<PAGE>
================================================================================
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO II
ANNUAL REPORT
Year Ended November 30, 1995
================================================================================
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO II
ANNUAL REPORT
TABLE OF CONTENTS
Page
-------
Dimensional Investment Group Inc.
Performance Chart ......................................... 1
Statement of Assets and Liabilities ....................... 2
Statement of Operations ................................... 3
Statements of Changes in Net Assets ....................... 4
Financial Highlights ...................................... 5
Notes to Financial Statements ............................. 6-7
Report of Independent Accountants ......................... 8
The DFA Investment Trust Company -- The U.S. Large Cap Value
Series
Performance Chart ......................................... 9
Statement of Net Assets ................................... 10-11
Statement of Operations ................................... 12
Statements of Changes in Net Assets ....................... 13
Financial Highlights ...................................... 14
Notes to Financial Statements ............................. 15-16
Report of Independent Accountants ......................... 17
This report is submitted for the information of the Fund's shareholders. It
is not authorized for distribution to prospective investors unless preceded
or accompanied by an effective prospectus.
i
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHART
==============================================================================
U.S. Large Cap Value Portfolio II
vs. Fama-French Large Cap Value Index
September 1994-November 1995
The following reflects the growth of a $10,000 investment.
U.S.
Large Cap Value Fama-French
Portfolio II Index
--------------- -----------
9408 10000 10000
9409 9705 9632
9410 9882.60 9815.00
9411 9434.92 9585.33
9412 9548.13 9614.09
9501 9747.69 9989.04
9502 10286.74 10453.53
9503 10435.9 10493.26
9504 10805.33 10829.04
9505 11354.24 11409.48
9506 11593.82 11597.73
9507 12092.35 11945.67
9508 12441.82 12164.27
9509 12861.11 12655.71
9510 12332.52 12378.55
9511 12997.24 12832.84
Annualized From
Total Return (%) One Year September 1994
- ------------------------------------------------------------------------------
37.76 23.33
* The portfolio seeks to capture return
premiums associated with high book-to-
market ratios by investing in the U.S.
Large Cap Value Series of the DFA
Investment Trust Company which in turn
invests on a market cap-weighted basis
in companies that have market caps of
approximately $500 million or less and
book-to-market ratios in the upper 30%
of publicly traded companies.
* This portfolio's returns in fiscal
1995 reflected the performance of large
U.S. companies with high book-to-market
ratios.
Past performance is not predictive of
future performance.
Fama-French Large Cap Value Index courtesy of the
Fama-French and CRSP, University of Chicago.
- ------------------------------------------------------------------------------
1
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO II
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 1995
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<TABLE>
<CAPTION>
<S> <C>
ASSETS:
Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company
(534,229 Shares, Cost $6,373) at Value ........................................ $ 7,101
Receivable for Investment Securities Sold ...................................... 11
Receivable for Fund Shares Sold ................................................ 17
Prepaid Expenses and Other Assets .............................................. 34
---------
Total Assets ......................................................... 7,163
---------
LIABILITIES: ...................................................................
Payable for Fund Shares Redeemed ............................................... 28
Accrued Expenses ............................................................... 25
---------
Total Liabilities .................................................... 53
--------
Net Assets ..................................................................... $ 7,110
=========
SHARES OUTSTANDING, $.01 PAR VALUE (Authorized 100,000,000) .................... 558,995
=========
Net Asset Value, Offering and Redemption Price Per Share ....................... $ 12.72
=========
NET ASSETS CONSIST OF:
Paid-In Capital ................................................................ $ 6,389
Undistributed Net Investment Income ............................................ 1
Accumulated Net Realized Loss .................................................. (8)
Unrealized Appreciation of Investment Securities ............................... 728
---------
Total Net Assets ..................................................... $ 7,110
=========
</TABLE>
See accompanying Notes to Financial Statements
2
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO II
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1995
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
<S> <C>
Investment Income
Dividends ............................................................ $106
------
Expenses
Administrative Services .............................................. 5
Accounting & Transfer Agent Fees ..................................... 12
Legal Fees ........................................................... 6
Audit Fees ........................................................... 3
Filing Fees .......................................................... 14
Shareholder Services ................................................. 9
Shareholder Reports .................................................. 7
Directors' Fees and Expenses ......................................... 5
Other ................................................................ 12
------
Total Expenses .................................................... 73
Less: Fees Waived and Expenses Reimbursed ............................ (48)
------
Net Expenses ......................................................... 25
------
Net Investment Income ................................................ 81
------
Net Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain on Investment Securities ............................. 85
Change in Unrealized Appreciation (Depreciation) of Investment
Securities ........................................................... 788
------
Net Gain on Investment Securities ...................................... 873
------
Net Increase in Net Assets Resulting from Operations ................... $954
======
</TABLE>
See accompanying Notes to Financial Statements
3
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO II
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
Year August 3
Ended to
Nov. 30, Nov.30,
1995 1994
---------- ----------
<S> <C> <C>
Increase (Decrease) in Net Assets
Operations: ............................................................
Net Investment Income ................................................ $ 81 $ 15
Net Realized Gain (Loss) on Investment Securities .................... 85 (4)
Change in Unrealized Appreciation (Depreciation) of Investment
Securities ........................................................ 788 (60)
---------- ----------
Net Increase (Decrease) in Net Assets Resulting from Operations ... 954 (49)
---------- ----------
Distributions From: ....................................................
Net Investment Income ................................................ (81) (14)
Net Realized Gains ................................................... (89) --
---------- ----------
Total Distributions ............................................... (170) (14)
---------- ----------
Capital Share Transactions (1):
Shares Issued ........................................................ 5,577 1,463
Shares Issued in Lieu of Cash Distributions .......................... 170 14
Shares Redeemed ...................................................... (706) (129)
---------- ----------
Net Increase From Capital Share Transactions ...................... 5,041 1,348
---------- ----------
Total Increase .................................................... 5,825 1,285
Net Assets
Beginning of Period .................................................. 1,285 --
---------- ----------
End of Period ........................................................ $7,110 $1,285
========== ==========
(1) Shares Issued and Redeemed: ........................................
Shares Issued ........................................................ 470 147
Shares Issued in Lieu of Cash Distributions .......................... 14 2
Shares Redeemed ...................................................... (61) (13)
---------- ----------
423 136
========== ==========
</TABLE>
See accompanying Notes to Financial Statements
4
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO II
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
Year August 3
Ended to
Nov. 30, Nov. 30,
1995 1994
---------- -----------
<S> <C> <C>
Net Asset Value, Beginning of Period ..................... $ 9.48 $10.00
---------- -----------
Income from Investment Operations
Net Investment Income .................................. 0.17 0.11
Net Gains (Losses) on Securities (Realized and
Unrealized) ......................................... 3.40 (0.52)
---------- -----------
Total from Investment Operations .................... 3.57 (0.41)
---------- -----------
Less Distributions
Net Investment Income .................................. (0.17) (0.11)
Net Realized Gains ..................................... (0.16) --
---------- -----------
Total Distributions ................................. (0.33) (0.11)
---------- -----------
Net Asset Value, End of Period ........................... $12.72 $ 9.48
========== ===========
Total Return ............................................. 37.76% (4.14)%#
Net Assets, End of Period (thousands) .................... $7,110 $1,285
Ratio of Expenses to Average Net Assets (1) .............. 0.96%(a) 0.96%*(a)
Ratio of Net Investment Income to Average Net Assets ..... 2.37%(a) 5.39%*(a)
Portfolio Turnover Rate .................................. N/A N/A
</TABLE>
- ------
*Annualized
#Non-Annualized
(1) Represents the combined ratio for the Portfolio and its respective
pro-rata share of its Master Fund Series.
(a) Had certain waivers and reimbursements not been in effect, the ratios of
expenses to average net assets for the periods ended November 30, 1995
and 1994 would have been 2.35% and 8.45%, respectively and the ratios of
net investment income to average net assets for the periods ended
November 30, 1995 and 1994 would have been 0.98% and (2.10)%,
respectively.
N/A Refer to the respective Master Fund Series.
See accompanying Notes to Financial Statements
5
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
At November 30, 1995, Dimensional Investment Group Inc. (the "Fund")
consisted of eight portfolios, The DFA 6-10 Institutional Portfolio, U.S.
Small Cap Value Portfolio II, U.S. Large Cap Value Portfolio II, U.S. Large
Cap Value Portfolio III, DFA One-Year Fixed Income Portfolio II, The DFA
International Value Portfolio, DFA International Value Portfolio II and DFA
International Value Portfolio III (the "Portfolios"). The Fund is an open-end
management investment company registered under the Investment Company Act of
1940, whose shares are offered to institutional investors, retirement plans,
and clients of registered investment advisors. The financial statements of
U.S. Large Cap Value Portfolio II (the "Portfolio") are presented herein, the
financial statements for the other Portfolios are presented elsewhere.
The Portfolio invests all of its assets in The U.S. Large Cap Value Series
(the "Series"), a corresponding series of The DFA Investment Trust Company.
At November 30, 1995, the Portfolio owned 2% of the outstanding shares of the
Series. The financial statements of the Series are included elsewhere in this
report and should be read in conjunction with the financial statements of the
Portfolio.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such
policies are consistently followed by the Fund in preparation of its
financial statements.
1. Security Valuation: The shares of the Series held by the Portfolio are
valued at its respective daily Net Asset Value.
2. Federal Income Taxes: It is the Portfolio's intention to continue to
qualify as a regulated investment company and distribute all of its taxable
income. Accordingly, no provision for Federal income tax is required in the
financial statements.
3. Other: Security transactions are accounted for on the date the
securities are purchased or sold. Costs used in determining realized gains
and losses on the sale of investment securities are those of specific
securities sold. Dividend income and distributions to shareholders are
recorded on the ex-dividend date. Expenses directly attributable to the
Portfolio or to the Series are directly charged. Common expenses are
allocated using methods determined by the Board of Directors.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. (the "Advisor") provides administrative
services to the Portfolio, including supervision of services provided by
others, providing information to the shareholders and to the Board of
Directors, and other administrative services. The Advisor provides investment
advisory services to the Series. For the year ended November 30, 1995, the
Portfolio's administrative fees were computed daily and paid monthly to the
Advisor based on an effective annual rate of 0.15 of 1%.
Certain officers of the Portfolio are also officers, directors and
shareholders of the Advisor.
The Advisor has agreed to waive its fees and reimburse the Portfolio to
the extent necessary to keep the annual combined expenses of the Portfolio
and its respective Master Fund to not more than 0.96% of average daily net
assets.
6
<PAGE>
D. INVESTMENTS:
At November 30, 1995, gross unrealized appreciation and depreciation for
financial reporting and federal income tax purposes of investment securities
was as follows (amounts in thousands):
Gross Unrealized Appreciation .............................. $728
Gross Unrealized Depreciation .............................. --
------
Net ....................................................... $728
======
7
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE SHAREHOLDERS AND BOARD OF DIRECTORS OF
DIMENSIONAL INVESTMENT GROUP INC.:
We have audited the accompanying statement of assets and liabilities of
the Dimensional Investment Group Inc., U.S. Large Cap Value Portfolio II, as
of November 30, 1995, and the related statement of operations for the year
then ended and the statements of changes in net assets and the financial
highlights for each of the two years in the period then ended. These
financial statements and financial highlights are the responsibility of the
Fund's management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures
in the financial statements. Our procedures included confirmation of
investments owned as of November 30, 1995, by correspondence with the
custodian. An audit also includes assessing the accounting principles used
and significant estimates made by management, as well as evaluating the
overall financial statement presentation. We believe that our audits provide
a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of
the Dimensional Investment Group Inc., U.S. Large Cap Value Portfolio II , as
of November 30, 1995, and the results of its operations for the year then
ended and the changes in its net assets and its financial highlights for each
of the two years in the period then ended, in conformity with generally
accepted accounting principles.
COOPERS & LYBRAND L.L.P.
2400 Eleven Penn Center
Philadelphia, Pennsylvania
January 19, 1996
8
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHART
==============================================================================
U.S. Large Cap Value Series
vs. Fama-French Large Cap Value Index
March 1993-November 1995
The following reflects the growth of a $10,000 investment.
U.S.
Large Cap Fama-French
Value Series Index
------------- ----------
9302 10000 10000
9303 10298 10302
9304 10268.14 10247.4
9305 10379.03 10333.48
9306 10600.11 10500.88
9307 10750.63 10622.69
9308 11011.87 10979.61
9309 10820.26 10868.72
9310 10951.19 10906.76
9311 10849.34 10742.07
9312 11109.72 11018.14
9401 11428.57 11241.81
9402 10914.29 10748.29
9403 10472.26 10273.22
9404 10636.67 10418.07
9405 10564.34 10290.97
9406 10344.6 10097.5
9407 10802.87 10541.79
9408 11115.07 10821.15
9409 10790.51 10422.93
9410 11000.93 10620.96
9411 10508.09 10372.43
9412 10635.24 10403.55
9501 10879.85 10809.29
9502 11495.64 11311.92
9503 11671.53 11354.91
9504 12098.71 11718.26
9505 12729.05 12346.36
9506 13007.81 12550.08
9507 13577.56 12926.58
9508 13986.24 13163.13
9509 14470.17 13694.93
9510 13875.44 13395.01
9511 14634.43 13886.6
Annualized From
Total Return (%) One Year March 1993
- ------------------------------------------------------------------------------
39.27 14.85
* Dimensional's multifactor portfolios
attempt to capture return premiums
associated with high book-to-market
ratios and capitalization. The U.S.
Large Cap Value Series invests on a
market cap-weighted basis in
companies that have market caps of
approximately $500 million or larger
and book-to-market ratios in the upper
30% of publicly traded companies, and
is invested on a market cap-weighted
basis.
* This portfolio's returns in fiscal
1995 reflected the performance of large
cap high book-to-market U.S. companies.
Past performance is not predictive of
future performance.
Fama-French Large Cap Value Index courtesy of the
Fama-French and CRSP, University of Chicago.
- ------------------------------------------------------------------------------
9
<PAGE>
STATEMENT OF NET ASSETS
THE U.S. LARGE CAP VALUE SERIES
NOVEMBER 30, 1995
Shares Value+
--------- -------------
COMMON STOCKS -- (98.7%)
*#AMR Corp. .................... 54,200 $ 4,153,075
Aetna Life & Casualty Co. .... 80,426 5,901,257
Ahmanson (H.F.) & Co. ........ 137,100 3,667,425
Albemarle Corp. .............. 43,200 793,800
Alexander & Baldwin, Inc. .... 44,000 1,056,000
Alleghany Corp. .............. 3,932 760,842
Allstate Corp. ............... 37,400 1,533,400
*Alumax, Inc. ................. 30,600 1,017,450
Aluminium Co. of America ..... 5,700 333,450
Ambac, Inc. .................. 23,100 1,019,287
*Amdahl Corp. ................. 84,433 802,114
#Amerada Hess Corp. ........... 66,100 3,139,750
American Financial Group, Inc. 36,300 1,089,000
#American General Corp. ....... 114,400 3,875,300
American National Insurance
Co. ........................ 17,900 1,096,375
American President Companies,
Ltd. ....................... 17,800 445,000
Apple Computer, Inc. ......... 79,300 3,028,269
Argonaut Group, Inc. ......... 15,900 524,700
Arvin Industries, Inc. ....... 9,100 160,387
Asarco, Inc. ................. 29,400 1,040,025
Ashland, Inc. ................ 45,100 1,572,863
Avnet, Inc. .................. 9,200 432,400
BHC Communications, Inc.
Class A .................... 4,400 396,550
Ball Corp. ................... 20,500 586,813
Bancorp Hawaii, Inc. ......... 24,700 907,725
Bank of Boston Corp. ......... 51,500 2,388,313
BankAmerica Corp. ............ 259,275 16,496,372
Bankers Trust New York Corp. . 55,700 3,613,537
Bear Stearns Companies, Inc. . 82,995 1,805,141
Berkley (W.R.) Corp. ......... 7,100 318,613
*Bethlehem Steel Corp. ........ 105,400 1,475,600
Block Drug Co., Inc. Class A . 7,764 298,919
Boatmen's Bancshares, Inc. ... 8,200 316,725
*Brunos, Inc. ................. 767 8,054
*Burlington Industries, Inc. .. 69,400 928,225
CIGNA Corp. .................. 51,508 5,665,880
*CNA Financial Corp. .......... 43,700 5,074,662
CSX Corp. .................... 74,700 6,545,587
*California Federal Bank FSB,
Los Angeles Class A ........ 33,800 515,450
*California Federal Bank FSB,
Los Angeles Goodwill
Securities (Representing 10
Shares) .................... 2,580 13,222
Centex Corp. ................. 18,500 608,187
Champion International Corp. . 106,500 5,018,812
Chase Manhattan Corp. ........ 104,600 6,367,525
Chemical Banking Corp. ....... 141,900 8,514,000
Chesapeake Corp. ............. 11,000 324,500
Chiquita Brands International,
Inc. ....................... 23,700 316,987
*Chris-Craft Industries, Inc. . 13,753 565,592
Chrysler Corp. ............... 447,413 23,209,549
Cincinnati Financial Corp. ... 41,315 2,546,037
Citicorp ..................... 132,100 9,346,075
Coca-Cola Enterprises, Inc. .. 92,100 2,670,900
Comdicso, Inc. ............... 19,800 670,725
Comerica, Inc. ............... 50,200 1,876,225
10
<PAGE>
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -------------
Commerce Bancshares, Inc. .... 11,225 $ 418,814
Comsat Corp. Series 1 ........ 32,800 635,500
Conrail, Inc. ................ 56,300 3,933,962
Coors (Adolph) Co. Class B ... 24,500 499,187
Countrywide Credit Industries,
Inc. ....................... 45,700 1,005,400
*Crown Vantage, Inc. .......... 4,820 82,543
#Cummins Engine Co., Inc. ..... 28,100 1,102,925
Cyprus Amax Minerals Co., Inc. 66,000 1,815,000
Diamond Shamrock, Inc. ....... 19,100 479,887
Dillard Department Stores,
Inc. Class A ............... 77,400 2,234,925
Dole Food, Inc. .............. 40,900 1,538,862
Enserch Corp. ................ 47,000 728,500
Equitable Companies, Inc. .... 47,500 1,181,562
Federal Paper Board Co., Inc. 31,500 1,638,000
*#Federated Department Stores,
Inc. ....................... 141,100 4,109,537
Fina, Inc. Class A ........... 19,200 936,000
Finova Group, Inc. ........... 17,900 868,150
First Chicago Corp. .......... 59,300 4,121,350
First Colony Corp. ........... 33,900 881,400
First Hawaiian, Inc. ......... 17,800 516,200
First Union Corp. ............ 75,000 4,096,875
First of America Bank Corp. .. 25,800 1,157,775
Fleming Companies, Inc. ...... 24,697 571,117
Florida East Coast Industries,
Inc. ....................... 4,600 311,075
Ford Motor Co. ............... 769,200 21,729,900
*Fund American Enterprises
Holdings, Inc. ............. 3,400 236,300
GATX Corp. ................... 20,700 1,009,125
General Motors Corp. ......... 535,200 25,957,200
General Motors Corp. Class H . 67,746 3,217,935
Golden West Financial Corp. .. 38,700 1,978,537
Goodrich (B.F.) Co. .......... 14,400 1,009,800
Goodyear Tire & Rubber Co. ... 60,000 2,542,500
Great Atlantic & Pacific Tea
Co., Inc. .................. 25,100 549,062
Great Western Financial Corp.. 83,400 2,126,700
Helmerich & Payne, Inc. ...... 16,200 441,450
IMC Global, Inc. ............. 14,200 1,098,725
Inland Steel Industries, Inc. 32,500 849,062
International Paper Co. ...... 182,300 6,950,187
International Speciality
Products, Inc. ............. 69,800 698,000
#James River Corp. of Virginia 100,300 3,159,450
Jefferson-Pilot Corp. ........ 2,800 198,800
#K Mart Corp. ................. 566,500 4,390,375
*Kaiser Aluminum Corp. ........ 28,100 407,450
Kerr-McGee Corp. ............. 15,000 868,125
Lafarge Corp. ................ 41,400 802,125
#Lehman Brothers Holdings, Inc. 79,300 1,794,162
Liberty Corp. ................ 16,500 546,562
Lincoln National Corp. ....... 73,750 3,447,812
Loews Corp. .................. 40,600 6,232,100
Longs Drug Stores Corp. ...... 13,000 516,750
#Louisiana-Pacific Corp. ...... 76,600 2,068,200
MBIA, Inc. ................... 28,900 2,225,300
MCI Communications Corp. ..... 368,500 9,834,344
11
<PAGE>
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -------------
*#Magma Copper Co. ............. 32,000 $ 680,000
Mellon Bank Corp. ............ 55,600 2,974,600
Mercantile Stores Co., Inc. .. 24,112 1,121,207
Merrill Lynch & Co., Inc. .... 63,300 3,521,063
Midamerican Energy Co.. ...... 31,316 520,629
Midlantic Corp. .............. 22,500 1,351,406
Mitchell Energy & Development
Corp. Class A .............. 15,200 271,700
Mitchell Energy & Development
Corp. Class B .............. 18,900 333,113
Morgan (J.P.) & Co., Inc. .... 94,300 7,402,550
Murphy Oil Corp. ............. 31,100 1,224,563
NationsBank Corp. ............ 148,700 10,613,463
*Nextel Communications Corp.
Class A .................... 69,800 1,068,813
Norfolk Southern Corp. ....... 93,800 7,386,750
Nynex Corp. .................. 3,100 153,838
#Occidental Petroleum Corp. ... 227,900 5,042,288
Ogden Corp. .................. 33,596 713,915
Ohio Casualty Corp. .......... 19,700 738,750
Old Republic International
Corp. ...................... 35,500 1,220,313
*Oryx Energy Co. .............. 49,500 649,688
Overseas Shipholding Group,
Inc. ....................... 23,900 478,000
PHH Corp. .................... 11,000 503,250
#PNC Bank Corp. ............... 134,600 3,937,050
Paine Webber Group, Inc. ..... 65,200 1,458,850
Pennzoil Co. ................. 31,700 1,256,113
*Petrie Stores Corp. .......... 21,500 61,813
Potlatch Corp. ............... 19,200 775,200
Providian Corp. .............. 65,800 2,640,225
Pulte Corp. .................. 17,600 541,200
RJR Nabisco Holdings Corp. ... 195,080 5,681,705
Republic New York Corp. ...... 25,400 1,600,200
Reynolds Metals Co. .......... 43,600 2,517,900
*Rowan Companies, Inc. ........ 25,000 187,500
#Ryder System, Inc. ........... 56,000 1,337,000
Safeco Corp. ................. 41,200 2,932,925
Saint Paul Companies, Inc. ... 43,100 2,413,600
Salomon, Inc. ................ 75,600 2,749,950
Shawmut National Corp. ....... 49,100 1,841,250
Smiths Food & Drug Centers,
Inc. Class B ............... 8,000 193,000
Southern New England
Telecommunications Corp. ... 42,800 1,551,500
Springs Industries, Inc.
Class A .................... 13,300 558,600
Standard Federal
Bancorporation, Inc. ........ 15,100 579,463
*Storage Technology Corp. ..... 36,300 898,425
#Sun Company, Inc. ............ 64,080 1,778,220
TIG Holdings, Inc. ........... 44,100 1,190,700
Tecumseh Products Co. Class A 11,000 578,875
Textron, Inc. ................ 37,500 2,873,438
Times Mirror Co. Class A ..... 74,600 2,424,500
Timken Co. ................... 36,400 1,469,650
*Toys 'R' Us, Inc. ............ 2,150 49,988
Transamerica Corp. ........... 47,000 3,601,375
*Transport Holdings, Inc.
Class A .................... 363 13,976
12
<PAGE>
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -------------
Tyson Foods, Inc. Class A .... 48,400 $ 1,152,525
UMB Financial Corp. .......... 11,300 494,375
UNUM Corp. ................... 31,000 1,677,875
*USAir Group, Inc. ............ 12,300 164,513
USF&G Corp. .................. 22,000 379,500
USLIFE Corp. ................. 23,500 678,563
USX-Marathon Group, Inc. ..... 205,850 3,782,494
USX-US Steel Group ........... 95,300 3,109,163
Union Bank San Francisco, CA . 19,800 1,014,750
Union Camp Corp. ............. 41,200 2,023,950
Union Pacific Corp. .......... 104,800 7,100,200
*Unisys Corp. ................. 119,800 778,700
Unitrin, Inc. ................ 29,900 1,401,563
Valero Energy Corp. .......... 30,000 776,250
*Vons Companies, Inc. ......... 25,600 678,400
Washington Mutual, Inc. ...... 47,000 1,324,813
Wesco Financial Corp. ........ 4,000 656,000
Westinghouse Electric Corp. .. 4,100 69,188
Westvaco Corp. ............... 71,950 1,969,631
#Woolworth Corp. .............. 128,700 1,930,500
Yellow Corp. ................. 11,500 137,281
-------------
TOTAL COMMON STOCKS (Cost
$352,885,601) ............... 417,547,579
-------------
Face
Amount
---------
(000)
TEMPORARY CASH INVESTMENTS -- (3.1%)
Repurchase Agreement, PNC
Securities Corp. 5.65%, 12/01/95
(Collateralized by U.S.
Treasury Notes 6.125%,
05/31/97) (Cost $13,115,000)...... $13,115 13,115,000
--------------
TOTAL INVESTMENTS -- (101.8%) (Cost
$366,000,601) ..................... 430,662,579
--------------
OTHER ASSETS AND LIABILITIES --
(-1.8%)
Other Assets ...................... 1,447,444
Liabilities ....................... (9,082,706)
--------------
(7,635,262)
--------------
NET ASSETS -- (100.0%) Applicable to
31,825,344 Outstanding $.01 Par
Value Shares (Unlimited Number of
Shares Authorized) ................ $423,027,317
==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE ........ $ 13.29
==============
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
See accompanying Notes to Financial Statements
13
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1995
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
<S> <C>
Investment Income
Dividends ............................................................. $ 8,912
Interest .............................................................. 427
Income From Securities Lending. ....................................... 2
--------
Total Investment Income .............................................. 9,341
--------
Expenses
Investment Advisory Services .......................................... 306
Accounting & Transfer Agent Fees ...................................... 240
Custodian's Fee ....................................................... 57
Legal Fees ............................................................ 11
Audit Fees ............................................................ 11
Shareholders' Reports ................................................. 10
Trustees' Fees and Expenses ........................................... 4
Other ................................................................. 14
--------
Total Expenses ....................................................... 653
--------
Net Investment Income ................................................. 8,688
--------
Net Realized and Unrealized Gain (Loss) on Investments ..................
Net Realized Gain on Investment Securities .............................. 21,645
Change in Unrealized Appreciation (Depreciation) of Investment Securities 68,474
--------
Net Gain on Investment Securities ....................................... 90,119
--------
Net Increase in Net Assets Resulting from Operations .................... $98,807
========
</TABLE>
See accompanying Notes to Financial Statements
14
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
Year Year
Ended Ended
Nov. 30, Nov. 30,
1995 1994
----------- ----------
<S> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ................................................. $ 8,688 $ 5,301
Net Realized Gain (Loss) on Investment Securities ..................... 21,645 (5,273)
Change in Unrealized Appreciation (Depreciation) of Investment
Securities ......................................................... 68,474 (5,746)
----------- ----------
Net Increase (Decrease) in Net Assets Resulting from Operations .... 98,807 (5,718)
----------- ----------
Distributions From:
Net Investment Income ................................................. (8,440) (5,305)
Net Realized Gains .................................................... (5,278) --
----------- ----------
Total Distributions .................................................. (13,718) (5,305)
----------- ----------
Capital Share Transactions (1):
Shares Issued ......................................................... 209,434 124,500
Shares Issued in Lieu of Cash Distributions ........................... 11,274 4,545
Shares Redeemed ....................................................... (81,618) (9,445)
----------- ----------
Net Increase From Capital Share Transactions ....................... 139,090 119,600
----------- ----------
Total Increase ..................................................... 224,179 108,577
Net Assets ..............................................................
Beginning of Period ................................................... 198,848 90,271
----------- ----------
End of Period ......................................................... $423,027 $198,848
=========== ==========
(1) Shares Issued and Redeemed:
Shares Issued ........................................................... 18,580 11,986
Shares Issued in Lieu of Cash Distributions ............................. 1,049 446
Shares Redeemed ......................................................... (7,857) (900)
----------- ----------
11,772 11,532
=========== ==========
</TABLE>
See accompanying Notes to Financial Statements
15
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
Year Year Feb. 19
Ended Ended to
Nov. 30, Nov. 30, Nov. 30,
1995 1994 1993
---------- ---------- ----------
<S> <C> <C> <C>
Net Asset Value, Beginning of Period ...................... $ 9.92 $ 10.59 $ 10.00
---------- ---------- ----------
Income from Investment Operations
- ---------------------------------
Net Investment Income .................................... 0.32 0.33 0.20
Net Gains (Losses) on Securities (Realized and Unrealized) 3.53 (0.65) 0.58
---------- ---------- ----------
Total from Investment Operations ........................ 3.85 (0.32) 0.78
---------- ---------- ----------
Less Distributions
- -------------------
Net Investment Income .................................... (0.31) (0.35) (0.18)
Net Realized Gains ....................................... (0.17) -- (0.01)
---------- ---------- ----------
Total Distributions ..................................... (0.48) (0.35) (0.19)
---------- ---------- ----------
Net Asset Value, End of Period ............................ $ 13.29 $ 9.92 $ 10.59
========== ========== ==========
Total Return .............................................. 39.26% (3.13)% 7.79%#
Net Assets, End of Period (thousands) ..................... $423,027 $198,848 $90,271
Ratio of Expenses to Average Net Assets ................... 0.21% 0.22% 0.23%*
Ratio of Net Investment Income to Average .................
Net Assets ................................................ 2.84% 3.72% 3.75%*
Portfolio Turnover Rate ................................... 29.41% 39.33% 0.75%*
</TABLE>
- ------------
*Annualized
#Non-Annualized
See accompanying Notes to Financial Statements
16
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. At
November 30, 1995, The Trust consisted of seven investment portfolios: The
U.S. 6-10 Small Company Series, The U.S. Large Company Series, The U.S. Small
Cap Value Series, The U.S. Large Cap Value Series, The DFA One-Year Fixed
Income Series, The DFA International Value Series and The Emerging Markets
Series. These financial statements relate solely to The U.S. Large Cap Value
Series (the "Series").
The U.S. Large Cap Value Portfolio II invests solely in the Series. The
Series also issues its shares to other investors.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such
policies are consistently followed by the Trust in preparation of its
financial statements.
1. Security Valuation: Securities held by the Series which are listed on a
securities exchange and for which market quotations are readily available are
valued at the last quoted sale price of the day, or if there is no such
reported sale, at the mean between the most recent bid and asked prices.
Price information on listed securities is taken from the exchange where the
security is primarily traded.
Unlisted securities for which market quotations are readily available are
valued at the mean between the most recent bid and asked prices. The value of
securities for which no quotations are readily available are determined in
good faith at fair value using methods determined by the Board of Directors.
2. Federal Income Taxes: It is the Series intention to continue to qualify
as a regulated investment company and distribute all of its taxable income.
Accordingly, no provision for Federal taxes is required in the financial
statements.
3. Repurchase Agreements: The Series may purchase money market instruments
subject to the seller's agreement to repurchase them at an agreed upon date
and price. The seller will be required on a daily basis to maintain the value
of the collateral subject to the agreement at not less than the repurchase
price (including accrued interest). The agreements are conditioned upon the
collateral being deposited under the Federal Reserve book-entry system or
with the Fund's custodian or a third party sub-custodian. All repurchase
agreements were entered into on November 30, 1995.
4. Other: Security transactions are accounted for on the date the
securities are purchased or sold. Costs used in determining realized gains
and losses on the sale of investment securities are those of specific
securities sold. Dividend income and distributions to shareholders are
recorded on the ex-dividend date. Interest income is recorded on the accrual
basis. Discount and premium on securities purchased are amortized over the
lives of the respective securities. Expenses directly attribute to a Series
are directly charged. Common expenses are allocated using methods determined
by the Board of Directors.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. (the "Advisor") provides investment
advisory services to the Series. For the year ended November 30, 1995, the
Series' advisory fees were computed daily and paid monthly to the Advisor
based on an effective annual rate of 0.10 of 1%.
Certain officers of the Series are also officers, directors and
shareholders of the Advisor.
17
<PAGE>
D. PURCHASES AND SALES OF SECURITIES:
For the year ended November 30, 1995, the Series made the following
purchases and sales of investment securities (amounts in thousands):
Purchases ............................................. $216,695
Sales ................................................. 88,364
E. INVESTMENT TRANSACTIONS:
At November 30, 1995, gross unrealized appreciation and depreciation for
financial reporting and federal income tax purposes of investment securities
was as follows (amounts in thousands):
Gross Unrealized Appreciation $70,723
Gross Unrealized Depreciation (6,061)
----------
Net ................................................... $64,662
==========
F. COMPONENTS OF NET ASSETS:
At November 30, 1995, net assets consisted of (amounts in thousands):
Paid-In Capital ....................................... $346,905
Undistributed Net Investment Income ................... 395
Undistributed Net Realized Gain ....................... 11,065
Unrealized Appreciation of Investment Securities ....... 64,662
----------
$423,027
==========
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. The market value of securities on loan to brokers from
the Series is $24,044,039 and the related collateral cash indemnification
received is $24,601,220 at November 30, 1995.
18
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF
THE DFA INVESTMENT TRUST COMPANY:
We have audited the accompanying statement of net assets of The DFA
Investment Trust Company, The U.S. Large Cap Value Series as of November 30,
1995, and the related statement of operations for the year then ended and the
statements of changes in net assets for each of the two years in the period
then ended, and the financial highlights for each of the periods presented.
These financial statements and financial highlights are the responsibility of
the Fund's management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures
in the financial statements. Our procedures included confirmation of
investments owned as of November 30, 1995, by correspondence with the
custodian and brokers. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of
The DFA Investment Trust Company, The U.S. Large Cap Value Series, as of
November 30, 1995, and the results of its operations for the year then ended
and the changes in its net assets for each of the two years in the period
then ended, and its financial highlights for each of the periods presented,
in conformity with generally accepted accounting principles.
COOPERS & LYBRAND L.L.P.
2400 Eleven Penn Center
Philadelphia, Pennsylvania
January 19, 1996
19
