<PAGE>
===============================================================================
DIMENSIONAL INVESTMENT GROUP INC.
U.S. Large Cap Value Portfolio III
SEMI-ANNUAL
REPORT
Six Months Ended May 31, 1996
(Unaudited)
===============================================================================
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO III
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 III
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 1996
(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 (21,461,096 Shares, Cost $265,041) at Value ...................... $ 310,523
Receivable for Fund Shares Sold. ............................................. 228
Prepaid Expenses and Other Assets ............................................ 89
-----------
Total Assets ............................................................ 310,840
-----------
LIABILITIES:
Payable for Investment Securities Purchased .................................. 216
Payable for Fund Shares Redeemed ............................................. 12
Accrued Expenses ............................................................. 17
-----------
Total Liabilities ....................................................... 245
-----------
Net Assets ..................................................................... $ 310,595
===========
SHARES OUTSTANDING, $.01 PAR VALUE (Authorized 100,000,000) .................... 21,456,549
===========
Net Asset Value, Offering and Redemption Price Per Share ....................... $ 14.48
===========
NET ASSETS CONSIST OF:
Paid-In Capital ................................................................ $ 260,776
Undistributed Net Investment Income ............................................ 926
Undistributed Net Realized Gain ................................................ 3,411
Unrealized Appreciation of Investment Securities ............................... 45,482
-----------
Total Net Assets ........................................................ $ 310,595
===========
</TABLE>
See accompanying Notes to Financial Statements
1
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO III
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1996
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
<S> <C>
Investment Income
Income Distributions Received ......................................... $ 1,381
-------
Expenses
Administrative Services ............................................... 11
Accounting & Transfer Agent Fees ...................................... 7
Legal Fees ............................................................ 4
Audit Fees ............................................................ 2
Filing Fees ........................................................... 35
Shareholders' Reports ................................................. 7
Directors' Fees and Expenses .......................................... 3
Organization Costs .................................................... 3
Other ................................................................. 2
-------
Total Expenses ................................................... 74
-------
Net Investment Income ................................................. 1,307
-------
Net Realized and Unrealized Gain (Loss) on Investments
Capital Gain Distributions Received ..................................... 3,517
Net Realized Loss on Investment Securities .............................. (57)
Change in Unrealized Appreciation (Depreciation) of Investment Securities . 21,639
-------
Net Gain on Investment Securities ...................................... 25,099
-------
Net Increase in Net Assets Resulting from Operations .................... $26,406
=======
</TABLE>
See accompanying Notes to Financial Statements
2
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO III
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
Six Months February 3
Ended to
May 31, Nov. 30,
1996 1995
------------ ----------
(Unaudited)
Increase (Decrease) in Net Assets
<S> <C> <C>
Operations:
Net Investment Income ........................... $ 1,307 $ 2,380
Capital Gain Distributions Received. ............ 3,517 1,690
Net Realized Gain (Loss) on Investment Securities . (57) 2
Change in Unrealized Appreciation (Depreciation) of
Investment Securities ........................ 21,639 23,843
-------- --------
Net Increase in Net Assets Resulting from
Operations .............................. 26,406 27,915
-------- --------
Distributions From:
Net Investment Income. .......................... (389) (2,372)
Net Realized Gains .............................. (21) (1,720)
-------- --------
Total Distributions ........................ (410) (4,092)
-------- --------
Capital Share Transactions (1):
Shares Issued. .................................. 157,583 115,944
Shares Issued in Lieu of Cash Distributions ..... 189 3,465
Shares Redeemed ................................. (8,216) (8,189)
-------- --------
Net Increase From Capital Share Transactions .... 149,556 111,220
-------- --------
Total Increase ............................. 175,552 135,043
Net Assets
Beginning of Period ............................. 135,043 --
-------- --------
End of Period ................................... $310,595 $135,043
======== ========
(1) Shares Issued and Redeemed:
Shares Issued. .................................. 11,588 10,878
Shares Issued in Lieu of Cash Distributions ..... 15 269
Shares Redeemed ................................. (600) (693)
-------- --------
11,003 10,454
======== ========
</TABLE>
See accompanying Notes to Financial Statements
3
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO III
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
Six Months February 3
Ended To
May 31, Nov. 30,
1996 1995
----------- ----------
(Unaudited)
<S> <C> <C>
Net Asset Value, Beginning of Period...................... $ 12.92 $ 10.00
-------- --------
Income from Investment Operations
Net Investment Income ................................. 0.08 0.23
Net Gains (Losses) on Securities (Realized and
Unrealized).......................................... 1.52 3.09
-------- --------
Total from Investment Operations ...................... 1.60 3.32
-------- --------
Less Distributions
Net Investment Income ................................. (0.04) (0.23)
Net Realized Gains .................................... -- (0.17)
-------- --------
Total Distributions ................................... (0.04) (0.40)
-------- --------
Net Asset Value, End of Period .......................... $ 14.48 $ 12.92
======== ========
Total Return ............................................ 12.41%# 33.27%#
Net Assets, End of Period (thousands) ................... $310,595 $135,043
Ratio of Expenses to Average Net Assets (1) ............. 0.26%* 0.31%*
Ratio of Net Investment Income to Average Net Assets .... 1.14%* 2.82%*
Portfolio Turnover Rate ................................. N/A N/A
Average Commission 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.
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 U.S. Large Cap Value Portfolio III (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, 1996, the Portfolio owned 43% 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 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 presentation.
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 0.01 of 1%.
Certain officers of the Portfolio are also officers, directors and
shareholders of the Advisor.
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 (amounts in thousands):
Gross Unrealized Appreciation ........... $45,482
Gross Unrealized Depreciation ........... --
-------
Net ..................................... $45,482
=======
6
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENT OF NET ASSETS
THE U.S. LARGE CAP VALUE SERIES
MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
Shares Value+
------ ------
<S> <C> <C>
COMMON STOCKS -- (98.5%)
*AMR Corp. ....................... 91,000 $ 8,588,125
*#Advanced Micro Devices, Inc. .... 191,900 3,382,238
Aetna Life & Casualty Co. ....... 154,526 11,396,293
Ahmanson (H.F.) & Co. ........... 156,200 4,022,150
Alexander & Baldwin, Inc. ....... 60,900 1,564,369
Alleghany Corp. ................. 8,432 1,633,700
Allstate Corp. .................. 37,400 1,580,150
*Alumax, Inc. .................... 60,200 2,001,650
Ambac, Inc. ..................... 45,200 2,344,750
*Amdahl Corp. .................... 168,333 1,977,913
Amerada Hess Corp. .............. 110,800 6,315,600
American General Corp. .......... 279,300 9,915,150
American National Insurance Co. . 17,900 1,170,213
Apple Computer, Inc. ............ 166,400 4,336,800
Argonaut Group, Inc. ............ 32,100 1,019,175
Asarco, Inc. .................... 79,900 2,506,863
Avnet, Inc. ..................... 34,200 1,761,300
*BHC Communications, Inc. Class A 5,900 573,775
Ball Corp. ...................... 112,500 3,107,813
Bancorp Hawaii, Inc. ............ 54,800 1,993,350
Bank of Boston Corp. ............ 51,500 2,568,563
BankAmerica Corp. ............... 272,075 20,473,644
Bankers Trust New York Corp. .... 101,900 7,655,238
Bear Stearns Companies, Inc. .... 150,775 3,637,441
*Bethlehem Steel Corp. ........... 149,800 1,909,950
*Beverly Enterprises ............. 132,500 1,623,125
Block Drug Co., Inc. Class A .... 15,464 655,287
Borg Warner Automotive, Inc. .... 27,300 1,078,350
Bowater, Inc. ................... 52,600 2,071,125
*Burlington Industries, Inc. ..... 83,700 1,067,175
CIGNA Corp. ..................... 102,008 11,718,169
*CNA Financial Corp. ............. 83,100 8,310,000
CSX Corp. ....................... 255,700 12,657,150
*Cal Fed Bancorp, Inc. ........... 56,500 1,038,188
*Castle & Cooke, Inc. ............ 14,700 257,250
Centex Corp. .................... 36,400 1,096,550
Champion International Corp. .... 129,000 5,692,125
Chase Manhattan Corp. ........... 272,480 19,073,600
Chesapeake Corp. ................ 15,100 402,038
Chiquita Brands International,
Inc. ............................ 39,500 528,313
*Chris-Craft Industries, Inc. .... 29,259 1,195,962
Chrysler Corp. .................. 447,413 29,808,891
Cincinnati Financial Corp. ...... 72,960 4,345,680
Citizens Corp. .................. 14,000 255,500
Coca-Cola Enterprises, Inc. ..... 168,600 5,353,050
Comdicso, Inc. .................. 66,000 1,815,000
Commerce Bancshares, Inc. ....... 22,624 783,356
Commerce Group, Inc. ............ 44,800 980,000
Comsat Corp. Series 1 ........... 61,200 1,736,550
Conrail, Inc. ................... 109,000 7,657,250
Coors (Adolph) Co. Class B ...... 80,500 1,499,313
Countrywide Credit Industries,
Inc. ............................ 130,900 2,977,975
Cummins Engine Co., Inc. ........ 54,100 2,299,250
Cyprus Amax Minerals Co., Inc. .. 138,900 3,333,600
Diamond Shamrock, Inc. .......... 37,600 1,236,100
Dillard Department Stores, Inc.
Class A ......................... 135,300 5,412,000
*Dime Bancorp, Inc. .............. 134,100 1,676,250
Dole Food, Inc. ................. 44,100 1,664,775
<PAGE>
Shares Value+
------ ------
Enserch Corp. ................... 88,200 $ 1,907,325
Equitable Companies, Inc. ....... 47,500 1,145,938
*FHP International Corp. ......... 16,300 468,625
Federal-Mogul Corp. ............. 15,500 284,813
*Federated Department Stores, Inc. 261,000 9,037,125
Fina, Inc. Class A .............. 34,800 1,853,100
Finova Group, Inc. .............. 36,400 1,929,200
First Colony Corp. .............. 66,300 1,740,375
First Hawaiian, Inc. ............ 37,400 1,065,900
First of America Bank Corp. ..... 25,800 1,180,350
Florida East Coast Industries,
Inc. ............................ 11,400 1,001,775
Ford Motor Co. .................. 1,445,200 52,749,800
*Fruit of The Loom, Inc. Class A . 88,600 2,392,200
GATX Corp. ...................... 25,800 1,161,000
General Motors Corp. ............ 1,184,500 65,295,547
General Motors Corp. Class H .... 130,946 7,954,970
Georgia-Pacific Corp. ........... 112,700 8,142,575
Golden West Financial Corp. ..... 90,800 4,982,650
Goodyear Tire & Rubber Co. ...... 30,000 1,515,000
Great Atlantic & Pacific Tea Co.,
Inc. ............................ 49,200 1,685,100
Great Western Financial Corp. ... 182,800 4,204,400
Greenpoint Financial Corp. ...... 69,200 2,058,700
Helmerich & Payne, Inc. ......... 29,800 1,080,250
Inland Steel Industries, Inc. ... 65,600 1,418,600
International Paper Co. ......... 397,900 15,866,263
*International Speciality
Products, Inc. ................. 71,800 798,775
James River Corp. of Virginia ... 114,200 2,840,725
K Mart Corp. .................... 618,100 7,185,413
*LTV Corp. ....................... 141,500 1,821,813
Lafarge Corp. ................... 81,700 1,746,338
Lehman Brothers Holdings, Inc. .. 138,500 3,393,250
Liberty Corp. ................... 22,000 704,000
Lincoln National Corp. .......... 140,150 6,587,050
Loews Corp. ..................... 151,800 12,106,050
Longs Drug Stores Corp. ......... 13,000 557,375
Louisiana-Pacific Corp. ......... 139,000 3,422,875
MBIA, Inc. ...................... 55,800 4,247,775
MCI Communications Corp. ........ 333,400 9,689,438
Mead Corp. ...................... 69,800 3,751,750
Mercantile Stores Co., Inc. ..... 44,012 2,838,774
*Meyer (Fred), Inc. DE ........... 33,100 955,763
Mitchell Energy & Development
Corp. Class A ................... 28,200 521,700
Mitchell Energy & Development
Corp. Class B ................... 34,800 643,800
Morgan (J.P.) & Co., Inc. ....... 94,300 8,192,313
Murphy Oil Corp. ................ 57,700 2,546,013
*National Semiconductor Corp. .... 158,200 2,570,750
*Navistar International Corp. .... 101,300 1,050,988
*Nextel Communications Corp.
Class A ......................... 324,800 6,719,300
Norfolk Southern Corp. .......... 140,400 12,109,500
Occidental Petroleum Corp. ...... 429,200 11,105,550
Ogden Corp. ..................... 66,496 1,288,360
Ohio Casualty Corp. ............. 47,800 1,625,200
Old Republic International Corp. 109,050 2,385,469
Overseas Shipholding Group, Inc. 26,400 495,000
PHH Corp. ....................... 22,000 1,218,250
</TABLE>
7
<PAGE>
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------ ------
<S> <C> <C>
PNC Bank Corp. .................. 180,725 $ 5,489,522
Paccar, Inc. .................... 55,300 2,709,700
Paine Webber Group, Inc. ........ 76,300 1,669,063
Paul Revere Corp. ............... 57,500 1,577,656
Pennzoil Co. .................... 34,200 1,479,150
Potlatch Corp. .................. 38,300 1,579,875
Providian Corp. ................. 126,800 5,531,650
Pulte Corp. ..................... 35,700 999,600
*Quantum Corp. ................... 50,400 1,209,600
RJR Nabisco Holdings Corp. ...... 367,080 12,159,525
Rayonier, Inc. .................. 38,100 1,431,131
Republic New York Corp. ......... 61,700 3,902,525
Reynolds Metals Co. ............. 85,600 4,622,400
Ryder System, Inc. .............. 106,700 3,120,975
Safeco Corp. .................... 163,400 5,504,538
Saint Paul Companies, Inc. ...... 113,000 5,974,875
Salomon, Inc. ................... 143,200 5,996,500
Sensormatic Electronics Corp. ... 80,400 1,437,150
Smiths Food & Drug Centers, Inc.
Class B ......................... 15,400 356,125
Southern New England
Telecommunications Corp. ........ 42,800 1,845,750
Springs Industries, Inc. Class A 25,400 1,177,925
St. Joe Paper Co. ............... 35,000 2,248,750
Standard Federal Bancorporation,
Inc. ............................ 15,100 594,563
Stone Container Corp. ........... 132,900 2,059,950
*Storage Technology Corp. ........ 61,100 2,092,675
Sun Company, Inc. ............... 64,080 1,962,450
TIG Holdings, Inc. .............. 75,300 2,259,000
*Tandem Computers, Inc. .......... 158,100 1,976,250
#Tecumseh Products Co. Class A ... 20,300 1,154,563
Tecumseh Products Co. Class B ... 3,500 189,000
Telephone & Data Systems, Inc. .. 56,000 2,443,000
Temple-Inland, Inc. ............. 74,200 3,654,350
Textron, Inc. ................... 37,500 3,178,125
Timken Co. ...................... 41,800 1,645,875
Transamerica Corp. .............. 91,400 7,403,400
Tyson Foods, Inc. Class A ....... 113,500 2,787,844
UMB Financial Corp. ............. 27,030 1,020,383
*USAir Group, Inc. ............... 12,300 242,925
USF&G Corp. ..................... 158,500 2,536,000
USLIFE Corp. .................... 46,400 1,392,000
USX-Marathon Group, Inc. ........ 356,750 7,803,906
USX-US Steel Group .............. 112,000 3,472,000
Union Camp Corp. ................ 92,400 4,862,550
Union Pacific Corp. ............. 104,800 7,349,100
Unionbancal Corp. ............... 46,200 2,396,625
*Unisys Corp. .................... 228,000 1,852,500
*#United States Cellular Corp. .... 64,800 2,049,300
Unitrin, Inc. ................... 51,900 2,484,713
<PAGE>
Shares Value+
------ ------
Valero Energy Corp. ............. 57,900 $ 1,592,250
Valhi, Inc. ..................... 46,000 322,000
Washington Mutual, Inc. ......... 91,900 2,636,381
Wellman, Inc. ................... 44,600 1,009,075
Wesco Financial Corp. ........... 8,500 1,530,000
Westvaco Corp. .................. 136,750 4,376,000
*Woolworth Corp. ................. 158,500 3,249,250
*Zurich Reinsurance Centre
Holdings, Inc. .................. 33,900 1,082,681
------------
TOTAL COMMON STOCKS
(Cost $611,932,566) .............. 714,660,767
------------
Face
Amount
------
(000)
TEMPORARY CASH INVESTMENTS --
(1.1%)
Repurchase Agreement, PNC
Securities Corp. 5.05%, 06/03/96
(Collateralized by U.S. Treasury
Notes 6.50%, 09/30/96)
(Cost $8,034,000) ............... $ 8,034 8,034,000
------------
TOTAL INVESTMENTS -- (99.6%)
(Cost $619,966,566) .............. 722,694,767
------------
OTHER ASSETS AND LIABILITIES --
(0.4%)
Other Assets .................... 3,208,776
Payable for Investment Securities
Purchased .................... (34,362)
Other Liabilities ............... (133,052)
------------
3,041,362
------------
NET ASSETS -- (100.0%) Applicable
to 50,157,608 Outstanding $.01
Par Value Shares (Unlimited
Number of Shares Authorized) .... $725,736,129
============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE ...... $ 14.47
============
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
See accompanying Notes to Financial Statements
8
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1996
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
<S> <C>
Investment Income
Dividends .......................................................... $ 7,452
Interest ........................................................... 410
Income From Securities Lending ..................................... 14
-------
Total Investment Income ....................................... 7,876
-------
Expenses
Investment Advisory Services ....................................... 289
Accounting & Transfer Agent Fees ................................... 195
Custodian's Fee .................................................... 54
Legal Fees ......................................................... 5
Audit Fees ......................................................... 9
Shareholders' Reports .............................................. 5
Trustees' Fees and Expenses ........................................ 3
Other .............................................................. 8
-------
Total Expenses ................................................ 568
-------
Net Investment Income ......................................... 7,308
-------
Net Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain on Investment Securities .............................. 22,460
Change in Unrealized Appreciation (Depreciation) of Investment Securities . 38,066
-------
Net Gain on Investment Securities ..................................... 60,526
-------
Net Increase in Net Assets Resulting from Operations .................... $67,834
=======
</TABLE>
See accompanying Notes to Financial Statements
9
<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 Year
Ended Ended
May 31, Nov. 30,
1996 1995
----------- --------
(Unaudited)
Increase (Decrease) in Net Assets
<S> <C> <C>
Operations:
Net Investment Income ............................ $ 7,308 $ 8,688
Net Realized Gain on Investment Securities ....... 22,460 21,645
Change in Unrealized Appreciation (Depreciation) of
Investment Securities ......................... 38,066 68,474
-------- --------
Net Increase in Net Assets Resulting from
Operations ............................... 67,834 98,807
-------- --------
Distributions From:
Net Investment Income ............................ (3,543) (8,440)
Net Realized Gains ............................... (11,101) (5,278)
-------- --------
Total Distributions ......................... (14,644) (13,718)
-------- --------
Capital Share Transactions (1):
Shares Issued .................................... 279,495 209,434
Shares Issued in Lieu of Cash Distributions ...... 13,910 11,274
Shares Redeemed .................................. (43,886) (81,618)
-------- --------
Net Increase From Capital Share Transactions . 249,519 139,090
-------- --------
Total Increase .............................. 302,709 224,179
Net Assets
Beginning of Period .............................. 423,027 198,848
-------- --------
End of Period .................................... $725,736 $423,027
======== ========
(1) Shares Issued and Redeemed:
Shares Issued .................................... 20,440 18,580
Shares Issued in Lieu of Cash Distributions ...... 1,105 1,049
Shares Redeemed .................................. (3,212) (7,857)
-------- --------
18,333 11,772
======== ========
</TABLE>
See accompanying Notes to Financial Statements
10
<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 Year Year Feb. 19
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 ........ $ 13.29 $ 9.92 $ 10.59 $ 10.00
-------- -------- -------- -------
Income from Investment Operations
Net Investment Income ..................... 0.16 0.32 0.33 0.20
Net Gains (Losses) on Securities
(Realized and Unrealized) .............. 1.45 3.53 (0.65) 0.58
-------- -------- -------- -------
Total from Investment Operations .......... 1.61 3.85 (0.32) 0.78
Less Distributions
Net Investment Income ..................... (0.09) (0.31) (0.35) (0.18)
Net Realized Gains ........................ (0.34) (0.17) -- (0.01)
-------- -------- -------- -------
Total Distributions ....................... (0.43) (0.48) (0.35) (0.19)
-------- -------- -------- -------
Net Asset Value, End of Period .............. $ 14.47 $ 13.29 $ 9.92 $ 10.59
======== ======== ======== =======
Total Return ................................ 12.44%# 39.26% (3.13)% 7.79%#
Net Assets, End of Period (thousands) ....... $725,736 $423,027 $198,848 $90,271
Ratio of Expenses to Average Net Assets ..... 0.20%* 0.21% 0.22% 0.23%*
Ratio of Net Investment Income to Average Net
Assets .................................... 2.52%* 2.84% 3.72% 3.75%*
Portfolio Turnover Rate ..................... 24.13%* 29.41% 39.33% 0.75%*
Average Commission Rate (1) ................. $ 0.0495 N/A N/A N/A
</TABLE>
- ------
* Annualized
# Non-Annualized
(1) Computed by dividing the total amount of brokerage commissions paid by
the total shares of investment securities purchased and sold during the
period for which commissions were charged, as required by the SEC for
fiscal years beginning after September 1, 1995.
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
Corporate Fixed Income Series, The DFA Two-Year Government Series, The DFA
Two-Year Global Fixed Income 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 U.S. Large Cap Value Series (the "Series").
U.S. Large Cap Value Portfolio III 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, 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>
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 0.10 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, 1996, the Series made the following
purchases and sales of investment securities (amounts in thousands):
Purchases ........................ $304,808
Sales ........................... 68,221
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 ..... $107,567
Gross Unrealized Depreciation ..... (4,839)
--------
Net .............................. $102,728
========
F. COMPONENTS OF NET ASSETS:
At May 31, 1996, net assets consisted of (amounts in thousands):
Paid-In Capital ................................. $596,424
Undistributed Net Investment Income ............. 4,160
Undistributed Net Realized Gain ................. 22,424
Unrealized Appreciation of Investment Securities . 102,728
--------
$725,736
========
G. SECURITIES LENDING
Loans of domestic securities are required at all times to be secured by
collateral at least equal to 102% of the market value of the securities on
loan. However, in the event of default or bankruptcy by the other party to
the agreement, realization and/or retention of the collateral may be subject
to legal proceedings. In the event that the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is
insufficient to cover the value of loaned securities, and provided such
collateral insufficiency is not the result of investment losses, the lending
agent has agreed to pay the amount of the shortfall to the Series or, at the
option of the lending agent, replace the loaned securities. The market value
of securities on loan to brokers from the Series is $1,687,800 and the
related collateral cash, and indemnification received is $1,772,556 at May
31, 1996.
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