<PAGE>
- --------------------------------------------------------------------------------
Dimensional Investment Group Inc.
U.S. Large Cap Value Portfolio III
Semi-Annual
Report
Six Months Ended May 31, 1997
(Unaudited)
-------------------------------------
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO III
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
---------
<S> <C>
DIMENSIONAL INVESTMENT GROUP INC.
Statement of Assets and Liabilities.............................................................................. 1
Statement of Operations.......................................................................................... 2
Statements of Changes in Net Assets.............................................................................. 3
Financial Highlights............................................................................................. 4
Notes to Financial Statements.................................................................................... 5-6
THE DFA INVESTMENT TRUST COMPANY -- THE U.S. LARGE CAP VALUE SERIES
Statement of Net Assets.......................................................................................... 7
Statement of Operations.......................................................................................... 9
Statements of Changes in Net Assets.............................................................................. 10
Financial Highlights............................................................................................. 11
Notes to Financial Statements.................................................................................... 12-13
</TABLE>
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO III
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 1997
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<TABLE>
<S> <C>
ASSETS:
Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company
(26,686,412 Shares, Cost $340,057)++ at Value................................... $ 433,415
Receivable for Investment Securities Sold......................................... 244
Prepaid Expenses and Other Assets................................................. 55
------------
Total Assets................................................................ 433,714
------------
LIABILITIES:
Payable for Fund Shares Redeemed.................................................. 183
Payables for Investment Securities Purchased...................................... 61
Accrued Expenses.................................................................. 22
------------
Total Liabilities........................................................... 266
------------
NET ASSETS.......................................................................... $ 433,448
------------
------------
SHARES OUTSTANDING, $.01 PAR VALUE (Authorized 100,000,000)......................... 25,684,161
------------
------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............................ $ 16.88
------------
------------
NET ASSETS CONSIST OF:
Paid-In Capital................................................................. $ 322,778
Undistributed Net Investment Income............................................. 1,221
Undistributed Net Realized Gain................................................. 16,091
Unrealized Appreciation of Investment Securities................................ 93,358
------------
Total Net Assets............................................................ $ 433,448
------------
------------
</TABLE>
++ The cost for federal income tax purposes is $340,637.
See accompanying Notes to Financial Statements
1
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO III
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1997
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<S> <C>
INVESTMENT INCOME
Income Distributions Received....................................................... $ 2,226
---------
EXPENSES
Administrative Services............................................................. 20
Accounting & Transfer Agent Fees.................................................... 10
Legal Fees.......................................................................... 3
Audit Fees.......................................................................... 1
Filing Fees......................................................................... 54
Shareholders' Reports............................................................... 14
Directors' Fees and Expenses........................................................ 2
Organization Costs.................................................................. 3
Other............................................................................... 1
---------
Total Expenses.................................................................. 108
---------
NET INVESTMENT INCOME............................................................... 2,118
---------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Capital Gain Distributions Received..................................................... 20,021
Net Realized Loss on Investment Securities.............................................. (256)
Change in Unrealized Appreciation (Depreciation) of Investment Securities............... 21,005
---------
NET GAIN ON INVESTMENT SECURITIES................................................... 40,770
---------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.................................... $ 42,888
---------
---------
</TABLE>
See accompanying Notes to Financial Statements
2
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO III
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
YEAR
SIX MONTHS ENDED
ENDED MAY NOV. 30,
31, 1997 1996
----------- ---------
(UNAUDITED)
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income................................................... $ 2,118 $ 6,373
Capital Gain Distributions Received..................................... 20,021 3,517
Net Realized Loss on Investment Securities.............................. (256) (270)
Change in Unrealized Appreciation (Depreciation) of Investment
Securities............................................................ 21,005 48,510
----------- ---------
Net Increase in Net Assets Resulting from Operations................ 42,888 58,130
----------- ---------
Distributions From:
Net Investment Income................................................... (6,889) (389)
Net Realized Gains...................................................... (6,872) (21)
----------- ---------
Total Distributions..................................................... (13,761) (410)
----------- ---------
Capital Share Transactions (1):
Shares Issued........................................................... 39,493 206,348
Shares Issued in Lieu of Cash Distributions............................. 8,207 189
Shares Redeemed......................................................... (23,353) (19,326)
----------- ---------
Net Increase From Capital Share Transactions........................ 24,347 187,211
----------- ---------
Total Increase...................................................... 53,474 244,931
NET ASSETS
Beginning of Period..................................................... 379,974 135,043
----------- ---------
End of Period........................................................... $ 433,448 $ 379,974
----------- ---------
----------- ---------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................................................... 2,528 15,014
Shares Issued in Lieu of Cash Distributions............................. 541 15
Shares Redeemed......................................................... (1,493) (1,374)
----------- ---------
1,576 13,655
----------- ---------
----------- ---------
</TABLE>
See accompanying Notes to Financial Statements
3
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO III
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
YEAR FEB. 3
SIX MONTHS ENDED TO
ENDED MAY NOV. 30, NOV. 30,
31, 1997 1996 1995
----------- --------- ---------
(UNAUDITED)
<S> <C> <C> <C>
Net Asset Value, Beginning of Period...................... $ 15.76 $ 12.92 $ 10.00
----------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income................................... 0.09 0.28 0.23
Net Gains (Losses) on Securities (Realized and
Unrealized)........................................... 1.61 2.60 3.09
----------- --------- ---------
Total from Investment Operations........................ 1.70 2.88 3.32
----------- --------- ---------
LESS DISTRIBUTIONS
Net Investment Income................................... (0.29) (0.04) (0.23)
Net Realized Gains...................................... (0.29) -- (0.17)
----------- --------- ---------
Total Distributions..................................... (0.58) (0.04) (0.40)
----------- --------- ---------
Net Asset Value, End of Period............................ $ 16.88 $ 15.76 $ 12.92
----------- --------- ---------
----------- --------- ---------
Total Return.............................................. 11.14%# 22.34% 33.27%#
Net Assets, End of Period (thousands)..................... $ 433,448 $ 379,974 $ 135,043
Ratio of Expenses to Average Net Assets (1)............... 0.23%* 0.26% 0.31%*
Ratio of Net Investment Income to Average Net Assets...... 1.08%* 2.29% 2.82%*
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.
N/A Refer to the respective Master Fund Series.
See accompanying Notes to Financial Statements
4
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (The "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund currently offers eleven portfolios, of
which U.S. Large Cap Value Portfolio III (the "Portfolio") is presented in this
report.
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
May 31, 1997, the Portfolio owned 35% 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.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("DFA") (the "Advisor") provides
administrative services to the Portfolio, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors, and other administrative services. The Advisor provides investment
advisory services to the Series. For the six months ended May 31, 1997, the
Portfolio's administrative fees were computed daily and paid monthly to the
Advisor based on an effective annual rate of 0.01 of 1%.
Certain officers of the Portfolio are also officers, directors and
shareholders of the Advisor.
D. INVESTMENTS:
At May 31, 1997, gross unrealized appreciation and depreciation for
financial reporting purposes of investment securities was as follows (amounts in
thousands):
<TABLE>
<S> <C>
Gross Unrealized Appreciation........................... $ 93,358
Gross Unrealized Depreciation........................... --
---------
Net..................................................... $ 93,358
---------
---------
</TABLE>
5
<PAGE>
E. LINE OF CREDIT
In July, 1996, the Fund, together with other DFA-advised portfolios, entered
into a $50 million unsecured line of credit with its domestic custodian bank.
Each portfolio is permitted to borrow, subject to its investment limitations, up
to a maximum of $50 million. Borrowings under the line are charged interest at
the current overnight federal funds rate plus a variable rate determined at the
date of borrowing. Each portfolio is individually, and not jointly liable for
its particular advances under the line. There is no commitment fee on the unused
portion of the line of credit. There were no borrowings under the line of credit
by the Portfolio during the six months ended May 31, 1997.
6
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
STATEMENT OF NET ASSETS
MAY 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
COMMON STOCKS -- (97.0%)
#AK Steel Holding Corp............................... 78,400 $ 3,047,800
*AMR Corp............................................ 226,500 22,508,437
#Advanta Corp. Class A............................... 36,800 1,083,300
Advanta Corp. Class B Non-Voting..................... 74,000 2,058,125
Aetna, Inc........................................... 199,726 20,172,326
Ahmanson (H.F.) & Co................................. 237,800 9,690,350
Albemarle Corp....................................... 97,500 1,828,125
Alexander & Baldwin, Inc............................. 109,700 2,968,756
Alleghany Corp....................................... 8,432 1,798,124
*Alumax, Inc......................................... 138,500 5,349,562
Ambac, Inc........................................... 47,400 3,555,000
*Amdahl Corp......................................... 296,733 2,967,330
Amerada Hess Corp.................................... 163,800 8,763,300
American General Corp................................ 326,500 14,447,625
*American Greetings Corp. Class A.................... 19,400 665,662
American National Insurance Co....................... 18,300 1,509,750
*Apple Computer, Inc................................. 319,800 5,336,662
*Archer-Daniels Midland Co........................... 983,500 19,670,000
Argonaut Group, Inc.................................. 32,100 934,912
Asarco, Inc.......................................... 104,900 3,265,012
Avnet, Inc........................................... 50,600 3,187,800
BHC Communications, Inc. Class A..................... 7,100 777,450
Ball Corp............................................ 112,500 3,276,562
#Bankers Trust New York Corp......................... 101,900 8,623,287
Bear Stearns Companies, Inc.......................... 190,337 6,185,952
Berkley (W.R.) Corp.................................. 18,200 940,712
*Bethlehem Steel Corp................................ 275,500 2,755,000
*Beverly Enterprises................................. 231,100 3,264,287
Black & Decker Corp.................................. 222,800 7,742,300
Block Drug Co., Inc. Class A......................... 15,927 702,779
Boise Cascade Corp................................... 121,100 4,601,800
Borg Warner Automotive, Inc.......................... 46,300 2,257,125
*#Boston Chicken, Inc................................ 158,300 2,859,294
#Bowater, Inc........................................ 52,600 2,597,125
*Brinker International, Inc.......................... 194,900 2,704,237
*Burlington Industries, Inc.......................... 96,800 1,064,800
Burlington Northern Santa Fe Corp.................... 220,200 18,276,600
CIGNA Corp........................................... 84,608 14,700,640
*CNA Financial Corp.................................. 92,300 9,449,212
CNF Transportation, Inc.............................. 17,800 574,050
CSX Corp............................................. 365,200 19,355,600
Caliber Systems, Inc................................. 64,500 2,064,000
Centex Corp.......................................... 38,400 1,531,200
Century Telephone Enterprises, Inc................... 75,600 2,286,900
Champion International Corp.......................... 182,000 8,986,250
Chesapeake Corp...................................... 15,100 505,850
Chiquita Brands International, Inc................... 109,200 1,678,950
*Chris-Craft Industries, Inc......................... 66,804 2,855,871
Chrysler Corp........................................ 1,858,726 59,014,550
Cincinnati Financial Corp............................ 89,560 7,002,472
Citizens Corp........................................ 14,000 355,250
Coca-Cola Enterprises, Inc........................... 558,900 11,806,762
Comdicso, Inc........................................ 68,800 2,537,000
Commerce Bancshares, Inc............................. 50,740 2,200,847
Commerce Group, Inc.................................. 49,600 1,116,000
Comsat Corp. Series 1................................ 86,100 1,937,250
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Consolidated Freightways Corp....................... 50,450 $ 621,166
Coors (Adolph) Co. Class B........................... 80,500 1,962,187
Countrywide Credit Industries, Inc................... 258,600 6,949,875
Cummins Engine Co., Inc.............................. 55,200 3,519,000
#Cyprus Amax Minerals Co., Inc....................... 238,900 5,823,187
*DSC Communications Corp............................. 2,900 74,131
*Darden Restaurants, Inc............................. 118,500 992,437
*Digital Equipment Corp.............................. 464,300 16,656,762
Dillards, Inc. Class A............................... 246,700 8,326,125
*Dime Bancorp, Inc................................... 140,300 2,385,100
Donaldson, Lufkin & Jenrette, Inc.................... 88,500 4,657,313
Enserch Corp......................................... 92,800 1,983,600
*#Enserch Exploration, Inc........................... 295,000 3,208,125
Equitable Companies, Inc............................. 150,100 4,728,150
Equitable of Iowa Companies.......................... 18,100 1,002,288
*#Federated Department Stores, Inc................... 444,300 16,439,100
Fina, Inc. Class A................................... 35,200 2,321,000
#Financial Security Assurance Holdings, Ltd.......... 30,300 1,094,588
Finova Group, Inc.................................... 36,600 2,726,700
First Citizens Bancshares, Inc. NC................... 3,700 316,350
First Hawaiian, Inc.................................. 44,100 1,562,794
Florida East Coast Industries, Inc................... 11,400 1,234,050
Ford Motor Co........................................ 2,278,000 85,425,000
GATX Corp............................................ 28,200 1,600,350
General Motors Corp.................................. 1,421,400 81,375,150
General Motors Corp. Class H......................... 182,646 10,068,361
Georgia-Pacific Corp................................. 164,900 14,552,425
Golden West Financial Corp........................... 90,800 6,151,700
*Grand Casinos, Inc.................................. 4,000 51,500
Great Atlantic & Pacific Tea Co., Inc................ 69,700 1,925,463
Great Western Financial Corp......................... 217,800 10,563,300
Greenpoint Financial Corp............................ 71,600 4,331,800
*HFS, Inc............................................ 54,450 2,933,494
#Heilig-Meyers Co.................................... 159,100 2,625,150
Hollinger International, Inc. Class A................ 98,000 1,090,250
IVAX Corp............................................ 69,500 747,125
Inland Steel Industries, Inc......................... 124,600 3,068,275
International Paper Co............................... 677,200 32,505,600
*International Speciality Products, Inc.............. 252,000 3,433,500
#James River Corp. of Virginia....................... 126,200 4,432,775
*#K Mart Corp........................................ 1,187,400 16,623,600
*#Kaiser Aluminum Corp............................... 90,700 1,043,050
LTV Corp............................................. 225,900 3,162,600
#Lafarge Corp........................................ 136,700 3,383,325
Lehman Brothers Holdings, Inc........................ 297,600 12,015,600
Lennar Corp.......................................... 60,000 1,575,000
Liberty Corp......................................... 28,900 1,148,775
Liberty Financial Companies, Inc..................... 81,000 3,634,875
Lincoln National Corp................................ 156,950 9,554,331
Loews Corp........................................... 184,900 17,981,525
Longs Drug Stores Corp............................... 28,000 665,000
Longview Fibre Co.................................... 43,100 727,313
Louisiana-Pacific Corp............................... 196,400 3,829,800
MBIA, Inc............................................ 58,300 6,259,963
MCI Communications Corp.............................. 23,400 899,438
</TABLE>
7
<PAGE>
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Mead Corp............................................ 140,500 8,956,875
Mercantile Stores Co., Inc........................... 70,012 $ 3,763,145
Mitchell Energy & Development Corp. Class A.......... 31,500 696,938
Mitchell Energy & Development Corp. Class B.......... 37,200 832,350
#Morgan (J.P.) & Co., Inc............................ 94,300 10,137,250
*Navistar International Corp......................... 221,900 3,689,088
*Nextel Communications Corp. Class A................. 470,800 6,914,875
Norfolk Southern Corp................................ 158,500 15,394,313
*Novell, Inc......................................... 434,600 3,429,266
Occidental Petroleum Corp............................ 529,900 12,320,175
*Officemax, Inc...................................... 367,200 5,094,900
Ogden Corp........................................... 151,696 2,958,072
Ohio Casualty Corp................................... 47,800 1,971,750
Old Republic International Corp...................... 181,250 5,460,156
Overseas Shipholding Group, Inc...................... 26,400 498,300
Pacific Century Financial Corp....................... 55,800 2,566,800
*Pacificare Health Systems, Inc. Class B............. 7,356 582,503
Paine Webber Group, Inc.............................. 76,300 2,708,650
Paul Revere Corp..................................... 62,000 2,650,500
Penney (J.C.) Co., Inc............................... 6,000 309,000
Phelps Dodge Corp.................................... 92,100 7,701,863
Potlatch Corp........................................ 94,600 4,055,975
Providian Corp....................................... 311,600 18,657,050
*Pulte Corp.......................................... 35,700 1,129,013
RJR Nabisco Holdings Corp............................ 488,080 15,801,590
Rayonier, Inc........................................ 83,000 3,558,625
Republic New York Corp............................... 64,900 6,473,775
Reynolds Metals Co................................... 98,200 6,665,325
*Russell Corp........................................ 17,200 526,750
Ryder System, Inc.................................... 195,800 6,485,875
Safeco Corp.......................................... 279,200 12,127,750
Saint Paul Companies, Inc............................ 213,400 15,284,775
Salomon, Inc......................................... 284,800 15,272,400
#Sensormatic Electronics Corp........................ 170,400 2,662,500
Signet Banking Corp.................................. 113,000 3,714,875
*Silicon Graphics, Inc............................... 162,000 3,057,750
*Smiths Food & Drug Centers, Inc. Class B............ 7,469 352,910
Southern New England Telecommunications Corp......... 42,800 1,669,200
*Springs Industries, Inc. Class A.................... 27,300 1,382,063
*St. Joe Corp........................................ 35,000 2,878,750
Stone Container Corp................................. 237,400 3,264,250
Sun Co., Inc......................................... 14,080 420,640
TIG Holdings, Inc.................................... 75,300 2,033,100
*Tandem Computers, Inc............................... 287,300 4,094,025
Tecumseh Products Co. Class A........................ 20,300 1,144,413
Tecumseh Products Co. Class B........................ 5,700 302,813
Telephone & Data Systems, Inc........................ 152,900 5,934,431
Temple-Inland, Inc................................... 138,200 8,361,100
Tenneco, Inc......................................... 398,200 17,819,450
Terra Industries, Inc................................ 146,400 1,848,300
Timken Co............................................ 46,400 3,184,200
Transamerica Corp.................................... 136,400 12,395,350
Tyson Foods, Inc. Class A............................ 207,750 4,245,891
UMB Financial Corp................................... 28,381 1,144,109
USF&G Corp........................................... 236,900 5,093,350
USLIFE Corp.......................................... 72,100 3,514,875
USX-Marathon Group, Inc.............................. 398,250 11,847,938
USX-US Steel Group................................... 264,400 8,526,900
Union Camp Corp...................................... 142,600 7,486,500
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Union Pacific Corp................................... 273,200 $ 18,509,300
Unionbancal Corp..................................... 53,200 3,524,500
*Unisys Corp......................................... 218,000 1,498,750
*United States Cellular Corp......................... 79,800 2,194,500
Unitrin, Inc......................................... 111,900 6,119,531
Valero Energy Corp................................... 81,100 2,899,325
Valhi, Inc........................................... 80,100 660,825
*Value Health, Inc................................... 82,700 1,674,675
*Viacom, Inc. Class A................................ 87,000 2,620,875
*Viacom, Inc. Class B................................ 505,000 14,992,188
*Vishay Intertechnology, Inc......................... 85,680 2,516,850
*Waban, Inc.......................................... 700 21,263
Washington Mutual, Inc............................... 900 50,006
*Weis Markets, Inc................................... 7,600 223,250
Wellman, Inc......................................... 44,600 797,225
Wesco Financial Corp................................. 8,500 2,256,750
Westinghouse Electric Corp........................... 92,500 1,873,125
Westvaco Corp........................................ 147,650 4,614,063
Weyerhaeuser Co...................................... 124,000 6,184,500
*Wheelabrator Technologies, Inc...................... 88,100 1,134,288
Whirlpool Corp....................................... 56,100 2,797,988
Zurich Reinsurance Centre Holdings, Inc.............. 74,700 2,903,963
------------
TOTAL COMMON STOCKS
(Cost $975,499,191).................................. 1,194,488,458
------------
PREFERRED STOCKS -- (0.0%)
*Pacificare Health Systems, Inc. 5% Cumulative,
Convertible, Redeemable Class A (Cost $185,737).... 2,340 174,915
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (2.8%)
Repurchase Agreement, PNC Capital Markets Inc. 5.25%,
06/02/97 (Collateralized by U.S. Treasury Notes
6.00%, 08/15/99) (Cost $34,280,000)................ $ 34,280 34,280,000
------------
TOTAL INVESTMENTS -- (99.8%)
(Cost $1,009,964,928)++.............................. 1,228,943,373
------------
OTHER ASSETS AND LIABILITIES -- (0.2%)
Other Assets......................................... 8,730,293
Payable for Investment Securities Purchased.......... (5,678,989)
Other Liabilities.................................... (200,612)
------------
2,850,692
------------
NET ASSETS -- (100.0%) Applicable to 75,844,396
Outstanding $.01 Par Value Shares (Unlimited Number
of Shares Authorized)................................ $1,231,794,065
------------
------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE................................................ $ 16.24
------------
------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
8
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1997
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<S> <C>
INVESTMENT INCOME
Dividends.......................................................................... $ 12,165
Interest........................................................................... 323
Income From Securities Lending..................................................... 49
---------
Total Investment Income........................................................ 12,537
---------
EXPENSES
Investment Advisory Services....................................................... 537
Accounting & Transfer Agent Fees................................................... 292
Custodian's Fee.................................................................... 97
Legal Fees......................................................................... 10
Audit Fees......................................................................... 11
Shareholders' Reports.............................................................. 13
Trustees' Fees and Expenses........................................................ 3
Other.............................................................................. 13
---------
Total Expenses................................................................. 976
---------
NET INVESTMENT INCOME.............................................................. 11,561
---------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Gain on Investment Securities......................................... 35,763
Change in Unrealized Appreciation (Depreciation) of Investment Securities.......... 72,107
---------
NET GAIN ON INVESTMENT SECURITIES.................................................. 107,870
---------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................................... $ 119,431
---------
---------
</TABLE>
See accompanying Notes to Financial Statements
9
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
SIX MONTHS YEAR
ENDED MAY ENDED
31, NOV. 30,
1997 1996
----------- ---------
(UNAUDITED)
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income.................................................. $ 11,561 $ 16,593
Net Realized Gain on Investment Securities............................. 35,763 52,525
Change in Unrealized Appreciation (Depreciation) of Investment
Securities........................................................... 72,107 82,209
----------- ---------
Net Increase in Net Assets Resulting from Operations............... 119,431 151,327
----------- ---------
Distributions From:
Net Investment Income.................................................. (6,025) (16,140)
Net Realized Gains..................................................... (52,566) (11,101)
----------- ---------
Total Distributions................................................ (58,591) (27,561)
----------- ---------
Capital Share Transactions (1):
Shares Issued.......................................................... 160,020 470,093
Shares Issued in Lieu of Cash Distributions............................ 49,196 25,800
Shares Redeemed........................................................ (26,204) (54,744)
----------- ---------
Net Increase From Capital Share Transactions....................... 183,012 441,149
----------- ---------
Total Increase..................................................... 243,852 564,915
NET ASSETS
Beginning of Period.................................................... 987,942 423,027
----------- ---------
End of Period.......................................................... $ 1,231,794 $ 987,942
----------- ---------
----------- ---------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.......................................................... 10,556 33,894
Shares Issued in Lieu of Cash Distributions............................ 3,346 1,923
Shares Redeemed........................................................ (1,725) (3,976)
----------- ---------
12,177 31,841
----------- ---------
----------- ---------
</TABLE>
See accompanying Notes to Financial Statements
10
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout each period)
<TABLE>
<CAPTION>
SIX MONTHS YEAR YEAR YEAR
ENDED MAY ENDED ENDED ENDED FEB. 19
31, NOV. 30, NOV. 30, NOV. 30, TO NOV.
1997 1996 1995 1994 30, 1993
----------- -------- -------- -------- --------
(UNAUDITED)
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period........................... $ 15.52 $ 13.29 $ 9.92 $ 10.59 $ 10.00
----------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income............ 0.16 0.31 0.32 0.33 0.20
Net Gains (Losses) on Securities
(Realized and Unrealized)...... 1.47 2.57 3.53 (0.65) 0.58
----------- -------- -------- -------- --------
Total from Investment Operations... 1.63 2.88 3.85 (0.32) 0.78
----------- -------- -------- -------- --------
LESS DISTRIBUTIONS
Net Investment Income............ (0.09) (0.31) (0.31) (0.35) (0.18)
Net Realized Gains............... (0.82) (0.34) (0.17) -- (0.01)
----------- -------- -------- -------- --------
Total Distributions.............. (0.91) (0.65) (0.48) (0.35) (0.19)
----------- -------- -------- -------- --------
Net Asset Value, End of Period..... $ 16.24 $ 15.52 $ 13.29 $ 9.92 $ 10.59
----------- -------- -------- -------- --------
----------- -------- -------- -------- --------
Total Return....................... 11.11%# 22.48% 39.26% (3.13)% 7.79%#
Net Assets, End of Period
(thousands)...................... $ 1,231,794 $987,942 $423,027 $198,848 $ 90,271
Ratio of Expenses to Average Net
Assets........................... 0.18%* 0.19% 0.21% 0.22% 0.23%*
Ratio of Net Investment Income to
Average
Net Assets....................... 2.16%* 2.37% 2.84% 3.72% 3.75%*
Portfolio Turnover Rate............ 17.76%* 20.12% 29.41% 39.33% 0.75%*
Average Commission Rate (1)........ $ 0.0497 $ 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
11
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust currently offers sixteen portfolios, of which The U.S. Large Cap Value
Series (the "Series") is presented in this report.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such policies
are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with generally
accepted accounting principles may require management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
1. SECURITY VALUATION: Securities held by the Series 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.
Securities for which quotations are not readily available are valued 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 May 30, 1997.
4. OTHER: Security transactions are accounted for on the date the
securities are purchased or sold. Costs used in determining realized gains and
losses on the sale of investment securities are those of specific securities
sold. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Interest income is recorded on the accrual basis. Discount and
premium on securities purchased are amortized over the lives of the respective
securities. Expenses directly attributable to a Series are directly charged.
Common expenses are allocated using methods determined by the Board of
Directors.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("DFA") (the "Advisor") provides investment
advisory services to the Series. For the six months ended May 31, 1997, the
Series' advisory fees were computed daily and paid monthly to the Advisor based
on an effective annual rate of 0.10 of 1%.
Certain officers of the Series are also officers, directors and shareholders
of the Advisor.
12
<PAGE>
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 1997, the Series made the following
purchases and sales of investment securities other than U.S. Government
Securities (amounts in thousands):
<TABLE>
<S> <C>
Purchases.............................................. $ 203,014
Sales.................................................. 94,065
</TABLE>
E. INVESTMENT TRANSACTIONS:
At May 31, 1997, gross unrealized appreciation and depreciation for
financial reporting and federal income tax purposes of investment securities was
as follows (amounts in thousands):
<TABLE>
<S> <C>
Gross Unrealized Appreciation.......................... $ 230,438
Gross Unrealized Depreciation.......................... (11,460)
---------
Net.................................................... $ 218,978
---------
---------
</TABLE>
F. LINE OF CREDIT
In July, 1996, the Trust, together with other DFA-advised portfolios,
entered into a $50 million unsecured line of credit with its domestic custodian
bank. Each portfolio is permitted to borrow, subject to its investment
limitations, up to a maximum of $50 million. Borrowings under the line are
charged interest at the current overnight federal funds rate determined at the
date of borrowing. Each portfolio is individually, and not jointly liable for
its particular advances under the line. There is no commitment fee on the unused
portion of the line of credit. There were no borrowings under the line of credit
by the Series during the six months ended May 31, 1997.
G. COMPONENTS OF NET ASSETS:
At May 31, 1997, net assets consisted of (amounts in thousands):
<TABLE>
<S> <C>
Paid-In Capital...................................... $ 971,066
Undistributed Net Investment Income.................. 6,064
Undistributed Net Realized Gain...................... 35,686
Unrealized Appreciation of Investment Securities..... 218,978
-----------
$ 1,231,794
-----------
-----------
</TABLE>
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 $44,839,181 and the related collateral cash
received is $46,549,650 at May 31, 1997.
13
