<PAGE>
- --------------------------------------------------------------------------------
Dimensional Investment Group Inc.
Emerging Markets Portfolio II
Annual Report
Year Ended November 30, 1999
-------------------------------------
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
EMERGING MARKETS PORTFOLIO II
ANNUAL REPORT
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
----
<S> <C>
DIMENSIONAL INVESTMENT GROUP INC.
Performance Chart................................................... 1
Statement of Assets and Liabilities................................. 2
Statement of Operations............................................. 3
Statements of Changes in Net Assets................................. 4
Financial Highlights................................................ 5
Notes to Financial Statements....................................... 6-7
Report of Independent Accountants................................... 8
THE DFA INVESTMENT TRUST COMPANY -- THE EMERGING MARKETS SERIES
Performance Chart................................................... 9
Schedule of Investments............................................. 10-16
Statement of Assets and Liabilities................................. 17
Statement of Operations............................................. 18
Statements of Changes in Net Assets................................. 19
Financial Highlights................................................ 20
Notes to Financial Statements....................................... 21-22
Report of Independent Accountants................................... 23
</TABLE>
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHART
- --------------------------------------------------------------------------------
EMERGING MARKETS PORTFOLIO II VS.
MSCI EMERGING MARKETS FREE INDEX
SEPTEMBER 1997-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000
<S> <C> <C>
EMERGING MARKETS PORTFOLIO II MSCI EMERGING MARKETS FREE INDEX
$9,950 $10,000
Sep-97 $10,366 $10,261
Oct-97 $8,848 $8,569
Nov-97 $8,432 $8,251
Dec-97 $8,373 $8,431
Jan-98 $8,226 $7,763
Feb-98 $9,021 $8,569
Mar-98 $9,350 $8,912
Apr-98 $9,202 $8,798
May-98 $8,147 $7,565
Jun-98 $7,432 $6,756
Jul-98 $7,738 $6,946
Aug-98 $5,787 $4,912
Sep-98 $5,809 $5,210
Oct-98 $6,763 $5,752
Nov-98 $7,455 $6,224
Dec-98 $7,673 $6,111
Jan-99 $7,500 $6,008
Feb-99 $7,581 $6,062
Mar-99 $8,270 $6,842
Apr-99 $9,774 $7,678
May-99 $9,786 $7,610
Jun-99 $10,727 $8,457
Jul-99 $10,566 $8,215
Aug-99 $10,531 $8,284
Sep-99 $10,198 $7,993
Oct-99 $10,589 $8,156
Nov-99 $11,577 $8,884
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FROM
TOTAL RETURN (%) YEAR SEPTEMBER 1997
--------------------------------------------
<S> <C> <C>
54.52 6.72
</TABLE>
- - THE PORTFOLIO INVESTS IN THE EMERGING MARKETS SERIES OF THE DFA INVESTMENT
TRUST COMPANY WHICH IN TURN PROVIDES ACCESS TO NON-U.S. LARGE COMPANIES IN
"EMERGING MARKET" COUNTRIES INCLUDING ARGENTINA, BRAZIL, CHILE, GREECE,
INDONESIA, ISRAEL, MALAYSIA, MEXICO, PHILIPPINES, PORTUGAL, SOUTH KOREA,
THAILAND, AND TURKEY.
- - THE PORTFOLIO'S RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF AN
EQUALLY-WEIGHTED EMERGING MARKETS COUNTRY PORTFOLIO.
Past performance is not predictive of future performance.
MSCI Emerging Markets Free Index courtesy of Morgan Stanley Capital
International Index.
- --------------------------------------------------------------------------------
1
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
EMERGING MARKETS PORTFOLIO II
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 1999
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<TABLE>
<S> <C>
ASSETS:
Investment in The Emerging Markets Series of The DFA
Investment Trust Company (Cost $11,282)++ at Value........ $ 13,457
Receivable from Sponsor..................................... 6
Receivable for Investment Securities Sold................... 1,344
Prepaid Expenses and Other Assets........................... 28
----------
Total Assets............................................ 14,835
----------
LIABILITIES:
Payable for Fund Shares Redeemed............................ 1,344
Accrued Expenses and Other Liabilities...................... 15
----------
Total Liabilities....................................... 1,359
----------
NET ASSETS.................................................. $ 13,476
==========
SHARES OUTSTANDING, $.01 PAR VALUE
(Authorized 200,000,000).................................. 1,336,869
==========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE.... $ 10.08
==========
NET ASSETS CONSIST OF:
Paid-In Capital............................................. 14,016
Undistributed Net Investment Income......................... 2
Accumulated Net Realized Loss............................... (2,711)
Accumulated Net Realized Foreign Exchange Loss.............. (6)
Unrealized Appreciation of Investment Securities............ 2,175
----------
Total Net Assets........................................ $ 13,476
==========
</TABLE>
<TABLE>
<C> <S>
- --------------------------------------------------------------------------------
++ The cost for federal income tax purposes is $11,507.
</TABLE>
See accompanying Notes to Financial Statements.
2
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
EMERGING MARKETS PORTFOLIO II
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1999
(AMOUNTS IN THOUSANDS)
<TABLE>
<S> <C>
INVESTMENT INCOME
Net Investment Income from The DFA Investment
Trust Company................................. $ 128
-------
EXPENSES
Administrative Services......................... 42
Accounting & Transfer Agent Fees................ 9
Filing Fees..................................... 12
Shareholders' Reports........................... 2
Other........................................... 7
-------
Total Expenses.............................. 72
Less: Fees Waived............................... (42)
-------
Net Expenses................................ 30
-------
NET INVESTMENT INCOME........................... 98
-------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net Realized Loss on Investment Securities...... (1,540)
Net Realized Loss on Foreign Currency
Transactions.................................. (6)
Change in Unrealized Appreciation of:
Investment Securities......................... 5,703
-------
NET GAIN ON INVESTMENT SECURITIES............... 4,157
-------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS...................................... $ 4,255
=======
</TABLE>
See accompanying Notes to Financial Statements.
3
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
EMERGING MARKETS PORTFOLIO II
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
YEAR YEAR
ENDED ENDED
NOV. 30, NOV. 30,
1999 1998
-------- --------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income..................................... $ 98 $ 80
Net Realized Loss on Investment Securities................ (1,540) (1,170)
Net Realized Loss on Foreign Currency Transactions........ (6) (15)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities................................... 5,703 (334)
Translation of Foreign Currency Denominated Amounts..... -- 1
------- -------
Net Increase (Decrease) in Net Assets Resulting from
Operations............................................. 4,255 (1,438)
------- -------
Distributions From:
Net Investment Income..................................... (76) (74)
Net Realized Gains........................................ -- (2)
------- -------
Total Distributions..................................... (76) (76)
------- -------
Capital Share Transactions (1):
Shares Issued............................................. 6,536 1,745
Shares Issued in Lieu of Cash Distributions............... 76 76
Shares Redeemed........................................... (3,738) (2,925)
------- -------
Net Increase (Decrease) From Capital Share
Transactions........................................... 2,874 (1,104)
Capital Contribution from Sponsor........................... 86 97
------- -------
Total Increase (Decrease)............................... 7,139 (2,521)
NET ASSETS
Beginning of Period....................................... 6,337 8,858
------- -------
End of Period............................................. $13,476 $ 6,337
======= =======
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................................ 1,084 243
Shares Issued in Lieu of Cash Distributions.............. 12 11
Shares Redeemed.......................................... (723) (471)
------- -------
373 (217)
======= =======
</TABLE>
See accompanying Notes to Financial Statements.
4
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
EMERGING MARKETS PORTFOLIO II
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
YEAR YEAR AUG. 15
ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997
-------- -------- --------
<S> <C> <C> <C>
Net Asset Value, Beginning of Period........................ $ 6.57 $ 7.50 $10.00
------- ------ ------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss).............................. 0.09 0.07 (0.01)
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................. 3.50 (0.94) (2.49)
------- ------ ------
Total from Investment Operations........................ 3.59 (0.87) (2.50)
------- ------ ------
LESS DISTRIBUTIONS
Net Investment Income..................................... (0.08) (0.06) --
Net Realized Gains........................................ -- -- --
------- ------ ------
Total Distributions..................................... (0.08) (0.06) --
------- ------ ------
Net Asset Value, End of Period.............................. $ 10.08 $ 6.57 $ 7.50
======= ====== ======
Total Return................................................ 55.31% 9.76% (25.00)%#
Net Assets, End of Period (thousands)....................... $13,476 $6,337 $8,858
Ratio of Expenses to Average Net Assets (1)(a)............ 0.76% 1.21% 1.35%
Ratio of Expenses to Average Net Assets (excluding waivers
and assumption of expenses) (1)(a)...................... 1.16% 1.61% 1.75%*
Ratio of Net Investment Income to Average Net Assets
(a)..................................................... 0.94% 1.00% (0.20)%*
Ratio of Net Investment Income to Average Net Assets
(excluding waivers and assumption of expenses) (a)...... 0.54% 0.60% (0.60)%
Portfolio Turnover Rate................................... N/A N/A N/A
Portfolio Turnover Rate of Master Fund Series............. 15.59% 9.76% 0.54%(b)
</TABLE>
<TABLE>
<C> <S>
- --------------------------------------------------------------------------------
* 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.
5
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund currently consists of 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
November 30, 1999, 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 the preparation of its financial
statements. The preparation of financial statements in accordance with generally
accepted accounting principles may require management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
1. SECURITY VALUATION: The 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 component of net assets may be adjusted for current period
permanent book/tax differences which arose principally from differing book/tax
treatments of net short-term capital gain distributions from The DFA Investment
Trust Company and/or foreign currency and foreign taxes on capital gains.
Expenses directly attributable to the Portfolio or to the Series are directly
charged. Common expenses are allocated using methods determined by the Board of
Directors.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("DFA" or the "Advisor") provides
administrative services to the Portfolio, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors, and other administrative services. The Advisor provides investment
advisory services to the Series. For the year ended November 30, 1999, the
Portfolio's administrative fees were computed 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 the
year ended November 30, 1999 the Advisor waved fees in the amount of $42,000.
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
See accompanying Notes to Financial Statements.
6
<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 November 30, 1999, gross unrealized appreciation and depreciation for
federal income tax purposes of investment securities was as follows (amounts in
thousands):
<TABLE>
<S> <C>
Gross Unrealized Appreciation............................... $ 3,270
Gross Unrealized Depreciation............................... (1,320)
-------
Net....................................................... $ 1,950
=======
</TABLE>
At November 30, 1999, the Portfolio had a capital loss carryover for federal
income tax purposes of approximately $2,577,000 of which $1,045,000 and
$1,532,000 expire on November 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 year ended November 30, 1999.
See accompanying Notes to Financial Statements.
7
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE SHAREHOLDERS AND BOARD OF DIRECTORS OF
DIMENSIONAL INVESTMENT GROUP INC.:
In our opinion, the accompanying statement of assets and liabilities, and
the related statements of operations and of changes in net assets and the
financial highlights present fairly, in all material respects, the financial
position of Emerging Markets Portfolio II (constituting a portfolio within the
Dimensional Investment Group Inc., hereafter referred to as the "Fund") at
November 30, 1999, and the results of its operations for the year then ended,
the changes in its net assets for each of the two years in the period then ended
and the financial highlights for each of the periods presented, in conformity
with generally accepted accounting principles. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Fund's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with generally accepted
auditing standards, which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at November 30, 1999 by
correspondence with the custodian, provide a reasonable basis for the opinion
expressed above.
PricewaterhouseCoopers LLP
2400 Eleven Penn Center
Philadelphia, Pennsylvania
January 14, 2000
8
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHART
- --------------------------------------------------------------------------------
EMERGING MARKETS SERIES VS.
MSCI EMERGING MARKETS FREE INDEX
MAY 1994-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000
<S> <C> <C>
EMERGING MSCI EMERGING
MARKETS SERIES MARKETS FREE INDEX
$9,850 $10,000
May-94 $10,175 $10,320
Jun-94 $10,057 $10,018
Jul-94 $10,805 $10,635
Aug-94 $11,780 $11,942
Sep-94 $11,908 $12,066
Oct-94 $11,564 $11,832
Nov-94 $11,200 $11,204
Dec-94 $10,392 $10,296
Jan-95 $9,427 $9,194
Feb-95 $9,378 $8,950
Mar-95 $9,791 $8,985
Apr-95 $10,274 $9,371
May-95 $11,003 $9,844
Jun-95 $11,072 $9,853
Jul-95 $11,515 $10,059
Aug-95 $11,082 $9,809
Sep-95 $10,875 $9,749
Oct-95 $10,510 $9,367
Nov-95 $10,466 $9,191
Dec-95 $10,783 $9,581
Jan-96 $11,947 $10,253
Feb-96 $11,698 $10,073
Mar-96 $11,798 $10,133
Apr-96 $12,136 $10,502
May-96 $12,136 $10,429
Jun-96 $12,236 $10,472
Jul-96 $11,191 $9,738
Aug-96 $11,509 $9,973
Sep-96 $11,757 $10,045
Oct-96 $11,499 $9,770
Nov-96 $11,907 $9,922
Dec-96 $12,066 $9,954
Jan-97 $13,300 $10,624
Feb-97 $13,469 $11,072
Mar-97 $13,090 $10,754
Apr-97 $12,582 $10,735
May-97 $13,209 $11,014
Jun-97 $13,756 $11,580
Jul-97 $13,775 $11,729
Aug-97 $11,766 $10,223
Sep-97 $12,254 $10,490
Oct-97 $10,444 $8,760
Nov-97 $9,897 $8,435
Dec-97 $9,817 $8,619
Jan-98 $9,639 $7,936
Feb-98 $10,583 $8,760
Mar-98 $10,952 $9,111
Apr-98 $10,783 $8,994
May-98 $9,540 $7,734
Jun-98 $8,694 $6,907
Jul-98 $9,053 $7,101
Aug-98 $6,765 $5,022
Sep-98 $6,775 $5,326
Oct-98 $7,880 $5,880
Nov-98 $8,675 $6,363
Dec-98 $8,924 $6,247
Jan-99 $8,706 $6,142
Feb-99 $8,795 $6,197
Mar-99 $9,591 $6,994
Apr-99 $11,302 $7,849
May-99 $11,292 $7,779
Jun-99 $12,397 $8,646
Jul-99 $12,208 $8,398
Aug-99 $12,158 $8,468
Sep-99 $11,761 $8,171
Oct-99 $12,218 $8,338
Nov-99 $13,342 $9,082
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS MAY 1994
-------------------------------------------------
<S> <C> <C> <C>
53.02 3.25 5.30
</TABLE>
- - THE SERIES PROVIDES ACCESS TO NON-U.S. LARGE COMPANIES IN "EMERGING MARKET"
COUNTRIES INCLUDING ARGENTINA, BRAZIL, CHILE, GREECE, INDONESIA, ISRAEL,
MALAYSIA, MEXICO, PHILIPPINES, PORTUGAL, SOUTH KOREA, THAILAND, AND TURKEY.
- - THE SERIES' RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF AN
EQUALLY-WEIGHTED EMERGING MARKETS COUNTRY PORTFOLIO.
Past performance is not predictive of future performance.
MSCI Emerging Markets Free Index courtesy of Morgan Stanley Capital
International Index.
- --------------------------------------------------------------------------------
9
<PAGE>
THE EMERGING MARKETS SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
SOUTH KOREA -- (14.3%)
COMMON STOCKS -- (14.3%)
Daewoo Securities Co., Ltd............................ 56,445 $ 925,128
*Fidelity Investments Life Insurance, Ltd............. 3,410 18,502
*Hyundai Engineering & Construction Co., Ltd.......... 119,254 648,092
*Hyundai Motor Co., Ltd............................... 95,919 1,944,444
*Hyundai Securities Co., Ltd.......................... 45,805 1,137,963
Kookmin Bank.......................................... 205,128 3,415,113
Korea Electric Power Corp............................. 118,650 4,708,130
LG Chemical, Ltd...................................... 68,329 2,039,408
LG Electronics, Inc................................... 75,132 3,363,684
LG Information & Communications, Ltd.................. 21,211 2,506,713
Pohang Iron & Steel Co., Ltd.......................... 2,580 342,739
S1 Corporation........................................ 1,944 388,213
SK Corp., Ltd......................................... 62,878 1,583,815
SK Telecom Co., Ltd................................... 668 385,933
Samsung Display Devices, Ltd.......................... 32,478 1,731,413
Samsung Electro-Mechanics Co., Ltd.................... 51,654 4,010,230
Samsung Electronics Co., Ltd.......................... 77,688 16,083,777
Samsung Fire and Marine Insurance, Ltd................ 25,650 1,139,508
Shinhan Bank Co., Ltd................................. 158,242 1,842,801
*Ssangyong Investment Securities Co., Ltd............. 52,660 359,773
Ssangyong Oil Refining Co., Ltd....................... 32,080 788,685
------------
TOTAL COMMON STOCKS
(Cost $16,880,335)................................... 49,364,064
------------
RIGHTS/WARRANTS -- (0.0%)
*SK Corp., Ltd. Rights 12/08/99
(Cost $0)........................................... 15,325 154,671
------------
TOTAL -- SOUTH KOREA
(Cost $16,880,335)................................... 49,518,735
------------
THAILAND -- (9.8%)
COMMON STOCKS -- (9.8%)
*Adkinson Securities Public Co., Ltd. (Foreign)....... 2,100 2,141
*Advance Agro Public Co., Ltd. (Foreign).............. 1,030,130 515,131
*Advanced Info Service Public Co., Ltd. (Foreign)..... 593,100 8,486,972
*Amarin Plaza Public Co., Ltd. (Foreign).............. 7,400 2,135
Ayudhya Insurance Public Co., Ltd. (Foreign).......... 1,000 2,693
BEC World Public Co., Ltd. (Foreign).................. 132,700 809,913
*Bangkok Expressway Public Co., Ltd. (Foreign)........ 2,333,000 1,061,949
*Bangkok Metropolitan Bank Public Co., Ltd.
(Foreign)........................................... 1 0
*Bangkok Rubber Public Co., Ltd. (Foreign)............ 14,600 2,284
*Bank of Asia Public Co., Ltd. (Foreign).............. 21,450 9,901
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Bank of Ayudhya Public Co., Ltd. (Foreign)........... 1,576,500 $ 515,460
*Berli Jucker Public Co., Ltd. (Foreign).............. 10,100 11,785
Delta Electronics (Thailand) Public Co., Ltd.
(Foreign)........................................... 317,415 3,581,548
*Five Stars Property Public Co., Ltd. (Foreign)....... 3,800 507
*International Broadcasting Corp. Public Co., Ltd.
(Foreign)........................................... 11,270 8,020
*International Cosmetics Public Co., Ltd. (Foreign)... 3,500 5,834
*International Engineering Public Co., Ltd.
(Foreign)........................................... 2,000 551
*Kiatnakin Finance and Securities Public Co., Ltd.
(Foreign)........................................... 12,800 14,443
*Krung Thai Bank Public Co., Ltd. (Foreign)........... 9,972,670 3,836,130
*Land and House Public Co., Ltd. (Foreign)............ 2,891 2,891
*MK Real Estate Development Public Co., Ltd.
(Foreign)........................................... 2,925 956
Mutual Fund Public Co., Ltd. (Foreign)................ 500 590
*National Finance and Securities Public Co., Ltd.
(Foreign)........................................... 630,150 230,276
*Padaeng Industry Public Co., Ltd (Foreign)........... 7,800 1,900
*Regional Container Lines Public Co., Ltd.
(Foreign)........................................... 1,500 1,808
*Robinson Department Store Public Co., Ltd.
(Foreign)........................................... 24,700 2,344
*Sammakorn Public Co., Ltd. (Foreign)................. 7,500 2,981
*Sanyo Universal Electric Public Co., Ltd.
(Foreign)........................................... 6,500 1,667
Serm Suk Public Co., Ltd. (Foreign)................... 1,000 3,359
*Shinawatra Computer and Communications Public Co.,
Ltd. (Foreign)...................................... 581,000 3,695,034
*Siam Cement Public Co., Ltd. (Foreign)............... 27,000 783,792
*Siam City Cement Public Co., Ltd. (Foreign).......... 354,813 1,683,301
*Siam Commercial Bank Public Co., Ltd. (Foreign)...... 958,166 1,025,859
Siam Makro Public Co., Ltd. (Foreign)................. 727,100 1,230,633
*Sino-Thai Engineering and Construction Public Co.,
Ltd. (Foreign)...................................... 2,900 855
*Srithai Superware Public Co., Ltd. (Foreign)......... 16,400 7,781
*Telecomasia Corp. Public Co., Ltd. (Foreign)......... 4,574,500 4,516,427
*Thai Danu Bank Public Co., Ltd. (Foreign)............ 201,800 89,269
*Thai German Ceramic Industry Public Co., Ltd.
(Foreign)........................................... 11,100 3,487
</TABLE>
10
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Thai Military Bank Public Co., Ltd. (Foreign)........ 1,935,500 $ 645,249
*Thai Petrochemical Industry Public Co., Ltd.
(Foreign)........................................... 2,768,960 1,260,394
------------
TOTAL COMMON STOCKS
(Cost $33,109,731)................................... 34,058,250
------------
RIGHTS/WARRANTS -- (0.0%)
*Krisda Mahanakor Public Co., Ltd. Rights 12/24/99
(Cost $0)........................................... 31,222 793
------------
TOTAL -- THAILAND
(Cost $33,109,731)................................... 34,059,043
------------
GREECE -- (8.5%)
COMMON STOCKS -- (8.5%)
Alpha Credit Bank..................................... 13,972 1,121,423
Alpha Finance S.A..................................... 7,170 608,208
Altec Information & Communication Systems S.A......... 80,805 2,058,308
*Aspis Pronia General Insurance S.A................... 14,550 396,700
Athens Medical Center S.A............................. 29,334 1,642,696
Attica Enterprises S.A. Holdings...................... 111,701 2,118,163
Bank of Attica S.A.................................... 51,135 1,174,869
*Bank of Macedonia and Thrace S.A..................... 60,750 1,423,697
Bank of Piraeus S.A................................... 32,880 813,866
Delta Informatics S.A................................. 33,600 884,183
Ergo Bank S.A......................................... 3,830 361,259
Ethniki General Insurance Co.......................... 43,944 2,044,877
General Hellenic Bank................................. 11,790 1,354,064
Halkor S.A............................................ 56,800 1,277,186
Hellenic Bottling Co., S.A............................ 31,170 744,803
Heracles General Cement Co............................ 39,060 1,254,017
Intracom S.A.......................................... 48,096 2,126,844
Intrasoft S.A......................................... 25,590 1,951,998
Maillis (M.J.) S.A.................................... 36,940 1,329,672
Mytilineos Holdings S.A............................... 99,660 1,898,983
National Investment Bank for Industrial Development... 1,000 353,154
Silver & Baryte Ores Mining Co. S.A................... 15,260 635,775
Titan Cement Co....................................... 13,130 1,544,563
Xiosbank S.A.......................................... 7,560 180,645
------------
TOTAL -- GREECE
(Cost $17,361,104)................................... 29,299,953
------------
TURKEY -- (8.2%)
COMMON STOCKS -- (8.2%)
Akbank................................................ 194,495,001 3,078,343
Akcansa Cimento Sanayi ve Ticaret A.S................. 29,601,300 445,656
*Aksa................................................. 7,151,119 217,395
Aksigorta A.S......................................... 8,100,000 324,413
*Aktas Elektrik Ticaret A.S........................... 685,000 121,639
*Alarko Holding....................................... 9,653,051 316,744
Arcelik A.S........................................... 25,206,732 1,179,840
*Aygaz................................................ 3,888,960 427,861
*Bekoteknik Sanayi A.S................................ 8,829,536 141,453
Bossa Ticaret ve Sanayi Isletmeleri A.S............... 17,250,000 69,920
Brisa Bridgestone Sanbanci Lastik San & Tic A.S....... 6,202,000 227,447
<CAPTION>
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<S> <C> <C>
CIMSA A.S. (Cimento Sanayi ve Ticaret)................ 11,820,000 $ 205,331
*Cimentas A.S......................................... 2,074,064 60,049
Cukurova Elektrik A.S................................. 389,000 292,826
Dogan Sirketler Grubu Holdings A.S.................... 51,738,680 848,846
*Doktas............................................... 544,000 6,720
EGE Biracilik ve Malt Sanayi A.S...................... 9,187,224 412,289
*Eczacibasi Ilac...................................... 8,523,760 116,811
Enka Holding.......................................... 1,815,734 525,700
*Erciyas Biracilik.................................... 9,332,640 324,244
*Eregli Demir ve Celik Fabrikalari Turk A.S........... 34,503,000 965,650
*Good Year Lastikleri A.S............................. 3,726,875 52,513
Guney Biracilik....................................... 3,516,240 89,927
Hurriyet Gazette...................................... 25,601,550 326,141
*Ihlas Holding........................................ 2,022,085 103,428
*Izmir Demir Celik.................................... 10,231,500 34,066
Kartonsan............................................. 717,500 29,775
Kepez Elektrik Ticaret A.S............................ 63,000 44,992
Koc Holding A.S....................................... 24,933,996 3,176,366
Kordsa Kord Bezi Sanayi ve Ticaret A.S................ 8,855,000 183,735
Migros Turk A.S....................................... 2,202,675 903,450
Netas Northern Electric Telekomunikasyon A.S.......... 5,044,000 292,073
*Otosan Otomobil A.S.................................. 21,546,000 488,652
*Raks Elektroniks A.S................................. 4,536,000 6,479
Sarkuysan Elektrolitik Bakir Sanayi A.S............... 2,800,704 50,274
T. Tuborg Bira ve Malt Sanayi A.S..................... 731,250 6,493
*Tat Konserve......................................... 5,041,538 58,386
Teletas Telekomunikasyon Endustri Ticaret A.S......... 1,400,000 156,730
*Tofas Turk Otomobil Fabrikasi A.S.................... 49,403,969 309,913
*Trakya Cam Sanayii A.S............................... 15,468,157 289,604
*Turk Demir Dokum..................................... 8,329,972 77,176
Turk Siemens Kablo ve Elektrik Sanayi A.S............. 420,500 27,190
Turk Sise Cam......................................... 23,276,958 305,513
*Turkiye Garanti Bankasi A.S.......................... 187,202,870 2,023,463
Turkiye Is Bankasi A.S. Series C...................... 220,951,500 5,224,296
*USAS (Ucak Servisi A.S.)............................. 42,500 41,836
*Vestel Elektronik Sanayi Ticaret A.S................. 3,112,000 420,467
Yapi ve Kredi Bankasi A.S............................. 186,703,298 3,423,500
------------
TOTAL -- TURKEY
(Cost $12,198,070)................................... 28,455,615
------------
ISRAEL -- (8.0%)
COMMON STOCKS -- (8.0%)
Africa-Israel Investments, Ltd........................ 2,840 235,045
Africa-Israel Investments, Ltd........................ 155 128,282
Agis Industries (1983), Ltd........................... 21,736 149,053
*American Israeli Paper Mills, Ltd.................... 3,291 194,550
Bank Hapoalim B.M..................................... 1,196,240 3,156,799
Bank Leumi Le-Israel.................................. 1,373,369 2,529,817
*Bezek, Ltd........................................... 701,438 3,300,705
Blue Square Chain Stores Properties Investment........ 29,303 402,580
CLAL Electronics Industries, Ltd...................... 3,579 606,800
CLAL Industries, Ltd.................................. 135,350 982,564
CLAL Insurance, Ltd................................... 38,684 530,547
Clal Israel, Ltd...................................... 29,607 980,146
</TABLE>
11
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THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Delek Israel.......................................... 4,584 $ 185,572
*Elbit Medical Imaging................................ 17,319 137,193
Elbit Systems, Ltd.................................... 17,319 248,176
Elbit, Ltd............................................ 17,320 236,723
Elite Industries, Ltd................................. 5,700 296,525
Elron Electronic Industries, Ltd...................... 19,701 500,339
First International Bank of Israel.................... 48,660 276,152
First International Bank of Israel, Ltd............... 347,200 389,976
IDB Bankholding Corp., Ltd............................ 36,578 1,122,700
IDB Development Corp., Ltd. Series A.................. 43,928 1,451,116
Industrial Building Corp., Ltd........................ 277,150 412,876
Israel Chemicals, Ltd................................. 1,165,326 1,184,896
Israel Corp. Series A................................. 5,500 667,182
Koor Industries, Ltd.................................. 16,466 1,631,423
Leumi Holdings Insurance.............................. 279,107 226,375
*M.A.Industries, Ltd.................................. 162,937 283,571
Matav Cable Israel.................................... 19,027 471,965
Osem Investment, Ltd.................................. 77,343 466,365
Property and Building Corp., Ltd...................... 3,973 382,364
Super-Sol, Ltd. Series B.............................. 210,226 631,327
*Tambour.............................................. 26,898 47,703
Teva Pharmaceutical Industries, Ltd................... 60,410 3,342,636
------------
TOTAL COMMON STOCKS
(Cost $19,342,313)................................... 27,790,043
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Israel Shekel
(Cost $2)........................................... 2
------------
TOTAL -- ISRAEL
(Cost $19,342,315)................................... 27,790,045
------------
MALAYSIA -- (8.0%)
COMMON STOCKS -- (8.0%)
AMMB Holdings Berhad 7.5% Unsecured Loan Stock 1999... 2,000 358
Amsteel Corp. Berhad.................................. 264,000 48,632
*Aokam Perdana Berhad................................. 333 1,617
Ban Hin Lee Bank Berhad............................... 20,000 37,368
Bandar Raya Developments Berhad....................... 23,000 10,895
Batu Kawan Berhad..................................... 151,000 166,895
Berjaya Group Berhad.................................. 94,000 20,408
Berjaya Land Berhad................................... 91,000 38,076
Berjaya Sports Toto Berhad............................ 79,000 163,197
Carlsberg Brewery Malaysia Berhad..................... 79,000 226,605
Commerce Asset Holding Berhad......................... 230,000 502,368
Country Heights Holdings Berhad....................... 40,000 45,053
DCB Sakura Merchant New Shares........................ 4,100 2,643
Genting Berhad........................................ 259,000 899,684
Golden Hope Plantations Berhad........................ 521,000 444,221
Guiness Anchor Berhad................................. 105,000 107,763
Highlands and Lowlands Berhad......................... 314,000 184,268
Hong Leong Bank Berhad................................ 213,125 269,211
Hong Leong Credit Berhad.............................. 232,300 288,541
IOI Corp. Berhad...................................... 439,000 241,450
Jaya Tiasa Holdings Berhad............................ 96,000 168,000
Kuala Lumpur Kepong Berhad............................ 293,500 386,184
*Land - General Berhad................................ 35,000 15,013
*Leisure Management Berhad............................ 35,000 71,382
Lion Land Berhad...................................... 1,000 221
*MBF Holdings Berhad.................................. 141,000 7,607
Magnum Corp. Berhad................................... 779,500 570,266
<CAPTION>
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<S> <C> <C>
Malakoff Berhad....................................... 103,000 $ 243,947
Malayan Banking Berhad................................ 846,000 2,894,211
*Malayan United Industries Berhad..................... 70,000 16,947
Malaysian Airlines System............................. 298,000 255,653
Malaysian International Shipping Corp. (Foreign)...... 85,666 127,372
Malaysian Oxygen Berhad............................... 22,000 45,158
Malaysian Pacific Industries.......................... 28,000 148,105
*Multi-Purpose Holdings Berhad........................ 86,000 36,663
Nestle (Malaysia) Berhad.............................. 121,000 468,079
Oriental Holdings Berhad.............................. 167,880 357,849
Oyl Industries Berhad................................. 47,000 105,750
Perlis Plantations Berhad............................. 190,500 202,532
Perusahaan Otomobil Nasional Berhad................... 282,000 486,079
Petronas Dagangan Berhad.............................. 147,000 151,642
Petronas Gas Berhad................................... 943,000 1,910,816
*Phileo Land Berhad................................... 27,000 22,595
Public Bank Berhad (Foreign).......................... 1,107,799 1,107,799
*RHB Capital Berhad................................... 867,000 784,863
RJ Reynolds Berhad.................................... 135,000 143,526
Ramatex Berhad........................................ 222,000 185,779
*Rashid Hussain Berhad................................ 50,000 36,974
*Renong Berhad........................................ 460,000 253,000
Resorts World Berhad.................................. 567,000 1,521,947
Rothmans of Pall Mall Malaysia Berhad................. 148,000 1,051,579
Sarawak Enterprise Corp. Berhad....................... 412,000 248,284
Shell Refining Co. Federation of Malaysia Berhad...... 156,000 159,284
*Silverstone Berhad................................... 9,240 0
Sime Darby Berhad (Malaysia).......................... 1,208,800 1,425,112
Southern Bank Berhad (Foreign)........................ 114,750 100,859
Technology Resources (Industries) Berhad.............. 264,000 136,168
Telekom Malaysia Berhad............................... 1,305,000 4,121,053
Tenaga Nasional Berhad................................ 1,146,000 2,533,263
*Time Engineering Berhad.............................. 276,000 71,905
Tractors Malaysia Holdings Berhad..................... 22,000 12,737
*United Engineering (Malaysia) Berhad................. 165,198 254,318
YTL Corp. Berhad...................................... 749,100 1,222,216
------------
TOTAL COMMON STOCKS
(Cost $35,214,175)................................... 27,761,990
------------
RIGHTS/WARRANTS -- (0.0%)
*United Engineering (Malaysia) Berhad Warrants
10/28/02............................................ 33,039 0
*YTL Corp. Berhad Warrants 06/26/09................... 4,000 2,242
------------
TOTAL RIGHTS/WARRANTS
(Cost $395).......................................... 2,242
------------
TOTAL -- MALAYSIA
(Cost $35,214,570)................................... 27,764,232
------------
BRAZIL -- (7.8%)
PREFERRED STOCKS -- (5.8%)
Aracruz Celulose SA Series B.......................... 311,999 636,663
Banco Bradesco SA..................................... 185,571,118 1,038,459
Banco do Brasil SA.................................... 126,670,000 698,956
*Banco do Estado de Sao Paulo SA...................... 2,500,000 81,337
Banco Itau SA......................................... 35,500,000 2,235,879
*Brasiliero de Petroleo Ipiranga...................... 12,300,000 121,014
Brasmotor SA.......................................... 600,000 60,131
</TABLE>
12
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
COFAP (Cia Fabricadora de Pecas)...................... 5,100 $ 0
Centrais Electricas de Santa Catarin Celesc
Series B............................................ 180,000 74,024
Cervejaria Brahma..................................... 2,490,767 1,602,588
Cia Siderurgica Belgo-Mineira......................... 970,000 48,475
Cia Vale do Rio Doce Series A......................... 121,160 2,918,295
Cimento Portland Itau................................. 860,000 110,130
Companhia Brasileira de Distribuicao Pao de Acucar.... 8,330,000 222,017
*Companhia Siderurgica de Tubarao Sid Tubarao......... 15,120,000 214,796
Copene-Petroquimica do Nordeste SA Series A........... 624,000 150,396
Coteminas Cia Tecidos Norte de Minas.................. 910,000 71,056
Duratex SA............................................ 2,900,000 90,577
*Electropaulo Electrecidade Metropolitana............. 8,395,000 436,966
Embratel Participacoes SA............................. 38,582,922 743,134
Ericsson Telecomunicacoes SA.......................... 15,480,000 177,282
IKPC Industrias Klabin de Papel e Celulose SA......... 176,875 114,172
*Inepar Energia SA.................................... 9,561 2
*Inepar SA Industria e Construcoes.................... 19,760,001 45,465
*Inepar-Fem Equipamentos e Montagem SA................ 11,856 586
Investimentos Itau SA................................. 1,280,000 946,169
Investimentos Itau SA................................. 32,633 24,081
Lojas Americanas SA................................... 2,166,794 3,271
*Lojas Renner SA...................................... 800,000 7,496
Multibras Eletrodomesticos SA......................... 315,000 122,982
*Paranapanema SA...................................... 2,120,000 4,028
Sadia Oeste SA Inclusttia e Comercio Soes............. 100,000 74,440
*Sao Carlos Empreendimentos e Participacoes SA........ 2,166,794 3,948
*Seara Alimentos...................................... 23,220,228 9,549
*Serrana SA........................................... 2,450 1,059
*Suzano de Papel e Celulose........................... 54,000 129,307
*Tele Celular Sul Participacoes SA.................... 137,922 279
*Tele Centro Oeste Celular Participacoes SA........... 137,922 190
Tele Centro-Sul Participacoes......................... 45,137,922 627,369
Teleleste Celular Participacoes SA.................... 137,922 85
Telemig Celular Participacoes SA...................... 137,922 228
Telenordeste Celular Participacoes SA................. 137,922 192
Telenorte Celular Participacoes SA.................... 137,922 83
Telenorte Leste Participacoes SA...................... 80,567,922 1,467,914
Telesp Celular Participacoes.......................... 85,037,922 973,438
Telesp Celular Participacoes SA....................... 18,990,000 920,432
Telesp Participacoes SA............................... 61,927,922 1,112,182
Telesudeste Celular Participacoes SA.................. 82,837,922 349,289
USIMINAS (Usinas Siderurgicas de Minas Gerais SA)..... 52,039 220,508
Unibanco Unias de Bancos Brasileiros SA............... 1,500,000 28,852
Unibanco-Uniao de Bancos Brasileiros SA............... 12,963,000 607,321
Usinas Siderurgicas de Minas Gerais................... 325 4,399
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Vale do Rio Doce Series B............................ 81,160 $ 0
Votorantim Celulose e Papel SA........................ 9,467,325 317,334
------------
TOTAL PREFERRED STOCKS
(Cost $18,528,626)................................... 19,848,825
------------
COMMON STOCKS -- (2.0%)
*Acos Especiais Itabira-Acesita Aces.................. 25,963,524 8,109
*Ambev Cia de Bebidas das Americas.................... 252,000 104,945
*Ceval Alimentos SA................................... 11,610,114 21,153
*Cia de Inversiones Luz SA............................ 3,140,000 143,024
*Embraco SA........................................... 130,000 52,108
Embraer Empresa Brasileira de Aeronautica............. 157,000 494,453
Embratel Participacoes................................ 57,550,000 658,781
*Empresa Nasional de Comercio Redito e Participacoes
SAncorpar........................................... 480,000 450
*Gerdau SA............................................ 18,020,000 356,458
Lojas Americanas SA................................... 14,042,476 19,298
*Mannesmann SA........................................ 149,000 9,695
Petroquimica do Sul Copesul........................... 8,276,000 249,873
*Santista Alimentos SA................................ 43,777 10,255
*Sao Carlos Empreendimentos e Participacoes SA........ 14,042,476 23,904
*Serrana SA........................................... 2,054 887
Siderurgica Nacional Sid Nacional..................... 26,651,000 915,646
Souza Cruz Industria e Comercio....................... 101,000 722,927
Tele Celular Sul Participacoes........................ 57,550,000 90,773
Tele Centro Oeste Celular Participacoes............... 57,550,000 71,900
Tele Centro Sul Participacoes SA...................... 57,550,000 533,256
Tele Norte-Leste Participacoes........................ 57,550,000 839,429
Tele Sudeste Celular Participacoes.................... 57,550,000 150,989
Teleleste Celular Participacoes....................... 57,550,000 32,055
Telemig Celular Participacoes......................... 57,550,000 100,959
Telenordeste Celular Participacoes.................... 57,550,000 73,398
Telenorte Celular Participacoes....................... 57,550,000 50,330
Telesp Celular Participacoes SA....................... 57,550,000 397,845
Telesp Participacoes SA............................... 57,550,000 680,051
VSMA (Cia Vidraria Santa Marina)...................... 54,000 57,626
White Martins SA...................................... 334,398 158,407
------------
TOTAL COMMON STOCKS
(Cost $6,568,140).................................... 7,028,984
------------
RIGHTS/WARRANTS -- (0.0%)
*Acesita SA Rights Open Pay Date...................... 13,100,087 0
*Coteminsa Cia Tecidos Norte de Minas Rights
12/20/99............................................ 223,499 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 0
------------
TOTAL -- BRAZIL
(Cost $25,096,766)................................... 26,877,809
------------
MEXICO -- (7.4%)
COMMON STOCKS -- (7.4%)
*Altos Hornos de Mexico S.A........................... 97,000 28,318
Apasco S.A. de C.V.................................... 69,000 459,172
*Carso Global Telecom S.A. de C.V. Telecom
Series A1........................................... 192,000 1,505,565
Cementos de Mexico S.A. de C.V. Series A.............. 241,722 1,180,820
*Cifra S.A. de C.V. Series C.......................... 417,000 733,518
*Cifra S.A. de C.V. Series V.......................... 137,180 258,748
</TABLE>
13
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THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Controladora Comercial Mexicana S.A. de C.V.
Series B............................................ 175,000 $ 185,070
*Desc S.A. de C.V. Series B........................... 295,000 262,584
Desc S.A. de C.V. Series C............................ 6,905 5,897
El Puerto de Liverpool S.A. Series C1................. 339,500 582,802
Empresas ICA Sociedad Controladora S.A. de C.V........ 198,000 124,629
*Empresas la Moderna S.A. de C.V. Series A............ 120,000 640,882
Fomento Economico Mexicano B & D...................... 270,000 1,009,962
*Gruma S.A. de C.V. Series B.......................... 90,406 94,842
*Grupo Carso S.A. de C.V. Series A-1.................. 203,000 942,186
*Grupo Celanese S.A. Series B2........................ 140,000 0
Grupo Financiero Bacomer S.A. de C.V. Series O........ 1,246,380 462,259
*Grupo Financiero Banamex Accival S.A. de C.V.
Series L............................................ 13,187 40,663
*Grupo Financiero Banamex Accival S.A. de C.V.
Series O............................................ 377,000 1,268,386
Grupo Financiero Bancomer S.A. de C.V. Series L....... 7,792 2,642
*Grupo Financiero GBM Atlantico S.A. de C.V.
Series B............................................ 30,000 0
Grupo Financiero Inbursa Series O..................... 239,699 883,918
*Grupo Financiero Serfin S.A. de C.V. Series B........ 249,102 12,934
*Grupo Gigante S.A. Series B.......................... 341,400 168,584
Grupo Industrial Alfa S.A. Series A................... 150,290 651,358
Grupo Industrial Bimbo S.A. de C.V. Series A.......... 392,000 821,635
*Grupo Industrial Maseca S.A. de C.V. Series B........ 229,000 108,227
Grupo Mexico S.A. de C.V. Series B.................... 172,000 710,820
Grupo Modelo S.A. de C.V. Series C.................... 312,000 897,617
*Grupo Televisa S.A. (Certificate Representing
Series A, Series D & Series L)...................... 70,000 1,695,668
*Hylsamex S.A. de C.V. Series B....................... 60,000 174,844
*Industrias Penoles S.A. de C.V....................... 103,000 317,612
Kimberly Clark de Mexico S.A. de C.V. Series A........ 225,000 842,827
Organizacion Soriana S.A. de C.V. Series B............ 150,000 691,428
*Seguros Comercial America S.A. de C.V. Series B...... 63,000 228,982
Telefonos de Mexico S.A. Series A..................... 50,000 237,894
Telefonos de Mexico S.A. Series L..................... 1,521,000 7,035,257
Tubos de Acero de Mexico S.A.......................... 17,000 214,729
Vitro S.A............................................. 121,600 206,168
------------
TOTAL -- MEXICO
(Cost $16,635,653)................................... 25,689,447
------------
PHILIPPINES -- (6.6%)
COMMON STOCKS -- (6.6%)
Aboitiz Equity Ventures, Inc.......................... 7,014,400 362,695
Ayala Corp............................................ 4,968,000 1,187,472
Ayala Land, Inc....................................... 10,952,980 2,591,311
*Belle Corp........................................... 4,916,000 239,805
Far East Bank and Trust Co. (Foreign)................. 1,190,420 2,134,043
*Filinvest Land, Inc.................................. 9,822,000 850,440
<CAPTION>
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<S> <C> <C>
*International Container Terminal Services, Inc....... 1,525,837 $ 126,533
La Tondena Distillers, Inc............................ 693,200 566,394
*Metro Pacific Corp................................... 10,213,860 279,012
Metropolitan Bank & Trust Co.......................... 591,189 4,253,674
Petron Corp........................................... 19,893,000 1,528,362
Philippine Long Distance Telephone Co................. 141,940 2,908,035
*Philippine National Bank............................. 259,975 862,355
SM Prime Holdings, Inc................................ 22,614,000 3,585,141
*Security Bank Corp................................... 320,842 266,064
*Southeast Asia Cement Holdings, Inc.................. 30,190 324
Union Bank of the Philippines......................... 606,500 495,554
Universal Robina Corp................................. 2,871,000 462,160
------------
TOTAL COMMON STOCKS
(Cost $35,340,455)................................... 22,699,374
------------
PREFERRED STOCKS -- (0.0%)
RFM Corp.
(Cost $1,050)....................................... 5,903 756
------------
TOTAL -- PHILIPPINES
(Cost $35,341,505)................................... 22,700,130
------------
ARGENTINA -- (6.5%)
COMMON STOCKS -- (6.5%)
*Acindar Industria Argentina de Aceros SA Series B.... 449,000 736,456
*Alpargatas SA Industrial y Comercial................. 150,000 8,701
*Astra Cia Argentina de Petroleos SA.................. 609,690 1,317,102
Banco de Galicia y Buenos Aires SA Series A........... 476,044 2,437,663
*Banco del Sud Sociedad Anonima Series B.............. 29,000 73,669
Banco Frances del Rio de la Plata SA.................. 212,936 1,648,339
*Banco Frances E. Brasileiro SA New Shares............ 15,273 116,701
Banco Rio de la Plata SA.............................. 150,000 960,125
*Buenos Aires Embotelladora SA Series B............... 100 470
*CIADEA SA............................................ 76,559 91,883
*Capex SA Series A.................................... 37,102 192,955
*Celulosa Argentina SA Series B....................... 37,500 8,401
Central Costanera SA Series B......................... 50,000 113,515
Central Puerto SA Series B............................ 16,000 27,684
*Garovaglio y Zorraquin SA............................ 28,000 18,622
*Gas Natural SA, Buenos Aires......................... 25,000 46,256
*Indupa SA Industrial y Comercial..................... 270,366 236,331
Irsa Inversiones y Representaciones SA................ 198,574 635,519
*Juan Minetti SA...................................... 187,983 498,220
Ledesma SA............................................ 135,378 87,872
Metrogas SA Series B.................................. 403,115 362,851
*Molinos Rio de la Plata SA Series B.................. 275,287 674,541
Naviera Perez Companc SA Series B..................... 705,429 3,746,315
Nobleza-Piccardo Sdad Industrial Comercial y
Financiera Pica..................................... 25,542 56,711
*Sevel Argentina SA Series C.......................... 35,022 21,857
Siderar SAIC Series A................................. 199,876 841,587
Siderca SA Series A................................... 714,907 1,422,850
*Sociedad Comercial del Plata......................... 187,740 59,146
</TABLE>
14
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Telecom Argentina Stet-France SA Series B............. 407,000 $ 2,381,259
Telefonica de Argentina SA Series B................... 1,058,000 2,708,832
Transportadora de Gas del Sur SA Series B............. 636,000 1,062,258
------------
TOTAL -- ARGENTINA
(Cost $21,724,470)................................... 22,594,691
------------
CHILE -- (6.0%)
COMMON STOCKS -- (6.0%)
BBV Banco Bhif ADR.................................... 29,400 387,712
Banco de Santiago SA Santiago ADR..................... 84,800 1,780,800
Banco Edwards SA ADR.................................. 30,000 468,750
Banco Santander Chile Sponsored ADR................... 102,500 1,742,500
Chilgener SA ADR...................................... 62,400 961,350
Cia Telecom de Chile ADR.............................. 207,000 3,797,156
Compania Cervecerias Uni ADR.......................... 39,400 1,103,200
Cristalerias de Chile SA ADR.......................... 14,500 189,405
Distribucion y Servicio D&S SA ADR.................... 80,500 1,428,875
Embotelladora Andina SA Andina ADR.................... 48,800 846,375
Embotelladora Andina SA Andina Series B ADR........... 57,700 804,194
Empresa Nacional de Elec ADR.......................... 177,818 2,367,202
*Empresas Telex SA ADR................................ 39,400 38,169
Enersis SA ADR........................................ 82,103 1,898,632
Laboratorio Chile SA Labchile ADR..................... 14,000 241,500
Lan Chile SA ADR...................................... 86,400 626,400
Madeco SA ADR......................................... 24,500 238,875
Masisa SA ADR......................................... 16,500 195,938
*Santa Isabel SA ADR.................................. 15,500 156,938
Sociedad Quimica y Minera Chile ADR................... 29,502 837,119
Vina Concha y Toro SA Conchatoro ADR.................. 14,600 550,694
------------
TOTAL COMMON STOCKS.................................... 20,661,784
------------
RIGHTS/WARRANTS -- (0.0%)
*Banco Edwards SA ADR Rights 12/09/99
(Cost $0)........................................... 8,248 0
------------
TOTAL -- CHILE
(Cost $19,656,146)................................... 20,661,784
------------
PORTUGAL -- (4.1%)
COMMON STOCKS -- (4.1%)
Banco Comercial Portugues SA.......................... 596,735 3,436,832
Banco Espirito Santo e Comercial de Lisboa............ 48,400 1,208,587
Banco Pinto & Sotto Mayor SA.......................... 105,909 2,271,398
*Companhia de Seguros Mundial Confianca SA............ 31,120 1,637,219
Companhia de Seguros Tranquilidade SA................. 15,700 401,526
Corticeira Amorim Sociedad Gestora Participacoes
Sociais SA.......................................... 11,400 107,783
Investimentos Participacoes e Gestao SA Inapa......... 29,267 234,864
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Jeronimo Martins (Estabelecimentos Jeronimo Martins &
Filho Administracao e Participacoes Financeiros
SA)................................................. 18,565 $ 420,589
Modelo Continente SGPS SA............................. 105,300 1,919,056
Portucel Industrial Empresa Produtora de Celulose
SA.................................................. 30,800 206,851
Salvador Caetano Industrias Metalurgicas e Veiculos de
Transporte SA....................................... 8,164 138,922
*Sociedad Construcoes Soares da Costa SA.............. 17,514 52,022
Sociedade de Investimento e Gestao SGPS SA............ 18,900 329,032
*Sonae Industria-Sociedade Gestora de Participacoes
Sociais SA.......................................... 24,483 175,273
Sonae Investimentos Sociedade Gestora de Participacoes
Sociais SA.......................................... 40,759 1,520,932
Uniceruniao Cervejeira SA............................. 15,600 290,588
------------
TOTAL -- PORTUGAL
(Cost $6,530,620).................................... 14,351,474
------------
INDONESIA -- (3.3%)
COMMON STOCKS -- (3.3%)
*Bank Lippo Tbk....................................... 557,000 13,335
PT Asahimas Flat Glass Co., Ltd....................... 75,000 11,286
*PT Astra International Tbk........................... 1,003,000 459,651
*PT Bakrie & Brothers Tbk............................. 1,259,000 51,669
*PT Bank International Indonesia...................... 2,227,191 45,702
*PT Barito Pacific Timber............................. 910,000 77,804
*PT Bimantara Citra................................... 589,000 84,603
*PT Charoen Pokphand Tbk.............................. 95,000 26,967
*PT Ciputra Development Tbk........................... 262,000 19,713
*PT Citra Marga Nusaphala Persada..................... 960,000 82,079
*PT Dankos Laboratories............................... 105,000 12,209
*PT Duta Pertiwi...................................... 200,000 19,836
*PT Gajah Tunggal Tbk................................. 2,058,000 218,187
*PT Gt Kabel Indonesia Tbk............................ 212,000 8,700
*PT GT Petrochem Industries Tbk....................... 70,000 5,985
*PT Hanjaya Mandala Sampoerna Tbk..................... 496,500 1,134,275
*PT Hero Supermarket Tbk.............................. 78,000 20,807
*PT Indah Kiat Pulp & Paper Corp...................... 2,221,601 790,173
*PT Indocement Tunggal Prakarsa....................... 1,318,000 509,350
*PT Indofood Sukses Makmur............................ 930,280 1,021,272
*PT Indorama Synthetics Tbk........................... 365,580 70,015
PT Indosat Tbk........................................ 600,500 839,960
*PT Jakarta International Hotel and Development Tbk... 362,500 27,274
*PT Jaya Real Property................................ 305,000 39,638
*PT Kalbe Farma Tbk................................... 750,000 87,209
*PT Kawasan Industry Jababeka Tbk..................... 407,333 29,254
*PT Lippo Land Development Tbk........................ 174,000 13,092
*PT Matahari Putra Prima Tbk.......................... 314,000 35,438
*PT Mayorah Indah..................................... 288,720 29,622
*PT Modern Photo Tbk.................................. 154,000 47,401
*PT Mulia Industrindo................................. 850,680 61,095
*PT Pabrik Kertas Tjiwi Kimia Tbk..................... 765,821 227,861
</TABLE>
15
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*PT Pakuwon Jati Tbk.................................. 312,000 $ 16,006
*PT Panasia Indosyntec Tbk............................ 103,600 9,566
PT Perusahaan Rokok Tjap Gudang Garam................. 961,500 2,288,659
*PT Polysindo Eka Perkasa Tbk......................... 481,000 23,030
*PT Sari Husada Tbk................................... 13,440 5,883
*PT Semen Cibinong Tbk................................ 231,000 11,060
PT Semen Gresik....................................... 294,002 438,389
*PT Summarecon Agung.................................. 87,838 4,506
PT Tambang Timah (Persero) Tbk........................ 327,000 212,483
PT Telekomunikasi Indonesia (Persero) Tbk............. 4,661,820 1,992,912
PT Tempo Scan Pacific................................. 19,500 13,004
PT Tigaraksa Satria Tbk............................... 25,200 13,789
*PT Unggul Indah Corp. Tbk............................ 128,700 33,451
*PT United Tractors................................... 15,000 13,492
------------
TOTAL COMMON STOCKS
(Cost $27,687,119)................................... 11,197,692
------------
TOTAL -- INDONESIA
(Cost $27,687,119)................................... 11,197,692
------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------ ------
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- (1.5%)
Repurchase Agreement, Chase Manhattan Bank N.A. 5.35%,
12/01/99 (Collateralized by U.S. Treasury Notes
11.875%, 11/15/03, valued at $5,389,106) to be
repurchased at $5,281,785.
(Cost $5,281,000)................................... $ 5,281 $ 5,281,000
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $292,059,404)++.... $346,241,650
============
</TABLE>
<TABLE>
<C> <S>
- --------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
++ The cost for federal income tax purposes is $292,582,527.
</TABLE>
See accompanying Notes to Financial Statements.
16
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE EMERGING MARKET SERIES
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 1999
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<TABLE>
<S> <C>
ASSETS:
Investments at Value........................................ $346,242
Receivable for Dividends and Interest....................... 103
Receivable for Investment Securities Sold................... 145
Other Assets................................................ 16
--------
Total Assets............................................ 346,506
--------
LIABILITIES:
Payable for Investment Securities Purchased................. 379
Payable for Fund Share Redeemed............................. 1,822
Accrued Expenses............................................ 130
--------
Total Liabilities....................................... 2,331
--------
NET ASSETS.................................................. $344,175
========
INVESTMENTS AT COST......................................... $292,059
========
</TABLE>
See accompanying Notes to Financial Statements.
17
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE EMERGING MARKETS SERIES
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1999
(AMOUNTS IN THOUSANDS)
<TABLE>
<S> <C>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of
$607)......................................... $ 4,620
Interest........................................ 488
--------
Total Investment Income..................... 5,108
--------
EXPENSES
Investment Advisory Services.................... 284
Accounting & Transfer Agent Fees................ 344
Custodian's Fee................................. 625
Legal Fees...................................... 3
Audit Fees...................................... 4
Shareholders' Reports........................... 6
Trustees' Fees and Expenses..................... 2
Other........................................... 24
--------
Total Expenses.............................. 1,292
--------
NET INVESTMENT INCOME........................... 3,816
--------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY
Net Realized Loss on Investment Securities...... (3,653)
Net Realized Loss on Foreign Currency
Transactions.................................. (223)
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign Currency.... 121,183
Translation of Foreign Currency Denominated
Amounts...................................... 2
--------
NET GAIN ON INVESTMENT SECURITIES AND FOREIGN
CURRENCY...................................... 117,309
--------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS...................................... $121,125
========
</TABLE>
See accompanying Notes to Financial Statements.
18
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE EMERGING MARKETS SERIES
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
YEAR YEAR
ENDED ENDED
NOV. 30, NOV. 30,
1999 1998
--------- ---------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income..................................... $ 3,816 $ 3,655
Net Realized Loss on Investment Securities................ (3,653) (23,765)
Net Realized Loss on Foreign Currency Transactions........ (223) (370)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.............. 121,183 (9,240)
Translation of Foreign Currency Denominated Amounts..... 2 9
-------- --------
Net Increase (Decrease) in Net Assets Resulting from
Operations............................................ 121,125 (29,711)
-------- --------
Transactions in Interest:
Contributions............................................. 33,845 79,412
Withdrawals............................................... (42,427) (39,010)
-------- --------
Net Increase (Decrease) From Transactions in Interest... (8,582) 40,402
-------- --------
Total Increase.......................................... 112,543 10,691
NET ASSETS
Beginning of Period....................................... 231,632 220,941
-------- --------
End of Period............................................. $344,175 $231,632
======== ========
</TABLE>
See accompanying Notes to Financial Statements.
19
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE EMERGING MARKETS SERIES
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGH EACH PERIOD)
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995
--------- --------- --------- --------- --------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period........... $ 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+
======== ======== ======== ======== =======
Total Return................................... N/A+ N/A+ N/A+ N/A+ N/A+
Net Assets, End of Period (thousands).......... $344,175 $231,632 $220,941 $162,075 $49,351
Ratio of Expenses to Average Net Assets........ 0.46% 0.53% 0.54% 0.66% 0.87%
Ratio of Net Investment Income to Average Net
Assets....................................... 1.34% 1.66% 1.63% 1.63% 1.70%
Portfolio Turnover Rate........................ 15.59% 9.76% 0.54% 0.37% 8.17%
</TABLE>
<TABLE>
<C> <S>
- --------------------------------------------------------------------------------
* Annualized
+ Not applicable as The Emerging Markets Series is organized as a
partnership.
</TABLE>
See accompanying Notes to Financial Statements.
20
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust currently consists of 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 the preparation of its financial
statements. The preparation of financial statements in accordance with generally
accepted accounting principles may require management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
1. SECURITY VALUATION: Securities held by the Series which are listed on a
securities exchange are valued at the last quoted sale price. Price information
on listed securities is taken from the exchange where the security is primarily
traded. Unlisted securities for which market quotations are readily available
are valued at the mean between the most recent bid and asked prices. Securities
for which quotations are not readily available are valued in good faith at fair
value using methods determined by the Board of Directors.
2. FOREIGN CURRENCY TRANSLATION: Securities and 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.
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 seller's agreement to repurchase them at an agreed upon date and
price. The seller will be required on a daily basis to maintain the value of the
collateral subject to the agreement at not less than the repurchase price
(including accrued interest). The agreements are conditioned upon the collateral
being deposited under the Federal Reserve book-entry system or with the Trust's
custodian or a third party sub-custodian. All open repurchase agreements were
entered into on November 30, 1999.
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
See accompanying Notes to Financial Statements.
21
<PAGE>
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.
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 year ended November 30, 1999, the
Series' advisory fees were computed daily and paid monthly to the Advisor based
on an effective annual rate of 0.10 of 1% of average daily net assets.
Certain officers of the Series are also officers, directors and shareholders
of the Advisor.
D. PURCHASES AND SALES OF SECURITIES:
For the year ended November 30, 1999, the Series made the following
purchases and sales of investment securities other than U.S. Government
Securities (amounts in thousands):
<TABLE>
<S> <C>
Purchases................................................... $43,232
Sales....................................................... $48,473
</TABLE>
E. INVESTMENT TRANSACTIONS:
At November 30, 1999, 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............................... $110,720
Gross Unrealized Depreciation............................... (57,061)
--------
Net....................................................... $ 53,659
========
</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 year ended November 30, 1999.
See accompanying Notes to Financial Statements.
22
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF
THE DFA INVESTMENT TRUST COMPANY:
In our opinion, the accompanying statement of assets and liabilities,
including the schedule of investments, and the related statements of operations
and of changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of The Emerging Markets Series
(constituting a portfolio within The DFA Investment Trust Company, hereafter
referred to as the "Fund") at November 30, 1999, and the results of its
operations, the changes in its net assets and its financial highlights for each
of the periods presented, in conformity with generally accepted accounting
principles. These financial statements and financial highlights (hereafter
referred to as "financial statements") are the responsibility of the Fund's
management; our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits of these financial
statements in accordance with generally accepted auditing standards which
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at November 30, 1999 by correspondence with the
custodian and brokers, provide a reasonable basis for the opinion expressed
above.
PricewaterhouseCoopers LLP
2400 Eleven Penn Center
Philadelphia, Pennsylvania
January 14, 2000
23
