<PAGE>
- --------------------------------------------------------------------------------
Dimensional Investment Group Inc.
DFA One-Year Fixed Income Portfolio II
Annual Report
Year Ended November 30, 1997
-------------------------------------
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
DFA ONE-YEAR FIXED INCOME PORTFOLIO II
ANNUAL REPORT
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
------
<S> <C>
DIMENSIONAL INVESTMENT GROUP INC.
Performance Chart................................................... 1
Statement of Assets and Liabilities................................. 2
Statement of Operations............................................. 3
Statements of Changes in Net Assets................................. 4
Financial Highlights................................................ 5
Notes to Financial Statements....................................... 6-7
Report of Independent Accountants................................... 8
THE DFA INVESTMENT TRUST COMPANY -- THE DFA ONE-YEAR FIXED INCOME SERIES
Performance Chart................................................... 9
Statement of Net Assets............................................. 10-12
Statement of Operations............................................. 13
Statements of Changes in Net Assets................................. 14
Financial Highlights................................................ 15
Notes to Financial Statements....................................... 16-17
Report of Independent Accountants................................... 18
</TABLE>
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHART
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
DFA ONE-YEAR FIXED INCOME PORTFOLIO II VS. ONE MONTH CD'S
MARCH 1995-NOVEMBER 1997
GROWTH OF $10,000
DFA ONE-YEAR FIXED
INCOME PORTFOLIO II ONE MONTH CD'S
<S> <C> <C>
$10,000 $10,000
Mar-95 $10,058 $10,046
$10,104 $10,087
$10,181 $10,136
$10,212 $10,180
$10,239 $10,226
$10,260 $10,271
$10,279 $10,313
$10,310 $10,361
$10,341 $10,405
$10,365 $10,448
$10,394 $10,496
$10,404 $10,537
Mar-96 $10,431 $10,577
$10,449 $10,620
$10,507 $10,662
$10,560 $10,700
$10,604 $10,747
$10,651 $10,790
$10,710 $10,833
$10,781 $10,878
$10,842 $10,919
$10,874 $10,965
$10,918 $11,011
$10,957 $11,053
Mar-97 $10,971 $11,100
$11,038 $11,149
$11,088 $11,198
$11,148 $11,249
$11,218 $11,299
$11,246 $11,347
$11,307 $11,399
$11,368 $11,450
Nov-97 $11,397 $11,497
Annualized Total Return (%) One Year From March 1995
5.13 4.87
The portfolio maximizes expected returns by investing in the DFA One-Year
Fixed Income Series of the DFA Investment Trust Company which uses a strategy
of shifting maturities based on changes in the yield curve. Using current
prices, the strategy creates a matrix of expected returns from different
buy and sell strategies and identifies the optimal maturity range for the
highest expected returns. Issues which meet maturity and quality level are
further evaluated for business risk. Maturities are shifted if sufficient
premiums can be documented.
This portfolio's returns in fiscal 1997 reflected the performance of its
strategy.
Past performance is not predictive of future performance.
</TABLE>
1
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
DFA ONE-YEAR FIXED INCOME PORTFOLIO II
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 1997
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<TABLE>
<S> <C>
ASSETS:
Investment in The DFA One-Year Fixed Income Series of The DFA Investment Trust
Company (931,957 Shares, Cost $9,294++) at Value................................... $ 9,333
Receivable for Investment Securities Sold............................................ 61
Prepaid Expenses and Other Assets.................................................... 31
---------
Total Assets................................................................... 9,425
---------
LIABILITIES:
Payable for Fund Shares Redeemed..................................................... 61
Accrued Expenses..................................................................... 22
---------
Total Liabilities.............................................................. 83
---------
NET ASSETS............................................................................. $ 9,342
---------
---------
SHARES OUTSTANDING, $.01 PAR VALUE (Authorized 100,000,000)............................ 919,882
---------
---------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............................... $ 10.16
---------
---------
NET ASSETS CONSIST OF:
Paid-In Capital...................................................................... $ 9,316
Accumulated Net Investment Loss...................................................... (5)
Accumulated Net Realized Loss........................................................ (8)
Unrealized Appreciation of Investment Securities..................................... 39
---------
Total Net Assets............................................................... $ 9,342
---------
---------
</TABLE>
++ Approximates cost for federal income tax purposes.
See accompanying Notes to Financial Statements.
2
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
DFA ONE-YEAR FIXED INCOME PORTFOLIO II
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1997
(AMOUNTS IN THOUSANDS)
<TABLE>
<S> <C>
INVESTMENT INCOME
Income Distributions Received.......................................................... $ 426
---------
EXPENSES
Administrative Services................................................................ 7
Accounting & Transfer Agent Fees....................................................... 19
Shareholder Services................................................................... 19
Legal Fees............................................................................. 2
Audit Fees............................................................................. --
Filing Fees............................................................................ 11
Shareholders' Reports.................................................................. 8
Directors' Fees and Expenses........................................................... 2
Organization Costs..................................................................... 8
Other.................................................................................. 1
---------
Total Expenses..................................................................... 77
Less: Fees Waived and Expenses Reimbursed.............................................. (29)
---------
Net Expenses........................................................................... 48
---------
NET INVESTMENT INCOME.................................................................. 378
---------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Loss on Investment Securities................................................. (6)
Change in Unrealized Appreciation (Depreciation) of Investment Securities.................. 8
---------
NET GAIN ON INVESTMENT SECURITIES...................................................... 2
---------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS....................................... $ 380
---------
---------
</TABLE>
See accompanying Notes to Financial Statements.
3
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
DFA ONE-YEAR FIXED INCOME PORTFOLIO II
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
YEAR YEAR
ENDED ENDED
NOV. 30, NOV. 30,
1997 1996
--------- ---------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income....................................................................... $ 378 $ 126
Net Realized Loss on Investment Securities.................................................. (6) (2)
Change in Unrealized Appreciation (Depreciation) of Investment Securities................... 8 28
--------- ---------
Net Increase in Net Assets Resulting from Operations.................................... 380 152
--------- ---------
Distributions From:
Net Investment Income....................................................................... (384) (125)
--------- ---------
Capital Share Transactions (1):
Shares Issued............................................................................... 8,606 5,040
Shares Issued in Lieu of Cash Distributions................................................. 384 125
Shares Redeemed............................................................................. (4,376) (1,029)
--------- ---------
Net Increase From Capital Share Transactions............................................ 4,614 4,136
--------- ---------
Total Increase.......................................................................... 4,610 4,163
NET ASSETS
Beginning of Period......................................................................... 4,732 569
--------- ---------
End of Period............................................................................... $ 9,342 $ 4,732
--------- ---------
--------- ---------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................................................................... 849 500
Shares Issued in Lieu of Cash Distributions................................................. 38 12
Shares Redeemed............................................................................. (432) (103)
--------- ---------
455 409
--------- ---------
--------- ---------
</TABLE>
See accompanying Notes to Financial Statements.
4
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
DFA ONE-YEAR FIXED INCOME PORTFOLIO II
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
YEAR YEAR FEB. 9
ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30,
1997 1996 1995
---------- ---------- ----------
<S> <C> <C> <C>
Net Asset Value, Beginning of Period............................. $ 10.18 $ 10.16 $ 10.00
---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income.......................................... 0.53 0.46 0.24
Net Gains (Losses) on Securities (Realized and Unrealized)..... (0.01) 0.02 0.16
---------- ---------- ----------
Total from Investment Operations............................... 0.52 0.48 0.40
---------- ---------- ----------
LESS DISTRIBUTIONS
Net Investment Income.......................................... (0.54) (0.46) (0.24)
---------- ---------- ----------
Net Asset Value, End of Period................................... $ 10.16 $ 10.18 $ 10.16
---------- ---------- ----------
---------- ---------- ----------
Total Return..................................................... 5.23% 4.86% 4.09%#
Net Assets, End of Period (thousands)............................ $ 9,342 $ 4,732 $ 569
Ratio of Expenses to Average Net Assets (1)...................... 0.75%(a) 0.75%(a) 2.50%*(a)
Ratio of Net Investment Income to Average Net Assets............. 5.10%(a) 4.66%(a) 2.80%*(a)
Portfolio Turnover Rate.......................................... N/A N/A N/A
Portfolio Turnover Rate of Master Fund Series.................... 82.84% 95.84% 81.31%(b)
</TABLE>
- --------------
(Adjusted to reflect a 900% stock dividend as of January 2, 1996.)
* Annualized
# Non-Annualized
(1) Represents the combined ratio for the Portfolio and its respective pro-rata
share of its Master Fund Series.
(a) Had certain waivers and reimbursements not been in effect, the ratios of
expenses to average net assets for the periods ended November 30, 1997, 1996
and 1995 would have been 1.14%, 2.80% and 17.81%, respectively and the
ratios of net investment income to average net assets for the periods ended
November 30, 1997, 1996 and 1995 would have been 4.71%, 2.61% and (12.60%),
respectively.
(b) Master Fund Series Turnover calculated for the year ended November 30, 1995.
See accompanying Notes to Financial Statements.
5
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
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 DFA One-Year Fixed Income Portfolio II (the "Portfolio") is presented
in this report.
The Portfolio invests all of its assets in The DFA One-Year Fixed Income
Series (the "Series"), a corresponding series of The DFA Investment Trust
Company. At November 30, 1997, The Portfolio owned 1% 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.
On December 20, 1995, the Board of Directors of the Fund approved a 900%
stock dividend under Maryland Corporate Law which is treated as a 10 for 1 stock
split for financial reporting purposes for the Portfolio. The record date of the
stock dividend was January 1, 1996, and the ex-date and payable date were
January 2, 1996. This was a tax-free event to the shareholders of the Portfolio.
All share and per share data as of and for the period ended November 30, 1995
has been restated to reflect the stock dividend.
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 year ended November 30, 1997, the
Portfolio's administrative 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 Portfolio are also officers, directors and
shareholders of the Advisor.
Effective December 1, 1995, 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 2.50% of
6
<PAGE>
average daily net assets on an annualized basis. Annualized expenses are those
expenses incurred in any period consisting of twelve consecutive months. At
November 30, 1997, approximately $29,000 of previously waived fees are subject
to future reimbursement to the Advisor.
In addition, pursuant to an agreement with certain Shareholder Service
Agents, the Portfolio pays to such agents a fee at the effective annual rate of
0.25% of its average daily net assets.
D. INVESTMENTS:
At November 30, 1997, gross unrealized appreciation and depreciation for
federal income tax purposes of investment securities was as follows:
<TABLE>
<S> <C>
Gross Unrealized Appreciation............................... $ 39
Gross Unrealized Depreciation............................... --
---
Net......................................................... $ 39
---
---
</TABLE>
At November 30, 1997, the Portfolio had a capital loss carryover for federal
income tax purposes of approximately $6,315 of which $1,451 and $4,864 expire on
November 30, 2004 and 2005, respectively.
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 year ended November 30, 1997.
7
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE SHAREHOLDERS AND BOARD OF DIRECTORS OF
DIMENSIONAL INVESTMENT GROUP INC.:
We have audited the accompanying statement of assets and liabilities of the
Dimensional Investment Group Inc., DFA One-Year Fixed Income Portfolio II, as of
November 30, 1997, the related statement of operations for the year then ended,
and the statements of changes in net assets for each of the two years in the
period then ended, and financial highlights for each of the periods presented.
These financial statements and financial highlights are the responsibility of
the Fund's management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of investments owned as of
November 30, 1997, by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Dimensional Investment Group Inc., DFA One-Year Fixed Income Portfolio II, as of
November 30, 1997, and the results of its operations for the year then ended and
the changes in its net assets, for each of the two years in the period then
ended, and its financial highlights for the periods presented, in conformity
with generally accepted accounting principles.
COOPERS & LYBRAND L.L.P.
2400 Eleven Penn Center
Philadelphia, Pennsylvania
January 16, 1998
8
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHART
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
DFA ONE-YEAR FIXED INCOME SERIES VS.
ONE MONTH CD'S
MARCH 1993-NOVEMBER 1997
GROWTH OF $10,000
DFA ONE-YEAR FIXED INCOME SERIES ONE MONTH CD'S
<S> <C> <C>
$10,000 $10,000
Mar 93 $10,048 $10,024
$10,097 $10,046
$10,104 $10,066
$10,149 $10,088
$10,180 $10,110
$10,229 $10,134
$10,268 $10,155
$10,290 $10,175
$10,308 $10,199
$10,343 $10,221
$10,395 $10,244
$10,376 $10,264
Mar 94 $10,373 $10,289
$10,368 $10,313
$10,390 $10,344
$10,425 $10,376
$10,486 $10,409
$10,527 $10,444
$10,545 $10,479
$10,580 $10,517
$10,575 $10,555
$10,607 $10,598
$10,708 $10,646
$10,810 $10,690
Mar 95 $10,877 $10,739
$10,949 $10,783
$11,066 $10,835
$11,129 $10,882
$11,188 $10,931
$11,245 $10,979
$11,296 $11,024
$11,356 $11,075
$11,410 $11,123
$11,465 $11,168
$11,518 $11,220
$11,564 $11,264
Mar 96 $11,616 $11,306
$11,656 $11,353
$11,696 $11,397
$11,759 $11,438
$11,814 $11,488
$11,872 $11,534
$11,943 $11,580
$12,031 $11,628
$12,103 $11,672
$12,142 $11,721
$12,202 $11,770
$12,254 $11,815
Mar 97 $12,274 $11,866
$12,357 $11,918
$12,417 $11,971
$12,492 $12,024
$12,578 $12,078
$12,616 $12,129
$12,691 $12,185
$12,766 $12,240
Nov 97 $12,806 $12,290
Annualized Total Return (%) One Year From March 1993
5.81 5.34
The series maximizes expected returns by shifting
maturities based on changes in the yield curve.
Using current prices, the strategy creates
a matrix of expected returns from different buy and
sell strategies and identifies the optimal maturity
range for the highest expected returns. Issues which
meet maturity and quality levels are further evaluated
for business risk. Maturities are shifted if sufficient
premiums can be documented. Investments are made in
high quality obligations, including BA's, CD's, corporate
debt obligations and commercial paper of U.S. as well
as non-U.S. issuers (Yankees). Average maturity
is maintained under one year with no individual
issue longer than two years.
The series' returns in fiscal 1997 reflected the
performance of its strategy.
Past performance is not predictive of future performance.
</TABLE>
9
<PAGE>
THE DFA ONE-YEAR FIXED INCOME SERIES
STATEMENT OF NET ASSETS
NOVEMBER 30, 1997
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
BONDS -- (45.3%)
Anheuser-Busch Companies, Inc. Medium Term Notes
7.600%, 03/01/99................................... $ 1,000 $ 1,017,500
Associates Corp. of North America Corporate Bonds
6.250%, 03/15/99................................... 3,100 3,107,750
7.500%, 05/15/99................................... 3,000 3,060,000
6.625%, 07/15/99................................... 17,000 17,127,500
Bank One Texas N.A. Medium Term Notes
5.875%, 08/02/99................................... 4,705 4,693,237
Bayerische Landesbank U.S. Finance, Inc. Medium Term
Notes
6.400%, 05/05/99................................... 22,000 22,110,000
Canada (Government of) Bonds
6.400%, 09/10/98................................... 22,540 22,624,525
Colgate-Palmolive Co. Medium Term Notes
6.550%, 02/16/98................................... 10,000 10,010,299
6.630%, 02/16/98................................... 1,540 1,541,817
6.710%, 02/16/98................................... 10,000 10,013,399
DuPont (E.I.) de Nemours & Co. Corporate Bonds
8.650%, 12/01/97................................... 1,050 1,050,000
FCC National Bank Medium Term Notes
6.144%, 10/30/98................................... 2,000 2,002,180
First USA Bank Medium Term Notes
5.750%, 01/15/99................................... 4,325 4,308,781
Ford Motor Credit Co. Corporate Bonds
7.250%, 05/15/99................................... 5,800 5,894,250
Ford Motor Credit Co. Medium Term Notes
6.250%, 02/26/98................................... 7,000 7,007,070
GTE North, Inc. Corporate Bond Series B
5.500%, 02/15/99................................... 1,000 991,250
General Electric Capital Corp. Medium Term Notes
7.020%, 04/13/98................................... 3,000 3,013,620
6.844%, 04/23/98................................... 10,725 10,770,687
IBM Credit Corp. Medium Term Notes
6.570%, 04/07/99................................... 23,000 23,172,500
Illinois Tool Works, Inc. Corporate Bonds
7.500%, 12/01/98................................... 5,000 5,065,550
KFW International Finance, Inc. Medium Term Notes
9.000%, 02/23/99................................... 6,600 6,822,750
Key Bank N.A. Medium Term Notes
6.125%, 02/03/99................................... 15,000 15,000,000
Morgan (J.P.) & Co., Inc. Corporate Bonds
6.362%, 08/05/98................................... 19,000 19,053,768
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
Morgan Guaranty Trust Corporate Bonds
6.000%, 10/01/98................................... $ 6,000 $ 5,999,399
National Elf Aquitaine, Inc. Corporate Bonds
7.750%, 05/01/99................................... 8,550 8,731,688
National Rural Utilities Cooperative Finance Corp.
Medium Term Notes
6.070%, 07/09/99................................... 12,000 12,000,000
NationsBank N.C. Medium Term Notes
6.100%, 01/19/99................................... 24,000 24,000,000
Nippon Telegraph & Telephone Corp. Corporate Bonds
9.500%, 07/27/98................................... 4,350 4,447,875
Norwest Corp. Corporate Bonds
6.250%, 04/15/99................................... 6,020 6,035,050
Norwest Corp. Medium Term Notes
5.750%, 11/16/98................................... 3,600 3,590,964
Norwest Financial, Inc. Corporate Bonds
6.000%, 08/01/99................................... 5,250 5,243,438
Norwest Financial, Inc. Medium Term Notes
6.250%, 03/15/99................................... 8,000 8,020,000
Ontario Hydro Medium Term Notes
5.800%, 03/31/98................................... 13,575 13,575,000
Paccar Financial Corp. Medium Term Notes
5.280%, 03/20/98................................... 5,000 4,993,550
Pepsico, Inc. Corporate Bonds
7.625%, 11/01/98................................... 5,000 5,061,750
Pepsico, Inc. Medium Term Notes
6.125%, 01/15/98................................... 2,000 2,000,280
5.463%, 07/01/98................................... 4,851 4,834,797
Pitney Bowes Credit Corp. Medium Term Notes
6.305%, 09/23/98................................... 24,230 24,337,339
Sara Lee Corp. Medium Term Notes
5.500%, 12/01/98................................... 1,250 1,242,150
St. Paul Companies, Inc. Medium Term Notes
7.590%, 05/19/99................................... 6,000 6,127,500
UBS Finance, Inc. Medium Term Notes
6.200%, 10/01/98................................... 3,000 3,007,500
Wachovia Bank N.A. Medium Term Notes
5.600%, 03/08/99................................... 11,000 10,931,250
6.000%, 03/15/99................................... 1,000 998,750
------------
TOTAL BONDS
(Cost $353,813,284).................................. 354,636,713
------------
CERTIFICATES OF DEPOSIT -- (31.4%)
ABN-AMRO North American Certificate of Deposit
5.710%, 10/09/98................................... 4,000 3,996,000
</TABLE>
10
<PAGE>
THE DFA ONE-YEAR FIXED INCOME SERIES
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
Bank of Nova Scotia Corp. Certificate of Deposit
6.256%, 07/09/99................................... $ 10,000 $ 10,035,000
Bayerische Landesbank Certificate of Deposit
5.860%, 07/17/98................................... 16,000 16,000,000
Canadian Bank Certificate of Deposit
5.795%, 10/06/98................................... 23,000 22,997,700
Commerzbank Certificate of Deposit
5.780%, 09/18/98................................... 23,300 23,295,340
Deutsche Bank AG Certificate of Deposit
5.940%, 09/15/98................................... 5,000 5,000,000
5.880%, 10/19/98................................... 14,300 14,308,580
Dresdner Bank AG Certificate of Deposit
5.950%, 10/20/98................................... 20,000 20,004,000
FCC National Bank Certificate of Deposit
5.820%, 09/18/98................................... 21,000 20,997,900
Morgan Trust Certificate of Deposit
5.800%, 07/28/98................................... 3,700 3,698,150
National Australia Bank Certificate of Deposit
5.850%, 10/05/98................................... 23,000 23,006,900
Royal Bank of Canada Certificate of Deposit
5.880%, 09/17/98................................... 23,000 23,000,000
Societe Generale Certificate of Deposit
5.880%, 07/13/98................................... 3,000 2,998,800
5.960%, 09/15/98................................... 18,500 18,500,000
Swiss Bank Certificate of Deposit
5.805%, 10/01/98................................... 23,000 23,000,000
Westdeutsche Landesbank Certificate of Deposit
5.870%, 07/31/98................................... 15,000 14,991,000
------------
TOTAL CERTIFICATES OF DEPOSIT
(Cost $245,765,714).................................. 245,829,370
------------
AGENCY OBLIGATIONS -- (7.6%)
Federal Agriculture Mortgage Corp.
7.200%, 10/15/98................................... 2,850 2,881,720
Federal Home Loan Bank
6.060%, 10/02/98................................... 25,000 25,045,747
5.100%, 01/26/99................................... 3,200 3,175,456
5.947%, 02/26/99................................... 20,000 20,032,398
Federal National Mortgage Association
5.700%, 12/18/98................................... 8,100 8,082,666
------------
TOTAL AGENCY OBLIGATIONS
(Cost $59,131,599)................................... 59,217,987
------------
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
COMMERCIAL PAPER -- (7.5%)
Barton Capital Corp. C.P.
5.590%, 12/05/97................................... $ 4,000 $ 3,997,520
5.740%, 01/05/98................................... 8,000 7,955,510
5.650%, 01/06/98................................... 5,000 4,971,500
5.700%, 02/06/98................................... 3,419 3,382,985
Ciesco L.P. C.P.
5.570%, 01/16/98................................... 4,600 4,566,614
Corporate Asset Funding Corp. C.P.
5.700%, 01/09/98................................... 3,000 2,981,475
5.720%, 01/15/98................................... 3,000 2,978,625
Den Norske Stats Olejeselskap A.S. C.P.
5.800%, 12/01/97................................... 5,000 5,000,000
Enterprise Funding Corp. C.P.
5.730%, 01/02/98................................... 1,570 1,562,003
Matterhorn Capital Corp. C.P.
5.600%, 12/15/97................................... 600 598,698
Novartis Finance Corp. C.P.
5.600%, 12/10/97................................... 3,000 2,995,793
Sheffield Receivables Corp. C.P.
5.550%, 12/05/97................................... 2,650 2,648,357
5.750%, 01/12/98................................... 6,000 5,960,100
5.750%, 01/23/98................................... 3,500 3,470,732
Sigma Finance Corp. C.P.
5.720%, 01/30/98................................... 5,000 4,952,750
5.850%, 01/30/98................................... 1,000 990,550
------------
TOTAL COMMERCIAL PAPER
(Cost $59,012,205)................................... 59,013,212
------------
VARIABLE RATE OBLIGATIONS -- (6.6%)
Abbey National Treasury Services P.L.C.
***5.560%, 12/15/97................................ 7,000 6,995,450
American Express Centurion Bank
***5.682%, 12/05/97................................ 14,000 13,997,200
***5.678%, 12/08/97................................ 9,000 8,999,189
Banc One Corp.
***5.699%, 12/15/97................................ 7,000 6,996,430
First USA Bank
***6.299%, 12/01/97................................ 7,000 7,029,259
Key Bank N.A.
***5.649%, 02/20/98................................ 7,650 7,642,656
------------
TOTAL VARIABLE RATE OBLIGATIONS
(Cost $51,658,621)................................... 51,660,184
------------
</TABLE>
11
<PAGE>
THE DFA ONE-YEAR FIXED INCOME SERIES
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- (0.3%)
Repurchase Agreement, PNC Capital Markets Inc. 5.45%,
12/01/97 (Collateralized by U.S. Treasury Notes
6.25%, 07/31/98, valued at $1,776,206) to be
repurchased at $1,741,791 (Cost $1,741,000)......... $ 1,741 $ 1,741,000
------------
TOTAL INVESTMENTS -- (98.7%) (Cost $771,122,423)++..... 772,098,466
------------
OTHER ASSETS AND LIABILITIES -- (1.3%)
Other Assets.......................................... 10,306,016
Payable for Fund Shares Redeemed...................... (61,531)
Other Liabilities..................................... (106,872)
------------
10,137,613
------------
NET ASSETS -- (100.0%) Applicable to 78,107,985
Outstanding $.01 Par Value Shares (Unlimited Number
of Shares Authorized)................................ $782,236,079
------------
------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE................................................ $ 10.01
------------
------------
- --------------------
+See Note B to Financial Statements.
++Approximates cost for federal income tax purposes.
***Rates shown are the rates as of November 30, 1997, and maturities shown are
the next interest readjustment date.
</TABLE>
See accompanying Notes to Financial Statements.
12
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE DFA ONE-YEAR FIXED INCOME SERIES
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1997
(AMOUNTS IN THOUSANDS)
<TABLE>
<S> <C>
INVESTMENT INCOME
Interest............................................................................ $ 46,692
---------
EXPENSES
Investment Advisory Services........................................................ 392
Accounting & Transfer Agent Fees.................................................... 202
Custodian's Fee..................................................................... 97
Legal Fees.......................................................................... 11
Audit Fees.......................................................................... 19
Shareholders' Reports............................................................... 15
Trustees' Fees and Expenses......................................................... 2
Other............................................................................... 29
---------
Total Expenses.................................................................. 767
---------
NET INVESTMENT INCOME............................................................... 45,925
---------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Gain on Investment Securities.......................................... 1,165
Change in Unrealized Appreciation (Depreciation) of Investment Securities........... (2,454)
---------
NET LOSS ON INVESTMENT SECURITIES................................................... (1,289)
---------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.................................... $ 44,636
---------
---------
</TABLE>
See accompanying Notes to Financial Statements.
13
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE DFA ONE-YEAR FIXED INCOME SERIES
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
YEAR YEAR
ENDED ENDED
NOV 30, NOV. 30,
1997 1996
----------- -----------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income................................................................... $ 45,925 $ 43,492
Net Realized Gain (Loss) on Investment Securities....................................... 1,165 (301)
Change in Unrealized Appreciation (Depreciation) of Investment Securities............... (2,454) 3,135
----------- -----------
Net Increase in Net Assets Resulting from Operations................................ 44,636 46,326
----------- -----------
Distributions From:
Net Investment Income................................................................... (46,321) (42,530)
----------- -----------
Capital Share Transactions (1):
Shares Issued........................................................................... 282,650 520,113
Shares Issued in Lieu of Cash Distributions............................................. 37,665 32,939
Shares Redeemed......................................................................... (395,687) (403,109)
----------- -----------
Net Increase (Decrease) From Capital Share Transactions............................. (75,372) 149,943
----------- -----------
Total Increase (Decrease)........................................................... (77,057) 153,739
NET ASSETS
Beginning of Period..................................................................... 859,293 705,554
----------- -----------
End of Period........................................................................... $ 782,236 $ 859,293
----------- -----------
----------- -----------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................................................................... 28,307 52,148
Shares Issued in Lieu of Cash Distributions............................................. 3,778 3,311
Shares Redeemed......................................................................... (39,644) (40,380)
----------- -----------
(7,559) 15,079
----------- -----------
----------- -----------
</TABLE>
See accompanying Notes to Financial Statements.
14
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE DFA ONE-YEAR FIXED INCOME SERIES
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR FEB. 8
ENDED ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1997 1996 1995 1994 1993
----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period................ $ 10.03 $ 10.00 $ 9.84 $ 10.06 $ 10.00
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income............................. 0.59 0.56 0.60 0.44 0.31
Net Gains (Losses) on Securities (Realized and
Unrealized)..................................... (0.02) 0.03 0.16 (0.18) 0.03
----------- ----------- ----------- ----------- -----------
Total from Investment Operations.................. 0.57 0.59 0.76 0.26 0.34
----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS
Net Investment Income............................. (0.59) (0.56) (0.60) (0.43) (0.28)
Net Realized Gains................................ -- -- -- (0.05) --
----------- ----------- ----------- ----------- -----------
Total Distributions............................... (0.59) (0.56) (0.60) (0.48) (0.28)
----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Period...................... $ 10.01 $ 10.03 $ 10.00 $ 9.84 $ 10.06
----------- ----------- ----------- ----------- -----------
----------- ----------- ----------- ----------- -----------
Total Return........................................ 5.83% 6.10% 7.91% 2.61% 3.39%#
Net Assets, End of Period (thousands)............... $ 782,236 $ 859,293 $ 705,554 $ 592,286 $ 608,428
Ratio of Expenses to Average Net Assets............. 0.10% 0.09% 0.10% 0.10% 0.10%*
Ratio of Net Investment Income to Average Net
Assets............................................ 5.85% 5.62% 6.04% 4.41% 3.80%*
Portfolio Turnover Rate............................. 82.84% 95.84% 81.31% 140.82% 111.67%*
</TABLE>
- --------------
(Restated to reflect a 900% stock dividend as of January 2, 1996)
* Annualized
# Non-Annualized
See accompanying Notes to Financial Statements.
15
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust currently offers fourteen portfolios, of which The DFA One-Year Fixed
Income Series (the "Series") is presented in this report.
On December 20, 1995, the Board of Trustees of The DFA Investment Trust
Company (the "Board") approved a 900% stock dividend upon Delaware Trust Law
which is treated as a 10 for 1 stock split for financial reporting purposes, for
the Series. The record date of the stock dividend as January 1, 1996, and the
ex-date and payable dates were January 2, 1996. This was a tax-free event to the
shareholders of the Series. All share and per share data as of and for the
period ended November 30, 1995 and all prior periods have been restated to
reflect the stock dividend.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such policies
are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with generally
accepted accounting principles may require management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
1. SECURITY VALUATION: Securities held by the Series are valued on the
basis of prices provided by a pricing service as such prices are believed to
reflect the fair market value of such securities.
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 with the Trust's
custodian or a third party sub-custodian. All open repurchase agreements were
entered into on November 28, 1997.
4. OTHER: Security transactions are accounted for on the date the
securities are purchased or sold. Costs used in determining realized gains and
losses on the sale of investment securities are those of specific securities
sold. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Interest income is recorded on the accrual basis. Discount and
premium on securities purchased are amortized over the lives of the respective
securities. Expenses directly attributable to a Series are directly charged.
Common expenses are allocated using methods determined by the Board.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("DFA" or the "Advisor") provides investment
advisory services to the Series. For the year ended November 30, 1997, the
Series' advisory fees were computed daily and paid monthly to the Advisor based
on an effective annual rate of 0.05 of 1% of average daily net assets.
Certain officers of the Series are also officers, directors and shareholders
of the Advisor.
16
<PAGE>
D. PURCHASES AND SALES OF SECURITIES:
For the year ended November 30, 1997, the Series made the following
purchases and sales of investment securities (amounts in thousands):
<TABLE>
<CAPTION>
OTHER
U.S. GOVERNMENT INVESTMENT
SECURITIES SECURITIES
----------------- -----------
<S> <C> <C>
Purchases............................................. $ 90,123 $ 371,765
Sales................................................. 135,222 385,938
</TABLE>
E. INVESTMENT TRANSACTIONS:
At November 30, 1996, gross unrealized appreciation and depreciation for
federal income tax purposes of investment securities was as follows (amounts in
thousands):
<TABLE>
<S> <C>
Gross Unrealized Appreciation............................ $ 1,088
Gross Unrealized Depreciation............................ (112)
---------
Net...................................................... $ 976
---------
---------
</TABLE>
At November 30, 1997, the Series had a capital loss carryover for federal income
tax purposes of approximately $1,867,000 of which $1,565,000 and $301,000 expire
on November 30, 2002 and 2004, respectively.
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
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 Series during the year ended November 30, 1997.
G. COMPONENTS OF NET ASSETS:
At November 30, 1997, net assets consisted of (amounts in thousands):
<TABLE>
<S> <C>
Paid-In Capital........................................ $ 779,327
Undistributed Net Investment Income.................... 3,808
Accumulated Net Realized Loss.......................... (1,875)
Unrealized Appreciation of Investment Securities....... 976
---------
$ 782,236
---------
---------
</TABLE>
17
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF
THE DFA INVESTMENT TRUST COMPANY:
We have audited the accompanying statement of net assets of The DFA Investment
Trust Company, The DFA One-Year Fixed Income Series, as of November 30, 1997,
and the related statement of operations for the year then ended, the statements
of changes in net assets for each of the two years in the period then ended and
the financial highlights for each of the periods presented. These financial
statements and financial highlights are the responsibility of the Fund's
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of investments owned as of
November 30, 1997, by correspondence with the custodian and brokers. An audit
also includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of The
DFA Investment Trust Company, The DFA One-Year Fixed Income Series, as of
November 30, 1997, and the results of its operations for the year then ended,
the changes in its net assets for each of the two years in the period then ended
and its financial highlights for each of the periods presented, in conformity
with generally accepted accounting principles.
COOPERS & LYBRAND L.L.P.
2400 Eleven Penn Center
Philadelphia, Pennsylvania
January 16, 1998
18
