<PAGE>
- --------------------------------------------------------------------------------
Dimensional Investment Group Inc.
DFA One-Year Fixed Income Portfolio II
Semi-Annual
Report
Six Months Ended May 31, 1997
(Unaudited)
-------------------------------------
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
DFA ONE-YEAR FIXED INCOME PORTFOLIO II
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
---------
<S> <C>
DIMENSIONAL INVESTMENT GROUP INC.
Statement of Assets and Liabilities.............................................................................. 1
Statement of Operations.......................................................................................... 2
Statements of Changes in Net Assets.............................................................................. 3
Financial Highlights............................................................................................. 4
Notes to Financial Statements.................................................................................... 5-6
THE DFA INVESTMENT TRUST COMPANY -- THE DFA ONE-YEAR FIXED INCOME SERIES
Statement of Net Assets.......................................................................................... 7
Statement of Operations.......................................................................................... 9
Statements of Changes in Net Assets.............................................................................. 10
Financial Highlights............................................................................................. 11
Notes to Financial Statements.................................................................................... 12-13
</TABLE>
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
DFA ONE-YEAR FIXED INCOME PORTFOLIO II
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 1997
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<TABLE>
<S> <C>
ASSETS:
Investment in The DFA One-Year Fixed Income Series of The DFA Investment Trust
Company (772,797 Shares Cost $7,704) at Value...................................... $ 7,732
Receivable for Fund Shares Sold...................................................... 11
Receivable for Investment Securities Sold............................................ 56
Prepaid Expenses and Other Assets.................................................... 34
---------
Total Assets................................................................... 7,833
---------
LIABILITIES:
Payable for Fund Shares Redeemed..................................................... 67
Accrued Expenses..................................................................... 18
---------
Total Liabilities.............................................................. 85
---------
NET ASSETS............................................................................. $ 7,748
---------
---------
SHARES OUTSTANDING, $.01 PAR VALUE (Authorized 100,000,000)............................ 763,710
---------
---------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............................... $ 10.15
---------
---------
NET ASSETS CONSIST OF:
Paid-In Capital.................................................................... $ 7,730
Accumulated Net Investment Loss.................................................... (6)
Accumulated Net Realized Loss...................................................... (4)
Unrealized Appreciation of Investment Securities................................... 28
---------
Total Net Assets............................................................... $ 7,748
---------
---------
</TABLE>
See accompanying Notes to Financial Statements
1
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
DFA ONE-YEAR FIXED INCOME PORTFOLIO II
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1997
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<S> <C>
INVESTMENT INCOME
Income Distributions Received.......................................................... $ 174
---------
EXPENSES
Administrative Services................................................................ 3
Accounting & Transfer Agent Fees....................................................... 10
Shareholder Services................................................................... 8
Legal Fees............................................................................. 3
Audit Fees............................................................................. 6
Filing Fees............................................................................ 5
Shareholders' Reports.................................................................. 2
Directors' Fees and Expenses........................................................... 1
Organization Costs..................................................................... 3
Other.................................................................................. 1
---------
Total Expenses..................................................................... 42
Less: Fees Waived and Expenses Reimbursed.............................................. (21)
---------
Net Expenses........................................................................... 21
---------
NET INVESTMENT INCOME.................................................................. 153
---------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Loss on Investment Securities................................................. (2)
Change in Unrealized Appreciation (Depreciation) of Investment Securities.................. (3)
---------
NET LOSS ON INVESTMENT SECURITIES...................................................... (5)
---------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS....................................... $ 148
---------
---------
</TABLE>
See accompanying Notes to Financial Statements
2
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
DFA ONE-YEAR FIXED INCOME PORTFOLIO II
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
SIX MONTHS YEAR ENDED
ENDED MAY NOV. 30,
31, 1997 1996
----------- -----------
(UNAUDITED)
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income................................................ $ 153 $ 126
Net Realized Loss on Investment Securities........................... (2) (2)
Change in Unrealized Appreciation (Depreciation) of Investment
Securities......................................................... (3) 28
----------- -----------
Net Increase in Net Assets Resulting from Operations............. 148 152
----------- -----------
Distributions From:
Net Investment Income................................................ (160) (125)
----------- -----------
Capital Share Transactions (1):
Shares Issued........................................................ 4,163 5,040
Shares Issued in Lieu of Cash Distributions.......................... 160 125
Shares Redeemed...................................................... (1,295) (1,029)
----------- -----------
Net Increase From Capital Share Transactions..................... 3,028 4,136
----------- -----------
Total Increase................................................... 3,016 4,163
NET ASSETS
Beginning of Period.................................................. 4,732 569
----------- -----------
End of Period........................................................ $ 7,748 $ 4,732
----------- -----------
----------- -----------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................................................ 410 500
Shares Issued in Lieu of Cash Distributions.......................... 16 12
Shares Redeemed...................................................... (127) (103)
----------- -----------
299 409
----------- -----------
----------- -----------
</TABLE>
See accompanying Notes to Financial Statements
3
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
DFA ONE-YEAR FIXED INCOME PORTFOLIO II
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
YEAR FEB. 9
SIX MONTHS ENDED TO NOV.
ENDED MAY NOV. 30, 30,
31, 1997 1996 1995
----------- -------- -------
(UNAUDITED)
<S> <C> <C> <C>
Net Asset Value, Beginning of
Period........................... $10.18 $ 10.16 $ 10.00
----------- -------- -------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income............ 0.26 0.46 0.24
Net Gains (Losses) on Securities
(Realized and Unrealized)...... (0.02) 0.02 0.16
----------- -------- -------
Total from Investment
Operations..................... 0.24 0.48 0.40
----------- -------- -------
LESS DISTRIBUTIONS
Net Investment Income............ (0.27) ( 0.46) (0.24)
----------- -------- -------
Net Asset Value, End of Period..... $10.15 $ 10.18 $ 10.16
----------- -------- -------
----------- -------- -------
Total Return....................... 2.37%# 4.86% 4.09%#
Net Assets, End of Period
(thousands)...................... $7,748 $ 4,732 $ 569
Ratio of Expenses to Average Net
Assets (1)....................... 0.75%*(a) 0.75%(a) 2.50%*(a)
Ratio of Net Investment Income to
Average Net Assets............... 4.86%*(a) 4.66%(a) 2.80%*(a)
Portfolio Turnover Rate............ N/A N/A N/A
</TABLE>
- --------------
(Adjusted to reflect a 900% stock dividend as of January 2, 1996.)
* Annualized
# Non-Annualized
(1) Represents the combined ratio for the Portfolio and its respective pro-rata
share of its Master Fund Series.
(a) Had certain waivers and reimbursements not been in effect, the ratios of
expenses to average net assets for the periods ended May 31, 1997 and
November 30, 1996 and 1995 would have been 1.41%, 2.80% and 17.81%,
respectively and the ratios of net investment income to average net assets
for the periods ended May 31, 1997 and November 30, 1996 and 1995 would
have been 4.20%, 2.61% and (12.60%), respectively.
N/A Refer to the respective Master Fund Series.
See accompanying Notes to Financial Statements
4
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (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 Fund currently offers eleven portfolios, of
which DFA One-Year Fixed Income Portfolio II (the "Portfolio") is presented in
this report.
The Portfolio invests all of its assets in The DFA One-Year Fixed Income
Series (the "Series"), a corresponding series of The DFA Investment Trust
Company. At May 31, 1997, The Portfolio owned 1% of the outstanding shares of
the Series. The financial statements of the Series are included elsewhere in
this report and should be read in conjunction with the financial statements of
the Portfolio.
On December 20, 1995, the Board of Directors of the Fund approved a 900%
stock dividend under Maryland Corporate Law which is treated as a 10 for 1 stock
split for financial reporting purposes for the Portfolio. The record date of the
stock dividend was January 1, 1996, and the ex-date and payable date were
January 2, 1996. This was a tax-free event to the shareholders of the Portfolio.
All share and per share data as of and for the period ended November 30, 1995
has been restated to reflect the stock dividend.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such policies
are consistently followed by the Fund in preparation of its financial
statements. 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 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 six months ended May 31, 1997, the Portfolio's
administrative fees were computed daily and paid monthly to the Advisor based on
an effective annual rate of 0.10 of 1%.
Effective December 1, 1995, the Advisor has agreed to waive its fees and
reimburse the Portfolio to the extent necessary to keep the annual combined
expenses of the Portfolio and its respective Master Fund to not more than 0.75%
of average daily net assets. Prior to that date the Advisor agreed to waive its
fees and reimburse the Portfolio to the extent necessary to keep the annual
combined expenses to not more than 2.50% of average daily net assets.
5
<PAGE>
In addition, pursuant to an agreement with certain Shareholder Service
Agents, the Portfolio pays to such agents a fee at the effective annual rate of
0.25% of its average daily net assets.
D. INVESTMENTS:
At May 31, 1997, gross unrealized appreciation and depreciation for
financial reporting and federal income tax purposes of investment securities was
as follows:
<TABLE>
<S> <C>
Gross Unrealized Appreciation............................... $ 28
Gross Unrealized Depreciation............................... --
---
Net......................................................... $ 28
---
---
</TABLE>
At November 30, 1996, the Portfolio had a capital loss carryover for federal
income tax purposes of approximately $1,500 which expires on November 30, 2004.
E. LINE OF CREDIT
In July, 1996, the Fund, together with other DFA-advised portfolios, entered
into a $50 million unsecured line of credit with its domestic custodian bank.
Each portfolio is permitted to borrow, subject to its investment limitations, up
to a maximum of $50 million. Borrowings under the line are charged interest at
the current overnight federal funds rate plus a variable rate determined at the
date of borrowing. Each portfolio is individually, and not jointly liable for
its particular advances under the line. There is no commitment fee on the unused
portion of the line of credit. There were no borrowings under the line of credit
by the Portfolio during the six months ended May 31, 1997.
6
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE DFA ONE-YEAR FIXED INCOME SERIES
STATEMENT OF NET ASSETS
MAY 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
BONDS -- (51.4%)
Albertson's, Inc. Medium Term Notes
5.650%, 03/26/98................................... $ 4,530 $ 4,524,926
Anheuser-Busch Companies, Inc. Corporate Bonds
7.600%, 03/01/99................................... 1,000 1,020,000
Associates Corp. of North America Corporate Bonds
7.250%, 05/15/98................................... 1,000 1,011,020
8.800%, 08/01/98................................... 2,000 2,058,540
Associates Corp. of North America Medium Term Notes
6.500%, 09/09/98................................... 16,650 16,737,744
6.250%, 03/15/99................................... 3,100 3,092,250
Bayerische Landesbank U.S. Finance, Inc. Medium Term
Notes
6.400%, 05/05/99................................... 22,000 22,000,000
Canada (Government of) Bonds
6.400%, 09/10/98................................... 22,540 22,652,700
Chevron Canada Financial, Ltd. Medium Term Notes
5.600%, 04/01/98................................... 23,100 23,013,375
Chubb Capital Corp. Medium Term Notes
6.000%, 02/01/98................................... 5,000 5,007,499
Colgate-Palmolive Co. Medium Term Notes
6.550%, 02/16/98................................... 10,000 10,049,599
6.630%, 02/16/98................................... 1,540 1,548,470
6.710%, 02/16/98................................... 10,000 10,060,399
DuPont (E.I.) de Nemours & Co. Corporate Bonds
8.650%, 12/01/97................................... 1,050 1,064,836
FCC National Bank Medium Term Notes
6.000%, 04/02/98................................... 23,000 23,015,868
6.144%, 10/30/98................................... 2,000 2,001,020
Ford Motor Credit Co. Corporate Bonds
6.250%, 02/26/98................................... 7,000 7,025,270
7.250%, 05/15/99................................... 5,800 5,887,000
GTE North, Inc. Corporate Bonds Series B
5.500%, 02/15/99................................... 1,000 986,250
General Electric Capital Corp. Medium Term Notes
8.700%, 02/09/98................................... 4,000 4,079,480
7.050%, 03/27/98................................... 4,750 4,798,212
7.020%, 04/13/98................................... 3,000 3,030,150
6.844%, 04/23/98................................... 10,725 10,820,344
IBM Credit Corp. Medium Term Notes
6.570%, 04/07/99................................... 23,000 23,086,250
Illinois Tool Works, Inc. Corporate Bonds
7.500%, 12/01/98................................... 5,000 5,098,999
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
KFW International Finance, Inc. Medium Term Notes
8.250%, 03/18/98................................... $ 8,650 $ 8,812,187
Morgan (J.P.) & Co., Inc. Corporate Bonds
6.362%, 08/05/98................................... 19,000 19,074,478
Morgan Guaranty Trust Corporate Bonds
6.000%, 10/01/98................................... 6,000 5,994,059
National Elf Aquitaine, Inc. Corporate Bonds
7.750%, 05/01/99................................... 8,550 8,742,375
National Rural Utilities Cooperative Finance Corp.
Medium Term Notes
8.500%, 02/15/98................................... 9,850 10,022,375
NationsBank N.C. Corporate Bonds
6.100%, 01/19/99................................... 24,000 23,880,000
Norwest Corp. Medium Term Notes
5.750%, 03/15/98................................... 2,000 1,996,680
6.000%, 10/13/98................................... 2,000 2,002,900
5.750%, 11/16/98................................... 7,600 7,555,008
Norwest Financial, Inc. Medium Term Notes
6.230%, 09/01/98................................... 3,285 3,297,450
6.250%, 03/15/99................................... 2,000 1,997,500
Ontario Hydro Medium Term Notes
5.800%, 03/31/98................................... 17,850 17,850,000
Paccar Financial Corp. Medium Term Notes
7.350%, 02/02/98................................... 5,210 5,267,414
5.280%, 03/20/98................................... 5,000 4,986,500
Pepsico, Inc. Medium Term Notes
6.125%, 01/15/98................................... 2,000 2,002,740
5.463%, 07/01/98................................... 4,851 4,823,494
Pitney Bowes Credit Corp. Medium Term Notes
6.305%, 09/23/98................................... 24,230 24,324,495
Rockwell International Corp. Corporate Bonds
7.625%, 02/17/98................................... 2,850 2,882,176
Sara Lee Corp. Medium Term Notes
5.500%, 12/01/98................................... 1,250 1,237,175
UBS Finance, Inc. Medium Term Notes
6.200%, 10/01/98................................... 3,000 3,003,750
Upjohn Co. Medium Term Notes
5.920%, 02/17/98................................... 5,000 4,999,800
Wachovia Bank Medium Term Notes
5.375%, 04/15/98................................... 3,350 3,332,345
5.600%, 03/08/99................................... 11,000 10,848,750
------------
TOTAL BONDS
(Cost $391,788,922).................................. 392,603,852
------------
COMMERCIAL PAPER -- (23.3%)
AI Credit Corp. C.P.
5.570%, 07/21/97................................... 2,700 2,678,238
</TABLE>
7
<PAGE>
THE DFA ONE-YEAR FIXED INCOME SERIES
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
Barclays U.S. Funding Corp. C.P.
5.600%, 08/04/97................................... $ 7,000 $ 6,928,133
Barton Capital Corp. C.P.
5.450%, 06/05/97................................... 3,005 3,002,220
5.550%, 06/19/97................................... 3,500 3,489,189
5.640%, 07/01/97................................... 7,000 8,955,519
5.630%, 08/01/97................................... 7,000 6,931,522
Beta Finance, Inc. C.P.
5.640%, 08/08/97................................... 9,500 9,396,555
Caisse des Depots et Consignments C.P.
5.380%, 06/12/97................................... 21,000 20,957,912
Corporate Asset Funding Corp. C.P.
5.550%, 06/06/97................................... 19,000 18,979,495
5.600%, 07/03/97................................... 2,000 1,989,498
5.610%, 07/11/97................................... 1,000 993,502
Delaware Funding Corp. C.P.
5.600%, 06/09/97................................... 6,000 5,990,750
5.590%, 06/30/97................................... 1,800 1,791,382
5.630%, 07/08/97................................... 4,000 3,975,863
Enterprise Funding Corp. C.P.
5.620%, 07/28/97................................... 10,500 10,404,665
5.640%, 08/01/97................................... 4,000 3,961,220
5.620%, 08/12/97................................... 2,500 2,471,479
Export Development Corp. C.P.
5.580%, 06/16/97................................... 2,270 2,264,040
General Electric Capital Corp. C.P.
5.590%, 07/15/97................................... 8,000 7,942,960
Glaxo Wellcome P.L.C. C.P.
5.590%, 07/22/97................................... 2,000 1,983,482
National Rural Utilities Cooperative Finance Corp. C.P.
5.560%, 06/20/97................................... 1,000 996,757
Novartis Finance Corp. C.P.
5.490%, 06/04/97................................... 1,130 1,129,109
Sheffield Receivables Corp. C.P.
5.600%, 07/15/97................................... 1,000 992,870
Sigma Finance Corp. C.P.
5.600%, 06/16/97................................... 6,000 5,984,246
5.610%, 06/23/97................................... 2,500 2,490,733
5.610%, 06/27/97................................... 5,000 4,978,377
5.660%, 07/28/97................................... 1,000 990,839
5.640%, 08/04/97................................... 0 4,948,667
5.650%, 08/04/97................................... 3,000 2,969,200
St. Michael Finance Ltd. C.P.
5.570%, 06/11/97................................... 8,229 8,213,776
5.570%, 06/16/97................................... 9,700 9,674,532
Teco Finance, Inc. C.P.
5.620%, 07/10/97................................... 5,000 4,968,111
5.630%, 08/04/97................................... 2,000 1,979,357
Triple-A-One Plus Funding Corp. C.P.
5.530%, 06/16/97................................... 1,932 1,926,927
USAA Capital Corp. C.P.
5.540%, 06/20/97................................... 300 299,027
------------
TOTAL COMMERCIAL PAPER (Cost $177,680,614)............. 177,630,152
------------
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
AGENCY OBLIGATIONS -- (17.9%)
Federal Agriculture Mortgage Corp.
7.200%, 10/15/98................................... $ 2,850 $ 2,890,299
Federal Home Loan Bank
5.715%, 03/20/98................................... 10,000 9,982,400
6.060%, 10/02/98................................... 25,000 24,997,247
5.100%, 01/26/99................................... 3,200 3,147,264
5.947%, 02/26/99................................... 20,000 19,951,200
Federal National Mortgage Association
6.410%, 07/17/98................................... 13,000 13,055,899
5.940%, 08/14/98................................... 25,000 24,957,247
5.700%, 12/18/98................................... 8,100 8,051,399
Student Loan Marketing Association
7.000%, 03/03/98................................... 9,400 9,475,199
6.250%, 06/30/98................................... 20,000 20,050,198
------------
TOTAL AGENCY OBLIGATIONS (Cost $136,573,919)........... 136,558,352
------------
U.S. TREASURY OBLIGATIONS -- (4.5%)
U.S. Treasury Notes
5.750%, 12/31/98................................... 17,000 16,918,059
6.375%, 04/30/99................................... 17,700 17,753,629
------------
TOTAL U.S. TREASURY OBLIGATIONS (Cost $34,652,826)..... 34,671,688
------------
VARIABLE RATE OBLIGATIONS -- (1.8%)
American Express Centurion Bank
5.718%, 06/05/97 (Cost $14,000,000)................ 14,000 14,000,000
------------
TEMPORARY CASH INVESTMENTS -- (0.0%)
Repurchase Agreement, PNC Capital Markets Inc. 5.25%,
06/02/97 (Collateralized by U.S. Treasury Notes
6.00%, 08/15/99) (Cost $183,000).................... 183 183,000
------------
TOTAL INVESTMENTS -- (98.9%) (Cost $754,879,281)++..... 755,647,044
------------
OTHER ASSETS AND LIABILITIES -- (1.1%)
Other Assets.......................................... 8,547,700
Payable for Fund Shares Redeemed...................... (95,468)
Other Liabilities..................................... (86,634)
------------
8,365,598
------------
NET ASSETS -- (100.0%) Applicable to 76,365,535
Outstanding $.01 Par Value Shares (Unlimited Number
of Shares Authorized)................................ $764,012,642
------------
------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE................................................ $ 10.00
------------
------------
- --------------------
+See Note B to Financial Statements.
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
8
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE DFA ONE-YEAR FIXED INCOME SERIES
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1997
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<S> <C>
INVESTMENT INCOME
Interest............................................................................ $ 23,131
---------
EXPENSES
Investment Advisory Services........................................................ 197
Accounting & Transfer Agent Fees.................................................... 101
Custodian's Fee..................................................................... 49
Legal Fees.......................................................................... 3
Audit Fees.......................................................................... 4
Shareholders' Reports............................................................... 4
Trustees' Fees and Expenses......................................................... 1
Other............................................................................... 12
---------
Total Expenses.................................................................. 371
---------
NET INVESTMENT INCOME............................................................... 22,760
---------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Gain on Investment Securities.............................................. 408
Change in Unrealized Appreciation (Depreciation) of Investment Securities............... (2,662)
---------
NET LOSS ON INVESTMENT SECURITIES................................................... (2,254)
---------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.................................... $ 20,506
---------
---------
</TABLE>
See accompanying Notes to Financial Statements
9
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE DFA ONE-YEAR FIXED INCOME SERIES
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
YEAR
SIX MONTHS ENDED
ENDED MAY NOV. 30,
31, 1997 1996
---------- ----------
(UNAUDITED)
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income............................................... $ 22,760 $ 43,492
Net Realized Gain (Loss) on Investment Securities................... 408 (301)
Change in Unrealized Appreciation (Depreciation) of Investment
Securities........................................................ (2,662) 3.135
---------- ----------
Net Increase in Net Assets Resulting from Operations............ 20,506 46,326
---------- ----------
Distributions From:
Net Investment Income............................................... (23,184) (42,530)
---------- ----------
Capital Share Transactions (1):
Shares Issued....................................................... 155,318 520,113
Shares Issued in Lieu of Cash Distributions......................... 19,180 32,939
Shares Redeemed..................................................... (267,100) (403,109)
---------- ----------
Net Increase (Decrease) From Capital Share Transactions......... (92,602) 149,943
---------- ----------
Total Increase (Decrease)....................................... (95,280) 153,739
NET ASSETS
Beginning of Period................................................. 859,293 705,554
---------- ----------
End of Period....................................................... $ 764,013 $ 859,293
---------- ----------
---------- ----------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued....................................................... 15,572 52,148
Shares Issued in Lieu of Cash Distributions......................... 1,927 3,311
Shares Redeemed..................................................... (26,800) (40,380)
---------- ----------
(9,301) 15,079
---------- ----------
---------- ----------
</TABLE>
See accompanying Notes to Financial Statements
10
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE DFA ONE-YEAR FIXED INCOME SERIES
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout each period)
<TABLE>
<CAPTION>
YEAR YEAR YEAR FEB. 8
SIX MONTHS ENDED ENDED ENDED TO
ENDED MAY NOV. 30, NOV. 30, NOV. 30, NOV. 30,
31, 1997 1996 1995 1994 1993
----------- -------- -------- -------- --------
(UNAUDITED)
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period........................... $ 10.03 $ 10.00 $ 9.84 $ 10.06 $ 10.00
----------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income............ 0.29 0.56 0.60 0.44 0.31
Net Gains (Losses) on Securities
(Realized and Unrealized)...... (0.03) 0.03 0.16 (0.18) 0.03
----------- -------- -------- -------- --------
Total from Investment
Operations..................... 0.26 0.59 0.76 0.26 0.34
----------- -------- -------- -------- --------
LESS DISTRIBUTIONS
Net Investment Income............ (0.29) (0.56) (0.60) (0.43) (0.28)
Net Realized Gains............... -- -- -- (0.05) --
----------- -------- -------- -------- --------
Total Distributions.............. (0.29) (0.56) (0.60) (0.48) (0.28)
----------- -------- -------- -------- --------
Net Asset Value, End of Period..... $ 10.00 $ 10.03 $ 10.00 $ 9.84 $ 10.06
----------- -------- -------- -------- --------
----------- -------- -------- -------- --------
Total Return....................... 2.61%# 6.10% 7.91% 2.61% 3.39%#
Net Assets, End of Period
(thousands)...................... $764,013 $859,293 $705,554 $592,286 $608,428
Ratio of Expenses to Average Net
Assets........................... 0.09%* 0.09% 0.10% 0.10% 0.10%*
Ratio of Net Investment Income to
Average Net Assets............... 5.78%* 5.62% 6.04% 4.41% 3.80%*
Portfolio Turnover Rate............ 81.14%* 95.84% 81.31% 140.82% 111.67%*
</TABLE>
- --------------
(Restated to reflect a 900% stock dividend as of January 2, 1996)
* Annualized
# Non-Annualized
See accompanying Notes to Financial Statements
11
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust currently offers sixteen portfolios, of which The DFA One-Year Fixed
Income Series (the "Series") is presented in this report.
On December 20, 1995, the Board of Trustees of The DFA Investment Trust
Company (the "Board") approved a 900% stock dividend upon Delaware Trust Law
which is treated as a 10 for 1 stock split for financial reporting purposes, for
the Series. The record date of the stock dividend as January 1, 1996, and the
ex-date and payable dates were January 2, 1996. This was a tax-free event to the
shareholders of the Series. All share and per share data as of and for the
period ended November 30, 1995 and all prior periods have been restated to
reflect the stock dividend.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such policies
are consistently followed by the Trust in preparation of its financial
statements. 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 as such prices are believed to
reflect the fair market value of such securities.
2. FEDERAL INCOME TAXES: It is the Series' intention to continue to
qualify as a regulated investment company and distribute all of its taxable
income. Accordingly, no provision for Federal taxes is required in the financial
statements.
3. REPURCHASE AGREEMENTS: The Series may purchase money market instruments
subject to the seller's agreement to repurchase them at an agreed upon date and
price. The seller will be required on a daily basis to maintain the value of the
collateral subject to the agreement at not less than the repurchase price
(including accrued interest). The agreements are conditioned upon the collateral
being deposited under the Federal Reserve book-entry system or with the Trust's
custodian or a third party sub-custodian. All open repurchase agreements were
entered into on May 30, 1997.
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.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. (the "Advisor") provides investment advisory
services to the Series. For the six months ended May 31, 1997, the Series'
advisory fees were computed daily and paid monthly to the Advisor based on an
effective annual rate of 0.05 of 1%.
Certain officers of the Series are also officers, directors and shareholders
of the Advisor.
12
<PAGE>
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 1997, the Series made the following
purchases and sales of investment securities (amounts in thousands):
<TABLE>
<CAPTION>
OTHER
U.S. GOVERNMENT INVESTMENT
SECURITIES SECURITIES
----------------- -----------
<S> <C> <C>
Purchases........................................ $ 90,123 $ 176,619
Sales............................................ 99,795 120,263
</TABLE>
E. INVESTMENT TRANSACTIONS:
At November 30, 1996, gross unrealized appreciation and depreciation for
financial reporting and federal income tax purposes of investment securities was
as follows (amounts in thousands):
<TABLE>
<S> <C>
Gross Unrealized Appreciation................ $1,101
Gross Unrealized Depreciation................ (333)
------
Net.......................................... $ 768
------
------
</TABLE>
At November 30, 1996, the Series had a capital loss carryover for federal
income tax purposes of approximately $3,032,000 of which $2,705,000 and $327,000
expire on November 30, 2003 and 2004, respectively.
F. LINE OF CREDIT
In July, 1996, the Trust, together with other DFA-advised portfolios,
entered into a $50 million unsecured line of credit with its domestic custodian
bank. Each portfolio is permitted to borrow, subject to its investment
limitations, up to a maximum of $50 million. Borrowings under the line are
charged interest at the current overnight federal funds rate plus available rate
determined at the date of borrowing. Each portfolio is individually, and not
jointly liable for its particular advance under the line. There is no commitment
fee on the unused portion of the line of credit. There were no borrowings under
the line of credit by the Series during the six months ended May 31, 1997.
G. COMPONENTS OF NET ASSETS:
At May 31, 1997, net assets consisted of (amounts in thousands):
<TABLE>
<S> <C>
Paid-In Capital.............................. $762,097
Undistributed Net Investment Income.......... 3,780
Accumulated Net Realized Loss................ (2,632)
Unrealized Appreciation of Investment
Securities.................................. 768
--------
$764,013
--------
--------
</TABLE>
13
