<PAGE>
================================================================================
DIMENSIONAL INVESTMENT GROUP INC.
DFA One-Year Fixed Income Portfolio II
ANNUAL REPORT
Period Ended November 30, 1995
================================================================================
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
DFA ONE-YEAR FIXED INCOME PORTFOLIO II
ANNUAL REPORT
TABLE OF CONTENTS
Page
-------
Dimensional Investment Group Inc.
Performance Chart ................................................ 1
Statement of Assets and Liabilities .............................. 2
Statement of Operations .......................................... 3
Statement of Changes in Net Assets ............................... 4
Financial Highlights ............................................. 5
Notes to Financial Statements .................................... 6-7
Report of Independent Accountants ................................ 8
The DFA Investment Trust Company -- The DFA One-Year Fixed Income Series
Performance Chart ................................................ 9
Statement of Net Assets .......................................... 10-11
Statement of Operations .......................................... 12
Statements of Changes in Net Assets .............................. 13
Financial Highlights ............................................. 14
Notes to Financial Statements .................................... 15-16
Report of Independent Accountants ................................ 17
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.
PERFORMANCE CHART
==============================================================================
DFA One-Year Fixed Income Portfolio II vs.
One Month CD's
February 1995-November 1995
The following reflects the growth of a $10,000 investment.
DFA One-Year One
Fixed Month
Income II CD's
------------ ------
9501 10000 10000
9502 10068 10041
9503 10126.39 10087.19
9504 10172.98 10128.55
9505 10250.29 10177.16
9506 10281.04 10221.94
9507 10308.8 10267.94
9508 10329.42 10313.12
9509 10349.04 10355.4
9510 10380.09 10403.04
9511 10411.23 10447.77
From
Total Return (%) February 1995
- ------------------------------------------------------------------------------
4.11
* The portfolio maximizes expected
returns by investing in the DFA
One-Year Fixed Income Series of the
DFA Investment Trust Company which
uses a strategy of shifting maturities
based on changes in the yield curve.
Using current prices, the strategy
creates a matrix of expected returns
from different buy and sell
strategies and identifies the optimal
maturity range for the highest
expected returns. Issues which meet
maturity and quality level are
further evaluated for business risk.
Maturities are shifted if sufficient
premiums can be documented.
* This was a new portfolio and its
year-to-date returns in fiscal 1995
reflected the performance of its
strategy.
Past performance is not predictive of
future performance.
- ------------------------------------------------------------------------------
1
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
DFA ONE-YEAR FIXED INCOME PORTFOLIO II
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 1995
<TABLE>
<CAPTION>
<S> <C>
ASSETS:
Investment in The DFA One-Year Fixed Income Series of The DFA Investment Trust
Company (54,650 Shares, Cost $543,394) at Value .................................... $546,218
Other Receivable .................................................................... 4,548
Prepaid Expenses and Other Assets. .................................................. 35,412
-----------
Total Assets .............................................................. 586,178
-----------
LIABILITIES:
Accrued Expenses .................................................................... 17,225
-----------
Net Assets .......................................................................... $568,953
===========
SHARES OUTSTANDING, $.01 PAR VALUE (Authorized 100,000,000) ......................... 55,980
===========
Net Asset Value, Offering and Redemption Price Per Share ............................ $ 10.16
===========
NET ASSETS CONSIST OF:
Paid-In Capital ..................................................................... $566,014
Undistributed Net Investment Income. ................................................ 4
Undistributed Net Realized Gain. .................................................... 111
Unrealized Appreciation of Investment Securities .................................... 2,824
-----------
Total Net Assets .......................................................... $568,953
===========
</TABLE>
See accompanying Notes to Financial Statements
2
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
DFA ONE-YEAR FIXED INCOME PORTFOLIO II
STATEMENT OF OPERATIONS
FOR THE PERIOD FEBRUARY 9, 1995
(COMMENCEMENT OF OPERATIONS)
TO NOVEMBER 30, 1995
<TABLE>
<CAPTION>
<S> <C>
Investment Income
Dividends ............................................................. $ 13,333
----------
Expenses
Administrative Services ............................................... 261
Accounting & Transfer Agent Fees ...................................... 8,000
Legal Fees ............................................................ 4,280
Audit Fees ............................................................ 3,360
Filing Fees ........................................................... 10,068
Shareholder Reports ................................................... 6,447
Directors' Fees and Expenses .......................................... 5,927
Other ................................................................. 7,820
----------
Total Expenses ..................................................... 46,163
Less: Fees Waived and Expenses Reimbursed ............................. (39,896)
----------
Net Expenses .......................................................... 6,267
----------
Net Investment Income ................................................. 7,066
----------
Net Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain on Investment Securities .............................. 111
Change in Unrealized Appreciation (Depreciation) of Investment Securities 2,824
----------
Net Gain on Investment Securities ...................................... 2,935
----------
Net Increase in Net Assets Resulting from Operations .................... $ 10,001
==========
</TABLE>
See accompanying Notes to Financial Statements
3
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
DFA ONE-YEAR FIXED INCOME PORTFOLIO II
STATEMENT OF CHANGES IN NET ASSETS
FOR THE PERIOD FEBRUARY 9, 1995
(COMMENCEMENT OF OPERATIONS)
TO NOVEMBER 30, 1995
<TABLE>
<CAPTION>
<S> <C>
Increase (Decrease) in Net Assets
Operations: .............................................................
Net Investment Income ................................................. $ 7,066
Net Realized Gain on Investment Securities ............................ 111
Change in Unrealized Appreciation (Depreciation) of Investment
Securities ......................................................... 2,824
----------
Net Increase in Net Assets Resulting from Operations ............... 10,001
----------
Distributions From:
Net Investment Income ................................................. (7,062)
----------
Capital Share Transactions (1):
Shares Issued ......................................................... 639,537
Shares Issued in Lieu of Cash Distributions ........................... 7,062
Shares Redeemed ....................................................... (80,585)
----------
Net Increase From Capital Share Transactions ....................... 566,014
----------
Total Increase ..................................................... 568,953
Net Assets
Beginning of Period ................................................... --
----------
End of Period ......................................................... $568,953
==========
(1) Shares Issued and Redeemed:
Shares Issued ......................................................... 63,220
Shares Issued in Lieu of Cash Distributions ........................... 700
Shares Redeemed ....................................................... (7,940)
----------
55,980
==========
</TABLE>
See accompanying Notes to Financial Statements
4
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
DFA ONE-YEAR FIXED INCOME PORTFOLIO II
FINANCIAL HIGHLIGHTS
FOR THE PERIOD FEBRUARY 9, 1995
(COMMENCEMENT OF OPERATIONS)
TO NOVEMBER 30, 1995
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
Net Asset Value, Beginning of Period .................... $ 10.00
--------------
Income from Investment Operations
- ---------------------------------
Net Investment Income .................................. 0.24
Net Gains (Losses) on Securities (Realized and
Unrealized) ......................................... 0.16
--------------
Total from Investment Operations ...................... 0.40
--------------
Less Distributions
-----------------
Net Investment Income .................................. (0.24)
--------------
Net Asset Value, End of Period ........................... $ 10.16
==============
Total Return ............................................. 4.09%#
Net Assets, End of Period ................................ $568,953
Ratio of Expenses to Average Net Assets (1) .............. 2.50%*(a)(b)
Ratio of Net Investment Income to Average Net Assets ..... 2.80%*(a)(b)
Portfolio Turnover Rate .................................. N/A
- ------------
(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 and net investment income to average net assets would have been
17.81% and (12.60)%, respectively.
(b) Because of commencement of operation and related preliminary transaction
costs, these rates are not necessarily indicative of future ratios.
N/A Refer to the respective Master Fund Series.
See accompanying Notes to Financial Statements
5
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
At November 30, 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 DFA One-Year Fixed Income Portfolio (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 November 30, 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 qualify as a
regulated investment company and distribute all of its taxable income.
Accordingly, no provision for Federal income tax is required in the financial
statements.
3. Other: Security transactions are accounted for on the date the
securities are purchased or sold. Costs used in determining realized gains
and losses on the sale of investment securities are those of specific
securities sold. Dividend income and distributions to shareholders are
recorded on the ex-dividend date. Expenses directly attributable to the
Portfolio or to the Series are directly charged. Common expenses are
allocated using methods determined by the Board of Directors.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. (the "Advisor") provides administrative
services to the Portfolio, including supervision of services provided by
others, providing information to the shareholders and to the Board of
Directors, and other administrative services. The Advisor provides investment
advisory services to the Series. For the period ended November 30, 1995, 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.
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 2.50% of average daily net
assets.
6
<PAGE>
D. INVESTMENTS:
At November 30, 1995, gross unrealized appreciation and depreciation for
financial reporting and federal income tax purposes of investment securities
was as follows:
Gross Unrealized Appreciation ......................... $2,824
Gross Unrealized Depreciation ......................... --
--------
Net .................................................. $2,824
========
E. SUBSEQUENT EVENT:
On December 20, 1995, the Board of Directors of Dimensional Investment
Group Inc. (the "Board") approved a 900% stock dividend under Maryland
Corporate Law which is treated as a 10 for 1 stock split for financial
reporting purposes for DFA One-Year Fixed Income Portfolio II. The record
date of the stock dividend is January 1, 1996, and the ex-date and payable
dates are January 2, 1996. This is a tax-free event to the shareholders of
this portfolio. All share and per share data as of and for the period ended
November 30, 1995 and all prior periods have been restated to reflect the
stock dividend.
7
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Shareholders and Board of Directors of
Dimensional Investment Group Inc.:
We have audited the accompanying statement of assets and liabilities of the
Dimensional Investment Group Inc., DFA One-Year Fixed Income Portfolio II, as
of November 30, 1995, and the related statements of operations and changes in
net assets and financial highlights for the period from February 9, 1995
(commencement of operations) to November 30, 1995. These financial statements
and financial highlights are the responsibility of the Fund's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audit.
We conducted our audit in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures
in the financial statements. Our procedures included confirmation of
investments owned as of November 30, 1995, by correspondence with the
custodian. An audit also includes assessing the accounting principles used
and significant estimates made by management, as well as evaluating the
overall financial statement presentation. We believe that our audit provides
a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Dimensional Investment Group Inc., DFA One-Year Fixed Income Portfolio II, as
of November 30, 1995, and the results of its operations, and the changes in
its net assets, and its financial highlights for the period then ended, in
conformity with generally accepted accounting principles.
COOPERS & LYBRAND L.L.P.
2400 Eleven Penn Center
Philadelphia, Pennsylvania
January 19, 1996
8
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHART
==============================================================================
DFA One-Year Fixed Income Series vs.
One Month CD's
March 1993-November 1995
The following reflects the growth of a $10,000 investment.
DFA One-Year One
Fixed Income Month
Series CD's
------------- --------
9302 10000 10000
9303 10048 10024
9304 10097.24 10046.05
9305 10104.3 10066.14
9306 10148.76 10088.29
9307 10180.22 10110.48
9308 10229.09 10133.74
9309 10267.96 10155.02
9310 10289.52 10175.33
9311 10308.04 10198.73
9312 10343.09 10221.17
9401 10394.81 10243.66
9402 10376.09 10264.14
9403 10372.98 10288.78
9404 10367.8 10313.47
9405 10389.57 10344.41
9406 10424.89 10376.48
9407 10486.4 10408.65
9408 10527.3 10444.04
9409 10545.19 10478.5
9410 10579.99 10517.27
9411 10574.7 10555.13
9412 10607.48 10598.41
9501 10708.25 10646.1
9502 10809.98 10689.75
9503 10877 10738.92
9504 10948.79 10782.95
9505 11065.95 10834.71
9506 11129.02 10882.38
9507 11188 10931.36
9508 11245.06 10979.45
9509 11295.67 11024.47
9510 11355.53 11075.18
9511 11400 11122.81
Annualized One From
Total Return (%) Year March 1993
- ------------------------------------------------------------------------------
7.90 4.91
* Dimensional's Fixed Income Strategy
maximizes expected returns by
shifting maturities based on changes
in the yield curve. Using current
prices, the strategy creates a matrix
of expected returns from different
buy and sell strategies and
identifies the optimal maturity range
for the highest expected returns.
Issues which meet maturity and
quality levels are further evaluated
for business risk. Maturities are
shifted if sufficient premiums can be
documented. Investments are made in
high quality obligations, including
BAs, CDs, corporate debt obligations
and commercial paper of U.S. as well
as non-U.S. issuers (Yankees).
Average maturity is maintained under
one year with no individual issue
longer than two years.
* This portfolio's returns in fiscal
1995 reflected the performance of
its strategy.
Past performance is not predictive of
future performance.
- ------------------------------------------------------------------------------
9
<PAGE>
STATEMENT OF NET ASSETS
THE DFA ONE-YEAR FIXED INCOME SERIES
NOVEMBER 30, 1995
Face
Amount Value+
--------- --------------
(000)
COMMERCIAL PAPER -- (66.1%)
Banc One Corp. C.P.
5.800%, 12/01/95 .................. $ 4,000 $ 3,999,364
5.750%, 01/08/96 .................. 15,000 14,907,212
Bayerische Landensbank C.P.
5.720%, 01/05/96 .................. 19,000 18,891,510
Beta Finance, Inc. C.P.
5.750%, 01/12/96 .................. 19,000 18,870,414
Caisse des Depots et Consignments
C.P.
5.720%, 12/04/95 .................. 15,000 14,990,466
5.730%, 12/08/95 .................. 5,335 5,328,218
Cargill, Inc. C.P.
5.700%, 12/04/95 .................. 3,000 2,998,093
5.720%, 01/03/96 .................. 19,000 18,897,356
Ciesco L.P. C.P.
5.720%, 01/09/96 .................. 8,000 7,936,555
5.700%, 01/22/96 .................. 8,000 7,932,749
5.700%, 01/23/96 .................. 3,000 2,974,305
Commerzbank U.S. Finance, Inc. C.P.
5.710%, 12/22/95 .................. 2,000 1,993,009
5.700%, 01/12/96 .................. 18,000 17,877,235
Corporate Asset Funding Co., C.P.
5.720%, 12/01/95 .................. 11,000 10,998,252
Dreyfus (Louis) Corp. C.P.
5.770%, 01/12/96 .................. 4,000 3,972,719
Enterprise Capital Funding C.P.
5.740%, 12/04/95 .................. 3,000 2,998,093
Equipment Intermediation Partnership
L.P. C.P.
5.790%, 12/07/95 .................. 10,000 9,988,877
5.770%, 12/07/95 .................. 9,000 8,989,200
Export Development Corp. C.P.
5.730%, 12/05/95 .................. 20,000 19,984,110
Fleet Funding Corp. C.P.
5.720%, 12/21/95 .................. 4,915 4,898,600
5.720%, 12/22/95 .................. 2,000 1,993,009
Ford Motor Credit Corp. C.P.
5.710%, 12/01/95 .................. 3,000 2,999,521
5.720%, 01/11/96 .................. 9,000 8,940,045
General Electric Capital Corp. C.P.
5.710%, 12/05/95 .................. 3,000 2,997,617
5.720%, 12/12/95 .................. 3,000 2,994,280
Glaxo Wellcome P.L.C. C.P.
5.720%, 01/19/96 .................. 20,000 19,863,594
Hahn Issuing Corp. C.P.
5.720%, 12/04/95 .................. 14,000 13,991,102
5.730%, 12/08/95 .................. 5,000 4,993,644
5.740%, 12/18/95 .................. 10,000 9,971,400
Halifax Building Society C.P.
5.720%, 01/03/96 .................. 19,000 18,897,356
McKenna Triangle National Corp. C.P.
5.720%, 01/11/96 .................. 10,000 9,933,383
5.720%, 01/19/96 .................. 9,000 8,928,625
Michelin Tire Corp. C.P.
5.720%, 12/28/95 .................. 3,000 2,986,653
Paccar Financial Corp. C.P.
5.730%, 12/12/95 .................. 2,000 1,996,187
5.740%, 12/14/95 .................. 7,850 7,832,538
<PAGE>
Face
Amount Value+
--------- --------------
(000)
Panasonic Finance, Inc. C.P.
5.730%, 12/14/95 .................. $20,000 $ 19,955,511
Rabobank Nederlands C.P.
5.710%, 12/11/95 .................. 5,000 4,991,200
Sandoz Corp. C.P.
5.720%, 01/11/96 .................. 15,000 14,900,075
Sheffield Receivables Corp. C.P.
5.750%, 12/01/95 .................. 15,000 14,997,617
5.750%, 12/20/95 .................. 5,000 4,984,111
Siemens Corp. C.P.
5.700%, 12/15/95 .................. 6,000 5,985,700
Sigma Finance Corp. C.P.
5.800%, 01/02/96 .................. 6,000 5,968,540
5.730%, 01/05/96 .................. 7,000 6,959,820
5.730%, 01/30/96 .................. 5,200 5,149,688
Stanley Works C.P.
5.720%, 12/20/95 .................. 5,000 4,984,111
5.720%, 01/29/96 .................. 9,000 8,914,350
Toronto Dominion Holding USA, Inc.
C.P.
5.700%, 02/01/96 .................. 10,000 9,900,075
UBS Finance Delaware, Inc. C.P.
5.750%, 12/05/95 .................. 20,000 19,984,110
USAA Capital Corp. C.P.
5.700%, 12/11/95 .................. 10,000 9,982,522
United Parcel Service C.P.
5.700%, 12/06/95 .................. 4,900 4,895,327
Wal-Mart Stores, Inc. C.P.
5.740%, 12/05/95 .................. 5,150 5,145,907
--------------
TOTAL COMMERCIAL PAPER
(Cost $466,506,210) ............... 466,443,955
--------------
BONDS AND CERTIFICATES OF
DEPOSIT -- (28.6%)
AT&T Capital Corp. Medium Term Notes
6.640%, 05/22/96 .................. 9,500 9,541,866
AT&T Corp. Medium Term Notes
4.500%, 02/15/96 .................. 6,000 5,983,854
Abbey National Treasury Services
P.L.C. Medium Term Notes
7.620%, 12/22/95 .................. 17,000 17,016,796
American International Group, Inc.
Medium Term Notes
7.700%, 03/15/96 .................. 12,200 12,268,369
Associates Corp. of North America
Medium Term Notes
8.730%, 04/05/96 .................. 2,100 2,121,053
4.750%, 08/01/96 .................. 5,000 4,970,470
Bankers Trust N.Y. Corp. Corporate
Bonds
4.700%, 07/01/96 .................. 11,200 11,110,478
Deutsche Bank AG (New York)
Certificates of Deposit
5.770%, 01/19/96 .................. 16,000 15,998,922
Gannet Co., Inc. Corporate Bonds
9.550%, 02/01/96 .................. 3,300 3,319,889
10
<PAGE>
THE DFA ONE-YEAR FIXED INCOME SERIES
CONTINUED Face
Amount Value+
--------- --------------
(000)
Johnson & Johnson Medium Term Notes
8.000%, 03/20/96 .................. $ 7,000 $ 7,046,935
KFW International Finance, Inc.
Medium Term Notes
6.750%, 01/10/96 .................. 11,000 11,012,276
Merck & Co., Inc. Medium Term Notes
7.750%, 05/01/96 .................. 5,000 5,042,565
NBD Bank N.A. Bank Notes
4.150%, 01/31/96 .................. 5,000 4,984,715
Northern Trust Co. Medium Term Notes
5.730%, 12/14/95 .................. 20,000 20,000,320
Ontario (Province of) Corporate
Bonds
8.250%, 04/08/96 .................. 15,000 15,125,160
Paccar Financial Corp. Medium Term
Notes
4.500%, 07/01/96 .................. 5,000 4,966,160
4.800%, 08/20/96 .................. 5,000 4,970,120
Rabobank Nederland Deposit Notes
6.040%, 01/25/96 .................. 4,000 4,000,175
6.390%, 06/25/96 .................. 4,000 4,013,975
Republic National Bank of New York
Bank Notes
8.375%, 05/01/96 .................. 4,000 4,041,544
Shell Oil Co. Corporate Bonds
7.700%, 02/01/96 .................. 10,000 10,033,060
Smithkline Beecham Corp. Medium Term
Notes
5.250%, 01/19/96 .................. 5,000 4,996,605
5.250%, 01/26/96 .................. 2,000 1,998,314
WMX Technologies, Inc. Corporate
Bonds
4.875%, 06/15/96 .................. 15,000 14,935,290
Waste Management, Inc. Corporate
Bonds
4.625%, 04/14/96 .................. 2,000 1,991,644
--------------
TOTAL BONDS AND CERTIFICATES OF
DEPOSIT (Cost $201,133,565) ....... 201,490,555
--------------
TEMPORARY CASH INVESTMENTS --
(1.1%)
Repurchase Agreement, PNC
Securities Corp. 5.65%, 12/01/95
(Collateralized by U.S. Treasury
Notes
6.125%, 05/31/97)
(Cost $8,071,000) ................. 8,071 8,071,000
--------------
TOTAL INVESTMENTS -- (95.8%) (Cost
$675,710,775) ..................... 676,005,510
--------------
OTHER ASSETS AND LIABILITIES --
(4.2%)
Other Assets ....................... 29,627,498
Liabilities ........................ (79,405)
--------------
29,548,093
--------------
NET ASSETS -- (100.0%) Applicable to
70,587,340 Outstanding $.01 Par
Value Shares (Unlimited Number of
Shares Authorized) ................ $705,553,603
==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE ........ $ 10.00
==============
- ------------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements
11
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE DFA ONE-YEAR FIXED INCOME SERIES
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1995
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
<S> <C>
Investment Income
Interest ............................................................. $38,013
---------
Total Investment Income ......................................... 38,013
---------
Expenses
Investment Advisory Services ......................................... 310
Accounting & Transfer Agent Fees ..................................... 168
Custodian's Fee ...................................................... 77
Legal Fees ........................................................... 4
Audit Fees ........................................................... 7
Shareholders' Reports ................................................ 5
Trustees Fees and Expenses ........................................... 1
Other ................................................................ 22
---------
Total Expenses .................................................. 594
---------
Net Investment Income .................................................. 37,419
---------
Net Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain on Investment Securities ............................. 2,292
Change in Unrealized Appreciation (Depreciation) of Investment
Securities ........................................................... 7,204
---------
Net Gain on Investment Securities .................................... 9,496
---------
Net Increase in Net Assets Resulting from Operations ................... $46,915
=========
</TABLE>
See accompanying Notes to Financial Statements
12
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE DFA ONE-YEAR FIXED INCOME SERIES
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
Year Ended Year Ended
Nov. 30, Nov. 30
1995 1994
------------ ------------
<S> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ................................................. $ 37,419 $ 27,413
Net Realized Gain (Loss) on Investment Securities ..................... 2,292 (5,023)
Change in Unrealized Appreciation (Depreciation) of Investment
Securities ......................................................... 7,204 (6,783)
------------ ------------
Net Increase in Net Assets Resulting from Operations ............... 46,915 15,607
------------ ------------
Distributions From:
Net Investment Income ................................................. (36,973) (26,524)
Net Realized Gains .................................................... -- (3,154)
------------ ------------
Total Distributions ................................................ (36,973) (29,678)
------------ ------------
Capital Share Transactions (1):
Shares Issued ......................................................... 243,191 205,242
Shares Issued in Lieu of Cash Distributions ........................... 26,791 23,866
Shares Redeemed ....................................................... (166,656) (231,179)
------------ ------------
Net Increase (Decrease) From Capital Share Transactions ............ 103,326 (2,071)
------------ ------------
Total Increase (Decrease) .......................................... 113,268 (16,142)
Net Assets
Beginning of Period ................................................... 592,286 608,428
------------ ------------
End of Period ......................................................... $ 705,554 $ 592,286
============ ============
(1) Shares Issued and Redeemed:
Shares Issued ......................................................... 24,470 20,640
Shares Issued in Lieu of Cash Distributions ........................... 2,710 2,410
Shares Redeemed ....................................................... (16,810) (23,320)
------------ ------------
10,370 (270)
============ ============
</TABLE>
See accompanying Notes to Financial Statements
13
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE DFA ONE-YEAR FIXED INCOME SERIES
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
Year Ended Year Ended March 2 to
Nov. 30, Nov. 30, Nov. 30,
1995 1994 1993
------------ ------------ ------------
<S> <C> <C> <C>
Net Asset Value, Beginning of Period .................... $ 9.84 $ 10.06 $ 10.00
------------ ------------ ------------
Income from Investment Operations
- ---------------------------------
Net Investment Income ................................. 0.60 0.44 0.31
Net Gains (Losses) on Securities (Realized and
Unrealized) ........................................ 0.16 (0.18) 0.03
------------ ------------ ------------
Total from Investment Operations ...................... 0.76 0.26 0.34
------------ ------------ ------------
Less Distributions
- ------------------
Net Investment Income ................................. (0.60) (0.43) (0.28)
Net Realized Gains .................................... -- (0.05) --
------------ ------------ ------------
Total Distributions ................................... (0.60) (0.48) (0.28)
------------ ------------ ------------
Net Asset Value, End of Period .......................... $ 10.00 $ 9.84 $ 10.06
============ ============ ============
Total Return ............................................ 7.91% 2.61% 3.39%#
Net Assets, End of Period (thousands) ................... $705,554 $592,286 $608,428
Ratio of Expenses to Average Net Assets ................. 0.10% 0.10% 0.10%*
Ratio of Net Investment Income to Average Net Assets .... 6.04% 4.41% 3.80%*
Portfolio Turnover Rate ................................. 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
14
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. At
November 30, 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 DFA One-Year Fixed
Income Series (the "Series").
In February 1993, The DFA One-Year Fixed Income Portfolio of DFA
Investment Dimensions Group Inc. (the "Fund") transferred its investable
assets for shares with equal values of a corresponding Series of the Trust
(the "Exchange").
The DFA One-Year Fixed Income 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 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 November 30, 1995.
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 attribute to a Series
are directly charged. Common expenses are allocated using methods determined
by the Board of Directors.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. (the "Advisor") provides investment
advisory services to the Series. For the period ended November 30, 1995, 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.
15
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
D. PURCHASES AND SALES OF SECURITIES:
For the year ended November 30, 1995, the Series made the following
purchases and sales of investment securities (amounts in thousands):
Other
U.S. Government Investment
Securities Securities
--------------- ------------
Purchases ................... $ 54,398 $198,209
Sales ....................... 113,581 339,193
E. INVESTMENT TRANSACTIONS:
At November 30, 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 ....................... $ 424
Gross Unrealized Depreciation ....................... (129)
-------
Net ................................................ $ 295
=======
At November 30, 1995, the Series had a capital loss carryover for federal
income tax purposes of approximately $2,731,000 which expires on November 30,
2002.
F. COMPONENTS OF NET ASSETS:
At November 30, 1995, net assets consisted of (amounts in thousands):
Paid-In Capital ................................ $704,756
Undistributed Net Investment Income ............ 3,242
Accumulated Net Realized Loss .................. (2,739)
Unrealized Appreciation of Investment Securities 295
----------
$705,554
==========
G. SUBSEQUENT EVENT:
On December 20, 1995, the Board of Trustees of The DFA Investment Trust
Company (the "Board") approved a 900% stock dividend under Delaware Trust Law
which is treated as a 10 for 1 stock split for financial reporting purposes,
for The DFA One-Year Fixed Income Series. The record date of the stock
dividend is January 1, 1996, and the ex-date and payable dates are January 2,
1996. This is a tax-free event to the shareholders of this series. All share
and per share data as of and for the period ended November 30, 1995 and all
prior periods have been restated to reflect the stock dividend.
16
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Shareholders and Board of Trustees of
The DFA Investment Trust Company:
We have audited the accompanying statement of net assets of The DFA
Investment Trust Company, The DFA One-Year Fixed Income Series as of November
30, 1995, and the related statement of operations for the year then ended and
the statements of changes in net assets for each of the two years in the
period then ended, and financial highlights for each of the periods
presented. These financial statements and financial highlights are the
responsibility of the Fund's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures
in the financial statements. Our procedures included confirmation of
investments owned as of November 30, 1995, by correspondence with the
custodian. An audit also includes assessing the accounting principles used
and significant estimates made by management, as well as evaluating the
overall financial statement presentation. We believe that our audits provide
a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of The
DFA Investment Trust Company, The DFA One-Year Fixed Income Series, as of
November 30, 1995, and the results of its operations for the year then ended,
and the changes in its net assets for each of the two years in the period
then ended, and its financial highlights for each of the periods presented,
in conformity with generally accepted accounting principles.
COOPERS & LYBRAND L.L.P.
2400 Eleven Penn Center
Philadelphia, Pennsylvania
January 19, 1996
17
