<PAGE>
===============================================================================
DIMENSIONAL INVESTMENT GROUP INC.
DFA One-Year Fixed Income Portfolio II
SEMI-ANNUAL
REPORT
Six Months Ended May 31, 1996
(Unaudited)
===============================================================================
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
DFA ONE-YEAR FIXED INCOME PORTFOLIO II
SEMI-ANNUAL REPORT
(UNAUDITED)
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 DFA One-Year Fixed Income 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.
DFA ONE-YEAR FIXED INCOME PORTFOLIO II
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 1996
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<TABLE>
<CAPTION>
<S> <C>
ASSETS:
Investment in The DFA One-Year Fixed Income Series of The DFA Investment Trust
Company (286,412 Shares Cost $2,855) at Value ............................... $ 2,856
Other Receivable ................................................................ 15
Receivable for Investment Securities Sold ....................................... 1
Receivable for Fund Shares Sold ................................................. 1
Prepaid Expenses and Other Assets ............................................... 33
--------
Total Assets ............................................................... 2,906
--------
LIABILITIES:
Payable for Fund Shares Redeemed ................................................ 2
Accrued Expenses ................................................................ 21
--------
Total Liabilities .......................................................... 23
--------
Net Assets ........................................................................ $ 2,883
========
SHARES OUTSTANDING, $.01 PAR VALUE (Authorized 100,000,000) ....................... 284,097
========
Net Asset Value, Offering and Redemption Price Per Share .......................... $ 10.15
========
NET ASSETS CONSIST OF:
Paid-In Capital ................................................................. $ 2,875
Undistributed Net Investment Income ............................................. 7
Unrealized Appreciation of Investment Securities ................................ 1
--------
Total Net Assets ........................................................... $ 2,883
========
</TABLE>
See accompanying Notes to Financial Statements
1
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
DFA ONE-YEAR FIXED INCOME PORTFOLIO II
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1996
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
<S> <C>
Investment Income
Income Distributions Received ............................................ $ 36
----
Expenses
Administrative Services .................................................. 1
Accounting & Transfer Agent Fees ......................................... 7
Legal Fees ............................................................... 5
Audit Fees ............................................................... 2
Filing Fees .............................................................. 5
Shareholder Services ..................................................... 2
Shareholders' Reports .................................................... 4
Directors' Fees and Expenses ............................................. 3
Organization Costs ....................................................... 4
Other .................................................................... 1
----
Total Expenses ...................................................... 34
Less: Fees Waived and Expenses Reimbursed ................................ (29)
----
Net Expenses ............................................................... 5
----
Net Investment Income ...................................................... 31
----
Net Realized and Unrealized Gain (Loss) on Investments
Change in Unrealized Appreciation (Depreciation) of Investment Securities .. (2)
----
Net Loss on Investment Securities ......................................... (2)
----
Net Increase in Net Assets Resulting from Operations ....................... $ 29
====
See accompanying Notes to Financial Statements
</TABLE>
2
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
DFA ONE-YEAR FIXED INCOME PORTFOLIO II
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
Six Months February 9
Ended to
May 31, Nov. 30,
1996 1995
------------ ------------
(Unaudited)
<S> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ............................ $ 31 $ 7
Change in Unrealized Appreciation (Depreciation) of
Investment Securities ......................... (2) 3
------ ----
Net Increase in Net Assets Resulting from
Operations ............................... 29 10
------ ----
Distributions From:
Net Investment Income ............................ (24) (7)
------ ----
Capital Share Transactions (1):
Shares Issued .................................... 2,477 640
Shares Issued in Lieu of Cash Distributions ...... 24 7
Shares Redeemed .................................. (192) (81)
------ ----
Net Increase From Capital Share Transactions . 2,309 566
------ ----
Total Increase ............................. 2,314 569
Net Assets
Beginning of Period .............................. 569 --
------ ----
End of Period. ................................... $2,883 $569
====== ====
(1) Shares Issued and Redeemed:
Shares Issued .................................... 245 63
Shares Issued in Lieu of Cash Distributions ...... 2 1
Shares Redeemed .................................. (19) (8)
------ ----
228 56
====== ====
</TABLE>
See accompanying Notes to Financial Statements
3
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
DFA ONE-YEAR FIXED INCOME PORTFOLIO II
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
Six Months February 9,
Ended To
May 31, Nov. 30,
1996 1995
------------ -------------
(Unaudited)
<S> <C> <C>
Net Asset Value, Beginning of Period .................... $10.16 $10.00
------ ------
Income from Investment Operations
Net Investment Income ................................. 0.21 0.24
Net Gains (Losses) on Securities (Realized and
Unrealized).......................................... (0.04) 0.16
------ ------
Total from Investment Operations ........................ 0.17 0.40
------ ------
Less Distributions
Net Investment Income ................................. (0.18) (0.24)
------ ------
Net Asset Value, End of Period .......................... $10.15 $10.16
====== ======
Total Return ............................................ 1.74%# 4.09%#
Net Assets, End of Period (thousands) ................... $2,883 $ 569
Ratio of Expenses to Average Net Assets (1) ............. 0.75%*(a) 2.50%*(a)
Ratio of Net Investment Income to Average Net Assets .... 4.27%*(a) 2.80%*(a)
Portfolio Turnover Rate ................................. N/A N/A
</TABLE>
- ------
(Adjusted to reflect a 900% stock dividend as of January 2, 1996.)
* 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, 1996 and
November 30, 1995 would have been 4.75% and 17.81% respectively and the
ratios of net investment income to average net assets for the periods
ended May 31, 1996 and November 30, 1995 would have been 0.27% and
(12.60)%, 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, 1996, Dimensional Investment Group Inc. (the "Fund") consisted
of eleven 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, RWB/DFA U.S. High Book to Market Portfolio, DFA One-Year Fixed
Income Portfolio II, RWB/DFA Two-Year Corporate Fixed Income Portfolio,
RWB/DFA Two-Year Government Portfolio, The DFA International Value Portfolio,
DFA International Value Portfolio II and DFA International Value Portfolio
III (the "Portfolios"). At May 31, 1996, RWB/DFA U.S. High Book to Market
Portfolio, RWB/DFA Two-Year Corporate Fixed Income Portfolio and RWB/DFA
Two-Year Government Portfolio had not yet commenced operations. 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 DFA One-Year Fixed Income 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 DFA One-Year Fixed Income
Series (the "Series"), a corresponding series of The DFA Investment Trust
Company. At May 31, 1996, 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.
On December 20, 1995, the Board of Directors of Dimensional Investment
Group Inc. approved a 900% stock dividend under Maryland Corporate Law which
is treated as a 10 for 1 stock split for financial reporting purposes for the
Portfolio. The record date of the stock dividend was January 1, 1996, and the
ex-date and payable date were January 2, 1996. This was a tax-free event to
the shareholders of the Portfolio. All share and per share data as of and for
the period ended November 30, 1995 has been restated to reflect the stock
dividend.
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.
Certain prior period amounts have been restated to conform with current
period presentations.
5
<PAGE>
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, 1996, the
Portfolio's administrative 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 Portfolio are also officers, directors and
shareholders of the Advisor.
Effective December 1, 1995, 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
0.75% of average daily net assets. Prior to that date the Advisor agreed to
waive its fees and reimburse the Portfolio to the extent necessary to keep
the annual combined expenses to not more than 2.50% of average daily net
assets.
D. INVESTMENTS:
At May 31, 1996, gross unrealized appreciation and depreciation for
financial reporting and federal income tax purposes of investment securities
was as follows:
Gross Unrealized Appreciation .... $ 1
Gross Unrealized Depreciation .... --
---
Net .............................. $ 1
===
6
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENT OF NET ASSETS
THE DFA ONE-YEAR FIXED INCOME SERIES
MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
Face
Amount Value+
--------- --------------
(000)
<S> <C> <C>
COMMERCIAL PAPER -- (44.5%)
AIG Funding, Inc. C.P.
5.300%, 06/07/96 ................... $ 2,200 $ 2,197,737
Anheuser-Busch Companies, Inc. C.P. .
5.320%, 06/03/96 ................... 9,000 8,996,032
5.300%, 06/03/96 ................... 10,000 9,995,591
Banc One Corp. C.P.
5.330%, 06/03/96 ................... 2,000 1,999,118
5.300%, 07/08/96 ................... 22,000 21,877,154
Barton Capital Corp. C.P.
5.300%, 06/14/96 ................... 1,000 997,931
5.310%, 06/24/96 ................... 2,000 1,992,947
Beta Finance, Inc. C.P.
5.330%, 06/10/96 ................... 10,000 9,985,305
5.320%, 06/10/96 ................... 1,000 998,531
5.300%, 06/25/96 ................... 850 846,877
5.300%, 07/12/96 ................... 3,000 2,981,485
Caisse des Depots et
Consignations C.P.
5.300%, 07/08/96 ................... 2,000 1,988,832
Cargill, Inc. C.P. ..................
5.300%, 06/03/96 ................... 14,000 13,993,827
5.280%, 06/05/96 ................... 9,850 9,842,762
Ciesco L.P. C.P.
5.290%, 06/14/96 ................... 10,000 9,979,427
Corporate Asset Funding Corp. C.P.
5.320%, 06/14/96 ................... 6,000 5,987,656
5.280%, 07/17/96 ................... 8,000 7,944,749
5.300%, 07/19/96 ................... 1,000 992,800
Delaware Funding Corp. C.P.
5.280%, 06/07/96 ................... 21,000 20,978,397
5.280%, 06/21/96 ................... 1,518 1,513,316
5.310%, 07/08/96 ................... 1,000 994,416
Export Development Corp. C.P.
5.300%, 06/03/96 ................... 11,000 10,995,150
France Telecom C.P.
5.300%, 06/06/96 ................... 16,850 16,835,143
Glaxo Wellcome P.L.C. C.P.
5.300%, 08/12/96 ................... 5,000 4,945,960
McKenna Triangle National Corp. C.P.
5.310%, 06/17/96 ................... 7,000 6,982,513
5.310%, 07/03/96 ................... 8,000 7,961,280
5.300%, 07/23/96 ................... 1,000 992,212
Michelin Tire Corp. C.P.
5.280%, 06/07/96 ................... 4,842 4,837,019
5.280%, 06/14/96 ................... 13,000 12,973,255
National Rural Utilities Cooperative
Finance Corp. C.P.
5.280%, 06/12/96 ................... 13,000 12,977,076
Nestle Capital Corp. C.P.
5.200%, 06/04/96 ................... 24,000 23,985,893
Paccar Financial Corp. C.P.
5.250%, 06/03/96 ................... 2,000 1,999,118
Sheffield Receivables Corp. C.P.
5.300%, 06/05/96 ................... 16,800 16,787,656
5.300%, 06/20/96 ................... 5,850 5,832,807
Sigma Finance Corp. C.P.
5.350%, 06/05/96 ................... 3,100 3,097,722
<PAGE>
Face
Amount Value+
--------- --------------
(000)
5.320%, 06/28/96 ................... $ 2,500 $ 2,489,733
5.310%, 07/08/96 ................... 3,650 3,629,619
St. Michael Finance Ltd. C.P.
5.310%, 07/11/96 ................... 13,850 13,766,557
Stanley Works C.P. ..................
5.290%, 06/10/96 ................... 3,250 3,245,197
5.320%, 07/19/96 ................... 6,000 5,956,798
Triple A One Plus Funding Corp. C.P.
5.300%, 06/07/96 ................... 12,000 11,987,656
5.310%, 07/10/96 ................... 12,000 11,929,466
USAA Capital Corp. C.P.
5.330%, 06/03/96 ................... 13,000 12,994,268
5.310%, 06/06/96 ................... 7,200 7,193,652
United Parcel Service C.P.
5.300%, 06/07/96 ................... 2,825 2,822,094
Wal-Mart Stores, Inc. C.P.
5.270%, 06/04/96 ................... 24,000 23,985,893
--------------
TOTAL COMMERCIAL PAPER
(Cost $368,340,726) ................ 368,288,627
--------------
BONDS AND CERTIFICATES OF DEPOSIT --
(30.4%)
Associates Corp. of North America
Medium Term Notes
6.710%, 08/11/97 ................... 6,000 6,034,992
8.125%, 01/15/98 ................... 10,367 10,629,213
Bankers Trust N.Y., Inc. Corporate
Bonds
4.700%, 07/01/96 ................... 11,200 11,192,149
Bayerische Landesbank U.S. Finance,
Inc. Medium Term Notes
5.800%, 10/21/97 ................... 1,350 1,338,985
Canada (Government of) Bonds
5.825%, 03/26/98 ................... 23,000 22,835,826
Chevron Canada Financial, Ltd. Medium
Term Notes
5.600%, 04/01/98 ................... 6,600 6,507,138
Chubb Capital Corp. Corporate Bonds
6.000%, 02/01/98 ................... 5,000 4,964,445
FCC National Bank Medium Term Notes
6.000%, 04/02/98 ................... 23,000 22,834,515
Ford Motor Credit Co. Medium Term
Notes
6.250%, 02/26/98 ................... 21,850 21,744,836
General Electric Capital Corp. Medium
Term Notes
7.875%, 11/15/97 ................... 16,000 16,311,184
8.700%, 02/09/98 ................... 4,000 4,139,648
7.050%, 03/27/98 ................... 4,750 4,795,334
IBM Credit Corp. Medium Term Notes
6.375%, 05/11/98 ................... 24,000 23,963,040
KFW International Finance, Inc.
Medium Term Notes
8.250%, 03/18/98 ................... 6,650 6,853,304
National Rural Utilities Cooperative
Finance Corp. Medium Term Notes
8.500%, 02/15/98 ................... 9,850 10,177,660
</TABLE>
7
<PAGE>
THE DFA ONE-YEAR FIXED INCOME SERIES
CONTINUED
<TABLE>
<CAPTION>
Face
Amount Value+
--------- --------------
(000)
<S> <C> <C>
Norwest Corp. Medium Term Notes
7.700%, 11/15/97 ................... $ 3,000 $ 3,055,326
Ontario Hydro Medium Term Notes
5.800%, 03/31/98 ................... 17,850 17,635,443
Paccar Financial Corp. Medium Term
Notes
4.500%, 07/01/96 ................... 5,000 4,996,100
4.800%, 08/20/96 ................... 5,000 4,992,265
8.090%, 11/14/97 ................... 3,910 3,999,105
Rabobank Nederland Deposit Notes
6.390%, 06/25/96 ................... 4,000 4,002,532
Society National Bank, Cleveland Bank
Note
6.125%, 11/21/97 ................... 24,000 23,941,223
WMX Technologies, Inc. Corporate
Bonds
4.875%, 06/15/96 ................... 15,000 14,996,400
-------------
TOTAL BONDS AND CERTIFICATES OF
DEPOSIT (Cost $253,219,441) 251,940,663
-------------
U.S. TREASURY OBLIGATIONS -- (10.8%)
U.S. Treasury Notes
6.000%, 08/31/97 ................... 22,000 21,982,818
5.625%, 08/31/97 ................... 22,000 21,890,000
7.375%, 11/15/97 ................... 23,000 23,388,125
5.000%, 01/31/98 ................... 23,000 22,568,750
-------------
TOTAL U.S. TREASURY
OBLIGATIONS
(Cost $90,230,932) 89,829,693
-------------
AGENCY OBLIGATIONS -- (3.8%)
Federal Home Loan Bank
5.715%, 03/20/98 ................... 22,000 21,786,886
Student Loan Marketing Association
7.000%, 03/03/98 ................... 9,400 9,499,640
-------------
TOTAL AGENCY OBLIGATIONS (Cost
$31,554,168) 31,286,526
-------------
SUPRANATIONAL OBLIGATIONS -- (0.7%)
African Development Bank
(Cost $5,639,071)
10.000%, 11/01/97 .................. 5,345 5,609,235
-------------
<PAGE>
Face
Amount Value+
--------- --------------
(000)
REPURCHASE AGREEMENTS -- (9.8%)
Goldman, Sachs & Co. 5.15%, 06/03/96
(Collateralized by U.S. Treasury
Bonds 11.75%, 02/15/10) ............ $24,000 $ 24,000,000
Merrill Lynch, Pierce, Fenner &
Smith, Inc. 5.20%, 06/03/96
(Collateralized by U.S. Treasury
Notes 7.25%, 08/31/06) ............. 24,000 24,000,000
Morgan (J.P.) Securities, Inc. 5.30%,
06/03/96 (Collateralized by U.S.
Treasury Bonds 7.125%, 02/15/23) ... 24,000 24,000,000
PNC Securities Corp. 5.05%, 06/03/96
(Collateralized by U.S. Treasury
Notes 6.50%, 09/30/96) ............. 8,711 8,711,000
-----------
TOTAL REPURCHASE AGREEMENTS
(Cost $80,711,000) ................. 80,711,000
-----------
TOTAL INVESTMENTS -- (100.0%)
(Cost $829,695,338) ................ 827,665,744
-----------
OTHER ASSETS AND LIABILITIES -- (0.0%)
Other Assets ........................ 4,819,043
Payable for Fund Shares Redeemed .... (4,887,631)
Other Liabilities ................... (91,556)
-----------
(160,144)
-----------
NET ASSETS -- (100.0%) Applicable to
82,988,401 Outstanding $.01 Par
Value Shares (Unlimited Number of
Shares Authorized) ................. $827,505,600
============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE ......... $ 9.97
============
</TABLE>
- ------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements
8
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE DFA ONE-YEAR FIXED INCOME SERIES
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1996
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
<S> <C>
Investment Income
Interest ........................................................... $21,296
-------
Expenses
Investment Advisory Services ....................................... 189
Accounting & Transfer Agent Fees ................................... 98
Custodian's Fee .................................................... 47
Legal Fees ......................................................... 3
Audit Fees ......................................................... 6
Shareholders' Reports .............................................. 3
Trustees' Fees and Expenses ........................................ 1
Other .............................................................. 9
-------
Total Expenses ................................................ 356
-------
Net Investment Income ......................................... 20,940
-------
Net Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain on Investment Securities .............................. 25
Change in Unrealized Appreciation (Depreciation) of Investment Securities . (2,325)
-------
Net Loss on Investment Securities ..................................... (2,300)
-------
Net Increase in Net Assets Resulting from Operations .................... $18,640
=======
</TABLE>
See accompanying Notes to Financial Statements
9
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE DFA ONE-YEAR FIXED INCOME SERIES
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
Six Months Year
Ended Ended
May 31, Nov. 30
1996 1995
------------ -----------
(Unaudited)
<S> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ......................... $ 20,940 $ 37,419
Net Realized Gain on Investment Securities .... 25 2,292
Change in Unrealized Appreciation (Depreciation)
of Investment Securities .................... (2,325) 7,204
-------- ---------
Net Increase in Net Assets Resulting from
Operations ............................. 18,640 46,915
-------- ---------
Distributions From:
Net Investment Income ......................... (20,331) (36,973)
-------- ---------
Capital Share Transactions (1):
Shares Issued ................................. 194,381 243,191
Shares Issued in Lieu of Cash Distributions ... 14,162 26,791
Shares Redeemed ............................... (84,900) (166,656)
-------- ---------
Net Increase From Capital Share Transactions 123,643 103,326
-------- ---------
Total Increase ........................... 121,952 113,268
Net Assets
Beginning of Period ........................... 705,554 592,286
-------- ---------
End of Period ................................. $827,506 $ 705,554
======== =========
(1) Shares Issued and Redeemed:
Shares Issued ................................. 19,482 24,470
Shares Issued in Lieu of Cash Distributions ... 1,425 2,710
Shares Redeemed ............................... (8,506) (16,810)
-------- ---------
12,401 10,370
======== =========
</TABLE>
See accompanying Notes to Financial Statements
10
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE DFA ONE-YEAR FIXED INCOME SERIES
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
Six Months Year Year March 2
Ended Ended Ended to
May 31, Nov. 30, Nov. 30, Nov. 30,
1996 1995 1994 1993
------------ ---------- ---------- ----------
(Unaudited)
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of Period .... $ 10.00 $ 9.84 $ 10.06 $ 10.00
------- -------- -------- --------
Income from Investment Operations
Net Investment Income .............. 0.27 0.60 0.44 0.31
Net Gains (Losses) on Securities
(Realized and Unrealized) ........ (0.03) 0.16 (0.18) 0.03
------- -------- -------- --------
Total from Investment Operations ... 0.24 0.76 0.26 0.34
------- -------- -------- --------
Less Distributions
Net Investment Income .............. (0.27) (0.60) (0.43) (0.28)
Net Realized Gains ................. -- -- (0.05) --
------- -------- -------- --------
Total Distributions ..................... (0.27) (0.60) (0.48) (0.28)
------- -------- -------- --------
Net Asset Value, End of Period .......... $ 9.97 $ 10.00 $ 9.84 $ 10.06
======= ======== ======== ========
Total Return ............................ 2.51%# 7.91% 2.61% 3.39%#
Net Assets, End of Period (thousands) ... $827,506 $705,554 $592,286 $608,428
Ratio of Expenses to Average Net Assets . 0.09%* 0.10% 0.10% 0.10%*
Ratio of Net Investment Income to Average
Net Assets ............................ 5.54%* 6.04% 4.41% 3.80%*
Portfolio Turnover Rate ................. 117.72%* 81.31% 140.82% 111.67%*
</TABLE>
- ------
(Adjusted to reflect a 900% stock dividend as of January 2, 1996)
*Annualized
#Non-Annualized
See accompanying Notes to Financial Statements
11
<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, 1996, The Trust consisted of eleven investment portfolios: The U.S.
6-10 Small Company Series, The U.S. Large Company Series, The Enhanced 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 Two-Year Global
Fixed Income Series, The DFA Two-Year Corporate Fixed Income Series, The DFA
Two-Year Government Series, The DFA International Value Series and The
Emerging Markets Series. At May 31, 1996, The Enhanced U.S. Large Company
Series, The DFA Two-Year Corporate Fixed Income Series and The DFA Two-Year
Government Series had not yet commenced operations. These financial
statements relate solely to The DFA One-Year Fixed Income Series (the
"Series").
DFA One-Year Fixed Income Portfolio II invests solely in the Series. The
Series also issues its shares to other investors.
On December 20, 1995, the Board of Trustees of The DFA Investment Trust
Company (the Board ) approved a 900% stock dividend upon Delaware Trust Law
which is treated as a 10 for 1 stock split for financial reporting purposes,
for the Series. The record date of the stock dividend as January 1, 1996, and
the ex-date and payable dates were January 2, 1996. This was a tax-free event
to the shareholders of the Series. All share and per share data as of end for
the period ended November 30, 1995 and all prior periods have been restated
to reflect the stock dividend.
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 are valued on the
basis of prices provided by a pricing service when such prices are believed
to reflect the fair market value of such securities.
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, 1996.
4. 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.
12
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. (the "Advisor") provides investment
advisory services to the Series. For the six months ended May 31, 1996, the
Series' advisory fees were computed daily and paid monthly to the Advisor
based on an effective annual rate of 0.05 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, 1996, the Series made the following
purchases and sales of investment securities (amounts in thousands):
Other
U.S. Government Investment
Securities Securities
--------------- ----------
Purchases .................. $90,273 $250,510
Sales ...................... -- 128,970
E. INVESTMENT TRANSACTIONS:
At May 31, 1996, 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 ...... $ 37
Gross Unrealized Depreciation ...... (2,067)
-------
Net ................................ $(2,030)
=======
At November 30, 1995, the Series had a capital loss carryover for federal
income tax purposes of approximately $2,731,000.
F. COMPONENTS OF NET ASSETS:
At May 31, 1996, net assets consisted of (amounts in thousands):
Paid-In Capital ................................. $828,399
Undistributed Net Investment Income ............. 3,851
Accumulated Net Realized Loss ................... (2,714)
Unrealized Depreciation of Investment Securities . (2,030)
--------
$827,506
========
13
