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                                 UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION
                             Washington, D.C. 20549

 

                                    FORM N-Q

 

             QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
                         MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number                          811-7436        
                                                                            
                      THE DFA INVESTMENT TRUST COMPANY                      
             (Exact name of registrant as specified in charter)             
                                                                            
             1299 Ocean Avenue, Santa Monica, CA                    90401   
           (Address of principal executive offices)              (Zip code) 
                                                                            
         Catherine L. Newell, Esquire, Vice President and Secretary         
                     The DFA Investment Trust Company,                      
                 1299 Ocean Avenue, Santa Monica, CA  90401                 
                  (Name and address of agent for service)                   
                                                                            
Registrant's telephone number, including area code:    310-395-8005         
                                                                            
Date of fiscal year end:          November 30                               
                                                                            
Date of reporting period:         August 31, 2008                           


 

--------------------------------------------------------------------------------

 

ITEM 1.    SCHEDULE OF INVESTMENTS.

 

--------------------------------------------------------------------------------

                                        

                        The DFA Investment Trust Company

                                    Form N-Q

                                August 31, 2008

                                  (Unaudited)

                                        

                               Table of Contents

                                        

Definitions of Abbreviations and Footnotes      
                                                
Schedules of Investments                        
The U.S. Large Company Series                   
The Enhanced U.S. Large Company Series          
The U.S. Large Cap Value Series                 
The U.S. Small Cap Value Series                 
The U.S. Small Cap Series                       
The U.S. Micro Cap Series                       
The DFA International Value Series              
The Japanese Small Company Series               
The Asia Pacific Small Company Series           
The United Kingdom Small Company Series         
The Continental Small Company Series            
The Canadian Small Company Series               
The Emerging Markets Series                     
The Emerging Markets Small Cap Series           
The DFA One-Year Fixed Income Series            
The DFA Two-Year Global Fixed Income Series     
The Tax-Managed U.S. Marketwide Value Series    
The Tax-Managed U.S. Equity Series              
The Global Value Series                         
The Global Large Company Series                 
The Global Small Company Series                 
                                                
Notes to Schedules of Investments               
Organizational Note                             
Security Valuation Note                         
Federal Tax Cost Note                           
Subsequent Event Note                           


                                        

                                       1

--------------------------------------------------------------------------------

 

                        THE DFA INVESTMENT TRUST COMPANY

                                        

                   DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES

                                        

Schedules of Investments

 

Investment Abbreviations

ADR   American Depository Receipt                                        
FHLMC Federal Home Loan Mortgage Corporation                             
FNMA  Federal National Mortgage Association                              
NVDR  Non-Voting Depository Receipt                                      
STRIP Separate Trading of Registered Interest and Principal of Securities


 

Investment Footnotes

†         See Security Valuation Note within the Notes to Schedules of          
          Investments.                                                          
††        Securities have been fair valued. See Security Valuation Note within  
          the Notes to Schedules of Investments.                                
*         Non-Income Producing Security.                                        
#         Total or Partial Securities on Loan.                                  
^         Denominated in local currency or the Euro, unless otherwise noted.    
@         Security purchased with cash proceeds from securities on loan.        
##        See Federal Tax Cost Note within the Notes to Schedules of            
          Investments.                                                          
†         Security is being fair valued at August 31, 2008.                     
(r)       The adjustable rate shown is effective as of August 31, 2008.         
(t)       Face Amount Denominated in Australian Dollars.                        
(j)       Face Amount Denominated in Japanese Yen.                              
(f)       Face Amount Denominated in Swiss Francs.                              
(u)       Face Amount Denominated in United States Dollars.                     
—         Amounts designated as — are either zero or rounded to zero.           
§         Affiliated Fund.                                                      


                                        

                                       1

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                         THE U.S. LARGE COMPANY SERIES

                            SCHEDULE OF INVESTMENTS

                                August 31, 2008

                                  (Unaudited)

 

                                               Shares       Value †    
                                                                       
COMMON STOCKS — (89.1%)                                                
Consumer Discretionary — (7.7%)                                        
  #   Abercrombie & Fitch Co.                    33,357   $ 1,749,575  
# *   Amazon.com, Inc.                          118,626     9,586,167  
  *   Apollo Group, Inc. Class A                 49,888     3,176,868  
# *   AutoNation, Inc.                           51,391       583,288  
# *   Autozone, Inc.                             16,499     2,264,158  
# *   Bed Bath and Beyond, Inc.                  99,375     3,046,837  
      Best Buy Co., Inc.                        132,759     5,943,620  
# *   Big Lots, Inc.                             31,329       926,399  
      Black & Decker Corp.                       23,462     1,483,972  
      Carnival Corp.                            167,632     6,212,442  
      CBS Corp. Class B                         261,375     4,229,048  
      Centex Corp.                               47,392       768,698  
  *   Coach, Inc.                               130,991     3,797,429  
      Comcast Corp. Class A                   1,136,407    24,069,100  
  #   D.R. Horton, Inc.                         105,471     1,314,169  
  #   Darden Restaurants, Inc.                   53,750     1,574,338  
  #   Dillards, Inc. Class A                     21,958       280,404  
      Disney (Walt) Co.                         731,211    23,654,676  
  #   Eastman Kodak Co.                         110,616     1,790,873  
  *   Expedia, Inc.                              80,200     1,416,332  
  #   Family Dollar Stores, Inc.                 53,615     1,336,086  
# *   Ford Motor Co.                            860,487     3,837,772  
      Fortune Brands, Inc.                       58,985     3,469,498  
  *   GameStop Corp. Class A                     62,064     2,722,748  
  #   Gannett Co., Inc.                          87,770     1,561,428  
  #   Gap, Inc.                                 172,270     3,350,652  
  #   General Motors Corp.                      217,290     2,172,900  
  #   Genuine Parts Co.                          62,873     2,667,073  
  *   Goodyear Tire & Rubber Co.                 92,328     1,810,552  
      H&R Block, Inc.                           124,877     3,189,359  
      Harley-Davidson, Inc.                      90,790     3,611,626  
      Harman International Industries, Inc.      22,330       759,890  
      Hasbro, Inc.                               53,209     1,990,017  
  #   Home Depot, Inc.                          651,318    17,663,744  
  #   International Game Technology             118,824     2,546,398  
# *   Interpublic Group of Companies, Inc.      181,133     1,702,650  
      J.C. Penney Co., Inc.                      85,218     3,320,945  
      Johnson Controls, Inc.                    227,754     7,042,154  
  #   Jones Apparel Group, Inc.                  33,234       660,027  
  #   KB Home                                    29,566       614,973  
  *   Kohl’s Corp.                              117,720     5,788,292  
  #   Leggett & Platt, Inc.                      63,837     1,424,203  
  #   Lennar Corp. Class A                       53,674       705,813  


                                        

                                       1

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      Limited Brands, Inc.                          114,947     2,390,898  
  #   Liz Claiborne, Inc.                            36,377       589,671  
      Lowe’s Companies, Inc.                        561,796    13,842,653  
      Macy’s, Inc.                                  161,379     3,359,911  
      Marriott International, Inc. Class A          115,336     3,253,629  
      Mattel, Inc.                                  138,904     2,685,014  
      McDonald’s Corp.                              435,048    26,994,728  
  #   McGraw-Hill Companies, Inc.                   123,315     5,282,815  
  #   Meredith Corp.                                 14,206       403,166  
  #   Newell Rubbermaid, Inc.                       106,274     1,923,559  
      News Corp. Class A                            883,882    12,515,769  
      NIKE, Inc. Class B                            145,609     8,825,361  
  #   Nordstrom, Inc.                                67,429     2,097,042  
  *   Office Depot, Inc.                            104,817       737,912  
      Omnicom Group, Inc.                           122,931     5,211,045  
  #   Polo Ralph Lauren Corp.                        22,130     1,679,224  
  #   Pulte Homes, Inc.                              81,988     1,189,646  
  #   RadioShack Corp.                               50,353       957,211  
      Scripps Networks Interactive                   12,400       515,096  
# *   Sears Holdings Corp.                           26,853     2,469,133  
  #   Sherwin-Williams Co.                           37,938     2,221,270  
      Snap-On, Inc.                                  22,126     1,261,625  
      Staples, Inc.                                 269,475     6,521,295  
  *   Starbucks Corp.                               279,407     4,347,573  
  #   Starwood Hotels & Resorts Worldwide, Inc.      71,652     2,597,385  
  #   Target Corp.                                  298,789    15,841,793  
# *   The DIRECTV Group, Inc.                       272,660     7,691,739  
  #   The New York Times Co. Class A                 55,181       716,801  
  #   The Stanley Works                              30,083     1,442,480  
  #   The TJX Companies, Inc.                       163,000     5,907,120  
  #   Tiffany & Co.                                  48,348     2,135,531  
      Time Warner, Inc.                           1,373,370    22,482,067  
      Tyco Electronics, Ltd.                        183,466     6,037,866  
  #   V.F. Corp.                                     33,507     2,655,430  
  *   Viacom, Inc. Class B                          242,859     7,159,483  
      Washington Post Co.                             2,230     1,330,195  
      Wendy’s International, Inc.                    33,640       816,443  
  #   Whirlpool Corp.                                28,833     2,345,853  
      Wyndham Worldwide Corp.                        67,885     1,308,823  
      Yum! Brands, Inc.                             181,818     6,487,266  
Total Consumer Discretionary                                  370,048,714  
                                                                           
Consumer Staples — (10.1%)                                                 
      Altria Group, Inc.                            803,807    16,904,061  
      Anheuser-Busch Companies, Inc.                273,679    18,571,857  
      Archer-Daniels-Midland Co.                    247,138     6,292,133  
      Avon Products, Inc.                           163,790     7,015,126  
  #   Brown-Forman Corp. Class B                     32,371     2,331,036  
      Campbell Soup Co.                              82,701     3,044,224  
      Clorox Co.                                     52,903     3,126,567  
      Coca-Cola Co.                                 766,686    39,921,340  
      Coca-Cola Enterprises, Inc.                   110,409     1,884,682  
      Colgate-Palmolive Co.                         194,897    14,818,019  
      ConAgra, Inc.                                 174,610     3,713,955  
  *   Constellation Brands, Inc. Class A             74,990     1,583,039  


                                        

                                       2

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      Costco Wholesale Corp.                166,284    11,151,005  
      CVS Caremark Corp.                    548,597    20,078,650  
  *   Dean Foods Co.                         58,315     1,467,789  
      Estee Lauder Companies, Inc.           43,898     2,184,803  
  #   General Mills, Inc.                   128,587     8,509,888  
      Heinz (H.J.) Co.                      120,954     6,086,405  
      Kellogg Co.                            97,413     5,303,164  
      Kimberly-Clark Corp.                  160,595     9,905,500  
  #   Kraft Foods, Inc.                     581,855    18,334,251  
      Lorillard, Inc.                        66,751     4,822,092  
      McCormick & Co., Inc.                  49,199     1,990,100  
      Molson Coors Brewing Co.               53,712     2,559,377  
      Pepsi Bottling Group, Inc.             51,958     1,536,918  
      PepsiCo, Inc.                         608,743    41,686,721  
      Philip Morris International, Inc.     809,557    43,473,211  
      Procter & Gamble Co.                1,171,739    81,752,230  
  #   Reynolds American, Inc.                65,739     3,482,852  
  #   Safeway, Inc.                         168,105     4,427,886  
      Sara Lee Corp.                        271,081     3,659,594  
      SUPERVALU, Inc.                        81,473     1,889,359  
      Sysco Corp.                           230,525     7,337,611  
      The Hershey Co.                        64,483     2,327,191  
      The Kroger Co.                        253,923     7,013,353  
      Tyson Foods, Inc. Class A             104,940     1,523,729  
  #   UST, Inc.                              56,740     3,040,697  
      Walgreen Co.                          380,138    13,848,427  
      Wal-Mart Stores, Inc.                 893,027    52,751,105  
  #   Whole Foods Market, Inc.               53,812       985,298  
      Wrigley (Wm.) Jr. Co.                  82,398     6,548,993  
Total Consumer Staples                                488,884,238  
                                                                   
Energy — (12.3%)                                                   
      Anadarko Petroleum Corp.              179,666    11,090,782  
      Apache Corp.                          128,031    14,644,186  
  #   Baker Hughes, Inc.                    118,218     9,458,622  
      BJ Services Co.                       112,788     3,028,358  
  #   Cabot Oil & Gas Corp.                  39,668     1,762,846  
  *   Cameron International Corp.            83,155     3,874,191  
      Chesapeake Energy Corp.               184,589     8,934,108  
      Chevron Corp.                         793,849    68,525,046  
      ConocoPhillips                        591,993    48,845,342  
  #   CONSOL Energy, Inc.                    70,147     4,749,653  
      Devon Energy Corp.                    171,237    17,474,736  
  #   El Paso Corp.                         269,553     4,517,708  
  #   ENSCO International, Inc.              55,400     3,755,012  
  #   EOG Resources, Inc.                    95,300     9,951,226  
      Exxon Mobil Corp.                   2,027,889   162,251,399  
      Halliburton Co.                       334,818    14,711,903  
      Hess Corp.                            107,839    11,291,822  
      Marathon Oil Corp.                    271,709    12,245,925  
      Massey Energy Co.                      30,892     2,037,636  
  #   Murphy Oil Corp.                       72,914     5,725,936  
# *   Nabors Industries, Ltd.               108,047     3,849,715  
  *   National-Oilwell, Inc.                159,344    11,748,433  
      Noble Corp.                           103,151     5,187,464  


                                        

                                       3

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      Noble Energy, Inc.                           66,095     4,740,994  
  #   Occidental Petroleum Corp.                  314,996    24,998,083  
      Peabody Energy Corp.                        104,206     6,559,768  
  #   Range Resources Corp.                        59,302     2,752,799  
      Rowan Companies, Inc.                        43,219     1,596,510  
  #   Schlumberger, Ltd.                          457,908    43,144,092  
  #   Smith International, Inc.                    77,104     5,374,149  
  *   Southwestern Energy Co.                     131,245     5,035,871  
      Spectra Energy Corp.                        242,929     6,427,901  
  #   Sunoco, Inc.                                 44,848     1,990,354  
  #   Tesoro Petroleum Corp.                       52,860       980,553  
  #   The Williams Companies, Inc.                224,297     6,928,534  
  *   Transocean, Inc.                            122,383    15,567,118  
      Valero Energy Corp.                         202,840     7,050,718  
# *   Weatherford International, Ltd.             260,825    10,062,629  
  #   XTO Energy, Inc.                            205,993    10,384,107  
Total Energy                                                593,256,229  
                                                                         
Financials — (12.5%)                                                     
      AFLAC, Inc.                                 182,435    10,344,065  
      Allstate Corp.                              211,386     9,539,850  
  #   American Capital, Ltd.                       77,872     1,692,937  
  #   American Express Co.                        444,600    17,641,728  
      American International Group, Inc.        1,031,954    22,176,691  
      Ameriprise Financial, Inc.                   85,262     3,832,527  
      AON Corp.                                   114,651     5,444,776  
      Assurant, Inc.                               36,754     2,147,536  
      Bank of America Corp.                     1,749,776    54,488,025  
  #   Bank of New York Mellon Corp.               438,998    15,193,721  
  #   BB&T Corp.                                  209,879     6,296,370  
  #   Capital One Financial Corp.                 143,999     6,356,116  
  *   CB Richard Ellis Group, Inc.                 66,728       872,135  
      Chubb Corp.                                 140,274     6,734,555  
      Cincinnati Financial Corp.                   62,622     1,856,116  
      CIT Group, Inc.                             108,469     1,118,315  
      Citigroup, Inc.                           2,089,476    39,679,149  
      CME Group, Inc.                              25,738     8,632,010  
  #   Comerica, Inc.                               57,759     1,622,450  
      Discover Financial Services                 183,964     3,026,208  
# *   E*TRADE Financial Corp.                     206,186       659,795  
  #   Federal Home Loan Mortgage Corporation      248,212     1,119,436  
  #   Federal National Mortgage Association       408,487     2,794,051  
      Federated Investors, Inc.                    33,257     1,112,114  
  #   Fifth Third Bancorp                         220,598     3,481,036  
  #   First Horizon National Corp.                 71,688       805,056  
      Franklin Resources, Inc.                     59,874     6,256,833  
      Genworth Financial, Inc.                    166,134     2,666,451  
      Hartford Financial Services Group, Inc.     120,786     7,619,181  
      Hudson City Bancorp, Inc.                   199,243     3,674,041  
  #   Huntington Bancshares, Inc.                 140,551     1,028,833  
  *   IntercontinentalExchange, Inc.               27,084     2,384,205  
      Janus Capital Group, Inc.                    56,232     1,516,577  
      JPMorgan Chase & Co.                      1,325,296    51,010,643  
      KeyCorp                                     186,345     2,238,003  
      Legg Mason, Inc.                             54,165     2,411,967  


                                        

                                       4

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  #   Lehman Brothers Holdings, Inc.       267,373     4,302,032  
      Leucadia National Corp.               67,878     3,142,073  
      Lincoln National Corp.                99,520     5,051,635  
      Loews Corp.                          138,960     6,035,033  
  #   M&T Bank Corp.                        29,582     2,110,380  
      Marsh & McLennan Companies, Inc.     196,345     6,269,296  
  #   Marshall & Ilsley Corp.               99,477     1,531,946  
  #   Mastercard, Inc.                      27,945     6,778,060  
  #   MBIA, Inc.                            81,462     1,321,314  
      Merrill Lynch & Co., Inc.            587,816    16,664,584  
  #   MetLife, Inc.                        272,616    14,775,787  
  #   MGIC Investment Corp.                 47,999       403,672  
  #   Moody’s Corp.                         77,950     3,169,447  
      Morgan Stanley                       424,928    17,349,810  
  #   National City Corp.                  291,811     1,470,727  
  #   Northern Trust Corp.                  73,505     5,909,067  
      NYSE Euronext                        101,707     4,128,287  
      PNC Financial Services Group         132,737     9,550,427  
      Principal Financial Group, Inc.       99,365     4,549,923  
      Progressive Corp.                    260,029     4,802,736  
      Prudential Financial, Inc.           167,337    12,334,410  
  #   Regions Financial Corp.              266,668     2,472,012  
      SAFECO Corp.                          34,507     2,332,673  
      Schwab (Charles) Corp.               356,408     8,550,228  
# *   SLM Corp.                            179,173     2,958,146  
      Sovereign Bancorp, Inc.              183,876     1,776,242  
      State Street Corp.                   163,739    11,080,218  
  #   SunTrust Banks, Inc.                 135,119     5,660,135  
  #   T. Rowe Price Group, Inc.             99,673     5,916,589  
  #   The Goldman Sachs Group, Inc.        151,295    24,807,841  
      The Travelers Companies, Inc.        232,085    10,248,874  
      Torchmark Corp.                       34,466     2,058,999  
  #   U.S. Bancorp                         668,031    21,283,468  
      Unum Group                           132,929     3,377,726  
  #   Wachovia Corp.                       820,472    13,037,300  
  #   Washington Mutual, Inc.              569,589     2,306,835  
      Wells Fargo & Co.                  1,267,552    38,368,799  
  #   XL Capital, Ltd.                     116,690     2,345,469  
  #   Zions Bancorporation                  41,278     1,107,902  
Total Financials                                     600,813,604  
                                                                  
Health Care — (11.4%)                                             
      Abbott Laboratories                  592,319    34,016,880  
      Aetna, Inc.                          186,066     8,026,887  
  #   Allergan, Inc.                       118,023     6,593,945  
      AmerisourceBergen Corp.               61,797     2,534,295  
  *   Amgen, Inc.                          417,843    26,261,433  
      Applied Biosystems, Inc.              64,733     2,362,107  
  #   Bard (C.R.), Inc.                     38,102     3,560,632  
  *   Barr Laboratories, Inc.               41,474     2,801,154  
      Baxter International, Inc.           240,788    16,315,795  
      Becton Dickinson & Co.                93,672     8,185,059  
# *   Biogen Idec, Inc.                    112,462     5,727,690  
  *   Boston Scientific Corp.              516,839     6,491,498  
      Bristol-Myers Squibb Co.             759,772    16,213,534  


                                        

                                       5

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      Cardinal Health, Inc.                    136,964     7,530,281  
  *   Celgene Corp.                            167,285    11,592,851  
      Cigna Corp.                              107,776     4,513,659  
  *   Coventry Health Care, Inc.                58,210     2,038,514  
      Covidien, Ltd.                           191,736    10,367,166  
  *   DaVita, Inc.                              40,185     2,306,217  
      Eli Lilly & Co.                          379,644    17,710,393  
  *   Express Scripts, Inc.                     96,389     7,075,916  
  *   Forest Laboratories, Inc.                116,966     4,174,517  
  *   Genzyme Corp.                            102,595     8,033,189  
# *   Gilead Sciences, Inc.                    354,044    18,651,038  
# *   Hospira, Inc.                             61,060     2,464,382  
  *   Humana, Inc.                              64,943     3,013,355  
  #   IMS Health, Inc.                          69,597     1,546,445  
  *   Intuitive Surgical, Inc.                  14,854     4,385,941  
      Johnson & Johnson                      1,081,626    76,178,919  
  *   King Pharmaceuticals, Inc.                94,652     1,082,819  
  *   Laboratory Corp. of America Holdings      42,717     3,124,749  
      McKesson Corp.                           106,420     6,148,948  
  *   Medco Health Solutions, Inc.             194,456     9,110,264  
      Medtronic, Inc.                          431,019    23,533,637  
      Merck & Co., Inc.                        823,840    29,386,373  
# *   Millipore Corp.                           21,144     1,586,011  
# *   Mylan, Inc.                              116,847     1,506,158  
  *   Patterson Companies, Inc.                 46,568     1,515,323  
      PerkinElmer, Inc.                         45,439     1,290,922  
      Pfizer, Inc.                           2,596,492    49,618,962  
      Quest Diagnostics, Inc.                   60,567     3,273,646  
      Schering-Plough Corp.                    622,300    12,072,620  
# *   St. Jude Medical, Inc.                   130,054     5,960,375  
      Stryker Corp.                             91,667     6,159,106  
  *   Tenet Healthcare Corp.                   183,888     1,108,845  
# *   Thermo Fisher Scientific, Inc.           160,509     9,720,425  
      UnitedHealth Group, Inc.                 471,578    14,359,550  
  *   Varian Medical Systems, Inc.              48,213     3,045,133  
  *   Waters Corp.                              38,420     2,622,165  
  *   Watson Pharmaceuticals, Inc.              40,084     1,214,946  
  *   WellPoint, Inc.                          201,947    10,660,782  
      Wyeth                                    511,737    22,147,977  
  *   Zimmer Holdings, Inc.                     88,846     6,431,562  
Total Health Care                                        547,354,990  
                                                                      
Industrials — (10.2%)                                                 
      3M Co.                                   270,306    19,353,910  
  *   Allied Waste Industries, Inc.            129,460     1,739,942  
  #   Avery Dennison Corp.                      40,867     1,971,424  
      B.F. Goodrich Co.                         48,003     2,460,154  
      Boeing Co.                               288,408    18,908,028  
      Burlington Northern Santa Fe Corp.       112,526    12,085,292  
      C.H. Robinson Worldwide, Inc.             65,502     3,413,309  
      Caterpillar, Inc.                        235,949    16,688,673  
      Cintas Corp.                              50,136     1,544,189  
      Cooper Industries, Ltd.                   66,786     3,181,685  
      CSX Corp.                                155,396    10,051,013  
  #   Cummins, Inc.                             77,956     5,079,613  


                                        

                                       6

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  #   Danaher Corp.                                     97,771     7,975,180  
      Deere & Co.                                      165,398    11,672,137  
  #   Dover Corp.                                       72,682     3,589,037  
      Eaton Corp.                                       63,173     4,623,000  
      Emerson Electric Co.                             299,659    14,024,041  
      Equifax, Inc.                                     49,710     1,756,254  
  #   Expeditors International of Washington, Inc.      81,862     2,954,400  
  #   FedEx Corp.                                      119,003     9,855,828  
  #   Fluor Corp.                                       68,088     5,455,891  
      General Dynamics Corp.                           152,941    14,116,454  
      General Electric Co.                           3,825,502   107,496,606  
      Honeywell International, Inc.                    284,597    14,278,231  
  #   Illinois Tool Works, Inc.                        152,489     7,564,979  
      Ingersoll-Rand Co., Ltd. Class A                 121,970     4,504,352  
  #   ITT Industries, Inc.                              69,730     4,445,288  
  *   Jacobs Engineering Group, Inc.                    46,748     3,450,937  
      L-3 Communications Holdings, Inc.                 47,077     4,893,183  
      Lockheed Martin Corp.                            129,641    15,095,398  
      Masco Corp.                                      138,820     2,645,909  
# *   Monster Worldwide, Inc.                           47,702       932,097  
      Norfolk Southern Corp.                           144,215    10,604,129  
      Northrop Grumman Corp.                           131,281     9,038,697  
      Paccar, Inc.                                     140,145     6,034,644  
      Pall Corp.                                        46,008     1,868,385  
      Parker Hannifin Corp.                             64,375     4,124,506  
      Pitney Bowes, Inc.                                79,667     2,720,628  
      Precision Castparts Corp.                         53,462     5,520,486  
      R. R. Donnelley & Sons Co.                        81,481     2,271,690  
      Raytheon Co.                                     162,349     9,739,317  
      Robert Half International, Inc.                   60,953     1,560,397  
      Rockwell Automation, Inc.                         56,320     2,658,867  
      Rockwell Collins, Inc.                            61,693     3,244,435  
      Ryder System, Inc.                                22,067     1,423,763  
      Southwest Airlines Co.                           280,849     4,277,330  
  *   Terex Corp.                                       38,495     1,935,914  
      Textron, Inc.                                     95,658     3,931,544  
      The Manitowoc Co., Inc.                           49,899     1,256,457  
      Tyco International, Ltd.                         185,084     7,936,402  
  #   Union Pacific Corp.                              198,328    16,639,719  
      United Parcel Service, Inc.                      391,806    25,122,601  
      United Technologies Corp.                        373,517    24,498,980  
  #   W.W. Grainger, Inc.                               24,958     2,246,969  
      Waste Management, Inc.                           188,322     6,625,168  
Total Industrials                                                493,087,462  
                                                                              
Information Technology — (14.5%)                                              
# *   Adobe Systems, Inc.                              204,114     8,742,203  
# *   Advanced Micro Devices, Inc.                     232,812     1,464,387  
  *   Affiliated Computer Services, Inc. Class A        36,994     1,969,561  
  *   Agilent Technologies, Inc.                       138,209     4,804,145  
  *   Akamai Technologies, Inc.                         64,570     1,478,653  
  #   Altera Corp.                                     115,060     2,604,958  
      Analog Devices, Inc.                             111,348     3,113,290  
# *   Apple, Inc.                                      338,368    57,363,527  
      Applied Materials, Inc.                          520,221     9,322,360  


                                        

                                       7

--------------------------------------------------------------------------------

                                        

  *   Autodesk, Inc.                                    85,951    3,053,839  
  #   Automatic Data Processing, Inc.                  198,969    8,830,244  
  *   BMC Software, Inc.                                73,307    2,386,876  
# *   Broadcom Corp.                                   171,659    4,130,116  
      CA, Inc.                                         149,848    3,582,866  
# *   Ciena Corp.                                       34,601      601,365  
  *   Cisco Sytems, Inc.                             2,267,167   54,525,366  
  *   Citrix Systems, Inc.                              70,440    2,132,219  
# *   Cognizant Technology Solutions Corp.             110,873    3,250,796  
  *   Computer Sciences Corp.                           58,007    2,728,069  
  *   Compuware Corp.                                  100,423    1,147,835  
  *   Convergys Corp.                                   47,423      699,489  
      Corning, Inc.                                    604,450   12,415,403  
# *   Dell, Inc.                                       775,642   16,854,701  
# *   eBay, Inc.                                       424,257   10,576,727  
# *   Electronic Arts, Inc.                            122,209    5,965,021  
  *   EMC Corp.                                        793,408   12,123,274  
      Fidelity National Information Services, Inc.      65,899    1,439,893  
# *   Fiserv, Inc.                                      62,918    3,262,927  
  *   Google, Inc.                                      89,206   41,328,248  
      Hewlett-Packard Co.                              946,527   44,411,047  
      Intel Corp.                                    2,198,414   50,277,728  
      International Business Machines Corp.            527,143   64,169,117  
  *   Intuit, Inc.                                     123,203    3,704,714  
      Jabil Circuit, Inc.                               80,279    1,353,504  
# *   JDS Uniphase Corp.                                88,209      896,203  
# *   Juniper Networks, Inc.                           201,476    5,177,933  
      KLA-Tencor Corp.                                  65,269    2,418,869  
  *   Lexmark International, Inc.                       33,768    1,214,635  
      Linear Technology Corp.                           85,151    2,779,329  
  *   LSI Corp.                                        244,653    1,626,942  
  *   MEMC Electronic Materials, Inc.                   87,408    4,290,859  
  #   Microchip Technology, Inc.                        70,984    2,272,198  
  *   Micron Technology, Inc.                          292,009    1,238,118  
      Microsoft Corp.                                3,074,031   83,890,306  
  #   Molex, Inc.                                       53,431    1,288,756  
      Motorola, Inc.                                   865,558    8,153,556  
  #   National Semiconductor Corp.                      82,838    1,775,218  
  *   NetApp, Inc.                                     131,844    3,359,385  
  *   Novell, Inc.                                     135,815      873,290  
  *   Novellus Systems, Inc.                            38,327      868,873  
  *   Nvidia Corp.                                     212,907    2,691,144  
# *   Oracle Corp.                                   1,522,415   33,386,561  
  #   Paychex, Inc.                                    123,092    4,194,975  
# *   QLogic Corp.                                      50,878      950,401  
  #   QUALCOMM, Inc.                                   621,255   32,709,076  
  *   Sandisk Corp.                                     86,255    1,247,247  
  *   Sun Microsystems, Inc.                           300,049    2,700,441  
  *   Symantec Corp.                                   322,440    7,193,636  
  *   Tellabs, Inc.                                    152,530      794,681  
  *   Teradata Corp.                                    68,969    1,694,568  
# *   Teradyne, Inc.                                    65,852      614,399  
  #   Texas Instruments, Inc.                          507,667   12,442,918  
      Total System Services, Inc.                       76,063    1,515,175  
  *   Unisys Corp.                                     136,730      559,226  


                                        

                                       8

--------------------------------------------------------------------------------

                                        

*   VeriSign, Inc.                                   74,728     2,389,054  
    Western Union Co.                               284,002     7,844,135  
    Xerox Corp.                                     345,086     4,807,048  
    Xilinx, Inc.                                    107,181     2,784,562  
*   Yahoo!, Inc.                                    528,047    10,233,551  
Total Information Technology                                  698,691,736  
                                                                           
Materials — (3.2%)                                                         
    Air Products & Chemicals, Inc.                   80,852     7,426,256  
    AK Steel Holding Corp.                           42,990     2,261,704  
    Alcoa, Inc.                                     312,830    10,051,228  
#   Allegheny Technologies, Inc.                     38,803     1,901,347  
    Ashland, Inc.                                    21,496       879,831  
#   Ball Corp.                                       37,527     1,723,240  
    Bemis Co., Inc.                                  38,245     1,067,800  
    Dow Chemical Co.                                357,097    12,187,721  
#   duPont (E.I.) de Nemours & Co., Inc.            345,692    15,362,552  
#   Eastman Chemical Co.                             29,259     1,764,903  
#   Ecolab, Inc.                                     67,349     3,080,543  
#   Freeport-McMoRan Copper & Gold, Inc. Class B    147,080    13,137,186  
#   Hercules, Inc.                                   43,412       935,529  
    International Flavors & Fragrances, Inc.         30,897     1,242,368  
    International Paper Co.                         164,123     4,439,527  
    MeadWestavco Corp.                               66,675     1,765,554  
    Monsanto Co.                                    210,618    24,063,107  
#   Newmont Mining Corp.                            174,255     7,858,901  
#   Nucor Corp.                                     120,344     6,318,060  
*   Pactiv Corp.                                     50,195     1,348,740  
#   PPG Industries, Inc.                             62,980     3,958,923  
#   Praxair, Inc.                                   120,174    10,796,432  
    Rohm & Haas Co.                                  48,141     3,612,982  
#   Sealed Air Corp.                                 61,462     1,489,224  
    Sigma-Aldrich Corp.                              49,477     2,808,315  
#   Titanium Metals Corp.                            37,517       540,620  
    United States Steel Corp.                        45,178     6,011,836  
#   Vulcan Materials Co.                             42,003     3,143,505  
    Weyerhaeuser Co.                                 81,080     4,499,129  
Total Materials                                               155,677,063  
                                                                           
Real Estate Investment Trusts — (1.1%)                                     
    Apartment Investment & Management Co. Class A    34,443     1,220,660  
    AvalonBay Communities, Inc.                      29,543     2,954,300  
    Boston Properties, Inc.                          45,941     4,707,574  
    Developers Diversified Realty Corp.              45,972     1,540,522  
    Equity Residential                              103,819     4,381,162  
    General Growth Properties, Inc.                 102,664     2,662,078  
    HCP, Inc.                                        95,143     3,446,079  
    Host Marriott Corp.                             200,430     2,866,149  
    Kimco Realty Corp.                               97,373     3,616,433  
#   Plum Creek Timber Co., Inc.                      65,671     3,258,595  
    ProLogis                                        100,614     4,332,439  
    Public Storage                                   47,391     4,185,573  
    Simon Property Group, Inc.                       86,261     8,184,444  
    Vornado Realty Trust                             51,876     5,159,587  
Total Real Estate Investment Trusts                            52,515,595  
                                                                           
Telecommunication Services — (2.8%)                                        


                                        

                                       9

--------------------------------------------------------------------------------

                                        

# *   American Tower Corp.                         152,205       6,290,633  
      AT&T, Inc.                                 2,280,164      72,942,446  
      CenturyTel, Inc.                              40,471       1,563,395  
      Embarq Corp.                                  56,627       2,670,529  
  #   Frontier Communications Corp.                124,444       1,564,261  
  #   Qwest Communications International, Inc.     583,968       2,207,399  
      Sprint Nextel Corp.                        1,094,219       9,541,590  
      Verizon Communications, Inc.               1,094,075      38,423,914  
      Windstream Corp.                             171,667       2,132,104  
Total Telecommunication Services                               137,336,271  
                                                                            
Utilities — (3.3%)                                                          
# *   AES Corp.                                    257,842       3,934,669  
      Allegheny Energy, Inc.                        64,490       2,923,332  
      Ameren Corp.                                  80,396       3,365,377  
      American Electric Power Co., Inc.            154,131       6,017,274  
      CenterPoint Energy, Inc.                     125,988       2,000,689  
      CMS Energy Corp.                              86,463       1,173,303  
      Consolidated Edison, Inc.                    104,637       4,279,653  
      Constellation Energy Group                    68,462       4,567,100  
  #   Dominion Resources, Inc.                     221,835       9,656,478  
      DTE Energy Co.                                62,616       2,639,891  
      Duke Energy Corp.                            485,361       8,464,696  
  *   Dynegy, Inc.                                 190,690       1,136,512  
  #   Edison International                         125,046       5,742,112  
  #   Entergy Corp.                                 73,499       7,599,062  
      Exelon Corp.                                 251,774      19,124,753  
      FirstEnergy Corp.                            116,996       8,498,589  
      FPL Group, Inc.                              156,637       9,407,618  
      Integrys Energy Group, Inc.                   29,331       1,533,131  
  #   Nicor, Inc.                                   17,324         794,998  
      NiSource, Inc.                               105,241       1,734,372  
  #   Pepco Holdings, Inc.                          77,296       1,959,454  
  #   PG&E Corp.                                   137,116       5,667,004  
  #   Pinnacle West Capital Corp.                   38,623       1,359,143  
      PPL Corp.                                    143,172       6,266,638  
      Progress Energy, Inc.                        100,295       4,380,886  
      Public Service Enterprise Group, Inc.        195,164       7,956,836  
  #   Questar Corp.                                 66,508       3,451,100  
      Sempra Energy                                 96,081       5,565,012  
  #   Southern Co.                                 294,457      11,045,082  
      TECO Energy, Inc.                             80,888       1,443,042  
      Xcel Energy, Inc.                            165,363       3,391,595  
Total Utilities                                                157,079,401  
                                                                            
TOTAL COMMON STOCKS                                          4,294,745,303  


                                        

                                       10

--------------------------------------------------------------------------------

                                        

                                                                 Face                        
                                                                Amount                        
                                                                (000)                         
TEMPORARY CASH INVESTMENTS — (2.2%)                                                           
       Repurchase Agreement, PNC Capital Markets, Inc.                                       
       1.94%, 09/02/08 (Collateralized by $117,545,000                                       
       FHLMC 6.50%, 08/01/37 & FNMA 6.00%, 12/01/37,                                         
       valued at $109,788,071) to be repurchased at                                          
       $106,531,959                                          $    106,509        106,509,000  
                                                                                              
SECURITIES LENDING COLLATERAL — (8.7%)                                                        
 § @   DFA Short Term Investment Fund LP                          359,185        359,185,066  
                                                                                              
   @   Repurchase Agreement, Deutsche Bank Securities                                        
       2.14%, 09/02/08 (Collateralized by $75,047,495                                        
       FNMA, rates ranging from 5.000% to 7.000%,                                            
       maturities ranging from 03/01/23 to 06/01/38,                                         
       valued at $59,453,617) to be repurchased at                                           
       $57,735,683                                                 57,722         57,721,958  
                                                                                              
TOTAL SECURITIES LENDING COLLATERAL                                              416,907,024  
                                                                                              
TOTAL INVESTMENTS - (100.0%)                                                                 
(Cost $4,020,768,006)##                                                       $4,818,161,327  


                                        

                                       11

--------------------------------------------------------------------------------

                                        

                     THE ENHANCED U.S. LARGE COMPANY SERIES

                            SCHEDULE OF INVESTMENTS

                                August 31, 2008

                                  (Unaudited)

 

                                                                  Face                    
                                                                Amount ^       Value †    
                                                                 (000)                    
                                                                                          
AUSTRALIA — (1.7%)                                                                        
BONDS — (1.7%)                                                                            
            General Electric Capital Australia                                            
            6.250%, 03/30/09                                        5,000    $ 4,263,149  
                                                                                          
AUSTRIA — (2.2%)                                                                          
BONDS — (2.2%)                                                                            
            PFandBriefstelle der Oesterriechischen                                        
            Landes-Hypothekenbanken                                                      
     (f)    3.000%, 01/19/09                                        6,200      5,634,030  
                                                                                          
GERMANY — (9.6%)                                                                          
BONDS — (9.6%)                                                                            
            Landesbank Baden-Wuerttemberg                                                 
     (f)    3.000%, 12/22/08                                        3,700      3,360,883  
            Landwirtschaftliche Rentenbank                                                
     (j)    0.650%, 09/30/08                                    1,130,000     10,382,179  
            Norddeutsche Landesbank Girozentrale AG                                       
     (j)    0.450%, 01/19/09                                    1,200,000     11,012,676  
TOTAL — GERMANY                                                               24,755,738  
                                                                                          
SWEDEN — (2.5%)                                                                           
BONDS — (2.5%)                                                                            
            Kommuninvest                                                                  
            5.050%, 10/28/08                                        1,000        855,068  
     (t)    5.000%, 11/25/08                                        2,300      1,963,556  
            Svensk Exportkredit AB                                                        
     (u)    4.000%, 06/15/10                                        3,700      3,759,559  
TOTAL — SWEDEN                                                                 6,578,183  
                                                                                          
UNITED KINGDOM — (1.0%)                                                                   
BONDS — (1.0%)                                                                            
            BP Capital Markets P.L.C.                                                     
     (u)    4.875%, 03/15/10                                        2,500      2,566,755  
                                                                                          
UNITED STATES — (83.0%)                                                                   
AGENCY OBLIGATIONS — (46.3%)                                                              
            Federal Farm Credit Bank                                                      
              2.750%, 05/04/10                                     27,600     27,476,821  
            Federal Home Loan Bank                                                        
              4.375%, 03/17/10                                      6,100      6,219,969  


                                        

                                       1

--------------------------------------------------------------------------------

                                        

          2.375%, 04/30/10                               14,400    14,236,517  
          4.875%, 05/14/10                                5,800     5,970,212  
          4.250%, 06/11/10                                6,900     7,035,640  
          3.500%, 07/16/10                                3,800     3,826,098  
          3.375%, 08/13/10                                9,900     9,944,817  
        Federal Home Loan Bank Discount Notes                                  
          2.695%, 01/07/09                               17,000    16,835,083  
        Federal Home Loan Mortgage Corporation                                 
          2.375%, 05/28/10                                8,000     7,900,904  
        Federal National Mortgage Association                                  
          2.500%, 04/09/10                                5,500     5,450,230  
          4.125%, 05/15/10                                6,100     6,193,391  
          2.375%, 05/20/10                                8,500     8,396,937  
TOTAL AGENCY OBLIGATIONS                                          119,486,619  
                                                                               
BONDS — (24.1%)                                                                
        Citigroup Funding, Inc. Floating Rate Note                             
   (r)  5.449%, 10/22/09                                  9,000     8,843,283  
        CME Group, Inc. Floating Rate Note                                     
   (r)  3.300%, 08/06/10                                  7,000     6,993,336  
        General Electric Capital Corp.                                         
   (j)  0.550%, 10/14/08                              1,000,000     9,178,406  
        Georgia Power Co. Floating Rate Note                                   
   (r)  3.400%, 03/17/10                                  6,500     6,476,723  
        IBM International Group Floating Rate Note                             
   (r)  3.584%, 07/29/09                                  3,400     3,411,421  
        John Deere Capital Corp. Floating Rate Note                            
   (r)  3.530%, 02/26/10                                  7,000     7,010,073  
        JPMorgan Chase & Co. Floating Rate Note                                
   (r)  5.255%, 11/19/09                                  6,800     6,787,910  
        Paccar Financial Corp. Floating Rate Note                              
   (r)  4.966%, 09/21/09                                  2,500     2,490,465  
        Wal-Mart Stores, Inc.                                                  
        6.875%, 08/10/09                                  7,500     7,778,760  
        Wells Fargo Bank & Co.                                                 
        4.625%, 08/09/10                                  3,000     3,037,338  
TOTAL BONDS                                                        62,007,715  
                                                                               
CERTIFICATES OF DEPOSIT INTEREST BEARING — (2.7%)                              
        Royal Bank of Scotland P.L.C.                                          
        3.110%, 01/23/09                                  7,000     7,000,356  
                                                                               
COMMERCIAL PAPER — (9.3%)                                                      
        Eaton Corp.                                                            
          2.100%, 09/02/08                                7,000     6,998,258  
        Eksportfinans                                                          
          2.030%, 09/02/08                                2,000     1,999,509  
        Rockwell Automation, Inc.                                              
          2.050%, 09/02/08                                6,200     6,198,388  
        Sheffield Receivables Corp.                                            
          2.170%, 09/02/08                                1,900     1,899,403  


                                        

                                       2

--------------------------------------------------------------------------------

                                        

    Societe Generale North America                       
      3.100%, 05/01/09               3,000    2,934,912  
    UBS Finance Delaware LLC                             
      3.130%, 01/22/09               4,000    3,950,019  
TOTAL COMMERCIAL PAPER                       23,980,489  


 

                                                                Shares                     
TEMPORARY CASH INVESTMENTS — (0.6%)                                                        
          BlackRock Liquidity Funds Tempcash                   1,487,727        1,487,727  
          Portfolio-Institutional Shares                                                  
                                                                                           
TOTAL INVESTMENTS - (100.0%)                                                               
(Cost $254,434,472)##                                                       $ 257,760,761  


                                        

                                       3

--------------------------------------------------------------------------------

 

                        THE U.S. LARGE CAP VALUE SERIES

                            SCHEDULE OF INVESTMENTS

                                August 31, 2008

                                  (Unaudited)

 

                                                          Shares         Value †      
                                                                                      
COMMON STOCKS — (88.6%)                                                               
Consumer Discretionary — (13.2%)                                                      
* #   AutoNation, Inc.                                   1,441,658   $    16,362,818  
  #   Belo Corp. Class A                                    16,644           122,001  
      CBS Corp. Class B                                  5,687,606        92,025,465  
  #   Comcast Corp. Class A                             12,429,142       263,249,228  
  #   Comcast Corp. Special Class A Non-Voting           2,899,710        61,299,869  
  *   Discovery Holding Co. Class A                      1,017,390        20,581,800  
      Disney (Walt) Co.                                    415,720        13,448,542  
  *   Expedia, Inc.                                      1,156,951        20,431,755  
  #   Foot Locker, Inc.                                    554,663         9,035,460  
* #   Ford Motor Co.                                    11,047,826        49,273,304  
      Fortune Brands, Inc.                                 585,610        34,445,580  
  #   Gannett Co., Inc.                                    931,585        16,572,897  
  *   Goodyear Tire & Rubber Co.                           556,502        10,913,004  
  #   Hearst-Argyle Television, Inc.                       316,700         6,270,660  
  *   HSN, Inc.                                            419,450         6,144,942  
* #   Interval Leisure Group, Inc.                         419,450         5,448,655  
      J.C. Penney Co., Inc.                                517,600        20,170,872  
  #   Leggett & Platt, Inc.                                441,800         9,856,558  
* #   Liberty Global, Inc. Class A                         309,505        10,888,386  
* #   Liberty Global, Inc. Series C                        339,005        11,261,746  
  *   Liberty Media Corp. - Entertainment Class A        3,931,872       109,266,723  
  *   Liberty Media Holding Corp. Capital Class A          845,855        13,745,144  
  *   Liberty Media Holding Corp. Interactive Class A    4,235,162        57,555,852  
      Macy’s, Inc.                                       1,739,930        36,225,343  
  #   MDC Holdings, Inc.                                   298,104        12,356,411  
* #   Mohawk Industries, Inc.                              404,517        27,931,899  
      News Corp. Class A                                    35,876           508,004  
  *   Radio One, Inc. Class D                                8,157             7,749  
  #   Royal Caribbean Cruises, Ltd.                        320,400         8,708,472  
  #   Saks, Inc.                                             2,710            30,894  
* #   Sears Holdings Corp.                                 350,614        32,238,957  
      Service Corp. International                          398,500         4,068,685  
* #   Ticketmaster                                         419,450         8,988,813  
  #   Time Warner, Inc.                                 18,688,980       305,938,603  
* #   Toll Brothers, Inc.                                  919,700        22,882,136  
  *   TRW Automotive Holdings Corp.                        238,137         4,567,468  
      Tyco Electronics, Ltd.                             1,108,632        36,485,079  
  #   Whirlpool Corp.                                      186,215        15,150,452  
  #   Wyndham Worldwide Corp.                              797,860        15,382,741  
Total Consumer Discretionary                                           1,389,842,967  
                                                                                      
Consumer Staples — (4.0%)                                                             
      Archer-Daniels-Midland Co.                         1,240,260        31,577,020  


                                        

                                       1

--------------------------------------------------------------------------------

                                        

      Coca-Cola Enterprises, Inc.          3,580,472      61,118,657  
  *   Constellation Brands, Inc. Class A     846,137      17,861,952  
      Corn Products International, Inc.      483,600      21,660,444  
      Del Monte Foods Co.                    730,063       6,220,137  
      J.M. Smucker Co.                       397,802      21,572,802  
  #   Kraft Foods, Inc.                    4,530,190     142,746,287  
      Molson Coors Brewing Co.               642,790      30,628,943  
      PepsiAmericas, Inc.                    449,925      10,541,743  
* #   Smithfield Foods, Inc.                 799,600      16,079,956  
  #   SUPERVALU, Inc.                      1,536,742      35,637,047  
      Tyson Foods, Inc. Class A            2,025,659      29,412,569  
Total Consumer Staples                                   425,057,557  
                                                                      
Energy — (14.8%)                                                      
      Anadarko Petroleum Corp.             3,481,656     214,922,625  
      Apache Corp.                         2,319,190     265,268,952  
  #   Chesapeake Energy Corp.              3,199,938     154,876,999  
      Cimarex Energy Co.                     361,347      20,069,212  
      ConocoPhillips                       4,036,857     333,081,071  
  #   Devon Energy Corp.                   1,997,042     203,798,136  
* #   Forest Oil Corp.                       475,600      27,071,152  
  #   Marathon Oil Corp.                   2,034,046      91,674,453  
  *   Mariner Energy, Inc.                   362,280      10,538,725  
  *   Newfield Exploration Co.               674,465      30,499,307  
      Noble Energy, Inc.                     233,800      16,770,474  
      Overseas Shipholding Group, Inc.       286,600      20,560,684  
      Patterson-UTI Energy, Inc.             274,100       7,789,922  
      Pioneer Natural Resources Co.          786,498      49,683,079  
  *   Pride International, Inc.              312,040      11,985,456  
      Rowan Companies, Inc.                  464,466      17,157,374  
* #   SEACOR Holdings, Inc.                  114,440      10,087,886  
  #   Tidewater, Inc.                        431,200      26,160,904  
  *   Unit Corp.                             147,500       9,990,175  
      Valero Energy Corp.                  1,239,275      43,077,199  
Total Energy                                           1,565,063,785  
                                                                      
Financials — (27.7%)                                                  
* #   Allegheny Corp.                         36,722      11,751,040  
  #   Allstate Corp.                       2,584,815     116,652,701  
  #   American Capital, Ltd.                 472,547      10,273,172  
      American Financial Group, Inc.         883,300      25,200,549  
  #   American International Group, Inc.   3,921,610      84,275,399  
      American National Insurance Co.         71,652       6,839,183  
  #   Associated Banc-Corp.                  242,510       4,243,925  
      Assurant, Inc.                         113,400       6,625,962  
      Bank of America Corp.                6,946,274     216,306,972  
      Bank of New York Mellon Corp.          214,845       7,435,785  
  #   Capital One Financial Corp.          1,606,984      70,932,274  
      Chubb Corp.                          1,648,373      79,138,388  
  #   Cincinnati Financial Corp.           1,328,489      39,376,414  
  #   CIT Group, Inc.                        244,220       2,517,908  
      Citigroup, Inc.                        674,900      12,816,351  
      CNA Financial Corp.                  1,929,282      54,097,067  
  #   Comerica, Inc.                         334,100       9,384,869  
      Discover Financial Services          2,007,330      33,020,578  


                                        

                                       2

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  #   Federal National Mortgage Association       601,639       4,115,211  
  #   Fidelity National Financial, Inc.           952,159      13,358,791  
  #   Fifth Third Bancorp                         455,000       7,179,900  
  #   First American Corp.                        722,800      18,265,156  
      First Citizens BancShares, Inc.               7,495       1,112,408  
  #   Fulton Financial Corp.                        8,369          89,214  
      Genworth Financial, Inc.                  1,094,723      17,570,304  
      Hanover Insurance Group, Inc.               388,766      18,361,418  
      Hartford Financial Services Group, Inc.   1,281,850      80,859,098  
      HCC Insurance Holdings, Inc.                315,257       7,938,171  
  #   Hudson City Bancorp, Inc.                   610,361      11,255,057  
  #   Janus Capital Group, Inc.                   705,391      19,024,395  
      JPMorgan Chase & Co.                      8,113,033     312,270,640  
  #   KeyCorp                                     928,500      11,151,285  
  #   Legg Mason, Inc.                            294,947      13,133,990  
  #   Lehman Brothers Holdings, Inc.              943,839      15,186,370  
      Leucadia National Corp.                      50,352       2,330,794  
      Lincoln National Corp.                    1,244,573      63,174,525  
      Loews Corp.                               3,874,202     168,256,593  
  #   M&T Bank Corp.                              447,652      31,935,494  
      Marsh & McLennan Companies, Inc.            322,300      10,291,039  
  #   Marshall & Ilsley Corp.                     596,000       9,178,400  
  #   Mercury General Corp.                       159,125       8,105,827  
      Merrill Lynch & Co., Inc.                 1,433,140      40,629,519  
  #   MetLife, Inc.                             5,587,198     302,826,132  
      Morgan Stanley                            3,052,197     124,621,204  
  #   National City Corp.                       1,962,794       9,892,482  
  #   Nationwide Financial Services, Inc.         393,102      20,221,167  
  #   New York Community Bancorp, Inc.          2,262,500      37,308,625  
  #   Odyssey Re Holdings Corp.                   351,255      13,263,389  
      Old Republic International Corp.          1,782,254      19,480,036  
  #   Principal Financial Group, Inc.           1,186,779      54,342,610  
  #   Protective Life Corp.                       547,200      19,857,888  
      Prudential Financial, Inc.                1,861,400     137,203,794  
  #   Reinsurance Group of America, Inc.          479,000      23,068,640  
      SAFECO Corp.                                530,900      35,888,840  
  #   Sovereign Bancorp, Inc.                   2,013,036      19,445,928  
      StanCorp Financial Group, Inc.              222,900      10,924,329  
  #   SunTrust Banks, Inc.                        813,260      34,067,461  
  #   Synovus Financial Corp.                     745,500       6,858,600  
      The Travelers Companies, Inc.             5,164,209     228,051,469  
  #   Torchmark Corp.                             174,800      10,442,552  
      Transatlantic Holdings, Inc.                168,207      10,109,241  
* #   Tree.com, Inc.                               69,908         531,301  
  #   UnionBanCal Corp.                           333,700      24,587,016  
      Unitrin, Inc.                               377,911       9,648,068  
  #   Unum Group                                2,446,189      62,157,662  
      W. R. Berkley Corp.                         679,240      16,002,894  
      Wesco Financial Corp.                        19,000       7,049,000  
  #   Zions Bancorporation                        237,920       6,385,773  
Total Financials                                            2,919,898,237  
                                                                           
Health Care — (1.2%)                                                       
* #   Community Health Systems, Inc.              143,326       4,946,180  
  *   Health Management Associates, Inc.          560,097       3,254,164  


                                        

                                       3

--------------------------------------------------------------------------------

                                        

  *   King Pharmaceuticals, Inc.                       575,500       6,583,720  
  #   Omnicare, Inc.                                   492,323      15,877,417  
  #   PerkinElmer, Inc.                                 65,900       1,872,219  
  *   Tenet Healthcare Corp.                           552,220       3,329,887  
* #   Watson Pharmaceuticals, Inc.                     676,800      20,513,808  
* #   WellPoint, Inc.                                1,265,843      66,823,852  
Total Health Care                                                  123,201,247  
                                                                                
Industrials — (14.4%)                                                           
      Alexander & Baldwin, Inc.                        123,415       5,520,353  
  *   Allied Waste Industries, Inc.                  2,728,976      36,677,437  
      Burlington Northern Santa Fe Corp.             2,216,173     238,016,980  
      CSX Corp.                                      3,367,404     217,803,691  
      DRS Technologies, Inc.                            91,850       7,313,097  
  #   GATX Corp.                                       390,900      17,133,147  
  #   IKON Office Solutions, Inc.                       41,430         717,153  
* #   Kansas City Southern                             210,473      10,824,626  
      Kennametal, Inc.                                 107,985       3,804,312  
  #   Masco Corp.                                    1,209,279      23,048,858  
      Norfolk Southern Corp.                         3,209,002     235,957,917  
      Northrop Grumman Corp.                         2,635,484     181,453,073  
  #   Pentair, Inc.                                    164,120       6,031,410  
      R. R. Donnelley & Sons Co.                       740,098      20,633,932  
      Raytheon Co.                                     482,645      28,953,874  
  #   Ryder System, Inc.                               466,600      30,105,032  
  #   Southwest Airlines Co.                         5,164,520      78,655,640  
      Timken Co.                                       346,652      11,203,793  
  #   Trinity Industries, Inc.                         180,545       6,496,009  
  #   Union Pacific Corp.                            4,137,400     347,127,860  
* #   United Rentals, Inc.                             249,961       4,046,869  
  *   URS Corp.                                        224,235      10,754,311  
* #   YRC Worldwide, Inc.                              124,289       2,249,631  
Total Industrials                                                1,524,529,005  
                                                                                
Information Technology — (3.8%)                                                 
* #   Advanced Micro Devices, Inc.                     825,230       5,190,697  
  *   Arrow Electronics, Inc.                          456,200      15,141,278  
  *   Avnet, Inc.                                    1,074,500      31,536,575  
  #   AVX Corp.                                        493,517       5,665,575  
  *   Computer Sciences Corp.                        1,385,243      65,147,978  
  *   Compuware Corp.                                  371,363       4,244,679  
* #   Convergys Corp.                                  101,416       1,495,886  
      Fidelity National Information Services, Inc.     794,123      17,351,588  
* #   IAC/InterActiveCorp.                           1,048,625      17,407,183  
  *   Ingram Micro, Inc.                             1,339,168      25,323,667  
  *   Integrated Device Technology, Inc.             1,230,107      13,026,833  
  *   International Rectifier Corp.                      8,528         178,235  
      Intersil Corp.                                 1,048,598      24,568,651  
      Jabil Circuit, Inc.                              823,885      13,890,701  
* #   JDS Uniphase Corp.                               610,462       6,202,294  
  *   Lender Processing Services, Inc.                 201,231       6,700,992  
* #   Micron Technology, Inc.                        3,907,157      16,566,346  
* #   NCR Corp.                                        184,100       4,871,286  
* #   Novellus Systems, Inc.                           162,992       3,695,029  
  *   Sandisk Corp.                                    138,300       1,999,818  


                                        

                                       4

--------------------------------------------------------------------------------

                                        

* #   Sun Microsystems, Inc.                            528,425       4,755,825  
* #   Symantec Corp.                                  2,187,634      48,806,115  
* #   Tech Data Corp.                                   338,303      11,549,664  
  *   Tellabs, Inc.                                   1,964,818      10,236,702  
* #   Vishay Intertechnology, Inc.                      451,723       4,015,817  
  #   Xerox Corp.                                     3,242,229      45,164,250  
Total Information Technology                                        404,733,664  
                                                                                 
Materials — (3.2%)                                                               
      Alcoa, Inc.                                       964,763      30,997,835  
  #   Ashland, Inc.                                     532,611      21,799,768  
      Bemis Co., Inc.                                   230,900       6,446,728  
      Cytec Industries, Inc.                            223,325      11,344,910  
  *   Domtar Corp.                                    3,324,036      18,980,246  
  #   Dow Chemical Co.                                1,806,689      61,662,296  
      International Paper Co.                         1,615,245      43,692,377  
      Louisiana-Pacific Corp.                            83,460         812,900  
      Lubrizol Corp.                                    179,500       9,511,705  
      MeadWestavco Corp.                              1,393,431      36,898,053  
  #   Reliance Steel & Aluminum Co.                     116,900       6,664,469  
  *   Rockwood Holdings, Inc.                           134,930       5,107,100  
      Tronox, Inc. Class B                               66,034          32,357  
  #   Valhi, Inc.                                       115,611       2,119,150  
      Weyerhaeuser Co.                                1,440,429      79,929,405  
Total Materials                                                     335,999,299  
                                                                                 
Telecommunication Services — (6.2%)                                              
      AT&T, Inc.                                      8,701,918     278,374,357  
  #   CenturyTel, Inc.                                  456,003      17,615,396  
  #   Sprint Nextel Corp.                             4,815,686      41,992,782  
  #   Telephone & Data Systems, Inc.                    413,797      15,889,805  
      Telephone & Data Systems, Inc. Special Shares     177,000       6,610,950  
  *   United States Cellular Corp.                      268,725      14,054,318  
      Verizon Communications, Inc.                    7,931,577     278,556,984  
Total Telecommunication Services                                    653,094,592  
                                                                                 
Utilities — (0.1%)                                                               
  *   Reliant Energy, Inc.                              927,751      15,799,600  
                                                                                 
TOTAL COMMON STOCKS                                               9,357,219,953  


 

                                                                 Face                    
                                                                Amount                    
                                                                (000)                     
TEMPORARY CASH INVESTMENTS — (0.8%)                                                       
       Repurchase Agreement, PNC Capital Markets, Inc.                                   
       1.94%, 09/02/08 (Collateralized by $115,575,000                                   
       FHLMC 6.584%(r), 03/01/37 & FNMA 5.11%(r),                                        
       01/01/36, valued at $81,574,106) to be repurchased                                
       at $78,585,936                                        $     78,569     78,569,000  


                                        

                                       5

--------------------------------------------------------------------------------

                                        

SECURITIES LENDING COLLATERAL — (10.6%)                                                       
 § @   DFA Short Term Investment Fund LP                        1,013,717      1,013,716,620  
                                                                                              
   @   Repurchase Agreement, Deutsche Bank Securities                                        
       2.14%, 09/02/08 (Collateralized by $163,567,165                                       
       FNMA, rates ranging from 5.500% to 7.000%,                                            
       maturities ranging from 12/01/32 to 09/01/37,                                         
       valued at $113,553,681) to be repurchased at                                          
       $110,272,506                                               110,246        110,246,292  
                                                                                              
TOTAL SECURITIES LENDING COLLATERAL                                            1,123,962,912  
                                                                                              
TOTAL INVESTMENTS - (100.0%)                                                                 
(Cost $9,974,526,829)##                                                      $10,559,751,865  


                                        

                                       6

--------------------------------------------------------------------------------

                                        

                        THE U.S. SMALL CAP VALUE SERIES

                            SCHEDULE OF INVESTMENTS

                                August 31, 2008

                                  (Unaudited)

 

                                                      Shares       Value †    
                                                                              
COMMON STOCKS — (83.3%)                                                       
Consumer Discretionary — (15.3%)                                              
  *   4Kids Entertainment, Inc.                        426,141   $ 3,869,360  
* #   99 Cents Only Stores                           1,223,863    10,476,267  
  *   A.C. Moore Arts & Crafts, Inc.                   367,818     2,773,348  
* #   AbitibiBowater Canada, Inc.                      317,836     2,091,361  
  *   Acme Communications, Inc.                        470,621       536,508  
      Ah Belo Corp.                                    368,818     1,788,767  
      Aldila, Inc.                                     109,817       414,010  
  *   Alloy, Inc.                                      461,743     3,315,315  
  *   Ambassadors International, Inc.                   14,878        32,732  
  #   American Axle & Manufacturing Holdings, Inc.   1,968,362     9,566,239  
  *   American Biltrite, Inc.                           59,229       257,646  
      American Greetings Corp. Class A               1,809,500    29,096,760  
* #   America’s Car-Mart, Inc.                          50,978       963,994  
  #   Arctic Cat, Inc.                                 182,689     1,887,177  
  #   ArvinMeritor, Inc.                             3,035,862    45,568,289  
      Asbury Automotive Group, Inc.                  1,093,802    13,278,756  
  *   Ashworth, Inc.                                   421,289     1,238,590  
  *   Audiovox Corp. Class A                           643,817     6,283,654  
* #   Avatar Holdings, Inc.                            187,591     5,963,518  
  *   Bakers Footwear Group, Inc.                        6,159        19,339  
  *   Ballantyne of Omaha, Inc.                         85,155       367,018  
  #   Barnes & Noble, Inc.                              30,594       756,590  
      Bassett Furniture Industries, Inc.               334,865     3,442,412  
      Beasley Broadcast Group, Inc.                    118,309       359,659  
  #   Beazer Homes USA, Inc.                           220,172     1,532,397  
      Belo Corp. Class A                             2,125,623    15,580,817  
  *   Benihana, Inc. Class A                             6,500        46,410  
* #   Big Lots, Inc.                                   936,739    27,699,372  
  *   Birks & Mayors, Inc.                              25,119        60,286  
  #   Blockbuster, Inc. Class A                      2,684,758     6,443,419  
  *   Blockbuster, Inc. Class B                        952,400     1,761,940  
  *   Bluegreen Corp.                                  982,198    11,236,345  
      Bob Evans Farms, Inc.                          1,381,208    38,770,509  
  #   Bon-Ton Stores, Inc.                             267,429     1,069,716  
      Books-A-Million, Inc.                             47,962       323,743  
  #   Borders Group, Inc.                              122,157       855,099  
      Bowl America, Inc. Class A                        31,040       419,040  
  #   Brookfield Homes Corp.                           362,325     4,648,630  
      Brown Shoe Company, Inc.                         553,723     8,416,590  
  #   Brunswick Corp.                                2,156,278    29,735,074  
  *   Buca, Inc.                                       602,329       265,085  
* #   Cabela’s, Inc.                                   781,585     9,574,416  
  *   Cache, Inc.                                           15           176  


                                        

                                       1

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* #   California Coastal Communities, Inc.      259,274      684,483  
  #   Carmike Cinemas, Inc.                     415,429    2,189,311  
  *   Carriage Services, Inc.                   497,347    2,163,459  
* #   Casual Male Retail Group, Inc.            128,266      489,976  
  *   Catalina Lighting, Inc.                    21,540       26,925  
  *   Cavalier Homes, Inc.                      437,188    1,027,392  
  *   Cavco Industries, Inc.                    146,331    5,123,048  
* †   Championship Auto Racing Teams, Inc.        4,800            —  
  *   Charlotte Russe Holding, Inc.              13,400      158,254  
* #   Charming Shoppes, Inc.                  3,075,915   16,609,941  
* #   Charter Communications, Inc.              114,100      119,805  
* #   Chicos FAS, Inc.                          157,074      901,605  
  *   Chromcraft Revington, Inc.                 34,836      101,024  
      Churchill Downs, Inc.                      46,441    2,062,909  
  #   Cinemark Holdings, Inc.                    26,228      385,289  
  #   Citadel Broadcasting Co.                2,803,287    2,803,287  
      Coachmen Industries, Inc.                 518,600      938,666  
      Coast Distribution System, Inc.           131,995      422,384  
      Cobra Electronics Corp.                   107,747      313,544  
  #   Collectors Universe, Inc.                 179,801    1,402,448  
* #   Comstock Homebuilding Companies, Inc.      98,964       13,034  
  *   Concord Camera Corp.                      189,954      560,364  
  *   Congoleum Corp. Class A                    90,400          814  
* #   Conn’s, Inc.                              189,318    3,619,760  
  #   Cooper Tire & Rubber Co.                2,195,656   20,990,471  
* #   Cost Plus, Inc.                           291,934      370,756  
* #   Cox Radio, Inc.                         1,392,008   15,520,889  
      Craftmade International, Inc.               1,758        7,384  
      CSS Industries, Inc.                      270,150    7,199,497  
  *   Culp, Inc.                                349,518    2,579,443  
* #   Cumulus Media, Inc. Class A             1,669,142    7,828,276  
  *   Cybex International, Inc.                  23,589       79,259  
      Decorator Industries, Inc.                 34,374       82,498  
* #   DEI Holdings, Inc.                        101,053      144,506  
* #   dELiA*s, Inc.                              32,453       80,808  
  *   Delta Apparel, Inc.                       224,389    1,559,504  
  *   Design Within Reach, Inc.                  39,620      163,631  
  *   DG Fastchannel, Inc.                            1           24  
  *   Diedrich Coffee, Inc.                      31,478       59,021  
  #   Dillards, Inc. Class A                    473,484    6,046,391  
  #   Dineequity, Inc.                          208,830    4,147,364  
  *   Dixie Group, Inc.                         358,599    2,743,282  
  *   Dorman Products, Inc.                     416,449    5,326,383  
      Dover Motorsports, Inc.                   339,898    1,696,091  
  *   Duckwall-ALCO Stores, Inc.                109,500    1,450,875  
  #   E.W. Scripps Co.                           63,900      464,553  
  *   ELXSI Corp.                                27,300       53,235  
  *   EMAK Worldwide, Inc.                           50           45  
  *   Emerson Radio Corp.                       254,361      279,797  
      Emmis Communications Corp. Class A      1,121,945    2,457,060  
  #   Entercom Communications Corp.           1,381,227    8,439,297  
  *   Entravision Communications Corp.        2,330,020    7,456,064  
* #   Escala Group, Inc.                        312,991      857,595  
      Escalade, Inc.                             46,818      138,113  
      Federal Screw Works                         3,125       15,469  


                                        

                                       2

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* # †   Federal-Mogul Corp.                        823,500            —  
        Finish Line, Inc. Class A                1,136,186   13,736,489  
    *   Finlay Enterprises, Inc.                   218,041       65,412  
        Fisher Communications, Inc.                 17,473      607,536  
    *   Flanigan’s Enterprises, Inc.                 4,132       27,684  
        Flexsteel Industries, Inc.                 162,919    1,808,401  
        Foot Locker, Inc.                          366,149    5,964,567  
        Footstar, Inc.                             468,700    1,673,259  
    *   Franklin Covey Co.                         384,354    3,439,968  
    *   Franklin Electronic Publishers, Inc.       135,104      236,432  
    #   Fred’s, Inc.                             1,128,867   15,826,715  
        Frisch’s Restaurants, Inc.                  24,171      561,976  
    #   Furniture Brands International, Inc.     1,999,950   17,899,552  
    *   GameTech International, Inc.                 8,895       34,602  
  * #   Gander Mountain Co.                        548,366    1,930,248  
    *   Gaylord Entertainment Co.                      300       10,395  
    *   G-III Apparel Group, Ltd.                   32,985      610,552  
    *   Gottschalks, Inc.                          293,879      432,002  
    #   Gray Television, Inc.                    1,437,350    3,535,881  
        Gray Television, Inc. Class A               41,706      145,971  
  * #   Great Wolf Resorts, Inc.                   441,903    2,311,153  
    #   Group 1 Automotive, Inc.                   759,600   16,073,136  
    *   Hampshire Group, Ltd.                       41,080      349,180  
    #   Handleman Co.                              659,277    1,272,405  
    *   Harris Interactive, Inc.                 1,702,256    2,876,813  
    *   Hartmarx Corp.                             963,400    2,389,232  
    *   Hastings Entertainment, Inc.               351,070    2,791,006  
    #   Haverty Furniture Co., Inc.                547,000    6,038,880  
    *   Hayes Lemmerz International, Inc.        1,920,371    4,858,539  
    #   Hearst-Argyle Television, Inc.             110,384    2,185,603  
    *   Heelys, Inc.                                11,341       57,499  
    *   Helen of Troy, Ltd.                        569,357   13,693,036  
    *   Hollywood Media Corp.                      272,700      747,198  
    *   Hot Topic, Inc.                            216,482    1,344,353  
  * #   Hovnanian Enterprises, Inc. Class A        390,999    2,791,733  
        ILX Resorts, Inc.                           97,633      209,911  
    *   Image Entertainment, Inc.                   48,050       56,218  
    *   International Textile Group, Inc.              129           39  
    *   Interstate Hotels & Resorts, Inc.          708,746    1,864,002  
        J. Alexander’s Corp.                       127,237      777,418  
    *   Jaclyn, Inc.                                40,909      242,386  
    *   Jakks Pacific, Inc.                        863,920   21,554,804  
  * #   Jarden Corp.                             1,584,533   40,674,962  
  * #   Jo-Ann Stores, Inc.                        753,900   18,824,883  
        Johnson Outdoors, Inc.                     179,241    2,763,896  
    #   Jones Apparel Group, Inc.                1,584,259   31,463,384  
        Journal Communications, Inc. Class A       315,678    1,613,115  
    #   Journal Register Co.                       996,800       10,466  
    #   KB Home                                  1,248,789   25,974,811  
        Kenneth Cole Productions, Inc. Class A     253,696    4,074,358  
        Kimball International, Inc. Class B        735,352    7,743,257  
  * #   Kirkland’s, Inc.                           196,079      447,060  
        LaCrosse Footwear, Inc.                     38,467      634,705  
    *   Lakeland Industries, Inc.                  137,068    1,753,100  
  * #   Lakes Entertainment, Inc.                  241,159    1,582,003  


                                        

                                       3

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  #   Landry’s Restaurants, Inc.                          658,635   12,685,310  
  *   Lazare Kaplan International, Inc.                   150,261    1,209,601  
  #   La-Z-Boy, Inc.                                    1,787,639   13,532,427  
* #   Lear Corp.                                          863,557   10,846,276  
  #   Lee Enterprises, Inc.                               895,833    3,359,374  
* #   Lenox Group, Inc.                                   440,800       70,528  
  #   Libbey, Inc.                                        316,697    2,945,282  
  #   Lifetime Brands, Inc.                               309,094    2,995,121  
  *   Lin TV Corp.                                        953,190    5,862,118  
  #   Lithia Motors, Inc. Class A                         459,091    2,226,591  
* #   Live Nation, Inc.                                   545,256    8,751,359  
* #   Lodgenet Entertainment Corp.                         25,800      102,942  
  *   Lodgian, Inc.                                       710,947    6,014,612  
  *   Luby’s, Inc.                                        518,059    3,843,998  
  #   M/I Homes, Inc.                                     420,519    7,531,495  
  *   Mace Security International, Inc.                   187,474      298,084  
* #   Magna Entertainment Corp.                             6,419       47,501  
* #   MarineMax, Inc.                                     659,419    5,222,598  
  *   McCormick & Schmick’s Seafood Restaurants, Inc.      32,950      323,239  
      McRae Industries, Inc. Class A                       30,453      548,154  
  #   MDC Holdings, Inc.                                  297,970   12,350,856  
  *   Meade Instruments Corp.                             640,020      320,010  
  #   Media General, Inc. Class A                         988,866   12,163,052  
  *   Merisel, Inc.                                         3,600        5,688  
* #   Meritage Homes Corp.                                334,186    7,826,636  
      Modine Manufacturing Co.                          1,321,003   20,898,267  
      Monaco Coach Corp.                                  976,100    2,332,879  
  *   Morton’s Restaurant Group, Inc.                     105,018      757,180  
  *   Mothers Work, Inc.                                  130,183    1,980,083  
      Movado Group, Inc.                                  180,688    4,190,155  
* #   MTR Gaming Group, Inc.                               44,016      180,025  
* #   Multimedia Games, Inc.                              624,425    3,159,590  
      National Presto Industries, Inc.                    117,965    9,121,054  
  *   Nature Vision, Inc.                                   2,100        1,911  
  #   Nautilus Group, Inc.                                304,869    1,621,903  
  *   Navarre Corp.                                       252,150      408,483  
* #   New Motion, Inc.                                    200,927      803,708  
* #   Nitches, Inc.                                        12,141       14,084  
  *   Nobel Learning Communities, Inc.                     21,394      331,179  
  #   Noble International, Ltd.                            64,609      387,654  
      OfficeMax, Inc.                                     379,605    4,646,365  
  #   Orleans Homebuilders, Inc.                          240,815    1,179,993  
      O’Charleys, Inc.                                    761,367    7,621,284  
  *   Outdoor Channel Holdings, Inc.                          284        2,269  
      Oxford Industries, Inc.                             475,531   10,865,883  
  *   P & F Industries, Inc. Class A                       13,672       35,684  
* #   Palm Harbor Homes, Inc.                             544,540    4,900,860  
  #   Penske Automotive Group, Inc.                     2,863,983   37,947,775  
* #   Perry Ellis International, Inc.                     484,316    8,262,431  
  *   Phoenix Footwear Group, Inc.                        216,337      229,317  
  #   Pier 1 Imports, Inc.                              1,298,152    5,737,832  
* #   Pinnacle Entertainment, Inc.                        540,950    5,999,135  
  *   Pomeroy IT Solutions, Inc.                          407,504    2,119,021  
  *   PreVu, Inc.                                         682,051        2,728  
  *   Proliance International, Inc.                       362,891      428,211  


                                        

                                       4

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  *   QEP Co., Inc.                                          41,814      250,466  
* #   Quaker Fabric Corp.                                   545,528        2,455  
* #   Quantum Fuel Systems Technologies Worldwide, Inc.     682,183    1,200,642  
  *   Quiksilver, Inc.                                       34,500      265,995  
* #   R.H. Donnelley Corp.                                   57,800      216,750  
  *   Radio One, Inc. Class D                             1,952,773    1,855,134  
  *   Rainmaker Systems, Inc.                                 7,480       22,440  
  *   RC2 Corp.                                             574,715   14,465,577  
      RCN Corp.                                             600,576    8,323,983  
* #   Reading International, Inc. Class A                   198,322    1,501,298  
  *   Reading International, Inc. Class B                    14,460      130,140  
  *   Red Lion Hotels Corp.                                 546,302    4,659,956  
  *   Regent Communications, Inc.                         1,314,367    1,025,206  
      Regis Corp.                                           812,155   22,301,776  
  *   Retail Ventures, Inc.                                 135,700      635,076  
  *   Rex Stores Corp.                                      333,450    4,308,174  
* #   Riviera Holdings Corp.                                 16,400      189,584  
* #   Rockford Corp.                                        250,500      260,520  
* #   Rocky Brands, Inc.                                    180,983      942,921  
  *   Rubio’s Restaurants, Inc.                               2,690       15,844  
      Ruby Tuesday, Inc.                                    299,501    2,093,512  
  #   Russ Berrie & Co., Inc.                               322,138    2,445,027  
  #   Ryland Group, Inc.                                  1,356,171   31,436,044  
  *   S&K Famous Brands, Inc.                                76,900      278,762  
  *   Saga Communications, Inc. Class A                     312,589    1,966,185  
      Salem Communications Corp.                            169,884      322,780  
  *   Schieb (Earl), Inc.                                    73,900      189,184  
  #   Scholastic Corp.                                    1,773,991   46,301,165  
* #   Sharper Image Corp.                                   367,246        6,978  
      Shiloh Industries, Inc.                               388,852    3,313,019  
  *   Shoe Carnival, Inc.                                   355,724    5,805,416  
  *   Silverleaf Resorts, Inc.                              121,800      230,202  
  #   Sinclair Broadcast Group, Inc. Class A                996,428    7,064,675  
* #   Six Flags, Inc.                                     2,636,000    2,636,000  
      Skyline Corp.                                         200,900    4,594,583  
  #   Sonic Automotive, Inc.                              1,282,597   13,800,744  
* #   Source Interlink Companies, Inc.                    1,566,006    1,957,507  
  *   Spanish Broadcasting System, Inc.                     774,108      317,384  
  *   SPAR Group, Inc.                                        3,200        3,200  
      Speedway Motorsports, Inc.                            200,255    4,431,643  
  *   Sport Chalet, Inc. Class A                            127,528      439,972  
  *   Sport Chalet, Inc. Class B                             13,869       43,687  
  *   Sport-Haley, Inc.                                      61,900      127,204  
      Stage Stores, Inc.                                  1,567,797   24,959,328  
      Standard Motor Products, Inc.                         649,750    4,489,772  
  #   Standard Pacific Corp.                                903,228    2,890,330  
      Stanley Furniture, Inc.                                51,045      421,121  
      Star Buffet, Inc.                                       7,100       29,678  
  *   Steinway Musical Instruments, Inc.                    185,753    5,370,119  
  #   Stewart Enterprises, Inc.                           2,915,242   27,286,665  
  *   Stoneridge, Inc.                                      352,700    4,479,290  
      Strattec Security Corp.                                31,539      901,700  
  #   Superior Industries International, Inc.               936,600   16,456,062  
      Superior Uniform Group, Inc.                          137,800    1,427,608  
* #   Syms Corp.                                            338,705    5,663,148  


                                        

                                       5

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* #   Syntax-Brillian Corp.                        174,642           1,572  
  *   Talon International, Inc.                      7,800           1,950  
      Tandy Brand Accessories, Inc.                200,326       1,141,858  
* #   Tarragon Corp.                                60,142          57,736  
  *   Tarrant Apparel Group                        281,000         193,890  
  *   The Hallwood Group, Inc.                         159          11,334  
      The Marcus Corp.                             595,520      10,231,034  
  #   The Men’s Wearhouse, Inc.                     27,100         593,490  
  #   The Pep Boys - Manny, Moe & Jack           1,872,600      16,478,880  
  *   The Sports Club Co., Inc.                    113,300         124,630  
* #   The Steak n Shake Co.                        757,175       5,890,821  
  *   Trans World Entertainment Corp.            1,045,274       3,020,842  
  *   Triple Crown Media, Inc.                     152,303          12,184  
* #   Trump Entertainment Resorts, Inc.            446,526         544,762  
  *   TRW Automotive Holdings Corp.                281,246       5,394,298  
  *   Tuesday Morning Corp.                         80,539         339,069  
  *   Unifi, Inc.                                1,705,064       6,803,205  
      Unifirst Corp.                               379,200      16,316,976  
* #   Valassis Communications, Inc.                  8,000          75,280  
  *   ValueVision Media, Inc. Class A              380,038         889,289  
      Virco Manufacturing Corp.                     24,084         105,006  
      Visteon Corp.                              2,219,439       7,146,594  
  *   Voyager Learning Co.                         103,000         489,250  
* #   Warnaco Group, Inc.                          273,755      14,117,545  
* #   WCI Communities, Inc.                      1,453,300         261,594  
  *   Wells-Gardner Electronics Corp.               95,631         123,842  
* #   West Marine, Inc.                            603,978       2,989,691  
  *   Woodbridge Holdings Corp.                    154,700         105,196  
  #   Xerium Technologies, Inc.                     16,600         127,986  
* #   Zale Corp.                                 1,349,084      36,843,484  
Total Consumer Discretionary                                 1,408,170,576  
                                                                            
Consumer Staples — (2.8%)                                                   
  *   Alliance One International, Inc.           1,123,515       4,516,530  
  #   American Italian Pasta Co.                   580,800       7,608,480  
  *   Bridgford Foods Corp.                         10,631          63,254  
  *   Cagle’s, Inc. Class A                          3,992          19,261  
* #   Caribou Coffee Co.                             1,700           5,321  
  *   Central Garden & Pet Co.                     791,638       4,441,089  
  *   Central Garden & Pet Co. Class A           1,333,456       7,067,317  
  #   Chiquita Brands International, Inc.        1,537,940      22,576,959  
  *   Collective Brands, Inc.                      280,502       4,072,889  
* #   Craft Brewers Alliance, Inc.                 170,019         593,366  
      Del Monte Foods Co.                        1,077,714       9,182,123  
  #   Farmer Brothers Co.                          134,422       3,503,037  
      Golden Enterprises, Inc.                      16,900          35,321  
      Griffin Land & Nurseries, Inc. Class A        41,061       1,415,783  
* #   Hain Celestial Group, Inc.                 1,334,074      34,672,583  
  #   Imperial Sugar Co.                           297,727       4,177,110  
      Ingles Market, Inc. Class A                   34,743         858,500  
  *   Katy Industries, Inc.                        130,300         228,025  
      MGP Ingredients, Inc.                        116,347         573,591  
  *   Monterey Pasta Co.                           463,402         959,242  
  #   Nash Finch Co.                               243,533       9,916,664  
  *   Natural Alternatives International, Inc.     102,829         795,896  


                                        

                                       6

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* #   Natural Health Trends Corp.               89,192        61,542  
      Oil-Dri Corp. of America                 121,850     2,242,040  
  *   Omega Protein Corp.                      268,618     3,647,832  
  *   Pantry, Inc.                             233,400     4,280,556  
  *   Parlux Fragrances, Inc.                  523,810     3,682,384  
  #   Pilgrim’s Pride Corp.                    274,797     3,528,393  
  *   Prestige Brands Holdings, Inc.           782,575     7,434,462  
      PriceSmart, Inc.                         353,626     7,514,552  
  *   Sanfilippo (John B.) & Son, Inc.         246,021     2,347,040  
  *   Scheid Vineyards, Inc.                     6,720       225,960  
  *   Schiff Nutrition International, Inc.     101,961       682,119  
      Scope Industries                           8,100       688,500  
      Seaboard Corp.                            16,149    20,945,253  
  *   Seneca Foods Corp. Class A                 7,224       146,214  
  *   Seneca Foods Corp. Class B                21,341       448,374  
* #   Smart Balance, Inc.                       11,800        75,520  
* #   Spectrum Brands, Inc.                    167,100       284,070  
      Stephan Co.                               54,595       169,244  
      Tasty Baking Co.                         229,200       962,640  
  *   TreeHouse Foods, Inc.                    524,085    14,548,600  
  #   Universal Corp.                          809,359    42,021,919  
      Weis Markets, Inc.                        92,800     3,512,480  
* #   Winn-Dixie Stores, Inc.                1,098,440    15,509,973  
  *   Zapata Corp.                             380,030     2,622,207  
Total Consumer Staples                                   254,864,215  
                                                                      
Energy — (6.8%)                                                       
      Adams Resources & Energy, Inc.            33,137       929,161  
* #   Allis-Chalmers Energy, Inc.              495,768     7,168,805  
  *   Basic Energy Services, Inc.              380,998    11,136,572  
  *   Brigham Exploration Co.                1,003,587    13,618,676  
* #   Bristow Group, Inc.                      569,377    23,213,500  
  *   Bronco Drilling Co., Inc.                806,960    12,790,316  
  *   Callon Petroleum Co.                     601,900    11,959,753  
  *   Catalytica Energy Systems, Inc.           33,158        90,521  
  *   Complete Production Services, Inc.       146,277     4,322,485  
  *   Comstock Resources, Inc.                 748,167    48,585,965  
* #   Edge Petroleum Corp.                     480,938     2,193,077  
  *   Encore Acquisition Co.                 1,146,986    59,138,598  
* #   EXCO Resources, Inc.                   1,000,653    26,497,291  
* #   Exterran Holdings, Inc.                1,328,725    60,736,020  
  *   Geokinetics, Inc.                          9,356       183,190  
  *   Geomet, Inc.                             135,897       948,561  
* #   Grey Wolf, Inc.                          426,958     3,718,804  
      Gulf Island Fabrication, Inc.                669        28,814  
* #   Harvest Natural Resources, Inc.        1,049,897    11,632,859  
  *   HKN, Inc.                                 79,588       749,719  
  *   Infinity, Inc.                            60,963        51,819  
  *   Mariner Energy, Inc.                     942,992    27,431,637  
  *   Meridian Resource Corp.                3,153,742     8,546,641  
  *   Natural Gas Services Group                 5,123       132,891  
  *   Newpark Resources, Inc.                1,372,808    11,778,693  
      Overseas Shipholding Group, Inc.           9,100       652,834  
* #   Parker Drilling Co.                      673,943     6,247,452  
  *   Petroleum Development Corp.              413,640    25,145,176  


                                        

                                       7

--------------------------------------------------------------------------------

                                        

  *   PHI, Inc. Non-Voting                            294,221    11,301,029  
  *   Pioneer Drilling Co.                          1,596,445    26,756,418  
* #   Royale Energy, Inc.                               3,893        27,913  
  *   SEACOR Holdings, Inc.                           153,669    13,545,922  
  *   Stone Energy Corp.                              933,039    44,477,993  
  *   Swift Energy Corp.                            1,008,548    47,109,277  
* #   Trico Marine Services, Inc.                     442,190    10,502,012  
  *   Union Drilling, Inc.                            166,371     2,365,796  
  #   USEC, Inc.                                    3,185,602    18,349,068  
* #   VeraSun Energy Corp.                            329,949     1,900,506  
  *   Whiting Petroleum Corp.                         752,735    72,443,216  
      World Fuel Services Corp.                         1,000        28,810  
Total Energy                                                    628,437,790  
                                                                             
Financials — (18.8%)                                                         
      1st Independence Financial Group, Inc.            5,052        93,159  
      1st Source Corp.                                610,780    13,272,249  
      21st Century Holding Co.                        117,755       790,136  
      Abigail Adams National Bancorp, Inc.             14,977        86,118  
  #   Abington Bancorp, Inc.                          269,342     2,663,792  
      Access National Corp.                            11,361        67,939  
      Advanta Corp. Class A                           364,938     2,379,396  
  #   Advanta Corp. Class B                           712,221     5,434,246  
      Affirmative Insurance Holdings, Inc.            139,923       843,736  
      Alliance Financial Corp.                         24,831       620,278  
* #   AmComp, Inc.                                    307,318     3,687,816  
  #   Amcore Financial, Inc.                          223,653     1,965,912  
      Ameriana Bancorp                                 33,851       279,271  
      American Bancorp of New Jersey, Inc.            126,448     1,336,555  
      American Equity Investment Life Holding Co.   1,776,391    16,325,033  
  *   American Independence Corp.                      28,537       190,056  
      American National Bankshares, Inc.               20,580       346,567  
      American Physicians Capital, Inc.               337,062    14,257,723  
      American Physicians Services Group, Inc.         35,600       786,048  
  #   American West Bancorporation                    277,922       478,026  
* #   AmeriCredit Corp.                             1,450,581    15,347,147  
      Ameris Bancorp                                  156,112     1,876,466  
  *   Amerisafe, Inc.                                   5,361        99,125  
  *   AmeriServe Financial, Inc.                      526,771     1,490,762  
  #   Anchor Bancorp Wisconsin, Inc.                  204,044     1,567,058  
  *   Appalachian Bancshares, Inc.                      4,318        27,851  
  *   Argo Group International Holdings, Ltd.         663,596    24,944,574  
      ASB Financial Corp.                              10,400       159,900  
  #   Asset Acceptance Capital Corp.                   67,131       727,700  
  *   Atlantic American Corp.                          80,034       119,651  
      Atlantic Coast Federal Corp.                        514         4,061  
  #   Atlantic Southern Financial Group, Inc.           2,567        35,296  
  *   B of I Holding, Inc.                             31,620       198,890  
      Baldwin & Lyons, Inc. Class B                   357,665     7,625,418  
  *   Bancinsurance Corp.                              75,970       408,339  
      Bancorp Rhode Island, Inc.                       12,919       383,307  
  #   BancorpSouth, Inc.                               64,200     1,477,884  
  #   BancTrust Financial Group, Inc.                  50,368       425,106  
      Bank Mutual Corp.                               138,476     1,668,636  
* #   Bank of Florida Corp.                           153,801     1,221,180  


                                        

                                       8

--------------------------------------------------------------------------------

                                        

      Bank of Granite Corp.                        23,139      177,245  
  #   BankAtlantic Bancorp, Inc. Class A        1,000,623    1,861,159  
      BankFinancial Corp.                         481,110    7,178,161  
  #   BankUnited Financial Corp. Class A        1,124,660    1,338,345  
  #   Banner Corp.                                412,556    4,360,717  
      Bar Harbor Bankshares                         5,890      172,106  
      BCB Bancorp, Inc.                             3,746       52,444  
  *   Beach First National Bancshares, Inc.           500        4,135  
      Benjamin Franklin Bancorp, Inc.              44,278      533,550  
      Berkshire Bancorp, Inc.                      16,710      208,875  
      Berkshire Hills Bancorp, Inc.               336,087    8,939,914  
      Beverly Hills Bancorp, Inc.                 528,495      724,038  
  *   BFC Financial Corp.                          33,229       23,925  
* #   BGC Partners, Inc. Class A                    1,973       13,002  
  *   BNCCORP, Inc.                                30,988      311,429  
  *   BNS Holding, Inc.                            45,855      639,219  
  #   Boston Private Financial Holdings, Inc.   1,303,000   11,648,820  
      Brookline Bancorp, Inc.                   2,246,869   23,097,813  
      Brunswick Bancorp                             1,200        9,000  
  #   Cadence Financial Corp.                      99,561      914,966  
      California First National Bancorp           107,558    1,237,993  
      Camco Financial Corp.                        73,966      787,738  
  #   Camden National Corp.                         3,636      117,770  
      Capital Bank Corp.                           35,866      365,833  
  #   Capital Corp. of the West                    15,490       49,258  
  #   Capital Southwest Corp.                      23,982    3,214,547  
  #   Capitol Bancorp, Ltd.                       279,241    4,291,934  
      Cardinal Financial Corp.                    545,097    4,627,874  
      Carrollton Bancorp                            8,046       87,380  
  #   Cascade Financial Corp.                      31,152      285,975  
  #   Cathay General Bancorp                      393,568    7,619,476  
      Center Financial Corp.                      122,596    1,651,368  
  #   Centerstate Banks of Florida, Inc.           16,489      235,628  
      Central Bancorp, Inc.                         3,611       46,437  
  *   Central Jersey Bancorp                        9,109       70,959  
  #   Central Pacific Financial Corp.           1,025,463   12,203,010  
      Central Virginia Bankshares, Inc.               900       12,514  
      Centrue Financial Corp.                      50,023      636,793  
      CFS Bancorp, Inc.                           369,685    3,526,795  
  #   Chemical Financial Corp.                    837,675   24,150,170  
      Citizens Community Bancorp, Inc.             22,618      179,587  
      Citizens First Bancorp, Inc.                284,349    1,239,762  
      Citizens First Corp.                          2,650       19,345  
  #   Citizens Republic Bancorp, Inc.             989,661    3,632,056  
      Citizens South Banking Corp.                 89,628      717,024  
* #   Citizens, Inc.                              336,298    2,394,442  
  *   CNA Surety Corp.                          1,194,032   19,188,094  
      Codorus Valley Bancorp, Inc.                  3,047       36,442  
      Columbia Banking System, Inc.               294,765    4,126,710  
      Commercial National Financial Corp.           2,564       33,358  
      Commonwealth Bankshares, Inc.                41,645      572,619  
* #   Community Bancorp                           115,449      607,262  
  #   Community Bank System, Inc.                 834,593   18,861,802  
      Community Bankshares, Inc.                   10,509      217,957  
      Community Capital Corp.                      17,290      165,120  


                                        

                                       9

--------------------------------------------------------------------------------

                                        

      Community Central Bank Corp.                           1,568        4,939  
      Community Trust Bancorp, Inc.                         56,213    1,885,384  
  #   Community West Bancshares                              2,977       11,908  
      Compass Diversified Holdings                          29,767      382,208  
* #   CompuCredit Corp.                                    577,127    2,995,289  
  *   Conseco, Inc.                                        385,402    3,457,056  
* #   Consumer Portfolio Services, Inc.                    165,769      356,403  
      Cooperative Bankshares, Inc.                          23,206      155,480  
  *   Core-Mark Holding Co., Inc.                          205,891    6,073,785  
  #   Corus Bankshares, Inc.                               916,224    3,637,409  
* #   Cowen Group, Inc.                                    159,182    1,461,291  
  *   Cowlitz Bancorporation                                10,908       64,030  
      Crawford & Co. Class A                                   779        8,187  
  #   Crawford & Co. Class B                                34,346      505,917  
  *   Crescent Financial Corp.                              43,157      277,500  
  *   Dearborn Bancorp, Inc.                               118,782      546,397  
      Delphi Financial Group, Inc. Class A               1,497,269   40,171,727  
  #   Delta Financial Corp.                                418,907        6,284  
      Dime Community Bancshares                             84,178    1,382,203  
      Donegal Group, Inc. Class A                          613,943   11,038,695  
      Donegal Group, Inc. Class B                           63,148    1,199,181  
* #   E*TRADE Financial Corp.                            1,120,573    3,585,834  
      Eastern Insurance Holdings, Inc.                      91,598    1,395,954  
      Eastern Virginia Bankshares, Inc.                     10,050      160,800  
      ECB Bancorp, Inc.                                      4,723      113,352  
  #   EMC Insurance Group, Inc.                            411,279    9,994,080  
  *   Encore Bancshares, Inc.                               50,900      843,413  
  *   Encore Capital Group, Inc.                           471,510    5,988,177  
      Enterprise Bancorp, Inc.                                 850       10,094  
  #   Epoch Holding Corp.                                  103,300    1,197,247  
      ESB Financial Corp.                                   53,102      567,129  
  #   ESSA Bancorp, Inc.                                   131,365    1,757,664  
  #   F.N.B. Corp.                                         566,727    6,625,039  
  #   Farmers Capital Bank Corp.                            22,917      684,531  
      FBL Financial Group, Inc. Class A                  1,003,211   23,023,692  
      Federal Agriculture Mortgage Corp. Class A             2,000       40,500  
  #   Federal Agriculture Mortgage Corp. Class C           238,500    6,988,050  
      Fidelity Bancorp, Inc.                                14,372      165,278  
      Fidelity Southern Corp.                               16,395       64,760  
  #   Financial Federal Corp.                              146,388    3,655,308  
      Financial Institutions, Inc.                         193,717    3,403,608  
  *   First Acceptance Corp.                                36,269      118,962  
  *   First Advantage Bancorp                                7,850       87,920  
      First Bancorp of Indiana, Inc.                         5,430       54,409  
  #   First Bancorp, Inc.                                   19,161      348,155  
      First Bancshares, Inc.                                23,243      390,018  
  *   First Bank of Delaware                                70,003      130,906  
  #   First Busey Corp.                                    166,686    2,360,274  
      First Business Financial Services, Inc.               14,100      233,919  
      First Citizens BancShares, Inc.                       31,444    4,666,918  
  #   First Commonwealth Financial Corp.                   250,273    2,860,620  
      First Defiance Financial Corp.                       213,267    3,495,446  
  #   First Federal Bancshares of Arkansas, Inc.           139,916    1,075,954  
      First Federal Bankshares, Inc.                         6,384       38,304  
      First Federal of Northern Michigan Bancorp, Inc.      61,984      303,722  


                                        

                                       10

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  #   First Financial Bancorp                             12,781      166,409  
      First Financial Corp.                              337,193   13,986,766  
      First Financial Holdings, Inc.                      18,428      402,468  
      First Financial Service Corp.                        5,436      109,427  
      First Franklin Corp.                                 7,705       61,640  
  *   First Investors Financial Services Group, Inc.     118,400      568,320  
  *   First Keystone Financial, Inc.                      43,412      416,755  
      First M&F Corp.                                     50,623      540,147  
* #   First Mariner Bancorp, Inc.                         33,344       82,026  
      First Merchants Corp.                              555,739   10,720,205  
      First Niagara Financial Group, Inc.              3,713,255   55,550,295  
      First PacTrust Bancorp, Inc.                        41,916      528,142  
      First Place Financial Corp.                        539,434    5,480,649  
* #   First Regional Bancorp                             134,386      688,056  
      First Security Group, Inc.                          90,600      714,834  
  #   First State Bancorporation                         226,974    1,296,022  
      First United Corp.                                  54,410    1,092,553  
      First West Virginia Bancorp, Inc.                    6,275       92,556  
      Firstbank Corp.                                     71,910      652,232  
* #   FirstCity Financial Corp.                          202,677    1,264,704  
* #   FirstFed Financial Corp.                           146,742    2,303,849  
  #   Flagstar Bancorp, Inc.                           1,930,400    8,551,672  
      Flushing Financial Corp.                           337,455    5,868,342  
      FNB United Corp.                                    76,913      578,386  
  *   FPIC Insurance Group, Inc.                         323,040   16,688,246  
* #   Franklin Bank Corp.                                552,493      315,474  
* #   Franklin Credit Management Corp.                    57,350       22,940  
  #   Fulton Financial Corp.                             696,038    7,419,765  
  #   Gateway Financial Holdings, Inc.                   276,787    1,907,062  
      German American Bancorp, Inc.                      127,880    1,661,161  
  #   Great Southern Bancorp, Inc.                        17,767      184,244  
  #   Greene Bancshares, Inc.                            134,863    2,083,633  
      GS Financial Corp.                                     400        6,200  
* #   Guaranty Bancorp                                   692,335    3,897,846  
      Guaranty Federal Bancshares, Inc.                   14,450      206,346  
  #   Habersham Bancorp                                    4,180       27,212  
  *   Hallmark Financial Services, Inc.                   31,166      287,662  
  #   Hanmi Financial Corp.                               74,797      382,213  
      Harleysville Group, Inc.                         1,104,553   40,062,137  
  #   Harleysville National Corp.                        125,430    1,843,821  
      Harleysville Savings Financial Corp.                17,595      241,755  
  #   Harrington West Financial Group, Inc.               35,656      126,579  
* #   Harris & Harris Group, Inc.                         38,522      281,981  
      Hawthorn Bancshares, Inc.                           14,224      338,673  
  #   Heartland Financial USA, Inc.                       11,475      247,057  
      Hercules Technology Growth Capital, Inc.           819,257    8,528,465  
      Heritage Commerce Corp.                            111,114    1,335,590  
      Heritage Financial Corp.                            11,313      159,740  
      HF Financial Corp.                                  97,405    1,496,141  
  *   Hilltop Holdings, Inc.                             157,556    1,640,158  
      Hingham Institution for Savings                        236        6,962  
      HMN Financial, Inc.                                122,256    1,740,925  
      Home Federal Bancorp, Inc.                         130,172    1,431,892  
      HopFed Bancorp, Inc.                                 1,300       15,717  
      Horace Mann Educators Corp.                      1,658,308   24,708,789  


                                        

                                       11

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  #   Horizon Financial Corp.                          52,489      427,785  
  *   HouseValues, Inc.                                12,446       35,098  
      IBERIABANK Corp.                                282,324   15,310,431  
  #   Imperial Capital Bancorp, Inc.                  145,988    1,305,133  
  #   Independence Holding Co.                        190,158    2,498,676  
  #   Independent Bank Corp. (MI)                     283,384    2,099,875  
      Indiana Community Bancorp                        25,002      376,280  
      Infinity Property & Casualty Corp.              614,512   28,574,808  
      Integra Bank Corp.                              380,118    2,436,556  
      Intervest Bancshares Corp.                       42,757      340,346  
      Investors Title Co.                              29,505    1,296,745  
  #   Irwin Financial Corp.                           949,742    3,713,491  
      Jefferson Bancshares, Inc.                       26,294      243,220  
  *   Knight Capital Group, Inc.                    1,431,332   24,676,164  
  *   LaBranche & Co., Inc.                         1,285,140    8,263,450  
  #   Lakeland Bancorp, Inc.                          186,040    2,195,272  
  #   LandAmerica Financial Group, Inc.               622,580   10,671,021  
      Landmark Bancorp, Inc.                           11,460      246,390  
      Legacy Bancorp, Inc.                            128,750    1,775,463  
      Lincoln Bancorp                                  31,720      314,662  
  #   LNB Bancorp, Inc.                                42,326      363,580  
      LSB Corp.                                        61,311      904,337  
      LSB Financial Corp.                               9,400      173,900  
  #   Macatawa Bank Corp.                             134,740    1,090,047  
  #   MainSource Financial Group, Inc.                479,726    8,687,838  
* #   Marlin Business Services, Inc.                   64,265      490,985  
      MASSBANK Corp.                                   86,847    3,457,379  
      Mayflower Bancorp, Inc.                           4,974       48,994  
      MB Financial, Inc.                            1,108,248   30,842,542  
  #   MBT Financial Corp.                             113,311      515,565  
  #   MCG Capital Corp.                             2,988,123   10,398,668  
      Meadowbrook Insurance Group, Inc.             1,438,944    9,640,925  
      Medallion Financial Corp.                       538,699    5,591,696  
  #   Mercantile Bancorp, Inc.                          8,044      136,547  
  #   Mercantile Bank Corp.                            25,871      222,749  
      Mercer Insurance Group, Inc.                    212,983    3,535,518  
* #   Meridian Interstate Bancorp, Inc.                32,800      316,192  
  #   Meta Financial Group, Inc.                       33,100      615,660  
      MetroCorp Bancshares, Inc.                       60,192      768,050  
      MicroFinancial, Inc.                            214,996      928,783  
  #   Midwest Banc Holdings, Inc.                     192,085    1,069,913  
      MidWestOne Financial Group, Inc.                 10,936      153,213  
  *   Move, Inc.                                        2,305        6,224  
      MutualFirst Financial, Inc.                     118,594    1,253,539  
  #   Nara Bancorp, Inc.                               77,768      851,560  
  #   National Penn Bancshares, Inc.                1,947,592   27,811,614  
      National Security Group, Inc.                     6,037       82,465  
      National Western Life Insurance Co. Class A      47,949   11,480,909  
  *   Navidec Financial, Inc.                           5,188        8,560  
  *   Navigators Group, Inc.                          570,373   29,887,545  
      Nelnet, Inc. Class A                            258,964    4,070,914  
  *   New Century Bancorp, Inc.                        27,814      257,836  
      New Hampshire Thrift Bancshares, Inc.            77,047      747,356  
      New Westfield Financial, Inc.                   237,549    2,427,751  
  #   NewAlliance Bancshares, Inc.                  3,366,310   46,152,110  


                                        

                                       12

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      NewBridge Bancorp                          95,579      572,518  
  *   Newport Bancorp, Inc.                       1,824       22,025  
  *   Newstar Financial, Inc.                     5,305       46,684  
  *   Newtek Business Services, Inc.            143,080       97,294  
* #   NexCen Brands, Inc.                       454,113      168,158  
  *   Nexity Financial Corp.                     10,105       21,119  
      North Central Bancshares, Inc.             39,100      762,450  
      Northeast Bancorp                          25,460      283,879  
      Northeast Community Bancorp, Inc.          26,486      267,509  
      Northrim Bancorp, Inc.                     83,236    1,379,221  
      Northway Financial, Inc.                    6,704       87,822  
  #   NYMAGIC, Inc.                             193,716    4,199,763  
      OceanFirst Financial Corp.                  5,615      101,351  
* #   Ocwen Financial Corp.                   1,396,959    9,736,804  
  #   Pacific Capital Bancorp                   249,909    3,676,161  
      Pacific Mercantile Bancorp                 10,779       73,297  
  *   Pacific Premier Bancorp, Inc.              80,543      424,462  
  #   PacWest Bancorp                         1,223,722   27,754,015  
      Pamrapo Bancorp, Inc.                       3,950       54,352  
      Park Bancorp, Inc.                          4,725       56,464  
  #   Park National Corp.                        17,226    1,055,954  
      Parkvale Financial Corp.                   78,950    1,742,427  
  #   Patriot Capital Funding, Inc.              95,611      709,434  
      Patriot National Bancorp                   19,333      265,829  
      PAULA Financial                            88,600      178,529  
  *   Penn Treaty American Corp.                613,274    1,373,734  
  *   Pennsylvania Commerce Bancorp, Inc.         2,489       69,592  
  *   Penson Worldwide, Inc.                     65,861    1,109,758  
      Peoples Bancorp of North Carolina          12,707      141,683  
      Peoples Bancorp, Inc. (709788202)          14,576      187,666  
      Peoples Bancorp, Inc. (709789101)         300,103    6,164,116  
      Peoples Community Bancorp                   5,084        9,456  
  *   Pico Holdings, Inc.                       553,594   26,373,218  
      Pinnacle Bancshares, Inc.                  17,681      154,886  
* #   Pinnacle Financial Partners, Inc.         167,492    4,240,897  
  *   Piper Jaffray Companies, Inc.             545,661   20,740,575  
  *   PMA Capital Corp. Class A               1,039,565    9,865,472  
  #   PMI Group, Inc.                           386,500    1,387,535  
      Porter Bancorp, Inc.                       10,949      203,761  
  #   Preferred Bank                             46,400      453,328  
      Premier Financial Bancorp, Inc.            49,662      471,789  
      Presidential Life Corp.                   932,637   16,787,466  
      Princeton National Bancorp, Inc.            7,520      204,920  
  *   ProAssurance Corp.                        307,373   16,567,405  
  #   Prosperity Bancshares, Inc.             1,106,919   35,388,200  
  #   Provident Bankshares Corp.                265,299    2,053,414  
  #   Provident Financial Holdings, Inc.        209,247    1,326,626  
      Provident Financial Services, Inc.      2,524,606   38,500,242  
  #   Provident New York Bancorp              1,229,119   17,011,007  
      Pulaski Financial Corp.                    17,461      169,372  
      Rainier Pacific Financial Group, Inc.     170,086    1,248,431  
  #   Renasant Corp.                            377,644    7,141,248  
      Republic Bancorp, Inc. Class A             12,831      380,183  
* #   Republic First Bancorp, Inc.               71,084      639,045  
  #   Resource America, Inc.                    159,972    1,975,654  


                                        

                                       13

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* #   Rewards Network, Inc.                              586,487    2,961,759  
      Riverview Bancorp, Inc.                            228,219    1,485,706  
      RLI Corp.                                          160,079    8,950,017  
      Rome Bancorp, Inc.                                 141,505    1,528,254  
      Royal Bancshares of Pennsylvania, Inc. Class A       3,200       15,264  
      Rurban Financial Corp.                              16,394      163,612  
      Safety Insurance Group, Inc.                       391,732   16,844,476  
  #   Sanders Morris Harris Group, Inc.                  192,297    2,019,119  
  #   Sandy Spring Bancorp, Inc.                         117,490    2,103,071  
  *   Seabright Insurance Holdings                       657,934    7,987,319  
  #   Seacoast Banking Corp. of Florida                  177,839    1,561,426  
  #   Security Bank Corp.                                152,340      577,369  
      Selective Insurance Group, Inc.                  1,945,426   46,962,584  
      SI Financial Group, Inc.                               184        1,766  
      Simmons First National Corp. Class A               340,259    9,670,161  
  #   South Financial Group, Inc.                      1,208,902    8,220,534  
  #   South Street Financial Corp.                        11,002       61,886  
  *   Southcoast Financial Corp.                          47,336      545,547  
      Southern Community Financial Corp.                 255,483    1,244,202  
  *   Southern Connecticut Bancorp, Inc.                  34,303      234,976  
  *   Southern First Bancshares, Inc.                     34,455      388,308  
      Southwest Bancorp, Inc.                            221,548    3,730,868  
  *   Specialty Underwriters’ Alliance, Inc.               2,765       14,516  
      State Auto Financial Corp.                         810,752   25,027,914  
  #   StellarOne Corp.                                   105,667    1,774,149  
  #   Sterling Financial Corp.                           336,874    3,432,746  
      Stewart Information Services Corp.                 586,200   10,967,802  
* #   Stratus Properties, Inc.                            85,711    2,488,190  
  *   Sun American Bancorp                                 3,836        7,749  
  *   Sun Bancorp, Inc.                                  823,260    9,714,468  
* #   Superior Bancorp                                    50,253      337,700  
  #   Susquehanna Bancshares, Inc.                     2,051,230   32,778,655  
      Sussex Bancorp                                      19,788      152,368  
      SWS Group, Inc.                                    265,600    5,359,808  
      Taylor Capital Group, Inc.                         161,262    1,746,467  
      Team Financial, Inc.                                   900        3,564  
      Teche Holding Co.                                   11,165      371,236  
      TF Financial Corp.                                  63,821    1,375,981  
  *   The Bancorp, Inc.                                   18,948       87,161  
  #   The Colonial BancGroup, Inc.                        16,500      104,280  
      The Phoenix Companies, Inc.                      3,130,300   37,281,873  
  #   The Wilber Corp.                                     1,861       15,632  
* #   Thomas Weisel Partners Group, Inc.                 126,872      776,457  
  #   TIB Financial Corp.                                  8,963       62,741  
* #   Tidelands Bancshares, Inc.                          22,435      170,057  
  #   TierOne Corp.                                       82,777      467,690  
      Timberland Bancorp, Inc.                           232,548    1,823,176  
      Tower Financial Corp.                               16,032      155,831  
* #   Trenwick Group, Ltd.                               199,776           60  
* #   Triad Guaranty, Inc.                               328,784      503,040  
      Trico Bancshares                                        34          559  
  #   Trustmark Corp.                                    661,935   12,702,533  
  #   UCBH Holdings, Inc.                                149,737      875,961  
  #   UMB Financial Corp.                                208,689   10,858,089  
  #   Umpqua Holdings Corp.                            1,519,138   21,207,166  


                                        

                                       14

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  *   Unico American Corp.                      145,800       1,217,430  
  #   Union Bankshares Corp.                    104,751       2,378,895  
  *   United America Indemnity, Ltd.            245,876       3,742,233  
  #   United Bankshares, Inc.                       200           5,150  
  *   United Capital Corp.                      106,255       2,632,999  
  #   United Community Banks, Inc.              197,792       2,326,034  
      United Community Financial Corp.          851,383       3,073,493  
      United Financial Bancorp, Inc.            184,493       2,359,665  
  #   United Fire & Casualty Co.              1,086,348      32,307,990  
  *   United PanAm Financial Corp.              157,259         583,431  
      United Western Bancorp, Inc.              125,181       1,360,717  
      Unity Bancorp, Inc.                        17,120          98,098  
  *   Universal American Corp.                   48,243         635,360  
  #   Univest Corporation of Pennsylvania         2,085          60,236  
  #   Vineyard National Bancorp Co.               5,968           3,999  
      VIST Financial Corp.                       33,781         456,044  
      Wainwright Bank & Trust Co.                21,908         195,200  
  #   Washington Federal, Inc.                  474,976       8,183,836  
      Wayne Savings Bancshares, Inc.             13,010         125,807  
      Webster Financial Corp.                   618,888      13,194,692  
      Wesbanco, Inc.                            656,238      16,261,578  
  #   West Bancorporation                         1,010          12,251  
      West Coast Bancorp                         22,715         249,411  
  #   Whitney Holding Corp.                     906,837      19,633,021  
      Willow Financial Bancorp, Inc.            461,395       4,577,038  
  *   Wilshire Enterprises, Inc.                103,903         382,363  
  #   Wintrust Financial Corp.                  672,702      15,640,322  
      WSB Holdings, Inc.                         26,549         130,090  
      WVS Financial Corp.                        12,136         193,569  
  #   Yadkin Valley Financial Corp.              74,118       1,211,829  
      Zenith National Insurance Corp.           526,172      20,094,509  
* #   ZipRealty, Inc.                            32,792         148,548  
Total Financials                                          1,729,446,664  
                                                                         
Health Care — (4.6%)                                                     
  *   Accelrys, Inc.                            482,386       2,474,640  
* #   Acusphere, Inc.                               100              43  
  *   Adolor Corp.                              189,754         618,598  
  *   Albany Molecular Research, Inc.         1,138,286      19,840,325  
  *   Allied Healthcare International, Inc.   1,214,352       2,756,579  
  *   Allied Healthcare Products, Inc.          136,444         863,008  
  *   Allion Healthcare, Inc.                   407,570       2,816,309  
  #   Alpharma, Inc. Class A                  1,472,500      52,568,250  
  *   American Dental Partners, Inc.            139,948       1,749,350  
  *   American Shared Hospital Services          81,144         227,203  
  *   AMICAS, Inc.                            1,214,003       3,557,029  
  *   AngioDynamics, Inc.                       604,303       9,928,698  
* #   APP Pharmaceuticals, Inc.                  87,926       2,081,208  
  *   Apria Healthcare Group, Inc.               25,600         506,368  
  *   Aradigm Corp.                                 580             377  
  *   Arrhythmia Research Technology, Inc.        2,792          14,393  
  *   Assisted Living Concepts, Inc.             66,200         468,696  
  *   ATS Medical, Inc.                         228,794         677,230  
  *   Avigen, Inc.                              479,070       1,954,606  
  *   Bioanalytical Systems, Inc.                31,600         153,576  


                                        

                                       15

--------------------------------------------------------------------------------

                                        

  *   BioScrip, Inc.                            1,172,992    4,715,428  
  #   Brookdale Senior Living, Inc.                56,337    1,242,231  
* #   Caliper Life Sciences, Inc.                 939,864    2,810,193  
      Cambrex Corp.                                21,189      137,517  
  *   Cantel Medical Corp.                        465,508    4,464,222  
  *   Capital Senior Living Corp.                 663,026    5,218,015  
  *   Cardiac Science Corp.                       683,182    7,002,616  
  *   Cardiotech International, Inc.               40,691       19,943  
* #   Celera Corp.                                 65,400      915,600  
* #   Conmed Corp.                                890,514   28,460,827  
  #   Cooper Companies, Inc.                      332,534   12,247,227  
  *   Cross Country Healthcare, Inc.            1,049,932   16,452,434  
  *   CuraGen Corp.                             1,206,336    1,158,083  
  *   Curis, Inc.                                      20           35  
  *   Cutera, Inc.                                 62,895      702,537  
* #   CytRx Corp.                                      86           52  
      Daxor Corp.                                  10,227      188,177  
  *   Del Global Technologies Corp.               135,934      203,901  
  *   Digirad Corp.                               198,199      313,154  
  *   Dyax Corp.                                   13,434       64,483  
  *   Dynacq Healthcare, Inc.                       2,151       10,432  
* #   Emisphere Technologies, Inc.                 73,632      268,757  
  *   Endologix, Inc.                              75,780      206,122  
* #   Epicept Corp.                                36,099       22,742  
  *   etrials Worldwide, Inc.                       1,423        2,135  
* #   ev3, Inc.                                    65,565      800,549  
* #   Evotec AG Sponsored ADR                     372,697    1,509,423  
* #   Genitope Corp.                              342,312       17,116  
  *   Gentiva Health Services, Inc.               495,682   13,794,830  
  *   Greatbatch, Inc.                            461,687   11,274,397  
* #   GTC Biotherapeutics, Inc.                   314,169      152,372  
* #   Hanger Orthopedic Group, Inc.               696,200   11,786,666  
  *   Harvard Bioscience, Inc.                    350,081    1,603,371  
  *   HealthTronics, Inc.                         855,209    3,608,982  
* #   Hi-Tech Pharmacal Co., Inc.                 252,827    2,368,989  
      Hooper Holmes, Inc.                       2,006,300    3,069,639  
  *   Incyte Corp.                                309,078    3,161,868  
  *   Infinity Pharmaceuticals, Inc.              165,032    1,216,286  
* #   Insmed, Inc.                                  9,725        4,668  
  *   IntegraMed America, Inc.                    152,607    1,246,799  
      Invacare Corp.                              593,866   15,102,012  
* #   Iridex Corp.                                  2,938       11,752  
      Kewaunee Scientific Corp.                    44,203      617,516  
* #   Kindred Healthcare, Inc.                  1,758,075   54,377,260  
* #   La Jolla Pharmaceutical Co.                   2,411        4,267  
  *   Langer, Inc.                                 61,059       61,059  
  *   Lannet Co., Inc.                             15,450       53,303  
* #   LifePoint Hospitals, Inc.                   773,019   26,081,661  
* #   Lipid Sciences, Inc.                         82,902       29,016  
* #   Magyar Bancorp, Inc.                         22,020      203,685  
* #   Martek Biosciences Corp.                     43,828    1,464,293  
  *   Maxygen, Inc.                               453,073    2,233,650  
  *   MedCath Corp.                               577,624   12,286,062  
  *   Medical Staffing Network Holdings, Inc.     465,042    1,250,963  
* #   MediciNova, Inc.                              3,262       12,559  


                                        

                                       16

--------------------------------------------------------------------------------

                                        

    #   Merge Healthcare, Inc.                 378,290       476,645  
  * #   Monogram Biosciences, Inc.             715,025       593,471  
  * #   Nanogen, Inc.                          338,160       111,593  
    *   National Dentex Corp.                   40,336       381,579  
    *   Neose Technologies, Inc.                19,426         6,799  
  * #   Neurocrine Biosciences, Inc.         1,125,303     5,817,817  
  * #   Neurogen Corp.                          14,361         4,308  
    *   North American Scientific, Inc.         24,259        10,674  
    *   NOVT Corp.                               2,900         3,915  
    *   Nutraceutical International Corp.       49,571       608,732  
* # †   OCA, Inc.                              573,971         5,740  
  * #   Occulogix, Inc.                         26,805         3,214  
    *   Orchid Cellmark, Inc.                  235,073       768,689  
    *   Ore Pharmaceuticals, Inc.              204,810       253,964  
    *   Orthologic Corp.                       368,515       309,553  
  * #   Oscient Pharmaceuticals Corp.            3,036         3,461  
    *   Osteotech, Inc.                        452,229     2,365,158  
    *   Par Pharmaceutical Companies, Inc.      17,600       250,624  
    *   PDI, Inc.                              440,241     3,279,795  
  * #   Pharmanet Development Group, Inc.      195,238     5,095,712  
  * #   PharMerica Corp.                       457,951    10,839,700  
    *   Prospect Medical Holdings, Inc.          9,700        21,825  
  * #   RadNet, Inc.                           121,546       756,016  
    *   Regeneration Technologies, Inc.         94,414       885,603  
    *   RehabCare Group, Inc.                  587,778    10,779,849  
    *   Res-Care, Inc.                         435,532     8,379,636  
  * #   Rotech Healthcare, Inc.                  3,627           254  
  * #   Rural/Metro Corp.                      131,700       256,815  
    *   RXi Pharmaceuticals Corp.                    4            27  
    *   Sonic Innovations, Inc.                161,914       484,123  
  * #   Spectrum Pharmaceuticals, Inc.          38,844        66,423  
    *   SRI/Surgical Express, Inc.             145,853       561,534  
    *   SunLink Health Systems, Inc.            63,900       185,310  
    *   Synovis Life Technologies, Inc.         54,463     1,196,007  
    *   Theragenics Corp.                    1,046,300     3,505,105  
    *   Threshold Pharmaceuticals, Inc.          6,310        11,674  
  * #   Titan Pharmaceuticals, Inc.            295,998       118,399  
    *   United American Healthcare Corp.        15,300        30,753  
    *   Urologix, Inc.                         176,958       313,216  
    *   Via Pharmaceuticals, Inc.                   42            67  
  * #   Vical, Inc.                            163,792       525,772  
  * #   ViroPharma, Inc.                        65,078       953,393  
    *   Vital Images, Inc.                     203,304     3,191,873  
Total Health Care                                        422,903,179  
                                                                      
Industrials — (14.4%)                                                 
    *   A. T. Cross Co. Class A                192,860     1,377,020  
        A.O. Smith Corp.                       543,749    22,386,146  
    *   Acco Brands Corp.                      241,500     2,050,335  
    *   Accuride Corp.                         551,492       805,178  
        Aceto Corp.                            685,287     5,852,351  
    *   Active Power, Inc.                     916,326       696,408  
    *   AeroCentury Corp.                       24,560       313,386  
        Alamo Group, Inc.                      235,076     4,920,141  
  * #   Alaska Air Group, Inc.               1,487,489    31,252,144  


                                        

                                       17

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      Albany International Corp. Class A            2,500       76,675  
      Alexander & Baldwin, Inc.                   274,070   12,259,151  
* #   Allied Defense Group, Inc.                  168,968    1,208,121  
  *   Amerco, Inc.                                236,175    9,843,774  
  #   American Railcar Industries, Inc.            19,250      312,043  
      Ameron International Corp.                   14,263    1,666,774  
      Ampco-Pittsburgh Corp.                        4,093      177,800  
  #   Applied Industrial Technologies, Inc.     1,498,850   43,631,524  
      Applied Signal Technologies, Inc.            23,485      388,677  
  *   Argon ST, Inc.                               13,223      330,178  
  #   Arkansas Best Corp.                         897,990   31,088,414  
* #   Arotech Corp.                               245,137      357,900  
  *   Avalon Holding Corp. Class A                 80,395      345,699  
* #   Avis Budget Group, Inc.                      86,238      657,134  
  *   Axsys Technologies, Inc.                     29,393    1,996,666  
  #   Baldor Electric Co.                          14,716      524,478  
  *   Baldwin Technology Co., Inc. Class A        228,333      721,532  
      Barrett Business Services, Inc.              40,740      590,730  
  *   Beacon Roofing Supply, Inc.                  24,939      406,007  
  #   BlueLinx Holdings, Inc.                     142,847    1,029,927  
      Bowne & Co., Inc.                           855,136   10,347,146  
  *   Breeze-Eastern Corp.                         67,371      715,480  
  #   Briggs & Stratton Corp.                   1,942,465   29,136,975  
* #   Builders FirstSource, Inc.                  189,761      962,088  
  *   Butler International, Inc.                   79,500       33,390  
  #   C&D Technologies, Inc.                      533,700    4,104,153  
      CDI Corp.                                    10,890      273,339  
      Champion Industries, Inc.                   291,361    1,363,569  
  *   Channell Commercial Corp.                    23,536        8,944  
      Chicago Rivet & Machine Co.                  15,000      314,250  
      CIRCOR International, Inc.                  230,025   13,861,307  
  *   Comforce Corp.                               41,900       85,057  
  *   Commercial Vehicle Group, Inc.              562,105    5,755,955  
  *   Competitive Technologies, Inc.                2,491        6,228  
      CompX International, Inc.                    45,668      333,376  
* #   Continental Airlines, Inc.                  654,667   10,638,339  
  *   Cornell Companies, Inc.                     399,648   10,842,450  
  *   Corrpro Companies, Inc.                      85,375      111,841  
  *   Covenant Transport Group Class A            385,887    1,694,044  
  *   CPI Aerostructures, Inc.                     27,313      219,870  
  *   Devcon International Corp.                   51,420       35,994  
* #   Distributed Energy Systems Corp.            548,664       17,557  
* #   Dollar Thrifty Automotive Group, Inc.       878,400    4,084,560  
      Ducommun, Inc.                              280,879    7,434,867  
  #   Eastern Co.                                  34,950      512,018  
      Ecology & Environment, Inc. Class A          42,516      450,670  
      Electro Rent Corp.                          596,057    8,118,296  
  #   Encore Wire Corp.                           108,950    2,077,677  
* #   EnerSys                                   1,309,940   36,835,513  
      Ennis, Inc.                                 590,028    9,741,362  
  *   EnPro Industries, Inc.                      403,813   17,020,718  
  #   Espey Manufacturing & Electronics Corp.       8,341      181,000  
  *   Esterline Technologies Corp.              1,050,823   59,360,991  
  *   ExpressJet Holdings, Inc.                 1,756,460      351,292  
      Federal Signal Corp.                      1,107,814   17,758,258  


                                        

                                       18

--------------------------------------------------------------------------------

                                        

    *   First Advantage Corp.                     386,146    6,460,223  
    *   First Aviation Services, Inc.               8,900       15,931  
  * #   Frontier Airlines Holdings, Inc.        1,128,414      315,956  
        Frozen Food Express Industries, Inc.      564,349    3,414,311  
  * #   Furmanite Corp.                            25,697      306,051  
    #   G & K Services, Inc. Class A              817,408   28,192,402  
        GATX Corp.                                352,157   15,435,041  
  * #   Gehl Co.                                  422,896    6,373,043  
    *   GP Strategies Corp.                       176,991    1,615,928  
    #   Greenbrier Companies, Inc.                308,336    6,182,137  
  * #   Griffon Corp.                             659,482    8,078,655  
        Hardinge, Inc.                            253,723    4,095,089  
    *   Hawaiian Holdings, Inc.                    43,978      397,121  
    *   Henry Bros. Electronics, Inc.               1,100        7,095  
    *   Herley Industries, Inc.                   476,578    9,150,307  
    *   Hudson Highland Group, Inc.                36,477      335,953  
    *   Hudson Technologies, Inc.                  38,600       90,324  
    *   Huttig Building Products, Inc.            376,121      816,183  
    *   ICT Group, Inc.                            81,478      659,972  
        IKON Office Solutions, Inc.             3,449,107   59,704,042  
    *   Innotrac Corp.                            109,597      405,509  
  * #   Insituform Technologies, Inc. Class A     250,256    4,594,700  
    *   Interline Brands, Inc.                     40,621      651,967  
    *   International Shipholding Corp.           212,392    4,300,938  
    *   Intersections, Inc.                       184,076    1,975,135  
  * #   JetBlue Airways Corp.                     316,407    1,920,590  
    *   JPS Industries, Inc.                       42,300      306,675  
    *   Kadant, Inc.                              412,260    9,667,497  
    *   Kansas City Southern                      343,715   17,677,262  
    #   Kelly Services, Inc. Class A            1,160,297   22,440,144  
    *   Key Technology, Inc.                       30,303      865,454  
    *   Kforce, Inc.                              158,419    1,691,915  
        L.S. Starrett Co. Class A                 150,098    3,938,572  
        Lawson Products, Inc.                       2,654       79,938  
    *   LECG Corp.                                205,150    1,671,973  
    *   LGL Group, Inc.                            13,417       84,527  
    #   LSI Industries, Inc.                       17,369      149,894  
    *   Lydall, Inc.                              486,300    5,684,847  
  * #   M&F Worldwide Corp.                       556,176   24,482,868  
    *   Mac-Gray Corp.                            319,000    3,697,210  
    *   Magnetek, Inc.                            747,737    3,439,590  
  * †   MAIR Holdings, Inc.                       593,484      884,291  
  * †   MAIR Holdings, Inc. Escrow Shares         593,484            —  
    *   Marten Transport, Ltd.                    656,904   13,098,666  
* # †   MCSi, Inc.                                  1,500            —  
    *   Meadow Valley Corp.                         1,420       15,066  
  * #   Medialink Worldwide, Inc.                 164,396       32,879  
    *   Merrimac Industries, Inc.                  50,726      273,413  
  * #   Mesa Air Group, Inc.                    1,086,146      488,766  
  * #   Milacron, Inc.                            112,476      140,595  
    *   Miller Industries, Inc.                    67,753      567,093  
    *   Misonix, Inc.                             194,882      532,028  
  * #   Mobile Mini, Inc.                         437,940    9,363,157  
  * #   Modtech Holdings, Inc.                    452,314       36,185  
    *   Moore Handley, Inc.                         2,000        4,000  


                                        

                                       19

--------------------------------------------------------------------------------

                                        

  #   Mueller Water Products, Inc.             388,338    4,221,234  
      Mueller Water Products, Inc. Class B     670,815    6,963,060  
  #   NACCO Industries, Inc. Class A           142,820   16,787,063  
  *   Nashua Corp.                             138,861    1,292,796  
  *   National Patent Development Corp.        230,265      529,610  
      National Technical Systems, Inc.         169,871      847,656  
* #   NCI Building Systems, Inc.               474,418   18,160,721  
  *   P.A.M. Transportation Services, Inc.     135,971    2,002,853  
  *   Paragon Technologies, Inc.                 3,056       17,419  
  *   Park-Ohio Holdings Corp.                 211,413    4,124,668  
  *   Patrick Industries, Inc.                 139,779      964,475  
  *   PGT, Inc.                                112,337      572,919  
* #   PHH Corp.                              1,935,310   29,513,478  
* #   Pinnacle Airlines Corp.                   72,300      344,148  
* #   Plug Power, Inc.                       1,043,067    2,826,712  
      Portec Rail Products, Inc.                 1,806       19,794  
  #   Preformed Line Products Co.               61,342    3,357,861  
* #   Protection One, Inc.                      43,556      309,248  
      Providence & Worcester Railroad Co.       63,820    1,238,108  
* #   Quanta Services, Inc.                  1,200,739   38,351,604  
  *   RCM Technologies, Inc.                   243,572      660,080  
  #   Regal-Beloit Corp.                       992,313   46,589,095  
  *   Republic Airways Holdings, Inc.        1,429,215   12,348,418  
  *   Rush Enterprises, Inc. Class A           861,983   11,369,556  
  *   Rush Enterprises, Inc. Class B           280,568    3,644,578  
  *   Saia, Inc.                               486,632    9,382,265  
      Schawk, Inc.                              91,481    1,441,741  
* #   School Specialty, Inc.                   759,065   23,151,483  
      Servidyne, Inc.                           21,203       89,477  
      Servotronics, Inc.                         1,140       13,908  
  *   SIFCO Industries, Inc.                    47,144      480,869  
      Skywest, Inc.                          1,624,941   27,770,242  
  *   SPACEHAB, Inc.                             8,254        3,797  
  *   Sparton Corp.                            213,750      887,063  
  *   Spherion Corp.                         2,012,589   10,425,211  
      Standex International Corp.              314,340    7,858,500  
      Supreme Industries, Inc.                 195,126      765,870  
      Sypris Solutions, Inc.                   544,737    1,225,658  
  *   TeamStaff, Inc.                           19,325       53,337  
      Technology Research Corp.                167,069      392,612  
  #   Tecumseh Products Co. Class A            439,770   11,605,530  
  *   Tecumseh Products Co. Class B             33,491      847,657  
      Todd Shipyards Corp.                      96,425    1,438,661  
  *   Trailer Bridge, Inc.                     103,964      660,171  
* #   TRC Companies, Inc.                      681,088    2,404,241  
  #   Tredegar Industries, Inc.              1,297,386   25,688,243  
* #   Trex Co., Inc.                            22,891      424,628  
  #   Trinity Industries, Inc.               1,524,225   54,841,616  
  #   Triumph Group, Inc.                      459,880   25,173,831  
* #   TRM Corp.                                352,024       96,807  
  *   Tufco Technologies, Inc.                  32,772      188,439  
* #   United Rentals, Inc.                   1,638,407   26,525,809  
      Universal Forest Products, Inc.          558,441   18,344,787  
  *   US Airways Group, Inc.                    81,500      691,935  
  *   USA Truck, Inc.                          256,962    4,728,101  


                                        

                                       20

--------------------------------------------------------------------------------

                                        

* #   Valence Technology, Inc.                       4,800          17,232  
  *   Valpey Fisher Corp.                           14,889          62,534  
  #   Viad Corp.                                   226,414       7,082,230  
  *   Volt Information Sciences, Inc.              514,613       7,214,874  
  #   Wabash National Corp.                        921,764       8,010,129  
  #   Watts Water Technologies, Inc.               909,616      25,860,383  
  *   WCA Waste Corp.                              527,219       2,636,095  
  #   Werner Enterprises, Inc.                   2,977,501      67,916,798  
  *   Westaff, Inc.                                309,665         244,635  
  *   Willis Lease Finance Corp.                   223,493       2,766,843  
* #   YRC Worldwide, Inc.                        1,051,998      19,041,164  
Total Industrials                                            1,324,376,555  
                                                                            
Information Technology — (14.8%)                                            
  *   3Com Corp.                                 2,915,804       6,181,504  
* #   Access Integrated Technologies, Inc.           2,733           4,564  
  *   Acorn Factor, Inc.                            89,400         397,830  
  *   Actel Corp.                                  786,619      10,839,610  
  *   ActivIdentity Corp.                        1,463,921       3,923,308  
  *   Adaptec, Inc.                              4,004,457      15,176,892  
  *   Aehr Test Systems                             18,632          81,422  
  *   Aetrium, Inc.                                 51,248         192,180  
  #   Agilysys, Inc.                               741,334       9,644,755  
* †   Allen Organ Co.                                4,900          44,529  
      Alliance Semiconductor Corp.                 574,401         557,169  
  *   Allied Motion Technologies, Inc.              44,400         231,324  
  *   Amtech Systems, Inc.                          10,658         119,476  
  *   Analysts International Corp.                 536,181         664,864  
  *   Anaren, Inc.                                 519,340       5,515,391  
  *   Applied Micro Circuits Corp.               2,438,518      19,410,603  
  *   Arris Group, Inc.                          2,427,058      22,959,969  
  *   Aspen Technology, Inc.                       326,227       4,697,669  
  *   Astea International, Inc.                     12,900          38,958  
      Astro-Med, Inc.                               83,801         784,377  
* #   Atari, Inc.                                      856           1,412  
  *   Authentidate Holding Corp.                    52,694          30,563  
  *   Autobytel, Inc.                            1,304,135       1,525,838  
* #   Avanex Corp.                                  22,726         142,038  
* #   Avid Technology, Inc.                        789,712      18,352,907  
  *   Aviza Technology, Inc.                       108,403          65,042  
  *   Avocent Corp.                                627,792      14,734,278  
      AVX Corp.                                    179,500       2,060,660  
  *   Aware, Inc.                                  485,776       1,535,052  
  *   Axcelis Technologies, Inc.                 3,309,575      15,654,290  
  *   AXT, Inc.                                    629,038       2,270,827  
* #   BearingPoint, Inc.                         2,499,894       2,849,879  
      Bel Fuse, Inc. Class A                         1,379          40,722  
      Bel Fuse, Inc. Class B                        38,497       1,071,756  
  *   Bell Industries, Inc.                        158,363          23,754  
* #   Bell Microproducts, Inc.                     938,970       2,065,734  
  *   Benchmark Electronics, Inc.                2,702,860      44,570,161  
  #   Black Box Corp.                              642,132      23,014,011  
  *   Blonder Tongue Laboratories, Inc.             22,100          25,968  
      Bogen Communications International, Inc.      43,800         213,525  
* #   Bookham, Inc.                                641,838       1,084,706  


                                        

                                       21

--------------------------------------------------------------------------------

                                        

  *   Borland Software Corp.                  2,221,652    4,132,273  
  *   Brooks Automation, Inc.                 3,036,541   29,181,159  
  *   CalAmp Corp.                              787,034    1,574,068  
  *   California Micro Devices Corp.            499,463    1,618,260  
  *   CallWave, Inc.                            386,595      900,766  
  *   Captaris, Inc.                            641,918    2,567,672  
  *   Cascade Microtech, Inc.                    50,472      299,299  
  *   Catalyst Semiconductor, Inc.              481,025    3,256,539  
  *   Catapult Communications Corp.             405,206    3,075,514  
  *   Centillium Communications, Inc.           100,829       74,613  
  *   CEVA, Inc.                                375,239    3,564,771  
  *   Ciber, Inc.                             1,905,000   14,916,150  
  *   Ciprico, Inc.                             113,410        4,650  
  *   Clarus Corp.                              371,800    2,026,310  
  *   Clearfield, Inc.                          154,000      200,200  
  #   CLST Holdings, Inc.                       370,669      133,441  
  *   CMGI, Inc.                              1,052,379   12,407,548  
  *   Coherent, Inc.                          1,114,220   39,967,071  
      Cohu, Inc.                                592,382    9,892,779  
  *   Comarco, Inc.                              20,234       47,752  
# †   Commerce One, Inc.                         55,600            —  
      Communications Systems, Inc.              109,734    1,168,667  
  *   Computer Task Group, Inc.                 215,500    1,495,570  
  *   Conexant Systems, Inc.                     24,293      143,086  
  *   Convergys Corp.                           775,747   11,442,268  
  *   Credence Systems Corp.                  3,318,558    3,749,971  
  *   CSP, Inc.                                 107,178      650,570  
      CTS Corp.                               1,230,500   16,291,820  
  *   Cyberoptics Corp.                         227,687    2,058,290  
  *   Data I/O Corp.                             84,600      559,206  
      Dataram Corp.                             124,323      299,618  
  *   DDi Corp.                                 382,907    2,174,912  
* #   Delphax Technologies, Inc.                 72,125       14,425  
  *   Digi International, Inc.                  718,561    8,486,205  
  *   Digital Angel Corp.                       478,670      244,600  
  *   Ditech Networks, Inc.                     853,849    1,323,466  
  *   Dot Hill Systems Corp.                  1,490,910    3,250,184  
  *   DSP Group, Inc.                           355,936    2,758,504  
  *   Dynamics Research Corp.                   157,616    1,413,816  
* #   Easylink Services International Corp.      48,700      183,599  
  *   EDCI Holdings, Inc.                       122,643      510,196  
  *   Edgewater Technology, Inc.                307,460    1,521,927  
  *   EFJohnson Technologies, Inc.              198,233      356,819  
  *   Electro Scientific Industries, Inc.       917,461   13,110,518  
* #   Electroglas, Inc.                         461,533      687,684  
  *   Electronics for Imaging, Inc.             138,985    2,305,761  
  *   EMS Technologies, Inc.                    288,605    6,779,331  
  *   En Pointe Technologies, Inc.               38,700       84,366  
  *   Endwave Corp.                             173,378    1,040,268  
  *   Entegris, Inc.                          5,110,889   31,483,076  
  *   Entorian Technologies, Inc.               489,193      357,111  
* #   EPIQ Systems, Inc.                        188,695    2,130,367  
  *   ePlus, Inc.                               245,232    3,322,894  
  *   Euronet Worldwide, Inc.                    66,020    1,240,516  
  *   Evans & Sutherland Computer Corp.         180,800      207,920  


                                        

                                       22

--------------------------------------------------------------------------------

                                        

  *   Exar Corp.                                  1,562,642   12,094,849  
  *   Fairchild Semiconductor Corp. Class A         402,459    5,046,836  
* #   Forgent Networks, Inc.                        354,464      127,607  
      Frequency Electronics, Inc.                   225,170    1,031,279  
  *   FSI International, Inc.                       859,162      979,445  
  *   Gerber Scientific, Inc.                       498,430    4,445,996  
      Gevity HR, Inc.                                73,872      609,444  
  *   Giga-Tronics, Inc.                             28,200       29,892  
  *   Globecomm Systems, Inc.                        67,865      692,223  
* #   Glu Mobile, Inc.                                8,580       30,631  
  *   GTSI Corp.                                    303,830    2,096,427  
* #   Hackett Group, Inc.                            15,513       99,283  
  *   Halifax Corp.                                  23,500       17,625  
  *   Harris Stratex Networks, Inc. Class A         113,685    1,064,092  
  *   hi/fn, Inc.                                   403,097    1,600,295  
* #   Hutchinson Technology, Inc.                   855,715   12,399,310  
  *   Hypercom Corp.                              1,608,400    7,318,220  
  *   I.D. Systems, Inc.                              1,154       10,374  
* #   Ibis Technology Corp.                          49,840        2,492  
  *   iGATE Capital Corp.                                35          394  
  *   Ikanos Communications                         395,934    1,029,428  
  *   I-many, Inc.                                  377,500      262,363  
  #   Imation Corp.                               1,430,395   30,381,590  
  *   InFocus Corp.                               1,358,287    1,983,099  
      InfoGROUP, Inc.                                66,940      441,804  
      InfoSpace, Inc.                             1,170,292   13,692,416  
  *   Innovex, Inc.                                 405,239      271,510  
  *   Insight Enterprises, Inc.                   1,868,356   31,089,444  
* #   InsWeb Corp.                                   22,666      145,289  
  *   Integrated Device Technology, Inc.            931,538    9,864,987  
  *   Integrated Silicon Solution, Inc.             727,263    2,865,416  
  *   Intelli-Check, Inc.                               100          225  
  *   Intelligent Systems Corp.                      49,103      157,130  
  *   Intelligroup, Inc.                             70,500      162,150  
  *   International Rectifier Corp.                 289,951    6,059,976  
* #   Internet Brands, Inc.                          98,800      690,612  
  *   Internet Capital Group, Inc.                1,271,297   10,742,460  
  *   Interwoven, Inc.                            1,144,072   16,840,740  
  *   Intest Corp.                                   37,677       50,864  
  *   Intevac, Inc.                                  46,378      472,128  
  *   IntriCon Corp.                                 61,798      360,282  
  *   iPass, Inc.                                   785,660    1,783,448  
  *   IXYS Corp.                                    273,674    3,483,870  
  *   Jaco Electronics, Inc.                        120,680      158,091  
  *   JDA Software Group, Inc.                        8,210      149,668  
  *   Jupitermedia Corp.                            162,824      190,504  
      Keithley Instruments, Inc.                     36,046      342,797  
* #   Kemet Corp.                                 2,885,784    4,674,970  
  *   Key Tronic Corp.                              238,425      801,108  
  *   Keynote Systems, Inc.                         440,972    6,182,427  
  *   Kopin Corp.                                   346,476    1,032,498  
  *   Kratos Defense & Security Solutions, Inc.     444,073      901,468  
* #   L-1 Identity Solutions, Inc.                3,144,969   51,829,089  
  *   Lantronix, Inc.                               136,115       70,780  
  *   Lattice Semiconductor Corp.                 3,569,938    8,353,655  


                                        

                                       23

--------------------------------------------------------------------------------

                                        

  *   Leadis Technolgies, Inc.                23,682       23,208  
* #   LeCroy Corp.                           370,268    3,084,332  
* #   LightPath Technologies, Inc.            30,600       43,452  
  *   Lionbridge Technologies, Inc.          315,576    1,006,687  
  *   Logic Devices, Inc.                     90,700      101,131  
  *   LogicVision, Inc.                       60,000       71,400  
  *   LookSmart, Ltd.                        240,819      780,254  
  *   Loral Space & Communications, Inc.     255,467    4,692,929  
  *   Management Network Group, Inc.         307,249      331,829  
  *   Mattson Technology, Inc.                89,092      454,369  
  *   MDI, Inc.                              133,992       84,415  
      MedQuist, Inc.                         119,652      582,705  
  *   Mercury Computer Systems, Inc.         627,656    5,805,818  
  *   Merix Corp.                            657,778    1,223,467  
      Methode Electronics, Inc.              965,444   10,610,230  
  *   MIPS Technologies, Inc.                171,370      682,053  
* #   MKS Instruments, Inc.                2,122,573   47,842,795  
  *   MPS Group, Inc.                      3,687,992   42,485,668  
  *   MRV Communications, Inc.               653,500      888,760  
  *   MTM Technologies, Inc.                     386          645  
  *   Nanometrics, Inc.                      488,438    1,773,030  
  *   Napster, Inc.                           20,300       27,202  
  *   Network Engines, Inc.                   18,100       17,376  
  *   Newport Corp.                        1,352,769   12,675,446  
  *   NMS Communications Corp.               189,400      107,958  
  *   Nu Horizons Electronics Corp.          553,071    2,660,272  
* #   NYFIX, Inc.                            464,427    1,458,301  
      O.I. Corp.                              57,459      699,276  
* #   OmniVision Technologies, Inc.          944,715   11,034,271  
  *   Omtool, Ltd.                            52,214       86,153  
      Openwave Systems, Inc.               1,190,109    1,713,757  
  *   Oplink Communications, Inc.            398,169    5,231,941  
  *   Opnext, Inc.                            12,028       76,258  
  *   Optelecom-NKF, Inc.                      8,825       72,630  
  *   OPTi, Inc.                             164,800      379,040  
  *   Optical Cable Corp.                    117,741      814,768  
  *   OSI Systems, Inc.                      235,834    5,473,707  
  *   Overland Storage, Inc.                 364,605      291,684  
* #   Palm, Inc.                           2,287,204   19,464,106  
  *   PAR Technology Corp.                   106,202      853,864  
  *   PC Connection, Inc.                    696,724    5,288,135  
      PC-Tel, Inc.                           644,360    6,514,480  
  *   PDF Solutions, Inc.                        800        5,080  
      Pegasystems, Inc.                      114,364    1,676,576  
  *   Perceptron, Inc.                        90,617      671,472  
  *   Performance Technologies, Inc.         253,171    1,260,792  
* #   Pericom Semiconductor Corp.            333,887    4,554,219  
  *   Perot Systems Corp.                    136,400    2,427,920  
  *   Pervasive Software, Inc.               525,323    2,327,181  
  *   Photon Dynamics, Inc.                  556,549    8,470,676  
  *   Photronics, Inc.                     1,451,416    4,746,130  
  *   Physicians Formula Holdings, Inc.       18,270      107,610  
* #   Planar Systems, Inc.                   514,003    1,423,788  
* #   PlanetOut, Inc.                         39,420       99,338  
  *   PLATO Learning, Inc.                   548,538    1,020,281  


                                        

                                       24

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  *   PLX Technology, Inc.                        32,467      184,737  
* #   Powerwave Technologies, Inc.             3,343,718   16,885,776  
* †   Price Communications Liquidation Trust   1,498,306      204,639  
      Qualstar Corp.                              62,621      200,387  
  *   Quantum Corp.                            1,258,685    2,227,872  
  *   QuickLogic Corp.                           393,317      601,775  
* #   Rackable Systems, Inc.                     645,326    6,685,577  
  *   RadiSys Corp.                              448,959    4,969,976  
  *   RealNetworks, Inc.                       3,014,426   19,985,644  
      REMEC, Inc.                                491,423      331,711  
* #   RF Micro Devices, Inc.                   2,398,246    9,305,194  
  *   RF Monolithics, Inc.                        42,940       42,940  
      Richardson Electronics, Ltd.               472,036    3,167,362  
  *   Rudolph Technologies, Inc.                 995,434    8,401,463  
  *   S1 Corp.                                 1,437,719   10,969,796  
  *   Safeguard Scientifics, Inc.              2,532,791    3,621,891  
  *   Sanmina-SCI Corp.                          594,983    1,398,210  
* #   SatCon Technology Corp.                     94,200      212,892  
  *   SCM Microsystems, Inc.                     378,413      953,601  
  *   Seachange International, Inc.              918,972    7,884,780  
  *   Secure Computing Corp.                   2,132,854    9,128,615  
  *   Selectica, Inc.                            884,002      998,922  
  *   SI International, Inc.                     350,417   10,943,523  
  *   Sigmatron International, Inc.               16,500      113,025  
  *   Silicon Storage Technology, Inc.         3,391,171   11,089,129  
* #   Skyworks Solutions, Inc.                 5,780,070   56,066,679  
  *   Soapstone Networks, Inc.                   262,500    1,029,000  
* #   Sonic Foundry, Inc.                         22,300       16,948  
  *   SonicWALL, Inc.                          1,261,137    8,247,836  
  *   Spansion, Inc.                              29,473       66,314  
  *   Spectrum Control, Inc.                     249,663    2,062,216  
      StarTek, Inc.                              206,695    1,868,523  
  *   SteelCloud, Inc.                             5,800        7,018  
  *   SumTotal Systems, Inc.                       1,297        6,265  
  *   Sunair Electronics, Inc.                    21,572       43,683  
  *   Sunrise Telecom, Inc.                      187,300      187,300  
  *   SupportSoft, Inc.                          603,981    2,107,894  
  *   Sycamore Networks, Inc.                  7,141,045   24,993,658  
  *   Symmetricom, Inc.                          703,014    3,458,829  
* #   SYNNEX Corp.                             1,057,645   24,315,259  
      Taitron Components, Inc.                     6,400        5,792  
  *   Tech Data Corp.                            823,746   28,122,688  
  *   Technical Communications Corp.               6,200       38,595  
  *   Technology Solutions Co.                    69,968      281,971  
  *   TechTeam Global, Inc.                      244,460    2,085,244  
  *   Tellabs, Inc.                              411,144    2,142,060  
  *   Telular Corp.                               55,939      155,510  
  *   Tessco Technologies, Inc.                   32,507      478,503  
  *   ThinkEngine Networks, Inc.                  12,500          750  
  *   Tier Technologies, Inc. Class B            581,598    4,478,305  
  *   TII Network Technologies, Inc.              96,200      118,326  
  *   Tollgrade Communications, Inc.             434,677    2,921,029  
* #   Track Data Corp.                            83,172      153,868  
  *   Transcat, Inc.                              58,700      414,422  
  *   Trans-Lux Corp.                              9,271       24,568  


                                        

                                       25

--------------------------------------------------------------------------------

                                        

  *   Trident Microsystems, Inc.            5,100          16,065  
  *   Triquint Semiconductor, Inc.      3,656,044      22,996,517  
      TSR, Inc.                            32,194          86,924  
  *   TTM Technologies, Inc.               74,808         896,200  
  *   Tumbleweed Communications Corp.      36,400          92,820  
  *   Ulticom, Inc.                       208,419       1,469,354  
* #   Ultra Clean Holdings, Inc.           15,971         116,269  
      United Online, Inc.                 186,533       1,964,197  
* #   UTStarcom, Inc.                     878,326       2,863,343  
  *   Vicon Industries, Inc.              103,164         559,665  
  *   Vignette Corp.                      901,990      12,294,124  
  *   Virage Logic Corp.                   59,785         394,581  
  *   Vishay Intertechnology, Inc.      2,960,320      26,317,245  
* #   Vitesse Semiconductor, Inc.           6,500           5,525  
* #   Vyyo, Inc.                           29,614           5,034  
  *   Website Pros, Inc.                  228,094       1,377,688  
  *   Westell Technologies, Inc.          297,223         268,065  
  *   White Electronics Designs Corp.     752,684       3,695,678  
  *   Winland Electronics, Inc.            37,800          52,164  
  *   Wireless Telecom Group, Inc.        255,888         294,271  
* #   WPCS International, Inc.             41,151         237,441  
  *   Zhone Technologies, Inc.            619,202         192,820  
  *   ZILOG, Inc.                           7,584          26,392  
  *   Zones, Inc.                         163,038       1,359,737  
  *   Zoran Corp.                       1,358,076      12,086,876  
  *   Zygo Corp.                          381,201       3,994,986  
Total Information Technology                        1,359,076,219  
                                                                   
Materials — (5.1%)                                                 
      A. Schulman, Inc.                 1,000,791      24,239,158  
      A.M. Castle & Co.                    87,289       1,752,763  
  *   American Pacific Corp.              135,848       2,339,303  
* #   Atlantis Plastics, Inc.              46,200           4,158  
  *   Buckeye Technologies, Inc.        1,259,277      11,597,941  
  *   BWAY Holding Co.                     35,383         449,364  
      Cabot Corp.                          46,234       1,279,295  
  #   Calgon Carbon Corp.                 194,490       4,148,472  
  *   Caraustar Industries, Inc.          903,028       1,787,995  
      Chemtura Corp.                    2,086,505      13,750,068  
      Chesapeake Corp.                    659,906         831,482  
* #   Coeur d’Alene Mines Corp.           603,455       1,080,184  
  *   Continental Materials Corp.          10,200         210,630  
  *   Core Molding Technologies, Inc.      23,193         166,990  
  *   Detrex Corp.                         12,700         100,330  
      Empire Resources, Inc.                3,992          13,972  
      Ferro Corp.                         759,218      16,733,165  
      Friedman Industries, Inc.           144,027       1,353,854  
  #   Georgia Gulf Corp.                  579,017       1,951,287  
  #   Gibraltar Industries, Inc.          924,090      19,877,176  
      Glatfelter Co.                    1,435,000      21,051,450  
  *   Graphic Packaging Holding Co.     4,909,047      13,990,784  
* #   Headwaters, Inc.                  1,259,741      19,387,414  
  *   Impreso, Inc.                         6,400          17,920  
      Kaiser Aluminum Corp.               147,049       7,949,469  
  #   Louisiana-Pacific Corp.           2,838,829      27,650,194  


                                        

                                       26

--------------------------------------------------------------------------------

                                        

  *   Material Sciences Corp.                       428,967     3,260,149  
* #   Maxxam, Inc.                                  103,300     1,962,700  
      Minerals Technologies, Inc.                   376,299    24,715,318  
  *   Mod-Pac Corp.                                  46,051       189,730  
  #   Myers Industries, Inc.                        309,588     4,074,178  
      Neenah Paper, Inc.                            162,255     3,150,992  
  #   NL Industries, Inc.                           344,490     3,624,035  
      NN, Inc.                                      504,296     8,280,540  
  *   Northern Technologies International Corp.       5,316        70,065  
* #   Northwest Pipe Co.                            232,142    13,447,986  
  *   OM Group, Inc.                                200,851     7,451,572  
      Penford Corp.                                 104,811     1,740,911  
  *   Peoplesupport, Inc.                           242,801     2,950,032  
  *   PolyOne Corp.                               3,344,238    27,456,194  
      Quaker Chemical Corp.                           8,673       256,721  
  *   Ready Mix, Inc.                                10,563        48,590  
  *   Rock of Ages Corp.                            114,193       226,102  
      Rock-Tenn Co. Class A                         837,402    30,715,905  
  *   Rosetta Resources, Inc.                       666,620    15,498,915  
      Schweitzer-Maudoit International, Inc.        502,000     9,517,920  
      Sensient Technologies Corp.                   811,503    23,704,003  
      Spartech Corp.                              1,120,400    11,797,812  
      Stepan Co.                                     49,744     2,926,440  
  #   Temple-Inland, Inc.                            83,500     1,395,285  
      Terra Industries, Inc.                        733,769    36,791,178  
  #   Tronox, Inc. Class A                          569,400       341,640  
      Tronox, Inc. Class B                          162,699        79,723  
  *   U.S. Concrete, Inc.                         1,201,854     5,023,750  
* #   U.S. Energy Corp.                              25,300        78,683  
* #   U.S. Gold Corp.                               920,105     1,159,332  
      Valspar Corp.                                  82,130     1,943,196  
      Vulcan International Corp.                     11,100       634,365  
      Wausau Paper Corp.                          1,534,199    13,209,453  
  *   Webco Industries, Inc.                          9,290     1,124,090  
      Wellman, Inc.                                 658,869         2,635  
  #   Westlake Chemical Corp.                     1,165,731    22,125,574  
  *   Williams Industries, Inc.                       3,400         5,474  
Total Materials                                               474,696,006  
                                                                           
Other — (0.0%)                                                             
* †   Big 4 Ranch, Inc.                              73,300             —  
* †   DMRC Corp.                                    101,390     1,181,710  
* †   ePresence, Inc. Escrow Shares                 312,600             —  
* †   Noel Group, Inc.                               95,400           620  
* †   Petrocorp, Inc. Escrow Shares                 102,600         6,156  
* †   Tripos Escrow Shares                              200            18  
Total Other                                                     1,188,504  
                                                                           
Telecommunication Services — (0.2%)                                        
      Arbinet-thexchange, Inc.                      353,526     1,375,216  
  *   Cincinnati Bell, Inc.                         121,200       472,680  
      D&E Communications, Inc.                      452,877     4,234,400  
  *   General Communications, Inc. Class A           53,835       545,887  
  *   GoAmerica, Inc.                                   559         3,695  
      IDT Corp.                                     663,448     1,028,344  


                                        

                                       27

--------------------------------------------------------------------------------

                                        

  #   IDT Corp. Class B                       2,150,600       3,333,430  
* #   LCC International, Inc. Class A           583,015         343,979  
  *   Metro One Telecommunications, Inc.         88,279          28,249  
* #   Nextwave Wireless, Inc.                    98,787          95,823  
  *   Point.360                                  73,147         101,674  
      SureWest Communications                   458,335       5,449,603  
  *   Xeta Corp.                                117,579         383,308  
Total Telecommunication Services                             17,396,288  
                                                                         
Utilities — (0.5%)                                                       
      Black Hills Corp.                               3             101  
  #   Connecticut Water Services, Inc.          198,890       5,312,352  
      Delta Natural Gas Co., Inc.                24,866         679,090  
  #   Empire District Electric Co.                8,312         175,383  
      Energy West, Inc.                           2,551          25,382  
      Florida Public Utilities Co.                  590           7,700  
  *   Maine & Maritimes Corp.                    34,443       1,527,547  
  #   New Jersey Resources Corp.                319,386      11,555,385  
      South Jersey Industries, Inc.             739,882      26,391,591  
      Southwest Gas Corp.                         1,300          39,455  
      Unitil Corp.                               69,903       1,858,721  
Total Utilities                                              47,572,707  
                                                                         
TOTAL COMMON STOCKS                                       7,668,128,703  
                                                                         
RIGHTS/WARRANTS — (0.0%)                                                 
  *   PGT, Inc. Rights 09/04/08                  19,850          17,865  
* †   CSF Holding, Inc. Litigation Rights        40,500               —  
  *   Federal-Mogul Corp. Warrants 12/27/14      62,197          38,562  
TOTAL RIGHTS/WARRANTS                                            56,427  


 

                                                                 Face                        
                                                                Amount                        
                                                                 (000)                        
TEMPORARY CASH INVESTMENTS — (0.2%)                                                           
       Repurchase Agreement, PNC Capital Markets, Inc.                                       
       1.94%, 09/02/08 (Collateralized by $28,745,000                                        
       FHLMC 5.875%, 05/15/16, valued at $16,739,607) to                                     
       be repurchased at $16,485,553                         $      16,482        16,482,000  
                                                                                              
SECURITIES LENDING COLLATERAL — (16.5%)                                                       
 § @   DFA Short Term Investment Fund LP                         1,335,390     1,335,390,198  
                                                                                              
   @   Repurchase Agreement, Deutsche Bank Securities                                        
       2.14%, 09/02/08 (Collateralized by $218,433,959                                       
       FNMA, rates ranging from 5.000% to 7.000%,                                            
       maturities ranging from 08/01/23 to 07/01/38,                                         
       valued at $187,534,630) to be repurchased at                                          
       $182,115,749                                                182,072       182,072,456  
                                                                                              
TOTAL SECURITIES LENDING COLLATERAL                                            1,517,462,654  
                                                                                              
TOTAL INVESTMENTS - (100.0%)                                                                 
(Cost $10,454,813,907)##                                                      $9,202,129,784  


                                        

                                       28

--------------------------------------------------------------------------------

 

                           THE U.S. SMALL CAP SERIES

                            SCHEDULE OF INVESTMENTS

                                August 31, 2008

                                  (Unaudited)

 

                                                     Shares     Value †    
                                                                           
COMMON STOCKS — (78.4%)                                                    
Consumer Discretionary — (11.9%)                                           
  *   1-800-FLOWERS.COM, Inc.                         77,320   $  474,745  
  *   4Kids Entertainment, Inc.                       39,000      354,120  
* #   99 Cents Only Stores                           152,365    1,304,244  
  *   A.C. Moore Arts & Crafts, Inc.                  62,900      474,266  
      Aaron Rents, Inc.                              126,600    3,615,696  
      Aaron Rents, Inc. Class A                       10,550      254,413  
  *   AbitibiBowater Canada, Inc.                     80,238      527,966  
  *   Acme Communications, Inc.                       49,602       56,546  
      Acme United Corp.                               10,400      143,000  
* #   Aeropostale, Inc.                              120,475    4,199,758  
  *   AFC Enterprises, Inc.                           54,097      490,660  
      Ah Belo Corp.                                   38,160      185,076  
      Aldila, Inc.                                    18,033       67,984  
  *   Alloy, Inc.                                     44,605      320,264  
      Ambassadors Group, Inc.                         55,767      943,578  
* #   Ambassadors International, Inc.                 29,510       64,922  
      AMCON Distributing Co.                             669       20,739  
* #   AMDL, Inc.                                      30,239       87,693  
      American Axle & Manufacturing Holdings, Inc.   151,477      736,178  
  *   American Biltrite, Inc.                          3,955       17,204  
      American Greetings Corp. Class A               152,700    2,455,416  
* #   America’s Car-Mart, Inc.                        30,685      580,253  
  #   Ameristar Casinos, Inc.                        152,722    2,526,022  
  *   AnnTaylor Stores Corp.                         121,785    2,956,940  
      Arbitron, Inc.                                  86,399    4,143,696  
  #   Arctic Cat, Inc.                                34,954      361,075  
      Ark Restaurants Corp.                           12,435      285,881  
  #   ArvinMeritor, Inc.                             203,700    3,057,537  
      Asbury Automotive Group, Inc.                  121,200    1,471,368  
  *   Ashworth, Inc.                                  39,618      116,477  
  *   ATC Technology Corp.                            62,578    1,515,639  
  *   Audiovox Corp. Class A                          49,850      486,536  
* #   Avatar Holdings, Inc.                           24,027      763,818  
  *   Bakers Footwear Group, Inc.                     19,612       61,582  
  *   Ballantyne of Omaha, Inc.                       45,721      197,058  
  *   Bally Technologies, Inc.                        49,876    1,707,255  
  #   Barnes & Noble, Inc.                           118,610    2,933,225  
  *   Barry (R.G.) Corp.                              31,470      235,710  
      Bassett Furniture Industries, Inc.              24,004      246,761  
      Beasley Broadcast Group, Inc.                   22,457       68,269  
      Beazer Homes USA, Inc.                          16,519      114,972  
      Bebe Stores, Inc.                              177,735    1,724,029  
      Belo Corp. Class A                             182,300    1,336,259  


                                        

                                       1

--------------------------------------------------------------------------------

                                        

  *   Benihana, Inc.                            21,047     147,329  
  *   Benihana, Inc. Class A                    25,973     185,447  
  #   Big 5 Sporting Goods Corp.                38,600     346,628  
* #   Big Lots, Inc.                             2,774      82,027  
  *   Birks & Mayors, Inc.                       1,765       4,236  
* #   BJ’s Restaurants, Inc.                    74,592     868,251  
  #   Blockbuster, Inc. Class A                259,934     623,842  
  *   Blockbuster, Inc. Class B                217,300     402,005  
* #   Blue Nile, Inc.                           40,600   1,690,178  
  *   Bluegreen Corp.                           83,365     953,696  
      Blyth, Inc.                              108,900   1,721,709  
      Bob Evans Farms, Inc.                    101,538   2,850,172  
  #   Bon-Ton Stores, Inc.                      43,714     174,856  
      Books-A-Million, Inc.                     50,305     339,559  
  #   Borders Group, Inc.                       31,476     220,332  
      Bowl America, Inc. Class A                 5,828      78,678  
      Brinker International, Inc.              133,271   2,521,487  
  *   Broadview Institute, Inc.                    200         330  
  #   Brookfield Homes Corp.                    42,900     550,407  
      Brown Shoe Company, Inc.                 123,375   1,875,300  
  #   Brunswick Corp.                          156,900   2,163,651  
  *   Buca, Inc.                                67,647      29,771  
      Buckle, Inc.                              87,100   4,529,200  
* #   Buffalo Wild Wings, Inc.                  36,884   1,330,775  
  *   Build-A-Bear-Workshop, Inc.               35,000     259,700  
  #   Building Materials Holding Corp.          70,842      85,719  
* #   Cabela’s, Inc.                           180,716   2,213,771  
  *   Cache, Inc.                               48,855     572,092  
  *   California Coastal Communities, Inc.      35,562      93,884  
  *   California Pizza Kitchen, Inc.            83,103   1,195,021  
      Callaway Golf Co.                        209,000   2,838,220  
      Canterbury Park Holding Corp.             13,883     135,359  
* #   Capella Education Co.                     33,273   1,654,001  
* #   Career Education Corp.                   140,233   2,629,369  
      Carmike Cinemas, Inc.                     38,328     201,989  
  *   Carriage Services, Inc.                   56,700     246,645  
  *   Carrols Restaurant Group, Inc.             8,102      46,181  
  *   Carter’s, Inc.                           168,780   3,107,240  
* #   Casual Male Retail Group, Inc.           114,425     437,103  
  *   Catalina Lighting, Inc.                    1,760       2,200  
      Cato Corp. Class A                        88,250   1,554,082  
  *   Cavalier Homes, Inc.                      56,249     132,185  
  *   Cavco Industries, Inc.                    19,066     667,501  
      CBRL Group, Inc.                          86,981   2,247,589  
* #   CEC Entertainment, Inc.                   97,077   3,325,858  
* #   Champion Enterprises, Inc.               219,000   1,070,910  
* †   Championship Auto Racing Teams, Inc.       1,697           —  
* #   Charles and Colvard, Ltd.                 54,978      34,636  
  *   Charlotte Russe Holding, Inc.             76,600     904,646  
  *   Charming Shoppes, Inc.                   293,386   1,584,284  
* #   Charter Communications, Inc.           1,293,154   1,357,812  
* #   Cheesecake Factory, Inc.                 204,833   3,148,283  
  #   Cherokee, Inc.                            31,199     687,314  
* #   Chicos FAS, Inc.                          14,800      84,952  
      Choice Hotels International, Inc.        111,800   3,017,482  


                                        

                                       2

--------------------------------------------------------------------------------

                                        

  #   Christopher & Banks Corp.                   97,513     938,075  
  *   Chromcraft Revington, Inc.                   5,600      16,240  
      Churchill Downs, Inc.                       41,093   1,825,351  
  #   Cinemark Holdings, Inc.                    101,747   1,494,663  
  #   Citadel Broadcasting Co.                   354,690     354,690  
* #   Citi Trends, Inc.                           41,002     845,461  
      CKE Restaurants, Inc.                      110,400   1,410,912  
      Coachmen Industries, Inc.                   39,900      72,219  
      Coast Distribution System, Inc.              9,251      29,603  
      Cobra Electronics Corp.                      7,978      23,216  
  *   Coinstar, Inc.                              79,516   2,617,667  
* #   Coldwater Creek, Inc.                      195,930   1,426,370  
      Collectors Universe, Inc.                   26,472     206,482  
  #   Columbia Sportswear Co.                     70,231   2,836,630  
* #   Comstock Homebuilding Companies, Inc.        9,304       1,225  
  *   Concord Camera Corp.                        19,474      57,449  
  *   Congoleum Corp. Class A                      3,200          29  
* #   Conn’s, Inc.                                69,984   1,338,094  
      Cooper Tire & Rubber Co.                   175,300   1,675,868  
  *   Corinthian Colleges, Inc.                  256,698   3,406,382  
* #   Cosi, Inc.                                  56,401     140,438  
* #   Cost Plus, Inc.                             48,773      61,942  
      Courier Corp.                               40,626     869,407  
* #   Cox Radio, Inc.                            102,100   1,138,415  
  #   CPI Corp.                                   19,148     257,349  
      Craftmade International, Inc.               15,198      63,832  
* #   Crown Media Holdings, Inc.                 220,135   1,107,279  
      CSS Industries, Inc.                        29,800     794,170  
  *   Culp, Inc.                                  34,401     253,879  
* #   Cumulus Media, Inc. Class A                139,080     652,285  
  *   Cybex International, Inc.                   57,125     191,940  
  *   Cycle Country Accessories Corp.             15,600      15,366  
  *   Daily Journal Corp.                            200       8,102  
  *   Deckers Outdoor Corp.                       37,600   4,274,744  
      Decorator Industries, Inc.                   2,862       6,869  
* #   DEI Holdings, Inc.                           7,999      11,439  
  *   dELiA*s, Inc.                               46,257     115,180  
  *   Delta Apparel, Inc.                         14,180      98,551  
  *   Design Within Reach, Inc.                   44,748     184,809  
* #   DG Fastchannel, Inc.                        47,812   1,125,016  
  *   Diedrich Coffee, Inc.                        5,225       9,797  
  #   Dillards, Inc. Class A                     133,678   1,707,068  
  #   Dineequity, Inc.                            54,414   1,080,662  
  *   Dixie Group, Inc.                           34,700     265,455  
  *   Domino’s Pizza, Inc.                       143,500   1,922,900  
  *   Dorman Products, Inc.                       35,700     456,603  
      Dover Downs Gaming & Entertainment, Inc.    46,915     375,789  
      Dover Motorsports, Inc.                     58,912     293,971  
* #   Drew Industries, Inc.                       62,196     997,002  
  *   drugstore.com, Inc.                        262,879     625,652  
      DRYCLEAN USA, Inc.                             300         267  
* #   DSW, Inc.                                   25,900     376,327  
  *   Duckwall-ALCO Stores, Inc.                   4,953      65,627  
  #   E.W. Scripps Co.                            12,200      88,694  
  *   Eddie Bauer Holdings, Inc.                   9,800      61,152  


                                        

                                       3

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      Educational Development Corp.            6,857      36,274  
  *   Einstein Noah Restaurant Group, Inc.    26,046     307,082  
  *   ELXSI Corp.                              1,800       3,510  
  *   EMAK Worldwide, Inc.                    10,146       9,233  
  *   Emerson Radio Corp.                     84,322      92,754  
  #   Emmis Communications Corp. Class A      94,399     206,734  
* #   Empire Resorts, Inc.                    40,593     158,313  
* #   Enova Systems, Inc.                     17,062      44,361  
  #   Entercom Communications Corp.           93,000     568,230  
  *   Entravision Communications Corp.       181,517     580,854  
* #   Escala Group, Inc.                      80,070     219,392  
      Escalade, Inc.                          18,296      53,973  
  #   Ethan Allen Interiors, Inc.             97,234   2,638,931  
  *   Famous Dave’s of America, Inc.          30,683     285,352  
      Federal Screw Works                      1,562       7,732  
* †   Federal-Mogul Corp.                     57,900           —  
      Finish Line, Inc. Class A              115,530   1,396,758  
  *   Finlay Enterprises, Inc.                23,300       6,990  
      Fisher Communications, Inc.             14,040     488,171  
  *   Flanigan’s Enterprises, Inc.             5,680      38,056  
* #   Fleetwood Enterprises, Inc.            198,900     425,646  
      Flexsteel Industries, Inc.              12,333     136,896  
* #   Foamex International, Inc.               8,939       3,307  
      Foot Locker, Inc.                       98,659   1,607,155  
      Footstar, Inc.                          22,800      81,396  
* #   Fountain Powerboat Industries, Inc.      9,475       8,433  
  *   Franklin Covey Co.                      58,896     527,119  
  *   Franklin Electronic Publishers, Inc.     8,700      15,225  
  *   Frederick’s of Hollywood Group          26,486      24,500  
  #   Fred’s, Inc.                            95,150   1,334,003  
      Frisch’s Restaurants, Inc.               7,500     174,375  
  *   Fuel Systems Solutions, Inc.            45,301   2,347,951  
  *   Full House Resorts, Inc.                24,850      40,381  
      Furniture Brands International, Inc.   131,600   1,177,820  
* #   Gaiam, Inc.                              4,800      61,104  
  *   GameTech International, Inc.            41,660     162,057  
  *   Gaming Partners International Corp.     24,086     124,525  
* #   Gander Mountain Co.                     56,647     199,397  
* #   Gaylord Entertainment Co.               46,973   1,627,614  
* #   Genesco, Inc.                           71,200   2,606,632  
* #   Gentek, Inc.                            30,283     877,601  
  *   G-III Apparel Group, Ltd.               50,439     933,626  
  *   Gottschalks, Inc.                       42,902      63,066  
      Gray Television, Inc.                  122,460     301,252  
      Gray Television, Inc. Class A            6,500      22,750  
* #   Great Wolf Resorts, Inc.                47,459     248,211  
  #   Group 1 Automotive, Inc.                64,900   1,373,284  
* #   GSI Commerce, Inc.                     132,322   2,127,738  
  *   Gymboree Corp.                          87,800   3,446,150  
  *   Hampshire Group, Ltd.                    8,000      68,000  
  #   Handleman Co.                           56,645     109,325  
  *   Harris Interactive, Inc.               182,695     308,755  
  #   Harte-Hanks, Inc.                      151,183   1,867,110  
  *   Hartmarx Corp.                          95,200     236,096  
  *   Hastings Entertainment, Inc.            23,020     183,009  


                                        

                                       4

--------------------------------------------------------------------------------

                                        

      Haverty Furniture Co., Inc.               43,700     482,448  
      Haverty Furniture Co., Inc. Class A          400       4,466  
  *   Hawk Corp.                                21,800     523,200  
  *   Hayes Lemmerz International, Inc.        274,901     695,500  
  #   Hearst-Argyle Television, Inc.            52,160   1,032,768  
  *   Heelys, Inc.                               6,600      33,462  
  *   Helen of Troy, Ltd.                       50,760   1,220,778  
* #   Hibbett Sporting Goods, Inc.              92,555   2,212,064  
  *   Hollywood Media Corp.                    113,045     309,743  
* #   Home Solutions of America, Inc.          116,900      74,816  
      Hooker Furniture Corp.                    24,488     412,378  
  *   Hot Topic, Inc.                           81,045     503,289  
  *   Hovnanian Enterprises, Inc. Class A      156,220   1,115,411  
* #   Iconix Brand Group, Inc.                 186,442   2,410,695  
      ILX Resorts, Inc.                          7,063      15,185  
  *   Image Entertainment, Inc.                 69,502      81,317  
* #   Infosonics Corp.                          41,850      25,110  
  *   Insignia Systems, Inc.                    16,051      34,028  
      Interface, Inc. Class A                  155,306   2,045,380  
  #   International Speedway Corp. Class A      18,901     749,803  
  *   International Textile Group, Inc.             14           4  
  *   Interstate Hotels & Resorts, Inc.         81,340     213,924  
* #   iRobot Corp.                              63,139     883,315  
* #   Isle of Capri Casinos, Inc.              102,724     735,504  
      J. Alexander’s Corp.                      16,782     102,538  
  *   Jack in the Box, Inc.                    119,131   2,826,979  
      Jackson Hewitt Tax Service, Inc.          99,300   1,704,981  
  *   Jaclyn, Inc.                               2,235      13,242  
  *   Jakks Pacific, Inc.                       73,275   1,828,211  
  *   Jarden Corp.                             123,164   3,161,620  
  *   Jennifer Convertibles, Inc.               17,391      21,739  
  *   Jo-Ann Stores, Inc.                       69,106   1,725,577  
      Johnson Outdoors, Inc.                    12,048     185,780  
      Jones Apparel Group, Inc.                151,460   3,007,996  
* #   Jos. A. Bank Clothiers, Inc.              52,650   1,368,373  
  #   Journal Communications, Inc. Class A      62,900     321,419  
  #   Journal Register Co.                     125,500       1,318  
  #   KB Home                                  126,300   2,627,040  
      Kenneth Cole Productions, Inc. Class A    41,950     673,717  
      Kimball International, Inc. Class B       85,110     896,208  
  *   Kirkland’s, Inc.                          47,014     107,192  
  *   Knology, Inc.                             89,900     907,990  
  *   Kona Grill, Inc.                          12,744      88,571  
      Koss Corp.                                 9,816     142,626  
* #   Krispy Kreme Doughnuts, Inc.             124,100     524,943  
      KSW, Inc.                                 19,682      97,229  
      K-Swiss, Inc. Class A                     71,400   1,224,510  
      LaCrosse Footwear, Inc.                   11,922     196,713  
  *   Lakeland Industries, Inc.                 13,418     171,616  
* #   Lakes Entertainment, Inc.                 64,706     424,471  
  #   Landry’s Restaurants, Inc.                60,800   1,171,008  
  *   Lazare Kaplan International, Inc.          9,600      77,280  
  #   La-Z-Boy, Inc.                           142,730   1,080,466  
* #   Leapfrog Enterprises, Inc.                74,236     631,006  
  *   Lear Corp.                                84,700   1,063,832  


                                        

                                       5

--------------------------------------------------------------------------------

                                        

  #   Lee Enterprises, Inc.                             114,200     428,250  
  #   Lennar Corp. Class A                              116,500   1,531,975  
      Lennar Corp. Class B                                4,229      47,703  
  *   Lenox Group, Inc.                                  38,403       6,144  
  #   Libbey, Inc.                                       43,100     400,830  
      Liberty Homes, Inc. Class A                           200         635  
  *   Liberty Media Holding Corp. Capital Class A       147,724   2,400,515  
  *   Liberty Media Holding Corp. Capital Class B         1,593      26,492  
* #   LIFE TIME FITNESS, Inc.                            93,900   3,319,365  
  #   Lifetime Brands, Inc.                              37,398     362,387  
  *   Lin TV Corp.                                       81,500     501,225  
  *   Lincoln Educational Services                       49,165     738,950  
  #   Lithia Motors, Inc. Class A                        41,997     203,685  
* #   Live Nation, Inc.                                 189,526   3,041,892  
      Liz Claiborne, Inc.                               124,003   2,010,089  
  *   LKQ Corp.                                          66,050   1,237,116  
* #   Lodgenet Entertainment Corp.                       65,134     259,885  
  *   Lodgian, Inc.                                      72,006     609,171  
  *   LOUD Technologies, Inc.                             2,380       8,592  
  *   Luby’s, Inc.                                       78,300     580,986  
  *   Lumber Liquidators, Inc.                           14,361     185,401  
  #   M/I Homes, Inc.                                    31,200     558,792  
  *   Mace Security International, Inc.                  45,800      72,822  
* #   Magna Entertainment Corp.                             860       6,364  
  *   Maidenform Brands, Inc.                            67,100   1,013,210  
  #   Marine Products Corp.                             106,073     862,373  
* #   MarineMax, Inc.                                    52,275     414,018  
* #   Martha Stewart Living Omnimedia, Inc.              81,960     665,515  
      Matthews International Corp. Class A               95,367   4,793,145  
  *   McCormick & Schmick’s Seafood Restaurants, Inc.     7,812      76,636  
      McRae Industries, Inc. Class A                      2,500      45,000  
  #   MDC Holdings, Inc.                                 71,733   2,973,333  
  *   Meade Instruments Corp.                            49,732      24,866  
  #   Media General, Inc. Class A                        65,700     808,110  
* #   Mediacom Communications Corp.                     234,136   1,966,742  
  *   Meritage Homes Corp.                               52,900   1,238,918  
  *   Midas, Inc.                                        44,590     640,758  
      Modine Manufacturing Co.                           91,395   1,445,869  
      Monaco Coach Corp.                                 81,750     195,382  
* #   Monarch Casino & Resort, Inc.                      54,679     732,152  
      Monro Muffler Brake, Inc.                          61,434   1,273,527  
* #   Morgans Hotel Group                                66,800   1,142,280  
  *   Morgan’s Foods, Inc.                                  800       4,000  
  *   Morton’s Restaurant Group, Inc.                    20,620     148,670  
  *   Mothers Work, Inc.                                 15,354     233,534  
  *   Motorcar Parts of America, Inc.                     2,400      16,896  
      Movado Group, Inc.                                 56,300   1,305,597  
  *   MTR Gaming Group, Inc.                             82,351     336,816  
* #   Multimedia Games, Inc.                             83,281     421,402  
  *   Nathan’s Famous, Inc.                              18,305     292,148  
  #   National CineMedia, Inc.                           62,912     703,985  
  *   National Lampoon, Inc.                             15,000      20,550  
      National Presto Industries, Inc.                   13,019   1,006,629  
  *   Nature Vision, Inc.                                   500         455  
  #   Nautilus Group, Inc.                               96,080     511,146  


                                        

                                       6

--------------------------------------------------------------------------------

                                        

  *   Navarre Corp.                                        78,760     127,591  
* #   Netflix, Inc.                                       204,982   6,321,645  
  *   Nevada Gold & Casinos, Inc.                          35,850      43,020  
      New Frontier Media, Inc.                             72,664     281,210  
  *   New Motion, Inc.                                     32,788     131,152  
  *   New York & Co., Inc.                                102,000   1,203,600  
  *   Nitches, Inc.                                         2,592       3,007  
  *   Nobel Learning Communities, Inc.                     16,425     254,259  
      Nobility Homes, Inc.                                 13,765     200,969  
      Noble International, Ltd.                            49,485     296,910  
  *   NTN Communications, Inc.                            127,793      34,504  
  #   Nutri/System, Inc.                                   80,774   1,604,979  
      OfficeMax, Inc.                                      61,500     752,760  
  *   Orange 21, Inc.                                       1,559       5,456  
  #   Orleans Homebuilders, Inc.                           58,200     285,180  
      O’Charleys, Inc.                                     66,446     665,124  
  *   Outdoor Channel Holdings, Inc.                       95,100     759,849  
* #   Overstock.com, Inc.                                  68,760   1,453,586  
      Oxford Industries, Inc.                              49,400   1,128,790  
  *   P & F Industries, Inc. Class A                        3,000       7,830  
* #   P.F. Chang’s China Bistro, Inc.                      69,036   1,793,555  
  *   Pacific Sunwear of California, Inc.                 193,820   1,226,881  
* #   Palm Harbor Homes, Inc.                              68,721     618,489  
* #   Panera Bread Co.                                     59,025   3,172,003  
  *   Papa John’s International, Inc.                      90,962   2,539,659  
  *   PC Mall, Inc.                                        35,617     340,855  
  #   Penske Automotive Group, Inc.                       171,631   2,274,111  
* #   Perfumania Holdings, Inc.                             2,175      51,613  
  *   Perry Ellis International, Inc.                      38,400     655,104  
* #   PetMed Express, Inc.                                 68,565     976,366  
      Phillips-Van Heusen Corp.                            61,000   2,321,660  
  *   Phoenix Footwear Group, Inc.                         18,100      19,186  
  #   Pier 1 Imports, Inc.                                254,958   1,126,914  
* #   Pinnacle Entertainment, Inc.                        126,300   1,400,667  
  *   Playboy Enterprises, Inc. Class A                     5,400      24,813  
  *   Playboy Enterprises, Inc. Class B                    82,400     351,024  
* #   PokerTek, Inc.                                       11,600      46,864  
  #   Polaris Industries, Inc.                             79,500   3,584,655  
  *   Pomeroy IT Solutions, Inc.                           37,837     196,752  
  #   Pool Corp.                                           74,611   1,810,063  
* #   Premier Exhibitions, Inc.                            74,041     262,105  
  #   Pre-Paid Legal Services, Inc.                        41,550   1,854,792  
  *   PreVu, Inc.                                         111,210         445  
  #   PRIMEDIA, Inc.                                      132,856     385,282  
* #   Princeton Review, Inc.                              106,256     824,547  
  *   Progressive Gaming International Corp.              109,830      83,471  
  *   Proliance International, Inc.                        46,849      55,282  
  *   QEP Co., Inc.                                        10,314      61,781  
  *   Quaker Fabric Corp.                                  41,650         187  
* #   Quantum Fuel Systems Technologies Worldwide, Inc.   142,596     250,969  
  *   Quiksilver, Inc.                                    333,600   2,572,056  
* #   R.H. Donnelley Corp.                                  6,000      22,500  
  *   Radio One, Inc. Class D                             259,749     246,762  
  #   RadioShack Corp.                                    209,894   3,990,085  
  *   Rainmaker Systems, Inc.                              51,489     154,467  


                                        

                                       7

--------------------------------------------------------------------------------

                                        

  *   RC2 Corp.                                     62,591   1,575,415  
      RCN Corp.                                    114,504   1,587,025  
  *   Reading International, Inc. Class A           24,549     185,836  
  *   Reading International, Inc. Class B            1,060       9,540  
  *   Red Lion Hotels Corp.                         58,900     502,417  
* #   Red Robin Gourmet Burgers, Inc.               45,949   1,226,838  
* #   RedEnvelope, Inc.                             27,448         329  
  *   Regent Communications, Inc.                  107,377      83,754  
      Regis Corp.                                  139,100   3,819,686  
  *   Rent-A-Center, Inc.                          126,745   2,872,042  
  *   Rentrak Corp.                                 31,013     469,847  
  *   Retail Ventures, Inc.                        141,489     662,169  
  *   Rex Stores Corp.                              22,800     294,576  
* #   Rick’s Cabaret International, Inc.            23,800     332,486  
  *   Riviera Holdings Corp.                        10,000     115,600  
  *   Rockford Corp.                                25,270      26,281  
  *   Rocky Brands, Inc.                            16,191      84,355  
  *   Rubio’s Restaurants, Inc.                     31,595     186,095  
  #   Ruby Tuesday, Inc.                           105,400     736,746  
      Russ Berrie & Co., Inc.                       52,904     401,541  
* #   Ruth’s Hospitality Group, Inc.                43,700     198,835  
  #   Ryland Group, Inc.                            99,236   2,300,290  
  *   S&K Famous Brands, Inc.                        2,100       7,612  
  *   Saga Communications, Inc. Class A             53,625     337,301  
      Salem Communications Corp.                    57,369     109,001  
* #   Sally Beauty Holdings, Inc.                  151,228   1,291,487  
      Sauer-Danfoss, Inc.                          133,499   4,374,762  
  *   Schieb (Earl), Inc.                            2,200       5,632  
      Scholastic Corp.                             119,733   3,125,031  
  #   Sealy Corp.                                   82,205     549,951  
      Shiloh Industries, Inc.                       51,278     436,889  
  *   Shoe Carnival, Inc.                           31,379     512,105  
* #   Shuffle Master, Inc.                          92,674     465,223  
  *   Silverleaf Resorts, Inc.                      16,000      30,240  
      Sinclair Broadcast Group, Inc. Class A       144,300   1,023,087  
* #   Six Flags, Inc.                              190,705     190,705  
  *   Skechers U.S.A., Inc. Class A                 90,700   1,734,184  
      Skyline Corp.                                 25,300     578,611  
* #   Smith & Wesson Holding Corp.                 115,471     654,721  
      Sonesta International Hotels Corp. Class A     5,614     134,736  
      Sonic Automotive, Inc.                        87,400     940,424  
* #   Sonic Corp.                                  249,402   3,613,835  
  #   Sotheby’s Class A                            121,200   3,265,128  
* #   Source Interlink Companies, Inc.             137,152     171,440  
  *   Spanish Broadcasting System, Inc.            109,363      44,839  
  *   SPAR Group, Inc.                               2,083       2,083  
      Spartan Motors, Inc.                          90,525     428,183  
      Speedway Motorsports, Inc.                    86,930   1,923,761  
  *   Sport Chalet, Inc. Class A                     4,625      15,956  
  *   Sport Chalet, Inc. Class B                     3,666      11,548  
  #   Sport Supply Group, Inc.                      29,400     358,680  
  *   Sport-Haley, Inc.                              2,900       5,959  
      Stage Stores, Inc.                           121,280   1,930,778  
  *   Stamps.com, Inc.                              60,523     830,981  
      Standard Motor Products, Inc.                 52,400     362,084  


                                        

                                       8

--------------------------------------------------------------------------------

                                        

  #   Standard Pacific Corp.                     137,600     440,320  
      Stanley Furniture, Inc.                     10,388      85,701  
      Star Buffet, Inc.                            2,700      11,286  
      Stein Mart, Inc.                           104,907     414,383  
  *   Steinway Musical Instruments, Inc.          19,700     569,527  
  *   Steven Madden, Ltd.                         55,999   1,408,375  
  #   Stewart Enterprises, Inc.                  259,599   2,429,847  
  *   Stoneridge, Inc.                            55,359     703,059  
      Strattec Security Corp.                     11,272     322,266  
      Sturm Ruger & Co., Inc.                     73,500     536,550  
  *   Sun-Times Media Group, Inc. Class A        208,500      62,550  
  #   Superior Industries International, Inc.     74,500   1,308,965  
      Superior Uniform Group, Inc.                 7,900      81,844  
  *   Syms Corp.                                  26,960     450,771  
* #   Syntax-Brillian Corp.                      202,787       1,825  
  #   Systemax, Inc.                             110,668   1,706,501  
  #   Talbots, Inc.                              117,471   1,605,829  
  *   Talon International, Inc.                   13,500       3,375  
      Tandy Brand Accessories, Inc.               14,300      81,510  
  *   Tandy Leather Factory, Inc.                 34,562      96,774  
* #   Tarragon Corp.                              19,154      18,388  
  *   Tarrant Apparel Group                       77,437      53,432  
  #   Tempur-Pedic International, Inc.            80,300     908,193  
  *   Tenneco Automotive, Inc.                   126,800   1,852,548  
  *   Texas Roadhouse, Inc.                      132,348   1,188,485  
* #   The Children’s Place Retail Stores, Inc.    78,883   3,309,142  
  *   The Dress Barn, Inc.                       177,904   2,892,719  
  *   The Hallwood Group, Inc.                       656      46,763  
      The Marcus Corp.                            61,100   1,049,698  
  #   The Men’s Wearhouse, Inc.                   84,700   1,854,930  
  #   The New York Times Co. Class A             143,400   1,862,766  
  #   The Pep Boys - Manny, Moe & Jack           151,100   1,329,680  
  *   The Sports Club Co., Inc.                   19,000      20,900  
* #   The Steak n Shake Co.                       79,818     620,984  
* #   The Walking Co Holdings, Inc.                7,926      33,289  
* #   thinkorswim Group, Inc.                    185,100   1,856,553  
  #   Thor Industries, Inc.                       88,778   2,040,118  
  *   Timberland Co. Class A                     172,100   2,901,606  
* #   TiVo, Inc.                                 276,926   2,342,794  
  *   Town Sports International Holdings, Inc.    33,327     349,267  
* #   Tractor Supply Co.                          72,756   3,100,861  
  *   Trans World Entertainment Corp.             72,646     209,947  
      Triarc Companies, Inc. Class A              58,090     338,665  
  #   Triarc Companies, Inc. Class B             113,613     660,092  
  *   Triple Crown Media, Inc.                    16,355       1,308  
* #   True Religion Apparel, Inc.                 66,407   1,802,950  
* #   Trump Entertainment Resorts, Inc.           76,349      93,146  
  *   TRW Automotive Holdings Corp.               51,200     982,016  
  *   Tuesday Morning Corp.                       67,248     283,114  
      Tupperware Corp.                           138,600   4,950,792  
  *   Tween Brands, Inc.                          90,400     981,744  
* #   Under Armour, Inc. Class A                  43,700   1,473,127  
  *   Unifi, Inc.                                165,634     660,880  
      Unifirst Corp.                              39,726   1,709,410  
  *   Universal Electronics, Inc.                 42,153   1,105,252  


                                        

                                       9

--------------------------------------------------------------------------------

                                        

* #   Universal Technical Institute, Inc.    79,520     1,364,563  
* #   Vail Resorts, Inc.                     69,082     3,038,917  
* #   Valassis Communications, Inc.         135,500     1,275,055  
      Value Line, Inc.                       22,145       846,160  
  *   ValueVision Media, Inc. Class A       109,845       257,037  
* #   VCG Holding Corp.                      53,110       191,196  
      Virco Manufacturing Corp.              31,531       137,475  
      Visteon Corp.                         357,700     1,151,794  
* #   Volcom, Inc.                           47,921       854,911  
  *   Voyager Learning Co.                   72,800       345,800  
  *   Warnaco Group, Inc.                   140,517     7,246,462  
  #   Warner Music Group Corp.              374,746     3,215,321  
  *   Waxman Industries, Inc.                   600         2,478  
* #   WCI Communities, Inc.                 105,700        19,026  
  *   Wells-Gardner Electronics Corp.        31,749        41,115  
* #   West Marine, Inc.                      53,968       267,142  
  *   Westwood One, Inc.                    235,700       193,274  
  *   Wet Seal, Inc. Class A                214,194     1,008,854  
      Weyco Group, Inc.                      17,436       554,290  
  *   Williams Controls, Inc.                10,571       139,220  
  *   Winmark Corp.                          17,186       316,136  
  #   Winnebago Industries, Inc.             89,434     1,015,076  
* #   WisdomTree Investments, Inc.            4,500         9,450  
  *   WMS Industries, Inc.                  150,494     5,056,598  
      Wolverine World Wide, Inc.            154,100     4,057,453  
  *   Woodbridge Holdings Corp.              21,021        14,294  
  #   World Wrestling Entertainment, Inc.    66,600     1,083,582  
* #   WorldSpace, Inc. Class A               17,300        25,258  
* #   Xanadoo Co.                               170        55,250  
  #   Xerium Technologies, Inc.              70,095       540,432  
  *   Young Broadcasting, Inc. Class A       64,811         7,129  
* #   Zale Corp.                            138,600     3,785,166  
* #   Zumiez, Inc.                           57,177       823,921  
Total Consumer Discretionary                          457,365,942  
                                                                   
Consumer Staples — (3.2%)                                          
  #   Alico, Inc.                            21,230       916,074  
  *   Alliance One International, Inc.      281,116     1,130,086  
  #   American Italian Pasta Co.             51,300       672,030  
  #   Andersons, Inc.                        52,910     2,378,834  
      Arden Group, Inc. Class A                 804       134,067  
  *   Atlantic Premium Brands, Ltd.           1,900         1,244  
      B&G Foods, Inc.                        51,853       417,935  
* #   Bare Escentuals, Inc.                 155,253     1,931,347  
  *   BJ’s Wholesale Club, Inc.              61,600     2,342,648  
  *   Boston Beer Co., Inc. Class A          28,200     1,268,154  
  *   Bridgford Foods Corp.                  12,453        74,095  
  *   Cagle’s, Inc. Class A                   4,012        19,358  
  #   Calavo Growers, Inc.                   47,281       574,464  
  #   Cal-Maine Foods, Inc.                  62,165     2,454,896  
* #   Caribou Coffee Co.                      7,923        24,799  
      Casey’s General Stores, Inc.          144,377     4,186,933  
      CCA Industries, Inc.                   19,366       123,749  
  *   Central Garden & Pet Co.               62,500       350,625  
  *   Central Garden & Pet Co. Class A      125,043       662,728  


                                        

                                       10

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* #   Chattem, Inc.                               57,484   4,030,778  
  #   Chiquita Brands International, Inc.        136,796   2,008,165  
  #   Coca-Cola Bottling Co. Consolidated         23,254     943,647  
      Coffee Holding Co, Inc.                        800       1,568  
  *   Collective Brands, Inc.                     30,200     438,504  
  *   Craft Brewers Alliance, Inc.                24,893      86,877  
  *   Cuisine Solutions, Inc.                     53,122     138,117  
  *   Darling International, Inc.                232,000   3,185,360  
      Del Monte Foods Co.                        250,765   2,136,518  
      Diamond Foods, Inc.                         39,286     988,829  
  *   Elizabeth Arden, Inc.                       79,400   1,624,524  
      Farmer Brothers Co.                         31,856     830,167  
      Flowers Foods, Inc.                        194,205   5,134,780  
  #   Gatehouse Media, Inc.                       39,600      23,760  
  *   Glacier Water Services, Inc.                 3,500     171,500  
      Golden Enterprises, Inc.                    15,400      32,186  
  #   Great Atlantic & Pacific Tea, Inc.         144,217   2,353,621  
* #   Green Mountain Coffee, Inc.                 65,866   2,403,450  
      Griffin Land & Nurseries, Inc. Class A       4,271     147,264  
  *   Hain Celestial Group, Inc.                 112,695   2,928,943  
  *   IGI Labratories, Inc.                          934       1,681  
      Imperial Sugar Co.                          24,520     344,016  
      Ingles Market, Inc. Class A                 35,759     883,605  
  *   Integrated Biopharma, Inc.                  40,600      56,840  
      Inter Parfums, Inc.                         86,622   1,229,166  
      J & J Snack Foods Corp.                     53,017   1,786,143  
  *   Katy Industries, Inc.                       11,399      19,948  
      Lancaster Colony Corp.                      90,332   3,141,747  
      Lance, Inc.                                 88,574   1,814,881  
* #   Lifeway Foods, Inc.                         56,314     637,474  
      Longs Drug Stores Corp.                     97,300   6,971,545  
  #   Mannatech, Inc.                             97,400     431,482  
* #   Maui Land & Pineapple Co., Inc.             27,928     749,308  
* #   Medifast, Inc.                              37,600     311,704  
      MGP Ingredients, Inc.                       49,422     243,650  
  *   Monterey Pasta Co.                          54,187     112,167  
  #   Nash Finch Co.                              36,740   1,496,053  
  *   National Beverage Corp.                    132,479   1,208,208  
  *   Natural Alternatives International, Inc.    20,009     154,870  
* #   Natural Health Trends Corp.                 18,077      12,473  
      Nature’s Sunshine Products, Inc.            35,884     280,792  
  *   NBTY, Inc.                                  45,800   1,522,392  
      Nu Skin Enterprises, Inc. Class A          189,300   3,170,775  
      Oil-Dri Corp. of America                    14,033     258,207  
  *   Omega Protein Corp.                         39,323     534,006  
  *   Orchids Paper Products Co.                   1,800      13,860  
  *   Overhill Farms, Inc.                        30,040     195,260  
  *   Pantry, Inc.                                61,200   1,122,408  
  *   Parlux Fragrances, Inc.                     60,346     424,232  
  *   Peet’s Coffee & Tea, Inc.                   39,457   1,035,352  
  #   Pilgrim’s Pride Corp.                      118,500   1,521,540  
  *   Pizza Inn, Inc.                              8,932      22,955  
  *   Prestige Brands Holdings, Inc.              96,910     920,645  
      PriceSmart, Inc.                            83,368   1,771,570  
      Ralcorp Holdings, Inc.                      72,200   4,433,080  


                                        

                                       11

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  #   Reddy Ice Holdings, Inc.                            39,400       331,748  
  #   Reliv International, Inc.                           48,147       253,735  
  *   Revlon, Inc.                                     1,265,843     1,759,522  
      Rocky Mountain Chocolate Factory, Inc.              19,671       177,432  
      Ruddick Corp.                                      133,292     4,244,017  
      Sanderson Farms, Inc.                               57,100     1,959,101  
  *   Sanfilippo (John B.) & Son, Inc.                    23,090       220,279  
  *   Scheid Vineyards, Inc.                                 440        14,795  
  *   Schiff Nutrition International, Inc.                34,359       229,862  
      Seaboard Corp.                                       1,390     1,802,830  
  *   Seneca Foods Corp. Class A                             700        14,168  
  *   Seneca Foods Corp. Class B                           1,800        37,818  
* #   Smart Balance, Inc.                                 35,896       229,734  
      Spartan Stores, Inc.                                60,076     1,366,128  
* #   Spectrum Brands, Inc.                              145,000       246,500  
* #   Star Scientific, Inc.                              228,795       736,720  
      Stephan Co.                                          3,400        10,540  
      Tasty Baking Co.                                    22,300        93,660  
  *   Tofutti Brands, Inc.                                18,030        49,763  
  #   Tootsie Roll Industries, Inc.                      106,198     3,024,519  
  *   TreeHouse Foods, Inc.                               60,052     1,667,044  
* #   United Natural Foods, Inc.                         114,513     2,200,940  
      United-Guardian, Inc.                                7,500        79,125  
  #   Universal Corp.                                     72,700     3,774,584  
* #   USANA Health Services, Inc.                         54,160     2,050,498  
  #   Vector Group, Ltd.                                 166,174     3,067,572  
  *   Vermont Pure Holdings, Ltd.                         15,800        21,804  
      Village Super Market, Inc.                           8,942       401,764  
  #   WD-40 Co.                                           49,089     1,712,715  
      Weis Markets, Inc.                                  75,003     2,838,864  
  *   Winn-Dixie Stores, Inc.                             91,752     1,295,538  
  *   Zapata Corp.                                        28,092       193,835  
Total Consumer Staples                                             124,213,813  
                                                                                
Energy — (5.0%)                                                                 
  *   Abraxas Petroleum Corp.                            118,900       429,229  
      Adams Resources & Energy, Inc.                      15,659       439,078  
  *   Allis-Chalmers Energy, Inc.                        107,902     1,560,263  
  #   Alon USA Energy, Inc.                               81,100       988,609  
* #   American Oil & Gas, Inc.                           135,171       387,941  
* #   Arena Resources, Inc.                               87,200     3,895,224  
      Atlas America, Inc.                                138,793     5,201,962  
* #   ATP Oil & Gas Corp.                                 83,703     2,151,167  
  *   Aventine Renewable Energy Holdings, Inc.            62,432       399,565  
      Barnwell Industries, Inc.                           21,190       251,101  
  *   Basic Energy Services, Inc.                         85,800     2,507,934  
  #   Berry Petroleum Corp. Class A                      124,200     5,169,204  
* #   Bill Barret Corp.                                   90,000     3,544,200  
* #   Bolt Technology Corp.                               25,100       483,175  
  *   Boots & Coots International Well Control, Inc.     191,600       584,380  
* #   BPZ Resources, Inc.                                148,544     2,926,317  
  *   Brigham Exploration Co.                            135,913     1,844,339  
* #   Bristow Group, Inc.                                 68,300     2,784,591  
  *   Bronco Drilling Co., Inc.                           57,500       911,375  
  *   Cal Dive International, Inc.                       211,524     2,443,102  


                                        

                                       12

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  *   Callon Petroleum Co.                  62,462   1,241,120  
  #   CARBO Ceramics, Inc.                  69,855   4,198,285  
* #   Carrizo Oil & Gas, Inc.               90,096   4,472,365  
  *   Catalytica Energy Systems, Inc.        2,699       7,368  
* #   Cheniere Energy, Inc.                 92,800     348,928  
      CKX Lands, Inc.                        2,400      32,940  
  *   Clayton Williams Energy, Inc.         33,476   2,709,547  
  *   Complete Production Services, Inc.   165,660   4,895,253  
  *   Comstock Resources, Inc.              16,000   1,039,040  
  *   Contango Oil & Gas Co.                45,650   3,246,628  
  *   Credo Petroleum Corp.                 15,442     165,384  
  #   Crosstex Energy, Inc.                 87,833   2,860,721  
  *   Crusader Energy Group, Inc.           87,900     385,881  
  *   Dawson Geophysical Co.                21,700   1,361,241  
      Delek US Holdings, Inc.              107,900     852,410  
* #   Delta Petroleum Corp.                 81,415   1,462,213  
  *   Dril-Quip, Inc.                      122,100   6,716,721  
* #   Dune Energy, Inc.                    123,800     118,848  
  *   Edge Petroleum Corp.                  58,793     268,096  
  *   Encore Acquisition Co.                 8,259     425,834  
* #   Endeavour International Corp.        282,600     486,072  
  *   Energy Partners, Ltd.                 89,400   1,063,860  
* #   Evergreen Energy, Inc.               205,900     370,620  
  *   Evolution Petroleum Corp.             46,323     170,005  
  *   EXCO Resources, Inc.                 141,867   3,756,638  
* #   Exterran Holdings, Inc.               22,250   1,017,047  
* #   FieldPoint Petroleum Corp.            15,800      60,514  
* #   FX Energy, Inc.                      106,654     895,894  
* #   Gasco Energy, Inc.                   222,795     585,951  
  *   Geokinetics, Inc.                      9,051     177,219  
  *   Geomet, Inc.                          53,181     371,203  
  *   GeoResources, Inc.                    31,346     515,642  
* #   GMX Resources, Inc.                   33,500   2,272,640  
* #   Goodrich Petroleum Corp.              82,700   4,205,295  
* #   Grey Wolf, Inc.                      542,900   4,728,659  
      Gulf Island Fabrication, Inc.         38,951   1,677,620  
  *   Gulfmark Offshore, Inc.               65,114   3,262,211  
  *   Gulfport Energy Corp.                129,818   1,731,772  
* #   Harvest Natural Resources, Inc.      112,500   1,246,500  
  *   HKN, Inc.                             16,091     151,577  
      Holly Corp.                           41,300   1,321,600  
* #   Hornbeck Offshore Services, Inc.      73,100   3,220,786  
  #   Houston American Energy Corp.         92,016     783,976  
* #   Hyperdynamics Corp.                   49,600      80,352  
  *   Infinity, Inc.                        50,811      43,189  
* #   International Coal Group, Inc.       310,244   3,173,796  
  *   James River Coal Co.                  44,797   1,889,089  
* #   Key Energy Group, Inc.               113,700   1,910,160  
  *   Kodiak Oil & Gas Corp.               146,458     424,728  
      Lufkin Industries, Inc.               41,912   3,889,014  
  *   Mariner Energy, Inc.                 104,800   3,048,632  
  *   Matrix Service Co.                    91,194   2,396,578  
* #   McMoran Exploration Co.              119,364   3,264,605  
  *   Meridian Resource Corp.              256,200     694,302  
* #   Mexco Energy Corp.                     5,426     155,184  


                                        

                                       13

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  *   Mitcham Industries, Inc.                  29,100       444,648  
  *   NATCO Group, Inc. Class A                 48,600     2,463,534  
* #   National Coal Corp.                       61,920       515,174  
  *   Natural Gas Services Group                33,589       871,299  
  *   New Concept Energy, Inc.                     674         3,943  
* #   Newpark Resources, Inc.                  249,300     2,138,994  
* #   Northern Oil & Gas, Inc.                  20,400       150,960  
* #   OMNI Energy Services Corp.                56,500       248,600  
* #   Pacific Ethanol, Inc.                    121,672       250,644  
  #   Panhandle Royalty Co.                     16,521       598,060  
  *   Parallel Petroleum Corp.                 114,500     1,515,980  
* #   Parker Drilling Co.                      318,500     2,952,495  
      Penn Virginia Corp.                       58,800     3,891,384  
  *   Petroleum Development Corp.               42,733     2,597,739  
* #   PetroQuest Energy, Inc.                  132,900     2,457,321  
  *   PHI, Inc. (69336T106)                        200         7,651  
  *   PHI, Inc. (69336T205)                     34,100     1,309,781  
  *   Pioneer Drilling Co.                     134,600     2,255,896  
* #   PowerSecure International, Inc.           46,086       372,375  
* #   Quest Resource Corp.                      60,691       291,924  
* #   Rentech, Inc.                            411,800       971,848  
* #   Royale Energy, Inc.                       14,801       106,123  
      RPC, Inc.                                291,100     5,306,753  
  *   SEACOR Holdings, Inc.                      4,500       396,675  
  *   Stone Energy Corp.                        84,903     4,047,344  
* #   SulphCo, Inc.                            175,500       512,460  
* #   Superior Well Services, Inc.              47,063     1,551,196  
  *   Swift Energy Corp.                        83,700     3,909,627  
  *   Syntroleum Corp.                         158,626       256,974  
  *   T-3 Energy Services, Inc.                 24,712     1,379,671  
* #   Teton Energy Corp.                        47,886       193,938  
  *   TETRA Technologies, Inc.                 149,100     3,301,074  
  *   TGC Industries, Inc.                      60,758       442,318  
  *   Toreador Resources Corp.                  48,118       416,221  
* #   Transmeridian Exploration, Inc.          288,400        98,056  
* #   Trico Marine Services, Inc.               42,319     1,005,076  
* #   Tri-Valley Corp.                          68,171       478,560  
* #   TXCO Resources, Inc.                     113,634     1,376,108  
  *   Union Drilling, Inc.                      41,746       593,628  
* #   Uranium Energy Corp.                      22,380        44,536  
  *   Uranium Resources, Inc.                   99,428       228,684  
  #   USEC, Inc.                               246,431     1,419,443  
  *   VAALCO Energy, Inc.                      165,700     1,297,431  
* #   Venoco, Inc.                              69,153     1,165,920  
* #   VeraSun Energy Corp.                     119,303       687,185  
* #   Verenium Corp.                           140,802       318,213  
  *   Warren Resources, Inc.                   119,700     1,351,413  
  *   Westmoreland Coal Co.                     25,400       512,572  
      World Fuel Services Corp.                 87,788     2,529,172  
Total Energy                                             191,991,130  
                                                                      
Financials — (10.4%)                                                  
  *   1st Constitution Bancorp                   1,461        17,094  
      1st Independence Financial Group, Inc.     3,373        62,198  
      1st Source Corp.                          59,324     1,289,111  


                                        

                                       14

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      21st Century Holding Co.                       22,610     151,713  
      Abigail Adams National Bancorp, Inc.            3,363      19,337  
      Abington Bancorp, Inc.                         43,274     427,980  
      Access National Corp.                          10,571      63,215  
  #   Advance America Cash Advance Centers, Inc.    157,300     773,916  
      Advanta Corp. Class A                          42,500     277,100  
      Advanta Corp. Class B                          87,212     665,428  
      Affirmative Insurance Holdings, Inc.           15,242      91,909  
      Alliance Bancorp, Inc. of Pennsylvania          2,151      19,337  
      Alliance Financial Corp.                        1,855      46,338  
  *   Alphatec Holdings, Inc.                        99,103     474,703  
  *   AmComp, Inc.                                   29,400     352,800  
  #   Amcore Financial, Inc.                         69,970     615,044  
      Ameriana Bancorp                                2,912      24,024  
      American Bancorp of New Jersey, Inc.           26,364     278,667  
      American Equity Investment Life Holding Co.   150,600   1,384,014  
  *   American Independence Corp.                     8,100      53,946  
      American National Bankshares, Inc.              2,555      43,026  
      American Physicians Capital, Inc.              32,060   1,356,138  
      American Physicians Services Group, Inc.          100       2,208  
      American River Bankshares                      19,841     207,140  
  *   American Spectrum Realty, Inc.                    529      18,779  
  #   American West Bancorporation                   50,006      86,010  
* #   AmeriCredit Corp.                             184,300   1,949,894  
      Ameris Bancorp                                 36,750     441,735  
  *   Amerisafe, Inc.                                45,529     841,831  
  *   AmeriServe Financial, Inc.                     59,570     168,583  
      AmTrust Financial Services, Inc.              119,954   1,686,553  
      Anchor Bancorp Wisconsin, Inc.                 64,417     494,723  
  *   Argo Group International Holdings, Ltd.        50,308   1,891,078  
      Arrow Financial Corp.                          35,699     881,051  
      ASB Financial Corp.                               900      13,837  
  #   Asset Acceptance Capital Corp.                109,827   1,190,525  
  #   ASTA Funding, Inc.                             46,100     381,708  
      Astoria Financial Corp.                        96,101   2,099,807  
  *   Atlantic American Corp.                        21,640      32,352  
      Atlantic Coast Federal Corp.                   14,375     113,562  
  #   Atlantic Southern Financial Group, Inc.         2,100      28,875  
      Auburn National Bancorporation, Inc.              300       6,819  
      Baldwin & Lyons, Inc. Class A                     300       6,762  
      Baldwin & Lyons, Inc. Class B                  29,741     634,078  
      BancFirst Corp.                                44,744   2,153,976  
  *   Bancinsurance Corp.                             5,600      30,100  
      Bancorp Rhode Island, Inc.                      8,678     257,476  
  #   BancorpSouth, Inc.                            131,800   3,034,036  
  #   BancTrust Financial Group, Inc.                14,933     126,035  
      Bank Mutual Corp.                              86,790   1,045,819  
      Bank of Commerce Holdings                       4,954      32,201  
  *   Bank of Florida Corp.                          27,028     214,602  
      Bank of Granite Corp.                          49,278     377,469  
  #   Bank of the Ozarks, Inc.                       47,910   1,071,747  
  #   BankAtlantic Bancorp, Inc. Class A            120,395     223,935  
      BankFinancial Corp.                            70,154   1,046,698  
  #   BankUnited Financial Corp. Class A             98,675     117,423  
  #   Banner Corp.                                   37,343     394,716  


                                        

                                       15

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      Bar Harbor Bankshares                       6,458     188,703  
      BCB Bancorp, Inc.                             600       8,400  
  *   BCSB Bancorp, Inc.                            500       5,485  
  *   Beach First National Bancshares, Inc.      12,342     102,068  
      Benjamin Franklin Bancorp, Inc.             1,488      17,930  
      Berkshire Bancorp, Inc.                       400       5,000  
      Berkshire Hills Bancorp, Inc.              25,769     685,455  
      Beverly Hills Bancorp, Inc.                64,798      88,773  
  *   BFC Financial Corp.                        57,988      41,751  
  *   BGC Partners, Inc. Class A                 87,880     579,129  
  *   BNCCORP, Inc.                               3,900      39,195  
  *   BNS Holding, Inc.                           4,020      56,039  
      Boston Private Financial Holdings, Inc.   110,200     985,188  
  *   Bridge Capital Holdings                     2,333      29,279  
  *   Broadopoint Securities Group, Inc.         65,701     220,098  
      Brooke Corp.                               27,981      17,908  
      Brookline Bancorp, Inc.                   173,393   1,782,480  
  #   Brooklyn Federal Bancorp, Inc.              2,100      31,500  
      Bryn Mawr Bank Corp.                       12,652     280,368  
      C&F Financial Corp.                         1,452      31,944  
  #   Cadence Financial Corp.                    17,416     160,053  
      California First National Bancorp          11,500     132,365  
      Camco Financial Corp.                       9,661     102,890  
      Camden National Corp.                      24,334     788,178  
      Capital Bank Corp.                          1,960      19,992  
  #   Capital City Bank Group, Inc.              45,990   1,114,338  
  #   Capital Corp. of the West                  33,319     105,954  
      Capital Properties, Inc.                      500      12,500  
      Capital Southwest Corp.                     1,200     160,848  
  #   Capitol Bancorp, Ltd.                      52,774     811,136  
      Cardinal Financial Corp.                   79,186     672,289  
      Carver Bancorp, Inc.                        2,000      15,300  
      Cascade Financial Corp.                     9,511      87,311  
      Cash America International, Inc.           84,990   3,517,736  
  #   Cathay General Bancorp                    105,136   2,035,433  
      Center Bancorp, Inc.                       43,064     455,186  
      Center Financial Corp.                     52,938     713,075  
  #   Centerstate Banks of Florida, Inc.          7,148     102,145  
      Central Bancorp, Inc.                       1,600      20,576  
  #   Central Pacific Financial Corp.            87,300   1,038,870  
      Central Virginia Bankshares, Inc.           3,498      48,640  
      Centrue Financial Corp.                     2,305      29,343  
      Century Bancorp, Inc. Class A               3,369      58,115  
      CFS Bancorp, Inc.                          26,520     253,001  
      Charter Financial Corp.                    23,869     334,166  
      Chemical Financial Corp.                   70,363   2,028,565  
  *   Chicopee Bancorp, Inc.                      1,929      25,810  
      Citizens Community Bancorp, Inc.              100         794  
      Citizens First Bancorp, Inc.               24,212     105,564  
      Citizens First Corp.                          400       2,920  
      Citizens Holding Co.                          300       5,853  
  #   Citizens Republic Bancorp, Inc.           205,849     755,466  
      Citizens South Banking Corp.               17,129     137,032  
* #   Citizens, Inc.                            119,860     853,403  
      City Holding Co.                           49,930   2,087,573  


                                        

                                       16

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  #   Clifton Savings Bancorp, Inc.           33,058     364,299  
  *   CNA Surety Corp.                       122,331   1,965,859  
      CNB Financial Corp.                      5,988      80,119  
  #   CoBiz Financial, Inc.                   55,675     597,393  
      Codorus Valley Bancorp, Inc.               767       9,173  
  #   Cohen & Steers, Inc.                   108,900   3,168,990  
      Colony Bankcorp, Inc.                    9,572     102,995  
      Columbia Banking System, Inc.           46,187     646,618  
      Comm Bancorp, Inc.                         532      22,892  
  *   Command Security Corp.                   1,500       5,310  
      Commercial National Financial Corp.      3,500      45,535  
      Commonwealth Bankshares, Inc.            3,098      42,597  
* #   Community Bancorp                       11,448      60,216  
      Community Bank System, Inc.             83,994   1,898,264  
      Community Bankshares, Inc.                 610      12,651  
      Community Central Bank Corp.             1,764       5,557  
      Community Trust Bancorp, Inc.           43,448   1,457,246  
  #   Community West Bancshares                6,650      26,600  
      Compass Diversified Holdings            63,008     809,023  
* #   CompuCredit Corp.                      156,660     813,065  
  *   Conseco, Inc.                           48,160     431,995  
      Consolidated-Tokoma Land Co.            15,621     644,991  
  *   Consumer Portfolio Services, Inc.       67,396     144,901  
      Cooperative Bankshares, Inc.             5,911      39,604  
  *   Core-Mark Holding Co., Inc.             20,257     597,581  
  #   Corus Bankshares, Inc.                  99,310     394,261  
  *   Cowen Group, Inc.                       48,399     444,303  
  *   Cowlitz Bancorporation                   1,870      10,977  
      Crawford & Co. Class A                  31,295     328,910  
  #   Crawford & Co. Class B                  24,520     361,180  
  #   CVB Financial Corp.                    231,168   2,485,056  
  *   Dearborn Bancorp, Inc.                  11,201      51,525  
      Delphi Financial Group, Inc. Class A    92,475   2,481,104  
  #   Delta Financial Corp.                   69,400       1,041  
      Dime Community Bancshares              104,803   1,720,865  
* #   Dollar Financial Corp.                  47,253     863,785  
      Donegal Group, Inc. Class A             55,859   1,004,345  
      Donegal Group, Inc. Class B              5,380     102,166  
* #   E*TRADE Financial Corp.                500,838   1,602,682  
  #   East West Bancorp, Inc.                    135       1,683  
      Eastern Insurance Holdings, Inc.        10,054     153,223  
      Eastern Virginia Bankshares, Inc.          500       8,000  
      ECB Bancorp, Inc.                          600      14,400  
* #   eHealth, Inc.                           39,832     591,107  
      EMC Insurance Group, Inc.               41,861   1,017,222  
      Employers Holdings, Inc.                95,300   1,656,314  
  *   Encore Bancshares, Inc.                  5,200      86,164  
  *   Encore Capital Group, Inc.              64,200     815,340  
      Enterprise Bancorp, Inc.                 1,242      14,749  
  #   Enterprise Financial Services Corp.     33,804     634,163  
      Epoch Holding Corp.                      7,537      87,354  
      ESB Financial Corp.                     13,762     146,978  
      ESSA Bancorp, Inc.                      28,834     385,799  
      Evans Bancorp, Inc.                      2,311      38,478  
      Evercore Partners, Inc. Class A          3,000      39,780  


                                        

                                       17

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  *   Exlservice Holdings, Inc.                           57,525     627,022  
  *   EZCORP, Inc. Class A                                27,800     433,402  
  #   F.N.B. Corp.                                       248,309   2,902,732  
  #   Farmers Capital Bank Corp.                           2,300      68,701  
      FBL Financial Group, Inc. Class A                   80,070   1,837,606  
* #   FCStone Group, Inc.                                 44,550     931,540  
      Federal Agriculture Mortgage Corp. Class A           1,100      22,275  
  #   Federal Agriculture Mortgage Corp. Class C          26,300     770,590  
* #   Federal Trust Corp.                                  1,293       1,099  
      Fidelity Bancorp, Inc.                               1,096      12,604  
      Fidelity Southern Corp.                              8,600      33,970  
      Financial Federal Corp.                             86,500   2,159,905  
  #   Financial Institutions, Inc.                        18,303     321,584  
  *   First Acceptance Corp.                             140,847     461,978  
  *   First Advantage Bancorp                              1,000      11,200  
      First Bancorp                                       43,331     649,965  
  #   First Bancorp, Inc.                                  5,330      96,846  
      First Bancshares, Inc.                               1,345      22,569  
      First Bancshares, Inc.                                 600       9,300  
  *   First Bank of Delaware                               6,667      12,467  
  #   First Busey Corp.                                   73,286   1,037,730  
      First Business Financial Services, Inc.              1,200      19,908  
  *   First Cash Financial Services, Inc.                 97,962   1,815,236  
      First Citizens BancShares, Inc.                      3,907     579,877  
  #   First Commonwealth Financial Corp.                 213,272   2,437,699  
      First Community Bancshares, Inc.                    32,787   1,046,889  
      First Defiance Financial Corp.                      15,687     257,110  
  #   First Federal Bancshares of Arkansas, Inc.           9,239      71,048  
      First Federal Bankshares, Inc.                       1,703      10,218  
      First Federal of Northern Michigan Bancorp, Inc.     4,300      21,070  
      First Financial Bancorp                            111,748   1,454,959  
  #   First Financial Bankshares, Inc.                    59,306   2,910,145  
      First Financial Corp.                               36,587   1,517,629  
      First Financial Holdings, Inc.                      35,284     770,603  
      First Financial Service Corp.                        5,202     104,716  
      First Franklin Corp.                                   700       5,600  
  *   First Investors Financial Services Group, Inc.       5,300      25,440  
  *   First Keystone Financial, Inc.                       2,200      21,120  
      First M&F Corp.                                      8,514      90,844  
* #   First Mariner Bancorp, Inc.                          6,000      14,760  
      First Merchants Corp.                               52,901   1,020,460  
  *   First Mercury Financial Corp.                       21,328     314,161  
  #   First Midwest Bancorp, Inc.                         97,556   2,183,303  
      First Niagara Financial Group, Inc.                320,149   4,789,429  
      First PacTrust Bancorp, Inc.                         8,200     103,320  
      First Place Financial Corp.                         49,258     500,461  
* #   First Regional Bancorp                              36,300     185,856  
      First Security Group, Inc.                           4,800      37,872  
  #   First South Bancorp, Inc.                           18,346     324,174  
      First State Bancorporation                          56,176     320,765  
      First State Financial Corp.                          4,000      23,280  
      First United Corp.                                   7,829     157,206  
      Firstbank Corp.                                      9,682      87,817  
  *   FirstCity Financial Corp.                           35,400     220,896  
* #   FirstFed Financial Corp.                            11,100     174,270  


                                        

                                       18

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      FirstMerit Corp.                           160,987   3,258,377  
  #   Flagstar Bancorp, Inc.                     157,700     698,611  
  #   Flushing Financial Corp.                    61,294   1,065,903  
      FNB United Corp.                             4,880      36,698  
  *   Forestar Real Estate Group, Inc.            19,792     399,007  
  *   Fox Chase Bancorp, Inc.                      3,404      41,359  
  *   FPIC Insurance Group, Inc.                  25,446   1,314,540  
* #   Franklin Bank Corp.                         48,857      27,897  
* #   Franklin Credit Management Corp.             3,100       1,240  
  #   Frontier Financial Corp.                   127,465   1,421,235  
  #   Fulton Financial Corp.                     186,810   1,991,395  
  *   GAINSCO, Inc.                                1,100       3,300  
  #   GAMCO Investors, Inc.                       21,800   1,033,320  
  #   Gateway Financial Holdings, Inc.            34,461     237,436  
      German American Bancorp, Inc.                5,600      72,744  
  #   Glacier Bancorp, Inc.                      153,298   3,268,313  
  *   Golfsmith International Holdings, Inc.       1,000       3,330  
      Gouverneur Bancorp, Inc.                       995       7,652  
  #   Great Southern Bancorp, Inc.                40,132     416,169  
  #   Greene Bancshares, Inc.                     29,522     456,115  
  #   Greenhill & Co., Inc.                       53,700   3,549,570  
      Grubb & Ellis Co.                          133,374     462,808  
      GS Financial Corp.                           1,313      20,351  
  *   Guaranty Bancorp                           100,441     565,483  
      Guaranty Federal Bancshares, Inc.            7,720     110,242  
  *   Hallmark Financial Services, Inc.           45,083     416,116  
  #   Hancock Holding Co.                         79,429   3,895,992  
  #   Hanmi Financial Corp.                      136,147     695,711  
      Harleysville Group, Inc.                    90,735   3,290,958  
  #   Harleysville National Corp.                 77,948   1,145,836  
  #   Harrington West Financial Group, Inc.        2,000       7,100  
* #   Harris & Harris Group, Inc.                 31,579     231,158  
  #   Heartland Financial USA, Inc.               28,137     605,790  
      Hercules Technology Growth Capital, Inc.    26,722     278,176  
      Heritage Commerce Corp.                     35,056     421,373  
      Heritage Financial Corp.                    23,297     328,954  
      Heritage Financial Group                       200       2,118  
      HF Financial Corp.                           6,835     104,986  
  *   HFF, Inc.                                   17,500      87,150  
      Hilb Rogal Hamilton Co.                    102,200   4,655,210  
  *   Hilltop Holdings, Inc.                      44,095     459,029  
      Hingham Institution for Savings              1,609      47,465  
      HMN Financial, Inc.                          8,793     125,212  
  #   Home Bancshares, Inc.                       39,281     943,941  
      Home Federal Bancorp, Inc.                  27,081     297,891  
      HopFed Bancorp, Inc.                         2,100      25,389  
      Horace Mann Educators Corp.                113,138   1,685,756  
      Horizon Bancorp                                300       6,663  
  #   Horizon Financial Corp.                     36,767     299,651  
  *   HouseValues, Inc.                           14,653      41,321  
      IBERIABANK Corp.                            33,457   1,814,373  
  #   Imperial Capital Bancorp, Inc.              12,300     109,962  
      Independence Holding Co.                    23,216     305,058  
      Independent Bank Corp. (MA)                 41,423   1,145,760  
      Independent Bank Corp. (MI)                 62,924     466,267  


                                        

                                       19

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      Indiana Community Bancorp              5,236      78,802  
      Infinity Property & Casualty Corp.    53,446   2,485,239  
      Integra Bank Corp.                    50,038     320,744  
  *   International Assets Holding Corp.     9,827     279,087  
      International Bancshares Corp.       137,223   3,545,842  
      Intervest Bancshares Corp.            22,100     175,916  
  *   Investment Technology Group, Inc.    112,000   3,584,000  
  *   Investors Bancorp, Inc.              216,142   3,162,157  
      Investors Capital Holdings, Ltd.         100         479  
      Investors Title Co.                    3,853     169,339  
  #   Irwin Financial Corp.                 86,700     338,997  
  *   Jesup & Lamont, Inc.                   1,972       2,130  
      Jones Lang LaSalle, Inc.              28,700   1,429,260  
* #   KBW, Inc.                             53,000   1,565,620  
      Kearny Financial Corp.               126,855   1,762,016  
  *   Kennedy-Wilson, Inc.                   8,400     365,400  
      Kentucky First Federal Bancorp         4,050      38,475  
  #   K-Fed Bancorp                         24,392     247,335  
  *   Knight Capital Group, Inc.           270,123   4,656,921  
  *   LaBranche & Co., Inc.                 98,800     635,284  
      Lakeland Bancorp, Inc.                48,489     572,170  
      Lakeland Financial Corp.              34,176     696,165  
  #   LandAmerica Financial Group, Inc.     51,800     887,852  
      Landmark Bancorp, Inc.                 2,940      63,210  
      Legacy Bancorp, Inc.                  15,822     218,185  
  #   Life Partners Holdings, Inc.          26,353     763,183  
      Lincoln Bancorp                        1,800      17,856  
  *   Liquidity Services, Inc.              55,873     612,368  
      LNB Bancorp, Inc.                      2,359      20,264  
* #   Loopnet, Inc.                         63,547     677,411  
      LSB Corp.                              6,062      89,414  
  #   Macatawa Bank Corp.                   46,415     375,497  
  #   MainSource Financial Group, Inc.      46,730     846,280  
  *   MarketAxess Holdings, Inc.            87,025     874,601  
* #   Marlin Business Services, Inc.        36,233     276,820  
      MASSBANK Corp.                         7,100     282,651  
      Mayflower Bancorp, Inc.                  700       6,895  
  *   Mays (J.W.), Inc.                        200       3,368  
      MB Financial, Inc.                   102,093   2,841,248  
  #   MBT Financial Corp.                   46,125     209,869  
      MCG Capital Corp.                    173,134     602,506  
      Meadowbrook Insurance Group, Inc.    135,422     907,327  
      Medallion Financial Corp.             54,066     561,205  
  #   Mercantile Bancorp, Inc.               1,227      20,828  
      Mercantile Bank Corp.                 18,345     157,950  
      Mercer Insurance Group, Inc.          17,900     297,140  
      Merchants Bancshares, Inc.            21,481     494,063  
* #   Meridian Interstate Bancorp, Inc.      3,400      32,776  
      Meta Financial Group, Inc.             6,002     111,637  
      MetroCorp Bancshares, Inc.            16,401     209,277  
      MicroFinancial, Inc.                  23,300     100,656  
      Mid Penn Bancorp, Inc.                 1,110      27,805  
      MidSouth Bancorp, Inc.                 3,028      53,747  
  #   Midwest Banc Holdings, Inc.           67,520     376,086  
      MidWestOne Financial Group, Inc.         281       3,937  


                                        

                                       20

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      Monroe Bancorp                                  2,000      23,420  
  *   Move, Inc.                                    451,820   1,219,914  
      MSB Financial Corp.                               500       5,385  
      MutualFirst Financial, Inc.                     8,104      85,659  
  #   Nara Bancorp, Inc.                             73,911     809,325  
  #   National Interstate Corp.                      36,402     707,291  
  #   National Penn Bancshares, Inc.                230,697   3,294,353  
      National Western Life Insurance Co. Class A     1,700     407,048  
  *   Navidec Financial, Inc.                           644       1,063  
  *   Navigators Group, Inc.                         47,784   2,503,882  
      NBT Bancorp, Inc.                              94,799   2,378,507  
      Nelnet, Inc. Class A                           59,271     931,740  
  *   New Century Bancorp, Inc.                       2,400      22,248  
      New England Bancshares, Inc.                    1,999      20,700  
      New Hampshire Thrift Bancshares, Inc.           3,200      31,040  
      New Westfield Financial, Inc.                  51,670     528,067  
      NewAlliance Bancshares, Inc.                  264,728   3,629,421  
      NewBridge Bancorp                              16,983     101,728  
  *   Newport Bancorp, Inc.                           1,400      16,905  
  *   Newstar Financial, Inc.                        13,253     116,626  
  *   Newtek Business Services, Inc.                 86,988      59,152  
* #   NexCen Brands, Inc.                           151,003      55,916  
  *   Nexity Financial Corp.                            500       1,045  
      North Central Bancshares, Inc.                  1,700      33,150  
      North Valley Bancorp                            2,455      16,817  
      Northeast Bancorp                                 900      10,035  
      Northeast Community Bancorp, Inc.               4,800      48,480  
      Northrim Bancorp, Inc.                         15,945     264,209  
      Northway Financial, Inc.                        5,000      65,500  
      Northwest Bancorp, Inc.                       142,905   3,964,185  
      Norwood Financial Corp.                           200       6,150  
  #   NYMAGIC, Inc.                                  25,056     543,214  
      Ocean Shore Holding Co.                           402       4,032  
      OceanFirst Financial Corp.                     34,880     629,584  
* #   Ocwen Financial Corp.                         174,718   1,217,784  
      Ohio Valley Banc Corp.                          3,027      68,107  
  #   Old National Bancorp                          192,700   3,358,761  
  #   Old Second Bancorp, Inc.                       30,673     519,294  
      optionsXpress Holding, Inc.                   134,092   3,093,502  
* #   Oritani Financial Corp.                        68,889   1,161,469  
  #   PAB Bankshares, Inc.                            6,964      51,951  
  #   Pacific Capital Bancorp                       131,069   1,928,025  
  #   Pacific Continental Corp.                      24,959     307,245  
      Pacific Mercantile Bancorp                     26,820     182,376  
  *   Pacific Premier Bancorp, Inc.                   5,105      26,903  
  *   Pacific State Bancorp                           4,100      28,392  
      PacWest Bancorp                                85,097   1,930,000  
      Pamrapo Bancorp, Inc.                          10,711     147,383  
      Park Bancorp, Inc.                              1,650      19,717  
  #   Park National Corp.                            26,007   1,594,229  
      Parkvale Financial Corp.                        7,104     156,785  
      Patriot Capital Funding, Inc.                     194       1,439  
      Patriot National Bancorp                        1,700      23,375  
      PAULA Financial                                 5,900      11,888  
  #   Peapack-Gladstone Financial Corp.              18,850     552,870  


                                        

                                       21

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* # †   Pelican Financial, Inc. Escrow Shares                300           —  
    *   Penn Treaty American Corp.                        65,600     146,944  
        Penns Woods Bancorp, Inc.                          6,423     189,800  
    *   Pennsylvania Commerce Bancorp, Inc.               20,318     568,091  
    *   Penson Worldwide, Inc.                            47,577     801,672  
        Peoples Bancorp of North Carolina                  3,281      36,583  
        Peoples Bancorp, Inc. (709788202)                    555       7,146  
        Peoples Bancorp, Inc. (709789101)                 29,318     602,192  
    #   PFF Bancorp, Inc.                                 36,700      44,774  
    *   Pico Holdings, Inc.                               64,310   3,063,728  
        Pinnacle Bancshares, Inc.                             35         307  
  * #   Pinnacle Financial Partners, Inc.                 41,935   1,061,794  
    *   Piper Jaffray Companies, Inc.                     43,900   1,668,639  
    *   PMA Capital Corp. Class A                         91,908     872,207  
    #   PMI Group, Inc.                                   39,800     142,882  
        Porter Bancorp, Inc.                               3,500      65,135  
  * #   Portfolio Recovery Associates, Inc.               45,305   1,927,275  
    #   Preferred Bank                                    16,485     161,058  
        Premier Financial Bancorp, Inc.                    5,800      55,100  
        Presidential Life Corp.                           64,887   1,167,966  
        Princeton National Bancorp, Inc.                   3,501      95,402  
    #   PrivateBancorp, Inc.                              63,220   1,937,061  
    *   ProAssurance Corp.                                95,850   5,166,315  
        Prosperity Bancshares, Inc.                      121,211   3,875,116  
        Providence Community Bancshares, Inc.                400       5,284  
    #   Provident Bankshares Corp.                        89,493     692,676  
        Provident Financial Holdings, Inc.                19,558     123,998  
        Provident Financial Services, Inc.               184,653   2,815,958  
        Provident New York Bancorp                       121,047   1,675,290  
    #   Pulaski Financial Corp.                           29,961     290,622  
        QC Holdings, Inc.                                 36,280     229,652  
        Rainier Pacific Financial Group, Inc.             20,266     148,752  
        Renasant Corp.                                    40,760     770,772  
        Republic Bancorp, Inc. Class A                    61,097   1,810,304  
    *   Republic First Bancorp, Inc.                      12,871     115,710  
    #   Resource America, Inc.                            51,153     631,740  
    *   Rewards Network, Inc.                             85,870     433,643  
        Riverview Bancorp, Inc.                           33,183     216,021  
        RLI Corp.                                         67,800   3,790,698  
    #   Rockville Financial, Inc.                         35,227     509,735  
    #   Roma Financial Corp.                              29,094     441,938  
        Rome Bancorp, Inc.                                17,600     190,080  
        Royal Bancshares of Pennsylvania, Inc. Class A     6,712      32,016  
        Rurban Financial Corp.                               790       7,884  
    #   S&T Bancorp, Inc.                                 74,471   2,499,247  
    #   S.Y. Bancorp, Inc.                                39,829   1,124,771  
        Safety Insurance Group, Inc.                      32,989   1,418,527  
        Salisbury Bancorp, Inc.                              152       4,484  
        Sanders Morris Harris Group, Inc.                 50,839     533,809  
    #   Sandy Spring Bancorp, Inc.                        43,650     781,335  
    #   SCBT Financial Corp.                              19,313     653,359  
    *   Seabright Insurance Holdings                      48,700     591,218  
    #   Seacoast Banking Corp. of Florida                 51,753     454,391  
    #   Security Bank Corp.                               41,383     156,842  
        Selective Insurance Group, Inc.                  170,995   4,127,819  


                                        

                                       22

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  #   Shore Bancshares, Inc.                     2,600      59,566  
      Siebert Financial Corp.                   21,700      68,030  
  #   Sierra Bancorp                            27,607     436,191  
  *   Signature Bank                            59,677   1,764,649  
      Simmons First National Corp. Class A      40,238   1,143,564  
  #   Smithtown Bancorp, Inc.                   30,866     586,763  
  #   South Financial Group, Inc.              137,000     931,600  
  #   South Street Financial Corp.                 400       2,250  
  *   Southcoast Financial Corp.                 8,156      93,998  
      Southern Banc Co., Inc.                      200       2,160  
      Southern Community Financial Corp.        18,584      90,504  
  *   Southern Connecticut Bancorp, Inc.         2,000      13,700  
  *   Southern First Bancshares, Inc.            6,125      69,029  
      Southside Bancshares, Inc.                26,236     570,633  
      Southwest Bancorp, Inc.                   42,876     722,032  
      Southwest Georgia Financial Corp.            653      11,134  
  *   Specialty Underwriters’ Alliance, Inc.     2,986      15,677  
      State Auto Financial Corp.               114,012   3,519,550  
  #   State Bancorp, Inc.                       34,660     514,701  
  #   StellarOne Corp.                          31,217     524,133  
      Sterling Bancorp                          52,743     822,263  
      Sterling Bancshares, Inc.                199,782   1,965,855  
  #   Sterling Financial Corp.                 137,207   1,398,139  
      Stewart Information Services Corp.        46,300     866,273  
  *   Stifel Financial Corp.                    62,250   2,544,158  
  *   Stratus Properties, Inc.                  20,345     590,615  
      Suffolk Bancorp                           29,032   1,031,507  
  *   Sun American Bancorp                       2,560       5,171  
  *   Sun Bancorp, Inc.                         64,225     757,855  
* #   Superior Bancorp                          24,557     165,023  
  #   Susquehanna Bancshares, Inc.             170,328   2,721,841  
  *   Susser Holdings Corp.                      4,100      76,711  
      Sussex Bancorp                               600       4,620  
* #   SVB Financial Group                       93,186   5,223,075  
      SWS Group, Inc.                           77,707   1,568,127  
      Taylor Capital Group, Inc.                32,243     349,192  
  #   TCF Financial Corp.                      101,200   1,593,900  
  #   Team Financial, Inc.                       2,751      10,894  
      Teche Holding Co.                          2,022      67,232  
* #   Tejon Ranch Co.                           46,700   1,597,607  
  #   Temecula Valley Bancorp, Inc.             27,541     142,112  
  *   Texas Capital Bancshares, Inc.            59,712     932,104  
      TF Financial Corp.                         4,100      88,396  
  *   The Bancorp, Inc.                         41,146     189,272  
  *   The Intergroup Corp.                       1,960      32,742  
      The Phoenix Companies, Inc.              256,500   3,054,915  
      The Savannah Bancorp, Inc.                 2,325      33,829  
  #   The Wilber Corp.                           4,666      39,194  
      Thomas Properties Group, Inc.             44,362     427,206  
  *   Thomas Weisel Partners Group, Inc.        42,001     257,046  
  #   TIB Financial Corp.                        9,499      66,493  
  *   Tidelands Bancshares, Inc.                 3,700      28,046  
  #   TierOne Corp.                             55,312     312,513  
      Timberland Bancorp, Inc.                  25,454     199,559  
      Tompkins Financial Corp.                  19,256     871,912  


                                        

                                       23

--------------------------------------------------------------------------------

                                        

      Tower Financial Corp.                   2,600      25,272  
  #   Tower Group, Inc.                      46,756     979,538  
  #   TowneBank                               3,550      69,332  
  *   Tradestation Group, Inc.              117,687   1,181,577  
* #   Trenwick Group, Ltd.                   11,975           4  
* #   Triad Guaranty, Inc.                   29,202      44,679  
      Trico Bancshares                       43,500     715,140  
  #   TrustCo Bank Corp. (NY)               199,202   1,948,196  
  #   Trustmark Corp.                       108,153   2,075,456  
  #   UCBH Holdings, Inc.                   203,969   1,193,219  
      UMB Financial Corp.                   127,501   6,633,877  
  #   Umpqua Holdings Corp.                 160,026   2,233,963  
  *   Unico American Corp.                   12,100     101,035  
  #   Union Bankshares Corp.                 37,052     841,451  
      Union Bankshares, Inc.                  1,008      20,130  
  *   United America Indemnity, Ltd.         19,106     290,793  
      United Bancshares, Inc.                   300       3,414  
  #   United Bankshares, Inc.               109,801   2,827,376  
  *   United Capital Corp.                   11,750     291,165  
  #   United Community Banks, Inc.          123,312   1,450,149  
      United Community Financial Corp.       80,179     289,446  
      United Financial Bancorp, Inc.         29,146     372,777  
      United Fire & Casualty Co.             76,486   2,274,694  
  *   United PanAm Financial Corp.           52,952     196,452  
  #   United Security Bancshares (CA)        23,223     336,037  
      United Western Bancorp, Inc.           14,231     154,691  
      Unity Bancorp, Inc.                     8,914      51,077  
  *   Universal American Corp.              150,488   1,981,927  
      Universal Insurance Holdings, Inc.     74,080     276,318  
      Univest Corporation of Pennsylvania    36,652   1,058,876  
      Valley National Bancorp                 1,852      37,059  
      ViewPoint Financial Group              47,768     782,918  
  #   Vineyard National Bancorp Co.          35,043      23,479  
  *   Virginia Commerce Bancorp, Inc.        76,351     403,133  
      VIST Financial Corp.                    3,437      46,400  
  *   Waccamaw Bankshares, Inc.               1,300       8,450  
      Wainwright Bank & Trust Co.               605       5,391  
      Washington Banking Co.                 23,182     213,274  
  #   Washington Federal, Inc.              149,312   2,572,646  
      Washington Trust Bancorp, Inc.         38,297     940,957  
* #   Waterstone Financial, Inc.             48,258     474,376  
      Wayne Savings Bancshares, Inc.          1,800      17,406  
      Webster Financial Corp.               116,123   2,475,742  
      Wesbanco, Inc.                         73,148   1,812,607  
  #   West Bancorporation                    57,458     696,966  
      West Coast Bancorp                     45,395     498,437  
  #   Westamerica Bancorporation             85,557   4,380,518  
* #   Western Alliance Bancorp               90,897   1,181,661  
      Westwood Holdings Group, Inc.          23,797   1,144,636  
  *   White River Capital, Inc.                 400       6,300  
  #   Whitney Holding Corp.                 123,033   2,663,664  
      Willow Financial Bancorp, Inc.         43,686     433,365  
  #   Wilmington Trust Corp.                 62,731   1,472,297  
      Wilshire Bancorp, Inc.                 79,650   1,080,851  
  *   Wilshire Enterprises, Inc.              7,207      26,522  


                                        

                                       24

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      Wintrust Financial Corp.                   68,119     1,583,767  
  *   World Acceptance Corp.                     54,709     2,134,745  
* #   WSB Financial Group, Inc.                     600           702  
      WSB Holdings, Inc.                          3,500        17,150  
      WVS Financial Corp.                           482         7,688  
      Yadkin Valley Financial Corp.               7,563       123,655  
      Zenith National Insurance Corp.            90,604     3,460,167  
* #   ZipRealty, Inc.                            47,934       217,141  
Total Financials                                          398,789,139  
                                                                       
Health Care — (11.6%)                                                  
  *   A.D.A.M., Inc.                              9,300        60,357  
* #   Abaxis, Inc.                               71,370     1,419,549  
* #   Abiomed, Inc.                              81,680     1,471,874  
* #   Acadia Pharmaceuticals, Inc.              112,904       287,905  
  *   Accelr8 Technology Corp.                    2,280         8,858  
  *   Accelrys, Inc.                             91,198       467,846  
* #   Accentia Biopharmaceuticals, Inc.          60,209        47,565  
* #   Access Pharmaceuticals, Inc.                5,300        16,430  
  *   Achillion Pharmaceuticals, Inc.               727         1,905  
  *   Acorda Therapeutics, Inc.                  65,354     1,839,715  
* #   Acusphere, Inc.                            66,431        28,632  
  *   Adolor Corp.                              128,100       417,606  
* #   Advanced Life Sciences Holdings, Inc.      91,900       102,928  
* #   Advanced Medical Optics, Inc.             121,625     2,630,749  
  *   ADVENTRX Pharmaceuticals, Inc.            161,900        45,348  
  *   Affymax, Inc.                              11,425       214,105  
* #   Affymetrix, Inc.                          230,299     1,975,965  
  *   Air Methods Corp.                          38,330     1,106,587  
* #   Akorn, Inc.                               241,310     1,170,354  
  *   Albany Molecular Research, Inc.           100,956     1,759,663  
* #   Alexza Pharmaceuticals, Inc.               63,794       338,746  
* #   Align Technology, Inc.                    188,140     2,453,346  
  *   Alkermes, Inc.                            288,901     3,862,606  
  *   Alliance Imaging, Inc.                    150,000     1,741,500  
  *   Allied Healthcare International, Inc.     140,851       319,732  
  *   Allied Healthcare Products, Inc.           11,045        69,860  
  *   Allion Healthcare, Inc.                    39,821       275,163  
  *   Allos Therapeutics, Inc.                  210,838     1,967,119  
* #   Allscripts Healthcare Solutions, Inc.     165,624     2,375,048  
  *   Almost Family, Inc.                        13,308       601,655  
* #   Alnylam Pharmaceuticals, Inc.             114,905     3,406,933  
  #   Alpharma, Inc. Class A                    123,388     4,404,952  
  *   Alteon, Inc.                                1,136         1,818  
  *   Altus Pharmaceuticals, Inc.                19,900        31,641  
* #   Amag Pharmaceuticals, Inc.                 43,424     1,680,075  
* #   Amedisys, Inc.                             80,834     4,301,985  
  *   America Services Group, Inc.               29,845       323,520  
  *   American Caresource Holding, Inc.          14,308       115,466  
  *   American Claims Evaluation, Inc.            1,000         1,140  
  *   American Dental Partners, Inc.             37,992       474,900  
* #   American Medical Systems Holdings, Inc.   205,460     3,657,188  
  *   American Shared Hospital Services           9,244        25,883  
  *   AMERIGROUP Corp.                          164,300     4,252,084  
  *   AMICAS, Inc.                              126,264       369,954  


                                        

                                       25

--------------------------------------------------------------------------------

                                        

  *   AMN Healthcare Services, Inc.               99,100   1,882,900  
  *   Amsurg Corp.                                90,113   2,442,963  
  *   Anadys Pharmaceuticals, Inc.                19,854      52,415  
      Analogic Corp.                              40,065   2,712,401  
  *   Anesiva, Inc.                               64,845     142,011  
  *   Angeion Corp.                                  215       1,107  
  *   AngioDynamics, Inc.                         55,557     912,802  
  *   Anika Therapeutics, Inc.                    33,386     284,783  
* #   Antigenics, Inc.                           139,379     242,519  
  *   AP Pharma, Inc.                             10,290      15,126  
  *   APP Pharmaceuticals, Inc.                   59,627   1,411,371  
  *   Apria Healthcare Group, Inc.               128,200   2,535,796  
  *   Aradigm Corp.                               13,657       8,877  
  *   Arcadia Resources, Inc.                    123,472      33,337  
* #   Ardea Biosciences, Inc.                     19,200     255,744  
* #   Arena Pharmaceuticals, Inc.                174,716   1,060,526  
* #   Ariad Pharmaceuticals, Inc.                213,568     664,196  
  *   Arqule, Inc.                               107,399     378,044  
* #   Array BioPharma, Inc.                      132,903   1,085,818  
  *   Arrhythmia Research Technology, Inc.         8,700      44,849  
* #   Arthrocare Corp.                            78,910   2,023,252  
* #   Aspect Medical Systems, Inc.                67,623     353,668  
  *   Assisted Living Concepts, Inc.             102,822     727,980  
* #   AtheroGenics, Inc.                         113,700      73,905  
  *   AtriCure, Inc.                              28,499     292,115  
  #   Atrion Corp.                                 6,330     729,722  
  *   ATS Medical, Inc.                          119,797     354,599  
* #   Auxilium Pharmaceuticals, Inc.              89,101   3,502,560  
  *   Avalon Pharmaceuticals, Inc.                35,161      19,342  
* #   AVANIR Pharmaceuticals Class A              91,935      80,995  
* #   AVANT Immunotherapeutics, Inc.              29,345     405,841  
* #   AVI BioPharma, Inc.                        155,300     173,936  
  *   Avigen, Inc.                                97,151     396,376  
  *   Bioanalytical Systems, Inc.                  5,617      27,299  
* #   BioCryst Pharmaceuticals, Inc.             102,436     345,209  
  *   Bio-Imaging Technologies, Inc.              52,220     413,060  
* #   BioLase Technology, Inc.                    74,688     191,201  
  *   BioMimetic Therapeutics, Inc.               36,687     422,634  
  *   Bio-Reference Laboratories, Inc.            39,186   1,110,139  
  *   BioSante Pharmaceuticals, Inc.              75,556     390,625  
  *   BioScrip, Inc.                             121,967     490,307  
  *   BioSphere Medical, Inc.                     57,953     242,823  
* #   Bovie Medical Corp.                         54,492     397,792  
  #   Brookdale Senior Living, Inc.               29,100     641,655  
  *   Bruker BioSciences Corp.                   322,519   4,979,693  
* #   BSD Medical Corp.                           69,146     549,711  
* #   Cadence Pharmaceuticals, Inc.               55,244     547,468  
* #   Caliper Life Sciences, Inc.                153,974     460,382  
      Cambrex Corp.                               84,680     549,573  
  *   Candela Corp.                               76,010     232,591  
  *   Cantel Medical Corp.                        46,460     445,551  
  *   Capital Senior Living Corp.                 86,010     676,899  
  *   Caraco Pharmaceutical Laboratories, Ltd.    79,592   1,281,431  
  *   Cardiac Science Corp.                       63,623     652,136  
  *   Cardica, Inc.                               30,842     251,054  


                                        

                                       26

--------------------------------------------------------------------------------

                                        

  *   CardioDynamics International Corp.    12,700      17,399  
  *   Cardiotech International, Inc.        55,063      26,986  
* #   Cardium Therapeutics, Inc.             2,100       4,305  
  *   CAS Medical Systems, Inc.                106         353  
  *   Celera Corp.                         510,795   7,151,130  
* #   Cell Genesys, Inc.                   214,620     210,328  
* #   Cell Therapeutics, Inc.               39,625       9,153  
  *   Centene Corp.                        129,100   2,915,078  
* #   Cepheid, Inc.                        178,706   3,323,932  
  *   Cerus Corp.                           86,832     387,271  
  *   Chad Therapeutics, Inc.                9,065       1,858  
      Chemed Corp.                          76,165   3,331,457  
  *   Clarient, Inc.                        19,000      40,850  
* #   Cleveland Biolabs, Inc.                8,704      43,346  
* #   Clinical Data, Inc.                   48,239     797,391  
* #   Columbia Laboratories, Inc.          140,151     511,551  
* #   Combimatrix Corp.                     10,313     148,095  
* #   Combinatorx, Inc.                     89,773     283,683  
      Computer Programs & Systems, Inc.     30,201     819,353  
* #   Conceptus, Inc.                       84,064   1,420,682  
  *   Conmed Corp.                          77,642   2,481,438  
  *   Continucare Corp.                      6,598      16,759  
  #   Cooper Companies, Inc.                81,450   2,999,804  
  *   Corcept Therapeutics, Inc.            63,406     117,935  
  *   Cortex Pharmaceuticals, Inc.          83,000      76,360  
  *   Corvel Corp.                          41,673   1,213,101  
  *   CPEX Pharmaceuticals, Inc.             6,125     101,124  
* #   Critical Therapeutics, Inc.           92,403      24,025  
  *   Cross Country Healthcare, Inc.        88,958   1,393,972  
  *   CryoLife, Inc.                        74,900   1,181,922  
  *   Cubist Pharmaceuticals, Inc.         157,497   3,469,659  
  *   CuraGen Corp.                        172,103     165,219  
  *   Curis, Inc.                          120,759     210,121  
  *   Cutera, Inc.                          43,085     481,259  
* #   CV Therapeutics, Inc.                160,805   1,847,649  
* #   Cyberonics, Inc.                      74,636   1,600,942  
  *   Cyclacel Pharmaceuticals, Inc.        69,644     117,002  
  *   Cynosure, Inc. Class A                17,800     441,084  
* #   Cypress Bioscience, Inc.             104,863     719,360  
  *   Cytokinetics, Inc.                    75,528     392,746  
  *   Cytomedix, Inc.                       36,200      27,874  
* #   Cytori Therapeutics, Inc.             55,237     352,964  
* #   CytRx Corp.                            1,700       1,020  
      Datascope Corp.                       44,121   2,206,050  
      Daxor Corp.                            8,978     165,195  
  *   Del Global Technologies Corp.         21,254      31,881  
* #   Dendreon Corp.                       247,479   1,455,177  
* #   DepoMed, Inc.                        149,214     652,065  
* #   Dexcom, Inc.                          81,264     559,096  
  *   Dialysis Corporation of America       17,204     135,395  
  *   Digirad Corp.                         28,926      45,703  
  *   Dionex Corp.                          56,015   3,651,618  
* #   Discovery Laboratories, Inc.         248,926     497,852  
* #   Durect Corp.                         204,316   1,082,875  
  *   DUSA Pharmaceuticals, Inc.            62,661     104,017  


                                        

                                       27

--------------------------------------------------------------------------------

                                        

  *   Dyadic International, Inc.                  21,100       2,427  
  *   Dyax Corp.                                 179,149     859,915  
* #   Dynacq Healthcare, Inc.                     21,151     102,582  
* #   Dynavax Technologies Corp.                 117,492     192,687  
  *   Eclipsys Corp.                              97,890   2,183,926  
  *   Elite Pharmaceuticals, Inc.                 64,000      14,720  
  *   Emageon, Inc.                               38,606      93,040  
* #   Emergency Medical Services Corp. Class A    18,690     622,003  
  *   Emergent Biosolutions, Inc.                 45,500     630,630  
* #   Emeritus Corp.                              75,951   1,687,631  
  *   Emisphere Technologies, Inc.                84,542     308,578  
  *   Encision, Inc.                               2,013       3,422  
* #   Endocare, Inc.                               8,166      20,007  
  *   Endologix, Inc.                            133,985     364,439  
* #   Entremed, Inc.                             175,076      82,286  
  *   Enzo Biochem, Inc.                         107,004   1,385,702  
* #   Enzon Pharmaceuticals, Inc.                129,700   1,173,785  
* #   Epicept Corp.                               11,901       7,498  
* #   EPIX Pharmaceuticals, Inc.                  97,783     173,076  
  *   eResearch Technology, Inc.                 167,069   2,253,761  
  *   Escalon Medical Corp.                        3,000       8,310  
  *   etrials Worldwide, Inc.                     41,371      62,057  
* #   ev3, Inc.                                  219,432   2,679,265  
  *   Evotec AG Sponsored ADR                     47,616     192,845  
  *   Exact Sciences Corp.                        86,068      92,093  
  *   Exactech, Inc.                              29,897     773,435  
* #   Exelixis, Inc.                             281,150   1,599,744  
* #   Farville, Inc.                              10,420         552  
  *   Five Star Quality Care, Inc.                97,800     393,156  
  *   Genaera Corp.                                3,716       4,199  
* #   Genitope Corp.                             106,550       5,328  
  *   Genomic Health, Inc.                        57,056   1,275,202  
* #   Genta, Inc.                                 43,765      14,880  
  *   Gentiva Health Services, Inc.               79,163   2,203,106  
* #   GenVec, Inc.                               242,589     332,347  
* #   Geron Corp.                                208,109     955,220  
  *   Greatbatch, Inc.                            63,988   1,562,587  
* #   GTC Biotherapeutics, Inc.                   47,267      22,925  
* #   GTx, Inc.                                   82,441   1,460,030  
  *   Haemonetics Corp.                           78,447   4,920,196  
* #   Halozyme Therapeutics, Inc.                146,348   1,141,514  
* #   Hana Biosciences, Inc.                       6,554       3,474  
  *   Hanger Orthopedic Group, Inc.               53,352     903,249  
  *   Harvard Bioscience, Inc.                   101,036     462,745  
  *   Health Grades, Inc.                         69,856     232,620  
  *   Health Management Associates, Inc.         578,450   3,360,795  
  *   HealthAxis, Inc.                               750         345  
  *   HealthExtras, Inc.                         119,940   3,910,044  
* #   HEALTHSOUTH Corp.                          175,755   3,161,832  
  *   Healthspring, Inc.                         177,570   3,526,540  
  *   HealthStream, Inc.                          70,972     203,690  
  *   HealthTronics, Inc.                        100,136     422,574  
  *   Healthways, Inc.                            82,200   1,565,910  
* #   Hemispherx Biopharma, Inc.                 173,100     112,515  
  #   Hill-Rom Holdings, Inc.                     81,033   2,426,128  


                                        

                                       28

--------------------------------------------------------------------------------

                                        

  * #   Hi-Tech Pharmacal Co., Inc.            34,325     321,625  
    *   HMS Holdings Corp.                     68,234   1,691,521  
    *   Hollis-Eden Pharmaceuticals, Inc.      76,053     127,769  
    *   Home Diagnostics, Inc.                 22,009     227,353  
        Hooper Holmes, Inc.                   221,494     338,886  
    *   Human Genome Sciences, Inc.           361,508   2,678,774  
  * #   Hythiam, Inc.                          71,290     153,986  
    *   IBioPharma, Inc.                       40,600      64,960  
    *   Icagen, Inc.                            5,800       8,236  
    *   ICU Medical, Inc.                      41,450   1,258,837  
    *   Idenix Pharmaceuticals, Inc.          110,835     901,089  
  * #   Idera Pharmaceuticals, Inc.            62,058     907,288  
  * #   IDM Pharma, Inc.                       43,569     157,720  
    *   I-Flow Corp.                           68,500     671,985  
    *   Immtech International, Inc.            42,717      28,620  
    *   Immucor, Inc.                         119,529   3,850,029  
    *   Immunicon Corp.                        82,243       4,935  
  * #   ImmunoGen, Inc.                       125,253     673,861  
  * #   Immunomedics, Inc.                    188,800     407,808  
    *   IMPATH Bankruptcy Liquidating Trust    21,200       5,512  
* # †   Impax Laboratories, Inc.              123,844     990,876  
    *   Implant Sciences Corp.                 37,100      37,842  
    *   Incyte Corp.                          241,715   2,472,744  
  * #   Indevus Pharmaceuticals, Inc.         204,990     450,978  
    *   Infinity Pharmaceuticals, Inc.         63,284     466,403  
    *   Inhibitex, Inc.                        30,600      18,666  
    *   Inovio Biomedical Corp.               120,190     115,382  
    *   Insite Vision, Inc.                     9,715       5,246  
  * #   Insmed, Inc.                           35,318      16,953  
  * #   Inspire Pharmaceuticals, Inc.         137,320     617,940  
  * #   Integra LifeSciences Holdings          79,758   3,867,465  
    *   IntegraMed America, Inc.               25,260     206,374  
    *   Interleukin Genetics, Inc.             42,433      42,433  
  * #   InterMune, Inc.                        98,500   1,868,545  
  * #   Interpharm Holdings, Inc.              59,000         767  
  * #   Introgen Therapeutics, Inc.           123,093     114,476  
        Invacare Corp.                        104,500   2,657,435  
    *   Inventiv Health, Inc.                  83,677   1,846,751  
    *   Iridex Corp.                           24,249      96,996  
  * #   IRIS International, Inc.               55,624   1,030,156  
  * #   Isis Pharmaceuticals, Inc.            251,513   4,446,750  
  * #   Isolagen, Inc.                        114,700     153,698  
    *   IsoRay, Inc.                            4,000       3,600  
    *   Ista Pharmaceuticals, Inc.             91,545     164,781  
    *   IVAX Diagnostics, Inc.                 15,500       9,300  
    *   Javelin Pharmaceuticals, Inc.         119,300     332,847  
  * #   Kendle International, Inc.             42,903   2,121,553  
    *   Kensey Nash Corp.                      33,602   1,210,008  
    *   Keryx Biopharmaceuticals, Inc.        123,650      65,535  
        Kewaunee Scientific Corp.               6,665      93,110  
    *   Kindred Healthcare, Inc.              130,878   4,048,057  
    *   K-V Pharmaceutical Co. Class A        105,848   2,386,872  
    *   K-V Pharmaceutical Co. Class B         23,286     526,264  
  * #   La Jolla Pharmaceutical Co.           113,751     201,339  
        Landauer, Inc.                         26,200   1,709,812  


                                        

                                       29

--------------------------------------------------------------------------------

                                        

  *   Langer, Inc.                                8,100       8,100  
  *   Lannet Co., Inc.                           76,065     262,424  
  #   LCA-Vision, Inc.                           59,928     337,994  
  *   Lexicon Pharmaceuticals, Inc.             267,710     497,941  
* #   LHC Group, Inc.                            43,643   1,271,321  
  *   LifePoint Hospitals, Inc.                  88,300   2,979,242  
* #   Ligand Pharmaceuticals, Inc. Class B      203,300     687,154  
  *   Lipid Sciences, Inc.                       62,830      21,991  
* #   Luminex Corp.                              86,443   2,203,432  
  *   Magellan Health Services, Inc.             92,701   4,038,056  
  *   Magyar Bancorp, Inc.                        1,800      16,650  
* #   Mannkind Corp.                            139,493     453,352  
* #   Martek Biosciences Corp.                   98,720   3,298,235  
  *   Matrixx Initiatives, Inc.                  28,775     509,893  
  *   Maxygen, Inc.                             111,352     548,965  
* #   MDRNA, Inc.                                68,033      51,705  
  *   Medarex, Inc.                             344,765   2,544,366  
  *   MedCath Corp.                              60,549   1,287,877  
  *   Medical Action Industries, Inc.            46,340     610,298  
  *   Medical Staffing Network Holdings, Inc.    74,400     200,136  
  *   MediciNova, Inc.                            1,300       5,005  
  #   Medicis Pharmaceutical Corp. Class A      132,800   2,750,288  
* #   Medivation, Inc.                           55,414   1,373,713  
  *   MEDTOX Scientific, Inc.                    23,945     418,559  
  *   Memory Pharmaceuticals Corp.              151,207      49,913  
  *   Memry Corp.                                83,300     208,250  
  #   Mentor Corp.                               68,470   1,689,840  
      Merge Healthcare, Inc.                     64,793      81,639  
      Meridian Bioscience, Inc.                 113,134   3,215,268  
  *   Merit Medical Systems, Inc.                77,876   1,507,679  
  *   Metabasis Therapeutics, Inc.               97,817     146,726  
  *   Metropolitan Health Networks, Inc.        142,700     316,794  
* #   Micromet, Inc.                             68,731     428,194  
  *   Micrus Endovascular Corp.                  33,198     418,295  
* #   MiddleBrook Pharmaceuticals, Inc.         131,301     273,106  
* #   Milestone Scientific, Inc.                 17,200      12,040  
* #   Minrad International, Inc.                160,286     269,280  
* #   Molecular Insight Pharmaceuticals, Inc.     9,854      84,153  
* #   Molina Healthcare, Inc.                    75,700   2,382,279  
* #   Momenta Pharmaceuticals, Inc.              69,947   1,003,040  
  *   Monogram Biosciences, Inc.                285,665     237,102  
  *   MTS Medication Technologies                19,492     108,668  
* #   MWI Veterinary Supply, Inc.                28,360   1,117,100  
* #   Nabi Biopharmaceuticals                   185,850   1,070,496  
* #   Nanogen, Inc.                              94,714      31,256  
  *   National Dentex Corp.                       5,917      55,975  
      National Healthcare Corp.                  34,108   1,704,377  
  #   National Research Corp.                    23,274     744,768  
* #   Natus Medical, Inc.                        62,300   1,532,580  
* #   Nektar Therapeutics                       220,283     874,524  
  *   Neogen Corp.                               40,256   1,049,474  
  *   Neopharm, Inc.                             83,817      33,527  
  *   Neose Technologies, Inc.                  137,143      48,000  
  *   Nephros, Inc.                               1,209         556  
  *   Neurobiological Technologies, Inc.            385         462  


                                        

                                       30

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  *   Neurocrine Biosciences, Inc.         135,000     697,950  
* #   Neurogen Corp.                       128,649      38,595  
* #   Neurometric, Inc.                     31,830      35,968  
* #   Nighthawk Radiology Holdings, Inc.    66,509     567,322  
* #   NitroMed, Inc.                       119,157      95,326  
  *   NMT Medical, Inc.                     40,499     157,946  
  *   North American Scientific, Inc.        6,894       3,033  
* #   Northfield Laboratories, Inc.         80,185      39,291  
  *   Northstar Neuroscience, Inc.          53,275      91,100  
  *   Novacea, Inc.                         33,400      78,490  
* #   NovaMed, Inc.                         68,461     306,705  
  *   Novavax, Inc.                        195,471     539,500  
* #   Noven Pharmaceuticals, Inc.           72,228     892,016  
  *   NOVT Corp.                             6,450       8,708  
  *   NPS Pharmaceuticals, Inc.            134,020   1,085,562  
  *   Nutraceutical International Corp.     32,881     403,779  
* #   Nutrition 21, Inc.                       500         220  
* #   NuVasive, Inc.                       101,952   4,859,032  
* #   Nuvelo, Inc.                         153,281      75,874  
* #   NxStage Medical, Inc.                 89,205     338,979  
  *   Odyssey Healthcare, Inc.             100,900     982,766  
  *   Omnicell, Inc.                        83,173   1,276,706  
* #   Omrix Biopharmaceuticals, Inc.        40,400     929,200  
* #   OncoGenex Pharmaceutical, Inc.           252       1,469  
* #   Onyx Pharmaceuticals, Inc.            29,153   1,191,483  
  *   Opexa Therapeutics, Inc.               1,600       3,312  
* #   Optimer Pharmaceuticals, Inc.         51,708     411,596  
  *   OraSure Technologies, Inc.           128,350     640,467  
  *   Orchid Cellmark, Inc.                 88,489     289,359  
* #   Ore Pharmaceuticals, Inc.             16,675      20,677  
  *   Orthologic Corp.                     103,463      86,909  
* #   Oscient Pharmaceuticals Corp.         33,498      38,188  
* #   Osiris Therapeutics, Inc.             50,981     783,068  
  *   Osteotech, Inc.                       52,239     273,210  
      Owens & Minor, Inc.                  124,900   5,760,388  
  *   Oxigene, Inc.                         93,567     121,637  
* #   Pain Therapeutics, Inc.              122,622   1,146,516  
* #   PainCare Holdings, Inc.              122,196       2,566  
  *   Palatin Technologies, Inc.           129,518      18,133  
  *   Palomar Medical Technologies, Inc.    54,994     795,763  
  *   Panacos Pharmaceuticals, Inc.        139,664      71,229  
  *   Par Pharmaceutical Companies, Inc.   101,300   1,442,512  
  *   Parexel International Corp.          163,924   5,207,865  
  *   PDI, Inc.                             43,259     322,280  
  #   PDL BioPharma, Inc.                  222,867   2,690,005  
* #   Penwest Pharmaceuticals Co.           69,500     256,455  
  *   Pharmacopia, Inc.                     32,550      68,355  
  *   Pharmanet Development Group, Inc.     52,518   1,370,720  
* #   PharMerica Corp.                      50,210   1,188,471  
  *   Phase Forward, Inc.                   81,182   1,568,436  
  *   PHC, Inc.                             26,048      64,599  
  *   PhotoMedex, Inc.                      53,717      27,396  
  *   Pipex Pharmaceuticals, Inc.            9,851       6,403  
* #   Poniard Pharmaceuticals, Inc.          2,913      13,982  
* #   Pozen, Inc.                           83,667     963,844  


                                        

                                       31

--------------------------------------------------------------------------------

                                        

  *   Progenics Pharmaceuticals, Inc.        73,000   1,003,020  
  *   Prospect Medical Holdings, Inc.        18,500      41,625  
  *   Providence Service Corp.               32,753     419,566  
* #   ProxyMed, Inc.                         40,279         806  
* #   PSS World Medical, Inc.               186,900   3,414,663  
      Psychemedics Corp.                     14,625     225,225  
* #   Psychiatric Solutions, Inc.           103,913   3,922,716  
  *   QuadraMed Corp.                        26,842     241,310  
  *   Questcor Pharmaceuticals, Inc.        151,692     828,238  
  *   Quidel Corp.                           91,235   1,783,644  
* #   Quigley Corp.                          27,442     142,973  
* #   RadNet, Inc.                           70,027     435,568  
  *   Regeneration Technologies, Inc.        99,211     930,599  
  *   Regeneron Pharmaceuticals, Inc.       176,237   3,827,868  
  *   RegeneRx Biopharmaceuticals, Inc.      16,060      20,075  
  *   RehabCare Group, Inc.                  53,000     972,020  
  *   Repligen Corp.                        109,038     585,534  
* #   Repros Therapeutics, Inc.              37,170     309,626  
  *   Res-Care, Inc.                         77,930   1,499,373  
  *   Retractable Technologies, Inc.         11,000      16,830  
* #   Rigel Pharmaceuticals, Inc.            71,522   1,692,211  
* #   Rochester Medical Corp.                26,138     352,602  
* #   Rockwell Medical Technologies, Inc.    22,782     113,682  
* #   Rotech Healthcare, Inc.                12,574         880  
* #   Rural/Metro Corp.                      12,052      23,501  
  *   RXi Pharmaceuticals Corp.                  84         562  
* #   Salix Pharmaceuticals, Ltd.           139,257     946,948  
* #   Sangamo BioSciences, Inc.             103,397   1,032,936  
  *   Santarus, Inc.                        172,265     403,100  
* #   Savient Pharmaceuticals, Inc.         155,946   3,544,653  
  *   SciClone Pharmaceuticals, Inc.        142,976     213,034  
  #   Sciele Pharma, Inc.                    99,619   1,919,658  
  *   SCOLR Pharma, Inc.                     25,800      26,316  
  *   Seattle Genetics, Inc.                157,435   1,755,400  
  *   Senesco Technologies, Inc.             15,300      19,890  
  *   Senomyx, Inc.                          84,798     356,152  
  *   SenoRx, Inc.                            5,289      32,104  
* #   Sequenom, Inc.                        103,058   2,342,508  
  *   SeraCare Life Sciences, Inc.           42,521     159,454  
* #   Signalife, Inc.                         3,100         186  
* #   Sirona Dental Systems, Inc.           104,044   2,860,170  
  *   Somanetics Corp.                       38,279     949,319  
* #   Somaxon Pharmaceuticals, Inc.          32,978     153,018  
  *   Sonic Innovations, Inc.                85,084     254,401  
* #   SonoSite, Inc.                         46,645   1,576,601  
      Span-American Medical System, Inc.      9,442     121,235  
  *   Spectranetics Corp.                    84,472     679,155  
* #   Spectrum Pharmaceuticals, Inc.         82,008     140,234  
  *   SRI/Surgical Express, Inc.             12,700      48,895  
  *   Staar Surgical Co.                     75,100     410,797  
  *   StemCells, Inc.                       235,825     287,707  
* #   Stereotaxis, Inc.                      95,609     656,834  
      Steris Corp.                          175,100   6,438,427  
  *   Strategic Diagnostics, Inc.            64,014     154,274  
  *   Sun Healthcare Group, Inc.            120,692   2,074,695  


                                        

                                       32

--------------------------------------------------------------------------------

                                        

  *   Sunesis Pharmaceuticals, Inc.            10,542        16,656  
  *   SunLink Health Systems, Inc.              1,048         3,039  
  *   Sunrise Senior Living, Inc.             131,030     2,663,840  
* #   SuperGen, Inc.                          176,232       294,307  
* #   SurModics, Inc.                          54,092     2,107,965  
  *   Symmetry Medical, Inc.                   87,200     1,500,712  
  *   Synovis Life Technologies, Inc.          35,439       778,240  
* #   Synta Pharmaceuticals Corp.              54,716       484,784  
  *   Targacept, Inc.                          18,658       170,721  
* #   Telik, Inc.                             145,638        97,577  
* #   Tercica, Inc.                           109,738       979,960  
  *   The Medicines Co.                       160,792     3,916,893  
  *   Theragenics Corp.                        96,500       323,275  
* #   Theravance, Inc.                         88,041     1,199,999  
  *   Thoratec Corp.                          147,043     3,917,226  
  *   Threshold Pharmaceuticals, Inc.          10,400        19,240  
  *   Titan Pharmaceuticals, Inc.             125,683        50,273  
  *   Torreypines Therapeutics, Inc.            1,446           839  
  *   Transcend Services, Inc.                  1,798        22,889  
  #   Trimeris, Inc.                           62,478       253,661  
  *   U.S. Physical Therapy, Inc.              41,461       821,342  
  *   United Therapeutics Corp.                32,468     3,445,829  
  *   Urologix, Inc.                           44,142        78,131  
  *   Uroplasty, Inc.                          24,291        65,586  
      Utah Medical Products, Inc.              13,529       384,224  
  #   Valeant Pharmaceuticals International   262,887     4,813,461  
* #   Vanda Pharmaceuticals, Inc.              35,350        39,592  
  *   Varian, Inc.                             80,699     4,011,547  
  *   Vascular Solutions, Inc.                 45,239       377,746  
  *   Vaxgen, Inc.                              7,600         5,358  
  *   Vermillion, Inc.                          7,108        10,307  
  *   Via Pharmaceuticals, Inc.                   102           163  
* #   Vical, Inc.                             113,923       365,693  
* #   ViroPharma, Inc.                        195,274     2,860,764  
  *   Vision-Sciences, Inc.                     4,525        18,507  
  *   Vital Images, Inc.                       48,092       755,044  
      Vital Signs, Inc.                        36,740     2,713,249  
  *   Vivus, Inc.                             198,465     1,677,029  
  *   Vnus Medical Technologies                29,484       653,660  
  *   Volcano Corp.                            89,468     1,643,527  
* #   WebMD Health Corp. Class A               15,937       504,565  
      West Pharmaceutical Services, Inc.       91,700     4,475,877  
  *   Wright Medical Group, Inc.               99,926     3,076,722  
  *   Xenoport, Inc.                           70,751     3,454,771  
  *   XOMA, Ltd.                              147,210       304,725  
      Young Innovations, Inc.                   5,477       112,224  
* #   Zila, Inc.                               75,929        25,057  
* #   Zoll Medical Corp.                       56,424     1,961,862  
* #   Zymogenetics, Inc.                      194,614     1,623,081  
Total Health Care                                       444,092,119  
                                                                     
Industrials — (14.4%)                                                
* #   3-D Systems Corp.                        54,136       661,542  
  *   A. T. Cross Co. Class A                  48,813       348,525  
      A.O. Smith Corp.                         64,250     2,645,173  


                                        

                                       33

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      AAON, Inc.                               54,083   1,155,213  
* #   AAR Corp.                               118,483   1,880,325  
      ABM Industries, Inc.                    139,789   3,673,655  
  *   Acco Brands Corp.                       170,079   1,443,971  
  *   Accuride Corp.                           78,512     114,628  
      Aceto Corp.                              72,575     619,791  
* #   Active Power, Inc.                      141,686     107,681  
      Actuant Corp.                           156,556   4,939,342  
  #   Acuity Brands, Inc.                      70,399   3,063,060  
      Administaff, Inc.                        83,300   2,282,420  
  *   AeroCentury Corp.                         1,200      15,312  
  *   Aerosonic Corp.                          10,400      24,960  
  *   Aerovironment, Inc.                      38,302   1,281,585  
  *   Air Transport Services Group, Inc.      175,716     173,959  
* #   Airtran Holdings, Inc.                  265,329     636,790  
      Alamo Group, Inc.                        27,905     584,052  
  *   Alaska Air Group, Inc.                  117,407   2,466,721  
      Albany International Corp. Class A       86,188   2,643,386  
      Alexander & Baldwin, Inc.                43,764   1,957,564  
* #   Allegiant Travel Co.                     21,974     681,414  
  *   Allied Defense Group, Inc.               17,800     127,270  
  *   Altra Holdings, Inc.                     52,859     950,933  
  *   Amerco, Inc.                             38,085   1,587,383  
      American Ecology Corp.                   57,950   1,881,057  
  *   American Locker Group, Inc.                 300         998  
  #   American Railcar Industries, Inc.        41,910     679,361  
* #   American Reprographics Co.               95,834   1,697,220  
      American Science & Engineering, Inc.     26,300   1,756,840  
* #   American Superconductor Corp.           103,499   2,542,970  
  #   American Woodmark Corp.                  45,822   1,088,731  
      Ameron International Corp.               25,302   2,956,792  
      Ampco-Pittsburgh Corp.                   30,315   1,316,884  
  *   Amrep Corp.                              20,070   1,083,780  
  *   APAC Customer Services, Inc.            164,301     368,034  
      Apogee Enterprises, Inc.                 81,011   1,620,220  
* #   Applied Energetics, Inc.                248,886     358,396  
      Applied Industrial Technologies, Inc.   102,825   2,993,236  
      Applied Signal Technologies, Inc.        40,737     674,197  
  *   Argan, Inc.                               8,415     143,055  
  *   Argon ST, Inc.                           63,425   1,583,722  
  #   Arkansas Best Corp.                      68,300   2,364,546  
* #   Arotech Corp.                            37,820      55,217  
      Art’s-Way Manufacturing Co., Inc.           400       5,252  
  *   Astec Industries, Inc.                   62,395   2,146,388  
  *   Astronics Corp.                          23,286     565,617  
  *   Atlas Air Worldwide Holding, Inc.        77,065   4,449,733  
  *   Avalon Holding Corp. Class A              4,950      21,285  
* #   Avis Budget Group, Inc.                   5,000      38,100  
  *   Axsys Technologies, Inc.                 34,573   2,348,544  
  *   AZZ, Inc.                                37,400   1,625,030  
  #   Badger Meter, Inc.                       41,895   1,928,846  
* #   Baker (Michael) Corp.                    25,400     879,348  
  #   Baldor Electric Co.                     122,833   4,377,768  
  *   Baldwin Technology Co., Inc. Class A     28,039      88,603  
      Barnes Group, Inc.                      154,669   3,730,616  


                                        

                                       34

--------------------------------------------------------------------------------

                                        

      Barrett Business Services, Inc.        34,726     503,527  
  *   Beacon Roofing Supply, Inc.            87,769   1,428,879  
  #   Belden, Inc.                          151,150   5,553,251  
  *   Blount International, Inc.            137,000   1,728,940  
  #   BlueLinx Holdings, Inc.                76,100     548,681  
      Bowne & Co., Inc.                      68,860     833,206  
      Brady Co. Class A                      76,176   2,796,421  
  *   Breeze-Eastern Corp.                   29,596     314,310  
  #   Briggs & Stratton Corp.               141,200   2,118,000  
  *   BTU International, Inc.                28,642     280,405  
* #   Builders FirstSource, Inc.            105,846     536,639  
  *   Butler International, Inc.              8,000       3,360  
  #   C&D Technologies, Inc.                 84,668     651,097  
* #   CAI International, Inc.                 3,810      56,388  
  *   Cano Petroleum, Inc.                   86,018     272,677  
* #   Capstone Turbine Corp.                303,200     824,704  
      Carlisle Companies, Inc.               87,688   2,840,214  
      Cascade Corp.                          35,700   1,852,116  
  *   Casella Waste Systems, Inc. Class A    76,289   1,015,407  
  *   CBIZ, Inc.                            206,495   1,755,208  
      CDI Corp.                              57,200   1,435,720  
  *   CECO Environmental Corp.               35,213     167,614  
  *   Celadon Group, Inc.                    68,301     879,034  
* #   Cenveo, Inc.                          153,300   1,589,721  
* #   Ceradyne, Inc.                         77,636   3,498,278  
      Champion Industries, Inc.              29,129     136,324  
  *   Channell Commercial Corp.               7,000       2,660  
  *   Chart Industries, Inc.                 56,497   2,609,031  
      Chase Corp.                            28,581     494,451  
      Chicago Rivet & Machine Co.               200       4,190  
      CIRCOR International, Inc.             45,390   2,735,201  
      Clarcor, Inc.                         146,600   5,853,738  
  *   Clean Harbors, Inc.                    58,564   4,751,883  
* #   Coleman Cable, Inc.                    27,644     324,817  
  *   Columbus McKinnon Corp.                53,995   1,473,524  
  *   Comforce Corp.                          8,877      18,020  
      Comfort Systems USA, Inc.             116,319   1,772,702  
  *   Commercial Vehicle Group, Inc.         65,056     666,173  
  *   Competitive Technologies, Inc.         25,772      64,430  
      CompX International, Inc.               5,400      39,420  
  *   COMSYS IT Partners, Inc.               58,256     689,751  
  *   Conrad Industries, Inc.                 6,900      86,250  
* #   Consolidated Graphics, Inc.            38,682   1,503,569  
      Con-way, Inc.                          51,982   2,552,316  
  *   Cornell Companies, Inc.                33,100     898,003  
      Corporate Executive Board Co.          67,421   2,454,124  
  *   Corrpro Companies, Inc.                 6,875       9,006  
* #   CoStar Group, Inc.                     54,783   2,893,090  
  *   Covenant Transport Group Class A       29,155     127,990  
  *   CPI Aerostructures, Inc.               14,666     118,061  
  *   CRA International, Inc.                33,600   1,340,304  
      Cubic Corp.                            76,295   2,112,609  
      Curtiss-Wright Corp.                  121,900   6,566,753  
      Deluxe Corp.                          172,530   2,848,470  
  *   Devcon International Corp.              3,500       2,450  


                                        

                                       35

--------------------------------------------------------------------------------

                                        

      Diamond Management & Technology Consultants, Inc.    94,450     564,811  
  *   Distributed Energy Systems Corp.                     94,400       3,021  
* #   Document Securities Systems, Inc.                    45,540     225,423  
* #   Dollar Thrifty Automotive Group, Inc.                67,500     313,875  
* #   Double Eagle Petroleum Co.                           18,341     298,225  
      Ducommun, Inc.                                       30,296     801,935  
  *   DXP Enterprises, Inc.                                15,400     909,370  
  *   Dynamex, Inc.                                        31,816     937,936  
      Dynamic Materials Corp.                              34,950   1,075,412  
  *   DynCorp International, Inc. Class A                 109,619   1,730,884  
  #   Eagle Bulk Shipping, Inc.                           121,867   3,225,819  
  *   Eagle Test Systems, Inc.                             45,870     650,437  
      Eastern Co.                                          20,160     295,344  
      Ecology & Environment, Inc. Class A                   3,936      41,722  
      Electro Rent Corp.                                   72,456     986,851  
  *   EMCOR Group, Inc.                                   184,900   6,299,543  
  #   Encore Wire Corp.                                    66,069   1,259,936  
* #   Ener1, Inc.                                         141,400   1,054,844  
* #   Energy Conversion Devices, Inc.                      10,960     823,863  
* #   Energy Focus, Inc.                                   33,400      82,498  
  *   EnerSys                                             135,500   3,810,260  
* #   ENGlobal Corp.                                       79,900   1,383,069  
      Ennis, Inc.                                          74,400   1,228,344  
  *   EnPro Industries, Inc.                               57,000   2,402,550  
  *   Environmental Tectonics Corp.                         7,400      16,650  
  *   ESCO Technologies, Inc.                              74,100   3,527,901  
      Espey Manufacturing & Electronics Corp.               7,866     170,692  
  *   Esterline Technologies Corp.                         73,200   4,135,068  
  *   Evercel, Inc.                                           466         382  
* #   Evergreen Solar, Inc.                               290,129   2,735,916  
* #   Exide Technologies                                  142,956   1,764,077  
  *   Exponent, Inc.                                       42,910   1,319,912  
  *   ExpressJet Holdings, Inc.                           152,700      30,540  
      Federal Signal Corp.                                137,000   2,196,110  
  *   First Advantage Corp.                                38,726     647,886  
  *   First Aviation Services, Inc.                         6,000      10,740  
* #   Flanders Corp.                                       82,897     581,108  
* #   Flow International Corp.                            101,278     687,678  
* †   FLYi, Inc.                                               97           —  
  *   Fortune Industries, Inc.                                454         522  
  #   Forward Air Corp.                                    86,900   3,066,701  
  #   Franklin Electric Co., Inc.                          65,020   2,815,366  
      Freightcar America, Inc.                             26,900     994,493  
* #   Frontier Airlines Holdings, Inc.                     84,304      23,605  
      Frozen Food Express Industries, Inc.                 50,882     307,836  
* #   Fuel Tech, Inc.                                      41,400     759,276  
* #   FuelCell Energy, Inc.                               188,825   1,310,446  
* #   Furmanite Corp.                                     101,370   1,207,317  
      G & K Services, Inc. Class A                         61,302   2,114,306  
  *   Gardner Denver Machinery, Inc.                       25,876   1,168,043  
      GATX Corp.                                           52,690   2,309,403  
* #   Gehl Co.                                             35,350     532,725  
  #   Genco Shipping & Trading, Ltd.                       57,160   3,586,218  
      Gencorp, Inc.                                       162,611   1,269,992  
      General Employment Enterprises, Inc.                  4,817       2,938  


                                        

                                       36

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  *   Genesee & Wyoming, Inc.                    108,675   4,674,112  
  *   GeoEye, Inc.                                36,948     914,463  
  *   GeoPetro Resources Co.                       2,861       6,580  
  *   Global Cash Access, Inc.                   139,524     835,749  
  *   Global Payment Technologies, Inc.            3,600       1,152  
  #   Gorman-Rupp Co.                             47,868   1,925,730  
  *   GP Strategies Corp.                         48,452     442,367  
  *   Graftech International, Ltd.               272,400   5,535,168  
  #   Graham Corp.                                 8,995     840,133  
      Granite Construction, Inc.                 127,100   4,662,028  
  *   Great Lakes Dredge & Dock Corp.              3,211      24,050  
      Greenbrier Companies, Inc.                  49,200     986,460  
* #   Griffon Corp.                               85,280   1,044,680  
      Hardinge, Inc.                              31,360     506,150  
  *   Hawaiian Holdings, Inc.                    139,175   1,256,750  
  #   Healthcare Services Group, Inc.            121,163   2,360,255  
      Heartland Express, Inc.                    277,941   4,591,585  
  #   Heico Corp.                                 61,600   2,194,808  
      Heico Corp. Class A                         43,263   1,245,974  
  #   Heidrick & Struggles International, Inc.    50,907   1,545,537  
  *   Henry Bros. Electronics, Inc.               13,944      89,939  
  *   Herley Industries, Inc.                     39,662     761,510  
  #   Herman Miller, Inc.                        113,270   3,187,418  
* #   Hexcel Corp.                               258,613   5,373,978  
  *   Hill International, Inc.                   110,619   2,129,416  
  *   Hirsch International Corp. Class A           3,200       3,840  
      Hi-Shear Technology Corp.                   21,962     255,857  
  #   HNI Corp.                                   95,359   2,206,607  
* #   Hoku Scientific, Inc.                       31,465     189,419  
  #   Horizon Lines, Inc. Class A                 70,596     916,336  
      Houston Wire & Cable Co.                    32,302     544,612  
* #   HQ Sustainable Maritime Industries, Inc.    28,077     200,189  
  *   Hub Group, Inc. Class A                    111,376   4,448,357  
  *   Hudson Highland Group, Inc.                 75,100     691,671  
  *   Hudson Technologies, Inc.                    3,900       9,126  
* #   Hurco Companies, Inc.                       18,760     608,387  
* #   Huron Consulting Group, Inc.                38,410   2,476,677  
  *   Huttig Building Products, Inc.              65,980     143,177  
  *   ICF International, Inc.                        800      14,776  
  *   ICT Group, Inc.                             45,473     368,331  
  *   II-VI, Inc.                                 84,004   3,688,616  
      IKON Office Solutions, Inc.                312,160   5,403,490  
* #   Innerworkings, Inc.                         87,315   1,035,556  
  *   Innotrac Corp.                              16,000      59,200  
* #   Innovative Solutions & Support, Inc.        55,430     332,026  
  *   Insituform Technologies, Inc. Class A       77,119   1,415,905  
      Insteel Industries, Inc.                    50,900     870,390  
  *   Integrated Electrical Services, Inc.        45,733     979,144  
* #   InterDigital, Inc.                         142,197   3,773,908  
  *   Interline Brands, Inc.                      64,930   1,042,127  
  *   International Shipholding Corp.             17,200     348,300  
  *   Intersections, Inc.                         50,270     539,397  
  *   JetBlue Airways Corp.                       80,468     488,441  
  *   JPS Industries, Inc.                         8,700      63,075  
  *   Kadant, Inc.                                30,780     721,791  


                                        

                                       37

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      Kaman Corp. Class A                     70,600   2,128,590  
      Kaydon Corp.                            78,212   4,358,755  
      Kelly Services, Inc. Class A            87,766   1,697,394  
  *   Kenexa Corp.                            70,109   1,621,621  
  *   Key Technology, Inc.                    14,902     425,601  
  *   Kforce, Inc.                           113,255   1,209,563  
  #   Knight Transportation, Inc.            238,279   4,262,811  
      Knoll, Inc.                             97,400   1,604,178  
  *   Korn/Ferry International               122,020   2,169,516  
  *   K-Tron International, Inc.              10,740   1,598,005  
  *   L.B. Foster Co. Class A                  9,200     354,752  
      L.S. Starrett Co. Class A               11,108     291,474  
  *   LaBarge, Inc.                           45,910     678,091  
  *   Ladish Co., Inc.                        41,600   1,109,056  
      Lawson Products, Inc.                   25,474     767,277  
  *   Layne Christensen Co.                   44,028   2,416,257  
  *   Learning Tree International, Inc.       50,681     754,640  
  *   LECG Corp.                              73,900     602,285  
  #   Lennox International, Inc.              90,599   3,352,163  
  *   LGL Group, Inc.                          4,660      29,358  
  #   Lindsay Corp.                           34,200   2,801,322  
  *   LMI Aerospace, Inc.                     33,541     791,232  
      LSI Industries, Inc.                    59,670     514,952  
  *   Lydall, Inc.                            36,100     422,009  
* #   M&F Worldwide Corp.                     55,800   2,456,316  
  *   Mac-Gray Corp.                          25,646     297,237  
  *   Magnetek, Inc.                          93,178     428,619  
* †   MAIR Holdings, Inc.                     51,616      76,908  
* †   MAIR Holdings, Inc. Escrow Shares       51,616           —  
  *   Manitex International, Inc.              6,890      27,147  
  *   Marten Transport, Ltd.                  60,882   1,213,987  
  *   Maxco, Inc.                              3,000      10,050  
      McGrath Rentcorp.                       72,714   2,072,349  
  *   Meadow Valley Corp.                      2,300      24,403  
  *   Media Sciences International, Inc.       2,800       5,446  
  *   Medialink Worldwide, Inc.               20,206       4,041  
  *   Merrimac Industries, Inc.                2,960      15,954  
* #   Mesa Air Group, Inc.                   102,335      46,051  
* #   Metalline Mining Co.                     7,345       8,373  
      Met-Pro Corp.                           49,457     721,083  
  *   MFRI, Inc.                              19,687     221,872  
* #   Microvision, Inc.                      135,419     352,089  
* #   Middleby Corp.                          37,974   2,026,293  
* #   Milacron, Inc.                          14,030      17,538  
  *   Millennium Cell, Inc.                   39,488          32  
  *   Miller Industries, Inc.                 34,904     292,146  
  #   Mine Safety Appliances Co.             103,000   3,741,990  
  *   Misonix, Inc.                           21,400      58,422  
* #   Mobile Mini, Inc.                       98,930   2,115,123  
  *   Modtech Holdings, Inc.                  49,050       3,924  
  *   Moog, Inc. Class A                     102,846   4,874,900  
  *   Moog, Inc. Class B                       7,758     369,591  
      Mueller Industries, Inc.               102,145   2,865,167  
  #   Mueller Water Products, Inc.            48,500     527,195  
      Mueller Water Products, Inc. Class B   136,679   1,418,728  


                                        

                                       38

--------------------------------------------------------------------------------

                                        

      Multi-Color Corp.                             35,280     823,435  
      NACCO Industries, Inc. Class A                10,345   1,215,951  
  *   Nashua Corp.                                   7,100      66,101  
  *   National Patent Development Corp.             13,860      31,878  
      National Technical Systems, Inc.              20,700     103,293  
  *   Navigant Consulting, Inc.                    152,300   2,636,313  
  *   NCI Building Systems, Inc.                    54,100   2,070,948  
      Nordson Corp.                                 96,650   5,183,340  
  *   North America Galvanizing & Coatings, Inc.    34,443     352,696  
* #   Odyssey Marine Exploration, Inc.             140,567     701,429  
  *   Old Dominion Freight Line, Inc.              103,422   3,440,850  
      Omega Flex, Inc.                              24,600     530,130  
  *   On Assignment, Inc.                          107,814   1,018,842  
  *   Orbit International Corp.                      1,977       9,717  
  *   Orbital Sciences Corp.                       170,552   4,509,395  
  *   P.A.M. Transportation Services, Inc.          29,819     439,234  
      Pacer International, Inc.                     64,699   1,363,855  
  *   Paragon Technologies, Inc.                     9,200      52,440  
  *   Park-Ohio Holdings Corp.                      31,335     611,346  
  *   Patrick Industries, Inc.                       8,995      62,066  
  *   Patriot Transportation Holding, Inc.          10,778     852,216  
  *   Pemco Aviation Group Inc                       2,150       3,741  
  *   Perini Corp.                                  73,400   1,960,514  
  *   PGT, Inc.                                      5,300      27,030  
* #   PHH Corp.                                    139,700   2,130,425  
  *   Pike Electric Corp.                           68,670   1,294,430  
  *   Pinnacle Airlines Corp.                       64,200     305,592  
* #   Plug Power, Inc.                             196,443     532,361  
* #   PMFG, Inc.                                    51,872   1,388,095  
  *   Point Blank Solutions, Inc.                  116,800     321,200  
      Portec Rail Products, Inc.                    18,625     204,130  
  *   Powell Industries, Inc.                       33,383   1,474,861  
* #   Power-One, Inc.                              268,380     603,855  
      Preformed Line Products Co.                   11,414     624,802  
  *   PRG-Schultz International, Inc.               36,959     435,747  
* #   Protection One, Inc.                          13,795      97,945  
      Providence & Worcester Railroad Co.            3,900      75,660  
* #   Quality Distribution, Inc.                    57,500     258,750  
      Quanex Building Products Corp.                98,872   1,627,433  
      Quixote Corp.                                 25,340     200,186  
  #   Raven Industries, Inc.                        51,630   2,335,225  
* #   RBC Bearings, Inc.                            42,375   1,692,458  
  *   RCM Technologies, Inc.                        36,854      99,874  
      Regal-Beloit Corp.                            88,304   4,145,873  
  *   Republic Airways Holdings, Inc.              123,334   1,065,606  
  *   Resources Connection, Inc.                   137,136   3,315,948  
      Robbins & Myers, Inc.                        101,100   4,534,335  
      Rollins, Inc.                                306,575   5,447,838  
  *   Rush Enterprises, Inc. Class A                73,216     965,719  
  *   Rush Enterprises, Inc. Class B                38,231     496,621  
  *   Saia, Inc.                                    33,054     637,281  
      Schawk, Inc.                                  73,460   1,157,730  
  *   School Specialty, Inc.                        59,658   1,819,569  
  *   Schuff International, Inc.                     6,700     180,900  
      Servidyne, Inc.                                  346       1,460  


                                        

                                       39

--------------------------------------------------------------------------------

                                        

      Servotronics, Inc.                  7,820      95,404  
  *   SIFCO Industries, Inc.             18,330     186,966  
  *   Simclar, Inc.                       6,300      24,948  
  #   Simpson Manufacturing Co., Inc.   133,541   3,712,440  
      Skywest, Inc.                     171,073   2,923,638  
  *   SL Industries, Inc.                10,946     144,487  
  *   SmartPros, Ltd.                    10,300      39,552  
  *   SPACEHAB, Inc.                      1,822         838  
  *   Sparton Corp.                      11,727      48,667  
  *   Spherion Corp.                    139,620     723,232  
  *   Spherix, Inc.                      46,095      28,118  
* #   Spire Corp.                        24,326     270,505  
  *   Standard Parking Corp.             54,871   1,197,834  
      Standard Register Co.              70,400     796,928  
      Standex International Corp.        35,700     892,500  
  *   Stanley, Inc.                      41,200   1,403,272  
      Steelcase, Inc. Class A           173,091   1,921,310  
  *   Sterling Construction Co., Inc.    32,600     601,470  
  #   Sun Hydraulics, Inc.               45,203   1,495,767  
      Supreme Industries, Inc.           15,920      62,487  
      Sypris Solutions, Inc.             52,947     119,131  
  #   TAL International Group, Inc.      65,150   1,601,387  
  *   Taleo Corp. Class A                49,282   1,193,117  
* #   Taser International, Inc.         178,500   1,160,250  
  *   Team, Inc.                         43,700   1,665,407  
  *   TeamStaff, Inc.                     4,425      12,213  
      Tech/Ops Sevcon, Inc.              11,024      69,451  
      Technology Research Corp.          18,750      44,063  
      Tecumseh Products Co. Class A      36,840     972,208  
  *   Tecumseh Products Co. Class B       1,200      30,372  
  *   Teledyne Technologies, Inc.       100,500   6,264,165  
  *   TeleTech Holdings, Inc.           132,881   2,049,025  
      Tennant Co.                        52,000   1,619,800  
  *   Tetra Tech, Inc.                  160,796   4,595,550  
* #   The Advisory Board Co.             59,897   1,851,416  
  *   The Geo Group, Inc.               142,900   3,162,377  
      Thomas Group, Inc.                  8,400      26,880  
  #   Titan International, Inc.          93,625   2,503,533  
      Todd Shipyards Corp.               20,398     304,338  
  #   Toro Co.                           76,854   3,141,023  
  *   Trailer Bridge, Inc.                8,400      53,340  
* #   TransDigm Group, Inc.              79,582   2,989,100  
  *   TRC Companies, Inc.                57,796     204,020  
      Tredegar Industries, Inc.          91,191   1,805,582  
* #   Trex Co., Inc.                     45,600     845,880  
      Triumph Group, Inc.                43,975   2,407,192  
  *   TRM Corp.                          53,100      14,603  
  *   TrueBlue, Inc.                    147,800   2,452,002  
  *   Tufco Technologies, Inc.            4,700      27,025  
  *   TurboChef Technologies, Inc.       87,238     532,152  
      Twin Disc, Inc.                    33,180     609,517  
  *   U.S. Home Systems, Inc.            26,949     107,527  
* #   Ultralife Corp.                    43,430     502,485  
  *   United Rentals, Inc.              104,160   1,686,350  
  *   United Stationers, Inc.            79,909   3,961,888  


                                        

                                       40

--------------------------------------------------------------------------------

 

      Universal Forest Products, Inc.         52,405     1,721,504  
  *   Universal Power Group, Inc.              1,700         5,916  
  *   Universal Security Instruments, Inc.     7,249        46,502  
  *   Universal Truckload Services, Inc.      30,600       753,678  
  *   UQM Technologies, Inc.                  81,800       188,140  
  *   US Airways Group, Inc.                   8,400        71,316  
  *   USA Truck, Inc.                         30,535       561,844  
* #   Valence Technology, Inc.                19,099        68,565  
      Valmont Industries, Inc.                17,025     1,817,249  
  *   Valpey Fisher Corp.                      8,710        36,582  
  *   Versar, Inc.                            24,600       136,530  
      Viad Corp.                              64,799     2,026,913  
      Vicor Corp.                             78,212       787,595  
  *   Volt Information Sciences, Inc.         73,759     1,034,101  
      VSE Corp.                               17,700       649,059  
      Wabash National Corp.                   90,200       783,838  
      Wabtec Corp.                            28,300     1,671,681  
  *   Waste Connections, Inc.                 96,050     3,487,576  
  #   Watsco, Inc. Class A                    67,100     3,434,849  
      Watsco, Inc. Class B                     3,000       153,030  
      Watson Wyatt Worldwide, Inc.            58,500     3,427,515  
  #   Watts Water Technologies, Inc.          86,680     2,464,312  
  *   WCA Waste Corp.                         51,195       255,975  
  #   Werner Enterprises, Inc.               213,184     4,862,727  
  *   WESCO International, Inc.               80,064     3,077,660  
  *   Westaff, Inc.                           43,832        34,627  
  *   Willdan Group, Inc.                      5,300        19,451  
  *   Willis Lease Finance Corp.              18,495       228,968  
      Woodward Governor Co.                  131,614     6,097,677  
  #   WSI Industries, Inc.                     1,900        14,763  
* #   YRC Worldwide, Inc.                     94,800     1,715,880  
  *   Zareba Systems, Inc.                       300           719  
Total Industrials                                      551,328,706  
                                                                    
Information Technology — (14.8%)                                    
  *   3Com Corp.                             371,557       787,701  
  *   8X8, Inc.                               16,900        17,407  
* #   Acacia Research-Acacia Technologies     82,560       329,414  
  *   Access Integrated Technologies, Inc.    67,000       111,890  
* #   ACI Worldwide, Inc.                    104,139     1,886,999  
* #   Acme Packet, Inc.                       47,659       304,541  
  *   Acorn Factor, Inc.                       6,600        29,370  
  *   Actel Corp.                             77,235     1,064,298  
  *   ActivIdentity Corp.                    146,125       391,615  
  *   Actuate Corp.                          184,566       788,097  
  #   Acxiom Corp.                           181,479     2,622,372  
  *   Adaptec, Inc.                          351,400     1,331,806  
  *   ADC Telecommunications, Inc.           200,042     2,050,431  
  *   ADDvantage Technologies Group, Inc.     22,174        69,626  
  *   Adept Technology, Inc.                  15,103       117,048  
  #   Adtran, Inc.                           220,532     5,028,130  
  *   Advanced Analogic Technologies, Inc.   135,729       620,282  
  *   Advanced Energy Industries, Inc.       128,364     2,070,511  
* #   Advanced Photonix, Inc.                 20,800        39,520  
* #   Advent Software, Inc.                   80,615     3,728,444  


                                        

                                       41

--------------------------------------------------------------------------------

                                        

  *   Aehr Test Systems                   18,519      80,928  
  *   Aetrium, Inc.                       32,893     123,349  
      Agilysys, Inc.                      43,729     568,914  
  *   Airspan Networks, Inc.             124,100      58,327  
* †   Allen Organ Co.                        800       7,270  
      Alliance Semiconductor Corp.        47,150      45,736  
  *   Allied Motion Technologies, Inc.     2,800      14,588  
  *   American Commercial Lines, Inc.    142,183   1,750,273  
      American Software, Inc. Class A     77,749     461,829  
  *   Amkor Technology, Inc.             365,211   2,742,735  
  *   Ampex Corp. Class A                  5,725         573  
  *   Amtech Systems, Inc.                24,270     272,067  
* #   Anadigics, Inc.                    168,200     566,834  
  *   Analysts International Corp.        58,605      72,670  
  *   Anaren, Inc.                        50,097     532,030  
  *   Ansys, Inc.                         27,217   1,207,074  
  *   Apogee Technology, Inc.              3,600       2,916  
  *   Applied Micro Circuits Corp.       200,114   1,592,907  
  *   Ariba, Inc.                        220,857   3,253,224  
* #   Arris Group, Inc.                  377,119   3,567,546  
* #   Art Technology Group, Inc.         406,364   1,666,092  
  *   Aruba Networks, Inc.                51,815     325,916  
  *   ASA International, Ltd.                640       2,432  
* #   Ascendia Brands, Inc.               32,095          96  
  *   Aspen Technology, Inc.             279,189   4,020,322  
  *   Astea International, Inc.            2,800       8,456  
      Astro-Med, Inc.                     14,982     140,232  
  *   Asyst Technologies, Inc.           156,000     642,720  
* #   Atari, Inc.                         26,708      44,068  
* #   Atheros Communications             156,996   5,119,640  
      Atlantic Tele-Network, Inc.         30,383   1,016,919  
  *   Atmel Corp.                        599,111   2,510,275  
  *   ATMI, Inc.                         100,833   2,459,317  
  *   Authentidate Holding Corp.          97,700      56,666  
  *   Autobytel, Inc.                    132,745     155,312  
* #   Avanex Corp.                        26,723     167,019  
* #   Avid Technology, Inc.              122,163   2,839,068  
  *   Aviza Technology, Inc.              67,330      40,398  
  *   Avocent Corp.                      137,465   3,226,304  
      AVX Corp.                           31,000     355,880  
  *   Aware, Inc.                         78,492     248,035  
  *   Axcelis Technologies, Inc.         307,496   1,454,456  
  *   Axesstel, Inc.                      35,283      32,496  
  *   AXS-One, Inc.                       74,400      21,576  
  *   AXT, Inc.                           98,090     354,105  
* #   Bankrate, Inc.                      56,957   1,837,433  
* #   BearingPoint, Inc.                 586,461     668,566  
      Bel Fuse, Inc. Class A               8,710     257,206  
      Bel Fuse, Inc. Class B              27,943     777,933  
  *   Bell Industries, Inc.                8,500       1,275  
* #   Bell Microproducts, Inc.            94,771     208,496  
  *   Benchmark Electronics, Inc.        192,292   3,170,895  
  *   BigBand Networks, Inc.             107,072     375,823  
  *   Bitstream, Inc.                      7,200      43,128  
      Black Box Corp.                     47,702   1,709,640  


                                        

                                       42

--------------------------------------------------------------------------------

                                        

      Blackbaud, Inc.                             90,052   1,818,150  
* #   Blackboard, Inc.                            90,064   3,598,957  
  *   Blonder Tongue Laboratories, Inc.            9,200      10,810  
  *   Blue Coat Systems, Inc.                     85,172   1,584,199  
      Bogen Communications International, Inc.    11,900      58,013  
  *   Bookham, Inc.                              231,616     391,431  
  *   Borland Software Corp.                     224,887     418,290  
  *   Bottomline Technologies, Inc.               71,639     825,281  
  *   Brightpoint, Inc.                          182,720   1,573,219  
* #   BroadVision, Inc.                          460,206     331,348  
  *   Brooks Automation, Inc.                    216,134   2,077,048  
  *   BSQUARE Corp.                               31,968     119,241  
  *   Cabot Microelectronics Corp.                68,424   2,642,535  
* #   CACI International, Inc. Class A            59,446   3,010,940  
  *   CalAmp Corp.                                71,958     143,916  
  *   California Micro Devices Corp.              75,197     243,638  
  *   Callidus Software, Inc.                     59,604     283,119  
  *   CallWave, Inc.                              64,800     150,984  
  *   Captaris, Inc.                              89,978     359,912  
  *   Cascade Microtech, Inc.                     17,139     101,634  
  #   Cass Information Systems, Inc.              17,415     634,254  
  *   Catalyst Semiconductor, Inc.                52,102     352,731  
  *   Catapult Communications Corp.               45,691     346,795  
* #   Cavium Networks, Inc.                       71,285   1,218,261  
  *   Centillium Communications, Inc.            114,489      84,722  
  *   CEVA, Inc.                                  64,567     613,387  
  *   Checkpoint Systems, Inc.                   113,800   2,422,802  
  *   Cherokee International Corp.                62,569     181,450  
  *   Chordiant Software, Inc.                   101,200     602,140  
  *   Chyron International Corp.                  12,632      74,529  
  *   Ciber, Inc.                                154,712   1,211,395  
* #   Ciena Corp.                                121,777   2,116,484  
  *   Ciprico, Inc.                               11,397         467  
  *   Cirrus Logic, Inc.                         250,090   1,553,059  
  *   Clarus Corp.                                32,100     174,945  
  *   Clearfield, Inc.                            11,200      14,560  
      CLST Holdings, Inc.                         23,918       8,610  
  *   CMGI, Inc.                                  87,321   1,029,515  
* #   Cogent, Inc.                               177,116   1,948,276  
      Cognex Corp.                               127,840   2,586,203  
  *   Coherent, Inc.                              81,993   2,941,089  
      Cohu, Inc.                                  65,598   1,095,487  
  *   Comarco, Inc.                               24,656      58,188  
# †   Commerce One, Inc.                          45,000           —  
      Communications Systems, Inc.                13,550     144,308  
* #   Commvault Systems, Inc.                     72,695   1,225,638  
  *   Computer Task Group, Inc.                   47,700     331,038  
  *   Comtech Telecommunications Corp.            68,300   3,122,676  
* #   Concur Technologies, Inc.                  112,683   4,952,418  
* #   Concurrent Computer Corp.                   18,990     134,639  
  *   Conexant Systems, Inc.                      62,287     366,870  
* #   Convera Corp.                              125,374     135,404  
  *   Convergys Corp.                            172,915   2,550,496  
  *   CPI International, Inc.                     39,368     562,962  
  *   Cray, Inc.                                  50,604     283,888  


                                        

                                       43

--------------------------------------------------------------------------------

                                        

  *   Credence Systems Corp.                  333,398     376,740  
* #   Cree, Inc.                               51,086   1,190,815  
  *   CSG Systems International, Inc.         129,232   2,442,485  
  *   CSP, Inc.                                 8,385      50,897  
      CTS Corp.                                82,559   1,093,081  
  *   CVD Equipment Corp.                      11,029      46,873  
  *   Cyberoptics Corp.                        27,611     249,603  
  *   Cybersource Corp.                       197,588   3,394,562  
  *   Cymer, Inc.                             118,986   3,562,441  
  #   Daktronics, Inc.                        114,316   2,003,959  
  *   Data I/O Corp.                            7,300      48,253  
  *   Datalink Corp.                           31,600     186,756  
      Dataram Corp.                            27,130      65,383  
  *   DataTRAK International, Inc.              6,800       3,196  
  *   Datawatch Corp.                           3,832       7,013  
  *   DDi Corp.                                38,136     216,612  
  *   DealerTrack Holdings, Inc.               77,922   1,436,102  
  *   Delphax Technologies, Inc.                6,100       1,220  
  *   Digi International, Inc.                 76,826     907,315  
  *   Digital Angel Corp.                     171,192      87,479  
* #   Digital River, Inc.                      74,260   3,248,875  
  *   Diodes, Inc.                            108,058   2,570,700  
  *   Ditech Networks, Inc.                   109,212     169,279  
  *   Dot Hill Systems Corp.                  129,578     282,480  
* #   Double-Take Software, Inc.               23,182     303,916  
  *   DSP Group, Inc.                          83,000     643,250  
* #   DTS, Inc.                                53,089   1,707,873  
  *   Dycom Industries, Inc.                  119,366   1,913,437  
  *   Dynamics Research Corp.                  27,808     249,438  
  *   EarthLink, Inc.                         365,297   3,404,568  
  *   Easylink Services International Corp.     3,800      14,326  
* #   Ebix, Inc.                                  300      32,868  
* #   Echelon Corp.                           120,810   1,571,738  
  *   EDCI Holdings, Inc.                      20,657      85,936  
  *   EDGAR Online, Inc.                       83,111     187,831  
  *   Edgewater Technology, Inc.               39,155     193,817  
  *   EFJohnson Technologies, Inc.             73,494     132,289  
  *   Elecsys Corp.                             8,401      57,169  
  *   Electro Scientific Industries, Inc.      83,396   1,191,729  
  *   Electroglas, Inc.                        60,300      89,847  
  *   Electronics for Imaging, Inc.           162,317   2,692,839  
* #   Elixir Gaming Technologies, Inc.        282,714     118,740  
* #   eLoyalty Corp.                           29,189     143,318  
* #   EMCORE Corp.                            154,350     955,427  
  *   EMS Technologies, Inc.                   44,168   1,037,506  
* #   Emulex Corp.                            241,300   3,238,246  
  *   En Pointe Technologies, Inc.              6,100      13,298  
  *   Endwave Corp.                            36,900     221,400  
* #   Enliven Marketing Technologies Corp.     83,787      56,137  
  *   Entegris, Inc.                          371,794   2,290,251  
  *   Entorian Technologies, Inc.             145,395     106,138  
  *   Entrust, Inc.                           180,989     425,324  
  *   Epicor Software Corp.                   165,222   1,409,344  
  *   EPIQ Systems, Inc.                       84,049     948,913  
  *   ePlus, Inc.                              24,690     334,550  


                                        

                                       44

--------------------------------------------------------------------------------

                                        

  *   Euronet Worldwide, Inc.                 110,036   2,067,576  
  *   Evans & Sutherland Computer Corp.        11,943      13,734  
  *   Evolving Systems, Inc.                   11,000      20,350  
  *   Exar Corp.                              118,838     919,806  
  *   Extreme Networks, Inc.                  340,314   1,191,099  
  #   Fair Isaac Corp.                         87,173   2,013,696  
  *   Fairchild Semiconductor Corp. Class A   218,272   2,737,131  
* #   FalconStor Software, Inc.               140,405   1,055,846  
* #   Faro Technologies, Inc.                  41,970     991,331  
* #   FEI Co.                                  99,154   2,685,090  
* #   Finisar Corp.                           915,918   1,328,081  
  *   Forgent Networks, Inc.                   67,680      24,365  
* #   FormFactor, Inc.                         95,834   1,839,054  
  *   Forrester Research, Inc.                 65,587   2,268,654  
  *   FortuNet, Inc.                           13,648      65,510  
  *   Foundry Networks, Inc.                  165,853   3,050,037  
      Frequency Electronics, Inc.              18,800      86,104  
  *   FSI International, Inc.                  90,939     103,670  
  *   Gartner Group, Inc.                      44,700   1,180,527  
  *   Gerber Scientific, Inc.                  63,000     561,960  
      Gevity HR, Inc.                          80,810     666,683  
  *   Giga-Tronics, Inc.                        4,500       4,770  
  *   Globecomm Systems, Inc.                  47,853     488,101  
* #   Glu Mobile, Inc.                          2,000       7,140  
  *   Goldleaf Financial Solutions, Inc.       57,085      98,186  
  *   Greenfield Online, Inc.                  74,200   1,287,370  
* #   GSE Systems, Inc.                        38,896     313,113  
  *   GSI Technology, Inc.                     23,587      89,631  
  *   GTSI Corp.                               31,222     215,432  
  *   Guidance Software, Inc.                  37,774     240,620  
  *   Hackett Group, Inc.                     139,433     892,371  
  *   Halifax Corp.                             1,000         750  
  *   Harmonic, Inc.                          232,347   2,044,654  
  *   Harris Stratex Networks, Inc. Class A    72,616     679,686  
  *   Hauppauge Digital, Inc.                  32,457      45,440  
  #   Heartland Payment Systems, Inc.         107,197   2,418,364  
      Henry Jack & Associates, Inc.            78,767   1,577,703  
  *   hi/fn, Inc.                              45,100     179,047  
* #   Hittite Microwave Corp.                  90,710   3,210,227  
  *   Hughes Communications, Inc.              38,738   1,710,283  
  *   Hutchinson Technology, Inc.              77,500   1,122,975  
  *   Hypercom Corp.                          168,500     766,675  
  *   I.D. Systems, Inc.                       33,870     304,491  
* #   i2 Technologies, Inc.                    62,200     896,302  
      iBasis, Inc.                            126,663     463,587  
  *   Ibis Technology Corp.                    27,000       1,350  
  *   iCAD, Inc.                                3,500      14,980  
  *   iGATE Capital Corp.                     151,665   1,706,231  
* #   iGo, Inc.                                96,612     109,172  
  *   Ikanos Communications                    49,350     128,310  
* #   ImageWare Systems, Inc.                  45,400      20,430  
  *   I-many, Inc.                            110,892      77,070  
      Imation Corp.                            99,072   2,104,289  
  #   Imergent, Inc.                           37,362     422,564  
* #   Immersion Corp.                          75,600     502,740  


                                        

                                       45

--------------------------------------------------------------------------------

                                        

  *   InFocus Corp.                               123,013     179,599  
      InfoGROUP, Inc.                             128,949     851,063  
  *   Informatica Corp.                           257,957   4,351,735  
      InfoSpace, Inc.                              89,946   1,052,368  
  *   Innodata Isogen, Inc.                        70,793     206,008  
  *   Innovex, Inc.                                51,200      34,304  
  *   InPlay Technologies, Inc.                     9,800       2,254  
  *   Insight Enterprises, Inc.                   130,041   2,163,882  
  *   Insightful Corp.                              6,100      11,285  
  *   InsWeb Corp.                                  1,533       9,827  
      Integral Systems, Inc.                       32,175   1,447,553  
  *   Integrated Device Technology, Inc.          222,345   2,354,634  
  *   Integrated Silicon Solution, Inc.            74,354     292,955  
  *   Intelli-Check, Inc.                          39,587      89,071  
  *   Intelligent Systems Corp.                    14,381      46,019  
  *   Intelligroup, Inc.                           29,800      68,540  
* #   Interactive Intelligence, Inc.               49,241     493,887  
  *   Interlink Electronics, Inc.                  33,400      15,030  
  *   Intermec, Inc.                              177,800   3,572,002  
* #   Internap Network Services Corp.             140,500     434,145  
  *   International Rectifier Corp.                56,500   1,180,850  
* #   Internet Brands, Inc.                        17,300     120,927  
  *   Internet Capital Group, Inc.                112,131     947,507  
  *   Interphase Corp.                             19,339      64,979  
  *   Intervoice, Inc.                            112,807     927,274  
  *   Interwoven, Inc.                            139,023   2,046,419  
  *   Intest Corp.                                 27,232      36,763  
  *   Intevac, Inc.                                62,436     635,598  
  *   IntriCon Corp.                               15,310      89,257  
  *   INX, Inc.                                    13,160     121,730  
  *   iPass, Inc.                                 146,989     333,665  
  *   iPCS, Inc.                                   32,602     652,040  
  *   IPG Photonics Corp.                          75,244   1,532,720  
* #   Isilon Systems, Inc.                         41,050     207,713  
  *   Iteris, Inc.                                 65,196     145,387  
  *   Ixia                                        190,428   1,654,819  
  *   IXYS Corp.                                   98,524   1,254,211  
  *   j2 Global Communications, Inc.              139,864   3,450,445  
  *   Jaco Electronics, Inc.                        6,475       8,483  
  *   JDA Software Group, Inc.                     71,012   1,294,549  
  *   Jupitermedia Corp.                          105,569     123,516  
      Keithley Instruments, Inc.                   45,870     436,224  
  *   Kemet Corp.                                 204,523     331,327  
  *   Key Tronic Corp.                             29,877     100,387  
  *   Keynote Systems, Inc.                        33,400     468,268  
  *   Kopin Corp.                                 223,010     664,570  
  *   Kratos Defense & Security Solutions, Inc.   226,934     460,676  
  *   Kulicke & Soffa Industries, Inc.            169,286     870,130  
  *   KVH Industries, Inc.                         40,428     365,469  
* #   L-1 Identity Solutions, Inc.                206,539   3,403,763  
  *   Lantronix, Inc.                              14,065       7,314  
  *   LaserCard Corp.                              35,724     203,627  
  *   Lattice Semiconductor Corp.                 331,183     774,968  
  *   Lawson Software, Inc.                       562,760   4,552,728  
  *   Leadis Technolgies, Inc.                      6,400       6,272  


                                        

                                       46

--------------------------------------------------------------------------------

                                        

  *   LeCroy Corp.                           36,864     307,077  
  *   LightPath Technologies, Inc.            1,850       2,627  
  *   Lionbridge Technologies, Inc.         163,546     521,712  
  *   Littlefuse, Inc.                       65,856   2,336,571  
  *   Logic Devices, Inc.                     6,400       7,136  
  *   LogicVision, Inc.                      19,976      23,771  
  *   Logility, Inc.                         40,957     279,736  
  *   LoJack Corp.                           54,500     395,125  
  *   LookSmart, Ltd.                        74,072     239,993  
  *   Loral Space & Communications, Inc.     61,243   1,125,034  
  *   LTX Corp.                             186,096     333,112  
* #   Lumera Corp.                           60,684      41,265  
* #   Luna Innovations, Inc.                 21,588     134,493  
  *   Macrovision Solutions Corp.           272,623   4,231,109  
  *   Magma Design Automation, Inc.         111,283     565,318  
  *   Management Network Group, Inc.         72,722      78,540  
  *   Manhattan Associates, Inc.             78,562   1,925,555  
  *   ManTech International Corp. Class A    55,900   3,291,951  
  #   Marchex, Inc. Class B                  85,831     967,315  
  *   Mastec, Inc.                          189,250   2,672,210  
  *   Mattson Technology, Inc.              164,545     839,180  
      Maximus, Inc.                          62,100   2,297,700  
* #   Maxwell Technologies, Inc.             47,979     593,020  
  *   MDI, Inc.                               9,933       6,258  
  *   Measurement Specialties, Inc.           8,388     149,977  
* #   Mechanical Technology, Inc.            10,758      23,560  
      MedQuist, Inc.                         15,960      77,725  
* #   Mentor Graphics Corp.                 242,586   2,959,549  
  *   Mercury Computer Systems, Inc.         64,100     592,925  
  *   Merix Corp.                            55,793     103,775  
      Mesa Laboratories, Inc.                11,438     240,084  
      Methode Electronics, Inc.             109,638   1,204,922  
      Micrel, Inc.                          217,157   2,000,016  
  *   Microsemi Corp.                       202,902   5,579,805  
  *   MicroStrategy, Inc.                    27,500   1,764,400  
  *   Microtune, Inc.                       156,747     581,531  
* #   Midway Games, Inc.                    279,700     634,919  
* #   Mindspeed Technologies, Inc.           70,754     258,252  
  *   MIPS Technologies, Inc.               133,600     531,728  
  *   MIVA, Inc.                            107,512     110,737  
  *   MKS Instruments, Inc.                 163,107   3,676,432  
      Mocon, Inc.                            19,009     202,066  
  *   Monolithic Power Systems               89,119   2,171,830  
* #   MoSys, Inc.                           101,524     461,934  
  *   Motive, Inc.                           22,900      50,838  
  *   MPS Group, Inc.                       279,900   3,224,448  
  *   MRV Communications, Inc.              416,011     565,775  
  *   MSC. Software Corp.                   125,777   1,632,585  
  *   MTM Technologies, Inc.                    306         511  
      MTS Systems Corp.                      52,187   2,164,717  
* #   Multi-Fineline Electronix, Inc.        67,572   1,152,778  
  *   Nanometrics, Inc.                      44,426     161,266  
  *   Napco Security Systems, Inc.           58,560     240,682  
  *   Napster, Inc.                           3,129       4,193  
  *   NCI, Inc.                              21,183     567,704  


                                        

                                       47

--------------------------------------------------------------------------------

                                        

* #   NeoMagic Corp.                          43,418      15,639  
* #   Neonode, Inc.                              680         129  
  *   NETGEAR, Inc.                           99,193   1,671,402  
* #   Netlogic Microsystems, Inc.             58,678   2,037,887  
  *   NetScout Systems, Inc.                  90,350   1,346,215  
  *   Network Engines, Inc.                  117,477     112,778  
* #   Network Equipment Technologies, Inc.    84,300     274,818  
  *   Newport Corp.                          115,412   1,081,410  
      NIC, Inc.                              184,065   1,273,730  
  *   NMS Communications Corp.               149,300      85,101  
  *   Novatel Wireless, Inc.                  86,502     538,907  
  *   Nu Horizons Electronics Corp.           42,055     202,285  
  *   NumereX Corp. Class A                   47,751     249,260  
  *   NYFIX, Inc.                             69,114     217,018  
      O.I. Corp.                               6,140      74,724  
  *   Oculus Innovative Sciences, Inc.        24,568      70,264  
* #   Omniture, Inc.                         121,725   2,169,140  
* #   OmniVision Technologies, Inc.          134,900   1,575,632  
  *   Omtool, Ltd.                             3,470       5,726  
* #   On2 Technologies, Inc.                 262,300     112,789  
  *   Online Resources Corp.                  73,670     641,666  
  *   Onvia, Inc.                             15,469      73,478  
      Openwave Systems, Inc.                 294,252     423,723  
  *   Oplink Communications, Inc.             61,500     808,110  
  *   OPNET Technologies, Inc.                64,111     849,471  
  *   Opnext, Inc.                            64,200     407,028  
  *   OPTi, Inc.                              11,000      25,300  
  *   Optical Cable Corp.                     13,800      95,496  
* #   Optium Corp.                             5,920      53,221  
* #   Orbcomm, Inc.                           79,522     458,047  
  *   Orthovita, Inc.                         70,360     214,598  
  *   OSI Systems, Inc.                       43,500   1,009,635  
  *   Overland Storage, Inc.                  39,267      31,414  
* #   OYO Geospace Corp.                      19,011     932,680  
* #   Palm, Inc.                             241,996   2,059,386  
  *   PAR Technology Corp.                    30,269     243,363  
  *   Parametric Technology Corp.            220,413   4,425,893  
      Park Electrochemical Corp.              56,150   1,573,323  
* #   Parkervision, Inc.                      72,886     787,169  
  *   PC Connection, Inc.                     81,741     620,414  
      PC-Tel, Inc.                            64,900     656,139  
  *   PDF Solutions, Inc.                     85,956     545,821  
  *   Peerless Systems Corp.                  22,500      42,300  
      Pegasystems, Inc.                       98,767   1,447,924  
  *   Perceptron, Inc.                        21,468     159,078  
* #   Perficient, Inc.                        86,237     684,722  
  *   Performance Technologies, Inc.          36,600     182,268  
  *   Pericom Semiconductor Corp.             68,136     929,375  
  *   Perot Systems Corp.                    180,137   3,206,439  
  *   Pervasive Software, Inc.                66,787     295,866  
  *   Pfsweb, Inc.                             6,817      21,610  
  *   Phoenix Technologies, Ltd.              69,036     762,157  
  *   Photon Dynamics, Inc.                   47,489     722,783  
  *   Photronics, Inc.                       116,926     382,348  
  *   Physicians Formula Holdings, Inc.       24,622     145,024  


                                        

                                       48

--------------------------------------------------------------------------------

                                        

  *   Pinnacle Data Systems, Inc.                4,400       4,004  
  *   Pixelworks, Inc.                          14,800      23,828  
  *   Planar Systems, Inc.                      47,000     130,190  
  *   PlanetOut, Inc.                            3,410       8,593  
  #   Plantronics, Inc.                        152,000   3,921,600  
  *   PLATO Learning, Inc.                      71,069     132,188  
  *   Plexus Corp.                             111,561   3,127,055  
  *   PLX Technology, Inc.                      89,838     511,178  
* #   PMC-Sierra, Inc.                         623,954   5,615,586  
  *   Power Integrations, Inc.                  72,100   2,121,903  
* #   Powerwave Technologies, Inc.             289,994   1,464,470  
* #   Presstek, Inc.                           106,298     570,820  
* †   Price Communications Liquidation Trust   159,870      21,835  
  *   Progress Software Corp.                  113,203   3,306,660  
      QAD, Inc.                                 93,818     617,322  
  #   Quality Systems, Inc.                     76,418   3,272,219  
      Qualstar Corp.                             6,057      19,382  
  *   Quantum Corp.                            543,200     961,464  
  *   Quest Software, Inc.                     311,330   4,604,571  
  *   QuickLogic Corp.                          92,095     140,905  
  *   Rackable Systems, Inc.                    65,400     677,544  
  *   Radiant Systems, Inc.                     85,934     783,718  
  *   RadiSys Corp.                             69,262     766,730  
  *   RAE Systems, Inc.                        167,000     335,670  
* #   Rambus, Inc.                             191,900   3,375,521  
  *   Ramtron International Corp.               74,932     261,513  
  *   RealNetworks, Inc.                       393,619   2,609,694  
      Relm Wireless Corp.                       41,566      60,271  
      REMEC, Inc.                               62,445      42,150  
  #   Renaissance Learning, Inc.                81,575   1,035,187  
* #   Research Frontiers, Inc.                   4,300      22,145  
  *   RF Industries, Ltd.                        4,641      39,913  
* #   RF Micro Devices, Inc.                   789,745   3,064,211  
  *   RF Monolithics, Inc.                      26,389      26,389  
      Richardson Electronics, Ltd.              43,425     291,382  
  *   RightNow Technologies, Inc.               91,308   1,368,707  
  *   Rimage Corp.                              28,840     459,710  
  *   Riverbed Technology, Inc.                 84,221   1,432,599  
* #   Rofin-Sinar Technologies, Inc.            87,154   3,522,765  
  *   Rogers Corp.                              46,000   1,840,460  
  *   Rudolph Technologies, Inc.                84,699     714,860  
  *   S1 Corp.                                 184,911   1,410,871  
* #   Saba Software, Inc.                       83,436     302,038  
  *   Safeguard Scientifics, Inc.              360,500     515,515  
  *   Sanmina-SCI Corp.                        341,458     802,426  
  *   Sapient Corp.                            356,607   3,305,747  
* #   SatCon Technology Corp.                  101,496     229,381  
  *   ScanSource, Inc.                          70,300   2,115,327  
  *   Schmitt Industries, Inc.                   2,366      15,024  
  *   Scientific Learning Corp.                 22,339      92,037  
  *   SCM Microsystems, Inc.                    50,472     127,189  
  *   Seachange International, Inc.             83,573     717,056  
  *   Secure Computing Corp.                   185,442     793,692  
  *   Selectica, Inc.                           74,960      84,705  
  *   Semitool, Inc.                            93,667     902,950  


                                        

                                       49

--------------------------------------------------------------------------------

                                        

  *   Semtech Corp.                         200,457   2,964,759  
  *   SI International, Inc.                 34,343   1,072,532  
* #   Sigma Designs, Inc.                    63,600   1,089,468  
  *   Sigmatron International, Inc.           2,200      15,070  
  *   Silicon Image, Inc.                   227,005   1,573,145  
  *   Silicon Laboratories, Inc.             97,424   3,284,163  
  *   Silicon Storage Technology, Inc.      293,000     958,110  
* #   Simulations Plus, Inc.                 36,778      66,568  
  *   SiRF Technology Holdings, Inc.         87,224     161,364  
  *   Skyworks Solutions, Inc.              489,193   4,745,172  
  *   SM&A                                   52,900     175,099  
* #   Smith Micro Software, Inc.             86,209     652,602  
  *   Soapstone Networks, Inc.               42,048     164,828  
  *   Sonic Foundry, Inc.                   111,300      84,588  
* #   Sonic Solutions, Inc.                  75,692     351,968  
  *   SonicWALL, Inc.                       172,700   1,129,458  
* #   Sonus Networks, Inc.                  723,270   2,444,653  
* #   Sourcefire, Inc.                       24,200     189,970  
  *   SourceForge, Inc.                     216,271     294,129  
  *   Spansion, Inc.                         60,423     135,952  
  *   Spectrum Control, Inc.                 38,422     317,366  
  *   SPSS, Inc.                             54,742   1,728,752  
  *   SRA International, Inc.               120,300   2,824,644  
  *   SRS Labs, Inc.                         52,083     313,019  
  *   Stamford Industrial Group, Inc.        22,200      36,741  
  *   Standard Microsystems Corp.            63,117   1,844,279  
      StarTek, Inc.                          40,300     364,312  
* #   STEC, Inc.                            138,215   1,400,118  
  *   SteelCloud, Inc.                       11,500      13,915  
* #   Stratasys, Inc.                        58,900     981,274  
  *   SumTotal Systems, Inc.                 78,717     380,203  
  *   Sunair Electronics, Inc.                7,600      15,390  
  *   Sunrise Telecom, Inc.                  18,500      18,500  
* #   Supertex, Inc.                         37,700   1,119,690  
  *   SupportSoft, Inc.                     149,271     520,956  
  *   Switch and Data Facilities Co.         62,600     906,448  
  *   Sycamore Networks, Inc.               769,388   2,692,858  
  *   Sykes Enterprises, Inc.               121,187   2,440,706  
  *   Symmetricom, Inc.                     155,467     764,898  
* #   Synaptics, Inc.                        74,100   3,878,394  
* #   Synchronoss Technologies, Inc.         66,209     838,206  
  *   SYNNEX Corp.                           80,100   1,841,499  
  #   Syntel, Inc.                          114,082   3,772,692  
      Taitron Components, Inc.                4,900       4,435  
  *   Take-Two Interactive Software, Inc.   219,901   5,512,918  
  *   Tech Data Corp.                        84,576   2,887,425  
  *   Technical Communications Corp.            400       2,490  
      Technitrol, Inc.                      113,100   1,788,111  
  *   Technology Solutions Co.                1,500       6,045  
  *   TechTeam Global, Inc.                  28,452     242,696  
  *   Techwell, Inc.                         39,996     443,156  
  *   Tekelec                               191,792   3,147,307  
* #   TeleCommunication Systems, Inc.       102,399     860,152  
* #   Telkonet, Inc.                        173,200      56,290  
  *   Tellabs, Inc.                         199,032   1,036,957  


                                        

                                       50

--------------------------------------------------------------------------------

 

  *   Telular Corp.                      57,375     159,503  
  *   Teradyne, Inc.                    251,935   2,350,554  
* #   Terremark Worldwide, Inc.         157,945   1,141,942  
  *   Tessco Technologies, Inc.          18,503     272,364  
* #   Tessera Technologies, Inc.        130,745   3,042,436  
* #   The Knot, Inc.                     51,645     470,486  
      TheStreet.com, Inc.                80,325     570,308  
  *   Think Partnership, Inc.           221,259     115,055  
  *   ThinkEngine Networks, Inc.          7,700         462  
  *   THQ, Inc.                         126,334   1,935,437  
  *   TIBCO Software, Inc.              497,773   4,076,761  
  *   Tier Technologies, Inc. Class B    54,800     421,960  
  *   TII Network Technologies, Inc.     10,660      13,112  
  *   TNS, Inc.                          62,110   1,422,319  
  *   Tollgrade Communications, Inc.     42,413     285,015  
  *   Track Data Corp.                   21,535      39,840  
  *   Transact Technologies, Inc.        28,418     348,121  
  *   Transcat, Inc.                      5,900      41,654  
* #   Transwitch Corp.                  194,405     151,636  
* #   Travelzoo, Inc.                    47,700     373,491  
  *   Trident Microsystems, Inc.        161,664     509,242  
      Trio-Tech International             8,869      47,006  
  *   Triquint Semiconductor, Inc.      386,519   2,431,205  
  *   Troy Group, Inc.                   13,200      42,768  
      TSR, Inc.                          10,113      27,305  
  *   TTM Technologies, Inc.            106,400   1,274,672  
  *   Tumbleweed Communications Corp.   167,495     427,112  
  *   Tyler Technologies, Inc.          115,200   1,867,392  
  *   Ulticom, Inc.                     111,530     786,287  
* #   Ultimate Software Group, Inc.      69,799   1,957,164  
  *   Ultra Clean Holdings, Inc.         50,349     366,541  
  *   Ultratech, Inc.                    67,299     999,390  
* #   Unica Corp.                        42,893     380,461  
  *   Unisys Corp.                      595,617   2,436,074  
      United Online, Inc.               248,135   2,612,866  
* #   Universal Display Corp.            90,416   1,282,099  
* #   UTStarcom, Inc.                   330,357   1,076,964  
* #   ValueClick, Inc.                  165,679   2,135,602  
  *   Veeco Instruments, Inc.            86,500   1,454,065  
* #   VeriFone Holdings, Inc.            78,400   1,580,544  
  *   Verint Systems, Inc.               88,434   1,962,350  
* #   Vertical Communications, Inc.       1,200          48  
  *   Viasat, Inc.                       80,291   2,106,033  
  *   Vicon Industries, Inc.             14,400      78,120  
  *   Video Display Corp.                11,784      95,215  
  *   Vignette Corp.                     84,776   1,155,497  
  *   Virage Logic Corp.                 64,827     427,858  
  *   Vishay Intertechnology, Inc.      375,900   3,341,751  
* #   Vitesse Semiconductor, Inc.       274,653     233,455  
  *   Vocus, Inc.                        35,216   1,255,450  
* #   Volterra Semiconductor Corp.       56,076     881,515  
* #   Vyyo, Inc.                         59,599      10,132  
      Wayside Technology Group, Inc.      6,376      48,713  
* #   Websense, Inc.                    124,272   2,813,518  
  *   Website Pros, Inc.                 63,604     384,168  


                                        

                                       51

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  *   Westell Technologies, Inc.             168,119       151,627  
  *   White Electronics Designs Corp.         75,793       372,144  
  *   Wind River Systems, Inc.               230,683     2,549,047  
  *   Winland Electronics, Inc.                5,100         7,038  
  *   Wireless Ronin Technologies, Inc.       24,685        93,803  
  *   Wireless Telecom Group, Inc.            66,460        76,429  
  *   Wireless Xcessories Group, Inc.          9,500         9,833  
* #   Wizzard Software Corp.                   1,000         1,270  
  *   WPCS International, Inc.                11,970        69,067  
  *   Wright Express Corp.                    78,450     2,333,888  
* #   X-Rite, Inc.                            90,763       364,867  
  *   Zhone Technologies, Inc.               321,806       100,210  
  *   ZILOG, Inc.                             54,368       189,201  
* #   Zix Corp.                              140,098       389,472  
  *   Zones, Inc.                             14,371       119,854  
  *   Zoran Corp.                            150,035     1,335,312  
  *   Zygo Corp.                              53,680       562,566  
Total Information Technology                           567,734,085  
                                                                    
Materials — (4.0%)                                                  
      A. Schulman, Inc.                       73,755     1,786,346  
      A.M. Castle & Co.                       65,096     1,307,128  
  *   AEP Industries, Inc.                    23,117       430,670  
      AMCOL International Corp.               85,875     3,131,003  
  *   American Pacific Corp.                  25,833       444,844  
  #   American Vanguard Corp.                 74,889     1,111,353  
* #   Amerigon, Inc.                          45,720       316,840  
      Arch Chemicals, Inc.                    69,942     2,566,871  
* #   Arrowhead Research Corp.                67,776       118,608  
  *   Atlantis Plastics, Inc.                  4,300           387  
  *   Atna Resources, Ltd.                    11,410         6,806  
      Balchem Corp.                           49,337     1,346,407  
* #   Basin Water, Inc.                       39,173        68,553  
  *   Brush Engineered Materials, Inc.        58,223     1,705,934  
  *   Buckeye Technologies, Inc.             104,883       965,972  
  *   BWAY Holding Co.                         3,515        44,641  
      Cabot Corp.                            107,803     2,982,909  
  #   Calgon Carbon Corp.                    129,600     2,764,368  
  *   Caraustar Industries, Inc.              87,585       173,418  
  *   Century Aluminum Co.                    13,643       665,233  
      Chemtura Corp.                         383,200     2,525,288  
      Chesapeake Corp.                        54,002        68,043  
* #   Coeur d’Alene Mines Corp.              880,100     1,575,379  
      Compass Minerals International, Inc.    74,600     5,167,542  
  *   Constar International, Inc.             40,577        71,010  
  *   Continental Materials Corp.                300         6,195  
  *   Core Molding Technologies, Inc.         34,384       247,565  
      Deltic Timber Corp.                     35,733     2,191,862  
  *   Detrex Corp.                               500         3,950  
  #   Eagle Materials, Inc.                   86,080     2,628,022  
      Empire Resources, Inc.                  29,305       102,568  
      Ferro Corp.                            123,330     2,718,193  
      Flamemaster Corp.                          189         1,002  
* #   Flotek Industries, Inc.                 52,572       885,838  
      Friedman Industries, Inc.               21,781       204,741  


                                        

                                       52

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  #   General Maritime Corp.                       62,446   1,542,416  
* #   General Moly, Inc.                          120,610     822,560  
  #   Georgia Gulf Corp.                           99,752     336,164  
      Gibraltar Industries, Inc.                   91,804   1,974,704  
      Glatfelter Co.                               96,900   1,421,523  
  *   Graphic Packaging Holding Co.               640,100   1,824,285  
* #   H&E Equipment Services, Inc.                 70,503     994,797  
      H.B. Fuller Co.                             170,218   4,437,583  
      Hawkins, Inc.                                36,660     579,961  
  *   Haynes International, Inc.                   22,107   1,292,375  
* #   Headwaters, Inc.                            115,900   1,783,701  
* #   Hecla Mining Co.                            349,800   2,455,596  
  #   Hercules, Inc.                              194,000   4,180,700  
* #   ICO, Inc.                                    73,742     426,966  
  *   Impreso, Inc.                                 5,200      14,560  
      Innophos Holdings, Inc.                      37,635   1,410,936  
  *   Ion Geophysical Corp.                       241,100   3,886,532  
      Kaiser Aluminum Corp.                        57,421   3,104,179  
      KMG Chemicals, Inc.                          21,365     227,751  
      Koppers Holdings, Inc.                       41,700   1,910,277  
  #   Kronos Worldwide, Inc.                       47,740     784,368  
  *   Landec Corp.                                 76,700     720,213  
  #   Louisiana-Pacific Corp.                     214,603   2,090,233  
* #   LSB Industries, Inc.                         41,600   1,004,224  
  *   Material Sciences Corp.                      42,535     323,266  
  *   Maxxam, Inc.                                 13,888     263,872  
* #   Metalico, Inc.                               63,700     820,456  
      Minerals Technologies, Inc.                  52,700   3,461,336  
* #   Mines Management, Inc.                       64,100     133,969  
  *   Mod-Pac Corp.                                 7,627      31,423  
      Myers Industries, Inc.                      106,996   1,408,067  
  *   Nanophase Technologies Corp.                 55,148      97,612  
      Neenah Paper, Inc.                           23,315     452,777  
      Nevada Chemicals, Inc.                       19,380     192,831  
      NewMarket Corp.                              45,600   3,098,064  
  #   NL Industries, Inc.                         129,090   1,358,027  
      NN, Inc.                                     50,975     837,010  
  *   Northern Technologies International Corp.    12,774     168,361  
  *   Northwest Pipe Co.                           25,164   1,457,751  
      Olin Corp.                                  210,352   5,660,572  
      Olympic Steel, Inc.                          22,800   1,085,508  
  *   OM Group, Inc.                               91,000   3,376,100  
  *   OMNOVA Solutions, Inc.                      126,094     364,412  
      Penford Corp.                                25,900     430,199  
  *   Peoplesupport, Inc.                          36,100     438,615  
  *   PolyOne Corp.                               238,200   1,955,622  
      Quaker Chemical Corp.                        30,120     891,552  
  *   Rock of Ages Corp.                            4,400       8,712  
      Rock-Tenn Co. Class A                       111,200   4,078,816  
  *   Rosetta Resources, Inc.                      97,142   2,258,552  
  #   Royal Gold, Inc.                             80,035   2,778,015  
  *   RTI International Metals, Inc.               57,500   1,944,075  
      Schweitzer-Maudoit International, Inc.       43,300     820,968  
      Scotts Miracle-Gro Co. Class A              102,900   2,751,546  
      Sensient Technologies Corp.                 131,600   3,844,036  


                                        

                                       53

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        Silgan Holdings, Inc.                         97,469     5,101,527  
    *   Solitario Exploration & Royalty Corp.            100           393  
        Spartech Corp.                                86,900       915,057  
        Stepan Co.                                    25,500     1,500,165  
  * #   Stillwater Mining Co.                        261,300     1,946,685  
    *   Symyx Technologies, Inc.                      86,200       952,510  
        Synalloy Corp.                                14,936       228,670  
    #   Temple-Inland, Inc.                           23,600       394,356  
    #   Texas Industries, Inc.                        62,100     3,270,807  
    #   Tronox, Inc. Class A                          39,100        23,460  
        Tronox, Inc. Class B                          13,100         6,419  
    *   U.S. Concrete, Inc.                          113,800       475,684  
  * #   U.S. Energy Corp.                             10,000        31,100  
  * #   U.S. Gold Corp.                              133,000       167,580  
    *   UFP Technologies, Inc.                         3,500        37,170  
    *   United States Lime & Minerals, Inc.           19,296       748,299  
    *   Universal Stainless & Alloy Products, Inc.    18,824       680,488  
    #   Valhi, Inc.                                   13,478       247,052  
        Valspar Corp.                                  9,264       219,186  
        Vulcan International Corp.                       700        40,005  
    *   W.R. Grace & Co.                             107,476     2,825,544  
        Wausau Paper Corp.                           140,626     1,210,790  
    *   Webco Industries, Inc.                           600        72,600  
    #   Westlake Chemical Corp.                      116,471     2,210,620  
    *   Williams Industries, Inc.                      1,200         1,932  
    #   Worthington Industries, Inc.                 165,729     2,916,830  
  * #   Zoltek Companies, Inc.                        75,800     1,290,874  
Total Materials                                                153,870,018  
                                                                            
Other — (0.0%)                                                              
  * †   Big 4 Ranch, Inc.                              3,200             —  
  * †   DLB Oil & Gas, Inc. Escrow Shares              1,300             —  
  * †   ePresence, Inc. Escrow Shares                 25,100             —  
* # †   EquiMed, Inc.                                  2,250             —  
  * †   iGo, Inc. Escrow Shares                        4,100             —  
  * †   Noel Group, Inc.                               8,000            52  
  * †   Petrocorp, Inc. Escrow Shares                  6,900           414  
  * †   Tripos Escrow Shares                             220            20  
Total Other                                                            486  
                                                                            
Telecommunication Services — (0.7%)                                         
    #   Alaska Communications Systems Group, Inc.    121,343     1,276,528  
        Arbinet-thexchange, Inc.                      57,612       224,111  
  * #   Cbeyond, Inc.                                 66,118     1,119,378  
    *   Centennial Communications Corp.              320,352     2,441,082  
    *   Cincinnati Bell, Inc.                        706,500     2,755,350  
  * #   Cogent Communications Group, Inc.            142,913     1,316,229  
    #   Consolidated Communications Holdings, Inc.    76,080     1,149,569  
        D&E Communications, Inc.                      46,806       437,636  
    #   FairPoint Communications, Inc.                91,100       806,235  
    *   FiberTower Corp.                             280,972       365,264  
    *   General Communications, Inc. Class A         155,451     1,576,273  
    *   GoAmerica, Inc.                                   56           370  
        Hickory Tech Corp.                            39,345       276,202  
  * #   ICO Global Communications (Holdings), Ltd.    73,189       214,444  


                                        

                                       54

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      IDT Corp.                                 38,578       59,796  
  #   IDT Corp. Class B                        187,900      291,245  
  #   Iowa Telecommunications Services, Inc.    75,200    1,382,928  
* #   LCC International, Inc. Class A           69,875       41,226  
  *   Metro One Telecommunications, Inc.         5,337        1,708  
  *   NeuStar, Inc.                            117,000    2,809,170  
  *   Nexstar Broadcasting Group, Inc.          25,227       91,069  
* #   Nextwave Wireless, Inc.                  161,642      156,793  
  *   Occam Networks, Inc.                      35,183      155,861  
  *   PAETEC Holding Corp.                     251,286      829,244  
  *   Point.360                                 12,424       17,269  
  *   Premiere Global Services, Inc.           209,137    3,162,151  
      Shenandoah Telecommunications Co.          2,726       47,105  
  *   Spark Networks, Inc.                      29,158      124,796  
      SureWest Communications                   40,512      481,688  
  *   Syniverse Holdings, Inc.                 129,822    2,153,747  
* #   Terrestar Corp.                           36,311      100,945  
* #   USA Mobility, Inc.                        36,200      407,974  
* #   Vonage Holdings Corp.                     20,215       29,918  
      Warwick Valley Telephone Co.               3,796       41,604  
  *   Xeta Corp.                                17,017       55,475  
Total Telecommunication Services                         26,400,383  
                                                                     
Utilities — (2.4%)                                                   
  #   ALLETE, Inc.                              87,066    3,675,927  
  *   AMEN Properties, Inc.                      1,975       16,639  
  #   American States Water Co.                 48,831    1,929,313  
      Artesian Resources Corp. Class A           6,222      108,574  
      Avista Corp.                             150,550    3,357,265  
      Black Hills Corp.                        107,658    3,639,917  
  *   Cadiz, Inc.                               22,197      433,063  
  #   California Water Service Group            59,195    2,325,772  
      Central Vermont Public Service Corp.      31,550      766,665  
  #   CH Energy Group, Inc.                     45,350    1,804,930  
      Chesapeake Utilities Corp.                21,210      642,239  
      Cleco Corp.                              165,087    4,161,843  
      Connecticut Water Services, Inc.          24,971      666,975  
      Delta Natural Gas Co., Inc.                7,020      191,716  
  *   El Paso Electric Co.                     131,500    2,799,635  
  #   Empire District Electric Co.              86,800    1,831,480  
      Energy West, Inc.                          6,200       61,690  
      EnergySouth, Inc.                         22,804    1,396,745  
* #   Environmental Power Corp.                 29,836       95,475  
      Florida Public Utilities Co.               6,733       87,866  
      Great Plains Energy, Inc.                 90,975    2,133,364  
  #   Hawaiian Electric Industries, Inc.       147,100    3,890,795  
      IDACORP, Inc.                            117,900    3,513,420  
      Laclede Group, Inc.                       63,300    2,844,069  
  *   Maine & Maritimes Corp.                    3,400      150,790  
      MGE Energy, Inc.                          60,027    2,034,915  
      Middlesex Water Co.                       38,108      675,274  
      New Jersey Resources Corp.               116,550    4,216,779  
  #   Nicor, Inc.                               72,226    3,314,451  
      Northwest Natural Gas Co.                 80,700    3,932,511  
      NorthWestern Corp.                        73,299    1,927,764  


                                        

                                       55

--------------------------------------------------------------------------------

                                        

  #   Ormat Technologies, Inc.                         78,000       3,910,920  
  #   Otter Tail Corp.                                 84,460       3,353,907  
  #   Piedmont Natural Gas Co.                         92,500       2,668,625  
  #   PNM Resources, Inc.                             146,771       1,730,430  
      Portland General Electric Co.                   134,400       3,443,328  
      RGC Resources, Inc.                               3,464         100,110  
  #   SJW Corp.                                        51,850       1,445,060  
      South Jersey Industries, Inc.                    83,728       2,986,578  
      Southern Union Co.                                    1              19  
      Southwest Gas Corp.                             116,500       3,535,775  
  #   Southwest Water Co.                              71,467         844,740  
      UIL Holdings Corp.                               67,566       2,202,652  
      Unisource Energy Corp.                           99,085       3,183,601  
      Unitil Corp.                                      8,610         228,940  
      WGL Holdings, Inc.                              136,772       4,404,058  
      York Water Co.                                    4,569          64,423  
Total Utilities                                                    92,731,027  
                                                                               
TOTAL COMMON STOCKS                                             3,008,516,848  
                                                                               
RIGHTS/WARRANTS — (0.0%)                                                       
* †   eLoyalty Corp. Rights 09/12/08                    5,766               —  
  *   PGT, Inc. Rights 09/04/08                           575             518  
  *   Valley National Bancorp Warrants 06/30/15           616           3,022  
  *   Caliper Life Sciences, Inc. Warrants 08/10/11        44              18  
* †   CSF Holding, Inc. Litigation Rights               3,250               —  
* †   DOV Pharmaceutical, Inc. Warrants 12/31/09       72,741               —  
  *   Federal-Mogul Corp. Warrants 12/27/14             4,373           2,711  
* †   Mossimo, Inc. Contingent Rights                  16,100               —  
* †   Tengasco, Inc. Warrants 09/12/08                    683               —  
TOTAL RIGHTS/WARRANTS                                                   6,269  


 

                                                                 Face                        
                                                                Amount                        
                                                                (000)                         
TEMPORARY CASH INVESTMENTS — (0.3%)                                                           
       Repurchase Agreement, PNC Capital Markets, Inc.                                       
       1.94%, 09/02/08 (Collateralized by $14,475,000 FNMA                                   
       6.50%, 08/01/36, valued at $11,271,364) to be                                         
       repurchased at $11,100,392                            $     11,098         11,098,000  
                                                                                              
SECURITIES LENDING COLLATERAL — (21.3%)                                                       
 § @   DFA Short Term Investment Fund LP                          734,631        734,630,669  
                                                                                              
   @   Repurchase Agreement, Deutsche Bank Securities                                        
       2.14%, 09/02/08 (Collateralized by $95,764,545                                        
       FNMA, rates ranging from 4.500% to 7.000%,                                            
       maturities ranging from 01/01/23 to 03/01/38,                                         
       valued at $85,784,198) to be repurchased at                                           
       $83,305,432                                                 83,286         83,285,629  
                                                                                              
TOTAL SECURITIES LENDING COLLATERAL                                              817,916,298  
                                                                                              
TOTAL INVESTMENTS - (100.0%)                                                                 
(Cost $3,993,690,788)##                                                       $3,837,537,415  


                                        

                                       56

--------------------------------------------------------------------------------

 

                           THE U.S. MICRO CAP SERIES

                            SCHEDULE OF INVESTMENTS

                                August 31, 2008

                                  (Unaudited)

 

                                                     Shares      Value †    
                                                                            
COMMON STOCKS — (80.5%)                                                     
Consumer Discretionary — (11.6%)                                            
  *   1-800-FLOWERS.COM, Inc.                        251,448   $ 1,543,891  
  *   4Kids Entertainment, Inc.                      123,488     1,121,271  
* #   99 Cents Only Stores                           377,975     3,235,466  
  *   A.C. Moore Arts & Crafts, Inc.                 199,506     1,504,275  
  *   Acme Communications, Inc.                      145,810       166,223  
      Acme United Corp.                               31,807       437,346  
  *   AFC Enterprises, Inc.                          171,110     1,551,968  
      Aldila, Inc.                                    53,836       202,962  
  *   Alloy, Inc.                                    134,453       965,373  
  #   Ambassadors Group, Inc.                        146,170     2,473,196  
* #   Ambassadors International, Inc.                 97,569       214,652  
      AMCON Distributing Co.                           3,482       107,942  
* #   AMDL, Inc.                                      59,854       173,577  
      American Axle & Manufacturing Holdings, Inc.   117,100       569,106  
  *   American Biltrite, Inc.                         57,750       251,212  
* #   America’s Car-Mart, Inc.                       105,056     1,986,609  
  #   Arctic Cat, Inc.                               114,789     1,185,770  
      Ark Restaurants Corp.                           35,874       824,743  
  #   ArvinMeritor, Inc.                             110,600     1,660,106  
      Asbury Automotive Group, Inc.                  322,198     3,911,484  
  *   Ashworth, Inc.                                 133,600       392,784  
  *   ATC Technology Corp.                           216,255     5,237,696  
  *   Audiovox Corp. Class A                         165,885     1,619,038  
* #   Avatar Holdings, Inc.                           80,366     2,554,835  
  *   Bakers Footwear Group, Inc.                     60,195       189,012  
  *   Ballantyne of Omaha, Inc.                      134,735       580,708  
  *   Barry (R.G.) Corp.                             163,435     1,224,128  
      Bassett Furniture Industries, Inc.              90,500       930,340  
      Beasley Broadcast Group, Inc.                   65,543       199,251  
      Beazer Homes USA, Inc.                          76,730       534,041  
  *   Benihana, Inc.                                  68,364       478,548  
  *   Benihana, Inc. Class A                          82,390       588,265  
  #   Big 5 Sporting Goods Corp.                     127,259     1,142,786  
  *   Birks & Mayors, Inc.                            13,946        33,470  
* #   BJ’s Restaurants, Inc.                         248,236     2,889,467  
  #   Blockbuster, Inc. Class A                      747,928     1,795,027  
  *   Blockbuster, Inc. Class B                      269,832       499,189  
* #   Blue Nile, Inc.                                 50,002     2,081,583  
  *   Bluegreen Corp.                                277,229     3,171,500  
      Blyth, Inc.                                    236,700     3,742,227  
  #   Bon-Ton Stores, Inc.                           133,472       533,888  
      Books-A-Million, Inc.                          171,700     1,158,975  
      Bowl America, Inc. Class A                      55,406       747,981  


                                        

                                       1

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  *   Broadview Institute, Inc.                15,800      26,070  
  #   Brookfield Homes Corp.                   67,300     863,459  
      Brown Shoe Company, Inc.                120,028   1,824,426  
  *   Buca, Inc.                              180,840      79,588  
* #   Buffalo Wild Wings, Inc.                156,089   5,631,691  
  *   Build-A-Bear-Workshop, Inc.             103,900     770,938  
* #   Cabela’s, Inc.                          205,540   2,517,865  
  *   Cache, Inc.                             159,586   1,868,752  
* #   California Coastal Communities, Inc.    107,476     283,737  
  *   California Pizza Kitchen, Inc.          287,596   4,135,630  
      Callaway Golf Co.                       102,600   1,393,308  
      Canterbury Park Holding Corp.            40,397     393,871  
      Carmike Cinemas, Inc.                   126,443     666,355  
  *   Carriage Services, Inc.                 168,400     732,540  
  *   Carrols Restaurant Group, Inc.              893       5,090  
  *   Carter’s, Inc.                          126,890   2,336,045  
* #   Casual Male Retail Group, Inc.          369,462   1,411,345  
  *   Catalina Lighting, Inc.                  11,080      13,850  
      Cato Corp. Class A                      304,890   5,369,113  
  *   Cavalier Homes, Inc.                    169,400     398,090  
  *   Cavco Industries, Inc.                   56,747   1,986,712  
      CBRL Group, Inc.                        151,989   3,927,396  
* #   CEC Entertainment, Inc.                 128,411   4,399,361  
* #   Champion Enterprises, Inc.              758,260   3,707,891  
* #   Charles and Colvard, Ltd.               164,798     103,823  
  *   Charlotte Russe Holding, Inc.           250,547   2,958,960  
  #   Cherokee, Inc.                           89,099   1,962,851  
      Christopher & Banks Corp.               230,438   2,216,814  
  *   Chromcraft Revington, Inc.               97,750     283,475  
      Churchill Downs, Inc.                   112,024   4,976,106  
* #   Citi Trends, Inc.                       135,311   2,790,113  
  #   CKE Restaurants, Inc.                   225,499   2,881,877  
      Coachmen Industries, Inc.               117,100     211,951  
      Coast Distribution System, Inc.          41,382     132,422  
      Cobra Electronics Corp.                 114,900     334,359  
* #   Coinstar, Inc.                          260,062   8,561,241  
* #   Coldwater Creek, Inc.                   381,807   2,779,555  
      Collectors Universe, Inc.                79,356     618,977  
* #   Comstock Homebuilding Companies, Inc.    29,500       3,885  
  *   Concord Camera Corp.                     49,560     146,203  
  *   Congoleum Corp. Class A                  33,700         303  
* #   Conn’s, Inc.                            235,758   4,507,693  
  #   Cooper Tire & Rubber Co.                 94,500     903,420  
* #   Cosi, Inc.                              125,284     311,957  
* #   Cost Plus, Inc.                         148,999     189,229  
      Courier Corp.                           141,318   3,024,205  
  #   CPI Corp.                                63,379     851,814  
      Craftmade International, Inc.            61,350     257,670  
* #   Crown Media Holdings, Inc.              493,733   2,483,477  
      CSS Industries, Inc.                     53,050   1,413,782  
  *   Culp, Inc.                              152,480   1,125,302  
* #   Cumulus Media, Inc. Class A             138,366     648,937  
  *   Cybex International, Inc.               156,350     525,336  
  *   Cycle Country Accessories Corp.          60,200      59,297  
* #   Daily Journal Corp.                         200       8,102  


                                        

                                       2

--------------------------------------------------------------------------------

                                        

      Decorator Industries, Inc.                  20,587      49,409  
* #   DEI Holdings, Inc.                          25,913      37,056  
* #   dELiA*s, Inc.                              142,905     355,833  
  *   Delta Apparel, Inc.                         77,280     537,096  
  *   Design Within Reach, Inc.                  119,594     493,923  
* #   DG Fastchannel, Inc.                       171,899   4,044,783  
  *   Diedrich Coffee, Inc.                       28,625      53,672  
  #   Dineequity, Inc.                            71,400   1,418,004  
  *   Dixie Group, Inc.                          104,300     797,895  
* #   Domino’s Pizza, Inc.                       321,600   4,309,440  
  *   Dorman Products, Inc.                      151,892   1,942,699  
      Dover Downs Gaming & Entertainment, Inc.   154,879   1,240,581  
      Dover Motorsports, Inc.                    168,371     840,171  
* #   Drew Industries, Inc.                      215,100   3,448,053  
* #   drugstore.com, Inc.                        855,582   2,036,285  
* #   DSW, Inc.                                   42,300     614,619  
  *   Duckwall-ALCO Stores, Inc.                  41,000     543,250  
  #   E.W. Scripps Co.                            29,100     211,557  
  *   Eddie Bauer Holdings, Inc.                   9,778      61,015  
      Educational Development Corp.               30,515     161,424  
  *   Einstein Noah Restaurant Group, Inc.        33,714     397,488  
  *   ELXSI Corp.                                  7,100      13,845  
  *   EMAK Worldwide, Inc.                        58,100      52,871  
  *   Emerson Radio Corp.                        243,478     267,826  
      Emmis Communications Corp. Class A         303,222     664,056  
* #   Empire Resorts, Inc.                        15,100      58,890  
* #   Enova Systems, Inc.                         46,409     120,663  
* #   Escala Group, Inc.                         245,312     672,155  
      Escalade, Inc.                              62,320     183,844  
  #   Ethan Allen Interiors, Inc.                182,131   4,943,035  
  *   Famous Dave’s of America, Inc.             100,330     933,069  
      Federal Screw Works                         33,750     167,062  
      Finish Line, Inc. Class A                  346,634   4,190,805  
  *   Finlay Enterprises, Inc.                    80,106      24,032  
      Fisher Communications, Inc.                 17,519     609,136  
  *   Flanigan’s Enterprises, Inc.                20,600     138,020  
* #   Fleetwood Enterprises, Inc.                614,206   1,314,401  
      Flexsteel Industries, Inc.                  61,300     680,430  
* #   Foamex International, Inc.                  30,369      11,237  
      Footstar, Inc.                              81,000     289,170  
  *   Fountain Powerboat Industries, Inc.         38,965      34,679  
  *   Franklin Covey Co.                         189,294   1,694,181  
  *   Franklin Electronic Publishers, Inc.        81,300     142,275  
* #   Frederick’s of Hollywood Group              54,215      50,149  
  #   Fred’s, Inc.                               304,496   4,269,034  
      Frisch’s Restaurants, Inc.                  63,868   1,484,931  
* #   Fuel Systems Solutions, Inc.               149,650   7,756,359  
  *   Full House Resorts, Inc.                    61,910     100,604  
      Furniture Brands International, Inc.       169,712   1,518,922  
* #   Gaiam, Inc.                                  3,551      45,204  
  *   GameTech International, Inc.               123,000     478,470  
* #   Gaming Partners International Corp.         78,434     405,504  
* #   Gander Mountain Co.                        186,898     657,881  
* #   Genesco, Inc.                              147,400   5,396,314  
  *   Gentek, Inc.                               102,584   2,972,884  


                                        

                                       3

--------------------------------------------------------------------------------

                                        

  *   G-III Apparel Group, Ltd.                157,405   2,913,567  
  *   Global Entertainment Corp.                   585         775  
  *   Gottschalks, Inc.                        130,400     191,688  
      Gray Television, Inc.                    352,972     868,311  
      Gray Television, Inc. Class A             41,200     144,200  
  *   Great Wolf Resorts, Inc.                 171,847     898,760  
  #   Group 1 Automotive, Inc.                  97,100   2,054,636  
* #   GSI Commerce, Inc.                       312,741   5,028,875  
  *   Hampshire Group, Ltd.                     25,800     219,300  
  #   Handleman Co.                             75,205     145,146  
  *   Harris Interactive, Inc.                 559,304     945,224  
  #   Harte-Hanks, Inc.                        136,027   1,679,933  
  *   Hartmarx Corp.                           323,000     801,040  
  *   Hastings Entertainment, Inc.              95,270     757,396  
      Haverty Furniture Co., Inc.              141,600   1,563,264  
      Haverty Furniture Co., Inc. Class A       13,500     150,727  
  *   Hawk Corp.                                80,416   1,929,984  
  *   Hayes Lemmerz International, Inc.        920,489   2,328,837  
  *   Heelys, Inc.                               4,500      22,815  
  *   Helen of Troy, Ltd.                       97,920   2,354,976  
* #   Hibbett Sporting Goods, Inc.             205,898   4,920,962  
  *   Hollywood Media Corp.                    332,328     910,579  
* #   Home Solutions of America, Inc.          344,546     220,509  
  #   Hooker Furniture Corp.                    73,012   1,229,522  
  *   Hot Topic, Inc.                          176,888   1,098,474  
* #   Hovnanian Enterprises, Inc. Class A      390,834   2,790,555  
* #   Iconix Brand Group, Inc.                  93,483   1,208,735  
      ILX Resorts, Inc.                         26,797      57,614  
  *   Image Entertainment, Inc.                202,118     236,478  
  *   Infosonics Corp.                         127,200      76,320  
  *   Insignia Systems, Inc.                    51,150     108,438  
      Interface, Inc. Class A                  282,073   3,714,901  
  *   International Textile Group, Inc.            132          40  
  *   Interstate Hotels & Resorts, Inc.        267,685     704,012  
* #   iRobot Corp.                             172,821   2,417,766  
* #   Isle of Capri Casinos, Inc.              294,889   2,111,405  
      J. Alexander’s Corp.                     104,550     638,800  
  #   Jackson Hewitt Tax Service, Inc.         229,200   3,935,364  
  *   Jaclyn, Inc.                              20,127     119,252  
  *   Jakks Pacific, Inc.                      227,958   5,687,552  
  *   Jennifer Convertibles, Inc.               62,220      77,775  
  *   Jo-Ann Stores, Inc.                      231,900   5,790,543  
      Johnson Outdoors, Inc.                    65,333   1,007,435  
* #   Jos. A. Bank Clothiers, Inc.             176,578   4,589,262  
  #   Journal Communications, Inc. Class A      29,735     151,946  
  #   Journal Register Co.                     379,100       3,981  
      Kenneth Cole Productions, Inc. Class A   120,200   1,930,412  
      Kimball International, Inc. Class B      256,195   2,697,733  
  *   Kirkland’s, Inc.                         132,751     302,672  
* #   Knology, Inc.                            240,472   2,428,767  
  *   Kona Grill, Inc.                          45,085     313,341  
      Koss Corp.                                83,900   1,219,067  
* #   Krispy Kreme Doughnuts, Inc.             387,704   1,639,988  
      KSW, Inc.                                 59,720     295,017  
  #   K-Swiss, Inc. Class A                    170,279   2,920,285  


                                        

                                       4

--------------------------------------------------------------------------------

                                        

      LaCrosse Footwear, Inc.                            33,999     560,983  
  *   Lakeland Industries, Inc.                          40,544     518,558  
* #   Lakes Entertainment, Inc.                         176,333   1,156,744  
  #   Landry’s Restaurants, Inc.                         34,900     672,174  
  *   Lazare Kaplan International, Inc.                  68,200     549,010  
  #   La-Z-Boy, Inc.                                    475,991   3,603,252  
  *   Leapfrog Enterprises, Inc.                        144,205   1,225,742  
  #   Lee Enterprises, Inc.                              63,153     236,824  
  *   Lenox Group, Inc.                                 123,650      19,784  
  #   Libbey, Inc.                                      140,891   1,310,286  
      Liberty Homes, Inc. Class A                           200         635  
  #   Lifetime Brands, Inc.                             124,920   1,210,475  
  *   Lin TV Corp.                                      258,800   1,591,620  
  *   Lincoln Educational Services                      123,921   1,862,533  
  #   Lithia Motors, Inc. Class A                       108,443     525,949  
  *   Live Nation, Inc.                                  39,100     627,555  
* #   Lodgenet Entertainment Corp.                      212,244     846,854  
  *   Lodgian, Inc.                                     229,691   1,943,186  
  *   LOUD Technologies, Inc.                            22,580      81,514  
  *   Luby’s, Inc.                                      251,150   1,863,533  
  *   Lumber Liquidators, Inc.                           39,069     504,381  
  #   M/I Homes, Inc.                                   100,700   1,803,537  
  *   Mace Security International, Inc.                 136,938     217,731  
* #   Magna Entertainment Corp.                             557       4,122  
  *   Maidenform Brands, Inc.                           225,200   3,400,520  
  #   Marine Products Corp.                             322,455   2,621,559  
* #   MarineMax, Inc.                                   171,676   1,359,674  
* #   Martha Stewart Living Omnimedia, Inc.              96,520     783,742  
  *   McCormick & Schmick’s Seafood Restaurants, Inc.    12,491     122,537  
      McRae Industries, Inc. Class A                      8,800     158,400  
  *   Meade Instruments Corp.                           152,660      76,330  
  #   Media General, Inc. Class A                        27,400     337,020  
* #   Mediacom Communications Corp.                     755,583   6,346,897  
  *   Merisel, Inc.                                           5           8  
* #   Meritage Homes Corp.                              107,900   2,527,018  
  *   Midas, Inc.                                       147,200   2,115,264  
      Modine Manufacturing Co.                          107,801   1,705,412  
      Monaco Coach Corp.                                276,700     661,313  
  *   Monarch Casino & Resort, Inc.                     186,899   2,502,578  
      Monro Muffler Brake, Inc.                         210,604   4,365,821  
* #   Morgans Hotel Group                               264,353   4,520,436  
  *   Morgan’s Foods, Inc.                                  500       2,500  
  *   Morton’s Restaurant Group, Inc.                    53,567     386,218  
  *   Mothers Work, Inc.                                 43,319     658,882  
  *   Motorcar Parts of America, Inc.                    24,500     172,480  
      Movado Group, Inc.                                192,300   4,459,437  
* #   MTR Gaming Group, Inc.                            269,508   1,102,288  
* #   Multimedia Games, Inc.                            266,909   1,350,560  
  *   Nathan’s Famous, Inc.                              57,075     910,917  
  #   National CineMedia, Inc.                           44,954     503,035  
  *   National Lampoon, Inc.                             27,520      37,702  
      National Presto Industries, Inc.                   22,564   1,744,648  
  *   Nature Vision, Inc.                                   500         455  
  #   Nautilus Group, Inc.                              310,614   1,652,466  
  *   Navarre Corp.                                     246,157     398,774  


                                        

                                       5

--------------------------------------------------------------------------------

                                        

  *   Nevada Gold & Casinos, Inc.                         117,950     141,540  
      New Frontier Media, Inc.                            237,806     920,309  
  *   New Motion, Inc.                                     96,610     386,440  
  *   New York & Co., Inc.                                194,099   2,290,368  
  *   Nitches, Inc.                                        33,639      39,021  
  *   Nobel Learning Communities, Inc.                     71,144   1,101,309  
      Nobility Homes, Inc.                                 43,800     639,480  
  #   Noble International, Ltd.                           165,366     992,196  
  *   NTN Communications, Inc.                            354,291      95,659  
  #   Nutri/System, Inc.                                  140,660   2,794,914  
  *   Ohio Art Co.                                          3,600      21,060  
  *   Orange 21, Inc.                                      12,926      45,241  
  #   Orleans Homebuilders, Inc.                          169,600     831,040  
      O’Charleys, Inc.                                    221,831   2,220,528  
  *   Outdoor Channel Holdings, Inc.                      271,749   2,171,275  
* #   Overstock.com, Inc.                                 210,331   4,446,397  
      Oxford Industries, Inc.                             141,900   3,242,415  
  *   P & F Industries, Inc. Class A                        4,983      13,006  
  *   P.F. Chang’s China Bistro, Inc.                      98,647   2,562,849  
  *   Pacific Sunwear of California, Inc.                 158,594   1,003,900  
* #   Palm Harbor Homes, Inc.                             206,034   1,854,306  
  *   Papa John’s International, Inc.                     217,257   6,065,815  
  *   PC Mall, Inc.                                       121,582   1,163,540  
* #   Perfumania Holdings, Inc.                            10,825     256,877  
  *   Perry Ellis International, Inc.                     119,400   2,036,964  
* #   PetMed Express, Inc.                                237,313   3,379,337  
  *   Phoenix Footwear Group, Inc.                         62,100      65,826  
  #   Pier 1 Imports, Inc.                                759,929   3,358,886  
  *   Playboy Enterprises, Inc. Class A                     9,139      41,994  
* #   Playboy Enterprises, Inc. Class B                   277,942   1,184,033  
* #   PokerTek, Inc.                                       36,300     146,652  
  *   Pomeroy IT Solutions, Inc.                          114,040     593,008  
* #   Premier Exhibitions, Inc.                           250,935     888,310  
  #   Pre-Paid Legal Services, Inc.                       139,400   6,222,816  
  *   PreVu, Inc.                                         346,520       1,386  
  #   PRIMEDIA, Inc.                                      334,861     971,097  
* #   Princeton Review, Inc.                              313,009   2,428,950  
  *   Progressive Gaming International Corp.              348,423     264,801  
  *   Proliance International, Inc.                        92,420     109,056  
  *   QEP Co., Inc.                                        33,487     200,587  
* #   Quaker Fabric Corp.                                 147,150         662  
* #   Quantum Fuel Systems Technologies Worldwide, Inc.   459,583     808,866  
* #   R.H. Donnelley Corp.                                 17,000      63,750  
  *   Radio One, Inc. Class D                             253,017     240,366  
  *   Rainmaker Systems, Inc.                             138,932     416,796  
  *   RC2 Corp.                                           194,880   4,905,130  
      RCN Corp.                                           154,744   2,144,752  
  *   Reading International, Inc. Class A                 154,512   1,169,656  
  *   Reading International, Inc. Class B                  10,320      92,880  
  *   Red Lion Hotels Corp.                               168,696   1,438,977  
* #   Red Robin Gourmet Burgers, Inc.                     156,691   4,183,650  
* #   RedEnvelope, Inc.                                    85,748       1,029  
  *   Regent Communications, Inc.                         482,407     376,277  
  *   Rentrak Corp.                                       104,800   1,587,720  
* #   Retail Ventures, Inc.                               429,956   2,012,194  


                                        

                                       6

--------------------------------------------------------------------------------

                                        

  *   Rex Stores Corp.                             141,475   1,827,857  
* #   Rick’s Cabaret International, Inc.            65,095     909,377  
* #   Riviera Holdings Corp.                        66,300     766,428  
  *   Rockford Corp.                                80,475      83,694  
  *   Rocky Brands, Inc.                            50,100     261,021  
  *   Rubio’s Restaurants, Inc.                     95,838     564,486  
      Ruby Tuesday, Inc.                             3,100      21,669  
      Russ Berrie & Co., Inc.                      184,100   1,397,319  
* #   Ruth’s Hospitality Group, Inc.               156,041     709,987  
  *   S&K Famous Brands, Inc.                       24,600      89,175  
  *   Saga Communications, Inc. Class A            144,761     910,547  
      Salem Communications Corp.                   170,251     323,477  
  *   Schieb (Earl), Inc.                           71,500     183,040  
* #   Sharper Image Corp.                          102,874       1,955  
      Shiloh Industries, Inc.                      145,400   1,238,808  
  *   Shoe Carnival, Inc.                          105,320   1,718,822  
  *   Shuffle Master, Inc.                         239,588   1,202,732  
  *   Silverleaf Resorts, Inc.                      30,700      58,023  
      Sinclair Broadcast Group, Inc. Class A       146,920   1,041,663  
* #   Six Flags, Inc.                              450,500     450,500  
      Skyline Corp.                                 74,794   1,710,539  
* #   Smith & Wesson Holding Corp.                 377,134   2,138,350  
      Sonesta International Hotels Corp. Class A    16,932     406,368  
* #   Source Interlink Companies, Inc.             470,569     588,211  
  *   Spanish Broadcasting System, Inc.            368,786     151,202  
  *   SPAR Group, Inc.                                 191         191  
  #   Spartan Motors, Inc.                         313,585   1,483,257  
  *   Sport Chalet, Inc. Class A                   107,975     372,514  
  *   Sport Chalet, Inc. Class B                    15,525      48,904  
  #   Sport Supply Group, Inc.                      94,800   1,156,560  
  *   Sport-Haley, Inc.                             32,100      65,965  
      Stage Stores, Inc.                           354,974   5,651,186  
  *   Stamps.com, Inc.                             204,998   2,814,623  
      Standard Motor Products, Inc.                172,400   1,191,284  
  #   Standard Pacific Corp.                       188,448     603,034  
      Stanley Furniture, Inc.                       32,000     264,000  
      Star Buffet, Inc.                             16,400      68,552  
  #   Stein Mart, Inc.                             342,095   1,351,275  
  *   Steinway Musical Instruments, Inc.            79,000   2,283,890  
  *   Steven Madden, Ltd.                          191,350   4,812,452  
      Stewart Enterprises, Inc.                    472,798   4,425,389  
  *   Stoneridge, Inc.                             196,900   2,500,630  
      Strattec Security Corp.                       40,900   1,169,331  
      Sturm Ruger & Co., Inc.                      244,900   1,787,770  
* #   Sun-Times Media Group, Inc. Class A          600,400     180,120  
  #   Superior Industries International, Inc.      250,100   4,394,257  
      Superior Uniform Group, Inc.                  86,600     897,176  
  *   Syms Corp.                                   143,200   2,394,304  
* #   Syntax-Brillian Corp.                        615,653       5,541  
  #   Systemax, Inc.                               351,300   5,417,046  
  #   Talbots, Inc.                                266,761   3,646,623  
  *   Talon International, Inc.                     16,300       4,075  
      Tandy Brand Accessories, Inc.                 60,077     342,439  
  *   Tandy Leather Factory, Inc.                  101,294     283,623  
  *   Tarragon Corp.                                14,800      14,208  


                                        

                                       7

--------------------------------------------------------------------------------

                                        

  *   Tarrant Apparel Group                      232,085       160,139  
* #   Texas Roadhouse, Inc.                      290,257     2,606,508  
* #   The Children’s Place Retail Stores, Inc.    62,987     2,642,305  
* #   The Dress Barn, Inc.                       156,601     2,546,332  
  *   The Hallwood Group, Inc.                     5,717       407,536  
      The Marcus Corp.                           204,760     3,517,777  
      The Pep Boys - Manny, Moe & Jack            61,800       543,840  
  *   The Sports Club Co., Inc.                  142,200       156,420  
* #   The Steak n Shake Co.                      268,600     2,089,708  
* #   The Walking Co Holdings, Inc.               22,012        92,450  
* #   thinkorswim Group, Inc.                    463,467     4,648,574  
* #   TiVo, Inc.                                 939,095     7,944,744  
  *   Town Sports International Holdings, Inc.    18,888       197,946  
  *   Trans World Entertainment Corp.            218,126       630,384  
      Triarc Companies, Inc. Class A              37,576       219,068  
  #   Triarc Companies, Inc. Class B              79,373       461,157  
  *   Triple Crown Media, Inc.                    51,065         4,085  
* #   True Religion Apparel, Inc.                215,705     5,856,391  
* #   Trump Entertainment Resorts, Inc.           96,651       117,914  
  *   Tuesday Morning Corp.                      219,349       923,459  
  *   Tween Brands, Inc.                          99,031     1,075,477  
  *   Unifi, Inc.                                496,400     1,980,636  
      Unifirst Corp.                             139,982     6,023,425  
  *   Universal Electronics, Inc.                139,890     3,667,916  
* #   Universal Technical Institute, Inc.        276,017     4,736,452  
* #   Valassis Communications, Inc.              392,700     3,695,307  
      Value Line, Inc.                            69,499     2,655,557  
  *   ValueVision Media, Inc. Class A            366,543       857,711  
* #   VCG Holding Corp.                          151,800       546,480  
      Virco Manufacturing Corp.                  155,131       676,371  
      Visteon Corp.                              431,691     1,390,045  
* #   Volcom, Inc.                               102,288     1,824,818  
  *   Voyager Learning Co.                        27,100       128,725  
  *   Waxman Industries, Inc.                        975         4,027  
* #   WCI Communities, Inc.                      300,400        54,072  
  *   Wells-Gardner Electronics Corp.             95,143       123,210  
* #   West Marine, Inc.                          180,202       892,000  
  *   Westwood One, Inc.                         516,600       423,612  
* #   Wet Seal, Inc. Class A                     691,614     3,257,502  
  #   Weyco Group, Inc.                           56,297     1,789,682  
  *   Williams Controls, Inc.                     16,592       218,517  
  *   Winmark Corp.                               54,688     1,005,986  
  #   Winnebago Industries, Inc.                 183,486     2,082,566  
* #   WisdomTree Investments, Inc.                 6,700        14,070  
  *   Woodbridge Holdings Corp.                   73,100        49,708  
* #   WorldSpace, Inc. Class A                    18,300        26,718  
* #   Xanadoo Co.                                    566       183,950  
      Xerium Technologies, Inc.                   90,228       695,658  
  *   Young Broadcasting, Inc. Class A           196,237        21,586  
* #   Zale Corp.                                 141,100     3,853,441  
  *   Zumiez, Inc.                                93,793     1,351,557  
Total Consumer Discretionary                               592,936,071  
                                                                        
Consumer Staples — (3.4%)                                               
  #   Alico, Inc.                                 69,000     2,977,350  


                                        

                                       8

--------------------------------------------------------------------------------

                                        

  *   Alliance One International, Inc.           877,124   3,526,038  
  #   American Italian Pasta Co.                 166,700   2,183,770  
  #   Andersons, Inc.                            176,200   7,921,952  
  #   Arden Group, Inc. Class A                    7,425   1,238,119  
  *   Atlantic Premium Brands, Ltd.               23,300      15,261  
      B&G Foods, Inc.                             68,325     550,699  
  *   Boston Beer Co., Inc. Class A              131,700   5,922,549  
  *   Bridgford Foods Corp.                       91,667     545,419  
  *   Cagle’s, Inc. Class A                       94,800     457,410  
  #   Calavo Growers, Inc.                       134,756   1,637,285  
  #   Cal-Maine Foods, Inc.                      207,719   8,202,823  
* #   Caribou Coffee Co.                          10,142      31,744  
      CCA Industries, Inc.                        56,230     359,310  
  *   Central Garden & Pet Co.                    38,726     217,253  
  *   Central Garden & Pet Co. Class A            39,201     207,765  
  #   Chiquita Brands International, Inc.        414,500   6,084,860  
      Coca-Cola Bottling Co. Consolidated         66,440   2,696,135  
      Coffee Holding Co, Inc.                        400         784  
  *   Collective Brands, Inc.                     51,800     752,136  
* #   Craft Brewers Alliance, Inc.                72,600     253,374  
  *   Cuisine Solutions, Inc.                    130,816     340,122  
  *   Darling International, Inc.                644,425   8,847,955  
      Diamond Foods, Inc.                        111,745   2,812,622  
  *   Elizabeth Arden, Inc.                      277,862   5,685,057  
      Farmer Brothers Co.                         47,007   1,225,002  
  *   Glacier Water Services, Inc.                24,500   1,200,500  
      Golden Enterprises, Inc.                    81,746     170,849  
* #   Green Mountain Coffee, Inc.                229,200   8,363,508  
      Griffin Land & Nurseries, Inc. Class A      27,541     949,614  
  *   IGI Labratories, Inc.                       30,339      54,610  
      Imperial Sugar Co.                          92,680   1,300,300  
      Ingles Market, Inc. Class A                113,498   2,804,536  
  *   Integrated Biopharma, Inc.                 116,875     163,625  
  #   Inter Parfums, Inc.                        300,470   4,263,669  
      J & J Snack Foods Corp.                    181,697   6,121,372  
  *   Katy Industries, Inc.                       76,100     133,175  
      Lancaster Colony Corp.                       9,667     336,218  
      Lance, Inc.                                302,509   6,198,409  
* #   Lifeway Foods, Inc.                        157,957   1,788,073  
  #   Mannatech, Inc.                            257,570   1,141,035  
* #   Maui Land & Pineapple Co., Inc.             80,810   2,168,132  
* #   Medifast, Inc.                             123,000   1,019,670  
  #   MGP Ingredients, Inc.                      152,173     750,213  
  *   Monterey Pasta Co.                         162,493     336,361  
  #   Nash Finch Co.                             126,284   5,142,284  
* #   National Beverage Corp.                    450,402   4,107,666  
  *   Natural Alternatives International, Inc.    61,798     478,317  
* #   Natural Health Trends Corp.                 59,195      40,845  
      Nature’s Sunshine Products, Inc.           153,100   1,198,007  
      Oil-Dri Corp. of America                    70,375   1,294,900  
  *   Omega Protein Corp.                        145,547   1,976,528  
  *   Orchids Paper Products Co.                   9,173      70,632  
  *   Overhill Farms, Inc.                        66,327     431,125  
  *   Pantry, Inc.                                42,694     783,008  
  *   Parlux Fragrances, Inc.                    184,900   1,299,847  


                                        

                                       9

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* #   Peet’s Coffee & Tea, Inc.                        135,649     3,559,430  
  *   Pizza Inn, Inc.                                   39,700       102,029  
  *   Prestige Brands Holdings, Inc.                   248,517     2,360,911  
      PriceSmart, Inc.                                 271,921     5,778,321  
  #   Reddy Ice Holdings, Inc.                          60,800       511,936  
  #   Reliv International, Inc.                        160,559       846,146  
      Rocky Mountain Chocolate Factory, Inc.            79,954       721,185  
  #   Sanderson Farms, Inc.                            197,109     6,762,810  
  *   Sanfilippo (John B.) & Son, Inc.                  75,747       722,626  
  *   Scheid Vineyards, Inc.                             2,900        97,512  
  *   Schiff Nutrition International, Inc.             110,872       741,734  
      Scope Industries                                  16,650     1,415,250  
  *   Seneca Foods Corp. Class A                         4,565        92,396  
  *   Seneca Foods Corp. Class B                         8,911       187,220  
* #   Smart Balance, Inc.                                9,500        60,800  
      Spartan Stores, Inc.                             211,866     4,817,833  
* #   Spectrum Brands, Inc.                            482,600       820,420  
* #   Star Scientific, Inc.                            716,798     2,308,090  
      Stephan Co.                                       33,500       103,850  
      Tasty Baking Co.                                  80,500       338,100  
  *   Tofutti Brands, Inc.                              53,404       147,395  
  *   TreeHouse Foods, Inc.                            138,000     3,830,880  
  *   United Natural Foods, Inc.                        16,416       315,516  
      United-Guardian, Inc.                             39,320       414,826  
* #   USANA Health Services, Inc.                      174,170     6,594,076  
  *   Vermont Pure Holdings, Ltd.                       20,600        28,428  
      Village Super Market, Inc.                        28,993     1,302,655  
      WD-40 Co.                                        165,858     5,786,786  
      Weis Markets, Inc.                                 3,574       135,276  
  *   Winn-Dixie Stores, Inc.                          136,032     1,920,772  
  *   Zapata Corp.                                     127,644       880,744  
Total Consumer Staples                                           174,485,775  
                                                                              
Energy — (4.2%)                                                               
  *   Abraxas Petroleum Corp.                          486,100     1,754,821  
      Adams Resources & Energy, Inc.                    68,250     1,913,730  
  *   Allis-Chalmers Energy, Inc.                      341,724     4,941,329  
* #   American Oil & Gas, Inc.                         417,207     1,197,384  
  *   Arena Resources, Inc.                              2,572       114,891  
  *   Aventine Renewable Energy Holdings, Inc.          13,400        85,760  
      Barnwell Industries, Inc.                         75,026       889,058  
  *   Basic Energy Services, Inc.                      135,400     3,957,742  
* #   Bolt Technology Corp.                             83,130     1,600,252  
  *   Boots & Coots International Well Control, Inc.   567,362     1,730,454  
  *   Brigham Exploration Co.                          411,871     5,589,089  
  *   Bronco Drilling Co., Inc.                        144,216     2,285,824  
  *   Callon Petroleum Co.                             195,500     3,884,585  
  *   Catalytica Energy Systems, Inc.                    8,358        22,817  
      CKX Lands, Inc.                                   10,104       138,677  
  *   Clayton Williams Energy, Inc.                    111,180     8,998,909  
  *   Contango Oil & Gas Co.                            27,762     1,974,433  
  *   Credo Petroleum Corp.                             18,942       202,869  
  *   Crusader Energy Group, Inc.                      198,498       871,406  
  *   Dawson Geophysical Co.                            75,050     4,707,886  
* #   Dune Energy, Inc.                                372,110       357,226  


                                        

                                       10

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* #   Edge Petroleum Corp.                215,974     984,841  
  *   Endeavour International Corp.       781,460   1,344,111  
  *   Energy Partners, Ltd.               134,012   1,594,743  
  *   Evolution Petroleum Corp.            46,497     170,644  
* #   FieldPoint Petroleum Corp.           32,914     126,061  
* #   FX Energy, Inc.                     352,192   2,958,413  
* #   Gasco Energy, Inc.                  757,800   1,993,014  
  *   Geokinetics, Inc.                     5,000      97,900  
  *   Geomet, Inc.                         34,900     243,602  
* #   GeoResources, Inc.                   59,543     979,482  
* #   Goodrich Petroleum Corp.             99,800   5,074,830  
      Gulf Island Fabrication, Inc.       138,349   5,958,691  
* #   Gulfport Energy Corp.               388,542   5,183,150  
  *   Harvest Natural Resources, Inc.     487,800   5,404,824  
  *   HKN, Inc.                            25,195     237,337  
  #   Houston American Energy Corp.       266,977   2,274,644  
* #   Hyperdynamics Corp.                  11,100      17,982  
  *   Infinity, Inc.                      136,487     116,014  
  *   James River Coal Co.                 97,873   4,127,304  
  *   Kodiak Oil & Gas Corp.              290,498     842,444  
      Lufkin Industries, Inc.              76,698   7,116,807  
  *   Matrix Service Co.                  252,394   6,632,914  
* #   McMoran Exploration Co.             161,187   4,408,464  
  *   Meridian Resource Corp.             810,972   2,197,734  
* #   Mexco Energy Corp.                   16,248     464,693  
  *   Mitcham Industries, Inc.             94,300   1,440,904  
  *   NATCO Group, Inc. Class A           170,198   8,627,337  
* #   National Coal Corp.                 145,689   1,212,132  
  *   Natural Gas Services Group          103,600   2,687,384  
  *   New Concept Energy, Inc.              8,773      51,322  
  *   Newpark Resources, Inc.             880,469   7,554,424  
  *   Northern Oil & Gas, Inc.              9,000      66,600  
  *   OMNI Energy Services Corp.          171,145     753,038  
* #   Pacific Ethanol, Inc.               394,786     813,259  
  #   Panhandle Royalty Co.                55,492   2,008,810  
  *   Parallel Petroleum Corp.            346,786   4,591,447  
* #   Parker Drilling Co.                 440,400   4,082,508  
  *   Petroleum Development Corp.          80,720   4,906,969  
* #   PetroQuest Energy, Inc.             458,562   8,478,811  
  *   PHI, Inc. (69336T106)                 2,314      88,522  
  *   PHI, Inc. (69336T205)               114,859   4,411,734  
  *   Pioneer Drilling Co.                378,705   6,347,096  
* #   PowerSecure International, Inc.     151,500   1,224,120  
* #   Pyramid                               5,720      78,307  
* #   Quest Resource Corp.                142,239     684,170  
* #   Rentech, Inc.                     1,286,825   3,036,907  
* #   Royale Energy, Inc.                  52,230     374,489  
* #   SulphCo, Inc.                       647,100   1,889,532  
  *   Superior Well Services, Inc.        167,894   5,533,786  
* #   Syntroleum Corp.                    463,596     751,026  
  *   T-3 Energy Services, Inc.            76,295   4,259,550  
* #   Teton Energy Corp.                  148,193     600,182  
  *   TGC Industries, Inc.                173,766   1,265,016  
* #   Toreador Resources Corp.            158,909   1,374,563  
* #   Transmeridian Exploration, Inc.     831,700     282,778  


                                        

                                       11

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* #   Trico Marine Services, Inc.                   145,226     3,449,117  
* #   Tri-Valley Corp.                              225,222     1,581,058  
* #   TXCO Resources, Inc.                          326,057     3,948,550  
  *   Union Drilling, Inc.                          141,054     2,005,788  
* #   Uranium Energy Corp.                            2,300         4,577  
* #   Uranium Resources, Inc.                       209,172       481,096  
  #   USEC, Inc.                                     84,200       484,992  
  *   VAALCO Energy, Inc.                           534,600     4,185,918  
* #   Venoco, Inc.                                   28,400       478,824  
* #   VeraSun Energy Corp.                           29,800       171,648  
* #   Verenium Corp.                                476,046     1,075,864  
* #   Warren Resources, Inc.                        477,074     5,386,165  
* #   Westmoreland Coal Co.                          86,167     1,738,850  
      World Fuel Services Corp.                     132,519     3,817,872  
Total Energy                                                  216,056,827  
                                                                           
Financials — (12.2%)                                                       
* #   1st Constitution Bancorp                        8,846       103,498  
      1st Independence Financial Group, Inc.          6,285       115,895  
  *   1st Pacific Bancorp                             3,264        22,179  
      1st Source Corp.                              204,017     4,433,289  
      21st Century Holding Co.                       74,434       499,452  
      Abigail Adams National Bancorp, Inc.           15,312        88,044  
      Abington Bancorp, Inc.                         47,085       465,671  
      Access National Corp.                          45,572       272,521  
      Advance America Cash Advance Centers, Inc.    109,597       539,217  
      Advanta Corp. Class A                          19,594       127,753  
      Advanta Corp. Class B                         109,375       834,531  
      Affirmative Insurance Holdings, Inc.           41,908       252,705  
      Alliance Bancorp, Inc. of Pennsylvania         10,220        91,878  
      Alliance Financial Corp.                       10,944       273,381  
* #   Alphatec Holdings, Inc.                       176,970       847,686  
  *   AmComp, Inc.                                   11,764       141,168  
  #   Amcore Financial, Inc.                        241,938     2,126,641  
      Ameriana Bancorp                               20,650       170,362  
      American Bancorp of New Jersey, Inc.           78,536       830,126  
      American Equity Investment Life Holding Co.   509,800     4,685,062  
  *   American Independence Corp.                    18,018       120,000  
      American National Bankshares, Inc.             10,488       176,618  
      American Physicians Capital, Inc.              98,047     4,147,388  
      American Physicians Services Group, Inc.       36,700       810,336  
      American River Bankshares                      57,206       597,231  
  *   American Spectrum Realty, Inc.                  2,711        96,240  
  #   American West Bancorporation                  138,113       237,554  
      Ameris Bancorp                                121,250     1,457,425  
  *   Amerisafe, Inc.                               129,699     2,398,135  
  *   AmeriServe Financial, Inc.                    189,054       535,023  
      AmTrust Financial Services, Inc.               69,184       972,727  
  #   Anchor Bancorp Wisconsin, Inc.                216,528     1,662,935  
      Arrow Financial Corp.                         106,228     2,621,707  
      ASB Financial Corp.                             4,400        67,650  
  #   Asset Acceptance Capital Corp.                288,037     3,122,321  
  #   ASTA Funding, Inc.                            136,969     1,134,103  
  *   Atlantic American Corp.                       159,332       238,201  
      Atlantic Coast Federal Corp.                   55,512       438,545  


                                        

                                       12

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  #   Atlantic Southern Financial Group, Inc.     6,530      89,787  
  #   Auburn National Bancorporation, Inc.        4,282      97,330  
  *   B of I Holding, Inc.                          100         629  
      Baldwin & Lyons, Inc. Class A               1,834      41,338  
      Baldwin & Lyons, Inc. Class B              89,282   1,903,492  
      BancFirst Corp.                           152,633   7,347,753  
  *   Bancinsurance Corp.                        39,480     212,205  
      Bancorp Rhode Island, Inc.                 29,823     884,848  
  #   BancTrust Financial Group, Inc.             8,258      69,698  
      Bank Mutual Corp.                         106,508   1,283,421  
      Bank of Commerce Holdings                  25,399     165,093  
* #   Bank of Florida Corp.                      83,250     661,005  
  #   Bank of Granite Corp.                     144,524   1,107,054  
  #   Bank of the Ozarks, Inc.                  158,935   3,555,376  
      BankAtlantic Bancorp, Inc. Class A        155,800     289,788  
      BankFinancial Corp.                       212,776   3,174,618  
  #   Banner Corp.                              127,956   1,352,495  
      Bar Harbor Bankshares                      21,811     637,317  
      BCB Bancorp, Inc.                           6,578      92,092  
  *   BCSB Bancorp, Inc.                          4,921      53,983  
  *   Beach First National Bancshares, Inc.      46,850     387,449  
      Benjamin Franklin Bancorp, Inc.             8,197      98,774  
      Berkshire Bancorp, Inc.                     3,505      43,812  
      Berkshire Hills Bancorp, Inc.              83,135   2,211,391  
      Beverly Hills Bancorp, Inc.               193,155     264,622  
      Beverly National Corp.                      1,000      19,500  
  *   BFC Financial Corp.                       166,730     120,046  
  *   BGC Partners, Inc. Class A                181,675   1,197,238  
  *   BNCCORP, Inc.                              12,585     126,479  
  *   BNS Holding, Inc.                          26,480     369,131  
      Boston Private Financial Holdings, Inc.    36,394     325,362  
  *   Bridge Capital Holdings                    25,359     318,255  
  *   Broadopoint Securities Group, Inc.        114,506     383,595  
      Brooke Corp.                               90,649      58,015  
      Brookline Bancorp, Inc.                   459,669   4,725,397  
  #   Brooklyn Federal Bancorp, Inc.             17,788     266,820  
      Brunswick Bancorp                             120         900  
  #   Bryn Mawr Bank Corp.                       49,995   1,107,889  
  #   C&F Financial Corp.                        11,925     262,350  
  #   Cadence Financial Corp.                    20,689     190,132  
      California First National Bancorp          80,050     921,375  
      Camco Financial Corp.                      26,162     278,625  
  #   Camden National Corp.                      71,594   2,318,930  
      Capital Bank Corp.                         10,743     109,579  
  #   Capital City Bank Group, Inc.             150,073   3,636,269  
  #   Capital Corp. of the West                  98,018     311,697  
      Capital Properties, Inc.                    3,690      92,250  
      Capital Southwest Corp.                     4,918     659,209  
  #   Capitol Bancorp, Ltd.                     157,890   2,426,769  
      Cardinal Financial Corp.                  228,985   1,944,083  
      Carrollton Bancorp                          1,700      18,462  
      Carver Bancorp, Inc.                        8,643      66,119  
      Cascade Financial Corp.                    33,664     309,036  
  #   Center Bancorp, Inc.                      127,896   1,351,861  
      Center Financial Corp.                    152,154   2,049,514  


                                        

                                       13

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  #   Centerstate Banks of Florida, Inc.     20,546     293,602  
      Central Bancorp, Inc.                  10,000     128,600  
      Central Pacific Financial Corp.        45,600     542,640  
      Central Virginia Bankshares, Inc.      11,891     165,344  
      Centrue Financial Corp.                15,686     199,683  
      Century Bancorp, Inc. Class A          13,723     236,722  
      CFS Bancorp, Inc.                     101,673     969,960  
      Charter Financial Corp.                   750      10,500  
      Chemical Financial Corp.              235,414   6,786,986  
  *   Chicopee Bancorp, Inc.                  7,576     101,367  
      Citizens Community Bancorp, Inc.          900       7,146  
      Citizens First Bancorp, Inc.           79,838     348,094  
      Citizens First Corp.                    1,300       9,490  
      Citizens Holding Co.                    2,417      47,156  
      Citizens South Banking Corp.           56,037     448,296  
* #   Citizens, Inc.                        388,983   2,769,559  
      City Holding Co.                      174,419   7,292,458  
  #   Clifton Savings Bancorp, Inc.          19,645     216,488  
  *   CNA Surety Corp.                      334,342   5,372,876  
      CNB Financial Corp.                    24,191     323,676  
  #   CoBiz Financial, Inc.                 191,894   2,059,023  
      Codorus Valley Bancorp, Inc.            9,033     108,035  
  *   Colonial Bankshares, Inc.               4,265      44,910  
  #   Colony Bankcorp, Inc.                  36,293     390,513  
      Columbia Banking System, Inc.         159,361   2,231,054  
      Comm Bancorp, Inc.                      3,845     165,450  
  *   Command Security Corp.                    600       2,124  
      Commercial National Financial Corp.     3,800      49,438  
      Commonwealth Bankshares, Inc.          16,966     233,282  
* #   Community Bancorp                      41,480     218,185  
      Community Bank System, Inc.           282,197   6,377,652  
      Community Bankshares, Inc.              6,030     125,062  
      Community Capital Corp.                 3,442      32,871  
      Community Trust Bancorp, Inc.         150,480   5,047,099  
  #   Community West Bancshares              26,455     105,820  
      Compass Diversified Holdings          115,147   1,478,487  
* #   CompuCredit Corp.                      20,300     105,357  
      Consolidated-Tokoma Land Co.           51,100   2,109,919  
  *   Consumer Portfolio Services, Inc.     208,967     449,279  
      Cooperative Bankshares, Inc.           24,250     162,475  
  *   Core-Mark Holding Co., Inc.            41,875   1,235,312  
  #   Corus Bankshares, Inc.                181,767     721,615  
  *   Cowen Group, Inc.                      99,876     916,862  
  *   Cowlitz Bancorporation                  9,403      55,196  
      Crawford & Co. Class A                109,739   1,153,357  
  #   Crawford & Co. Class B                139,412   2,053,539  
  #   CVB Financial Corp.                   298,379   3,207,574  
  *   Dearborn Bancorp, Inc.                 21,086      96,996  
  #   Delta Financial Corp.                 219,200       3,288  
      Dime Community Bancshares             346,112   5,683,159  
* #   Dollar Financial Corp.                219,451   4,011,564  
      Donegal Group, Inc. Class A           180,377   3,243,178  
      Donegal Group, Inc. Class B            34,692     658,801  
      Eastern Insurance Holdings, Inc.       10,570     161,087  
      Eastern Virginia Bankshares, Inc.       5,635      90,160  


                                        

                                       14

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      ECB Bancorp, Inc.                                    3,122      74,928  
  *   eHealth, Inc.                                       45,528     675,636  
      EMC Insurance Group, Inc.                          133,763   3,250,441  
      Employers Holdings, Inc.                               200       3,476  
  *   Encore Bancshares, Inc.                             15,000     248,550  
  *   Encore Capital Group, Inc.                         207,755   2,638,488  
      Enterprise Bancorp, Inc.                             7,493      88,979  
  #   Enterprise Financial Services Corp.                 82,695   1,551,358  
  #   Epoch Holding Corp.                                 75,975     880,550  
      ESB Financial Corp.                                 97,688   1,043,308  
      ESSA Bancorp, Inc.                                  26,400     353,232  
      Evans Bancorp, Inc.                                  8,715     145,105  
      Evercore Partners, Inc. Class A                      2,200      29,172  
  *   Exlservice Holdings, Inc.                          110,968   1,209,551  
  *   EZCORP, Inc. Class A                               275,700   4,298,163  
  #   F.N.B. Corp.                                       335,207   3,918,570  
  #   Farmers Capital Bank Corp.                           6,700     200,129  
      Federal Agriculture Mortgage Corp. Class A           3,700      74,925  
  #   Federal Agriculture Mortgage Corp. Class C          86,200   2,525,660  
* #   Federal Trust Corp.                                  5,930       5,040  
      Fidelity Bancorp, Inc.                               5,416      62,284  
      Fidelity Southern Corp.                             82,500     325,875  
      Financial Federal Corp.                            272,250   6,798,082  
      Financial Institutions, Inc.                        58,777   1,032,712  
  *   First Acceptance Corp.                             442,702   1,452,063  
  *   First Advantage Bancorp                              4,853      54,354  
      First Bancorp                                      143,984   2,159,760  
      First Bancorp of Indiana, Inc.                       1,400      14,028  
  #   First Bancorp, Inc.                                 23,203     421,599  
      First Bancshares, Inc. (318687100)                   4,398      73,798  
      First Bancshares, Inc. (318916103)                   3,956      61,318  
  *   First Bank of Delaware                              50,014      93,526  
  #   First Busey Corp.                                  241,633   3,421,523  
      First Business Financial Services, Inc.              4,659      77,293  
  *   First California Financial Group, Inc.               4,595      39,333  
  *   First Cash Financial Services, Inc.                318,654   5,904,659  
  #   First Commonwealth Financial Corp.                 284,400   3,250,692  
  #   First Community Bancshares, Inc.                   109,410   3,493,461  
      First Defiance Financial Corp.                      68,992   1,130,779  
  #   First Federal Bancshares of Arkansas, Inc.          46,800     359,892  
      First Federal Bankshares, Inc.                       1,350       8,100  
      First Federal of Northern Michigan Bancorp, Inc.    13,700      67,130  
  #   First Financial Bancorp                            375,426   4,888,047  
  #   First Financial Bankshares, Inc.                   145,421   7,135,808  
      First Financial Corp.                              122,845   5,095,611  
      First Financial Holdings, Inc.                     122,500   2,675,400  
      First Financial Service Corp.                       17,764     357,589  
      First Franklin Corp.                                 2,153      17,224  
  *   First Investors Financial Services Group, Inc.      43,200     207,360  
  *   First Keystone Financial, Inc.                      16,800     161,280  
      First M&F Corp.                                     18,289     195,144  
* #   First Mariner Bancorp, Inc.                         23,940      58,892  
      First Merchants Corp.                              167,116   3,223,668  
  *   First Mercury Financial Corp.                        8,327     122,657  
* #   First National Bancshares, Inc.                      2,956      18,253  


                                        

                                       15

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      First PacTrust Bancorp, Inc.                20,212     254,671  
      First Place Financial Corp.                158,911   1,614,536  
* #   First Regional Bancorp                     116,849     598,267  
      First Security Group, Inc.                  19,211     151,575  
  #   First South Bancorp, Inc.                   59,911   1,058,627  
  #   First State Bancorporation                 179,336   1,024,009  
      First State Financial Corp.                 17,196     100,081  
      First United Corp.                          26,172     525,534  
      First West Virginia Bancorp, Inc.            1,000      14,750  
      Firstbank Corp.                             35,127     318,602  
  *   FirstCity Financial Corp.                  106,795     666,401  
  #   Flagstar Bancorp, Inc.                     298,800   1,323,684  
      Flushing Financial Corp.                   201,469   3,503,546  
      FNB United Corp.                            19,043     143,203  
  *   Forestar Real Estate Group, Inc.            54,708   1,102,913  
  *   Fox Chase Bancorp, Inc.                     14,142     171,825  
  *   FPIC Insurance Group, Inc.                  93,997   4,855,885  
* #   Franklin Bank Corp.                        155,974      89,061  
* #   Franklin Credit Management Corp.            18,500       7,400  
  #   Frontier Financial Corp.                   117,577   1,310,984  
  #   Gateway Financial Holdings, Inc.           103,567     713,577  
      German American Bancorp, Inc.               35,365     459,391  
  *   Golfsmith International Holdings, Inc.       1,000       3,330  
      Gouverneur Bancorp, Inc.                     3,570      27,453  
  #   Great Southern Bancorp, Inc.               135,067   1,400,645  
  *   Greater Atlantic Financial Corp.               200         460  
  #   Greene Bancshares, Inc.                     98,331   1,519,214  
      Grubb & Ellis Co.                          281,049     975,240  
      GS Financial Corp.                           9,668     149,854  
* #   Guaranty Bancorp                           222,959   1,255,259  
      Guaranty Federal Bancshares, Inc.           25,814     368,624  
  #   Habersham Bancorp                              740       4,817  
  *   Hallmark Financial Services, Inc.           85,120     785,658  
  #   Hanmi Financial Corp.                       92,906     474,750  
      Harleysville Group, Inc.                        32       1,161  
  #   Harleysville National Corp.                264,106   3,882,358  
      Harleysville Savings Financial Corp.         3,362      46,194  
  #   Harrington West Financial Group, Inc.        9,629      34,183  
* #   Harris & Harris Group, Inc.                 26,503     194,002  
      Hawthorn Bancshares, Inc.                    2,859      68,073  
  #   Heartland Financial USA, Inc.               48,642   1,047,262  
  #   Hercules Technology Growth Capital, Inc.   133,455   1,389,267  
      Heritage Commerce Corp.                    114,368   1,374,703  
      Heritage Financial Corp.                    87,885   1,240,936  
      Heritage Financial Group                     1,675      17,738  
      HF Financial Corp.                          33,592     515,973  
  *   HFF, Inc.                                   49,900     248,502  
  *   Hilltop Holdings, Inc.                      18,000     187,380  
      Hingham Institution for Savings              9,194     271,223  
      HMN Financial, Inc.                         37,346     531,807  
  #   Home Bancshares, Inc.                       73,317   1,761,808  
      Home Federal Bancorp, Inc.                  29,990     329,890  
      HopFed Bancorp, Inc.                         4,655      56,279  
      Horace Mann Educators Corp.                 23,400     348,660  
      Horizon Bancorp                              6,017     133,638  


                                        

                                       16

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  #   Horizon Financial Corp.              117,723     959,442  
  *   HouseValues, Inc.                     13,449      37,926  
      IBERIABANK Corp.                     108,162   5,865,625  
  #   Imperial Capital Bancorp, Inc.        51,800     463,092  
      Independence Holding Co.              46,258     607,830  
      Independent Bank Corp. (MA)          140,701   3,891,790  
  #   Independent Bank Corp. (MI)          214,800   1,591,668  
      Indiana Community Bancorp             37,400     562,870  
      Infinity Property & Casualty Corp.   159,371   7,410,751  
      Integra Bank Corp.                   161,455   1,034,927  
  *   International Assets Holding Corp.     9,833     279,257  
      Intervest Bancshares Corp.            70,600     561,976  
      Investors Title Co.                   21,702     953,803  
  #   Irwin Financial Corp.                280,400   1,096,364  
  *   Jacksonville Bancorp, Inc.             1,193      18,641  
      Jefferson Bancshares, Inc.             5,911      54,677  
  *   Jesup & Lamont, Inc.                   2,025       2,187  
* #   KBW, Inc.                             70,650   2,087,001  
      Kearny Financial Corp.                89,858   1,248,128  
  *   Kennedy-Wilson, Inc.                  76,600   3,332,100  
  *   Kent Financial Services, Inc.         49,712      90,973  
      Kentucky First Federal Bancorp        17,951     170,534  
  #   K-Fed Bancorp                         33,755     342,276  
  *   LaBranche & Co., Inc.                166,500   1,070,595  
  #   Lakeland Bancorp, Inc.               101,006   1,191,871  
      Lakeland Financial Corp.              85,808   1,747,909  
      Landmark Bancorp, Inc.                 9,792     210,528  
      Legacy Bancorp, Inc.                  34,925     481,616  
  #   Life Partners Holdings, Inc.          69,663   2,017,440  
      Lincoln Bancorp                        7,057      70,005  
  *   Liquidity Services, Inc.             102,074   1,118,731  
      LNB Bancorp, Inc.                     16,004     137,474  
* #   Loopnet, Inc.                        132,145   1,408,666  
      LSB Corp.                             25,632     378,072  
      LSB Financial Corp.                    2,423      44,825  
  #   Macatawa Bank Corp.                  154,898   1,253,125  
  #   MainSource Financial Group, Inc.     126,766   2,295,732  
  *   MarketAxess Holdings, Inc.           292,095   2,935,555  
* #   Marlin Business Services, Inc.       118,674     906,669  
      MASSBANK Corp.                        34,072   1,356,406  
      Mayflower Bancorp, Inc.                2,950      29,057  
  *   Mays (J.W.), Inc.                      2,700      45,468  
      MB Financial, Inc.                    72,994   2,031,423  
  #   MBT Financial Corp.                  168,253     765,551  
      MCG Capital Corp.                    212,452     739,333  
      Meadowbrook Insurance Group, Inc.    444,384   2,977,379  
      Medallion Financial Corp.            161,000   1,671,180  
  #   Mercantile Bancorp, Inc.              11,389     193,328  
      Mercantile Bank Corp.                 34,131     293,868  
      Mercer Insurance Group, Inc.          59,656     990,290  
      Merchants Bancshares, Inc.            62,524   1,438,052  
* #   Meridian Interstate Bancorp, Inc.      9,700      93,508  
      Meta Financial Group, Inc.            22,423     417,068  
      MetroCorp Bancshares, Inc.            61,406     783,541  
      MicroFinancial, Inc.                  69,540     300,413  


                                        

                                       17

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      Mid Penn Bancorp, Inc.                            4,957     124,173  
  #   MidSouth Bancorp, Inc.                           18,707     332,049  
  #   Midwest Banc Holdings, Inc.                     216,843   1,207,816  
      MidWestOne Financial Group, Inc.                  2,154      30,178  
      Monroe Bancorp                                   12,000     140,520  
  *   Move, Inc.                                    1,396,321   3,770,067  
  #   MSB Financial Corp.                               1,796      19,343  
      MutualFirst Financial, Inc.                      37,037     391,481  
  #   Nara Bancorp, Inc.                              255,746   2,800,419  
  #   National Interstate Corp.                       106,747   2,074,094  
  #   National Penn Bancshares, Inc.                  200,718   2,866,253  
      National Security Group, Inc.                    12,602     172,143  
      National Western Life Insurance Co. Class A       5,951   1,424,907  
      Naugatuck Valley Financial Corp.                  3,639      34,534  
  *   Navidec Financial, Inc.                           3,516       5,801  
  *   Navigators Group, Inc.                          150,925   7,908,470  
      NBT Bancorp, Inc.                               335,433   8,416,014  
      Nelnet, Inc. Class A                             57,463     903,318  
  *   New Century Bancorp, Inc.                         7,759      71,926  
      New England Bancshares, Inc.                      2,680      27,751  
      New Hampshire Thrift Bancshares, Inc.            19,518     189,325  
      New Westfield Financial, Inc.                    70,796     723,535  
      NewBridge Bancorp                                78,909     472,665  
  *   Newport Bancorp, Inc.                             5,777      69,757  
  *   Newstar Financial, Inc.                           9,091      80,001  
  *   Newtek Business Services, Inc.                  243,027     165,258  
* #   NexCen Brands, Inc.                             493,934     182,904  
  *   Nexity Financial Corp.                              680       1,421  
      North Central Bancshares, Inc.                   17,500     341,250  
      North Valley Bancorp                              9,800      67,130  
      Northeast Bancorp                                13,100     146,065  
      Northeast Community Bancorp, Inc.                 5,798      58,560  
      Northrim Bancorp, Inc.                           57,536     953,372  
      Northway Financial, Inc.                            982      12,864  
  #   Norwood Financial Corp.                           3,598     110,638  
  #   NYMAGIC, Inc.                                    81,344   1,763,538  
      Ocean Shore Holding Co.                          12,131     121,674  
      OceanFirst Financial Corp.                      112,791   2,035,878  
* #   Ocwen Financial Corp.                           353,332   2,462,724  
      Ohio Valley Banc Corp.                            8,083     181,867  
  #   Old Second Bancorp, Inc.                         99,705   1,688,006  
  *   Optimumbank Holdings, Inc.                        2,586      16,292  
* #   Oritani Financial Corp.                          48,375     815,602  
      Osage Bancshares, Inc.                            3,503      34,067  
  #   PAB Bankshares, Inc.                             26,693     199,130  
  #   Pacific Capital Bancorp                          83,125   1,222,769  
  #   Pacific Continental Corp.                        81,461   1,002,785  
      Pacific Mercantile Bancorp                       92,217     627,076  
  *   Pacific Premier Bancorp, Inc.                    30,012     158,163  
  *   Pacific State Bancorp                            14,502     100,426  
      Pamrapo Bancorp, Inc.                            43,227     594,804  
      Park Bancorp, Inc.                                3,302      39,459  
  #   Park National Corp.                              14,126     865,924  
      Parkvale Financial Corp.                         50,795   1,121,046  
      Patriot Capital Funding, Inc.                    14,627     108,532  


                                        

                                       18

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      Patriot National Bancorp                           7,461     102,589  
      PAULA Financial                                   49,300      99,339  
  #   Peapack-Gladstone Financial Corp.                 66,781   1,958,687  
  *   Penn Treaty American Corp.                       198,867     445,462  
      Penns Woods Bancorp, Inc.                         22,140     654,237  
* #   Pennsylvania Commerce Bancorp, Inc.               59,182   1,654,729  
  *   Penson Worldwide, Inc.                           105,265   1,773,715  
      Peoples Bancorp of North Carolina                 14,205     158,386  
      Peoples Bancorp, Inc. (709788202)                  3,331      42,887  
      Peoples Bancorp, Inc. (709789101)                 96,416   1,980,385  
      Peoples Community Bancorp                            900       1,674  
  #   PFF Bancorp, Inc.                                116,500     142,130  
  *   Pico Holdings, Inc.                              170,271   8,111,710  
      Pinnacle Bancshares, Inc.                          2,000      17,520  
* #   Pinnacle Financial Partners, Inc.                139,835   3,540,622  
  *   PMA Capital Corp. Class A                        303,756   2,882,644  
  #   PMI Group, Inc.                                  113,700     408,183  
      Porter Bancorp, Inc.                              11,558     215,094  
* #   Portfolio Recovery Associates, Inc.              156,728   6,667,209  
  #   Preferred Bank                                    38,549     376,624  
      Premier Financial Bancorp, Inc.                   18,300     173,850  
      Presidential Life Corp.                          226,349   4,074,282  
      Princeton National Bancorp, Inc.                  14,057     383,053  
  #   PrivateBancorp, Inc.                             107,404   3,290,859  
      Providence Community Bancshares, Inc.              2,961      39,115  
  #   Provident Bankshares Corp.                        40,500     313,470  
  #   Provident Financial Holdings, Inc.                72,400     459,016  
      Provident Financial Services, Inc.               120,774   1,841,803  
      Provident New York Bancorp                       413,654   5,724,971  
      Prudential Bancorp, Inc. of Pennsylvania           1,732      18,082  
      PSB Holdings, Inc.                                   599       4,972  
      Pulaski Financial Corp.                           93,234     904,370  
  #   QC Holdings, Inc.                                120,144     760,512  
      Rainier Pacific Financial Group, Inc.             51,047     374,685  
      Renasant Corp.                                   144,153   2,725,933  
  #   Republic Bancorp, Inc. Class A                   179,255   5,311,326  
  *   Republic First Bancorp, Inc.                      71,317     641,140  
      Resource America, Inc.                           172,380   2,128,893  
  *   Rewards Network, Inc.                            261,950   1,322,847  
      Riverview Bancorp, Inc.                           96,249     626,581  
  #   Rockville Financial, Inc.                         46,555     673,651  
  #   Roma Financial Corp.                              11,928     181,186  
      Rome Bancorp, Inc.                                53,296     575,597  
      Royal Bancshares of Pennsylvania, Inc. Class A    25,954     123,801  
      Rurban Financial Corp.                             2,810      28,044  
  #   S&T Bancorp, Inc.                                180,905   6,071,172  
  #   S.Y. Bancorp, Inc.                               131,985   3,727,256  
      Safety Insurance Group, Inc.                      68,016   2,924,688  
      Salisbury Bancorp, Inc.                            1,631      48,114  
      Sanders Morris Harris Group, Inc.                183,086   1,922,403  
  #   Sandy Spring Bancorp, Inc.                       152,497   2,729,696  
  #   SCBT Financial Corp.                              77,631   2,626,257  
  *   Seabright Insurance Holdings                     165,630   2,010,748  
  #   Seacoast Banking Corp. of Florida                173,713   1,525,200  
  #   Security Bank Corp.                               82,743     313,596  


                                        

                                       19

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  *   Security National Financial Corp. Class A    11,461      28,652  
  #   Shore Bancshares, Inc.                       13,327     305,322  
      SI Financial Group, Inc.                        600       5,760  
      Siebert Financial Corp.                      42,300     132,610  
  #   Sierra Bancorp                               89,538   1,414,700  
  *   Signature Bank                              121,734   3,599,674  
      Simmons First National Corp. Class A        138,653   3,940,518  
  #   Smithtown Bancorp, Inc.                      90,817   1,726,431  
  #   South Street Financial Corp.                  2,945      16,566  
  *   Southcoast Financial Corp.                   28,688     330,629  
      Southern Community Financial Corp.           45,516     221,663  
  *   Southern Connecticut Bancorp, Inc.            7,638      52,320  
  *   Southern First Bancshares, Inc.              22,127     249,371  
      Southern Missouri Bancorp, Inc.               1,343      19,903  
      SouthFirst Bancshares, Inc.                     100         822  
      Southside Bancshares, Inc.                   87,842   1,910,563  
      Southwest Bancorp, Inc.                     139,840   2,354,906  
      Southwest Georgia Financial Corp.            10,065     171,608  
  #   State Bancorp, Inc.                         107,076   1,590,079  
  #   StellarOne Corp.                             64,855   1,088,915  
      Sterling Bancorp                            309,669   4,827,740  
      Sterling Bancshares, Inc.                   632,637   6,225,148  
      Sterling Financial Corp.                     11,300     115,147  
      Stewart Information Services Corp.           56,300   1,053,373  
  *   Stifel Financial Corp.                      206,374   8,434,505  
  *   Stratus Properties, Inc.                     69,398   2,014,624  
  #   Suffolk Bancorp                              99,389   3,531,291  
  *   Sun American Bancorp                          7,880      15,918  
  *   Sun Bancorp, Inc.                           216,484   2,554,511  
* #   Superior Bancorp                             75,613     508,119  
      Sussex Bancorp                                5,160      39,732  
      SWS Group, Inc.                             268,623   5,420,812  
      Taylor Capital Group, Inc.                   71,940     779,110  
      Team Financial, Inc.                          3,892      15,412  
      Teche Holding Co.                             7,515     249,874  
* #   Tejon Ranch Co.                             164,529   5,628,537  
  #   Temecula Valley Bancorp, Inc.                73,925     381,453  
  *   Texas Capital Bancshares, Inc.              171,944   2,684,046  
      TF Financial Corp.                           18,751     404,272  
  *   The Bancorp, Inc.                           135,100     621,460  
  *   The Intergroup Corp.                          6,500     108,582  
      The Savannah Bancorp, Inc.                   12,616     183,563  
      The Wilber Corp.                             19,763     166,009  
      Thomas Properties Group, Inc.                78,564     756,571  
  *   Thomas Weisel Partners Group, Inc.           39,221     240,033  
  #   TIB Financial Corp.                          30,230     211,610  
  *   Tidelands Bancshares, Inc.                   10,102      76,573  
  #   TierOne Corp.                               163,324     922,781  
  #   Timberland Bancorp, Inc.                     75,326     590,556  
      Tompkins Financial Corp.                     82,112   3,718,031  
      Tower Financial Corp.                         4,050      39,366  
  #   Tower Group, Inc.                           194,624   4,077,373  
  #   TowneBank                                     8,808     172,020  
  *   Tradestation Group, Inc.                    410,037   4,116,771  
* #   Trenwick Group, Ltd.                         12,662           4  


                                        

                                       20

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* #   Triad Guaranty, Inc.                   95,939       146,787  
      Trico Bancshares                      150,603     2,475,913  
  #   TrustCo Bank Corp. (NY)               535,137     5,233,640  
  #   Umpqua Holdings Corp.                 182,880     2,553,005  
  *   Unico American Corp.                  114,100       952,735  
      Union Bankshares Corp.                120,442     2,735,238  
      Union Bankshares, Inc.                  9,882       197,344  
  *   United America Indemnity, Ltd.         54,564       830,464  
      United Bancshares, Inc.                 4,692        53,395  
  *   United Capital Corp.                   90,008     2,230,398  
  #   United Community Banks, Inc.           18,500       217,560  
      United Community Financial Corp.      263,953       952,870  
      United Financial Bancorp, Inc.         51,584       659,759  
      United Fire & Casualty Co.             81,501     2,423,840  
  *   United PanAm Financial Corp.          150,147       557,045  
  #   United Security Bancshares (CA)        88,454     1,279,929  
      United Western Bancorp, Inc.           35,127       381,830  
      Unity Bancorp, Inc.                    31,871       182,621  
      Universal Insurance Holdings, Inc.    106,081       395,682  
  #   Univest Corporation of Pennsylvania    99,127     2,863,779  
      ViewPoint Financial Group              54,276       889,584  
  #   Vineyard National Bancorp Co.          91,127        61,055  
* #   Virginia Commerce Bancorp, Inc.       257,461     1,359,394  
      VIST Financial Corp.                    8,627       116,464  
  *   Waccamaw Bankshares, Inc.               9,973        64,824  
      Wainwright Bank & Trust Co.            12,087       107,695  
      Washington Banking Co.                 71,095       654,074  
      Washington Trust Bancorp, Inc.        132,221     3,248,670  
  *   Waterstone Financial, Inc.             64,480       633,838  
      Wayne Savings Bancshares, Inc.          1,789        17,300  
      Wesbanco, Inc.                        244,944     6,069,712  
  #   West Bancorporation                   169,596     2,057,199  
      West Coast Bancorp                    149,461     1,641,082  
* #   Western Alliance Bancorp               16,500       214,500  
      Westwood Holdings Group, Inc.          68,070     3,274,167  
  *   White River Capital, Inc.               2,922        46,021  
      Willow Financial Bancorp, Inc.        146,353     1,451,822  
  #   Wilshire Bancorp, Inc.                264,376     3,587,582  
  *   Wilshire Enterprises, Inc.            130,375       479,780  
      Wintrust Financial Corp.               96,528     2,244,276  
  *   World Acceptance Corp.                177,000     6,906,540  
  #   WSB Holdings, Inc.                     44,668       218,873  
      WSFS Financial Corp.                   12,200       652,334  
      WVS Financial Corp.                     3,295        52,555  
  #   Yadkin Valley Financial Corp.          16,400       268,140  
* #   ZipRealty, Inc.                       117,880       533,996  
Total Financials                                      626,703,664  
                                                                   
Health Care — (12.8%)                                              
  *   A.D.A.M., Inc.                         11,300        73,337  
* #   Abaxis, Inc.                          200,562     3,989,178  
* #   Abiomed, Inc.                         269,889     4,863,400  
* #   Acadia Pharmaceuticals, Inc.          342,908       874,415  
  *   Accelr8 Technology Corp.               27,482       106,768  
  *   Accelrys, Inc.                        265,239     1,360,676  


                                        

                                       21

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* #   Accentia Biopharmaceuticals, Inc.        56,286      44,466  
* #   Access Pharmaceuticals, Inc.             15,200      47,120  
* #   Achillion Pharmaceuticals, Inc.         147,200     385,664  
* #   Acorda Therapeutics, Inc.                31,787     894,804  
* #   Acusphere, Inc.                         150,891      65,034  
  *   Adolor Corp.                            294,513     960,112  
* #   Advanced Life Sciences Holdings, Inc.   280,200     313,824  
* #   ADVENTRX Pharmaceuticals, Inc.          511,200     143,187  
  *   Affymax, Inc.                             8,129     152,337  
* #   Air Methods Corp.                       117,580   3,394,535  
* #   Akorn, Inc.                             714,437   3,465,019  
  *   Albany Molecular Research, Inc.         326,551   5,691,784  
* #   Alexza Pharmaceuticals, Inc.             78,576     417,239  
* #   Align Technology, Inc.                   73,468     958,023  
  *   Alliance Imaging, Inc.                  473,700   5,499,657  
  *   Allied Healthcare International, Inc.   352,871     801,017  
  *   Allied Healthcare Products, Inc.         65,800     416,185  
  *   Allion Healthcare, Inc.                  75,516     521,816  
  *   Allos Therapeutics, Inc.                651,602   6,079,447  
  *   Allscripts Healthcare Solutions, Inc.    54,667     783,925  
* #   Almost Family, Inc.                      29,219   1,320,991  
* #   Alteon, Inc.                              4,418       7,069  
  *   Altus Pharmaceuticals, Inc.              22,200      35,298  
* #   Amag Pharmaceuticals, Inc.              119,140   4,609,527  
  *   America Services Group, Inc.             99,692   1,080,661  
  *   American Caresource Holding, Inc.         5,254      42,400  
  *   American Claims Evaluation, Inc.          3,100       3,534  
  *   American Dental Partners, Inc.          123,120   1,539,000  
  *   American Shared Hospital Services        35,563      99,576  
  *   AMICAS, Inc.                            434,714   1,273,712  
  *   AMN Healthcare Services, Inc.           332,900   6,325,100  
  *   Amsurg Corp.                            297,081   8,053,866  
  *   Anadys Pharmaceuticals, Inc.              8,196      21,637  
      Analogic Corp.                          128,346   8,689,024  
  *   Anesiva, Inc.                           107,121     234,595  
  *   Angeion Corp.                             1,294       6,664  
  *   AngioDynamics, Inc.                     170,383   2,799,393  
  *   Anika Therapeutics, Inc.                104,533     891,666  
* #   Antigenics, Inc.                        429,428     747,205  
  *   AP Pharma, Inc.                          48,350      71,074  
  *   Apria Healthcare Group, Inc.             67,515   1,335,447  
  *   Aradigm Corp.                            29,208      18,985  
* #   Arcadia Resources, Inc.                 126,700      34,209  
* #   Ardea Biosciences, Inc.                  50,457     672,087  
* #   Arena Pharmaceuticals, Inc.             598,979   3,635,803  
* #   Ariad Pharmaceuticals, Inc.             631,834   1,965,004  
* #   Arqule, Inc.                            388,417   1,367,228  
* #   Array BioPharma, Inc.                   395,379   3,230,246  
  *   Arrhythmia Research Technology, Inc.     26,575     136,994  
* #   Aspect Medical Systems, Inc.            216,544   1,132,525  
  *   Assisted Living Concepts, Inc.          192,260   1,361,201  
* #   AtheroGenics, Inc.                      358,831     233,240  
  *   AtriCure, Inc.                           38,486     394,481  
  #   Atrion Corp.                             18,901   2,178,907  
  *   ATS Medical, Inc.                       226,618     670,789  


                                        

                                       22

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  *   Avalon Pharmaceuticals, Inc.                74,342      40,896  
  *   AVANIR Pharmaceuticals Class A             314,452     277,032  
* #   AVANT Immunotherapeutics, Inc.              63,273     875,066  
* #   AVI BioPharma, Inc.                        482,772     540,705  
  *   Avigen, Inc.                               262,088   1,069,319  
  *   Bioanalytical Systems, Inc.                 30,040     145,994  
* #   BioCryst Pharmaceuticals, Inc.             285,900     963,483  
  *   Bio-Imaging Technologies, Inc.             150,975   1,194,212  
* #   BioLase Technology, Inc.                   230,885     591,066  
  *   BioMimetic Therapeutics, Inc.               77,565     893,549  
  *   Bio-Reference Laboratories, Inc.           134,668   3,815,144  
* #   BioSante Pharmaceuticals, Inc.             227,470   1,176,020  
  *   BioScrip, Inc.                             356,462   1,432,977  
  *   BioSphere Medical, Inc.                    173,307     726,156  
  *   Bovie Medical Corp.                        158,799   1,159,233  
  *   Bruker BioSciences Corp.                    56,381     870,523  
* #   BSD Medical Corp.                          208,291   1,655,913  
* #   Cadence Pharmaceuticals, Inc.               59,929     593,896  
  *   Caliper Life Sciences, Inc.                463,931   1,387,154  
      Cambrex Corp.                              279,840   1,816,162  
  *   Candela Corp.                              224,956     688,365  
  *   Cantel Medical Corp.                       149,670   1,435,335  
  *   Capital Senior Living Corp.                261,688   2,059,485  
  *   Caraco Pharmaceutical Laboratories, Ltd.   261,762   4,214,368  
  *   Cardiac Science Corp.                      187,226   1,919,066  
* #   Cardica, Inc.                               51,583     419,886  
  *   CardioDynamics International Corp.          34,800      47,676  
  *   Cardiotech International, Inc.             174,860      85,699  
* #   Cardium Therapeutics, Inc.                   2,100       4,305  
  *   CAS Medical Systems, Inc.                      997       3,320  
* #   Catalyst Pharmaceutical Partners, Inc.       9,756      40,097  
* #   Cell Genesys, Inc.                         632,533     619,882  
* #   Cell Therapeutics, Inc.                    118,819      27,447  
  *   Centene Corp.                                9,200     207,736  
  *   Cerus Corp.                                283,024   1,262,287  
  *   Chad Therapeutics, Inc.                     23,000       4,715  
  *   Clarient, Inc.                              44,200      95,030  
* #   Cleveland Biolabs, Inc.                      4,100      20,418  
* #   Clinical Data, Inc.                        140,074   2,315,423  
* #   Columbia Laboratories, Inc.                434,462   1,585,786  
* #   Combimatrix Corp.                           20,245     290,718  
  *   Combinatorx, Inc.                          277,918     878,221  
      Computer Programs & Systems, Inc.          100,981   2,739,615  
* #   Conceptus, Inc.                            282,206   4,769,281  
  *   Conmed Corp.                               266,279   8,510,277  
  *   Continucare Corp.                           10,250      26,035  
* #   Corcept Therapeutics, Inc.                 199,501     371,072  
* #   Cortex Pharmaceuticals, Inc.               243,740     224,241  
  *   Corvel Corp.                               139,347   4,056,391  
  *   CPEX Pharmaceuticals, Inc.                  20,495     338,372  
* #   Critical Therapeutics, Inc.                279,384      72,640  
  *   Cross Country Healthcare, Inc.             304,069   4,764,761  
  *   CryoLife, Inc.                             247,429   3,904,430  
  *   CuraGen Corp.                              533,496     512,156  
  *   Curis, Inc.                                404,216     703,336  


                                        

                                       23

--------------------------------------------------------------------------------

                                        

* #   Cutera, Inc.                      129,828   1,450,179  
* #   CV Therapeutics, Inc.             523,992   6,020,668  
* #   Cyberonics, Inc.                  250,000   5,362,500  
* #   Cyclacel Pharmaceuticals, Inc.    196,819     330,656  
  *   Cynosure, Inc. Class A             70,655   1,750,831  
* #   Cypress Bioscience, Inc.          340,354   2,334,828  
  *   Cytokinetics, Inc.                 88,442     459,898  
  *   Cytomedix, Inc.                    66,200      50,974  
* #   Cytori Therapeutics, Inc.         144,413     922,799  
* #   CytRx Corp.                         6,400       3,840  
      Datascope Corp.                   151,010   7,550,500  
      Daxor Corp.                        46,300     851,920  
  *   Del Global Technologies Corp.     157,042     235,563  
* #   Dendreon Corp.                    687,460   4,042,265  
* #   DepoMed, Inc.                     453,448   1,981,568  
* #   Dexcom, Inc.                      229,688   1,580,253  
  *   Dialysis Corporation of America    36,951     290,804  
  *   Digirad Corp.                      75,285     118,950  
* #   Discovery Laboratories, Inc.      733,463   1,466,926  
  *   Durect Corp.                      661,389   3,505,362  
  *   DUSA Pharmaceuticals, Inc.        158,876     263,734  
* #   Dyax Corp.                        580,767   2,787,682  
  *   Dynacq Healthcare, Inc.            67,234     326,085  
* #   Dynavax Technologies Corp.        369,482     605,950  
* #   Elite Pharmaceuticals, Inc.       170,713      39,264  
  *   Emageon, Inc.                     122,926     296,252  
  *   Emergent Biosolutions, Inc.        84,404   1,169,839  
* #   Emeritus Corp.                    209,968   4,665,489  
  *   Emisphere Technologies, Inc.      254,928     930,487  
  *   Encision, Inc.                      3,700       6,290  
* #   Endocare, Inc.                     23,766      58,227  
  *   Endologix, Inc.                   411,756   1,119,976  
  *   Entremed, Inc.                    493,456     231,924  
* #   Enzo Biochem, Inc.                337,687   4,373,047  
* #   Enzon Pharmaceuticals, Inc.       226,800   2,052,540  
* #   Epicept Corp.                      35,693      22,487  
  *   EPIX Pharmaceuticals, Inc.        298,596     528,515  
  *   eResearch Technology, Inc.        532,178   7,179,081  
  *   etrials Worldwide, Inc.            92,049     138,073  
  *   Evotec AG Sponsored ADR           140,285     568,154  
* #   Exact Sciences Corp.              264,863     283,403  
  *   Exactech, Inc.                    100,152   2,590,932  
* #   Exelixis, Inc.                    465,852   2,650,698  
* #   Farville, Inc.                     12,443         659  
  *   Five Star Quality Care, Inc.      316,616   1,272,796  
* #   Genaera Corp.                      29,683      33,542  
* #   Genitope Corp.                    336,125      16,806  
* #   Genomic Health, Inc.              192,364   4,299,335  
* #   Genta, Inc.                       141,120      47,981  
  *   Gentiva Health Services, Inc.     273,736   7,618,073  
* #   GenVec, Inc.                      701,062     960,455  
* #   Geron Corp.                       721,387   3,311,166  
  *   Greatbatch, Inc.                  219,343   5,356,356  
  *   GTC Biotherapeutics, Inc.         134,253      65,113  
* #   GTx, Inc.                         169,636   3,004,254  


                                        

                                       24

--------------------------------------------------------------------------------

                                        

* #   Halozyme Therapeutics, Inc.           329,900   2,573,220  
* #   Hana Biosciences, Inc.                 37,579      19,917  
  *   Hanger Orthopedic Group, Inc.         178,800   3,027,084  
  *   Harvard Bioscience, Inc.              302,596   1,385,890  
  *   Health Grades, Inc.                   139,095     463,186  
  *   HealthAxis, Inc.                        5,710       2,627  
  *   HealthStream, Inc.                    212,266     609,203  
  *   HealthTronics, Inc.                   325,205   1,372,365  
* #   Hemispherx Biopharma, Inc.            550,400     357,760  
  *   Hi-Tech Pharmacal Co., Inc.           109,775   1,028,592  
* #   HMS Holdings Corp.                    231,922   5,749,346  
* #   Hollis-Eden Pharmaceuticals, Inc.     227,168     381,642  
  *   Home Diagnostics, Inc.                 12,983     134,114  
      Hooper Holmes, Inc.                   672,769   1,029,337  
  *   Human Genome Sciences, Inc.            56,023     415,130  
* #   Hythiam, Inc.                         120,071     259,353  
  *   IBioPharma, Inc.                      116,875     187,000  
* #   Icagen, Inc.                           19,600      27,832  
  *   ICU Medical, Inc.                     137,591   4,178,639  
* #   Idenix Pharmaceuticals, Inc.          195,142   1,586,504  
* #   Idera Pharmaceuticals, Inc.           154,651   2,260,998  
* #   IDM Pharma, Inc.                       91,812     332,359  
  *   I-Flow Corp.                          233,186   2,287,555  
  *   Immtech International, Inc.           141,446      94,769  
  *   Immunicon Corp.                       251,597      15,096  
* #   ImmunoGen, Inc.                       412,276   2,218,045  
* #   Immunomedics, Inc.                    663,327   1,432,786  
* #   IMPATH Bankruptcy Liquidating Trust    70,200      18,252  
  *   Implant Sciences Corp.                 99,817     101,813  
  *   Incyte Corp.                          823,007   8,419,362  
* #   Indevus Pharmaceuticals, Inc.         681,291   1,498,840  
  *   Infinity Pharmaceuticals, Inc.        148,385   1,093,597  
  *   Inhibitex, Inc.                        97,500      59,475  
  *   Inovio Biomedical Corp.               366,304     351,652  
  *   Insite Vision, Inc.                    99,217      53,577  
* #   Insmed, Inc.                          119,993      57,597  
  *   Inspire Pharmaceuticals, Inc.         427,333   1,922,998  
  *   IntegraMed America, Inc.               76,638     626,132  
  *   Interleukin Genetics, Inc.             91,221      91,221  
* #   InterMune, Inc.                       309,720   5,875,388  
* #   Interpharm Holdings, Inc.             139,900       1,819  
* #   Introgen Therapeutics, Inc.           401,004     372,934  
      Invacare Corp.                        256,974   6,534,849  
* #   Iridex Corp.                           75,054     300,216  
  *   IRIS International, Inc.              177,276   3,283,152  
* #   Isolagen, Inc.                        338,100     453,054  
  *   IsoRay, Inc.                            4,000       3,600  
* #   Ista Pharmaceuticals, Inc.            292,733     526,919  
  *   IVAX Diagnostics, Inc.                 44,400      26,640  
* #   Javelin Pharmaceuticals, Inc.         395,170   1,102,524  
* #   Kendle International, Inc.            141,840   7,013,988  
  *   Kensey Nash Corp.                     122,700   4,418,427  
  *   Keryx Biopharmaceuticals, Inc.        397,094     210,460  
      Kewaunee Scientific Corp.              22,706     317,203  
  *   La Jolla Pharmaceutical Co.           363,497     643,390  


                                        

                                       25

--------------------------------------------------------------------------------

                                        

      Landauer, Inc.                               89,595   5,846,970  
  *   Langer, Inc.                                 18,400      18,400  
  *   Lannet Co., Inc.                            208,170     718,186  
  #   LCA-Vision, Inc.                            122,391     690,285  
  *   Lexicon Pharmaceuticals, Inc.             1,096,915   2,040,262  
  *   LHC Group, Inc.                             120,710   3,516,282  
  *   Ligand Pharmaceuticals, Inc. Class B        352,139   1,190,230  
  *   Lipid Sciences, Inc.                        188,800      66,080  
  *   Luminex Corp.                               292,726   7,461,586  
  *   Magyar Bancorp, Inc.                         15,118     139,841  
* #   Mannkind Corp.                               58,738     190,899  
* #   Martek Biosciences Corp.                     36,497   1,219,365  
  *   Matrixx Initiatives, Inc.                    93,800   1,662,136  
  *   Maxygen, Inc.                               359,381   1,771,748  
* #   MDRNA, Inc.                                 197,420     150,039  
  *   MedCath Corp.                               219,005   4,658,236  
  *   Medical Action Industries, Inc.             154,955   2,040,757  
  *   Medical Staffing Network Holdings, Inc.     227,000     610,630  
* #   MediciNova, Inc.                                300       1,155  
* #   Medivation, Inc.                            127,336   3,156,659  
  *   MEDTOX Scientific, Inc.                      79,672   1,392,667  
  *   Memory Pharmaceuticals Corp.                270,823      89,399  
  *   Memry Corp.                                 287,100     717,750  
      Merge Healthcare, Inc.                      221,137     278,633  
  *   Merit Medical Systems, Inc.                 262,180   5,075,805  
  *   Metabasis Therapeutics, Inc.                290,653     435,980  
  *   Metropolitan Health Networks, Inc.          468,252   1,039,519  
* #   Micromet, Inc.                              144,972     903,176  
  *   Micrus Endovascular Corp.                   117,071   1,475,095  
* #   MiddleBrook Pharmaceuticals, Inc.           391,623     814,576  
* #   Milestone Scientific, Inc.                   27,100      18,970  
* #   Minrad International, Inc.                  434,568     730,074  
* #   Molecular Insight Pharmaceuticals, Inc.       2,758      23,553  
* #   Molina Healthcare, Inc.                     105,756   3,328,141  
* #   Momenta Pharmaceuticals, Inc.               154,542   2,216,132  
* #   Monogram Biosciences, Inc.                  789,657     655,415  
  *   MTS Medication Technologies                  43,048     239,993  
* #   MWI Veterinary Supply, Inc.                  96,120   3,786,167  
  *   Nabi Biopharmaceuticals                     598,665   3,448,310  
* #   Nanogen, Inc.                               298,367      98,461  
  *   National Dentex Corp.                        42,932     406,137  
  #   National Healthcare Corp.                   103,884   5,191,083  
  #   National Research Corp.                      66,313   2,122,016  
* #   Natus Medical, Inc.                         212,592   5,229,763  
* #   Nektar Therapeutics                         172,154     683,451  
  *   Neogen Corp.                                135,771   3,539,550  
* #   Neopharm, Inc.                              252,632     101,053  
  *   Neose Technologies, Inc.                    374,618     131,116  
  *   Neurobiological Technologies, Inc.            2,085       2,502  
  *   Neurocrine Biosciences, Inc.                368,927   1,907,353  
* #   Neurogen Corp.                              358,098     107,429  
  *   Neurometric, Inc.                           109,772     124,042  
* #   Nighthawk Radiology Holdings, Inc.          193,227   1,648,226  
* #   NitroMed, Inc.                              365,125     292,100  
  *   NMT Medical, Inc.                           118,700     462,930  


                                        

                                       26

--------------------------------------------------------------------------------

                                        

  *   North American Scientific, Inc.       19,900       8,756  
* #   Northfield Laboratories, Inc.        243,732     119,429  
  *   Northstar Neuroscience, Inc.          68,280     116,759  
* #   Novacea, Inc.                         32,536      76,460  
* #   NovaMed, Inc.                        219,315     982,531  
* #   Novavax, Inc.                        556,245   1,535,236  
* #   Noven Pharmaceuticals, Inc.          240,127   2,965,568  
  *   NOVT Corp.                            19,302      26,058  
* #   NPS Pharmaceuticals, Inc.            440,805   3,570,521  
  *   Nutraceutical International Corp.    107,037   1,314,414  
* #   Nutrition 21, Inc.                     1,085         477  
* #   Nuvelo, Inc.                         354,782     175,617  
* #   NxStage Medical, Inc.                231,040     877,952  
  *   Occulogix, Inc.                       12,798       1,534  
  *   Odyssey Healthcare, Inc.             330,171   3,215,866  
* #   Omnicell, Inc.                       284,303   4,364,051  
* #   Omrix Biopharmaceuticals, Inc.       113,586   2,612,478  
* #   OncoGenex Pharmaceutical, Inc.           720       4,183  
  *   Opexa Therapeutics, Inc.              21,985      45,509  
* #   Optimer Pharmaceuticals, Inc.         58,401     464,872  
* #   OraSure Technologies, Inc.           452,018   2,255,570  
  *   Orchid Cellmark, Inc.                287,604     940,465  
  *   Ore Pharmaceuticals, Inc.             51,932      64,396  
  *   Orthologic Corp.                     336,100     282,324  
* #   Oscient Pharmaceuticals Corp.         95,072     108,382  
* #   Osiris Therapeutics, Inc.             69,652   1,069,855  
  *   Osteotech, Inc.                      170,725     892,892  
  *   Oxigene, Inc.                        276,040     358,852  
* #   Pain Therapeutics, Inc.              410,909   3,841,999  
* #   PainCare Holdings, Inc.              372,904       7,831  
  *   Palatin Technologies, Inc.           325,781      45,609  
* #   Palomar Medical Technologies, Inc.   177,971   2,575,240  
* #   Panacos Pharmaceuticals, Inc.        456,566     232,849  
  *   Par Pharmaceutical Companies, Inc.   270,260   3,848,502  
  *   PDI, Inc.                            131,394     978,885  
* #   Penwest Pharmaceuticals Co.          209,134     771,704  
  *   Pharmacopia, Inc.                    107,800     226,380  
  *   Pharmanet Development Group, Inc.    181,781   4,744,484  
  *   Phase Forward, Inc.                  177,674   3,432,662  
  *   PHC, Inc.                             26,839      66,561  
* #   PhotoMedex, Inc.                     152,162      77,603  
  *   Pipex Pharmaceuticals, Inc.            9,600       6,240  
* #   Poniard Pharmaceuticals, Inc.             16          77  
* #   Pozen, Inc.                          288,796   3,326,930  
* #   Progenics Pharmaceuticals, Inc.      252,425   3,468,320  
  *   Prospect Medical Holdings, Inc.       32,100      72,225  
  *   Providence Service Corp.             108,845   1,394,304  
* #   ProxyMed, Inc.                       121,529       2,431  
      Psychemedics Corp.                    50,095     771,463  
  *   QuadraMed Corp.                       83,301     748,876  
* #   Questcor Pharmaceuticals, Inc.       343,109   1,873,375  
  *   Quidel Corp.                         307,000   6,001,850  
  *   Quigley Corp.                         72,152     375,912  
* #   RadNet, Inc.                         195,206   1,214,181  
  *   Regeneration Technologies, Inc.      302,085   2,833,557  


                                        

                                       27

--------------------------------------------------------------------------------

                                        

* #   RegeneRx Biopharmaceuticals, Inc.      16,459      20,574  
  *   RehabCare Group, Inc.                 158,700   2,910,558  
  *   Repligen Corp.                        323,173   1,735,439  
* #   Repros Therapeutics, Inc.             106,040     883,313  
  *   Res-Care, Inc.                        263,391   5,067,643  
  *   Retractable Technologies, Inc.         33,500      51,255  
* #   Rigel Pharmaceuticals, Inc.           240,963   5,701,185  
* #   Rochester Medical Corp.               101,576   1,370,260  
* #   Rockwell Medical Technologies, Inc.    23,956     119,540  
* #   Rotech Healthcare, Inc.                10,968         768  
* #   Rural/Metro Corp.                     110,300     215,085  
  *   RXi Pharmaceuticals Corp.                 319       2,134  
* #   Salix Pharmaceuticals, Ltd.           452,529   3,077,197  
* #   Sangamo BioSciences, Inc.             343,507   3,431,635  
  *   Santarus, Inc.                        497,219   1,163,492  
* #   Savient Pharmaceuticals, Inc.         185,995   4,227,666  
* #   SciClone Pharmaceuticals, Inc.        452,990     674,955  
  #   Sciele Pharma, Inc.                   344,976   6,647,688  
* #   SCOLR Pharma, Inc.                     84,300      85,986  
  *   Seattle Genetics, Inc.                557,925   6,220,864  
  *   Senesco Technologies, Inc.             23,100      30,030  
  *   Senomyx, Inc.                         278,963   1,171,645  
  *   SenoRx, Inc.                            1,900      11,533  
* #   Sequenom, Inc.                        220,491   5,011,760  
  *   SeraCare Life Sciences, Inc.          127,485     478,069  
* #   Signalife, Inc.                        25,700       1,542  
  *   Somanetics Corp.                      124,105   3,077,804  
* #   Somaxon Pharmaceuticals, Inc.          98,416     456,650  
  *   Sonic Innovations, Inc.               257,476     769,853  
* #   SonoSite, Inc.                        161,570   5,461,066  
      Span-American Medical System, Inc.     36,600     469,944  
  *   Spectranetics Corp.                   286,611   2,304,352  
* #   Spectrum Pharmaceuticals, Inc.        255,548     436,987  
  *   SRI/Surgical Express, Inc.             46,400     178,640  
* #   Staar Surgical Co.                    227,575   1,244,835  
* #   StemCells, Inc.                       764,823     933,084  
* #   Stereotaxis, Inc.                     288,784   1,983,946  
  *   Strategic Diagnostics, Inc.           204,017     491,681  
  *   Sun Healthcare Group, Inc.            420,360   7,225,988  
  *   Sunesis Pharmaceuticals, Inc.          23,900      37,762  
  *   SunLink Health Systems, Inc.           33,465      97,049  
* #   SuperGen, Inc.                        545,346     910,728  
* #   SurModics, Inc.                       180,264   7,024,888  
  *   Symmetry Medical, Inc.                269,982   4,646,390  
  *   Synovis Life Technologies, Inc.       119,202   2,617,676  
* #   Synta Pharmaceuticals Corp.            19,520     172,947  
  *   Targacept, Inc.                        31,229     285,745  
* #   Telik, Inc.                           142,343      95,370  
  *   Tercica, Inc.                         234,266   2,091,995  
  *   Theragenics Corp.                     280,300     939,005  
  *   Thoratec Corp.                        229,282   6,108,072  
  *   Threshold Pharmaceuticals, Inc.        33,753      62,443  
  *   Titan Pharmaceuticals, Inc.           382,520     153,008  
  *   Torreypines Therapeutics, Inc.          1,500         870  
  *   Transcend Services, Inc.                1,462      18,611  


                                        

                                       28

--------------------------------------------------------------------------------

                                        

  #   Trimeris, Inc.                         205,654       834,955  
  *   U.S. Physical Therapy, Inc.            118,606     2,349,585  
  *   Urologix, Inc.                         123,100       217,887  
  *   Uroplasty, Inc.                         41,537       112,150  
      Utah Medical Products, Inc.             53,100     1,508,040  
  *   Vanda Pharmaceuticals, Inc.             53,900        60,368  
  *   Vascular Solutions, Inc.               150,435     1,256,132  
  *   Vaxgen, Inc.                            59,100        41,666  
  *   Vermillion, Inc.                        19,960        28,942  
  *   Via Pharmaceuticals, Inc.                  240           384  
* #   Vical, Inc.                            383,982     1,232,582  
* #   ViroPharma, Inc.                       267,832     3,923,739  
* #   Vision-Sciences, Inc.                   23,250        95,093  
* #   Vital Images, Inc.                     166,379     2,612,150  
      Vital Signs, Inc.                      129,553     9,567,489  
  *   Vivus, Inc.                            585,337     4,946,098  
  *   Vnus Medical Technologies               66,469     1,473,618  
* #   Volcano Corp.                          178,364     3,276,547  
  *   Wright Medical Group, Inc.             240,961     7,419,189  
  *   XOMA, Ltd.                              17,000        35,190  
      Young Innovations, Inc.                 77,342     1,584,738  
* #   Zila, Inc.                             237,599        78,408  
  *   Zoll Medical Corp.                     196,158     6,820,414  
* #   Zymogenetics, Inc.                     288,541     2,406,432  
Total Health Care                                      656,708,227  
                                                                    
Industrials — (14.3%)                                               
* #   3-D Systems Corp.                      176,164     2,152,724  
  *   A. T. Cross Co. Class A                140,470     1,002,956  
  #   AAON, Inc.                             212,587     4,540,858  
  *   Acco Brands Corp.                      177,655     1,508,291  
  *   Accuride Corp.                         301,683       440,457  
      Aceto Corp.                            228,797     1,953,926  
  *   Active Power, Inc.                     442,143       336,029  
      Administaff, Inc.                      113,778     3,117,517  
  *   AeroCentury Corp.                        7,766        99,094  
  *   Aerosonic Corp.                         34,700        83,280  
  *   Aerovironment, Inc.                     76,348     2,554,604  
  *   Air Transport Services Group, Inc.     581,006       575,196  
* #   Airtran Holdings, Inc.                 507,303     1,217,527  
      Alamo Group, Inc.                       90,749     1,899,377  
  *   Alaska Air Group, Inc.                  57,500     1,208,075  
      Albany International Corp. Class A         900        27,603  
  *   Allegiant Travel Co.                    16,968       526,178  
* #   Allied Defense Group, Inc.              51,940       371,371  
  *   Altra Holdings, Inc.                    91,980     1,654,720  
      American Ecology Corp.                 176,798     5,738,863  
  *   American Locker Group, Inc.             32,200       107,065  
  #   American Railcar Industries, Inc.       77,657     1,258,820  
  *   American Reprographics Co.             132,051     2,338,623  
  #   American Science & Engineering, Inc.    89,984     6,010,931  
* #   American Superconductor Corp.          264,474     6,498,126  
  #   American Woodmark Corp.                154,920     3,680,899  
      Ameron International Corp.              79,595     9,301,472  
      Ampco-Pittsburgh Corp.                  86,200     3,744,528  


                                        

                                       29

--------------------------------------------------------------------------------

                                        

* #   Amrep Corp.                             65,210    3,521,340  
  *   APAC Customer Services, Inc.           495,143    1,109,120  
      Apogee Enterprises, Inc.               280,770    5,615,400  
* #   Applied Energetics, Inc.               781,939    1,125,992  
      Applied Signal Technologies, Inc.      122,704    2,030,751  
  *   Argan, Inc.                              6,919      117,623  
  *   Argon ST, Inc.                         216,502    5,406,055  
  #   Arkansas Best Corp.                    162,953    5,641,433  
* #   Arotech Corp.                           99,723      145,596  
      Art’s-Way Manufacturing Co., Inc.          200        2,626  
* #   Astec Industries, Inc.                 198,740    6,836,656  
  *   Astronics Corp.                         67,236    1,633,162  
  *   Avalon Holding Corp. Class A            20,575       88,473  
  *   Axsys Technologies, Inc.               101,363    6,885,589  
* #   AZZ, Inc.                              119,452    5,190,189  
  #   Badger Meter, Inc.                     249,540   11,488,822  
  *   Baker (Michael) Corp.                   85,237    2,950,905  
  *   Baldwin Technology Co., Inc. Class A   131,900      416,804  
      Barrett Business Services, Inc.        110,289    1,599,191  
  *   Beacon Roofing Supply, Inc.            188,843    3,074,364  
  *   Blount International, Inc.             456,000    5,754,720  
  #   BlueLinx Holdings, Inc.                260,684    1,879,532  
      Bowne & Co., Inc.                      214,283    2,592,824  
  *   Breeze-Eastern Corp.                    94,300    1,001,466  
  #   Briggs & Stratton Corp.                 69,100    1,036,500  
  *   BTU International, Inc.                 86,300      844,877  
* #   Builders FirstSource, Inc.             326,290    1,654,290  
  *   Butler International, Inc.              69,690       29,270  
  #   C&D Technologies, Inc.                 230,400    1,771,776  
* #   CAI International, Inc.                  9,142      135,302  
* #   Cano Petroleum, Inc.                   213,572      677,023  
* #   Capstone Turbine Corp.                 905,071    2,461,793  
  #   Cascade Corp.                          123,134    6,388,192  
  *   Casella Waste Systems, Inc. Class A    238,977    3,180,784  
* #   CBIZ, Inc.                             681,623    5,793,796  
      CDI Corp.                              198,022    4,970,352  
  *   CECO Environmental Corp.               121,676      579,178  
  *   Celadon Group, Inc.                    225,065    2,896,587  
* #   Cenveo, Inc.                            78,500      814,045  
      Champion Industries, Inc.               96,894      453,464  
  *   Channell Commercial Corp.               24,400        9,272  
      Chase Corp.                             82,025    1,419,033  
      Chicago Rivet & Machine Co.             20,000      419,000  
      CIRCOR International, Inc.             106,080    6,392,381  
* #   Coleman Cable, Inc.                     12,316      144,713  
  *   Columbus McKinnon Corp.                184,400    5,032,276  
  *   Comforce Corp.                          80,066      162,534  
      Comfort Systems USA, Inc.              400,300    6,100,572  
  *   Commercial Vehicle Group, Inc.         211,435    2,165,094  
  *   Competitive Technologies, Inc.         102,100      255,250  
      CompX International, Inc.               12,016       87,717  
  *   COMSYS IT Partners, Inc.               190,136    2,251,210  
  *   Conrad Industries, Inc.                 18,700      233,750  
* #   Consolidated Graphics, Inc.            123,797    4,811,989  
  *   Cornell Companies, Inc.                106,200    2,881,206  


                                        

                                       30

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  *   Corrpro Companies, Inc.                              42,175      55,249  
* #   CoStar Group, Inc.                                   53,889   2,845,878  
  *   Covanta Holding Corp.                                     1          21  
  *   Covenant Transport Group Class A                     91,000     399,490  
  *   CPI Aerostructures, Inc.                             47,933     385,861  
  *   CRA International, Inc.                             115,855   4,621,456  
      Cubic Corp.                                          76,997   2,132,047  
  *   Devcon International Corp.                           29,000      20,300  
      Diamond Management & Technology Consultants, Inc.   311,934   1,865,365  
  *   Distributed Energy Systems Corp.                    270,111       8,644  
* #   Document Securities Systems, Inc.                   132,096     653,875  
* #   Double Eagle Petroleum Co.                           32,973     536,141  
      Ducommun, Inc.                                       99,023   2,621,139  
  *   DXP Enterprises, Inc.                                33,666   1,987,977  
  *   Dynamex, Inc.                                       104,998   3,095,341  
      Dynamic Materials Corp.                             111,300   3,424,701  
  *   Eagle Test Systems, Inc.                            121,798   1,727,096  
      Eastern Co.                                          58,220     852,923  
      Ecology & Environment, Inc. Class A                  19,432     205,979  
      Electro Rent Corp.                                  238,205   3,244,352  
  #   Encore Wire Corp.                                   219,225   4,180,621  
* #   Ener1, Inc.                                          83,406     622,209  
* #   Energy Focus, Inc.                                  103,463     255,554  
  *   EnerSys                                              17,948     504,698  
* #   ENGlobal Corp.                                      247,000   4,275,570  
      Ennis, Inc.                                         252,058   4,161,478  
  *   EnPro Industries, Inc.                              197,900   8,341,485  
  *   Environmental Tectonics Corp.                        60,400     135,900  
      Espey Manufacturing & Electronics Corp.              41,000     889,700  
  *   Evercel, Inc.                                         2,566       2,104  
* #   Exide Technologies                                  163,098   2,012,629  
  *   Exponent, Inc.                                      145,900   4,487,884  
  *   ExpressJet Holdings, Inc.                           497,400      99,480  
  *   EXX, Inc. Class A                                    16,814      50,022  
  *   EXX, Inc. Class B                                     3,405      10,556  
      Federal Signal Corp.                                467,647   7,496,381  
  *   First Aviation Services, Inc.                         1,700       3,043  
* #   Flanders Corp.                                      254,700   1,785,447  
* #   Flow International Corp.                            338,092   2,295,645  
* †   FLYi, Inc.                                            1,195           —  
  *   Fortune Industries, Inc.                              3,200       3,680  
      Forward Air Corp.                                   180,225   6,360,140  
  #   Franklin Electric Co., Inc.                          97,027   4,201,269  
      Freightcar America, Inc.                             76,750   2,837,448  
* #   Frontier Airlines Holdings, Inc.                    278,557      77,996  
      Frozen Food Express Industries, Inc.                161,875     979,344  
* #   Fuel Tech, Inc.                                      85,639   1,570,619  
* #   FuelCell Energy, Inc.                               625,050   4,337,847  
  *   Furmanite Corp.                                     332,038   3,954,573  
      G & K Services, Inc. Class A                        149,828   5,167,568  
* #   Gehl Co.                                            114,303   1,722,546  
  #   Gencorp, Inc.                                       555,400   4,337,674  
      General Employment Enterprises, Inc.                 21,900      13,359  
  *   GeoEye, Inc.                                        146,037   3,614,416  
  *   GeoPetro Resources Co.                                2,826       6,500  


                                        

                                       31

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  *   Global Cash Access, Inc.                   243,824   1,460,506  
  *   Global Payment Technologies, Inc.           35,300      11,296  
  #   Gorman-Rupp Co.                            165,285   6,649,416  
  *   GP Strategies Corp.                        152,856   1,395,575  
  #   Graham Corp.                                32,600   3,044,840  
  *   Great Lakes Dredge & Dock Corp.              6,771      50,715  
  #   Greenbrier Companies, Inc.                 149,800   3,003,490  
  *   Griffon Corp.                              295,450   3,619,263  
      Hardinge, Inc.                             102,200   1,649,508  
  *   Hawaiian Holdings, Inc.                    588,481   5,313,983  
  #   Healthcare Services Group, Inc.            410,100   7,988,748  
      Heico Corp. Class A                        125,402   3,611,578  
  #   Heidrick & Struggles International, Inc.   165,119   5,013,013  
  *   Henry Bros. Electronics, Inc.               29,514     190,365  
  *   Herley Industries, Inc.                    127,372   2,445,542  
  *   Hill International, Inc.                   328,448   6,322,624  
  *   Hirsch International Corp. Class A           4,550       5,460  
      Hi-Shear Technology Corp.                   65,001     757,262  
  #   HNI Corp.                                   89,500   2,071,030  
* #   Hoku Scientific, Inc.                       58,424     351,712  
  #   Horizon Lines, Inc. Class A                 49,533     642,938  
      Houston Wire & Cable Co.                    68,674   1,157,844  
* #   HQ Sustainable Maritime Industries, Inc.    61,028     435,130  
  *   Hudson Highland Group, Inc.                248,195   2,285,876  
  *   Hudson Technologies, Inc.                   20,484      47,933  
* #   Hurco Companies, Inc.                       63,300   2,052,819  
  *   Huttig Building Products, Inc.             161,870     351,258  
  *   ICF International, Inc.                      2,400      44,328  
  *   ICT Group, Inc.                            147,645   1,195,925  
  *   II-VI, Inc.                                197,482   8,671,435  
* #   Innerworkings, Inc.                        178,664   2,118,955  
  *   Innotrac Corp.                             156,400     578,680  
* #   Innovative Solutions & Support, Inc.       167,303   1,002,145  
  *   Insituform Technologies, Inc. Class A      258,860   4,752,670  
  #   Insteel Industries, Inc.                   168,144   2,875,262  
* #   Integrated Electrical Services, Inc.       151,776   3,249,524  
  *   Interline Brands, Inc.                     249,015   3,996,691  
  *   International Shipholding Corp.             62,725   1,270,181  
  *   Intersections, Inc.                        163,946   1,759,141  
  *   JPS Industries, Inc.                        24,500     177,625  
  *   Kadant, Inc.                               108,100   2,534,945  
      Kaman Corp. Class A                        237,610   7,163,942  
      Kelly Services, Inc. Class A               115,467   2,233,132  
      Kelly Services, Inc. Class B                   118       2,364  
  *   Kenexa Corp.                               247,427   5,722,987  
  *   Key Technology, Inc.                        49,705   1,419,575  
  *   Kforce, Inc.                               401,879   4,292,068  
  #   Knoll, Inc.                                203,329   3,348,829  
  *   Korn/Ferry International                   253,000   4,498,340  
* #   K-Tron International, Inc.                  54,706   8,139,706  
  *   L.B. Foster Co. Class A                    120,700   4,654,192  
      L.S. Starrett Co. Class A                   47,611   1,249,313  
  *   LaBarge, Inc.                              211,950   3,130,502  
* #   Ladish Co., Inc.                           142,155   3,789,852  
      Lawson Products, Inc.                       71,565   2,155,538  


                                        

                                       32

--------------------------------------------------------------------------------

                                        

  * #   Layne Christensen Co.                        159,000   8,725,920  
    *   Learning Tree International, Inc.            161,606   2,406,313  
    *   LECG Corp.                                   222,675   1,814,801  
    *   LGL Group, Inc.                               39,334     247,804  
    *   LMI Aerospace, Inc.                          107,266   2,530,405  
        LSI Industries, Inc.                         260,130   2,244,922  
    *   Lydall, Inc.                                 141,300   1,651,797  
    *   M&F Worldwide Corp.                           85,330   3,756,227  
    *   Mac-Gray Corp.                               116,200   1,346,758  
    *   Magnetek, Inc.                               298,299   1,372,175  
  * †   MAIR Holdings, Inc.                          151,940     226,391  
  * †   MAIR Holdings, Inc. Escrow Shares            151,940           —  
    *   Manitex International, Inc.                    6,450      25,413  
    *   Marten Transport, Ltd.                       206,500   4,117,610  
    *   Maxco, Inc.                                   18,800      62,980  
        McGrath Rentcorp.                            246,518   7,025,763  
* # †   MCSi, Inc.                                     2,000           —  
    *   Meadow Valley Corp.                           22,900     242,969  
    *   Media Sciences International, Inc.            11,400      22,173  
  * #   Medialink Worldwide, Inc.                     60,009      12,002  
    *   Merrimac Industries, Inc.                     20,512     110,560  
  * #   Mesa Air Group, Inc.                         331,800     149,310  
  * #   Metalline Mining Co.                           9,600      10,944  
    #   Met-Pro Corp.                                260,261   3,794,605  
    *   MFRI, Inc.                                    63,151     711,712  
  * #   Microvision, Inc.                            461,801   1,200,683  
  * #   Middleby Corp.                                   200      10,672  
  * #   Milacron, Inc.                                42,943      53,679  
    *   Millennium Cell, Inc.                        118,277          95  
    *   Miller Industries, Inc.                      114,093     954,958  
    *   Misonix, Inc.                                 62,750     171,308  
  * #   Mobile Mini, Inc.                            128,085   2,738,457  
    *   Modtech Holdings, Inc.                       156,574      12,526  
    *   Moore Handley, Inc.                            1,500       3,000  
        Mueller (Paul) Co.                            26,300   1,315,000  
    #   Multi-Color Corp.                            101,404   2,366,769  
        NACCO Industries, Inc. Class A                13,080   1,537,423  
    *   Nashua Corp.                                  54,500     507,395  
    *   National Patent Development Corp.            109,400     251,620  
        National Technical Systems, Inc.              83,600     417,164  
    *   Navigant Consulting, Inc.                    183,927   3,183,776  
  * #   NCI Building Systems, Inc.                   130,500   4,995,540  
    *   North America Galvanizing & Coatings, Inc.   112,700   1,154,048  
  * #   Odyssey Marine Exploration, Inc.             448,045   2,235,745  
    #   Omega Flex, Inc.                             115,650   2,492,258  
    *   On Assignment, Inc.                          350,304   3,310,373  
    *   Orbit International Corp.                     14,582      71,671  
    *   P.A.M. Transportation Services, Inc.          96,745   1,425,054  
        Pacer International, Inc.                    142,866   3,011,615  
    *   Paragon Technologies, Inc.                    39,425     224,723  
    *   Park-Ohio Holdings Corp.                     125,525   2,448,993  
    *   Patrick Industries, Inc.                      47,400     327,060  
    *   Patriot Transportation Holding, Inc.          31,700   2,506,519  
    *   Pemco Aviation Group Inc                       8,074      14,049  
    *   Perini Corp.                                  96,230   2,570,303  


                                        

                                       33

--------------------------------------------------------------------------------

                                        

  *   PGT, Inc.                              25,600      130,560  
  *   PHH Corp.                              61,100      931,775  
  *   Pike Electric Corp.                   146,360    2,758,886  
* #   Pinnacle Airlines Corp.               217,187    1,033,810  
* #   Plug Power, Inc.                      677,284    1,835,440  
* #   PMFG, Inc.                            129,632    3,468,952  
  *   Point Blank Solutions, Inc.           399,000    1,097,250  
      Portec Rail Products, Inc.             65,593      718,899  
  *   Powell Industries, Inc.               110,356    4,875,528  
* #   Power-One, Inc.                       787,298    1,771,421  
      Preformed Line Products Co.            33,855    1,853,223  
  *   PRG-Schultz International, Inc.        53,380      629,350  
* #   Protection One, Inc.                   26,663      189,307  
      Providence & Worcester Railroad Co.    14,952      290,069  
* #   Quality Distribution, Inc.            172,513      776,309  
      Quixote Corp.                          87,303      689,694  
  #   Raven Industries, Inc.                349,469   15,806,483  
  *   RBC Bearings, Inc.                    163,625    6,535,183  
  *   RCM Technologies, Inc.                112,993      306,211  
  *   Republic Airways Holdings, Inc.       386,391    3,338,418  
  *   Rush Enterprises, Inc. Class A        239,334    3,156,815  
  *   Rush Enterprises, Inc. Class B        119,386    1,550,824  
  *   Saia, Inc.                            112,832    2,175,401  
      Schawk, Inc.                          254,089    4,004,443  
  *   School Specialty, Inc.                207,467    6,327,744  
  *   Schuff International, Inc.             53,200    1,436,400  
      Servidyne, Inc.                        19,750       83,345  
      Servotronics, Inc.                     24,804      302,609  
  *   SIFCO Industries, Inc.                 52,483      535,327  
  *   Simclar, Inc.                          23,400       92,664  
  *   SL Industries, Inc.                    88,385    1,166,682  
  *   SmartPros, Ltd.                        38,973      149,656  
  *   SPACEHAB, Inc.                          6,182        2,844  
  *   Sparton Corp.                          93,971      389,980  
  *   Spherion Corp.                        474,893    2,459,946  
  *   Spherix, Inc.                         135,435       82,615  
* #   Spire Corp.                           102,842    1,143,603  
  *   Standard Parking Corp.                190,180    4,151,629  
      Standard Register Co.                 232,340    2,630,089  
      Standex International Corp.           116,377    2,909,425  
  *   Stanley, Inc.                          54,783    1,865,909  
  *   Sterling Construction Co., Inc.       106,071    1,957,010  
  #   Sun Hydraulics, Inc.                  160,570    5,313,261  
      Supreme Industries, Inc.               95,760      375,861  
      Sypris Solutions, Inc.                167,114      376,007  
      TAL International Group, Inc.         217,127    5,336,982  
  *   Taleo Corp. Class A                   135,254    3,274,499  
* #   Taser International, Inc.             595,694    3,872,011  
  *   Team, Inc.                            156,000    5,945,160  
  *   TeamStaff, Inc.                         3,862       10,659  
      Tech/Ops Sevcon, Inc.                  60,800      383,040  
      Technology Research Corp.              57,021      133,999  
      Tecumseh Products Co. Class A         123,298    3,253,834  
  *   Tecumseh Products Co. Class B           4,698      118,906  
      Tennant Co.                           184,600    5,750,290  


                                        

                                       34

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* #   The Advisory Board Co.                    11,844       366,098  
      Thomas Group, Inc.                        37,879       121,213  
  #   Titan International, Inc.                325,861     8,713,523  
      Todd Shipyards Corp.                      56,106       837,102  
  *   Trailer Bridge, Inc.                      42,500       269,875  
  *   TRC Companies, Inc.                      179,330       633,035  
      Tredegar Industries, Inc.                337,450     6,681,510  
* #   Trex Co., Inc.                           144,000     2,671,200  
      Triumph Group, Inc.                       14,909       816,119  
* #   TRM Corp.                                153,686        42,264  
  *   TrueBlue, Inc.                           179,721     2,981,571  
  *   Tufco Technologies, Inc.                   6,498        37,364  
* #   TurboChef Technologies, Inc.             284,090     1,732,949  
      Twin Disc, Inc.                          164,400     3,020,028  
  *   U.S. Home Systems, Inc.                   80,559       321,430  
* #   Ultralife Corp.                          141,146     1,633,059  
  *   United Stationers, Inc.                       61         3,024  
      Universal Forest Products, Inc.           76,978     2,528,727  
  *   Universal Power Group, Inc.                7,810        27,179  
  *   Universal Security Instruments, Inc.      23,362       149,867  
  *   Universal Truckload Services, Inc.        71,381     1,758,114  
  *   UQM Technologies, Inc.                   247,770       569,871  
  *   US Airways Group, Inc.                    23,900       202,911  
  *   USA Truck, Inc.                          100,052     1,840,957  
* #   Valence Technology, Inc.                  67,400       241,966  
  *   Valpey Fisher Corp.                       36,360       152,712  
  *   Versar, Inc.                              79,581       441,675  
      Viad Corp.                               208,359     6,517,470  
  #   Vicor Corp.                              273,354     2,752,675  
  *   Volt Information Sciences, Inc.          230,256     3,228,189  
      VSE Corp.                                 50,620     1,856,235  
      Wabash National Corp.                    301,940     2,623,859  
  *   WCA Waste Corp.                          140,080       700,400  
  *   Westaff, Inc.                            152,017       120,093  
  *   Willdan Group, Inc.                       16,126        59,182  
  *   Willis Lease Finance Corp.                74,807       926,111  
* #   YRC Worldwide, Inc.                       42,100       762,010  
  *   Zareba Systems, Inc.                         750         1,796  
Total Industrials                                        729,769,390  
                                                                      
Information Technology — (16.0%)                                      
* #   8X8, Inc.                                 84,000        86,520  
* #   Acacia Research-Acacia Technologies      280,483     1,119,127  
  *   Access Integrated Technologies, Inc.     186,582       311,592  
* #   ACI Worldwide, Inc.                      130,997     2,373,666  
* #   Acme Packet, Inc.                         14,894        95,173  
  *   Acorn Factor, Inc.                        86,500       384,925  
  *   Actel Corp.                              247,416     3,409,392  
  *   ActivIdentity Corp.                      433,354     1,161,389  
  *   Actuate Corp.                            598,987     2,557,674  
  *   Adaptec, Inc.                          1,028,638     3,898,538  
* #   ADDvantage Technologies Group, Inc.       62,629       196,655  
* #   Adept Technology, Inc.                    23,888       185,132  
  *   Advanced Analogic Technologies, Inc.     386,278     1,765,290  
  *   Advanced Energy Industries, Inc.         407,372     6,570,910  


                                        

                                       35

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* #   Advanced Photonix, Inc.                       82,398     156,556  
  *   Aehr Test Systems                             67,700     295,849  
  *   Aetrium, Inc.                                 94,699     355,121  
      Agilysys, Inc.                               169,595   2,206,431  
  *   Airspan Networks, Inc.                       404,222     189,984  
* †   Allen Organ Co.                                4,700      42,711  
      Alliance Semiconductor Corp.                 151,255     146,717  
  *   Allied Motion Technologies, Inc.              34,580     180,162  
  *   American Commercial Lines, Inc.              121,037   1,489,965  
      American Software, Inc. Class A              277,700   1,649,538  
* #   Ampex Corp. Class A                            7,565         757  
  *   Amtech Systems, Inc.                          72,344     810,976  
* #   Anadigics, Inc.                              564,960   1,903,915  
  *   Analysts International Corp.                 190,092     235,714  
  *   Anaren, Inc.                                 162,146   1,721,991  
  *   Ansys, Inc.                                   84,889   3,764,827  
  *   Apogee Technology, Inc.                        3,300       2,673  
* #   Ariba, Inc.                                  168,785   2,486,203  
  *   Art Technology Group, Inc.                 1,043,954   4,280,211  
  *   Aruba Networks, Inc.                          68,100     428,349  
* #   Ascendia Brands, Inc.                        109,895         330  
  *   Astea International, Inc.                     21,160      63,903  
      Astro-Med, Inc.                               68,027     636,733  
  *   Asyst Technologies, Inc.                     476,594   1,963,567  
* #   Atari, Inc.                                   81,814     134,993  
      Atlantic Tele-Network, Inc.                   65,445   2,190,444  
  *   ATMI, Inc.                                   100,140   2,442,415  
  *   Authentidate Holding Corp.                   295,902     171,623  
  *   Autobytel, Inc.                              391,202     457,706  
* #   Avanex Corp.                                  81,059     506,619  
* #   Avid Technology, Inc.                         66,615   1,548,133  
  *   Aviza Technology, Inc.                       116,068      69,641  
  *   Avocent Corp.                                 63,488   1,490,063  
  *   Aware, Inc.                                  218,179     689,446  
  *   Axcelis Technologies, Inc.                 1,005,230   4,754,738  
  *   Axesstel, Inc.                                97,500      89,798  
  *   AXS-One, Inc.                                149,900      43,471  
  *   AXT, Inc.                                    289,963   1,046,766  
* #   Bankrate, Inc.                               179,072   5,776,863  
      Bel Fuse, Inc. Class A                        42,550   1,256,502  
      Bel Fuse, Inc. Class B                        93,150   2,593,296  
  *   Bell Industries, Inc.                         88,500      13,275  
* #   Bell Microproducts, Inc.                     228,950     503,690  
  *   BigBand Networks, Inc.                       158,798     557,381  
  *   Bitstream, Inc.                               81,600     488,784  
      Black Box Corp.                              160,930   5,767,731  
  *   Blonder Tongue Laboratories, Inc.             76,300      89,653  
  *   Blue Coat Systems, Inc.                      239,874   4,461,656  
      Bogen Communications International, Inc.      64,200     312,975  
* #   Bookham, Inc.                                692,066   1,169,592  
  *   Borland Software Corp.                       698,336   1,298,905  
  *   Bottomline Technologies, Inc.                243,096   2,800,466  
  *   Brightpoint, Inc.                              9,808      84,447  
* #   BroadVision, Inc.                          1,336,825     962,514  
  *   BSQUARE Corp.                                 95,225     355,189  


                                        

                                       36

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* #   Cabot Microelectronics Corp.      234,301   9,048,705  
  *   CalAmp Corp.                      221,484     442,968  
  *   California Micro Devices Corp.    209,700     679,428  
  *   Callidus Software, Inc.           199,706     948,604  
  *   CallWave, Inc.                    182,541     425,321  
  *   Captaris, Inc.                    271,921   1,087,684  
  *   Cascade Microtech, Inc.             9,900      58,707  
  #   Cass Information Systems, Inc.     36,620   1,333,700  
  *   Catalyst Semiconductor, Inc.      149,542   1,012,399  
  *   Catapult Communications Corp.     127,358     966,647  
* #   Cavium Networks, Inc.             133,314   2,278,336  
  *   Centillium Communications, Inc.   351,310     259,969  
  *   CEVA, Inc.                        187,703   1,783,179  
  *   Checkpoint Systems, Inc.           83,355   1,774,628  
  *   Cherokee International Corp.      190,958     553,778  
  *   Chordiant Software, Inc.          316,181   1,881,277  
  *   Chyron International Corp.         38,859     229,268  
  *   Ciber, Inc.                       487,964   3,820,758  
  *   Ciprico, Inc.                      49,200       2,017  
  *   Cirrus Logic, Inc.                866,516   5,381,064  
  *   Clarus Corp.                      138,650     755,643  
  *   Clearfield, Inc.                   41,400      53,820  
      CLST Holdings, Inc.                   852         307  
  *   CMGI, Inc.                        148,778   1,754,093  
  #   Cognex Corp.                      231,298   4,679,159  
      Cohu, Inc.                        221,068   3,691,836  
  *   Comarco, Inc.                      72,455     170,994  
# †   Commerce One, Inc.                  4,800           —  
      Communications Systems, Inc.      118,400   1,260,960  
* #   Commvault Systems, Inc.            61,223   1,032,220  
  *   Computer Task Group, Inc.         178,200   1,236,708  
* #   Concurrent Computer Corp.          62,799     445,245  
  *   Conexant Systems, Inc.              2,900      17,081  
* #   Convera Corp.                     415,272     448,494  
  *   CPI International, Inc.           109,756   1,569,511  
  *   Cray, Inc.                         76,752     430,579  
  *   Credence Systems Corp.            993,702   1,122,883  
  *   CSG Systems International, Inc.   146,655   2,771,780  
  *   CSP, Inc.                          78,328     475,451  
      CTS Corp.                         280,819   3,718,044  
  *   CVD Equipment Corp.                31,867     135,435  
  *   Cyberoptics Corp.                  86,095     778,299  
  *   Cybersource Corp.                 214,748   3,689,371  
* #   Cymer, Inc.                        72,380   2,167,057  
  #   Daktronics, Inc.                  169,614   2,973,333  
  *   Data I/O Corp.                     77,000     508,970  
  *   Datalink Corp.                    102,131     603,594  
      Dataram Corp.                      83,150     200,392  
  *   DataTRAK International, Inc.       43,350      20,375  
  *   Datawatch Corp.                    18,488      33,833  
  *   DDi Corp.                          83,350     473,428  
  *   Delphax Technologies, Inc.         51,200      10,240  
  *   Digi International, Inc.          239,351   2,826,735  
  *   Digital Angel Corp.               535,300     273,538  
  *   Ditech Networks, Inc.             316,660     490,823  


                                        

                                       37

--------------------------------------------------------------------------------

                                        

  *   DivX, Inc.                                  3,104      28,495  
  *   Dot Hill Systems Corp.                    415,566     905,934  
  *   Double-Take Software, Inc.                 62,278     816,465  
  *   DSP Group, Inc.                           275,627   2,136,109  
* #   DTS, Inc.                                 179,451   5,772,939  
  *   Dycom Industries, Inc.                     38,322     614,302  
  *   Dynamics Research Corp.                    82,812     742,824  
* #   EarthLink, Inc.                           780,292   7,272,321  
  *   Easylink Services International Corp.      13,900      52,403  
* #   Ebix, Inc.                                    100      10,956  
* #   Echelon Corp.                             399,433   5,196,623  
  *   EDCI Holdings, Inc.                        62,230     258,881  
  *   EDGAR Online, Inc.                        230,999     522,058  
  *   Edgewater Technology, Inc.                 87,868     434,947  
  *   EFJohnson Technologies, Inc.              228,174     410,713  
  *   Elecsys Corp.                              29,355     199,761  
  *   Electro Scientific Industries, Inc.       285,786   4,083,882  
  *   Electroglas, Inc.                         192,800     287,272  
  *   Electronics for Imaging, Inc.               9,840     163,246  
      Electro-Sensors, Inc.                       3,450      16,560  
* #   Elixir Gaming Technologies, Inc.          827,744     347,652  
* #   eLoyalty Corp.                             84,791     416,324  
* #   EMCORE Corp.                              459,541   2,844,559  
  *   EMS Technologies, Inc.                    151,599   3,561,061  
  *   En Pointe Technologies, Inc.               57,200     124,696  
  *   Endwave Corp.                             111,900     671,400  
* #   Enliven Marketing Technologies Corp.      231,455     155,075  
  *   Entorian Technologies, Inc.               445,218     325,009  
  *   Entrust, Inc.                             597,298   1,403,650  
  *   Epicor Software Corp.                     560,873   4,784,247  
  *   EPIQ Systems, Inc.                        289,576   3,269,313  
  *   ePlus, Inc.                                71,645     970,790  
  *   Evans & Sutherland Computer Corp.          99,891     114,875  
  *   Evolving Systems, Inc.                     71,600     132,460  
  *   Exar Corp.                                395,970   3,064,808  
  *   Extreme Networks, Inc.                  1,170,472   4,096,652  
* #   FalconStor Software, Inc.                 489,952   3,684,439  
  *   Faro Technologies, Inc.                   145,602   3,439,119  
* #   FEI Co.                                    92,776   2,512,374  
* #   Finisar Corp.                              78,506     113,834  
  *   Forgent Networks, Inc.                    263,300      94,788  
  *   Forrester Research, Inc.                  224,649   7,770,609  
  *   FortuNet, Inc.                              7,048      33,830  
      Frequency Electronics, Inc.                89,100     408,078  
  *   FSI International, Inc.                   276,071     314,721  
  *   Gerber Scientific, Inc.                   213,989   1,908,782  
      Gevity HR, Inc.                           245,268   2,023,461  
  *   Giga-Tronics, Inc.                         49,100      52,046  
  *   Globecomm Systems, Inc.                   161,300   1,645,260  
* #   Glu Mobile, Inc.                              500       1,785  
  *   Goldleaf Financial Solutions, Inc.        170,531     293,313  
  *   Greenfield Online, Inc.                   254,623   4,417,709  
* #   GSE Systems, Inc.                         117,306     944,313  
  *   GSI Technology, Inc.                       10,701      40,664  
  *   GTSI Corp.                                 88,426     610,139  


                                        

                                       38

--------------------------------------------------------------------------------

                                        

  *   Guidance Software, Inc.                  43,617     277,840  
  *   Hackett Group, Inc.                     399,644   2,557,722  
  *   Halifax Corp.                             8,650       6,488  
  *   Harmonic, Inc.                          768,602   6,763,698  
  *   Harris Stratex Networks, Inc. Class A   207,241   1,939,776  
  *   Hauppauge Digital, Inc.                  96,300     134,820  
      Heartland Payment Systems, Inc.          17,800     401,568  
  *   hi/fn, Inc.                             127,506     506,199  
  *   Hutchinson Technology, Inc.             240,529   3,485,265  
  *   Hypercom Corp.                          538,300   2,449,265  
  *   I.D. Systems, Inc.                      101,679     914,094  
* #   i2 Technologies, Inc.                   205,275   2,958,013  
  #   iBasis, Inc.                            345,562   1,264,757  
  *   Ibis Technology Corp.                    80,230       4,012  
  *   iCAD, Inc.                               37,500     160,500  
  *   iGATE Capital Corp.                     525,324   5,909,895  
  *   iGo, Inc.                               283,590     320,457  
  *   Ikanos Communications                    35,141      91,367  
* #   ImageWare Systems, Inc.                 129,400      58,230  
  *   I-many, Inc.                            320,660     222,859  
      Imation Corp.                            75,538   1,604,427  
  #   Imergent, Inc.                          113,382   1,282,350  
* #   Immersion Corp.                         249,810   1,661,237  
  *   InFocus Corp.                           357,788     522,370  
      InfoGROUP, Inc.                         382,889   2,527,067  
      InfoSpace, Inc.                         302,720   3,541,824  
  *   Innodata Isogen, Inc.                   231,328     673,164  
  *   Innovex, Inc.                           156,900     105,123  
  *   InPlay Technologies, Inc.                 8,800       2,024  
  *   Insight Enterprises, Inc.               104,444   1,737,948  
  *   Insightful Corp.                         40,100      74,185  
  *   InsWeb Corp.                             12,966      83,112  
      Integral Systems, Inc.                  118,700   5,340,313  
  *   Integrated Silicon Solution, Inc.       209,476     825,335  
* #   Intelli-Check, Inc.                     120,742     271,670  
  *   Intelligent Systems Corp.                42,582     136,262  
  *   Intelligroup, Inc.                      116,800     268,640  
  *   Interactive Intelligence, Inc.          169,465   1,699,734  
  *   Interlink Electronics, Inc.              56,180      25,281  
* #   Internap Network Services Corp.         472,118   1,458,845  
* #   Internet Brands, Inc.                    49,400     345,306  
  *   Internet Capital Group, Inc.            368,125   3,110,656  
  *   Interphase Corp.                         62,700     210,672  
  *   Intervoice, Inc.                        378,755   3,113,366  
  *   Interwoven, Inc.                        434,529   6,396,267  
  *   Intest Corp.                             84,141     113,590  
  *   Intevac, Inc.                           209,510   2,132,812  
  *   IntriCon Corp.                           47,772     278,511  
  *   INX, Inc.                                43,500     402,375  
  *   iPass, Inc.                             380,440     863,599  
* #   iPCS, Inc.                               66,730   1,334,600  
  *   IPG Photonics Corp.                      54,512   1,110,409  
* #   Isilon Systems, Inc.                     37,095     187,701  
  *   Iteris, Inc.                            120,175     267,990  
  *   Ixia                                    390,636   3,394,627  


                                        

                                       39

--------------------------------------------------------------------------------

                                        

  *   IXYS Corp.                                    322,323   4,103,172  
  *   Jaco Electronics, Inc.                         63,009      82,542  
  *   JDA Software Group, Inc.                      266,911   4,865,788  
  *   Jupitermedia Corp.                            316,551     370,365  
      Keithley Instruments, Inc.                    140,995   1,340,862  
* #   Kemet Corp.                                   666,900   1,080,378  
  *   Key Tronic Corp.                               96,300     323,568  
  *   Keynote Systems, Inc.                         113,450   1,590,569  
  *   Kopin Corp.                                   672,020   2,002,620  
  *   Kratos Defense & Security Solutions, Inc.     715,815   1,453,104  
* #   Kulicke & Soffa Industries, Inc.              563,563   2,896,714  
  *   KVH Industries, Inc.                          134,800   1,218,592  
  *   Lantronix, Inc.                                15,065       7,834  
  *   LaserCard Corp.                               115,990     661,143  
  *   Lattice Semiconductor Corp.                 1,053,119   2,464,298  
  *   Leadis Technolgies, Inc.                        4,837       4,740  
  *   LeCroy Corp.                                  115,888     965,347  
  *   LightPath Technologies, Inc.                    8,650      12,283  
  *   Lionbridge Technologies, Inc.                 544,210   1,736,030  
  *   Littlefuse, Inc.                              204,498   7,255,589  
  *   Logic Devices, Inc.                            45,800      51,067  
  *   LogicVision, Inc.                              60,980      72,566  
  *   Logility, Inc.                                135,800     927,514  
  *   LoJack Corp.                                  184,140   1,335,015  
  *   LookSmart, Ltd.                               225,420     730,361  
  *   Loral Space & Communications, Inc.             72,281   1,327,802  
  *   LTX Corp.                                     608,826   1,089,799  
* #   Lumera Corp.                                  196,504     133,623  
* #   Luna Innovations, Inc.                         45,791     285,278  
  *   Magma Design Automation, Inc.                 376,370   1,911,960  
  *   Management Network Group, Inc.                107,667     116,280  
* #   Manhattan Associates, Inc.                    267,770   6,563,043  
  #   Marchex, Inc. Class B                         279,201   3,146,595  
  *   Mastec, Inc.                                  636,600   8,988,792  
  *   Mattson Technology, Inc.                      504,517   2,573,037  
  #   Maximus, Inc.                                 212,800   7,873,600  
* #   Maxwell Technologies, Inc.                    160,332   1,981,704  
  *   MDI, Inc.                                      64,298      40,508  
  *   Measurement Specialties, Inc.                   2,500      44,700  
* #   Mechanical Technology, Inc.                    32,010      70,102  
      MedQuist, Inc.                                 34,644     168,716  
* #   Mentor Graphics Corp.                          40,841     498,260  
  *   Mercury Computer Systems, Inc.                196,106   1,813,981  
  *   Merix Corp.                                   185,600     345,216  
      Mesa Laboratories, Inc.                        31,485     660,870  
      Methode Electronics, Inc.                     362,114   3,979,633  
      Micrel, Inc.                                  527,371   4,857,087  
  *   MicroStrategy, Inc.                            38,257   2,454,569  
  *   Microtune, Inc.                               524,888   1,947,334  
* #   Midway Games, Inc.                            155,300     352,531  
* #   Mindspeed Technologies, Inc.                  208,596     761,375  
  *   MIPS Technologies, Inc.                       433,092   1,723,706  
  *   MIVA, Inc.                                    320,469     330,083  
      Mocon, Inc.                                    72,775     773,598  
* #   Monolithic Power Systems                      283,490   6,908,651  


                                        

                                       40

--------------------------------------------------------------------------------

 

* #   MoSys, Inc.                              303,966   1,383,045  
  *   Motive, Inc.                              79,300     176,046  
  *   MRV Communications, Inc.               1,232,392   1,676,053  
  *   MSC. Software Corp.                      398,108   5,167,442  
  *   MTM Technologies, Inc.                     2,780       4,643  
      MTS Systems Corp.                        188,648   7,825,119  
* #   Multi-Fineline Electronix, Inc.          101,298   1,728,144  
  *   Nanometrics, Inc.                        126,071     457,638  
  *   Napco Security Systems, Inc.             323,601   1,330,000  
  *   Napster, Inc.                              4,500       6,030  
  *   NCI, Inc.                                 50,704   1,358,867  
* #   NeoMagic Corp.                           118,974      42,854  
  *   Neonode, Inc.                              6,920       1,315  
  *   NETGEAR, Inc.                            120,320   2,027,392  
* #   Netlogic Microsystems, Inc.              199,008   6,911,548  
  *   NetScout Systems, Inc.                   320,068   4,769,013  
  *   Network Engines, Inc.                    348,071     334,148  
* #   Network Equipment Technologies, Inc.     247,610     807,209  
  *   Newport Corp.                            389,742   3,651,883  
      NIC, Inc.                                618,030   4,276,768  
  *   NMS Communications Corp.                 452,908     258,158  
  *   Novatel Wireless, Inc.                   296,494   1,847,158  
  *   Nu Horizons Electronics Corp.            129,666     623,693  
  *   NumereX Corp. Class A                    139,160     726,415  
* #   NYFIX, Inc.                              214,349     673,056  
      O.I. Corp.                                25,700     312,769  
  *   Oculus Innovative Sciences, Inc.          27,024      77,289  
* #   OmniVision Technologies, Inc.            215,200   2,513,536  
  *   Omtool, Ltd.                              30,770      50,771  
* #   On2 Technologies, Inc.                   785,500     337,765  
  *   Online Resources Corp.                   247,131   2,152,511  
  *   Onvia, Inc.                               45,911     218,077  
      Openwave Systems, Inc.                   232,009     334,093  
  *   Oplink Communications, Inc.              200,513   2,634,741  
  *   OPNET Technologies, Inc.                 204,034   2,703,451  
  *   Opnext, Inc.                              24,271     153,878  
  *   OPTi, Inc.                               118,200     271,860  
  *   Optical Cable Corp.                       48,605     336,347  
* #   Orbcomm, Inc.                             90,245     519,811  
  *   Orthovita, Inc.                           70,551     215,181  
  *   OSI Systems, Inc.                        156,242   3,626,377  
  *   Overland Storage, Inc.                   122,200      97,760  
  *   OYO Geospace Corp.                        57,140   2,803,288  
* #   Palm, Inc.                               388,916   3,309,675  
  *   PAR Technology Corp.                     132,150   1,062,486  
      Park Electrochemical Corp.               191,800   5,374,236  
* #   Parkervision, Inc.                       238,960   2,580,768  
  *   PC Connection, Inc.                      254,559   1,932,103  
      PC-Tel, Inc.                             217,017   2,194,042  
  *   PDF Solutions, Inc.                      270,546   1,717,967  
  *   Peerless Systems Corp.                   101,700     191,196  
      Pegasystems, Inc.                        342,478   5,020,727  
  *   Perceptron, Inc.                          76,350     565,754  
  *   Perficient, Inc.                         267,417   2,123,291  
  *   Performance Technologies, Inc.           131,275     653,750  


                                        

                                       41

--------------------------------------------------------------------------------

                                        

  *   Pericom Semiconductor Corp.           241,295   3,291,264  
  *   Pervasive Software, Inc.              225,700     999,851  
  *   Pfsweb, Inc.                           24,219      76,774  
  *   Phoenix Technologies, Ltd.            222,419   2,455,506  
  *   Photon Dynamics, Inc.                 159,100   2,421,502  
  *   Photronics, Inc.                      396,926   1,297,948  
  *   Physicians Formula Holdings, Inc.      19,947     117,488  
  *   Pinnacle Data Systems, Inc.            10,249       9,327  
  *   Pixelworks, Inc.                       37,800      60,858  
  *   Planar Systems, Inc.                  136,502     378,111  
  *   PlanetOut, Inc.                         9,920      24,998  
  *   PLATO Learning, Inc.                  196,730     365,918  
* #   PLX Technology, Inc.                  275,101   1,565,325  
  *   Power Integrations, Inc.              260,001   7,651,829  
* #   Powerwave Technologies, Inc.          858,986   4,337,879  
* #   Presstek, Inc.                        343,215   1,843,065  
      QAD, Inc.                             299,569   1,971,164  
  #   Quality Systems, Inc.                   3,469     148,543  
      Qualstar Corp.                         11,134      35,629  
  *   Quantum Corp.                       1,920,823   3,399,857  
  *   QuickLogic Corp.                      259,468     396,986  
  *   Rackable Systems, Inc.                209,695   2,172,440  
  *   Radiant Systems, Inc.                 303,201   2,765,193  
  *   RadiSys Corp.                         210,368   2,328,774  
  *   RAE Systems, Inc.                     551,500   1,108,515  
  *   Ramtron International Corp.           241,261     842,001  
  *   RealNetworks, Inc.                     37,800     250,614  
      Relm Wireless Corp.                   115,041     166,809  
      REMEC, Inc.                           212,010     143,107  
  #   Renaissance Learning, Inc.            269,886   3,424,853  
* #   Research Frontiers, Inc.                6,000      30,900  
  *   RF Industries, Ltd.                    13,669     117,553  
  *   RF Micro Devices, Inc.                792,222   3,073,821  
  *   RF Monolithics, Inc.                   83,700      83,700  
      Richardson Electronics, Ltd.          131,104     879,708  
  *   RightNow Technologies, Inc.           318,982   4,781,540  
  *   Rimage Corp.                           97,543   1,554,835  
  *   Rofin-Sinar Technologies, Inc.         34,458   1,392,792  
  *   Rogers Corp.                          104,247   4,170,922  
  *   Rudolph Technologies, Inc.            267,647   2,258,941  
  *   S1 Corp.                              638,990   4,875,494  
* #   Saba Software, Inc.                   280,253   1,014,516  
  *   Safeguard Scientifics, Inc.         1,183,600   1,692,548  
  *   Sapient Corp.                         823,307   7,632,056  
* #   SatCon Technology Corp.               315,637     713,340  
* #   ScanSource, Inc.                      237,698   7,152,333  
  *   Schmitt Industries, Inc.               17,800     113,030  
  *   Scientific Learning Corp.              89,170     367,380  
  *   SCM Microsystems, Inc.                127,744     321,915  
  *   Seachange International, Inc.         265,482   2,277,836  
  *   Secure Computing Corp.                643,355   2,753,559  
  *   Selectica, Inc.                       261,300     295,269  
  *   Semitool, Inc.                        310,427   2,992,516  
  *   Semtech Corp.                         157,597   2,330,860  
  *   SI International, Inc.                119,583   3,734,577  


                                        

                                       42

--------------------------------------------------------------------------------

                                        

  *   Sigmatron International, Inc.         18,200     124,670  
  *   Silicon Image, Inc.                  309,135   2,142,306  
  *   Silicon Storage Technology, Inc.   1,014,948   3,318,880  
  *   Simulations Plus, Inc.               123,672     223,846  
  *   SM&A                                 179,751     594,976  
* #   Smith Micro Software, Inc.           266,703   2,018,942  
  *   Soapstone Networks, Inc.             138,942     544,653  
* #   Sonic Foundry, Inc.                  346,008     262,966  
* #   Sonic Solutions, Inc.                254,917   1,185,364  
  *   SonicWALL, Inc.                      597,182   3,905,570  
* #   Sourcefire, Inc.                      76,900     603,665  
* #   SourceForge, Inc.                    662,665     901,224  
  *   Spansion, Inc.                        35,600      80,100  
  *   Spectrum Control, Inc.               130,127   1,074,849  
  *   SPSS, Inc.                           194,669   6,147,647  
  *   SRS Labs, Inc.                       164,100     986,241  
  *   Stamford Industrial Group, Inc.       13,400      22,177  
  *   Standard Microsystems Corp.          214,865   6,278,355  
      StarTek, Inc.                        131,600   1,189,664  
* #   STEC, Inc.                           446,325   4,521,272  
  *   SteelCloud, Inc.                      75,500      91,355  
* #   Stratasys, Inc.                      200,026   3,332,433  
  *   SumTotal Systems, Inc.               265,874   1,284,171  
* #   Sunair Electronics, Inc.              46,583      94,331  
  *   Sunrise Telecom, Inc.                275,600     275,600  
* #   Supertex, Inc.                       128,300   3,810,510  
  *   SupportSoft, Inc.                    451,419   1,575,452  
  *   Switch and Data Facilities Co.       124,147   1,797,649  
  *   Sykes Enterprises, Inc.              403,892   8,134,385  
  *   Symmetricom, Inc.                    455,290   2,240,027  
* #   Synaptics, Inc.                       24,583   1,286,674  
* #   SYNNEX Corp.                         278,000   6,391,220  
      Taitron Components, Inc.              15,500      14,028  
  *   Technical Communications Corp.         7,300      45,443  
      Technitrol, Inc.                      24,800     392,088  
  *   Technology Solutions Co.              22,600      91,078  
  *   TechTeam Global, Inc.                 89,657     764,774  
  *   Techwell, Inc.                        88,283     978,176  
  *   Tekelec                              332,876   5,462,495  
* #   TeleCommunication Systems, Inc.      326,415   2,741,886  
* #   Telkonet, Inc.                       558,600     181,545  
  *   Telular Corp.                        177,284     492,850  
* #   Terremark Worldwide, Inc.            519,821   3,758,306  
  *   Tessco Technologies, Inc.             80,250   1,181,280  
* #   The Knot, Inc.                       207,664   1,891,819  
      TheStreet.com, Inc.                  274,595   1,949,625  
  *   Think Partnership, Inc.              637,978     331,749  
  *   ThinkEngine Networks, Inc.            82,975       4,979  
  *   Tier Technologies, Inc. Class B      169,900   1,308,230  
  *   TII Network Technologies, Inc.        57,160      70,307  
  *   TNS, Inc.                            214,400   4,909,760  
  *   Tollgrade Communications, Inc.       128,895     866,174  
  *   Track Data Corp.                      18,673      34,545  
  *   Transact Technologies, Inc.           91,000   1,114,750  
  *   Transcat, Inc.                        42,500     300,050  


                                        

                                       43

--------------------------------------------------------------------------------

                                        

  *   Trans-Lux Corp.                         7,545        19,994  
* #   Transwitch Corp.                      339,260       264,623  
* #   Travelzoo, Inc.                       149,470     1,170,350  
  *   Trident Microsystems, Inc.             53,107       167,287  
      Trio-Tech International                27,575       146,148  
  *   Triquint Semiconductor, Inc.        1,347,578     8,476,266  
  *   Troy Group, Inc.                       14,400        46,656  
      TSR, Inc.                             100,400       271,080  
  *   TTM Technologies, Inc.                388,141     4,649,929  
  *   Tumbleweed Communications Corp.       498,605     1,271,443  
  *   Tyler Technologies, Inc.              388,250     6,293,533  
  *   Ulticom, Inc.                         386,764     2,726,686  
  *   Ultimate Software Group, Inc.         243,491     6,827,488  
  *   Ultra Clean Holdings, Inc.            176,428     1,284,396  
  *   Ultratech, Inc.                       227,787     3,382,637  
* #   Unica Corp.                            98,069       869,872  
      United Online, Inc.                   732,564     7,713,905  
* #   Universal Display Corp.               316,031     4,481,320  
* #   UTStarcom, Inc.                       218,739       713,089  
* #   Veeco Instruments, Inc.               305,293     5,131,975  
* #   Vertical Communications, Inc.          20,016           801  
  *   Viasat, Inc.                          257,152     6,745,097  
  *   Vicon Industries, Inc.                 45,650       247,651  
  *   Video Display Corp.                    96,880       782,790  
  *   Vignette Corp.                        283,065     3,858,176  
  *   Virage Logic Corp.                    208,635     1,376,991  
* #   Vitesse Semiconductor, Inc.           940,737       799,626  
* #   Vocus, Inc.                           150,219     5,355,307  
* #   Volterra Semiconductor Corp.          125,916     1,979,400  
* #   Vyyo, Inc.                            177,401        30,158  
      Wayside Technology Group, Inc.         48,200       368,248  
  *   Websense, Inc.                        190,286     4,308,075  
  *   Website Pros, Inc.                    165,110       997,264  
  *   Westell Technologies, Inc.            507,227       457,468  
  *   White Electronics Designs Corp.       224,456     1,102,079  
  *   Wind River Systems, Inc.              256,842     2,838,104  
  *   Winland Electronics, Inc.              20,500        28,290  
* #   Wireless Ronin Technologies, Inc.      44,732       169,982  
  *   Wireless Telecom Group, Inc.          225,386       259,194  
  *   Wireless Xcessories Group, Inc.        13,300        13,766  
* #   Wizzard Software Corp.                    100           127  
* #   WPCS International, Inc.               14,126        81,507  
* #   X-Rite, Inc.                          281,730     1,132,555  
  *   Zhone Technologies, Inc.              859,441       267,630  
  *   ZILOG, Inc.                           152,239       529,792  
* #   Zix Corp.                             340,495       946,576  
  *   Zones, Inc.                           147,800     1,232,652  
  *   Zoran Corp.                           205,084     1,825,248  
  *   Zygo Corp.                            180,963     1,896,492  
Total Information Technology                          821,049,886  
                                                                   
Materials — (3.7%)                                                 
      A. Schulman, Inc.                     248,233     6,012,203  
      A.M. Castle & Co.                     192,612     3,867,649  
  *   AEP Industries, Inc.                   78,051     1,454,090  


                                        

                                       44

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  #   AMCOL International Corp.          271,602   9,902,609  
  *   American Pacific Corp.              74,238   1,278,378  
  #   American Vanguard Corp.            258,715   3,839,331  
* #   Amerigon, Inc.                     135,242     937,227  
      Arch Chemicals, Inc.               231,263   8,487,352  
* #   Arrowhead Research Corp.           106,521     186,412  
  *   Atlantis Plastics, Inc.             35,150       3,164  
  *   Atna Resources, Ltd.                34,808      20,763  
  #   Balchem Corp.                      158,512   4,325,792  
* #   Basin Water, Inc.                   97,289     170,256  
* #   Brush Engineered Materials, Inc.   132,685   3,887,671  
  *   Buckeye Technologies, Inc.         269,390   2,481,082  
  *   BWAY Holding Co.                    10,203     129,578  
  #   Calgon Carbon Corp.                385,472   8,222,118  
  *   Caraustar Industries, Inc.         258,224     511,284  
      Chesapeake Corp.                   166,322     209,566  
* #   Constar International, Inc.        124,477     217,835  
  *   Continental Materials Corp.         14,900     307,685  
  *   Core Molding Technologies, Inc.    101,972     734,198  
      Deltic Timber Corp.                123,292   7,562,731  
  *   Detrex Corp.                        10,200      80,580  
  #   Empire Resources, Inc.              95,500     334,250  
      Ferro Corp.                        300,005   6,612,110  
      Flamemaster Corp.                      189       1,002  
* #   Flotek Industries, Inc.            178,400   3,006,040  
      Friedman Industries, Inc.          145,488   1,367,587  
  #   General Maritime Corp.             130,569   3,225,054  
* #   General Moly, Inc.                 400,000   2,728,000  
  #   Georgia Gulf Corp.                 230,383     776,391  
      Gibraltar Industries, Inc.         286,490   6,162,400  
      Glatfelter Co.                     338,800   4,970,196  
  *   Graphic Packaging Holding Co.      732,129   2,086,568  
* #   H&E Equipment Services, Inc.        83,343   1,175,970  
      Hawkins, Inc.                      102,252   1,617,627  
  *   Haynes International, Inc.          35,035   2,048,146  
* #   Headwaters, Inc.                   176,400   2,714,796  
* #   Hecla Mining Co.                   142,924   1,003,326  
  *   ICO, Inc.                          240,599   1,393,068  
  *   Impreso, Inc.                       31,500      88,200  
      Innophos Holdings, Inc.             79,344   2,974,607  
      KMG Chemicals, Inc.                 75,103     800,598  
      Koppers Holdings, Inc.             118,208   5,415,108  
  #   Kronos Worldwide, Inc.               1,000      16,430  
  *   Landec Corp.                       250,749   2,354,533  
* #   LSB Industries, Inc.               171,054   4,129,244  
  *   Material Sciences Corp.            138,299   1,051,072  
  *   Maxxam, Inc.                        39,088     742,672  
* #   Metalico, Inc.                     134,424   1,731,381  
* #   Mines Management, Inc.             200,217     418,454  
  *   Mod-Pac Corp.                       26,617     109,662  
      Myers Industries, Inc.             326,847   4,301,307  
* #   Nanophase Technologies Corp.       177,915     314,910  
      Neenah Paper, Inc.                  58,067   1,127,661  
      Nevada Chemicals, Inc.              63,750     634,313  
      NewMarket Corp.                     19,620   1,332,983  


                                        

                                       45

--------------------------------------------------------------------------------

                                        

    #   NL Industries, Inc.                          234,189     2,463,668  
        NN, Inc.                                     162,400     2,666,608  
    *   Northern Technologies International Corp.     36,846       485,630  
  * #   Northwest Pipe Co.                            84,859     4,915,882  
        Olympic Steel, Inc.                           78,200     3,723,102  
    *   OMNOVA Solutions, Inc.                       412,100     1,190,969  
        Penford Corp.                                 85,554     1,421,052  
    *   Peoplesupport, Inc.                          145,612     1,769,186  
    *   PolyOne Corp.                                696,452     5,717,871  
        Quaker Chemical Corp.                         98,329     2,910,538  
    *   Rock of Ages Corp.                            34,100        67,518  
        Royal Gold, Inc.                              53,114     1,843,587  
        Schweitzer-Maudoit International, Inc.       146,820     2,783,707  
    *   Solitario Exploration & Royalty Corp.          3,137        12,328  
        Spartech Corp.                               290,589     3,059,902  
        Stepan Co.                                    85,071     5,004,727  
  * #   Stillwater Mining Co.                         29,575       220,334  
    *   Symyx Technologies, Inc.                     120,192     1,328,122  
        Synalloy Corp.                                87,058     1,332,858  
    #   Tronox, Inc. Class A                         129,900        77,940  
        Tronox, Inc. Class B                          42,100        20,629  
    *   U.S. Concrete, Inc.                          375,166     1,568,194  
  * #   U.S. Energy Corp.                             71,870       223,516  
    *   U.S. Gold Corp.                              481,181       606,288  
    *   UFP Technologies, Inc.                        11,800       125,316  
    *   United States Lime & Minerals, Inc.           61,645     2,390,593  
    *   Universal Stainless & Alloy Products, Inc.    64,399     2,328,024  
        Vulcan International Corp.                     8,251       471,545  
        Wausau Paper Corp.                           482,100     4,150,881  
    *   Webco Industries, Inc.                         3,750       453,750  
    *   Williams Industries, Inc.                      5,800         9,338  
Total Materials                                                188,938,823  
                                                                            
Other — (0.0%)                                                              
  * †   Big 4 Ranch, Inc.                             35,000             —  
  * †   DLB Oil & Gas, Inc. Escrow Shares              7,600             —  
  * †   DMRC Corp.                                    60,380       703,729  
  * †   ePresence, Inc. Escrow Shares                191,500             —  
* # †   EquiMed, Inc.                                  6,533             1  
  * †   iGo, Inc. Escrow Shares                       11,200             —  
  * †   Noel Group, Inc.                              43,600           283  
  * †   Petrocorp, Inc. Escrow Shares                 37,100         2,226  
  * †   Tripos Escrow Shares                           1,300           117  
Total Other                                                        706,356  
                                                                            
Telecommunication Services — (0.8%)                                         
    #   Alaska Communications Systems Group, Inc.    419,255     4,410,563  
        Arbinet-thexchange, Inc.                     150,786       586,558  
  * #   Cbeyond, Inc.                                 11,106       188,025  
    *   Centennial Communications Corp.              271,766     2,070,857  
  * #   Cogent Communications Group, Inc.             57,078       525,688  
    #   Consolidated Communications Holdings, Inc.   262,201     3,961,857  
        D&E Communications, Inc.                     133,862     1,251,610  
    #   FairPoint Communications, Inc.               243,200     2,152,320  
  * #   FiberTower Corp.                             460,843       599,096  


                                        

                                       46

--------------------------------------------------------------------------------

                                        

  *   General Communications, Inc. Class A         500,575       5,075,831  
  *   GoAmerica, Inc.                                  117             773  
      Hickory Tech Corp.                           124,300         872,586  
  *   ICO Global Communications (Holdings), Ltd.    85,622         250,872  
  #   Iowa Telecommunications Services, Inc.       251,477       4,624,662  
  *   LCC International, Inc. Class A              209,180         123,416  
  *   Lynch Interactive Corp.                            1           2,860  
  *   Metro One Telecommunications, Inc.            18,385           5,883  
  *   Nexstar Broadcasting Group, Inc.              75,560         272,772  
* #   Nextwave Wireless, Inc.                      150,854         146,328  
  *   Occam Networks, Inc.                          36,891         163,427  
* #   PAETEC Holding Corp.                         284,421         938,589  
  *   Point.360                                     84,700         117,733  
  *   Premiere Global Services, Inc.               690,525      10,440,738  
      Shenandoah Telecommunications Co.             12,500         216,000  
  *   Spark Networks, Inc.                          40,700         174,196  
      SureWest Communications                      132,297       1,573,011  
  *   Terrestar Corp.                               49,225         136,846  
      Warwick Valley Telephone Co.                  13,891         152,245  
  *   Xeta Corp.                                    85,800         279,708  
Total Telecommunication Services                                41,315,050  
                                                                            
Utilities — (1.5%)                                                          
  *   AMEN Properties, Inc.                         12,375         104,259  
  #   American States Water Co.                    165,279       6,530,173  
      Artesian Resources Corp. Class A               3,800          66,310  
  *   Cadiz, Inc.                                   42,803         835,087  
      California Water Service Group               204,531       8,036,023  
  #   Central Vermont Public Service Corp.         140,100       3,404,430  
      CH Energy Group, Inc.                        151,294       6,021,501  
      Chesapeake Utilities Corp.                    65,850       1,993,938  
      Connecticut Water Services, Inc.              93,287       2,491,696  
      Delta Natural Gas Co., Inc.                   20,000         546,200  
  #   Empire District Electric Co.                 300,150       6,333,165  
      Energy West, Inc.                             17,912         178,224  
  #   EnergySouth, Inc.                             76,425       4,681,031  
* #   Environmental Power Corp.                     95,593         305,898  
      Florida Public Utilities Co.                  38,597         503,691  
  #   Laclede Group, Inc.                          210,599       9,462,213  
  *   Maine & Maritimes Corp.                       29,300       1,299,455  
      MGE Energy, Inc.                             205,779       6,975,908  
      Middlesex Water Co.                          115,548       2,047,511  
      NorthWestern Corp.                            30,700         807,410  
      RGC Resources, Inc.                            4,698         135,772  
  #   SJW Corp.                                    179,225       4,995,001  
  #   Southwest Water Co.                          238,602       2,820,276  
      UIL Holdings Corp.                           191,201       6,233,153  
      Unitil Corp.                                  44,528       1,184,000  
      York Water Co.                                26,326         371,197  
Total Utilities                                                 78,363,522  
                                                                            
TOTAL COMMON STOCKS                                          4,127,033,591  


                                        

                                       47

--------------------------------------------------------------------------------

                                        

RIGHTS/WARRANTS — (0.0%)                                               
* †   eLoyalty Corp. Rights 09/12/08                   16,751       —  
  *   PGT, Inc. Rights 09/04/08                         4,950   4,455  
  *   Valley National Bancorp Warrants 06/30/15           974   4,777  
  *   Caliper Life Sciences, Inc. Warrants 08/10/11       112      47  
* †   DOV Pharmaceutical, Inc. Warrants 12/31/09      220,685       —  
* †   Mossimo, Inc. Contingent Rights                 149,150       —  
* †   Tengasco, Inc. Warrants 09/12/08                  2,306       —  
TOTAL RIGHTS/WARRANTS                                           9,279  


 

TEMPORARY CASH INVESTMENTS — (0.2%)                                                      
       BlackRock Liquidity Funds Tempcash                                               
       Portfolio-Institutional Shares                         10,552,851     10,552,851  


 

                                                              Face                      
                                                             Amount                      
                                                              (000)                      
SECURITIES LENDING COLLATERAL — (19.3%)                                                  
  § @   DFA Short Term Investment Fund LP                  $   928,715      928,714,878  
                                                                                         
    @   Repurchase Agreement, Deutsche Bank Securities                                  
        2.14%, 09/02/08 (Collateralized by $69,885,605                                  
        FNMA, rates ranging from 5.000% to 6.000%,                                      
        maturities ranging from 08/01/23 to 08/01/37,                                   
        valued at $60,577,890) to be repurchased at                                     
        $58,827,470                                             58,813       58,813,485  
                                                                                         
TOTAL SECURITIES LENDING COLLATERAL                                         987,528,363  
                                                                                         
TOTAL INVESTMENTS - (100.0%)                                                            
(Cost $5,410,887,048)##                                                  $5,125,124,084  


                                        

                                       48

--------------------------------------------------------------------------------

 

                       THE DFA INTERNATIONAL VALUE SERIES

                            SCHEDULE OF INVESTMENTS

                                August 31, 2008

                                  (Unaudited)

                                        

                                                   Shares       Value ††    
                                                                            
AUSTRALIA — (4.3%)                                                          
COMMON STOCKS — (4.3%)                                                      
    Amcor, Ltd.                                   1,425,611   $  6,690,991  
    Amcor, Ltd. Sponsored ADR                        77,103      1,460,824  
#   APN News & Media, Ltd.                          509,371      1,441,691  
#   Australia & New Zealand Banking Group, Ltd.   3,401,389     47,897,111  
#   AXA Asia Pacific Holdings, Ltd.               2,171,146      9,574,660  
#   Bendigo Bank, Ltd.                              191,751      1,887,288  
    BlueScope Steel, Ltd.                         1,743,215     13,706,984  
#   Boral, Ltd.                                   1,169,855      6,427,300  
#   Caltex Australia, Ltd.                          265,507      2,839,978  
    Commonwealth Bank of Australia                2,106,388     75,807,101  
    Crown, Ltd.                                     171,766      1,342,633  
    CSR, Ltd.                                     1,601,348      3,633,856  
    Downer EDI, Ltd.                                513,783      3,250,460  
#   Fairfax Media, Ltd.                           1,957,597      4,707,309  
    Foster’s Group, Ltd.                          4,479,598     21,380,364  
    Goodman Fielder, Ltd.                         2,290,858      2,888,583  
    Insurance Australia Group, Ltd.               2,748,860      9,292,062  
    Lend Lease Corp., Ltd.                          662,249      5,443,878  
#   Macquarie Group, Ltd.                            71,639      2,656,486  
    Metcash, Ltd.                                   400,000      1,346,097  
#   National Australia Bank, Ltd.                 3,179,770     65,980,639  
    Onesteel, Ltd.                                1,529,133      8,934,232  
    Origin Energy, Ltd.                           1,952,182     26,930,264  
    OZ Minerals, Ltd.                             1,588,602      2,365,116  
#   Publishing and Broadcasting, Ltd.               190,851        530,187  
    Qantas Airways, Ltd.                          2,105,647      6,061,951  
    QBE Insurance Group, Ltd.                        40,687        827,495  
#   Seven Network, Ltd.                             195,723      1,309,648  
#   Suncorp-Metway, Ltd.                          1,329,287     12,905,988  
    TABCORP Holdings, Ltd.                        1,246,164      9,103,261  
    Toll Holdings, Ltd.                             202,500      1,198,965  
#   Washington H. Soul Pattinson & Co., Ltd.        113,801      1,092,674  
TOTAL — AUSTRALIA                                              360,916,076  
                                                                            
AUSTRIA — (0.7%)                                                            
COMMON STOCKS — (0.7%)                                                      
#   Erste Group Bank AG                             270,644     16,173,707  
    OMV AG                                          457,110     29,285,455  
    Voestalpine AG                                  185,665     10,050,231  
#   Wienerberger AG                                 221,811      5,820,670  
TOTAL — AUSTRIA                                                 61,330,063  


                                        

                                       1

--------------------------------------------------------------------------------

                                        

BELGIUM — (0.6%)                                                                   
COMMON STOCKS — (0.6%)                                                             
   *   Cumerio NV SA- Strip                                    2,009            —  
       Delhaize Group                                        208,895   13,476,659  
       Delhaize Group Sponsored ADR                           52,900    3,392,477  
   #   Dexia SA                                            1,535,241   21,696,639  
       UCB SA                                                287,217   11,231,573  
TOTAL COMMON STOCKS                                                    49,797,348  
                                                                                   
RIGHTS/WARRANTS — (0.0%)                                                           
   *   Umicore                                                10,045          295  
TOTAL — BELGIUM                                                        49,797,643  
                                                                                   
CANADA — (5.7%)                                                                    
COMMON STOCKS — (5.7%)                                                             
       Astral Media, Inc. Class A                             40,138    1,256,533  
   #   Bank of Montreal                                      375,400   16,450,708  
       Barrick Gold Corp.                                  1,398,132   48,654,151  
       BCE, Inc.                                             589,125   22,321,057  
   #   Canadian Pacific Railway, Ltd.                        339,597   20,718,679  
   #   Canadian Tire Corp. Class A                           171,547    8,719,525  
       Canadian Utilities, Ltd. Class A                        1,600       64,946  
   *   CGI Group, Inc.                                       589,389    6,433,432  
   *   Domtar Corp.                                          315,000    1,800,763  
       E-L Financial Corp., Ltd.                                 600      306,563  
       Empire Co., Ltd. Class A                               65,500    2,878,965  
   #   EnCana Corp.                                          577,298   43,392,497  
   #   Fairfax Financial Holdings, Inc.                       47,800   10,489,169  
   #   George Weston, Ltd.                                   138,400    6,143,146  
   #   Gerdau Ameristeel Corp.                               440,461    6,222,372  
       Goldcorp, Inc.                                        529,200   18,002,170  
       Industrial Alliance Insurance & Financial                                  
       Services, Inc.                                        144,400    5,025,033  
       ING Canada, Inc.                                      132,500    4,991,524  
       Jean Coutu Group PJC, Inc. Class A                    307,800    2,449,529  
       Loblaw Companies, Ltd.                                189,413    5,403,390  
 # *   Lundin Mining Corp.                                   411,100    1,966,837  
   #   Magna International, Inc. Class A                     291,268   16,727,748  
       Manitoba Telecom Services, Inc.                        40,500    1,590,554  
   #   Manulife Financial Corp.                              794,400   28,512,511  
   *   MDS, Inc.                                             316,264    4,846,125  
       Methanex Corp.                                         23,300      592,046  
       Metro, Inc. Class A                                   141,400    3,928,518  
   #   National Bank of Canada                               262,300   12,356,608  
   #   Onex Corp.                                            168,200    4,522,613  
   *   OPTI Canada, Inc.                                      24,400      442,362  
       Petro-Canada                                        1,022,400   45,207,836  
   #   Power Corp. of Canada, Ltd.                           470,296   14,563,319  


                                        

                                       2

--------------------------------------------------------------------------------

                                        

   #   Quebecor, Inc. Class B                                 70,700     1,886,354  
   *   Saskatchewan Wheat Pool, Inc.                         381,473     4,401,059  
       Sherritt International Corp.                          590,000     5,306,555  
   #   Sun Life Financial, Inc.                            1,300,100    50,140,417  
   #   The Thomson Corp.                                     416,700    14,029,973  
   #   TransCanada Corp.                                     424,602    16,103,525  
       Yamana Gold, Inc.                                   1,033,700    11,224,864  
TOTAL — CANADA                                                         470,073,976  
                                                                                    
DENMARK — (1.1%)                                                                    
COMMON STOCKS — (1.1%)                                                              
       A P Moller - Maersk A.S.                                3,225    36,080,446  
   *   Alm. Brand A.S.                                        11,571       361,198  
       Carlsberg A.S. Series B                               137,700    12,223,908  
   #   Dampskibsselsk Torm A.S.                               29,600     1,016,524  
       Dampskibsselskabet Torm A.S. ADR                       15,086       520,467  
   #   Danisco A.S.                                          110,980     7,451,301  
       Danske Bank A.S.                                      993,853    27,966,665  
   *   Jyske Bank A.S.                                        95,900     5,369,976  
       Sydbank A.S.                                           71,200     2,319,913  
TOTAL — DENMARK                                                         93,310,398  
                                                                                    
FINLAND — (0.9%)                                                                    
COMMON STOCKS — (0.9%)                                                              
       Fortum Oyj                                            401,786    16,491,634  
       Kesko Oyj                                             157,000     4,836,428  
       Outokumpu Oyj Series A                                343,267     8,219,781  
       Pohjola Bank P.L.C.                                   117,000     1,888,244  
       Sampo Oyj                                             506,274    12,736,543  
   #   Stora Enso Oyj Series R                             1,024,210    10,262,117  
       Stora Enso Oyj Sponsored ADR                           91,500       924,122  
       UPM-Kymmene Oyj                                       975,122    16,660,549  
       UPM-Kymmene Oyj Sponsored ADR                          69,300     1,193,720  
TOTAL — FINLAND                                                         73,213,138  
                                                                                    
FRANCE — (8.7%)                                                                     
COMMON STOCKS — (8.7%)                                                              
       Air France-KLM                                        257,734     6,200,818  
       Atos Origin SA                                         30,931     1,662,323  
       AXA SA                                              2,905,543    92,708,490  
       AXA SA Sponsored ADR                                   90,300     2,881,473  
       BNP Paribas SA                                      1,666,604   149,502,992  
       Capgemini SA                                          266,832    15,753,861  
       Casino Guichard Perrachon SA                           93,493     9,161,732  
       Ciments Francais SA                                    29,707     4,094,329  
       CNP Assurances                                         74,461     8,937,798  
       Compagnie de Saint-Gobain                             598,264    36,551,491  
       Compagnie Generale des Establissements Michelin                             
       Series B                                              218,241    14,146,379  
       Credit Agricole SA                                  1,487,640    31,539,031  
       Esso Ste Anonyme Francaise                              2,114       424,330  


                                        

                                       3

--------------------------------------------------------------------------------

                                        

    Euler Hermes SA                                   10,758       860,973  
#   European Aeronautic Defence & Space Co.          696,957    15,602,403  
    France Telecom SA                                857,969    25,297,195  
    France Telecom SA Sponsored ADR                  123,605     3,636,459  
    Lafarge SA                                       329,225    39,717,085  
    Lagardere S.C.A.                                 245,851    13,723,834  
    Nexans SA                                         23,976     3,021,241  
    Peugeot SA                                       335,527    15,941,402  
    PPR SA                                           161,039    18,727,060  
    Renault SA                                       394,997    32,983,535  
#   Rexel SA                                         123,451     1,867,586  
#   Safran SA                                        321,769     5,718,382  
    Schneider Electric SA                            296,939    29,847,984  
    SCOR SE (4797364)                                      6            18  
    SCOR SE (B1LB9P6)                                193,766     4,464,087  
    Societe Generale Paris                           366,910    35,393,062  
    Vivendi SA                                     2,556,392    98,761,123  
TOTAL — FRANCE                                                 719,128,476  
                                                                            
GERMANY — (10.6%)                                                           
COMMON STOCKS — (10.6%)                                                     
    Allianz SE                                       464,749    77,476,311  
#   Allianz SE Sponsored ADR                       2,772,640    46,247,635  
    AMB Generali Holding AG                           36,508     6,162,732  
    Bayerische Motoren Werke AG                      730,223    29,873,677  
    Bilfinger Berger AG                               21,332     1,497,225  
    Celesio AG                                       135,910     5,224,864  
    Commerzbank AG                                 1,122,000    32,963,780  
    Daimler AG                                     1,734,297   101,092,912  
#   Daimler AG Sponsored ADR                         163,964     9,572,218  
#   Deutsche Bank AG                                 801,377    68,058,301  
    Deutsche Bank AG ADR                             128,363    10,894,168  
    Deutsche Lufthansa AG                            407,381     8,747,851  
    Deutsche Postbank AG                              14,003       912,831  
    Deutsche Telekom AG                            2,621,866    43,182,563  
    Deutsche Telekom AG Sponsored ADR              2,860,650    47,114,905  
    E.ON AG                                        1,867,737   108,883,735  
    E.ON AG Sponsored ADR                          1,091,708    63,937,298  
#   Fraport AG                                        41,329     2,658,088  
    Hannover Rueckversicherung AG                    110,141     4,672,035  
    Heidelberger Zement AG                            28,931     3,239,631  
    Hochtief AG                                        8,774       738,560  
#   Hypo Real Estate Holding AG                       39,305       946,219  
*   Infineon Technologies AG                       1,247,436    10,651,852  
*   Infineon Technologies AG ADR                      98,600       839,086  
    Lanxess AG                                        44,897     1,721,776  
    Linde AG                                         137,956    17,310,334  
    Munchener Rueckversicherungs-Gesellschaft AG     400,549    62,187,993  
    Salzgitter AG                                     47,551     7,281,481  
    SCA Hygiene Products AG                            3,195     1,461,935  
#   Suedzucker AG                                    102,666     1,740,206  


                                        

                                       4

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      ThyssenKrupp AG                                  405,612    20,194,896  
  #   TUI AG                                           329,789     6,553,934  
  #   Volkswagen AG                                    268,652    80,228,288  
TOTAL — GERMANY                                                  884,269,320  
                                                                              
GREECE — (0.3%)                                                               
COMMON STOCKS — (0.3%)                                                        
      Agricultural Bank of Greece S.A.                 350,994     1,217,483  
      Alpha Bank A.E.                                  183,632     4,672,679  
      EFG Eurobank Ergasias S.A.                        60,000     1,206,995  
      Hellenic Petroleum S.A.                          598,147     7,515,437  
      National Bank of Greece S.A. ADR                 637,630     5,617,520  
      Piraeus Bank S.A.                                 74,113     1,997,563  
TOTAL — GREECE                                                    22,227,677  
                                                                              
HONG KONG — (2.8%)                                                            
COMMON STOCKS — (2.8%)                                                        
  #   C C Land Holdings, Ltd.                          900,000       379,539  
  #   Cathay Pacific Airways, Ltd.                   2,783,000     5,160,776  
      Cheung Kong Holdings, Ltd.                     3,320,000    47,190,328  
      Cheung Kong Infrastructure Holdings, Ltd.        610,000     2,645,574  
# *   CITIC International Financial Holdings, Ltd.   1,425,000     1,143,056  
      Dah Sing Banking Group, Ltd.                     306,964       429,662  
      Dah Sing Financial Holdings, Ltd.                194,400     1,191,183  
# *   Galaxy Entertainment Group, Ltd.               1,318,000       508,829  
      Great Eagle Holdings, Ltd.                       521,233     1,443,970  
      Hang Lung Group, Ltd.                          2,267,000     9,656,935  
      Henderson Land Development Co., Ltd.           1,910,000    11,513,494  
      Hong Kong and Shanghai Hotels, Ltd.            1,147,022     1,634,166  
      Hopewell Holdings, Ltd.                        1,455,000     5,544,200  
      Hutchison Whampoa, Ltd.                        5,635,000    52,312,208  
      Hysan Development Co., Ltd.                    1,973,191     5,392,323  
      Kingboard Chemical Holdings, Ltd.                450,000     2,025,010  
      MTR Corp., Ltd.                                3,437,040    11,065,500  
  #   New World China Land, Ltd.                     1,963,600       721,220  
      New World Development Co., Ltd.                4,064,065     6,168,252  
      Sino Land Co., Ltd.                            2,559,315     4,479,941  
      Sun Hung Kai Properties, Ltd.                  2,603,000    35,493,093  
      Wharf Holdings, Ltd.                           3,613,740    13,060,000  
      Wheelock and Co., Ltd.                         3,774,000     8,950,890  
      Wheelock Properties, Ltd.                      1,565,000     1,148,408  
TOTAL — HONG KONG                                                229,258,557  
                                                                              
IRELAND — (0.5%)                                                              
COMMON STOCKS — (0.5%)                                                        
      Allied Irish Banks P.L.C. (0019783)              932,956    11,845,829  
      Allied Irish Banks P.L.C. (4020684)              347,250     4,376,211  
      Allied Irish Banks P.L.C. Sponsored ADR          391,037    10,030,099  
      Bank of Ireland P.L.C.                         1,247,876     9,941,974  
      Bank of Ireland P.L.C. Sponsored ADR               8,000       261,200  
      Irish Life & Permanent P.L.C.                    740,650     6,879,612  
TOTAL — IRELAND                                                   43,334,925  


                                        

                                       5

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ITALY — (2.0%)                                                         
COMMON STOCKS — (2.0%)                                                 
  #   Banca Monte Dei Paschi di Siena SpA     2,567,238     6,743,578  
      Banca Popolare di Milano Scarl          1,011,678    10,075,715  
      Banco Popolare Scarl                      227,880     4,340,793  
      Fondiaria - Sai SpA                       167,605     4,643,939  
      Intesa Sanpaolo SpA                     2,911,755    15,629,884  
  #   Italcementi SpA                           324,346     4,542,475  
      Italmobiliare SpA                          29,210     2,106,099  
      Pirelli & Co. SpA                       6,030,909     4,072,569  
      Telecom Italia SpA                      1,211,763     1,948,954  
      Telecom Italia SpA Sponsored ADR        1,853,000    29,907,420  
      UniCredito Italiano SpA                10,390,107    55,905,623  
      Unione di Banche Italiane ScpA            962,044    21,505,075  
      Unipol Gruppo Finanziario SpA           1,822,774     4,544,498  
TOTAL — ITALY                                             165,966,622  
                                                                       
JAPAN — (11.3%)                                                        
COMMON STOCKS — (11.3%)                                                
      AEON Co., Ltd.                            320,300     3,673,351  
      Aioi Insurance Co., Ltd.                1,277,735     6,290,387  
      Aisin Seiki Co., Ltd.                     192,200     5,059,892  
      Ajinomoto Co., Inc.                     1,163,000    10,596,705  
      Alps Electric Co., Ltd.                   263,100     2,377,901  
      Amada Co., Ltd.                           631,000     3,821,984  
      Aoyama Trading Co., Ltd.                  105,500     1,909,703  
  #   Asatsu-Dk, Inc.                            32,500       844,154  
      Bridgestone Corp.                       1,512,700    25,448,442  
      Calsonic Kansei Corp.                     190,000       631,713  
      Canon Marketing Japan, Inc.               124,900     2,049,843  
      Chudenko Corp.                             41,100       591,801  
      Chuo Mitsui Trust Holdings, Inc.          637,000     3,511,899  
      Citizen Holdings Co., Ltd.                415,800     2,871,406  
      Coca-Cola West Japan Co., Ltd.             76,700     1,773,832  
  #   Comsys Holdings Corp.                     149,000     1,319,611  
      Cosmo Oil Co., Ltd.                       980,000     2,862,309  
  #   CSK Holdings Corp.                        100,600     1,587,143  
      Dai Nippon Printing Co., Ltd.           1,125,000    15,883,318  
  #   Dai Nippon Sumitomo Pharma Co., Ltd.      321,000     2,844,608  
      Daicel Chemical Industries, Ltd.          485,000     2,459,450  
      Dainippon Ink & Chemicals, Inc.           596,000     1,320,862  
      Daiwa House Industry Co., Ltd.            943,000     9,266,527  
      Denso Corp.                                 7,500       194,426  
  #   Dentsu, Inc.                                  527     1,059,750  
  #   Ebara Corp.                               253,000       591,880  
# *   Elpida Memory, Inc.                       112,900     2,431,023  
      Fuji Electric Holdings Co., Ltd.          781,780     1,841,077  


                                        

                                       6

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      Fuji Heavy Industries, Ltd.                      1,017,000    5,813,791  
      FUJIFILM Holdings Corp.                          1,109,400   30,526,232  
      Fujikura, Ltd.                                     609,000    2,834,742  
      Fukuoka Financial Group, Inc.                    1,368,000    4,811,991  
      Futaba Industrial Co., Ltd.                         85,600    1,377,262  
      Glory, Ltd.                                         75,400    1,608,567  
      Gunze, Ltd.                                        248,000    1,049,282  
      H20 Retailing Corp.                                198,000    1,218,132  
  #   Hakuhodo Dy Holdings, Inc.                          12,670      645,759  
      Hankyu Hanshin Holdings, Inc.                    2,126,000    9,363,949  
      Heiwa Corp.                                         81,500      726,222  
      Hino Motors, Ltd.                                  217,000    1,056,915  
      Hitachi Cable, Ltd.                                364,000    1,311,044  
      Hitachi Transport System, Ltd.                     111,000    1,502,589  
      Hitachi, Ltd.                                    6,815,000   50,192,095  
      Hitachi, Ltd. Sponsored ADR                        140,900   10,325,152  
      House Foods Corp.                                  117,000    1,904,380  
# *   Idemitsu Kosan Co., Ltd.                            25,800    2,291,230  
      INPEX Holdings, Inc.                                     1        2,613  
      JS Group Corp.                                     564,600    7,664,604  
      Juroku Bank, Ltd.                                  400,000    1,657,323  
      Kajima Corp.                                     1,436,000    4,420,505  
      Kamigumi Co., Ltd.                                 488,000    3,766,499  
  #   Kandenko Co., Ltd.                                 129,000      775,652  
      Kaneka Corp.                                       560,000    3,517,073  
      Kansai Paint Co., Ltd.                             111,000      700,277  
      Kinden Corp.                                       240,000    2,292,685  
      Kissei Pharmaceutical Co., Ltd.                     41,000      891,925  
      Komori Corp.                                       101,100    1,475,172  
      Kuraray Co., Ltd.                                  107,000    1,115,017  
      Kyocera Corp.                                      338,100   28,336,234  
      Kyocera Corp. Sponsored ADR                         13,600    1,138,456  
      Mabuchi Motor Co., Ltd.                             36,300    1,694,942  
  #   MARUI GROUP CO., Ltd.                              498,500    3,642,948  
      Matsushita Electric Industrial Co., Ltd.           981,135   20,166,100  
      Matsushita Electric Works, Ltd.                    634,000    5,860,155  
      Meiji Dairies Corp.                                 88,000      502,516  
  #   Meiji Seika Kaisha, Ltd.                           408,000    1,921,078  
      Mitsubishi Gas Chemical Co., Inc.                   95,000      538,068  
  #   Mitsubishi Heavy Industries, Ltd.                6,202,000   29,620,499  
  #   Mitsubishi Logistics Corp.                         146,000    1,655,784  
  #   Mitsubishi Rayon Co., Ltd.                       1,012,000    2,731,022  
      Mitsubishi UFJ Financial Group, Inc. ADR           882,500    6,742,300  
  #   Mitsui Chemicals, Inc.                           1,281,800    6,326,528  
  #   Mitsui Mining and Smelting Co., Ltd.               915,000    2,438,006  
  *   Mitsui Sumitomo Insurance Group Holdings, Inc.     776,100   25,455,388  
      Musashino Bank, Ltd.                                37,500    1,093,940  
      Nagase & Co., Ltd.                                 196,000    1,856,081  
      NEC Corp.                                        4,527,101   20,862,904  
  #   NGK Spark Plug Co., Ltd.                           254,000    2,806,900  
      Nippon Express Co., Ltd.                         1,403,000    6,560,059  
      Nippon Kayaku Co., Ltd.                            128,000      814,552  


                                        

                                       7

--------------------------------------------------------------------------------

 

    Nippon Meat Packers, Inc.                   326,000    5,292,705  
    Nippon Mining Holdings, Inc.              1,783,000    9,903,836  
    Nippon Mitsubishi Oil Corp.               2,813,050   17,544,733  
    Nippon Paper Group, Inc.                      1,609    4,595,094  
#   Nippon Sheet Glass Co., Ltd.              1,039,000    5,320,721  
    Nippon Shokubai Co., Ltd.                   231,000    1,481,435  
    Nippon Suisan Kaisha, Ltd.                  254,000      881,244  
    Nippon Television Network Corp.               9,400      935,395  
    Nipponkoa Insurance Co., Ltd.               873,000    5,727,690  
#   Nipro Corp.                                  42,000      766,537  
    Nishi-Nippon Bank, Ltd.                   1,123,000    2,933,716  
    Nishi-Nippon Railroad Co., Ltd.              78,000      271,452  
#   Nissan Motor Co., Ltd.                    2,878,100   21,862,310  
    Nissay Dowa General Insurance Co., Ltd.     383,000    1,994,943  
    Nisshin Seifun Group, Inc.                  335,500    4,629,130  
    Nisshin Steel Co., Ltd.                   1,226,000    3,275,531  
#   Nisshinbo Industries, Inc.                  305,000    3,358,096  
    NOK Corp.                                   112,600    1,613,638  
    Obayashi Corp.                              973,000    4,500,633  
#   Oji Paper Co., Ltd.                       1,808,000    9,445,249  
#   Onward Holdings Co., Ltd.                   251,000    2,725,849  
#   Pioneer Electronic Corp.                    272,600    2,069,226  
    Q.P. Corp.                                  156,800    1,484,275  
    Rengo Co., Ltd.                             384,000    2,773,390  
    RICOH COMPANY, Ltd.                         802,000   13,238,312  
    Rohm Co., Ltd.                              176,900   10,184,674  
    Sanwa Holdings Corp.                        238,000      886,105  
    Sapporo Hokuyo Holdings, Inc.                   428    2,303,635  
#   Sega Sammy Holdings, Inc.                   373,300    3,540,725  
    Seiko Epson Corp.                           257,000    7,414,352  
    Seino Holdings Co., Ltd.                    295,000    1,724,875  
    Sekisui Chemical Co., Ltd.                  689,000    4,267,326  
    Sekisui House, Ltd.                       1,164,000   11,000,860  
    Shiga Bank, Ltd.                            301,000    1,977,442  
#   Shimachu Co., Ltd.                           70,700    1,700,045  
    Shimizu Corp.                             1,131,000    4,771,176  
    Shinko Securities Co., Ltd.                 819,000    2,379,778  
#   Shinsei Bank, Ltd.                          394,000    1,339,735  
    Shizuoka Bank, Ltd.                         971,000    9,728,850  
#   Showa Shell Sekiyu K.K.                      36,200      409,244  
#   Sohgo Security Services Co., Ltd.           101,300    1,152,821  
    Sojitz Corp.                              1,875,200    5,350,443  
    Sompo Japan Insurance, Inc.               1,937,000   17,464,966  
    Sony Corp.                                  679,600   25,979,672  
    Sony Corp. Sponsored ADR                    260,616    9,955,531  
    Sumitomo Bakelite Co., Ltd.                 347,000    1,790,188  
    Sumitomo Corp.                              964,100   12,011,524  
    Sumitomo Electric Industries, Ltd.        1,130,100   12,968,535  
    Sumitomo Forestry Co., Ltd.                 158,000    1,128,574  
    Sumitomo Rubber Industries, Ltd.            256,500    2,046,288  
    Sumitomo Trust & Banking Co., Ltd.        2,856,000   17,048,162  
    Suzuken Co., Ltd.                            25,000      898,078  


                                        

                                       8

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    Taiheiyo Cement Corp.                        1,638,800     2,687,571  
    Taisei Corp.                                 1,740,000     3,960,913  
    Taisho Pharmaceutical Co., Ltd.                262,000     5,557,405  
    Taiyo Yuden Co., Ltd.                          184,000     2,027,887  
#   Takashimaya Co., Ltd.                          299,000     2,556,053  
    TDK Corp.                                      105,700     6,123,151  
    Teijin, Ltd.                                 1,881,000     6,027,152  
    The 77 Bank, Ltd.                              494,000     2,819,278  
    The Awa Bank, Ltd.                             246,600     1,304,222  
#   The Bank of Iwate, Ltd.                         19,600     1,108,407  
    The Bank of Kyoto, Ltd.                        363,400     3,790,069  
    The Bank of Nagoya, Ltd.                       213,000     1,159,488  
    The Chiba Bank, Ltd.                           847,000     4,641,463  
    The Chugoku Bank, Ltd.                         247,800     3,239,973  
    The Daishi Bank, Ltd.                          427,000     1,700,873  
    The Fuji Fire & Marine Insurance Co., Ltd.     297,000       807,832  
    The Gunma Bank, Ltd.                           529,000     2,977,758  
    The Hachijuni Bank, Ltd.                       695,000     4,030,492  
    The Higo Bank, Ltd.                            278,000     1,605,567  
    The Hiroshima Bank, Ltd.                       719,000     2,692,297  
    The Hokkoku Bank, Ltd.                         394,000     1,445,166  
    The Hyakugo Bank, Ltd.                         303,000     1,707,562  
    The Hyakujishi Bank, Ltd.                      329,000     1,737,427  
    The Iyo Bank, Ltd.                             350,000     3,714,070  
    The Joyo Bank, Ltd.                          1,554,000     7,154,755  
    The Kagoshima Bank, Ltd.                       273,000     1,806,935  
    The Keiyo Bank, Ltd.                           317,000     1,481,156  
    The Nanto Bank, Ltd.                           317,000     1,710,068  
    The Ogaki Kyoritsu Bank, Ltd.                  334,000     1,714,674  
    The San-in Godo Bank, Ltd.                     241,000     1,864,208  
#   Toda Corp.                                     385,000     1,385,510  
    Tokai Tokyo Securities Co., Ltd.               155,000       549,462  
    Tokio Marine Holdings, Inc.                  1,629,300    55,261,346  
    Tokyo Steel Manufacturing Co., Ltd.            186,800     1,972,285  
    Toppan Forms Co., Ltd.                          48,500       582,970  
    Toppan Printing Co., Ltd.                    1,188,000    10,707,617  
    Toshiba TEC Corp.                              181,000       909,312  
    Toyo Ink Manufacturing Co., Ltd.               213,000       697,899  
    Toyo Seikan Kaisha, Ltd.                       344,700     6,247,213  
#   Toyobo Co., Ltd.                               743,000     1,237,106  
    Toyota Auto Body Co., Ltd.                     105,100     1,841,801  
    TV Asahi Corp.                                     931     1,329,263  
    UNY Co., Ltd.                                  309,000     3,406,413  
#   Wacoal Corp.                                   135,000     1,587,539  
    Yamaguchi Financial Group, Inc.                313,000     3,593,149  
#   Yamaha Corp.                                   285,400     5,010,632  
    Yamaha Motor Co., Ltd.                         255,300     3,932,941  
    Yamanashi Chuo Bank, Ltd.                      241,000     1,275,120  
#   Yamazaki Baking Co., Ltd.                      155,000     1,828,659  
    Yokogawa Electric Corp.                        116,500       846,510  
    Yokohama Rubber Co., Ltd.                      410,000     2,145,092  
TOTAL — JAPAN                                                936,268,591  


                                        

                                       9

--------------------------------------------------------------------------------

                                        

MALAYSIA — (0.0%)                                                       
COMMON STOCKS — (0.0%)                                                  
  *   Rekapacific Berhad                         691,000             —  
                                                                        
NETHERLANDS — (5.7%)                                                    
COMMON STOCKS — (5.7%)                                                  
      Aegon NV                                 3,298,073    38,851,359  
      ArcelorMittal                            1,934,081   151,717,002  
      Heineken Holding NV                         74,614     3,309,482  
  #   ING Groep NV                             3,203,383    99,799,293  
      ING Groep NV Sponsored ADR                 538,200    16,764,930  
      Koninklijke Ahold NV                     1,358,233    16,981,698  
  #   Koninklijke DSM NV                         397,767    22,893,348  
      Koninklijke Philips Electronics NV       3,292,546   106,975,247  
      Koninklijke Philips Electronics NV ADR     133,700     4,333,217  
      SNS Reaal                                  194,551     3,232,894  
      STMicroelectronics NV                      643,493     8,405,048  
TOTAL — NETHERLANDS                                        473,263,518  
                                                                        
NEW ZEALAND — (0.1%)                                                    
COMMON STOCKS — (0.1%)                                                  
  #   Contact Energy, Ltd.                     1,423,493     8,310,722  
  #   Fletcher Building, Ltd.                    594,072     3,094,256  
TOTAL — NEW ZEALAND                                         11,404,978  
                                                                        
NORWAY — (1.2%)                                                         
COMMON STOCKS — (1.2%)                                                  
      DNB Nor ASA Series A                     2,582,094    29,935,665  
# *   Marine Harvest                           5,652,000     3,936,673  
      Norsk Hydro ASA                          1,819,214    19,386,623  
      Norsk Hydro ASA Sponsored ADR               59,900       642,326  
      Orkla ASA                                2,780,950    35,675,304  
      Storebrand ASA                             713,900     5,548,901  
      Wilh. Wilhelmsen ASA                        11,850       370,643  
TOTAL — NORWAY                                              95,496,135  
                                                                        
PORTUGAL — (0.1%)                                                       
COMMON STOCKS — (0.1%)                                                  
      Banco BPI SA                               275,646       926,296  
  #   Banco Comercial Portugues SA             2,008,205     3,469,550  
  #   Banco Espirito Santo SA                    320,446     4,140,562  
  #   Cimpor Cimentos de Portugal SA             129,009       810,283  
TOTAL — PORTUGAL                                             9,346,691  


                                        

                                       10

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SINGAPORE — (1.3%)                                                                
COMMON STOCKS — (1.3%)                                                            
# *   Chartered Semiconductor Manufacturing, Ltd.        1,416,000       481,851  
      DBS Group Holdings, Ltd.                           3,365,500    42,555,040  
      Fraser & Neave, Ltd.                               2,421,450     7,425,580  
      Jardine Cycle & Carriage, Ltd.                       179,324     2,236,514  
  #   Neptune Orient Lines, Ltd.                           609,000       959,755  
      Overseas Chinese Banking Corp., Ltd.               3,178,000    18,009,079  
      Singapore Airlines, Ltd.                           1,489,600    15,930,132  
      Singapore Land, Ltd.                                 687,000     2,656,270  
      United Industrial Corp., Ltd.                      1,391,000     2,359,653  
      United Overseas Bank, Ltd.                           543,000     7,227,481  
      UOL Group, Ltd.                                    1,740,600     3,519,108  
      Venture Corp., Ltd.                                   85,000       597,004  
  #   Wheelock Properties, Ltd.                            605,000       557,007  
TOTAL — SINGAPORE                                                    104,514,474  
                                                                                  
SPAIN — (4.4%)                                                                    
COMMON STOCKS — (4.4%)                                                            
      Abertis Infraestructuras SA                           81,400     1,681,334  
      Acciona SA                                            70,229    13,965,340  
  #   Acerinox SA                                          629,295    11,893,627  
      Banco Bilbao-Vizcaya Argentaria SA Sponsored ADR     391,100     6,582,213  
  #   Banco de Sabadell SA                               2,504,343    19,498,857  
  #   Banco Espanol de Credito SA                          363,460     4,966,942  
  #   Banco Pastor SA                                      320,162     3,100,190  
  #   Banco Popular Espanol SA                             481,719     5,090,551  
  #   Banco Santander Central Hispano SA                 7,329,732   124,600,933  
  #   Banco Santander SA Sponsored ADR                   3,044,700    51,699,006  
  #   Bankinter SA                                         210,353     2,233,723  
  #   Fomento de Construcciones y Contratas SA              46,530     2,330,777  
      Gas Natural SDG SA                                   218,361    10,116,261  
  #   Grupo Catalana Occidente SA                          125,781     3,585,001  
  #   Grupo Ferrovial SA                                   242,463    12,114,844  
  #   Iberia Lineas Aereas de Espana SA                    617,500     1,830,689  
  #   Mapfre SA                                            732,775     3,504,381  
      Repsol YPF SA                                      1,537,866    47,566,954  
      Repsol YPF SA Sponsored ADR                        1,285,700    39,663,845  
  #   Sacyr Vallehermoso SA                                 68,588     1,240,573  
TOTAL — SPAIN                                                        367,266,041  
                                                                                  
SWEDEN — (2.3%)                                                                   
COMMON STOCKS — (2.3%)                                                            
  #   Boliden AB                                           497,200     3,132,255  
  #   Electrolux AB Series B                               533,100     6,839,845  
      Holmen AB Series A                                     6,300       209,001  
  #   Holmen AB Series B                                   150,400     4,797,960  
      Nordea Bank AB                                     4,374,518    58,107,282  
      Skandinaviska Enskilda Banken AB Series A            743,500    13,295,119  
      Skandinaviska Enskilda Banken AB Series C              9,800       164,185  


                                        

                                       11

--------------------------------------------------------------------------------

                                        

#   Skanska AB Series B                               462,800     5,822,890  
    SSAB Svenskt Stal AB Series A                     271,300     6,614,357  
    SSAB Svenskt Stal AB Series B                     131,700     2,854,939  
    Svenska Cellulosa AB                               57,000       652,395  
    Svenska Cellulosa AB Series B                   1,308,500    14,864,932  
    Svenska Handelsbanken AB Series A                 762,000    18,334,946  
#   Swedbank AB Series A                              349,300     6,138,194  
    Tele2 AB Series B                                 490,700     7,547,526  
    Telefonaktiebolaget LM Erricson Sponsored ADR   1,086,526    12,408,127  
    TeliaSonera AB                                  3,903,500    27,203,275  
    Volvo AB Series A                                 227,400     2,482,538  
TOTAL — SWEDEN                                                  191,469,766  
                                                                             
SWITZERLAND — (5.6%)                                                         
COMMON STOCKS — (5.6%)                                                       
    Adecco SA                                         250,003    11,730,627  
    Baloise-Holding AG                                206,141    17,636,008  
    Banque Cantonale Vaudoise                           9,461     2,863,640  
    Compagnie Financiere Richemont AG Series A      1,125,900    65,510,372  
#   Credit Suisse Group AG                          1,826,488    84,717,459  
    Credit Suisse Group AG Sponsored ADR              591,859    27,450,420  
    Givaudan SA                                        13,960    11,616,638  
    Holcim, Ltd.                                      448,025    32,213,404  
    Julius Baer Holdings, Ltd. AG                      38,097     2,318,407  
    PSP Swiss Property AG                              98,640     5,974,142  
    St. Galler Kantonalbank                             9,132     3,888,603  
    Sulzer AG                                          15,000     1,843,045  
    Swiss Life Holding AG                             127,247    23,149,359  
    Swiss Re                                          747,678    45,988,521  
    Syngenta AG                                        95,564    25,640,739  
*   UBS AG                                            793,947    17,257,327  
    Zurich Financial SVCS AG                          309,213    80,725,098  
TOTAL COMMON STOCKS                                             460,523,809  
                                                                             
RIGHTS/WARRANTS — (0.0%)                                                     
*   UBS AG Rights 06/12/08 (B2QTJ29)                  754,250     1,109,645  
TOTAL — SWITZERLAND                                             461,633,454  
                                                                             
UNITED KINGDOM — (17.3%)                                                     
COMMON STOCKS — (17.3%)                                                      
#   Alliance & Leicester P.L.C.                       448,296     2,658,511  
    Anglo American P.L.C.                           1,369,125    72,777,001  
    Arriva P.L.C.                                     105,930     1,528,137  
    Associated British Foods P.L.C.                 1,320,465    19,372,076  
    Aviva P.L.C.                                    6,768,276    63,179,038  
    Barclays P.L.C. Sponsored ADR                   2,263,390    58,169,123  
#   British Airways P.L.C.                          2,481,713    11,286,238  
    Cable and Wireless P.L.C.                       3,342,769    10,776,895  
*   Cadbury P.L.C. Sponsored ADR                       56,000     2,582,720  


                                        

                                       12

--------------------------------------------------------------------------------

 

       Carnival P.L.C.                                             685,658        23,506,132  
       Carnival P.L.C. ADR                                         218,000         7,562,420  
       Cookson Group P.L.C.                                        529,282         6,247,809  
   #   DSG International P.L.C.                                  2,744,891         2,466,466  
   *   easyJet P.L.C.                                              708,463         4,228,565  
       Enterprise Inns P.L.C.                                    1,212,242         6,669,296  
       Friends Provident P.L.C.                                  4,365,221         7,831,322  
       GKN P.L.C.                                                2,597,068        11,583,655  
       HBOS P.L.C.                                               8,458,158        48,414,238  
       HSBC Holdings P.L.C. Sponsored ADR                        2,241,143       176,400,366  
       International Power P.L.C.                                2,272,744        16,314,629  
       ITV P.L.C.                                               11,443,244         9,306,940  
       Kingfisher P.L.C.                                         7,751,726        18,724,343  
       Ladbrokes P.L.C.                                          1,091,195         4,484,969  
       Legal and General Group P.L.C.                           14,896,697        27,178,339  
       Meggitt P.L.C.                                            2,425,171        10,139,242  
       Mondi P.L.C.                                              1,134,110         6,733,050  
       Old Mutual P.L.C.                                         7,500,690        13,265,683  
       Pearson P.L.C.                                              901,901        11,139,618  
       Pearson P.L.C. Sponsored ADR                              1,763,809        21,871,232  
       Rexam P.L.C.                                              2,502,227        18,467,395  
   *   Rolls-Royce Group P.L.C.                                  2,198,250        15,865,574  
       Royal Bank of Scotland Group P.L.C.                      26,156,343       111,245,143  
       Royal Dutch Shell P.L.C. ADR                              1,265,345        87,043,083  
       RSA Insurance Group P.L.C.                               13,325,551        36,481,766  
       SABmiller P.L.C.                                          1,209,147        25,972,577  
       Sainsbury (J.) P.L.C.                                     4,948,615        31,299,843  
       Schroders P.L.C.                                            123,678         2,280,637  
       Schroders P.L.C. Non-Voting                                  63,155         1,034,882  
   #   Thomas Cook Group P.L.C.                                  1,606,317         6,689,035  
       Tomkins P.L.C. Sponsored ADR                                330,800         3,618,952  
       Vodafone Group P.L.C.                                    63,241,202       161,615,992  
       Vodafone Group P.L.C. Sponsored ADR                       6,329,818       161,726,850  
       Whitbread P.L.C.                                            647,323        13,281,419  
       William Morrison Supermarkets P.L.C.                      7,113,159        36,517,305  
       WPP Group P.L.C.                                          1,301,269        12,665,833  
       WPP Group P.L.C. Sponsored ADR                               24,445         1,192,672  
       Xstrata P.L.C.                                              661,917        36,904,053  
TOTAL — UNITED KINGDOM                                                         1,440,301,064  
                                                                                              
                                                                 Face                         
                                                                Amount           Value †      
                                                                 (000)                        
TEMPORARY CASH INVESTMENTS — (0.2%)                                                           
       Repurchase Agreement, PNC Capital Markets, Inc.                                       
       1.94%, 09/02/08 (Collateralized by $21,080,000 FNMA                                   
       5.50%, 02/25/36, valued at $16,017,513) to be                                         
       repurchased at $15,782,401                            $      15,779        15,779,000  
                                                                                              
SECURITIES LENDING COLLATERAL — (12.3%)                                                       
 § @   DFA Short Term Investment Fund LP                           897,185       897,184,640  
                                                                                              
   @   Repurchase Agreement, Barclays Capital, Inc. 2.14%,                                   
       09/02/08 (Collateralized by $37,262,000 FHLMC                                         
       3.050%, 04/28/10, valued at $37,509,471) to be                                        
       repurchased at $36,781,766                                   36,773        36,773,022  
                                                                                              
   @   Repurchase Agreement, Deutsche Bank Securities                                        
       2.14%, 09/02/08 (Collateralized by $231,318,655                                       
       FHLMC, rates ranging from 5.000% to 7.000%,                                           
       maturities ranging from 06/01/19 to 06/01/38 &                                        
       FNMA, rates ranging from 4.419%(r) to 7.000%,                                         
       maturities ranging from 06/01/20 to 08/01/38,                                         
       valued at $93,757,573) to be repurchased at                                           
       $91,941,045                                                  91,919        91,919,189  
                                                                                              
TOTAL SECURITIES LENDING COLLATERAL                                            1,025,876,851  
                                                                                              
TOTAL INVESTMENTS - (100.0%)                                                                  
(Cost $8,274,920,170) ##                                                      $8,305,447,434  


                                        

                                       13

--------------------------------------------------------------------------------

 

                       THE JAPANESE SMALL COMPANY SERIES

                            SCHEDULE OF INVESTMENTS

                                August 31, 2008

                                  (Unaudited)

                                        

                                           Shares     Value ††   
                                                                 
COMMON STOCKS — (74.6%)                                          
Consumer Discretionary — (15.5%)                                 
* #   ABILIT Corp.                         110,900   $  154,969  
  #   Aeon Fantasy Co., Ltd.                62,032      601,997  
  #   Ahresty Corp.                         77,200      559,502  
      Aichi Machine Industry Co., Ltd.     292,000      827,884  
      Aigan Co., Ltd.                       63,200      381,182  
      Aisan Industry Co., Ltd.             191,300    1,428,116  
  #   Akebono Brake Industry Co., Ltd.     386,000    2,584,032  
  #   Akindo Sushiro Co., Ltd.              20,500      373,755  
      Alpha Corp.                           31,700      225,492  
      Alpine Electronics, Inc.             231,700    2,333,305  
  #   Amiyaki Tei Co., Ltd.                    245      303,764  
  #   Amuse, Inc.                           25,000      338,644  
  #   Anrakutei Co., Ltd.                   50,000      243,402  
  #   AOI Advertising Promotion, Inc.       39,000      211,501  
      AOKI Holdings, Inc.                  166,900    2,197,358  
      Aoyama Trading Co., Ltd.              97,500    1,764,891  
* #   Asahi Tec Corp.                      854,000      473,779  
      Ashimori Industry Co., Ltd.          193,000      347,192  
      Asti Corp.                            50,000      123,957  
  #   Atom Corp.                           133,200      484,379  
  #   Atsugi Co., Ltd.                     719,000      802,191  
      Autobacs Seven Co., Ltd.              45,300    1,258,855  
  #   Avex Group Holdings, Inc.            155,500    1,599,859  
  #   Belluna Co., Ltd.                    194,060      983,627  
  #   Best Denki Co., Ltd.                 280,500    1,341,675  
  #   Bookoff Corp.                         65,000      419,807  
      Calsonic Kansei Corp.                520,000    1,728,897  
* #   Carchs Holdings Co., Ltd.            710,600      228,796  
      Catena Corp.                          92,000      198,867  
  #   Chiyoda Co., Ltd.                    145,000    2,115,935  
  #   Chofu Seisakusho Co., Ltd.           127,700    2,301,430  
  *   Chori Co., Ltd.                      675,000      734,956  
      Chuo Spring Co., Ltd.                210,000      652,052  
  #   Clarion Co., Ltd.                    933,000    1,333,243  
  #   Cleanup Corp.                        160,000      608,232  
  #   Colowide Co., Ltd.                   205,450    1,051,819  
* #   Columbia Music Entertainment, Inc.   477,000      251,236  
      Corona Corp.                         101,200    1,307,843  
      Cross Plus, Inc.                      22,000      199,624  
  #   Culture Convenience Club Co., Ltd.   463,900    2,886,916  
  #   Cybozu, Inc.                           1,538      420,584  
  #   D&M Holdings, Inc.                   314,000    1,456,661  
      Daido Kogyo Co., Ltd.                145,000      299,100  


                                        

                                       1

--------------------------------------------------------------------------------

                                        

  #   Daidoh, Ltd.                                129,000   1,303,607  
      Daifuku Co., Ltd.                           197,500   1,616,553  
  #   Daikoku Denki Co., Ltd.                      50,700     602,299  
  #   Daikyo, Inc.                                657,236     928,148  
      Daimaruenawin Co., Ltd.                         400       2,282  
      Dainichi Co., Ltd.                           59,200     307,671  
  #   Daisyo Corp.                                 74,200     806,117  
  *   Daito Woolen Spinning & Weaving Co., Ltd.    40,000      29,043  
  #   Daiwa Seiko, Inc.                           444,000     704,237  
  #   Daiwabo Co., Ltd.                           478,000   1,176,828  
      DCM Japan Holdings Co., Ltd.                247,900   1,809,248  
  #   Descente, Ltd.                              270,000   1,497,215  
  *   DIA Kensetsu Co., Ltd.                      484,600      44,427  
  #   Don Quijote Co., Ltd.                        57,900   1,016,271  
  #   Doshisha Co., Ltd.                           66,600     942,945  
  #   DOUTOR NICHIRES Holdings Co., Ltd.          180,086   2,964,016  
      Dynic Corp.                                 127,000     277,464  
  #   Eagle Industry Co., Ltd.                    170,000     821,421  
* #   Econach Co., Ltd.                           177,000      96,996  
  #   Edion Corp.                                 273,800   2,153,932  
      Eikoh, Inc.                                  41,800     145,736  
      Exedy Corp.                                 123,700   2,793,117  
  #   F&A Aqua Holdings, Inc.                      62,238     400,380  
      Fine Sinter Co., Ltd.                        49,000     139,598  
  #   Foster Electric Co., Ltd.                    84,100   1,653,696  
  #   France Bed Holdings Co., Ltd.               826,000   1,202,560  
      Fuji Co., Ltd.                              120,400   1,924,356  
      Fuji Corp., Ltd.                            117,000     235,116  
  #   Fuji Kiko Co., Ltd.                         151,000     260,205  
  #   Fuji Kyuko Co., Ltd.                        378,000   1,462,199  
      Fuji Oozx, Inc.                               6,000      22,462  
  #   Fujibo Holdings, Inc.                       332,000     520,747  
  *   Fujii & Co., Ltd.                            44,000         404  
      Fujikura Rubber, Ltd.                        74,000     284,733  
  #   Fujita Kanko, Inc.                          412,100   3,043,077  
      Fujitsu Business Systems, Ltd.               90,900   1,193,996  
  #   Fujitsu General, Ltd.                       348,000   1,054,367  
      Funai Electric Co., Ltd.                     39,900     859,050  
* #   Furukawa Battery Co., Ltd.                   89,000     684,879  
      G-7 Holdings, Inc.                           29,200     128,107  
  *   Gajoen Kanko Co.                             37,000           —  
  #   Gakken Co., Ltd.                            363,000     972,003  
      Genki Sushi Co., Ltd.                        19,200     218,612  
  #   GEO Co., Ltd.                                 1,289   1,255,041  
  #   Goldcrest Co., Ltd.                          57,410     940,323  
* #   Goldwin, Inc.                               175,000     365,673  
      Gourmet Kineya Co., Ltd.                     68,000     498,080  
      Gro-BeLS Co., Ltd.                          177,000      85,452  
* #   GSI Creos Corp.                             194,000     298,438  
  #   Gulliver International Co., Ltd.             36,120     707,456  
      Gunze, Ltd.                                 641,000   2,712,055  
  #   Hakuyosha Co., Ltd.                          88,000     230,115  
  #   Happinet Corp.                               37,000     540,333  
  #   Haruyama Trading Co., Ltd.                   49,900     222,419  
      Haseko Corp.                                251,500     255,269  


                                        

                                       2

--------------------------------------------------------------------------------

                                        

      Heiwa Corp.                                            48,100     428,604  
      Himaraya Co., Ltd.                                     38,300     187,222  
  #   HIS Co., Ltd.                                         118,200   1,456,616  
      Horipro, Inc.                                          48,200     469,466  
      I Metal Technology Co., Ltd.                          153,000     315,511  
      Ichikawa Co., Ltd.                                     63,000     198,556  
  #   Ichikoh Industries, Ltd.                              296,000     669,852  
* #   Image Holdings Co., Ltd.                               41,000     144,494  
      Imasen Electric Industrial Co., Ltd.                   55,800     761,721  
      Imperial Hotel, Ltd.                                    7,900     192,923  
  *   Impress Holdings, Inc.                                  1,124     184,622  
      Inaba Seisakusho Co., Ltd.                             62,400     650,449  
      Ishizuka Glass Co., Ltd.                              109,000     174,641  
  *   Izuhakone Railway Co., Ltd.                               300      14,886  
* #   Izutsuya Co., Ltd.                                    350,000     248,477  
  #   Janome Sewing Machine Co., Ltd.                       707,000     443,359  
  #   Japan Vilene Co., Ltd.                                229,000     909,913  
  #   Jeans Mate Corp.                                       38,208     206,477  
      Jidosha Buhin Kogyo Co., Ltd.                          82,000     247,217  
      Joban Kosan Co., Ltd.                                 226,000     351,141  
  #   Joint Corp.                                           106,500     186,403  
  #   Joshin Denki Co., Ltd.                                201,000   1,621,157  
  #   Juki Corp.                                            455,000     837,186  
      Juntendo Co., Ltd.                                     35,000      42,011  
  #   Jyomo Co., Ltd.                                       186,000     121,891  
      Kabuki-Za Co., Ltd.                                    39,000   1,684,190  
  #   Kadokawa Holdings, Inc.                                94,400   2,222,820  
      Kanto Auto Works, Ltd.                                243,500   3,135,497  
      Kasai Kogyo Co., Ltd.                                 119,000     335,662  
      Kato Sangyo Co., Ltd.                                 130,700   1,749,400  
      Kawai Musical Instruments Manufacturing Co., Ltd.     263,000     311,299  
* #   Kawashima Selkon Textiles Co., Ltd.                   335,000     274,501  
      Kayaba Industry Co., Ltd.                             745,000   2,721,193  
      Keihin Corp.                                           36,200     599,899  
  #   Keiyo Co., Ltd.                                       200,400     999,280  
  #   Kentucky Fried Chicken Japan, Ltd.                     80,000   1,270,447  
  #   Kenwood Corp.                                       1,294,000   1,126,694  
* #   Kinki Nippon Tourist Co., Ltd.                        304,000     565,537  
  #   Kinugawa Rubber Industrial Co., Ltd.                  203,000     487,657  
  #   Kisoji Co., Ltd.                                       89,300   1,785,553  
      Koekisha Co., Ltd.                                     13,600     249,651  
  #   Kohnan Shoji Co., Ltd.                                 94,100   1,261,926  
  #   Kojima Co., Ltd.                                      130,100     616,626  
      Komatsu Seiren Co., Ltd.                              148,000     573,289  
      Komeri Co., Ltd.                                       43,700   1,275,936  
  #   Konaka Co., Ltd.                                      107,760     436,166  
  *   Kosugi Sangyo Co., Ltd.                               416,000      45,631  
      Ku Holdings Co., Ltd.                                  68,200     233,199  
      Kura Corp.                                                221     405,416  
      Kurabo Industries, Ltd.                               879,000   1,489,511  
      Kuraudia Co., Ltd.                                      4,800      49,673  
      Kuroganeya Co., Ltd.                                   14,000      47,573  
  #   K’s Holdings Corp.                                    134,372   2,439,798  
  #   Kyoritsu Maintenance Co., Ltd.                         50,960     878,133  
      Kyoto Kimono Yuzen Co., Ltd.                              572     431,534  


                                        

                                       3

--------------------------------------------------------------------------------

                                        

      Kyowa Leather Cloth Co., Ltd.         75,400     360,728  
* #   Laox Co., Ltd.                       206,000      43,411  
  #   Look, Inc.                           102,000     123,542  
  #   Maezawa Kyuso Industries Co., Ltd.    51,700     916,882  
  *   Magara Construction Co., Ltd.        135,000       1,241  
* #   Mamiya-Op Co., Ltd.                  285,000     130,189  
      Marche Corp.                          23,000     152,542  
  #   Mars Engineering Corp.                77,900   1,617,294  
  #   Maruei Department Store Co., Ltd.    145,000     418,689  
  *   Maruishi Holdings Co., Ltd.          214,000       1,966  
* #   Maruzen Co., Ltd. (6569583)          375,000     334,543  
      Maruzen Co., Ltd. (6573498)           46,000     187,687  
  #   Matsuya Co., Ltd.                    184,600   3,301,118  
  #   Matsuya Foods Co., Ltd.               66,600     792,771  
      Meiwa Industry Co., Ltd.              38,000      73,204  
  #   Mikuni Corp.                         114,000     236,257  
* #   Misawa Homes Co., Inc.               128,100     578,463  
  #   Misawa Resort Co., Ltd.              194,000     500,839  
      Mitsuba Corp.                        155,690     970,918  
      Mitsui Home Co., Ltd.                228,000   1,148,315  
      Miyuki Keori Co., Ltd.               106,000     250,868  
  #   Mizuno Corp.                         462,000   2,313,375  
  #   MOS Food Services, Inc.              113,000   1,423,480  
      MR Max Corp.                         127,200     418,804  
      Mutow Co., Ltd.                       79,400     412,127  
* #   Naigai Co., Ltd.                     236,000      96,937  
      Nexyz Corp.                            3,700     128,774  
  #   Nice Holdings, Inc.                  409,000     696,486  
  #   Nichimo Corp.                        667,000      96,887  
      Nidec Copal Corp.                    202,800   2,531,347  
  #   Nidec Tosok Corp.                     62,600     487,949  
  #   Nihon Eslead Corp.                    53,048     328,103  
      Nihon Tokushu Toryo Co., Ltd.         56,000     213,955  
      Nikko Travel Co., Ltd.                12,200      34,158  
      Nippon Felt Co., Ltd.                 69,000     336,507  
  #   Nippon Piston Ring Co., Ltd.         301,000     462,714  
      Nippon Seiki Co., Ltd.               151,400   1,892,621  
  #   Nishimatsuya Chain Co., Ltd.         228,900   2,032,686  
      Nissan Shatai Co., Ltd.              524,300   3,903,640  
  #   Nissen Holdings Co., Ltd.            213,100     847,087  
      Nissin Kogyo Co., Ltd.                56,100   1,001,919  
      Nittan Valve Co., Ltd.                85,000     363,196  
      Nitto Kako Co., Ltd.                  98,000      72,766  
      Noritsu Koki Co., Ltd.               121,100   1,757,987  
  #   Omikenshi Co., Ltd.                  176,000     109,502  
  *   Orient Watch Co., Ltd.                12,000       4,521  
      Pacific Industrial Co., Ltd.         187,000     696,052  
      PanaHome Corp.                       533,200   3,112,547  
  #   Parco Co., Ltd.                      278,300   3,177,859  
  #   Paris Miki, Inc.                     191,900   1,615,831  
* #   PIA Corp.                             29,500     334,382  
      Piolax, Inc.                          45,600     831,869  
      Press Kogyo Co., Ltd.                385,000   1,486,146  
  *   Renown, Inc.                         179,800     503,580  
  #   Resorttrust, Inc.                    174,508   1,878,889  


                                        

                                       4

--------------------------------------------------------------------------------

                                        

  #   Rhythm Watch Co., Ltd.                 454,000     541,345  
  #   Right On Co., Ltd.                     103,225   1,141,213  
  #   Riken Corp.                            368,000   1,250,563  
  #   Ringer Hut Co., Ltd.                    76,800     963,141  
      Roland Corp.                            90,700   1,475,526  
  #   Round One Corp.                          1,227   1,006,128  
  #   Royal Co., Ltd.                        142,000   1,281,407  
      Sagami Chain Co., Ltd.                  78,000     639,666  
  *   Sagami Co., Ltd.                        80,000      68,439  
      Sagami Rubber Industries Co., Ltd.      15,000      37,167  
  #   Saint Marc Holdings Co., Ltd.           38,300   1,357,574  
  #   Saizeriya Co., Ltd.                    176,900   1,764,800  
  #   Sakai Ovex Co., Ltd.                   205,000     252,127  
  #   Sanden Corp.                           499,000   1,930,701  
  #   Sanei-International Co., Ltd.           61,800     804,148  
  #   Sankyo Seiko Co., Ltd.                 209,000     445,444  
      Sanoh Industrial Co., Ltd.             118,000     586,223  
  #   Sanrio Co., Ltd.                       291,900   3,320,796  
  *   Sansui Electric Co., Ltd.            4,135,000     303,073  
      Sanyo Housing Nagoya Co., Ltd.             363     290,045  
  #   Sanyo Shokai, Ltd.                     474,000   2,258,834  
  #   Seiko Holdings Corp.                   401,407   1,497,890  
      Seiren Co., Ltd.                       221,000   1,166,283  
  #   Senshukai Co., Ltd.                    164,000     976,408  
* #   Seven Seas Holdings Co., Ltd.          194,000      97,225  
  #   Shikibo, Ltd.                          510,000     582,233  
  #   Shimachu Co., Ltd.                      44,900   1,079,661  
      Shinyei Kaisha                          96,000     166,547  
  #   Shiroki Co., Ltd.                      310,000     867,783  
  #   Shobunsha Publications, Inc.            56,900     306,474  
  #   Shochiku Co., Ltd.                     438,400   2,428,655  
      Showa Corp.                            254,100   1,807,362  
* #   Silver Seiko, Ltd.                   1,091,000     198,185  
      SKY Perfect JSAT Holdings, Inc.          4,196   1,581,743  
  #   SNT Corp.                               96,300     487,183  
  #   Sofmap Co., Ltd.                        43,100      80,750  
      Soft99 Corp.                            73,400     365,686  
      Sotoh Co., Ltd.                         51,000     512,995  
  #   SPK Corp.                               16,800     176,751  
  #   Suminoe Textile Co., Ltd.              267,000     438,355  
      Sumitomo Forestry Co., Ltd.            452,966   3,235,477  
* #   Suzutan Co., Ltd.                       26,200      61,358  
* #   SxL Corp.                              493,000     291,929  
      Tachikawa Corp.                         50,800     207,962  
      Tachi-S Co., Ltd.                      122,640   1,414,329  
  #   Takamatsu Corp.                        135,500   1,892,439  
  #   Taka-Q Co., Ltd.                        73,500     107,464  
* #   TAKE AND GIVE. NEEDS Co., Ltd.           2,157     115,801  
  #   Tasaki Shinju Co., Ltd.                116,000     197,187  
      Taya Co., Ltd.                           5,000      35,417  
      TBK Co., Ltd.                           90,000     293,868  
      TDF Corp.                               27,000      61,040  
  #   Tecmo, Ltd.                             79,800     584,101  
  #   Teikoku Piston Ring Co., Ltd.          111,000     715,337  
      Teikoku Sen-I Co., Ltd.                 80,000     291,223  


                                        

                                       5

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      Telepark Corp.                                 146       177,333  
* #   Ten Allied Co., Ltd.                        50,000       154,814  
* #   The Daiei, Inc.                            230,100     1,818,970  
  #   The Japan General Estate Co., Ltd.         121,900       265,851  
      The Japan Wool Textile Co., Ltd.           316,000     2,606,495  
      Tigers Polymer Corp.                        59,000       226,649  
      Toabo Corp.                                219,000       177,403  
      Toei Co., Ltd.                             438,000     2,396,530  
* #   Tohoku Misawa Homes Co., Ltd.               37,500        91,286  
  #   Tokai Kanko Co., Ltd.                      505,999       194,924  
      Tokai Rubber Industries, Ltd.              109,200     1,217,948  
  #   Tokai Senko K.K.                           102,000        97,570  
  #   Tokyo Dome Corp.                           655,200     2,995,127  
      Tokyo Kaikan Co., Ltd.                      12,000        54,813  
      Tokyo Soir Co., Ltd.                        49,000       119,356  
      Tokyo Style Co., Ltd.                      345,700     2,876,568  
  #   Tokyotokeiba Co., Ltd.                     971,000     1,571,001  
      Tokyu Recreation Co., Ltd.                  77,000       406,638  
  #   Tomy Co., Ltd.                             321,793     2,118,218  
* #   Tonichi Carlife Group, Inc.                189,000       129,648  
      Topre Corp.                                185,000     1,529,173  
      Totenko Co., Ltd.                           57,000        97,888  
  #   Touei Housing Corp.                         92,440       156,035  
  #   Towa Real Estate Development Co., Ltd.     610,000       457,189  
  #   Toyo Radiator Co., Ltd.                    260,000     1,279,858  
  #   Toyo Tire & Rubber Co., Ltd.               730,000     1,885,244  
  #   Toyobo Co., Ltd.                         1,029,000     1,713,300  
      Tsukamoto Co., Ltd.                         67,000        54,358  
  #   Tsutsumi Jewelry Co., Ltd.                  69,300     1,348,629  
  #   Unitika, Ltd.                            1,673,000     1,522,208  
      U-Shin, Ltd.                                97,000       804,303  
* #   Victor Co. of Japan, Ltd.                  626,000     1,052,532  
      Watabe Wedding Corp.                        29,500       283,831  
  #   Watami Food Service Co., Ltd.              144,800     2,381,375  
      Wondertable, Ltd.                           97,000       101,388  
      Xebio Co., Ltd.                             54,200       998,575  
  #   Yamatane Corp.                             338,000       493,651  
      Yamato International, Inc.                  43,000       206,345  
      Yellow Hat, Ltd.                            75,600       288,979  
      Yokohama Reito Co., Ltd.                   179,000     1,302,091  
  #   Yomiuri Land Co., Ltd.                     276,000       841,740  
  #   Yonex Co., Ltd.                             41,000       254,571  
  #   Yorozu Corp.                                75,400       949,211  
      Yoshimoto Kogyo Co., Ltd.                  120,000     1,193,601  
  #   Yoshinoya Holdings Co., Ltd.                 2,227     2,369,494  
  #   Zenrin Co., Ltd.                           130,900     1,917,906  
  #   Zensho Co., Ltd.                           372,900     1,381,209  
Total Consumer Discretionary                               267,670,003  
                                                                        
Consumer Staples — (8.3%)                                               
  #   Aderans Holdings Co., Ltd.                 146,350     2,323,201  
  *   Aeon Hokkaido Corp.                         58,800       162,789  
      Ahjikan Co., Ltd.                           10,500        70,522  
  #   Ariake Japan Co., Ltd.                     116,800     2,225,745  
      Cawachi, Ltd.                               83,400     1,761,955  


                                        

                                       6

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      CFS Corp.                                 125,000     773,672  
  #   Chubu Shiryo Co., Ltd.                     91,000     585,986  
      Chuo Gyorui Co., Ltd.                      93,000     201,354  
  #   Circle K Sunkus Co., Ltd.                  64,100   1,050,025  
      Coca-Cola Central Japan Co., Ltd.             311   2,112,433  
  *   cocokara fine HOLDINGS, Inc.               36,960     553,452  
      CVS Bay Area, Inc.                         55,000      82,059  
  #   DyDo Drinco, Inc.                          57,200   1,645,601  
      Echo Trading Co., Ltd.                     11,000      91,715  
      Ensuiko Sugar Refining Co., Ltd.          103,000     170,232  
  #   Ezaki Glico Co., Ltd.                      22,074     222,799  
  #   Fancl Corp.                               244,600   2,891,340  
* #   First Baking Co., Ltd.                    183,000     209,345  
      Fuji Oil Co., Ltd.                        304,700   3,265,526  
      Fujicco Co., Ltd.                         121,600   1,425,539  
* #   Fujiya Co., Ltd.                          564,000     688,276  
      Hagoromo Foods Corp.                       41,000     389,088  
      Harashin Narus Holdings Co., Ltd.          63,100     644,233  
* #   Hayashikane Sangyo Co., Ltd.              336,000     293,262  
      Heiwado Co., Ltd.                         204,100   3,250,511  
  *   Hohsui Corp.                              120,000     141,312  
      Hokkaido Coca-Cola Bottling Co., Ltd.      89,000     488,390  
      Hokuto Corp.                              113,300   2,558,242  
  #   Inageya Co., Ltd.                         179,000   1,489,143  
  #   ITO EN, Ltd.                              165,300   2,529,625  
      Itochu-Shokuhin Co., Ltd.                  44,300   1,462,092  
      Itoham Foods, Inc.                        711,800   3,712,944  
  #   Izumiya Co., Ltd.                         300,000   1,699,843  
  #   J-Oil Mills, Inc.                         563,000   2,683,798  
      Kameda Seika Co., Ltd.                     71,800     972,372  
  #   Kasumi Co., Ltd.                          216,000   1,310,853  
  #   Key Coffee, Inc.                           78,700   1,122,393  
      Kikkoman Corp.                             66,300     820,363  
      Kirindo Co., Ltd.                          32,800     178,689  
      Kose Corp.                                 81,300   2,210,449  
  #   Kyodo Shiryo Co., Ltd.                    362,000     420,920  
      Kyokuyo Co., Ltd.                         380,000     692,365  
  #   Life Corp.                                188,900   2,883,031  
  #   Lion Corp.                                306,000   1,485,028  
  #   Mandom Corp.                               84,400   2,261,310  
      Marudai Food Co., Ltd.                    454,000   1,125,074  
  #   Maruha Nichiro Holdings, Inc.           1,696,069   3,113,355  
  *   Maruya Co., Ltd.                           14,000      22,046  
  #   Matsumotokiyoshi Holdings Co., Ltd.        37,400     789,318  
  *   Maxvalu Tohok Co., Ltd.                    18,200     119,832  
      Maxvalu Tokai Co., Ltd.                    61,000     851,109  
  #   Meito Sangyo Co., Ltd.                     79,900   1,671,240  
      Mercian Corp.                             424,000     927,050  
  #   Mikuni Coca-Cola Bottling Co., Ltd.       189,000   1,771,583  
      Milbon Co., Ltd.                           43,940     944,261  
  #   Ministop Co., Ltd.                        100,000   1,932,376  
  #   Mitsui Sugar Co., Ltd.                    477,850   1,831,083  
      Miyoshi Oil & Fat Co., Ltd.               268,000     397,275  
  #   Morinaga & Co., Ltd.                      933,000   1,777,026  
      Morinaga Milk Industry Co., Ltd.          875,000   2,571,811  


                                        

                                       7

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      Morishita Jinton Co., Ltd.                     47,800     110,062  
      Morozoff, Ltd.                                110,000     330,656  
  #   Nagatanien Co., Ltd.                          121,000     962,039  
  #   Nakamuraya Co., Ltd.                          208,000     949,602  
  #   Nichimo Co., Ltd.                             112,000     177,454  
      Nichirei Corp.                                514,000   2,931,989  
  #   Nihon Chouzai Co., Ltd.                        23,000     379,753  
      Niitaka Co., Ltd.                               7,260      47,596  
      Nippon Beet Sugar Manufacturing Co., Ltd.     527,000   1,254,998  
      Nippon Flour Mills Co., Ltd.                  620,000   2,963,876  
      Nippon Formula Feed Manufacturing Co., Ltd.   274,000     322,824  
      Nippon Suisan Kaisha, Ltd.                    528,700   1,834,307  
      Nissin Sugar Manufacturing Co., Ltd.          152,000     335,986  
      Nitto Flour Milling Co., Ltd.                  64,000     190,369  
  #   Oenon Holdings, Inc.                          253,000     659,458  
      Oie Sangyo Co., Ltd.                           20,900     147,516  
      Okuwa Co., Ltd.                               156,000   2,504,397  
      Olympic Corp.                                  66,700     416,249  
      Oriental Yeast Co., Ltd.                      103,000     559,517  
      Pietro Co., Ltd.                               10,300      84,071  
  #   Pigeon Corp.                                   69,600   1,619,622  
      Poplar Co., Ltd.                               25,760     146,401  
  *   Prima Meat Packers, Ltd.                      724,000     784,508  
      Q.P. Corp.                                    109,900   1,040,318  
  #   Riken Vitamin Co., Ltd.                        81,400   2,370,288  
      Rock Field Co., Ltd.                           47,800     670,860  
  #   Ryoshoku, Ltd.                                153,600   2,917,422  
  #   S Foods, Inc.                                 106,500     721,536  
  #   Sakata Seed Corp.                             175,600   2,611,263  
      Shikoku Coca-Cola Bottling Co., Ltd.           81,900     863,661  
      Shoei Foods Corp.                              44,000     185,803  
      Showa Sangyo Co., Ltd.                        620,000   1,745,414  
  #   Snow Brand Milk Products Co., Ltd.            924,500   2,809,706  
      Sogo Medical Co., Ltd.                         23,500     592,834  
      Sonton Food Industry Co., Ltd.                 43,000     279,329  
  #   Sotetsu Rosen Co., Ltd.                        70,000     288,753  
  #   Starzen Corp.                                 286,000     640,891  
  #   T.Hasegawa Co., Ltd.                          142,700   2,111,929  
  #   Takara Holdings, Inc.                         365,000   2,510,534  
* #   The Maruetsu, Inc.                            428,000   3,784,713  
  #   The Nisshin Oillio Group, Ltd.                601,000   3,330,754  
  #   Three F Co., Ltd.                              17,700     114,605  
  #   Tobu Store Co., Ltd.                          220,000     798,575  
      Toho Co., Ltd.                                162,000     482,601  
  #   Tohto Suisan Co., Ltd.                        120,000     192,285  
      Torigoe Co., Ltd.                              86,800     662,142  
* #   Toyo Sugar Refining Co., Ltd.                 157,000     187,690  
      Tsukiji Uoichiba Co., Ltd.                     57,000      83,452  
      Tsuruha Holdings, Inc.                         46,400   1,535,893  
      Unicafe, Inc.                                  14,260     166,383  
      Unicharm Petcare Corp.                        100,000   3,189,244  
      Unimat Offisco Corp.                           87,400     785,424  
      UNY Co., Ltd.                                  39,788     438,622  
  #   Valor Co., Ltd.                               178,400   1,580,150  
      Warabeya Nichiyo Co., Ltd.                     52,760     740,241  


                                        

                                       8

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      Yaizu Suisankagaku Industry Co., Ltd.        42,100       403,813  
      Yaoko Co., Ltd.                              70,900     2,455,358  
  #   Yomeishu Seizo Co., Ltd.                    102,000       966,238  
      Yonekyu Corp.                               100,500     1,139,815  
      Yuasa Funashoku Co., Ltd.                   112,000       236,020  
      Yukiguni Maitake Co., Ltd.                   89,180       302,520  
      Yutaka Foods Corp.                            6,000        84,773  
Total Consumer Staples                                      143,793,363  
                                                                         
Energy — (1.1%)                                                          
  #   AOC Holdings, Inc.                          143,400     1,489,533  
  #   BP Castrol K.K.                              69,800       185,566  
* #   Fuji Kosan Co., Ltd.                        264,000       245,110  
      Itochu Enex Co., Ltd.                       330,300     2,040,669  
      Japan Oil Transportation Co., Ltd.           79,000       146,715  
  #   Kanto Natural Gas Development Co., Ltd.     202,000     1,326,099  
  #   Kyoei Tanker Co., Ltd.                      115,000       334,779  
      Mitsuuroko Co., Ltd.                        234,200     1,496,689  
  #   Modec, Inc.                                 127,400     4,036,667  
  #   Nippon Gas Co., Ltd.                        153,000     1,485,836  
      Nippon Seiro Co., Ltd.                       64,000       116,273  
      Sala Corp.                                  133,000       607,730  
      San-Ai Oil Co., Ltd.                        266,000     1,042,666  
      Shinko Plantech Co., Ltd.                   159,000     1,614,889  
      Sinanen Co., Ltd.                           266,000     1,053,064  
  #   Toa Oil Co., Ltd.                           369,000       444,721  
  #   Toyo Kanetsu K.K.                           478,000       881,687  
Total Energy                                                 18,548,693  
                                                                         
Financials — (7.0%)                                                      
  #   Arealink Co., Ltd.                            3,000       138,297  
  #   Azel Corp.                                  214,000       101,387  
      Bank of the Ryukyus, Ltd.                   125,080       999,301  
  #   Central Finance Co., Ltd.                   341,000       715,627  
      Century Leasing System, Inc.                186,200     1,920,712  
  #   Chuo Corp.                                   81,000        76,469  
  #   Creed Corp.                                     597       559,762  
  #   Daiko Clearing Services Corp.                51,000       300,900  
      Fukushima Bank, Ltd.                        858,000       649,592  
      Fuyo General Lease Co., Ltd.                108,000     3,215,918  
      Higashi-Nippon Bank, Ltd.                   643,000     2,070,852  
  #   Ichiyoshi Securities Co., Ltd.              165,000     1,612,119  
  *   Kakuei (L.) Corp.                           100,000           919  
  #   Kenedix, Inc.                                 2,090     1,190,421  
      Kirayaka Holdings, Inc.                      98,000       135,828  
      Kiyo Holdings, Inc.                       2,193,900     3,404,885  
  #   Kobayashi Yoko Co., Ltd.                     30,400        78,758  
  #   Kosei Securities Co., Ltd.                  295,000       311,073  
  #   Marusan Securities Co., Ltd.                263,000     1,501,726  
  #   Meiwa Estate Co., Ltd.                       89,300       345,406  
  #   Mito Securities Co., Ltd.                   278,000       883,921  
  #   Mizuho Investors Securities Co., Ltd.       149,000       155,270  
  #   Monex Group, Inc.                             1,041       515,447  
      Musashino Bank, Ltd.                         70,400     2,053,691  
  *   New Real Property K.K.                       43,900             —  


                                        

                                       9

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  *   Nichiboshin, Ltd.                                1,190       1,093  
* #   NIS Group Co., Ltd.                            346,925     423,995  
  #   Nisshin Fudosan Co., Ltd.                       81,100     266,939  
  #   Okasan Holdings, Inc.                          562,000   2,785,514  
* #   OMC Card, Inc.                                 218,300     562,792  
  #   Ricoh Leasing Co., Ltd.                        107,900   2,160,205  
  #   RISA Partners, Inc.                                701     618,471  
      Sankei Building Co., Ltd.                      235,000   1,124,839  
      Shikoku Bank, Ltd.                             762,000   2,674,564  
      Shimizu Bank, Ltd.                              32,900   1,256,404  
  *   Shinki Co., Ltd.                               457,000     435,275  
  #   Sumitomo Real Estate Sales Co., Ltd.            34,110   1,002,451  
      Takagi Securities Co., Ltd.                    208,000     399,303  
      The Aichi Bank, Ltd.                            35,000   2,409,875  
      The Akita Bank, Ltd.                           684,400   2,635,491  
      The Aomori Bank, Ltd.                          627,000   2,404,310  
      The Awa Bank, Ltd.                             271,000   1,433,269  
  #   The Bank of Ikeda, Ltd.                         70,300   2,422,082  
  #   The Bank of Iwate, Ltd.                         65,000   3,675,841  
      The Bank of Nagoya, Ltd.                       214,297   1,166,548  
      The Bank of Okinawa, Ltd.                       76,500   2,685,354  
      The Bank of Saga, Ltd.                         599,000   1,724,491  
* #   The Chiba Kogyo Bank, Ltd.                     174,200   2,094,356  
      The Chukyo Bank, Ltd.                          751,000   2,074,641  
      The Daisan Bank, Ltd.                          637,000   2,137,644  
      The Daishi Bank, Ltd.                          137,000     545,713  
      The Daito Bank, Ltd.                           511,000     409,810  
      The Ehime Bank, Ltd.                           609,000   1,777,567  
      The Eighteenth Bank, Ltd.                      630,000   1,667,284  
      The Fuji Fire & Marine Insurance Co., Ltd.     540,000   1,468,785  
  #   The Fukui Bank, Ltd.                           864,000   2,709,961  
      The Higo Bank, Ltd.                             52,000     300,322  
      The Hokkoku Bank, Ltd.                         819,000   3,004,037  
  #   The Hokuetsu Bank, Ltd.                        898,000   1,930,215  
      The Hyakugo Bank, Ltd.                         312,182   1,759,308  
      The Kagawa Bank, Ltd.                          276,350   1,432,918  
      The Kagoshima Bank, Ltd.                       260,500   1,724,200  
  #   The Kanto Tsukuba Bank, Ltd.                   193,900     843,910  
      The Kita-Nippon Bank, Ltd.                      30,506     947,584  
      The Michinoku Bank, Ltd.                       538,000   1,300,118  
  #   The Minato Bank, Ltd.                        1,470,000   2,188,012  
      The Miyazaki Bank, Ltd.                        507,000   1,298,773  
      The Nagano Bank, Ltd.                          322,000     629,080  
      The Nanto Bank, Ltd.                           284,000   1,532,048  
      The Oita Bank, Ltd.                            504,900   2,656,077  
      The San-in Godo Bank, Ltd.                     198,000   1,531,590  
  #   TOC Co., Ltd.                                  433,550   1,676,214  
      Tochigi Bank, Ltd.                             396,000   2,169,399  
      Toho Bank, Ltd.                                780,200   3,119,250  
      Toho Real Estate Co., Ltd.                     195,000     979,254  
      Tohoku Bank, Ltd.                              400,000     624,547  
      Tokai Tokyo Securities Co., Ltd.               680,000   2,410,544  
      Tokushima Bank, Ltd.                           274,200   1,145,514  
      Tokyo Rakutenchi Co., Ltd.                     227,000     788,967  
  #   Tokyo Theatres Co., Inc.                       307,000     563,861  


                                        

                                       10

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      Tokyo Tomin Bank, Ltd.                  113,100     1,820,396  
      Tokyu Community Corp.                    49,400       927,958  
  #   Tokyu Livable, Inc.                     132,300       847,834  
      Tomato Bank, Ltd.                       407,000       791,261  
  #   Tottori Bank, Ltd.                      336,000       869,900  
* #   Towa Bank, Ltd.                         899,000       862,157  
      Toyo Securities Co., Ltd.               315,000       979,738  
      Yamagata Bank, Ltd.                     600,500     3,172,662  
      Yamanashi Chuo Bank, Ltd.               248,000     1,312,157  
      Yuraku Real Estate Co., Ltd.            212,000       484,951  
Total Financials                                        120,717,904  
                                                                     
Health Care — (4.0%)                                                 
      Aloka Co., Ltd.                         104,000     1,303,558  
      As One Corp.                             71,368     1,522,935  
      ASKA Pharmaceutical Co., Ltd.           103,000       952,264  
      Create Medic Co., Ltd.                   28,000       227,800  
      Eiken Chemical Co., Ltd.                 81,000       634,443  
      FALCO biosystems, Ltd.                   35,200       255,596  
  #   Fuso Pharmaceutical Industries, Ltd.    330,000       960,004  
  #   Green Hospital Supply, Inc.                 940       494,654  
      Hitachi Medical Corp.                   138,000     1,078,634  
      Hogy Medical Co., Ltd.                   56,000     2,689,204  
  #   Iwaki & Co., Ltd.                        55,000        95,374  
  #   Japan Medical Dynamic Marketing, Inc.    44,900       118,391  
  #   Jeol, Ltd.                              275,000       989,228  
      JMS Co., Ltd.                           129,000       372,313  
      Kaken Pharmaceutical Co., Ltd.          397,000     3,555,971  
      Kawamoto Corp.                            4,000        15,505  
      Kawanishi Holdings, Ltd.                  7,400        60,242  
      Kawasumi Laboratories, Inc.              45,000       243,602  
  #   Kissei Pharmaceutical Co., Ltd.         191,500     4,165,944  
      Kobayashi Pharmaceutical Co., Ltd.       76,100     2,578,930  
      Kyorin Co., Ltd.                        203,000     2,727,402  
      Miraca Holdings, Inc.                   152,400     3,399,050  
      Mochida Pharmaceutical Co., Ltd.        419,900     5,102,324  
  #   Nichii Gakkan Co.                       124,500     1,591,143  
      Nihon Kohden Corp.                      155,300     3,386,122  
      Nikkiso Co., Ltd.                       243,000     1,492,477  
  #   Nippon Chemiphar Co., Ltd.              134,000       598,043  
      Nippon Shinyaku Co., Ltd.               243,000     3,027,565  
  #   Nipro Corp.                             206,100     3,761,506  
      Nissui Pharmaceutical Co., Ltd.          67,800       456,569  
  #   Paramount Bed Co., Ltd.                 109,400     1,539,758  
      Rion Co., Ltd.                            5,000        28,189  
      Rohto Pharmaceutical Co., Ltd.          389,600     4,650,767  
      Seikagaku Corp.                         203,900     2,124,318  
  #   SSP Co., Ltd.                           436,000     2,176,143  
      Sundrug Co., Ltd.                        96,500     2,000,667  
  #   Topcon Corp.                            125,000       830,752  
      Torii Pharmaceutical Co., Ltd.           98,900     1,540,753  
  #   Towa Pharmaceutical Co., Ltd.            57,800     2,205,607  
      Tsumura & Co.                            48,600     1,354,700  
      Vital-Net, Inc.                         146,300       979,696  


                                        

                                       11

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  #   Wakamoto Pharmaceutical Co., Ltd.            102,000      332,543  
  #   Zeria Pharmaceutical Co., Ltd.               163,000    1,635,559  
Total Health Care                                            69,256,245  
                                                                         
Industrials — (20.7%)                                                    
  #   A&A Material Corp.                           235,000      215,097  
  #   Advan Co., Ltd.                              102,100      576,832  
* #   ADVANEX, Inc.                                121,000      192,242  
      Aeon Delight Co., Ltd.                       142,800    3,004,965  
      Aica Kogyo Co., Ltd.                         243,000    2,145,527  
      Aichi Corp.                                  267,800    1,255,642  
      Aida Engineering, Ltd.                       273,000    1,225,798  
      Airport Facilities Co., Ltd.                 190,970    1,117,026  
      Airtech Japan, Ltd.                           26,700      134,853  
      Alps Logistics Co., Ltd.                      53,900      596,186  
  #   Altech Co., Ltd.                              23,000       54,131  
      Altech Corp.                                  38,150      361,864  
  #   Amano Corp.                                  276,400    2,379,955  
      Ando Corp.                                   264,000      384,613  
  #   Anest Iwata Corp.                            152,000      525,604  
* #   AOMI Construction Co., Ltd.                  211,000       75,459  
  #   ART Corp.                                     38,000      405,372  
      Asahi Diamond Industrial Co., Ltd.           251,000    1,695,642  
      Asahi Kogyosha Co., Ltd.                     101,000      359,730  
      Asahi Pretec Corp.                           123,650    3,138,880  
  *   Asanuma Corp.                                234,000      174,551  
      Asia Air Survey Co., Ltd.                     32,000      120,432  
      Asunaro Aoki Construction Co., Ltd.          171,000      797,813  
      Ataka Construction & Engineering Co., Ltd.    60,000      134,974  
  #   Bando Chemical Industries, Ltd.              349,000    1,045,663  
* #   Banners Co., Ltd.                             86,000        3,963  
      Biken Techno Corp.                            14,100       57,430  
      Bunka Shutter Co., Ltd.                      245,000      903,345  
      Central Glass Co., Ltd.                      617,000    2,404,852  
  #   Central Security Patrols Co., Ltd.            45,800      403,778  
      Chudenko Corp.                               214,900    3,094,354  
  #   Chugai Ro Co., Ltd.                          335,000    1,600,958  
  #   Chuo Denki Kogyo Co., Ltd.                    92,000    1,036,929  
      CKD Corp.                                    236,000    1,153,805  
      Commuture Corp.                              157,202      927,798  
  #   Comsys Holdings Corp.                        145,000    1,284,186  
  #   Cosel Co., Ltd.                              147,100    1,323,265  
      CTI Engineering Co., Ltd.                     45,100      273,027  
      Dai-Dan Co., Ltd.                            160,000      810,230  
  #   Daido Metal Co., Ltd.                        147,000      601,942  
  #   Daihen Corp.                                 471,000    1,824,233  
      Daiho Corp.                                  202,000      141,556  
  #   Daiichi Jitsugyo Co., Ltd.                   198,000      791,041  
  #   Daimei Telecom Engineering Corp.             143,000    1,112,698  
  #   Daiseki Co., Ltd.                            151,263    4,895,336  
  *   Daisue Construction Co., Ltd.                316,500      106,128  
      Daiwa Industries, Ltd.                       173,000      604,536  
      Danto Holdings Corp.                          92,000      107,510  
      Denyo Co., Ltd.                               93,000      747,703  
      DMW Corp.                                      4,800       92,558  


                                        

                                       12

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* #   Dream Incubator, Inc.                                 168     127,561  
  #   Ebara Corp.                                       847,000   1,981,513  
  #   Enshu, Ltd.                                       215,000     277,402  
  #   Freesia Macross Corp.                           1,355,000     209,764  
  #   Fudo Tetra Corp.                                  619,800     506,290  
  *   Fujisash Co., Ltd.                                106,300      52,323  
  #   Fujita Corp.                                      115,010     123,085  
      Fujitec Co., Ltd.                                 312,000   1,600,963  
      Fukuda Corp.                                      136,000     217,232  
      Fukusima Industries Corp.                          30,500     262,742  
  #   Fukuyama Transporting Co., Ltd.                   936,400   3,186,570  
  #   Funai Consulting, Co., Ltd.                       102,000     587,348  
      Furukawa Co., Ltd.                              1,428,000   2,424,647  
      Furusato Industries, Ltd.                          52,000     473,327  
      Futaba Corp.                                      163,800   2,750,696  
  #   Gecoss Corp.                                      116,700     502,022  
  #   GS Yuasa Corp.                                  1,120,000   5,727,092  
  #   Hamai Co., Ltd.                                    97,000     128,287  
      Hanwa Co., Ltd.                                   745,000   3,331,678  
      Hazama Corp.                                      293,600     246,933  
      Hibiya Engineering, Ltd.                          133,000   1,117,122  
      Hitachi Cable, Ltd.                               400,000   1,440,708  
      Hitachi Metals Techno, Ltd.                        57,500     255,197  
  #   Hitachi Plant Technologies, Ltd.                  681,570   2,115,367  
      Hitachi Tool Engineering, Ltd.                     96,500   1,139,843  
      Hitachi Transport System, Ltd.                    349,600   4,732,479  
* #   Hitachi Zosen Corp.                             1,548,000   1,655,450  
      Hokuetsu Industries Co., Ltd.                      96,000     244,976  
      Hokuriku Electrical Construction Co., Ltd.         56,000     178,782  
  #   Hosokawa Micron Corp.                             147,000     677,238  
  #   Howa Machinery, Ltd.                              389,000     328,518  
      IBJ Leasing Co., Ltd.                             127,800   2,353,761  
      Ichiken Co., Ltd.                                 105,000     119,872  
      Ichinen Co., Ltd.                                  73,000     395,182  
  #   Idec Corp.                                        135,500   1,528,058  
  #   Iino Kaiun Kaisha, Ltd.                           346,700   2,645,853  
      i-Logistics Corp.                                  91,000     218,287  
      Inaba Denki Sangyo Co., Ltd.                       88,300   2,235,797  
      Inabata and Co., Ltd.                             226,000     991,263  
* #   Inoue Kogyo Co., Ltd.                             425,000      54,009  
      Inui Steamship Co., Ltd.                           83,000   1,057,189  
* #   Iseki & Co., Ltd.                                 779,000   2,059,498  
* #   Ishikawa Seisakusho, Ltd.                         154,000      94,126  
  *   Ishikawajima Construction Materials Co., Ltd.      43,000      39,001  
      Ishikawajima Transport Machinery Co., Ltd.         73,000     247,770  
  #   Itoki Corp.                                       179,000     651,177  
      Iwasaki Electric Co., Ltd.                        266,000     436,263  
  #   IWATANI Corp.                                     870,000   2,374,499  
* #   J Bridge Corp.                                    276,000      62,969  
  #   Jalux, Inc.                                        44,400     597,948  
  #   Jamco Corp.                                        84,000     514,270  
* #   Japan Bridge Corp.                                 44,350      79,852  
  #   Japan Cash Machine Co., Ltd.                      102,115     879,226  
  #   Japan Foundation Engineering Co., Ltd.             95,600     208,016  
  #   Japan Kenzai Co., Ltd.                             95,940     539,428  


                                        

                                       13

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      Japan Pulp & Paper Co., Ltd.                       514,000   1,770,331  
      Japan Servo Co., Ltd.                               80,000     550,186  
      Japan Steel Tower Co., Ltd.                         44,000     201,351  
  #   Japan Transcity Corp.                              236,000     845,706  
      K.R.S. Corp.                                        39,200     323,232  
  #   Kamagai Gumi Co., Ltd.                             583,800     334,295  
      Kamei Corp.                                        121,000     474,759  
      Kanaden Corp.                                      121,000     609,452  
      Kanagawa Chuo Kotsu Co., Ltd.                      196,000     912,243  
      Kanamoto Co., Ltd.                                 114,000     549,035  
  #   Kandenko Co., Ltd.                                 164,000     986,100  
  *   Kanematsu Corp.                                  1,481,625   1,668,080  
* #   Kanematsu-NNK Corp.                                125,000      96,756  
  #   Katakura Industries Co., Ltd.                      119,000   1,484,181  
  #   Kato Works Co., Ltd.                               202,000     568,768  
* #   Kawada Industries, Inc.                            158,000     188,977  
      Kawagishi Bridge Works Co., Ltd.                    38,000      98,370  
      Kawaguchi Metal Industries Co., Ltd.                11,000      33,457  
      Kawasaki Kinkai Kisen Kaisha, Ltd.                 100,000     349,297  
  #   Kimura Chemical Plants Co., Ltd.                    61,000     470,742  
  #   Kinki Sharyo Co., Ltd.                             212,000   1,031,430  
      Kintetsu World Express, Inc.                       117,300   2,129,684  
      Kioritz Corp.                                      239,000     528,086  
  #   Kitagawa Iron Works Co., Ltd.                      344,000     558,063  
  #   Kitano Construction Corp.                          258,000     526,366  
      Kitazawa Sangyo Co., Ltd.                           57,000     100,370  
  #   Kitz Corp.                                         420,000   1,888,256  
  #   Koike Sanso Kogyo Co., Ltd.                        155,000     464,614  
      Koito Industries, Ltd.                             102,000     326,443  
  #   Kokuyo Co., Ltd.                                   126,325   1,018,992  
  #   Komai Tekko, Inc.                                  109,000     193,712  
      Komatsu Wall Industry Co., Ltd.                     33,700     381,802  
      Komori Corp.                                       100,700   1,469,336  
      Kondotec, Inc.                                      40,500     221,293  
  #   Kosaido Co., Ltd.                                   79,000     295,850  
  #   Kuroda Electric Co., Ltd.                          112,900   1,302,323  
  #   Kyodo Printing Co., Ltd.                           311,000     836,683  
  #   Kyoei Sangyo Co., Ltd.                              97,000     258,621  
      Kyokuto Boeki Kaisha, Ltd.                          82,000     144,372  
      Kyokuto Kaihatsu Kogyo Co., Ltd.                   150,400     703,334  
      Kyosan Electric Manufacturing Co., Ltd.            218,000     765,678  
  #   Kyowa Exeo Corp.                                   354,000   3,461,034  
      Kyudenko Corp.                                     281,000   1,824,079  
* #   Link Consulting Associates - Japan Corp.            63,500      14,553  
* #   Lonseal Corp.                                      127,000     218,159  
  #   Maeda Corp.                                        641,000   1,954,746  
      Maeda Road Construction Co., Ltd.                  327,000   2,095,006  
  #   Maezawa Industries, Inc.                            59,300     140,999  
  #   Maezawa Kaisei Industries Co., Ltd.                 54,700     560,790  
      Makino Milling Machine Co., Ltd.                   330,000   1,509,383  
      Marubeni Construction Material Lease Co., Ltd.      78,000     113,534  
      Maruka Machinery Co., Ltd.                          28,100     256,210  
      Maruwn Corp.                                        66,000     166,973  
  #   Maruyama Manufacturing Co., Inc.                   150,000     289,742  
      Maruzen Showa Unyu Co., Ltd.                       335,000     955,838  


                                        

                                       14

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  #   Matsuda Sangyo Co., Ltd.                       99,583   2,199,703  
      Matsui Construction Co., Ltd.                  98,600     291,816  
  *   Matsuo Bridge Co., Ltd.                        72,000      67,367  
  #   Max Co., Ltd.                                 188,000   1,800,938  
  #   Meidensha Corp.                               785,050   2,078,400  
  *   Meiji Machine Co., Ltd.                       213,000     110,194  
  #   Meiji Shipping Co., Ltd.                      109,000     511,857  
      Meisei Industrial Co., Ltd.                    29,000      73,393  
      Meitec Corp.                                  135,600   3,742,366  
      Meito Transportation Co., Ltd.                 22,000     154,194  
* #   Meiwa Trading Co., Ltd.                       140,000     254,837  
      MISUMI Group, Inc.                             76,300   1,320,229  
      Mitani Corp.                                   54,000     349,421  
  #   Mitsubishi Cable Industries, Ltd.             736,000     815,649  
  #   Mitsubishi Kakoki Kaisha, Ltd.                254,000     632,558  
  #   Mitsubishi Pencil Co., Ltd.                   121,500   1,557,542  
  #   Mitsuboshi Belting, Ltd.                      281,000   1,459,869  
  #   Mitsui Matsushima Co., Ltd.                   347,000   1,017,030  
  #   Mitsui-Soko Co., Ltd.                         487,000   2,395,360  
      Mitsumura Printing Co., Ltd.                   95,000     295,807  
  #   Miura Co., Ltd.                               145,200   3,189,090  
      Miura Printing Corp.                           19,000      44,508  
  #   Miyairi Valve Manufacturing Co., Ltd.          43,000      16,147  
* #   Miyaji Engineering Group                      203,000     142,276  
* #   Miyakoshi Corp.                                48,400     320,465  
  *   Mori Denki Mfg. Co., Ltd.                     628,000      46,307  
      Morita Corp.                                  163,000     650,670  
      Moshi Moshi Hotline, Inc.                     122,700   3,299,727  
      Mystar Engineering Corp.                       15,600      63,863  
      NAC Co., Ltd.                                  28,900     210,093  
      Nachi-Fujikoshi Corp.                         604,000   1,925,246  
      Naikai Zosen Corp.                             75,000     242,007  
  #   Nakano Corp.                                  103,000     170,469  
      Narasaki Sangyo Co., Ltd.                      68,000      57,669  
      NEC Leasing, Ltd.                              72,600     919,276  
  #   NEC System Integration & Construction, Ltd.   172,100   2,236,714  
      New Tachikawa Aircraft Co., Ltd.               10,100     379,431  
* #   Nichias Corp.                                 435,000   1,222,553  
      Nichiban Co., Ltd.                            125,000     414,592  
  #   Nichiha Corp.                                 126,180     934,736  
      Nihon Spindle Manufacturing Co., Ltd.         115,000     251,810  
      Nikko Co., Ltd.                               127,000     317,688  
  #   Nippo Corp.                                   409,000   2,170,701  
  #   Nippon Carbon Co., Ltd.                       406,000   1,899,691  
* #   Nippon Conveyor Co., Ltd.                     168,000     128,124  
  #   Nippon Densetsu Kogyo Co., Ltd.               225,000   1,809,232  
      Nippon Denwa Shisetu Co., Ltd.                208,000     528,483  
      Nippon Filcon Co., Ltd.                        75,000     355,910  
      Nippon Hume Corp.                              91,000     238,112  
      Nippon Jogesuido Sekkei Co., Ltd.                 289     215,759  
  #   Nippon Kanzai Co., Ltd.                        71,000   1,910,122  
      Nippon Koei Co., Ltd.                         279,000     721,480  
      Nippon Konpo Unyu Soko Co., Ltd.              253,000   2,562,210  
  #   Nippon Parking Development Co., Ltd.           10,609     329,617  
      Nippon Seisen Co., Ltd.                       107,000     369,812  


                                        

                                       15

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      Nippon Sharyo, Ltd.                          506,000   1,566,379  
  #   Nippon Shindo Co., Ltd.                       50,000      73,732  
      Nippon Signal Co., Ltd.                      216,000   1,139,431  
  #   Nippon Steel Trading Co., Ltd.               399,000   1,072,002  
      Nippon Thompson Co., Ltd.                    262,000   1,386,115  
      Nippon Tungsten Co., Ltd.                     82,000     153,409  
      Nippon Yusoki Co., Ltd.                      141,000     382,458  
  #   Nishimatsu Construction Co., Ltd.            979,000   2,164,595  
      Nishi-Nippon Railroad Co., Ltd.              346,000   1,204,133  
      Nishishiba Electric Co., Ltd.                101,000     164,736  
  #   Nissei Corp.                                 107,400   1,035,515  
      Nissei Plastic Industrial Co., Ltd.           68,000     254,843  
      Nissin Corp.                                 351,000   1,012,558  
      Nitchitsu Co., Ltd.                           60,000     147,493  
      Nitta Corp.                                  104,200   1,592,055  
  #   Nitto Boseki Co., Ltd.                       870,000   1,714,115  
  #   Nitto Electric Works, Ltd.                   154,800   1,440,161  
      Nitto Kohki Co., Ltd.                         78,300   1,519,682  
      Nitto Seiko Co., Ltd.                        143,000     470,577  
  *   Nittoc Construction Co., Ltd.                286,000     111,799  
      Noda Corp.                                    33,800      69,801  
      Nomura Co., Ltd.                             210,000     649,572  
      Noritake Co., Ltd.                           557,000   2,096,747  
  #   Noritz Corp.                                 177,100   1,656,361  
* #   Oak Capital Corp.                            753,354      96,134  
      Obayashi Road Corp.                          106,000     149,649  
      Odakyu Construction Co., Ltd.                 63,500     134,863  
      Oiles Corp.                                  101,952   1,759,313  
      Okabe Co., Ltd.                              192,000     910,702  
      Okamoto Machine Tool Works, Ltd.             164,000     263,449  
  #   Okamura Corp.                                379,900   2,417,442  
      Okano Valve Manufacturing Co.                 58,000     338,342  
      Oki Electric Cable Co., Ltd.                 117,000     190,300  
  #   OKK Corp.                                    262,000     378,998  
  #   Okumura Corp.                                770,400   2,774,271  
  #   O-M, Ltd.                                    107,000     552,478  
  #   Onoken Co., Ltd.                              72,800   1,084,359  
  #   Organo Corp.                                 203,000   1,455,865  
      Oriental Shiraishi Corp.                      73,400     125,449  
      Original Engineering Consultants Co., Ltd.     9,000      18,220  
  #   OSG Corp.                                    119,900   1,027,290  
  #   Oyo Corp.                                    110,400   1,288,597  
  #   P.S. Mitsubishi Construction Co., Ltd.        76,800     196,505  
  #   Park24 Co., Ltd.                             150,100     780,644  
* #   Pasco Corp.                                  242,500     405,863  
  #   Pasona Group, Inc.                             1,474   1,042,245  
* #   Penta-Ocean Construction Co., Ltd.           864,000     987,275  
  #   Pilot Corp.                                      780   1,736,549  
  #   PRONEXUS, Inc.                               137,000   1,049,799  
  #   Raito Kogyo Co., Ltd.                        199,000     463,321  
  #   Rasa Industries, Ltd.                        277,000     452,904  
      Rheon Automatic Machinery Co., Ltd.           64,000     210,266  
      Ryobi, Ltd.                                  573,200   1,892,042  
      Sagami Railway Co., Ltd.                     364,000   1,355,212  
  *   Sailor Pen Co., Ltd.                         127,000      86,130  


                                        

                                       16

--------------------------------------------------------------------------------

                                        

  #   Sakai Heavy Industries, Ltd.               126,000     255,172  
  *   Sakurada Co., Ltd.                         225,000      24,653  
* #   Sanix, Inc.                                161,700     420,595  
  #   Sanki Engineering Co., Ltd.                268,000   1,964,920  
  #   Sanko Metal Industrial Co., Ltd.           118,000     383,025  
      Sankyo-Tateyama Holdings, Inc.           1,132,000   1,256,383  
      Sanritsu Corp.                              17,800     122,050  
      Sanwa Holdings Corp.                       242,000     900,997  
      Sanyo Denki Co., Ltd.                      219,000     826,753  
      Sanyo Engineering & Construction, Inc.      48,000     161,403  
      SANYO INDUSTRIES, Ltd.                     102,000     188,320  
  #   Sasebo Heavy Industries Co., Ltd.          561,000   1,147,102  
  *   Sata Construction Co., Ltd.                100,000      35,692  
      Sato Corp.                                 111,500   1,481,624  
      Sato Shoji Corp.                            67,000     518,409  
      Sawafuji Electric Co., Ltd.                 48,000     106,102  
      Secom Joshinetsu Co., Ltd.                  34,800     749,005  
  #   Secom Techno Service Co., Ltd.              44,500   1,186,519  
      Seibu Electric Industry Co., Ltd.           67,000     311,658  
  #   Seika Corp.                                274,000     530,815  
  *   Seikitokyu Kogyo Co., Ltd.                 335,000     179,882  
      Seino Holdings Co., Ltd.                   204,000   1,192,795  
      Sekisui Jushi Co., Ltd.                    166,000   1,176,739  
  #   Senko Co., Ltd.                            381,000   1,411,862  
  #   Senshu Electric Co., Ltd.                   37,300     553,113  
  #   Shibaura Mechatronics Corp.                175,000     714,121  
  #   Shibusawa Warehouse Co., Ltd.              266,000   1,451,939  
      Shibuya Kogyo Co., Ltd.                     84,500     656,968  
  #   Shima Seiki Manufacturing Co., Ltd.         61,200   1,424,092  
  #   Shin Nippon Air Technologies Co., Ltd.      87,280     713,993  
  #   Shin-Keisei Electric Railway Co., Ltd.     178,000     585,715  
  #   Shinko Electric Co., Ltd.                  509,000   1,299,822  
  #   Shin-Kobe Electric Machinery Co., Ltd.     178,000   1,265,698  
  #   Shinmaywa Industries, Ltd.                 413,000   1,364,937  
  #   Shinnihon Corp.                            215,900     163,130  
      Shinsho Corp.                              291,000     790,421  
      Shinwa Kaiun Kaisha, Ltd.                  420,000   2,066,317  
      Sho-Bond Corp.                             100,800   1,774,167  
  #   Shoko Co., Ltd.                            324,000     404,474  
      Showa Aircraft Industry Co., Ltd.          114,000     758,361  
      Showa KDE Co., Ltd.                        124,000     137,249  
      Sintokogio, Ltd.                           197,000   1,548,911  
      Soda Nikka Co., Ltd.                        67,000     226,471  
      Sodick Co., Ltd.                           187,000     752,549  
  #   Sohgo Security Services Co., Ltd.           97,400   1,108,438  
      Space Co., Ltd.                             75,320     425,982  
      Subaru Enterprise Co., Ltd.                 59,000     169,583  
      Sugimoto & Co., Ltd.                        35,000     402,297  
* #   Sumitomo Coal Mining Co., Ltd.             851,500     579,431  
  #   Sumitomo Densetsu Co., Ltd.                107,400     529,819  
* #   Sumitomo Mitsui Construction Co., Ltd.     999,060     728,430  
  #   Sumitomo Precision Products Co., Ltd.      180,000     610,840  
      Sumitomo Warehouse Co., Ltd.               300,000   1,102,109  
  *   Sun Wave Corp.                             155,000     209,182  
      Suzuki Metal Industry Co., Ltd.             71,000     129,800  


                                        

                                       17

--------------------------------------------------------------------------------

                                        

  #   SWCC Showa Holdings Co., Ltd.                853,000   1,137,584  
      Tadano, Ltd.                                 161,579   1,243,296  
  #   Taihei Dengyo Kaisha, Ltd.                   155,000   1,257,052  
  #   Taihei Kogyo Co., Ltd.                       264,000     862,972  
* #   Taiheiyo Kaiun Co., Ltd.                     167,000     218,121  
* #   Taiheiyo Kouhatsu, Inc.                      198,000     148,631  
      Taiho Kogyo Co., Ltd.                         97,700     974,999  
      Taikisha, Ltd.                               129,000   1,753,885  
  #   Taisei Rotec Corp.                           271,000     478,300  
      Takada Kiko Co., Ltd.                         48,000      79,431  
  #   Takano Co., Ltd.                              53,400     371,241  
  #   Takaoka Electric Manufacturing Co., Ltd.     361,000     469,891  
      Takara Printing Co., Ltd.                     39,055     391,099  
  #   Takara Standard Co., Ltd.                    529,000   2,626,689  
  #   Takasago Thermal Engineering Co., Ltd.       299,000   2,926,084  
* #   Takashima & Co., Ltd.                        137,000     223,645  
      Takigami Steel Construction Co., Ltd.         50,000     150,940  
  #   Takisawa Machine Tool Co., Ltd.              191,000     221,407  
  #   Takuma Co., Ltd.                             305,000     938,345  
      Tanseisha Co., Ltd.                           74,000     158,177  
      Tatsuta Electric Wire & Cable Co., Ltd.      220,000     585,401  
      TCM Corp.                                    359,000     743,326  
      Techno Associe Co., Ltd.                      59,900     488,516  
      Techno Ryowa, Ltd.                            66,600     351,620  
  #   Teikoku Electric Manufacturing Co., Ltd.      32,900     591,920  
  *   Tekken Corp.                                 535,000     558,699  
      Teraoka Seisakusho Co., Ltd.                  55,000     249,306  
* #   The Goodwill Group, Inc.                       4,635     155,129  
      The Keihin Co., Ltd.                         204,000     283,086  
      The Kodensha Co., Ltd.                        25,000      50,827  
      The Nippon Road Co., Ltd.                    333,000     427,868  
      The Yasuda Warehouse Co., Ltd.               100,900     857,328  
  *   Toa Corp.                                    764,000     890,709  
  #   Toa Doro Kogyo Co., Ltd.                     155,000     226,872  
* #   Tobishima Corp.                            1,548,500     267,469  
  #   Tocalo Co., Ltd.                              53,000     806,234  
      Toda Corp.                                   639,000   2,299,587  
      Todentu Corp.                                121,000     225,898  
      Toenec Corp.                                 324,000   1,650,574  
      Tokai Lease Co., Ltd.                         86,000     132,783  
      Tokimec, Inc.                                272,000     500,408  
      Toko Electric Corp.                           88,000     202,699  
      Tokyo Biso Kogyo Corp.                        19,000     124,355  
      Tokyo Energy & Systems, Inc.                 129,000     723,162  
  #   Tokyo Kikai Seisakusho, Ltd.                 312,000     683,237  
  #   Tokyo Leasing Co., Ltd.                      223,800   2,100,723  
      Tokyo Sangyo Co., Ltd.                        78,000     215,967  
  #   Tokyu Construction Co., Ltd.                 366,290   1,068,624  
      Toli Corp.                                   212,000     362,811  
  #   Tomoe Corp.                                  115,500     186,984  
  #   Tonami Transportation Co., Ltd.              340,000     719,009  
      Toppan Forms Co., Ltd.                        90,700   1,090,215  
* #   Tori Holdings Co., Ltd.                    2,969,000     189,744  
  #   Torishima Pump Manufacturing Co., Ltd.       105,000   2,097,850  
      Toshiba Machine Co., Ltd.                    183,000     802,767  


                                        

                                       18

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  #   Toshiba Plant Kensetsu Co., Ltd.            337,000     3,057,453  
      Tosho Printing Co., Ltd.                    249,000       633,950  
      Totetsu Kogyo Co., Ltd.                     125,000       645,823  
* #   Toyo Construction Co., Ltd.               1,005,000       428,207  
  #   Toyo Electric Co., Ltd.                     159,000       468,205  
      Toyo Engineering Corp.                      645,400     3,364,234  
      Toyo Machinery & Metal Co., Ltd.             61,000       180,221  
      Toyo Shutter Co., Ltd.                       11,800        99,015  
  #   Toyo Wharf & Warehouse Co., Ltd.            281,000       499,742  
      Trusco Nakayama Corp.                       114,100     1,559,603  
      Tsubakimoto Chain Co.                       594,700     3,028,054  
      Tsubakimoto Kogyo Co., Ltd.                  97,000       266,131  
  #   Tsudakoma Corp.                             204,000       366,668  
  #   Tsugami Corp.                               272,000       754,985  
  #   Tsukishima Kikai Co., Ltd.                  152,000     1,231,679  
      Tsurumi Manufacturing Co., Ltd.              96,000       728,484  
      Tsuzuki Denki Co., Ltd.                      75,000       264,046  
      TTK Co., Ltd.                                62,000       313,019  
      Uchida Yoko Co., Ltd.                       175,000       664,028  
  #   Ueki Corp.                                   47,000        51,720  
  #   Union Tool Co.                               79,000     1,901,320  
      Utoc Corp.                                   99,000       343,268  
* #   Venture Link Co., Ltd.                      405,500       118,015  
  *   Wakachiku Construction Co., Ltd.            395,000       186,314  
      Wavelock Holdings Co., Ltd.                  31,500       128,157  
      Weathernews, Inc.                            27,400       377,441  
      Yahagi Construction Co., Ltd.               154,000       682,056  
      Yamato Corp.                                 82,000       185,176  
      Yamaura Corp.                                40,500        72,202  
      Yamazen Co., Ltd.                           315,000     1,086,560  
      Yokogawa Bridge Holdings Corp.              142,400       844,200  
      Yondenko Corp.                              136,800       675,882  
  #   Yuasa Trading Co., Ltd.                     800,000       967,539  
      Yuken Kogyo Co., Ltd.                       156,000       383,015  
      Yurtec Corp.                                285,000     1,325,840  
  #   Yushin Precision Equipment Co., Ltd.         54,934       870,874  
Total Industrials                                           358,233,474  
                                                                         
Information Technology — (8.6%)                                          
  #   Ai Holdings Corp.                           187,600       550,839  
      Aichi Tokei Denki Co., Ltd.                 113,000       256,841  
  #   Aiphone Co., Ltd.                            72,800     1,152,255  
  *   Allied Telesis Holdings K.K.                470,700       214,007  
  #   Alpha Systems, Inc.                          43,500     1,108,717  
  #   Anritsu Corp.                               446,000     1,222,016  
      AOI Electronics Co., Ltd.                    38,400       414,095  
      Apic Yamada Corp.                            36,000        79,439  
  #   Arisawa Manufacturing Co., Ltd.             139,400       886,401  
  #   CAC Corp.                                    70,900       657,171  
      Canon Electronics, Inc.                      70,000     1,276,369  
      Canon Finetech, Inc.                        151,070     1,830,354  
  #   Chino Corp.                                 162,000       374,354  
  #   CMK Corp.                                   216,000     1,332,685  
      Computer Engineering & Consulting, Ltd.      63,100       559,318  
      Core Corp.                                   45,700       267,111  


                                        

                                       19

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      Cresco, Ltd.                                       11,600      95,152  
  #   CSK Holdings Corp.                                 65,274   1,029,813  
  #   Dai Nippon Screen Mfg. Co., Ltd.                  654,000   2,770,952  
  *   Daiko Denshi Tsushin, Ltd.                         23,000      39,955  
  #   Daiwabo Information System Co., Ltd.               62,000   1,070,170  
  #   Denki Kogyo Co., Ltd.                             243,000   1,417,903  
  #   Disco Corp.                                         6,700     249,170  
      DKK TOA Corp.                                      31,000     128,424  
      DTS Corp.                                          87,200   1,218,675  
  #   Dwango Co., Ltd.                                      230     359,307  
  #   eAccess, Ltd.                                       4,747   2,780,561  
      Eizo Nanao Corp.                                   77,600   1,570,690  
      Elna Co., Ltd.                                     97,000     160,941  
      Enplas Corp.                                       72,200     697,111  
  #   Epson Toyocom Corp.                               437,000   1,399,176  
  #   ESPEC Corp.                                        82,000     574,551  
* #   FDK Corp.                                         436,000     555,853  
  #   Fuji Soft, Inc.                                   131,400   2,352,640  
      Fujitsu Component, Ltd.                               177     138,426  
      Fujitsu Frontech, Ltd.                             80,700     760,064  
      Fuso Dentsu Co., Ltd.                              16,000      50,639  
  #   Future Architect, Inc.                              1,504     822,300  
* #   GMO Internet, Inc.                                242,500   1,072,751  
      Hakuto Co., Ltd.                                   82,500     727,454  
  #   Hitachi Business Solution Co., Ltd.                43,200     258,624  
      Hitachi Information Systems, Ltd.                 147,100   3,203,701  
  #   Hitachi Kokusai Electric, Inc.                    311,500   2,149,465  
      Hitachi Maxell, Ltd.                              158,100   1,766,124  
      Hitachi Software Engineering Co., Ltd.            190,300   3,869,390  
      Hitachi Systems & Services, Ltd.                   86,000   1,286,578  
      Hochiki Corp.                                      99,000     668,873  
      Hokuriku Electric Industry Co., Ltd.              316,000     517,022  
      Horiba, Ltd.                                       33,100     653,318  
  #   Hosiden Corp.                                     249,600   4,152,871  
  #   Icom, Inc.                                         51,000   1,196,149  
* #   Ikegami Tsushinki Co., Ltd.                       174,000     212,623  
  *   Ines Corp.                                        177,200     825,400  
      I-Net Corp.                                        47,800     248,476  
      Information Services International-Dentsu, Ltd.   106,600     802,678  
  #   Invoice, Inc.                                      40,368     340,718  
  #   Ishii Hyoki Co., Ltd.                              24,300     448,725  
  *   IT Holdings Corp.                                 300,901   4,734,439  
  #   Iwatsu Electric Co., Ltd.                         311,000     336,833  
  #   Japan Aviation Electronics Industry, Ltd.         308,600   1,916,537  
      Japan Business Computer Co., Ltd.                  76,900     614,692  
      Japan Digital Laboratory Co., Ltd.                116,500   1,421,156  
      Japan Radio Co., Ltd.                             446,000   1,016,660  
      Jastec Co., Ltd.                                   63,000     368,437  
      JBIS Holdings, Inc.                                81,700     325,761  
      JIEC Co., Ltd.                                        199     155,946  
      Kaga Electronics Co., Ltd.                        100,000   1,237,281  
  #   Kakaku.com, Inc.                                      430   1,248,968  
      Kanematsu Electronics, Ltd.                        85,300     671,914  
* #   Kasuga Electric Works, Ltd.                        44,000      75,248  
      Kawatetsu Systems, Inc.                               174     161,138  


                                        

                                       20

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      Koa Corp.                                   152,800     880,162  
  #   Koei Co., Ltd.                              238,700   3,353,204  
* #   Kubotek Corp.                                   407     142,575  
      Kyoden Co., Ltd.                            160,000     217,435  
      Kyowa Electronic Instruments Co., Ltd.       52,000     166,779  
      Macnica, Inc.                                62,500     784,767  
      Marubun Corp.                                98,700     620,857  
  #   Maruwa Co., Ltd.                             37,400     449,186  
      Maspro Denkoh Corp.                          62,600     500,970  
  #   Megachips Corp.                              89,600   1,335,670  
* #   Meisei Electric Co., Ltd.                   359,000     268,348  
  #   Melco Holdings, Inc.                          9,000     204,442  
      Mimasu Semiconductor Industry Co., Ltd.     114,581   1,655,453  
  #   Miroku Jyoho Service Co., Ltd.              107,000     239,772  
      Mitsui High-Tec, Inc.                       145,700     994,913  
      Mitsui Knowledge Industry Co., Ltd.           3,790     805,136  
      Moritex Corp.                                35,100     135,079  
* #   Mutoh Holdings Co., Ltd.                    164,000     393,147  
  *   Nagano Japan Radio Co., Ltd.                 85,000     106,234  
      Nakayo Telecommunications, Inc.              49,000     109,909  
      NEC Fielding, Ltd.                          194,800   2,127,063  
      NEC Mobiling, Ltd.                           50,900     779,903  
* #   NEC Tokin Corp.                             392,000   1,317,852  
  #   Net One Systems Co., Ltd.                     1,941   2,592,489  
  *   Netmarks, Inc.                                  523     105,061  
  #   New Japan Radio Co., Ltd.                   112,000     349,026  
      Nichicon Corp.                              272,300   2,216,133  
  #   Nidec Sankyo Corp.                          205,000   1,089,076  
  #   Nihon Dempa Kogyo Co., Ltd.                  70,800   1,486,036  
  #   Nihon Inter Electronics Corp.               104,700     233,927  
  #   Nihon Unisys, Ltd.                           73,500   1,148,322  
      Nippon Avionics Co., Ltd.                    83,000     178,760  
  #   Nippon Ceramic Co., Ltd.                     89,000     962,283  
  #   Nippon Chemi-Con Corp.                      478,000   1,689,368  
      Nippon Systemware Co., Ltd.                  30,000     122,439  
      Nissho Electronics Corp.                     81,600     436,452  
      Nohmi Bosai, Ltd.                           191,000   1,255,942  
      NS Solutions Corp.                           46,500     748,365  
      NSD Co., Ltd.                               178,600   1,974,822  
      Okaya Electric Industries Co., Ltd.          73,000     300,003  
* #   Oki Electric Industry Co., Ltd.           1,850,000   2,508,893  
      Ono Sokki Co., Ltd.                         105,000     525,400  
      Origin Electric Co., Ltd.                   107,000     587,585  
  #   Osaki Electric Co., Ltd.                    131,000     746,361  
      PCA Corp.                                    17,500     168,829  
* #   Pixela Corp.                                 33,000      59,505  
  *   Pulstec Industrial Co., Ltd.                 21,200      19,176  
      RICOH COMPANY, Ltd.                          28,500     470,439  
      Rikei Corp.                                  22,500      20,372  
      Riken Keiki Co., Ltd.                        79,900     503,792  
  #   Roland DG Corp.                              61,400   1,041,751  
      Ryoden Trading Co., Ltd.                    155,000     928,553  
      Ryosan Co., Ltd.                            125,300   2,692,016  
  #   Ryoyo Electro Corp.                         110,900   1,070,348  
  #   Sanken Electric Co., Ltd.                   308,000   1,585,796  


                                        

                                       21

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      Sanko Co., Ltd.                                22,000        90,053  
      Sanshin Electronics Co., Ltd.                 111,000       988,568  
  #   Satori Electric Co., Ltd.                      57,880       363,603  
      Saxa Holdings, Inc.                           194,000       283,296  
      Sekonic Corp.                                  36,000        68,885  
      Shindengen Electric Manufacturing Co., Ltd.   304,000       641,276  
  #   Shinkawa, Ltd.                                 70,200       863,024  
      Shinko Shoji Co., Ltd.                         78,000       634,989  
      Shizuki Electric Co., Inc.                    103,000       348,058  
      Siix Corp.                                     86,000       491,388  
      SMK Corp.                                     272,000     1,173,259  
  #   Sorun Corp.                                    95,100       491,870  
* #   SPC Electronics Corp.                          48,200        76,048  
      SRA Holdings, Inc.                             51,000       499,589  
  #   Star Micronics Co., Ltd.                      136,600     1,699,381  
  #   Sumida Corp.                                   67,949       628,600  
      Sumisho Computer Systems Corp.                172,700     3,073,525  
  #   SUNX, Ltd.                                    120,600       553,247  
  #   SystemPro Co., Ltd.                               676       317,369  
      Tachibana Eletech Co., Ltd.                    64,100       534,452  
      Taiyo Yuden Co., Ltd.                         205,000     2,259,331  
      Tamura Corp.                                  260,000       701,512  
* #   Teac Corp.                                    872,000       554,897  
      Teikoku Tsushin Kogyo Co., Ltd.               176,000       506,775  
      TKC Corp.                                     103,300     1,839,024  
  *   Toko, Inc.                                    340,000       478,526  
      Tokyo Denpa Co., Ltd.                          24,900       207,493  
      Tokyo Electron Device, Ltd.                       361       565,872  
  #   Tokyo Seimitsu Co., Ltd.                      107,100     1,391,164  
  #   Tomen Electronics Corp.                        51,900       596,011  
      Tose Co., Ltd.                                 23,100       170,786  
* #   Totoku Electric Co., Ltd.                     129,000       161,363  
      Toukei Computer Co., Ltd.                      28,410       340,820  
  #   Towa Corp.                                     74,800       523,671  
  #   Toyo Corp.                                    113,600     1,218,174  
  #   Trans Cosmos, Inc.                            167,900     1,218,966  
      Trinity Industrial Corp.                       56,000       280,700  
      Tsuzuki Densan Co., Ltd.                       22,500        72,337  
  #   Uniden Corp.                                  221,000       960,846  
* #   Union Holdings Co., Ltd.                      148,000        10,861  
      XNET Corp.                                         91        99,387  
      Yamaichi Electronics Co., Ltd.                 64,400       296,469  
      Yaskawa Information Systems Corp.              40,000       124,250  
      Ye Data, Inc.                                  43,000        76,413  
  #   Yokowo Co., Ltd.                               71,300       432,077  
  #   Zuken, Inc.                                    97,700       817,466  
Total Information Technology                                  148,242,242  
                                                                           
Materials — (8.8%)                                                         
      Achilles Corp.                                688,000       982,215  
      Adeka Corp.                                   350,600     2,538,475  
      Agro-Kanesho Co., Ltd.                          7,000        43,403  
  #   Aichi Steel Corp.                             376,000     1,537,191  
      Arakawa Chemical Industries, Ltd.              69,500       735,284  
      Araya Industrial Co., Ltd.                    209,000       452,527  


                                        

                                       22

--------------------------------------------------------------------------------

                                        

       Aronkasei Co., Ltd.                                   127,000      454,732  
   #   Asahi Organic Chemicals Industry Co., Ltd.            343,000      986,818  
   #   Chuetsu Pulp and Paper Co., Ltd.                      405,000      738,904  
 * #   Chugai Mining Co., Ltd.                               875,900      160,385  
       Chugoku Marine Paints, Ltd.                           238,000    1,732,801  
 * #   Chugokukogyo Co., Ltd.                                105,000      120,943  
   #   Co-Op Chemical Co., Ltd.                              163,000      399,678  
   #   Dai Nippon Toryo, Ltd.                                501,000      569,975  
       Daiichi Kigenso Kagaku-Kyogyo Co., Ltd.                14,300      223,787  
       Dai-ichi Kogyo Seiyaku Co., Ltd.                      121,000      248,447  
   #   Daiken Corp.                                          450,000      850,368  
   #   Daiki Aluminium Industry Co., Ltd.                    148,000      387,559  
       Dainichiseika Colour & Chemicals Manufacturing                             
       Co., Ltd.                                             320,000    1,091,794  
   #   Daio Paper Corp.                                      435,500    3,755,750  
   #   Daiso Co., Ltd.                                       383,000    1,125,480  
       DC Co., Ltd.                                          117,000      329,938  
       Dijet Industrial Co., Ltd.                             81,000      184,154  
       Dynapac Co., Ltd.                                      25,000       91,805  
   #   FP Corp.                                               77,300    2,100,335  
   #   Fujikura Kasei Co., Ltd.                               97,000      729,033  
       Fumakilla, Ltd.                                        87,000      305,970  
       Godo Steel, Ltd.                                      556,000    1,662,432  
   #   Gun-Ei Chemical Industry Co., Ltd.                    285,000      590,266  
       Harima Chemicals, Inc.                                 80,000      343,643  
   #   Hodogaya Chemical Co., Ltd.                           288,000      641,517  
       Hokkan Holdings, Ltd.                                 215,000      559,014  
       Hokko Chemical Industry Co., Ltd.                      90,000      283,512  
   #   Hokuetsu Paper Mills, Ltd.                            642,500    2,795,539  
       Hokushin Co., Ltd.                                     64,000       98,431  
       Honshu Chemical Industry Co., Ltd.                     35,000      220,361  
   #   Ihara Chemical Industry Co., Ltd.                     155,000      423,416  
   #   ISE Chemicals Corp.                                    88,000      481,139  
   *   Ishihara Sangyo Kaisha, Ltd.                        1,327,500    2,216,384  
   #   Ishii Iron Works Co., Ltd.                            110,000      163,307  
       Japan Carlit Co., Ltd.                                 59,800      247,651  
       JSP Corp.                                             109,600      744,375  
   #   Kanto Denka Kogyo Co., Ltd.                           198,000      899,757  
       Kasei (C.I.) Co., Ltd.                                119,000      285,985  
       Katakura Chikkarin Co., Ltd.                           43,000      112,727  
       Kawasaki Kasei Chemicals, Ltd.                        121,000      186,141  
 * #   Kishu Paper Co., Ltd.                                 267,000      342,886  
       Koatsu Gas Kogyo Co., Ltd.                            194,000    1,091,366  
       Kohsoku Corp.                                          64,500      335,859  
       Konishi Co., Ltd.                                      69,300      620,220  
   #   Kumiai Chemical Industry Co., Ltd.                    296,000      867,672  
       Kureha Corp.                                          644,500    3,616,766  
       Kurimoto, Ltd.                                        458,000      437,866  
   #   Kurosaki Harima Corp.                                 293,000      639,567  
       Lintec Corp.                                           89,700    1,588,339  
   #   MEC Co., Ltd.                                          62,800      517,999  
       Mesco, Inc.                                            30,000      175,939  
       Mitsubishi Paper Mills, Ltd.                        1,124,000    2,676,889  
   #   Mitsubishi Steel Manufacturing Co., Ltd.              537,000    1,999,164  
       Mitsui Mining Co., Ltd.                               793,500    2,705,440  
       Mory Industries, Inc.                                 154,000      444,299  


                                        

                                       23

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#   Nakabayashi Co., Ltd.                     185,000     318,808  
#   Nakayama Steel Works, Ltd.                454,000   1,456,723  
    Neturen Co., Ltd.                         158,000   1,168,807  
    Nichia Steel Works, Ltd.                  179,900     613,851  
#   Nichireki Co., Ltd.                        96,000     259,629  
    Nifco, Inc.                               167,100   3,601,714  
    Nihon Kagaku Sangyo Co., Ltd.              81,000     512,850  
    Nihon Matai Co., Ltd.                     111,000     192,599  
#   Nihon Nohyaku Co., Ltd.                   224,000   2,032,096  
    Nihon Parkerizing Co., Ltd.               235,000   3,278,359  
    Nihon Seiko Co., Ltd.                      18,000      39,630  
*   Nippon Carbide Industries Co., Inc.       201,000     268,424  
    Nippon Chemical Industrial Co., Ltd.      288,000     731,637  
#   Nippon Chutetsukan K.K.                    97,000     123,455  
#   Nippon Chuzo K.K.                         136,000     158,225  
#   Nippon Concrete Industries Co., Ltd.      157,000     203,975  
    Nippon Denko Co., Ltd.                    382,000   3,287,492  
    Nippon Fine Chemical Co., Ltd.             93,000     514,324  
    Nippon Foil Manufacturing Co., Ltd.        51,000      73,113  
#   Nippon Kasei Chemical Co., Ltd.           364,000     563,169  
    Nippon Kayaku Co., Ltd.                   254,000   1,616,377  
#   Nippon Kinzoku Co., Ltd.                  227,000     478,095  
#   Nippon Koshuha Steel Co., Ltd.            449,000     650,377  
    Nippon Light Metal Co., Ltd.            1,145,000   1,727,557  
#   Nippon Metal Industry Co., Ltd.           608,000   1,439,014  
#   Nippon Paint Co., Ltd.                    779,200   2,800,407  
    Nippon Pigment Co., Ltd.                   43,000     119,014  
#   Nippon Pillar Packing Co., Ltd.            85,000     419,792  
    Nippon Shokubai Co., Ltd.                 257,000   1,648,177  
    Nippon Soda Co., Ltd.                     539,000   2,623,855  
    Nippon Valqua Industries, Ltd.            321,000     902,541  
#   Nippon Yakin Kogyo Co., Ltd.              406,000   1,998,946  
    Nittetsu Mining Co., Ltd.                 288,000   1,054,379  
    Nitto FC Co., Ltd.                         72,000     337,063  
#   NOF Corp.                                 719,000   2,991,419  
    Okamoto Industries, Inc.                  412,000   1,516,176  
#   Okura Industrial Co., Ltd.                216,000     488,396  
    Osaka Organic Chemical Industry, Ltd.      67,700     328,830  
    Osaka Steel Co., Ltd.                     151,000   1,928,287  
    Riken Technos Corp.                       202,000     454,052  
#   S Science Co., Ltd.                     3,265,000     238,072  
#   S.T. Chemical Co., Ltd.                   102,700   1,222,538  
    Sakai Chemical Industry Co., Ltd.         364,000   1,109,068  
    Sakata INX Corp.                          219,000     667,296  
    Sanyo Chemical Industries, Ltd.           410,000   2,006,624  
#   Sanyo Special Steel Co., Ltd.             568,300   3,122,332  
    Sekisui Plastics Co., Ltd.                352,000     973,138  
    Shikoku Chemicals Corp.                   207,000     844,061  
    Shinagawa Refractories Co., Ltd.          229,000     495,857  
#   Shin-Etsu Polymer Co., Ltd.               286,100   1,522,959  
    Shinko Wire Co., Ltd.                     189,000     384,132  
    Showa Tansan Co., Ltd.                     13,000      42,509  
    Somar Corp.                                43,000     108,128  
#   Stella Chemifa Corp.                       43,200     843,808  
    Sumitomo Bakelite Co., Ltd.                94,000     484,950  
#   Sumitomo Light Metal Industries, Ltd.   1,282,000   1,373,221  


                                        

                                       24

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  #   Sumitomo Osaka Cement Co., Ltd.                      636,000       1,068,079  
      Sumitomo Pipe & Tube Co., Ltd.                       111,000         759,619  
      Sumitomo Seika Chemicals Co., Ltd.                   244,000         838,825  
  #   Taisei Lamick Co., Ltd.                               18,900         432,902  
      Takasago International Corp.                         348,000       1,936,440  
  #   Takiron Co., Ltd.                                    249,000         694,181  
      Tayca Corp.                                          154,000         445,314  
      Tenma Corp.                                          111,000       1,677,151  
      The Nippon Synthetic Chemical Industry Co., Ltd.     342,000       1,330,693  
      The Pack Corp.                                        67,900         841,490  
* #   Titan Kogyo K.K.                                      59,000          92,676  
      Toagosei Co., Ltd.                                   921,000       3,473,643  
  #   Toda Kogyo Corp.                                     162,000         549,274  
      Tohcello Co., Ltd.                                   119,000         521,627  
  #   Toho Titanium Co., Ltd.                               67,100         992,750  
  #   Toho Zinc Co., Ltd.                                  436,000       1,451,419  
  #   Tokushu Tokai Holdings Co., Ltd.                     518,580       1,020,188  
      Tokyo Ohka Kogyo Co., Ltd.                           114,900       2,082,646  
  #   Tokyo Rope Manufacturing Co., Ltd.                   572,000       1,594,775  
      Tokyo Tekko Co., Ltd.                                162,000         455,727  
  #   Tomoegawa Paper Co., Ltd.                            125,000         301,602  
      Tomoku Co., Ltd.                                     302,000         634,654  
      Topy Industries, Ltd.                                768,000       2,177,685  
      Toyo Ink Manufacturing Co., Ltd.                     555,000       1,818,469  
      Toyo Kohan Co., Ltd.                                 335,000       1,722,099  
  #   TYK Corp.                                            145,000         295,078  
  #   Ube Material Industries, Ltd.                        282,000         585,305  
  #   Wood One Co., Ltd.                                   173,000         932,717  
      Yamamura Glass Co., Ltd.                             369,000         665,347  
      Yodogawa Steel Works, Ltd.                           641,500       3,276,572  
      Yuki Gosei Kogyo Co., Ltd.                            60,000         212,288  
  #   Yushiro Chemical Industry Co., Ltd.                   53,000         863,088  
      Zeon Corp.                                           516,000       2,074,544  
Total Materials                                                        152,072,813  
                                                                                    
Utilities — (0.6%)                                                                  
      Hokkaido Gas Co., Ltd.                               215,000         528,541  
      Hokuriku Gas Co., Ltd.                                99,000         278,010  
  #   Okinawa Electric Power Co., Ltd.                      61,171       3,250,425  
  #   Saibu Gas Co., Ltd.                                1,331,000       3,107,935  
      Shizuoka Gas Co., Ltd.                               265,000         888,354  
  #   Tokai Corp.                                          265,000       1,484,345  
Total Utilities                                                          9,537,610  
                                                                                    
TOTAL COMMON STOCKS                                                  1,288,072,347  
                                                                                    
RIGHTS/WARRANTS — (0.0%)                                                            
  *   Showa Rubber Co., Ltd. Warrants 01/01/10              16,520               —  


                                        

                                       25

--------------------------------------------------------------------------------

                                        

                                                                 Face                          
                                                                Amount           Value †       
                                                                 (000)                         
TEMPORARY CASH INVESTMENTS — (0.0%)                                                            
       Repurchase Agreement, PNC Capital Markets, Inc.                                        
       1.94%, 09/02/08 (Collateralized by $225,000 FNMA                                       
       6.00%, 05/01/38, valued at $226,893) to be                                             
       repurchased at $221,048                               $         221            221,000  
                                                                                               
SECURITIES LENDING COLLATERAL — (25.4%)                                                        
 § @   DFA Short Term Investment Fund LP                           397,883        397,882,625  
                                                                                               
   @   Repurchase Agreement, Barclays Capital, Inc. 2.14%,                                    
       09/02/08 (Collateralized by $21,211,000 FHLMC                                          
       3.050%, 04/28/10, valued at $21,351,871) to                                            
       repurchased at $20,937,508                                   20,933         20,932,531  
                                                                                               
   @   Repurchase Agreement, Deutsche Bank Securities                                         
       2.14%, 09/02/08 (Collateralized by $31,723,803 FNMA                                    
       5.500%, 04/01/35 & 5.500%, 11/01/35, valued at                                         
       $20,412,652) to be repurchased at $20,017,163                20,012         20,012,404  
                                                                                               
TOTAL SECURITIES LENDING COLLATERAL                                               438,827,560  
                                                                                               
TOTAL INVESTMENTS - (100.0%)                                                                   
(Cost $2,059,948,567) ##                                                       $1,727,120,907  


                                        

                                       26

--------------------------------------------------------------------------------

 

                     THE ASIA PACIFIC SMALL COMPANY SERIES

                            SCHEDULE OF INVESTMENTS

                                August 31, 2008

                                  (Unaudited)

 

                                         Shares      Value ††    
                                                                 
AUSTRALIA — (46.7%)                                              
COMMON STOCKS — (46.7%)                                          
  #   ABB Grain, Ltd.                     779,957   $ 5,496,498  
  #   ABC Learning Centres, Ltd.          575,970       267,076  
  *   Adacel Technologies, Ltd.           113,249        25,772  
  *   Adamus Resources, Ltd.              532,491       136,720  
      ADCorp Australia, Ltd.              229,411        91,566  
      Adelaide Brighton, Ltd.           1,665,138     5,146,669  
  *   Aditya Birla Minerals, Ltd.         235,119       326,702  
# *   Admiralty Resources NL            3,945,183       435,158  
      Adtrans Group, Ltd.                  32,808       101,094  
  #   AED Oil, Ltd.                       417,895       701,972  
      Aevum, Ltd.                         414,598       633,426  
  *   Agenix, Ltd.                        707,478        10,631  
# *   Aim Resources, Ltd.               4,675,484        95,002  
  *   Ainsworth Game Technology, Ltd.     393,653        38,566  
  #   AJ Lucas Group, Ltd.                228,401     1,210,167  
# *   Alchemia, Ltd.                      565,630       140,152  
  #   Alesco Corp., Ltd.                  443,148     2,612,855  
  *   Alkane Resources, Ltd.              938,520       264,641  
# *   Alliance Resources, Ltd.          1,027,029       786,111  
  *   Allied Medical, Ltd.                 11,746             —  
  *   Altium, Ltd.                        162,100        69,472  
  *   Amadeus Energy, Ltd.                819,137       339,665  
      Amalgamated Holdings, Ltd.          382,671     1,541,677  
      Amcom Telecommunications, Ltd.    1,135,725       190,173  
      Ammtec, Ltd.                          8,165        32,001  
# *   Andean Resources, Ltd.            1,541,141     1,685,318  
  *   Anglo Australian Resources NL     1,799,335        53,646  
      Ansell, Ltd.                        722,409     7,608,085  
  *   Antares Energy, Ltd.                627,352        42,722  
# *   Anzon Australia, Ltd.             1,313,500     1,085,029  
      AP Eagers, Ltd.                      35,308       301,659  
  #   APA Group                         1,904,626     5,919,922  
  #   APN News & Media, Ltd.            1,130,739     3,200,372  
  *   Aquila Resources, Ltd.              416,780     5,777,214  
# *   Arana Therapeutics, Ltd.            917,911       878,396  
      ARB Corporation, Ltd.               311,295     1,039,356  
# *   ARC Energy, Ltd.                  1,469,549     1,627,855  
      Ariadne Australia, Ltd.             291,838        84,662  
# *   Arrow Energy NL                   2,791,043     8,276,405  
      ASG Group, Ltd.                     170,464       133,627  
      Aspen Group                          14,198        16,087  


                                        

                                       1

--------------------------------------------------------------------------------

                                        

  #   Astron, Ltd.                                    81,870     125,324  
      Atlas Group Holding, Ltd.                      469,001     277,245  
  *   Atlas Iron, Ltd.                                13,839      26,800  
      Atlas South Sea Pearl, Ltd.                     82,585      26,932  
  *   Aurora Oil and Gas, Ltd.                       589,181     158,049  
      Ausdrill, Ltd.                                 680,074   1,483,229  
      Ausmelt, Ltd.                                   44,782      40,305  
  #   Austal, Ltd.                                   679,358   1,385,667  
# *   Austar United Communications, Ltd.           4,263,702   4,295,978  
      Austereo Group, Ltd.                         1,439,384   2,160,372  
  *   Austpac Resources NL                         2,595,102     177,707  
  #   Australian Agricultural Co., Ltd.              964,393   2,594,496  
  #   Australian Infrastructure Fund               2,125,826   4,805,169  
# *   Australian Pharmaceutical Industries, Ltd.   1,073,604     632,875  
  #   Australian Wealth Management, Ltd.             447,949     549,848  
# *   Australian Worldwide Exploration, Ltd.       2,316,376   6,916,047  
  *   Auto Group, Ltd.                                41,309           —  
  *   Autodom, Ltd.                                  173,083       7,444  
      Automotive Holdings Group, Ltd.                171,487     280,035  
# *   Autron Corporation, Ltd.                       989,247      25,484  
# *   Avexa, Ltd.                                    167,778      41,686  
  *   Aviva Corp., Ltd.                               26,838      14,936  
      AVJennings, Ltd.                               935,484     504,277  
  *   Avoca Resources, Ltd.                           19,813      31,384  
  #   AWB, Ltd.                                    1,677,100   4,199,465  
  #   Babcock & Brown Communities, Ltd.            3,404,555   1,307,558  
  #   Babcock & Brown Infrastructure Group           313,918     145,520  
  #   Babcock & Brown Wind Partners                2,627,064   3,006,433  
  *   Ballarat South Gold, Ltd.                        1,996      15,467  
  #   Bank of Queensland, Ltd.                       646,450   8,738,626  
  #   Beach Petroleum, Ltd.                        4,928,687   4,830,623  
  *   Beaconsfield Gold NL                            89,078      10,903  
  #   Becton Property Group                          759,888     486,741  
# *   Bendigo Mining, Ltd.                         2,274,874     340,422  
      Beyond International, Ltd.                      61,256      29,982  
# *   Biota Holdings, Ltd.                           940,673     603,473  
  #   Blackmores, Ltd.                                69,580   1,089,314  
  *   Blina Diamonds, Ltd.                            15,073         720  
  #   Boom Logistics, Ltd.                           859,852     877,403  
  *   Boulder Steel, Ltd.                          1,667,795     228,364  
  *   BQT Solutions, Ltd.                             94,271      14,369  
  #   Bradken, Ltd.                                  531,126   4,977,284  
  *   Breakaway Resporces, Ltd.                      755,280     175,436  
  #   Brickworks, Ltd.                               112,846   1,149,774  
  *   Brockman Resources, Ltd.                       276,703     404,963  
      BSA, Ltd.                                      502,867      89,212  
  #   Cabcharge Australia, Ltd.                      530,107   3,131,096  
  *   Calliden Group, Ltd.                           633,393     216,914  
      Campbell Brothers, Ltd.                        239,070   7,178,567  
  *   Cape Range Wireless, Ltd.                        7,260           —  
# *   Capral Aluminium, Ltd.                         743,515      95,001  
  *   Carbon Energy, Ltd.                            232,348      96,977  


                                        

                                       2

--------------------------------------------------------------------------------

                                        

  #   Cardno, Ltd.                                  235,175   1,101,995  
# *   Carnarvon Petroleum, Ltd.                   2,969,176   1,110,072  
  *   Carnegie Corp., Ltd.                          935,760     131,663  
  *   Carpentaria Exploration, Ltd.                 102,749       7,219  
  #   Cash Converters International, Ltd.         1,086,054     277,746  
# *   CBH Resources, Ltd. (6727905)               3,882,884     346,769  
  *   CBH Resources, Ltd. (CH4215813)               408,220           —  
  *   CDS Technologies, Ltd.                         13,276      10,830  
      CEC Group, Ltd.                               181,927      27,943  
      Cedar Woods Properties, Ltd.                   92,313     174,036  
# *   Cellestis, Ltd.                               395,742     751,753  
  *   Cellnet Group, Ltd.                           216,083      55,536  
  *   Centamin Egypt, Ltd.                        2,123,131   1,983,638  
  #   Centennial Coal Co., Ltd.                   1,514,337   7,375,914  
  *   Ceramic Fuel Cells, Ltd.                    1,152,980     438,577  
  #   Challenger Financial Services Group, Ltd.     725,067   1,675,281  
      Chandler Macleod, Ltd.                         88,156      18,917  
  #   Charter Hall Group                          1,590,378   1,203,051  
  *   Chemeq, Ltd.                                  166,742      11,884  
# *   ChemGenex Pharmaceuticals, Ltd. (6273635)     576,457     490,484  
  *   ChemGenex Pharmaceuticals, Ltd. (B298LK5)     115,291       2,475  
  *   Circadian Technologies, Ltd.                   64,591      48,401  
  *   Citadel Resource Group, Ltd.                  719,372     178,358  
# *   Citigold Corp., Ltd.                        3,315,377     497,631  
  #   City Pacific, Ltd.                            664,428     139,124  
# *   Cityview Corp., Ltd.                        1,346,533     105,839  
  #   Clarius Group, Ltd.                           260,229     323,369  
# *   Clinuvel Pharmaceuticals, Ltd.              1,128,482     289,437  
  #   Clive Peeters, Ltd.                            23,012       8,467  
# *   Clough, Ltd.                                2,540,571   1,728,095  
  *   Clover Corp., Ltd.                            269,348      46,263  
  *   CMI, Ltd.                                      81,810      59,530  
  *   CO2 Group, Ltd.                               844,559     252,894  
# *   Coal of Africa, Ltd.                        1,014,048   2,643,227  
  #   Codan, Ltd.                                   142,942      89,298  
  #   Coffey International, Ltd.                    555,260   1,148,313  
  #   Collection House, Ltd.                        385,044     201,614  
  *   Comdek, Ltd.                                   63,000      12,121  
# *   Commander Communications, Ltd.                929,503      65,450  
# *   Compass Resources, Ltd.                       523,704     282,349  
  *   ComTel Corp., Ltd.                            120,514       5,762  
  *   Coneco, Ltd.                                   27,850       1,435  
  #   ConnectEast Group                           6,563,560   4,586,648  
# *   Conquest Mining, Ltd.                       1,039,761     256,942  
      Consolidated Rutile, Ltd.                   1,468,122     452,776  
  *   Coplex Resources NL                           231,400           —  
# *   Copperco, Ltd.                              1,811,991     615,855  
  #   Corporate Express Australia, Ltd.             611,408   2,612,179  
  #   Count Financial, Ltd.                       1,080,892   1,503,090  
  *   Coventry Group, Ltd.                          136,019     232,852  
      CP1, Ltd.                                     471,500      28,341  
      CPI Group, Ltd.                                68,585      16,196  


                                        

                                       3

--------------------------------------------------------------------------------

                                        

  #   Crane Group, Ltd.                      318,130   3,770,707  
  #   Credit Corp. Group, Ltd.                50,711      33,643  
  *   Crescent Gold, Ltd.                  1,124,856      95,965  
# *   CuDeco, Ltd.                           419,252     967,941  
# *   Cue Energy Resources, Ltd.             452,354      83,376  
# *   Customers, Ltd.                      5,543,725     463,362  
  *   Cytopia, Ltd.                          187,724      32,871  
      Danks Holdings, Ltd.                    10,425      55,815  
      Data#3, Ltd.                             5,572      29,765  
  #   David Jones, Ltd.                    2,494,873   9,241,672  
# *   Deep Yellow, Ltd.                    5,006,288   1,066,705  
      Devine, Ltd.                           824,548     614,027  
# *   Dioro Exploration NL                   178,367      62,550  
      DKN Financial Group, Ltd.                  927         622  
  #   Dominion Mining, Ltd.                  448,179     959,933  
      Downer EDI, Ltd.                     1,575,768   9,969,134  
# *   Dragon Mining, Ltd.                  1,665,100      98,628  
  *   Drillsearch Energy, Ltd.             4,394,338     165,768  
  #   DUET Group                           2,870,207   7,323,421  
# *   Eastern Star Gas, Ltd.               2,538,208   1,243,082  
  *   Ellex Medical Lasers, Ltd.             162,000      40,103  
  *   Emeco Holdings, Ltd.                   805,114     687,217  
  #   Energy Developments, Ltd.              630,531   1,588,496  
# *   Energy World Corp., Ltd.             4,711,617   3,834,162  
  *   engin, Ltd.                          1,214,591      23,834  
  *   Entellect Solutions, Ltd.            2,132,080      18,250  
  #   Envestra, Ltd.                       3,833,124   2,291,035  
      Envirozel, Ltd.                        611,875     120,534  
# *   ERG, Ltd.                            3,388,940      60,945  
  *   Espreon, Ltd.                          178,000      85,977  
      Euroz, Ltd.                              4,019      10,139  
# *   Extract Resources, Ltd.                 10,600       8,677  
# *   Falcon Minerals, Ltd.                  595,369      83,867  
  #   Fantastic Holdings, Ltd.               363,333     779,606  
      Felix Resources, Ltd.                  534,961   9,169,793  
  *   Ferraus, Ltd.                          134,381     105,333  
  *   Fig Tree Developments, Ltd.             20,365         436  
  *   First Australian Resources, Ltd.     1,464,976     100,264  
  #   FKP Property Group                   1,187,789   4,547,979  
  #   Fleetwood Corp., Ltd.                  219,800   1,727,283  
  *   FlexiGroup, Ltd.                        50,000      21,682  
  #   Flight Centre, Ltd.                    275,063   4,478,024  
  *   Flinders Mines, Ltd.                 3,074,654     313,636  
      Forest Enterprises Australia, Ltd.   1,513,062     688,460  
  *   Forge Group, Ltd.                      170,828      75,917  
      Funtastic, Ltd.                        678,385     240,905  
  *   Fusion Resources, Ltd.                   7,950       2,786  
  #   Futuris Corp., Ltd.                  3,075,420   3,626,470  
  *   Gale Pacific, Ltd.                     125,851      24,138  
      Gazal Corp., Ltd.                      104,542     164,996  
  *   Genetic Technologies, Ltd.             830,383      63,722  
# *   Geodynamics, Ltd.                      902,956     982,731  


                                        

                                       4

--------------------------------------------------------------------------------

                                        

# *   Gindalbie Metals, Ltd.                           1,817,381   1,400,827  
# *   Giralia Resources NL                               625,030     694,609  
  *   Glengarry Resources, Ltd.                          768,955      30,316  
  *   Globe International, Ltd.                           88,283      40,037  
  *   Golden Gate Petroleum, Ltd.                        797,686     269,868  
  *   Goldsearch, Ltd.                                   423,975      14,425  
      Goodman Fielder, Ltd.                            4,592,874   5,791,235  
      Gowing Bros., Ltd.                                  79,311     220,507  
# *   Graincorp, Ltd. Series A                           248,113   1,863,123  
# *   Grange Resources, Ltd.                             451,979     742,092  
      GRD, Ltd.                                          868,801     552,245  
  #   Great Southern, Ltd.                             1,553,042     782,328  
  #   GUD Holdings, Ltd.                                 333,245   1,903,316  
  #   Gunns, Ltd.                                      2,048,449   2,946,333  
  #   GWA International, Ltd.                          1,012,287   2,458,655  
      Hastie Group, Ltd.                                 509,307   1,196,000  
  *   Havilah Resources NL                               280,570     211,148  
  #   Healthscope, Ltd.                                1,043,521   3,750,913  
# *   Heron Resources, Ltd.                              673,833     193,476  
  *   HFA Holdings, Ltd.                                 915,491     899,910  
      HGL, Ltd.                                          108,137     154,454  
# *   Highlands Pacific, Ltd.                          2,651,500     191,936  
  #   Hills Industries, Ltd.                             740,995   2,692,193  
  *   Horizon Oil, Ltd.                                3,227,717     880,296  
  #   Housewares International, Ltd.                     598,466     663,539  
  *   Hutchison Telecommunications (Australia), Ltd.   1,839,781     173,408  
  *   Hyro, Ltd.                                       1,500,097      50,970  
# *   IBA Health Group, Ltd.                           2,111,065   1,268,285  
  *   ICSGlobal, Ltd.                                    249,107      44,964  
      IDT Australia, Ltd.                                 82,205     151,478  
  #   iiNet, Ltd.                                        500,339     754,279  
  #   Iluka Resources, Ltd.                            1,969,862   7,509,485  
  #   Imdex, Ltd.                                        812,684   1,349,266  
  *   Imugene, Ltd.                                      474,785      26,434  
  *   IMX Resources Mining NL                            606,340     244,122  
      Incitec Pivot, Ltd.                                 32,667   4,444,124  
  #   Independence Group NL                              518,674   1,456,189  
  *   Independent Practitioner Network, Ltd.             457,414     104,712  
  *   Indo Mines, Ltd.                                   108,199      75,954  
# *   Indophil Resources NL                            1,738,038   1,802,313  
      Industrea, Ltd.                                  2,956,173   1,370,933  
  #   Infomedia, Ltd.                                  1,458,074     467,284  
# *   Innamincka Petroleum, Ltd.                         799,831     353,846  
      Integrated Research, Ltd.                          261,513      80,370  
  *   Intellect Holdings, Ltd.                            48,362       1,495  
  *   Intermoco, Ltd.                                  2,462,900      30,886  
# *   Intrepid Mines, Ltd.                               622,389     122,689  
  #   Invocare, Ltd.                                     489,256   2,205,663  
  #   IOOF Holdings, Ltd.                                412,114   1,912,077  
  #   Iress Market Technology, Ltd.                      467,059   2,554,203  
  *   Ixla, Ltd.                                          89,921       1,776  
# *   Jabiru Metals, Ltd.                              1,854,281     600,654  


                                        

                                       5

--------------------------------------------------------------------------------

 

      James Hardie Industries NL                        911,328   3,613,033  
  #   JB Hi-Fi, Ltd.                                    456,439   5,379,467  
  *   Jumbuck Entertainment, Ltd.                         7,000       3,429  
  #   Just Group, Ltd.                                  729,200   2,136,401  
      K&S Corp., Ltd.                                   153,380     406,424  
  #   Kagara, Ltd.                                      831,710   2,212,935  
  *   Karoon Gas Australia, Ltd.                        256,790     910,668  
  *   Keycorp, Ltd.                                     215,466      58,140  
# *   Kings Minerals NL                               1,634,196     306,809  
# *   Kingsgate Consolidated, Ltd.                      396,444   1,679,429  
      Kresta Holdings, Ltd.                             507,262      97,916  
  *   Lafayette Mining, Ltd.                          1,963,956      25,297  
  *   Lednium, Ltd.                                     195,019      13,397  
      Lemarne Corp., Ltd.                                30,790     102,967  
  *   Leyshon Resources, Ltd.                           103,357      37,720  
  *   Life Therapeutics, Ltd.                           393,649      23,547  
# *   Linc Energy, Ltd.                                 228,906     682,410  
  *   Lodestar Minerals, Ltd.                            96,976       4,314  
  *   Longreach Group, Ltd.                              92,007       1,692  
      Lycopodium, Ltd.                                   45,700     176,078  
# *   Lynas Corp., Ltd.                               2,473,985   2,418,906  
  *   MAC Services Group, Ltd.                            1,743       3,802  
      MacArthur Coal, Ltd.                              612,476   6,997,076  
  #   MacMahon Holdings, Ltd.                         2,663,027   3,984,248  
  *   Macmin Silver, Ltd.                             2,087,514     111,004  
  #   Macquarie Communications Infrastructure Group   1,651,050   4,213,814  
  #   Macquarie Media Group, Ltd.                       803,130   2,435,965  
  *   Macquarie Telecom Group, Ltd.                      35,019      24,173  
  *   Mantra Resources, Ltd.                             10,296      19,668  
# *   Marion Energy, Ltd.                             1,207,208     892,950  
      Maryborough Sugar Factory, Ltd.                     2,560       4,973  
      MaxiTRANS Industries, Ltd.                        851,039     421,937  
# *   McGuigan Simeon Wines, Ltd.                       528,112     435,510  
      McMillan Shakespeare, Ltd                         194,418     466,820  
      McPherson’s, Ltd.                                 303,441     784,977  
  #   Melbourne IT, Ltd.                                381,170     994,449  
  *   Mercury Mobility, Ltd.                            232,538      25,574  
  #   Mermaid Marine Australia, Ltd.                    671,857     953,266  
  *   Metabolic Pharmaceuticals, Ltd.                 1,162,738      37,379  
# *   Metal Storm, Ltd.                               2,280,892      78,190  
  *   Mikoh Corp., Ltd.                                 611,820      93,423  
      Minara Resources, Ltd.                            196,626     259,704  
  #   Mincor Resources NL                               966,747   1,558,881  
# *   Mineral Deposits, Ltd.                          1,817,366     802,466  
  #   Mitchell Communications Group, Ltd.             1,143,213     674,556  
# *   Molopo Australia, Ltd.                            738,668     853,628  
  #   Monadelphous Group, Ltd.                          375,483   5,258,530  
  *   Morning Star Gold NL                               25,000       4,180  
      Mortgage Choice, Ltd.                             722,000     649,087  
  *   Mosaic Oil NL                                   2,081,400     212,957  
  *   Mount Gibson Iron, Ltd.                         3,182,221   6,513,141  
# *   Murchison Metals, Ltd.                          1,501,421   2,834,809  


                                        

                                       6

--------------------------------------------------------------------------------

                                        

# *   Murchison United NL                      850,000       58,170  
      MYOB, Ltd.                             1,540,742    1,475,819  
      Namoi Cotton Cooperative, Ltd.           196,490       50,568  
  *   Natasa Mining, Ltd.                        3,500        4,791  
      National Can Industries, Ltd.             97,017      118,298  
  #   Navitas, Ltd.                          1,153,075    2,353,714  
      New Hope Corp., Ltd.                   3,186,443   12,701,723  
# *   Nexus Energy, Ltd.                     2,385,311    2,817,899  
# *   Nido Petroleum, Ltd.                   3,907,766      999,297  
  *   North Australian Diamonds, Ltd.        3,646,488       24,947  
# *   Novogen, Ltd.                            391,594      522,116  
  *   NuSep, Ltd.                               17,442          974  
# *   Nylex, Ltd.                              173,801       72,248  
  #   Oakton, Ltd.                             386,916    1,296,258  
# *   Orbital Corp., Ltd.                    2,045,099      138,261  
  #   OrotonGroup, Ltd.                         79,968      226,109  
  *   Otto Energy, Ltd.                        100,000       29,775  
      Over Fifty Group, Ltd.                    38,567       29,451  
      Pacific Brands, Ltd.                   2,599,981    4,936,097  
# *   Pan Pacific Petroleum NL               2,798,114      573,632  
# *   PanAust, Ltd.                          7,257,513    5,365,003  
      Panoramic Resources, Ltd.                921,464    1,717,687  
      Paperlinx, Ltd.                        2,219,854    3,690,310  
  *   Payce Consolidated, Ltd.                  29,670       49,681  
  #   Peet, Ltd.                               995,660    2,093,162  
  #   Perilya, Ltd.                            921,802      414,516  
  #   Perpetual Trustees Australia, Ltd.       128,880    4,921,871  
  *   Petra Diamonds, Ltd.                      65,193      211,049  
# *   Petsec Energy, Ltd.                      702,084      241,727  
# *   Pharmaxis, Ltd.                          708,984    1,336,601  
  #   Photon Group, Ltd.                       270,932      682,699  
  *   Planet Gas, Ltd.                         735,200       67,019  
  *   Plantcorp NL                               4,329            —  
  #   Platinum Asset Mangement, Ltd.           304,534      934,233  
# *   Platinum Australia, Ltd.                 866,470    1,853,341  
  #   PMP, Ltd.                              1,967,166    2,095,558  
  *   Polartechnics, Ltd.                      475,707       36,213  
# *   Port Bouvard, Ltd.                       726,582      279,403  
  *   Portman, Ltd.                            605,902    9,672,970  
# *   Poseidon Nickel, Ltd.                    670,939      401,048  
      PPK Group, Ltd.                           99,965       60,053  
  *   Prana Biotechnology, Ltd.                195,424       70,481  
      Primary Health Care, Ltd.                924,538    4,144,399  
  #   Prime Media Group, Ltd.                  421,327      859,856  
# *   Progen Pharmaceuticals, Ltd.             190,880      107,952  
      Programmed Maintenance Service, Ltd.     434,830    1,452,852  
# *   pSivida Corp.                             68,086      187,090  
  *   Pure Energy Resources, Ltd.               76,000      107,108  
# *   Queensland Gas Co., Ltd.                  37,004      133,886  
  #   Ramsay Health Care, Ltd.                 505,098    4,664,924  
      Raptis Group, Ltd.                        12,000        8,244  
  #   RCR Tomlinson, Ltd.                      594,680      604,418  


                                        

                                       7

--------------------------------------------------------------------------------

                                        

  #   Reckon, Ltd.                           141,500     140,757  
  #   Redflex Holdings, Ltd.                 370,671     830,146  
  #   Reece Australia, Ltd.                  244,737   4,194,069  
  *   Repcol, Ltd.                           554,848       9,767  
  *   Resolute Mining, Ltd.                1,474,032   2,015,082  
  #   Reverse Corp., Ltd.                    236,664     378,912  
  #   Ridley Corp., Ltd.                   1,264,597   1,222,403  
  *   Riversdale Mining, Ltd.                789,786   6,998,133  
# *   Roc Oil Co., Ltd.                    1,623,511   1,650,170  
      Rock Building Society, Ltd.             25,912      67,735  
      Ross Human Directions, Ltd.            143,511      51,534  
  #   Ruralco Holdings, Ltd.                  73,456     280,053  
  #   SAI Global, Ltd.                       678,767   1,773,703  
  *   Salinas Energy, Ltd.                 1,097,665     280,997  
  #   Salmat, Ltd.                           781,249   2,265,965  
# *   Samson Oil & Gas, Ltd.                 677,329      60,907  
      Schaffer Corp., Ltd.                    33,766     206,264  
      SDI, Ltd.                              374,482      64,381  
  *   Sedgman, Ltd.                            1,600       3,691  
  #   Seek, Ltd.                             819,598   3,674,419  
  #   Select Harvests, Ltd.                  185,462     897,774  
# *   Senetas Corp., Ltd.                  1,846,596      72,834  
  #   Servcorp, Ltd.                         307,250     967,741  
  #   Service Stream, Ltd.                   901,843     761,919  
      Seven Network, Ltd.                    452,752   3,029,516  
  *   Shield Mining, Ltd.                     72,292       7,518  
  #   Sigma Pharmaceuticals, Ltd.          3,412,180   3,787,711  
# *   Silex System, Ltd.                     590,711   3,619,399  
# *   Sino Gold Mining, Ltd.                 991,696   3,615,996  
  *   Sino Strategic International, Ltd.     130,864     137,448  
  *   Sipa Resources International NL        250,000      10,686  
  *   Sirtex Medical, Ltd.                   216,786     445,647  
  #   Skilled Group, Ltd.                    419,400   1,036,890  
  #   SMS Management & Technology, Ltd.      292,441     964,599  
      SP Telemedia, Ltd.                   1,669,898     228,264  
      Spark Infrastructure Group           3,122,426   4,136,326  
  #   Specialty Fashion Group, Ltd.          807,082     527,839  
# *   Sphere Investments, Ltd. (6162272)     560,515     773,624  
  *   Sphere Investments, Ltd. (B1X1CW2)       7,555           —  
  #   Spotless Group, Ltd.                   953,547   2,960,866  
  *   ST Synergy, Ltd.                        33,420       3,444  
# *   St. Barbara, Ltd.                    3,302,450     605,340  
      Staging Connections Group, Ltd.        307,232      49,948  
  *   Starpharma Holdings, Ltd.              497,958     104,596  
      Straits Resources, Ltd.                897,132   4,233,016  
  *   Strategic Minerals Corp. NL            358,100      15,451  
  *   Strike Resources, Ltd.                 278,159     328,755  
      Structural Systems, Ltd.               177,188     365,444  
  *   Stuart Petroleum, Ltd.                 201,731     212,615  
  #   STW Communications Group, Ltd.       1,308,098   1,541,969  
# *   Sundance Resources, Ltd.             5,993,157   1,288,781  
  #   Sunland Group, Ltd.                    871,391   1,784,371  


                                        

                                       8

--------------------------------------------------------------------------------

                                        

# *   Sunshine Gas, Ltd.                            557,947     1,351,336  
      Super Cheap Auto Group, Ltd.                  734,658     1,663,872  
  *   Symex Holdings, Ltd.                          355,611       141,823  
      Talent2 International, Ltd.                   474,826       646,506  
# *   Tamaya Resources, Ltd.                      5,021,812       132,931  
  *   Tandou, Ltd.                                   10,230         1,416  
  *   Tap Oil, Ltd.                                 721,216       705,318  
  #   Tassal Group, Ltd.                            572,660     1,148,965  
      Technology One, Ltd.                        1,346,767     1,038,111  
  #   Ten Network Holdings, Ltd.                  2,220,272     3,201,325  
      TFS Corp., Ltd.                               871,061     1,028,015  
  #   Thakral Holdings Group                      2,562,142     1,648,813  
  #   The Reject Shop, Ltd.                         114,737     1,060,098  
  *   Thor Mining P.L.C.                             32,186         1,913  
  #   Timbercorp, Ltd.                            1,623,429     1,177,610  
  *   TNG, Ltd.                                     721,686        43,812  
  *   Tooth & Co., Ltd.                             153,000         4,598  
      Tower Australia Group, Ltd.                 1,413,642     3,591,717  
# *   Tox Free Solutions, Ltd.                      303,107       455,980  
# *   Transfield Services Infrastructure Fund       319,209       391,746  
  #   Transfield Services, Ltd.                     502,277     3,610,573  
# *   Transpacific Industries Group, Ltd.            15,596        93,441  
  #   Troy Resources NL                             269,313       369,612  
      Trust Co., Ltd.                                80,260       528,069  
  *   Unilife Medical Solutions, Ltd.               544,389       134,899  
  *   Union Resources, Ltd.                       1,290,000        13,239  
  #   United Group, Ltd.                            468,000     5,492,979  
# *   United Minerals Corp. NL                      371,631       612,200  
  #   UXC, Ltd.                                     898,950       797,892  
# *   Ventracor, Ltd.                             1,048,486       183,741  
  *   View Resources, Ltd.                        1,283,369       143,264  
      Village Roadshow, Ltd.                        609,437       888,435  
  #   Virgin Blue Holdings, Ltd.                    905,222       443,969  
      Vision Group Holdings, Ltd.                   312,902       476,997  
      Washington H. Soul Pattinson & Co., Ltd.       27,451       263,574  
  #   Watpac, Ltd.                                  483,685     1,110,720  
  #   Wattyl, Ltd.                                  423,342       488,525  
      Webjet, Ltd.                                  373,212       448,258  
      Webster, Ltd.                                 150,895       136,633  
  *   Wedgetail Mining, Ltd.                        904,454        53,325  
  *   Wentworth Holdings, Ltd.                      316,666        21,054  
  #   West Australian Newspapers Holdings, Ltd.     606,715     4,713,347  
# *   Western Areas NL                              694,336     5,509,950  
  *   White Energy Co., Ltd.                         48,200       156,396  
  #   Whitehaven Coal, Ltd.                         298,905       926,154  
  #   WHK Group, Ltd.                             1,156,359     1,083,073  
  #   Wide Bay Australia, Ltd.                       54,518       434,057  
      Willmott Forests, Ltd.                         51,672        62,368  
# *   Windimurra Vanadium, Ltd.                     537,429     1,103,667  
  *   Zinc Co. Australia, Ltd.                       60,894         4,396  
TOTAL COMMON STOCKS                                           550,215,424  


                                        

                                       9

--------------------------------------------------------------------------------

                                        

PREFERRED STOCKS — (0.0%)                                                          
      Village Roadshow, Ltd. Series A                       334,417       408,983  
                                                                                   
                                                                                   
RIGHTS/WARRANTS — (0.0%)                                                           
  *   Ballarat South Gold, Ltd. Warrants                      6,458             —  
  *   Beach Petroleum, Ltd. Rights 06/30/10                 492,868        41,899  
  *   Chrome Corp., Ltd. Options 09/30/09                     1,600             6  
  *   Havilah Resources NL Warrants 04/30/10                  2,017           520  
  *   Macmin Silver, Ltd. Rights 09/19/08                   695,837             —  
TOTAL RIGHTS/WARRANTS                                                      42,425  
                                                                                   
TOTAL — AUSTRALIA                                                     550,666,832  
                                                                                   
HONG KONG — (12.3%)                                                                
COMMON STOCKS — (12.3%)                                                            
      ABC Communications (Holdings), Ltd.                   930,000        46,945  
      Aeon Credit Service (Asia) Co., Ltd.                  740,000       749,552  
      Aeon Stores (Hong Kong) Co., Ltd.                     234,000       448,335  
      Alco Holdings, Ltd.                                 1,468,000       301,123  
      Allan International Holdings                          592,000        80,472  
  #   Allied Group, Ltd.                                    683,200     2,285,896  
  #   Allied Properties, Ltd.                            10,756,000     1,754,425  
  *   Amax Entertainment Holdings, Ltd.                   1,650,000        71,268  
  *   Applied Development Holdings, Ltd.                  1,243,000        48,751  
  *   APT Satellite Holdings, Ltd.                          850,000        86,980  
      Arts Optical International Holdings                   730,000       252,306  
      Asia Commercial Holdings, Ltd.                        131,040        11,664  
  #   Asia Financial Holdings, Ltd.                       2,600,908       902,304  
      Asia Satellite Telecommunications Holdings, Ltd.      982,500     1,392,829  
      Asia Standard Hotel                                26,194,087       186,885  
      Asia Standard International Group, Ltd.            24,409,324       298,432  
  *   Asia TeleMedia, Ltd.                                2,832,000        36,286  
  *   Asian Union New Media Group, Ltd.                  33,420,000       339,766  
  *   Associated International Hotels                       974,000     2,131,271  
      Automated Systems Holdings, Ltd.                      340,000        86,854  
  *   Bal Holdings, Ltd.                                         48             1  
  #   Beijing Development (Hong Kong), Ltd.                 166,000        28,396  
  *   Bossini International Holdings, Ltd.                3,871,500       152,354  
  *   Burwill Holdings, Ltd.                              7,148,960       152,756  
      C C Land Holdings, Ltd.                               660,000       278,329  
  #   Cafe de Coral Holdings, Ltd.                        1,440,000     2,768,132  
  *   Capital Estate, Ltd.                               28,570,000       157,120  
      Capital Strategic Investment, Ltd.                 13,882,500       373,290  
      CASH Financial Services Group, Ltd.                   119,565        28,543  
  *   Casil Energine International (Holdings), Ltd.       1,988,000       103,989  
# *   CATIC International Holdings, Ltd.                  5,332,000       108,881  
      CCT Telecom Holdings, Ltd.                          1,724,970       180,945  
      Celestial Asia Securities Holdings, Ltd.              343,810        77,076  
  #   Century City International Holdings, Ltd           43,326,000       407,848  
      Champion Technology Holdings, Ltd.                  4,466,629       466,359  


                                        

                                       10

--------------------------------------------------------------------------------

 

      Chen Hsong Holdings, Ltd.                           1,576,000     476,645  
      Cheuk Nang (Holdings), Ltd.                           497,472     193,818  
      Chevalier International Holdings, Ltd.                733,482     655,705  
      Chevalier Pacific Holdings, Ltd.                      355,250      57,658  
  *   China Best Group Holding, Ltd.                     22,749,000     240,124  
  *   China Digicontent Co., Ltd.                         2,710,000       3,472  
  *   China Electronics Corp. Holdings Co., Ltd.            890,250     169,841  
# *   China Grand Forestry Green Resources Group, Ltd.   19,854,000   1,587,918  
      China Hong Kong Photo Products Holdings, Ltd.       1,909,000     134,151  
  *   China Infrastructure Investment, Ltd.               6,280,000     184,253  
  *   China Investments Holdings, Ltd.                      210,000       6,160  
      China Metal International Holdings, Ltd.            2,844,000     581,798  
  *   China Motion Telecom International, Ltd.            5,080,000     122,203  
      China Motor Bus Co.                                    74,000     551,852  
# *   China Oil & Gas Group, Ltd.                         1,573,200      51,963  
  *   China Properties Investment Holdings, Ltd.            880,000      36,471  
# *   China Renji Medical Group, Ltd.                    26,682,000     200,395  
      China Resources Logic, Ltd.                           708,600     313,046  
  *   China Rise International Holdings, Ltd.             2,988,000      50,919  
  *   China Sciences Conservational Power, Ltd.             210,400      19,410  
  *   China Sci-Tech Holdings, Ltd.                      28,646,600     272,581  
# *   China Seven Star Shopping, Ltd.                    12,410,000     121,849  
# *   China Solar Energy Holdings, Ltd.                  11,802,905     202,797  
  *   China Star Entertainment, Ltd.                         66,043       1,982  
  *   China Strategic Holdings, Ltd.                      1,670,000      97,772  
      China Timber Resources Group, Ltd.                 17,751,680     160,081  
  *   China WindPower Group, Ltd.                           183,400       9,692  
  #   China Wireless Technologies, Ltd.                   5,152,000     271,221  
  *   China Yunnan Tin Minerals Group                     6,088,000     193,956  
  *   China Zenith Chemical Group, Ltd.                   8,037,500     454,718  
      China Zirconium, Ltd.                                 116,400      97,417  
# *   Chinese People Holdings Co., Ltd.                   8,960,000     130,464  
      Chinney Investments, Ltd.                           1,144,000     117,756  
  #   Chong Hing Bank, Ltd.                               1,137,000   2,758,811  
      Chow Sang Sang Holdings                             1,477,680   1,297,025  
  #   Chu Kong Shipping Development                       1,584,000     208,209  
      Chuang’s China Investments, Ltd.                    3,082,500     140,296  
      Chuang’s Consortium International, Ltd.             3,558,930     289,045  
  #   Chun Wo Development Holdings, Ltd.                  2,002,926     176,022  
      Chung Tai Printing Holdings, Ltd.                  14,710,000     224,821  
      City e-Solutions, Ltd.                                186,000      22,841  
      City Telecom, Ltd.                                  1,470,497     327,642  
# *   Clear Media, Ltd.                                   1,135,000     776,143  
  *   Climax International Co., Ltd.                         40,700         746  
  *   CNT Group, Ltd.                                     3,182,693      71,227  
  #   Coastal Greenland, Ltd.                             6,588,000     354,419  
      COL Capital, Ltd.                                     553,240     232,937  
  *   Compass Pacific Holdings, Ltd.                      1,248,000      24,545  
      Computer & Technologies Holdings, Ltd.                432,000      52,218  
      Continental Holdings, Ltd.                             98,825      15,144  
      Convenience Retail Asia, Ltd.                          64,000      19,096  
  #   Coslight Technology International Group, Ltd.       1,134,000     564,696  


                                        

                                       11

--------------------------------------------------------------------------------

                                        

      Cosmos Machinery Enterprises, Ltd.                  1,616,400      91,649  
  #   Cross-Harbour Holdings, Ltd.                          591,520     502,827  
  *   CSMC Technologies Corp.                            12,754,800     306,884  
  *   Culturecom Holdings, Ltd.                          12,299,000     112,879  
      Daisho Microline Holdings, Ltd.                     1,236,000      78,988  
  *   Dan Form Holdings Co., Ltd.                         2,866,600     204,721  
  #   Daphne International Holdings, Ltd.                 4,538,000   2,279,288  
      Dawnrays Pharmaceutical (Holdings), Ltd.            1,832,000     178,082  
  #   Dickson Concepts International, Ltd.                  850,630     497,968  
  *   Dragon Hill Wuling Automobile                         112,500      15,422  
  #   DVN Holdings, Ltd.                                  2,398,516     136,940  
  *   Dynamic Global Holdings, Ltd.                       3,522,000      25,986  
      Dynamic Holdings, Ltd.                                384,000      83,364  
      Eagle Nice (International) Holdings, Ltd.             238,000      46,494  
      EcoGreen Fine Chemical Group                        1,112,000     238,665  
  *   Eforce Holdings, Ltd.                               3,480,000     118,161  
# *   EganaGoldpfeil Holdings, Ltd.                       4,121,757     348,558  
  *   E-Kong Group, Ltd.                                    620,000      46,083  
      Emperor Capital Group, Ltd.                           749,672      39,609  
      Emperor Entertainment Hotel, Ltd.                   2,410,000     329,237  
      Emperor International Holdings, Ltd.                4,076,360   1,137,276  
  *   Enerchina Holdings, Ltd.                            3,068,800      82,391  
  *   ENM Holdings, Ltd.                                  3,816,000     108,028  
      EPI (Holdings), Ltd.                                  157,951       2,880  
# *   eSun Holdings, Ltd.                                 3,251,400     608,813  
# *   Extrawell Pharmaceutical Holdings, Ltd.             5,700,000   1,438,767  
  *   Ezcom Holdings, Ltd.                                   72,576         446  
  #   Fairwood Holdings, Ltd.                               316,600     328,646  
  #   Far East Consortium                                 4,398,517     958,487  
  *   Far East Pharmaceutical Technology Co., Ltd.          321,600       4,121  
  #   First Natural Foods Holdings, Ltd.                  2,365,000     208,098  
      First Sign International Holdings, Ltd.             1,424,000     331,576  
      Fong’s Industries Co., Ltd.                         1,470,000     481,953  
  *   Foundation Group, Ltd.                              5,675,000     171,045  
      Fountain Set Holdings, Ltd.                         2,150,000     213,117  
      Four Seas Food Investment Holdings, Ltd.              202,184      29,492  
      Four Seas Mercantile Holdings, Ltd.                   592,000     219,973  
  *   Frasers Property China, Ltd.                       16,477,000     370,729  
  *   Freeman Corp., Ltd.                                 8,033,094     196,441  
  #   Fubon Bank Hong Kong, Ltd.                          2,338,000   1,271,721  
  *   Fujian Holdings, Ltd.                                 237,800      13,254  
      Fujikon Industrial Holdings, Ltd.                     912,000     168,685  
# *   Fushan International Energy Group, Ltd.             4,954,000   2,686,189  
  *   Genesis Energy Holdings, Ltd.                       8,175,000     210,410  
      Get Nice Holdings, Ltd.                             5,970,000     331,209  
      Giordano International, Ltd.                        4,322,000   1,568,154  
  *   Global Green Tech Group, Ltd.                       2,807,600     313,932  
  *   Global Tech (Holdings), Ltd.                        5,612,000      21,394  
  #   Glorious Sun Enterprises, Ltd.                      2,756,000   1,293,289  
      Gold Peak Industries (Holdings), Ltd.               1,059,250     124,953  
  #   Golden Resorts Group, Ltd.                         16,420,000     428,616  
      Golden Resources Development International, Ltd.    2,848,500     138,350  


                                        

                                       12

--------------------------------------------------------------------------------

                                        

  *   Gold-Face Holdings, Ltd.                        2,003,600           —  
      Goldlion Holdings, Ltd.                         2,343,000     358,336  
      Golik Holdings, Ltd.                              930,500      30,941  
  *   GR Vietnam Holdings, Ltd.                         620,000       8,501  
  #   Grande Holdings, Ltd.                             882,000     175,999  
  *   Group Sense (International), Ltd.               2,448,000      64,877  
      Guangnan Holdings, Ltd.                         1,779,600     249,321  
  #   Hang Fung Gold Technology, Ltd.                 1,980,482     496,412  
      Hang Ten Group Holdings, Ltd.                   1,705,850     154,618  
      Hanny Holdings, Ltd.                            7,440,000      68,978  
  *   Hans Energy Co., Ltd.                           7,556,000     258,733  
      Harbour Centre Development, Ltd.                  593,000     856,644  
# *   Heng Tai Consumables Group, Ltd.                3,173,000     367,928  
# *   Hi Sun Technology (China), Ltd.                 4,959,000     895,129  
      High Fashion International, Ltd.                  268,000      81,077  
  #   HKR International, Ltd.                         3,715,936   1,765,444  
      Hon Kwok Land Investment Co., Ltd               1,132,535     331,572  
  *   Hong Fok Land, Ltd.                             1,210,000       1,550  
      Hong Kong Catering Management, Ltd.               542,796      48,597  
  #   Hong Kong Ferry (Holdings) Co., Ltd.              809,300     720,415  
  *   Hong Kong Parkview Group, Ltd.                  1,130,000     143,627  
      Hongkong Chinese, Ltd.                          4,482,000     502,592  
      Hop Fung Group Holdings, Ltd.                     888,000     129,219  
  *   Hop Hing Group Holdings, Ltd.                     660,265      38,504  
      Hsin Chong Construction Group, Ltd.             1,569,658     254,233  
      Hua Han Bio-Pharmaceutical Holdings, Ltd.       1,888,000     364,627  
      Huafeng Group Holdings, Ltd.                    1,571,220      53,054  
# *   Hualing Holdings, Ltd.                         12,708,000     323,693  
      Hung Hing Printing Group, Ltd.                  1,603,275     471,773  
      Hutchison Harbour Ring, Ltd.                   16,156,000   1,340,561  
  *   HyComm Wireless, Ltd.                             941,800       6,034  
  #   I.T., Ltd.                                      2,734,000     418,208  
      I-Cable Communications, Ltd.                    4,440,000     501,249  
  *   IDT International, Ltd.                         6,240,183     222,001  
  *   Imagi International Holdings, Ltd.              3,037,000     253,156  
  #   Integrated Distribution Services Group, Ltd.      775,000   1,112,627  
  *   Interchina Holdings Co., Ltd.                  32,405,000     148,351  
      IPE Group, Ltd.                                 1,740,000     220,070  
      ITC Corp., Ltd.                                 5,774,585     136,788  
  *   ITC Properties Group, Ltd.                     21,843,680     139,408  
      Jinhui Holdings Co., Ltd.                       1,348,000     724,516  
      Jiuzhou Development Co., Ltd.                   2,632,000     128,621  
      Joyce Boutique Holdings, Ltd.                   1,530,000      35,226  
  *   Junefield Department Store Group, Ltd.            256,000       5,595  
  #   K Wah International Holdings, Ltd.              5,799,405   1,772,787  
  *   Kai Yuan Holdings, Ltd.                         3,640,000      78,115  
      Kantone Holdings, Ltd.                          8,206,742     556,302  
  *   Karl Thomson Holdings, Ltd.                     1,238,000     218,592  
      Karrie International Holdings, Ltd.             1,433,600     102,881  
      Keck Seng Investments                             924,600     437,540  
      Kee Shing Holdings                                886,000      93,986  
      Kin Yat Holdings, Ltd.                            586,000     115,684  


                                        

                                       13

--------------------------------------------------------------------------------

                                        

      King Fook Holdings                                 1,000,000      84,218  
  *   King Pacific International Holdings, Ltd.          1,404,200      21,950  
  #   Kingdee International Software Group Co., Ltd.     2,552,000     585,252  
      Kingmaker Footwear Holdings, Ltd.                  1,476,955     136,173  
  *   Kong Sun Holdings, Ltd.                            2,198,000       7,041  
  *   KPI Co., Ltd.                                        396,000      21,878  
  *   KTP Holdings, Ltd.                                   560,400      45,033  
      Kwoon Chung Bus Holdings, Ltd.                       556,000      64,050  
      Lai Fung Holdings, Ltd.                           18,003,000     336,638  
  *   Lai Sun Development Co., Ltd.                     36,841,000     455,979  
  *   Lai Sun Garment International, Ltd.                4,010,000     163,255  
      Lam Soon (Hong Kong), Ltd.                           302,310     157,090  
      Le Saunda Holdings, Ltd.                           1,424,000     163,728  
  *   Leading Spirit High-Tech Holdings Co., Ltd.        2,310,000       2,960  
      Lee & Man Holdings, Ltd.                           1,780,000     262,277  
      Lee & Man Paper Manufacturing, Ltd.                   90,800      90,672  
      Lerado Group Holding Co.                           1,602,000     103,847  
      Lippo, Ltd.                                        1,464,700     710,207  
  #   Liu Chong Hing Investment, Ltd.                      829,200     832,724  
      Luen Thai Holdings, Ltd.                           1,345,000     136,173  
      Luk Fook Holdings (International), Ltd.            1,192,000     622,157  
  #   Luks Industrial Group, Ltd.                        1,301,555     586,919  
  *   Lung Cheong International Holdings, Ltd.           2,426,000      48,830  
  #   Lung Kee (Bermuda) Holdings, Ltd.                  1,631,875     788,782  
  *   M Dream Inworld, Ltd.                                    305          13  
# *   Macau Success, Ltd.                                5,560,000     639,926  
      MACRO-LINK International Holdings, Ltd.            1,036,250      86,436  
      Magnificent Estates, Ltd.                         12,744,000     224,644  
      Mainland Headwear Holdings, Ltd.                     765,600      86,073  
      Man Yue International Holdings, Ltd.               1,084,000     171,359  
      Matrix Holdings, Ltd.                              1,067,414      76,436  
  *   Matsunichi Communications Holdings, Ltd.           1,914,000   1,373,344  
  *   Mei Ah Entertainment Group, Ltd.                   1,732,000      85,907  
      Melbourne Enterprises                                 45,500     397,924  
  #   Melco International Development, Ltd.              1,483,000     877,929  
      Midas International Holdings, Ltd.                 1,161,000      27,349  
  #   Midland Holdings, Ltd.                             2,510,000   1,272,005  
  #   Min Xin Holdings                                   1,137,200     395,198  
# *   Minmetals Holdings, Ltd.                           1,780,000     188,010  
  #   Miramar Hotel & Investment                           788,000     978,838  
  *   Moulin Global Eyecare Holdings                       699,274           —  
      Nam Tai Electronic & Electrical Products, Ltd.     1,920,000     286,250  
  *   Nan Hai Corp., Ltd.                              129,572,743     923,973  
      Nanyang Holdings                                     137,500     275,415  
      National Electronics Holdings                      2,156,000     129,496  
      Natural Beauty Bio-Technology, Ltd.                4,980,000   1,059,943  
  *   New Century Group Hong Kong, Ltd.                 13,351,464     209,307  
      New Island Printing Holdings                         176,000       8,908  
  *   New Smart Energy Group, Ltd.                         432,800       4,972  
      New World China Land, Ltd.                            96,400      35,407  
  *   New World Mobile Holdings, Ltd.                       22,140      17,275  
  #   Next Media, Ltd.                                   6,236,000   1,918,966  


                                        

                                       14

--------------------------------------------------------------------------------

                                        

      Ngai Lik Industrial Holdings, Ltd.            1,730,000      53,684  
      Norstar Founders Group, Ltd.                  3,256,000     623,361  
  *   Orient Power Holdings, Ltd.                     804,000      19,367  
      Oriental Press Group                          6,256,000     805,696  
      Oriental Watch Holdings                         610,000     182,782  
  #   Pacific Andes International Holdings, Ltd.    4,743,970     640,954  
      Pacific Century Premium Developments, Ltd.    6,470,000   2,302,180  
      Paliburg Holdings, Ltd.                      23,488,300     449,163  
  *   Paradise Entertainment, Ltd.                  3,969,000      30,458  
      Paul Y Engineering Group, Ltd.                   67,212       7,760  
  #   Peace Mark Holdings, Ltd.                     2,738,022     526,232  
  *   Pearl Oriental Innovation, Ltd.                 775,200      33,390  
      Pegasus International Holdings, Ltd.            226,000      40,586  
      Pico Far East Holdings, Ltd.                  3,864,000     445,853  
  #   Playmates Holdings, Ltd.                        504,700     201,357  
# *   Playmates Toys, Ltd.                            504,700      10,751  
  *   PME Group, Ltd.                                 950,000      27,725  
      Pokfulam Development Co., Ltd.                  234,000     179,953  
  *   Pokphand (C.P.) Co., Ltd.                     5,970,000     217,936  
  *   Polyard Petroleum International               1,220,000      11,724  
      Ports Design, Ltd.                              867,500   2,168,397  
  *   Premium Land, Ltd.                              990,000      44,835  
      Proview International Holdings, Ltd.          1,584,884      96,708  
  #   Public Financial Holdings, Ltd.               2,462,000   1,355,921  
  #   PYI Corp., Ltd.                               4,482,477     435,256  
  *   Pyxis Group, Ltd.                             1,936,000      53,333  
  #   Qin Jia Yuan Media Services Co., Ltd.         1,414,392     697,838  
  *   QPL International Holdings, Ltd.              2,009,000      53,569  
      Quality Healthcare Asia, Ltd.                   478,995     152,986  
      Raymond Industrial, Ltd.                        675,400      72,395  
  #   Regal Hotels International Holdings, Ltd.    28,918,000   1,107,131  
      Rivera Holdings, Ltd.                         5,710,000     177,876  
  *   Riverhill Holdings, Ltd.                          4,072          56  
  #   Road King Infrastructure, Ltd.                1,718,000   1,333,876  
      Roadshow Holdings, Ltd.                       1,456,000     117,289  
      Royale Furniture Holdings, Ltd.                 550,000      51,066  
      S.A.S. Dragon Holdings, Ltd.                  1,456,000     143,699  
  #   Sa Sa International Holdings, Ltd.            2,768,000   1,085,109  
      Safety Godown Co., Ltd.                         408,000     250,503  
      Samson Paper Holdings, Ltd.                     666,000      60,126  
  *   San Miguel Brewery                              612,800     115,888  
  *   Sanyuan Group, Ltd.                             415,000       7,976  
      Sea Holdings, Ltd.                            1,138,000     672,361  
  *   SEEC Media Group, Ltd.                        2,550,000     129,237  
  *   Shanghai Allied Cement, Ltd.                  1,402,080     117,526  
  *   Shanghai Zenghai Property, Ltd.              14,702,000     294,578  
  #   Shaw Brothers Hong Kong, Ltd.                   756,000   1,645,799  
  #   Shell Electric Manufacturing Co., Ltd.        1,254,172     391,775  
  #   Shenyin Wanguo, Ltd.                          1,212,500     540,255  
      Shougang Concord Century Holdings, Ltd.       3,916,000     239,103  
  *   Shougang Concord Grand (Group), Ltd.          2,451,000     158,996  
  *   Shougang Concord Technology Holdings, Ltd.    2,639,809     229,080  


                                        

                                       15

--------------------------------------------------------------------------------

 

  #   Shui On Construction & Materials, Ltd.          720,000   1,294,633  
  *   Shun Ho Resources Holdings, Ltd.                483,000     103,830  
  *   Shun Ho Technology Holdings, Ltd.             1,037,452     103,223  
      Shun Tak Holdings, Ltd.                         220,000     128,045  
      Silver Grant International                    5,033,000     728,710  
  *   Sincere Co., Ltd.                               505,500      22,649  
      Sing Tao News Corp., Ltd.                     1,842,000     202,930  
  #   Singamas Container Holdings, Ltd.             1,838,000     443,063  
      Sino Biopharmaceutical, Ltd.                  5,880,000   1,064,072  
  *   Sino Gas Group, Ltd.                          3,277,600      68,814  
  *   Sinocan Holdings, Ltd.                          350,000       1,749  
  *   Sino-i Technology, Ltd.                      51,703,158     434,692  
# *   Skyfame Realty Holdings, Ltd.                 2,737,750     256,111  
      Smartone Telecommunications Holdings, Ltd.    1,313,000   1,222,993  
  *   SMI Publishing Group, Ltd.                      250,511         481  
  #   Solomon Systech International, Ltd.           9,330,000     287,934  
      South China (China), Ltd.                     5,620,000     271,213  
      South China Financial Holdings, Ltd.          4,872,000      44,492  
      Southeast Asia Properties & Finance, Ltd.       263,538      64,157  
      Starlight International Holdings              1,903,792      99,472  
      Stelux Holdings International, Ltd.           1,307,702     112,568  
  *   Styland Holdings, Ltd.                          101,808         287  
      Sun Hing Vision Group Holdings, Ltd.            358,000     156,297  
      Sun Hung Kai & Co., Ltd.                         27,000      20,404  
      Sunway International Holdings, Ltd.             866,000      30,184  
      SW Kingsway Capitol Holdings, Ltd.            4,650,000      74,149  
      Symphony Holdings, Ltd.                       4,305,000     192,163  
# *   Tack Fat Group                                4,448,000     227,968  
  #   Tai Cheung Holdings                           1,837,000     842,410  
  #   Tai Fook Securities Group, Ltd.               1,924,494     557,017  
      Tai Sang Land Development, Ltd.                 576,984     269,485  
# *   Tak Shun Technology Group, Ltd.              24,016,000     306,754  
      Tak Sing Alliance Holdings                    2,909,865     389,859  
      Tan Chong International, Ltd.                 1,212,000     291,717  
  *   TCC International Holdings, Ltd.              1,691,789     609,027  
  *   Technology Venture Holdings, Ltd.               586,000       7,060  
  #   Techtronic Industries Co., Ltd.               4,788,500   4,457,926  
  *   Termbray Industries International             2,304,900     326,866  
      Tern Properties                                  61,200      30,370  
      Texhong Textile Group, Ltd.                   1,930,000     190,309  
      Texwinca Holdings, Ltd.                       3,428,000   2,939,608  
  *   The Sun’s Group, Ltd.                            25,506       6,706  
  #   Tian An China Investments                     3,975,430   2,232,048  
      Tian Teck Land                                1,098,000     997,686  
  *   Titan Petrochemicals Group, Ltd.             11,740,000     307,491  
  *   Tomorrow International Holdings, Ltd.         1,296,420      29,602  
      Tongda Group Holdings, Ltd.                   8,210,000     159,021  
  #   Top Form International, Ltd.                  2,760,000     207,796  
  *   Topsearch International (Holdings), Ltd.        234,000       7,624  
      Tristate Holdings, Ltd.                         188,000      42,155  
      Truly International Holdings                  1,096,000     940,286  
      Tungtex (Holdings) Co., Ltd.                    910,000     186,612  


                                        

                                       16

--------------------------------------------------------------------------------

                                        

       Tysan Holdings, Ltd.                                1,040,773        89,004  
   *   United Power Investment, Ltd.                       5,696,000       140,439  
       Upbest Group, Ltd.                                  3,280,000       247,513  
   *   U-Right International Holdings, Ltd.                4,746,000        54,121  
       USI Holdings, Ltd.                                  1,452,999       479,564  
       Van Shung Chong Holdings, Ltd.                        359,335        27,569  
       Varitronix International, Ltd.                      1,093,293       547,711  
       Vedan International (Holdings), Ltd.                  640,000        49,051  
       Veeko International Holdings, Ltd.                  1,532,981        33,963  
   #   Victory City International Holdings                 1,839,457       435,864  
   *   Vital Biotech Holdings, Ltd.                          470,000        12,920  
   #   Vitasoy International Holdings, Ltd.                2,805,000     1,331,947  
 # *   VODone, Ltd.                                        3,374,000       100,956  
 # *   Vongroup, Ltd.                                     10,865,000       248,132  
   *   VST Holdings, Ltd.                                  2,202,000       291,007  
       Vtech Holdings, Ltd.                                  495,000     2,953,557  
       Wah Ha Realty Co., Ltd.                               278,600        79,247  
       Wai Kee Holdings, Ltd.                              2,057,738       388,680  
       Wang On Group, Ltd.                                12,416,460        89,962  
   *   Warderly International Holdings, Ltd.                 520,000        31,981  
   *   Willie International Holdings, Ltd.                 3,438,080        66,045  
   *   Winfoong International, Ltd.                        1,210,000        21,705  
       Wing On Co. International, Ltd.                       802,000     1,404,787  
       Wing Shan International                               896,000        41,587  
       Wong’s International (Holdings), Ltd.                 737,641        53,873  
       Wong’s Kong King International (Holdings), Ltd.       120,000        14,855  
   *   Wonson International Holdings, Ltd.                21,880,000       183,356  
       Xinyi Glass Holding Co., Ltd.                         120,000        63,167  
   *   Xpress Group, Ltd.                                  3,464,000        50,739  
       Y. T. Realty Group, Ltd.                              965,000       149,383  
       Yangtzekiang Garment, Ltd.                            607,500       135,816  
   *   Yaohan International Holdings                         974,000             —  
       Yau Lee Holdings, Ltd.                                534,000        53,036  
       YGM Trading                                           284,000       193,741  
       Yip’s Chemical Holdings, Ltd.                       1,176,000       672,206  
       Yugang International, Ltd.                         23,540,000       212,339  
   *   Yunnan Enterprises Holdings, Ltd.                     240,000        14,792  
TOTAL COMMON STOCKS                                                    145,199,190  
                                                                                    
RIGHTS/WARRANTS — (0.0%)                                                            
   *   Allied Properties, Ltd. Warrants 06/06/09             204,120        45,769  
   *   Asia Standard Hotel Rights 08/27/10                 5,122,000             —  
       Asia Standard International Group, Ltd. Rights                              
   *   09/06/08                                            3,470,259             —  
       Asia Standard International Group, Ltd. Warrants                            
   *   08/27/08                                            4,881,864             —  
   *   Cheuk Nang (Holdings), Ltd. Warrants 02/11/09          48,828         2,503  
   *   COL Capital, Ltd. Warrants 07/27/09                   110,648         2,835  
   *   Hop Hing Group Holdings, Ltd. Warrants 04/30/09       132,053         3,469  
   *   ITC Properties Group, Ltd. Warrants 02/04/10        4,368,736         5,598  
   *   Lippo, Ltd. Rights 07/04/11                           122,470        15,692  
       Man Yue International Holdings, Ltd. Warrants                               
   *   06/05/09                                              108,400           694  
       Matsunichi Communications Holdings, Ltd.                                    
   *   Warrants 08/28/10                                     191,400             —  


                                        

                                       17

--------------------------------------------------------------------------------

                                        

   *   South China (China), Ltd. Rights 09/06/10           1,124,000        28,804  
       South China Financial Holdings, Ltd. Warrants                               
   *   10/22/08                                              974,400         1,248  
       Topsearch International (Holdings), Ltd. Rights                             
   *   10/31/08                                               23,400            30  
       Willie International Holdings, Ltd. Rights                                  
   *   04/14/09                                            8,595,200             —  
TOTAL RIGHTS/WARRANTS                                                      106,642  
                                                                                    
TOTAL — HONG KONG                                                      145,305,832  
                                                                                    
MALAYSIA — (0.0%)                                                                   
COMMON STOCKS — (0.0%)                                                              
   *   Autoways Holdings Berhad                               10,000         3,801  
   *   Promet Berhad                                       1,143,000             —  
   *   Rekapacific Berhad                                    473,000             —  
TOTAL — MALAYSIA                                                             3,801  
                                                                                    
NEW ZEALAND — (3.8%)                                                                
COMMON STOCKS — (3.8%)                                                              
       Abano Healthcare Group, Ltd.                           31,300       109,610  
   *   AFFCO Holdings, Ltd.                                1,806,887       729,899  
       Air New Zealand, Ltd.                                 490,044       393,101  
       Cavalier Corp., Ltd.                                  283,674       555,561  
       CDL Investments New Zealand, Ltd.                     395,965        80,051  
       Colonial Motor Co., Ltd.                              126,795       279,065  
       Ebos Group, Ltd.                                      153,656       531,221  
   #   Fisher & Paykel Appliances Holdings, Ltd.           1,517,018     1,862,797  
   #   Fisher & Paykel Healthcare Corp.                    2,557,184     5,622,913  
   #   Freightways, Ltd.                                     643,710     1,511,675  
   #   Hallenstein Glassons Holdings, Ltd.                   241,638       488,702  
       Hellaby Holdings, Ltd.                                232,243       308,818  
       Horizon Energy Distribution, Ltd.                      40,420        98,609  
       Infratil, Ltd.                                      1,778,499     2,854,401  
   #   Mainfreight, Ltd.                                     473,039     2,333,628  
       Methven, Ltd.                                          10,000        11,620  
       Michael Hill International, Ltd.                    1,567,460       918,158  
       Millennium & Copthorne Hotels New Zealand, Ltd.     1,387,344       544,309  
       New Zealand Exchange, Ltd.                             57,282       274,872  
       New Zealand Oil & Gas, Ltd.                         1,265,327     1,396,167  
       New Zealand Refining Co., Ltd.                        499,493     2,584,063  
       Northland Port Corp. (New Zealand), Ltd.              219,997       445,420  
       Nuplex Industries, Ltd.                               444,628     1,986,242  
       Port of Tauranga, Ltd.                                579,252     2,842,606  
   *   ProvencoCadmus, Ltd.                                  524,201        65,894  
   #   Pumpkin Patch, Ltd.                                   606,913       674,061  
       Pyne Gould Guinness, Ltd.                           1,042,177     1,997,590  
       Restaurant Brand New Zealand, Ltd.                    369,175       185,892  
   *   Richina Pacific, Ltd.                                 309,644        86,174  
   *   Rubicon, Ltd.                                         995,760       660,470  
   #   Ryman Healthcare, Ltd.                              2,404,707     2,884,109  
       Sanford, Ltd.                                         418,047     1,728,953  
       Scott Technology, Ltd.                                 60,843        57,149  
   *   Seafresh Fisheries, Ltd.                               80,520         1,578  


                                        

                                       18

--------------------------------------------------------------------------------

                                        

  *   Skellerup Holdings, Ltd.                        156,486       98,357  
      Sky City Entertainment Group, Ltd.            1,915,616    4,819,294  
      South Port New Zealand, Ltd.                     30,744       45,837  
  #   Steel & Tube Holdings, Ltd.                     404,138      983,759  
      Taylors Group, Ltd.                              29,646       27,809  
  *   Tenon, Ltd.                                      19,132        9,367  
  #   Tourism Holdings, Ltd.                          402,452      424,969  
      Tower, Ltd.                                     530,655      818,923  
      Trustpower, Ltd.                                  3,300       18,238  
  *   Vector, Ltd.                                     35,000       56,698  
      Warehouse Group, Ltd.                           357,417      833,136  
TOTAL — NEW ZEALAND                                             45,241,765  
                                                                            
SINGAPORE — (8.9%)                                                          
COMMON STOCKS — (8.9%)                                                      
  *   Addvalue Technologies, Ltd.                   1,043,000       47,397  
      Advanced Holdings, Ltd.                         691,000       89,101  
  *   AEM Holdings, Ltd.                              558,000       19,841  
      Allgreen Properties, Ltd.                     3,244,000    1,825,171  
      Apollo Enterprises, Ltd.                        302,000      314,968  
      Aqua-Terra Supply Co., Ltd.                     641,000       89,435  
      Armstrong Industrial Corp., Ltd.              1,460,000      215,549  
  *   ASA Group Holdings, Ltd.                        586,000       20,589  
  #   Asia Environment Holdings, Ltd.                 528,792       96,088  
  *   Asia Food and Properties, Ltd.                5,248,000    1,801,292  
  *   Asia-Pacific Strategic Investments, Ltd.          1,410          253  
      ASL Marine Holdings, Ltd.                       497,000      362,486  
      A-Sonic Aerospace, Ltd.                         626,996       32,931  
      Aussino Group, Ltd.                             967,000      158,821  
  *   Ban Joo - Company, Ltd.                         928,000       19,333  
      Best World International, Ltd.                  307,500       87,799  
      Beyonics Technology, Ltd.                     1,945,800      238,669  
      Bonvests Holdings, Ltd.                         990,000      635,950  
      BRC Asia, Ltd.                                  794,000       59,566  
      Broadway Industrial Group, Ltd.                 461,000      252,016  
      Brothers (Holdings), Ltd.                       504,628       63,551  
  #   Bukit Sembawang Estates, Ltd.                   348,003    1,686,288  
      CEI Contract Manufacturing, Ltd.                432,000       41,931  
      Cerebos Pacific, Ltd.                           539,000    1,411,869  
  #   CH Offshore, Ltd.                             1,568,200      624,721  
# *   Chartered Semiconductor Manufacturing, Ltd.   5,049,000    1,718,125  
      Chemical Industries (Far East), Ltd.            105,910       50,823  
  *   China Auto Corp., Ltd.                        3,040,700      106,372  
      China Dairy Group, Ltd.                       1,502,000      162,818  
  #   China Merchants Holdings Pacific, Ltd.          809,000      404,821  
  #   Chip Eng Seng Corp., Ltd.                     1,775,000      303,194  
      Chosen Holdings, Ltd.                         1,284,000      122,757  
  #   Chuan Hup Holdings, Ltd.                      4,385,000    1,065,465  
  *   Chuan Soon Huat Industrial Group, Ltd.          614,000        6,499  
  *   Compact Metal Industries, Ltd.                  643,000        9,031  
  #   Creative Technology Co., Ltd.                   262,900    1,129,875  


                                        

                                       19

--------------------------------------------------------------------------------

                                        

      CSC Holdings, Ltd.                            1,829,000     204,715  
  #   CSE Global, Ltd.                              1,893,000   1,287,775  
  #   CWT, Ltd.                                     1,384,500     653,569  
  #   Delong Holdings, Ltd.                         1,287,000   2,739,764  
  *   Digiland International, Ltd.                 12,033,000      42,432  
  *   Eagle Brand Holdings, Ltd.                    5,158,000     166,018  
  *   Ellipsiz, Ltd.                                  453,000      28,487  
      Eng Wah Organization, Ltd.                      265,000     178,599  
      Engro Corp., Ltd.                               354,000     216,508  
  *   Enviro-Hub Holdings, Ltd.                     1,445,666     208,496  
      Eu Yan Sang International, Ltd.                 182,000      61,457  
  *   Eucon Holdings, Ltd.                            755,000      27,848  
  #   Ezra Holdings Pte, Ltd.                       1,462,000   1,850,995  
  #   F.J. Benjamin Holdings, Ltd.                  1,095,000     215,850  
  #   Federal International (2000), Ltd.              657,000     172,403  
  *   Fischer Tech, Ltd.                              244,000      16,358  
      Food Empire Holdings, Ltd.                    1,094,400     419,855  
  #   Freight Links Express Holdings, Ltd.          3,893,000     176,738  
  *   Fu Yu Corp., Ltd.                             2,273,750     143,386  
      GK Goh Holdings, Ltd.                         1,494,000     823,055  
# *   Global Voice Group, Ltd.                      2,054,000      71,663  
  #   Goodpack, Ltd.                                1,592,000   1,590,661  
      GP Industries, Ltd.                           3,120,209     778,268  
      Grand Banks Yachts, Ltd.                        250,000     165,766  
  #   Guocoland, Ltd.                                 434,500     579,572  
      Hersing Corp., Ltd.                           1,285,000     198,244  
  #   Hi-P International, Ltd.                      1,973,000     763,923  
  #   Ho Bee Investment, Ltd.                       1,471,000     696,861  
  #   Hong Fok Corp., Ltd.                          1,975,600     737,723  
  #   Hong Leong Asia, Ltd.                           868,000     790,602  
      Hotel Grand Central, Ltd.                     1,060,514     597,009  
      Hotel Plaza, Ltd.                             1,723,500   1,710,172  
  #   Hotel Properties, Ltd.                        1,715,600   2,141,745  
      Hour Glass, Ltd.                                622,744     349,847  
# *   HTL International Holdings, Ltd.              1,691,843     237,887  
      Huan Hsin Holdings, Ltd.                      1,138,400     440,116  
  #   HupSteel, Ltd.                                1,687,875     372,217  
      Hwa Hong Corp., Ltd.                          2,488,000   1,004,293  
  #   Hyflux, Ltd.                                  1,067,000   2,126,745  
  #   IDT Holdings, Ltd.                              718,000     155,812  
      IFS Capital, Ltd.                               348,000     173,342  
  *   Informatics Education, Ltd.                   1,339,000      32,779  
  #   InnoTek, Ltd.                                   931,000     372,483  
  *   Innovalues, Ltd.                                630,000      64,238  
      Intraco, Ltd.                                   292,500      61,967  
      IPC Corp., Ltd.                                 700,000      51,717  
      Isetan (Singapore), Ltd.                        122,500     334,551  
      Jadason Enterprises, Ltd.                     1,108,000      46,371  
  *   Jasper Investments, Ltd.                         90,680      19,161  
  #   Jaya Holdings, Ltd.                           2,313,000   2,013,954  
  *   JK Yaming International Holdings, Ltd.          907,000     232,023  
  #   Jurong Technologies Industrial Corp., Ltd.    2,227,680     390,934  


                                        

                                       20

--------------------------------------------------------------------------------

                                        

      K1 Ventures, Ltd.                                    5,340,500     918,725  
  #   Keppel Telecommunications and Transportation, Ltd.   1,982,800   7,383,148  
      Khong Guan Flour Milling, Ltd.                          38,000      36,211  
      Kian Ann Engineering, Ltd.                           1,302,000     141,232  
      Kian Ho Bearings, Ltd.                                 781,500     111,999  
  #   Kim Eng Holdings, Ltd.                               1,123,620   1,010,794  
  #   Koh Brothers Group, Ltd.                             1,494,000     187,854  
  #   KS Energy Services, Ltd.                               800,000     927,517  
  *   L & M Group Investments, Ltd.                        7,107,100      25,077  
  #   Lafe Corp., Ltd.                                     1,234,800      52,131  
  *   LanTroVision (S), Ltd.                               5,028,750     105,638  
  #   LC Development, Ltd.                                 2,041,254     233,958  
      Lee Kim Tah Holdings, Ltd.                           1,600,000     606,836  
      Lion Asiapac, Ltd.                                     473,000      65,089  
      Low Keng Huat Singapore, Ltd.                        2,232,000     297,780  
      Lum Chang Holdings, Ltd.                             1,134,030     162,826  
# *   Manhattan Resources, Ltd.                              668,000     318,422  
      Manufacturing Integration Technology, Ltd.             588,000      46,681  
  *   MDR, Ltd.                                            2,040,000      14,310  
# *   Mediaring.Com, Ltd.                                  4,262,500     297,196  
      Memtech International, Ltd.                          1,322,000     106,772  
      Metro Holdings, Ltd.                                 2,036,960     971,263  
  #   Midas Holdings, Ltd.                                 1,342,000     493,278  
  *   Mirach Energy, Ltd.                                    460,000      45,048  
  #   Miyoshi Precision, Ltd.                                553,500      36,770  
      MobileOne, Ltd.                                      2,025,000   2,730,168  
      Multi-Chem, Ltd.                                     1,263,000     147,063  
      Natsteel, Ltd.                                         414,000     411,319  
  #   Nera Telecommunications, Ltd.                        1,272,000     308,540  
      New Toyo International Holdings, Ltd.                1,043,000     199,391  
  #   Orchard Parade Holdings, Ltd.                          956,022     575,563  
# *   Osim International, Ltd.                             1,965,600     347,251  
      Ossia International, Ltd.                              750,554     111,928  
      Pan-United Corp., Ltd.                               2,104,000     833,573  
      Parkway Holdings, Ltd.                               2,084,133   3,265,515  
      PCI, Ltd.                                              734,000     193,799  
      Penguin International, Ltd.                            320,000      28,000  
      Pertama Holdings, Ltd.                                 459,750      97,332  
  #   Petra Foods, Ltd.                                      881,000     544,043  
      Popular Holdings, Ltd.                               1,813,000     312,443  
      PSC Corp., Ltd.                                      1,973,419     346,271  
      QAF, Ltd.                                              881,000     208,274  
  *   Qian Hu Corp., Ltd.                                    674,600      59,105  
      Raffles Education Corp., Ltd.                        4,076,000   2,395,631  
      Rotary Engineering, Ltd.                             1,703,600     639,442  
      San Teh, Ltd.                                          838,406     278,174  
  #   SBS Transit, Ltd.                                      983,000   1,447,427  
  #   SC Global Developments, Ltd.                           935,850     528,453  
      Seksun Corp., Ltd.                                     530,000      18,502  
      Sim Lian Group, Ltd.                                 1,380,000     451,854  
      Sing Holdings, Ltd.                                     36,666       6,798  
      Sing Investments & Finance, Ltd.                       198,450     189,908  


                                        

                                       21

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      Singapore Food Industries, Ltd.        1,707,000       948,806  
      Singapore Land, Ltd.                     171,000       661,168  
      Singapore Post, Ltd.                   6,425,900     4,607,144  
      Singapore Reinsurance Corp., Ltd       1,864,530       341,678  
      Singapore Shipping Corp., Ltd.         1,765,000       384,575  
      Singapura Finance, Ltd.                  174,062       185,997  
# *   Sinomem Technology, Ltd.                 902,000       240,934  
      Sinwa, Ltd.                              259,000        43,580  
      SMB United, Ltd.                       2,010,000       275,915  
      SMRT Corp., Ltd.                       3,293,000     4,257,689  
      SP Chemicals, Ltd.                     1,219,500       489,181  
  *   SP Corp., Ltd.                           454,000        22,427  
      SSH Corp., Ltd.                        1,307,000       183,314  
  #   Stamford Land Corp., Ltd.              3,009,000       991,984  
      Straco Corp., Ltd.                       130,000        10,321  
  #   Sunningdale Tech, Ltd.                 1,332,000       107,229  
      Sunright, Ltd.                           378,000        50,942  
      Superbowl Holdings, Ltd.                 980,000       132,960  
      Superior Multi-Packaging, Ltd.           490,500        38,941  
      Tat Hong Holdings, Ltd.                1,194,000     1,047,118  
# *   Thakral Corp., Ltd.                    6,028,000       209,951  
      Tiong Woon Corp. Holding, Ltd.         1,359,000       342,187  
      Trek 2000 International, Ltd.          1,004,000       160,342  
  *   TT International, Ltd.                 2,742,480       241,454  
      Tuan Sing Holdings, Ltd.               3,362,000       460,453  
      UMS Holdings, Ltd.                       941,000       131,060  
  #   Unisteel Technology, Ltd.              1,521,875     2,071,252  
      United Engineers, Ltd.                   846,666     1,604,217  
      United Envirotech, Ltd.                  352,000        47,062  
      United Overseas Insurance, Ltd.          188,250       419,261  
      United Pulp & Paper Co., Ltd.            708,000        90,433  
      UOB-Kay Hian Holdings, Ltd.            1,619,000     1,476,254  
      UOL Group, Ltd.                          120,000       242,613  
      Venture Corp., Ltd.                       95,000       667,240  
      Vicom, Ltd.                              120,000       150,077  
  #   WBL Corp., Ltd.                          612,000     2,060,076  
      Wheelock Properties, Ltd.              1,232,000     1,134,269  
      Wing Tai Holdings, Ltd.                2,264,800     2,134,603  
  #   Xpress Holdings, Ltd.                  3,079,000       161,505  
      Yellow Pages (Singapore), Ltd.           299,000        97,706  
      YHI International, Ltd.                1,174,000       173,202  
      Yoma Strategic Holdings, Ltd.            132,000        13,572  
# *   Yongnam Holdings, Ltd.                 1,970,000       185,277  
  *   Zhongguo Jilong, Ltd.                    249,876         7,799  
TOTAL COMMON STOCKS                                      104,788,439  
                                                                      
RIGHTS/WARRANTS — (0.0%)                                              
  *   Metro Holdings, Ltd. Rights 09/11/08     203,696         5,031  
  *   Qian Hu Corp, Ltd. Rights 09/19/10       204,100        15,123  
TOTAL RIGHTS/WARRANTS                                         20,154  
                                                                      
TOTAL — SINGAPORE                                        104,808,593  


                                        

                                       22

--------------------------------------------------------------------------------

                                        

                                                                 Face                       
                                                                Amount          Value †      
                                                                 (000)                       
TEMPORARY CASH INVESTMENTS — (0.1%)                                                          
       Repurchase Agreement, PNC Capital Markets, Inc.                                      
       1.94%, 09/02/08 (Collateralized by $990,000 FNMA                                     
       5.00%, 04/01/23, valued at $959,491) to be                                           
       repurchased at $942,203                               $         942          942,000  
                                                                                             
SECURITIES LENDING COLLATERAL — (28.2%)                                                      
 § @   DFA Short Term Investment Fund LP                           318,699      318,698,611  
                                                                                             
   @   Repurchase Agreement, Deutsche Bank Securities                                       
       2.14%, 09/02/08 (Collateralized by $24,116,526 FNMA                                  
       5.500%, maturities ranging from 10/01/34 to                                          
       10/01/35, valued at $14,121,758) to be repurchased                                   
       at $13,848,153                                               13,845       13,844,861  
                                                                                             
TOTAL SECURITIES LENDING COLLATERAL                                             332,543,472  
                                                                                             
TOTAL INVESTMENTS - (100.0%)                                                                
(Cost $1,181,676,751) ##                                                     $1,179,512,295  


                                        

                                       23

--------------------------------------------------------------------------------

 

                    THE UNITED KINGDOM SMALL COMPANY SERIES

                            SCHEDULE OF INVESTMENTS

                                August 31, 2008

                                  (Unaudited)

                                        

                                                    Shares      Value ††   
                                                                           
COMMON STOCKS — (94.0%)                                                    
Consumer Discretionary — (16.4%)                                           
      4imprint Group P.L.C.                           96,735   $  270,382  
      Aegis Group P.L.C.                           3,078,129    6,268,262  
      Aga Rangemaster Group P.L.C.                   296,443    1,067,497  
      Airea P.L.C.                                    22,000        5,051  
      Alexandra P.L.C.                               124,343      121,514  
      Alexon Group P.L.C.                            183,490      198,677  
      Arena Leisure P.L.C.                         1,411,547      745,367  
      Avesco Group P.L.C.                             44,438       47,584  
      Avon Rubber P.L.C.                             126,434      195,922  
      Barratt Developments P.L.C.                     24,509       65,354  
      Bellway P.L.C.                                 418,246    4,663,027  
  #   Blacks Leisure Group P.L.C.                    181,058      336,216  
      Bloomsbury Publishing P.L.C.                   281,545      872,197  
  #   Bovis Homes Group P.L.C.                       488,520    3,882,759  
      BPP Holdings P.L.C.                            222,896    1,828,676  
      Caffyns P.L.C.                                   6,000       57,420  
      Carpetright P.L.C.                             172,049    2,124,069  
      Centaur Media P.L.C.                           617,725      809,330  
      Chime Communications P.L.C.                    211,086      423,188  
# *   Chrysalis Group P.L.C.                         210,567      370,082  
      Churchill China P.L.C.                          30,000      122,551  
  #   Clinton Cards P.L.C.                           740,506      522,040  
      Colefax Group P.L.C.                            60,000      177,089  
      Cosalt P.L.C.                                   82,921      390,776  
      Creston P.L.C.                                 213,773      180,508  
      Daily Mail & General Trust P.L.C. Series A     263,542    1,779,223  
      Dawson Holdings P.L.C.                         253,045      301,521  
  #   Debenhams P.L.C.                             1,434,477    1,294,595  
      Dignity P.L.C.                                 262,886    3,571,363  
  #   DSG International P.L.C.                     5,482,843    4,926,697  
      Dunelm Group P.L.C.                             17,747       50,252  
  *   Entertainment Rights P.L.C.                  2,258,940      378,668  
      Euromoney Institutional Investor P.L.C.        360,841    2,418,542  
      Findel P.L.C.                                  388,514    1,301,769  
  *   Forminster P.L.C.                               43,333        2,962  
  #   French Connection Group P.L.C.                 384,233      433,137  
      Fuller Smith & Turner P.L.C.                   132,742    1,051,521  
      Future P.L.C.                                1,363,027      665,130  
      Galiform P.L.C.                              2,349,090    1,429,843  
      Game Group P.L.C.                            1,483,227    7,278,988  
# *   Games Workshop Group P.L.C.                    104,823      466,447  
      Gaskell P.L.C.                                  36,000            —  
      Greene King P.L.C.                             436,140    4,247,487  


                                        

                                       1

--------------------------------------------------------------------------------

                                        

    Halfords Group P.L.C.                      939,332   5,028,171  
    Haynes Publishing Group P.L.C.              14,703      47,975  
    Headlam Group P.L.C.                       339,900   2,055,909  
    Henry Boot P.L.C.                          439,079     756,749  
*   Highbury House Communications P.L.C.       439,166           —  
#   HMV Group P.L.C.                         1,674,118   4,026,364  
    Holidaybreak P.L.C.                        211,067   1,637,119  
#   Hornby P.L.C.                              154,220     421,512  
    HR Owen P.L.C.                              71,542     132,523  
    Huntsworth P.L.C.                          818,058     927,613  
*   Impellam Group P.L.C.                       35,258      38,562  
    Inchcape P.L.C.                            798,903   3,750,508  
#   J.D. Wetherspoon P.L.C.                    552,111   2,650,649  
    JD Sports Fashion P.L.C.                   126,388     645,041  
    JJB Sports P.L.C.                          949,037   2,198,718  
    John Menzies P.L.C.                        244,534   1,574,558  
#   Johnston Press P.L.C.                    1,237,386   1,055,320  
    Kesa Electricals P.L.C.                  2,090,187   6,138,403  
*   Lambert Howarth Group P.L.C.                43,203           —  
    Laura Ashley Holdings P.L.C.             2,887,571   1,051,718  
    Lookers P.L.C.                             709,211     719,160  
#   Luminar Group Holdings P.L.C.              268,448   1,167,192  
    Mallett P.L.C.                              46,337      68,449  
#   Manganese Bronze Holdings P.L.C.            68,818     465,504  
    Marchpole Holdings P.L.C.                   81,635      21,413  
*   Mice Group P.L.C.                          844,000           —  
    Millennium and Copthorne Hotels P.L.C.     588,951   3,313,727  
    Moss Bros Group P.L.C.                     234,511     119,747  
    Mothercare P.L.C.                          333,825   2,468,169  
    N Brown Group P.L.C.                     1,002,689   3,834,571  
    Next Fifteen Communications P.L.C.          25,000      20,505  
*   Nord Anglia Education P.L.C.               130,842   1,097,953  
*   Pace P.L.C.                                769,447   1,251,480  
    Pendragon P.L.C.                         2,285,154     397,060  
#   Photo-Me International P.L.C.            1,340,534     354,750  
    Pinewood Shepperton P.L.C.                 187,350     658,631  
*   Pittards P.L.C.                             60,985       2,223  
    Portmeirion Group P.L.C.                    22,856      86,292  
*   Pressac P.L.C.                              78,129       1,068  
    Rank Group P.L.C.                          775,209   1,036,738  
#   Redrow P.L.C.                              644,914   2,009,418  
    Restaurant Group P.L.C.                    753,607   1,909,518  
#   Rightmove P.L.C.                           243,139   1,353,330  
*   Shellshock, Ltd.                               850         997  
    Signet Group P.L.C.                      6,369,431   7,272,044  
*   SMG P.L.C.                                 965,594     164,056  
    Smiths News P.L.C.                         693,548   1,015,203  
*   Southampton Leisure Holdings P.L.C.         19,615       9,617  
*   Sportech P.L.C.                            339,293     507,823  
*   Sports Direct International P.L.C.         383,193     525,868  
    St Ives Group P.L.C.                       448,949   1,364,711  
*   Stylo P.L.C.                                64,096      28,625  
    Taylor Nelson Sofres P.L.C.              1,742,993   8,690,914  
    Ted Baker P.L.C.                           161,948   1,047,703  


                                        

                                       2

--------------------------------------------------------------------------------

                                        

      The Berkeley Group Holdings P.L.C.     244,968     3,780,505  
      The Vitec Group P.L.C.                 164,920     1,200,192  
      Topps Tiles P.L.C.                     783,092       844,296  
# *   Torotrak P.L.C.                        449,280       147,203  
      Trinity Mirror P.L.C.                  952,139     1,860,034  
      United Business Media P.L.C.           772,750     8,351,910  
      UTV Media P.L.C.                       217,432       561,964  
      Wagon P.L.C.                           237,979        15,705  
  *   Wembley P.L.C.                          68,694        12,522  
  *   Westcity P.L.C.                         96,111        37,329  
      WH Smith P.LC.                         605,148     4,229,051  
      William Hill P.L.C.                    955,782     4,916,745  
      Wilmington Group P.L.C.                356,207     1,306,750  
  #   Woolworths Group P.L.C.              5,587,422       737,736  
Total Consumer Discretionary                           162,467,496  
                                                                    
Consumer Staples — (3.6%)                                           
      Anglo-Eastern Plantations P.L.C.       111,453     1,008,094  
      Barr (A.G.) P.L.C.                      66,137     1,412,694  
      Britvic P.L.C.                         584,315     2,494,029  
      Cranswick P.L.C.                       179,621     2,049,229  
      Dairy Crest Group P.L.C.               535,101     4,558,482  
      Devro P.L.C.                           623,198       926,204  
  *   European Home Retail P.L.C.            109,256             —  
      Greggs P.L.C.                           44,668     2,884,204  
      Marston’s P.L.C.                     1,227,042     4,374,895  
      Mcbride P.L.C.                         935,102     1,978,725  
      Northern Foods P.L.C.                2,096,761     2,483,518  
      Premier Foods P.L.C.                 2,248,218     3,553,062  
      PZ Cussons P.L.C.                    1,481,891     4,701,181  
      R.E.A. Holdings P.L.C.                  49,233       422,850  
      Robert Wiseman Dairies P.L.C.          290,033     1,622,422  
      Thorntons P.L.C.                       313,060       655,598  
  #   Uniq P.L.C.                            463,373       754,947  
Total Consumer Staples                                  35,880,134  
                                                                    
Energy — (6.7%)                                                     
      Anglo Pacific Group P.L.C.             438,936     1,450,598  
  *   Dana Petroleum P.L.C.                  335,727     9,191,259  
  *   Emerald Energy P.L.C.                  220,639     1,697,700  
  *   Fortune Oil P.L.C.                   5,933,254     1,134,498  
  *   Hardy Oil & Gas P.L.C.                  46,779       405,752  
      Hunting P.L.C.                         477,489     7,746,669  
# *   Imperial Energy Corp. P.L.C.           289,203     6,153,889  
      James Fisher & Sons P.L.C.             195,269     2,082,002  
      JKX Oil and Gas P.L.C.                 592,186     4,669,746  
      Melrose Resources P.L.C.               388,991     2,895,798  
  *   Premier Oil P.L.C.                     329,638     7,540,514  
  *   Salamander Energy P.L.C.               282,050     1,386,383  
# *   Soco International P.L.C.              289,649     7,937,911  
  *   UK Coal P.L.C.                         590,118     4,639,282  
      Venture Production P.L.C.              455,259     6,834,434  
  *   Wellstream Holdings P.L.C.              11,266       256,011  
Total Energy                                            66,022,446  


                                        

                                       3

--------------------------------------------------------------------------------

                                        

Financials — (14.3%)                                                   
      A & J Mucklow Group P.L.C.                  128,526     552,575  
  #   Aberdeen Asset Management P.L.C.          2,665,487   6,962,923  
      Amlin P.L.C.                              1,816,412   9,581,306  
      Arbuthnot Banking Group P.L.C.               67,329     401,724  
  *   Aries Insurance Services P.L.C.              62,500           —  
      Beazley Group P.L.C.                      1,039,113   2,101,679  
  #   Benfield Group, Ltd. P.L.C.                 581,201   3,632,877  
  #   BlueBay Asset Management P.L.C.             154,645     697,078  
      Brewin Dolphin Holdings P.L.C.              895,086   1,823,606  
      Brit Insurance Holdings P.L.C.            1,326,374   4,670,453  
      Capital & Regional P.L.C.                   279,419     939,642  
      Catlin Group, Ltd.                        1,005,529   5,977,163  
      Charles Stanley Group P.L.C.                127,317     494,411  
      Chesnara P.L.C.                             146,915     364,237  
      Close Brothers Group P.L.C.                 495,555   5,678,553  
  *   CLS Holdings P.L.C.                         262,590   1,747,835  
  *   Cockleshell, Ltd.                             6,528       7,279  
      Collins Stewart P.L.C.                      427,861     768,863  
      Daejan Holdings P.L.C.                       43,621   2,096,740  
      Development Securities P.L.C.               206,851   1,358,908  
      DTZ Holdings P.L.C.                         220,478     399,973  
      Evolution Group P.L.C.                    1,183,212   2,096,557  
  #   F&C Asset Management P.L.C.               1,643,383   2,903,786  
  #   Grainger P.L.C.                             436,048   1,700,643  
      Great Portland Estates P.L.C.               430,344   2,866,462  
  *   Hampton Trust P.L.C.                        232,050           —  
  *   Hansard Global P.L.C.                           163         480  
      Hardy Underwriting Group P.L.C.             158,285     645,050  
      Helical Bar P.L.C.                          420,463   2,450,397  
  #   Henderson Group P.L.C.                    3,020,595   7,133,022  
      Highway Insurance Holdings P.L.C.         1,272,516   1,703,839  
      Hiscox, Ltd.                              1,579,968   7,118,914  
      IG Group Holdings P.L.C.                  1,189,807   7,485,363  
  *   Industrial & Commercial Holdings P.L.C.       5,000         137  
      Intermediate Capital Group P.L.C.           335,898   8,439,430  
      International Personal Finance P.L.C.       908,963   5,127,090  
  *   IP Group P.L.C.                             122,602     245,642  
      Jardine Lloyd Thompson Group P.L.C.         803,953   6,614,275  
      Liontrust Asset Management P.L.C.           129,935     601,549  
  *   London Scottish Bank P.L.C.                 392,753      48,587  
# *   LSL Property Services P.L.C.                131,485     167,024  
  *   Minerva P.L.C.                              601,226   1,365,878  
  *   MWB Group Holdings P.L.C.                   379,622     695,456  
  *   New Star Asset Management Group P.L.C.       13,912      26,559  
      Novae Group P.L.C.                          241,427   1,312,746  
      Paragon Group of Companies P.L.C.            15,320      28,999  
      Park Group P.L.C.                           166,600      40,538  
  *   Pices Property Services P.L.C.               62,500           —  
  *   Probus Estates P.L.C.                        83,333         152  
      Provident Financial P.L.C.                  461,464   7,618,324  
      Quintain Estates & Development P.L.C.       296,826   1,022,362  
      Rathbone Brothers P.L.C.                    163,714   2,695,095  
      Rensburg Sheppards P.L.C.                   174,975   1,538,408  
      S&U P.L.C.                                   21,140     142,280  


                                        

                                       4

--------------------------------------------------------------------------------

 

      Savills P.L.C.                          462,351     2,412,207  
  *   Secure Ventures No. 6 P.L.C.             62,500             —  
  *   Secure Ventures No. 7 P.L.C.             62,500             —  
  *   SFI Holdings, Ltd. Series A              26,713             —  
  *   Shellproof, Ltd.                          1,156         1,264  
      Shore Capital Group P.L.C.            1,227,370       835,396  
      St. Jame’s Place P.L.C.                 664,647     2,693,750  
      ST Modwen Properties P.L.C.             496,506     2,735,286  
  *   Terence Chapman Group P.L.C.             62,500           361  
      Town Centre Securities P.L.C.            83,518       302,380  
      Tullett Prebon P.L.C.                   757,461     6,081,942  
      Unite Group P.L.C.                      457,428     1,910,499  
      Warner Estate Holdings P.L.C.           152,919       292,378  
Total Financials                                        141,358,332  
                                                                     
Health Care — (2.9%)                                                 
  *   Acambis P.L.C.                          491,850     1,682,938  
  *   Alizyme P.L.C.                          660,805        78,279  
  *   Antisoma P.L.C.                       2,082,855       991,539  
  *   Ark Therapeutics Group P.L.C.           656,732       790,931  
      Assura Group, Ltd.                       24,511        36,661  
# *   Axis-Shield P.L.C.                      230,972     1,358,212  
# *   Biocompatibles International P.L.C.     147,081       444,966  
      Bioquell P.L.C.                          90,893       272,875  
  *   BTG P.L.C.                              599,767     2,579,622  
      Care UK P.L.C.                          205,547     1,306,398  
  *   Clinical Computing P.L.C.                46,666         1,914  
      Consort Medical P.L.C.                  119,619     1,196,102  
      Corin Group P.L.C.                      151,637       388,183  
      Dechra Pharmaceuticals P.L.C.           206,999     1,561,552  
      Genetix Group P.L.C.                    151,246       147,499  
  *   Genus P.L.C.                            161,581     2,349,503  
  *   Global Health Partner P.L.C.                800         1,780  
      Goldshield Group P.L.C.                 123,034       579,796  
  #   Hikma Pharmaceuticals P.L.C.            442,816     3,367,728  
      Nestor Healthcare Group P.L.C.          443,850       262,235  
  *   Oxford Biomedica P.L.C.               2,123,042       425,319  
  *   Phytopharm P.L.C.                       104,349        38,413  
  *   Prostrakan Group P.L.C.                  38,359        73,280  
  *   Protherics P.L.C.                     1,046,492       913,912  
  *   Provalis P.L.C.                         796,584         4,356  
# *   Skyepharma P.L.C.                     2,745,363       200,743  
      Southern Cross Healthcare, Ltd.         195,059       539,115  
      SSL International P.L.C.                766,671     6,603,609  
  *   Vectura Group P.L.C.                    953,207       932,566  
  *   Vernalis P.L.C.                       1,131,506        92,463  
  *   William Ransom & Son P.L.C.              30,000         4,101  
Total Health Care                                        29,226,590  
                                                                     
Industrials — (33.8%)                                                
  *   AEA Technology P.L.C.                   539,970       431,112  
      Aggreko P.L.C.                          573,239     7,510,898  
      Air Partner P.L.C.                       38,153       620,200  
  *   Airflow Streamline P.L.C.                20,500        21,861  
      Alumasc Group P.L.C.                    131,547       371,207  
      Arriva P.L.C.                           686,690     9,906,131  


                                        

                                       5

--------------------------------------------------------------------------------

                                        

      Ashtead Group P.L.C.                 2,033,828    2,807,944  
      Atkins WS P.L.C.                       437,924    7,396,702  
  *   Autologic Holdings P.L.C.               96,590       64,214  
# *   Avis Europe P.L.C.                   3,154,308      629,881  
      Babcock International Group P.L.C.     877,825    9,580,479  
  *   BB Holdings, Ltd.                        8,709       42,120  
      BBA Aviation P.L.C.                  1,238,820    2,994,669  
      Bodycote P.L.C.                      1,283,539    5,425,364  
      Braemar Shipping Services P.L.C.        81,108      700,411  
      Brammer P.L.C.                         190,602      890,883  
      BSS Group P.L.C.                       503,242    2,894,911  
      Business Post Group P.L.C.             204,928    1,150,527  
  *   C.H. Bailey P.L.C.                      20,950       25,777  
      Camellia P.L.C.                          2,437      343,875  
      Carillion P.L.C.                     1,537,838    9,190,110  
      Carr’s Milling Industries P.L.C.        35,330      429,323  
# *   Carter & Carter Group P.L.C.           122,848            —  
      Castings P.L.C.                        167,445      816,363  
      Charles Taylor Consulting P.L.C.       143,225      633,659  
      Charter P.L.C.                         626,781   10,829,883  
      Chemring Group P.L.C.                  132,581    5,621,238  
      Chloride Group P.L.C.                1,054,622    4,800,408  
      Clarkson P.L.C.                         70,194    1,314,775  
      Communisis P.L.C.                      577,296      654,871  
      Connaught P.L.C.                       254,328    1,848,847  
      Cookson Group P.L.C.                   836,687    9,876,513  
      Costain Group P.L.C.                 1,306,155      617,677  
  *   Danka Business Systems P.L.C.        1,029,605       21,237  
      Davis Service Group P.L.C.             689,742    4,274,442  
      De La Rue P.L.C.                       621,139    9,938,602  
      Dewhurst P.L.C.                          9,000       32,155  
      Domino Printing Sciences P.L.C.        469,545    2,519,180  
# *   easyJet P.L.C.                         709,379    4,234,032  
      Eleco P.L.C.                            80,000      112,843  
  *   Eliza Tinsley Group P.L.C.              19,844        3,256  
      Enodis P.L.C.                        1,614,673    9,446,930  
      Fenner P.L.C.                          691,344    2,863,979  
      Forth Ports P.L.C.                     184,302    5,778,321  
  *   Fortress Holdings P.L.C.               120,728            —  
      Galliford Try P.L.C.                 1,475,611    1,737,444  
  *   Garton Engineering P.L.C.               10,248            —  
      Go-Ahead Group P.L.C.                  175,345    6,206,045  
      Hampson Industries P.L.C.              437,630    1,406,944  
      Harvey Nash Group P.L.C.               261,144      175,362  
      Havelock Europa P.L.C.                 141,758      156,233  
      Hays P.L.C.                          4,768,794    8,273,325  
  #   Helphire P.L.C.                        570,202      885,303  
  *   Heywood Williams Group P.L.C.          323,020       50,882  
      Hogg Robinson Group P.L.C.              83,110       76,266  
      Homeserve P.L.C.                       234,574    6,152,823  
      Hyder Consulting P.L.C.                173,144    1,151,035  
      IMI P.L.C.                           1,019,582    9,263,120  
      Interserve P.L.C.                      512,988    3,920,015  
      Intertek Group P.L.C.                  605,784   10,828,479  
      ITE Group P.L.C.                     1,377,768    4,167,679  


                                        

                                       6

--------------------------------------------------------------------------------

                                        

      J. Smart & Co. (Contractors) P.L.C.      22,500     206,991  
      Keller Group P.L.C.                     285,825   4,106,922  
      Kier Group P.L.C.                       145,769   3,060,969  
      Latchways P.L.C.                         42,476     618,574  
      Lavendon Group P.L.C.                   180,585     900,111  
      Lincat Group P.L.C.                      14,452     150,064  
      Low & Bonar P.L.C.                      785,535   1,470,963  
      Management Consulting Group P.L.C.    1,055,808     645,042  
      Meggitt P.L.C.                          871,784   3,644,786  
  *   Melrose P.L.C.                          843,604   2,482,311  
      Metalrax Group P.L.C.                   508,719     146,287  
      Michael Page International P.L.C.     1,271,159   8,469,243  
      Mitie Group P.L.C.                    1,243,034   5,058,691  
      MJ Gleeson Group P.L.C.                 195,875     572,109  
      Molins P.L.C.                            82,233     109,599  
      Morgan Crucible Co. P.L.C.            1,192,285   4,983,133  
      Morgan Sindall P.L.C.                   175,758   1,893,019  
      Mouchel Group P.L.C.                    469,006   3,396,436  
      MS International P.L.C.                  50,000     191,231  
      National Express Group P.L.C.           420,056   7,933,826  
      Northgate P.L.C.                        293,546   1,841,066  
      OPD Group P.L.C.                        102,094     245,145  
      PayPoint P.L.C.                          90,274   1,046,246  
  *   PV Crystalox Solar P.L.C.                33,334     107,513  
      Qinetiq P.L.C.                        1,799,700   7,356,828  
      Regus Group P.L.C.                    3,802,559   5,149,227  
  *   Renold P.L.C.                           270,995     355,486  
      Rentokil Initial P.L.C.                 125,249     165,596  
      Ricardo P.L.C.                          222,000   1,166,149  
  *   Richmond Oil & Gas P.L.C.               220,000           —  
      Robert Walters P.L.C.                   394,333     932,133  
      ROK P.L.C.                              744,151   1,192,271  
      RPS Group P.L.C.                        811,331   4,424,910  
  *   Scott Wilson Group P.L.C.                22,060      75,484  
      Senior P.L.C.                         1,671,692   3,360,038  
      Severfield-Rowen P.L.C.                 362,090   1,602,212  
      Shanks Group P.L.C.                   1,014,008   4,049,414  
      SIG P.L.C.                              479,728   4,727,664  
      Speedy Hire P.L.C.                      183,252   1,558,796  
      Spirax-Sarco Engineering P.L.C.         313,271   6,315,711  
      Spring Group P.L.C.                     596,238     423,364  
      Sthree P.L.C.                           277,315   1,008,693  
      T. Clarke P.L.C.                        148,717     442,879  
  *   Tandem Group P.L.C.                     327,365           —  
      Tarsus Group P.L.C.                     218,489     697,981  
      TDG P.L.C.                              326,296   1,466,379  
      The Weir Group P.L.C.                   157,329   2,638,520  
      Tomkins P.L.C.                        2,683,318   7,248,624  
  *   Trafficmaster P.L.C.                    553,279     284,703  
      Travis Perkins P.L.C.                   422,110   5,140,542  
      Tribal Group P.L.C.                     125,000     318,984  
      Trifast P.L.C.                          359,985     313,469  
      Ultra Electronics Holdings P.L.C.       274,839   6,906,635  
      Umeco P.L.C.                            202,063   1,745,912  
# *   Volex Group P.L.C.                      241,088     263,001  


                                        

                                       7

--------------------------------------------------------------------------------

                                        

      Vp P.L.C.                                   172,286       783,209  
      VT Group P.L.C.                             696,523     7,818,878  
      Waterman Group P.L.C.                       108,139       223,727  
      White Young Green P.L.C.                    183,454       808,775  
  *   Whitecroft P.L.C.                           105,000             —  
  *   Wilshaw Securities P.L.C.                   198,409        14,015  
      Wincanton P.L.C.                            493,583     2,321,390  
      WSP Group P.L.C.                            270,216     2,548,171  
      XP Power, Ltd.                               73,546       324,382  
      Young and Co.’s Brewery P.L.C. NV            40,000       338,725  
  #   Young and Co.’s Brewery P.L.C. Series A      20,936       199,964  
Total Industrials                                           334,111,883  
                                                                         
Information Technology — (11.1%)                                         
      Abacus Group P.L.C.                         285,469       112,090  
      Acal P.L.C.                                 104,729       278,719  
  *   Alterian P.L.C.                             179,139       401,543  
      Anite P.L.C.                              1,350,606       959,166  
  *   ARC International P.L.C.                    623,793       208,677  
  #   ARM Holdings P.L.C.                       4,706,465     9,506,695  
      Aveva Group P.L.C.                          283,341     7,560,373  
      Axon Group P.L.C.                           251,554     2,789,245  
  *   CML Microsystems P.L.C.                      18,361        28,141  
      Computacenter P.L.C.                        435,997       995,411  
  *   CSR P.L.C.                                  352,374     2,105,971  
      Detica Group P.L.C.                         485,719     3,900,763  
      Dialight P.L.C.                             111,362       347,329  
      Dicom Group P.L.C.                          326,817     1,212,478  
      Dimension Data Holdings P.L.C.            5,551,524     5,335,672  
      Diploma P.L.C.                              473,240     1,384,969  
      E2V Technologies P.L.C.                     254,720     1,240,458  
      Electrocomponents P.L.C.                  1,621,700     5,096,358  
      Eurodis Electron P.L.C.                   2,118,657             —  
      Fidessa Group P.L.C.                        134,098     2,291,617  
      Filtronic P.L.C.                            338,741       533,198  
  *   Full Circle Future, Ltd.                    135,600             —  
      GB Group P.L.C.                             415,333       257,616  
# *   Gresham Computing P.L.C.                    204,631       244,466  
      Halma P.L.C.                              1,529,292     5,606,303  
  *   Imagination Technologies Group P.L.C.       908,378     1,178,286  
      Innovation Group P.L.C.                   2,537,718       740,479  
  *   Intec Telecom Systems P.L.C.              1,201,847       942,060  
      Intelek P.L.C.                               49,880        14,903  
      Kewill P.L.C.                               368,863       578,123  
      Laird P.L.C.                                717,459     4,956,559  
      Macro 4 P.L.C.                               68,736       155,990  
      Micro Focus International P.L.C.            465,120     2,590,459  
      Microgen P.L.C.                             404,360       373,504  
      Misys P.L.C.                              2,039,600     6,212,842  
      Morse P.L.C.                                367,208       260,346  
  *   nCipher P.L.C.                              110,961       581,873  
      Netstore P.L.C.                             143,737        83,097  
      Oxford Instruments P.L.C.                   199,440       809,434  
  *   Parity Group P.L.C.                           7,621         3,747  
      Phoenix IT Group, Ltd.                      203,054       883,038  


                                        

                                       8

--------------------------------------------------------------------------------

                                        

    Premier Farnell P.L.C.                1,419,676     5,043,976  
    Psion P.L.C.                            513,902       863,418  
    Raymarine P.L.C.                        289,080       653,073  
    Renishaw P.L.C.                         234,857     3,580,132  
    RM P.L.C.                               373,969     1,160,609  
*   RMS Communications P.L.C.                15,000             —  
    Rotork P.L.C.                           362,996     7,235,742  
*   SCi Entertainment Group P.L.C.          541,315       322,853  
*   Scipher P.L.C.                           34,563           709  
*   SDL P.L.C.                              343,291     2,278,293  
    Spectris P.L.C.                         499,879     7,547,568  
    Spirent Communications P.L.C.         3,268,201     4,735,080  
    TT electronics P.L.C.                   612,337     1,137,341  
    Vislink P.L.C.                          588,460       278,990  
*   Wolfson Microelectronics P.L.C.         508,066     1,093,540  
    Xaar P.L.C.                             220,887       450,563  
*   Xchanging P.L.C.                        172,944       799,448  
Total Information Technology                          109,943,333  
                                                                   
Materials — (3.7%)                                                 
*   Amberley Group P.L.C.                   125,000        13,102  
*   API Group P.L.C.                        103,483        24,491  
*   Aricom P.L.C.                         2,980,164     2,514,013  
    British Polythene Industries P.L.C.     102,332       429,508  
    Carclo P.L.C.                           214,230       337,766  
*   Coral Products P.L.C.                    50,000         4,101  
    Croda International P.L.C.              498,679     6,280,049  
    Delta P.L.C.                            608,372     1,276,939  
    DS Smith P.L.C.                       1,637,788     3,823,138  
    Dyson Group P.L.C.                      127,757       237,209  
    Elementis P.L.C.                      1,911,621     2,930,544  
    Ennstone P.L.C.                       1,940,949       538,803  
    Filtrona P.L.C.                         724,553     2,379,407  
*   Gem Diamonds, Ltd.                        3,895        61,947  
    Hill & Smith Holdings P.L.C.            283,025     1,728,728  
    Hochschild Mining P.L.C.                194,546       891,211  
*   Inveresk P.L.C.                         125,000        16,611  
    Macfarlane Group P.L.C.                 378,287       185,712  
    Marshalls P.L.C.                        670,307     2,034,106  
    Mondi P.L.C.                            545,503     3,238,574  
    Porvair P.L.C.                          158,128       309,801  
    RPC Group P.L.C.                        415,931     1,156,159  
    Victrex P.L.C.                          331,151     4,909,395  
    Yule Catto & Co. P.L.C.                 543,055     1,446,058  
    Zotefoams P.L.C.                         96,852       190,863  
Total Materials                                        36,958,235  
                                                                   
Telecommunication Services — (0.9%)                                
*   Colt Telecom Group SA                 1,248,382     2,932,247  
    Kcom Group P.L.C.                     2,576,599     1,833,814  
    Telecom Plus P.L.C.                     296,417     1,807,273  
*   THUS Group P.L.C.                       631,234     2,056,441  
*   Vanco P.L.C.                            232,704       272,539  
Total Telecommunication Services                        8,902,314  


                                        

                                       9

--------------------------------------------------------------------------------

                                        

Utilities — (0.6%)                                                                           
       Dee Valley Group P.L.C.                                      12,109          211,548  
       Hydro International P.L.C.                                   27,669           78,196  
       Northumbrian Water Group P.L.C.                             927,166        5,201,548  
Total Utilities                                                                   5,491,292  
                                                                                             
TOTAL COMMON STOCKS                                                             930,362,055  
                                                                                             
RIGHTS/WARRANTS — (0.0%)                                                                     
   *   Helphire P.L.C. Rights 09/05/08                             167,706                —  
   *   Salamander Energy P.L.C. Rights 08/08/08                     31,862                —  
   *   SFI Holdings, Ltd. Litigation Certificate                    26,713                —  
   *   Ultraframe Litigation Notes                                 319,285                —  
TOTAL RIGHTS/WARRANTS                                                                     —  
                                                                                             
                                                                 Face                        
                                                                Amount          Value †      
                                                                 (000)                       
TEMPORARY CASH INVESTMENTS — (0.1%)                                                          
       Repurchase Agreement, PNC Capital Markets, Inc.                                      
       1.94%, 09/02/08 (Collateralized by $1,500,000 FHLMS                                  
       5.875%, 05/15/16, valued at $873,096) to be                                          
       repurchased at $860,185                               $         860          860,000  
                                                                                             
SECURITIES LENDING COLLATERAL — (5.9%)                                                       
 § @   DFA Short Term Investment Fund LP                            47,995       47,995,348  
                                                                                             
   @   Repurchase Agreement, Deutsche Bank Securities                                       
       2.14%, 09/02/08 (Collateralized by $11,344,075                                       
       FHLMC, rates ranging from 5.953%(r) to 6.000%,                                       
       maturities ranging from 08/01/37 to 10/01/37 &                                       
       FNMA, rates ranging from 5.000% to 7.000%,                                           
       maturities ranging from 02/01/36 to 07/01/38,                                        
       valued at $10,376,178) to be repurchased at                                          
       $10,175,143                                                  10,173       10,172,724  
                                                                                             
TOTAL SECURITIES LENDING COLLATERAL                                              58,168,072  
                                                                                             
TOTAL INVESTMENTS - (100.0%)                                                                
(Cost $980,336,265) ##                                                         $989,390,127  


                                        

                                       10

--------------------------------------------------------------------------------

 

                      THE CONTINENTAL SMALL COMPANY SERIES

                            SCHEDULE OF INVESTMENTS

                                August 31, 2008

                                  (Unaudited)

                                        

                                                            Shares     Value ††    
                                                                                   
AUSTRIA — (2.4%)                                                                   
COMMON STOCKS — (2.4%)                                                             
  #   Agrana Beteiligungs AG                                 17,295   $ 1,356,637  
      Andritz AG                                            120,225     7,372,948  
      Austria Email AG                                          715         5,212  
# *   Austrian Airlines AG                                  133,921     1,174,420  
      BKS Bank AG                                               520        85,441  
# *   BWIN Interactive Entertainment AG                      81,529     2,260,560  
      BWT AG                                                 28,425       847,531  
  *   CA Immobilien Anlagen AG                              134,542     1,941,384  
  *   Christ Water Techology AG                              24,819       197,144  
      Constantia Packaging AG                                35,486     2,449,287  
  *   Conwert Immobilien Invest AG                           48,984       716,940  
  #   Flughafen Wien AG                                      41,141     3,336,965  
      Frauenthal Holding AG                                  12,084       269,175  
  *   Intercell AG                                          107,859     4,720,072  
  *   Josef Manner & Co. AG                                     870        61,889  
      Lenzing AG                                              5,108     2,345,531  
      Mayr-Melnhof Karton AG                                 34,669     2,730,616  
      Oberbank AG                                            36,807     2,535,473  
      Oesterreichische Post AG                               96,174     3,800,506  
  #   Palfinger AG                                           47,348     1,055,854  
  *   RHI AG                                                 96,015     4,349,318  
      Rosenbauer International AG                            11,816       551,821  
  *   S&T System Integration & Technology Distribution AG     6,404       304,982  
      Schoeller-Bleckmann Oilfield Equipment AG              33,158     2,754,483  
# *   Sparkassen Immobilien AG                               58,185       468,046  
      UBM Realitaetenentwicklung AG                           1,440       103,304  
  #   Uniqa Versicherungen AG                               180,069     5,208,816  
      Wolford AG                                             11,165       333,854  
      Zumtobel AG                                            57,072       919,997  
TOTAL COMMON STOCKS                                                    54,258,206  
                                                                                   
RIGHTS/WARRANTS — (0.0%)                                                           
  *   Austrian Airlines AG Rights 09/08/08                  133,921             —  
                                                                                   
TOTAL — AUSTRIA                                                        54,258,206  
                                                                                   
BELGIUM — (3.6%)                                                                   
COMMON STOCKS — (3.6%)                                                             
  *   Abfin SA                                                2,560             —  
      Ackermans & Van Haaren                                 84,298     8,355,097  
  *   Agfa Gevaert NV                                       284,547     2,266,021  


                                        

                                       1

--------------------------------------------------------------------------------

                                        

      Banque Nationale de Belgique                          980    4,310,236  
  #   Barco NV                                           54,729    2,555,623  
      Bekaert SA                                         58,440   10,190,943  
      Co.Br.Ha Societe Commerciale de Brasserie SA          115      241,256  
  *   Compagnie du Bois Sauvage SA                           87           24  
  #   Compagnie d’Entreprises CFE                        41,600    4,365,791  
      Compagnie Immobiliere de Belgique SA               10,849      634,745  
  #   Compagnie Maritime Belge SA                        63,197    3,362,431  
  #   Deceuninck NV                                      63,700      688,277  
  *   Devgen                                                219        3,461  
      D’Ieteren NV SA                                    13,235    3,329,876  
      Duvel Moorgat SA                                    9,169      555,656  
      Econocom Group SA                                  67,440      829,148  
  #   Elia System Operator SA NV                        115,749    4,463,341  
      Euronav SA                                         89,385    3,781,299  
      EVS Broadcast Equipment SA                          5,500      475,305  
  #   Exmar NV                                           78,816    2,076,117  
      Floridienne SA                                      2,033      350,018  
      Henex                                               7,487      481,916  
      Image Recognition Integrated Systems (I.R.I.S.)     6,471      479,236  
# *   Innogenetics NV                                    75,886      716,273  
  *   Integrated Production & Test Engineering NV         9,275       64,218  
# *   International Brachtherapy SA                      35,773      164,966  
      Ion Beam Application                               69,021    1,559,257  
      Jensen-Group NV                                    12,030      145,188  
      Kinepolis                                          16,788      592,733  
      Lotus Bakeries SA                                   1,401      554,271  
  #   Melexis NV                                         88,696    1,357,837  
      Omega Pharma SA                                    85,933    4,349,321  
# *   Option NV                                         114,120      564,432  
      Picanol                                            16,620      226,493  
# *   Real Software NV                                  606,720      222,391  
  #   Recticel SA                                        52,387      641,829  
  *   Resilux                                             4,095      239,755  
      Rosier SA                                             655      374,404  
      Roularta Media Group NV                            17,839      639,083  
      Sapec SA                                            3,635      650,304  
  *   SAPEC SA                                               75          344  
      Sioen Industries NV                                52,140      558,464  
      Sipef NV                                            2,481    1,455,990  
  *   Spector Photo Group SA                             81,828      119,815  
  *   Systemat-Datarelay SA                              26,232      199,137  
  *   Telenet Group Holding NV                          153,336    3,492,536  
      Ter Beke NV                                         2,281      168,779  
      Tessenderlo Chemie NV                              92,963    5,140,378  
      Unibra SA                                           1,600      352,218  
      Van De Velde NV                                    28,456    1,123,195  
      VPK Packaging Group SA                             13,446      490,616  
  *   Zenitel VVPR                                       28,851       51,214  
TOTAL COMMON STOCKS                                               80,011,258  


                                        

                                       2

--------------------------------------------------------------------------------

                                        

RIGHTS/WARRANTS — (0.0%)                                               
  *   Real Software NV STRIP VVPR                606,720        8,901  
  *   Zenitel VVPR Contingent Rights               8,654          127  
TOTAL RIGHTS/WARRANTS                                           9,028  
                                                                       
TOTAL — BELGIUM                                            80,020,286  
                                                                       
DENMARK — (2.3%)                                                       
COMMON STOCKS — (2.3%)                                                 
      Aarhus Lokalbank A.S.                        8,030      163,723  
      Aktieselskabet Ringkjoebing Bank A.S.        5,665      423,516  
  #   Aktieselskabet Roskilde Bank A.S.           32,685        6,433  
      Aktieselskabet Skjern Bank A.S.              3,276      212,454  
  #   Alk-Abello A.S.                             14,295    1,770,717  
  *   Alm. Brand A.S.                             28,360      885,279  
  #   Amagerbanken A.S.                           33,345      758,926  
      Ambu A.S.                                   22,100      350,961  
      Arkil Holdings A.S. Series B                   780      148,117  
      Auriga Industries A.S. Series B             47,407    1,783,441  
  #   Bang & Olufsen Holding A.S. Series B        31,337    1,426,886  
# *   Bavarian Nordic A.S.                        17,626      727,731  
  #   BoConcept Holding A.S.                       5,650      304,931  
      Bonusbanken A.S.                            69,455      166,987  
  *   Brodrene Hartmann A.S. Series B             11,730      214,504  
  *   Brondbyernes I.F. Fodbold A.S. Series B     15,450      205,624  
  *   Capinordic A.S.                            216,300      479,473  
      D/S Norden A.S.                              9,056      855,640  
  #   Dalhoff, Larson & Horneman A.S. Series B    32,000      339,858  
  *   Danionics A.S. Series A                     32,000       41,126  
      Dantherm Holding A.S.                       13,100      272,541  
      DFDS A.S.                                   11,910    1,262,115  
      DiBa Bank A.S.                              11,660      332,946  
      Djursland Bank A.S.                          8,970      555,345  
      East Asiatic Co., Ltd. A.S.                 54,237    3,280,714  
      F.E. Bording A.S.                              600       89,972  
  #   Fionia Bank A.S.                            65,160    1,029,714  
      Fluegger A.S. Series B                       4,198      346,754  
  #   Forstaedernes Bank A.S.                     65,613      972,615  
# *   GN Great Nordic A.S.                        90,407      505,032  
  *   GPV Industi A.S.                             2,200       57,570  
  *   Greentech Energy Systems A.S.               23,655      313,652  
      Gronlandsbanken                                768       76,303  
  #   H&H International A.S. Series B              1,920      311,233  
      Harboes Bryggeri A.S.                       10,250      241,612  
      Hojgaard Holding A.S. Series B               2,750       86,364  
  #   IC Companys A.S.                            33,305      955,783  
  *   Incentive A.S.                               3,575       13,010  
      Lan & Spar Bank A.S.                         5,150      408,173  
  *   Lastas A.S. Series B                        11,200      220,785  
      Lollands Bank A.S.                             750       43,949  
# *   Maconomy Corp. A.S.                         63,000      128,622  
      Mols-Linien A.S.                            28,500      650,074  


                                        

                                       3

--------------------------------------------------------------------------------

                                        

# *   NeuroSearch A.S.                        43,254    2,290,640  
      NKT Holding A.S.                        44,180    2,506,862  
      Nordjyske Bank A.S.                     17,600      429,442  
      Norresundby Bank A.S.                    7,350      364,762  
      Ostjydsk Bank A.S.                       2,554      332,391  
# *   Parken Sport & Entertainment A.S.        8,474    2,111,174  
      Per Aarsleff A.S. Series B               6,145      742,483  
  *   Pharmexa A.S.                          142,740       73,256  
  #   Ringkjoebing Landbobank Aktieselskab    15,330    1,860,984  
      Roblon A.S. Series B                       540      107,194  
  #   Royal Unibrew A.S.                      12,815    1,106,732  
# *   RTX Telecom A.S.                        14,000       73,947  
      Salling Bank A.S.                          910      134,172  
  #   Sanistal A.S. Series B                   4,436      322,512  
  #   Satair A.S.                              8,525      353,687  
  #   Schouw & Co.                            73,068    2,433,331  
      SimCorp A.S.                            16,940    2,492,129  
  #   Sjaelso Gruppen A.S.                    68,030    1,125,467  
      SKAKO Industries A.S.                    5,130      118,200  
  *   Skandinavian Brake Systems A.S.          1,925       60,330  
  *   Solar Holdings A.S. Series B             1,237       92,546  
  *   Sondagsavisen A.S.                      36,665      223,554  
      Spar Nord Bank A.S.                    118,769    1,763,270  
      Sparbank                                10,930      487,018  
      Sparekassen Faaborg A.S.                 2,027      573,994  
      Sydbank A.S.                            26,711      870,326  
      Thrane & Thrane A.S.                     9,883      583,689  
      Tivoli A.S.                                997      712,878  
  *   TK Development A.S.                     91,681    1,052,662  
# *   TopoTarget A.S.                        151,600      345,618  
      Vestfyns Bank A.S.                         680      111,791  
      Vestjysk Bank A.S.                      29,755    1,156,630  
TOTAL — DENMARK                                        50,434,876  
                                                                   
FINLAND — (5.4%)                                                   
COMMON STOCKS — (5.4%)                                             
  *   Ahlstrom Oyj                             3,026       64,353  
      Alandsbanken AB Series B                18,190      658,929  
# *   Aldata Solutions Oyj                   194,535      310,477  
  #   Alma Media                             286,800    3,784,237  
      Amanda Capital Oyj                      67,120      294,030  
  #   Amer Sports Oyj Series A               316,440    4,261,112  
  #   Aspo Oyj                                70,175      583,928  
      BasWare Oyj                             34,550      385,768  
  *   Biotie Therapies Corp.                 265,590      218,240  
      Cargotec Oyj Series B                  113,014    3,464,654  
  #   Componenta Oyj                          34,400      581,385  
  #   Comptel P.L.C.                         334,565      685,099  
  #   Cramo Oyj                              107,300    1,295,888  
  #   Efore Oyj                              129,540      179,380  
# *   Elcoteq SE                              66,810      427,691  


                                        

                                       4

--------------------------------------------------------------------------------

                                        

  #   Elektrobit Corp.             401,120      505,614  
      Elisa Oyj                    310,427    6,621,981  
  #   Etteplan Oyj                  62,600      431,557  
  #   Finnair Oyj                  191,942    1,513,194  
  #   Finnlines Oyj                110,260    2,167,936  
      Fiskars Oyj Abp Series A     187,088    2,792,015  
  #   F-Secure Oyj                 447,078    1,692,446  
  *   GeoSentric Oyj               225,900       16,570  
      Glaston Oyj Abp              131,940      487,118  
      HKScan Oyj Series A           74,560      703,115  
      Huhtamaki Oyj                348,750    3,511,659  
      Ilkka-Yhtyma Oyj              35,460      556,675  
  #   Ixonos P.L.C.                 26,100      163,922  
      KCI Konecranes Oyj           251,100    8,287,776  
  #   Kemira Oyj                   256,300    3,203,373  
      Laennen Tehtaat Oyj           18,920      442,673  
  #   Lassila & Tikanoja Oyj       121,476    2,750,685  
      Lemminkainen Oyj              52,700    1,734,353  
      Martela Oyj                    1,060       12,700  
  #   M-Real Oyj Series B          775,393    1,405,621  
      Neomarkka Oyj                 16,652      240,959  
  #   Nokian Renkaat Oyj           377,280   13,435,946  
      Nordic Aluminium Oyj          10,440      311,938  
      Okmetic Oyj                   54,904      233,502  
  #   Olvi Oyj Series A             32,290    1,018,452  
      Oriola-KD Oyj Class A         26,000       91,518  
      Oriola-KD Oyj Class B         31,639      111,201  
      Orion Oyj Series A            89,752    1,689,734  
      Orion Oyj Series B           261,298    4,918,231  
  *   Outotec Oyj                   37,093    1,685,047  
      PKC Group Oyj                 48,390      574,216  
      Pohjola Bank P.L.C.          254,211    4,102,669  
  #   Ponsse Oyj                    82,280    1,275,824  
      Poyry Oyj                    186,140    4,516,985  
      Raisio P.L.C.                476,433    1,208,900  
  #   Ramirent Oyj                 308,660    2,145,631  
      Rapala VMC Oyj               116,640      772,608  
      Raute Oyj Series A            10,390      213,289  
      Rocla Oyj                     12,300      160,453  
# *   Ruukki Group Oyj             171,468      475,998  
      Scanfil Oyj                  123,479      439,273  
      Sponda Oyj                   159,511    1,269,567  
      Stockmann Oyj Abp Series A    45,225    1,333,368  
  #   Stockmann Oyj Abp Series B   102,904    2,900,916  
  *   Suominen Oyj                  17,955       42,962  
      SYSOPENDIGIA P.L.C.           55,020      254,842  
      Talentum Oyj                 133,500      559,057  
  #   Tecnomen Oyj                 196,570      305,095  
  #   Teleste Oyi                   53,559      352,567  
      TietoEnator Oyj              285,929    5,613,970  
  #   Tiimari P.L.C.                18,880       97,084  
      Trainers’ House P.L.C.       107,200      138,352  


                                        

                                       5

--------------------------------------------------------------------------------

                                        

  #   Tulikivi Oyj                                          79,440       156,929  
      Turkistuottajat Oyj                                    8,490       110,110  
  #   Uponor Oyj Series A                                  212,400     2,920,482  
  #   Vacon Oyj                                             44,337     1,839,661  
  #   Vaisala Oyj Series A                                  40,300     1,642,388  
      Viking Line AB                                        10,710       581,645  
      YIT Oyj                                              368,321     5,729,253  
TOTAL — FINLAND                                                      121,666,776  
                                                                                  
FRANCE — (12.1%)                                                                  
COMMON STOCKS — (12.1%)                                                           
      Akka Technologies SA                                   5,500       109,396  
      Ales Groupe SA                                        33,613       810,911  
  *   Alten                                                 62,436     2,421,402  
# *   Altran Technologies SA                               354,071     3,092,975  
      April Group SA                                        72,959     4,013,875  
# *   Archos                                                22,331       221,829  
      Arkema                                               205,315     9,903,537  
# *   Aryzta AG                                             51,336     2,671,346  
  #   Assystem                                              54,087       848,113  
      Atos Origin SA                                        75,279     4,045,714  
      Aubay                                                 28,405       199,565  
  #   Audika SA                                             22,509       998,670  
# *   Avanquest Software                                    19,360       108,599  
  *   Axorys SA                                             11,700        12,358  
  *   Baccarat SA                                            1,090       332,379  
      Banque Tarneaud SA                                     1,430       255,715  
  #   Beneteau SA                                          182,095     3,089,366  
  *   Bigben Interactive                                     7,762        85,512  
      bioMerieux                                            14,590     1,587,152  
      Boiron SA                                             25,907       739,924  
      Boizel Chanoine Champagne SA                           6,304       645,295  
      Bonduelle SCA                                         13,165     1,251,477  
      Bongrain SA                                           15,098     1,216,574  
  #   Bourbon SA                                           151,879     8,653,042  
  *   Bull SA                                              298,028     1,075,182  
      Burelle SA                                             4,030       605,966  
      Cafom SA                                               5,092        86,877  
  #   Canal Plus SA                                        280,788     2,892,633  
      Carbone Lorraine SA                                   56,469     3,214,963  
  #   CBo Territoria                                        28,320       109,538  
  #   Cegedim SA                                            11,509     1,004,065  
      Cegid Group                                           22,866       560,726  
  *   Cesar SA                                              14,219        32,124  
  #   Clarins SA                                            44,302     3,600,676  
# *   Club Mediterranee SA                                  46,578     2,100,967  
      Compagnie Industrielle et Financiere D’Entreprises       300       116,190  
      Compagnie International Andre Trigano SA                 983        89,305  
      CS Communication & Systemes                            7,938       196,282  
      Damartex SA                                           21,869       480,467  
      Delachaux SA                                          28,440     2,855,313  


                                        

                                       6

--------------------------------------------------------------------------------

 

  #   Derichebourg                           627,328   4,428,147  
  *   Dollfus Mieg & Cie SA                   54,239      92,303  
      EDF Energies Nouvelles SA                5,346     351,323  
      Electricite de Strasbourg               23,384   4,175,519  
      Esso Ste Anonyme Francaise               9,211   1,848,867  
      Establissements Maurel et Prom         304,876   6,302,003  
      Etam Developpement SA                   23,815     649,245  
  #   Euler Hermes SA                         22,466   1,797,976  
  *   Euro Disney SCA (4320878)                   89          16  
# *   Euro Disney SCA (B29QD14)               49,814     593,418  
      Exel Industries SA                      11,164     615,570  
      Explosifs et de Produits Chimiques         524     261,058  
  *   Faurecia SA                             60,033   2,279,052  
  #   Fimalac SA                              30,857   2,410,722  
      Finuchem SA                             18,510     238,833  
      Fleury Michon SA                         4,694     202,128  
      Francois Freres (Tonnellerie) SA         3,839     179,752  
      Gascogne SA                              7,112     594,172  
      Gaumont SA                              14,607   1,249,779  
# *   GECI International                      63,334     283,155  
  *   GECI International I07 Shares           10,786       2,057  
      Gevelot SA                               3,584     257,496  
      GFI Informatique SA                    126,539     790,912  
      Gifi                                     7,579     466,421  
      Ginger (Groupe Ingenierie Europe)       10,523     222,814  
  #   GL Events                               38,586   1,018,204  
      GPe Pizzorno                             5,200     143,876  
      Grands Moulins de Strasbourg               110      81,028  
  *   Groupe Ares                             21,994      36,461  
      Groupe Crit                             24,673     647,079  
  #   Groupe Flo SA                           22,019     169,027  
  *   Groupe Go Sport SA                       2,740     128,581  
      Groupe Guillin SA                        1,200     101,318  
  #   Groupe Open                             27,590     398,247  
  #   Groupe Steria SCA                       67,611   1,816,557  
  #   Guerbet SA                               5,997   1,080,295  
      Guyenne et Gascogne SA                  26,000   3,101,493  
  #   Haulotte Group SA                       57,491     817,942  
  #   Havas SA                             1,200,777   4,654,870  
      Idsud                                    2,227     142,062  
      IMS International Metal Service SA      55,060   1,241,392  
# *   Infogrames Entertainment SA             22,492     443,481  
      Ingenico SA                            104,551   3,055,029  
      Ipsen SA                                15,549     842,255  
      Ipsos SA                                86,106   2,894,991  
      Lafuma SA                                6,384     247,144  
  #   Laurent-Perrier                         12,172   1,694,261  
# *   Lectra                                  85,992     378,884  
      Lisi SA                                 16,534   1,333,159  
# *   LVL Medical Groupe SA                   24,346     380,662  
      M6 Metropole Television                152,539   3,396,681  
  #   Maisons Franc                           12,826     396,774  


                                        

                                       7

--------------------------------------------------------------------------------

                                        

   #   Manitou BF SA                                          48,280    1,301,879  
   #   Manutan International SA                               13,920      897,280  
       MGI Coutier SA                                          2,753       74,664  
   *   MoneyLine SA                                               11            —  
       Montupet SA                                            32,450      320,851  
       Mr. Bricolage SA                                       23,846      477,549  
   #   Naturex                                                 6,954      289,714  
       Neopost SA                                             59,263    6,178,501  
       Nexans SA                                              95,135   11,988,063  
   #   Nexity                                                 82,640    1,910,562  
       Norbert Dentressangle                                  12,697    1,042,731  
   #   NRJ Group                                             177,024    1,909,896  
       Oberthur Card Systems SA                              146,029    1,036,075  
   *   Oeneo                                                 102,487      238,159  
       Orco Property Group                                    23,967      894,375  
   *   Orpea                                                 100,822    5,849,804  
   *   Osiatis                                                 1,400        6,146  
       Paris Orleans et Cie SA                                 2,660       99,925  
       Pierre & Vacances                                      16,031    1,411,350  
   #   Plastic Omnium SA                                      30,846      917,294  
       Plastivaloire SA                                        4,552      157,803  
       PSB Industries SA                                       8,438      314,935  
       Radiall SA                                              5,387      579,368  
       Rallye SA                                              79,415    3,607,335  
   *   Recylex SA                                             35,449      386,208  
   *   Remy Cointreau SA                                      75,348    3,970,880  
   #   Rexel SA                                               19,368      293,002  
       Rhodia SA                                             201,262    3,913,539  
       Robertet SA                                             3,167      404,058  
 # *   Rodriguez Group SA                                     27,733      349,313  
       Rougier SA                                              6,120      491,414  
   #   Rubis SA                                               31,132    2,486,971  
 # *   S.T. Dupont SA                                         39,440       15,010  
       Sabeton SA                                             13,500      244,241  
       Saft Groupe SA                                         42,516    1,850,052  
       SAMSE SA                                                8,800      760,746  
       SCOR SE                                               276,843    6,378,060  
       SEB SA                                                 87,999    4,775,281  
       Sechilienne SA                                         56,545    4,138,857  
       Securidev SA                                            2,500       89,184  
   *   Seloger.com                                             2,853       73,293  
   #   Signaux Girod SA                                          894       87,026  
   *   Smoby SA                                                1,172            —  
       Societe BIC SA                                         87,318    5,268,105  
       Societe des Bains de Mer et du Cercle des                                  
       Etrangers a Monaco                                      4,615    4,464,285  
   #   Societe Industrielle D’Aviations Latecoere SA          21,731      250,926  
       Societe Marseillaise du Tunnel Prado Carenage          11,588      405,677  
       Societe Pour l’Informatique Industrielle SA            40,908      333,771  
       Societe Television Francaise 1                         53,243      925,079  
 # *   Soitec SA                                             231,215    1,696,631  
   *   Solving International SA                                9,949       40,473  
       Somfy SA                                               22,500    5,109,320  


                                        

                                       8

--------------------------------------------------------------------------------

                                        

      Sopra Group SA                                   23,668     1,856,269  
      Sperian Protection                               19,071     2,296,215  
      Spir Communication SA                             7,977       413,787  
  #   Stallergenes SA                                  33,674     2,784,146  
      STEF-TFE                                         29,698     1,828,942  
      Sucriere de Pithiviers Le Vieil                   1,825     1,444,075  
      Synergie SA                                      33,924       836,025  
      Teleperformance SA                              162,718     5,811,322  
      Tessi SA                                          5,050       246,425  
# *   Theolia SA                                       88,858     1,882,437  
  *   Thomson                                          36,984       171,568  
      Toupargel Groupe                                 21,016       448,946  
  #   Trigano SA                                       59,181       857,484  
  *   UbiSoft Entertainment SA                        100,941     9,415,753  
  #   Union Financiere de France Banque SA             16,369       753,709  
      Valeo SA                                        239,919     8,554,523  
  *   Valtech                                         295,958       168,305  
      Viel et Compagnie                               162,852       914,689  
      Vilmorin et Cie SA                               19,383     2,952,428  
      Virbac SA                                        16,735     1,469,298  
      VM Materiaux SA                                   6,914       503,406  
      Vranken Pommery Monopole                          9,879       608,538  
  #   Zodiac SA                                       109,073     5,469,327  
TOTAL COMMON STOCKS                                             269,663,769  
                                                                             
RIGHTS/WARRANTS — (0.0%)                                                     
  *   Ales Groupe SA Warrants 03/23/09                    316         2,422  
  *   Bigben Interactive Warrants 12/31/08              2,100         2,157  
  *   Cybergun Warrants Series A 07/15/09               1,136           283  
  *   Cybergun Warrants Series B 07/15/10               1,136            17  
  *   Groupe Ares Warrants 12/18/08                     4,713           415  
  *   Groupe Focal SA Warrants 02/21/10                   466             —  
  *   Infogrames Entertainment SA Warrants 12/31/09    77,830         7,993  
TOTAL RIGHTS/WARRANTS                                                13,287  
                                                                             
TOTAL — FRANCE                                                  269,677,056  
                                                                             
GERMANY — (13.6%)                                                            
COMMON STOCKS — (13.6%)                                                      
  *   3U Holding AG                                   101,855       104,327  
      A.S. Creation Tapeton AG                          6,853       328,730  
  *   AAP Implantate AG                                47,250       155,405  
  #   Aareal Bank AG                                  119,547     2,865,976  
      ADCapital AG                                     33,040       479,348  
# *   Adlink Internet Media AG                         71,772       767,193  
# *   ADVA AG Optical Networking                       96,672       250,319  
      Agrob AG                                          5,800        94,811  
  #   Aixtron AG                                      266,763     2,788,530  
      Altana AG                                       199,681     3,182,494  
      Amadeus Fire AG                                  16,192       295,019  
      Andreae-Noris Zahn AG                            27,200     1,253,286  


                                        

                                       9

--------------------------------------------------------------------------------

                                        

  *   Arcandor AG                          46,905     373,331  
  *   Artnet AG                            16,292     143,098  
  *   Augusta Technologie AG               27,184     571,785  
      Baader Bank AG                      142,376     638,511  
# *   Balda AG                            155,088     367,341  
      Bauer AG                              4,607     386,814  
# *   Beate Uhse AG                        84,361     132,294  
      Bechtle AG                           40,189   1,201,915  
      Bertrandt AG                         23,282     895,069  
  *   Beta Systems Software AG              8,550      66,379  
      Bilfinger Berger AG                 134,277   9,424,472  
  *   Biolitec AG                          26,843     192,371  
  #   Biotest AG                           22,203   2,142,825  
  *   BKN International AG                 35,508     124,816  
      BMP AG                               50,479      88,545  
  #   Boewe Systec AG                      15,333     386,048  
# *   Borussia Dortmund GmbH & Co. KGaA   208,512     500,083  
# *   Business Media China AG              15,212     309,918  
  *   Carl Zeiss Meditec AG                14,788     246,899  
      Cenit AG                             18,394     113,107  
# *   CENTROTEC Sustainable AG             42,280     888,395  
      Cewe Color Holding AG                13,917     448,912  
  #   ComBOTS AG                           35,655     439,500  
      Comdirect Bank AG                   135,842   1,400,561  
      Computerlinks AG                     16,965     400,213  
  *   Condomi AG                            1,800           —  
# *   Conergy AG                           94,598   1,377,349  
      CTS Eventim AG                       53,393   1,825,189  
  #   Curanum AG                           83,165     474,681  
  *   D. Logistics AG                     113,203     210,751  
  #   DAB Bank AG                         133,926     942,092  
      Data Modul AG                        10,414     197,833  
  *   DEAG Deutsche Entertainment AG       46,661      77,157  
  *   Demag Cranes AG                      14,647     794,173  
      Deutsche Euroshop AG                 87,386   3,025,815  
  *   Deutsche Wohnen AG                   70,767   1,048,899  
  #   Deutz AG                            257,064   1,595,568  
      Dierig Holding AG                    10,500      98,809  
  #   Douglas Holding AG                  103,337   4,581,073  
  #   Dr. Hoenle AG                        14,858     196,155  
      Drillisch AG                         92,184     546,438  
      Duerr AG                             38,845   1,315,081  
      DVB Bank AG                         178,650   7,001,879  
  *   Easy Software AG                     13,167      83,791  
      Elexis AG                            32,938     770,968  
  *   Elmos Semiconductor AG               34,592     253,978  
      ElreingKlinger AG                    18,000     414,048  
# *   EM. Sports Media AG                 160,173     578,049  
      Epcos AG                            233,608   6,026,971  
      Erlus AG                                297     119,709  
# *   Escada AG                            40,309     753,565  
      Euwax AG                             18,514   1,280,402  


                                        

                                       10

--------------------------------------------------------------------------------

                                        

# *   Evotec AG                          196,039     404,360  
      Fielmann AG                         58,362   4,444,509  
  *   FJA AG                              77,417     289,308  
# *   Freenet AG                         231,964   3,380,926  
      Fuchs Petrolub AG                   30,747   2,583,172  
      GBW AG                              28,417     614,915  
      Gerry Weber International AG        49,579   1,391,418  
      Gesco AG                             9,455     715,659  
      GFK AG                              77,709   2,809,814  
  *   GFT Technologies AG                 66,050     244,417  
      Gildemeister AG                     45,303   1,084,152  
# *   GPC Biotech AG                     106,084     223,759  
      Grammer AG                           5,985     131,757  
  #   Grenkeleasing AG                    32,424   1,082,374  
      Hamborner AG                        63,000     711,566  
  *   Hansa Group AG                     146,815     363,233  
      Hawesko Holding AG                  20,044     645,984  
  #   Heidelberger Druckmaschinen AG     158,748   3,235,975  
  *   Hoeft & Wessel AG                   19,640     144,149  
# *   IKB Deutsche Industriebank AG       21,843      75,294  
      Indus Holding AG                    41,345   1,136,439  
      Innovation in Traffic Systems AG    23,949     269,041  
  *   Integralis AG                       34,269     251,719  
      INTERSEROH AG                       22,803   1,859,567  
# *   Intershop Communications AG         58,426     190,431  
  #   Isra Vision Systems AG              10,917     186,188  
      IVG Immobilien AG                   98,946   1,823,410  
  *   IVU Traffic Technologies AG         39,047      48,580  
  *   Jenoptik AG                        157,826   1,106,795  
      K&S AG                              29,624   3,575,250  
  *   Kampa AG                            35,505     157,032  
      KERAMAG Keramische Werke AG         13,000   1,355,866  
      Kloeckner & Co. SE                  69,122   2,728,419  
      Kontron AG                         181,781   2,316,272  
      Krones AG                           74,790   5,471,808  
      KSB AG                               4,521   3,132,818  
  #   Kuka AG                             85,711   1,986,773  
      KWS Saat AG                         24,461   4,243,485  
      Lanxess AG                         225,235   8,637,642  
  *   Leifheit AG                         12,500     206,497  
      Leoni AG                           115,861   5,147,056  
      Loewe AG                            25,187     492,508  
  #   LPKF Laser & Electronics AG         28,874     129,185  
  *   Manz Automation AG                     553     115,944  
  #   MasterFlex AG                       10,531     172,592  
  *   Mediclin AG                         79,703     332,548  
# *   Medigene AG                         90,111     765,413  
  #   Medion AG                           84,110   1,455,097  
      Mensch und Maschine Software AG     27,532     216,909  
  #   MLP AG                             220,135   4,455,914  
  *   Mologen AG                          22,062     224,343  
  *   Morphosys AG                        19,723   1,437,531  


                                        

                                       11

--------------------------------------------------------------------------------

                                        

       MTU Aero Engines Holding AG                           168,097    5,828,693  
       Muehlabauer Holdings AG & Co. KGAA                     15,349      523,950  
       MVV Energie AG                                        140,767    6,697,660  
   #   Nemetschek AG                                          23,340      563,281  
   *   Nexus AG                                               37,949      126,469  
       Norddeutsche Affinerie AG                             155,196    7,151,563  
 # *   Nordex AG                                             108,048    3,913,433  
   #   OHB Technology AG                                      37,069      491,587  
       Oldenburgische Landesbank AG                            4,234      332,045  
   *   P&I Personal & Informatik AG                           17,889      458,997  
   *   Paion AG                                               34,834       62,489  
       Paragon AG                                             22,134      205,013  
   #   PC-Ware AG                                             15,184      344,195  
   #   Pfeiffer Vacuum Technology AG                          31,639    2,776,092  
   #   Pfleiderer AG                                         171,935    2,579,521  
   *   Pixelpark AG                                           89,712       47,932  
 # *   Plambeck Neue Energien AG                             148,115      594,464  
       Praktiker Bau- Und Heimwerkermaerkte AG               111,800    1,670,719  
 # *   Premiere AG                                           314,084    5,771,946  
       Progress-Werk Oberkirch AG                              6,250      305,213  
       PSI AG fuer Produkte und Systeme der                                       
   *   Informationstechnologie                                40,859      272,544  
   *   Pulsion Medical Systems AG                             26,674      138,757  
   *   PVATepla AG                                            51,882      528,497  
 # *   QIAGEN NV                                             566,184   11,974,578  
 # *   QSC AG                                                295,921      882,679  
       R. Stahl AG                                            14,839      651,474  
   #   Rational AG                                            15,083    2,645,647  
       REALTECH AG                                            13,541      279,715  
       Renk AG                                                19,400    1,794,198  
   *   REpower Systems AG                                     21,093    6,918,658  
       Rheinmetall AG                                        110,565    7,031,614  
       Rhoen-Klinikum AG                                     293,208    9,793,249  
       Ruecker AG                                             21,675      225,832  
   *   S.A.G. Solarstrom AG                                   47,672      167,574  
       Sartorius AG                                           32,181      909,998  
   #   Schlott Sebaldus AG                                    15,429      296,636  
       Sektkellerei Schloss Wachenheim AG                     15,120      141,764  
   *   Senator Entertainment AG                                  980        1,457  
   *   SGL Carbon AG                                         224,335   13,463,274  
       Silicon Sensor International AG                        12,195      142,668  
 # *   Singulus Technologies AG                              112,455    1,113,510  
   *   Sinner AG                                               2,660       74,076  
       Sixt AG                                                38,312    1,163,193  
       SM Wirtschaftsberatungs AG                             18,841      268,042  
       Software AG                                            72,145    5,320,535  
 # *   Solar Millennium AG                                    35,500    1,363,517  
 # *   Solon AG fuer Solartechnik                             18,988    1,173,507  
   #   Stada Arzneimittel AG                                 178,386    9,753,852  
       STINAG Stuttgarter Invest AG                           36,048    1,307,790  
   *   Stoehr & Co. AG                                        16,000       93,653  
   #   Stratec Biomedical Systems AG                          27,297      776,399  
       Sued-Chemie AG                                         29,146    3,569,739  


                                        

                                       12

--------------------------------------------------------------------------------

                                        

  #   Suedzucker AG                                       54,163       918,072  
# *   Suess Microtec AG                                   59,969       334,434  
      Symrise AG                                         134,213     2,323,897  
      Syzygy AG                                           30,656       142,610  
      Takkt AG                                           146,687     2,465,576  
  *   TDS Informationstechnologie AG                      89,063       482,419  
  #   Technotrans AG                                      21,735       245,149  
      Telegate AG                                         20,500       321,201  
  *   Teles AG                                            37,274       152,697  
      Textilgruppe Hof AG                                 12,170       138,935  
# *   Tomorrow Focus AG                                  101,081       433,782  
      Umweltbank AG                                       17,805       361,508  
      United Internet AG                                  27,992       406,545  
  #   Utimaco Safeware AG                                 35,121       743,046  
      VBH Holding AG                                       9,415        72,133  
# *   Versatel AG                                          5,266       122,808  
  #   Vivacon AG                                          60,307       862,068  
      Vossloh AG                                          37,005     4,802,210  
  *   Wanderer-Werke AG                                    7,903       137,681  
  *   Washtec AG                                          54,420       797,480  
      Wincor Nixdorf AG                                  115,500     8,457,465  
  *   Wirecard AG                                        210,816     2,578,926  
      Wuerttembergische Lebensversicherung AG             28,123     1,098,724  
      Wuerttembergische Metallwarenfabrik AG              30,330     1,249,112  
# *   Zapf Creation AG                                    29,235       128,552  
TOTAL — GERMANY                                                    304,705,794  
                                                                                
GREECE — (3.7%)                                                                 
COMMON STOCKS — (3.7%)                                                          
  *   Aegek S.A.                                         437,330       171,091  
      Agricultural Bank of Greece S.A.                    36,344       126,065  
      Alapis Holdings Industrial & Commercial S.A.     2,156,420     5,379,987  
      Alco Hellas ABEE S.A.                              103,281       130,409  
  *   Alfa Alfa Energy S.A.                                3,810         7,769  
  *   Alfa Alfa Holdings S.A.                            104,982             —  
      Alfa-Beta Vassilopoulos S.A.                        21,502     1,146,572  
  *   Alte Technical Co.                                  85,048         9,982  
  *   Altec S.A. Information & Communication Systems      80,278        68,687  
      Alumil Milonas Aluminum Industry S.A.               52,886       195,797  
  *   Alysida S.A.                                         2,376         6,940  
      Anek Lines S.A.                                    639,521     1,757,612  
      Aspis Bank S.A.                                    228,007       614,627  
  *   Astir Palace Hotels S.A.                            98,660       650,550  
      Athens Medical Center S.A.                         150,874       439,643  
  *   Atlantic Supermarkets S.A.                          35,080        86,904  
      Atti-Kat S.A.                                      196,084       145,195  
      Autohellas S.A.                                     83,520       290,271  
  *   Babis Vovos International Construction S.A.         61,592     1,774,945  
  *   Balafas S.A.                                        15,200         4,237  
  *   Balkan Real Estate S.A.                             41,970       170,839  
      Bank of Attica S.A.                                208,497     1,058,893  


                                        

                                       13

--------------------------------------------------------------------------------

                                        

    Bank of Greece                                             75,415   6,933,733  
    Benrubi S.A.                                               27,741     158,440  
    C. Rokas S.A.                                              44,569   1,038,458  
    Centric Multimedia S.A.                                    51,942     201,973  
*   Daios Plastics S.A.                                        16,350     216,248  
    Diagnostic & Therapeutic Center of Athens “Hygeia” S.A.   183,016     907,903  
*   Dynamic Life S.A.                                          16,440           —  
*   Edrasis-C.Psalllidas Technical Co.                         69,338      77,726  
    Elastron S.A.                                              86,086     178,799  
*   Elbisco Holding S.A.                                       28,098      24,622  
    Elektrak S.A.                                              36,580     239,181  
    Elektroniki Athinon S.A.                                   34,490     315,490  
*   Elephant S.A.                                              26,310           —  
    Ellaktor S.A.                                             523,226   5,131,689  
*   Empedos S.A.                                               15,974       1,875  
*   Emporiki Bank of Greece S.A.                                4,980      96,816  
    ETEM S.A.                                                  64,874     107,759  
    Etma Rayon S.A.                                            11,242      23,254  
    Euro Reliance General Insurance Co. S.A.                   55,110     177,052  
    Euromedica S.A.                                            64,900     506,143  
*   European Technical S.A.                                    32,750      11,051  
    EYDAP Athens Water Supply & Sewage Co. S.A.                50,909     682,055  
    F.G. Europe S.A.                                            4,536      14,176  
*   Forthnet S.A.                                             461,900   1,679,189  
    Fourlis Holdings S.A.                                     132,326   2,801,519  
    Frigoglass S.A.                                            88,060   1,625,651  
    GEK Group of Cos S.A.                                     176,229   1,769,809  
    General Commercial S.A.                                    64,410      59,049  
*   Geniki Bank                                               241,630   1,268,249  
    Greek Postal Savings Bank                                 332,327   4,462,315  
    Halkor S.A.                                               226,556     515,950  
*   Hatzioannou Holdings S.A.                                 157,062     182,130  
    Hellenic Cables S.A.                                       65,236     256,365  
    Hellenic Duty Free Shops S.A.                             101,270   1,598,660  
    Hellenic Exchanges S.A.                                   137,358   1,621,199  
*   Hellenic Sugar Industry S.A.                               78,005     302,763  
    Heracles General Cement Co. S.A.                           93,293   1,677,392  
    Iaso S.A.                                                 212,195   2,144,524  
    Inform P. Lykos S.A.                                       35,570     181,201  
*   Informatics S.A.                                            3,778       1,718  
*   Intersat S.A.                                              19,392           —  
*   Intracom Holdings S.A.                                    313,706     753,123  
    Intracom Technical & Steel Constructions S.A.             105,050     125,082  
*   Ionian Hotel Enterprises S.A.                              16,914     407,890  
*   Ipirotiki Software & Publications S.A.                     22,110      62,927  
    J&P-Avax S.A.                                             163,746     919,088  
    Karelia Tobacco Co., Inc. S.A.                              5,810     468,297  
    Kathimerini Publishing S.A.                                47,170     426,311  
*   Katselis Sons S.A. Bread Industry                          41,545      58,539  
    Lambrakis Press S.A.                                      118,587     549,610  
*   Lan-Net S.A.                                              126,887      22,338  
*   Lavipharm S.A.                                             96,324     278,510  


                                        

                                       14

--------------------------------------------------------------------------------

 

*   Loulis Mills S.A.                                41,702      169,088  
*   M.J. Mailis S.A.                                154,984      166,755  
*   Maritime Company of Lesvos S.A.                 299,836      208,894  
    Metka S.A.                                      100,500    1,865,986  
    Michaniki S.A.                                  165,545      735,377  
    Minoan Lines S.A.                               248,689    1,528,931  
    Motodynamic S.A.                                  5,118       28,719  
    Motor Oil (Hellas) Corinth Refineries S.A.      133,220    2,529,758  
*   Multirama S.A.                                   10,990       58,021  
    Mytilineos Holdings S.A.                        317,226    3,648,647  
    Nirefs Acquaculture S.A.                        143,700      376,660  
*   Parnassos Enterprises S.A.                       50,700      121,277  
*   Pegasus Publishing S.A.                          95,510      302,174  
*   Petzetakis S.A.                                  49,310       39,277  
    Piraeus Leasing S.A.                              5,765       40,468  
    Piraeus Port Authority S.A.                      17,752      514,886  
*   Promota Hellas S.A.                               8,860        2,990  
    Proton Bank S.A.                                 13,961      132,634  
    Real Estate Development & Services S.A.          94,497      407,702  
    S&B Industrial Minerals S.A.                     56,301      768,549  
    Sanyo Hellas S.A.                               168,151      159,310  
    Sarantis S.A.                                    77,120    1,094,485  
*   Sato Office and Houseware                        62,978       96,080  
*   Selected Textile Industry Assoc. S.A.            87,690       47,185  
    Sfakianakis S.A.                                 91,320      748,054  
    Sidenor Steel Products Manufacturing Co. S.A.    64,637      788,564  
*   Singularlogic S.A.                              100,470      394,607  
*   Spyroy Agricultural Products S.A.                61,348      152,929  
*   Stabilton S.A.                                   27,530        3,231  
*   Technical Olympic S.A.                          298,025      262,331  
*   Technodomi M.Travlos Brothers S.A.               13,910        4,285  
    Teletypos S.A. Mega Channel                      79,988      746,907  
    Terna Tourist Technical & Maritime S.A.         101,190      930,190  
*   Themeliodomi S.A.                                37,422       20,313  
    Thessaloniki Port Authority S.A.                  6,936      280,931  
    Thrace Plastics Co. S.A.                        109,280      160,525  
    Titan Cement Co. S.A.                            78,812    2,918,625  
    Viohalco S.A.                                   418,755    3,428,511  
*   Vioter S.A.                                     167,883      144,039  
TOTAL — GREECE                                                83,528,751  
                                                                          
IRELAND — (2.8%)                                                          
COMMON STOCKS — (2.8%)                                                    
    Abbey P.L.C.                                     86,889      484,618  
*   Aer Lingus Group P.L.C.                          43,504       94,720  
*   Aminex P.L.C.                                   440,966      122,462  
*   Aryzta AG                                       180,993    9,857,141  
*   Blackrock International Land P.L.C.             897,420      170,760  
    C&C Group P.L.C.                                375,871    1,360,315  
*   C&C Group P.L.C.                                156,000      562,621  
*   Datalex P.L.C.                                  248,822      131,149  


                                        

                                       15

--------------------------------------------------------------------------------

                                        

      DCC P.L.C.                                        318,216    7,686,298  
      Donegal Creameries P.L.C.                          26,085      216,180  
  *   Dragon Oil P.L.C.                               1,481,861    8,344,968  
      FBD Holdings P.L.C.                               130,021    2,706,446  
      Fyffes P.L.C.                                   1,051,012      538,423  
      Glanbia P.L.C.                                    788,830    5,204,664  
  *   Glanbia P.L.C.                                      1,000        6,593  
      Greencore Group P.L.C.                            618,747    1,797,387  
      IFG Group P.L.C.                                  205,432      467,138  
      Independent News & Media P.L.C.                 1,051,795    2,291,740  
  *   IONA Technologies P.L.C.                          100,946      381,697  
      Irish Continental Group P.L.C.                     93,833    2,591,257  
  *   Irish Life & Permanent P.L.C.                      51,604      480,490  
# *   Kenmare Resources P.L.C.                        2,265,253    1,455,226  
      Kingspan Group P.L.C.                             362,142    4,124,864  
  *   Lantor                                             34,575            —  
      McInerney Holdings P.L.C.                         657,135      249,877  
      Paddy Power P.L.C.                                185,965    4,347,188  
  *   Providence Resources P.L.C.                     6,258,198      688,092  
      Readymix P.L.C.                                   323,262      379,674  
      Total Produce P.L.C.                              897,420      703,743  
      United Drug P.L.C.                                813,952    4,716,129  
  *   Waterford Wedgwood P.L.C.                       7,869,750       68,968  
TOTAL COMMON STOCKS                                               62,230,828  
                                                                              
RIGHTS/WARRANTS — (0.0%)                                                      
  *   Lantor Escrow Shares 2009                          34,575            —  
TOTAL — IRELAND                                                   62,230,828  
                                                                              
ITALY — (7.4%)                                                                
COMMON STOCKS — (7.4%)                                                        
  *   A.S. Roma SpA                                     293,436      396,625  
      ACEA SpA                                          183,885    3,240,383  
      Acegas-APS SpA                                    114,287      894,429  
      Actelios SpA                                      343,329    3,520,268  
# *   Aedes SpA                                         324,161      469,277  
      Aeroporto de Firenze SpA                           17,918      470,459  
  #   Amplifon SpA                                      521,701    1,556,745  
  *   Ansaldo STS SpA                                     4,230       64,784  
  #   Astaldi SpA                                       222,877    1,747,653  
      Autogrill SpA, Novara                             238,166    2,963,798  
  #   Azimut Holding SpA                                437,146    3,821,222  
  #   Banca Finnat Euramerica SpA                       706,431      842,867  
      Banca Generali SpA                                 21,809      150,578  
      Banca Ifis SpA                                     54,527      674,058  
      Banca Intermobiliare SpA                          319,984    1,943,044  
  *   Banca Italease SpA                                250,936    2,167,222  
      Banca Piccolo Credito Valtellinese Scarl SpA      493,274    4,876,462  
  #   Banca Popolare dell’Etruria e del Lazio Scarl     392,484    3,877,888  
      Banca Profilo SpA                                 253,156      400,744  


                                        

                                       16

--------------------------------------------------------------------------------

                                        

      Banco di Desio e della Brianza SpA                    293,962   2,533,801  
  #   Beghelli SpA                                          427,981     456,855  
      Benetton Group SpA                                    215,540   2,260,732  
      Beni Stabili SpA, Roma                              1,309,500   1,418,842  
      Biesse SpA                                             55,616     662,298  
      Bonifica Terreni Ferraresi e Imprese Agricole SpA      11,191     561,703  
      Brembo SpA                                            145,288   1,657,348  
  #   Bulgari SpA                                           407,043   4,162,739  
  #   C.I.R. SpA - Compagnie Industriali Riunite          1,475,764   3,765,643  
      Caltagirone Editore SpA                               173,503     936,839  
      Caltagirone SpA                                       255,879   1,856,120  
      Cam Finanziaria SpA                                    36,527      41,132  
      Carraro SpA                                            85,800     557,975  
      Cembre SpA                                             40,330     279,936  
      Cementir SpA                                          262,430   1,553,041  
  *   Ciccolella SpA                                         30,000      60,808  
  *   Cirio Finanziaria SpA                                 175,000           —  
      Class Editore SpA                                     165,655     228,014  
      Credito Artigiano SpA                                 371,969   1,445,931  
      Credito Bergamasco SpA                                137,120   5,367,792  
  #   Credito Emiliano SpA                                  234,927   2,204,689  
      CSP International Fashion Group SpA                    79,165     123,918  
      Danieli & Co. SpA                                      97,048   2,895,972  
      Davide Campari - Milano SpA                           470,657   3,928,685  
      De Longhi SpA                                         314,782   1,267,263  
# *   Digital Multimedia Technologies SpA                    25,000     788,846  
  #   Emak SpA                                               57,399     408,173  
  *   ERG Renew SpA                                          95,849     298,864  
  #   ERG SpA                                               195,275   3,965,135  
      Ergo Previdenza SpA                                   128,343     686,895  
  #   Esprinet SpA                                           81,154     396,232  
# *   Fiera Milano SpA                                       37,863     336,969  
  *   Fin.Part SpA                                          133,481           —  
      Gefran SpA                                             31,849     200,170  
  *   Gemina SpA                                          1,222,209   1,518,336  
  #   Geox SpA                                              107,961   1,311,600  
  #   Gewiss SpA                                            249,008   1,358,331  
      Granitifiandre SpA                                     82,117     771,337  
  *   Greenergycapital SpA                                    4,794       4,856  
      Gruppo Ceramiche Ricchetti SpA                        127,131     290,082  
  *   Gruppo Coin SpA                                        77,286     361,908  
  #   Gruppo Editoriale L’Espresso SpA                      808,634   2,019,135  
# *   Guala Closures SpA                                    100,675     631,104  
      Hera SpA                                              844,353   2,841,394  
      I Grandi Viaggi SpA                                    98,547     163,044  
      Immsi SpA                                             717,616     935,216  
# *   Impregilo SpA                                       1,215,577   6,487,852  
  #   Indesit Co. SpA                                       204,479   2,331,503  
      Industria Macchine Automatique SpA                     72,957   1,546,675  
      Industria Romagnola Conduttori Elettrici SpA           43,452     159,475  
      Intek SpA                                             661,259     541,404  
      Interpump Group SpA                                   248,737   2,151,656  


                                        

                                       17

--------------------------------------------------------------------------------

                                        

      Iride SpA                                    1,538,279   4,160,114  
  *   Isagro SpA                                      10,591      77,559  
      Italmobiliare SpA                               24,194   1,744,436  
# *   Juventus Football Club SpA                     403,805     612,739  
      KME Group SpA                                  479,430     547,091  
  #   Mariella Burani SpA                             58,212   1,311,953  
      Marr SpA                                       131,000   1,100,722  
  #   Mediolanum SpA                                 121,382     526,482  
      Meliorbanca SpA                                249,443   1,158,051  
      Milano Assicurazioni SpA                       654,112   3,332,138  
      Mirato SpA                                      36,779     381,892  
  #   Mondadori (Arnoldo) Editore SpA                372,799   2,040,223  
  *   Monrif SpA                                     315,834     323,059  
  *   Montefibre SpA                                 182,887     117,409  
      Navigazione Montanari SpA                      263,594   1,189,495  
  *   NGP SpA                                         17,891       9,186  
  *   Nice SpA                                        14,229      63,297  
  *   Opengate Group SpA                               4,000      11,208  
  *   Pagnossin SpA                                    9,000           —  
  #   PanariaGroup Industrie Ceramiche SpA            42,000     200,609  
      Permasteelisa SpA                               67,249   1,378,114  
# *   Piaggio & C SpA                                364,180     839,251  
# *   Pininfarina SpA                                 31,285     299,643  
  #   Pirelli & C.Real Estate SpA                     41,706     812,753  
  *   Poligrafici Editoriale SpA                     257,869     244,580  
      Premafin Finanziaria SpA                     1,099,328   2,158,622  
  *   RDM Realty SpA                                   5,771      22,941  
      Recordati SpA                                  402,035   2,813,162  
  *   Reno de Medici SpA                             683,435     279,499  
  *   Richard-Ginori 1735 SpA                        140,800      85,103  
# *   Risanamento Napoli SpA                         372,485     664,996  
  #   Sabaf SpA                                       23,325     607,547  
      SAES Getters SpA                                30,068     631,643  
  #   Safilo Group SpA                               518,810     876,311  
  #   SAVE SpA                                        97,954   1,111,473  
  *   Schiapparelli 1824 SpA                       1,053,848      73,325  
      Smurfit Sisa SpA                                69,977     225,781  
  *   Snia SpA                                       334,003     210,927  
# *   Societa Partecipazioni Finanziarie SpA         959,063     561,767  
  #   Societe Cattolica di Assicurazoni Scrl SpA     163,286   7,731,610  
# *   Socotherm SpA                                   66,740     392,146  
      Sogefi SpA                                     324,310   1,171,167  
      Sol SpA                                        194,092   1,146,588  
  *   Sorin SpA                                    1,111,854   1,336,377  
# *   Stefanel SpA                                   216,413     106,484  
  *   Tecnodiffusione Italia SpA                       3,332           —  
# *   Telecom Italia Media SpA                     6,317,650   1,194,453  
# *   Tiscali SpA                                  1,176,229   2,618,345  
  #   Tod’s SpA                                       51,986   3,177,556  
      Trevi Finanziaria SpA                          125,441   2,891,924  
  *   Viaggi del Ventaglio SpA                        93,237      47,920  
      Vianini Industria SpA                           59,070     238,756  


                                        

                                       18

--------------------------------------------------------------------------------

                                        

      Vianini Lavori SpA                  180,752     2,358,351  
  *   Vincenzo Zucchi SpA                 144,350       522,639  
      Vittoria Assicurazioni SpA           62,484       933,472  
TOTAL COMMON STOCKS                                 165,485,663  
                                                                 
RIGHTS/WARRANTS — (0.0%)                                         
  *   Intek SpA Warrants 12/30/11         178,760        25,281  
  *   Negri Bossi SpA Warrants 06/30/10    38,000         7,972  
TOTAL RIGHTS/WARRANTS                                    33,253  
                                                                 
TOTAL — ITALY                                       165,518,916  
                                                                 
NETHERLANDS — (5.8%)                                             
COMMON STOCKS — (5.8%)                                           
      Aalberts Industries NV              365,614     5,622,398  
  #   Accell Group NV                      34,374     1,244,716  
  *   AFC Ajax NV                          18,134       200,434  
      Amsterdam Commodities NV             60,689       372,886  
  #   Arcadis NV                          186,219     3,951,429  
# *   ASM International NV                202,031     5,006,609  
  *   Atag Group NV                         4,630         1,970  
      Batenburg Beheer NV                  10,306       366,709  
# *   BE Semiconductor Industries NV      142,819       633,413  
  #   Beter Bed Holding NV                 69,403       963,597  
      Boskalis Westminster CVA            137,027     8,093,587  
      Brunel International NV              65,086     1,506,381  
      Crown Van Gelder NV                  18,307       251,361  
# *   Crucell NV                          237,868     3,832,751  
# *   Crucell NV ADR                       45,768       737,322  
      DOCdata NV                           22,463       204,278  
  #   Draka Holding NV                     48,947     1,464,251  
      Eriks Group NV                       43,983     2,707,488  
      Exact Holding NV                     97,790     2,967,833  
  #   Fornix Biosciences NV                29,890       401,192  
      Gamma Holding NV                     21,255       758,937  
  *   Gemalto NV                          148,359     6,341,076  
      Grontmij NV                          78,112     2,792,530  
  #   Heijmans NV                          91,720     1,772,053  
      ICT Automatisering NV                35,281       413,672  
      Imtech NV                           256,265     6,574,641  
  #   Innoconcepts NV                      80,237     1,271,532  
  *   Jetix Europe NV                     133,537     3,350,788  
      Kas Bank NV                          49,050     1,696,223  
      Kendrion NV                          41,018       966,888  
      Koninklijke Bam Groep NV            428,118     7,551,497  
      Koninklijke Ten Cate NV              98,255     3,871,369  
      Koninklijke Vopak NV                 73,543     4,330,161  
  *   Laurus NV                           262,779     1,432,756  
  #   Macintosh Retail Group NV            99,784     1,772,899  
  *   Maverix Capital NV                    1,500             —  
      Nederlandsche Apparatenfabriek NV    29,670     1,043,650  


                                        

                                       19

--------------------------------------------------------------------------------

                                        

  *   Nedfield NV                         47,757       183,132  
      Nutreco Holding NV                 143,491     8,858,202  
      Oce NV                             347,053     3,369,794  
      OPG Groep NV                       214,534     3,586,305  
      Ordina NV                          155,263     1,658,987  
# *   Pharming Group NV                  285,229       366,165  
  *   Punch Graphix NV                    12,412        75,931  
# *   Qurius NV                          351,539       250,808  
      Randstad Holdings NV                28,342       869,056  
      Royal Reesink NV                     2,050       272,936  
      RSDB NV                             12,436       648,327  
  *   Samas NV                           114,215       408,939  
      SBM Offshore NV                     63,484     1,535,922  
      Sligro Food Group NV               154,740     5,334,219  
      Smit Internationale NV              45,380     3,496,629  
      Stern Groep NV                       1,258        43,046  
  #   Telegraaf Media Groep NV           173,335     4,580,866  
  *   Textielgroep Twenthe NV              1,000         3,668  
      TKH Group NV                       101,120     2,271,841  
      Unit 4 Agresso NV                   76,624     1,658,899  
      USG People NV                      192,665     3,486,908  
# *   Van der Moolen Holding NV          117,201       864,862  
  *   Wavin NV                            13,516       109,674  
TOTAL — NETHERLANDS                                130,406,393  
                                                                
NORWAY — (3.9%)                                                 
COMMON STOCKS — (3.9%)                                          
  #   Acta Holding ASA                   584,100       537,109  
# *   Aker Yards ASA                     359,443     4,159,079  
  #   Aktiv Kapital ASA                   78,617     1,020,895  
      Arendals Fosse Kompani ASA             100        35,480  
      Austevoll Seafood ASA               12,352        55,055  
# *   Awilco Offshore ASA                275,012     4,258,982  
# *   Birdstep Technology ASA            111,000       129,359  
# *   Blom ASA                            80,567       555,890  
      Bonheur ASA                         67,400     2,951,247  
# *   BW Gas, Ltd.                        83,929       793,207  
  *   BW Offshore, Ltd.                  130,779       332,418  
  #   Camillo Eitze & Co. ASA             58,200       573,943  
  #   Cermaq ASA                         253,442     2,452,874  
# *   Det Norske Oljeselskap ASA       3,140,200     5,043,438  
      DOF ASA                            117,906     1,182,808  
      EDB Business Partner ASA           153,154       830,364  
  *   Eitzen Chemical ASA                     68           240  
      Ekornes ASA                        115,190     1,881,444  
# *   Electromagnetic GeoServices AS      15,100        57,278  
# *   Eltek ASA                          148,239       626,739  
  *   Ementor ASA                        218,164     1,322,431  
      Farstad Shipping ASA                64,740     1,702,584  
      Ganger Rolf ASA                     54,353     2,101,493  
  *   Gregoire ASA                        25,808         6,425  


                                        

                                       20

--------------------------------------------------------------------------------

 

      Havila Shipping ASA                                22,400      330,048  
  *   Ignis ASA                                          37,372       29,016  
# *   IOT Holdings ASA                                   75,603       20,913  
      Itera Consulting Group ASA                        168,000      128,553  
# *   Kongsberg Automotive ASA                          145,800      413,089  
      Kongsberg Gruppen ASA                              49,500    3,325,810  
  *   Kverneland Group ASA                              258,080      590,392  
  #   Leroy Seafood Group ASA                            99,700    1,478,330  
# *   Marine Harvest                                  1,735,400    1,208,723  
  *   Nordic Semiconductor ASA                           51,200      235,133  
# *   Norse Energy Corp. ASA                          1,175,079    1,190,404  
# *   Norske Skogindustrier ASA Series A                125,025      681,673  
# *   Norwegian Air Shuttle ASA                          49,007      431,753  
      Odfjell ASA Series A                               94,900      952,909  
  *   ODIM ASA                                           49,787      781,326  
  #   Olav Thon Eiendomsselskap ASA                      13,360    1,853,823  
# *   PCI Biotech AS                                      3,356        6,653  
# *   Petrolia Drilling ASA                           2,020,000      782,081  
# *   Photocure ASA                                      33,562      211,121  
      Prosafe ASA                                       550,130    4,953,436  
# *   Q-Free ASA                                         85,000      148,788  
  *   Revus Energy ASA                                   62,449      957,699  
      Rieber and Son ASA Series A                       109,654      889,113  
# *   Roxar ASA                                         111,454      103,038  
      Scana Industrier ASA                              294,078      766,788  
      Schibsted ASA                                      52,065    1,337,181  
# *   Sevan Marine ASA                                  494,909    5,084,569  
  *   Software Innovation ASA                            51,795       84,485  
      Solstad Offshore ASA                               59,900    1,285,142  
# *   Songa Offshore ASA                                177,802    2,505,477  
      SpareBanken 1 SMN                                 153,410    1,328,617  
  *   Synnove Finden ASA                                 27,317       96,280  
  #   Tandberg ASA Series A                             311,410    6,736,518  
  *   Tandberg Data ASA                                   1,039          325  
# *   TGS Nopec Geophysical Co. ASA                     442,129    5,903,920  
  #   Tomra Systems ASA                                 604,728    4,093,236  
      TTS Marine ASA                                     41,000      524,835  
      Veidekke ASA                                      319,230    2,039,877  
      Wilh. Wilhelmsen ASA                               63,750    1,993,965  
TOTAL — NORWAY                                                    88,095,821  
                                                                              
PORTUGAL — (1.2%)                                                             
COMMON STOCKS — (1.2%)                                                        
  #   Altri SGPS SA                                      68,155      258,519  
      Banco BPI SA                                      220,141      739,774  
      Corticeira Amorim                                 230,410      437,824  
      Finibanco Holdings SGPS SA                        197,573      823,211  
      Ibersol SGPS SA                                    20,401      219,073  
# *   Impresa Sociedade Gestora de Participacoes SA     380,332      690,490  
# *   Investimentos Participacoes e Gestao SA           319,480      290,353  
      Jeronimo Martins SGPS SA                          753,805    6,457,269  


                                        

                                       21

--------------------------------------------------------------------------------

                                        

   #   Mota-Engil SGPS SA                                    351,723    1,876,425  
   *   Novabase SGPS                                          67,691      493,538  
 # *   ParaRede SGPS SA                                       54,559       96,621  
   #   Portucel-Empresa Produtora de Pasta de Papel SA       851,940    2,533,085  
       PT Multimedia Servicos de Telecomunicacoes e                               
   #   Multimedia SGPS SA                                    299,961    2,356,720  
   #   Sag Gest - Solucoes Automovel Globais SGPS SA         283,240      737,888  
       Sociedade de Investimento e Gestao SGPS SA            265,882    2,991,612  
   #   Sonae Industria SGPS SA                               280,469    1,087,651  
 # *   Sonaecom SGPS SA                                      583,911    1,668,248  
   *   Sporting Sociedade Desportiva de Futebol               10,459       24,452  
       Sumolis - Companhia Industrial de Fruitas e                                
   *   Bebidas SA                                             67,967      174,324  
   #   Teixeira Duarte Engenharia e Construcoes SA           756,680    1,141,869  
       Toyota Caetano Portugal SA                             54,900      831,586  
TOTAL — PORTUGAL                                                       25,930,532  
                                                                                   
SPAIN — (5.0%)                                                                     
COMMON STOCKS — (5.0%)                                                             
   #   Abengoa SA                                            138,172    3,695,349  
   #   Adolfo Dominguez SA                                    20,351      373,753  
   #   Amper SA                                               90,745      939,435  
   #   Antena 3 de Television SA                             247,218    2,221,264  
 # *   Avanzit SA                                            571,836    1,191,528  
 # *   Azkoyen SA                                             67,174      500,196  
   #   Banco de Andalucia SA                                   9,800      675,755  
       Banco de Credito Balear SA                             35,424      610,419  
   #   Banco Guipuzcoano SA                                  344,019    3,833,180  
   #   Banco Pastor SA                                       255,479    2,473,852  
   *   Baron de Ley SA                                        14,325      930,308  
 # *   Bolsas y Mercados Espanoles                            71,165    2,123,309  
   #   Campofrio Alimentacion SA                              99,887    1,360,730  
   #   Cementos Portland Valderrivas SA                       31,558    1,733,223  
       Compania Vinicola del Norte de Espana SA               16,600      396,777  
       Construcciones y Auxiliar de Ferrocarriles SA           7,500    3,120,785  
 # *   Corporacion Dermoestetica                              65,100      409,651  
 # *   Dogi International Fabrics SA                         111,418       99,664  
   #   Duro Felguera SA                                      177,786    1,554,877  
       Ebro Puleva SA                                        313,900    5,414,237  
   #   Electnor SA                                           102,087    4,004,351  
 # *   Ercros SA                                           2,328,584      747,868  
   *   Espanola del Zinc SA                                   29,250       65,002  
   *   Estacionamientos Urbanos SA                             4,200            —  
   #   Faes Farma SA                                         469,000    3,828,786  
 # *   General de Alquiler de Maquinaria                      32,241      601,593  
   #   Gestevision Telecinco SA                               84,182    1,082,963  
       Grupo Catalana Occidente SA                           165,288    4,711,027  
   #   Grupo Empresarial Ence SA                             368,840    2,654,621  
   #   Iberia Lineas Aereas de Espana SA                   1,381,661    4,096,181  
       Iberpapel Gestion SA                                   26,621      501,905  
 # *   Inbesos SA                                             12,494       79,973  
       Indra Sistemas SA                                      47,420    1,213,915  


                                        

                                       22

--------------------------------------------------------------------------------

                                        

       Inmobiliaria del Sur SA                                 2,764       122,027  
   #   La Seda de Barcelona SA                             1,981,134     2,720,158  
       Mecalux SA                                             61,329     1,585,127  
       Miquel y Costas & Miquel SA                            26,111       347,368  
   #   Natra SA                                               88,094       817,329  
 # *   Natraceutical SA                                      746,798       786,836  
   #   NH Hoteles SA                                         260,195     3,172,908  
       Nicolas Correa SA                                      26,994       235,385  
       Obrascon Huarte Lain SA                               133,899     3,777,964  
   #   Papeles y Cartones de Europa SA                       199,144     1,252,748  
       Pescanova SA                                           26,443     1,179,729  
       Prim SA                                                35,840       493,667  
   #   Promotora de Informaciones SA                         312,559     2,721,922  
       Prosegur Cia de Seguridad SA                           90,189     3,599,829  
   #   Service Point Solutions SA                            474,916     1,122,879  
       Sociedad Nacional Inds. Aplicaciones Celulosa                               
 # *   Espanola                                              220,774       527,086  
   #   Sol Melia SA                                          212,854     1,827,535  
   #   SOS Cuetara SA                                        356,909     7,123,555  
 # *   Tavex Algodonera SA                                   244,131       492,994  
 # *   Tecnocom Telecomunicaciones y Energia SA              124,371       658,374  
   #   Tubacex SA                                            439,949     3,758,885  
       Tubos Reunidos SA                                     433,380     2,448,208  
   #   Unipapel SA                                            48,800       898,170  
   *   Urbas Guadahermosa SA                                 247,319        79,702  
 # *   Vertice Trescientos Sesenta Grados SA                  57,183       108,477  
       Vidrala SA                                             66,637     1,891,822  
   #   Viscofan SA                                           188,908     3,780,261  
   #   Vocento SA                                            199,226     2,188,722  
 # *   Zeltia SA, Madrid                                     573,453     4,488,742  
TOTAL — SPAIN                                                          111,454,886  
                                                                                    
SWEDEN — (4.4%)                                                                     
COMMON STOCKS — (4.4%)                                                              
   #   Aarhuskarlshamn AB                                     50,116     1,070,563  
   #   Acando AB                                             160,086       330,723  
 # *   Active Biotech AB                                      83,850       568,856  
   #   Addtech AB Series B                                    60,700     1,214,661  
       AF AB Series B                                         48,500     1,327,704  
 # *   Anoto Group AB                                        261,833       171,119  
       Aros Quality Group AB                                  41,400       249,456  
   *   Artimplant AB Series B                                 13,000         5,223  
       Atrium Ljungberg AB Series B                           15,200       151,766  
       Axfood AB                                              92,000     2,889,822  
   #   Axis Communications AB                                180,094     2,217,676  
   #   B&B Tools AB                                           80,150     1,706,837  
   *   BE Group AB                                            26,200       238,415  
       Beiger Electronics AB                                  14,700       335,973  
       Beijer Alma AB                                         58,800       727,798  
       Bilia AB Series A                                     116,725       781,785  
       Billerud AB                                           168,100     1,325,302  
   *   BioGaia AB Series B                                    38,000       274,316  


                                        

                                       23

--------------------------------------------------------------------------------

                                        

  *   Biotage AB                                   141,240     176,031  
  *   Biovitrum AB                                   3,390      31,207  
      Boliden AB                                   140,674     886,216  
      Bong Ljungdahl AB                             24,800     133,291  
  *   Brostrom AB Series B                          93,359     820,273  
      Cantena AB                                    58,362     904,969  
  #   Cardo AB                                      63,000   1,673,707  
  *   Carl Lamm Holding AB                          37,732     204,729  
      Castellum AB                                 420,800   4,307,443  
  #   Clas Ohlson AB Series B                      102,500   1,381,211  
      Cloetta AB Series B                           28,800   1,026,287  
      Concordia Maritime AB Series B                70,300     212,432  
      Consilium AB Series B                         16,994     118,629  
  #   D. Carnegie & Co. AB                         186,300   2,333,423  
  #   Elekta AB Series B                           311,300   6,607,756  
  *   Enea Data AB Series B                         56,200     291,390  
  #   Eniro AB                                     426,756   1,854,285  
      Fabege AB                                    403,000   2,897,826  
      Fagerhult AB                                  16,800     397,858  
  #   G & L Beijer AB Series B                      28,200     603,967  
      Geveko AB                                     10,800     134,602  
  #   Gunnebo AB                                   106,800     613,080  
      Gunnebo Industrier AB                         10,000     286,371  
      Hakon Invest AB                                9,999     142,272  
      Haldex AB                                     74,500   1,067,974  
      Heba Fastighets AB Series B                   43,500     324,929  
  *   Hexpol AB                                      8,172      68,409  
  *   HIQ International AB                         126,689     525,798  
      HL Display AB Series B                        57,600     347,912  
      Hoganas AB Series B                           88,300   1,686,386  
  #   Holmen AB Series B                            18,200     580,604  
  *   Home Capital AB                               25,400     250,035  
  #   Home Properties AB                            25,400     364,031  
# *   IBS AB Series B                              150,000     169,683  
      Industrial & Financial Systems AB Series B    50,260     433,623  
      Intrum Justitia AB                           181,300   2,829,933  
  #   JM AB                                        275,373   3,297,939  
  *   KappAhl Holding AB                            75,659     523,996  
      Klovern AB                                   303,476   1,005,599  
  #   Kungsleden AB                                424,500   3,275,628  
# *   Lagercrantz Group AB Series B                 64,300     317,749  
      Lammhults Design Group AB                     19,547     189,995  
  *   LBI International AB                         107,651     308,317  
  #   Lennart Wallenstam Byggnads AB Series B      123,900   1,966,381  
  *   Lindab International AB                       48,685     797,366  
  *   Lundin Petroleum AB                           34,020     371,094  
  #   Meda AB Series A                             105,190   1,292,928  
  *   Medivir Series B                              44,650     378,289  
  *   Mekonomen AB                                  11,450     155,010  
# *   Micronic Laser Systems AB                    105,400     371,997  
  *   Midelfart Sonesson AB Series B                 4,160       5,292  
      Munters AB                                   187,200   1,505,702  


                                        

                                       24

--------------------------------------------------------------------------------

                                        

      NCC AB Series B                              222,720    2,913,553  
  *   Net Insight AB Series B                      924,000      729,122  
      New Wave Group AB Series B                   107,400      451,335  
  #   NIBE Industrier AB                           198,220    1,355,209  
      Nobia AB                                     433,500    2,325,893  
      Nolato AB Series B                            66,440      606,613  
      OEM International AB Series B                 44,400      307,933  
  #   ORC Software AB                               36,300      668,246  
  *   Pa Resources AB                              367,609    2,843,109  
  *   Partnertech AB                                28,800      157,264  
      Peab AB Series B                             250,400    1,697,006  
      Peab Industri AB                             125,200    1,014,102  
      Poolia AB Series B                            33,150      175,600  
  *   Pricer AB Series B                         1,711,500      148,244  
      Proact It Group AB                            29,000      163,570  
# *   Proffice AB                                  215,400      566,004  
      Profilgruppen AB                              16,300      161,305  
  #   Q-Med AB                                     159,200      887,030  
  #   RaySearch Laboratories AB                     38,100      103,918  
# *   Readsoft AB Series B                          48,800       83,782  
      Rederi AB Transatlantic Series B              95,600      628,849  
  *   Rezidor Hotel Group AB                        19,400       79,179  
  #   rnb Retail and Brands AB                     130,200      262,027  
  *   Rottneros Bruk AB                            400,600      129,339  
  *   SAS AB                                        35,000      250,375  
  *   Scribona AB Series B                         226,140      190,299  
  *   Semcon AB                                     39,900      345,560  
      Sigma AB Series B                             25,800       20,772  
# *   Sintercast AB                                 11,800      191,750  
      Skanditek Industrifoervaltnings AB           156,975      466,895  
      Skistar AB                                    94,800    1,279,008  
      Studsvik AB                                   21,900      439,310  
      SWECO AB Series B                            188,700    1,480,791  
  *   Teleca AB Series B                           157,200      116,302  
      Ticket Travel Group AB                        27,152       35,820  
# *   TradeDoubler AB                               26,400      230,598  
  #   Trelleborg AB Series B                       301,555    5,227,190  
  #   Uniflex AB Series B                            3,630       60,936  
      VBG AB Series B                                1,084       17,451  
  *   Vitrolife AB                                  41,500      187,950  
  *   Wedins Skor & Accessoarer AB                 109,400       30,668  
      Wihlborgs Fastigheter AB                      65,658    1,134,653  
TOTAL COMMON STOCKS                                          98,204,409  
                                                                         
RIGHTS/WARRANTS — (0.0%)                                                 
  *   rnb Retail and Brands AB Rights 09/18/08     130,200      140,278  
TOTAL — SWEDEN                                               98,344,687  


                                        

                                       25

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SWITZERLAND — (10.4%)                                                
COMMON STOCKS — (10.3%)                                              
*   Actelion, Ltd.                                4,763     273,402  
    AFG Arbonia-Forster Holding AG                4,799   1,024,303  
    Allreal Holding AG                           32,721   3,801,929  
    Also Holding AG                              16,678     817,084  
*   Ascom Holding AG                             92,504     904,358  
    Bachem Holdings AG                           26,438   2,203,933  
    Bank Coop AG                                 31,715   2,245,725  
    Bank Sarasin & Cie Series B                 177,800   7,662,287  
    Banque Cantonale de Geneve                    4,141     906,578  
    Banque Cantonale du Jura                      4,500     256,666  
    Banque Cantonale Vaudoise                     9,267   2,804,920  
    Banque Privee Edmond de Rothschild SA           161   5,312,497  
    Barry Callebaut AG                            5,017   3,293,564  
    Basellandschaftliche Kantonalbank               600     529,993  
*   Basilea Pharmaceutica AG                      2,629     404,599  
    Basler Kantonalbank                           5,250     552,509  
    Belimo Holdings AG                            1,884   1,770,631  
    Bellevue Group AG                            27,315   1,424,013  
    Berner Kantonalbank                          25,110   5,310,892  
    Bobst Group AG                               36,682   2,583,540  
    Bossard Holding AG                            8,467     552,602  
    Bucher Industries AG                         33,489   6,866,263  
    Calida Holding AG                               396     152,344  
*   Card Guard AG                                32,013     291,430  
    Carlo Gavazzi Holding AG                      1,065     159,599  
    Charles Voegele Holding AG                   29,471   1,530,251  
    Clariant AG                                 779,419   7,000,091  
    Compagnie Financiere Tradition                5,202     740,002  
    Conzzeta AG                                   1,415   3,357,998  
    Daetwyler Holding AG                         34,800   2,141,716  
    Dufry Group                                   6,429     465,747  
    Edipresse SA                                  1,572     497,505  
*   Eichhof Holding AG                              458     187,172  
*   Eichhoff Getranke Holding AG                    458     689,319  
    Elektrizitaets-Gesellschaft Laufenberg AG     3,207   3,978,256  
    ELMA Electronic AG                              472     256,274  
    Emmi AG                                      13,638   1,591,235  
#   Ems-Chemie Holding AG                        27,759   3,413,015  
    Energiedienst Holding AG                     82,650   5,097,547  
    Feintol International Holding AG              1,601     461,017  
    Flughafen Zuerich AG                         13,445   4,895,992  
#   Forbo Holding AG                              5,990   2,524,284  
    Fuchs Petrolub AG                            19,809   1,653,224  
    Galenica Holding AG                          15,736   6,231,684  
    George Fisher AG                             11,318   4,296,140  
    Gurit Holding AG                              1,326   1,190,187  
    Helvetia Holding AG                          12,833   3,977,339  
    Hexagon AB                                   81,720   1,333,166  
    Implenia AG                                  49,554   1,307,421  
    Industrieholding Cham AG                      1,704     556,697  
    Interroll-Holding SA                          2,475     883,412  
    Intershop Holding AG                          3,444   1,001,688  


                                        

                                       26

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      Jelmoli Holding AG (4382641)                           1,521    3,720,402  
  #   Jelmoli Holding AG (4382652)                           2,835    1,392,615  
      Kaba Holding AG                                       10,381    2,799,469  
  *   Kardex AG                                             17,985      977,152  
      Komax Holding AG                                       9,005    1,098,024  
      Kudelski SA                                          106,944    1,367,430  
      Kuoni Reisen Holding AG                               13,594    6,462,228  
      Lem Holdings SA                                        3,651    1,057,828  
      Lonza Group AG                                        52,233    7,373,543  
      Luzerner Kantonalbank AG                              18,593    4,359,288  
      Medisize Holding AG                                   13,260      887,718  
      Metraux Services Holdings SA                           1,853      247,846  
  *   Micronas Semiconductor Holding AG                     78,808      496,327  
  *   Mikron Holding AG                                     43,452      392,085  
      Mobilezone Holding AG                                115,610      782,383  
      Orell Fuessli Holding AG                               5,076      919,125  
  *   Parco Industriale e Immobiliare SA                       600        1,907  
  *   Petroplus Holdings AG                                 12,985      594,365  
      Phoenix Mecano AG                                      3,041    1,361,025  
      PSP Swiss Property AG                                145,325    8,801,624  
      PubliGroupe SA                                         6,325    1,308,454  
      Rieters Holdings AG                                   15,690    5,082,707  
      Romande Energie Holding SA                             2,839    7,468,831  
# *   Schaffner Holding AG                                   1,830      378,407  
      Schulthess Group AG                                   14,570      818,467  
      Schweiter Technology AG                                4,193    1,612,497  
      Schweizerhall Holding AG                               8,648    1,766,096  
      Schweizerische National Versicherungs Gesellschaft     1,881    1,211,607  
      SIA Abrasives Holding AG                               2,381      834,304  
      Siegfried Holding AG                                   8,560    1,183,922  
  *   Sihl                                                     150          409  
      Sika AG                                                2,963    3,758,020  
      Societa Elettrica Sopracenerina SA                     2,409      609,980  
      Societe Generale d’Affichage                           5,872      965,486  
      St. Galler Kantonalbank                                9,217    3,924,798  
      Sulzer AG                                             30,134    3,702,554  
      Swiss Prime Site AG                                   79,934    4,708,269  
  *   Swisslog Holding AG                                  798,972      716,186  
  *   Swissmetal Holding AG                                 17,585      286,611  
      Swissquote Group Holding SA                           41,220    1,455,569  
      Tamedia AG                                            15,322    1,806,682  
      Tecan Group AG                                        40,139    2,274,620  
  *   Temenos Group AG                                     152,630    4,004,953  
      Tornos SA                                             38,028      295,955  
      Valartis Group AG                                     10,374      423,626  
      Valiant Holding AG                                    59,231   10,547,325  
      Valora Holding AG                                     12,004    2,845,503  
      Vaudoise Assurances Holdings SA                        3,233      557,508  
      Villars Holding SA                                       150       71,959  
      Vontobel Holdings AG                                  97,572    3,247,254  
  *   VZ Holding AG                                            266       17,650  
      Walliser Kantonalbank                                  1,457      629,467  


                                        

                                       27

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       WMH Walter Meier Holding AG                                   4,878          675,371  
   *   Ypsomed Holdings AG                                           2,419          195,395  
       Zehnder Holding AG                                              786          884,606  
       Zueblin Immobilien Holding AG                                78,908          597,497  
       Zuger Kantonalbank                                              630        2,059,069  
TOTAL COMMON STOCKS                                                             231,384,038  
                                                                                             
PREFERRED STOCKS — (0.1%)                                                                    
       Fuchs Petrolub AG