<PAGE>
================================================================================
Dimensional Investment Group Inc.
U.S. Large Cap Value Portfolio II
Semi-Annual Report
Six Months Ended May 31, 1995
(Unaudited)
================================================================================
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO II
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
Page
-------
Dimensional Investment Group Inc.
Statement of Assets and Liabilities ......... 1
Statement of Operations .................... 2
Statements of Changes in Net Assets ......... 3
Financial Highlights ....................... 4
Notes to Financial Statements .............. 5-6
The DFA Investment Trust Company
The U.S. Large Cap Value Series
Statement of Net Assets .................... 7-8
Statement of Operations .................... 9
Statements of Changes in Net Assets ......... 10
Financial Highlights ....................... 11
Notes to Financial Statements .............. 12-13
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>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO II
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 1995
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<TABLE>
<CAPTION>
ASSETS:
<S> <C>
Investment in The U.S. Large Cap Value Series of The DFA Investment Trust
Company (215,605 Shares, Cost $2,265) at Value ................................ $ 2,571
Receivable for Investment Securities Sold ...................................... 35
Other Receivable ............................................................... 11
Prepaid Expenses and Other Assets .............................................. 44
---------
Total Assets ................................................................. 2,661
---------
LIABILITIES:
Payable for Fund Shares Redeemed ............................................... 35
Accrued Expenses ............................................................... 22
---------
Total Liabilities ............................................................ 57
---------
Net Assets ..................................................................... $ 2,604
=========
SHARES OUTSTANDING, $.01 PAR VALUE (Authorized 100,000,000) .................... 228,727
=========
Net Asset Value, Offering and Redemption Price Per Share ....................... $ 11.38
=========
NET ASSETS CONSIST OF:
Paid-In Capital ................................................................ $ 2,300
Undistributed Net Investment Income ............................................ 4
Accumulated Net Realized Loss .................................................. (6)
Unrealized Appreciation of Investment Securities ............................... 306
---------
Total Net Assets ............................................................. $ 2,604
=========
</TABLE>
See accompanying Notes to Financial Statements
1
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO II
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1995
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
Investment Income
<S> <C>
Dividends ................................................................ $ 14
--------
Expenses
Administrative Services .................................................. 1
Accounting & Transfer Agent Fees ......................................... 6
Legal Fees ............................................................... 4
Audit Fees ............................................................... 2
Filing Fees .............................................................. 6
Shareholder Services ..................................................... 2
Shareholder Reports ...................................................... 4
Directors' Fees and Expenses ............................................. 3
Other .................................................................... 6
--------
Total Expenses ........................................................ 34
Less: Fees Waived and Expenses Reimbursed ................................ (27)
--------
Net Expenses ............................................................. 7
--------
Net Investment Income .................................................... 7
--------
Net Realized and Unrealized Gain (Loss) on Investments
Net Realized Loss on Investment Securities ................................. (2)
Change in Unrealized Appreciation (Depreciation) of Investment Securities .. 366
--------
Net Gain on Investment Securities .......................................... 364
--------
Net Increase in Net Assets Resulting from Operations ....................... $371
========
</TABLE>
See accompanying Notes to Financial Statements
2
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO II
STATEMENT OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
Six Months
Ended August 3 to
May 31, Nov. 30,
1995 1994
------------ -------------
(Unaudited)
<S> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ................................ $ 7 $ 15
Net Realized Loss on Investment Securities ........... (2) (4)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities ............................. 366 (60)
------------ -------------
Net Increase (Decrease) in Net Assets Resulting
from Operations ................................. 371 (49)
------------ -------------
Distributions From:
Net Investment Income ................................ (4) (14)
------------ -------------
Capital Share Transactions (1):
Shares Issued ........................................ 1,174 1,463
Shares Issued in Lieu of Cash Distributions .......... 4 14
Shares Redeemed ...................................... (226) (129)
------------ -------------
Net Increase From Capital Share Transactions ...... 952 1,348
------------ -------------
Total Increase .................................... 1,319 1,285
Net Assets
Beginning of Period .................................. 1,285 --
------------ -------------
End of Period ........................................ $2,604 $1,285
============ =============
(1) Shares Issued and Redeemed:
Shares Issued ........................................ 114 147
Shares Issued in Lieu of Cash Distributions .......... -- 2
Shares Redeemed ...................................... (21) (13)
------------ -------------
93 136
============ =============
</TABLE>
See accompanying Notes to Financial Statements
3
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO II
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
Six Months August 3
Ended to
May 31, Nov. 30,
1995 1994
------------ -----------
(Unaudited)
<S> <C> <C>
Net Asset Value, Beginning of Period .................... $ 9.48 $ 10.00
------------ -----------
Income from Investment Operations
- ---------------------------------
Net Investment Income ................................. 0.04 0.11
Net Gains (Losses) on Securities (Realized and
Unrealized) ........................................ 1.88 (0.52)
------------ -----------
Total from Investment Operations ................... 1.92 (0.41)
------------ -----------
Less Distributions
- ------------------
Net Investment Income ................................. (0.02) (0.11)
------------ -----------
Net Asset Value, End of Period .......................... $ 11.38 $ 9.48
============ ===========
Total Return ............................................ 20.34%# (4.14)%#
Net Assets, End of Period (thousands) ................... $2,604 $1,285
Ratio of Expenses to Average Net Assets (1) ............. 0.96%*(a) 0.96%*(a)
Ratio of Net Investment Income to Average Net Assets .... 0.73%*(a) 5.39%*(a)
Portfolio Turnover Rate ................................. N/A 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 ratios of
expenses to average net assets for the periods ended May 31, 1995 and
November 30, 1994 would have been 3.79% and 8.45%, respectively and the
ratios of net investment income to average net assets for the periods
ended May 31, 1995 and November 30, 1994 would have been (2.10)% and
(2.10)%, respectively.
N/A Refer to the respective Master Fund Series.
See accompanying Notes to Financial Statements
4
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
At May 31, 1995, Dimensional Investment Group Inc. (the "Fund") consisted
of eight portfolios, The DFA 6-10 Institutional Portfolio, U.S. Small Cap
Value Portfolio II, U.S. Large Cap Value Portfolio II, U.S. Large Cap Value
Portfolio III, DFA One-Year Fixed Income Portfolio II, The DFA International
Value Portfolio, DFA International Value Portfolio II and DFA International
Value Portfolio III (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 The U.S. Large
Cap Value Portfolio II (the "Portfolio") are presented herein, the financial
statements for the other Portfolios are presented elsewhere.
The Portfolio 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 May 31, 1995, the Portfolio owned 1% of the outstanding shares of the
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 continue 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 six months ended May 31, 1995, 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.
The Advisor has agreed to waive its fees and reimburse the Portfolio 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.
5
<PAGE>
D. INVESTMENTS:
At May 31, 1995, 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 $306
Gross Unrealized Depreciation --
-------
Net .......................... $306
=======
6
<PAGE>
STATEMENT OF NET ASSETS
THE U.S. LARGE CAP VALUE SERIES
MAY 31, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
COMMON STOCKS -- (98.0%)
*AMR Corp. ................................................ 38,000 $ 2,593,500
Aetna Life & Casualty Co. ................................ 56,426 3,364,400
Ahmanson (H.F.) & Co. .................................... 58,600 1,333,150
Albemarle Corp. .......................................... 43,200 664,200
Alexander & Baldwin, Inc. ................................ 23,000 552,000
Alleghany Corp. .......................................... 2,632 411,908
Allstate Corp. ........................................... 191,900 5,780,988
*Alumax, Inc. ............................................. 29,100 847,538
Aluminium Co. of America ................................. 76,180 3,542,370
Ambac, Inc. .............................................. 15,000 600,000
*Amdahl Corp. ............................................. 47,233 614,029
Amerada Hess Corp. ....................................... 46,600 2,364,950
American General Corp. ................................... 65,000 2,242,500
American National Insurance Co. .......................... 12,800 812,800
American Premier Group, Inc. ............................. 22,900 575,363
American President Companies, Ltd. ....................... 10,700 259,475
Apple Computer, Inc. ..................................... 55,500 2,310,188
Argonaut Group, Inc. ..................................... 12,100 358,463
Arvin Industries, Inc. ................................... 9,100 208,163
Asarco, Inc. ............................................. 20,200 583,275
Ashland, Inc. ............................................ 26,000 965,250
Avnet, Inc. .............................................. 16,700 759,850
BHC Communications, Inc. Class A ......................... 3,100 235,600
Ball Corp. ............................................... 7,900 262,675
Bancorp Hawaii, Inc. ..................................... 20,200 611,050
Bank of Boston Corp. ..................................... 51,500 1,879,750
BankAmerica Corp. ........................................ 187,475 9,795,569
Bankers Trust New York Corp. ............................. 39,100 2,453,525
Bear Stearns Companies, Inc. ............................. 58,695 1,188,574
Berkley (W.R.) Corp. ..................................... 7,100 260,925
Block Drug Co., Inc. Class A ............................. 5,938 210,799
Boatmen's Bancshares, Inc. ............................... 40,000 1,302,500
Bowater, Inc. ............................................ 17,600 690,800
Brunos, Inc. ............................................. 27,100 313,344
*Burlington Industries, Inc. .............................. 56,400 606,300
CIGNA Corp. .............................................. 36,208 2,706,548
*CNA Financial Corp. ...................................... 30,100 2,573,550
CSX Corp. ................................................ 52,100 3,972,625
Centex Corp. ............................................. 13,800 396,750
Champion International Corp. ............................. 45,100 2,091,513
Chase Manhattan Corp. .................................... 86,800 4,014,500
Chemical Banking Corp. ................................... 122,400 5,645,700
Chesapeake Corp. ......................................... 5,900 168,150
Chiquita Brands International, Inc. ...................... 23,700 314,025
Chris-Craft Industries, Inc. ............................. 10,053 338,032
Chrysler Corp. ........................................... 177,900 7,760,888
Cincinnati Financial Corp. ............................... 25,715 1,417,539
Citicorp ................................................. 195,900 10,480,650
Coca-Cola Enterprises, Inc. .............................. 64,500 1,378,688
Comdicso, Inc. ........................................... 17,500 525,000
Comerica, Inc. ........................................... 50,200 1,587,575
Commerce Bancshares, Inc. ................................ 10,690 331,390
Comsat Corp. Series 1 .................................... 23,100 450,450
Conrail, Inc. ............................................ 39,500 2,133,000
Consolidated Natural Gas Co. ............................. 46,600 1,858,175
Coors (Adolph) Co. Class B ............................... 17,900 307,656
Countrywide Credit Industries, Inc. ...................... 45,700 851,163
Cyprus Amax Minerals Co., Inc. ........................... 46,300 1,226,950
7
<PAGE>
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
Diamond Shamrock, Inc. ................................... 13,900 $ 377,038
*Digital Equipment Corp. .................................. 19,900 888,038
Dillard Department Stores, Inc. Class A .................. 54,500 1,566,875
Dole Food, Inc. .......................................... 24,300 716,850
Eastern Enterprises ...................................... 8,400 252,000
Edwards (A.G.), Inc. ..................................... 25,000 565,625
Enserch Corp. ............................................ 33,500 582,063
Equitable Companies, Inc. ................................ 47,500 1,003,438
Federal Paper Board Co., Inc. ............................ 20,300 659,750
*Federated Department Stores, Inc. ........................ 88,100 2,026,300
Fina, Inc. Class A ....................................... 14,000 579,250
Finova Group, Inc. ....................................... 9,500 350,313
First Chicago Corp. ...................................... 45,700 2,622,038
First Colony Corp. ....................................... 24,700 583,538
First Hawaiian, Inc. ..................................... 15,500 428,188
First Union Corp. ........................................ 75,000 3,675,000
First of America Bank Corp. .............................. 25,800 932,025
Fleming Companies, Inc. .................................. 17,997 465,672
Florida East Coast Industries, Inc. ...................... 3,500 256,789
Ford Motor Co. ........................................... 490,900 14,358,825
*Fund American Enterprises Holdings, Inc. ................. 3,400 236,300
GATX Corp. ............................................... 9,600 406,800
General Motors Corp. ..................................... 397,500 19,080,000
General Motors Corp. Class H ............................. 44,946 1,831,550
Glatfelter (P.H.) Co. .................................... 18,100 343,900
Golden West Financial Corp. .............................. 25,200 1,237,950
Goodrich (B.F.) Co. ...................................... 12,400 615,350
Goodyear Tire & Rubber Co. ............................... 60,000 2,535,000
Great Atlantic & Pacific Tea Co., Inc. ................... 18,400 457,700
Great Western Financial Corp. ............................ 67,000 1,465,625
Hawaiian Electric Industries, Inc. ....................... 13,800 493,350
Helmerich & Payne, Inc. .................................. 11,900 355,513
Houston Industries, Inc. ................................. 65,700 2,833,313
IES Industries, Inc. ..................................... 14,400 318,600
IMC Global, Inc. ......................................... 14,200 639,000
Inland Steel Industries, Inc. ............................ 29,100 818,438
International Paper Co. .................................. 62,600 4,921,925
International Speciality Products, Inc. .................. 50,000 400,000
James River Corp. of Virginia ............................ 40,900 1,104,300
Jefferson-Pilot Corp. .................................... 2,800 147,700
K Mart Corp. ............................................. 228,400 2,912,100
*Kaiser Aluminum Corp. .................................... 28,100 326,663
Kerr-McGee Corp. ......................................... 15,000 836,250
Lafarge Corp. ............................................ 29,900 571,838
Lehman Brothers Holdings, Inc. ........................... 75,100 1,483,225
Lincoln National Corp. ................................... 47,550 2,151,638
Loews Corp. .............................................. 29,500 3,506,813
Longs Drug Stores Corp. .................................. 9,200 323,150
MBIA, Inc. ............................................... 17,700 1,117,313
MCI Communications Corp. ................................. 129,800 2,620,338
*Magma Copper Co. ......................................... 23,100 332,063
McDonnell Douglas Corp. .................................. 44,420 3,209,345
Mellon Bank Corp. ........................................ 55,600 2,376,900
Mercantile Stores Co., Inc. .............................. 17,712 830,250
Merrill Lynch & Co., Inc. ................................ 79,500 3,736,500
Michigan National Corp. .................................. 3,500 370,563
8
<PAGE>
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
Midlantic Corp. .......................................... 22,500 $ 855,000
Midwest Resources, Inc. .................................. 22,416 316,626
Mitchell Energy & Development Corp. Class A .............. 11,300 200,575
Mitchell Energy & Development Corp. Class B .............. 15,300 267,750
Morgan (J.P.) & Co., Inc. ................................ 94,300 6,683,513
Morgan Stanley Group, Inc. ............................... 31,200 2,375,100
Murphy Oil Corp. ......................................... 18,400 805,000
NationsBank Corp. ........................................ 115,500 6,540,188
*Nextel Communications Corp. Class A ...................... 45,000 610,313
Norfolk Southern Corp. ................................... 67,400 4,616,900
Northrop Grumman Corp. ................................... 12,700 665,163
Nynex Corp. .............................................. 180,100 7,519,175
Occidental Petroleum Corp. ............................... 156,500 3,599,500
Ogden Corp. .............................................. 19,996 439,912
Ohio Casualty Corp. ...................................... 17,400 528,525
Old Republic International Corp. ......................... 25,000 637,500
*Oryx Energy Co. .......................................... 49,500 711,563
Overseas Shipholding Group, Inc. ......................... 17,400 330,600
PHH Corp. ................................................ 8,100 340,200
PNC Bank Corp. ........................................... 116,900 3,156,300
Pacific Telecom, Inc. .................................... 15,600 464,100
Paine Webber Group, Inc. ................................. 37,800 746,550
Panhandle Eastern Corp. .................................. 69,364 1,742,771
Pennzoil Co. ............................................. 18,800 928,250
Petrie Stores Corp. ...................................... 21,500 131,688
Pittway Corp. DE Class A ................................. 800 35,800
Potlatch Corp. ........................................... 14,000 600,250
Providian Corp. .......................................... 36,600 1,331,325
Pulte Corp. .............................................. 10,800 295,650
*Quantum Corp. ............................................ 5,000 107,188
RJR Nabisco Holdings Corp. ............................... 136,480 3,889,680
Reliastar Financial Corp. ................................ 12,100 449,213
Republic New York Corp. .................................. 25,400 1,298,575
Reynolds Metals Co. ...................................... 31,100 1,535,563
*Rowan Companies, Inc. .................................... 25,000 187,500
Ryder System, Inc. ....................................... 39,400 999,775
Safeco Corp. ............................................. 31,300 1,840,831
Saint Paul Companies, Inc. ............................... 33,000 1,678,875
Salomon, Inc. ............................................ 51,000 2,091,000
*Seagate Technology, Inc. ................................. 35,600 1,277,150
Shawmut National Corp. ................................... 49,100 1,423,900
Smiths Food & Drug Centers, Inc. Class B ................. 6,400 124,000
Southern New England Telecommunications Corp. ............ 27,600 928,050
Springs Industries, Inc. Class A ......................... 8,500 334,688
Standard Federal Bancorporation, Inc. .................... 15,100 500,188
*Storage Technology Corp. ................................. 28,800 615,600
Sun Company, Inc. ........................................ 64,080 2,018,520
Supervalu, Inc. .......................................... 29,100 825,713
TIG Holdings, Inc. ....................................... 27,400 643,900
Tecumseh Products Co. Class A ............................ 8,200 385,400
Textron, Inc. ............................................ 37,500 2,282,813
Times Mirror Co. Class A ................................. 67,100 1,560,075
Timken Co. ............................................... 14,900 627,663
9
<PAGE>
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
Transamerica Corp. ....................................... 28,700 $ 1,714,825
Travelers Group, Inc. .................................... 72,700 3,071,575
Tyson Foods, Inc. Class A ................................ 37,900 843,275
UMB Financial Corp. ...................................... 7,900 251,813
UNUM Corp. ............................................... 31,000 1,325,250
*USAir Group, Inc. ........................................ 12,300 109,163
USF&G Corp. .............................................. 31,500 543,375
USLIFE Corp. ............................................. 11,000 442,750
USX-Marathon Group, Inc. ................................. 143,850 2,859,019
USX-US Steel Group ....................................... 38,000 1,216,000
Union Bank San Francisco, CA ............................. 17,300 672,538
Union Camp Corp. ......................................... 15,900 824,813
Union Pacific Corp. ...................................... 87,500 4,845,313
Unitrin, Inc. ............................................ 22,900 1,122,100
Valero Energy Corp. ...................................... 21,100 448,375
*Vons Companies, Inc. ..................................... 20,800 431,600
WPL Holdings, Inc. ....................................... 14,950 433,550
Washington Mutual, Inc. .................................. 30,200 683,275
Wesco Financial Corp. .................................... 3,400 408,000
Westinghouse Electric Corp. .............................. 26,600 385,700
Westvaco Corp. ........................................... 33,700 1,440,675
Yellow Corp. ............................................. 11,500 217,781
------------------
TOTAL COMMON STOCKS (Cost $266,427,468) ................... 303,315,578
------------------
Face
Amount
------------------
(000)
TEMPORARY CASH INVESTMENTS -- (1.8%)
Repurchase Agreement, PNC Securities Corp. 5.85%, 06/01/95
(Collateralized by U.S. Treasury Notes 7.50%, 12/31/96)
(Cost $5,719,000) ........................................ $ 5,719 5,719,000
------------------
TOTAL INVESTMENTS -- (99.8%) (Cost $272,146,468) .......... 309,034,578
------------------
OTHER ASSETS AND LIABILITIES -- (0.2%)
Other Assets .............................................. 2,296,806
Payable for Investment Securities Purchased ............... (1,629,750)
Other Liabilities ......................................... (103,289)
------------------
563,767
------------------
NET ASSETS -- (100.0%) Applicable to 25,966,928 Outstanding
$.01 Par Value Shares (Unlimited Number of Shares
Authorized) .............................................. $309,598,345
==================
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE .. $ 11.92
==================
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
See accompanying Notes to Financial Statements
10
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1995
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
<S> <C>
Investment Income
Dividends ............................................................. $ 3,644
Interest .............................................................. 216
---------
Total Investment Income ............................................ 3,860
---------
Expenses
Investment Advisory Services .......................................... 124
Accounting & Transfer Agent Fees ...................................... 103
Custodian's Fee ....................................................... 23
Legal Fees ............................................................ 3
Audit Fees ............................................................ 4
Shareholders' Reports ................................................. 4
Trustees' Fees and Expenses ........................................... 1
Other ................................................................. 6
---------
Total Expenses ..................................................... 268
---------
Net Investment Income ................................................. 3,592
---------
Net Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain on Investment Securities .............................. 4,997
Change in Unrealized Appreciation (Depreciation) of Investment Securities 40,700
---------
Net Gain on Investment Securities ....................................... 45,697
---------
Net Increase in Net Assets Resulting from Operations .................... $49,289
=========
</TABLE>
See accompanying Notes to Financial Statements
11
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
Six Months
Ended Year Ended
May 31, Nov. 30
1995 1994
------------ ------------
(Unaudited)
<S> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ................................................. $ 3,592 $ 5,301
Net Realized Gain (Loss) on Investment Securities ..................... 4,997 (5,273)
Change in Unrealized Appreciation (Depreciation) of Investment
Securities ......................................................... 40,700 (5,746)
------------ ------------
Net Increase (Decrease) in Net Assets Resulting from Operations .... 49,289 (5,718)
------------ ------------
Distributions From:
Net Investment Income ................................................. (1,858) (5,305)
Net Realized Gain ..................................................... -- --
------------ ------------
Total Distributions ................................................ (1,858) (5,305)
------------ ------------
Capital Share Transactions (1):
Shares Issued ......................................................... 134,547 124,500
Shares Issued in Lieu of Cash Distributions ........................... 1,615 4,545
Shares Redeemed ....................................................... (72,843) (9,445)
------------ ------------
Net Increase From Capital Share Transactions ....................... 63,319 119,600
------------ ------------
Total Increase ..................................................... 110,750 108,577
Net Assets
Beginning of Period ................................................... 198,848 90,271
------------ ------------
End of Period ......................................................... $309,598 $198,848
============ ============
(1) Shares Issued and Redeemed:
Shares Issued ......................................................... 12,781 11,986
Shares Issued in Lieu of Cash Distributions ........................... 157 446
Shares Redeemed ....................................................... (7,024) (900)
------------ ------------
5,914 11,532
============ ============
</TABLE>
See accompanying Notes to Financial Statements
12
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
Six Months
Ended Year Ended Feb. 19 to
May 31, Nov. 30 Nov. 30
1995 1994 1993
------------ ------------ ------------
(Unaudited)
<S> <C> <C> <C>
Net Asset Value, Beginning of Period ..................... $ 9.92 $ 10.59 $ 10.00
------------ ------------ ------------
Income from Investment Operations
- ---------------------------------
Net Investment Income .................................. 0.15 0.33 0.20
Net Gains (Losses) on Securities (Realized and
Unrealized) ......................................... 1.93 (0.65) 0.58
------------ ------------ ------------
Total from Investment Operations .................... 2.08 (0.32) 0.78
------------ ------------ ------------
Less Distributions
- ------------------
Net Investment Income .................................. (0.08) (0.35) (0.18)
Net Realized Gains ..................................... -- -- (0.01)
------------ ------------ ------------
Total Distributions ................................. (0.08) (0.35) (0.19)
------------ ------------ ------------
Net Asset Value, End of Period ........................... $ 11.92 $ 9.92 $ 10.59
============ ============ ============
Total Return ............................................. 21.13%# (3.13)% 7.79%#
Net Assets, End of Period (thousands). ................... $309,598 $198,848 $90,271
Ratio of Expenses to Average Net Assets .................. 0.22%* 0.22% 0.23%*
Ratio of Net Investment Income to Average Net Assets ..... 2.90%* 3.72% 3.75%*
Portfolio Turnover Rate. ................................. 24.15%* 39.33% 0.75%*
</TABLE>
- ------
*Annualized
#Non-Annualized
See accompanying Notes to Financial Statements
13
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
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
May 31, 1995, 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 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 May 31, 1995.
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 attribute to a Series
are directly charged. Common expenses are allocated using methods determined
by the Board of Directors.
14
<PAGE>
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. (the "Advisor") provides investment
advisory services to the Series. For the period ended May 31, 1995, the
Series' advisory fees were computed daily and paid monthly to the Advisor
based on an effective annual rate of 0.10 of 1%.
Certain officers of the Series are also officers, directors and
shareholders of the Advisor.
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 1995, the Series made the following
purchases and sales of investment securities other than U.S. Government
securities (amounts in thousands):
Purchases ....................... $87,598
Sales ........................... 29,077
E. INVESTMENT TRANSACTIONS:
At May 31, 1995, 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 ........ $39,906
Gross Unrealized Depreciation ........ (3,018)
-------
Net .................................. $36,888
=======
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 May 31, 1995, net assets consisted of (amounts in thousands):
Paid-In Capital ................................ $271,134
Undistributed Net Investment Income ............ 1,881
Accumulated Net Realized Loss .................. (305)
Unrealized Appreciation of Investment Securities 36,888
----------
$309,598
==========
15
