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Dimensional Investment Group Inc.
Emerging Markets Portfolio II
Semi-Annual Report
Six Months Ended May 31, 2000
(Unaudited)
-------------------------------------
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
EMERGING MARKETS 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 EMERGING MARKETS 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.
EMERGING MARKETS PORTFOLIO II
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2000
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Investment in The Emerging Markets Series of The DFA
Investment Trust Company (Cost $12,075)++ at Value........ $ 13,615
Receivable for Investment Securities Sold................... 131
Prepaid Expenses and Other Assets........................... 53
----------
Total Assets............................................ 13,799
----------
LIABILITIES:
Payable for Fund Shares Redeemed............................ 131
Accrued Expenses and Other Liabilities...................... 8
----------
Total Liabilities....................................... 139
----------
NET ASSETS.................................................. $ 13,660
==========
SHARES OUTSTANDING, $.01 PAR VALUE
(Authorized 200,000,000).................................. 1,383,903
==========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE.... $ 9.87
==========
COMPONENTS OF NET ASSETS:
Paid-In Capital............................................. $ 14,330
Accumulated Net Investment Loss............................. (17)
Accumulated Net Realized Loss............................... (2,187)
Accumulated Net Realized Foreign Exchange Loss.............. (6)
Unrealized Appreciation of Investment Securities............ 1,540
----------
Total Net Assets........................................ $ 13,660
==========
</TABLE>
<TABLE>
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++ The cost for federal income tax purposes is $12,103.
</TABLE>
See accompanying Notes to Financial Statements.
1
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
EMERGING MARKETS PORTFOLIO II
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2000
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<TABLE>
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INVESTMENT INCOME
Net Investment Income Received From The DFA
Investment Trust Company...................... $ 115
-------
EXPENSES
Administrative Services......................... 27
Accounting & Transfer Agent Fees................ 5
Filing Fees..................................... 6
Shareholders' Reports........................... 3
Other........................................... 3
-------
Total Expenses.............................. 44
Less: Fees Waived........................... (27)
-------
Net Expenses................................ 17
-------
NET INVESTMENT INCOME........................... 98
-------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY
Net Realized Gain on Investment Securities
Sold.......................................... 524
Net Realized Loss on Foreign Currency
Transactions.................................. (6)
Change in Unrealized Appreciation (Depreciation)
of Investment Securities...................... (635)
-------
NET LOSS ON INVESTMENT SECURITIES AND FOREIGN
CURRENCY...................................... (117)
-------
NET DECREASE IN NET ASSETS RESULTING FROM
OPERATIONS...................................... $ (19)
=======
</TABLE>
See accompanying Notes to Financial Statements.
2
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
EMERGING MARKETS 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..................................... $ 98 $ 98
Net Realized Gain (Loss) on Investment Securities Sold.... 524 (1,540)
Net Realized Loss on Foreign Currency Transactions........ (6) (6)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities................................... (635) 5,703
------- -------
Net Increase (Decrease) in Net Assets Resulting from
Operations............................................ (19) 4,255
------- -------
Distributions From:
Net Investment Income..................................... (111) (76)
Net Realized Gains........................................ -- --
------- -------
Total Distributions..................................... (111) (76)
------- -------
Capital Share Transactions (1):
Shares Issued............................................. 4,883 6,536
Shares Issued in Lieu of Cash Distributions............... 111 76
Shares Redeemed........................................... (4,727) (3,738)
------- -------
Net Increase from Capital Share Transactions............ 267 2,874
Capital Contribution From Sponsor........................... 47 86
------- -------
Total Increase.......................................... 184 7,139
NET ASSETS
Beginning of Period....................................... 13,476 6,337
------- -------
End of Period............................................. $13,660 $13,476
======= =======
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................................ 459 1,084
Shares Issued in Lieu of Cash Distributions.............. 10 12
Shares Redeemed.......................................... (422) (723)
------- -------
47 373
======= =======
</TABLE>
See accompanying Notes to Financial Statements.
3
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
EMERGING MARKETS PORTFOLIO II
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
SIX MONTHS YEAR YEAR AUG. 15
ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30,
2000 1999 1998 1997
------------ -------- -------- --------
(UNAUDITED)
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of Period........................ $ 10.08 $ 6.57 $ 7.50 $10.00
------- ------- ------ ------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss).............................. 0.10 0.09 0.07 (0.01)
Net Gains (Loss) on Securities (Realized and
Unrealized)............................................. (0.23) 3.50 (0.94) (2.49)
------- ------- ------ ------
Total from Investment Operations........................ (0.13) 3.59 (0.87) (2.50)
------- ------- ------ ------
LESS DISTRIBUTIONS
Net Investment Income..................................... (0.08) (0.08) (0.06) --
Net Realized Gains........................................ -- -- -- --
------- ------- ------ ------
Total Distributions..................................... (0.08) (0.08) (0.06) --
------- ------- ------ ------
Net Asset Value, End of Period.............................. $ 9.87 $ 10.08 $ 6.57 $ 7.50
======= ======= ====== ======
Total Return................................................ (1.34)%# 55.31% 9.76% (25.00)%#
Net Assets, End of Period (thousands)....................... $13,660 $13,476 $6,337 $8,858
Ratio of Expenses to Average Net Assets (1)(a)............ 0.69%* 0.76% 1.21% 1.35%
Ratio of Expenses to Average Net Assets (Excluding Waivers
and Assumption of Expenses) (1)(a)...................... 1.09%* 1.16% 1.61% 1.75%*
Ratio of Net Investment Income to Average Net Assets
(a)..................................................... 1.43%* 0.94% 1.00% (0.20)%*
Ratio of Net Investment Income to Average Net Assets
(Excluding Waivers and Assumption of Expenses) (a)...... 1.03%* 0.54% 0.60% (0.60)%
Portfolio Turnover Rate................................... N/A N/A N/A N/A
Portfolio Turnover Rate of Master Fund Series............. 13%* 16% 10% 1%(b)
</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) The plan's sponsor has voluntarily contributed to the Portfolio an amount
equal to that portion of the aggregate fees and expenses incurred by the
Portfolio relating to the plan's investment.
(b) Items calculated for the year ended November 30, 1997.
N/A Refer to the respective 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 the Emerging Market Portfolio II (the "Portfolio") is presented in this
report.
The Portfolio invests all of its assets in The Emerging Markets Series (the
"Series") a corresponding series of The DFA Investment Trust Company. At May 31,
2000, the Portfolio owned 4% 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 Portfolio's investment reflects its
proportionate interest in the net assets of the Series.
2. FEDERAL INCOME TAXES: It is the Portfolio's intention 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 gains 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 0.40 of 1% of the first $50 million
of average net assets.
Certain officers of the Portfolio are also officers, directors and
shareholders of the Advisor.
Effective August 1, 1997, the Advisor has agreed to waive its fees. For six
months ended May 31, 2000, the Advisor waived fees in the amount of $27,000.
In addition, each sponsor of a benefit plan which invests in the Portfolio
has agreed to make a voluntary monthly contribution to the Portfolio in an
amount equal to that portion of the aggregate fees and expenses incurred by the
5
<PAGE>
Portfolio relating to the benefit plan's investment. Such contributions are made
in accordance with the sponsor's practice of bearing the expenses of
administering the benefit plan's investments and are recorded as additions to
capital.
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............................... $ 2,893
Gross Unrealized Depreciation............................... (1,381)
-------
Net....................................................... $ 1,512
=======
</TABLE>
At May 31, 2000, the Portfolio had a capital loss carryforward for federal
income tax purposes of approximately $2,577,000; of which $1,045,000 and
$1,532,000 expire on Nov. 30, 2006 and 2007, respectively.
E. LINE OF CREDIT:
The Fund, together with other DFA-advised portfolios, has entered into a $50
million unsecured line of credit with its domestic custodian bank. Each
portfolio is permitted to borrow, subject to its investment limitations, up to a
maximum of $50 million. Borrowings under the line are charged interest at the
current overnight federal funds rate plus a variable rate determined at the date
of borrowing. Each portfolio is individually, and not jointly liable for its
particular advances under the line. There is no commitment fee on the unused
portion of the line of credit. There were no borrowings under the line of credit
by the Portfolio during the six months ended May 31, 2000.
6
<PAGE>
THE EMERGING MARKETS SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
TURKEY -- (12.6%)
COMMON STOCKS -- (12.6%)
Akbank................................................ 194,495,001 $ 2,996,744
Akcansa Cimento Sanayi ve Ticaret A.S................. 29,601,300 504,101
Aksigorta A.S......................................... 42,705,000 917,724
Alarko Holding........................................ 16,351,888 981,267
Arcelik A.S........................................... 25,206,732 1,635,287
Aygaz................................................. 17,315,840 870,608
*Cukurova Elektrik A.S................................ 389,000 318,609
*Dogan Sirketler Grubu Holdings A.S................... 51,738,680 1,195,770
EGE Biracilik ve Malt Sanayi A.S...................... 9,187,224 722,676
Enka Holding.......................................... 3,842,819 825,816
*Erciyas Biracilik.................................... 11,332,640 588,164
*Eregli Demir ve Celik Fabrikalari Turk A.S........... 34,503,000 1,594,848
*Guney Biracilik...................................... 3,516,240 165,384
*Hurriyet Gazette..................................... 25,601,550 467,129
Koc Holding A.S....................................... 49,867,992 4,205,743
Migros Turk A.S....................................... 2,202,675 1,339,674
Netas Northern Electric Telekomunikasyon A.S.......... 8,759,000 1,193,305
*Otosan Otomobil A.S.................................. 21,546,000 1,205,600
*Tansas Izmir Buyuksehir Belediyesi Ic ve dis Ticaret
A.S................................................. 1,068,000 186,208
Tat Konserve.......................................... 5 0
*Tofas Turk Otomobil Fabrikasi A.S.................... 72,073,889 1,204,017
Trakya Cam Sanayii A.S................................ 49,411,149 649,124
*Turk Sise Cam........................................ 42,665,421 532,825
*Turkiye Garanti Bankasi A.S.......................... 187,202,870 2,398,596
Turkiye Is Bankasi A.S. Series C...................... 441,903,000 12,184,099
*Vestel Elektronik Sanayi Ticaret A.S................. 3,112,000 971,601
*Yapi ve Kredi Bankasi A.S............................ 390,209,892 4,809,826
------------
TOTAL -- TURKEY
(Cost $11,401,131)................................... 44,664,745
------------
ISRAEL -- (9.8%)
COMMON STOCKS -- (9.8%)
*Africa-Israel Investments, Ltd....................... 2,840 298,495
*Africa-Israel Investments, Ltd....................... 155 156,973
Agis Industries (1983), Ltd........................... 21,736 177,715
American Israeli Paper Mills, Ltd..................... 3,291 207,223
Bank Hapoalim B.M..................................... 1,196,240 3,436,796
Bank Leumi Le-Israel.................................. 1,373,369 2,992,147
Bezek, Ltd............................................ 701,438 3,946,493
Blue Square Chain Stores Properties Investment........ 29,303 404,802
CLAL Electronics Industries, Ltd...................... 3,579 766,044
CLAL Industries, Ltd.................................. 135,350 1,454,986
CLAL Insurance, Ltd................................... 38,684 602,930
Clal Israel, Ltd...................................... 29,607 1,196,534
Delek Israel Fuel Corp., Ltd. Series C................ 4,584 323,758
*Elbit Medical Imaging................................ 17,319 165,485
Elbit Systems, Ltd.................................... 17,319 236,348
*Elbit, Ltd........................................... 17,320 173,249
Elite Industries, Ltd................................. 5,700 292,177
Elron Electronic Industries, Ltd...................... 19,701 646,677
First International Bank of Israel.................... 48,660 341,345
First International Bank of Israel, Ltd............... 347,200 500,415
IDB Bankholding Corp., Ltd............................ 36,578 1,334,639
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
IDB Development Corp., Ltd. Series A.................. 43,928 $ 1,851,008
Industrial Building Corp., Ltd........................ 277,150 395,472
Israel Chemicals, Ltd................................. 1,165,326 1,473,111
Israel Corp. Series A................................. 5,500 937,555
Koor Industries, Ltd.................................. 16,466 1,612,768
*M.A.Industries, Ltd.................................. 162,937 351,478
Matav Cable Israel.................................... 19,027 370,352
Migdal Insurance Holdings............................. 279,107 318,077
Osem Investment, Ltd.................................. 77,343 503,668
Property and Building Corp., Ltd...................... 3,973 330,067
Super-Sol, Ltd. Series B.............................. 210,226 737,358
Tambour............................................... 26,898 47,784
Teva Pharmaceutical Industries, Ltd................... 120,820 6,051,385
------------
TOTAL -- ISRAEL
(Cost $19,342,313)................................... 34,635,314
------------
MALAYSIA -- (9.5%)
COMMON STOCKS -- (9.5%)
AMMB Holdings Berhad.................................. 181 748
Amsteel Corp. Berhad.................................. 264,000 53,495
*Aokam Perdana Berhad................................. 333 499
*Avenue Assets Berhad................................. 27,000 15,845
Bandar Raya Developments Berhad....................... 23,000 13,376
Batu Kawan Berhad..................................... 151,000 167,689
Berjaya Group Berhad.................................. 94,000 17,068
Berjaya Land Berhad................................... 91,000 34,005
Berjaya Sports Toto Berhad............................ 79,000 181,908
British American Tobacco Berhad....................... 148,000 1,285,263
Carlsberg Brewery Malaysia Berhad..................... 79,000 270,263
Commerce Asset Holding Berhad......................... 230,000 659,737
Country Heights Holdings Berhad....................... 40,000 47,368
DCB Sakura Merchant New Shares........................ 4,100 3,345
Genting Berhad........................................ 259,000 967,842
Golden Hope Plantations Berhad........................ 521,000 545,679
Guiness Anchor Berhad................................. 105,000 109,974
Highlands and Lowlands Berhad......................... 314,000 262,768
Hong Leong Bank Berhad................................ 213,125 370,164
Hong Leong Credit Berhad.............................. 232,300 415,695
IOI Corp. Berhad...................................... 439,000 341,958
Jaya Tiasa Holdings Berhad............................ 96,000 159,158
Kuala Lumpur Kepong Berhad............................ 293,500 397,770
*Land - General Berhad................................ 35,000 12,434
*Leisure Management Berhad............................ 35,000 68,618
Lion Land Berhad...................................... 1,000 225
*MBF Holdings Berhad.................................. 141,000 7,607
Magnum Corp. Berhad................................... 779,500 551,804
Malakoff Berhad....................................... 103,000 269,697
Malayan Banking Berhad................................ 846,000 3,606,632
*Malayan United Industries Berhad..................... 70,000 15,750
Malaysian Airlines System............................. 298,000 279,179
Malaysian International Shipping Corp. (Foreign)...... 85,666 144,280
Malaysian Oxygen Berhad............................... 22,000 68,316
Malaysian Pacific Industries.......................... 28,000 315,000
*Multi-Purpose Holdings Berhad........................ 86,000 37,568
Nestle (Malaysia) Berhad.............................. 121,000 605,000
Oriental Holdings Berhad.............................. 167,880 377,730
Oyl Industries Berhad................................. 47,000 155,842
Perlis Plantations Berhad............................. 190,500 240,632
</TABLE>
7
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THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Perusahaan Otomobil Nasional Berhad................... 282,000 $ 397,026
Petronas Dagangan Berhad.............................. 147,000 167,116
Petronas Gas Berhad................................... 943,000 1,488,947
Public Bank Berhad (Foreign).......................... 1,107,799 1,559,664
RHB Capital Berhad.................................... 867,000 1,131,663
RJ Reynolds Berhad.................................... 135,000 182,961
Ramatex Berhad........................................ 222,000 210,316
*Rashid Hussain Berhad................................ 50,000 52,632
*Renong Berhad........................................ 460,000 285,684
Resorts World Berhad.................................. 567,000 1,775,605
Sarawak Enterprise Corp. Berhad....................... 412,000 263,463
Shell Refining Co. Federation of Malaysia Berhad...... 156,000 185,558
*Silverstone Berhad................................... 9,240 0
Sime Darby Berhad (Malaysia).......................... 1,208,800 1,565,078
*Southern Bank Berhad................................. 48,440 42,831
Southern Bank Berhad (Foreign)........................ 143,437 114,750
Technology Resources (Industries) Berhad.............. 264,000 316,800
Telekom Malaysia Berhad............................... 1,305,000 4,773,553
Tenaga Nasional Berhad................................ 1,146,000 4,191,947
*Time Engineering Berhad.............................. 276,000 265,832
Tractors Malaysia Holdings Berhad..................... 22,000 13,895
*United Engineering (Malaysia) Berhad................. 165,198 439,079
YTL Corp. Berhad...................................... 749,100 1,192,646
------------
TOTAL COMMON STOCKS
(Cost $35,214,175)................................... 33,694,977
------------
RIGHTS/WARRANTS -- (0.0%)
*YTL Corp. Berhad Warrants 06/26/09
(Cost $395)......................................... 4,000 1,884
------------
TOTAL -- MALAYSIA
(Cost $35,214,570)................................... 33,696,861
------------
SOUTH KOREA -- (8.9%)
COMMON STOCKS -- (8.9%)
*Daewoo Securities Co., Ltd........................... 56,445 232,376
*Good Morning Securities Co........................... 52,660 157,584
*Hyundai Engineering & Construction Co., Ltd.......... 119,254 362,671
Hyundai Motor Co., Ltd................................ 95,919 1,027,552
Hyundai Securities Co., Ltd........................... 49,011 364,925
Kookmin Bank.......................................... 205,128 2,197,475
Korea Electric Power Corp............................. 118,650 3,182,908
Korea Mobile Telecommunications Corp.................. 1,670 569,234
LG Chemical, Ltd...................................... 68,329 1,330,888
LG Electronics, Inc................................... 75,132 2,082,011
LG Information & Communications, Ltd.................. 21,211 1,235,665
*LG Insurance Co., Ltd................................ 3,410 8,906
Pohang Iron & Steel Co., Ltd.......................... 2,580 194,157
*S-Oil Corp........................................... 32,080 532,536
*S1 Corporation....................................... 20,238 270,557
SK Corp., Ltd......................................... 78,203 1,253,186
Samsung Display Devices, Ltd.......................... 32,478 1,236,435
*Samsung Electro-Mechanics Co., Ltd................... 51,654 3,246,953
Samsung Electronics Co., Ltd.......................... 37,688 10,277,027
Samsung Fire and Marine Insurance, Ltd................ 32,751 745,198
Shinhan Bank Co., Ltd................................. 158,242 1,183,838
------------
TOTAL -- SOUTH KOREA
(Cost $15,129,968)................................... 31,692,082
------------
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
BRAZIL -- (8.8%)
PREFERRED STOCKS -- (6.4%)
Aracruz Celulose SA Series B.......................... 311,999 $ 521,274
Banco Bradesco SA..................................... 197,621,010 1,332,615
Banco do Brasil SA.................................... 126,670,000 548,863
Banco do Estado de Sao Paulo SA....................... 2,500,000 73,965
Banco Itau SA......................................... 35,500,000 2,673,896
*Brasileira de Distribuicao Pao de Acucar............. 8,330,000 250,970
Brasiliero de Petroleo Ipiranga....................... 12,300,000 128,018
Centrais Electricas de Santa Catarin Celesc Series
B................................................... 180,000 53,245
Cervejaria Brahma..................................... 2,490,767 1,794,206
Cimento Portland Itau................................. 860,000 103,642
Copene-Petroquimica do Nordeste SA Series A........... 624,000 205,099
Coteminas Cia Tecidos Norte de Minas.................. 910,000 60,811
Duratex SA............................................ 2,900,000 72,281
Electropaulo Electrecidade Metropolitana.............. 8,395,000 471,366
*Embratel Participacoes SA............................ 38,582,922 805,044
Ericsson Telecomunicacoes SA.......................... 15,480,000 195,035
IKPC SA (Industrias Klabin de Papel e Celulose)....... 176,875 150,180
*Inepar Energia SA.................................... 9,561 3
*Inepar SA Industria e Construcoes.................... 19,760,001 38,535
*Inepar-Fem Equipamentos e Montagem SA................ 11,856 552
Investimentos Itau SA................................. 1,345,118 1,097,893
Lojas Americanas SA................................... 2,166,794 4,724
Lojas Renner SA....................................... 800,000 9,181
*Mahle Cofap Aneis SA................................. 5,100 11,664
*Paranapanema SA...................................... 2,120,000 3,856
Sadia Oeste SA Inclusttia e Comercio Soes............. 100,000 49,301
Sao Carlos Empreendimentos e Participacoes SA......... 2,166,794 4,392
Serrana SA............................................ 2,450 1,275
Siderurgica Belgo-Mineira............................. 970,000 83,417
Siderurgica de Tubarao Sid Tubarao.................... 15,120,000 194,806
*Siderurgica Paulista Pfd............................. 65,000 10,682
Suzano de Papel e Celulose............................ 54,000 113,885
Tele Celular Sul Participacoes SA..................... 137,922 461
Tele Centro Oeste Celular Participacoes SA............ 137,922 466
Tele Centro-Sul Participacoes......................... 45,137,922 546,446
Tele Leste Celular Participacoes SA................... 176,996 143
Tele Norte Celular Participacoes SA................... 137,922 127
Tele Norte Leste Participacoes SA..................... 96,740,604 1,897,165
*Telemig Celular Participacoes SA..................... 137,922 402
Telenordeste Celular Participacoes SA................. 137,922 365
Telesp Celular Participacoes.......................... 176,941,089 2,709,093
Telesp Participacoes SA............................... 61,927,922 1,560,478
Telesudeste Celular Participacoes SA.................. 82,837,922 708,800
USIMINAS (Usinas Siderurgicas de Minas Gerais SA)..... 52,039 228,051
Unibanco-Uniao de Bancos Brasileiros SA............... 12,963,000 639,089
Usinas Siderurgicas de Minas Gerais................... 325 1,362
*Vale do Rio Doce Series B............................ 81,160 0
</TABLE>
8
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Vale do Rio Doce Series A............................. 121,160 $ 3,006,567
Votorantim Celulose e Papel SA........................ 9,467,325 300,794
------------
TOTAL PREFERRED STOCKS
(Cost $18,144,996)................................... 22,664,485
------------
COMMON STOCKS -- (2.4%)
*Acos Especiais Itabira-Acesita Aces.................. 25,963,524 13,654
Ambev Cia de Bebidas das Americas..................... 252,000 126,999
Ceval Alimentos SA.................................... 11,610,114 19,398
Embraco SA............................................ 130,000 58,038
Embraer Empresa Brasileira de Aeronautica............. 157,000 713,824
*Embratel Participacoes............................... 57,550,000 942,605
*Empresa Nasional de Comercio Redito e Participacoes
SAncorpar........................................... 480,000 1,236
Gerdau SA............................................. 36,040,000 409,456
Inversiones Luz SA.................................... 3,140,000 125,564
Lojas Americanas SA................................... 14,042,476 29,231
*Mannesmann SA........................................ 149,000 9,794
Petroquimica do Sul Copesul........................... 8,276,000 358,147
*Santista Alimentos SA................................ 43,777 6,715
Sao Carlos Empreendimentos e Participacoes SA......... 14,042,476 30,692
*Seara Alimentos SA................................... 11,610,114 4,833
Serrana SA............................................ 2,054 1,046
Siderurgica Nacional Sid Nacional..................... 26,651,000 875,948
Souza Cruz Industria e Comercio....................... 101,000 556,033
Tele Celular Sul Participacoes........................ 57,550,000 147,853
Tele Centro Oeste Celular Participacoes............... 57,550,000 174,965
*Tele Centro Sul Participacoes SA..................... 57,550,000 517,645
Tele Leste Celular Participacoes...................... 73,854,224 60,685
Tele Norte Celular Participacoes...................... 57,550,000 47,603
Tele Norte Leste Participacoes........................ 57,550,710 904,786
Tele Sudeste Celular Participacoes.................... 57,550,000 245,897
*Telemig Celular Participacoes........................ 57,550,000 138,711
Telenordeste Celular Participacoes.................... 57,550,000 131,776
Telesp Celular Participacoes SA....................... 57,553,818 937,939
Telesp Participacoes SA............................... 57,550,000 870,097
Unibanco Unias de Bancos Brasileiros SA............... 1,500,000 36,154
VSMA (Cia Vidraria Santa Marina)...................... 54,000 65,373
------------
TOTAL COMMON STOCKS
(Cost $6,054,628).................................... 8,562,697
------------
RIGHTS/WARRANTS -- (0.0%)
*Serrana SA Preferred Rights 06/17/00................. 1,866 0
*Serrana SA Rights 06/17/00........................... 1,564 0
*Siderurgica Belgo-Mineira Rights 06/23/00............ 7 0
*Tele Norte Leste Participacoes SA Preferred Rights
06/06/00............................................ 122,307 348
*Tele Norte Leste Participacoes SA Rights 06/06/00.... 73,181 180
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 528
------------
TOTAL -- BRAZIL
(Cost $24,199,624)................................... 31,227,710
------------
THAILAND -- (7.2%)
COMMON STOCKS -- (7.2%)
*Advance Agro Public Co., Ltd. (Foreign).............. 1,030,130 420,407
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Advanced Info Service Public Co., Ltd. (Foreign)..... 593,100 $ 6,807,667
Ayudhya Insurance Public Co., Ltd. (Foreign).......... 1,000 2,449
BEC World Public Co., Ltd. (Foreign).................. 132,700 812,344
*Bangkok Expressway Public Co., Ltd. (Foreign)........ 2,333,000 577,224
*Bangkok Metropolitan Bank Public Co., Ltd.
(Foreign)........................................... 1 0
*Bangkok Rubber Public Co., Ltd. (Foreign)............ 14,600 1,713
*Bank of Asia Public Co., Ltd. (Foreign).............. 21,450 7,933
*Bank of Ayudhya Public Co., Ltd. (Foreign)........... 1,576,500 289,524
Delta Electronics (Thailand) Public Co., Ltd.
(Foreign)........................................... 349,156 2,368,967
*Five Stars Property Public Co., Ltd. (Foreign)....... 8,360 704
*International Broadcasting Corp. Public Co., Ltd.
(Foreign)........................................... 11,270 5,390
*International Engineering Public Co., Ltd.
(Foreign)........................................... 2,000 296
*Kiatnakin Finance and Securities Public Co., Ltd.
(Foreign)........................................... 12,800 6,693
*Krung Thai Bank Public Co., Ltd. (Foreign)........... 9,972,670 3,116,057
*MK Real Estate Development Public Co., Ltd.
(Foreign)........................................... 2,925 336
Mutual Fund Public Co., Ltd. (Foreign)................ 500 498
*National Finance and Securities Public Co., Ltd.
(Foreign)........................................... 630,150 99,654
*Sammakorn Public Co., Ltd. (Foreign)................. 7,500 1,779
*Sanyo Universal Electric Public Co., Ltd.
(Foreign)........................................... 6,500 1,094
*Shinawatra Computer and Communications Public Co.,
Ltd. (Foreign)...................................... 581,000 2,904,625
*Siam Cement Public Co., Ltd. (Foreign)............... 27,000 498,609
*Siam City Cement Public Co., Ltd. (Foreign).......... 354,813 995,520
*Siam Commercial Bank Public Co., Ltd. (Foreign)...... 958,166 604,887
Siam Makro Public Co., Ltd. (Foreign)................. 727,100 806,754
*Sino-Thai Engineering and Construction Public Co.,
Ltd. (Foreign)...................................... 2,900 777
*Srithai Superware Public Co., Ltd. (Foreign)......... 16,400 3,974
*Telecomasia Corp. Public Co., Ltd. (Foreign)......... 4,574,500 4,550,573
*Thai Danu Bank Public Co., Ltd. (Foreign)............ 201,800 41,178
*Thai German Ceramic Industry Public Co., Ltd.
(Foreign)........................................... 11,100 1,996
*Thai Military Bank Public Co., Ltd. (Foreign)........ 1,935,500 315,959
*Thai Petrochemical Industry Public Co., Ltd.
(Foreign)........................................... 2,768,960 374,326
------------
TOTAL COMMON STOCKS
(Cost $32,945,406)................................... 25,619,907
------------
</TABLE>
9
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
RIGHTS/WARRANTS -- (0.0%)
*Telecomasia Corp. Public Co., Ltd. (Foreign) Rights
2000-2008........................................... 1,444,578 $ 0
*Thai Danu Bank Public Co., Ltd. (Foreign) Rights
06/12/00............................................ 201,800 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 0
------------
TOTAL -- THAILAND
(Cost $32,945,406)................................... 25,619,907
------------
GREECE -- (7.2%)
COMMON STOCKS -- (7.2%)
Alpha Credit Bank..................................... 33,603 1,413,884
*Alpha Finance S.A.................................... 12,820 706,870
Altec Information & Communication Systems S.A......... 80,805 1,273,456
*Aspis Pronia General Insurance S.A................... 18,180 206,187
Athens Medical Center S.A............................. 73,335 1,079,020
*Attica Enterprises S.A. Holdings..................... 111,701 1,362,169
Bank of Attica S.A.................................... 51,135 668,624
Bank of Macedonia and Thrace S.A...................... 60,750 1,132,990
Bank of Piraeus S.A................................... 60,280 1,148,285
Delta Informatics S.A................................. 46,800 686,663
*Ergo Bank S.A........................................ 11,490 234,374
Ethniki General Insurance Co.......................... 43,944 1,397,783
General Hellenic Bank................................. 33,012 856,947
Halkor S.A............................................ 119,280 689,537
Hellenic Bottling Co., S.A............................ 62,590 988,979
*Hellenic Sugar Industry S.A.......................... 11,760 198,444
Hellenic Technodomiki S.A............................. 26,590 640,467
*Heracles General Cement Co........................... 39,060 956,420
*Inform P. Lykos S.A.................................. 13,790 484,759
Intracom S.A.......................................... 54,906 2,266,400
Intrasoft S.A......................................... 53,739 1,304,014
Maillis (M.J.) S.A.................................... 73,880 1,022,976
Mytilineos Holdings S.A............................... 125,240 1,322,144
National Investment Bank for Industrial Development... 26,800 700,487
Silver & Baryte Ores Mining Co. S.A................... 15,260 475,103
*Tiletipos S.A........................................ 23,910 393,596
Titan Cement Co....................................... 29,690 1,215,322
Xiosbank S.A.......................................... 30,480 573,068
------------
TOTAL -- GREECE
(Cost $23,563,234)................................... 25,398,968
------------
MEXICO -- (7.0%)
COMMON STOCKS -- (7.0%)
*Altos Hornos de Mexico S.A........................... 97,000 28,108
Apasco S.A. de C.V.................................... 69,000 391,900
*Carso Global Telecom S.A. de C.V. Telecom Series
A1.................................................. 768,000 1,740,767
Cementos de Mexico S.A. de C.V. Series B.............. 241,722 1,024,598
Controladora Comercial Mexicana S.A. de C.V. Series
B................................................... 175,000 152,774
Desc S.A. de C.V. Series B............................ 295,000 176,860
Desc S.A. de C.V. Series C............................ 6,905 4,038
El Puerto de Liverpool S.A. Series C1................. 339,500 642,754
*Empresas ICA Sociedad Controladora S.A. de C.V....... 207,900 62,977
*Empresas la Moderna S.A. de C.V. Series A............ 120,000 638,652
*Fomento Economico Mexicano Series B & D.............. 270,000 1,022,347
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Gruma S.A. de C.V. Series B.......................... 90,406 $ 105,739
*Grupo Carso S.A. de C.V. Series A-1.................. 203,000 619,193
*Grupo Celanese S.A. Series B2........................ 140,000 0
*Grupo Financiero Banamex Accival S.A. de C.V. Series
L................................................... 13,187 37,449
*Grupo Financiero Banamex Accival S.A. de C.V. Series
O................................................... 377,000 1,231,219
*Grupo Financiero Bancomer S.A. de C.V. Series L...... 7,792 3,852
*Grupo Financiero Bancomer S.A. de C.V. Series O...... 1,246,380 639,739
*Grupo Financiero GBM Atlantico S.A. de C.V. Series
L................................................... 30,000 0
*Grupo Financiero Inbursa Series O.................... 239,699 787,859
*Grupo Financiero Serfin S.A. de C.V. Series B........ 249,102 12,838
*Grupo Gigante S.A. de C.V. Series A.................. 113,799 173,557
Grupo Industrial Alfa S.A. Series A................... 150,290 410,204
Grupo Industrial Bimbo S.A. de C.V. Series A.......... 392,000 552,488
Grupo Industrial Maseca S.A. de C.V. Series B......... 229,000 108,388
*Grupo Mexico S.A. de C.V. Series B................... 172,000 586,146
Grupo Modelo S.A. de C.V. Series C.................... 312,000 689,138
*Grupo Televisa S.A. (Certificate Representing Series
A, Series D & Series L)............................. 700,000 1,965,810
*Hylsamex S.A. de C.V. Series B....................... 60,000 110,565
Industrias Penoles S.A. de C.V........................ 103,000 228,045
Kimberly Clark de Mexico S.A. de C.V. Series A........ 225,000 698,131
*Organizacion Soriana S.A. de C.V. Series B........... 150,000 506,441
*Seguros Comercial America S.A. de C.V. Series B...... 63,000 236,560
Telefonos de Mexico S.A. Series A..................... 100,000 244,543
Telefonos de Mexico S.A. Series L..................... 3,042,000 7,423,000
Tubos de Acero de Mexico S.A.......................... 17,000 225,295
Vitro S.A............................................. 121,600 142,735
*Walmart de Mexico S.A. de C.V. Series C.............. 417,000 807,901
*Walmart de Mexico S.A. de C.V. Series V.............. 137,180 282,511
------------
TOTAL -- MEXICO
(Cost $16,639,601)................................... 24,715,121
------------
CHILE -- (6.8%)
COMMON STOCKS -- (6.8%)
BBV Banco BHIF ADR.................................... 30,000 448,125
Banco de Santiago SA ADR.............................. 84,800 1,526,400
*Banco Edwards SA ADR................................. 55,248 780,378
*Banco Santander Chile Sponsored ADR.................. 102,500 1,524,687
Chilgener SA ADR...................................... 92,600 1,279,037
Cia Telecom de Chile ADR.............................. 207,000 4,081,781
Compania Cervecerias Uni ADR.......................... 66,400 1,477,400
Cristalerias de Chile SA ADR.......................... 14,500 248,312
Distribucion y Servicio D&S SA ADR.................... 100,500 1,852,969
Embotelladora Andina SA Andina ADR.................... 81,300 1,001,006
Embotelladora Andina SA Andina Series B ADR........... 57,700 605,850
*Empresa Nacional de Elec ADR......................... 273,818 3,234,475
*Empresas Telex - Chile SA ADR........................ 7,880 27,580
*Enersis SA ADR....................................... 139,503 3,003,674
</TABLE>
10
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Laboratorio Chile SA Labchile ADR..................... 30,000 $ 584,063
Lan Chile SA ADR...................................... 86,400 685,800
*Madeco SA ADR........................................ 44,500 349,047
Masisa SA ADR......................................... 16,500 210,375
Santa Isabel SA ADR................................... 15,500 133,688
Sociedad Quimica y Minera Chile ADR................... 29,502 668,405
Vina Concha y Toro SA Conchatoro ADR.................. 14,600 534,725
------------
TOTAL -- CHILE
(Cost $24,799,606)................................... 24,257,777
------------
ARGENTINA -- (6.2%)
COMMON STOCKS -- (6.2%)
*Acindar Industria Argentina de Aceros SA Series B.... 449,000 388,412
*Alpargatas SA Industrial y Comercial................. 1,078 8,697
*Alto Palermo SA Series A............................. 5,000 34,002
*Astra Cia Argentina de Petroleos SA.................. 719,690 1,878,522
Banco de Galicia y Buenos Aires SA Series A........... 576,044 2,148,794
*Banco del Sud Sociedad Anonima Series B.............. 29,000 42,053
Banco Frances del Rio de la Plata SA.................. 258,209 1,665,565
Banco Rio de la Plata SA.............................. 191,500 1,260,158
*Buenos Aires Embotelladora SA Series B............... 100 492
*Capex SA Series A.................................... 41,102 228,132
*Celulosa Argentina SA Series B....................... 37,500 5,513
Central Costanera SA Series B......................... 59,100 111,116
*Central Puerto SA Series B........................... 16,000 24,482
*Garovaglio y Zorraquin SA............................ 28,000 22,682
Gas Natural SA, Buenos Aires.......................... 25,000 46,253
IRSA Inversiones y Representaciones SA................ 237,574 584,473
*Indupa SA Industrial y Comercial..................... 335,366 223,034
*Juan Minetti SA...................................... 209,983 272,997
*Ledesma SA........................................... 135,378 75,817
Metrogas SA Series B.................................. 403,115 346,703
*Molinos Rio de la Plata SA Series B.................. 311,287 532,338
Nobleza-Piccardo Sdad Industrial Comercial y
Financiera Pica..................................... 25,542 72,800
PC Holdings SA Series B, Buenos Aires................. 1,964,901 3,104,761
*Renault Argentina SA................................. 176,559 113,006
Siderar SAIC Series A................................. 219,876 565,121
Siderca SA Series A................................... 714,907 1,329,820
*Sociedad Comercial del Plata......................... 187,740 32,857
Telecom Argentina Stet-France SA Series B............. 472,000 2,331,843
Telefonica de Argentina SA Series B................... 1,058,000 3,491,644
Transportadora de Gas del Sur SA Series B............. 636,000 985,869
------------
TOTAL -- ARGENTINA
(Cost $23,611,268)................................... 21,927,956
------------
PHILIPPINES -- (5.8%)
COMMON STOCKS -- (5.8%)
Aboitiz Equity Ventures, Inc.......................... 7,014,400 296,035
Ayala Corp............................................ 11,578,000 1,845,964
Ayala Land, Inc....................................... 18,687,576 2,146,989
*Bank of the Philippine Island........................ 1,472,341 2,813,498
*Belle Corp........................................... 4,916,000 133,706
Equitable PCI Bank, Inc............................... 875,000 1,087,338
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Filinvest Development Corp........................... 4,664,500 $ 153,114
*Filinvest Land, Inc.................................. 9,822,000 331,622
*International Container Terminal Services, Inc....... 1,525,837 45,078
La Tondena Distillers, Inc............................ 693,200 487,596
*Metro Pacific Corp................................... 17,813,860 246,428
Metropolitan Bank & Trust Co.......................... 595,389 2,903,654
*Petron Corp.......................................... 19,893,000 643,665
Philippine Long Distance Telephone Co................. 174,940 3,137,843
*Philippine National Bank............................. 259,975 411,449
SM Prime Holdings, Inc................................ 22,614,000 2,757,156
*Security Bank Corp................................... 320,842 173,021
*Southeast Asia Cement Holdings, Inc.................. 30,190 269
*Union Bank of the Philippines........................ 812,300 495,188
Universal Robina Corp................................. 2,871,000 343,308
------------
TOTAL -- PHILIPPINES
(Cost $42,232,927)................................... 20,452,921
------------
INDONESIA -- (3.4%)
COMMON STOCKS -- (3.4%)
*Bank Lippo Tbk....................................... 557,000 8,105
PT Asahimas Flat Glass Co., Ltd....................... 75,000 7,203
*PT Astra Agro Lestari Tbk............................ 856,000 154,459
*PT Astra International Tbk........................... 1,949,000 567,229
*PT Bakrie & Brothers Tbk............................. 1,259,000 14,657
*PT Bank International Indonesia...................... 2,227,191 25,928
*PT Barito Pacific Timber............................. 910,000 29,133
*PT Bimantara Citra................................... 589,000 68,568
*PT Charoen Pokphand Tbk.............................. 95,000 29,307
*PT Ciputra Development Tbk........................... 262,000 11,438
*PT Citra Marga Nusaphala Persada..................... 960,000 50,291
*PT Dankos Laboratories............................... 105,000 9,168
*PT Duta Pertiwi...................................... 200,000 13,970
*PT Gajah Tunggal Tbk................................. 2,977,000 155,954
*PT Gt Kabel Indonesia Tbk............................ 212,000 3,085
*PT GT Petrochem Industries Tbk....................... 70,000 2,037
*PT Hanjaya Mandala Sampoerna Tbk..................... 871,500 1,116,006
*PT Hero Supermarket Tbk.............................. 78,000 11,804
*PT Indah Kiat Pulp & Paper Corp...................... 4,143,601 675,325
*PT Indocement Tunggal Prakarsa....................... 2,150,000 825,960
*PT Indofood Sukses Makmur............................ 1,564,280 783,050
*PT Indorama Synthetics Tbk........................... 365,580 34,047
PT Indosat Tbk........................................ 972,500 1,058,541
*PT Jakarta International Hotel and Development Tbk... 362,500 22,155
*PT Jaya Real Property................................ 305,000 19,528
*PT Kalbe Farma Tbk................................... 750,000 50,204
*PT Kawasan Industry Jababeka Tbk..................... 407,333 16,597
*PT Lippo Land Development Tbk........................ 174,000 6,077
*PT Makindo Tbk....................................... 886,000 314,586
*PT Matahari Putra Prima Tbk.......................... 2,543,000 199,828
*PT Mayorah Indah..................................... 288,720 14,285
*PT Medco Energi International Tbk.................... 385,000 190,483
*PT Modern Photo Tbk.................................. 154,000 25,099
*PT Mulia Industrindo................................. 850,680 32,185
*PT Pabrik Kertas Tjiwi Kimia Tbk..................... 765,821 109,212
*PT Pakuwon Jati Tbk.................................. 312,000 6,356
*PT Panasia Indosyntec Tbk............................ 103,600 5,879
PT Perusahaan Rokok Tjap Gudang Garam................. 1,593,500 2,077,671
*PT Polysindo Eka Perkasa Tbk......................... 481,000 13,999
*PT Ramayana Lestari Sentosa Tbk...................... 544,500 283,660
*PT Sari Husada Tbk................................... 13,440 7,041
*PT Semen Cibinong Tbk................................ 231,000 7,395
</TABLE>
11
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
PT Semen Gresik....................................... 557,002 $ 479,838
*PT Summarecon Agung.................................. 87,838 2,301
PT Telekomunikasi Indonesia (Persero) Tbk............. 6,223,820 2,046,831
PT Tempo Scan Pacific................................. 19,500 8,740
PT Tigaraksa Satria Tbk............................... 25,200 8,948
PT Timah Tbk.......................................... 327,000 91,362
*PT Unggul Indah Corp. Tbk............................ 128,700 28,092
*PT Unilever Indonesia Tbk............................ 14,000 143,830
*PT United Tractors................................... 15,000 9,910
------------
TOTAL -- INDONESIA
(Cost $33,040,560)................................... 11,877,357
------------
PORTUGAL -- (1.7%)
COMMON STOCKS -- (1.7%)
Banco Comercial Portugues SA.......................... 332,485 1,624,991
Banco Espirito Santo e Comercial de Lisboa............ 23,900 557,448
*Companhia de Seguros Mundial Confianca SA............ 16,920 909,959
Companhia de Seguros Tranquilidade SA................. 8,560 258,242
Investimentos Participacoes e Gestao SA Inapa......... 29,267 169,368
Jeronimo Martins (Estabelecimentos Jeronimo Martins &
Filho Administracao e Participacoes Financeiros
SA)................................................. 9,865 154,707
Modelo Continente SGPS SA............................. 55,800 740,012
Portucel Industrial Empresa Produtora de Celulose
SA.................................................. 16,640 101,388
*Sociedad Construcoes Soares da Costa SA.............. 17,514 48,890
Sociedade de Investimento e Gestao SGPS SA............ 10,120 170,813
*Sonae Industria-Sociedade Gestora de Participacoes
Sociais SA.......................................... 13,587 81,904
Sonae Investimentos Sociedade Gestora de Participacoes
Sociais SA.......................................... 24,059 1,046,451
------------
TOTAL -- PORTUGAL
(Cost $2,333,058).................................... 5,864,173
------------
POLAND -- (0.7%)
COMMON STOCKS -- (0.3%)
*Agora SA............................................. 8,851 229,321
*Bank Handlowy W. Warszawie SA........................ 13,983 212,287
*Bank Polska Kasa Opieki - Grupa Pekao SA............. 2,641 33,432
*Bank Przemyslowo-Handlowy SA......................... 359 17,134
*Bank Slaski SA....................................... 1,702 91,289
*Big Bank Gdanski SA.................................. 31,418 64,264
*Elektrim SA.......................................... 15,491 202,791
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Polish Telecom TPSA.................................. 31,432 $ 220,738
*Powszechny Bank Kredytowy SA......................... 4,192 85,745
*Prokom Software SA................................... 2,540 111,991
------------
TOTAL COMMON STOCKS
(Cost $1,266,928).................................... 1,268,992
------------
INVESTMENT IN CURRENCY -- (0.4%)
*Poland Zloty
(Cost $1,273,247)................................... 1,270,302
------------
TOTAL -- POLAND
(Cost $2,540,175).................................... 2,539,294
------------
HUNGARY -- (0.4%)
COMMON STOCKS -- (0.4%)
*Borsodchem RT........................................ 5,306 174,552
*Budapesti Elektromos Muvek RT........................ 185 10,419
*Delmagyarorszagi Aramszolgaltato Demasz RT........... 1,925 111,166
*Egis RT.............................................. 4,048 173,697
*Gedeon Richter, Ltd.................................. 4,014 233,884
*Hungarian Telecommunications Co...................... 32,447 223,344
*Magyar Olay-Es Gazipari RT........................... 12,616 219,695
*OTP Bank, Ltd........................................ 5,014 268,844
*Tiszai Vegyi Kombinat RT............................. 12,601 186,541
------------
TOTAL -- HUNGARY
(Cost $1,614,267).................................... 1,602,142
------------
EMU -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*Euro Currency
(Cost $1,456)....................................... 1,410
------------
</TABLE>
<TABLE>
TEMPORARY CASH INVESTMENTS -- (4.0%)
<CAPTION>
FACE
AMOUNT
------
(000)
<S> <C> <C>
Repurchase Agreement, Chase Manhattan Bank N.A. 6.00%,
06/01/2000 (Collateralized by U.S. Treasury Notes
5.875%, 11/15/04, valued at $14,280,044) to be
repurchased at $14,002,333.
(Cost $14,000,000).................................. $ 14,000 14,000,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $322,609,164)++................................ $354,173,738
============
</TABLE>
<TABLE>
<C> <S>
--------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
++ The cost for federal income tax purposes is $323,332,402.
</TABLE>
12
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE EMERGING MARKET SERIES
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2000
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Investments at Value........................................ $354,174
Cash........................................................ 799
Receivables:
Dividends and Interest.................................... 816
Investment Securities Sold................................ 190
Fund Shares Sold.......................................... 718
--------
Total Assets............................................ 356,697
--------
LIABILITIES:
Payable for Investment Securities Purchased................. 6,675
Payable for Fund Shares Redeemed............................ 131
Accrued Expenses and Other Liabilities...................... 203
--------
Total Liabilities....................................... 7,009
--------
NET ASSETS.................................................. $349,688
========
Investments at Cost......................................... $322,609
========
</TABLE>
See accompanying Notes to Financial Statements.
13
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE EMERGING MARKETS 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
$507)......................................... $ 3,722
Interest........................................ 272
--------
Total Investment Income..................... 3,994
--------
EXPENSES
Investment Advisory Services.................... 189
Accounting & Transfer Agent Fees................ 208
Custodian's Fee................................. 403
Legal Fees...................................... 2
Audit Fees...................................... 2
Shareholders' Reports........................... 4
Trustees' Fees and Expenses..................... 1
Other........................................... 8
--------
Total Expenses.............................. 817
--------
NET INVESTMENT INCOME........................... 3,177
--------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY
Net Realized Gain on Investment Securities
Sold.......................................... 12,806
Net Realized Loss on Foreign Currency
Transactions.................................. (117)
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign Currency.... (22,618)
Translation of Foreign Currency and
Denominated Amounts.......................... 14
--------
NET LOSS ON INVESTMENT SECURITIES AND FOREIGN
CURRENCY...................................... (9,915)
--------
NET DECREASE IN NET ASSETS RESULTING FROM
OPERATIONS...................................... $ (6,738)
========
</TABLE>
See accompanying Notes to Financial Statements.
14
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE EMERGING MARKETS SERIES
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..................................... $ 3,177 $ 3,816
Net Realized Gain (Loss) on Investment Securities Sold.... 12,806 (3,653)
Net Realized Loss on Foreign Currency Transactions........ (117) (223)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.............. (22,618) 121,183
Translation of Foreign Currency Denominated Amounts..... 14 2
-------- --------
Net Increase (Decrease) in Net Assets Resulting from
Operations............................................ (6,738) 121,125
-------- --------
Transactions in Interest:
Contributions............................................. 32,642 33,845
Withdrawals............................................... (20,391) (42,427)
-------- --------
Net Increase (Decrease) From Transactions in Interest... 12,251 (8,582)
-------- --------
Total Increase.......................................... 5,513 112,543
NET ASSETS
Beginning of Period....................................... 344,175 231,632
-------- --------
End of Period............................................. $349,688 $344,175
======== ========
</TABLE>
See accompanying Notes to Financial Statements.
15
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE EMERGING MARKETS 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
----------- --------- --------- --------- --------- ---------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period.... N/A+ N/A+ N/A+ N/A+ 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................. -- -- -- -- -- --
--------- -------- -------- -------- -------- --------
Net Asset Value, End of Period.......... N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
========= ======== ======== ======== ======== ========
Total Return............................ N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
Net Assets, End of Period (thousands)... $ 349,688 $344,175 $231,632 $220,941 $162,075 $ 49,351
Ratio of Expenses to Average Net
Assets................................ 0.43%* 0.46% 0.53% 0.54% 0.66% 0.87%
Ratio of Net Investment Income to
Average Net Assets.................... 1.68%* 1.34% 1.66% 1.63% 1.63% 1.70%
Portfolio Turnover Rate................. 13%* 16% 10% 1% 0% 8%
</TABLE>
<TABLE>
<C> <S>
--------------------------------------------------------------------------------
* Annualized
+ Not applicable as The Emerging Markets 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 offers twenty-one series, of which The Emerging Markets 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 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 Directors.
2. FOREIGN CURRENCY TRANSLATION: Securities, other assets and liabilities
of The Emerging Markets Series whose values are initially expressed in foreign
currencies are translated to U.S. dollars at the bid 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 and exchange
gains or losses are realized upon ultimate receipt or disbursement.
3. FEDERAL INCOME TAXES: The Series is treated as a partnership for
federal income tax purposes. Any interest, dividends and gains or losses of the
Series will be deemed to have been "passed through" to its Feeder Funds.
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
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.
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
17
<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 a 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 0.10 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................................................... $9,256
Sales....................................................... 514
</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............................... $105,581
Gross Unrealized Depreciation............................... (74,740)
--------
Net....................................................... $ 30,841
========
</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. There were no borrowings under the line of credit
by the Series during the six months ended May 31, 2000.
18
