<PAGE>
===============================================================================
DIMENSIONAL INVESTMENT GROUP INC.
RWB/DFA Two-Year
Government Portfolio
ANNUAL REPORT
Period Ended November 30, 1996
===============================================================================
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
RWB/DFA TWO-YEAR GOVERNMENT PORTFOLIO
ANNUAL REPORT
TABLE OF CONTENTS
<TABLE>
<CAPTION>
Page
-----
<S> <C>
Dimensional Investment Group Inc.
Performance Chart ................................................. 1
Statement of Assets and Liabilities ............................... 2
Statement of Operations ........................................... 3
Statement 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 DFA Two-Year Government Series
Performance Chart ................................................. 9
Statement of Net Assets ........................................... 10
Statement of Operations ........................................... 11
Statement of Changes in Net Assets ................................ 12
Financial Highlights .............................................. 13
Notes to Financial Statements ..................................... 14-15
Report of Independent Accountants ................................. 16
</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.
PERFORMANCE CHART
RWB/DFA Two-Year Government Portfolio vs.
Merrill Lynch Governments, U.S. Treasury, Short Term (1-2.99 Years)
July 1996-November 1996
The following reflects the growth of a $10,000 investment.
Merrill Lynch Governments,
RWB/DFA Two-Year U.S. Treasury, Short Term
Government Portfolio (1-2.99 Years)
-------------------- --------------------------
6/30/96 10000 10000
7/31/96 10040 10039
8/31/96 10070.12 10073.1326
9/30/96 10159.74407 10164.79811
10/31/96 10259.30956 10279.66033
11/30/96 10329.07286 10358.81371
Annualized From
Total Return(%) July 1996
- --------------------------------------------------------------------------------
3.29
* The portfolio invests in the DFA Two-Year Government Series of the DFA
Investment Trust Company, which in turn seeks to maximize expected returns
by shifting maturities based on changes in the yield curve. Using current
prices, the strategy creates a matrix of expected returns from different buy
and sell strategies and identifies the optimal maturity range for the
highest expected returns. Maturities are shifted if sufficient premiums can
be documented. Investments are made in U.S. government securities with a
maximum maturity of two years.
* This was a new portfolio and its year-to-date returns in fiscal 1996
reflected the performance of its strategy.
Past performance is not predictive of future performance.
Merrill-Lynch Governments, U.S. Treasury, Short-Term (1-2.99 Years) courtesy of
Merrill-Lynch.
1
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
RWB/DFA TWO-YEAR GOVERNMENT PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 1996
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<TABLE>
<CAPTION>
<S> <C>
ASSETS:
Investment in The DFA Two-Year Government Series of The DFA Investment Trust
Company (Cost $104,289) at Value ................................................. $ 104,646
Receivable for Fund Shares Sold ................................................... 56
Prepaid Expenses and Other Assets ................................................. 22
------------
Total Assets ............................................................ 104,724
------------
LIABILITIES:
Payable for Investment Securities Purchased ....................................... 39
Payable for Fund Shares Redeemed .................................................. 17
Accrued Expenses .................................................................. 24
Total Liabilities ....................................................... 80
-----------
Net Assets ........................................................................ $ 104,644
============
SHARES OUTSTANDING, $.01 PAR VALUE (Authorized 100,000,000) ....................... 10,227,279
============
Net Asset Value, Offering and Redemption Price Per Share .......................... $ 10.23
============
NET ASSETS CONSIST OF:
Paid-In Capital ................................................................... $ 102,400
Undistributed Net Investment Income ............................................... 1,383
Undistributed Net Realized Gain ................................................... 504
Unrealized Appreciation of Investment Securities .................................. 357
------------
Total Net Assets ........................................................ $ 104,644
============
</TABLE>
See accompanying Notes to Financial Statements
2
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
RWB/DFA TWO-YEAR GOVERNMENT PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE PERIOD JUNE 7, 1996
(COMMENCEMENT OF OPERATIONS)
TO NOVEMBER 30, 1996
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
<S> <C>
Investment Income
Net Investment Income from The DFA Investment Trust Company .......... $2,648
--------
Expenses
Administrative Services .............................................. 5
Accounting & Transfer Agent Fees ..................................... 19
Shareholder Services ................................................. 14
Legal Fees ........................................................... 9
Audit Fees ........................................................... 2
Filing Fees .......................................................... 12
Shareholders' Reports ................................................ 8
Directors' Fees and Expenses ......................................... 5
Other ................................................................ 2
Organizational Fees .................................................. 3
--------
Total Expenses ...................................................... 79
Less: Fees Waived and Expenses Reimbursed ............................ (14)
--------
Net Expenses ......................................................... 65
--------
Net Investment Income ................................................ 2,583
--------
Net Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain on Investment Securities ........................... 504
Change in Unrealized Appreciation (Depreciation) of Investment
Securities ........................................................ 357
--------
Net Gain on Investment Securities ...................................... 861
--------
Net Increase in Net Assets Resulting from Operations ................... $3,444
========
</TABLE>
See accompanying Notes to Financial Statements
3
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
RWB/DFA TWO-YEAR GOVERNMENT PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
FOR THE PERIOD JUNE 7, 1996
(COMMENCEMENT OF OPERATIONS)
TO NOVEMBER 30, 1996
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
<S> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ................................................ $ 2,583
Net Realized Gain on Investment Securities ........................... 504
Change in Unrealized Appreciation (Depreciation) of Investment
Securities ........................................................ 357
----------
Net Increase in Net Assets Resulting from Operations .................. 3,444
----------
Distributions From:
Net Investment Income ................................................ (1,200)
----------
Capital Share Transactions (1):
Shares Issued ........................................................ 114,883
Shares Issued in Lieu of Cash Distributions .......................... 3
Shares Redeemed ...................................................... (12,486)
----------
Net Increase From Capital Share Transactions ...................... 102,400
----------
Total Increase ......................................................... 104,644
Net Assets
Beginning of Period .................................................. --
----------
End of Period ........................................................ $104,644
==========
(1) Shares Issued and Redeemed:
Shares Issued ........................................................ 11,470
Shares Issued in Lieu of Cash Distributions .......................... --
Shares Redeemed ...................................................... (1,243)
----------
10,227
==========
</TABLE>
See accompanying Notes to Financial Statements
4
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
RWB/DFA TWO-YEAR GOVERNMENT PORTFOLIO
FINANCIAL HIGHLIGHTS
FOR THE PERIOD JUNE 7, 1996
(COMMENCEMENT OF OPERATIONS)
TO NOVEMBER 30, 1996
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
<S> <C>
Net Asset Value, Beginning of Period .................... $ 10.00
--------------
Income from Investment Operations
- ---------------------------------
Net Investment Income ................................. 0.26
Net Gains (Losses) on Securities (Realized and
Unrealized) ........................................ 0.10
--------------
Total from Investment Operations ....................... 0.36
--------------
Less Distributions
- ------------------
Net Investment Income ................................. (0.13)
--------------
Net Asset Value, End of Period .......................... $ 10.23
==============
Total Return ............................................ 3.60%#
Net Assets, End of Period (thousands) ................... $104,644
Ratio of Expenses to Average Net Assets (1) ............. 0.38%*(a)(b)
Ratio of Net Investment Income to Average Net Assets .... 5.81%*(a)(b)
Portfolio Turnover Rate ................................. 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 ratio of
expenses to average net assets for the period ended November 30, 1996
would have been 0.41% and the ratio of net investment income to average
net assets for the period ended November 30, 1996 would have been 5.78%.
(b) Because of commencement of operations and related preliminary transaction
costs, these ratios are not necessarily indicative of future ratios.
N/A Refer to the respective Master Fund Series.
See accompanying Notes to Financial Statements
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 Government Portfolio and RWB/DFA Two-Year Corporate Fixed
Income 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 RWB/DFA
Two-Year Government Portfolio (the "Portfolio") are presented herein; the
financial statements for the other Portfolios are presented elsewhere.
The Portfolio invests all of its assets in The DFA Two-Year Government
Series (the "Series"), a corresponding series of The DFA Investment Trust
Company. At November 30, 1996, 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 qualify as a
regulated investment company and distribute all of its taxable income.
Accordingly, no provision for Federal income tax is required in the financial
statements.
3. Other: Security transactions are accounted for on the date the
securities are purchased or sold. Costs used in determining realized gains
and losses on the sale of investment securities are those of specific
securities sold. Dividend income and distributions to shareholders are
recorded on the ex-dividend date. Expenses directly attributable to the
Portfolio or to the Series are directly charged. Common expenses are
allocated using methods determined by the Board of Directors.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. (the "Advisor") provides administrative
services to the Portfolio, including supervision of services provided by
others, providing information to the shareholders and to the Board of
Directors, and other administrative services. The Advisor provides investment
advisory services to the Series. For the period ended November 30, 1996, the
Portfolio's administrative fees were computed daily and paid monthly to the
Advisor based on an effective annual rate of 0.01 of 1%.
In addition, pursuant to a Client Service Agreement with Reinhardt Werba
Bowen Advisory Services ("RWBAS"), the Portfolio pays to RWBAS a fee at the
effective annual rate of .03% of its average daily net assets. RWBAS has
agreed to waive this fee through December 31, 1996.
Certain officers of the Portfolio are also officers, directors and
shareholders of the Advisor.
6
<PAGE>
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:
<TABLE>
<CAPTION>
<S> <C>
Gross Unrealized Appreciation $357
Gross Unrealized Depreciation --
------
Net ......................... $357
======
</TABLE>
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., RWB/DFA Two-Year Government Portfolio, as
of November 30, 1996, and the related statements of operations, changes in
net assets and financial highlights for the period June 7, 1996 (commencement
of operations) to November 30, 1996. 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 audit.
We conducted our audit 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 audit provides
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., RWB/DFA Two-Year Government Portfolio, as
of November 30, 1996, and the results of its operations, changes in its net
assets and its financial highlights for the period June 7, 1996 (commencement
of operations) to November 30, 1996, 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
DFA Two-Year Government Series vs.
Merrill Lynch Governments, U.S. Treasury, Short Term (1-2.99 Years)
July 1996-November 1996
The following reflects the growth of a $10,000 investment.
Merrill Lynch Governments,
DFA Two-Year U.S. Treasury, Short Term
Government Series (1-2.99 Years)
-------------------- --------------------------
6/30/96 10000 10000
7/31/96 10050 10039
8/31/96 10080.15 10073.1326
9/30/96 10157.76716 10164.79811
10/31/96 10258.32905 10279.66033
11/30/96 10329.11152 10358.81371
Annualized From
Total Return(%) July 1996
- ---------------------------------------------------------------------------
3.29
* The portfolio seeks to maximize expected returns by shifting maturities based
on changes in the yield curve. Using current prices, the strategy creates a
matrix of expected returns from different buy and sell strategies and
identifies the optimal maturity range for the highest expected returns.
Maturities are shifted if sufficient premiums can be documented. Investments
are made in U.S. government securities with a maximum maturity of two years.
* This was a new portfolio and its year-to-date returns in fiscal 1996
reflected the performance of its strategy.
Past performance is not predictive of future performance.
Merrill-Lynch Governments, U.S. Treasury, Short-Term (1-2.99 Years) courtesy of
Merrill-Lynch.
9
<PAGE>
THE DFA TWO-YEAR GOVERNMENT SERIES
STATEMENT OF NET ASSETS
NOVEMBER 30, 1996
<TABLE>
<CAPTION>
Face
Amount Value+
-------- -------------
(000)
<S> <C> <C>
U.S. TREASURY OBLIGATIONS -- (97.5%)
U.S. Treasury Notes .....................................
5.125%, 02/28/98 ....................................... $ 5,000 $ 4,975,000
6.125%, 03/31/98 ....................................... 3,000 3,022,969
6.000%, 09/30/98 ....................................... 40,000 40,287,555
5.875%, 10/31/98 ....................................... 30,800 30,949,188
5.500%, 11/15/98 ....................................... 22,800 22,753,688
-------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $101,631,285) .................................... 101,988,400
-------------
TEMPORARY CASH INVESTMENTS -- (1.8%)
Repurchase Agreement, PNC Securities Corp. 5.45%,
12/02/96 (Collateralized by U.S. Treasury Bills 4.93%,
01/16/97)
(Cost $1,914,000) ...................................... 1,914 1,914,000
-------------
TOTAL INVESTMENTS -- (99.3%) (Cost $103,545,285) ........ 103,902,400
-------------
OTHER ASSETS AND LIABILITIES -- (0.7%)
Other Assets .......................................... 766,136
Liabilities ........................................... (21,286)
-------------
744,850
-------------
NET ASSETS -- (100.0%) .................................. $104,647,250
=============
</TABLE>
- ------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements
10
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE DFA TWO-YEAR GOVERNMENT SERIES
STATEMENT OF OPERATIONS
FOR THE PERIOD JUNE 7, 1996
(COMMENCEMENT OF OPERATIONS)
TO NOVEMBER 30, 1996
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
<S> <C>
Investment Income
Interest ............................................................... $2,752
-------
Expenses
Investment Advisory Services .......................................... 69
Accounting & Transfer Agent Fees ...................................... 23
Custodian's Fee ....................................................... 6
Legal Fees ............................................................ 1
Audit Fees ............................................................ 2
Shareholders' Reports ................................................. 1
Trustees' Fees and Expenses ........................................... 1
Other ................................................................. 1
--------
Total Expenses ....................................................... 104
--------
Net Investment Income ................................................. 2,648
--------
Net Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain on Investment Securities ............................ 504
Change in Unrealized Appreciation (Depreciation) of Investment
Securities ......................................................... 357
--------
Net Gain on Investment Securities ....................................... 861
--------
Net Increase in Net Assets Resulting from Operations .................... $3,509
========
</TABLE>
See accompanying Notes to Financial Statements
11
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE DFA TWO-YEAR GOVERNMENT SERIES
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD JUNE 7, 1996
(COMMENCEMENT OF OPERATIONS)
TO NOVEMBER 30, 1996
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
<S> <C>
Investment Income
Operations:
Net Investment Income ................................................. $ 2,648
Net Realized Gain on Investment Securities ............................ 504
Change in Unrealized Appreciation (Depreciation) of Investment
Securities ......................................................... 357
----------
Net Increase in Net Assets Resulting from Operations ............... 3,509
----------
Transactions in Interest:
Contributions ......................................................... 109,613
Withdrawals ........................................................... (8,475)
----------
Net Increase from Transactions in Interest ......................... 101,138
----------
Total Increase ..................................................... 104,647
Net Assets
Beginning of Period ................................................... --
----------
End of Period ......................................................... $104,647
==========
</TABLE>
See accompanying Notes to Financial Statements
12
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE DFA TWO-YEAR GOVERNMENT SERIES
FINANCIAL HIGHLIGHTS
FOR THE PERIOD JUNE 7, 1996
(COMMENCEMENT OF OPERATIONS)
TO NOVEMBER 30, 1996
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
<S> <C>
Net Asset Value, Beginning of Period ........................ $ N/A+
-------------
Income from Investment Operations
- ---------------------------------
Net Investment Income ..................................... --
Net Gains (Losses) on Securities (Realized and Unrealized) --
-------------
Total from Investment Operations ....................... --
-------------
Less Distributions
- ------------------
Net Investment Income ..................................... --
Net Realized Gains ........................................ --
-------------
Total Distributions .................................... --
-------------
Net Asset Value, End of Period .............................. $ N/A+
-------------
Total Return ................................................ N/A+
Net Assets, End of Period (thousands) ....................... $104,647
Ratio of Expenses to Average Net Assets ..................... 0.23%*(a)
Ratio of Net Investment Income to Average Net Assets ........ 5.95%*(a)
Portfolio Turnover Rate ..................................... 200.59%*
</TABLE>
- ------
*Annualized
+ Not applicable as The DFA Two-Year Government Series is organized as a
partnership
(a) Because of commencement of operations and related preliminary transaction
costs, these ratios are not necessarily indicative of future ratios.
See accompanying Notes to Financial Statements
13
<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 DFA Two-Year Government 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 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 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 period ended November 30, 1996, the
Series' advisory fees were computed daily and paid monthly to the Advisor
based on an effective annual rate of 0.15 of 1%.
Certain officers of the Series are also officers, directors and
shareholders of the Advisor.
14
<PAGE>
D. PURCHASES AND SALES OF SECURITIES:
For the period ended November 30, 1996, the Series made the following
purchases and sales of U.S. Government securities (amounts in thousands):
<TABLE>
<CAPTION>
<S> <C>
Purchases ....................................................... $193,216
Sales ........................................................... 92,635
</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>
<CAPTION>
<S> <C>
Gross Unrealized Appreciation ................................... $357
Gross Unrealized Depreciation ................................... --
------
Net ............................................................. $357
======
</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 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.
15
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Partners and Board of Trustees of
The DFA Investment Trust Company:
We have audited the accompanying statement of assets and liabilities of The
DFA Investment Trust Company, The DFA Two-Year Government Series, as of
November 30, 1996, and the related statement of operations, changes in net
assets and financial highlights for the period June 7, 1996 (commencement of
operations) to November 30, 1996. 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 audit.
We conducted our audit 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 audit provides
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
The DFA Investment Trust Company, The DFA Two-Year Government Series, as of
November 30, 1996, and the results of its operations, changes in its net
assets and its financial highlights for the period June 7, 1996 (commencement
of operations) to November 30, 1996, in conformity with generally accepted
accounting principles.
COOPERS & LYBRAND L.L.P.
2400 Eleven Penn Center
Philadelphia, Pennsylvania
January 17, 1997
16
