<PAGE> 1
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-1A
REGISTRATION STATEMENT UNDER THE SECURITIES ACT OF 1933 X
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Pre-Effective Amendment No. _____ -----
Post-Effective Amendment No.40 File No. 2-73948 X
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REGISTRATION STATEMENT UNDER THE INVESTMENT COMPANY ACT OF 1940 X
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Amendment No.41 File No. 811-3258 X
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DFA INVESTMENT DIMENSIONS GROUP INC.
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(Exact Name of Registrant as Specified in Charter)
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<S> <C>
1299 Ocean Avenue, 11th Floor, Santa Monica CA 90401
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(Address of Principal Executive Office) (Zip Code)
Registrant's Telephone Number, including Area Code (310) 395-8005
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</TABLE>
Irene R. Diamant, Vice President and Secretary, DFA Investment
Dimensions Group Inc.,
1299 Ocean Avenue, 11th Floor, Santa Monica, California 90401
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(Name and Address of Agent for Service)
Copies of communications to Stephen W. Kline, Esquire, Stradley, Ronon, Stevens
& Young, LLP, Great Valley Corporate Center, 30 Valley Stream Parkway, Malvern,
PA 19355, (610) 640-5801.
It is proposed that this filing will become effective
(check appropriate box):
Immediately upon filing pursuant to paragraph (b)
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X On March 29, 1996 pursuant to paragraph (b)
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60 days after filing pursuant to paragraph (a)(1)
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On (date) pursuant to paragraph (a)(1)
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75 days after filing pursuant to paragraph (a)(2)
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On _________________ pursuant to paragraph (a)(2) of Rule 485.
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If appropriate, check the following box:
This post-effective amendment designates a new effective date
----- for a previously filed post-effective amendment.
This Registrant has registered an indefinite number of shares of common stock
under the Securities Act of 1933 pursuant to Rule 24f- 2 under the Investment
Company Act of 1940. On January 29, 1996, Registrant filed a Rule 24f-2 Notice
for Registrant's most recent fiscal year which ended November 30, 1995.
<PAGE> 2
FORM N-1A
CROSS REFERENCE SHEET
(as required by Rule 404)
<TABLE>
<CAPTION>
FORM N-1A PART A ITEM NO. PROSPECTUS LOCATION
- ------------------------- -------------------
<S> <C>
Item 1. Cover Page......................... Cover Page
Item 2. Synopsis........................... Highlights
Item 3. Condensed Financial Information.... Condensed Financial Information
Item 4. General Description of Registrant.. Cover Page; Highlights; General Information
Item 5. Management of the Fund............. Highlights; Management of the Fund
Item 6. Capital Stock and Other Securities. Highlights; Dividends, Capital Gains Distributions and Taxes; General
Information
Item 7. Purchase of Securities Being
Offered............................ Purchase and Redemption of Shares
Item 8. Redemption or Repurchase........... Purchase and Redemption of Shares
Item 9. Pending Legal Proceedings.......... Not Applicable
FORM N-1A PART B ITEM NO. LOCATION IN STATEMENT OF ADDITIONAL INFORMATION
- ------------------------- -----------------------------------------------
Item 10. Cover Page........................ Cover Page
Item 11. Table of Contents................. Table of Contents
Item 12. General Information and History... Other Information
</TABLE>
<PAGE> 3
<TABLE>
<S> <C> <C>
Item 13. Investment Objectives and Policies. Portfolio Characteristics and Policies; Investment Limitations;
Futures Contracts
Item 14. Management of the Fund.............. Directors and Officers
Item 15. Control Persons and Principal
Holders of Securities.............. Principal Holders of Securities
Item 16. Investment Advisory and Other
Services........................... Directors and Officers; Administrative Services; Other
Information
Item 17. Brokerage Allocation and Other
Practices.......................... Brokerage Transactions
Item 18. Capital Stock and Other Securities. Other Information
Item 19. Purchase, Redemption and Pricing
of Securities Being Offered........ Purchase and Redemption of Shares
Item 20. Tax Status......................... Federal Tax Treatment of Futures Contracts
Item 21. Underwriters....................... Not Applicable
Item 22. Calculation of Performance Data.... Calculation of Performance Data
Item 23. Financial Statements............... Financial Statements
FORM N-1A PART C ITEM NO. LOCATION IN PART C
- ------------------------- ------------------
Item 24. Financial Statements and Exhibits.. Exhibits
Item 25. Persons Controlled by or Under
Common Control with Registrant..... Persons Controlled by or Under Common Control with Registrant
</TABLE>
<PAGE> 4
<TABLE>
<S> <C> <C>
Item 26. Number of Holders of Securities.... Number of Holders of Securities
Item 27. Indemnification.................... Indemnification
Item 28. Business and Other Connections of
Investment Advisor................. Business and Connections of Investment Advisor and Subadvisors
Item 29. Principal Underwriters............. Principal Underwriters
Item 30. Location of Accounts and Records... Location of Accounts and Records
Item 31. Management Services................ Management Services
Item 32. Undertakings....................... Undertakings
</TABLE>
<PAGE> 5
PROSPECTUS
MARCH 29, 1996
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA INVESTMENT DIMENSIONS GROUP INC. (the "Fund"), 1299 Ocean Avenue,
11th Floor, Santa Monica, California 90401, (310) 395-8005, is an open-end
management investment company.
The Fund issues twenty-eight series of shares, each of which
represents a separate class of the Fund's common stock, having its own
investment objective and policies. This prospectus describes only VA Small
Value Portfolio, VA Large Value Portfolio, VA International Value Portfolio, VA
International Small Portfolio, VA Short-Term Fixed Portfolio and VA Global Bond
Portfolio (individually, a "Portfolio" and collectively, the "Portfolios").
Shares of the Portfolios are offered only to separate accounts of insurance
companies to fund variable life and variable annuity contracts.
The investment objective of each of the Domestic Equity and
International Equity Portfolios is to achieve long-term capital appreciation.
The investment objectives of the Fixed Income Portfolios are: VA Short-Term
Fixed Portfolio, to achieve stable real value of capital with a minimum of risk
by investing in high quality obligations; and VA Global Bond Portfolio, to
provide a market rate of return for a global fixed income portfolio with low
relative volatility of returns.
DOMESTIC EQUITY PORTFOLIOS
VA SMALL VALUE PORTFOLIO VA LARGE VALUE PORTFOLIO
INTERNATIONAL EQUITY PORTFOLIOS
VA INTERNATIONAL VALUE PORTFOLIO VA INTERNATIONAL SMALL PORTFOLIO
FIXED INCOME PORTFOLIOS
VA SHORT-TERM FIXED PORTFOLIO VA GLOBAL BOND PORTFOLIO
This prospectus sets forth concisely information about the Portfolios
that prospective investors should know before investing and should be read
carefully and retained for future reference. You should read this prospectus
in conjunction with the prospectus describing the related insurance company
separate account. A statement of additional information about the Portfolios,
dated March 29, 1996, which is incorporated herein by reference, has been filed
with the Securities and Exchange Commission and is available upon request,
without charge, by writing or calling the Fund at the above address or
telephone number.
THESE SECURITIES HAVE NOT BEEN APPROVED OR DISAPPROVED BY
THE SECURITIES AND EXCHANGE COMMISSION OR ANY STATE
SECURITIES COMMISSION NOR HAS THE COMMISSION OR ANY
STATE SECURITIES COMMISSION PASSED UPON THE ACCURACY
OR ADEQUACY OF THIS PROSPECTUS. ANY REPRESENTATION
TO THE CONTRARY IS A CRIMINAL OFFENSE.
<PAGE> 6
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
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<S> <C>
HIGHLIGHTS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
CONDENSED FINANCIAL INFORMATION . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
DOMESTIC EQUITY PORTFOLIOS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
Portfolio Characteristics and Policies . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
Portfolio Structure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
Portfolio Transactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
INTERNATIONAL EQUITY PORTFOLIOS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
VA INTERNATIONAL VALUE PORTFOLIO . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
Investment Objective and Policies . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
Portfolio Structure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
Portfolio Transactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
VA INTERNATIONAL SMALL PORTFOLIO . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
Investment Objective and Policies . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
Portfolio Structure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
Portfolio Transactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
SECURITIES LOANS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
FIXED INCOME PORTFOLIOS -
INVESTMENT OBJECTIVES AND POLICIES . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
VA Short-Term Fixed Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
VA Global Bond Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
Description of Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
Investments in the Banking Industry . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
Portfolio Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
RISK FACTORS - ALL PORTFOLIOS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
Small Company Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
Foreign Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
Foreign Currencies and Related Transactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
Borrowing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
Portfolio Strategies . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
Futures Contracts and Options on Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
Banking Industry Concentrations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
Repurchase Agreements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
MANAGEMENT OF THE FUND . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
Investment Services - VA International Small Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
Directors and Officers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
DIVIDENDS, CAPITAL GAINS DISTRIBUTIONS AND TAXES . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
PURCHASE AND REDEMPTION OF SHARES . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
</TABLE>
<PAGE> 7
<TABLE>
<S> <C>
VALUATION OF SHARES . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
DISTRIBUTION . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
GENERAL INFORMATION . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
</TABLE>
<PAGE> 8
HIGHLIGHTS
PAGE
THE PORTFOLIOS
Each Portfolio, in effect, represents a separate mutual fund with its
own investment objective and policies. The investment objective of each
Portfolio is a fundamental policy and may not be changed without the
affirmative vote of a majority of its outstanding securities. Shares of the
Portfolios are sold only to separate accounts of insurance companies. Proceeds
from the sale of shares of a Portfolio will be invested in accordance with that
Portfolio's investment objective and policies. A Portfolio will pay its
shareholders all dividends and distributions arising from the assets of the
Portfolio.
INVESTMENT OBJECTIVES - DOMESTIC EQUITY PORTFOLIOS 7
The investment objective of both the VA Small Value Portfolio and VA
Large Value Portfolio (collectively the "Domestic Equity Portfolios") is to
achieve long-term capital appreciation. The VA Small Value Portfolio and the
VA Large Value Portfolio will invest in common stocks of U.S. companies that
have a high book value in relation to their market value. The Domestic Equity
Portfolios operate as diversified investment companies.
INVESTMENT OBJECTIVE - VA INTERNATIONAL VALUE PORTFOLIO 8
The investment objective of the VA International Value Portfolio is to
achieve long-term capital appreciation. The Portfolio seeks to achieve its
objective by investing in the stocks of large non-U.S. companies that have a
high book value in relation to their market value. The VA International Value
Portfolio operates as a diversified investment company.
INVESTMENT OBJECTIVE - VA INTERNATIONAL SMALL PORTFOLIO 10
The investment objective of the VA International Small Portfolio is to
achieve long-term capital appreciation by investing in marketable stocks of
small non-U.S. companies. The Portfolio will be structured by generally basing
the amount of each security purchased on the issuer's relative market
capitalization, applied on a basis of descending values, with a view to
achieving a reasonable reflection of the relative market capitalization of its
portfolio companies. The Portfolio operates as a diversified investment
company.
INVESTMENT OBJECTIVES - FIXED INCOME PORTFOLIOS 13
The investment objective of VA Short-Term Fixed Portfolio is to
achieve stable real value of capital with a minimum of risk. Generally, the
Portfolio will acquire high quality obligations which mature within one year
from the date of settlement; however, when greater returns are available
substantial investments may be made in securities maturing within two years
from the date of settlement as well. The VA Short-Term Fixed Portfolio
operates as a diversified investment company. The Portfolio intends to
concentrate investments in the banking industry under certain circumstances.
(See "FIXED INCOME PORTFOLIOS - INVESTMENT OBJECTIVES AND POLICIES" and
"Investments in the Banking Industry.")
The investment objective of VA Global Bond Portfolio is to provide a
market rate of return for a fixed income portfolio with low relative volatility
of returns. The Portfolio invests in obligations issued or guaranteed by the
U.S. and foreign governments and their agencies, obligations of other foreign
issuers rated AA or better and supranational organizations. The VA Global Bond
Portfolio operates as a non-diversified investment company. (See "FIXED INCOME
PORTFOLIOS - INVESTMENT OBJECTIVES AND POLICIES" and "Portfolio Strategy.")
2
<PAGE> 9
RISK FACTORS 16
VA International Small Portfolio and VA International Value Portfolio
(collectively, the "International Equity Portfolios") and VA Global Bond
Portfolio invest in foreign securities which are traded abroad. VA Short-Term
Fixed Portfolio is authorized to invest in dollar-denominated obligations of
U.S. subsidiaries and branches of foreign banks and dollar-denominated
obligations of foreign issuers traded in the U.S. and also is authorized to
concentrate investments in the banking industry in certain circumstances. The
Domestic Equity Portfolios and the VA International Value Portfolio may
purchase and sell index futures contracts and options thereon. All of the
Portfolios are authorized to invest in repurchase agreements. All of the above
described policies involve certain risks. (See "RISK FACTORS - ALL
PORTFOLIOS.")
MANAGEMENT OF THE FUND 18
Dimensional Fund Advisors Inc. (the "Advisor") serves as investment
advisor to each Portfolio. Dimensional Fund Advisors Ltd. and DFA Australia
Pty Limited each serve as a sub-advisor to VA International Small Portfolio.
(See "MANAGEMENT OF THE FUND.")
DIVIDEND POLICY 20
The International Equity and Domestic Equity Portfolios, except for VA
Large Value Portfolio, each distribute substantially all of their net
investment income in November and December of each year. VA Large Value
Portfolio and VA Global Bond Portfolio distribute dividends from their net
investment income quarterly. VA Short-Term Fixed Portfolio distributes
dividends from its net investment income monthly. The Portfolios will make any
distributions from realized net capital gains on an annual basis. (See
"DIVIDENDS, CAPITAL GAINS DISTRIBUTIONS AND TAXES.")
PURCHASE, VALUATION AND REDEMPTION OF SHARES 20
Shares of the Portfolios are sold only to separate accounts of
insurance companies to fund variable life and variable annuity insurance
contracts. Purchases and redemptions are made at net asset value. To invest
in a Portfolio, please see the prospectus of the insurance company's separate
account which offers variable life and variable annuity insurance contracts to
investors.
The value of the shares issued by the Portfolios will fluctuate in
relation to their own investment experience. Unlike money market funds, the
shares of VA Short-Term Fixed Portfolio will tend to reflect fluctuations in
interest rates because the Portfolio does not seek to stabilize the price of
its shares by use of the "amortized cost" method of securities valuation. (See
"PURCHASE AND REDEMPTION OF SHARES" and "VALUATION OF SHARES.")
3
<PAGE> 10
The expenses in the following table are estimates based on expenses
incurred by the Portfolios for the fiscal periods ended November 30, 1995.
<TABLE>
<CAPTION>
ANNUAL FUND OPERATING EXPENSES MANAGEMENT OTHER TOTAL
(AS A PERCENTAGE OF AVERAGE NET ASSETS) FEE EXPENSES OPERATING EXPENSES
-------------- -------- ------------------
<S> <C> <C> <C>
VA Small Value(2) 0.50% 0.70% 1.20%
VA Large Value(1) 0.25% 0.95% 1.20%
VA International Value(2) 0.40% 0.93% 1.33%
VA International Small(2) 0.50% 0.91% 1.41%
VA Short-Term Fixed(2) 0.25% 0.59% 0.84%
VA Global Bond(1) 0.25% 1.06% 1.31%
</TABLE>
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(1) Annualized, based on fees and expenses incurred from January 13, 1995
(date of initial investment) to November 30, 1995.
(2) The Portfolio is new and, therefore, the expenses of the portfolio
included in the table are the estimated annualized expenses that are
expected to be incurred through the fiscal year ending November 30,
1996.
EXAMPLE
You would pay the following transaction and annual operating expenses
on a $1,000 investment in each Portfolio, assuming a 5% annual return over each
of the following time periods and redemption at the end of each time period:
<TABLE>
<CAPTION>
1 Year 3 Years 5 Years 10 Years
------ ------- ------- --------
<S> <C> <C> <C> <C>
VA Small Value* $12 $38 n/a n/a
VA Large Value 12 38 $66 $145
VA International Value* 14 42 n/a n/a
VA International Small* 14 45 n/a n/a
VA Short-Term Fixed* 9 27 n/a n/a
VA Global Bond 13 42 $72 $158
</TABLE>
- --------------------
* The Portfolio is new and the above example is based on estimated
expenses for the current and next two fiscal years and does not extend
those estimates over five and ten year periods.
The purpose of the above expense table and example is to assist
investors in understanding the various costs and expenses that an investor in
the Portfolios will bear directly or indirectly. The sales charges and
expenses of the separate account are not shown above and should be considered
before investing. THE EXAMPLE SHOULD NOT BE CONSIDERED A REPRESENTATION OF
PAST OR FUTURE EXPENSES. ACTUAL EXPENSES MAY BE GREATER OR LESSER THAN THOSE
SHOWN.
4
<PAGE> 11
CONDENSED FINANCIAL INFORMATION
The following financial highlights are part of the Portfolios' audited
financial statements for the fiscal year ended November 30, 1995. The
financial statements, related notes, and the report of the independent auditors
covering such financial information and financial highlights for the
Portfolios' fiscal year ended November 30, 1995, are incorporated by reference
into the Portfolios' Statement of Additional Information. Further information
about the Portfolios' performance is contained in the Fund's Annual Report to
shareholders relating to the Portfolios for the year ended November 30, 1995.
A copy of the Annual Report (including the report of the independent auditors)
may be obtained from the Fund upon request at no charge.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
VA
VA SMALL VA LARGE INTERNATIONAL
VALUE VALUE VALUE
PORTFOLIO(A) PORTFOLIO(B) PORTFOLIO(A)
------------ ------------ --------------
<S> <C> <C> <C>
Net Asset Value, Beginning of Period . . . . . . . . . . . . . . . $10.00 $10.00 $10.00
------ ------ ------
Income from Investment Operations
---------------------------------
Net Investment Income . . . . . . . . . . . . . . . . . . . . . . 0.01 0.19 ----
------ ------ ------
</TABLE>
5
<PAGE> 12
<TABLE>
<S> <C> <C> <C>
Net Gains (Losses) on Securities (Realized and
Unrealized) . . . . . . . . . . . . . . . . . . . . . . . . . . (0.31) 1.85 0.03
------ ------ ------
Total from Investment Operations . . . . . . . . . . . . . . . (0.30) 2.04 0.03
------ ------ ------
Less Distributions
------------------
Net Investment Income . . . . . . . . . . . . . . . . . . . . . . (0.01) (0.16) ----
Net Realized Gains . . . . . . . . . . . . . . . . . . . . . . . --- (0.59) ----
------ ------ ------
Total Distributions . . . . . . . . . . . . . . . . . . . . . . (0.01) (0.75) ----
------ ------ ------
Net Asset Value, End of Period . . . . . . . . . . . . . . . . . . $ 9.69 $11.29 $10.03
====== ====== ======
Total Return . . . . . . . . . . . . . . . . . . . . . . . . . . . (3.04)%# 20.41%# 0.30%#
Net Assets, End of Period (thousands) . . . . . . . . . . . . . . . $4,848 $6,562 $5,014
Ratio of Expenses to Average Net Assets . . . . . . . . . . . . . . 0.99%*(c) 1.20%*(c) 1.32%*(c)
Ratio of Net Investment Income to Average Net Assets . . . . . . . 0.91%*(c) 2.03%*(c) (0.20)*(c)
Portfolio Turnover Rate . . . . . . . . . . . . . . . . . . . . . . 0.00%* 65.38%*(d) 0.00%*
- ----------------
</TABLE>
*Annualized
#Non-Annualized
(a) For the period October 3 (commencement of operations) to November 30, 1995.
(b) For the period January 13 (commencement of operations) to November 30,
1995.
(c) Because of commencement of operations and related preliminary transaction
costs, these ratios are not necessarily indicative of future ratios.
6
<PAGE> 13
(d) On September 15, 1995, the shareholders of DFA Global Value Portfolio
approved a change of investment policy providing for investment of
substantially all of DFA Global Value Portfolio's assets in the stocks of
U.S. companies and the sale of DFA Global Value Portfolio's foreign
securities to VA International Value Portfolio. Effective September 18,
1995, DFA Global Value Portfolio changed its name to VA Large Value
Portfolio. This resulted in turnover that is not indicative of expected
future results.
7
<PAGE> 14
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout each period)
<TABLE>
<CAPTION>
VA VA
INTERNATIONAL SHORT-TERM VA GLOBAL
SMALL FIXED BOND
PORTFOLIO(A) PORTFOLIO(A)(1) PORTFOLIO(B)(1)
------------ --------------- ---------------
<S> <C> <C> <C>
Net Asset Value, Beginning of Period . . . . . . . . $10.00 $10.00 $10.00
------ ------ ------
Income from Investment Operations
---------------------------------
Net Investment Income . . . . . . . . . . . . . . . (0.01) 0.08 0.48
Net Gains (Losses) on Securities (Realized and
Unrealized) . . . . . . . . . . . . . . . . . . . (0.28) ---- 0.81
------ ------ ------
Total from Investment Operations . . . . . . . . (0.29) 0.08 1.29
------ ------ ------
Less Distributions
------------------
Net Investment Income . . . . . . . . . . . . . . . ---- (0.04) (0.57)
Net Realized Gains . . . . . . . . . . . . . . . . ---- ---- (0.11)
------ ------ ------
Total Distributions . . . . . . . . . . . . . . . ---- (0.04) (0.68)
------ ------ ------
Net Asset Value, End of Period . . . . . . . . . . . $ 9.71 $10.04 $10.61
====== ====== ======
Total Return . . . . . . . . . . . . . . . . . . . . (2.90)%# 0.81%# 13.09%#
Net Assets, End of Period (thousands) . . . . . . . . $4,856 $5,041 $3,393
Ratio of Expenses to Average Net Assets . . . . . . . 2.52%*(c) 0.63%*(c) 1.31%*(c)
Ratio of Net Investment Income to Average Net Assets (0.39)%*(c) 5.11%*(c) 5.08%*(c)
Portfolio Turnover Rate . . . . . . . . . . . . . . . 0.00%* 0.00%* 60.09%*
- ----------------
</TABLE>
(1) (Adjusted to reflect a 900% stock dividend as of January 2, 1996)
*Annualized
#Non-Annualized
(a) For the period October 3 (commencement of operations) to November 30,
1995.
(b) For the period January 13 (commencement of operations) to November 30,
1995.
(c) Because of commencement of operations and related preliminary
transaction costs, these ratios are not necessarily indicative of
future ratios.
The total return information shown in the Financial Highlights tables
does not reflect the expenses that apply to a separate account or the related
insurance policies, and inclusion of these charges would reduce the total
return figures for all periods shown. Until October 1995, VA Large Value
Portfolio invested approximately 50% of its total assets in the stocks of large
non-U.S. companies and approximately 50% of its total assets in the stocks of
U.S. companies. The total return information presented in the Financial
Highlights table for VA Large Value Portfolio reflects the performance of the
Portfolio when it invested in the stocks of both U.S. and non-U.S. companies.
The total return information of VA Large Value Portfolio for the period ended
November 30, 1995 should not be considered indicative of its future
performance.
8
<PAGE> 15
DOMESTIC EQUITY PORTFOLIOS
PORTFOLIO CHARACTERISTICS AND POLICIES
The investment objective of each of the Domestic Equity Portfolios is
to achieve long-term capital appreciation. VA Large Value Portfolio and VA
Small Value Portfolio will invest in common stocks of U.S. companies with
shares that have a high book value in relation to their market value (a "book
to market ratio"). A company's shares will be considered to have a high book
to market ratio if the ratio equals or exceeds the ratios of any of the 30% of
companies with the highest positive book to market ratios whose shares are
listed on the New York Stock Exchange ("NYSE") and, except as described under
"Portfolio Structure," will be considered eligible for investment. VA Large
Value Portfolio will purchase common stocks of companies whose market
capitalizations equal or exceed that of the company having the median market
capitalization of companies whose shares are listed on the NYSE, and the VA
Small Value Portfolio will purchase common stocks of companies whose market
capitalizations are smaller than such company.
PORTFOLIO STRUCTURE
Each Domestic Equity Portfolio will operate as a "diversified"
investment company. Further, neither Portfolio will invest more than 25% of
its total assets in securities of companies in a single industry. Ordinarily,
at least 80% of the assets of each Portfolio will be invested in a broad and
diverse group of readily marketable common stocks of U.S. companies with high
book to market ratios, as described above. The Portfolios may invest a portion
of their assets, ordinarily not more than 20%, in high quality, highly liquid
fixed income securities such as money market instruments, including short-term
repurchase agreements. The Portfolios also may invest in index futures
contracts and options on index futures contracts provided that, in accordance
with current regulations, not more than 5% of the Portfolio's total assets are
then invested as initial margin deposits on such contracts or options. The
Portfolios will purchase securities that are listed on the principal U.S.
national securities exchanges and traded in the over-the-counter market
("OTC").
Each Domestic Equity Portfolio will be structured on a market
capitalization basis, by generally basing the amount of each security purchased
on the issuer's relative market capitalization, with a view to creating in each
Portfolio a reasonable reflection of the relative market capitalizations of its
portfolio companies. However, the Advisor may exclude the securities of a
company that otherwise meets the applicable criteria described above if the
Advisor determines in its best judgment that other conditions exist that make
the inclusion of such security inappropriate.
Deviation from strict market capitalization weighting will also occur
in the Domestic Equity Portfolios because they intend to purchase round lots
only. Furthermore, in order to retain sufficient liquidity, the relative
amount of any security held by a Portfolio may be reduced, from time to time,
from the level which strict adherence to market capitalization weighting would
otherwise require. A portion, but generally not in excess of 20%, of a
Portfolio's assets may be invested in interest-bearing obligations, as
described above, thereby causing further deviation from strict market
capitalization weighting. The Portfolios may make block purchases of eligible
securities at opportune prices even though such purchases exceed the number of
shares which, at the time of purchase, strict adherence to the policy of market
capitalization weighting would otherwise require. In addition, the Portfolios
may acquire securities eligible for purchase or otherwise represented in the
Portfolios at the time of the exchange in exchange for the issuance of their
shares. While such purchases and acquisitions might cause a temporary
deviation from market capitalization weighting, they would ordinarily be made
in anticipation of further growth of the assets of a Portfolio.
On not less than a semi-annual basis, for each Portfolio the Advisor
will calculate the book to market ratio necessary to determine those companies
whose stocks are eligible for investment.
9
<PAGE> 16
PORTFOLIO TRANSACTIONS
The Domestic Equity Portfolios do not intend to purchase or sell
securities based on the prospects for the economy, the securities markets or
the individual issuers whose shares are eligible for purchase. As described
under "Portfolio Structure," investments will be made in virtually all eligible
securities on a market capitalization weighted basis. This is a passive
approach to investment management that does not entail taking steps to reduce
risk by replacing portfolio equity securities with other securities that appear
to have the potential to provide better investment performance.
Generally, securities will be purchased with the expectation that they
will be held for longer than one year. VA Large Value Portfolio may sell
portfolio securities when the issuer's market capitalization falls
substantially below that of the issuer with the minimum market capitalization
which is then eligible for purchase by the Portfolio, and VA Small Value
Portfolio may sell portfolio securities when the issuer's market capitalization
increases to a level that substantially exceeds that of the issuer with the
largest market capitalization which is then eligible for investment by the
Portfolio. However, securities may be sold at any time when, in the Advisor's
judgment, circumstances warrant their sale.
In addition, VA Large Value Portfolio may sell portfolio securities
when their book to market ratio falls substantially below that of the security
with the lowest such ratio that is then eligible for purchase by the Portfolio.
VA Small Value Portfolio may also sell portfolio securities in the same
circumstances; however, that Portfolio anticipates generally to retain
securities of issuers with relatively smaller market capitalizations for longer
periods, despite any decrease in the issuer's book to market ratio.
INTERNATIONAL EQUITY PORTFOLIOS
VA INTERNATIONAL VALUE PORTFOLIO
INVESTMENT OBJECTIVE AND POLICIES
The investment objective of VA International Value Portfolio is to
achieve long-term capital appreciation. The Portfolio operates as a
diversified investment company and seeks to achieve its investment objective by
investing in the stocks of large non-U.S. companies that have a high book to
market ratio. A company's shares will be considered eligible for investment if
such shares (i) first, have a book to market ratio that equals or exceeds the
ratios of any of the 30% of companies in that country with the highest positive
book to market ratios and (ii) second, are shares of a company having a market
capitalization of at least $500 million and are listed on a major exchange in
such country. The Portfolio will be approximately market capitalization
weighted. Although it does not presently intend to do so, the Portfolio
reserves the right to invest in companies that have market capitalizations of
less than $500 million.
Under normal market conditions, the Portfolio will invest at least 65%
of the value of its assets in issuers organized or having a majority of their
assets in or deriving a majority of their operating income in at least three
non-U.S. countries. The Portfolio will not invest more than 25% of its total
assets in securities of companies in a single industry.
The Portfolio reserves the right to invest in index futures contracts
and options on index futures contracts to commit funds awaiting investment or
to maintain liquidity. The Portfolio will not purchase futures contracts if as
a result more than 5% of its total assets would then consist of initial margin
deposits on such contracts. Such investments entail certain risks. (See "RISK
FACTORS - ALL PORTFOLIOS.")
A portion, but generally not in excess of 20% of the Portfolio's
assets, may be invested in the nine categories of interest-bearing obligations
described in "FIXED INCOME PORTFOLIOS - INVESTMENT OBJECTIVES AND POLICIES -
Description of Investments."
10
<PAGE> 17
The Portfolio intends to invest in the stocks of large companies in
countries with developed markets. Initially, the Portfolio will invest in the
stocks of large companies in Japan, the United Kingdom, Germany, France,
Switzerland, Italy, Belgium, Spain, the Netherlands, Sweden, Hong Kong,
Singapore and Australia. As the Portfolio's growth permits, it may invest in
the stocks of large companies in other developed markets.
In determining market capitalization weights, the Advisor, using its
best judgment, will seek to eliminate the effect of cross holdings on the
individual country weights. As a result, the weighting of certain companies in
the Portfolio may vary from their weighting in international indices such as
those published by The Financial Times, Morgan Stanley Capital International or
Salomon/Russell. The Advisor, however, will not attempt to account for cross
holding within the same country. The Advisor may exclude the stock of a
company that otherwise meets the applicable criteria if the Advisor determines
in its best judgment that other conditions exist that make the purchase of
stock for the Portfolio inappropriate.
Changes in the composition and relative ranking (in terms of market
capitalization and book to market ratio) of the stocks which are eligible for
purchase by the Portfolio take place with every trade when the securities
markets are open for trading due, primarily, to price fluctuations of such
securities. On at least a semi-annual basis, the Advisor will prepare lists of
non-U.S. large companies (those with market capitalizations of $500 million or
more) with high book to market ratios. Only common stocks whose market
capitalizations are not less than the minimum on such list will be purchased by
the Portfolio. Additional investments will not be made in securities which
have depreciated in value to such an extent that they are not then considered
by the Advisor to be large companies. This may result in deviation from market
capitalization weighting, and such deviation could be substantial if a
significant amount of the Portfolio's holdings decrease in value sufficiently
to be excluded from the then current market capitalization requirement for
eligible securities, but not by a sufficient amount to warrant their sale.
PORTFOLIO STRUCTURE
The Advisor may exclude the securities of a company that otherwise
meets the criteria described above if the Advisor determines in its best
judgment that other conditions exist that make the inclusion of such security
inappropriate. This will result in some deviation from strict market
capitalization weighting. Deviation from strict market capitalization
weighting will also occur in the Portfolio because it intends to purchase round
lots only. Furthermore, in order to retain sufficient liquidity, the relative
amount of any security held by the Portfolio may be reduced, from time to time,
from the level which strict adherence to market capitalization weighting would
otherwise require. Any portion of the Portfolio's assets invested in
interest-bearing obligations would cause a further deviation from strict market
capitalization weighting. The Portfolio may make block purchases of eligible
securities at opportune prices even though such purchases exceed the number of
shares which, at the time of purchase, strict adherence to the policy of market
capitalization weighting would otherwise require. In addition, the Portfolio
may acquire securities eligible for purchase or otherwise represented in the
Portfolio at the time of the exchange in exchange for the issuance of its
shares. While such purchases might cause a temporary deviation from market
capitalization weighting, they would ordinarily be made in anticipation of
further growth of the assets of the Portfolio. If securities must be sold in
order to obtain funds to make redemption payments, such securities may be
repurchased by the Portfolio as additional cash becomes available to it.
However, the Portfolio has retained the right to borrow to make redemption
payments and is also authorized to redeem its shares in kind.
It is management's belief that the stocks of large companies with high
book to market ratios offer, over a long term, a prudent opportunity for
capital appreciation, but, at the same time, selecting a limited number of such
issues for inclusion in the Portfolio involves greater risk than including a
large number of them. The Advisor does not anticipate that a significant
number of securities which meet the market capitalization criteria will be
selectively excluded from the Portfolio.
The Portfolio does not seek current income as an investment objective,
and investments will not be based upon an issuer's dividend payment policy or
record. However, many of the companies whose securities will be
11
<PAGE> 18
included in the Portfolio do pay dividends. It is anticipated, therefore, that
the Portfolio will receive dividend income.
PORTFOLIO TRANSACTIONS
The Portfolio does not intend to purchase or sell a security based on
the prospects for an individual country's economy, the securities markets in
that country or the individual issuer whose shares are eligible for purchase.
As described above, investments will be made in virtually all eligible
securities on a market capitalization weighted basis. This is a passive
approach to investment management that does not entail taking steps to reduce
risk by replacing portfolio equity securities with other securities that appear
to have the potential to provide better investment performance. The Portfolio
may sell securities when the issuer's market capitalization falls substantially
below that of the issuer with the minimum market capitalization which is then
eligible for purchase by the Portfolio. In addition, the Portfolio may sell
portfolio securities when their book to market ratio falls substantially below
that of the security with the lowest such ratio that is then eligible for
purchase by the Portfolio. Generally, securities will be purchased with the
expectation that they will be held for longer than one year.
VA INTERNATIONAL SMALL PORTFOLIO
INVESTMENT OBJECTIVE AND POLICIES
VA International Small Portfolio operates as a diversified investment
company whose investment objective is to achieve long-term capital appreciation
and provides investors with access to securities portfolios consisting of small
Japanese, United Kingdom, Continental and Pacific Rim companies. The VA
International Small Portfolio will seek to achieve its investment objective by
investing its assets in a broad and diverse group of marketable stocks of (1)
Japanese small companies which are traded in the Japanese securities markets;
(2) United Kingdom small companies which are traded principally on the
International Stock Exchange of the United Kingdom and the Republic of Ireland
("ISE"); (3) small companies organized under the laws of certain European
countries; and (4) small companies located in Australia, New Zealand and Asian
countries whose shares are traded principally on the securities markets located
in those countries. The Advisor will determine the initial allocation of
assets among the four segments of VA International Small Portfolio and will
periodically review and adjust such allocation, all in its sole discretion.
Company size will be determined for purposes of this Portfolio solely
on the basis of a company's market capitalization. "Market capitalization"
will be calculated by multiplying the price of a company's stock by the number
of its shares of that stock outstanding. Each segment of VA International
Small Portfolio will be structured to reflect reasonably the relative market
capitalizations of the portfolio companies in that segment. The Advisor
believes that over the long term the investment performance of small companies
in developed countries is superior to large companies, and that investment in
the Portfolio is an effective way to improve global diversification.
Japanese Small Company Segment
Reference in this prospectus to the term "Japanese small company"
means a company located in Japan whose market capitalization is not larger than
the largest of those in the smaller one-half (deciles 6 through 10) of
companies whose securities are listed on the First Section of the Tokyo Stock
Exchange ("TSE"). While the Portfolio will invest primarily in the stocks of
small companies which are listed on the TSE, it may acquire the stocks of
Japanese small companies which are traded in other Japanese securities markets
as well.
United Kingdom Small Company Segment
Reference in this prospectus to a "United Kingdom small company" means
a company organized in the United Kingdom, with shares listed on the ISE whose
market capitalization is not larger than the largest of those
12
<PAGE> 19
in the smaller one-half (deciles 6 through 10) of companies included in the
Financial Times-Actuaries All Share Index ("FTA").
The FTA is an index of stocks traded on the ISE, which is similar to
the Standard & Poor's 500 Composite Stock Index ("S&P 500 Index"), and is used
by investment professionals in the United Kingdom for the same purposes as
investment professionals in the U.S. use the S&P 500 Index. While the FTA will
be used by the Portfolio to determine the maximum market capitalization of any
company whose stock the Portfolio will purchase, Portfolio acquisitions will
not be limited to stocks which are included in the FTA. The Portfolio will
not, however, purchase shares of any investment trust or of any company whose
market capitalization is less than $5,000,000.
Continental Small Company Segment
The Portfolio is authorized to invest in readily marketable stocks of
a broad and diverse group of small companies organized under the laws of
certain European countries; specifically, France, Germany, Italy, Switzerland,
the Netherlands, Sweden, Belgium, Norway, Spain, Austria, Finland and Denmark,
whose shares are traded principally in securities markets located in those
countries. Company size will be determined by the Advisor in a manner that
will compare the market capitalizations of companies in all countries of this
segment in which the Portfolio invests (i.e., on a European basis). The
Advisor will use the appropriate country indices of the Financial
Times-Actuaries World Index ("FTW") converted to a common currency, the United
States dollar, and aggregated to define "small companies." The FTW consists of
a series of country indices which contain generally the largest companies in
the major industry sectors in proportion to their market capitalization whose
shares are available for purchase by non-resident investors. Its constituents
represent about 70% of the total market capitalization of the respective
markets. Companies with publicly traded stock whose market capitalizations are
not greater than the largest of those in the smallest 20% (9th and 10th
deciles) of companies listed in the FTW as combined for the countries in this
segment will be considered to be "Continental small companies" and will be
eligible for purchase by the Portfolio.
While the Advisor will use the aggregated FTW indices to determine the
maximum size of eligible portfolio companies, portfolio acquisitions will not
be limited to stocks listed on the FTW for any country. The Portfolio does not
intend, however, to purchase shares of any company whose market capitalization
is less than the equivalent of $5,000,000. The Advisor may in its discretion
either limit further investments in a particular country or divest the
Portfolio of holdings in a particular country. (See "Portfolio Structure.")
Pacific Rim Small Company Segment
The Portfolio is authorized to invest in stocks of small companies
located in Australia, New Zealand and Asian countries whose shares are traded
principally on the securities markets located in those countries. Company size
will be determined by the Advisor in a manner that will compare the market
capitalizations of the companies in all countries of this segment in which the
Portfolio invests (i.e., on a Pacific Rim basis). The Advisor will use the
appropriate country indices of the FTW converted to a common currency and
aggregated to define "small companies." Companies with publicly traded stock
whose market capitalizations are not greater than the largest of those in the
smallest 30% (8th, 9th and 10th deciles) of companies listed in the FTW as
combined for the countries in this segment will be considered to be "Pacific
Rim small companies" and will be eligible for purchase by the Portfolio.
While the Advisor will use the aggregated FTW indices to determine the
maximum size of eligible portfolio companies, portfolio acquisitions will not
be limited to stocks listed on the FTW for any country. The Portfolio does not
intend to purchase shares of any company whose market capitalization is less
than $5,000,000. The Advisor may in its discretion either limit further
investments in a particular country or divest the Portfolio of holdings in a
particular country.
13
<PAGE> 20
PORTFOLIO STRUCTURE
With respect to each segment, VA International Small Portfolio intends
to acquire a portion of the stock of each eligible company on a market
capitalization basis. The Portfolio also may invest up to 5% of its assets in
convertible debentures issued by Japanese, United Kingdom, Continental and
Pacific Rim small companies.
VA International Small Portfolio is structured by generally basing the
amount of each security purchased in each segment on the issuer's relative
market capitalization within that segment with a view to creating in the
Portfolio a reasonable reflection of the relative market capitalizations of the
portfolio companies segment by segment. The decision to include or exclude the
shares of an issuer will be made on the basis of such issuer's relative market
capitalization determined by reference to other companies located in the same
country, except with respect to Continental and Pacific Rim small companies,
such determination shall be made by reference to other companies located in all
countries in the respective segment. Company size is measured in terms of
local currencies in order to eliminate the effect of variations in currency
exchange rates, except with respect to Continental and Pacific Rim small
company segments, in which segments company size will be measured in terms of a
common currency. Even though a company's stock may meet the applicable market
capitalization criterion, it may not be purchased if, (i) in the Advisor's
judgment, the issuer is in extreme financial difficulty, (ii) the issuer is
involved in a merger or consolidation or is the subject of an acquisition or
(iii) a significant portion of the issuer's securities are closely held.
Further, securities of real estate investment trusts will not be acquired
(except as a part of a merger, consolidation or acquisition of assets). In
addition, the Advisor may exclude the stock of a company that otherwise meets
applicable market capitalization criterion if the Advisor determines in its
best judgment that other conditions exist that make the purchase of such stock
inappropriate.
When, in the judgment of the Advisor, the indices described herein are
no longer appropriate benchmarks for determining company size or eligibility,
the Advisor may, in its sole discretion, utilize other indices that it
considers appropriate.
Deviation from strict market capitalization weighting will also occur
because the Advisor intends to purchase round lots only. Furthermore, in order
to retain sufficient liquidity, the relative amount of any security held may be
reduced from time to time from the level which strict adherence to market
capitalization weighting would otherwise require. A portion, but generally not
in excess of 20%, of the Portfolio's assets may be invested in interest-bearing
obligations, such as money-market instruments for this purpose, thereby causing
further deviation from strict market capitalization weighting.
Block purchases of eligible securities may be made at opportune prices
even though such purchases exceed the number of shares which, at the time of
purchase, strict adherence to the policy of market capitalization weighting
would otherwise require. In addition, the Portfolio may acquire securities
eligible for purchase or otherwise represented in the Portfolio at the time of
the exchange in exchange for the issuance of shares. While such purchases and
acquisitions might cause a temporary deviation from market capitalization
weighting, they would ordinarily be made in anticipation of further growth of
assets.
If securities must be sold in order to obtain funds to make redemption
payments, they may be repurchased as additional cash becomes available. In
most instances, however, management would anticipate selling securities which
had appreciated sufficiently to be eligible for sale and, therefore, would not
need to repurchase such securities. (See "Portfolio Transactions.")
Changes in the composition and relative ranking (in terms of market
capitalization) of the stocks which are eligible for purchase take place with
every trade when the securities markets are open for trading due, primarily, to
price fluctuations of such securities. On a not less than semi-annual basis,
the Advisor will determine the market capitalization of the largest small
company eligible for investment in each segment. Common stocks whose market
capitalizations are not greater than such company will be purchased.
Additional investments generally will not be made in securities which have
appreciated in value sufficiently to be excluded from the Advisor's then
current market capitalization limit for eligible portfolio securities. This
may result in further deviation from strict market
14
<PAGE> 21
capitalization weighting, and such deviation could be substantial if a
significant amount of holdings increase in value sufficiently to be excluded
from the limit for eligible securities, but not by a sufficient amount to
warrant their sale. (See "Portfolio Transactions.") A further deviation from
market capitalization weighting may occur if the Portfolio invests a portion of
its assets in convertible debentures.
It is management's belief that the stocks of small companies offer,
over a long term, a prudent opportunity for capital appreciation but, at the
same time, selecting a limited number of such issues for investment involves
greater risk than investing in a large number of them. The Portfolio intends
to invest at least 80% of its assets in equity securities of Japanese, United
Kingdom, Continental and Pacific Rim small companies.
Generally, current income is not sought as an investment objective,
and investments will not be based upon an issuer's dividend payment policy or
record. However, many of the companies whose securities will be selected for
investment do pay dividends. It is anticipated, therefore, that dividend
income will be received.
PORTFOLIO TRANSACTIONS
On a periodic basis, the Advisor will review each Portfolio's holdings
and determine which, at the time of such review, are no longer considered small
Japanese, United Kingdom, Continental or Pacific Rim companies. The present
policy of the Advisor is to consider portfolio securities for sale when they
have appreciated sufficiently to rank, on a market capitalization basis, more
than one full decile higher than the company with the largest market
capitalization that is eligible for purchase by the Portfolio as determined
periodically by the Advisor. The Advisor may, from time to time, revise that
policy if, in the opinion of the Advisor, such revision is necessary to
maintain appropriate market capitalization weighting.
Securities which have depreciated in value since their acquisition
will not be sold solely because prospects for the issuer are not considered
attractive, or due to an expected or realized decline in securities prices in
general. Securities may be disposed of, however, at any time when, in the
Advisor's judgment, circumstances, such as (but not limited to) tender offers,
mergers and similar transactions, or bids made for block purchases at opportune
prices, warrant their sale. Generally, securities will not be sold to realize
short-term profits, but when circumstances warrant, they may be sold without
regard to the length of time held. Generally, securities will be purchased
with the expectation that they will be held for longer than one year and will
be held until such time as they are no longer considered an appropriate holding
in light of the policy of maintaining portfolios of companies with small market
capitalizations.
SECURITIES LOANS
All of the Portfolios are authorized to lend securities to qualified
brokers, dealers, banks and other financial institutions for the purpose of
earning additional income. While a Portfolio may earn additional income from
lending securities, such activity is incidental to the investment objective of
a Portfolio. The value of securities loaned may not exceed 33 1/3% of the
value of a Portfolio's total assets. In connection with such loans, a
Portfolio will receive collateral consisting of cash or U.S. Government
securities, which will be maintained at all times in an amount equal to at
least 100% of the current market value of the loaned securities. In addition,
the Portfolios will be able to terminate the loan at any time, will receive
reasonable compensation on the loan, as well as amounts equal to any dividends,
interest or other distributions on the loaned securities. In the event of the
bankruptcy of the borrower, the Fund could experience delay in recovering the
loaned securities. Management believes that this risk can be controlled
through careful monitoring procedures.
FIXED INCOME PORTFOLIOS - INVESTMENT OBJECTIVES AND POLICIES
VA SHORT-TERM FIXED PORTFOLIO
The investment objective of VA Short-Term Fixed Portfolio is to
achieve a stable real value (i.e., a return in excess of the rate of inflation)
of invested capital with a minimum of risk. The Portfolio will invest in U.S.
15
<PAGE> 22
government obligations, U.S. government agency obligations, dollar-denominated
obligations of foreign issuers issued in the U.S., bank obligations, including
U.S. subsidiaries and branches of foreign banks, corporate obligations,
commercial paper, repurchase agreements and obligations of supranational
organizations. Generally, the Portfolio will acquire obligations which mature
within one year from the date of settlement, but substantial investments may be
made in obligations maturing within two years from the date of settlement when
greater returns are available. It is the Portfolio's policy that the weighted
average length of maturity of investments will not exceed one year. The
Portfolio principally invests in certificates of deposit, commercial paper,
bankers' acceptances, notes and bonds. The Portfolio will invest more than 25%
of its total assets in obligations of U.S. and/or foreign banks and bank
holding companies when the yield to maturity on these instruments exceeds the
yield to maturity on all other eligible portfolio investments of similar
quality for a period of five consecutive days when the NYSE is open for
trading. (See "Investments in the Banking Industry.")
VA GLOBAL BOND PORTFOLIO
The investment objective of VA Global Bond Portfolio is to provide a
market rate of return for a fixed income portfolio with low relative volatility
of returns. The Portfolio will invest primarily in obligations issued or
guaranteed by the U.S. and foreign governments, their agencies and
instrumentalities, obligations of other foreign issuers rated AA or better and
supranational organizations, such as the World Bank, the European Investment
Bank, European Economic Community, and European Coal and Steel Community and
corporate debt obligations. At the present time, the Advisor expects that most
investments will be made in the obligations of issuers which are developed
countries, such as those countries which are members of the Organization of
Economic Cooperation and Development (OECD). However, in the future, the
Advisor anticipates investing in issuers located in other countries as well.
Under normal market conditions, the Portfolio will invest at least 65% of the
value of its assets in issuers organized or having a majority of their assets
in, or deriving a majority of their operating income in, at least three
different countries, one of which may be the United States. The Portfolio will
acquire obligations which mature within ten years from the date of settlement.
Because many of the Portfolio's investments will be denominated in foreign
currencies, the Portfolio will also enter into forward foreign currency
contracts solely for the purpose of hedging against fluctuations in currency
exchange rates. Inasmuch as VA Global Bond Portfolio intends to continually
hedge against the risk of variations in currency exchange rates, the Advisor
believes that the variation of the Portfolio's investment performance in
relation to fluctuations in currency exchange rates will be minimized.
DESCRIPTION OF INVESTMENTS
The following is a description of the categories of investments which
may be acquired by the Fixed Income Portfolios. VA Short-Term Fixed Portfolio
may invest in all of the securities and obligations listed in categories 1-6
and 8, and VA Global Bond Portfolio may invest in the securities and
obligations listed in categories 1-3 and 6-9.
1. U.S. Government Obligations - Debt securities issued by the
U.S. Treasury which are direct obligations of the U.S. government, including
bills, notes and bonds.
2. U.S. Government Agency Obligations - Issued or guaranteed by
U.S. government-sponsored instrumentalities and federal agencies, including the
Federal National Mortgage Association, Federal Home Loan Bank and the Federal
Housing Administration.
3. Corporate Debt Obligations - Non-convertible corporate debt
securities (e.g., bonds and debentures) which are issued by companies whose
commercial paper is rated Prime-1 by Moody's Investors Services, Inc.
("Moody's") or A-1 by Standard & Poor's Corporation ("S&P") and
dollar-denominated obligations of foreign issuers issued in the U.S. If the
issuer's commercial paper is unrated, then the debt security would have to be
rated at least AA by S&P or Aa2 by Moody's. If there is neither a commercial
paper rating nor a rating of the debt security, then the Advisor must determine
that the debt security is of comparable quality to equivalent issues of the
same issuer rated at least AA or Aa2.
16
<PAGE> 23
4. Bank Obligations - Obligations of U.S. banks and savings and
loan associations and dollar-denominated obligations of U.S. subsidiaries and
branches of foreign banks, such as certificates of deposit (including
marketable variable rate certificates of deposit) and bankers' acceptances.
Bank certificates of deposit will only be acquired from banks with assets in
excess of $1,000,000,000.
5. Commercial Paper - Rated, at the time of purchase, A-1 or
better by S&P or Prime-1 by Moody's, or, if not rated, issued by a corporation
having an outstanding unsecured debt issue rated Aaa by Moody's or AAA by S&P,
and having a maximum maturity of nine months.
6. Repurchase Agreements - Instruments through which the
Portfolios purchase securities ("underlying securities") from a bank, or a
registered U.S. government securities dealer, with an agreement by the seller
to repurchase the security at an agreed price, plus interest at a specified
rate. The underlying securities will be limited to U.S. government and agency
obligations described in (1) and (2) above. The Portfolios will not enter into
a repurchase agreement with a duration of more than seven days if, as a result,
more than 10% of the value of the Portfolio's total assets would be so
invested. The Portfolios will also only invest in repurchase agreements with a
bank if the bank has at least $1,000,000,000 in assets and is approved by the
Investment Committee of the Advisor. The Advisor will monitor the market value
of the securities plus any accrued interest thereon so that they will at least
equal the repurchase price.
7. Foreign Government and Agency Obligations - Bills, notes,
bonds and other debt securities issued or guaranteed by foreign governments, or
their agencies and instrumentalities.
8. Supranational Organization Obligations - Debt securities of
supranational organizations such as the European Coal and Steel Community, the
European Economic Community and the World Bank, which are chartered to promote
economic development.
9. Foreign Issuer Obligations - Debt securities of non-U.S.
issuers rated AA or better by S&P and Aa2 or better by Moody's.
INVESTMENTS IN THE BANKING INDUSTRY
VA Short-Term Fixed Portfolio will invest more than 25% of its total
assets in obligations of U.S. and/or foreign banks and bank holding companies
when the yield to maturity on these investments exceeds the yield to maturity
on all other eligible portfolio investments for a period of five consecutive
days when the NYSE is open for trading. For the purpose of this policy, which
is a fundamental policy of the Portfolio that can only be changed by a vote of
shareholders of the Portfolio, banks and bank holding companies are considered
to constitute a single industry, the banking industry. When investment in such
obligations exceeds 25% of the total net assets of the Portfolio, the Portfolio
will be considered to be concentrating its investments in the banking industry.
The types of bank and bank holding company obligations in which VA
Short-Term Fixed Portfolio may invest include: dollar-denominated certificates
of deposit, bankers' acceptances, commercial paper and other debt obligations
issued in the United States and which mature within two years of the date of
settlement, provided such obligations meet the Portfolio's established credit
rating criteria as stated under "Description of Investments." In addition, the
Portfolio is authorized to invest more than 25% of its total assets in U.S.
Treasury bonds, bills and notes and obligations of federal agencies and
instrumentalities.
PORTFOLIO STRATEGY
VA Short-Term Fixed Portfolio will be managed with a view to capturing
credit risk premiums and term or maturity premiums. As used herein, the term
"credit risk premium" means the anticipated incremental return
17
<PAGE> 24
on investment for holding obligations considered to have greater credit risk
than direct obligations of the U.S. Treasury, and "maturity risk premium" means
the anticipated incremental return for holding securities having maturities of
longer than one month compared to securities having a maturity of one month.
The Advisor believes that credit risk premiums are available largely through
investment in high grade commercial paper, certificates of deposit and
corporate obligations. The holding period for assets of the Portfolio will be
chosen with a view to maximizing anticipated monthly returns, net of trading
costs.
VA Global Bond Portfolio will be managed with a view to capturing
maturity risk premiums. Ordinarily the Portfolio will invest primarily in
obligations issued or guaranteed by foreign governments and their agencies and
instrumentalities, obligations of other foreign issuers rated AA or better and
supranational organizations. Supranational issuers include the European
Economic Community, the European Coal and Steel Community, the Nordic
Investment Bank, the World Bank and the Japanese Development Bank. The
Portfolio will own obligations issued or guaranteed by the U.S. government and
its agencies and instrumentalities also. At times when, in the Advisor's
judgment, eligible foreign securities do not offer maturity risk premiums that
compare favorably with those offered by eligible U.S. securities, the Portfolio
will be invested primarily in the latter securities.
VA Global Bond Portfolio is "non-diversified," as defined in the
Investment Company Act of 1940, which means that, as to 75% of its total
assets, more than 5% may be invested in the securities of a single issuer.
However, for purposes of the Internal Revenue Code, the Portfolio is
"diversified" because as to 50% of its total assets, no more than 5% may be
invested in the securities of a single issuer, and the Portfolio intends to
invest no more than 55% of the value of its total assets in cash, cash items,
government securities and other regulated investment companies. The Portfolio
will not invest more than 25% of its assets in securities of companies in any
one industry. Management does not consider securities which are issued by the
U.S. government or its agencies or instrumentalities to be investments in an
"industry." However, management currently considers securities issued by a
foreign government to be subject to the 25% limitation, with the effect that
not more than 25% of the Portfolio's total assets will be invested in
securities issued by any one foreign government. The Portfolio will not invest
more than 25% of its total assets in obligations of supranational
organizations. Finally, the Portfolio might invest in certain securities
issued by companies, such as Caisse Nationale des Telecommunication, a
communications company, whose obligations are guaranteed by a foreign
government. Management considers such a company to be within a particular
industry (in this case, the communications industry) and, therefore, the
Portfolio will invest in the securities of such a company only if it can do so
under the Portfolio's policy of not being concentrated in any single industry.
VA Short-Term Fixed Portfolio is expected to have a high portfolio
turnover rate due to the relatively short maturities of the securities to be
acquired. It is anticipated that the annual rate of VA Short-Term Fixed
Portfolio could be 0% to 200%. The annual portfolio turnover rate of VA Global
Bond Portfolio is not expected to exceed 100%. The rate of portfolio turnover
will depend upon market and other conditions; it will not be a limiting factor
when management believes that portfolio changes are appropriate. While the
Fixed Income Portfolios acquire securities in principal transactions and,
therefore, do not pay brokerage commissions, the spread between the bid and
asked prices of a security may be considered to be a "cost" of trading. Such
costs ordinarily increase with trading activity. However, as stated above,
securities ordinarily will be sold when, in the Advisor's judgment, the monthly
return of a Portfolio will be increased as a result of portfolio transactions
after taking into account the cost of trading. It is anticipated that
securities will be acquired in the secondary markets for short term
instruments.
RISK FACTORS - ALL PORTFOLIOS
SMALL COMPANY SECURITIES
Typically, securities of small companies are less liquid than
securities of large companies. Recognizing this factor, VA International Small
Portfolio and VA Small Value Portfolio will endeavor to effect securities
transactions in a manner to avoid causing significant price fluctuations in the
market for these securities.
18
<PAGE> 25
FOREIGN SECURITIES
The International Equity Portfolios and Fixed Income Portfolios invest
in foreign issuers. Such investments involve risks that are not associated
with investments in U.S. public companies. Such risks may include legal,
political and or diplomatic actions of foreign governments, such as imposition
of withholding taxes on interest and dividend income payable on the securities
held, possible seizure or nationalization of foreign deposits, establishment of
exchange controls or the adoption of other foreign governmental restrictions
which might adversely affect the value of the assets held by the Portfolios.
Further, foreign issuers are not generally subject to uniform accounting,
auditing and financial reporting standards comparable to those of U.S. public
companies and there may be less publicly available information about such
companies than comparable U.S. companies. Certain of the foreign markets in
which the Portfolios may invest have recently transitioned from or are in the
process of transitioning from centrally controlled to market-based economies.
There can be no assurance that such transitions will be successful. The Fixed
Income Portfolios may invest in obligations of supranational organizations.
The value of the obligations of these organizations may be adversely affected
if one or more of their supporting governments discontinue their support.
Also, there can be no assurance that any of the Portfolios will achieve its
investment objective.
FOREIGN CURRENCIES AND RELATED TRANSACTIONS
Investments of the International Equity Portfolios and VA Global Bond
Portfolio will be denominated in foreign currencies. Changes in the relative
values of foreign currencies and the U.S. dollar, therefore, will affect the
value of investments of these Portfolios. These Portfolios may purchase
foreign currency futures contracts and options in order to hedge against
changes in the level of foreign currency exchange rates, provided not more than
5% of each Portfolio's assets are then invested as initial margin deposits on
such contracts or options. Such contracts involve an agreement to purchase or
sell a specific currency at a future date at a price set in the contract and
enable the Portfolios to protect against losses resulting from adverse changes
in the relationship between the U.S. dollar and foreign currencies occurring
between the trade and settlement dates of Portfolio securities transactions,
but they also tend to limit the potential gains that might result from a
positive change in such currency relationships.
BORROWING
Each Portfolio has reserved the right to borrow amounts not exceeding
33% of its net assets for the purposes of making redemption payments. When
advantageous opportunities to do so exist, each Portfolio may also purchase
securities when borrowings exceed 5% of the value of its net assets. Such
purchases can be considered to be "leveraging" and, in such circumstances, the
net asset value of the Portfolio may increase or decrease at a greater rate
than would be the case if the Portfolio had not leveraged. The interest
payable on the amount borrowed would increase the Portfolio's expenses and, if
the appreciation and income produced by the investments purchased when the
Portfolio has borrowed are less than the cost of borrowing, the investment
performance of the Portfolio will be reduced as a result of leveraging.
PORTFOLIO STRATEGIES
The method employed by the Advisor to manage the Domestic Equity and
International Equity Portfolios will differ from the process employed by many
other investment advisors in that the Advisor will rely on fundamental analysis
of the investment merits of securities to a limited extent to eliminate
potential portfolio acquisitions rather than rely on this technique to select
securities. Further, because securities generally will be held long-term and
will not be eliminated based on short-term price fluctuations, the Advisor
generally will not act upon general market movements or short-term price
fluctuations of securities to as great an extent as many other investment
advisors.
19
<PAGE> 26
FUTURES CONTRACTS AND OPTIONS ON FUTURES
The Domestic Equity Portfolios and VA International Value Portfolio
may invest in index futures contracts and options on index futures contracts,
provided that, in accordance with current regulations, not more than 5% of each
Portfolio's total assets are then invested as initial margin deposits on such
contracts or options. In addition, to the extent that a Portfolio invests in
futures contracts and options thereon for other than bona fide hedging
purposes, no Portfolio will enter into such transactions if, immediately
thereafter, the sum of the amount of initial margin deposits and premiums paid
for open futures options would exceed 5% of the Portfolio's total assets, after
taking into account unrealized profits and unrealized losses on such contracts
it has entered into; provided, however, that, in the case of an option that is
in-the-money at the time of purchase, the in-the-money amount may be excluded
in calculating the 5%. These investments entail the risk that an imperfect
correlation may exist between changes in the market value of the stocks owned
by the Portfolios, and the prices of such futures contracts and options, and,
at times, the market for such contracts and options might lack liquidity,
thereby inhibiting a Portfolio's ability to close a position in such
investments. Gains or losses on investments in options and futures depend on
the direction of securities prices, interest rates and other economic factors,
and the loss from investing in futures contracts is potentially unlimited.
Certain restrictions imposed by the Internal Revenue Code may limit the ability
of a Portfolio to invest in futures contracts and options on futures contracts.
BANKING INDUSTRY CONCENTRATIONS
Concentrating in obligations of the banking industry may involve
additional risk by foregoing the safety of investing in a variety of
industries. Changes in the market's perception of the riskiness of banks
relative to non-banks could cause more fluctuations in the net asset value of
VA Short-Term Fixed Portfolio than might occur in less concentrated portfolios.
REPURCHASE AGREEMENTS
In addition, all of the Portfolios may invest in repurchase
agreements. In the event of the bankruptcy of the other party to a repurchase
agreement, the Fund could experience delay in recovering the securities
underlying such agreements. Management believes that this risk can be
controlled through stringent security selection criteria and careful monitoring
procedures.
MANAGEMENT OF THE FUND
Dimensional Fund Advisors Inc. (the "Advisor") serves as investment
advisor to each of the Portfolios. As such, the Advisor is responsible for the
management of their respective assets. Investment decisions for all Portfolios
of the Fund are made by the Investment Committee of the Advisor which meets on
a regular basis and also as needed to consider investment issues. The
Investment Committee is composed of certain officers and directors of the
Advisor who are elected annually. The Advisor provides the Portfolios with a
trading department and selects brokers and dealers to effect securities
transactions. Portfolio securities transactions are placed with a view to
obtaining best price and execution and, subject to this goal, may be placed
with brokers which have assisted in the sale of the Portfolios' shares.
Brokerage transactions may be placed with securities firms that are affiliated
with an affiliate of the Advisor.
For the fiscal year ended November 30, 1995, (i) the Advisor received
a fee for its services which, on an annual basis, equaled the following
percentage of the average net assets of each Portfolio; and (ii) the total
expenses of each Portfolio were the following percentages of respective average
net assets:
<TABLE>
<CAPTION>
Management Fee Annualized Total Expenses
-------------- -------------------------
<S> <C> <C>
</TABLE>
20
<PAGE> 27
<TABLE>
<S> <C> <C>
VA Small Value Portfolio 0.50% 0.99%
VA Large Value Portfolio 0.25% 1.20%
VA International Value Portfolio 0.40% 1.32%
VA International Small Portfolio 0.50% 2.52%
VA Short-Term Fixed Portfolio 0.25% 0.63%
VA Global Bond Portfolio 0.25% 1.31%
</TABLE>
The Fund bears all of its own costs and expenses, including: services
of its independent accountants, legal counsel, brokerage fees, commissions and
transfer taxes in connection with the acquisition and disposition of portfolio
securities, taxes, insurance premiums, costs incidental to meetings of its
shareholders and directors, the cost of filing its registration statements
under federal and state securities laws, reports to shareholders, and transfer
and dividend disbursing agency, administrative services and custodian fees.
Expenses allocable to a particular Portfolio are so allocated and expenses
which are not allocable to a particular Portfolio are borne by each Portfolio
on the basis of the fees paid by the Fund to PFPC Inc., the accounting
services, dividend disbursing and transfer agent for each Portfolio.
The Advisor was organized in May 1981 and is engaged in the business
of providing investment management services to institutional investors. Assets
under management total approximately $14 billion. David G. Booth and Rex A.
Sinquefield, directors and officers of both the Fund and the Advisor, together
own approximately 63% of the Advisor's outstanding stock and may be deemed
controlling persons of the Advisor. The Advisor owns 100% of the outstanding
shares of Dimensional Fund Advisors Ltd. ("DFAL") and DFA Australia Pty Limited
("DFA Australia") (see "Investment Services - VA International Small
Portfolio).
INVESTMENT SERVICES - VA INTERNATIONAL SMALL PORTFOLIO
Pursuant to a Sub-Advisory Agreement with the Advisor, DFAL, 14
Berkeley Street, London, W1X 5AD, England, a company that is organized under
the laws of England, has the authority and responsibility to select brokers or
dealers to execute securities transactions for the United Kingdom and
Continental small company segments of VA International Small Portfolio.
Pursuant to a Sub-Advisory Agreement with the Advisor, DFA Australia, Suite
4403 Gateway, 1 MacQuarie Place, Sydney, New South Wales 2000, Australia, the
successor to Dimensional Fund Advisors Asia Inc., has the authority and
responsibility to select brokers and dealers to execute securities transactions
for the Japanese and Pacific Rim small company segments of VA International
Small Portfolio. The duties of DFAL with respect to the United Kingdom and
Continental small company segments of the Portfolio and DFA Australia with
respect to the Japanese and Pacific Rim small company segments of the Portfolio
include the maintenance of a trading desk for the Portfolio and the
determination of the best and most efficient means of executing securities
transactions. The Advisor is responsible for determining those securities
which are eligible for purchase and sale by the Portfolio and may delegate this
task, subject to its own review, to DFAL and DFA Australia. On at least a
semi-annual basis, the Advisor reviews the holdings of United Kingdom,
Continental, Japanese and Pacific Rim small company segments and reviews the
trading process and the execution of securities transactions.
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<PAGE> 28
DFAL maintains and furnishes to the Advisor information and reports on
United Kingdom and Continental small companies, including its recommendations
of securities to be added to the securities in those segments that are eligible
for purchase by the Portfolio. The Advisor pays DFAL a fee equal to 50,000
pounds sterling total per year, payable on a quarterly basis, for services to
the Portfolio. DFAL is a member of the Investment Management Regulatory
Organization Limited ("IMRO"), a self regulatory organization for investment
managers operating under the laws of England. If a shareholder of VA
International Small Portfolio wishes to register a complaint against DFAL, that
shareholder may either make the complaint in writing to the Compliance Officer
of DFAL or may complain directly to IMRO.
DFA Australia maintains and furnishes to the Advisor information and
reports on Japanese and Pacific Rim small companies, including its
recommendations of securities to be added to the securities in those segments
that are eligible for purchase by the Portfolio. The Advisor pays DFA
Australia a fee equal to 100,000 Hong Kong dollars total per year, payable on a
quarterly basis, for services to VA International Small Portfolio.
DIRECTORS AND OFFICERS
The Board of Directors is responsible for establishing Fund policies
and for overseeing the management of the Fund. Information as to the Directors
and Officers of the Fund is set forth in the Statement of Additional
Information under "DIRECTORS AND OFFICERS."
DIVIDENDS, CAPITAL GAINS DISTRIBUTIONS AND TAXES
Each Portfolio intends to qualify each year as a regulated investment
company under the Internal Revenue Code of 1986, as amended (the "Code"), so
that it will not be liable for federal income taxes to the extent that its net
investment income and net realized capital gains are distributed. The policy
of VA Small Value and the International Equity Portfolios is to distribute
substantially all of their net investment income together with any net realized
capital gains in November and December of each year. Dividends from net
investment income of VA Large Value Portfolio are distributed quarterly and any
net realized capital gains are distributed in November and December of each
year. Net investment income, which is accrued daily, will be distributed
monthly (except for January) by VA Short-Term Fixed Portfolio and quarterly by
VA Global Bond Portfolio. Any net realized capital gains of the Fixed Income
Portfolios will be distributed in November and December of each year.
If a Portfolio purchases shares in certain foreign investment
entities, called "passive foreign investment companies" ("PFIC"), such
Portfolio may be subject to U.S. federal income tax and a related interest
charge on a portion of any "excess distribution" or gain from the disposition
of such shares even if such income is distributed as a taxable dividend by the
Portfolio to its shareholders.
Also, dividends and interest received on investments made by the
Portfolios may be subject to foreign withholding taxes on income from certain
of their foreign securities.
Shareholders of the Portfolios will automatically receive all income
dividends and capital gains distributions in additional shares of the Portfolio
whose shares they hold at net asset value (as of the business date following
the dividend record date). Shareholders are notified annually by the Fund as
to the federal tax status of dividends and distributions paid by the Portfolio
whose shares they own.
Shares of the Portfolio must be purchased through variable annuity
contracts. As a result, it is anticipated that any dividend or capital gains
distributions from a Portfolio of the Fund will be exempt from current taxation
22
<PAGE> 29
if left to accumulate within a variable annuity contract. Withdrawals from
such contracts may be subject to ordinary income tax plus a 10% penalty tax if
made before age 59 1/2.
The tax status of your investment in the Portfolios depends upon the
features of your variable life or variable annuity contract. For further
information, please refer to the prospectus of the insurance company separate
account that offers your contract.
PURCHASE AND REDEMPTION OF SHARES
Shares of the Portfolios are sold only to insurance company separate
accounts. Purchases and redemptions of shares of each Portfolio by a separate
account will be effected at the net asset value per share. (See "VALUATION OF
SHARES.") Contract owners do not deal directly with the Fund with respect to
the acquisition or redemption of shares of the Portfolios. Please see the
prospectus of the insurance company separate account for information regarding
the purchase and redemption of shares of the Portfolios.
VALUATION OF SHARES
The net asset value per share of each Portfolio is calculated as of
the close of the NYSE by dividing the total market value of the Portfolio's
investments and other assets, less any liabilities, by the total outstanding
shares of the stock of the Portfolio. The value of the shares of each
Portfolio will fluctuate in relation to its own investment experience.
Securities held by the Domestic Equity and International Equity Portfolios
which are listed on the securities exchange and for which market quotations are
available are valued at the last quoted sale price of the day or, if there is
no such reported sale, such securities are valued at the mean between the most
recent quoted bid and asked prices. Price information on listed securities is
taken from the exchange where the security is primarily traded. Unlisted
securities for which market quotations are readily available are valued at the
mean between the most recent bid and asked prices. The value of other assets
and securities for which no quotations are readily available (including
restricted securities) are determined in good faith at fair value in accordance
with procedures adopted by the Board of Directors. The net asset values per
share of the International Equity Portfolios and VA Global Bond Portfolio are
expressed in U.S. dollars by translating the net assets of each Portfolio using
the bid price for the dollar as quoted by generally recognized reliable
sources.
The value of the shares of the Fixed Income Portfolios will tend to
fluctuate with interest rates because, unlike money market funds, these
Portfolios do not seek to stabilize the value of their respective shares by use
of the "amortized cost" method of asset valuation. Net asset value includes
interest on fixed income securities which is accrued daily. Securities which
are traded OTC and on a stock exchange will be valued according to the broadest
and most representative market, and it is expected that for bonds and other
fixed-income securities this ordinarily will be the OTC market. Securities
held by the Fixed Income Portfolios may be valued on the basis of prices
provided by a pricing service when such prices are believed to reflect the
current market value of such securities. Other assets and securities for which
quotations are not readily available will be valued in good faith at fair value
using methods determined by the Board of Directors.
Generally, trading in foreign securities markets is completed each day
at various times prior to the close of the NYSE. The values of foreign
securities held by the International Equity Portfolios and VA Global Bond
Portfolio are determined as of such times for the purpose of computing the net
asset values of these Portfolios. If events which materially affect the value
of the investments of a Portfolio occur subsequent to the close of the
securities market on which such securities are primarily traded, the
investments affected thereby will be valued at "fair value" as described above.
23
<PAGE> 30
DISTRIBUTION
The Fund acts as distributor of each series of its own shares of
stock. It has, however, entered into an agreement with DFA Securities Inc., a
wholly owned subsidiary of the Advisor, pursuant to which DFA Securities Inc.
is responsible for supervising the sale of each series of shares. No
compensation is paid by the Fund to DFA Securities Inc. under this agreement.
GENERAL INFORMATION
The Fund was incorporated under Maryland law on June 15, 1981. Until
June 1983, the Fund was named DFA Small Company Fund Inc. Until September 18,
1995, VA Large Value Portfolio was named DFA Global Value Portfolio and VA
Global Bond Portfolio was named DFA Global Bond Portfolio. The shares of each
Portfolio, when issued and paid for in accordance with the Fund's prospectus,
will be fully paid and non-assessable shares, with equal, non-cumulative voting
rights and no preferences as to conversion, exchange, dividends, redemption or
any other feature.
The Portfolios may disseminate reports of their investment performance
from time to time. Investment performance is calculated on a total return
basis; that is by including all net investment income and any realized and
unrealized net capital gains or losses during the period for which investment
performance is reported. If dividends or capital gains distributions have been
paid during the relevant period, the calculation of investment performance will
include such dividends and capital gains distributions as though reinvested in
shares of the Portfolio. Standard quotations of total return, which include
deductions of any applicable reimbursement fees, are computed in accordance
with Securities and Exchange Commission ("SEC") Guidelines and are presented
whenever any non-standard quotations are disseminated to provide comparability
to other investment companies. Non-standardized total return quotations may
differ from the SEC Guideline computations by covering different time periods,
excluding deduction of reimbursement fees charged to investors and paid to the
Portfolios which would otherwise reduce returns quotations, and linking actual
Portfolio return with simulated data for periods prior to a Portfolio's
inception. In all cases, disclosures are made when performance quotations
differ from the SEC Guidelines which were established effective May 1, 1988.
Performance data is based on historical earnings and is not intended to
indicate future performance. Rates of return expressed on an annual basis will
usually not equal the sum of returns expressed for consecutive interim periods
due to the compounding of the interim yields. The Fund's Annual Report to
shareholders relating to the Portfolios for the fiscal periods ended November
30, 1995 contains additional performance information. A copy of the Annual
Report is available upon request and without charge.
With respect to the International Equity Portfolios and VA Global Bond
Portfolio, rates of return expressed as a percentage of U.S. dollars will
reflect applicable currency exchange rates at the beginning and ending dates of
the investment periods presented. The return expressed in terms of U.S.
dollars is the return one would achieve by investing dollars in the Portfolio
at the beginning of the period and liquidating the investment in dollars at the
end of the period. Hence, the return expressed as a percentage of U.S. dollars
combines the investment performance of the Portfolio as well as the performance
of the local currency or currencies of the Portfolio.
Pursuant to an exemptive order from the SEC, shares of the Portfolios
may be sold to registered separate accounts of various insurance companies
offering variable annuity and variable life products. At present, the Board of
Directors of the Fund does not foresee any disadvantage arising from the fact
that each Portfolio may offer its shares to separate accounts of various
insurance companies to serve as an investment vehicle for their variable
separate accounts. However, a material conflict could arise between the
interest of the different participating separate accounts. The Fund's Board of
Directors would monitor events in order to identify any material irreconcilable
conflicts that may possibly arise and to determine what action, if any, should
be taken in response to such conflicts of interest. If such conflicts were to
occur, one or more insurance companies' separate accounts might be required to
withdraw its investments in one or more Portfolios, or shares of another
Portfolio may be substituted by the Fund. As a result, a Portfolio might be
forced to sell a portion of its securities at a
24
<PAGE> 31
disadvantageous price. In the event of such a material conflict, the affected
insurance companies agree to take any necessary steps, including removing its
separate account from the Portfolio if required by law, to resolve the matter.
As of February 29, 1996, the following persons owned more than 25% of
the voting securities of the following Portfolios:
VA LARGE VALUE PORTFOLIO
<TABLE>
<S> <C>
(formerly National Home Life) Providian Life and Health Separate Account* 78.74%
400 West Market Street
P.O. Box 32830
Louisville, KY 40232
</TABLE>
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<PAGE> 32
VA GLOBAL BOND PORTFOLIO
<TABLE>
<S> <C>
(formerly National Home Life) Providian Life and Health Separate Account* 62.04%
400 West Market Street
P.O. Box 32830
Louisville, KY 40232
(formerly National Home Life) Providian Life and Health General Account* 37.96%
400 West Market Street
P.O. Box 32830
Louisville, KY 40232
VA SMALL VALUE PORTFOLIO
(formerly National Home Life) Providian Life and Health General Account* 53.40%
400 West Market Street
P.O. Box 32830
Louisville, KY 40232
(formerly National Home Life) Providian Life and Health Separate Account* 46.60%
400 West Market Street
P.O. Box 32830
Louisville, KY 40232
VA INTERNATIONAL VALUE PORTFOLIO
(formerly National Home Life) Providian Life and Health Separate Account* 75.49%
400 West Market Street
P.O. Box 32830
Louisville, KY 40232
VA INTERNATIONAL SMALL PORTFOLIO
(formerly National Home Life) Providian Life and Health General Account* 50.51%
400 West Market Street
P.O. Box 32830
Louisville, KY 40232
(formerly National Home Life) Providian Life and Health Separate Account* 49.49%
400 West Market Street
P.O. Box 32830
Louisville, KY 40232
</TABLE>
26
<PAGE> 33
VA SHORT-TERM FIXED PORTFOLIO
<TABLE>
<S> <C>
(formerly National Home Life) Providian Life and Health General Account* 67.33%
400 West Market Street
P.O. Box 32830
Louisville, KY 40232
(formerly National Home Life) Providian Life and Health Separate Account* 32.67%
400 West Market Street
P.O. Box 32830
Louisville, KY 40232
</TABLE>
____________________
* Owner of record only.
Shareholder inquiries may be made by writing or calling the Fund at
the address or telephone number appearing on the cover of this prospectus.
27
<PAGE> 34
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<PAGE> 35
[THIS PAGE INTENTIONALLY LEFT BLANK]
<PAGE> 36
DFA INVESTMENT DIMENSIONS GROUP INC.
1299 Ocean Avenue, 11th Floor
Santa Monica, CA 90401
Tel. No. (310) 395-8005
Investment Advisor
DIMENSIONAL FUND ADVISORS INC.
1299 Ocean Avenue, 11th Floor
Santa Monica, CA 90401
Tel. No. (310) 395-8005
Sub-Advisors
DIMENSIONAL FUND ADVISORS LTD.
14 Berkeley Street
London, W1X 5AD
England
Tel. No. (171) 495-2343
DFA AUSTRALIA PTY LIMITED
Suite 4403 Gateway
1 MacQuarie Place
Sydney, New South Wales 2000
Australia
Tel No. (61) 2-247-7822
Custodian - International
BOSTON SAFE DEPOSIT AND TRUST COMPANY
Princess House
1 Suffolk Lane
London EC4R 0AN
England
Custodian - Domestic
PNC BANK, National Association
200 Stevens Drive, Airport Business Center
Lester, PA 19113
Transfer and Dividend Disbursing Agent
PFPC Inc.
400 Bellevue Parkway
Wilmington, DE 19809
Legal Counsel
STRADLEY, RONON, STEVENS & YOUNG, LLP
2600 One Commerce Square
Philadelphia, PA 19103-7098
Independent Accountants
COOPERS & LYBRAND L.L.P.
2400 Eleven Penn Center
Philadelphia, PA 19103
<PAGE> 37
DFA INVESTMENT DIMENSIONS GROUP INC.
1299 OCEAN AVENUE, 11TH FLOOR, SANTA MONICA, CALIFORNIA 90401
TELEPHONE: (310) 395-8005
STATEMENT OF ADDITIONAL INFORMATION
March 29, 1996
DFA Investment Dimensions Group Inc. (the "Fund") offers
twenty-eight series of shares. This statement of additional information
describes six of those series: VA SMALL VALUE PORTFOLIO, VA LARGE VALUE
PORTFOLIO, VA INTERNATIONAL VALUE PORTFOLIO, VA INTERNATIONAL SMALL
PORTFOLIO, VA SHORT-TERM FIXED PORTFOLIO and VA GLOBAL BOND PORTFOLIO
(individually, a "Portfolio" and collectively, the "Portfolios"). The
shares of the Portfolios are sold only to separate accounts of insurance
companies in conjunction with variable life and variable annuity contracts.
This statement of additional information is not a prospectus but should be
read in conjunction with the Portfolios' prospectus dated March 29, 1996,
which can be obtained from the Fund by writing to the Fund at the above
address or by calling the above telephone number.
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
<S> <C>
PORTFOLIO CHARACTERISTICS AND POLICIES. . . . . . . . . . . . . . . . . . . 1
BROKERAGE TRANSACTIONS . . . . . . . . . . . . . . . . . . . . . . . . 2
INVESTMENT LIMITATIONS. . . . . . . . . . . . . . . . . . . . . . . . . 3
FUTURES CONTRACTS. . . . . . . . . . . . . . . . . . . . . . . . . 5
FEDERAL TAX TREATMENT OF FUTURES CONTRACTS . . . . . . . . . . . . . . . . 6
DIRECTORS AND OFFICERS . . . . . . . . . . . . . . . . . . . . . . . . 6
ADMINISTRATIVE SERVICES . . . . . . . . . . . . . . . . . . . . . . . . 9
OTHER INFORMATION. . . . . . . . . . . . . . . . . . . . . . . . . 9
PRINCIPAL HOLDERS OF SECURITIES. . . . . . . . . . . . . . . . . . . . . . 10
PURCHASE AND REDEMPTION OF SHARES. . . . . . . . . . . . . . . . . . . . . 12
CALCULATION OF PERFORMANCE DATA. . . . . . . . . . . . . . . . . . . . . . 13
FINANCIAL STATEMENTS . . . . . . . . . . . . . . . . . . . . . . . . 14
</TABLE>
<PAGE> 38
PORTFOLIO CHARACTERISTICS AND POLICIES
The following information supplements the information set forth in
the prospectus under the captions "DOMESTIC EQUITY PORTFOLIOS," "VA
INTERNATIONAL VALUE PORTFOLIO," "VA INTERNATIONAL SMALL PORTFOLIO," and
"FIXED INCOME PORTFOLIOS - INVESTMENT OBJECTIVES AND POLICIES." The
following information applies to all of the Portfolios.
Because the structure of the Domestic Equity and International
Equity Portfolios is based on the relative market capitalizations of
eligible holdings, it is possible that the Portfolios might include at
least 5% of the outstanding voting securities of one or more issuers. In
such circumstances, the Fund and the issuer would be deemed "affiliated
persons" under the Investment Company Act of 1940 (the "1940 Act") and
certain requirements of the Act regulating dealings between affiliates
might become applicable. However, based on the present capitalizations of
the groups of companies eligible for inclusion in the Portfolios and the
anticipated amount of a Portfolio's assets intended to be invested in such
securities, management does not anticipate that a Portfolio will include as
much as 5% of the voting securities of any issuer.
VA International Small Portfolio may invest up to 5% of its assets
in convertible debentures issued by non-U.S. companies. Convertible
debentures include corporate bonds and notes that may be converted into or
exchanged for common stock. These securities are generally convertible
either at a stated price or a stated rate (that is, for a specific number
of shares of common stock or other security). As with other fixed income
securities, the price of a convertible debenture to some extent varies
inversely with interest rates. While providing a fixed-income stream
(generally higher in yield than the income derived from a common stock but
lower than that afforded by a non-convertible debenture), a convertible
debenture also affords the investor an opportunity, through its conversion
feature, to participate in the capital appreciation of the common stock
into which it is convertible. As the market price of the underlying common
stock declines, convertible debentures tend to trade increasingly on a
yield basis and so may not experience market value declines to the same
extent as the underlying common stock. When the market price of the
underlying common stock increases, the price of a convertible debenture
tends to rise as a reflection of the value of the underlying common stock.
To obtain such a higher yield, the Portfolio may be required to pay for a
convertible debenture an amount in excess of the value of the underlying
common stock. Common stock acquired by the Portfolio upon conversion of a
convertible debenture will generally be held for so long as the Advisor
anticipates such stock will provide the Portfolio with opportunities which
are consistent with the Portfolio's investment objective and policies.
The annual portfolio turnover rates of VA Small Value and VA Large
Value Portfolios are expected to be 15% and 20%, respectively. The annual
portfolio turnover rate of the VA International Value Portfolio is not
expected to exceed 20%. Because the relative market capitalizations of
small companies compared with larger companies generally do not change
substantially over short periods of time, the portfolio turnover rate of VA
International Small Portfolio ordinarily is anticipated to be low and is
not expected to exceed 25% per year. Generally, securities will be
purchased with the expectation that they will be held for longer than one
year. Generally, securities will be held until such time as, in the
Advisor's judgment, they are no longer considered an appropriate holding in
light of the policy of maintaining portfolios of companies with small
market capitalization.
1
<PAGE> 39
BROKERAGE TRANSACTIONS
The following table depicts brokerage commissions paid by the Portfolios
during the fiscal year ended November 30, 1995.
<TABLE>
<CAPTION>
BROKERAGE COMMISSIONS
FISCAL YEAR ENDED NOVEMBER 30, 1995
-----------------------------------
<S> <C>
VA Small Value $30,469
VA Large Value $ 7,331
VA International Value $ 8,171
VA International Small $53,043
VA Short-Term Fixed $ 0
VA Global Bond $ 0
</TABLE>
The Fixed Income Portfolios acquire and sell securities on a net basis with
dealers which are major market markers in such securities. The Investment
Committee of the Advisor selects dealers on the basis of their size, market
making and credit analysis ability. When executing portfolio transactions, the
Advisor seeks to obtain the most favorable price for the securities being
traded among the dealers with whom the Fixed Income Portfolios effect
transactions.
Portfolio transactions will be placed with a view to receiving the best
price and execution. The Portfolios will seek to acquire and dispose of
securities in a manner which would cause as little fluctuation in the market
prices of stocks being purchased or sold as possible in light of the size of
the transactions being effected, and brokers will be selected with this goal in
view. The Advisor monitors the performance of brokers which effect
transactions for the Portfolios to determine the effect that their trading has
on the market prices of the securities in which they invest. The Advisor also
checks the rate of commission being paid by the Portfolios to their brokers to
ascertain that they are competitive with those charged by other brokers for
similar services. Transactions also may be placed with brokers who provide the
Advisor with investment research, such as reports concerning individual
issuers, industries and general economic and financial trends and other
research services. Brokerage transactions may be placed with securities firms
that are affiliated with an affiliate of the Advisor. Commission paid on such
transactions would be commensurate with the rate of commissions paid on similar
transactions to brokers that are not so affiliated.
The over-the-counter market ("OTC") companies eligible for purchase by VA
Small Value Portfolio are thinly traded securities. Therefore, the Advisor
believes it needs maximum flexibility to effect OTC trades on a best execution
basis. To that end, the Advisor places buy and sell orders with market makers,
third market brokers, Instinet and with brokers on an agency basis when the
Advisor determines that the securities may not be available from other sources
at a more favorable price. Third market brokers enable the Advisor to trade
with other institutional holders directly on a net basis. This allows the
Advisor to sometimes trade larger blocks than would be possible by going
through a single market maker.
Instinet is an electronic information and communication network whose
subscribers include most market makers as well as many institutions. Instinet
charges a commission for each trade executed on its system. On any given
trade, the Domestic Equity Portfolios, by trading through Instinet, would pay a
spread to a dealer on the other side of the trade plus a commission to
Instinet. However, placing a buy (or sell) order on Instinet communicates to
many (potentially all) market makers and institutions at once. This can create
a more complete picture of the market and thus increase the likelihood that the
Portfolios can effect transactions at the best available prices.
2
<PAGE> 40
During the fiscal year ended November 30, 1995, the Portfolios
paid commissions for securities transactions to brokers which provided
market price monitoring services, market studies and research services to
the Portfolios as set forth in the following table:
<TABLE>
<CAPTION>
Value of Brokerage
Securities Transactions Commissions
----------------------- -----------
<S> <C> <C>
VA Small Value $3,365,563 $ 17,502
VA Large Value $2,990,187 $ 4,259
VA International Value $ 0 $ 0
VA International Small $ 0 $ 0
VA Short-Term Fixed $ 0 $ 0
VA Global Bond $ 0 $ 0
</TABLE>
The investment advisory agreements permit the Advisor knowingly to
pay commissions on securities transactions which are greater than another
broker might charge if the Advisor, in good faith, determines that the
commissions paid are reasonable in relation to the research or brokerage
services provided by the broker or dealer when viewed in terms of either a
particular transaction or the Advisor's overall responsibilities to the
Fund. Research services furnished by brokers through whom securities
transactions are effected may be used by the Advisor in servicing all of
its accounts and not all such services may be used by the Advisor with
respect to the Fund.
Brokerage commissions for transactions in securities listed on the
Tokyo Stock Exchange ("TSE") and other Japanese securities exchanges are
fixed. Under the current regulations of the TSE and the Japanese Ministry
of Finance, member and non-member firms of Japanese exchanges are required
to charge full commissions to all customers other than banks and certain
financial institutions, but members and licensed non-member firms may
confirm transactions to banks and financial institution affiliates located
outside Japan with institutional discounts on brokerage commissions. The
International Equity Portfolios expect to be able to avail themselves of
institutional discounts. The Portfolios' ability to effect transactions at
a discount from fixed commission rates depends on a number of factors,
including the size of the transaction, the relation between the cost to the
member or the licensed non-member firm of effecting such transaction and
the commission receivable, and the law, regulation and practice discussed
above. There can be no assurance that the Portfolios will be able to
realize the benefit of discounts from fixed commissions.
INVESTMENT LIMITATIONS
Each of the Portfolios has adopted certain limitations which may
not be changed with respect to any Portfolio without the approval of a
majority of the outstanding voting securities of the Portfolio. A
"majority" is defined as the lesser of: (1) at least 67% of the voting
securities of the Portfolio (to be affected by the proposed change) present
at a meeting if the holders of more than 50% of the outstanding voting
securities of the Portfolio are present or represented by proxy, or (2)
more than 50% of the outstanding voting securities of such Portfolio.
The Portfolios will not:
(1) invest in commodities or real estate, including limited partnership
interests therein, although they may purchase and sell securities of
companies which deal in real estate and securities which are secured by
interests in real estate, and all Portfolios, may purchase or sell
financial futures contracts and options thereon;
3
<PAGE> 41
(2) make loans of cash, except through the acquisition of repurchase agreements
and obligations customarily purchased by institutional investors;
(3) as to 75% of the total assets of a Portfolio, invest in the securities of
any issuer (except obligations of the U.S. Government and its
instrumentalities) if, as a result, more than 5% of the Portfolio's total
assets, at market, would be invested in the securities of such issuer; provided
that the VA Global Bond Portfolio is not subject to this limitation;
(4) purchase or retain securities of an issuer if those officers and directors
of the Fund or the Advisor owning more than 1/2 of 1% of such securities
together own more than 5% of such securities;
(5) borrow, except that each Portfolio may borrow, for temporary or emergency
purposes, amounts not exceeding 33% of their net assets from banks and pledge
not more than 33% of such assets to secure such loans;
(6) pledge, mortgage, or hypothecate any of its assets to an extent greater
than 10% of its total assets at fair market value, except as described in (5)
above;
(7) invest more than 15% of the value of the Portfolio's total assets in
illiquid securities which include certain restricted securities, repurchase
agreements with maturities of greater than seven days, and other illiquid
investments;
(8) engage in the business of underwriting securities issued by others;
(9) invest for the purpose of exercising control over management of any
company;
(10) invest its assets in securities of any investment company, except in
connection with a merger, acquisition of assets, consolidation or
reorganization;
(11) acquire any securities of companies within one industry if, as a result of
such acquisition, more than 25% of the value of the Portfolio's total assets
would be invested in securities of companies within such industry; except VA
Short-Term Fixed Portfolio shall invest more than 25% of its total assets in
obligations of banks and bank holding companies in the circumstances described
in the prospectus under "Investments in the Banking Industry" and as otherwise
described under "Portfolio Strategy";
(12) write or acquire options (except as described in (1) above) or interests
in oil, gas or other mineral exploration, leases or development programs;
(13) purchase warrants, however, the Portfolios may acquire warrants as a
result of corporate actions involving holdings of other securities;
(14) purchase securities on margin or sell short; or
(15) acquire more than 10% of the voting securities of any issuer and provided
that this limitation applies only to 75% of the assets of the Domestic Equity
Portfolios and VA International Value Portfolio.
The investment limitation described in (1) above, does not prohibit the
Portfolios from making margin deposits in connection with the purchase or sale
of financial futures contracts and options thereon to the extent permitted
under applicable regulations.
Although (2) above prohibits cash loans, the Portfolios are authorized to
lend portfolio securities.
4
<PAGE> 42
For the purposes of (7) above, VA Short-Term Fixed Portfolio may
invest in commercial paper that is exempt from the registration
requirements of the Securities Act of 1933 (the "1933 Act") subject to the
requirements regarding credit ratings stated in the prospectus under
"Description of Investments." Further, pursuant to Rule 144A under the
1933 Act, the Portfolios may purchase certain unregistered (i.e.,
restricted) securities upon a determination that a liquid institutional
market exists for the securities. If it is decided that a liquid market
does exist, the securities will not be subject to the 15% limitation on
holdings of illiquid securities stated in (7) above. While maintaining
oversight, the Board of Directors has delegated the day-to-day function of
making liquidity determinations to the Advisor. For 144A securities to be
considered liquid, there must be at least two dealers making a market in
such securities. After purchase, the Board of Directors and the Advisor
will continue to monitor the liquidity of Rule 144A securities.
For the purposes of (11) above, utility companies will be divided
according to their services; e.g., gas, gas transmission, electric and gas,
electric, water and telephone will each be considered a separate industry.
The International Equity Portfolios and VA Global Bond Portfolio
may acquire and sell forward foreign currency exchange contracts in order
to hedge against changes in the level of future currency rates. Such
contracts involve an obligation to purchase or sell a specific currency at
a future date at a price set in the contract. While each Domestic Equity
Portfolio and VA International Value Portfolio have retained authority to
buy and sell financial futures contracts and options thereon, they have no
present intention to do so.
Unless otherwise indicated, all limitations applicable to the
Portfolios' investments apply only at the time that a transaction is
undertaken. Any subsequent change in a rating assigned by any rating
service to a security or change in the percentage of a Portfolio's assets
invested in certain securities or other instruments resulting from market
fluctuations or other changes in a Portfolio's total assets will not
require a Portfolio to dispose of an investment until the Advisor
determines that it is practicable to sell or close out the investment
without undue market or tax consequences. In the event that ratings
services assign different ratings to the same security, the Advisor will
determine which rating it believes best reflects the security's quality and
risk at that time, which may be the higher of the several assigned ratings.
FUTURES CONTRACTS
All Portfolios may enter into futures contracts and options on
futures contracts for the purpose of remaining fully invested and to
maintain liquidity to pay redemptions. Futures contracts provide for the
future sale by one party and purchase by another party of a specified
amount of defined securities at a specified future time and at a specified
price. Futures contracts which are standardized as to maturity date and
underlying financial instrument are traded on national futures exchanges.
The Portfolios will be required to make a margin deposit in cash or
government securities with a broker or custodian to initiate and maintain
positions in futures contracts. Minimal initial margin requirements are
established by the futures exchange, and brokers may establish margin
requirements which are higher than the exchange requirements. After a
futures contract position is opened, the value of the contract is marked to
market daily. If the futures contract price changes to the extent that the
margin on deposit does not satisfy margin requirements, payment of
additional "variation" margin will be required. Conversely, reduction in
the contract value may reduce the required margin resulting in a repayment
of excess margin to the Portfolio. Variation margin payments are made to
and from the futures broker for as long as the contract remains open. The
Portfolios expect to earn income on their margin deposits. Pursuant to
current regulations, a Portfolio will not enter into futures contract
transactions if, immediately thereafter, its margin deposits on open
contracts exceed 5% of the market value of its total assets. In addition,
to the extent that a Portfolio invests in futures contracts and options
thereon for other than bona fide hedging purposes, the Portfolio will not
enter into such transaction if, immediately thereafter, the sum of the
amount of
5
<PAGE> 43
initial margin deposits and premiums paid for open futures options would exceed
5% of the Portfolio's total assets, after taking into account unrealized
profits and unrealized losses on such contracts it has entered into; provided,
however, that in the case of an option that is in-the-money at the time of
purchase, the in-the-money amount may be excluded in calculating the 5%.
Pursuant to published positions of the SEC, the Portfolios may be required to
maintain segregated accounts consisting of liquid assets such as cash, U.S.
government securities, or other high grade debt obligations (or, as permitted
under applicable regulation, enter into offsetting positions) in connection
with its futures contract transactions in order to cover its obligations with
respect to such contracts.
Positions in futures contracts may be closed out only on an exchange which
provides a secondary market. However, there can be no assurance that a liquid
secondary market will exist for any particular futures contract at any specific
time. Therefore, it might not be possible to close a futures position and, in
the event of adverse price movements, the Portfolio would continue to be
required to continue to make variation margin deposits. In such circumstances,
if the Portfolio has insufficient cash, it might have to sell portfolio
securities to meet daily margin requirements at a time when it might be
disadvantageous to do so. Management intends to minimize the possibility that
it will be unable to close out a futures contract by only entering into futures
which are traded on national futures exchanges and for which there appears to
be a liquid secondary market.
FEDERAL TAX TREATMENT OF FUTURES CONTRACTS
Except for transactions a Portfolio has identified as hedging transactions,
the Portfolio is required for federal income tax purposes to recognize as
income for each taxable year its net unrealized gains and losses on certain
futures contracts as of the end of the year as well as those actually realized
during the year. In most cases, any gain or loss recognized with respect to a
futures contract is considered to be 60% long-term gain or loss and 40%
short-term capital gain or loss, without regard to the holding period of the
contract. Furthermore, sales of futures contracts which are intended to hedge
against a change in the value of securities held by the Portfolio may affect
the holding period of such securities and, consequently, the nature of the gain
or loss on such securities upon disposition.
In order for a Portfolio to continue to qualify for federal income tax
treatment as a regulated investment company, at least 90% of its gross income
for a taxable year must be derived from qualifying income; i.e., dividends,
interest, income derived from loans of securities, gains from the sale of
securities and other income derived with respect to the Portfolio's business of
investing in securities. In addition, gains realized on the sale or other
disposition of securities held for less than three months must be limited to
less than 30% of the Portfolio's annual gross income. It is anticipated that
any net gain realized from closing futures contracts will be considered gain
from the sale of securities and, therefore, constitute qualifying income for
purposes of the 90% requirement. In order to avoid realizing excessive gains
on securities held less than three months, the Portfolio may be required to
defer the closing out of futures contracts beyond the time when it would
otherwise be advantageous to do so. It is anticipated that unrealized gains on
futures contracts which have been open for less than three months as of the end
of the Portfolio's fiscal year and which are recognized for tax purposes, will
not be considered gains on sales of securities held less than three months for
the purpose of the 30% test. The Portfolios will distribute to shareholders
annually any net capital gains which have been recognized for federal income
tax purposes (including unrealized gains at the end of each Portfolio's fiscal
year) on futures transactions. Such distributions will be combined with
distributions of capital gains realized on each Portfolio's other investments.
DIRECTORS AND OFFICERS
The names, addresses and ages of the directors and officers of the Fund and
a brief statement of their present positions and principal occupations during
the past five years is set forth below.
6
<PAGE> 44
DIRECTORS
David G. Booth, Director*, 49, President and Chairman-Chief
Executive Officer, Santa Monica, CA. President, Chairman-Chief Executive
Officer and Director, of the following companies: Dimensional Fund
Advisors Inc., DFA Securities Inc., Dimensional Fund Advisors Asia Inc.,
DFA Investment Dimensions Group Inc. (registered investment company) and
Dimensional Emerging Markets Fund Inc. (registered investment company).
Trustee, President and Chairman-Chief Executive Officer of The DFA
Investment Trust Company. Chairman and Director, Dimensional Fund Advisors
Ltd.
George M. Constantinides, 48, Director, Chicago, IL. Leo Melamed
Professor of Finance, Graduate School of Business, University of Chicago.
Trustee, The DFA Investment Trust Company. Director, DFA Investment
Dimensions Group Inc. and Dimensional Emerging Markets Fund Inc.
John P. Gould, 57, Director, Chicago, IL. Steven G. Rothmeier
Distinguished Service Professor of Economics, Graduate School of Business,
University of Chicago. Trustee, The DFA Investment Trust Company and First
Prairie Funds (registered investment companies). Director, DFA Investment
Dimensions Group Inc., Dimensional Emerging Markets Fund Inc. and Harbor
Investment Advisors. Executive Vice President, Lexecon Inc. (economics,
law, strategy and finance consulting).
Roger G. Ibbotson, 52, Director, New Haven, CT. Professor in
Practice of Finance, Yale School of Management. Trustee, The DFA
Investment Trust Company. Director, DFA Investment Dimensions Group Inc.,
Dimensional Emerging Markets Fund Inc., Hospital Fund, Inc. (investment
management services) and BIRR Portfolio Analysis, Inc. (software products).
Chairman and President, Ibbotson Associates, Inc. (software, data,
publishing and consulting).
Merton H. Miller, 72, Director, Chicago, IL. Robert R. McCormick
Distinguished Service Professor, Graduate School of Business, University of
Chicago. Trustee, The DFA Investment Trust Company. Director, DFA
Investment Dimensions Group Inc., Dimensional Emerging Markets Fund Inc.
and Public Director, Chicago Mercantile Exchange.
Myron S. Scholes, 54, Director, Greenwich, CT. Limited Partner,
Long-Term Capital Management L.P. (money manager). Frank E. Buck Professor
of Finance, Graduate School of Business and Professor of Law, Law School,
Senior Research Fellow, Hoover Institution, (all) Stanford University (on
leave). Trustee, The DFA Investment Trust Company. Director, DFA
Investment Dimensions Group Inc., Dimensional Emerging Markets Fund Inc.,
Benham Capital Management Group of Investment Companies and Smith Breedon
Group of Investment Companies.
Rex A. Sinquefield, 51, Director*, Chairman-Chief Investment
Officer, Santa Monica, CA. Chairman-Chief Investment Officer and Director,
Dimensional Fund Advisors Inc., DFA Securities Inc., DFA Australia Pty
Limited, DFA Investment Dimensions Group Inc. and Dimensional Emerging
Markets Fund Inc. Trustee, Chairman-Chief Investment Officer of The DFA
Investment Trust Company. Chairman, Chief Executive Officer and Director,
Dimensional Fund Advisors Ltd.
*Interested Director of the Fund.
7
<PAGE> 45
OFFICERS
Each of the officers listed below hold the same office in the following
entities: Dimensional Fund Advisors Inc., DFA Securities Inc., DFA Australia
Pty Limited, DFA Investment Dimensions Group Inc., The DFA Investment Trust
Company, Dimensional Fund Advisors Ltd., and Dimensional Emerging Markets Fund
Inc.
Arthur Barlow, 40, Vice President, Santa Monica, CA.
Truman Clark, 54, Vice President, Santa Monica, CA. Consultant until
October 1995 and Principal and Manager of Product Development, Wells Fargo
Nikko Investment Advisors, San Francisco, CA from 1990-1994.
Maureen Connors, 59, Vice President, Santa Monica, CA.
Robert Deere, 38, Vice President, Santa Monica, CA.
Irene R. Diamant, 45, Vice President and Secretary, Santa Monica, CA.
Eugene Fama, Jr., 35, Vice President, Santa Monica, CA.
David Plecha, 34, Vice President, Santa Monica, CA.
George Sands, 40, Vice President, Santa Monica, CA. Managing Director,
Asset Strategy Consulting, Los Angeles, CA from 1991 to 1992 and previously
Vice President, Wilshire Associates, Santa Monica, CA.
Michael T. Scardina, 40, Vice President, Chief Financial Officer,
Controller and Treasurer, Santa Monica, CA.
Cem Severoglu, 32, Vice President, Santa Monica, CA.
Jeanne C. Sinquefield, Ph.D., 49, Executive Vice President, Santa Monica,
CA.
Rex A. Sinquefield and Jeanne C. Sinquefield are husband and wife.
Set forth below is a table listing, for each director entitled to receive
compensation, the compensation received from the Fund during the fiscal year
ended November 30, 1995, and the total compensation received from all four
registered investment companies for which the Advisor serves as investment
advisor during that same fiscal year.
<TABLE>
<CAPTION>
Aggregate Total Compensation from
Compensation Fund
Director from Fund and Fund Complex
- -------- ------------------------- --------------------------
<S> <C> <C>
</TABLE>
8
<PAGE> 46
<TABLE>
<S> <C> <C>
George M. Constantinides $15,000 $30,000
John P. Gould $15,000 $30,000
Roger G. Ibbotson $15,000 $30,000
Merton H. Miller $12,000 $24,000
Myron S. Scholes $15,000 $30,000
</TABLE>
9
<PAGE> 47
ADMINISTRATIVE SERVICES
PFPC Inc. ("PFPC") serves as the accounting services, dividend disbursing
and transfer agent for each Portfolio. The services provided by PFPC are
subject to supervision by the executive officers and the Board of Directors of
the Fund, and include day-to-day keeping and maintenance of certain records,
calculation of the offering price of the shares, preparation of reports,
liaison with its custodians, and transfer and dividend disbursing agency
services. For its services, each Portfolio pays PFPC fees at the annual rates
set forth in the following table:
DOMESTIC EQUITY PORTFOLIOS
.1025% of the first $300 million of net assets
.0769% of the next $300 million of net assets
.0513% of the next $250 million of net assets
.0205% of the net assets over $850 million
INTERNATIONAL EQUITY PORTFOLIOS
.1230% of the first $300 million of net assets
.0615% of the next $300 million of net assets
.0410% of the next $250 million of net assets
.0205% of net assets over $850 million
VA SHORT-TERM FIXED PORTFOLIO
.0513% of the first $100 million of net assets
.0308% of the next $100 million of net assets
.0205% of the next $200 million of net assets
VA GLOBAL BOND PORTFOLIO
.1230% of the first $150 million of net assets
.0820% of net assets between $150 million and $300 million
.0615% of net assets between $300 million and $600 million
.0410% of net assets between $600 million and $850 million
.0205% of net assets over $850 million
PFPC also charges minimum fees at the rates of $54,000 per year for VA Large
Value and the Fixed Income Portfolios and $75,000 per year for VA Small Value
and the International Equity Portfolios. The minimums are phased in on a pro
rata basis during each Portfolio's first 12-14 months of operation.
OTHER INFORMATION
For the services it provides as investment advisor to each Portfolio, the
Advisor is paid a monthly fee calculated as a percentage of average net assets
of the Portfolio. For the fiscal periods ended November 30, 1995, the
Portfolios paid advisory fees as set forth in the following table:
<TABLE>
<CAPTION>
1995
(000)
----------
<S> <C>
VA Small Value $ 4
VA Large Value $ 18
VA International Value $ 3
VA International Small $ 4
VA Short-Term Fixed $ 2
VA Global Bond $ 7
</TABLE>
10
<PAGE> 48
Because of current federal securities law requirements, the Fund
expects that its life insurance company shareholders will offer their
contract owners the opportunity to instruct them as to how Portfolio shares
allocable to their variable contracts will be voted with respect to certain
matters, such as approval of investment advisory agreements. Generally, an
insurance company will vote all Portfolio shares held in a separate account
in the same proportion as it receives instructions from contract owners in
that separate account. Under certain circumstances described in the
insurance company separate account prospectus, the insurance company may
not vote in accordance with the contract owner's instructions.
With respect to matters which require shareholder approval,
shareholders are entitled to vote only with respect to matters which affect
the interest of the class of shares (Portfolio) which they hold, except as
otherwise required by applicable law. If liquidation of the Fund should
occur, shareholders would be entitled to receive on a per class basis the
assets of the particular Portfolio whose shares they own, as well as a
proportionate share of Fund assets not attributable to any particular
class. Ordinarily, the Fund does not intend to hold annual meetings of
shareholders, except as required by the 1940 Act or other applicable law.
The Fund's by-laws provide that special meetings of shareholders shall be
called at the written request of at least 10% of the votes entitled to be
cast at such meeting. Such meeting may be called to consider any matter,
including the removal of one or more directors. Shareholders will receive
shareholder communications with respect to such matters as required by the
1940 Act, including semi-annual and annual financial statements of the
Fund, the latter being audited at least once each year.
Boston Safe Deposit and Trust Company serves as the custodian for
the International Equity Portfolios and VA Global Bond Portfolio. PNC
Bank, National Association serves as custodian for the Domestic Equity
Portfolios and VA Short-Term Fixed Portfolio. The custodians maintain a
separate account or accounts for the Portfolios; receive, hold and release
portfolio securities on account of the Portfolios; make receipts and
disbursements of money on behalf of the Portfolios; and collect and receive
income and other payments and distributions on account of the Portfolios'
portfolio securities.
Coopers & Lybrand L.L.P., the Fund's independent accountants,
audits the Fund's financial statements.
PRINCIPAL HOLDERS OF SECURITIES
As of February 29, 1996, the following stockholders owned at least
5% of the outstanding stock of the Portfolios, as set forth below.
VA LARGE VALUE PORTFOLIO
<TABLE>
<S> <C>
(formerly National Home Life) Providian Life and Health Separate Account* 78.74%
400 West Market Street
P.O. Box 32830
Louisville, KY 40232
(formerly National Home Life) Providian Life and Health General Account* 21.26%
400 West Market Street
P.O. Box 32830
Louisville, KY 40232
</TABLE>
11
<PAGE> 49
VA GLOBAL BOND PORTFOLIO
<TABLE>
<S> <C>
(formerly National Home Life) Providian Life and Health Separate Account* 62.04%
400 West Market Street
P.O. Box 32830
Louisville, KY 40232
(formerly National Home Life) Providian Life and Health General Account* 37.96%
400 West Market Street
P.O. Box 32830
Louisville, KY 40232
VA SMALL VALUE PORTFOLIO
(formerly National Home Life) Providian Life and Health General Account* 53.40%
400 West Market Street
P.O. Box 32830
Louisville, KY 40232
(formerly National Home Life) Providian Life and Health Separate Account* 46.60%
400 West Market Street
P.O. Box 32830
Louisville, KY 40232
VA INTERNATIONAL VALUE PORTFOLIO
(formerly National Home Life) Providian Life and Health Separate Account* 75.49%
400 West Market Street
P.O. Box 32830
Louisville, KY 40232
(formerly National Home Life) Providian Life and Health General Account* 24.51%
400 West Market Street
P.O. Box 32830
Louisville, KY 40232
VA INTERNATIONAL SMALL PORTFOLIO
(formerly National Home Life) Providian Life and Health General Account* 50.51%
400 West Market Street
P.O. Box 32830
Louisville, KY 40232
(formerly National Home Life) Providian Life and Health Separate Account* 49.49%
400 West Market Street
P.O. Box 32830
Louisville, KY 40232
</TABLE>
12
<PAGE> 50
<TABLE>
<S> <C>
VA SHORT-TERM FIXED PORTFOLIO
(formerly National Home Life) Providian Life and Health General Account* 67.33%
400 West Market Street
P.O. Box 32830
Louisville, KY 40232
(formerly National Home Life) Providian Life and Health Separate Account* 32.67%
400 West Market Street
P.O. Box 32830
Louisville, KY 40232
</TABLE>
---------------------------
*Owner of record only.
PURCHASE AND REDEMPTION OF SHARES
The following information supplements the information set forth in
the prospectus under the caption "PURCHASE AND REDEMPTION OF SHARES."
The Fund will accept purchase and redemption orders on each day
that the New York Stock Exchange ("NYSE") is open for business, regardless
of whether the Federal Reserve System is closed. However, no purchases by
wire may be made on any day that the Federal Reserve System is closed. The
Fund will generally be closed on days that the NYSE is closed. The New
York Stock Exchange is scheduled to be open Monday through Friday
throughout the year except for days closed to recognize New Year's Day,
Presidents' Day, Good Friday, Memorial Day, Independence Day, Labor Day,
Thanksgiving and Christmas Day. The Federal Reserve System is closed on
the same days as the NYSE, except that is open on Good Friday and closed on
Martin Luther King, Jr. Day, Columbus Day and Veterans' Day. Orders for
redemptions and purchases will not be processed if the Fund is closed.
Management believes that any dilutive effect of the cost of
investing the proceeds of the sale of the shares of the Portfolios is
minimal and, therefore, the shares of the Portfolios are currently sold at
net asset value, without imposition of a reimbursement fee. Reimbursement
fees may be charged prospectively from time to time based upon the future
experience of the Portfolios. Any such charges will be described in the
prospectus.
The Fund reserves the right, in its sole discretion, to suspend
the offering of shares of any or all Portfolios or reject purchase orders
when, in the judgment of management, such suspension or rejection is in the
best interest of the Fund or a Portfolio.
The Fund may suspend redemption privileges or postpone the date of
payment: (1) during any period when the NYSE is closed, or trading on the
NYSE is restricted as determined by the Securities and Exchange Commission
(the "Commission"), (2) during any period when an emergency exists as
defined by the rules of the Commission as a result of which it is not
reasonably practicable for the Fund to dispose of securities owned by it,
or fairly to determine the value of its assets and (3) for such other
periods as the Commission may permit.
If the Board of Directors determines that it would be detrimental
to the best interests of the remaining shareholders of any Portfolio to
make payment wholly or partly in cash, any Portfolio may pay the redemption
price in whole or in part by a distribution of portfolio securities from
the Portfolio of the shares being redeemed in lieu of cash. Any such
redemption by a Portfolio would be in accordance with Rule 18f-1 under the
1940 Act. Investors may incur brokerage charges and other transaction
costs selling securities that were received in payment of redemptions. The
International Equity Portfolios and the VA Global Bond Portfolio reserve
the right to redeem their shares in the currencies in which their
13
<PAGE> 51
investments are denominated. Investors may incur charges in converting such
securities to dollars and the value of the securities may be affected by
currency exchange fluctuations.
CALCULATION OF PERFORMANCE DATA
Following are quotations of the Portfolios' annualized percentage total
returns from the Portfolios' date of initial investment, as indicated below,
through November 30, 1995, using the standardized method of calculation
required by the Commission:
<TABLE>
<S> <C>
VA Small Value Portfolio -16.91%*
VA Large Value Portfolio 22.46%**
VA International Value Portfolio 1.83%*
VA International Small Portfolio -16.17%*
VA Short-Term Fixed Portfolio 4.97%*
VA Global Bond Portfolio 14.37%***
</TABLE>
- -------------------------
* For the period from October 3, 1995 (date of initial investment) to
November 30, 1995.
** For the period from January 13, 1995 (date of initial investment) to
November 30, 1995. Until October 1995, VA Large Value Portfolio invested
approximately 50% of its total assets in the stocks of large non-U.S.
companies and approximately 50% of its total assets in the stocks of U.S.
companies. The total return information for VA Large Value Portfolio
reflects the performance of the Portfolio when it invested in the stocks of
both U.S. and non-U.S. companies. The total return of the Portfolio for
the period ended November 30, 1995 should not be considered indicative of
its future performance.
*** For the period January 13, 1995 (date of initial investment) to November
30, 1995.
Each Portfolio determines its average annual total return by finding the
average annual compounded rates of return over the stated time period that
would equate a hypothetical initial purchase order of $1,000 to its redeemable
value (including capital appreciation/depreciation and dividends and
distributions paid and reinvested less any fees charged to a shareholder
account) at the end of the stated time period. The calculation assumes that
all dividends and distributions are reinvested at the public offering price on
the reinvestment dates during the period. The quotation assumes the account
was completely redeemed at the end of each period and the deduction of all
applicable charges and fees. According to the Commission's formula:
P(1 + T)n = ERV
Where:
P = a hypothetical initial payment of $1,000
T = average annual total return
n = number of years
14
<PAGE> 52
ERV = ending redeemable value of a hypothetical $1,000 payment
made at the beginning of the one-, five-, and ten-year periods at the end
of the one-, five-, and ten-year periods (or fractional portion thereof).
The Portfolios may compare their investment performance to
appropriate market and mutual fund indices.
FINANCIAL STATEMENTS
The audited financial statements and financial highlights of the
Portfolios for the fiscal year ended November 30, 1995, as set forth in the
Fund's Annual Report to stockholders relating to the Portfolios, and the
report thereon of Coopers & Lybrand L.L.P., independent accountants, also
appearing therein, are incorporated herein by reference.
An investor may obtain a copy of the Annual Report, upon request
and without charge, by contacting the Fund at the address or telephone
number appearing on the cover of the Statement of Additional Information.
15
<PAGE> 53
PART C
OTHER INFORMATION
ITEM 24. FINANCIAL STATEMENTS AND EXHIBITS
(a) FINANCIAL STATEMENTS:
PART A: Financial Highlights for each Series of shares
of Registrant.
PART B:
(1) Statement of Net Assets+
(2) Statement of Operations+
(3) Statement of Changes in Net Assets+
(4) Financial Highlights+
(5) Report of Coopers & Lybrand L.L.P., independent
accountants, dated January 19, 1996+
(6) Notes to Financial Statements+
(b) EXHIBITS:
(1) Articles of Restatement
(a) Form of Articles of Amendment
(b) Form of Articles Supplementary
Each of the above is incorporated herein by reference
to:
Filing: Post Effective Amendment No. 37 to
the Registration Statement of Registrant on Form
N-1A
File Nos.: 2-73948 and 811-3258
Filing Date: November 22, 1995
(c) Articles of Amendment dated December 21, 1995
(d) Articles Supplementary dated December 21, 1995
Each of the above is incorporated herein by
reference to:
Filing: Post-Effective Amendment No. 39 to
the Registration Statement of Registrant on Form
N-1A
File Nos.: 2-73948 and 811-3258
Filing Date: January 30, 1996
(2) By-Laws, as amended, dated December 20, 1995.
Incorporated herein by reference to:
Filing: Post-Effective Amendment No. 39
to the Registration Statement of Registrant
on Form N-1A
File Nos.: 2-73948 and 811-3258
C-1
<PAGE> 54
Filing Date: January 30, 1996
(3) None
(4) See Articles Fifth, Sixth, Eighth and Thirteenth of
the Registrant's Articles of Restatement filed
herewith as Exhibit No. 24(b)(1).
(i) Specimen Security of The Japanese Small Company
Portfolio**
(ii) Specimen Security of The United Kingdom Small
Company Portfolio**
(iii) Specimen Security of The U.S. 9-10 Small
Company Portfolio**
(iv) Specimen Security of The DFA Five-Year
Government Portfolio**
(v) Specimen Security of The Continental Small
Company Portfolio**
(vi) Specimen Security of The U.S. Large Company
Portfolio**
(vii) Specimen Security of The DFA Global Bond
Portfolio**
(viii) Specimen Security of The DFA Intermediate
Government Bond Portfolio**
(ix) Specimen Security of The Pacific Rim Small
Company Portfolio (formerly, The
Asia-Australia Small Company Portfolio)**
(x) Specimen Security of The Large Company
International Portfolio**
(xi) Specimen Security of The U.S. 6-10 Small
Company Portfolio**
(xii) Specimen Security of The DFA Real Estate
Securities Portfolio**
(xiii) Specimen Security of The U.S. Large Cap High
Book to Market Portfolio**
(xiv) Specimen Security of The U.S. Small Cap High
Book to Market Portfolio**
(xv) Specimen Security of the RWB/DFA
International High Book to Market Portfolio
(formerly, DFA International High Book to
Market Portfolio and the Reinhardt Werba
Bowen International Large Stock Portfolio)**
(xvi) Specimen Security of the Emerging Markets
Portfolio**
(xvii) Specimen Security of the DFA Global Value
Portfolio**
(xviii) Specimen Security of the DFA Global Bond
Portfolio**
(xix) Specimen Security of the DFA International
Small Cap Value Portfolio**
(xx) Specimen Security of VA Small Value Portfolio
Incorporated herein by reference to:
C-2
<PAGE> 55
Filing: Post-Effective Amendment No. 33
to the Registration Statement of
Registrant on Form N-1A
File Nos.: 2-73948 and 811-3258
Filing Date: June 19, 1995
(xxi) Specimen Security of VA International Value
Portfolio
Incorporated herein by reference to:
Filing: Post-Effective Amendment No. 33
to the Registration Statement of
Registrant on Form N-1A
File Nos.: 2-73948 and 811-3258
Filing Date: June 19, 1995
(xxii) Specimen Security of VA International Small
Portfolio
Incorporated herein by reference to:
Filing: Post-Effective Amendment No. 33
to the Registration Statement of
Registrant on Form N-1A
File Nos.: 2-73948 and 811-3258
Filing Date: June 19, 1995
(xxiii) Specimen Security of VA Short-Term Fixed
Portfolio
Incorporated herein by reference to:
Filing: Post-Effective Amendment No. 33
to the Registration Statement of
Registrant on Form N-1A
File Nos.: 2-73948 and 811-3258
Filing Date: June 19, 1995
(xxiv) Specimen Security of DFA Two-Year Global
Fixed Income Portfolio
Incorporated herein by reference to:
Filing: Post-Effective Amendment No. 37
to the Registration Statement of
Registrant on Form N-1A
File Nos.: 2-73948 and 811-3258
Filing Date: November 22, 1995
(xxv) Specimen Security of Enhanced U.S. Large
Company Portfolio
Incorporated herein reference to:
Filing: Post-Effective Amendment No. 37
to the Registration Statement of
Registrant on Form N-1A
File Nos.: 2-73948 and 811-3258
Filing Date: November 22, 1995
(xxvi) Specimen Security of DFA Two-Year Corporate
Fixed Income Portfolio
Incorporated herein by reference to:
Filing: Post-Effective Amendment No. 37
to the Registration Statement of
Registrant on Form N-1A
File Nos.: 2-73948 and 811-3258
C-3
<PAGE> 56
Filing Date: November 22, 1995
(xxvii) Specimen Security of DFA Two-Year Government
Portfolio
Incorporated herein by reference to:
Filing: Post-Effective Amendment No. 37
to the Registration Statement of
Registrant on Form N-1A
File Nos.: 2-73948 and 811-3258
Filing Date: November 22, 1995
(5) (i) Investment Advisory Agreement re: The U.S. 9-10
Small Company Portfolio**
(ii) Investment Advisory Agreement re: The Japanese
Small Company Portfolio**
(iii) Sub-Advisory Agreement re: The Japanese Small
Company Portfolio**
(iv) Investment Advisory Agreement re: The United
Kingdom Portfolio**
(v) Investment Advisory Agreement re: The DFA
Five-Year Government Portfolio**
(vi) Investment Advisory Agreement re: The
Continental Small Company Portfolio**
(vii) Form of Investment Advisory Agreement re: The
U.S. Large Company Portfolio**
(viii) Form of Investment Advisory Agreement re: The
DFA Global Bond Portfolio**
(ix) Form of Investment Advisory Agreement re:
The DFA Intermediate Government Bond Portfolio**
(x) Form of Investment Advisory Agreement re: The
Pacific Rim Small Company Portfolio (formerly,
The Asia-Australia Small Company Portfolio)**
(xi) Form of Investment Advisory Agreement re: The
Large Cap International Portfolio**
(xii) Form of Investment Advisory Agreement re: The
U.S. 6-10 Small Company Portfolio**
(xiii) Form of Sub-Advisory Agreement re: The
Continental Small Company Portfolio**
(xiv) Form of Sub-Advisory Agreement re: The United
Kingdom Small Company Portfolio**
(xv) Form of Investment Advisory Agreement re:
The U.S. Large Cap High Book to Market
Portfolio**
(xvi) Form of Investment Advisory Agreement re: The
U.S. Small Cap High Book to Market Portfolio**
(xvii) Form of Investment Advisory Agreement re:
The DFA/AEW Real Estate Securities Portfolio**
(xviii) Form of Sub-Advisory Agreement with Aldrich,
Eastman & Waltch L.P., re: The DFA/AEW Real
Estate Securities Portfolio**
(xix) Form of Investment Advisory Agreement re: the
RWB/DFA International High Book to Market
C-4
<PAGE> 57
Portfolio (formerly, DFA International High
Book to Market Portfolio and the Reinhardt
Werba Bowen International Large Stock
Portfolio)**
(xx) Form of Sub-Advisory Agreement with
Dimensional Fund Advisors Asia Inc. re: The
Japanese Small Company Portfolio**
(xxi) Form of Sub-Advisory Agreement with
Dimensional Fund Advisors Asia Inc. re: The
Pacific Rim Small Company Portfolio**
(xxii) Form of Investment Advisory Agreement re: VA
Large Value Portfolio (formerly DFA Global
Value Portfolio)
Incorporated herein by reference to:
Filing: Post-Effective Amendment No. 33
to the Registration Statement of
Registrant on Form N-1A
File Nos.: 2-73948 and 811-3258
Filing Date: June 19, 1995
(xxiii) Form of Investment Advisory Agreement re: DFA
Global Bond Portfolio**
(xxiv) Form of Investment Advisory Agreement re: DFA
International Small Cap Value Portfolio**
(xxv) Form of Investment Advisory Agreement re: VA
Small Value Portfolio
Incorporated herein by reference to:
Filing: Post-Effective Amendment No. 33
to the Registration Statement of
Registrant on Form N-1A
File Nos.: 2-73948 and 811-3258
Filing Date: June 19, 1995
(xxvi) Form of Investment Advisory Agreement re: VA
International Value Portfolio
Incorporated herein by reference to:
Filing: Post-Effective Amendment No. 33
to the Registration Statement of
Registrant on Form N-1A
File Nos.: 2-73948 and 811-3258
Filing Date: June 19, 1995
(xxvii) Form of Investment Advisory Agreement re: VA
International Small Portfolio Incorporated
herein by reference to:
Filing: Post-Effective Amendment No. 33
to the Registration Statement of
Registrant on Form N-1A
File Nos.: 2-73948 and 811-3258
Filing Date: June 19, 1995
C-5
<PAGE> 58
(xxviii) Form of Investment Advisory Agreement re: VA
Short-Term Fixed Portfolio
Incorporated herein by reference to:
Filing: Post-Effective Amendment No. 33
to the Registration Statement of
Registrant on Form N-1A
File Nos.: 2-73948 and 811-3258
Filing Date: June 19, 1995
(xxix) Sub-Advisory Agreement with DFA Australia Pty
Limited re: VA International Small Portfolio
Incorporated herein by reference to:
Filing: Post-Effective Amendment No. 37
to the Registration Statement of
Registrant on Form N-1A
File Nos.: 2-73948 and 811-3258
Filing Date: November 22, 1995
(xxx) Sub-Advisory Agreement with Dimensional Fund
Advisors Ltd. re: VA International Small
Portfolio Incorporated herein by reference to:
Filing: Post-Effective Amendment No. 37
to the Registration Statement of
Registrant on Form N-1A
File Nos.: 2-73948 and 811-3258
Filing Date: November 22, 1995
(6) Agreement with DFA Securities Inc.**
(7) None.
(8) (i) Custody Agreement between DFA Investment
Dimensions Group Inc. and Boston Safe Deposit
and Trust Company
(a) Amendment to Custody Agreement with
Mellon Trust (i.e, Boston Safe
Deposit and Trust Company) re:
RWB/DFA International High Book to
Market Portfolio (formerly, DFA
International High Book to Market
Portfolio)
(b) Amendment to Custody Agreement with
Mellon Trust (formerly Boston Safe
Deposit and Trust Company) re: DFA
International Small Cap Value
Portfolio
(c) Form of Amendment to Custody
Agreement with Boston Safe Deposit
and Trust Company re: VA
International Small Portfolio and VA
International Value Portfolio
Each of the above is incorporated
herein by reference to:
C-6
<PAGE> 59
Filing: Post-Effective
Amendment No. 33 to the
Registration Statement
of Registrant on Form
N-1A
File Nos.: 2-73948 and 811-3258
Filing Date: June 19, 1995
(d) Form of Amendment to Custody
Agreement with Boston Safe Deposit
and Trust Company re: DFA Two-Year
Global Fixed Income Portfolio
Incorporated herein by reference to:
Filing: Post-Effective Amendment No. 37
to the Registration Statement of
Registrant on Form N-1A
File Nos.: 2-73948 and 811-3258
Filing Date: November 22, 1995
(ii) Form of Custodian Agreement between DFA
Investment Dimensions Group Inc. and
Provident National Bank for The U.S. 9-10
Small Company Portfolio, The U.S. Large
Company Portfolio, The DFA One-Year Fixed
Income Portfolio, The DFA Intermediate
Government Bond Portfolio, and The DFA
Five-Year Government Portfolio**
(a) Amendment Number One**
(b) Amendment Number Two**
(c) Form of Amendment Number Three**
(d) Form of Amendment Number Four**
(e) Form of Amendment Number Five
Incorporated herein by reference to:
Filing: Post-Effective Amendment
No. 33 to the Registration
Statement of Registrant on Form
N-1A
File Nos.: 2-73948 and 811-3258
Filing Date: June 19, 1995
(f) Form of Amendment Number Six
Incorporated herein by reference to:
Filing: Post-Effective Amendment No. 37
to the Registration Statement of
Registrant on Form N-1A
File Nos.: 2-73948 and 811-3258
Filing Date: November 22, 1995
(9) (i) Transfer Agency Agreement with Provident
Financial Processing Corporation**
(a) Amendment Number One**
(b) Amendment Number Two**
(c) Form of Amendment Number Three**
(d) Form of Amendment Number Four**
(e) Form of Amendment Number Five**
(f) Form of Amendment Number Six*
(g) Form of Amendment Number Seven*
C-7
<PAGE> 60
(h) Form of Amendment Number Eight*
(i) Form of Amendment Number Nine*
(j) Form of Amendment Number Ten
Incorporated herein by reference to:
Filing: Post-Effective Amendment No.
33 to the Registration Statement
of Registrant on Form N-1A
File Nos.: 2-73948 and 811-3258
Filing Date: June 19, 1995
(k) Form of Amendment Number Eleven
Incorporated herein by reference to:
Filing: Post-Effective Amendment No. 37
to the Registration Statement of
Registrant on Form N-1A
File Nos.: 2-73948 and 811-3258
Filing Date: November 22, 1995
(ii) Administration and Accounting Services
Agreement with Provident Financial Processing
Corporation**
(a) Amendment Number One**
(b) Amendment Number Two**
(c) Form of Amendment Number Three**
(d) Form of Amendment Number Four**
(e) Form of Amendment Number Five**
(f) Form of Amendment Number Six*
(g) Form of Amendment Number Seven*
(h) Form of Amendment Number Eight*
(i) Form of Amendment Number Nine*
(j) Form of Amendment Number Ten
Incorporated herein by reference to:
Filing: Post-Effective Amendment No.
33 to the Registration Statement
of Registrant on Form N-1A
File Nos.: 2-73948 and 811-3258
Filing Date: June 19, 1995
(k) Form of Amendment Number Eleven
Incorporated herein by reference to:
Filing: Post-Effective Amendment No. 37
to the Registration Statement of
Registrant on Form N-1A
File Nos.: 2-73948 and 811-3258
Filing Date: November 22, 1995
(iii) Form of Administration Agreement re: The U.S.
6-10 Small Company Portfolio**
(iv) Form of Administration Agreement re: U.S.
Large Company Portfolio
Incorporated herein by reference to:
Filing: Post-Effective Amendment No. 37
to the Registration Statement of
Registrant on Form N-1A
File Nos.: 2-73948 and 811-3258
Filing Date: November 22, 1995
C-8
<PAGE> 61
(v) Form of Administration Agreement re: The DFA
One-Year Fixed Income Portfolio**
(vi) Form of Administration Agreement re: The U.S.
Large Cap High Book to Market Portfolio**
(vii) Form of Administration Agreement re: The U.S.
Small Cap High Book to Market Portfolio**
(viii) Form of Administration Agreement re: The
Pacific Rim Small Company Portfolio
(formerly, Asia-Australia Small Company
Portfolio)**
(ix) Form of Client Service Agent Agreement re:
RWB/DFA International High Book to Market
Portfolio (formerly, DFA International High
Book to Market Portfolio and Reinhardt Werba
Bowen International Large Stock Portfolio)
Incorporated herein by reference to:
Filing: Post-Effective Amendment No. 37
to the Registration Statement of
Registrant on Form N-1A
File Nos.: 2-73948 and 811-3258
Filing Date: November 22, 1995
(x) Form of Administration Agreement re: The
RWB/DFA International High Book to Market
Portfolio (formerly, DFA International High
Book to Market Portfolio)
Incorporated herein by reference to:
Filing: Post-Effective Amendment No. 37
to the Registration Statement of
Registrant on Form N-1A
File Nos.: 2-73948 and 811-3258
Filing Date: November 22, 1995
(xi) Form of Administration Agreement re: the
Emerging Markets Portfolio**
(xii) Marketing Agreement with National Home Life
Assurance Company
Incorporated herein by reference to:
Filing: Post-Effective Amendment No. 33
to the Registration Statement of
Registrant on Form N-1A
File Nos.: 2-73948 and 811-3258
Filing Date: June 19, 1995
(xiii) Participation Agreement with National Home
Life Assurance Company
Incorporated herein by reference to:
Filing: Post-Effective Amendment No. 33
to the Registration Statement of
Registrant on Form N-1A
File Nos.: 2-73948 and 811-3258
Filing Date: June 19, 1995
(xiv) Form of Administration Agreement re: DFA
Five-Year Government Portfolio**
C-9
<PAGE> 62
(xv) Form of Administration Agreement re: Enhanced
U.S. Large Company Portfolio
Incorporated herein by reference to:
Filing: Post-Effective Amendment No. 37
to the Registration Statement of
Registrant on Form N-1A
File Nos.: 2-73948 and 811-3258
Filing Date: November 22, 1995
(xvi) Form of Administration Agreement re: DFA
Two-Year Global Fixed Income Portfolio
Incorporated herein by reference to:
Filing: Post-Effective Amendment No. 37
to the Registration Statement of
Registrant on Form N-1A
File Nos.: 2-73948 and 811-3258
Filing Date: November 22, 1995
(xvii) Form of Administration Agreement re: DFA
Two-Year Corporate Fixed Income Portfolio
Incorporated herein by reference to:
Filing: Post-Effective Amendment No. 37
to the Registration Statement of
Registrant on Form N-1A
File Nos.: 2-73948 and 811-3258
Filing Date: June 19, 1995
(xviii) Form of Administration Agreement re: DFA
Two-Year Government Portfolio
Incorporated herein by reference to:
Filing: Post-Effective Amendment No. 37
to the Registration Statement of
Registrant on Form N-1A
File Nos.: 2-73948 and 811-3258
Filing Date: November 22, 1995
(10) Opinion of counsel - filed with Registrant's Rule
24f-2 Notice on January 29, 1996.
(11) Consent of Coopers & Lybrand L.L.P.
(12) Not applicable
(13) Subscription Agreement under Section 14(a)(3) of
the Investment Company Act of 1940**
(14) Not applicable
(15) Amended Distribution Plan**
(i) Amended compensation agreement**
(16) Schedules for Computation of Performance Data for the
following Portfolios: VA Small Value Portfolio, VA
International Value Portfolio, VA International Small
Portfolio and VA Short-Term Fixed Portfolio.
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<PAGE> 63
(17) Financial Data Schedules
(18) Not Applicable
+ For the VA Small Value Portfolio, VA Large Value Portfolio, VA
International Value Portfolio, VA International Small Portfolio, VA
Short-Term Fixed Portfolio and VA Global Bond Portfolio, the audited
financial statements were filed via the EDGAR system on January 31,
1996 with the Securities and Exchange Commission ("SEC") as DFA
INVESTMENT DIMENSIONS GROUP INC. Annual Report to Shareholders for the
year ended November 30, 1995 pursuant to Rule 30b2-1 under the
Investment Company Act of 1940 ("1940 Act") and are incorporated into
the Statement of Additional Information dated March 29, 1996.
With respect to all series of shares of the Registrant, except VA
Small Value Portfolio, VA Large Value Portfolio, VA International
Value Portfolio, VA International Small Portfolio, VA Short-Term Fixed
Portfolio, VA Global Bond Portfolio, Enhanced U.S. Large Company
Portfolio, DFA Two-Year Corporate Fixed Income Portfolio, DFA Two-Year
Global Fixed Income Portfolio and DFA Two-Year Government Portfolio,
the audited financial statements were filed via the EDGAR system on
January 26, 1996 with the SEC as DFA INVESTMENT DIMENSIONS GROUP INC.
Annual Report to Shareholders for the year ended November 30, 1995
("Annual Report") pursuant to Rule 30b2-1 under the 1940 Act and are
incorporated by reference into the Statement of Additional Information
dated February 8, 1996.
The audited financial statements of U.S. 6-10 Small Company, U.S.
Large Company, DFA One-Year Fixed Income, U.S. Small Cap Value, U.S.
Large Cap Value, RWB/DFA International High Book to Market and
Emerging Markets Series of The DFA Investment Trust Company (the
"Trust") for the fiscal year ended November 30, 1995, as set forth in
the Trust's annual report to stockholders, were filed via the EDGAR
system on January 26, 1996, with the SEC pursuant to Rule 30b2-1 under
the 1940 Act and are incorporated by reference into the Statement of
Additional Information dated February 8, 1996.
* To be filed by amendment.
** Previously filed with this registration statement and incorporated
herein by reference.
ITEM 25. PERSONS CONTROLLED BY OR UNDER COMMON CONTROL WITH REGISTRANT
None
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<PAGE> 64
ITEM 26. NUMBER OF HOLDERS OF SECURITIES
<TABLE>
<CAPTION>
(1) (2)
Title of Class Number of Record
---------------- Holders as of
(Par Value $.01) February 29,1996
----------------
<S> <C>
U.S. 9-10 Small Company Portfolio 194
U.S. 6-10 Small Company Portfolio 33
U.S. Large Company Portfolio 63
U.S. Small Cap Value Portfolio 140
U.S. Large Cap Value Portfolio 112
DFA/AEW Real Estate Securities Portfolio 27
Japanese Small Company Portfolio 108
Pacific Rim Small Company Portfolio 84
United Kingdom Small Company Portfolio 86
Emerging Markets Portfolio 63
Continental Small Company Portfolio 111
Large Cap International Portfolio 48
RWB/DFA International High Book to Market Portfolio 7
DFA International Small Cap Value Portfolio 39
DFA One-Year Fixed Income Portfolio 207
DFA Five-Year Government Portfolio 50
DFA Global Fixed Income Portfolio 48
DFA Intermediate Government Fixed Income Portfolio 15
Enhanced U.S. Large Company Portfolio 1
DFA Two-Year Corporate Fixed Income Portfolio 1
DFA Two-Year Government Portfolio 0
DFA Two-Year Global Fixed Income Portfolio 3
VA Global Bond Portfolio 2
VA Small Value Portfolio 3
VA Large Value Portfolio 2
VA International Value Portfolio 3
VA International Small Portfolio 3
VA Short-Term Fixed Portfolio 3
</TABLE>
ITEM 27. INDEMNIFICATION
Section 1 of Article XI of the Registrant's By-Laws provides
for indemnification, as set forth below.
With respect to the indemnification of the Officers and
Directors of the corporation:
(a) the Corporation shall indemnify each Officer and Director made
party to a proceeding, by reason of
C-12
<PAGE> 65
service in such capacity, to the fullest extent, and in the
manner provided under Section 2-418 of the Maryland General
Corporation Law: (i) unless it is proved that the person
seeking indemnification did not meet the standard of conduct
set forth in subsection (b)(1) of such section; and (ii)
provided, that the Corporation shall not indemnify any Officer
or Director for any liability to the Corporation or its
security holders arising from the willful misfeasance, bad
faith, gross negligence or reckless disregard of the duties
involved in the conduct of such person's office.
(b) The provisions of clause (i) of paragraph (a) herein
notwithstanding, the Corporation shall indemnify each Officer
and Director against reasonable expenses incurred in
connection with the successful defense of any proceeding to
which such Officer or Director is a party by reason of service
in such capacity.
(c) The Corporation, in the manner and to the extent provided by
applicable law, shall advance to each Officer and Director who
is made party to a proceeding by reason of service in such
capacity the reasonable expenses incurred by such person in
connection therewith.
ITEM 28. BUSINESS AND OTHER CONNECTIONS OF INVESTMENT ADVISOR
Registrant's Investment Advisor, Dimensional Fund Advisors Inc. (the
"Advisor"), was organized in May, 1981. The principal place of
business of the Advisor is 1299 Ocean Avenue, 11th Floor, Santa
Monica, California 90401. The Advisor is engaged in the business of
providing investment advice primarily to institutional investors.
The Sub-Advisor for the VA International Small Portfolio of the
Registrant, The Continental Small Company Portfolio and The United
Kingdom Small Company Portfolio of DFA Investment Dimensions Group
Inc. ("DFAIDG"), Dimensional Fund Advisors Ltd. ("DFAL"), was
organized under the laws of England in 1990. The principal place of
business of DFAL is 14 Berkeley Street, London W1X 5AD, England.
The Sub-Advisor for the VA International Small Portfolio of the
Registrant, The Japanese and Pacific Rim Small Company Portfolios of
DFAIDG, DFA Australia Pty Limited ("DFA Australia"), was organized
under the laws of Delaware in 1993. The principal place of business
of DFA Australia Pty Limited is Suite 4403 Gateway, 1 MacQuarie Place,
Sydney, New South Wales 2000, Australia.
C-13
<PAGE> 66
Aldrich, Eastman & Waltch L.P. ("AEW"), the sub-advisor to The DFA/AEW
Real Estate Securities Portfolio, is a Massachusetts limited
partnership founded in 1981. The principal place of business of AEW
is 225 Franklin Street, Boston, MA 02110-2803.
The business, profession, vocation or employment of a substantial
nature in which each director and officer of the Advisor, DFAL, DFAA
and AEW is or has been, during the past two fiscal years, engaged for
his own account in the capacity of director, officer, employee,
partner or trustee is as follows:
David G. Booth is Chairman - Chief Executive Officer, President and a
Director of the Advisor and the Registrant and is President, Chairman
- Chief Executive Officer and a Trustee of The DFA Investment Trust
Company (the Trust"). Mr. Booth is also Chairman - Chief Executive
Officer and a Director of DFA Securities Inc., Dimensional Emerging
Markets Fund Inc. (registered investment company), Dimensional
Investment Group Inc. (registered investment company) and DFA
Australia. He is Chairman and Director of DFAL.
Rex A. Sinquefield is Chairman - Chief Investment Officer and a
Director of the Advisor and the Registrant. He is also Chairman -
Chief Investment Officer and a Director of DFA Securities Inc.,
Dimensional Emerging Markets Fund Inc., Dimensional Investment Group
Inc. and DFA Australia, Trustee and Chairman - Chief Investment
Officer of the Trust, and Chairman, Chief Executive Officer and
Director of DFAL.
Eugene Francis Fama, a Director of the Advisor, is the Robert R.
McCormick Distinguished Service Professor of Finance, and has been
engaged in teaching and research in finance and economics at the
Graduate School of Business, University of Chicago, Chicago, Illinois
since September, 1963. Mr. Fama also is a Director of DFA Securities
Inc.
John Andrew McQuown, a Director of the Advisor, has been self employed
since 1974 as an entrepreneur, financier and consultant to major
financial institutions. He is also a Director of Chalone Wine Group,
Inc., Mortgage Information Corporation, KMV Corporation and
Microsource, Inc.
Lloyd Stockel, a Director of the Advisor, is a private investor and a
retired general partner of Goldman Sachs & Co.
David Salisbury, a Director of the Advisor, is Chief Executive of
Schroder Capital Management International Inc.
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<PAGE> 67
and Joint Chief Executive of Schroder International Management Ltd.
Arthur Barlow is a Vice President of Registrant, the Advisor, the
Trust, DFA Securities Inc., Dimensional Emerging Markets Fund Inc.,
Dimensional Investment Group Inc., DFA Australia and DFAL.
Truman Clark is a Vice President of Registrant, the Advisor, the
Trust, DFA Securities Inc., Dimensional Emerging Markets Fund Inc.,
Dimensional Investment Group Inc., DFA Australia and DFAL. Mr. Clark
was a Consultant until October 1995 and Principal and Manager of
Product Development, Wells Fargo Nikko Investment Advisors, San
Francisco, CA from 1990-1994.
Maureen Connors is a Vice President of Registrant, the Advisor, the
Trust, DFA Securities Inc., Dimensional Emerging Markets Fund Inc.,
Dimensional Investment Group Inc., DFA Australia and DFAL.
Robert Deere is a Vice President of Registrant, the Advisor, the
Trust, DFA Securities Inc., Dimensional Emerging Markets Fund Inc.,
Dimensional Investment Group Inc., DFA Australia and DFAL.
Irene R. Diamant is a Vice President and Secretary of Registrant, the
Advisor, DFA Australia, DFA Securities Inc., the Trust, Dimensional
Emerging Markets Fund Inc. and Dimensional Investment Group Inc. Ms.
Diamant is also a Vice President of DFAL.
Eugene Fama, Jr. is a Vice President of Registrant, the Advisor, the
Trust, DFA Securities Inc., Dimensional Emerging Markets Fund Inc.,
Dimensional Investment Group Inc., DFA Australia and DFAL.
David Plecha is a Vice President of Registrant, the Advisor, the Trust
DFA Securities Inc., Dimensional Emerging Markets Fund Inc.,
Dimensional Investment Group Inc., DFA Australia and DFAL.
George Sands is a Vice President of Registrant, the Adviser, DFA
Securities Inc., the Trust, Dimensional Emerging Markets Fund Inc.,
Dimensional Investment Group Inc., DFA Australia and DFAL. Mr. Sands
was a Managing Director of Asset Strategy Consulting in Los Angeles,
CA from March 1991 to August 1992 and a Vice President of Wilshire
Associates in Santa Monica, CA from 1985 to February 1991.
Michael T. Scardina is a Vice President, Chief Financial Officer,
Controller and Treasurer of the Registrant, the
C-15
<PAGE> 68
Advisor, the Trust, DFA Securities Inc., Dimensional Emerging Markets
Fund Inc., Dimensional Investment Group Inc., DFA Australia and DFAL.
Cem Severoglu is a Vice President of Registrant, the Advisor, the
Trust, DFA Securities Inc., Dimensional Emerging Markets Fund Inc.,
Dimensional Investment Group Inc., DFA Australia and DFAL.
Jeanne C. Sinquefield is Executive Vice President of the Registrant,
the Advisor, DFA Securities Inc., the Trust, Dimensional Emerging
Markets Fund Inc., Dimensional Investment Group Inc., DFA Australia
and DFAL.
Daniel Wheeler, 50, Marketing Officer of the Advisor, Santa Monica, CA.
David Schneider, 49, Marketing Officer of the Advisor, Santa Monica,
CA.
Lawrence Spieth, 48, Marketing Officer of the Advisor, Santa Monica,
CA.
Peter C. Aldrich is Executive Director and Co-Chairman of Aldrich,
Eastman & Waltch, L.P. ("AEW, L.P.") He is also Executive Director
and Co-Chairman of Aldrich, Eastman & Waltch, Inc. ("AEW, Inc.").
Thomas G. Eastman is Executive Director and Co-Chairman of AEW, L.P.
and AEW, Inc.
Joseph F. Azrack is President and Executive Director of AEW, L.P. and
AEW, Inc.
Steven D. Corkin is a Director of AEW, L.P. and a Vice President of
AEW, Inc.
Marvin M. Franklin is a Director of AEW, L.P. and a Vice President of
AEW, Inc.
Kenneth G. Lewis is a Director of AEW, L.P.
J. Grant Monahon is a Director, General Counsel and Secretary of AEW,
L.P. He is also Vice President and Clerk of AEW, Inc.
Thomas K. Albert is a Senior Vice President of AEW, L.P.
Adam S. Berger is a Director of AEW, L.P.
Doreen M. Biebusch is Chief Financial Officer, Treasurer and a
Director of AEW, L.P. She is also Treasurer of AEW, Inc.
C-16
<PAGE> 69
Glenn L. Burdick is a Senior Vice President of AEW, L.P.
Lori D. Campana is a Senior Vice President of AEW, L.P.
Daniel M. Cashdan is a Senior Vice President of AEW, L.P.
Edward F. Cassidy, Jr. is a Senior Vice President of AEW, L.P.
Gerd A. Cross is a Vice President of AEW, L.P. and a Vice President
and Assistant Clerk of AEW, Inc.
Gregg O. Dawley is a Senior Vice President of AEW, L.P.
Robert G. Gifford is a Director of AEW, L.P. and a Vice President of
AEW, Inc.
Kevin McCall is a Director of AEW, L.P. and a Vice President of AEW,
Inc. Before joining AEW in 1990, Mr. McCall was self-employed.
H. Rennyson Merritt, III is a Director of AEW, L.P. and a Vice
President and Assistant Clerk of AEW, Inc.
Thomas H. Nolan is a Director of AEW, L.P. and a Vice President of
AEW, Inc.
Randy J. Parker is a Senior Vice President of AEW, L.P.
Douglas M. Poutasse is a Director of AEW, L.P. Prior to joining AEW
in 1991, Mr. Poutasse directed Real Estate and Construction
Forecasting at F. W. Dodge (marketing and research company).
Gregory P. Shay is a Senior Vice President of AEW, L.P. Prior to
joining AEW in 1993, Mr. Shay was a consultant with Colonial Capital,
Inc. from December 1992 through July 1993.
Clifford M. Brown is a Director of AEW, L.P. and a Vice President of
AEW, Inc. Prior to joining AEW in 1993, Mr. Brown was a director of
Salomon Brothers, Inc.
Sylvia Ferrell-Jones is a Senior Vice President of AEW, L.P. Prior to
joining AEW in September of 1993, Ms. Ferrell-Jones was the senior
investment officer for real estate at the State of Connecticut Trust
Funds.
Patrick J. Sullivan is a Director of AEW, L.P.
Martha J. Thurber is a Senior Vice President of AEW, L.P.
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<PAGE> 70
Henry G. Vickers, Jr. is a Senior Vice President of AEW, L.P.
ITEM 29. PRINCIPAL UNDERWRITERS
(a) None.
(b) Registrant distributes its own shares. It has entered into an
agreement, previously filed as Exhibit No. 6 to the
Registration Statement, which provides that DFA Securities
Inc., 1299 Ocean Avenue, 11th Floor, Santa Monica, California
90401, will supervise the sale of Registrant's shares. This
agreement is subject to the requirements of Section 15(b) of
the Investment Company Act of 1940.
(c) Not applicable.
ITEM 30. LOCATION OF ACCOUNTS AND RECORDS
All accounts and records are maintained by PFPC Inc., 400
Bellevue Parkway, Wilmington, DE 19809.
ITEM 31. MANAGEMENT SERVICES
None.
ITEM 32. UNDERTAKINGS
(a) Not applicable.
(b) Registrant undertakes to file a post-effective amendment,
using financial statements of Enhanced U.S. Large Company
Portfolio, DFA Two-Year Corporate Fixed Income Portfolio, DFA
Two-Year Government Portfolio and DFA Two-Year Global Fixed
Income Portfolio, which need not be certified, within four to
six months from the effective date of the Registration
Statement which includes Enhanced U.S. Large Company
Portfolio, DFA Two-Year Corporate Fixed Income Portfolio, DFA
Two-Year Government Portfolio and DFA Two-Year Global Fixed
Income Portfolio.
(c) The Registrant hereby undertakes to furnish each person to
whom a prospectus is delivered with a copy of the Registrant's
latest annual report to shareholders, upon request and without
charge.
C-18
<PAGE> 71
SIGNATURES
Pursuant to the requirements of the Securities Act of 1933 and the
Investment Company Act of 1940, the Registrant certifies that it meets all of
the requirements for effectiveness of this Registration Statement pursuant to
Rule 485(b) under the Securities Act of 1933 and has duly caused this Amendment
No. 40 to the Registration Statement to be signed on its behalf by the
undersigned, thereunto duly authorized, in the City of Santa Monica and State
of California on the 27th day of March, 1996.
DFA INVESTMENT DIMENSIONS GROUP INC.
By: /s/ David G. Booth*
-------------------------------
David G. Booth
President
Pursuant to the requirements of the Securities Act of 1933, this
Post-Effective Amendment No. 40 to the Registration Statement has been signed
by the following persons in the capacities and on the dates indicated.
<TABLE>
<CAPTION>
Signature Title Date
--------- ----- ----
<S> <C> <C>
Director and
/s/ David G. Booth* Chairman-Chief March 27, 1996
- ------------------------- Executive Officer
David G. Booth
Director and
/s/ Rex A. Sinquefield* Chairman-Chief March 27, 1996
- ------------------------- Investment Officer
Rex A. Sinquefield
Chief Financial
/s/ Michael T. Scardina* Officer, Treasurer March 27, 1996
- ------------------------- and Vice President
Michael T. Scardina
/s/ George M. Constantinides* Director March 27, 1996
- -------------------------
George M. Constantinides
/s/ John P. Gould* Director March 27, 1996
- -------------------------
John P. Gould
/s/ Roger G. Ibbotson* Director March 27, 1996
- -------------------------
Roger G. Ibbotson
/s/ Merton H. Miller* Director March 27, 1996
- -------------------------
Merton H. Miller
/s/ Myron S. Scholes* Director March 27, 1996
- -------------------------
Myron S. Scholes
</TABLE>
*By: /s/ Irene R. Diamant
- --------------------------------
Irene R. Diamant
Attorney-in-Fact
C-19
<PAGE> 72
EXHIBIT INDEX
<TABLE>
<CAPTION>
EXHIBIT NO. DESCRIPTION
- ----------- -----------
<S> <C>
24(b)(11) Consent of Coopers & Lybrand L.L.P.
24(b)(16) Schedules for computation of performance data
24(b)(17) Financial Data Schedules
</TABLE>
C-21
<PAGE> 1
Exhibit 24(b)(11)
CONSENT OF INDEPENDENT ACCOUNTANTS
We consent to the incorporation by reference in this Post-Effective Amendment
No. 40 to the Registration Statement on Form N-1A (File No. 2-73948) under the
Securities Act of 1933 of DFA Investment Dimensions Group Inc. of our reports
dated January 19, 1996 on our audits of the financial statements and financial
highlights of DFA Investment Group Inc. and The DFA Investment Trust Company as
of November 30, 1995 and for each of the periods in the period then ended.
We also consent to the reference to our Firm under the caption "Financial
Statements" in the Statement of Additional Information.
COOPERS & LYBRAND L.L.P.
2400 Eleven Penn Center
Philadelphia, Pennsylvania
March 28, 1996
<PAGE> 1
Exhibit 24(b)(16)
SCHEDULES FOR COMPUTATION OF PERFORMANCE QUOTATIONS
I. STANDARDIZED COMPUTATIONS OF TOTAL RETURN
A. VA SMALL VALUE PORTFOLIO:
Total Return: P (1 + T)n = ERV
Date of Initial Investment through November 30, 1995
P = $1,000
T = -16.91%
n = .1616 years
ERV = $970
B. VA INTERNATIONAL VALUE PORTFOLIO:
Total Return: P (1 + T)n = ERV
Date of Initial Investment through November 30, 1995
P = $1,000
T = 1.83%
n = .1616 years
ERV = $1,003
<PAGE> 2
Exhibit 24(b)(16)
C. VA INTERNATIONAL SMALL PORTFOLIO:
Total Return: P (1 + T)n = ERV
Date of Initial Investment through November 30, 1995
P = $1,000
T = -16.17%
n = .1616 years
ERV = $972
D. VA SHORT-TERM FIXED PORTFOLIO:
Total Return: P (1 + T)n = ERV
Date of Initial Investment through November 30, 1995
P = $1,000
T = 4.97%
n = .1616 years
ERV = $1,008
<TABLE> <S> <C>
<ARTICLE> 6
<CIK> 0000355437
<NAME> DFA INVESTMENT DIMENSIONS GROUP, INC.
<SERIES>
<NUMBER> 20
<NAME> VA GLOBAL BOND PORTFOLIO
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> NOV-30-1995
<PERIOD-END> NOV-30-1995
<INVESTMENTS-AT-COST> 3,067,250
<INVESTMENTS-AT-VALUE> 3,205,723
<RECEIVABLES> 138,381
<ASSETS-OTHER> 59,570
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 3,403,674
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 10,890
<TOTAL-LIABILITIES> 10,890
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 3,208,977
<SHARES-COMMON-STOCK> 31,986
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> (30,587)
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 149
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 138,473
<NET-ASSETS> 3,392,784
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 181,276
<OTHER-INCOME> 0
<EXPENSES-NET> 37,111
<NET-INVESTMENT-INCOME> 144,165
<REALIZED-GAINS-CURRENT> 34,328
<APPREC-INCREASE-CURRENT> 138,473
<NET-CHANGE-FROM-OPS> 392,738
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 174,752
<DISTRIBUTIONS-OF-GAINS> 34,179
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 32,353
<NUMBER-OF-SHARES-REDEEMED> 2,353
<SHARES-REINVESTED> 1,986
<NET-CHANGE-IN-ASSETS> 3,392,784
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 7,030
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 37,111
<AVERAGE-NET-ASSETS> 3,214,412
<PER-SHARE-NAV-BEGIN> 10.61
<PER-SHARE-NII> .48
<PER-SHARE-GAIN-APPREC> .81
<PER-SHARE-DIVIDEND> (.57)
<PER-SHARE-DISTRIBUTIONS> (.11)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 10.61
<EXPENSE-RATIO> 1.31
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<CIK> 0000355437
<NAME> DFA INVESTMENT DIMENSIONS GROUP, INC.
<SERIES>
<NUMBER> 21
<NAME> VA LARGE VALUE PORTFOLIO
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> NOV-30-1995
<PERIOD-END> NOV-30-1995
<INVESTMENTS-AT-COST> 5,884,461
<INVESTMENTS-AT-VALUE> 6,500,575
<RECEIVABLES> 31,440
<ASSETS-OTHER> 43,381
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 6,575,396
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 12,994
<TOTAL-LIABILITIES> 12,994
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 5,941,194
<SHARES-COMMON-STOCK> 581,167
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 15,058
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 2,314
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 616,114
<NET-ASSETS> 6,562,402
<DIVIDEND-INCOME> 147,615
<INTEREST-INCOME> 14,956
<OTHER-INCOME> 0
<EXPENSES-NET> 60,328
<NET-INVESTMENT-INCOME> 102,243
<REALIZED-GAINS-CURRENT> 323,807
<APPREC-INCREASE-CURRENT> 616,114
<NET-CHANGE-FROM-OPS> 1,029,886
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 87,185
<DISTRIBUTIONS-OF-GAINS> 321,493
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 808,293
<NUMBER-OF-SHARES-REDEEMED> 263,388
<SHARES-REINVESTED> 36,262
<NET-CHANGE-IN-ASSETS> 6,562,402
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 17,597
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 60,328
<AVERAGE-NET-ASSETS> 5,709,033
<PER-SHARE-NAV-BEGIN> 10.00
<PER-SHARE-NII> .19
<PER-SHARE-GAIN-APPREC> 1.85
<PER-SHARE-DIVIDEND> (.16)
<PER-SHARE-DISTRIBUTIONS> (.59)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 11.29
<EXPENSE-RATIO> 1.20
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<CIK> 0000355437
<NAME> DFA INVESTMENT DIMENSIONS GROUP, INC.
<SERIES>
<NUMBER> 23
<NAME> VA SMALL VALUE PORTFOLIO
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