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===============================================================================
DIMENSIONAL INVESTMENT GROUP INC.
RWB/DFA Two-Year Corporate
Fixed Income Portfolio
ANNUAL REPORT
Period Ended November 30, 1996
===============================================================================
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DIMENSIONAL INVESTMENT GROUP INC.
RWB/DFA TWO-YEAR CORPORATE FIXED INCOME PORTFOLIO
ANNUAL REPORT
TABLE OF CONTENTS
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Page
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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 DFA Two-Year Corporate Fixed Income Series
Performance Chart ............................................................. 9
Statements of Net Assets ...................................................... 10
Statement of Operations ....................................................... 11
Statements 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
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DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHART
RWB/DFA Two-Year Corporate Fixed Income 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.
RWB/DFA Two-Year Merrill Lynch Governments,
Corporate Fixed U.S. Treasury, Short Term
Income Portfolio (1-2.99 Years)
---------------- ---------------------------
6/30/96 10000 10000
7/31/96 10040 10039
8/31/96 10090.2 10073.1326
9/30/96 10156.79532 10164.79811
10/31/96 10257.34759 10279.66033
11/30/96 10317.86594 10358.81371
Annualized From
Total Return(%) July 1996
- --------------------------------------------
3.18
* The portfolio invests in the DFA Two-Year Corporate Fixed Income 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 the U.S. government and
high-quality corporate 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 CORPORATE FIXED INCOME PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 1996
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
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ASSETS:
Investment in The DFA Two-Year Corporate Fixed Income Series of The DFA Investment
Trust Company (12,146,970 Shares Cost $121,632) at Value ............................ $ 122,786
Receivable for Fund Shares Sold ....................................................... 191
Prepaid Expenses and Other Assets ..................................................... 36
-----------
Total Assets ................................................................ 123,013
-----------
LIABILITIES:
Payable for Investment Securities Purchased ........................................... 191
Accrued Expenses ...................................................................... 15
-----------
Total Liabilities ........................................................... 206
-----------
Net Assets ............................................................................ $ 122,807
===========
SHARES OUTSTANDING, $.01 PAR VALUE (Authorized 100,000,000) ........................... 11,990,506
===========
Net Asset Value, Offering and Redemption Price Per Share .............................. $ 10.24
===========
NET ASSETS CONSIST OF:
Paid-In Capital ....................................................................... $ 120,074
Undistributed Net Investment Income. .................................................. 1,577
Undistributed Net Realized Gain ....................................................... 2
Unrealized Appreciation of Investment Securities ...................................... 1,154
-----------
Total Net Assets ............................................................ $ 122,807
===========
</TABLE>
See accompanying Notes to Financial Statements
2
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
RWB/DFA TWO-YEAR CORPORATE FIXED INCOME PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE PERIOD JUNE 7, 1996
(COMMENCEMENT OF OPERATIONS)
TO NOVEMBER 30, 1996
(AMOUNTS IN THOUSANDS)
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Investment Income
Income Distributions Received ......................................... $3,053
--------
Expenses
Administrative Services ............................................... 5
Accounting & Transfer Agent Fees ...................................... 10
Shareholder Services .................................................. 16
Legal Fees ............................................................ 4
Audit Fees ............................................................ 1
Filing Fees ........................................................... 6
Shareholders' Reports ................................................. 8
Directors' Fees and Expenses .......................................... 2
Organizational Fees ................................................... 3
Other ................................................................. 1
--------
Total Expenses ..................................................... 56
Less: Fees Waived and Expenses Reimbursed ............................. (16)
--------
Net Expenses ......................................................... 40
--------
Net Investment Income ................................................ 3,013
--------
Net Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain on Investment Securities .............................. 2
Change in Unrealized Appreciation (Depreciation) of Investment Securities 1,154
--------
Net Gain on Investment Securities .................................... 1,156
--------
Net Increase in Net Assets Resulting from Operations .................... $4,169
========
</TABLE>
See accompanying Notes to Financial Statements
3
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
RWB/DFA TWO-YEAR CORPORATE FIXED INCOME PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD JUNE 7, 1996
(COMMENCEMENT OF OPERATIONS)
TO NOVEMBER 30, 1996
(AMOUNTS IN THOUSANDS)
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Increase (Decrease) in Net Assets
Operations:
Net Investment Income ................................................ $ 3,013
Net Realized Gain on Investment Securities ........................... 2
Change in Unrealized Appreciation (Depreciation) of Investment
Securities ........................................................ 1,154
----------
Net Increase in Net Assets Resulting from Operations .............. 4,169
----------
Distributions From:
Net Investment Income ................................................ (1,436)
----------
Capital Share Transactions (1):
Shares Issued ........................................................ 131,129
Shares Issued in Lieu of Cash Distributions .......................... 25
Shares Redeemed ...................................................... (11,080)
----------
Net Increase From Capital Share Transactions ...................... 120,074
----------
Total Increase .................................................... 122,807
Net Assets
Beginning of Period .................................................. --
----------
End of Period ........................................................ $122,807
==========
(1) Shares Issued and Redeemed:
Shares Issued ..................................................... 13,082
Shares Issued in Lieu of Cash Distributions ....................... 2
Shares Redeemed ................................................... (1,093)
----------
11,991
==========
</TABLE>
See accompanying Notes to Financial Statements
4
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
RWB/DFA TWO-YEAR CORPORATE FIXED INCOME PORTFOLIO
FINANCIAL HIGHLIGHTS
FOR THE PERIOD JUNE 7, 1996
(COMMENCEMENT OF OPERATIONS)
TO NOVEMBER 30, 1996
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
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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) ....................................... 0.11
----------
Total from Investment Operations .................... 0.37
----------
Less Distributions
- ------------------
Net Investment Income ................................ (0.13
Net Asset Value, End of Period ....................... $ 10.24
==========
Total Return ........................................... 3.69%#
Net Assets, End of Period (thousands) .................. $122,807
Ratio of Expenses to Average Net Assets (1) ............ 0.31%*(a)(b)
Ratio of Net Investment Income to AverageNet Assets .... 5.72%*(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 0.34% and the ratio of net investment income to average
net assets for the period ended November 30, 1996 would have been 5.69%.
(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 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 RWB/DFA
Two-Year Corporate Fixed Income 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 Corporate
Fixed Income Series (the "Series"), a corresponding series of The DFA
Investment Trust Company. At November 30, 1996, The Portfolio owned 100% 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 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.
6
<PAGE>
Certain officers of the Portfolio are also officers, directors and
shareholders of the Advisor.
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:
Gross Unrealized Appreciation .................... $1,154
Gross Unrealized Depreciation .................... --
--------
Net ............................................. $1,154
========
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
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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 Corporate Fixed Income
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 Corporate Fixed Income
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 Corporate Fixed Income 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 Corporate Fixed U.S. Treasury, Short Term
Income Series (1-2.99 Years)"
---------------------------- -------------------------
6/30/96 10000 10000
7/31/96 10040 10039
8/31/96 10090.2 10073.1326
9/30/96 10160.8314 10164.79811
10/31/96 10261.42363 10279.66033
11/30/96 10325.04446 10358.81371
Annualized From
Total Return(%) July 1996
- ---------------------------------------------------------------------------
3.25
* 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 and high-quality corporate 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>
STATEMENT OF NET ASSETS
DFA TWO-YEAR CORPORATE FIXED INCOME SERIES
November 30, 1996
Face
Amount Value+
-------- --------------
(000)
BONDS -- (63.6%)
Albertson's, Inc. Medium Term Notes
5.650%, 03/26/98 ................. $3,300 $3,297,360
Anheuser-Busch Companies, Inc.
Corporate Bonds
7.500%, 12/01/97 ................. 2,800 2,849,386
Associates Corp. of North America
Corporate Bonds
7.300%, 03/15/98 ................. 2,500 2,547,993
Bayerische Landesbank U.S. Finance,
Inc. Medium Term Notes
6.250%, 07/01/98 ................. 3,000 3,025,605
Canada (Government of) Bonds
6.400%, 09/10/98 ................. 3,300 3,338,785
Chevron Canada Financial, Ltd.
Corporate Bonds
5.600%, 04/01/98 ................. 2,500 2,496,608
Coca Cola Company, Inc. Corporate
Bonds
7.875%, 09/15/98 ................. 2,625 2,716,216
Colgate-Palmolive Co. Medium Term
Notes
6.630%, 02/16/98 ................. 3,300 3,332,386
DuPont (E.I.) de Nemours & Co.
Corporate Bonds
8.650%, 12/01/97 ................. 2,500 2,571,818
FCC National Bank Medium Term Notes
6.144%, 10/30/98 .................. 3,000 3,010,242
Ford Motor Credit Co. Corporate
Bonds
9.250%, 06/15/98 ................. 3,000 3,150,657
General Electric Capital Corp.
Medium Term Notes
7.840%, 02/05/98 ................. 2,500 2,562,008
Interamerican Development Bank
Corporate Bonds
9.450%, 09/15/98 ................. 3,000 3,185,703
KFW International Finance, Inc.
Medium Term Notes
8.250%, 03/18/98 ................. 3,000 3,094,749
Lilly (Eli) & Company Medium Term
Notes
6.200%, 11/06/97 ................. 2,500 2,512,335
Morgan (J.P.) & Co. Corporate Bonds
6.362%, 08/05/98 ................. 3,000 3,027,312
National Rural Utilities Cooperative
Finance Corp. Medium Term Notes
6.875%, 06/15/98 ................. 3,000 3,049,113
Norwest Corp. Medium Term Notes
6.000%, 10/13/98 ................. 3,000 3,008,151
Ontario Hydro Medium Term Notes
5.800%, 03/31/98 ................. 1,575 1,576,257
Paccar Financial Corp. Medium Term
Notes
7.320%, 07/15/98 ................. 3,000 3,069,807
Pepsico, Inc. Corporate Bonds
6.125%, 01/15/98 ................. 2,500 2,511,785
10
<PAGE>
Face
Amount Value+
-------- --------------
(000)
Pitney Bowes Credit Medium Term
Notes
6.305%, 09/23/98 ................. $ 3,000 $ 3,024,384
Rockwell International Corp.
Corporate Bonds
7.625%, 02/17/98 ................. 2,500 2,556,655
Upjohn Co. Medium Term Notes
5.920%, 02/17/98 ................. 3,000 3,008,124
WMX Technologies, Inc. Medium Term
Notes
8.125%, 02/01/98 ................. 3,000 3,079,275
Wachovia Bank Medium Term Notes
5.375%, 04/15/98 ................. 3,000 2,984,976
Wal-Mart Stores, Inc. Corporate
Bonds
5.500%, 03/01/98 ................. 3,460 3,453,049
-----------
TOTAL BONDS (Cost $77,542,128) ..... 78,040,739
-----------
U.S. TREASURY OBLIGATIONS -- (26.3%)
U.S. Treasury Notes
8.125%, 02/15/98 ................. 7,000 7,207,813
6.125%, 03/31/98 ................. 20,000 20,153,125
5.125%, 03/31/98 ................. 5,000 4,976,563
-----------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $32,085,318) ................ 32,337,501
-----------
AGENCY OBLIGATIONS -- (5.7%)
Federal National Mortage Association
5.940%, 08/14/98 ................. 2,000 2,008,474
Student Loan Marketing Association
6.250%, 06/30/98 ................. 5,000 5,044,599
-----------
TOTAL AGENCY OBLIGATIONS (Cost
$6,985,723) ....................... 7,053,073
-----------
SUPRANATIONAL OBLIGATIONS -- (0.7%)
African Development Bank
(Cost $769,030)
10.000%, 11/01/97 ................ 745 773,729
-----------
TEMPORARY CASH INVESTMENTS -- (1.9%)
Repurchase Agreement, PNC
Securities Corp. 5.45%, 12/02/96
(Collateralized by U.S. Treasury
Bills 4.93%, 01/16/97)
(Cost $2,324,000) ................. 2,324 2,324,000
-----------
TOTAL INVESTMENTS -- (98.2%) (Cost
$119,706,199) ..................... 120,529,042
-----------
OTHER ASSETS AND LIABILITIES -- (1.8%)
Other Assets ....................... 2,281,810
Liabilities ........................ (24,534)
-----------
2,257,276
-----------
NET ASSETS -- (100.0%) Applicable to
12,146,971 Outstanding $.01 Par
Value Shares (Unlimited Number of
Shares Authorized) ................ $122,786,318
===========
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE ........ $ 10.11
===========
- ------
+See Note B to Financial Statements
See accompanying Notes to Financial Statements
11
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE DFA TWO-YEAR CORPORATE FIXED INCOME SERIES
STATEMENT OF OPERATIONS
FOR THE PERIOD JUNE 7, 1996
(COMMENCEMENT OF OPERATIONS)
TO NOVEMBER 30, 1996
(AMOUNTS IN THOUSANDS)
<TABLE>
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Investment Income
Interest .............................................................. $3,344
--------
Expenses
Investment Advisory Services .......................................... 86
Accounting & Transfer Agent Fees ...................................... 26
Custodian's Fee ....................................................... 7
Legal Fees ............................................................ 1
Audit Fees ............................................................ 2
Shareholders' Reports ................................................. 2
Trustees' Fees and Expenses ........................................... 1
Other ................................................................. 1
--------
Total Expenses ....................................................... 122
--------
Net Investment Income ................................................ 3,222
--------
Net Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain on Investment Securities .............................. 164
Change in Unrealized Appreciation (Depreciation) of Investment Securities 823
--------
Net Gain on Investment Securities ..................................... 987
--------
Net Increase in Net Assets Resulting from Operations .................... $4,209
========
</TABLE>
See accompanying Notes to Financial Statements
12
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE DFA TWO-YEAR CORPORATE FIXED INCOME 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>
Increase (Decrease) in Net Assets
<S> <C>
Operations:
Net Investment Income ................................................ $ 3,222
Net Realized Gain on Investment Securities ........................... 164
Change in Unrealized Appreciation (Depreciation) of Investment
Securities ........................................................ 823
----------
Net Increase in Net Assets Resulting from Operations .............. 4,209
----------
Distributions From:
Net Investment Income ................................................ (3,053)
----------
Capital Share Transactions (1):
Shares Issued ........................................................ 126,154
Shares Issued in Lieu of Cash Distributions .......................... 1,641
Shares Redeemed ...................................................... (6,165)
----------
Net Increase From Capital Share Transactions ...................... 121,630
----------
Total Increase ......................................................... 122,786
Net Assets
Beginning of Period .................................................. --
----------
End of Period ........................................................ $122,786
==========
(1) Shares Issued and Redeemed:
Shares Issued ........................................................ 12,591
Shares Issued in Lieu of Cash Distributions .......................... 163
Shares Redeemed ...................................................... (607)
----------
12,147
==========
</TABLE>
See accompanying Notes to Financial Statements
13
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE DFA TWO-YEAR CORPORATE FIXED INCOME SERIES
FINANCIAL HIGHLIGHTS
FOR THE PERIOD JUNE 7, 1996
(COMMENCEMENT OF OPERATIONS)
TO NOVEMBER 30, 1996
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
Net Asset Value, Beginning of Period ..................... $ 10.00
-----------
Income from Investment Operations
- ---------------------------------
Net Investment Income .................................. 0.28
Net Gains (Losses) on Securities (Realized and
Unrealized) ......................................... 0.09
-----------
Total from Investment Operations ......................... 0.37
-----------
Less Distributions
- ------------------
Net Investment Income .................................. (0.26)
-----------
Net Asset Value, End of Period ......................... $ 10.11
===========
Total Return ............................................. 3.76%#
Net Assets, End of Period (thousands) .................... $122,786
Ratio of Expenses to Average Net Assets .................. 0.23%*(a)
Ratio of Net Investment Income to Average Net Assets ..... 6.11%*(a)
Portfolio Turnover Rate .................................. 81.97%*
- ------
*Annualized
#Non-Annualized
(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
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 DFA Two-Year Corporate Fixed Income 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: It is the Series' intention 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 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.
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D. PURCHASES AND SALES OF SECURITIES:
For the period ended November 30, 1996, the Series made the following
purchases and sales of investment securities (amounts in thousands):
Other
U.S. Government Investment
Securities Securities
--------------- ------------
Purchases ............. $167,030 $78,373
Sales ................. 50,399 --
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 $823
Gross Unrealized Depreciation --
------
Net .......................... $823
======
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 ................................. $121,630
Undistributed Net Investment Income ............. 169
Undistributed Net Realized Gain ................. 164
Unrealized Appreciation of Investment Securities 823
----------
$122,786
==========
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REPORT OF INDEPENDENT ACCOUNTANTS
To the Shareholders 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 Corporate Fixed Income Series,
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 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 Corporate Fixed Income
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
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