<PAGE>
- --------------------------------------------------------------------------------
Dimensional Investment Group Inc.
RWB/DFA Two-Year Government Portfolio
Semi-Annual
Report
Six Months Ended May 31, 1997
(Unaudited)
-------------------------------------
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
RWB/DFA TWO-YEAR GOVERNMENT PORTFOLIO
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
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<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 TWO-YEAR GOVERNMENT SERIES
Schedule of Investments.......................................................................................... 7
Statement of Assets and Liabilities.............................................................................. 8
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.
RWB/DFA TWO-YEAR GOVERNMENT PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 1997
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<TABLE>
<S> <C>
ASSETS:
Investment in The DFA Two-Year Government Series of The DFA Investment Trust
Company (Cost $111,918) at Value................................................ $ 111,787
Receivable for Fund Shares Sold................................................... 98
Prepaid Expenses and Other Assets................................................. 50
------------
Total Assets................................................................ 111,935
------------
LIABILITIES:
Payable for Investment Securities Purchased....................................... 53
Payable for Fund Shares Redeemed.................................................. 45
Accrued Expenses.................................................................. 29
------------
Total Liabilities........................................................... 127
------------
NET ASSETS.......................................................................... $ 111,808
------------
------------
SHARES OUTSTANDING, $.01 PAR VALUE (Authorized 100,000,000)......................... 11,045,123
------------
------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............................ $ 10.12
------------
------------
NET ASSETS CONSIST OF:
Paid-In Capital................................................................. $ 110,634
Undistributed Net Investment Income............................................. 1,529
Accumulated Net Realized Loss................................................... (224)
Unrealized Depreciation of Investment Securities................................ (131)
------------
Total Net Assets............................................................ $ 111,808
------------
------------
</TABLE>
See accompanying Notes to Financial Statements
1
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
RWB/DFA TWO-YEAR GOVERNMENT PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1997
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<S> <C>
INVESTMENT INCOME
Net Investment Income from The DFA Investment Trust Company.......................... $ 3,026
---------
EXPENSES
Administrative Services.............................................................. 5
Accounting & Transfer Agent Fees..................................................... 20
Shareholder Services................................................................. 16
Legal Fees........................................................................... 4
Audit Fees........................................................................... 1
Filing Fees.......................................................................... 21
Shareholders' Reports................................................................ 7
Directors' Fees and Expenses......................................................... 2
Organization Costs................................................................... 3
Other................................................................................ 1
---------
Total Expenses................................................................... 80
Less: Fees Waived and Expenses Reimbursed............................................ (3)
---------
Net Expenses......................................................................... 77
---------
NET INVESTMENT INCOME................................................................ 2,949
---------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Loss on Investment Securities............................................... (222)
Change in Unrealized Appreciation (Depreciation) of Investment Securities................ (488)
---------
NET LOSS ON INVESTMENT SECURITIES.................................................... (710)
---------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS..................................... $ 2,239
---------
---------
</TABLE>
See accompanying Notes to Financial Statements
2
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
RWB/DFA TWO-YEAR GOVERNMENT PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
JUNE 7
SIX MONTHS TO
ENDED MAY NOV. 30,
31, 1997 1996
---------- ----------
(UNAUDITED)
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income................................... $ 2,949 $ 2,583
Net Realized Gain (Loss) on Investment Securities....... (222) 504
Change in Unrealized Appreciation (Depreciation) of
Investment Securities................................. (488) 357
---------- ----------
Net Increase in Net Assets Resulting from
Operations........................................ 2,239 3,444
---------- ----------
Distributions From:
Net Investment Income................................... (2,803) (1,200)
Net Realized Gains...................................... (506) --
---------- ----------
Total Distributions................................. (3,309) (1,200)
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Capital Share Transactions (1):
Shares Issued........................................... 24,604 114,883
Shares Issued in Lieu of Cash Distributions............. 18 3
Shares Redeemed......................................... (16,388) (12,486)
---------- ----------
Net Increase From Capital Share Transactions........ 8,234 102,400
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Total Increase...................................... 7,164 104,644
NET ASSETS
Beginning of Period..................................... 104,644 --
---------- ----------
End of Period........................................... $111,808 $ 104,644
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(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................................... 2,447 11,470
Shares Issued in Lieu of Cash Distributions............. 2 --
Shares Redeemed......................................... (1,631) (1,243)
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818 10,227
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</TABLE>
See accompanying Notes to Financial Statements
3
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
RWB/DFA TWO-YEAR GOVERNMENT PORTFOLIO
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
JUNE 7
SIX MONTHS TO
ENDED MAY NOV. 30,
31, 1997 1996
----------- -----------
(UNAUDITED)
<S> <C> <C>
Net Asset Value, Beginning of Period........................ $ 10.23 $ 10.00
----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income..................................... 0.27 0.26
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................. (0.06) 0.10
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Total from Investment Operations.......................... 0.21 0.36
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LESS DISTRIBUTIONS
Net Investment Income..................................... (0.27) (0.13)
Net Realized Gains........................................ (0.05) --
----------- -----------
Total Distributions....................................... (0.32) (0.13)
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Net Asset Value, End of Period.............................. $ 10.12 $ 10.23
----------- -----------
----------- -----------
Total Return................................................ 2.06%# 3.60%#
Net Assets, End of Period (thousands)....................... $111,808 $ 104,644
Ratio of Expenses to Average Net Assets (1)................. 0.37%*(a) 0.38%*(a)
Ratio of Net Investment Income to Average Net Assets........ 5.43%*(a) 5.81%*(a)
Portfolio Turnover Rate..................................... N/A N/A
</TABLE>
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* 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 periods ended May 31, 1997 and
November 30, 1996 would have been 0.38% and 0.41% and the ratios of net
investment income to average net assets for the periods ended May 31, 1997
and November 30, 1996 would have been 5.42% and 5.78%.
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 RWB/DFA Two-Year Government Portfolio (the "Portfolio") is presented in
this report.
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 May 31, 1997, the Portfolio owned 100% 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 net assets of the Series.
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. ("DFA") (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 0.01 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 0.03% of its average daily net assets. RWBAS waived
this fee through December 31, 1996.
Certain officers of the Portfolio are also officers, directors and
shareholders of the Advisor.
5
<PAGE>
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............................. $ 57
Gross Unrealized Depreciation............................. (188)
---------
Net....................................................... $ (131)
---------
---------
</TABLE>
E. LINE OF CREDIT
In July, 1996, the Fund, together with other DFA-advised portfolio, 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 TWO-YEAR GOVERNMENT SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
U.S. TREASURY OBLIGATIONS -- (99.6%)
U.S. Treasury Notes
5.500%, 11/15/98.................................... $ 22,800 $ 22,621,018
5.625%, 11/30/98.................................... 1,000 993,860
5.750%, 12/31/98.................................... 9,000 8,956,619
5.875%, 01/31/99.................................... 3,000 2,988,689
5.875%, 02/28/99.................................... 42,000 41,814,360
6.250%, 03/31/99.................................... 2,000 2,002,840
6.375%, 04/30/99.................................... 3,000 3,009,090
6.250%, 05/31/99.................................... 27,000 27,014,850
------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $109,532,049)................................... 109,401,326
------------
TEMPORARY CASH INVESTMENTS -- (0.4%)
Repurchase Agreement, PNC Capital Markets Inc. 5.25%,
06/02/97
(Collateralized by U.S. Treasury Notes 6.00%,
08/15/99)
(Cost $454,000)...................................... 454 454,000
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $109,986,049)++.... $109,855,326
------------
------------
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+See Note B to Financial Statements.
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
7
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE DFA TWO-YEAR GOVERNMENT SERIES
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 1997
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<TABLE>
<S> <C>
ASSETS:
Investments at Value................................................................. $ 109,855
Cash................................................................................. 1
Receivables
Interest......................................................................... 1,020
Investment Securities Sold....................................................... 27,842
Fund Shares Sold................................................................. 53
Prepaid Expenses and Other Assets.................................................... 10
---------
Total Assets................................................................... 138,781
---------
LIABILITIES:
Payable for Investment Securities Purchased.......................................... 26,970
Accrued Expenses and Other Liabilities............................................... 22
---------
Total Liabilities.............................................................. 26,992
---------
NET ASSETS............................................................................. $ 111,789
---------
---------
Investments at Cost.................................................................. $ 109,986
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---------
</TABLE>
See accompanying Notes to Financial Statements
8
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE DFA TWO-YEAR GOVERNMENT SERIES
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1997
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<S> <C>
INVESTMENT INCOME
Interest............................................................................. $ 3,147
---------
EXPENSES
Investment Advisory Services......................................................... 82
Accounting & Transfer Agent Fees..................................................... 27
Custodian's Fee...................................................................... 7
Legal Fees........................................................................... 1
Audit Fees........................................................................... 1
Shareholders' Reports................................................................ 1
Trustees' Fees and Expenses.......................................................... 1
Other................................................................................ 1
---------
Total Expenses................................................................... 121
---------
NET INVESTMENT INCOME................................................................ 3,026
---------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Loss on Investment Securities............................................... (222)
Change in Unrealized Appreciation (Depreciation) of Investment Securities................ (487)
---------
NET LOSS ON INVESTMENT SECURITIES.................................................... (709)
---------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS..................................... $ 2,317
---------
---------
</TABLE>
See accompanying Notes to Financial Statements
9
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE DFA TWO-YEAR GOVERNMENT SERIES
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
JUNE 7
SIX MONTHS TO
ENDED MAY NOV. 30,
31, 1997 1996
----------- ---------
(UNAUDITED)
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income................................................... $ 3,026 $ 2,648
Net Realized Gain (Loss) on Investment Securities....................... (222) 504
Change in Unrealized Appreciation (Depreciation) of Investment
Securities............................................................ (487) 357
----------- ---------
Net Increase in Net Assets Resulting from Operations................ 2,317 3,509
----------- ---------
Transactions in Interest:
Contributions........................................................... 16,287 109,613
Withdrawals............................................................. (11,462) (8,475)
----------- ---------
Net Increase from Transactions in Interest.......................... 4,825 101,138
----------- ---------
Total Increase...................................................... 7,142 104,647
NET ASSETS
Beginning of Period..................................................... 104,647 --
----------- ---------
End of Period........................................................... $ 111,789 $ 104,647
----------- ---------
----------- ---------
</TABLE>
See accompanying Notes to Financial Statements
10
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE DFA TWO-YEAR GOVERNMENT SERIES
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
JUNE 7
SIX MONTHS TO
ENDED MAY NOV. 30,
31, 1997 1996
----------- ---------
(UNAUDITED)
<S> <C> <C>
Net Asset Value, Beginning of Period...................................... $ N/A+ $ N/A+
----------- ---------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income................................................... -- --
Net Gains (Losses) on Securities (Realized and Unrealized).............. -- --
----------- ---------
Total from Investment Operations........................................ -- --
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LESS DISTRIBUTIONS
Net Investment Income................................................... -- --
Net Realized Gains...................................................... -- --
----------- ---------
Total Distributions..................................................... -- --
----------- ---------
Net Asset Value, End of Period............................................ $ N/A+ $ N/A+
----------- ---------
----------- ---------
Total Return.............................................................. N/A+ N/A+
Net Assets, End of Period (thousands)..................................... $ 111,789 $ 104,647
Ratio of Expenses to Average Net Assets................................... 0.22%* 0.23%*
Ratio of Net Investment Income to Average Net Assets...................... 5.58%* 5.95%*
Portfolio Turnover Rate................................................... 152.18%* 200.59%*
</TABLE>
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* Annualized
+ Not applicable as The DFA Two-Year Government Series is organized as a
partnership
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 Two-Year Government
Series (the "Series") is presented in this report.
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 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 of
Directors.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("DFA") (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 0.15 of 1%.
Certain officers of the Series are also officers, directors and shareholders
of the Advisor.
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 1997, the Series made the following
purchases and sales of U.S. Government securities (amounts in thousands):
<TABLE>
<S> <C>
Purchases............................................... $ 86,750
Sales................................................... 79,916
</TABLE>
12
<PAGE>
E. INVESTMENT TRANSACTIONS:
At May 31, 1997, 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............................. $ 57
Gross Unrealized Depreciation............................. (188)
---------
Net....................................................... $ (131)
---------
---------
</TABLE>
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 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 Series during the six months ended
May 31, 1997.
13
