<PAGE>
--------------------------------------------------------------------------------
Dimensional Investment Group Inc.
DFA International Value Portfolio II
Semi-Annual Report
Six Months Ended May 31, 2000
(Unaudited)
-------------------------------------
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL 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 DFA INTERNATIONAL
VALUE SERIES
Schedule of Investments................................. 7-13
Statement of Assets and Liabilities..................... 14
Statement of Operations................................. 15
Statements of Changes in Net Assets..................... 16
Financial Highlights.................................... 17
Notes to Financial Statements........................... 18-20
</TABLE>
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO II
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2000
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Investment in The DFA International Value Series of The DFA
Investment Trust Company (3,516,355 Shares, Cost
$38,541)++ at Value....................................... $ 42,970
Receivable for Investment Securities Sold................... 1,092
Prepaid Expenses and Other Assets........................... 14
----------
Total Assets............................................ 44,076
----------
LIABILITIES:
Payable for Fund Shares Redeemed............................ 1,092
Accrued Expenses and Other Liabilities...................... 3
----------
Total Liabilities....................................... 1,095
----------
NET ASSETS.................................................. $ 42,981
==========
SHARES OUTSTANDING, $.01 PAR VALUE
(Authorized 200,000,000).................................. 3,565,361
==========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE.... $ 12.06
==========
COMPONENTS OF NET ASSETS:
Paid-In Capital............................................. $ 37,916
Undistributed Net Investment Income......................... 29
Undistributed Net Realized Gain............................. 607
Unrealized Appreciation of Investment Securities............ 4,429
----------
Total Net Assets........................................ $ 42,981
==========
</TABLE>
--------------
++ The cost for federal income tax purposes is $40,519.
See accompanying Notes to Financial Statements.
1
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO II
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2000
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<TABLE>
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INVESTMENT INCOME
Income Distributions Received From The DFA Investment
Trust Company.......................................... $ 132
-------
EXPENSES
Administrative Services................................. 2
Accounting & Transfer Agent Fees........................ 5
Shareholder Services.................................... 22
Legal Fees.............................................. 1
Filing Fees............................................. 5
Shareholders' Reports................................... 6
-------
Total Expenses...................................... 41
-------
NET INVESTMENT INCOME................................... 91
-------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Capital Gain Distributions Received from The DFA Investment
Trust Company............................................. 2,642
Net Realized Loss on Investment Securities Sold............. (609)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities..................................... (2,773)
-------
NET LOSS ON INVESTMENT SECURITIES....................... (740)
-------
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS........ $ (649)
=======
</TABLE>
See accompanying Notes to Financial Statements.
2
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO II
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2000 1999
----------- ---------
(UNAUDITED)
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income................................... $ 91 $ 909
Capital Gain Distributions Received from The DFA
Investment Trust Company.............................. 2,642 80
Net Realized Gain (Loss) on Investment Securities
Sold.................................................. (609) 414
Change in Unrealized Appreciation (Depreciation) of
Investment Securities................................. (2,773) 3,377
-------- --------
Net Increase (Decrease) in Net Assets Resulting from
Operations........................................ (649) 4,780
-------- --------
Distributions From:
Net Investment Income................................... (843) (757)
Net Realized Gains...................................... (732) (351)
-------- --------
Total Distributions................................. (1,575) (1,108)
-------- --------
Capital Share Transactions (1):
Shares Issued........................................... 16,912 57,154
Shares Issued in Lieu of Cash Distributions............. 1,575 1,108
Shares Redeemed......................................... (16,495) (55,545)
-------- --------
Net Increase From Capital Share Transactions........ 1,992 2,717
-------- --------
Total Increase (Decrease)........................... (232) 6,389
NET ASSETS
Beginning of Period..................................... 43,213 36,824
-------- --------
End of Period........................................... $ 42,981 $ 43,213
======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................................... 1,390 4,789
Shares Issued in Lieu of Cash Distributions............. 126 99
Shares Redeemed......................................... (1,368) (4,660)
-------- --------
148 228
======== ========
</TABLE>
See accompanying Notes to Financial Statements.
3
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO II
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,
2000 1999 1998 1997 1996 1995
----------- --------- --------- --------- --------- ---------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of $ 12.65 $ 11.55 $ 10.65 $ 11.36 $ 9.95 $ 9.48
Period...........................
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income............ 0.03 0.28 0.26 0.17 0.14 0.13
Net Gains (Losses) on Securities
(Realized and Unrealized)...... (0.16) 1.17 0.99 (0.63) 1.28 0.49
-------- -------- -------- -------- -------- --------
Total from Investment
Operations..................... (0.13) 1.45 1.25 (0.46) 1.42 0.62
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS
Net Investment Income............ (0.25) (0.24) (0.22) (0.15) (0.01) (0.13)
Net Realized Gains............... (0.21) (0.11) (0.13) (0.10) -- (0.02)
-------- -------- -------- -------- -------- --------
Total Distributions.............. (0.46) (0.35) (0.35) (0.25) (0.01) (0.15)
-------- -------- -------- -------- -------- --------
Net Asset Value, End of Period..... $ 12.06 $ 12.65 $ 11.55 $ 10.65 $ 11.36 $ 9.95
======== ======== ======== ======== ======== ========
Total Return....................... (1.13)%# 13.03% 12.25% (4.15)% 14.28% 6.52%
Net Assets, End of Period
(thousands)...................... $ 42,981 $ 43,213 $ 36,824 $ 37,610 $ 30,018 $ 14,323
Ratio of Expenses to Average Net
Assets (1)....................... 0.48%* 0.50% 0.55% 0.63% 0.86% 0.96%
Ratio of Expenses to Average Net
Assets (Excluding Waivers and
Assumption of Expenses) (1)...... 0.48%* 0.50% 0.55% 0.58% 0.96% 1.48%
Ratio of Net Investment Income to
Average Net Assets............... 0.41%* 2.31% 2.01% 1.63% 1.67% 1.63%
Ratio of Net Investment Income to
Average Net Assets (Excluding
Waivers and Assumption of
Expenses)........................ 0.41%* 2.31% 2.01% 1.68% 1.57% 1.11%
Portfolio Turnover Rate............ N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master
Fund Series...................... 17%* 6% 15% 23% 12% 10%
</TABLE>
--------------
* Annualized
# Non-Annualized
(1) Represents the combined ratio for the Portfolio and its respective pro-rata
share of its Master Fund Series.
N/A Refer to the respective Master Fund Series.
See accompanying Notes to Financial Statements.
4
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund currently offers fifteen portfolios, of
which The DFA International Value Portfolio II (the "Portfolio") is presented in
this report.
The Portfolio invests all of its assets in The DFA International Value
Series (the "Series") a corresponding series of The DFA Investment Trust
Company. At May 31, 2000, the Portfolio owned 3% 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 the 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. The components of net assets may be adjusted for current
period permanent book/tax differences which arose principally from differing
book/tax treatments of net short-term capital gain distributions from The DFA
Investment Trust Company and/or foreign currency and foreign taxes on capital
gains. Expenses directly attributable to the Portfolio or to the Series are
directly charged. Common expenses are allocated using methods determined by the
Board of Directors.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("DFA" or the "Advisor") provides
administrative services to the Portfolio, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors, and other administrative services. The Advisor provides investment
advisory services to the Series. For the six months ended May 31, 2000, the
Portfolio's administrative fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of 0.01 of 1%.
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
5
<PAGE>
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, 2000, there are no previously waived fees subject to future
reimbursement to the Advisor.
In addition, pursuant to an agreement with a certain Shareholder Service
Agent, the Portfolio pays to such agent a fee at the effective annual rate of
.10% of its average daily net assets.
D. INVESTMENTS:
At May 31, 2000, 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............................. $2,451
Gross Unrealized Depreciation............................. --
------
Net..................................................... $2,451
======
</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, 2000.
6
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
JAPAN -- (25.3%)
COMMON STOCKS -- (24.9%)
Aichi Bank, Ltd....................................... 10,500 $ 721,616
Aisin Seiki Co., Ltd.................................. 137,000 1,679,498
Amada Co., Ltd........................................ 376,000 3,247,549
Amano Corp............................................ 115,000 966,566
*Aomori Bank, Ltd..................................... 170,000 787,833
Aoyama Trading Co., Ltd............................... 41,100 490,490
Asahi Glass Co., Ltd.................................. 140,000 1,298,908
*Ashikaga Bank, Ltd................................... 808,000 1,650,893
Autobacs Seven Co., Ltd............................... 10,300 300,367
Awa Bank, Ltd......................................... 196,600 936,668
Bank of Iwate, Ltd.................................... 18,590 671,605
Bank of Kyoto, Ltd.................................... 347,400 1,803,543
Bank of Nagoya, Ltd................................... 185,000 1,080,705
*Bank of Osaka, Ltd................................... 315,000 637,752
Bank of Yokohama, Ltd................................. 978,000 4,178,127
Best Denki Co., Ltd................................... 153,000 947,768
Canon Sales Co., Inc.................................. 124,900 1,792,156
Casio Computer Co., Ltd............................... 60,000 573,949
Chiba Bank, Ltd....................................... 941,000 4,089,973
Chiyoda Fire and Marine Insurance Co., Ltd............ 444,150 1,423,094
Chudenko Corp......................................... 84,460 1,222,875
Chugoku Bank, Ltd..................................... 199,000 1,753,897
Chuo Mitsui Trust and Banking Co., Ltd................ 309,000 1,242,600
Citizen Watch Co., Ltd................................ 318,000 2,731,831
Cosmo Oil Co., Ltd.................................... 764,000 1,064,313
Dai Nippon Pharmaceutical Co., Ltd.................... 203,000 2,158,671
Dai Tokyo Fire & Marine Insurance Co., Ltd............ 529,000 1,719,526
Daicel Chemical Industries, Ltd....................... 485,000 1,432,365
Daido Steel Co., Ltd.................................. 126,000 265,633
Daimaru, Inc.......................................... 79,000 225,242
Daio Paper Corp....................................... 3,000 23,181
Daisan Bank, Ltd...................................... 68,000 290,504
Daishi Bank, Ltd...................................... 355,000 1,302,298
Daito Trust Construction Co., Ltd..................... 180,784 3,441,904
Daiwa Bank, Ltd....................................... 500,000 1,267,703
Daiwa House Industry Co., Ltd......................... 663,000 4,919,775
Daiwa Securities Co., Ltd............................. 1,500,000 18,249,353
Dowa Fire & Marine Insurance Co., Ltd................. 383,000 939,048
Ehime Bank, Ltd....................................... 143,000 606,928
Ezaki Glico Co., Ltd.................................. 174,600 809,151
Fuji Photo Film Co., Ltd.............................. 355,000 12,396,558
Fujikura, Ltd......................................... 108,000 513,545
Fukui Bank, Ltd....................................... 343,000 936,540
Fukuoka City Bank, Ltd................................ 264,532 1,203,813
Fukuyama Transporting Co., Ltd........................ 266,000 1,610,698
Futaba Corp........................................... 16,000 595,867
Futaba Industrial Co., Ltd............................ 85,000 1,093,336
General Sekiyu KK..................................... 111,000 226,793
Gunma Bank, Ltd....................................... 146,000 795,932
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Hachijuni Bank, Ltd.................................. 45,000 $ 288,368
Hankyu Department Stores, Inc......................... 54,000 266,301
Hanshin Electric Railway Co., Ltd..................... 141,000 392,849
Higo Bank, Ltd........................................ 308,000 1,138,462
*Hino Motors, Ltd..................................... 404,000 1,076,833
Hiroshima Bank, Ltd................................... 593,000 2,224,954
Hitachi Construction Machinery Co., Ltd............... 64,000 275,793
Hitachi Maxell, Ltd................................... 96,000 2,344,833
Hitachi Metals, Ltd................................... 360,000 2,975,620
Hitachi, Ltd.......................................... 3,717,000 46,050,390
Hokkoku Bank, Ltd..................................... 102,000 401,653
Hokuetsu Bank......................................... 275,330 805,469
Hokuetsu Paper Mills, Ltd............................. 162,000 1,262,298
*Hokuriku Bank, Ltd................................... 891,000 2,060,449
House Foods Corp...................................... 117,000 1,737,478
Hyakugo Bank, Ltd. (105th Bank)....................... 258,000 1,130,958
Hyakujishi Bank, Ltd.................................. 314,000 1,895,518
Inax Corp............................................. 309,000 1,764,894
*Ishikawajima-Harima Heavy Industries Co., Ltd........ 380,000 585,837
*Itochu Corp.......................................... 300,000 1,211,980
Itoham Foods, Inc..................................... 288,000 1,182,224
*Iyo Bank, Ltd........................................ 60,000 366,101
Izumi Co., Ltd........................................ 19,000 239,275
Japan Airport Terminal Co., Ltd....................... 29,000 237,009
*Japan Energy Corp.................................... 320,000 297,191
Joyo Bank, Ltd........................................ 245,000 953,378
Juroku Bank, Ltd...................................... 349,000 1,552,551
Kagoshima Bank, Ltd................................... 266,000 923,928
Kajima Corp........................................... 826,000 2,055,889
Kamigumi Co., Ltd..................................... 357,000 1,707,499
Kandenko Co., Ltd..................................... 266,000 988,158
Kansai Paint Co., Ltd., Osaka......................... 108,000 267,806
Katokichi Co., Ltd.................................... 30,000 752,263
*Kawasaki Heavy Industries, Ltd....................... 407,000 532,965
Kikkoman Corp......................................... 259,000 1,816,066
Kinden Corp........................................... 77,000 418,342
Kissei Pharmaceutical Co., Ltd........................ 41,000 664,453
Koa Fire & Marine Insurance Co., Ltd.................. 45,000 122,034
*Kobe Steel, Ltd...................................... 2,632,000 1,857,738
Koito Manufacturing Co., Ltd.......................... 146,000 713,220
Kokuyo Co., Ltd....................................... 38,000 568,191
Komatsu, Ltd.......................................... 1,279,000 7,875,334
Komori Corp........................................... 74,000 1,166,268
Konica Corp........................................... 71,000 435,198
Koyo Seiko Co......................................... 198,000 1,379,150
Kubota Corp........................................... 25,000 88,228
Lion Corp............................................. 325,000 1,385,418
Makita Corp........................................... 209,000 1,985,669
*Marubeni Corp........................................ 1,942,000 5,158,224
Maruichi Steel Tube, Ltd.............................. 117,000 1,322,395
Matsushita Electric Industrial Co., Ltd............... 1,933,000 45,688,254
Matsushita Electric Works, Ltd........................ 190,000 2,175,713
</TABLE>
7
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Michinoku Bank, Ltd................................... 187,000 $ 1,128,859
Mitsubishi Electric Corp.............................. 200,000 1,965,172
Mitsubishi Gas Chemical Co., Inc...................... 548,000 1,419,939
Mitsubishi Heavy Industries, Ltd...................... 611,000 2,122,256
Mitsubishi Logistics Corp............................. 3,000 23,961
*Mitsubishi Materials Corp............................ 975,000 3,241,698
*Mitsubishi Motors Corp............................... 866,000 2,814,951
Mitsui Chemicals, Inc................................. 800 5,654
*Mitsui Engineering and Shipbuilding Co., Ltd......... 781,000 587,518
Mori Seiki Co., Ltd................................... 121,000 1,798,002
Musashino Bank, Ltd................................... 26,000 1,009,333
Mycal Corp............................................ 93,000 281,569
NHK Spring Co., Ltd................................... 71,000 258,481
*NKK Corp............................................. 2,612,000 1,673,814
NTN Corp.............................................. 398,000 1,301,100
Nanto Bank, Ltd....................................... 288,000 1,500,515
National House Industrial Co., Ltd.................... 95,000 544,369
Nichirei Corp......................................... 366,000 1,074,121
Nifco, Inc............................................ 45,000 500,673
Nikko Securities Co., Ltd............................. 400,000 3,707,451
*Nippon Credit Bank, Ltd.............................. 1,683,000 0
Nippon Kayaku Co., Ltd................................ 53,000 253,002
Nippon Meat Packers, Inc., Osaka...................... 4,000 54,237
Nippon Mitsubishi Oil Company......................... 1,863,050 7,630,412
Nippon Sanso Corp..................................... 367,000 1,117,956
Nippon Shinpan Co., Ltd............................... 27,000 55,417
Nippon Shokubai Co., Ltd.............................. 163,000 749,338
Nishimatsu Construction Co., Ltd...................... 364,000 1,304,889
Nishi-Nippon Bank, Ltd................................ 85,540 336,837
Nissei Sangyo Co., Ltd................................ 110,050 1,410,438
Nisshin Flour Milling Co., Ltd........................ 96,000 873,740
Nisshin Steel Co., Ltd................................ 1,318,000 1,383,180
Nisshinbo Industries, Inc............................. 305,000 1,387,972
*Nissho Iwai Corp..................................... 544,000 510,276
North Pacific Bank, Ltd............................... 45,000 229,858
Obayashi Corp......................................... 520,000 1,980,032
Ogaki Kyoritsu Bank, Ltd.............................. 50,000 271,651
Oita Bank, Ltd........................................ 145,000 700,255
Oji Paper Co., Ltd.................................... 275,000 1,772,463
Okumura Corp.......................................... 322,000 971,906
Onward Kashiyama Co., Ltd............................. 3,000 40,121
Pioneer Electronic Corp............................... 182,000 5,560,991
Q.P. Corp............................................. 168,000 1,299,688
*Rinnai Corp.......................................... 1,000 21,639
Ryosan Co., Ltd....................................... 53,000 1,100,116
Sakura Bank, Ltd...................................... 816,000 6,039,951
San In Godo Bank, Ltd................................. 222,000 1,162,832
Sanyo Electric Co., Ltd............................... 2,565,000 18,962,053
*Sanyo Shinpan Finance Co., Ltd....................... 11,000 398,421
Seino Transportation Co., Ltd......................... 197,000 900,153
Sekisui Chemical Co., Ltd............................. 557,000 1,914,000
Sekisui House, Ltd.................................... 938,000 9,129,543
Shiga Bank, Ltd....................................... 272,000 1,225,168
*Shikoku Bank, Ltd.................................... 25,000 149,756
*Shima Seiki Manufacturing Co., Ltd................... 5,000 124,449
Shimachu Co., Ltd..................................... 20,200 337,307
Shimadzu Corp......................................... 181,000 934,627
Shimizu Corp.......................................... 997,000 2,361,132
Shinwa Bank, Ltd...................................... 50,000 144,416
*Shohkoh Fund & Co., Ltd.............................. 3,000 646,389
Showa Shell Sekiyu KK................................. 110,000 451,544
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Snow Brand Milk Products Co., Ltd..................... 419,000 $ 2,101,322
Stanley Electric Co., Ltd............................. 246,000 2,101,880
Sumitomo Corp......................................... 600,000 5,572,322
Sumitomo Forestry Co., Ltd............................ 139,000 864,917
*Sumitomo Metal Industries, Ltd. Osaka................ 1,481,000 1,017,822
*Sumitomo Metal Mining Co., Ltd....................... 313,000 1,322,637
Sumitomo Realty & Development Co., Ltd................ 488,000 1,812,862
Sumitomo Trust & Banking Co., Ltd..................... 21,000 151,929
*Suzuken Co., Ltd..................................... 6,000 215,092
TOC Co., Ltd.......................................... 950 5,911
Taiheiyo Cement Corp.................................. 1,209,800 1,808,941
Taisei Corp........................................... 1,325,000 1,821,220
*Takara Standard Co., Ltd............................. 175,000 723,241
Takashimaya Co., Ltd.................................. 214,000 1,927,837
Tanabe Seiyaku Co., Ltd............................... 167,000 1,127,550
Teijin, Ltd........................................... 917,000 3,823,848
Teikoku Oil Co., Ltd.................................. 346,000 1,028,279
*Toda Corp............................................ 418,000 1,630,461
Toho Bank, Ltd........................................ 240,000 913,861
Tokuyama Corp......................................... 248,000 1,402,665
Tokyo Style Co., Ltd.................................. 133,000 1,198,142
*Tokyo Tomin Bank, Ltd................................ 30,900 1,030,239
Toppan Printing Co., Ltd.............................. 100,000 1,060,599
Toray Industries, Inc................................. 25,000 95,194
Toshiba TEC Corp...................................... 345,000 1,313,675
Tostem Corp........................................... 188,000 3,099,139
Toto, Ltd............................................. 247,000 1,660,812
Toyo Seikan Kaisha, Ltd............................... 287,600 5,082,912
Toyo Suisan Kaisha, Ltd............................... 116,000 1,034,223
Toyo Trust & Banking Co., Ltd......................... 728,000 2,461,034
Toyobo Co., Ltd....................................... 468,000 760,622
Toyoda Machine Works, Ltd............................. 38,000 356,443
Toyota Auto Body Co., Ltd............................. 86,000 813,076
Toyota Tsusho Corp.................................... 314,000 1,052,742
UNY Co., Ltd.......................................... 17,000 209,668
*Victor Co. of Japan, Ltd............................. 246,000 1,446,185
Wacoal Corp........................................... 149,000 1,249,565
Yamagata Bank, Ltd.................................... 153,700 789,376
Yamaguchi Bank........................................ 133,000 878,226
Yamaha Corp........................................... 60,000 546,087
Yamatake-Honeywell Co., Ltd........................... 87,000 864,546
Yamazaki Baking Co., Ltd.............................. 64,000 591,409
*Yasuda Trust & Banking Co., Ltd...................... 1,434,000 1,771,274
Yodogawa Steel Works, Ltd............................. 296,000 742,233
Yokogawa Electric Corp................................ 337,000 2,816,809
Yokohama Rubber Co., Ltd.............................. 410,000 963,362
--------------
TOTAL COMMON STOCKS
(Cost $475,494,171).................................. 419,205,789
--------------
INVESTMENT IN CURRENCY -- (0.4%)
*Japanese Yen
(Cost $7,348,432)................................... 7,303,233
--------------
TOTAL -- JAPAN
(Cost $482,842,603).................................. 426,509,022
--------------
UNITED KINGDOM -- (18.4%)
COMMON STOCKS -- (17.8%)
*3I Group P.L.C....................................... 41,000 775,839
Abbey National P.L.C.................................. 187,800 2,496,868
Aggregate Industries P.L.C............................ 1,317,091 1,353,451
</TABLE>
8
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Alliance & Leicester P.L.C............................ 348,000 $ 3,110,530
*Allied Domecq P.L.C.................................. 869,994 4,330,265
Allied Zurich P.L.C................................... 402,000 4,506,520
Anglian Water P.L.C................................... 151,281 1,257,226
Antofagasta Holdings P.L.C............................ 160,000 797,572
Arjo Wiggins Appleton P.L.C........................... 814,500 3,070,975
Associated British Foods P.L.C........................ 766,096 5,055,544
Associated British Ports Holdings P.L.C............... 375,400 1,630,026
BAA P.L.C............................................. 1,083,993 7,906,792
*BG Group P.L.C....................................... 2,666,548 15,982,614
BOC Group P.L.C....................................... 143,513 2,016,383
BPB P.L.C............................................. 458,500 2,535,684
Barclays P.L.C........................................ 359,555 9,345,853
Barratt Developments P.L.C............................ 226,000 780,323
*Bass P.L.C........................................... 682,070 7,452,472
Beazer Group P.L.C.................................... 239,257 452,386
Berkeley Group P.L.C.................................. 122,792 1,025,973
*Blue Circle Industries P.L.C......................... 338,731 2,154,312
*Bodycote International P.L.C......................... 210,360 647,716
Britannic P.L.C....................................... 181,600 2,482,296
British Airways P.L.C................................. 935,331 5,060,902
British Land Co. P.L.C................................ 502,381 3,003,635
British Vita P.L.C.................................... 216,100 833,352
*British-Borneo Petroleum Syndicate P.L.C............. 306,485 318,382
Brixton Estate P.L.C.................................. 235,685 757,398
Burford Holdings P.L.C................................ 337,000 501,195
CGU P.L.C............................................. 1,835,450 27,873,423
*Canary Wharf Group P.L.C............................. 468,000 2,500,783
Capital Shopping Centres P.L.C........................ 395,375 2,112,707
Caradon P.L.C......................................... 312,000 739,159
Carillion P.L.C....................................... 196,758 313,210
Chelsfield P.L.C...................................... 238,165 1,142,713
*Chorion P.L.C........................................ 98,404 63,614
Cookson Group P.L.C................................... 608,692 1,876,487
*Corus Group P.L.C.................................... 2,724,027 3,990,171
DeVere Group P.L.C.................................... 106,442 499,570
*Debenhams P.L.C...................................... 302,000 1,020,163
Enterprise Oil P.L.C.................................. 354,000 2,523,921
Glynwed International P.L.C........................... 178,000 622,572
Great Portland Estates P.L.C.......................... 197,275 656,079
Great Universal Stores P.L.C.......................... 819,700 5,090,729
Halifax P.L.C......................................... 130,000 1,277,595
Hammerson P.L.C....................................... 280,000 1,724,286
Hanson P.L.C.......................................... 599,300 4,250,446
Hilton Group P.L.C.................................... 1,251,117 4,619,010
Hyder P.L.C........................................... 90,415 410,836
IMI P.L.C............................................. 24,000 97,933
Imperial Chemical Industries P.L.C.................... 300,000 2,403,478
*Independent Insurance Group P.L.C.................... 130,000 478,005
Invensys P.L.C........................................ 3,390 11,654
Johnson Matthey P.L.C................................. 178,000 2,035,333
Kelda Group P.L.C..................................... 161,510 784,579
*LaPorte P.L.C........................................ 13,000 103,956
*Laporte P.L.C. Series B.............................. 208,000 3,109
Lasmo P.L.C........................................... 989,335 1,759,723
Lex Service P.L.C..................................... 121,933 756,351
Lonmin P.L.C.......................................... 236,002 2,187,064
Marks & Spencer P.L.C................................. 1,273,167 4,738,477
Mersey Docks & Harbour Co. P.L.C...................... 53,050 381,403
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Millennium and Copthorne Hotels P.L.C................. 258,000 $ 1,521,321
*Morgan Crucible Company P.L.C........................ 16,000 51,298
*National Power P.L.C................................. 755,400 4,149,429
*Northern Foods P.L.C................................. 433,000 747,522
Northern Rock P.L.C................................... 344,000 1,671,075
Peel Holdings P.L.C................................... 45,400 342,690
Peninsular & Oriental Steam Navigation Co............. 481,909 5,049,369
Pennon Group P.L.C.................................... 46,080 385,704
Pilkington P.L.C...................................... 1,117,167 1,377,609
Pillar Property P.L.C................................. 21,250 99,099
Powergen P.L.C........................................ 530,177 3,486,804
RMC Group P.L.C....................................... 252,000 3,167,748
*Railtrack Group P.L.C................................ 352,000 4,419,529
Rank Group P.L.C...................................... 793,530 1,672,386
Rexam P.L.C........................................... 402,813 1,414,899
Rio Tinto P.L.C....................................... 638,926 9,425,877
Rolls-Royce P.L.C..................................... 903,049 3,320,477
Royal & Sun Alliance Insurance Group P.L.C............ 1,476,831 8,785,529
*Royal Bank of Scotland Group P.L.C................... 965,021 15,866,586
Safeway P.L.C......................................... 1,085,055 3,969,433
Sainsbury (J.) P.L.C.................................. 1,566,117 7,139,669
Scottish & Newcastle P.L.C............................ 507,900 4,387,934
Severn Trent P.L.C.................................... 210,597 1,910,711
Shell Transport & Trading Co., P.L.C.................. 304,390 2,517,131
Signet Group P.L.C.................................... 803,000 600,122
Slough Estates P.L.C.................................. 399,400 2,143,170
*Smith (David S.) Holdings P.L.C...................... 298,000 643,633
*Smith (W.H.) P.L.C................................... 203,000 1,168,183
Somerfield P.L.C...................................... 165,142 124,653
*Stagecoach Holdings P.L.C............................ 1,166,000 1,045,692
Tate & Lyle P.L.C..................................... 443,200 1,659,440
Taylor Woodrow P.L.C.................................. 396,277 900,319
Tesco P.L.C........................................... 4,395,931 13,272,608
Thames Water P.L.C.................................... 165,347 1,982,096
Thistle Hotels P.L.C.................................. 466,707 892,911
Trinity P.L.C......................................... 160,450 1,280,663
Unigate P.L.C......................................... 233,600 1,068,435
Unilever P.L.C........................................ 800,000 5,276,291
United Utilities P.L.C................................ 265,595 2,504,974
Whitbread P.L.C....................................... 489,242 4,100,597
Wilson Bowden P.L.C................................... 96,900 863,949
*Wimpey (George) P.L.C................................ 348,650 581,057
*Wolseley P.L.C....................................... 467,582 2,372,748
--------------
TOTAL COMMON STOCKS
(Cost $285,771,640).................................. 300,052,393
--------------
INVESTMENT IN CURRENCY -- (0.6%)
*British Pound Sterling
(Cost $10,063,210).................................. 10,050,438
--------------
TOTAL -- UNITED KINGDOM
(Cost $295,834,850).................................. 310,102,831
--------------
FRANCE -- (9.9%)
COMMON STOCKS -- (9.9%)
AGF (Assurances Generales de France SA)............... 103,514 5,231,956
*Air Liquide.......................................... 7,150 997,955
Aventis............................................... 140,000 9,049,598
Banque Nationale de Paris............................. 324,843 29,146,938
</TABLE>
9
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Bongrain SA........................................... 1,653 $ 448,402
Christian Dior SA..................................... 31,100 7,066,346
Colas SA.............................................. 5,070 934,744
Credit Commercial de France........................... 6,300 888,665
*Credit Lyonnais SA................................... 15,000 640,464
De la Rue Imperiale de Lyon........................... 500 953,834
Eridania Beghin-Say SA................................ 18,900 1,723,870
Esso SA............................................... 8,476 494,829
*Euro Disney SCA...................................... 758,586 548,742
*Faurecia SA.......................................... 6,750 282,951
Fimalac SA............................................ 2,500 361,687
Fonciere Lyonnaise SA................................. 3,968 406,265
Fromageries Bel la Vache qui Rit...................... 775 493,772
GTM Entrepose......................................... 21,077 1,759,218
Generale des Establissements Michelin SA Series B..... 75,500 2,485,672
Groupe Danone......................................... 42,500 9,897,012
Hachette Filipacchi Medias............................ 6,500 446,382
Imerys................................................ 11,000 1,356,790
LaFarge SA............................................ 76,032 5,852,521
Labinal SA............................................ 6,400 784,657
Lapeyre SA............................................ 12,300 584,041
Pechiney SA Series A.................................. 55,475 2,268,843
Pernod-Ricard SA...................................... 38,900 2,038,292
Peugeot SA............................................ 37,150 7,579,664
Rallye SA............................................. 17,220 921,462
*Remy Cointreau SA.................................... 27,400 592,073
SEB SA................................................ 9,000 555,885
SILIC (Societe Immobiliere de Location pour
l'Industrie et le Commerce)......................... 200 28,583
Saint-Gobain.......................................... 65,436 9,072,488
*Societe des Ciments de Francais...................... 21,500 1,086,684
Societe Financiere Interbail SA....................... 11,550 279,570
Societe Generale, Paris............................... 281,728 16,159,881
Suez Lyonnaise des Eaux SA............................ 30,000 5,007,976
Thomson-CSF........................................... 87,203 3,364,288
Total SA.............................................. 200,000 31,327,670
Usinor................................................ 167,800 2,007,475
Valeo SA.............................................. 46,400 2,336,610
--------------
TOTAL COMMON STOCKS
(Cost $104,756,556).................................. 167,464,755
--------------
RIGHTS/WARRANTS -- (0.0%)
*Banque Nationale de Paris
CVG Rights 07/15/02
(Cost $226,784)..................................... 58,864 272,953
--------------
TOTAL -- FRANCE
(Cost $104,983,340).................................. 167,737,708
--------------
GERMANY -- (9.5%)
COMMON STOCKS -- (9.5%)
AGIV AG fuer Industrie & Verkehrswesen................ 57,800 1,029,195
BASF AG............................................... 640,050 26,058,348
BHW Holding AG, Berlin................................ 167,300 2,901,389
*Bankgesellschaft Berlin AG........................... 233,550 3,627,965
Bayer AG.............................................. 168,100 6,485,291
Bayerische Vereinsbank AG............................. 290,000 18,449,753
Berliner Kraft & Licht Bewag AG....................... 177,600 1,976,481
Bilfinger & Berger Bau AG, Mannheim................... 46,500 692,144
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Commerzbank AG........................................ 408,050 $ 14,966,778
Continental AG........................................ 44,100 803,655
DBV Holding AG........................................ 44,000 1,530,215
DaimlerChrysler AG, Stuttgart......................... 15,400 848,351
Degussa-Huels AG...................................... 7,800 238,714
*Deutsche Bank AG..................................... 359,305 27,124,149
Deutsche Lufthansa AG................................. 305,250 7,303,715
Deutsche Pfandbrief und Hypothekenbank AG, Depfa...... 46,400 4,823,831
Dresdner Bank AG...................................... 331,200 13,361,279
Dyckerhoff AG......................................... 22,750 643,502
*FPB Holding AG....................................... 5,789 869,735
Fresenius Medical Care AG............................. 37,600 3,086,026
*Gehe AG.............................................. 3,600 119,190
*Heidelberger Druckmaschinen AG....................... 4,200 273,436
Heidelberger Zement AG, Heidelberg.................... 27,170 1,592,484
Hochtief AG........................................... 91,150 2,886,794
*Hoechst AG........................................... 27,900 835,748
*Holzmann (Philipp) AG................................ 1,860 32,774
Karstadt Quelle AG.................................... 70,000 2,350,039
Linde AG.............................................. 76,000 3,094,187
MAN AG................................................ 140,000 4,777,980
Merck KGAA............................................ 58,000 1,850,354
SCA Hygiene Products AG............................... 3,550 658,456
Thyssen Krupp AG...................................... 108,750 1,916,246
Veba AG............................................... 24,000 1,202,359
Vereins & Westbank AG................................. 73,187 1,846,168
Volkswagen AG......................................... 15,550 625,876
--------------
TOTAL -- GERMANY
(Cost $125,346,445).................................. 160,882,607
--------------
NETHERLANDS -- (7.1%)
COMMON STOCKS -- (7.1%)
ABN-AMRO Holding NV................................... 1,349,245 30,656,696
Asr Verzekeringsgroep NV.............................. 41,692 2,145,923
Buhrmann NV........................................... 82,274 2,491,232
DSM NV................................................ 127,665 4,143,891
Fortis (NL)........................................... 558,051 14,594,575
Ing Groep NV.......................................... 732,972 43,579,437
KLM (Koninklijke Luchtvaart Mij) NV................... 61,019 1,355,311
Koninklijke KPN NV.................................... 21,132 1,897,075
Koninklijke Vopak NV.................................. 38,986 885,815
*NV Holdingsmij de Telegraaf.......................... 6,800 163,650
Royal Philips Electronics NV, Eindhoven............... 404,800 17,967,252
Vendex KBB NV......................................... 11,391 201,773
--------------
TOTAL COMMON STOCKS
(Cost $59,212,684)................................... 120,082,630
--------------
RIGHTS/WARRANTS -- (0.0%)
*Fortis (NL) Rights 06/19/00
(Cost $0)........................................... 558,051 0
--------------
TOTAL -- NETHERLANDS
(Cost $59,212,684)................................... 120,082,630
--------------
SWITZERLAND -- (6.8%)
COMMON STOCKS -- (6.8%)
Ascom Holding AG, Bern................................ 1,410 4,242,503
Baloise-Holding, Basel................................ 26,676 24,897,747
Banque Cantonale Vaudois.............................. 5,795 1,801,760
Bobst SA, Prilly...................................... 513 729,403
</TABLE>
10
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Ciba Spezialitaetenchemie Holding AG.................. 2,100 $ 129,160
Financiere Richemont AG............................... 8,973 22,234,113
Fischer (Georg) AG, Schaffhausen (Namen).............. 12,987 4,099,166
Helvetia Patria Holding, St. Gallen................... 4,830 3,761,438
Intershop Holding AG, Zuerich......................... 5,400 3,010,637
Jelmoli Holding AG, Zuerich........................... 500 646,021
Pargesa Holding SA, Geneve............................ 1,935 4,018,431
Roche Holding AG, Basel............................... 892 10,367,259
Sairgroup, Zuerich.................................... 37,480 6,887,958
Schindler Holding AG, Hergiswil Partizipsch........... 3,469 5,341,678
Sig Schweizerische Industrie-Gesellschaft Holding AG,
Neuhausen AM Rheinfall.............................. 8,066 4,520,794
Sika Finanz AG, Baar.................................. 1,280 432,710
*Sulzer AG, Winterthur................................ 8,280 5,554,227
*UBS AG............................................... 14,000 1,881,132
*Unaxis Holding AG.................................... 44,781 10,435,752
--------------
TOTAL COMMON STOCKS
(Cost $82,782,991)................................... 114,991,889
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs
(Cost $171,047)..................................... 175,238
--------------
RIGHTS/WARRANTS -- (0.0%)
*Baloise-Holding, Basel Put Options 06/16/00
(Cost $0)........................................... 26,676 87,976
--------------
TOTAL -- SWITZERLAND
(Cost $82,954,038)................................... 115,255,103
--------------
ITALY -- (4.0%)
COMMON STOCKS -- (4.0%)
Banca Commerciale Italiana SpA........................ 741,970 3,523,098
Banca di Roma......................................... 7,168,500 7,705,134
Banca Intesa SpA, Milano.............................. 4,824,356 18,925,535
Banca Popolare di Milano.............................. 159,000 1,029,250
Banca Toscana......................................... 607,000 1,981,526
CIR SpA (Cie Industriale Riunite), Torino............. 400,000 1,276,106
Cartiere Burgo SpA.................................... 235,000 2,218,626
*Compagnia di Partecipazioni Assicurative Industriali
SpA................................................. 902,500 1,146,664
Fabbrica Italiana Magneti Marelli SpA................. 350,000 1,778,759
Fiat SpA.............................................. 399,789 10,095,944
IFIL Finanziaria Partecipazioni SpA................... 510,187 3,856,164
Italcementi Fabriche Riunite Cemento SpA, Bergamo..... 378,560 3,412,475
Milano Assicurazioni SpA.............................. 199,000 614,562
Parmalat Finanziaria SpA.............................. 900,000 1,113,440
SAI SpA (Sta Assicuratrice Industriale), Torino....... 32,000 486,107
San Paolo-IMI SpA..................................... 400,000 5,824,090
Sirti SpA............................................. 25,000 45,675
Toro Assicurazioni Cia Anonima d'Assicurazione di
Torino SpA.......................................... 168,350 2,473,072
--------------
TOTAL -- ITALY
(Cost $46,205,794)................................... 67,506,227
--------------
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
SPAIN -- (2.9%)
COMMON STOCKS -- (2.9%)
Aceralia Corporacion Siderurgica SA................... 22,500 $ 235,375
Acerinox SA........................................... 154,740 5,223,630
Aumar (Autopistas del Mare Nostrum SA)................ 176,800 2,666,068
Autopistas Concesionaria Espanola SA.................. 453,789 4,292,621
Azucarera Ebro Agricolas SA........................... 111,600 1,354,791
Banco Pastor SA, La Coruna............................ 39,600 1,604,155
Cementos Portland SA.................................. 26,000 542,772
Cia Espanola de Petroleous SA......................... 449,382 4,000,878
Corporacion Mapfre Compania Internacional de
Reaseguros SA, Majadah Onda......................... 36,300 506,317
Endesa SA, Madrid..................................... 190,892 3,933,691
Grupo Dragados SA, Madrid............................. 456,567 3,353,499
Hidroelectrica del Cantabrico SA...................... 299,700 6,098,062
Iberdrola SA.......................................... 535,000 6,797,399
Metrovacesa SA........................................ 94,462 1,638,201
Union Electrica Fenosa SA............................. 230,000 4,767,315
Vallehermoso SA....................................... 240,000 1,540,231
--------------
TOTAL -- SPAIN
(Cost $43,251,650)................................... 48,555,005
--------------
SWEDEN -- (2.8%)
COMMON STOCKS -- (2.6%)
Assidomaen AB......................................... 213,850 3,689,503
Gambro AB Series A.................................... 351,000 2,609,217
Gambro AB Series B.................................... 131,730 971,929
Holmen AB Series A.................................... 6,300 160,767
Holmen AB Series B.................................... 119,200 3,041,812
*Invik and Co. AB Series A............................ 32 3,391
*Invik and Co. AB Series B............................ 360 42,418
NCC AB Series A....................................... 45,400 362,674
NCC AB Series B....................................... 100,000 776,652
Perstorp AB Series B.................................. 77,800 949,512
SSAB Swedish Steel Series A........................... 129,900 1,376,388
SSAB Swedish Steel Series B........................... 48,000 495,282
Skandinaviska Enskilda Banken Series A................ 196,000 2,131,132
Skandinaviska Enskilda Banken Series C................ 9,800 97,858
Svedala Industri...................................... 28,700 366,191
Svenska Cellulosa AB Series A......................... 57,000 1,132,025
Svenska Cellulosa AB Series B......................... 266,500 5,337,067
Svenska Handelsbanken Series A........................ 240,000 3,381,763
Svenska Kullagerfabriken AB Series A.................. 68,400 1,191,472
Svenska Kullagerfabriken AB Series B.................. 89,700 1,637,143
Sydkraft AB Series C.................................. 6,600 109,841
Trelleborg AB Series B................................ 146,400 974,587
Volvo AB Series A..................................... 194,100 4,479,372
Volvo AB Series B..................................... 373,100 8,837,946
--------------
TOTAL COMMON STOCKS
(Cost $45,131,205)................................... 44,155,942
--------------
INVESTMENT IN CURRENCY -- (0.2%)
*Swedish Krona
(Cost $2,970,935)................................... 2,976,248
--------------
</TABLE>
11
<PAGE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
RIGHTS/WARRANTS -- (0.0%)
*Volvo AB Series A Redemption Rights 06/30/00......... 192,600 $ 119,666
*Volvo AB Series B Redemption Rights 06/30/00......... 329,800 210,400
--------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 330,066
--------------
TOTAL -- SWEDEN
(Cost $48,102,140)................................... 47,462,256
--------------
AUSTRALIA -- (2.1%)
COMMON STOCKS -- (2.0%)
AMP, Ltd.............................................. 114,900 997,737
Amcor, Ltd............................................ 505,844 1,454,454
Boral, Ltd............................................ 520,213 560,913
CSR, Ltd.............................................. 842,897 1,942,713
Colonial, Ltd......................................... 245,789 1,319,346
Goodman Fielder, Ltd.................................. 951,430 673,056
*Hanson P.L.C......................................... 65,823 443,862
MIM Holdings.......................................... 1,426,238 667,204
Mayne Nickless, Ltd................................... 96,541 166,330
Normandy Mining, Ltd.................................. 1,279,840 606,019
North, Ltd............................................ 560,737 882,919
Orica, Ltd............................................ 202,068 818,481
*Origin Energy, Ltd................................... 520,213 409,556
Pacific Dunlop, Ltd................................... 756,467 720,708
*Paperlinx, Ltd....................................... 168,615 292,430
*Pasminco, Ltd........................................ 292,385 151,792
Quantas Airways, Ltd.................................. 906,085 1,674,815
Rio Tinto, Ltd........................................ 509,374 7,274,779
Santos, Ltd........................................... 369,827 949,432
Seven Network, Ltd.................................... 34,926 131,506
St. George Bank, Ltd.................................. 359,871 2,397,963
Stockland Trust Group................................. 162,426 329,882
Suncorp-Metway Limited................................ 52,500 247,306
WMC, Ltd.............................................. 844,189 3,461,307
Westpac Banking Corp.................................. 731,773 4,988,811
--------------
TOTAL COMMON STOCKS
(Cost $38,580,865)................................... 33,563,321
--------------
INVESTMENT IN CURRENCY -- (0.1%)
*Australian Dollar
(Cost $1,117,571)................................... 1,108,241
--------------
PREFERRED STOCKS -- (0.0%)
Village Roadshow, Ltd. Class A
(Cost $126)......................................... 92 95
--------------
RIGHTS/WARRANTS -- (0.0%)
*AMP, Ltd. Contingent Payment Rights
(Cost $0)........................................... 161,533 0
--------------
TOTAL -- AUSTRALIA
(Cost $39,698,562)................................... 34,671,657
--------------
HONG KONG -- (1.9%)
COMMON STOCKS -- (1.9%)
Amoy Properties, Ltd.................................. 4,570,500 2,712,855
*China Overseas Land & Investment, Ltd................ 868,000 70,180
Great Eagle Holdings, Ltd............................. 698,910 919,382
HKR International, Ltd................................ 1,077,384 407,891
Hang Lung Development Co., Ltd........................ 2,126,000 1,336,935
Hysan Development Co., Ltd............................ 1,683,822 1,826,013
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Kerry Properties, Ltd................................. 1,261,000 $ 1,229,928
New World Development Co., Ltd........................ 2,246,105 2,248,411
*New World Infrastructure, Ltd........................ 880,800 712,146
Shangri-La Asia, Ltd.................................. 2,982,000 3,042,467
Sino Land Co., Ltd.................................... 4,976,107 1,676,371
Swire Pacific, Ltd. Series A.......................... 1,062,000 6,133,214
Tsim Sha Tsui Properties, Ltd......................... 1,352,000 850,205
Wharf Holdings, Ltd................................... 3,776,914 6,786,036
Wheelock and Co., Ltd................................. 3,243,000 2,018,551
--------------
TOTAL COMMON STOCKS
(Cost $56,667,986)................................... 31,970,585
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*Hong Kong Dollars
(Cost $136,667)..................................... 136,668
--------------
TOTAL -- HONG KONG
(Cost $56,804,653)................................... 32,107,253
--------------
FINLAND -- (1.6%)
COMMON STOCKS -- (1.6%)
Fortum Oyj............................................ 802,360 2,976,444
Huhtamaki Van Leer Oyj................................ 44,600 1,398,041
Kemira Oyj............................................ 265,300 1,402,428
Kesko Oyj............................................. 221,200 2,197,066
Metra Oyj Series B.................................... 82,300 1,488,343
Metsa-Serla Oyj Series B.............................. 403,500 3,124,629
Metso Oyj............................................. 112,709 1,463,373
Outokumpu Oyj Series A................................ 329,300 3,512,028
Rautaruukki Oy Series K............................... 237,100 1,198,385
Sanitec Oyj........................................... 16,687 162,493
Stora Enso Oyj Series A............................... 133,700 1,277,136
Stora Enso Oyj Series R............................... 408,700 3,828,199
Upm-Kymmene Oyj....................................... 128,500 3,241,459
Uponor Oyj Series A................................... 20,000 367,251
--------------
TOTAL -- FINLAND
(Cost $31,903,962)................................... 27,637,275
--------------
BELGIUM -- (1.1%)
COMMON STOCKS -- (1.1%)
*Banque Bruxelles Lambert VVPR........................ 128 3
Bekaert SA............................................ 34,000 1,750,009
Cofinimmo SA.......................................... 300 26,153
Electrafina SA........................................ 8,000 1,069,110
*Fortis AG............................................ 32,270 242,112
Fortis AG VVPR........................................ 290,430 2,693
*Glaverbel SA VVPR.................................... 22 0
Groupe Bruxelles Lambert SA, Bruxelles................ 6,300 1,507,401
*Heidelberger Zement AG............................... 7,666 437,232
*Heidelberger Zement AG VVPR.......................... 7,666 71
Nationale a Portefeuille.............................. 4,029 373,651
Sofina SA............................................. 10,500 345,592
Solvay SA............................................. 101,490 6,776,793
Suez Lyonnaise des Eaux SA............................ 19,080 3,162,069
*Suez Lyonnaise des Eaux SA CVG....................... 19,080 108,293
*Suez Lyonnaise des Eaux SA VVPR...................... 19,080 177
Tessenderlo Chemie.................................... 14,400 572,912
Union Miniere SA...................................... 40,200 1,421,175
--------------
TOTAL -- BELGIUM
(Cost $15,868,924)................................... 17,795,446
--------------
</TABLE>
12
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
DENMARK -- (1.0%)
COMMON STOCKS -- (1.0%)
Carlsberg A.S. Series B............................... 38,150 $ 1,232,096
Codan A.S............................................. 2,554 166,555
Danisco A.S........................................... 52,630 1,889,330
Den Danske Bank A.S................................... 44,140 5,099,081
FLS Industries........................................ 2,740 41,863
Jyske Bank A.S........................................ 49,950 930,686
*Nordic Baltic Holding AB............................. 925,918 5,923,199
Realdanmark A.S....................................... 45,814 1,490,995
--------------
TOTAL COMMON STOCKS
(Cost $15,349,214)................................... 16,773,805
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*Danish Krone
(Cost $272,005)..................................... 270,745
--------------
TOTAL -- DENMARK
(Cost $15,621,219)................................... 17,044,550
--------------
SINGAPORE -- (0.8%)
COMMON STOCKS -- (0.8%)
City Developments, Ltd................................ 120,000 401,588
Fraser & Neave, Ltd................................... 769,000 2,285,099
Keppel Corp., Ltd..................................... 1,379,000 2,625,727
Keppel Land, Ltd...................................... 1,200,000 1,107,829
Keppel Tatlee Bank, Ltd............................... 1,084,000 1,901,403
Natsteel, Ltd......................................... 261,000 271,072
*Neptune Orient Lines, Ltd............................ 1,162,000 878,312
Singapore Airlines, Ltd............................... 40,000 348,504
Singapore Land, Ltd................................... 1,048,000 1,674,991
--------------
TOTAL COMMON STOCKS
(Cost $18,975,896)................................... 11,494,525
--------------
INVESTMENT IN CURRENCY -- (0.1%)
*Singapore Dollars
(Cost $983,429)..................................... 982,793
--------------
TOTAL -- SINGAPORE
(Cost $19,959,325)................................... 12,477,318
--------------
EMU -- (0.6%)
INVESTMENT IN CURRENCY -- (0.6%)
*Euro Currency
(Cost $10,701,107).................................. 10,775,492
--------------
NORWAY -- (0.4%)
COMMON STOCKS -- (0.4%)
Bergesen Dy ASA Series A.............................. 105,892 2,185,947
Den Norske Bank ASA Series A.......................... 589,194 2,090,693
*Kvaerner ASA......................................... 93,451 1,074,053
Norsk Hydro ASA....................................... 31,700 1,211,503
Norske Skogindustrier ASA Series A.................... 30,000 920,577
--------------
TOTAL -- NORWAY
(Cost $10,668,009)................................... 7,482,773
--------------
PORTUGAL -- (0.4%)
COMMON STOCKS -- (0.4%)
Banco Espirito Santo e Comercial de Lisboa............ 49,292 1,149,696
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Cimpor Cimentos de Portugal SA........................ 100,653 $ 1,533,673
Portugal Telecom SA................................... 300,000 3,255,184
--------------
TOTAL -- PORTUGAL
(Cost $5,595,196).................................... 5,938,553
--------------
IRELAND -- (0.3%)
COMMON STOCKS -- (0.3%)
*Allied Irish Banks P.L.C............................. 35,520 326,119
Independent News & Media P.L.C........................ 247,505 1,928,110
Jefferson Smurfit Group P.L.C......................... 1,432,273 2,789,418
--------------
TOTAL -- IRELAND
(Cost $4,679,359).................................... 5,043,647
--------------
AUSTRIA -- (0.2%)
COMMON STOCKS -- (0.2%)
*Bank Austria AG...................................... 47,110 2,223,818
Voest-Alpine Stahl AG................................. 23,100 638,406
--------------
TOTAL -- AUSTRIA
(Cost $3,016,013).................................... 2,862,224
--------------
NEW ZEALAND -- (0.1%)
COMMON STOCKS -- (0.1%)
Carter Holt Harvey, Ltd............................... 1,509,500 1,213,297
Lion Nathan, Ltd...................................... 476,400 948,593
--------------
TOTAL COMMON STOCKS
(Cost $3,178,164).................................... 2,161,890
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*New Zealand Dollar
(Cost $17,982)...................................... 16,588
--------------
TOTAL -- NEW ZEALAND
(Cost $3,196,146).................................... 2,178,478
--------------
MALAYSIA -- (0.0%)
COMMON STOCKS -- (0.0%)
*Rekapacific Berhad
(Cost $1,085,453)................................... 691,000 83,647
--------------
</TABLE>
<TABLE>
TEMPORARY CASH INVESTMENTS -- (2.8%)
<CAPTION>
FACE
AMOUNT
------
(000)
<S> <C> <C>
Repurchase Agreement, PNC Capital Markets Inc. 5.95%,
06/01/2000 (Collateralized by U.S. Treasury Notes
7.75%, 02/15/01, valued at $47,737,086) to be
repurchased at $47,038,773.
(Cost $47,031,000).................................. $ 47,031 47,031,000
--------------
TOTAL INVESTMENTS - (100.0%) (Cost $1,554,562,472)++... $1,687,222,702
==============
</TABLE>
<TABLE>
<C> <S>
--------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
++ The cost for federal income tax purposes is $1,554,650,314.
</TABLE>
See accompanying Notes to Financial Statements.
13
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2000
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Investments at Value........................................ $ 1,687,223
Collateral for Securities Loaned............................ 362,373
Receivables:
Dividends, Interest and Tax Reclaims...................... 8,674
Investment Securities Sold................................ 203
Prepaid Expenses and Other Assets........................... 15
------------
Total Assets............................................ 2,058,488
------------
LIABILITIES:
Payable for Collateral on Securities Loaned................. 362,373
Payable for Securities Purchased............................ 53,802
Payable for Fund Shares Redeemed............................ 2,863
Accrued Expenses and Other Liabilities...................... 460
------------
Total Liabilities....................................... 419,498
------------
NET ASSETS.................................................. $ 1,638,990
============
SHARES OUTSTANDING, $.01 PAR VALUE
(Unlimited Number of Shares Authorized)................... 134,076,977
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE.... $ 12.22
============
Investments at Cost......................................... $ 1,554,562
============
COMPONENTS OF NET ASSETS:
Paid-In Capital............................................. $ 1,434,430
Undistributed Net Investment Income......................... 17,346
Undistributed Net Realized Gain............................. 55,601
Accumulated Net Realized Foreign Exchange Loss.............. (781)
Unrealized Appreciation of Investment Securities and Foreign
Currency.................................................. 132,661
Unrealized Net Foreign Exchange Loss........................ (267)
------------
Total Net Assets........................................ $ 1,638,990
============
</TABLE>
See accompanying Notes to Financial Statements.
14
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2000
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<TABLE>
<S> <C>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $2,298)....... $ 21,406
Interest.................................................. 754
Income from Securities Lending............................ 722
--------
Total Investment Income............................... 22,882
--------
EXPENSES
Investment Advisory Services.............................. 1,611
Accounting & Transfer Agent Fees.......................... 406
Custodian's Fee........................................... 219
Legal Fees................................................ 15
Audit Fees................................................ 14
Shareholders' Reports..................................... 21
Trustees' Fees and Expenses............................... 4
Other..................................................... 37
--------
Total Expenses........................................ 2,327
--------
NET INVESTMENT INCOME..................................... 20,555
--------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND
FOREIGN CURRENCY
Net Realized Gain on Investment Securities Sold........... 57,413
Net Realized Loss on Foreign Currency Transactions........ (781)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.............. (94,253)
Translation of Foreign Currency Denominated Amounts..... (39)
--------
NET LOSS ON INVESTMENT SECURITIES AND FOREIGN CURRENCY.... (37,660)
--------
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS........ $(17,105)
========
</TABLE>
See accompanying Notes to Financial Statements.
15
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2000 1999
----------- -----------
<S> <C> <C>
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income................................... $ 20,555 $ 37,751
Net Realized Gain on Investment Securities Sold......... 57,413 100,874
Net Realized Loss on Foreign Currency Transactions...... (781) (341)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities and Foreign Currency............ (94,253) 81,414
Translation of Foreign Currency Denominated Amounts... (39) (368)
---------- ----------
Net Increase (Decrease) in Net Assets Resulting From
Operations........................................ (17,105) 219,330
---------- ----------
Distributions From:
Net Investment Income................................... (4,940) (42,454)
Net Realized Gains...................................... (100,340) (3,807)
---------- ----------
Total Distributions................................. (105,280) (46,261)
---------- ----------
Capital Share Transactions (1):
Shares Issued........................................... 212,057 145,300
Shares Issued in Lieu of Cash Distributions............. 105,280 46,261
Shares Redeemed......................................... (216,339) (424,502)
---------- ----------
Net Increase (Decrease) from Capital Share
Transactions...................................... 100,998 (232,941)
---------- ----------
Total Decrease...................................... (21,387) (59,872)
NET ASSETS
Beginning of Period..................................... 1,660,377 1,720,249
---------- ----------
End of Period........................................... $1,638,990 $1,660,377
========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................................... 17,261 11,508
Shares Issued in Lieu of Cash Distributions............. 8,355 3,655
Shares Redeemed......................................... (17,514) (33,103)
---------- ----------
8,102 (17,940)
========== ==========
</TABLE>
See accompanying Notes to Financial Statements.
16
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGH EACH PERIOD)
<TABLE>
<CAPTION>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2000 1999 1998 1997 1996 1995
----------- ----------- ----------- ----------- ----------- ---------
<S> <C> <C> <C> <C> <C> <C>
(UNAUDITED)
Net Asset Value, Beginning of
Period............................ $ 13.18 $ 11.95 $ 10.90 $ 11.79 $ 10.55 $ 10.06
---------- ---------- ---------- ---------- ---------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income............. 0.16 0.28 0.22 0.24 0.23 0.20
Net Gains (Losses) on Securities
(Realized and Unrealized)....... (0.27) 1.29 1.13 (0.67) 1.32 0.52
---------- ---------- ---------- ---------- ---------- --------
Total from Investment
Operations.................... (0.11) 1.57 1.35 (0.43) 1.55 0.72
---------- ---------- ---------- ---------- ---------- --------
LESS DISTRIBUTIONS
Net Investment Income............. (0.04) (0.31) (0.27) (0.22) (0.23) (0.21)
Net Realized Gains................ (0.81) (0.03) (0.03) (0.24) (0.08) (0.02)
---------- ---------- ---------- ---------- ---------- --------
Total Distributions............. (0.85) (0.34) (0.30) (0.46) (0.31) (0.23)
---------- ---------- ---------- ---------- ---------- --------
Net Asset Value, End of Period...... $ 12.22 $ 13.18 $ 11.95 $ 10.90 $ 11.79 $ 10.55
========== ========== ========== ========== ========== ========
Total Return........................ (1.06)%# 13.27% 12.50% (3.84)% 14.85% 7.20%
Net Assets, End of Period
(thousands)....................... $1,638,990 $1,660,377 $1,720,249 $1,582,086 $1,356,852 $609,386
Ratio of Expenses to Average Net
Assets............................ 0.29%* 0.29% 0.29% 0.32% 0.36% 0.42%
Ratio of Net Investment Income to
Average Net Assets................ 2.55%* 2.17% 1.90% 2.09% 2.23% 2.14%
Portfolio Turnover Rate............. 17%* 6% 15% 23% 12% 10%
</TABLE>
<TABLE>
<C> <S>
--------------------------------------------------------------------------------
* Annualized
# Non-annualized
</TABLE>
See accompanying Notes to Financial Statements.
17
<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 twenty-one series, of which The DFA International Value
Series (the "Series") is presented in this report.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such policies
are consistently followed by the Trust in the preparation of its financial
statements. The preparation of financial statements in accordance with generally
accepted accounting principles may require management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
1. SECURITY VALUATION: Securities held by the Series which are listed on a
securities exchange are valued at the last quoted sale price. Price information
on listed securities is taken from the exchange where the security is primarily
traded. Unlisted securities for which market quotations are readily available
are valued at the mean between the most recent bid and asked prices. Securities
for which quotations are not readily available are valued in good faith at fair
value using methods determined by the Board of Trustees.
2. FOREIGN CURRENCY TRANSLATION: Securities, other assets and liabilities
of The DFA International Value Series whose values are initially expressed in
foreign currencies are translated to U.S. dollars at the mean price of such
currency against U.S. dollars last quoted by a major bank. Dividend and interest
income and certain expenses are translated to U.S. dollars at the rate of
exchange on their respective accrual dates. Receivables and payables denominated
in foreign currencies are marked to market daily based on daily exchange rates.
Exchange gains or losses are realized upon ultimate receipt or disbursement.
3. FEDERAL INCOME TAXES: It is the Series' intention to continue to
qualify as a regulated investment company and distribute all of its taxable
income. Accordingly, no provision for Federal taxes is required in the financial
statements.
4. REPURCHASE AGREEMENTS: The Series may purchase money market instruments
subject to the counterparty's agreement to repurchase them at an agreed upon
date and price. The counterparty will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
with The Trust's custodian or a third party sub-custodian. In the event of
default or bankruptcy by the other party to the agreement, retention of the
collateral may be subject to legal proceedings. All open repurchase agreements
were entered into on May 31, 2000.
5. FOREIGN MARKET RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States, including the possibility of future political and economic
developments and the level of foreign government supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid and
more volatile than the major securities markets in the United States.
Consequently, acquisition and disposition of securities by the Fund may be
inhibited.
6. OTHER: Security transactions are accounted for on the date the
securities are purchased or sold. Costs used in determining realized gains and
losses on the sale of investment securities are those of specific securities
sold. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. The components of net assets may be adjusted for current
period permanent book/tax differences which arose principally from differing
book/tax treatments of foreign currency and foreign taxes on capital gains.
Interest income is recorded on the accrual
18
<PAGE>
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.
The Funds may be subject to taxes imposed by countries in which they invest,
with respect to their investments in issuers existing or operating in such
countries. Such taxes are generally based on income earned or repatriated and
capital gains realized on the sale of such investments. The Funds accrue such
taxes when the related income or capital gains are earned. Some countries
require governmental approval for the repatriation of investment income, capital
or the proceeds of sales of foreign investors. In addition, if there is a
deterioration in the country's balance of payments or for other reasons, a
country may impose temporary restrictions on foreign capital remittances abroad.
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, 2000, the
Series' advisory fees were accrued daily and paid monthly to the Advisor based
on an effective annual rate of 0.20 of 1% of average daily net assets.
Certain officers of the Series are also officers, directors and shareholders
of the Advisor.
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 2000, the Series made the following
purchases and sales of investment securities other than U.S. Government
Securities (amounts in thousands):
<TABLE>
<S> <C>
Purchases................................................... $133,422
Sales....................................................... 130,739
</TABLE>
E. INVESTMENT TRANSACTIONS:
At May 31, 2000, gross unrealized appreciation and depreciation for federal
income tax purposes of investment securities and foreign currencies was as
follows (amounts in thousands):
<TABLE>
<S> <C>
Gross Unrealized Appreciation............................... $372,387
Gross Unrealized Depreciation............................... (239,815)
--------
Net....................................................... $132,572
========
</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, 2000 were as follows:
<TABLE>
<CAPTION>
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE LOAN DAYS EXPENSE BORROWED DURING
INTEREST RATE BALANCE OUTSTANDING INCURRED THE PERIOD
------------- ------------ ----------- -------- ---------------
<S> <C> <C> <C> <C> <C>
The DFA International Value Series..... 6.44% $110,000 1 $20 $110,000
</TABLE>
There were no outstanding borrowings under the line of credit at May 31,
2000.
19
<PAGE>
G. SECURITIES LENDING:
Loans of international securities are required at all times to be secured by
collateral at least equal to 105% of the market value of the securities on loan.
However, in the event of default or bankruptcy by the other party to the
agreement, realization and/or retention of the collateral may be subject to
legal proceedings. In the event that the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is insufficient
to cover the value of loaned securities and provided such collateral
insufficiency is not the result of investment losses, the lending agent has
agreed to pay the amount of the shortfall to the Series or, at the option of the
lending agent, replace the loaned securities. Such cash collateral for May 31,
2000 was reinvested into overnight repurchase agreements with, Fuji Securities,
which was in turn collateralized by U.S. Government Treasury Securities. At May
31, 2000, the market value of securities on loan to brokers was $352,895,402,
the related collateral cash received was $362,373,046 and the value of
collateral on overnight repurchase agreements was $382,311,835.
20
