<PAGE>
- --------------------------------------------------------------------------------
Dimensional Investment Group Inc.
U.S. Large Cap Value Portfolio III
Annual Report
Year Ended November 30, 1998
-------------------------------------
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO III
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 U.S. LARGE CAP VALUE SERIES
Performance Chart................................................... 9
Schedule of Investments............................................. 10-11
Statement of Assets and Liabilities................................. 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
- --------------------------------------------------------------------------------
U.S. Large Cap Value Portfolio III vs.
Russell 1000 Value Index
March 1995-November 1998
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
U.S. Large Cap Value Portfolio Russell 1000 Value
Growth of $10,000 III Index Fama-French Large Cap Value Index
<S> <C> <C> <C>
$10,000 $10,000 $10,000
Mar-95 $10,153 $10,219 $10,155
Apr-95 $10,526 $10,542 $10,510
May-95 $11,070 $10,986 $11,009
Jun-95 $11,318 $11,135 $11,292
Jul-95 $11,804 $11,523 $11,814
Aug-95 $12,167 $11,685 $12,088
Sep-95 $12,578 $12,108 $12,451
Oct-95 $12,062 $11,988 $11,929
Nov-95 $12,728 $12,596 $12,549
Dec-95 $12,815 $12,912 $12,688
Jan-96 $13,180 $13,315 $12,997
Feb-96 $13,378 $13,416 $13,188
Mar-96 $13,842 $13,644 $13,578
Apr-96 $14,069 $13,696 $13,869
May-96 $14,307 $13,867 $14,084
Jun-96 $13,882 $13,878 $13,725
Jul-96 $13,270 $13,354 $13,013
Aug-96 $13,794 $13,736 $13,490
Sep-96 $14,071 $14,282 $13,828
Oct-96 $14,525 $14,835 $14,209
Nov-96 $15,573 $15,911 $15,247
Dec-96 $15,420 $15,707 $15,169
Jan-97 $15,974 $16,469 $15,674
Feb-97 $16,292 $16,711 $16,042
Mar-97 $15,544 $16,109 $15,301
Apr-97 $16,057 $16,786 $15,857
May-97 $17,298 $17,724 $17,097
Jun-97 $17,831 $18,485 $17,645
Jul-97 $19,624 $19,875 $19,309
Aug-97 $19,326 $19,167 $19,051
Sep-97 $20,352 $20,325 $20,047
Oct-97 $19,306 $19,758 $19,446
Nov-97 $19,511 $20,631 $19,943
Dec-97 $19,782 $21,234 $20,386
Jan-98 $20,037 $20,934 $20,557
Feb-98 $21,789 $22,343 $22,282
Mar-98 $23,020 $23,710 $23,615
Apr-98 $23,142 $23,869 $23,922
May-98 $22,943 $23,516 $23,981
Jun-98 $22,888 $23,817 $23,996
Jul-98 $22,100 $23,398 $23,168
Aug-98 $18,076 $19,916 $19,341
Sep-98 $18,996 $21,059 $20,524
Oct-98 $20,536 $22,692 $22,369
Nov-98 $21,822 $23,749 $23,499
</TABLE>
<TABLE>
<CAPTION>
Annualized
Total Return One From
(%) Year March 1995
- ---------------------------------------
<S> <C> <C>
11.84 23.13
</TABLE>
- - The portfolio seeks to capture return premiums associated with high
book-to-market ratios by investing in the U.S. Large Cap Value Series of the
DFA Investment Trust Company which in turn invests in U.S. large companies on
a market cap-weighted basis. The series invests in companies that have average
weighted markets capitalizations of approximately $18.7 billion and
book-to-market ratios in the upper 30% of publicly traded U.S. companies.
- - The portfolio's returns in fiscal 1998 reflected the performance of large U.S.
companies with high book-to-market ratios.
- - The Russell 1000 Value Index is a more widely recognized and more broadly
based securities index than the Fama-French Large Cap Value Index, and is
replacing the latter for comparison purposes.
Past performance is not predictive of future performance.
------------------------------------------------------------------------------
1
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO III
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 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
(25,791,997 Shares, Cost $328,023)++ at Value.......................................... $ 484,632
Receivable for Investment Securities Sold................................................ 932
Prepaid Expenses and Other Assets........................................................ 23
-----------
Total Assets......................................................................... 485,587
-----------
LIABILITIES:
Payable for Fund Shares Redeemed......................................................... 932
Accrued Expenses......................................................................... 44
-----------
Total Liabilities.................................................................... 976
-----------
NET ASSETS............................................................................... $ 484,611
-----------
-----------
SHARES OUTSTANDING, $.01 PAR VALUE
(Authorized 100,000,000)............................................................... 24,619,163
-----------
-----------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE................................. $ 19.68
-----------
-----------
NET ASSETS CONSIST OF:
Paid-In Capital.......................................................................... $ 296,190
Undistributed Net Investment Income...................................................... 6,750
Undistributed Net Realized Gain.......................................................... 25,062
Unrealized Appreciation of Investment Securities......................................... 156,609
-----------
Total Net Assets..................................................................... $ 484,611
-----------
-----------
</TABLE>
- --------------
++ The cost for federal income tax purposes is $329,198.
See accompanying Notes to Financial Statements.
2
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO III
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1998
(AMOUNTS IN THOUSANDS)
<TABLE>
<S> <C>
INVESTMENT INCOME
Income Distributions Received from The DFA Investment Trust Company................. $ 8,195
---------
EXPENSES
Administrative Services............................................................. 48
Accounting & Transfer Agent Fees.................................................... 20
Legal Fees.......................................................................... 25
Audit Fees.......................................................................... 4
Filing Fees......................................................................... 21
Shareholders' Reports............................................................... 21
Directors' Fees and Expenses........................................................ 11
Organization Costs.................................................................. 7
Other............................................................................... 2
---------
Total Expenses.................................................................. 159
---------
NET INVESTMENT INCOME............................................................... 8,036
---------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Capital Gain Distributions Received from The DFA Investment Trust Company............... 25,896
Net Realized Gain on Investment Securities.............................................. 7,069
Change in Unrealized Appreciation of Investment Securities.............................. 16,005
---------
NET GAIN ON INVESTMENT SECURITIES................................................... 48,970
---------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.................................... $ 57,006
---------
---------
</TABLE>
See accompanying Notes to Financial Statements.
3
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO III
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
YEAR YEAR
ENDED ENDED
NOV. 30, NOV. 30,
1998 1997
------------ -----------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income.................................................................. $ 8,036 $ 7,795
Capital Gain Distributions Received from The Investment Trust Company.................. 25,896 20,021
Net Realized Gain on Investment Securities............................................. 7,069 2,617
Change in Unrealized Appreciation of Investment Securities............................. 16,005 68,251
------------ -----------
Net Increase in Net Assets Resulting from Operations............................... 57,006 98,684
------------ -----------
Distributions From:
Net Investment Income.................................................................. (8,184) (6,889)
Net Realized Gains..................................................................... (26,867) (6,872)
------------ -----------
Total Distributions................................................................ (35,051) (13,761)
------------ -----------
Capital Share Transactions (1):
Shares Issued.......................................................................... 75,702 69,668
Shares Issued in Lieu of Cash Distributions............................................ 26,709 8,206
Shares Redeemed........................................................................ (110,793) (71,733)
------------ -----------
Net Increase (Decrease) From Capital Share Transactions................................ (8,382) 6,141
------------ -----------
Total Increase..................................................................... 13,573 91,064
NET ASSETS
Beginning of Period.................................................................... 471,038 379,974
------------ -----------
End of Period.......................................................................... $ 484,611 $ 471,038
------------ -----------
------------ -----------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.......................................................................... 4,052 4,136
Shares Issued in Lieu of Cash Distributions............................................ 1,529 541
Shares Redeemed........................................................................ (5,724) (4,024)
------------ -----------
(143) 653
------------ -----------
------------ -----------
</TABLE>
See accompanying Notes to Financial Statements.
4
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO III
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
FEB. 3
YEAR ENDED YEAR ENDED YEAR ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of Period......... $ 19.02 $ 15.76 $ 12.92 $ 10.00
---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income...................... 0.33 0.32 0.28 0.23
Net Gains (Losses) on Securities (Realized
and Unrealized).......................... 1.75 3.52 2.60 3.09
---------- ---------- ---------- ----------
Total from Investment Operations........... 2.08 3.84 2.88 3.32
---------- ---------- ---------- ----------
LESS DISTRIBUTIONS
Net Investment Income...................... (0.33) (0.29) (0.04) (0.23)
Net Realized Gains......................... (1.09) (0.29) -- (0.17)
---------- ---------- ---------- ----------
Total Distributions........................ (1.42) (0.58) (0.04) (0.40)
---------- ---------- ---------- ----------
Net Asset Value, End of Period............... $ 19.68 $ 19.02 $ 15.76 $ 12.92
---------- ---------- ---------- ----------
---------- ---------- ---------- ----------
Total Return................................. 11.85% 25.23% 22.34% 33.27%#
Net Assets, End of Period (thousands)........ $ 484,611 $ 471,038 $ 379,974 $ 135,043
Ratio of Expenses to Average Net Assets
(1)........................................ 0.19% 0.23% 0.26% 0.31%*
Ratio of Net Investment Income to Average Net
Assets..................................... 1.67% 1.79% 2.29% 2.82%*
Portfolio Turnover Rate...................... N/A N/A N/A N/A
Portfolio Turnover Rate of Master Fund
Series..................................... 24.70% 17.71% 20.12% 29.41%(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) 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 U.S. Large Cap Value Portfolio III (the "Portfolio") is presented in
this report.
The Portfolio invests all of its assets in The U.S. Large Cap Value Series
(the "Series"), a corresponding series of The DFA Investment Trust Company. At
November 30, 1998, the Portfolio owned 28% 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 year ended November 30, 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.
Certain officers of the Portfolio are also officers, directors and
shareholders of the Advisor.
D. INVESTMENTS:
At November 30, 1998, 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.......................... $ 155,434
Gross Unrealized Depreciation.......................... --
---------
Net.................................................... $ 155,434
---------
---------
</TABLE>
6
<PAGE>
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
during the year ending November 30, 1998.
7
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE SHAREHOLDERS AND BOARD OF DIRECTORS OF
DIMENSIONAL INVESTMENT GROUP INC.:
In our opinion, the accompanying statement of assets and liabilities of
Dimensional Investment Group Inc., The U.S. Large Cap Value Portfolio III, and
the related statements of operations, and of changes in net assets and the
financial highlights present fairly, in all material respects, the financial
position of Dimensional Investment Group Inc., The U.S. Large Cap Value
Portfolio III at November 30, 1998, the results of its operations, changes in
its net assets and its financial highlights for each of the periods presented,
in conformity with generally accepted accounting principles. These financial
statements and financial highlights (hereafter referred to as "financial
statements") are the responsibility of the Fund's management; our responsibility
is to express an opinion on these financial statements based on our audits. We
conducted our audits of these financial statements in accordance with generally
accepted auditing standards which require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at November 30, 1998 by
correspondence with the custodian and brokers, provide a reasonable basis for
the opinion expressed above.
PricewaterhouseCoopers LLP
2400 Eleven Penn Center
Philadelphia, Pennsylvania
January 15, 1999
8
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHART
- --------------------------------------------------------------------------------
U.S. Large Cap Value Series vs.
Russell 1000 Value Index
March 1993-November 1998
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
U.S. Large Cap Value Russell 1000 Value Fama-French Large Cap Value
Growth of $10,000 Series Index Index
<S> <C> <C> <C>
$10,000 $10,000 $10,000
Mar-93 $10,109 $10,295 $10,302
Apr-93 $10,080 $10,163 $10,247
May-93 $10,189 $10,368 $10,333
Jun-93 $10,406 $10,596 $10,501
Jul-93 $10,553 $10,714 $10,623
Aug-93 $10,810 $11,101 $10,980
Sep-93 $10,622 $11,119 $10,869
Oct-93 $10,750 $11,111 $10,907
Nov-93 $10,650 $10,882 $10,742
Dec-93 $10,906 $11,089 $11,018
Jan-94 $11,219 $11,508 $11,242
Feb-94 $10,714 $11,114 $10,748
Mar-94 $10,280 $10,701 $10,273
Apr-94 $10,441 $10,906 $10,418
May-94 $10,370 $11,032 $10,291
Jun-94 $10,155 $10,768 $10,097
Jul-94 $10,605 $11,103 $10,542
Aug-94 $10,911 $11,422 $10,821
Sep-94 $10,592 $11,043 $10,423
Oct-94 $10,799 $11,196 $10,621
Nov-94 $10,315 $10,744 $10,137
Dec-94 $10,440 $10,867 $10,178
Jan-95 $10,680 $11,202 $10,445
Feb-95 $11,285 $11,645 $11,127
Mar-95 $11,457 $11,900 $11,299
Apr-95 $11,877 $12,276 $11,695
May-95 $12,495 $12,792 $12,249
Jun-95 $12,769 $12,966 $12,564
Jul-95 $13,328 $13,418 $13,146
Aug-95 $13,730 $13,607 $13,451
Sep-95 $14,205 $14,099 $13,854
Oct-95 $13,621 $13,960 $13,274
Nov-95 $14,366 $14,667 $13,963
Dec-95 $14,469 $15,036 $14,118
Jan-96 $14,880 $15,505 $14,462
Feb-96 $15,102 $15,623 $14,675
Mar-96 $15,627 $15,888 $15,108
Apr-96 $15,884 $15,949 $15,432
May-96 $16,152 $16,148 $15,672
Jun-96 $15,682 $16,161 $15,272
Jul-96 $14,986 $15,550 $14,479
Aug-96 $15,581 $15,995 $15,011
Sep-96 $15,892 $16,631 $15,386
Oct-96 $16,412 $17,275 $15,811
Nov-96 $17,595 $18,527 $16,965
Dec-96 $17,423 $18,290 $16,878
Jan-97 $18,047 $19,177 $17,440
Feb-97 $18,406 $19,459 $17,850
Mar-97 $17,563 $18,759 $17,026
Apr-97 $18,141 $19,546 $17,644
May-97 $19,548 $20,639 $19,023
Jun-97 $20,150 $21,525 $19,634
Jul-97 $22,170 $23,143 $21,485
Aug-97 $21,844 $22,319 $21,198
Sep-97 $22,995 $23,667 $22,306
Oct-97 $21,818 $23,007 $21,637
Nov-97 $22,049 $24,024 $22,191
Dec-97 $22,357 $24,725 $22,684
Jan-98 $22,655 $24,377 $22,874
Feb-98 $24,635 $26,017 $24,793
Mar-98 $26,017 $27,610 $26,276
Apr-98 $26,160 $27,795 $26,617
May-98 $25,940 $27,383 $26,684
Jun-98 $25,878 $27,734 $26,700
Jul-98 $24,980 $27,246 $25,779
Aug-98 $20,434 $23,192 $21,520
Sep-98 $21,470 $24,523 $22,837
Oct-98 $23,224 $26,423 $24,890
Nov-98 $24,677 $27,655 $26,147
</TABLE>
<TABLE>
<CAPTION>
Annualized
Total Return One Five From
(%) Year Years March 1993
- --------------------------------------------------
<S> <C> <C> <C>
11.92 18.30 17.01
</TABLE>
- - The series seeks to capture return premiums associated with high
book-to-market ratios and market capitalization by investing in U.S. large
companies on a market cap-weighted basis. The series invests in companies that
have average weighted markets capitalizations of approximately $18.7 billion
and book-to-market ratios in the upper 30% of publicly traded U.S. companies.
- - The series' returns in fiscal 1998 reflected the performance of large cap high
book-to-market U.S. companies.
- - The Russell 1000 Value Index is a more widely recognized and more broadly
based securities index than the Fama-French Large Cap Value Index, and is
replacing the latter for comparison purposes.
Past performance is not predictive of future performance.
- --------------------------------------------------------------------------------
9
<PAGE>
THE U.S. LARGE CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1998
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
COMMON STOCKS -- (99.0%)
AK Steel Holding Corp................................. 156,800 $ 3,008,600
*AMR Corp............................................. 453,000 29,869,687
AVX Corp.............................................. 177,100 3,442,381
*Adaptec, Inc......................................... 50,800 828,675
*Advanced Micro Devices, Inc.......................... 485,900 13,453,356
Aetna, Inc............................................ 544,726 42,114,129
*Airgas, Inc.......................................... 28,800 291,600
*Alaska Air Group, Inc................................ 21,200 793,675
Albemarle Corp........................................ 97,500 1,815,937
Alexander & Baldwin, Inc.............................. 109,700 2,509,387
*Alleghany Corp....................................... 8,432 1,621,052
Aluminium Co. of America.............................. 69,271 5,134,713
Ambac, Inc............................................ 150,200 9,162,200
Amerada Hess Corp..................................... 179,900 9,984,450
*America West Holdings Corp. Class B.................. 85,700 1,210,512
American Financial Group, Inc. (New).................. 75,000 2,948,437
American General Corp................................. 440,707 31,042,299
American Greetings Corp. Class A...................... 19,400 820,862
American National Insurance Co........................ 21,900 1,828,650
Amerus Life Holdings, Inc. Class A.................... 28,000 617,750
Apache Corp........................................... 186,600 4,291,800
Arch Coal, Inc........................................ 12,600 241,762
Archer-Daniels Midland Co............................. 1,299,935 23,886,306
*Arrow Electronics, Inc............................... 287,600 6,255,300
Asarco, Inc........................................... 104,900 2,032,437
*Associated Group, Inc. Class A....................... 6,500 243,344
Astoria Financial Corp................................ 23,800 1,071,744
Atlantic Richfield Co................................. 221,200 14,709,800
*Atmel Corp........................................... 131,200 1,594,900
Avnet, Inc............................................ 115,600 6,726,475
*BJ Services, Co...................................... 228,200 3,152,012
Baker Hughes, Inc..................................... 75,400 1,380,762
Ball Corp............................................. 112,500 4,809,375
Bancwest Corp......................................... 98,600 4,264,450
Bankers Trust New York Corp........................... 211,700 18,417,900
Bear Stearns Companies, Inc........................... 249,637 10,484,754
Berkley (W.R.) Corp................................... 47,400 1,589,381
*Bethlehem Steel Corp................................. 285,500 2,355,375
*Beverly Enterprises.................................. 296,100 1,702,575
Black & Decker Corp................................... 168,800 9,146,850
Block Drug Co., Inc. Class A.......................... 37,588 1,426,026
Boise Cascade Corp.................................... 162,100 5,136,544
Borg Warner Automotive, Inc........................... 46,300 2,309,212
Bowater, Inc.......................................... 141,300 5,581,350
*Brinker International, Inc........................... 18,700 475,681
Brunswick Corp........................................ 273,500 6,017,000
Burlington Coat Factory Warehouse Corp................ 10,000 145,000
Burlington Northern Santa Fe Corp..................... 940,100 31,963,400
CIGNA Corp............................................ 294,324 22,902,086
*CNA Financial Corp................................... 422,500 18,061,875
CSX Corp.............................................. 484,500 20,197,594
*Cabletron Systems, Inc............................... 438,500 6,139,000
Capital Re Corp....................................... 26,600 525,350
Carpenter Technology Corp............................. 21,900 773,344
*Case Corp............................................ 166,300 4,032,775
#Champion International Corp.......................... 206,000 8,561,875
Chesapeake Corp....................................... 15,100 523,781
Chicago Title Corp.................................... 14,996 701,063
Chiquita Brands International, Inc.................... 111,200 1,251,000
*Chris-Craft Industries, Inc.......................... 68,808 3,182,370
Cincinnati Financial Corp............................. 333,380 13,012,238
*Circus Circus Enterprises, Inc....................... 271,300 3,136,906
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Citizens Corp......................................... 94,700 $ 3,131,019
Commerce Group, Inc................................... 54,700 1,873,475
Comsat Corp. Series 1................................. 96,600 3,441,375
Consolidated Papers, Inc.............................. 101,000 2,581,812
Cooper Tire & Rubber Co............................... 95,100 1,860,394
Coors (Adolph) Co. Class B............................ 80,500 4,007,391
*Corporate Express, Inc............................... 33,200 192,975
Countrywide Credit Industries, Inc.................... 258,600 12,800,700
Crown Cork & Seal Co., Inc............................ 393,100 13,267,125
Cummins Engine Co., Inc............................... 108,800 4,039,200
*Cypress Semiconductor Corp........................... 184,700 1,881,631
Cyprus Amax Minerals Co., Inc......................... 238,900 2,717,487
*Daimlerchrysler...................................... 881,271 80,801,535
Dana Corp............................................. 27,414 1,069,146
Darden Restaurants, Inc............................... 356,000 5,629,250
*Delphi Financial Group, Inc. Class A................. 816 38,097
#Devon Energy Corp.................................... 26,100 859,669
Dillards, Inc. Class A................................ 321,700 11,058,437
*EEX Corp............................................. 434,154 1,546,674
ENSCO International, Inc.............................. 236,600 2,262,487
#Enhance Financial Services Group, Inc................ 26,400 775,500
Enron Corp............................................ 7,800 409,987
Enron Oil & Gas Corp.................................. 217,800 3,267,000
*Everest Reinsurance Holdings, Inc.................... 22,800 856,425
*Extended Stay America, Inc........................... 140,300 1,403,000
*Federated Department Stores, Inc..................... 606,300 25,275,131
Financial Security Assurance Holdings, Ltd............ 41,800 2,293,775
First Citizens Bancshares, Inc. NC.................... 10,100 872,072
Florida East Coast Industries, Inc.................... 54,600 1,870,050
Ford Motor Co......................................... 2,655,700 146,727,425
*Fruit of The Loom, Inc. Class A...................... 120,600 1,778,850
GATX Corp............................................. 84,400 3,191,375
General Motors Corp................................... 1,528,500 106,995,000
General Motors Corp. Class H.......................... 217,546 8,266,748
Georgia-Pacific Corp.................................. 191,500 10,867,625
Georgia-Pacific Corp. Timber Group.................... 50,200 1,154,600
*Golden State Bancorp, Inc............................ 144,900 2,789,325
Golden West Financial Corp............................ 90,800 8,597,625
Goodrich (B.F.) Co.................................... 95,400 3,619,237
Great Atlantic & Pacific Tea Co., Inc................. 126,700 3,460,494
Great Lakes Chemical Corp............................. 23,900 954,506
Greenpoint Financial Corp............................. 127,600 4,856,775
Harris Corp........................................... 13,300 504,569
Helmerich & Payne, Inc................................ 104,300 1,799,175
Hilton Hotels Corp.................................... 545,500 11,864,625
Hollinger International, Inc. Class A................. 147,100 1,903,106
IBP, Inc.............................................. 288,400 7,318,150
IMC Global, Inc....................................... 257,400 5,888,025
*IVAX Corp............................................ 361,000 3,429,500
Ikon Office Solutions, Inc............................ 247,900 2,417,025
Inland Steel Industries, Inc.......................... 64,592 1,182,841
Integrated Health Services, Inc....................... 87,100 974,431
International Paper Co................................ 687,800 29,876,312
*International Speciality Products, Inc............... 252,000 3,307,500
*K Mart Corp.......................................... 1,417,400 21,615,350
Kerr-McGee Corp....................................... 58,300 2,302,850
*LSI Logic Corp....................................... 458,000 7,099,000
LTV Corp.............................................. 225,900 1,242,450
Lafarge Corp.......................................... 136,700 5,066,444
*Lam Research Corp.................................... 113,900 2,032,403
Lehman Brothers Holdings, Inc......................... 297,600 14,861,400
Lennar Corp........................................... 1,900 42,275
Liberty Corp.......................................... 35,900 1,741,150
</TABLE>
10
<PAGE>
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Liberty Financial Companies, Inc...................... 121,500 $ 3,531,094
Lincoln National Corp................................. 223,050 18,666,497
Loews Corp............................................ 235,300 23,530,000
Longs Drug Stores Corp................................ 53,000 1,888,125
Louisiana-Pacific Corp................................ 298,100 5,067,700
*Lubrizol Corp........................................ 182,000 4,936,750
#*MGM Grand, Inc...................................... 52,928 1,359,588
Mallinckrodt, Inc..................................... 205,200 6,630,525
Mark IV Industries, Inc............................... 45,300 764,437
Mead Corp............................................. 281,000 8,517,812
Media General, Inc. Class A........................... 16,900 801,694
Metris Companies, Inc................................. 33,999 1,138,966
*Micron Technology, Inc............................... 499,900 20,652,119
*Millennium Chemicals, Inc............................ 10,500 250,687
Mitchell Energy & Development Corp. Class A........... 68,500 890,500
Mitchell Energy & Development Corp. Class B........... 41,600 551,200
Morgan (J.P.) & Co., Inc.............................. 292,700 31,282,312
Morton International, Inc............................. 11,000 323,812
Murphy Oil Corp....................................... 31,700 1,264,037
NAC RE Corp........................................... 26,000 1,241,500
Nabisco Holdings Corp................................. 71,900 2,867,012
*National Semiconductor Corp.......................... 458,600 6,592,375
*Navistar International Corp.......................... 216,700 5,607,112
*Nextel Communications Corp. Class A.................. 162,515 3,499,151
Noble Affiliates, Inc................................. 108,000 2,733,750
Norfolk Southern Corp................................. 749,500 22,766,062
*Novell, Inc.......................................... 883,000 14,597,094
Occidental Petroleum Corp............................. 650,800 13,178,700
*Officemax, Inc....................................... 367,200 3,901,500
Ogden Corp............................................ 151,696 4,029,425
#Ohio Casualty Corp................................... 106,900 4,342,812
Old Republic International Corp....................... 373,275 7,955,423
Olsten Corp........................................... 13,300 99,750
Orion Capital Corp.................................... 10,000 361,250
Overseas Shipholding Group, Inc....................... 37,500 592,969
Pacific Century Financial Corp........................ 124,500 2,661,187
*Pacificare Health Systems, Inc. Class A.............. 12,040 837,532
*Pacificare Health Systems, Inc. Class B.............. 39,256 2,962,601
Pennzoil Co........................................... 55,600 2,064,150
Pep Boys - Manny, Moe & Jack.......................... 151,100 2,134,288
Phelps Dodge Corp..................................... 122,900 6,966,894
Pioneer Natural Resources Co.......................... 333,000 4,412,250
Potlatch Corp......................................... 94,600 3,577,063
Provident Companies, Inc.............................. 550,808 21,171,683
Pulte Corp............................................ 71,400 1,816,238
*Quantum Corp......................................... 311,100 6,892,809
Questar Corp.......................................... 36,500 700,344
RJR Nabisco Holdings Corp............................. 640,380 18,450,949
Rayonier, Inc......................................... 83,000 3,527,500
Reynolds Metals Co.................................... 140,300 7,698,963
*Rowan Companies, Inc................................. 64,500 632,906
Russell Corp.......................................... 137,400 3,271,838
Ryder System, Inc..................................... 195,800 5,592,538
Safeco Corp........................................... 334,200 14,360,156
Saint Paul Companies, Inc............................. 583,026 20,551,667
*Seagate Technology, Inc.............................. 603,100 17,791,450
*Silicon Graphics, Inc................................ 456,700 5,594,575
*Smurfit-Stone Container Corp......................... 235,026 3,327,087
Springs Industries, Inc. Class A...................... 5,000 194,688
#*Sprint Corp. (PCS Group)............................ 5,850 93,600
St. Joe Corp.......................................... 78,400 1,847,300
TIG Holdings, Inc..................................... 185,700 2,611,406
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Tecumseh Products Co. Class A......................... 58,300 $ 2,893,138
Tecumseh Products Co. Class B......................... 5,700 288,563
*Tektronix, Inc....................................... 26,800 718,575
*Tele-Communications Liberty Media Group Class A...... 19,952 804,939
Telephone & Data Systems, Inc......................... 152,900 6,536,475
Temple-Inland, Inc.................................... 138,200 7,419,613
Tenneco, Inc.......................................... 324,700 11,567,438
Terra Industries, Inc................................. 61,400 333,863
*Thermo-Electron Corp................................. 28,300 477,563
Tidewater, Inc........................................ 63,700 1,469,081
Timken Co............................................. 167,800 3,230,150
*Toys R Us, Inc....................................... 613,800 12,122,550
Transamerica Corp..................................... 231,400 24,586,250
Travelers Property Casualty Corp...................... 171,000 5,888,813
Tyson Foods, Inc. Class A............................. 13,000 268,938
UMB Financial Corp.................................... 34,000 1,530,000
USX-Marathon Group, Inc............................... 448,450 12,724,769
USX-US Steel Group.................................... 314,400 7,683,150
Ultramar Diamond Shamrock Corp........................ 62,100 1,599,075
Union Camp Corp....................................... 152,600 9,871,313
Union Pacific Corp.................................... 585,300 28,460,213
Union Pacific Resources Group, Inc.................... 394,600 4,414,588
Unionbancal Corp...................................... 48,600 4,850,888
*United States Cellular Corp.......................... 141,300 5,325,244
Unitrin, Inc.......................................... 111,900 7,930,913
Valero Energy Corp.................................... 133,300 2,799,300
Valhi, Inc............................................ 85,600 941,600
*Venator Group, Inc................................... 494,500 3,894,188
*Viacom, Inc. Class A................................. 122,400 8,040,150
*Viacom, Inc. Class B................................. 805,200 53,596,125
*Vishay Intertechnology, Inc.......................... 127,564 1,809,814
Wallace Computer Services, Inc........................ 31,000 695,563
Weis Markets, Inc..................................... 20,800 793,000
Wesco Financial Corp.................................. 8,500 2,992,000
#*Western Digital Corp................................ 28,100 367,056
Westvaco Corp......................................... 211,250 5,941,406
Weyerhaeuser Co....................................... 442,100 22,160,263
Whirlpool Corp........................................ 69,000 3,864,000
Willamette Industries, Inc............................ 298,600 10,432,338
Worthington Industries, Inc........................... 126,900 1,558,491
Xtra Corp............................................. 6,200 294,888
*Zale Corp............................................ 27,100 775,738
------------
TOTAL COMMON STOCKS
(Cost $1,399,206,000)................................ 1,730,831,533
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (1.0%)
Repurchase Agreement, PNC Capital Markets Inc. 4.95%,
12/01/98 (Collateralized by U.S. Treasury Notes
6.25%, 08/31/02, valued at $18,136,825) to be
repurchased at $17,866,456.
(Cost $17,864,000)................................... $ 17,864 17,864,000
------------
TOTAL INVESTMENTS -- (100.0%) (Cost
$1,417,070,000)++.................................... $1,748,695,533
------------
------------
- --------------------
+ 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.
11
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 1998
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<TABLE>
<S> <C>
ASSETS:
Investments at Value.................................................................... $ 1,748,696
Collateral for Securities Loaned........................................................ 9,885
Receivables
Dividends and Interest.............................................................. 4,466
Investment Securities Sold.......................................................... 13,411
Fund Shares Sold.................................................................... 112
Prepaid Expenses and Other Assets....................................................... --
------------
Total Assets........................................................................ 1,776,571
------------
LIABILITIES:
Payable for Securities Loaned........................................................... 9,885
Payable for Investment Securities Purchased............................................. 9,191
Payable for Fund Shares Redeemed........................................................ 1,281
Accrued Expenses and Other Liabilities.................................................. 307
------------
Total Liabilities................................................................... 20,664
------------
NET ASSETS.............................................................................. $ 1,755,907
------------
------------
SHARES OUTSTANDING $.01 PAR VALUE
(Authorized 100,000,000).............................................................. 93,435,456
------------
------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE................................ $ 18.79
------------
------------
Investments at Cost..................................................................... $ 1,417,070
------------
------------
</TABLE>
See accompanying Notes to Financial Statements.
12
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1998
(AMOUNTS IN THOUSANDS)
<TABLE>
<S> <C>
INVESTMENT INCOME
Dividends.......................................................................... $ 29,635
Interest........................................................................... 775
Income From Securities Lending..................................................... 210
---------
Total Investment Income........................................................ 30,620
---------
EXPENSES
Investment Advisory Services....................................................... 1,667
Accounting & Transfer Agent Fees................................................... 688
Custodian's Fee.................................................................... 246
Legal Fees......................................................................... 21
Audit Fees......................................................................... 31
Shareholders' Reports.............................................................. 30
Trustees' Fees and Expenses........................................................ 7
Other.............................................................................. 26
---------
Total Expenses................................................................. 2,716
---------
NET INVESTMENT INCOME.............................................................. 27,904
---------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net Realized Gain on Investment Securities............................................. 136,077
Change in Unrealized Appreciation of Investment Securities............................. 12,481
---------
NET GAIN ON INVESTMENT SECURITIES.................................................. 148,558
---------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................................... $ 176,462
---------
---------
</TABLE>
See accompanying Notes to Financial Statements.
13
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
YEAR YEAR
ENDED NOV. ENDED NOV.
30, 1998 30, 1997
------------- -------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income............................................................... $ 27,904 $ 24,622
Net Realized Gain on Investment Securities.......................................... 136,077 82,623
Change in Unrealized Appreciation of Investment Securities.......................... 12,481 172,274
------------- -------------
Net Increase in Net Assets Resulting from Operations............................ 176,462 279,519
------------- -------------
Distributions From:
Net Investment Income............................................................... (28,682) (23,401)
Net Realized Gains.................................................................. (82,634) (52,566)
------------- -------------
Total Distributions............................................................. (111,316) (75,967)
------------- -------------
Capital Share Transactions (1):
Shares Issued....................................................................... 281,067 320,473
Shares Issued in Lieu of Cash Distributions......................................... 91,193 64,945
Shares Redeemed..................................................................... (171,495) (86,916)
------------- -------------
Net Increase From Capital Share Transactions........................................ 200,765 298,502
------------- -------------
Total Increase.................................................................. 265,911 502,054
NET ASSETS
Beginning of Period................................................................. 1,489,996 987,942
------------- -------------
End of Period....................................................................... $ 1,755,907 $ 1,489,996
------------- -------------
------------- -------------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued....................................................................... 15,137 19,550
Shares Issued in Lieu of Cash Distributions......................................... 5,270 4,236
Shares Redeemed..................................................................... 9,356 (5,069)
------------- -------------
11,051 18,717
------------- -------------
------------- -------------
</TABLE>
See accompanying Notes to Financial Statements.
14
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
YEAR YEAR YEAR ENDED YEAR ENDED YEAR ENDED
ENDED NOV. ENDED NOV. NOV. 30, NOV. 30, NOV. 30,
30, 1998 30, 1997 1996 1995 1994
------------- ------------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period................... $ 18.09 $ 15.52 $ 13.29 $ 9.92 $ 10.59
------------- ------------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income................................ 0.31 0.32 0.31 0.32 0.33
Net Gains (Losses) on Securities (Realized and
Unrealized)........................................ 1.71 3.38 2.57 3.53 (0.65)
------------- ------------- ----------- ----------- -----------
Total from Investment Operations..................... 2.02 3.70 2.88 3.85 (0.32)
------------- ------------- ----------- ----------- -----------
LESS DISTRIBUTIONS
Net Investment Income................................ (0.32) (0.31) (0.31) (0.31) (0.35)
Net Realized Gains................................... (1.00) (0.82) (0.34) (0.17) --
------------- ------------- ----------- ----------- -----------
Total Distributions.................................. (1.32) (1.13) (0.65) (0.48) (0.35)
------------- ------------- ----------- ----------- -----------
Net Asset Value, End of Period......................... $ 18.79 $ 18.09 $ 15.52 $ 13.29 $ 9.92
------------- ------------- ----------- ----------- -----------
------------- ------------- ----------- ----------- -----------
Total Return........................................... 11.93% 25.31% 22.48% 39.26% (3.13)%
Net Assets, End of Period (thousands).................. $ 1,755,907 $ 1,489,996 $ 987,942 $ 423,027 $ 198,848
Ratio of Expenses to Average Net Assets................ 0.16% 0.18% 0.19% 0.21% 0.22%
Ratio of Net Investment Income to Average Net Assets... 1.67% 1.96% 2.37% 2.84% 3.72%
Portfolio Turnover Rate................................ 24.70% 17.71% 20.12% 29.41% 39.33%
</TABLE>
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 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 Trustees.
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 November 30, 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 Trustees.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("DFA" or the "Advisor") provides investment
advisory services to the Series. For the year ended November 30, 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.
16
<PAGE>
D. PURCHASES AND SALES OF SECURITIES:
For the year ended November 30, 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.............................................. $ 503,556
Sales.................................................. 404,421
</TABLE>
E. INVESTMENT TRANSACTIONS:
At November 30, 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.......................... $ 425,729
Gross Unrealized Depreciation.......................... (94,103)
---------
Net.................................................... $ 331,626
---------
---------
</TABLE>
F. LINE OF CREDIT:
The Trust, together with other DFA-advised portfolios, has entered into a
$50 million unsecured line of credit with its domestic custodian bank. Each
series is permitted to borrow, subject to its investment limitations, up to a
maximum of $50 million. Borrowings under the line are charged interest at the
current overnight federal funds rate plus a variable rate determined at the date
of borrowing. Each series is individually, and not jointly liable for its
particular advances under the line. There is no commitment fee on the unused
portion of the line of credit. Borrowings under the line of credit by the Series
for the year ended November 30, 1998 were as follows:
<TABLE>
<CAPTION>
MAXIMUM AMOUNT
WEIGHTED WEIGHTED NUMBER OF INTEREST BORROWED
AVERAGE AVERAGE DAYS EXPENSE DURING
INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED THE PERIOD
- -------------- ------------ ----------- ------- --------------
<S> <C> <C> <C> <C>
6.08 % $ 3,038,667 3 $1,539 $ 3,596,000
</TABLE>
There were no outstanding borrowings under the line of credit at November
30,1998.
G. COMPONENTS OF NET ASSETS:
At November 30, 1998, net assets consisted of (amounts in thousands):
<TABLE>
<S> <C>
Paid-In Capital...................................... $ 1,287,321
Undistributed Net Investment Income.................. 971
Undistributed Net Realized Gain...................... 135,989
Unrealized Appreciation of Investment Securities..... 331,626
-----------
$ 1,755,907
-----------
-----------
</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 November
30, 1998 was reinvested into overnight repurchase agreements with Warburg Dillon
Reed which was in turn collateralized by U.S. Government Treasury Securities. At
November 30, 1998, the market value of securities on loan to brokers was
$9,473,197, the related collateral cash received was $9,885,206 and the value of
collateral on overnight repurchase agreements was $9,688,577.
17
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF
THE DFA INVESTMENT TRUST COMPANY:
In our opinion, the accompanying statement of assets and liabilities, including
the schedule of investments, of The DFA Investment Trust Company, The U.S. Large
Cap Value Series, and the related statements of operations, and of changes in
net assets and the financial highlights present fairly, in all material
respects, the financial position of The DFA Investment Trust Company, The U.S.
Large Cap Value Series at November 30, 1998, the results of its operations,
changes in its net assets and its financial highlights for each of the periods
presented, in conformity with generally accepted accounting principles. These
financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Fund's management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with generally accepted auditing standards which require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at
November 30, 1998 by correspondence with the custodian and brokers, provide a
reasonable basis for the opinion expressed above.
PricewaterhouseCoopers LLP
2400 Eleven Penn Center
Philadelphia, Pennsylvania
January 15, 1999
18
