<PAGE>
==============================================================================
Dimensional Investment Group Inc.
U.S. Large Cap Value Portfolio II
Annual Report
Period Ended November 30, 1994
==============================================================================
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO II
ANNUAL REPORT
TABLE OF CONTENTS
<TABLE>
<CAPTION>
Page
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<S> <C>
Dimensional Investment Group Inc.
Performance Chart ............ 1
Statement of Assets and
Liabilities ................ 2
Statement of Operations ...... 3
Statement of Changes in Net
Assets ..................... 4
Financial Highlights ......... 5
Notes to Financial Statements.. 6-7
Report of Independent
Accountants ................ 8
The DFA Investment Trust Company
Performance Chart ............ 9
Statement of Net Assets
The U.S. Large Cap Value
Series ..................... 10-12
Statement of Operations ...... 13
Statement of Changes in Net
Assets ..................... 14
Financial Highlights ......... 15
Notes to Financial Statements 16-17
Report of Independent
Accountants ................ 18
</TABLE>
This report is submitted for the information of the Fund's shareholders. It
is not authorized for distribution to prospective investors unless preceded
or accompanied by an effective prospectus.
i
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
==============================================================================
The U.S. Large Cap Value Portfolio II
Vs. Fama-French U.S. Large Cap Value Index
September 1994-November 1994
The following reflects the growth of a $10,000 investment.
The U.S. Fama-French
Large Cap Value U.S. Large Cap Value
Portfolio II Index
--------------- --------------------
$10000 $10000
Sep-94 9700 9600
Oct-94 9900 9800
Nov-94 9400 9600
Total From
Return (%) September 1994
- ------------------------------------------------------------------------------
-5.65
* The portfolio seeks to capture return premiums associated with high
book-to-market ratios by investing in the U.S. Large Cap Value Series of the
DFA Investment Trust Company which in turn invests on a market cap weighted
basis in companies that are approximately $500 million or larger in market cap
and have book to market ratios in the upper 30% of publicly traded companies.
* This was a new portfolio in fiscal 1994. Its returns reflected the
performance of large U.S. companies with high book-to-market ratios.
Past performance is not predictive of future performance.
Fama-French Large Cap Value Index courtesy Fama-French and CRSP, University of
Chicago
1
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO II
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 1994
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<TABLE>
<CAPTION>
<S> <C>
ASSETS:
Investment in The U.S. Large Cap Value Series of The DFA Investment Trust
Company (129,524 Shares, Cost $1,345) at Value ................................ $ 1,285
Receivable for Securities Sold ................................................. 33
Other Receivable ............................................................... 16
Prepaid Expenses and Other Assets .............................................. 1
---------
Total Assets ................................................................. 1,335
---------
LIABILITIES:
Payable for Fund Shares Redeemed ............................................... 33
Accrued Expenses and Other Liabilities ......................................... 17
---------
Total Liabilities ............................................................ 50
---------
Net Assets ..................................................................... $ 1,285
=========
SHARES OUTSTANDING, $.01 PAR VALUE (Authorized 100,000,000) .................... 135,552
=========
Net Asset Value, Offering and Redemption Price Per Share ....................... $ 9.48
=========
NET ASSETS CONSIST OF:
Paid-In Capital ................................................................ $ 1,348
Undistributed Net Investment Income ............................................ 1
Accumulated Net Realized Loss .................................................. (4)
Unrealized Depreciation of Investment Securities ............................... (60)
---------
Total Net Assets .......................................................... $ 1,285
=========
</TABLE>
See accompanying Notes to Financial Statements
2
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO II
STATEMENT OF OPERATIONS
FOR THE PERIOD AUGUST 3, 1994
(COMMENCEMENT OF OPERATIONS)
TO NOVEMBER 30, 1994
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
<S> <C>
Investment Income
Dividends ............................................................. $ 17
-------
Expenses
Administrative Services ............................................... 1
Accounting & Transfer Agent Fees ...................................... 4
Legal Fees ............................................................ 3
Audit Fees ............................................................ 4
Shareholder Reports ................................................... 3
Directors' Fees and Expenses .......................................... 5
Other ................................................................. 2
-------
Total Expenses ..................................................... 22
Less: Fees Waived and Expenses Reimbursed ............................. (20)
-------
Net Expenses .......................................................... 2
-------
Net Investment Income ................................................. 15
-------
Net Realized and Unrealized Gain (Loss) on Investments ..................
Net Realized Loss on Investment Securities .............................. (4)
Change in Unrealized Appreciation (Depreciation) of Investment Securities (60)
-------
Net Loss on Investment Securities ....................................... (64)
-------
Net Decrease in Net Assets Resulting from Operations .................... $(49)
=======
</TABLE>
See accompanying Notes to Financial Statements
3
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO II
STATEMENT OF CHANGES IN NET ASSETS
FOR THE PERIOD AUGUST 3, 1994
(COMMENCEMENT OF OPERATIONS)
TO NOVEMBER 30, 1994
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
<S> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ................................................. $ 15
Net Realized Loss on Investment Securities ............................ (4)
Change in Unrealized Appreciation (Depreciation) of Investment
Securities ......................................................... (60)
--------
Net Decrease in Net Assets Resulting from Operations ............... (49)
--------
Distributions From:
Net Investment Income ................................................. (14)
--------
Capital Share Transactions (1):
Shares Issued ......................................................... 1,463
Shares Issued in Lieu of Cash Distributions ........................... 14
Shares Redeemed ....................................................... (129)
--------
Net Increase From Capital Share Transactions ....................... 1,348
--------
Total Increase ..................................................... 1,285
Net Assets
Beginning of Period ................................................... --
--------
End of Period ......................................................... $1,285
========
(1) Shares Issued and Redeemed:
Shares Issued ......................................................... 147
Shares Issued in Lieu of Cash Distributions ........................... 2
Shares Redeemed ....................................................... (13)
--------
136
========
</TABLE>
See accompanying Notes to Financial Statements
4
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO II
FINANCIAL HIGHLIGHTS
FOR THE PERIOD AUGUST 3, 1994
(COMMENCEMENT OF OPERATIONS)
TO NOVEMBER 30, 1994
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
<S> <C>
Net Asset Value, Beginning of Period ................ $ 10.00
-----------
Income from Investment Operations
- ---------------------------------
Net Investment Income .............................. 0.11
Net Losses on Securities (Realized and Unrealized) . (0.52)
-----------
Total from Investment Operations .................. (0.41)
-----------
Less Distributions
- ------------------
Net Investment Income .............................. (0.11)
-----------
Net Asset Value, End of Period ...................... $ 9.48
===========
Total Return ........................................ (4.14)%#
Net Assets, End of Period (thousands) ............... $1,285
Ratio of Expenses to Average Net Assets (1) ......... 0.96%*(a)
Ratio of Net Investment Income to Average Net Assets 5.39%*(a)
Portfolio Turnover Rate ............................. N/A
</TABLE>
- ------
* Annualized
#Non-Annualized
(1) Represents the combined ratio for the Portfolio and its respective
pro-rata share of its Master Fund Series.
(a) Had certain waivers and reimbursements not been in effect, the annualized
ratios of expenses and net investment income to average net assets would
have been 8.45% and (2.10)%, respectively.
N/A Refer to the respective Master Fund Series.
See accompanying Notes to Financial Statements
5
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
At November 30, 1994, Dimensional Investment Group Inc. ("the Fund")
consisted of six portfolios, The DFA 6-10 Institutional Portfolio, The DFA
International Value Portfolio, The U.S. Small Cap Value Portfolio II, The
U.S. Large Cap Value Portfolio II, The DFA International Value Portfolio II
and The DFA One-Year Fixed Income Portfolio II ("the Portfolios"). The Fund
is an open-end management investment company registered under the Investment
Company Act of 1940, whose shares are offered to institutional investors,
retirement plans, and clients of registered investment advisors. The
financial statements of U.S. Large Cap Value Portfolio II ("the Portfolio")
are presented herein, the financial statements for the other Portfolios are
presented elsewhere, except for The DFA One-Year Fixed Income Portfolio II
which had not yet commenced operations as of November 30, 1994.
The U.S. Large Cap Value Portfolio II invests all of its assets in The
U.S. Large Cap Value Series ("the Series"), a corresponding series of The DFA
Investment Trust Company. At November 30, 1994, The U.S. Large Cap Value
Portfolio II owned 1% of the outstanding shares of The U.S. Large Cap Value
Series. The financial statements of the Series are included elsewhere in this
report and should be read in conjunction with the financial statements of the
Portfolio.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such
policies are consistently followed by the Fund in preparation of its
financial statements.
1. Security Valuation: The shares of the Series held by the Portfolio are
valued at its respective daily Net Asset Value.
2. Federal Income Taxes: It is the Portfolio's intention to qualify as a
regulated investment company and distribute all of its taxable income.
Accordingly, no provision for Federal income tax is required in the financial
statements.
3. Other: Security transactions are accounted for on the date the
securities are purchased or sold. Costs used in determining realized gains
and losses on the sale of investment securities are those of specific
securities sold. Dividend income and distributions to shareholders are
recorded on the ex-dividend date. Expenses directly attributable to the
Portfolio or to the Series are directly charged. Common expenses are
allocated using methods determined by the Board of Directors.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("the Advisor") provides administrative
services to the Portfolio, including supervision of services provided by
others, providing information to the shareholders and to the Board of
Directors, and other administrative services. The Advisor provides investment
advisory services to the Series. For the period ended November 30, 1994, the
Portfolio's administrative fees were computed daily and paid monthly to the
Advisor based on an effective annual rate of 0.15 of 1%.
Certain officers of the Portfolio are also officers, directors and
shareholders of the Advisor.
6
<PAGE>
The Advisor has agreed to waive its fees and reimburse U.S. Large Cap
Value Portfolio II to the extent necessary to keep the annual combined
expenses of the Portfolio and its respective Master Fund to not more than
0.96% of average daily net assets.
D. INVESTMENTS:
At November 30, 1994, gross unrealized appreciation and depreciation for
financial reporting and federal income tax purposes of investment securities
was as follows (amounts in thousands):
Gross Unrealized Appreciation............. $ --
Gross Unrealized Depreciation............. (60)
-------
Net ..................................... $(60)
=======
7
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE SHAREHOLDERS AND BOARD OF DIRECTORS OF
DIMENSIONAL INVESTMENT GROUP INC.:
We have audited the accompanying statement of assets and liabilities of
the Dimensional Investment Group Inc., The U.S. Large Cap Value Portfolio II,
as of November 30, 1994, and the related statements of operations and changes
in net assets and financial highlights for the period from August 3, 1994
(commencement of operations) to November 30, 1994. These financial statements
and financial highlights are the responsibility of the Fund's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audit.
We conducted our audit in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures
in the financial statements. Our procedures included confirmation of
investments owned as of November 30, 1994, by correspondence with the
custodian. An audit also includes assessing the accounting principles used
and significant estimates made by management, as well as evaluating the
overall financial statement presentation. We believe that our audit provides
a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of
the Dimensional Investment Group Inc., The U.S. Large Cap Value Portfolio II,
as of November 30, 1994, and the results of its operations, the changes in
its net assets, and its financial highlights for the period then ended, in
conformity with generally accepted accounting principles.
COOPERS & LYBRAND L.L.P.
2400 Eleven Penn Center
Philadelphia, Pennsylvania
January 23, 1995
8
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHART
==============================================================================
The U.S. Large Cap Value Series
Vs. Fama-French Large Cap Value Index
March 1993-November 1994
The following reglects the growth of a $10,000 investment.
The U.S. Fama-French
Large Cap Value Large Cap Value
Series Index
--------------- ---------------
$10000 $10000
Mar-93 10100 10300
Apr-93 10100 10200
May-93 10200 10300
Jun-93 10400 10500
Jul-93 10600 10700
Aug-93 10800 11000
Sep-93 10600 10900
Oct-93 10800 11000
Nov-93 10700 10900
Dec-93 10900 11200
Jan-94 11200 11400
Feb-94 10700 11000
Mar-94 10300 10500
Apr-94 10400 10600
May-94 10400 10500
Jun-94 10200 10300
Jul-94 10600 10800
Aug-94 10900 11100
Sep-94 10600 10700
Oct-94 10800 10900
Nov-94 10300 10600
Annualized From
Total Return (%) One Year March 1993
- ------------------------------------------------------------------------------
-3.13 1.79
* Dimensional's multifactor portfolios attempt to capture return premiums
associated with high book-to-market ratios and capitalization. The Large Cap
Value series invests in companies that are approximately $400 million or
larger in market cap and have book-to-market ratios in the upper 30% of
publicly traded companies, and is invested on a market cap weighted basis.
* This portfolio's returns in fiscal 1994 reflected the performance of large
cap high book-to-market U.S. companies.
Past performance is not predictive of future performance.
Fama-French Large Cap Value Index courtesy Fama-French and CRSP, University of
Chicago
9
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENT OF NET ASSETS
THE U.S. LARGE CAP VALUE SERIES
NOVEMBER 30, 1994
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
COMMON STOCKS - (99.0%) ...................................
AFLAC, Inc. ............................................ 15,700 $ 531,838
*AMR Corp. .............................................. 30,900 1,568,175
Aetna Life & Casualty Co. .............................. 45,926 2,055,189
Ahmanson (H.F.) & Co. .................................. 47,700 793,013
Alexander & Baldwin, Inc. .............................. 18,800 446,500
*Alleghany Corp. (DE) ................................... 2,632 389,536
Allstate Corp. ......................................... 183,500 4,335,188
Aluminium Co. of America (ALCOA) ....................... 22,840 1,864,315
Ambac, Inc. ............................................ 15,000 519,375
*Amdahl Corp. ........................................... 47,233 460,522
Amerada Hess Corp. ..................................... 37,900 1,724,450
American General Corp. ................................. 85,300 2,239,125
American National Insurance Co. ........................ 10,800 511,650
American Premier Underwriters, Inc. .................... 18,800 430,050
American President Companies, Ltd. ..................... 10,700 238,075
American Water Works Co., Inc. ......................... 13,100 343,875
Apple Computer, Inc. ................................... 35,500 1,317,938
Argonaut Group, Inc. ................................... 10,500 294,000
Arvin Industries, Inc. ................................. 9,100 219,538
Asarco, Inc. ........................................... 17,100 468,113
Atlanta Gas Light Co. .................................. 10,300 305,138
Avnet, Inc. ............................................ 12,200 437,675
*BHC Communications, Inc. Class A ...................... 3,100 227,075
Ball Corp. ............................................. 7,900 222,188
Bancorp Hawaii, Inc. ................................... 2,400 60,300
Bank of Boston Corp. ................................... 43,600 1,166,300
BankAmerica Corp. ...................................... 151,575 6,214,575
Bankers Trust New York Corp. ........................... 32,200 1,907,850
Berkley (W.R.) Corp. ................................... 7,100 236,075
Black & Decker Corp. ................................... 25,200 604,800
Block Drug Co., Inc. Class A ........................... 4,738 160,500
Boatmen's Bancshares, Inc. ............................. 40,000 1,112,500
Boise Cascade Corp. .................................... 15,500 375,875
Bowater, Inc. .......................................... 14,900 378,088
*Broadway Stores, Inc. .................................. 18,598 190,630
Bruno's, Inc. .......................................... 23,400 207,675
CCP Insurance, Inc. .................................... 11,000 162,250
CIGNA Corp. ............................................ 29,508 1,870,070
*CNA Financial Corp. .................................... 25,200 1,565,550
CSX Corp. .............................................. 41,000 2,849,500
Centerior Energy Corp. ................................. 16,900 147,875
Centex Corp. ........................................... 12,400 252,650
Champion International Corp. ........................... 37,900 1,317,025
Chase Manhattan Corp. .................................. 75,500 2,699,125
Chemical Banking Corp. ................................. 103,400 3,761,175
Chesapeake Corp. ....................................... 5,900 193,225
Chiquita Brands International, Inc. .................... 19,900 258,700
*Chris-Craft Industries, Inc. ........................... 8,499 290,028
*Chrysler Corp. ......................................... 128,800 6,230,700
Cincinnati Financial Corp. ............................. 20,300 974,400
Cinergy Corp. .......................................... 12,071 268,580
Citicorp ............................................... 56,400 2,347,650
Coca-Cola Enterprises, Inc. ............................ 51,000 949,875
10
<PAGE>
THE U.S LARGE CAP VALUE SERIES --
CONTINUED
Shares Value+
------------------ ------------------
Comdicso, Inc. ......................................... 15,200 $324,900
Comerica, Inc. ......................................... 15,000 395,625
Commerce Bancshares, Inc. .............................. 1,800 52,538
Comsat Corp. Series 1 .................................. 6,400 124,000
Conrail, Inc. .......................................... 32,100 1,669,200
Consolidated Natural Gas Co. ........................... 37,900 1,326,500
Continental Corp. ...................................... 22,658 328,541
Coors (Adolph) Co. Class B ............................. 14,500 231,094
Countrywide Credit Industries, Inc. .................... 5,200 73,450
*Cray Research, Inc. .................................... 10,500 192,938
Cyprus Amax Minerals Co., Inc. ......................... 35,000 875,000
Delta Air Lines, Inc. .................................. 8,300 416,038
Diamond Shamrock, Inc. ................................. 11,600 298,700
*Digital Equipment Corp. ................................ 56,200 1,910,800
Dillard Department Stores, Inc. Class A ................ 40,000 1,125,000
Dole Food, Inc. ........................................ 24,300 571,050
Eastern Enterprises .................................... 8,400 214,200
Eastern Utilities Associates ........................... 3,900 85,800
Enserch Corp. .......................................... 27,300 344,663
Equitable Companies, Inc. .............................. 33,100 579,250
Equitable Resources, Inc. .............................. 11,700 315,900
Federal Paper Board Co., Inc. .......................... 17,200 466,550
*Federated Department Stores, Inc. ...................... 51,300 1,051,650
Fina, Inc. Class A ..................................... 5,700 374,775
First Chicago Corp. .................................... 37,800 1,757,700
First Colony Corp. ..................................... 20,100 386,925
First Union Corp. ...................................... 9,800 390,775
First of America Bank Corp. ............................ 3,300 103,950
Fleming Companies, Inc. ................................ 15,197 349,531
Florida East Coast Industries, Inc. .................... 3,500 250,250
Ford Motor Co. ......................................... 379,500 10,293,938
Fourth Financial Corp. ................................. 5,100 153,638
*Fund American Enterprises Holdings, Inc. ............... 3,400 249,050
GATX Corp. ............................................. 8,100 324,000
GFC Financial Corp. .................................... 6,700 197,650
General Motors Corp. ................................... 300,000 11,437,500
General Motors Corp. Class H ........................... 37,646 1,256,435
Glatfelter (P.H.) Co. .................................. 16,300 252,650
Golden West Financial Corp. ............................ 25,200 882,000
Goodrich (B.F.) Co. .................................... 10,100 449,450
*Goodyear Tire & Rubber Co. ............................. 30,000 1,016,250
Great Atlantic & Pacific Tea Co., Inc. ................. 15,600 347,100
Great Western Financial Corp. .......................... 54,200 921,400
Harnischfeger Industries, Inc. ......................... 8,400 223,650
Hawaiian Electric Industries, Inc. ..................... 11,500 365,125
Helmerich & Payne, Inc. ................................ 10,100 282,800
Houston Industries, Inc. ............................... 53,600 1,822,400
IES Industries, Inc. ................................... 11,700 305,663
*IMC Fertilizer Group, Inc. ............................. 3,400 128,350
ITT Corp. .............................................. 25,900 2,062,288
*Intergraph Corp. ....................................... 9,000 72,000
International Business Machines Corp. .................. 89,800 6,353,350
International Paper Co. ................................ 50,900 3,639,350
11
<PAGE>
THE U.S LARGE CAP VALUE SERIES --
CONTINUED
Shares Value+
------------------ ------------------
International Speciality Products, Inc. ................ 40,700 $ 274,725
James River Corp. of Virginia .......................... 33,300 703,463
*Jefferson-Pilot Corp. .................................. 2,800 141,750
K Mart Corp. ........................................... 179,600 2,604,200
*Kaiser Aluminum Corp. .................................. 23,700 251,813
*Kerr-McGee Corp. ....................................... 15,000 708,750
Lafarge Corp. .......................................... 20,600 365,650
Lennar Corp. ........................................... 9,550 149,219
Liberty Corp. .......................................... 8,100 206,550
Lincoln National Corp. ................................. 38,750 1,506,406
Loews Corp. ............................................ 24,500 2,116,188
Longs Drug Stores Corp. ................................ 4,800 150,600
*MBIA, Inc. ............................................. 15,000 787,500
*Magma Copper Co. ....................................... 17,300 278,963
McDonnell Douglas Corp. ................................ 16,140 2,251,530
Mellon Bank Corp. ...................................... 22,500 745,313
Mercantile Stores Co., Inc. ............................ 15,012 607,986
Metropolitan Financial Corp. ........................... 8,500 191,250
Michigan National Corp. ................................ 3,500 265,563
Midlantic Corp. ........................................ 3,000 79,875
Midwest Resources, Inc. ................................ 22,416 291,408
Mitchell Energy & Development Corp. Class A ............ 6,100 99,125
Mitchell Energy & Development Corp. Class B ............ 7,800 125,775
Montana Power Co. ...................................... 21,700 512,663
*Morgan (J.P.) & Co., Inc. .............................. 85,800 5,040,750
Murphy Oil Corp. ....................................... 7,000 313,250
NWNL Companies, Inc. ................................... 12,100 334,263
National Fuel Gas Co. .................................. 14,500 377,000
NationsBank Corp. ...................................... 75,700 3,397,038
Noram Energy Corp. ..................................... 31,700 178,313
*Norfolk Southern Corp. ................................. 24,500 1,482,250
Northrop Grumman Corp. ................................. 12,700 515,938
Nynex Corp. ............................................ 159,700 6,008,713
Occidental Petroleum Corp. ............................. 122,600 2,406,025
Ogden Corp. ............................................ 2,500 49,375
*Ogden Projects, Inc. ................................... 14,400 237,600
Ohio Casualty Corp. .................................... 14,700 422,625
Old Republic International Corp. ....................... 21,200 405,450
Oneok, Inc. ............................................ 1,300 22,425
Oryx Energy Co. ........................................ 39,500 478,938
Overseas Shipholding Group, Inc. ....................... 14,800 312,650
PHH Corp. .............................................. 7,000 245,875
PNC Bank Corp. ......................................... 50,000 1,037,500
Pacific Telecom, Inc. .................................. 15,600 475,800
Panhandle Eastern Corp. ................................ 49,064 1,036,477
Pennzoil Co. ........................................... 18,800 909,450
Peoples Energy Corp. ................................... 14,200 347,900
*Petrie Stores Corp. .................................... 20,000 527,500
Pinnacle West Capital Corp. ............................ 3,100 60,063
Pittway Corp. DE Class A ............................... 800 30,900
12
<PAGE>
THE U.S LARGE CAP VALUE SERIES --
CONTINUED
Shares Value+
------------------ ------------------
Potlatch Corp. ......................................... 11,900 $446,250
Providian Corp. ........................................ 36,600 1,107,150
Pulte Corp. ............................................ 10,800 217,350
*RJR Nabisco Holdings Corp. ............................. 435,400 2,721,250
Republic New York Corp. ................................ 21,400 914,850
Reynolds Metals Co. .................................... 16,200 763,425
*Rust International, Inc. ............................... 4,700 50,525
Ryder System, Inc. ..................................... 21,400 462,775
Safeco Corp. ........................................... 25,700 1,262,513
Saint Paul Companies, Inc. ............................. 33,000 1,361,250
Scana Corp. ............................................ 19,300 837,138
*Seagate Technology, Inc. ............................... 29,200 693,500
Smiths Food & Drug Centers, Inc. Class B ............... 6,400 161,600
Southern Indiana Gas & Electric Co. .................... 3,200 82,000
Southern New England Telecommunications Corp. .......... 15,400 508,200
Springs Industries, Inc. Class A ....................... 7,300 271,013
Standard Federal Bank MI ............................... 12,800 316,800
Stone & Webster, Inc. .................................. 6,100 202,825
Sun Company, Inc. ...................................... 43,480 1,266,355
*Sun Microsystems, Inc. ................................. 25,000 835,938
Super Valu Stores, Inc. ................................ 4,100 100,450
*TIG Holdings, Inc. ..................................... 3,600 63,000
Tecumseh Products Co. Class A .......................... 4,600 202,400
Textron, Inc. .......................................... 5,000 235,000
Timken Co. ............................................. 11,500 370,875
Transamerica Corp. ..................................... 28,700 1,359,663
Transco Energy Co. ..................................... 16,700 208,750
Travelers, Inc. ........................................ 128,400 4,221,150
Tyson Foods, Inc. Class A .............................. 32,300 730,788
UMB Financial Corp. .................................... 7,900 241,938
*UNUM Corp. ............................................. 30,000 1,095,000
*USAir Group, Inc. ...................................... 12,300 59,963
USF&G Corp. ............................................ 31,500 429,188
USLIFE Corp. ........................................... 9,400 303,150
USX-Marathon Group, Inc. ............................... 116,850 2,103,300
USX-US Steel Group ..................................... 30,000 1,031,250
Union Bank San Francisco, CA ........................... 14,500 415,063
Union Camp Corp. ....................................... 15,900 737,363
Union Pacific Corp. .................................... 54,500 2,534,250
Unitrin, Inc. .......................................... 21,100 917,850
Valero Energy Corp. .................................... 17,000 323,000
*Vons Companies, Inc. ................................... 17,700 358,425
WPL Holdings, Inc. ..................................... 12,550 346,694
Wesco Financial Corp. .................................. 400 47,200
Westinghouse Electric Corp. ............................ 26,600 339,150
Westvaco Corp. ......................................... 27,400 941,875
Yellow Corp. ........................................... 11,500 226,406
------------------
TOTAL COMMON STOCKS (Cost $200,627,238) ................... 196,815,598
------------------
</TABLE>
13
<PAGE>
THE U.S LARGE CAP VALUE SERIES --
CONTINUED
<TABLE>
<CAPTION>
Face
Amount Value+
--------- --------------
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS - (5.1%)
Repurchase Agreement, PNC Securities Corp. 5.50%, 12/01/94 (Collateralized by U.S. Treasury
Bills 5.55%, 02/09/95) (Cost $10,222,000) ................................................. $10,222 $ 10,222,000
--------------
TOTAL INVESTMENTS - (104.1%) (Cost $210,849,238) ............................................... 207,037,598
--------------
OTHER ASSETS AND LIABILITIES -- (|P-4.1%)
Other Assets ................................................................................. 6,307,626
Liabilities .................................................................................. (14,497,425)
--------------
(8,189,799)
--------------
NET ASSETS -- (100.0%) Applicable to 20,053,372
Outstanding $.01 Par Value Shares (Unlimited Number of Shares Authorized) ..................... $198,847,799
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE ....................................... $ 9.92
==============
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
See accompanying Notes to Financial Statements
14
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1994
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
<S> <C>
Investment Income
Dividends ............................................................. $ 5,418
Interest .............................................................. 203
----------
Total Investment Income ............................................ 5,621
----------
Expenses
Investment Advisory Services .......................................... 143
Accounting & Transfer Agent Fees ...................................... 122
Custodian's Fee ....................................................... 27
Legal Fees ............................................................ 7
Audit Fees ............................................................ 6
Shareholders' Reports ................................................. 6
Trustees' Fees and Expenses ........................................... 4
Other ................................................................. 5
----------
Total Expenses ..................................................... 320
----------
Net Investment Income ................................................. 5,301
----------
Net Realized and Unrealized Gain (Loss) on Investments
Net Realized Loss on Investment Securities .............................. (5,273)
Change in Unrealized Appreciation (Depreciation) of Investment Securities (5,746)
----------
Net Loss on Investment Securities ..................................... (11,019)
----------
Net Decrease in Net Assets Resulting from Operations .................... $ (5,718)
==========
</TABLE>
See accompanying Notes to Financial Statements
15
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
Year Ended Feb. 19 to
Nov. 30 Nov. 30,
1994 1993
------------ ------------
<S> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ................................................. $ 5,301 $ 1,623
Net Realized Gain (Loss) on Investment Securities ..................... (5,273) 53
Change in Unrealized Appreciation (Depreciation) of Investment
Securities ......................................................... (5,746) 1,934
------------ ------------
Net Increase (Decrease) in Net Assets Resulting from Operations .... (5,718) 3,610
------------ ------------
Distributions From:
Net Investment Income ................................................. (5,305) (1,472)
Net Realized Gain ..................................................... -- (82)
------------ ------------
Total Distributions ................................................ (5,305) (1,554)
------------ ------------
Capital Share Transactions (1):
Shares Issued ......................................................... 124,500 87,248
Shares Issued in Lieu of Cash Distributions ........................... 4,545 1,241
Shares Redeemed ....................................................... (9,445) (274)
------------ ------------
Net Increase From Capital Share Transactions ....................... 119,600 88,215
------------ ------------
Total Increase ..................................................... 108,577 90,271
Net Assets
Beginning of Period ................................................... 90,271 --
------------ ------------
End of Period ......................................................... $198,848 $90,271
============ ============
(1) Shares Issued and Redeemed:
Shares Issued ......................................................... 11,986 8,431
Shares Issued in Lieu of Cash Distributions ........................... 446 117
Shares Redeemed ....................................................... (900) (27)
------------ ------------
11,532 8,521
============ ============
</TABLE>
See accompanying Notes to Financial Statements
16
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
Year Ended Feb. 19 to
Nov. 30 Nov. 30,
1994 1993
------------ ------------
<S> <C> <C>
Net Asset Value, Beginning of Period ..................... $ 10.59 $ 10.00
------------ ------------
Income from Investment Operations
- ---------------------------------
Net Investment Income .................................. 0.33 0.20
Net Gains (Losses) on Securities (Realized and
Unrealized) ......................................... (0.65) 0.58
------------ ------------
Total from Investment Operations ................ (0.32) 0.78
------------ ------------
Less Distributions
- ------------------
Net Investment Income .................................. (0.35) (0.18)
Net Realized Gains ..................................... -- (0.01)
------------ ------------
Total Distributions ............................. (0.35) (0.19)
------------ ------------
Net Asset Value, End of Period ........................... $ 9.92 $ 10.59
============ ============
Total Return ............................................. (3.13)% 7.79%#
Net Assets, End of Period (thousands) .................... $198,848 $90,271
Ratio of Expenses to Average Net Assets .................. 0.22% 0.23%*
Ratio of Net Investment Income to Average Net Assets ..... 3.72% 3.75%*
Portfolio Turnover Rate .................................. 39.33% 0.75%*
</TABLE>
- ------
*Annualized
#Non-Annualized
See accompanying Notes to Financial Statements
17
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
The DFA Investment Trust Company ("the Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. At
November 30, 1994, The Trust consisted of seven investment portfolios: The
U.S. 6-10 Small Company Series, The U.S. Large Company Series, The U.S. Small
Cap Value Series, The U.S. Large Cap Value Series, The DFA One-Year Fixed
Income Series, The DFA International Value Series and The Emerging Markets
Series. These financial statements relate solely to The U.S. Large Cap Value
Series (the "Series").
The U.S. Large Cap Value Portfolio II invests solely in the Series. The
Series also issues its shares to other investors.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such
policies are consistently followed by the Trust in preparation of its
financial statements.
1. Security Valuation: Securities held by The U.S. Large Cap Value Series
which are listed on a securities exchange and for which market quotations are
readily available are valued at the last quoted sale price of the day, or if
there is no such reported sale, at the mean between the most recent 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 securities for which no
quotations are readily available are determined in good faith at fair value
using methods determined by the Board of Directors.
2. Federal Income Taxes: It is the Series intention to continue to qualify
as a regulated investment company and distribute all of its taxable income.
Accordingly, no provision for Federal taxes is required in the financial
statements.
3. Repurchase Agreements: The Series may purchase money market instruments
subject to the seller's agreement to repurchase them at an agreed upon date
and price. The seller will be required on a daily basis to maintain the value
of the collateral subject to the agreement at not less than the repurchase
price (including accrued interest). The agreements are conditioned upon the
collateral being deposited under the Federal Reserve book-entry system or
with the Fund's custodian or a third party sub-custodian. All repurchase
agreements were entered into on November 30, 1994.
4. Reclassifications: As of December 1, 1993, the Series implemented AICPA
Statement of Position 93-2 -- Determination, Disclosure and Financial
Statement Presentation of Income, Capital Gain, and Return of Capital
Distributions by Investment Companies. Adoption of this standard results in
the reclassification to paid-in capital of permanent differences between tax
and financial reporting of net investment income and net realized
gain/(loss). The change has had no material effect on paid-in capital or
other components of net assets at December 1, 1993. Distributions to
shareholders and net asset values were not affected by this change.
5. Other: Security transactions are accounted for on the date the
securities are purchased or sold. Costs used in determining realized gains
and losses on the sale of investment securities are those of specific
securities sold. Dividend income and distributions to shareholders are
recorded on the ex-dividend date. Interest income is recorded on the accrual
basis. Discount and premium on securities purchased are amortized over the
lives of the respective securities. Expenses directly attributable to a
Series are directly charged. Common expenses are allocated using methods
determined by the Board of Directors.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("the Advisor") provides investment
advisory services to the Series. For the period ended November 30, 1994, the
Series' advisory fees were computed daily and paid monthly to the Advisor
based on an effective annual rate of 0.10 of 1%.
18
<PAGE>
Certain officers of the Series are also officers, directors and
shareholders of the Advisor.
D. PURCHASES AND SALES OF SECURITIES:
For the year (or period) ended November 30, 1994, the Series made the
following purchases and sales of investment securities (amounts in
thousands):
Purchases ....................... $176,069
Sales ........................... 54,799
E. INVESTMENT TRANSACTIONS:
At November 30, 1994, gross unrealized appreciation and depreciation for
financial reporting and federal income tax purposes of investment securities
was as follows (amounts in thousands):
Gross Unrealized Appreciation ................ $ 6,616
Gross Unrealized Depreciation ................. (10,428)
----------
Net .......................................... $ (3,812)
==========
At November 30, 1994, the Series had a capital loss carryover for federal
income tax purposes of approximately $5,273,000 which expires on November 30,
2002.
F. COMPONENTS OF NET ASSETS:
At November 30, 1994, net assets consisted of (amounts in thousands):
Paid-In Capital ................................. $207,815
Undistributed Net Investment Income ............. 147
Accumulated Net Realized Loss ................... (5,302)
Unrealized Depreciation of Investment Securities (3,812)
----------
$198,848
==========
19
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF
THE DFA INVESTMENT TRUST COMPANY:
We have audited the accompanying statement of net assets of The DFA
Investment Trust Company, The U.S. Large Cap Value Series as of November 30,
1994, and the related statement of operations for the year then ended and the
statements of changes in net assets and financial highlights for each of the
two years in the period then ended. These financial statements and financial
highlights are the responsibility of the Fund's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures
in the financial statements. Our procedures included confirmation of
investments owned as of November 30, 1994, by correspondence with the
custodian and brokers. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of
The DFA Investment Trust Company, The U.S. Large Cap Value Series, as of
November 30, 1994, and the results of its operations for the year then ended,
and the changes in its net assets and its financial highlights for each of
the two years in the period then ended, in conformity with generally accepted
accounting principles.
COOPERS & LYBRAND L.L.P.
2400 Eleven Penn Center
Philadelphia, Pennsylvania
January 23, 1995
20
