<PAGE>
===============================================================================
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO II
ANNUAL REPORT
Year Ended November 30, 1996
===============================================================================
<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 1996
The following reflects the growth of a $10,000 investment.
U.S. Large Fama-French
Cap Value Large Cap
Portfolio II Value Index
------------ ------------
8/31/94 10000 10000
9/30/94 9705 9632
10/31/94 9882.60 9815.00
11/30/94 9434.91 9585.33
12/31/94 9548.13 9614.09
1/31/95 9747.69 9989.04
2/28/95 10286.74 10453.53
3/31/95 10435.90 10493.25
4/30/95 10805.33 10829.04
5/31/95 11354.24 11409.47
6/30/95 11593.81 11597.73
7/31/95 12092.35 11945.66
8/31/95 12441.81 12164.27
9/30/95 12861.10 12655.70
10/31/95 12332.51 12378.54
11/30/95 12997.23 12832.84
12/31/95 13079.12 13153.66
1/31/96 13437.49 13465.40
2/29/96 13632.33 13462.71
3/31/96 14104.01 13683.49
4/30/96 14319.80 13698.55
5/31/96 14556.08 13905.39
6/30/96 14125.22 13902.61
7/31/96 13489.58 13133.80
8/31/96 14022.42 13561.96
9/30/96 14288.85 13826.42
10/31/96 14750.38 14243.98
11/30/96 15815.35 15045.91
Annualized One From
Total Return (%) Year September 1994
- ---------------------------------------------------------
21.68 22.60
* 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
$600 million or more and book-to-market ratios in the upper 30% of publicly
traded companies.
* This portfolio's returns in fiscal 1996 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 courtsey of
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, 1996
(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 (1,681,348 Shares, Cost $22,287) at Value ............................. $ 26,090
Receivable for Fund Shares Sold ................................................ 79
Prepaid Expenses and Other Assets .............................................. 28
-----------
Total Assets ......................................................... 26,197
-----------
LIABILITIES:
Payable for Investment Securities Purchased .................................... 79
Accrued Expenses ............................................................... 39
-----------
Total Liabilities .................................................... 118
-----------
Net Assets ..................................................................... $ 26,079
===========
SHARES OUTSTANDING, $.01 PAR VALUE (Authorized 100,000,000) .................... 1,689,856
===========
Net Asset Value, Offering and Redemption Price Per Share ....................... $ 15.43
===========
NET ASSETS CONSIST OF:
Paid-In Capital ................................................................ $ 21,850
Undistributed Net Investment Income ............................................ 285
Undistributed Net Realized Gain ................................................ 141
Unrealized Appreciation of Investment Securities ............................... 3,803
-----------
Total Net Assets ..................................................... $ 26,079
===========
</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, 1996
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
<S> <C>
Investment Income
Income Distributions Received ........................................ $ 407
-------
Expenses
Administrative Services .............................................. 13
Accounting & Transfer Agent Fees ..................................... 17
Shareholder Services ................................................. 28
Legal Fees ........................................................... 9
Audit Fees ........................................................... 1
Filing Fees .......................................................... 16
Shareholders' Reports ................................................ 7
Directors' Fees and Expenses ......................................... 5
Organization Costs ................................................... 9
Other ................................................................ 1
-------
Total Expenses .................................................... 106
-------
Net Investment Income ................................................ 301
-------
Net Realized and Unrealized Gain (Loss) on Investments
Capital Gain Distributions Received .................................... 196
Net Realized Loss on Investment Securities ............................. (46)
Change in Unrealized Appreciation (Depreciation) of Investment
Securities ........................................................... 3,075
-------
Net Gain on Investment Securities ................................... 3,225
-------
Net Increase in Net Assets Resulting from Operations ................... $3,526
=======
</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 Year
Ended Ended
Nov. 30, Nov. 30,
1996 1995
---------- ----------
<S> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ................................................ $ 301 $ 81
Capital Gain Distributions Received .................................. 196 89
Net Realized Loss on Investment Securities ........................... (46) (4)
Change in Unrealized Appreciation (Depreciation) of Investment
Securities ........................................................ 3,075 788
---------- ----------
Net Increase in Net Assets Resulting from Operations .............. 3,526 954
---------- ----------
Distributions From:
Net Investment Income ................................................ (17) (81)
Net Realized Gains ................................................... (1) (89)
---------- ----------
Total Distributions ............................................... (18) (170)
---------- ----------
Capital Share Transactions (1):
Shares Issued ........................................................ 18,113 5,577
Shares Issued in Lieu of Cash Distributions .......................... 18 170
Shares Redeemed ...................................................... (2,670) (706)
---------- ----------
Net Increase From Capital Share Transactions ...................... 15,461 5,041
---------- ----------
Total Increase .................................................... 18,969 5,825
Net Assets
Beginning of Period .................................................. 7,110 1,285
---------- ----------
End of Period ........................................................ $26,079 $7,110
========== ==========
(1) Shares Issued and Redeemed:
Shares Issued ........................................................ 1,325 470
Shares Issued in Lieu of Cash Distributions .......................... 1 14
Shares Redeemed ...................................................... (196) (61)
---------- ----------
1,130 423
========== ==========
</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 Year Aug. 3
Ended Ended to
Nov. 30, Nov. 30, Nov. 30,
1996 1995 1994
---------- ---------- -----------
<S> <C> <C> <C>
Net Asset Value, Beginning of Period ..................... $12.72 $ 9.48 $10.00
---------- ---------- -----------
Income from Investment Operations
Net Investment Income .................................. 0.20 0.17 0.11
Net Gains (Losses) on Securities (Realized and
Unrealized) ......................................... 2.54 3.40 (0.52)
---------- ---------- -----------
Total from Investment Operations .................... 2.74 3.57 (0.41)
---------- ---------- -----------
Less Distributions
Net Investment Income .................................. (0.03) (0.17) (0.11)
Net Realized Gains ..................................... -- (0.16) --
---------- ---------- -----------
Total Distributions ................................. (0.03) (0.33) (0.11)
---------- ---------- -----------
Net Asset Value, End of Period ........................... $15.43 $12.72 $ 9.48
========== ========== ===========
Total Return ............................................. 21.59% 37.76% (4.14)%#
Net Assets, End of Period (thousands) .................... $26,079 $7,110 $1,285
Ratio of Expenses to Average Net Assets (1) .............. 0.82% 0.96%(a) 0.96%*(a)
Ratio of Net Investment Income to Average Net Assets ..... 1.80% 2.37%(a) 5.39%*(a)
Portfolio Turnover Rate .................................. N/A N/A N/A
Average Commission Rate .................................. N/A 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, 1996, Dimensional Investment Group Inc. (the "Fund")
consisted of eleven portfolios, The DFA 6-10 Institutional Portfolio, U.S.
Small Cap Value Portfolio II, U.S. Large Cap Value Portfolio II, U.S. Large
Cap Value Portfolio III, RWB/DFA U.S. High Book to Market Portfolio, The DFA
International Value Portfolio, DFA International Value Portfolio II, DFA
International Value Portfolio III, DFA One-Year Fixed Income Portfolio II,
RWB/DFA Two-Year Corporate Fixed Income Portfolio and RWB/DFA Two-Year
Government Portfolio ( 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, 1996, the Portfolio owned 3% of the outstanding shares of the
Series. The financial statements of the Series are included elsewhere in this
report and should be read in conjunction with the financial statements of the
Portfolio.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such
policies are consistently followed by the Fund in preparation of its
financial statements. The preparation of financial statements in accordance
with generally accepted accounting principles may require management to make
estimates and assumptions that affect the reported amounts and disclosures in
the financial statements. Actual results could differ from those estimates.
1. Security Valuation: The shares of the Series held by the Portfolio are
valued at its respective daily net asset value.
2. Federal Income Taxes: It is the Portfolio's intention to 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.
Certain prior period amounts have been restated to conform with current
period presentation.
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. Effective July 1, 1996, 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%. Prior to that date this rate was
0.15% of 1%.
Certain officers of the Portfolio are also officers, directors and
shareholders of the Advisor.
6
<PAGE>
Effective July 1, 1996, 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 0.96% of average daily net
assets.
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 .10% of its average daily net assets.
D. INVESTMENTS:
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):
Gross Unrealized Appreciation ............... $3,803
Gross Unrealized Depreciation ............... --
--------
Net ........................................ $3,803
========
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 between 25% and 33 1/3%
of its net assets as determined by its investment policies, up to a maximum
of $50 million per portfolio. 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 year ended November 30, 1996.
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, 1996, and the related statement of operations for the year then
ended, 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, 1996, 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, 1996, and the results of its operations for the year then ended,
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 17, 1997
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 1996
The following reflects the growth of a $10,000 investment.
U.S. Large Fama-French
Cap Value Large Cap
Series Value Index
- ----------------------------------------------------
2/28/93 10000 10000
3/31/93 10298 10302
4/30/93 10268.1358 10247.3994
5/31/93 10379.03167 10333.47755
6/30/93 10600.10504 10500.87989
7/31/93 10750.62653 10622.6901
8/31/93 11011.86676 10979.61249
9/30/93 10820.26028 10868.7184
10/31/93 10951.18543 10906.75891
11/30/93 10849.3394 10742.06685
12/31/93 11109.72355 11018.13797
1/31/94 11428.57261 11241.80617
2/28/94 10914.28684 10748.29088
3/31/94 10472.25823 10273.21643
4/30/94 10636.67268 10418.06878
5/31/94 10564.34331 10290.96834
6/30/94 10344.60497 10097.49813
7/31/94 10802.87097 10541.78805
8/31/94 11115.07394 10821.14543
9/30/94 10790.51378 10422.92728
10/31/94 11000.9288 10620.9629
11/30/94 10508.08719 10372.43237
12/31/94 10635.23504 10403.54967
1/31/95 10879.84545 10809.2881
2/28/95 11495.6447 11311.92
3/31/95 11671.52806 11354.9053
4/30/95 12098.70599 11718.26226
5/31/95 12729.04857 12346.36112
6/30/95 13007.81474 12550.07608
7/31/95 13577.55702 12926.57836
8/31/95 13986.24149 13163.13475
9/30/95 14470.16544 13694.92539
10/31/95 13875.44165 13395.00652
11/30/95 14634.4283 13886.60326
12/31/95 14739.79619 14233.76835
1/31/96 15158.4064 14571.10866
2/29/96 15384.26665 14568.19443
3/31/96 15919.63913 14807.11282
4/30/96 16180.72122 14823.40065
5/31/96 16454.1754 15047.234
6/30/96 15975.3589 15044.22455
7/31/96 15266.05296 14212.27893
8/31/96 15872.11527 14675.59923
9/30/96 16189.55757 14961.77341
10/31/96 16718.9561 15413.61897
11/30/96 17924.39284 16281.40572
<PAGE>
Annualized One From
Total Return (%) Year March 1993
- -----------------------------------------------
22.48 16.84
* The series' 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 $600 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 1996 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
Fama-French and CRSP, University of Chicago.
9
<PAGE>
STATEMENT OF NET ASSETS
THE U.S. LARGE CAP VALUE SERIES
NOVEMBER 30, 1996
<TABLE>
<CAPTION>
Shares Value+
----------- ------------
<S> <C> <C>
COMMON STOCKS - (98.9%)
AK Steel Holding Corp. .......... 29,400 $ 1,120,875
*AMR Corp. ....................... 176,500 16,105,625
*#Advanced Micro Devices, Inc. .... 241,900 5,866,075
Aetna, Inc. ..................... 197,726 14,260,988
Ahmanson (H.F.) & Co. ........... 237,800 7,847,400
Albemarle Corp. ................. 97,500 1,767,188
Alexander & Baldwin, Inc. ....... 60,900 1,621,463
Alleghany Corp. ................. 8,432 1,783,368
*Alumax, Inc. .................... 88,500 2,865,188
Ambac, Inc. ..................... 47,400 3,246,900
*Amdahl Corp. .................... 228,333 2,711,454
Amerada Hess Corp. .............. 126,800 7,465,350
American General Corp. .......... 326,500 13,427,313
American Greetings Corp. Class A 14,400 407,700
American National Insurance Co. . 18,300 1,374,788
#Apple Computer, Inc. ............ 319,800 7,755,150
Argonaut Group, Inc. ............ 32,100 950,963
Asarco, Inc. .................... 104,900 2,858,525
Avnet, Inc. ..................... 50,600 2,960,100
*BHC Communications, Inc. Class A 7,100 725,088
Ball Corp. ...................... 112,500 2,756,250
Bancorp Hawaii, Inc. ............ 55,800 2,434,275
Bankers Trust New York Corp. .... 101,900 8,865,300
Bear Stearns Companies, Inc. .... 179,274 4,930,035
Berkley (W.R.) Corp. ............ 18,200 960,050
*#Bethlehem Steel Corp. ........... 275,500 2,479,500
*Beverly Enterprises ............. 231,100 3,062,075
Block Drug Co., Inc. Class A .... 15,928 726,711
Boise Cascade Corp. ............. 121,100 3,754,100
Borg Warner Automotive, Inc. .... 46,300 1,852,000
Bowater, Inc. ................... 52,600 1,979,075
*Burlington Industries, Inc. ..... 96,800 1,052,700
Burlington Northern Santa Fe
Corp. .......................... 208,200 18,711,975
CIGNA Corp. ..................... 107,508 15,198,944
*CNA Financial Corp. ............. 90,300 9,707,250
CSX Corp. ....................... 365,200 17,073,100
*Cal Fed Bancorp, Inc. ........... 58,900 1,428,325
Centex Corp. .................... 38,400 1,382,400
Champion International Corp. .... 182,000 7,826,000
Chesapeake Corp. ................ 15,100 460,550
Chiquita Brands International,
Inc. ........................... 39,500 523,375
*Chris-Craft Industries, Inc. .... 64,859 2,651,112
Chrysler Corp. .................. 1,197,826 42,522,823
Cincinnati Financial Corp. ...... 89,560 5,373,600
Citizens Corp. .................. 14,000 306,250
Coca-Cola Enterprises, Inc. ..... 186,300 8,406,788
Comdicso, Inc. .................. 68,800 2,236,000
Commerce Bancshares, Inc. ....... 50,740 2,276,966
Commerce Group, Inc. ............ 49,600 1,190,400
Comsat Corp. Series 1 ........... 86,100 2,260,125
#Conrail, Inc. ................... 115,200 11,203,200
Consolidated Freightways, Inc. .. 100,900 2,434,213
Coors (Adolph) Co. Class B ...... 80,500 1,589,875
Countrywide Credit Industries,
Inc. ........................... 144,200 4,163,775
Cummins Engine Co., Inc. ........ 55,200 2,497,800
#Cyprus Amax Minerals Co., Inc. .. 238,900 5,912,775
*DSC Communications Corp. ........ 238,500 4,307,906
Diamond Shamrock, Inc. .......... 47,600 1,547,000
*#Digital Equipment Corp. ......... 301,300 11,072,775
<PAGE>
Shares Value+
----------- ------------
Dillard Department Stores, Inc.
Class A ......................... 246,700 $ 7,555,188
*Dime Bancorp, Inc. .............. 140,300 2,227,263
Donaldson, Lufkin & Jenrette,
Inc. ........................... 86,500 3,081,563
#Enserch Corp. ................... 92,800 2,169,200
*Enserch Exploration, Inc. ....... 107,100 1,218,263
Equitable Companies, Inc. ....... 150,100 3,714,975
Equitable of Iowa Companies ..... 19,100 854,725
*FHP International Corp. ......... 41,800 1,502,188
Federal-Mogul Corp. ............. 15,500 344,875
*#Federated Department Stores, Inc. 444,300 15,161,738
Financial Security Assurance
Holdings, Ltd. .................. 30,300 962,025
Fina, Inc. Class A .............. 35,000 1,653,750
Finova Group, Inc. .............. 36,600 2,415,600
First Citizens Bancshares, Inc.
NC ............................. 3,700 294,150
First Colony Corp. .............. 66,300 2,386,800
First Hawaiian, Inc. ............ 44,100 1,430,494
First of America Bank Corp. ..... 25,800 1,567,350
Florida East Coast Industries,
Inc. ........................... 11,400 1,003,200
Ford Motor Co. .................. 1,903,500 62,339,626
*Fruit of The Loom, Inc. Class A . 57,300 2,041,313
GATX Corp. ...................... 27,200 1,356,600
General Motors Corp. ............ 1,284,500 74,019,293
#General Motors Corp. Class H .... 182,646 9,954,207
Georgia-Pacific Corp. ........... 164,900 11,996,475
Golden West Financial Corp. ..... 90,800 6,129,000
Goodyear Tire & Rubber Co. ...... 30,000 1,455,000
*Grand Casinos, Inc. ............. 4,000 51,000
Great Atlantic & Pacific Tea Co.,
Inc. ........................... 51,700 1,693,175
Great Western Financial Corp. ... 217,800 6,779,025
Greenpoint Financial Corp. ...... 71,600 3,454,700
Heilig-Meyers Co. ............... 33,900 470,363
Helmerich & Payne, Inc. ......... 32,000 1,720,000
Inland Steel Industries, Inc. ... 90,600 1,687,425
International Paper Co. ......... 497,200 21,131,000
*International Speciality
Products, Inc. ................. 71,800 870,575
#James River Corp. of Virginia ... 126,200 4,038,400
K Mart Corp. .................... 1,187,400 13,209,825
*Kaiser Aluminum Corp. ........... 89,000 945,625
LTV Corp. ....................... 225,900 2,428,425
#Lafarge Corp. ................... 136,700 2,631,475
Lehman Brothers Holdings, Inc. .. 222,600 6,483,225
Lennar Corp. .................... 60,000 1,560,000
Liberty Corp. ................... 22,000 838,750
Liberty Financial Companies, Inc. 81,000 2,875,500
Lincoln National Corp. .......... 154,850 8,342,544
Loews Corp. ..................... 184,900 17,149,475
Longs Drug Stores Corp. ......... 14,000 701,750
Longview Fibre Co. .............. 43,100 786,575
Louisiana-Pacific Corp. ......... 196,400 4,443,550
MBIA, Inc. ...................... 58,300 5,895,588
MCI Communications Corp. ........ 333,400 10,189,538
Mead Corp. ...................... 72,300 4,283,775
Mercantile Stores Co., Inc. ..... 70,012 3,518,103
*Meyer (Fred), Inc. DE ........... 35,500 1,189,250
Mitchell Energy & Development
Corp. Class A ................... 29,500 641,625
10
<PAGE>
Shares Value+
----------- ------------
Mitchell Energy & Development
Corp. Class B ................... 37,200 $ 785,850
#Morgan (J.P.) & Co., Inc. ....... 94,300 8,899,563
Murphy Oil Corp. ................ 11,600 591,600
*National Semiconductor Corp. .... 254,100 6,225,450
*Navistar International Corp. .... 141,300 1,342,350
*#Nextel Communications Corp.
Class A ......................... 329,800 4,967,613
Norfolk Southern Corp. .......... 158,500 14,265,000
Occidental Petroleum Corp. ...... 476,200 11,428,800
Ogden Corp. ..................... 104,696 2,028,485
Ohio Casualty Corp. ............. 47,800 1,643,125
Old Republic International Corp. 127,950 3,470,644
Overseas Shipholding Group, Inc. 26,400 422,400
PHH Corp. ....................... 66,000 2,961,750
Paccar, Inc. .................... 55,300 3,691,275
Paine Webber Group, Inc. ........ 76,300 2,069,638
Paul Revere Corp. ............... 62,000 1,960,750
Phelps Dodge Corp. .............. 91,700 6,659,713
Potlatch Corp. .................. 94,600 4,186,050
Providian Corp. ................. 214,500 11,475,750
Pulte Corp. ..................... 35,700 1,093,313
*#Quantum Corp. ................... 68,400 1,838,250
RJR Nabisco Holdings Corp. ...... 488,080 15,618,560
Rayonier, Inc. .................. 40,000 1,550,000
Reliance Group Holdings, Inc. ... 104,800 943,200
Republic New York Corp. ......... 64,900 5,727,425
Reynolds Metals Co. ............. 93,500 5,563,250
Ryder System, Inc. .............. 119,400 3,626,775
Safeco Corp. .................... 184,900 7,719,575
Saint Paul Companies, Inc. ...... 213,400 12,563,925
#Salomon, Inc. ................... 219,800 10,028,375
#Sensormatic Electronics Corp. ... 97,200 1,944,000
Signet Banking Corp. ............ 113,000 3,418,250
Smiths Food & Drug Centers, Inc.
Class B ........................ 7,469 225,937
Southern New England
Telecommunications Corp. ........ 42,800 1,701,300
Springs Industries, Inc. Class A 27,000 1,255,500
St. Joe Corp. ................... 35,000 2,314,375
Standard Federal Bancorporation,
Inc. ............................ 15,100 851,263
Stone Container Corp. ........... 237,400 3,650,025
Sun Company, Inc. ............... 64,080 1,602,000
TIG Holdings, Inc. .............. 75,300 2,296,650
*Tandem Computers, Inc. .......... 287,300 3,914,463
Tecumseh Products Co. Class A ... 20,300 1,195,163
Tecumseh Products Co. Class B ... 5,700 309,938
Telephone & Data Systems, Inc. .. 71,400 2,668,575
Temple-Inland, Inc. ............. 138,200 7,428,250
Terra Industries, Inc. .......... 26,300 381,350
Timken Co. ...................... 43,200 1,971,000
Transamerica Corp. .............. 136,400 10,826,750
Tyson Foods, Inc. Class A ....... 113,500 3,724,219
UMB Financial Corp. ............. 27,030 1,067,685
*USAir Group, Inc. ............... 12,300 285,975
USF&G Corp. ..................... 236,900 4,738,000
USLIFE Corp. .................... 72,100 2,226,088
USX-Marathon Group, Inc. ........ 398,250 9,109,969
<PAGE>
Shares Value+
----------- ------------
USX-US Steel Group .............. 157,400 $ 4,741,675
Union Camp Corp. ................ 142,600 7,005,225
Union Pacific Corp. ............. 273,200 15,913,900
*#Union Pacific Resources Group,
Inc. ............................ 231,385 6,912,627
Unionbancal Corp. ............... 53,200 2,912,700
*Unisys Corp. .................... 218,000 1,662,250
*United States Cellular Corp. .... 71,000 1,988,000
Unitrin, Inc. ................... 51,900 2,770,163
Valero Energy Corp. ............. 81,100 2,433,000
Valhi, Inc. ..................... 80,100 490,613
*Value Health, Inc. .............. 82,700 1,498,938
*Viacom, Inc. Class B ............ 329,500 12,479,813
*Vishay Intertechnology, Inc. .... 81,600 1,713,600
Washington Mutual, Inc. ......... 95,200 4,147,150
Wellman, Inc. ................... 44,600 719,175
Wesco Financial Corp. ........... 8,500 1,572,500
Westvaco Corp. .................. 143,250 4,046,813
Weyerhaeuser Co. ................ 124,000 5,704,000
*Wheelabrator Technologies, Inc. . 88,100 1,442,638
Whirlpool Corp. ................. 56,100 2,805,000
*Woolworth Corp. ................. 158,500 3,804,000
*Zurich Reinsurance Centre
Holdings, Inc. .................. 34,300 1,050,438
--------------
TOTAL COMMON STOCKS
(Cost $830,481,801) ............. 977,353,393
--------------
Face
Amount
-----------
(000)
TEMPORARY CASH INVESTMENTS --
(0.7%)
Repurchase Agreement, PNC
Securities Corp. 5.45%, 12/02/96
(Collateralized by U.S. Treasury
Bills 4.93%, 01/16/97)
(Cost $7,009,000) ................ $ 7,009 7,009,000
--------------
TOTAL INVESTMENTS - (99.6%)
(Cost $837,490,801) .............. 984,362,393
--------------
OTHER ASSETS AND LIABILITIES -
(0.4%)
Other Assets ...................... 3,806,281
Payable for Fund Shares Redeemed .. (64,801)
Other Liabilities ................. (162,180)
--------------
3,579,300
--------------
NET ASSETS - (100.0%) Applicable to
63,666,881 Outstanding $.01 Par
Value Shares (Unlimited Number of
Shares Authorized) ............... $987,941,693
==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE ....... $ 15.52
==============
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
See accompanying Notes to Financial Statements.
11
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1996
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
<S> <C>
Investment Income
Dividends ............................................................. $ 17,208
Interest .............................................................. 718
Income From Securities Lending. ....................................... 18
---------
Total Investment Income ............................................. 17,944
---------
Expenses
Investment Advisory Services .......................................... 699
Accounting & Transfer Agent Fees ...................................... 451
Custodian's Fee ....................................................... 126
Legal Fees ............................................................ 10
Audit Fees ............................................................ 19
Shareholders' Reports ................................................. 17
Trustees' Fees and Expenses ........................................... 6
Other ................................................................. 23
---------
Total Expenses ....................................................... 1,351
---------
Net Investment Income ................................................ 16,593
---------
Net Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain on Investment Securities .............................. 52,525
Change in Unrealized Appreciation (Depreciation) of Investment Securities 82,209
---------
Net Gain on Investment Securities ...................................... 134,734
---------
Net Increase in Net Assets Resulting from Operations .................... $151,327
=========
</TABLE>
See accompanying Notes to Financial Statements
12
<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,
1996 1995
---------- ----------
<S> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ................................................. $ 16,593 $ 8,688
Net Realized Gain on Investment Securities ............................ 52,525 21,645
Change in Unrealized Appreciation (Depreciation) of Investment
Securities ......................................................... 82,209 68,474
---------- ----------
Net Increase in Net Assets Resulting from Operations ............... 151,327 98,807
---------- ----------
Distributions From:
Net Investment Income ................................................. (16,140) (8,440)
Net Realized Gains .................................................... (11,101) (5,278)
---------- ----------
Total Distributions ................................................ (27,561) (13,718)
---------- ----------
Capital Share Transactions (1):
Shares Issued ......................................................... 470,093 209,434
Shares Issued in Lieu of Cash Distributions ........................... 25,800 11,274
Shares Redeemed ....................................................... (54,744) (81,618)
---------- ----------
Net Increase From Capital Share Transactions ....................... 441,149 139,090
---------- ----------
Total Increase ..................................................... 564,915 224,179
Net Assets
Beginning of Period ................................................... 423,027 198,848
---------- ----------
End of Period ......................................................... $987,942 $423,027
========== ==========
(1) Shares Issued and Redeemed:
Shares Issued ........................................................... 33,894 18,580
Shares Issued in Lieu of Cash Distributions ............................. 1,923 1,049
Shares Redeemed ......................................................... (3,976) (7,857)
---------- ----------
31,841 11,722
========== ==========
</TABLE>
See accompanying Notes to Financial Statements
13
<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 Year Feb. 19
Ended Ended Ended to
Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1996 1995 1994 1993
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of Period ..... $ 13.29 $ 9.92 $ 10.59 $ 10.00
-------- ---------- ---------- ----------
Income from Investment Operations
- ---------------------------------
Net Investment Income .................. 0.31 0.32 0.33 0.20
Net Gains (Losses) on Securities
(Realized and Unrealized) ........... 2.57 3.53 (0.65) 0.58
-------- ---------- ---------- ----------
Total from Investment Operations ....... 2.88 3.85 (0.32) 0.78
-------- ---------- ---------- ----------
Less Distributions
- ------------------
Net Investment Income .................. (0.31) (0.31) (0.35) (0.18)
Net Realized Gains ..................... (0.34) (0.17) -- (0.01)
-------- ---------- ---------- ----------
Total Distributions ................... (0.65) (0.48) (0.35) (0.19)
-------- ---------- ---------- ----------
Net Asset Value, End of Period ........... $ 15.52 $ 13.29 $ 9.92 $ 10.59
======== ========== ========== ==========
Total Return ............................. 22.48% 39.26% (3.13)% 7.79%#
Net Assets, End of Period (thousands) .... $987,942 $423,027 $198,848 $90,271
Ratio of Expenses to Average Net Assets .. 0.19% 0.21% 0.22% 0.23%*
Ratio of Net Investment Income to Average
Net Assets ............................. 2.37% 2.84% 3.72% 3.75%*
Portfolio Turnover Rate .................. 20.12% 29.41% 39.33% 0.75%*
Average Commission Rate (1) .............. $ 0.0499 N/A N/A N/A
</TABLE>
- -------------
* Annualized
# Non-Annualized
(1) Computed by dividing the total amount of brokerage commissions paid by
the total shares of investment securities purchased and sold during the
period for which commissions were charged, as required by the SEC for
fiscal years beginning after September 1, 1995.
See accompanying Notes to Financial Statements
14
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. At
November 30, 1996, The Trust consisted of fifteen investment portfolios: The
U.S. 6-10 Small Company Series, The U.S. Large Company Series, The Enhanced
U.S. Large Company Series, The U.S. Small Cap Value Series, The U.S. Large
Cap Value Series, The Japanese Small Company Series, The Pacific Rim Small
Company Series, The United Kingdom Small Company Series, The Continental
Small Company Series, The DFA International Value Series, The Emerging
Markets Series, The DFA One-Year Fixed Income Series, The DFA Two-Year
Corporate Fixed Income Series, The DFA Two-Year Government Series and The DFA
Two-Year Global Fixed Income Series. These financial statements relate solely
to The U.S. Large Cap Value Series (the "Series").
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such
policies are consistently followed by the Trust in preparation of its
financial statements. The preparation of financial statements in accordance
with generally accepted accounting principles may require management to make
estimates and assumptions that affect the reported amounts and disclosures in
the financial statements. Actual results could differ from those estimates.
1. Security Valuation: Securities held by the Series which are listed on a
securities exchange and for which market quotations are readily available are
valued at the last quoted sale price of the day, or if there is no such
reported sale, at the mean between the most recent bid and asked prices.
Price information on listed securities is taken from the exchange where the
security is primarily traded. Unlisted securities for which market quotations
are readily available are valued at the mean between the most recent bid and
asked prices. The value of securities for which no quotations are readily
available are determined in good faith at fair value using methods determined
by the Board of Directors.
2. Federal Income Taxes: It is the Series' intention to continue to
qualify as a regulated investment company and distribute all of its taxable
income. Accordingly, no provision for Federal taxes is required in the
financial statements.
3. Repurchase Agreements: The Series may purchase money market instruments
subject to the seller's agreement to repurchase them at an agreed upon date
and price. The seller will be required on a daily basis to maintain the value
of the collateral subject to the agreement at not less than the repurchase
price (including accrued interest). The agreements are conditioned upon the
collateral being deposited under the Federal Reserve book-entry system or
with the Trust's custodian or a third party sub-custodian. All open
repurchase agreements were entered into on November 29, 1996.
4. Other: Security transactions are accounted for on the date the
securities are purchased or sold. Costs used in determining realized gains
and losses on the sale of investment securities are those of specific
securities sold. Dividend income and distributions to shareholders are
recorded on the ex-dividend date. Interest income is recorded on the accrual
basis. Discount and premium on securities purchased are amortized over the
lives of the respective securities. Expenses directly attributable to a
Series are directly charged. Common expenses are allocated using methods
determined by the Board of Directors.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. (the "Advisor") provides investment
advisory services to the Series. For the year ended November 30, 1996, the
Series' advisory fees were computed daily and paid monthly to the Advisor
based on an effective annual rate of 0.10 of 1%.
Certain officers of the Series are also officers, directors and
shareholders of the Advisor.
15
<PAGE>
D. PURCHASES AND SALES OF SECURITIES:
For the year ended November 30, 1996, the Series made the following
purchases and sales of investment securities (amounts in thousands):
Purchases ....................... $563,336
Sales .......................... 138,264
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):
Gross Unrealized Appreciation $154,809
Gross Unrealized Depreciation (7,938)
----------
Net ......................... $146,871
==========
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 between 25% and 33 1/3%
of its net assets as determined by its investment policies, up to a maximum
of $50 million per portfolio. 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 year ended November 30, 1996.
G. COMPONENTS OF NET ASSETS:
At November 30, 1996, net assets consisted of (amounts in thousands):
Paid-In Capital ................................ $788,054
Undistributed Net Investment Income ............ 528
Undistributed Net Realized Gain ................ 52,489
Unrealized Appreciation of Investment Securities 146,871
--------
$987,942
========
H. SECURITIES LENDING
Loans of domestic securities are required at all times to be secured by
collateral at least equal to 102% of the market value of the securities on
loan. However, in the event of default or bankruptcy by the other party to
the agreement, realization and/or retention of the collateral may be subject
to legal proceedings. In the event that the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is
insufficient to cover the value of loaned securities, and provided such
collateral insufficiency is not the result of investment losses, the lending
agent has agreed to pay the amount of the shortfall to the Series or, at the
option of the lending agent, replace the loaned securities. The market value
of securities on loan to brokers from the Series is $45,114,161 and the
related collateral cash received is $46,014,444 at November 30, 1996.
16
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Shareholders and Board of Trustees of
The DFA Investment Trust Company:
We have audited the accompanying statement of net assets of The DFA
Investment Trust Company, The U.S. Large Cap Value Series as of November 30,
1996, and the related statement of operations for the year then ended, 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 Trust'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, 1996, by correspondence with the
custodian. An audit also includes assessing the accounting principles used
and significant estimates made by management, as well as evaluating the
overall financial statement presentation. We believe that our audits provide
a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of The
DFA Investment Trust Company, The U.S. Large Cap Value Series, as of November
30, 1996, and the results of its operations for the year then ended, 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 17, 1997
17
