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- --------------------------------------------------------------------------------
Dimensional Investment Group Inc.
DFA International Value Portfolio II
Semi-Annual Report
Six Months Ended May 31, 1998
(Unaudited)
-------------------------------------
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DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO II
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
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PAGE
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DIMENSIONAL INVESTMENT GROUP INC.
Statement of Assets and Liabilities................................. 1
Statement of Operations............................................. 2
Statements of Changes in Net Assets................................. 3
Financial Highlights................................................ 4
Notes to Financial Statements....................................... 5-6
THE DFA INVESTMENT TRUST COMPANY -- THE DFA INTERNATIONAL VALUE SERIES
Schedule of Investments............................................. 7-14
Statement of Assets and Liabilities................................. 15
Statement of Operations............................................. 16
Statements of Changes in Net Assets................................. 17
Financial Highlights................................................ 18
Notes to Financial Statements....................................... 19-20
</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.
DFA INTERNATIONAL VALUE PORTFOLIO II
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 1998
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
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ASSETS:
Investment in The DFA International Value Series of The DFA Investment Trust Company
(3,539,445 Shares, Cost $38,597)++ at Value........................................ $ 45,517
Receivable for Fund Shares Sold...................................................... 37
Prepaid Expenses and Other Assets.................................................... 22
-----------
Total Assets..................................................................... 45,576
-----------
LIABILITIES:
Payable for Investment Securities Purchased.......................................... 37
Accrued Expenses..................................................................... 15
-----------
Total Liabilities................................................................ 52
-----------
NET ASSETS........................................................................... $ 45,524
-----------
-----------
SHARES OUTSTANDING, $.01 PAR VALUE
(Authorized 100,000,000)........................................................... 3,721,869
-----------
-----------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............................. $ 12.23
-----------
-----------
NET ASSETS CONSIST OF:
Paid-In Capital...................................................................... $ 39,278
Accumulated Net Investment Loss...................................................... (19)
Accumulated Net Realized Loss........................................................ (655)
Unrealized Appreciation of Investment Securities..................................... 6,920
-----------
Total Net Assets................................................................. $ 45,524
-----------
-----------
</TABLE>
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++ The cost for federal income tax purposes is $39,395.
See accompanying Notes to Financial Statements.
1
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DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO II
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1998
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
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INVESTMENT INCOME
Income Distributions Received from the DFA Investment Trust Company.................. $ 216
---------
EXPENSES
Administrative Services.............................................................. 2
Accounting & Transfer Agent Fees..................................................... 10
Shareholder Services................................................................. 21
Legal Fees........................................................................... 1
Filing Fees.......................................................................... 8
Shareholders' Reports................................................................ 6
Directors' Fees and Expenses......................................................... 1
Organization Costs................................................................... 4
---------
Total Expenses................................................................... 53
---------
NET INVESTMENT INCOME................................................................ 163
---------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Capital Gain Distributions Received from the DFA Investment Trust Company................ 98
Net Realized Loss on Investment Securities............................................... (181)
Change in Unrealized Appreciation (Depreciation) of Investment Securities................ 6,813
---------
NET GAIN ON INVESTMENT SECURITIES.................................................... 6,730
---------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS..................................... $ 6,893
---------
---------
</TABLE>
See accompanying Notes to Financial Statements.
2
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DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO II
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
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SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
1998 1997
------------ ----------
(UNAUDITED)
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INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income.................................................................... $ 163 $ 606
Capital Gain Distributions Received from The DFA Investment Trust
Company................................................................................ 98 618
Net Realized Loss on Investment Securities............................................... (181) (403)
Change in Unrealized Appreciation (Depreciation) of Investment Securities................ 6,813 (2,366)
------------ ----------
Net Increase (Decrease) in Net Assets Resulting from Operations...................... 6,893 (1,545)
------------ ----------
Distributions From:
Net Investment Income.................................................................... (748) (397)
Net Realized Gains....................................................................... (462) (266)
------------ ----------
Total Distributions.................................................................. (1,210) (663)
------------ ----------
Capital Share Transactions (1):
Shares Issued............................................................................ 11,387 21,070
Shares Issued in Lieu of Cash Distributions.............................................. 1,210 663
Shares Redeemed.......................................................................... (10,366) (11,933)
------------ ----------
Net Increase From Capital Share Transactions......................................... 2,231 9,800
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Total Increase....................................................................... 7,914 7,592
NET ASSETS
Beginning of Period...................................................................... 37,610 30,018
------------ ----------
End of Period............................................................................ $ 45,524 $ 37,610
------------ ----------
------------ ----------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................................................................ 968 1,887
Shares Issued in Lieu of Cash Distributions.............................................. 121 61
Shares Redeemed.......................................................................... (899) (1,059)
------------ ----------
190 889
------------ ----------
------------ ----------
</TABLE>
See accompanying Notes to Financial Statements.
3
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DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO II
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
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SIX MONTHS YEAR YEAR YEAR AUG. 3
ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995 1994
----------- ----------- ----------- ----------- -----------
(UNAUDITED)
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Net Asset Value, Beginning of Period.... $ 10.65 $ 11.36 $ 9.95 $ 9.48 $ 10.00
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income................. 0.05 0.17 0.14 0.13 0.06
Net Gains (Losses) on Securities
(Realized and Unrealized)........... 1.88 (0.63) 1.28 0.49 (0.52)
----------- ----------- ----------- ----------- -----------
Total from Investment Operations...... 1.93 (0.46) 1.42 0.62 (0.46)
----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS
Net Investment Income................. (0.22 ) (0.15) (0.01) (0.13) (0.06)
Net Realized Gains.................... (0.13 ) (0.10) -- (0.02) --
----------- ----------- ----------- ----------- -----------
Total Distributions................... (0.35 ) (0.25) (0.01) (0.15) (0.06)
----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Period.......... $ 12.23 $ 10.65 $ 11.36 $ 9.95 $ 9.48
----------- ----------- ----------- ----------- -----------
----------- ----------- ----------- ----------- -----------
Total Return............................ 18.86%# (4.15)%# 14.28% 6.52% (4.73)%#
Net Assets, End of Period (thousands)... $ 45,524 $ 37,610 $ 30,018 $ 14,323 $ 7,643
Ratio of Expenses to Average Net
Assets (1).......................... 0.56%* 0.63%(a) 0.86%(a) 0.96%(a) 0.96%*(a)
Ratio of Net Investment Income to
Average Net Assets.................. 0.79%* 1.63%(a) 1.67%(a) 1.63%(a) 2.56%*(a)
Portfolio Turnover Rate............... N/A N/A N/A N/A N/A
Average Commission Rate............... N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master Fund
Series.............................. 18.78%* 22.55% 12.23% 9.75% 1.90%*
Average Commission Rate of Master Fund
Series.............................. $ 0.0167 $ 0.0068 $ 0.0112 N/A N/A
</TABLE>
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* Annualized
# Non-Annualized
(1) Represents the combined ratio for the Portfolio and its respective pro-rata
share of its Master Fund Series.
(a) Had certain waivers and assumptions of expenses not been in effect, the
ratios of expenses to average net assets for the periods ended November 30,
1997 through 1994 would have been 0.58%, 0.96%, 1.48% and 12.07%,
respectively and the ratios of net investment income to average net assets,
for the periods ended November 30, 1997 through 1994 would have been 1.68%,
1.57%, 1.11% and 1.46%, respectively.
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 thirteen portfolios,
of which The DFA International Value Portfolio II (the "Portfolio") is presented
in this report.
The Portfolio invests all of its assets in The DFA International Value
Series (the "Series") a corresponding series of The DFA Investment Trust
Company. At May 31, 1998, the Portfolio owned 2% 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" or 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, 1998, 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% of average net assets.
Certain officers of the Portfolio are also officers, directors and
shareholders of the Advisor.
Effective July 1, 1996, the Advisor has agreed to waive its fees and
reimburse the Portfolio to the extent necessary to keep the annual combined
expenses of the Portfolio and its respective Master Fund to not more than 0.75%
of average daily net assets on an annualized basis. Prior to that date, the
Advisor agreed to waive its fees and reimburse the Portfolio to the extent
necessary to keep the annual combined expenses to not more than 0.96% of average
daily net assets on an annualized basis. Annualized expenses are those expenses
incurred in any period consisting of twelve consecutive months. At May 31, 1998,
there are no previously waived fees subject to future reimbursement to the
Advisor.
5
<PAGE>
In addition, pursuant to an agreement with a Shareholder Service Agent, the
Portfolio pays to such agent a fee at the effective annual rate of .10% of its
average daily net assets.
D. INVESTMENTS:
At May 31, 1998, gross unrealized appreciation and depreciation for
financial reporting purposes of investment securities was as follows (amounts in
thousands):
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Gross Unrealized Appreciation............................ $ 6,920
Gross Unrealized Depreciation............................ --
---------
Net...................................................... $ 6,920
---------
---------
</TABLE>
E. LINE OF CREDIT:
The Fund, together with other DFA-advised portfolios, has 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, 1998.
6
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
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JAPAN -- (21.4%)
COMMON STOCKS -- (21.4%)
Aichi Bank, Ltd........................................... 10,500 $ 568,325
Aisin Seiki Co., Ltd...................................... 137,000 1,270,486
Amada Co., Ltd............................................ 376,000 1,899,469
Amano Corp................................................ 115,000 1,034,929
#Aomori Bank, Ltd......................................... 170,000 668,639
Aoyama Trading Co., Ltd................................... 41,100 1,005,513
#Asahi Denka Kogyo KK..................................... 42,000 152,463
Asahi Glass Co., Ltd...................................... 420,000 2,267,239
#Ashikaga Bank, Ltd....................................... 808,000 1,195,395
Autobacs Seven Co., Ltd................................... 700 21,319
Awa Bank, Ltd............................................. 189,600 774,464
Bandai Co., Ltd........................................... 60,000 870,349
Bank of Ikeda, Ltd........................................ 13,000 516,003
Bank of Iwate, Ltd........................................ 18,590 851,921
#Bank of Kinki, Ltd....................................... 234,000 663,674
Bank of Kyoto, Ltd........................................ 347,400 1,629,632
Bank of Nagoya, Ltd....................................... 185,000 750,334
Bank of Saga, Ltd......................................... 215,000 674,954
Bank of Yokohama, Ltd..................................... 978,000 2,385,624
#Best Denki Co., Ltd...................................... 153,000 850,215
CMK Corp.................................................. 38,000 455,238
Canon Sales Co., Inc...................................... 124,900 1,658,543
Casio Computer Co., Ltd................................... 185,000 1,722,296
Central Glass Co., Ltd.................................... 179,000 311,327
Chiba Bank, Ltd........................................... 941,000 3,347,980
#Chichibu Onoda Cement Corp............................... 746,000 1,125,205
#Chiyoda Fire and Marine Insurance Co., Ltd............... 444,150 1,625,115
Chudenko Corp............................................. 82,000 1,692,491
#Chugai Pharmaceutical Co., Ltd........................... 114,000 658,175
Chugoku Bank, Ltd......................................... 199,000 2,544,856
Chukyo Coca-Cola Bottling Co., Ltd........................ 35,000 275,322
Chukyo Sogo Bank, Ltd..................................... 107,000 316,602
Citizen Watch Co., Ltd.................................... 317,000 2,422,711
Cosmo Oil Co., Ltd........................................ 764,000 1,240,573
Dai Tokyo Fire & Marine Insurance Co., Ltd................ 529,000 1,775,231
Daicel Chemical Industries, Ltd........................... 485,000 829,538
Daikin Industries, Ltd.................................... 218,000 1,301,093
#Dainippon Pharmaceutical Co., Ltd........................ 203,000 669,512
#Daio Paper Corp.......................................... 128,750 627,187
#Daisan Bank, Ltd......................................... 138,000 478,043
#Daishi Bank, Ltd......................................... 350,000 1,053,296
Daito Trust Construction Co., Ltd......................... 180,784 1,290,335
#Daiwa Bank, Ltd.......................................... 726,000 1,414,643
Daiwa House Industry Co., Ltd............................. 655,000 5,100,457
Daiwa Kosho Lease Co., Ltd................................ 193,000 786,959
Daiwa Securities Co., Ltd................................. 1,673,000 6,362,868
Denki Kagaku Kogyo KK..................................... 469,000 727,709
Dowa Fire & Marine Insurance Co., Ltd..................... 383,000 1,136,023
Ehime Bank, Ltd........................................... 143,000 508,779
Eighteenth Bank, Ltd...................................... 226,000 1,242,824
Ezaki Glico Co., Ltd...................................... 174,600 875,740
Fuji Fire & Marine Insurance Co., Ltd..................... 353,000 810,118
Fuji Oil Co., Ltd......................................... 73,000 316,624
<CAPTION>
SHARES VALUE+
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Fuji Photo Film Co., Ltd.................................. 400,000 $ 13,538,769
Fujisawa Pharmaceutical Co., Ltd.......................... 220,000 2,064,013
#Fukui Bank, Ltd.......................................... 343,000 787,168
#Fukuoka City Bank, Ltd................................... 264,532 952,632
*#Fukutoku Bank, Ltd...................................... 27,000 39,945
#Fukuyama Transporting Co., Ltd........................... 266,000 1,044,304
Furukawa Co., Ltd......................................... 165,000 235,774
Futaba Corp............................................... 16,000 645,473
Futaba Industrial Co., Ltd................................ 86,100 960,636
Hanshin Electric Railway Co., Ltd......................... 141,000 418,222
Higo Bank, Ltd............................................ 308,000 1,418,136
#Hino Motors, Ltd......................................... 398,000 1,160,408
#Hiroshima Bank, Ltd...................................... 575,000 1,468,985
Hiroshima-Sogo Bank, Ltd.................................. 136,000 529,022
Hitachi Construction Machinery Co., Ltd................... 64,000 196,298
#Hitachi Maxell, Ltd...................................... 96,000 1,981,452
Hitachi Metals, Ltd....................................... 360,000 1,350,990
#Hitachi Transport System, Ltd............................ 138,000 1,055,678
Hitachi, Ltd.............................................. 3,691,000 24,319,866
Hokuetsu Bank............................................. 275,330 755,064
#Hokuetsu Paper Mills, Ltd................................ 162,000 759,932
#Hokuriku Bank, Ltd....................................... 891,000 1,286,039
#House Foods Corp......................................... 115,000 1,585,176
Hyakugo Bank, Ltd. (105th Bank)........................... 258,000 1,061,307
Hyakujishi Bank, Ltd...................................... 314,000 1,389,110
Inax Corp................................................. 309,000 1,048,100
Itochu Corp............................................... 1,198,000 2,697,477
Itoham Foods, Inc......................................... 284,000 1,250,243
Izumiya Co., Ltd.......................................... 151,000 773,716
Japan Airport Terminal Co., Ltd........................... 9,000 50,987
#Japan Pulp and Paper Co., Ltd............................ 119,000 321,192
Japan Wool Textile Co., Ltd............................... 42,000 175,802
Joyo Bank, Ltd............................................ 19,000 67,463
Jsr Corp., Tokyo.......................................... 150,000 686,320
Juroku Bank, Ltd.......................................... 349,000 1,282,005
Kagawa Bank, Ltd.......................................... 61,650 274,959
Kagoshima Bank, Ltd....................................... 262,000 1,115,577
#Kajima Corp.............................................. 826,000 2,217,529
Kamigumi Co., Ltd......................................... 357,000 1,360,343
Kandenko Co., Ltd......................................... 266,000 1,528,062
Kaneka Corp............................................... 344,000 1,849,529
Kansai Paint Co., Ltd., Osaka............................. 108,000 250,193
Katokichi Co., Ltd........................................ 72,000 801,761
Kawasaki Steel Corp....................................... 500,000 801,068
#Keiyo Co., Ltd........................................... 35,000 126,294
Kikkoman Corp............................................. 256,000 1,250,763
Kinden Corp............................................... 67,000 809,909
Kirin Brewery Co., Ltd.................................... 247,000 2,297,715
Kissei Pharmaceutical Co., Ltd............................ 40,000 506,621
Koa Fire & Marine Insurance Co., Ltd...................... 45,000 175,694
#Kobe Steel, Ltd.......................................... 2,632,000 2,013,437
Koito Manufacturing Co., Ltd.............................. 146,000 705,950
#Kokusai Denshin Denwa Co., Ltd........................... 48,400 1,711,543
Kokusai Securities Co., Ltd............................... 330,000 3,036,480
Komatsu, Ltd.............................................. 1,279,000 5,353,587
#Komori Corp.............................................. 74,000 1,367,156
Konica Corp............................................... 66,000 299,599
</TABLE>
7
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THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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Koyo Seiko Co............................................. 198,000 $ 708,750
Kureha Chemical Industry Co., Ltd......................... 263,000 603,572
Lion Corp................................................. 311,000 1,032,439
#Long Term Credit Bank of Japan, Ltd...................... 2,895,000 4,199,436
Makita Corp............................................... 209,000 2,254,934
Marubeni Corp............................................. 1,942,000 3,924,222
Maruichi Steel Tube, Ltd.................................. 117,000 1,562,082
Matsushita Electric Industrial Co., Ltd................... 1,933,000 30,271,779
#Matsushita Electric Works, Ltd........................... 286,000 2,392,191
Matsushita Refrigeration Co............................... 222,000 797,864
Matsushita Seiko Co., Ltd................................. 179,000 640,739
Matsuzakaya Co., Ltd...................................... 30,000 125,573
*#Mazda Motor Corp........................................ 828,000 2,772,648
Meija Seika Kaisha, Ltd. Tokyo............................ 366,000 1,167,481
Michimen Corp............................................. 359,000 466,351
Michinoku Bank, Ltd....................................... 187,000 946,032
Mitsubishi Cable Industries, Ltd.......................... 29,000 55,461
#Mitsubishi Chemical Corp................................. 2,129,000 3,810,427
Mitsubishi Electric Corp.................................. 1,683,000 3,983,862
Mitsubishi Gas Chemical Co., Inc.......................... 548,000 1,388,142
#Mitsubishi Materials Corp................................ 975,000 1,899,830
Mitsubishi Motors Corp.................................... 866,000 2,243,669
Mitsubishi Oil Co., Ltd................................... 590,000 787,717
Mitsui Chemicals, Inc..................................... 1,030,800 2,670,639
*#Mitsui Engineering and Shipbuilding Co., Ltd............ 781,000 608,725
#Mitsui Trust & Banking Co., Ltd.......................... 1,030,000 2,415,833
#Mori Seiki Co., Ltd...................................... 121,000 1,423,375
Musashino Bank, Ltd....................................... 26,000 928,806
#NCR Japan, Ltd........................................... 53,000 228,730
#NGK Spark Plug Co., Ltd.................................. 201,000 1,597,091
NHK Spring Co., Ltd....................................... 315,000 820,662
NKK Corp.................................................. 2,612,000 2,224,342
NOK Corp.................................................. 149,000 655,938
NSK, Ltd.................................................. 467,000 1,685,129
NTN Corp.................................................. 398,000 1,071,367
Nanto Bank, Ltd........................................... 288,000 1,195,107
National House Industrial Co., Ltd........................ 95,000 754,159
Nichicon Corp............................................. 100,000 1,086,854
Nichirei Corp............................................. 366,000 763,353
Nifco, Inc................................................ 45,000 325,732
Nihon Unisys, Ltd......................................... 41,000 248,548
#Nikko Securities Co., Ltd................................ 1,910,000 6,009,886
*Nippon Credit Bank, Ltd.................................. 1,683,000 1,627,554
Nippon Flour Mills Co., Ltd............................... 21,000 46,527
#Nippon Light Metal Co., Ltd.............................. 525,000 602,425
Nippon Meat Packers, Inc., Osaka.......................... 170,000 2,189,946
#Nippon Oil Co., Ltd...................................... 1,598,000 4,958,971
Nippon Sanso Corp......................................... 367,000 1,162,725
Nippon Sheet Glass Co., Ltd............................... 567,000 916,595
Nippon Shokubai Co., Ltd.................................. 163,000 851,672
*Nippon Suisan Kaisha, Ltd................................ 49,000 57,641
Nishi-Nippon Bank, Ltd.................................... 23,540 86,471
Nishimatsu Construction Co., Ltd.......................... 359,000 1,619,276
Nissan Shatai Co., Ltd.................................... 158,000 342,078
#Nissei Sangyo Co., Ltd................................... 110,050 1,045,977
Nisshin Flour Milling Co., Ltd............................ 89,000 585,133
Nisshin Steel Co., Ltd.................................... 1,318,000 1,750,167
Nisshinbo Industries, Inc................................. 305,000 1,281,059
Nissho Iwai Corp.......................................... 544,000 1,060,008
Ogaki Kyoritsu Bank, Ltd.................................. 50,000 210,731
Ohbayashi Corp............................................ 499,000 1,854,617
Oita Bank, Ltd............................................ 145,000 668,675
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Oji Paper Co., Ltd........................................ 275,000 $ 1,161,007
Okamura Corp.............................................. 44,000 133,367
#Oki Electric Industry Co., Ltd........................... 740,000 1,602,136
Okumura Corp.............................................. 322,000 1,010,861
Olympus Optical Co., Ltd.................................. 343,000 3,230,361
#Penta-Ocean Construction Co., Ltd........................ 438,000 916,682
Pioneer Electronic........................................ 182,000 3,546,349
#Q.P. Corp................................................ 168,000 1,186,966
Royal Co., Ltd............................................ 41,000 628,766
Ryosan Co., Ltd........................................... 53,000 841,482
Ryoyo Electro Corp........................................ 26,000 313,355
#Sakura Bank, Ltd......................................... 758,000 2,248,316
San In Godo Bank, Ltd..................................... 222,000 1,342,590
Sanki Engineering Co., Ltd................................ 109,000 711,904
Sanyo Electric............................................ 2,536,000 7,265,845
Sanyo Shokai, Ltd......................................... 77,000 255,620
Sapporo Breweries, Ltd.................................... 33,000 125,032
#Seino Transportation Co., Ltd............................ 197,000 983,827
#Sekisui Chemical Co., Ltd................................ 557,000 2,797,762
#Seksui House............................................. 928,000 6,864,647
Sharp Corp. Osaka......................................... 460,000 3,462,490
#Shiga Bank, Ltd.......................................... 268,000 1,063,760
Shimachu Co., Ltd......................................... 20,200 328,005
Shimadzu Corp............................................. 181,000 581,279
Shimizu Bank, Ltd......................................... 8,400 383,733
#Shimizu Corp............................................. 997,000 2,734,167
#Shinwa Bank, Ltd......................................... 157,000 373,904
Shionogi & Co., Ltd....................................... 455,000 2,272,290
Showa Electric Wire & Cable Co., Ltd., Kawasaki........... 152,000 246,816
Showa Shell Sekiyu KK..................................... 75,000 340,454
Snow Brand Milk Products Co., Ltd......................... 419,000 1,294,208
Stanley Electric Co., Ltd................................. 246,000 841,511
Sumitomo Corp............................................. 918,000 4,856,160
Sumitomo For.............................................. 136,000 764,580
#Sumitomo Metal Industries, Ltd. Osaka.................... 1,481,000 2,297,946
Sumitomo Metal Mining Co., Ltd............................ 313,000 1,328,214
Sumitomo Osaka Cement Co., Ltd............................ 594,000 775,910
Sumitomo Realty & Development Co., Ltd.................... 488,000 2,292,700
#Sumitomo Warehouse Co., Ltd.............................. 67,000 260,138
#Suruga Bank, Ltd......................................... 256,000 1,237,830
TEC Corp.................................................. 345,000 898,820
TOC Co., Ltd.............................................. 66,950 579,800
Tadano, Ltd............................................... 30,000 80,107
#Taisei Corp.............................................. 1,325,000 2,581,820
Takara Standard Co., Ltd.................................. 175,000 949,735
Takashimaya Co., Ltd...................................... 206,000 1,453,960
Tanabe Seiyaku Co., Ltd................................... 164,000 721,971
Teijin, Ltd............................................... 917,000 2,766,254
Teikoku Oil Co., Ltd...................................... 346,000 1,061,235
Toagosei Co., Ltd......................................... 353,000 598,672
#Toda Corp................................................ 418,000 1,484,184
Toho Bank, Ltd............................................ 236,000 877,133
Tokuyama Corp............................................. 248,000 705,171
*Tokyo Sowa Bank.......................................... 199,000 489,727
Tokyo Steel Manufacturing Co., Ltd........................ 202,800 930,832
Tokyo Style Co., Ltd...................................... 133,000 1,294,822
#Tokyo Tomin Bank, Ltd.................................... 30,900 898,690
#Tokyu Department Store Co., Ltd.......................... 329,000 448,750
Tostem Corp............................................... 188,000 2,409,612
Toto, Ltd................................................. 247,000 1,632,822
Towa Bank, Ltd............................................ 102,000 412,225
Toyo Seikan Kaisha, Ltd................................... 287,600 3,405,994
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
--------- --------------
<S> <C> <C>
Toyo Suisan Kaisha, Ltd................................... 116,000 $ 686,465
Toyo Trust & Banking Co., Ltd............................. 715,000 3,741,023
Toyobo Co., Ltd........................................... 468,000 634,965
#Toyoda Machine Works, Ltd................................ 122,000 1,098,805
Toyota Auto Body Co., Ltd................................. 86,000 483,484
Toyota Tsusho Corp........................................ 314,000 974,416
#Uniden Corp.............................................. 12,000 124,707
Unisia Jecs Corp.......................................... 130,000 276,765
Victor Co. of Japan, Ltd.................................. 246,000 1,917,367
Wacoal Corp............................................... 149,000 1,505,430
Yakult Honsha Co., Ltd.................................... 228,000 1,143,579
Yamagata Bank, Ltd........................................ 153,700 644,461
Yamaguchi Bank............................................ 133,000 1,627,885
Yamatake-Honeywell Co., Ltd............................... 87,000 879,010
Yamato Kogyo Co., Ltd..................................... 123,000 954,245
#Yasuda Trust & Banking Co., Ltd.......................... 1,434,000 1,800,714
Yodogawa Steel Works, Ltd................................. 296,000 1,330,841
Yokogawa Electric Corp.................................... 337,000 1,741,363
Yokohama Rubber Co., Ltd.................................. 404,000 871,764
Zexel Corp................................................ 60,000 126,872
--------------
TOTAL COMMON STOCKS
(Cost $612,223,206)....................................... 397,783,025
--------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Japanese Yen (Cost $115,990)............................. 112,396
--------------
TOTAL -- JAPAN
(Cost $612,339,196)....................................... 397,895,421
--------------
UNITED KINGDOM -- (21.2%)
COMMON STOCKS -- (21.2%)
ASDA Group P.L.C.......................................... 1,719,300 5,102,697
Abbey National P.L.C...................................... 390,000 6,951,227
Aggreko P.L.C............................................. 32,000 113,236
Allied Domecq P.L.C....................................... 140,000 1,393,768
Anglian Water P.L.C....................................... 156,800 2,218,157
Antofagasta Holdings P.L.C................................ 38,000 187,450
Arcadia Group P.L.C....................................... 57,588 441,374
Arjo Wiggins Appleton P.L.C............................... 659,100 2,644,010
Associated British Foods P.L.C............................ 733,200 6,695,565
Associated British Ports Holdings P.L.C................... 369,200 2,125,265
BAA P.L.C................................................. 1,015,718 12,116,138
BG P.L.C.................................................. 2,574,617 13,256,618
BICC P.L.C................................................ 134,750 365,864
Barclays P.L.C............................................ 644,025 17,160,562
Bardon Group P.L.C........................................ 1,015,384 1,229,429
Barratt Developments P.L.C................................ 222,000 1,169,317
Bass P.L.C................................................ 600,000 11,007,292
Beazer Group P.L.C........................................ 157,257 592,378
Berkeley Group P.L.C...................................... 78,622 994,907
Booker P.L.C.............................................. 215,000 1,037,784
British Airways P.L.C..................................... 135,000 1,427,646
British Land Co. P.L.C.................................... 456,746 4,994,020
British Steel P.L.C....................................... 1,575,000 3,891,078
British Telecommunications P.L.C.......................... 2,400,000 25,008,569
British Vita P.L.C........................................ 212,300 1,168,424
Brixton Estate P.L.C...................................... 224,700 839,103
Bryant Group P.L.C........................................ 227,022 472,014
Burford Holdings P.L.C.................................... 337,000 629,234
*Cairn Energy P.L.C....................................... 41,350 214,090
Capital Shopping Centres P.L.C............................ 381,375 2,652,455
*Centrica P.L.C........................................... 2,662,900 4,277,281
Chelsfield P.L.C.......................................... 229,019 1,305,255
Christies International P.L.C............................. 41,000 259,413
Coats Viyella P.L.C....................................... 674,730 1,006,764
SHARES VALUE+
--------- --------------
Commercial Union P.L.C.................................... 658,591 $ 11,953,296
Courtaulds P.L.C.......................................... 40,000 305,269
Debenhams P.L.C........................................... 115,175 755,024
*Delta P.L.C.............................................. 143,000 769,532
Diageo P.L.C.............................................. 73,440 829,333
Elementis P.L.C........................................... 592,800 1,711,032
English China Clays P.L.C................................. 249,062 1,045,831
First Leisure Corp. P.L.C................................. 127,900 839,485
General Accident P.L.C.................................... 464,500 10,612,082
Grantchester Holdings P.L.C............................... 12,930 42,065
Great Portland Estates P.L.C.............................. 197,275 826,765
Great Universal Stores P.L.C.............................. 814,600 11,563,516
Greenalls Group P.L.C..................................... 283,846 2,291,209
Greene King P.L.C......................................... 59,000 697,536
Guardian Royal Exchange P.L.C............................. 835,867 5,288,664
Hambros P.L.C............................................. 107,954 523,724
Hanson P.L.C.............................................. 624,950 3,671,352
Hardy Oil & Gas P.L.C..................................... 74,000 315,559
Hillsdown Holdings P.L.C.................................. 483,562 1,443,045
House of Fraser P.L.C..................................... 140,000 426,920
Hyder P.L.C............................................... 81,947 1,310,928
Imperial Chemical Industries P.L.C........................ 637,700 12,073,283
Inchcape P.L.C............................................ 508,000 1,851,476
Ladbroke Group P.L.C...................................... 954,288 5,384,338
Laird Group P.L.C......................................... 92,400 665,242
Lasmo P.L.C............................................... 613,035 2,899,079
Lex Service P.L.C......................................... 109,433 1,046,630
London & Manchester Group P.L.C........................... 102,732 904,641
*Lonrho Africa P.L.C...................................... 191,588 231,195
Lonrho P.L.C.............................................. 191,588 937,276
Mersey Docks & Harbour Co. P.L.C.......................... 37,610 378,719
Meyer International P.L.C................................. 102,281 730,543
*Millennium and Copthorne Hotels P.L.C.................... 46,000 435,824
Mirror Group P.L.C........................................ 403,000 1,633,083
National Westminster Bank P.L.C........................... 1,159,229 21,153,199
Peel Holdings P.L.C....................................... 32,500 378,936
Persimmon P.L.C........................................... 162,000 632,699
Pilkington P.L.C.......................................... 995,666 2,402,991
Pillar Property Investments P.L.C......................... 25,000 138,610
Powell Duffryn P.L.C...................................... 47,037 477,097
Powergen P.L.C............................................ 443,177 5,593,645
Premier Consolidated Oilfields P.L.C...................... 988,414 757,554
RMC Group P.L.C........................................... 223,000 4,200,138
Racal Electronics P.L.C................................... 274,000 1,691,193
Rank Group P.L.C.......................................... 775,882 4,516,902
Rio Tinto P.L.C........................................... 118,000 1,473,004
Rolls-Royce P.L.C......................................... 314,950 1,498,405
Royal & Sun Alliance Insurance Group, Inc. P.L.C.......... 1,486,241 15,741,464
Rugby Group P.L.C......................................... 417,000 962,209
Safeway P.L.C............................................. 726,277 4,408,732
Sainsbury (J.) P.L.C...................................... 949,250 7,499,825
Scottish & Newcastle P.L.C................................ 117,600 1,649,235
Scottish Hydro-Electric P.L.C............................. 374,000 3,427,557
Sears P.L.C............................................... 1,466,100 1,524,125
Severn Trent P.L.C........................................ 210,597 3,393,016
Shell Transport & Trading Co., P.L.C...................... 2,222,545 16,400,077
Slough Estates P.L.C...................................... 376,100 2,321,378
Smith (David S.) Holdings P.L.C........................... 298,000 1,224,598
*Somerfield P.L.C......................................... 165,142 1,067,769
South West Water P.L.C.................................... 41,653 652,070
Stakis P.L.C.............................................. 733,194 1,697,790
Storehouse P.L.C.......................................... 410,990 1,869,873
Tarmac P.L.C.............................................. 894,395 1,826,770
</TABLE>
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<TABLE>
<CAPTION>
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--------- --------------
<S> <C> <C>
Tate & Lyle P.L.C......................................... 70,000 $ 568,465
Taylor Woodrow P.L.C...................................... 382,652 1,428,947
*Telewest Communications P.L.C............................ 715,000 1,195,107
Tesco P.L.C............................................... 1,423,428 12,488,047
Thames Water P.L.C........................................ 172,311 2,794,438
Thistle Hotels P.L.C...................................... 306,000 985,520
Thorn P.L.C............................................... 108,807 362,850
Unigate P.L.C............................................. 229,400 2,487,664
Unilever P.L.C............................................ 1,700,000 18,643,093
United Assurance Group P.L.C.............................. 331,000 3,297,964
United Biscuits Holdings P.L.C............................ 508,963 2,176,599
United Utilities P.L.C.................................... 265,595 3,594,800
Vaux Group P.L.C.......................................... 87,094 412,583
Wessex Water P.L.C........................................ 92,021 694,025
Whitbread P.L.C........................................... 469,600 7,588,894
Wilson Bowden P.L.C....................................... 89,200 1,021,125
Wimpey (George) P.L.C..................................... 236,750 505,752
Yorkshire Water P.L.C..................................... 156,752 1,179,673
--------------
TOTAL COMMON STOCKS
(Cost $247,473,608)....................................... 393,348,287
--------------
INVESTMENT IN
CURRENCY -- (0.0%)
*British Pound Sterling (Cost $191,442)................... 192,003
--------------
TOTAL -- UNITED KINGDOM
(Cost $247,665,050)....................................... 393,540,290
--------------
GERMANY -- (11.1%)
COMMON STOCKS -- (11.0%)
*AGIV AG fuer Industrie & Verkehrswesen................... 57,800 1,621,055
*Ava Allgemeine Handelsgesellschaft der Verbraucher AG,
Bielefeld............................................... 3,700 1,411,271
#BASF AG.................................................. 624,100 29,055,750
#BHF Bank AG.............................................. 109,700 4,504,198
BHW Holding AG, Berlin.................................... 73,200 1,334,425
Bankgesellschaft Berlin AG................................ 222,000 5,429,243
Bayer AG.................................................. 135,800 6,497,535
#Bayerische Hypotheken und Wechselbank AG................. 240,000 15,117,877
Bayerische Vereinsbank AG................................. 180,000 15,094,318
Berliner Kraft & Licht Bewag AG........................... 88,800 4,159,099
Bilfinger & Berger Bau AG, Mannheim....................... 45,700 1,743,111
#Commerzbank AG........................................... 359,450 14,577,283
DBV-Winterthur Holding AG, Wiesbaden...................... 4,400 1,912,732
*Deutsche Babcock AG, Oberhausen.......................... 2,500 174,586
#Deutsche Bank AG......................................... 293,000 25,244,028
*Deutsche Hypothekenbank Frankfurt AG..................... 300 173,324
#Deutsche Lufthansa AG.................................... 305,250 7,636,429
Deutsche Pfandbrief und Hypothekenbank AG, Depfa.......... 45,700 3,660,532
*#Deutsche Telekom AG..................................... 313,200 8,406,273
#Dresdner Bank AG, Frankfurt.............................. 315,000 17,721,941
Dyckerhoff AG............................................. 2,275 829,458
*Energie Baden-Wuerttemberg AG............................ 8,231 332,418
FPB Holding AG............................................ 3,100 542,520
Fag Kugelfischer Georg Schaeffer AG....................... 53,350 896,254
Heidelberger Zement AG, Heidelberg........................ 18,100 1,817,320
Hochtief AG............................................... 77,400 3,560,038
*Holzmann (Philipp) AG.................................... 6,200 1,714,504
IVG Holding AG............................................ 5,500 229,991
SHARES VALUE+
--------- --------------
Karstadt AG............................................... 8,350 $ 4,367,522
Lahmeyer AG, Frankfurt.................................... 38,500 1,846,404
#Linde AG................................................. 4,600 3,405,898
Man AG, Muechen........................................... 14,000 5,575,530
Merck KGAA................................................ 45,400 1,759,680
*PWA Papierwerke Waldhof-Aschaffenburg AG................. 3,150 565,406
Ruetgerswerke AG.......................................... 467 78,061
*Schmalbach-Lubeca AG..................................... 1,370 365,786
Siemens AG................................................ 65,500 4,232,467
Thuega AG................................................. 267 79,675
Thyssen Industrie AG Essen................................ 2,500 613,505
Vereins & Westbank AG..................................... 5,446 1,557,929
Viag AG................................................... 1,000 560,919
Volkswagen AG............................................. 5,000 4,058,246
--------------
TOTAL COMMON STOCKS
(Cost $124,585,451)....................................... 204,464,541
--------------
INVESTMENT IN
CURRENCY -- (0.1%)
*German Marks (Cost $2,740,663)........................... 2,757,135
--------------
TOTAL -- GERMANY
(Cost $127,326,114)....................................... 207,221,676
--------------
FRANCE -- (9.4%)
COMMON STOCKS -- (9.1%)
#AGF (Assurances Generales de France SA).................. 41,214 2,541,961
AXA-UAP................................................... 25,000 2,845,672
Accor SA.................................................. 4,000 1,097,151
Banque Nationale de Paris................................. 191,044 16,317,439
Bongrain SA............................................... 1,463 744,611
Bouygues.................................................. 10,000 1,808,527
CPR (Cie Parisienne de Reescompte)........................ 16,385 1,369,349
*Centrale du Groupe des Assurances Nationales SA.......... 106,860 3,156,090
Christian Dior SA......................................... 25,700 3,556,814
Ciments Vicat............................................. 800 84,910
*#Club Mediterranee SA.................................... 8,000 784,921
Colas SA.................................................. 4,370 850,952
Credit Commercial de France............................... 43,891 3,346,790
*Credit National.......................................... 8,144 597,585
ECIA (Equipements et Composants pour l'Industrie
Automobile)............................................. 3,000 957,750
Elf Aquitaine............................................. 140,000 19,445,842
Eridania Beghin-Say SA.................................... 18,900 4,138,384
Esso SA................................................... 8,476 844,374
*Euro Disney SCA.......................................... 551,700 968,255
Fromageries Bel la Vache qui Rit.......................... 225 204,964
GTM Entrepose............................................. 21,077 1,965,806
Groupe Danone............................................. 42,500 11,444,114
Imetal.................................................... 8,000 1,123,225
LaFarge SA................................................ 68,857 6,986,095
*LaFarge SA Em 98......................................... 5,738 585,043
Labinal SA................................................ 3,200 1,230,199
Lyonnais des Eaux SA...................................... 57,442 9,802,864
Paribas................................................... 90,572 9,234,672
Pechiney SA Series A...................................... 49,075 2,497,729
Pernod-Ricard............................................. 34,300 2,542,070
Peugeot SA................................................ 36,550 7,141,667
#Rallye SA................................................ 14,220 738,480
Remy Cointreau SA......................................... 27,400 616,444
#Rhone-Poulenc SA Series A................................ 176,126 9,773,705
#Saint-Gobain............................................. 64,336 12,689,186
Societe Generale Paris.................................... 68,532 13,574,050
</TABLE>
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<TABLE>
<CAPTION>
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<S> <C> <C>
Sommer-Allibert SA........................................ 13,500 $ 700,637
Sophia SA................................................. 7,700 355,220
Thomson-CSF............................................... 87,203 3,527,317
Total SA.................................................. 40,000 4,967,599
Union Assurances Federales SA............................. 900 130,124
*Usinor................................................... 148,300 2,481,264
--------------
TOTAL COMMON STOCKS
(Cost $103,196,775)....................................... 169,769,851
--------------
INVESTMENT IN
CURRENCY -- (0.3%)
*French Francs (Cost $4,765,239).......................... 4,797,437
--------------
RIGHTS/WARRANTS -- (0.0%)
*AGF (Assurances Generales de France SA) Warrants 06/15/00
(Cost $180,303)......................................... 41,214 198,397
--------------
TOTAL -- FRANCE
(Cost $108,142,317)....................................... 174,765,685
--------------
SWITZERLAND -- (8.3%)
COMMON STOCKS -- (7.9%)
#Ascom Holding AG, Bern................................... 600 1,225,459
*Baloise-Holding, Basel................................... 8,787 20,947,888
Banca del Gotthard........................................ 4,550 3,452,588
Banque Cantonale Vaudois.................................. 5,795 2,480,834
Bobst SA, Prilly.......................................... 2,553 4,834,475
Credit Suisse Holding, Zuerich (Namen).................... 15,000 3,307,115
Danzas Holding AG......................................... 7,260 2,076,909
EGL (Elektrizitaets-Gesellschaft Laufenberg) AG,
Laufenberg.............................................. 3,173 589,051
*Financiere Richemont AG Units -A-........................ 6,943 9,949,897
Fischer (Georg) AG, Schaffhausen (Namen).................. 12,987 5,709,035
#Forbo Holding AG, Eglisau................................ 6,081 3,475,139
Helvetia Patria Holding, St. Gallen....................... 3,680 4,529,598
Holderbank Financiere Glarus AG, Glarus................... 900 1,152,824
Intershop Holding AG, Zuerich............................. 5,380 3,103,643
Jelmoli Holding AG, Zuerich............................... 500 608,671
Julius Baer Holding AG, Zuerich........................... 500 1,443,904
Oerlikon-Buehrle Holding AG, Zuerich...................... 44,781 9,085,640
Pargesa Holding SA, Geneve................................ 1,935 3,454,820
Roche Holding AG, Basel................................... 892 14,779,898
#SBG (Schweizerische Bankgesellschaft).................... 5,658 9,528,023
SBV (Schweizerischer Bankverein) (Namen).................. 12,000 4,341,857
#Sairgroup, Zuerich....................................... 35,640 10,918,837
*Saurer AG, Arbon......................................... 1,500 1,694,136
#Schindler Holding AG, Hergiswil.......................... 3,439 6,047,084
Schweizerische National Versicherungs Gesellschaft,
Basel................................................... 1,606 3,855,799
#Sig Schweizerische Industrie-Gesellschaft Holding AG,
Neuhausen AM Rheinfall.................................. 8,066 7,664,345
Sulzer AG, Winterthur..................................... 6,000 5,141,246
#UBS (Union Bank of Switzerland).......................... 4,275 1,439,812
Von Roll Holding AG, Gerlafingen.......................... 15,045 513,835
--------------
TOTAL COMMON STOCKS
(Cost $99,152,492)........................................ 147,352,362
--------------
SHARES VALUE+
--------- --------------
INVESTMENT IN
CURRENCY -- (0.4%)
*Swiss Francs (Cost $7,942,502)........................... $ 7,954,817
--------------
TOTAL -- SWITZERLAND
(Cost $107,094,994)....................................... 155,307,179
--------------
NETHERLANDS -- (6.8%)
COMMON STOCKS -- (6.8%)
ABN Amro Holding NV....................................... 1,252,433 30,358,914
Bijenkorf Beheer KBB NV, Amsterdam........................ 10,508 767,278
DSM NV.................................................... 38,851 3,935,257
#Fortis Amev NV........................................... 270,197 16,219,244
Hollandsche Beton Groep NV................................ 30,360 643,745
Ing Groep NV.............................................. 723,113 49,705,291
KLM (Koninklijke Luchtvaart Mij NV)....................... 76,540 3,032,524
Koninklijke Hoogovens NV.................................. 33,566 1,530,375
Koninklijke KNP BT........................................ 97,300 2,833,162
Nationale Investeringsbank NV Series A.................... 9,185 1,216,084
Pakhoed NV................................................ 37,037 1,327,306
Philips Electronics NV.................................... 110,000 10,462,998
Stad Rotterdam............................................ 39,899 3,485,314
Stork NV.................................................. 27,615 1,003,392
--------------
TOTAL COMMON STOCKS
(Cost $58,703,481)........................................ 126,520,884
--------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Netherlands Guilder (Cost $83,252)....................... 83,692
--------------
TOTAL -- NETHERLANDS
(Cost $58,786,733)........................................ 126,604,576
--------------
ITALY -- (5.9%)
COMMON STOCKS -- (5.9%)
Banca Commerciale Italiana SpA............................ 3,765,000 22,245,387
*Banca di Roma............................................ 7,168,500 14,791,558
*CIR SpA (Cie Industriale Riunite), Torino................ 885,000 1,151,084
#Cartiere Burgo SpA....................................... 235,000 2,078,722
Cia Assicuratrice Unipol SpA.............................. 116,134 571,812
Credito Italiano.......................................... 550,000 3,069,643
#Fiat SpA................................................. 3,967,399 17,772,898
*#Finmeccanica SpA........................................ 4,331,475 4,199,649
#Ifil Finanziaria Partecipazioni SpA, Torino.............. 907,000 4,718,795
*#Ing C.Olivetti & C SpA, Ivrea........................... 4,300,000 6,327,128
*#Istituto Bancario San Paolo Torino SpA.................. 1,003,500 15,736,807
#Italcementi Fabbriche Riunite Cemento SpA, Bergamo....... 364,000 3,782,342
Italmobiliare SpA, Milano................................. 14,330 524,487
Magneti Marelli SpA....................................... 700,000 1,783,071
#Montedison SpA........................................... 5,375,000 7,434,682
Sirti SpA................................................. 25,000 155,467
#Toro Assicurazioni Cia Anonima d'Assicurazione di Torino
SpA..................................................... 168,350 3,262,931
--------------
TOTAL COMMON STOCKS
(Cost $52,171,924)........................................ 109,606,463
--------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Italian Lira (Cost $1,021,272)........................... 1,014,432
--------------
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
--------- --------------
<S> <C> <C>
RIGHTS/WARRANTS -- (0.0%)
*Finmeccanica SpA Warrants 06/30/00 (Cost $0)............. 2,406,375 $ 0
--------------
TOTAL -- ITALY
(Cost $53,193,196)........................................ 110,620,895
--------------
SPAIN -- (3.1%)
COMMON STOCKS -- (3.1%)
Acerinox SA, Madrid....................................... 28,548 4,254,418
Autopistas Concesionaria Espanola SA...................... 364,300 5,886,484
Autopistas del Mare Nostrum SA............................ 168,100 3,438,320
Banco Pastor SA, La Coruna................................ 8,000 444,107
Cementos Portland SA...................................... 8,000 581,040
Compania Espanola de Petroleos SA, Madrid................. 118,394 4,475,522
Corporacion Mapfre Compania Internacional de Reaseguros
SA, Majadah Onda........................................ 16,800 649,506
Cristaleria Espanola SA, Madrid........................... 31,852 3,222,774
#DRACONSA (Dragados y Construcciones SA).................. 144,689 4,513,313
Ebro Agricolas Compania de Alimentacion SA................ 111,600 2,787,879
FESCA (Fuerzas Electricas de Cataluna SA) Series A........ 180,000 1,939,001
#Hidroelectrica del Cantabrico SA, Oviedo................. 88,200 4,138,519
Iberdrola SA.............................................. 535,000 8,839,175
Metrovacesa (Inmobiliaria Metropolitana Vasco Central).... 42,840 2,550,893
Portland Valderrivas SA................................... 928 117,445
Sevillana de Electricidad SA.............................. 210,000 2,442,586
Union Electrica Fenosa SA................................. 230,000 2,857,615
Uralita SA................................................ 24,500 336,781
Vallehermoso SA........................................... 80,000 3,077,024
--------------
TOTAL COMMON STOCKS
(Cost $39,986,204)........................................ 56,552,402
--------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Spanish Peseta (Cost $390,190)........................... 389,841
--------------
TOTAL -- SPAIN
(Cost $40,376,394)........................................ 56,942,243
--------------
SWEDEN -- (2.9%)
COMMON STOCKS -- (2.9%)
Assidomaen AB............................................. 100,300 3,189,238
*Asticus AB............................................... 30,685 340,904
Avesta Sheffield AB....................................... 210,100 1,234,157
Diligentia AB............................................. 61,370 564,255
Electrolux AB Series B.................................... 8,900 886,485
Gullspangs Kraft AB Series B.............................. 22,800 366,853
Kinnevik Industrifoervaltnings AB Series A................ 3,200 118,504
Kinnevik Industrifoervaltnings AB Series B................ 55,000 2,012,213
Mo Och Domsjoe AB Series A................................ 6,300 202,734
#Mo Och Domsjoe AB Series B............................... 109,200 3,444,342
*Modern Times Group AB Series A........................... 3,200 35,756
NCC AB Series A........................................... 45,400 550,765
NCC AB Series B........................................... 95,000 1,152,481
SSAB Swedish Steel Series A............................... 124,300 2,420,626
SSAB Swedish Steel Series B............................... 45,900 887,998
Skandinaviska Enskilda Banken Series A.................... 150,000 2,499,703
SHARES VALUE+
--------- --------------
Stora Kopparbergs Bergslags AB Series A................... 340,300 $ 5,518,897
Stora Kopparbergs Bergslags AB Series B................... 79,400 1,287,689
Svenska Cellulosa AB Series A............................. 57,000 1,554,030
Svenska Cellulosa AB Series B............................. 199,800 5,511,070
Svenska Handelsbanken Series A............................ 80,000 3,371,247
#Svenska Kullagerfabriken AB Series A..................... 53,300 1,106,031
Svenska Kullagerfabriken AB Series B...................... 83,900 1,789,226
Sydkraft AB Series C...................................... 6,600 176,990
Trelleborg AB Series B.................................... 140,100 1,985,856
Volvo AB Series A......................................... 136,500 4,314,143
Volvo AB Series B......................................... 237,400 7,594,079
--------------
TOTAL COMMON STOCKS
(Cost $39,687,257)........................................ 54,116,272
--------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Swedish Krona (Cost $505,150)............................ 502,707
--------------
RIGHTS/WARRANTS -- (0.0%)
*Fastighets AB Balder Rights 06/17/98..................... 80,000 77,130
*SSAB Swedish Steel Series B Redemption Rights 06/01/98... 33,300 25,514
--------------
TOTAL RIGHTS/WARRANTS
(Cost $0)................................................. 102,644
--------------
TOTAL -- SWEDEN
(Cost $40,192,407)........................................ 54,721,623
--------------
AUSTRALIA -- (2.4%)
COMMON STOCKS -- (2.4%)
Amcor, Ltd................................................ 505,844 2,344,584
Australian National Industries, Ltd....................... 575,169 348,009
#Boral, Ltd............................................... 947,589 1,887,403
*Burns, Philp & Co., Ltd.................................. 424,307 45,180
CSR, Ltd.................................................. 842,897 2,476,081
Email, Ltd................................................ 219,554 430,431
*FXF Trust................................................ 176,912 27,702
Fosters Brewing Group, Ltd................................ 1,570,209 3,412,749
GIO Australia Holdings, Ltd............................... 480,259 1,353,647
George Weston Foods, Ltd.................................. 65,489 344,560
MIM Holdings.............................................. 1,344,941 699,196
News Corp., Ltd........................................... 1,164,255 7,182,933
North, Ltd................................................ 398,964 929,596
Pacific Dunlop, Ltd....................................... 756,467 1,369,321
Pioneer International, Ltd................................ 658,231 1,754,266
Publishing and Broadcasting, Ltd.......................... 176,912 839,932
Qantas Airways, Ltd....................................... 866,929 1,341,214
Rio Tinto, Ltd............................................ 481,023 5,798,006
Stockland Trust Group..................................... 146,873 356,017
*Stockland Trust Group Issue 98........................... 4,958 11,614
Suncorp Metway Limited.................................... 35,000 190,724
WMC, Ltd.................................................. 844,189 2,643,790
#Westpac Banking Corp..................................... 1,299,377 8,586,281
--------------
TOTAL COMMON STOCKS
(Cost $46,435,914)........................................ 44,373,236
--------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Australian Dollar (Cost $426,444)........................ 414,991
--------------
</TABLE>
12
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
--------- --------------
<S> <C> <C>
PREFERRED STOCKS -- (0.0%)
Village Roadshow, Ltd. (Cost $5,879)...................... 1,759 $ 2,809
--------------
TOTAL -- AUSTRALIA
(Cost $46,868,237)........................................ 44,791,036
--------------
HONG KONG -- (1.8%)
COMMON STOCKS -- (1.7%)
#Amoy Properties, Ltd..................................... 4,454,000 2,859,550
Chinese Estates Holdings, Ltd............................. 2,675,131 617,949
*Evergo China Holdings, Ltd............................... 285,280 6,921
#Great Eagle Holdings, Ltd................................ 593,910 613,147
HKR International, Ltd.................................... 1,077,384 479,672
Hang Lung Development Co., Ltd............................ 2,029,000 2,094,722
Hongkong & Shanghai Hotels, Ltd........................... 1,789,124 958,171
Hopewell Holdings, Ltd.................................... 6,044,000 818,970
Hysan Development Co., Ltd................................ 1,562,000 1,592,438
#Kerry Properties, Ltd.................................... 1,261,000 1,171,661
Miramar Hotel & Investment Co., Ltd....................... 600,000 518,777
*New World Development Co. Ltd............................ 1,240,739 2,930,123
#Paliburg Holdings, Ltd................................... 2,470,625 1,594,157
Realty Development Corp., Ltd. Series A................... 213,000 461,789
Shangri-la Asia, Ltd...................................... 2,982,000 1,962,602
Sino Hotels (Holdings), Ltd............................... 543,653 65,948
#Sino Land Co., Ltd....................................... 4,557,200 1,558,469
Swire Pacific, Ltd. Series A.............................. 865,000 3,198,122
Tsim Sha Tsui Properties, Ltd............................. 1,174,000 1,969,544
Wharf Holdings, Ltd....................................... 3,487,000 4,454,936
#Wheelock and Co., Ltd.................................... 3,105,000 2,123,693
--------------
TOTAL COMMON STOCKS
(Cost $63,978,732)........................................ 32,051,361
--------------
INVESTMENT IN
CURRENCY -- (0.1%)
*Hong Kong Dollars (Cost $815,681)........................ 820,702
--------------
TOTAL -- HONG KONG
(Cost $64,794,413)........................................ 32,872,063
--------------
BELGIUM -- (1.8%)
COMMON STOCKS -- (1.7%)
*Banque Bruxelles Lambert VVPR............................ 128 3
Bekaert SA................................................ 2,500 1,974,784
Credit Communal Holding Dexia Belgium..................... 5,400 808,283
Electrabel SA............................................. 4,600 1,151,736
#Electrafina SA........................................... 8,000 1,101,661
Generale de Banque SA..................................... 13,830 10,134,100
Generale de Banque SA VVPR................................ 630 17
#Generale de Belgique SA.................................. 19,080 3,401,159
#Glaverbel SA............................................. 11,312 1,677,812
Glaverbel SA VVPR......................................... 22 1
#Groupe Bruxelles Lambert SA, Bruxelles................... 6,300 1,385,349
Nationale a Portefeuille.................................. 4,700 432,976
Sofina SA................................................. 500 530,351
#Solvay SA................................................ 80,490 5,903,479
Union Miniere SA.......................................... 28,300 1,929,308
--------------
TOTAL COMMON STOCKS
(Cost $19,678,604)........................................ 30,431,019
--------------
SHARES VALUE+
--------- --------------
INVESTMENT IN
CURRENCY -- (0.1%)
*Belgian Francs (Cost $2,266,008)......................... $ 2,265,580
--------------
TOTAL -- BELGIUM
(Cost $21,944,612)........................................ 32,696,599
--------------
DENMARK -- (1.2%)
COMMON STOCKS -- (1.2%)
Bikuben Girobank A.S...................................... 32,497 1,913,910
Den Danske Bank A.S....................................... 44,140 5,491,707
Forsikringsselskabet Codan A.S............................ 7,662 1,198,642
Jyske Bank A.S............................................ 9,990 1,191,431
Tele Danmark A.S. Series B................................ 70,184 6,572,242
Tryg Baltica Forsikring A.S............................... 56,055 1,485,611
Unidanmark A.S. Series A.................................. 51,864 4,192,341
--------------
TOTAL COMMON STOCKS
(Cost $16,803,513)........................................ 22,045,884
--------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Danish Krone (Cost $88,513).............................. 89,743
--------------
TOTAL -- DENMARK
(Cost $16,892,026)........................................ 22,135,627
--------------
MALAYSIA -- (0.6%)
COMMON STOCKS -- (0.6%)
Berjaya Group Berhad...................................... 1,302,500 225,534
*Berjaya Industrial Berhad................................ 691,000 67,472
Berjaya Leisure Berhad.................................... 235,000 151,751
Commerce Asset Holding Berhad............................. 759,000 401,190
Genting Berhad............................................ 750,000 1,952,871
Golden Hope Plantations Berhad............................ 1,340,000 1,465,434
Hap Seng Consolidated Berhad.............................. 120,000 140,607
Highlands and Lowlands Berhad............................. 607,000 594,277
Hong Leong Credit Berhad.................................. 309,000 234,938
IOI Corp. Berhad.......................................... 436,000 294,035
Kuala Lumpur Kepong Berhad................................ 677,000 1,198,698
#Malayan Banking Berhad................................... 514,400 723,281
#Malaysian Airlines System................................ 200,000 119,776
*Malaysian Resources Corp. Berhad......................... 332,000 101,143
Mulpha International Berhad............................... 1,291,250 154,661
Perlis Plantations Berhad................................. 380,000 465,044
#Perusahaan Otomobil Nasional Berhad...................... 173,000 172,076
*#Renong Berhad........................................... 1,008,000 212,597
Sime Darby Berhad (Malaysia).............................. 846,000 674,068
Southern Bank Berhad (Foreign)............................ 130,000 62,284
*Southern Bank Berhad (Foreign) Issue 98.................. 162,500 63,468
Tenaga Nasional Berhad.................................... 774,000 1,279,755
--------------
TOTAL COMMON STOCKS
(Cost $24,114,944)........................................ 10,754,960
--------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Malaysian Ringetts (Cost $16,901)........................ 16,301
--------------
TOTAL -- MALAYSIA
(Cost $24,131,845)........................................ 10,771,261
--------------
FINLAND -- (0.6%)
COMMON STOCKS -- (0.5%)
Asko Oyj.................................................. 31,400 675,178
Enso Oy Series A.......................................... 74,500 825,031
Enso Oy Series R.......................................... 157,400 1,728,559
Finnair Oyj............................................... 67,000 692,509
Kemira Oyj................................................ 104,300 1,087,666
</TABLE>
13
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
--------- --------------
<S> <C> <C>
Kesko Oyj................................................. 46,900 $ 796,385
#Metsa-Serla Oyj Series B................................. 111,800 1,217,465
Outokumpu Oyj Series A.................................... 100,800 1,415,819
Rauma Oyj................................................. 25,900 535,402
Rautaruukki Oy Series K................................... 107,900 900,166
--------------
TOTAL COMMON STOCKS
(Cost $9,581,939)......................................... 9,874,180
--------------
INVESTMENT IN
CURRENCY -- (0.1%)
*Finnish Markka (Cost $847,906)........................... 857,471
--------------
TOTAL -- FINLAND
(Cost $10,429,845)........................................ 10,731,651
--------------
NORWAY -- (0.5%)
COMMON STOCKS -- (0.5%)
#Bergesen Dy ASA Series A................................. 105,892 2,136,861
Den Norske Bank ASA Series A.............................. 505,994 2,720,632
Kvaerner ASA.............................................. 59,851 2,260,597
Norsk Hydro ASA........................................... 15,100 685,603
Norske Skogindustrier ASA Series A........................ 52,781 1,639,695
--------------
TOTAL COMMON STOCKS
(Cost $9,589,457)......................................... 9,443,388
--------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Norwegian Krone (Cost $637,731).......................... 634,148
--------------
TOTAL -- NORWAY
(Cost $10,227,188)........................................ 10,077,536
--------------
SINGAPORE -- (0.5%)
COMMON STOCKS -- (0.5%)
Fraser & Neave, Ltd....................................... 682,000 2,322,208
Industrial & Commercial Bank, Ltd......................... 13,000 21,744
Keppel Corp., Ltd......................................... 701,000 1,398,642
Sembawang Corp., Ltd...................................... 107,000 196,869
Singapore Airlines, Ltd. (Foreign)........................ 40,000 222,221
Singapore Land, Ltd....................................... 1,048,000 2,191,146
#Straits Steamship Land, Ltd.............................. 1,891,000 1,818,693
Straits Trading Co., Ltd.................................. 552,000 346,234
--------------
TOTAL COMMON STOCKS
(Cost $18,386,691)........................................ 8,517,757
--------------
SHARES VALUE+
--------- --------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Singapore Dollars (Cost $51)............................. $ 100
--------------
TOTAL -- SINGAPORE
(Cost $18,386,742)........................................ 8,517,857
--------------
NEW ZEALAND -- (0.1%)
COMMON STOCKS -- (0.1%)
Carter Holt Harvey, Ltd................................... 986,100 1,166,656
Independent Newspapers, Ltd. (Auckland)................... 50,547 202,949
Lion Nathan, Ltd.......................................... 227,600 560,480
--------------
TOTAL COMMON STOCKS
(Cost $2,238,417)......................................... 1,930,085
--------------
INVESTMENT IN
CURRENCY -- (0.0%)
*New Zealand Dollar (Cost $372)........................... 359
--------------
TOTAL -- NEW ZEALAND
(Cost $2,238,789)......................................... 1,930,444
--------------
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C>
FACE
AMOUNT
---------
<CAPTION>
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- (0.4%)
Repurchase Agreement, PNC Capital Markets Inc. 5.25%,
06/01/98 (Collateralized by U.S. Treasury Notes 5.25%,
01/31/01, valued at $7,384,050) to be repurchased at
$7,276,182. (Cost $7,273,000)........................... $7,273 7,273,000
--------------
TOTAL INVESTMENTS -- (100.0%) (Cost $1,618,303,098)++....... $1,859,416,662
--------------
--------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Total or Partial Securities on Loan
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
14
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 1998
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<TABLE>
<S> <C>
ASSETS:
Investments at Value................................................................... $ 1,859,417
Collateral for Securities Loaned....................................................... 328,084
Receivables
Dividends and Interest............................................................... 8,770
Investment Securities Sold........................................................... 9,491
Fund Shares Sold..................................................................... 680
Prepaid Expenses and Other Assets...................................................... 24
-------------
Total Assets....................................................................... 2,206,466
-------------
LIABILITIES:
Payable for Securities Loaned.......................................................... 328,084
Payable for Investment Securities Purchased............................................ 5,647
Payable for Fund Shares Redeemed....................................................... 201
Accrued Expenses and Other Liabilities................................................. 575
-------------
Total Liabilities.................................................................. 334,507
-------------
-------------
NET ASSETS............................................................................. $ 1,871,959
-------------
-------------
SHARES OUTSTANDING $.01 PAR VALUE
(Authorized 100,000,000)............................................................. 145,519,970
-------------
-------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............................... $ 12.86
-------------
-------------
Investments at Cost.................................................................... $ 1,618,303
-------------
-------------
</TABLE>
See accompanying Notes to Financial Statements.
15
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1998
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<S> <C>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $2,196)......................... $ 19,821
Interest.................................................................... 634
Income from Securities Lending.............................................. 647
--------
Total Investment Income................................................. 21,102
--------
EXPENSES
Investment Advisory Services................................................ 1,750
Accounting & Transfer Agent Fees............................................ 419
Custodian's Fee............................................................. 349
Legal Fees.................................................................. 13
Audit Fees.................................................................. 18
Shareholders' Reports....................................................... 16
Trustees' Fees and Expenses................................................. 3
Other....................................................................... 45
--------
Total Expenses.......................................................... 2,613
--------
Net Investment Income....................................................... 18,489
--------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY
Net Realized Gain on Investment Securities.................................. 36,358
Net Realized Gain on Foreign Currency Transactions.......................... 512
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.............................. 247,185
Translation of Foreign Currency Denominated Amounts..................... (269)
--------
NET GAIN ON INVESTMENT SECURITIES AND FOREIGN CURRENCY...................... 283,786
--------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............................ $302,275
--------
--------
</TABLE>
See accompanying Notes to Financial Statements.
16
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
SIX MONTHS YEAR ENDED
ENDED MAY NOV. 30,
31, 1998 1997
----------- ----------
(UNAUDITED)
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income.......................................................... $ 18,489 $ 31,305
Net Realized Gain on Investment Securities..................................... 36,358 6,023
Net Realized Gain (Loss) on Foreign Currency Transactions...................... 512 (1,666)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................................... 247,185 (107,773)
Translation of Foreign Currency Denominated Amounts.......................... (269) (44)
----------- ----------
Net Increase (Decrease) in Net Assets Resulting from Operations.............. 302,275 (72,155)
----------- ----------
Distributions From:
Net Investment Income.......................................................... (9,246) (29,074)
Net Realized Gains............................................................. (4,181) (27,255)
----------- ----------
Total Distributions........................................................ (13,427) (56,329)
----------- ----------
Capital Share Transactions (1):
Shares Issued.................................................................. 95,014 409,256
Shares Issued in Lieu of Cash Distributions.................................... 13,427 56,329
Shares Redeemed................................................................ (107,416) (111,867)
----------- ----------
Net Increase From Capital Share Transactions................................. 1,025 353,718
----------- ----------
Total Increase............................................................. 289,873 225,234
NET ASSETS
Beginning of Period............................................................ 1,582,086 1,356,852
----------- ----------
End of Period.................................................................. $ 1,871,959 $1,582,086
----------- ----------
----------- ----------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................................ 8,048 34,790
Shares Issued in Lieu of Cash Distributions.................................. 1,259 4,875
Shares Redeemed.............................................................. (8,990) (9,587)
----------- ----------
317 30,078
----------- ----------
----------- ----------
</TABLE>
17
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGH EACH PERIOD)
<TABLE>
<CAPTION>
SIX MONTHS YEAR ENDED YEAR ENDED YEAR ENDED FEB. 16 TO
ENDED MAY NOV. 30, NOV. 30, NOV. 30, NOV. 30,
31, 1998 1997 1996 1995 1994
---------- ---------- ---------- ---------- ----------
(UNAUDITED)
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period.... $ 10.90 $ 11.79 $ 10.55 $ 10.06 $ 10.00
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income................. 0.13 0.24 0.23 0.20 0.13
Net Gains (Losses) on Securities
(Realized and Unrealized)........... 1.92 (0.67) 1.32 0.52 0.07
---------- ---------- ---------- ---------- ----------
Total from Investment Operations...... 2.05 (0.43) 1.55 0.72 0.20
---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS
Net Investment Income................. (0.06) (0.22) (0.23) (0.21 ) (0.13)
Net Realized Gains.................... (0.03) (0.24) (0.08) (0.02 ) (0.01)
---------- ---------- ---------- ---------- ----------
Total Distributions................... (0.09) (0.46) (0.31) (0.23 ) (0.14)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period.......... $ 12.86 $ 10.90 $ 11.79 $ 10.55 $ 10.06
---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ----------
Total Return............................ 19.01%# (3.84)% 14.85% 7.20% 1.99%#
Net Assets, End of Period (thousands)... $1,871,959 $1,582,086 $1,356,852 $ 609,386 $ 348,381
Ratio of Expenses to Average Net
Assets................................ 0.30%* 0.32% 0.36% 0.42% 0.45%*(a)
Ratio of Net Investment Income to
Average Net Assets.................... 2.12%* 2.09% 2.23% 2.14% 1.84%*(a)
Portfolio Turnover Rate................. 18.78%* 22.55% 12.23% 9.75% 1.90%*
Average Commission Rate................. $ 0.0167 $ 0.0068 $ 0.0112 N/A N/A
</TABLE>
- --------------
* Annualized
# Non-Annualized
(a) Had certain waivers not been in effect, the ratio of expenses to average net
assets for the period ended November 30, 1994 would have been 0.48%, and the
ratio of net investment income to average net assets for the period ended
November 30, 1994 would have been 1.81%.
18
<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 series, of which The DFA International 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 are valued at the last quoted sale price. 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. FOREIGN CURRENCY TRANSLATION: Securities, other assets and liabilities
of The DFA International Value Series whose values are initially expressed in
foreign currencies are translated to U.S. dollars at the mean price of such
currency against U.S. dollars last quoted by a major bank. Dividend and interest
income and certain expenses are translated to U.S. dollars at the rate of
exchange on their respective accrual dates. Receivables and payables denominated
in foreign currencies are marked to market daily based on daily exchange rates
and exchange gains or losses are realized upon ultimate receipt or disbursement.
3. 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.
4. 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 with the Trust's
custodian or a third party sub-custodian. All open repurchase agreements were
entered into on May 29, 1998.
5. FOREIGN MARKET RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States, including the possibility of future political and economic
developments and the level of foreign government supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid and
more volatile than the major securities markets in the United States.
Consequently, acquisition and disposition of securities by the Fund may be
inhibited.
6. 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.
19
<PAGE>
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("DFA" or the "Advisor") provides investment
advisory services to the Series. For the six months ended May 31, 1998, the
Series' advisory fees were computed daily and paid monthly to the Advisor based
on an effective annual rate of 0.20 of 1% of average daily net assets.
Certain officers of the Series are also officers, directors and shareholders
of the Advisor.
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 1998, the Series made the following
purchases and sales of investment securities other than U.S. Government
Securities (amounts in thousands):
<TABLE>
<S> <C>
Purchases.................................................. $ 160,728
Sales...................................................... 178,857
</TABLE>
E. INVESTMENT TRANSACTIONS:
At May 31, 1998, gross unrealized appreciation and depreciation for
financial reporting and federal income tax purposes of investment securities and
foreign currencies was as follows (amounts in thousands):
<TABLE>
<S> <C>
Gross Unrealized Appreciation............................. $ 532,694
Gross Unrealized Depreciation............................. (291,580)
----------
Net....................................................... $ 241,114
----------
----------
</TABLE>
F. LINE OF CREDIT:
The Trust, together with other DFA-advised portfolios, has entered into a
$50 million unsecured line of credit with its domestic custodian bank. Each
series 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 series 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, 1998.
G. COMPONENTS OF NET ASSETS:
At May 31, 1998, net assets consisted of (amounts in thousands):
<TABLE>
<S> <C>
Paid-In Capital.......................................... $ 1,582,361
Undistributed Net Investment Income...................... 10,103
Undistributed Net Realized Gain.......................... 38,156
Undistributed Net Realized Foreign Exchange Gain......... 512
Unrealized Appreciation of Investment Securities and
Foreign Currency....................................... 241,114
Unrealized Net Foreign Exchange Loss..................... (287)
-----------
$ 1,871,959
-----------
-----------
</TABLE>
H. SECURITIES LENDING:
Loans of international securities are required at all times to be secured by
collateral at least equal to 105% 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. Such cash collateral for May 31,
1998 was reinvested into overnight repurchase agreements with Salomon Brothers,
which was in turn collateralized by U.S. Government Treasury Securities. At May
31, 1998, the market value of securities on loan to brokers was $311,067,556,
the related collateral cash received was $328,083,824 and the value of
collateral on overnight repurchase agreements was $339,953,101.
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