<PAGE>
- --------------------------------------------------------------------------------
Dimensional Investment Group Inc.
U.S. Large Cap Value Portfolio II
Semi-Annual Report
Six Months Ended May 31, 1999
(Unaudited)
-------------------------------------
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO II
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
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<S> <C>
DIMENSIONAL INVESTMENT GROUP INC.
Statement of Assets and Liabilities................................. 1
Statement of Operations............................................. 2
Statements of Changes in Net Assets................................. 3
Financial Highlights................................................ 4
Notes to Financial Statements....................................... 5-6
THE DFA INVESTMENT TRUST COMPANY -- THE U.S. LARGE CAP VALUE SERIES
Schedule of Investments............................................. 7-9
Statement of Assets and Liabilities................................. 10
Statement of Operations............................................. 11
Statements of Changes in Net Assets................................. 12
Financial Highlights................................................ 13
Notes to Financial Statements....................................... 14-15
</TABLE>
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO II
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 1999
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<TABLE>
<S> <C>
ASSETS:
Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company
(2,112,067 Shares, Cost $29,550++) at Value............................................ $ 41,903
Receivable for Fund Shares Sold.......................................................... 246
Prepaid Expenses and Other Assets........................................................ 12
-----------
Total Assets......................................................................... 42,161
-----------
LIABILITIES:
Payable for Investment Securities Purchased.............................................. 246
Accrued Expenses......................................................................... 24
-----------
Total Liabilities.................................................................... 270
-----------
NET ASSETS............................................................................... $ 41,891
-----------
-----------
SHARES OUTSTANDING, $.01 PAR VALUE
(Authorized 100,000,000)............................................................... 1,985,381
-----------
-----------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE................................. $ 21.10
-----------
-----------
NET ASSETS CONSIST OF:
Paid-In Capital.......................................................................... $ 25,786
Undistributed Net Investment Income...................................................... 70
Undistributed Net Realized Gain.......................................................... 3,682
Unrealized Appreciation of Investment Securities......................................... 12,353
-----------
Total Net Assets..................................................................... $ 41,891
-----------
-----------
</TABLE>
- --------------
++ The cost for Federal income tax purposes is $30,205.
See accompanying Notes to Financial Statements.
1
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO II
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1999
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
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INVESTMENT INCOME
Income Distributions Received from The DFA Investment Trust Company.................. $ 187
---------
EXPENSES
Administrative Services.............................................................. 2
Accounting & Transfer Agent Fees..................................................... 4
Shareholder Services................................................................. 20
Legal Fees........................................................................... 1
Audit Fees........................................................................... --
Filing Fees.......................................................................... 6
Shareholders' Reports................................................................ 8
Directors' Fees and Expenses......................................................... 1
Organization Costs................................................................... 4
Other................................................................................ 1
---------
Total Expenses................................................................... 47
---------
NET INVESTMENT INCOME................................................................ 140
---------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Capital Gain Distributions Received from The DFA Investment Trust Company................ 3,285
Net Realized Gain on Investment Securities............................................... 1,048
Change in Unrealized Appreciation of Investment Securities............................... 808
---------
NET GAIN ON INVESTMENT SECURITIES.................................................... 5,141
---------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS..................................... $ 5,281
---------
---------
</TABLE>
See accompanying Notes to Financial Statements.
2
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO II
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
1999 1998
------------ ----------
<S> <C> <C>
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income.................................................................... $ 140 $ 756
Capital Gain Distributions Received from The DFA Investment Trust Company................ 3,285 2,804
Net Realized Gain or Loss on Investment Securities....................................... 1,048 (67)
Change in Unrealized Appreciation of Investment Securities............................... 808 1,644
------------ ----------
Net Increase in Net Assets Resulting from Operations................................. 5,281 5,137
------------ ----------
Distributions From:
Net Investment Income.................................................................... (696) (689)
Net Realized Gains....................................................................... (2,418) (1,933)
------------ ----------
Total Distributions.................................................................. (3,114) (2,622)
------------ ----------
Capital Share Transactions (1):
Shares Issued............................................................................ 8,719 11,753
Shares Issued in Lieu of Cash Distributions.............................................. 3,114 2,622
Shares Redeemed.......................................................................... (17,244) (22,124)
------------ ----------
Net Decrease From Capital Share Transactions......................................... (5,411) (7,749)
------------ ----------
Total Decrease....................................................................... (3,244) (5,234)
NET ASSETS
Beginning of Period...................................................................... 45,135 50,369
------------ ----------
End of Period............................................................................ $ 41,891 $ 45,135
------------ ----------
------------ ----------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................................................................ 420 594
Shares Issued in Lieu of Cash Distributions.............................................. 172 149
Shares Redeemed.......................................................................... (884) (1,156)
------------ ----------
(292) (413)
------------ ----------
------------ ----------
</TABLE>
See accompanying Notes to Financial Statements.
3
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO II
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
SIX MONTHS YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED AUG. 3 TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995 1994
----------- -------- -------- -------- -------- ----------
<S> <C> <C> <C> <C> <C> <C>
(UNAUDITED)
Net Asset Value, Beginning of Period......... $ 19.82 $ 18.72 $ 15.43 $ 12.72 $ 9.48 $ 10.00
----------- -------- -------- -------- -------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income...................... 0.10 0.32 0.24 0.20 0.17 0.11
Net Gains (Losses) on Securities (Realized
and Unrealized).......................... 2.65 1.74 3.50 2.54 3.40 (0.52)
----------- -------- -------- -------- -------- ----------
Total from Investment Operations........... 2.75 2.06 3.74 2.74 3.57 (0.41)
----------- -------- -------- -------- -------- ----------
LESS DISTRIBUTIONS
Net Investment Income...................... (0.34) (0.25) (0.20) (0.03) (0.17) (0.11)
Net Realized Gains......................... (1.13) (0.71) (0.25) -- (0.16) --
----------- -------- -------- -------- -------- ----------
Total Distributions........................ (1.47) (0.96) (0.45) (0.03) (0.33) (0.11)
----------- -------- -------- -------- -------- ----------
Net Asset Value, End of Period............... $ 21.10 $ 19.82 $ 18.72 $ 15.43 $ 12.72 $ 9.48
----------- -------- -------- -------- -------- ----------
----------- -------- -------- -------- -------- ----------
Total Return................................. 15.05%# 11.69% 24.98% 21.59% 37.76% (4.14)%#
Net Assets, End of Period (thousands)........ $41,891 $ 45,135 $ 50,369 $ 26,079 $ 7,110 $ 1,285
Ratio of Expenses to Average Net Assets
(1)........................................ 0.40%* 0.39% 0.45% 0.82% 0.96% 0.96%*
Ratio of Expenses to Average Net Assets
(excluding waivers and assumption of
expenses) (1).............................. 0.40%* 0.39% 0.45% 0.82% 2.35% 8.45%*
Ratio of Net Investment Income to Average Net
Assets..................................... 0.71%* 1.44% 1.62% 1.80% 2.37% 5.39%*
Ratio of Net Investment Income to Average Net
Assets (excluding waivers and assumption of
expenses).................................. 0.71%* 1.44% 1.62% 1.80% 0.98% (2.10%)*
Portfolio Turnover Rate...................... N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master Fund
Series..................................... 37.54%* 24.70% 17.71% 20.12% 29.41% 39.33%(a)
</TABLE>
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* Annualized
# Non-Annualized
(1) Represents the combined ratio for the Portfolio and its respective pro-rata
share of its Master Fund Series.
(a) Master Fund Series Turnover calculated for the year ended November 30,
1994.
N/A Refer to the Master Fund Series
See accompanying Notes to Financial Statements.
4
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund) is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund currently offers thirteen portfolios,
of which U.S. Large Cap Value Portfolio II (the "Portfolio") is presented in
this report.
The Portfolio invests all of its assets in The U.S. Large Cap Value Series
(the "Series"), a corresponding series of The DFA Investment Trust Company. At
May 31, 1999, the Portfolio owned 24% 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. Effective July 1, 1996, 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%. Prior to that date this rate was 0.15 of
1% of average daily net assets.
Certain officers of the Portfolio are also officers, directors and
shareholders of the Advisor.
Effective July 1, 1996 the Advisor has agreed to waive its fees and
reimburse the Portfolio to the extent necessary to keep the annual combined
expenses of the Portfolio and its respective Master Fund to not more than 0.75%
of average daily net assets on an annualized basis. Prior to that date, the
Advisor agreed to waive its fees and reimburse the Portfolio to the extent
necessary to keep the annual combined expenses to not more than 0.96% of average
daily net assets on an annualized basis. Annualized expenses are those expenses
incurred in any period consisting of twelve consecutive months. At May 31, 1999,
there are no previously waived fees subject to future reimbursement to the
Advisor. In addition, pursuant to an agreement with a Shareholder Service Agent,
the Portfolio pays to such agent a fee at the effective annual rate of .10% of
its average daily net assets.
5
<PAGE>
D. INVESTMENTS:
At May 31, 1999, gross unrealized appreciation and depreciation for federal
income tax purposes of investment securities was as follows (amounts in
thousands):
<TABLE>
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Gross Unrealized Appreciation........................... $ 11,698
Gross Unrealized Depreciation........................... --
---------
Net..................................................... $ 11,698
---------
---------
</TABLE>
E. LINE OF CREDIT:
The Fund, together with other DFA-advised portfolios, has entered into a $50
million unsecured line of credit with its domestic custodian bank. Each
portfolio is permitted to borrow, subject to its investment limitations, up to a
maximum of $50 million. Borrowings under the line are charged interest at the
current overnight federal funds rate plus a variable rate determined at the date
of borrowing. Each portfolio is individually, and not jointly liable for its
particular advances under the line. There is no commitment fee on the unused
portion of the line of credit. There were no borrowings under the line of credit
by the Portfolio during the six months ended May 31, 1999.
6
<PAGE>
THE U.S. LARGE CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
COMMON STOCKS -- (99.0%)
AK Steel Holding Corp................................. 156,800 $ 3,763,200
*AMR Corp............................................. 565,000 36,760,312
AVX Corp.............................................. 177,100 3,619,481
*#Advanced Micro Devices, Inc......................... 485,900 8,989,150
Aetna, Inc............................................ 544,726 49,467,930
*Airgas, Inc.......................................... 28,800 329,400
*#Alaska Air Group, Inc............................... 38,100 1,581,150
Albemarle Corp........................................ 102,100 2,290,869
Alexander & Baldwin, Inc.............................. 164,000 3,710,500
*Allegheny Corp....................................... 16,822 3,044,782
Alliant Energy Corp................................... 177,100 5,346,206
Ambac, Inc............................................ 140,300 8,181,244
Amerada Hess Corp..................................... 246,100 14,750,619
*America West Holdings Corp. Class B.................. 108,800 2,121,600
American Annuity Group, Inc........................... 3,300 77,550
American Financial Group, Inc......................... 154,200 5,204,250
American General Corp................................. 426,007 30,779,006
*American Greetings Corp. Class A..................... 105,100 3,008,487
American National Insurance Co........................ 21,900 1,550,794
Amerus Life Holdings, Inc. Class A.................... 45,600 1,177,050
Apache Corp........................................... 270,600 9,741,600
Arch Coal, Inc........................................ 14,800 216,450
#Archer-Daniels Midland Co............................ 1,864,835 27,972,525
*Arrow Electronics, Inc............................... 372,600 6,473,925
Asarco, Inc........................................... 109,900 1,765,269
*Associated Group, Inc. Class A....................... 6,500 421,687
Atlantic Richfield Co................................. 221,200 18,511,675
Avnet, Inc............................................ 115,600 5,035,825
*BJ Services, Co...................................... 228,200 6,289,762
Baker Hughes, Inc..................................... 75,400 2,346,825
Bancwest Corp......................................... 98,600 3,746,800
Bankers Trust New York Corp........................... 211,700 19,595,481
Bear Stearns Companies, Inc........................... 304,958 13,532,511
Belo (A.H.) Corp. Class A............................. 287,600 6,345,175
Berkley (W.R.) Corp................................... 68,200 1,739,100
*Bethlehem Steel Corp................................. 444,400 3,694,075
*Beverly Enterprises.................................. 296,100 2,146,725
Black & Decker Corp................................... 143,800 8,187,612
Block Drug Co., Inc. Class A.......................... 37,588 1,395,454
Boise Cascade Corp.................................... 162,100 6,423,212
Borg Warner Automotive, Inc........................... 46,300 2,566,756
Bowater, Inc.......................................... 141,300 7,276,950
Brunswick Corp........................................ 273,500 6,564,000
Burlington Coat Factory Warehouse Corp................ 10,000 168,750
Burlington Northern Santa Fe Corp..................... 1,303,200 40,399,200
*CBRL Group, Inc...................................... 55,300 955,653
CIGNA Corp............................................ 112,424 10,483,538
*CNA Financial Corp................................... 501,800 21,796,937
#CSX Corp............................................. 591,800 27,777,612
*Cabletron Systems, Inc............................... 438,500 6,522,687
Capital Re Corp....................................... 26,600 433,912
Carpenter Technology Corp............................. 21,900 624,150
Case Corp............................................. 194,900 9,160,300
Champion International Corp........................... 264,100 13,535,125
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Chesapeake Corp....................................... 15,100 $ 544,544
Chiquita Brands International, Inc.................... 240,200 1,936,612
*Chris-Craft Industries, Inc.......................... 70,872 3,268,971
#Cincinnati Financial Corp............................ 431,480 17,785,066
*Circus Circus Enterprises, Inc....................... 296,300 6,259,337
*Commerce Group, Inc.................................. 81,600 1,892,100
Comsat Corp. Series 1................................. 96,600 3,151,575
Consolidated Papers, Inc.............................. 196,100 5,441,775
Cooper Tire & Rubber Co............................... 95,100 2,258,625
*Corn Products International, Inc..................... 44,200 1,303,900
*Corporate Express, Inc............................... 33,200 217,356
Countrywide Credit Industries, Inc.................... 304,500 12,522,562
Crown Cork & Seal Co., Inc............................ 393,100 12,333,512
#Cummins Engine Co., Inc.............................. 113,800 5,761,125
*Cypress Semiconductor Corp........................... 184,700 2,054,787
#Cyprus Amax Minerals Co., Inc........................ 293,900 3,692,119
*Delphi Automotive Systems Corp....................... 1,096,830 21,525,305
*Delphi Financial Group, Inc. Class A................. 832 28,871
Devon Energy Corp..................................... 26,100 906,975
Dillards, Inc. Class A................................ 321,700 11,299,712
ENSCO International, Inc.............................. 362,400 6,432,600
Earthgrains Co........................................ 50,600 1,185,937
Enhance Financial Services Group, Inc................. 116,400 2,277,075
Enron Oil & Gas Corp.................................. 217,800 4,151,812
*Enserch Exploration Corp............................. 144,718 985,891
Everest Reinsurance Holdings, Inc..................... 211,300 6,946,487
*Extended Stay America, Inc........................... 355,300 3,775,062
FBL Financial Group, Inc. Class A..................... 15,100 302,944
*#Federated Department Stores, Inc.................... 621,400 33,866,300
Financial Security Assurance Holdings, Ltd............ 41,800 2,372,150
First Citizens Bancshares, Inc. NC.................... 10,300 841,059
Florida East Coast Industries, Inc.................... 62,500 2,187,500
*Fluor Corp........................................... 53,600 1,996,600
Ford Motor Co......................................... 2,037,700 116,276,256
Fortune Brands, Inc................................... 574,000 23,462,250
*Foundation Health Systems, Inc....................... 29,000 518,375
*Fruit of The Loom, Inc. Class A...................... 120,600 1,243,687
GATX Corp............................................. 84,400 3,275,775
General Motors Corp................................... 1,569,300 108,281,700
*General Motors Corp. Class H......................... 281,346 15,438,862
Georgia-Pacific Corp.................................. 222,500 19,232,344
*Golden State Bancorp, Inc............................ 144,900 3,559,106
Golden West Financial Corp............................ 90,800 8,614,650
#Goodrich (B.F.) Co................................... 95,400 3,863,700
Great Atlantic & Pacific Tea Co., Inc................. 126,700 4,149,425
Great Lakes Chemical Corp............................. 23,900 1,079,981
Greenpoint Financial Corp............................. 92,000 3,174,000
*Harris Corp.......................................... 23,300 881,031
*Healthsouth Corp..................................... 691,700 9,251,488
*Helmerich & Payne, Inc............................... 132,200 3,081,913
Hilton Hotels Corp.................................... 714,200 9,820,250
Hollinger International, Inc. Class A................. 147,100 2,041,013
Host Marriott Corp.................................... 311,300 3,900,978
*Humana, Inc.......................................... 371,400 4,665,713
*IBP, Inc............................................. 288,400 6,182,575
</TABLE>
7
<PAGE>
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
#IMC Global, Inc...................................... 310,300 $ 6,496,906
*IVAX Corp............................................ 21,600 290,250
Ikon Office Solutions, Inc............................ 385,000 5,365,938
*Integrated Health Services, Inc...................... 87,100 511,713
*Interim Services, Inc................................ 119,900 2,615,319
#International Paper Co............................... 1,071,241 53,562,050
*International Speciality Products, Inc............... 252,000 2,362,500
*#K Mart Corp......................................... 1,417,400 21,792,525
Kerr-McGee Corp....................................... 127,800 5,942,700
*LSI Logic Corp....................................... 103,500 3,835,969
LTV Corp.............................................. 225,900 1,383,638
*#Lafarge Corp........................................ 158,300 5,293,156
*Lam Research Corp.................................... 113,900 3,157,166
Lehman Brothers Holdings, Inc......................... 304,200 16,616,925
Lennar Corp........................................... 1,900 42,988
Liberty Corp.......................................... 40,400 2,088,175
Liberty Financial Companies, Inc...................... 160,000 4,180,000
Lincoln National Corp................................. 223,050 22,695,338
Loews Corp............................................ 315,500 25,654,094
Longs Drug Stores Corp................................ 50,900 1,771,956
Louisiana-Pacific Corp................................ 298,100 6,036,525
*Lubrizol Corp........................................ 182,000 5,005,000
*#Lyondell Chemical Co................................ 184,500 3,517,031
*MGM Grand, Inc....................................... 30,971 1,300,782
Mallinckrodt, Inc..................................... 205,200 7,105,050
Mark IV Industries, Inc............................... 86,100 1,592,850
Mead Corp............................................. 281,000 10,502,375
Media General, Inc. Class A........................... 16,900 872,463
#Millennium Chemicals, Inc............................ 179,000 4,463,813
Mitchell Energy & Development Corp. Class A........... 68,500 1,096,000
Mitchell Energy & Development Corp. Class B........... 41,600 670,800
Murphy Oil Corp....................................... 31,700 1,555,281
NAC RE Corp........................................... 44,300 2,417,119
*#National Semiconductor Corp......................... 513,600 9,951,000
Noble Affiliates, Inc................................. 108,000 2,862,000
#Norfolk Southern Corp................................ 999,800 32,743,450
Occidental Petroleum Corp............................. 650,800 13,748,150
*Officemax, Inc....................................... 367,200 4,222,800
Ogden Corp............................................ 151,696 3,782,919
#Ohio Casualty Corp................................... 106,900 4,065,541
#Old Republic International Corp...................... 553,275 10,062,689
Olsten Corp........................................... 13,300 118,038
Orion Capital Corp.................................... 98,600 2,877,888
Overseas Shipholding Group, Inc....................... 37,500 468,750
*#Owens-Illinois, Inc................................. 265,100 8,085,550
PMI Group, Inc........................................ 63,400 3,708,900
Pacific Century Financial Corp........................ 124,500 2,490,000
*Pacificare Health Systems, Inc. Class B.............. 39,256 3,389,510
*Park Place Entertainment Corp........................ 586,400 6,157,200
Penney (J.C.) Co., Inc................................ 1,065,700 55,083,369
*Pennzenergy Co....................................... 55,600 858,325
Penzoil Quaker State Co............................... 55,600 771,450
#Pep Boys - Manny, Moe & Jack......................... 151,100 2,852,013
#Phelps Dodge Corp.................................... 168,800 8,745,950
#Pioneer Natural Resources Co......................... 401,900 4,370,663
Potlatch Corp......................................... 94,600 3,724,875
Provident Companies, Inc.............................. 550,808 21,515,938
*Pulte Corp........................................... 83,900 1,997,869
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Questar Corp.......................................... 167,000 $ 3,183,438
RJR Nabisco Holdings Corp............................. 887,680 27,462,600
Rayonier, Inc......................................... 83,000 3,869,875
*Reliance Group Holdings, Inc......................... 448,300 4,454,981
#Reynolds Metals Co................................... 177,900 9,462,056
*Rowan Companies, Inc................................. 302,300 5,101,313
#Russell Corp......................................... 137,400 3,220,313
#Ryder System, Inc.................................... 268,800 6,451,200
Ryerson Tull, Inc..................................... 64,592 1,485,616
Safeco Corp........................................... 368,300 16,193,691
Saint Paul Companies, Inc............................. 648,326 23,056,093
*Seagate Technology, Inc.............................. 64,100 1,935,019
#Service Corp. International.......................... 105,100 2,016,606
*Silicon Graphics, Inc................................ 456,700 5,651,663
*#Smurfit-Stone Container Corp........................ 235,026 5,067,748
*Spiegel, Inc. Class A Non-Voting..................... 1,600 11,750
Springs Industries, Inc. Class A...................... 7,700 305,113
*Sprint Corp. (PCS Group)............................. 5,850 263,250
St. Joe Corp.......................................... 78,400 2,141,300
*Starwood Hotels and Resorts Worldwide, Inc........... 96,000 3,144,000
*Tech Data Corp....................................... 31,500 1,158,609
Tecumseh Products Co. Class A......................... 58,300 3,833,225
*Tecumseh Products Co. Class B........................ 9,100 545,431
Tektronix, Inc........................................ 48,200 1,117,638
Telephone & Data Systems, Inc......................... 152,900 10,282,525
Temple-Inland, Inc.................................... 138,200 9,259,400
*Tenneco, Inc......................................... 615,100 14,339,519
Terra Industries, Inc................................. 61,400 241,763
*Thermo-Electron Corp................................. 455,800 8,717,175
Tidewater, Inc........................................ 138,000 3,527,625
Timken Co............................................. 177,800 3,656,013
*#Toys R Us, Inc...................................... 683,600 15,765,525
Transamerica Corp..................................... 462,800 33,957,950
Travelers Property Casualty Corp...................... 477,000 18,841,500
Tyson Foods, Inc. Class A............................. 6,600 151,800
*UMB Financial Corp................................... 38,100 1,616,869
USX-Marathon Group, Inc............................... 665,450 19,921,909
USX-US Steel Group.................................... 314,400 8,469,150
*Ultramar Diamond Shamrock Corp....................... 188,600 4,149,200
Union Pacific Corp.................................... 669,100 38,180,519
Union Pacific Resources Group, Inc.................... 773,900 10,786,231
Unisource Worldwide, Inc.............................. 120,100 1,411,175
*United States Cellular Corp.......................... 141,300 6,817,725
*Unitrin, Inc......................................... 223,800 7,846,988
*Unova, Inc........................................... 273,500 3,965,750
Valero Energy Corp.................................... 268,500 5,386,781
Valhi, Inc............................................ 91,000 1,074,938
*Venator Group, Inc................................... 494,500 5,408,594
*Viacom, Inc. Class A................................. 210,400 8,113,550
*Viacom, Inc. Class B................................. 670,000 25,795,000
*Vishay Intertechnology, Inc.......................... 162,764 3,387,526
*Wallace Computer Services, Inc....................... 31,000 711,063
Weis Markets, Inc..................................... 20,800 731,900
Wesco Financial Corp.................................. 12,540 4,072,365
Westvaco Corp......................................... 300,550 8,584,459
Weyerhaeuser Co....................................... 5,900 366,169
Whirlpool Corp........................................ 69,000 4,450,500
Willamette Industries, Inc............................ 298,600 12,653,175
*World Color Press, Inc............................... 54,100 1,379,550
</TABLE>
8
<PAGE>
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Worthington Industries, Inc........................... 184,000 $ 2,363,250
*Xtra Corp............................................ 6,200 275,900
------------
TOTAL COMMON STOCKS
(Cost $1,514,542,045)................................ 1,891,344,947
------------
PREFERRED STOCKS -- (0.1%)
*Pacificare Health Systems, Inc. 5% Cumulative,
Convertible, Redeemable, Class A
(Cost $855,404)..................................... 12,040 1,029,796
------------
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C>
FACE
AMOUNT
------------
<CAPTION>
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- (0.9%)
Repurchase Agreement, PNC Capital Markets Inc. 4.60%,
06/01/99 (Collateralized by U.S. Treasury Notes
6.875%, 05/15/06, valued at $18,004,100) to be
repurchased at $17,740,063.
(Cost $17,731,000).................................. $ 17,731 17,731,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,533,128,549)++.............................. $1,910,105,743
------------
------------
- --------------------
+ 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.
9
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 1999
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<TABLE>
<S> <C>
ASSETS:
Investments at Value..................................................................... $ 1,910,106
Collateral for Securities Loaned......................................................... 95,996
Receivables
Dividends and Interest............................................................... 5,265
Investment Securities Sold........................................................... 1,184
Fund Shares Sold..................................................................... 246
Prepaid Expenses and Other Assets........................................................ 8
-----------
Total Assets......................................................................... 2,012,805
-----------
LIABILITIES:
Payable for Securities Loaned............................................................ 95,996
Payable for Investment Securities Purchased.............................................. 3,742
Payable for Fund Shares Redeemed......................................................... 2,205
Accrued Expenses and Other Liabilities................................................... 340
-----------
Total Liabilities.................................................................... 102,283
-----------
NET ASSETS............................................................................... $ 1,910,522
-----------
-----------
SHARES OUTSTANDING $.01 PAR VALUE (Authorized 100,000,000)............................... 96,310,399
-----------
-----------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE................................. $ 19.84
-----------
-----------
Investments at Cost...................................................................... $ 1,533,129
-----------
-----------
COMPONENTS OF NET ASSETS:
Paid-In Capital.......................................................................... $ 1,329,649
Undistributed Net Investment Income...................................................... 9,020
Undistributed Net Realized Gain.......................................................... 194,876
Unrealized Appreciation of Investment Securities......................................... 376,977
-----------
$ 1,910,522
-----------
-----------
</TABLE>
See accompanying Notes to Financial Statements.
10
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1999
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<S> <C>
INVESTMENT INCOME
Dividends.......................................................................... $ 17,481
Interest........................................................................... 498
Income From Securities Lending..................................................... 41
---------
Total Investment Income........................................................ 18,020
---------
EXPENSES
Investment Advisory Services....................................................... 903
Accounting & Transfer Agent Fees................................................... 366
Custodian's Fee.................................................................... 125
Legal Fees......................................................................... 12
Audit Fees......................................................................... 16
Shareholders' Reports.............................................................. 15
Trustees' Fees and Expenses........................................................ 3
Other.............................................................................. 23
---------
Total Expenses................................................................. 1,463
---------
NET INVESTMENT INCOME.............................................................. 16,557
---------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net Realized Gain on Investment Securities............................................. 194,883
Change in Unrealized Appreciation of Investment Securities............................. 45,351
---------
NET GAIN ON INVESTMENT SECURITIES.................................................. 240,234
---------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................................... $ 256,791
---------
---------
</TABLE>
See accompanying Notes to Financial Statements.
11
<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
SIX MONTHS ENDED
ENDED MAY 31, NOV. 30,
1999 1998
------------- -------------
<S> <C> <C>
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income............................................................... $ 16,557 $ 27,904
Net Realized Gain on Investment Securities.......................................... 194,883 136,077
Change in Unrealized Appreciation of Investment Securities.......................... 45,351 12,481
------------- -------------
Net Increase in Net Assets Resulting from Operations............................ 256,791 176,462
------------- -------------
Distributions From:
Net Investment Income............................................................... (8,508) (28,682)
Net Realized Gains.................................................................. (135,996) (82,634)
------------- -------------
Total Distributions............................................................. (144,504) (111,316)
------------- -------------
Capital Share Transactions (1):
Shares Issued....................................................................... 111,414 281,067
Shares Issued in Lieu of Cash Distributions......................................... 142,397 91,193
Shares Redeemed..................................................................... (211,483) (171,495)
------------- -------------
Net Increase From Capital Share Transactions.................................... 42,328 200,765
------------- -------------
Total Increase.................................................................. 154,615 265,911
NET ASSETS
Beginning of Period................................................................. 1,755,907 1,489,996
------------- -------------
End of Period....................................................................... $ 1,910,522 $ 1,755,907
------------- -------------
------------- -------------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued....................................................................... 6,017 15,137
Shares Issued in Lieu of Cash Distributions......................................... 8,341 5,270
Shares Redeemed..................................................................... (11,483) (9,356)
------------- -------------
2,875 11,051
------------- -------------
------------- -------------
</TABLE>
See accompanying Notes to Financial Statements.
12
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995 1994
------------ ---------- ---------- -------- -------- ----------
<S> <C> <C> <C> <C> <C> <C>
(UNAUDITED)
Net Asset Value, Beginning of Period.............. $ 18.79 $ 18.09 $ 15.52 $ 13.29 $ 9.92 $ 10.59
------------ ---------- ---------- -------- -------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income........................... 0.17 0.31 0.32 0.31 0.32 0.33
Net Gains (Losses) on Securities (Realized and
Unrealized)................................... 2.43 1.71 3.38 2.57 3.53 (0.65)
------------ ---------- ---------- -------- -------- ----------
Total from Investment Operations................ 2.60 2.02 3.70 2.88 3.85 (0.32)
------------ ---------- ---------- -------- -------- ----------
LESS DISTRIBUTIONS
Net Investment Income........................... (0.09) (0.32) (0.31) (0.31) (0.31) (0.35)
Net Realized Gains.............................. (1.46) (1.00) (0.82) (0.34) (0.17) --
------------ ---------- ---------- -------- -------- ----------
Total Distributions............................. (1.55) (1.32) (1.13) (0.65) (0.48) (0.35)
------------ ---------- ---------- -------- -------- ----------
Net Asset Value, End of Period.................... $ 19.84 $ 18.79 $ 18.09 $ 15.52 $ 13.29 $ 9.92
------------ ---------- ---------- -------- -------- ----------
------------ ---------- ---------- -------- -------- ----------
Total Return...................................... 15.20%# 11.93% 25.31% 22.48% 39.26% (3.13)%
Net Assets, End of Period (thousands)............. $ 1,910,522 $1,755,907 $1,489,996 $987,942 $423,027 $ 198,848
Ratio of Expenses to Average Net Assets........... 0.16%* 0.16% 0.18% 0.19% 0.21% 0.22%
Ratio of Net Investment Income to Average Net
Assets.......................................... 1.84%* 1.67% 1.96% 2.37% 2.84% 3.72%
Portfolio Turnover Rate........................... 37.54%* 24.70% 17.71% 20.12% 29.41% 39.33%
</TABLE>
- --------------
* Annualized
# Non-Annualized
See accompanying Notes to Financial Statements.
13
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust currently offers seventeen 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 May 28, 1999.
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 six months ended May 31, 1999, 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.
14
<PAGE>
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 1999, the Series made the following
purchases and sales of investment securities other than U.S. Government
Securities (amounts in thousands):
<TABLE>
<S> <C>
Purchases.............................................. $ 334,959
Sales.................................................. 413,648
</TABLE>
E. INVESTMENT TRANSACTIONS:
At May 31, 1999, 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.......................... $ 447,977
Gross Unrealized Depreciation.......................... (71,000)
---------
Net.................................................... $ 376,977
---------
---------
</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 six months ended May 31, 1999 were as follows:
<TABLE>
<CAPTION>
MAXIMUM
WEIGHTED AMOUNT
WEIGHTED AVERAGE NUMBER OF INTEREST BORROWED
AVERAGE LOAN DAYS EXPENSE DURING
INTEREST RATE BALANCE OUTSTANDING INCURRED THE PERIOD
- --------------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
5.55% $2,389,000 12 $ 7,365 $7,639,000
</TABLE>
There were no borrowings under the line of credit at May 31, 1999.
G. SECURITIES LENDING:
Loans of domestic securities are required at all times to be secured by
collateral at least equal to 102% of the market value of the securities on loan.
However, in the event of default or bankruptcy by the other party to the
agreement, realization and/or retention of the collateral may be subject to
legal proceedings. In the event that the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is insufficient
to cover the value of loaned securities and provided such collateral
insufficiency is not the result of investment losses, the lending agent has
agreed to pay the amount of the shortfall to the Series or, at the option of the
lending agent, replace the loaned securities. Such cash collateral for May 31,
1999 was reinvested into overnight repurchase agreements with Salomon Brothers
and Barclay de Zoette Wedd, which was in turn collateralized by U.S. Government
Treasury Securities. At May 31, 1999, the market value of securities on loan to
brokers was $92,025,925, the related collateral cash received was $95,995,560
and the value of collateral on overnight repurchase agreements was $95,730,705.
15
