<PAGE>
- --------------------------------------------------------------------------------
Dimensional Investment Group Inc.
RWB/DFA U.S. High Book to Market Portfolio
Semi-Annual Report
Six Months Ended May 31, 1998
(Unaudited)
-------------------------------------
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
RWB/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
------
<S> <C>
DIMENSIONAL INVESTMENT GROUP INC.
Statement of Assets and Liabilities................................. 1
Statement of Operations............................................. 2
Statements of Changes in Net Assets................................. 3
Financial Highlights................................................ 4
Notes to Financial Statements....................................... 5-6
THE DFA INVESTMENT TRUST COMPANY -- THE U.S. LARGE CAP VALUE SERIES
Schedule of Investments............................................. 7-8
Statement of Assets and Liabilities................................. 9
Statement of Operations............................................. 10
Statements of Changes in Net Assets................................. 11
Financial Highlights................................................ 12
Notes to Financial Statements....................................... 13-14
</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.
RWB/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 1998
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<TABLE>
<S> <C>
ASSETS:
Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company
(7,610,387 Shares, Cost $119,266++) at Value.......................................... $ 152,132
Receivable for Investment Securities Sold............................................... 134
Receivable for Fund Shares Sold......................................................... 95
Prepaid Expenses and Other Assets....................................................... 47
------------
Total Assets........................................................................ 152,408
------------
LIABILITIES:
Payable for Fund Shares Redeemed........................................................ 229
Accrued Expenses........................................................................ 26
------------
Total Liabilities................................................................... 255
------------
NET ASSETS.............................................................................. $ 152,153
------------
------------
SHARES OUTSTANDING, $.01 PAR VALUE
(Authorized 100,000,000).............................................................. 10,264,429
------------
------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE................................ $ 14.82
------------
------------
NET ASSETS CONSIST OF:
Paid-In Capital......................................................................... $ 114,637
Accumulated Net Investment Loss......................................................... (65)
Undistributed Net Realized Gain......................................................... 4,715
Unrealized Appreciation of Investment Securities........................................ 32,866
------------
Total Net Assets.................................................................... $ 152,153
------------
------------
</TABLE>
- --------------
++ The cost for Federal income tax purposes is $119,837.
See accompanying Notes to Financial Statements.
1
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
RWB/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1998
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<S> <C>
INVESTMENT INCOME
Income Distributions Received from The DFA Investment Trust Company................. $ 700
---------
EXPENSES
Administrative Services............................................................. 7
Accounting & Transfer Agent Fees.................................................... 10
Client Services Fees................................................................ 64
Legal Fees.......................................................................... 3
Audit Fees.......................................................................... --
Filing Fees......................................................................... 19
Shareholders' Reports............................................................... 7
Directors' Fees and Expenses........................................................ 1
Organization Costs.................................................................. 3
Other............................................................................... 1
---------
Total Expenses.................................................................. 115
---------
NET INVESTMENT INCOME............................................................... 585
---------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Capital Gain Distributions Received from The DFA Investment Trust Company............... 7,112
Net Realized Loss on Investment Securities.............................................. (313)
Change in Unrealized Appreciation (Depreciation) of Investment Securities............... 14,981
---------
NET GAIN ON INVESTMENT SECURITIES................................................... 21,780
---------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.................................... $ 22,365
---------
---------
</TABLE>
See accompanying Notes to Financial Statements.
2
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
RWB/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
1998 1997
------------ -----------
<S> <C> <C>
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income.................................................................. $ 585 $ 1,506
Capital Gain Distributions Received from The DFA Investment Trust Company.............. 7,112 2,333
Net Realized Loss on Investment Securities............................................. (313) (84)
Change in Unrealized Appreciation (Depreciation) of Investment Securities.............. 14,981 14,338
------------ -----------
Net Increase in Net Assets Resulting from Operations............................... 22,365 18,093
------------ -----------
Distributions From:
Net Investment Income.................................................................. (1,089) (1,243)
Net Capital Gains...................................................................... (3,940) (391)
------------ -----------
Total Distributions................................................................ (5,029) (1,634)
------------ -----------
Capital Share Transactions (1):
Shares Issued.......................................................................... 29,810 92,481
Shares Issued in Lieu of Cash Distributions............................................ 4,616 1,421
Shares Redeemed........................................................................ (28,093) (22,585)
------------ -----------
Net Increase From Capital Share Transactions....................................... 6,333 71,317
------------ -----------
Total Increase..................................................................... 23,669 87,776
NET ASSETS
Beginning of Period.................................................................... 128,484 40,708
------------ -----------
End of Period.......................................................................... $ 152,153 $ 128,484
------------ -----------
------------ -----------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.......................................................................... 2,135 7,748
Shares Issued in Lieu of Cash Distributions............................................ 365 122
Shares Redeemed........................................................................ (2,030) (1,857)
------------ -----------
470 6,013
------------ -----------
------------ -----------
</TABLE>
See accompanying Notes to Financial Statements.
3
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
RWB/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
SIX MONTHS YEAR JUNE 7,
ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30,
1998 1997 1996
---------- ---------- ----------
<S> <C> <C> <C>
(UNAUDITED)
Net Asset Value, Beginning of Period......................................... $ 13.12 $ 10.77 $ 10.00
---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income...................................................... 0.06 0.20 0.08
Net Gains on Securities (Realized and Unrealized).......................... 2.15 2.45 0.72
---------- ---------- ----------
Total from Investment Operations........................................... 2.21 2.65 0.80
---------- ---------- ----------
LESS DISTRIBUTIONS
Net Investment Income...................................................... (0.11) (0.20) (0.03)
Net Realized Gains......................................................... (0.40) (0.10) --
---------- ---------- ----------
Total Distributions........................................................ (0.51) (0.30) (0.03)
---------- ---------- ----------
Net Asset Value, End of Period............................................... $ 14.82 $ 13.12 $ 10.77
---------- ---------- ----------
---------- ---------- ----------
Total Return................................................................. 17.55%# 25.01% 8.06%#
Net Assets, End of Period (thousands)...................................... $ 152,153 $ 128,484 $ 40,708
Ratio of Expenses to Average Net Assets (1)................................ 0.32%* 0.36% 0.71%*
Ratio of Net Investment Income to Average Net Assets....................... 0.83%* 1.76% 2.70%*
Portfolio Turnover Rate.................................................... N/A N/A N/A
Average Commission Rate.................................................... N/A N/A N/A
Portfolio Turnover Rate of Master Fund Series.............................. 22.09%* 17.71% 20.12%(a)
Average Commission Rate of Master Fund Series.............................. $ 0.0484 $ 0.0494 $ 0.0499(a)
</TABLE>
- --------------
* Annualized
# Non-Annualized
(1) Represents the combined ratio for the Portfolio and its respective pro-rata
share of its Master Fund Series.
(a) Items calculated for the period ended November 30, 1996.
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 RWB/DFA U.S. High Book to Market Portfolio (the "Portfolio") is
presented in this report.
The Portfolio invests all of its assets in The U.S. Large Cap Value Series
(the "Series"), a corresponding series of The DFA Investment Trust Company. At
May 31, 1998, the Portfolio owned 9% 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 daily net
assets.
In addition, pursuant to a Client Service Agreement with Reinhardt Werba
Bowen Advisory Services ("RWBAS"), the Portfolio pays to RWBAS a fee at the
effective annual rate of 0.09% of its average daily net assets.
Certain officers of the Portfolio are also officers, directors and
shareholders of the Advisor.
5
<PAGE>
D. INVESTMENTS:
At May 31, 1998, gross unrealized appreciation and depreciation for
financial reporting and federal income tax purposes of investment securities was
as follows (amounts in thousands):
<TABLE>
<S> <C>
Gross Unrealized Appreciation........................... $ 32,866
Gross Unrealized Depreciation........................... --
---------
Net..................................................... $ 32,866
---------
---------
</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 U.S. LARGE CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
--------- --------------
<S> <C> <C>
COMMON STOCKS -- (99.5%)
AK Steel Holding Corp...................................... 156,800 $ 2,920,400
*AMR Corp.................................................. 226,500 34,866,844
*Advanced Micro Devices, Inc............................... 485,900 9,475,050
Advanta Corp. Class A...................................... 20,313 421,495
Advanta Corp. Class B Non-Voting........................... 40,225 763,018
#Aetna, Inc................................................ 544,726 42,590,764
Agco Corp.................................................. 141,400 3,552,675
Albemarle Corp............................................. 97,500 2,370,469
*Alexander & Baldwin, Inc.................................. 109,700 3,160,731
*Alleghany Corp............................................ 8,432 2,993,360
Alumax, Inc................................................ 138,500 6,483,531
Ambac, Inc................................................. 150,200 8,214,062
#Amerada Hess Corp......................................... 179,900 9,725,844
American Financial Group, Inc. (New)....................... 32,300 1,459,556
American General Corp...................................... 440,707 29,582,457
American Greetings Corp. Class A........................... 19,400 921,500
American National Insurance Co............................. 21,900 2,322,769
Apache Corp................................................ 156,600 5,353,762
*#Apple Computer, Inc...................................... 179,700 4,778,897
Archer-Daniels Midland Co.................................. 1,168,510 22,055,626
Argonaut Group, Inc........................................ 32,100 1,038,234
*Arrow Electronics, Inc.................................... 287,600 7,243,925
*#Asarco, Inc.............................................. 104,900 2,379,919
*Associates First Capital Corp. Class A.................... 696,019 52,070,921
Astoria Financial Corp..................................... 13,800 759,431
*#Atmel Corp............................................... 95,400 1,410,131
Avnet, Inc................................................. 55,600 3,280,400
Ball Corp.................................................. 112,500 4,436,719
Bear Stearns Companies, Inc................................ 204,437 11,090,707
Berkley (W.R.) Corp........................................ 44,600 2,101,775
*#Bethlehem Steel Corp..................................... 275,500 3,374,875
*Beverly Enterprises....................................... 296,100 4,237,931
Black & Decker Corp........................................ 220,100 12,848,337
Block Drug Co., Inc. Class A............................... 36,494 1,603,455
Boise Cascade Corp......................................... 162,100 5,410,087
Borg Warner Automotive, Inc................................ 46,300 2,639,100
#Bowater, Inc.............................................. 141,300 7,153,312
*Brinker International, Inc................................ 97,500 2,120,625
*Burlington Industries, Inc................................ 100,800 1,770,300
#Burlington Northern Santa Fe Corp......................... 278,600 27,720,700
#CIGNA Corp................................................ 269,424 18,455,544
*CNA Financial Corp........................................ 137,500 20,796,875
CSX Corp................................................... 474,500 22,598,062
*Cabletron Systems, Inc.................................... 438,500 5,645,687
Capital Re Corp............................................ 8,300 618,350
Carpenter Technology Corp.................................. 7,500 397,500
Century Telephone Enterprises, Inc......................... 121,800 5,397,262
Champion International Corp................................ 196,000 9,408,000
Chesapeake Corp............................................ 15,100 536,050
Chiquita Brands International, Inc......................... 111,200 1,494,250
*Chris-Craft Industries, Inc............................... 68,808 3,616,720
Chrysler Corp.............................................. 1,711,426 95,198,071
#Cincinnati Financial Corp................................. 296,580 12,511,969
Circuit City Stores, Inc. (Circuit City Group)............. 64,800 2,745,900
*#Circus Circus Enterprises, Inc........................... 271,300 4,815,575
Citizens Corp.............................................. 21,600 693,900
<CAPTION>
SHARES VALUE+
--------- --------------
<S> <C> <C>
Commerce Group, Inc........................................ 54,700 $ 1,952,106
Comsat Corp. Series 1...................................... 96,600 3,368,925
*Consolidated Freightways Corp............................. 50,450 747,291
Consolidated Papers, Inc................................... 22,600 653,987
Coors (Adolph) Co. Class B................................. 80,500 3,021,266
Countrywide Credit Industries, Inc......................... 258,600 11,960,250
Cummins Engine Co., Inc.................................... 95,200 4,950,400
*Cypress Semiconductor Corp................................ 184,700 1,581,494
Cyprus Amax Minerals Co., Inc.............................. 238,900 3,792,537
*DSC Communications Corp................................... 372,300 6,364,003
Darden Restaurants, Inc.................................... 356,000 5,495,750
*Digital Equipment Corp.................................... 389,300 21,362,837
Dillards, Inc. Class A..................................... 321,700 13,531,506
*EEX Corp.................................................. 434,154 4,287,271
Echlin, Inc................................................ 29,500 1,401,250
#Enhance Financial Services Group, Inc..................... 13,200 859,650
Enron Corp................................................. 16,600 832,075
*Extended Stay America, Inc................................ 38,900 427,900
*#Federated Department Stores, Inc......................... 606,300 31,413,919
Fina, Inc. Class A......................................... 35,200 2,261,600
#Financial Security Assurance Holdings, Ltd................ 41,800 2,476,650
Fingerhut Companies, Inc................................... 106,800 3,130,575
First Citizens Bancshares, Inc. NC......................... 10,100 1,060,500
First Hawaiian, Inc........................................ 98,600 3,722,150
Florida East Coast Industries, Inc......................... 12,400 1,546,900
Ford Motor Co.............................................. 2,655,700 137,764,437
Foster Wheeler Corp........................................ 118,600 3,009,475
*Fruit of The Loom, Inc. Class A........................... 120,600 4,334,062
GATX Corp.................................................. 42,200 3,465,675
General Motors Corp........................................ 1,452,500 104,489,219
General Motors Corp. Class H............................... 205,846 10,189,377
*Genesis Health Ventures, Inc.............................. 98,400 2,490,750
Georgia-Pacific Corp....................................... 164,900 10,584,519
#Georgia-Pacific Corp. Timber Group........................ 164,900 3,885,456
*Golden State Bancorp, Inc................................. 144,900 5,551,481
Golden West Financial Corp................................. 90,800 9,806,400
Great Atlantic & Pacific Tea Co., Inc...................... 126,700 4,054,400
Greenpoint Financial Corp.................................. 143,200 5,898,050
Helmerich & Payne, Inc..................................... 104,300 2,633,575
Hilton Hotels Corp......................................... 329,500 10,358,656
#Hollinger International, Inc. Class A..................... 147,100 2,362,794
IBP, Inc................................................... 288,400 5,587,750
*IVAX Corp................................................. 361,000 3,316,687
Inland Steel Industries, Inc............................... 174,600 4,997,925
*Integrated Device Technology, Inc......................... 292,900 2,741,361
Integrated Health Services, Inc............................ 22,500 836,719
#International Paper Co.................................... 677,200 31,151,200
*International Speciality Products, Inc.................... 252,000 4,362,750
*#K Mart Corp.............................................. 1,417,400 27,462,125
*Komag, Inc................................................ 156,300 1,538,578
LNR Property Corp.......................................... 60,000 1,552,500
*LSI Logic Corp............................................ 458,000 9,761,125
LTV Corp................................................... 225,900 2,470,781
#Lafarge Corp.............................................. 136,700 5,143,337
*#Lam Research Corp........................................ 113,900 2,708,684
Lehman Brothers Holdings, Inc.............................. 297,600 21,111,000
Lennar Corp................................................ 10,600 280,900
</TABLE>
7
<PAGE>
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
--------- --------------
<S> <C> <C>
Liberty Corp............................................... 35,900 $ 1,806,219
Liberty Financial Companies, Inc........................... 121,500 4,244,906
Lincoln National Corp...................................... 223,050 20,046,619
Loews Corp................................................. 222,300 20,173,725
*Lone Star Steakhouse Saloon............................... 2,500 42,266
Longs Drug Stores Corp..................................... 28,000 848,750
*Longview Fibre Co......................................... 62,900 1,037,850
*#Louisiana-Pacific Corp................................... 298,100 5,943,369
Mallinckrodt, Inc.......................................... 56,100 1,728,581
Mead Corp.................................................. 281,000 8,746,125
Media General, Inc. Class A................................ 11,600 533,600
Mercantile Stores Co., Inc................................. 140,012 11,008,443
*#Micron Technology, Inc................................... 700,200 16,498,462
Mitchell Energy & Development Corp. Class A................ 68,500 1,644,000
Mitchell Energy & Development Corp. Class B................ 41,600 962,000
Morgan (J.P.) & Co., Inc................................... 174,500 21,670,719
NAC RE Corp................................................ 10,400 485,550
*National Semiconductor Corp............................... 458,600 7,452,250
*#Navistar International Corp.............................. 221,900 6,698,606
*Nextel Communications Corp. Class A....................... 113,915 2,680,562
Norfolk Southern Corp...................................... 739,500 23,155,594
*#Novell, Inc.............................................. 1,021,700 10,759,778
#Occidental Petroleum Corp................................. 650,800 17,978,350
*Officemax, Inc............................................ 367,200 6,035,850
Ogden Corp................................................. 151,696 4,332,817
#Ohio Casualty Corp........................................ 64,800 3,138,750
Old Republic International Corp............................ 373,275 10,638,338
Olsten Corp................................................ 13,300 165,419
Overseas Shipholding Group, Inc............................ 37,500 726,563
Pacific Century Financial Corp............................. 113,600 2,847,100
*Pacificare Health Systems, Inc. Class A................... 12,040 970,349
*Pacificare Health Systems, Inc. Class B................... 31,656 2,617,556
#Penncorp Financial Group, Inc............................. 18,200 402,675
Pep Boys - Manny, Moe & Jack............................... 151,100 3,361,975
*Pharmerica, Inc........................................... 134,755 1,638,115
Phelps Dodge Corp.......................................... 105,900 6,459,900
*Phycor, Inc............................................... 141,200 2,378,338
*Potlatch Corp............................................. 94,600 4,144,663
Provident Companies, Inc................................... 550,808 20,311,045
Providian Financial Corp................................... 88,300 5,618,088
Pulte Corp................................................. 35,700 1,903,256
RJR Nabisco Holdings Corp.................................. 584,480 16,475,030
Rayonier, Inc.............................................. 83,000 3,895,813
*Read-Rite Corp............................................ 204,700 1,797,522
#Reynolds Metals Co........................................ 136,800 7,934,400
Russell Corp............................................... 137,400 3,744,150
Ryder System, Inc.......................................... 195,800 6,669,438
#Safeco Corp............................................... 304,200 14,202,338
*Saint Paul Companies, Inc................................. 583,026 25,871,779
*Seagate Technology, Inc................................... 603,100 13,946,688
*#Sensormatic Electronics Corp............................. 270,400 3,464,500
*Silicon Graphics, Inc..................................... 456,700 5,480,400
Springs Industries, Inc. Class A........................... 5,000 280,625
Sprint Corp................................................ 86,700 6,220,725
St. Joe Corp............................................... 78,400 2,347,100
*#Stone Container Corp..................................... 237,400 4,213,850
*Stratus Computer, Inc..................................... 88,400 3,187,925
<CAPTION>
SHARES VALUE+
--------- --------------
<S> <C> <C>
*#Sun Healthcare Group, Inc................................ 161,500 $ 2,715,219
TIG Holdings, Inc.......................................... 185,700 4,596,075
Tecumseh Products Co. Class A.............................. 58,300 2,922,288
Tecumseh Products Co. Class B.............................. 5,700 302,456
*#Tele-Communications International, Inc. Class A.......... 34,400 583,725
Telephone & Data Systems, Inc.............................. 152,900 6,689,375
Temple-Inland, Inc......................................... 138,200 8,119,250
Tenneco, Inc............................................... 324,700 13,515,638
Terra Industries, Inc...................................... 153,400 1,553,175
Timken Co.................................................. 167,800 6,313,475
*#Toys R Us, Inc........................................... 613,800 16,265,700
Transamerica Corp.......................................... 231,400 26,611,000
Trinity Industries, Inc.................................... 2,500 119,375
Tyson Foods, Inc. Class A.................................. 13,000 274,625
UMB Financial Corp......................................... 34,000 1,878,500
USX-Marathon Group, Inc.................................... 384,650 13,462,750
USX-US Steel Group......................................... 314,400 11,279,100
Union Camp Corp............................................ 142,600 7,798,438
Union Pacific Corp......................................... 495,300 23,960,138
Union Texas Petroleum Holding, Inc......................... 181,900 5,002,250
Unionbancal Corp........................................... 53,200 5,215,263
*#United States Cellular Corp.............................. 141,300 4,336,144
Unitrin, Inc............................................... 111,900 7,798,031
*Valero Energy Corp........................................ 133,300 4,348,913
Valhi, Inc................................................. 85,600 839,950
*Viacom, Inc. Class A...................................... 122,400 6,739,650
*Viacom, Inc. Class B...................................... 805,200 44,286,000
*#Vishay Intertechnology, Inc.............................. 102,564 2,288,459
Weis Markets, Inc.......................................... 20,700 730,969
Wesco Financial Corp....................................... 8,500 3,021,750
Westvaco Corp.............................................. 201,650 5,747,025
Weyerhaeuser Co............................................ 165,000 8,384,063
Whirlpool Corp............................................. 69,000 4,713,563
*Willamette Industries, Inc................................ 298,600 10,245,713
Xtra Corp.................................................. 6,200 325,500
--------------
TOTAL COMMON STOCKS
(Cost $1,294,463,943)..................................... 1,778,290,898
--------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
---------
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- (0.5%)
Repurchase Agreement, PNC Capital Markets Inc. 5.25%,
06/01/98 (Collateralized by U.S. Treasury Notes 6.50%,
08/31/01, valued at $3,686,025 and U.S. Treasury Notes
5.75%, 10/31/02, valued at $4,751,213) to be repurchased
at $8,305,632.
(Cost $8,302,000)........................................ $8,302 8,302,000
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,302,765,943)++................................... $1,786,592,898
--------------
--------------
- --------------------
+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.
8
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 1998
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<TABLE>
<S> <C>
ASSETS:
Investments at Value..................................................................... $ 1,786,593
Collateral for Securities Loaned......................................................... 131,583
Receivables
Dividends and Interest................................................................. 3,894
Investment Securities Sold............................................................. 5,324
Fund Shares Sold....................................................................... 631
Prepaid Expenses and Other Assets........................................................ 6
-----------
Total Assets......................................................................... 1,928,031
-----------
LIABILITIES:
Payable for Securities Loaned............................................................ 131,583
Payable for Investment Securities Purchased.............................................. 8,845
Payable for Fund Shares Redeemed......................................................... 134
Accrued Expenses and Other Liabilities................................................... 309
-----------
Total Liabilities.................................................................... 140,871
-----------
NET ASSETS............................................................................... $ 1,787,160
-----------
-----------
SHARES OUTSTANDING $.01 PAR VALUE
(Authorized 100,000,000)............................................................... 89,381,063
-----------
-----------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE................................. $ 19.99
-----------
-----------
Investments at Cost...................................................................... $ 1,302,766
-----------
-----------
</TABLE>
See accompanying Notes to Financial Statements.
9
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1998
(AMOUNTS IN THOUSANDS)
<TABLE>
<S> <C>
INVESTMENT INCOME
Dividends.......................................................................... $ 14,050
Interest........................................................................... 406
Income From Securities Lending..................................................... 96
---------
Total Investment Income........................................................ 14,552
---------
EXPENSES
Investment Advisory Services....................................................... 830
Accounting & Transfer Agent Fees................................................... 339
Custodian's Fee.................................................................... 130
Legal Fees......................................................................... 11
Audit Fees......................................................................... 16
Shareholders' Reports.............................................................. 15
Trustees' Fees and Expenses........................................................ 3
Other.............................................................................. 10
---------
Total Expenses................................................................. 1,354
---------
NET INVESTMENT INCOME.............................................................. 13,198
---------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Gain on Investment Securities............................................. 85,496
Change in Unrealized Appreciation (Depreciation) of Investment Securities.............. 164,682
---------
NET GAIN ON INVESTMENT SECURITIES.................................................. 250,178
---------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................................... $ 263,376
---------
---------
</TABLE>
See accompanying Notes to Financial Statements.
10
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
1998 1997
------------- -------------
<S> <C> <C>
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income............................................................... $ 13,198 $ 24,622
Net Realized Gain on Investment Securities.......................................... 85,496 82,623
Change in Unrealized Appreciation (Depreciation) of Investment Securities........... 164,682 172,274
------------- -------------
Net Increase in Net Assets Resulting from Operations............................ 263,376 279,519
------------- -------------
Distributions From:
Net Investment Income............................................................... (8,250) (23,401)
Net Realized Gains.................................................................. (82,635) (52,566)
------------- -------------
Total Distributions............................................................. (90,885) (75,967)
------------- -------------
Capital Share Transactions (1):
Shares Issued....................................................................... 131,988 320,473
Shares Issued in Lieu of Cash Distributions......................................... 72,631 64,945
Shares Redeemed..................................................................... (79,946) (86,916)
------------- -------------
Net Increase From Capital Share Transactions.................................... 124,673 298,502
------------- -------------
Total Increase.................................................................. 297,164 502,054
NET ASSETS
Beginning of Period................................................................. 1,489,996 987,942
------------- -------------
End of Period....................................................................... $ 1,787,160 $ 1,489.996
------------- -------------
------------- -------------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued....................................................................... 6,951 19,550
Shares Issued in Lieu of Cash Distributions......................................... 4,266 4,236
Shares Redeemed..................................................................... (4,220) (5,069)
------------- -------------
6,997 18,717
------------- -------------
------------- -------------
</TABLE>
See accompanying Notes to Financial Statements.
11
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
SIX MONTHS YEAR YEAR YEAR YEAR FEB. 19
ENDED ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995 1994 1993
----------- ---------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
(UNAUDITED)
Net Asset Value, Beginning of Period........................ $ 18.09 $ 15.52 $ 13.29 $ 9.92 $ 10.59 $ 10.00
----------- ---------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income..................................... 0.15 0.32 0.31 0.32 0.33 0.20
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................. 2.85 3.38 2.57 3.53 (0.65) 0.58
----------- ---------- -------- -------- -------- --------
Total from Investment Operations.......................... 3.00 3.70 2.88 3.85 (0.32) 0.78
----------- ---------- -------- -------- -------- --------
LESS DISTRIBUTIONS
Net Investment Income..................................... (0.10) (0.31) (0.31) (0.31) (0.35) (0.18)
Net Realized Gains........................................ (1.00) (0.82) (0.34) (0.17) -- (0.01)
----------- ---------- -------- -------- -------- --------
Total Distributions....................................... (1.10) (1.13) (0.65) (0.48) (0.35) (0.19)
----------- ---------- -------- -------- -------- --------
Net Asset Value, End of Period.............................. $ 19.99 $ 18.09 $ 15.52 $ 13.29 $ 9.92 $ 10.59
----------- ---------- -------- -------- -------- --------
----------- ---------- -------- -------- -------- --------
Total Return................................................ 17.65%# 25.31% 22.48% 39.26% (3.13)% 7.79%#
Net Assets, End of Period (thousands)....................... $ 1,787,160 $1,489,996 $987,942 $423,027 $198,848 $ 90,271
Ratio of Expenses to Average Net Assets................... 0.16%* 0.18% 0.19% 0.21% 0.22% 0.23%*
Ratio of Net Investment Income to Average Net Assets...... 1.59%* 1.96% 2.37% 2.84% 3.72% 3.75%*
Portfolio Turnover Rate................................... 22.09%* 17.71% 20.12% 29.41% 39.33% 0.75%*
Average Commission Rate................................... $ 0.0484 $ 0.0494 $ 0.0499 N/A N/A N/A
</TABLE>
- --------------
* Annualized
# Non-Annualized
See accompanying Notes to Financial Statements.
12
<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 U.S. Large Cap Value Series
(the "Series") is presented in this report.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such policies
are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with generally
accepted accounting principles may require management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
1. SECURITY VALUATION: Securities held by the Series which are listed on a
securities exchange and for which market quotations are readily available are
valued at the last quoted sale price of the day, or if there is no such reported
sale, at the mean between the most recent bid and asked prices. Price
information on listed securities is taken from the exchange where the security
is primarily traded. Unlisted securities for which market quotations are readily
available are valued at the mean between the most recent bid and asked prices.
Securities for which quotations are not readily available are valued in good
faith at fair value using methods determined by the Board of Directors.
2. FEDERAL INCOME TAXES: It is the Series' intention to continue to
qualify as a regulated investment company and distribute all of its taxable
income. Accordingly, no provision for Federal taxes is required in the financial
statements.
3. REPURCHASE AGREEMENTS: The Series may purchase money market instruments
subject to the seller's agreement to repurchase them at an agreed upon date and
price. The seller will be required on a daily basis to maintain the value of the
collateral subject to the agreement at not less than the repurchase price
(including accrued interest). The agreements are conditioned upon the collateral
being deposited under the Federal Reserve book-entry system or with the Trust's
custodian or a third party sub-custodian. All open repurchase agreements were
entered into on May 29, 1998.
4. OTHER: Security transactions are accounted for on the date the
securities are purchased or sold. Costs used in determining realized gains and
losses on the sale of investment securities are those of specific securities
sold. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Interest income is recorded on the accrual basis. Discount and
premium on securities purchased are amortized over the lives of the respective
securities. Expenses directly attributable to a Series are directly charged.
Common expenses are allocated using methods determined by the Board of
Directors.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("DFA" 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 0.10 of 1% of average daily net assets.
Certain officers of the Series are also officers, directors and shareholders
of the Advisor.
13
<PAGE>
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.............................................. $ 236,159
Sales.................................................. 180,682
</TABLE>
E. INVESTMENT TRANSACTIONS:
At May 31, 1998, gross unrealized appreciation and depreciation for
financial reporting and federal income tax purposes of investment securities was
as follows (amounts in thousands):
<TABLE>
<S> <C>
Gross Unrealized Appreciation.......................... $ 518,508
Gross Unrealized Depreciation.......................... (34,681)
---------
Net.................................................... $ 483,827
---------
---------
</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 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...................................... $ 1,211,229
Undistributed Net Investment Income.................. 6,697
Undistributed Net Realized Gain...................... 85,407
Unrealized Appreciation of Investment Securities..... 483,827
-----------
$ 1,787,160
-----------
-----------
</TABLE>
H. SECURITIES LENDING:
Loans of domestic securities are required at all times to be secured by
collateral at least equal to 102% of the market value of the securities on loan.
However, in the event of default or bankruptcy by the other party to the
agreement, realization and/or retention of the collateral may be subject to
legal proceedings. In the event that the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is insufficient
to cover the value of loaned securities and provided such collateral
insufficiency is not the result of investment losses, the lending agent has
agreed to pay the amount of the shortfall to the Series or, at the option of the
lending agent, replace the loaned securities. Such cash collateral for May 31,
1998 was reinvested into overnight repurchase agreements with Swiss Bank Corp.,
UBS Securities Inc., Salomon Brother and Barclays De Zoette Wedd, which was in
turn collateralized by U.S. Government Treasury Securities. As of May 31, 1998,
the market value of securities on loan to brokers was $126,336,012, the related
collateral cash received was $131,583,374 and the value of collateral on
overnight repurchase agreements was $134,245,296.
14
