<PAGE>
--------------------------------------------------------------------------------
DIMENSIONAL INVESTMENT GROUP INC.
TAX-MANAGED U.S. MARKETWIDE
VALUE PORTFOLIO II
SEMI-ANNUAL REPORT
SIX MONTHS ENDED MAY 31, 2000
(UNAUDITED)
-------------------------------------
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<TABLE>
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PAGE
----
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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 TAX-MANAGED U.S. MARKETWIDE
VALUE SERIES
Schedule of Investments............................................. 7-12
Statement of Assets and Liabilities................................. 13
Statement of Operations............................................. 14
Statements of Changes in Net Assets................................. 15
Financial Highlights................................................ 16
Notes to Financial Statements....................................... 17-18
</TABLE>
This report is submitted for the information of the Fund's shareholders. It
is not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
TAX-MANAGED U.S. MARKETWIDE 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 Tax-Managed U.S. Marketwide Value Series of The
DFA Investment Trust Company (Cost $39,692)++ at Value......... $ 43,061
Receivable for Investment Securities Sold........................ 29
Prepaid Expenses and Other Assets................................ 7
----------
Total Assets................................................. 43,097
----------
LIABILITIES:
Payable for Fund Shares Redeemed................................. 29
Accrued Expenses and Other Liabilities........................... 12
----------
Total Liabilities............................................ 41
----------
NET ASSETS....................................................... $ 43,056
==========
SHARES OUTSTANDING, $.01 PAR VALUE (Authorized 200,000,000)...... 4,086,577
==========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE......... $ 10.54
==========
COMPONENTS OF NET ASSETS:
Paid-In Capital.................................................. $ 42,299
Undistributed Net Investment Income.............................. 312
Accumulated Net Realized Loss.................................... (2,924)
Unrealized Appreciation of Investment Securities................. 3,369
----------
Total Net Assets............................................. $ 43,056
==========
</TABLE>
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++ The cost for federal income tax purposes is $39,822.
</TABLE>
See accompanying Notes to Financial Statements.
1
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2000
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<TABLE>
<S> <C>
INVESTMENT INCOME
Net Investment Income Received from The DFA
Investment Trust Company...................... $ 419
-------
EXPENSES
Administrative Services......................... --
Accounting & Transfer Agent Fees................ 18
Shareholder Services ........................... --
Legal Fees...................................... 1
Filing Fees..................................... 7
Shareholders' Reports........................... 16
-------
Total Expenses.............................. 42
-------
NET INVESTMENT INCOME........................... 377
-------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net Realized Loss on Investment Securities
Sold.......................................... (2,905)
Change in Unrealized Appreciation (Depreciation)
of Investment Securities...................... 3,202
-------
NET GAIN ON INVESTMENT SECURITIES............... 297
-------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS...................................... $ 674
=======
</TABLE>
See accompanying Notes to Financial Statements.
2
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
DEC. 16,
SIX MONTHS 1998
ENDED TO
MAY 31, NOV. 30,
2000 1999
----------- ---------
(UNAUDITED)
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income..................................... $ 377 $ 158
Net Realized Gain (Loss) on Investment Securities Sold.... (2,905) 321
Change in Unrealized Appreciation (Depreciation) of
Investment Securities................................... 3,202 167
------- -------
Net Increase in Net Assets Resulting from Operations.... 674 646
------- -------
Distributions From:
Net Investment Income................................... (223) --
Net Realized Gains...................................... (340) --
------- -------
Total Distributions................................... (563) --
------- -------
Capital Share Transactions (1):
Shares Issued........................................... 28,627 28,965
Shares Issued in Lieu of Cash Distributions............. 563 --
Shares Redeemed......................................... (12,659) (3,197)
------- -------
Net Increase from Capital Share Transactions.......... 16,531 25,768
------- -------
Total Increase........................................ 16,642 26,414
NET ASSETS
Beginning of Period....................................... 26,414 --
------- -------
End of Period............................................. $43,056 $26,414
======= =======
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................................ 2,810 2,769
Shares Issued in Lieu of Cash Distributions.............. 55 --
Shares Redeemed.......................................... (1,252) (295)
------- -------
1,613 2,474
======= =======
</TABLE>
See accompanying Notes to Financial Statements.
3
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
DEC. 16,
SIX MONTHS 1998
ENDED TO
MAY 31, NOV. 30,
2000 1999
----------- ---------
(UNAUDITED)
<S> <C> <C>
Net Asset Value, Beginning of Period........................ $ 10.68 $ 10.00
------- -------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income..................................... 0.10 0.06
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................. (0.01) 0.62
------- -------
Total from Investment Operations........................ 0.09 0.68
------- -------
LESS DISTRIBUTIONS
Net Investment Income..................................... (0.09) --
Net Realized Gains........................................ (0.14) --
------- -------
Total Distributions......................................... (0.23) --
------- -------
Net Asset Value, End of Period.............................. $ 10.54 $ 10.68
======= =======
Total Return................................................ 0.92%# 6.80%#
Net Assets, End of Period (thousands)....................... $43,056 $26,414
Ratio of Expenses to Average Net Assets (1)............... 0.45%* 0.96%*(a)
Ratio of Net Investment Income to Average Net Assets...... 1.77%* 0.99%*(a)
Portfolio Turnover Rate................................... N/A N/A
Portfolio Turnover Rate of Master Fund Series............. 42%* 10%*
</TABLE>
<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) Because of commencement of operations and related preliminary transaction
costs, these ratios are not necessarily indicative of future ratios.
N/A Refer to the Master Fund Series.
</TABLE>
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 Tax-Managed U.S. Marketwide Value Portfolio II (the "Portfolio") is
presented in this report.
The Portfolio invests all of its assets in The Tax-Managed U.S. Marketwide
Value Series (the "Series"), a corresponding series of The DFA Investment Trust
Company. At May 31, 2000, the Portfolio owned 17% 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. The Portfolio's investment
reflects its proportionate interest in the net assets of the Series.
2. FEDERAL INCOME TAXES: It is the intention of the Portfolio 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. The Series is treated as a partnership for federal tax purposes. Any
interest, dividends and gains or losses of the Series will be deemed to have
been "passed through" to the Feeder Fund.
3. OTHER: The Portfolio accrues its share of income, net of expenses daily
on its investment in the Master Fund, which is treated as a partnership for
federal income tax purposes. All of the net investment income and realized and
unrealized gains or losses from the security transactions of the Master Fund are
allocated pro rata among its investors at the time of such determination.
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. 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 did not pay an administration fee.
Certain officers of the Portfolio are also officers, directors and
shareholders of the Advisor.
5
<PAGE>
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>
<S> <C>
Gross Unrealized Appreciation............................... $ 7,806
Gross Unrealized Depreciation............................... (4,567)
-------
Net....................................................... $ 3,239
=======
</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
during the six months ended May 31, 2000.
6
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
COMMON STOCKS -- (98.5%)
*3Dfx Interactive, Inc................................ 10,000 $ 74,062
AAR Corp.............................................. 10,000 138,750
*Adecco SA ADR........................................ 794 78,953
*Advanced Micro Devices, Inc.......................... 8,500 692,219
Advanta Corp. Class A................................. 4,700 79,166
Advanta Corp. Class B Non-Voting...................... 6,900 83,447
Aetna, Inc............................................ 39,800 2,656,650
*Aftermarket Technology Corp.......................... 3,000 17,719
Agco Corp............................................. 25,100 313,750
*Agribrands International, Inc........................ 2,900 120,169
Airborne Freight Corp................................. 26,400 532,950
*Airgas, Inc.......................................... 27,800 149,425
AK Steel Holding Corp................................. 42,360 410,362
*Alaska Air Group, Inc................................ 7,300 227,212
*Albany International Corp. Class A................... 11,700 167,456
Albemarle Corp........................................ 3,900 85,800
Alcoa, Inc............................................ 10,176 594,660
Alexander & Baldwin, Inc.............................. 19,000 439,375
Alfa Corp............................................. 1,800 30,656
*Allegheny Corp....................................... 624 103,740
*Allen Telecom, Inc................................... 2,400 38,400
*Alliance Semiconductor Corp.......................... 3,900 96,525
Alliant Energy Corp................................... 12,700 351,631
Allmerica Financial Corp.............................. 18,900 1,090,294
Allstate Corp......................................... 213,700 5,663,050
Amerada Hess Corp..................................... 25,900 1,719,112
*Amerco, Inc.......................................... 9,800 171,806
*America West Holdings Corp. Class B.................. 19,200 342,000
American Financial Group, Inc......................... 23,600 659,325
*American Freightways Corp............................ 14,200 211,669
American Greetings Corp. Class A...................... 24,400 454,450
American National Insurance Co........................ 4,100 221,528
*Ameripath, Inc....................................... 9,700 83,208
Amerus Life Holdings, Inc. Class A.................... 7,400 147,537
*Ames Department Stores, Inc.......................... 19,100 226,216
*AMF Bowling, Inc..................................... 35,400 33,187
*AMR Corp............................................. 62,200 1,772,700
*Amtran, Inc.......................................... 4,400 62,287
*Ann Taylor Stores Corp............................... 12,000 312,000
Apache Corp........................................... 15,300 931,387
*Applica, Inc......................................... 10,200 150,450
Applied Industrial Technologies, Inc.................. 4,900 85,444
*Arch Capital Group, Ltd.............................. 9,000 135,844
Arch Chemicals, Inc................................... 10,300 177,675
Arch Coal, Inc........................................ 18,995 142,462
Archer-Daniels Midland Co............................. 36,000 429,750
Argonaut Group, Inc................................... 6,400 115,600
Armstrong Holdings, Inc............................... 10,700 183,906
Arnold Industries, Inc................................ 8,900 102,072
*Arrow Electronics, Inc............................... 24,800 869,550
Arvin Industries, Inc................................. 7,300 131,400
Ashland, Inc.......................................... 33,300 1,163,419
*Audiovox Corp. Class A............................... 1,900 35,922
*Aurora Foods, Inc.................................... 21,900 78,019
*AutoNation, Inc...................................... 167,700 1,320,637
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Aviation Sales Co.................................... 2,100 $ 14,044
*Avid Technology, Inc................................. 7,700 77,481
*Avis Group Holdings, Inc............................. 12,200 234,850
Avnet, Inc............................................ 2,338 161,760
AVX Corp.............................................. 2,500 143,281
*Aztar Corp........................................... 17,700 225,675
Baldwin & Lyons, Inc. Class B......................... 3,200 58,000
Bancwest Corp......................................... 36,000 672,750
Bandag, Inc........................................... 4,500 111,656
Bandag, Inc. Class A.................................. 3,800 86,450
BankAtlantic Bancorp, Inc. Class B.................... 5,700 32,597
Banta Corp............................................ 13,000 240,500
*Barrett Resources Corp............................... 500 19,781
*Battle Mountain Gold Co.............................. 900 1,744
Bay View Capital Corp................................. 12,100 122,512
Bear Stearns Companies, Inc........................... 49,622 1,953,866
*Belco Oil & Gas Corp................................. 2,500 19,531
Belo (A.H.) Corp. Class A............................. 47,500 762,969
*Benchmark Electronics, Inc........................... 8,400 285,600
Bergen Brunswig Corp. Class A......................... 55,600 288,425
Berkley (W.R.) Corp................................... 10,500 231,328
*Bethlehem Steel Corp................................. 34,466 133,556
*Beverly Enterprises.................................. 29,200 87,600
Bindley Western Industries, Inc....................... 4,600 87,687
*Bio-Rad Laboratories, Inc. Class A................... 2,000 46,375
Birmingham Steel Corp................................. 400 1,550
Block Drug Co., Inc. Class A.......................... 6,469 179,110
Bob Evans Farms, Inc.................................. 19,600 265,825
*Boca Resorts, Inc.................................... 15,500 133,687
Boise Cascade Corp.................................... 23,800 693,175
*Borders Group, Inc................................... 1,000 14,062
Borg Warner Automotive, Inc........................... 23,100 918,225
Bowater, Inc.......................................... 22,900 1,183,644
Bowne & Co., Inc...................................... 14,300 143,894
*Boyd Gaming Corp..................................... 14,900 73,569
Brookline Bancorp, Inc................................ 11,500 112,484
*Brown (Tom), Inc..................................... 6,900 150,506
Brown Shoe Company, Inc............................... 8,900 106,244
Brunswick Corp........................................ 32,700 629,475
Brush Wellman, Inc.................................... 3,500 61,031
*Budget Group, Inc.................................... 9,600 36,600
*Buffets, Inc......................................... 14,100 163,472
Burlington Coat Factory Warehouse Corp................ 21,100 267,706
Burlington Northern Santa Fe Corp..................... 100,600 2,376,675
*Bush Boake Allen, Inc................................ 8,000 261,000
C.I.T. Group, Inc. Class A............................ 92,600 1,695,737
*Cabletron Systems, Inc............................... 12,800 293,600
Calgon Carbon Corp.................................... 14,700 96,469
Caraustar Industries, Inc............................. 1,800 29,756
Carpenter Technology Corp............................. 6,200 128,262
Carter-Wallace, Inc................................... 8,500 170,000
Casey's General Stores, Inc........................... 23,600 278,775
Cash America International, Inc....................... 7,300 74,825
*Castle & Cooke, Inc.................................. 7,000 130,375
Cato Corp. Class A.................................... 400 4,962
*CB Richard Ellis Services, Inc....................... 8,500 85,531
</TABLE>
7
<PAGE>
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
CBRL Group, Inc....................................... 21,100 $ 305,291
Centex Corp........................................... 15,000 311,250
*Central Garden & Pet Co.............................. 6,300 71,859
*Century Business Services, Inc....................... 33,400 87,153
*Champion Enterprises, Inc............................ 29,600 168,350
Champion International Corp........................... 41,300 3,014,900
*Charming Shoppes, Inc................................ 16,600 98,044
*Checkpoint System, Inc............................... 8,500 67,469
Chemed Corp........................................... 1,200 36,375
Chemfirst, Inc........................................ 6,300 131,512
Chesapeake Corp....................................... 9,200 300,725
Chiquita Brands International, Inc.................... 18,700 73,631
*Chris-Craft Industries, Inc.......................... 4,075 248,066
CICOR International, Inc.............................. 1,150 12,147
Cincinnati Financial Corp............................. 34,700 1,395,591
Circle International, Inc............................. 1,200 22,687
City Holding Co....................................... 5,800 57,637
CKE Restaurants, Inc.................................. 21,700 71,881
Cleveland Cliffs, Inc................................. 3,100 78,856
*CNA Financial Corp................................... 44,900 1,602,369
CNA Surety Corp....................................... 1,000 12,500
Coachmen Industries, Inc.............................. 8,200 97,887
Coca-Cola Enterprises, Inc............................ 163,800 2,805,075
*Coherent, Inc........................................ 1,000 56,312
Columbus McKinnon Corp................................ 12,200 168,512
*Comfort Systems USA, Inc............................. 16,800 101,850
Commerce Group, Inc................................... 8,000 217,000
Commercial Federal Corp............................... 18,700 298,031
Commercial Metals Co.................................. 5,700 149,981
Commonwealth Bancorp, Inc............................. 2,000 23,125
Community Trust Bancorp, Inc.......................... 2,310 33,423
*Compucom Systems, Inc................................ 13,700 32,966
Comsat Corp. Series 1................................. 11,900 291,550
Conseco, Inc.......................................... 149,300 933,125
*Consolidated Graphics, Inc........................... 8,700 90,262
Consolidated Papers, Inc.............................. 25,800 964,275
*Consolidated Stores Corp............................. 11,300 146,900
Cooper Tire & Rubber Co............................... 36,500 440,281
*CoorsTek, Inc........................................ 1,450 46,762
Corn Products International, Inc...................... 17,100 420,019
Corus Bankshares, Inc................................. 6,700 166,244
Countrywide Credit Industries, Inc.................... 58,100 1,786,575
*Covenant Transport, Inc. Class A..................... 2,800 28,787
*Coventry Health Care, Inc............................ 22,200 262,931
*Credit Acceptance Corp............................... 17,200 95,675
Crompton Corp......................................... 11,000 133,375
Cross Timbers Oil Co.................................. 2,700 54,844
Crown Cork & Seal Co., Inc............................ 51,600 883,650
*CSS Industries, Inc.................................. 1,000 20,000
CSX Corp.............................................. 83,100 1,807,425
Cummins Engine Co., Inc............................... 15,900 517,744
Dain Rauscher Corp.................................... 1,000 59,625
Dana Corp............................................. 74,200 1,915,287
*Delphi Financial Group, Inc. Class A................. 4,200 140,700
Delta Air Lines, Inc.................................. 35,900 1,846,606
Detroit Diesel Corp................................... 11,700 184,275
Devon Energy Corp..................................... 20,300 1,214,194
Dillards, Inc. Class A................................ 32,800 489,950
Dime Bancorp, Inc..................................... 2,400 43,800
Dime Community Bancorp, Inc........................... 5,900 95,875
*Discount Auto Parts, Inc............................. 4,400 44,000
*Dollar Thrifty Automotive Group, Inc................. 11,100 199,800
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Downey Financial Corp................................. 11,700 $ 348,075
*Dress Barn, Inc...................................... 5,300 112,791
*Dura Automotive Systems, Inc......................... 6,900 82,153
*Dura Pharmaceuticals, Inc............................ 8,900 104,297
*DVI, Inc............................................. 5,800 83,375
Earthgrains Co........................................ 23,000 379,500
Eastman Chemical Co................................... 24,500 1,116,281
*Electro Rent Corp.................................... 2,400 26,100
*Electroglas, Inc..................................... 600 15,825
*Encompass Services Corp.............................. 25,700 150,987
Energen Corp.......................................... 11,300 250,012
Enhance Financial Services Group, Inc................. 17,200 236,500
ENSCO International, Inc.............................. 2,800 97,825
EOG Resources, Inc.................................... 16,800 546,000
*Esco Electronics Corp................................ 5,700 100,462
*Esterline Technologies Corp.......................... 6,500 88,562
Ethyl Corp............................................ 33,900 86,869
Everest Re Group, Ltd................................. 13,400 455,600
*Extended Stay America, Inc........................... 33,900 305,100
*Fairchild Corp. Class A.............................. 1,900 9,025
*Farm Family Holdings, Inc............................ 1,700 45,900
Farmer Brothers Co.................................... 500 83,750
FBL Financial Group, Inc. Class A..................... 11,700 171,112
Federal-Mogul Corp.................................... 27,000 268,312
*Federated Department Stores, Inc..................... 80,400 3,095,400
Fidelity National Financial, Inc...................... 18,300 283,650
Financial Security Assurance Holdings, Ltd............ 4,600 345,575
*Finish Line, Inc. Class A............................ 1,100 7,631
Finova Group, Inc..................................... 1,800 21,487
First American Financial Corp......................... 28,900 480,462
First Charter Corp.................................... 7,900 126,153
First Citizens Bancshares, Inc. NC.................... 3,900 235,219
First Indiana Corp.................................... 3,500 61,141
First Niagara Financial Group, Inc.................... 9,600 87,900
First Sentinel Bancorp, Inc........................... 9,600 74,850
*FirstFed Financial Corp. DE.......................... 6,400 86,000
Flagstar Bancorp, Inc................................. 3,000 28,219
Fleetwood Enterprises, Inc............................ 15,400 219,450
Fleming Companies, Inc................................ 14,800 208,125
Florida East Coast Industries, Inc.................... 4,000 192,000
Fluor Corp............................................ 3,400 110,500
*FMC Corp............................................. 1,000 60,750
Ford Motor Co......................................... 292,300 14,194,819
*Forest Oil Corp...................................... 2,100 33,469
Foster Wheeler Corp................................... 18,500 156,094
*Foundation Health Systems, Inc....................... 36,800 441,600
*Franklin Covey Co.................................... 1,600 12,400
Fremont General Corp.................................. 19,900 87,062
*Fritz Companies, Inc................................. 13,000 135,281
*FSI International, Inc............................... 1,200 17,287
GATX Corp............................................. 11,700 394,144
Gencorp, Inc.......................................... 10,100 99,106
General Binding Corp.................................. 2,600 19,500
General Cable Corp.................................... 7,000 58,187
*General Communications, Inc. Class A................. 16,200 77,962
General Motors Corp................................... 169,200 11,949,750
*General Motors Corp. Class H......................... 40,400 3,976,875
*Genlyte Group, Inc................................... 4,500 91,547
*Gentiva Health Services.............................. 2,800 24,412
</TABLE>
8
<PAGE>
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Geon Co............................................... 6,700 $ 144,050
Georgia-Pacific Corp.................................. 37,700 1,234,675
Gerber Scientific, Inc................................ 13,300 159,600
Gibraltar Steel Corp.................................. 5,000 79,219
Glatfelter (P.H.) Co.................................. 18,600 219,712
*Glenayre Technologies, Inc........................... 7,200 59,175
*Global Sources, Ltd.................................. 90 2,483
*Golden State Bancorp, Inc............................ 54,100 950,131
Goodrich (B.F.) Co.................................... 21,000 745,500
Goodyear Tire & Rubber Co............................. 17,600 437,800
*Goodys Family Clothing............................... 13,500 73,828
Granite Construction, Inc............................. 2,000 52,125
*Graphic Packaging International Corp................. 200 687
Great Atlantic & Pacific Tea Co., Inc................. 14,600 268,275
Greenpoint Financial Corp............................. 39,300 820,387
*Grey Wolf, Inc....................................... 18,200 91,000
*Griffon Corp......................................... 12,400 75,175
*Group 1 Automotive, Inc.............................. 6,000 69,000
*Ha-Lo Industries, Inc................................ 9,600 53,400
Hancock Holding Co.................................... 1,500 47,625
*Handleman Co......................................... 5,100 49,725
Harbor Florida Bancshares, Inc........................ 5,200 55,087
Harleysville Group, Inc............................... 11,800 199,862
Harris Corp........................................... 17,800 544,012
Hartford Life, Inc. Class A........................... 15,300 767,869
HCC Insurance Holdings, Inc........................... 11,800 201,337
*Healthsouth Corp..................................... 112,200 722,287
*Hearst-Argyle Television, Inc........................ 19,500 369,281
Heilig-Meyers Co...................................... 12,200 20,587
Heller Financial, Inc................................. 19,700 371,837
Helmerich & Payne, Inc................................ 2,500 93,125
*Hexcel Corp.......................................... 7,200 55,800
Hollinger International, Inc. Class A................. 19,900 242,531
*Hollywood Entertainment Corp......................... 19,500 134,367
*Homestead Village, Inc............................... 15,100 61,344
Horton (D.R.), Inc.................................... 30,400 397,100
*Houston Exploration Co............................... 4,000 100,000
*HS Resources, Inc.................................... 3,100 104,044
Hughes Supply, Inc.................................... 11,100 210,900
*Humana, Inc.......................................... 88,500 497,812
Hunt (J.B.) Transport Services, Inc................... 13,400 216,494
*Hutchinson Technology, Inc........................... 10,000 117,812
*Hypercom Corp........................................ 6,600 82,500
IBP, Inc.............................................. 28,100 463,650
*IHOP Corp............................................ 5,600 98,700
Ikon Office Solutions, Inc............................ 13,200 66,000
*Imation Corp......................................... 3,000 84,937
IMC Global, Inc....................................... 46,200 710,325
IMCO Recycling, Inc................................... 1,000 6,687
*Inacom Corp.......................................... 7,600 1,292
Independence Community Bank Corp...................... 30,300 405,262
*Information Resources, Inc........................... 13,500 67,078
Ingles Market, Inc. Class A........................... 4,300 42,462
*Ingram Micro, Inc.................................... 17,900 302,062
*Inprise Corp......................................... 9,700 54,108
*Input/Output, Inc.................................... 25,100 197,662
*Insignia Financial Group, Inc........................ 9,500 107,469
*Integrated Electrical Services, Inc.................. 13,500 66,656
Interface, Inc. Class A............................... 18,800 82,250
*Intergraph Corp...................................... 3,600 20,137
*Interim Services, Inc................................ 26,600 535,325
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Intermet Corp......................................... 10,900 $ 75,108
International Multifoods Corp......................... 8,000 111,500
International Paper Co................................ 81,800 2,847,662
*International Speciality Products, Inc............... 25,000 135,937
Interpool, Inc........................................ 100 800
*Ionics, Inc.......................................... 8,700 250,125
*JDA Software Group, Inc.............................. 2,100 32,616
Jefferies Group, Inc.................................. 11,400 230,137
*JLK Direct Distribution, Inc. Class A................ 2,000 13,875
Justin Industries, Inc................................ 1,000 17,437
*K Mart Corp.......................................... 200,100 1,700,850
*Kaiser Aluminum Corp................................. 36,000 159,750
Kaman Corp. Class A................................... 6,500 64,797
Kellwood Co........................................... 7,900 133,312
Kennametal, Inc....................................... 14,000 369,250
*Kent Electronics Corp................................ 1,700 47,175
*Key Energy Group, Inc................................ 17,000 184,875
Keycorp............................................... 100,000 2,100,000
*kforce.com, Inc...................................... 12,000 154,125
Kimball International, Inc. Class B................... 4,900 79,166
Lafarge Corp.......................................... 24,900 634,950
Landamerica Financial Group, Inc...................... 9,800 180,687
Landrys Seafood Restaurants, Inc...................... 11,400 89,062
*Lanier Worldwide, Inc................................ 6,800 12,325
Lehman Brothers Holdings, Inc......................... 19,400 1,497,437
Lennar Corp........................................... 17,200 324,650
*Liberty Corp......................................... 5,400 189,675
Liberty Financial Companies, Inc...................... 17,600 414,700
Lincoln National Corp................................. 72,300 2,801,625
LNR Property Corp..................................... 11,800 228,625
Lockheed Martin Corp.................................. 121,600 2,979,200
*Loews Cineplex Entertainment Corp.................... 19,100 50,137
Loews Corp............................................ 36,600 2,411,025
Lone Star Steakhouse Saloon........................... 13,300 140,897
*Lone Star Technologies, Inc.......................... 3,000 159,000
Longs Drug Stores Corp................................ 18,400 371,450
Longview Fibre Co..................................... 12,600 151,200
*Louis Dreyfus Natural Gas Corp....................... 8,100 260,212
Louisiana-Pacific Corp................................ 21,100 237,375
LTV Corp.............................................. 49,200 129,150
Luby's Cafeterias, Inc................................ 11,400 100,462
Lyondell Chemical Co.................................. 37,000 617,437
M.A. Hanna Co......................................... 20,500 239,594
*Magellan Health Services, Inc........................ 7,100 15,087
*Magnetek, Inc........................................ 6,500 54,844
*Mail-Well, Inc....................................... 23,400 219,375
Mallinckrodt, Inc..................................... 16,200 468,788
*Mandalay Resort Group................................ 37,200 788,175
*Manor Care, Inc...................................... 29,800 210,463
Marcus Corp........................................... 5,000 54,688
*Marine Drilling Companies, Inc....................... 2,200 63,250
Mark IV Industries, Inc............................... 7,800 165,750
*Maxxam, Inc.......................................... 2,400 61,200
MBIA, Inc............................................. 43,300 2,503,281
McGrath Rent Corp..................................... 500 7,844
MDC Holdings, Inc..................................... 10,700 206,644
Mead Corp............................................. 12,600 388,238
*Medical Assurance, Inc............................... 7,200 81,900
*MEMC Electronic Materials, Inc....................... 3,200 49,000
Metals USA, Inc....................................... 15,500 81,375
*Metromedia International Group, Inc.................. 12,600 54,338
*Michaels Stores, Inc................................. 4,200 179,550
</TABLE>
9
<PAGE>
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Midland Co............................................ 1,000 $ 25,250
Mikasa, Inc........................................... 1,000 9,625
Milacron, Inc......................................... 14,500 229,281
Millennium Chemicals, Inc............................. 25,800 496,650
Mine Safety Appliances Co............................. 2,000 46,500
*Mirage Resorts, Inc.................................. 44,900 940,094
*Modis Professional Services, Inc..................... 44,300 454,075
*Mony Group, Inc...................................... 22,400 830,200
*Moog, Inc. Class A................................... 2,300 49,163
*Morrison Knudsen Corp................................ 22,700 175,925
*MS Carriers, Inc..................................... 6,000 115,688
Nabisco Group Holdings Corp........................... 32,400 706,725
Nacco Industries, Inc. Class A........................ 5,300 200,075
National Presto Industries, Inc....................... 3,400 105,613
*National Semiconductor Corp.......................... 11,000 591,250
National Steel Corp. Class B.......................... 5,700 29,925
*National Western Life Insurance Co. Class A.......... 900 66,572
*NationsRent, Inc..................................... 20,700 76,331
NCH Corp.............................................. 1,500 60,000
*NCI Building Systems, Inc............................ 8,200 139,913
*Network Equipment Technologies, Inc.................. 8,200 87,638
*Newpark Resources, Inc............................... 4,000 33,500
*Noble Drilling Corp.................................. 1,200 52,050
Norfolk Southern Corp................................. 99,700 1,775,906
*Nortek, Inc.......................................... 5,100 109,331
Northrop Grumman Corp................................. 30,000 2,298,750
Northwest Bancorp, Inc................................ 2,300 17,466
*NS Group, Inc........................................ 6,100 111,706
*Nuevo Energy Co...................................... 1,000 19,313
OceanFirst Financial Corp............................. 1,600 27,300
*Ocwen Financial Corp................................. 31,000 178,250
*Officemax, Inc....................................... 40,800 221,850
*Offshore Logistics, Inc.............................. 8,500 119,266
Ogden Corp............................................ 23,100 199,238
Ohio Casualty Corp.................................... 14,700 175,941
Old Republic International Corp....................... 45,100 792,069
Omnicare, Inc......................................... 42,800 706,200
*On Command Corp...................................... 1,600 26,200
*Orbital Sciences Corp................................ 5,871 71,920
Overseas Shipholding Group, Inc....................... 15,300 354,769
*Owens-Illinois, Inc.................................. 122,200 1,374,750
Pacific Century Financial Corp........................ 34,600 778,500
*Pacificare Health Systems, Inc....................... 13,900 900,894
*Pactiv Corporation................................... 31,900 285,106
Park Electrochemical Corp............................. 2,000 50,125
*Park Place Entertainment Corp........................ 23,000 290,375
*Parker Drilling Co................................... 34,100 206,731
*Paxar Corp........................................... 11,000 110,688
*Paxson Communications Corp........................... 6,600 51,150
Penney (J.C.) Co., Inc................................ 99,000 1,794,375
Pep Boys - Manny, Moe & Jack.......................... 22,100 157,463
*Perrigo Co........................................... 2,700 16,453
*Per-Se Technologies, Inc............................. 2,000 13,063
*Personnel Group of America, Inc...................... 7,000 28,000
*Petco Animal Supplies, Inc........................... 8,500 161,234
*PetSmart, Inc........................................ 3,100 9,252
PFF Bancorp, Inc...................................... 500 6,969
Phelps Dodge Corp..................................... 21,273 954,626
Phillips-Van Heusen Corp.............................. 9,900 86,006
Phoenix Investment Partners, Ltd...................... 17,700 148,238
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Pier 1 Imports, Inc. DE............................... 18,600 $ 158,100
Pilgrim Pride Corp.................................... 13,700 109,600
*Pinnacle Entertainment, Inc.......................... 2,800 53,375
*Pioneer Natural Resources Co......................... 28,000 418,250
Pioneer Standard Electronics, Inc..................... 12,600 150,806
PMI Group, Inc........................................ 3,550 180,163
*Policy Management Systems Corp....................... 17,000 173,188
Polymer Group, Inc.................................... 16,100 117,731
Potlatch Corp......................................... 13,800 522,675
Precision Castparts Corp.............................. 11,300 550,875
*Premier Parks, Inc................................... 37,900 902,494
Presidential Life Corp................................ 13,800 203,119
*Price Communications Corp............................ 4,265 97,295
*Pride International, Inc............................. 7,100 180,606
*Primark Corp......................................... 8,300 215,800
*Prime Hospitality Corp............................... 21,500 185,438
*Professionals Group, Inc............................. 3,800 63,056
*PSS World Medical, Inc............................... 22,100 186,469
*PTEK Holdings, Inc................................... 17,500 60,156
Pulte Corp............................................ 18,400 408,250
Quanex Corp........................................... 7,400 108,225
*Quest Diagnostics, Inc............................... 2,800 187,250
Questar Corp.......................................... 37,800 767,813
*Quorum Health Group, Inc............................. 30,100 291,123
Radian Group, Inc..................................... 18,000 990,000
Rayonier, Inc......................................... 3,400 136,850
Raytheon Co. Class A.................................. 48,500 1,142,781
Raytheon Co. Class B.................................. 108,700 2,547,656
*RDO Equipment Co. Class A............................ 1,100 6,188
*Reebok International, Ltd............................ 27,200 377,400
Reliance Group Holdings, Inc.......................... 32,700 75,619
Reliance Steel and Aluminum Co........................ 4,000 83,750
*Renaissance Worldwide, Inc........................... 15,600 34,613
*Rent-Way, Inc........................................ 1,000 26,688
Republic Security Financial Corp...................... 15,200 62,463
*Respironics, Inc..................................... 6,200 99,588
Riggs National Corp................................... 8,100 117,956
*Rite Aid Corp........................................ 65,800 456,488
RJ Reynolds Tobacco Holdings, Inc..................... 13,900 385,725
RLI Corp.............................................. 4,300 156,413
Roadway Express, Inc.................................. 2,000 42,938
Rock-Tenn Co. Class A................................. 6,600 63,113
Rollins Truck Leasing Corp............................ 27,900 263,306
*RTI International Metals, Inc........................ 12,000 156,000
Russ Berrie & Co., Inc................................ 10,100 191,269
*Ryans Family Steak Houses, Inc....................... 11,100 100,594
Ryder System, Inc..................................... 24,200 464,338
Ryerson Tull, Inc..................................... 12,200 120,475
Ryland Group, Inc..................................... 5,500 122,031
*Sabre Holdings Corp.................................. 33,675 968,156
Safeco Corp........................................... 23,200 569,125
Saint Paul Companies, Inc............................. 99,900 3,746,250
*Saks, Inc............................................ 51,550 596,047
*Schein (Henry), Inc.................................. 16,900 298,391
Schulman (A.), Inc.................................... 13,200 157,163
Schweitzer-Maudoit International, Inc................. 4,600 63,250
SCPIE Holdings, Inc................................... 4,700 114,269
Seaboard Corp......................................... 1,100 202,400
Seacoast Financial Services Corp...................... 7,600 66,738
*Seacor Smit, Inc..................................... 5,300 339,863
*Seagate Technology, Inc.............................. 2,700 156,600
Sears, Roebuck & Co................................... 106,900 3,948,619
</TABLE>
10
<PAGE>
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Seitel, Inc.......................................... 10,100 $ 85,850
Selective Insurance Group, Inc........................ 12,200 226,081
*Sensormatic Electronics Corp......................... 18,900 296,494
*Sequa Corp. Class A.................................. 3,300 157,369
*Sequa Corp. Class B.................................. 900 51,750
Service Corp. International........................... 148,900 465,313
*Shaw Group, Inc...................................... 1,300 56,713
*Shopko Stores, Inc................................... 10,300 189,263
*Sierra Health Services, Inc.......................... 1,100 4,606
*Silicon Graphics, Inc................................ 46,800 310,050
*Silicon Valley Group, Inc............................ 5,800 154,244
*Sinclair Broadcast Group, Inc. Class A............... 25,800 212,447
Skyline Corp.......................................... 1,000 20,625
SLI, Inc.............................................. 10,200 132,600
*Smart & Final Food, Inc.............................. 7,800 63,863
Smith (A.O.) Corp..................................... 6,900 144,900
Smith (A.O.) Corp. Convertible Class A................ 2,200 46,475
*Sonic Automotive, Inc................................ 10,500 102,375
South Financial Group, Inc............................ 9,100 114,319
South Jersey Industries, Inc.......................... 3,300 86,006
Sovereign Bancorp, Inc................................ 53,120 364,370
*SpeedFam-IPEC, Inc................................... 1,000 13,156
Spiegel, Inc. Class A Non-Voting...................... 3,000 22,922
Springs Industries, Inc. Class A...................... 4,800 228,000
*SPS Technologies, Inc................................ 5,000 175,625
*Staffmark, Inc....................................... 12,200 60,238
Standard Motor Products, Inc. Class A................. 5,000 48,438
Standard Pacific Corp. DE............................. 14,500 164,938
Standard Register Co.................................. 11,600 157,325
*STAR Telecommunications, Inc......................... 20,500 42,922
Starwood Hotels and Resorts Worldwide, Inc............ 49,600 1,466,300
State Auto Financial Corp............................. 15,100 168,931
Staten Island Bancorp, Inc............................ 16,000 271,000
*Steelcase, Inc. Class A.............................. 10,700 131,075
Stepan Co............................................. 2,200 48,125
Stewart & Stevenson Services, Inc..................... 9,700 135,194
Stewart Enterprises, Inc.............................. 45,800 184,631
Stewart Information Services Corp..................... 3,300 41,663
Stone & Webster, Inc.................................. 1,000 969
*Stoneridge, Inc...................................... 7,300 82,125
Stride Rite Corp...................................... 22,589 148,240
Sunoco, Inc........................................... 29,300 946,756
*Sunrise Assisted Living, Inc......................... 8,800 160,325
Supervalu, Inc........................................ 48,300 1,005,244
Susquehanna Bancshares, Inc........................... 10,400 142,025
*Swift Energy Corp.................................... 15,500 398,156
*Sylvan Learning Systems, Inc......................... 6,900 78,056
*Systemax, Inc........................................ 18,100 123,306
*Tech Data Corp....................................... 14,400 541,350
Tecumseh Products Co. Class A......................... 5,800 261,906
Tecumseh Products Co. Class B......................... 2,000 86,375
Tektronix, Inc........................................ 900 48,150
*Telxon Corp.......................................... 1,100 17,119
Temple-Inland, Inc.................................... 20,500 1,018,594
Tenet Healthcare Corp................................. 50,500 1,294,063
Tenneco Automotive, Inc............................... 1,880 13,748
*Terex Corp........................................... 7,800 124,313
Terra Industries, Inc................................. 15,000 31,875
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Tesoro Petroleum Corp................................ 13,900 $ 142,475
Texas Industries, Inc................................. 8,500 243,844
*Thermedics, Inc...................................... 6,300 53,156
*Thermo Ecotek Corp................................... 1,000 7,813
*Thermo Instrument Systems, Inc....................... 13,900 227,613
*Thermo-Electron Corp................................. 44,700 829,744
Thomas Industries, Inc................................ 900 18,000
Tidewater, Inc........................................ 9,800 380,975
Timken Co............................................. 23,300 439,788
*Toll Brothers, Inc................................... 16,600 321,625
*Tower Automotive, Inc................................ 21,000 291,375
*Toys R Us, Inc....................................... 100,500 1,582,875
*Transmontaigne Oil Co................................ 200 1,350
Trenwick Group, Inc................................... 7,625 114,375
*Triad Hospitals, Inc................................. 1,200 25,725
*Trico Marine Services, Inc........................... 10,500 102,047
*Trigon Healthcare, Inc............................... 8,700 435,000
Trinity Industries, Inc............................... 14,900 328,731
*Triumph Group........................................ 4,100 114,800
Tucker Anthony Sutro Corp............................. 10,100 172,963
*Twinlab Corp......................................... 9,500 67,984
Tyson Foods, Inc. Class A............................. 53,200 525,350
U.S. Industries, Inc.................................. 39,300 530,550
*UAL Corp............................................. 26,300 1,354,450
*UICI................................................. 13,800 67,275
Ultramar Diamond Shamrock Corp........................ 21,800 565,438
*Ultratech Stepper, Inc............................... 3,000 42,188
UMB Financial Corp.................................... 9,400 347,213
*Unifi, Inc........................................... 27,500 350,625
Union Pacific Corp.................................... 51,900 2,196,019
Union Pacific Resources Group, Inc.................... 65,900 1,561,006
*Unit Corp............................................ 3,000 39,563
*United Auto Group, Inc............................... 5,800 51,838
United Community Financial Corp....................... 15,000 88,594
*United Rentals, Inc.................................. 35,400 575,250
Unitrin, Inc.......................................... 21,700 698,469
Universal Corporation................................. 8,000 185,500
Universal Forest Products, Inc........................ 10,600 139,456
*Universal Stainless & Alloy Products, Inc............ 300 2,063
*Unova, Inc........................................... 21,600 298,350
UnumProvident Corp.................................... 87,100 1,976,081
*URS Corp............................................. 5,600 73,500
*US Oncology, Inc..................................... 39,000 186,469
*Usec, Inc............................................ 28,300 130,888
USX-Marathon Group, Inc............................... 83,400 2,267,438
USX-US Steel Group.................................... 42,900 967,931
*Vail Resorts, Inc.................................... 11,600 185,600
Valero Energy Corp.................................... 15,200 444,600
Valhi, Inc............................................ 19,800 211,613
*Value City Department Stores, Inc.................... 10,700 106,331
*Varco International, Inc............................. 4,500 97,875
*Varian Medical Systems, Inc.......................... 4,900 202,431
*Venator Group, Inc................................... 32,000 346,000
*Veritas DGC, Inc..................................... 2,900 80,113
*Veterinary Centers of America, Inc................... 8,500 115,547
Vintage Petroleum, Inc................................ 6,100 144,875
*Vishay Intertechnology, Inc.......................... 11,000 778,250
*Volt Information Sciences, Inc....................... 3,000 86,625
Wabash National Corp.................................. 10,000 128,125
Wallace Computer Services, Inc........................ 12,000 120,000
Walter Industries, Inc................................ 5,600 60,550
</TABLE>
11
<PAGE>
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Warnaco Group, Inc.................................... 25,900 $ 174,825
*Waste Connections, Inc............................... 9,700 187,938
Watsco, Inc. Class A.................................. 10,300 152,569
Watts Industries, Inc. Class A........................ 8,800 100,100
*Webb (Del) Corp...................................... 8,100 123,525
*Weirton Steel Corp................................... 25,500 116,344
Wellman, Inc.......................................... 12,600 248,063
Werner Enterprises, Inc............................... 15,000 187,969
Westcorp, Inc......................................... 11,100 120,713
Westvaco Corp......................................... 45,500 1,370,688
*WFS Financial, Inc................................... 2,000 31,563
Whitney Holdings Corp................................. 3,900 151,978
*Wisconsin Central Transportation Corp................ 19,000 248,188
*Wolverine Tube, Inc.................................. 3,300 54,450
Woodward Governor Co.................................. 4,800 117,150
Worthington Industries, Inc........................... 10,300 124,888
*Xtra Corp............................................ 4,800 216,300
*Yellow Corp.......................................... 15,400 252,656
York International Corp............................... 10,650 278,231
Zenith National Insurance Corp........................ 8,000 190,000
*Ziff-Davis, Inc...................................... 42,500 358,594
--------------
TOTAL COMMON STOCKS
(Cost $228,765,694).................................. 244,899,828
--------------
RIGHTS/WARRANTS -- (0.0%)
*Westcorp, Inc. Rights 06/15/00
(Cost $0)........................................... 11,100 2,428
--------------
PREFERRED STOCKS -- (0.0%)
*O'Sullivan Industries Holdings (Senior Preferred 12%)
(Cost $0)........................................... 1,500 $ 757
--------------
</TABLE>
<TABLE>
TEMPORARY CASH
INVESTMENTS -- (1.5%)
<CAPTION>
FACE
AMOUNT
------
(000)
<S> <C> <C>
Repurchase Agreement, PNC Capital Markets Inc. 5.95%,
06/01/2000 (Collateralized by U.S. Treasury Notes
5.875%, 10/31/01, valued at $3,783,601) to be
repurchased at $3,727,616.
(Cost $3,727,000) $ 3,727 3,727,000
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $232,492,694)++................................ $ 248,630,013
==============
</TABLE>
<TABLE>
<C> <S>
--------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
++ The cost for federal income tax purposes is $232,977,140.
</TABLE>
See accompanying Notes to Financial Statements.
12
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2000
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Investments at Value........................................ $248,630
Collateral for Securities Loaned............................ 1,496
Receivables:
Dividends and Interest.................................... 711
Investment Securities Sold................................ 2,270
Fund Shares Sold.......................................... 620
Prepaid Expenses and Other Assets........................... 1
--------
Total Assets............................................ 253,728
--------
LIABILITIES:
Payable for Collateral on Securities Loaned................. 1,496
Payable for Investment Securities Purchased................. 2,749
Accrued Expenses and Other Liabilities...................... 61
--------
Total Liabilities....................................... 4,306
--------
NET ASSETS.................................................. $249,422
========
Investments at Cost......................................... $232,493
========
</TABLE>
See accompanying Notes to Financial Statements.
13
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2000
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<TABLE>
<S> <C>
INVESTMENT INCOME
Dividends....................................... $ 2,043
Interest........................................ 171
Income From Securities Lending.................. 25
-------
Total Investment Income..................... 2,239
-------
EXPENSES
Investment Advisory Services.................... 199
Accounting & Transfer Agent Fees................ 38
Custodian's Fees................................ 10
Legal Fees...................................... 1
Audit Fees...................................... 1
Shareholders' Reports........................... 1
Other........................................... 1
-------
Total Expenses.............................. 251
-------
NET INVESTMENT INCOME........................... 1,988
-------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net Realized Loss on Investment Securities
Sold.......................................... (13,914)
Change in Unrealized Appreciation (Depreciation)
of Investment Securities...................... 17,615
-------
NET GAIN ON INVESTMENT SECURITIES............... 3,701
-------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS...................................... $ 5,689
=======
</TABLE>
See accompanying Notes to Financial Statements.
14
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
SIX MONTHS DEC. 14, 1998
ENDED TO
MAY 31, NOV. 30,
2000 1999
----------- -------------
(UNAUDITED)
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income..................................... $ 1,988 $ 1,148
Net Realized Loss on Investment Securities Sold........... (13,914) (463)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities................................... 17,615 (1,479)
-------- --------
Net Increase (Decrease) in Net Assets Resulting from
Operations............................................ 5,689 (794)
-------- --------
Transactions in Interest:
Contributions............................................. 129,640 132,586
Withdrawals............................................... (11,911) (5,788)
-------- --------
Net Increase from Transactions in Interest.............. 117,729 126,798
-------- --------
Total Increase.......................................... 123,418 126,004
-------- --------
NET ASSETS
Beginning of Period....................................... 126,004 --
-------- --------
End of Period............................................. $249,422 $126,004
======== ========
</TABLE>
See accompanying Notes to Financial Statements.
15
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
DEC. 14,
SIX MONTHS 1998
ENDED TO
MAY 31, NOV. 30,
2000 1999
----------- ---------
(UNAUDITED)
<S> <C> <C>
Net Asset Value, Beginning of Period........................ N/A N/A
-------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income..................................... -- --
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................. -- --
-------- --------
Total from Investment Operations............................ -- --
-------- --------
LESS DISTRIBUTIONS
Net Investment Income..................................... -- --
Net Realized Gains........................................ -- --
-------- --------
Total Distributions..................................... N/A N/A
-------- --------
Net Asset Value, End of Period.............................. N/A N/A
======== ========
Total Return............................................ N/A N/A
Net Assets, End of Period (thousands)....................... $249,422 $126,004
Ratio of Expenses to Average Net Assets..................... 0.25%* 0.29%(a)
Ratio of Net Investment Income to Average Net Assets........ 2.00%* 1.66%(a)
Portfolio Turnover Rate..................................... 42%* 10%
</TABLE>
<TABLE>
<C> <S>
--------------------------------------------------------------------------------
* Annualized
(a) Because of commencement of operations and related preliminary transaction
costs, these ratios are not necessarily indicative of future ratios.
N/A Not applicable as The Tax-Managed U.S. Marketwide Value Series is
organized as a partnership.
</TABLE>
See accompanying Notes to Financial Statements.
16
<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 consists of twenty-one series, of which The Tax-Managed U.S.
Marketwide 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: The Series is treated as a partnership for
federal income tax purposes. Any interest, dividends and gains or losses will be
deemed to have been "passed through" to its Feeder Funds.
3. 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
or 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.
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, 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.
17
<PAGE>
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................................................... $163,790
Sales....................................................... 48,092
</TABLE>
E. INVESTMENT TRANSACTIONS:
At May 31, 2000, 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............................... $ 30,637
Gross Unrealized Depreciation............................... (14,984)
--------
Net......................................................... $ 15,653
========
</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 DAYS EXPENSE BORROWED
INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED DURING THE PERIOD
------------- ------------ ----------- -------- -----------------
<S> <C> <C> <C> <C> <C>
The Tax-Managed U.S.
Marketwide Value
Series............... 6.82% $486,000 1 $92 $486,000
</TABLE>
There were no outstanding borrowings under the line of credit at May 31,
2000.
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,
2000 was reinvested into overnight repurchase agreements with JP Morgan 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 $1,174,227, the
related collateral cash received was $1,496,300 and the value of collateral on
overnight repurchase agreements was $1,534,934.
18
