<PAGE>
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-1A
REGISTRATION STATEMENT UNDER THE SECURITIES ACT OF 1933 X
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Pre-Effective Amendment No.
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Post-Effective Amendment No. 14 File No. 33-33980 X
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REGISTRATION STATEMENT UNDER THE INVESTMENT COMPANY ACT OF 1940 X
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Amendment No. 15 File No. 811-6067 X
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DIMENSIONAL INVESTMENT GROUP INC.
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(Exact Name of Registrant as Specified in Charter)
1299 Ocean Avenue, 11th Floor, Santa Monica CA 90401
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(Address of Principal Executive Office) (Zip Code)
Registrant's Telephone Number, including Area Code (310) 395-8005
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Irene R. Diamant, 1299 Ocean Avenue, 11th Floor,
Santa Monica, California 90401
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(Name and Address of Agent for Service)
Copies of communications to Stephen W. Kline, Esquire, Stradley, Ronon, Stevens
& Young, LLP, Great Valley Corporate Center, 30 Valley Stream Parkway, Malvern,
PA 19355, (215) 640-5801.
It is proposed that this filing will become effective
(check appropriate box):
/x/ Immediately upon filing pursuant to paragraph (b)
/ / On ______________ pursuant to paragraph (b)
/ / 60 days after filing pursuant to paragraph (a)(1)
/ / On (date) pursuant to paragraph (a)(2) of Rule 485
/ / 75 days after filing pursuant to paragraph (a)(2).
This Registrant has registered an indefinite number of shares of common stock
under the Securities Act of 1933 pursuant to Rule 24f-2 under the Investment
Company Act of 1940. The Registrant will file a Rule 24f-2 Notice for
Registrant's most recent fiscal year, ended November 30, 1996, on or about
January 29, 1997.
The Trustees and principal officers of The DFA Investment Trust Company also
have executed this registration statement.
<PAGE>
FORM N-1A
CROSS REFERENCE SHEET
(as required by Rule 404)
FORM N-1A PART A ITEM NO. PROSPECTUS LOCATION
- ------------------------- -------------------
Item 1. Cover Page......................... Cover Page
Item 2. Synopsis........................... Highlights
Item 3. Condensed Financial Information.... Condensed Financial
Information
Item 4. General Description of Registrant.. Cover Page; Highlights;
The Portfolio; Investment
Objective and Policies;
Securities Loans; Risk
Factors; General
Information
Item 5. Management of the Fund............. Highlights; Management of
the Portfolios
Item 6. Capital Stock and Other Securities. Highlights; Dividends,
Capital Gains
Distributions and Taxes;
General Information
Item 7. Purchase of Securities Being
Offered............................ Highlights; Purchase of
Shares; Valuation of
Shares; Distribution;
Exchange of Shares
Item 8. Redemption or Repurchase........... Highlights; Redemption of
Shares
Item 9. Pending Legal Proceedings.......... Not Applicable
-2-
<PAGE>
FORM N-1A PART B ITEM NO. LOCATION IN
- ------------------------- STATEMENT OF
ADDITIONAL
INFORMATION
------------
Item 10. Cover Page......................... Cover Page
Item 11. Table of Contents.................. Table of Contents
Item 12. General Information and History.... Other Information
Item 13. Investment Objectives and Policies. Investment Objective and
Policies; Investment
Limitations
Item 14. Management of the Fund.............. Management of the
Portfolios; Directors and
Officers
Item 15. Control Persons and Principal
Holders of Securities.............. Principal Holders of
Securities
Item 16. Investment Advisory and Other
Services........................... Management of the
Portfolios
Item 17. Brokerage Allocation and Other
Practices.......................... Brokerage Transactions
Item 18. Capital Stock and Other Securities. Other Information
Item 19. Purchase, Redemption and Pricing
of Securities Being Offered........ Purchase of Shares;
Redemption of Shares
Item 20. Tax Status......................... Federal Tax Treatment of
Futures Contracts
Item 21. Underwriters....................... Not Applicable
Item 22. Calculation of Performance Data.... Calculation of
Performance Data
Item 23. Financial Statements............... Financial Statements
-3-
<PAGE>
FORM N-1A PART C ITEM NO. LOCATION IN PART C
- ------------------------- ------------------
Item 24. Financial Statements and Exhibits.. Financial Statements and
Exhibits
Item 25. Persons Controlled by or Under
Common Control with Registrant..... Persons Controlled by or
Under Common Control with
Registrant
Item 26. Number of Holders of Securities.... Number of Holders of
Securities
Item 27. Indemnification.................... Indemnification
Item 28. Business and Other Connections of
Investment Advisor................. Business and Other
Connections of Investment
Advisor
Item 29. Principal Underwriters............. Principal Underwriters
Item 30. Location of Accounts and Records... Location of Accounts and
Records
Item 31. Management Services................ Management Services
Item 32. Undertakings....................... Undertakings
-4-
<PAGE>
SUPPLEMENT
DATED DECEMBER 6, 1996
TO THE PROSPECTUS OF
DIMENSIONAL INVESTMENT GROUP INC.
RWB/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
RWB/DFA TWO-YEAR CORPORATE FIXED INCOME PORTFOLIO
RWB/DFA TWO-YEAR GOVERNMENT PORTFOLIO
Dated February 28, 1996
THE FOLLOWING SECTION IS INSERTED ON PAGE 4 OF THE PROSPECTUS:
CONDENSED FINANCIAL INFORMATION
The table below sets forth selected financial data for a share of stock of
each Portfolio throughout the period from June 7, 1996 (date of commencement of
operations of the Portfolios) through September 30, 1996. The figures in this
table are unaudited and should be read in conjunction with the Portfolios'
financial statements and notes thereto, all of which are included in the
Statement of Additional Information relating to the Portfolios.
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
RWB/DFA TWO- RWB/DFA
RWB/DFA U.S. YEAR CORPORATE TWO-YEAR
HIGH BOOK TO FIXED INCOME GOVERNMENT
MARKET PORTFOLIO PORTFOLIO PORTFOLIO
---------------- ---------------- ---------
<S> <C> <C> <C>
Net Asset Value, Beginning of Period . . . . . . . . . . . . $ 10.00 $ 10.00 $ 10.00
--------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income. . . . . . . . . . . . . . . . . . . 0.04 0.13 0.17
Net Gains (Losses) on Securities (Realized
and Unrealized) . . . . . . . . . . . . . . . . . . . . . (0.28) 0.09 0.02
--------- --------- ---------
Total from Investment Operations. . . . . . . . . . . . . (0.24) 0.22 0.19
--------- --------- ---------
LESS DISTRIBUTIONS
Net Investment Income. . . . . . . . . . . . . . . . . . . (0.03) (0.13) (0.13)
--------- --------- ---------
Net Asset Value, End of Period . . . . . . . . . . . . . . . $ 9.73 $ 10.09 $ 10.06
--------- --------- ---------
--------- --------- ---------
Total Return . . . . . . . . . . . . . . . . . . . . . . . . (2.37%)# 2.17%# 1.88%#
Net Assets, End of Period (thousands). . . . . . . . . . . . $ 23,964 $ 117,526 $ 96,541
Ratio of Expenses to Average Net Assets(1) . . . . . . . . . 1.00%*(a) 0.32%*(a)(b) 0.42%*(a)(c)
Ratio of Net Investment Income to Average Net Assets . . . . 2.37%*(a) 4.43%*(a)(b) 5.89%*(a)(c)
Portfolio Turnover Rate. . . . . . . . . . . . . . . . . . . N/A N/A N/A
Average Commission Rate. . . . . . . . . . . . . . . . . . . N/A - -
</TABLE>
- ---------------
* Annualized
# Non-Annualized
<PAGE>
(1) Represents the combined ratio for the Portfolio and its respective pro-rata
share of its Master Fund Series.
(a) Because of commencement of operations and related preliminary transaction
costs, these ratios are not necessarily indicative of future ratios.
(b) Had certain waivers and reimbursements not been in effect, the ratio of
expenses to average net assets for the period ended September 30, 1996
would have been 0.35% and the ratio of net investment income to average net
assets for the period ended September 30, 1996 would have been 4.40%.
(c) Had certain waivers and reimbursements not been in effect, the ratio of
expenses to average net assets for the period ended September 30, 1996
would have been 0.45% and the ratio of net investment income to average net
assets for the period ended September 30, 1996 would have been 5.86%.
N/A Refer to the respective Master Fund Series.
THE FOLLOWING REPLACES THE THIRD PARAGRAPH UNDER THE CAPTION HEADING
"GENERAL INFORMATION"
Whenever a Portfolio, as an investor in its corresponding Trust
Series, is asked to vote on a shareholder proposal, the Fund will solicit
voting instructions from the Portfolio's shareholders with respect to the
proposal. The Directors of the Fund will then vote the Portfolio's shares
in the Series in accordance with the voting instructions received from the
Portfolio's shareholders. The Directors of the Fund will vote shares of
the Portfolio for which they receive no voting instructions in accordance
with their best judgment.
-2-
<PAGE>
PROSPECTUS
FEBRUARY 28, 1996
RWB/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
RWB/DFA TWO-YEAR CORPORATE FIXED INCOME PORTFOLIO
RWB/DFA TWO-YEAR GOVERNMENT PORTFOLIO
____________________
This prospectus describes RWB/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO,
RWB/DFA TWO-YEAR CORPORATE FIXED INCOME PORTFOLIO and RWB/DFA TWO-YEAR
GOVERNMENT PORTFOLIO (collectively the "Portfolios"), each a series of shares
issued by Dimensional Investment Group Inc. (the "Fund"), 1299 Ocean Avenue,
11th floor, Santa Monica, California 90401, (310) 395-8005. Each Portfolio is
an open-end, management investment company whose shares are offered, without a
sales charge, to clients of Reinhardt Werba Bowen Advisory Services ("RWBAS").
The Fund issues eleven series of shares, each of which represents a
separate class of the Fund's common stock, having its own investment objective
and policies. This prospectus relates to three series of shares. The
investment objective of RWB/DFA U.S. High Book to Market Portfolio is to achieve
long-term capital appreciation. The investment objective of RWB/DFA Two-Year
Corporate Fixed Income Portfolio is to maximize total returns consistent with
the preservation of capital and the investment objective of RWB/DFA Two-Year
Government Portfolio is to maximize total returns available from the universe of
debt obligations of the U.S. government and U.S. government agency obligations
and consistent with preservation of capital.
EACH PORTFOLIO, UNLIKE MANY OTHER INVESTMENT COMPANIES WHICH DIRECTLY
ACQUIRE AND MANAGE THEIR OWN PORTFOLIO OF SECURITIES, SEEKS TO ACHIEVE ITS
INVESTMENT OBJECTIVE BY INVESTING ALL OF ITS INVESTABLE ASSETS IN THE SHARES OF
A CORRESPONDING SERIES OF THE DFA INVESTMENT TRUST COMPANY (THE "TRUST"), AN
OPEN-END, MANAGEMENT INVESTMENT COMPANY THAT OFFERS SERIES THAT HAVE THE SAME
INVESTMENT OBJECTIVES, POLICIES AND LIMITATIONS AS THE PORTFOLIOS. THE
INVESTMENT EXPERIENCE OF EACH PORTFOLIO WILL CORRESPOND DIRECTLY WITH THE
INVESTMENT EXPERIENCE OF ITS CORRESPONDING SERIES. INVESTORS SHOULD CAREFULLY
CONSIDER THIS INVESTMENT APPROACH. FOR ADDITIONAL INFORMATION, SEE "SPECIAL
INFORMATION ABOUT THE PORTFOLIOS' STRUCTURE."
This prospectus sets forth information about the Portfolios that
prospective investors should know before investing and should be read carefully
and retained for future reference. A statement of additional information about
the Portfolios, dated February 28, 1996, which is incorporated herein by
reference, has been filed with the Securities and Exchange Commission and is
available upon request, without charge, by writing or calling the Fund at the
above address or telephone number.
____________________
THESE SECURITIES HAVE NOT BEEN APPROVED OR DISAPPROVED BY THE SECURITIES AND
EXCHANGE COMMISSION OR ANY STATE SECURITIES COMMISSION NOR HAS THE COMMISSION OR
ANY STATE SECURITIES COMMISSION PASSED UPON THE ACCURACY OR ADEQUACY OF THIS
PROSPECTUS. ANY REPRESENTATION TO THE CONTRARY IS A CRIMINAL OFFENSE.
<PAGE>
TABLE OF CONTENTS
PAGE
HIGHLIGHTS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .1
SPECIAL INFORMATION ABOUT THE PORTFOLIOS' STRUCTURE. . . . . . . . . . . . . .4
RWB/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO - INVESTMENT
OBJECTIVE AND POLICIES . . . . . . . . . . . . . . . . . . . . . . . . . . .5
Portfolio Characteristics and Policies . . . . . . . . . . . . . . .5
Portfolio Structure. . . . . . . . . . . . . . . . . . . . . . . . .6
Portfolio Transactions . . . . . . . . . . . . . . . . . . . . . . .7
INVESTMENT OBJECTIVES AND POLICIES - FIXED INCOME PORTFOLIOS . . . . . . . . .7
RWB/DFA Two-Year Corporate
Fixed Income Portfolio . . . . . . . . . . . . . . . . . . . . . .7
RWB/DFA Two-Year Government Portfolio . . . . . . . . . . . . . . .7
Description of Investments . . . . . . . . . . . . . . . . . . . . .8
Investments in the Banking Industry. . . . . . . . . . . . . . . . .9
Portfolio Strategy . . . . . . . . . . . . . . . . . . . . . . . . .9
SECURITIES LOANS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
RISK FACTORS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
Foreign Securities . . . . . . . . . . . . . . . . . . . . . . . . 10
Borrowing. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
Portfolio Strategy . . . . . . . . . . . . . . . . . . . . . . . . 10
Futures Contracts and Options in Futures . . . . . . . . . . . . . 11
Banking Industry Concentration . . . . . . . . . . . . . . . . . . 11
Repurchase Agreements. . . . . . . . . . . . . . . . . . . . . . . 11
MANAGEMENT OF THE PORTFOLIOS . . . . . . . . . . . . . . . . . . . . . . . . 11
Administrative Services. . . . . . . . . . . . . . . . . . . . . . 12
Client Service Agent . . . . . . . . . . . . . . . . . . . . . . . 12
DIVIDENDS, CAPITAL GAINS DISTRIBUTIONS AND TAXES . . . . . . . . . . . . . . 13
(i)
<PAGE>
PURCHASE OF SHARES . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
In Kind Purchases. . . . . . . . . . . . . . . . . . . . . . . . . 14
VALUATION OF SHARES. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
DISTRIBUTION . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
EXCHANGE OF SHARES . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
REDEMPTION OF SHARES . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
GENERAL INFORMATION. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
(ii)
<PAGE>
HIGHLIGHTS
SPECIAL INFORMATION ABOUT THE PORTFOLIOS' STRUCTURE PAGE 4
This prospectus relates to three separate Portfolios of the Fund.
Each Portfolio, in effect, represents a separate mutual fund with its own
investment objective and policies. The investment objective of each Portfolio
is a fundamental policy and may not be changed without the affirmative vote of a
majority of its outstanding securities. Clients of RWBAS may choose to invest
in one or more of the Portfolios. Proceeds from the sale of shares of a
Portfolio will be invested in accordance with that Portfolio's investment
objective and policies. A shareholder will be entitled to a pro rata share of
all dividends and distributions arising from the assets of the Portfolio in
which he invests. Upon redeeming shares, a shareholder will receive the current
net asset value per share of the Portfolio represented by the redeemed shares.
INVESTMENT OBJECTIVE - RWB/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO PAGE 5
The investment objective of the Portfolio is to achieve long-term
capital appreciation. The Portfolio will invest all of its assets in U.S. Large
Cap Value Series of the Trust (the "Large Cap Value Series"), which in turn will
invest in the common stocks of U.S. companies with shares that have a high book
value in relation to their market value. The Large Cap Value Series will
purchase common stocks of companies whose market capitalizations equal or exceed
that of a company having the median market capitalization of companies whose
shares are listed on the New York Stock Exchange (the "NYSE"). (See "RWB/DFA
U.S. HIGH BOOK TO MARKET PORTFOLIO - INVESTMENT OBJECTIVE AND POLICIES.")
INVESTMENT OBJECTIVE - RWB/DFA TWO-YEAR CORPORATE FIXED INCOME PORTFOLIO PAGE 7
The investment objective of the Portfolio is to maximize total returns
consistent with the preservation of capital. The Portfolio will invest all of
its assets in DFA Two-Year Corporate Fixed Income Series of the Trust (the "Two-
Year Corporate Fixed Income Series"). Generally, the Two-Year Corporate Fixed
Income Series will acquire high quality obligations which mature within two
years from the date of settlement. In addition, the Two-Year Corporate Fixed
Income Series intends to concentrate investments in the banking industry under
certain circumstances. (See "FIXED INCOME PORTFOLIOS - INVESTMENT OBJECTIVES
AND POLICIES" and "Investments in the Banking Industry.")
INVESTMENT OBJECTIVE - RWB/DFA TWO-YEAR GOVERNMENT PORTFOLIO PAGE 7
The investment objective of the Portfolio is to maximize total returns
available from the universe of debt obligations of the U.S. government and U.S.
government agencies and consistent with preservation of capital. The Portfolio
will invest all of its assets in DFA Two-Year Government Series of the Trust
(the "Two-Year Government Series"). Generally, the Two-Year Government Series
will acquire U.S. government obligations and U.S. government agency obligations
that mature within two years from the date of settlement and repurchase
agreements. (See "FIXED INCOME PORTFOLIOS -INVESTMENT OBJECTIVES AND
POLICIES.")
1
<PAGE>
RISK FACTORS PAGE 10
The RWB/DFA High Book to Market Portfolio (indirectly through its
investments in the Large Cap Value Series) may invest in financial futures
contracts and options thereon. The RWB/DFA Two-Year Corporate Fixed Income
Portfolio (indirectly through its investment in the Two-Year Corporate Fixed
Income Series) is authorized to invest in dollar-denominated obligations of U.S.
subsidiaries and branches of foreign banks and dollar-denominated obligations of
foreign issuers traded in the U.S. The Two-Year Corporate Fixed Income Series
is authorized to concentrate investments in the banking industry in certain
circumstances. Each Portfolio is authorized to invest in repurchase agreements.
Those policies and the policy of the Portfolios to invest in the shares of
corresponding Series of the Trust involve certain risks. (See "RISK FACTORS.")
MANAGEMENT AND ADMINISTRATIVE SERVICES PAGE 11
Dimensional Fund Advisors Inc. (the "Advisor") provides each Portfolio
with administrative services and also serves as investment advisor to each
Series of the Trust. PFPC Inc. ("PFPC") provides the Portfolios and the Series
with certain accounting, transfer agency and other services. RWBAS serves as
client service agent to each Portfolio. (See "MANAGEMENT OF THE PORTFOLIOS.")
DIVIDEND POLICY PAGE 13
The RWB/DFA U.S. High Book to Market Portfolio and the Fixed Income
Portfolios distribute dividends from their net investment income quarterly.
Each of the Portfolios will make any distributions from realized net capital
gains on an annual basis. (See "DIVIDENDS, CAPITAL GAINS DISTRIBUTIONS AND
TAXES.")
PURCHASE, VALUATION AND REDEMPTION OF SHARES PAGE 14
The shares of the Portfolios are offered at net asset value, which is
calculated as of the close of the NYSE on each day that the Exchange is open for
business. The value of a Portfolio's shares will fluctuate in relation to the
investment experience of its corresponding Series. The redemption price of a
share of each Portfolio is equal to its net asset value. (See "PURCHASE OF
SHARES" and "REDEMPTION OF SHARES.")
2
<PAGE>
SHAREHOLDER TRANSACTION EXPENSES
None*
ANNUAL FUND OPERATING EXPENSES**
(AS A PERCENTAGE OF AVERAGE NET ASSETS)
RWB/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
Management Fee 0.10%
Administration Fee 0.01%
Other Expenses 0.29%
Total Operating Expenses 0.40%
RWB/DFA TWO-YEAR CORPORATE FIXED INCOME PORTFOLIO
Management Fee 0.15%
Administration Fee 0.01%
Other Expenses 0.22%
Total Operating Expenses 0.38%
RWB/DFA TWO-YEAR GOVERNMENT PORTFOLIO
Management Fee 0.15%
Administration Fee 0.01%
Other Expenses 0.24%
Total Operating Expenses 0.40%
*MOST SHARES OF THE PORTFOLIOS THAT WILL BE PURCHASED THROUGH OMNIBUS
ACCOUNTS MAINTAINED BY SECURITIES FIRMS MAY BE SUBJECT TO A SERVICE FEE OR
COMMISSION ON SUCH PURCHASES.
**The "Management Fee" is payable by the Series and the "Administration
Fee" is payable by the Portfolio. The amount set forth in "Other Expenses"
represents the aggregate amount that is payable by both the Series and the
Portfolio, and also includes a client services fee of 0.09% payable by the
RWB/DFA U.S. High Book to Market Portfolio to RWBAS. A client services fee of
0.03% is also payable by the Fixed Income Portfolios to RWBAS; however, RWBAS
has agreed to waive its fee through December 31, 1996. Absent such waiver by
RWBAS, the estimated annualized ratio of expenses to average net assets for the
fiscal year ending November 30, 1996 is 0.41% for RWB/DFA Two-Year Corporate
Fixed Income Portfolio and 0.43% for RWB/DFA Two-Year Government Portfolio.
EXAMPLE
You would pay the following transaction and annual operating expenses on a
$1,000 investment in each Portfolio, assuming a 5% annual return over each of
the following time periods and redemption at the end of each time period:
<TABLE>
<CAPTION>
1 Year 3 Years 5 Years 10 Years
------ ------ ------ --------
<S> <C> <C> <C> <C>
RWB/DFA U.S. High Book to Market
Portfolio $4 $13 n/a n/a
RWB/DFA Two-Year Corporate
Fixed Income Portfolio $4 $12 n/a n/a
RWB/DFA Two-Year Government
Portfolio $4 $13 n/a n/a
</TABLE>
3
<PAGE>
The purpose of the above fee table and Example is to assist investors
in understanding the various costs and expenses that an investor in the
Portfolios will bear directly or indirectly. THE EXAMPLE SHOULD NOT BE
CONSIDERED A REPRESENTATION OF PAST OR FUTURE EXPENSES. ACTUAL EXPENSES MAY BE
GREATER OR LESSER THAN THOSE SHOWN.
The table summarizes the aggregate estimated annual operating expenses
of both the Portfolios and the corresponding Series. (See "MANAGEMENT OF THE
PORTFOLIOS" for a description of Portfolio and Series expenses.) The Board of
Directors of the Fund has considered whether such expenses will be more or less
than they would have been if each Portfolio were to have invested directly in
the securities held by its corresponding Series. The aggregate amount of
expenses for a Portfolio and the corresponding Trust Series may be greater than
it would have been if the Portfolio were to invest directly in the securities
held by the corresponding Trust Series. However, the total expense ratios for
the Portfolios and their corresponding Series are expected to be less over time
than such ratios would have been if the Portfolios would have invested directly
in the underlying securities. This is because this arrangement enables
institutional investors, including the Portfolios, to pool their assets, which
may be expected to result in economies by spreading certain fixed costs over a
larger asset base. Each shareholder in a Series, including the corresponding
Portfolio, will pay its proportionate share of the expenses of the Series.
The Portfolios are new and, therefore, their expenses included in the
table are the estimated annualized expenses that are expected to be incurred
through the fiscal period ending November 30, 1996; and the above example is
based on estimated expenses for the current and next two fiscal years and does
not extend those estimates over five and ten-year periods. The estimated
expenses with respect to the RWB/DFA U.S. High Book to Market Portfolio take
into account the actual expenses of the Large Cap Value Series for the fiscal
year ended November 30, 1995.
SPECIAL INFORMATION ABOUT THE PORTFOLIOS' STRUCTURE
Each of the Portfolios, unlike many other investment companies which
directly acquire and manage their own portfolio of securities, seeks to achieve
its investment objective by investing all of its investable assets in a
corresponding Series of the Trust, an open-end, management investment company,
registered under the Investment Company Act of 1940, that issues Series having
the same investment objective as each of the Portfolios. The investment
objective of a Portfolio may not be changed without the affirmative vote of a
majority of its outstanding securities and the investment objective of a Series
of the Trust may not be changed without the affirmative vote of a majority of
its outstanding securities. Shareholders of a Portfolio will receive written
notice thirty days prior to any change in the investment objective of its
corresponding Trust Series.
This prospectus describes the investment objective, policies and
restrictions of each Portfolio and its corresponding Series. (See "RWB/DFA U.S.
HIGH BOOK TO MARKET PORTFOLIO - INVESTMENT OBJECTIVE AND POLICIES" and "FIXED
INCOME PORTFOLIOS - INVESTMENT OBJECTIVES AND POLICIES.") In addition, an
investor should read "MANAGEMENT OF THE PORTFOLIOS" for a description of the
management and other expenses associated with the Portfolios' investment in the
Trust. Other institutional investors, including other mutual funds, may invest
in each Series and the expenses of such other investors and, correspondingly,
their returns may differ from those of the Portfolios. Please contact the Trust
at 1299 Ocean Avenue, 11th Floor, Santa Monica, CA 90401, (310) 395-8005 for
information about the availability of investing in the Series other than through
the Portfolios.
The shares of the Series will be offered to institutional investors
for the purpose of increasing the funds available for investment, to reduce
expenses as a percentage of total assets and to achieve other economies that
might be available at higher asset levels. For example, a Series might be able
to place larger block trades at more advantageous prices and to participate in
securities transactions of larger denominations, thereby reducing the relative
amount of certain transaction costs in relation to the total size of the
transaction. While investment in a Series by other institutional investors
offers potential benefits to the Series and, through their investment in the
Series, the Portfolios also, institutional investment in the Series also entails
the risk that economies and
4
<PAGE>
expense reductions might not be achieved and additional investment
opportunities, such as increased diversification, might not be available if
other institutions do not invest in the Series. Also, if an institutional
investor were to redeem its interest in a Series, the remaining investors in
that Series could experience higher
pro rata operating expenses, thereby producing lower returns, and the Series'
security holdings may become less diverse, resulting in increased risk.
Institutional investors that have a greater pro rata ownership interest in a
Series than the corresponding Portfolio could have effective voting control over
the operation of the Series.
Further, if a Series changes its investment objective in a manner
which is inconsistent with the investment objective of a corresponding Portfolio
and the shareholders of the Portfolio fail to approve a similar change in the
investment objective of the Portfolio, the Portfolio would be forced to withdraw
its investment in the Series and either seek to invest its assets in another
registered investment company with the same investment objective as the
Portfolio, which might not be possible, or retain an investment advisor to
manage the Portfolio's assets in accordance with its own investment objective,
possibly at increased cost. A withdrawal by a Portfolio of its investment in
the corresponding Series could result in a distribution in kind of portfolio
securities (as opposed to a cash distribution) to the Portfolio. Should such a
distribution occur, the Portfolio could incur brokerage fees or other
transaction costs in converting such securities to cash in order to pay
redemptions. In addition, a distribution in kind to the Portfolio could result
in a less diversified portfolio of investments and could affect adversely the
liquidity of the Portfolio. Moreover, a distribution in kind by the Series
corresponding to the RWB/DFA U.S. High Book to Market Portfolio and RWB/DFA Two-
Year Corporate Fixed Income Portfolio may constitute a taxable exchange for
federal income tax purposes resulting in gain or loss to these Portfolios. Any
net capital gains so realized will be distributed to such a Portfolio's
shareholders as described below under "Dividends, Capital Gains Distributions
and Taxes."
Finally, the Portfolios' investment in the shares of a registered
investment company such as the Trust is new and results in certain operational
and other complexities. However, management believes that the benefits to be
gained by shareholders outweigh the additional complexities and that the risks
attendant to such investment are not inherently different from the risks of
direct investment in securities of the type in which the Trust Series invest.
RWB/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO -
INVESTMENT OBJECTIVE AND POLICIES
PORTFOLIO CHARACTERISTICS AND POLICIES
The investment objective of the RWB/DFA U.S. High Book to Market
Portfolio is to achieve long-term capital appreciation. The Portfolio pursues
its objective by investing all of its assets in the U.S. Large Cap Value Series
of the Trust (the "Large Cap Value Series"), which has the same investment
objective and policies as the Portfolio. The Large Cap Value Series seeks to
achieve its objective by investing in common stocks of large U.S. companies with
shares that have a high book value in relation to their market value (a "book to
market ratio"). A company's shares will be considered to have a high book to
market ratio if the ratio equals or exceeds the ratios of any of the 30% of
companies with the highest positive book to market ratios whose shares are
listed on the NYSE and, except as described below under "Portfolio Structure,"
will be considered eligible for investment. A company will be considered
"large" if its market capitalization (i.e., the market price of its common stock
multiplied by the number of outstanding shares) equals or exceeds that of the
company having the median market capitalization of companies whose shares are
listed on the NYSE. In addition, the Large Cap Value Series is authorized to
invest in private placements of interest-bearing debentures that are convertible
into common stock ("privately placed convertible debentures"). Such investments
are considered illiquid and the value thereof together with the value of all
other illiquid investments may not exceed 15% of the value of the Large Cap
Value Series' total assets at the time of purchase.
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PORTFOLIO STRUCTURE
The Large Cap Value Series will operate as a "diversified" investment
company. Further, the Large Cap Value Series will not invest more than 25% of
its total assets in securities of companies in a single industry. Ordinarily,
at least 80% of the assets of the Large Cap Value Series will be invested in a
broad and diverse group of readily marketable common stocks of large U.S.
companies with high book to market ratios, as described above. The Large Cap
Value Series may invest a portion of its assets, ordinarily not more than 20%,
in high quality, highly liquid fixed income securities such as money market
instruments, including short-term repurchase agreements. The Large Cap Value
Series will purchase securities that are listed on the principal U.S. national
securities exchanges and traded over-the-counter.
The Large Cap Value Series will be structured on a market
capitalization basis, by generally basing the amount of each security purchased
on the issuer's relative market capitalization, with a view to creating in the
Large Cap Value Series a reasonable reflection of the relative market
capitalizations of its portfolio companies. However, the Advisor may exclude
the securities of a company that otherwise meets the applicable criteria
described above if the Advisor determines, in its best judgment, that other
conditions exist that make the inclusion of such security inappropriate.
Deviation from strict market capitalization weighing will also occur
because the Large Cap Value Series intends to purchase round lots only. In
order to retain sufficient liquidity, the relative amount of any security held
by the Large Cap Value Series may be reduced, from time to time, from the level
which adherence to market capitalization weighing would otherwise require. A
portion, but generally not in excess of 20%, of the Large Cap Value Series'
assets may be invested in interest-bearing obligations, as described above,
thereby causing further deviation from market capitalization weighing. The
Large Cap Value Series may make block purchases of eligible securities at
opportune prices even though such purchases exceed the number of shares which,
at the time of purchase, strict adherence to the policy of market capitalization
weighing would otherwise require. While such transactions might cause a
temporary deviation from market capitalization weighing, they would ordinarily
be made in anticipation of further growth of the assets of the Large Cap Value
Series. If securities must be sold in order to obtain funds to make redemption
payments, such securities may be repurchased by the Large Cap Value Series as
additional cash becomes available to it. However, the Portfolio and the Large
Cap Value Series each has retained the right to borrow to make redemption
payments and are also authorized to redeem their shares in kind. (See
"REDEMPTION OF SHARES.")
Changes in the composition and relative ranking (in terms of market
capitalization and book to market ratio) of the stocks which are eligible for
purchase by the Large Cap Value Series take place with every trade when the
securities markets are open for trading due, primarily, to price fluctuations of
such securities. On not less than a semi-annual basis, the Advisor will prepare
a current list of large U.S. companies with high book to market ratios whose
stock is eligible for investment. Only common stocks whose market
capitalizations are not less than the minimum on such list will be purchased by
the Large Cap Value Series. Additional investments will not be made in
securities of issuers which have depreciated in value to such an extent that
they are not then considered by the Advisor to be large companies. This may
result in further deviation from market capitalization weighing and such
deviation could be substantial if a significant amount of the Large Cap Value
Series' holdings decrease in value sufficiently to be excluded from the then
current market capitalization requirement for eligible securities, but not by a
sufficient amount to warrant their sale. A further deviation from market
capitalization weighing may occur if the Large Cap Value Series invests a
portion of its assets in privately placed convertible debentures. (See
"Portfolio Characteristics and Policies.")
It is management's belief that the stocks of large U.S. companies with
high book to market ratios offer, over a long term, a prudent opportunity for
capital appreciation but, at the same time, selecting a limited number of such
issues for inclusion in the Large Cap Value Series involves greater risk than
including a large number of them. The Advisor does not anticipate that a
significant number of securities which meet the market capitalization criteria
will be selectively excluded from the Large Cap Value Series.
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The Large Cap Value Series does not seek current income as an
investment objective and investments will not be based upon an issuer's dividend
payment policy or record. However, many of the companies whose securities will
be included in the Large Cap Value Series do pay dividends. It is anticipated,
therefore, that the Large Cap Value Series will receive dividend income.
PORTFOLIO TRANSACTIONS
The Large Cap Value Series does not intend to purchase or sell
securities based on the prospects for the economy, the securities markets or the
individual issuers whose shares are eligible for purchase. As described under
"Portfolio Structure," investments will be made in virtually all eligible
securities on a market capitalization weighted basis. This is a passive
approach to investment management that does not entail taking steps to reduce
risk by replacing portfolio equity securities with other securities that appear
to have the potential to provide better investment performance.
Generally, securities will be purchased with the expectation that they
will be held for longer than one year. The Advisor may, from time to time, sell
portfolio securities when, in its opinion, such action is necessary to pay
redemptions in cash. However, the Large Cap Value Series and the Portfolio are
authorized to borrow in order to pay redemptions in cash. The Large Cap Value
Series may sell portfolio securities when the issuer's market capitalization
falls substantially below that of the issuer with the minimum market
capitalization which is then eligible for purchase by the Large Cap Value
Series. In addition, the Large Cap Value Series may sell portfolio securities
when their book to market ratio falls substantially below that of the security
with the lowest such ratio that is then eligible for purchase by the Series.
However, securities may be sold at any time when, in the Advisor's judgment,
circumstances warrant their sale. The annual portfolio turnover rate is not
expected to exceed 25%.
INVESTMENT OBJECTIVES AND POLICIES - FIXED INCOME PORTFOLIOS
RWB/DFA TWO-YEAR CORPORATE FIXED INCOME PORTFOLIO
The investment objective of RWB/DFA Two-Year Corporate Fixed Income
Portfolio is to maximize total returns consistent with the preservation of
capital. This objective will be pursued by investing the assets of the
Portfolio in the Two-Year Corporate Fixed Income Series. The Two-Year Corporate
Fixed Income Series has the same investment objective and policies as the
Portfolio. The Two-Year Corporate Fixed Income Series will invest in U.S.
government obligations, U.S. government agency obligations, dollar denominated
obligations of foreign issuers issued in the U.S., bank obligations, including
U.S. subsidiaries and branches of foreign banks, corporate obligations,
commercial paper, repurchase agreements and obligations of supranational
organizations. It is the Two-Year Corporate Fixed Income Series' policy to
acquire obligations which mature within two years from the date of settlement.
The Two-Year Corporate Fixed Income Series principally invests in certificates
of deposit, commercial paper, bankers' acceptances, notes and bonds. The Series
will invest more than 25% of its total assets in obligations of U.S. and/or
foreign banks and bank holding companies when the yield to maturity on these
instruments exceeds the yield to maturity on all other eligible portfolio
investments of similar quality for a period of five consecutive days when the
NYSE is open for trading. (See "Investments in the Banking Industry.")
RWB/DFA TWO-YEAR GOVERNMENT PORTFOLIO
The investment objective of the RWB/DFA Two-Year Government Portfolio
is to maximize total returns available from the universe of debt obligations of
the U.S. government and U.S. government agencies and consistent with the
preservation of capital. This objective will be pursued by investing the assets
of the Portfolio in the Two-Year Government Series. The Two-Year Government
Series has the same investment
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objective and policies as the Portfolio. Generally, the Two-Year Government
Series will acquire U.S. government obligations and U.S. government agency
obligations that mature within two years from the date of settlement. The Two-
Year U.S. Government Series will also acquire repurchase agreements.
DESCRIPTION OF INVESTMENTS
The following is a description of the categories of investments which
may be acquired by the Fixed Income Portfolios:
Permissible
categories
----------
RWB/DFA Two-Year Corporate Fixed Income Portfolio 1-7
RWB/DFA Two-Year Government Portfolio 1, 2, 6
1. U.S. GOVERNMENT OBLIGATIONS - Debt securities issued by the U.S.
Treasury which are direct obligations of the U.S. government, including bills,
notes and bonds.
2. U.S. GOVERNMENT AGENCY OBLIGATIONS - Issued or guaranteed by U.S.
government-sponsored instrumentalities and federal agencies, including the
Federal National Mortgage Association, Federal Home Loan Bank and the Federal
Housing Administration.
3. CORPORATE DEBT OBLIGATIONS - Non-convertible corporate debt
securities (e.g., bonds and debentures) which are issued by companies whose
commercial paper is rated Prime-1 by Moody's Investors Services, Inc.
("Moody's") or A-1 by Standard & Poor's Corporation ("S&P") and dollar-
denominated obligations of foreign issuers issued in the U.S. If the issuer's
commercial paper is unrated, then the debt security would have to be rated at
least AA by S&P or Aa2 by Moody's. If there is neither a commercial paper
rating nor a rating of the debt security, then the Advisor must determine that
the debt security is of comparable quality to equivalent issues of the same
issuer rated at least AA or Aa2.
4. BANK OBLIGATIONS - Obligations of U.S. banks and savings and loan
associations and dollar-denominated obligations of U.S. subsidiaries and
branches of foreign banks, such as certificates of deposit (including marketable
variable rate certificates of deposit) and bankers' acceptances. Bank
certificates of deposit will be acquired only if the bank has assets in excess
of $1,000,000,000.
5. COMMERCIAL PAPER - Rated, at the time of purchase, A-1 or better
by S&P or Prime-1 by Moody's, or, if not rated, issued by a corporation having
an outstanding unsecured debt issue rated Aaa by Moody's or AAA by S&P, and
having a maximum maturity of nine months.
6. REPURCHASE AGREEMENTS - Instruments through which the Series
purchases securities ("underlying securities") from a bank, or a registered U.S.
government securities dealer, with an agreement by the seller to repurchase the
security at an agreed price, plus interest at a specified rate. The underlying
securities will be limited to U.S. government and agency obligations described
in (1) and (2) above. The Series will not enter into a repurchase agreement
with a duration of more than seven days if, as a result, more than 10% of the
value of the Series' total assets would be so invested. The Series will also
only invest in repurchase agreements with a bank if the bank has at least
$1,000,000,000 in assets and is approved by the Investment Committee of the
Advisor. The Advisor will monitor the market value of the securities plus any
accrued interest thereon so that they will at least equal the repurchase price.
7. SUPRANATIONAL ORGANIZATION OBLIGATIONS - Debt securities of
supranational organizations such as the European Coal and Steel Community, the
European Economic Community and the World Bank, which are chartered to promote
economic development.
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INVESTMENTS IN THE BANKING INDUSTRY
The Two-Year Corporate Fixed Income Series will invest more than 25%
of its total assets in obligations of U.S. and/or foreign banks and bank holding
companies when the yield to maturity on these investments exceeds the yield to
maturity on all other eligible portfolio investments for a period of five
consecutive days when the NYSE is open for trading. For the purpose of this
policy, which is a fundamental policy of the Two-Year Corporate Fixed Income
Series, which can only be changed by a vote of the shareholders of the Series,
banks and bank holding companies are considered to constitute a single industry,
the banking industry. The RWB/DFA Two-Year Corporate Fixed Income Portfolio has
the same fundamental policy, which can only be changed by a vote of the
Portfolio's shareholders, except that the Portfolio's policy does not apply to
the extent that all or substantially all of its net assets are invested in the
Two-Year Corporate Fixed Income Series. When investment in such obligations
exceeds 25% of the total net assets of the Two-Year Corporate Fixed Income
Series, the Series will be considered to be concentrating its investments in the
banking industry.
The types of bank and bank holding company obligations in which the
Two-Year Corporate Fixed Income Series may invest include: dollar-denominated
certificates of deposit, bankers' acceptances, commercial paper and other debt
obligations issued in the United States and which mature within two years of the
date of settlement, provided such obligations meet the Series' established
credit rating criteria as stated under "Description of Investments." In
addition, the Two-Year Corporate Fixed Income Series is authorized to invest
more than 25% of its total assets in Treasury bonds, bills and notes and
obligations of federal agencies and instrumentalities.
PORTFOLIO STRATEGY
The Two-Year Corporate Fixed Income Series will be managed with a view
to capturing credit risk premiums and term or maturity premiums. As used
herein, the term "credit risk premium" means the anticipated incremental return
on investment for holding obligations considered to have greater credit risk
than direct obligations of the U.S. Treasury, and "maturity risk premium" means
the anticipated incremental return for holding securities having maturities of
longer than one month compared to securities having a maturity of one month.
The Advisor believes that credit risk premiums are available largely through
investment in high grade commercial paper, certificates of deposit and corporate
obligations. The holding period for assets of the Two-Year Corporate Fixed
Income Series will be chosen with a view to maximizing anticipated monthly
returns, net of trading costs.
The Two-Year Corporate Fixed Income Series and the Two-Year Government
Series are expected to have high portfolio turnover rates due to the relatively
short maturities of the securities to be acquired. The rate of portfolio
turnover will depend upon market and other conditions; it will not be a limiting
factor when management believes that portfolio changes are appropriate. It is
anticipated that the annual turnover rate of the Two-Year Corporate Fixed Income
Series could be 0% to 200%, and the Two-Year Government Series could be 100% to
500%. While the Two-Year Corporate Fixed Income Series and Two-Year Government
Series acquire securities in principal transactions and, therefore, do not pay
brokerage commissions, the spread between the bid and asked prices of a security
may be considered to be a "cost" of trading. Such costs ordinarily increase
with trading activity. However, as stated above, securities ordinarily will be
sold when, in the Advisor's judgment, the monthly return of the Two-Year
Corporate Fixed Income Series or the Two-Year Government Series will be
increased as a result of portfolio transactions after taking in to account the
cost of trading. It is anticipated that securities will be acquired in the
secondary markets for short term instruments.
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SECURITIES LOANS
The Portfolios and the corresponding Series of the Trust are
authorized to lend securities to qualified brokers, dealers, banks and other
financial institutions for the purpose of earning additional income, although
inasmuch as a Portfolio will only hold shares of its corresponding Series, the
Portfolios do not intend to lend those shares. While a Series may earn
additional income from lending securities, such activity is incidental to a
Series' investment objective. The value of securities loaned may not exceed 33
1/3% of the value of a Series' total assets. In connection with such loans, a
Series will receive collateral consisting of cash or U.S. Government securities,
which will be maintained at all times in an amount equal to at least 100% of the
current market value of the loaned securities. In addition, the Series will be
able to terminate the loan at any time, will receive reasonable interest on the
loan, as well as amounts equal to any dividends, interest or other distributions
on the loaned securities. In the event of the bankruptcy of the borrower, the
Series could experience delay in recovering the loaned securities. Management
believes that this risk can be controlled through careful monitoring procedures.
RISK FACTORS
FOREIGN SECURITIES
The Two-Year Corporate Fixed Income Series invests in foreign issuers.
Such investments involve risks that are not associated with investments in U.S.
public companies. Such risks may include legal, political and or diplomatic
actions of foreign governments, such as imposition of withholding taxes on
interest and dividend income payable on the securities held, possible seizure or
nationalization of foreign deposits, establishment of exchange controls or the
adoption of other foreign governmental restrictions which might adversely affect
the value of the assets held by the Two-Year Corporate Fixed Income Series.
Further, foreign issuers are not generally subject to uniform accounting,
auditing and financial reporting standards comparable to those of U.S. public
companies and there may be less publicly available information about such
companies than comparable U.S. companies. The Two-Year Corporate Fixed Income
Series may also invest in obligations of supranational organizations. The value
of the obligations of these organizations may be adversely affected if one or
more of their supporting governments discontinue their support.
BORROWING
Each Portfolio and each corresponding Series of the Trust has reserved
the right to borrow amounts not exceeding 33% of its net assets from banks as a
temporary measure for extraordinary or emergency purposes. When advantageous
opportunities to do so exist, each Portfolio and each Series may also purchase
securities when borrowings exceed 5% of the value of its net assets. Such
purchases can be considered to be "leveraging," and, in such circumstances, the
net asset value of the Series or Portfolio may increase or decrease at a greater
rate than would be the case if the Series or Portfolio had not leveraged. The
interest payable on the amount borrowed would increase the Series' or
Portfolios' expenses and if the appreciation and income produced by the
investments purchased when the Series or Portfolios has borrowed are less than
the cost of borrowing, the investment performance of each Series or Portfolio
will be reduced as a result of leveraging.
PORTFOLIO STRATEGY
The method employed by the Advisor to manage the Large Cap Value
Series differs from the process employed by many other investment advisors in
that the Advisor will rely on fundamental analysis of the investment merits of
securities to a limited extent to eliminate potential acquisitions rather than
rely on this technique to select securities. Further, because securities
generally will be held long-term and will not be eliminated based on short-term
price fluctuations, the Advisor generally will not act upon general market
movements or short-term price fluctuations of securities to as great an extent
as many other investment advisors.
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FUTURES CONTRACTS AND OPTIONS ON FUTURES
The Large Cap Value Series also may invest in index futures contracts
and options on index futures, provided that, in accordance with current
regulations, not more than 5% of the Series' total assets are then invested as
initial margin deposits on such contracts or options. In addition, to the
extent that the Series invests in futures contracts and options thereon for
other than bona fide hedging purposes, the Series will enter into such
transactions if, immediately thereafter, the sum of the amount of initial margin
deposits and premiums paid for open futures options would exceed 5% of the
Series' total assets, after taking into account unrealized profits and
unrealized losses on such contracts it has entered into; provided, however,
that, in the case of an option that is in-the-money at the time of purchase, the
in-the-money amount may be excluded in calculating the 5%.
These investments entail the risk that an imperfect correlation may
exist between changes in the market value of the stocks owned by the Large Cap
Value Series and the prices of such futures contracts and options and, at times,
the market for such contracts and options might lack liquidity, thereby
inhibiting a Series' ability to close a position in such investments. Gains or
losses on investments in options and futures depends on the direction of
securities prices, interest rates and other economic factors and the loss from
investing in futures transactions is potentially unlimited.
BANKING INDUSTRY CONCENTRATION
Concentrating in obligations of the banking industry may involve
additional risk by foregoing the safety of investing in a variety of industries.
Changes in the market's perception of the riskiness of banks relative to non-
banks could cause more fluctuations in the net asset value of the Two-Year
Corporate Fixed Income Series (and thus, the RWB/DFA Two-Year Corporate Fixed
Income Portfolio) than might occur in a less concentrated portfolio.
REPURCHASE AGREEMENTS
Each Series may invest in repurchase agreements. In the event of
bankruptcy of the other party to a repurchase agreement, the Trust could
experience delay in recovering the securities underlying such agreements.
Management believes that this risk can be controlled through stringent security
selection criteria and careful monitoring procedures.
MANAGEMENT OF THE PORTFOLIOS
Dimensional Fund Advisors Inc. serves as investment advisor to each
Series and, as such, is responsible for the management of their respective
assets. Investment decisions for the Series are made by the Investment
Committee of the Advisor which meets on a regular basis and also as needed to
consider investment issues. The Investment Committee is composed of certain
officers and directors of the Advisor who are elected annually. The Advisor
provides each Series with a trading department and selects brokers and dealers
to effect securities transactions.
Securities transactions are placed with a view to obtaining the best
price and execution of such transactions. The Advisor is authorized to pay a
higher commission to a broker, dealer or exchange member than another such
organization might charge if it determines, in good faith, that the commission
paid is reasonable in relation to the research or brokerage services provided by
such organization. The Large Cap Value Series, for the fiscal year ended
November 30, 1995, paid an investment management fee to the Advisor equal to
.10% of its average net assets on an annual basis. Pursuant to the investment
management agreements between the Advisor and the Series, the Two-Year Corporate
Fixed Income Series and the Two-Year Government Series pay an investment
management fee equal to .15%, respectively, of the average net assets of the
Series on an annual basis.
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Each Portfolio and Series bears all of its own costs and expenses,
including: services of its independent accountants, legal counsel, brokerage
commissions and transfer taxes in connection with the acquisition and
disposition of portfolio securities, taxes, insurance premiums, costs incidental
to meetings of its shareholders and directors or trustees, the cost of filing
its registration statements under federal and, for only a Portfolio, state
securities laws, reports to shareholders, and transfer and dividend disbursing
agency, administrative services and custodian fees. Expenses allocable to a
particular Portfolio of the Fund or Series of the Trust are so allocated and
expenses which are not allocable to a particular Portfolio or Series are borne
by each Portfolio or Series on the basis of the amount of fees paid by the Fund
or Trust to PFPC, the dividend disbursing and accounting services agent of the
Fund.
The Advisor was organized in May 1981 and is engaged in the business
of providing investment management services to institutional investors. Assets
under management total approximately $12.5 billion. David G. Booth and Rex A.
Sinquefield, directors and officers of both the Fund and the Advisor and
trustees and officers of the Trust, together own approximately 64% of the
Advisor's outstanding stock and may be deemed controlling persons of the
Advisor.
The Board of Directors is responsible for establishing Portfolio
policies and for overseeing the management of the Portfolios. Each of the
Directors and officers of the Fund is also a Trustee and officer of the Trust.
The Directors of the Fund, including all of the disinterested Directors, have
adopted written procedures to monitor potential conflicts of interest that might
develop between the Portfolios and the Series. The statement of additional
information relating to the Portfolios furnishes information about the Directors
and officers of the Fund. (See "DIRECTORS AND OFFICERS" in the statement of
additional information.)
ADMINISTRATIVE SERVICES
The Fund has entered into an administration agreement with the Advisor
on behalf of each Portfolio. Pursuant to the administration agreement, the
Advisor will perform various services, including: supervision of the services
provided by the Portfolio's custodian and dividend disbursing agent and others
who provide services to the Fund for the benefit of the Portfolio; assisting the
Fund to comply with the provisions of federal, state, local and foreign
securities, tax and other laws applicable to the Portfolio; providing
shareholders of record with information about the Portfolio and their
investments as they or the Fund may request; assisting the Fund to conduct
meetings of shareholders; furnishing information as the Board of Directors may
require regarding the Series; and any other administrative services for the
benefit of the Portfolio as the Board of Directors may reasonably request. The
Advisor also provides the Fund with office space and personnel. For these
administrative services, each Portfolio pays the Advisor a monthly fee which, on
an annual basis, equals .01% of the average daily net assets of each Portfolio.
PFPC serves as the accounting services, dividend disbursing and
transfer agent for the Portfolios and the Series. The services provided by PFPC
are subject to supervision by the executive officers and the Board of Directors
of the Fund, and include day-to-day keeping and maintenance of certain records,
calculation of the net asset value of the shares, preparation of reports,
liaison with the Portfolios' and the Series' custodian and dividend disbursing
agent. For its services, the RWB/DFA U.S. High Book to Market Portfolio and
RWB/DFA Two-Year Corporate Fixed Income Portfolio each pay PFPC a monthly fee of
$1,000 and RWB/DFA Two-Year Government Portfolio pays a monthly fee of $2,600.
CLIENT SERVICE AGENT
Pursuant to a Client Service Agent Agreement with each Portfolio,
RWBAS performs various services for the Portfolios, including establishment of a
toll-free telephone number for shareholders of each Portfolio to use to obtain
or receive up-to-date account information; providing to shareholders quarterly
and other reports with respect to the performance of each Portfolio; and
providing shareholders with such information regarding the operations and
affairs of each Portfolio, and their investment in its shares, as the
shareholders or the Board of Directors may reasonably request. For its
services, each Portfolio pays RWBAS a monthly fee which, on an
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annual basis, equals .09% of the average daily net assets of the RWB/DFA U.S.
High Book to Market Portfolio and .03% of the other Portfolios. RWBAS has
agreed to waive its client services fee for the Fixed Income Portfolios through
December 31, 1996.
DIVIDENDS, CAPITAL GAINS DISTRIBUTIONS AND TAXES
Each Portfolio of the Fund intends to qualify each year as a regulated
investment company under the Internal Revenue Code of 1986, as amended (the
"Code"), so that it will not be liable for federal income taxes to the extent
that its net investment income and net realized capital gains are distributed.
The RWB/DFA U.S. High Book to Market Portfolio and the Fixed Income Portfolios
distribute dividends from their net investment quarterly. The three Portfolios
will distribute any realized net capital gains annually after the end of the
Fund's fiscal year. Each Portfolio of the Fund is treated as a separate
corporation for federal tax purposes.
As noted above, the RWB/DFA U.S. High Book to Market Portfolio and the
Fixed Income Portfolios (collectively the "Corporate Feeder Portfolios") seek to
achieve their investment objectives by investing all of their investable assets
in a corresponding series of shares of the Trust (collectively "Corporate
Series"). The Corporate Series intend to qualify each year as regulated
investment companies under the Code.
A Corporate Feeder Portfolio receives income in the form of income
dividends paid by the corresponding Corporate Series. This income, less the
expenses incurred in operations, is a Corporate Feeder Portfolio's net
investment income from which income dividends are distributed as described
above. A Corporate Feeder Portfolio also may receive capital gains
distributions from the corresponding Corporate Series and may realize capital
gains upon the redemption of the shares of the corresponding Corporate Series.
Any net realized capital gains of a Corporate Feeder Portfolio will be
distributed as described below.
As noted above, the RWB/DFA Two-Year Government Portfolio seeks to
achieve its investment objective by investing all of its investable assets in
the Two-Year Government Series of the Trust. The Two-Year Government Series is
classified as a partnership for federal income tax purposes. The RWB/DFA Two-
Year Government Portfolio receives a proportionate share of the net investment
income and capital gains and losses realized by the Series. This income, less
the expenses incurred in operations, is the source from which such Portfolio
distributes income and capital gain dividends as described above.
Whether paid in cash or additional shares and regardless of the length
of time a Portfolio's shares have been owned by shareholders who are subject to
federal income taxes, distributions from long-term capital gains are taxable as
such. Dividends from net investment income or net short-term capital gains will
be taxable as ordinary income, whether received in cash or in additional shares.
For those investors subject to tax, if purchases of shares of a Portfolio are
made shortly before the record date for a dividend or capital gains
distribution, a portion of the investment will be returned as a taxable
distribution. Shareholders are notified annually by the Fund as to the federal
tax status of dividends and distributions paid by the Portfolio whose shares
they own.
Shareholders of all of the Portfolios will automatically receive all
income dividends and any capital gains distributions in additional shares of the
Portfolio whose shares they hold at net asset value (as of the business date
following the dividend record date), unless upon written notice to the transfer
agent the shareholder selects one of the following options:
Income Option - to receive income dividends in cash and
capital gains distributions in
additional shares at net asset value.
Capital Gains Option - to receive capital gains distributions
in cash and income dividends in
additional shares at net asset value.
Cash Option - to receive both income dividends and
capital gains distributions in cash.
13
<PAGE>
Dividends which are declared in October, November or December to
shareholders of record in such a month but which, for operational reasons, may
not be paid to the shareholder until the following January, will be treated for
tax purposes as if paid by the Portfolio and received by the shareholder on
December 31 of the calendar year in which they are declared.
The sale of shares of a Portfolio is a taxable event and may result in
a capital gain or loss to shareholders subject to tax. Capital gain or loss may
be realized from an ordinary redemption of shares or an exchange of shares
between two Portfolios of the Fund. Any loss incurred on sale or exchange of a
Portfolio's shares, held for six months or less, will be treated as a long-term
capital loss to the extent of capital gain dividends received with respect to
such shares.
Since virtually all of the net investment income from the Fixed Income
Portfolios is expected to arise from earned interest, it is not expected that
either of the Portfolios' distributions will be eligible for the dividends
received deduction for corporations. The portion of dividends paid by the
RWB/DFA U.S. High Book to Market Portfolio from net investment income that is
eligible for the corporate dividends received deduction depends on the
Portfolio's pro rata share of the aggregate qualifying dividend income received
by its corresponding Series from domestic (U.S.) sources.
In addition to federal taxes, shareholders may be subject to state and
local taxes on distributions. Distributions of interest income and capital
gains realized from certain types of U.S. government securities may be exempt
from state personal income taxes.
A Portfolio is required to withhold 31% of taxable dividends, capital
gains distributions, and redemptions paid to shareholders who have not complied
with IRS taxpayer identification regulations. You may avoid this withholding
requirement by certifying on the account registration form your proper Taxpayer
Identification Number and by certifying that you are not subject to backup
withholding.
The tax discussion set forth above is included for general information
only. Prospective investors should consult their own tax advisers concerning
the federal, state, local or foreign tax consequences of an investment in a
Portfolio.
PURCHASE OF SHARES
Only clients of RWBAS are eligible to purchase shares of the
Portfolios. Investors should first contact RWBAS at (800) 366-7266, ext. 124,
to notify RWBAS of the proposed investment.
Most shares of the Portfolios that will be purchased or sold through
omnibus accounts maintained by securities firms may be subject to a service fee
or commission for such transactions. Clients of RWBAS may also be subject to
investment advisory fees under their own arrangements with RWBAS.
IN KIND PURCHASES
If accepted by the Fund, shares of a Portfolio may be purchased in
exchange for securities which are eligible for acquisition by its corresponding
Series or otherwise represented in the Series' portfolios as described in this
prospectus. Securities to be exchanged which are accepted by the Fund and Fund
shares to be issued therefore will be valued as set forth under "VALUATION OF
SHARES" at the time of the next determination of net asset value after such
acceptance. All dividends, interests, subscription, or other rights pertaining
to such securities shall become the property of the Portfolio whose shares are
being acquired and must be delivered to the Fund by the investor upon receipt
from the issuer.
14
<PAGE>
The Fund will not accept securities in exchange for shares of a
Portfolio unless: (1) such securities are, at the time of the exchange,
eligible to be included, or otherwise represented, in the Series corresponding
to the Portfolio whose shares are to be issued and current market quotations are
readily available for such securities; (2) the investor represents and agrees
that all securities offered to be exchanged are not subject to any restrictions
upon their sale by the Portfolio under the Securities Act of 1933 or under the
laws of the country in which the principal market for such securities exists, or
otherwise; and (3) at the discretion of the Fund, the value of any such security
(except U.S. Government securities) being exchanged together with other
securities of the same issuer owned by the corresponding Series may not exceed
5% of the net assets of the Series immediately after the transaction. The Fund
will accept such securities for investment and not for resale.
A gain or loss for federal income tax purposes will generally be
realized by investors who are subject to federal taxation upon the exchange
depending upon the cost of the securities. Investors interested in such
exchanges should contact the Advisor. Purchases of shares will be made in full
and fractional shares calculated to three decimal places. In the interest of
economy and convenience, certificates for shares will not be issued except at
the written request of stockholders. Certificates for fractional shares,
however, will not be issued.
VALUATION OF SHARES
The net asset value per share of each Portfolio and corresponding
Series is calculated as of the close of the NYSE by dividing the total market
value of its investments and other assets, less any liabilities, by the total
outstanding shares of the stock of the Series or Portfolio. The value of a
Portfolio's shares will fluctuate in relation to the investment experience of
the corresponding Series. Securities held by a Series which are listed on a
securities exchange and for which market quotations are available are valued at
the last quoted sale price of the day or, if there is no such reported sale, the
U.S. Large Cap Value Series values such securities at the mean between the most
recent quoted 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 quoted bid and asked prices. The value of other
assets and securities for which no quotations are readily available (including
restricted securities) are determined in good faith at fair value in accordance
with procedures adopted by the Board of Trustees of the Trust.
The value of the shares of the Fixed Income Portfolios, the Two-Year
Corporate Fixed Income Series and the Two-Year Government Series will tend to
fluctuate with interest rates because, unlike money market funds, these
Portfolios and the Series do not seek to stabilize the value of their respective
shares by use of the "amortized cost" method of asset valuation. Net asset
value includes interest on fixed income securities which is accrued daily.
Securities which are traded over-the-counter and on a stock exchange will be
valued according to the broadest and most representative market, and it is
expected that for bonds and other fixed-income securities this ordinarily will
be the over-the-counter market. Securities held by the Two-Year Corporate Fixed
Income Series and the Two-Year Government Series may be valued on the basis of
prices provided by a pricing service when such prices are believed to reflect
the current market value of such securities. Other assets and securities for
which quotations are not readily available will be valued in good faith at fair
value using methods determined by the Board of Directors.
Provided that RWBAS has received the investor's investment
instructions in good order and the Custodian has received the investor's
payment, shares of the Portfolio selected will be priced at the net asset value
calculated next after receipt of the order by PFPC. If an order to purchase
shares must be canceled due to non-payment, the purchaser will be responsible
for any loss incurred by the Fund arising out of such cancellation. To recover
any such loss, the Fund reserves the right to redeem shares owned by any
purchaser whose order is canceled, and such purchaser may be prohibited or
restricted in the manner of placing further orders.
15
<PAGE>
The public offering price of shares of each Portfolio is the net asset
value next determined after the purchase order is received by PFPC; no sales
charge is imposed. Management believes that any dilutive effect of the cost of
investing the proceeds of the sale of the shares of the Portfolios is minimal
and, therefore, the shares of the Portfolios are currently sold at net asset
value, without imposition of a fee that would be used to reimburse a Portfolio
for such cost ("reimbursement fee"). Reimbursement fees may be charged
prospectively from time to time based upon the future experience of the
Portfolios and their corresponding Series. Any such charges will be described
in the prospectus.
DISTRIBUTION
The Fund acts as distributor of the Portfolios' shares. It has,
however, entered into an agreement with DFA Securities Inc., a wholly owned
subsidiary of DFA, pursuant to which DFA Securities Inc. is responsible for
supervising the sale of the Portfolios' shares. No compensation is paid by the
Fund to DFA Securities Inc. under this agreement.
EXCHANGE OF SHARES
An investor may exchange shares of one Portfolio for those of another
Portfolio described in this prospectus or a portfolio of DFA Investment
Dimensions Group Inc., an open-end, management investment company ("DFAIDG"), by
first contacting RWBAS and completing the documentation required by RWBAS.
Exchanges are accepted only into those portfolios of DFAIDG that are
eligible for the exchange privilege of DFAIDG. Investors should contact RWBAS
for a list of those portfolios of DFAIDG that accept exchanges.
The exchange privilege is not intended to afford shareholders a way to
speculate on short-term movements in the markets. Accordingly, in order to
prevent excessive use of the exchange privilege that may potentially disrupt the
management of the Portfolios or otherwise adversely affect the Fund, any
proposed exchange will be subject to the approval of the Advisor. Such approval
will depend on: (i) the size of the proposed exchange; (ii) the prior number of
exchanges by that shareholder; (iii) the nature of the underlying securities and
the cash position of the Portfolio and of the portfolio of DFAIDG involved in
the proposed exchange; (iv) the transaction costs involved in processing the
exchange; and (v) the total number of redemptions by exchange already made out
of the Portfolio.
The redemption and purchase prices of shares redeemed and purchased by
exchange, respectively, are the net asset values next determined after the
Advisor has received an Exchange Form in good order. "Good order" means a
completed Exchange Form specifying the dollar amount to be exchanged, signed by
all registered owners of the shares; and if the Fund does not have on file the
authorized signatures for the account, a guarantee of the signature of each
registered owner by an "eligible guarantor institution." Such institutions
generally include national or state banks, savings associations, savings and
loan associations, trust companies, savings banks, credit unions and members of
a recognized stock exchange. Exchanges will be accepted only if the
registrations of the two accounts are identical, stock certificates have not
been issued and the shares of the portfolio being acquired are registered in the
investor's state of residence.
There is no fee imposed on an exchange. However, the Fund reserves
the right to impose an administrative fee in order to cover the costs incurred
in processing an exchange. Any such fee will be disclosed in the prospectus.
An exchange is treated as a redemption and a purchase. Therefore, the investor
could realize a taxable gain or loss on the transaction. The Fund reserves the
right to revise or terminate the exchange privilege or limit the amount of or
reject any exchange, as deemed necessary, at any time.
16
<PAGE>
REDEMPTION OF SHARES
An investor who desires to redeem shares of a Portfolio must furnish a
redemption request to RWBAS in the form required by RWBAS. The Portfolio will
redeem shares at the net asset value of such shares next determined after
receipt of a request for redemption in good order by PFPC.
Although the redemption payments will ordinarily be made within seven
days after receipt, payment to investors redeeming shares which were purchased
by check will not be made until the Fund can verify that the payments for the
purchase have been, or will be, collected, which may take up to fifteen days or
more. Investors may avoid this delay by submitting a certified check along with
the purchase order.
GENERAL INFORMATION
The Portfolios and the Series may disseminate reports of their
investment performance from time to time. Investment performance is calculated
on a total return basis; that is by including all net investment income and any
realized and unrealized net capital gains or losses during the period for which
investment performance is reported. If dividends or capital gains distributions
have been paid during the relevant period, the calculation of investment
performance will include such dividends and capital gains distributions as
though reinvested in shares of the Portfolio. Standard quotations of total
return are computed in accordance with SEC Guidelines and are presented whenever
any non-standard quotations are disseminated. Non-standardized total return
quotations may differ from the SEC Guideline computations by covering different
time periods and by linking the actual return of a Portfolio with data for
periods prior to the Portfolio's inception. In all cases, disclosures are made
when performance quotations differ from the SEC Guidelines. Performance data is
based on historical earnings and is not intended to indicate future performance.
Rates of return expressed on an annual basis will usually not equal the sum of
returns expressed for consecutive interim periods due to the compounding of the
interim yields.
The Fund was incorporated under Maryland law on March 19, 1990. The
DFA Investment Trust Company was organized as a Delaware business trust on
October 27, 1992. The Trust offers shares of its Series only to institutional
investors in private offerings. The Fund may withdraw the investment of a
Portfolio in a Series at any time, if the Board of Directors of the Fund
determines that it is in the best interests of the Portfolio to do so. Upon any
such withdrawal, the Board of Directors of the Fund would consider what action
might be taken, including the investment of all of the assets of the Portfolio
in another pooled investment entity having the same investment objective as the
Portfolio or the hiring of an investment advisor to manage the Portfolio's
assets in accordance with the investment policies described above.
Whenever a Portfolio, as an investor in its corresponding Trust
Series, is asked to vote on a shareholder proposal to change a fundamental
investment policy (i.e. a policy that may be changed only with the approval of
shareholders) of the Series, the Fund will hold a special meeting of the
Portfolio's shareholders to solicit their votes with respect to the proposal.
The Directors of the Fund will then vote the Portfolio's shares in the Series in
accordance with the voting instructions received from the Portfolio's
shareholders. The Directors of the Fund will vote shares of the Portfolio for
which they receive no voting instructions in the same proportion as the shares
for which they receive voting instructions.
Shareholder inquiries may be made by writing or calling the Client
Service Agent at the address or telephone number appearing on the back cover of
this prospectus. Only those individuals whose signatures are on file for the
account in question may receive specific account information or make changes in
the account registration.
17
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
1299 Ocean Avenue
11th floor
Santa Monica, CA 90401
Tel. No. (310) 395-8005
DIMENSIONAL FUND ADVISORS INC.
1299 Ocean Avenue
11th floor
Santa Monica, CA 90401
Tel. No. (310) 395-8005
CLIENT SERVICE AGENT
Reinhardt Werba Bowen Advisory Services
1190 Saratoga Avenue, Suite 200
San Jose, CA 95129
Tel. No. (800) 366-7266
CUSTODIAN
PNC BANK, N.A.
200 Stevens Drive, Airport Business Center
Lester, PA 19113
ACCOUNTING SERVICE AND DIVIDEND DISBURSING AGENT
PFPC INC.
400 Bellevue Parkway
Wilmington, DE 19809
LEGAL COUNSEL
STRADLEY, RONON, STEVENS & YOUNG, LLP
2600 One Commerce Square
Philadelphia, PA 19103-7098
INDEPENDENT ACCOUNTANTS
COOPERS & LYBRAND L.L.P.
2400 Eleven Penn Center
19th and Market Streets
Philadelphia, PA 19103
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
SUPPLEMENT DATED
DECEMBER 6, 1996 TO THE
STATEMENT OF ADDITIONAL INFORMATION OF
RWB/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
RWB/DFA TWO-YEAR CORPORATE FIXED INCOME PORTFOLIO
RWB/DFA TWO-YEAR GOVERNMENT PORTFOLIO
DATED FEBRUARY 28, 1996
THE FOLLOWING IS INSERTED AS THE FIRST PARAGRAPH UNDER THE CAPTION HEADING
"CALCULATION OF PERFORMANCE DATA"
Following are quotations of the annualized percentage total returns for
each Portfolio for the period from June 7, 1996 (date of commencement of
operations) through September 30, 1996, using the standardized method of
calculation required by the SEC:
RWB/DFA U.S. High Book to Market Portfolio (9.79)%
RWB/DFA Two-Year Corporate Fixed Income Portfolio 9.18%
RWB/DFA Two-Year Government Portfolio 8.31%
- --------------------------------------------------------------------------------
THE FOLLOWING IS INSERTED AT THE END OF THIS STATEMENT OF ADDITIONAL
INFORMATION:
FINANCIAL STATEMENTS
The unaudited financial statements for the period from
June 7, 1996 (date of commencement of operations) through September 30, 1996 of
RWB/DFA U.S. High Book to Market Portfolio, RWB/DFA Two-Year Corporate Fixed
Income Portfolio and RWB/DFA Two-Year Government Portfolio and their
corresponding Trust Series are set forth on the following pages.
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
RWB/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
PERIOD ENDED SEPTEMBER 30, 1996
(UNAUDITED)
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
RWB/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
PERIOD ENDED SEPTEMBER 30, 1996
(UNAUDITED)
TABLE OF CONTENTS
PAGE
------
DIMENSIONAL INVESTMENT GROUP INC.
Statement of Assets and Liabilities . . . . . . . . . . . . 1
Statement of Operations . . . . . . . . . . . . . . . . . . 2
Statement 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 . . . . . . . . . . . . . . . . . . 7-12
Statement of Operations . . . . . . . . . . . . . . . . . . 13
Statements of Changes in Net Assets . . . . . . . . . . . . 14
Financial Highlights. . . . . . . . . . . . . . . . . . . . 15
Notes to Financial Statements . . . . . . . . . . . . . . . 16-17
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.
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
RWB/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 1996
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
ASSETS:
Investment in The U.S. Large Cap Value Series
of The DFA Investment Trust Company
(1,700,787 Shares, Cost $ 23,592) at Value. . . . . . $ 23,948
Prepaid Expenses and Other Assets . . . . . . . . . . . 31
-----------
Total Assets . . . . . . . . . . . . . . . . . . . 23,979
-----------
LIABILITIES:
Accrued Expenses. . . . . . . . . . . . . . . . . . . . 15
-----------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . $ 23,964
-----------
-----------
SHARES OUTSTANDING, $.01 PAR VALUE
(Authorized 100,000,000). . . . . . . . . . . . . . . . . . 2,462,694
-----------
-----------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE . . $ 9.73
-----------
-----------
NET ASSETS CONSIST OF:
Paid-In Capital. . . . . . . . . . . . . . . . . . . . . . . $ 23,588
Undistributed Net Investment Income. . . . . . . . . . . . . 21
Accumulated Net Realized Loss. . . . . . . . . . . . . . . . (1)
Unrealized Appreciation of Investment Securities . . . . . . 356
-----------
Total Net Assets. . . . . . . . . . . . . . . . . . . . $ 23,964
-----------
-----------
See accompanying Notes to Financial Statements
-1-
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
RWB/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE PERIOD JUNE 7, 1996
(COMMENCEMENT OF OPERATIONS)
TO SEPTEMBER 30, 1996
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
INVESTMENT INCOME
Income Distributions Received. . . . . . . . . . . . . . . $ 114
-----------
EXPENSES
Administrative Services. . . . . . . . . . . . . . . . . . 1
Accounting & Transfer Agent Fees . . . . . . . . . . . . . 6
Shareholder Services . . . . . . . . . . . . . . . . . . . 3
Legal Fees . . . . . . . . . . . . . . . . . . . . . . . . 2
Audit Fees . . . . . . . . . . . . . . . . . . . . . . . . 1
Filing Fees. . . . . . . . . . . . . . . . . . . . . . . . 4
Shareholders' Reports. . . . . . . . . . . . . . . . . . . 8
Directors' Fees and Expenses . . . . . . . . . . . . . . . 1
Other. . . . . . . . . . . . . . . . . . . . . . . . . . . 2
-----------
Total Expenses. . . . . . . . . . . . . . . . . . . . . 28
-----------
NET INVESTMENT INCOME. . . . . . . . . . . . . . . . . . . 86
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Loss on Investment Securities . . . . . . . . . (1)
Change in Unrealized Appreciation (Depreciation)
of Investment Securities . . . . . . . . . . . . . . . . . 356
-----------
NET GAIN ON INVESTMENT SECURITIES. . . . . . . . . . . . . 355
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS. . . . $ 441
-----------
-----------
See accompanying Notes to Financial Statements
-2-
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
RWB/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
FOR THE PERIOD JUNE 7, 1996
(COMMENCEMENT OF OPERATIONS)
TO SEPTEMBER 30, 1996
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income . . . . . . . . . . . . . . . . . . $ 86
Net Realized Loss on Investment Securities. . . . . . . . (1)
Change in Unrealized Appreciation
(Depreciation) of Investment Securities . . . . . . . . . 356
-----------
Net Increase in Net
Assets Resulting from Operations. . . . . . . . . . . . . 441
-----------
Distributions From:
Net Investment Income. . . . . . . . . . . . . . . . . . . . (65)
-----------
Capital Share Transactions (1):
Shares Issued. . . . . . . . . . . . . . . . . . . . . . . . 23,796
Shares Issued in Lieu of Cash Distributions. . . . . . . . . 55
Shares Redeemed. . . . . . . . . . . . . . . . . . . . . . . (263)
-----------
Net Increase From Capital Share Transactions . . . . . . . . 23,588
-----------
Total Increase. . . . . . . . . . . . . . . . . . . . . . 23,964
NET ASSETS
Beginning of Period. . . . . . . . . . . . . . . . . . . . . -
-----------
End of Period. . . . . . . . . . . . . . . . . . . . . . . . $ 23,964
-----------
-----------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued. . . . . . . . . . . . . . . . . . . . . . . . 2,484
Shares Issued in Lieu of Cash Distributions. . . . . . . . . 6
Shares Redeemed. . . . . . . . . . . . . . . . . . . . . . . (27)
-----------
2,463
-----------
-----------
See accompanying Notes to Financial Statements
-3-
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
RWB/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS
FOR THE PERIOD JUNE 7, 1996
(COMMENCEMENT OF OPERATIONS)
TO SEPTEMBER 30, 1996
(UNAUDITED)
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
Net Asset Value, Beginning of Period . . . . . . . . . . . . $ 10.00
---------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . . . 0.04
Net Gains (Losses) on Securities
(Realized and Unrealized) . . . . . . . . . . . . . . . (0.28)
---------
Total from Investment Operations. . . . . . . . . . . . (0.24)
---------
LESS DISTRIBUTIONS
Net Investment Income . . . . . . . . . . . . . . . . . (0.03)
---------
Net Asset Value, End of Period. . . . . . . . . . . . . $ 9.73
---------
---------
Total Return . . . . . . . . . . . . . . . . . . . . . . . . (2.37%)#
Net Assets, End of Period (thousands). . . . . . . . . . . . $ 23,964
Ratio of Expenses to Average Net Assets (1). . . . . . . . . 1.00%*(a)
Ratio of Net Investment Income to Average
Net Assets. . . . . . . . . . . . . . . . . . . . . . . . . 2.37%*(a)
Portfolio Turnover Rate. . . . . . . . . . . . . . . . . . . N/A
Average Commission Rate. . . . . . . . . . . . . . . . . . . N/A
- ----------------------------------------
*Annualized
#Non-Annualized
(1) Represents the combined ratio for the Portfolio and its respective pro-rata
share of its Master Fund Series.
(a) Because of commencement of operations and related preliminary transaction
costs, these ratios are not necessarily indicative of future ratios.
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 September 30, 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"). 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 RWB/DFA U.S. High Book to Market
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 U.S. Large Cap Value Series
(the "Series"), a corresponding series of The DFA Investment Trust Company. At
September 30, 1996, the Portfolio owned 3% 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. The preparation of financial statements in accordance with
generally accepted accounting principles may require management to make
estimates and assumptions that affect the reported amounts and disclosures in
the financial statements. Actual results could differ from those estimates.
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 September 30, 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%.
In addition, pursuant to a Client Service Agreement with Reinhardt Werba
Bowen Advisory Services ("RWBAS"), the Portfolio pays to RWBAS a fee at the
effective annual rate of .09% of the average net assets of the Portfolio.
Certain officers of the Portfolio are also officers, directors and
shareholders of the Advisor.
-5-
<PAGE>
D. INVESTMENTS:
At September 30, 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. . . . . . . . . . . . . . . . $ 356
Gross Unrealized Depreciation. . . . . . . . . . . . . . . . -
------
Net. . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 356
------
------
-6-
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENT OF NET ASSETS
THE U.S. LARGE CAP VALUE SERIES
SEPTEMBER 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
Shares Value+
------ ------
<S> <C> <C>
COMMON STOCKS - (99.4%)
AK Steel Holding Corp.. . . . . . . . . . . . . 22,300 $ 914,300
*AMR Corp. . . . . . . . . . . . . . . . . . . . 91,000 7,245,875
*Advanced Micro Devices, Inc.. . . . . . . . . . 241,900 3,568,025
Aetna, Inc. . . . . . . . . . . . . . . . . . . 197,726 13,914,967
Ahmanson (H.F.) & Co. . . . . . . . . . . . . . 162,800 4,558,400
Albemarle Corp. . . . . . . . . . . . . . . . . 97,500 1,669,688
Alexander & Baldwin, Inc. . . . . . . . . . . . 60,900 1,499,663
Alleghany Corp. . . . . . . . . . . . . . . . . 8,432 1,728,560
Allstate Corp.. . . . . . . . . . . . . . . . . 37,400 1,841,950
*Alumax, Inc.. . . . . . . . . . . . . . . . . . 62,000 2,077,000
Ambac, Inc. . . . . . . . . . . . . . . . . . . 47,400 2,642,550
*Amdahl Corp.. . . . . . . . . . . . . . . . . . 228,333 2,154,893
Amerada Hess Corp.. . . . . . . . . . . . . . . 126,800 6,704,550
American General Corp.. . . . . . . . . . . . . 326,500 12,325,375
American Greetings Corp. Class A. . . . . . . . 14,400 413,100
American National Insurance Co. . . . . . . . . 18,300 1,253,550
Apple Computer, Inc.. . . . . . . . . . . . . . 233,400 5,178,563
Argonaut Group, Inc.. . . . . . . . . . . . . . 32,100 958,988
Asarco, Inc.. . . . . . . . . . . . . . . . . . 79,900 2,127,338
Avnet, Inc. . . . . . . . . . . . . . . . . . . 50,600 2,454,100
*BHC Communications, Inc. Class A. . . . . . . . 7,100 694,025
Ball Corp.. . . . . . . . . . . . . . . . . . . 112,500 2,756,250
Bancorp Hawaii, Inc.. . . . . . . . . . . . . . 55,800 2,176,200
BankAmerica Corp. . . . . . . . . . . . . . . . 272,075 22,344,137
Bankers Trust New York Corp.. . . . . . . . . . 101,900 8,011,888
Bear Stearns Companies, Inc.. . . . . . . . . . 169,974 3,951,896
Berkley (W.R.) Corp.. . . . . . . . . . . . . . 11,000 499,125
*Bethlehem Steel Corp. . . . . . . . . . . . . . 210,500 2,105,000
*Beverly Enterprises . . . . . . . . . . . . . . 231,100 2,513,213
Block Drug Co., Inc. Class A. . . . . . . . . . 15,464 699,746
Boise Cascade Corp. . . . . . . . . . . . . . . 121,100 4,117,400
Borg Warner Automotive, Inc.. . . . . . . . . . 27,300 969,150
Bowater, Inc. . . . . . . . . . . . . . . . . . 52,600 1,998,800
*Burlington Industries, Inc. . . . . . . . . . . 96,800 955,900
Burlington Northern Santa Fe Corp.. . . . . . . 208,200 17,566,875
CIGNA Corp. . . . . . . . . . . . . . . . . . . 107,508 12,887,522
*CNA Financial Corp. . . . . . . . . . . . . . . 84,700 8,120,613
CSX Corp. . . . . . . . . . . . . . . . . . . . 262,800 13,271,400
*Cal Fed Bancorp, Inc. . . . . . . . . . . . . . 58,900 1,369,425
Centex Corp.. . . . . . . . . . . . . . . . . . 38,400 1,252,800
Champion International Corp.. . . . . . . . . . 182,000 8,349,250
Chesapeake Corp.. . . . . . . . . . . . . . . . 15,100 415,250
7
<PAGE>
<CAPTION>
Shares Value+
------ ------
<S> <C> <C>
Chiquita Brands International, Inc. . . . . . . 39,500 $ 483,875
*Chris-Craft Industries, Inc.. . . . . . . . . . 64,859 2,707,863
Chrysler Corp.. . . . . . . . . . . . . . . . . 1,197,826 34,287,769
Cincinnati Financial Corp.. . . . . . . . . . . 72,960 4,204,320
Citizens Corp.. . . . . . . . . . . . . . . . . 14,000 306,250
Coca-Cola Enterprises, Inc. . . . . . . . . . . 178,300 8,068,075
Comdicso, Inc.. . . . . . . . . . . . . . . . . 68,800 1,986,600
Commerce Bancshares, Inc. . . . . . . . . . . . 48,324 1,890,677
Commerce Group, Inc.. . . . . . . . . . . . . . 49,600 1,091,200
Comsat Corp. Series 1 . . . . . . . . . . . . . 86,100 1,948,013
Conrail, Inc. . . . . . . . . . . . . . . . . . 115,200 8,337,600
Consolidated Freightways, Inc.. . . . . . . . . 59,700 1,462,650
Coors (Adolph) Co. Class B. . . . . . . . . . . 80,500 1,765,969
Countrywide Credit Industries, Inc. . . . . . . 144,200 3,695,125
Cummins Engine Co., Inc.. . . . . . . . . . . . 55,200 2,173,500
Cyprus Amax Minerals Co., Inc.. . . . . . . . . 138,900 2,986,350
Diamond Shamrock, Inc.. . . . . . . . . . . . . 47,600 1,481,550
*Digital Equipment Corp. . . . . . . . . . . . . 232,500 8,311,875
Dillard Department Stores, Inc. Class A . . . . 246,700 7,956,075
*Dime Bancorp, Inc.. . . . . . . . . . . . . . . 140,300 1,876,513
Enserch Corp. . . . . . . . . . . . . . . . . . 92,800 1,937,200
Equitable Companies, Inc. . . . . . . . . . . . 150,100 3,865,075
Equitable of Iowa Companies . . . . . . . . . . 19,100 792,650
*FHP International Corp. . . . . . . . . . . . . 41,800 1,559,663
Federal-Mogul Corp. . . . . . . . . . . . . . . 15,500 327,438
*Federated Department Stores, Inc. . . . . . . . 444,300 14,884,050
Fiancial Security Assurance Holdings, Ltd.. . . 20,400 601,800
Fina, Inc. Class A. . . . . . . . . . . . . . . 35,000 1,837,500
Finova Group, Inc.. . . . . . . . . . . . . . . 36,600 2,196,000
First Colony Corp.. . . . . . . . . . . . . . . 66,300 2,353,650
First Hawaiian, Inc.. . . . . . . . . . . . . . 44,100 1,364,344
First of America Bank Corp. . . . . . . . . . . 25,800 1,357,725
Florida East Coast Industries, Inc. . . . . . . 11,400 940,500
Ford Motor Co.. . . . . . . . . . . . . . . . . 1,887,200 58,975,000
*Fruit of The Loom, Inc. Class A . . . . . . . . 88,600 2,746,600
GATX Corp.. . . . . . . . . . . . . . . . . . . 27,200 1,271,600
General Motors Corp.. . . . . . . . . . . . . . 1,284,500 61,656,000
General Motors Corp. Class H. . . . . . . . . . 137,446 7,937,507
Georgia-Pacific Corp. . . . . . . . . . . . . . 115,200 9,115,200
Golden West Financial Corp. . . . . . . . . . . 90,800 5,300,450
Goodyear Tire & Rubber Co.. . . . . . . . . . . 30,000 1,383,750
*Grand Casinos, Inc. . . . . . . . . . . . . . . 4,000 59,000
Great Atlantic & Pacific Tea Co., Inc.. . . . . 51,700 1,337,738
8
<PAGE>
<CAPTION>
Shares Value+
------ ------
<S> <C> <C>
Great Western Financial Corp. . . . . . . . . . 217,800 $ 5,771,700
Greenpoint Financial Corp.. . . . . . . . . . . 71,600 2,729,750
Heilig-Meyers Co. . . . . . . . . . . . . . . . 33,900 529,688
Helmerich & Payne, Inc. . . . . . . . . . . . . 32,000 1,396,000
Inland Steel Industries, Inc. . . . . . . . . . 90,600 1,619,475
International Paper Co. . . . . . . . . . . . . 466,000 19,805,000
*International Speciality Products, Inc. . . . . 71,800 718,000
#James River Corp. of Virginia . . . . . . . . . 119,500 3,301,188
K Mart Corp.. . . . . . . . . . . . . . . . . . 813,100 8,334,275
*Kaiser Aluminum Corp. . . . . . . . . . . . . . 89,000 1,034,625
LTV Corp. . . . . . . . . . . . . . . . . . . . 147,900 1,719,338
#Lafarge Corp. . . . . . . . . . . . . . . . . . 126,700 2,359,788
Lehman Brothers Holdings, Inc.. . . . . . . . . 222,600 5,676,300
Liberty Corp. . . . . . . . . . . . . . . . . . 22,000 772,750
Liberty Financial Companies, Inc. . . . . . . . 81,000 2,521,125
Lincoln National Corp.. . . . . . . . . . . . . 146,650 6,434,269
Loews Corp. . . . . . . . . . . . . . . . . . . 184,900 14,306,638
Longs Drug Stores Corp. . . . . . . . . . . . . 14,000 609,000
Longview Fibre Co.. . . . . . . . . . . . . . . 43,100 678,825
Louisiana-Pacific Corp. . . . . . . . . . . . . 152,900 3,478,475
MBIA, Inc.. . . . . . . . . . . . . . . . . . . 58,300 4,999,225
MCI Communications Corp.. . . . . . . . . . . . 333,400 8,522,538
Mead Corp.. . . . . . . . . . . . . . . . . . . 72,300 4,238,588
Mercantile Stores Co., Inc. . . . . . . . . . . 70,012 3,780,648
*Meyer (Fred), Inc. DE . . . . . . . . . . . . . 35,500 1,175,938
Mitchell Energy & Development Corp. Class A . . 29,500 556,813
Mitchell Energy & Development Corp. Class B . . 37,200 730,050
Morgan (J.P.) & Co., Inc. . . . . . . . . . . . 94,300 8,380,913
Murphy Oil Corp.. . . . . . . . . . . . . . . . 57,700 2,784,025
*National Semiconductor Corp.. . . . . . . . . . 254,100 5,113,763
*Navistar International Corp.. . . . . . . . . . 141,300 1,201,050
*Nextel Communications Corp. Class A . . . . . . 324,800 5,988,500
Norfolk Southern Corp.. . . . . . . . . . . . . 158,500 14,482,938
Occidental Petroleum Corp.. . . . . . . . . . . 449,000 10,495,375
Ogden Corp. . . . . . . . . . . . . . . . . . . 71,496 1,438,857
Ohio Casualty Corp. . . . . . . . . . . . . . . 47,800 1,631,175
Old Republic International Corp.. . . . . . . . 120,850 2,991,038
Overseas Shipholding Group, Inc.. . . . . . . . 26,400 435,600
PHH Corp. . . . . . . . . . . . . . . . . . . . 66,000 1,963,500
Paccar, Inc.. . . . . . . . . . . . . . . . . . 55,300 3,034,588
Paine Webber Group, Inc.. . . . . . . . . . . . 76,300 1,602,300
Paul Revere Corp. . . . . . . . . . . . . . . . 62,000 1,689,500
Pennzoil Co.. . . . . . . . . . . . . . . . . . 34,200 1,808,325
9
<PAGE>
<CAPTION>
Shares Value+
------ ------
<S> <C> <C>
Phelps Dodge Corp.. . . . . . . . . . . . . . . 91,700 $ 5,880,263
Potlatch Corp.. . . . . . . . . . . . . . . . . 39,700 1,538,375
Providian Corp. . . . . . . . . . . . . . . . . 214,500 9,223,500
Pulte Corp. . . . . . . . . . . . . . . . . . . 35,700 914,813
*#Quantum Corp. . . . . . . . . . . . . . . . . . 68,400 1,201,275
RJR Nabisco Holdings Corp.. . . . . . . . . . . 488,080 12,690,080
Rayonier, Inc.. . . . . . . . . . . . . . . . . 40,000 1,590,000
Reliance Group Holdings, Inc. . . . . . . . . . 104,800 812,200
Republic New York Corp. . . . . . . . . . . . . 64,900 4,486,213
Reynolds Metals Co. . . . . . . . . . . . . . . 88,000 4,499,000
Ryder System, Inc.. . . . . . . . . . . . . . . 112,400 3,329,850
Safeco Corp.. . . . . . . . . . . . . . . . . . 173,900 6,064,763
Saint Paul Companies, Inc.. . . . . . . . . . . 118,100 6,554,550
Salomon, Inc. . . . . . . . . . . . . . . . . . 219,800 10,028,375
Sensormatic Electronics Corp. . . . . . . . . . 85,000 1,519,375
Signet Banking Corp.. . . . . . . . . . . . . . 113,000 3,022,750
Smiths Food & Drug Centers, Inc. Class B. . . . 7,469 197,929
Southern New England Telecommunications Corp. . 42,800 1,578,250
Springs Industries, Inc. Class A. . . . . . . . 27,000 1,201,500
St. Joe Corp. . . . . . . . . . . . . . . . . . 35,000 2,231,250
Standard Federal Bancorporation, Inc. . . . . . 15,100 690,825
Stone Container Corp. . . . . . . . . . . . . . 237,400 3,709,375
*Storage Technology Corp.. . . . . . . . . . . . 61,100 2,314,163
Sun Company, Inc. . . . . . . . . . . . . . . . 64,080 1,473,840
TIG Holdings, Inc.. . . . . . . . . . . . . . . 75,300 2,259,000
*Tandem Computers, Inc.. . . . . . . . . . . . . 167,300 1,798,475
Tecumseh Products Co. Class A . . . . . . . . . 20,300 1,106,350
Tecumseh Products Co. Class B . . . . . . . . . 5,700 292,838
Telephone & Data Systems, Inc.. . . . . . . . . 62,500 2,515,625
Temple-Inland, Inc. . . . . . . . . . . . . . . 76,700 4,045,925
Terra Industries, Inc.. . . . . . . . . . . . . 26,300 391,213
Textron, Inc. . . . . . . . . . . . . . . . . . 37,500 3,187,500
Timken Co.. . . . . . . . . . . . . . . . . . . 43,200 1,695,600
Transamerica Corp.. . . . . . . . . . . . . . . 93,400 6,526,325
Tyson Foods, Inc. Class A . . . . . . . . . . . 113,500 3,036,125
UMB Financial Corp. . . . . . . . . . . . . . . 27,030 1,047,413
*USAir Group, Inc. . . . . . . . . . . . . . . . 12,300 202,950
USF&G Corp. . . . . . . . . . . . . . . . . . . 198,100 3,664,850
USLIFE Corp.. . . . . . . . . . . . . . . . . . 72,100 2,163,000
USX-Marathon Group, Inc.. . . . . . . . . . . . 398,250 8,612,156
USX-US Steel Group. . . . . . . . . . . . . . . 157,400 4,485,900
Union Camp Corp.. . . . . . . . . . . . . . . . 95,300 4,657,788
#Union Pacific Corp. . . . . . . . . . . . . . . 273,200 20,011,900
10
<PAGE>
<CAPTION>
Shares Value+
------ ------
<S> <C> <C>
Unionbancal Corp. . . . . . . . . . . . . . . . 46,200 $ 2,275,350
*Unisys Corp.. . . . . . . . . . . . . . . . . . 218,000 1,335,250
*United States Cellular Corp.. . . . . . . . . . 70,000 2,117,500
#Unitrin, Inc. . . . . . . . . . . . . . . . . . 51,900 2,543,100
Valero Energy Corp. . . . . . . . . . . . . . . 81,100 1,774,063
Valhi, Inc. . . . . . . . . . . . . . . . . . . 80,100 480,600
*Value Health, Inc.. . . . . . . . . . . . . . . 82,700 1,550,625
*Vishay Intertechnology, Inc.. . . . . . . . . . 70,300 1,625,688
Washington Mutual, Inc. . . . . . . . . . . . . 95,200 3,552,150
Wellman, Inc. . . . . . . . . . . . . . . . . . 44,600 780,500
Wesco Financial Corp. . . . . . . . . . . . . . 8,500 1,479,000
Westvaco Corp.. . . . . . . . . . . . . . . . . 142,950 4,234,894
Weyerhaeuser Co.. . . . . . . . . . . . . . . . 124,000 5,719,500
Wheelabrator Technologies, Inc. . . . . . . . . 58,100 886,025
*Woolworth Corp. . . . . . . . . . . . . . . . . 158,500 3,269,063
Zurich Reinsurance Centre Holdings, Inc.. . . . 34,300 1,076,163
------------
TOTAL COMMON STOCKS (Cost $766,071,364). . . . . . 839,073,963
------------
</TABLE>
11
<PAGE>
<TABLE>
<CAPTION>
Face
Amount
(000)
------
<S> <C> <C>
TEMPORARY CASH INVESTMENTS - (0.4%)
Repurchase Agreement, PNC Securities Corp. 5.40%,
10/01/96 (Collateralized by U.S. Treasury Notes
6.00%, 08/31/97) (Cost $3,981,000). . . . . . . . . . . $ 3,981 3,981,000
------------
TOTAL INVESTMENTS - (99.8%) (Cost $770,052,364). . . . . . . 843,054,963
------------
OTHER ASSETS AND LIABILITIES - (0.2%)
Other Assets . . . . . . . . . . . . . . . . . . . . . . . 1,723,827
Payable for Investment Securities Purchased. . . . . . . . (107,125)
Other Liabilities. . . . . . . . . . . . . . . . . . . . . (145,010)
------------
1,471,692
------------
NET ASSETS - (100.0%) Applicable to 59,977,799
Outstanding $.01 Par Value Shares (Unlimited
Number of Shares Authorized) . . . . . . . . . . . . . . . . $844,526,655
------------
------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE . . $ 14.08
------------
------------
</TABLE>
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
12
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
STATEMENT OF OPERATIONS
FOR THE TEN MONTHS ENDED SEPTEMBER 30, 1996
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
INVESTMENT INCOME
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . $13,844
Interest . . . . . . . . . . . . . . . . . . . . . . . . . 624
Income From Securities Lending . . . . . . . . . . . . . . 17
-------
Total Investment Income . . . . . . . . . . . . . . . . 14,485
-------
EXPENSES
Investment Advisory Services . . . . . . . . . . . . . . . 547
Accounting & Transfer Agent Fees . . . . . . . . . . . . . 358
Custodian's Fee. . . . . . . . . . . . . . . . . . . . . . 99
Legal Fees . . . . . . . . . . . . . . . . . . . . . . . . 8
Audit Fees . . . . . . . . . . . . . . . . . . . . . . . . 17
Shareholders' Reports. . . . . . . . . . . . . . . . . . . 11
Trustees' Fees and Expenses. . . . . . . . . . . . . . . . 5
Other. . . . . . . . . . . . . . . . . . . . . . . . . . . 20
-------
Total Expenses. . . . . . . . . . . . . . . . . . . . . 1,065
-------
NET INVESTMENT INCOME . . . . . . . . . . . . . . . . . 13,420
-------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Gain on Investment Securities . . . . . . . . . 36,475
Change in Unrealized Appreciation (Depreciation)
of Investment Securities . . . . . . . . . . . . . . . . . 8,341
-------
NET GAIN ON INVESTMENT SECURITIES. . . . . . . . . . . . . 44,816
-------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS . . . . $58,236
-------
-------
See accompanying Notes to Financial Statements
-13-
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
TEN MONTHS YEAR
ENDED ENDED
SEPT. 30, NOV. 30,
1996 1995
----------- ----------
(UNAUDITED)
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income. . . . . . . . . . . . . . . . $ 13,420 $ 8,688
Net Realized Gain on Investment Securities . . . . . 36,475 21,645
Change in Unrealized Appreciation
(Depreciation) of Investment Securities . . . . . 8,341 68,474
-------- --------
Net Increase in Net Assets
Resulting from Operations. . . . . . . . . . 58,236 98,807
-------- --------
Distributions From:
Net Investment Income. . . . . . . . . . . . . . . . (12,171) (8,440)
Net Realized Gains . . . . . . . . . . . . . . . . . (11,101) (5,278)
-------- --------
Total Distributions. . . . . . . . . . . . . . (23,272) (13,718)
-------- --------
Capital Share Transactions (1):
Shares Issued. . . . . . . . . . . . . . . . . . . . 415,213 209,434
Shares Issued in Lieu of Cash Distributions. . . . . 21,511 11,274
Shares Redeemed. . . . . . . . . . . . . . . . . . . (50,188) (81,618)
-------- --------
Net Increase From Capital Share Transactions . 386,536 139,090
-------- --------
Total Increase . . . . . . . . . . . . . . . . 421,500 224,179
NET ASSETS
Beginning of Period. . . . . . . . . . . . . . . . . 423,027 198,848
-------- --------
End of Period. . . . . . . . . . . . . . . . . . . . $844,527 $423,027
-------- --------
-------- --------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued. . . . . . . . . . . . . . . . . . . . 30,170 18,580
Shares Issued in Lieu of Cash Distributions. . . . . 1,646 1,049
Shares Redeemed. . . . . . . . . . . . . . . . . . . (3,663) (7,857)
-------- --------
28,153 11,772
-------- --------
-------- --------
</TABLE>
See accompanying Notes to Financial Statements
-14-
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
TEN MONTHS YEAR YEAR FEB. 19
ENDED ENDED ENDED TO
SEPT. 30, 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 .. . . . . . . . . . . . 0.26 0.32 0.33 0.20
Net Gains (Losses) on Securities
(Realized and Unrealized). . . . . . . . . . 1.12 3.53 (0.65) 0.58
-------- -------- -------- -------
Total from Investment Operations . . . . . . . 1.38 3.85 (0.32) 0.78
-------- -------- -------- -------
LESS DISTRIBUTIONS
Net Investment Income. . . . . . . . . . . . . (0.25) (0.31) (0.35) (0.18)
Net Realized Gains . . . . . . . . . . . . . . (0.34) (0.17) - (0.01)
-------- -------- -------- -------
Total Distributions. . . . . . . . . . . . . . (0.59) (0.48) (0.35) (0.19)
-------- -------- -------- -------
Net Asset Value, End of Period . . . . . . . . . . $ 14.08 $ 13.29 $ 9.92 $ 10.59
-------- -------- -------- -------
-------- -------- -------- -------
Total Return . . . . . . . . . . . . . . . . . . . 10.63%# 39.26% (3.13)% 7.79%#
Net Assets, End of Period (thousands). . . . . . . $844,527 $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. . . . . . . . . . . . . . . . . . . . 2.46%* 2.84% 3.72% 3.75%*
Portfolio Turnover Rate. . . . . . . . . . . . . . 19.54%* 29.41% 39.33% 0.75%*
Average Commission Rate (1). . . . . . . . . . . . $ 0.0500 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
-15-
<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
September 30, 1996, The Trust consisted of fifteen 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 Japanese Small Company
Series, The Pacific Rim Small Company Series, The United Kingdom Small Company
Series, The Continental Small Company Series, The DFA International Value
Series, The Emerging Markets Series and The DFA Two-Year Global Fixed Income
Series. These financial statements relate solely to The U.S. Large Cap Value
Series (the "Series").
RWB/DFA U.S. High Book to Market Portfolio 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. The preparation of financial statements in accordance with
generally accepted accounting principles may require management to make
estimates and assumptions that affect the reported amounts and disclosures in
the financial statements. Actual results could differ from those estimates.
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 September 30, 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.
-16-
<PAGE>
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. (the "Advisor") provides investment advisory
services to the Series. For the ten months ended September 30, 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 ten months ended September 30, 1996, the Series made the following
purchases and sales of investment securities (amounts in thousands):
Purchases . . . . . . . . . . . . . $ 476,641
Sales . . . . . . . . . . . . . . . 102,730
E. INVESTMENT TRANSACTIONS:
At September 30, 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 . . . $ 88,096
Gross Unrealized Depreciation . . . (15,093)
--------
Net . . . . . . . . . . . . . . . . $ 73,003
--------
--------
F. COMPONENTS OF NET ASSETS:
At September 30, 1996, net assets consisted of (amounts in thousands):
Paid-In Capital . . . . . . . . . . $ 733,441
Undistributed Net Investment
Income. . . . . . . . . . . . . . 1,644
Undistributed Net Realized Gain . . 36,439
Unrealized Appreciation of
Investment Securities . . . . . . 73,003
---------
$ 844,527
---------
---------
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 $13,999,100 and the related collateral cash,
and indemnification received is $14,038,800 at September 30, 1996.
-17-
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
RWB/DFA TWO-YEAR CORPORATE FIXED INCOME
PORTFOLIO
PERIOD ENDED SEPTEMBER 30, 1996
(UNAUDITED)
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
RWB/DFA TWO-YEAR CORPORATE FIXED INCOME PORTFOLIO
PERIOD ENDED SEPTEMBER 30, 1996
(UNAUDITED)
TABLE OF CONTENTS
PAGE
----
DIMENSIONAL INVESTMENT GROUP INC.
Statement of Assets and Liabilities. . . . . . . . . . . . . . . 1
Statement of Operations. . . . . . . . . . . . . . . . . . . . . 2
Statement of Changes in Net Assets . . . . . . . . . . . . . . . 3
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . 4
Notes to Financial Statements. . . . . . . . . . . . . . . . . . 5-6
THE DFA INVESTMENT TRUST COMPANY - THE DFA TWO-YEAR CORPORATE
FIXED INCOME SERIES
Statement of Net Assets. . . . . . . . . . . . . . . . . . . . . 7-9
Statement of Operations. . . . . . . . . . . . . . . . . . . . . 10
Statement of Changes in Net Assets . . . . . . . . . . . . . . . 11
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . 12
Notes to Financial Statements. . . . . . . . . . . . . . . . . . 13-14
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.
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
RWB/DFA TWO-YEAR CORPORATE FIXED INCOME PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 1996
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
ASSETS:
Investment in The DFA Two-Year Corporate Fixed Income
Series of The DFA Investment Trust Company
(11,651,888 Shares Cost $ 116,623) at Value . . . . . . . $ 117,501
Prepaid Expenses and Other Assets. . . . . . . . . . . . . . 39
-----------
Total Assets. . . . . . . . . . . . . . . . . . . . . . 117,540
-----------
LIABILITIES:
Accrued Expenses . . . . . . . . . . . . . . . . . . . . . . 14
-----------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . $ 117,526
-----------
-----------
SHARES OUTSTANDING, $.01 PAR VALUE
(Authorized 100,000,000). . . . . . . . . . . . . . . . . . . . 11,652,663
-----------
-----------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE . . . . $ 10.09
-----------
-----------
NET ASSETS CONSIST OF:
Paid-In Capital. . . . . . . . . . . . . . . . . . . . . . . $ 116,632
Undistributed Net Investment Income. . . . . . . . . . . . . 17
Accumulated Net Realized Loss. . . . . . . . . . . . . . . . (1)
Unrealized Appreciation of Investment Securities . . . . . . 878
-----------
Total Net Assets. . . . . . . . . . . . . . . . . . . . $ 117,526
-----------
-----------
See accompanying Notes to Financial Statements
-1-
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
RWB/DFA TWO-YEAR CORPORATE FIXED INCOME PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE PERIOD JUNE 7, 1996
(COMMENCEMENT OF OPERATIONS)
TO SEPTEMBER 30, 1996
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
INVESTMENT INCOME
Income Distributions Received. . . . . . . . . . . . . . . . . . $ 1,481
-------
EXPENSES
Administrative Services. . . . . . . . . . . . . . . . . . . . . 3
Accounting & Transfer Agent Fees . . . . . . . . . . . . . . . . 6
Shareholder Services . . . . . . . . . . . . . . . . . . . . . . 10
Legal Fees . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
Audit Fees . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
Filing Fees. . . . . . . . . . . . . . . . . . . . . . . . . . . 4
Shareholders' Reports. . . . . . . . . . . . . . . . . . . . . . 8
Directors' Fees and Expenses . . . . . . . . . . . . . . . . . . 1
Other. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
-------
Total Expenses. . . . . . . . . . . . . . . . . . . . . . . 38
Less: Fees Waived and Expenses Reimbursed. . . . . . . . . . . . (10)
-------
Net Expenses . . . . . . . . . . . . . . . . . . . . . . . . . . 28
-------
NET INVESTMENT INCOME. . . . . . . . . . . . . . . . . . . . . . 1,453
-------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Loss on Investment Securities . . . . . . . . . . . . . (1)
Change in Unrealized Appreciation (Depreciation)
of Investment Securities . . . . . . . . . . . . . . . . . . . . 878
-------
NET GAIN ON INVESTMENT SECURITIES. . . . . . . . . . . . . . . . 877
-------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS. . . . . . . . $ 2,330
-------
-------
See accompanying Notes to Financial Statements
-2-
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
RWB/DFA TWO-YEAR CORPORATE FIXED INCOME PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
FOR THE PERIOD JUNE 7, 1996
(COMMENCEMENT OF OPERATIONS)
TO SEPTEMBER 30, 1996
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income. . . . . . . . . . . . . . . . . . . . $ 1,453
Net Realized Loss on Investment Securities . . . . . . . . . (1)
Change in Unrealized Appreciation
(Depreciation) of Investment Securities . . . . . . . . . 878
-------
Net Increase in Net
Assets Resulting from Operations. . . . . . . . . . . . 2,330
-------
Distributions From:
Net Investment Income. . . . . . . . . . . . . . . . . . . . (1,436)
-------
Capital Share Transactions (1):
Shares Issued. . . . . . . . . . . . . . . . . . . . . . . . 122,904
Shares Issued in Lieu of Cash Distributions. . . . . . . . . 25
Shares Redeemed. . . . . . . . . . . . . . . . . . . . . . . (6,297)
-------
Net Increase From Capital Share Transactions. . . . . . 116,632
-------
Total Increase. . . . . . . . . . . . . . . . . . . . . 117,526
NET ASSETS
Beginning of Period. . . . . . . . . . . . . . . . . . . . . -
-------
End of Period. . . . . . . . . . . . . . . . . . . . . . . . $ 117,526
-------
-------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued. . . . . . . . . . . . . . . . . . . . . . . . 12,273
Shares Issued in Lieu of Cash Distributions. . . . . . . . . 2
Shares Redeemed. . . . . . . . . . . . . . . . . . . . . . . (623)
-------
11,652
-------
-------
See accompanying Notes to Financial Statements
-3-
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
RWB/DFA TWO-YEAR CORPORATE FIXED INCOME PORTFOLIO
FINANCIAL HIGHLIGHTS
FOR THE PERIOD JUNE 7, 1996
(COMMENCEMENT OF OPERATIONS)
TO SEPTEMBER 30, 1996
(UNAUDITED)
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
Net Asset Value, Beginning of Period . . . . . . . . . . . $ 10.00
-------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income. . . . . . . . . . . . . . . . . 0.13
Net Gains (Losses) on Securities
(Realized and Unrealized) . . . . . . . . . . . . . . 0.09
-------
Total from Investment Operations . . . . . . . . . . . 0.22
-------
LESS DISTRIBUTIONS
Net Investment Income. . . . . . . . . . . . . . . . . (0.13)
-------
Net Asset Value, End of Period . . . . . . . . . . . . . . $ 10.09
-------
-------
Total Return . . . . . . . . . . . . . . . . . . . . . . . 2.17%#
Net Assets, End of Period (thousands). . . . . . . . . . . $117,526
Ratio of Expenses to Average Net Assets (1). . . . . . . . 0.32%*(a)(b)
Ratio of Net Investment Income to Average
Net Assets. . . . . . . . . . . . . . . . . . . . . . . . 4.43%*(a)(b)
Portfolio Turnover Rate. . . . . . . . . . . . . . . . . . N/A
________________
* 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 ratio of
expenses to average net assets for the period ended September 30, 1996
would have been 0.35% and the ratio of net investment income to average net
assets for the periods ended September 30, 1996 would have been 4.40%.
(b) Because of commencement of operations and related preliminary transaction
costs, these ratios are not necessarily indicative of future ratios.
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 September 30, 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"). 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 RWB/DFA Two-Year Corporate 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 Two-Year Corporate Fixed
Income Series (the "Series"), a corresponding series of The DFA Investment Trust
Company. At September 30, 1996, The Portfolio owned 99% 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. The preparation of financial statements in accordance with
generally accepted accounting principles may require management to make
estimates and assumptions that affect the reported amounts and disclosures in
the financial statements. Actual results could differ from those estimates.
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 September 30, 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%.
-5-
<PAGE>
In addition, pursuant to a Client Service Agreement with Reinhardt Werba
Bowen Advisory Services ("RWBAS"), the Portfolio pays to RWBAS a fee at the
effective annual rate of .03% of the average net assets of the Portfolio. RWBAS
has agreed to waive this fee through December 31, 1996.
Certain officers of the Portfolio are also officers, directors and
shareholders of the Advisor.
D. INVESTMENTS:
At September 30, 1996, gross unrealized appreciation and depreciation for
financial reporting and federal income tax purposes of investment securities was
as follows:
Gross Unrealized Appreciation. . . . . . . . . . . . . $ 878
Gross Unrealized Depreciation. . . . . . . . . . . . . -
----
Net. . . . . . . . . . . . . . . . . . . . . . . . . . $ 878
----
----
-6-
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENT OF NET ASSETS
THE DFA TWO-YEAR CORPORATE FIXED INCOME SERIES
SEPTEMBER 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
Face
Amount
(000) Value+
------ ------
<S> <C> <C>
BONDS AND CERTIFICATES OF DEPOSIT - (47.3%)
Albertson's, Inc. Medium Term Notes
5.650%, 03/26/98. . . . . . . . . . . . . . . . . $ 3,300 $ 3,273,623
Anheuser-Busch Companies Inc. Medium Term Notes
7.500%, 12/01/97. . . . . . . . . . . . . . . . . 2,800 2,844,708
Associates Corp. of North America Corporate Bonds
7.300%, 03/15/98. . . . . . . . . . . . . . . . . 2,500 2,539,073
Bayerische Landesbank Deposit Notes
6.250%, 07/01/98. . . . . . . . . . . . . . . . . 3,000 3,000,624
Canada (Government of) Bonds
6.400%, 09/10/98. . . . . . . . . . . . . . . . . 3,300 3,312,953
Chevron Canada Financial, Ltd. Corporate Bonds
5.600%, 04/01/98. . . . . . . . . . . . . . . . . 2,500 2,480,893
Colgate Palmolive Co. 2/16/98 Medium Term Notes
6.630%, 02/16/98. . . . . . . . . . . . . . . . . 3,300 3,320,619
DuPont (E.I.) de Nemours & Co. Corporate Bonds
8.650%, 12/01/97. . . . . . . . . . . . . . . . . 2,500 2,571,405
General Electric Capital Corp. Medium Term Notes
7.840%, 02/05/98. . . . . . . . . . . . . . . . . 2,500 2,553,960
Lilly (Eli) & Co. Medium Term Notes
6.200%, 11/06/97. . . . . . . . . . . . . . . . . 2,500 2,504,028
Morgan (J.P) & Co., Inc. Medium Term Notes
6.362%, 08/05/98. . . . . . . . . . . . . . . . . 3,000 3,006,501
Ontario Hydro Corporate Bonds
5.800%, 03/31/98. . . . . . . . . . . . . . . . . 1,575 1,566,975
Paccar Financial Corp. Medium Term Notes
7.320%, 07/15/98. . . . . . . . . . . . . . . . . 3,000 3,051,297
Pepsico, Inc. Corporate Bonds
6.125%, 01/15/98. . . . . . . . . . . . . . . . . 2,500 2,499,873
Pitney Bowes Credit Corp. Medium Term Notes
6.305%, 09/23/98. . . . . . . . . . . . . . . . . 3,000 3,000,771
Rockwell International Corp. Corporate Bonds
7.625%, 02/17/98. . . . . . . . . . . . . . . . . 2,500 2,548,170
Upjohn Co. Medium Term Notes
5.920%, 02/17/98. . . . . . . . . . . . . . . . . 3,000 2,990,907
WMX Technologies, Inc. Corporate Bonds
8.125%, 02/01/98. . . . . . . . . . . . . . . . . 3,000 3,071,019
Wachovia Bank NC N.A. Bank Notes
5.375%, 04/15/98. . . . . . . . . . . . . . . . . 3,000 2,961,906
</TABLE>
7
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENT OF NET ASSETS
THE DFA TWO-YEAR CORPORATE FIXED INCOME SERIES
SEPTEMBER 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
Face
Amount
(000) Value+
------ ------
<S> <C> <C>
Wal-Mart Stores, Inc. Corporate Bonds
5.500%, 03/01/98. . . . . . . . . . . . . . . . . $ 2,510 2,484,662
-----------
TOTAL BONDS AND CERTIFICATES OF DEPOSIT
(Cost $55,451,358) . . . . . . . . . . . . . . . . . . . . . . . . . 55,583,967
-----------
U.S. TREASURY OBLIGATIONS - (43.1%)
U.S. Treasury Notes
8.125%, 02/15/98. . . . . . . . . . . . . . . . . 25,000 25,687,500
6.125%, 03/31/98. . . . . . . . . . . . . . . . . 20,000 20,034,375
5.125%, 03/31/98. . . . . . . . . . . . . . . . . 5,000 4,938,281
-----------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $50,516,076) . . . . . . . . . . . . . . . . . . . . . . . . . 50,660,156
-----------
AGENCY OBLIGATIONS - (5.9%)
Federal National Mortgage Association
5.940%, 08/14/98. . . . . . . . . . . . . . . . . 2,000 1,992,159
Student Loan Marketing Association
6.250%, 06/30/98. . . . . . . . . . . . . . . . . 5,000 5,011,686
-----------
TOTAL AGENCY OBLIGATIONS
(Cost $6,984,324). . . . . . . . . . . . . . . . . . . . . . . . . . 7,003,845
-----------
SUPRANATIONAL OBLIGATIONS - (0.7%)
African Development Bank (Cost $773,254)
10.000%, 11/01/97 . . . . . . . . . . . . . . . . 745 775,491
-----------
</TABLE>
8
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENT OF NET ASSETS
THE DFA Two-Year Corporate Fixed Income Series
September 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Face
Amount
(000) Value+
------ ------
<S> <C> <C>
TEMPORARY CASH INVESTMENTS - (2.2%)
Repurchase Agreement, PNC Securities Corp. 5.40%, 10/01/96
(Collateralized by U.S. Treasury Notes 6.00%, 08/31/97)
(Cost $2,536,000). . . . . . . . . . . . . . . . . . . . $ 2,536 $ 2,536,000
------------
TOTAL INVESTMENTS - (99.2%) (Cost $116,261,012). . . . . . 116,559,459
------------
OTHER ASSETS AND LIABILITIES - (0.8%)
Other Assets . . . . . . . . . . . . . . . . . . . . . . 964,604
Liabilities. . . . . . . . . . . . . . . . . . . . . . . (23,179)
------------
941,425
------------
NET ASSETS - (100.0%) Applicable to 11,651,889 Outstanding
$.01 Par Value Shares (Unlimited Number of Shares
Authorized) $117,500,884
------------
------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 10.08
------------
------------
</TABLE>
_____________
+See Note B to Financial Statements
9
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE DFA TWO-YEAR CORPORATE FIXED INCOME SERIES
STATEMENT OF OPERATIONS
FOR THE PERIOD JUNE 7, 1996
(COMMENCEMENT OF OPERATIONS)
TO SEPTEMBER 30, 1996
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
INVESTMENT INCOME
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2,120
-------
EXPENSES
Investment Advisory Services . . . . . . . . . . . . . . . . . . 52
Accounting & Transfer Agent Fees . . . . . . . . . . . . . . . . 17
Custodian's Fee. . . . . . . . . . . . . . . . . . . . . . . . . 4
Legal Fees . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
Audit Fees . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
Shareholders' Reports. . . . . . . . . . . . . . . . . . . . . . 1
Trustees' Fees and Expenses. . . . . . . . . . . . . . . . . . . -
Other. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
-------
Total Expenses . . . . . . . . . . . . . . . . . . . . 77
-------
NET INVESTMENT INCOME. . . . . . . . . . . . . . . . . . . . . . . . 2,043
-------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Gain on Investment Securities . . . . . . . . . . . . . 17
Change in Unrealized Appreciation (Depreciation)
of Investment Securities. . . . . . . . . . . . . . . . . . . . . . 298
-------
NET GAIN ON INVESTMENT SECURITIES . . . . . . . . . . . . . . . . . 315
-------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS . . . . . . . . $ 2,358
-------
-------
See accompanying Notes to Financial Statements
-10-
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE DFA TWO-YEAR CORPORATE FIXED INCOME SERIES
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD JUNE 7, 1996
(COMMENCEMENT OF OPERATIONS)
TO SEPTEMBER 30, 1996
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income. . . . . . . . . . . . . . . . . . . . . $ 2,043
Net Realized Gain on Investment Securities. . . . . . . . . . 17
Change in Unrealized Appreciation
(Depreciation) of Investment Securities . . . . . . . . . . . 298
---------
Net Increase in Net Assets
Resulting from Operations . . . . . . . . . . . . . . . . . 2,358
---------
Distributions From:
Net Investment Income. . . . . . . . . . . . . . . . . . . . . (1,481)
---------
Capital Share Transactions (1):
Shares Issued. . . . . . . . . . . . . . . . . . . . . . . . . 119,379
Shares Issued in Lieu of Cash Distributions. . . . . . . . . . 70
Shares Redeemed. . . . . . . . . . . . . . . . . . . . . . . . (2,825)
---------
Net Increase From Capital Share Transactions . . . . . . . . 116,624
---------
Total Increase . . . . . . . . . . . . . . . . . . . . . . . 117,501
NET ASSETS
Beginning of Period. . . . . . . . . . . . . . . . . . . . . . -
---------
End of Period. . . . . . . . . . . . . . . . . . . . . . . . . $ 117,501
---------
---------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued . . . . . . . . . . . . . . . . . . . . . . . . 11,924
Shares Issued in Lieu of Cash Distributions . . . . . . . . . 7
Shares Redeemed . . . . . . . . . . . . . . . . . . . . . . . (279)
---------
11,652
---------
---------
See accompanying Notes to Financial Statements
-11-
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE DFA TWO-YEAR CORPORATE FIXED INCOME SERIES
FINANCIAL HIGHLIGHTS
FOR THE PERIOD JUNE 7, 1996
(COMMENCEMENT OF OPERATIONS)
TO SEPTEMBER 30, 1996
(UNAUDITED)
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
Net Asset Value, Beginning of Period . . . . . . . . . $ 10.00
-------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income .. . . . . . . . . . . . . . 0.18
Net Gains (Losses) on Securities
(Realized and Unrealized). . . . . . . . . . . . 0.03
-------
Total from Investment Operations . . . . . . . . . 1.38
-------
LESS DISTRIBUTIONS
Net Investment Income. . . . . . . . . . . . . . . (0.13)
-------
Net Asset Value, End of Period . . . . . . . . . . . . $ 10.08
-------
-------
Total Return . . . . . . . . . . . . . . . . . . . . . 2.11%#
Net Assets, End of Period (thousands). . . . . . . . . 117,501
Ratio of Expenses to Average Net Assets. . . . . . . . 0.23%*(a)
Ratio of Net Investment Income to Average
Net Assets. . . . . . . . . . . . . . . . . . . . . . 6.22%*(a)
Portfolio Turnover Rate. . . . . . . . . . . . . . . . 87.68%*
_________________
* Annualized
# Non-Annualized
(a) Because of commencement of operations and related preliminary transaction
costs, these ratios are not necessarily indicative of future ratios.
See accompanying Notes to Financial Statements
-12-
<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
September 30, 1996, The Trust consisted of fifteen 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 Japanese Small Company
Series, The Pacific Rim Small Company Series, The United Kingdom Small Company
Series, The Continental Small Company Series, The DFA International Value
Series, The Emerging Markets Series and The DFA Two-Year Global Fixed Income
Series. These financial statements relate solely to The DFA Two-Year Corporate
Fixed Income Series (the "Series").
RWB/DFA Two-Year Corporate Fixed Income Portfolio 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. The preparation of financial statements in accordance with
generally accepted accounting principles may require management to make
estimates and assumptions that affect the reported amounts and disclosures in
the financial statements. Actual results could differ from those estimates.
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 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 September 30, 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.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. (the "Advisor") provides investment advisory
services to the Series. For the period ended September 30, 1996, the Series'
advisory fees were computed daily and paid monthly to the Advisor based on an
effective annual rate of 0.15 of 1%.
Certain officers of the Series are also officers, directors and
shareholders of the Advisor.
-13-
<PAGE>
D. PURCHASES AND SALES OF SECURITIES:
For the period ended September 30, 1996, the Series made the following
purchases and sales of investment securities (amounts in thousands):
Other
U.S. Government Investment
Securities Securities
--------------- ----------
Purchases. . . . . . . . . . $ 81,652 $ 63,245
Sales. . . . . . . . . . . . 31,527 -
E. INVESTMENT TRANSACTIONS:
At September 30, 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. . . . . . . . . . . . . . $ 317
Gross Unrealized Depreciation. . . . . . . . . . . . . . (19)
-----
Net. . . . . . . . . . . . . . . . . . . . . . . . . . . $ 298
-----
-----
F. COMPONENTS OF NET ASSETS:
At September 30, 1996, net assets consisted of (amounts in thousands):
Paid-In Capital. . . . . . . . . . . . . . . . . . . . $ 116,624
Undistributed Net Investment Income. . . . . . . . . . 562
Undistributed Net Realized Gain. . . . . . . . . . . . 17
Unrealized Appreciation of Investment Securities . . . 298
---------
$ 117,501
---------
---------
-14-
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
RWB/DFA TWO YEAR GOVERNMENT PORTFOLIO
Period Ended September 30, 1996
(Unaudited)
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
RWB/DFA TWO-YEAR GOVERNMENT PORTFOLIO
PERIOD ENDED SEPTEMBER 30, 1996
(UNAUDITED)
TABLE OF CONTENTS
PAGE
----
DIMENSIONAL INVESTMENT GROUP INC.
Statement of Assets and Liabilities . . . . . . . . . . . . . 1
Statement of Operations . . . . . . . . . . . . . . . . . . . 2
Statement of Changes in Net Assets. . . . . . . . . . . . . . 3
Financial Highlights. . . . . . . . . . . . . . . . . . . . . 4
Notes to Financial Statements . . . . . . . . . . . . . . . . 5-6
THE DFA INVESTMENT TRUST COMPANY - THE DFA TWO-YEAR GOVERNMENT SERIES
Statement of Net Assets . . . . . . . . . . . . . . . . . . . 7
Statement of Operations . . . . . . . . . . . . . . . . . . . 8
Statement of Changes in Net Assets. . . . . . . . . . . . . . 9
Financial Highlights. . . . . . . . . . . . . . . . . . . . . 10
Notes to Financial Statements . . . . . . . . . . . . . . . . 11-12
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.
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
RWB/DFA TWO-YEAR GOVERNMENT PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 1996
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
ASSETS:
Investment in The DFA Two-Year Government Series
of The DFA Investment Trust Company
(Cost $96,401) at Value . . . . . . . . . . . . . . . $ 96,541
Prepaid Expenses and Other Assets. . . . . . . . . . . 27
---------
Total Assets. . . . . . . . . . . . . . . . . . . . 96,568
---------
LIABILITIES:
Accrued Expenses . . . . . . . . . . . . . . . . . . . 27
---------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . $ 96,541
---------
SHARES OUTSTANDING, $.01 PAR VALUE
(Authorized 100,000,000) . . . . . . . . . . . . . . . . . 9,594,103
---------
---------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE . $ 10.06
---------
---------
NET ASSETS CONSIST OF:
Paid-In Capital. . . . . . . . . . . . . . . . . . . . $ 95,981
Undistributed Net Investment Income. . . . . . . . . . 431
Accumulated Net Realized Loss. . . . . . . . . . . . . (11)
Unrealized Appreciation of Investment Securities . . . 140
---------
Total Net Assets. . . . . . . . . . . . . . . . . . $ 96,541
---------
---------
See accompanying Notes to Financial Statements
-1-
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
RWB/DFA TWO-YEAR GOVERNMENT PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE PERIOD JUNE 7, 1996
(COMMENCEMENT OF OPERATIONS)
TO SEPTEMBER 30, 1996
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
INVESTMENT INCOME
Net Investment Income from
The DFA Investment Trust Company . . . . . . . . . . . $ 1,681
-------
EXPENSES
Administrative Services . . . . . . . . . . . . . . . . 3
Accounting & Transfer Agent Fees. . . . . . . . . . . . 13
Shareholder Services. . . . . . . . . . . . . . . . . . 9
Legal Fees. . . . . . . . . . . . . . . . . . . . . . . 6
Audit Fees. . . . . . . . . . . . . . . . . . . . . . . 2
Filing Fees . . . . . . . . . . . . . . . . . . . . . . 8
Shareholders' Reports . . . . . . . . . . . . . . . . . 13
Directors' Fees and Expenses. . . . . . . . . . . . . . 3
Other . . . . . . . . . . . . . . . . . . . . . . . . . 2
-------
Total Expenses. . . . . . . . . . . . . . . . . . . 59
Less: Fees Waived and Expenses Reimbursed . . . . . . . (9)
-------
Net Expenses. . . . . . . . . . . . . . . . . . . . . . 50
-------
NET INVESTMENT INCOME . . . . . . . . . . . . . . . . . 1,631
-------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Loss on Investment Securities . . . . . . . . (11)
Change in Unrealized Appreciation (Depreciation)
of Investment Securities. . . . . . . . . . . . . . . . 140
-------
NET GAIN ON INVESTMENT SECURITIES . . . . . . . . . . . 129
-------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS. . . $ 1,760
-------
-------
See accompanying Notes to Financial Statements
-2-
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
RWB/DFA TWO-YEAR GOVERNMENT PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
FOR THE PERIOD JUNE 7, 1996
(COMMENCEMENT OF OPERATIONS)
TO SEPTEMBER 30, 1996
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income . . . . . . . . . . . . . . . . . . $ 1,631
Net Realized Loss on Investment Securities. . . . . . . . (11)
Change in Unrealized Appreciation
(Depreciation) of Investment Securities. . . . . . . . 140
--------
Net Increase in Net
Assets Resulting from Operations . . . . . . . . . . . 1,760
--------
Distributions From:
Net Investment Income . . . . . . . . . . . . . . . . . . (1,200)
--------
Capital Share Transactions (1):
Shares Issued . . . . . . . . . . . . . . . . . . . . . . 106,524
Shares Issued in Lieu of Cash Distributions . . . . . . . 3
Shares Redeemed . . . . . . . . . . . . . . . . . . . . . (10,546)
--------
Net Increase From Capital Share Transactions . . . . . 95,981
--------
Total Increase . . . . . . . . . . . . . . . . . . . . 96,541
NET ASSETS
Beginning of Period . . . . . . . . . . . . . . . . . . . -
--------
End of Period . . . . . . . . . . . . . . . . . . . . . . $ 96,541
--------
--------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued . . . . . . . . . . . . . . . . . . . . . . 10,646
Shares Issued in Lieu of Cash Distributions . . . . . . . -
Shares Redeemed . . . . . . . . . . . . . . . . . . . . . (1,052)
--------
9,594
--------
--------
See accompanying Notes to Financial Statements
-3-
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
RWB/DFA TWO-YEAR GOVERNMENT PORTFOLIO
FINANCIAL HIGHLIGHTS
FOR THE PERIOD JUNE 7, 1996
(COMMENCEMENT OF OPERATIONS)
TO SEPTEMBER 30, 1996
(UNAUDITED)
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
Net Asset Value, Beginning of Period . . . . . . . . . . . $ 10.00
-------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . . . 0.17
Net Gains (Losses) on Securities
(Realized and Unrealized) . . . . . . . . . . . . . . . 0.02
-------
Total from Investment Operations. . . . . . . . . . . . 0.19
-------
LESS DISTRIBUTIONS
Net Investment Income . . . . . . . . . . . . . . . . . (0.13)
-------
Net Asset Value, End of Period . . . . . . . . . . . . . . $ 10.06
-------
-------
Total Return . . . . . . . . . . . . . . . . . . . . . . . 1.88%#
Net Assets, End of Period (thousands). . . . . . . . . . . $96,541
Ratio of Expenses to Average Net Assets (1). . . . . . . . 0.42%*(a)(b)
Ratio of Net Investment Income to Average
Net Assets. . . . . . . . . . . . . . . . . . . . . . . . 5.89%*(a)(b)
Portfolio Turnover Rate. . . . . . . . . . . . . . . . . . N/A
- --------------------
* 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 ratio of
expenses to average net assets for the period ended September 30, 1996
would have been 0.45% and the ratio of net investment income to average
net assets for the periods ended September 30, 1996 would have been 5.86%.
(b) Because of commencement of operations and related preliminary transaction
costs, these ratios are not necessarily indicative of future ratios.
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 September 30, 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 Government Portfolio, RWB/DFA Two-Year
Corporate Fixed Income Portfolio, 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 RWB/DFA Two-Year Government 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 Two-Year Government
Series (the "Series"), a corresponding series of The DFA Investment Trust
Company. At September 30, 1996, the Portfolio owned 99% of the net assets 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. The preparation of financial statements in accordance with
generally accepted accounting principles may require management to make
estimates and assumptions that affect the reported amounts and disclosures in
the financial statements. Actual results could differ from those estimates.
1. Security Valuation: The Portfolio's investment in the Series is valued
based on its proportionate interest in the Series.
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 September 30, 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%.
-5-
<PAGE>
In addition, pursuant to a Client Service Agreement with Reinhardt Werba
Bowen Advisory Services ("RWBAS"), the Portfolio pays to RWBAS a fee at the
effective annual rate of .03% of the average net assets of the Portfolio. RWBAS
has agreed to waive this fee through December 31, 1996.
Certain officers of the Portfolio are also officers, directors and
shareholders of the Advisor.
D. INVESTMENTS:
At September 30, 1996, gross unrealized appreciation and depreciation for
financial reporting and federal income tax purposes of investment securities was
as follows:
Gross Unrealized Appreciation . . . . . . . . $ 140
Gross Unrealized Depreciation . . . . . . . . -
-----
Net . . . . . . . . . . . . . . . . . . . . . $ 140
-----
-----
-6-
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENT OF NET ASSETS
THE DFA TWO-YEAR GOVERNMENT SERIES
SEPTEMBER 30, 1996
(UNAUDITED)
Face
Amount
(000) Value+
------- ------
U.S. TREASURY OBLIGATIONS - (96.0%)
U.S. Treasury Notes
7.250%, 02/15/98 . . . . . . . . . . . . . . $19,000 $ 19,305,781
5.125%, 02/28/98 . . . . . . . . . . . . . . 5,000 4,941,406
6.125%, 03/31/98 . . . . . . . . . . . . . . 30,000 30,051,563
5.125%, 03/31/98 . . . . . . . . . . . . . . 18,000 17,777,813
7.875%, 04/15/98 . . . . . . . . . . . . . . 20,000 20,537,500
------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $92,474,059) . . . . . . . . . . . . . . . 92,614,063
------------
TEMPORARY CASH INVESTMENTS - (3.1%)
Repurchase Agreement, PNC Securities Corp. 5.40%,
10/01/96 (Collateralized by U.S. Treasury Notes
6.00%, 08/31/97) (Cost $3,012,000) . . . . . 3,012 3,012,000
------------
TOTAL INVESTMENTS - (99.1%) (Cost $95,486,059) . 95,626,063
------------
OTHER ASSETS AND LIABILITIES-(0.9%)
Other Assets . . . . . . . . . . . . . . . . 935,146
Liabilities . . . . . . . . . . . . . . . . . (19,367)
------------
915,779
------------
NET ASSETS - (100.0%) $ 96,541,842
------------
------------
- ---------------
+See Note B to Financial Statements.
7
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE DFA TWO-YEAR GOVERNMENT SERIES
STATEMENT OF OPERATIONS
FOR THE PERIOD JUNE 7, 1996
(COMMENCEMENT OF OPERATIONS)
TO SEPTEMBER 30, 1996
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
INVESTMENT INCOME
Interest . . . . . . . . . . . . . . . . . . . $ 1,747
--------
EXPENSES
Investment Advisory Services . . . . . . . . . . 43
Accounting & Transfer Agent Fees . . . . . . . . 15
Custodian's Fee. . . . . . . . . . . . . . . . . 3
Legal Fees . . . . . . . . . . . . . . . . . . . 1
Audit Fees . . . . . . . . . . . . . . . . . . . 1
Shareholders' Reports. . . . . . . . . . . . . . 1
Trustees' Fees and Expenses. . . . . . . . . . . 1
Other. . . . . . . . . . . . . . . . . . . . . . 1
--------
Total Expenses. . . . . . . . . . . . . . . . 66
--------
NET INVESTMENT INCOME. . . . . . . . . . . . . . . 1,681
--------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Loss on Investment Securities . . . . (11)
Change in Unrealized Appreciation (Depreciation)
of Investment Securities. . . . . . . . . . . . . 140
--------
NET GAIN ON INVESTMENT SECURITIES . . . . . . . . 129
--------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS . . . . . . . . . . . . . . . . . $ 1,810
--------
--------
See accompanying Notes to Financial Statements
-8-
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE DFA TWO-YEAR GOVERNMENT SERIES
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD JUNE 7, 1996
(COMMENCEMENT OF OPERATIONS)
TO SEPTEMBER 30, 1996
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income . . . . . . . . . . . . $ 1,681
Net Realized Loss on Investment Securities. . (11)
Change in Unrealized Appreciation
(Depreciation) of Investment Securities. . . 140
--------
Net Increase in Net Assets
Resulting from Operations . . . . . . . . . 1,810
--------
Transactions in Interest:
Contributions . . . . . . . . . . . . . . . . 102,617
Withdrawals . . . . . . . . . . . . . . . . . (7,885)
--------
Net Increase from Transactions in Interest . 94,732
--------
Total Increase . . . . . . . . . . . . . . . 96,542
NET ASSETS
Beginning of Period . . . . . . . . . . . . . -
--------
End of Period . . . . . . . . . . . . . . . . $ 96,542
--------
--------
See accompanying Notes to Financial Statements
-9-
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE DFA TWO-YEAR GOVERNMENT SERIES
FINANCIAL HIGHLIGHTS
FOR THE PERIOD JUNE 7, 1996
(COMMENCEMENT OF OPERATIONS)
TO SEPTEMBER 30, 1996
(UNAUDITED)
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
Net Asset Value, Beginning of Period . . . . . . $ N/A +
-------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income .. . . . . . . . . . . . -
Net Gains (Losses) on Securities
(Realized and Unrealized). . . . . . . . . . -
-------
Total from Investment Operations . . . . . . . -
-------
LESS DISTRIBUTIONS
Net Investment Income. . . . . . . . . . . . . -
Net Realized Gains . . . . . . . . . . . . . . -
-------
Total Distributions. . . . . . . . . . . . . .
-------
Net Asset Value, End of Period . . . . . . . . . $ N/A +
-------
Total Return . . . . . . . . . . . . . . . . . . N/A +
Net Assets, End of Period (thousands). . . . . . $96,542
Ratio of Expenses to Average Net Assets. . . . . 0.24% *(a)
Ratio of Net Investment Income to Average
Net Assets. . . . . . . . . . . . . . . . . . . 6.07% *(a)
Portfolio Turnover Rate. . . . . . . . . . . . . 13.49% *
- --------------------
* Annualized
+ Not applicable as The DFA Two-Year Government Series is organized as a
partnership.
(a) Because of commencement of operations and related preliminary transaction
costs, these ratios are not necessarily indicative of future ratios.
See accompanying Notes to Financial Statements
-10-
<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
September 30, 1996, The Trust consisted of fifteen 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 Japanese Small
Company Series, The Pacific Rim Small Company Series, The United Kingdom
Small Company Series, The Continental Small Company Series, The DFA
International Value Series, The Emerging Markets Series and The DFA Two-Year
Global Fixed Income Series. These financial statements relate solely to The
DFA Two-Year Government Series (the "Series").
RWB/DFA Two-Year Government Portfolio 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. The preparation of financial statements in accordance with
generally accepted accounting principles may require management to make
estimates and assumptions that affect the reported amounts and disclosures in
the financial statements. Actual results could differ from those estimates.
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: The Series is treated as a partnership for federal
income tax purposes. Any interest, dividends and gains or losses of the Series
will be deemed to have been "passed through" to its Feeder Funds.
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 September 30, 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.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. (the "Advisor") provides investment advisory
services to the Series. For the period ended September 30, 1996, the Series'
advisory fees were computed daily and paid monthly to the Advisor based on an
effective annual rate of 0.15 of 1%.
Certain officers of the Series are also officers, directors and
shareholders of the Advisor.
-11-
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
D. PURCHASES AND SALES OF SECURITIES:
For the period ended September 30, 1996, the Series made the following
purchases and sales of U.S. Government securities (amounts in thousands):
Purchases . . . . . . $ 96,507
Sales . . . . . . . . 3,970
E. INVESTMENT TRANSACTIONS:
At September 30, 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. . . . . . . . . . $ 140
Gross Unrealized Depreciation. . . . . . . . . . -
-----
Net . . . . . . . . . . . . . . . . . . . . $ 140
-----
-----
-12-
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
RWB/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
RWB/DFA TWO-YEAR CORPORATE FIXED INCOME PORTFOLIO
RWB/DFA TWO-YEAR GOVERNMENT PORTFOLIO
1299 OCEAN AVENUE, 11TH FLOOR, SANTA MONICA, CALIFORNIA 90401
TELEPHONE: (310) 395-8005
STATEMENT OF ADDITIONAL INFORMATION
FEBRUARY 28, 1996
This statement of additional information is not a prospectus but should be
read in conjunction with the prospectus of RWB/DFA U.S. High Book to Market
Portfolio, RWB/DFA Two-Year Corporate Fixed Income Portfolio and RWB/DFA Two-
Year Government Portfolio (collectively the "Portfolios") of Dimensional
Investment Group Inc. (the "Fund"), dated February 28, 1996, which can be
obtained from the Fund by writing to the Fund at the above address or by calling
the above telephone number.
TABLE OF CONTENTS
PAGE
INVESTMENT OBJECTIVE AND POLICIES. . . . . . . . . . . . . . .2
BROKERAGE TRANSACTIONS . . . . . . . . . . . . . . . . . . . .2
INVESTMENT LIMITATIONS . . . . . . . . . . . . . . . . . . . .3
FUTURES CONTRACTS. . . . . . . . . . . . . . . . . . . . . . .5
FEDERAL TAX TREATMENT OF FUTURES CONTRACTS . . . . . . . . . .6
MANAGEMENT OF THE PORTFOLIOS . . . . . . . . . . . . . . . . .7
DIRECTORS AND OFFICERS . . . . . . . . . . . . . . . . . . . .7
OTHER INFORMATION . . . . . . . . . . . . . . . . . . . . . .9
PURCHASE OF SHARES . . . . . . . . . . . . . . . . . . . . . 10
REDEMPTION OF SHARES . . . . . . . . . . . . . . . . . . . . 10
CALCULATION OF PERFORMANCE DATA . . . . . . . . . . . . . . 11
<PAGE>
INVESTMENT OBJECTIVE AND POLICIES
The following information supplements the information set forth in the
prospectus under the captions "RWB/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO -
INVESTMENT OBJECTIVE AND POLICIES" and "FIXED INCOME PORTFOLIOS-INVESTMENT
OBJECTIVES AND POLICIES," and applies to the DFA Two-Year Corporate Fixed Income
Series (the "Two-Year Corporate Fixed Income Series"), the DFA Two-Year
Government Series (the "Two-Year Government Series") and the DFA U.S. Large Cap
Value Series (the "Large Cap Value Series") of The DFA Investment Trust Company
(the "Trust").
Because the structure of the Large Cap Value Series is based on the
relative market capitalizations of eligible holdings, it is possible that the
Large Cap Value Series might include at least 5% of the outstanding voting
securities of one or more issuers. In such circumstances, the Fund and the
issuer would be deemed "affiliated persons" under the Investment Company Act of
1940 and certain requirements of the Act regulating dealings between affiliates
might become applicable. However, based on the present capitalizations of the
groups of companies eligible for inclusion in the Large Cap Value Series and the
anticipated amount of the Series' assets intended to be invested in such
securities, management does not anticipate that the Large Cap Value Series will
include as much as 5% of the voting securities in any issuer.
BROKERAGE TRANSACTIONS
The Two-Year Corporate Fixed Income Series and the Two-Year Government
Series acquire and sell securities on a net basis with dealers which are major
market makers in such securities. The Investment Committee of the Advisor
selects dealers on the basis of their size, market making and credit analysis
ability. When executing portfolio transactions for the Two-Year Corporate Fixed
Income Series and the Two-Year Government Series, the Advisor seeks to obtain
the most favorable price for the securities being traded among the dealers with
whom the Series effect transactions.
Portfolio transactions will be placed with a view to receiving the best
price and execution. In addition, the Advisor will seek to acquire and dispose
of securities in a manner which would cause as little fluctuation in the market
prices of stocks being purchased or sold as possible in light of the size of the
transactions being effected, and brokers will be selected with these goals in
view. The Advisor monitors the performance of brokers which effect transactions
for the Series to determine the effect that their trading has on the market
prices of the securities in which it invests. The Advisor also checks the rate
of commission being paid by the Series to its brokers to ascertain that they are
competitive with those charged by other brokers for similar services. For the
fiscal years ended November 30, 1994 and 1993, the Large Cap Value Series paid
brokerage commissions of $367,810 and $134,312, respectively. During the fiscal
year ended November 30, 1994, the Large Cap Value Series paid $177,095 in
commissions (on securities transactions totalling $113,847,315 in value) to
brokers which provided market price monitoring services, market studies and
research services to the Series.
Transactions also may be placed with brokers who provide the Advisor with
investment research, such as reports concerning individual issuers, industries
and general economic and financial trends and other research services. The
Investment Management Agreement of each Series permits the Advisor knowingly to
pay commissions on these transactions which are greater than another broker
might charge if the Advisor, in good faith, determines that the commissions paid
are reasonable in relation to the research or brokerage services provided by the
broker or dealer when viewed in terms of either a particular transaction or the
Advisor's overall responsibilities to assets under its management. Brokerage
transactions may be placed with securities firms that are affiliated with an
affiliate of the Advisor. Commissions paid
2
<PAGE>
on such transactions would be commensurate with the rate of commissions paid on
similar transactions to brokers that are not so affiliated and the frequency of,
and the selection of brokers to effect, such transactions would be fair and
reasonable to the Portfolio's shareholders.
The over-the-counter market ("OTC") companies eligible for purchase by the
Large Cap Value Series are thinly traded securities. Therefore, the Advisor
believes it needs maximum flexibility to effect OTC trades on a best execution
basis. To that end, the Advisor places buy and sell orders with market makers,
third market brokers, Instinet and with dealers on an agency basis when the
Advisor determines that the securities may not be available from other sources
at a more favorable price. Third market brokers enable the Advisor to trade
with other institutional holders directly on a net basis. This allows the
Advisor sometimes to trade larger blocks than would be possible by going through
a single market maker.
The Advisor places buy and sell orders on Instinet when the Advisor
determines that the securities may not be available from other sources at a more
favorable price. Instinet is an electronic information and communication
network whose subscribers include most market makers as well as many
institutions. Instinet charges a commission for each trade executed on its
system. On any given trade the Large Cap Value Series, by trading through
Instinet, would pay a spread to a dealer on the other side of the trade plus a
commission to Instinet. However, placing a buy (or sell) order on Instinet
communicates to many (potentially all) market makers and institutions at once.
This can create a more complete picture of the market and thus increase the
likelihood that the Large Cap Value Series can effect transactions at the best
available prices.
Each Portfolio will not incur any brokerage or other costs in connection
with its purchase or redemption of shares of the corresponding Series, except if
a Portfolio receives securities from the corresponding Series to satisfy the
Portfolio's redemption request. (See "REDEMPTION OF SHARES.")
INVESTMENT LIMITATIONS
Each of the Portfolios has adopted certain limitations which may not be
changed with respect to any Portfolio without the approval of the holders of a
majority of the outstanding voting securities of the Portfolio. A "majority" is
defined as the lesser of: (1) at least 67% of the voting securities of the
Portfolio (to be effected by the proposed change) present at a meeting if the
holders of more than 50% of the outstanding voting securities of the Portfolio
are present or represented by proxy, or (2) more than 50% of the outstanding
voting securities of such Portfolio. The investment limitations of each Series
are the same as those of the corresponding Portfolio.
The Portfolios will not:
(1) invest in commodities or real estate, including limited
partnership interests therein, although they may purchase and sell securities of
companies which deal in real estate and securities which are secured by
interests in real estate and may purchase or sell financial futures contracts
and options thereon;
(2) make loans of cash, except through the acquisition of repurchase
agreements and obligations customarily purchased by institutional investors;
(3) as to 75% of the total assets of a Portfolio, invest in the
securities of any issuer (except obligations of the U.S. Government and its
instrumentalities) if, as a result, more than 5% of the Portfolio's total
assets, at market, would be invested in the securities of such issuer;
3
<PAGE>
(4) purchase or retain securities of an issuer if those officers and
directors of the Fund or the Advisor owning more than 1/2 of 1% of such
securities together own more than 5% of such securities;
(5) borrow, except that the Portfolios may borrow from banks and as a
temporary measure for extraordinary or emergency purposes, amounts not exceeding
33% of a Portfolio's net assets from banks and pledge not more than 33% of such
assets to secure such loans;
(6) pledge, mortgage, or hypothecate any of its assets to an extent
greater than 10% of its total assets at fair market value, except as described
in (5) above;
(7) with respect to the U.S. Large Cap Value Portfolio invest more
than 15% of the value of the Portfolio's total assets in illiquid securities
which include certain restricted securities, repurchase agreements with
maturities of greater than seven days, and other illiquid investments;
(8) engage in the business of underwriting securities issued by
others;
(9) invest for the purpose of exercising control over management of
any company;
(10) invest its assets in securities of any investment company, except
in connection with a merger, acquisition of assets, consolidation or
reorganization;
(11) invest more than 5% of its total assets in securities of
companies which have (with predecessors) a record of less than three years'
continuous operation;
(12) acquire any securities of companies within one industry if, as a
result of such acquisition, more than 25% of the value of the Portfolio's total
assets would be invested in securities of companies within such industry, except
the RWB/DFA Two-Year Corporate Fixed Income Portfolio shall invest more than 25%
of its total assets in obligations of banks and bank holding companies in the
circumstances described in the prospectus under "Investments in the Banking
Industry" and as otherwise described under "Portfolio Strategy;"
(13) write or acquire options (except as described in (1) above) or
interests in oil, gas or other mineral exploration, leases or development
programs;
(14) purchase warrants, except that the RWB/DFA U.S. High Book to
Market Portfolio may acquire warrants as a result of corporate actions involving
its holdings of equity securities;
(15) purchase securities on margin or sell short; or
(16) acquire more than 10% of the voting securities of any issuer,
provided that this limitation applies only to 75% of the assets of the RWB/DFA
U.S. High Book to Market Portfolio.
The investment limitations described in (3), (7), (9), (10), (11), (12)
and (16) above do not prohibit each Portfolio from investing all or
substantially all of its assets in the shares of another registered open-end
investment company, such as a Series of the Trust.
The investment limitations described in (1) and (15) above do not prohibit
a Portfolio that may purchase or sell financial futures contracts and options
thereon from making margin deposits to the extent permitted under applicable
regulations.
4
<PAGE>
Although (2) above prohibits cash loans, the Portfolios are authorized to
lend portfolio securities. Inasmuch as the Portfolios will only hold shares of
a corresponding Series, the Portfolios do not intend to lend those shares.
For the purposes of (12) above, utility companies will be divided
according to their services; e.g., gas, gas transmission, electric and gas,
electric, water and telephone will each be considered a separate industry.
Although not a fundamental policy subject to shareholder approval, the
RWB/DFA Two-Year Corporate Fixed Income Portfolio and the RWB/DFA Two-Year
Government Portfolio do not intend to invest more than 15% of their total assets
in illiquid securities. The RWB/DFA Two-Year Corporate Fixed Income Portfolio
may invest in commercial paper that is exempt from the registration requirements
of the Securities Act of 1933 (the "1933 Act"), subject to the requirements
regarding credit ratings stated in the prospectus under "Description of
Investments." Further, pursuant to Rule 144A under the 1933 Act, the Portfolios
may purchase certain unregistered (i.e. restricted) securities upon a
determination that a liquid institutional market exists for the securities. If
it is decided that a liquid market does exist, the securities will not be
subject to the 15% limitation on holdings of illiquid securities described
below. While maintaining oversight, the Board of Directors has delegated the
day-to-day function of making liquidity determinations to the Advisor. For 144A
securities to be considered liquid, there must be at least two dealers making a
market in such securities. After purchase, the Board of Directors and the
Advisor will continue to monitor the liquidity of Rule 144A securities.
While the Portfolios (indirectly through their investment in the
corresponding Series) have retained authority to buy and sell financial futures
contracts and options thereon, they have no present intention to do so.
Unless otherwise indicated, all limitations applicable to the Portfolios'
and Series' investments apply only at the time that a transaction is undertaken.
Any subsequent change in a rating assigned by any rating service to a security
or change in the percentage of a Portfolio's or Series' assets invested in
certain securities or other instruments resulting from market fluctuations or
other changes in a Portfolio's or Series' total assets will not require a
Portfolio or Series to dispose of an investment until the Advisor determines
that it is practicable to sell or closeout the investment without undue market
or tax consequences. In the event that ratings services assign different
ratings to the same security, the Advisor will determine which rating it
believes best reflects the security's quality and risk at that time, which may
be the higher of the several assigned ratings.
FUTURES CONTRACTS
Please note that while the following discussion relates to the policies of
a Portfolio with respect to futures contracts, it should be understood that with
respect to the Portfolio, the discussion applies to the Series of the Trust in
which the Portfolio invests all of its assets.
The Series may enter into futures contracts and options on futures
contracts only for the purpose of remaining fully invested and to maintain
liquidity to pay redemptions. Futures contracts provide for the future sale by
one party and purchase by another party of a specified amount of defined
securities at a specified future time and at a specified price. Futures
contracts which are standardized as to maturity date and underlying financial
instrument are traded on national futures exchanges. A Series will be required
to make a margin deposit in cash or government securities with a broker or
custodian to initiate and maintain positions in futures contracts. Minimal
initial margin requirements are established by the futures exchange and brokers
may establish margin requirements which are higher than the exchange
requirements.
5
<PAGE>
After a futures contract position is opened, the value of the contract is marked
to market daily. If the futures contract price changes to the extent that the
margin on deposit does not satisfy margin requirements, payment of additional
"variation" margin will be required. Conversely, reduction in the contract
value may reduce the required margin resulting in a repayment of excess margin
to a Series. Variation margin payments are made to and from the futures broker
for as long as the contract remains open. The Series expect to earn income on
their margin deposits. Pursuant to current regulations, a Series will not enter
into futures contract transactions if immediately thereafter, its margin
deposits on open contracts exceeds 5% of the market value of its total assets.
In addition, to the extent that the Series invests in futures contracts and
options thereon for other than bona fide hedging purposes, no Series will enter
into such transactions if, immediately thereafter, the sum of the amount of
initial margin deposits and premiums paid for open futures options would exceed
5% of the Series' total assets, after taking into account unrealized profits and
unrealized losses on such contracts it has entered into; provided, however,
that, in the case of an option that is in-the-money at the time of purchase, the
in-the-money amount may be excluded in calculating the 5%. Pursuant to
published positions of the Securities and Exchange Commission (the "SEC"), the
Portfolios or Series may be required to maintain segregated accounts consisting
of liquid assets, such as cash, U.S. Government securities, or other high grade
debt obligations (or, as permitted under applicable regulation, enter into
offsetting positions) in connection with their futures contract transactions in
order to cover their obligations with respect to such contracts.
Positions in futures contracts may be closed out only on an exchange which
provides a secondary market. However, there can be no assurance that a liquid
secondary market will exist for any particular futures contract at any specific
time. Therefore, it might not be possible to close a futures position and, in
the event of adverse price movements, a Series would continue to be required to
continue to make variation margin deposits. In such circumstances, if a Series
has insufficient cash, it might have to sell portfolio securities to meet daily
margin requirements at a time when it might be disadvantageous to do so.
Management intends to minimize the possibility that it will be unable to close
out a futures contract by only entering into futures which are traded on
national futures exchanges and for which there appears to be a liquid secondary
market.
FEDERAL TAX TREATMENT OF FUTURES CONTRACTS
Except for transactions a Series has identified as hedging transactions,
the Series is required for federal income tax purposes to recognize as income
for each taxable year its net unrealized gains and losses on certain futures
contracts as of the end of the year as well as those actually realized during
the year. In most cases, any gain or loss recognized with respect to a futures
contract is considered to be 60% long-term gain or loss and 40% short-term
capital gain or loss, without regard to the holding period of the contract.
Furthermore, sales of futures contracts which are intended to hedge against a
change in the value of securities held by a Series may affect the holding period
of such securities and, consequently, the nature of the gain or loss on such
securities upon disposition.
In order for a Series to continue to qualify for federal income tax
treatment as a regulated investment company, at least 90% of its gross income
for a taxable year must be derived from qualifying income; i.e., dividends,
interest, income derived from loans of securities, gains from the sale of
securities and other income derived with respect to the Series' business of
investing in securities. In addition, gains realized on the sale or other
disposition of securities held for less than three months must be limited to
less than 30% of the Series' annual gross income. It is anticipated that any
net gain realized from closing futures contracts will be considered gain from
the sale of securities and, therefore, constitute qualifying income for purposes
of the 90% requirement. In order to avoid realizing excessive gains on
securities held less than three months, a Series may be required to defer the
closing out of futures contracts beyond the time when it would otherwise be
advantageous to do so. It is anticipated that unrealized gains on futures
6
<PAGE>
contracts which have been open for less than three months as of the end of a
Series' fiscal year and which are recognized for tax purposes, will not be
considered gains on sales of securities held less than three months for the
purpose of the 30% test. The Series will distribute to shareholders annually
any net capital gains which have been recognized for federal income tax purposes
(including unrealized gains at the end of the Series' fiscal year) on futures
transactions. Such distributions will be combined with distributions of capital
gains realized on the Series' other investments.
MANAGEMENT OF THE PORTFOLIOS
The Advisor has undertaken to reimburse each Portfolio to the extent
necessary to satisfy the most restrictive expense ratio required by any state in
which the particular Portfolio's shares are qualified for sale. Presently, the
most restrictive expense limitation is 2.5% on the first $30,000,000 of average
annual net assets of the Portfolio, 2.0% of the next $70,000,000 of such assets,
and 1.5% of any excess.
DIRECTORS AND OFFICERS
The names and addresses of the directors and officers of the Fund and a
brief statement of their present positions and principal occupations during the
past five years is set forth below.
DIRECTORS
David G. Booth*, 49, Director, President and Chairman-Chief Executive
Officer, Santa Monica, CA. President, Chairman-Chief Executive Officer and
Director: Dimensional Fund Advisors Inc., DFA Securities Inc., DFA Australia
Pty Limited, DFA Investment Dimensions Group Inc. (registered investment
company) and Dimensional Emerging Markets Fund Inc. (registered investment
company). Trustee, President and Chairman-Chief Executive Officer of The DFA
Investment Trust Company. Chairman and Director, Dimensional Fund Advisors Ltd.
George M. Constantinides, 48, Director, Chicago, IL. Leo Melamed
Professor of Finance, Graduate School of Business, University of Chicago.
Trustee, The DFA Investment Trust Company. Director, DFA Investment Dimensions
Group Inc. and Dimensional Emerging Markets Fund Inc.
John P. Gould, 57, Director, Chicago, IL. Steven G. Rothmeier
Distinguished Service Professor of Economics, Graduate School of Business,
University of Chicago. Trustee, The DFA Investment Trust Company and First
Prairie Funds (registered investment companies). Director, DFA Investment
Dimensions Group Inc., Dimensional Emerging Markets Fund Inc. and Harbor
Investment Advisors. Executive Vice President, Lexecon Inc. (economics, law,
strategy and finance consulting).
Roger G. Ibbotson, 52, Director, New Haven, CT. Professor in Practice of
Finance, Yale School of Management. Trustee, The DFA Investment Trust Company.
Director, DFA Investment Dimensions Group Inc., Dimensional Emerging Markets
Fund Inc., Hospital Fund, Inc. (investment management services) and BIRR
Portfolio Analysis, Inc. (software products). Chairman and President, Ibbotson
Associates, Inc., Chicago, IL (software, data, publishing and consulting).
Merton H. Miller, 72, Director, Chicago, IL. Robert R. McCormick
Distinguished Service Professor Emeritus, Graduate School of Business,
University of Chicago. Trustee, The DFA Investment Trust Company. Director,
DFA Investment Dimensions Group Inc. and Dimensional Emerging Markets Fund Inc.
Public Director, Chicago Mercantile Exchange.
7
<PAGE>
Myron S. Scholes, 54, Director, Greenwich, CT. Limited Partner, Long-Term
Capital Management L.P. (money manager). Frank E. Buck Professor of Finance,
Graduate School of Business and Professor of Law, Law School, Senior Research
Fellow, Hoover Institution, (all) Stanford University (on leave). Trustee, The
DFA Investment Trust Company. Director, DFA Investment Dimensions Group Inc.,
Dimensional Emerging Markets Fund Inc., Benham Capital Management Group of
Investment Companies and Smith Breeden Group of Investment Companies.
Rex A. Sinquefield*, 51, Director, Chairman and Chief Investment Officer,
Santa Monica, CA. Chairman-Chief Investment Officer and Director, Dimensional
Fund Advisors Inc., DFA Securities Inc., DFA Australia Pty Limited, DFA
Investment Dimensions Group Inc., and Dimensional Emerging Markets Fund Inc.
Trustee, Chairman-Chief Investment Officer of The DFA Investment Trust Company.
Chairman, Chief Executive Officer and Director, Dimensional Fund Advisors Ltd.
*Interested Director of the Fund.
OFFICERS
Each of the officers listed below holds the same office in the following
entities: Dimensional Fund Advisors Inc., DFA Securities Inc., DFA Australia
Pty Limited, DFA Investment Dimensions Group Inc., The DFA Investment Trust
Company, Dimensional Fund Advisors Ltd., and Dimensional Emerging Markets Fund
Inc.
Arthur Barlow, 40, Vice President, Santa Monica, CA.
Truman Clark, 54, Vice President, Santa Monica, CA. Consultant until
October 1995 and Principal and Manager of Product Development, Wells Fargo
Nikko Investment Advisors, San Francisco, CA from 1990 to 1994.
Maureen Connors, 59, Vice President, Santa Monica, CA.
Robert Deere, 38, Vice President, Santa Monica, CA.
Irene R. Diamant, 45, Vice President and Secretary, Santa Monica, CA.
Eugene Fama, Jr., 35, Vice President, Santa Monica, CA.
David Plecha, 34, Vice President, Santa Monica, CA.
George Sands, 40, Vice President, Santa Monica, CA. Managing Director,
Asset Strategy Consulting, Los Angeles, CA from 1991 to 1992 and
previously Vice President, Wilshire Associates, Santa Monica, CA.
Michael T. Scardina, 40, Vice President, Chief Financial Officer,
Controller and Treasurer, Santa Monica, CA.
Cem Severoglu, 32, Vice President, Santa Monica, CA.
Jeanne C. Sinquefield, Ph.D., 49, Executive Vice President, Santa Monica,
CA.
Rex A. Sinquefield and Jeanne C. Sinquefield are husband and wife.
Directors and officers as a group own less than 1% of each Portfolio's
outstanding stock.
8
<PAGE>
Set forth below is a table listing, for each director entitled to receive
compensation, the compensation received from the Fund during the fiscal year
ended November 30, 1995, and the total compensation received from all four
registered investment companies for which the Advisor serves as investment
advisor during that same fiscal year.
Aggregate Total Compensation from
Compensation Fund
Director from Fund and Fund Complex
- -------- --------------- ----------------------------
George M. Constantinides $ 5,000 $30,000
John P. Gould $ 5,000 $30,000
Roger G. Ibbotson $ 5,000 $30,000
Merton H. Miller $ 4,000 $24,000
Myron S. Scholes $ 5,000 $30,000
OTHER INFORMATION
The Fund was known as DFA U.S. Large Cap Inc. from February, 1992 until the
Fund amended its Articles of Incorporation in April, 1993 to change to its
present name. Prior to a February, 1992 amendment to the Fund's Articles of
Incorporation, the Fund was known as DFA U.S. Large Cap Portfolio Inc. The Fund
commenced offering shares of the Portfolios in May, 1996.
The shares of each Portfolio, when issued and paid for in accordance with
the Portfolios' prospectus, will be fully paid and nonassessable shares, with
equal, non-cumulative voting rights and no preferences as to conversion,
exchange, dividends, redemption or any other feature. With respect to matters
which require shareholder approval, shareholders are entitled to vote only with
respect to matters which affect the interest of the class of shares (Portfolio)
which they hold, except as otherwise required by applicable law. If liquidation
of the Fund should occur, shareholders would be entitled to receive on a per
class basis the assets of the particular Portfolio whose shares they own, as
well as a proportionate share of Fund assets not attributable to any particular
Portfolio. Ordinarily, the Fund does not intend to hold annual meetings of
shareholders, except as required by the Investment Company Act of 1940 (the
"1940 Act") or other applicable law. The Fund's by-laws provide that special
meetings of shareholders shall be called at the written request of at least 10%
of the votes entitled to be cast at such meeting. Such meeting may be called to
consider any matter, including the removal of one or more directors.
Shareholders will receive shareholder communications with respect to such
matters as required by the 1940 Act, including semi-annual and annual financial
statements of the Fund, the latter being audited.
PNC Bank, N.A. serves as the custodian for the Portfolios and the Series.
The custodian maintains a separate account or accounts for the Portfolios and
Series; receives, holds and releases portfolio securities on account of the
Portfolios and Series; makes receipts and disbursements of money on behalf of
the Portfolios and Series; and collects and receives income and other payments
and distributions on account of the Portfolios' and Series' portfolio
securities.
Coopers & Lybrand L.L.P., the Fund's independent accountants, audits the
Fund's financial statements on an annual basis.
9
<PAGE>
PURCHASE OF SHARES
The following information supplements the information set forth in the
prospectus under the caption "PURCHASE OF SHARES."
The Fund will accept purchase and redemption orders on each day that the
New York Stock Exchange ("NYSE") is open for business. On other days, the Fund
will generally be closed. The NYSE is scheduled to be open Monday through
Friday throughout the year except for days closed to recognize New Year's Day,
Presidents' Day, Good Friday, Memorial Day, Independence Day, Labor Day,
Thanksgiving and Christmas Day. Orders for redemptions and purchases will not
be processed if the Fund is closed.
The Fund reserves the right, in its sole discretion, to suspend the
offering of shares of any or all Portfolios or reject purchase orders when, in
the judgment of management, such suspension or rejection is in the best interest
of the Fund or a Portfolio. Securities accepted in exchange for shares of a
Portfolio will be acquired for investment purposes and will be considered for
sale under the same circumstances as other securities in the Portfolio.
REDEMPTION OF SHARES
The following information supplements the information set forth in the
prospectus under the caption "REDEMPTION OF SHARES."
The Fund may suspend redemption privileges or postpone the date of payment:
(1) during any period when the NYSE is closed, or trading on the Exchange is
restricted as determined by the Securities and Exchange Commission (the "SEC"),
(2) during any period when an emergency exists as defined by the rules of the
SEC as a result of which it is not reasonably practicable for the Fund to
dispose of securities owned by it, or fairly to determine the value of its
assets and (3) for such other periods as the SEC may permit.
If the Board of Directors of the Fund determines that it would be
detrimental to the best interests of the remaining shareholders of a Portfolio
to make payment wholly or partly in cash, the Portfolio may pay the redemption
price by a distribution of readily marketable portfolio securities from the
Portfolio in lieu of cash. Upon such a determination by both the Board of
Directors of the Fund and Board of Trustees of the Trust, a Portfolio may pay
the redemption price, in lieu of cash, by a distribution of portfolio securities
that the Portfolio receives from the Series to satisfy the Portfolio's
redemption request. Any such redemption by the Series and/or the Portfolio
would be in accordance with Rule 18f-1 under the 1940 Act. Investors may incur
brokerage charges and other transaction costs selling securities that were
received in payment of redemptions.
Shareholders may transfer shares of any Portfolio to another person by
making a written request therefore to the Advisor who will transmit the request
to PFPC. The request should clearly identify the account and number of shares
to be transferred, and include the signature of all registered owners and all
stock certificates, if any, which are subject to the transfer. The signature on
the letter of request, the stock certificate or any stock power must be
guaranteed in the same manner as described in the prospectus under "REDEMPTION
OF SHARES." As with redemptions, the written request must be received in good
order before any transfer can be made.
10
<PAGE>
CALCULATION OF PERFORMANCE DATA
As the following formula indicates, each Portfolio and Series determines
its annualized total return by finding the annualized total return over the
stated time period that would equate a hypothetical initial purchase order of
$1,000 to its redeemable value (including capital appreciation/depreciation and
dividends and distributions paid and reinvested less any fees charged to a
shareholder account) at the end of the stated time period. The calculation
assumes that all dividends and distributions are reinvested at the public
offering price on the reinvestment dates during the period. The calculation
also assumes the account was completely redeemed at the end of each period and
the deduction of all applicable charges and fees. According to the SEC formula:
n
P(1 + T) = ERV
where:
P = a hypothetical initial payment of $1,000
T = annualized compounded rate of return
n = number of years
ERV = ending redeemable value of a hypothetical $1,000 payment made at the
beginning of the one-, five- and ten-year periods at the end of the one-, five-
and ten-year periods (or fractional portion thereof).
In addition to the standardized method of calculating performance required
by the SEC, the Portfolios and Series may disseminate other performance data.
Non-standardized return data may be presented over time periods which extend
prior to when a Portfolio or its corresponding Series commenced investment
operations by using simulated data consistent with the investment policy of the
Portfolio and the Series for that portion of the period prior to the initial
investment date. The simulated data would exclude the deduction of Portfolio
and Series expenses which would otherwise reduce the returns quotations.
The Portfolios may compare their investment performance to appropriate
market and mutual fund indices.
11
<PAGE>
PART C
OTHER INFORMATION
Item 24. FINANCIAL STATEMENTS AND EXHIBITS
PART A: FINANCIAL HIGHLIGHTS*
PART B:
(1) Statement of Assets and Liabilities*
(2) Statement of Operations*
(3) Statement of Changes in Net Assets*
(4) Financial Highlights*
(5) Report of Coopers & Lybrand L.L.P., independent accountants,
dated January 19, 1996*
(6) Notes to Financial Statements*
(b) EXHIBITS
(1) Form of Articles of Restatement
(a) Form of Articles Supplementary
(2) Form of By-Laws, as amended
EACH OF THE ABOVE IS INCORPORATED HEREIN BY REFERENCE TO:
Filing: Post-Effective Amendment No. 12 to the Registration
Statement of Registrant on Form N-1A
File Nos.: 33-33980 and 811-6067
Filing Date: December 15, 1995
(3) None
(4) (i) Specimen Security of The DFA 6-10 Institutional
Portfolio**
(ii) Specimen Security of The DFA International Value
Portfolio**
(iii) Specimen Security of DFA International Value Portfolio
II**
(iv) Specimen Security of U.S. Large Cap Value Portfolio
II**
(v) Specimen Security of U.S. Small Cap Value Portfolio
II**
(vi) Specimen Security of DFA One-Year Fixed Income
Portfolio II**
(vii) Specimen Security of DFA International Value Portfolio
III**
(viii) Specimen Security of U.S. Large Cap Value Portfolio
III**
<PAGE>
(ix) Specimen Security of DFA Five-Year Government Portfolio
II**
(x) Specimen Security of RWB/DFA Two-Year Corporate Fixed
Income Portfolio
INCORPORATED HEREIN BY REFERENCE TO:
Filing: Post-Effective Amendment No. 12 to the
Registration Statement of Registrant on Form N-1A
File Nos.: 33-33980 and 811-6067
Filing Date: December 15, 1995
(xi) Specimen Security of RWB/DFA Two-Year Government
Portfolio
INCORPORATED HEREIN BY REFERENCE TO:
Filing: Post-Effective Amendment No. 12 to the
Registration Statement of Registrant on Form N-1A
File Nos.: 33-33980 and 811-6067
Filing Date: December 15, 1995
(xii) Specimen Security of RWB/DFA U.S. High Book-to-Market
Portfolio
INCORPORATED HEREIN BY REFERENCE TO:
Filing: Post-Effective Amendment No. 12 to the
Registration Statement of Registrant on Form N-1A
File Nos.: 33-33980 and 811-6067
Filing Date: December 15, 1995
(5) Investment Advisory Agreement**
(6) None
(7) None
(8) Form of Custodian Agreement with Provident National Bank**
(i) Form of Amendment**
(a) Form of Amendment Number One+
(b) Form of Amendment Number Two+
(c) Form of Amendment Number Three+
(d) Form of Amendment Number Four+
(e) Form of Amendment Number Five+
(f) Form of Amendment Number Six
INCORPORATED HEREIN BY REFERENCE TO:
Filing: Post-Effective Amendment No. 12 to the
Registration Statement of Registrant on Form N-1A
File Nos.: 33-33980 and 811-6067
Filing Date: December 15, 1995
(9) (i) Form of Transfer Agency Agreement with Provident
Financial Processing Corporation**
(a) Form of Amendment**
(b) Form of Amendment Number One+
(c) Form of Amendment Number Two+
(d) Form of Amendment Number Three+
(e) Form of Amendment Number Four+
C-2
<PAGE>
(f) Form of Amendment Number Five+
(g) Form of Amendment Number Six
INCORPORATED HEREIN BY REFERENCE TO:
Filing: Post-Effective Amendment No. 12 to the
Registration Statement of Registrant on Form N-1A
File Nos.: 33-33980 and 811-6067
Filing Date: December 15, 1995
(ii) Form of Administration and Accounting Services
Agreement with Provident Financial Processing
Corporation**
(a) Form of Amendment**
(b) Form of Amendment Number One+
(c) Form of Amendment Number Two+
(d) Form of Amendment Number Three+
(e) Form of Amendment Number Four+
(f) Form of Amendment Number Five+
(g) Form of Amendment Number Six
INCORPORATED HEREIN BY REFERENCE TO:
Filing: Post-Effective Amendment No. 12 to the
Registration Statement of Registrant on Form N-1A
File Nos.: 33-33980 and 811-6067
Filing Date: December 15, 1995
(iii) Form of Facility Agreement with Dimensional Fund
Advisors Inc.**
(iv) Agreement with DFA Securities Inc.**
(v) Form of Shareholders Agreement**
(vi) Form of Administration Agreement re The DFA 6-10
Institutional Portfolio**
(vii) Form of Administration Agreement re The DFA
International Value Portfolio**
(viii) Form of Administration Agreement re DFA International
Value Portfolio II**
(ix) Form of Administration Agreement re U.S. Large Cap
Value Portfolio II**
(x) Form of Administration Agreement re U.S. Small Cap
Value Portfolio II**
(xi) Form of Administration Agreement re DFA One-Year Fixed
Income Portfolio II**
(xii) Form of Administration Agreement re DFA International
Value Portfolio III**
(xiii) Form of Administration Agreement re U.S. Large Cap
Value Portfolio III**
(xiv) Form of Administration Agreement re DFA Five-Year
Government Portfolio II**
C-3
<PAGE>
(xv) Form of Administration Agreement re RWB/DFA Two-Year
Corporate Fixed Income Portfolio
INCORPORATED HEREIN BY REFERENCE TO:
Filing: Post-Effective Amendment No. 12 to the
Registration Statement of Registrant on Form N-1A
File Nos.: 33-33980 and 811-6067
Filing Date: December 15, 1995
(xvi) Form of Administration Agreement re RWB/DFA Two-Year
Government Portfolio
INCORPORATED HEREIN BY REFERENCE TO:
Filing: Post-Effective Amendment No. 12 to the
Registration Statement of Registrant on Form N-1A
File Nos.: 33-33980 and 811-6067
Filing Date: December 15, 1995
(xvii) Form of Administration Agreement re RWB/DFA U.S. High
Book to Market Portfolio
INCORPORATED HEREIN BY REFERENCE TO:
Filing: Post-Effective Amendment No. 12 to the
Registration Statement of Registrant on Form N-1A
File Nos.: 33-33980 and 811-6067
Filing Date: December 15, 1995
(xviii) Form of Client Service Agent Agreement re RWB/DFA Two-
Year Corporate Fixed Income Portfolio
INCORPORATED HEREIN BY REFERENCE TO:
Filing: Post-Effective Amendment No. 12 to the
Registration Statement of Registrant on Form N-1A
File Nos.: 33-33980 and 811-6067
Filing Date: December 15, 1995
(xix) Form of Client Service Agent Agreement re RWB/DFA Two-
Year Government Portfolio
INCORPORATED HEREIN BY REFERENCE TO:
Filing: Post-Effective Amendment No. 12 to the
Registration Statement of Registrant on Form N-1A
File Nos.: 33-33980 and 811-6067
Filing Date: December 15, 1995
(xx) Form of Client Service Agent Agreement re RWB/DFA U.S.
High Book to Market Portfolio
INCORPORATED HEREIN BY REFERENCE TO:
Filing: Post-Effective Amendment No. 12 to the
Registration Statement of Registrant on Form N-1A
File Nos.: 33-33980 and 811-6067
Filing Date: December 15, 1995
C-4
<PAGE>
(10) Opinion of counsel - filed with Registrant's Rule 24f-2
Notice on January 29, 1996.
(11) Not applicable
(12) Not applicable
(13) Form of Subscription Agreement under Section 14(a)(3) of
Investment Company Act of 1940**
(14) None
(15) None
(16) Schedules for Computation of Performance Quotations
(17) Financial Data Schedules
(18) Not applicable
(19) (i) Power of Attorney and certified resolution relating
thereto**
(ii) Power of Attorney re The DFA Investment Trust Company
and certified resolution relating thereto**
*For all series of shares of the Registrant, except RWB/DFA Two-Year
Corporate Fixed Income Portfolio, RWB/DFA Two-Year Government Portfolio and
RWB/DFA U.S. High Book to Market Portfolio, the audited financial statements
were filed electronically via the EDGAR system on January 31, 1996 with the
Securities and Exchange Commission (the "SEC") as DIMENSIONAL INVESTMENT GROUP
INC. Annual Report to Shareholders for the period ended November 30, 1995
("Annual Report") pursuant to Rule 30b2-1 under the Investment Company Act of
1940 (the "1940 Act") and (1) with respect to the financial statements, they are
incorporated by reference into the relevant Statements of Additional
Information; and (2) with respect to the Financial Highlights, they are
incorporated by reference into the relevant Prospectuses.
The audited financial statements of U.S. 6-10 Small Company, U.S. Small Cap
Value, U.S. Large Cap Value, DFA One-Year Fixed Income and DFA International
Value Series of The DFA Investment Trust Company (the "Trust") for the fiscal
year ended November 30, 1995, as set forth in the Trust's Annual Report to
shareholders, were filed via the EDGAR system on January 26, 1996, with the SEC
pursuant to Rule 30b2-1 under the 1940 Act and are incorporated by reference
into the relevant Statements of Additional Information dated February 28, 1996.
The unaudited financial statements for the RWB/DFA Two-Year Corporate Fixed
Income Portfolio, RWB/DFA Two-Year Government Portfolio and RWB/DFA U.S. High
Book to Market Portfolio and their corresponding Trust Series for the period
from June 7, 1996 (date of commencement of operations) through September 30,
1996 are included in Part B of this Post-Effective Amendment No. 14/15.
**Previously filed with this registration statement and incorporated herein
by reference.
+To be filed by amendment.
C-5
<PAGE>
ITEM 25. PERSONS CONTROLLED BY OR UNDER COMMON CONTROL WITH
REGISTRANT
None
ITEM 26. NUMBER OF HOLDERS OF SECURITIES
(1) (2)
Title of Class Number of Record Holders
(Par Value $.01) as of October 31, 1996
---------------- ------------------------
The DFA 6-10 Institutional
Portfolio 2
The DFA International Value
Portfolio 75
DFA International Value
Portfolio II 1
U.S. Large Cap Value
Portfolio II 1
U.S. Small Cap Value
Portfolio II 1
DFA One-Year Fixed Income
Portfolio II 5
DFA International Value
Portfolio III 1
U.S. Large Cap Value
Portfolio III 2
RWB/DFA U.S. High Book
to Market Portfolio 5
RWB/DFA Two-Year Corporate
Fixed Income Portfolio 5
RWB/DFA Two-Year
Government Portfolio 5
C-6
<PAGE>
ITEM 27. INDEMNIFICATION
Registrant's By-Laws provide the following:
With respect to the indemnification of the Officers and Directors of
the corporation:
(a) the Corporation shall indemnify each Officer and Director
made party to a proceeding, by reason of service in such capacity, to
the fullest extent, and in the manner provided under Section 2-418 of
the Maryland General Corporation Law: (i) unless it is proved that
the person seeking indemnification did not meet the standard of
conduct set forth in subsection (b)(1) of such section; and (ii)
provided, that the Corporation shall not indemnify any Officer or
Director for any liability to the Corporation or its security holders
arising from the willful misfeasance, bad faith, gross negligence or
reckless disregard of the duties involved in the conduct of such
person's office.
(b) The provisions of clause (i) of paragraph (a) herein
notwithstanding, the Corporation shall indemnify each Officer and
Director against reasonable expenses incurred in connection with the
successful defense of any proceeding to which such Officer or Director
is a party by reason of service in such capacity.
(c) The Corporation, in the manner and to the extent provided by
applicable law, shall advance to each Officer and Director who is made
party to a proceeding by reason of service in such capacity the
reasonable expenses incurred by such person in connection therewith.
Registrant's Articles of Incorporation provide:
SEVENTH: (a) To the fullest extent that limitations on the
liability of directors and officers are permitted by the Maryland
General Corporation Law, as amended from time to time, no director or
officer of the Corporation shall have any liability to the Corporation
or its stockholders for money damages. This limitation on liability
applies to liabilities occurring for acts or omissions occurring at
the time a person serves as a director or officer of the Corporation,
whether or not such person is a director or officer at the time of any
proceeding in which liability is asserted.
(b) Notwithstanding the foregoing, this Article
SEVENTH shall not operate to protect any
C-7
<PAGE>
director or officer of the Corporation against any liability to the
Corporation or its stockholders to which such person would otherwise
be subject by reason or willful misfeasance, bad faith, gross
negligence, or reckless disregard of the duties involved in the
conduct of such person's office.
ITEM 28. BUSINESS AND OTHER CONNECTIONS OF INVESTMENT ADVISOR
The Series' investment advisor (the "Advisor") was organized in May,
1981. The principal place of business of the Advisor is 1299 Ocean
Avenue, 11th Floor, Santa Monica, California 90401. The Advisor is
engaged in the business of providing investment advice primarily to
institutional investors.
The business, profession, vocation or employment of a substantial
nature in which each director and officer of the Advisor is or has
been, during the past two fiscal years, engaged for his own account in
the capacity of director, officer, employee, partner or trustee is as
follows:
DIRECTORS
David G. Booth is President, Chairman-Chief Executive Officer and
Director of the Advisor, the Registrant, DFA Securities Inc., DFA
Investment Dimensions Group Inc. (registered investment company),
Dimensional Fund Advisors Ltd., DFA Australia Pty. Limited (registered
investment advisor) and Dimensional Emerging Markets Fund Inc.
(registered investment company). Mr. Booth is also Trustee, President
and Chairman-Chief Executive Officer of The DFA Investment Trust
Company (registered investment company).
Eugene Francis Fama, a Director of the Advisor, is the Robert R.
McCormick Distinguished Service Professor of Finance, and has been
engaged in teaching and research in finance and economics at the
Graduate School of Business, University of Chicago, Chicago, Illinois,
since September, 1963. Mr. Fama also is a Director of DFA Securities
Inc.
John Andrew McQuown, a Director of the Advisor, has been self employed
since 1974 as an entrepreneur, financier and consultant to major
financial institutions. He is also a Director of Mortgage Information
Corporation, KMV Corporation and Microsource, Inc.
Rex A. Sinquefield is Chairman-Chief Investment Officer and a Director
of the Advisor, the Registrant, DFA
C-8
<PAGE>
Securities Inc., DFA Investment Dimensions Group Inc., DFA Australia
Pty. Limited and Dimensional Emerging Markets Fund Inc. Mr.
Sinquefield is also Trustee, Chairman-Chief Investment Officer of The
DFA Investment Trust Company and Chairman, Chief Executive Officer and
Director of DFA Investment Advisors Ltd.
Lloyd Stockel, a Director of the Advisor, is a private investor and a
retired general partner of Goldman Sachs & Co.
OFFICERS
Each of the officers listed below holds the same office in the
following entities: Dimensional Fund Advisors Inc., DFA Securities
Inc., DFA Australia Pty. Limited, Dimensional Investment Group Inc.,
The DFA Investment Trust Company, Dimensional Fund Advisors Ltd. and
Dimensional Emerging Markets Fund Inc.
Arthur Barlow, Vice President.
Truman Clark, Vice President. Mr. Clark was a consultant until
October 1995 and Principal and Manager of Product Development, Wells
Fargo Nikko Investment Advisors, San Francisco, CA from 1990-1994.
Maureen Connors, Vice President.
Robert Deere, Vice President
Irene R. Diamant, Vice President and Secretary.
Eugene Fama, Jr., Vice President.
David Plecha, Vice President.
George Sands, Vice President. Mr. Sands was a Managing Director of
Asset Strategy Consulting in Los Angeles, CA from March 1991 to August
1992 and a Vice President of Wilshire Associates in Santa Monica, CA
from 1985 to February 1991.
Michael T. Scardina, Vice President, Chief Financial Officer,
Controller and Treasurer.
Cem Severoglu, Vice President.
Jeanne C. Sinquefield, Ph.D., Executive Vice President.
C-9
<PAGE>
Each of the persons listed below are officers of the Advisor only.
Daniel Wheeler, Marketing Officer, Santa Monica, CA.
David Schneider, Marketing Officer, Santa Monica, CA.
Lawrence Spieth, Marketing Officer, Santa Monica, CA.
ITEM 29. PRINCIPAL UNDERWRITERS
(a) None.
(b) Registrant distributes its own shares. It has entered into an
agreement, previously filed as Exhibit No. 9(iv) to the
Registration Statement, which provides that DFA Securities Inc.,
1299 Ocean Avenue, 11th Floor, Santa Monica, CA 90401, will
supervise the sale of Registrant's shares. This agreement is
subject to the requirements of Section 15(b) of the Investment
Company Act of 1940.
(c) Not applicable.
ITEM 30. LOCATION OF ACCOUNTS AND RECORDS
Most accounts and records are maintained by PFPC Inc., 400 Bellevue
Parkway, Wilmington, DE 19809. Other records are maintained by
Registrant at its business office at 1299 Ocean Avenue, 11th Floor,
Santa Monica, CA 90401.
ITEM 31. MANAGEMENT SERVICES
Registrant has entered into a Transfer Agency and Dividend Disbursing
Agreement and Administration and Accounting Service Agreement with
PFPC Inc. which have been filed as Exhibits 9(i) and (ii) to this
Registration Statement.
ITEM 32. UNDERTAKINGS
(a) Not applicable.
(b) The Registrant hereby undertakes to furnish each person to whom a
prospectus is delivered with a copy of the Registrant's latest
annual report to shareholders, upon request and without charge.
C-10
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Act of 1933 and the
Investment Company Act of 1940, the Registrant certifies that it meets all of
the requirements for effectiveness of this Registration Statement pursuant to
Rule 485(b) under the Securities Act of 1933 and has duly caused this Amendment
No. 14/15 to the Registration Statement to be signed on its behalf by the
undersigned, thereunto duly authorized, in the City of Santa Monica and State of
California on the 5th day of December, 1996.
DIMENSIONAL INVESTMENT GROUP INC.
By: David G. Booth*
-------------------------------
David G. Booth
President
Pursuant to the requirements of the Securities Act of 1933, this Post-
Effective Amendment No. 14 to the Registration Statement has been signed by the
following persons in the capacities and on the dates indicated.
Signature Title Date
--------- ----- ----
Director and
David G. Booth* Chairman-Chief December 5, 1996
- ------------------------- Executive Officer
David G. Booth
Director and
Rex A. Sinquefield* Chairman-Chief December 5, 1996
- ------------------------- Investment Officer
Rex A. Sinquefield
Chief Financial
Michael T. Scardina* Officer, Treasurer December 5, 1996
- ------------------------- and Vice President
Michael T. Scardina
George M. Constantinides* Director December 5, 1996
- -------------------------
George M. Constantinides
John P. Gould* Director December 5, 1996
- -------------------------
John P. Gould
Roger G. Ibbotson* Director December 5, 1996
- -------------------------
Roger G. Ibbotson
Merton H. Miller* Director December 5, 1996
- -------------------------
Merton H. Miller
Myron S. Scholes* Director December 5, 1996
- -------------------------
Myron S. Scholes
*By: Irene R. Diamant
---------------------------
Irene R. Diamant
Attorney-in-Fact
(Pursuant to Power of Attorney previously filed on October 3, 1994, with the SEC
as Exhibit 17 to Post-Effective Amendment No. 31 to the Registration Statement
of DFA Investment Dimensions Group Inc. (File No. 2-73948)).
C-11
<PAGE>
SIGNATURES
The DFA Investment Trust Company consents to the filing of this Amendment
to the Registration Statement of Dimensional Investment Group Inc. which is
signed on its behalf by the undersigned, thereunto duly authorized, in the City
of Santa Monica and State of California on the 5th day of December, 1996.
THE DFA INVESTMENT TRUST COMPANY
By: David G. Booth*
-------------------------------
David G. Booth
President and
Chairman-Chief Executive Officer
The undersigned Trustees and Principal Officers of The DFA Investment Trust
Company consent to the filing of this Amendment to the Registration Statement of
Dimensional Investment Group Inc. on the dates indicated.
Signature Title Date
--------- ----- ----
Trustee and
David G. Booth* Chairman-Chief December 5, 1996
- ------------------------- Executive Officer
David G. Booth
Trustee and
Rex A. Sinquefield* Chairman-Chief December 5, 1996
- ------------------------- Investment Officer
Rex A. Sinquefield
Chief Financial
Michael T. Scardina* Officer, Controller, December 5, 1996
- ------------------------- Treasurer and
Michael T. Scardina Vice President
George M. Constantinides* Trustee December 5, 1996
- -------------------------
George M. Constantinides
John P. Gould* Trustee December 5, 1996
- -------------------------
John P. Gould
Roger G. Ibbotson* Trustee December 5, 1996
- -------------------------
Roger G. Ibbotson
Merton H. Miller* Trustee December 5, 1996
- -------------------------
Merton H. Miller
Myron S. Scholes* Trustee December 5, 1996
- -------------------------
Myron S. Scholes
*By: Irene R. Diamant
-------------------------
Irene R. Diamant
Attorney-in-Fact
(Pursuant to Power of Attorney previously filed on March 28, 1996 as Exhibit 17
to Post-Effective Amendment No. 13 to the Registration Statement of Dimensional
Investment Group Inc.)
C-12
<PAGE>
EXHIBIT INDEX
-------------
Exhibit No. Exhibit
- ----------- -------
99(b)(16) Schedules For Computation of Performance
Quotations for RWB/DFA U.S. High Book to
Market, Two-Year Corporate Fixed Income
and Two-Year Government Portfolios
99(b)(17) Financial Data Schedules
<PAGE>
Exhibit 99(b)(16)
SCHEDULES FOR COMPUTATION OF PERFORMANCE QUOTATIONS
I. STANDARDIZED COMPUTATIONS OF TOTAL RETURN
A. RWB/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO:
TOTAL RETURN: P (1 + T)(n) = ERV
Date of Commencment of Operations through September 30, 1996
P = $1,000
T = (9.79%)
n = .233 years
ERV = 976.27
B. RWB/DFA TWO-YEAR CORPORATE FIXED INCOME PORTFOLIO:
TOTAL RETURN: P (1 + T)(n) = ERV
Date of Commencement of Operations through September 30, 1996
P = $1,000
T = 9.18%
n = .233 years
ERV = 1020.67
<PAGE>
C. RWB/DFA TWO-YEAR GOVERNMENT PORTFOLIO:
TOTAL RETURN: P (1 + T)(n) = ERV
Date of Commencement of Operations through September 30, 1996
P = $1,000
T = 8.31%
n = .233 years
ERV = 1018.78
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
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<NUMBER> 09
<NAME> THE RWB\DFA U.S. HIGH BOOK MARKET PORTFOLIO
<S> <C>
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<ASSETS-OTHER> 30759
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<TABLE> <S> <C>
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<NAME> RWB\DFA TWO-YEAR CORPORATE FIXED INCOME PORTFOLIO
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</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
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<NAME> RWB\DFA TWO-YEAR GOVERNMENT PORTFOLIO
<S> <C>
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</TABLE>
