.L.C.
Robert Wiseman Dairies P.L.C.
ROK property solutions P.L.C.
Rotork P.L.C.
Roxboro Group P.L.C.
*Royal Doulton P.L.C.
Royalblue Group P.L.C.
RPC Group P.L.C.
RPS Group P.L.C.
Rugby Estates P.L.C.
Rutland Trust P.L.C.
S & U P.L.C.
*Safeland P.L.C.
Salvesen (Christian) P.L.C.
Sanctuary Group P.L.C.
Savills P.L.C.
*Scapa Group P.L.C.
*Scipher P.L.C.
Scottish & Newcastle P.L.C.
Scottish Radio Holdings P.L.C.
SCS Upholstery P.L.C.
*SDL P.L.C.
Secure Trust Group P.L.C.
Securicor P.L.C.
Senior P.L.C.
Serco Group P.L.C.
*Servicepower Technologies P.L.C.
Severfield-Rowan P.L.C.
*SFI Group P.L.C.
Shaftesbury P.L.C.
Shanks & McEwan Group P.L.C.
Shiloh P.L.C.
SHL Group P.L.C.
*ShopRite Group P.L.C.
*Shore Capital Group P.L.C.
SIG P.L.C.
*Simon Group P.L.C.
Sinclair (William) Holdings P.L.C.
Singer & Friedlander Group P.L.C.
Sirdar P.L.C.
*Skyepharma P.L.C.
Smart (J.) & Co. (Contractors)
P.L.C.
*Smart Approach Group P.L.C.
SMG P.L.C.
22,500
251,985
477,407
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
$
193,818
4,570
1,019,327
Smith (David S.) Holdings P.L.C.
Smith (James) Estates P.L.C.
Smith (W.H.) P.L.C.
*Soco International P.L.C.
Somerfield P.L.C.
*Sondex P.L.C.
South Staffordshire Group P.L.C.
Southampton Leisure Holdings
P.L.C.
Spectris P.L.C.
Speedy Hire P.L.C.
Spirax-Sarco Engineering P.L.C.
*Spirent P.L.C.
*Sportech P.L.C.
Spring Group P.L.C.
*Springwood P.L.C.
SSL International P.L.C.
St. Ives P.L.C.
St. Modwen Properties P.L.C.
Staffware P.L.C.
Stanelco P.L.C.
Stanley (Charles) Group P.L.C.
Stanley Leisure Organisation P.L.C.
*Sterling Publishing Group P.L.C.
Stylo P.L.C.
*Superscape P.L.C.
*Surfcontrol P.L.C.
Swallowfield P.L.C.
Sygen International P.L.C.
Synstar P.L.C.
T&F Informa Group P.L.C.
*T. Clarke P.L.C.
*Tadpole Technology P.L.C.
*Tandem Group P.L.C.
Tarsus Group P.L.C.
Taylor Nelson AGB P.L.C.
TBI P.L.C.
Ted Baker P.L.C.
*Telecity P.L.C.
Telecom Plus P.L.C.
*Telecommunications Group P.L.C.
Telemetrix P.L.C.
*Telspec P.L.C.
*Terence Chapman Group P.L.C.
Tex Holdings P.L.C.
The Big Food Group P.L.C.
*The Innovation Group P.L.C.
The Malcolm Group P.L.C.
*The Peacock Group P.L.C.
*The Television Corp. P.L.C.
*The Wireless Group P.L.C.
*Theratase P.L.C.
Thorntons P.L.C.
</Table>
499,595
17,524
125,843
95,932
601,400
89,293
21,600
1,470,623
118,380
723,640
529,166
1,699,809
309,648
283,994
19,615
166,081
56,892
106,811
1,320,275
435,000
299,583
37,500
244,270
133,269
170,893
16,613
1,012,741
86,800
226,209
75,298
64,096
162,101
42,400
15,000
492,975
216,206
355,029
16,213
314,463
327,365
52,677
109,000
957,475
65,455
277,126
80,656
45,958
165,708
25,000
62,500
14,000
522,159
940,000
109,377
148,732
81,937
136,530
46,347
158,000
19,097
1,509,998
439,807
1,096,140
1,661,130
98,670
633,829
2,380
1,240,702
900,229
898,787
245,064
82,876
332,926
1,717,828
15,159
57,607
101,208
472,822
21,116
338,985
290,109
2,611,638
150,144
89,743
0
88,016
415,267
1,160,288
495,868
56,645
404,014
621
496,183
5,702
360
42,617
977,864
560,894
174,422
701,594
127,277
227,635
34,657
474,887
SHARES
--------------<C>
24,000
1,697,000
86,123
19,844
85,507
348,450
78,906
134,282
150,000
142,137
33,552
180,062
108,182
9,957
135,388
50,000
214,820
295,493
500,218
194,549
41,980
VALUE+
--------------<C>
$
102,522
805,346
1,060,885
9,370
28,168
1,142,023
476,543
151,496
79,763
658,194
48,501
295,169
411,806
36,114
191,437
21,537
668,424
359,570
1,117,710
550,799
59,386
124
<Page>
<Table>
<Caption>
<S>
Thorpe (F.W.) P.L.C.
*Thus Group P.L.C.
Tibbett & Britten Group P.L.C.
Tinsley (Eliza) Group P.L.C.
*Toad Group P.L.C.
Topps Tiles P.L.C.
Tops Estates P.L.C.
*Torotrak P.L.C.
*Tottenham Hotspur P.L.C.
Town Centre Securities (New) P.L.C.
Trace Computers P.L.C.
*Trafficmaster P.L.C.
Transport Development Group P.L.C.
Treatt P.L.C.
Trifast P.L.C.
Trio Holdings P.L.C.
TT Electronics P.L.C.
*TTP Communications P.L.C.
Tullow Oil P.L.C.
U.K. Coal P.L.C.
UCM Group P.L.C.
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Ulster Television, Ltd.
Ultra Electronics Holdings P.L.C.
Ultraframe P.L.C.
Umeco P.L.C.
Uniq P.L.C.
Unite Group P.L.C.
Universal Salvage P.L.C.
*Vanco P.L.C.
*Vega Group P.L.C.
*Venture Production P.L.C.
*Vernalis P.L.C.
*Vert (Jacques) P.L.C.
Victoria P.L.C.
Victrex P.L.C.
Vislink P.L.C.
Vitec Group P.L.C.
*Volex Group P.L.C.
VP P.L.C.
VT Group P.L.C.
Wagon P.L.C.
*Walker Greenbank P.L.C.
Warner Estate Holdings P.L.C.
*Waterdorm P.L.C.
Waterman P.L.C.
Watermark Group P.L.C.
Weir Group P.L.C.
Wellington Holdings P.L.C.
Wembley P.L.C.
Westbury P.L.C.
*Weston Medical Group P.L.C.
Wetherspoon (J.D.) P.L.C.
Whatman P.L.C.
White Young Green P.L.C.
Whitehead Mann Group P.L.C.
Whittard of Chelsea P.L.C.
*Wiggins Group P.L.C.
Wilmington Group P.L.C.
Wilshaw P.L.C.
Wilson Bowden P.L.C.
Wincanton P.L.C.
Windsor P.L.C.
Wintrust P.L.C.
Wolverhampton & Dudley Breweries
P.L.C.
Wood Group (John) P.L.C.
Woolworths Group P.L.C.
*Workplace Systems International
P.L.C.
*Worthington Group P.L.C.
WSP Group P.L.C.
Wyevale Garden Centres P.L.C.
Wyndeham Press Group P.L.C.
*XAAR P.L.C.
XANSA P.L.C.
*Xenova Group P.L.C.
*XKO Group P.L.C.
Yates Group P.L.C.
*Yorkshire Group P.L.C.
Young & Co's Brewery P.L.C.
Young & Co's Brewery P.L.C. Class A
Yule Catto & Co. P.L.C.
Zotefoams P.L.C.
115,602
86,645
150,958
43,150
152,986
144,289
14,255
102,919
32,300
141,335
225,579
45,000
12,000
136,254
103,960
56,752
58,801
83,100
229,432
65,292
53,105
81,254
105,000
74,473
68,660
264,251
22,566
36,926
202,522
50,200
264,451
241,935
74,666
95,000
30,000
1,148,266
98,523
198,409
7,000
147,600
50,000
22,500
$
886,797
980,947
347,094
282,279
450,847
519,553
16,475
463,010
96,295
516,674
227,752
13,962
74,342
886,035
50,579
358,556
159,461
204,255
1,104,377
230,974
12,761
741,884
0
101,344
171,791
1,389,674
52,177
568,115
1,591,077
2,276
1,379,069
893,787
273,421
431,132
114,721
136,916
189,897
44,077
133,506
638,129
37,364
212,432
94,028
739,316
1,865,047
1,484,447
1,747,102
1,560,814
129,945
102,653
90,000
74,407
73,066
66,357
481,962
436,931
30,304
76,263
82,504
10,000
5,234
229,986
62,000
30,688
5,352
353,161
475,311
173,716
112,732
717,664
87,529
47,141
194,756
8,603
159,438
106,544
1,156,361
79,044
---------------
TOTAL COMMON STOCKS
(Cost $227,946,287)
301,837,260
---------------
INVESTMENT IN CURRENCY -- (3.8%)
*British Pound Sterling
(Cost $12,502,814)
12,525,263
---------------
RIGHTS/WARRANTS -- (0.0%)
*Creston P.L.C. Warrants 09/30/04
*Letter of Entitlements Audemars Piguet
*Planestation Group P.L.C.
Warrants 01/13/11
*Xenova Group P.L.C. Contingent
Rights 08/14/11
*Xenova Group P.L.C.
Warrants 12/31/08
TOTAL RIGHTS/WARRANTS
(Cost $4,781)
1,000
0
90,242
0
229,653
5,831
94,500
0
56,991
4,263
--------------10,094
---------------
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
TOTAL -- UNITED KINGDOM
(Cost $240,453,882)
314,372,617
---------------
<Caption>
<S>
TEMPORARY CASH
INVESTMENTS -- (4.2%)
Repurchase Agreement, PNC Capital Markets, Inc. 1.28%, 07/01/04
(Collateralized by $13,927,000 FHLMC Notes 1.85%, 11/17/05, valued at
$13,961,818) to be repurchased at $13,755,489
(Cost $13,755,000)
FACE
AMOUNT
--------------(000)
<C>
$
13,755
TOTAL INVESTMENTS -- (100.0%)
(Cost $254,208,882)++
<C>
13,755,000
--------------$
328,127,617
===============
</Table>
---------+
See Note B to Financial Statements.
*
Non-Income Producing Securities.
++
The cost for federal income tax purposes is $254,220,015.
See accompanying Notes to Financial Statements.
125
<Page>
THE CONTINENTAL SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
<S>
FRANCE -- (12.9%)
COMMON STOCKS -- (12.9%)
Affine
Ales Groupe SA
Algeco SA
*#Alstom SA
Altedia SA
*Alten SA
*Altran Technologies SA
Apem SA
April Group SA
Ares (Groupe) SA
Arkopharma
*Assystem Brime SA
Aubay SA
Audika SA
*Baccarat SA
Bacou-Dalloz
Bains de Mer et du Cercle des
Etrangers a Monaco
Banque Tarneaud SA
#Beneteau SA
*Bigben Interactive
Boiron SA
Boizel Chanoine Champagne SA
#Bonduelle SA
Bongrain SA
Bricorama SA
Brioche Pasquier SA
Buffalo Grill SA
*#Bull SA
Burelle SA
*Business Objects SA
*BVRP SA
Camaieu SA
*Cap Gemini SA
*Carbone Lorraine
Cegedim SA
CEGID SA
CFCAL-Banque
SHARES
--------------<C>
1,400
2,216
3,326
177,212
2,800
21,372
82,633
1,000
31,201
5,500
6,240
7,580
5,774
1,900
1,090
6,287
4,615
1,000
13,527
2,100
16,659
600
6,723
13,083
3,379
2,888
1,028
379,800
4,030
16,500
2,900
4,988
3,066
33,245
6,902
18,000
840
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
VALUE+
--------------<C>
$
110,663
104,829
384,965
199,370
56,321
392,778
1,034,701
62,104
618,279
33,313
379,601
147,277
25,492
122,579
114,504
467,317
1,502,961
174,237
870,758
9,997
447,015
32,924
639,246
909,180
196,363
192,059
15,055
167,063
449,146
373,774
39,540
445,988
124,057
1,379,714
532,521
592,380
293,616
CFF Recycling
Cie Financiere Pour La Location
D'Immeubles Industriels &
Commerciaux Sa
Clarins SA
*#Club Mediterranee SA
Consortium International de
Diffusion et de Representation
Sante
Crometal SA
*CS Communication et Systemes
*Damartex SA
*Dane-Elec Memory SA
Delachaux SA
Deveaux SA
Didot-Bottin
*DMC (Dollfus Mieg et Cie)
Dynaction SA
Eiffage SA
Electricite de Strasbourg
Elior
Esso SA
Etam Developpement SA
Euler-Hermes SA
*Eurafrance
*Euraltech SA
*#Euro Disney SCA
Evialis SA
Exel Industries SA
*Explosifs et de Produits Chimiques
#Faurecia SA
Fimalac SA
Fininfo SA
Fleury Michon SA
Fonciere Lyonnaise SA
France-Africaine de Recherches
Petrolieres (Francarep)
Francois Freres (Tonnellerie) SA
*Gantois Series A
Gascogne SA
#Gaumont
*GCI (Groupe Chatellier
Industrie SA)
*#Generale de Geophysique SA
Generale de Sante
Generale Location SA
*Geodis SA
Gespac System
Gevelot
GFI Informatique SA
#Gifi
*Ginger (Groupe Ingenierie Europe)
Grands Moulins de Strasbourg
Groupe Bourbon SA
Groupe Crit
*Groupe Flo SA
*Groupe Focal SA
Groupe Go Sport SA
Groupe Guillin SA
Groupe Open SA
Groupe Steria
Guerbet SA
*Guitel
Guyenne et Gascogne SA
Havas SA
*Hotels et Casinos de Deauville
#Hyparlo SA
IDSUD
*IMS International Metal Service SA
Industrielle et Financiere
d'Entreprise SA
*#Infogrames Entertainment SA
#Ingenico SA
*Ioltech SA
</Table>
84,608
1,363,931
6,400
7,332
15,665
319,527
478,321
741,573
600
1,100
4,983
22,900
11,400
1,300
1,040
1,620
9,630
10,660
7,650
23,784
104,108
3,200
7,300
12,758
43,296
11,700
797,643
1,200
1,800
524
6,500
111,143
9,760
3,100
9,596
8,240
64,364
136,672
665,983
39,790
163,471
103,999
195,225
64,861
216,281
631,429
3,074,877
985,476
437,502
329,335
691,280
2,821,656
22,761
390,151
43,896
115,989
145,295
448,491
4,455,143
268,656
153,377
444,267
$
4,250
3,150
647
6,472
14,607
559,164
79,733
34,611
558,031
960,691
7,258
20,770
32,259
9,000
4,379
1,100
3,584
26,700
4,678
2,600
110
6,347
6,900
11,900
1,400
2,207
1,200
6,000
14,365
1,700
116
26,000
62,300
2,055
5,514
614
12,630
883
1,273,993
463,808
220,679
339,026
18,603
228,699
186,967
288,554
51,292
56,343
696,713
162,445
66,395
12,341
155,867
97,817
73,478
501,620
122,295
550
3,001,994
325,893
1,062,747
282,198
18,306
99,619
300
83,638
61,820
500
50,752
232,041
1,140,103
47,709
SHARES
--------------<C>
VALUE+
--------------<C>
126
<Page>
<Table>
<Caption>
<S>
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Ipsos SA
Kaufman et Broad SA
Lafuma SA
Laurent-Perrier
Lectra Systemes SA
Lisi SA
Manitou SA
Manutan International SA
Marionnaud Parfumeries
Retails Perfumes
*Matussiere et Forest SA
*Metaleurop SA
MGI Coutier SA
*Montupet SA
Mr. Bricolage SA
*MRM
Neopost SA
Nexans
Norbert Dentressangle
Nord Est SA
*#Oberthur Card Systems SA
*Oeneo
*Otor SA
Parcours SA
Passat SA
*Penauille Polyservices SA
Petit Forestier SA
#Pierre & Vacances
Pinguely-Haulotte SA
Plastic Omnium SA
Plastivaloire SA
Prosodie SA
PSB Industries SA
*Radiall SA
Robertet SA
Rodriguez Group SA
Rougier SA
*S.T. Dupont SA
Sabeton
Samse SA
Sasa Industries SA
*Saveurs de France-Brossard
*#Scor SA
SDR de Bretagne SA
SEB SA Prime Fidelite 2002
Sechilienne-Sidec
Securidev SA
Selectibail
Signaux Girod SA
SILIC (Societe Immobiliere de
Location pour L'industrie et
le Commerce)
Skis Rossignol SA
Smoby SA
Societe du Louvre SA
*Societe Francais des Papiers Peints
Societe Industrielle D'Aviations
Latecoere SA
Societe Pour L'Informatique
Industrielle SA
Solving International SA
Somfy Interational SA
Sopra SA
#SR Teleperformance
Stallergenes SA
Ste Virbac SA
Stef-Tfe SA
Sucriere de Pithiviers-le-Vieil
*Sylis SA
Synergie SA
Taittinger SA
*Teisseire France SA
*Tessi SA
Touax (Touage Investissement SA)
Toupargel-Agrigel SA
Trigano SA
*#Ubi Soft Entertainment SA
Unilog SA
#Vallourec (Usines a Tubes de
Lorraine Escaut et Vallourec
Reunies)
*Valtech, La Defense
Viel et Compagnie
#Vilmorin et Cie SA
5,776
7,722
810
3,100
23,092
7,827
11,092
4,700
651,004
307,146
59,210
107,945
181,075
397,979
1,231,232
220,129
11,209
13,600
35,449
1,400
32,450
6,600
1,424
7,200
15,136
8,372
21,507
53,640
31,265
13,700
5,300
2,400
10,200
3,043
6,635
25,000
15,423
1,700
4,500
1,240
1,340
1,076
9,687
2,040
3,800
13,500
4,400
1,000
900
524,279
1,314
3,300
2,200
1,500
29,286
600
381,940
47,985
23,290
52,825
721,853
217,321
16,005
426,957
564,719
439,961
1,046,867
429,120
131,547
59,224
32,058
46,469
136,341
114,901
591,296
187,341
768,907
46,927
125,030
158,563
106,887
132,594
507,861
151,638
19,432
190,124
506,684
25,572
22,998
819,243
39,995
394,681
388,912
21,517
966,831
31,405
15,009
41,668
500
14,513
400
1,038,766
683,889
50,677
1,383,560
4,597
3,700
124,284
1,800
2,100
22,900
7,618
90,928
1,949
7,637
2,032
1,825
4,700
8,000
12,700
700
1,700
10,378
6,200
7,953
10,800
9,747
68,337
19,789
4,271,243
357,610
2,161,212
107,265
262,997
199,911
1,215,964
34,877
220,652
2,706,244
66,456
68,154
214,846
170,146
426,452
262,081
522,923
31,700
48,000
44,339
2,349
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
$
$
3,115,948
52,320
222,596
399,850
VM Materiaux SA
Vranken Monopole
ZODIAC SA
300
2,800
14,964
TOTAL COMMON STOCKS
(Cost $48,590,319)
38,787
108,275
510,694
--------------82,476,409
---------------
RIGHTS/WARRANTS -- (0.0%)
*Ales Groupe SA Warrants
03/23/09
*Ginger (Groupe Ingenierie Europe)
Warrants 09/30/05
*Groupe Open Warrants 10/21/06
*Oeneo Warrants 08/26/06
*Prosodie SA Warrants 10/28/06
*Ubi Soft Entertainment SA Warrants
05/14/06
*Valtech, La Defense Warrants
07/29/05
316
2,115
2,600
1,000
14,365
900
0
718
6,309
675
4,100
1,700
20,000
973
---------------
TOTAL RIGHTS/WARRANTS
(Cost $1,815)
12,489
---------------
TOTAL -- FRANCE
(Cost $48,592,134)
82,488,898
---------------
GERMANY -- (11.6%)
COMMON STOCKS -- (11.6%)
A.S. Creation Tapeton AG
#Aareal Bank AG
*Acg AG Fuer Chipkarten und
Informationssysteme
Ackermann-Goeggingen AG
AC-Service AG
*Adva AG Optical Networking
*Agrob AG
*Aigner (Etienne) AG
*#Aixtron AG
Amadeus Fire AG
Andreae-Noris Zahn AG, Anzag
*Articon Integralis AG
Atoss Software AG
*Augusta Technologie AG
</Table>
2,900
46,391
66,037
1,645,156
15,400
8,100
4,300
39,883
5,800
600
74,124
4,900
27,200
7,900
3,700
11,750
33,185
171,930
31,270
267,835
58,753
102,794
551,656
30,898
963,180
34,580
46,565
18,777
SHARES
--------------<C>
VALUE+
--------------<C>
127
<Page>
<Table>
<Caption>
<S>
#Ava Allgemeine Handelsgesellschaft
der Verbraucher AG
#AWD Holding AG
*Baader Wertpapier
Handelsbank AG
Balda AG
*Basler AG
#Beate Uhse AG
Bechtle AG
*Berliner Elektro Holding AG
Bertrandt AG
Beru AG
Beta Systems Software AG
Bien-Haus AG
#Bilfinger & Berger Bau AG
*Biolitec AG
*Biotest AG
*BKN International AG
*BMP AG
Boewe Systec AG
*Borussia Dortmund GMBH &
Co. KGAA
*Bremer Energiekonto AG
*CBB Holding AG
*Ce Consumer Electrnic AG
*Ceag AG
*Cenit AG Systemhaus
*Centrotec
Hochleistungskunststoffe AG
Cewe Color Holding AG
Comdirect Bank AG
35,814
52,932
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
$
1,441,098
1,811,349
19,026
40,277
3,200
56,241
25,498
17,611
9,850
14,051
2,850
2,400
44,787
8,000
2,400
17,600
10,600
7,866
118,373
345,518
56,247
754,216
428,412
163,392
160,602
1,082,418
54,042
33,536
1,551,976
35,187
37,138
84,025
34,820
393,716
21,650
14,700
102,602
21,600
20,670
3,500
75,760
28,876
6,117
45,636
208,281
51,842
7,500
7,073
120,666
136,186
152,329
1,052,687
*Computec Media AG
Computerlinks AG
*Condomi AG
*CTS Eventim AG
Curanum AG
*D. Logistics AG
*#DAB Bank AG
*Data Modul AG
*DEAG Deutsche Entertainment AG
#Deutsche Euroshop AG
*Deutsche Steinzeug Cremer &
Breuer AG
*Deutz AG
*Dierig Holding AG
Dis Deutscher Industrie Service AG
*Dom-Braugerei AG
Douglas Holding AG
*Dr. Scheller Cosmetics AG
*Drillisch AG
*#Duerr Beteiligungs AG
DVB Bank AG
*Eckert and Ziegler Strahlen - und
Medizintechnik AG
*Elexis AG
Elmos Semiconductor AG
ElreingKlinger AG
*#Em.TV AG
*Emprise Management
Consulting AG
*Epcos AG
Erlus Baustoffwerke AG
*Escada AG
*Eurobike AG
*Evotec Biosystems AG
Feilmann AG
#FJA AG
Fortec Elektronik AG
*Freenet.De AG
Fuchs Petrolub AG Oel & Chemie
GFK AG
*Gft Technologies AG
*GPC Biotech AG
Grenkeleasing AG
Gwag Bayerische WohnungsAktiengesellschaft AG
Hamborner AG
Hawesko Holdings AG
*Herlitz AG
Hochtief AG
*Hoeft & Wessel AG
Hucke AG
#Hugo Boss AG
Hutschenreuther AG
*I-D Media AG
*IFA Hotel & Touristik AG
*IM International Media AG
*#Innovation in Traffic Systems AG
Interseroh AG
*#Intershop Deutschland AG
*Intertainment AG
*Isra Vision Systems AG
#IVG Immobilien AG
#Iwka AG
*#Jenoptik AG
K & S Aktiengesellschaft AG
Kampa-Haus AG
Keramag Keramische Werke AG
*Kloeckner-Werke AG
*Kontron AG
Krones AG
KSB AG
KWS Kleinwanzlebener
Saatzucht AG
*Leica Camera AG
#Leifheit AG
#Leoni AG
*Loewe AG
LPKF Laser & Electronics AG
Masterflex AG
*Maternus-Kliniken AG, Bad
Oyenhausen
*Maxdata AG
*Mediclin AG
*Medigene AG
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
4,650
5,700
1,800
14,800
21,500
37,750
70,271
3,194
10,500
18,927
30,887
84,809
3,917
251,239
49,212
76,121
506,853
61,042
33,070
831,633
87,200
96,790
10,500
18,524
1,100
43,825
4,000
28,287
17,593
7,124
88,611
417,085
158,607
555,217
43,276
1,268,293
16,102
97,505
419,202
879,082
3,000
8,600
23,218
1,500
18,773
32,271
61,602
368,950
182,270
54,588
8,950
55,500
297
20,520
1,700
42,707
29,181
9,889
1,400
16,800
6,693
37,903
22,600
23,900
15,958
18,110
1,169,311
128,787
363,972
345
206,100
1,881,277
117,822
40,006
1,454,459
480,928
1,312,199
51,085
346,502
639,948
$
3,383
21,000
4,300
6,962
34,000
6,100
8,300
25,100
2,800
9,700
7,000
19,800
12,300
11,845
7,955
8,500
3,650
143,237
26,613
67,265
129,500
10,375
13,000
53,211
53,965
10,180
2,387
152,652
591,185
120,213
26,495
809,815
24,216
36,536
544,742
32,613
20,700
60,819
18,188
48,907
175,441
15,075
43,895
57,250
1,722,945
631,810
731,872
4,417,723
79,613
761,907
649,513
453,406
1,052,396
506,884
1,650
4,400
12,500
25,000
7,100
9,000
4,400
1,211,891
27,982
393,736
1,295,869
52,109
45,178
160,102
2,400
32,897
30,850
8,600
2,466
151,624
52,565
77,608
*Mensch und Maschine
Software AG
*Morphosys AG
*Mosaic Software AG
Muehlabauer Holdings AG &
Co. KGAA
*MVS Miete Vertrieb Service AG
MVV Energie AG
*MWG Biotech AG
</Table>
10,700
4,800
5,200
52,097
137,562
14,917
7,423
13,050
58,291
30,700
247,021
27,465
953,148
47,684
SHARES
--------------<C>
7,400
5,800
37,449
5,960
18,550
5,400
12,650
5,700
11,900
VALUE+
--------------<C>
$
62,502
32,143
515,543
37,706
63,580
31,047
108,110
20,105
48,878
5,100
5,900
8,250
51,351
37,500
19,350
9,300
15,200
53,834
53,831
336,005
480,199
718,634
51,518
26,112
27,130
10,300
5,000
5,700
15,550
124,164
15,083
3,650
19,400
5,000
45,000
24,107
5,900
4,860
7,800
85,948
11,252
7,440
30,101
43,355
189,521
1,454,878
36,300
588,576
983,770
23,066
694,245
110,715
1,866,623
1,341,014
16,708
36,226
35,491
1,033,668
195,443
190,633
930,978
15,120
9,800
57,758
36,100
4,160
19,433
3,350
34,296
25,093
6,300
35,473
16,000
4,840
3,200
18,000
29,146
17,785
3,300
18,000
87,707
29,076
6,450
20,500
26,657
12,170
137,356
3,148
541,354
726,144
66,041
321,293
32,438
964,346
1,053,931
58,077
143,978
65,596
331,175
55,611
610,376
1,030,516
166,437
26,300
96,800
719,665
748,928
98,711
284,049
315,230
80,139
128
<Page>
<Table>
<Caption>
<S>
*Nemetschek AG
*Neschen AG
*Norddeutsche Affinerie AG
Norddeutsche Steingutfabrik AG
Novasoft AG
*November AG
*Ohb Teledata
*Pandatel AG
*Parsytec AG
PC-Ware Information
Technologies AG
*Personal & Informatik AG
Pfeiffer Vacuum Technology AG
*Pfleiderer AG
*Phoenix AG, Hamburg
*Plambeck Neue Energien AG
*Plenum AG
*Primacom AG
*Produkte und Syteme der
Informationstechnologie AG
Progress-Werk Oberkirch AG
Puma AG
*PVATepla AG
*#Qs Communications AG
Rational AG
*Realtech AG
Renk AG
Repower Systems AG
Rheinmetall Berlin AG
Rhoen Klinikum AG
*Rinol AG
*Rohwedder AG
*Ruecker AG
#Salzgitter AG
Sartorius AG
Schlott Sebaldus AG
Schwarz Pharma AG
Sektkellerei Schloss
Wachenheim AG
*Senator Entertainment AG
*SGL Carbon AG
*#Singulus Technologies AG
Sinner AG, Karlsruhe
#Sixt AG
*Sm Wirtschaftsberatungs AG
*Software AG
#Stada Arzneimittel AG
Stahl (R.) AG
*Steag Hamtech AG
*Stoehr & Co. AG
*Strabag AG
Stratec Biomedical Systems AG
Stuttgarter Hofbraeu AG
Sued-Chemie AG
*#Suess Microtec AG
Syskoplan AG
*Syzygy AG
Takkt AG
*Techem AG
Technotrans AG
*Telegate AG
*Teles AG Informationstechnologien
Textilgruppe Hof AG
*TFG Venture Capital AG &
Co. KGAA
8,800
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
$
25,860
*#Tomorrow Focus AG
*TTL Information Technology AG
*TV Loonland AG
*Umweltkontor Renewable
Energy AG
United Internet AG
*USU Software AG
*Utimaco Safeware AG
*Value Management &
Research AG
*VBH (Vereinigter BaubeschlagHandel) AG
*Vereinigte Deutsche NickelWerke AG
VK Muehlen AG
Vossloh AG
Wanderer-Werke AG
*WCM Beteiligungs AG
*Westag and Getalit AG, RhedaWiedenbrueck
Wuerttembergische
Lebensversicherung AG
Wuerttembergische
Metallwarenfabrik AG
Wuerzburger Hofbraeu AG
Zapf Creation AG
42,650
6,400
7,000
143,941
29,576
17,205
14,100
79,458
16,850
12,200
14,158
2,235,965
70,358
53,567
7,650
21,536
9,415
32,415
12,150
1,312
21,469
7,903
346,726
13,389
121,173
1,033,145
235,152
483,322
7,000
67,313
11,330
223,833
30,330
133
7,500
518,090
63,707
176,555
---------------
TOTAL COMMON STOCKS
(Cost $58,656,709)
74,582,507
---------------
RIGHTS/WARRANTS -- (0.0%)
*#Em.TV AG Options 04/18/06
*#Em.TV AG Options 04/18/08
Leoni AG Rights 07/09/04
*Mensch und Maschine Software AG
Rights 07/08/04
*VBH Holdings AG Rights
18,773
18,773
25,000
6,167
7,994
72,999
5,350
9,415
0
0
---------------
TOTAL RIGHTS/WARRANTS
(Cost $61,194)
87,160
---------------
TOTAL -- GERMANY
(Cost $58,717,903)
74,669,667
---------------
SWITZERLAND -- (8.9%)
COMMON STOCKS -- (8.8%)
*A. Hiestad Holding AG
*Accu Holding AG Registered Shares
*Actelion, Ltd.
AFG Arbonia-Forster Holding AG
*Agie Charmilles Holding AG
Allreal Holding AG
Also Holding AG
*Amazys Holding AG
*Ascom Holding AG
Bachem AG
Bank Coop AG
#Bank Sarasin & Cie Series B, Basel
*Banque Cantonale de Geneve
Banque Cantonale du Jura
Banque Cantonale Vaudoise
</Table>
190
60
4,400
2,610
3,000
4,357
268
1,183
22,120
3,659
29,405
304
1,344
450
600
108,454
6,707
506,480
402,735
233,150
358,333
73,430
43,472
265,900
209,310
1,220,904
466,760
197,684
86,854
55,145
SHARES
--------------<C>
VALUE+
--------------<C>
129
<Page>
<Table>
<Caption>
<S>
Banque Privee Edmond de
Rothschild SA, Geneve
Barry Callebaut AG
Basellandschaftliche Kantonalbank
Basler Kantonalbank
Batigroup Holding AG
Belimo Holdings
*Berna Biotech
Berner Kantonalbank
BHB Beteiligungs und
Finanzgesellschaft
Bobst Group SA
Bossard Holding AG
120
3,526
600
5,250
2,902
330
18,727
4,815
150
18,200
6,350
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
$
1,342,602
829,336
386,634
385,823
30,166
159,706
154,134
573,865
5,259
588,082
381,424
Bucher Industries AG,
Niederweningen
BVZ (Brig Visp Zermatt)
Holding AG
#Caisse d'Epargne Cantonale
Vaudoise, Lausanne
Calida Holding AG
*Carlo Gavazzi Holding AG
Charles Voegele Holding AG
Cie Financiere Tradition
*Clair Finanz Holding AG
#Conzzeta Holdings AG
*Crossair AG, Basel
Daetwyler Holding AG, Atldorf
#Edipresse SA, Lausanne
EGL (Elektrizitaets-Gesellschaft
Laufenberg) AG, Laufenberg
Eichhof Holding AG
Energie Electrique du Simplon SA
Energiedienst Holding AG
Escor Casino & Entertainment AG
*Feintol International Holding AG
*Fischer (Georg) AG, Schaffhausen
*Flughafen Zuerich AG
*Forbo Holding AG, Eglisau
Fuchs Petrolub AG Oel & Chemie
Non-Voting
#Galenica Holding, Ltd. AG, Bern
Geberit AG
*Generale d'Affichage, Geneve
Generali (Switzerland) Holdings,
Adliswil
*Golay-Buchel Holding SA,
Lausanne
Gornergrat Monte Rasa-Bahnen
Zermatt
#Gurit-Heberlein AG
Helvetia Patria Holding
*HPI Holding SA
Industrieholding Cham AG, Cham
*Interroll-Holding SA
#Jelmoli Holding AG
#Jelmoli Holding AG, Zuerich (Namen)
Kaba Holding AG
Kardex AG, Zuerich
*Komax Holding AG
*Kudelski SA
Kuoni Reisen Holding AG
*Leica Geosystems Holdings AG
*Lem Holdings AG, Lyss
#Luzerner Kantonalbank AG
*Maag Holding AG, Zuerich
*Micronas Semi
*Mikron Holding AG, Biel
*Mobilezone Holding AG
*Moevenpick-Holding, Zuerich
Nobel Biocare Holding AG
Orell Fussli Graphische Betriebe Ag,
Zuerich
Oz Holding AG
*Parco Industriale e Immobiliare SA
Phoenix Mecano AG, Stein
am Rhein
#Phonak Holding AG
PSP Swiss Property AG
Publicitas Holding SA, Lausanne
#Rieters Holdings AG
Roche Holding AG Genusschein
SAIA-Burgess Electronics AG
Sarna Kunststoff Holding AG
*Saurer AG
*Schaffner Holding AG
*Schweiter Technology AG
Schweizerhall Holding AG, Basel
#Schweizerische National
Versicherungs Gesellschaft
Scintilla AG
SIA Abrasives Holding AG
#Siegfried Holding AG
Sig Holding AG
*Sihl
*#Sika Finanz AG, Baar
#Sopracenerina
#St. Galler Kantonalbank
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
3,355
594,381
370
73,858
697
396
910
3,960
5,202
1,320
1,415
13,517
348
694
584,592
100,622
66,802
164,314
457,087
526,988
1,273,301
106,045
711,803
377,559
6,141
188
350
8,265
744
254
1,822
2,810
1,100
4,087,978
146,461
43,150
2,571,346
16,975
50,739
422,682
242,560
284,988
6,003
4,290
870
337
411,393
645,846
581,516
193,619
1,670
281,993
40
30,342
70
1,125
4,331
6,000
864
320
1,521
2,835
2,040
8,245
1,411
13,000
1,470
1,057
270
5,000
922
12,202
2,652
13,349
1,320
45,460
46,484
1,005,918
766,596
7,684
183,378
37,985
2,060,670
772,568
422,175
217,732
107,243
375,357
632,907
220,224
45,270
798,125
118,472
556,740
31,867
44,719
302,914
7,123,630
$
2,400
4,400
600
270,805
284,306
1,677
2,749
29,137
35,198
1,535
2,626
800
274
1,760
7,843
300
649
140
827,301
907,882
1,278,018
486,099
697,786
79,381
131,329
170,179
401,912
46,303
126,947
211,595
692
170
337
8,560
3,300
150
1,185
2,409
3,636
345,092
142,638
63,291
1,066,820
598,169
359
652,678
384,984
760,757
Sulzer AG, Winterthur
*Swiss Prime Site AG
*Swisslog Holding AG
*Tamedia AG
#Tecan Group AG
*Temenos Group AG
*UMS Schweizerische Metallwerke
Holding AG, Bern
#Unaxis Holding AG
Unilabs SA
*#Valiant Holding AG
Valora Holding AG
Vaudoise Assurances Holding,
Lausanne
Villars Holding SA, Fribourg
*#Von Roll Holding AG, Gerlafingen
Vontobel Holdings AG
Walliser Kantonalbank
*Wmh Walter Meier Holding Ag,
Zuerich
Zehnder Holding AG
Zschokke Holding SA, Geneve
*Zueblin Holding AG
#Zuger Kantonalbank
1,637
2,212
17,025
5,300
5,859
35,359
466,465
466,122
17,586
475,024
250,601
324,546
2,560
2,013
2,700
9,978
2,097
36,236
227,514
56,980
824,378
483,161
45
150
46,048
44,250
150
75,541
35,942
46,027
890,148
38,083
1,000
193
230
13,393
590
49,610
202,239
105,393
100,856
1,342,680
---------------
TOTAL COMMON STOCKS
(Cost $30,890,769)
56,451,391
---------------
</Table>
130
<Page>
<Table>
<Caption>
<S>
PREFERRED STOCKS -- (0.1%)
Fuchs Petrolub AG Oel & Chemie
(Cost $252,505)
SHARES
--------------<C>
VALUE+
--------------<C>
6,003
$
427,433
---------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs
(Cost $4,775)
4,769
---------------
RIGHTS/WARRANTS -- (0.0%)
*Accu Holding AG Rights 05/28/04
(Cost $7,757)
60
TOTAL -- SWITZERLAND
(Cost $31,155,806)
1,916
--------------56,885,509
---------------
ITALY -- (7.7%)
COMMON STOCKS -- (7.7%)
Acea SpA
Acegas SpA
*Actelios SpA
Aem Torino SpA
Aeroporto de Firenze SpA
*#Alitalia Linee Aeree Italiane
SpA Series A
Amplifon SpA
*Auschem SpA (In Liquidation)
Azienda Mediterranea Gas e
Acqua SpA
#Banca Ifis SpA
#Banca Intermobiliare di
Investimenti e Gestoni SpA
Banca Monte Dei Paschi di
Siena SpA
Banca Popolare Dell'etruria e
Del Lazio Scrl
Banca Profilo SpA
Banco di Desio e della Brianza SpA
Banco Piccolo Valellinese
Scarl SpA
*Bastogi SpA
*Beghelli SpA
Beni Stabili SpA, Roma
Biesse SpA
*Binda SpA
Bonifica dei Terreni Ferraresi e per
Imprese Agricole Roma
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
163,000
31,875
25,801
450,627
6,000
1,325,560
244,983
203,521
864,885
68,423
3,706,002
18,242
82,000
1,061,773
651,013
0
360,014
19,351
564,345
219,203
132,998
936,602
229,515
736,294
23,918
114,243
109,105
518,258
253,292
635,922
56,071
1,183,000
142,000
1,309,500
17,100
1,299,375
576,282
189,362
107,748
988,542
47,434
0
9,675
179,448
Bremba SpA
*Brioschi Finanziaria SpA, Milano
Buzzi Unicem SpA
Caltagirone Editore SpA
#Caltagirone SpA
CAMFIN (Cam Finanziaria)
Carraro SpA
Cementir Cementerie del
Tirreno SpA
CIR SpA (Cie Industriale Riunite),
Torino
*Cirio Finanziaria SpA
Class Editore SpA
*#CMI SpA
*Coats Cucirini SpA
*Compagnia Immobiliare Azionaria
Credito Artigiano SpA
#Cremonini SpA
*CSP International Industria
Calze SpA
Danieli & C.Officine
Meccaniche SpA
*Dataconsyst C.G.S. SpA, Monza
Davide Campari - Milano SpA
De Longhi SpA
*Del Favero SpA
*#Ducati Motor Holding SpA
Emak SpA
Erg SpA
Ergo Previdenza SpA
Esprinet SpA
*Finarte Casa d'Aste SpA (Milano)
*Finarte Partecipazioni Pro
Arte SpA
*#Finmatica SpA
*FMC (Fabbrica Milanese
Condutorri SpA)
*Fochi (Filippo) SpA
*Fornara Societa Finanziaria e
di Partecipazioni SpA
Gabetti Holding SpA
Gefran SpA
Gemina SpA
*Gerolimich SpA (In Liquidation)
Gewiss SpA
*Giovanni Crespi SpA
Grandi Navi Veloci SpA
#Granitifiandre SpA
*Grassetto SpA
*Gruppo Ceramiche Ricchetti SpA
I Grandi Viaggi SpA
*#Immobiliare Lombardia SpA
#Immsi SpA
#Impregilo SpA
Industria Macchine
Automatique SpA
*Industria Romagnola Conduttori
Elettrici SpA
Industrie Zignago S
Margherita SpA
Interpump Group SpA
ITALJOLLY (Cia Italiana dei
Jolly Hotels SpA)
Italmobiliare SpA, Milano
*Juventus Footbal Club SpA
La Doria SpA
*Lavorwash SpA
Linificio and Canapificio
Nazionale SpA
Maffei SpA
*Mandelli SpA
Manifattura Lane Gaetano Marzotto &
Figli SpA
*Marcolin SpA
Mariella Burani Fashion Group SpA
Meliorbanca SpA
Merloni Elettrodomestici SpA
Milano Assicurazioni SpA
Mirato SpA
*Monrif SpA
</Table>
74,782
373,400
94,100
132,868
178,399
36,527
34,400
537,354
114,451
1,211,494
1,051,464
1,134,434
84,007
127,747
249,704
876,889
591,100
175,000
83,868
64,502
30,000
44,000
114,446
135,428
1,247,915
37,047
188,609
270,910
35,122
7,238
426,358
262,957
10,000
131
<Page>
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
$
16,326
66,500
220
27,599
139,386
86,000
129,900
27,000
173,330
95,165
3,700
56,266
305,532
0
1,365,983
606,801
0
182,299
133,225
1,144,269
487,443
110,639
63,726
242,693
35,900
35,773
120,496
25,000
216,000
0
0
310,000
55,000
11,000
331,283
297,400
221,700
49,200
53,833
33,237
279,125
164,000
28,100
425,000
287,000
592,300
0
123,966
51,344
351,345
0
1,141,012
37,710
148,094
268,730
0
60,366
26,738
82,924
523,265
336,049
33,671
451,475
17,500
56,906
52,000
75,402
849,992
411,395
34,500
20,975
98,000
22,000
10,000
218,995
1,002,173
188,010
62,003
21,635
22,000
52,500
41,000
69,970
104,291
0
138,000
35,100
26,077
90,667
155,000
266,700
12,000
150,000
1,748,653
48,990
238,342
387,619
2,762,571
1,060,596
89,299
132,694
<Table>
<Caption>
<S>
*Montefibre SpA
Navigazione Montanari SpA
*Necchi SpA
*Negri Bossi SpA
*NGP SpA
Olidata SpA
*Opengate Group SpA
*Pagnossin SpA
*Perlier SpA
Permasteelisa SpA
Pininfarina SpA
Pirelli & C.Real Estate SpA
Poligrafici Editoriale SpA
*Premafin Finanziaria SpA Holding
di Partecipazioni, Roma
Premuda SpA
*Ratti SpA
Recordati Industria Chimica e
Farmaceutica SpA
*#Reno de Medici SpA, Milano
*Richard-Ginori 1735 SpA
Risanamento Napoli SpA
*Rodriquez SpA
*Roncadin SpA
Sabaf SpA
SAES Getters SpA
SAI SpA (Sta Assicuratrice
Industriale), Torino
*Schiapparelli 1824 SpA, Milano
*Sirti SpA
SISA (Societa Imballaggi Speciali
Asti SpA)
SMI STA Metallurgica Italiana SpA
*#SNIA SpA
#Societe Cattolica di Assicurazoni
Scarl SpA
Sogefi SpA
Sol SpA
*SOPAF (Societa Partecipazioni
Finanziarie SpA)
*Sorin SpA
Stefanel SpA
Targetti Sankey SpA
*Tecnodiffusione Italia SpA
Terme Demaniali di Acqui SpA
Tod's Group SpA
*Trevi-Finanziaria Industriale SpA
*Tripcovich (D.) & Co. SpA
Navigazione Rimorchi e
Salvataggi Trieste
*Unione Manifatture SpA
(In Liquidation)
*Unipar (Unione Nazionale di
Participazione SpA)
(In Liquidation)
*Vemer Siber Group SpA
*Viaggi del Ventaglio SpA
Vianini Industria SpA
Vianini Lavori SpA
Vittoria Assicurazioni SpA
Zucchi (Vincenzo) SpA
TOTAL COMMON STOCKS
(Cost $41,532,842)
SHARES
--------------<C>
143,130
110,917
164,250
13,700
17,891
20,000
4,000
9,000
100,700
24,470
31,285
9,600
132,000
VALUE+
--------------<C>
$
38,329
251,515
14,188
38,215
7,618
25,440
9,295
8,563
23,875
422,353
864,274
360,026
266,351
342,051
50,800
31,768
437,986
108,111
19,027
58,644
332,210
128,000
255,850
41,250
81,400
9,200
14,750
1,112,203
276,669
86,376
464,214
0
47,646
176,452
256,130
32,500
166,200
29,967
725,534
30,149
70,228
65,000
565,280
227,590
160,620
113,636
70,027
27,170
182,500
81,830
1,100,819
761,002
360,992
85,000
341,385
54,400
14,500
3,332
532,000
30,476
52,400
17,249
880,533
116,819
60,830
8,108
296,271
1,033,010
67,401
113,898
0
156,000
0
539,000
46,000
23,000
52,520
180,752
51,500
144,350
0
38,286
33,931
162,787
1,176,810
343,015
670,041
$
49,229,496
---------------
RIGHTS/WARRANTS -- (0.0%)
*Tecnodiffusione Italia SpA
Warrants 11/15/04
(Cost $0)
1,332
TOTAL -- ITALY
(Cost $41,532,842)
129
--------------49,229,625
---------------
SWEDEN -- (6.8%)
COMMON STOCKS -- (6.8%)
*Active Biotech AB
Addtech AB Series B
Alfa Laval AB
*Alfaskop AB
38,640
22,300
18,600
3,200
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
236,981
124,583
296,651
340
Angpannefoereningen AB Series B
*#Anoto Group AB
Axfood AB
*#Axis AB
*B & N Bylock & Nordsjoefrakt AB
Series B
Beiger Electronics AB
Beijer AB Series B
Beijer Alma AB Series B
Bergman & Beving AB Series B
Biacore International AB
Bilia AB Series A
Billerud AB
*Boliden AB
*Bong Ljungdahl AB
*Boras Waefveri AB Series B
*Boss Media AB
*#Bostads AB Drott
*Capio AB
Capona AB
Carbo AB
Castellum AB
Cloetta AB Series B
Concordia Maritime AB Series B
*Connecta AB
*Consilium AB Series B
*Consilum AB Series B Issue 04
D. Carnegie & Co. AB
Digital Illusions AB Series A
*Doro Telefoni AB Series A
*Drott Series AB
*Duroc AB Series B
*Elekta AB
*#Enea Data AB Series B
Eniro AB
*Expanda AB
Fagerhult AB
*Fagerlid Industrier AB
*Finnveden AB
#Framfab AB Issue 04
*Frontec AB Series B
Getinge AB
Geveko AB Series B
*Glocalnet AB
Gorthon Lines AB Series B
Gunnebo AB
Haldex AB
</Table>
10,800
134,833
73,400
76,994
196,322
260,980
1,893,871
149,056
41,800
11,700
11,700
10,400
36,200
11,150
116,725
58,700
197,400
9,000
8,600
63,200
21,350
78,700
25,400
37,100
43,600
22,250
37,300
250
4,300
946
74,000
7,800
2,900
89,700
2,700
28,600
440,000
154,000
6,547
14,100
8,600
57,000
966,000
50,800
176,604
8,300
187,500
41,800
50,000
39,000
89,709
105,174
153,095
148,567
272,771
252,166
1,454,923
962,569
719,595
41,975
38,439
171,740
426,549
765,036
226,508
927,691
1,050,138
518,776
91,091
209
17,495
3,849
706,022
77,989
3,551
1,170,435
5,899
634,640
178,230
1,180,377
30,564
169,307
0
507,692
73,886
42,433
2,094,156
182,436
67,024
100,210
566,923
619,451
SHARES
--------------<C>
13,500
3,572
41,889
6,000
38,200
83,200
VALUE+
--------------<C>
$
165,474
120,406
87,325
95,193
939,699
147,509
59,300
63,975
149,420
115,700
23,800
85,707
191,095
181,459
678,978
275,292
44,400
5,800
53,276
17,600
23,800
14,530
16,100
3,800
322,400
20,520
9,725
10,650
42,600
48,700
1,458,705
15,575
111,037
485,242
69,609
73,022
418,061
52,867
1,722,075
2,414
271,757
150,440
313,558
943,880
132
<Page>
<Table>
<Caption>
<S>
Heba Fastighets AB Series B
Hexagon AB Series B
#Hiq International AB
HL Display AB Series B
Hoganas AB Series B
*#IBS AB Series B
*Industrial & Financial Systems AB
Series B
*Industrifoervaltnings AB Skandigen
*Intentia International AB Series B
*Intrum Justitia AB
Karlshamns AB
Kinnevik Industrifoervaltnings AB
Series B
*Klippans Finpappersbruk AB
Klovern AB
Kungsleden AB
Lagercrantz Group AB Series B
*LB Icon AB
Lindex AB
Ljungberg Gruppen AB Series B
*#Lundin Petroleum AB
*Mandator AB
Meda AB Series A
*Medivir Series B
*Micronic Laser Systems AB
*Modern Times Group AB Series B
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Naerkes Elektriska AB Series B
#NCC AB Series B
Nefab AB Series B
*Net Insight AB Series B
New Wave Group AB Series B
#Nibe Industrier AB
Nolato AB Series B
Observer AB
OEM International AB Series B
*OMHEX AB
Orc Software AB
*Ortivus AB
*Partnertech AB
PEAB AB Series B
*Pergo AB
Poolia AB Series B
*Prevas AB Series B
*#Pricer AB Series B
*Proact It Group AB
*Proffice AB
Profilgruppen AB
Protect Data AB
*PyroSequencing AB
Q-Med AB
*Readsoft AB Series B
Rottneros Bruk AB
Salus Ansvar AB Series B
Sardus AB
*Scribona AB Series A
*Scribona AB Series B
*Semcon AB
*Sigma AB Series B
Skistar AB
*Song Networks Holding AB
SSAB Swedish Steel Series A
SSAB Swedish Steel Series B
Sweco AB Series B
*#Switchcore AB
*Teleca AB Series B
*#Telelogic AB
*Ticket Travel Group AB
Trelleborg AB Series B
TV 4 AB Series A
*VBG AB Series B
#Wallenstam Byggnads AB Series B
*Wedins Norden AB Series B
*Westergyllen AB Series B
Whilborg Fastigheter AB Class B
Wilh. Sonesson AB Series A
Wilh. Sonesson AB Series B
WM-Data AB Series B
Xponcard Group AB
4,250
118,100
5,100
199,000
10,400
22,800
42,840
137,856
7,100
78,100
16,500
11,507
9,800
105,200
43,300
18,150
16,000
431,500
15,000
72,800
4,000
6,500
51,940
34,000
17,800
366,600
12,900
11,200
40,100
46,300
18,300
25,800
21,000
43,845
60,300
17,100
23,450
154,820
69,200
196,200
15,152
75,400
22,200
271
16,700
280,000
4,300
69,960
4,160
4,160
437,600
2,800
TOTAL COMMON STOCKS
TOTAL -- SWEDEN
(Cost $31,380,694)
50,184
1,109,153
107,591
50,571
275,812
426,211
309,095
519,075
90,471
942,462
148,711
43,680
68,028
663,596
97,324
69,805
32,611
75,804
46,124
183,065
31,710
47,339
65,892
825,983
26,207
486,261
33,015
170,792
74,526
92,622
69,405
16,631
260,152
310,836
1,021,751
$
279,274
313,228
74,796
374,088
341,675
25,109
1,307,032
368,279
3,809
465,021
65,442
41,764
924,995
12,702
13,466
988,674
48,164
--------------43,554,469
---------------
NETHERLANDS -- (5.5%)
COMMON STOCKS -- (5.5%)
Aalberts Industries NV
Accell Group NV
*AFC Ajax NV
*Air France
Airspray NV
AM NV
Arcadis NV
*ASM International NV
*Atag Group NV
Athlon Groep NV
Batenburg Beheer NV
*Begemann Groep NV
*Begemann Groep NV Series B
Beter Bed Holding NV
Boskalis Westminster NV
Brunel International NV
Buhrmann NV
Copaco NV
*Crucell NV
#Draka Holding NV
*Econosto NV
Eriks Group NV
Exact Holding NV
#Fornix Biosciences NV
*Fox Kids Europe NV
25,910
5,260
10,787
27,280
3,800
75,747
14,000
40,484
4,630
34,250
3,000
11,909
13,451
4,900
51,300
12,000
110,719
7,000
26,050
14,287
17,305
9,483
19,764
2,611
66,840
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
776,812
182,542
110,492
466,322
92,976
710,565
191,825
841,692
1,634
710,066
116,466
45,271
9,325
65,509
1,328,963
105,605
1,103,954
30,280
216,523
271,114
32,165
401,218
513,799
40,080
835,319
Gamma Holding NV
Gemeenschappeljk Bezit Crown
van Gelder NV
*#Getronics NV
Grolsche NV
Grontmij NV
*#Hagemeyer NV
Heijmans NV
ICT Automatisering NV
#Imtech NV
*Ispat International NV
Kas Bank NV
*Kendrion NV
Koninklijke Bam NV
</Table>
15,705
648,783
12,000
331,423
32,100
2,053
339,750
18,173
5,800
28,645
84,322
42,888
21,454
25,037
209,520
915,061
957,390
79,370
724,532
428,283
74,598
785,645
1,259,522
794,213
56,596
730,320
SHARES
--------------<C>
12,349
33,528
11,531
76,204
50,371
464,928
15,590
1,500
14,000
94,650
21,703
27,519
42,524
60,200
10,100
22,363
16,914
42,700
2,050
2,640
VALUE+
--------------<C>
$
501,252
1,148,280
631,635
1,425,728
831,258
617,541
455,782
69,349
384,980
740,163
232,632
909,191
950,386
976,758
541,335
213,629
200,308
1,175,088
137,108
110,645
40,800
24,184
21,900
15,046
20,578
9,400
1,236
26,745
1,000
53,860
18,244
18,374
7,050
57,660
74,880
376,079
70,830
146,197
168,375
120,270
479,718
682,838
147,853
44,123
625,755
3,042
15,768
540,226
300,384
122,951
423,450
1,095,304
736,070
680,217
---------------
133
<Page>
<Table>
<Caption>
<S>
Koninklijke Frans Maas Groep NV
Koninklijke Nedlloyd NV
Koninklijke Ten Cate NV
Koninklijke Vendex KBB NV
Koninklijke Vopak NV
*Laurus NV
MacIntosh NV
*Maverix Capital NV
Nederlandsche Apparatenfabriek
New Skies Satellites NV
NH Hoteles
Nutreco Holding NV
NV Holdingsmij de Telegraaf
Oce NV
Opg Groep NV Series A
*#Petroplus International NV
Pinkroccade NV
Randstad Holdings NV
Reesink NV
Roto Smeets de Boer NV
Rubber Cultuur Maatschappij
Amsterdam NV
*Samas-Groep NV, Zaandam
*Semiconductor Industries NV
Sligro Food Group Beheer
Smit Internationale NV
*SNT Groep NV
Stern Groep NV
Stork NV
*Textielgroep Twenthe NV
*Tulip Computers NV
Twentsche Kabel Holding NV
United Services Group NV
Univar NV
*#Van Der Mollen Holding NV
Vedior NV
*Versatel Telecom International NV
*Wegener Arcade NV
TOTAL COMMON STOCKS
(Cost $21,760,378)
35,449,939
---------------
RIGHTS/WARRANTS -- (0.0%)
*Air France Warrants 11/06/07
(Cost $19,048)
24,800
TOTAL -- NETHERLANDS
(Cost $21,779,426)
30,776
--------------35,480,715
---------------
GREECE -- (5.1%)
COMMON STOCKS -- (5.1%)
*A. Cambas Holding &
Real Estate S.A.
*Aegek S.A.
*Agrotiki Insurance S.A.
Aktor Technical Co. S.A.
Alco Hellas ABEE S.A.
*Alfa Alfa Energy S.A.
Alfa-Beta Vassilopoulos S.A.
*Alisida S.A.
36,750
99,835
34,455
163,650
38,730
3,810
15,172
2,160
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
106,072
102,630
97,804
750,677
61,579
18,646
282,995
6,253
*Allatini Industrial & Commercial Co.
*Alte Technological Co. S.A.
*Altec Information & Communication
Systems S.A.
Alumil Milonas S.A.
*Aluminum of Attica S.A.
Anek Lines S.A.
Arcadia Metal Industry
C. Rokas S.A.
AS Co. S.A.
*Aspis Bank
*Aspis Pronia General
Insurance S.A.
*Astir Palace Vouliagmenis S.A.
Athens Medical Center S.A.
Athens Water Supply &
Sewage Co. S.A.
Atlantic Super Market S.A.
Attica Enterprises S.A. Holdings
Attica Publications S.A.
*Atti-Kat S.A.
Autohellas S.A.
Babis Vovos S.A.
*Balafas Construction Holdings S.A.
Bank of Attica S.A.
Bank of Greece
Bank of Piraeus S.A.
Benrubi S.A.
Betanet S.A.
*Bitros Holdings S.A.
*Byte Computers S.A.
Chipita S.A.
Commercial Bank of Greece
*Compucon Computer
Applications S.A.
Computer Peripherals
International S.A.
Cyclon Hellas S.A.
*Daios Plastics S.A.
*Delta Holdings S.A.
*Dionic S.A.
*Domiki Krittis S.A.
Edrasi Psalllidas Technical Co. S.A.
Egnatia Bank S.A.
El. D. Mouzakis S.A.
Elais Oleaginous Production S.A.
*Elbisco Holding S.A.
Elektrak S.A.
Elektroniki of Athens S.A.
Elgeka S.A.
Elmec Sport S.A.
*Elton S.A.
Ethniki General Insurance Co. S.A.
*Etma Rayon S.A.
*Euro Reliance General Insurance
Eurodrip S.A.
Euromedica S.A.
*Europaiki Techniki
Everest S.A.
Evrofarma S.A.
F.G. Europe SA Common
Registered Shares
*Fanco S.A.
*Forthnet S.A.
Fourlis S.A.
Frigoglass S.A.
G.Polyhronos S.A.
Galaxidi Fish S.A.
</Table>
15,370
85,048
23,055
44,823
80,278
27,516
104,982
60,821
45,224
86,314
57,997
86,066
$
22,389
25,370
45,604
124,761
40,290
142,397
48,640
58,560
104,974
45,193
356,867
160,431
53,245
13,640
138,964
16,674
88,984
44,980
50,982
15,200
115,721
7,296
163,829
11,121
11,220
19,302
17,230
46,325
1,960
341,794
22,466
481,649
94,532
58,812
154,514
997,099
8,928
545,540
774,707
1,917,395
180,070
55,002
64,549
45,181
126,160
51,180
11,260
9,226
9,110
18,131
16,350
33,747
12,948
17,730
31,108
117,107
31,653
16,707
56,000
14,040
21,560
18,590
64,256
18,640
118,768
11,242
14,830
11,620
33,300
32,750
30,730
9,500
13,919
20,869
105,238
236,421
11,237
36,950
31,867
348,541
41,336
336,066
248,273
35,725
64,800
96,064
193,992
94,952
430,941
9,746
29,411
75,279
77,995
9,221
81,650
17,177
4,536
10,110
17,510
64,420
49,990
10,580
12,940
21,344
8,668
117,017
377,839
213,701
18,989
9,973
SHARES
--------------<C>
34,649
24,060
35,139
61,810
39,937
17,740
VALUE+
--------------<C>
$
220,679
22,058
291,496
1,788,195
10,735
291,858
134
<Page>
<Table>
<Caption>
<S>
General Construction Co. S.A.
General Commercial & Industry
*General Hellenic Bank
Germanos S.A.
Gnomon Construction S.A.
Goody's S.A.
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Halkor S.A.
Hatziioannou S.A.
Hellas Can Packaging
Manufacturers S.A.
*Hellenic Cables S.A.
Hellenic Duty Free Shops S.A.
Hellenic Fabrics S.A.
Hellenic Sugar Industry S.A.
Hellenic Technodomiki S.A.
Heracles General Cement Co.
Hermes Real Estate S.A.
*Hippotour S.A.
Hyatt Regency S.A.
*Iaso S.A.
*Iktinos Hellas S.A.
Inform P. Lykos S.A.
*Informatics S.A.
*Intersat S.A.
Intertech S.A.
Intracom Constructions S.A.
Intracom S.A.
*Ionian Hotel Enterprises
*J Boutaris & Son Holding S.A.
J&P-Avax S.A.
Kalpinis Simos Steel Service Center
*Karelia Tobacco Co., Inc. S.A.
Kathimerini S.A.
Katselis Sons S.A.
Kego S.A.
*Kekrops S.A.
*Keramia-Allatini S.A. Industrielle
Commerciale & Technique
*Klonatex Group S.A. Bearer Shares
Kordellou Brothers S.A.
Kotsovolos S.A.
*Lambrakis Press S.A.
*Lampsa Hotel Co.
*Lan-Net S.A.
*Lavipharm S.A.
*Lazarides Vineyards S.A.
Light Metals Industry
*Logic Dis S.A.
*Loulis Mills S.A.
*Mailis (M.J.) S.A.
*Maritime Company of Lesvos S.A.
*Maxim Knitwear Factory C.M
*Medicon Hellas S.A.
Mesochoritis Bros. Construction Co.
Metka S.A.
Michaniki S.A.
Minerva Knitwear
Minoan Lines S.A.
*MLS Multimedia S.A.
Mochlos S.A.
Motor Oil (Hellas) Corinth
Refineries S.A.
Mytilineos Holdings S.A.
*N. Levederis S.A.
N.B.G. Real Estate Development Co.
*Naoussa Spinning Mills S.A.
Naytemporiki S.A.
*Neorion-Syro's Shipyards S.A.
Nexans Hellas S.A.
Nikas S.A.
Notos Com.Holdings S.A.
*O. Daring Sain
Pantechniki S.A.
*Pegasus Publishing & Printing S.A.
*Persefs S.A. Health Care
Petros Petropoulos S.A.
*Petzetakis S.A.
*Pilias S.A.
*Pipeworks L. Girakian Profil S.A.
Piraeus Leasing
*Prodeftiki Technical Co.
*Promota Hellas S.A.
Rilken S.A.
*Sanyo Hellas S.A.
Sarantis S.A.
*Sato S.A.
Selected Textile Industry Assoc. S.A.
Sfakianakis S.A.
*Sheet Steel S.A.
*Shelman Hellenic-Swiss Wood S.A.
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
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121,226
44,200
272,297
125,339
27,902
26,908
80,020
17,110
35,750
136,556
93,293
23,136
12,155
130,260
49,300
6,500
20,610
18,890
19,392
12,236
30,520
172,366
16,754
28,150
100,626
12,432
2,160
21,240
18,000
21,670
2,244
277,438
33,842
1,527,335
39,442
155,571
583,279
819,549
76,381
16,469
1,341,300
259,682
18,825
66,394
9,003
8,258
38,726
35,401
753,513
191,478
34,812
466,295
42,503
157,703
125,906
43,929
32,332
40,349
10,368
20,351
12,300
2,872
107,586
19,051
19,045
39,294
18,326
37,502
77,230
15,382
101,594
30,753
16,360
2,600
23,700
59,820
98,065
5,140
77,309
8,300
101,679
7,589
34,340
15,359
18,054
382,719
136,078
33,830
62,840
35,101
95,694
42,542
41,325
353,629
17,685
10,016
18,103
11,886
311,338
207,360
17,812
199,667
13,585
49,660
152,870
47,000
8,355
134,960
21,832
26,080
27,210
3,003
25,287
94,554
7,760
50,460
58,590
23,592
7,360
22,560
103,584
11,730
5,765
32,257
26,580
1,982
59,251
43,940
28,850
44,649
13,390
25,850
38,042
1,402,159
250,178
5,734
487,557
37,421
50,453
64,134
9,611
150,034
390,340
1,990
84,486
117,701
32,828
47,331
50,793
26,576
15,097
48,102
16,996
21,494
19,404
73,073
225,488
25,740
29,457
51,860
11,376
43,705
$
Silver and Baryte Ores
Mining Co. S.A.
*Singular S.A.
Spyroy Agricultural House S.A.
*Stabilton S.A.
Strintzis Shipping Lines S.A.
Technical Olympic S.A.
*Technodomi M.Travlos Br. Com. &
Constr. Co. S.A.
Teletypos S.A. Mega Channel
Terna Tourist Technical &
Maritime S.A.
Themeliodomi S.A.
Thrace Plastics Co. S.A.
Uncle Stathis S.A.
*Unisystems S.A.
Vardas S.A.
*Varvaressos S.A. European
Spinning Mills
Veterin S.A.
Viohalco S.A.
Vioter S.A.
*Vis Container Manufacturing Co.
Zampa S.A.
34,961
54,600
22,258
27,530
131,240
180,370
218,546
136,131
24,262
2,680
158,855
758,496
13,910
36,227
3,568
168,365
63,180
37,422
45,500
10,999
41,820
13,780
463,617
62,213
64,510
76,974
82,222
41,589
7,200
18,984
296,585
61,470
4,259
830
9,748
39,574
2,137,195
80,453
15,403
10,195
---------------
TOTAL COMMON STOCKS
(Cost $33,864,979)
32,664,376
---------------
RIGHTS/WARRANTS -- (0.0%)
F.G. Europe SA Rights 07/29/04
(Cost $0)
4,536
55
---------------
PREFERRED STOCKS -- (0.0%)
*Egnatia Bank S.A.
(Cost $8,591)
3,196
8,270
---------------
TOTAL -- GREECE
(Cost $33,873,570)
32,672,701
---------------
</Table>
135
<Page>
<Table>
<Caption>
<S>
FINLAND -- (5.0%)
COMMON STOCKS -- (5.0%)
Alandsbanken AB Series B
*Aldata Solutions Oyj
Alma Media Oyj
*Amanda Capital Oyj
Amer-Yhtymae Oyj Series A
Aspo P.L.C.
#Aspocomp Group P.L.C.
Basware Oyj
*Benefon Oy
*Biotie Therapies Oyj
Capman Oyj Series B
Chips Corp. Series B
#Comptel Oyj
Efore Oy
Elcoteq Network Corp.
Elektrobit Group Oyj
*Elisa Communications Corp.
*Eq Online Oyj
*Evox Rifa Group Oyj
Finnair Oyj
Finnlines Oyj
Fiskars Oy AB Series A
*#F-Secure Oyj
HK Ruokatalo Oy Series A
Honkarakenne Oy Series B
Huhtamaki Van Leer Oyj
Ilkka-Yhtyma Oyj
*Incap Oyj
J.W. Suominen Yhtyma Oy
Jaakko Poyry Group Oyj
KCI Konecranes International Oyj
Kemira Oyj
Kesko Oyj
SHARES
--------------<C>
4,890
64,735
34,388
180,700
25,370
8,200
12,738
7,050
1,900
39,754
12,485
17,750
149,541
12,920
21,260
663,597
74,525
23,900
51,210
118,150
30,280
41,270
140,928
19,620
3,030
125,650
7,560
11,000
17,955
14,610
13,800
118,400
32,060
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
VALUE+
--------------<C>
$
104,986
130,317
293,159
37,438
1,323,041
128,032
198,630
69,593
487
55,711
24,169
395,817
359,733
108,604
414,906
388,707
998,860
61,199
7,557
806,787
876,331
511,060
255,921
154,972
25,536
1,614,560
61,492
29,403
110,757
368,368
513,281
1,593,938
635,999
Laennen Tehtaat Oy
Lassila & Tikanoja Oyj
#Lemminkainen Oy
Leo Longlife Oy
Martela Oy
Metsaemarkka Oyj Series B
#New Kyro Corp. Oyj
Nokian Renkaat Oyj
Nordic Aluminium Oy
*Okmetic Oyj
Okobank Class A
Olvi Oyj Series A
Orion-Yhtyma Oyj Series A
Orion-Yhtyma Oyj Series B
Outokumpu Oyj Series A
#Oy Stockmann AB Series B
Perlos P.L.C. Warrants 04/04/04
PK Cables Oyj
*Pmj Automec Oyj
Pohjola Group P.L.C. Series D
Ponsse Oyj
*Proha Oyj
Raisio Group P.L.C. Series V
Rakentajain Koneuvokrammo Oy
Ramirent Oyj
Rapala VMC Oyj
Rautaruukki Oyj Series K
Raute Oy Series A
Rocla Oy
*#Saunalahti Group Oyj
Scanfil Oyj
Sponda Oyj
Stockmann Oyj AB
*Stonesoft Corp.
Sysopen P.L.C.
Talentum Oyj
*Tecnomen Holding Oyj
Teleste Corp. Oyi
Tulikivi Oyj
Turkistuottajat Oy
Uponor Oyj Series A
Vacon Oyj
Vaisala Oy Series A
Viking Line AB
Wartsila Corp. Oyj Series B
Yit-Yhtymae Oyj
Yomi Oyj
5,870
16,990
16,600
2,920
530
700
45,670
12,180
1,900
16,204
101,080
3,320
20,590
30,460
21,100
30,200
72,311
5,530
23,910
146,205
6,300
51,232
118,423
10,260
12,270
36,040
188,780
2,390
1,300
124,754
63,879
109,111
35,240
49,279
7,720
18,300
49,370
14,699
5,710
2,590
44,400
14,537
19,050
10,360
66,460
67,708
15,450
TOTAL -- FINLAND
(Cost $21,901,896)
97,572
548,362
308,111
26,500
7,565
5,850
419,899
1,188,200
20,860
50,494
1,085,845
51,000
532,726
782,517
337,978
717,290
754,726
178,520
16,670
1,505,285
163,237
36,784
265,471
76,919
254,460
272,292
1,525,031
$
23,597
11,458
179,503
393,234
928,859
823,590
46,331
34,383
133,689
81,404
114,821
48,674
25,025
1,461,614
195,490
452,544
265,378
1,489,070
1,380,053
115,945
--------------32,094,178
---------------
SPAIN -- (4.9%)
COMMON STOCKS -- (4.9%)
#Abengoa SA
Adolfo Dominguez SA
Aldeasa SA
*#Amper SA
*Avanzit SA
*#Azkoyen SA
Banco de Andalucia
Banco de Credito Balear SA
#Banco de Valencia SA
*Banco de Valencia SA
Banco Guipuzcoano SA
#Banco Pastor SA
*#Baron de Ley SA
CAF (Construcciones y Auxiliar de
Ferrocarriles SA)
Campofrio Alimentacion SA
Cementos Portland SA
Compania de Distribucion Integral
Logista SA
Cortefiel SA
*Dogi International Fabrics SA
*Duro Felguera SA
Elecnor SA
*Ercros SA
*Espanola del Zinc SA
*Estacionamientos Urbanos SA
#Europistas Concesionaria
Espanola SA
#Faes Farma SA
*Faes Farma SA Issue 04
Funespana SA
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
66,042
3,700
15,329
56,800
17,275
52,500
9,800
35,424
188,053
3,761
21,194
34,300
5,642
580,397
76,505
457,173
274,238
49,391
367,424
817,748
832,520
3,907,815
78,155
559,959
1,037,976
227,157
7,500
92,800
16,881
534,883
1,330,052
996,570
29,600
57,093
4,000
10,860
18,300
100,518
29,250
4,200
955,457
614,741
23,190
73,868
780,106
40,315
65,207
0
174,940
32,498
3,609
4,500
1,012,704
491,338
54,565
37,282
#Grupo Empresarial Ence SA
*#Grupo Picking Pack SA
Hullas del Coto Cortes
Iberpapel Gestion SA
Inbesos SA
Indo Internacional SA
</Table>
18,593
145,775
8,666
6,700
8,050
33,600
511,987
78,154
108,176
123,916
42,007
305,358
SHARES
--------------<C>
75,200
35,200
331
47
80,282
22,080
VALUE+
--------------<C>
$
960,254
898,455
54,753
6,255
886,427
133,185
25,200
9,500
14,895
4,891
14,979
15,750
65,366
26,443
45,049
61,641
64,217
570,131
243,562
70,470
56,200
509,368
540,800
693,015
95,420
34,600
112,700
20,902
31,944
672,774
1,400,795
1,015,606
616,104
128,305
6,300
163,225
35,477
73,130
12,466
41,935
338,493
47,040
50,352
321,993
254,487
145,960
95,393
792,137
1,286,403
660,889
97,492
922,665
---------------
136
<Page>
<Table>
<Caption>
<S>
Indra Sistemas SA
Inmobiliaria Colonial SA ICSA
Inmobiliaria del Sur SA
Inmobiliaria del Sur SA Issue 2003
Inmobiliaria Urbis SA
Lingotes Especiales SA
*LSB (La Seda de Barcelona SA)
Series B
*Mecalux SA
#Metrovacesa SA
Miquel y Costas y Miquel SA
Natra SA
*Nicolas Correa SA
Obrascon Huarte Lain SA
Pescanova SA
Prosegur Cia de Seguridad SA
#Recoletos Grupo de
Comunicacion SA
*Sogecable SA
#Sol Melia SA
#SOS Cuetara SA
Tavex Algodonera SA
*Tecnocom Telecomunicaciones y
Energia SA
*#Tele Pizza SA
#Transportes Azkar, SA
Tubacex SA
Tubos Reunidos SA
Unipapel SA
Uralita SA
Vidrala SA, Alava
Viscofan Industria Navarra de
Envolturas Celulosicas SA
TOTAL COMMON STOCKS
(Cost $16,570,613)
31,558,928
---------------
TOTAL -- SPAIN
(Cost $16,570.613)
31,558,928
---------------
DENMARK --(4.4%)
COMMON STOCKS -- (4.4%)
Aarhus Oliefabrik A.S. Aeries A
*Alm. Brand A.S
#Amagerbanken A.S
Ambu International A.S. Series B
Amtssparekassen Fyn A.S
#AS Dampskibsselsk Torm
Bang & Olufsen Holding A.S
Series B
*Bavarian Nordic A.S
*Brodrene Hartmann A.S. Series B
Bryggerigruppen A.S
Christian Hansen Holding A.S
Series B
#Codan A.S
Dalhoff, Larsen & Hornemann A.S
Series B
Danware A.S
DFDS A.S., Copenhagen
DiskontoBanken A.S
DSV, De Sammensluttede
Vognmaend A.S
East Asiatic Co., Ltd.
Edb Gruppen A.S
*Fimiston Resources &
Technology Ltd.
*FLS Industries
4,950
28,360
2,734
1,500
2,243
49,460
276,809
721,927
276,923
24,103
270,286
1,227,555
13,387
4,930
5,865
8,515
738,730
376,190
100,619
552,463
10,855
43,400
704,968
1,864,814
1,370
4,185
11,760
713
70,896
70,143
450,795
127,246
22,630
22,723
3,230
1,085,556
1,056,471
85,399
400
73,180
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
$
3,678
1,032,202
Fluegger A.S. Series B
Foras Holding A.S. Series A
#Forstaedernes Bank
*Genmab A.S
*Glunz & Jensen A.S
GN Great Nordic A.S
H&H International A.S. Series B
*#Harboes Bryggeri A.S
Hedegaard (Peder P.) A.S
Hojgaard Holding A.S. Series B
*IC Co. A.S
*Incentive A.S
*Jyske Bank A.S
Kjobenhavns Sommer Tivoli A.S
Koebenhavns Lufthavne
Kompan A.S
Lan & Spar Bank A.S
Lollands Bank
*#Neurosearch A.S
NKT Holding A.S
Nordjyske Bank A.S
*NTR Holdings A.S
Oestjydsk Bank
Ove Arkil Series B
Per Aarsleff A.S. Series B
*Pharmexa A.S
Ringkjobing Bank
Ringkjobing Landbobank
Rockwool, Ltd.
*#RTX Telecom A.S
Salling Bank
Sanistal A.S. Series B
*#SAS Danmark A.S
Satair A.S
Schouw & Co. A.S
Simcorp A.S
Sjaelso Gruppen A.S
Skjern Bank A.S
*Sondagsavisen A.S
Spar Nord Holding
Sparbank Vest A.S
Sparekassen Faaborg A.S
Sydbank A.S
Thrane & Thrane A.S
*#TK Development
*Topdanmark A.S
*Treka A.S
*#Vestas Wind Systems A.S
*#Vestas Wind Systems A.S. Issue 04
Vestfyns Bank
Vestjysk Bank A.S
VT Holdings Shares B
*Wessel & Vett Magasin du Nord A.S
Series C
2,913
13,292
4,322
28,629
1,470
210,980
1,140
575
660
2,500
3,510
3,575
37,760
580
9,910
230
2,250
150
9,160
30,245
920
1,130
400
270
1,545
12,940
1,670
1,620
24,520
8,400
250
1,786
34,300
1,350
15,485
5,240
2,388
725
21,165
6,823
6,600
481
8,172
5,258
12,478
28,300
8,498
36,500
2
200
10,800
3,130
186,942
143,883
246,725
428,516
9,312
1,872,410
295,151
139,635
45,849
68,589
24,452
10,826
2,164,679
188,463
1,446,764
34,743
102,935
24,597
337,241
616,591
151,247
8,778
45,214
28,341
61,680
39,343
103,484
480,624
1,087,982
78,615
21,981
114,734
268,112
25,940
346,218
232,619
190,285
51,182
83,357
600,275
228,858
112,618
1,199,052
203,195
35,288
1,676,377
105,476
539,269
30
20,025
282,954
157,205
2,102
34,400
---------------
TOTAL COMMON STOCKS
(Cost $17,484,484)
28,120,831
---------------
</Table>
137
<Page>
<Table>
<Caption>
<S>
INVESTMENT IN CURRENCY -- (0.0%)
*Danish Krone
(Cost $818)
SHARES
--------------<C>
VALUE+
--------------<C>
$
824
---------------
TOTAL -- DENMARK
(Cost $17,485,302)
28,121,655
---------------
NORWAY -- (4.0%)
COMMON STOCKS -- (4.0%)
Aker Kvaerner ASA
*Aker Yards AS
Aktiv Kapital ASA
Arendals Fosse Kompani ASA
*Blom ASA
Bonheur ASA
*Choice Hotel Scandinavia ASA
45,609
28,121
57,017
100
18,367
16,850
27,740
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
842,235
389,471
732,866
8,350
12,881
451,177
74,838
*Corrocean ASA
#Det Norske Oljeselskap ASA
Series A
*#DOF ASA
*EDB Elektronisk Data
Behandling ASA
Ekornes ASA
*#Eltek ASA
Expert ASA
Farstad Shipping ASA
*Fjord Seafood ASA
*#Fred Olsen Energy ASA
Ganger Rolf ASA
Gresvig ASA
Hafslund ASA
*Home Invest ASA
*Industrifinans Naeringseiendom ASA
#Kongsberg Gruppen ASA
Kverneland ASA
*Merkantildata ASA
Natural ASA
#Nera ASA
*Nordic Semiconductor ASA
*Northern Offshore, Ltd.
*#Ocean Rig ASA
Odfjell ASA Series A
Olav Thon Eiendomsselskap ASA
*P4 Radio Hele Norge ASA
*#Photocure ASA
Prosafe ASA
Rieber and Son ASA Series A
Schibsted ASA
*Sinvest ASA
Smedvig ASA Series A
*Software Innovation ASA
Solstad Offshore ASA
Steen and Stroem ASA
#Storebrand ASA
Tandberg ASA Series A
*#Tandberg Data ASA
*Tandberg Storage ASA
*Tandberg Television ASA
*Telecomputing ASA
*#Tgs-Nopec Geophysical Co. ASA
Tomra Systems ASA
*Tybring-Gjed ASA
*Unit 4 Agresso NV
Veidekke ASA
#Visma ASA
Wilhelmshaven (Wilhelm), Ltd. ASA
19,321
7,206
85,320
97,006
341,923
243,981
149,417
56,490
40,842
48,758
60,790
783,483
91,600
6,690
4,590
58,700
15,077
7,582
49,500
16,160
320,521
10,143
187,753
25,000
214,000
105,531
24,910
8,320
32,200
26,690
55,980
63,654
112,960
6,220
83,580
13,423
54,100
19,512
183,330
217,280
58,950
48,450
90,430
44,963
40,910
294,480
145,146
4,620
21,846
47,393
30,400
994,764
1,109,385
376,670
309,643
584,063
395,510
729,712
166,968
22,561
289,476
10,876
16,425
584,154
233,366
242,701
54,158
467,763
123,200
99,131
286,026
856,323
372,867
48,491
209,021
1,270,681
515,191
2,028,520
11,957
924,415
60,007
452,495
339,152
1,257,129
2,308,195
131,169
17,970
656,402
61,490
663,110
1,402,384
59,320
45,990
$
209,972
465,870
858,597
---------------
TOTAL COMMON STOCKS
(Cost $19,143,084)
25,428,200
---------------
INVESTMENT IN CURRENCY -- (0.0%)
*Norwegian Krone
(Cost $5,109)
5,101
---------------
TOTAL -- NORWAY
(Cost $19,148,193)
25,433,301
---------------
BELGIUM -- (3.6%)
COMMON STOCKS -- (3.6%)
*Abfin SA
Ackermans & Van Haaren SA
*Arinso International NV
Banque Nationale de Belgique
Barco (New) NV
Bekaert SA
BMT NV
Brantano NV
Brederode SA
Carrieres Unies Porphyre
CFE (Compagnie Francois
d'Entreprises)
Cie Martime Belge SA
Cofinimmo SA
Commerciale de Brasserie SA
COBRHA
Deceuninck SA
D'Ieteren SA
Distrigaz
*Docpharma SA NV
Duvel Moorgat NV
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
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2,560
32,186
14,739
710
12,051
23,290
2,040
2,060
12,180
20
0
843,758
225,925
2,306,601
1,088,870
1,344,839
292,598
76,883
248,329
29,970
2,080
8,237
9,778
526,810
999,777
1,324,033
115
63,700
5,831
57
4,489
5,019
119,633
2,058,428
1,233,347
117,850
196,715
147,726
EVS Broadcast Equipment SA
#Exmar NV
Floridienne NV
Glaces de Moustier-sur-Sambre SA
#Immobel (Cie Immobiliere de
Belgique SA)
*Integrated Production & Test
Engineering NV
*#Ion Beam Application SA
*Ipso-Ilg SA
Keytrade Bank SA
Kinepolis Group NV
Lotus Bakeries NV
#Melexis NV
Metiers Automatiques Picanol
*Neuhaus NV
Nord-Sumatra Investissements SA
Omega Pharma SA
Papeteries de Catala SA
Quick Restaurants SA
*#Real Software SA
Recticel SA
Resilux NV
Rosier SA
Roularta Media Groep
*Sait Radioholland
Sapec SA
</Table>
1,100
3,080
2,033
13,370
58,650
182,089
117,666
469,527
4,600
184,875
4,380
23,058
5,990
2,800
5,020
650
47,001
16,120
670
650
26,708
315
19,501
10,280
22,870
1,754
655
9,837
7,313
3,635
25,476
188,637
46,350
73,237
132,331
60,585
544,369
359,639
25,865
164,492
1,355,875
42,119
330,612
6,020
186,649
133,455
88,639
539,782
45,881
287,966
SHARES
--------------<C>
75
21,502
VALUE+
--------------<C>
$
123
248,224
1,545
38,344
18,176
5,408
6,330
39,392
2,281
28,984
1,600
9,586
2,683
7,185
6,608
207,085
632,344
221
65,896
39,023
351,561
155,977
1,033,043
134,415
604,971
311,901
223,329
263,638
---------------
138
<Page>
<Table>
<Caption>
<S>
*Sapec SA VVPR
Sioen Industries
*SIPEF (Societe Internationale de
Plantations & de Finance),
Anvers
*#Solvus SA
*Solvus SA Interim Strip VVPR
Spector Photo Group SA
*Systemat SA
Telindus Group SA
Ter Beke NV
Tessenderlo Chemie
UNIBRA
Union Miniere SA
Van de Velde NV
VPK Packaging Group SA
Warehouses de Pauw Sicafi
TOTAL COMMON STOCKS
(Cost $16,115,845)
23,104,629
---------------
RIGHTS/WARRANTS -- (0.0%)
*Belge des Betons Contingent Rights
*SIPEF Rights
8,500
1,545
TOTAL RIGHTS/WARRANTS
(Cost $0)
0
0
--------------0
---------------
TOTAL -- BELGIUM
(Cost $16,115,845)
23,104,629
---------------
IRELAND -- (2.8%)
COMMON STOCKS -- (2.8%)
Abbey P.L.C.
*Arcon International Resources P.L.C.
*Ardagh P.L.C.
DCC P.L.C.
*Dragon Oil P.L.C.
*Elan Corp. P.L.C.
Fyffes P.L.C.
Glanbia P.L.C.
Grafton Group P.L.C.
Greencore Group P.L.C.
Heiton Holdings P.L.C.
IAWS Group P.L.C.
IFG Group P.L.C.
Independent News & Media P.L.C.
25,557
143,750
14,262
91,965
104,167
154,046
380,502
321,765
253,939
218,422
51,677
105,879
37,599
635,584
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
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260,277
6,145
22,037
1,681,771
81,399
3,809,044
800,534
1,044,551
2,026,742
842,405
415,825
1,260,882
52,606
1,516,667
*Iona Technologies P.L.C.
*Irish Intercontental Group P.L.C.
IWP International P.L.C.
Jurys Hotel Group P.L.C.
Kingspan Group P.L.C.
McInerney Holdings P.L.C.
Paddy Power P.L.C.
Readymix P.L.C.
*Ryan Hotels P.L.C.
United Drug P.L.C.
*Waterford Wedgwood P.L.C.
21,281
18,872
39,611
69,061
183,188
33,991
49,663
109,762
68,061
190,860
1,026,650
TOTAL -- IRELAND
(Cost $9,455,117)
91,851
233,453
13,494
873,672
1,092,090
216,236
572,815
210,743
108,027
652,078
221,753
--------------18,107,097
---------------
AUSTRIA -- (2.8%)
COMMON STOCKS -- (2.8%)
Andritz AG
*Austria Email AG
*Austrian Airlines/Oesterreichische
Luftverkehrs-Aktiengesellschaft
Bank Fuer Kaernten und
Steiermark AG
*Betandwin.com Interactive
Entertainment AG
Bohler Uddeholm AG
BWT AG
*Ca Immobilien Invest AG
*Constantia-Iso Holding AG
Constantia-Verpackungen AG
Flughafen Wien AG
*Immofinanz Immobilien
Anlagen AG
Lenzing AG
*Manner (Josef) & Co. AG
Mayr-Melnhof Karton AG
Oberbank AG
Palfinger AG
*Readymix Kies-Union AG
*#RHI AG, Wien
Rosenbauer International AG
*Sparkassen Immobilien
Ubm Realitaetenentwicklung AG
Uniqa Versicherungen AG
*VA Technologie AG
Voestalpine AG
Wienerberger AG
*Wolford AG
13,609
715
42,784
667,767
2,741
$
636,468
520
59,527
12,749
11,195
21,819
28,791
15,000
19,123
25,698
344,600
930,122
570,864
688,939
158,049
437,827
1,483,894
165,130
3,948
870
11,760
5,384
10,383
500
19,649
1,530
29,760
360
128,555
17,392
30,095
63,642
4,900
1,337,111
795,481
37,841
1,518,734
497,938
360,538
55,236
443,397
87,703
283,432
43,540
1,658,643
980,851
1,483,975
2,220,097
165,233
---------------
TOTAL COMMON STOCKS
(Cost $12,179,338)
17,950,548
---------------
RIGHTS/WARRANTS -- (0.0%)
*Jenbacher AG Rights 03/31/08
*Josef Manner & Co. AG Rights
07/05/04
*Wienerberger AG Rights
06/02/04
7,860
0
870
1,117
63,642
0
---------------
TOTAL RIGHTS/WARRANTS
(Cost $0)
1,117
---------------
TOTAL -- AUSTRIA
(Cost $12,179,338)
17,951,665
---------------
PORTUGAL -- (1.5%)
COMMON STOCKS -- (1.5%)
*Corticeira Amorim Sociedad Gestora
Participacoes Sociais SA
Efacec Capital SGPS SA
Ibersol SGPS SA
*Impresa Sociedade Gestora de
Participacoes Socias SA
*Investimentos Participacoes e
Gestao SA Inapa
*Jeronimo Martins (Estabelecimentos
Jeronimo Martins & Filho
Administracao e Participacoes
Financeiros SA)
*Jeronimo Martins SGPS SA
Mota-Engil SGPS SA
*Novabase SGPS
Portucel-Empresa Produtora de
Pasta de Papel SA
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194,100
60,600
14,462
282,917
157,145
79,130
190,166
921,772
43,702
164,996
130,000
40,757
250,900
56,005
1,454,505
456,010
501,302
381,748
466,977
840,536
</Table>
139
<Page>
<Table>
<Caption>
SHARES
--------------<C>
<S>
Sag Gest - Solucoes Automovel
Globais SGPS SA
Salvador Caetano - Industrias
Metalurgicas e Veiculos de
Transporte SA
*Sociedad Construcoes Soares da
Costa SA
Sociedade de Investimento e
Gestao SGPS SA
Sonae SGPS SA
*Sonaecom SGPS SA
Teixeira Duarte Engenharia e
Construcoes SA
235,500
VALUE+
--------------<C>
$
349,811
54,900
247,116
19,200
68,985
160,396
1,079,900
321,175
752,379
1,185,316
1,249,080
609,000
888,883
---------------
TOTAL -- PORTUGAL
(Cost $6,586,517)
9,981,629
---------------
UNITED STATES -- (0.1%)
COMMON STOCKS -- (0.1%)
*Epicor Software Corp.
*InFocus Corp.
*Powerwave Technologies, Inc.
2,172
10,455
45,408
TOTAL -- UNITED STATES
(Cost $570,415)
30,516
88,867
349,642
--------------469,025
---------------
EMU -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*Euro Currency
(Cost $59,153)
60,679
---------------
UNITED KINGDOM -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling
(Cost $7,687)
8,817
---------------
<Caption>
FACE
AMOUNT
-------------(000)
<C>
<S>
TEMPORARY CASH
INVESTMENTS -- (12.4%)
Repurchase Agreement, Mizuho Securities USA 1.30%,
07/01/04, (Collateralized by $68,093,000 U.S. Treasury Obligations, 4.625%,
08/15/06) to be repurchased at $69,378,521
(Cost $69,376,016)@
$
Repurchase Agreement, PNC Capital Markets, Inc. 1.28%, 07/01/04
(Collateralized by $10,134,000 FHLMC Notes 1.85%, 11/17/05, valued at
$10,159,335) to be repurchased at $10,009,356
(Cost $10,900,000)
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $79,385,016)
VALUE+
--------------<C>
69,376
$
69,376,016
10,009
10,009,000
--------------79,385,016
---------------
TOTAL INVESTMENTS - (100.0%)
(Cost $466,497,467)++
$
641,258,203
===============
</Table>
---------+
See Note B to Financial Statements.
@
Security purchased with cash proceeds from securities on loan.
*
Non-Income Producing Securities.
#
Total or Partial Securities on Loan.
++
The cost for federal income tax purposes is $466,497,498.
See accompanying Notes to Financial Statements.
140
<Page>
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
THE JAPANESE SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2003
<Table>
<Caption>
<S>
JAPAN -- (77.4%)
COMMON STOCKS -- (77.1%)
*A&A Material Corp.
ABILIT Corp.
ADVANEX, Inc.
*AOC Holdings, Inc.
AOI Electronics Co., Ltd.
Achilles Corp.
Advan Co., Ltd.
Aichi Bank, Ltd.
*#Aichi Corp.
*Aichi Machine Industry Co., Ltd.
Aichi Tokei Denki Co., Ltd.
Aida Engineering, Ltd.
Aigan Co., Ltd.
Aiphone Co., Ltd.
Airport Facilities Co., Ltd.
*Airtech Japan, Ltd.
Aisan Industry Co., Ltd.
*Akai Electric Co., Ltd.
*#Akebono Brake Industry Co., Ltd.
Allied Material Corp.
#Allied Telesis KK
Aloka Co., Ltd.
Alpha Systems Inc.
Alps Logistics Co., Ltd.
Altech Co., Ltd.
Amano Corp.
Amatsuji Steel Ball Manufacturing
Co., Ltd.
Ando Corp.
Anest Iwata Corp.
#Anrakutei Co., Ltd.
Aoi Advertising Promotion, Inc.
Aoki International Co., Ltd.
*Apic Yamada Corp.
*Arai-Gumi, Ltd.
Arakawa Chemical Industries, Ltd.
*Araya Industrial Co., Ltd.
Argo 21 Corp.
Aronkasei Co., Ltd.
As One Corp.
#Asahi Denka Kogyo KK
#Asahi Diamond Industrial Co., Ltd.
Asahi Kogyosha Co., Ltd.
Asahi Organic Chemicals Industry
Co., Ltd.
Asahi Pretec Corp.
*#Asahi Soft Drinks Co., Ltd.
*Asahi Tec Corp.
*Asahi Techno Glass Corp.
Asanuma Corp.
#Ashimori Industry Co., Ltd.
Asia Air Survey Co., Ltd.
Asia Securities Printing Co., Ltd.
Asics Corp.
Asunaro Construction., Ltd.
Ataka Constuction & Engineering
Co., Ltd.
Atom Corp.
Atsugi Co., Ltd.
Aucnet, Inc.
*Azel Corp., Tokyo
*#BSL Corp.
Bando Chemical Industries, Ltd.
Bank of Okinawa, Ltd.
Bank of the Ryukyus, Ltd.
Best Denki Co., Ltd.
Bull Dog Sauce Co., Ltd.
Bunka Shutter Co., Ltd.
#CAC Corp.
#CFS Corp.
CKD Corp.
SHARES
--------------<C>
64,000
22,000
78,000
90,300
8,400
549,000
36,000
11,500
100,100
112,000
67,000
98,000
15,000
27,400
79,970
6,000
64,000
363,000
141,000
32,200
8,000
43,000
16,300
21,000
14,000
22,000
$
41,490
144,430
313,367
431,217
110,446
671,713
308,985
579,620
350,058
322,133
159,058
300,657
82,451
421,558
287,693
32,871
533,528
3,314
536,861
396,914
146,092
329,803
342,312
335,555
56,118
150,657
24,000
120,000
74,000
13,000
14,000
61,200
7,000
34,450
17,500
84,000
13,200
53,000
18,700
169,000
99,000
48,000
249,817
166,545
124,324
82,496
89,354
388,926
22,051
42,150
177,365
87,436
107,991
153,406
315,195
1,172,754
469,147
131,921
123,000
19,200
69,000
86,000
79,000
96,000
84,000
6,000
16,000
333,000
29,000
285,263
142,001
371,713
138,988
244,531
135,866
147,261
12,874
74,799
617,230
90,294
18,000
8,500
258,000
15,000
89,000
118,000
213,000
24,300
30,280
132,000
15,000
134,000
31,100
41,000
113,000
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
VALUE+
--------------<C>
$
60,811
103,301
200,237
180,652
84,514
74,343
624,297
431,551
373,523
476,078
104,912
512,655
216,098
269,914
572,635
CMK Corp.
CTI Engineering Co., Ltd.
Cabin Co., Ltd.
#Calpis Co., Ltd.
Canon Electronics, Inc.
Canon Finetech, Inc.
*Catena Corp.
#Cats, Inc.
Cecile Co., Ltd.
Central Finance Co., Ltd.
#Central Security Patrols Co., Ltd.
Cesar Co.
*Chiba Kogyo Bank, Ltd.
#Chino Corp.
*Chinon Industries, Inc.
Chiyoda Co., Ltd.
Chofu Seisakusho Co., Ltd.
*Chori Co., Ltd.
Chuetsu Pulp and Paper Co., Ltd.
*Chugai Mining Co., Ltd.
#Chugai Ro Co., Ltd.
#Chugoku Marine Paints, Ltd.
#Chugokukogyo Co., Ltd.
Chuo Denki Kogyo co., Ltd.
Chuo Gyorui Co., Ltd.
Chuo Spring Co., Ltd., Nagoya
*#Clarion Co., Ltd.
Cleanup Corp.
*Co-Op Chemical Co., Ltd.
Coca Cola Central Japan Co., Ltd.
#Colowide Co., Ltd.
*#Columbia Music Entertainment, Inc.
Commuture Corp.
Computer Engineering & Consulting,
Ltd.
Comsys Holdings Corp.
Corona Corp.
#Cosel Co., Ltd.
*Create Medic Co., Ltd.
Credia Co., Ltd.
Cresco, Ltd.
*D&M Holdings, Inc.
</Table>
62,000
19,000
67,000
115,000
40,000
45,070
18,000
15,400
35,900
180,000
12,000
79,000
53,200
70,000
16,000
58,000
39,900
175,000
145,000
117,000
139,000
111,000
45,000
19,000
35,000
80,000
313,000
71,000
80,000
112
14,000
134,000
45,202
625,548
86,742
86,870
547,069
496,713
530,865
39,938
38,669
373,357
599,891
76,041
721
288,053
225,621
40,906
627,027
568,335
185,354
311,130
72,644
298,256
502,703
57,524
29,319
52,091
290,723
500,137
875,183
57,706
663,696
110,701
138,258
245,573
25,000
4,350
38,600
27,000
7,000
14,000
7,000
114,000
239,911
22,521
532,195
590,440
41,545
153,524
74,781
482,980
SHARES
--------------<C>
114,000
33,000
15,800
193,000
57,000
60,000
54,000
141,000
168,000
96,000
80,000
91,000
47,000
195,000
31,000
6,000
444,000
51,000
15,200
VALUE+
--------------<C>
$
126,991
70,809
295,024
236,140
256,063
98,064
335,774
566,472
262,308
142,001
198,685
831
113,294
548,393
341,645
19,284
782,433
204,894
68,006
163,000
16,000
26,400
112,000
92,500
24,000
501,561
74,507
365,194
282,250
76,014
210,153
42,000
64,000
157,000
145,000
162,000
28,378
179,401
507,469
157,551
165,668
141
<Page>
<Table>
<Caption>
<S>
*D'urban, Inc.
DC Co., Ltd.
DTS Corp.
#Dai Nippon Toryo, Ltd.
Dai-Dan Co., Ltd.
Daido Kogyo Co., Ltd.
Daidoh, Ltd.
Daifuku Co., Ltd.
Daihen Corp.
#Daiho Corp.
Dai-Ichi Jitsugyo Co., Ltd.
*Dai-Ichi Katei Denki Co., Ltd.
Dai-Ichi Kogyo Seiyaku Co., Ltd.
Daiken Corp.
#Daiki Co., Ltd.
Daiko Clearing Services Corp.
*#Daikyo, Inc.
Daimei Telecom Engineering Corp.
Dainichi Co., Ltd.
#Dainichiseika Colour & Chemicals
Manufacturing Co., Ltd.
Dainippon Shigyo Co., Ltd.
#Daiseki Co., Ltd.
#Daiso Co., Ltd.
*Daisue Construction Co., Ltd.
Daisyo Corp.
*Daito Woolen Spinning & Weaving
Co., Ltd., Tokyo
Daiwa Industries, Ltd.
Daiwa Kosho Lease Co., Ltd.
*#Daiwa Seiko, Inc.
Daiwabo Co., Ltd.
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Daiwabo Information System Co., Ltd.
Danto Corp.
Denki Kogyo Co., Ltd.
*Denny's Japan Co., Ltd.
Densei-Lambda KK
#Denyo Co., Ltd.
*#Descente, Ltd.
*Dia Kensetsu Co., Ltd.
Diamond Computer Service Co., Ltd.
*Dijet Industrial Co., Ltd.
Doshisha Co., Ltd.
*#Doutor Coffee Co., Ltd.
*Dynic Corp.
Eagle Industry Co., Ltd.
*Econach Co., Ltd.
*Eco-Tech Construction Co., Ltd.
#Edion Corp.
Ehime Bank, Ltd.
Eiken Chemical Co., Ltd.
Eikoh, Inc.
Elna Co., Ltd.
Enplas Corp.
*#Enshu, Ltd.
Ensuiko Sugar Refining Co., Ltd.
#Exedy Corp.
*#FDK Corp.
FP Corp.
*Fine Sinter Co., Ltd.
*First Baking Co., Ltd.
Fontaine Co., Ltd.
Foster Electric Co., Ltd.
France Bed Co., Ltd.
*#Fudo Construction Co., Ltd.
Fuji Kiko Co., Ltd.
*Fuji Kosan Co., Ltd.
Fuji Kyuko Co., Ltd.
*#Fuji Spinning Co., Ltd., Tokyo
Fujicco Co., Ltd.
*Fujii & Co., Ltd.
*Fujiko Co., Ltd.
Fujikura Kasei Co., Ltd.
Fujikura Rubber, Ltd.
#Fujirebio, Inc.
#Fujita Kanko, Inc.
#Fujitec Co., Ltd.
Fujitsu Access, Ltd.
Fujitsu Business Systems, Ltd.
Fujitsu Devices, Inc.
Fujitsu Fronttec, Ltd.
*Fujitsu General, Ltd.
*#Fujiya Co., Ltd.
Fukuda Corp.
Fukushima Bank, Ltd.
*Fukusuke Corp.
*Fumakilla, Ltd.
*Furukawa Battery Co., Ltd.
*Furukawa Co., Ltd.
Fuso Lexel Inc.
#Fuso Pharmaceutical Industries, Ltd.
*GSI Creoss Corp.
*Ga-jo-en Kanko KK
*Gakken Co., Ltd.
*Generas Corp.
#Genki Sushi Co., Ltd.
Geostar Corp.
*Global-Dining, Inc.
*#Godo Steel, Ltd.
*Goldwin, Inc.
#Gourmet Kineya Co., Ltd.
*Graphtec Corp.
*Gro-BeLS Co., Ltd.
Gun-Ei Chemical Industry Co., Ltd.
Hagoromo Foods Corp.
Hakuto Co., Ltd.
Hakuyosha Co., Ltd.
Haltec Corp.
*Hamai Co., Ltd.
Hanwa Co., Ltd.
Happinet Corp.
Harashin Co., Ltd.
Harima Chemicals, Inc.
Haruyama Trading Co., Ltd.
*Hayashikane Sangyo Co., Ltd.
Hibiya Engineering, Ltd.
22,000
42,000
95,000
38,000
26,484
38,000
95,000
31,000
18,000
34,000
15,000
28,400
52,000
78,000
26,000
138,000
112,316
55,000
24,000
8,000
22,000
18,000
69,000
51,000
71,000
105,000
26,800
18,000
67,000
5,000
32,000
193,000
201,000
51,000
130,000
107,000
163,000
42,000
44,000
55,000
43,000
34,000
75,000
132,000
126,000
36,000
32,500
32,000
21,000
111,000
190,000
65,000
213,000
95,000
24,000
45,000
405,000
8,000
99,000
90,000
37,000
126,000
64,000
7,500
10,000
6,200
199,000
47,000
31,000
39,000
40,000
127,000
18,000
25,000
57,000
32,000
22,000
405,000
15,000
14,100
37,000
16,800
128,000
56,000
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
$
178,178
144,576
272,370
621,421
200,951
165,851
163,075
27,456
99,434
42,221
335,555
434,091
68,846
371,768
10,920
40,321
777,352
204,392
300,438
36,888
48,210
544,010
112,144
90,805
772,754
232,971
400,825
48,320
84,423
46,978
126,516
463,468
154,164
147,151
94,960
383,957
150,320
396,147
402
1,004
296,037
200,237
732,058
472,462
536,121
213,002
392,303
262,966
205,168
309,122
235,939
244,522
287,838
867
27,392
84,642
462,244
59,898
324,516
153,671
0
153,013
36,231
104,844
31,958
35,382
330,698
54,072
232,953
37,034
34,697
255,113
161,067
305,652
163,943
49,671
20,489
950,375
120,663
105,570
214,865
151,249
118,042
367,129
*Higashi-Nippon Bank, Ltd.
Hisaka Works, Ltd.
Hitachi Business Solution Co., Ltd.
Hitachi Kiden Kogyo, Ltd.
Hitachi Koki Co., Ltd.
#Hitachi Kokusai Electric, Inc.
</Table>
40,000
41,000
10,000
20,000
153,000
76,000
108,108
213,386
73,046
68,481
655,196
498,941
SHARES
--------------<C>
53,000
12,000
VALUE+
--------------<C>
$
624,270
30,679
146,000
46,000
30,000
42,000
100,000
56,000
83,000
505,000
33,000
87,000
41,000
263,000
112,000
435,920
274,690
130,113
163,751
232,834
44,996
169,759
599,434
181,392
206,538
134,770
547,517
189,189
36,000
64,000
39,900
41,600
60,000
7,000
54,000
16,000
40,000
181,000
12,000
17,000
23,400
49,000
48,000
141,000
54,000
19,500
47,000
80,000
161,000
102,000
19,000
178
38,000
18,700
70,000
77,000
64,900
93,024
175,895
45,904
576,596
417,458
31,255
562,089
98,028
176,041
176,835
44,375
52,931
19,016
121,247
43,389
290,961
241,600
356,099
276,799
134,405
421,905
182,542
343,499
209,660
539,536
259,533
367,513
667,915
513,772
42,900
51,000
31,000
279,000
3,600
52,000
75,000
557,011
317,120
44,439
647,060
29,584
62,673
97,927
18,000
46,841
16,000
49,000
119,000
14,400
56,000
19,000
110,000
313,000
145,000
300
7,700
33,601
77,401
543,280
464,134
110,446
39,034
321,403
571,585
301,863
35,610
81,556
142
<Page>
<Table>
<Caption>
<S>
Hitachi Medical Corp.
Hitachi Metals Techno, Ltd.
Hitachi Plant Engineering &
Construction Co., Ltd.
Hitachi Powdered Metal Co., Ltd.
Hitachi Tool Engineering, Ltd.
Hochiki Corp.
*#Hodogaya Chemical Co., Ltd.
*Hohsui Corp.
Hokkai Can Co., Ltd., Tokyo
*#Hokkaido Bank, Ltd.
Hokkaido Coca Cola Bottling Co., Ltd.
Hokkaido Gas Co., Ltd.
Hokko Chemical Industry Co., Ltd.
Hokuetsu Bank
*Hokuriku Electric Industry Co., Ltd.
Hokuriku Electrical Construction
Co., Ltd.
Hokuriku Gas Co., Ltd.
*Hokushin Co., Ltd.
#Hokuto Corp.
Homac Corp.
Honshu Chemical Industry Co., Ltd.
#Horiba, Ltd.
Horipro, Inc.
*Hosokawa Micron Corp.
*#Howa Machinery, Ltd.
I-Net Corp.
ISE Chemicals Corp.
*Ichida and Co., Ltd.
Ichikawa Co., Ltd.
*Ichiken Co., Ltd.
Ichikoh Industries, Ltd.
Ichiyoshi Securities Co., Ltd.
Icom, Inc.
Idec Izumi Corp.
Ihara Chemical Industry Co., Ltd.
Iino Kaiun Kaisha, Ltd.
*#Ikegami Tsushinki Co., Ltd.
Impact 21 Co., Ltd.
*#Impress Corp.
Inaba Denki Sangyo Co., Ltd.
#Inaba Seisa Kusho Co., Ltd.
Inabata and Co., Ltd., Osaka
Inageya Co., Ltd.
Ines Corp.
#Information Services
International-Dentsu, Ltd.
Intec, Inc.
*Inui Steamship Co., Ltd.
*#Iseki & Co., Ltd.
Ishii Hyoki Co., Ltd.
*#Ishii Iron Works Co., Ltd.
*#Ishikawa Seisakusho, Ltd.
Ishikawajima Construction Materials
Co., Ltd.
Ishikawajima Transport Machinery
Co., Ltd.
*Ishizuka Glass Co., Ltd.
Itochu Enex Co., Ltd.
Itochu Shokuh Co., Ltd.
Itoki Crebio Corp.
Iwaki & Co., Ltd.
#Iwasaki Electric Co., Ltd.
*Iwatani International Corp.
*#Iwatsu Electric Co., Ltd.
*Izuhakone Railway Co., Ltd.
*Izukyu Corp.
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
$
Izumiya Co., Ltd.
*#Izutsuya Co., Ltd.
J-Oil Mills, Inc.
JFE Koken Corp.
JMS Co., Ltd.
*Jac Holdings Co., Ltd.
Jaccs Co., Ltd.
Jamco Corp.
*#Janome Sewing Machine Co., Ltd.
#Japan Business Computer Co., Ltd.
#Japan Carlit Co., Ltd.
Japan Cash Machine Co., Ltd.
Japan Digital Laboratory Co., Ltd.
#Japan Foundation Engineering
Co., Ltd.
Japan Information Processing
Service Co., Ltd.
Japan Kenzai Co., Ltd.
Japan Maintenance Co., Ltd.
Japan Medical Dynamic Marketing
Inc.
Japan Oil Transportation Co., Ltd.
#Japan Pulp and Paper Co., Ltd.
*Japan Servo Co., Ltd.
Japan Steel Tower Co., Ltd.
*Japan Steel Works, Ltd.
*#Japan Storage Battery Co., Ltd.
Japan Transcity Corp.
Japan Vilene Co., Ltd.
Japan Wool Textile Co., Ltd.
Jastec Co., Ltd.
Jeans Mate Corp.
*#Jeol, Ltd.
*Jidosha Denki Kogyo Co., Ltd.
Joban Kosan Co., Ltd.
Joint Corp.
*#Joshin Denki Co., Ltd.
#Jsp Corp.
*#Jujiya Co., Ltd.
*#Juki Corp.
*Jyomo Co., Ltd.
K.R.S. Corp.
Kabuki-Za Co., Ltd.
Kadokawa Holdings, Inc.
#Kaga Electronics Co., Ltd.
Kagawa Bank, Ltd.
Kahma Co., Ltd.
#Kaken Pharmaceutical Co., Ltd.
*Kakuei (L.) Corp.
*Kamagai Gumi Co., Ltd.
Kameda Seika Co., Ltd.
Kamei Corp.
Kanaden Corp.
Kanagawa Chuo Kotsu Co., Ltd.
</Table>
123,000
123,000
173,000
32,000
49,000
11,000
175,000
18,000
224,000
34,000
28,000
24,000
35,600
537,957
229,109
289,071
127,392
130,195
26,616
591,216
46,183
210,665
221,969
179,985
522,644
349,109
49,200
107,816
26,000
17,500
27,000
205,588
100,826
115,376
18,700
45,000
179,000
24,000
19,000
461,000
187,000
79,000
101,000
138,000
8,000
12,740
97,000
34,000
101,000
24,900
98,000
29,000
202,000
153,000
48,000
10,600
15,000
27,000
33,000
83,350
46,000
118,000
100,000
87,800
19,000
47,000
43,000
90,000
243,141
85,875
612,902
39,226
30,533
488,276
367,102
163,020
350,438
614,902
124,105
100,273
706,775
58,364
128,187
297,836
231,757
240,961
119,887
502,922
45,581
109,175
542,367
727,265
561,952
418,577
419,595
586,121
913
130,674
123,174
235,601
184,533
549,763
SHARES
--------------<C>
43,000
110,000
402,500
38,000
60,000
78,000
83,000
VALUE+
--------------<C>
$
194,741
110,482
602,721
409,076
121,074
626,735
312,993
104,000
19,100
28,000
46,000
132,000
17,000
49,000
51,000
82,000
48,600
76,000
471,001
118,590
67,239
149,525
614,682
45,480
325,712
454,027
163,221
44,375
138,787
143
<Page>
<Table>
<Caption>
<S>
#Kanamoto Co., Ltd.
*Kanebo, Ltd.
*#Kanematsu Corp.
Kanematsu Electronics, Ltd.
*Kanematsu-NNK Corp.
Kanto Auto Works, Ltd., Yokosuka
#Kanto Denka Kogyo Co., Ltd.
Kanto Natural Gas Development
Co., Ltd.
*#Kanto Tsukuba Bank, Ltd.
Kasai Kogyo Co., Ltd.
Kasei (C.I.) Co., Ltd.
#Kasumi Co., Ltd.
Katakura Chikkarin Co., Ltd.
#Katakura Industries Co., Ltd.
Kato Sangyo Co., Ltd.
#Kato Works Co., Ltd.
*Katsumura Construction Co., Ltd.
Kawada Industries, Inc.
*#Kawai Musical Instruments
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Manufacturing Co., Ltd.
*Kawasaki Kasei Chemicals, Ltd.
Kawashima Textile Manufacturers,
Ltd.
*Kawasho Corp.
Kawasho Gecoss Corp.
Kawasumi Laboratories, Inc.
*Kawatetsu Systems, Inc.
#Keihin Co., Ltd.
Keiiyu Co., Ltd.
Keiyo Co., Ltd.
*Kenwood Corp.
#Key Coffee, Inc.
Kibun Food Chemifa Co., Ltd.
*Kimmon Manufacturing Co., Ltd.
*Kimura Chemical Plants Co., Ltd.
Kinki Coca-Cola Bottling Co., Ltd.
*Kinki Nippon Tourist Co., Ltd.
Kinki Sharyo Co., Ltd., Nagaokakyo
*#Kinsho Corp.
*#Kinugawa Rubber Industrial Co., Ltd.
Kioritz Corp.
#Kishu Paper Co., Ltd.
Kisoji Co., Ltd.
*#Kitagawa Iron Works Co., Ltd.
Kita-Nippon Bank, Ltd.
Kitano Construction Corp.
Kitazawa Sangyo Co., Ltd.
Kitz Corp.
Koa Corp.
#Koatsu Gas Kogyo Co., Ltd.
Kobayashi Yoko Co., Ltd.
Kodensha Co., Ltd.
Koekisha Co., Ltd.
#Kohnan Shoji Co., Ltd.
Kohsoku Corp.
Koike Sanso Kogyo Co., Ltd.
Koito Industries, Ltd.
#Kojima Co., Ltd.
*Kokune Corp.
Kokusai Kogyo Co., Ltd.
Komai Tekko, Inc.
*Komatsu Electronics Metals Co., Ltd.
Komatsu Seiren Co., Ltd.
Komatsu Wall Industry Co., Ltd.
Konaka Co., Ltd.
Konami Sports Corp.
Kondotec, Inc.
Konishi Co., Ltd.
Kosaido Co., Ltd.
*Kosei Securities Co., Ltd.
Kumiai Chemical Industry Co., Ltd.,
Tokyo
Kurabo Industries, Ltd.
#Kurimoto, Ltd.
Kuroda Electric Co., Ltd.
Kurosaki Harima Corp.
Kyoden Co., Ltd.
Kyodo Printing Co., Ltd.
#Kyodo Shiryo Co., Ltd.
Kyoei Sangyo Co., Ltd.
#Kyoei Tanker Co., Ltd.
Kyokuto Boeki Kaisha, Ltd.
Kyokuto Kaihatsu Kogyo Co., Ltd.
Kyokuyo Co., Ltd.
#Kyoritsu Maintenance Co., Ltd.
Kyosan Electric Manufacturing
Co., Ltd.
Kyoto Kimono Yuzen Co., Ltd.
Kyowa Electronic Instruments
Co., Ltd.
Kyowa Leather Cloth Co., Ltd.
Kyudenko Corp.
#Laox Co., Ltd.
*Lonseal Corp.
*#Look, Inc.
#MR Max Corp.
*Macnica, Inc.
Maeda Road Construction Co., Ltd.
Maezawa Industries, Inc.
Maezawa Kaisei Industries Co., Ltd.
Maezawa Kyuso Industries Co., Ltd.
*Magara Construction Co., Ltd.
Makino Milling Machine Co., Ltd.
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
99,000
36,000
146,439
23,996
126,000
549,000
45,000
26,000
112
100,000
7,300
139,900
50,000
33,000
35,000
41,000
27,000
86,000
133,000
101,000
21,000
83,000
96,000
125,000
22,000
124,000
8,506
97,000
17,500
234,000
58,000
78,000
8,000
14,000
4,900
20,590
6,700
30,000
31,000
40,000
42,000
47,000
53,000
39,600
53,000
14,000
29,700
35,300
12,500
28,000
34,000
137,000
141,508
977,493
152,849
159,295
153,397
146,092
49,791
504,570
111,852
445,946
374,224
34,441
33,775
568,517
307,241
267,440
39,308
157,633
173,557
197,453
271,987
183,419
358,041
150,566
28,123
303,397
415,723
240,011
138,861
36,815
107,378
303,248
45,515
36,980
97,370
238,495
383
144,622
106,465
350,731
136,468
180,625
200,947
551,482
62,774
220,124
305,789
283,957
$
108,000
306,000
166,000
18,000
96,000
68,000
112,000
145,000
44,000
53,000
36,000
38,300
167,000
15,400
165,668
455,424
307,688
581,812
128,853
329,693
329,292
148,283
102,447
81,300
82,177
300,749
230,250
224,701
78,000
79
240,723
152,922
30,000
32,000
103,000
21,000
18,000
50,000
56,300
25,700
105,000
27,700
20,600
10,000
61,000
114,000
67,385
146,092
411,925
40,650
13,148
279,401
178,379
667,609
525,384
123,679
239,443
71,950
52,356
538,148
*Mamiya-Op Co., Ltd.
Marche Corp.
Mars Engineering Corp.
Marubeni Construction Material
Lease Co., Ltd.
Marubun Corp.
Marudai Food Co., Ltd.
*Maruei Department Store Co., Ltd.
Maruha Corp.
*Maruishi Cycle Industries, Ltd.
#Marusan Securities Co., Ltd.
Maruwa Co., Ltd.
Maruwn Corp.
Maruya Co., Ltd.
Maruyama Manufacturing Co., Inc.
*#Maruzen Co., Ltd.
Maruzen Co., Ltd.
Maruzen Showa Unyu Co., Ltd.
</Table>
58,000
6,100
13,000
88,970
52,968
613,678
28,000
37,800
164,000
72,000
434,000
33,000
106,000
13,000
44,000
14,000
73,000
179,000
13,000
122,000
37,071
200,183
268,042
95,982
534,971
13,258
544,905
141,728
108,072
93,316
89,317
258,236
53,771
272,918
SHARES
--------------<C>
27,000
27,000
40,000
37,000
74,000
20,000
189,077
69,000
21,700
378,050
55,000
47,000
29,000
38,000
9,000
34,000
15,000
55,000
9,000
212,000
60,000
13,200
VALUE+
--------------<C>
$
263,787
185,637
111,030
102,027
310,811
422,754
685,387
590,961
202,496
780,125
32,140
128,744
82,615
451,753
74,123
273,192
33,966
76,333
244,065
425,858
444,302
338,075
30,000
36,700
49,000
12,000
262,900
40,000
63,000
47,000
241,000
117,000
406,000
61,000
310,000
82,000
369,248
539,844
91,718
79,985
355,270
81,081
151,287
191,399
235,455
152,767
548,649
388,212
761,414
137,016
253,000
153,000
58,000
97,000
8,800
90,000
225,000
116,000
204,000
49,000
76,000
52,100
16,000
90,000
83,000
120,000
50,000
165,000
288,760
444,248
690,048
365,787
70,146
107,652
149,973
216,070
454,492
236,678
417,750
620,805
49,671
138,879
300,110
225,712
137,874
567,979
144
<Page>
<Table>
<Caption>
<S>
Maspro Denkoh Corp.
Matsuda Sangyo Co., Ltd.
Matsui Construction Co., Ltd.
Matsuo Bridge Co., Ltd.
#Matsuya Co., Ltd.
Matsuya Foods Co., Ltd.
Matsuzakaya Co., Ltd.
*#Max Co., Ltd.
*#Megachips Corp.
*#Meidensha Corp.
*Meiji Machine Co., Ltd.
Meiji Shipping Co., Ltd.
*Meisei Industrial Co., Ltd.
#Meito Sangyo Co., Ltd.
Meito Transportation Co., Ltd.
Meiwa Estate Co., Ltd.
Meiwa Industry Co., Ltd.
*Meiwa Trading Co., Ltd.
Melco Holdings, Inc.
Mercian Corp.
Mikuni Coca-Cola Bottling Co., Ltd.
#Milbon Co., Ltd.
#Mimasu Semiconductor Industry
Co., Ltd.
Ministop Co., Ltd.
Mirai Group Co., Ltd.
Miroku Jyoho Service Co., Ltd.
*Misawa Homes Holdings, Inc.
#Misawa Resort Co., Ltd.
*Mito Securities Co., Ltd.
Mitsuba Corp.
*Mitsubishi Cable Industries, Ltd.
*Mitsubishi Kakoki Kaisha, Ltd.
*#Mitsubishi Paper Mills, Ltd.
Mitsubishi Pencil Co., Ltd.
#Mitsubishi Plastics, Inc.
Mitsubishi Shindoh Co., Ltd.
#Mitsubishi Steel Manufacturing Co.,
Ltd.
Mitsuboshi Belting, Ltd.
#Mitsui High-Tec, Inc.
Mitsui Home Co., Ltd.
*Mitsui Knowledge Industry Co., Ltd.
*#Mitsui Matsushima Co., Ltd.
*Mitsui Mining Co., Ltd.
#Mitsui Sugar Co., Ltd.
#Mitsui-Soko Co., Ltd.
Mitsumura Printing Co., Ltd.
Mitsuuroko Co., Ltd.
Miura Co., Ltd.
Miura Printing Corp.
Miyaji Engineering Group
Miyazaki Bank, Ltd.
#Miyoshi Oil & Fat Co., Ltd.
#Miyuki Keori Co., Ltd.
Mizuno Corp.
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
*Momiji Holdings, Inc.
Morinaga & Co., Ltd.
*Morishita Jinton Co., Ltd.
Morita Corp.
#Moritex Corp.
Morozoff, Ltd., Osaka
Mory Industries, Inc.
Mos Food Services, Inc.
Moshi Moshi Hotline, Inc.
*Mutoh Industries, Ltd.
Mutow Co., Ltd.
Myojo Foods Co., Ltd.
#NAC Co., Ltd.
NEC Infrontia Corp.
#NEC System Integration &
Construction, Ltd.
*#NEC Tokin Corp.
Nabtesco Corp.
#Nachi-Fujikoshi Corp.
#Nagano Bank, Ltd.
*Nagano Japan Radio Co., Ltd.
#Nagatanien Co., Ltd.
*Naigai Co., Ltd.
Nakabayashi Co., Ltd.
#Nakamuraya Co., Ltd.
*#Nakano Corp.
*Nakayama Steel Works, Ltd.
Nakayo Telecommunications, Inc.
Neturen Co., Ltd., Tokyo
New Japan Radio Co., Ltd.
Nichia Steel Works, Ltd.
Nichias Corp.
#Nichiban Co., Ltd.
*Nichiboshin, Ltd.
Nichiha Corp.
#Nichimo Co., Ltd.
*#Nichimo Corp.
#Nichireki Co., Ltd.
#Nichiro Corp.
Nidec Tosok Corp.
Nihon Dempa Kogyo Co., Ltd.
Nihon Eslead Corp.
Nihon Inter Electronics Corp.
Nihon Kagaku Sangyo Co., Ltd.
*Nihon Kentetsu Co., Ltd.
Nihon Kohden Corp.
Nihon Matai Co., Ltd.
Nihon Nohyaku Co., Ltd.
Nihon Parkerizing Co., Ltd.
*Nihon Seiko Co., Ltd.
Nihon Shokuh Kako Co., Ltd.
Nihon Spindle Manufacturing Co., Ltd.
Nihon Tokushu Toryo Co., Ltd.
#Nikken Chemicals Co., Ltd.
Nikkiso Co., Ltd.
Nikko Co., Ltd., Akashi
*Nippei Toyama Corp.
*Nippon Avionics Co., Ltd.
Nippon Beet Sugar Manufacturing
Co., Ltd.
*#Nippon Carbide Industries Co., Inc.,
Tokyo
*#Nippon Carbon Co., Ltd.
#Nippon Ceramic Co., Ltd.
Nippon Chemical Industrial Co., Ltd.
Nippon Chemi-Con Corp.
</Table>
190
340,000
19,800
59,000
15,000
50,000
66,000
47,000
7,250
61,000
38,000
25,000
13,000
167,000
$
400,749
589,847
72,316
197,170
142,440
89,938
131,373
392,668
509,724
128,104
126,991
63,002
96,859
419,330
53,000
86,000
210,000
433,000
122,000
27,000
56,000
109,000
76,000
85,000
66,000
165,000
16,000
52,000
48,000
52,900
237,000
58,000
1,190
64,980
54,000
85,000
44,000
289,000
13,000
28,000
9,500
27,000
14,000
27,000
85,000
50,000
103,000
92,000
11,000
26,000
56,000
35,000
130,000
107,000
52,000
34,000
19,000
396,339
467,221
1,106,373
933,053
364,262
35,007
406,501
84,596
114,500
211,103
65,687
335,966
59,021
206,063
538,203
138,143
627,557
156,227
1,087
741,645
90,230
48,119
146,238
337,765
182,798
440,248
166,545
165,175
43,718
32,295
558,026
90,394
184,332
400,694
27,721
48,667
72,096
127,831
377,465
385,911
142,440
62,400
31,748
216,000
327,392
101,000
177,000
32,000
131,000
159,000
101,443
226,260
281,958
424,626
598,137
SHARES
--------------<C>
49,000
44,000
65,000
30,000
43,000
159,000
81,000
90,000
VALUE+
--------------<C>
$
137,801
74,726
73,594
190,376
31,017
251,160
303,232
262,966
145
<Page>
<Table>
<Caption>
<S>
*Nippon
Nippon
*Nippon
Nippon
*Nippon
#Nippon
#Nippon
Nippon
Chemiphar Co., Ltd.
Chutetsukan KK
Concrete Industries Co., Ltd.
Conlux Co., Ltd.
Conveyor Co., Ltd.
Denko Co., Ltd.
Densetsu Kogyo Co., Ltd.
Denwa Shisetu Co., Ltd.
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Nippon Felt Co., Ltd.
#Nippon Fine Chemical Co., Ltd.
Nippon Flour Mills Co., Ltd.
*Nippon Foil Mfg., Co., Ltd.
*Nippon Formula Feed Manufacturing
Co., Ltd.
Nippon Gas Co., Ltd.
Nippon Hume Corp.
#Nippon Kanzai Co., Ltd.
*#Nippon Kasei Chemical Co., Ltd.
*Nippon Kinzoku Co., Ltd.
Nippon Koei Co., Ltd., Tokyo
Nippon Konpo Unyu Soko Co., Ltd.
*Nippon Koshuha Steel Co., Ltd.
*#Nippon Metal Industry Co., Ltd.
*Nippon Pigment Co., Ltd.
Nippon Pillar Packing Co., Ltd.
*Nippon Piston Ring Co., Ltd.
Nippon Road Co., Ltd.
#Nippon Seiki Co., Ltd.
Nippon Seisen Co., Ltd.
#Nippon Sharyo, Ltd.
Nippon Shinpan Co., Ltd.
Nippon Shinyaku Co., Ltd.
Nippon Signal Co., Ltd.
Nippon Soda Co., Ltd.
#Nippon Synthetic Chemical Industry
Co., Ltd.
Nippon System Development Co.,
Ltd.
Nippon Systemware Co., Ltd.
Nippon Thompson Co., Ltd.
Nippon Tungsten Co., Ltd.
Nippon Valqua Industries, Ltd.
*Nippon Yakin Kogyo Co., Ltd.
*Nippon Yusoki Co., Ltd.
Nishimatsuya Chain Co., Ltd.
*Nishishiba Electric Co., Ltd.
*#Nissan Diesel Motor Co., Ltd.
Nissei Plastic Industrial Co., Ltd.
*Nisseki House Industry Co., Ltd.
#Nissha Printing Co., Ltd.
#Nisshin Fire & Marine Insurance
Co., Ltd.
#Nisshin Fudosan Co., Ltd.
Nissho Electronics Corp.
*Nissho Iwai-Nichmen Holdings Corp.
Nissin Co., Ltd.
Nissin Corp.
*Nissin Electric Co., Ltd.
Nissin Kogyo Co., Ltd.
Nissin Sugar Manufacturing Co., Ltd.
Nissui Pharmaceutical Co., Ltd.
*Nitchitsu Co., Ltd.
Nitta Corp.
Nittan Valve Co., Ltd.
Nittetsu Mining Co., Ltd.
*Nittetsu Steel Sheet Corp.
Nitto Boseki Co., Ltd.
Nitto Electric Works, Ltd.
#Nitto Flour Milling Co., Ltd.
Nitto Kohki Co., Ltd.
Nitto Seiko Co., Ltd.
Nitto Seimo Co., Ltd.
*#Nittoc Construction Co., Ltd.
Noda Corp.
Nohmi Bosai, Ltd.
Nomura Co., Ltd.
Noritake Co., Ltd.
#Nosan Corp.
O-M, Ltd.
*OKK Corp.
OSG Corp.
*Obayashi Road Corp.
Odakyu Construction Co., Ltd.
Odakyu Real Estate Co., Ltd.
Oenon Holdings, Inc.
*Ohki Corp.
*Ohmori Co., Ltd.
*Oie Sangyo Co., Ltd.
Oiles Corp.
Okabe Co., Ltd.
Okamoto Industries, Inc.
*Okamoto Machine Tool Works, Ltd.
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
28,000
40,000
186,000
21,000
84,368
147,188
660,647
26,844
100,000
62,000
43,000
27,200
154,000
93,000
107,000
92,000
151,000
230,000
11,000
15,000
104,000
147,000
76,000
39,000
215,000
213,000
73,000
109,000
177,000
133,309
524,781
82,843
396,377
179,985
106,145
218,846
600,621
147,526
201,607
25,612
79,711
149,087
241,600
507,962
85,464
437,774
472,599
407,259
501,607
399,187
152,000
312,272
32,100
20,000
77,000
24,000
119,000
117,500
49,000
30,600
28,000
284,000
14,000
260,000
81,000
556,592
163,440
510,427
41,636
235,783
171,658
103,798
849,379
35,793
536,779
70,307
2,374
959,989
201,000
11,700
23,000
68,000
149,800
150,000
134,000
22,500
74,000
20,000
14,000
42,000
18,000
118,000
84,000
364,000
59,000
54,000
25,000
56,000
32,000
61,000
1,300
59,000
26,000
178,000
201,000
46,000
101,000
86,000
65,000
29,000
58,000
74,000
73,000
184,000
400
30,000
29,000
212,000
33,000
477,173
96,574
191,107
317,275
600,458
291,728
349,927
498,197
120,270
105,004
17,513
518,481
47,663
276,899
152,630
422,096
426,662
114,883
380,752
70,051
94,668
144,814
5,045
262,893
99,945
576,972
350,539
57,542
94,065
627,411
115,139
68,846
126,041
150,000
83,318
16,801
2,736
580,716
80,762
480,059
82,259
$
*Okaya Electric Industries Co., Ltd.
*Oki Electric Cable Co., Ltd.
Okinawa Electric Power Co., Ltd.
*Okuma and Howa Machinery, Ltd.
*#Okuma Corp.
#Okura Industrial Co., Ltd.
Okuwa Co., Ltd.
Olympic Corp.
*Omikenshi Co., Ltd.
*Ono Sokki Co., Ltd.
Organo Corp.
*Orient Watch Co., Ltd.
#Oriental Construction Co., Ltd.
Oriental Yeast Co., Ltd.
Origin Electric Co., Ltd.
Osaka Securities Finance Co., Ltd.
Osaka Steel Co., Ltd.
Osaki Electric Co., Ltd.
Oyo Corp.
#P.S. Mitsubishi Construction Co., Ltd.
PCA Corp.
Pacific Industrial Co., Ltd.
#Parco Co., Ltd.
*Pasco Corp.
*Patlite Corp.
*Penta-Ocean Construction Co., Ltd.
#Pentax Corp.
Petrolub International Co., Ltd.
Pigeon Corp.
Pilot Corp.
</Table>
16,000
56,000
20,000
69,000
163,000
96,000
59,000
31,000
53,000
43,000
101,000
12,000
39,000
34,000
54,000
54,000
52,000
56,000
40,000
35,000
6,500
68,000
82,000
111,500
5,000
379,000
180,000
12,900
37,000
32
34,332
95,617
547,845
88,833
363,148
699,489
588,276
389,198
26,132
133,492
415,915
4,492
159,533
219,485
239,628
111,432
412,126
267,422
260,409
143,809
57,569
197,443
414,792
335,966
87,655
352,977
747,809
53,004
422,297
92,038
SHARES
--------------<C>
8,800
41,000
48,000
7,260
26,000
143,000
230,000
VALUE+
--------------<C>
$
112,089
378,853
135,866
73,382
170,928
301,616
201,607
21,000
21,200
42,000
84,900
119,000
43,900
402,000
28,600
40,000
344,000
20,000
10,000
21,000
193,000
33,000
93,000
24,000
26,000
14,000
56,000
26,400
58
52,000
238,000
57,000
1,700
40,000
28,000
139,000
48,000
127,000
15,000
29,000
3,100
42,000
101,000
348,786
136,468
299,124
281,398
228,178
0
381,739
620,206
112,856
502,557
67,568
185,354
619,339
585,062
141,015
264,938
306,793
250,219
155,442
453,031
320,599
104,858
465,303
628,032
244,613
26,093
401,753
191,746
63,459
361,578
424,416
49,306
103,798
35,410
321,750
164,153
146
<Page>
<Table>
<Caption>
<S>
Piolax, Inc.
Pocket Card Co., Ltd.
#Pokka Corp.
Poplar Co., Ltd.
Posful Corp.
*#Press Kogyo Co., Ltd.
*#Prima Meat Packers, Ltd.
*#Privee Zurich Turnaround Group
Co., Ltd.
Pulstec Industrial Co., Ltd.
Q'Sai Co., Ltd.
Raito Kogyo Co., Ltd.
#Rasa Industries, Ltd.
*Real Property
*#Renown, Inc.
#Resorttrust Inc.
Rheon Automatic Machinery Co., Ltd.
Rhythm Watch Co., Ltd.
*Ricoh Elemex Corp.
Ricoh Leasing Co., Ltd.
Right On Co., Ltd.
Riken Corp.
Riken Keiki Co., Ltd.
Riken Technos Corp.
Riken Vitamin Co., Ltd.
#Ringer Hut Co., Ltd.
#Rock Field Co., Ltd.
Rohto Pharmaceutical Co., Ltd.
Roland Corp.
*Round One Corp.
#Royal Co., Ltd.
*Ryobi, Ltd.
Ryoden Trading Co., Ltd.
Ryosan Co., Ltd.
#Ryoyo Electro Corp.
#S Foods, Inc.
*S Science Co., Ltd.
S.T. Chemical Co., Ltd.
SMK Corp.
SNT Corp.
*SPC Electronics Corp.
SPK Corp.
SRL, Inc.
*SXL Corp.
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Saeki Kensetsu Kogyo Co., Ltd.
#Sagami Chain Co., Ltd.
Sagami Co., Ltd.
*Sailor Pen Co., Ltd.
#Saizeriya Co., Ltd.
Sakai Chemical Industry Co., Ltd.
Sakai Heavy Industries, Ltd.
*#Sakai Ovex Co., Ltd.
Sakata Inx Corp.
Sakata Seed
*Sakurada Co., Ltd.
Sala Corp.
San-Ai Oil Co., Ltd.
*#Sanix, Inc.
Sankei Building Co., Ltd.
Sanki Engineering Co., Ltd.
Sanko Co., Ltd.
Sanko Metal Industrial Co., Ltd.,
Tokyo
*#Sankyo Seiki Manufacturing Co., Ltd.
Sankyo Seiko Co., Ltd.
#Sankyu, Inc., Tokyo
Sanoh Industrial Co., Ltd.
Sanshin Electronics Co., Ltd.
Sanyo Denki Co., Ltd.
#Sanyo Electric Credit Co., Ltd.
Sanyo Engineering & Construction,
Inc.
Sanyo Industries, Ltd., Tokyo
#Sanyo Special Steel Co., Ltd.
*Sasebo Heavy Industries Co., Ltd.,
Tokyo
*Sata Construction Co., Ltd.,
Gumma
Sato Shoji Corp.
Satori Electric Co., Ltd.
*Sawafugji Electric Co., Ltd.
Secom Techno Service Co., Ltd.
#Seijo Corp.
Seika Corp.
*Seikitokyu Kogyo Co., Ltd.
*Seiko Corp.
Seiren Co., Ltd.
#Sekisui Jushi Co., Ltd.
Sekisui Plastics Co., Ltd.
Sekiwa Real Eastate, Ltd.
Sekiwa Real Estate Chubu, Ltd.
Senko Co., Ltd.
Senshukai Co., Ltd.
Shaddy Co., Ltd.
*#Shibaura Mechatronics Corp.
Shibusawa Warehouse Co., Ltd.
#Shibuya Kogyo Co., Ltd.
*#Shikibo, Ltd.
Shikoku Chemicals Corp.
Shikoku Coca-Cola Bottling Co., Ltd.
Shimizu Bank, Ltd.
Shin Nippon Air Technologies
Co., Ltd.
Shinagawa Refractories Co., Ltd.
*Shindengen Electric Manufacturing
Co., Ltd.
Shin-Etsu Polymer Co., Ltd.
Shinkawa, Ltd.
Shin-Keisei Electric Railway Co., Ltd.
Shinki Co., Ltd.
#Shinko Electric Co., Ltd.
Shinko Plantech Co., Ltd.
Shinko Shoji Co., Ltd.
Shin-Kobe Electric Machinery
Co., Ltd.
Shinmaywa Industries, Ltd.
*#Shinsho Corp.
*#Shinwa Kaiun Kaisha, Ltd.
Shinyei Kaisha
Shiroki Co., Ltd.
Shizuki Electric Co., Inc.
#Sho-Bond Corp.
</Table>
71,000
37,000
51,000
44,000
78,100
141,000
60,000
85,000
92,000
17,900
38,000
41,000
98,000
28,600
69,000
105,000
2,000
54,000
76,000
86,000
415,000
53,000
45,000
65,000
43,100
147
<Page>
<Table>
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
64,180
305,743
185,802
161,505
738,071
503,388
104,638
124,954
299,050
186,322
29,839
163,970
284,551
228,497
207,277
533,053
10,409
$
84,806
482,286
261,487
439,554
239,545
255,159
148,968
639,889
21,000
48,000
207,000
57,524
115,705
291,070
201,000
167,011
61,000
31,000
10,400
31,000
10,500
8,000
145,000
86,000
102,407
81,000
59,000
126,000
16,000
7,000
205,000
70,000
27,000
71,000
94,000
54,000
155,000
89,000
31,000
12,600
54,584
117,184
125,347
58,026
278,031
89,116
197,270
83,236
532,980
454,849
251,580
281,866
115,267
29,081
514,746
734,387
254,912
536,130
189,682
461,998
178,324
316,116
307,679
587,893
31,180
82,000
119,573
163,970
106,000
111,000
21,000
45,000
61,000
257,000
27,000
29,000
281,647
687,162
396,914
145,864
215,550
650,009
27,365
155,962
71,000
148,000
110,000
238,000
54,000
132,000
23,000
39,100
223,658
436,487
168,736
339,007
78,890
272,389
48,512
193,501
<Caption>
<S>
Shobunsha Publications, Inc.
*#Shochiku Co., Ltd.
#Shoei Co., Ltd.
Shoei Foods Corp.
Shoko Co., Ltd.
Shokusan Bank, Ltd.
Showa Aircraft Industry Co., Ltd.
*#Showa Electric Wire & Cable
Co., Ltd., Kawasaki
#Showa Highpolymer Co., Ltd.
Showa Mining Co., Ltd.
#Showa Sangyo Co., Ltd.
Showa Tansan Co., Ltd.
#Siix Corp.
Silver Ox Inc.
*#Silver Seiko, Ltd.
Sinanen Co., Ltd.
Sintokogio, Ltd., Nagoya
Snow Brand Seed Co., Ltd.
Soda Nikka Co., Ltd.
*#Sodick Co., Ltd.
*Software Research Associates, Inc.
#Sogo Medical Co., Ltd.
*Sokkisha Co., Ltd.
Sonton Food Industry Co., Ltd.
#Sorun Corp.
Sotetsu Rosen Co., Ltd.
Sotoh Co., Ltd.
Space Co., Ltd.
Star Micronics Co., Ltd.
Starzen Corp.
Stella Chemifa Corp.
Subaru Enterprise Co., Ltd.
Sumida Corp.
*Suminoe Textile Co., Ltd.
*Sumitomo Coal Mining Co., Ltd.
Sumitomo Densetsu Co., Ltd.
*#Sumitomo Light Metal Industries, Ltd.
*#Sumitomo Mitsui Construction Co., Ltd.
Sumitomo Pipe & Tube Co., Ltd.
Sumitomo Precision Products Co.,
Ltd., Amagasaki City
#Sumitomo Seika Chemicals Co., Ltd.
#Sumitomo Special Metals Co., Ltd.
Sumitomo Warehouse Co., Ltd.
*Sun Wave Corp.
SunTelephone Co., Ltd.
#Suruga Corp.
*Suzutan Co., Ltd.
#Sysmex Corp.
#T.Hasegawa Co., Ltd.
*#TC Properties Co., Ltd.
*#TC Properties Co., Ltd.
*TCM Corp.
*TDF Corp.
TKC Corp.
TOC Co., Ltd.
TYK Corp.
Tabai Espec Corp.
Tachihi Enterprise Co., Ltd.
Tachikawa Corp.
Tachi-S Co., Ltd.
Tadano, Ltd.
Taihei Dengyo Kaisha, Ltd.
*#Taihei Kogyo Co., Ltd.
*Taiheiyo Kouhatsu, Inc.
Taiho Kogyo Co., Ltd.
Taikisha, Ltd.
Taisei Rotec Corp.
*Taisei U-lec Co., Ltd.
#Taito Co., Ltd.
Taito Corp.
#Taiyo Toyo Sanso Co., Ltd.
Takada Kiko Co., Ltd.
*Takagi Securities Co., Ltd.
Takamatsu Corp.
Takano Co., Ltd.
*Takaoka Electric Manufacturing Co.,
Ltd., Tokyo
*Taka-Q Co., Ltd.
SHARES
--------------<C>
25,000
99,000
14,900
14,000
156,000
52,000
22,000
VALUE+
--------------<C>
$
315,011
629,145
166,795
55,606
199,416
175,676
72,745
270,000
67,000
36,000
282,000
21,000
6,000
30,000
87,000
160,000
70,000
16,000
35,000
64,000
6,200
8,800
40,000
15,000
41,000
44,000
12,000
9,400
59,000
126,000
14,000
36,000
17,600
95,000
90,500
50,700
493,000
413,600
35,000
318,024
167,011
43,718
584,496
58,099
94,777
66,289
36,541
672,023
194,942
48,941
59,441
447,042
40,646
239,847
54,054
114,637
223,868
273,996
98,393
60,681
338,851
195,581
178,707
104,200
509,423
142,257
49,580
134,712
567,184
302,118
71,905
66,000
102,000
76,000
172,000
62,000
44,000
11,000
62,000
23,700
35,900
144,650
579,000
146,000
11,000
39,500
80,000
67,000
34,000
17,000
14,000
21,100
161,000
55,000
114,000
90,000
30,000
97,000
110,000
134,000
70,000
410
232,000
31,000
94,000
19,500
15,000
177,776
239,354
834,113
457,013
218,517
167,933
130,570
72,462
516,111
409,743
843,968
0
274,617
39,271
517,554
431,702
122,964
355,460
357,789
69,029
146,421
495,407
151,662
118,663
69,850
245,435
1,078,762
163,714
196,987
171,932
535,336
648,210
125,393
225,731
338,294
186,267
156,000
34,500
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
$
182,323
34,336
Takara Printing Co., Ltd.
*Takarabune Corp.
Takasago International Corp.
Takasago Thermal Engineering Co.,
Ltd.
*Takashima & Co., Ltd.
Takigami Steel Construction Co., Ltd.
Takiron Co., Ltd.
Takuma Co., Ltd.
Tamura Corp.
*Tamura Electric Works, Ltd.
Tanseisha Co., Ltd.
#Tasaki Shinju Co., Ltd.
Tateho Chemical Industries Co., Ltd.
Tatsuta Electric Wire & Cable
Co., Ltd.
Taya Co., Ltd.
Tayca Corp.
*Teac Corp.
Techno Ryowa, Ltd.
Tecmo, Ltd.
Teikoku Hormone Manufacturing
Co., Ltd.
#Teikoku Piston Ring Co., Ltd.
Teikoku Sen-I Co., Ltd.
Teikoku Tsushin Kogyo Co., Ltd.
Tekken Corp.
Ten Allied Co., Ltd.
Tenma Corp.
Teraoka Seisakusho Co., Ltd.
Tetra Co., Ltd., Tokyo
*The Daito Bank, Ltd.
#The Nisshin Oillio Group, Ltd.
Three F Co., Ltd.
Tigers Polymer Corp.
*Titan Kogyo KK
#Toa Corp.
#Toa Doro Kogyo Co., Ltd.
Toa Oil Co., Ltd.
*Toabo Corp.
Toagosei Co., Ltd.
*Tobu Store Co., Ltd.
</Table>
6,000
26,000
136,000
44,047
237
490,504
106,000
60,000
18,000
98,000
108,000
93,000
74,000
26,000
53,000
26,500
582,652
97,516
72,316
304,237
565,048
332,871
233,784
81,428
157,761
69,928
106,000
5,000
74,000
88,000
16,400
22,000
141,308
42,458
191,216
123,740
66,636
226,187
33,000
42,000
39,000
73,000
194,000
37,000
41,000
29,000
41,000
114,000
196,000
5,300
16,000
36,000
247,000
65,000
145,000
73,000
292,719
71,000
237,135
145,727
123,567
249,954
258,619
131,757
390,084
278,031
75,247
236,286
486,779
30,004
56,099
46,019
279,657
118,700
206,538
34,660
553,258
116,043
SHARES
--------------<C>
51,000
68,000
57,000
185,000
101,000
21,000
35,000
98,000
44,000
156,000
63,000
24,000
24,800
VALUE+
--------------<C>
$
128,059
283,747
107,734
554,054
300,639
49,470
261,733
365,979
335,464
253,543
120,225
98,174
396,501
17,000
36,000
54,000
253,000
108,000
333,000
15,000
88,000
47,000
366,250
189,000
119,000
39,000
129,000
61,200
42,997
31,227
84,806
630,652
437,838
91,216
31,090
323,010
42,485
792,561
471,120
208,619
101,488
347,471
390,603
63,000
13,000
230,670
64,217
148
<Page>
<Table>
<Caption>
<S>
Tochigi Fuji Industrial Co., Ltd.
Toda Kogyo Corp.
#Todentu Corp.
Toei Co., Ltd.
Toenec Corp.
Tohcello Co., Ltd.
Toho Co., Ltd.
Toho Real Estate Co., Ltd.
#Toho Titanium Co., Ltd.
Toho Zinc Co., Ltd.
Tohoku Bank, Ltd.
Tohoku Misawa Homes Co., Ltd.
Tohoku Pioneer Corp.
Tohoku Telecommunications
Construction Co., Ltd.
*Tohpe Corp.
Tohto Suisan Co., Ltd.
#Tokai Carbon Co., Ltd.
*#Tokai Corp.
*#Tokai Kanko Co., Ltd.
*Tokai Konetsu Kogyo Co., Ltd.
#Tokai Pulp & Paper Co., Ltd.
*Tokai Senko KK, Nagoya
*Tokai Tokyo Securities Co., Ltd.
#Tokico, Ltd.
*Tokimec, Inc.
Toko Electric Corp.
#Toko, Inc.
Tokushima Bank, Ltd.
Tokushu Paper Manufacturing
Co., Ltd.
Tokyo Biso Kogyo Corp.
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
#Tokyo Denpa Co., Ltd.
Tokyo Dome Corp.
Tokyo Energy & Systems, Inc.
Tokyo Kikai Seisakusho, Ltd.
Tokyo Leasing Co., Ltd.
Tokyo Nissan Auto Sales Co., Ltd.
Tokyo Rakutenchi Co., Ltd.
*Tokyo Rope Manufacturing Co., Ltd.
Tokyo Sangyo Co., Ltd.
Tokyo Soir Co., Ltd.
*Tokyo Tekko Co., Ltd.
Tokyo Theatres Co., Inc., Tokyo
Tokyo Tomin Bank, Ltd.
Tokyotokeiba Co., Ltd.
#Tokyu Community Corp.
*#Tokyu Department Store Co., Ltd.
Tokyu Livable Inc.
Tokyu Recreation Corp.
Tokyu Store Chain Corp.
*#Tokyu Tourist Corp.
Toli Corp.
Tomato Bank, Ltd.
Tomen Electronics Corp.
Tomoe Corp.
*#Tomoegawa Paper Co., Ltd.
Tomoku Co., Ltd.
*Tomy Co., Ltd.
Tonami Transportation Co., Ltd.
Topcon Corp.
Topre Corp.
Topy Industries, Ltd.
#Torigoe Co., Ltd.
Torii Pharmaceutical Co., Ltd.
Torishima Pump Manufacturing Co.,
Ltd., Osaka
Tose Co., Ltd.
*#Toshiba Ceramics Co., Ltd.
#Toshiba Machine Co., Ltd.
#Toshiba Plant Kensetsu Co., Ltd.
#Toshiba Tungaloy Co., Ltd.
Tosho Printing Co., Ltd.
Totenko Co., Ltd.
Totetsu Kogyo Co., Ltd.
*Totoku Electric Co., Ltd., Tokyo
Tottori Bank, Ltd.
Touei Housing Corp.
Towa Corp.
Towa Meccs Corp.
*#Towa Real Estate Development Co.,
Ltd.
Toyo Bussan Co., Ltd.
*#Toyo Communication Equipment Co.,
Ltd.
*#Toyo Construction Co., Ltd.
#Toyo Corp.
#Toyo Electric Co., Ltd.
#Toyo Engineering Corp.
*Toyo Kanetsu KK
Toyo Kohan Co., Ltd.
#Toyo Radiator Co., Ltd.
*Toyo Securities Co., Ltd.
*Toyo Shutter Co., Ltd.
*Toyo Sugar Refining Co., Ltd.
Toyo Tire & Rubber Co., Ltd.
Toyo Wharf & Warehouse Co., Ltd.
*Trans Cosmos, Inc.
#Trusco Nakayama Corp.
Tsubaki Nakashima Co., Ltd.
Tsubakimoto Kogyo Co., Ltd.
Tsudakoma Corp.
*Tsugami Corp.
*Tsukamoto Co., Ltd.
Tsukishima Kikai Co., Ltd.
Tsurumi Manufacturing Co., Ltd.
#Tsutsumi Jewelry Co., Ltd.
#Tsutsunaka Plastic Industry Co., Ltd.
*Tsuzuki Denki Co., Ltd.
U-Shin, Ltd.
U.Store Co., Ltd.
Ube Material Industries, Ltd.
Uchida Yoko Co., Ltd.
Ueki Corp.
Unicafe, Inc.
Unimat Offisco Corp.
11,000
233,000
49,000
132,000
86,000
97,000
92,000
202,000
36,500
17,000
67,000
116,000
45,200
422,000
19,000
406,000
22,200
32,000
175,000
92,000
83,000
128,000
10,000
56,000
55,000
136,000
27,000
121,000
57,000
67,000
325,000
35,000
36,000
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
$
195,855
699,936
156,592
318,189
512,765
231,163
331,812
191,819
97,316
42,997
150,493
119,686
739,989
489,354
232,469
344,759
231,689
164,792
648,740
71,402
147,781
244,266
407,232
76,698
185,811
253,324
377,685
329,237
378,369
416,609
765,614
119,522
540,066
37,000
6,100
350,000
294,000
101,000
124,000
81,000
35,000
53,000
62,000
127,000
16,700
28,000
75,000
173,649
55,698
917,184
883,181
272,973
545,727
227,054
67,750
147,599
75,292
463,842
427,716
192,513
63,002
80,000
17,600
130,752
133,382
79,000
290,000
43,100
67,000
473,000
172,000
125,000
104,000
113,000
77,000
60,000
307,000
118,000
5,000
36,000
56,000
44,000
101,000
124,000
44,000
60,000
35,000
24,800
58,000
22,000
32,000
27,000
116,000
72,000
47,000
5,460
27,700
331,090
193,298
444,302
210,446
859,450
202,593
345,827
371,293
300,247
70,307
63,550
616,691
179,931
118,243
426,662
614,609
72,316
275,740
211,724
51,826
340,760
178,643
591,015
186,413
61,468
131,191
219,412
195,946
266,253
79,821
74,881
308,059
*#Unitika, Ltd.
*Utoc Corp.
Vital-Net, Inc.
Wakachiku Construction Co., Ltd.
#Wakamoto Pharmaceutical Co., Ltd.
Wakodo Co., Ltd.
</Table>
699,000
68,000
56,300
161,000
48,000
2,000
644,622
85,683
381,434
170,526
127,977
58,802
SHARES
--------------<C>
8,500
4,900
54,700
8,000
86,000
12,000
9,000
59,000
14,000
21,000
155,000
131,000
36,000
43,000
96,000
19,000
140,000
29,000
27,000
32,000
55,400
55,000
28,000
46,000
157,000
50,800
41,500
19,000
26,800
60,000
260,000
33,000
174,000
60,000
14,000
26,000
39,000
101,000
15,000
10,000
13,000
49,600
17,000
60,000
35,000
VALUE+
--------------<C>
$
116,417
49,125
341,126
9,934
628,981
239,956
41,499
206,328
104,821
222,425
254,748
156,693
127,210
164,116
679,328
57,597
250,548
410,957
96,393
267,641
213,972
274,197
351,534
335,592
496,001
199,916
386,884
93,682
182,305
441,563
496,165
60,866
182,706
95,325
34,003
124,635
87,244
364,271
365,687
77,611
16,381
389,481
283,126
580,716
54,328
---------------
149
<Page>
<Table>
<Caption>
<S>
#Warabeya Nichiyo Co., Ltd.
*Watabe Wedding Corp.
#Watami Food Service Co., Ltd.
*Wondertable, Ltd.
Wood One Co., Ltd.
Xebio Co., Ltd.
*Yachiyo Musen Denki Co., Ltd.
Yahagi Construction Co., Ltd.
#Yaizu Suisankagaku Industry Co., Ltd.
Yamaichi Electronics Co., Ltd.
Yamamura Glass Co., Ltd.
*Yamatane Corp.
Yamato Corp.
Yamato International, Inc.
Yamato Kogyo Co., Ltd.
Yamaura Corp.
Yamazen Co., Ltd.
Yaoko Co., Ltd.
Yasuda Warehouse Co., Ltd.
Yellow Hat, Ltd., Tokyo
Yokogawa Bridge Corp.
Yokohama Reito Co., Ltd.
Yokowo Co., Ltd.
#Yomeishu Seizo Co., Ltd.
Yomiuri Land Co., Ltd.
Yondenko Corp.
#Yonekyu Corp.
Yonex Co., Ltd.
Yorozu Corp.
Yoshimoto Kogyo Co., Ltd.
#Yuasa Corp.
Yuasa Funashoku Co., Ltd.
*#Yuasa Trading Co., Ltd.
*#Yuken Kogyo Co., Ltd.
Yuki Gosei Kogyo Co., Ltd.
Yukiguni Maitake Co., Ltd.
Yuraku Real Estate Co., Ltd.
Yurtec Corp.
#Yushin Precision Equipment Co., Ltd.
Yushiro Chemical Industry Co., Ltd.
*Z-Plus Co., Ltd.
Zenrin Co., Ltd.
Zensho Co., Ltd.
#Zeria Pharmacetical Co., Ltd.
i-LOGISTICS Corp.
TOTAL COMMON STOCKS
(Cost $408,723,841)
275,907,310
---------------
INVESTMENT IN CURRENCY -- (0.3%)
*Japanese Yen
(Cost $1,045,277)
1,046,719
---------------
<Caption>
FACE
AMOUNT
-----(000)
<S>
RIGHTS/WARRANTS -- (0.0%)
*BSL Corp. Rights 01/30/04
*Kanematsu Corp. Warrants 03/31/06
<C>
$
TOTAL RIGHTS/WARRANTS
(Cost $0)
VALUE+
-----<C>
3,950
20,125
$
0
0
--------------0
---------------
TOTAL -- JAPAN
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
(Cost $409,769,118)
276,954,029
---------------
TEMPORARY CASH
INVESTMENTS -- (22.6%)
Repuchase Agreement, PNC Capital
Markets, Inc. 0.82%, 12/01/03
(Collateralized by $7,330,000 FHLB
Notes 1.875%, 02/15/05, valued at
$7,384,975) to be repurchased at
$7,275,497 (Cost $7,275,000)
Repurchase agreement, Mizuho
Securities USA, 1.05%, 12/01/03
(Collateralized by $123,762,000 U.S. Treasury Obligations, rates ranging
from 2.711% to 10.375%, maturities ranging from 08/15/05 to 02/15/29, valued
at $73,726,806)
to be repurchased at $73,733,257
(Cost $73,726,806)~
7,275
7,275,000
73,727
73,726,806
---------------
TOTAL TEMPORARY CASH
INVESTMENTS
(Cost $81,001,806)
81,001,806
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $490,770,924)++
$
357,955,835
===============
</Table>
---------+ See Note B to Financial Statements.
~ Security purchased with cash proceeds from securities on loan
* Non-Income Producing Securities
# Total or Partial Securities on Loan
++ The cost for federal income tax purposes is $493,603,890
See accompanying Notes to Financial Statements.
150
<Page>
THE PACIFIC RIM SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2003 SHARES VALUE+
<Table>
<Caption>
<S>
AUSTRALIA -- (28.0%)
COMMON STOCKS -- (28.0%)
*A.I., Ltd.
A.P. Eagers, Ltd.
*AAV, Ltd.
ABC Learning Centres, Ltd.
ADCorp Australia, Ltd.
AJ Lucas Group, Ltd.
APN News & Media, Ltd.
ARB Corporation, Ltd.
*AV Jennings Homes, Ltd.
Abigroup, Ltd.
*Adsteam Marine, Ltd.
Adtrans Group, Ltd.
*Agenix, Ltd.
Alesco Corp., Ltd.
Altium
Amalgamated Holdings, Ltd.
*Amity Oil NL
*Amrad Corp., Ltd.
*Anateus Energy, Ltd.
*Arc Energy NL
Ariadne Australia, Ltd.
Aspen Group, Ltd.
Atlas Pacific, Ltd.
*AuIron Energy, Ltd.
Ausdrill, Ltd.
Ausmelt, Ltd.
Auspine, Ltd.
*Austal, Ltd.
*Austar United Communications, Ltd.
*Austral Coal, Ltd.
Australian Agricultural Co., Ltd.
*#Australian Magnesium Corp., Ltd.
SHARES
--------------<C>
129,195
25,283
50,200
133,000
116,497
35,900
1
116,670
170,028
73,710
342,628
29,000
149,379
86,411
162,100
195,483
222,481
135,523
193,687
129,400
270,353
15,795
82,585
260,290
115,992
36,118
42,618
356,800
730,792
285,300
155,000
332,383
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
VALUE+
--------------<C>
$
14,023
118,916
57,393
324,325
85,140
57,150
3
280,282
227,610
211,746
414,035
77,642
76,744
368,909
63,340
459,717
157,767
64,722
13,034
86,143
73,360
1,714
13,147
11,677
62,109
24,306
95,599
227,199
200,944
146,574
128,982
18,519
#Australian Pharmaceutical Industries,
Ltd.
*Australian Worldwide Exploration,
Ltd.
*Auto Group, Ltd.
*#Autron Corporation, Ltd.
Bank of Queensland, Ltd.
Beach Petroleum NL
*Beaconsfield Gold NL
*Bendigo Mining NL
*Beyond International, Ltd.
*Biota Holdings, Ltd.
Blackmores, Ltd.
Brazin, Ltd.
Bridgestone Australia, Ltd.
Burswood, Ltd.
CMI, Ltd.
*CPI Group, Ltd.
Cabcharge Austalia, Ltd.
Campbell Brothers, Ltd.
*Cape Range Wireless, Ltd.
Capral Aluminium, Ltd.
Casinos Austria International, Ltd.
Cedar Woods Properties, Ltd.
*Cellestis, Ltd.
Cellnet Telecommunications Group,
Ltd.
*Centamin Egypt, Ltd.
#Centennial Coal, Ltd.
Central Equity, Ltd.
*Charter Pacific Corp., Ltd.
*Charters Towers Gold Mines, Ltd.
*#Chemeq, Ltd.
*Chiquita Brands South Pacific, Ltd.
*Circadian Technologies, Ltd.
Citect Corp., Ltd.
Clough, Ltd.
#Coates Hire, Ltd.
#Collection House, Ltd.
Colorado Group, Ltd.
Commander Communications, Ltd.
Consolidated Minerals, Ltd.
*Coplex Resources NL
*Count Financial, Ltd.
Coventry Group, Ltd.
Crane Group, Ltd.
Croesus Mining NL
Danks Holdings, Ltd.
Devine, Ltd.
*Dominion Mining, Ltd.
*Emporer Mines, Ltd.
*Energy Developments, Ltd.
*Energy World Corp., Ltd.
*Environmental Solutions International,
Ltd.
Equigold NL
Evans & Tate, Ltd.
FKP, Ltd.
Fantastic Holdings, Ltd.
Fleetwood Corp., Ltd.
*Forest Place Group, Ltd.
Freedom Group, Ltd.
*Funtastic, Ltd.
GRD NL
GUD Holdings, Ltd.
*Gale Pacific, Ltd.
Gazal Corp., Ltd.
*Geo2, Ltd.
*Globe International, Ltd.
*Gold Aura
*Golden West Refining Corp., Ltd.
*Goldstream Mining NL
Gowing Bros., Ltd.
*Gradipore, Ltd.
#Graincorp, Ltd. Series A
#Grand Hotel Group
#Great Southern Plantations, Ltd.
Green's Foods, Ltd.
*Gympie Gold, Ltd.
*HPAL, Ltd.
*Hamilton Island, Ltd.
Hancock and Gore, Ltd.
</Table>
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
287,700
566,248
308,100
41,309
989,247
506
1,814,501
89,078
1,712,123
61,256
97,808
27,894
98,875
49,000
784,148
32,784
68,585
196,800
86,099
619,912
28,943
258,299
50,913
37,209
254,153
18,533
218,325
3,442
446,410
13,214
253,973
14,184
35,387
160,060
100,164
89,350
658,195
47,919
46,650
441,454
376,299
18,391
50,682
130,834
51,577
38,502
$
91,100
996,437
447,647
129,405
72,823
258,700
120,000
113,500
40,370
109,822
817,737
472,004
176,200
135,243
106,600
251,658
231,400
171,200
58,612
83,106
798,235
10,425
168,183
168,015
120,600
164,549
325,630
63,283
230,727
800,075
180,720
24,240
42,119
465,419
72,273
55,502
103,307
420,117
976,810
214,197
351,324
84,849
172,995
15,070
91,671
235,384
541,219
392,770
86,072
76,669
80,240
63,704
301,241
6,598
67,364
225,700
62,500
142,602
133,100
47,464
85,192
201,879
94,900
379,594
114,428
34,400
71,177
2,526
327,400
2,635
17,330
90,901
58,624
86,855
78,059
383,087
366,530
66,082
302,445
88,900
52,600
66,108
12,795
251,507
54,270
242,489
359,240
191,645
29,898
306,767
140,773
521,881
509,220
61,483
133,909
356
111,346
343
4,514
35,519
104,354
28,910
781,166
182,953
403,136
45,426
109,425
91,346
126,364
81,321
151
<Page>
<Table>
<Caption>
<S>
*#Hardman Resources NL
*Health Communication Network, Ltd.
Healthscope, Ltd.
*Henry Walker Eltin Group, Ltd.
*Herald Resources, Ltd.
Hills Industries, Ltd.
*Horizon Oil NL
Housewares International, Ltd.
*Hutchison Telecommunications
(Australia), Ltd.
IInet, Ltd.
ION, Ltd.
Infomedia, Ltd.
Institute of Drug Technology Australia,
Ltd.
*Integrated Group, Ltd.
*Intellect Holdings, Ltd.
Investor Group, Ltd.
*Iress Market Technology, Ltd.
*Ixla, Ltd.
*JDV, Ltd.
#Jones (David), Ltd.
Jubilee Mines NL
K&S Corp., Ltd.
*Kagara Zinc, Ltd.
Kaz Group, Ltd.
*Keycorp, Ltd.
*Kimberley Diamond Co. NL
Kingsgate Consolidated NL
Kresta Holdings, Ltd.
Lemarne Corp., Ltd.
*LionOre Mining International, Ltd.
MYOB, Ltd.
MacArthur Coal, Ltd.
*MacMahon Holdings, Ltd.
Magellan Petroleum Australia, Ltd.
*Magnesium International, Ltd.
Maryborough Sugar Factory, Ltd.
*Matrix Oil NL
MaxiTRANS Industries, Ltd.
#McGuigan Simeon Wines, Ltd.
McPherson's, Ltd.
*Metabolic Pharmaceuticals, Ltd.
*Metal Storm, Ltd.
Mia Group, Ltd.
Miller's Retail, Ltd.
*Mincor Resources NL
Monadelphous Group, Ltd.
*Mosaic Oil NL
Namoi Cotton Cooperative, Ltd.
National Can Industries, Ltd.
*Norwood Abbey, Ltd.
*Novogen, Ltd.
*Novus Petroleum, Ltd.
*Oakton, Ltd.
#Oamps, Ltd.
*#Orbital Engine Corp., Ltd.
OrotonGroup, Ltd.
*PMP, Ltd.
Pacific Hydro, Ltd.
*Pan Pacific Petroleum NL
Pan Pharmaceuticals, Ltd.
*Payce Consolidated, Ltd.
*#Peptech, Ltd.
*Perilya Mines NL
*Perseverance Corp., Ltd.
*Petsec Energy, Ltd.
*Plantcorp NL
Plaspak Group, Ltd.
*#Polartechnics, Ltd.
*Port Douglas Reef Resorts, Ltd.
Portman, Ltd.
*PowerTel, Ltd. Series B
*Precious Metals Australia, Ltd.
*Preston Resources NL
Primary Health Care, Ltd.
SHARES
--------------<C>
717,859
106,000
131,852
287,948
69,910
263,845
752,832
280,209
VALUE+
--------------<C>
$
363,610
84,372
287,178
191,690
35,411
714,034
49,027
527,174
1,065,400
65,200
342,085
598,900
215,858
155,690
566,849
368,359
44,372
55,000
403,028
48,637
81,000
89,921
84,981
658,594
224,549
86,000
120,700
1,315,977
67,609
182,966
132,456
56,700
20,790
25,842
470,141
101,500
192,179
32,760
656,061
600
557,000
157,528
253,183
67,828
700,000
406,669
237,000
462,814
73,400
18,988
387,324
142,585
97,017
99,000
176,419
288,634
62,800
173,075
537,358
38,427
455,871
370,312
327,800
322,766
18,000
281,015
263,500
199,493
97,992
4,329
97,158
43,405
251,655
343,890
4,416,871
10,606
64,000
190,663
61,004
61,687
137,066
95,023
147,115
1,497
33,821
657,650
653,184
151,218
89,959
233,299
60,663
129,746
397,757
24,617
34,600
140,250
340,194
85,931
42,413
30,817
29,908
2,605
17,734
90,050
881,207
200,738
476,128
144,190
114,900
602,806
39,834
64,577
60,257
38,175
98,984
95,993
920,405
261,069
54,530
403,263
64,157
174,342
395,842
798,514
22,296
280,264
26,050
325,348
202,109
48,358
61,689
0
64,679
25,754
19,120
373,258
118,254
560
12,504
689,818
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
$
Prime Television, Ltd.
*Primelife Corp., Ltd.
*Progen Industries, Ltd.
Programmed Maintenance Service,
Ltd.
Queensland Cotton Holdings, Ltd.
*Quiktrak Networks P.L.C.
Entitlement Shares
*Quiktrak Networks, Ltd.
*RG Capital Radio, Ltd.
Ramsay Health Care, Ltd.
*Raptis Group, Ltd.
Rebel Sport, Ltd.
Reece Australia, Ltd.
*Reinsurance Australia Corp., Ltd.
*#Resolute Mining, Ltd.
Ridley Corp., Ltd.
*Roc Oil Co., Ltd.
Rock Building Society, Ltd.
*SDI, Ltd.
*SP Telecommunications, Ltd.
SPC Ardmona, Ltd.
STW Communications Group, Ltd.
Schaffer Corp., Ltd.
Select Harvests, Ltd.
*Senetas Corp., Ltd.
Servcorp, Ltd.
*Silex System, Ltd.
Skilled Engineering, Ltd.
*Solution 6 Holdings, Ltd.
Southern Cross Broadcasting
(Australia), Ltd.
*#Southern Pacific Petroleum NL
Southern Star Group, Ltd.
*St. Barbara Mines, Ltd.
Star Games, Ltd.
*Straits Resources, Ltd.
*Strategic Minerals Corp. NL
*Striker Resources NL
Sunland Group, Ltd.
Sydney Aquarium, Ltd.
*Sydney Gas, Ltd.
Symex Holdings, Ltd.
Tandou, Ltd.
*Tap Oil, Ltd.
Technology One, Ltd.
</Table>
172,440
85,867
24,788
305,705
170,245
27,622
119,230
39,866
224,314
92,599
23,875
740,124
45,370
177,900
12,000
88,284
159,501
399,993
287,264
582,631
170,700
11,373
18,432
136,396
337,984
231,843
33,766
44,886
240,406
156,000
235,100
144,962
402,138
0
2,678
91,923
565,117
2,996
201,229
865,611
118,668
286,852
493,262
176,631
27,322
145,378
136,201
349,728
536,837
345,728
180,261
11,829
188,512
151,405
251,747
186,232
149,270
698,740
187,907
375,500
132,410
56,534
358,100
435,484
75,095
49,135
153,800
163,000
3,410
193,100
587,800
1,177,327
118,818
99,258
20,107
129,346
40,499
85,510
17,646
59,773
170,659
91,257
141,536
3,578
202,604
208,413
SHARES
--------------<C>
184,359
948,383
780,300
455,148
250,258
50,000
153,000
238,000
5,400
72,048
23,774
181,293
138,399
13,680
256,924
463,964
134,700
436,313
142,891
268,273
125,700
22,304
129,518
131,342
33,551
385,787
VALUE+
--------------<C>
$
192,099
432,337
299,251
461,083
201,006
15,196
19,374
766,364
6,682
93,841
129,021
102,323
395,575
9,404
362,525
5,036
120,861
584,074
51,698
190,240
109,148
38,250
53,420
365,900
16,023
6,002
26,958
132,646
152
<Page>
<Table>
<Caption>
<S>
#Tempo Service, Ltd.
Thakral Holdings Group
The Gribbles Group, Ltd.
Ticor, Ltd.
#Timbercorp, Ltd.
*Titan Resources NL
*Tooth & Co., Ltd.
Transfield Services, Ltd.
Triako Resources, Ltd.
Troy Resources NL
Trust Company of Australia, Ltd.
UXC, Ltd.
United Group, Ltd.
*VeCommerce, Ltd.
*Ventracor, Ltd.
*Victoria Petroleum NL
Villa World, Ltd.
*#Village Roadshow, Ltd.
*Virotec International NL
Vision Systems, Ltd.
Volante Group, Ltd.
Waterco, Ltd.
Watpac, Ltd.
Wattyl, Ltd.
*Webster, Ltd.
*Western Metals, Ltd.
Wide Bay Capricorn Building Society,
Ltd.
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
*Yates, Ltd.
60,281
TOTAL COMMON STOCKS
(Cost $41,066,672)
2,574
--------------48,601,616
---------------
PREFERRED STOCKS -- (0.0%)
*Village Roadshow, Ltd. 2% Class A
(Cost $59,969)
55,477
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar
(Cost $30,010)
44,559
--------------31,136
---------------
RIGHTS/WARRANTS -- (0.0%)
*Amity Oil, Ltd. Options 09/04/04
*Axon Instruments, Inc. Options
Open Pay Date
*Geo2, Ltd. Rights
*Metal Storm, Ltd. Options 09/06/04
*Progen Industries, Ltd. Options
1
0
16,148
1,684
1
3,098
0
0
0
0
---------------
TOTAL RIGHTS/WARRANTS
(Cost $98)
0
---------------
TOTAL -- AUSTRALIA
(Cost $41,156,749)
48,677,311
---------------
SINGAPORE -- (26.1%)
COMMON STOCKS -- (26.0%)
ASA Group Holdings, Ltd.
*Acma, Ltd.
*Airocean Group, Ltd.
*Alliance Technology & Development,
Ltd.
#Amtek Engineering, Ltd.
Apollo Enterprises, Ltd.
Armstrong Industrial Corp.
Ascott Group, Ltd.
*Aussino Group, Ltd.
Benjamin (F.J.) Holdings, Ltd.
#Beyonics Technology, Ltd.
Blu Inc. Group, Ltd.
Bonvests Holdings, Ltd.
Brilliant Manufacturing, Ltd.
Bukit Sembawang Estates, Ltd.
*CK Tang, Ltd.
#CSE Global, Ltd.
CWT Distribution, Ltd.
Central Properties, Ltd.
Ch Offshore, Ltd.
Chemical Industries (Far East), Ltd.
*China Merchants Holdings Pacific,
Ltd.
Chip Eng Seng Corp., Ltd.
Chosen Holdings, Ltd.
Chuan Hup Holdings, Ltd.
Chuan Soon Huat Industrial Group,
Ltd.
Clipsal Industries Holdings, Ltd.
*Compact Metal Industries, Ltd.
Cosco Corp. Singapore, Ltd.
Courts Singapore, Ltd.
#ECS Holdings, Ltd.
*Eagle Brand Holdings, Ltd.
#Eastern Asia Technology, Ltd.
*Eastgate Technology, Ltd.
*Econ International, Ltd.
Eng Wah Organisation, Ltd.
*Freight Links Express Holdings, Ltd.
Frontline Technologies Corp., Ltd.
#Fu Yu Manufacturing, Ltd.
Fuji Offset Plates Manufacturing, Ltd.
GB Holdings, Ltd.
GK Goh Holdings, Ltd.
GP Industries, Ltd.
#Ges International, Ltd.
*Goodpack, Ltd.
#Guocoland, Ltd.
HTL International Holdings, Ltd.
Ho Bee Investment, Ltd.
Hong Fok Corp., Ltd.
Hong Leong Asia, Ltd.
*Horizon Education & Technologies,
Ltd.
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
586,000
3,040,700
1,017,000
103,676
167,564
162,232
156,000
597,625
193,000
1,460,000
1,807,250
38,000
1,095,000
3,272,600
729,000
825,000
829,000
71,334
614,000
984,000
461,500
66,000
823,200
105,910
9,502
537,333
59,056
122,801
440,302
12,124
161,971
541,029
109,947
220,138
319,786
595,857
140,685
373,869
145,899
750,383
174,293
64,507
$
479,000
1,775,000
829,000
4,116,000
144,485
169,889
137,051
1,134,101
614,000
351,542
643,000
2,783,000
495,000
1,375,000
3,390,000
1,368,600
870,000
2,267,000
265,000
1,648,000
1,974,000
1,291,000
33,750
200,000
1,120,000
1,132,000
2,077,000
587,000
1,215,000
1,177,500
761,000
1,796,000
1,048,000
108,630
458,820
24,244
960,535
157,925
315,052
226,142
389,005
105,979
59,176
35,355
95,596
188,936
531,701
7,244
75,990
581,465
584,412
765,056
275,807
789,364
659,130
110,359
302,125
1,124,646
988,000
134,681
Hotel Grand Central, Ltd.
Hotel Plaza, Ltd.
#Hotel Properties, Ltd.
Hour Glass, Ltd.
Huan Hsin Holdings, Ltd.
Hup Seng Huat, Ltd.
Hwa Hong Corp., Ltd.
#IDT Holdings, Ltd.
*Inno-Pacific Holdings, Ltd.
Innovalues Precision, Ltd.
International Factors (Singapore), Ltd.
*Internet Technology Group, Ltd.
*Interra Resources, Ltd.
</Table>
875,280
1,189,000
1,393,000
298,000
964,400
900,200
2,488,000
514,000
680,000
165,000
290,000
874,408
185,430
192,936
368,993
832,283
91,617
643,336
88,771
837,069
596,315
17,750
172,282
73,176
40,578
26,353
SHARES
--------------<C>
292,500
122,500
509,000
2,733,000
132,500
112,000
VALUE+
--------------<C>
$
87,381
225,257
103,340
1,284,126
60,335
184,510
1,133,000
4,012,500
736,090
512,060
1,571,000
19,000
868,000
2,281,200
1,494,000
7,107,100
2,943,000
745,000
1,265,000
526,000
1,477,000
129,000
372,000
1,134,030
99,000
1,453,000
583,000
770,044
18,736
118,323
1,376,194
112,662
61,840
904,793
159,897
172,441
36,614
68,541
12,347
85,236
197,346
76,953
324,496
300,983
588,000
2,094,000
2,256,960
957,000
1,159,000
540,000
586,000
1,084,022
930,000
708,000
734,000
4,088,000
1,624,000
916,000
459,750
1,129,000
266,000
284,832
1,231,000
857,000
1,254,000
288,995
454,000
838,406
66,000
101,000
1,295,000
1,307,000
94,500
1,446,000
1,540,935
139,250
748,000
95,503
139,687
929,534
149,885
366,406
209,870
424,904
257,813
582,626
82,138
253,335
296,417
579,354
140,807
78,673
294,706
115,725
1,239,176
385,598
621,404
167,305
219,606
23,702
221,283
344,564
1,758
146,483
68,234
82,774
620,702
223,464
107,431
151,863
153
<Page>
<Table>
<Caption>
<S>
*Intraco, Ltd.
Isetan (Singapore), Ltd.
JK Yaming International, Ltd.
#Jaya Holdings, Ltd.
Jurong Cement, Ltd.
Jurong Engineering, Ltd.
#Jurong Technologies Industrial Corp.,
Ltd.
*K1 Ventures, Ltd.
Keppel Telecommunications and
Transportation, Ltd.
Khong Guan Flour Milling, Ltd.
Kian Ann Engineering, Ltd.
Kim Eng Holdings, Ltd.
Koh Brothers, Ltd.
*L & M Group Investments, Ltd.
Labroy Marine, Ltd.
*Lantrovision (S), Ltd.
Lee Kim Tah Holdings, Ltd.
*Leong Hin Holdings, Ltd.
*Liang Huat Aluminum, Ltd.
*Lion Asiapac, Ltd.
Low Keng Huat Singapore, Ltd.
*Lum Chang Holdings, Ltd.
*MCL Land, Ltd.
#MMI Holdings, Ltd.
*Magnecomp International, Ltd.
*Manufacturing Integration Technology,
Ltd.
*Mediaring.Com, Ltd.
Metro Holdings, Ltd.
Multi-Chem, Ltd.
Nera Telecommunications, Ltd.
New Toyo Intenational Holdings, Ltd.
*#Norelco Centreline Holdings, Ltd.
*Orchard Parade Holdings, Ltd.
#Osim International, Ltd.
Ossia International, Ltd.
PCI, Ltd.
#PSC Corp., Ltd.
Pan-United Corp., Ltd.
*Pentex-Schweizer Circuits, Ltd.
Pertama Holdings, Ltd.
Popular Holdings, Ltd.
*Qian Hu Corp., Ltd.
Robinson & Co., Ltd.
Rotary Engineering, Ltd.
SBS Transit, Ltd.
SMB United, Ltd.
SNP Corp., Ltd.
*SP Corp., Ltd.
San Teh, Ltd.
Sea View Hotel, Ltd.
*Seatown Corp., Ltd.
*Sembawang Kimtrans, Ltd.
*Sin Soon Huat, Ltd.
Sing Investments & Finance, Ltd.
#Singapore Food Industries, Ltd.
Singapore Reinsurance Corp., Ltd.
Singapura Finance, Ltd.
*Singatronics, Ltd.
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Ssangyong Cement (Singapore), Ltd.
Stamford Land Corp., Ltd.
Straits Trading Co., Ltd.
*Sunright, Ltd.
Superbowl Holdings, Ltd.
Superior Metal Printing, Ltd.
*TSM Resources, Ltd.
*#TT International, Ltd.
*Tiong Woon Corp. Holding, Ltd.
*Transmarco, Ltd.
*Trek 2000 International, Ltd.
*Tuan Sing Holdings, Ltd.
UOB-Kay Hian Holdings, Ltd.
*Ultro Technologies, Ltd.
#Unisteel Technology, Ltd.
United Engineers, Ltd.
United Overseas Insurance, Ltd.
United Pulp & Paper Co., Ltd.
Vicom, Ltd.
WBL Corp., Ltd.
Wing Tai Holdings, Ltd.
*Xpress Holdings, Ltd.
*Yongnam Holdi
236,000
3,229,000
1,117,200
378,000
490,000
490,500
688,000
1,094,000
652,000
106,500
622,000
3,362,000
1,602,000
530,000
898,000
632,666
125,500
354,000
120,000
510,000
2,332,000
1,392,000
1,004,000
TOTAL COMMON STOCKS
(Cost $48,644,710)
161,539
458,899
1,172,985
130,464
57,558
73,977
153,650
218,937
198,559
60,233
198,443
214,523
873,521
61,488
656,341
590,858
235,869
80,085
60,212
875,679
1,068,657
64,597
23,296
---------------
$
45,150,959
---------------
INVESTMENT IN CURRENCY -- (0.1%)
*Singapore Dollars
(Cost $248,027)
247,996
---------------
RIGHTS/WARRANTS -- (0.0%)
*Acma, Ltd. Warrants 11/16/04
(Cost $0)
236,300
TOTAL -- SINGAPORE
(Cost $48,892,737)
1,371
--------------45,400,326
---------------
HONG KONG -- (25.2%)
COMMON STOCKS -- (25.2%)
ABC Communications (Holdings),
Ltd.
ALCO Holdings, Ltd.
*APT Satellite Holdings, Ltd.
Aeon Credit Service (Asia) Co., Ltd.
*Allied Group, Ltd.
*Allied Properties, Ltd.
*Anex International Holdings, Ltd.
*Applied China, Ltd.
*Applied International Holdings, Ltd.
Arts Optical International Holdings,
Ltd.
Asia Aluminum Holdings, Ltd.
*Asia Commercial Holdings, Ltd.
Asia Financial Holdings, Ltd.
*Asia Logistics Technologies, Ltd.
*Asia Standard International Group,
Ltd.
*Asia Tele-Net & Technology Corp.,
Ltd.
Associated International Hotels, Ltd.
*Automated Systems Holdings, Ltd.
*Baltrans Holdings, Ltd.
*Beijing Development (Hong Kong),
Ltd.
</Table>
930,000
602,000
354,000
522,000
5,592,000
802,600
152,000
1,036,250
1,243,000
35,924
220,916
107,116
312,542
381,618
284,195
2,114
18,547
19,526
468,000
2,460,000
72,800
1,976,908
2,214,000
146,131
478,297
1,781
442,916
12,828
5,136,000
195,089
10,420,000
898,000
234,000
376,000
18,784
757,361
49,112
145,243
166,000
24,367
154
<Page>
<Table>
<Caption>
<S>
*Bossini International Holdings, Ltd.
Bright International Group, Ltd.
CCT Telecom Holdings, Ltd.
*CEC International Holdings, Ltd.
*CNT Group, Ltd.
*COSCO International Holdings, Ltd.
*Capital Prosper, Ltd.
*Capital Strategic Investment, Ltd.
*Cash Financial Services Group, Ltd.
SHARES
--------------<C>
228,750
302,000
472,970
210,000
3,078,000
2,573,600
480,000
122,000
13,509
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
VALUE+
--------------<C>
$
9,720
42,774
53,592
4,732
72,528
188,887
4,635
2,136
774
*Casil Telecommunications
Holdings, Ltd.
*Catic International Holdings, Ltd.
*Celestial Asia Securities Holdings,
Ltd.
*Central China Enterprises, Ltd.
#Champion Technology Holdings, Ltd.
Chen Hsong Holdings, Ltd.
*Cheuk Nang (Holdings), Ltd.
*Cheung Tai Hong Holdings, Ltd.
*Chevalier Construction Holdings, Ltd.
Chevalier International Holdings, Ltd.
*Chevalier Itech Holdings, Ltd.
*#China Aerospace International
Holdings, Ltd.
*China Bio-Medical Group Limited
*China City Natural Gas Holdings, Ltd.
*China Digicontent Co., Ltd.
*China Everbright International, Ltd.
*China Everbright Technology, Ltd.
*China Gas Holdings, Ltd.
China Hong-Kong Photo Products
Holdings, Ltd.
*China Investments Holdings, Ltd.
*China Motion Telecom International,
Ltd.
China Motor Bus Co., Ltd.
*China Nan Feng Group, Ltd.
China Online (Bermuda), Ltd.
China Rare Earth Holdings, Ltd.
#China Resources Land, Ltd.
China Resources Logic, Ltd.
*China Rich Holdings, Ltd.
*China Sci-Tech Holdings, Ltd.
*China Star Entertainment, Ltd.
*China Strategic Holdings, Ltd.
Chinney Investments, Ltd.
Chow Sang Sang Holdings
International, Ltd.
Chuangs China Investments, Ltd.
*Chuang's Consortium International,
Ltd.
Chun Wo Holdings, Ltd.
*Chung Tai Printing Holdings, Ltd.
City e Solutions, Ltd.
*#City Telecom (H.K.), Ltd.
*Climax International Co., Ltd.
*Coastal Greenland, Ltd.
*Compass Pacific Holdings, Ltd.
*Computer & Technologies Holdings,
Ltd.
Continental Holdings, Ltd.
*Continental Mariner Investment Co.,
Ltd.
#Coslight Technology International
Group, Ltd.
*Cosmos Machinery Enterprises, Ltd.
*Crocodile Garments, Ltd.
Cross Harbour Tunnel Co., Ltd.
*Culturecom Holdings, Ltd.
*DVN Holdings, Ltd.
*Dan Form Holdings Co., Ltd.
Daqing Petroleum &
Chemical Group, Ltd.
Dickson Concepts International, Ltd.
#Digital China Holdings, Ltd.
*Dynamic Global Holdings, Ltd.
Dynamic Holdings, Ltd.
*Easyknit International Holdings, Ltd.
*Eforce Holdings, Ltd.
Egana Jewelry and Pearls
#Eganagoldfeil Holdings Ltd.
Elec & Eltek International
Holdings, Ltd.
*Emperor International Holdings, Ltd.
*Extrawell Pharmaceutical
Holdings, Ltd.
*Ezcom Holdings, Ltd.
*Fairwood Holdings, Ltd.
Far East Consortium International,
Ltd.
*Far East Hotels & Entertainment, Ltd.
Far East Pharmaceutical Technology
Co., Ltd.
428,000
3,290,000
21,217
96,163
128,036
2,104,000
987,386
1,515,000
112,501
100,920
131,203
431,143
355,250
8,243
5,418
212,319
970,490
19,266
3,249
4,055
219,282
39,338
2,430,000
415,000
5,800,000
2,710,000
3,185,000
3,244,000
1,514,000
175,218
4,970
31,366
3,489
127,132
131,576
157,905
1,909,000
210,000
125,361
4,543
257,000
74,000
96,000
423,200
700,000
1,878,000
3,272,000
3,380,000
2,786,000
50,292
376,000
1,144,000
21,840
466,888
136
55,037
101,850
261,159
341,259
31,335
5,740
7,317
8,182
61,867
721,400
1,347,000
218,288
57,236
1,858,884
1,671,917
268,000
186,000
754,000
296,000
300,000
624,000
76,593
92,570
48,656
22,034
308,248
991
6,335
14,462
220,000
98,825
51,273
8,907
1,328,000
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
$
196,644
466,000
1,024,000
1,539,000
377,148
3,767,000
292,490
2,386,600
217,510
48,785
59,449
194,248
133,387
31,259
61,460
735,000
320,000
639,000
1,446,000
244,000
282,860
2,620,000
331,789
2,017,235
59,623
193,657
228,323
17,129
38,330
3,861
126,508
102,532
410,392
3,078,790
64,436
606,536
19,912
3,220,000
72,576
42,600
102,409
3,224
6,802
1,672,000
1,853,000
215,289
81,122
2,560,000
303,259
First Sign International Holdings, Ltd.
*Forefront International Holdings, Ltd.
*Foundation Group, Ltd.
*Founder Holdings, Ltd.
Four Seas Frozen Food Holdings, Ltd.
Four Seas Mercantile Holdings, Ltd.
*Fujian Group, Ltd.
*Fushan Holdings, Ltd.
GZI Transport, Ltd.
*GeoMaxima Energy Holdings, Ltd.
Global China Group Holdings, Ltd.
Global Green Tech Group, Ltd.
*#Global Tech (Holdings), Ltd.
Glorious Sun Enterprises, Ltd.
Gold Peak Industries (Holdings), Ltd.
*Goldbond Group Holdings, Ltd. New
Golden Resources Development
International, Ltd.
*Gold-Face Holdings, Ltd.
Goldlion Holdings, Ltd.
Golik Holdings, Ltd.
Good Fellow Group, Ltd.
*Gorient Holdings, Ltd.
*Great Wall Cybertech, Ltd.
Group Sense (International), Ltd.
Guangdong Brewery Holdings, Ltd.
*Guangnan Holdings, Ltd.
*HKR International, Ltd.
*Hang Fung Gold Technology, Ltd.
Hang Ten Group Holdings, Ltd.
</Table>
1,050,000
658,000
83,800
1,374,000
347,184
592,000
2,378,000
2,566,000
850,000
5,810,000
2,288,000
1,012,000
5,612,000
1,066,000
1,059,250
99,900
51,376
201,222
2,913
150,380
40,680
207,718
25,108
89,208
257,201
115,208
185,602
174,611
67,925
377,464
330,747
2,573
1,456,500
2,003,600
1,438,000
930,500
3,488,000
73,700
15,795,170
2,062,000
1,742,000
11,246,000
1,884,860
458,000
585,039
65,639
139,312
120,353
73,086
190,876
209
20,338
297,366
430,660
241,824
600,675
80,203
1,281
SHARES
--------------<C>
136,658
3,473,235
517,000
815,000
42,000
268,000
572,535
VALUE+
--------------<C>
$
34,313
36,225
532,557
396,150
34,611
39,684
94,362
512,000
48,785
970,000
671,300
1,130,000
61,200
674,212
72,750
1,834,000
1,682,000
660,265
936,000
1,569,658
1,344,000
256,000
1,383,000
854,000
4,028,486
91,600
466,157
1,794,000
2,640,000
2,036
3,009,831
2,404,949
264,000
180,400
545,600
488,000
86,194
223,074
29,756
154,266
66,697
59,704
4,615
15,849
3,409
606,894
20,758
23,409
102,794
186,961
12
430,180
185,799
4,453
25,551
11,662
152,376
858,600
886,000
304,000
1,000,000
90,655
54,189
59,889
79,832
1,404,200
1,058,750
2,198,000
22,058
456,692
6,792
155
<Page>
<Table>
<Caption>
<S>
Hanny Holdings, Ltd.
*Hansom Eastern Holdings, Ltd.
Harbour Centre Development, Ltd.
Henderson China Holdings, Ltd.
*Heng Fung Holdings, Ltd.
High Fashion International, Ltd.
*Hon Kwok Land Investment Co., Ltd.
Hong Kong Catering Management,
Ltd.
*Hong Kong Construction Holdings,
Ltd.
Hong Kong Ferry (Holdings) Co., Ltd.
*Hong Kong Parkview Group, Ltd.
*Hong Kong Pharmaceuticals
Holdings, Ltd.
Hongkong Chinese, Ltd.
*Hop Hing Holdings, Ltd.
Hopson Development Holdings, Ltd.
*Hsin Chong Construction Group, Ltd.
*Hualing Holdings, Ltd.
*Hudson Holdings, Ltd.
*Hycomm Wireless, Ltd.
*I-China Holdings, Ltd.
IDT International, Ltd.
*IMI Global Holdings, Ltd.
*ITC Corp., Ltd.
*Innomaxx Biotechnology Group, Ltd.
*Interchina Holdings Co., Ltd.
*Inworld Group, Ltd.
K Wah International Holdings, Ltd.
K. Wah Construction Materials, Ltd.
*KPI Co., Ltd.
KTP Holdings, Ltd.
*Kader Holdings Co., Ltd.
Karrie International Holdings, Ltd.
Keck Seng Investments (Hong Kong),
Ltd.
Kee-Shing Holdings Co., Ltd.
Kin Yat Hldgs
*King Fook Holdings, Ltd.
*King Pacific International Holdings,
Ltd.
#Kingmaker Footwear Holdings, Ltd.
*Kong Sun Holdings, Ltd.
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Kowloon Development Co., Ltd.
*Kwong Sang Hong International, Ltd.
Kwoon Chung Bus Holdings, Ltd.
*Lai Sun Development Co., Ltd.
*Lai Sun Garment (International), Ltd.
*Lam Soon (Hong Kong), Ltd.
*Le Saunda Holdings, Ltd.
*Leading Spirit High-Tech Holdings
Co., Ltd.
*Leaptek, Ltd.
Lerado Group (Holding) Co., Ltd.
*LifeTec Group, Ltd.
*Lippo, Ltd.
Liu Chong Hing Investment, Ltd.
Luks Industrial Group, Ltd.
Lung Kee (Bermuda) Holdings, Ltd.
*Mae Holdings, Ltd.
*Magnificent Estates, Ltd.
*Magnum International Holdings, Ltd.
Mainland Headwear Holdings, Ltd.
*Mansion House Group, Ltd.
*Matrix Holdings, Ltd.
*Mei Ah Entertainment Group, Ltd.
Melbourne Enterprises, Ltd.
Midland Realty (Holding), Ltd.
*Millennium Group, Ltd.
*Min Xin Holdings, Ltd.
*Morning Star Resources, Ltd.
Moulin International Holdings, Ltd.
Nanyang Holdings, Ltd.
*National Electronics Holdings, Ltd.
*New China Merchants Dichain
New Island Printing Holdings, Ltd.
*New World China Land, Ltd.
*New World Cyberbase, Ltd.
*#New World Infrastructure, Ltd.
*Newocean Green Energy Holdings,
Ltd.
#Ngai Lik Industrial Holdings, Ltd.
*Onfem Holdings, Ltd.
Orient Power Holdings, Ltd.
*Oriental Metals Holdings Co., Ltd.
Oriental Watch Holdings, Ltd.
Pacific Andes International Holdings,
Ltd.
Pacific Century Insurance Holdings,
Ltd.
*Pacific Plywood Holdings, Ltd.
Paul Y. ITC Construction Holdings,
Ltd.
Peace Mark Holdings, Ltd.
Pegasus International Holdings, Ltd.
Perfectech International Holdings, Ltd.
Pico Far East Holdings, Ltd.
Playmates Holdings, Ltd.
Pokfulam Development Co., Ltd.
*Poly Investments Holdings, Ltd.
Prime Success International Group,
Ltd.
#Proview International Holdings, Ltd.
*#QPL International Holdings, Ltd.
Quality Healthcare Asia, Ltd.
*Rainbow International Holdings, Ltd.
Raymond Industrial, Ltd.
*Regal Hotels International Holdings,
Ltd.
*Rexcapital International Holdings, Lt d.
*Riche Multi-Media Holdings, Ltd.
*Rivera Holdings, Ltd.
*Riverhill Holdings, Ltd.
Road King Infrastructure, Ltd.
Roadshow Holdings, Ltd.
S.A.S.Dragon Holdings, Ltd.
SA SA International Holdings, Ltd.
*SEEC Media Group, Ltd.
SNP Leefung Holdings, Ltd.
Safety Godown Co., Ltd.
Saint Honore Holdings, Ltd.
San Miguel Brewery Hong Kong, Ltd.
Sea Holdings, Ltd.
</Table>
156
<Page>
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
604,000
1,434,000
556,000
2,970,000
2,325,000
302,310
236,000
443,299
77,550
84,478
42,449
58,377
104,127
7,020
2,310,000
193,000
580,000
1,383,000
1,074,760
635,200
645,555
857,500
2,220,000
2,368,000
300,000
226,000
600,000
402,000
1,142,000
45,500
860,000
928,000
753,200
1,845,000
699,274
137,500
2,156,000
3,520,000
176,000
702,800
25,220
1,065,400
2,974
994
113,516
16,561
164,681
445,751
101,409
449,932
5,431
13,721
3,283
75,660
23,177
96,277
36,026
176,931
189,356
21,508
116,380
15,917
549,240
123,933
69,402
63,907
14,957
157,459
130
181,081
$
3,931,200
1,556,000
1,266,000
360,000
1,237,800
134,000
65,298
651,146
81,506
50,989
47,814
28,814
888,000
160,076
1,026,000
4,430,000
396,327
11,408
520,000
1,105,315
226,000
571,450
1,190,000
1,585,000
234,000
2,670,000
48,208
142,322
31,719
49,299
62,056
334,702
61,767
56,726
768,000
944,000
1,191,000
1,338,000
2,036
605,400
30,161
249,179
467,732
38,591
20
189,034
9,400,000
1,272,905
706,000
3,620,000
2,036
449,000
1,456,000
1,696,000
1,614,000
1,692,000
144,000
408,000
128,000
612,800
832,000
160,977
27,863
268,171
107,673
28
323,757
194,975
163,784
363,686
93,682
24,104
147,097
16,811
153,076
176,763
<Table>
<Caption>
<S>
*Seapower Resources International,
Ltd.
Shanghai Allied Cement, Ltd.
*Shanghai Century Holdings, Ltd.
*Shanghai Land Holdings, Ltd.
Shanghai Real Estates, Ltd.
Shaw Brothers Hong Kong, Ltd.
Shell Electric Manufacturing
(Holdings) Co., Ltd.
Shenyin Wanguo (Hong Kong), Ltd.
*Shenzhen International Holdings, Ltd.
Shougang Concord Century
Holdings, Ltd.
*Shougang Concord Grand (Group),
Ltd.
*Shougang Concord International
Enterprises Co., Ltd.
*Shougang Concord Technology
Holdings, Ltd.
*Shui On Construction & Materials, Ltd.
*Shun Ho Resources Holdings, Ltd.
*Shun Ho Technology Holdings, Ltd.
Silver Grant International Industries,
Ltd.
*Sincere Co., Ltd.
Singamas Container Holdings, Ltd.
*Sinocan Holdings, Ltd.
*Sino-i Technology, Ltd.
Sinolink Worldwide Holdings, Ltd.
Sinopec Kantons Holdings, Ltd.
*Skynet (International Group) Holdings,
Ltd.
*Softbank Investment International
(Strategic), Ltd.
*Solartech New Shares
*South China Brokerage Co., Ltd.
*South China Industries, Ltd.
Southeast Asia Properties &
Finance, Ltd.
Starlight International Holdings,
Ltd. (New)
Starlite Holdings, Ltd.
*Stelux Holdings International, Ltd.
*Styland Holdings, Ltd.
Sun Hing Vision Group Holdings, Ltd.
Sun Hung Kai & Co., Ltd.
*Sun Innovation Holdings, Ltd.
*Sun Media Group Holdings, Ltd.
*Sunday Communications, Ltd.
#Sunway International Holdings, Ltd.
*Suwa International Holdings, Ltd.
*TCC International Holdings, Ltd.
*Tack Hsin Holdings, Ltd.
Tai Cheung Holdings, Ltd.
Tai Fook Securities Group, Ltd.
Tai Sang Land Development, Ltd.
Tak Sing Alliance Holdings, Ltd.
#Tan Chong International, Ltd.
*Termbray Industries International
(Holdings), Ltd.
Tern Properties Co., Ltd.
*The Sun's Group, Ltd.
*Tian An China Investments Co., Ltd.
Tian Teck Land, Ltd.
#Tianjin Development Holdings, Ltd.
*Titan (Holdings), Ltd.
*Tomorrow International Holdings,
Ltd. New
#Top Form International, Ltd.
Tristate Holdings, Ltd.
Truly International Holdings, Ltd.
Tungtex (Holdings) Co., Ltd.
*Tysan Holdings, Ltd.
*U-Cyber Technology Holdings, Ltd.
U-Right International Holdings, Ltd.
USI Holdings, Ltd.
*United Power Investment, Ltd.
*Universal Holdings Ltd.
SHARES
--------------<C>
2,528,000
356,080
5,242,000
1,464,000
1,692,000
237,000
$
8,789
25,217
127,569
65,035
124,183
262,441
553,792
847,500
6,187,500
136,909
102,578
258,931
1,292,000
187,986
1,701,000
135,794
4,166,000
219,932
1,647,914
282,000
483,000
1,037,452
227,041
397,602
14,864
29,388
2,087,000
505,500
838,000
350,000
19,383,158
2,314,000
1,296,000
228,416
18,550
445,096
1,758
509,143
274,117
185,231
244,240
314
1,434,000
49,600
4,872,000
1,124,000
16,618
3,640
28,230
30,393
263,538
39,363
1,311,292
336,000
1,307,702
101,808
206,000
2,048,600
1,420,360
9,814,000
4,441,000
866,000
1,062,000
678,000
542,000
1,013,000
590,000
471,984
2,909,865
666,000
209,366
35,909
45,463
328
78,911
458,978
2,926
37,910
174,408
40,700
42,391
104,760
10,468
319,566
74,450
120,331
104,910
124,345
2,304,900
61,200
17,004,000
9,795,750
1,098,000
846,000
4,900,000
118,713
12,214
21,895
237,127
328,708
400,325
201,898
165,000
1,586,000
138,000
1,014,000
788,000
1,040,773
432,800
896,000
928,999
1,664,000
2,770,000
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
VALUE+
--------------<C>
$
20,821
238,932
32,873
940,060
306,928
23,050
10,644
48,455
101,676
28,925
11,413
*Universe International Holdings, Ltd.
Van Shung Chong Holdings, Ltd.
*Vanda Systems & Communications
Holdings, Ltd.
#Varitronix International, Ltd.
Veeko International Holdings, Ltd.
Victory City International Holdings, Ltd.
Vitasoy International Holdings, Ltd.
*Wah Ha Realty Co., Ltd.
*Wah Nam International
Wai Kee Holdings, Ltd.
*Wang ON Group Ltd New
Wellnet Holdings, Ltd.
*Winfoong International, Ltd.
Wing On Co. International, Ltd.
Wing Shan International, Ltd.
*Winsan China Investment Group, Ltd.
Wong's International (Holdings), Ltd.
*Wonson International Holdings, Ltd.
World Houseware (Holdings), Ltd.
*Xinao Gas Holdings, Ltd.
Y.T. Realty Group, Ltd.
YGM Trading, Ltd.
Yangtzekiang Garment Manufacturing
Co., Ltd.
*Yanion International Holdings, Ltd.
*Yaohan International Holdings, Ltd.
*Yau Lee Holdings, Ltd.
*Yip's Chemical Holdings, Ltd.
*Yugang International, Ltd.
*Yunnan Enterprises Holdings, Ltd.
*Zhu Kuan Development Co., Ltd.
*e-New Media Co., Ltd.
*eSun Holdings, Ltd.
573,339
359,335
13,879
84,209
1,920,000
276,344
1,420,000
509,613
1,033,000
278,600
38,696
1,265,738
46,440
2,059,200
1,210,000
565,000
896,000
1,296,000
400,641
4,040,000
605,700
1,094,000
965,000
228,000
212,611
291,776
32,546
231,305
264,691
47,352
1,246
161,348
5,083
159,087
26,019
451,051
49,032
10,847
60,357
12,485
25,737
584,589
55,915
130,641
405,000
118,000
974,000
534,000
372,000
11,916,000
240,000
646,000
320,000
653,600
85,523
6,229
0
18,565
87,177
90,525
14,524
28,281
10,054
19,777
---------------
TOTAL COMMON STOCKS
(Cost $65,181,292)
43,828,366
---------------
RIGHTS/WARRANTS -- (0.0%)
*Allied Properties, Ltd. Warrants
12/06/04
*Applied China, Ltd. Warrants 04/30/04
*Climax International Co., Ltd.
Warrants 02/08/04
*Goldbond Group Holdings, Ltd.
Rights 12/15/03
80,260
207,250
0
267
11,200
14
399,600
5,145
---------------
SHARES
--------------<C>
VALUE+
--------------<C>
</Table>
157
<Page>
<Table>
<Caption>
<S>
TOTAL RIGHTS/WARRANTS
(Cost $100,548)
$
5,426
---------------
INVESTMENT IN CURRENCY -- (0.0%)
*Hong Kong Dollars
(Cost $2,086)
2,086
---------------
TOTAL -- HONG KONG
(Cost $65,283,926)
43,835,878
---------------
NEW ZEALAND -- (9.3%)
COMMON STOCKS -- (9.3%)
*AFFCO Holdings, Ltd.
CDL Hotels NZ, Ltd.
CDL Investments NZ, Ltd.
Cavalier Corp., Ltd.
Colonial Motor Co., Ltd.
*Cue Energy Resources NL
DB Breweries, Ltd.
Ebos Group, Ltd.
*Evergreen Forests, Ltd.
*Fletcher Challenge Forests, Ltd.
Hallenstein Glassons Holdings, Ltd.
Hellaby Holdings, Ltd.
Horizon Energy Distribution, Ltd.
*Kingsgate International Corp., Ltd.
*Met Lifecare, Ltd.
1,640,950
1,243,344
286,445
249,212
93,695
452,354
312,589
82,808
323,301
475,200
206,438
179,079
40,420
479,679
234,168
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
241,168
317,796
53,081
883,810
170,032
16,476
1,557,991
169,324
92,964
397,781
397,057
550,410
92,465
73,563
329,190
#Michael Hill International, Ltd.
*New Zealand Oil & Gas, Ltd.
New Zealand Refining Co., Ltd.
Northland Port Corp. (New Zealand),
Ltd.
Nuplex Industries, Ltd.
*Pacific Retail Group, Ltd.
Port of Tauranga, Ltd.
Powerco, Ltd.
*Provenco Group, Ltd.
Pyne Gould Guinness, Ltd.
Restaurant Brand New Zealand, Ltd.
*Richina Pacific, Ltd.
*Rubicon, Ltd.
*Ryman Healthcare Group, Ltd.
Sanford, Ltd.
Scott Technology, Ltd.
*Seafresh Fisheries
*Sky City Leisure, Ltd.
South Port New Zealand, Ltd.
Steel & Tube Holdings, Ltd.
*Tasman Farms
Taylors Group, Ltd.
Tourism Holdings, Ltd.
*Trans Tasman Properties, Ltd.
*#Tranz Rail Holdings, Ltd.
Waste Management NZ, Ltd.
Williams & Kettle, Ltd.
Wrightson, Ltd.
137,246
420,122
72,719
403,417
96,644
760,200
219,997
229,674
194,156
541,952
728,453
281,600
146,734
369,175
274,6 44
395,021
300,000
340,412
54,083
80,520
15,236
30,744
303,825
157,056
29,646
278,652
1,921,308
674,271
349,572
38,372
478,020
411,890
610,523
303,958
1,423,310
837,859
79,174
117,203
261,850
59,669
194,360
406,400
1,161,563
115,772
1,441
10,904
28,486
722,210
0
42,244
254,621
441,973
641,974
862,225
118,674
415,415
---------------
TOTAL COMMON STOCKS
(Cost $12,215,156)
16,127,067
---------------
INVESTMENT IN CURRENCY -- (0.0%)
*New Zealand Dollar
(Cost $17,682)
17,615
---------------
TOTAL -- NEW ZEALAND
(Cost $12,232,838)
$
16,144,682
---------------
UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
*Exergy, Inc.
(Cost $0)
MALAYSIA -- (0.1%)
COMMON STOCKS -- (0.1%)
*Autoways Holdings Berhad
*Promet Berhad
*RNC Corp. Berhad
*Rekapacific Berhad
*Saship Holdings Berhad
*Versatile Creative Berhad
*Wing Tiek Holdings Berhad
7,260
0
---------------
10,000
1,143,000
33,000
473,000
223,520
3,000
95,800
3,395
87,229
3,561
0
52,351
6,947
22,437
---------------
TOTAL COMMON STOCKS
(Cost $1,278,766)
175,920
---------------
RIGHTS/WARRANTS -- (0.0%)
*Versatile Creative Rights Pay
Date Open
(Cost $0)
6,000
TOTAL -- MALAYSIA
(Cost $1,278,766)
0
--------------175,920
---------------
JAPAN -- (0.0%)
COMMON STOCKS -- (0.0%)
*Sansui Electric Co., Ltd.
(Cost $25,906)
252,000
50,621
---------------
<Caption>
<S>
TEMPORARY CASH
INVESTMENTS -- (11.3%)
Repurchase Agreement, PNC Capital Markets, Inc. 0.82%, 12/01/03
(Collateralized by $2,785,000 FHLB Notes 1.875%, 02/15/05, valued at
$2,805,888) to be repurchased at $2,764,189 (Cost $2,764,000)
Repurchase agreement, Mizuho Securities USA, 1.05%, 12/01/03
FACE
AMOUNT
--------------(000)
<C>
$
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
2,764
VALUE+
--------------<C>
2,764,000
(Collateralized by $17,176,000 U.S. Treasury Obligations, rates
ranging from 2.625% to 4.25%, maturities ranging from 11/15/06 to
11/15/13, valued at $16,983,984) to be repurchased at $16,985,470
(Cost $16,983,984)@
16,984
TOTAL TEMPORARY
CASH INVESTMENTS
(Cost $19,747,984)
16,983,984
--------------19,747,984
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $188,618,906)++
$
174,032,722
===============
</Table>
+
@
*
#
++
See Note B to Financial Statements.
Security purchased with cash proceeds from securities on loan
Non-Income Producing Securities
Total or Partial Securities on Loan
The cost for federal income tax purposes is $189,625,204.
158
<Page>
THE UNITED KINGDOM SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2003
<Table>
<Caption>
<S>
UNITED KINGDOM -- (98.0%)
COMMON STOCKS -- (96.7%)
4imprint P.L.C.
600 Group P.L.C.
AEA Technology P.L.C.
AGA Food Service Group P.L.C.
AIM Group P.L.C.
*API Group P.L.C.
Abacus Group P.L.C.
Abbeycrest P.L.C.
Abbot Group P.L.C.
Aberdeen Asset Management P.L.C.
*Aberdeen Asset Management P.L.C.
Acal P.L.C.
*Acambis P.L.C.
*Adam & Harvey Group P.L.C.
*Advanced Medical Solutions P.L.C.
*Advanced Power Components,
Ltd.
Aggreko P.L.C.
*Airflow Streamlines P.L.C.
Airsprung Furniture Group P.L.C.
Alba P.L.C.
Alexandra P.L.C.
Alexon Group P.L.C.
Alpha Airports Group P.L.C.
Alphameric P.L.C.
Alumasc Group P.L.C.
Alvis P.L.C.
Amberley Group P.L.C.
Amstrad P.L.C.
*Anglesey Mining P.L.C.
Anglo Eastern Plantations P.L.C.
*Anite Group P.L.C.
*Antisoma P.L.C.
*Applied Optical Technologies P.L.C.
*Arena Leisure P.L.C.
*Argonaut Games, Ltd.
Arla Foods UK P.L.C.
*Arm Holdings P.L.C.
Arriva P.L.C.
Ashtenne Holdings P.L.C.
Atkins Ws P.L.C.
Austin Reed Group P.L.C.
Autologic Holdings P.L.C.
Avesco P.L.C.
Aveva Group P.L.C.
Avis Europe P.L.C.
Avon Rubber P.L.C.
*Axis-Shield P.L.C.
Axon Group P.L.C.
SHARES
--------------<C>
50,375
100,910
31,245
76,000
32,063
51,500
75,000
42,590
103,595
100,000
125,050
13,671
61,000
10,500
29,802
47,871
158,000
20,500
58,000
105,025
86,243
116,632
392,541
172,688
100,245
191,010
200,000
149,652
55,000
57,166
250,000
163,333
75,383
350,516
100,000
742,432
127,000
37,770
50,000
63,000
68,999
17,489
29,998
10,000
362,720
25,041
58,284
19,756
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
VALUE+
--------------<C>
$
72,776
105,433
137,567
306,515
51,008
62,887
303,127
49,443
302,889
141,029
161,302
112,271
323,653
361
4,997
15,026
379,076
20,097
69,827
1,106,353
128,303
586,731
509,715
259,876
274,129
584,751
26,658
343,605
2,483
145,019
211,759
110,258
34,681
244,151
12,039
549,061
262,108
249,769
261,850
475,664
166,137
96,252
72,488
81,436
673,737
94,963
164,395
45,870
*BNB Resources P.L.C.
BPP Holdings P.L.C.
BSS Group P.L.C.
*BTG P.L.C.
BWD Securities P.L.C.
Babcock International Group P.L.C.
Baggeridge Brick P.L.C.
*Bailey (C.H.) P.L.C.
*Bailey (C.H.) P.L.C. Class B
Barr (A.G.) P.L.C.
Beattie (James) P.L.C.
Bellway P.L.C.
Ben Bailey P.L.C.
Benchmark Group P.L.C.
Bespak P.L.C.
*Biocompatibles International P.L.C.
Biotrace International P.L.C.
Birse Group P.L.C.
Black Arrow Group P.L.C.
Blacks Leisure Group P.L.C.
*Blagden Industries P.L.C.
Blick P.L.C.
Bloomsbury Publishing P.L.C.
Body Shop International P.L.C.
Bodycote International P.L.C.
*Boosey & Hawkes P.L.C.
Boot (Henry) P.L.C.
Bovis Homes Group P.L.C.
*Bradstock Group P.L.C.
Brammer (H.) P.L.C.
Brewin Dolphin Holdings P.L.C.
Bristol Water Holdings P.L.C.
*Britannic P.L.C.
British Polythene Industries P.L.C.
British Vita P.L.C.
Brixton P.L.C.
*Brown & Jackson P.L.C.
Brown (N) Group P.L.C.
Burndene Investments P.L.C.
Burtonwood Brewery P.L.C.
Business Post Group P.L.C.
CD Bramall P.L.C.
*CLS Holdings P.L.C.
CML Microsystems P.L.C.
Caffyns P.L.C.
*Cairn Energy P.L.C.
*Cammell Laird Holdings P.L.C.
Capital & Regional P.L.C.
Capital Radio P.L.C.
Carclo P.L.C.
Care UK P.L.C.
Carillion P.L.C.
*Carlisle Holdings, Ltd.
Carpetright P.L.C.
Carr's Milling Industries P.L.C.
Castings P.L.C.
*Cenes Pharmaceuticals P.L.C.
Chamberlin & Hill P.L.C.
Chapelthorpe P.L.C.
Charles Taylor Consulting P.L.C.
*Charter P.L.C.
*Che Group P.L.C.
Chelsfield P.L.C.
Chemring Group P.L.C.
*Chime Communications P.L.C.
</Table>
49,000
106,500
47,905
51,000
10,951
310,464
98,000
109,500
10,000
43,000
132,247
93,000
26,000
36,513
55,918
12,430
75,000
421,901
56,500
60,959
131,092
68,555
62,525
194,000
159,058
35,500
47,000
72,000
5,200
119,123
219,762
60,000
121,800
56,740
125,600
151,200
296,819
173,480
175,001
38,000
56,000
68,166
122,907
28,361
6,000
92,636
256,158
26,432
48,810
100,463
64,835
125,317
8,709
102,500
19,000
79,000
298,612
18,000
617,618
66,743
88,743
51,533
53,402
49,000
71,838
$
19,172
523,855
463,445
171,041
91,346
688,805
225,853
12,712
4,902
441,877
295,682
1,087,645
152,484
152,598
420,751
35,915
179,941
110,656
60,247
359,082
0
275,899
281,203
407,058
456,843
131,269
270,793
539,282
3,935
323,704
326,937
300,805
557,217
291,780
561,640
652,711
484,965
325,215
230,249
216,325
482,526
524,633
573,907
129,991
60,883
632,507
26,434
176,383
393,710
67,385
292,708
302,818
51,675
1,323,911
100,973
244,565
44,938
53,402
172,611
324,853
158,731
34,566
290,228
322,346
40,154
159
<Page>
<Table>
<Caption>
<S>
Chloride Group P.L.C.
Christie Group P.L.C.
Chrysalis Group P.L.C.
Churchill China P.L.C.
City Centre Restaurants P.L.C.
Clarkson (Horace) P.L.C.
*Clinical Computing P.L.C.
Clinton Cards P.L.C.
Colefax Group P.L.C.
SHARES
--------------<C>
485,500
53,263
268,082
30,000
174,871
44,733
46,666
433,380
60,000
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
VALUE+
--------------<C>
$
413,323
61,834
987,833
93,389
221,807
326,204
34,110
682,001
87,713
Collins Stewart Tullett P.L.C.
*Colt Telecom Group P.L.C.
Communisis P.L.C.
Compel Group P.L.C.
Computacenter P.L.C.
*Cookson Group P.L.C.
Coral Products P.L.C.
*Corporate Services Group P.L.C.
Cosalt P.L.C.
Countryside Property P.L.C.
Countrywide Assured Group P.L.C.
Courts P.L.C.
*Cox Insurance Holdings P.L.C.
Cranswick P.L.C.
Crest Nicholson P.L.C.
Creston P.L.C.
Croda International P.L.C.
Cropper (James) P.L.C.
*Culver Holdings P.L.C.
*DCS Group P.L.C.
DFS Furniture Co. P.L.C.
DTZ Holdings P.L.C.
Daejan Holdings P.L.C.
Dairy Crest Group P.L.C.
*Dana Petroleum P.L.C.
*Danka Business Systems P.L.C.
Dart Group P.L.C.
Davis Service Group P.L.C.
*Dawson International P.L.C.
De la Rue P.L.C.
DeVere Group P.L.C.
Dechra Pharmaceiticals P.L.C.
Delta P.L.C.
Deltron Electronics P.L.C.
*Deltron Electronics P.L.C.
(Rfd Issue Line)
*Densitron International P.L.C.
Derwent Valley Holdings P.L.C.
Development Securities P.L.C.
Devro P.L.C.
Dewhurst P.L.C.
Dewhurst P.L.C. Class A Non-Voting
Diagonal P.L.C.
*Dickinson Legg Group P.L.C.
Dicom Group P.L.C.
*Dimension Data Holdings P.L.C.
Diploma P.L.C.
Domestic & General Group P.L.C.
Domino Printing Sciences P.L.C.
Domnick Hunter Group P.L.C.
*Dowding & Mills P.L.C.
Dyson Group P.L.C.
East Surrey Holdings P.L.C.
*Easynet Group P.L.C.
*Ebookers P.L.C.
*Eidos P.L.C.
Eldridge Pope & Co. P.L.C.
Eleco P.L.C.
Electronic Data Processing P.L.C.
*Emess P.L.C.
Ennstone P.L.C.
*Enodis P.L.C.
Eurocopy P.L.C.
*Eurodis Electron P.L.C.
Euromoney Institutional Investors
P.L.C.
European Colour P.L.C.
European Motor Holdings P.L.C.
*European Telecom P.L.C.
*Evans of Leeds Contingent Units
P.L.C.
Expro International Group P.L.C.
*FII Group P.L.C.
FKI P.L.C.
Fenner P.L.C.
*Ferguson International Holdings
P.L.C.
Ferraris Group P.L.C.
*Fibernet Group P.L.C.
Filtronic P.L.C.
Financial Objects P.L.C.
Findel P.L.C.
First Choice Holidays P.L.C.
First Technology P.L.C.
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
31,538
257,000
237,134
5,000
51,000
1,172,068
50,000
246,600
30,700
94,086
202,374
110,722
244,666
19,532
267,250
6,250
79,635
22,000
338
10,000
66,300
114,500
25,000
76,000
33,333
15,000
74,000
80,878
100,688
112,000
69,600
50,000
200,000
8,621
244,085
432,061
373,173
6,321
413,568
735,768
47,726
45,063
193,512
292,886
491,630
521,771
313,491
104,976
1,374,308
12,308
362,948
62,431
90
2,365
431,023
243,202
809,413
612,376
128,702
11,609
164,179
497,976
22,512
556,687
466,841
107,062
283,778
9,119
718
74,175
90,000
50,000
180,143
9,000
15,500
34,200
11,935
30,000
832,000
22,648
17,223
355,935
30,000
336,440
42,750
36,800
75,000
37,800
55,300
25,000
104,685
55,200
288,250
295,323
275,329
41,051
188,125
759
23,282
1,157,815
306,137
281,938
17,801
25,458
27,939
6,620
372,781
529,444
176,840
159,214
1,049,857
210,254
56,417
197,781
192,405
154,788
281,823
137,194
72,449
57,614
67,880
50,195
198,087
404,868
25,770
47,724
$
65,000
82,090
118,325
7,000
428,161
24,707
349,008
361
80,000
54,966
41,166
360,000
92,146
0
224,519
4,779
681,068
141,046
89,105
10,800
45,339
4,138
7,000
142,288
325,535
117,111
53,637
27,119
79,147
31,385
3,251
714,572
750,236
596,190
Fisher (James) & Sons P.L.C.
Forminster P.L.C.
Forth Ports P.L.C.
Fortress Holdings P.L.C.
Freeport Leisure P.L.C.
French Connection Group P.L.C.
Fuller, Smith & Turner P.L.C. Series A
Fulmar P.L.C.
*Future Network P.L.C.
GB Group P.L.C.
GWR Group P.L.C.
Galliford Try P.L.C.
Game Group P.L.C.
Games Workshop Group P.L.C.
Gaming International P.L.C.
*Garton Engineering P.L.C.
*Gaskell P.L.C.
Geest P.L.C.
Gibbs & Dandy P.L.C.
Gleeson (M.J.) Group P.L.C.
*Glotel P.L.C.
Go-Ahead Group P.L.C.
Goldshield Group P.L.C.
Gowrings P.L.C.
Grainger Trust, Ltd.
Great Portland Estates P.L.C.
Greene King P.L.C.
*Greenwich Resources P.L.C.
Greggs P.L.C.
</Table>
76,000
43,333
140,161
120,728
25,814
25,000
20,000
107,500
315,000
250,000
80,700
517,870
275,000
13,519
14,000
10,248
36,000
75,278
4,500
22,471
15,300
40,000
14,400
5,000
22,000
125,900
44,162
438,664
26,000
333,310
21,613
2,386,478
54,505
166,932
723,634
203,804
146,984
342,662
102,117
371,272
380,761
297,967
167,406
8,789
0
13,931
647,341
52,628
482,123
26,972
692,419
48,294
5,289
565,286
524,006
635,345
15,089
1,436,743
SHARES
--------------<C>
176,171
55,072
227,000
52,208
105,886
232,050
48,000
240,263
183,750
27,660
196,500
14,703
152,974
7,500
35,000
149,600
133,303
140,400
VALUE+
--------------<C>
$
198,459
156,756
530,958
305,289
25,040
14,966
355,806
3,926
252,821
38,295
28,726
82,183
861,636
45,792
452,970
536,454
206,337
201,627
439,166
204,751
86,850
171,500
119,691
53,912
92,974
45,692
10,000
371,650
223,174
24,925
108,000
16,308
30,000
34,486
75,000
132,400
88,039
185,050
136,456
143,396
418,102
551,171
192,397
879,467
100,588
193,055
624,807
376,153
110,384
39,007
32,675
3,741
71,767
5,805
40,988
355,826
189,698
85,443
20,000
215,329
159,442
432,031
5,000
301,224
129
129,516
160
<Page>
<Table>
<Caption>
<S>
Guiness Peat Group P.L.C.
*Gyrus Group P.L.C.
Halma P.L.C.
Halstead (James) Group P.L.C.
*Hampson Industries P.L.C.
*Hampton Trust P.L.C.
Hardys & Hansons P.L.C.
*Hartstone Group P.L.C.
*Harvey Nash Group P.L.C.
Havelock Europa P.L.C.
*Hawtin P.L.C.
Haynes Publishing Group P.L.C.
Headlam Group P.L.C.
Heath (Samuel) & Sons P.L.C.
Helical Bar P.L.C.
Helphire Group P.L.C.
Henlys Group P.L.C.
Heywood Williams Group P.L.C.
Highbury House Communications
P.L.C.
Highway Insurance Holdings P.L.C.
Hill & Smith Holdings P.L.C.
Hiscox P.L.C.
Hit Entertainment P.L.C.
Hitachi Capital (UK) P.L.C.
Holidaybreak P.L.C.
Homestyle Group P.L.C.
*Hornby P.L.C.
House of Fraser P.L.C.
Hunting P.L.C.
Huntleigh Technology P.L.C.
*Huntsworth P.L.C.
*Hyder Consulting P.L.C.
*IAF Group P.L.C.
IFX Group P.L.C.
*IMS Group P.L.C.
*IQE P.L.C.
ISIS Asset Management P.L.C.
*Imagination Technologies Group
P.L.C.
Incepta Group P.L.C.
Inchcape P.L.C.
*Industrial & Commercial Holdings
P.L.C.
Infast Group P.L.C.
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Informa Group P.L.C.
*Intec Telecom Systems P.L.C.
Intelek P.L.C.
Intserve P.L.C.
Invensys P.L.C.
*Inveresk P.L.C.
Isoft Group P.L.C.
Isotron P.L.C.
Ite Group P.L.C.
Itnet P.L.C.
JJB Sports P.L.C.
JKX Oil and Gas P.L.C.
Jarvis Hotels P.L.C.
Jarvis P.L.C.
*Jarvis Porter Group P.L.C.
John David Group P.L.C.
Johnson Service Group P.L.C.
Johnston Group P.L.C.
Joseph (Leopold) Holdings P.L.C.
KBC Advanced Technologies P.L.C.
*Kalamazoo Computer Group P.L.C.
Keller Group P.L.C.
Kensington Group P.L.C.
*Kewill Systems P.L.C.
Kidde P.L.C.
Kier Group P.L.C.
Kiln P.L.C.
*Kleeneze P.L.C.
*Knowledge Support Systems Group
P.L.C.
Laing (John) P.L.C.
Laird Group P.L.C.
Lambert Howarth Group P.L.C.
*Laura Ashley Holdings P.L.C.
Lavendon Group P.L.C.
*Leeds United P.L.C.
Lincat Group P.L.C.
Linton Park P.L.C.
Linx Printing Technologies P.L.C.
Litho Supplies P.L.C.
London Bridge Software Holdings
P.L.C.
*London Clubs International P.L.C.
London Merchant Securities P.L.C.
London Scottish Bank P.L.C.
Lookers P.L.C.
*Lorien P.L.C.
Low & Bonar P.L.C.
Luminar P.L.C.
*M.L. Laboratories P.L.C.
MFI Furniture Group P.L.C.
MS International P.L.C.
MSB International P.L.C.
Macfarlane Group P.L.C.
Macro 4 P.L.C.
Maiden Group P.L.C.
Mallett P.L.C.
Management Consulting Group P.L.C.
Manchester United P.L.C.
Manganese Bronze Holdings P.L.C.
*Marlborough Stirling P.L.C.
Marshalls P.L.C.
*Martin International Holdings P.L.C.
*Marylebone Warwick Balfour Group
P.L.C.
Mayflower Corp. P.L.C.
McAlpine (Alfred) P.L.C.
McBride P.L.C.
McCarthy & Stone P.L.C.
McKay Securities P.L.C.
McLeod Russel Holdings P.L.C.
*Medical Solutions P.L.C.
*Medisys P.L.C.
Meggitt P.L.C.
Mentmore P.L.C.
Menzies (John) P.L.C.
*Merant P.L.C.
</Table>
81,229
100,000
99,880
144,534
489,000
150,000
76,540
50,325
247,186
36,278
145,000
220,533
215,318
193,379
99,894
114,500
125,535
26,000
14,000
25,000
56,120
123,128
45,000
10,000
232,000
21,293
200,000
84,300
161
<Page>
<Table>
<Caption>
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
$
394,661
118,671
18,896
626,420
168,203
47,081
447,572
380,830
201,935
190,612
666,470
162,145
553,626
718,387
33,502
324,926
747,027
143,764
207,072
15,909
2,654
489,175
252,305
9,803
415,967
223,389
316,456
213,128
25,000
275,961
84,300
25,200
623,937
50,092
66,000
19,000
39,000
27,000
20,000
344
835,325
394,359
113,119
128,771
114,582
2,696
127,442
271,653
173,440
15,995
157,269
144,646
151,000
263,000
53,160
60,000
95,000
43,000
51,042
60,855
71,500
16,000
228,287
42,500
16,800
24,837
310,972
161,000
32,184
150,000
225,800
135,800
131,184
187,823
423,311
554,098
239,542
89,261
123,358
294,708
27,433
147,574
45,499
22,427
90,303
89,175
72,234
115,121
136,382
728,244
100,464
124,475
977,662
38,537
73,345
550,636
196,111
40,000
194,968
68,500
74,524
126,658
150,134
160,633
236,561
57,314
172,500
68,433
298,312
951,987
89,777
1,679,949
212,060
24,673
106,195
32,276
646,466
362,100
315,432
369,363
<S>
Merchant Retail Group P.L.C.
Merrydown P.L.C.
Mersey Docks & Harbour Co. P.L.C.
Metal Bulletin P.L.C.
Metalrax Group P.L.C.
Mice Group P.L.C.
Michael Page International P.L.C.
*Microgen P.L.C.
Millennium and Copthorne Hotels
P.L.C.
Minerva P.L.C.
Mitie Group P.L.C.
Molins P.L.C.
Monsoon P.L.C.
*Morgan Crucible Company P.L.C.
Morgan Sindall P.L.C.
Morse P.L.C.
Moss Brothers Group P.L.C.
Mowlem (John) & Co. P.L.C.
Mtl Instruments Group P.L.C.
Mucklow (A & J) Group P.L.C.
*My Travel Group P.L.C.
NHP P.L.C.
*NSB Retail P.L.C.
*NXT P.L.C.
National Express Group P.L.C.
Nestor Healthcare Group P.L.C.
New Look Group P.L.C.
Newcastle United P.L.C.
Nichols P.L.C.
Nord Anglia Education P.L.C.
*Nord Anglia Education RFD
Northamber P.L.C.
Northern Foods P.L.C.
*Northgate Information Solutions
P.L.C.
Northgate P.L.C.
Novar P.L.C.
*OEM P.L.C.
*OM2000 P.L.C.
Ocean Wilsons Holdings, Ltd.
*Orbis P.L.C.
Ottakar's P.L.C.
Owen (H.R.) P.L.C.
*Oxford Biomedica, Ltd.
*Oxford Biomedica, Ltd. New Shares
Oxford Instruments P.L.C.
PHS Group P.L.C.
*PPL Therapeutics P.L.C.
PSD Group P.L.C.
PZ Cuzzons P.L.C.
*Pace Micro Technology P.L.C.
Paladin Resources P.L.C.
*Palmaris Capital P.L.C.
Paragon Group of Companies P.L.C.
Parity Group P.L.C.
Park Group P.L.C.
*Partridge Fine Arts P.L.C.
Pendragon P.L.C.
Penna Consulting P.L.C.
Peterhouse Group P.L.C.
*Pharmagene P.L.C.
*Photo-Me International P.L.C.
*Phytopharm P.L.C.
Pillar Property P.L.C.
Pittards P.L.C.
Planit Holdings P.L.C.
*Plantation & General P.L.C.
*Plasmon P.L.C.
Portmeirion Group P.L.C.
Porvair P.L.C.
Premier Farnell P.L.C.
*Premier Oil P.L.C.
*Pressac P.L.C.
*Probus Estates P.L.C.
*Protherics P.L.C.
*Provalis P.L.C.
*Psion P.L.C.
*QA P.L.C.
*Queens Moat Houses P.L.C.
Quintain Estates & Development
SHARES
--------------<C>
185,666
59,927
50,170
95,500
358,740
139,909
225,000
52,770
VALUE+
--------------<C>
$
542,846
83,999
547,483
287,433
524,438
184,078
726,537
38,572
80,077
94,000
500,000
68,000
71,000
136,000
66,000
36,866
163,400
342,030
4,348
175,000
24,000
171,875
300,000
26,935
25,000
180,200
107,041
148,923
66,550
5,000
454
75,888
41,000
422,462
342,735
1,051,269
398,803
172,787
321,031
407,506
85,279
158,077
1,223,553
12,339
797,589
4,747
419,016
79,974
45,861
262,602
976,249
573,000
89,645
156,234
18,704
1,659
84,836
97,310
342,029
118,200
260,465
12,000
41,440
84,250
11,428
30,000
34,000
75,000
40,500
43,051
320,000
43,529
43,500
22,000
292,500
342,500
42,500
70,000
241,406
291,600
58,000
239,375
33,000
85,427
160,000
235,620
32,600
66,800
60,985
235,000
70,623
100,000
22,856
62,000
18,000
69,648
78,129
83,333
506,828
375,538
257,200
79,475
159,000
301,475
1,135,366
573,396
8,771
0
189,093
2,899
183,424
102,332
24,508
13,234
134,386
448,542
3,369
211,350
411,668
286,745
490,388
9,502
382,542
50,860
144,185
74,316
792,510
64,985
192,469
187,122
417,392
126,152
585,925
63,456
97,001
20,041
373,211
70,757
177,009
80,490
502,500
29,562
2,042
385,717
56,514
343,927
7,176
23,244
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
$
P.L.C.
*Qxl Ricardo P.L.C.
RAC P.L.C.
RM P.L.C.
*RMS Communications P.L.C.
ROK property solutions P.L.C.
RPC Group P.L.C.
RPS Group P.L.C.
Radamec Group P.L.C.
Radstone Technology P.L.C.
Ransom (William) & Son P.L.C.
*Redbus Imterhouse P.L.C.
Redrow P.L.C.
*Redstone P.L.C.
Reed Health Group P.L.C.
Reg Vardy P.L.C.
Regent Inns P.L.C.
Reliance Security Group P.L.C.
Renishaw P.L.C.
Renold P.L.C.
Ricardo P.L.C.
*Richmond Oil & Gas P.L.C.
*Robert Wiseman Dairies P.L.C.
Rotork P.L.C.
Roxboro Group P.L.C.
*Royal Doulton P.L.C.
Royalblue Group P.L.C.
Rutland Trust P.L.C.
S & U P.L.C.
SCS Upholstery P.L.C.
*SFI Group P.L.C.
SHL Group P.L.C.
SIG P.L.C.
SMG P.L.C.
SSL International P.L.C.
*Safeland P.L.C.
Salvesen (Christian) P.L.C.
Sanctuary Group P.L.C.
Savills P.L.C.
Scapa Group P.L.C.
*Scipher P.L.C.
</Table>
108,350
130
69,500
45,490
15,000
57,501
43,400
192,594
35,000
40,384
30,000
137,500
116,437
14,870
155,333
103,597
158,468
9,000
146,806
144,000
114,409
220,000
40,000
185,440
9,304
240,000
47,200
174,255
21,140
29,000
26,713
41,650
103,200
185,295
117,000
25,000
183,157
320,000
104,000
44,337
34,563
633,582
364
657,420
113,835
0
234,874
139,581
524,181
23,175
261,499
19,349
18,032
626,302
2,621
281,846
807,124
220,761
103,321
1,363,430
206,797
327,619
0
176,458
1,117,060
36,804
19,607
385,594
104,144
176,336
84,790
14,242
64,111
532,471
345,771
641,403
21,928
192,154
273,803
528,550
21,351
5,350
SHARES
--------------<C>
56,639
19,200
27,118
328,750
122,900
77,859
150,000
20,000
137,500
92,900
14,500
204,780
348,089
53,000
119,400
41,600
382,000
22,500
251,985
200,000
59,000
307,000
108,000
19,615
76,760
50,000
91,811
584,137
435,000
169,495
37,500
63,000
74,800
VALUE+
--------------<C>
$
357,501
268,299
209,877
497,558
72,395
236,011
85,133
114,371
595,934
169,362
36,160
47,546
257,427
68,365
428,159
50,083
496,027
191,550
7,476
542,618
270,423
658,679
1,033,675
12,313
561,733
316,026
885,045
663,061
134,666
335,235
5,482
429,073
332,550
162
<Page>
<Table>
<Caption>
<S>
Scottish & Newcastle P.L.C.
Scottish Radio Holdings P.L.C.
Secure Trust Group P.L.C.
Securicor P.L.C.
Senior P.L.C.
Serco Group P.L.C.
*Servicepower Technologies P.L.C.
Severfield-Rowan P.L.C.
Shaftesbury P.L.C.
Shanks & McEwan Group P.L.C.
Shiloh P.L.C.
*ShopRite Group P.L.C.
Simon Group P.L.C.
Sinclair (William) Holdings P.L.C.
Singer & Friedlander Group P.L.C.
Sirdar P.L.C.
*Skyepharma P.L.C.
Smart (J.) & Co. (Contractors) P.L.C.
*Smart Approach Group P.L.C.
Smith (David S.) Holdings P.L.C.
*Soco International P.L.C.
Somerfield P.L.C.
South Staff Water Holdings P.L.C.
Southampton Leisure Holdings P.L.C.
Spectris P.L.C.
Speedy Hire P.L.C.
Spirax-Sarco Engineering P.L.C.
*Spirent P.L.C.
*Sportech P.L.C.
Spring Group P.L.C.
*Springwood P.L.C.
St. Ives P.L.C.
St. Modwen Properties P.L.C.
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Staffware P.L.C.
Stanley (Charles) Group P.L.C.
Stanley Leisure Organisation P.L.C.
*Sterling Publishing Group P.L.C.
Stylo P.L.C.
*Superscape P.L.C.
*Surfcontrol P.L.C.
Swallowfield P.L.C.
Sygen International P.L.C.
Syltone P.L.C.
*Synstar P.L.C.
TT Electronics P.L.C.
*Tadpole Technology P.L.C.
*Tandem Group P.L.C.
Tarsus Group P.L.C.
Taylor & Francis Group P.L.C.
Taylor Nelson AGB P.L.C.
Ted Baker P.L.C.
*Telecommunications Group P.L.C.
Telemetrix P.L.C.
*Telspec P.L.C.
*Terence Chapman Group P.L.C.
Tex Holdings P.L.C.
The Big Food Group P.L.C.
*The Innovation Group P.L.C.
The Malcolm Group P.L.C.
The Television Corp. P.L.C.
Thorntons P.L.C.
Thorpe (F.W.) P.L.C.
*Thus Group P.L.C.
Tibbett & Britten Group P.L.C.
Tinsley (Eliza) Group P.L.C.
Topps Tiles P.L.C.
Tops Estates P.L.C.
Torex P.L.C.
*Torotrak P.L.C.
*Tottenham Hotspur P.L.C.
Town Centre Securities (New) P.L.C.
Trace Computers P.L.C.
Transport Development Group P.L.C.
Trifast P.L.C.
Tullow Oil P.L.C.
U.K. Coal P.L.C.
Ulster Television, Ltd.
Ultra Electronics Holdings P.L.C.
Ultraframe P.L.C.
Umeco P.L.C.
Uniq P.L.C.
Unite Group P.L.C.
Universal Salvage P.L.C.
VP P.L.C.
VT Group P.L.C.
*Vega Group P.L.C.
*Vernalis P.L.C.
*Vert (Jacques) P.L.C.
Victoria P.L.C.
Victrex P.L.C.
Vitec Group P.L.C.
*Volex Group P.L.C.
WSP Group P.L.C.
Wagon P.L.C.
*Walker Greenbank P.L.C.
Warner Estate Holdings P.L.C.
*Waterdorm P.L.C.
Waterman P.L.C.
Watermark Group P.L.C.
Weir Group P.L.C.
Wellington Holdings P.L.C.
Wembley P.L.C.
Westbury P.L.C.
*Weston Medical Group P.L.C.
Wetherspoon (J.D.) P.L.C.
Whatman P.L.C.
White Young Green P.L.C.
Whitehead Mann Group P.L.C.
Whittard of Chelsea P.L.C.
*Wiggins Group P.L.C.
Wilmington Group P.L.C.
Wilshaw P.L.C.
Wilson Bowden P.L.C.
Wintrust P.L.C.
Wolverhampton & Dudley Breweries
P.L.C.
Woolworths Group P.L.C.
12,000
76,800
224,954
75,298
64,096
15,745
7,000
15,000
492,975
50,400
143,000
28,080
109,090
327,365
34,855
52,600
109,000
38,800
45,958
165,708
25,000
62,500
14,000
212,000
940,000
109,377
66,330
158,000
24,000
836,000
86,123
19,844
69,690
30,088
73,041
99,193
150,000
142,137
33,552
19,782
135,388
222,863
16,000
115,602
49,745
60,200
18,250
20,000
103,051
14,255
83,100
100,375
32,300
54,179
45,000
12,000
116,254
15,242
58,801
90,000
65,292
53,105
70,000
105,000
74,473
50,000
126,236
9,000
6,053
202,522
50,200
127,358
241,935
64,000
95,000
30,000
1,148,266
28,692
198,409
7,000
22,500
78,873
872,421
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
$
127,958
307,100
1,528,220
17,159
40,236
8,395
98,239
20,509
415,447
157,760
178,307
55,779
22,280
0
35,368
492,130
389,928
223,548
5,632
404,694
7,309
2,687
39,849
492,226
335,460
149,551
68,447
417,120
73,886
463,694
615,439
12,628
632,249
126,264
741,163
111,742
61,915
495,025
42,413
65,493
142,038
314,302
33,021
748,558
442,746
255,216
107,816
70,171
275,599
30,278
190,800
390,148
72,495
73,613
14,511
75,537
705,294
89,391
138,042
274,749
192,022
12,558
532,729
0
93,501
129,850
589,452
16,408
58,402
1,328,807
2,158
590,858
638,708
197,578
517,121
78,168
93,806
48,113
46,067
117,381
192,518
1,020,775
648,944
*Worthington Group P.L.C.
Wyevale Garden Centres P.L.C.
Wyndeham Press Group P.L.C.
*XAAR P.L.C.
XANSA P.L.C.
</Table>
102,653
48,578
73,066
18,405
199,718
7,283
277,796
122,522
15,352
313,433
SHARES
--------------<C>
246,961
24,765
82,504
10,000
5,234
86,284
62,000
VALUE+
--------------<C>
$
47,783
41,102
9,578
130,280
83,267
375,445
82,640
---------------
163
<Page>
<Table>
<Caption>
<S>
*Xenova Group P.L.C.
Yates Group P.L.C.
*Yorkshire Group P.L.C.
Young & Co's Brewery P.L.C.
Young & Co's Brewery P.L.C. Class A
Yule Catto & Co. P.L.C.
Zotefoams P.L.C.
TOTAL COMMON STOCKS
(Cost $118,745,192)
158,950,507
---------------
INVESTMENT IN CURRENCY -- (1.3%)
*British Pound Sterling
(Cost $2,095,175)
2,079,361
---------------
RIGHTS/WARRANTS -- (0.0%)
*Creston P.L.C. Warrants 03/31/04
*Letter of Entitlements - Audemars Piguet
*Xenova Group P.L.C. Rights
1,000
90,242
94,500
TOTAL RIGHTS/WARRANTS
(Cost $0)
0
0
0
--------------0
---------------
TOTAL -- UNITED KINGDOM
(Cost $120,840,367)
161,029,868
---------------
<Caption>
<S>
TEMPORARY CASH INVESTMENTS -- (2.0%)
Repurchase Agreement, PNC Capital Markets, Inc. 0.82%, 12/01/03
(Collateralized by $3,360,000 FHLB Notes 1.875%, 02/15/05, valued
at $3,385,200) to be repurchased at $3,336,228(Cost $3,336,000)
FACE
AMOUNT
--------------(000)
<C>
$
3,336
TOTAL INVESTMENTS -- (100.0%)
(Cost $124,176,367)++
<C>
3,336,000
--------------$
164,365,868
===============
</Table>
---------+ See Note B to Financial Statements.
@ Denominated in local currency or the Euro
* Non-Income Producing Securities
++ The cost for federal income tax purposes is $124,619,319
See accompanying Notes to Financial Statements.
164
<Page>
THE CONTINENTAL SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2003
<Table>
<Caption>
<S>
FRANCE -- (13.4%)
COMMON STOCKS -- (13.4%)
Affine
*Ales Groupe SA
Algeco SA
*#Alstom SA
SHARES
--------------<C>
1,100
1,900
2,300
95,700
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
VALUE+
--------------<C>
$
67,380
67,234
195,614
197,315
*Altedia SA
*Alten SA
*#Altran Technologies SA
Apem SA
April Group SA
Arkopharma
Assystem SA
Aubay SA
*Audika SA
*Baccarat SA
Bacou-Dalloz
Bains de Mer et du Cercle des
Etrangers a Monaco
Beneteau SA
*Berger Levrault SA
Boiron SA
Bonduelle SA
Bongrain SA
*Bricorama SA
Buffalo Grill SA
*#Bull SA
Burelle SA
*Business Objects SA
CEGID SA
CFCAL-Banque
CFF Recycling
*CS Communication et Systemes
*Camaieu SA
Carbone Lorraine
Cegedim SA
Cie Financiere Pour La Location
D'Immeubles Industriels &
Commerciaux SA
#Clarins SA
*#Club Mediterranee SA
Consortium International de Diffusi on
et de Representation Sante
*DMC (Dollfus Mieg et Cie)
*Damartex SA
Delachaux SA
Deveaux SA
Didot-Bottin
Dynaction SA
Eiffage SA
Electricite de Strasbourg
Elior
Entenial SA
Esso SA
Etam Developpement SA
Euler-Hermes SA
*Euro Disney SCA
Evialis SA
Exel Industries SA
Explosifs et de Produits Chimiques
*FPEE SA
Faurecia SA
Fimalac SA
Fininfo SA
Fleury Michon SA
Fonciere Lyonnaise SA
France-Africaine de Recherches
Petrolieres (Francarep)
Francois Freres (Tonnellerie) SA
*GCI (Groupe Chatellier Industrie SA )
GFI Informatique SA
*Gantois Series A
Gascogne SA
*#Gaumont
*#Generale de Geophysique SA
Generale de Sante
Generale Location SA
*Geodis SA
Gespac System
Gevelot
Gifi
*Ginger (Groupe Ingenierie Europe)
Grands Moulins de Strasbourg
Grandvision SA
#Groupe Bourbon SA
Groupe Crit
Groupe Guillin SA
Groupe Open SA
Groupe Steria
*Guitel
2,800
14,900
49,600
1,000
19,600
4,300
2,657
5,700
1,500
1,090
3,685
44,775
212,010
612,404
55,141
316,243
220,356
141,733
25,759
70,845
104,594
307,002
4,615
9,200
476
15,200
4,200
7,500
2,679
1,028
68,000
4,030
16,500
4,500
840
10,576
4,983
3,200
33,245
6,400
984,716
473,995
109,554
327,971
356,956
392,432
134,878
13,863
52,168
390,333
559,547
360,337
249,215
830,390
125,976
253,938
1,354,954
344,235
6,400
7,339
10,200
279,178
420,430
403,980
600
6,230
22,900
1,000
1,040
1,620
10,660
3,825
23,784
70,128
2,800
3,200
5,600
12,291
517,400
1,200
1,800
524
1,100
6,500
111,143
9,760
2,500
9,596
9,170
44,360
477,369
87,387
105,344
163,122
231,289
413,578
2,836,791
575,839
163,458
355,014
160,437
558,401
310,110
43,787
86,308
143,842
63,029
440,232
3,703,790
213,517
104,739
379,598
4,250
2,050
7,258
23,400
647
6,472
14,607
20,770
19,100
9,000
3,010
1,100
3,584
3,200
1,400
110
7,000
3,700
5,500
1,200
1,000
8,600
116
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
$
405,019
41,653
870
210,376
38,003
574,103
719,652
771,823
242,007
182,002
162,367
21,757
171,849
207,907
27,875
37,580
183,261
337,525
108,389
96,737
31,347
306,178
1,111
Guyenne et Gascogne SA
Havas SA
Hoteliere Lutetia Concorde
Hotels et Casinos de Deauville
Hyparlo SA
IDSUD
IMS International Metal Service SA
Industrielle et Financiere
d'Entreprise SA
*#Infogrames Entertainment SA
Ingenico SA
*Ioltech SA
Ipsos SA
Kaufman et Broad SA
*Lafuma SA
Laurent-Perrier
*Lectra Systemes SA
Legris Industries SA
Lisi SA
*MGI Coutier SA
*MRM
Manitou SA
Manutan International SA
Marionnaud Parfumeries Retails
Perfumes
*Matussiere et Forest SA
</Table>
26,000
62,300
2,505
2,055
3,836
614
12,630
2,882,933
330,088
420,693
699,600
160,941
17,267
96,895
300
58,300
61,820
500
3,700
5,300
793
3,100
19,192
9,350
6,845
1,400
1,424
11,092
1,300
32,006
368,297
944,841
41,296
334,864
148,348
53,993
107,394
157,361
279,081
237,543
33,900
18,794
997,219
54,994
8,271
13,600
319,747
68,960
SHARES
--------------<C>
35,449
32,450
5,200
7,200
12,200
6,320
21,507
36,000
31,265
1,240
1,300
10,200
2,243
4,500
25,000
15,423
900
3,600
1,340
1,076
6,600
2,040
14,432
714
3,000
VALUE+
--------------<C>
$
22,947
564,030
151,970
362,494
377,311
254,552
1,124,050
249,431
83,201
144,926
26,616
166,043
83,351
372,743
139,352
709,936
26,540
82,856
88,989
125,049
350,483
140,977
2,802,599
18,410
366,090
12,256
90,928
13,500
4,400
1,000
900
72,300
2,200
1,500
25,421
600
41,668
500
6,305
400
778,653
1,925,988
169,110
490,518
27,511
25,353
276,470
249,347
15,643
704,835
25,173
727,749
38,209
506,383
4,416
2,900
73,871
1,000
2,100
22,900
32,845
25,677
3,686,641
165
<Page>
<Table>
<Caption>
<S>
*Metaleurop SA
Montupet SA
*Mr. Bricolage SA
Neopost SA
*Nexans
Norbert Dentressangle
Nord Est SA
*Oberthur Card Systems SA
*Oeneo
PSB Industries SA
*Passat SA
*Penauille Polyservices SA
*Petit Forestier SA
Pierre & Vacances
Pinguely-Haulotte SA
Plastic Omnium SA
Plastivaloire SA
Prosodie SA
*Radiall SA
Robertet SA
Rodriguez Group SA
Rougier SA
Rue Imperiale
SDR de Bretagne SA
SEB SA Prime Fidelite 2002
SILIC (Societe Immobiliere de
Location pour L'industrie et le
Commerce)
SR Teleperformance
Sabeton
Samse SA
*Sasa Industries SA
*Saveurs de France-Brossard
*#Scor SA
Sechilienne-Sidec
Securidev SA
Selectibail
Signaux Girod SA
Skis Rossignol SA
Smoby SA
Societe du Louvre SA
*Societe Francais des Papiers Peints
Societe Industrielle D'Aviations
Latecoere SA
Societe Pour L'Informatique
Industrielle SA
*Solving International SA
Somfy Interational SA
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Sophia SA
Sopra SA
Stallergenes SA
Ste Virbac SA
Stef-Tfe SA
Sucriere de Pithiviers-le-Vieil
*Sylis SA
Synergie SA
Taittinger SA
*Tessi SA
Touax (Touage Investissement SA)
*Transiciel SA
Trigano SA
*Ubi Soft Entertainment SA
Unilog SA
#Vallourec (Usines a Tubes de Lorraine
Escaut et Vallourec Reunies)
*Valtech, La Defense
Viel et Compagnie
Vilmorin et Cie SA
Vivarte SA
Vranken Monopole
Zodiac SA
17,550
6,900
1,249
6,852
332
1,825
4,700
8,000
12,700
900
10,378
9,200
5,500
8,500
6,320
31,700
20,000
44,339
2,349
8,299
2,200
14,627
TOTAL COMMON STOCKS
(Cost $40,538,164)
$
871,378
313,065
58,391
215,034
27,062
1,093,836
29,635
146,724
2,041,512
33,865
202,156
150,536
225,282
263,390
340,463
2,449,072
23,016
208,349
288,338
375,545
87,687
432,908
--------------64,910,990
---------------
RIGHTS/WARRANTS -- (0.0%)
*Alstom SA Rights 12/10/03
*Alstom SA Warrants 01/09/04
*Altran Technologies SA Rights
12/10/03
*Group Open Warrants 10/21/06
*Oeneo Warrants 08/26/06
*Prosodie SA Warrants 10/28/06
*Ubi Soft Entertainment SA Warrants
05/14/06
*Valtech, La Defense Warrants
07/29/05
95,700
95,700
51,623
34,415
49,600
1,000
14,365
900
39,241
851
4,649
669
4,100
2,654
20,000
1,199
---------------
TOTAL RIGHTS/WARRANTS
(Cost $38,786)
135,301
---------------
TOTAL -- FRANCE
(Cost $40,576,950)
65,046,291
---------------
GERMANY -- (11.8%)
COMMON STOCKS -- (11.8%)
*AC-Service AG
AWD Holding AG
Aareal Bank AG
*#Acg AG Fuer Chipkarten und
Informationssysteme
Ackermann-Goeggingen AG
*Adva AG Optical Networking
*Agrob AG
*Aigner (Etienne) AG
#Aixtron AG
Amadeus Fire AG
Andreae-Noris Zahn AG, Anzag
*Articon Integralis AG
*Atoss Software AG
*Augusta Technologie AG
#Ava Allgemeine Handelsgesellschaft
der Verbraucher AG
*Baader Wertpapier Handelsbank AG
#Balda AG
*#Basler AG
#Beate Uhse AG
Bechtle AG
*Berliner Elektro Holding AG
Bertrandt AG
#Beru AG
*Beta Systems Software AG
Bilfinger & Berger Bau AG
*Biolitec AG
</Table>
166
<Page>
<Table>
<Caption>
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
4,300
35,600
33,200
29,123
1,078,814
1,003,299
15,400
8,100
32,400
5,800
600
61,400
4,900
27,200
7,900
3,700
3,200
63,688
150,500
174,774
59,792
93,500
376,105
34,714
922,078
37,406
73,049
12,927
30,800
7,900
31,600
3,200
44,400
17,100
13,861
7,650
9,400
2,850
34,600
8,000
1,007,566
61,744
251,142
42,387
707,871
197,603
111,324
135,720
569,035
30,747
1,111,553
38,359
<S>
*Biotest AG
Boewe Systec AG
*Borussia Dortmund GMBH & Co.
KGAA
*Brau und Brunnen AG
Bremer Energiekonto AG
*Bremer Woll-Kaemmerei AG
*CBB Holding AG
*CTS Eventim AG
*Ce Consumer Electrnic AG
*Ceag AG
Celanese AG
*Cenit AG Systemhaus
*Centrotec Hochleistungskunststoffe AG
Cewe Color Holding AG
*Comdirect Bank AG
*Computerlinks AG
*Condomi AG
*Curanum AG
*D. Logistics AG
*DAB Bank AG
*DEAG Deutsche Entertainment AG
DVB Bank AG
*Data Modul AG
*Deutsche Euroshop AG
*Deutsche Steinzeug
Cremer & Breuer AG
*#Deutz AG
*Deutz AG Issue 03
*Dierig Holding AG
Dis Deutscher Industrie Service AG
*Dom-Braugerei AG
Douglas Holding AG
*Dr. Scheller Cosmetics AG
*Drillisch AG
Duerr Beteiligungs AG
*Eckert and Ziegler Strahlen - und
Medizintechnik AG
*Elexis AG
*Elmos Semiconductor AG
ElreingKlinger AG
*#Em TV & Merchandising AG
*Epcos AG
Erlus Baustoffwerke AG
Escada AG
*Eurobike AG
*Evotec Biosystems AG
#FJA AG
Feilmann AG
*Fortec Elektronik AG
*#Freenet.De AG
Fuchs Petrolub AG Oel & Chemie
GFK AG
*GPC Biotech AG
*#Gft Technologies AG
Grenkeleasing AG
Gwag Bayerische WohnungsAktiengesellschaft AG
Hamborner AG
*Hawesko Holdings AG
*Herlitz AG
#Hochtief AG
*Hoeft & Wessel AG
Holsten-Brauerei AG
Hucke AG
Hugo Boss AG
*IFA Hotel & Touristik AG
*#IM International Media AG
IVG Immobilien AG
*Innovation in Traffic Systems AG
Interseroh AG
*#Intershop Deutschland AG
*Intertainment AG
*Isra Vision Systems AG
Iwka AG
*#Ixos Software AG
#Jenoptik AG
K & S Aktiengesellschaft AG
KSB AG
KWS Kleinwanzlebener Saatzucht AG
*Kampa-Haus AG
SHARES
--------------<C>
2,400
5,700
VALUE+
--------------<C>
$
19,995
252,811
21,650
4,995
14,700
17,128
102,602
14,800
21,600
20,670
20,650
3,500
4,900
5,600
73,000
4,600
1,800
21,500
28,000
39,800
10,500
7,124
2,904
15,550
94,986
481,405
37,709
22,996
13,037
145,477
69,910
218,043
717,856
29,369
58,150
124,859
653,676
73,614
4,164
53,607
75,520
300,568
29,453
742,101
64,748
637,307
87,200
60,400
20,133
10,500
11,850
1,100
36,650
4,000
22,450
14,750
91,985
241,826
77,953
163,500
250,006
47,865
1,001,678
21,817
97,957
313,841
3,000
8,600
16,350
1,500
137,050
55,500
297
20,520
1,700
30,100
7,150
17,800
1,400
16,800
6,693
25,600
17,600
22,600
12,650
26,791
31,649
259,885
128,563
162,642
1,267,381
118,555
270,576
469
212,160
175,103
755,340
45,647
993,839
415,194
721,153
164,561
85,879
286,597
3,383
21,000
3,300
6,962
34,000
6,100
38,462
8,300
25,100
7,000
19,800
98,550
12,300
9,650
7,320
8,500
2,100
26,613
18,600
40,800
129,500
2,387
1,650
10,375
150,046
571,432
79,116
30,461
921,100
23,326
1,567,582
32,833
457,337
62,933
30,380
1,106,918
76,965
122,618
23,604
20,378
29,578
519,040
206,463
440,661
3,027,079
371,976
991,027
78,352
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
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$
Keramag Keramische Werke AG
Kloeckner-Werke AG
*Kontron AG
Krones AG
*LPKF Laser & Electronics AG
Leifheit AG
Leoni AG
Loewe AG
#MVV Energie AG
*MWG Biotech AG
*Maternus-Kliniken AG, Bad
Oyenhausen
Maxdata AG
*Mediclin AG
*Medigene AG
*Mensch und Maschine Software AG
*#Morphosys AG
Muehlabauer Holdings AG & Co.
KGAA
*Nemetschek AG
Norddeutsche Affinerie AG
Norddeutsche Steingutfabrik AG
Novasoft AG
*November AG
*Ohb Teledata
PC-Ware Information
Technologies AG
*PVATepla AG
*Pandatel AG
*#Parsytec AG
*Personal & Informatik AG
Pfeiffer Vacuum Technology AG
*Pfleiderer AG
*Phoenix AG, Hamburg
*Plambeck Neue Energien AG
*Plenum AG
*Primacom AG
*Produkte und Syteme der
Informationstechnologie AG
Progress-Werk Oberkirch AG
Puma AG
</Table>
13,000
38,900
42,878
7,450
9,000
12,500
25,000
7,100
48,000
19,400
654,504
364,650
321,243
520,469
54,374
353,774
1,287,130
56,853
872,863
23,720
2,400
24,600
22,050
8,600
1,400
3,100
1,784
166,021
51,542
65,772
13,946
36,083
5,900
7,400
30,700
5,960
11,800
5,400
12,650
137,984
47,901
328,632
32,150
44,274
35,990
103,569
5,100
15,550
5,700
11,900
5,900
8,250
36,250
37,500
5,250
9,300
15,200
55,266
36,535
40,996
68,186
32,887
273,048
181,637
409,065
14,915
22,854
20,929
10,300
5,000
5,700
53,091
199,588
899,871
SHARES
--------------<C>
98,700
10,612
3,650
19,400
5,000
45,000
13,750
5,900
610
7,800
33,650
20,800
58,650
6,550
4,400
8,900
15,120
9,800
34,600
4,160
15,400
25,300
20,000
2,000
28,200
16,000
3,332
18,000
29,146
14,000
3,300
18,000
8,800
VALUE+
--------------<C>
$
333,646
582,616
38,722
616,264
103,390
1,478,027
725,228
21,925
6,435
33,660
653,461
307,928
593,376
69,801
87,555
187,021
132,310
14,214
736,197
50,615
212,294
545,899
1,174,750
16,782
157,189
63,293
211,291
604,157
1,037,659
177,891
26,702
126,226
21,098
167
<Page>
<Table>
<Caption>
<S>
*#Qs Communications AG
Rational AG
*Realtech AG
Renk AG
*Repower Systems AG
Rheinmetall Berlin AG
Rhoen Klinikum AG
Rinol AG
*Rohwedder AG
*Ruecker AG
*#SAP Systems Integrations AG
*SGL Carbon AG
Salzgitter AG
Sartorius AG
Schlott Sebaldus AG
Schwarz Pharma AG
Sektkellerei Schloss Wachenheim AG
*Senator Entertainment AG
*#Singulus Technologies AG
Sinner AG, Karlsruhe
Sixt AG
*#Software AG
Stada Arzneimittel AG
*Stahl (R.) AG
*Steag Hamtech AG
*Stoehr & Co. AG
*Strabag AG
Stuttgarter Hofbraeu AG
Sued-Chemie AG
*Suess Microtec AG
*Syskoplan AG
*Syzygy AG
*TFG Venture Capital AG & Co. KGAA
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Takkt AG
*Techem AG
Technotrans AG
*Telegate AG
*Teles AG Informationstechnologien
Textilgruppe Hof AG
*#Tomorrow Focus AG
*Umweltkontor Renewable Energy AG
United Internet AG
*VBH (Vereinigter
Baubeschlag-Handel) AG
VK Muehlen AG
Vossloh AG
*#WCM Beteiligungs AG
*Walter Bau AG, Augsburg
Wanderer-Werke AG
*Wedeco AG Water Technology
*Westag and Getalit AG,
Rheda-Wiedenbrueck
Wuerttembergische
Lebensversicherung AG
Wuerttembergische
Metallwarenfabrik AG
Wuerzburger Hofbraeu AG
Zapf Creation AG
68,450
23,150
5,000
10,800
21,200
12,170
42,650
14,100
43,050
454,572
442,620
74,321
117,552
271,919
93,366
117,589
21,297
1,011,460
9,415
1,312
15,900
245,466
33,905
7,903
10,550
19,412
121,886
733,799
361,923
67,061
202,733
224,603
7,000
48,500
11,330
177,918
30,330
134
7,500
548,995
61,381
173,066
---------------
TOTAL COMMON STOCKS
(Cost $47,674,467)
57,045,489
---------------
RIGHTS/WARRANTS -- (0.0%)
*DEAG Deutsche Entertainment AG
Bond Rights 12/03/03
*Fuchs Petrolub AG Oel & Chemie
Rights 12/09/03
7,000
$
6,693
7,221
---------------
TOTAL RIGHTS/WARRANTS
(Cost $0)
0
7,221
---------------
TOTAL -- GERMANY
(Cost $47,674,467)
57,052,710
---------------
ITALY -- (8.9%)
COMMON STOCKS -- (8.9%)
*#Acea SpA
*Acegas SpA
*Actelios SpA
Aem Torino SpA
*Aeroporto de Firenze SpA
*#Alitalia Linee Aeree Italiane SpA
Series A
*Amplifon SpA
*Auschem SpA (In Liquidation)
Azienda Mediterranea Gas e Acqua
SpA
*Banca Ifis SpA
Banca Intermobiliare di Investimenti e
Gestoni SpA
Banca Monte Dei Paschi di Siena SpA
Banca Popolare Dell'etruria e Del
Lazio Scrl
Banca Profilo SpA
Banco di Desio e della Brianza SpA
Banco Piccolo Valellinese Scarl SpA
*Bastogi SpA
*Beghelli SpA
Beni Stabili SpA, Roma
Biesse SpA
*Binda SpA
Bonifica dei Terreni Ferraresi e per
Imprese Agricole Roma
Bremba SpA
Brioschi Finanziaria SpA, Milano
Buzzi Unicem SpA
CAMFIN (Cam Finanziaria)
CIR SpA (Cie Industriale Riunite),
Torino
*#CMI SpA
CSP International Industria Calze SpA
#Caltagirone Editore SpA
#Caltagirone SpA
*Carraro SpA
Cementir Cementerie del Tirreno SpA
*Cirio Finanziaria SpA
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
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163,000
27,200
25,801
355,000
6,000
949,606
164,005
213,405
548,956
84,510
2,712,400
15,200
82,000
871,381
417,252
0
267,000
16,600
327,421
210,928
81,000
229,515
565,103
753,843
19,000
88,500
90,000
41,600
1,183,000
142,000
1,309,500
17,100
1,299,375
416,797
231,800
375,441
460,272
241,785
109,791
784,865
48,478
0
9,675
53,375
373,400
94,100
36,527
151,349
374,934
116,825
1,139,280
88,009
591,100
64,502
10,000
95,800
178,399
26,200
249,704
175,000
1,060,723
327,837
17,262
783,194
1,109,888
72,863
752,806
36,501
Class Editore SpA
*Coats Cucirini SpA
*Compagnia Immobiliare Azionaria
Credito Artigiano SpA
Cremonini SpA
Danieli & C.Officine Meccaniche SpA
*Dataconsyst C.G.S. SpA, Monza
*Davide Campari - Milano SpA
</Table>
70,600
30,000
44,000
93,900
102,400
66,500
220
13,400
205,228
33,085
7,331
379,328
214,811
275,017
0
588,224
SHARES
--------------<C>
115,000
86,000
112,500
27,000
124,000
69,200
19,800
3,700
VALUE+
--------------<C>
$
512,814
0
190,822
107,130
643,619
348,397
481,341
94,693
25,000
56,266
242,693
35,900
216,000
0
117,359
60,948
419,153
0
310,000
55,000
11,000
282,400
297,400
221,700
21,000
38,000
28,500
279,125
164,000
28,100
0
126,915
53,139
280,971
0
980,644
17,797
77,438
245,978
0
70,380
22,366
34,500
425,000
287,000
532,000
27,000
200,990
81,004
323,392
357,124
349,224
17,500
52,000
64,700
12,750
98,000
22,000
10,000
22,000
52,500
41,000
52,864
771,691
271,451
583,839
223,790
60,919
23,495
45,623
95,658
0
138,000
35,100
20,400
62,500
155,000
266,700
12,000
150,000
143,130
17,891
95,200
164,250
13,700
20,000
4,000
9,000
100,700
21,300
31,285
9,600
132,000
1,511,975
50,995
188,540
319,910
2,887,368
890,364
87,747
145,645
75,492
12,031
176,884
13,782
36,130
32,174
9,158
19,959
25,820
347,247
928,552
276,762
284,817
168
<Page>
<Table>
<Caption>
<S>
*De Longhi SpA
*Del Favero SpA
*Ducati Motor Holding SpA
Emak
Erg SpA
Ergo Previdenza SpA
Ericsson SpA
Esprinet
*FMC (Fabbrica Milanese
Condutorri SpA)
*Finarte Casa d'Aste SpA (Milano)
*Finarte Partecipazioni Pro Arte SpA
*#Finmatica SpA
*Fochi (Filippo) SpA
*Fornara Societa Finanziaria e di
Partecipazioni SpA
Gabetti Holding SpA
Gefran
*Gemina SpA
*Gerolimich SpA (In Liquidation)
Gewiss SpA
Giovanni Crespi SpA
Grandi Navi Veloci SpA
*#Granitifiandre SpA
*Grassetto SpA
Gruppo Ceramiche Ricchetti SpA
*I Grandi Viaggi SpA
ITALJOLLY (Cia Italiana dei Jolly
Hotels SpA)
*#Immobiliare Lombardia SpA
Immsi SpA
Impregilo SpA
Industria Macchine Automatique SpA
Industria Romagnola Conduttori
Elettrici SpA
#Industrie Zignago S. Margherita SpA
Interpump Group SpA
Italmobiliare SpA, Milano
*Juventus Footbal Club SpA
*La Doria SpA
*Lavorwash SpA
Linificio and Canapificio Nazionale SpA
Maffei SpA
*Mandelli SpA
Manifattura Lane Gaetano
Marzotto & Figli SpA
*Marcolin SpA
*Mariella Burani Fashion Group SpA
*Meliorbanca SpA
Merloni Elettrodomestici SpA
#Milano Assicurazioni SpA
Mirato SpA
Monrif SpA
*Montefibre SpA
*NGP SpA
Navigazione Montanari SpA
*Necchi SpA
*Negri Bossi SpA
*Olidata SpA
*Opengate Group SpA
*Pagnossin SpA
*Perlier SpA
Permasteelisa SpA
Pininfarina SpA
*Pirelli & C.Real Estate SpA
*Poligrafici Editoriale SpA
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
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$
*Premafin Finanziaria SpA Holding di
Partecipazioni, Roma
Premuda SpA
*Ratti SpA
#Recordati Industria
Chimica e Farmaceutica SpA
*Reno de Medici SpA, Milano
*Richard-Ginori 1735 SpA
Risanamento Napoli SpA
*Rodriquez SpA
*Roncadin SpA
SAES Getters SpA
SAI SpA (Sta Assicuratrice Industriale),
Torino
SISA (Societa Imballaggi Speciali
Asti SpA)
SMI STA Metallurgica Italiana SpA
SNIA SpA
*SOPAF (Societa Partecipazioni
Finanziarie SpA)
Sabaf SpA
Saeco International Group SpA
*Schiapparelli 1824 SpA, Milano
*Sirti SpA
#Societe Cattolica di Assicurazoni
Scarl SpA
*Societe Sportiva Lazio SpA
Sogefi SpA
Sol SpA
Stefanel SpA
Targetti Sankey SpA
*Tecnodiffusione Italia SpA
Terme Demaniali di Acqui SpA
#Tod's Group SpA
*Trevi-Finanziaria Industriale SpA
*Tripcovich (D.) & Co. SpA Navigazione
Rimorchi e Salvataggi Trieste
*Unione Manifatture SpA (In Liquidation)
*Unipar (Unione Nazionale di
Participazione SpA) (In Liquidation)
*Vemer Siber Group SpA
*Viaggi del Ve
Vianini Industria SpA
Vianini Lavori SpA
Vittoria Assicurazioni SpA
Zucchi (Vincenzo) SpA
311,330
38,700
31,768
312,368
60,911
25,629
48,000
332,210
128,000
212,600
41,250
81,400
14,750
922,922
297,477
122,749
365,708
0
47,812
170,977
32,500
568,795
65,000
565,280
568,977
155,834
217,514
1,265,197
85,000
8,000
154,000
166,200
29,967
27,460
133,586
629,498
26,099
54,602
27,170
1,815,000
182,500
70,200
54,400
8,000
3,332
532,000
23,400
30,000
925,295
98,994
625,674
302,100
118,683
29,057
15,737
264,017
971,657
41,140
113,898
156,000
0
0
539,000
46,000
23,000
52,520
180,752
51,500
144,375
0
50,785
55,968
154,245
1,115,860
305,585
756,167
---------------
TOTAL COMMON STOCKS
(Cost $37,718,211)
43,360,556
---------------
RIGHTS/WARRANTS -- (0.0%)
*Tecnodiffusione Italia SpA
Warrants 11/15/04
(Cost $0)
1,332
TOTAL -- ITALY
(Cost $37,718,211)
283
--------------43,360,839
---------------
</Table>
169
<Page>
<Table>
<Caption>
<S>
SWITZERLAND -- (8.8%)
COMMON STOCKS -- (8.8%)
*A. Hiestad Holding AG
*AFG Arbonia-Forster Holding AG
*Accumulatoren-Fabrik Oerlikon,
Zuerich
*Actelion, Ltd.
*Agie Charmilles Holding AG
*Allreal Holding AG
Also Holding AG
*Amazys Holding AG
*Ascom Holding AG
BHB Beteiligungs und
Finanzgesellschaft
BVZ (Brig Visp Zermatt) Holding AG
SHARES
--------------<C>
190
2,610
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Please Consider the Environment Before Printing This Document
VALUE+
--------------<C>
$
66,874
300,831
30
4,400
3,000
3,657
268
1,183
7,700
13,344
421,205
148,524
254,320
63,024
36,147
72,073
150
370
5,095
73,987
Bachem AG
Bank Coop AG
Bank Sarasin & Cie Series B, Basel
*Banque Cantonale de Geneve
Banque Cantonale du Jura
*Banque Cantonale Vaudoise
Banque Privee Edmond de
Rothschild SA, Geneve
Barry Callebaut AG
Basellandschaftliche Kantonalbank
Basler Kantonalbank
*Batigroup Holding AG
Belimo Holdings
*Berna Biotech
*Berner Kantonalbank
Bobst Group SA
Bossard Holding AG
Bucher Industries AG,
Niederweningen
Caisse d'Epargne Cantonale
Vaudoise, Lausanne
*Calida Holding AG
*Carlo Gavazzi Holding AG
*Charles Voegele Holding AG
Cie Financiere Tradition
Conzzeta Holdings AG
*Crossair AG, Basel
Daetwyler Holding AG, Atldorf
EGL (Elektrizitaets-Gesellschaft
Laufenberg) AG, Laufenberg
*ESEC Holding AG
Edipresse SA, Lausanne
*Eichhof Holding AG
Energie Electrique du Simplon SA
Energiedienst Holding AG
Escor Casino & Entertainment AG
Feintol International Holding AG
*Fischer (Georg) AG, Schaffhausen
*Flughafen Zuerich AG
*Forbo Holding AG, Eglisau
Fuchs Petrolub AG Oel & Chemie
Non-Voting
Galenica Holding, Ltd. AG, Bern
Geberit AG
Generale d'Affichage, Geneve
*Generali (Switzerland) Holdings,
Adliswil
*Golay-Buchel Holding SA, Lausanne
Gornergrat Monte Rasa-Bahnen
Zermatt
Gurit-Heberlein AG
*HPI Holding SA
Helvetia Patria Holding
*Industrieholding Cham AG, Cham
*Interroll-Holding SA
Jelmoli Holding AG
#Jelmoli Holding AG, Zuerich (Namen)
Kaba Holding AG
*Kardex AG, Zuerich
*Kardex AG, Zuerich (Participating)
*Komax Holding AG
*Kudelski SA
Kuoni Reisen Holding AG
*Leica Geosystems Holdings AG
*Lem Holdings AG, Lyss
Luzerner Kantonalbank AG
*Maag Holding AG, Zuerich
*Micronas Semi
*Mikron Holding AG, Biel
*Mobilezone Holding AG
*Moevenpick-Holding, Zuerich
Nobel Biocare Holding AG
Orell Fuessli Graphische Betriebe AG,
Zuerich
Oz Holding AG
PSP Swiss Property AG
*Parco Industriale e Immobiliare SA
*Phoenix Mecano AG, Stein am Rhein
Phonak Holding AG
*Publicitas Holding SA, Lausanne
*#Reg Real Estate Group
Rieters Holdings AG
Roche Holding AG Genusschein
SAIA-Burgess Electronics AG
3,059
5,881
274
1,344
450
600
143,163
1,046,344
415,434
165,827
73,102
63,123
120
2,326
600
5,250
2,902
240
13,727
2,315
18,200
6,350
1,141,779
420,588
377,808
332,613
25,704
91,714
138,043
266,381
612,430
265,255
3,355
456,773
427
396
910
3,960
5,202
1,415
13,517
348
278,122
67,699
38,717
240,776
482,889
1,061,753
106,654
531,400
8,390
921
694
188
350
8,265
744
110
1,552
1,842
1,100
3,920,075
138,572
319,427
111,835
33,437
2,141,821
16,978
18,975
265,326
93,972
306,331
6,003
4,290
870
290
377,300
580,752
379,572
135,722
1,670
40
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
$
213,155
32,490
70
1,125
6,000
2,831
864
320
1,521
2,835
1,340
1,039
610
1,100
13,000
1,350
1,057
270
3,200
922
12,202
2,652
13,349
1,320
45,460
47,110
730,147
10,722
431,421
151,049
32,180
1,423,673
521,946
253,961
122,167
72,668
75,094
416,834
438,610
165,575
49,918
465,375
123,210
556,902
36,516
25,403
714,772
4,263,897
240
4,400
3,442
600
2,749
29,137
1,115
8,010
2,056
800
274
258,803
268,890
477,272
1,624
816,585
637,862
301,883
481,448
439,758
72,096
96,440
*SIA Abrasives Holding AG
Sarna Kunststoff Holding AG
*Saurer AG
*Schaffner Holding AG
*Schweiter Technology AG
Schweizerhall Holding AG, Basel
Schweizerische National Versicherungs
Gesellschaft
Siegfried Holding AG
Sig Holding AG
*Sihl
Sika Finanz AG, Baar
Sopracenerina
*St. Galler Kantonalbank
Sulzer AG, Winterthur
*Swiss Prime Site AG
*Swisslog Holding AG
Tamedia AG
Tecan Group AG
*Temenos Group AG
*UMS Schweizerische Metallwerke
Holding AG, Bern
</Table>
337
1,760
6,943
300
500
140
59,698
159,292
308,824
44,789
67,687
178,693
472
8,560
3,000
150
925
2,409
1,596
1,637
1,492
6,810
4,500
5,859
24,359
197,166
1,021,397
404,380
451
375,661
316,797
289,515
409,655
264,302
35,243
310,160
228,655
169,400
2,560
71,093
SHARES
--------------<C>
1,000
2,700
6,278
1,857
VALUE+
--------------<C>
$
137,694
55,348
433,436
441,007
45
150
23,024
23,024
29,250
150
56,741
30,169
18,167
20,482
643,730
32,606
1,000
193
230
10,093
545
45
51,829
142,430
79,886
71,127
1,079,275
87,374
---------------
170
<Page>
<Table>
<Caption>
<S>
Unaxis Holding AG
Unilabs SA
Valiant Holding AG
Valora Holding AG
*Vaudoise Assurances Holding,
Lausanne
Villars Holding SA, Fribourg
*Von Roll Holding AG
*#Von Roll Holding AG, Gerlafingen
Vontobel Holdings AG
*Walliser Kantonalbank
Wmh Walter Meier Holding Ag,
Zuerich
Zehnder Holding AG
Zschokke Holding SA, Geneve
*Zueblin Holding AG
Zuger Kantonalbank
*Zuger Kantonalbank New Shares
TOTAL COMMON STOCKS
(Cost $26,142,712)
42,661,225
---------------
PREFERRED STOCKS -- (0.0%)
Fuchs Petrolub AG Oel & Chemie
7.29% Non-Voting
(Cost $266,229)
6,003
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs
(Cost $18,285)
292,553
--------------18,554
---------------
RIGHTS/WARRANTS -- (0.0%)
*Fuchs Petrolub AG Oel & Chemie
Preferred Rights 12/11/03
*Fuchs Petrolub AG Oel & Chemie
Rights 12/15/03
6,003
0
6,003
0
---------------
TOTAL RIGHTS/WARRANTS
(Cost $0)
0
---------------
TOTAL -- SWITZERLAND
(Cost $26,427,226)
42,972,332
---------------
GREECE -- (6.9%)
COMMON STOCKS -- (6.9%)
*A. Cambas Holding & Real Estate SA
*AS Co. S.A.
Aegek
*Agrotiki Insurance S.A.
Aktor Technical Co. S.A.
Alco Hellas ABEE S.A.
36,750
25,370
99,835
34,455
130,640
38,730
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
103,084
50,179
238,153
235,422
798,667
75,211
*Alfa Alfa Energy S.A.
Alfa-Beta Vassilopoulos S.A.
Alisida S.A.
*Allatini Industrial & Commercial Co.
Alpha Leasing
*Alte Technological Co. S.A.
*Altec Information & Communication
Systems S.A.
Alumil Milonas S.A.
*Aluminum of Attica S.A.
*Anek Lines S.A.
Arcadia Metal Industry C. Rokas S.A.
*Aspis Bank
*Aspis Pronia General Insurance S.A.
*Astir Palace Vouliagmenis S.A.
Athens Medical Center S.A.
Athens Water Supply & Sewage
Co.S.A.
*Atlantic Super Market S.A.
Attica Enterprises S.A. Holdings
Attica Publications S.A.
Atti-Kat S.A.
Autohellas S.A.
Babis Vovos S.A.
*Balafas Construction Holdings S.A.
*Bank of Attica S.A.
*Bank of Greece
Bank of Piraeus S.A.
Benrubi S.A.
*Betanet S.A.
*Bitros Holdings S.A.
*Byte Computers S.A.
Chipita S.A.
Commercial Bank of Greece
*Compucon Computer Applications S.A.
*Computer Peripherals International S.A.
*Cyclon Hellas S.A.
*Daios Plastics S.A.
Delta Holdings S.A.
Dionic SA
*Domiki Krittis S.A.
Edrassi C. Psallidas S.A.
Egnatia Bank S.A.
El. D. Mouzakis S.A.
Elais Oleaginous Production S.A.
*Elbisco Holding S.A.
Elektrak SA
*Elektroniki of Athens S.A.
*Elgeka S.A.
Elmec Sport S.A.
*Elton S.A.
*Etba Leasing S.A.
*Ethniki General Insurance Co. S.A.
*Etma Rayon S.A.
*Euro Reliance General Insurance
*Eurodrip S.A.
*Euromedica S.A.
*Europaiki Techniki
Everest S.A.
*Evrofarma S.A.
*F.G. Europe SA Common Registered
Shares
*Fanco S.A.
*Forthnet S.A.
Fourlis S.A.
Frigoglass S.A.
*G.Polyhronos S.A.
*Galaxidi Fish S.A.
General Construction Co. S.A.
General Commercial and Industry
*General Hellenic Bank
Germanos S.A.
*Gianoussis S.A.
Gnomon Construction S.A.
</Table>
3,810
12,732
2,160
15,370
49,481
85,048
33,431
205,429
8,286
35,006
323,855
114,183
80,278
27,516
104,982
60,821
22,389
45,604
48,640
44,370
104,974
77,947
136,554
128,361
96,967
132,044
164,000
87,459
405,288
212,661
$
53,245
13,640
130,214
16,674
88,984
22,490
42,412
15,200
105,221
2,366
163,829
9,221
11,220
19,302
17,230
46,325
1,960
11,260
9,110
18,131
16,350
33,747
12,948
11,820
15,554
106,477
31,653
16,707
56,000
14,040
21,560
18,590
64,256
9,320
17,297
71,719
11,242
14,830
11,620
33,300
32,750
30,730
9,500
404,657
22,237
540,074
87,945
123,734
194,107
859,201
24,051
456,594
281,349
1,673,207
112,966
57,834
69,182
69,398
207,686
41,304
22,001
22,496
25,212
64,285
242,720
15,987
63,193
37,849
351,001
59,191
303,611
441,706
35,680
82,702
128,803
181,009
94,963
43,127
476,281
19,540
40,887
68,810
83,028
34,940
116,404
26,078
4,536
10,110
17,510
56,610
49,990
10,580
12,940
34,649
24,060
31,139
49,650
13,604
23,297
20,118
31,025
107,887
166,257
212,132
22,321
18,924
297,388
27,111
217,990
1,176,049
96,540
21,504
SHARES
--------------<C>
VALUE+
--------------<C>
171
<Page>
<Table>
<Caption>
<S>
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Goody's S.A.
Halkor S.A.
Hatziioannou S.A.
Hellas Can Packaging Manufacturers S.A.
189,309
Hellenic Cables S.A.
Hellenic Duty Free Shops S.A.
Hellenic Fabrics S.A.
Hellenic Sugar Industry S.A.
Hellenic Technodomiki S.A.
Heracles General Cement Co.
Hermes Real Estate S.A.
*Hippotour S.A.
Hyatt Regency S.A.
*Iaso S.A.
*Iktinos Hellas S.A.
Inform P. Lykos S.A.
*Informatics SA
*Intersat S.A.
Intertech S.A.
*Intracom Constructions S.A.
Intracom S.A.
*Ionian Hotel Enterprises
*J Boutaris & Son Holding S.A.
J&P-Avax S.A.
Kalpinis Simos Steel Service Center
Karelia Tobacco Co., Inc. S.A.
Kathimerini S.A.
Katselis Sons S.A.
*Kego S.A.
*Kekrops S.A.
*Keramia-Allatini S.A. Industrielle
Commerciale & Technique
*Klonatex Group S.A. Bearer Shares
*Kordellou Brothers S.A.
*Kotsovolos SA
*Lambrakis Press S.A.
*Lampsa Hotel Co.
Lavipharm S.A.
*Lazarides Vineyards S.A.
Light Metals Industry
*Logic Dis S.A.
Loulis Mills S.A.
*MLS Multimedia S.A.
Mailis (M.J.) S.A.
*Maritime Company of Lesvos S.A.
*Maxim Knitwear Factory C.M.
*Medicon Hellas S.A.
Mesochoritis Bros. Construction Co.
Metka S.A.
Michaniki S.A.
Minerva Knitwear
*Minoan Lines S.A.
Mochlos S.A.
*Motor Oil (Hellas) Corinth
Refineries S.A.
Mytilineos Holdings S.A.
*N. Levederis S.A.
N.B.G. Real Estate Development Co.
*Naoussa Spinning Mills S.A.
*Naytemporiki S.A.
*Neorion-Syro's Shipyards S.A.
*Nexans Hellas S.A.
Nikas S.A.
Notos Com.Holdings S.A.
*O. Daring Sain
Pantechniki S.A.
*Pegasus Publishing & Printing S.A.
*Persefs S.A. Health Care
*Persefs S.A. Health Care New Shares
Petros Petropoulos SA
*Petzetakis S.A.
*Pilias S.A.
*Pipeworks L. Girakian Profil S.A.
*Promota Hellas S.A.
*Proodeftiki Technical Co.
Rilken S.A.
*Sanyo Hellas S.A.
Sarantis S.A.
*Sato S.A.
Selected Textile Industry Assoc. S.A.
Sfakianakis S.A.
*Sheet Steel S.A.
*Shelman
17,740
121,226
44,200
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
$
266,668
273,195
115,504
27,902
26,908
65,840
17,110
35,750
124,106
71,083
23,136
12,155
105,000
49,300
6,500
20,610
18,890
19,392
12,236
30,520
161,516
16,754
28,150
91,496
12,432
2,160
21,240
9,000
21,670
2,244
46,125
1,163,340
58,659
228,843
731,943
628,842
124,247
25,936
964,134
301,395
23,375
110,188
43,023
7,206
48,990
73,902
1,041,639
249,436
46,229
541,812
45,602
137,282
188,411
80,051
48,576
69,347
10,368
20,351
12,300
2,872
94,120
19,051
39,294
16,660
37,502
77,230
15,382
8,300
90,804
30,753
16,360
2,600
23,700
36,270
98,065
5,140
77,309
46,265
38,777
86,847
24,770
12,256
595,710
157,575
75,364
54,720
111,937
78,691
58,267
37,410
333,078
25,436
20,003
23,811
22,160
195,650
315,042
19,717
164,957
44,368
138,470
47,000
8,355
122,710
21,832
26,080
27,210
3,003
25,287
85,974
7,760
50,460
58,590
19,660
3,932
7,360
22,560
103,584
11,730
26,580
32,257
1,982
59,251
43,940
28,850
44,649
13,390
25,850
38,042
1,161,912
299,729
7,812
770,780
91,074
152,562
116,770
10,475
203,698
358,646
4,093
123,395
176,988
102,280
20,456
52,936
67,879
52,151
18,279
53,528
32,867
18,627
128,556
166,443
35,275
63,691
47,029
19,832
68,403
$
Silver and Baryte Ores Mining Co. S.A.
Singular S.A.
Spyroy Agricultural House S.A.
*Stabilton S.A.
Strintzis Shipping Lines S.A.
Technical Olympic S.A.
*Technodomi M.Travlos Br. Com. &
Constr. Co. S.A.
Teletypos S.A. Mega Channel
Terna Tourist Technical &
Maritime S.A.
*Themeliodomi
Thrace Plastics Co. S.A.
Uncle Stathis S.A.
Unisystems S.A.
*Vardas S.A.
*Varvaressos S.A. European
Spinning Mills
Veterin
Viohalco
Vioter S.A.
*Vis Container Manufacturing Co.
Zampa S.A.
34,961
54,600
22,258
27,530
131,240
165,620
260,672
149,881
33,352
2,640
209,236
829,867
13,910
36,227
10,505
226,685
57,450
37,422
45,500
10,999
41,820
13,780
512,368
106,315
64,905
81,482
97,755
54,511
7,200
18,984
249,335
61,470
4,259
830
15,535
88,296
1,309,112
103,160
16,235
11,740
---------------
TOTAL COMMON STOCKS
(Cost $30,722,465)
33,364,636
---------------
PREFERRED STOCKS -- (0.0%)
Egnatia Bank S.A.
(Cost $8,591)
3,196
TOTAL -- GREECE
(Cost $30,731,056)
9,961
--------------33,374,597
---------------
SWEDEN -- (6.3%)
COMMON STOCKS -- (6.3%)
*ADCore AB
*Active Biotech AB Series A
*Active Biotech AB Series B
</Table>
50
4,160
20,080
107
27,803
150,146
SHARES
--------------<C>
12,800
3,200
10,800
83,833
49,500
42,700
VALUE+
--------------<C>
$
65,219
339
165,800
184,173
1,100,569
88,722
41,800
11,700
11,700
10,400
36,200
7,850
116,725
38,800
53,200
9,000
8,600
25,500
48,100
19,000
27,800
39,900
15,600
37,300
250
62,000
5,000
2,900
85,400
2,700
24,800
440,000
51,300
69,150
109,938
120,003
89,464
221,337
180,249
1,421,198
575,112
239,383
28,586
40,860
72,557
350,115
143,328
702,718
844,881
355,104
72,072
208
562,063
30,638
3,493
1,497,534
4,645
466,061
142,666
458,273
172
<Page>
<Table>
<Caption>
<S>
Addtech AB Series B
*Alfaskop AB
Angpannefoereningen AB Series B
*#Anoto Group AB
Axfood AB
*#Axis AB
*B & N Bylock & Nordsjoefrakt AB
Series B
Beiger Electronics AB
Beijer AB Series B
Beijer Alma AB Series B
Bergman & Beving AB Series B
#Biacore International AB
Bilia AB Series A
Billerud AB
*Boliden AB
*Bong Ljungdahl AB
*Boras Waefveri AB Series B
*Boss Media AB
*Capio AB
Capona AB
Carbo AB
Castellum AB
Cloetta AB Series B
*Concordia Maritime AB Series B
*Connecta AB
D. Carnegie & Co. AB
*Digital Illusions AB Series A
*Doro Telefoni AB Series A
Drott Series AB
*Duroc AB Series B
*Elekta AB
*Enea Data AB Series B
Eniro AB
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Fagerhult AB
*Fagerlid Industrier AB
*#Finnveden AB
*Frontec AB Series B
Getinge AB
Geveko AB Series B
*Glocalnet AB
Gorthon Lines AB Series B
Gunnebo AB
HL Display AB Series B
Haldex AB
Heba Fastighets AB Series B
Hexagon AB Series B
*Hiq International AB
Hoganas AB Series B
*IBS AB Series B
*Industrial & Financial Systems AB
Series B
*Industrifoervaltnings AB Skandigen
*Intentia International AB Series B
*Intrum Justitia AB
Karlshamns AB
Kinnevik Industrifoervaltnings AB
Series B
Klippans Finpappersbruk AB
*Klovern AB B Shares
Kungsleden AB
*LGP Allgon Holding AB
Lagercrantz Group AB Series B
Lindex AB
Ljungberg Gruppen AB Series B
*Lundin Petroleum AB
*Mandator AB
*Meda AB Series A
*#Medivir Series B
*#Micronic Laser Systems AB
*#Modern Times Group AB Series B
NCC AB Series B
*Net Insight AB Series B
New Wave Group AB Series B
Nibe Industrier AB
Nolato AB Series B
OEM International AB Series B
#OMHEX AB
Observer AB
Orc Software AB
*Ortivus AB
PEAB AB Series B
Pandox Hotelfastigheter AB
*Partnertech AB
*Pergo AB
Poolia AB Series B
*Prevas AB Series B
*Pricer AB Series B
*Proact It Group AB
Proffice AB
*Protect Data AB
*PyroSequencing AB
*#Q-Med AB
*Readsoft AB Series B
Rottneros Bruk AB
SSAB Swedish Steel Series A
SSAB Swedish Steel Series B
Sardus AB
*Scribona AB Series A
*Scribona AB Series B
*Semcon AB
*Sigma AB Series B
*Skistar AB
*Song Network Holding
Sweco AB Series B
*Switchcore AB
TV 4 AB Series A
#Teleca AB Series B
*Telelogic AB
*Ticket Travel Group AB
Trelleborg AB Series B
*WM-Data AB Series B
Wallenstam Byggnads AB Series B
*Wedins Norden AB Series B
*Westergyllen AB Series B
Whilborg Fastigheter AB Class B
*Wilh. Sonesson AB Series A
*Wilh. Sonesson AB Series B
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
2,900
8,600
57,000
18,200
176,604
8,300
129,100
41,800
17,100
4,200
39,000
4,300
3,572
21,500
31,700
65,200
37,612
0
338,707
13,007
1,659,441
157,079
80,131
106,767
423,195
58,363
505,817
51,217
92,183
36,990
656,563
114,763
29,700
21,400
75,420
52,600
14,900
30,462
55,227
69,370
263,136
182,403
44,400
5,800
23,226
17,600
41,280
12,800
16,100
3,800
154,000
6,840
6,625
4,900
27,200
41,100
38,200
111,400
9,000
12,200
42,840
7,100
78,100
137,856
10,500
5,900
62,600
20,100
3,800
43,300
18,150
16,000
91,000
15,000
72,800
6,500
21,500
20,000
17,800
366,600
60,300
17,100
5,700
40,100
31,700
18,300
25,800
5,600
43,845
23,450
72,020
7,000
41,200
162,400
4,500
75,400
275,800
16,700
280,000
4,300
57,960
4,160
4,160
1,325,050
13,279
50,410
449,545
244,749
38,962
485,807
50,291
468,761
1,530
114,858
68,739
269,981
824,057
272,998
19,903
172,113
196,980
273,842
87,386
878,563
611,186
126,454
24,596
339,673
289,952
17,350
87,103
55,727
19,693
6,744
48,438
202,327
23,226
33,860
423,499
27,797
409,970
993,550
270,437
75,813
71,113
57,056
39,235
13,214
138,590
356,860
204,828
37,363
134,329
212,104
270,807
5,777
1,167,509
558,455
363,568
72,260
29,877
690,357
8,809
8,919
$
--------------TOTAL COMMON STOCKS
(Cost $21,256,079)
30,353,176
---------------
</Table>
173
<Page>
<Table>
<Caption>
<S>
RIGHTS/WARRANTS -- (0.0%)
*Pricer AB Rights 12/09/03
(Cost $0)
SHARES
--------------<C>
VALUE+
--------------<C>
91,000
$
602
---------------
TOTAL -- SWEDEN
(Cost $21,256,079)
30,353,778
---------------
NETHERLANDS -- (5.8%)
COMMON STOCKS -- (5.8%)
*AFC Ajax NV
AM NV
*#ASM International NV
Aalberts Industries NV
Accell Group NV
*Airspray NV
Arcadis NV
*Atag Group NV
Athlon Groep NV
Batenburg Beheer NV
*Begemann Groep NV
*Begemann Groep NV Series B
*Beter Bed Holding NV
Boskalis Westminster NV
*Brunel International NV
Buhrmann NV
*Copaco NV
*Crucell NV
Delft Instruments NV
*#Draka Holding NV
*Econosto NV
Eriks Group NV
*Exact Holding NV
Fornix Biosciences NV
*Fox Kids Europe NV
Gamma Holding NV
Gemeenschappeljk Bezit Crown van
Gelder NV
*#Getronics NV
Grolsche NV
Grontmij NV
#Hagemeyer NV
Heijmans NV
ICT Automatisering NV
#Imtech NV
*Ispat International NV
KLM (Koninklijke Luchtvaart Mij) NV
Kas Bank NV
*Kendrion NV
Koninklijke Bam NV
Koninklijke Frans Maas Groep NV
Koninklijke Nedlloyd NV
#Koninklijke Ten Cate NV
Koninklijke Vendex KBB NV
#Koninklijke Vopak NV
*#Laurus NV
MacIntosh NV
*Maverix Capital NV
*NH Hoteles
#NV Holdingsmij de Telegraaf
Nederlandsche Apparatenfabriek
*New Skies Satellites NV
Nutreco Holding NV
Oce NV
Opg Groep NV Series A
*#Petroplus International NV
*Pinkroccade NV
Randstad Holdings NV
Reesink NV
Roto Smeets de Boer NV
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
10,787
63,300
35,850
25,910
5,010
3,800
14,000
4,630
34,250
3,000
11,909
13,451
4,900
51,300
12,000
99,080
7,000
26,050
13,336
14,287
17,305
9,032
16,800
2,531
56,900
15,705
65,300
469,693
678,994
661,556
135,126
83,815
152,717
1,609
574,788
100,333
57,102
9,352
48,165
1,271,708
78,397
752,999
26,432
129,279
229,402
257,920
28,004
303,044
427,945
40,534
402,424
652,320
12,000
240,180
32,100
2,053
75,500
15,477
5,800
28,645
65,245
24,800
42,888
21,454
25,037
12,349
23,472
11,088
68,200
43,400
416,097
15,590
1,500
21,703
38,050
14,000
94,650
24,583
60,200
10,100
22,363
16,700
42,700
2,050
2,640
194,193
495,205
875,399
51,951
208,158
320,033
80,094
631,809
453,622
392,117
797,897
106,213
655,472
373,777
777,973
470,119
884,568
780,370
673,361
271,912
68,327
254,956
812,796
322,217
654,660
670,403
860,186
385,733
173,442
200,587
852,239
119,183
82,597
$
Rubber Cultuur Maatschappij
Amsterdam NV
*SNT Groep NV
*Samas-Groep NV, Zaandam
*Scala Business Solutions NV
*Semiconductor Industries NV
Sligro Food Group Beheer
Smit Internationale NV
Stern Groep NV
Stork NV
*Textielgroep Twenthe NV
*Tulip Computers NV
Twentsche Kabel Holding NV
United Services Group NV
Univar NV
Van Der Mollen Holding NV
Vedior NV
*Versatel Telecom International NV
*Wegener Arcade NV .
40,800
9,400
24,184
12,100
21,900
14,528
20,578
1,236
22,700
1,000
53,860
18,244
15,565
7,050
57,660
74,880
336,600
70,830
TOTAL -- NETHERLANDS
(Cost $19,502,763)
110,043
141,977
127,846
44,674
161,188
426,669
604,103
43,560
440,003
2,997
17,432
413,334
314,390
111,976
411,255
1,133,675
685,934
596,887
--------------28,378,470
---------------
SPAIN -- (5.4%)
COMMON STOCKS -- (5.4%)
#Abengoa SA
Adolfo Dominguez SA
Aldeasa SA
*Amper SA
*Avanzit SA
*#Azkoyen SA
Banco de Andalucia
Banco de Credito Balear SA
Banco de Valencia SA
Banco Guipuzcoano SA
Banco Pastor SA
*Baron de Ley SA
CAF (Construcciones y Auxiliar de
Ferrocarriles SA)
Campofrio Alimentacion SA
Cementos Portland SA
Compania de Distribucion Integral
Logista SA
Cortefiel SA
*Dogi International Fabrics SA
Elecnor SA
*Ercros SA
*Espanola del Zinc SA
*Estacionamientos Urbanos SA
#Europistas Concesionaria
Espanola SA
Faes Farma SA
Funespana SA
Grupo Empresarial Ence SA
*#Grupo Picking Pack SA
</Table>
56,900
3,700
13,200
56,800
17,275
52,500
9,800
35,424
188,053
21,194
34,300
4,200
402,424
64,400
307,128
260,775
54,669
257,396
822,325
721,882
3,345,288
495,412
1,008,170
188,195
7,500
92,800
16,881
543,921
1,007,849
910,605
29,600
49,200
4,000
18,300
100,518
29,250
4,200
830,285
415,790
17,981
743,653
44,583
52,945
0
174,940
27,111
4,500
16,040
145,775
1,042,233
384,784
27,511
324,945
83,877
SHARES
--------------<C>
8,666
6,700
8,050
33,600
75,200
35,200
331
47
80,282
VALUE+
--------------<C>
$
105,959
122,881
31,941
149,025
905,948
754,448
54,755
7,775
731,394
25,200
22,080
9,500
14,187
15,750
53,992
15,300
26,443
38,800
54,676
126,781
39,288
432,144
53,808
345,613
114,078
405,416
637,194
174
<Page>
<Table>
<Caption>
<S>
Hullas del Coto Cortes
Iberpapel Gestion SA
Inbesos SA
*Indo Internacional SA
Indra Sistemas SA
Inmobiliaria Colonial SA ICSA
Inmobiliaria del Sur SA
*Inmobiliaria del Sur SA Issue 2003
Inmobiliaria Urbis SA
*LSB (La Seda de Barcelona SA)
Series B
Lingotes Especiales SA
*Mecalux SA
Metrovacesa SA
*Nicolas Correa SA
Obrascon Huarte Lain SA
*Parques Reunidos SA
Pescanova SA
Prosegur Cia de Seguridad SA
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Recoletos Grupo de
Comunicacion SA
*SOS Cuetara SA
*Sogecable SA
#Sol Melia SA
Tavex Algodonera SA
*Tecnocom Telecomunicaciones y
Energia SA
*#Tele Pizza SA
Transportes Azkar, SA
Tubacex SA
Unipapel SA
*Unipapel SA Shares Issue
#Uralita SA
Vidrala SA, Alava
Viscofan Industria Navarra de
Envolturas Celulosicas SA
82,300
10,400
34,600
112,700
31,944
695,518
263,671
1,032,749
801,121
125,215
6,300
122,900
26,700
73,130
34,946
6,989
112,831
47,040
33,757
206,253
162,910
125,358
627,103
125,417
988,702
670,453
97,492
816,894
---------------
TOTAL -- SPAIN
(Cost $14,981,913)
26,107,271
---------------
FINLAND -- (4.8%)
COMMON STOCKS -- (4.8%)
Alandsbanken AB Series B
*Aldata Solutions Oyj
Alma Media Oyj
*Amanda Capital Oyj
Amer-Yhtymae Oyj Series A
*Aspo P.L.C.
Aspocomp Group P.L.C.
*Basware Oyj
*Benefon Oy
*Biotie Therapies Oyj
Capman Oyj Series B
*#Comptel Oyj
Elcoteq Network Corp.
*Elektrobit Group Oyj
*Elisa Communications Corp.
*Eq Online Oyj
*Evox Rifa Group Oyj
*#F-Secure Oyj
Finnair Oyj
Finnlines Oyj
#Fiskars Oy AB Series A
HK Ruokatalo Oy Series A
#Huhtamaki Van Leer Oyj
Ilkka-Yhtyma Oyj
#J.W. Suominen Yhtyma Oy
Jaakko Poyry Group Oyj
KCI Konecranes International Oyj
Kemira Oyj
Kesko Oyj
Laennen Tehtaat Oy
Lassila & Tikanoja Oyj
Lemminkainen Oy
Martela Oy
Metsaemarkka Oyj Series B
New Kyro Corp. Oyj
Nokian Renkaat Oyj
Nordic Aluminium Oy
*Okmetic Oyj
Okobank Class A
Olvi Oyj Series A
Orion-Yhtyma Oyj Series A
Orion-Yhtyma Oyj Series B
Outokumpu Oyj Series A
Oy Stockmann AB Series B
PK Cables Oyj
#Perlos P.L.C. Warrants 04/04/04
Pohjola Group P.L.C. Series D
*Polar Real Estate Corp. Series K
Ponsse Oyj
*Proha Oyj
Raisio Group P.L.C. Series V
Rakentajain Koneuvokrammo Oy
*Ramirent Oyj
Rapala VMC Oyj
*Rautaruukki Oyj Series K
Rocla Oy
*Saunalahti Group Oyj
*Scanfil Oyj
Sponda Oyj
Stockmann Oyj AB
*Stonesoft Corp.
1,700
56,965
7,797
51,210
22,120
7,050
12,738
7,050
1,900
39,754
12,485
92,066
16,210
571,957
74,525
7,100
51,210
124,968
77,910
30,280
32,370
16,370
92,100
1,890
11,970
12,500
13,800
118,400
32,060
3,930
14,350
14,600
530
700
36,470
9,700
1,900
9,794
33,440
3,320
20,590
30,460
21,100
24,300
4,760
47,791
46,185
154,810
6,300
30,082
118,423
10,260
5,420
30,970
126,380
1,300
92,364
55,249
71,121
20,480
49,279
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
$
39,534
132,474
261,233
11,050
925,401
117,892
157,274
46,481
934
38,600
27,238
257,143
322,560
377,090
1,022,885
18,384
8,594
212,719
501,518
1,041,372
422,950
130,494
1,017,911
67,968
95,419
329,649
443,998
1,298,650
557,251
55,166
471,671
358,778
8,675
5,454
349,740
759,284
18,335
41,091
709,110
57,269
459,080
681,335
282,018
583,454
128,669
361,489
1,137,158
142,892
136,313
27,406
191,641
70,965
93,883
197,502
931,693
10,753
117,362
390,747
549,891
491,489
40,169
*Suominen Corp. Issue 2003 Shares
*Sysopen P.L.C.
Talentum Oyj
*Tecnomen Holding Oyj
Teleste Corp. Oyi
Uponor Oyj Series A
*Vacon Oyj
Vaisala Oy Series A
Viking Line AB
#Wartsila Corp. Oyj Series B
Yit-Yhtymae Oyj
5,985
7,720
18,300
36,470
11,499
34,000
12,497
12,650
3,240
40,160
26,854
TOTAL -- FINLAND
(Cost $15,188,165)
42,687
39,330
103,541
53,773
81,326
988,348
145,310
356,351
89,756
746,182
856,269
--------------23,248,021
---------------
NORWAY -- (4.2%)
COMMON STOCKS -- (4.2%)
*Aker Kvaerner ASA
Aktiv Kapital ASA
Arendals Fosse Kompani ASA
*Avantor Financial Corp.
</Table>
67,930
48,017
100
13,270
1,124,959
436,298
8,354
115,227
SHARES
--------------<C>
18,367
9,800
1,451,452
27,740
19,321
97,006
85,320
137,617
52,390
40,842
48,758
60,790
629,483
91,600
6,690
4,590
58,700
15,077
7,582
175,716
45,600
16,160
320,521
10,143
187,753
5,000
66,031
24,910
8,320
32,200
26,690
51,530
63,654
96,160
270,349
83,580
13,423
54,100
19,512
183,330
200,080
58,950
48,450
76,230
44,963
34,410
271,280
4,620
21,846
47,393
28,000
VALUE+
--------------<C>
$
3,311
213,998
53,179
74,803
8,070
181,972
325,103
780,512
905,998
298,080
242,953
512,267
302,590
322,184
127,458
16,884
302,815
11,048
11,112
157,601
681,650
168,150
230,170
63,622
398,980
52,759
109,351
489,187
347,508
17,932
176,018
977,972
471,101
1,634,741
3,566
563,452
40,327
329,035
353,155
1,120,382
1,451,461
161,556
10,367
318,396
74,461
403,433
1,538,599
46,718
168,085
475,775
718,113
---------------
175
<Page>
<Table>
<Caption>
<S>
*Blom ASA
#Bonheur ASA
*C. Tybring-Gjedde ASA
*Choice Hotel Scandinavia ASA
*Corrocean ASA
*DOF ASA
Den Norske Oljeselkapet
*#EDB Elektronisk Data Behandling ASA
Ekornes ASA
*#Eltek ASA
*Expert ASA
Farstad Shipping ASA
*Fjord Seafood ASA
*#Fred Olsen Energy ASA
Ganger Rolf ASA
*Gresvig ASA
*Hafslund ASA
*Home Invest ASA
*Industrifinans Naeringseiendom ASA
*Kenor ASA
#Kongsberg Gruppen ASA
#Kverneland ASA
*Merkantildata ASA
*Natural ASA
*#Nera ASA
*Nordic VLSI ASA
*#Ocean Rig ASA
#Odfjell ASA Series A
Olav Thon Eiendomsselskap ASA
*P4 Radio Hele Norge ASA
*#Photocure ASA
Prosafe ASA
#Rieber and Son ASA Series A
Schibsted ASA
*Sinvest ASA
#Smedvig ASA Series A
*Software Innovation ASA
Solstad Offshore ASA
*Steen and Stroem ASA
*Storebrand ASA
*Tandberg ASA Series A
*#Tandberg Data ASA
*Tandberg Storage ASA
*Tandberg Television ASA
*Telecomputing ASA
*#Tgs-Nopec Geophysical Co. ASA
Tomra Systems ASA
*Unit 4 Agresso NV
Veidekke ASA
Visma ASA
Wilhelmshaven (Wilhelm), Ltd. ASA
TOTAL COMMON STOCKS
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
(Cost $17,368,700)
20,132,798
---------------
BONDS -- (0.0%)
Aker RGI Holding ASA
***4.660%, 12/05/03
(Cost $297,547)
2,010
INVESTMENT IN CURRENCY -- (0.0%)
*Norwegian Krone
(Cost $1,415)
176,761
--------------1,423
---------------
TOTAL -- NORWAY
(Cost $17,667,662)
$
20,310,982
---------------
DENMARK -- (4.1%)
COMMON STOCKS -- (4.1%)
#AS Dampskibsselsk Torm
Aarhus Oliefabrik A.S. Aeries A
*Alm. Brand A.S.
#Amagerbanken A.S.
Ambu International A.S. Series B
Amtssparekassen Fyn A.S.
Bang & Olufsen Holding A.S. Series B
Brodrene Hartmann A.S. Series B
Bryggerigruppen A.S.
Christian Hansen Holding A.S. Series B
*#Codan A.S.
DFDS A.S., Copenhagen
DSV, De Sammensluttede
Vognmaend A.S.
Dalhoff, Larsen & Hornemann A.S
Series B
Danware
DiskontoBanken A.S.
#East Asiatic Co., Ltd.
Edb Gruppen A.S.
*FLS Industries
*Fimiston Resources & Technology Ltd.
Fluegger A.S. Series B
*Foras Holding A.S. Series A
Forstaedernes Bank
*GN Great Nordic A.S.
*Genmab A.S.
*Glunz & Jensen A.S.
H&H International A.S. Series B
*Harboes Bryggeri A.S.
Hojgaard Holding A.S. Series B
*IC Co. A.S.
*Incentive A.S.
*Junckers (F.) Industrier A.S.
*Jyske Bank A.S.
Kjobenhavns Sommer Tivoli A.S.
Koebenhavns Lufthavne
Kompan A.S.
NKT Holding A.S.
*NTR Holdings A.S.
*#Neg Micon A.S.
*Neurosearch A.S.
Per Aarsleff A.S. Series B
*Pharmexa A.S.
*#RTX Telecom A.S.
Radiometer A.S. Series B
Ringkjobing Bank
*Ringkjobing Landbobank
Rockwool, Ltd.
*SAS Danmark A.S.
Sanistal A.S. Series B
Satair A.S.
Schouw & Co. A.S.
Simcorp A.S.
Sjaelso Gruppen A.S.
*Sondagsavisen A.S.
Spar Nord Holding
Sydbank A.S.
</Table>
19,830
4,350
24,360
2,394
150
1,968
13,387
5,865
6,015
10,030
43,400
8,710
466,467
220,072
525,930
235,288
15,709
221,640
506,870
123,790
334,349
555,911
1,363,546
252,602
22,630
886,005
1,370
4,185
535
22,723
3,230
54,980
400
2,338
7,082
3,547
210,980
25,029
1,470
1,000
260
2,500
3,510
3,575
860
37,760
190
9,910
230
27,245
1,130
29,108
7,710
1,545
3,235
8,400
9,188
1,670
1,400
3,820
34,300
1,786
1,350
13,585
5,240
2,388
21,165
4,973
8,172
54,742
65,742
94,387
867,680
62,450
589,077
3,512
108,865
65,610
169,732
1,339,316
217,762
11,369
191,731
51,107
60,419
24,318
10,656
8,175
1,794,732
41,633
1,093,729
25,384
502,618
6,918
314,219
207,451
46,301
16,679
78,497
618,789
100,362
322,559
93,552
339,872
86,327
23,491
227,635
195,869
159,672
85,252
394,211
979,596
SHARES
---------------
VALUE+
---------------
176
<Page>
<Table>
<Caption>
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
<S>
*TK Development
Thrane & Thrane A.S.
*Topdanmark A.S.
Treka A.S.
VT Holdings Shares B
Vestas Wind Systems A.S.
Vestjysk Bank A.S.
*Wessel & Vett Magasin du Nord A.S.
Series C
<C>
12,478
4,208
28,300
8,498
3,130
27,377
1,080
2,102
TOTAL -- DENMARK
(Cost $14,772,800)
<C>
$
34,177
113,902
1,431,732
134,180
132,631
412,423
288,157
46,398
--------------20,053,777
---------------
BELGIUM -- (3.7%)
COMMON STOCKS -- (3.7%)
*Abfin SA
Ackermans & Van Haaren SA
*Arinso International NV
BMT NV
Banque Nationale de Belgique
Barco (New) NV
Bekaert SA
Brantano NV
*Brederode SA
CFE (Compagnie Francois
d'Entreprises)
Carrieres Unies Porphyre
Cie Martime Belge SA
Cofinimmo SA
Commerciale de Brasserie SA
COBRHA
#D'Ieteren SA
Deceuninck SA
*Docpharma SA NV
*Duvel Moorgat NV
*EVS Broadcast Equipment SA
*Exmar NV
Floridienne NV
Glaces de Moustier-sur-Sambre SA
Immobel (Cie Immobiliere de
Belgique SA)
*Ion Beam Application SA
*Ipso-Ilg SA
*Kinepolis Group NV
Melexis NV
Metiers Automatiques Picanol
*Neuhaus NV
Nord-Sumatra Investissements SA
Omega Pharma SA
Papeteries de Catala SA
*Quick Restaurants SA
*#Real Software SA
Recticel SA
Resilux NV
Rosier SA
Roularta Media Groep
*SIPEF (Societe Internationale de
Plantations & de Finance), Anvers
*Sait Radioholland
Sapec SA
*Sapec SA VVPR
Sioen Industries
Societe Belge Des Betons SA
*Solvus SA
*Solvus SA Interim Strip VVPR
Spector Photo Group SA
*Systemat SA
*#Telindus Group SA
Ter Beke NV
Tessenderlo Chemie
UNIBRA
*Ubizen
*Umicore-Strip VVPR
#Union Miniere SA
VPK Packaging Group SA
Van de Velde NV
Warehouses de Pauw Sicafi
TOTAL -- BELGIUM
(Cost $12,202,800)
2,560
24,280
10,630
2,040
710
8,970
14,610
2,060
12,180
0
520,980
152,272
194,409
3,045,216
711,282
817,874
66,920
228,643
2,080
20
5,320
6,423
501,163
29,944
315,034
829,996
115
3,830
63,700
2,950
3,870
1,100
3,080
2,033
13,370
96,497
815,382
1,947,148
94,594
101,178
44,832
123,684
118,195
405,642
4,600
17,780
5,990
5,020
33,050
16,120
544
650
20,170
315
14,000
10,280
20,220
1,350
655
7,160
182,518
86,319
43,082
90,264
369,238
390,333
20,222
153,497
567,948
35,872
149,361
8,996
185,422
102,518
72,785
330,355
1,545
7,313
3,635
75
15,500
8,500
38,344
18,176
3,688
2,450
28,800
2,281
19,550
1,600
14,300
456
9,586
6,345
1,960
4,998
250,024
45,585
196,299
70
138,423
$
311,788
471,590
218
52,830
11,131
249,258
139,449
615,405
133,298
15,256
295
640,047
197,373
225,552
188,664
--------------17,832,170
---------------
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
AUSTRIA -- (2.7%)
COMMON STOCKS -- (2.7%)
*Austria Email AG
*Austrian Airlines/Oesterreichische
Luftverkehrs-Aktiengesellschaft
BBAG Oesterreichische
Brau-Beteiligungs AG
BWT AG
Bank Fuer Kaernten und
Steiermark AG
Bohler Uddeholm AG
Brau Union Goess-Reinighaus AG
*Ca Immobilien Invest AG
Constantia-Iso Holding AG
Constantia-Verpackungen AG
Flughafen Wien AG
*Immofinanz Immobilien Anlagen AG
#Lenzing AG
Manner (Josef) & Co. AG
Mayr-Melnhof Karton AG
Oberbank AG
Palfinger AG
*RHI AG, Wien
*Readymix Kies-Union AG
Rosenbauer International AG
*Sparkassen Immobilien
Ubm Realitaetenentwicklung AG
#Uniqa Versicherungen AG
*VA Technologie AG
Voestalpine AG
Wienerberger AG
*Wolford AG
715
2,040
27,880
217,233
7,984
13,530
1,181,876
213,925
520
9,020
10,720
22,003
15,000
6,000
14,792
165,130
3,424
870
9,840
3,555
7,610
18,559
500
850
24,880
360
79,223
11,400
30,095
63,642
4,100
60,059
583,118
1,627,879
501,663
152,837
100,693
629,469
1,243,097
491,301
34,415
1,054,631
303,416
199,869
292,995
40,157
43,773
225,770
31,718
749,286
316,902
1,188,692
1,611,991
88,466
---------------
TOTAL COMMON STOCKS
(Cost $8,758,421)
13,187,271
---------------
RIGHTS/WARRANTS -- (0.0%)
* Jenbacher AG Rights 03/31/08
(Cost $0)
7,860
TOTAL -- AUSTRIA
(Cost $8,758,421)
0
--------------13,187,271
---------------
</Table>
177
<Page>
<Table>
<Caption>
<S>
IRELAND -- (2.7%)
COMMON STOCKS -- (2.7%)
Abbey P.L.C.
*Arcon International Resources P.L.C.
*Ardagh P.L.C.
*Barlo Group P.L.C.
DCC P.L.C.
*Dragon Oil P.L.C.
*Elan Corp. P.L.C.
Fyffes P.L.C.
Glanbia P.L.C.
*Grafton Group P.L.C.
Greencore Group P.L.C.
Heiton Holdings P.L.C.
IAWS Group P.L.C.
IFG Group P.L.C.
IWP International P.L.C.
Independent News & Media P.L.C.
*Iona Technologies P.L.C.
Irish Intercontental Group P.L.C.
Jurys Hotel Group P.L.C.
Kingspan Group P.L.C.
McInerney Holdings P.L.C.
Paddy Power P.L.C.
Readymix P.L.C.
Ryan Hotels P.L.C.
United Drug P.L.C.
Waterford Wedgwood P.L.C.
SHARES
--------------<C>
25,557
143,750
14,262
182,053
91,965
104,167
154,046
380,502
321,765
253,939
213,126
51,677
105,879
37,599
39,611
618,550
21,281
18,872
69,061
183,188
33,991
49,663
109,762
68,061
188,448
806,657
TOTAL IRELAND
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
VALUE+
--------------<C>
$
196,069
7,237
12,019
82,928
1,207,136
57,439
830,964
702,420
755,987
1,628,556
779,212
229,202
1,186,700
43,268
14,245
1,497,771
98,214
228,485
836,130
878,368
165,835
415,535
243,413
85,666
535,376
270,749
---------------
(Cost $9,498,217)
12,988,924
---------------
PORTUGAL -- (1.6%)
COMMON STOCKS -- (1.6%)
*Corticeira Amorim Sociedad Gestora
Participacoes Sociais SA
*EFACEC (Empresa Fabril de
Maquinas Electricas)
*Ibersol SGPS SA
*Impresa Sociedade Gestora de
Participacoes Socias SA
*Impresa Sociedade Gestora de
Participacoes Socias SA New
Shares
*Investimentos Participacoes e Gestao
SA Inapa
*Jeronimo Martins (Estabelecimentos
Jeronimo Martins & Filho
Administracao e Participacoes
Financeiros SA)
*Mota-Engil SGPS SA
*Novabase SGPS
*Portucel-Empresa Produtora de
Pasta de Papel SA
*Sag Gest - Solucoes Automovel
Globais SGPS SA
*Salvador Caetano - Industrias
Metalurgicas e Veiculos de
Transporte SA
*Sociedad Construcoes Soares da
Costa SA
*Sociedade de Investimento e Gestao
SGPS SA
*Sonae SGPS SA
*Sonaecom SGPS SA
*Teixeira Duarte Engenharia e
Construcoes SA
194,100
211,732
20,200
14,462
77,485
67,263
163,000
679,964
27,166
113,325
43,702
137,777
130,000
250,900
56,005
1,371,341
448,132
399,451
466,977
778,090
235,500
409,334
54,900
197,430
19,200
$
44,190
160,396
1,079,900
321,175
721,015
906,152
885,501
609,000
562,118
---------------
TOTAL -- PORTUGAL
(Cost $6,340,397)
8,010,300
---------------
EMU -- (0.1%)
INVESTMENT IN CURRENCY -- (0.1%)
*Euro Currency
(Cost $463,597)
475,138
---------------
UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
*InFocus Corp.
(Cost $190,357)
10,455
UNITED KINGDOM -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling
(Cost $7,627)
82,804
---------------
8,306
---------------
<Caption>
FACE
AMOUNT
-----(000)
<S>
TEMPORARY CASH
INVESTMENTS -- (8.8%)
Repurchase Agreement, PNC Capital
Markets, Inc. 0.82%, 12/01/03
(Collateralized by $4,625,000 FHLB
Notes 1.875%, 02/15/05, valued at
$4,659,688) to be repuchased at
$4,590,314 (Cost $4,590,000)
Repurchase agreement, Mizuho
Securities USA, 1.05%, 12/01/03 (Collateralized by
$54,183,000 U.S. Treasury Obligations, rates ranging
from 2.976% to 5.625%, maturities ranging from
02/15/06 to 11/15/25, valued at $38,000,919) to be
repurchased at $38,004,244
(Cost $38,000,919)~
<C>
$
TOTAL TEMPORARY CASH
INVESTMENTS
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
<C>
4,590
4,590,000
38,001
38,000,919
---------------
(Cost $42,590,919)
42,590,919
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $366,549,627)++
$
485,434,900
===============
</Table>
---------+ See Note B to Financial Statements.
~ Security purchased with cash proceeds from securities on loan
* Non-Income Producing Securities
# Total or Partial Securities on Loan
*** Rates shown are the rates as of November 30, 2003, and maturities shown are
the next interest readjustment date.
++ The cost for federal income tax purposes is $363,107,669
See accompanying Notes to Financial Statements.
178
<Page>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 2004
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
<Table>
<Caption>
<S>
ASSETS:
Investments at Value (including $115,682, $13,462, $0 and
$65,441 of securities on loan, respectively)
Cash
Receivables:
Dividends, Interest and Tax Reclaims
Investment Securities Sold
Securities Lending Income
Prepaid Expenses and Other Assets
Total Assets
LIABILITIES:
Payables:
Collateral on Securities Loaned
Investment Securities Purchased
Due to Advisor
Accrued Expenses and Other Liabilities
Total Liabilities
NET ASSETS
Investments at Cost
THE
JAPANESE
SMALL
COMPANY
SERIES
----------<C>
THE
PACIFIC RIM
SMALL
COMPANY
SERIES
----------<C>
THE UNITED
KINGDOM
SMALL
COMPANY
SERIES
----------<C>
THE
CONTINENTAL
SMALL
COMPANY
SERIES
----------<C>
$
$
$
$
604,886
16
216,085
15
328,128
15
641,258
15
2,271
-154
2
----------607,329
-----------
201
4
22
1
----------216,328
-----------
1,109
993
-1
----------330,246
-----------
2,046
1,541
95
2
----------644,957
-----------
122,176
1,017
38
81
----------123,312
----------$
484,017
===========
$
623,649
===========
16,784
1,777
16
52
----------18,629
----------$
197,699
===========
$
238,088
===========
-22,942
24
70
----------23,036
----------$
307,210
===========
$
254,209
===========
69,376
299
47
102
----------69,824
----------$
575,133
===========
$
466,497
===========
THE
JAPANESE
SMALL
COMPANY
SERIES
----------<C>
THE
PACIFIC RIM
SMALL
COMPANY
SERIES
----------<C>
THE UNITED
KINGDOM
SMALL
COMPANY
SERIES
----------<C>
THE
CONTINENTAL
SMALL
COMPANY
SERIES
----------<C>
$
$
$
$
</Table>
179
<Page>
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 2003
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<Table>
<Caption>
<S>
ASSETS:
Investments at Value (including $70,102, $14,329, $0 and
$35,965 of securities on loan, respectively)
Cash
Receivables:
357,956
16
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
174,033
15
164,366
16
485,435
16
Dividends, Interest, and Tax Reclaims
Investment Securities Sold
Securities Lending Income
Fund Shares Sold
Total Assets
LIABILITIES:
Payables:
Collateral on Securities Loaned
Investment Securities Purchased
Due to Advisor
Accrued Expenses and Other Liabilities
Total Liabilities
NET ASSETS
Investments at Cost
1,019
225
------------359,216
-----------
233
2
19
-----------174,302
-----------
338
--152
----------164,872
-----------
1,153
66
------------486,670
-----------
73,727
1,714
24
52
----------75,517
----------$
283,699
===========
$
490,771
===========
16,984
490
13
50
----------17,537
----------$
156,765
===========
$
188,619
===========
-3,908
13
34
----------3,955
----------$
160,917
===========
$
124,176
===========
38,001
153
36
73
----------38,263
----------$
448,407
===========
$
366,550
===========
THE
JAPANESE
SMALL
COMPANY
SERIES
----------<C>
THE
PACIFIC RIM
SMALL
COMPANY
SERIES
----------<C>
THE UNITED
KINGDOM
SMALL
COMPANY
SERIES
----------<C>
THE
CONTINENTAL
SMALL
COMPANY
SERIES
----------<C>
$
3,107
54
717
----------3,878
-----------
$
4,363
34
133
----------4,530
-----------
$
4,062
28
-----------4,090
-----------
$
229
294
98
2
2
2
3
3
----------633
----------3,245
-----------
124
159
95
-1
1
1
2
----------383
----------4,147
-----------
116
148
30
1
2
2
1
1
----------301
----------3,789
-----------
311
381
236
4
5
2
4
4
----------947
----------7,753
-----------
</Table>
See accompanying Notes to Financial Statements.
180
<Page>
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2003
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
<S>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $354, $142, $408
and $1,105 respectively)
Interest
Income from Securities Lending
Total Investment Income
EXPENSES
Investment Advisory Services
Accounting & Transfer Agent Fees
Custodian Fees
Legal Fees
Audit Fees
Shareholders' Reports
Trustees' Fees and Expenses
Other
Total Expenses
NET INVESTMENT INCOME (LOSS)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT
SECURITIES AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment Securities Sold
Net Realized Gain (Loss) on Foreign Currency Transactions
Change in Unrealized Appreciation (Depreciation) of
Investment Securities and Foreign Currency
Translation of Foreign Currency Denominated Amounts
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN
CURRENCY
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS
(18,120)
54
(436)
18
(1,016)
30
7,905
240
555
----------8,700
-----------
12,045
315
101,101
16
-----------
56,281
4
-----------
42,580
5
-----------
120,867
69
-----------
83,051
-----------
55,867
-----------
41,599
-----------
133,296
-----------
$
86,296
===========
$
60,014
===========
$
45,388
===========
$
141,049
===========
</Table>
See accompanying Notes to Financial Statements.
181
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
<S>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)
Net Realized Gain (Loss) on
Investment Securities Sold
Net Realized Gain (Loss) on Foreign
Currency Transactions
Change in Unrealized Appreciation
(Depreciation) of Investment
Securities and Foreign Currency
Translation of Foreign Currency
Denominated Amounts
Net Increase (Decrease) in Net Assets
Resulting from Operations
Transactions in Interest:
Contributions
Withdrawals
Net Increase (Decrease) from
Transactions in Interest
Total Increase (Decrease)
NET ASSETS
Beginning of Period
End of Period
THE JAPANESE
SMALL
COMPANY
SERIES
-------------------------YEAR
YEAR
ENDED
ENDED
NOV. 30,
NOV. 30,
2003
2002
--------------------<C>
<C>
THE PACIFIC RIM
SMALL
COMPANY
SERIES
-------------------------YEAR
YEAR
ENDED
ENDED
NOV. 30,
NOV. 30,
2003
2002
--------------------<C>
<C>
$
$
3,245
$
(18,120)
2,638
(5,702)
54
$
(436)
140
101,101
4,147
(624)
18
(14,390)
5,077
(15)
56,281
5,451
16
-----------
39
-----------
4
-----------
(3)
-----------
86,296
-----------
(17,275)
-----------
60,014
-----------
9,886
-----------
53,153
(50,797)
-----------
46,066
(29,931)
-----------
25,155
(50,041)
-----------
12,243
(31,046)
-----------
2,356
----------88,652
16,135
----------(1,140)
(24,886)
----------35,128
(18,803)
----------(8,917)
195,047
----------$
283,699
===========
196,187
----------$
195,047
===========
121,637
----------$
156,765
===========
130,554
----------$
121,637
===========
<Caption>
<S>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)
Net Realized Gain (Loss) on
Investment Securities Sold
Net Realized Gain (Loss) on Foreign
Currency Transactions
Change in Unrealized Appreciation
(Depreciation) of Investment
Securities and Foreign Currency
Translation of Foreign Currency
Denominated Amounts
Net Increase (Decrease) in Net Assets
Resulting from Operations
Transactions in Interest:
Contributions
Withdrawals
Net Increase (Decrease) from
Transactions in Interest
Total Increase (Decrease)
NET ASSETS
Beginning of Period
THE UNITED
KINGDOM
SMALL COMPANY
SERIES
-------------------------YEAR
YEAR
ENDED
ENDED
NOV. 30,
NOV. 30,
2003
2002
--------------------<C>
<C>
THE CONTINENTAL
SMALL
COMPANY
SERIES
-------------------------YEAR
YEAR
ENDED
ENDED
NOV. 30,
NOV. 30,
2003
2002
--------------------<C>
<C>
$
$
3,789
(1,016)
30
42,580
$
3,080
(74)
79
(7,990)
7,753
$
5,452
12,045
3,013
315
134
120,867
(4,955)
5
-----------
4
-----------
69
-----------
147
-----------
45,388
-----------
(4,901)
-----------
141,049
-----------
3,791
-----------
41,630
(25,000)
-----------
19,447
(12,388)
-----------
97,585
(53,295)
-----------
79,614
(30,674)
-----------
16,630
----------62,018
7,059
----------2,158
44,290
----------185,339
48,940
----------52,731
98,899
-----------
96,741
-----------
263,068
-----------
210,337
-----------
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
End of Period
$
160,917
===========
$
98,899
===========
$
448,407
===========
$
263,068
===========
</Table>
See accompanying Notes to Financial Statements.
182
<Page>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
THE JAPANESE SMALL COMPANY SERIES
---------------------------------------------------------------YEAR
YEAR
YEAR
YEAR
YEAR
ENDED
ENDED
ENDED
ENDED
ENDED
NOV. 30,
NOV. 30,
NOV. 30,
NOV. 30,
NOV. 30,
2003
2002
2001
2000
1999
-------------------------------------------------------------------------------------------------------------------------<S>
<C>
<C>
<C>
<C>
<C>
Net Asset Value, Beginning of Period
N/A+
N/A+
N/A+
N/A+
N/A+
----------------------------------------INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss)
-----Net Gains (Losses) on Securities (Realized and
Unrealized)
---------------------------------------------Total From Investment Operations
------------------------------------------------------------------------------------------------------------------------------LESS DISTRIBUTIONS
Net Investment Income
-----Net Realized Gains
---------------------------------------------Total Distributions
------------------------------------------------------------------------------------------------------------------------------Net Asset Value, End of Period
N/A+
N/A+
N/A+
N/A+
N/A+
==========================================================================================================================
Total Return
47.87%
(9.62)%
(13.51)%
(9.93)%
33.83%
-------------------------------------------------------------------------------------------------------------------------Net Assets, End of Period (thousands)
$ 283,699
$ 195,047
$ 196,187
$ 196,118
$ 202,676
Ratio of Expenses to Average Net Assets
0.28%
0.27%
0.28%
0.27%
0.28%
Ratio of Net Investment Income to Average Net Assets
1.41%
1.26%
1.41%
1.38%
1.10%
Portfolio Turnover Rate
16%
5%
9%
6%
6%
<Caption>
THE PACIFIC RIM SMALL COMPANY SERIES
---------------------------------------------------------------YEAR
YEAR
YEAR
YEAR
YEAR
ENDED
ENDED
ENDED
ENDED
ENDED
NOV. 30,
NOV. 30,
NOV. 30,
NOV. 30,
NOV. 30,
2003
2002
2001
2000
1999
-------------------------------------------------------------------------------------------------------------------------<S>
<C>
<C>
<C>
<C>
<C>
Net Asset Value, Beginning of Period
N/A+
N/A+
N/A+
N/A+
N/A+
----------------------------------------INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss)
-----Net Gains (Losses) on Securities (Realized and
Unrealized)
---------------------------------------------Total From Investment Operations
------------------------------------------------------------------------------------------------------------------------------LESS DISTRIBUTIONS
Net Investment Income
-----Net Realized Gains
---------------------------------------------Total Distributions
------------------------------------------------------------------------------------------------------------------------------Net Asset Value, End of Period
N/A+
N/A+
N/A+
N/A+
N/A+
==========================================================================================================================
Total Return
61.47%
7.28%
2.84%
(10.99)%
54.81%
-------------------------------------------------------------------------------------------------------------------------Net Assets, End of Period (thousands)
$ 156,765
$ 121,637
$ 130,554
$ 131,888
$ 183,759
Ratio of Expenses to Average Net Assets
0.31%
0.32%
0.28%
0.29%
0.48%
Ratio of Net Investment Income to Average Net Assets
3.35%
3.77%
3.69%
4.10%
2.95%
Portfolio Turnover Rate
15%
26%
10%
7%
34%
</Table>
N/A+ Not applicable as The Japanese Small Company Series and The Pacific Rim
Small Company Series are organized as Partnerships.
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
See accompanying Notes to Financial Statements.
183
<Page>
<Table>
<Caption>
THE UNITED KINGDOM SMALL COMPANY SERIES
---------------------------------------------------------------YEAR
YEAR
YEAR
YEAR
YEAR
ENDED
ENDED
ENDED
ENDED
ENDED
NOV. 30,
NOV. 30,
NOV. 30,
NOV. 30,
NOV. 30,
2003
2002
2001
2000
1999
-------------------------------------------------------------------------------------------------------------------------<S>
<C>
<C>
<C>
<C>
<C>
Net Asset Value, Beginning of Period
N/A+
N/A+
N/A+
N/A+
N/A+
----------------------------------------INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss)
-----Net Gains (Losses) on Securities (Realized and
Unrealized)
---------------------------------------------Total From Investment Operations
------------------------------------------------------------------------------------------------------------------------------LESS DISTRIBUTIONS
Net Investment Income
-----Net Realized Gains
---------------------------------------------Total Distributions
------------------------------------------------------------------------------------------------------------------------------Net Asset Value, End of Period
N/A+
N/A+
N/A+
N/A+
N/A+
==========================================================================================================================
Total Return
44.65%
(4.67)%
(4.89)%
(6.18)%
36.75%
-------------------------------------------------------------------------------------------------------------------------Net Assets, End of Period (thousands)
$ 160,917
$ 98,899
$ 96,741
$ 109,806
$ 132,127
Ratio of Expenses to Average Net Assets
0.26%
0.26%
0.27%
0.26%
0.26%
Ratio of Net Investment Income to Average Net Assets
3.25%
3.03%
2.86%
3.06%
3.55%
Portfolio Turnover Rate
7%
6%
14%
11%
5%
<Caption>
THE CONTINENTAL SMALL COMPANY SERIES
---------------------------------------------------------------YEAR
YEAR
YEAR
YEAR
YEAR
ENDED
ENDED
ENDED
ENDED
ENDED
NOV. 30,
NOV. 30,
NOV. 30,
NOV. 30,
NOV. 30,
2003
2002
2001
2000
1999
-------------------------------------------------------------------------------------------------------------------------<S>
<C>
<C>
<C>
<C>
<C>
Net Asset Value, Beginning of Period
N/A+
N/A+
N/A+
N/A+
N/A+
----------------------------------------INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss)
-----Net Gains (Losses) on Securities (Realized and
Unrealized)
---------------------------------------------Total From Investment Operations
------------------------------------------------------------------------------------------------------------------------------LESS DISTRIBUTIONS
Net Investment Income
-----Net Realized Gains
---------------------------------------------Total Distributions
------------------------------------------------------------------------------------------------------------------------------Net Asset Value, End of Period
N/A+
N/A+
N/A+
N/A+
N/A+
==========================================================================================================================
Total Return
52.86%
3.22%
(5.43)%
2.67%
(5.89)%
-------------------------------------------------------------------------------------------------------------------------Net Assets, End of Period (thousands)
$ 448,407
$ 263,068
$ 210,337
$ 226,724
$ 252,368
Ratio of Expenses to Average Net Assets
0.30%
0.31%
0.30%
0.28%
0.27%
Ratio of Net Investment Income to Average Net Assets
2.49%
2.22%
2.73%
2.36%
1.92%
Portfolio Turnover Rate
11%
12%
12%
9%
11%
</Table>
N/A+ Not applicable as The United Kingdom Small Company Series and The
Continental Small Company Series are organized as Partnerships.
See accompanying Notes to Financial Statements.
184
<Page>
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
NOVEMBER 30, 2003
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Please Consider the Environment Before Printing This Document
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. At
November 30, 2003, the Trust consisted of twenty-five investment portfolios, of
which four are included in this report, (collectively, the "Portfolios")
(seventeen are presented in separate reports and four have not commenced
operations):
The
The
The
The
Japanese Small Company Series
Pacific Rim Small Company Series
United Kingdom Small Company Series
Continental Small Company Series
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America for
investment companies. Such policies are consistently followed by the Trust in
preparation of its financial statements. The preparation of financial statements
in accordance with accounting principles generally accepted in the United States
of America may require management to make estimates and assumptions that affect
the reported amounts and disclosures in the financial statements. Actual results
could differ from those estimates and those differences could be material.
1. SECURITY VALUATION: Securities held by the 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
available are valued at the mean between the most recent bid and asked prices.
Securities for which quotations are not readily available are valued in good
faith at fair value using methods approved by the Board of Trustees.
The Portfolios value their investment securities at fair value based upon
procedures approved by the Board on days when significant events occur after the
close of the principal exchange on which the securities are traded, and as a
result, are expected to materially affect the value of the investments.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and
liabilities of the Portfolios whose values are initially expressed in foreign
currencies are translated to U.S. dollars using the mean between the most
recently quoted bid and asked prices for the U.S. dollar. Dividend and interest
income and certain expenses are translated to U.S. dollars at the rate of
exchange on their respective accrual dates. Receivables and payables denominated
in foreign currencies are marked to market daily based on daily exchange rates
and exchange gains or losses are realized upon ultimate receipt or disbursement.
The Portfolios do not isolate the effect of fluctuations in foreign
exchange rates from the effect of fluctuations in the market prices of
securities held whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of the Portfolios
and the U.S. dollar equivalent amounts actually received or paid.
185
<Page>
3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Trustees may defer payment of a percentage of
their total fees earned as a Trustee. These deferred amounts may be treated as
though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Trustees' Fees and
Expenses.
4. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on an accrual basis. Discount and premium on securities
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purchased are amortized over the lives of the respective securities. Expenses
directly attributable to a Series are directly charged. Common expenses are
allocated using methods approved by the Board of Trustees, generally based on
average net assets.
The Portfolios may be subject to taxes imposed by countries in which they
invest, with respect to their investments in issuers existing or operating in
such countries. Such taxes are generally based on income earned or repatriated
and capital gains realized on the sale of such investments. The Funds 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.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor")provides
investment advisory services to the Trust. For the year ended November 30, 2003,
the Series' advisory fees were accrued daily and paid monthly to the Advisor
based on the following effective annual rates of average daily net assets:
<Table>
<S>
The
The
The
The
Japanese Small Company Series
Pacific Rim Small Company Series
United Kingdom Small Company Series
Continental Small Company Series
<C>
0.10
0.10
0.10
0.10
of
of
of
of
1%
1%
1%
1%
</Table>
Certain officers of the Series are also officers, directors and
shareholders of the Advisor.
D. DEFERRED COMPENSATION:
At November 30, 2003, the total liability for deferred compensation to
Trustees is included in Accrued Expenses and Other Liabilities as follows:
<Table>
<S>
The
The
The
The
Japanese Small Company Series
Pacific Rim Small Company Series
United Kingdom Small Company Series
Continental Small Company Series
<C>
$ 3,387
1,828
1,709
4,540
</Table>
E. PURCHASE AND SALES OF SECURITIES:
For the year ended November 30, 2003, the Series made the following
purchases and sales of investment securities other than short-term securities
(amounts in thousands):
<Table>
<Caption>
U.S. GOVERNMENT
SECURITIES
-----------------PURCHASES
SALES
--------- ------<C>
<C>
---------
<S>
The Japanese Small Company Series
The Pacific Rim Small Company Series
The United Kingdom Small Company Series
The Continental Small Company Series
</Table>
OTHER INVESTMENT
SECURITIES
-------------------PURCHASES
SALES
---------------<C>
<C>
$ 38,938
$ 35,111
18,448
36,918
30,044
8,326
90,324
33,179
186
<Page>
F. FEDERAL INCOME TAXES:
The Portfolios are treated as partnerships for federal income tax purposes
and therefore, no provision for federal income taxes is required. Any interest,
dividends, and gains or losses have been deemed to have been "passed down" to
their Feeder Funds.
At November 30, 2003, gross unrealized appreciation and depreciation for
federal income tax purposes of investment securities and foreign currencies was
as follows (amounts in thousands):
<Table>
<Caption>
GROSS UNREALIZED
APPRECIATION
GROSS UNREALIZED
DEPRECIATION
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Please Consider the Environment Before Printing This Document
NET
---------------<C>
$
27,406
37,402
60,761
152,374
<S>
The Japanese Small Company Series
The Pacific Rim Small Company Series
The United Kingdom Small Company Series
The Continental Small Company Series
</Table>
---------------<C>
$ (163,054)
(52,994)
(21,014)
(30,047)
G. FINANCIAL INSTRUMENTS:
In accordance with the Portfolios' Investment Objectives and Policies, the
Portfolios may invest in certain financial instruments that have off-balance
sheet risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. REPURCHASE AGREEMENTS: The Portfolios may purchase money market
instruments subject to the counterparty's agreement to repurchase them at an
agreed upon date and price. The counterparty will be required on a daily basis
to maintain the value of the collateral subject to the agreement at not less
than the repurchase price (including accrued interest). The agreements are
conditioned upon the collateral being deposited under the Federal Reserve
book-entry system with the Trust's custodian or a third party sub-custodian. In
the event of default or bankruptcy by the other party to the agreement,
retention of the collateral may be subject to legal proceedings. All open
repurchase agreements were entered into on November 28, 2003.
2. FOREIGN MARKET RISKS: Investments in foreign markets may involve certain
consideration and risks not typically associated with investments in the United
States, including the possibility of future political and economic developments
and the level of foreign government supervision and regulation of foreign
securities markets. These markets are generally smaller, less liquid and more
volatile than the major securities markets in the United States. Consequently,
acquisition and disposition of securities by the Fund may be inhibited.
H. LINE OF CREDIT:
The Trust, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit with its domestic
custodian bank. Each portfolio is permitted to borrow, subject to its investment
limitations, up to a maximum of $50 million, as long as total borrowings under
the line of credit do not exceed $50 million in the aggregate. Borrowings under
the line of credit are charged interest at the then current federal funds rate
plus 1%. Each portfolio is individually, and not jointly, liable for its
particular advances under the line of credit. There is no commitment fee on the
unused portion of the line of credit, since this is not a committed facility.
The agreement for the discretionary line of credit may be terminated at any
time. There were no borrowings under the line of credit by the Portfolios during
the year ended November 30, 2003.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit with its
international custodian bank. Each portfolio is permitted to borrow, subject to
investment limitations, up to a maximum of $150 million, as long as total
borrowings under the line of credit do not exceed $150 million in the aggregate.
Borrowings under the line of credit are charged interest at rates agreed to by
the parties at the time of borrowing. There is no commitment fee on the unused
line of credit. The agreement for the line of credit expires in April 2004.
There were no borrowings by the Trust under the line of credit during the year
ended November 30, 2003.
187
<Page>
I. SECURITIES LENDING:
As of November 30, 2003, some of the Trust's portfolios had securities on
loan to brokers/dealers, for which each portfolio held cash collateral. Each
portfolio invests the cash collateral, as described below, and records a
liability for the return of the collateral, during the period the securities are
on loan. Loans of securities are required at all times to be secured by
collateral at least equal to 100% of the market value of the securities on loan.
However, in the event of default or bankruptcy by the other party to the
agreement, realization and/or retention of the collateral may be subject to
legal proceedings. In the event that the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is insufficient
to cover the value of loaned securities and provided such collateral
insufficiency is not the result of investment losses. PNCBank, National
Association, the lending agent, has agreed to pay the amount of the shortfall
to the portfolio or, at the option of the lending agent, to replace the
securities.
Cash collateral of each Portfolio received from securities on loan is
invested along with cash collateral from the other Portfolios of the Series in
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----------<C>
$ (135,648)
(15,592)
39,747
122,327
repurchase agreements collateralized by U.S. government securities. These
investments are accounted for separately for each Portfolio. Securities pledged
as collateral for the repurchase agreements are held by a custodian bank until
the agreements mature.
188
<Page>
REPORT OF INDEPENDENT REGISTERED CERTIFIED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS OF THE PORTFOLIOS, AS DEFINED, AND BOARD OF TRUSTEES OF THE
DFA INVESTMENT TRUST COMPANY
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of The Japanese Small Company Series,
The Pacific Rim Small Company Series, The United Kingdom Small Company Series
and The Continental Small Company Series (constituting portfolios within The DFA
Investment Trust Company, hereafter referred to as the "Portfolios") at November
30, 2003, the results of each of their operations for the year then ended, and
the changes in each of their net assets for each of the two years in the period
then ended and the financial highlights for each of the five years in the period
then ended, in conformity with accounting principles generally accepted in the
United States of America. These financial statements and financial highlights
(hereafter referred to as "financial statements") are the responsibility of the
Portfolios' management; our responsibility is to express an opinion on these
financial statements based on our audits. We conducted our audits of these
financial statements in accordance with the standards of the Public Company
Accounting Oversight Board (United States), which require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at
November 30, 2003 by correspondence with the custodian and brokers, provide a
reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Fort Lauderdale, Florida
January 15, 2004
189
<Page>
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Master Funds use in
voting proxies relating to securities held in their portfolio's is available
without charge, upon request, by calling collect: (310) 395-8005. Information
regarding how the Advisor votes these proxies will become available from the
EDGAR database on the SEC's website at http://www.sec.gov no later than August
31, 2004 when the Funds file their first report on Form N-PX and will reflect
the twelve-month period beginning July 1, 2003 and ending June 30, 2004.
190
<Page>
ITEM 2.
CODE OF ETHICS.
(a) As of the end of the period, June 30, 2004, the registrant has adopted a
code of ethics, as defined in Item 2(b) of Form N-CSR, that applies to the
registrant's principal executive officer and principal financial officer.
(c) The registrant has not made any amendment to its code of ethics during the
covered period.
(d) The registrant has not granted any waivers from any provisions of the code
of ethics during the covered period.
(f) A copy of the registrant's code of ethics is filed as Exhibit 11(a)(1) to
this Form N-CSR.
ITEM 3.
AUDIT COMMITTEE FINANCIAL EXPERT.
(a)(1) The registrant's Board of Trustees (the "Board") has determined that the
registrant has at least one member serving on the registrant's Audit Committee
that possess the attributes identified in Item 3 of Form N-CSR to qualify as an
"audit committee financial expert."
(a)(2) The names of the audit committee financial experts are Bryan W. Brown,
Mark A. Schimbor and Harold M. Shefrin. Each audit committee financial expert
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has been deemed to be "independent" as that term is defined in Item 3(a)(2) of
Form N-CSR.
ITEM 4.
PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) AUDIT FEES.
For the fiscal years ending June 30, 2004 and June 30, 2003, the aggregate audit
fees billed for professional services rendered by the principal accountant were
$120,745 and $111,452, respectively. The nature of the services are (1) auditing
of the statements of assets and liabilities, related statements of operations
and changes in net assets, and the financial highlights of each series of the
registrant; (2) auditing and reporting on the financial statements to be
included in the amendment to the registrant's registration statement on Form
N-1A to be filed with the Securities and Exchange Commission; (3) review of the
amendment to the registration statement; and (4)
<Page>
issuance of a Report on Internal Control for inclusion in the registrant's Form
N-SAR.
<Page>
(b) AUDIT-RELATED FEES.
For the fiscal years ending June 30, 2004 and June 30, 2003, the principal
accountant did not bill the registrant any fees for assurances and related
services that are reasonably related to the performance of the audit of the
registrant's financial statements and are not reported under paragraph (a) of
this Item.
(c) TAX FEES.
For the fiscal years ending June 30, 2004 and June 30, 2003, the aggregate tax
fees billed for professional services rendered by the principal accountant were
$25,180 and $24,000, respectively. Services included the review of the
registrant's federal, state and local income, franchise and other tax returns.
(d) ALL OTHER FEES.
There were no other fees billed by the principal accountant for the fiscal years
ending June 30, 2004 and June 30, 2003.
(e)(1) AUDIT COMMITTEE PRE-APPROVAL POLICIES AND PROCEDURES.
The registrant's Audit Committee Charter states the following with respect to
pre-approval procedures:
The committee shall pre-approve all auditing services and permissible non-audit
services (e.g., tax services). The committee may delegate to one or more of its
members the authority to grant pre-approvals. The decisions of any member to
whom authority is delegated under this paragraph shall be presented to the full
committee at each of its scheduled meetings. Pre-approval for permissible
non-audit services is not required if: (i) the aggregate amount of all such
non-audit services provided to the Trust constitutes not more than 5% of the
total amount of revenues paid by the Trust to the auditor during the fiscal year
in which the non-audit services are provided; (ii) such services were not
recognized by the Trust at the time of the engagement to be non-audit services;
and (iii) such services are promptly brought to the attention of the committee
and approved prior to the completion of the audit by the committee or by one or
more members of the committee to whom authority to grant such approvals has been
delegated by the committee.
(e)(2) PERCENTAGE OF SERVICES.
One hundred percent of the services described in each of paragraphs (b) through
(d) of this Item were approved by the
<Page>
registrant's Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of
Regulation S-X.
(f)
Not applicable.
(g) There were no non-audit fees billed by the principal accountant for
services rendered to the registrant for the fiscal years ending June 30, 2004
and June 30, 2003.
(h)
Not applicable.
ITEM 5.
DISCLOSURE OF AUDIT COMMITTEES FOR LISTED COMPANIES.
Not applicable to the registrant.
ITEM 6.
SCHEDULE OF INVESTMENTS.
Item not applicable for periods ending before July 9, 2004.
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ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the registrant.
ITEM 8. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable to the registrant.
ITEM 9.
SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Registrant has not adopted any material changes to the procedures by which
shareholders may recommend nominees to the registrant's Board.
ITEM 10. CONTROLS AND PROCEDURES.
(a) Within 90 days of the filing date of this Form N-CSR, Alexander Potts, the
registrant's President, Chief Executive Officer and Principal Executive Officer,
and Denis Taillieu, the registrant's Treasurer, Chief Financial and Accounting
Officer and Principal Financial Officer, reviewed the registrant's disclosure
controls and procedures and evaluated their effectiveness. Based on their
review, Messrs. Potts and Taillieu determined that the disclosure controls and
procedures adequately ensure that information required to be disclosed by the
registrant in its periodic reports is recorded, processed,
<Page>
summarized and reported within the time periods required by the Securities and
Exchange Commission.
(b) There were no significant changes in the registrant's internal controls or
in other factors that could significantly affect these controls subsequent to
the date of their evaluation, including any corrective actions with regard to
significant deficiencies and material weaknesses.
ITEM 11. EXHIBITS.
(a)(1)
Code of Ethics referred to in Item 2.
(a)(2) Separate certifications required by Rule 30a-2(a) under the Investment
Company Act of 1940 for each principal executive officer and principal financial
officer of the registrant are attached.
(b) A single certification required by Rule 30a-2(b) under the Investment
Company Act of 1940, Rule 13a-14(b) or Rule 15d-14(b) under the Securities
Exchange Act of 1934 and Section 1350 of Chapter 63 of Title 18 of the United
States Code for the principal executive officer and principal financial officer
of the registrant is attached.
<Page>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
SA FUNDS - INVESTMENT TRUST
By:
Date:
/s/ Alexander Potts
--------------------------Alexander Potts
President, Chief Executive Officer and Principal Executive
Officer
August 27, 2004
----------------------------
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By:
Date:
/s/ Alexander Potts
--------------------------Alexander Potts
President, Chief Executive Officer and Principal Executive
Officer
August 27, 2004
----------------------------
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By:
/s/ Denis Taillieu
--------------------------Denis Taillieu
Treasurer, Chief Financial and Accounting Officer and Principal Financial
Officer
Date:
August 26, 2004
----------------------------
<Page>
EXHIBIT INDEX
(a)(1)
Code of Ethics referred to in Item 2.
(a2) Certifications of principal executive officer and principal financial
officer of the registrant as required by Rule 30a-2(a) under the 1940 Act.
(EX-99.CERT)
(b) Certifications of principal executive officer and principal financial
officer of the registrant as required by Rule 30a-2(b) under the 1940 Act.
(EX-99.906CERT)
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<Page>
SA FUNDS - INVESTMENT TRUST (the "Trust")
CODE OF ETHICS FOR
PRINCIPAL EXECUTIVE AND SENIOR FINANCIAL OFFICERS
I.
COVERED OFFICERS/PURPOSE OF CODE
This code of ethics (the "Code") of the Trust applies to the Trust's
Principal Executive Officer, Principal Financial and Accounting Officer and any
other officers of the Trust serving similar functions (the "Covered Officers"
each of whom are set forth in Exhibit A) for the purpose of promoting:
-
honest and ethical conduct, including the ethical handling of actual or
apparent conflicts of interest between personal and professional
relationships;
-
full, fair, accurate, timely and understandable disclosure in reports
and documents that a registrant files with, or submits to, the U.S.
Securities and Exchange Commission ("SEC") and in other public
communications made by the Trust;
-
compliance with applicable laws and governmental rules and regulations;
-
the prompt internal reporting to an appropriate person or persons
identified in the Code of violations of the Code; and
-
accountability for adherence to the Code.
Each Covered Officer should adhere to a high standard of business ethics and
should be sensitive to situations that may give rise to actual as well as
apparent conflicts of interest.
II. COVERED OFFICERS SHOULD HANDLE ETHICALLY ACTUAL AND APPARENT CONFLICTS OF
INTEREST
OVERVIEW. A "conflict of interest" occurs when a Covered Officer's private
interest interferes with the interests of, or his service to, the Trust. For
example, a conflict of interest would arise if a Covered Officer, or a member of
his family, receives improper personal benefits as a result of his position with
the Trust.
Certain conflicts of interest arise out of the relationships between
Covered Officers and the Trust and already are subject to conflict of interest
provisions in the Investment Company Act of 1940 (the "1940 Act") and the
Investment Advisers Act of 1940 (the "Advisers Act"). For example, Covered
Officers may not individually engage in certain transactions (such as the
<Page>
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purchase or sale of securities or other property) with the Trust because of
their status as "affiliated persons" of the Trust. The Trust's and the
investment adviser's compliance programs and procedures are designed to prevent,
or identify and correct, violations of these provisions. This Code does not, and
is not intended to, repeat or replace these programs and procedures, and such
conflicts fall outside of the parameters of this Code.
Although typically not presenting an opportunity for improper personal
benefit, conflicts arise from, or as a result of, the contractual relationship
between the Trust and the Trust's investment adviser (the "Adviser") of which
the Covered Officers are also officers or employees. As a result, this Code
recognizes that the Covered Officers will, in the normal course of their duties
(whether formally for the Trust or for the Adviser, or for both), be involved in
establishing policies and implementing decisions which will have different
effects on the Adviser and the Trust. The participation of the Covered Officers
in such activities is inherent in the contractual relationship between the Trust
and the Adviser and is consistent with the performance by the Covered Officers
of their duties as officers of the Trust. Thus, if addressed in conformity with
the provisions of the 1940 Act and the Advisers Act, such activities will be
deemed to have been handled ethically. In addition, it is recognized by the
Trust's Board of Trustees that the Covered Officers may also be officers or
employees of one or more other investment companies covered by this or other
Codes.
Other conflicts of interest are covered by the Code, even if such conflicts
of interest are not subject to provisions in the 1940 Act and the Advisers Act.
The following list provides examples of conflicts of interest under the Code,
Covered Officers should keep in mind that these examples are not exhaustive. The
overarching principle is that the personal interest of a Covered Officer should
not be placed improperly before the interest of the Trust.
*
*
*
*
Each Covered Officer must:
-
not use his personal influence or personal relationships improperly to
influence investment decisions or financial reporting by the Trust
whereby the Covered Officer would benefit personally to the detriment of
the Trust;
2
<Page>
-
not cause the Trust to take action, or fail to take action, for the
individual personal benefit of the Covered Officer rather than the
benefit the Trust;
-
not use material non-public knowledge of portfolio transactions made or
contemplated for the Trust to trade personally or cause others to trade
personally in contemplation of the market effect of such transactions;
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-
report at least annually any affiliations or other relationships related
to conflicts of interest in accordance with the Trust's Trustees &
Officers Questionnaire.
Some conflict of interest situations that should be discussed with the
Chief Legal Officer, if material, include the following:
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service as a director on the board of any public or private company;
-
the receipt of any gifts from any business contact in excess of $250;
-
the receipt of any entertainment from any company with which the Trust
has current or prospective business dealings unless such entertainment
is business related, reasonable in cost, appropriate as to time and
place, and not so frequent as to raise any question of impropriety;
-
any ownership interest in, or any consulting or employment relationship
with, any of the Trust's service providers, other than its investment
adviser, principal underwriter, administrator or any affiliated person
thereof;
-
a direct or indirect financial interest in commissions, transaction
charges or spreads paid by the Trust for effecting portfolio
transactions or for selling or redeeming shares other than an interest
arising from the Covered Officer's employment, such as compensation or
equity ownership.
III. DISCLOSURE & COMPLIANCE
-
Each Covered Officer should familiarize himself with the disclosure
requirements generally applicable to the Trust;
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each Covered Officer should not knowingly misrepresent, or cause others
to misrepresent, facts about the Trust to others, whether within or
outside the Trust, including to the Trust's trustees and auditors, and
to governmental regulators and self-regulatory organizations;
-
each Covered Officer should, to the extent appropriate within his area
of responsibility, consult with other officers and employees of the
Trust and the Adviser with the goal of promoting full, fair, accurate,
timely and understandable disclosure in the reports and documents the
Trust files with, or submits to, the SEC and in other public
communications made by the Trust; and
-
it is the responsibility of each Covered Officer to promote compliance
with the standards and restrictions imposed by applicable laws, rules
and regulations.
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IV.
REPORTING & ACCOUNTABILITY
Each Covered Officer must:
-
upon adoption of the Code (or thereafter as applicable, upon becoming a
Covered Officer), affirm in writing to the Board that he has received,
read, and understands the Code;
-
annually thereafter affirm to the Board that he has complied with the
requirements of the Code;
-
not retaliate against any employee or Covered Officer for reports of
potential violations that are made in good faith; and
-
notify the Chief Legal Officer promptly if he becomes aware of any
violation of this Code. Failure to do so is itself a violation of this
Code.
The Chief Legal Officer (or her designee) is responsible for applying this
Code to specific situations in which questions are presented under it and has
the authority to interpret this Code in any particular situation. However, any
approvals or waivers sought by the Principal Executive Officer will be
considered by the Audit Committee (the "Committee").
The Trust will follow these procedures in investigating and enforcing this
Code:
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the Chief Legal Officer will take all action appropriate to investigate
any actual or potential violations reported to her;
-
if, after such investigation, the Chief Legal Officer believes that no
violation has occurred, she is not required to take any further action;
-
any matter that the Chief Legal Officer believes is a violation will be
reported to the Committee;
-
if the Committee concurs that a violation has occurred, it will inform
and make a recommendation to the Board, which will consider appropriate
action, which may include review of, and appropriate modifications to,
applicable policies and procedures; notification to appropriate
personnel of the Adviser or its board; or a recommendation to dismiss
the Covered Officer;
-
the Committee will be responsible for granting waivers, as appropriate;
and
-
any changes to or waivers of this Code will, to the extent required, be
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disclosed as provided by SEC rules.
The Chief Legal Officer (or her designee) is authorized to consult, as
appropriate, with the Audit Committee, counsel to the Trust and counsel to the
Independent Trustees, and is encouraged to do so.
V.
OTHER POLICIES AND PROCEDURES
This Code shall be the sole code of ethics adopted by the Trust for
purposes of Section 406 of the Sarbanes-Oxley Act and the rules and forms
applicable to registered investment companies thereunder. Insofar as other
policies or procedures of the Trust, the Adviser, principal underwriter or other
service providers govern or purport to govern the behavior or activities of the
Covered Officers who are subject to this Code, they are superseded by this Code
to the extent that they conflict with the provisions of this Code. The Trust's
and the Adviser's codes of ethics under Rule 17j-1 under the 1940 Act and the
Adviser's more detailed policies and procedures set forth in its compliance
manual are separate requirements applying to Covered Officers and others, and
are not part of this Code.
VIII. AMENDMENTS
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Any substantive amendments to this Code, other than amendments to Exhibit
A, must be approved or ratified by a majority vote of the board of trustees,
including a majority of independent trustees.
IX.
CONFIDENTIALITY
All reports and records prepared or maintained pursuant to this Code will
be considered confidential and shall be maintained and protected accordingly.
Except as otherwise required by law or this Code, such matters shall not be
disclosed to anyone other than the Trust and its counsel, the Adviser and its
counsel, and members of the Board of Trustees and their counsel.
X.
INTERNAL USE
The Code is intended solely for the internal use by the Trust and does not
constitute an admission, by or on behalf of the Trust, as to any fact,
circumstance, or legal conclusion.
Date: July 1, 2003
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EXHIBIT A
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PERSONS COVERED BY THIS CODE OF ETHICS:
Alexander Potts
Denis Taillieu
Date: March 16, 2004
7
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<Page>
EX-99.CERT
I, Alexander Potts, President, Chief Executive Officer and Principal Executive
Officer of SA Funds - Investment Trust (the "registrant"), certify that:
1.
I have reviewed this report on Form N-CSR of the registrant;
2.
Based on my knowledge, this report does not contain any untrue statement of
a material fact or omit to state a material fact necessary to make the
statements made, in light of the circumstances under which such statements
were made, not misleading with respect to the period covered by this
report;
3.
Based on my knowledge, the financial statements, and other financial
information included in this report, fairly present in all material
respects the financial condition, results of operations, changes in net
assets, and cash flows (if the financial statements are required to include
a statement of cash flows) of the registrant as of, and for, the periods
presented in this report;
4.
The registrant's other certifying officers and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined
in Rule 30a-3(c) under the Investment Company Act of 1940) for the
registrant and have:
a)
designed such disclosure controls and procedures to ensure that
material information relating to the registrant, including its
consolidated subsidiaries, is made known to us by others within those
entities, particularly during the period in which this report is being
prepared;
b)
evaluated the effectiveness of the registrant's disclosure controls
and procedures as of a date within 90 days prior to the filing date of
this report (the "Evaluation Date"); and
c)
presented in this report our conclusions about the effectiveness of
the disclosure controls and procedures based on our evaluation as of
the Evaluation Date;
<Page>
5.
The registrant's other certifying officers and I have disclosed to the
registrant's auditors and the audit committee of the registrant's board of
directors (or persons performing the equivalent functions):
a)
all significant deficiencies and material weaknesses in the design or
operation of internal controls over financial reporting which are
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reasonably likely to adversely affect the registrant's ability to
record, process, summarize, and report financial information; and
b)
By:
any fraud, whether or not material, that involves management or other
employees who have a significant role in the registrant's internal
controls over financial reporting.
/s/ Alexander Potts
--------------------------Alexander Potts
President, Chief Executive Officer and Principal Executive
Officer
Date:
August 27, 2004
----------------------------
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I, Denis Taillieu, Treasurer, Chief Financial and Accounting Officer and
Principal Financial Officer of SA Funds - Investment Trust (the "registrant"),
certify that:
1.
I have reviewed this report on Form N-CSR of the registrant;
2.
Based on my knowledge, this report does not contain any untrue statement of
a material fact or omit to state a material fact necessary to make the
statements made, in light of the circumstances under which such statements
were made, not misleading with respect to the period covered by this
report;
3.
Based on my knowledge, the financial statements, and other financial
information included in this report, fairly present in all material
respects the financial condition, results of operations, changes in net
assets, and cash flows (if the financial statements are required to include
a statement of cash flows) of the registrant as of, and for, the periods
presented in this report;
4.
The registrant's other certifying officers and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined
in Rule 30a-3(c) under the Investment Company Act of 1940) for the
registrant and have:
a)
designed such disclosure controls and procedures to ensure that
material information relating to the registrant, including its
consolidated subsidiaries, is made known to us by others within those
entities, particularly during the period in which this report is being
prepared;
b)
evaluated the effectiveness of the registrant's disclosure controls
and procedures as of a date within 90 days prior to the filing date of
this report (the "Evaluation Date"); and
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c)
presented in this report our conclusions about the effectiveness of
the disclosure controls and procedures based on our evaluation as of
the Evaluation Date;
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5.
By:
Date:
The registrant's other certifying officers and I have disclosed to the
registrant's auditors and the audit committee of the registrant's board of
directors (or persons performing the equivalent functions):
a)
all significant deficiencies and material weaknesses in the design or
operation of internal controls over financial reporting which are
reasonably likely to adversely affect the registrant's ability to
record, process, summarize, and report financial information; and
b)
any fraud, whether or not material, that involves management or other
employees who have a significant role in the registrant's internal
controls over financial reporting.
/s/ Denis Taillieu
--------------------------Denis Taillieu
Treasurer, Chief Financial and Accounting Officer and Principal Financial
Officer
August 26, 2004
----------------------------
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<Page>
EX-99.906CERT
We, Alexander Potts, President, Chief Executive Officer and Principal
Executive Officer, and Denis Taillieu, Treasurer, Chief Financial and Accounting
Officer and Principal Financial Officer of SA Funds - Investment Trust (the
"registrant"), certify that:
By:
Date:
By:
Date:
1.
The report on Form N-CSR of the registrant (the "Report") fully
complies with the requirements of Section 13(a) or 15(d) of the
Securities Exchange Act of 1934; and
2.
The information contained in the Report fairly presents, in all
material respects, the financial condition and results of operations
of the registrant.
/s/ Alexander Potts
--------------------------Alexander Potts
President, Chief Executive Officer and Principal Executive
Officer
August 27, 2004
---------------------------/s/ Denis Taillieu
--------------------------Denis Taillieu
Treasurer, Chief Financial and Accounting Officer and Principal Financial
Officer
August 26, 2004
----------------------------
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